Pioneer Investments: Pioneer Short Term Income Fund


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Pioneer Short Term Income Fund

Monthly Portfolio Holdings as of 12/31/2014

Security Name Coupon Maturity Date Par / Shares Market Value($)
Metropolitan Life Global Funding I, Floating Rate Note, 7/15/16 (144A) 0.7606 07/15/2016 300,000 301,773
Federal National Mortgage Association, Floating Rate Note, 2/25/23 1.0195 02/25/2023 77,000,000 387,263
Mastr Asset Backed Securities Trust 2005-WMC1, Floating Rate Note, 3/25/35 0.8445 03/25/2035 215,000 57,825
AmeriCredit Automobile Receivables Trust 2012-4, 3.82%, 2/10/20 (144A) 3.82 02/10/2020 500,000 514,076
Origen Manufactured Housing Contract Trust 2004-B, Floating Rate Note, 11/15/35 5.46 11/15/2035 460,000 380,609
Resource Capital Corp CRE Notes 2013, Ltd., Floating Rate Note, 6/15/16 (144A) 2.3108 06/15/2016 1,000,000 1,005,580
Federal Home Loan Mortgage Corp., Floating Rate Note, 4/15/36 0.5108 04/15/2036 4,003,000 651,501
Ziggo Bv 1st Lien Tl-B1 L + 2.75% 15jan22 3.5 01/15/2022 449,291 438,059
Canadian Natural Resources, Ltd., Floating Rate Note, 3/30/16 0.6316 03/30/2016 277,000 276,511
Schaeffler (Aka Ina Beteiligungsge 1st Lien Tl-B L + 3.5% 15may20 4.25 05/15/2020 500,000 500,834
Westgate Resorts LLC, 2.5%, 3/20/25 (144A) 2.5 03/20/2025 250,000 99,090
Queen Street VII Re, Ltd., Floating Rate Note, 4/8/16 (Cat Bond) (144A) 8.6325 04/08/2016 750,000 781,042
Caelus Re, Ltd., Floating Rate Note, 3/7/16 (Cat Bond) (144A) 5.2652 03/07/2016 500,000 513,181
RALI Series 2003-QS14 Trust, 5.0%, 7/25/18 5.0 07/25/2018 600,000 35,270
Citigroup, Inc., 1.3%, 4/1/16 1.3 04/01/2016 500,000 502,335
Impac CMB Trust Series 2005-4, Floating Rate Note, 5/25/35 0.8145 05/25/2035 3,000,000 284,450
Chase Issuance Trust, Floating Rate Note, 8/15/17 0.2908 08/15/2017 750,000 749,662
Wachovia Bank Commercial Mortgage Trust Series 2006-C25, Floating Rate Note, 5/15/43 5.8959 05/15/2043 1,200,000 1,042,847
Burger King Corp 1st Lien Tl-B L + 3.5% 25sep21 4.5 09/25/2021 700,000 700,312
Bear Stearns Asset Backed Securities Trust 2006-SD2, Floating Rate Note, 6/25/36 0.6595 06/25/2036 412,000 219,941
Federal Home Loan Mortgage Corp., Floating Rate Note, 1/15/35 0.4108 01/15/2035 1,635,000 226,930
Bank of America Corp., 3.7%, 9/1/15 3.7 09/01/2015 500,000 514,892
Fannie Mae, Floating Rate Note, 4/1/28 2.587 04/01/2028 400,000 3,255
Bank of America Corp., Floating Rate Note, 3/22/16 1.0671 03/22/2016 2,000,000 2,008,667
Wells Fargo Mortgage Backed Securities 2005-4 Trust, Floating Rate Note, 4/25/35 0.7695 04/25/2035 7,173,466 405,906
Bear Stearns ALT-A Trust 2004-11, Floating Rate Note, 11/25/34 1.0095 11/25/2034 7,155,000 376,238
CNH Equipment Trust 2012-C, 0.57%, 12/15/17 0.57 12/15/2017 75,000 39,780
Residential Reinsurance 2011, Ltd., Floating Rate Note, 12/6/16 (Cat Bond) (144A) 8.7652 12/06/2016 500,000 514,517
Structured Asset Securities Corp Mortgage Loan Trust 2005-2XS, 4.65%, 2/25/35 (Step) 4.65 02/25/2035 1,000,000 150,344
PNC Bank NA, Floating Rate Note, 8/1/17 0.5324 08/01/2017 750,000 747,945
Morgan Stanley Capital I Trust 2004-IQ8, Floating Rate Note, 6/15/40 5.3 06/15/2040 1,200,000 110,411
AmeriCredit Automobile Receivables Trust 2011-3, 4.04%, 7/10/17 4.04 07/10/2017 100,000 102,055
Fannie Mae, 3.0%, 5/1/21 3.0 05/01/2021 2,775,000 1,092,289
Saxon Asset Securities Trust 2005-4, Floating Rate Note, 11/25/37 0.3995 11/25/2037 9,516,000 411,964
JP Morgan Chase Commercial Mortgage Securities Trust 2006-FL2, Floating Rate Note, 11/15/18 (144A) 0.4408 11/15/2018 2,550,000 515,713
The Bank of Tokyo-Mitsubishi UFJ, Ltd., Floating Rate Note, 3/10/17 (144A) 0.6476 03/10/2017 500,000 497,703
Bear Stearns Commercial Mortgage Securities Trust 2005-TOP18, Floating Rate Note, 2/13/42 4.933 02/13/2042 1,150,000 202,577
Daimler Finance North America LLC, Floating Rate Note, 8/1/17 (144A) 0.5724 08/01/2017 617,000 615,839
First Investors Auto Owner Trust 2012-2, 1.47%, 5/15/18 (144A) 1.47 05/15/2018 200,000 43,486
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/32 0.5608 12/15/2032 1,931,288 150,817
AmeriCredit Automobile Receivables Trust 2010-4, 6.4%, 4/9/18 (144A) 6.4 04/09/2018 100,000 100,870
New Century Home Equity Loan Trust 2005-1, Floating Rate Note, 3/25/35 0.8695 03/25/2035 2,101,000 335,221
77 Energy 1st Lien Tl-B L + 3% 17jun21 3.75 06/17/2021 348,250 295,142
The Goldman Sachs Group, Inc., Floating Rate Note, 3/22/16 0.6971 03/22/2016 475,000 474,033
Oracle Corp., Floating Rate Note, 7/7/17 0.4316 07/07/2017 575,000 575,019
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 5/15/36 0.5608 05/15/2036 2,159,000 153,524
Queen City Re, Floating Rate Note, 1/6/19 (Cat Bond) (144A) 3.5152 01/06/2019 500,000 499,110
Bear Stearns ALT-A Trust 2004-4, Floating Rate Note, 6/25/34 0.7695 06/25/2034 10,699,000 855,841
Homestar Mortgage Acceptance Corp., Floating Rate Note, 6/25/34 0.5195 06/25/2034 3,670,962 306,237
Morgan Stanley Capital I Trust 2005-HQ6, 4.989%, 8/13/42 4.989 08/13/2042 1,815,000 1,707,681
Fly Funding II Sarl, Loan, 8/8/18 4.5 08/08/2018 380,000 379,050
Endo Luxembourg Finance I 1st Lien Tl-B L + 2.5% 05nov20 3.25 11/05/2020 496,250 481,983
General Mills, Inc., Floating Rate Note, 1/28/16 0.4331 01/28/2016 565,000 565,376
American Electric Power Co, Inc., 1.65%, 12/15/17 1.65 12/15/2017 500,000 500,495
Westgate Resorts 2014-1 LLC, 2.15%, 12/20/26 (144A) 2.15 12/20/2026 1,000,000 895,579
U.S. Treasury Notes, 0.5%, 6/15/16 0.5 06/15/2016 9,000,000 9,009,131
Fannie Mae Connecticut Avenue Securities, Floating Rate Note, 5/25/24 1.1195 05/25/2024 1,020,000 902,058
Silverstone Master Issuer Plc, Floating Rate Note, 1/21/55 (144A) 1.8814 01/21/2055 290,000 298,339
Successor X, Ltd., Floating Rate Note, 1/27/15 (Cat Bond) (144A) 16.51 01/27/2015 500,000 512,783
Horizon Funding Trust 2013-1, 3.0%, 5/15/18 (144A) 3.0 05/15/2018 585,000 253,330
Morgan Stanley Capital I Trust 2006-TOP21, Floating Rate Note, 10/12/52 5.162 10/12/2052 1,435,000 1,477,521
Fannie Mae, 3.0%, 10/1/27 3.0 10/01/2027 2,000,000 1,326,857
Federal National Mortgage Association REMICS, 3.0%, 4/25/40 3.0 04/25/2040 1,110,000 173,938
AMRESCO Residential Securities Corp Mortgage Loan Trust 1997-3, Floating Rate Note, 9/25/27 0.7245 09/25/2027 8,940,000 196,072
Federal National Mortgage Association, 4.0%, 1/1/20 4.0 01/01/2020 7,280,000 1,223,186
Arlington Flt% 01aug15 0.0 08/01/2015 250,000 270,350
Morgan Stanley ABS Capital I Inc Trust 2005-NC2, Floating Rate Note, 3/25/35 0.7995 03/25/2035 627,000 385,441
Hilton USA Trust 2013-HLF, Floating Rate Note, 11/5/30 (144A) 2.907 11/05/2030 500,000 493,832
Fannie Mae, 6.0%, 10/1/22 6.0 10/01/2022 973,454 286,588
Enbridge, Inc., Floating Rate Note, 10/1/16 0.8851 10/01/2016 500,000 500,860
Fannie Mae Trust 2005-W4, Floating Rate Note, 6/25/45 2.2037 06/25/2045 1,600,000 240,275
Foundation Re III, Ltd., Floating Rate Note, 2/25/15 (Cat Bond) (144A) 5.0152 02/25/2015 1,250,000 1,263,806
Discover Card Execution Note Trust, Floating Rate Note, 10/15/18 0.3408 10/15/2018 600,000 599,694
Baxter International, Inc., 4.625%, 3/15/15 4.625 03/15/2015 750,000 766,343
Structured Asset Securities Corp Mortgage Loan Trust 2005-WF4, Floating Rate Note, 11/25/35 0.5295 11/25/2035 475,000 38,567
CarMax Auto Owner Trust 2013-3, 2.15%, 5/15/19 2.15 05/15/2019 540,000 542,988
North American Development Bank, 2.3%, 10/10/18 2.3 10/10/2018 650,000 661,605
Ziggo Bv 1st Lien Tl-B2 L + 2.75% 15jan22 3.5 01/15/2022 289,532 282,294
JP Morgan Mortgage Trust 2004-S1, 5.0%, 9/25/34 5.0 09/25/2034 3,504,124 192,772
SLM Student Loan Trust 2004-10, Floating Rate Note, 4/27/26 (144A) 0.9841 04/27/2026 380,000 381,449
The Korea Development Bank, Floating Rate Note, 1/22/17 0.8571 01/22/2017 750,000 752,862
GSAMP Trust 2005-HE1, Floating Rate Note, 12/25/34 0.9053 12/25/2034 1,210,753 89,198
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/37 0.6195 09/25/2037 2,524,000 108,259
Bear Stearns Commercial Mortgage Securities Trust 2005-PWR9, Floating Rate Note, 9/11/42 4.985 09/11/2042 1,160,000 1,192,196
Royal Bank of Canada, Floating Rate Note, 6/16/17 0.4829 06/16/2017 1,000,000 998,951
International Equipment Solutions LLC, Initial Loan, 8/16/19 6.75 08/16/2019 140,771 140,419
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA New York, Floating Rate Note, 3/18/16 0.7226 03/18/2016 500,000 501,636
Ford Motor Credit Co LLC, 2.375%, 1/16/18 2.375 01/16/2018 250,000 254,170
Park Place Securities Inc Asset-Backed Pass-Through Ctfs Ser 2004-WCW2, Floating Rate Note, 10/25/34 1.0995 10/25/2034 1,076,819 38,755
Standard Chartered Plc, 3.85%, 4/27/15 (144A) 3.85 04/27/2015 500,000 508,194
DT Auto Owner Trust 2013-1, 1.67%, 2/15/19 (144A) 1.67 02/15/2019 629,000 248,487
Fannie Mae, Floating Rate Note, 12/1/28 2.445 12/01/2028 1,112,489 53,506
Government National Mortgage Association I, 6.5%, 5/15/31 6.5 05/15/2031 3,183,996 40,557
Bear Stearns Commercial Mortgage Securities Trust 2005-PWR10, Floating Rate Note, 12/11/40 5.405 12/11/2040 1,240,000 1,043,469
Citigroup, Inc., Floating Rate Note, 7/25/16 1.1936 07/25/2016 750,000 756,392
Cendant Mortgage Corp., 6.25%, 3/25/32 (144A) 6.25 03/25/2032 4,100,000 518,494
Government National Mortgage Association, Floating Rate Note, 4/16/32 0.661 04/16/2032 10,000,000 143,749
Digital Realty Trust LP, 4.5%, 7/15/15 4.5 07/15/2015 650,000 669,658
COMM 2005-C6 Mortgage Trust, Floating Rate Note, 6/10/44 5.167 06/10/2044 1,880,000 1,917,524
Cronos Containers Program I, Ltd., 3.81%, 9/18/27 (144A) 3.81 09/18/2027 500,000 388,214
