Pioneer Investments: Pioneer Short Term Income Fund


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Pioneer Short Term Income Fund

Monthly Portfolio Holdings as of 12/31/2015

Security Name Coupon Maturity Date Par / Shares Market Value($)
Equity One Mortgage Pass-Through Trust 2003-1, Floating Rate Note, 8/25/33 1.1616 08/25/2033 11,389,000 245,048
HomeBanc Mortgage Trust 2004-2, Floating Rate Note, 12/25/34 1.1616 12/25/2034 5,547,000 574,496
Fannie Mae, Floating Rate Note, 12/1/28 2.57 12/01/2028 1,112,489 50,052
JP Morgan Chase Commercial Mortgage Securities Trust 2006-LDP6, Floating Rate Note, 4/15/43 5.565 04/15/2043 500,000 504,147
Delta Air Lines, Inc., 2014 Term B-1 Loan, 10/18/18 3.25 10/18/2018 97,980 97,827
Longpoint Re, Ltd. III, Floating Rate Note, 5/18/16 (Cat Bond) (144A) 4.2966 05/18/2016 1,750,000 1,767,238
First Investors Auto Owner Trust 2013-2, 1.23%, 3/15/19 (144A) 1.23 03/15/2019 1,070,000 190,178
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/24 0.9216 03/25/2024 4,129,409 131,054
Federal National Mortgage Association REMICS, 3.0%, 4/25/40 3.0 04/25/2040 1,110,000 106,333
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/35 0.7716 03/25/2035 1,278,000 176,724
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 5/15/41 0.7305 05/15/2041 638,000 81,899
Fannie Mae, Floating Rate Note, 10/1/29 2.405 10/01/2029 10,892,567 80,918
Horizon Funding Trust 2013-1, 3.0%, 5/15/18 (144A) 3.0 05/15/2018 585,000 94,736
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-G, Floating Rate Note, 1/25/29 1.9762 01/25/2029 3,592,000 40,872
Federal Home Loan Mortgage Corp., 3.0%, 1/15/30 3.0 01/15/2030 893,000 344,332
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 3/15/32 1.3305 03/15/2032 15,667,000 139,661
Intesa Sanpaolo S.p.A., 3.125%, 1/15/16 3.125 01/15/2016 500,000 507,454
CSMC 2015-TWNI Trust, Floating Rate Note, 3/15/28 (144A) 2.581 03/15/2028 400,000 396,923
Activision Blizzard, Inc., Term Loan, 7/26/20 3.25 07/26/2020 573,304 573,662
Federal Home Loan Mortgage Corp., 4.0%, 1/15/34 4.0 01/15/2034 5,000,000 198,959
TAL Advantage V LLC, 1.7%, 5/20/39 (144A) 1.7 05/20/2039 400,000 235,313
Federal National Mortgage Association REMICS, Floating Rate Note, 6/25/37 0.6716 06/25/2037 4,600,000 238,268
Option One Mortgage Loan Trust 2005-4 Asset-Backed Certificates Series 2005-4, Floating Rate Note, 1 0.6816 11/25/2035 5,875,000 294,932
CSMC Trust 2015-SAND, Floating Rate Note, 8/15/30 (144A) 3.1805 08/15/2030 750,000 742,306
Fannie Mae, 3.5%, 10/25/23 3.5 10/25/2023 2,280,000 202,695
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 4/15/27 0.8805 04/15/2027 22,817,000 205,072
Citicorp Mortgage Securities REMIC Pass-Through Certificates Trust Series 2005-4, 5.0%, 7/25/20 5.0 07/25/2020 4,375,000 57,617
Federal Home Loan Mortgage Corp., Floating Rate Note, 4/15/36 0.6805 04/15/2036 4,003,000 498,344
Silverstone Master Issuer Plc, Floating Rate Note, 1/21/55 (144A) 1.9667 01/21/2055 290,000 295,186
Evergreen Skills Lux Sarl, Initial Term Loan (First Lien), 4/23/21 5.75 04/23/2021 197,500 154,050
Irwin Whole Loan Home Equity Trust 2005-B, Floating Rate Note, 12/25/29 1.1266 12/25/2029 1,775,000 652,870
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-A, Floating Rate Note, 3/25/28 1.1616 03/25/2028 15,000,000 513,065
Rialto Capital Management LLC, 2.85%, 5/15/24 (144A) 2.85 05/15/2024 700,000 100,660
Velocity Commercial Capital Loan Trust 2014-1, Floating Rate Note, 9/25/44 (144A) 2.4216 09/25/2044 800,000 467,235
Mpg Holdco I Inc Us 1st Lien Tl-B L + 3.5% 13oct21 4.4975 10/13/2021 465,411 455,687
321 Henderson Receivables I LLC, Floating Rate Note, 6/15/41 (144A) 0.5305 06/15/2041 2,000,000 540,216
Federal Home Loan Mortgage Corp., Floating Rate Note, 8/15/19 0.6305 08/15/2019 6,831,666 117,946
Citigroup, Inc., 1.8%, 2/5/18 1.8 02/05/2018 750,000 752,604
Credit Acceptance Auto Loan Trust 2014-2, 2.67%, 9/15/22 (144A) 2.67 09/15/2022 1,000,000 1,000,560
Alternative Loan Trust 2004-6CB, Floating Rate Note, 4/25/34 1.0016 04/25/2034 4,791,000 276,656
Texas Instruments, Inc., 0.875%, 3/12/17 0.875 03/12/2017 500,000 499,464
Terwin Mortgage Trust Series TMTS 2005-10HE, Floating Rate Note, 6/25/36 0.8716 06/25/2036 199,992 93,544
Ascentium Equipment Receivables 2014-1 LLC, 1.04%, 1/10/17 (144A) 1.04 01/10/2017 400,000 50,683
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/42 0.8805 02/15/2042 350,000 163,010
RAAC Series 2005-RP1 Trust, Floating Rate Note, 7/25/37 (144A) 1.3716 07/25/2037 583,530 168,129
The Bank of New York Mellon Corp., 1.969%, 6/20/17 (Step) 1.969 06/20/2017 750,000 754,532
Queen Street X RE, Ltd., Floating Rate Note, 6/8/18 (Cat Bond) (144A) 5.9433 06/08/2018 500,000 497,449
Thornburg Mortgage Securities Trust 2004-4, Floating Rate Note, 12/25/44 2.0239 12/25/2044 1,225,000 160,305
Lpl Holdings Inc 1st Lien Tl-B L + 3.5% 29mar21 4.25 03/29/2021 144,788 143,702
JP Morgan Chase Commercial Mortgage Securities Trust 2007-CIBC18, 5.44%, 6/12/47 5.44 06/12/2047 800,000 741,826
Credit Acceptance Auto Loan Trust 2013-2, 1.5%, 4/15/21 (144A) 1.5 04/15/2021 1,000,000 775,694
Federal National Mortgage Association, Floating Rate Note, 8/25/35 0.7216 08/25/2035 2,868,000 282,007
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/37 0.9916 09/25/2037 2,706,000 251,167
Residential Reinsurance 2012, Ltd., Floating Rate Note, 12/6/16 (Cat Bond) (144A) 5.999 12/06/2016 250,000 254,273
Federal Home Loan Mortgage Corp., Floating Rate Note, 8/1/31 2.658 08/01/2031 12,000,000 87,446
Chesapeake Funding LLC, Floating Rate Note, 5/7/24 (144A) 0.7186 05/07/2024 200,000 37,006
Belden Finance 2013 LP, Initial Term Loan, 9/9/20 3.25 09/09/2020 245,000 243,622
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/41 0.8305 02/15/2041 1,878,046 257,755
The GEO Group, Inc., Term Loan, 4/3/20 3.25 04/03/2020 489,950 488,419
Federal Home Loan Mortgage Corp., 5.5%, 8/1/23 5.5 08/01/2023 1,563,938 39,209
RALI Series 2005-QA1 Trust, Floating Rate Note, 1/25/35 0.7216 01/25/2035 8,661,000 725,559
Royal Bank of Canada, Floating Rate Note, 1/23/17 0.6464 01/23/2017 550,000 550,194
NorthStar 2013-1, Floating Rate Note, 8/27/29 (144A) 2.2716 08/27/2029 778,000 234,977
Citigroup, Inc., 1.3%, 4/1/16 1.3 04/01/2016 500,000 502,330
Countrywide Asset-Backed Certificates, Floating Rate Note, 10/25/34 0.6016 10/25/2034 984,000 136,407
GS Caltex Corp., 3.25%, 10/1/18 (144A) 3.25 10/01/2018 500,000 509,298
Sequoia Mortgage Trust 2003-5, Floating Rate Note, 9/20/33 1.0221 09/20/2033 19,606,000 747,420
Small Business Administration Participation Certificates, 2.24%, 4/15/43 (144A) 2.24 04/15/2043 630,000 618,145
Gale Force 3 Clo, Ltd., Floating Rate Note, 4/19/21 (144A) 0.5552 04/19/2021 500,000 205,304
Commonwealth Bank of Australia, Floating Rate Note, 9/8/17 (144A) 0.732 09/08/2017 750,000 747,020
Federal National Mortgage Association REMICS, 3.5%, 10/25/39 3.5 10/25/2039 490,000 221,893
Federal Home Loan Mortgage Corp., Floating Rate Note, 8/1/31 2.5 08/01/2031 500,000 865
America Movil SAB de CV, Floating Rate Note, 9/12/16 1.502 09/12/2016 1,000,000 1,000,738
First Investors Auto Owner Trust 2013-1, 2.02%, 1/15/19 (144A) 2.02 01/15/2019 200,000 199,098
Morgan Stanley Capital I Trust 2015-XLF1, Floating Rate Note, 8/14/31 (144A) 2.5305 08/14/2031 500,000 497,901
Bear Stearns ALT-A Trust 2004-4, Floating Rate Note, 6/25/34 1.0216 06/25/2034 10,699,000 650,121
Kilimanjaro Re, Ltd., Floating Rate Note, 12/6/19 (Cat Bond) (144A) 6.75 12/06/2019 250,000 250,375
CHS, Incremental 2018 Term F Loans, 12/31/18 3.6563 12/31/2018 98,629 97,378
Federal National Mortgage Association REMICS, Floating Rate Note, 10/27/37 0.6216 10/27/2037 1,375,920 910,574
Credit Suisse First Boston Mortgage Securities Corp., 4.877%, 4/15/37 4.877 04/15/2037 500,000 175,600
Fannie Mae, 6.5%, 6/1/16 6.5 06/01/2016 700,000 276
Equity One Mortgage Pass-Through Trust 2004-1, Floating Rate Note, 4/25/34 4.145 04/25/2034 1,840,000 402,056
Park Place Securities Inc Asset-Backed Pass-Through Ctfs Ser 2005-WHQ4, Floating Rate Note, 9/25/35 0.7916 09/25/2035 1,793,831 339,603
Branch Banking & Trust Co., 2.3%, 10/15/18 2.3 10/15/2018 500,000 507,422
The Toronto-Dominion Bank, Floating Rate Note, 7/2/19 0.765 07/02/2019 750,000 744,811
Phillips 66, 2.95%, 5/1/17 2.95 05/01/2017 750,000 763,882
Homestar Mortgage Acceptance Corp., Floating Rate Note, 6/25/34 1.1216 06/25/2034 3,670,962 213,707
Express Scripts Holding Co., 3.125%, 5/15/16 3.125 05/15/2016 1,000,000 1,010,666
Longpoint Re, Ltd. III, Floating Rate Note, 5/23/18 (Cat Bond) (144A) 3.75 05/23/2018 750,000 761,325
Ford Motor Credit Co LLC, 2.375%, 1/16/18 2.375 01/16/2018 250,000 252,125
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/37 1.0016 09/25/2037 3,700,000 272,129
Aberdeen Loan Funding, Ltd., Floating Rate Note, 11/1/18 (144A) 0.9789 11/01/2018 1,800,000 687,161
Sensata Technologies 1st Lien L + 2.25% 14oct21 2.8567 10/14/2021 641,899 631,629
US Renal Care, Inc., Tranche B-2 Term Loan (First Lien), 7/3/19 5.75 07/03/2019 644,004 641,186
Bank of America NA, 1.75%, 6/5/18 1.75 06/05/2018 750,000 746,126
Morgan Stanley ABS Capital I Inc Trust 2004-SD3, Floating Rate Note, 6/25/34 (144A) 1.3416 06/25/2034 13,470,000 254,284
Bayer US Finance LLC, 1.5%, 10/6/17 (144A) 1.5 10/06/2017 750,000 752,347
Gray Television Inc. 1st Lien Tl L + 3% 10jun21 3.75 06/10/2021 801,032 793,222
