Pioneer Investments: Pioneer Short Term Income Fund


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Pioneer Short Term Income Fund

Monthly Portfolio Holdings as of 5/29/2015

Security Name Coupon Maturity Date Par / Shares Market Value($)
National City Bank Cleveland Ohio, Floating Rate Note, 12/15/16 0.6206 12/15/2016 250,000 249,610
New York Life Global Funding, 1.45%, 12/15/17 (144A) 1.45 12/15/2017 750,000 758,855
Federal Home Loan Mortgage Corp., Floating Rate Note, 4/1/29 2.618 04/01/2029 160,000 2,017
Chase Issuance Trust, 0.59%, 8/15/17 0.59 08/15/2017 300,000 300,132
Federal National Mortgage Association REMICS, Floating Rate Note, 6/25/37 0.4248 06/25/2037 2,134,162 243,967
GSRPM Mortgage Loan Trust 2006-2, Floating Rate Note, 9/25/36 (144A) 0.4813 09/25/2036 1,226,000 148,553
KeyCorp, 3.75%, 8/13/15 3.75 08/13/2015 931,000 947,054
American Electric Power Co, Inc., 1.65%, 12/15/17 1.65 12/15/2017 500,000 504,906
ML-CFC Commercial Mortgage Trust 2006-1, Floating Rate Note, 2/12/39 5.4654 02/12/2039 1,600,000 1,470,046
Capella Healthcare Inc 1st Lien Tl-B L + 4.25% 31dec21 5.25 12/31/2021 104,738 105,523
AXIS Equipment Finance Receivables II LLC, 4.94%, 7/20/18 (144A) 4.94 07/20/2018 700,000 719,687
Federal National Mortgage Association, 3.0%, 12/1/21 3.0 12/01/2021 2,000,000 817,664
Del Coronado Trust 2013-DEL, Floating Rate Note, 3/16/26 (144A) 2.136 03/16/2026 399,000 398,966
ConocoPhillips Co., 1.05%, 12/15/17 1.05 12/15/2017 1,000,000 1,000,660
First Horizon Mortgage Pass-Through Trust 2004-AR5, Floating Rate Note, 10/25/34 2.5508 10/25/2034 940,000 49,062
Credit Acceptance Auto Loan Trust 2012-2, 1.52%, 3/16/20 (144A) 1.52 03/16/2020 400,000 68,999
Federal National Mortgage Association, 4.0%, 10/1/20 4.0 10/01/2020 4,317,004 1,074,346
The Toronto-Dominion Bank, Floating Rate Note, 5/2/17 0.5188 05/02/2017 500,000 500,438
Bank of America Corp., Floating Rate Note, 8/25/17 0.892 08/25/2017 408,000 408,112
Terwin Mortgage Trust Series TMTS 2005-14HE, 4.8492%, 8/25/36 (Step) 4.8492 08/25/2036 630,000 120,641
Sequoia Mortgage Trust 2005-1, Floating Rate Note, 2/20/35 0.6064 02/20/2035 8,223,000 698,837
BAMLL Commercial Mortgage Securities Trust 2014-FL1, Floating Rate Note, 12/17/31 (144A) 2.1605 12/17/2031 800,000 803,258
Federal Home Loan Mortgage Corp., Floating Rate Note, 5/1/25 2.169 05/01/2025 588,110 5,574
Enterprise Products Operating LLC, 1.65%, 5/7/18 1.65 05/07/2018 750,000 751,740
RBSSP Resecuritization Trust 2009-5, Floating Rate Note, 8/25/37 (144A) 0.6738 08/25/2037 2,550,000 770,528
Federal National Mortgage Association REMICS, Floating Rate Note, 11/25/39 0.8848 11/25/2039 2,750,000 426,206
Government National Mortgage Association, 5.0%, 4/20/36 5.0 04/20/2036 850,000 88,528
Trade MAPS 1, Ltd., Floating Rate Note, 12/10/18 (144A) 1.4315 12/10/2018 250,000 250,378
Credit Suisse Mortgage Capital Certificates, Floating Rate Note, 3/15/28 (144A) 2.436 03/15/2028 400,000 400,466
Tronox Pigments Holland BV, New Term Loan, 3/19/20 4.25 03/19/2020 448,858 451,074
Westgate Resorts LLC, 9.5%, 2/20/25 (144A) 9.5 02/20/2025 1,800,000 458,502
Kinetic Concepts, Inc., Dollar Term E-1 Loan, 5/4/18 4.5 05/04/2018 748,106 754,496
Mediacom Illinois LLC, Tranche F Term Loan, 3/31/18 2.65 03/31/2018 396,000 395,670
Sumitomo Mitsui Banking Corp., Floating Rate Note, 7/19/16 0.9451 07/19/2016 300,000 301,329
Direct Capital Funding V LLC, 1.673%, 12/20/17 (144A) 1.673 12/20/2017 175,000 6,447
Citrus Re, Ltd., Floating Rate Note, 4/24/17 (Cat Bond) (144A) 3.7601 04/24/2017 600,000 588,113
The Toronto-Dominion Bank, 1.4%, 4/30/18 1.4 04/30/2018 500,000 500,643
Asset Backed Securities Corp Home Equity Loan Trust Series 2004-HE6, Floating Rate Note, 9/25/34 0.9048 09/25/2034 7,075,000 460,000
