Pioneer Investments: Pioneer Short Term Income Fund


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Pioneer Short Term Income Fund

Monthly Portfolio Holdings as of 2/28/2014

Security Name Coupon Maturity Date Par / Shares Market Value($)
Federal National Mortgage Association, Floating Rate Note, 8/25/35 0.4555 08/25/2035 2,868,000 424,218
Commonwealth Edison Co., 1.95%, 9/1/16 1.95 09/01/2016 500,000 517,078
GMACM Mortgage Loan Trust 2004-AR1, Floating Rate Note, 6/25/34 3.1126 06/25/2034 1,700,000 174,753
Textainer Marine Containers, Ltd., 4.21%, 4/15/27 (144A) 4.21 04/15/2027 600,000 492,485
Wells Fargo Bank NA, Floating Rate Note, 6/16/14 0.1845 06/16/2014 750,000 750,092
Structured Asset Securities Corp Mortgage Loan Trust 2006-BC4, Floating Rate Note, 12/25/36 0.2655 12/25/2036 435,585 57,865
Federal National Mortgage Association, 3.0%, 12/1/21 3.0 12/01/2021 2,000,000 1,154,782
Government National Mortgage Association, Floating Rate Note, 9/20/33 0.454 09/20/2033 704,000 147,421
Sequoia Mortgage Trust 2013-8, Floating Rate Note, 6/25/43 2.25 06/25/2043 314,000 280,309
Government National Mortgage Association, 4.5%, 5/20/33 4.5 05/20/2033 390,000 16,652
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 10/15/20 0.3545 10/15/2020 9,083,556 247,001
Structured Asset Securities Corp Mortgage Pass-Through Ctfs Ser 2003-24A, Floating Rate Note, 7/25/3 2.4505 07/25/2033 7,700,000 1,034,391
NCUA Guaranteed Notes Trust REMICS, 1.6%, 10/29/20 1.6 10/29/2020 500,000 272,838
RAMP Series 2003-RS9 Trust, Floating Rate Note, 10/25/33 5.06 10/25/2033 5,091,956 665,617
Federal National Mortgage Association, 3.5%, 7/25/24 3.5 07/25/2024 1,250,000 374,806
NYSE Euronext, 2.0%, 10/5/17 2.0 10/05/2017 150,000 154,532
PACCAR Financial Corp., Floating Rate Note, 6/5/14 0.4913 06/05/2014 1,055,000 1,056,891
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-B, Floating Rate Note, 5/25/29 0.6555 05/25/2029 3,321,150 223,734
Federal Home Loan Mortgage Corp. REMICS, 3.5%, 10/15/18 3.5 10/15/2018 500,000 131,446
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/37 0.4055 03/25/2037 960,000 170,800
Trinity Rail Leasing LP, 2.266%, 1/15/43 (144A) 2.266 01/15/2043 580,000 500,497
Government National Mortgage Association, Floating Rate Note, 3/16/53 1.0501 03/16/2053 1,200,000 91,068
Federal Home Loan Mortgage Corp. REMICS, 4.0%, 12/15/22 4.0 12/15/2022 890,000 44,181
ASG Resecuritization Trust 2010-3, Floating Rate Note, 12/28/45 (144A) 0.4629 12/28/2045 1,642,839 866,852
Federal National Mortgage Association REMICS, 6.0%, 6/25/29 6.0 06/25/2029 685,000 151,353
Vodafone Group Plc, Floating Rate Note, 2/19/16 0.6201 02/19/2016 275,000 275,584
Starbucks Corp., 0.875%, 12/5/16 0.875 12/05/2016 605,000 605,766
Citigroup, Inc., Floating Rate Note, 4/1/16 1.0366 04/01/2016 500,000 503,842
Lehman Brothers Small Balance Commercial, Floating Rate Note, 9/25/30 (144A) 0.4055 09/25/2030 3,264,773 600,452
Home Equity Mortgage Trust, Floating Rate Note, 7/25/35 1.2955 07/25/2035 1,113,955 661,234
Federal Home Loan Mortgage Corp., Floating Rate Note, 8/1/31 2.658 08/01/2031 12,000,000 115,052
Hilton Worldwide Finance LLC, 9/23/20 3.75 09/23/2020 457,895 460,154
Johnson & Johnson, Floating Rate Note, 5/15/14 0.3259 05/15/2014 434,000 434,131
National Rural Utilities Cooperative Finance Corp., Floating Rate Note, 11/23/16 0.5356 11/23/2016 500,000 500,712
Capital One Financial Corp., 2.125%, 7/15/14 2.125 07/15/2014 1,559,000 1,572,696
JP Morgan Chase Commercial Mortgage Securities Trust 2007-CIBC19, Floating Rate Note, 2/12/49 5.6978 02/12/2049 475,000 296,321
Fannie Mae, 5.5%, 12/1/35 5.5 12/01/2035 1,000,000 97,477
GSAA Trust, Floating Rate Note, 6/25/35 0.5855 06/25/2035 440,000 357,106
Penske Truck Leasing Co Lp, 2.5%, 7/11/14 (144A) 2.5 07/11/2014 969,000 978,769
First Investors Auto Owner Trust 2012-2, 1.47%, 5/15/18 (144A) 1.47 05/15/2018 200,000 100,974
Nordea Bank AB, Floating Rate Note, 5/13/16 (144A) 0.6966 05/13/2016 250,000 251,023
Fannie Mae Whole Loan, Floating Rate Note, 11/25/46 0.4155 11/25/2046 2,000,000 424,512
Apple, Inc., Floating Rate Note, 5/3/16 0.292 05/03/2016 400,000 400,019
Loma Reinsurance, Ltd. Bermuda, Floating Rate Note, 1/8/18 (Cat Bond) (144A)   01/08/2018 250,000 255,250
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 11/15/36 0.5045 11/15/2036 600,000 131,509
Bank of America Corp., 1.35%, 11/21/16 1.35 11/21/2016 500,000 502,864
Sequoia Mortgage Trust 2004-12, Floating Rate Note, 1/20/35 0.424 01/20/2035 6,582,000 756,192
Fannie Mae, 7.0%, 1/1/36 7.0 01/01/2036 1,000,000 39,736
New Century Home Equity Loan Trust 2005-4, Floating Rate Note, 9/25/35 0.4255 09/25/2035 12,900,000 71,517
Equity One Mortgage Pass-Through Trust 2003-1, Floating Rate Note, 8/25/33 0.8955 08/25/2033 11,389,000 436,167
Texas Municipal Gas Acquisition & Supply Corp III, 5.0%, 12/15/15 5.0 12/15/2015 500,000 544,448
Bear Stearns ARM Trust 2004-9, Floating Rate Note, 11/25/34 3.0868 11/25/2034 1,014,658 144,071
Federal Home Loan Mortgage Corp., 5.0%, 12/1/39 5.0 12/01/2039 265,000 130,351
AmeriCredit Automobile Receivables Trust 2013-4, 3.31%, 10/8/19 3.31 10/08/2019 500,000 510,880
Freddie Mac REMICS, Floating Rate Note, 2/15/32 1.1045 02/15/2032 14,441,000 1,164,996
Foundation Re III, Ltd., Floating Rate Note, 2/25/15 (Cat Bond) (144A) 5.0253 02/25/2015 500,000 511,969
Chrysler Group LLC, Tranche B Term Loan, 12/29/18 3.25 12/29/2018 600,000 599,250
CeramTec Acquisition Corp., 8/30/20 4.25 08/30/2020 21,008 21,100
GE Dealer Floorplan Master Note Trust, Floating Rate Note, 4/20/18 0.554 04/20/2018 670,000 671,996
Sequoia Mortgage Trust 2004-10, Floating Rate Note, 11/20/34 0.474 11/20/2034 1,640,000 181,609
Capital Auto Receivables Asset Trust/ Ally, 1.74%, 10/22/18 1.74 10/22/2018 413,000 411,332
Genworth Holdings, Inc., 5.75%, 6/15/14 5.75 06/15/2014 500,000 513,024
Fannie Mae, 6.0%, 2/1/34 6.0 02/01/2034 1,400,000 51,917
Morgan Stanley Capital I Trust 2005-HQ6, 4.989%, 8/13/42 4.989 08/13/2042 1,215,000 1,269,431
Equity One Mortgage Pass-Through Trust 2004-1, Floating Rate Note, 4/25/34 4.145 04/25/2034 1,840,000 472,915
The Goldman Sachs Group, Inc., Floating Rate Note, 11/21/14 1.2336 11/21/2014 250,000 251,261
Invitation Homes 2013-SFR1 Trust, Floating Rate Note, 12/17/15 2.0045 12/17/2015 750,000 748,657
Assurant, Inc., 2.5%, 3/15/18 2.5 03/15/2018 300,000 304,125
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 8/15/36 0.4045 08/15/2036 5,044,000 359,843
Thomson Reuters Corp., 0.875%, 5/23/16 0.875 05/23/2016 250,000 250,087
CHL Mortgage Pass-Through Trust 2004-29, Floating Rate Note, 2/25/35 0.6955 02/25/2035 16,087,000 891,344
SNAAC Auto Receivables Trust, 4.38%, 6/15/17 (144A) 4.38 06/15/2017 460,000 470,618
Opteum Mortgage Acceptance Corp Asset Backed Pass-Through Certificates 2005-1, Floating Rate Note, 2 0.4555 02/25/2035 3,526,047 53,009
Bear Stearns Asset Backed Securities I Trust 2005-FR1, Floating Rate Note, 6/25/35 0.6555 06/25/2035 1,526,722 688,277
Lehman ABS Manufactured Housing Contract Trust 2002-A, Floating Rate Note, 6/15/33 0.6045 06/15/2033 19,804,000 1,093,662
First Franklin Mortgage Loan Trust 2003-FFC, Floating Rate Note, 11/25/32 1.4555 11/25/2032 8,000,000 471,670
Ameriquest Mortgage Securities Inc Asset-Backed Pass-Through Ctfs Ser 2005-R9, 4.627277%, 11/25/35 ( 4.6273 11/25/2035 590,000 568,985
Ventas Realty LP, 3.125%, 11/30/15 3.125 11/30/2015 500,000 524,343
Fannie Mae, 4.5%, 5/1/39 4.5 05/01/2039 2,100,000 985,347
American Credit Acceptance Receivables Trust, 1.64%, 11/15/16 (144A) 1.64 11/15/2016 350,000 135,321
CAM Mortgage Trust, 3.3515%, 12/15/53 (Step) (144A) 3.3515 12/15/2053 660,000 628,295
Glencore Funding LLC, 6.0%, 4/15/14 (144A) 6.0 04/15/2014 1,000,000 1,028,644
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/36 0.4555 03/25/2036 11,585,646 1,924,187
GSR Mortgage Loan Trust 2003-9, Floating Rate Note, 8/25/33 2.3331 08/25/2033 4,000,000 357,780
Federal National Mortgage Association, Floating Rate Note, 6/25/36 0.5555 06/25/2036 7,000,000 967,917
Williams Partners LP, 3.8%, 2/15/15 3.8 02/15/2015 750,000 773,018
Wells Fargo & Co., Floating Rate Note, 4/23/18 0.8666 04/23/2018 575,000 579,290
GTP Towers Issuer LLC, 4.436%, 2/15/15 (144A) 4.436 02/15/2015 550,000 564,755
Bush Truck Leasing LLC, 5.0%, 9/25/18 (144A) 5.0 09/25/2018 100,000 15,929
General Electric Capital Corp., Floating Rate Note, 5/11/16 0.4339 05/11/2016 350,000 349,568
Sierra Timeshare 2013-1 Receivables Funding LLC, 2.39%, 11/20/29 (144A) 2.39 11/20/2029 160,000 87,842
Enbridge, Inc., Floating Rate Note, 10/1/16 0.8966 10/01/2016 500,000 502,127
Wells Fargo Mortgage Backed Securities 2006-16 Trust, 5.0%, 11/25/36 5.0 11/25/2036 550,000 40,421
Lanark Master Issuer Plc, Floating Rate Note, 12/22/54 (144A) 0.7356 12/22/2054 250,000 248,799
Bombardier, Inc., 4.25%, 1/15/16 (144A) 4.25 01/15/2016 360,000 376,355
RBSSP Resecuritization Trust 2009-5, Floating Rate Note, 8/26/37 (144A) 0.6555 08/26/2037 2,550,000 977,049
Federal National Mortgage Association 2006-48-T, 5.5%, 12/25/34 5.5 12/25/2034 1,716,418 877,201
MassMutual Global Funding II, 2.875%, 4/21/14 (144A) 2.875 04/21/2014 500,000 506,846
HLSS Servicer Advance Receivables Trust, 1.2437%, 1/17/45 1.2437 01/17/2045 1,250,000 1,251,155
Westgate Resorts 2012-A LLC, 3.75%, 8/20/25 (144A) 3.75 08/20/2025 403,000 298,868
Baxter International, Inc., 0.95%, 6/1/16 0.95 06/01/2016 500,000 503,010