SASCO Mortgage Loan Trust 2005-GEL1, Floating Rate Note, 12/25/34 1.2466 12/25/2034 510,000 262,885
American Homes 4 Rent 2014-SFR1, Floating Rate Note, 6/19/31 (144A) 1.6805 06/19/2031 665,000 648,308
Fannie Mae, 5.0%, 11/1/20 5.0 11/01/2020 3,800,000 195,798
Freddie Mac, 4.5%, 11/15/24 4.5 11/15/2024 8,412,372 275,990
Reckitt Benckiser Treasury Services Plc, 2.125%, 9/21/18 (144A) 2.125 09/21/2018 500,000 498,353
GSRPM Mortgage Loan Trust 2006-1, Floating Rate Note, 3/25/35 (144A) 0.7216 03/25/2035 1,201,850 133,949
Bear Stearns ALT-A Trust 2004-13, Floating Rate Note, 11/25/34 1.1616 11/25/2034 2,473,000 101,040
Duke Energy Carolinas LLC, 1.75%, 12/15/16 1.75 12/15/2016 750,000 754,716
Bway Holding Co 1st Lien Tl-B L + 4.5% 08aug20 5.5 08/08/2020 98,500 95,381
Live Nation Entertainment, Inc., Term B-1 Loan, 8/17/20 3.5 08/17/2020 506,345 505,923
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/32 0.7305 12/15/2032 1,931,288 98,400
Homestar Mortgage Acceptance Corp., Floating Rate Note, 3/25/34 1.0616 03/25/2034 25,588,000 1,204,510
ACE Securities Corp Manufactured Housing Trust Series 2003-MH1, Floating Rate Note, 8/15/30 (144A) 6.2083 08/15/2030 425,000 3,793
Federal National Mortgage Association REMICS, Floating Rate Note, 5/25/17 0.8216 05/25/2017 20,000,000 24,353
Wamu 5% 25nov18 03-S12-3a 5.0 11/25/2018 10,000,000 237,778
MUFG Union Bank NA, 2.625%, 9/26/18 2.625 09/26/2018 1,000,000 1,016,526
Government National Mortgage Association, 3.5%, 5/20/39 3.5 05/20/2039 1,025,000 353,285
Government National Mortgage Association, Floating Rate Note, 4/16/32 0.8445 04/16/2032 10,000,000 121,148
Freddie Mac, 4.0%, 5/15/37 4.0 05/15/2037 600,000 347,903
American Airlines Inc 1st Lien Tl-B L + 3% 10oct21 3.5 10/10/2021 742,500 736,467
JP Morgan Chase Commercial Mortgage Securities Trust 2014-FL5 REMICS, Floating Rate Note, 7/15/31 (1 2.4305 07/15/2031 650,000 644,915
Sequoia Mortgage Trust 2013-8, Floating Rate Note, 6/25/43 2.25 06/25/2043 414,000 273,541
AT&T, Inc., 2.4%, 8/15/16 2.4 08/15/2016 1,000,000 1,015,676
Citigroup Mortgage Loan Trust, Inc., Floating Rate Note, 3/26/35 2.7336 03/26/2035 1,750,000 141,764
Silverton RE, Ltd., 0.0%, 9/18/17 (Cat Bond) (144A) 0.0 09/18/2017 400,000 516,000
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 8/15/25 0.5805 08/15/2025 970,000 225,556
PNC Bank NA, Floating Rate Note, 8/1/17 0.6289 08/01/2017 750,000 748,448
Federal National Mortgage Association REMICS, Floating Rate Note, 12/25/32 0.9216 12/25/2032 34,313,143 562,757
Ford Motor Credit Co LLC, 2.875%, 10/1/18 2.875 10/01/2018 1,000,000 1,008,615
Bbb Industries Llc 1st Lien Tl L + 5% 20oct21 6.0 10/20/2021 529,333 526,184
Aegis Asset Backed Securities Trust Mortgage Pass- Through Ctfs Series 2004-3, Floating Rate Note, 9 1.5216 09/25/2034 881,754 99,469
Federal Home Loan Mortgage Corp., 2.75%, 11/15/25 2.75 11/15/2025 1,000,000 349,075
Ford Credit Floorplan Master Owner Trust A, 1.92%, 1/15/19 1.92 01/15/2019 1,065,000 1,071,020
VOLT XXXVIII LLC, 3.875%, 9/25/45 (Step) (144A) 3.875 09/25/2045 750,000 715,291
Fannie Mae, Floating Rate Note, 10/1/36 2.23 10/01/2036 1,877,185 303,951
Federal National Mortgage Association 2004-T2, Floating Rate Note, 7/25/43 3.5239 07/25/2043 6,750,000 831,662
GSAA Home Equity Trust 2004-6, Floating Rate Note, 6/25/34 1.2016 06/25/2034 15,032,940 314,588
Post Holdings Inc 1st Lien Tl-B L + 3% 23may21 3.75 05/23/2021 177,902 177,827
PURCHASING POWER FUNDING 2015-A LLC, 3.5%, 12/15/19 (144A) 3.5 12/15/2019 750,000 751,167
RALI Series 2003-QS9 Trust, Floating Rate Note, 5/25/18 0.8716 05/25/2018 11,040,000 227,891
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 4/15/28 0.8305 04/15/2028 16,175,365 197,287
17079z Zero% 31mar18 0.0 03/31/2018 250,000 278,700
BAMLL Commercial Mortgage Securities Trust 2014-INLD REMICS, Floating Rate Note, 12/17/29 (144A) 2.9305 12/17/2029 930,000 928,850
SVO 2012-A VOI Mortgage LLC, 2.0%, 9/20/29 (144A) 2.0 09/20/2029 1,600,000 598,579
Bright Horizons Family Solutions, Inc., Term B Loan, 1/30/20 4.0 01/30/2020 391,927 391,890
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-A REMICS, Floating Rate Note, 4/25/29 0.8816 04/25/2029 14,857,948 648,391
JP Morgan Chase Commercial Mortgage Securities Trust 2014-PHH, Floating Rate Note, 8/16/27 (144A) 1.931 08/16/2027 1,100,000 1,100,510
Federal National Mortgage Association, Floating Rate Note, 10/18/32 0.71 10/18/2032 11,398,000 312,038
Westgate Resorts 2012-A LLC, 3.75%, 8/20/25 (144A) 3.75 08/20/2025 403,000 128,967
Fannie Mae, 5.0%, 10/1/41 5.0 10/01/2041 1,736,000 598,002
MacDermid, Inc., Tranche B Term Loan (First Lien), 6/7/20 5.5 06/07/2020 1,238,598 1,201,698
JPMorgan Chase & Co., Floating Rate Note, 2/26/16 1.0267 02/26/2016 320,000 320,353
SMART ABS Series 2013-2US Trust, Floating Rate Note, 1/17/17 0.747 01/17/2017 500,000 30,054
Freddie Mac Strips, Floating Rate Note, 12/15/36 0.6805 12/15/2036 2,327,000 99,612
Asset Backed Securities Corp Home Equity Loan Trust Series 2004-HE6, Floating Rate Note, 9/25/34 1.1416 09/25/2034 7,075,000 427,640
Express Scripts Holding Co., 2.25%, 6/15/19 2.25 06/15/2019 750,000 746,330
ACAS CLO 2007-1, Ltd., Floating Rate Note, 4/20/21 (144A) 0.5472 04/20/2021 500,000 163,946
JP Morgan Chase Commercial Mortgage Securities Trust 2015-COSMO, Floating Rate Note, 1/15/32 (144A) 2.581 01/15/2032 950,000 943,660
Fannie Mae, Floating Rate Note, 10/1/29 2.82 10/01/2029 4,831,796 99,074
Manufacturers & Traders Trust Co., Floating Rate Note, 7/25/17 0.6199 07/25/2017 1,000,000 998,013
Origen Manufactured Housing Contract Trust 2004-A, Floating Rate Note, 1/15/35 5.91 01/15/2035 600,000 221,110
VOLT XXXIX LLC, 4.125%, 10/25/45 (Step) (144A) 4.125 10/25/2045 500,000 493,797
The Toronto-Dominion Bank, Floating Rate Note, 5/2/17 0.5689 05/02/2017 500,000 499,328
Fannie Mae, 5.5%, 8/1/37 5.5 08/01/2037 2,000,000 275,379
RFSC Series 2004-RP1 Trust, Floating Rate Note, 11/25/42 2.471 11/25/2042 250,000 93,349
Precision Castparts Corp., 1.25%, 1/15/18 1.25 01/15/2018 500,000 499,015
John Deere Capital Corp., 1.05%, 12/15/16 1.05 12/15/2016 750,000 750,229
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-G, Floating Rate Note, 1/25/30 1.4275 01/25/2030 5,058,000 240,420
MVW Owner Trust 2014-1, 2.7%, 9/20/31 (144A) 2.7 09/20/2031 750,000 548,450
Bear Stearns ALT-A Trust 2004-12, Floating Rate Note, 1/25/35 1.2616 01/25/2035 8,440,000 823,721
Fore CLO, Ltd., Floating Rate Note, 7/20/19 (144A) 0.5622 07/20/2019 250,000 1,124
Kane Sac Zero% 15jun16 0.0 06/15/2016 100,000 99,960
1011778 BC ULC, Term B-2 Loan, 12/12/21 3.75 12/12/2021 528,609 526,132
Federal National Mortgage Association, 2.75%, 6/25/20 2.75 06/25/2020 1,750,000 279,681
Branch Banking & Trust Co., Floating Rate Note, 5/23/17 0.6776 05/23/2017 250,000 248,985
Government National Mortgage Association I, 5.0%, 8/15/19 5.0 08/15/2019 1,347,915 268,243
JP Morgan Chase Commercial Mortgage Securities Trust 2015-FL7, Floating Rate Note, 5/15/28 (144A) 2.1305 05/15/2028 850,000 839,852
Federal National Mortgage Association REMICS, Floating Rate Note, 7/25/35 0.7216 07/25/2035 750,000 137,755
Bayview Financial Mortgage Pass-Through Trust 2005-C, Floating Rate Note, 6/28/44 0.9216 06/28/2044 1,650,000 1,090,972
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/34 0.8216 03/25/2034 763,500 164,451
Calpine Corp., Term Loan (10/12), 10/9/19 4.0 10/09/2019 742,327 727,635
RREF 2015-LT7 LLC, 3.0%, 12/25/32 (144A) 3.0 12/25/2032 700,000 510,923
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-C REMICS, Floating Rate Note, 6/25/28 1.0816 06/25/2028 13,450,000 507,970
American Express Credit Corp., 1.3%, 7/29/16 1.3 07/29/2016 500,000 503,658
Bear Stearns ALT-A Trust 2004-12, Floating Rate Note, 1/25/35 1.1216 01/25/2035 4,956,000 493,206
Morgan Stanley, Floating Rate Note, 6/6/16 1.302 06/06/2016 500,000 497,926
GTP Acquisition Partners I LLC, 2.35%, 6/15/45 (144A) 2.35 06/15/2045 1,000,000 970,784
MALLINCKRODT INTERNATIONAL FINANCE SA, Initial Term B Loan, 3/6/21 3.25 03/06/2021 294,750 286,644
NewStar Commercial Loan Trust 2007-1, Floating Rate Note, 9/30/22 (144A) 0.6517 09/30/2022 500,000 55,221
Citigroup, Inc., Floating Rate Note, 11/15/16 1.0416 11/15/2016 750,000 751,739
New York Life Global Funding, 1.125%, 3/1/17 (144A) 1.125 03/01/2017 500,000 501,659
Progreso Receivables Funding II LLC, 3.5%, 7/8/19 (144A) 3.5 07/08/2019 1,370,000 1,374,362
Southwire Co., Initial Term Loan, 1/31/21 3.0044 01/31/2021 399,172 391,188
Federal Home Loan Mortgage Corp., 4.0%, 5/1/24 4.0 05/01/2024 2,400,000 171,465
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 5/15/36 0.7305 05/15/2036 2,159,000 111,334
Structured Asset Mortgage Investments II Trust 2005-AR2, Floating Rate Note, 5/25/45 3.5055 05/25/2045 5,000,000 446,335
Consumer Credit Origination Loan Trust 2015-1, 2.82%, 3/15/21 (144A) 2.82 03/15/2021 750,000 379,031
Raymond James Financial, Inc., 4.25%, 4/15/16 4.25 04/15/2016 2,108,000 2,142,936
BAMLL Commercial Mortgage Securities Trust 2014-ICTS, Floating Rate Note, 6/15/28 (144A) 1.4305 06/15/2028 580,000 578,173
Structured Adjustable Rate Mortgage Loan Trust, Floating Rate Note, 3/25/34 2.9295 03/25/2034 2,600,000 114,688
National Rural Utilities Cooperative Finance Corp., Floating Rate Note, 11/23/16 0.6776 11/23/2016 500,000 500,848