CDC Mortgage Capital Trust 2002-HE1, Floating Rate Note, 1/25/33 0.8048 01/25/2033 19,484,513 343,814
AmeriCredit Automobile Receivables Trust 2013-1, 1.57%, 1/8/19 1.57 01/08/2019 150,000 150,340
Oracle Corp., Floating Rate Note, 7/7/17 0.4708 07/07/2017 575,000 576,463
Federal National Mortgage Association, 2.5%, 4/25/36 2.5 04/25/2036 635,000 187,035
American Express Credit Corp., 1.3%, 7/29/16 1.3 07/29/2016 500,000 504,852
CGBAM Commercial Mortgage Trust 2014-HD, Floating Rate Note, 2/18/31 (144A) 1.386 02/18/2031 310,000 309,687
Bank of America NA, 1.25%, 2/14/17 1.25 02/14/2017 500,000 502,374
Silverton RE, Ltd., 0.0%, 9/16/16 (Cat Bond) (144A) 0.0 09/16/2016 250,000 9,750
Canadian Natural Resources, Ltd., Floating Rate Note, 3/30/16 0.6481 03/30/2016 277,000 276,901
Federal National Mortgage Association REMICS, Floating Rate Note, 5/25/37 0.5848 05/25/2037 6,826,000 218,778
MASTR Alternative Loan Trust 2005-1, Floating Rate Note, 2/25/35 0.5348 02/25/2035 6,760,000 484,412
John Deere Capital Corp., Floating Rate Note, 10/11/16 0.5659 10/11/2016 1,090,000 1,093,306
Federal National Mortgage Association, 3.5%, 3/25/28 3.5 03/25/2028 2,344,102 137,104
Daimler Finance North America LLC, Floating Rate Note, 8/1/17 (144A) 0.6182 08/01/2017 617,000 616,198
JPMorgan Chase & Co., Floating Rate Note, 2/15/17 0.7939 02/15/2017 500,000 501,157
GE Capital Commercial Mortgage Corp., Floating Rate Note, 7/10/45 (144A) 5.3041 07/10/2045 500,000 503,565
Federal National Mortgage Association REMICS, Floating Rate Note, 5/25/36 0.5348 05/25/2036 6,641,000 175,894
Tar Heel Re, Ltd., Floating Rate Note, 5/9/16 (Cat Bond) (144A) 8.5125 05/09/2016 250,000 260,059
WESCO Distribution, Inc., Tranche B-1 Loan, 12/12/19 3.75 12/12/2019 61,163 61,392
WireCo WorldGroup, Inc., Term Loan, 2/15/17 6.0 02/15/2017 417,058 418,622
Verizon Communications, Inc., 0.7%, 11/2/15 0.7 11/02/2015 935,000 935,486
General Electric Capital Corp., Floating Rate Note, 7/12/16 0.9259 07/12/2016 296,000 298,482
RALI Series 2002-QS16 Trust, Floating Rate Note, 10/25/17 0.7348 10/25/2017 11,475,000 145,411
Aegis Asset Backed Securities Trust Mortgage Pass- Through Ctfs Series 2004-3, Floating Rate Note, 9 1.2848 09/25/2034 881,754 127,050
Selene Non-Performing Loans LLC, 2.9814%, 5/25/54 (Step) (144A) 2.9814 05/25/2054 1,020,000 876,940
Commonwealth Bank of Australia, Floating Rate Note, 3/13/17 (144A) 0.6299 03/13/2017 650,000 651,245
Government National Mortgage Association, 3.5%, 8/20/38 3.5 08/20/2038 1,115,000 314,298
Federal National Mortgage Association, 4.5%, 10/25/38 4.5 10/25/2038 5,000,000 35,119
Bear Stearns Commercial Mortgage Securities Trust 2006-TOP22, Floating Rate Note, 4/12/38 5.5734 04/12/2038 1,150,000 1,026,956
PNC Bank NA, 1.6%, 6/1/18 1.6 06/01/2018 600,000 601,411
Residential Reinsurance 2012, Ltd., Floating Rate Note, 12/6/16 (Cat Bond) (144A) 4.5051 12/06/2016 1,150,000 1,177,226
Longpoint Re, Ltd. III, Floating Rate Note, 5/24/21 (Cat Bond) (144A)   05/24/2021 250,000 249,275
Federal National Mortgage Association REMICS, 5.0%, 9/25/39 5.0 09/25/2039 110,000 13,220
Flagstar Home Equity Loan Trust 2005-1, Floating Rate Note, 6/25/18 (144A) 0.6448 06/25/2018 4,800,000 190,505
CHS, Incremental 2018 Term F Loans, 12/31/18 3.5333 12/31/2018 99,374 99,816
NCF Dealer Floorplan Master Trust, Floating Rate Note, 10/20/20 (144A) 1.6806 10/20/2020 750,000 750,419
Federal Home Loan Mortgage Corp., Floating Rate Note, 4/15/36 0.5356 04/15/2036 4,003,000 578,218
GTP Acquisition Partners I LLC, 2.35%, 6/15/20 (144A) 2.35 06/15/2020 1,000,000 1,003,161
JP Morgan Chase Commercial Mortgage Securities Trust 2014-PHH, Floating Rate Note, 8/16/27 (144A) 1.786 08/16/2027 1,100,000 1,099,776