Federal National Mortgage Association REMICS, Floating Rate Note, 10/27/37 0.358 10/27/2037 1,375,920 1,372,261
Altair Re, Floating Rate Note, 4/30/16 (Cat Bond) 0.0 04/30/2016 112,497 124,950
CHL Mortgage Pass-Through Trust 2004-9, 5.25%, 6/25/34 5.25 06/25/2034 999,000 371,047
GE Business Loan Trust 2006-2, Floating Rate Note, 11/15/34 (144A) 0.3345 11/15/2034 1,520,423 646,827
Federal National Mortgage Association, 4.0%, 10/1/20 4.0 10/01/2020 4,317,004 1,650,019
Home Equity Mortgage Trust, 5.821%, 4/25/35 (Step) 5.821 04/25/2035 1,000,000 316,878
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 9/15/26 0.4545 09/15/2026 385,000 259,325
Madison Avenue Manufactured Housing Contract Trust 2002-A, Floating Rate Note, 3/25/32 2.4055 03/25/2032 550,000 374,296
Canadian Natural Resources, Ltd., 1.45%, 11/14/14 1.45 11/14/2014 430,000 434,872
Countrywide Asset-Backed Certificates, Floating Rate Note, 7/25/35 0.5955 07/25/2035 1,554,000 344,478
Structured Asset Sec Corp Mor Pass Thr Cer Ser 2003-35, Floating Rate Note, 12/25/33 0.6555 12/25/2033 4,960,000 370,818
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/32 0.5545 12/15/2032 862,000 93,147
Government National Mortgage Association II, 6.0%, 4/20/22 6.0 04/20/2022 1,262,566 246,794
TD Ameritrade Holding Corp., 4.15%, 12/1/14 4.15 12/01/2014 500,000 518,975
SASCO Mortgage Loan Trust 2005-GEL1, Floating Rate Note, 12/25/34 0.7055 12/25/2034 510,000 401,941
Fannie Mae, 6.5%, 7/1/32 6.5 07/01/2032 723,471 9,750
HSBC Home Equity Loan Trust USA 2006-3, Floating Rate Note, 3/20/36 0.394 03/20/2036 1,005,000 975,203
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/35 0.4555 03/25/2035 1,871,000 390,372
Federal National Mortgage Association REMICS, Floating Rate Note, 1/25/33 0.6555 01/25/2033 2,782,000 121,186
Credit Suisse First Boston Mortgage Securities Corp., Floating Rate Note, 11/25/33 2.5496 11/25/2033 1,400,000 91,365
MGM Resorts International, 12/20/19 3.5 12/13/2019 346,500 346,608
The Bear Stearns Companies LLC, Floating Rate Note, 11/21/16 0.6236 11/21/2016 1,500,000 1,495,390
BB&T Corp., 1.6%, 8/15/17 1.6 08/15/2017 103,000 103,964
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 7/15/23 0.5545 07/15/2023 835,000 236,909
Federal National Mortgage Association REMICS, 1.5%, 11/25/20 1.5 11/25/2020 745,000 226,693
JP Morgan Chase Commercial Mortgage Securities Trust 2005-CIBC11, Floating Rate Note, 8/12/37 5.335 08/12/2037 580,000 595,373
Government National Mortgage Association, 3.5%, 2/20/33 3.5 02/20/2033 1,500,000 255,223
Credit Suisse First Boston Mortgage Securities Corp., 5.5%, 8/25/34 5.5 08/25/2034 18,567,000 139,346
American Credit Acceptance Receivables Trust 2014-1, 1.14%, 12/1/19 (144A) 1.14 12/01/2019 520,000 486,265
Morgan Stanley, Floating Rate Note, 2/25/16 1.4849 02/25/2016 500,000 507,478
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 10/15/35 0.5545 10/15/2035 1,645,000 265,028
American Express Credit Account Master Trust, 0.59%, 5/15/18 0.59 05/15/2018 1,100,000 1,101,687
Bayview Commercial Asset Trust, Floating Rate Note, 1/25/35 (144A) 0.5255 01/25/2035 4,600,000 801,260
Daimler Finance North America LLC, 1.45%, 8/1/16 (144A) 1.45 08/01/2016 1,000,000 1,010,555
Credit Suisse Mortgage Capital Certificates, Floating Rate Note, 10/15/21 (144A) 0.3245 10/15/2021 875,000 321,932
Federal National Mortgage Association REMICS, Floating Rate Note, 6/25/37 0.3955 06/25/2037 2,134,162 334,268
Barclays Bank Plc, Floating Rate Note, 2/17/17 0.8146 02/17/2017 229,000 229,649
Party City Holdings Inc 1st Lien Tl-B L + 3% 27jul19 4.0 07/27/2019 955,000 955,000
Countrywide Asset-Backed Certificates, Floating Rate Note, 11/25/35 (144A) 0.7455 11/25/2035 2,175,000 114,688
Federal National Mortgage Association REMICS, Floating Rate Note, 12/25/36 0.5155 12/25/2036 1,500,000 376,619
Aflac, Inc., 3.45%, 8/15/15 3.45 08/15/2015 500,000 522,298
Government National Mortgage Association I, 6.0%, 11/15/36 6.0 11/15/2036 2,000,000 216,863
Federal Home Loan Mortgage Corp., Floating Rate Note, 8/1/31 2.375 08/01/2031 500,000 1,531
Marathon Oil Corp., 0.9%, 11/1/15 0.9 11/01/2015 651,000 655,034
MASTR Alternative Loan Trust 2005-1, Floating Rate Note, 2/25/35 0.5055 02/25/2035 6,760,000 775,709
Queen City Re, Floating Rate Note, 1/6/19 (Cat Bond) (144A) 3.5304 01/06/2019 500,000 498,200
RESI Finance LP, Floating Rate Note, 9/10/35 (144A) 1.5565 09/10/2035 2,618,783 504,809
Citigroup Mortgage Loan Trust, Inc., Floating Rate Note, 11/25/35 5.5 11/25/2035 1,471,464 29,430
Trafigura Securitisation Finance Plc, Floating Rate Note, 10/15/15 (144A) 2.5545 10/15/2015 425,000 431,992
GS Mortgage Securities Corp II Series 2005-GG4, 4.782%, 7/10/39 4.782 07/10/2039 105,000 108,168
Federal National Mortgage Association, Floating Rate Note, 10/25/40 0.5555 10/25/2040 750,000 585,968
Soundview Home Loan Trust 2005-3, Floating Rate Note, 6/25/35 0.9355 06/25/2035 600,000 124,364
Home Equity Asset Trust 2005-3, Floating Rate Note, 8/25/35 0.8155 08/25/2035 250,000 44,776
Toyota Motor Credit Corp., 0.75%, 3/5/17 (Step) 0.75 03/05/2017 750,000 749,599
RAAC Series 2004-SP2 Trust, 6.0%, 1/25/32 6.0 01/25/2032 11,000,000 523,077
Merrill Lynch Mortgage Investors Trust Series 2005-A3, Floating Rate Note, 4/25/35 0.4255 04/25/2035 10,415,000 1,360,701
Mediacom Illinois LLC, 3/31/18   03/31/2018 400,000 399,000
American Credit Acceptance Receivables Trust 2013-2, 1.32%, 2/15/17 (144A) 1.32 02/15/2017 280,000 196,694
PNC Bank NA, Floating Rate Note, 1/28/16 0.5454 01/28/2016 500,000 500,848
Ameriquest Mortgage Securities Inc Asset-Backed Pass-Through Ctfs Ser 2005-R6, Floating Rate Note, 8 0.3555 08/25/2035 2,840,000 51,470
Countrywide Asset-Backed Certificates, Floating Rate Note, 1/25/36 0.5255 01/25/2036 330,000 95,649
Morgan Stanley Capital I, Inc., Floating Rate Note, 10/15/20 (144A) 0.285 10/15/2020 425,000 414,884
Bear Stearns ALT-A Trust 2004-4, Floating Rate Note, 6/25/34 0.7555 06/25/2034 10,699,000 944,748
VOLT XX LLC, 3.625%, 2/1/39 (Step) (144A) 3.625 02/01/2039 550,000 550,841
SMART Trust/Australia, Floating Rate Note, 6/14/15 0.4835 06/14/2015 600,000 232,820
Starwood Property Trust, Inc., 4/17/20 3.5 04/19/2020 199,497 199,539
Lanark Master Issuer Plc, Floating Rate Note, 12/22/54 (144A) 1.6356 12/22/2054 800,000 733,895
US Bank NA Cincinnati Ohio, Floating Rate Note, 1/30/17 0.5861 01/30/2017 1,000,000 1,001,244
JP Morgan Chase Commercial Mortgage Securities Trust 2006-FL2, Floating Rate Note, 11/15/18 (144A) 0.2845 11/15/2018 2,387,390 435,944
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/34 0.4545 12/15/2034 1,800,000 151,919
Countrywide Asset-Backed Certificates, Floating Rate Note, 2/25/33 5.147 02/25/2033 244,000 70,672
ABN AMRO Bank NV, 1.375%, 1/22/16 (144A) 1.375 01/22/2016 500,000 505,733
Embarcadero Reinsurance, Ltd., Floating Rate Note, 2/4/16 (Cat Bond) (144A) 6.6796 08/04/2014 250,000 254,499
BB&T Corp., 5.7%, 4/30/14 5.7 04/30/2014 500,000 513,658
Polarpak, Inc., 6/7/20 4.5 06/07/2020 157,375 158,162
First Franklin Mortgage Loan Trust 2002-FFA, Floating Rate Note, 9/25/32 1.6555 09/25/2032 5,500,000 372,962
BPCE SA, Floating Rate Note, 4/25/16 1.4886 04/25/2016 550,000 557,501
Navitas Equipment Receivables LLC 2013-1, 3.63%, 2/15/17 3.63 02/15/2017 650,000 651,331
Fieldwood Energy LLC, 9/25/18 3.875 09/25/2018 998,750 1,003,016
United Technologies Corp., Floating Rate Note, 6/1/15 0.7361 06/01/2015 500,000 504,006
Banc of America Alternative Loan Trust 2003-10, Floating Rate Note, 12/25/33 0.6055 12/25/2033 2,600,000 229,625
Delos Finance Sarl Tl-B L + 2.75% 27feb21   02/27/2021 425,000 427,059
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/37 0.7255 09/25/2037 2,706,000 404,266
Altrl Flt% 30jun16   06/30/2016 210,000 212,394
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA Netherlands, Floating Rate Note, 3/18/16 0.7229 03/18/2016 500,000 503,877
BCAP LLC 2009-RR13-I Trust, Floating Rate Note, 9/26/35 (144A) 2.9381 09/26/2035 2,765,000 946,917
Vita Capital V, Ltd., Floating Rate Note, 1/15/17 (Cat Bond) (144A) 0.0384 01/15/2017 750,000 765,392
Global Mortgage Securitization, Ltd., Floating Rate Note, 4/25/32 0.4255 04/25/2032 8,278,000 950,176
Federal Home Loan Mortgage Corp., Floating Rate Note, 4/1/29 2.655 04/01/2029 160,000 2,073
Residential Asset Securitization Trust 2003-A2, Floating Rate Note, 5/25/33 0.5555 05/25/2033 34,300,000 1,371,293
Branch Banking & Trust Co., 2.3%, 10/15/18 2.3 10/15/2018 500,000 512,462
COMM 2004-LNB3 Mortgage Trust, Floating Rate Note, 7/10/37 5.4679 07/10/2037 302,000 138,493
US Bancorp, 4.2%, 5/15/14 4.2 05/15/2014 1,285,000 1,310,714
Morgan Stanley Mortgage Loan Trust 2005-6AR, Floating Rate Note, 11/25/35 0.4255 11/25/2035 3,786,000 559,077
Caelus Re 2013, Ltd., Floating Rate Note, 4/7/17 (Cat Bond) (144A) 6.9108 04/07/2017 750,000 786,327
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-E, Floating Rate Note, 10/25/28 0.7755 10/25/2028 8,393,000 516,203
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 6/15/40 0.4545 06/15/2040 337,000 294,556
Del Coronado Trust 2013-DEL, Floating Rate Note, 3/15/26 (144A) 1.4545 03/15/2026 300,000 299,599
Steward Health Care System LLC, 4/10/20 6.75 04/12/2020 299,248 299,061
New Century Home Equity Loan Trust 2005-2, Floating Rate Note, 6/25/35 0.4155 06/25/2035 6,300,000 82,708
Federal National Mortgage Association REMICS, Floating Rate Note, 5/25/36 0.5055 05/25/2036 6,641,000 297,175