Federal National Mortgage Association, Floating Rate Note, 4/25/35 2.726 04/25/2035 1,250,000 203,041
Navios Maritime Partners LP, Term Loan, 6/27/18 5.25 06/27/2018 435,775 427,059
Bear Stearns ARM Trust 2004-10 REMICS, Floating Rate Note, 1/25/35 2.9652 01/25/2035 720,000 80,689
The Goldman Sachs Group, Inc., Floating Rate Note, 3/22/16 1.0355 03/22/2016 475,000 474,688
Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/38 0.8716 02/25/2038 624,000 85,070
Branch Banking & Trust Co., Floating Rate Note, 9/13/16 0.822 09/13/2016 1,575,000 1,572,181
Ziggo Bv Us 1st Lien Tl-B1 L + 2.75% 15jan22 3.5 01/15/2022 449,291 437,182
Impac CMB Trust Series 2004-4, Floating Rate Note, 9/25/34 1.0416 09/25/2034 14,479,489 521,878
Principal Life Global Funding II, Floating Rate Note, 5/27/16 (144A) 0.7767 05/27/2016 390,000 390,453
Nord Anglia Education Finance Llc 1st Lien Tl-B L + 3.5% 21mar21 5.0 03/21/2021 744,332 735,959
JP Morgan Chase Commercial Mortgage Securities Trust 2014-BXH, Floating Rate Note, 4/15/27 (144A) 1.581 04/15/2027 1,670,000 1,669,673
Conseco Finance Home Equity Loan Trust 2002-C, Floating Rate Note, 4/15/32 1.8305 04/15/2032 2,875,000 690,291
Private Export Funding Corp., 2.125%, 7/15/16 2.125 07/15/2016 500,000 507,861
Level 3 Financing Inc 1st Lien Tl-B2 L + 2.75% 31may22   05/31/2022 225,000 221,672
Principal Life Global Funding II, 1.2%, 5/19/17 (144A) 1.2 05/19/2017 750,000 748,547
Vitality Re V, Ltd., Floating Rate Note, 1/7/19 (Cat Bond) (144A) 1.75 01/07/2019 500,000 496,086
RALI Series 2004-QS5 Trust, Floating Rate Note, 4/25/34 1.0216 04/25/2034 14,790,618 429,852
Bear Stearns Commercial Mortgage Securities Trust 2006-PWR12, Floating Rate Note, 9/11/38 5.7058 09/11/2038 840,000 552,863
Massachusetts Development Finance Agency, Floating Rate Note, 2/15/36 3.0 02/15/2036 250,000 253,693
Conseco Finance Corp., 7.55%, 4/15/32 (Step) 7.55 04/15/2032 2,740,000 13,785
American Honda Finance Corp., 1.125%, 10/7/16 1.125 10/07/2016 500,000 501,713
Garda World Security Corp., Term B Delayed Draw Loan, 11/8/20 4.0038 11/08/2020 121,625 116,570
Federal National Mortgage Association REMICS, Floating Rate Note, 5/25/40 0.9716 05/25/2040 761,373 240,153
ZIGGO BV, (USD) TLB3, 1/15/22 3.5 01/15/2022 476,177 463,342
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 3/15/38 0.7305 03/15/2038 2,600,000 473,873
GCI Holdings, Inc., New Term B Loan, 2/2/22 4.0 02/02/2022 372,188 372,885
Accredited Mortgage Loan Trust 2005-2, Floating Rate Note, 7/25/35 0.8216 07/25/2035 240,000 154,580
Granite Acquisition, Inc., Term C Loan (First Lien), 10/15/21 5.0 10/15/2021 42,146 37,878
VFC 2015-3 LLC, 2.75%, 12/20/31 (144A) 2.75 12/20/2031 400,000 86,600
L-3 Communications Corp., 1.5%, 5/28/17 1.5 05/28/2017 586,000 579,546
Lehman Brothers Small Balance Commercial, Floating Rate Note, 4/25/31 (144A) 0.6516 04/25/2031 3,723,496 354,687
Energy Transfer Partners LP, 2.5%, 6/15/18 2.5 06/15/2018 750,000 719,218
CGWF Commercial Mortgage Trust 2013-RKWH REMICS, Floating Rate Note, 11/15/30 (144A) 2.2305 11/15/2030 1,720,000 1,718,974
Federal Home Loan Mortgage Corp., 4.5%, 7/1/19 4.5 07/01/2019 1,381,464 96,930
On Assignment, Inc., Initial Term B Loan, 6/5/22 3.75 06/05/2022 112,510 112,135
Fannie Mae, 4.5%, 9/25/35 4.5 09/25/2035 4,690,000 246,164
Westpac Banking Corp., Floating Rate Note, 5/19/17 0.6971 05/19/2017 1,000,000 999,230
Emdeon Inc 1st Lien Tl-B3 L + 2.5% 02nov18 3.75 11/02/2018 395,000 388,581
COMM 2014-KYO Mortgage Trust, Floating Rate Note, 6/11/27 (144A) 1.951 06/11/2027 1,630,000 1,601,387
Sequoia Mortgage Trust 2013-8, Floating Rate Note, 6/25/43 3.0 06/25/2043 160,000 121,101
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/34 0.8216 03/25/2034 4,612,000 258,961
Federal Home Loan Mortgage Corp., Floating Rate Note, 4/1/25 2.723 04/01/2025 13,000,000 16,339
Pangaea Zero% 01jul18 0.0 07/01/2018 700,000 12,600
Resource Capital Corp 2014-CRE2, Ltd., Floating Rate Note, 4/15/32 (144A) 1.4005 04/15/2032 1,480,000 1,198,675
Fifth Third Bank Cincinnati Ohio, 1.15%, 11/18/16 1.15 11/18/2016 750,000 750,185
North American Development Bank, 2.3%, 10/10/18 2.3 10/10/2018 650,000 657,843
Hilton Grand Vacations Trust 2014-A, 2.07%, 11/25/26 (144A) 2.07 11/25/2026 750,000 506,300
Altera Corp., 2.5%, 11/15/18 2.5 11/15/2018 500,000 505,680
PNC Bank NA, 1.3%, 10/3/16 1.3 10/03/2016 550,000 552,921
Capital One NA, Floating Rate Note, 3/22/16 1.0355 03/22/2016 700,000 699,745
Del Coronado Trust 2013-DEL, Floating Rate Note, 3/16/26 (144A) 1.6305 03/16/2026 300,000 300,015
Federal Home Loan Mortgage Corp., Floating Rate Note, 2/17/32 0.8005 02/17/2032 12,638,000 283,278
American Credit Acceptance Receivables Trust 2013-1, 1.45%, 4/16/18 (144A) 1.45 04/16/2018 41,000 119
Sequoia Mortgage Trust 2004-10, Floating Rate Note, 11/20/34 1.0421 11/20/2034 1,990,836 167,754
Mastr Asset Backed Securities Trust 2006-AB1 REMICS, Floating Rate Note, 2/25/36 0.6516 02/25/2036 3,670,545 429,357
Bear Stearns Commercial Mortgage Securities Trust 2006-TOP22, Floating Rate Note, 4/12/38 5.62 04/12/2038 1,150,000 371,876
Countrywide Asset-Backed Certificates, Floating Rate Note, 3/25/35 1.3216 03/25/2035 1,300,000 381,506
RAIT 2014-FL3 Trust, Floating Rate Note, 12/15/31 (144A) 1.4938 12/15/2031 1,000,000 727,566
Federal National Mortgage Association, 4.0%, 10/1/20 4.0 10/01/2020 4,317,004 859,822
Schaeffler (Aka Ina Beteiligungsge 1st Lien Tl-B L + 3.5% 15may20 4.25 05/15/2020 169,231 169,738
Toyota Motor Credit Corp., 0.75%, 3/3/17 (Step) 0.75 03/03/2017 3,150,000 3,148,289
Bear Stearns Asset Backed Securities Trust 2004-2, Floating Rate Note, 8/25/34 1.6216 08/25/2034 389,000 34,310
Credit Suisse Commercial Mortgage Trust Series 2007-C4 REMICS, Floating Rate Note, 9/15/39 6.147 09/15/2039 800,000 575,864
Ameriquest Mortgage Securities Inc Asset-Backed Pass-Through Ctfs Ser 2005-R1, Floating Rate Note, 3 1.0966 03/25/2035 592,188 174,351
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 8/15/18 0.9305 08/15/2018 600,000 64,115
HarborView Mortgage Loan Trust 2004-1, Floating Rate Note, 4/19/34 2.7388 04/19/2034 3,987,000 166,728
Bayview Commercial Asset Trust 2007-2, 0.0%, 7/27/37 (Step) (144A) 0.0 07/27/2037 4,500,000 0
Government National Mortgage Association I, 6.0%, 3/15/17 6.0 03/15/2017 10,311,138 64,330
Newstar Commercial Lease Funding 2015-1 LLC, 3.27%, 4/15/19 (144A) 3.27 04/15/2019 1,200,000 953,410
Bear Stearns ALT-A Trust 2004-12, Floating Rate Note, 1/25/35 1.2616 01/25/2035 3,280,000 292,115
Nations Equipment Finance Funding II LLC, 3.276%, 1/22/19 (144A) 3.276 01/22/2019 500,000 474,024
Gator Re, Ltd., Floating Rate Note, 1/9/17 (Cat Bond) (144A) 6.68 01/09/2017 600,000 586,192
Tronox Pigments Holland BV, New Term Loan, 3/19/20 4.5 03/19/2020 445,431 397,269
Progress Residential 2014-SFR1 Trust, Floating Rate Note, 10/17/31 (144A) 2.581 10/17/2031 1,000,000 979,049
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 4/15/36 0.6305 04/15/2036 728,000 107,458
ABN AMRO Bank NV, Floating Rate Note, 10/28/16 (144A) 1.1232 10/28/2016 750,000 753,621
COMM 2014-PAT Mortgage Trust REMICS, Floating Rate Note, 8/13/27 (144A) 1.131 08/13/2027 400,000 394,222
AmeriCredit Automobile Receivables Trust 2014-2, Floating Rate Note, 10/10/17 0.5555 10/10/2017 380,000 56,426
Merrill Lynch Mortgage Trust 2007-C1, Floating Rate Note, 6/12/50 5.8357 06/12/2050 1,000,000 1,036,684
Anheuser-Busch InBev Finance, Inc., Floating Rate Note, 1/27/17 0.5129 01/27/2017 500,000 499,093
Credit Suisse First Boston Mortgage Securities Corp., 7.5%, 5/25/32 7.5 05/25/2032 15,000,000 270,045
Centerpoint Energy Transition Bond Co II LLC, 5.17%, 8/1/19 5.17 08/01/2019 720,000 421,818
La Hipotecaria Panamanian Mortgage Trust 2007-1, Floating Rate Note, 12/23/36 (144A) 4.7725 12/23/2036 1,400,000 561,419
CDC Mortgage Capital Trust 2002-HE1, Floating Rate Note, 1/25/33 1.0416 01/25/2033 19,484,513 347,909
Ibis Re II, Ltd., Floating Rate Note, 6/28/16 (Cat Bond) (144A) 4.0761 06/28/2016 500,000 506,533
AmeriCredit Automobile Receivables Trust 2012-4, 3.82%, 2/10/20 (144A) 3.82 02/10/2020 500,000 507,300
WaMu Mortgage Pass-Through Certificates Series 2002-AR6 Trust, Floating Rate Note, 6/25/42 1.6558 06/25/2042 29,950,000 306,069
LSTAR Securities Investment Trust 2015-8, Floating Rate Note, 8/1/20 (144A) 2.193 08/01/2020 650,000 603,881
CNH Equipment Trust 2012-C, 0.57%, 12/15/17 0.57 12/15/2017 75,000 2,780
PNC Bank NA, 0.8%, 1/28/16 0.8 01/28/2016 450,000 451,522
Federal Home Loan Banks, 2.9%, 4/20/17 2.9 04/20/2017 1,370,000 194,274
Structured Asset Securities Corp Mortgage Pass-Through Ctfs Ser 2003-24A, Floating Rate Note, 7/25/3 2.4294 07/25/2033 7,700,000 743,766
Arbor Realty Collateralized Loan Obligation 2015-FL1, Ltd., Floating Rate Note, 3/15/25 (144A) 2.0805 03/15/2025 500,000 500,491
Freddie Mac Structured Agency Credit Risk Debt Notes, Floating Rate Note, 11/25/23 1.8716 11/25/2023 750,000 409,001
Shell International Finance BV, Floating Rate Note, 11/15/16 0.5716 11/15/2016 750,000 749,978
Quest Trust REMICS, Floating Rate Note, 3/25/34 (144A) 1.0816 03/25/2034 24,804,330 665,142
Federal Home Loan Mortgage Corp., Floating Rate Note, 1/1/28 2.583 01/01/2028 500,000 2,818
Impac Secured Assets CMN Owner Trust, Floating Rate Note, 2/25/35 1.2816 02/25/2035 4,622,000 869,293
Cent CLO, 2.52%, 8/1/24 (144A) 2.52 08/01/2024 1,000,000 1,005,817