Government National Mortgage Association, Floating Rate Note, 4/16/32 0.711 04/16/2032 33,333,000 608,428
Bear Stearns Mortgage Securities, Inc., Floating Rate Note, 6/25/30 2.6402 06/25/2030 731,690 117,495
JP Morgan Chase Commercial Mortgage Securities Trust 2014-FBLU, Floating Rate Note, 12/15/28 (144A) 2.1608 12/15/2028 945,000 946,924
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-A, Floating Rate Note, 3/25/28 1.149 03/25/2028 10,213,000 352,797
Wells Fargo & Co., Floating Rate Note, 6/26/15 1.1746 06/26/2015 585,000 589,411
Fannie Mae, 4.5%, 5/1/39 4.5 05/01/2039 2,100,000 862,668
Discovery Communications LLC, 3.7%, 6/1/15 3.7 06/01/2015 750,000 760,846
Madison Avenue Manufactured Housing Contract Trust 2002-A, Floating Rate Note, 3/25/32 2.4195 03/25/2032 1,100,000 378,779
Nations Equipment Finance Funding II LLC, 3.276%, 1/22/19 (144A) 3.276 01/22/2019 500,000 500,501
Structured Asset Securities Corp Mortgage Pass-Through Certificates Ser 2004-S4, Floating Rate Note, 2.6445 12/25/2034 500,000 78,932
California Republic Auto Receivables Trust 2012-1, 1.18%, 8/15/17 (144A) 1.18 08/15/2017 329,000 76,137
US Bancorp, 2.45%, 7/27/15 2.45 07/27/2015 755,000 771,605
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/36 0.4695 03/25/2036 11,585,646 1,296,601
Federal National Mortgage Association, Floating Rate Note, 6/25/36 0.5695 06/25/2036 7,000,000 790,131
Bush Truck Leasing LLC, 5.0%, 9/25/18 (144A) 5.0 09/25/2018 100,000 2,599
World Financial Network Credit Card Master Trust, Floating Rate Note, 12/16/19 0.5408 12/16/2019 950,000 950,615
Centerpoint Energy Transition Bond Co II LLC, 5.17%, 8/1/19 5.17 08/01/2019 720,000 666,808
SunTrust Banks, Inc., 3.5%, 1/20/17 3.5 01/20/2017 500,000 529,054
Federal National Mortgage Association, 3.5%, 1/25/24 3.5 01/25/2024 7,225,000 336,084
AmeriCredit Automobile Receivables Trust 2011-5, 2.45%, 12/8/16 2.45 12/08/2016 500,000 229,757
Wells Fargo Mortgage Backed Securities Trust, Floating Rate Note, 8/25/34 2.6154 08/25/2034 3,105,000 168,803
JP Morgan Chase Commercial Mortgage Securities Trust 2014-FL5, Floating Rate Note, 7/15/31 (144A) 1.5108 07/15/2031 490,000 487,797
Harley-Davidson Financial Services, Inc., 1.15%, 9/15/15 (144A) 1.15 09/15/2015 700,000 704,281
Fieldwood Energy LLC, Closing Date Loan, 9/25/18 3.875 09/25/2018 988,743 939,924
National Rural Utilities Cooperative Finance Corp., Floating Rate Note, 11/23/16 0.5329 11/23/2016 500,000 500,825
Mpg Holdco I Inc 1st Lien Tl-B L + 3.5% 13oct21 4.5 10/13/2021 587,900 585,842
Sequoia Mortgage Trust 2004-12 REMICS, Floating Rate Note, 1/20/35 0.6336 01/20/2035 3,700,000 254,933
Option One Woodbridge Loan Trust 2002-1, Floating Rate Note, 3/25/32 (144A) 1.2945 03/25/2032 1,370,736 244,715
Asset Backed Securities Corp Home Equity Loan Trust Series 2004-HE6, Floating Rate Note, 9/25/34 0.8895 09/25/2034 7,075,000 488,142
La Hipotecaria Panamanian Mortgage Trust 2007-1, Floating Rate Note, 12/23/36 (144A) 4.25 12/23/2036 1,400,000 663,013
General Mills, Inc., 0.875%, 1/29/16 0.875 01/29/2016 250,000 251,415
Ford Credit Auto Owner Trust, 2.27%, 1/15/17 2.27 01/15/2017 200,000 202,438
MortgageIT Trust 2004-1, Floating Rate Note, 11/25/34 0.9495 11/25/2034 3,200,000 430,508
Anheuser-Busch InBev Finance, Inc., Floating Rate Note, 1/27/17 0.4236 01/27/2017 500,000 498,842
GE Business Loan Trust 2005-1, Floating Rate Note, 6/15/33 (144A) 0.4108 06/15/2033 1,192,482 580,009
Ford Motor Credit Co LLC, 1.724%, 12/6/17 1.724 12/06/2017 700,000 693,604
Castle Garden Funding, Floating Rate Note, 10/27/20 (144A) 0.4936 10/27/2020 2,000,000 329,449
Toyota Motor Credit Corp., 0.75%, 3/3/17 (Step) 0.75 03/03/2017 3,150,000 3,139,207
Federal National Mortgage Association REMICS, 1.75%, 12/25/22 1.75 12/25/2022 1,000,000 294,089
First Investors Auto Owner Trust 2013-1, 2.02%, 1/15/19 (144A) 2.02 01/15/2019 200,000 199,505
Branch Banking & Trust Co., Floating Rate Note, 9/13/16 0.5606 09/13/2016 500,000 498,423
Mufg 0.12% 05jan15 Usd 0.12 01/05/2015 5,710,000 5,710,010
General Electric Capital Corp., Floating Rate Note, 7/2/15 1.2651 07/02/2015 665,000 670,491
Silverton RE, Ltd., 0.0%, 9/18/17 (Cat Bond) (144A) 0.0 09/18/2017 400,000 400,000
Hyundai Capital America, 1.875%, 8/9/16 (144A) 1.875 08/09/2016 500,000 507,160
Boston Scientific Corp., 2.65%, 10/1/18 2.65 10/01/2018 500,000 503,901
LB-UBS Commercial Mortgage Trust 2005-C3, 4.739%, 7/15/30 4.739 07/15/2030 825,000 420,979
Government National Mortgage Association, 3.0%, 4/20/41 3.0 04/20/2041 300,000 253,705
First Horizon Mortgage Pass-Through Trust 2004-AR1, Floating Rate Note, 2/25/34 2.594 02/25/2034 1,500,000 59,181
Federal National Mortgage Association, 3.0%, 6/25/39 3.0 06/25/2039 5,000,000 580,636
First Investors Auto Owner Trust 2013-3, 2.32%, 10/15/19 (144A) 2.32 10/15/2019 300,000 301,987
Fannie Mae, 6.0%, 4/1/38 6.0 04/01/2038 483,000 38,714
Fannie Mae, 6.5%, 6/1/16 6.5 06/01/2016 700,000 1,674
Merna Re V, Ltd., Floating Rate Note, 4/7/17 (Cat Bond) (144A) 2.0152 04/07/2017 650,000 651,278
Federal National Mortgage Association REMICS, Floating Rate Note, 4/25/32 1.0695 04/25/2032 10,133,000 604,825
Barclays Dryrock Issuance Trust, Floating Rate Note, 3/16/20 0.5008 03/16/2020 500,000 499,543
KeyBank NA Cleveland Ohio, 1.65%, 2/1/18 1.65 02/01/2018 1,000,000 1,003,114
Federal National Mortgage Association REMICS, Floating Rate Note, 7/25/34 0.5695 07/25/2034 1,642,000 111,906
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 11/15/37 0.5358 11/15/2037 3,358,000 538,999
Four Corners CLO II, Ltd., Floating Rate Note, 1/26/20 (144A) 2.0836 01/26/2020 553,000 531,414
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-H, Floating Rate Note, 1/25/29 0.8095 01/25/2029 6,366,000 357,138
Holmes Master Issuer Plc, Floating Rate Note, 10/15/54 (144A) 2.4306 10/15/2054 250,000 263,060
Federal Home Loan Mortgage Corp., Floating Rate Note, 1/15/33 0.6608 01/15/2033 40,000,000 1,727,970
First Franklin Mortgage Loan Trust 2005-FFH3, Floating Rate Note, 9/25/35 0.6653 09/25/2035 1,100,000 525,755
Kane Ilw Zero% 02feb16 0.0 02/02/2016 250,000 228,425
Fannie Mae, 5.5%, 12/1/35 5.5 12/01/2035 1,000,000 71,045
NovaStar Mortgage Funding Trust Series 2004-4, Floating Rate Note, 3/25/35 1.2495 03/25/2035 300,000 109,136
Monsanto Co., 1.15%, 6/30/17 1.15 06/30/2017 1,000,000 992,356
SpringCastle America Funding LLC, 2.7%, 5/25/23 2.7 05/25/2023 1,020,000 924,989
Federal Home Loan Mortgage Corp., 4.0%, 5/15/37 4.0 05/15/2037 1,753,000 144,924
GSAA Trust, Floating Rate Note, 6/25/35 0.5853 06/25/2035 440,000 311,771
Wesco Aircraft Hardware Corp., Tranche B Term Loan, 2/24/21 3.25 02/24/2021 853,125 840,328
Vericrest Opportunity Loan Transferee 2014-NPL4 LLC, 3.125%, 4/27/54 (Step) (144A) 3.125 04/27/2054 1,700,000 1,499,504
Banc of America Funding 2004-B Trust, Floating Rate Note, 12/20/34 0.5255 12/20/2034 6,667,000 492,290
RAMP Series 2004-SL4 Trust, Floating Rate Note, 5/25/18 6.2855 05/25/2018 13,780,000 78,411
RAAC Series 2005-RP2 Trust, Floating Rate Note, 6/25/35 (144A) 0.8195 06/25/2035 995,000 154,590
Morgan Stanley ABS Capital I Inc Trust 2005-WMC5, Floating Rate Note, 6/25/35 0.9045 06/25/2035 820,000 217,858
John Deere Capital Corp., 1.05%, 10/11/16 1.05 10/11/2016 1,098,000 1,102,116
GSAA Home Equity Trust 2004-6, Floating Rate Note, 6/25/34 0.9495 06/25/2034 15,032,940 383,685
JPMorgan Chase & Co., 1.1%, 10/15/15 1.1 10/15/2015 492,000 494,027
Credit Acceptance Auto Loan Trust 2012-2, 1.52%, 3/16/20 (144A) 1.52 03/16/2020 400,000 271,865
RFSC Series 2004-RP1 Trust, Floating Rate Note, 11/25/42 (144A) 2.402 11/25/2042 250,000 136,040
Nn Inc 1st Lien Tl-B L + 5% 18jul21 6.0 07/18/2021 394,286 394,039
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 6/15/41 0.5908 06/15/2041 1,220,000 320,576
COMM 2014-KYO Mortgage Trust, Floating Rate Note, 6/11/27 (144A) 1.809 06/11/2027 1,630,000 1,625,146
Principal Life Global Funding II, 1.2%, 5/19/17 (144A) 1.2 05/19/2017 750,000 745,751
Wells Fargo Home Equity Asset-Backed Securities 2005-3 Trust, Floating Rate Note, 12/25/35 0.5495 12/25/2035 200,000 60,181
Federal National Mortgage Association REMICS, Floating Rate Note, 5/25/33 0.6695 05/25/2033 4,068,000 105,204
Morgan Stanley Capital I Trust 2005-HQ6 REMICS, Floating Rate Note, 8/13/42 5.073 08/13/2042 1,250,000 1,273,819
Homestar Mortgage Acceptance Corp., Floating Rate Note, 1/25/35 0.6295 01/25/2035 3,700,000 388,205
Origen Manufactured Housing Contract Trust 2004-A, Floating Rate Note, 1/15/35 5.91 01/15/2035 600,000 253,529
JP Morgan Chase Commercial Mortgage Securities Trust 2013-ALC, Floating Rate Note, 7/17/26 (144A) 3.012 07/17/2026 412,000 415,354
Resource Capital Corp 2014-CRE2, Ltd., Floating Rate Note, 4/15/32 (144A) 1.203 04/15/2032 1,480,000 1,479,226
IXIS Real Estate Capital Trust 2005-HE4, Floating Rate Note, 2/25/36 0.8495 02/25/2036 250,000 40,399
Anheuser-Busch InBev Worldwide, Inc., 4.125%, 1/15/15 4.125 01/15/2015 580,000 591,573
Volkswagen International Finance NV, 1.6%, 11/20/17 (144A) 1.6 11/20/2017 500,000 500,756
Credit Suisse First Boston Mortgage Securities Corp., 7.5%, 5/25/32 7.5 05/25/2032 15,000,000 317,762
Merrill Lynch Mortgage Investors Trust Series 2005-A3, Floating Rate Note, 4/25/35 0.4395 04/25/2035 10,415,000 1,243,407
Chesapeake Funding LLC, Floating Rate Note, 5/7/24 (144A) 0.6072 05/07/2024 200,000 109,553
VFC 2014-2 LLC, 2.75%, 7/20/30 (144A) 2.75 07/20/2030 1,060,000 701,960
Stanwich Mortgage Loan Trust, 2.9814%, 2/16/43 (144A) 2.9814 02/16/2043 1,325,000 271,260