Texas Instruments, Inc., 0.875%, 3/12/17 0.875 03/12/2017 500,000 501,900
Irwin Whole Loan Home Equity Trust 2005-B, Floating Rate Note, 12/25/29 0.6548 12/25/2029 1,775,000 851,591
Freddie Mac Structured Agency Credit Risk Debt Notes, Floating Rate Note, 10/25/24 1.5848 10/25/2024 700,000 414,415
Banc of America Mortgage 2003-H Trust, Floating Rate Note, 9/25/33 2.7245 09/25/2033 13,410,000 1,027,225
HSBC Bank Middle East, Ltd., 3.0%, 10/21/15 3.0 10/21/2015 750,000 757,150
Government National Mortgage Association, 3.0%, 12/20/38 3.0 12/20/2038 1,000,000 110,004
Westgate Resorts LLC, 2.5%, 3/20/25 (144A) 2.5 03/20/2025 250,000 74,834
PHH Mortgage Capital LLC, 6.0%, 12/25/27 (Step) (144A) 6.0 12/25/2027 3,250,000 121,202
Federal National Mortgage Association, 2.0%, 8/1/23 2.0 08/01/2023 1,465,000 1,121,823
Duke Energy Florida, Inc., 0.65%, 11/15/15 0.65 11/15/2015 695,000 695,803
Banc of America Funding 2003-3 Trust, 5.5%, 10/25/33 5.5 10/25/2033 617,825 102,592
Federal National Mortgage Association, Floating Rate Note, 4/25/35 2.6955 04/25/2035 1,250,000 216,871
Government National Mortgage Association, 5.0%, 9/20/31 5.0 09/20/2031 6,000,000 302,666
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-C REMICS, Floating Rate Note, 6/25/28 0.8448 06/25/2028 10,150,000 444,313
Opteum Mortgage Acceptance Corp Trust 2005-4, Floating Rate Note, 11/25/35 0.4948 11/25/2035 7,189,000 1,256,962
Credit Suisse First Boston Mortgage Securities Corp., 4.877%, 4/15/37 4.877 04/15/2037 500,000 392,994
PNC Bank NA, Floating Rate Note, 1/28/16 0.589 01/28/2016 500,000 500,902
Federal National Mortgage Association, 3.5%, 1/25/24 3.5 01/25/2024 7,225,000 140,457
CeramTec GmbH, Dollar Term B-3 Loan, 8/30/20 4.25 08/30/2020 61,556 61,825
Sensata Technologies 1st Lien L + 2.25% 14oct21   10/14/2021 646,750 649,378
Federal National Mortgage Association, Floating Rate Note, 4/25/33 0.6848 04/25/2033 36,000,000 868,128
CWABS Asset-Backed Certificates Trust 2005-1, Floating Rate Note, 2/25/33 5.147 02/25/2033 244,000 14,238
KeyBank NA Cleveland Ohio, 1.65%, 2/1/18 1.65 02/01/2018 1,000,000 1,008,558
Bayview Financial Asset Trust 2003-A, Floating Rate Note, 2/25/33 (144A) 4.91 02/25/2033 7,852,000 178,057
Ford Motor Credit Co LLC, 1.724%, 12/6/17 1.724 12/06/2017 700,000 704,429
Sequoia Mortgage Trust 2013-8, Floating Rate Note, 6/25/43 2.25 06/25/2043 414,000 320,776
Citigroup Mortgage Loan Trust, Inc., Floating Rate Note, 10/25/35 5.5 10/25/2035 1,471,464 8,681
MUFG Union Bank NA, 2.625%, 9/26/18 2.625 09/26/2018 1,000,000 1,031,401
The Goldman Sachs Group, Inc., Floating Rate Note, 3/22/16 0.7146 03/22/2016 475,000 475,432
Federal Home Loan Mortgage Corp., Floating Rate Note, 11/15/36 0.5056 11/15/2036 2,046,908 93,262
Intel Corp., 1.35%, 12/15/17 1.35 12/15/2017 700,000 708,488
Bayview Financial Mortgage Pass-Through Trust 2006-A, Floating Rate Note, 2/28/41 0.5363 02/28/2041 1,639,000 26,171
CPS Auto Receivables Trust 2013-A, 1.89%, 6/15/20 (144A) 1.89 06/15/2020 690,000 310,039
Impac Secured Assets Trust 2006-1, Floating Rate Note, 5/25/36 0.5348 05/25/2036 1,300,000 403,846
Golden State RE II, Ltd., Floating Rate Note, 1/8/19 (Cat Bond) (144A) 2.22 01/08/2019 750,000 749,850
Government National Mortgage Association, 5.25%, 5/20/31 5.25 05/20/2031 14,313,000 68,312
Federal National Mortgage Association REMICS, Floating Rate Note, 10/25/35 0.4848 10/25/2035 1,878,000 170,972
MRFC Mortgage Pass-Through Trust Series 1999-TBC2 REMICS, Floating Rate Note, 6/15/30 0.6656 06/15/2030 3,714,390 196,347
Government National Mortgage Association II, 6.0%, 10/20/21 6.0 10/20/2021 3,113,223 370,864
