Pioneer Investments: Pioneer Short Term Income Fund


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Pioneer Short Term Income Fund

Monthly Portfolio Holdings as of 6/30/2015

Security Name Coupon Maturity Date Par / Shares Market Value($)
AmeriCredit Automobile Receivables Trust 2012-4, 3.82%, 2/10/20 (144A) 3.82 02/10/2020 500,000 513,827
Ford Motor Credit Co LLC, 1.7%, 5/9/16 1.7 05/09/2016 500,000 501,879
Galileo Re, Ltd., Floating Rate Note, 1/9/19 (Cat Bond) (144A) 7.43 01/09/2019 500,000 511,831
Morgan Stanley Capital I Trust 2006-HQ9, Floating Rate Note, 7/12/44 5.793 07/12/2044 600,000 625,290
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/36 0.4855 02/15/2036 1,133,000 182,122
Huntsman International LLC, 2014-1 Incremental Term Loan, 9/30/21 3.75 09/30/2021 548,625 549,768
American Credit Acceptance Receivables Trust 2014-1, 1.14%, 3/12/18 (144A) 1.14 03/12/2018 520,000 73,024
Delta Air Lines, Inc., 2014 Term B-1 Loan, 10/18/18 3.25 10/18/2018 98,485 98,354
The Bank of Nova Scotia, 1.1%, 12/13/16 1.1 12/13/2016 500,000 501,094
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/39 0.8855 12/15/2039 666,000 242,132
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 4/15/28 0.6855 04/15/2028 16,175,365 221,160
CG-CCRE Commercial Mortgage Trust 2014-FL1, Floating Rate Note, 6/16/31 (144A) 1.1355 06/16/2031 1,630,000 1,627,322
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/37 0.547 03/25/2037 4,100,000 216,842
Mastr Asset Backed Securities Trust 2006-NC1, Floating Rate Note, 1/25/36 0.377 01/25/2036 1,567,646 127,822
Structured Asset Securities Corp Mor Cer Ser 2003-31A, Floating Rate Note, 10/25/33 2.563 10/25/2033 1,500,000 121,093
VOLT XIX LLC, 3.875%, 4/26/55 (Step) 3.875 04/26/2055 800,000 499,728
Eco Services Operations Llc 1st Lien Tl-B L + 3.75% 10oct21 4.75 10/10/2021 522,375 521,069
GSAMP Trust 2005-HE1, Floating Rate Note, 12/25/34 0.937 12/25/2034 1,210,753 89,467
Government National Mortgage Association II, 6.0%, 4/20/22 6.0 04/20/2022 1,262,566 172,090
Citigroup, Inc., 1.8%, 2/5/18 1.8 02/05/2018 750,000 753,668
Accredited Mortgage Loan Trust 2005-2, Floating Rate Note, 7/25/35 0.587 07/25/2035 240,000 222,658
Eden Re II, Ltd., 0.0%, 4/19/18 (Cat Bond) (144A) 0.0 04/19/2018 700,000 713,300
Credit Acceptance Auto Loan Trust 2012-2, 1.52%, 3/16/20 (144A) 1.52 03/16/2020 400,000 68,966
Endo Luxembourg Finance I 1st Lien Tl-B L + 2.5% 05nov20 3.25 11/05/2020 493,750 494,830
Federal Home Loan Mortgage Corp., 3.0%, 1/15/30 3.0 01/15/2030 893,000 402,040
Oracle Corp., 2.25%, 10/8/19 2.25 10/08/2019 300,000 303,294
Westgate Resorts 2014-1 LLC, 2.15%, 12/20/26 (144A) 2.15 12/20/2026 1,000,000 774,639
Foresight Energy LLC, Term Loan, 8/21/20 5.5 08/21/2020 67,011 66,509
Raymond James Financial, Inc., 4.25%, 4/15/16 4.25 04/15/2016 2,108,000 2,179,599
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 4/15/41 0.6055 04/15/2041 2,446,437 413,926
Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/37 0.437 02/25/2037 4,308,000 151,156
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 5/15/36 0.5855 05/15/2036 2,159,000 131,710
Merrill Lynch Mortgage Investors Trust Series MLCC 2005-A, Floating Rate Note, 3/25/30 0.647 03/25/2030 7,567,883 415,337
American Airlines Inc 1st Lien Tl-B L + 3% 10oct21 3.75 10/10/2021 750,000 749,531
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-G, Floating Rate Note, 1/25/30 0.747 01/25/2030 16,956,975 629,933
SWAY Residential 2014-1 Trust, Floating Rate Note, 1/20/32 (144A) 1.4855 01/20/2032 700,000 694,310
Walgreens Boots Alliance, Inc., Floating Rate Note, 5/18/16 0.726 05/18/2016 750,000 750,550
New York Life Global Funding, Floating Rate Note, 5/23/16 (144A) 0.6273 05/23/2016 1,050,000 1,054,044
Ameriquest Mortgage Securities Inc Asset Backed Pass-Through Ctfs Ser 2005-R11, Floating Rate Note, 0.517 01/25/2036 962,222 552,478
Costco Wholesale Corp., 1.125%, 12/15/17 1.125 12/15/2017 740,000 739,218
Valeant Pharmaceuticals Internatio 1st Lien Tl-Bf1 L + 3.25% 13mar22 4.0 03/13/2022 498,750 499,090
Structured Adjustable Rate Mortgage Loan Trust, Floating Rate Note, 11/25/34 1.0318 11/25/2034 18,180,000 861,456
Banc of America Funding 2003-3 Trust, 5.5%, 10/25/33 5.5 10/25/2033 617,825 100,937
Bear Stearns ALT-A Trust 2004-12, Floating Rate Note, 1/25/35 1.027 01/25/2035 3,280,000 334,424
Citigroup Mortgage Loan Trust 2010-7 REMICS, Floating Rate Note, 9/25/37 (144A) 1.184 09/25/2037 1,905,250 166,205
Rialto Capital Management LLC, 2.85%, 5/15/24 (144A) 2.85 05/15/2024 700,000 141,620
Jarden Corp., Tranche B1 Term Loan, 9/30/20 2.936 09/30/2020 245,625 246,963
Unifrax I LLC, New Term B Dollar Loan, 11/28/18 4.25 11/28/2018 407,977 407,850
Nations Equipment Finance Funding II LLC, 3.276%, 1/22/19 (144A) 3.276 01/22/2019 500,000 478,480
Thermo Fisher Scientific, Inc., 2.4%, 2/1/19 2.4 02/01/2019 1,000,000 1,008,916
The Bank of Tokyo-Mitsubishi UFJ, Ltd., 1.55%, 9/9/16 (144A) 1.55 09/09/2016 1,000,000 1,009,183
Bear Stearns ALT-A Trust 2004-12, Floating Rate Note, 1/25/35 1.027 01/25/2035 8,440,000 935,772
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-A REMICS, Floating Rate Note, 4/25/29 0.647 04/25/2029 9,857,948 475,424
Northshore Re, Ltd., Floating Rate Note, 7/5/16 (Cat Bond) (144A) 7.2703 07/05/2016 500,000 515,663
Fannie Mae, 6.5%, 7/1/32 6.5 07/01/2032 723,471 7,488
Federal National Mortgage Association REMICS, 1.5%, 11/25/20 1.5 11/25/2020 745,000 144,782
Remy International, Inc., Term B Loan 2013, 3/5/20 4.25 03/05/2020 994,898 996,142
Micro Focus Us Inc 1st Lien Tl-B L + 4.25% 07oct21 5.25 10/07/2021 352,941 354,076
Ziggo Bv Us 1st Lien Tl-B2 L + 2.75% 15jan22 3.5 01/15/2022 289,532 286,655
Bway Holding Co 1st Lien Tl-B L + 4.5% 08aug20 5.5 08/08/2020 99,000 99,634
American Express Credit Corp., 1.3%, 7/29/16 1.3 07/29/2016 500,000 504,334
Texas Municipal Gas Acquisition & Supply Corp III, 5.0%, 12/15/15 5.0 12/15/2015 500,000 509,861
Federal National Mortgage Association REMICS, Floating Rate Note, 4/25/32 1.187 04/25/2032 50,000,000 572,593
Westgate Resorts LLC, 9.5%, 2/20/25 (144A) 9.5 02/20/2025 1,800,000 414,102
Level 3 Financing Inc 1st Lien Tl-B2 L + 2.75% 31may22   05/31/2022 225,000 223,664
Credit Suisse Mortgage Capital Certificates, Floating Rate Note, 3/15/28 (144A) 2.436 03/15/2028 400,000 398,695
GLC Trust 2013-1, 3.0%, 7/15/21 (144A) 3.0 07/15/2021 1,000,000 611,506
RALI Series 2003-QR24 Trust REMICS, 4.0%, 7/25/33 4.0 07/25/2033 950,000 10,578
Post Holdings Inc 1st Lien Tl-B L + 3% 23may21 3.75 05/23/2021 748,113 745,909
Kinder Morgan, Inc. Delaware, 2.0%, 12/1/17 2.0 12/01/2017 700,000 699,042
Credit Acceptance Auto Loan Trust 2013-2, 1.5%, 4/15/21 (144A) 1.5 04/15/2021 1,000,000 1,004,264
Avago Technologies Ltd 1st Lien Tl-B L + 3% 16apr21 3.75 04/16/2021 340,102 341,068
Federal National Mortgage Association REMICS, Floating Rate Note, 6/25/37 0.437 06/25/2037 1,010,000 85,852
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 9/15/26 0.4855 09/15/2026 385,000 205,775
Soundview Home Loan Trust 2005-3, Floating Rate Note, 6/25/35 0.967 06/25/2035 600,000 26,334
Wachovia Bank Commercial Mortgage Trust Series 2005-C21, Floating Rate Note, 10/17/44 5.2524 10/17/2044 625,364 200,404
HSBC USA, Inc., Floating Rate Note, 6/23/17 0.5813 06/23/2017 750,000 747,219
Atlantic Power LP, Term Loan, 2/20/21 4.75 02/20/2021 1,102,817 1,106,953
Lehman Brothers Small Balance Commercial Mortgage Trust 2007-3, Floating Rate Note, 10/25/37 (144A) 1.237 10/25/2037 466,904 288,926
Boca Hotel Portfolio Trust 2013-BOCA, Floating Rate Note, 8/17/26 (144A) 1.936 08/17/2026 430,000 430,309
Navitas Equipment Receivables LLC 2013-1, 3.63%, 2/15/17 3.63 02/15/2017 650,000 652,657
The Bank of Nova Scotia, 1.45%, 4/25/18 1.45 04/25/2018 500,000 498,925
Federal National Mortgage Association, 3.5%, 3/25/28 3.5 03/25/2028 2,344,102 122,931
Chase Issuance Trust, 0.59%, 8/15/17 0.59 08/15/2017 300,000 300,080
Hertz Fleet Lease Funding LP, Floating Rate Note, 4/10/28 (144A) 0.5854 04/10/2028 300,000 272,630
FREMF Mortgage Trust 2012-K501, Floating Rate Note, 11/26/46 (144A) 3.5486 11/26/2046 409,000 418,806
Kilimanjaro Re, Ltd., Floating Rate Note, 11/25/19 (Cat Bond) (144A) 3.7703 11/25/2019 750,000 747,206
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/41 0.6855 02/15/2041 1,878,046 308,920
Aegis Asset Backed Securities Trust Mortgage Pass- Through Ctfs Series 2004-3, Floating Rate Note, 9 0.907 09/25/2034 12,500,000 372,014
RAAC Series 2005-RP1 Trust, Floating Rate Note, 7/25/37 (144A) 1.137 07/25/2037 583,530 244,831
Ibis Re II, Ltd., Floating Rate Note, 6/28/16 (144A) 4.5101 06/28/2016 250,000 249,631
Federal National Mortgage Association REMICS, Floating Rate Note, 10/25/36 0.587 10/25/2036 11,844,000 402,256
Federal Home Loan Mortgage Corp., 6.5%, 7/1/16 6.5 07/01/2016 2,000,000 4,282
Freddie Mac Structured Agency Credit Risk Debt Notes, Floating Rate Note, 10/25/24 1.587 10/25/2024 700,000 333,468
GMAC Commercial Mortgage Securities Inc Series 2004-C2 Trust, Floating Rate Note, 8/10/38 5.301 08/10/2038 1,465,000 9,781
Ameriquest Mortgage Securities Inc Asset-Backed Pass-Through Ctfs Ser 2005-R9, 4.83954%, 11/25/35 (S 5.444 11/25/2035 590,000 443,111
Federal National Mortgage Association REMICS, Floating Rate Note, 7/25/35 0.487 07/25/2035 750,000 149,493
Fannie Mae, Floating Rate Note, 11/1/40 1.556 11/01/2040 9,368,434 31,098