Eco Services Operations Llc 1st Lien Tl-B L + 3.75% 10oct21   10/10/2021 525,000 519,750
Baxter International, Inc., 0.95%, 6/1/16 0.95 06/01/2016 500,000 500,194
Express Scripts Holding Co., 2.25%, 6/15/19 2.25 06/15/2019 750,000 742,719
Home Equity Asset Trust 2005-3, Floating Rate Note, 8/25/35 0.8295 08/25/2035 250,000 8,877
BCMSC Trust 1998-A, 6.65%, 4/15/28 6.65 04/15/2028 2,750,000 49,780
Sensata Technologies Bv 1st Lien Tl-B2 L + 2.75% 08oct21 3.5 10/08/2021 648,375 649,023
Vita Capital IV, Ltd., Floating Rate Note, 1/15/16 (Cat Bond) (144A) 2.9211 01/15/2016 250,000 254,135
Countrywide Asset-Backed Certificates, Floating Rate Note, 9/25/34 (144A) 0.7195 09/25/2034 8,600,000 500,248
Mastr Specialized Loan Trust, Floating Rate Note, 1/25/36 (144A) 0.4695 01/25/2036 3,644,114 290,595
Citigroup, Inc., Floating Rate Note, 11/15/16 0.9121 11/15/2016 750,000 751,072
Credit Acceptance Auto Loan Trust 2014-2, 2.67%, 9/15/22 (144A) 2.67 09/15/2022 1,000,000 1,004,304
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 10/15/37 0.7408 10/15/2037 3,873,000 283,708
Asset Backed Securities Corp Home Equity Loan Trust Series AEG 2006-HE1, Floating Rate Note, 1/25/36 0.3695 01/25/2036 311,384 55,448
Banc of America Merrill Lynch Commercial Mortgage, Inc., 4.933%, 7/10/45 4.933 07/10/2045 800,000 810,839
GreenPoint Mortgage Funding Trust 2005-HE1, Floating Rate Note, 9/25/34 0.8445 09/25/2034 297,570 116,450
Federal National Mortgage Association REMICS, Floating Rate Note, 6/25/36 0.6195 06/25/2036 2,317,493 236,503
Morgan Stanley, Floating Rate Note, 11/9/18 3.1 11/09/2018 275,000 291,528
Drug Royalty II LP 2, Floating Rate Note, 7/15/23 (144A) 3.0806 07/15/2023 350,000 336,891
IndyMac INDX Mortgage Loan Trust 2004-AR6, Floating Rate Note, 10/25/34 2.7012 10/25/2034 675,000 78,472
Hess Corp., 1.3%, 6/15/17 1.3 06/15/2017 750,000 739,369
Federal National Mortgage Association REMICS, Floating Rate Note, 5/25/37 0.5695 05/25/2037 6,826,000 244,298
SVO 2012-A VOI Mortgage LLC, 2.0%, 9/20/29 (144A) 2.0 09/20/2029 1,600,000 800,535
Citigroup Mortgage Loan Trust, Inc., Floating Rate Note, 5/25/35 (144A) 0.9195 05/25/2035 429,900 417,620
State of Ohio, 3.0%, 6/15/15 3.0 06/15/2015 500,000 506,752
JP Morgan Mortgage Trust 2004-A5, Floating Rate Note, 12/25/34 2.1983 12/25/2034 245,000 178,233
Intesa Sanpaolo S.p.A., 3.625%, 8/12/15 (144A) 3.625 08/12/2015 1,375,000 1,412,816
Polarpak, Inc., USD Term Loan (U.S. Borrower Portion), 6/7/20 4.5 06/07/2020 81,881 80,550
Federal Home Loan Mortgage Corp., 5.5%, 8/1/23 5.5 08/01/2023 1,563,938 59,335
NorthStar 2013-1, Floating Rate Note, 8/27/29 (144A) 2.0195 08/27/2029 778,000 738,495
Royal Bank of Canada, 1.45%, 9/9/16 1.45 09/09/2016 1,000,000 1,011,594
Milacron LLC, Term Loan, 3/28/20 4.0 03/28/2020 496,250 483,844
Bank of America NA, 1.25%, 2/14/17 1.25 02/14/2017 500,000 501,230
Specialty Underwriting & Residential Finance Trust Series 2006-BC1, Floating Rate Note, 12/25/36 0.4695 12/25/2036 790,207 765,474
Atlas IX Capital, Ltd., Floating Rate Note, 1/17/19 (Cat Bond) (144A) 3.4251 01/17/2019 500,000 514,479
General Electric Capital Corp., Floating Rate Note, 5/15/17 0.5121 05/15/2017 750,000 749,221
Norcraft Companies LP, Initial Loan, 11/12/20 5.25 11/12/2020 247,500 246,572
Banc of America Alternative Loan Trust 2003-10, Floating Rate Note, 12/25/33 0.6195 12/25/2033 2,600,000 133,707
Federal National Mortgage Association, 2.0%, 8/1/23 2.0 08/01/2023 1,465,000 1,215,978
COMM 2014-FL5 Mortgage Trust, Floating Rate Note, 10/15/31 (144A) 2.303 10/15/2031 1,370,000 1,366,810
PSEG Power LLC, 2.75%, 9/15/16 2.75 09/15/2016 500,000 516,462
Credit Suisse First Boston Mortgage Securities Corp., Floating Rate Note, 12/17/40 5.23 12/17/2040 2,730,000 1,891,578
Citigroup Mortgage Loan Trust, Inc., Floating Rate Note, 3/26/35 2.5719 03/26/2035 1,750,000 158,332
Federal Home Loan Mortgage Corp., 5.0%, 2/1/21 5.0 02/01/2021 1,000,000 83,423
RBS Greenwich Capital Mortgage Loan Trust, Floating Rate Note, 4/15/24 (144A) 5.0096 04/15/2024 250,000 252,668
GSRPM Mortgage Loan Trust 2006-1, Floating Rate Note, 3/25/35 (144A) 0.4695 03/25/2035 1,201,850 168,773
American Credit Acceptance Receivables Trust 2013-2, 1.32%, 2/15/17 (144A) 1.32 02/15/2017 280,000 59,565
Credit Suisse Commercial Mortgage Trust Series 2007-C1, 5.361%, 2/15/40 5.361 02/15/2040 1,300,000 942,821
Spirit AeroSystems, Inc., Term Loan B, 9/30/20 3.25 09/30/2020 530,236 527,419
Selene Non-Performing Loans LLC, 2.9814%, 5/25/54 (Step) (144A) 2.9814 05/25/2054 1,020,000 1,000,525
SABMiller Holdings, Inc., 1.85%, 1/15/15 (144A) 1.85 01/15/2015 500,000 504,458
MASTR Alternative Loan Trust 2005-1, Floating Rate Note, 2/25/35 0.5195 02/25/2035 6,760,000 573,721
CarMax Auto Owner Trust 2012-1, 0.89%, 9/15/16 0.89 09/15/2016 745,000 161,613
Citicorp Mortgage Securities REMIC Pass-Through Certificates Trust Series 2005-7, 5.0%, 10/25/35 5.0 10/25/2035 5,635,000 382,168
Federal Home Loan Mortgage Corp., 5.0%, 12/1/39 5.0 12/01/2039 265,000 117,628
Tradewynd Re, Ltd., Floating Rate Note, 1/8/15 (Cat Bond) (144A) 6.25 01/08/2015 250,000 253,843
Sirius International Group, Ltd., 6.375%, 3/20/17 (144A) 6.375 03/20/2017 750,000 837,112
The Bank of New York Mellon Corp., 1.969%, 6/20/17 (Step) 1.969 06/20/2017 750,000 761,609
Bear Stearns Asset Backed Securities I Trust 2005-HE6, Floating Rate Note, 6/25/35 0.8895 06/25/2035 1,350,000 12,845
Westgate Resorts LLC, 9.5%, 2/20/25 (144A) 9.5 02/20/2025 1,800,000 763,632
GE Dealer Floorplan Master Note Trust, Floating Rate Note, 10/20/17 0.6055 10/20/2017 256,000 256,022
Prudential Covered Trust 2012-1, 2.997%, 9/30/15 (144A) 2.997 09/30/2015 500,000 383,108
First Investors Auto Owner Trust 2014-2, 0.86%, 8/15/18 (144A) 0.86 08/15/2018 600,000 599,289
The Bank of Nova Scotia, 1.45%, 4/25/18 1.45 04/25/2018 500,000 495,874
Federal National Mortgage Association REMICS, Floating Rate Note, 1/18/32 0.812 01/18/2032 4,920,043 73,323
Ascentium Equipment Receivables 2012-1 LLC, 1.83%, 9/15/19 (144A) 1.83 09/15/2019 822,000 71,967
SWAY Residential 2014-1 Trust, Floating Rate Note, 1/17/20 (144A) 1.4641 01/17/2020 700,000 698,360
Structured Asset Mortgage Investments II Trust 2004-AR8, Floating Rate Note, 5/19/35 0.8441 05/19/2035 24,300,000 1,268,200
Bank of America Corp., Floating Rate Note, 8/25/17 0.8429 08/25/2017 408,000 407,914
Federal National Mortgage Association, 3.5%, 7/25/24 3.5 07/25/2024 1,250,000 266,325
Impac CMB Trust Series 2004-7, Floating Rate Note, 11/25/34 0.9095 11/25/2034 18,863,000 1,207,945
Skandinaviska Enskilda Banken AB New York NY, Floating Rate Note, 9/21/15 0.5871 09/21/2015 750,000 750,350
Orange Lake Timeshare Trust 2012-A, 4.87%, 3/10/27 (144A) 4.87 03/10/2027 600,000 293,129
Vita Capital V, Ltd., Floating Rate Note, 1/15/17 (Cat Bond) (144A) 3.4211 01/15/2017 250,000 256,431
Bayview Financial Mortgage Pass-Through Trust 2005-C, Floating Rate Note, 6/28/44 0.6695 06/28/2044 1,650,000 1,625,562
Thornburg Mortgage Securities Trust 2004-4, Floating Rate Note, 12/25/44 1.8727 12/25/2044 1,225,000 200,509
Terwin Mortgage Trust Series TMTS 2003-8HE, Floating Rate Note, 12/25/34 1.1095 12/25/2034 5,234,000 158,733
Ellington Loan Acquisition Trust 2007-1, Floating Rate Note, 5/26/37 (144A) 1.0695 05/26/2037 550,000 490,672
Navistar, Inc., Tranche B Term Loan, 8/17/17 5.75 08/17/2017 400,000 399,000
MRFC Mortgage Pass-Through Trust Series 1999-TBC2 REMICS, Floating Rate Note, 6/15/30 0.6408 06/15/2030 3,714,390 217,295
Starbucks Corp., 0.875%, 12/5/16 0.875 12/05/2016 605,000 603,676
Dubai Electricity & Water Authority, 8.5%, 4/22/15 (144A) 8.5 04/22/2015 1,375,000 1,423,664
Las Vegas Sands LLC, Term B Loan, 12/19/20 3.25 12/19/2020 0 0
Federal National Mortgage Association REMICS, Floating Rate Note, 1/25/34 0.5195 01/25/2034 10,970,000 1,695,386
Citrus Re, Ltd., Floating Rate Note, 4/24/17 (Cat Bond) (144A) 3.7703 04/24/2017 600,000 603,610
Springleaf Funding Trust 2013-A, 2.58%, 9/15/21 (144A) 2.58 09/15/2021 1,200,000 1,204,831
Hilton Grand Vacations Trust 2014-A, 2.07%, 11/25/26 (144A) 2.07 11/25/2026 750,000 655,022
Avago Technologies Ltd 1st Lien Tl-B L + 3% 16apr21 3.75 04/16/2021 393,025 392,042
Federal Home Loan Mortgage Corp., Floating Rate Note, 7/1/18 2.357 07/01/2018 2,100,000 4,324
Credit Suisse Mortgage Capital Certificates REMICS, Floating Rate Note, 7/27/36 (144A) 2.7427 07/27/2036 3,494,698 702,489
BAMLL Commercial Mortgage Securities Trust 2014-ICTS, Floating Rate Note, 6/15/28 (144A) 1.2608 06/15/2028 580,000 579,778
MUFG Union Bank NA, Floating Rate Note, 9/26/16 1.0046 09/26/2016 1,450,000 1,457,557
PFS Tax Lien Trust 2014-1, 1.44%, 5/15/29 1.44 05/15/2029 400,000 311,546
Federal National Mortgage Association REMICS, Floating Rate Note, 10/25/38 1.3895 10/25/2038 1,808,000 194,686
Leaf Receivables Funding 8 LLC, 1.55%, 11/15/17 (144A) 1.55 11/15/2017 195,000 195,602
Commercial Mortgage Trust 2005-GG3, Floating Rate Note, 8/10/42 4.894 08/10/2042 1,000,000 884,558
Equity One Mortgage Pass-Through Trust 2004-3, Floating Rate Note, 7/25/34 0.4895 07/25/2034 3,011,000 184,229
American Honda Finance Corp., Floating Rate Note, 5/26/16 (144A) 0.6094 05/26/2016 1,675,000 1,679,193
Colony American Homes 2014-2, Floating Rate Note, 7/19/31 (144A) 2.0608 07/19/2031 600,000 585,095
NSTAR Electric Co., Floating Rate Note, 5/17/16 0.4721 05/17/2016 341,000 340,929
Merrill Lynch Mortgage Trust 2005-MCP1, Floating Rate Note, 6/12/43 4.747 06/12/2043 470,000 303,112
GE Dealer Floorplan Master Note Trust, Floating Rate Note, 4/20/18 0.5655 04/20/2018 1,220,000 1,218,586