Government National Mortgage Association I, 6.5%, 5/15/31 6.5 05/15/2031 3,183,996 34,108
Government National Mortgage Association REMICS, 2.0%, 1/16/46 2.0 01/16/2046 3,000,000 2,319,606
Zoetis, Inc., 1.15%, 2/1/16 1.15 02/01/2016 500,000 502,307
Fannie Mae, 7.0%, 1/1/36 7.0 01/01/2036 1,000,000 14,867
Terwin Mortgage Trust Series TMTS 2005-14HE, 4.8492%, 8/25/36 (Step) 4.8492 08/25/2036 630,000 104,469
Federal National Mortgage Association REMICS, Floating Rate Note, 10/25/38 1.6416 10/25/2038 1,808,000 146,339
Drot 2.54% 20may27 14-1-A 2.54 05/20/2027 500,000 267,742
Federal National Mortgage Association REMICS, Floating Rate Note, 11/18/32 1.36 11/18/2032 24,329,000 368,222
Bayview Financial Mortgage Pass-Through Trust Series 2005-B, Floating Rate Note, 4/28/39 0.8716 04/28/2039 950,000 431,907
Federal Home Loan Mortgage Corp., Floating Rate Note, 3/15/30 0.6805 03/15/2030 1,147,667 338,627
Citigroup Mortgage Loan Trust, Inc., Floating Rate Note, 10/25/35 5.5 10/25/2035 1,471,464 393
ICBCIL Finance Co, Ltd., Floating Rate Note, 11/13/18 (144A) 2.0114 11/13/2018 750,000 751,565
RAMP Series 2005-RS6 Trust, Floating Rate Note, 6/25/35 1.1716 06/25/2035 278,355 44,100
Federal Home Loan Mortgage Corp., Floating Rate Note, 7/15/19 0.4805 07/15/2019 1,500,000 53,581
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/36 0.9916 09/25/2036 3,447,000 139,260
Volkswagen Group of America Finance LLC, Floating Rate Note, 5/23/16 (144A) 0.5976 05/23/2016 1,000,000 993,527
KeyBank NA Cleveland Ohio, 1.65%, 2/1/18 1.65 02/01/2018 1,000,000 1,003,463
Golden State RE II, Ltd., Floating Rate Note, 1/8/19 (Cat Bond) (144A) 2.2 01/08/2019 750,000 748,496
Berkshire Hathaway Finance Corp., Floating Rate Note, 8/14/17 0.4866 08/14/2017 1,000,000 997,767
Bank of America Corp., 1.35%, 11/21/16 1.35 11/21/2016 500,000 500,092
United Technologies Corp., 1.778%, 5/4/18 (Step) 1.778 05/04/2018 500,000 498,657
Pfizer, Inc., Floating Rate Note, 5/15/17 0.5116 05/15/2017 750,000 748,858
Federal National Mortgage Association REMICS, Floating Rate Note, 6/25/36 0.8716 06/25/2036 2,317,493 179,025
EQTY 2014-INNS Mortgage Trust, Floating Rate Note, 5/8/31 (144A) 1.476 05/08/2031 1,020,000 1,002,442
JPMorgan Chase & Co., Floating Rate Note, 2/15/17 0.8816 02/15/2017 500,000 500,236
Kilimanjaro Re, Ltd., Floating Rate Note, 12/6/19 (Cat Bond) (144A) 9.25 12/06/2019 250,000 250,975
Federal Home Loan Mortgage Corp., Floating Rate Note, 4/15/33 0.6405 04/15/2033 22,025,143 805,293
Hertz Fleet Lease Funding LP, Floating Rate Note, 4/10/28 (144A) 0.6931 04/10/2028 300,000 205,458
MetroCat Re, Ltd., Floating Rate Note, 8/5/16 (Cat Bond) (144A) 4.4949 08/05/2016 400,000 409,340
American Honda Finance Corp., 1.2%, 7/14/17 1.2 07/14/2017 750,000 750,865
TI Group Automotive Systems LLC, Initial US Term Loan, 6/25/22 4.5 06/25/2022 469,626 460,233
Tradewynd Re, Ltd., Floating Rate Note, 1/8/18 (Cat Bond) (144A) 4.99 01/08/2018 250,000 253,394
Quebecor Media, Inc., Facility B-1 Tranche, 8/17/20 3.25 08/17/2020 196,977 191,253
Fannie Mae, 3.0%, 6/25/22 3.0 06/25/2022 7,135,000 2,930,870
NovaStar Mortgage Funding Trust Series 2004-3, Floating Rate Note, 12/25/34 1.9966 12/25/2034 560,000 533,017
Government National Mortgage Association, 5.0%, 4/20/36 5.0 04/20/2036 850,000 65,077
Axis Equipment Finance Receivables III LLC, 3.41%, 4/20/20 (144A) 3.41 04/20/2020 300,000 299,141
Fannie Mae, Floating Rate Note, 4/1/28 2.713 04/01/2028 400,000 3,053
Federal National Mortgage Association REMICS, Floating Rate Note, 1/25/33 0.9216 01/25/2033 2,782,000 74,873
New York Life Global Funding, Floating Rate Note, 5/23/16 (144A) 0.6664 05/23/2016 1,050,000 1,052,382
Government National Mortgage Association, 3.0%, 12/20/38 3.0 12/20/2038 1,000,000 77,866
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/33 0.9216 09/25/2033 4,915,594 405,675
Bank of America NA, 1.25%, 2/14/17 1.25 02/14/2017 500,000 501,910
Fannie Mae, Floating Rate Note, 11/1/25 2.403 11/01/2025 700,000 2,125
Credit Suisse Mortgage Capital Certificates REMICS, Floating Rate Note, 7/27/36 (144A) 2.8571 07/27/2036 3,494,698 324,409
Dell Equipment Finance Trust 2014-1, 2.68%, 6/22/20 (144A) 2.68 06/22/2020 750,000 747,106
Westgate Resorts 2012-A LLC, 2.25%, 8/20/25 (144A) 2.25 08/20/2025 1,490,000 476,541
Federal National Mortgage Association REMICS, 1.5%, 11/25/20 1.5 11/25/2020 745,000 117,265
Exelon Corp., 1.55%, 6/9/17 1.55 06/09/2017 750,000 747,548
Total Capital International SA, 1.0%, 8/12/16 1.0 08/12/2016 500,000 502,035
AMC Entertainment, Inc., Initial Term Loan, 4/30/20 4.0 04/30/2020 244,362 244,973
Kane Sac, Ltd., 0.0%, 1/7/16 (Cat Bond) 0.0 01/07/2016 458,833 499,991
Government National Mortgage Association, Floating Rate Note, 4/16/32 0.8945 04/16/2032 33,333,000 522,717
U.S. Treasury Notes, 0.625%, 6/30/17 0.625 06/30/2017 11,000,000 10,979,135
Fresenius US Finance I, Inc., Tranche B Term Loan, 8/7/19 2.416 08/07/2019 488,750 486,917
Terwin Mortgage Trust Series TMTS 2003-8HE, Floating Rate Note, 12/25/34 1.3616 12/25/2034 5,234,000 158,995
Freddie Mac REMICS, Floating Rate Note, 2/15/32 1.2805 02/15/2032 14,441,000 695,472
JP Morgan Chase Commercial Mortgage Securities Trust 2015-SGP, Floating Rate Note, 7/15/36 (144A) 3.081 07/15/2036 500,000 499,883
Credit Suisse Commercial Mortgage Trust Series 2006-C3 REMICS, Floating Rate Note, 6/15/38 6.0121 06/15/2038 950,000 965,189
Access Point Funding I 2015-A LLC, 2.61%, 4/15/20 (144A) 2.61 04/15/2020 500,000 322,361
Federal National Mortgage Association REMICS, 1.75%, 12/25/22 1.75 12/25/2022 1,000,000 218,253
MASTR Asset Securitization Trust 2003-6, Floating Rate Note, 7/25/18 0.8216 07/25/2018 2,444,000 40,191
JP Morgan Mortgage Trust 2005-A3, Floating Rate Note, 6/25/35 2.1865 06/25/2035 6,041,179 427,305
Envision Healthcare Corp., Tranche B-2 Term Loan, 10/28/22 4.5 10/28/2022 500,000 498,594
Federal National Mortgage Association, 1.233%, 3/25/18 1.2334 03/25/2018 500,000 398,645
CPS Auto Receivables Trust 2013-A, 1.89%, 6/15/20 (144A) 1.89 06/15/2020 690,000 225,017
Kilimanjaro Re, Ltd., Floating Rate Note, 4/30/18 (Cat Bond) (144A) 4.74 04/30/2018 650,000 653,925
Trafigura Securitisation Finance Plc. 2014-1, Floating Rate Note, 4/16/18 (144A) 1.2805 04/16/2018 400,000 398,599
Hflf Flt% 10dec27 13-3-D 2.2931 12/10/2027 600,000 600,213
Popular ABS Mortgage Pass-Through Trust 2004-4, 4.72776%, 9/25/34 (Step) 4.7162 09/25/2034 1,415,000 368,678
MGM Resorts International, Term B Loan, 12/20/19 3.5 12/20/2019 339,500 335,787
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 4/15/41 0.7505 04/15/2041 2,446,437 339,086
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-B, Floating Rate Note, 4/25/28 1.1016 04/25/2028 9,700,000 370,328
Holmes Master Issuer Plc, Floating Rate Note, 10/15/54 (144A) 2.5205 10/15/2054 250,000 258,897
Fannie Mae, Floating Rate Note, 12/1/36 4.326 12/01/2036 6,500,000 189,363
Federal National Mortgage Association REMICS, Floating Rate Note, 5/25/37 0.8216 05/25/2037 6,826,000 173,420
Federal Home Loan Mortgage Corp., Floating Rate Note, 7/1/18 2.885 07/01/2018 2,100,000 2,293
CHL Mortgage Pass-Through Trust 2004-14, Floating Rate Note, 8/25/34 2.5836 08/25/2034 1,810,000 159,863
Citigroup Mortgage Loan Trust, Inc., 7.0%, 11/25/19 7.0 11/25/2019 7,340,000 36,005
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/37 0.7716 03/25/2037 9,250,000 220,213
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 11/15/37 0.7055 11/15/2037 3,358,000 393,977
Federal National Mortgage Association REMICS, Floating Rate Note, 5/25/33 0.9216 05/25/2033 4,068,000 82,475
RALI Series 2003-QS15 Trust, 5.5%, 8/25/33 5.5 08/25/2033 250,000 109,584
RALI Series 2003-QS14 Trust, 5.0%, 7/25/18 5.0 07/25/2018 600,000 20,748
Credit Suisse Mortgage Capital Certificates, Floating Rate Note, 10/27/36 (144A) 0.6916 10/27/2036 2,290,000 133,355
Silver Bay Realty 2014-1 Trust, Floating Rate Note, 9/18/31 (144A) 2.3805 09/18/2031 750,000 729,304
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/37 0.7816 03/25/2037 4,100,000 177,514
Chase Mortgage Finance Trust Series 2005-S1, 5.5%, 5/25/35 5.5 05/25/2035 4,068,000 8,706
Hilton USA Trust 2013-HLF, Floating Rate Note, 11/5/30 (144A) 1.769 11/05/2030 1,090,000 983,248
Sanders Re, Ltd., Floating Rate Note, 5/5/17 (Cat Bond) (144A) 3.49 05/05/2017 750,000 750,483
BCAP LLC 2013-RR3 Trust, Floating Rate Note, 5/28/36 (144A) 2.6833 05/28/2036 500,000 306,594
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/39 0.6305 02/15/2039 288,000 112,765
Federal National Mortgage Association, 4.0%, 3/1/21 4.0 03/01/2021 4,071,760 873,528
Structured Asset Investment Loan Trust 2005-6, Floating Rate Note, 7/25/35 1.1416 07/25/2035 719,331 436,476
Westwood CDO II, Ltd., Floating Rate Note, 4/25/22 (144A) 0.5399 04/25/2022 500,000 233,736
Government National Mortgage Association, Floating Rate Note, 4/16/31 0.6445 04/16/2031 12,627,242 218,351
Kane Sac, Ltd., 0.0%, 1/7/16 (Cat Bond) 0.0 01/07/2016 685,125 750,006
Banco Nacional de Desenvolvimento Economico e Social, 3.375%, 9/26/16 (144A) 3.375 09/26/2016 1,000,000 998,906
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 5/15/36 0.5105 05/15/2036 4,000,000 31,434
Aircastle, Ltd., 6.75%, 4/15/17 6.75 04/15/2017 1,100,000 1,163,118
Morgan Stanley Home Equity Loan Trust 2005-4, Floating Rate Note, 9/25/35 1.0616 09/25/2035 1,558,243 514,211