Bayview Opportunity Master Fund Trust IIB LP, 3.9496%, 1/28/34 (Step) 3.9496 01/28/2034 695,000 697,837
Federal National Mortgage Association REMICS, Floating Rate Note, 4/25/32 1.1555 04/25/2032 50,000,000 774,519
Honda Auto Receivables 2012-2 Owner Trust, 0.7%, 2/16/16 0.7 02/16/2016 350,000 308,512
Asset Backed Securities Corp Home Equity Loan Trust Series AEG 2006-HE1, Floating Rate Note, 1/25/36 0.3555 01/25/2036 311,384 65,320
Banc of America Alternative Loan Trust 2004-2, 5.5%, 3/25/19 5.5 03/25/2019 954,266 143,245
Wachovia Mortgage Loan Trust Series 2005-WMC1, Floating Rate Note, 10/25/35 0.8955 10/25/2035 750,000 194,921
AmeriCredit Automobile Receivables Trust 2012-4, 3.82%, 2/10/20 3.82 02/10/2020 500,000 513,462
Residential Reinsurance 2012, Ltd., Floating Rate Note, 12/6/16 (Cat Bond) (144A) 4.5659 12/06/2016 1,150,000 1,203,734
Federal National Mortgage Association REMICS, 6.0%, 3/25/35 6.0 03/25/2035 1,000,000 114,685
IndyMac INDX Mortgage Loan Trust 2004-AR6, Floating Rate Note, 10/25/34 2.7149 10/25/2034 675,000 82,863
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/42 0.7045 02/15/2042 350,000 231,787
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 1/15/36 0.4545 01/15/2036 400,312 103,109
Citigroup Commercial Mortgage Trust 2007-FL3, Floating Rate Note, 4/15/22 (144A) 0.3645 04/15/2022 580,444 577,009
Countrywide Asset-Backed Certificates, Floating Rate Note, 5/25/35 1.0555 05/25/2035 1,300,000 380,471
Federal Home Loan Mortgage Corp., Floating Rate Note, 4/1/25 2.598 04/01/2025 13,000,000 18,838
Citigroup, Inc., Floating Rate Note, 7/25/16 1.1986 07/25/2016 750,000 759,190
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 11/15/36 0.4045 11/15/2036 994,698 68,371
Four Corners CLO II, Ltd., Floating Rate Note, 1/26/20 (144A) 2.0886 01/26/2020 553,000 524,699
Harley-Davidson Motorcycle Trust 2012-1, 0.68%, 4/15/17 0.68 04/15/2017 500,000 459,232
Hewlett-Packard Co., 2.625%, 12/9/14 2.625 12/09/2014 470,000 480,114
Springleaf Mortgage Loan Trust 2012-2, Floating Rate Note, 10/25/57 (144A) 2.22 10/25/2057 424,000 274,777
Federal National Mortgage Association REMICS, Floating Rate Note, 10/25/35 0.4555 10/25/2035 1,878,000 230,595
Saxon Asset Securities Trust 2005-3, Floating Rate Note, 11/25/35 0.6155 11/25/2035 471,000 448,413
KKR Financial CLO 2007-1 Corp., Floating Rate Note, 5/15/21 (144A) 1.6859 05/15/2021 375,000 364,186
Federal National Mortgage Association REMICS, Floating Rate Note, 4/25/32 1.0555 04/25/2032 10,133,000 694,394
Silverstone Master Issuer Plc, Floating Rate Note, 1/21/55 (144A) 1.8866 01/21/2055 290,000 300,609
Residential Asset Securitization Trust 2004-A9, 5.75%, 12/25/34 5.75 12/25/2034 870,000 408,739
Ameriquest Mortgage Securities Inc Asset-Backed Pass-Through Ctfs Ser 2003-11, Floating Rate Note, 1 0.8955 12/25/2033 14,558,685 677,122
RALI Series 2003-QS15 Trust, 5.5%, 8/25/33 5.5 08/25/2033 250,000 205,978
Government National Mortgage Association I, 5.0%, 8/15/19 5.0 08/15/2019 1,347,915 438,986
GSRPM Mortgage Loan Trust 2006-2, Floating Rate Note, 9/25/36 (144A) 0.4555 09/25/2036 1,226,000 211,553
Bear Stearns ALT-A Trust 2004-12, Floating Rate Note, 1/25/35 0.998 01/25/2035 8,440,000 1,209,601
Federal National Mortgage Association, Floating Rate Note, 7/25/42 2.8082 07/25/2042 11,000,000 1,033,427
Atlas IX Capital, Ltd., Floating Rate Note, 1/17/19 (Cat Bond) (144A) 3.6158 01/17/2019 500,000 513,468
Verizon Communications, Inc., Floating Rate Note, 9/15/16 1.7729 09/15/2016 535,000 551,854
The Geo Group, Inc., 4/3/20 3.25 03/28/2020 498,744 501,394
JPMorgan Chase & Co., Floating Rate Note, 2/15/17 0.7559 02/15/2017 500,000 501,139
Park Place Securities Inc Asset-Backed Pass-Through Certificates Series 2004-MHQ, Floating Rate Note 1.2805 12/25/2034 660,000 644,313
Combine Re, Ltd., Floating Rate Note, 1/7/15 (Cat Bond) (144A) 4.7429 01/07/2015 1,000,000 1,023,550
Dominion Resources, Inc. Virginia, 1.8%, 3/15/14 1.8 03/15/2014 580,000 585,053
Citibank Credit Card Issuance Trust, Floating Rate Note, 2/7/18 0.3975 02/07/2018 369,000 369,684
TimberStar Trust 1, 5.668%, 10/15/36 (144A) 5.668 10/15/2036 525,000 574,478
Equity One Mortgage Pass-Through Trust 2004-2, Floating Rate Note, 7/25/34 4.624 07/25/2034 1,925,000 499,040
Federal National Mortgage Association REMICS, Floating Rate Note, 4/25/36 0.4055 04/25/2036 1,737,000 402,348
Sanders Re, Ltd., Floating Rate Note, 5/5/17 (Cat Bond) (144A) 4.0558 05/05/2017 750,000 754,008
Duke Energy Indiana, Inc., Floating Rate Note, 7/11/16 0.5917 07/11/2016 303,000 303,325
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-G, Floating Rate Note, 1/25/30 0.9494 01/25/2030 3,400,000 271,578
Centerpoint Energy Transition Bond Co II LLC, 5.17%, 8/1/19 5.17 08/01/2019 720,000 774,024
CSMC Trust 2010-16, Floating Rate Note, 6/25/50 (144A) 3.6339 06/25/2050 600,000 431,552
NorthStar 2013-1, Floating Rate Note, 8/25/29 (144A) 2.0055 08/25/2029 778,000 778,465
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 11/15/37 0.5545 11/15/2037 405,330 268,471
Bear Stearns Asset Backed Securities Trust, Floating Rate Note, 2/25/35 0.9055 02/25/2035 5,848,300 421,902
Merrill Lynch Mortgage Trust 2004-KEY2, Floating Rate Note, 8/12/39 4.947 08/12/2039 410,390 419,111
County of Power Idaho, 5.625%, 10/1/14 5.625 10/01/2014 1,000,000 1,023,828
PVH Corp., 2/13/20 3.25 12/19/2019 78,498 78,785
Hercules Capital Funding Trust 2012-1, 3.32%, 12/16/17 (144A) 3.32 12/16/2017 250,000 144,963
Cendant Mortgage Corp., 6.25%, 3/25/32 (144A) 6.25 03/25/2032 4,100,000 600,389
Morgan Stanley, Floating Rate Note, 11/9/18 3.1 11/09/2018 275,000 280,265
Georgia Power Co., Floating Rate Note, 3/15/16 0.5629 03/15/2016 350,000 350,057
Harley-Davidson Financial Services, Inc., 3.875%, 3/15/16 (144A) 3.875 03/15/2016 175,000 188,073
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-A, Floating Rate Note, 4/25/29 0.6155 04/25/2029 4,158,948 287,277
Allied Security Holdings LLC, Delayed Draw Term Loan (First Lien), 2/12/21 0.5 02/12/2021 511,570 511,890
Royal Bank of Canada, Floating Rate Note, 12/16/15 22.0 12/16/2015 750,000 751,788
Sierra Timeshare 2012-3 Receivables Funding LLC, 1.87%, 8/20/29 (144A) 1.87 08/20/2029 1,400,000 667,737
Sirius International Group, Ltd., 6.375%, 3/20/17 (144A) 6.375 03/20/2017 750,000 865,943
CNL Commercial Mortgage Loan Trust 2002-1, Floating Rate Note, 10/25/28 (144A) 0.7545 10/25/2028 8,975,000 329,997
Activision Blizzard, Inc., 7/26/20 3.25 07/26/2020 450,000 451,887
Structured Asset Securities Corp Mortgage Loan Trust 2005-WF4, Floating Rate Note, 11/25/35 0.5155 11/25/2035 475,000 106,586
Wells Fargo Bank NA, Floating Rate Note, 5/16/16 0.4459 05/16/2016 250,000 248,731
Government National Mortgage Association, Floating Rate Note, 8/20/40 0.454 08/20/2040 1,000,000 744,744
Government National Mortgage Association, Floating Rate Note, 4/16/32 0.7045 04/16/2032 33,333,000 700,645
GE Business Loan Trust 2004-1, Floating Rate Note, 5/15/32 (144A) 0.4445 05/15/2032 2,236,203 288,126
Cisco Systems, Inc., Floating Rate Note, 9/3/15 0.2861 09/03/2015 500,000 500,224
John Deere Capital Corp., 1.05%, 10/11/16 1.05 10/11/2016 598,000 603,273
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 8/15/25 0.4045 08/15/2025 970,000 371,181
Astoria Financial Corp., 5.0%, 6/19/17 5.0 06/19/2017 325,000 355,676
Electricite de France, Floating Rate Note, 1/20/17 (144A) 0.6971 01/20/2017 750,000 750,819
Wm Wrigley Jr Co., 2.0%, 10/20/17 (144A) 2.0 10/20/2017 1,000,000 1,015,052
Oxford Finance Funding Trust 2012-1, 3.9%, 3/15/17 (144A) 3.9 03/15/2017 571,000 165,400
Thornburg Mortgage Securities Trust 2004-3, Floating Rate Note, 9/25/44 0.8955 09/25/2044 11,309,309 1,155,842
Federal Home Loan Mortgage Corp., 3.5%, 8/15/28 3.5 08/15/2028 500,000 207,420
Direct Capital Funding V LLC, 4.83%, 11/20/20 (144A) 4.83 11/20/2020 750,000 752,794
Mythen Re, Ltd. Series 2012-2 Class A, Floating Rate Note, 1/5/17 (Cat Bond) (144A) 8.549 01/05/2017 750,000 810,936
Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/37 0.4055 02/25/2037 4,308,000 259,892
WaMu Mortgage Pass-Through Certificates Series 2003-S10, 5.0%, 10/25/18 5.0 10/25/2018 17,361,049 822,930
Carrington Mortgage Loan Trust Series 2006-OPT1, Floating Rate Note, 2/25/36 0.3355 02/25/2036 5,047,000 1,153,097
Federal Home Loan Mortgage Corp., Floating Rate Note, 11/15/36 0.4745 11/15/2036 2,046,908 127,856
Federal National Mortgage Association, 5.0%, 6/25/32 5.0 06/25/2032 15,427,000 511,416
Federal National Mortgage Association, Floating Rate Note, 4/25/45 2.6869 04/25/2045 1,250,000 261,332
Bear Stearns Asset Backed Securities Trust 2003-SD2, Floating Rate Note, 6/25/43 4.6101 06/25/2043 3,896,100 320,364
Government National Mortgage Association I, 6.5%, 10/15/37 6.5 10/15/2037 400,000 63,100
Government National Mortgage Association, 5.0%, 4/20/36 5.0 04/20/2036 850,000 155,428
Fannie Mae, Floating Rate Note, 10/1/29 2.28 10/01/2029 10,892,567 92,448
Bayview Financial Asset Trust 2003-A, Floating Rate Note, 2/25/33 (144A) 4.91 02/25/2033 7,852,000 279,368
BB&T Corp., 2.05%, 4/28/14 2.05 04/28/2014 500,000 504,060
Federal Home Loan Mortgage Corp. REMICS, 5.5%, 10/15/35 5.5 10/15/2035 1,625,000 133,762
CarMax Auto Owner Trust 2012-1, 0.89%, 9/15/16 0.89 09/15/2016 745,000 570,852
SBI Home Equity Loan Trust 2006-1, Floating Rate Note, 8/25/36 (144A) 0.5055 08/25/2036 1,350,000 481,341
Government National Mortgage Association, Floating Rate Note, 2/16/30 0.8045 02/16/2030 14,415,492 246,156
