Pioneer Investments: Pioneer Short Term Income Fund


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Pioneer Short Term Income Fund

Monthly Portfolio Holdings as of 1/30/2015

Security Name Coupon Maturity Date Par / Shares Market Value($)
Manufacturers & Traders Trust Co., Floating Rate Note, 7/25/17 0.5561 07/25/2017 1,000,000 994,650
Express Scripts Holding Co., 2.25%, 6/15/19 2.25 06/15/2019 750,000 759,276
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-B, Floating Rate Note, 5/25/29 0.66825 05/25/2029 4,636,150 237,516
Federal National Mortgage Association, 2.5%, 4/25/36 2.5 04/25/2036 635,000 221,041
Countrywide Asset-Backed Certificates, Floating Rate Note, 9/25/34 (144A) 0.71825 09/25/2034 8,600,000 489,117
Duke Energy Progress, Inc., Floating Rate Note, 3/6/17 0.43535 03/06/2017 411,000 410,239
Federal Home Loan Mortgage Corp., Floating Rate Note, 1/15/33 0.6665 01/15/2033 40,000,000 1,688,218
Federal National Mortgage Association, Floating Rate Note, 10/18/32 0.518 10/18/2032 11,398,000 370,927
Cent CLO 16 LP, 2.52%, 8/1/24 (144A) 2.52 08/01/2024 1,000,000 1,006,826
Government National Mortgage Association, Floating Rate Note, 2/16/30 0.81825 02/16/2030 14,415,492 215,002
CHL Mortgage Pass-Through Trust 2004-29, Floating Rate Note, 2/25/35 0.70825 02/25/2035 25,672,000 1,217,969
HSBC Bank Plc, 3.5%, 6/28/15 (144A) 3.5 06/28/2015 750,000 761,595
Ford Motor Credit Co LLC, 2.375%, 1/16/18 2.375 01/16/2018 250,000 254,447
AMC Entertainment, Inc., Initial Term Loan, 4/30/20 3.5 04/30/2020 246,859 244,210
Wells Fargo Home Equity Asset-Backed Securities 2005-3 Trust, Floating Rate Note, 12/25/35 0.54825 12/25/2035 200,000 58,844
JP Morgan Chase Commercial Mortgage Securities Trust 2014-PHH, Floating Rate Note, 8/16/27 (144A) 1.767 08/16/2027 1,100,000 1,097,467
Ascentium Equipment Receivables 2014-1 LLC, 1.04%, 1/10/17 (144A) 1.04 01/10/2017 400,000 369,084
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 11/15/36 0.5165 11/15/2036 1,229,000 219,626
Mythen Re, Ltd., Floating Rate Note, 5/7/15 (Cat Bond) (144A) 8.5059 05/07/2015 500,000 518,091
Federal National Mortgage Association REMICS, Floating Rate Note, 12/25/37 0.78825 12/25/2037 5,672,000 191,543
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-C, Floating Rate Note, 6/25/28 1.0574 06/25/2028 9,455,006 350,675
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 4/15/41 0.5865 04/15/2041 2,446,437 480,641
Westgate Resorts LLC, 9.5%, 2/20/25 (144A) 9.5 02/20/2025 1,800,000 664,783
Federal National Mortgage Association, Floating Rate Note, 11/25/27 0.46825 11/25/2027 15,797,000 484,345
Par Pharmaceutical Companies, Inc., Term B-2 Loan, 9/28/19 4.0 09/28/2019 640,926 629,870
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/37 0.52825 03/25/2037 4,100,000 252,338
Bear Stearns ALT-A Trust 2004-4, Floating Rate Note, 6/25/34 0.76825 06/25/2034 10,699,000 832,999
Federal National Mortgage Association, 3.5%, 7/25/24 3.5 07/25/2024 1,250,000 254,922
JBS USA LLC, Incremental Term Loan, 9/18/20 3.75 09/18/2020 197,500 196,018
Structured Asset Mortgage Investments II Trust 2004-AR5, Floating Rate Note, 10/19/34 0.828 10/19/2034 8,100,000 367,269
Fannie Mae, 2.5%, 3/1/28 2.5 03/01/2028 1,500,000 1,273,352
Starwood Property Mortgage Trust 2013-FV1, Floating Rate Note, 8/11/28 (144A) 1.465 08/11/2028 640,000 599,529
Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/38 0.61825 02/25/2038 624,000 159,402
Structured Asset Securities Corp Mortgage Loan Trust 2005-2XS, 4.65%, 2/25/35 (Step) 4.65 02/25/2035 1,000,000 139,659
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/37 0.74825 09/25/2037 3,700,000 343,316
Federal National Mortgage Association REMICS, Floating Rate Note, 7/25/34 0.56825 07/25/2034 1,642,000 110,487
Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/37 0.41825 02/25/2037 4,308,000 183,314
Credit Suisse First Boston Mortgage Securities Corp., Floating Rate Note, 7/25/35 0.43825 07/25/2035 3,555,000 395,682
American Honda Finance Corp., Floating Rate Note, 5/26/16 (144A) 0.60935 05/26/2016 1,675,000 1,682,036
Federal Home Loan Mortgage Corp., Floating Rate Note, 5/1/25 2.167 05/01/2025 588,110 5,938
HSBC USA, Inc., Floating Rate Note, 6/23/17 0.5521 06/23/2017 750,000 749,173
Banc of America Alternative Loan Trust 2004-4, 5.25%, 5/25/19 5.25 05/25/2019 1,363,000 146,066
321 Henderson Receivables I LLC, Floating Rate Note, 6/15/41 (144A) 0.3665 06/15/2041 2,000,000 667,655
First Franklin Mortgage Loan Trust 2005-FFH3, Floating Rate Note, 9/25/35 0.67825 09/25/2035 1,100,000 505,811
Ascentium Equipment Receivables 2014-1 LLC, 3.1%, 6/10/21 (144A) 3.1 06/10/2021 700,000 708,685
ACAS CLO 2007-1, Ltd., Floating Rate Note, 4/20/21 0.4866 04/20/2021 500,000 366,694
Nissan Auto Lease Trust 2013-B, Floating Rate Note, 1/15/16 0.4365 01/15/2016 240,000 126,540
Queen Street IV Capital, Ltd., Floating Rate Note, 4/9/15 (Cat Bond) (144A) 7.50507 04/09/2015 750,000 760,075
JP Morgan Chase Commercial Mortgage Securities Trust 2006-LDP9, Floating Rate Note, 5/15/47 0.3215 05/15/2047 250,000 94,275
Zoetis, Inc., 1.15%, 2/1/16 1.15 02/01/2016 500,000 503,875
Fannie Mae, 2.5%, 6/1/23 2.5 06/01/2023 526,320 413,544
COMM 2005-C6 Mortgage Trust, Floating Rate Note, 6/10/44 5.116 06/10/2044 770,000 630,708
SCIENTIFIC GAMES INTERNATIONAL INC 1ST LIEN TL-B2 L + 5% 17Sep21 6.0 09/17/2021 925,000 915,171
Boca Hotel Portfolio Trust 2013-BOCA, Floating Rate Note, 8/17/26 (144A) 1.9165 08/17/2026 430,000 430,482
Drug Royalty II LP 2, Floating Rate Note, 7/15/23 (144A) 3.1033 07/15/2023 350,000 331,704
The Toronto-Dominion Bank, Floating Rate Note, 5/2/17 0.47235 05/02/2017 500,000 500,236
Enterprise Products Operating LLC, 3.7%, 6/1/15 3.7 06/01/2015 1,010,000 1,024,821
ALTRL ZERO% 30Jun17 0.0 06/30/2017 300,000 301,440
JPMorgan Chase & Co., Floating Rate Note, 2/25/21 3.322 02/25/2021 500,000 501,531
Wm Wrigley Jr Co., 2.0%, 10/20/17 (144A) 2.0 10/20/2017 1,000,000 1,018,168
Seadrill Operating LP, Initial Term Loan, 2/14/21 4.0 02/14/2021 841,500 669,781
Federal Home Loan Banks, 2.9%, 4/20/17 2.9 04/20/2017 1,370,000 250,740
Morgan Stanley Capital I Trust 2005-HQ6 REMICS, Floating Rate Note, 8/13/42 5.073 08/13/2042 1,250,000 1,269,043
HomeBanc Mortgage Trust 2005-2, Floating Rate Note, 5/25/25 0.58825 05/25/2025 6,015,011 205,846
Santander Drive Auto Receivables Trust 2012-5, 2.7%, 8/15/18 2.7 08/15/2018 125,000 127,099
Capital Auto Receivables Asset Trust 2013-1, 1.74%, 10/22/18 1.74 10/22/2018 413,000 415,736
Citicorp Mortgage Securities REMIC Pass-Through Certificates Trust Series 2005-7, 5.0%, 10/25/35 5.0 10/25/2035 5,635,000 381,514
Government National Mortgage Association REMICS, 4.0%, 9/20/37 4.0 09/20/2037 4,000,000 2,768,504
American Honda Finance Corp., Floating Rate Note, 12/11/17 0.54885 12/11/2017 750,000 751,413
Walgreen Co., 1.8%, 9/15/17 1.8 09/15/2017 1,000,000 1,017,796
Canadian Natural Resources, Ltd., Floating Rate Note, 3/30/16 0.6316 03/30/2016 277,000 276,680
Sunset Mortgage Loan Co 2014-NPL2 LLC, 3.721%, 11/16/44 (Step) (144A) 3.721 11/16/2044 850,000 824,136
Ford Credit Auto Owner Trust 2013-D, 1.54%, 3/15/19 1.54 03/15/2019 100,000 100,335
Federal National Mortgage Association, 3.0%, 6/25/39 3.0 06/25/2039 5,000,000 557,831
Caelus Re, Ltd., Floating Rate Note, 3/7/16 (Cat Bond) (144A) 5.265209 03/07/2016 500,000 509,410
Wachovia Bank Commercial Mortgage Trust Series 2006-C23 REMICS, Floating Rate Note, 1/15/45 5.418 01/15/2045 1,590,000 1,275,982
Boston Scientific Corp., 2.65%, 10/1/18 2.65 10/01/2018 500,000 514,180
Discovery Communications LLC, 3.7%, 6/1/15 3.7 06/01/2015 750,000 762,410
Bear Stearns ALT-A Trust 2004-12, Floating Rate Note, 1/25/35 1.00825 01/25/2035 3,280,000 354,728
GMAC Commercial Mortgage Securities Inc Series 2004-C2 Trust, Floating Rate Note, 8/10/38 5.301 08/10/2038 1,465,000 11,194
MICRO FOCUS US INC 1ST LIEN TL-B L + 4.25% 07Oct21 5.25 10/07/2021 400,000 388,875
TimberStar Trust I REMICS, 5.668%, 10/15/36 (144A) 5.668 10/15/2036 525,000 560,484
Structured Asset Securities Corp Mor Cer Ser 2003-31A, Floating Rate Note, 10/25/33 2.51603 10/25/2033 1,500,000 157,452
ACIS CLO 2014-4, Ltd., Floating Rate Note, 5/1/26 (144A) 1.23235 05/01/2026 700,000 525,243
Starbucks Corp., 0.875%, 12/5/16 0.875 12/05/2016 605,000 606,812
Intesa Sanpaolo S.p.A., 3.625%, 8/12/15 (144A) 3.625 08/12/2015 1,375,000 1,415,404
MRFC Mortgage Pass-Through Trust Series 1999-TBC2 REMICS, Floating Rate Note, 6/15/30 0.6465 06/15/2030 3,714,390 209,024
Barclays Bank Plc, Floating Rate Note, 2/17/17 0.8121 02/17/2017 229,000 229,791
Honda Auto Receivables 2013-2 Owner Trust, 0.53%, 2/16/17 0.53 02/16/2017 285,000 263,055
John Deere Capital Corp., Floating Rate Note, 10/11/16 0.5421 10/11/2016 1,090,000 1,092,667
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 10/15/20 0.3665 10/15/2020 9,083,556 155,810
General Electric Capital Corp., Floating Rate Note, 7/12/16 0.9021 07/12/2016 296,000 298,164
Wells Fargo Bank NA, Floating Rate Note, 5/16/16 0.4421 05/16/2016 250,000 249,482
GE Business Loan Trust 2007-1, Floating Rate Note, 4/16/35 (144A) 0.3365 04/16/2035 1,550,000 624,599
Honda Auto Receivables 2012-2 Owner Trust, 0.7%, 2/16/16 0.7 02/16/2016 350,000 59,460
Health Care Real Estate Investment Trust, Inc., 2.25%, 3/15/18 2.25 03/15/2018 500,000 511,141
Monsanto Co., 1.15%, 6/30/17 1.15 06/30/2017 1,000,000 1,002,137
Extended Stay America Trust 2013-ESH, Floating Rate Note, 12/5/31 (144A) 1.272 12/05/2031 200,000 199,604
Atlas IX Capital, Ltd., Floating Rate Note, 1/17/19 (Cat Bond) (144A) 3.4452 01/17/2019 500,000 511,437