Federal National Mortgage Association REMICS, Floating Rate Note, 5/18/32 0.685 05/18/2032 31,809,000 582,936
CPS Auto Receivables Trust 2014-A, 1.21%, 8/15/18 1.21 08/15/2018 200,000 100,623
JPMorgan Chase & Co., 1.1%, 10/15/15 1.1 10/15/2015 492,000 493,588
Fly Funding II Sarl, Loan, 8/8/18 3.5 08/08/2018 370,000 370,771
Total Capital International SA, 0.75%, 1/25/16 0.75 01/25/2016 500,000 502,369
Fannie Mae Trust 2005-W4, Floating Rate Note, 6/25/45 2.2596 06/25/2045 1,600,000 230,381
Morgan Stanley Dean Witter Capital I Trust 2001-TOP3, 6.79%, 7/15/33 6.79 07/15/2033 460,000 53,398
Aon Corp., 3.125%, 5/27/16 3.125 05/27/2016 750,000 767,183
Etp 2.5% 15jun18 2.5 06/15/2018 750,000 751,560
Inwood Park CDO, Ltd., Floating Rate Note, 1/20/21 (144A) 0.5001 01/20/2021 1,000,000 240,061
National City Bank Cleveland Ohio, Floating Rate Note, 12/15/16 0.6359 12/15/2016 250,000 249,500
McKesson Corp., Floating Rate Note, 9/10/15 0.6822 09/10/2015 235,000 235,075
Commercial Mortgage Trust 2005-GG3, Floating Rate Note, 8/10/42 4.894 08/10/2042 1,000,000 94,812
Federal National Mortgage Association, 4.0%, 10/1/20 4.0 10/01/2020 4,317,004 1,040,144
Quebecor Media, Inc., Facility B-1 Tranche, 8/17/20 3.25 08/17/2020 197,985 195,325
SBA Senior Finance II LLC, Incremental Tranche B-1 Term Loan, 3/31/21 3.25 03/31/2021 198,000 196,543
Chase Issuance Trust, Floating Rate Note, 4/16/18 0.4053 04/16/2018 750,000 750,540
Canadian Natural Resources, Ltd., Floating Rate Note, 3/30/16 0.6568 03/30/2016 277,000 276,958
RALI Series 2004-QS5 Trust, 4.75%, 4/25/34 4.75 04/25/2034 4,285,000 168,683
WaMu Mortgage Pass-Through Certificates Series 2003-S10, 5.0%, 10/25/18 5.0 10/25/2018 17,361,049 456,308
Federal National Mortgage Association 2004-T2, Floating Rate Note, 7/25/43 3.4058 07/25/2043 6,750,000 889,391
Citigroup Mortgage Loan Trust, Inc., Floating Rate Note, 5/25/35 (144A) 0.937 05/25/2035 429,900 389,558
Federal Home Loan Mortgage Corp., Floating Rate Note, 7/15/19 0.3355 07/15/2019 1,500,000 74,597
Principal Life Global Funding II, Floating Rate Note, 5/27/16 (144A) 0.6545 05/27/2016 390,000 391,045
CNL Commercial Mortgage Loan Trust 2002-1, Floating Rate Note, 10/25/28 (144A) 0.786 10/25/2028 8,975,000 272,410
JP Morgan Chase Commercial Mortgage Securities Trust 2006-LDP9, Floating Rate Note, 5/15/47 0.3405 05/15/2047 250,000 90,658
Credit Suisse First Boston Mortgage Securities Corp., Floating Rate Note, 7/25/35 0.457 07/25/2035 3,555,000 384,622
American Credit Acceptance Receivables Trust 2014-2, 0.99%, 10/10/17 (144A) 0.99 10/10/2017 500,000 122,540
Wheelabrator 1st Lien Tl-C L + 4% 15oct21 5.0 10/15/2021 42,146 42,672
Berkshire Hathaway Finance Corp., Floating Rate Note, 1/10/17 0.4212 01/10/2017 1,000,000 1,001,708
Crown Castle 1st Lien Term-B2 L + 2.5% 31jan21 3.0 01/31/2021 347,355 345,922
Citigroup, Inc., Floating Rate Note, 4/1/16 1.0642 04/01/2016 500,000 502,342
RFSC Series 2004-RP1 Trust, Floating Rate Note, 11/25/42 2.4348 11/25/2042 250,000 116,626
Federal National Mortgage Association, 3.5%, 7/25/24 3.5 07/25/2024 1,250,000 195,442
Saxon Asset Securities Trust 2005-4, Floating Rate Note, 11/25/37 0.417 11/25/2037 9,516,000 337,431
Bear Stearns ARM Trust 2004-3, Floating Rate Note, 7/25/34 2.9734 07/25/2034 2,481,203 78,395
Apple, Inc., Floating Rate Note, 5/3/16 0.3288 05/03/2016 400,000 400,244
Fifth Third Bancorp, Floating Rate Note, 12/20/16 0.7008 12/20/2016 730,000 726,337
JP Morgan Chase Commercial Mortgage Securities Trust 2005-LDP3, Floating Rate Note, 8/15/42 5.1285 08/15/2042 800,000 803,056
Del Coronado Trust 2013-DEL, Floating Rate Note, 3/16/26 (144A) 2.136 03/16/2026 399,000 398,998
Government National Mortgage Association, 3.5%, 8/20/38 3.5 08/20/2038 1,115,000 293,246
JP Morgan Chase Commercial Mortgage Securities Trust 2006-FL2, Floating Rate Note, 11/15/18 (144A) 0.4655 11/15/2018 2,550,000 471,875
Springleaf Funding Trust 2014-A, 2.41%, 12/15/22 (144A) 2.41 12/15/2022 1,000,000 1,002,321
Morgan Stanley ABS Capital I Inc Trust 2005-WMC5, Floating Rate Note, 6/25/35 0.922 06/25/2035 820,000 74,432
Halyard Health Inc 1st Lien Tl-B L + 3.25% 03oct21 4.0 10/03/2021 260,788 263,233
AmeriCredit Automobile Receivables Trust 2014-2, Floating Rate Note, 10/10/17 0.4641 10/10/2017 380,000 205,949
BAMLL Commercial Mortgage Securities Trust 2014-FL1, Floating Rate Note, 12/17/31 (144A) 2.3855 12/17/2031 800,000 802,530
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/35 0.537 03/25/2035 1,278,000 213,547
Queen Street X RE, Ltd., Floating Rate Note, 6/8/18 (Cat Bond) (144A) 5.75 06/08/2018 250,000 244,684
Hmac Flt% 25sep34 04-4-A3 1.287 09/25/2034 1,510,000 345,493
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-H, Floating Rate Note, 1/25/29 0.827 01/25/2029 6,910,000 344,481
NCUA Guaranteed Notes Trust REMICS, Floating Rate Note, 3/2/21 0.7381 03/02/2021 800,000 331,609
Terwin Mortgage Trust Series TMTS 2003-8HE, Floating Rate Note, 12/25/34 1.127 12/25/2034 5,234,000 158,824
GP Portfolio Trust 2014-GGP, Floating Rate Note, 2/16/27 (144A) 1.4855 02/16/2027 1,000,000 1,000,774
RAMP Series 2003-RS9 Trust, Floating Rate Note, 10/25/33 5.06 10/25/2033 5,091,956 291,036
Horizon Funding Trust 2013-1, 3.0%, 5/15/18 (144A) 3.0 05/15/2018 585,000 160,641
First Investors Auto Owner Trust 2013-1, 1.81%, 10/15/18 (144A) 1.81 10/15/2018 55,000 55,255
RALI Series 2003-QS9 Trust, Floating Rate Note, 5/25/18 0.637 05/25/2018 11,040,000 315,176
Equity One Mortgage Pass-Through Trust 2003-1, Floating Rate Note, 8/25/33 0.927 08/25/2033 11,389,000 309,035
The Goldman Sachs Group, Inc., Floating Rate Note, 3/22/16 0.7308 03/22/2016 475,000 474,781
Chase Mortgage Finance Trust Series 2005-S1, 5.5%, 5/25/35 5.5 05/25/2035 4,068,000 41,075
MortgageIT Trust 2004-2, Floating Rate Note, 12/25/34 0.927 12/25/2034 5,310,000 726,927
Gray Television Inc. 1st Lien Tl L + 3% 10jun21 3.75 06/10/2021 801,032 802,117
Government National Mortgage Association I, 6.0%, 3/15/17 6.0 03/15/2017 10,311,138 106,966
ACIS CLO 2014-4, Ltd., Floating Rate Note, 5/1/26 (144A) 1.2782 05/01/2026 700,000 175,291
Structured Asset Securities Corp Mortgage Loan Trust 2005-WF4, Floating Rate Note, 11/25/35 0.547 11/25/2035 475,000 1,808
Sinclair Television Group, Inc., New Tranche B Term Loan, 4/19/20 3.0 04/19/2020 437,188 436,229
Countrywide Asset-Backed Certificates, Floating Rate Note, 5/25/35 1.007 05/25/2035 1,600,000 38,897
Government National Mortgage Association I, 6.5%, 10/15/37 6.5 10/15/2037 400,000 40,280
BLCP Hotel Trust, Floating Rate Note, 8/15/29 (144A) 1.536 08/15/2029 1,610,000 1,608,546
Georgia Power Co., Floating Rate Note, 8/15/16 0.6739 08/15/2016 500,000 499,575
Sanders Re, Ltd., Floating Rate Note, 5/5/17 (Cat Bond) (144A) 4.0203 05/05/2017 750,000 740,108
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 6/15/41 0.6155 06/15/2041 1,220,000 278,623
EQTY 2014-INNS Mortgage Trust REMICS, Floating Rate Note, 5/8/31 (144A) 1.781 05/08/2031 540,000 533,744
Fannie Mae, 2.5%, 6/1/23 2.5 06/01/2023 526,320 376,038
Sequoia Mortgage Trust 2013-8, Floating Rate Note, 6/25/43 2.25 06/25/2043 414,000 313,721
Kane Sac, Ltd., 0.0%, 1/7/16 (Cat Bond) 0.0 01/07/2016 458,833 461,449
Government National Mortgage Association I, 6.5%, 5/15/31 6.5 05/15/2031 3,183,996 38,499
Zoetis, Inc., 1.15%, 2/1/16 1.15 02/01/2016 500,000 502,506
Encore Credit Receivables Trust 2005-3, Floating Rate Note, 10/25/35 0.657 10/25/2035 1,000,000 83,176
Atlas Reinsurance VII, Ltd., Floating Rate Note, 1/7/16 (Cat Bond) (144A) 8.1442 01/07/2016 250,000 255,165
Federal Home Loan Mortgage Corp., Floating Rate Note, 4/1/29 2.618 04/01/2029 160,000 2,000
New York Life Global Funding, 1.45%, 12/15/17 (144A) 1.45 12/15/2017 750,000 750,039
BAMLL Commercial Mortgage Securities Trust 2014-ICTS, Floating Rate Note, 6/15/28 (144A) 1.2855 06/15/2028 580,000 579,077
JP Morgan Chase Commercial Mortgage Securities Trust 2014-FBLU REMICS, Floating Rate Note, 12/15/28 1.686 12/15/2028 1,030,000 1,030,759
Vitality Re IV, Ltd., Floating Rate Note, 1/9/17 (Cat Bond) (144A) 2.7703 01/09/2017 500,000 509,788
Ooredoo International Finance, Ltd., 3.375%, 10/14/16 (144A) 3.375 10/14/2016 500,000 515,205
CGWF Commercial Mortgage Trust 2013-RKWH REMICS, Floating Rate Note, 11/15/30 (144A) 2.0855 11/15/2030 1,720,000 1,721,135
Seadrill Operating LP, Initial Term Loan, 2/14/21 4.0 02/14/2021 837,250 636,011
John Deere Capital Corp., 1.05%, 10/11/16 1.05 10/11/2016 1,098,000 1,105,261
Skandinaviska Enskilda Banken AB New York NY, Floating Rate Note, 9/21/15 0.6208 09/21/2015 750,000 750,340
American Home Mortgage Investment Trust 2004-3, 5.01%, 10/25/34 (Step) 5.01 10/25/2034 4,000,000 8,383
Federal National Mortgage Association REMICS, Floating Rate Note, 6/25/37 0.437 06/25/2037 4,600,000 278,896
North American Development Bank, 2.3%, 10/10/18 2.3 10/10/2018 650,000 664,875
Westgate Resorts 2012-A LLC, 3.75%, 8/20/25 (144A) 3.75 08/20/2025 403,000 172,374
Federal Home Loan Mortgage Corp., Floating Rate Note, 1/15/33 0.6855 01/15/2033 40,000,000 1,510,424
Small Business Administration Participation Certificates, 2.24%, 4/15/43 (144A) 2.24 04/15/2043 630,000 627,341
Structured Asset Investment Loan Trust 2005-6, Floating Rate Note, 7/25/35 0.907 07/25/2035 719,331 545,759
Duke Energy Florida, Inc., 0.65%, 11/15/15 0.65 11/15/2015 695,000 695,688
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 8/15/25 0.4355 08/15/2025 970,000 262,370