Fannie Mae, 4.5%, 5/1/39 4.5 05/01/2039 1,350,000 471,360
Federal National Mortgage Association REMICS, Floating Rate Note, 7/25/35 0.4848 07/25/2035 750,000 151,738
Progress Residential 2014-SFR1 Trust, Floating Rate Note, 10/17/31 (144A) 2.436 10/17/2031 1,000,000 1,007,227
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/32 0.5856 12/15/2032 1,931,288 132,757
The Bear Stearns Companies LLC, Floating Rate Note, 11/21/16 0.671 11/21/2016 1,500,000 1,499,511
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 6/15/41 0.6156 06/15/2041 1,220,000 285,340
Gator Re, Ltd., Floating Rate Note, 1/9/17 (Cat Bond) (144A) 6.7003 01/09/2017 600,000 547,341
Merrill Lynch Mortgage Investors Trust Series 2005-2, Floating Rate Note, 10/25/35 2.35 10/25/2035 1,543,473 352,283
Vantiv LLC, Term B Loan, 6/12/21 3.75 06/12/2021 288,879 290,502
Total Capital International SA, 0.75%, 1/25/16 0.75 01/25/2016 500,000 502,356
Impac CMB Trust Series 2004-6, Floating Rate Note, 10/25/34 0.9848 10/25/2034 2,125,000 102,165
People's Choice Home Loan Securities Trust Series 2005-3, Floating Rate Note, 8/25/35 0.9348 08/25/2035 109,980 4,175
Federal Home Loan Mortgage Corp., Floating Rate Note, 12/1/31 2.408 12/01/2031 49,986,196 262,532
Pfizer, Inc., Floating Rate Note, 5/15/17 0.4239 05/15/2017 750,000 749,912
The Bank of Nova Scotia, 1.1%, 12/13/16 1.1 12/13/2016 500,000 503,640
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 8/15/35 0.4356 08/15/2035 462,000 85,135
Drug Royalty II LP 2, Floating Rate Note, 7/15/23 (144A) 3.1253 07/15/2023 700,000 646,109
Bear Stearns ARM Trust 2003-3, Floating Rate Note, 5/25/33 2.5935 05/25/2033 9,158,341 252,403
Darling Ingredients, Inc., Term B USD Loan, 12/19/20 3.25 12/19/2020 519,750 520,725
Marathon Oil Corp., 0.9%, 11/1/15 0.9 11/01/2015 1,496,000 1,496,637
Morgan Stanley, Floating Rate Note, 1/5/18 1.0108 01/05/2018 750,000 754,266
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 3/15/32 1.1856 03/15/2032 35,466,000 286,793
Soundview Home Loan Trust 2005-3, Floating Rate Note, 6/25/35 0.9648 06/25/2035 600,000 32,954
Ameriquest Mortgage Securities Inc Asset-Backed Pass-Through Ctfs Ser 2005-R9, 4.83954%, 11/25/35 (S 4.8395 11/25/2035 590,000 454,501
Progreso Receivables Funding I LLC, 4.0%, 7/9/18 (144A) 4.0 07/09/2018 1,000,000 1,003,806
MacDermid, Inc., Tranche B Term Loan (First Lien), 6/7/20 4.5 06/07/2020 1,244,934 1,252,714
Health Care Real Estate Investment Trust, Inc., 2.25%, 3/15/18 2.25 03/15/2018 500,000 508,968
Federal National Mortgage Association REMICS, Floating Rate Note, 1/25/34 0.5348 01/25/2034 10,970,000 1,561,667
BB&T Corp., 1.6%, 8/15/17 1.6 08/15/2017 103,000 104,217
SunTrust Banks, Inc., 3.5%, 1/20/17 3.5 01/20/2017 500,000 523,489
Volkswagen International Finance NV, 1.15%, 11/20/15 (144A) 1.15 11/20/2015 750,000 752,671
Citigroup Mortgage Loan Trust 2006-SHL1, Floating Rate Note, 11/27/45 (144A) 0.3848 11/27/2045 4,965,000 439,337
Scientific Games International Inc 1st Lien Tl-B2 L + 5% 17sep21 6.0 09/17/2021 922,688 927,590
Wesco Aircraft Hardware Corp., Tranche B Term Loan, 2/24/21 3.25 02/24/2021 850,938 850,672
Santander Drive Auto Receivables Trust 2012-5, 2.7%, 8/15/18 2.7 08/15/2018 125,000 126,736
RAAC Series 2005-RP1 Trust, Floating Rate Note, 7/25/37 (144A) 1.1348 07/25/2037 583,530 264,342
Nissan Auto Lease Trust 2013-B, Floating Rate Note, 1/15/16 0.4556 01/15/2016 240,000 13,283
Halyard Health Inc 1st Lien Tl-B L + 3.25% 03oct21 4.0 10/03/2021 260,788 263,592
Vericrest Opportunity Loan Transferee 2014-NPL4 LLC, 3.125%, 4/27/54 (Step) (144A) 3.125 04/27/2054 1,700,000 1,085,078
Sector Re V, Ltd., 0.0%, 3/30/19 (Cat Bond) (144A) 0.0 03/30/2019 516 70,038