Alliant Techsystems, Inc., 10/22/20 3.5 10/22/2020 250,000 251,594
Federal National Mortgage Association REMICS, Floating Rate Note, 7/25/36 0.6355 07/25/2036 3,269,017 167,493
Freddie Mac Strips, Floating Rate Note, 8/15/36 0.4545 08/15/2036 6,894,664 478,372
American Honda Finance Corp., 1.85%, 9/19/14 (144A) 1.85 09/19/2014 200,000 203,457
Impac CMB Trust Series 2004-4, Floating Rate Note, 9/25/34 0.7955 09/25/2034 29,845,000 1,331,589
Home Loan Trust 2003-HI1, 5.27%, 4/25/28 (Step) 5.27 04/25/2028 1,500,000 122,910
Fremont Home Loan Trust 2005-2, Floating Rate Note, 6/25/35 0.6155 06/25/2035 1,700,000 92,684
Morgan Stanley Capital I Trust 2005-HQ6, Floating Rate Note, 8/13/42 5.073 08/13/2042 900,000 941,103
LB-UBS Commercial Mortgage Trust 2008-C1, Floating Rate Note, 4/15/41 6.1567 04/15/2041 210,000 128,900
Federal National Mortgage Association, 2.5%, 4/25/36 2.5 04/25/2036 635,000 274,950
Bayview Financial Acquisition Trust, Floating Rate Note, 8/28/44 0.7395 08/28/2044 29,040,588 207,753
Federal Home Loan Banks, 2.9%, 4/20/17 2.9 04/20/2017 1,370,000 312,981
GSAMP Trust 2006-SEA1, Floating Rate Note, 5/25/36 (144A) 0.4555 05/25/2036 5,518,315 649,640
Federal National Mortgage Association REMICS, 1.75%, 12/25/22 1.75 12/25/2022 1,000,000 387,291
International Bank for Reconstruction & Development, 0.58%, 11/30/16 0.58 11/30/2016 3,000,000 2,996,148
BMW Vehicle Lease Trust 2013-1, 0.4%, 1/20/15 0.4 01/20/2015 370,000 209,827
Federal National Mortgage Association REMICS, Floating Rate Note, 5/18/32 0.6545 05/18/2032 31,809,000 812,321
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/24 0.6555 03/25/2024 4,129,409 193,418
CPS Auto Receivables Trust 2013-B, 1.82%, 9/15/20 (144A) 1.82 09/15/2020 157,000 113,401
Bear Stearns ARM Trust 2004-3, Floating Rate Note, 7/25/34 2.9149 07/25/2034 2,481,203 102,904
Thornburg Mortgage Securities Trust 2004-1, Floating Rate Note, 3/25/44 1.7033 03/25/2044 4,537,000 814,123
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 4/15/28 0.6545 04/15/2028 10,000,000 179,053
Fannie Mae, Floating Rate Note, 12/1/28 2.445 12/01/2028 1,112,489 57,851
Wachovia Corp., 5.25%, 8/1/14 5.25 08/01/2014 1,185,000 1,213,688
Impac CMB Trust Series 2004-4, Floating Rate Note, 9/25/34 0.7755 09/25/2034 14,479,489 641,338
RALI Series 2003-QS9 Trust, Floating Rate Note, 5/25/18 0.6055 05/25/2018 11,040,000 594,381
Telefonica Emisiones SAU, 3.992%, 2/16/16 3.992 02/16/2016 500,000 526,376
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/37 0.4055 03/25/2037 8,873,506 269,855
Morgan Stanley Mortgage Loan Trust 2005-5AR, Floating Rate Note, 9/25/35 0.4255 09/25/2035 6,547,000 673,422
RAAC Series 2005-RP2 Trust, Floating Rate Note, 6/25/35 (144A) 0.8055 06/25/2035 995,000 430,614
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/32 0.5545 12/15/2032 1,931,288 208,510
General Electric Co., 0.85%, 10/9/15 0.85 10/09/2015 1,000,000 1,009,455
Irwin Whole Loan Home Equity Trust 2003-C, Floating Rate Note, 6/25/28 3.1555 06/25/2028 1,923,500 164,912
PHH Mortgage Capital LLC, 6.6%, 12/25/27 (Step) (144A) 6.6 12/25/2027 1,000,000 127,865
Resource Capital Corp CRE Notes 2013, Ltd., Floating Rate Note, 6/15/16 (144A) 2.3045 06/15/2016 1,000,000 1,000,772
Federal Home Loan Mortgage Corp., Floating Rate Note, 5/1/25 2.163 05/01/2025 588,110 6,998
Fifth Third Bank Cincinnati Ohio, Floating Rate Note, 2/26/16 0.6444 02/26/2016 500,000 500,735
HarborView Mortgage Loan Trust 2004-1, Floating Rate Note, 4/19/34 2.3683 04/19/2034 3,987,000 180,177
Federal National Mortgage Association REMICS, 3.0%, 1/25/21 3.0 01/25/2021 1,000,000 259,147
Navistar, Inc., 8/17/17 5.75 07/31/2017 400,000 406,417
Bear Stearns Commercial Mortgage Securities Trust 2005-PWR8, 4.75%, 6/11/41 4.75 06/11/2041 415,000 432,171
Jackson National Life Global Funding, Floating Rate Note, 3/17/14 (144A) 0.4329 03/17/2014 500,000 500,485
PNC Bank NA, Floating Rate Note, 4/29/16 0.5561 04/29/2016 500,000 500,593
Honda Auto Receivables 2013-1 Owner Trust, 0.35%, 6/22/15 0.35 06/22/2015 500,000 259,820
Ford Motor Credit Co LLC, 2.75%, 5/15/15 2.75 05/15/2015 500,000 515,762
SilverLeaf Finance XVII LLC, 2.71%, 3/16/26 (144A) 2.71 03/16/2026 750,000 668,515
Federal Home Loan Mortgage Corp., 4.0%, 1/15/34 4.0 01/15/2034 5,000,000 413,801
Citigroup, Inc., 1.3%, 4/1/16 1.3 04/01/2016 500,000 505,516
Citigroup, Inc., 5.0%, 9/15/14 5.0 09/15/2014 1,500,000 1,569,722
Calpine Construction Finance Co LP, Term B-2 Loan, 1/3/22   01/03/2022 675,000 667,969
American Electric Power Co, Inc., 1.65%, 12/15/17 1.65 12/15/2017 500,000 501,814
Metropolitan Life Global Funding I, Floating Rate Note, 7/15/16 (144A) 0.7689 07/15/2016 300,000 302,341
Impac CMB Trust Series 2003-11, Floating Rate Note, 10/25/33 0.9155 10/25/2033 34,000,000 1,061,070
GTP Acquisition Partners I LLC, 4.347%, 6/15/16 (144A) 4.347 06/15/2016 500,000 526,737
Santander Drive Auto Receivables Trust 2012-5, 2.7%, 8/15/18 2.7 08/15/2018 125,000 129,084
General Electric Capital Corp., Floating Rate Note, 4/7/14 0.8699 04/07/2014 500,000 500,945
CPS Auto Receivables Trust 2013-A, 1.89%, 6/15/20 (144A) 1.89 06/15/2020 690,000 551,721
Bear Stearns Asset Backed Securities I Trust 2005-HE6, Floating Rate Note, 6/25/35 0.6355 06/25/2035 1,350,000 96,613
Homestar Mortgage Acceptance Corp., Floating Rate Note, 6/25/34 0.5055 06/25/2034 3,670,962 387,408
Morgan Stanley Dean Witter Capital I Trust 2001-TOP3, 6.79%, 7/15/33 6.79 07/15/2033 460,000 289,316
VOLT XVI LLC, 4.25%, 8/25/58 (Step) (144A) 4.25 08/25/2058 609,438 580,091
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/35 0.5055 03/25/2035 1,278,000 341,680
Aegis Asset Backed Securities Trust Mortgage Pass- Through Ctfs Series 2004-3, Floating Rate Note, 9 1.2555 09/25/2034 881,754 182,785
Westgate Resorts 2012-A LLC, 2.25%, 8/20/25 (144A) 2.25 08/20/2025 290,000 216,866
Structured Agency Credit Risk Debt Notes, Floating Rate Note, 2/25/24 1.1548 02/25/2024 485,000 486,855
PFS Financing Corp., Floating Rate Note, 2/15/17 (144A) 0.7545 02/15/2017 750,000 750,207
Chesapeake Funding LLC, Floating Rate Note, 5/7/24 (144A) 0.6075 05/07/2024 200,000 176,161
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/45 0.3755 03/25/2045 4,100,000 742,916
Fannie Mae, Floating Rate Note, 4/1/28 2.588 04/01/2028 400,000 3,667
Volkswagen International Finance NV, 1.6%, 11/20/17 (144A) 1.6 11/20/2017 500,000 504,474
Export-Import Bank of Korea, 1.25%, 11/20/15 1.25 11/20/2015 500,000 505,857
First NLC Trust 2005-2, Floating Rate Note, 9/25/35 0.5555 09/25/2035 3,362,996 1,824,532
Bear Stearns ALT-A Trust 2004-12, Floating Rate Note, 1/25/35 0.8555 01/25/2035 5,395,000 698,867
ABN AMRO Bank NV, Floating Rate Note, 10/28/16 (144A) 1.0354 10/28/2016 750,000 754,442
Belden Finance 2013 LP, 9/9/20 3.25 09/09/2020 249,375 250,500
CeramTec GmbH, 8/30/20 4.25 08/30/2020 64,893 65,177
Home Equity Asset Trust 2006-3, Floating Rate Note, 7/25/36 0.3355 07/25/2036 765,000 2,964
Arysta Lifescience SPC LLC, 5/29/20 4.5 05/22/2020 299,248 301,680
Cabela's Master Credit Card Trust, Floating Rate Note, 1/16/18 (144A) 1.6045 01/16/2018 507,900 513,345
The Bank of New York Mellon Corp., 3.1%, 1/15/15 3.1 01/15/2015 220,000 226,106
Branch Banking & Trust Co., Floating Rate Note, 9/13/16 0.5639 09/13/2016 250,000 248,875
GSR Mortgage Loan Trust 2005-1F, 6.0%, 2/25/35 6.0 02/25/2035 700,000 465,815
Fannie Mae, Floating Rate Note, 10/1/36 2.021 10/01/2036 1,877,185 337,434
Federal Home Loan Mortgage Corp., Floating Rate Note, 1/1/28 2.482 01/01/2028 500,000 5,159
Extended Stay America Trust 2013-ESH, Floating Rate Note, 12/5/31 (144A) 1.258 12/05/2031 200,000 200,177
BMW Vehicle Owner Trust 2011-A, 0.76%, 8/25/15 0.76 08/25/2015 100,000 23,665
Southern Pacific Secured Asset Corp., Floating Rate Note, 3/25/28 0.5555 03/25/2028 32,000,000 344,061
Fannie Mae, Floating Rate Note, 12/1/36 4.396 12/01/2036 6,500,000 302,845
Bear Stearns ARM Trust 2003-3, Floating Rate Note, 5/25/33 2.4985 05/25/2033 9,158,341 321,035
United Auto Credit Securitization Trust 2013-1, 1.74%, 4/15/16 (144A) 1.74 04/15/2016 825,000 825,278
FDIC 2010-R1 Trust, 2.184%, 5/25/50 (144A) 2.184 05/25/2050 2,060,000 923,947
Federal National Mortgage Association REMICS, Floating Rate Note, 7/25/38 1.0555 07/25/2038 6,812,000 447,295
Residential Reinsurance 2011, Ltd., Floating Rate Note, 6/6/15 (Cat Bond) (144A) 9.055 06/06/2015 500,000 539,175
Volkswagen Auto Lease Trust, Floating Rate Note, 10/20/16 0.364 10/20/2016 600,000 600,082
JP Morgan Mortgage Trust 2004-S1, 5.0%, 9/25/34 5.0 09/25/2034 2,489,124 185,915
Bank of America Corp., 1.25%, 1/11/16 1.25 01/11/2016 575,000 579,835
Bank of America Corp., 3.7%, 9/1/15 3.7 09/01/2015 500,000 530,324
Standard Chartered Plc, 3.85%, 4/27/15 (144A) 3.85 04/27/2015 500,000 524,281
American Express Centurion Bank, Floating Rate Note, 11/13/15 0.6866 11/13/2015 1,300,000 1,306,704
Intesa Sanpaolo S.p.A., 3.125%, 1/15/16 3.125 01/15/2016 500,000 515,082
AMC Entertainment, Inc., 4/30/20 3.5 04/23/2020 249,372 250,092
Bright Horizons Family Solutions, Inc., 1/30/20 4.0 01/14/2020 299,244 301,052
GMAC Commercial Mortgage Securities Inc Series 2005-C1 Trust, 4.697%, 5/10/43 4.697 05/10/2043 1,019,000 1,055,887
ARC Properties Operating Partnership LP, 2.0%, 2/6/17 (144A) 2.0 02/06/2017 500,000 501,033
MASTR Alternative Loan Trust 2004-13, 4.5%, 1/25/15 4.5 01/25/2015 2,000,000 9,619