Enterprise Products Operating LLC, 3.2%, 2/1/16 3.2 02/01/2016 1,000,000 1,013,652
Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/33 0.7716 02/25/2033 4,696,499 182,996
Hyundai Auto Receivables Trust 2014-B, 2.1%, 11/15/19 2.1 11/15/2019 500,000 495,462
Fannie Mae, 7.0%, 7/1/17 7.0 07/01/2017 3,768,412 20,717
Manufacturers & Traders Trust Co., Floating Rate Note, 1/30/17 0.6969 01/30/2017 500,000 499,879
DR Horton, Inc., 4.0%, 2/15/20 4.0 02/15/2020 650,000 663,527
ACRE Commercial Mortgage Trust 2014-FL2, Floating Rate Note, 8/15/31 (144A) 1.6938 08/15/2031 700,000 693,996
Huntsman International LLC, 2014-1 Incremental Term Loan, 9/30/21 3.75 09/30/2021 544,500 541,097
Impac Secured Assets Trust 2006-5, Floating Rate Note, 12/25/36 0.6216 12/25/2036 2,600,000 460,976
Pfg Flt% 01dec17 144a 0.977 12/01/2017 750,000 750,312
Terex Corp., U.S. Term Loan, 8/13/21 3.5 08/13/2021 255,103 252,074
Federal National Mortgage Association REMICS, Floating Rate Note, 6/25/37 0.6616 06/25/2037 2,134,162 208,753
NSG Holdings LLC, New Term Loan, 12/11/19 3.75 12/11/2019 180,333 177,628
Virgin Media 1st Lien Tl-F L + 2.75% 30jun23 3.5 06/30/2023 235,662 231,047
Capital Auto Receivables Asset Trust 2013-1, 2.19%, 9/20/21 2.19 09/20/2021 125,000 124,722
Citigroup, Inc., Floating Rate Note, 4/1/16 1.1155 04/01/2016 500,000 501,359
Amgen, Inc., 2.5%, 11/15/16 2.5 11/15/2016 500,000 506,780
Duke Energy Progress LLC, Floating Rate Note, 3/6/17 0.652 03/06/2017 411,000 409,987
WR Grace & Co-Conn, U.S. Term Loan, 1/23/21 2.75 01/23/2021 198,887 197,644
Fannie Mae Connecticut Avenue Securities, Floating Rate Note, 10/25/23 2.4216 10/25/2023 1,244,000 732,040
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/45 0.6416 03/25/2045 6,100,000 780,583
Federal National Mortgage Association REMICS, 5.0%, 9/25/39 5.0 09/25/2039 110,000 7,255
Eco Services Operations Llc 1st Lien Tl-B L + 3.75% 10oct21 4.75 10/10/2021 519,750 514,390
Sector Re V, Ltd., 0.0%, 12/1/19 (Cat Bond) (144A) 0.0 12/01/2019 1,889 60,649
SunTrust Bank, Floating Rate Note, 2/15/17 0.8016 02/15/2017 805,000 802,952
Altrl Zero% 30jun16 0.0 06/30/2016 218,850 15,320
Canadian Natural Resources, Ltd., Floating Rate Note, 3/30/16 0.9781 03/30/2016 277,000 276,393
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 1/15/37 0.6305 01/15/2037 16,831,292 824,032
Capital One NA, 2.35%, 8/17/18 2.35 08/17/2018 750,000 757,921
Federal National Mortgage Association, 3.5%, 7/25/24 3.5 07/25/2024 1,250,000 136,049
Bank of America Corp., 1.25%, 1/11/16 1.25 01/11/2016 1,075,000 1,081,427
ORES NPL 2013-LV2 LLC, 3.081%, 9/25/25 (144A) 3.081 09/25/2025 430,000 49,620
CNH Wholesale Master Note Trust, Floating Rate Note, 8/15/19 (144A) 0.9305 08/15/2019 525,000 524,573
Federal Home Loan Mortgage Corp. REMICS, 3.5%, 10/15/18 3.5 10/15/2018 500,000 51,439
Countrywide Asset-Backed Certificates, Floating Rate Note, 12/25/35 4.7502 12/25/2035 1,814,000 355,166
Federal Home Loan Mortgage Corp., 3.5%, 8/15/28 3.5 08/15/2028 500,000 112,150
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 11/15/36 0.6805 11/15/2036 1,229,000 169,646
Steward Health Care System LLC, Term Loan, 4/10/20 6.75 04/10/2020 293,985 286,635
ORES 2014-LV3 LLC, 3.0%, 3/27/24 (144A) 3.0 03/27/2024 550,000 153,673
Federal Home Loan Mortgage Corp., Floating Rate Note, 7/15/28 0.8305 07/15/2028 52,559,000 293,212
LSTAR Securities Investment Trust 2015-5, Floating Rate Note, 4/1/20 (144A) 2.193 04/01/2020 1,275,000 828,073
Federal National Mortgage Association REMICS, Floating Rate Note, 12/25/37 1.0416 12/25/2037 5,672,000 139,888
Government National Mortgage Association II, 6.0%, 11/20/22 6.0 11/20/2022 1,986,670 173,939
The Toronto-Dominion Bank, 1.4%, 4/30/18 1.4 04/30/2018 500,000 497,011
Avago Technologies Cayman Finance 1st Lien Tl-B L + 3.5% 13nov22 4.25 11/13/2022 350,000 346,257
Asset Backed Securities Corp Home Equity Loan Trust Series 2003-HE1, Floating Rate Note, 1/15/33 3.8555 01/15/2033 3,082,000 426,176
Baxter International, Inc., 0.95%, 6/1/16 0.95 06/01/2016 500,000 500,091
Fannie Mae, 6.0%, 2/1/34 6.0 02/01/2034 1,400,000 36,945
Opteum Mortgage Acceptance Corp Trust 2005-4, Floating Rate Note, 11/25/35 0.7316 11/25/2035 7,189,000 1,104,843
The Bank of Tokyo-Mitsubishi UFJ, Ltd., 2.7%, 9/9/18 (144A) 2.7 09/09/2018 305,000 310,845
Boston Scientific Corp., 2.65%, 10/1/18 2.65 10/01/2018 500,000 505,941
First Investors Auto Owner Trust 2013-3, 2.32%, 10/15/19 (144A) 2.32 10/15/2019 300,000 300,953
Hyundai Capital America, 1.875%, 8/9/16 (144A) 1.875 08/09/2016 500,000 504,385
Appvion, Inc., Term Commitment, 6/28/19 5.75 06/28/2019 239,867 224,275
BAMLL Commercial Mortgage Securities Trust 2014-FL1, Floating Rate Note, 12/17/31 (144A) 2.5305 12/17/2031 800,000 797,228
Federal National Mortgage Association REMICS, Floating Rate Note, 4/25/32 1.4216 04/25/2032 50,000,000 509,550
Bayview Opportunity Master Fund IIA Trust 2012-4NPL Series III, Floating Rate Note, 2/28/35 (144A) 3.721 02/28/2035 400,000 195,645
Banc of America Mortgage 2004-D Trust, Floating Rate Note, 5/25/34 2.7209 05/25/2034 4,920,000 386,059
Sumitomo Mitsui Banking Corp., Floating Rate Note, 7/19/16 0.9852 07/19/2016 300,000 300,906
Bayview Opportunity Master Fund IIa Trust 2014-20NPL, 3.721%, 8/28/44 (Step) (144A) 3.721 08/28/2044 420,000 217,106
Bayview Financial Asset Trust 2003-A, Floating Rate Note, 2/25/33 (144A) 4.91 02/25/2033 7,852,000 146,561
GE Capital International Funding Co., 0.964%, 4/15/16 (144A) 0.964 04/15/2016 814,000 815,784
SBA Senior Finance II LLC, Incremental Tranche B-1 Term Loan, 3/31/21 3.25 03/31/2021 197,000 193,214
Federal National Mortgage Association, 2.5%, 9/1/22 2.5 09/01/2022 2,000,000 1,006,182
Saxon Asset Securities Trust 2005-4, Floating Rate Note, 11/25/37 0.6516 11/25/2037 9,516,000 246,581
Federal National Mortgage Association REMICS, 6.0%, 6/25/29 6.0 06/25/2029 685,000 100,175
Altrl Zero% 30jun17 0.0 06/30/2017 347,880 412,655
Silvre Zero% 18sep18 144a 0.0 09/18/2018 250,000 250,000
Bear Stearns Structured Products Trust 2007-EMX1, Floating Rate Note, 3/25/37 (144A) 1.4216 03/25/2037 1,130,000 178,597
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-G, Floating Rate Note, 1/25/30 0.9816 01/25/2030 17,199,975 519,430
Thomson Reuters Corp., 1.3%, 2/23/17 1.3 02/23/2017 500,000 499,920
Daimler Finance North America LLC, 1.45%, 8/1/16 (144A) 1.45 08/01/2016 1,000,000 1,007,423
Federal National Mortgage Association REMICS, Floating Rate Note, 4/25/36 0.6716 04/25/2036 1,737,000 252,527
Federal Home Loan Mortgage Corp., 5.0%, 2/1/21 5.0 02/01/2021 1,000,000 58,389
VOLT XXXVI LLC, 3.625%, 7/25/45 (Step) (144A) 3.625 07/25/2045 500,000 449,329
Queen City Re, Floating Rate Note, 1/6/19 (Cat Bond) (144A) 3.7136 01/06/2019 500,000 495,460
Residential Reinsurance 2014, Ltd., Floating Rate Note, 6/6/18 (Cat Bond) (144A) 3.7696 06/06/2018 250,000 250,957
Unifrax I LLC, New Term Dollar Loan, 11/28/18 4.25 11/28/2018 405,465 391,274
Svenska Handelsbanken AB, Floating Rate Note, 9/23/16 1.0631 09/23/2016 1,000,000 1,000,530
BPCE SA, Floating Rate Note, 4/25/16 1.5699 04/25/2016 550,000 553,076
Ellington Loan Acquisition Trust 2007-1, Floating Rate Note, 5/26/37 (144A) 1.3216 05/26/2037 550,000 261,689
Bear Stearns ALT-A Trust 2004-11, Floating Rate Note, 11/25/34 1.2616 11/25/2034 7,155,000 290,823
FCA US LLC, Term Loan B, 5/24/17 3.5 05/24/2017 888,150 886,574
Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/35 0.7316 02/25/2035 603,000 164,114
Ciena Corporation 1st Lien Tl-B L + 3% 08jul19 3.75 07/08/2019 345,625 342,817
Atlantic Power LP, Term Loan, 2/20/21 4.75 02/20/2021 1,077,634 1,073,592
Federal Home Loan Mortgage Corp., 3.0%, 12/15/24 3.0 12/15/2024 2,315,000 324,893
U.S. Treasury Notes, 0.5%, 8/31/16 0.5 08/31/2016 21,000,000 21,011,688
Johnson Controls, Inc., 1.4%, 11/2/17 1.4 11/02/2017 700,000 694,331
Ooredoo International Finance, Ltd., 3.375%, 10/14/16 (144A) 3.375 10/14/2016 500,000 508,469
Valeant Pharmaceuticals Internatio 1st Lien Tl-Bf1 L + 3.25% 13mar22 4.0 03/13/2022 496,250 479,398
Acorn Re, Ltd., Floating Rate Note, 7/17/18 (Cat Bond) (144A) 3.6634 07/17/2018 300,000 302,768
The Bank of Nova Scotia, 1.1%, 12/13/16 1.1 12/13/2016 500,000 499,980
Volkswagen Group of America Finance LLC, 1.65%, 5/22/18 (144A) 1.65 05/22/2018 500,000 480,973
Credit Suisse First Boston Mortgage Securities Corp., 5.25%, 10/25/19 5.25 10/25/2019 1,196,000 32,997
Navitas Equipment Receivables LLC 2013-1, 3.63%, 2/15/17 3.63 02/15/2017 650,000 651,368
Morgan Stanley ABS Capital I Inc Trust 2005-NC2, Floating Rate Note, 3/25/35 1.0516 03/25/2035 627,000 253,602
New Century Home Equity Loan Trust 2005-1, Floating Rate Note, 3/25/35 1.1216 03/25/2035 2,101,000 332,270
Home Loan Trust 2003-HI1, 5.77%, 4/25/28 (Step) 5.77 04/25/2028 1,500,000 62,863
Duke Energy Indiana, Inc., Floating Rate Note, 7/11/16 0.6696 07/11/2016 303,000 303,463
SilverLeaf Finance XVII LLC, 2.71%, 3/16/26 (144A) 2.71 03/16/2026 750,000 263,413
NYSE Holdings LLC, 2.0%, 10/5/17 2.0 10/05/2017 150,000 150,949
West Corporation 1st Lien Tl-B11 L + 3.5% 20nov21 4.25 11/20/2021 325,000 325,000
NovaStar Mortgage Funding Trust Series 2004-4, Floating Rate Note, 3/25/35 2.0716 03/25/2035 1,457,000 1,438,333
Credit Suisse Commercial Mortgage Trust Series 2007-C3, Floating Rate Note, 6/15/39 5.8889 06/15/2039 1,300,000 983,723