Phillips 66, 2.95%, 5/1/17 2.95 05/01/2017 750,000 778,275
Banc of America Commercial Mortgage Trust 2006-1, Floating Rate Note, 9/10/45 5.421 09/10/2045 1,750,000 1,825,981
British Telecommunications Plc, 2.0%, 6/22/15 2.0 06/22/2015 1,004,000 1,010,582
Aircastle, Ltd., 6.75%, 4/15/17 6.75 04/15/2017 1,100,000 1,189,925
CDC Mortgage Capital Trust 2002-HE1, Floating Rate Note, 1/25/33 0.7753 01/25/2033 19,484,513 363,854
Morgan Stanley, Floating Rate Note, 1/5/18 0.9749 01/05/2018 750,000 750,191
Ibis Re II, Ltd., Floating Rate Note, 2/5/15 (Cat Bond) (144A) 8.3703 02/05/2015 750,000 757,157
GSAA Trust, Floating Rate Note, 6/25/35 0.9645 06/25/2035 1,900,000 493,784
America Movil SAB de CV, Floating Rate Note, 9/12/16 1.2399 09/12/2016 1,000,000 1,007,739
MGM Resorts International, Term B Loan, 12/20/19 3.5 12/20/2019 343,000 335,497
Leaf Receivables Funding 8 LLC, 2.67%, 9/15/20 (144A) 2.67 09/15/2020 311,966 313,774
Banc of America Mortgage 2003-F Trust, Floating Rate Note, 7/25/33 2.623 07/25/2033 5,619,027 255,772
Federal National Mortgage Association REMICS, Floating Rate Note, 12/25/32 0.6695 12/25/2032 34,313,143 718,755
Impac Secured Assets Trust 2006-2, Floating Rate Note, 8/25/36 0.5195 08/25/2036 1,173,000 261,531
The Huntington National Bank, 1.3%, 11/20/16 1.3 11/20/2016 500,000 498,677
Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/33 0.5195 02/25/2033 4,696,499 225,490
Bayview Commercial Asset Trust 2007-4, 3.507978%, 9/25/37 (Step) (144A) 3.508 09/25/2037 3,000,000 72,705
Hyundai Auto Receivables Trust 2014-B, 2.1%, 11/15/19 2.1 11/15/2019 500,000 500,535
ASG Resecuritization Trust 2010-3, Floating Rate Note, 12/29/45 (144A) 0.4595 12/29/2045 1,642,839 715,324
Hyperion Insurance Group, Ltd., Term Loan, 10/4/19 5.75 10/04/2019 397,000 395,759
Federal Home Loan Mortgage Corp., Floating Rate Note, 3/15/32 0.7308 03/15/2032 33,450,000 396,925
Origen Manufactured Housing Contract Trust 2005-A, Floating Rate Note, 6/15/36 5.41 06/15/2036 250,000 235,988
Morgan Stanley, Floating Rate Note, 6/6/16 1.0854 06/06/2016 500,000 498,329
Gale Force 3 Clo, Ltd., Floating Rate Note, 4/19/21 (144A) 0.4708 04/19/2021 500,000 306,806
Fannie Mae, 5.0%, 11/1/20 5.0 11/01/2020 3,800,000 274,218
Morgan Stanley Dean Witter Capital I Trust 2001-TOP3, 6.79%, 7/15/33 6.79 07/15/2033 460,000 91,916
CG-CCRE Commercial Mortgage Trust 2014-FL1, Floating Rate Note, 6/16/31 (144A) 1.1108 06/16/2031 1,630,000 1,628,201
Ibis Re II, Ltd., Floating Rate Note, 2/5/15 (Cat Bond) (144A) 13.5203 02/05/2015 1,100,000 1,118,013
RAIT 2014-FL2 Trust, Floating Rate Note, 5/15/31 (144A) 2.3078 05/15/2031 1,500,000 1,482,128
SunGard Data Systems, Inc., Tranche C Term Loan, 2/28/17 3.9072 02/28/2017 155,698 155,080
JP Morgan Chase Commercial Mortgage Securities Trust 2005-CIBC11, Floating Rate Note, 8/12/37 5.335 08/12/2037 1,610,000 602,950
GE Capital Commercial Mortgage Corp., Floating Rate Note, 7/10/45 4.974 07/10/2045 490,000 497,308
Residential Reinsurance 2014, Ltd., Floating Rate Note, 6/6/18 (Cat Bond) (144A) 3.5152 06/06/2018 250,000 253,857
East Lane Re, Ltd., Floating Rate Note, 3/13/15 (Cat Bond) (144A) 6.6703 03/13/2015 500,000 505,370
The Bank of New York Mellon Corp., 2.95%, 6/18/15 2.95 06/18/2015 750,000 759,224
Capital One Financial Corp., 2.15%, 3/23/15 2.15 03/23/2015 1,500,000 1,513,243
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 9/15/26 0.4608 09/15/2026 385,000 225,904
On Assignment, Inc., Initial Term B Loan, 5/15/20 3.5 05/15/2020 171,522 169,592
Small Business Administration Participation Certificates, 2.24%, 4/15/43 (144A) 2.24 04/15/2043 630,000 624,854
Citigroup Mortgage Loan Trust 2010-4 REMICS, 5.0%, 10/25/35 (144A) 5.0 10/25/2035 2,735,000 785,101
Federal National Mortgage Association, Floating Rate Note, 4/25/35 2.6741 04/25/2035 1,250,000 228,541
A10 Securitization 2013-1 LLC, 2.4%, 11/17/25 (144A) 2.4 11/17/2025 642,000 317,825
KeyBank NA Cleveland Ohio, 1.1%, 11/25/16 1.1 11/25/2016 500,000 499,675
BHP Billiton Finance USA, Ltd., Floating Rate Note, 9/30/16 0.5066 09/30/2016 500,000 499,836
Federal National Mortgage Association REMICS, Floating Rate Note, 7/25/35 0.4195 07/25/2035 3,227,000 379,083
Structured Asset Securities Corp Mortgage Pass-Through Ctfs Ser 2003-24A, Floating Rate Note, 7/25/3 2.4455 07/25/2033 7,700,000 917,071
Daimler Finance North America LLC, Floating Rate Note, 3/10/17 (144A) 0.5876 03/10/2017 750,000 748,776
Federal Home Loan Mortgage Corp., 5.0%, 4/15/32 5.0 04/15/2032 3,500,000 94,493
Citicorp Mortgage Securities REMIC Pass-Through Certificates Trust Series 2005-4, 5.0%, 7/25/20 5.0 07/25/2020 4,375,000 141,832
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-G, Floating Rate Note, 1/25/30 0.9574 01/25/2030 3,400,000 222,009
GMAC Commercial Mortgage Securities Inc Series 2004-C2 Trust, Floating Rate Note, 8/10/38 5.301 08/10/2038 1,465,000 11,392
Wells Fargo Bank NA, Floating Rate Note, 5/16/16 0.4421 05/16/2016 250,000 249,452
Progreso Receivables Funding II LLC, 3.5%, 7/8/19 (144A) 3.5 07/08/2019 1,370,000 1,373,920
Residential Reinsurance 2012, Ltd., Floating Rate Note, 12/6/16 (Cat Bond) (144A) 5.7652 12/06/2016 250,000 260,808
McKesson Corp., Floating Rate Note, 9/10/15 0.6376 09/10/2015 235,000 235,165
Residential Reinsurance 2011, Ltd., Floating Rate Note, 6/12/15 (Cat Bond) (144A) 8.9152 06/12/2015 500,000 518,717
Federal National Mortgage Association, 4.0%, 8/1/19 4.0 08/01/2019 5,522,434 886,779
Sequoia Mortgage Trust 2013-8, Floating Rate Note, 6/25/43 2.25 06/25/2043 414,000 348,236
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 5/15/36 0.3408 05/15/2036 4,000,000 238,425
The Goldman Sachs Group, Inc., 1.6%, 11/23/15 1.6 11/23/2015 2,125,000 2,139,760
321 Henderson Receivables I LLC, Floating Rate Note, 6/15/41 (144A) 0.3608 06/15/2041 2,000,000 681,743
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 3/15/32 1.1608 03/15/2032 35,466,000 317,879
Chase Funding Trust Series 2003-6, 4.277%, 11/27/34 (Step) 4.277 11/27/2034 1,680,000 236,650
Nissan Auto Lease Trust 2013-B, Floating Rate Note, 1/15/16 0.4308 01/15/2016 240,000 147,130
Bayview Financial Mortgage Pass-Through Trust 2006-B, Floating Rate Note, 4/28/36 0.4395 04/28/2036 603,000 36,010
Marriott Vacation Club Owner Trust 2012-1, 3.5%, 5/20/30 (144A) 3.5 05/20/2030 845,000 438,181
Navitas Equipment Receivables LLC 2013-1, 3.63%, 2/15/17 3.63 02/15/2017 650,000 652,251
Federal National Mortgage Association REMICS, Floating Rate Note, 7/25/38 1.0695 07/25/2038 6,812,000 351,707
RALI Series 2002-QS16 Trust, Floating Rate Note, 10/25/17 0.7195 10/25/2017 11,475,000 182,508
Amgen, Inc., 2.5%, 11/15/16 2.5 11/15/2016 500,000 513,206
NorthStar 2012-1 Mortgage Trust, Floating Rate Note, 8/27/29 (144A) 1.358 08/27/2029 490,818 43,925
Ameriquest Mortgage Securities Inc Asset-Backed Pass-Through Ctfs Ser 2005-R6, Floating Rate Note, 8 0.3553 08/25/2035 2,840,000 4,632
Fannie Mae, 2.5%, 6/1/23 2.5 06/01/2023 526,320 415,957
Sequoia Mortgage Trust 2005-1, Floating Rate Note, 2/20/35 0.5771 02/20/2035 4,960,000 482,224
Ascentium Equipment Receivables 2014-1 LLC, 1.04%, 1/10/17 (144A) 1.04 01/10/2017 400,000 398,459
Citigroup, Inc., Floating Rate Note, 4/1/16 1.0251 04/01/2016 500,000 503,063
Asset Backed Securities Corp Home Equity Loan Trust Series 2005-HE3, Floating Rate Note, 4/25/35 0.8745 04/25/2035 159,800 110,740
CeramTec Acquisition Corp., Initial Dollar Term B-2 Loan, 8/30/20 4.25 08/30/2020 20,850 20,641
Level 3 Financing Inc 1st Lien Tl-B5 L + 3.5% 31jan22 4.5 01/31/2022 225,000 225,774
Equity One Mortgage Pass-Through Trust 2003-1, Floating Rate Note, 8/25/33 0.9095 08/25/2033 11,389,000 360,214
Government National Mortgage Association II, 6.0%, 11/20/22 6.0 11/20/2022 1,986,670 251,965
NCF Dealer Floorplan Master Trust, Floating Rate Note, 10/20/20 (144A) 1.6655 10/20/2020 750,000 749,794
Emdeon Inc 1st Lien Tl-B3 L + 2.5% 02nov18 3.75 11/02/2018 400,000 394,500
Citigroup Mortgage Loan Trust, Inc., 7.0%, 11/25/19 7.0 11/25/2019 7,340,000 83,075
SilverLeaf Finance XVII LLC, 2.71%, 3/16/26 (144A) 2.71 03/16/2026 750,000 437,972
RALI Series 2003-QS15 Trust, 5.5%, 8/25/33 5.5 08/25/2033 250,000 163,525
Federal National Mortgage Association REMICS, 4.0%, 6/25/37 4.0 06/25/2037 900,000 29,922
Ford Credit Auto Owner Trust 2013-D, 1.54%, 3/15/19 1.54 03/15/2019 100,000 99,535
CWABS Inc Asset-Backed Certificates Trust 2004-6, Floating Rate Note, 11/25/34 0.9495 11/25/2034 4,839,000 153,018
The Toronto-Dominion Bank, Floating Rate Note, 7/2/19 0.6751 07/02/2019 750,000 750,948
John Deere Capital Corp., 2.95%, 3/9/15 2.95 03/09/2015 950,000 963,124
Vitality Re V, Ltd., Floating Rate Note, 1/7/19 (Cat Bond) (144A) 1.7601 01/07/2019 500,000 491,436
Southwire Co., Initial Term Loan, 1/31/21 3.2538 01/31/2021 402,211 388,469
CDGJ Commercial Mortgage Trust 2014-BXCH, Floating Rate Note, 12/15/27 (144A) 2.6608 12/15/2027 1,340,000 1,342,106
The Bank of Nova Scotia, 1.375%, 7/15/16 1.375 07/15/2016 500,000 506,515
Government National Mortgage Association, Floating Rate Note, 2/16/53 0.9744 02/16/2053 2,000,000 140,386
Government National Mortgage Association I, 6.0%, 12/15/31 6.0 12/15/2031 1,500,000 63,982
BPCE SA, Floating Rate Note, 4/25/16 1.4836 04/25/2016 550,000 557,563
Impac CMB Trust Series 2004-4, Floating Rate Note, 9/25/34 0.8095 09/25/2034 32,445,000 1,344,208
Government National Mortgage Association, Floating Rate Note, 8/16/52 0.9755 08/16/2052 2,000,000 104,599
NovaStar Mortgage Funding Trust Series 2004-4, Floating Rate Note, 3/25/35 1.8195 03/25/2035 1,457,000 1,432,718