FMG Resources August 2006 Pty, Ltd., Loan, 6/30/19 3.75 06/30/2019 73,641 65,563
Gale Force 3 Clo, Ltd., Floating Rate Note, 4/19/21 (144A) 0.5151 04/19/2021 500,000 267,234
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/24 0.687 03/25/2024 4,129,409 144,312
Fannie Mae, Floating Rate Note, 7/1/36 2.421 07/01/2036 500,000 52,356
Federal Home Loan Mortgage Corp., Floating Rate Note, 1/15/35 0.4355 01/15/2035 1,635,000 205,378
Silverton RE, Ltd., 0.0%, 9/16/16 (Cat Bond) (144A) 0.0 09/16/2016 250,000 9,750
First Franklin Mortgage Loan Trust 2002-FFA, Floating Rate Note, 9/25/32 1.687 09/25/2032 5,500,000 236,034
Capella Healthcare Inc 1st Lien Tl-B L + 4.25% 31dec21 5.25 12/31/2021 104,738 104,999
Government National Mortgage Association, 5.0%, 9/20/31 5.0 09/20/2031 6,000,000 302,952
RALI Series 2002-QS16 Trust, Floating Rate Note, 10/25/17 0.737 10/25/2017 11,475,000 139,991
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 8/15/26 0.3855 08/15/2026 370,000 118,343
Barclays Bank Plc, Floating Rate Note, 2/17/17 0.856 02/17/2017 229,000 228,449
Origen Manufactured Housing Contract Trust 2004-B, Floating Rate Note, 11/15/35 5.46 11/15/2035 460,000 348,052
Caterpillar Financial Services Corp., 1.0%, 11/25/16 1.0 11/25/2016 1,000,000 1,003,482
Residential Reinsurance 2012, Ltd., Floating Rate Note, 12/6/16 (Cat Bond) (144A) 4.5051 12/06/2016 1,150,000 1,164,576
PACCAR Financial Corp., Floating Rate Note, 6/6/17 0.4689 06/06/2017 485,000 485,379
CNH Wholesale Master Note Trust, Floating Rate Note, 8/15/19 (144A) 0.7855 08/15/2019 525,000 525,608
Freddie Mac Structured Agency Credit Risk Debt Notes, Floating Rate Note, 8/25/24 1.537 08/25/2024 1,430,000 532,979
Asset Backed Securities Corp Home Equity Loan Trust Series 2005-HE3, Floating Rate Note, 4/25/35 0.892 04/25/2035 159,800 96,843
Lehman Brothers Small Balance Commercial, Floating Rate Note, 9/25/30 (144A) 0.437 09/25/2030 3,264,773 496,808
Mlcc Flt% 25jan29 03-G 0.827 01/25/2029 3,360,000 176,581
RALI Series 2003-QR24 Trust REMICS, 4.0%, 7/25/33 4.0 07/25/2033 6,880,000 748,451
Banc of America Commercial Mortgage Trust 2006-4 REMICS, 5.634%, 7/10/46 5.634 07/10/2046 1,960,000 1,760,497
Capital One NA, 1.65%, 2/5/18 1.65 02/05/2018 750,000 749,268
Welk Resorts 2013-A LLC, 3.1%, 3/15/29 (144A) 3.1 03/15/2029 750,000 491,766
The Bank of Tokyo-Mitsubishi UFJ, Ltd., 2.7%, 9/9/18 (144A) 2.7 09/09/2018 305,000 314,761
TMS International Corp., Term B Loan, 10/2/20 4.5 10/02/2020 146,199 145,651
American Honda Finance Corp., 1.2%, 7/14/17 1.2 07/14/2017 750,000 754,777
CSMC Trust 2014-SURF, Floating Rate Note, 2/15/29 (144A)   02/15/2029 700,000 698,934
PFS Financing Corp., Floating Rate Note, 2/15/19 (144A) 0.7855 02/15/2019 430,000 429,263
Federal National Mortgage Association REMICS, Floating Rate Note, 6/25/36 0.637 06/25/2036 2,317,493 206,538
Nomura Asset Acceptance Corp Alternative Loan Trust Series 2003-A3, 5.5%, 8/25/33 (Step) 5.5 08/25/2033 3,120,000 181,148
JP Morgan Chase Commercial Mortgage Securities Trust 2014-FL6, Floating Rate Note, 11/17/31 (144A) 1.586 11/17/2031 1,170,000 1,170,182
COMM 2014-PAT Mortgage Trust, Floating Rate Note, 8/13/27 (144A) 1.7785 08/13/2027 820,000 822,729
General Mills, Inc., 0.875%, 1/29/16 0.875 01/29/2016 250,000 251,131
Endo International 1st Lien Tl-B1 L + 3% 24jun22 3.75 06/24/2022 244,000 244,915
Homestar Mortgage Acceptance Corp., Floating Rate Note, 6/25/34 0.537 06/25/2034 3,670,962 263,985
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/33 0.687 09/25/2033 4,915,594 474,403
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 7/15/36 0.6855 07/15/2036 3,107,000 204,130
Government National Mortgage Association, Floating Rate Note, 2/20/35 0.4368 02/20/2035 2,059,000 247,836
Leaf Receivables Funding 8 LLC, 2.67%, 9/15/20 (144A) 2.67 09/15/2020 311,966 313,840
JP Morgan Mortgage Acquisition Trust 2006-ACC1, Floating Rate Note, 5/25/36 0.337 05/25/2036 704,088 159,735
Manufacturers & Traders Trust Co., Floating Rate Note, 1/30/17 0.6532 01/30/2017 500,000 499,414
Federal Home Loan Mortgage Corp., Floating Rate Note, 7/15/31 0.6855 07/15/2031 49,927,842 488,509
SASCO Mortgage Loan Trust 2005-GEL1, Floating Rate Note, 12/25/34 0.7348 12/25/2034 510,000 313,487
Starwood Property Trust, Inc., Term Loan (First Lien), 4/17/20 3.5 04/17/2020 196,482 195,828
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/42 0.7355 02/15/2042 350,000 181,767
Asset Backed Securities Corp Home Equity Loan Trust Series AEG 2006-HE1, Floating Rate Note, 1/25/36 0.387 01/25/2036 311,384 49,374
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 5/15/41 0.5855 05/15/2041 638,000 97,040
Government National Mortgage Association REMICS, 2.0%, 1/16/46 2.0 01/16/2046 3,000,000 2,919,615
Federal Home Loan Mortgage Corp. REMICS, 5.5%, 10/15/35 5.5 10/15/2035 1,625,000 23,908
Duke Energy Indiana, Inc., Floating Rate Note, 7/11/16 0.6259 07/11/2016 303,000 303,642
American Electric Power Co, Inc., 1.65%, 12/15/17 1.65 12/15/2017 500,000 500,947
Federal National Mortgage Association REMICS, Floating Rate Note, 5/25/37 0.587 05/25/2037 6,826,000 215,995
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 11/15/36 0.5355 11/15/2036 600,000 89,720
Government National Mortgage Association, Floating Rate Note, 1/16/40 0.7348 01/16/2040 2,000,000 610,856
St Jude Medical, Inc., 2.5%, 1/15/16 2.5 01/15/2016 510,000 521,310
Federal Home Loan Mortgage Corp., 4.5%, 7/1/19 4.5 07/01/2019 1,381,464 165,312
GE Business Loan Trust 2005-1, Floating Rate Note, 6/15/33 (144A) 0.4355 06/15/2033 1,692,482 676,577
Sector Re V, Ltd., 3/1/20 (Cat Bond) (144A) 0.0 03/01/2020 300,000 301,680
Fannie Mae, 6.0%, 10/1/22 6.0 10/01/2022 973,454 236,859
Gci Holdings Inc 1st Lien Tl-B L + 3.75% 22dec21 4.75 12/22/2021 375,000 377,344
Government National Mortgage Association, Floating Rate Note, 2/20/38 0.6868 02/20/2038 2,477,000 187,300
Fannie Mae, 3.0%, 5/1/21 3.0 05/01/2021 2,775,000 924,682
Structured Asset Securities Corp Mortgage Pass-Through Ctfs Ser 2003-24A, Floating Rate Note, 7/25/3 2.4245 07/25/2033 7,700,000 895,967
Fannie Mae, Floating Rate Note, 12/1/28 2.516 12/01/2028 1,112,489 51,833
Toyota Motor Credit Corp., 1.125%, 5/16/17 1.125 05/16/2017 750,000 752,714
HarborView Mortgage Loan Trust 2004-1, Floating Rate Note, 4/19/34 2.7369 04/19/2034 3,987,000 171,007
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 11/15/36 0.5355 11/15/2036 1,229,000 198,281
MALLINCKRODT INTERNATIONAL FINANCE SA, Initial Term B Loan, 3/6/21 3.25 03/06/2021 296,250 295,394
Opteum Mortgage Acceptance Corp Trust 2005-4, Floating Rate Note, 11/25/35 0.497 11/25/2035 7,189,000 1,241,539
L-3 Communications Corp., 1.5%, 5/28/17 1.5 05/28/2017 586,000 582,782
IndyMac INDX Mortgage Loan Trust 2004-AR6, Floating Rate Note, 10/25/34 2.6978 10/25/2034 675,000 67,685
The Toronto-Dominion Bank, Floating Rate Note, 7/2/19 0.7108 07/02/2019 750,000 751,037
Global Container Assets 2013-1, Ltd., 2.2%, 11/6/28 (144A) 2.2 11/06/2028 750,000 363,464
Irwin Home Equity Loan Trust 2005-1, 5.32%, 6/25/35 (Step) 5.32 06/25/2035 900,000 72,462
Ellington Loan Acquisition Trust 2007-1, Floating Rate Note, 5/26/37 (144A) 1.087 05/26/2037 550,000 397,514
Hilton Grand Vacations Trust 2014-A, 2.07%, 11/25/26 (144A) 2.07 11/25/2026 750,000 571,112
JP Morgan Chase Commercial Mortgage Securities Trust 2006-FL2, Floating Rate Note, 11/15/18 (144A) 0.5455 11/15/2018 550,000 179,067
JP Morgan Chase Commercial Mortgage Securities Trust 2014-BXH, Floating Rate Note, 4/15/27 (144A) 1.436 04/15/2027 1,670,000 1,668,809
Freddie Mac REMICS, Floating Rate Note, 2/15/32 1.1355 02/15/2032 14,441,000 803,304
Bank of America Corp., 1.35%, 11/21/16 1.35 11/21/2016 500,000 500,648
Metropolitan Life Insurance Co., 7.7%, 11/1/15 (144A) 7.7 11/01/2015 1,250,000 1,291,464
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-B, Floating Rate Note, 4/25/28 0.867 04/25/2028 9,700,000 406,877
Government National Mortgage Association, Floating Rate Note, 2/16/30 0.8348 02/16/2030 14,415,492 197,195
Bear Stearns Commercial Mortgage Securities Trust 2005-PWR8, 4.75%, 6/11/41 4.75 06/11/2041 415,000 26,848
Bafc Flt% 20feb35 05-A 0.4968 02/20/2035 10,835,000 529,137
Alamo Re, Ltd., Floating Rate Note, 6/7/17 (Cat Bond) (144A) 5.2451 06/07/2017 250,000 249,607
TI Group Automotive Systems LLC, Term Loan Facility, 7/1/21 4.25 07/01/2021 223,872 223,592
Quest Trust REMICS, Floating Rate Note, 3/25/34 (144A) 0.847 03/25/2034 24,804,330 848,999
CHS, Incremental 2018 Term F Loans, 12/31/18 3.5335 12/31/2018 99,125 99,161
Morgan Stanley Capital I Trust 2006-TOP23, Floating Rate Note, 8/12/41 6.0095 08/12/2041 650,000 603,463
Volt Flt% 26jun45 15-Npl8 3.5 06/26/2045 400,000 399,793
Global Mortgage Securitization, Ltd., Floating Rate Note, 4/25/32 0.457 04/25/2032 8,633,000 655,662
Sumitomo Mitsui Banking Corp., Floating Rate Note, 7/19/16 0.9451 07/19/2016 300,000 301,087
Credit Suisse Commercial Mortgage Trust Series 2006-C2 REMICS, Floating Rate Note, 3/15/39 5.6701 03/15/2039 1,970,000 1,867,847
Morgan Stanley Capital I Trust 2015-XLF1, Floating Rate Note, 8/14/31 (144A) 2.3855 08/14/2031 500,000 500,602
Volkswagen International Finance NV, 1.6%, 11/20/17 (144A) 1.6 11/20/2017 500,000 503,632
Schaeffler (Aka Ina Beteiligungsge 1st Lien Tl-B L + 3.5% 15may20 4.25 05/15/2020 442,308 445,395