Hyperion Insurance Group, Ltd., Term Loan, 10/4/19 5.75 10/04/2019 396,000 394,762
Federal Home Loan Mortgage Corp., 4.0%, 5/1/24 4.0 05/01/2024 2,400,000 235,315
Fannie Mae, 3.0%, 11/1/27 3.0 11/01/2027 2,000,000 1,562,781
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 4/15/28 0.6665 04/15/2028 16,175,365 243,390
NCUA Guaranteed Notes Trust REMICS, Floating Rate Note, 3/2/21 0.0 03/02/2021 800,000 362,318
Metropolitan Life Insurance Co., 7.7%, 11/1/15 (144A) 7.7 11/01/2015 1,250,000 1,336,483
Federal National Mortgage Association, 2.75%, 6/25/20 2.75 06/25/2020 1,750,000 445,235
GSAA Home Equity Trust 2004-6, Floating Rate Note, 6/25/34 0.94825 06/25/2034 15,032,940 383,584
Anheuser-Busch InBev Finance, Inc., Floating Rate Note, 1/27/17 0.4461 01/27/2017 500,000 498,920
Popular ABS Mortgage Pass-Through Trust 2004-4, 4.78636%, 9/25/34 (Step) 4.78636 09/25/2034 1,325,000 465,182
Asset Backed Securities Corp Home Equity Loan Trust Series AEG 2006-HE1, Floating Rate Note, 1/25/36 0.36825 01/25/2036 311,384 53,976
JPMorgan Chase & Co., Floating Rate Note, 2/26/16 0.85435 02/26/2016 320,000 321,116
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-A, Floating Rate Note, 3/25/28 1.149 03/25/2028 10,213,000 326,892
Fannie Mae, Floating Rate Note, 1/1/25 2.598 01/01/2025 7,000,000 56,532
Adjustable Rate Mortgage Trust 2005-5, Floating Rate Note, 9/25/35 0.44825 09/25/2035 3,300,000 277,327
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 7/15/36 0.6665 07/15/2036 3,107,000 238,410
Kinder Morgan, Inc. Delaware, 2.0%, 12/1/17 2.0 12/01/2017 700,000 701,074
Sequoia Mortgage Trust 2013-8, Floating Rate Note, 6/25/43 2.25 06/25/2043 414,000 351,401
GE Business Loan Trust 2006-2, Floating Rate Note, 11/15/34 (144A) 0.3465 11/15/2034 1,920,423 698,119
National City Bank Cleveland Ohio, Floating Rate Note, 12/15/16 0.5906 12/15/2016 250,000 249,141
Garda World Security Corp., Term B Loan, 11/1/20 4.0 11/01/2020 479,081 468,003
Bayview Commercial Asset Trust 2004-3, Floating Rate Note, 1/25/35 (144A) 0.53825 01/25/2035 4,600,000 688,220
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 11/15/37 0.5415 11/15/2037 3,358,000 530,051
Alternative Loan Trust 2003-J1, 4.75%, 10/25/33 4.75 10/25/2033 4,300,000 180,755
Digital Realty Trust LP, 4.5%, 7/15/15 4.5 07/15/2015 650,000 655,944
Armor Re, Ltd., Floating Rate Note, 12/15/16 (Cat Bond) (144A) 4.015209 12/15/2016 300,000 302,210
Federal National Mortgage Association, 4.0%, 10/1/20 4.0 10/01/2020 4,317,004 1,218,372
KANE ILW ZERO% 02Feb16 0.0 02/02/2016 250,000 230,200
Structured Asset Mortgage Investments II Trust 2005-F1 REMICS, Floating Rate Note, 8/26/35 0.66825 08/26/2035 6,100,000 120,594
RALI Series 2003-QR24 Trust REMICS, 4.0%, 7/25/33 4.0 07/25/2033 6,880,000 759,391
American Credit Acceptance Receivables Trust 2013-2, 1.32%, 2/15/17 (144A) 1.32 02/15/2017 280,000 49,227
SunTrust Bank, 1.35%, 2/15/17 1.35 02/15/2017 500,000 505,313
Hologic, Inc., Refinancing Tranche B Term Loan, 8/1/19 3.25 08/01/2019 362,187 361,799
Direct Capital Funding V LLC, 1.673%, 12/20/17 (144A) 1.673 12/20/2017 175,000 21,862
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-C, Floating Rate Note, 7/25/29 0.72825 07/25/2029 10,014,000 467,785
NCF Dealer Floorplan Master Trust, Floating Rate Note, 10/20/20 (144A) 1.668 10/20/2020 750,000 750,451
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/36 0.4665 02/15/2036 1,133,000 202,061
Federal Home Loan Mortgage Corp., Floating Rate Note, 3/15/30 0.5165 03/15/2030 1,147,667 464,624
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/32 1.1665 02/15/2032 15,205,000 242,821
STORE Master Funding LLC, 5.77%, 8/20/42 (144A) 5.77 08/20/2042 344,000 363,167
State of Ohio, 3.0%, 6/15/15 3.0 06/15/2015 500,000 506,716
The Huntington National Bank, Floating Rate Note, 4/24/17 0.6811 04/24/2017 500,000 499,310
Lehman Brothers Small Balance Commercial Mortgage Trust 2007-3, Floating Rate Note, 10/25/37 (144A) 1.11825 10/25/2037 885,400 208,220
Credit Acceptance Auto Loan Trust 2013-2, 1.5%, 4/15/21 (144A) 1.5 04/15/2021 1,000,000 1,004,210
CROWN CASTLE 1ST LIEN TERM-B2 L + 2.5% 31Jan21 3.25 01/31/2021 349,118 344,034
CarMax Auto Owner Trust 2013-3, 2.15%, 5/15/19 2.15 05/15/2019 540,000 546,832
Citicorp Mortgage Securities REMIC Pass-Through Certificates Trust Series 2005-4, 5.0%, 7/25/20 5.0 07/25/2020 4,375,000 138,643
RALI Series 2004-QS1 Trust, 4.25%, 1/25/34 4.25 01/25/2034 14,997,000 27,760
The Goldman Sachs Group, Inc., Floating Rate Note, 3/22/16 0.6971 03/22/2016 475,000 474,744
First NLC Trust 2005-2, Floating Rate Note, 9/25/35 0.56825 09/25/2035 3,362,996 933,165
Government National Mortgage Association, 3.5%, 8/20/38 3.5 08/20/2038 1,115,000 400,451
Inwood Park CDO, Ltd., Floating Rate Note, 1/20/21 (144A) 0.4816 01/20/2021 1,000,000 283,423
Sierra Timeshare 2012-2 Receivables Funding LLC, 2.38%, 3/20/29 (144A) 2.38 03/20/2029 1,500,000 395,106
Johnson Controls, Inc., 1.4%, 11/2/17 1.4 11/02/2017 700,000 699,605
Federal Home Loan Mortgage Corp., Floating Rate Note, 12/1/31 2.408 12/01/2031 49,986,196 266,240
Kane Sac, Ltd., 0.0%, 1/7/16 (Cat Bond) 0.0 01/07/2016 685,125 685,810
Springleaf Mortgage Loan Trust 2012-2, Floating Rate Note, 10/25/57 (144A) 2.22 10/25/2057 424,000 189,009
COMM 2014-TWC Mortgage Trust, Floating Rate Note, 2/13/32 (144A) 1.767 02/13/2032 1,850,000 1,847,910
Federal National Mortgage Association, 2.0%, 8/1/23 2.0 08/01/2023 1,465,000 1,201,560
Bear Stearns Asset Backed Securities Trust, Floating Rate Note, 2/25/35 0.91825 02/25/2035 5,848,300 108,632
Federal National Mortgage Association REMICS, Floating Rate Note, 4/25/32 1.06825 04/25/2032 10,133,000 585,947
Citigroup, Inc., 1.3%, 4/1/16 1.3 04/01/2016 500,000 504,002
Lehman Brothers Small Balance Commercial, Floating Rate Note, 4/25/31 (144A) 0.38825 04/25/2031 2,843,000 487,757
KANE ZERO% 22Jan17 0.0 01/22/2017 800,000 814,400
GE Equipment Small Ticket LLC Series 2013-1, 0.73%, 1/25/16 (144A) 0.73 01/25/2016 200,000 57,294
First Investors Auto Owner Trust 2013-2, 1.23%, 3/15/19 (144A) 1.23 03/15/2019 1,048,000 498,417
Merrill Lynch Mortgage Investors Trust Series 2005-A3, Floating Rate Note, 4/25/35 0.43825 04/25/2035 10,415,000 1,216,492
Merna Re V, Ltd., Floating Rate Note, 4/7/17 (Cat Bond) (144A) 2.015209 04/07/2017 650,000 650,469
Federal Home Loan Mortgage Corp., 4.0%, 1/15/34 4.0 01/15/2034 5,000,000 290,853
Federal National Mortgage Association, Floating Rate Note, 8/25/35 0.46825 08/25/2035 2,868,000 335,953
CROWNE GROUP LLC 1ST LIEN TL-B L + 5% 29Sep20 6.0 09/29/2020 299,250 294,761
Foresight Energy LLC, Term Loan, 8/21/20 5.5 08/21/2020 67,011 64,665
Becton Dickinson and Co., 1.8%, 12/15/17 1.8 12/15/2017 750,000 758,213
Merrill Lynch Mortgage Trust 2005-CKI1, Floating Rate Note, 11/12/37 5.2737 11/12/2037 2,360,000 1,756,787
Citigroup Mortgage Loan Trust, Inc., Floating Rate Note, 11/25/34 1.18825 11/25/2034 900,000 56,496
Fannie Mae, Floating Rate Note, 10/1/36 1.896 10/01/2036 1,877,185 314,024
AmeriCredit Automobile Receivables Trust 2013-4, 0.74%, 11/8/16 0.74 11/08/2016 500,000 103,614
RAAC Series 2005-RP2 Trust, Floating Rate Note, 6/25/35 (144A) 0.81825 06/25/2035 995,000 136,983
Structured Asset Mortgage Investments II Trust 2004-AR8, Floating Rate Note, 5/19/35 0.848 05/19/2035 24,300,000 1,262,421
Impac CMB Trust Series 2004-6, Floating Rate Note, 10/25/34 0.96825 10/25/2034 2,125,000 109,329
Credit Suisse First Boston Mortgage Securities Corp., 4.832%, 4/15/37 4.832 04/15/2037 1,265,143 637,974
Ibis Re II, Ltd., Floating Rate Note, 6/28/16 (Cat Bond) (144A) 4.020279 06/28/2016 500,000 511,844
Capital Auto Receivables Asset Trust 2013-3, Floating Rate Note, 11/20/15 0.598 11/20/2015 250,000 33,977
American Credit Acceptance Receivables Trust 2014-1, 1.14%, 3/12/18 (144A) 1.14 03/12/2018 520,000 188,657
Pfizer, Inc., Floating Rate Note, 5/15/17 0.3821 05/15/2017 750,000 749,399
Federal National Mortgage Association, Floating Rate Note, 2/25/23 1.01825 02/25/2023 77,000,000 382,419
Freddie Mac Strips, Floating Rate Note, 8/15/36 0.4665 08/15/2036 6,894,664 338,688
Ford Motor Credit Co LLC, 2.875%, 10/1/18 2.875 10/01/2018 500,000 519,652
Peoples Choice Home Loan Securities Trust Series 2005-3, Floating Rate Note, 8/25/35 0.91825 08/25/2035 109,980 10,792
GMACM Mortgage Loan Trust 2004-AR1, Floating Rate Note, 6/25/34 2.9313 06/25/2034 2,100,000 195,937
Gator Re, Ltd., Floating Rate Note, 1/9/17 (Cat Bond) (144A) 6.700279 01/09/2017 600,000 539,923
Federal National Mortgage Association, Floating Rate Note, 6/25/32 0.66825 06/25/2032 21,270,000 570,477
Federal National Mortgage Association REMICS, Floating Rate Note, 11/18/32 1.168 11/18/2032 24,329,000 445,193
Federal National Mortgage Association REMICS, Floating Rate Note, 4/25/36 0.41825 04/25/2036 1,737,000 324,946
GSRPM Mortgage Loan Trust 2003-2, Floating Rate Note, 6/25/33 1.51825 06/25/2033 393,823 233,646
American Credit Acceptance Receivables Trust, 1.64%, 11/15/16 (144A) 1.64 11/15/2016 378,000 25,147
RBSSP Resecuritization Trust 2009-5, Floating Rate Note, 8/25/37 (144A) 0.6695 08/25/2037 2,550,000 801,069
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/35 0.38825 03/25/2035 4,100,000 626,240
FCA US LLC, Term Loan B, 5/24/17 3.5 05/24/2017 897,450 894,707
ENDO LUXEMBOURG FINANCE I 1ST LIEN TL-B L + 2.5% 05Nov20 3.25 11/05/2020 496,250 490,202
PNC Bank NA, 1.3%, 10/3/16 1.3 10/03/2016 550,000 557,032
NovaStar Mortgage Funding Trust Series 2004-4, Floating Rate Note, 3/25/35 1.24825 03/25/2035 300,000 102,469
Fannie Mae, 5.0%, 11/1/20 5.0 11/01/2020 3,800,000 259,222