Thermo Fisher Scientific, Inc., 2.4%, 2/1/19 2.4 02/01/2019 1,000,000 1,007,519
GSAA Home Equity Trust 2005-11, Floating Rate Note, 10/25/35 0.4055 10/25/2035 1,022,000 261,859
Sanders Re, Ltd., Floating Rate Note, 5/5/17 (Cat Bond) (144A) 3.5558 05/05/2017 750,000 754,379
Alternative Loan Trust 2004-4CB, 4.25%, 4/25/34 4.25 04/25/2034 4,541,000 298,781
Capital One Financial Corp., 1.0%, 11/6/15 1.0 11/06/2015 475,000 477,810
America Movil SAB de CV, Floating Rate Note, 9/12/16 1.2419 09/12/2016 1,000,000 1,016,172
Resimac MBS Trust, Floating Rate Note, 3/7/14 (144A) 0.5075 03/07/2014 400,000 400,119
Citigroup, Inc., Floating Rate Note, 11/15/16 0.9159 11/15/2016 750,000 753,913
Coca-Cola Enterprises, Inc., 2.125%, 9/15/15 2.125 09/15/2015 189,000 194,660
U.S. Treasury Notes, 0.375%, 2/15/16 0.375 02/15/2016 7,500,000 7,509,000
Federal Home Loan Mortgage Corp., Floating Rate Note, 1/15/33 0.6545 01/15/2033 40,000,000 2,132,040
Fannie Mae, 4.5%, 5/1/39 4.5 05/01/2039 1,350,000 575,170
Government National Mortgage Association II, 6.0%, 10/20/21 6.0 10/20/2021 3,113,223 736,594
Bear Stearns Asset Backed Securities Trust 2004-2, Floating Rate Note, 8/25/34 1.3555 08/25/2034 389,000 75,591
Swedbank Hypotek AB, Floating Rate Note, 3/28/14 (144A) 0.6969 03/28/2014 500,000 500,743
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/36 0.5055 09/25/2036 1,275,000 222,919
Seadrill Operating LP, Initial Term Loan, 2/14/21   02/14/2021 850,000 854,857
NCUA Guaranteed Notes Trust REMICS, Floating Rate Note, 3/9/21 0.6885 03/09/2021 800,000 444,260
Commercial Mortgage Trust 2005-GG3, Floating Rate Note, 8/10/42 4.894 08/10/2042 1,000,000 1,030,766
Thornburg Mortgage Securities Trust 2004-1, Floating Rate Note, 3/25/44 1.6419 03/25/2044 20,000,000 261,463
Raymond James Financial, Inc., 4.25%, 4/15/16 4.25 04/15/2016 283,000 305,815
Nissan Motor Acceptance Corp., Floating Rate Note, 3/3/17 (144A) 0.7857 03/03/2017 500,000 499,250
U.S. Treasury Notes, 0.25%, 10/15/15 0.25 10/15/2015 1,000,000 1,001,019
ARI Fleet Lease Trust 2012-A, Floating Rate Note, 3/15/20 (144A) 0.7045 03/15/2020 810,000 275,303
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/30 0.4545 02/15/2030 586,107 311,618
Leaf Receivables Funding 8 LLC, 1.55%, 11/15/17 (144A) 1.55 11/15/2017 195,000 196,345
Ford Motor Credit Co LLC, 2.375%, 1/16/18 2.375 01/16/2018 250,000 254,193
Mack-Cali Realty LP, 5.125%, 1/15/15 5.125 01/15/2015 1,000,000 1,041,594
Federal National Mortgage Association, 5.0%, 7/25/32 5.0 07/25/2032 7,363,000 452,065
Fifth Third Bancorp, Floating Rate Note, 12/20/16 0.6651 12/20/2016 730,000 724,354
Federal National Mortgage Association, 4.0%, 1/1/20 4.0 01/01/2020 7,280,000 1,643,361
Ameriquest Mortgage Securities Inc Asset-Backed Pass-Through Ctfs Ser 2005-R1, Floating Rate Note, 3 0.6055 03/25/2035 592,188 390,613
Del Coronado Trust 2013-DEL, Floating Rate Note, 3/15/26 (144A) 2.1045 03/15/2026 399,000 396,706
Volvo Financial Equipment LLC, 0.54%, 11/15/16 (144A) 0.54 11/15/2016 415,000 414,999
Tribune Co., Initial Term Loan, 11/20/20 4.0 11/20/2020 875,000 874,043
MetLife Institutional Funding II, Floating Rate Note, 1/6/15 (144A) 0.6129 01/06/2015 500,000 502,597
Gray Television, Inc., 10/12/19 4.75 10/11/2019 250,000 252,110
State Street Corp., 4.3%, 5/30/14 4.3 05/30/2014 265,000 270,427
Queen Street IV Capital, Ltd., Floating Rate Note, 4/9/15 (Cat Bond) (144A) 7.565 04/09/2015 500,000 521,346
PNC Bank NA, 1.125%, 1/27/17 1.125 01/27/2017 450,000 450,965
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/41 0.6545 02/15/2041 1,878,046 486,543
Morgan Stanley Capital I Trust 2004-HQ4, 4.97%, 4/14/40 4.97 04/14/2040 1,474,144 961,415
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/39 0.4545 02/15/2039 288,000 178,594
American Home Mortgage Investment Trust 2005-1, Floating Rate Note, 6/25/45 2.3305 06/25/2045 1,500,000 229,584
RALI Series 2004-QR1 Trust, 5.25%, 10/25/34 5.25 10/25/2034 21,545,000 871,678
Freddie Mac Strips, Floating Rate Note, 12/15/36 0.5045 12/15/2036 2,327,000 197,464
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 5/15/36 0.3345 05/15/2036 4,000,000 450,072
Pricoa Global Funding I, Floating Rate Note, 6/24/16 (144A) 0.4584 06/24/2016 500,000 497,125
Morgan Stanley Capital I Trust 2005-IQ10, Floating Rate Note, 9/15/42 5.23 09/15/2042 915,000 887,314
Banc of America Large Loan Trust 2007-BMB1, Floating Rate Note, 8/15/29 (144A) 1.254 08/15/2029 650,000 646,043
GSAMP Trust 2005-HE2, Floating Rate Note, 3/25/35 0.8005 03/25/2035 290,000 35,972
Citibank Credit Card Issuance Trust, 4.85%, 3/10/17 4.85 03/10/2017 700,000 747,960
SunTrust Banks, Inc., 3.5%, 1/20/17 3.5 01/20/2017 500,000 532,118
Welk Resorts 2013-A LLC, 3.1%, 3/15/29 (144A) 3.1 03/15/2029 750,000 715,342
Northshore Re, Ltd., Floating Rate Note, 7/5/16 (Cat Bond) (144A) 7.25 07/05/2016 500,000 526,141
Holmes Master Issuer Plc, Floating Rate Note, 10/15/54 (144A) 2.4389 10/15/2054 250,000 255,897
American Home Mortgage Investment Trust 2004-3, 5.01%, 10/25/34 (Step) 5.01 10/25/2034 4,000,000 407,865
Express Scripts Holding Co., 3.125%, 5/15/16 3.125 05/15/2016 1,000,000 1,055,083
Bear Stearns Asset Backed Securities I Trust 2005-HE8, Floating Rate Note, 8/25/35 0.6555 08/25/2035 1,233,951 232,310
Senior Housing Properties Trust, 4.3%, 1/15/16 4.3 01/15/2016 290,000 303,738
Federal Home Loan Mortgage Corp., 4.0%, 5/15/37 4.0 05/15/2037 1,753,000 236,805
Santander Holdings USA, Inc. Pennsylvania, 3.45%, 8/27/18 3.45 08/27/2018 600,000 626,002
Wells Fargo Mortgage Backed Securities 2005-AR6 Trust, Floating Rate Note, 4/25/35 4.9875 04/25/2035 3,371,000 296,172
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 4/15/27 0.7045 04/15/2027 22,817,000 298,828
Banco Nacional de Desenvolvimento Economico e Social, 3.375%, 9/26/16 (144A) 3.375 09/26/2016 1,000,000 1,033,281
Par Pharmaceutical Companies, Inc., Term B-2 Loan, 9/28/19 4.1053 09/28/2019 650,000 651,828
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 3/15/32 1.1545 03/15/2032 35,466,000 394,415
The Bank of New York Mellon Corp., 1.7%, 11/24/14 1.7 11/24/2014 1,000,000 1,013,346
Banc of America Funding 2004-B Trust, Floating Rate Note, 12/20/34 0.514 12/20/2034 6,667,000 602,387
Norcraft Companies LP, Initial Loan, 11/12/20 5.25 11/12/2020 250,000 251,875
Spirit AeroSystems, Inc., 4/18/19 3.75 03/27/2019 245,625 247,506
Duke Energy Florida, Inc., 0.65%, 11/15/15 0.65 11/15/2015 500,000 502,175
AmeriCredit Automobile Receivables Trust 2013-1, 1.57%, 1/8/19 1.57 01/08/2019 150,000 149,215
Total Capital Canada, Ltd., Floating Rate Note, 1/15/16 0.6189 01/15/2016 1,115,000 1,122,773
Cardinal Health, Inc., 4.0%, 6/15/15 4.0 06/15/2015 500,000 525,136
First Horizon Mortgage Pass-Through Trust 2004-AR5, Floating Rate Note, 10/25/34 2.5747 10/25/2034 940,000 69,163
Structured Asset Mortgage Investments II Trust 2004-AR5, Floating Rate Note, 10/19/34 0.8145 10/19/2034 8,100,000 409,764
Impac CMB Trust Series 2004-5, Floating Rate Note, 10/25/34 0.8755 10/25/2034 5,941,000 387,350
Tradewynd Re, Ltd., Floating Rate Note, 1/8/15 (Cat Bond) (144A) 6.25 01/08/2015 250,000 252,532
Thornburg Mortgage Securities Trust 2003-3, Floating Rate Note, 6/25/43 2.3355 06/25/2043 3,857,000 144,065
Federal National Mortgage Association REMICS, Floating Rate Note, 1/25/24 1.0055 01/25/2024 51,985,111 456,151
Fannie Mae, Floating Rate Note, 10/1/29 2.57 10/01/2029 4,831,796 115,372
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 4/15/36 0.4545 04/15/2036 728,000 184,594
Credit Suisse First Boston Mortgage Securities Corp., 5.25%, 10/25/19 5.25 10/25/2019 1,196,000 78,676
Dryrock Issuance Trust, Floating Rate Note, 8/15/17 0.3045 08/15/2017 700,000 699,673
GreenPoint Mortgage Funding Trust 2005-HE4, Floating Rate Note, 7/25/30 0.5955 07/25/2030 7,877,220 83,757
PFS Financing Corp., Floating Rate Note, 10/17/16 (144A) 0.8545 10/17/2016 700,000 701,407
Navistar Financial Dealer Note Master Trust, Floating Rate Note, 1/25/18 (144A) 0.8255 01/25/2018 510,000 510,141
Anheuser-Busch InBev Finance, Inc., Floating Rate Note, 1/27/17 0.4286 01/27/2017 500,000 500,343
NSTAR Electric Co., Floating Rate Note, 5/17/16 0.4759 05/17/2016 341,000 340,630
Federal National Mortgage Association 2004-T2, Floating Rate Note, 7/25/43 3.35 07/25/2043 6,750,000 1,062,219
Government National Mortgage Association, Floating Rate Note, 8/16/52 1.0843 08/16/2052 2,000,000 137,463
U.S. Treasury Notes, 1.5%, 8/31/18 1.5 08/31/2018 7,500,000 7,606,363
Banc of America Merrill Lynch Commercial Mortgage, Inc., Floating Rate Note, 6/10/39 5.3802 06/10/2039 437,572 171,185
Fannie Mae, 6.5%, 8/1/14 6.5 08/01/2014 234,988 85
RALI Series 2003-QS14 Trust, 5.0%, 7/25/18 5.0 07/25/2018 600,000 48,754
Government National Mortgage Association I, 6.5%, 5/15/31 6.5 05/15/2031 3,183,996 45,594
LPL Holdings, Inc., 3/29/19 3.25 03/29/2019 147,386 147,724
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 5/15/36 0.5545 05/15/2036 2,159,000 196,304
Digital Realty Trust LP, 4.5%, 7/15/15 4.5 07/15/2015 650,000 678,776
Atlantic Power LP, Term Loan B, 2/20/21   02/20/2021 1,175,000 1,183,078
Impac Secured Assets Trust 2006-5, Floating Rate Note, 12/25/36 0.3555 12/25/2036 600,000 167,296
Home Equity Asset Trust 2006-4, Floating Rate Note, 8/25/36 0.3255 08/25/2036 253,896 86,849
GE Dealer Floorplan Master Note Trust, Floating Rate Note, 10/20/17 0.594 10/20/2017 256,000 256,611