Longpoint Re, Ltd. III, Floating Rate Note, 5/18/16 (Cat Bond) (144A) 3.9651 05/18/2016 500,000 500,725
Federal National Mortgage Association REMICS, 5.0%, 9/25/39 5.0 09/25/2039 110,000 12,170
Jpmcc Flt% 15may28 15-Fl7-B 1.9866 05/15/2028 850,000 847,918
Consumer Credit Origination Loan Trust 2015-1, 2.82%, 3/15/21 (144A) 2.82 03/15/2021 750,000 603,671
Citigroup Mortgage Loan Trust, Inc., Floating Rate Note, 11/25/34 1.207 11/25/2034 900,000 55,166
Fannie Mae, Floating Rate Note, 4/1/28 2.712 04/01/2028 400,000 3,154
14112z Zero% 01feb19 0.0 02/01/2019 1,000,000 1,058,100
Federal Home Loan Mortgage Corp., Floating Rate Note, 5/1/25 2.17 05/01/2025 588,110 5,434
Sequoia Mortgage Trust 2004-7, Floating Rate Note, 8/20/34 1.7956 08/20/2034 5,250,000 209,853
Morgan Stanley Home Equity Loan Trust 2005-4, Floating Rate Note, 9/25/35 0.507 09/25/2035 1,558,243 578,658
RALI Series 2005-QA1 Trust, Floating Rate Note, 1/25/35 0.487 01/25/2035 8,661,000 798,859
Federal Home Loan Banks, 2.9%, 4/20/17 2.9 04/20/2017 1,370,000 224,138
Alterna Funding I LLC, 1.639%, 2/15/21 (144A) 1.639 02/15/2021 400,000 274,321
Fannie Mae, 6.5%, 6/1/16 6.5 06/01/2016 700,000 871
Principal Life Global Funding II, 1.2%, 5/19/17 (144A) 1.2 05/19/2017 750,000 750,635
Federal National Mortgage Association REMICS, Floating Rate Note, 7/25/34 0.587 07/25/2034 1,642,000 97,147
Banc of America Mortgage 2003-H Trust, Floating Rate Note, 9/25/33 2.7457 09/25/2033 13,410,000 1,018,075
Aecom Technology Corp 1st Lien Tl-B L + 3% 17sep21 3.75 09/17/2021 297,251 298,366
Phillips 66, 2.95%, 5/1/17 2.95 05/01/2017 750,000 774,594
SASCO Mortgage Loan Trust 2005-GEL2, Floating Rate Note, 4/25/35 0.747 04/25/2035 8,945,588 97,077
NSTAR Electric Co., Floating Rate Note, 5/17/16 0.516 05/17/2016 341,000 340,474
Sierra Timeshare 2013-1 Receivables Funding LLC, 2.39%, 11/20/29 (144A) 2.39 11/20/2029 160,000 46,201
AmeriCredit Automobile Receivables Trust 2013-4, 3.31%, 10/8/19 3.31 10/08/2019 550,000 565,533
Berkshire Hathaway Finance Corp., Floating Rate Note, 8/14/17 0.4 08/14/2017 1,000,000 1,000,595
FHLMC Structured Pass Through Securities, Floating Rate Note, 12/25/29 0.487 12/25/2029 12,000,000 176,210
ACRE Commercial Mortgage Trust 2014-FL2, Floating Rate Note, 8/15/31 (144A) 1.634 08/15/2031 700,000 702,359
Federal National Mortgage Association, Floating Rate Note, 6/25/32 0.687 06/25/2032 21,270,000 528,951
Bear Stearns ALT-A Trust 2004-12, Floating Rate Note, 1/25/35 0.887 01/25/2035 9,210,000 963,960
GE Capital Commercial Mortgage Corp., Floating Rate Note, 7/10/45 (144A) 5.1414 07/10/2045 500,000 502,303
Residential Asset Securitization Trust 2003-A2, Floating Rate Note, 5/25/33 0.587 05/25/2033 34,300,000 1,174,071
Bear Stearns Asset Backed Securities I Trust 2005-FR1, Floating Rate Note, 6/25/35 0.687 06/25/2035 1,526,722 442,294
Progreso Receivables Funding II LLC, 3.5%, 7/8/19 (144A) 3.5 07/08/2019 1,370,000 1,373,920
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/30 0.4855 02/15/2030 586,107 230,072
CNH Equipment Trust 2013-A, 0.69%, 6/15/18 0.69 06/15/2018 450,000 230,088
Citigroup Mortgage Loan Trust 2010-4 REMICS, 5.0%, 10/25/35 (144A) 5.0 10/25/2035 2,735,000 634,838
Ibis Re II, Ltd., Floating Rate Note, 6/28/16 (Cat Bond) (144A) 4.0 06/28/2016 500,000 501,389
Svenska Handelsbanken AB, Floating Rate Note, 9/23/16 0.7513 09/23/2016 1,000,000 1,003,493
Fannie Mae, Floating Rate Note, 11/1/24 2.549 11/01/2024 7,000,000 86,961
Kane Zero% 29apr16 0.0 04/29/2016 800,000 840,640
AMC Entertainment, Inc., Initial Term Loan, 4/30/20 3.5 04/30/2020 245,603 245,571
DCP Midstream Operating LP, 3.25%, 10/1/15 3.25 10/01/2015 500,000 504,042
GreenPoint Mortgage Funding Trust 2005-HE1, Floating Rate Note, 9/25/34 0.862 09/25/2034 297,570 6,904
Federal National Mortgage Association, 2.5%, 9/1/22 2.5 09/01/2022 2,000,000 1,156,240
Sierra Timeshare 2013-2 Receivables Funding LLC, 2.92%, 11/20/25 (144A) 2.92 11/20/2025 270,000 94,889
Sunset Mortgage Loan Co 2014-NPL2 LLC, 3.721%, 11/16/44 (Step) (144A) 3.721 11/16/2044 850,000 644,223
Government National Mortgage Association, 5.25%, 5/20/31 5.25 05/20/2031 14,313,000 34,182
Freddie Mac Structured Agency Credit Risk Debt Notes, Floating Rate Note, 2/25/24 1.187 02/25/2024 485,000 429,325
GE Business Loan Trust 2004-2, Floating Rate Note, 12/15/32 (144A) 0.4055 12/15/2032 2,833,274 336,499
Kane Sac, Ltd., 0.0%, 1/7/16 (Cat Bond) 0.0 01/07/2016 210,250 212,794
Centerpoint Energy Transition Bond Co II LLC, 5.17%, 8/1/19 5.17 08/01/2019 720,000 531,037
Trafigura Securitisation Finance Plc. 2014-1, Floating Rate Note, 4/16/18 (144A) 1.1355 04/16/2018 400,000 400,351
Wells Fargo Alternative Loan 2005-2 Trust, Floating Rate Note, 10/25/35 1.007 10/25/2035 453,135 451,388
Health Care Real Estate Investment Trust, Inc., 2.25%, 3/15/18 2.25 03/15/2018 500,000 507,012
Morgan Stanley, Floating Rate Note, 11/9/18 3.1 11/09/2018 275,000 290,276
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-C, Floating Rate Note, 6/25/28 1.1438 06/25/2028 9,455,006 300,559
JBS USA LLC, Incremental Term Loan, 9/18/20 3.75 09/18/2020 197,000 197,083
Impac CMB Trust Series 2004-4, Floating Rate Note, 9/25/34 0.807 09/25/2034 14,479,489 566,637
Kane Sac, Ltd., 0.0%, 1/7/16 (Cat Bond) 0.0 01/07/2016 685,125 691,223
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 10/15/20 0.3856 10/15/2020 9,083,556 120,420
Holmes Master Issuer Plc, Floating Rate Note, 10/15/54 (144A) 2.4753 10/15/2054 250,000 261,410
Apf 2.61% 15apr20 15-A-A 2.61 04/15/2020 500,000 500,530
Emdeon Inc 1st Lien Tl-B3 L + 2.5% 02nov18 3.75 11/02/2018 397,000 397,000
Nn Inc 1st Lien Tl-B L + 5% 18jul21 6.0 07/18/2021 384,286 386,203
KeyCorp, 3.75%, 8/13/15 3.75 08/13/2015 931,000 947,169
RBSSP Resecuritization Trust 2009-5, Floating Rate Note, 8/25/37 (144A) 0.6813 08/25/2037 2,550,000 740,919
Mythen Re, Ltd. Series 2013-1 Class B, Floating Rate Note, 7/9/15 (Cat Bond) (144A) 8.03 07/09/2015 700,000 712,981
Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/35 0.497 02/25/2035 603,000 179,714
Government National Mortgage Association, 3.0%, 12/20/38 3.0 12/20/2038 1,000,000 104,969
Government National Mortgage Association II, 6.0%, 10/20/21 6.0 10/20/2021 3,113,223 255,838
Toyota Motor Credit Corp., 0.75%, 3/3/17 (Step) 0.75 03/03/2017 3,150,000 3,147,107
Government National Mortgage Association I, 5.0%, 8/15/19 5.0 08/15/2019 1,347,915 304,346
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 8/15/18 0.7855 08/15/2018 600,000 86,451
Westlake Automobile Receivables Trust 2013-1, 1.12%, 1/15/18 (144A) 1.12 01/15/2018 150,000 19,736
Citigroup, Inc., 1.3%, 4/1/16 1.3 04/01/2016 500,000 502,805
GMACM Mortgage Loan Trust 2004-AR1, Floating Rate Note, 6/25/34 2.9313 06/25/2034 2,100,000 193,157
Federal National Mortgage Association REMICS, Floating Rate Note, 5/25/40 0.737 05/25/2040 761,373 283,412
Bear Stearns Commercial Mortgage Securities Trust 2006-TOP22, Floating Rate Note, 4/12/38 5.7657 04/12/2038 1,150,000 928,537
Thornburg Mortgage Securities Trust 2004-3, Floating Rate Note, 9/25/34 0.927 09/25/2034 17,118,309 1,230,950
Fannie Mae, 2.0%, 11/1/23 2.0 11/01/2023 2,236,000 1,721,662
PFS Financing Corp., Floating Rate Note, 2/15/18 (144A) 0.7355 02/15/2018 800,000 799,502
Rio Tinto Finance USA Plc, Floating Rate Note, 6/17/16 1.1233 06/17/2016 560,000 561,666
Silverstone Master Issuer Plc, Floating Rate Note, 1/21/55 (144A) 1.9258 01/21/2055 290,000 296,786
Verizon Communications, Inc., Floating Rate Note, 9/15/16 1.8159 09/15/2016 1,285,000 1,301,850
Citrus Re, Ltd., Floating Rate Note, 4/18/17 (Cat Bond) (144A) 4.2601 04/18/2017 250,000 245,089
Wesco Aircraft Hardware Corp., Tranche B Term Loan, 2/24/21 3.25 02/24/2021 792,604 791,118
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-G, Floating Rate Note, 1/25/29 1.8866 01/25/2029 3,592,000 49,970
Sierra Timeshare 2012-3 Receivables Funding LLC, 1.87%, 8/20/29 (144A) 1.87 08/20/2029 1,400,000 370,835
Morgan Stanley, Floating Rate Note, 2/25/16 1.532 02/25/2016 500,000 503,490
Express Scripts Holding Co., 3.125%, 5/15/16 3.125 05/15/2016 1,000,000 1,020,421
Hilton Worldwide Finance LLC, Initial Term Loan, 9/23/20 3.5 09/23/2020 356,776 357,173
Commercial Mortgage Pass Through Certificates, Floating Rate Note, 11/19/26 (144A) 2.1251 11/19/2026 600,000 197,997
Caterpillar Financial Services Corp., 1.35%, 9/6/16 1.35 09/06/2016 1,125,000 1,137,481
Springleaf Mortgage Loan Trust 2012-2, Floating Rate Note, 10/25/57 (144A) 2.22 10/25/2057 424,000 145,533
STORE Master Funding LLC, 5.77%, 8/20/42 (144A) 5.77 08/20/2042 344,000 354,826
ZIGGO BV, (USD) TLB3, 1/15/22 3.5 01/15/2022 476,177 471,445
LB-UBS Commercial Mortgage Trust 2006-C1 REMICS, 5.156%, 2/15/31 5.156 02/15/2031 1,615,000 1,364,401
Kindred Healthcare 1st Lien Tl-B L + 3% 10apr21 4.25 04/10/2021 274,309 275,079
American Credit Acceptance Receivables Trust 2014-3, 0.99%, 8/10/18 (144A) 0.99 08/10/2018 410,000 175,008
Morgan Stanley ABS Capital I Inc Trust 2004-SD3, Floating Rate Note, 6/25/34 (144A) 0.647 06/25/2034 13,470,000 400,871
Rial 3% 25dec32 15-Lt7 3.0 12/25/2032 700,000 699,919
Federal National Mortgage Association, Floating Rate Note, 9/25/22 2.01 09/25/2022 3,000,000 104,765
Hyundai Capital America, 1.875%, 8/9/16 (144A) 1.875 08/09/2016 500,000 506,658
Tronox Pigments Holland BV, New Term Loan, 3/19/20 4.25 03/19/2020 447,716 448,611
COMM 2005-C6 Mortgage Trust, Floating Rate Note, 6/10/44 5.167 06/10/2044 1,880,000 1,887,413