Banc of America Mortgage 2003-F Trust, Floating Rate Note, 7/25/33 2.623 07/25/2033 5,619,027 251,507
Wells Fargo & Co., Floating Rate Note, 4/23/18 0.8871 04/23/2018 575,000 575,875
Federal National Mortgage Association REMICS, Floating Rate Note, 4/25/34 0.56825 04/25/2034 644,866 75,243
LB-UBS Commercial Mortgage Trust 2006-C1 REMICS, 5.156%, 2/15/31 5.156 02/15/2031 1,615,000 1,614,135
Capital Auto Receivables Asset Trust 2013-1, 2.19%, 9/20/21 2.19 09/20/2021 125,000 125,207
Government National Mortgage Association, 3.5%, 5/20/39 3.5 05/20/2039 1,025,000 538,808
GE Business Loan Trust 2005-1, Floating Rate Note, 6/15/33 (144A) 0.4165 06/15/2033 1,192,482 545,660
Federal Home Loan Mortgage Corp., 2.5%, 10/1/27 2.5 10/01/2027 1,247,958 977,539
Westlake Automobile Receivables Trust 2013-1, 1.12%, 1/15/18 (144A) 1.12 01/15/2018 150,000 65,312
Lehman Brothers Small Balance Commercial, Floating Rate Note, 4/25/31 (144A) 0.39825 04/25/2031 3,723,496 547,172
ZIGGO BV 1ST LIEN TL-B2 L + 2.75% 15Jan22 3.5 01/15/2022 289,531 282,629
Tar Heel Re, Ltd., Floating Rate Note, 5/9/16 (Cat Bond) (144A) 8.535489 05/09/2016 250,000 264,361
Chase Funding Trust Series 2003-6, 4.277%, 11/27/34 (Step) 4.277 11/27/2034 1,680,000 236,636
Federal Home Loan Mortgage Corp., 3.5%, 8/15/28 3.5 08/15/2028 500,000 164,038
Wachovia Bank Commercial Mortgage Trust Series 2005-C18, 4.935%, 4/15/42 4.935 04/15/2042 1,506,334 125,319
Impac CMB Trust Series 2004-4, Floating Rate Note, 9/25/34 0.78825 09/25/2034 14,479,489 594,452
AECOM TECHNOLOGY CORP 1ST LIEN TL-B L + 3% 17Sep21 3.75 09/17/2021 319,903 320,702
A10 Term Asset Financing 2013-2 LLC, 2.62%, 11/15/27 (144A) 2.62 11/15/2027 1,085,000 1,052,899
Vantiv LLC, Term B Loan, 6/12/21 3.75 06/12/2021 289,728 288,217
Impac Secured Assets Trust 2006-1, Floating Rate Note, 5/25/36 0.51825 05/25/2036 1,300,000 419,159
HarborView Mortgage Loan Trust 2004-1, Floating Rate Note, 4/19/34 2.69932 04/19/2034 3,987,000 176,982
Federal National Mortgage Association 2006-48-T, 5.5%, 12/25/34 5.5 12/25/2034 1,716,418 366,979
HSI Asset Securitization Corp Trust 2006-OPT1, Floating Rate Note, 12/25/35 0.35825 12/25/2035 450,623 134,006
Foothill CLO, Ltd., Floating Rate Note, 2/22/21 (144A) 0.4779 02/22/2021 500,000 263,306
Federal Home Loan Mortgage Corp., Floating Rate Note, 4/1/29 2.618 04/01/2029 160,000 2,024
CWABS Asset-Backed Certificates Trust 2005-1, Floating Rate Note, 2/25/33 5.147 02/25/2033 244,000 30,184
Evergreen Skills Lux Sarl, Initial Term Loan (First Lien), 4/23/21 4.5 04/23/2021 199,500 193,930
Morgan Stanley Capital I Trust 2004-IQ8, Floating Rate Note, 6/15/40 5.3 06/15/2040 1,200,000 91,395
Branch Banking & Trust Co., 1.35%, 10/1/17 1.35 10/01/2017 500,000 504,984
PNC Bank NA, 1.125%, 1/27/17 1.125 01/27/2017 450,000 452,128
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 8/15/25 0.4165 08/15/2025 970,000 293,618
Government National Mortgage Association, 3.0%, 4/20/41 3.0 04/20/2041 300,000 251,273
ANZ New Zealand Intl, Ltd. London, 1.125%, 3/24/16 (144A) 1.125 03/24/2016 1,000,000 1,009,855
Fannie Mae, 5.5%, 12/1/35 5.5 12/01/2035 1,000,000 68,373
Saxon Asset Securities Trust 2005-3, Floating Rate Note, 11/25/35 0.62825 11/25/2035 471,000 441,283
GCI HOLDINGS INC 1ST LIEN TL-B L + 3.75% 22Dec21   12/22/2021 375,000 375,858
Fannie Mae, 4.5%, 5/1/39 4.5 05/01/2039 2,100,000 859,185
Countrywide Asset-Backed Certificates, Floating Rate Note, 10/25/34 0.34825 10/25/2034 984,000 186,527
Park Place Securities Inc Asset-Backed Pass-Through Certificates Series 2004-MHQ, Floating Rate Not 1.29325 12/25/2034 840,000 776,649
GS Mortgage Securities Corp II Series 2005-GG4 REMICS, 4.782%, 7/10/39 4.782 07/10/2039 1,145,000 1,153,459
RAMP Series 2004-SL4 Trust, Floating Rate Note, 5/25/18 6.28844 05/25/2018 13,780,000 74,676
Direct Capital Funding V LLC, 4.83%, 11/20/20 (144A) 4.83 11/20/2020 750,000 766,292
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 10/15/37 0.7465 10/15/2037 3,873,000 263,389
Telefonica Emisiones SAU, 3.992%, 2/16/16 3.992 02/16/2016 500,000 524,212
JP Morgan Mortgage Trust 2003-A1, Floating Rate Note, 10/25/33 2.05002 10/25/2033 4,845,389 559,390
Holmes Master Issuer Plc, Floating Rate Note, 10/15/54 (144A) 2.4533 10/15/2054 250,000 262,004
Federal National Mortgage Association REMICS, Floating Rate Note, 10/27/37 0.36825 10/27/2037 1,375,920 1,356,483
CNL Commercial Mortgage Loan Trust 2003-1, Floating Rate Note, 5/15/31 (144A) 0.6665 05/15/2031 5,443,000 436,095
BLCP Hotel Trust, Floating Rate Note, 8/15/29 (144A) 1.5165 08/15/2029 1,610,000 1,591,937
Federal National Mortgage Association REMICS, Floating Rate Note, 7/25/35 0.46825 07/25/2035 750,000 160,500
MacDermid, Inc., Tranche B Term Loan (First Lien), 6/7/20 4.0 06/07/2020 748,101 747,517
AMERICAN AIRLINES INC 1ST LIEN TL-B L + 3.5% 08Oct21 4.25 10/08/2021 750,000 752,656
Irwin Home Equity Loan Trust 2005-1, 5.32%, 6/25/35 (Step) 5.32 06/25/2035 900,000 112,352
Fannie Mae, 5.0%, 10/1/41 5.0 10/01/2041 1,736,000 780,880
Vericrest Opportunity Loan Transferee 2014-NPL4 LLC, 3.125%, 4/27/54 (Step) (144A) 3.125 04/27/2054 1,700,000 1,387,727
Federal National Mortgage Association REMICS, Floating Rate Note, 5/18/32 0.668 05/18/2032 31,809,000 653,100
Nationstar Agency Advance Funding Trust 2013-T1A, 0.997%, 2/15/45 (144A) 0.997 02/15/2045 550,000 550,161
Texas Municipal Gas Acquisition & Supply Corp III, 5.0%, 12/15/15 5.0 12/15/2015 500,000 520,924
DT Auto Owner Trust 2013-1, 1.67%, 2/15/19 (144A) 1.67 02/15/2019 629,000 165,268
Duke Energy Indiana, Inc., Floating Rate Note, 7/11/16 0.6021 07/11/2016 303,000 303,370
Aflac, Inc., 3.45%, 8/15/15 3.45 08/15/2015 500,000 515,569
Ooredoo International Finance, Ltd., 3.375%, 10/14/16 (144A) 3.375 10/14/2016 500,000 519,050
FREMF Mortgage Trust 2012-K501, Floating Rate Note, 11/26/46 (144A) 3.44258 11/26/2046 409,000 420,612
Santander Drive Auto Receivables Trust 2011-2, 3.28%, 6/15/16 3.28 06/15/2016 700,000 157,484
Banc of America Mortgage 2004-D Trust, Floating Rate Note, 5/25/34 2.6634 05/25/2034 4,920,000 510,798
Bayview Financial Mortgage Pass-Through Trust 2006-B, Floating Rate Note, 4/28/36 0.439 04/28/2036 603,000 35,050
Eden Re II, Ltd., 0.0%, 4/19/18 (Cat Bond) (144A) 0.0 04/19/2018 700,000 700,000
Manufacturers & Traders Trust Co., Floating Rate Note, 1/30/17 0.6296 01/30/2017 500,000 500,716
Federal Home Loan Mortgage Corp., 5.0%, 2/1/21 5.0 02/01/2021 1,000,000 82,110
Mythen Re, Ltd. Series 2013-1 Class B, Floating Rate Note, 7/9/15 (Cat Bond) (144A) 8.02 07/09/2015 700,000 721,482
City of Pittsburgh Pennsylvania, 0.87%, 9/1/16 0.87 09/01/2016 500,000 499,412
SCHAEFFLER (AKA INA BETEILIGUNGSGE 1ST LIEN TL-B L + 3.5% 15May20 4.25 05/15/2020 500,000 502,500
Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/33 0.51825 02/25/2033 4,696,499 223,428
Government National Mortgage Association, Floating Rate Note, 2/20/38 0.668 02/20/2038 2,477,000 207,091
ARI Fleet Lease Trust 2012-A, Floating Rate Note, 3/15/20 (144A) 0.7165 03/15/2020 810,000 131,614
Tradewynd Re, Ltd., Floating Rate Note, 1/8/18 (Cat Bond) (144A) 5.025 01/08/2018 250,000 250,179
Federal Home Loan Mortgage Corp., 6.5%, 7/1/16 6.5 07/01/2016 2,000,000 6,704
JPMorgan Chase & Co., 1.1%, 10/15/15 1.1 10/15/2015 492,000 495,256
Wells Fargo Commercial Mortgage Trust 2014-TISH, Floating Rate Note, 2/16/27 (144A) 1.1965 02/16/2027 690,000 687,413
RALI Series 2003-QS14 Trust, 5.0%, 7/25/18 5.0 07/25/2018 600,000 34,293
14112Z ZERO% 01Feb19 0.0 02/01/2019 1,000,000 1,013,800
Federal National Mortgage Association REMICS, Floating Rate Note, 10/25/36 0.56825 10/25/2036 11,844,000 433,920
Progress Residential 2014-SFR1 Trust, Floating Rate Note, 10/17/31 (144A) 2.4165 10/17/2031 1,000,000 995,642
TransCanada PipeLines, Ltd., Floating Rate Note, 6/30/16 0.9366 06/30/2016 690,000 692,502
Metropolitan Life Global Funding I, Floating Rate Note, 7/15/16 (144A) 0.7833 07/15/2016 300,000 301,324
GSRPM Mortgage Loan Trust 2006-2, Floating Rate Note, 9/25/36 (144A) 0.46825 09/25/2036 1,226,000 164,173
Motor 2013-1 Plc, Floating Rate Note, 2/25/21 (144A) 0.66825 02/25/2021 466,000 116,616
PVH Corp., Tranche B Term Loan, 2/13/20 3.25 02/13/2020 337,190 338,707
Sinclair Television Group, Inc., New Tranche B Term Loan, 4/19/20 3.0 04/19/2020 439,420 428,434
East Lane Re VI, Ltd., Floating Rate Note, 3/14/18 (Cat Bond) (144A) 2.780419 03/14/2018 500,000 500,562
American Express Credit Account Secured Note Trust 2012-4, Floating Rate Note, 5/15/20 (144A) 0.9665 05/15/2020 760,000 765,105
Fannie Mae, 7.0%, 1/1/36 7.0 01/01/2036 1,000,000 22,696
Stanwich Mortgage Loan Trust, 2.9814%, 2/16/43 (144A) 2.9814 02/16/2043 1,325,000 259,822
Commonwealth Bank of Australia, Floating Rate Note, 3/13/17 (144A) 0.6006 03/13/2017 650,000 650,900
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/32 0.5665 12/15/2032 2,900,000 220,485
Atlas Reinsurance VII, Ltd., Floating Rate Note, 1/7/16 (Cat Bond) (144A) 8.1252 01/07/2016 250,000 257,111
Morgan Stanley, Floating Rate Note, 1/5/18 0.97485 01/05/2018 750,000 749,849
Asset Backed Securities Corp Home Equity Loan Trust Series 2003-HE1, Floating Rate Note, 1/15/33 3.6915 01/15/2033 3,082,000 649,904
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 4/15/36 0.4665 04/15/2036 728,000 141,634
JP Morgan Chase Commercial Mortgage Securities Trust 2005-LDP5, Floating Rate Note, 12/15/44 5.2282 12/15/2044 1,920,000 1,793,848
Del Coronado Trust 2013-DEL, Floating Rate Note, 3/16/26 (144A) 2.1165 03/16/2026 399,000 399,118