Sanders Re, Ltd., Floating Rate Note, 6/7/17 (Cat Bond) (144A) 4.0536 06/07/2017 650,000 650,459
JP Morgan Chase Commercial Mortgage Securities Trust 2006-FL2, Floating Rate Note, 11/15/18 (144A) 0.6105 11/15/2018 2,550,000 425,382
GSRPM Mortgage Loan Trust 2003-2, Floating Rate Note, 6/25/33 1.7716 06/25/2033 393,823 198,792
Seadrill Operating LP, Initial Term Loan, 2/14/21 4.0 02/14/2021 833,000 344,654
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/32 0.7305 12/15/2032 2,900,000 155,162
Wachovia Mortgage Loan Trust Series 2005-WMC1, Floating Rate Note, 10/25/35 1.1616 10/25/2035 750,000 16,615
GS Mortgage Securities Trust 2007-GG10 REMICS, Floating Rate Note, 8/10/45 5.9884 08/10/2045 1,000,000 924,895
CFCRE 2015-RUM Mortgage Trust, Floating Rate Note, 7/15/30 (144A) 2.4805 07/15/2030 800,000 789,863
Georgia Power Co., Floating Rate Note, 8/15/16 0.7616 08/15/2016 500,000 500,123
Banc of America Funding 2005-A Trust, Floating Rate Note, 2/20/35 0.7121 02/20/2035 10,835,000 378,321
Lehman Brothers Small Balance Commercial Mortgage Trust 2007-3, Floating Rate Note, 10/25/37 (144A) 1.4716 10/25/2037 466,904 227,158
STORE Master Funding LLC, 5.77%, 8/20/42 (144A) 5.77 08/20/2042 344,000 343,704
Countrywide Asset-Backed Certificates, Floating Rate Note, 11/25/35 1.0116 11/25/2035 2,175,000 51,477
Banc of America Commercial Mortgage Trust 2006-4 REMICS, 5.634%, 7/10/46 5.634 07/10/2046 1,960,000 1,591,825
The Huntington National Bank, 1.3%, 11/20/16 1.3 11/20/2016 500,000 500,407
Capital One NA, 1.65%, 2/5/18 1.65 02/05/2018 750,000 747,598
RAMP Series 2003-RS9 Trust, Floating Rate Note, 10/25/33 5.06 10/25/2033 5,091,956 202,796
Federal Home Loan Mortgage Corp., 3.0%, 6/15/38 3.0 06/15/2038 2,000,000 184,557
AXIS Equipment Finance Receivables II LLC, 3.81%, 12/20/16 3.81 12/20/2016 400,000 403,671
Thornburg Mortgage Securities Trust 2004-1, Floating Rate Note, 3/25/44 1.6427 03/25/2044 20,000,000 179,907
Sequoia Mortgage Trust 2004-7, Floating Rate Note, 8/20/34 1.7705 08/20/2034 5,250,000 185,934
PACCAR Financial Corp., Floating Rate Note, 6/6/17 0.642 06/06/2017 485,000 483,809
Federal National Mortgage Association REMICS, 3.0%, 1/25/21 3.0 01/25/2021 4,450,000 513,240
Capital One Multi-Asset Execution Trust, Floating Rate Note, 2/15/19 0.5105 02/15/2019 300,000 299,988
Federal National Mortgage Association REMICS, Floating Rate Note, 1/18/32 1.01 01/18/2032 4,920,043 57,620
Westlake Automobile Receivables Trust 2014-1, 1.24%, 11/15/19 (144A) 1.24 11/15/2019 470,000 469,923
Federal National Mortgage Association, Floating Rate Note, 9/25/22 2.0 09/25/2022 3,000,000 86,818
Glencore Funding LLC, Floating Rate Note, 5/27/16 (144A) 1.5667 05/27/2016 1,000,000 985,302
Cccit 1.32% 07sep18 13-A6-A6 1.32 09/07/2018 700,000 704,291
Lanark Master Issuer Plc, Floating Rate Note, 12/22/54 (144A) 0.8776 12/22/2054 250,000 205,386
Freddie Mac Structured Agency Credit Risk Debt Notes, Floating Rate Note, 10/25/24 1.621 10/25/2024 700,000 12,546
VFC 2014-2 LLC, 2.75%, 7/20/30 (144A) 2.75 07/20/2030 1,060,000 123,671
Merrill Lynch Mortgage Trust 2006-C2, Floating Rate Note, 8/12/43 5.782 08/12/2043 1,150,000 1,175,640
JP Morgan Chase Commercial Mortgage Securities Trust 2014-FL4, Floating Rate Note, 12/16/30 (144A) 2.0805 12/16/2030 410,000 341,615
BLCP Hotel Trust, Floating Rate Note, 8/15/29 (144A) 1.681 08/15/2029 1,610,000 1,579,966
GSRPM Mortgage Loan Trust 2006-2, Floating Rate Note, 9/25/36 (144A) 0.7216 09/25/2036 1,226,000 119,707
Fannie Mae, 5.0%, 6/25/34 5.0 06/25/2034 1,270,000 109,446
Homestar Mortgage Acceptance Corp. REMICS, Floating Rate Note, 9/25/34 1.5216 09/25/2034 1,510,000 315,724
BAMLL Re-REMIC Trust 2014-FRR7, Floating Rate Note, 10/26/44 (144A) 2.471 10/26/2044 950,000 934,371
Vers 2015-A Zero% 31dec17 0.0 12/31/2017 800,000 934,400
Fannie Mae Whole Loan, Floating Rate Note, 11/25/46 0.6816 11/25/2046 4,252,000 585,032
The Bank of Tokyo-Mitsubishi UFJ, Ltd., Floating Rate Note, 3/10/17 (144A) 0.8965 03/10/2017 500,000 499,616
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-G, Floating Rate Note, 1/25/29 1.0616 01/25/2029 3,360,000 157,842
Kinetic Concepts, Inc., Dollar Term E-1 Loan, 5/4/18 4.5 05/04/2018 742,424 715,821
HSI Asset Securitization Corp Trust 2006-OPT1, Floating Rate Note, 12/25/35 0.6116 12/25/2035 450,623 93,267
Total Capital International SA, 0.75%, 1/25/16 0.75 01/25/2016 500,000 501,620
Citigroup Mortgage Loan Trust 2010-4 REMICS, 5.0%, 10/25/35 (144A) 5.0 10/25/2035 2,735,000 434,850
Pricoa Global Funding I, Floating Rate Note, 6/24/16 (144A) 0.8044 06/24/2016 500,000 499,759
Nsany Cp Zero% 19jan16 Usd 0.0 01/19/2016 750,000 749,817
Federal National Mortgage Association, Floating Rate Note, 3/25/18 0.7216 03/25/2018 8,811,000 136,134
Georgia Power Co., Floating Rate Note, 3/15/16 0.832 03/15/2016 827,000 826,571
FDIC 2010-R1 Trust, 2.184%, 5/25/50 (144A) 2.184 05/25/2050 2,410,000 663,877
RAMP Series 2004-SL4 Trust, Floating Rate Note, 5/25/18 6.3471 05/25/2018 13,780,000 32,792
Bear Stearns Commercial Mortgage Securities Trust 2005-PWR9, Floating Rate Note, 9/11/42 4.985 09/11/2042 1,160,000 106,137
GSAA Trust, Floating Rate Note, 6/25/35 0.8516 06/25/2035 440,000 261,807
Fannie Mae, 2.5%, 3/1/28 2.5 03/01/2028 1,500,000 1,094,994
Fannie Mae, 4.5%, 5/1/39 4.5 05/01/2039 2,100,000 700,621
Garda World Security Corp., Term B Loan, 11/1/20 4.0038 11/01/2020 475,443 455,683
JBS USA LLC, Incremental Term Loan, 9/18/20 3.75 09/18/2020 196,000 192,815
Vantiv LLC, Term B Loan, 6/12/21 3.75 06/12/2021 286,329 285,969
CNL Commercial Mortgage Loan Trust 2002-1, Floating Rate Note, 10/25/28 (144A) 1.0219 10/25/2028 8,975,000 261,797
Nomura Resecuritization Trust 2011-4R, Floating Rate Note, 6/26/47 (144A) 3.0996 06/26/2047 2,077,000 901,365
Northshore Re, Ltd., Floating Rate Note, 7/5/16 (Cat Bond) (144A) 7.24 07/05/2016 500,000 515,364
American Express Credit Corp., Floating Rate Note, 9/22/17 0.8855 09/22/2017 1,000,000 993,347
RREF 2014-LT6 LLC, 2.75%, 9/15/24 (144A) 2.75 09/15/2024 1,280,000 220,081
JP Morgan Chase Commercial Mortgage Securities Trust 2014-FL6, Floating Rate Note, 11/17/31 (144A) 1.7305 11/17/2031 1,170,000 1,164,353
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 3/15/41 0.7305 03/15/2041 3,243,333 506,960
PFS Financing Corp., Floating Rate Note, 2/15/19 (144A) 0.9305 02/15/2019 575,000 571,586
FMG Resources August 2006 Pty, Ltd., Loan, 6/30/19 4.25 06/30/2019 73,266 55,000
Global Mortgage Securitization, Ltd., 5.25%, 4/25/32 5.25 04/25/2032 795,156 186,834
JP Morgan Chase Commercial Mortgage Securities Trust 2014-CBM, Floating Rate Note, 10/15/29 (144A) 2.2805 10/15/2029 700,000 693,521
LSTAR Securities Investment Trust 2015-7, Floating Rate Note, 7/1/20 (144A) 2.2438 07/01/2020 1,000,000 928,798
Federal National Mortgage Association REMICS, Floating Rate Note, 4/25/34 0.8216 04/25/2034 644,866 59,109
Mastr Asset Backed Securities Trust 2006-NC1, Floating Rate Note, 1/25/36 0.6116 01/25/2036 1,567,646 56,108
Becton Dickinson and Co., 1.45%, 5/15/17 1.45 05/15/2017 750,000 748,221
Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/37 0.6716 02/25/2037 4,308,000 122,771
Sumitomo Mitsui Trust Bank, Ltd., Floating Rate Note, 9/16/16 (144A) 1.3058 09/16/2016 500,000 499,882
Leaf Receivables Funding 8 LLC, 2.67%, 9/15/20 (144A) 2.67 09/15/2020 311,966 312,854
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/37 0.9916 09/25/2037 679,000 67,820
Invitation Homes 2014-SFR2 Trust, Floating Rate Note, 9/18/31 (144A) 1.931 09/18/2031 600,000 588,432
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-C, Floating Rate Note, 6/25/28 1.5275 06/25/2028 9,455,006 270,203
Citigroup Commercial Mortgage Trust 2015-SSHP REMICS, Floating Rate Note, 9/15/27 (144A) 2.4305 09/15/2027 1,250,000 1,252,738
Irwin Whole Loan Home Equity Trust 2003-C, Floating Rate Note, 6/25/28 3.4216 06/25/2028 1,923,500 94,822
Galileo Re, Ltd., Floating Rate Note, 1/9/19 (Cat Bond) (144A) 7.408 01/09/2017 500,000 512,133
Citigroup, Inc., Floating Rate Note, 7/25/16 1.2799 07/25/2016 750,000 752,843
Morgan Stanley Mortgage Loan Trust 2005-6AR, Floating Rate Note, 11/25/35 0.7016 11/25/2035 4,441,000 473,216
Fifth Third Bancorp, Floating Rate Note, 12/20/16 0.9895 12/20/2016 1,440,000 1,434,801
Selene Non-Performing Loans LLC, 2.9814%, 5/25/54 (Step) (144A) 2.9814 05/25/2054 1,020,000 676,689
Federal National Mortgage Association REMICS, Floating Rate Note, 10/25/36 0.8216 10/25/2036 11,844,000 349,164
LCM X LP, Floating Rate Note, 4/15/22 (144A) 1.5805 04/15/2022 500,000 441,634
Micro Focus Us Inc 1st Lien Tl-B L + 4.25% 07oct21 5.25 10/07/2021 350,941 347,783
Welk Resorts 2013-A LLC, 3.1%, 3/15/29 (144A) 3.1 03/15/2029 750,000 436,375
Fannie Mae, Floating Rate Note, 1/1/25 2.672 01/01/2025 7,000,000 51,569
BHP Billiton Finance USA, Ltd., Floating Rate Note, 9/30/16 0.8531 09/30/2016 500,000 498,509
Alamo Re, Ltd., Floating Rate Note, 6/7/17 (Cat Bond) (144A) 6.63 06/07/2017 250,000 255,594
Metropolitan Life Global Funding I, Floating Rate Note, 7/15/16 (144A) 0.8505 07/15/2016 300,000 301,011
JP Morgan Chase Commercial Mortgage Securities Trust 2010-C2, 3.6159%, 11/15/43 (144A) 3.6159 11/15/2043 1,200,000 1,230,181
Nomura Asset Acceptance Corp Alternative Loan Trust Series 2003-A3, 5.5%, 8/25/33 (Step) 5.5 08/25/2033 3,120,000 155,316
Government National Mortgage Association I, 6.0%, 12/15/31 6.0 12/15/2031 1,500,000 61,225