Verizon Communications, Inc., 0.7%, 11/2/15 0.7 11/02/2015 935,000 934,764
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/36 0.537 09/25/2036 1,275,000 152,921
GE Business Loan Trust 2007-1, Floating Rate Note, 4/16/35 (144A) 0.3555 04/16/2035 1,550,000 580,662
Federal Home Loan Mortgage Corp., 2.75%, 11/15/25 2.75 11/15/2025 1,000,000 403,332
Orbital ATK, Inc., Term B Loan, 10/22/20 3.5 10/22/2020 196,753 197,202
RAAC Series 2004-SP2 Trust, 6.0%, 1/25/32 6.0 01/25/2032 11,000,000 383,150
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 6/15/36 0.6055 06/15/2036 1,288,000 112,354
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/33 0.5855 02/15/2033 20,000,000 256,336
Merrill Lynch Mortgage Trust 2005-CKI1, Floating Rate Note, 11/12/37 5.4601 11/12/2037 2,360,000 225,173
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-A, Floating Rate Note, 3/25/28 0.927 03/25/2028 15,000,000 613,792
Morgan Stanley, Floating Rate Note, 6/6/16 1.1289 06/06/2016 500,000 502,541
Alternative Loan Trust 2004-4CB, 4.25%, 4/25/34 4.25 04/25/2034 4,541,000 78,975
PVH Corp., Tranche B Term Loan, 2/13/20 3.25 02/13/2020 296,932 298,664
Wells Fargo & Co., Floating Rate Note, 4/23/18 0.9073 04/23/2018 575,000 577,592
Ziggo Bv Us 1st Lien Tl-B1 L + 2.75% 15jan22 3.5 01/15/2022 449,291 444,827
Federal National Mortgage Association REMICS, Floating Rate Note, 7/25/38 1.087 07/25/2038 6,812,000 334,683
Government National Mortgage Association, Floating Rate Note, 1/16/35 0.4348 01/16/2035 2,563,000 249,688
Georgia Power Co., Floating Rate Note, 3/15/16 0.6059 03/15/2016 827,000 826,382
ORES 2014-LV3 LLC, 3.0%, 3/27/24 (144A) 3.0 03/27/2024 550,000 264,789
American Express Credit Account Secured Note Trust 2012-4, Floating Rate Note, 5/15/20 (144A) 0.9855 05/15/2020 760,000 763,800
Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/33 0.537 02/25/2033 4,696,499 197,411
Fannie Mae, 4.5%, 1/1/41 4.5 01/01/2041 580,000 267,112
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA New York, Floating Rate Note, 3/18/16 0.7663 03/18/2016 500,000 501,555
Tpf Ii Power Llc 1st Lien Tl-B L + 4.5% 24sep21 5.5 09/24/2021 748,125 755,606
Hilton USA Trust 2013-HLF, Floating Rate Note, 11/5/30 (144A) 2.935 11/05/2030 500,000 493,777
Credit Suisse First Boston Mortgage Securities Corp., 4.877%, 4/15/37 4.877 04/15/2037 500,000 382,392
Fannie Mae, Floating Rate Note, 10/1/36 1.896 10/01/2036 1,877,185 309,622
Daimler Finance North America LLC, 1.45%, 8/1/16 (144A) 1.45 08/01/2016 1,000,000 1,009,975
Ascentium Equipment Receivables 2014-1 LLC, 1.04%, 1/10/17 (144A) 1.04 01/10/2017 400,000 221,359
Lanark Master Issuer Plc, Floating Rate Note, 12/22/54 (144A) 0.7835 12/22/2054 250,000 219,380
ABN AMRO Bank NV, 1.375%, 1/22/16 (144A) 1.375 01/22/2016 500,000 504,481
Branch Banking & Trust Co., Floating Rate Note, 9/13/16 0.6059 09/13/2016 970,000 967,546
Citigroup, Inc., Floating Rate Note, 11/15/16 0.9539 11/15/2016 750,000 752,086
Federal National Mortgage Association REMICS, Floating Rate Note, 11/18/32 1.185 11/18/2032 24,329,000 410,983
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 1/15/37 0.4855 01/15/2037 16,831,292 921,709
GSAA Trust, Floating Rate Note, 6/25/35 0.982 06/25/2035 1,900,000 394,387
University of California, 0.966%, 5/15/17 0.966 05/15/2017 500,000 501,212
JP Morgan Chase Commercial Mortgage Securities Trust 2005-LDP4, Floating Rate Note, 10/15/42 5.04 10/15/2042 500,000 503,117
Federal Home Loan Mortgage Corp., Floating Rate Note, 4/15/36 0.5355 04/15/2036 4,003,000 560,997
Fannie Mae, 6.0%, 4/1/38 6.0 04/01/2038 483,000 34,346
KeyBank NA Cleveland Ohio, 1.1%, 11/25/16 1.1 11/25/2016 500,000 501,295
Bear Stearns Commercial Mortgage Securities Trust 2005-PWR7, Floating Rate Note, 2/11/41 5.214 02/11/2041 550,000 552,245
Government National Mortgage Association I, 6.5%, 7/15/35 6.5 07/15/2035 328,670 8,278
GSAMP Trust 2006-SEA1, Floating Rate Note, 5/25/36 (144A) 0.487 05/25/2036 5,518,315 316,007
Thomson Reuters Corp., 0.875%, 5/23/16 0.875 05/23/2016 250,000 249,725
SNAAC Auto Receivables Trust, 4.38%, 6/15/17 (144A) 4.38 06/15/2017 460,000 56,870
JP Morgan Chase Commercial Mortgage Securities Trust 2007-CIBC18, 5.44%, 6/12/47 5.44 06/12/2047 800,000 795,089
Vita Capital V, Ltd., Floating Rate Note, 1/15/17 (Cat Bond) (144A) 2.7576 01/15/2017 750,000 764,099
Residential Reinsurance 2014, Ltd., Floating Rate Note, 6/6/18 (Cat Bond) (144A) 3.5051 06/06/2018 250,000 252,258
Outfront Media Capital LLC, Term Loan, 1/15/21 3.0 01/15/2021 350,000 349,380
Garda World Security Corp., Term B Loan, 11/1/20 4.0 11/01/2020 477,869 477,073
The Toronto-Dominion Bank, 1.4%, 4/30/18 1.4 04/30/2018 500,000 500,140
Citigroup Commercial Mortgage Trust 2015-SSHP REMICS, Floating Rate Note, 9/15/27 (144A) 2.2855 09/15/2027 1,250,000 1,250,543
Honda Auto Receivables 2013-2 Owner Trust, 0.53%, 2/16/17 0.53 02/16/2017 285,000 161,376
Sierra Timeshare 2012-2 Receivables Funding LLC, 2.38%, 3/20/29 (144A) 2.38 03/20/2029 1,500,000 328,434
Freddie Mac Strips, Floating Rate Note, 12/15/36 0.5355 12/15/2036 2,327,000 119,387
Starbucks Corp., 0.875%, 12/5/16 0.875 12/05/2016 605,000 605,894
Federal Home Loan Mortgage Corp., Floating Rate Note, 1/1/28 2.482 01/01/2028 500,000 2,745
Structured Asset Mortgage Investments II Trust 2005-AR2, Floating Rate Note, 5/25/45 3.6167 05/25/2045 5,000,000 461,589
The Boeing Co., 0.95%, 5/15/18 0.95 05/15/2018 1,050,000 1,038,779
Ford Motor Credit Co LLC, 2.375%, 1/16/18 2.375 01/16/2018 250,000 255,045
Bear Stearns Commercial Mortgage Securities Trust 2006-PWR14, 5.171%, 12/11/38 5.171 12/11/2038 790,000 159,445
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 8/15/35 0.4355 08/15/2035 462,000 83,609
Fannie Mae Connecticut Avenue Securities, Floating Rate Note, 7/25/24 1.387 07/25/2024 1,540,000 1,197,800
Lehman Brothers Small Balance Commercial Mortgage Trust 2007-3, Floating Rate Note, 10/25/37 (144A) 1.137 10/25/2037 885,400 180,232
Commercial Mortgage Pass Through Certificates, Floating Rate Note, 11/19/26 (144A) 1.786 11/19/2026 850,000 849,953
Telefonica Emisiones SAU, 3.992%, 2/16/16 3.992 02/16/2016 500,000 516,081
PNC Bank NA, 1.6%, 6/1/18 1.6 06/01/2018 600,000 599,850
Ford Motor Credit Co LLC, 2.875%, 10/1/18 2.875 10/01/2018 1,000,000 1,023,250
Federal National Mortgage Association, 4.0%, 3/1/21 4.0 03/01/2021 4,071,760 1,034,590
Bear Stearns ALT-A Trust 2004-13, Floating Rate Note, 11/25/34 0.927 11/25/2034 2,473,000 116,936
MGM Resorts International, Term B Loan, 12/20/19 3.5 12/20/2019 341,250 339,473
Federal Home Loan Mortgage Corp. REMICS, 3.5%, 10/15/18 3.5 10/15/2018 500,000 69,699
Resource Capital Corp 2014-CRE2, Ltd., Floating Rate Note, 4/15/32 (144A) 1.2353 04/15/2032 1,480,000 1,473,181
MVW Owner Trust 2014-1, 2.7%, 9/20/31 (144A) 2.7 09/20/2031 750,000 627,861
Express Scripts Holding Co., 2.25%, 6/15/19 2.25 06/15/2019 750,000 744,677
Federal Home Loan Mortgage Corp., Floating Rate Note, 8/15/19 0.4855 08/15/2019 6,831,666 164,293
Fieldstone Mortgage Investment Trust Series 2005-1, Floating Rate Note, 3/25/35 1.267 03/25/2035 311,000 83,472
Ford Motor Credit Co LLC, 1.724%, 12/6/17 1.724 12/06/2017 700,000 697,204
RREF 2014-LT6 LLC, 2.75%, 9/15/24 (144A) 2.75 09/15/2024 1,280,000 542,002
Diamond Resorts Owner Trust 2013-2, 2.62%, 5/20/26 (144A) 2.62 05/20/2026 750,000 354,786
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-G, Floating Rate Note, 1/25/30 1.0438 01/25/2030 3,771,000 209,518
The Bank of New York Mellon Corp., 1.969%, 6/20/17 (Step) 1.969 06/20/2017 750,000 761,860
Banc of America Mortgage 2003-F Trust, Floating Rate Note, 7/25/33 2.7085 07/25/2033 6,462,027 253,605
Oracle Corp., 2.375%, 1/15/19 2.375 01/15/2019 500,000 512,908
US Renal Care, Inc., Tranche B-2 Term Loan (First Lien), 7/3/19 4.25 07/03/2019 647,289 647,492
Thornburg Mortgage Securities Trust 2004-1, Floating Rate Note, 3/25/44 1.5476 03/25/2044 20,000,000 185,845
Structured Adjustable Rate Mortgage Loan Trust, Floating Rate Note, 3/25/34 2.858 03/25/2034 2,600,000 128,623
Royal Bank of Canada, Floating Rate Note, 6/16/17 0.5261 06/16/2017 1,000,000 998,560
Federal Home Loan Mortgage Corp., Floating Rate Note, 3/15/32 0.7555 03/15/2032 33,450,000 347,069
BCAP LLC 2013-RR3 Trust, Floating Rate Note, 5/28/36 (144A) 2.7893 05/28/2036 500,000 335,257
Credit Suisse First Boston Mortgage Securities Corp., 5.5%, 6/25/33 5.5 06/25/2033 200,000 36,817
GS Caltex Corp., 3.25%, 10/1/18 (144A) 3.25 10/01/2018 500,000 515,160
U.S. Treasury Notes, 0.5%, 7/31/16 0.5 07/31/2016 3,000,000 3,010,709
Mastr Asset Backed Securities Trust 2005-WMC1, Floating Rate Note, 3/25/35 0.862 03/25/2035 215,000 34,433
Oscar US Funding Trust 2014-1, 1.0%, 8/15/17 (144A) 1.0 08/15/2017 700,000 642,841
Banc of America Commercial Mortgage Trust 2006-1, Floating Rate Note, 9/10/45 5.421 09/10/2045 1,750,000 1,780,745
Federal National Mortgage Association REMICS, Floating Rate Note, 5/25/36 0.537 05/25/2036 6,641,000 175,934
First Investors Auto Owner Trust 2013-2, 1.23%, 3/15/19 (144A) 1.23 03/15/2019 1,048,000 339,596
Sierra Timeshare 2013-2 Receivables Funding LLC, 4.75%, 11/20/25 (144A) 4.75 11/20/2025 900,000 321,985
Wachovia Corp., Floating Rate Note, 6/15/17 0.5559 06/15/2017 1,077,000 1,073,509
Colony American Homes 2014-2, Floating Rate Note, 7/19/31 (144A) 2.0855 07/19/2031 600,000 597,320