Federal National Mortgage Association REMICS, Floating Rate Note, 7/25/38 1.06825 07/25/2038 6,812,000 351,454
Government National Mortgage Association I, 6.0%, 11/15/36 6.0 11/15/2036 2,000,000 183,931
Capital One NA, Floating Rate Note, 3/22/16 0.6971 03/22/2016 700,000 701,250
Regatta Funding, Ltd., Floating Rate Note, 6/15/20 (144A) 0.4906 06/15/2020 500,000 193,767
RALI Series 2003-QS15 Trust, 5.5%, 8/25/33 5.5 08/25/2033 250,000 158,896
First Investors Auto Owner Trust 2013-3, 2.32%, 10/15/19 (144A) 2.32 10/15/2019 300,000 303,874
Kilimanjaro Re, Ltd., Floating Rate Note, 4/30/18 (Cat Bond) (144A) 4.765209 04/30/2018 650,000 664,402
The Geo Group, Inc., Term Loan, 4/3/20 3.25 04/03/2020 493,718 490,015
Nordea Bank Finland Plc New York, Floating Rate Note, 6/13/16 0.4206 06/13/2016 1,000,000 1,000,794
Federal National Mortgage Association REMICS, Floating Rate Note, 5/25/37 0.56825 05/25/2037 6,826,000 239,126
Bear Stearns ARM Trust 2003-3, Floating Rate Note, 5/25/33 2.49761 05/25/2033 9,158,341 266,423
Federal National Mortgage Association REMICS, Floating Rate Note, 11/25/36 0.52825 11/25/2036 2,248,000 304,527
Mastr Asset Backed Securities Trust 2005-WMC1, Floating Rate Note, 3/25/35 0.84325 03/25/2035 215,000 53,459
Hyundai Capital America, 1.875%, 8/9/16 (144A) 1.875 08/09/2016 500,000 509,882
SBA Senior Finance II LLC, Incremental Tranche B-1 Term Loan, 3/31/21 3.25 03/31/2021 199,000 195,973
Southern Pacific Secured Asset Corp., Floating Rate Note, 3/25/28 0.56825 03/25/2028 32,000,000 283,194
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/34 0.56825 03/25/2034 763,500 200,249
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 3/15/32 1.1665 03/15/2032 15,667,000 178,670
NCUA Guaranteed Notes Trust REMICS, 1.6%, 10/29/20 1.6 10/29/2020 500,000 174,458
HSBC Home Equity Loan Trust USA 2006-3, Floating Rate Note, 3/20/36 0.408 03/20/2036 1,905,000 1,515,026
Sequoia Mortgage Trust 2004-12 REMICS, Floating Rate Note, 1/20/35 0.438 01/20/2035 13,677,000 1,389,476
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-B, Floating Rate Note, 4/25/28 0.84825 04/25/2028 9,700,000 433,343
Hilton USA Trust 2013-HLF, Floating Rate Note, 11/5/30 (144A) 2.92125 11/05/2030 500,000 493,157
Federal Home Loan Mortgage Corp., 2.75%, 11/15/25 2.75 11/15/2025 1,000,000 448,747
CHL Mortgage Pass-Through Trust 2004-14, Floating Rate Note, 8/25/34 2.34038 08/25/2034 1,810,000 200,595
Option One Woodbridge Loan Trust 2002-1, Floating Rate Note, 3/25/32 (144A) 1.29325 03/25/2032 1,370,736 235,477
Lehman Brothers Small Balance Commercial Mortgage Trust 2007-3, Floating Rate Note, 10/25/37 (144A) 1.21825 10/25/2037 466,904 322,060
Centerpoint Energy Transition Bond Co II LLC, 5.17%, 8/1/19 5.17 08/01/2019 720,000 668,204
Federal Home Loan Mortgage Corp., 5.5%, 8/1/23 5.5 08/01/2023 1,563,938 58,916
NorthStar 2012-1 Mortgage Trust, Floating Rate Note, 8/27/29 (144A) 4.4115 08/27/2029 200,000 200,793
Nations Equipment Finance Funding II LLC, 3.276%, 1/22/19 (144A) 3.276 01/22/2019 500,000 479,381
L-3 Communications Corp., 1.5%, 5/28/17 1.5 05/28/2017 586,000 584,089
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/32 0.5665 12/15/2032 1,931,288 146,876
Bank of America Corp., 1.25%, 1/11/16 1.25 01/11/2016 575,000 577,064
Residential Reinsurance 2013, Ltd., Floating Rate Note, 6/6/17 (Cat Bond) (144A) 9.265209 06/06/2017 250,000 269,518
ACA CLO 2006-2, Ltd., Floating Rate Note, 1/20/21 (144A) 0.9766 01/20/2021 500,000 491,567
Hyundai Capital America, 3.75%, 4/6/16 (144A) 3.75 04/06/2016 1,375,000 1,432,561
KeyBank NA Cleveland Ohio, 1.1%, 11/25/16 1.1 11/25/2016 500,000 502,287
Atlantic Power LP, Term Loan, 2/20/21 4.75 02/20/2021 1,207,354 1,204,336
Ford Motor Credit Co LLC, 1.7%, 5/9/16 1.7 05/09/2016 500,000 504,149
Banc of America Merrill Lynch Commercial Mortgage, Inc., Floating Rate Note, 9/10/47 5.15276 09/10/2047 1,780,000 1,650,012
Federal National Mortgage Association REMICS, 5.0%, 9/25/39 5.0 09/25/2039 110,000 18,538
RESI Finance LP 2003-CB1, Floating Rate Note, 7/9/35 1.61625 07/09/2035 2,245,000 562,232
Bear Stearns Commercial Mortgage Securities Trust 2005-PWR9, Floating Rate Note, 9/11/42 4.985 09/11/2042 1,160,000 1,189,418
Bear Stearns ALT-A Trust 2004-12, Floating Rate Note, 1/25/35 1.00825 01/25/2035 8,440,000 1,015,324
Morgan Stanley ABS Capital I Inc Trust 2004-SD3, Floating Rate Note, 6/25/34 (144A) 0.62825 06/25/2034 13,470,000 497,859
Queen City Re, Floating Rate Note, 1/6/19 (Cat Bond) (144A) 3.515209 01/06/2019 500,000 499,168
Federal National Mortgage Association REMICS, Floating Rate Note, 11/25/39 0.86825 11/25/2039 2,750,000 479,340
Fly Funding II Sarl, Loan, 8/8/18 4.5 08/08/2018 380,000 379,168
Countrywide Asset-Backed Certificates, Floating Rate Note, 6/25/33 (144A) 0.78825 06/25/2033 900,000 866,762
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 7/15/23 0.5665 07/15/2023 835,000 177,318
Enterprise Products Operating LLC, 3.2%, 2/1/16 3.2 02/01/2016 1,000,000 1,029,024
Opteum Mortgage Acceptance Corp Trust 2005-4, Floating Rate Note, 11/25/35 0.47825 11/25/2035 6,320,000 1,170,518
Bear Stearns Asset Backed Securities Trust 2004-2, Floating Rate Note, 8/25/34 1.36825 08/25/2034 389,000 60,874
Rialto Capital Management LLC, 2.85%, 5/15/24 (144A) 2.85 05/15/2024 700,000 194,440
Federal National Mortgage Association REMICS, 3.5%, 10/25/39 3.5 10/25/2039 490,000 307,103
Queen Street VII Re, Ltd., Floating Rate Note, 4/8/16 (Cat Bond) (144A) 8.6325 04/08/2016 750,000 782,891
Conseco Finance Corp., 7.55%, 4/15/32 (Step) 7.55 04/15/2032 2,740,000 182,051
CPS Auto Receivables Trust 2014-A, 1.21%, 8/15/18 1.21 08/15/2018 200,000 136,815
Morgan Stanley Capital I Trust 2006-TOP21, Floating Rate Note, 10/12/52 5.162 10/12/2052 1,435,000 1,474,420
The Goldman Sachs Group, Inc., 3.7%, 8/1/15 3.7 08/01/2015 340,000 351,251
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-G, Floating Rate Note, 1/25/29 1.88653 01/25/2029 3,592,000 51,375
AXIS Equipment Finance Receivables II LLC, 4.94%, 7/20/18 (144A) 4.94 07/20/2018 700,000 710,231
COMM 2014-PAT Mortgage Trust, Floating Rate Note, 8/13/27 (144A) 1.7595 08/13/2027 820,000 817,147
CD 2006-CD2 Mortgage Trust, Floating Rate Note, 1/15/46 5.479408 01/15/2046 2,084,000 2,132,427
Mediacom Illinois LLC, Tranche F Term Loan, 3/31/18 2.64 03/31/2018 397,000 388,729
Thomson Reuters Corp., 1.3%, 2/23/17 1.3 02/23/2017 500,000 503,532
GS Mortgage Securities Trust 2014-GSFL, Floating Rate Note, 7/15/31 (144A) 1.9165 07/15/2031 495,000 495,012
Option One Mortgage Loan Trust 2005-4 Asset-Backed Certificates Series 2005-4, Floating Rate Note, 0.42825 11/25/2035 5,875,000 454,466
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 8/15/35 0.4165 08/15/2035 462,000 90,589
Bush Truck Leasing LLC, 5.0%, 9/25/18 (144A) 5.0 09/25/2018 100,000 1,663
Residential Reinsurance 2011, Ltd., Floating Rate Note, 12/6/16 (Cat Bond) (144A) 8.765209 12/06/2016 500,000 515,912
PHH Mortgage Capital LLC, 6.6%, 12/25/27 (Step) (144A) 6.6 12/25/2027 3,250,000 195,200
CDC Mortgage Capital Trust 2002-HE1, Floating Rate Note, 1/25/33 0.78825 01/25/2033 19,484,513 358,788
SASCO Mortgage Loan Trust 2005-GEL1, Floating Rate Note, 12/25/34 0.71825 12/25/2034 510,000 343,615
RAAC Series 2005-RP1 Trust, Floating Rate Note, 7/25/37 (144A) 1.11825 07/25/2037 583,530 294,682
CAM Mortgage Trust 2014-2, 2.6%, 12/15/53 (Step) (144A) 2.6 12/15/2053 610,000 175,445
Branch Banking & Trust Co., 2.3%, 10/15/18 2.3 10/15/2018 500,000 517,646
Bear Stearns Asset Backed Securities I Trust 2005-HE6, Floating Rate Note, 6/25/35 0.88825 06/25/2035 1,350,000 2,011
Equity One Mortgage Pass-Through Trust 2004-2, Floating Rate Note, 7/25/34 4.624 07/25/2034 1,925,000 496,943
Ford Motor Credit Co LLC, 1.724%, 12/6/17 1.724 12/06/2017 700,000 700,562
Government National Mortgage Association, Floating Rate Note, 2/16/53 0.96957 02/16/2053 2,000,000 139,590
Longpoint Re, Ltd., Floating Rate Note, 6/12/15 (Cat Bond) (144A) 6.03 06/12/2015 900,000 919,649
AmeriCredit Automobile Receivables Trust 2011-3, 4.04%, 7/10/17 4.04 07/10/2017 100,000 101,896
Resource Capital Corp CRE Notes 2013, Ltd., Floating Rate Note, 6/15/16 (144A) 2.3165 06/15/2016 1,000,000 1,002,112
Ibis Re II, Ltd., Floating Rate Note, 2/5/15 (Cat Bond) (144A) 13.520279 02/05/2015 1,100,000 1,119,607
ALTRL ZERO% 30Jun16 0.0 06/30/2016 218,850 155,821
PANGAEA ZERO% 01Jul18 0.0 07/01/2018 700,000 751,100
Diamond Resorts Owner Trust 2013-2, 2.62%, 5/20/26 (144A) 2.62 05/20/2026 750,000 425,694
Nordea Bank AB, Floating Rate Note, 5/13/16 (144A) 0.6932 05/13/2016 250,000 251,271
RESI FLT% 12Dec45 A1 0.9399 12/12/2045 500,000 450,978
Federal Home Loan Mortgage Corp., Floating Rate Note, 8/1/31 2.408 08/01/2031 12,000,000 92,449
Del Coronado Trust 2013-DEL, Floating Rate Note, 3/16/26 (144A) 1.4665 03/16/2026 300,000 300,166
Structured Asset Securities Corp Mortgage Pass-Through Certificates Ser 2004-S4, Floating Rate Note 2.64325 12/25/2034 500,000 71,511
Steward Health Care System LLC, Term Loan, 4/10/20 6.75 04/10/2020 296,240 293,648
Wachovia Bank Commercial Mortgage Trust Series 2006-C24, Floating Rate Note, 3/15/45 5.658 03/15/2045 272,000 278,768
On Assignment, Inc., Initial Term B Loan, 5/15/20 3.5 05/15/2020 171,522 169,913
Prudential Covered Trust 2012-1, 2.997%, 9/30/15 (144A) 2.997 09/30/2015 500,000 383,277
The Bank of Nova Scotia, 1.45%, 4/25/18 1.45 04/25/2018 500,000 500,399
The Bank of Tokyo-Mitsubishi UFJ, Ltd., 1.55%, 9/9/16 (144A) 1.55 09/09/2016 1,000,000 1,014,101
American Express Credit Corp., Floating Rate Note, 6/12/15 1.3399 06/12/2015 200,000 201,077