Banc of America Alternative Loan Trust 2003-10, Floating Rate Note, 12/25/33 0.8716 12/25/2033 2,600,000 34,121
Wells Fargo Mortgage Backed Securities 2005-4 Trust, Floating Rate Note, 4/25/35 1.0216 04/25/2035 7,173,466 136,358
Bank of America Corp., Floating Rate Note, 8/25/17 1.0032 08/25/2017 408,000 407,809
Freddie Mac Structured Agency Credit Risk Debt Notes, Floating Rate Note, 2/25/24 1.221 02/25/2024 485,000 364,807
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 10/15/37 0.9105 10/15/2037 3,873,000 200,926
CeramTec Service GmbH, Initial Dollar Term B-1 Loan, 8/30/20 4.25 08/30/2020 198,111 196,955
CHS, Incremental 2021 Term H Loan, 1/27/21 4.0 01/27/2021 170,312 167,598
Morgan Stanley Capital I Trust 2007-HQ13, 5.569%, 12/15/44 5.569 12/15/2044 500,000 473,976
Progreso Receivables Funding LLC, 3.0%, 7/8/20 (144A) 3.0 07/08/2020 350,000 346,657
Sumitomo Mitsui Banking Corp., Floating Rate Note, 1/10/17 0.7506 01/10/2017 750,000 749,084
Sierra Timeshare 2013-1 Receivables Funding LLC, 2.39%, 11/20/29 (144A) 2.39 11/20/2029 500,000 114,846
Home Equity Mortgage Trust, 5.821%, 4/25/35 (Step) 5.821 04/25/2035 1,000,000 207,048
Crown Castle 1st Lien Term-B2 L + 2.5% 31jan21 3.0 01/31/2021 345,592 343,432
CarMax Auto Owner Trust 2013-3, 2.15%, 5/15/19 2.15 05/15/2019 540,000 541,974
Daimler Finance North America LLC, Floating Rate Note, 8/1/17 (144A) 0.6689 08/01/2017 617,000 613,401
Sequoia Mortgage Trust 2005-1, Floating Rate Note, 2/20/35 0.9557 02/20/2035 8,223,000 572,054
Resi Flt% 12dec45 A1 1.202 12/12/2045 500,000 341,167
Fannie Mae, Floating Rate Note, 11/1/24 2.674 11/01/2024 7,000,000 82,808
Navitas Equipment Receivables LLC 2015-1, 3.4%, 11/15/18 (144A) 3.4 11/15/2018 500,000 498,509
Becton Dickinson and Co., 1.8%, 12/15/17 1.8 12/15/2017 750,000 749,510
Ford Motor Credit Co LLC, Floating Rate Note, 3/27/17 1.2331 03/27/2017 500,000 493,407
PNC Bank NA, Floating Rate Note, 1/28/16 0.6332 01/28/2016 500,000 500,528
Structured Asset Securities Corp Mortgage Pass Through Ctfs Series 2003-35, Floating Rate Note, 12/2 0.9216 12/25/2033 5,293,000 182,462
Ameriquest Mortgage Securities Inc Asset Backed Pass-Through Ctfs Ser 2005-R11, Floating Rate Note, 0.7516 01/25/2036 962,222 474,902
Verizon Communications, Inc., Floating Rate Note, 9/15/16 2.042 09/15/2016 1,780,000 1,792,615
AmeriCredit Automobile Receivables Trust 2013-4, 3.31%, 10/8/19 3.31 10/08/2019 550,000 560,176
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 8/15/35 0.5805 08/15/2035 462,000 72,748
Ford Credit Auto Owner Trust 2013-D, 1.54%, 3/15/19 1.54 03/15/2019 100,000 99,683
Federal National Mortgage Association REMICS, Floating Rate Note, 7/25/38 1.3216 07/25/2038 6,812,000 329,014
Federal Home Loan Mortgage Corp., Floating Rate Note, 11/15/36 0.6505 11/15/2036 2,046,908 77,771
Home Equity Asset Trust 2006-4, Floating Rate Note, 8/25/36 0.5916 08/25/2036 253,896 39,698
Federal National Mortgage Association, 3.0%, 6/25/39 3.0 06/25/2039 5,000,000 333,639
Federal Home Loan Mortgage Corp., Floating Rate Note, 1/15/33 0.8305 01/15/2033 40,000,000 1,314,466
Federal National Mortgage Association REMICS, Floating Rate Note, 6/25/37 0.6716 06/25/2037 1,010,000 78,395
FREMF Mortgage Trust 2014-KF04 REMICS, Floating Rate Note, 6/25/21 (144A) 3.6716 06/25/2021 1,850,000 1,339,215
The Huntington National Bank, Floating Rate Note, 4/24/17 0.7449 04/24/2017 500,000 498,188
NCF Dealer Floorplan Master Trust, Floating Rate Note, 10/20/20 (144A) 1.7068 10/20/2020 750,000 750,471
RAIT 2014-FL2 Trust, Floating Rate Note, 5/15/31 (144A) 2.3938 05/15/2031 1,500,000 1,469,373
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/36 0.7216 03/25/2036 11,585,646 1,045,088
Credit Suisse First Boston Mortgage Securities Corp., 5.5%, 6/25/33 5.5 06/25/2033 200,000 32,683
Mastr Asset Backed Securities Trust 2005-WMC1, Floating Rate Note, 3/25/35 1.0966 03/25/2035 215,000 11,268
Federal Home Loan Mortgage Corp., Floating Rate Note, 12/1/31 2.408 12/01/2031 49,986,196 255,253
GSAMP Trust 2006-SEA1, Floating Rate Note, 5/25/36 (144A) 0.7216 05/25/2036 5,518,315 216,833
U.S. Treasury Notes, 0.875%, 1/15/18 0.875 01/15/2018 2,500,000 2,498,778
Citigroup Mortgage Loan Trust 2006-SHL1, Floating Rate Note, 11/27/45 (144A) 0.6216 11/27/2045 4,965,000 358,348
Soundview Home Loan Trust 2005-OPT4, Floating Rate Note, 12/25/35 0.6816 12/25/2035 815,490 165,052
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/30 0.6305 02/15/2030 586,107 199,091
Queen Street VII Re, Ltd., Floating Rate Note, 4/8/16 (Cat Bond) (144A) 8.765 04/08/2016 500,000 503,614
Fannie Mae, 3.0%, 10/1/27 3.0 10/01/2027 2,000,000 1,095,514
Sector Re V, Ltd., 0.0%, 3/30/19 (Cat Bond) (144A) 0.0 03/30/2019 516 5,287
Intel Corp., 1.35%, 12/15/17 1.35 12/15/2017 700,000 701,351
Banc of America Mortgage 2003-H Trust, Floating Rate Note, 9/25/33 2.8739 09/25/2033 13,410,000 948,250
Federal National Mortgage Association, 2.0%, 8/1/23 2.0 08/01/2023 2,390,000 1,612,548
Bear Stearns Asset Backed Securities Trust 2006-SD2, Floating Rate Note, 6/25/36 0.9116 06/25/2036 412,000 152,189
Origen Manufactured Housing Contract Trust 2004-B, Floating Rate Note, 11/15/35 5.46 11/15/2035 460,000 308,920
Syniverse Holdings, Inc., Tranche B Term Loan, 4/23/19 4.0 04/23/2019 925,000 686,813
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 8/15/36 0.5805 08/15/2036 5,044,000 187,664
Kane Sac, Ltd., 0.0%, 1/7/16 (Cat Bond) 0.0 01/07/2016 444,667 499,983
CDW LLC, Term Loan, 4/29/20 3.25 04/29/2020 398,975 390,164
JP Morgan Chase Commercial Mortgage Securities Trust 2006-FL2, Floating Rate Note, 11/15/18 (144A) 0.6905 11/15/2018 550,000 181,851
Milacron Llc 1st Lien Tl-B L + 3.5% 28sep20 4.5 09/28/2020 326,836 324,180
JP Morgan Chase Commercial Mortgage Securities Trust 2014-INN, Floating Rate Note, 6/15/29 (144A) 1.2505 06/15/2029 900,000 895,769
Fly Funding II Sarl, Loan, 8/8/18 3.5 08/08/2018 360,000 357,356
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/32 1.3305 02/15/2032 15,205,000 197,041
IndyMac INDX Mortgage Loan Trust 2004-AR6, Floating Rate Note, 10/25/34 2.7781 10/25/2034 675,000 62,359
Government National Mortgage Association, Floating Rate Note, 8/20/40 0.7021 08/20/2040 1,000,000 405,952
Nomura Resecuritization Trust 2014-1R, Floating Rate Note, 10/26/36 (144A) 0.347 10/26/2036 700,000 381,563
Kindred Healthcare, Inc., New Term Loan, 4/10/21 4.25 04/10/2021 272,927 263,375
Electricite de France SA, Floating Rate Note, 1/20/17 (144A) 0.7772 01/20/2017 750,000 750,000
Impac Secured Assets Trust 2006-2, Floating Rate Note, 8/25/36 0.7716 08/25/2036 1,723,000 259,462
A10 Securitization 2013-1 LLC, 2.4%, 11/17/25 (144A) 2.4 11/17/2025 642,000 125,941
Freddie Mac Strips, Floating Rate Note, 8/15/36 0.6305 08/15/2036 6,894,664 248,467
JP Morgan Chase Commercial Mortgage Securities Trust 2014-FBLU, Floating Rate Note, 12/15/28 (144A) 2.3305 12/15/2028 945,000 946,110
Federal Home Loan Mortgage Corp., Floating Rate Note, 10/1/31 2.732 10/01/2031 19,044,336 324,514
Bear Stearns Asset Backed Securities I Trust 2005-FR1, Floating Rate Note, 6/25/35 0.9216 06/25/2035 1,526,722 368,234
Federal National Mortgage Association, 3.5%, 3/25/28 3.5 03/25/2028 5,344,102 67,036
Kane Sac, Ltd., 0.0%, 1/7/16 (Cat Bond) 0.0 01/07/2016 210,250 250,008
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 1/15/36 0.6305 01/15/2036 400,312 59,411
Federal National Mortgage Association REMICS, Floating Rate Note, 8/25/40 0.7216 08/25/2040 692,000 227,653
Fannie Mae, 6.5%, 7/1/32 6.5 07/01/2032 723,471 6,595
TransCanada PipeLines, Ltd., 1.875%, 1/12/18 1.875 01/12/2018 375,000 376,820
BBCMS Trust 2014-BXO REMICS, Floating Rate Note, 8/16/27 (144A) 1.9305 08/16/2027 1,100,000 528,391
Fannie Mae Trust 2005-W4, Floating Rate Note, 6/25/45 2.3457 06/25/2045 1,600,000 214,366
Residential Asset Securitization Trust 2003-A2, Floating Rate Note, 5/25/33 0.8216 05/25/2033 34,300,000 1,030,196
Aecom Technology Corp 1st Lien Tl-B L + 3% 17sep21 3.75 09/17/2021 233,293 233,556
Wachovia Corp., Floating Rate Note, 6/15/17 0.782 06/15/2017 1,077,000 1,074,098
Morgan Stanley Mortgage Loan Trust 2005-6AR, Floating Rate Note, 11/25/35 0.6916 11/25/2035 3,786,000 225,163
UnitedHealth Group, Inc., 1.875%, 11/15/16 1.875 11/15/2016 500,000 505,212
Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/37 0.6216 02/25/2037 1,940,000 147,975
Federal National Mortgage Association REMICS, 4.0%, 5/25/29 4.0 05/25/2029 2,000,000 92,671
JPMorgan Chase & Co., Floating Rate Note, 2/25/21 2.171 02/25/2021 500,000 510,172
GS Mortgage Securities Trust 2014-GSFL, Floating Rate Note, 7/15/31 (144A) 2.0805 07/15/2031 495,000 493,324
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 10/15/20 0.5305 10/15/2020 9,083,556 69,763
Federal National Mortgage Association REMICS, Floating Rate Note, 5/18/32 0.86 05/18/2032 31,809,000 524,513
Boardwalk Pipelines LP, 5.5%, 2/1/17 5.5 02/01/2017 700,000 725,304
Federal National Mortgage Association, 3.0%, 12/1/21 3.0 12/01/2021 2,000,000 667,676
Sierra Timeshare 2012-2 Receivables Funding LLC, 2.38%, 3/20/29 (144A) 2.38 03/20/2029 1,500,000 257,215
LB-UBS Commercial Mortgage Trust 2004-C1, 4.568%, 1/15/31 4.568 01/15/2031 275,000 17,197
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/33 0.7305 02/15/2033 20,000,000 231,235
SASCO Mortgage Loan Trust 2005-GEL2, Floating Rate Note, 4/25/35 0.9816 04/25/2035 8,945,588 46,256