Federal National Mortgage Association, Floating Rate Note, 8/25/35 0.4848 08/25/2035 2,868,000 318,062
Fannie Mae, 3.0%, 11/1/27 3.0 11/01/2027 2,000,000 1,476,528
JP Morgan Mortgage Trust 2004-A1, Floating Rate Note, 2/25/34 2.49 02/25/2034 3,584,000 311,623
COMM 2013-FL3 Mortgage Trust, Floating Rate Note, 10/13/28 (144A) 1.703 10/13/2028 1,000,000 793,241
Fannie Mae, 6.5%, 4/1/29 6.5 04/01/2029 9,050,000 292,794
Westwood CDO II, Ltd., Floating Rate Note, 4/25/22 (144A) 0.497 04/25/2022 500,000 323,887
Duke Energy Indiana, Inc., Floating Rate Note, 7/11/16 0.6259 07/11/2016 303,000 303,665
LSTAR Securities Investment Trust 2015-5, Floating Rate Note, 4/1/20 (144A) 2.1813 04/01/2020 1,275,000 1,251,730
14112z Zero% 01feb19 0.0 02/01/2019 1,000,000 1,056,700
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/36 0.4856 02/15/2036 1,133,000 186,529
The Toronto-Dominion Bank, Floating Rate Note, 7/2/19 0.7108 07/02/2019 750,000 749,352
GSR Mortgage Loan Trust 2003-9, Floating Rate Note, 8/25/33 2.4489 08/25/2033 4,000,000 245,112
SunTrust Bank, 1.35%, 2/15/17 1.35 02/15/2017 500,000 503,439
RALI Series 2003-QR24 Trust REMICS, 4.0%, 7/25/33 4.0 07/25/2033 950,000 34,206
Ford Motor Credit Co LLC, 2.875%, 10/1/18 2.875 10/01/2018 1,000,000 1,029,169
Merrill Lynch Mortgage Trust 2005-LC1, Floating Rate Note, 1/12/44 5.291 01/12/2044 1,670,000 1,442,791
Navistar, Inc., Tranche B Term Loan, 8/17/17 5.75 08/17/2017 400,000 402,500
Capital One Financial Corp., 1.0%, 11/6/15 1.0 11/06/2015 975,000 977,019
ORES 2014-LV3 LLC, 3.0%, 3/27/24 (144A) 3.0 03/27/2024 550,000 277,675
Northshore Re, Ltd., Floating Rate Note, 7/5/16 (Cat Bond) (144A) 7.2703 07/05/2016 500,000 516,492
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 7/15/36 0.6856 07/15/2036 3,107,000 214,118
CSMC Series 2014-ICE, Floating Rate Note, 4/15/27 (144A) 1.45 04/15/2027 1,950,000 1,943,962
Federal National Mortgage Association, Floating Rate Note, 2/25/23 1.0348 02/25/2023 77,000,000 354,400
Stanwich Mortgage Loan Trust, 2.9814%, 2/16/43 (144A) 2.9814 02/16/2043 1,325,000 132,027
ACIS CLO 2014-4, Ltd., Floating Rate Note, 5/1/26 (144A) 1.2782 05/01/2026 700,000 175,551
Sector Re V, Ltd., 3/1/20 (Cat Bond) (144A) 0.0 03/01/2020 300,000 300,810
Cent CLO 16 LP, 2.52%, 8/1/24 (144A) 2.52 08/01/2024 1,000,000 1,004,191
COMM 2014-KYO Mortgage Trust, Floating Rate Note, 6/11/27 (144A) 1.832 06/11/2027 1,630,000 1,629,036
Branch Banking & Trust Co., Floating Rate Note, 9/13/16 0.5899 09/13/2016 500,000 499,199
The Huntington National Bank, 1.3%, 11/20/16 1.3 11/20/2016 500,000 497,075
Massachusetts Port Authority, 5.0%, 7/1/16 5.0 07/01/2016 475,000 506,955
Government National Mortgage Association, Floating Rate Note, 9/20/33 0.484 09/20/2033 704,000 32,829
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/37 0.5348 03/25/2037 9,250,000 240,857
Barclays Bank Plc, Floating Rate Note, 2/17/17 0.856 02/17/2017 229,000 229,632
US Renal Care, Inc., Tranche B-2 Term Loan (First Lien), 7/3/19 4.25 07/03/2019 647,289 649,312
Federal National Mortgage Association REMICS, Floating Rate Note, 8/25/40 0.4848 08/25/2040 692,000 289,695
First Investors Auto Owner Trust 2013-1, 1.81%, 10/15/18 (144A) 1.81 10/15/2018 55,000 55,265
Conseco Finance Corp., 7.55%, 4/15/32 (Step) 7.55 04/15/2032 2,740,000 117,008
Structured Asset Securities Corp Mortgage Pass-Through Ctfs Ser 2003-24A, Floating Rate Note, 7/25/3 2.4432 07/25/2033 7,700,000 898,447
ANZ New Zealand Int'l, Ltd. London, 1.125%, 3/24/16 (144A) 1.125 03/24/2016 1,000,000 1,006,110
GS Mortgage Securities Trust 2006-GG6 REMICS, Floating Rate Note, 4/10/38 5.553 04/10/2038 1,020,000 1,033,231
Federal Home Loan Mortgage Corp., Floating Rate Note, 7/15/28 0.6856 07/15/2028 52,559,000 336,481