Boca Hotel Portfolio Trust 2013-BOCA, Floating Rate Note, 8/15/26 (144A) 1.9045 08/15/2026 430,000 431,078
National City Bank Cleveland Ohio, Floating Rate Note, 12/15/16 0.5929 12/15/2016 250,000 248,257
GMAT 2013-1 Trust, 3.9669%, 8/25/53 (Step) 3.9669 08/25/2053 630,000 627,001
AT&T, Inc., 0.875%, 2/13/15 0.875 02/13/2015 500,000 502,334
Volkswagen International Finance NV, 1.875%, 4/1/14 (144A) 1.875 04/01/2014 300,000 302,674
Citigroup Mortgage Loan Trust, Inc., Floating Rate Note, 4/25/35 2.6761 04/25/2035 1,750,000 184,530
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/36 0.4545 02/15/2036 909,000 200,145
Wachovia Bank Commercial Mortgage Trust Series 2005-C16, Floating Rate Note, 10/15/41 4.847 10/15/2041 465,000 477,164
SunGard Data Systems, Inc., 2/28/17 3.9075 02/28/2017 166,042 167,001
The Korea Development Bank, 1.0%, 1/22/16 1.0 01/22/2016 1,000,000 1,002,097
Hyundai Motor Manufacturing Czech sro, 4.5%, 4/15/15 (144A) 4.5 04/15/2015 1,000,000 1,055,507
Metropolitan Life Global Funding I, 5.125%, 6/10/14 (144A) 5.125 06/10/2014 230,000 235,624
COMM 2013-FL3 Mortgage Trust, Floating Rate Note, 10/13/28 (144A) 1.517 10/13/2028 1,000,000 1,005,589
The Toronto-Dominion Bank, 1.4%, 4/30/18 1.4 04/30/2018 500,000 496,103
Morgan Stanley Home Equity Loan Trust 2005-4, Floating Rate Note, 9/25/35 0.4755 09/25/2035 1,009,263 490,834
Capital One Multi-Asset Execution Trust, Floating Rate Note, 8/15/18 0.2445 08/15/2018 1,000,000 998,594
JP Morgan Chase Commercial Mortgage Securities Corp., Floating Rate Note, 12/15/28 2.1575 12/15/2028 945,000 946,126
Westgate Resorts 2012-2 LLC, 3.0%, 1/20/25 (144A) 3.0 01/20/2025 350,000 186,022
Bayview Financial Mortgage Pass-Through Trust 2006-B, Floating Rate Note, 4/28/36 0.4245 04/28/2036 603,000 55,096
PNC Bank NA, 1.3%, 10/3/16 1.3 10/03/2016 550,000 558,803
RAMP Series 2005-RS5 Trust, Floating Rate Note, 5/25/35 0.4955 05/25/2035 360,000 47,872
Bayview Financial Mortgage Pass-Through Trust 2005-C, Floating Rate Note, 6/28/44 0.6545 06/28/2044 750,000 718,916
JP Morgan Chase Commercial Mortgage Securities Trust 2013-INN, Floating Rate Note, 10/15/30 (144A) 2.3045 10/15/2030 770,000 771,578
Fannie Mae, Floating Rate Note, 11/1/25 2.245 11/01/2025 700,000 4,145
Federal National Mortgage Association REMICS, Floating Rate Note, 6/25/38 0.6555 06/25/2038 2,355,000 243,553
CNH Wholesale Master Note Trust, Floating Rate Note, 8/15/19 (144A) 0.7545 08/15/2019 425,000 425,624
Ameriquest Mortgage Securities Inc Asset Backed Pass-Through Ctfs Ser 2005-R11, Floating Rate Note, 0.4855 01/25/2036 962,222 746,780
NorthStar 2012-1 Mortgage Trust, Floating Rate Note, 8/25/29 (144A) 1.3646 08/25/2029 490,818 376,684
WESCO Distribution, Inc., 12/12/19 3.75 12/04/2019 61,163 61,392
Santander Drive Auto Receivables Trust 2012-1, 3.78%, 11/15/17 3.78 11/15/2017 500,000 517,007
CDC Mortgage Capital Trust 2002-HE1, Floating Rate Note, 1/25/33 0.7755 01/25/2033 19,484,513 457,531
Zoetis, Inc., 1.15%, 2/1/16 1.15 02/01/2016 500,000 502,784
Federal Home Loan Mortgage Corp., Floating Rate Note, 7/1/18 2.353 07/01/2018 2,100,000 5,811
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-A, Floating Rate Note, 3/25/28 1.1505 03/25/2028 10,213,000 466,509
Svenska Handelsbanken New York NY, Floating Rate Note, 11/17/14 0.4059 11/17/2014 350,000 350,259
Government National Mortgage Association, Floating Rate Note, 2/16/53 1.0291 02/16/2053 2,000,000 158,067
Manufacturers & Traders Trust Co., Floating Rate Note, 1/30/17 0.6111 01/30/2017 500,000 499,902
Glencore Funding LLC, Floating Rate Note, 5/27/16 (144A) 1.3936 05/27/2016 1,000,000 997,291
GE Capital Commercial Mortgage Corp., Floating Rate Note, 7/10/45 (144A) 5.165 07/10/2045 500,000 503,658
Structured Asset Securities Corp Mortgage Loan Trust 2005-2XS, 4.65%, 2/25/35 (Step) 4.65 02/25/2035 1,000,000 278,202
Federal National Mortgage Association REMICS, Floating Rate Note, 1/18/32 0.8045 01/18/2032 4,920,043 90,518
Devon Energy Corp., Floating Rate Note, 12/15/15 45.0 12/15/2015 1,000,000 1,004,043
Mastr Asset Backed Securities Trust 2005-WMC1, Floating Rate Note, 3/25/35 0.8305 03/25/2035 215,000 90,193
A10 Term Asset Financing 2013-2 LLC, 2.62%, 11/15/27 (144A) 2.62 11/15/2027 1,085,000 1,087,955
WaMu Mortgage Pass-Through Certificates Series 2003-AR9 Trust, Floating Rate Note, 9/25/33 2.4177 09/25/2033 2,917,360 1,256,081
MASTR Asset Securitization Trust 2003-6, Floating Rate Note, 7/25/18 0.5555 07/25/2018 2,444,000 100,407
Verizon Communications, Inc., 1.95%, 3/28/14 1.95 03/28/2014 519,000 523,850
Countrywide Asset-Backed Certificates, Floating Rate Note, 5/25/36 0.9755 05/25/2036 1,600,000 191,021
GE Equipment Transportation LLC Series 2013-2, 0.61%, 6/24/16 0.61 06/24/2016 480,000 480,418
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/39 0.8545 12/15/2039 666,000 312,607
Fannie Mae Trust 2005-W4, Floating Rate Note, 6/25/35 2.2153 06/25/2035 1,600,000 282,500
RFMSI Series 2005-S5 Trust, 5.25%, 7/25/35 5.25 07/25/2035 300,770 187,117
SMART Trust/Australia, Floating Rate Note, 9/14/16 0.6035 09/14/2016 500,000 499,529
Government National Mortgage Association, Floating Rate Note, 2/16/52 0.6776 02/16/2052 18,000,000 359,684
Tyco Electronics Group SA, 1.6%, 2/3/15 1.6 02/03/2015 640,000 646,596
Federal National Mortgage Association REMICS, Floating Rate Note, 4/25/34 0.5555 04/25/2034 644,866 95,650
Quest Trust, Floating Rate Note, 3/25/34 (144A) 0.8155 03/25/2034 24,804,330 1,184,018
Federal National Mortgage Association, 5.0%, 8/25/22 5.0 08/25/2022 9,200,000 418,168
New York Life Global Funding, Floating Rate Note, 5/23/16 (144A) 0.5866 05/23/2016 1,050,000 1,056,462
General Mills, Inc., 0.875%, 1/29/16 0.875 01/29/2016 250,000 250,899
GSAMP Trust 2005-HE1, Floating Rate Note, 12/25/34 0.9055 12/25/2034 1,210,753 154,558
Delta Air Lines, Inc., 2014 Term B-1 Loan, 10/18/18   10/18/2018 100,000 100,500
Conseco Finance Corp., Floating Rate Note, 11/15/32 6.69 11/15/2032 800,000 23,919
First Investors Auto Owner Trust 2013-2, 1.23%, 3/15/19 (144A) 1.23 03/15/2019 148,000 131,814
Nationstar Mortgage Advance Receivables Trust 2013-T2, 2.19%, 6/20/46 (144A) 2.19 06/20/2046 160,000 159,726
JP Morgan Chase Commercial Mortgage Securities Trust 2004-LN2, Floating Rate Note, 7/15/41 (144A) 4.838 07/15/2041 637,677 334,034
Federal National Mortgage Association REMICS, Floating Rate Note, 11/25/40 0.5555 11/25/2040 4,714,000 2,224,021
Union Bank NA, 2.625%, 9/26/18 2.625 09/26/2018 1,000,000 1,040,458
Terwin Mortgage Trust Series TMTS 2005-10HE, Floating Rate Note, 6/25/36 0.6055 06/25/2036 199,992 194,200
North American Development Bank, 2.3%, 10/10/18 2.3 10/10/2018 1,000,000 1,005,208
Morgan Stanley Capital I Trust 2004-IQ8, Floating Rate Note, 6/15/40 5.11 06/15/2040 1,000,000 452,491
Sequoia Mortgage Trust 2004-12, Floating Rate Note, 1/20/35 0.6369 01/20/2035 3,700,000 281,848
Caterpillar Financial Services Corp., 1.35%, 9/6/16 1.35 09/06/2016 1,125,000 1,148,376
Chase Funding Trust Series 2003-3, Floating Rate Note, 4/25/33 0.6955 04/25/2033 13,029,694 135,730
The Toronto-Dominion Bank, Floating Rate Note, 7/14/14 0.5417 07/14/2014 644,000 645,175
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 11/15/36 0.5045 11/15/2036 1,229,000 282,328
Residential Reinsurance 2011, Ltd., Floating Rate Note, 12/6/16 (Cat Bond) (144A) 8.805 06/06/2015 250,000 270,115
Federal National Mortgage Association REMICS, 5.5%, 5/25/30 5.5 05/25/2030 890,000 22,761
Sequoia Mortgage Trust 2005-1, Floating Rate Note, 2/20/35 0.5846 02/20/2035 4,960,000 492,978
Jackson National Life Global Funding, Floating Rate Note, 9/30/15 (144A) 0.5969 09/30/2015 1,000,000 1,004,612
GE Business Loan Trust 2005-1, Floating Rate Note, 6/15/33 (144A) 0.4045 06/15/2033 1,192,482 755,415
BWAY Holding Co., 8/6/17 4.5 08/06/2017 193,050 194,468
Anheuser-Busch InBev Worldwide, Inc., 1.5%, 7/14/14 1.5 07/14/2014 500,000 503,008
Westgate Resorts LLC, 2.5%, 3/20/25 (144A) 2.5 03/20/2025 250,000 154,117
Thornburg Mortgage Securities Trust 2004-1, Floating Rate Note, 3/25/44 3.7067 03/25/2044 1,950,000 156,488
Impac Secured Assets Trust 2006-2, Floating Rate Note, 8/25/36 0.5055 08/25/2036 503,000 163,294
Federal Home Loan Mortgage Corp., 5.5%, 8/1/23 5.5 08/01/2023 1,563,938 86,470
Ameriquest Mortgage Securities Inc Asset-Backed Pass-Through Ctfs Ser 2004-R11, Floating Rate Note, 0.7605 11/25/2034 5,800,000 261,836
Federal National Mortgage Association REMICS, 4.0%, 5/25/29 4.0 05/25/2029 2,000,000 2,147,627
Massachusetts Port Authority, 5.0%, 7/1/14 5.0 07/01/2014 300,000 306,568
American Express Credit Corp., Floating Rate Note, 6/24/14 1.0984 06/24/2014 500,000 502,282
Adjustable Rate Mortgage Trust 2005-2, Floating Rate Note, 6/25/35 0.9355 06/25/2035 345,151 293,546
Ameriquest Mort Sec Inc Asset Backed Pass Thr Cert 03 AR3, Floating Rate Note, 6/25/33 3.9055 06/25/2033 155,851 114,752
Bear Stearns Commercial Mortgage Securities Trust 2005-PWR7, Floating Rate Note, 2/11/41 5.214 02/11/2041 150,000 152,691
Federal National Mortgage Association REMICS, Floating Rate Note, 5/25/17 0.5555 05/25/2017 20,000,000 231,272
Bank of Nova Scotia, 1.1%, 12/13/16 1.1 12/13/2016 500,000 503,575
Penn National Gaming, Inc., 10/25/20 3.25 10/25/2020 460,000 461,265
CeramTec Service GmbH, 8/30/20 4.25 07/30/2020 213,884 214,819
Chase Mortgage Finance Trust Series 2005-S1, 5.5%, 5/25/35 5.5 05/25/2035 4,068,000 129,658
ConocoPhillips Co., 1.05%, 12/15/17 1.05 12/15/2017 700,000 695,737