Fannie Mae, Floating Rate Note, 10/1/29 2.57 10/01/2029 4,831,796 102,974
17079z Zero% 31mar18 0.0 03/31/2018 250,000 254,175
Resource Capital Corp CRE Notes 2013, Ltd., Floating Rate Note, 6/15/16 (144A) 2.3355 06/15/2016 1,000,000 1,001,579
Prestige Brands, Inc., Term B-3 Loan, 9/3/21 3.5 09/03/2021 265,059 265,059
Equity One Mortgage Pass-Through Trust 2004-2, Floating Rate Note, 7/25/34 4.624 07/25/2034 1,925,000 495,650
Wachovia Mortgage Loan Trust Series 2005-WMC1, Floating Rate Note, 10/25/35 0.927 10/25/2035 750,000 71,085
Virgin Media 1st Lien Tl-F L + 2.75% 30jun23 3.5 06/30/2023 235,662 233,674
Morgan Stanley Mortgage Loan Trust 2005-5AR, Floating Rate Note, 9/25/35 0.457 09/25/2035 9,387,000 621,503
Bear Stearns Mortgage Securities, Inc., Floating Rate Note, 6/25/30 2.6689 06/25/2030 731,690 105,973
SunGard Data Systems, Inc., Tranche C Term Loan, 2/28/17 3.9341 02/28/2017 155,698 155,965
Chase Funding Trust Series 2003-3, Floating Rate Note, 4/25/33 0.727 04/25/2033 13,029,694 93,141
Bella Vista Mortgage Trust 2004-1, Floating Rate Note, 11/20/34 0.8868 11/20/2034 12,618,000 286,283
GSR Mortgage Loan Trust 2004-7, Floating Rate Note, 6/25/34 2.8181 06/25/2034 4,189,737 461,743
Federal National Mortgage Association REMICS, 1.75%, 12/25/22 1.75 12/25/2022 1,000,000 255,595
Federal Home Loan Mortgage Corp., 2.5%, 10/1/27 2.5 10/01/2027 1,247,958 902,596
CPS Auto Receivables Trust 2013-A, 1.89%, 6/15/20 (144A) 1.89 06/15/2020 690,000 297,598
Federal National Mortgage Association REMICS, 3.5%, 10/25/39 3.5 10/25/2039 490,000 256,807
RALI Series 2003-QS15 Trust, 5.5%, 8/25/33 5.5 08/25/2033 250,000 135,747
Impac Secured Assets Trust 2006-2, Floating Rate Note, 8/25/36 0.537 08/25/2036 1,173,000 201,005
Kane Sac, Ltd., 0.0%, 1/7/16 (Cat Bond) 0.0 01/07/2016 444,667 448,224
Sumitomo Mitsui Banking Corp., Floating Rate Note, 1/10/17 0.7012 01/10/2017 750,000 751,192
Exc 1.55% 09jun17 1.55 06/09/2017 750,000 751,712
Compass Re II, Ltd., Floating Rate Note, 12/8/15 (Cat Bond) (144A) 0.0 12/08/2015 250,000 238,100
Citigroup Mortgage Loan Trust, Inc., Floating Rate Note, 10/25/35 5.5 10/25/2035 1,471,464 3,408
BHP Billiton Finance USA, Ltd., Floating Rate Note, 9/30/16 0.5318 09/30/2016 500,000 500,574
Wachovia Bank Commercial Mortgage Trust Series 2006-C25, Floating Rate Note, 5/15/43 5.7124 05/15/2043 1,200,000 909,563
RAIT 2014-FL2 Trust, Floating Rate Note, 5/15/31 (144A) 2.333 05/15/2031 1,500,000 1,487,077
Vitality Re V, Ltd., Floating Rate Note, 1/7/19 (Cat Bond) (144A) 1.7703 01/07/2019 500,000 498,462
MASTR Asset Securitization Trust 2003-6, Floating Rate Note, 7/25/18 0.587 07/25/2018 2,444,000 54,752
Fannie Mae, 4.5%, 5/1/39 4.5 05/01/2039 2,100,000 782,680
Park Place Securities Inc Asset-Backed Pass-Through Ctfs Ser 2005-WHQ4, Floating Rate Note, 9/25/35 0.557 09/25/2035 1,793,831 445,433
CHS, Incremental 2021 Term H Loan, 1/27/21 4.0 01/27/2021 171,168 171,608
NovaStar Mortgage Funding Trust Series 2004-4, Floating Rate Note, 3/25/35 1.837 03/25/2035 1,457,000 1,433,305
Sequoia Mortgage Trust 2013-8, Floating Rate Note, 6/25/43 3.0 06/25/2043 160,000 131,343
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-A, Floating Rate Note, 3/25/28 1.2047 03/25/2028 10,213,000 301,108
Federal National Mortgage Association REMICS, 3.0%, 4/25/40 3.0 04/25/2040 1,110,000 137,466
Nmrr Flt% 26jun47 11-4r-4a16 3.1337 06/26/2047 2,077,000 1,012,184
JP Morgan Chase Commercial Mortgage Securities Trust 2014-FL4, Floating Rate Note, 12/16/30 (144A) 1.936 12/16/2030 410,000 410,341
Intel Corp., 1.35%, 12/15/17 1.35 12/15/2017 700,000 700,172
SunTrust Bank, 1.35%, 2/15/17 1.35 02/15/2017 500,000 502,234
Popular ABS Mortgage Pass-Through Trust 2004-4, 4.76929%, 9/25/34 (Step) 4.7594 09/25/2034 1,415,000 490,493
First Franklin Mortgage Loan Trust 2005-FFH3, Floating Rate Note, 9/25/35 0.697 09/25/2035 1,100,000 406,403
RAMP Series 2005-RS6 Trust, Floating Rate Note, 6/25/35 0.687 06/25/2035 278,355 98,810
Kane Flt% 31jul15   07/31/2015 600,000 600,000
JPMorgan Chase & Co., Floating Rate Note, 2/25/21 1.8 02/25/2021 500,000 494,750
Sector Re V, Ltd., 0.0%, 3/30/19 (Cat Bond) (144A) 0.0 03/30/2019 516 70,694
First Franklin Mortgage Loan Trust 2003-FFC, Floating Rate Note, 11/25/32 1.487 11/25/2032 8,000,000 385,837
Bayview Financial Mortgage Pass-Through Trust 2005-C, Floating Rate Note, 6/28/44 0.686 06/28/2044 1,650,000 1,310,857
Manufacturers & Traders Trust Co., Floating Rate Note, 7/25/17 0.577 07/25/2017 1,000,000 994,889
GMAT 2013-1 Trust, 3.9669%, 8/25/53 (Step) 3.9669 08/25/2053 1,505,000 915,785
Irwin Whole Loan Home Equity Trust 2003-C, Floating Rate Note, 6/25/28 3.187 06/25/2028 1,923,500 109,064
Bright Horizons Family Solutions, Inc., Term B Loan, 1/30/20 3.7501 01/30/2020 393,947 394,316
Federal National Mortgage Association, 3.0%, 12/1/21 3.0 12/01/2021 2,000,000 791,926
CNH Equipment Trust 2012-C, 0.57%, 12/15/17 0.57 12/15/2017 75,000 25,994
Par Pharmaceutical Companies, Inc., Term B-2 Loan, 9/28/19 4.0 09/28/2019 637,690 637,889
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 1/15/36 0.4855 01/15/2036 400,312 69,336
Banc of America Mortgage 2004-D Trust, Floating Rate Note, 5/25/34 2.7255 05/25/2034 4,920,000 476,846
Credit Suisse First Boston Mortgage Securities Corp., Floating Rate Note, 12/17/40 5.23 12/17/2040 2,730,000 1,496,668
Kilimanjaro Re, Ltd., Floating Rate Note, 4/30/18 (Cat Bond) (144A) 4.7703 04/30/2018 650,000 633,625
Federal National Mortgage Association REMICS, Floating Rate Note, 11/25/36 0.547 11/25/2036 2,248,000 279,114
WESCO Distribution, Inc., Tranche B-1 Loan, 12/12/19 3.75 12/12/2019 61,163 61,239
RESI Finance LP 2003-CB1, Floating Rate Note, 7/9/35 1.6354 07/09/2035 2,382,000 561,595
Government National Mortgage Association, Floating Rate Note, 4/16/32 0.6848 04/16/2032 10,000,000 133,293
Boston Scientific Corp., 2.65%, 10/1/18 2.65 10/01/2018 500,000 510,515
Ew Scripps 1st Lien Termloan L + 2.9717% 26nov20 3.5 11/26/2020 274,308 275,508
Adsk 3.125% 15jun20 3.125 06/15/2020 550,000 551,935
Bear Stearns ALT-A Trust 2004-12, Floating Rate Note, 1/25/35 0.887 01/25/2035 4,956,000 559,310
Banc of America Merrill Lynch Commercial Mortgage, Inc., 4.933%, 7/10/45 4.933 07/10/2045 800,000 155,406
Blue Danube II, Ltd., Floating Rate Note, 5/23/18 (Cat Bond) (144A) 4.3682 05/23/2018 800,000 798,935
Residential Reinsurance 2012, Ltd., Floating Rate Note, 12/6/16 (Cat Bond) (144A) 5.7551 12/06/2016 250,000 255,118
SMART ABS Series 2014-1US Trust, Floating Rate Note, 7/14/16 0.4855 07/14/2016 750,000 191,635
The Huntington National Bank, Floating Rate Note, 4/24/17 0.7025 04/24/2017 500,000 499,439
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/32 0.5855 12/15/2032 1,931,288 125,291
American Honda Finance Corp., Floating Rate Note, 12/11/17 0.5955 12/11/2017 750,000 750,718
Nord Anglia Education Finance Llc 1st Lien Tl-B L + 3.5% 21mar21 4.5 03/21/2021 748,111 749,981
Federal National Mortgage Association, 4.5%, 10/25/38 4.5 10/25/2038 5,000,000 18,212
Coca-Cola Enterprises, Inc., 2.125%, 9/15/15 2.125 09/15/2015 189,000 190,732
AXIS Equipment Finance Receivables II LLC, 3.81%, 12/20/16 3.81 12/20/2016 400,000 403,824
Micron Semiconductor Asia Pte, Ltd., 1.258%, 1/15/19 1.258 01/15/2019 500,000 402,486
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 10/15/37 0.7655 10/15/2037 3,873,000 244,504
PNC Bank NA, 0.8%, 1/28/16 0.8 01/28/2016 450,000 452,164
BCAP LLC 2009-RR13-I Trust, Floating Rate Note, 9/26/35 (144A) 2.7717 09/26/2035 2,765,000 587,000
Fore CLO, Ltd., Floating Rate Note, 7/20/19 (144A) 0.5201 07/20/2019 250,000 48,832
77 Energy 1st Lien Tl-B L + 3% 17jun21 3.75 06/17/2021 346,500 321,379
Wells Fargo Bank NA, Floating Rate Note, 5/16/16 0.486 05/16/2016 250,000 249,470
Bayview Commercial Asset Trust 2004-3, Floating Rate Note, 1/25/35 (144A) 0.557 01/25/2035 4,600,000 637,266
Vers 2015-A Zero% 31dec17 0.0 12/31/2017 800,000 838,240
JP Morgan Mortgage Trust 2004-A1, Floating Rate Note, 2/25/34 2.5074 02/25/2034 3,584,000 286,064
Velocity Commercial Capital Loan Trust 2014-1, Floating Rate Note, 9/25/44 (144A) 2.187 09/25/2044 800,000 608,165
Queen Street VII Re, Ltd., Floating Rate Note, 4/8/16 (Cat Bond) (144A) 8.6075 04/08/2016 500,000 504,075
Fannie Mae, Floating Rate Note, 1/1/25 2.599 01/01/2025 7,000,000 54,158
CHL Mortgage Pass-Through Trust 2004-14, Floating Rate Note, 8/25/34 2.4006 08/25/2034 1,810,000 177,786
Adjustable Rate Mortgage Trust 2005-5, Floating Rate Note, 9/25/35 0.467 09/25/2035 3,300,000 252,049
Alternative Loan Trust 2003-14T1, Floating Rate Note, 8/25/18 0.637 08/25/2018 3,200,000 107,335
Federal National Mortgage Association REMICS, Floating Rate Note, 6/25/37 0.427 06/25/2037 2,134,162 238,732
Option One Mortgage Loan Trust 2005-4 Asset-Backed Certificates Series 2005-4, Floating Rate Note, 1 0.447 11/25/2035 5,875,000 375,538
Resi Flt% 12dec45 A1 0.9879 12/12/2045 500,000 396,055
Federal National Mortgage Association, 3.0%, 6/25/39 3.0 06/25/2039 5,000,000 439,294
Impac CMB Trust Series 2004-6, Floating Rate Note, 10/25/34 0.987 10/25/2034 2,344,000 110,488
Fannie Mae, 5.5%, 8/1/37 5.5 08/01/2037 2,000,000 322,110
Tnote 0.625% 30jun17 0.625 06/30/2017 3,000,000 2,998,878
Citigroup Mortgage Loan Trust, Inc., 7.0%, 11/25/19 7.0 11/25/2019 7,340,000 53,145
Citigroup, Inc., Floating Rate Note, 7/25/16 1.237 07/25/2016 750,000 753,799
Ally Financial, Inc., 3.6%, 5/21/18 3.6 05/21/2018 500,000 502,725