Albertsons LLC, Term B-2 Loan, 3/21/19 4.75 03/21/2019 646,754 646,215
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 1/15/37 0.4665 01/15/2037 16,831,292 1,081,057
Amgen, Inc., 2.5%, 11/15/16 2.5 11/15/2016 500,000 515,703
BB&T Corp., 1.6%, 8/15/17 1.6 08/15/2017 103,000 104,625
Federal National Mortgage Association, 3.5%, 1/25/24 3.5 01/25/2024 7,225,000 293,550
Thornburg Mortgage Securities Trust 2004-3, Floating Rate Note, 9/25/34 0.90825 09/25/2034 11,534,309 953,041
Federal National Mortgage Association REMICS, 4.0%, 6/25/37 4.0 06/25/2037 900,000 15,841
Origen Manufactured Housing Contract Trust 2005-A, Floating Rate Note, 6/15/36 5.41 06/15/2036 250,000 232,756
Chase Issuance Trust, Floating Rate Note, 4/16/18 0.3833 04/16/2018 750,000 749,654
Sierra Timeshare 2013-2 Receivables Funding LLC, 4.75%, 11/20/25 (144A) 4.75 11/20/2025 900,000 382,890
Intel Corp., 1.35%, 12/15/17 1.35 12/15/2017 700,000 706,519
Hilton USA Trust 2013-HLF, Floating Rate Note, 11/5/30 (144A) 1.67125 11/05/2030 175,000 172,667
Federal National Mortgage Association REMICS, Floating Rate Note, 6/25/38 0.66825 06/25/2038 2,355,000 151,167
BAMLL Commercial Mortgage Securities Trust 2014-ICTS, Floating Rate Note, 6/15/28 (144A) 1.2665 06/15/2028 580,000 579,854
Bear Stearns Mortgage Securities, Inc., Floating Rate Note, 6/25/30 2.65342 06/25/2030 731,690 113,684
Federal National Mortgage Association, 5.0%, 7/25/32 5.0 07/25/2032 7,363,000 219,094
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/24 0.66825 03/25/2024 4,129,409 159,765
COMM 2014-FL5 Mortgage Trust, Floating Rate Note, 10/15/31 (144A) 2.3165 10/15/2031 1,370,000 1,366,795
Vita Capital V, Ltd., Floating Rate Note, 1/15/17 (Cat Bond) (144A) 2.7576 01/15/2017 750,000 760,594
Park Place Securities Inc Asset-Backed Pass-Through Ctfs Ser 2004-WCW2, Floating Rate Note, 10/25/34 1.09825 10/25/2034 1,076,819 25,407
Leaf Receivables Funding 8 LLC, 1.55%, 11/15/17 (144A) 1.55 11/15/2017 195,000 175,557
Federal National Mortgage Association, 4.0%, 3/1/21 4.0 03/01/2021 4,071,760 1,239,533
Wells Fargo & Co., 1.5%, 7/1/15 1.5 07/01/2015 1,050,000 1,056,227
Altera Corp., 2.5%, 11/15/18 2.5 11/15/2018 500,000 516,408
Fannie Mae, Floating Rate Note, 7/1/36 2.331 07/01/2036 500,000 53,356
Castle Garden Funding, Floating Rate Note, 10/27/20 (144A) 0.4936 10/27/2020 2,000,000 329,615
Bear Stearns Commercial Mortgage Securities Trust 2005-PWR7, Floating Rate Note, 2/11/41 5.214 02/11/2041 550,000 552,721
Morgan Stanley Mortgage Loan Trust 2005-5AR, Floating Rate Note, 9/25/35 0.43825 09/25/2035 9,387,000 768,744
Principal Life Global Funding II, Floating Rate Note, 5/27/16 (144A) 0.6056 05/27/2016 390,000 391,394
Government National Mortgage Association I, 6.5%, 7/15/35 6.5 07/15/2035 328,670 8,450
Freddie Mac Structured Agency Credit Risk Debt Notes, Floating Rate Note, 8/25/24 1.51825 08/25/2024 1,430,000 1,387,125
California Republic Auto Receivables Trust 2012-1, 1.18%, 8/15/17 (144A) 1.18 08/15/2017 329,000 69,451
Bear Stearns ALT-A Trust 2004-13, Floating Rate Note, 11/25/34 0.90825 11/25/2034 1,905,000 96,796
Daimler Finance North America LLC, Floating Rate Note, 3/10/17 (144A) 0.5876 03/10/2017 750,000 749,212
Government National Mortgage Association I, 6.5%, 5/15/31 6.5 05/15/2031 3,183,996 40,353
Government National Mortgage Association II, 6.0%, 10/20/21 6.0 10/20/2021 3,113,223 408,398
COMM 2014-SAVA Mortgage Trust, Floating Rate Note, 6/15/34 (144A) 1.9165 06/15/2034 1,110,000 1,107,747
Federal National Mortgage Association, Floating Rate Note, 6/25/36 0.56825 06/25/2036 7,000,000 773,331
CPS Auto Receivables Trust 2013-B, 1.82%, 9/15/20 (144A) 1.82 09/15/2020 157,000 77,985
Home Equity Mortgage Trust, 5.821%, 4/25/35 (Step) 5.821 04/25/2035 1,000,000 264,202
AmeriCredit Automobile Receivables Trust 2011-5, 2.45%, 12/8/16 2.45 12/08/2016 500,000 159,103
Bank of Montreal, 0.8%, 11/6/15 0.8 11/06/2015 1,135,000 1,140,907
Wachovia Mortgage Loan Trust Series 2005-WMC1, Floating Rate Note, 10/25/35 0.90825 10/25/2035 750,000 107,521
Ameriquest Mortgage Securities Inc Asset Backed Pass-Through Ctfs Ser 2005-R11, Floating Rate Note, 0.49825 01/25/2036 962,222 604,281
Principal Life Global Funding II, 1.2%, 5/19/17 (144A) 1.2 05/19/2017 750,000 751,795
New York Life Global Funding, 1.125%, 3/1/17 (144A) 1.125 03/01/2017 500,000 504,341
COMM 2014-KYO Mortgage Trust, Floating Rate Note, 6/11/27 (144A) 1.817 06/11/2027 1,630,000 1,624,993
COMM 2005-C6 Mortgage Trust, Floating Rate Note, 6/10/44 5.167 06/10/2044 1,880,000 1,913,234
CGBAM Commercial Mortgage Trust 2014-HD, Floating Rate Note, 2/18/31 (144A) 1.3665 02/18/2031 310,000 309,239
Countrywide Asset-Backed Certificates, Floating Rate Note, 11/25/35 0.75825 11/25/2035 2,175,000 73,389
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 11/15/36 0.5165 11/15/2036 600,000 99,527
Fannie Mae, 2.0%, 11/1/23 2.0 11/01/2023 2,236,000 1,864,170
Impac CMB Trust Series 2004-8, Floating Rate Note, 8/25/34 2.79325 08/25/2034 590,000 68,935
Capital One Financial Corp., 1.0%, 11/6/15 1.0 11/06/2015 975,000 979,038
Alterna Funding I LLC, 1.639%, 2/15/21 (144A) 1.639 02/15/2021 400,000 328,784
Caelus Re 2013, Ltd., Floating Rate Note, 4/7/20 (Cat Bond) (144A) 6.865209 04/07/2020 750,000 790,423
Credit Suisse First Boston Mortgage Securities Corp., 4.686%, 7/15/37 4.686 07/15/2037 890,000 94,483
United Technologies Corp., Floating Rate Note, 6/1/15 0.7336 06/01/2015 500,000 501,465
Government National Mortgage Association I, 5.0%, 8/15/19 5.0 08/15/2019 1,347,915 333,429
GLC Trust 2013-1, 3.0%, 7/15/21 (144A) 3.0 07/15/2021 1,000,000 784,752
Fifth Third Bank Cincinnati Ohio, Floating Rate Note, 2/26/16 0.64435 02/26/2016 500,000 501,053
Structured Adjustable Rate Mortgage Loan Trust, Floating Rate Note, 11/25/34 2.43564 11/25/2034 750,000 72,827
GMAC Commercial Mortgage Securities Inc Series 2005-C1 Trust, 4.697%, 5/10/43 4.697 05/10/2043 1,019,000 146,342
Lehman Brothers Small Balance Commercial, Floating Rate Note, 9/25/30 (144A) 0.41825 09/25/2030 3,264,773 540,635
MortgageIT Trust 2004-1, Floating Rate Note, 11/25/34 0.94825 11/25/2034 3,200,000 420,272
Apple, Inc., Floating Rate Note, 5/3/16 0.28235 05/03/2016 400,000 400,279
Bayview Financial Asset Trust 2003-A, Floating Rate Note, 2/25/33 (144A) 4.91 02/25/2033 7,852,000 210,563
Bear Stearns Asset Backed Securities Trust 2006-SD2, Floating Rate Note, 6/25/36 0.65825 06/25/2036 412,000 214,072
Credit Suisse Commercial Mortgage Trust Series 2006-C2 REMICS, Floating Rate Note, 3/15/39 5.857991 03/15/2039 1,970,000 1,967,245
Federal National Mortgage Association REMICS, Floating Rate Note, 5/25/36 0.51825 05/25/2036 6,641,000 190,999
JP Morgan Chase Commercial Mortgage Securities Trust 2005-LDP3 REMICS, Floating Rate Note, 8/15/42 4.936 08/15/2042 440,000 377,372
Global Mortgage Securitization, Ltd., Floating Rate Note, 4/25/32 (144A) 0.43825 04/25/2032 8,633,000 752,418
JP Morgan Mortgage Trust 2005-A3, Floating Rate Note, 6/25/35 5.02755 06/25/2035 6,041,179 606,124
RALI Series 2003-QS9 Trust, Floating Rate Note, 5/25/18 0.61825 05/25/2018 11,040,000 394,727
Fannie Mae, Floating Rate Note, 11/1/25 2.245 11/01/2025 700,000 2,433
Banc of America Commercial Mortgage Trust 2006-1, Floating Rate Note, 9/10/45 5.372 09/10/2045 1,450,000 1,487,737
JPMorgan Chase & Co., Floating Rate Note, 2/15/17 0.7521 02/15/2017 500,000 500,478
Blue Danube, Ltd., Floating Rate Note, 4/10/15 (Cat Bond) (144A) 10.7904 04/10/2015 650,000 660,904
Mastr Asset Backed Securities Trust 2005-WF1, Floating Rate Note, 6/25/35 0.53825 06/25/2035 51,000 3,463
Irwin Whole Loan Home Equity Trust 2005-B, Floating Rate Note, 12/25/29 0.63825 12/25/2029 1,775,000 937,554
Federal National Mortgage Association, Floating Rate Note, 4/25/35 2.67 04/25/2035 1,250,000 225,394
Abbey National Treasury Services Plc London, Floating Rate Note, 9/29/17 0.6646 09/29/2017 750,000 748,854
Bear Stearns Structured Products Trust 2007-EMX1, Floating Rate Note, 3/25/37 (144A) 1.16825 03/25/2037 1,130,000 217,221
Government National Mortgage Association, 3.0%, 12/20/38 3.0 12/20/2038 1,000,000 127,402
North American Development Bank, 2.3%, 10/10/18 2.3 10/10/2018 650,000 671,134
Volkswagen International Finance NV, 1.6%, 11/20/17 (144A) 1.6 11/20/2017 500,000 505,058
Credit Suisse First Boston Mortgage Securities Corp., Floating Rate Note, 11/25/33 2.58297 11/25/2033 1,400,000 72,382
LB-UBS Commercial Mortgage Trust 2005-C2 REMICS, Floating Rate Note, 4/15/30 5.205 04/15/2030 1,455,000 1,466,131
FCA US LLC, Tranche B Term Loan, 12/29/18 3.25 12/29/2018 595,500 592,894
Citigroup, Inc., Floating Rate Note, 7/25/16 1.2161 07/25/2016 750,000 754,310
Hess Corp., 1.3%, 6/15/17 1.3 06/15/2017 750,000 742,770
Government National Mortgage Association, Floating Rate Note, 4/16/31 0.46825 04/16/2031 12,627,242 256,177
Residential Reinsurance 2012, Ltd., Floating Rate Note, 12/6/16 (Cat Bond) (144A) 5.765209 12/06/2016 250,000 261,681
Terwin Mortgage Trust Series TMTS 2005-14HE, 4.8492%, 8/25/36 (Step) 4.8492 08/25/2036 630,000 126,473
Velocity Commercial Capital Loan Trust 2014-1, Floating Rate Note, 9/25/44 (144A) 2.1695 09/25/2044 800,000 744,204
Bear Stearns Asset Backed Securities I Trust 2005-FR1, Floating Rate Note, 6/25/35 0.66825 06/25/2035 1,526,722 522,660
RASC Series 2005-EMX2 Trust, Floating Rate Note, 7/25/35 0.64825 07/25/2035 40,280 4,027
Fannie Mae, 6.0%, 4/1/38 6.0 04/01/2038 483,000 37,563
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/30 0.4665 02/15/2030 586,107 263,279
Federal Home Loan Mortgage Corp., Floating Rate Note, 7/15/31 0.6665 07/15/2031 49,927,842 516,035