GreenPoint Mortgage Funding Trust 2005-HE1, Floating Rate Note, 9/25/34 0.8305 09/25/2034 297,570 260,746
CNL Commercial Mortgage Loan Trust 2003-1, Floating Rate Note, 5/15/31 (144A) 0.6545 05/15/2031 5,443,000 564,482
Johnston Re, Ltd., Floating Rate Note, 5/8/14 (Cat Bond) (144A) 6.96 05/08/2014 750,000 767,338
DT Auto Owner Trust 2011-1, 4.89%, 1/17/17 (144A) 4.89 01/17/2017 325,000 212,658
SNAAC Auto Receivables Trust 2013-1, 1.14%, 7/16/18 (144A) 1.14 07/16/2018 404,000 191,525
Longpoint Re, Ltd. III, Floating Rate Note, 5/18/16 (Cat Bond) (144A) 4.0456 05/18/2016 250,000 255,028
RALI Series 2003-QR24 Trust, 4.0%, 7/25/33 4.0 07/25/2033 6,880,000 784,653
Health Care Real Estate Investment Trust, Inc., 2.25%, 3/15/18 2.25 03/15/2018 500,000 509,195
Britax US Holdings, Inc., 10/7/20 4.5 10/08/2020 299,250 302,149
Bosphorus 1 Re, Ltd., Floating Rate Note, 5/3/16 (Cat Bond) (144A) 2.5608 05/03/2016 250,000 251,169
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 8/15/18 0.7545 08/15/2018 600,000 152,647
Queen Street VII Re, Ltd., Floating Rate Note, 4/8/16 (Cat Bond) (144A) 8.6558 04/08/2016 500,000 533,781
Honda Auto Receivables 2011-2 Owner Trust, 1.55%, 8/18/17 1.55 08/18/2017 350,000 352,341
Hyundai Capital Auto Funding VIII, Ltd., Floating Rate Note, 9/20/16 (144A) 1.1545 09/20/2016 800,000 235,754
Federal Home Loan Mortgage Corp., Floating Rate Note, 11/1/31 2.375 11/01/2031 1,399,950 7,090
RFSC Series 2004-RP1 Trust, Floating Rate Note, 11/25/42 (144A) 1.6555 11/25/2042 250,000 183,765
Homestar Mortgage Acceptance Corp., Floating Rate Note, 1/25/35 0.6155 01/25/2035 3,700,000 643,128
NBCUniversal Enterprise, Inc., Floating Rate Note, 4/15/16 (144A) 0.7759 04/15/2016 871,000 874,186
GE Business Loan Trust 2003-1, Floating Rate Note, 4/15/31 (144A) 0.5845 04/15/2031 4,997,000 271,733
Silverton RE, Ltd., 0.0%, 9/16/16 (Cat Bond) (144A) 0.0 09/16/2016 250,000 256,425
Morgan Stanley, Floating Rate Note, 6/6/16 1.25 06/06/2016 500,000 498,896
CNL Commercial Mortgage Loan Trust 2003-2, Floating Rate Note, 10/25/30 (144A) 0.5945 10/25/2030 1,000,000 103,118
Hartford Life Global Funding Trusts, Floating Rate Note, 6/16/14 0.4229 06/16/2014 500,000 500,378
Soundview Home Loan Trust 2005-OPT4, Floating Rate Note, 12/25/35 0.4155 12/25/2035 815,490 268,613
Equity One Mortgage Pass-Through Trust 2004-3, Floating Rate Note, 7/25/34 0.4755 07/25/2034 3,011,000 183,578
Sequoia Mortgage Trust 2003-5, Floating Rate Note, 9/20/33 0.774 09/20/2033 4,626,000 245,957
Marriott Vacation Club Owner Trust 2012-1, 3.5%, 5/20/30 (144A) 3.5 05/20/2030 845,000 550,981
Penarth Master Issuer Plc, Floating Rate Note, 3/18/14 (144A) 0.7245 03/18/2014 250,000 250,135
Mythen Re, Ltd. Series 2013-1 Class B, Floating Rate Note, 7/9/15 (Cat Bond) (144A) 8.0 07/09/2015 250,000 262,958
Endo Luxembourg Finance I 1st Lien Tl-B L + 2.5% 05nov20 2.5 11/05/2020 500,000 500,313
Fannie Mae, Floating Rate Note, 4/1/29 2.36 04/01/2029 400,000 3,151
Lehman Brothers Small Balance Commercial, Floating Rate Note, 9/25/30 (144A) 0.6755 09/25/2030 750,000 201,199
Federal Home Loan Mortgage Corp., Floating Rate Note, 10/24/16 0.5 10/24/2016 1,000,000 1,003,316
Federal National Mortgage Association REMICS, Floating Rate Note, 10/25/36 0.5555 10/25/2036 11,844,000 560,657
Export-Import Bank of Korea, Floating Rate Note, 9/17/16 1.0939 09/17/2016 1,000,000 1,004,751
Credit Suisse First Boston Mortgage Securities Corp., 4.691%, 10/15/39 4.691 10/15/2039 156,230 47,680
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/37 0.7255 09/25/2037 679,000 108,286
JP Morgan Chase Commercial Mortgage Securities Corp Commercial Mortgage Pass-Thr, Floating Rate Note 5.4055 05/15/2041 232,380 41,219
Credit Suisse New York NY, 5.5%, 5/1/14 5.5 05/01/2014 1,500,000 1,539,946
Ascentium Equipment Receivables LLC, 1.83%, 9/15/19 (144A) 1.83 09/15/2019 822,000 315,618
GMACM Mortgage Loan Trust 2003-AR1, Floating Rate Note, 10/19/33 3.3448 10/19/2033 1,226,000 190,602
Bayview Financial Mortgage Pass-Through Trust 2006-A, Floating Rate Note, 2/28/41 0.5045 02/28/2041 1,639,000 306,544
ORES NPL 2013-LV2 LLC, 3.081%, 9/25/25 (144A) 3.081 09/25/2025 430,000 351,093
Federal National Mortgage Association REMICS, Floating Rate Note, 12/25/37 0.7755 12/25/2037 5,672,000 253,217
Government National Mortgage Association I, 6.5%, 7/15/35 6.5 07/15/2035 328,670 21,741
The Charles Schwab Corp., 0.85%, 12/4/15 0.85 12/04/2015 250,000 251,227
XLIT, Ltd., 5.25%, 9/15/14 5.25 09/15/2014 1,500,000 1,572,772
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 6/15/36 0.5745 06/15/2036 1,288,000 154,585
Morgan Stanley Mortgage Loan Trust 2005-6AR, Floating Rate Note, 11/25/35 0.4355 11/25/2035 2,941,000 559,908
State of Ohio, 3.0%, 6/15/15 3.0 06/15/2015 500,000 520,527
Government National Mortgage Association, 5.0%, 1/20/16 5.0 01/20/2016 3,500,000 755,733
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/36 0.4345 12/15/2036 6,932,100 706,618
Acosta, Inc., 3/2/18 4.25 03/02/2018 248,750 250,538
Cronos Containers Program, Ltd., 3.81%, 9/18/27 (144A) 3.81 09/18/2027 250,000 217,008
Bayview Financial Mortgage Pass-Through Trust Series 2005-B, Floating Rate Note, 4/28/39 0.6045 04/28/2039 425,000 416,858
SMART Trust/Australia, Floating Rate Note, 1/14/17 0.5835 01/14/2017 500,000 500,171
Combine Re, Ltd., Floating Rate Note, 1/7/15 (Cat Bond) (144A) 10.2429 01/07/2015 400,000 429,480
Wells Fargo & Co., 1.25%, 7/20/16 1.25 07/20/2016 500,000 506,521
Federal National Mortgage Association REMICS, 3.5%, 10/25/39 3.5 10/25/2039 490,000 336,993
JP Morgan Mortgage Trust 2005-A3, Floating Rate Note, 6/25/35 5.0089 06/25/2035 6,041,179 839,590
Daimler Finance North America LLC, 1.3%, 7/31/15 (144A) 1.3 07/31/2015 1,000,000 1,009,403
JP Morgan Mortgage Trust 2003-A1, Floating Rate Note, 10/25/33 2.0254 10/25/2033 4,585,389 587,703
ACE Securities Corp Manufactured Housing Trust Series 2003-MH1, Floating Rate Note, 8/15/30 (144A) 6.5 08/15/2030 425,000 87,209
Federal National Mortgage Association, 3.5%, 1/25/24 3.5 01/25/2024 7,225,000 822,847
Longpoint Re, Ltd., Floating Rate Note, 6/12/15 (Cat Bond) (144A) 6.2439 06/12/2015 500,000 526,817
RALI Series 2004-QS1 Trust, 4.25%, 1/25/34 4.25 01/25/2034 14,997,000 337,810
Iberdrola Finance Ireland, Ltd., 3.8%, 9/11/14 (144A) 3.8 09/11/2014 1,000,000 1,033,113
Avis Budget Rental Car Funding AESOP LLC, 2.09%, 4/20/15 (144A) 2.09 04/20/2015 500,000 167,038
SBA Senior Finance II LLC, Incremental Tranche B-1- A Term Loan, 3/31/21 3.25 03/31/2021 100,000 100,013
AmeriCredit Automobile Receivables Trust 2013-4, 0.74%, 11/8/16 0.74 11/08/2016 500,000 500,962
Svenska Handelsbanken New York NY, Floating Rate Note, 1/16/15 0.5268 01/16/2015 200,000 200,525
RREF 2013 LT2 LLC, 2.8331%, 5/22/28 (144A) 2.8331 05/22/2028 700,000 343,857
The Goldman Sachs Group, Inc., Floating Rate Note, 3/22/16 0.6959 03/22/2016 475,000 474,383
Sempra Energy, 2.0%, 3/15/14 2.0 03/15/2014 1,050,000 1,060,186
Telecom Italia Capital SA, 4.95%, 9/30/14 4.95 09/30/2014 750,000 779,634
Express Scripts Holding Co., 2.1%, 2/12/15 2.1 02/12/2015 492,000 499,409
Commercial Mortgage Trust 2005-GG3, Floating Rate Note, 8/10/42 4.799 08/10/2042 485,000 497,124
NovaStar Mortgage Funding Trust Series 2003-1, Floating Rate Note, 5/25/33 0.9155 05/25/2033 9,715,000 290,084
Park Place Securities Inc Asset-Backed Pass-Through Ctfs Ser 2005-WHQ4, Floating Rate Note, 9/25/35 0.5255 09/25/2035 1,293,831 527,024
Sba Senior Finance Ii Llc 1st Lien Dd L + 2.5% 31mar21 3.25 03/31/2021 100,000 100,013
Foresight Energy LLC, 8/21/20 5.5 08/19/2020 249,375 252,180
Credit Suisse First Boston Mortgage Securities Corp., Floating Rate Note, 7/15/36 5.113 07/15/2036 1,170,000 546,535
RALI Series 2004-QS5 Trust, 4.75%, 4/25/34 4.75 04/25/2034 2,000,000 149,601
RAMP Series 2006-RZ3 Trust, Floating Rate Note, 8/25/36 0.3155 08/25/2036 3,026,000 923,944
NovaStar Mortgage Funding Trust Series 2004-4, Floating Rate Note, 3/25/35 1.8055 03/25/2035 1,457,000 1,437,282
Federal National Mortgage Association REMICS, 3.0%, 4/25/40 3.0 04/25/2040 1,110,000 227,622
Fannie Mae, 6.5%, 6/1/15 6.5 06/01/2015 3,819,656 3,745
Bayview Financial Acquisition Trust, Floating Rate Note, 5/28/44 0.7912 05/28/2044 7,600,000 231,347
Commercial Mortgage Pass Through Certificates, Floating Rate Note, 11/17/26 (144A) 2.1061 11/17/2026 600,000 563,678
Gracechurch Card Funding Plc, Floating Rate Note, 6/15/17 (144A) 0.8545 06/15/2017 300,000 301,412
Popular ABS Mortgage Pass-Through Trust 2004-4, 4.930136%, 9/25/34 (Step) 4.9301 09/25/2034 1,325,000 500,518
Altera Corp., 2.5%, 11/15/18 2.5 11/15/2018 500,000 508,991
Countrywide Asset-Backed Certificates, Floating Rate Note, 9/25/34 (144A) 0.7055 09/25/2034 8,600,000 610,480
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 3/15/38 0.5545 03/15/2038 1,005,000 434,628
RASC Series 2005-KS7 Trust, Floating Rate Note, 8/25/35 0.5955 08/25/2035 1,450,000 267,955
John Deere Capital Corp., Floating Rate Note, 10/11/16 0.5317 10/11/2016 1,090,000 1,093,025
Impac CMB Trust Series 2004-8, Floating Rate Note, 8/25/34 2.7805 08/25/2034 590,000 91,020
Nationstar Agency Advance Funding Trust 2013-T1A, 0.997%, 2/15/45 (144A) 0.997 02/15/2045 550,000 548,852
Fannie Mae, 5.0%, 10/1/41 5.0 10/01/2041 1,736,000 930,191
Government National Mortgage Association, 3.0%, 12/20/38 3.0 12/20/2038 5,000,000 1,863,299