Longpoint Re, Ltd., Floating Rate Note, 6/12/15 (Cat Bond) (144A) 6.015 06/12/2015 900,000 912,360
PNC Bank NA, 0.8%, 1/28/16 0.8 01/28/2016 450,000 451,973
Citibank Credit Card Issuance Trust, 5.1%, 11/20/17 5.1 11/20/2017 500,000 511,789
Kane Sac, Ltd., 0.0%, 1/7/16 (Cat Bond) 0.0 01/07/2016 210,250 211,743
Option One Mortgage Loan Trust 2005-4 Asset-Backed Certificates Series 2005-4, Floating Rate Note, 1 0.4448 11/25/2035 5,875,000 388,730
Bank of Montreal, 0.8%, 11/6/15 0.8 11/06/2015 1,135,000 1,137,527
Federal Home Loan Mortgage Corp., Floating Rate Note, 2/17/32 0.6334 02/17/2032 12,638,000 319,094
Navitas Equipment Receivables LLC 2013-1, 3.63%, 2/15/17 3.63 02/15/2017 650,000 652,765
Government National Mortgage Association, Floating Rate Note, 8/20/40 0.484 08/20/2040 1,000,000 498,399
Federal Home Loan Mortgage Corp., Floating Rate Note, 7/1/18 2.885 07/01/2018 2,100,000 3,463
Morgan Stanley ABS Capital I Inc Trust 2004-SD3, Floating Rate Note, 6/25/34 (144A) 0.6448 06/25/2034 13,470,000 415,778
JP Morgan Mortgage Trust 2005-A3, Floating Rate Note, 6/25/35 4.3227 06/25/2035 6,041,179 535,620
American Home Mortgage Investment Trust 2004-3, 5.01%, 10/25/34 (Step) 5.01 10/25/2034 4,000,000 25,071
Morgan Stanley ABS Capital I Inc Trust 2005-NC2, Floating Rate Note, 3/25/35 0.8148 03/25/2035 627,000 355,917
Vitality Re IV, Ltd., Floating Rate Note, 1/9/17 (Cat Bond) (144A) 2.7703 01/09/2017 500,000 511,392
Becton Dickinson and Co., 1.45%, 5/15/17 1.45 05/15/2017 750,000 752,164
Federal National Mortgage Association, 3.5%, 7/25/24 3.5 07/25/2024 1,250,000 215,886
Colony American Homes 2014-2, Floating Rate Note, 7/19/31 (144A) 2.0856 07/19/2031 600,000 602,918
Chase Mortgage Finance Trust Series 2005-S1, 5.5%, 5/25/35 5.5 05/25/2035 4,068,000 46,602
Shell International Finance BV, Floating Rate Note, 11/15/16 0.4839 11/15/2016 750,000 751,606
Fannie Mae, 7.0%, 7/1/17 7.0 07/01/2017 3,768,412 34,105
Impac Secured Assets Trust 2006-5, Floating Rate Note, 12/25/36 0.3848 12/25/2036 2,600,000 514,668
Bayview Opportunity Master Fund Trust IIIa 2014-12RPL, 3.6225%, 7/28/19 (Step) (144A) 3.6225 07/28/2019 465,000 232,484
GP Portfolio Trust 2014-GGP, Floating Rate Note, 2/16/27 (144A) 1.486 02/16/2027 1,000,000 1,000,702
Hyundai Capital America, 1.875%, 8/9/16 (144A) 1.875 08/09/2016 500,000 507,483
First Investors Auto Owner Trust 2013-2, 1.23%, 3/15/19 (144A) 1.23 03/15/2019 1,048,000 371,104
Bear Stearns Commercial Mortgage Securities Trust 2005-PWR7, Floating Rate Note, 2/11/41 5.214 02/11/2041 550,000 552,406
Sierra Timeshare 2013-2 Receivables Funding LLC, 4.75%, 11/20/25 (144A) 4.75 11/20/2025 900,000 322,221
Federal National Mortgage Association REMICS, Floating Rate Note, 11/25/36 0.5448 11/25/2036 2,248,000 285,405
Bear Stearns Commercial Mortgage Securities Trust 2005-TOP20, Floating Rate Note, 10/12/42 5.1394 10/12/2042 1,905,000 1,381,474
Westpac Banking Corp., Floating Rate Note, 5/19/17 0.6065 05/19/2017 1,000,000 1,001,242
Bear Stearns Asset Backed Securities Trust, Floating Rate Note, 2/25/35 0.9348 02/25/2035 5,848,300 15,623
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/37 0.4856 02/15/2037 2,840,000 140,255
Baxter International, Inc., 0.95%, 6/1/16 0.95 06/01/2016 500,000 503,127
Morgan Stanley Capital I Trust 2015-XLF1, Floating Rate Note, 8/14/31 (144A) 2.3856 08/14/2031 500,000 501,009
Telefonica Emisiones SAU, 3.992%, 2/16/16 3.992 02/16/2016 500,000 515,941
Bayview Opportunity Master Fund IIa Trust 2014-20NPL, 3.475%, 8/28/44 (Step) (144A) 3.475 08/28/2044 420,000 313,199
SASCO Mortgage Loan Trust 2005-GEL1, Floating Rate Note, 12/25/34 0.7348 12/25/2034 510,000 319,730
SunGard Data Systems, Inc., Tranche C Term Loan, 2/28/17 3.9323 02/28/2017 155,698 156,209