BBB INDUSTRIES LLC 1ST LIEN TL L + 5% 20Oct21 6.0 10/20/2021 533,333 530,666
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/39 0.8665 12/15/2039 666,000 262,454
GreenPoint Mortgage Funding Trust 2005-HE1, Floating Rate Note, 9/25/34 0.84325 09/25/2034 297,570 91,111
Oscar US Funding Trust 2014-1, 1.0%, 8/15/17 (144A) 1.0 08/15/2017 700,000 700,255
KKR Financial CLO 2007-1, Ltd., Floating Rate Note, 5/15/21 (144A) 1.6821 05/15/2021 375,000 371,615
Federal Home Loan Mortgage Corp. REMICS, 5.5%, 10/15/35 5.5 10/15/2035 1,625,000 52,106
Carrington Mortgage Loan Trust Series 2005-NC1, Floating Rate Note, 2/26/35 0.90325 02/26/2035 3,586,373 617,100
VOLT XXIII LLC, 3.625%, 11/25/53 (Step) 3.625 11/25/2053 475,000 283,380
Merrill Lynch Mortgage Investors Trust Series 2005-2, Floating Rate Note, 10/25/35 2.35 10/25/2035 1,543,473 377,571
Phillips 66, 2.95%, 5/1/17 2.95 05/01/2017 750,000 780,918
Bayview Financial Mortgage Pass-Through Trust Series 2005-B, Floating Rate Note, 4/28/39 0.619 04/28/2039 425,000 389,482
RAAC Series 2006-RP2 Trust, Floating Rate Note, 2/25/37 (144A) 0.41825 02/25/2037 4,099,889 363,849
Homestar Mortgage Acceptance Corp., Floating Rate Note, 3/25/34 0.80825 03/25/2034 25,588,000 1,420,681
Resource Capital Corp 2014-CRE2, Ltd., Floating Rate Note, 4/15/32 (144A) 1.21825 04/15/2032 1,480,000 1,473,077
First Investors Auto Owner Trust 2013-1, 2.02%, 1/15/19 (144A) 2.02 01/15/2019 200,000 200,107
Government National Mortgage Association, Floating Rate Note, 4/16/32 0.71825 04/16/2032 33,333,000 603,465
Leaf Receivables Funding 8 LLC, 2.67%, 9/15/20 (144A) 2.67 09/15/2020 311,966 314,298
IXIS Real Estate Capital Trust 2005-HE4, Floating Rate Note, 2/25/36 0.84825 02/25/2036 250,000 39,018
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 3/15/32 1.1665 03/15/2032 35,466,000 314,334
EMDEON INC 1ST LIEN TL-B3 L + 2.5% 02Nov18 3.75 11/02/2018 399,000 392,765
General Electric Capital Corp., Floating Rate Note, 5/15/17 0.5121 05/15/2017 750,000 749,434
Impac CMB Trust Series 2004-4, Floating Rate Note, 9/25/34 0.80825 09/25/2034 32,445,000 1,331,625
Silverstone Master Issuer Plc, Floating Rate Note, 1/21/55 (144A) 1.9062 01/21/2055 290,000 297,120
Orange Lake Timeshare Trust 2012-A, 4.87%, 3/10/27 (144A) 4.87 03/10/2027 600,000 284,992
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 9/15/26 0.4665 09/15/2026 385,000 222,719
NYSE Euronext Holdings LLC, 2.0%, 10/5/17 2.0 10/05/2017 150,000 153,513
Banc of America Merrill Lynch Commercial Mortgage, Inc., Floating Rate Note, 10/10/45 5.115 10/10/2045 1,370,000 1,206,130
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 9/15/33 0.6165 09/15/2033 2,647,000 180,738
GATX Corp., 1.25%, 3/4/17 1.25 03/04/2017 750,000 750,603
HSBC Bank Middle East, Ltd., 3.0%, 10/21/15 3.0 10/21/2015 750,000 765,562
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/36 0.46825 03/25/2036 11,585,646 1,291,977
Enbridge, Inc., Floating Rate Note, 10/1/16 0.9052 10/01/2016 500,000 500,114
Saxon Asset Securities Trust 2005-4, Floating Rate Note, 11/25/37 0.39825 11/25/2037 9,516,000 401,472
Credit Suisse First Boston Mortgage Securities Corp., Floating Rate Note, 8/15/38 5.1 08/15/2038 1,900,440 1,295,467
Georgia Power Co., Floating Rate Note, 8/15/16 0.6321 08/15/2016 500,000 500,425
GSAA Home Equity Trust 2005-11, Floating Rate Note, 10/25/35 0.41825 10/25/2035 1,022,000 100,205
Freddie Mac Structured Agency Credit Risk Debt Notes, Floating Rate Note, 11/25/23 1.61825 11/25/2023 750,000 579,407
Government National Mortgage Association, 5.0%, 5/20/35 5.0 05/20/2035 2,100,000 38,765
Countrywide Asset-Backed Certificates, Floating Rate Note, 1/25/36 0.53825 01/25/2036 330,000 882
Federal National Mortgage Association, 5.0%, 6/25/32 5.0 06/25/2032 18,817,000 59,575
Wachovia Bank Commercial Mortgage Trust Series 2005-C20 REMICS, Floating Rate Note, 7/15/42 5.118 07/15/2042 2,414,000 1,929,828
Federal National Mortgage Association REMICS, Floating Rate Note, 12/25/31 1.06825 12/25/2031 4,375,000 157,667
Alternative Loan Trust 2004-6CB, Floating Rate Note, 4/25/34 0.74825 04/25/2034 4,500,000 311,496
Government National Mortgage Association, 5.0%, 4/20/36 5.0 04/20/2036 850,000 102,425
Svenska Handelsbanken AB, Floating Rate Note, 9/23/16 0.7221 09/23/2016 1,000,000 1,004,516
CNH Wholesale Master Note Trust, Floating Rate Note, 8/15/19 (144A) 0.7665 08/15/2019 525,000 526,354
Oracle Corp., 2.375%, 1/15/19 2.375 01/15/2019 500,000 517,790
Federal Home Loan Mortgage Corp., Floating Rate Note, 8/1/31 2.375 08/01/2031 500,000 903
Wells Fargo Mortgage Backed Securities 2006-16 Trust, 5.0%, 11/25/36 5.0 11/25/2036 550,000 24,261
GSR Mortgage Loan Trust 2003-9, Floating Rate Note, 8/25/33 2.3146 08/25/2033 4,000,000 247,270
Darling Ingredients, Inc., Term B USD Loan, 12/19/20 3.25 12/19/2020 521,062 519,646
RREF 2014-LT6 LLC, 2.75%, 9/15/24 (144A) 2.75 09/15/2024 1,280,000 721,454
JP Morgan Chase Commercial Mortgage Securities Trust 2006-FL2, Floating Rate Note, 11/15/18 (144A) 0.5265 11/15/2018 550,000 177,653
CDGJ Commercial Mortgage Trust 2014-BXCH, Floating Rate Note, 12/15/27 (144A) 2.6665 12/15/2027 1,340,000 1,342,493
Prestige Brands, Inc., Term B-2 Loan, 8/18/21 4.5 08/18/2021 340,000 340,595
Morgan Stanley, Floating Rate Note, 2/25/16 1.48285 02/25/2016 500,000 505,392
Trade MAPS 1, Ltd., Floating Rate Note, 12/10/18 (144A) 1.41625 12/10/2018 250,000 250,169
WaMu Mortgage Pass-Through Certificates Series 2002-AR6 Trust, Floating Rate Note, 6/25/42 1.51417 06/25/2042 29,950,000 370,959
RAMP Series 2005-RS6 Trust, Floating Rate Note, 6/25/35 0.66825 06/25/2035 278,355 140,361
Fannie Mae, Floating Rate Note, 11/1/40 1.514 11/01/2040 9,368,434 114,495
Equity One Mortgage Pass-Through Trust 2003-1, Floating Rate Note, 8/25/33 0.90825 08/25/2033 11,389,000 353,929
RAMP Series 2003-RS9 Trust, Floating Rate Note, 10/25/33 5.06 10/25/2033 5,091,956 390,054
BPCE SA, Floating Rate Note, 4/25/16 1.5061 04/25/2016 550,000 555,591
Reckitt Benckiser Treasury Services Plc, 2.125%, 9/21/18 (144A) 2.125 09/21/2018 500,000 512,210
Crown Castle Towers LLC, 3.214%, 8/15/15 (144A) 3.214 08/15/2015 500,000 506,014
Origen Manufactured Housing Contract Trust 2004-A, Floating Rate Note, 1/15/35 5.91 01/15/2035 600,000 249,738
Federal Home Loan Mortgage Corp., Floating Rate Note, 11/15/36 0.4865 11/15/2036 2,046,908 102,815
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 8/15/26 0.3665 08/15/2026 370,000 131,223
Ellington Loan Acquisition Trust 2007-1, Floating Rate Note, 5/26/37 (144A) 1.06825 05/26/2037 550,000 479,734
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/33 0.5665 02/15/2033 20,000,000 270,719
Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/37 0.36825 02/25/2037 1,940,000 187,488
Foundation Re III, Ltd., Floating Rate Note, 2/25/15 (Cat Bond) (144A) 5.015209 02/25/2015 1,250,000 1,265,888
CAPELLA HEALTHCARE INC 1ST LIEN TL-B L + 4.25% 31Dec21 5.25 12/31/2021 105,000 105,525
Bayer US Finance LLC, 1.5%, 10/6/17 (144A) 1.5 10/06/2017 750,000 759,886
Micron Semiconductor Asia Pte, Ltd., 1.258%, 1/15/19 1.258 01/15/2019 500,000 399,589
Ameriquest Mortgage Securities Inc Asset-Backed Pass-Through Ctfs Ser 2005-R1, Floating Rate Note, 0.84325 03/25/2035 592,188 290,186
Banc of America Alternative Loan Trust 2003-10, Floating Rate Note, 12/25/33 0.61825 12/25/2033 2,600,000 121,684
Ford Motor Credit Co LLC, Floating Rate Note, 9/8/17 0.75535 09/08/2017 750,000 743,751
Government National Mortgage Association REMICS, 2.0%, 1/16/46 2.0 01/16/2046 3,000,000 2,970,406
BCAP LLC 2013-RR3 Trust, Floating Rate Note, 5/28/36 (144A) 2.6593 05/28/2036 500,000 359,958
RALI Series 2002-QS16 Trust, Floating Rate Note, 10/25/17 0.71825 10/25/2017 11,475,000 176,486
Longpoint Re, Ltd. III, Floating Rate Note, 5/18/16 (Cat Bond) (144A) 3.975209 05/18/2016 750,000 765,787
JP Morgan Mortgage Trust 2006-S3, 6.0%, 8/25/36 6.0 08/25/2036 1,036,158 754
La Hipotecaria Panamanian Mortgage Trust 2007-1, Floating Rate Note, 12/23/36 (144A) 4.25 12/23/2036 1,400,000 649,524
LB-UBS Commercial Mortgage Trust 2005-C7 REMICS, Floating Rate Note, 11/15/30 5.197 11/15/2030 2,455,809 2,229,906
Fannie Mae, Floating Rate Note, 11/1/24 2.549 11/01/2024 7,000,000 89,918
Federal National Mortgage Association REMICS, Floating Rate Note, 10/25/35 0.46825 10/25/2035 1,878,000 184,531
Federal National Mortgage Association, Floating Rate Note, 3/25/18 0.46825 03/25/2018 8,811,000 244,255
Morgan Stanley Capital I Trust 2005-TOP19, 4.89%, 6/12/47 4.89 06/12/2047 1,940,000 1,352,518
Four Corners CLO II, Ltd., Floating Rate Note, 1/26/20 (144A) 2.1061 01/26/2020 553,000 532,686
Mastr Asset Backed Securities Trust 2006-NC1, Floating Rate Note, 1/25/36 0.35825 01/25/2036 1,567,646 175,631
Coca-Cola Enterprises, Inc., 2.125%, 9/15/15 2.125 09/15/2015 189,000 192,267
SilverLeaf Finance XVII LLC, 2.71%, 3/16/26 (144A) 2.71 03/16/2026 750,000 420,287
Sequoia Mortgage Trust 2004-9, Floating Rate Note, 10/20/34 0.848 10/20/2034 6,000,000 554,410
Golden State RE II, Ltd., Floating Rate Note, 1/8/19 (Cat Bond) (144A) 2.215209 01/08/2019 750,000 750,679
Federal National Mortgage Association REMICS, 1.5%, 11/25/20 1.5 11/25/2020 745,000 168,366
Structured Asset Mortgage Investments Trust 2002-AR5, Floating Rate Note, 5/19/33 1.068 05/19/2033 7,644,000 373,559
Federal National Mortgage Association, 3.0%, 12/1/21 3.0 12/01/2021 2,000,000 912,663
Skandinaviska Enskilda Banken AB New York NY, Floating Rate Note, 9/21/15 0.5871 09/21/2015 750,000 750,687
Sequoia Mortgage Trust 2004-10, Floating Rate Note, 11/20/34 0.808 11/20/2034 1,990,836 200,584