Federal National Mortgage Association, 4.5%, 3/25/37 4.5 03/25/2037 9,900,000 18,062
Bear Stearns Asset Backed Securities Trust, Floating Rate Note, 2/25/35 0.9195 02/25/2035 5,848,300 162,599
Duke Energy Progress, Inc., Floating Rate Note, 3/6/17 0.4354 03/06/2017 411,000 409,869
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-B, Floating Rate Note, 4/25/28 0.8495 04/25/2028 9,700,000 436,153
HSBC Bank Plc, 3.5%, 6/28/15 (144A) 3.5 06/28/2015 750,000 760,894
Regatta Funding, Ltd., Floating Rate Note, 6/15/20 (144A) 0.4906 06/15/2020 500,000 193,656
MVW Owner Trust 2014-1, 2.7%, 9/20/31 (144A) 2.7 09/20/2031 750,000 718,082
Residential Asset Securitization Trust 2004-A9, 5.75%, 12/25/34 5.75 12/25/2034 1,130,000 424,140
Credit Suisse First Boston Mortgage Securities Corp., 4.686%, 7/15/37 4.686 07/15/2037 890,000 732,867
JP Morgan Chase Commercial Mortgage Securities Trust 2005-LDP3, Floating Rate Note, 8/15/42 4.9955 08/15/2042 800,000 817,864
Ryder System, Inc., 3.15%, 3/2/15 3.15 03/02/2015 500,000 507,150
Wells Fargo Alternative Loan 2005-2 Trust, Floating Rate Note, 10/25/35 0.9895 10/25/2035 453,135 450,211
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-B, Floating Rate Note, 5/25/29 0.6695 05/25/2029 4,636,150 245,782
JPMorgan Chase & Co., 1.875%, 3/20/15 1.875 03/20/2015 965,000 972,953
Svenska Handelsbanken AB, Floating Rate Note, 9/23/16 0.7221 09/23/2016 1,000,000 1,003,919
Caelus Re 2013, Ltd., Floating Rate Note, 4/7/20 (Cat Bond) (144A) 6.8652 04/07/2020 750,000 794,097
Structured Asset Investment Loan Trust 2005-6, Floating Rate Note, 7/25/35 0.8895 07/25/2035 719,331 638,527
The Goldman Sachs Group, Inc., Floating Rate Note, 1/12/15 0.73 01/12/2015 500,000 500,832
Federal Home Loan Mortgage Corp., Floating Rate Note, 4/15/33 0.4708 04/15/2033 22,025,143 914,331
Impac Secured Assets Trust 2006-1, Floating Rate Note, 5/25/36 0.5195 05/25/2036 1,300,000 420,130
Nomura Asset Acceptance Corp Alternative Loan Trust Series 2003-A3, 5.5%, 8/25/33 (Step) 5.5 08/25/2033 3,120,000 215,132
Morgan Stanley Mortgage Loan Trust 2005-6AR, Floating Rate Note, 11/25/35 0.4495 11/25/2035 2,941,000 452,520
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/35 0.5195 03/25/2035 1,278,000 253,017
JBS USA LLC, Incremental Term Loan, 9/18/20 3.75 09/18/2020 198,000 194,535
Mediacom Illinois LLC, Tranche F Term Loan, 3/31/18 2.64 03/31/2018 397,000 389,556
Federal National Mortgage Association REMICS, Floating Rate Note, 5/25/17 0.5695 05/25/2017 20,000,000 132,249
Ford Motor Credit Co LLC, 2.875%, 10/1/18 2.875 10/01/2018 500,000 512,366
HLSS Servicer Advance Receivables Trust, 1.7436%, 1/16/46 (144A) 1.7436 01/16/2046 250,000 250,244
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/24 0.6695 03/25/2024 4,129,409 161,482
STORE Master Funding LLC, 5.77%, 8/20/42 (144A) 5.77 08/20/2042 344,000 359,991
Banc of America Commercial Mortgage Trust 2006-4 REMICS, 5.634%, 7/10/46 5.634 07/10/2046 1,960,000 1,909,564
Kilimanjaro Re, Ltd., Floating Rate Note, 4/30/18 (Cat Bond) (144A) 4.7601 04/30/2018 650,000 670,565
RALI Series 2003-QS11 Trust, Floating Rate Note, 6/25/33 0.6695 06/25/2033 13,610,000 612,085
United Technologies Corp., Floating Rate Note, 6/1/15 0.7336 06/01/2015 500,000 501,191
Galileo Re, Ltd., Floating Rate Note, 1/9/19 (Cat Bond) (144A) 7.405 01/09/2019 500,000 523,583
Telefonica Emisiones SAU, 3.992%, 2/16/16 3.992 02/16/2016 500,000 521,731
Inwood Park CDO, Ltd., Floating Rate Note, 1/20/21 (144A) 0.4558 01/20/2021 1,000,000 297,367
GP Portfolio Trust 2014-GGP, Floating Rate Note, 2/16/27 (144A) 1.4608 02/16/2027 1,000,000 999,898
DELOS FINANCE SARL, Loan, 2/27/21 3.5 03/06/2021 425,000 422,521
JP Morgan Mortgage Trust 2005-A3, Floating Rate Note, 6/25/35 5.0274 06/25/2035 6,041,179 607,648
The Bank of Nova Scotia, 1.1%, 12/13/16 1.1 12/13/2016 500,000 500,620
Federal National Mortgage Association REMICS, Floating Rate Note, 4/25/34 0.5695 04/25/2034 644,866 77,128
Morgan Stanley Capital I Trust 2005-TOP19, 4.89%, 6/12/47 4.89 06/12/2047 1,940,000 1,730,033
Federal National Mortgage Association REMICS, Floating Rate Note, 1/25/24 1.0195 01/25/2024 51,985,111 247,959
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-A, Floating Rate Note, 3/25/28 0.9095 03/25/2028 15,000,000 720,281
Conseco Finance Home Equity Loan Trust 2002-C, Floating Rate Note, 4/15/32 1.6608 04/15/2032 2,875,000 790,346
Trafigura Securitisation Finance Plc, Floating Rate Note, 10/15/15 (144A) 2.5608 10/15/2015 525,000 527,803
Fannie Mae, Floating Rate Note, 10/1/29 2.57 10/01/2029 4,831,796 105,786
HSBC USA, Inc., Floating Rate Note, 6/23/17 0.5521 06/23/2017 750,000 748,469
Federal National Mortgage Association REMICS, Floating Rate Note, 7/25/35 0.4695 07/25/2035 750,000 165,712
Oak Hill Advisors Residential Loan Trust 2014-NPL1, 2.8828%, 5/25/54 (Step) (144A) 2.8828 05/25/2054 520,000 370,533
Federal Home Loan Mortgage Corp., 3.5%, 8/15/28 3.5 08/15/2028 500,000 169,175
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-G, Floating Rate Note, 1/25/30 0.7295 01/25/2030 16,956,975 758,983
Structured Asset Mortgage Investments II Trust 2004-AR5, Floating Rate Note, 10/19/34 0.8241 10/19/2034 8,100,000 369,271
Oracle Corp., 2.25%, 10/8/19 2.25 10/08/2019 300,000 303,699
Global Mortgage Securitization, Ltd., 5.25%, 4/25/32 (144A) 5.25 04/25/2032 795,156 234,412
Citibank Credit Card Issuance Trust, 5.1%, 11/20/17 5.1 11/20/2017 500,000 522,348
Impac Secured Assets Trust 2006-5, Floating Rate Note, 12/25/36 0.3695 12/25/2036 2,600,000 554,706
Fannie Mae, 6.5%, 7/1/32 6.5 07/01/2032 723,471 8,492
Thornburg Mortgage Securities Trust 2004-1, Floating Rate Note, 3/25/44 1.5542 03/25/2044 20,000,000 207,821
AXIS Equipment Finance Receivables II LLC, 4.94%, 7/20/18 (144A) 4.94 07/20/2018 700,000 706,270
Freddie Mac Structured Agency Credit Risk Debt Notes, Floating Rate Note, 2/25/24 1.1695 02/25/2024 485,000 448,092
GE Equipment Small Ticket LLC Series 2013-1, 0.73%, 1/25/16 (144A) 0.73 01/25/2016 200,000 76,446
JP Morgan Chase Commercial Mortgage Securities Trust 2006-LDP9, Floating Rate Note, 5/15/47 0.3158 05/15/2047 250,000 95,041
Bayview Commercial Asset Trust 2007-2, 0.0%, 7/27/37 (Step) (144A) 0.0 07/27/2037 4,500,000 0
Bright Horizons Family Solutions, Inc., Term B Loan, 1/30/20 3.75 01/30/2020 395,967 390,523
Direct Capital Funding V LLC, 4.83%, 11/20/20 (144A) 4.83 11/20/2020 750,000 762,977
Commonwealth Bank of Australia, Floating Rate Note, 9/8/17 (144A) 0.5054 09/08/2017 750,000 749,821
Quebecor Media, Inc., Facility B-1 Tranche, 8/17/20 3.25 08/17/2020 198,992 192,463
John Deere Capital Corp., 1.05%, 12/15/16 1.05 12/15/2016 750,000 752,385
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 8/15/18 0.7608 08/15/2018 600,000 108,998
Terex Corp., U.S. Term Loan, 8/13/21 2.9832 08/13/2021 257,686 255,110
WR Grace & Co-Conn, Delayed Draw Term Loan, 1/23/21 1.2551 01/23/2021 72,296 72,025
Anheuser-Busch Companies LLC, 5.0%, 1/15/15 5.0 01/15/2015 225,000 230,587
CWABS Asset-Backed Certificates Trust 2005-1, Floating Rate Note, 2/25/33 5.147 02/25/2033 244,000 34,079
Glencore Funding LLC, Floating Rate Note, 5/27/16 (144A) 1.3956 05/27/2016 1,000,000 1,006,302
Federal National Mortgage Association REMICS, 1.5%, 11/25/20 1.5 11/25/2020 745,000 171,938
TMS International Corp., Term B Loan, 10/2/20 4.5 10/02/2020 148,875 147,572
Invitation Homes 2014-SFR2 Trust, Floating Rate Note, 9/18/31 (144A) 1.7608 09/18/2031 600,000 596,174
HarborView Mortgage Loan Trust 2004-1, Floating Rate Note, 4/19/34 2.6989 04/19/2034 3,987,000 177,650
Lehman Brothers Small Balance Commercial, Floating Rate Note, 4/25/31 (144A) 0.3995 04/25/2031 3,723,496 598,053
Verizon Communications, Inc., 0.7%, 11/2/15 0.7 11/02/2015 750,000 750,525
Fosse Master Issuer Plc, Floating Rate Note, 10/18/54 (144A) 1.7308 10/18/2054 100,000 93,476
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/41 0.7195 09/25/2041 750,000 442,184
Vers 2015-A Zero% 31dec17 0.0 12/31/2017 800,000 800,000
Capital Auto Receivables Asset Trust/ Ally, 2.19%, 9/20/21 2.19 09/20/2021 125,000 125,289
Federal Home Loan Mortgage Corp., 3.0%, 1/15/30 3.0 01/15/2030 893,000 470,142
Santander Drive Auto Receivables Trust 2011-2, 3.28%, 6/15/16 3.28 06/15/2016 700,000 238,353
American Homes 4 Rent 2014-SFR1, Floating Rate Note, 6/19/31 (144A) 1.6 06/19/2031 665,000 652,802
Bear Stearns ARM Trust 2004-3, Floating Rate Note, 7/25/34 2.7576 07/25/2034 2,481,203 90,509
Fannie Mae Connecticut Avenue Securities, Floating Rate Note, 7/25/24 1.3695 07/25/2024 1,540,000 1,371,897
Banc of America Mortgage 2003-H Trust, Floating Rate Note, 9/25/33 2.7051 09/25/2033 13,410,000 1,060,841
BCAP LLC 2009-RR13-I Trust, Floating Rate Note, 9/26/35 (144A) 2.7795 09/26/2035 2,765,000 666,334
COMM 2014-TWC Mortgage Trust, Floating Rate Note, 2/13/32 (144A) 1.761 02/13/2032 1,850,000 1,847,687
Federal National Mortgage Association REMICS, 6.0%, 3/25/35 6.0 03/25/2035 1,000,000 16,054
Energy Transfer Partners LP, 5.95%, 2/1/15 5.95 02/01/2015 725,000 745,367
Federal Home Loan Mortgage Corp., Floating Rate Note, 11/15/36 0.4808 11/15/2036 2,046,908 104,363
RALI Series 2004-QS5 Trust, 4.75%, 4/25/34 4.75 04/25/2034 4,285,000 215,287
NSG Holdings LLC, New Term Loan, 12/11/19 3.75 12/11/2019 192,370 190,447
Banc of America Funding 2003-3 Trust, 5.5%, 10/25/33 5.5 10/25/2033 617,825 117,506
Bear Stearns Commercial Mortgage Securities Trust 2005-PWR9, 4.871%, 9/11/42 4.871 09/11/2042 2,280,000 1,825,497