Popular ABS Mortgage Pass-Through Trust 2004-4, 4.76929%, 9/25/34 (Step) 4.7693 09/25/2034 1,415,000 496,767
Federal National Mortgage Association REMICS, Floating Rate Note, 12/25/31 1.0848 12/25/2031 4,375,000 131,181
Fieldwood Energy LLC, Closing Date Loan, 9/25/18 3.875 09/25/2018 986,241 959,859
East Lane Re VI, Ltd., Floating Rate Note, 3/14/18 (Cat Bond) (144A) 2.7551 03/14/2018 500,000 495,058
Kinder Morgan, Inc. Delaware, 2.0%, 12/1/17 2.0 12/01/2017 700,000 708,754
Federal Home Loan Mortgage Corp., Floating Rate Note, 4/15/33 0.4956 04/15/2033 22,025,143 874,766
Park Place Securities Inc Asset-Backed Pass-Through Ctfs Ser 2005-WHQ4, Floating Rate Note, 9/25/35 0.5548 09/25/2035 1,793,831 456,177
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-B, Floating Rate Note, 4/25/28 0.8648 04/25/2028 9,700,000 416,476
Federal Home Loan Mortgage Corp., Floating Rate Note, 3/15/32 0.7556 03/15/2032 33,450,000 355,686
Bear Stearns Asset Backed Securities Trust 2006-SD2, Floating Rate Note, 6/25/36 0.6748 06/25/2036 412,000 192,243
Federal National Mortgage Association REMICS, Floating Rate Note, 6/25/37 0.4348 06/25/2037 1,010,000 86,222
Kane Sac, Ltd., 0.0%, 1/7/16 (Cat Bond) 0.0 01/07/2016 444,667 446,757
Honda Auto Receivables 2013-2 Owner Trust, 0.53%, 2/16/17 0.53 02/16/2017 285,000 180,031
SVO 2012-A VOI Mortgage LLC, 2.0%, 9/20/29 (144A) 2.0 09/20/2029 1,600,000 714,653
Nomura Asset Acceptance Corp Alternative Loan Trust Series 2003-A3, 5.5%, 8/25/33 (Step) 5.5 08/25/2033 3,120,000 182,119
Royal Bank of Canada, 1.45%, 9/9/16 1.45 09/09/2016 1,000,000 1,012,132
Banc of America Commercial Mortgage Trust 2006-1, Floating Rate Note, 9/10/45 5.421 09/10/2045 1,750,000 1,787,265
Mastr Asset Backed Securities Trust 2006-NC1, Floating Rate Note, 1/25/36 0.3748 01/25/2036 1,567,646 138,577
NCUA Guaranteed Notes Trust REMICS, 1.6%, 10/29/20 1.6 10/29/2020 500,000 100,988
Citigroup Mortgage Loan Trust, Inc., Floating Rate Note, 5/25/35 (144A) 0.9348 05/25/2035 429,900 395,627
BHP Billiton Finance USA, Ltd., Floating Rate Note, 9/30/16 0.5231 09/30/2016 500,000 500,710
JP Morgan Chase Commercial Mortgage Securities Trust 2005-LDP3 REMICS, Floating Rate Note, 8/15/42 4.936 08/15/2042 440,000 140,214
John Deere Capital Corp., 1.05%, 10/11/16 1.05 10/11/2016 1,098,000 1,105,174
VFC 2014-2 LLC, 2.75%, 7/20/30 (144A) 2.75 07/20/2030 1,060,000 550,861
Citigroup, Inc., 1.3%, 4/1/16 1.3 04/01/2016 500,000 502,828
Bayview Financial Mortgage Pass-Through Trust Series 2005-B, Floating Rate Note, 4/28/39 0.6363 04/28/2039 425,000 326,591
Leaf Receivables Funding 8 LLC, 2.67%, 9/15/20 (144A) 2.67 09/15/2020 311,966 313,968
SpringCastle America Funding LLC, 2.7%, 5/25/23 2.7 05/25/2023 1,020,000 819,111
Harley-Davidson Financial Services, Inc., 1.15%, 9/15/15 (144A) 1.15 09/15/2015 700,000 702,922
Fannie Mae, 6.0%, 4/1/38 6.0 04/01/2038 483,000 34,982
Federal National Mortgage Association REMICS, Floating Rate Note, 7/25/34 0.5848 07/25/2034 1,642,000 103,179
Queen Street VII Re, Ltd., Floating Rate Note, 4/8/16 (Cat Bond) (144A) 8.6125 04/08/2016 500,000 517,569
Federal Home Loan Mortgage Corp., 4.5%, 7/1/19 4.5 07/01/2019 1,467,130 139,325
Intesa Sanpaolo S.p.A., 3.125%, 1/15/16 3.125 01/15/2016 500,000 511,881
Welk Resorts 2013-A LLC, 3.1%, 3/15/29 (144A) 3.1 03/15/2029 750,000 505,539
Structured Adjustable Rate Mortgage Loan Trust, Floating Rate Note, 11/25/34 2.4289 11/25/2034 1,259,000 110,433
Boca Hotel Portfolio Trust 2013-BOCA, Floating Rate Note, 8/17/26 (144A) 1.936 08/17/2026 430,000 430,393
Credit Suisse First Boston Mortgage Securities Corp., 5.5%, 6/25/33 5.5 06/25/2033 200,000 37,708