GP Portfolio Trust 2014-GGP, Floating Rate Note, 2/16/27 (144A) 1.4665 02/16/2027 1,000,000 1,000,001
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/34 0.56825 03/25/2034 4,612,000 283,349
Vita Capital V, Ltd., Floating Rate Note, 1/15/17 (Cat Bond) (144A) 3.4576 01/15/2017 250,000 254,809
NovaStar Mortgage Funding Trust Series 2004-3, Floating Rate Note, 12/25/34 1.74325 12/25/2034 560,000 532,572
Branch Banking & Trust Co., Floating Rate Note, 5/23/17 0.5329 05/23/2017 250,000 248,902
Home Equity Mortgage Trust 2005-2, Floating Rate Note, 7/25/35 1.30825 07/25/2035 1,113,955 273,111
America Movil SAB de CV, Floating Rate Note, 9/12/16 1.2399 09/12/2016 1,000,000 1,009,729
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-G, Floating Rate Note, 1/25/30 0.72825 01/25/2030 16,956,975 704,469
Homestar Mortgage Acceptance Corp., Floating Rate Note, 7/25/34 0.61825 07/25/2034 2,600,000 221,598
Fannie Mae, 5.5%, 8/1/37 5.5 08/01/2037 2,000,000 362,014
Bear Stearns Commercial Mortgage Securities Trust 2005-PWR10, Floating Rate Note, 12/11/40 5.405 12/11/2040 1,240,000 1,038,514
MALLINCKRODT INTERNATIONAL FINANCE SA, Initial Term B Loan, 3/6/21 3.25 03/06/2021 297,750 291,981
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 3/15/41 0.5665 03/15/2041 3,243,333 710,733
Lehman ABS Manufactured Housing Contract Trust 2002-A, Floating Rate Note, 6/15/33 0.6165 06/15/2033 19,804,000 850,059
Oracle Corp., 2.25%, 10/8/19 2.25 10/08/2019 300,000 310,646
Progreso Receivables Funding I LLC, 4.0%, 7/9/18 (144A) 4.0 07/09/2018 1,000,000 1,010,055
CNH Equipment Trust 2012-C, 0.57%, 12/15/17 0.57 12/15/2017 75,000 36,859
Thornburg Mortgage Securities Trust 2004-1, Floating Rate Note, 3/25/44 1.54112 03/25/2044 20,000,000 191,312
Credit Acceptance Auto Loan Trust 2014-2, 2.67%, 9/15/22 (144A) 2.67 09/15/2022 1,000,000 1,012,239
WR Grace & Co-Conn, Delayed Draw Term Loan, 1/23/21 1.2551 01/23/2021 72,296 72,194
Bear Stearns ARM Trust 2004-10 REMICS, Floating Rate Note, 1/25/35 2.75808 01/25/2035 720,000 96,350
ZIGGO BV, (USD) TLB3, 1/15/22 3.5 01/15/2022 476,176 464,825
Duke Energy Florida, Inc., 0.65%, 11/15/15 0.65 11/15/2015 695,000 696,583
Federal Home Loan Mortgage Corp., Floating Rate Note, 2/17/32 0.618 02/17/2032 12,638,000 334,009
BCAP LLC 2013-RR7 Trust, Floating Rate Note, 12/27/34 3.0 12/27/2034 420,000 344,766
Hilton Grand Vacations Trust 2014-A, 2.07%, 11/25/26 (144A) 2.07 11/25/2026 750,000 647,232
Fannie Mae, Floating Rate Note, 4/1/29 2.359 04/01/2029 400,000 2,897
Credit Suisse Mortgage Capital Certificates REMICS, Floating Rate Note, 7/27/36 (144A) 2.70079 07/27/2036 3,494,698 646,411
Residential Reinsurance 2012, Ltd., Floating Rate Note, 12/6/16 (Cat Bond) (144A) 12.765209 12/06/2016 250,000 275,968
Selene Non-Performing Loans LLC, 2.9814%, 5/25/54 (Step) (144A) 2.9814 05/25/2054 1,020,000 983,032
Banc of America Funding 2004-B Trust, Floating Rate Note, 12/20/34 0.528 12/20/2034 6,667,000 474,787
Bear Stearns ALT-A Trust 2004-12, Floating Rate Note, 1/25/35 0.86825 01/25/2035 4,956,000 598,942
Silver Bay Realty 2014-1 Trust, Floating Rate Note, 9/18/31 (144A) 2.2165 09/18/2031 750,000 739,937
HLSS Servicer Advance Receivables Trust, 1.7436%, 1/16/46 (144A) 1.7436 01/16/2046 250,000 250,243
SLM Student Loan Trust 2004-10, Floating Rate Note, 4/27/26 (144A) 1.0061 04/27/2026 380,000 380,452
ML-CFC Commercial Mortgage Trust 2006-1, Floating Rate Note, 2/12/39 5.46685 02/12/2039 1,600,000 1,520,776
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/35 0.4865 12/15/2035 2,232,000 356,077
Exeter Automobile Receivables Trust 2014-2, 1.06%, 8/15/18 1.06 08/15/2018 400,000 266,351
GS Caltex Corp., 3.25%, 10/1/18 (144A) 3.25 10/01/2018 500,000 514,561
Activision Blizzard, Inc., Term Loan, 7/26/20 3.25 07/26/2020 650,000 649,957
Credit Suisse First Boston Mortgage Securities Corp., Floating Rate Note, 12/25/33 1.51825 12/25/2033 700,000 1,663
Freddie Mac Strips, Floating Rate Note, 12/15/36 0.5165 12/15/2036 2,327,000 139,457
Georgia Power Co., Floating Rate Note, 3/15/16 0.5606 03/15/2016 827,000 827,053
Federal Home Loan Mortgage Corp. REMICS, 3.5%, 10/15/18 3.5 10/15/2018 500,000 86,322
Credit Suisse First Boston Mortgage Securities Corp., 5.5%, 6/25/33 5.5 06/25/2033 200,000 39,335
Fannie Mae, 3.0%, 10/1/27 3.0 10/01/2027 2,000,000 1,323,637
Residential Reinsurance 2011, Ltd., Floating Rate Note, 6/6/17 (Cat Bond) (144A) 8.915209 06/06/2017 500,000 519,825
CSMC Trust 2014-SURF, Floating Rate Note, 2/15/29 (144A)   02/15/2029 700,000 699,024
Chase Issuance Trust, Floating Rate Note, 8/15/17 0.2965 08/15/2017 750,000 749,722
BCMSC Trust 1998-A, 6.65%, 4/15/28 6.65 04/15/2028 2,750,000 41,460
JP Morgan Chase Commercial Mortgage Securities Trust 2014-FL5, Floating Rate Note, 7/15/31 (144A) 1.5165 07/15/2031 490,000 489,283
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 5/15/41 0.5665 05/15/2041 638,000 112,103
RALI Series 2003-QR24 Trust REMICS, 4.0%, 7/25/33 4.0 07/25/2033 950,000 123,176
Merrill Lynch Mortgage Investors Trust Series MLCC 2005-A, Floating Rate Note, 3/25/30 0.62825 03/25/2030 7,273,883 426,100
Bayview Opportunity Master Fund IIa Trust 2012-4NPL, 3.9496%, 1/30/34 (Step) (144A) 3.9496 01/30/2034 695,000 339,528
First Franklin Mortgage Loan Trust 2003-FFC, Floating Rate Note, 11/25/32 1.46825 11/25/2032 8,000,000 398,514
SENSATA TECHNOLOGIES BV 1ST LIEN TL-B2 L + 2.75% 08Oct21 3.5 10/08/2021 648,375 650,766
Polarpak, Inc., USD Term Loan (Canadian Borrower Portion), 6/7/20 4.5 06/07/2020 157,165 154,218
RBS Greenwich Capital Mortgage Loan Trust, Floating Rate Note, 4/15/24 (144A) 5.009609 04/15/2024 250,000 252,964
ORES NPL 2013-LV2 LLC, 3.081%, 9/25/25 (144A) 3.081 09/25/2025 430,000 174,532
AXIS Equipment Finance Receivables II LLC, 3.81%, 12/20/16 3.81 12/20/2016 400,000 402,880
Fannie Mae, 3.0%, 5/1/21 3.0 05/01/2021 2,775,000 1,079,665
CIENA CORPORATION 1ST LIEN TL-B L + 3% 08Jul19 3.75 07/08/2019 348,250 346,073
Commercial Mortgage Trust 2005-GG5, Floating Rate Note, 4/10/37 5.277 04/10/2037 2,075,000 2,126,427
Extended Stay America Trust 2013-ESH, Floating Rate Note, 12/5/31 (144A) 0.872 12/05/2031 200,000 199,205
New York Life Global Funding, Floating Rate Note, 10/29/15 (144A) 0.2526 10/29/2015 750,000 749,747
Berkshire Hathaway Finance Corp., Floating Rate Note, 8/14/17 0.3582 08/14/2017 1,000,000 998,388
Colony American Homes 2014-2, Floating Rate Note, 7/19/31 (144A) 2.0665 07/19/2031 600,000 588,851
MPG HOLDCO I INC 1ST LIEN TL-B L + 3.5% 13Oct21 4.5 10/13/2021 587,899 587,847
Chesapeake Funding LLC, Floating Rate Note, 5/7/24 (144A) 2.018 05/07/2024 250,000 251,677
Morgan Stanley Dean Witter Capital I Trust 2001-TOP3, 6.79%, 7/15/33 6.79 07/15/2033 460,000 85,660
TAL Advantage V LLC, 1.7%, 5/20/39 (144A) 1.7 05/20/2039 400,000 329,083
Government National Mortgage Association, Floating Rate Note, 9/20/33 0.468 09/20/2033 704,000 58,737
Aegis Asset Backed Securities Trust Mortgage Pass- Through Ctfs Series 2004-3, Floating Rate Note, 1.26825 09/25/2034 881,754 148,674
Calpine Construction Finance Co LP, Term B-2 Loan, 1/3/22 2.73235 01/03/2022 668,236 650,694
JP Morgan Mortgage Acquisition Trust 2006-ACC1, Floating Rate Note, 5/25/36 0.31825 05/25/2036 704,088 177,875
The Toronto-Dominion Bank, Floating Rate Note, 7/2/19 0.6952 07/02/2019 750,000 750,065
Southwire Co., Initial Term Loan, 1/31/21 3.25 01/31/2021 402,211 388,804
Kilimanjaro Re, Ltd., Floating Rate Note, 4/30/18 (Cat Bond) (144A) 4.151209 04/30/2018 350,000 354,602
Federal National Mortgage Association, 4.5%, 6/25/40 4.5 06/25/2040 4,200,000 1,092,643
ConocoPhillips Co., 1.05%, 12/15/17 1.05 12/15/2017 1,000,000 997,125
Impac Secured Assets Trust 2006-2, Floating Rate Note, 8/25/36 0.51825 08/25/2036 1,173,000 231,148
Federal National Mortgage Association REMICS, Floating Rate Note, 1/25/34 0.51825 01/25/2034 10,970,000 1,659,384
Government National Mortgage Association, Floating Rate Note, 4/16/32 0.66825 04/16/2032 10,000,000 142,603
American Honda Finance Corp., 1.2%, 7/14/17 1.2 07/14/2017 750,000 753,845
Federal National Mortgage Association REMICS, Floating Rate Note, 1/25/24 1.01825 01/25/2024 51,985,111 229,818
SNAAC Auto Receivables Trust 2013-1, 1.14%, 7/16/18 (144A) 1.14 07/16/2018 404,000 29,828
CPS Auto Receivables Trust 2013-A, 1.89%, 6/15/20 (144A) 1.89 06/15/2020 690,000 367,724
SMART Trust/Australia, Floating Rate Note, 1/17/17 0.5965 01/17/2017 500,000 418,382
Harley-Davidson Financial Services, Inc., 1.15%, 9/15/15 (144A) 1.15 09/15/2015 700,000 704,928
Banc of America Funding 2003-3 Trust, 5.5%, 10/25/33 5.5 10/25/2033 617,825 114,263
Sumitomo Mitsui Banking Corp., Floating Rate Note, 7/19/16 0.9266 07/19/2016 300,000 301,261
Terex Corp., U.S. Term Loan, 8/13/21 2.9832 08/13/2021 257,686 256,397
Impac CMB Trust Series 2004-7, Floating Rate Note, 11/25/34 0.90825 11/25/2034 18,863,000 1,204,837
Fannie Mae, Floating Rate Note, 2/1/33 3.04 02/01/2033 380,000 1,373
Westgate Resorts 2012-A LLC, 2.25%, 8/20/25 (144A) 2.25 08/20/2025 1,490,000 768,984
Global Mortgage Securitization, Ltd., 5.25%, 4/25/32 (144A) 5.25 04/25/2032 795,156 230,294
GE Business Loan Trust 2004-2, Floating Rate Note, 12/15/32 (144A) 0.3865 12/15/2032 2,833,274 394,826
PFS Financing Corp., Floating Rate Note, 2/15/18 (144A) 0.7165 02/15/2018 800,000 800,107
Verizon Communications, Inc., Floating Rate Note, 9/15/16 1.7706 09/15/2016 1,285,000 1,311,020
MASTR Asset Securitization Trust 2003-6, Floating Rate Note, 7/25/18 0.56825 07/25/2018 2,444,000 66,527
SpringCastle America Funding LLC, 2.7%, 5/25/23 2.7 05/25/2023 1,020,000 900,819