RAAC Series 2004-SP2 Trust, 6.0%, 1/25/32 6.0 01/25/2032 11,000,000 332,285
Orange Lake Timeshare Trust 2012-A, 4.87%, 3/10/27 (144A) 4.87 03/10/2027 600,000 200,683
Branch Banking & Trust Co., 1.45%, 10/3/16 1.45 10/03/2016 1,370,000 1,379,876
Thornburg Mortgage Securities Trust 2003-3, Floating Rate Note, 6/25/43 2.2538 06/25/2043 3,857,000 102,005
Springleaf Funding Trust 2014-A, 2.41%, 12/15/22 (144A) 2.41 12/15/2022 1,000,000 998,231
Freddie Mac, 5.5%, 12/15/22 5.5 12/15/2022 600,000 469,173
Federal Home Loan Mortgage Corp., 5.0%, 12/1/39 5.0 12/01/2039 265,000 88,397
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 7/15/23 0.7305 07/15/2023 835,000 133,704
Volkswagen International Finance NV, 1.125%, 11/18/16 (144A) 1.125 11/18/2016 750,000 741,934
Fannie Mae, 2.0%, 11/1/23 2.0 11/01/2023 2,236,000 1,516,774
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-C, Floating Rate Note, 7/25/29 0.9816 07/25/2029 11,317,000 448,022
WaMu Mortgage Pass-Through Certificates Series 2003-S10, 5.0%, 10/25/18 5.0 10/25/2018 17,361,049 357,909
Enterprise Products Operating LLC, 1.65%, 5/7/18 1.65 05/07/2018 750,000 733,518
Wachovia Bank Commercial Mortgage Trust Series 2006-C24, Floating Rate Note, 3/15/45 5.658 03/15/2045 272,000 272,696
COMM 2014-TWC Mortgage Trust, Floating Rate Note, 2/13/32 (144A) 1.917 02/13/2032 1,850,000 1,837,745
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/36 0.7716 09/25/2036 1,275,000 130,658
Avago Technologies Ltd 1st Lien Tl-B L + 3% 16apr21 3.75 04/16/2021 338,127 337,915
Micron Semiconductor Asia Pte, Ltd., 1.258%, 1/15/19 1.258 01/15/2019 500,000 350,070
The Home Depot, Inc., Floating Rate Note, 9/15/17 0.882 09/15/2017 750,000 751,417
Irwin Home Equity Loan Trust 2005-1, 5.82%, 6/25/35 (Step) 5.82 06/25/2035 900,000 39,192
Federal Home Loan Mortgage Corp., 6.0%, 1/15/28 6.0 01/15/2028 5,000,000 255,700
CPS Auto Receivables Trust 2013-B, 1.82%, 9/15/20 (144A) 1.82 09/15/2020 192,000 59,920
Federal National Mortgage Association REMICS, Floating Rate Note, 11/25/36 0.7816 11/25/2036 2,248,000 252,619
US Residential Opportunity Fund III Trust 2015-1, 3.7213%, 1/29/35 (144A) 3.7213 01/29/2035 700,000 519,332
Kane Ilw Zero% 02feb16 0.0 02/02/2016 250,000 250,000
GSAA Trust, Floating Rate Note, 6/25/35 1.2166 06/25/2035 1,900,000 171,677
United States Treasury Floating Rate Note, Floating Rate Note, 10/31/17 0.4282 10/31/2017 10,000,000 9,994,106
Oracle Corp., Floating Rate Note, 7/7/17 0.5232 07/07/2017 575,000 575,278
Impac CMB Trust Series 2004-4, Floating Rate Note, 9/25/34 1.0616 09/25/2034 32,445,000 1,169,039
Toyota Motor Credit Corp., 1.125%, 5/16/17 1.125 05/16/2017 750,000 749,794
Zero% 31aug16 0.0 08/31/2016 100,000 108,880
Fannie Mae Connecticut Avenue Securities, Floating Rate Note, 7/25/24 1.6216 07/25/2024 1,540,000 942,207
Lehman ABS Manufactured Housing Contract Trust 2002-A, Floating Rate Note, 6/15/33 0.7805 06/15/2033 19,804,000 619,695
Barclays Dryrock Issuance Trust, Floating Rate Note, 3/16/20 0.6705 03/16/2020 500,000 499,363
BBCMS Trust 2015-SLP, Floating Rate Note, 2/15/28 (144A) 2.3305 02/15/2028 750,000 740,431
Homestar Mortgage Acceptance Corp., Floating Rate Note, 1/25/35 1.3416 01/25/2035 3,700,000 99,747
CDGJ Commercial Mortgage Trust 2014-BXCH, Floating Rate Note, 12/15/27 (144A) 2.8305 12/15/2027 1,340,000 1,325,823
Fannie Mae, 6.0%, 10/1/22 6.0 10/01/2022 1,473,454 283,630
Government National Mortgage Association, Floating Rate Note, 2/20/38 0.9021 02/20/2038 2,477,000 165,738
Nissan Motor Acceptance Corp., Floating Rate Note, 3/3/17 (144A) 0.9722 03/03/2017 500,000 499,115
Abbey National Treasury Services Plc, Floating Rate Note, 9/29/17 1.0131 09/29/2017 750,000 743,776
The Bank of Tokyo-Mitsubishi UFJ, Ltd., Floating Rate Note, 9/8/17 (144A) 0.772 09/08/2017 500,000 496,879
Government National Mortgage Association II, 6.0%, 10/20/21 6.0 10/20/2021 3,113,223 225,304
Skopos Auto Receivables Trust 2015-2, 3.55%, 2/17/20 (144A) 3.55 02/17/2020 500,000 485,765
Bear Stearns ALT-A Trust 2004-12, Floating Rate Note, 1/25/35 1.1216 01/25/2035 9,210,000 845,165
Aegis Asset Backed Securities Trust Mortgage Pass-Through Ctfs Ser 2005-4, Floating Rate Note, 10/25 0.7916 10/25/2035 239,000 85,698
Atlas Reinsurance VII, Ltd., Floating Rate Note, 1/7/16 (Cat Bond) (144A) 8.3271 01/07/2016 250,000 255,033
Scientific Games International, Inc., Initial Term B-2 Loan, 9/17/21 6.0 09/17/2021 915,750 839,056
FCA US LLC, Tranche B Term Loan, 12/29/18 3.25 12/29/2018 591,000 586,641
Entercom Radio LLC, Term B-2 Loan, 11/23/18 4.0 11/23/2018 464,593 462,270
Structured Asset Mortgage Investments Trust 2002-AR5, Floating Rate Note, 5/19/33 1.3021 05/19/2033 7,644,000 330,785
Ally Financial, Inc., 3.6%, 5/21/18 3.6 05/21/2018 500,000 502,000
Opteum Mortgage Acceptance Corp Trust 2005-4, Floating Rate Note, 11/25/35 0.8116 11/25/2035 7,136,000 1,077,724
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-H, Floating Rate Note, 1/25/29 1.0616 01/25/2029 6,910,000 330,508
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 3/15/32 1.3305 03/15/2032 35,466,000 240,628
EQTY 2014-INNS Mortgage Trust REMICS, Floating Rate Note, 5/8/31 (144A) 1.876 05/08/2031 540,000 530,509
Fannie Mae, 4.5%, 5/1/39 4.5 05/01/2039 1,350,000 414,788
Federal National Mortgage Association, Floating Rate Note, 6/25/32 0.9216 06/25/2032 21,270,000 480,755
Massachusetts Port Authority, 5.0%, 7/1/16 5.0 07/01/2016 475,000 497,292
Alterna Funding I LLC, 1.639%, 2/15/21 (144A) 1.639 02/15/2021 400,000 211,194
ConocoPhillips Co., 1.05%, 12/15/17 1.05 12/15/2017 1,000,000 982,338
First Franklin Mortgage Loan Trust 2005-FFH3, Floating Rate Note, 9/25/35 0.9316 09/25/2035 1,100,000 295,249
American Credit Acceptance Receivables Trust 2014-3, 0.99%, 8/10/18 (144A) 0.99 08/10/2018 410,000 53,866
Fannie Mae, Floating Rate Note, 7/1/36 2.526 07/01/2036 500,000 49,279
Party City Holdings Inc 1st Lien Tl-B L + 3.25% 06aug22 4.25 08/06/2022 498,750 485,502
Equity One Mortgage Pass-Through Trust 2004-2, Floating Rate Note, 7/25/34 4.624 07/25/2034 1,925,000 494,050
Federal Home Loan Mortgage Corp. REMICS, 3.5%, 6/15/28 3.5 06/15/2028 1,119,000 28,321
JP Morgan Chase Commercial Mortgage Securities Trust 2014-INN, Floating Rate Note, 6/15/29 (144A) 2.0305 06/15/2029 650,000 643,618
DELOS FINANCE SARL, Loan, 2/27/21 3.5 03/06/2021 425,000 423,991
GCAT 2015-1 LLC, 3.625%, 5/26/20 (Step) (144A) 3.625 05/26/2020 300,000 230,646
Citrus Re, Ltd., Floating Rate Note, 4/18/17 (Cat Bond) (144A) 4.4651 04/18/2017 250,000 251,579
FREMF Mortgage Trust 2014-KF05 REMICS, Floating Rate Note, 9/25/21 (144A) 4.243 09/25/2021 700,000 665,073
GLC Trust 2013-1, 3.0%, 7/15/21 (144A) 3.0 07/15/2021 1,000,000 416,937
Government National Mortgage Association, 3.5%, 8/20/38 3.5 08/20/2038 1,115,000 213,049
Irwin Whole Loan Home Equity Trust 2003-C, Floating Rate Note, 6/25/28 1.9216 06/25/2028 2,350,000 371,861
Fannie Mae, 3.0%, 5/1/21 3.0 05/01/2021 2,775,000 746,694
Hilton Worldwide Finance LLC, Initial Term Loan, 9/23/20 3.5 09/23/2020 322,434 322,152
Carrington Mortgage Loan Trust Series 2006-OPT1, Floating Rate Note, 12/25/35 0.6016 12/25/2035 5,047,000 775,973
Wesco Aircraft Hardware Corp., Tranche B Term Loan, 2/24/21 3.25 02/24/2021 792,604 762,882
Ascentium Equipment Receivables 2014-1 LLC, 3.1%, 6/10/21 (144A) 3.1 06/10/2021 700,000 706,961
Freddie Mac, 3.5%, 10/15/28 3.5 10/15/2028 8,520,000 1,127,472
Asset Backed Securities Corp Home Equity Loan Trust Series AEG 2006-HE1, Floating Rate Note, 1/25/36 0.6216 01/25/2036 311,384 42,721
LB-UBS Commercial Mortgage Trust 2006-C4, Floating Rate Note, 6/15/38 6.0362 06/15/2038 500,000 508,474
CNH Equipment Trust 2013-A, 0.69%, 6/15/18 0.69 06/15/2018 450,000 139,109
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 9/15/33 0.7805 09/15/2033 2,647,000 108,924
Wachovia Bank Commercial Mortgage Trust Series 2006-C25, Floating Rate Note, 5/15/43 5.9035 05/15/2043 500,000 504,690
CeramTec Acquisition Corp., Initial Dollar Term B-2 Loan, 8/30/20 4.25 08/30/2020 20,639 20,519
Credit Suisse Commercial Mortgage Trust Series 2007-C1, 5.361%, 2/15/40 5.361 02/15/2040 1,300,000 902,234
Structured Asset Securities Corp Mor Cer Ser 2003-31A, Floating Rate Note, 10/25/33 2.5874 10/25/2033 1,500,000 118,385
Wells Fargo & Co., Floating Rate Note, 4/23/18 0.9464 04/23/2018 575,000 575,708
Fannie Mae, 6.0%, 4/1/38 6.0 04/01/2038 483,000 30,915
CPS Auto Receivables Trust 2014-A, 1.21%, 8/15/18 1.21 08/15/2018 200,000 63,972
Atlas IX Capital, Ltd., Floating Rate Note, 1/17/19 (Cat Bond) (144A) 3.5155 01/17/2019 500,000 513,493
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-A, Floating Rate Note, 3/25/28 1.3498 03/25/2028 10,213,000 261,347
MortgageIT Trust 2004-1, Floating Rate Note, 11/25/34 1.2016 11/25/2034 4,767,000 506,292
Home Equity Asset Trust 2006-8, Floating Rate Note, 3/25/37 0.5316 03/25/2037 1,394,318 228,604
Drug Royalty II LP 2, Floating Rate Note, 7/15/23 (144A) 3.1705 07/15/2023 700,000 573,064
Morgan Stanley Capital I Trust 2015-XLF2, Floating Rate Note, 8/15/26 (144A) 2.947 08/15/2026 600,000 599,545
Ford Motor Credit Co LLC, 1.724%, 12/6/17 1.724 12/06/2017 700,000 690,056
Westgate Resorts 2014-1 LLC, 2.15%, 12/20/26 (144A) 2.15 12/20/2026 1,000,000 651,330
SNAAC Auto Receivables Trust 2013-1, 4.56%, 4/15/20 (144A) 4.56