Anheuser-Busch InBev Finance, Inc., Floating Rate Note, 1/27/17 0.467 01/27/2017 500,000 499,466
Federal Home Loan Mortgage Corp., Floating Rate Note, 10/1/31 2.406 10/01/2031 19,044,336 332,181
Fosse Master Issuer Plc, Floating Rate Note, 10/18/54 1.7751 10/18/2054 100,000 76,956
Wachovia Bank Commercial Mortgage Trust Series 2006-C23 REMICS, Floating Rate Note, 1/15/45 5.418 01/15/2045 1,590,000 1,213,255
Countrywide Asset-Backed Certificates, Floating Rate Note, 9/25/34 (144A) 0.737 09/25/2034 8,600,000 445,088
Wells Fargo Home Equity Asset-Backed Securities 2005-3 Trust, Floating Rate Note, 12/25/35 0.567 12/25/2035 200,000 44,162
Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/37 0.387 02/25/2037 1,940,000 166,121
Zebra Technologies Corporation 1st Lien Tl-B L + 4% 30sep21 4.75 09/30/2021 481,818 488,075
Collateralized Mortgage Obligation Trust 44, Floating Rate Note, 7/1/18 1.1306 07/01/2018 13,590,000 34,765
Marriott Vacation Club Owner Trust 2012-1, 3.5%, 5/20/30 (144A) 3.5 05/20/2030 845,000 381,531
RAMP Series 2004-SL4 Trust, Floating Rate Note, 5/25/18 6.3445 05/25/2018 13,780,000 50,597
Chesapeake Funding LLC, Floating Rate Note, 5/7/24 (144A) 2.0341 05/07/2024 250,000 250,864
Sensata Technologies 1st Lien L + 2.25% 14oct21 2.5318 10/14/2021 646,750 649,695
Fannie Mae, 7.0%, 7/1/17 7.0 07/01/2017 3,768,412 32,232
Csmc Flt% 16apr29 15-Deal-B 2.036 04/16/2029 900,000 894,643
Arlington Flt% 01aug15 0.0 08/01/2015 250,000 284,825
Milacron Llc 1st Lien Tl-B L + 3.5% 28sep20 4.5 09/28/2020 495,000 496,547
Bear Stearns Commercial Mortgage Securities Trust 2005-PWR10, Floating Rate Note, 12/11/40 5.405 12/11/2040 1,240,000 744,810
Harley-Davidson Financial Services, Inc., 3.875%, 3/15/16 (144A) 3.875 03/15/2016 175,000 180,563
Massachusetts Development Finance Agency, Floating Rate Note, 2/15/36 3.0 02/15/2036 250,000 256,856
GS Mortgage Securities Trust 2014-GSFL, Floating Rate Note, 7/15/31 (144A) 1.9355 07/15/2031 495,000 492,973
Commercial Mortgage Trust 2005-GG5, Floating Rate Note, 4/10/37 5.277 04/10/2037 2,075,000 2,098,990
American Express Credit Corp., Floating Rate Note, 9/22/17 0.5808 09/22/2017 1,000,000 996,728
Structured Adjustable Rate Mortgage Loan Trust, Floating Rate Note, 11/25/34 2.4598 11/25/2034 1,259,000 107,972
Atlas IX Capital, Ltd., Floating Rate Note, 1/17/19 (Cat Bond) (144A) 3.4642 01/17/2019 500,000 512,880
Amgen, Inc., 2.5%, 11/15/16 2.5 11/15/2016 500,000 510,940
Gator Re, Ltd., Floating Rate Note, 1/9/17 (Cat Bond) (144A) 6.7003 01/09/2017 600,000 550,681
Residential Reinsurance 2012, Ltd., Floating Rate Note, 12/6/16 (Cat Bond) (144A) 12.7551 12/06/2016 250,000 262,161
LPL Holdings, Inc., 2013 Incremental Tranche B Term Loan, 3/29/19 3.25 03/29/2019 145,159 145,226
Commonwealth Edison Co., 1.95%, 9/1/16 1.95 09/01/2016 500,000 508,786
Federal Home Loan Mortgage Corp., 5.0%, 2/1/21 5.0 02/01/2021 1,000,000 67,683
CWABS Asset-Backed Certificates Trust 2005-1, Floating Rate Note, 2/25/33 5.147 02/25/2033 244,000 8,958
Federal National Mortgage Association REMICS, Floating Rate Note, 7/25/35 0.437 07/25/2035 3,227,000 325,215
First NLC Trust 2005-2, Floating Rate Note, 9/25/35 0.587 09/25/2035 3,362,996 327,291
Invitation Homes 2013-SFR1 Trust, Floating Rate Note, 12/19/30 (144A) 2.1 12/19/2030 750,000 746,898
Ford Motor Credit Co LLC, Floating Rate Note, 9/8/17 0.7989 09/08/2017 750,000 746,021
Federal Home Loan Mortgage Corp., Floating Rate Note, 4/15/33 0.4955 04/15/2033 22,025,143 870,060
On Assignment Inc 1st Lien Tl-B L + 3% 05jun22 3.75 06/05/2022 128,206 128,553
Federal Home Loan Mortgage Corp., 5.5%, 8/1/23 5.5 08/01/2023 1,563,938 48,510
Progreso Receivables Funding I LLC, 4.0%, 7/9/18 (144A) 4.0 07/09/2018 1,000,000 1,003,806
Structured Asset Mortgage Investments II Trust 2004-AR8, Floating Rate Note, 5/19/35 0.8675 05/19/2035 24,300,000 1,169,059
HomeBanc Mortgage Trust 2005-2, Floating Rate Note, 5/25/25 0.607 05/25/2025 6,015,011 107,162
Lehman ABS Manufactured Housing Contract Trust 2002-A, Floating Rate Note, 6/15/33 0.6355 06/15/2033 19,804,000 745,663
Golden State RE II, Ltd., Floating Rate Note, 1/8/19 (Cat Bond) (144A) 2.22 01/08/2019 750,000 748,000
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/35 0.5055 12/15/2035 2,232,000 320,978
Alamo Re, Ltd., Floating Rate Note, 6/7/18 (Cat Bond) (144A) 5.9051 06/07/2018 350,000 348,863
East Lane Re VI, Ltd., Floating Rate Note, 3/14/18 (Cat Bond) (144A) 2.7653 03/14/2018 500,000 487,840
PNC Bank NA, 1.125%, 1/27/17 1.125 01/27/2017 450,000 452,201
Federal National Mortgage Association, Floating Rate Note, 2/25/23 1.037 02/25/2023 77,000,000 350,237
JP Morgan Chase Commercial Mortgage Securities Trust 2014-PHH, Floating Rate Note, 8/16/27 (144A) 1.786 08/16/2027 1,100,000 1,101,552
CD 2005-CD1 Commercial Mortgage Trust, Floating Rate Note, 7/15/44 5.2252 07/15/2044 940,000 445,038
Freddie Mac Strips, Floating Rate Note, 8/15/36 0.4855 08/15/2036 6,894,664 296,422
Federal National Mortgage Association, Floating Rate Note, 11/25/27 0.487 11/25/2027 15,797,000 472,919
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/32 0.5855 12/15/2032 2,900,000 191,533
Navistar, Inc., Tranche B Term Loan, 8/17/17 5.75 08/17/2017 400,000 401,250
Pricoa Global Funding I, Floating Rate Note, 6/24/16 (144A) 0.4923 06/24/2016 500,000 498,014
MASTR Alternative Loan Trust 2005-1, Floating Rate Note, 2/25/35 0.537 02/25/2035 6,760,000 468,438
FCA US LLC, Term Loan B, 5/24/17 3.5 05/24/2017 892,800 892,877
TAL Advantage V LLC, 1.7%, 5/20/39 (144A) 1.7 05/20/2039 400,000 287,703
Citibank Credit Card Issuance Trust, 5.1%, 11/20/17 5.1 11/20/2017 500,000 511,864
NewStar Commercial Loan Trust 2007-1, Floating Rate Note, 9/30/22 (144A) 0.5228 09/30/2022 500,000 143,612
FCA US LLC, Tranche B Term Loan, 12/29/18 3.25 12/29/2018 592,500 591,982
Bear Stearns Commercial Mortgage Securities Trust 2005-PWR9, Floating Rate Note, 9/11/42 4.985 09/11/2042 1,160,000 1,168,511
Terwin Mortgage Trust Series TMTS 2005-10HE, Floating Rate Note, 6/25/36 0.637 06/25/2036 199,992 121,095
JP Morgan Chase Commercial Mortgage Securities Trust 2006-LDP6, Floating Rate Note, 4/15/43 5.565 04/15/2043 500,000 511,501
Federal Home Loan Mortgage Corp., 4.0%, 1/15/34 4.0 01/15/2034 5,000,000 247,505
Oak Hill Advisors Residential Loan Trust 2014-NPL1, 2.8828%, 5/25/54 (Step) (144A) 2.8828 05/25/2054 520,000 267,998
JP Morgan Chase Commercial Mortgage Securities Trust 2014-FL5 REMICS, Floating Rate Note, 7/15/31 (1 2.1982 07/15/2031 650,000 648,352
Dell Equipment Finance Trust 2014-1, 2.68%, 6/22/20 (144A) 2.68 06/22/2020 750,000 753,611
Federal National Mortgage Association, 3.5%, 1/25/24 3.5 01/25/2024 7,225,000 112,441
Fannie Mae, 6.5%, 4/1/29 6.5 04/01/2029 9,050,000 290,578
Verint Systems, Inc., Tranche B Incremental Term Loan, 9/6/19 3.5 09/06/2019 261,457 262,209
U.S. Treasury Notes, 0.875%, 1/15/18 0.875 01/15/2018 1,500,000 1,506,523
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/34 0.587 03/25/2034 4,612,000 275,092
Structured Asset Securities Corp Mortgage Pass Through Ctfs Series 2003-35, Floating Rate Note, 12/2 0.687 12/25/2033 5,293,000 250,954
Federal Home Loan Mortgage Corp., Floating Rate Note, 11/1/31 2.375 11/01/2031 1,399,950 6,177
NYSE Holdings LLC, 2.0%, 10/5/17 2.0 10/05/2017 150,000 152,519
Cinedigm Digital Funding I LLC, Term Loan, 2/28/18 3.75 02/28/2018 109,711 109,849
Saxon Asset Securities Trust 2005-3, Floating Rate Note, 11/25/35 0.647 11/25/2035 471,000 395,185
A10 Term Asset Financing 2013-2 LLC, 2.62%, 11/15/27 (144A) 2.62 11/15/2027 1,085,000 793,310
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/45 0.407 03/25/2045 6,100,000 855,774
Bscms Flt% 11sep38 06-Pw12-A1 5.7088 09/11/2038 840,000 669,382
DELOS FINANCE SARL, Loan, 2/27/21 3.5 03/06/2021 425,000 425,303
KeyBank NA Cleveland Ohio, 1.65%, 2/1/18 1.65 02/01/2018 1,000,000 1,007,600
Option One Woodbridge Loan Trust 2002-1, Floating Rate Note, 3/25/32 (144A) 1.312 03/25/2032 1,370,736 176,509
WaMu Mortgage Pass-Through Certificates Series 2002-AR6 Trust, Floating Rate Note, 6/25/42 1.5558 06/25/2042 29,950,000 346,737
The Toronto-Dominion Bank, Floating Rate Note, 9/9/16 0.7412 09/09/2016 500,000 501,974
Johnson Controls, Inc., 1.4%, 11/2/17 1.4 11/02/2017 700,000 698,899
Fannie Mae, Floating Rate Note, 12/1/36 4.344 12/01/2036 6,500,000 222,059
Capital Auto Receivables Asset Trust 2013-1, 2.19%, 9/20/21 2.19 09/20/2021 125,000 125,967
Credit Suisse Mortgage Capital Certificates REMICS, Floating Rate Note, 7/27/36 (144A) 2.8209 07/27/2036 3,494,698 480,121
Altria Group, Inc., 4.125%, 9/11/15 4.125 09/11/2015 310,000 315,655
Government National Mortgage Association II, 6.0%, 11/20/22 6.0 11/20/2022 1,986,670 236,743
GCAT 2015-1 LLC, 3.625%, 5/26/20 (Step) (144A) 3.625 05/26/2020 300,000 289,990
RFMSI Series 2005-S5 Trust, 5.25%, 7/25/35 5.25 07/25/2035 300,770 139,871
Bank of Montreal, 0.8%, 11/6/15 0.8 11/06/2015 1,135,000 1,137,897
Madison Avenue Manufactured Housing Contract Trust 2002-A, Floating Rate Note, 3/25/32 2.437 03/25/2032 1,100,000 172,594
HLSS Servicer Advance Receivables Trust, 1.4953%, 1/16/46 (144A) 1.4953 01/16/2046 1,706,000 1,705,428
HSI Asset Securitization Corp Trust 2006-OPT1, Floating Rate Note, 12/25/35 0.377 12/25/2035 450,623 118,361
Becton Dickinson and Co., 1.8%, 12/15/17 1.8 12/15/2017 750,000 750,692
Pangaea Zero% 01jul18 0.0 07/01/2018 700,000 12,600