Wells Fargo Alternative Loan 2005-2 Trust, Floating Rate Note, 10/25/35 0.98825 10/25/2035 453,135 450,340
JP Morgan Mortgage Trust 2004-A5, Floating Rate Note, 12/25/34 2.19839 12/25/2034 245,000 174,876
GSRPM Mortgage Loan Trust 2006-1, Floating Rate Note, 3/25/35 (144A) 0.46825 03/25/2035 1,201,850 164,928
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/35 0.51825 03/25/2035 1,278,000 244,023
GE Business Loan Trust 2003-1, Floating Rate Note, 4/15/31 (144A) 0.5965 04/15/2031 10,972,000 457,496
Thornburg Mortgage Securities Trust 2003-3, Floating Rate Note, 6/25/43 2.12832 06/25/2043 3,857,000 131,498
Federal National Mortgage Association REMICS, Floating Rate Note, 6/25/37 0.40825 06/25/2037 2,134,162 265,469
SunGard Data Systems, Inc., Tranche C Term Loan, 2/28/17 3.9175 02/28/2017 155,697 155,339
Royal Bank of Canada, Floating Rate Note, 6/16/17 0.48285 06/16/2017 1,000,000 998,943
GE Capital Commercial Mortgage Corp., Floating Rate Note, 7/10/45 4.974 07/10/2045 490,000 496,334
Federal Home Loan Mortgage Corp., Floating Rate Note, 4/15/33 0.4765 04/15/2033 22,025,143 910,047
Nissan Motor Acceptance Corp., Floating Rate Note, 3/3/17 (144A) 0.7846 03/03/2017 500,000 500,943
Fannie Mae, 4.0%, 12/1/19 4.0 12/01/2019 3,570,319 690,335
Bank of America Corp., Floating Rate Note, 8/25/17 0.84285 08/25/2017 408,000 408,015
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/37 0.41825 03/25/2037 960,000 136,788
SVO 2012-A VOI Mortgage LLC, 2.0%, 9/20/29 (144A) 2.0 09/20/2029 1,600,000 782,585
The Toronto-Dominion Bank, Floating Rate Note, 9/9/16 0.6956 09/09/2016 500,000 502,503
Small Business Administration Participation Certificates, 2.24%, 4/15/43 (144A) 2.24 04/15/2043 630,000 629,408
Fresenius US Finance I, Inc., Tranche B Term Loan, 8/7/19 2.211 08/07/2019 493,750 491,898
Credit Suisse First Boston Mortgage Securities Corp., 7.5%, 5/25/32 7.5 05/25/2032 15,000,000 309,556
Centex Home Equity Loan Trust 2005-B, 4.893%, 3/25/33 (Step) 4.893 03/25/2033 3,300,000 449,866
Terwin Mortgage Trust Series TMTS 2005-10HE, Floating Rate Note, 6/25/36 0.61825 06/25/2036 199,992 140,679
Federal National Mortgage Association, 5.0%, 8/25/22 5.0 08/25/2022 9,200,000 49,056
KeyCorp, 3.75%, 8/13/15 3.75 08/13/2015 931,000 964,188
Unifrax I LLC, New Term B Dollar Loan, 11/28/18 4.25 11/28/2018 498,743 494,795
VERS 2015-A ZERO% 31Dec17 0.0 12/31/2017 800,000 806,240
US Renal Care, Inc., Tranche B-2 Term Loan (First Lien), 7/3/19 4.25 07/03/2019 648,932 641,631
A10 Securitization 2013-1 LLC, 2.4%, 11/17/25 (144A) 2.4 11/17/2025 642,000 242,664
New York Life Global Funding, Floating Rate Note, 5/23/16 (144A) 0.6071 05/23/2016 1,050,000 1,053,565
BWAY HOLDING CO 1ST LIEN TL-B L + 4.5% 08Aug20 5.5 08/08/2020 99,500 99,541
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/37 0.4665 02/15/2037 2,840,000 167,483
ORES 2014-LV3 LLC, 3.0%, 3/27/24 (144A) 3.0 03/27/2024 550,000 333,507
MGM Resorts International, Term B Loan, 12/20/19 3.5 12/20/2019 343,000 338,198
Ventas Realty LP, 3.125%, 11/30/15 3.125 11/30/2015 500,000 511,404
Citibank Credit Card Issuance Trust, 5.1%, 11/20/17 5.1 11/20/2017 500,000 523,033
Bear Stearns Commercial Mortgage Securities Trust 2006-PWR14, 5.171%, 12/11/38 5.171 12/11/2038 790,000 246,286
Structured Asset Securities Corp Mortgage Pass-Through Ctfs Ser 2003-24A, Floating Rate Note, 7/25/ 2.44731 07/25/2033 7,700,000 906,788
Banc of America Merrill Lynch Commercial Mortgage, Inc. REMICS, Floating Rate Note, 7/10/43 4.857 07/10/2043 645,000 277,934
Ibis Re II, Ltd., Floating Rate Note, 2/5/15 (Cat Bond) (144A) 8.370279 02/05/2015 750,000 758,251
Federal National Mortgage Association 2004-T2, Floating Rate Note, 7/25/43 3.37869 07/25/2043 6,750,000 929,773
Commercial Mortgage Trust 2005-GG3, Floating Rate Note, 8/10/42 4.894 08/10/2042 1,000,000 621,602
RFSC Series 2004-RP1 Trust, Floating Rate Note, 11/25/42 (144A) 2.4195 11/25/2042 250,000 135,011
Residential Reinsurance 2012, Ltd., Floating Rate Note, 6/6/16 (Cat Bond) (144A) 8.015209 06/06/2016 250,000 269,611
Jarden Corp., Tranche B1 Term Loan, 9/30/20 2.9205 09/30/2020 246,875 247,924
ABN AMRO Bank NV, Floating Rate Note, 10/28/16 (144A) 1.0561 10/28/2016 750,000 754,656
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/42 0.7165 02/15/2042 350,000 198,237
Springleaf Funding Trust 2013-A, 2.58%, 9/15/21 (144A) 2.58 09/15/2021 1,200,000 1,205,621
CNL Commercial Mortgage Loan Trust 2003-2, Floating Rate Note, 10/25/30 (144A) 0.609 10/25/2030 1,000,000 85,654
Federal National Mortgage Association, 4.5%, 8/25/27 4.5 08/25/2027 4,509,000 143,116
Morgan Stanley Capital I Trust 2005-IQ10, Floating Rate Note, 9/15/42 5.23 09/15/2042 915,000 659,762
JP Morgan Chase Commercial Mortgage Securities Trust 2014-INN, Floating Rate Note, 6/15/29 (144A) 1.0865 06/15/2029 900,000 898,720
Citigroup, Inc., Floating Rate Note, 11/15/16 0.9121 11/15/2016 750,000 751,885
Park Place Securities Inc Asset-Backed Pass-Through Ctfs Ser 2005-WHQ4, Floating Rate Note, 9/25/35 0.53825 09/25/2035 1,793,831 511,927
Cinedigm Digital Funding I LLC, Term Loan, 2/28/18 3.75 02/28/2018 138,125 138,298
Vitality Re V, Ltd., Floating Rate Note, 1/7/19 (Cat Bond) (144A) 1.765209 01/07/2019 500,000 494,679
John Deere Capital Corp., 1.05%, 12/15/16 1.05 12/15/2016 750,000 754,882
Federal Home Loan Mortgage Corp., 5.0%, 12/1/39 5.0 12/01/2039 265,000 117,300
Westgate Resorts LLC, 2.5%, 3/20/25 (144A) 2.5 03/20/2025 250,000 94,035
Bank of America NA, 1.25%, 2/14/17 1.25 02/14/2017 500,000 503,097
GE Dealer Floorplan Master Note Trust, Floating Rate Note, 10/20/17 0.608 10/20/2017 256,000 256,275
Government National Mortgage Association I, 6.5%, 10/15/37 6.5 10/15/2037 400,000 40,139
RAAC Series 2004-SP2 Trust, 6.0%, 1/25/32 6.0 01/25/2032 11,000,000 407,648
Royal Bank of Canada, 1.45%, 9/9/16 1.45 09/09/2016 1,000,000 1,016,330
Bear Stearns Commercial Mortgage Securities Trust 2005-TOP20, Floating Rate Note, 10/12/42 5.14016 10/12/2042 1,905,000 1,843,420
Baxter International, Inc., 0.95%, 6/1/16 0.95 06/01/2016 500,000 502,106
United Auto Credit Securitization Trust 2014-1, 2.38%, 10/15/18 (144A) 2.38 10/15/2018 700,000 696,776
Fannie Mae, 5.0%, 7/1/15 5.0 07/01/2015 1,000,000 6,887
Intesa Sanpaolo S.p.A., 3.125%, 1/15/16 3.125 01/15/2016 500,000 508,698
JP Morgan Chase Commercial Mortgage Securities Trust 2007-CIBC19, Floating Rate Note, 2/12/49 5.69845 02/12/2049 475,000 4,933
Federal Home Loan Mortgage Corp., Floating Rate Note, 8/15/19 0.4665 08/15/2019 6,831,666 216,204
Hilton Worldwide Finance LLC, Initial Term Loan, 9/23/20 3.5 09/23/2020 381,578 377,703
Altria Group, Inc., 4.125%, 9/11/15 4.125 09/11/2015 310,000 321,775
RENT-A-CENTER, INC, Term Loan (2014), 2/6/21 3.75 02/06/2021 545,875 540,416
Bank of America Corp., 1.35%, 11/21/16 1.35 11/21/2016 500,000 502,062
Federal National Mortgage Association REMICS, Floating Rate Note, 5/25/33 0.66825 05/25/2033 4,068,000 103,044
Chase Issuance Trust, 0.59%, 8/15/17 0.59 08/15/2017 300,000 300,237
National Rural Utilities Cooperative Finance Corp., Floating Rate Note, 11/23/16 0.5329 11/23/2016 500,000 501,033
Fannie Mae, Floating Rate Note, 12/1/28 2.445 12/01/2028 1,112,489 53,258
Irwin Whole Loan Home Equity Trust 2003-C, Floating Rate Note, 6/25/28 1.66825 06/25/2028 2,350,000 549,587
Federal National Mortgage Association REMICS, Floating Rate Note, 6/25/37 0.41825 06/25/2037 1,010,000 93,678
Morgan Stanley Mortgage Loan Trust 2005-6AR, Floating Rate Note, 11/25/35 0.44825 11/25/2035 2,941,000 441,969
Citigroup, Inc., 1.8%, 2/5/18 1.8 02/05/2018 750,000 752,152
Federal National Mortgage Association REMICS, Floating Rate Note, 8/25/36 0.58825 08/25/2036 4,040,000 447,757
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/37 0.73825 09/25/2037 679,000 86,029
Fieldstone Mortgage Investment Trust Series 2005-1, Floating Rate Note, 3/25/35 1.24825 03/25/2035 311,000 109,643
Polarpak, Inc., USD Term Loan (U.S. Borrower Portion), 6/7/20 4.5 06/07/2020 81,880 80,345
KANE FLT% 12Jun15   06/12/2015 600,000 575,040
Fannie Mae, Floating Rate Note, 10/1/29 2.28 10/01/2029 10,892,567 85,359
NSTAR Electric Co., Floating Rate Note, 5/17/16 0.4721 05/17/2016 341,000 340,944
Residential Asset Securitization Trust 2003-A2, Floating Rate Note, 5/25/33 0.56825 05/25/2033 34,300,000 1,278,999
EQTY 2014-INNS Mortgage Trust, Floating Rate Note, 5/8/31 (144A) 1.368 05/08/2031 1,020,000 1,008,232
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/37 0.41825 03/25/2037 8,873,506 222,903
Express Scripts Holding Co., 3.125%, 5/15/16 3.125 05/15/2016 1,000,000 1,033,558
Sequoia Mortgage Trust 2005-1, Floating Rate Note, 2/20/35 0.6049 02/20/2035 4,960,000 481,256
JP Morgan Chase Commercial Mortgage Securities Trust 2014-BXH, Floating Rate Note, 4/15/27 (144A) 1.4165 04/15/2027 1,670,000 1,668,985
Toyota Motor Credit Corp., 0.75%, 3/3/17 (Step) 0.75 03/03/2017 3,150,000 3,150,109
Queen Street V Re, Ltd., Floating Rate Note, 4/9/15 (Cat Bond) (144A) 8.50507 04/09/2015 750,000 762,183
Fannie Mae Trust 2005-W4, Floating Rate Note, 6/25/45 2.23296 06/25/2045 1,600,000 241,761
Fannie Mae Connecticut Avenue Securities, Floating Rate Note, 10/25/23 2.16825 10/25/2023 1,244,000 1,003,231
American Home Mortgage Investment Trust 2004-3, 5.01%, 10/25/34 (Step) 5.01 10/25/2034 4,000,000 101,332
Fieldwood Energy LLC, Closing Date Loan, 9/25/18 3.875 09/25/2018 988,743 911,806
PNC Bank NA, Floating Rate Note, 1/28/16 0.5661 01/28/2016 500,000 500,755
BAMLL Commercial Mortgage Securities Trust 2014-FL1, Floating Rate Note, 12/15/31