Federal National Mortgage Association, Floating Rate Note, 3/25/36 0.5195 03/25/2036 2,108,510 458,412
Option One Mortgage Loan Trust 2005-4 Asset-Backed Certificates Series 2005-4, Floating Rate Note, 1 0.4295 11/25/2035 5,875,000 471,678
Government National Mortgage Association II, 6.0%, 10/20/21 6.0 10/20/2021 3,113,223 506,781
ACAS CLO 2007-1, Ltd., Floating Rate Note, 4/20/21 0.4608 04/20/2021 500,000 401,420
Federal National Mortgage Association, Floating Rate Note, 4/25/33 0.6695 04/25/2033 36,000,000 980,427
John Deere Capital Corp., Floating Rate Note, 10/11/16 0.52 10/11/2016 1,090,000 1,092,790
Eden Re II, Ltd., 0.0%, 4/19/18 (Cat Bond) (144A) 0.0 04/19/2018 700,000 700,000
Wachovia Corp., Floating Rate Note, 6/15/17 0.5106 06/15/2017 1,077,000 1,074,961
Government National Mortgage Association, Floating Rate Note, 3/16/53 0.9632 03/16/2053 1,200,000 75,879
The Goldman Sachs Group, Inc., Floating Rate Note, 7/22/15 0.6321 07/22/2015 700,000 700,764
General Electric Capital Corp., Floating Rate Note, 8/1/17 1.375 08/01/2017 500,000 500,137
University of California, 0.966%, 5/15/17 0.966 05/15/2017 500,000 498,187
LB-UBS Commercial Mortgage Trust 2005-C7 REMICS, Floating Rate Note, 11/15/30 (144A) 5.197 11/15/2030 2,455,809 2,265,283
Sequoia Mortgage Trust 2003-5, Floating Rate Note, 9/20/33 0.7855 09/20/2033 14,606,000 657,298
Prudential Financial, Inc., 3.875%, 1/14/15 3.875 01/14/2015 500,000 509,567
Toyota Motor Credit Corp., 1.125%, 5/16/17 1.125 05/16/2017 750,000 748,222
GSR Mortgage Loan Trust 2004-7, Floating Rate Note, 6/25/34 2.6924 06/25/2034 4,189,737 505,852
Springleaf Funding Trust 2014-A, 2.41%, 12/15/22 (144A) 2.41 12/15/2022 1,000,000 1,000,243
Federal National Mortgage Association REMICS, Floating Rate Note, 10/25/35 0.4695 10/25/2035 1,878,000 187,652
Duke Energy Carolinas LLC, 1.75%, 12/15/16 1.75 12/15/2016 750,000 761,404
CD 2006-CD2 Mortgage Trust, Floating Rate Note, 1/15/46 5.4794 01/15/2046 2,084,000 2,152,316
Foothill CLO, Ltd., Floating Rate Note, 2/22/21 (144A) 0.4779 02/22/2021 500,000 263,063
Government National Mortgage Association, Floating Rate Note, 1/16/40 0.711 01/16/2040 2,000,000 670,984
Homestar Mortgage Acceptance Corp., Floating Rate Note, 7/25/34 0.6195 07/25/2034 2,600,000 225,538
Altrl Zero% 30jun16 0.0 06/30/2016 218,850 239,794
Enterprise Products Operating LLC, 3.7%, 6/1/15 3.7 06/01/2015 1,010,000 1,024,592
JP Morgan Chase Commercial Mortgage Securities Trust 2006-FL2, Floating Rate Note, 11/15/18 (144A) 0.5208 11/15/2018 550,000 177,672
Citigroup Mortgage Loan Trust 2010-7 REMICS, Floating Rate Note, 9/25/37 (144A) 1.1558 09/25/2037 1,905,250 304,135
WESCO Distribution, Inc., Tranche B-1 Loan, 12/12/19 3.75 12/12/2019 61,163 60,971
Discover Card Execution Note Trust, 0.81%, 8/15/17 0.81 08/15/2017 500,000 500,415
Ascentium Equipment Receivables 2014-1 LLC, 3.1%, 6/10/21 (144A) 3.1 06/10/2021 700,000 705,848
VOLT XXIII LLC, 3.625%, 11/25/53 (Step) 3.625 11/25/2053 475,000 305,010
Government National Mortgage Association, Floating Rate Note, 8/20/35 0.5655 08/20/2035 1,177,000 115,112
MASTR Asset Securitization Trust 2003-6, Floating Rate Note, 7/25/18 0.5695 07/25/2018 2,444,000 68,949
Tribune Media Co., Initial Term Loan, 11/20/20 4.0 11/20/2020 806,849 796,260
Federal National Mortgage Association REMICS, 6.0%, 6/25/29 6.0 06/25/2029 685,000 123,304
GE Capital Commercial Mortgage Corp., Floating Rate Note, 7/10/45 (144A) 5.1583 07/10/2045 500,000 506,201
Nordea Bank Finland Plc New York, Floating Rate Note, 6/13/16 0.4206 06/13/2016 1,000,000 1,000,435
Branch Banking & Trust Co., Floating Rate Note, 5/23/17 0.5329 05/23/2017 250,000 248,595
Intesa Sanpaolo S.p.A., 3.125%, 1/15/16 3.125 01/15/2016 500,000 515,107
Federal National Mortgage Association REMICS, Floating Rate Note, 6/25/38 0.6695 06/25/2038 2,355,000 157,826
Structured Asset Mortgage Investments Trust 2002-AR5, Floating Rate Note, 5/19/33 1.0641 05/19/2033 7,644,000 377,282
Federal Home Loan Mortgage Corp. REMICS, 4.0%, 12/15/22 4.0 12/15/2022 890,000 1,307
Bear Stearns Commercial Mortgage Securities Trust 2006-PWR14, 5.171%, 12/11/38 5.171 12/11/2038 790,000 259,902
Government National Mortgage Association I, 6.0%, 3/15/17 6.0 03/15/2017 10,311,138 168,852
GATX Corp., 1.25%, 3/4/17 1.25 03/04/2017 750,000 745,766
Federal National Mortgage Association, 3.5%, 3/25/28 3.5 03/25/2028 2,344,102 231,307
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/30 0.4608 02/15/2030 586,107 268,007
Longpoint Re, Ltd., Floating Rate Note, 6/12/15 (Cat Bond) (144A) 6.03 06/12/2015 900,000 918,120
Sunset Mortgage Loan Co 2014-NPL2 LLC, 3.721%, 11/16/44 (Step) (144A) 3.721 11/16/2044 850,000 838,225
Polarpak, Inc., USD Term Loan (Canadian Borrower Portion), 6/7/20 4.5025 06/07/2020 157,565 155,004
TransCanada PipeLines, Ltd., 0.875%, 3/2/15 0.875 03/02/2015 490,000 491,677
RBS Greenwich Capital Mortgage Loan Trust, 3.686%, 4/15/24 (144A) 3.686 04/15/2024 2,440,000 113,625
Collateralized Mortgage Obligation Trust 44, Floating Rate Note, 7/1/18 1.2 07/01/2018 13,590,000 44,902
SASCO Mortgage Loan Trust 2005-GEL2, Floating Rate Note, 4/25/35 0.7295 04/25/2035 8,945,588 145,686
Sumitomo Mitsui Banking Corp., Floating Rate Note, 7/19/16 0.9008 07/19/2016 300,000 301,920
Federal National Mortgage Association REMICS, Floating Rate Note, 11/25/36 0.5295 11/25/2036 2,248,000 310,646
Mastr Asset Backed Securities Trust 2006-NC1, Floating Rate Note, 1/25/36 0.3595 01/25/2036 1,567,646 189,983
JP Morgan Chase Commercial Mortgage Securities Trust 2014-FBLU REMICS, Floating Rate Note, 12/15/28 1.6608 12/15/2028 1,030,000 1,031,362
General Electric Capital Corp., 1.625%, 7/2/15 1.625 07/02/2015 1,235,000 1,252,739
Ally Auto Receivables Trust 2014-SN1, Floating Rate Note, 10/20/16 0.3655 10/20/2016 500,000 397,626
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/36 0.7395 09/25/2036 3,447,000 222,549
Quest Trust REMICS, Floating Rate Note, 3/25/34 (144A) 0.8295 03/25/2034 24,804,330 971,581
Aegis Asset Backed Securities Trust Mortgage Pass- Through Ctfs Series 2004-3, Floating Rate Note, 9 1.2695 09/25/2034 881,754 151,906
BB&T Corp., 1.6%, 8/15/17 1.6 08/15/2017 103,000 103,567
The Geo Group, Inc., Term Loan, 4/3/20 3.25 04/03/2020 494,975 490,644
Federal Home Loan Mortgage Corp., Floating Rate Note, 7/15/31 0.6608 07/15/2031 49,927,842 519,085
Westwood CDO II, Ltd., Floating Rate Note, 4/25/22 (144A) 0.4536 04/25/2022 500,000 386,916
Federal National Mortgage Association REMICS, Floating Rate Note, 5/25/36 0.5195 05/25/2036 6,641,000 227,219
First Franklin Mortgage Loan Trust 2002-FFA, Floating Rate Note, 9/25/32 1.6695 09/25/2032 5,500,000 287,442
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/36 0.4608 02/15/2036 1,133,000 205,938
Wheelabrator 1st Lien Tl-B L + 4% 15oct21 5.0 10/15/2021 957,854 967,433
Duke Energy Indiana, Inc., Floating Rate Note, 7/11/16 0.58 07/11/2016 303,000 303,904
Fannie Mae Connecticut Avenue Securities, Floating Rate Note, 10/25/23 2.1695 10/25/2023 544,000 446,287
Fieldstone Mortgage Investment Trust Series 2005-1, Floating Rate Note, 3/25/35 1.2495 03/25/2035 311,000 113,962
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 7/15/23 0.5608 07/15/2023 835,000 182,243
Government National Mortgage Association, 5.25%, 5/20/31 5.25 05/20/2031 14,313,000 320,641
Manufacturers & Traders Trust Co., Floating Rate Note, 1/30/17 0.6076 01/30/2017 500,000 499,955
Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/38 0.6195 02/25/2038 624,000 166,443
Dell Equipment Finance Trust 2014-1, 2.68%, 6/22/20 (144A) 2.68 06/22/2020 750,000 752,311
LB-UBS Commercial Mortgage Trust 2004-C1, 4.568%, 1/15/31 4.568 01/15/2031 275,000 31,072
Ameriquest Mort Sec Inc Asset Backed Pass Thr Cert 03 AR3, Floating Rate Note, 6/25/33 3.9195 06/25/2033 155,851 80,272
Cinedigm Digital Funding I LLC, Term Loan, 2/28/18 3.75 02/28/2018 142,441 142,619
Home Equity Asset Trust 2006-8, Floating Rate Note, 3/25/37 0.2795 03/25/2037 1,394,318 375,301
Government National Mortgage Association, Floating Rate Note, 1/16/35 0.411 01/16/2035 2,563,000 274,953
Compass Re, Ltd., Floating Rate Note, 1/8/15 (Cat Bond) (144A) 10.265 01/08/2015 375,000 384,823
Navios Maritime Partners LP, Term Loan, 6/27/18 5.25 06/27/2018 459,188 452,300
Federal National Mortgage Association, 5.0%, 8/25/22 5.0 08/25/2022 9,200,000 87,548
CPS Auto Receivables Trust 2013-B, 1.82%, 9/15/20 (144A) 1.82 09/15/2020 157,000 80,677
AmeriCredit Automobile Receivables Trust 2013-4, 3.31%, 10/8/19 3.31 10/08/2019 500,000 509,210
First Franklin Mortgage Loan Trust 2003-FFC, Floating Rate Note, 11/25/32 1.4695 11/25/2032 8,000,000 411,953
Foresight Energy LLC, Term Loan, 8/21/20 5.5 08/21/2020 67,011 66,173
RALI Series 2003-QR24 Trust REMICS, 4.0%, 7/25/33 4.0 07/25/2033 950,000 192,010
Lehman Brothers Small Balance Commercial, Floating Rate Note, 2/25/30 (144A) 0.4195 02/25/2030 4,631,000 635,399
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 8/15/36 0.4108 08/15/2036 5,044,000 263,967
Lehman Brothers Small Balance Commercial Mortgage Trust 2007-3, Floating Rate Note, 10/25/37 (144A) 1.1195 10/25/2037 885,400 222,714
Fannie Mae, Floating Rate Note, 11/1/24 2.549 11/01/2024 7,000,000 90,483
Abbey National Treasury Services Plc London, Floating Rate Note, 9/29/17 0.6646 09/29/2017 750,000 748,173
Bosphorus Re, Ltd., Floating Rate Note, 5/3/16 (Cat Bond) (144A) 2.5608 05/03/2016 250,000 250,293
Capella Healthcare Inc 1st Lien Tl-B L + 4.25% 31dec21 5.25 12/31/2021 105,000 104,475
Bear Stearns ALT-A Trust 2004-12, Floating Rate Note, 1/25/35 1.0095 01/25/2035 3,280,000 359,258