Credit Suisse First Boston Mortgage Securities Corp., Floating Rate Note, 2/15/38 5.014 02/15/2038 855,000 783,800
LB-UBS Commercial Mortgage Trust 2002-C4, Floating Rate Note, 10/15/35 (144A) 5.616 10/15/2035 650,000 57,176
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-E, Floating Rate Note, 11/25/29 0.8155 11/25/2029 5,394,465 409,112
Ibis Re II, Ltd., Floating Rate Note, 6/28/16 (Cat Bond) (144A) 4.0 06/28/2016 250,000 254,772
Federal National Mortgage Association REMICS, Floating Rate Note, 1/25/34 0.5055 01/25/2034 10,970,000 2,005,660
First Horizon Mortgage Pass-Through Trust 2004-AR1, Floating Rate Note, 2/25/34 2.594 02/25/2034 1,500,000 61,685
Fifth Third Bank Cincinnati Ohio, 1.15%, 11/18/16 1.15 11/18/2016 750,000 755,903
Structured Asset Investment Loan Trust 2005-6, Floating Rate Note, 7/25/35 0.6355 07/25/2035 719,331 689,334
Wachovia Bank Commercial Mortgage Trust Series 2006-C24, Floating Rate Note, 3/15/45 5.658 03/15/2045 272,000 273,447
Fannie Mae, 6.5%, 6/1/14 6.5 06/01/2014 1,000,000 55
JP Morgan Chase Commercial Mortgage Securities Trust 2006-CIBC17, 5.45%, 12/12/43 5.45 12/12/2043 435,000 85,684
University of California, 0.966%, 5/15/17 0.966 05/15/2017 500,000 500,967
The Bank of New York Mellon Corp., Floating Rate Note, 7/28/14 0.5054 07/28/2014 110,000 110,156
Bayview Commercial Asset Trust, 3.855%, 9/25/37 (Step) (144A) 3.855 09/25/2037 3,000,000 98,835
TransCanada PipeLines, Ltd., 0.75%, 1/15/16 0.75 01/15/2016 650,000 651,158
SABMiller Holdings, Inc., 1.85%, 1/15/15 (144A) 1.85 01/15/2015 500,000 507,167
RALI Series 2004-QS1 Trust, Floating Rate Note, 1/25/34 0.7055 01/25/2034 2,884,000 78,570
Government National Mortgage Association, Floating Rate Note, 8/20/35 0.554 08/20/2035 1,177,000 230,769
First Franklin Mortgage Loan Trust 2005-FFH3, Floating Rate Note, 9/25/35 0.6655 09/25/2035 700,000 444,120
Structured Agency Credit Risk Debt Notes, Floating Rate Note, 11/25/23 1.6055 11/25/2023 750,000 713,417
RASC Series 2007-KS3 Trust, Floating Rate Note, 4/25/37 0.3355 04/25/2037 350,000 145,659
Fannie Mae, Floating Rate Note, 11/1/40 1.532 11/01/2040 9,368,434 121,908
Wesco Aircraft Hardware Corp 1st Lien Tl-B L + 2.5% 24feb21 3.25 02/24/2021 875,000 876,916
JP Morgan Chase Commercial Mortgage Securities Trust 2013-JWRZ, Floating Rate Note, 4/15/30 (144A) 0.9345 04/15/2030 1,550,000 1,540,011
World Financial Network Credit Card Master Trust, Floating Rate Note, 2/15/19   02/15/2019 750,000 750,138
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/35 0.4745 12/15/2035 2,232,000 441,219
JP Morgan Chase Commercial Mortgage Securities Trust 2006-FL2, Floating Rate Note, 11/15/18 (144A) 0.5145 11/15/2018 550,000 174,440
Carrington Mortgage Loan Trust Series 2005-NC1, Floating Rate Note, 2/25/35 0.8905 02/25/2035 1,496,373 515,500
Fannie Mae, 4.5%, 1/1/41 4.5 01/01/2041 580,000 337,865
Albertsons LLC, 3/21/19 4.75 03/21/2019 650,000 656,338
Caelus Re, Ltd., Floating Rate Note, 3/7/16 (Cat Bond) (144A) 5.3108 03/07/2016 250,000 255,001
SACO I Trust 2005-8, Floating Rate Note, 11/25/35 0.9155 11/25/2035 3,250,775 116,873
Federal Home Loan Mortgage Corp. REMICS, 5.0%, 6/15/34 5.0 06/15/2034 401,000 84,687
JP Morgan Chase Commercial Mortgage Securities Corp., 4.878%, 1/15/42 4.878 01/15/2042 1,100,000 1,126,699
Anheuser-Busch InBev Worldwide, Inc., 4.125%, 1/15/15 4.125 01/15/2015 430,000 445,962
HSBC Bank Middle East, Ltd., 3.0%, 10/21/15 3.0 10/21/2015 750,000 775,075
Nissan Auto Lease Trust 2013-B, Floating Rate Note, 1/15/16 0.4245 01/15/2016 240,000 240,248
Federal Home Loan Mortgage Corp., 4.5%, 7/1/19 4.5 07/01/2019 1,381,464 244,853
Ziggo Bv 1st Lien Tl-B2 L + 2.75% 15jan22 3.5 01/15/2022 289,532 288,582
Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/38 0.6055 02/25/2038 624,000 219,702
Terex Corp., New U.S. Term Loan (2013), 4/28/17 3.5 04/28/2017 259,634 261,743
AMRESCO Residential Securities Corp Mortgage Loan Trust 1997-3, Floating Rate Note, 9/25/27 0.7105 09/25/2027 8,300,000 210,364
Nissan Motor Acceptance Corp., 2.65%, 9/26/18 (144A) 2.65 09/26/2018 1,000,000 1,031,183
AmeriCredit Automobile Receivables Trust 2010-2, 6.24%, 6/8/16 6.24 06/08/2016 567,000 584,580
Sierra Timeshare 2013-2 Receivables Funding LLC, 2.92%, 11/20/25 2.92 11/20/2025 160,000 111,373
Fannie Mae, 6.5%, 6/1/16 6.5 06/01/2016 700,000 3,335
Federal National Mortgage Association, 3.0%, 6/25/39 3.0 06/25/2039 2,000,000 386,233
American Honda Finance Corp., 1.125%, 10/7/16 1.125 10/07/2016 500,000 506,289
Federal National Mortgage Association REMICS, Floating Rate Note, 5/25/37 0.5555 05/25/2037 6,826,000 310,930
Wells Fargo Alternative Loan 2005-2 Trust, Floating Rate Note, 10/25/35 0.5655 10/25/2035 453,135 447,601
Credit Suisse First Boston Mortgage Securities Corp., 4.829%, 11/15/37 4.829 11/15/2037 204,829 202,940
Bank of Nova Scotia, 1.45%, 4/25/18 1.45 04/25/2018 500,000 496,476
Hilton USA Trust 2013-HLF, Floating Rate Note, 11/5/30 (144A) 2.908 11/05/2030 500,000 502,701
AmeriCredit Automobile Receivables Trust 2011-3, 4.04%, 7/10/17 4.04 07/10/2017 100,000 104,482
Home Equity Asset Trust 2006-8, Floating Rate Note, 3/25/37 0.2655 03/25/2037 1,394,318 654,555
Alternative Loan Trust 2005-J4, Floating Rate Note, 7/25/35 0.5955 07/25/2035 1,322,801 1,274,668
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/33 0.5545 02/15/2033 20,000,000 335,493
Option One Mortgage Loan Trust 2005-4 Asset-Backed Certificates Series 2005-4, Floating Rate Note, 1 0.4155 11/25/2035 4,575,000 504,173
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/37 0.5155 03/25/2037 4,100,000 355,826
Impac Secured Assets Trust 2006-1, Floating Rate Note, 5/25/36 0.5055 05/25/2036 1,300,000 498,520
Federal National Mortgage Association REMICS, Floating Rate Note, 6/25/37 0.4055 06/25/2037 4,600,000 431,662
Federal National Mortgage Association REMICS, 4.0%, 6/25/37 4.0 06/25/2037 900,000 83,739
Credit Suisse First Boston Mortgage Securities Corp., Floating Rate Note, 12/25/33 1.5055 12/25/2033 700,000 50,256
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 10/15/37 0.7345 10/15/2037 3,873,000 358,550
Liberty Mutual Group, Inc., 7.3%, 6/15/14 (144A) 7.3 06/15/2014 410,000 423,357
Government National Mortgage Association II, 6.0%, 11/20/22 6.0 11/20/2022 1,986,670 340,446
Federal National Mortgage Association REMICS, Floating Rate Note, 12/18/32 0.5545 12/18/2032 6,330,000 119,460
Gracechurch Card Funding Plc, Floating Rate Note, 5/15/19 (144A) 1.0045 05/15/2019 500,000 500,397
Government National Mortgage Association I, 6.0%, 12/15/31 6.0 12/15/2031 1,500,000 73,694
Residential Reinsurance 2012, Ltd., Floating Rate Note, 6/6/16 (Cat Bond) (144A) 8.0659 06/06/2016 250,000 280,047
Terwin Mortgage Trust Series TMTS 2003-8HE, Floating Rate Note, 12/25/34 1.0955 12/25/2034 5,234,000 159,695
Morgan Stanley ABS Capital I Inc Trust 2005-WMC5, Floating Rate Note, 6/25/35 0.8905 06/25/2035 820,000 460,433
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 8/15/25 0.4545 08/15/2025 8,280,485 829,973
Mastr Asset Backed Securities Trust 2006-NC1, Floating Rate Note, 1/25/36 0.3455 01/25/2036 1,567,646 287,572
Banc of America Funding 2003-3 Trust, 5.5%, 10/25/33 5.5 10/25/2033 617,825 159,258
Georgia Power Co., Floating Rate Note, 8/15/16 0.6359 08/15/2016 500,000 500,484
State Street Bank & Trust Co., Floating Rate Note, 12/8/15 0.4416 12/08/2015 550,000 549,890
Park Place Securities Inc Asset-Backed Pass-Through Ctfs Ser 2004-WCW2, Floating Rate Note, 10/25/34 1.0855 10/25/2034 1,076,819 183,817
CHL Mortgage Pass-Through Trust 2002-J4, 5.5%, 10/25/32 5.5 10/25/2032 10,625,000 755,464
Lehman Brothers Small Balance Commercial Mortgage Trust 2007-3, Floating Rate Note, 10/25/37 (144A) 1.1055 10/25/2037 785,400 252,636
A10 Securitization 2013-1 LLC, 2.4%, 11/15/25 (144A) 2.4 11/15/2025 642,000 642,278
Fannie Mae, 5.5%, 8/1/37 5.5 08/01/2037 2,000,000 458,728
Fannie Mae Grantor Trust 2001-T1, Floating Rate Note, 10/25/40 3.7227 10/25/2040 51,205,518 3,580,621
Credit Suisse First Boston Mortgage Securities Corp., 7.5%, 5/25/32 7.5 05/25/2032 15,000,000 329,436
Darling International, Inc., Term B USD Loan, 12/19/20 3.25 12/19/2020 525,000 525,315
Fannie Mae, Floating Rate Note, 11/1/24 2.549 11/01/2024 7,000,000 94,873
Johnston Re, Ltd., Floating Rate Note, 5/8/14 (Cat Bond) (144A) 7.66 05/08/2014 1,550,000 1,590,317
Government National Mortgage Association, 3.0%, 4/20/41 3.0 04/20/2041 300,000 289,175
Federal National Mortgage Association REMICS, Floating Rate Note, 6/25/37 0.3955 06/25/2037 3,542,500 655,542
GTP Towers Issuer LLC, 8.112%, 2/15/15 (144A) 8.112 02/15/2015 1,070,000 1,107,607
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 8/15/35 0.4045 08/15/2035 462,000 113,485
Mastr Specialized Loan Trust, Floating Rate Note, 1/25/36 (144A) 0.4555 01/25/2036 3,644,114 343,328
Aegis Asset Backed Securities Trust 2005-5, Floating Rate Note, 12/25/35 0.4255 12/25/2035 1,000,000 300,922
Fieldstone Mortgage Investment Trust Series 2005-1, Floating Rate Note, 3/25/35 1.2355 03/25/2035 311,000 152,811
RAMP Series 2005-RZ4 Trust, Floating Rate Note, 11/25/35 0.4155 11/25/2035 4,671,695 203,457
Citigroup, Inc., Floating Rate Note, 11/5/14 0.5156 11/05/2014 907,000 907,484
Specialty Underwriting & Residential Finance Trust Series 2006-BC1, Floating Rate Note, 12/25/36 0.4555 12/25/2036 790,207 746,540
PNC Funding Corp., 5.4%, 6/10/14 5.4 06/10/2014 190,000 194,819
Irwin Whole Loan Home Equity Trust 2003-C, Floating Rate Note, 6/25/28