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 9/15/33 0.6355 09/15/2033 2,647,000 147,582
Specialty Underwriting & Residential Finance Trust Series 2006-BC1, Floating Rate Note, 12/25/36 0.487 12/25/2036 790,207 766,256
Homestar Mortgage Acceptance Corp., Floating Rate Note, 3/25/34 0.827 03/25/2034 25,588,000 1,379,826
Entercom Radio LLC, Term B-2 Loan, 11/23/18 4.0096 11/23/2018 498,565 500,045
New York Life Global Funding, 1.125%, 3/1/17 (144A) 1.125 03/01/2017 500,000 501,468
AXIS Equipment Finance Receivables II LLC, 4.94%, 7/20/18 (144A) 4.94 07/20/2018 700,000 718,763
Home Equity Mortgage Trust 2005-2, Floating Rate Note, 7/25/35 1.327 07/25/2035 1,113,955 17,948
Navios Maritime Partners LP, Term Loan, 6/27/18 5.25 06/27/2018 435,775 435,503
HLSS Servicer Advance Receivables Trust, 4.94%, 10/15/45 (144A) 4.94 10/15/2045 350,000 350,418
Federal National Mortgage Association REMICS, Floating Rate Note, 10/27/37 0.387 10/27/2037 1,375,920 1,204,350
Irwin Whole Loan Home Equity Trust 2005-B, Floating Rate Note, 12/25/29 0.657 12/25/2029 1,775,000 809,306
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/37 0.757 09/25/2037 2,706,000 286,325
America Movil SAB de CV, Floating Rate Note, 9/12/16 1.2879 09/12/2016 1,000,000 1,002,832
Carrington Mortgage Loan Trust Series 2005-NC1, Floating Rate Note, 2/26/35 0.922 02/26/2035 3,586,373 355,432
Federal National Mortgage Association REMICS, Floating Rate Note, 10/25/35 0.487 10/25/2035 1,878,000 166,097
John Deere Capital Corp., 1.05%, 12/15/16 1.05 12/15/2016 750,000 751,048
Countrywide Asset-Backed Certificates, Floating Rate Note, 10/25/34 0.367 10/25/2034 984,000 166,688
GMAC Commercial Mortgage Securities Inc Series 2006-C1 Trust, Floating Rate Note, 11/10/45 5.233 11/10/2045 2,370,000 1,454,207
Global Mortgage Securitization, Ltd., 5.25%, 4/25/32 5.25 04/25/2032 795,156 210,274
Foothill CLO, Ltd., Floating Rate Note, 2/22/21 (144A) 0.5285 02/22/2021 500,000 174,125
COMM 2005-C6 Mortgage Trust, Floating Rate Note, 6/10/44 5.116 06/10/2044 770,000 79,516
Federal National Mortgage Association REMICS, Floating Rate Note, 11/25/39 0.887 11/25/2039 2,750,000 409,799
New Century Home Equity Loan Trust 2005-1, Floating Rate Note, 3/25/35 0.887 03/25/2035 2,101,000 331,969
Hyundai Capital America, 3.75%, 4/6/16 (144A) 3.75 04/06/2016 1,375,000 1,412,641
Bear Stearns Commercial Mortgage Securities Trust 2005-PWR9, 4.871%, 9/11/42 4.871 09/11/2042 2,280,000 130,797
Bear Stearns ALT-A Trust 2004-11, Floating Rate Note, 11/25/34 1.027 11/25/2034 7,155,000 335,113
Hmbt Flt% 25dec34 04-2-A1 0.927 12/25/2034 5,547,000 650,601
Morgan Stanley, Floating Rate Note, 1/5/18 1.0108 01/05/2018 750,000 752,505
Wm Wrigley Jr Co., 2.0%, 10/20/17 (144A) 2.0 10/20/2017 1,000,000 1,012,680
PSEG Power LLC, 2.75%, 9/15/16 2.75 09/15/2016 500,000 514,079
NovaStar Mortgage Funding Trust Series 2004-4, Floating Rate Note, 3/25/35 1.267 03/25/2035 300,000 69,647
Sanders Re, Ltd., Floating Rate Note, 6/7/17 (Cat Bond) (144A) 3.9102 06/07/2017 650,000 644,892
Marathon Oil Corp., 0.9%, 11/1/15 0.9 11/01/2015 1,496,000 1,497,872
California Republic Auto Receivables Trust 2012-1, 1.18%, 8/15/17 (144A) 1.18 08/15/2017 329,000 37,769
Queen City Re, Floating Rate Note, 1/6/19 (Cat Bond) (144A) 3.5102 01/06/2019 500,000 486,911
Conseco Finance Home Equity Loan Trust 2002-C, Floating Rate Note, 4/15/32 1.686 04/15/2032 2,875,000 737,172
VOLT XXXIII LLC, 3.5%, 3/25/55 (Step) (144A) 3.5 03/25/2055 700,000 675,479
Credit Acceptance Auto Loan Trust 2014-2, 2.67%, 9/15/22 (144A) 2.67 09/15/2022 1,000,000 1,004,488
Federal National Mortgage Association, Floating Rate Note, 10/18/32 0.535 10/18/2032 11,398,000 337,115
Credit Suisse First Boston Mortgage Securities Corp., 7.5%, 5/25/32 7.5 05/25/2032 15,000,000 289,234
Federal National Mortgage Association REMICS, Floating Rate Note, 5/25/17 0.587 05/25/2017 20,000,000 68,413
Ameriquest Mortgage Securities Inc Asset-Backed Pass-Through Ctfs Ser 2003-AR3, Floating Rate Note, 3.937 06/25/2033 155,851 61,143
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 8/15/36 0.4355 08/15/2036 5,044,000 222,983
Fannie Mae, 6.0%, 2/1/34 6.0 02/01/2034 1,400,000 37,704
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/32 1.1855 02/15/2032 15,205,000 220,361
Steward Health Care System LLC, Term Loan, 4/10/20 6.75 04/10/2020 295,489 293,457
The Goldman Sachs Group, Inc., Floating Rate Note, 7/22/15 0.676 07/22/2015 700,000 700,968
Merrill Lynch Mortgage Investors Trust Series 2005-A3, Floating Rate Note, 4/25/35 0.457 04/25/2035 10,415,000 1,075,729
US Bancorp, 2.45%, 7/27/15 2.45 07/27/2015 755,000 763,885
John Deere Capital Corp., Floating Rate Note, 10/11/16 0.5659 10/11/2016 1,090,000 1,093,696
Ascentium Equipment Receivables 2014-1 LLC, 3.1%, 6/10/21 (144A) 3.1 06/10/2021 700,000 712,670
The Korea Development Bank, Floating Rate Note, 1/22/17 0.901 01/22/2017 750,000 751,010
Federal National Mortgage Association REMICS, Floating Rate Note, 8/25/36 0.607 08/25/2036 4,040,000 405,771
Fannie Mae Connecticut Avenue Securities, Floating Rate Note, 5/25/24 1.137 05/25/2024 1,020,000 811,599
Fannie Mae, 6.5%, 8/1/17 6.5 08/01/2017 667,089 12,505
Axis Equipment Finance Receivables III LLC, 3.41%, 4/20/20 (144A) 3.41 04/20/2020 300,000 298,911
Morgan Stanley Mortgage Loan Trust 2005-6AR, Floating Rate Note, 11/25/35 0.457 11/25/2035 3,786,000 326,529
IXIS Real Estate Capital Trust 2005-HE4, Floating Rate Note, 2/25/36 0.867 02/25/2036 250,000 32,797
Federal National Mortgage Association REMICS, Floating Rate Note, 12/25/31 1.087 12/25/2031 4,375,000 121,694
Structured Asset Securities Corp Mortgage Loan Trust 2005-2XS, 4.65%, 2/25/35 (Step) 4.65 02/25/2035 1,000,000 90,745
Irwin Whole Loan Home Equity Trust 2003-C, Floating Rate Note, 6/25/28 1.687 06/25/2028 2,350,000 448,794
Capital Auto Receivables Asset Trust 2013-1, 1.74%, 10/22/18 1.74 10/22/2018 413,000 414,342
Aflac, Inc., 3.45%, 8/15/15 3.45 08/15/2015 500,000 507,924
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/37 0.767 09/25/2037 3,700,000 311,490
Massachusetts Port Authority, 5.0%, 7/1/16 5.0 07/01/2016 475,000 507,447
Terex Corp., U.S. Term Loan, 8/13/21 3.5 08/13/2021 256,395 256,811
Fannie Mae, 3.0%, 11/1/27 3.0 11/01/2027 2,000,000 1,431,168
MRFC Mortgage Pass-Through Trust Series 1999-TBC2 REMICS, Floating Rate Note, 6/15/30 0.6655 06/15/2030 3,714,390 195,416
VFC 2014-2 LLC, 2.75%, 7/20/30 (144A) 2.75 07/20/2030 1,060,000 524,368
Residential Reinsurance 2012, Ltd., Floating Rate Note, 6/6/16 (Cat Bond) (144A) 8.0051 06/06/2016 250,000 262,164
NovaStar Mortgage Funding Trust Series 2004-3, Floating Rate Note, 12/25/34 1.762 12/25/2034 560,000 532,190
Federal National Mortgage Association REMICS, 3.0%, 1/25/21 3.0 01/25/2021 4,450,000 655,501
Bayview Opportunity Master Fund Trust IIIa 2014-12RPL, 3.6225%, 7/28/19 (Step) (144A) 3.6225 07/28/2019 465,000 187,272
Fannie Mae, Floating Rate Note, 11/1/25 2.268 11/01/2025 700,000 2,305
Wells Fargo Mortgage Backed Securities 2005-4 Trust, Floating Rate Note, 4/25/35 0.787 04/25/2035 7,173,466 226,159
Direct Capital Funding V LLC, 1.673%, 12/20/17 (144A) 1.673 12/20/2017 175,000 2,916
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 7/15/23 0.5855 07/15/2023 835,000 157,934
Kane Ilw Zero% 02feb16 0.0 02/02/2016 250,000 239,125
Terwin Mortgage Trust Series TMTS 2005-14HE, 4.8492%, 8/25/36 (Step) 4.8492 08/25/2036 630,000 119,853
Vita Capital V, Ltd., Floating Rate Note, 1/15/17 (Cat Bond) (144A) 3.5052 01/15/2017 250,000 255,024
Aircastle, Ltd., 6.75%, 4/15/17 6.75 04/15/2017 1,100,000 1,187,175
Ventas Realty LP, 3.125%, 11/30/15 3.125 11/30/2015 500,000 505,376
RENT-A-CENTER, INC, Term Loan (2014), 2/6/21 3.75 02/06/2021 544,500 543,139
American Credit Acceptance Receivables Trust 2013-1, 1.45%, 4/16/18 (144A) 1.45 04/16/2018 41,000 4,913
PNC Bank NA, 1.3%, 10/3/16 1.3 10/03/2016 550,000 554,061
Wachovia Bank Commercial Mortgage Trust Series 2005-C22 REMICS, Floating Rate Note, 12/15/44 5.267 12/15/2044 1,000,000 621,736
Hilton USA Trust 2013-HLF, Floating Rate Note, 11/5/30 (144A) 1.685 11/05/2030 985,000 971,864
CeramTec GmbH, Dollar Term B-3 Loan, 8/30/20 4.25 08/30/2020 61,556 61,671
Federal National Mortgage Association REMICS, Floating Rate Note, 4/25/34 0.587 04/25/2034 644,866 67,917
Federal National Mortgage Association, Floating Rate Note, 8/25/35 0.487 08/25/2035 2,868,000 312,643
JP Morgan Mortgage Trust 2006-S3, 6.0%, 8/25/36 6.0 08/25/2036 1,036,158 398
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 3/15/41 0.5855 03/15/2041 3,243,333 610,891
United Auto Credit Securitization Trust 2014-1, 2.38%, 10/15/18 (144A) 2.38 10/15/2018 700,000 696,344
Government National Mortgage Association, 3.5%, 5/20/39 3.5 05/20/2039 1,025,000 452,408
Restaurant Brands 1st Lien Tl-B L + 2.75% 12dec21 3.75 12/12/2021 531,285 531,617
Mediacom Illinois LLC, Tranche F Term Loan, 3/31/18 2.65 03/31/2018 395,000 394,342
Branch Banking & Trust Co., 1.35%, 10/1/17 1.35 10/01/2017 500,000 501,248
Bayview Financial Mortgage Pass-Through Trust Series 2005-B, Floating Rate Note, 4/28/39 0.636 04/28/2039 425,000 298,860
Cendant Mortgage Corp., 6.25%, 3/25/32 (144A) 6.25 03/25/2032 4,100,000 385,494
Banc of America Commercial Mortgage Trust 2006-1, Floating Rate Note, 9/10/45 5.46 09/10/2045 1,000,000 1,020,727
Federal National Mortgage Association, 2.0%, 8/1/23