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 10/15/20 0.3608 10/15/2020 9,083,556 161,952
Aegis Asset Backed Securities Trust Mortgage Pass-Through Ctfs Ser 2005-4, Floating Rate Note, 10/25 0.5395 10/25/2035 239,000 122,037
Morgan Stanley ABS Capital I Inc Trust 2004-SD3, Floating Rate Note, 6/25/34 (144A) 0.6295 06/25/2034 13,470,000 511,632
Federal Home Loan Mortgage Corp., 4.0%, 5/1/24 4.0 05/01/2024 2,400,000 240,174
Citibank Credit Card Issuance Trust, Floating Rate Note, 4/24/17 0.267 04/24/2017 800,000 799,516
GLC Trust 2013-1, 3.0%, 7/15/21 (144A) 3.0 07/15/2021 1,000,000 818,823
Thornburg Mortgage Securities Trust 2003-3, Floating Rate Note, 6/25/43 2.1531 06/25/2043 3,857,000 132,100
National Oilwell Varco, Inc., 1.35%, 12/1/17 1.35 12/01/2017 775,000 765,920
FHLMC Structured Pass Through Securities, Floating Rate Note, 12/25/29 0.4695 12/25/2029 12,000,000 186,249
FREMF Mortgage Trust 2012-K501, Floating Rate Note, 11/26/46 (144A) 3.4575 11/26/2046 409,000 421,084
Silverton RE, Ltd., 0.0%, 9/16/16 (Cat Bond) (144A) 0.0 09/16/2016 250,000 309,825
Metropolitan Life Insurance Co., 7.7%, 11/1/15 (144A) 7.7 11/01/2015 1,250,000 1,334,057
GSAMP Trust 2006-SEA1, Floating Rate Note, 5/25/36 (144A) 0.4695 05/25/2036 5,518,315 421,657
Principal Life Global Funding II, Floating Rate Note, 5/27/16 (144A) 0.6056 05/27/2016 390,000 391,262
Bear Stearns ALT-A Trust 2004-12, Floating Rate Note, 1/25/35 1.0095 01/25/2035 8,440,000 1,051,879
Southern Pacific Secured Asset Corp., Floating Rate Note, 3/25/28 0.5695 03/25/2028 32,000,000 288,280
Del Coronado Trust 2013-DEL, Floating Rate Note, 3/16/26 (144A) 1.4608 03/16/2026 300,000 300,159
Fannie Mae, Floating Rate Note, 1/1/25 2.598 01/01/2025 7,000,000 56,940
Ford Credit Auto Owner Trust 2014-A, 0.48%, 11/15/16 0.48 11/15/2016 260,000 125,501
Starwood Property Mortgage Trust 2013-FV1, Floating Rate Note, 8/11/28 (144A) 1.458 08/11/2028 640,000 599,563
Par Pharmaceutical Companies, Inc., Term B-2 Loan, 9/28/19 4.0 09/28/2019 640,927 626,773
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 8/15/35 0.4108 08/15/2035 462,000 92,676
RALI Series 2003-QS9 Trust, Floating Rate Note, 5/25/18 0.6195 05/25/2018 11,040,000 413,376
The Charles Schwab Corp., 0.85%, 12/4/15 0.85 12/04/2015 250,000 250,705
Sequoia Mortgage Trust 2004-7, Floating Rate Note, 8/20/34 1.7684 08/20/2034 5,000,000 222,386
The Toronto-Dominion Bank, Floating Rate Note, 5/2/17 0.4724 05/02/2017 500,000 499,095
Bear Stearns Commercial Mortgage Securities Trust 2005-TOP20, Floating Rate Note, 10/12/42 5.1291 10/12/2042 1,905,000 1,852,852
Westpac Banking Corp., Floating Rate Note, 5/19/17 0.5619 05/19/2017 1,000,000 1,000,137
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/41 0.6608 02/15/2041 1,878,046 362,505
T2 Income Fund CLO, Ltd., Floating Rate Note, 7/15/19 (144A) 0.83 07/15/2019 750,000 751,149
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/37 0.4608 02/15/2037 2,840,000 167,807
Residential Reinsurance 2011, Ltd., Floating Rate Note, 6/6/15 (Cat Bond) (144A) 9.0152 06/06/2015 500,000 516,450
Electricite de France SA, Floating Rate Note, 1/20/17 (144A) 0.6908 01/20/2017 750,000 753,092
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-C REMICS, Floating Rate Note, 6/25/28 0.8295 06/25/2028 10,150,000 461,947
Kinder Morgan, Inc. Delaware, 2.0%, 12/1/17 2.0 12/01/2017 700,000 697,030
Hyundai Capital Auto Funding VIII, Ltd., Floating Rate Note, 9/20/16 (144A) 1.162 09/20/2016 1,200,000 58,932
Government National Mortgage Association REMICS, 2.0%, 1/16/46 2.0 01/16/2046 3,000,000 2,963,017
Banc of America Merrill Lynch Commercial Mortgage, Inc., Floating Rate Note, 10/10/45 5.115 10/10/2045 1,370,000 1,215,781
Government National Mortgage Association, Floating Rate Note, 9/16/52 1.0066 09/16/2052 1,800,000 125,169
Tpf Ii Power Llc 1st Lien Tl-B L + 4.5% 24sep21 5.5 09/24/2021 750,000 752,344
Citrus Re, Ltd., Floating Rate Note, 4/18/17 (Cat Bond) (144A) 4.2703 04/18/2017 250,000 251,593
SunTrust Bank, Floating Rate Note, 4/1/15 0.5351 04/01/2015 430,000 430,270
Zoetis, Inc., 1.15%, 2/1/16 1.15 02/01/2016 500,000 501,949
MacDermid, Inc., Tranche B Term Loan (First Lien), 6/7/20 4.0 06/07/2020 748,101 734,778
Sector Re V, Ltd., 0.0%, 3/1/18 (Cat Bond) (144A) 0.0 03/01/2018 272 6,869
Kilimanjaro Re, Ltd., Floating Rate Note, 11/25/19 (Cat Bond) (144A) 3.765 11/25/2019 750,000 747,375
Credit Suisse First Boston Mortgage Securities Corp., 4.832%, 4/15/37 4.832 04/15/2037 1,265,143 1,109,965
ACRE Commercial Mortgage Trust 2014-FL2, Floating Rate Note, 8/15/31 (144A) 1.605 08/15/2031 700,000 699,070
Oracle Corp., 2.375%, 1/15/19 2.375 01/15/2019 500,000 514,128
Commercial Mortgage Pass Through Certificates, Floating Rate Note, 11/19/26 (144A) 2.1001 11/19/2026 600,000 236,282
Merrill Lynch Mortgage Trust 2005-CIP1, Floating Rate Note, 7/12/38 5.047 07/12/2038 630,000 638,000
Aflac, Inc., 3.45%, 8/15/15 3.45 08/15/2015 500,000 515,131
Federal National Mortgage Association REMICS, 5.0%, 9/25/39 5.0 09/25/2039 110,000 19,646
ANZ New Zealand Int'l, Ltd. London, 1.125%, 3/24/16 (144A) 1.125 03/24/2016 1,000,000 1,006,388
Federal National Mortgage Association, 0.75%, 8/16/17 (Step) 0.75 08/16/2017 410,000 410,631
Commercial Mortgage Trust 2005-GG5, Floating Rate Note, 4/10/37 5.277 04/10/2037 2,075,000 2,129,364
Bear Stearns ARM Trust 2003-3, Floating Rate Note, 5/25/33 2.4976 05/25/2033 9,158,341 267,491
Wells Fargo & Co., 1.5%, 7/1/15 1.5 07/01/2015 1,050,000 1,063,512
CareFusion Corp., 1.45%, 5/15/17 1.45 05/15/2017 750,000 746,082
Ford Motor Credit Co LLC, 1.7%, 5/9/16 1.7 05/09/2016 500,000 502,998
JP Morgan Chase Commercial Mortgage Securities Trust 2014-BXH, Floating Rate Note, 4/15/27 (144A) 1.4108 04/15/2027 1,670,000 1,669,167
Santander Drive Auto Receivables Trust 2012-5, 2.7%, 8/15/18 2.7 08/15/2018 125,000 127,315
Fannie Mae, 4.5%, 1/1/41 4.5 01/01/2041 580,000 285,590
Centex Home Equity Loan Trust 2005-B, 4.893%, 3/25/33 (Step) 4.893 03/25/2033 3,300,000 544,451
Apple, Inc., Floating Rate Note, 5/3/16 0.2824 05/03/2016 400,000 400,190
PNC Bank NA, 1.125%, 1/27/17 1.125 01/27/2017 450,000 451,928
COMM 2014-PAT Mortgage Trust, Floating Rate Note, 8/13/27 (144A) 1.8033 08/13/2027 820,000 817,126
CGWF Commercial Mortgage Trust 2013-RKWH REMICS, Floating Rate Note, 11/15/30 (144A) 2.0608 11/15/2030 1,720,000 1,725,056
Banc of America Commercial Mortgage Trust 2006-1, Floating Rate Note, 9/10/45 5.46 09/10/2045 1,000,000 1,035,268
CeramTec Service GmbH, Initial Dollar Term B-1 Loan, 8/30/20 4.25 08/30/2020 210,174 208,073
Unifrax I LLC, New Term B Dollar Loan, 11/28/18 4.25 11/28/2018 498,744 494,795
Rialto Capital Management LLC, 2.85%, 5/15/24 (144A) 2.85 05/15/2024 700,000 200,986
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/35 0.3895 03/25/2035 4,100,000 639,066
Honda Auto Receivables 2013-2 Owner Trust, 0.53%, 2/16/17 0.53 02/16/2017 285,000 285,058
HLSS Servicer Advance Receivables Trust, 1.2437%, 1/17/45 1.2437 01/17/2045 1,250,000 1,250,691
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 7/15/36 0.6608 07/15/2036 3,107,000 241,825
CHS, 2021 Term D Loan, 1/27/21 4.25 01/27/2021 264,864 264,681
Sierra Timeshare 2012-3 Receivables Funding LLC, 1.87%, 8/20/29 (144A) 1.87 08/20/2029 1,400,000 453,321
ACA CLO 2006-2, Ltd., Floating Rate Note, 1/20/21 (144A) 0.9508 01/20/2021 500,000 492,301
Structured Asset Mortgage Investments II Trust 2005-AR2, Floating Rate Note, 5/25/45 3.593 05/25/2045 5,000,000 481,199
The Bank of New York Mellon Corp., Floating Rate Note, 10/23/15 0.4606 10/23/2015 595,000 596,169
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-E, Floating Rate Note, 10/25/28 0.7895 10/25/2028 8,393,000 407,630
Fannie Mae, 4.0%, 12/1/19 4.0 12/01/2019 7,140,638 1,410,482
Home Loan Trust 2003-HI1, 5.77%, 4/25/28 (Step) 5.77 04/25/2028 1,500,000 94,700
Irwin Home Equity Loan Trust 2005-1, 5.32%, 6/25/35 (Step) 5.32 06/25/2035 900,000 118,951
Live Nation Entertainment, Inc., Term B-1 Loan, 8/17/20 3.5 08/17/2020 511,525 505,770
Mastr Asset Backed Securities Trust 2006-AB1 REMICS, Floating Rate Note, 2/25/36 0.3995 02/25/2036 3,670,545 616,174
Structured Asset Securities Corp Mortgage Pass Through Ctfs Series 2003-35, Floating Rate Note, 12/2 0.6695 12/25/2033 4,960,000 276,566
Bear Stearns ALT-A Trust 2004-12, Floating Rate Note, 1/25/35 0.8695 01/25/2035 4,956,000 619,973
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 8/15/25 0.4108 08/15/2025 970,000 301,507
AmeriCredit Automobile Receivables Trust 2013-4, 0.74%, 11/8/16 0.74 11/08/2016 500,000 134,697
Federal Home Loan Mortgage Corp., Floating Rate Note, 2/17/32 0.612 02/17/2032 12,638,000 341,112
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/35 0.4808 12/15/2035 2,232,000 360,412
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/39 0.4608 02/15/2039 288,000 149,588
Merrill Lynch Mortgage Investors Trust Series 2005-2, Floating Rate Note, 10/25/35 2.35 10/25/2035 1,543,473 383,734
CNL Commercial Mortgage Loan Trust 2003-2, Floating Rate Note, 10/25/30 (144A) 0.6088 10/25/2030 1,000,000 88,597
GMAC Commercial Mortgage Securities Inc Series 2005-C1 Trust, 4.697%, 5/10/43 4.697 05/10/2043 1,019,000 812,981
Federal National Mortgage Association REMICS, Floating Rate Note, 11/25/39 0.8695 11/25/2039 2,750,000 489,793
Fannie Mae, Floating Rate Note, 4/1/29 2.36 04/01/2029 400,000 2,911
Nissan Motor Acceptance Corp., 2.65%, 9/26/18 (144A) 2.65 09/26/2018 1,000,000 1,025,270
Bear Stearns Commercial Mortgage Securities Trust 2005-PWR7, Floating Rate Note, 2/11/41 5.214 02/11/2041 550,000 553,070
JP Morgan Mortgage Acquisition Trust 2006-ACC1, Floating Rate Note, 5/25/36 0.3195 05/25/2036 704,088 184,703
Shell International Finance BV, Floating Rate Note, 11/15/16 0.4421 11/15/2016 750,000 750,680
Thermo Fisher Scientific, Inc., 2.4%, 2/1/19 2.4 02/01/2019 1,000,000 1,011,491
Accredited Mortgage Loan Trust 2005-2, Floating Rate Note, 7/25/35 0.5695 07/25/2035 240,000 235,561
U.S. Treasury Notes, 1.75%, 5/31/16 1.75 05/31/2016 18,500,000 18,865,217
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-A REMICS, Floating Rate Note, 4/25/29 0.6295 04/25/2029 9,673,948 516,873
Ameriquest Mortgage Securities Inc Asset-Backed Pass-Through Ctfs Ser 2005-R9, 4.82156%, 11/25/35 (S 4.8216 11/25/2035 590,000 498,330
Westlake Automobile Receivables Trust 2013-1, 1.12%, 1/15/18 (144A) 1.12 01/15/2018 150,000 74,837
Federal Home Loan Mortgage Corp. REMICS, 5.0%, 6/15/34 5.0 06/15/2034 401,000 5,796
Federal National Mortgage Association REMICS, Floating Rate Note, 10/25/36 0.5695 10/25/2036 11,844,000 433,617
JP Morgan Chase Commercial Mortgage Securities Trust 2005-LDP3 REMICS, Floating Rate Note, 8/15/42 4.936 08/15/2042 440,000 384,472
SBA Senior Finance II LLC, Incremental Tranche B-1 Term Loan, 3/31/21 3.25 03/31/2021 199,000 195,269
Wells Fargo & Co., 1.25%, 7/20/16 1.25 07/20/2016 500,000 504,453
Charter Communications 1st Lien Tl-B L + 3.5% 12aug21   08/12/2021 360,000 362,275
Wachovia Bank Commercial Mortgage Trust Series 2005-C18, 4.935%, 4/15/42 4.935 04/15/2042 1,506,334 570,425
Wells Fargo Mortgage Backed Securities 2006-16 Trust, 5.0%, 11/25/36 5.0 11/25/2036 550,000 25,183
Bayview Opportunity Master Fund Trust IIIa 2014-12RPL, 3.6225%, 7/28/19 (Step) (144A) 3.6225 07/28/2019 465,000 287,697
Government National Mortgage Association, Floating Rate Note, 2/20/38 0.6655 02/20/2038 2,477,000 212,645
Crown Americas Llc 1st Lien Tl-B L + 3.25% 20oct21   10/20/2021 350,000 350,963
HSBC Bank Middle East, Ltd., 3.0%, 10/21/15 3.0 10/21/2015 750,000 764,712
American Airlines Inc 1st Lien Tl-B L + 3.5% 08oct21 4.25 10/08/2021 750,000 751,875
Irwin Whole Loan Home Equity Trust 2005-B, Floating Rate Note, 12/25/29 0.6395 12/25/2029 1,775,000 954,269
Bella Vista Mortgage Trust 2004-1, Floating Rate Note, 11/20/34 0.8655 11/20/2034 12,618,000 350,779
RALI Series 2004-QS1 Trust, 4.25%, 1/25/34 4.25 01/25/2034 14,997,000 43,562
Federal Home Loan Mortgage Corp., 6.5%, 7/1/16 6.5 07/01/2016 2,000,000 7,175
RALI Series 2004-QS1 Trust, Floating Rate Note, 1/25/34 0.7195 01/25/2034 2,884,000 15,854
Ameriquest Mortgage Securities Inc Asset Backed Pass-Through Ctfs Ser 2005-R11, Floating Rate Note, 0.4853 01/25/2036 962,222 623,636
Becton Dickinson and Co., 1.8%, 12/15/17 1.8 12/15/2017 750,000 753,366
Mythen Re, Ltd. Series 2013-1 Class B, Floating Rate Note, 7/9/15 (Cat Bond) (144A) 8.005 07/09/2015 700,000 735,607
RASC Series 2005-EMX2 Trust, Floating Rate Note, 7/25/35 0.6495 07/25/2035 40,280 5,072
Banc of America Mortgage Trust 2004-7, 4.5%, 8/25/19 4.5 08/25/2019 181,000 12,767
PACCAR Financial Corp., Floating Rate Note, 6/6/17 0.4254 06/06/2017 485,000 485,117
CeramTec GmbH, Dollar Term B-3 Loan, 8/30/20 4.25 08/30/2020 62,826 62,198
Senior Housing Properties Trust, 4.3%, 1/15/16 4.3 01/15/2016 290,000 301,804
American Credit Acceptance Receivables Trust 2014-1, 1.14%, 3/12/18 (144A) 1.14 03/12/2018 520,000 211,709
RESI Finance LP 2003-CB1, Floating Rate Note, 7/9/35 1.6117 07/09/2035 2,245,000 581,995
Assurant, Inc., 2.5%, 3/15/18 2.5 03/15/2018 300,000 305,093
Credit Acceptance Auto Loan Trust 2013-2, 1.5%, 4/15/21 (144A) 1.5 04/15/2021 1,000,000 1,002,647
RESI Finance LP, Floating Rate Note, 9/10/35 (144A) 1.5617 09/10/2035 2,618,783 478,159
GS Mortgage Securities Trust 2006-GG6 REMICS, Floating Rate Note, 4/10/38 5.553 04/10/2038 1,020,000 1,051,405
Federal National Mortgage Association 2006-48-T, 5.5%, 12/25/34 5.5 12/25/2034 1,716,418 406,714
Equity One Mortgage Pass-Through Trust 2004-1, Floating Rate Note, 4/25/34 4.145 04/25/2034 1,840,000 469,287
Longpoint Re, Ltd. III, Floating Rate Note, 5/18/16 (Cat Bond) (144A) 3.9752 05/18/2016 750,000 764,813
Federal Home Loan Mortgage Corp., Floating Rate Note, 12/1/31 2.533 12/01/2031 49,986,196 266,898
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/32 0.5608 12/15/2032 2,900,000 229,897
Sanders Re, Ltd., Floating Rate Note, 6/7/17 (Cat Bond) (144A) 3.9 06/07/2017 650,000 656,468
SNAAC Auto Receivables Trust, 4.38%, 6/15/17 (144A) 4.38 06/15/2017 460,000 341,644
Express Scripts Holding Co., 3.125%, 5/15/16 3.125 05/15/2016 1,000,000 1,031,936
Countrywide Asset-Backed Certificates, Floating Rate Note, 11/25/35 0.7595 11/25/2035 2,175,000 77,111
Banc of America Alternative Loan Trust 2004-2, 5.5%, 3/25/19 5.5 03/25/2019 954,266 97,037
HomeBanc Mortgage Trust 2005-2, Floating Rate Note, 5/25/25 0.5895 05/25/2025 6,015,011 217,527
Impac CMB Trust Series 2004-4, Floating Rate Note, 9/25/34 0.7895 09/25/2034 14,479,489 600,071
Pangaea Zero% 01jul18 0.0 07/01/2018 700,000 745,010
Bear Stearns ALT-A Trust 2004-12, Floating Rate Note, 1/25/35 0.8695 01/25/2035 9,210,000 1,081,252
Diamond Resorts Owner Trust 2013-2, 2.62%, 5/20/26 (144A) 2.62 05/20/2026 750,000 442,736
NCUA Guaranteed Notes Trust REMICS, 1.6%, 10/29/20 1.6 10/29/2020 500,000 185,959
ACE Securities Corp Manufactured Housing Trust Series 2003-MH1, Floating Rate Note, 8/15/30 (144A) 6.5 08/15/2030 425,000 46,384
Citigroup Mortgage Loan Trust 2006-SHL1, Floating Rate Note, 11/25/46 (144A) 0.3695 11/25/2046 4,965,000 510,262
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/37 0.7495 09/25/2037 3,700,000 349,908
Credit Suisse First Boston Mortgage Securities Corp., 4.877%, 4/15/37 4.877 04/15/2037 500,000 503,299
A10 Term Asset Financing 2013-2 LLC, 2.62%, 11/15/27 (144A) 2.62 11/15/2027 1,085,000 1,055,314
The Boeing Co., 0.95%, 5/15/18 0.95 05/15/2018 1,050,000 1,027,971
GS Mortgage Securities Trust 2014-GSFL, Floating Rate Note, 7/15/31 (144A) 1.9108 07/15/2031 495,000 495,030
Homestar Mortgage Acceptance Corp., Floating Rate Note, 3/25/34 0.8095 03/25/2034 25,588,000 1,446,609
SASCO Mortgage Loan Trust 2005-GEL1, Floating Rate Note, 12/25/34 0.7195 12/25/2034 510,000 347,205
Colony American Homes 2014-1, Floating Rate Note, 5/19/31 (144A) 2.1 05/19/2031 700,000 682,005
Federal Home Loan Mortgage Corp., Floating Rate Note, 5/1/25 2.167 05/01/2025 588,110 6,032
CPS Auto Receivables Trust 2013-A, 1.89%, 6/15/20 (144A) 1.89 06/15/2020 690,000 381,239
Sanders Re, Ltd., Floating Rate Note, 5/5/17 (Cat Bond) (144A) 4.0101 05/05/2017 750,000 755,867
NorthStar 2012-1 Mortgage Trust, Floating Rate Note, 8/27/29 (144A) 4.403 08/27/2029 200,000 201,095
Wheelabrator 1st Lien Tl-C L + 4% 15oct21 5.0 10/15/2021 42,146 42,567
Federal Home Loan Mortgage Corp., Floating Rate Note, 7/15/19 0.3108 07/15/2019 1,500,000 99,478
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/34 0.5695 03/25/2034 763,500 208,206
Walgreens Boots Alliance, Inc., Floating Rate Note, 5/18/16 0.6821 05/18/2016 750,000 750,603
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/37 0.5195 03/25/2037 9,250,000 279,102
Government National Mortgage Association, Floating Rate Note, 2/20/35 0.4155 02/20/2035 2,059,000 270,804
Bear Stearns Structured Products Trust 2007-EMX1, Floating Rate Note, 3/25/37 (144A) 1.1695 03/25/2037 1,130,000 219,931
BLCP Hotel Trust, Floating Rate Note, 8/15/29 (144A) 1.5108 08/15/2029 1,610,000 1,591,679
Banco Nacional de Desenvolvimento Economico e Social, 3.375%, 9/26/16 (144A) 3.375 09/26/2016 1,000,000 1,012,306
MUFG Union Bank NA, 2.625%, 9/26/18 2.625 09/26/2018 1,000,000 1,021,673
Bank of America Corp., 1.35%, 11/21/16 1.35 11/21/2016 500,000 499,329
Federal National Mortgage Association REMICS, 4.0%, 5/25/29 4.0 05/25/2029 2,000,000 2,069,571
U.S. Treasury Notes, 0.75%, 1/15/17 0.75 01/15/2017 7,500,000 7,522,596
Honda Auto Receivables 2012-2 Owner Trust, 0.7%, 2/16/16 0.7 02/16/2016 350,000 77,856
JP Morgan Mortgage Trust 2004-A1, Floating Rate Note, 2/25/34 2.49 02/25/2034 3,584,000 317,921
WaMu Mortgage Pass-Through Certificates Series 2003-S10, 5.0%, 10/25/18 5.0 10/25/2018 17,361,049 562,875
Texas Instruments, Inc., 0.875%, 3/12/17 0.875 03/12/2017 500,000 499,202
First Horizon Mortgage Pass-Through Trust 2004-AR5, Floating Rate Note, 10/25/34 2.5635 10/25/2034 940,000 53,349
National City Bank Cleveland Ohio, Floating Rate Note, 12/15/16 0.5906 12/15/2016 250,000 248,981
Ibis Re II, Ltd., Floating Rate Note, 6/28/16 (Cat Bond) (144A) 4.0203 06/28/2016 500,000 511,278
Wells Fargo Mortgage Backed Securities 2005-AR6 Trust, Floating Rate Note, 4/25/35 4.6207 04/25/2035 3,371,000 237,941
TimberStar Trust 1 REMICS, 5.668%, 10/15/36 (144A) 5.668 10/15/2036 525,000 561,382
Federal National Mortgage Association REMICS, Floating Rate Note, 5/18/32 0.662 05/18/2032 31,809,000 669,326
Nordea Bank AB, Floating Rate Note, 5/13/16 (144A) 0.6932 05/13/2016 250,000 250,816
Verint Systems, Inc., Tranche B Incremental Term Loan, 9/6/19 3.5 09/06/2019 261,457 259,758
Ford Credit Auto Owner Trust 2013-C, 0.55%, 4/15/16 0.55 04/15/2016 385,000 25,157
UnitedHealth Group, Inc., 1.875%, 11/15/16 1.875 11/15/2016 500,000 509,114
Jarden Corp., Tranche B1 Term Loan, 9/30/20 2.9193 09/30/2020 246,875 246,628
Federal Home Loan Mortgage Corp., Floating Rate Note, 4/1/29 2.618 04/01/2029 160,000 2,029
LPL Holdings, Inc., 2013 Incremental Tranche B Term Loan, 3/29/19 3.25 03/29/2019 146,273 144,247
GE Business Loan Trust 2004-1, Floating Rate Note, 5/15/32 (144A)