Thornburg Mortgage Securities Trust 2004-4, Floating Rate Note, 12/25/44 1.85 12/25/2044 1,225,000 171,842
Impac Secured Assets CMN Owner Trust, Floating Rate Note, 2/25/35 1.0448 02/25/2035 4,622,000 1,150,589
Morgan Stanley Home Equity Loan Trust 2005-4, Floating Rate Note, 9/25/35 0.5048 09/25/2035 1,558,243 592,463
DR Horton, Inc., 4.0%, 2/15/20 4.0 02/15/2020 650,000 661,339
Royal Bank of Canada, Floating Rate Note, 1/23/17 0.6073 01/23/2017 550,000 551,496
Energy Transfer Equity 1st Lien Tl-B L + 3.25% 02dec19 4.0 12/02/2019 278,824 279,434
Encore Credit Receivables Trust 2005-3, Floating Rate Note, 10/25/35 0.6548 10/25/2035 1,000,000 103,626
Avago Technologies Ltd 1st Lien Tl-B L + 3% 16apr21 3.75 04/16/2021 341,089 342,194
Thornburg Mortgage Securities Trust 2004-3, Floating Rate Note, 9/25/34 0.9248 09/25/2034 17,118,309 1,264,273
Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/37 0.3848 02/25/2037 1,940,000 169,888
Bbb Industries Llc 1st Lien Tl L + 5% 20oct21 6.0 10/20/2021 533,333 538,333
Walgreens Boots Alliance, Inc., Floating Rate Note, 5/18/16 0.726 05/18/2016 750,000 751,205
Galileo Re, Ltd., Floating Rate Note, 1/9/19 (Cat Bond) (144A) 7.43 01/09/2019 500,000 513,897
Federal National Mortgage Association REMICS, Floating Rate Note, 5/18/32 0.6834 05/18/2032 31,809,000 590,778
RFMSI Series 2005-S5 Trust, 5.25%, 7/25/35 5.25 07/25/2035 300,770 143,283
Wells Fargo & Co., Floating Rate Note, 4/23/18 0.9073 04/23/2018 575,000 579,508
University of California, 0.966%, 5/15/17 0.966 05/15/2017 500,000 501,325
Fannie Mae, Floating Rate Note, 12/1/36 4.35 12/01/2036 6,500,000 226,398
Daimler Finance North America LLC, 1.45%, 8/1/16 (144A) 1.45 08/01/2016 1,000,000 1,010,958
CGWF Commercial Mortgage Trust 2013-RKWH REMICS, Floating Rate Note, 11/15/30 (144A) 2.0856 11/15/2030 1,720,000 1,723,216
Federal Home Loan Mortgage Corp., Floating Rate Note, 11/1/31 2.375 11/01/2031 1,399,950 6,207
Boston Scientific Corp., 2.65%, 10/1/18 2.65 10/01/2018 500,000 510,962
CHS, Incremental 2019 Term G Loan, 12/31/19   12/31/2019 93,027 93,177
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-C, Floating Rate Note, 7/25/29 0.7448 07/25/2029 10,014,000 438,797
GSRPM Mortgage Loan Trust 2006-1, Floating Rate Note, 3/25/35 (144A) 0.4848 03/25/2035 1,201,850 155,634
Fannie Mae, Floating Rate Note, 10/1/29 2.28 10/01/2029 10,892,567 83,771
Hilton USA Trust 2013-HLF, Floating Rate Note, 11/5/30 (144A) 1.681 11/05/2030 985,000 971,907
Morgan Stanley ABS Capital I Inc Trust 2005-WMC5, Floating Rate Note, 6/25/35 0.9198 06/25/2035 820,000 102,461
ORES NPL 2013-LV2 LLC, 3.081%, 9/25/25 (144A) 3.081 09/25/2025 430,000 124,586
Capital Auto Receivables Asset Trust 2013-1, 1.74%, 10/22/18 1.74 10/22/2018 413,000 414,862
RALI Series 2004-QS5 Trust, 4.75%, 4/25/34 4.75 04/25/2034 4,285,000 182,054
CNL Commercial Mortgage Loan Trust 2002-1, Floating Rate Note, 10/25/28 (144A) 0.7863 10/25/2028 8,975,000 273,391
Lanark Master Issuer Plc, Floating Rate Note, 12/22/54 (144A) 0.7835 12/22/2054 250,000 226,672
SBA Senior Finance II LLC, Incremental Tranche B-1 Term Loan, 3/31/21 3.25 03/31/2021 198,500 198,045
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 3/15/41 0.5856 03/15/2041 3,243,333 630,529
RESI Finance LP 2003-CB1, Floating Rate Note, 7/9/35 1.6315 07/09/2035 2,382,000 571,069
Federal National Mortgage Association REMICS, 4.0%, 5/25/29 4.0 05/25/2029 2,000,000 1,339,438
BBCMS Trust 2014-BXO REMICS, Floating Rate Note, 8/16/27 (144A) 1.7856 08/16/2027 180,000 179,774
Oracle Corp., 2.375%, 1/15/19 2.375 01/15/2019 500,000 516,463
East Lane Re VI, Ltd., Floating Rate Note, 3/13/20 (Cat Bond) (144A) 3.75 03/13/2020 350,000 344,470
RALI Series 2004-QS5 Trust, Floating Rate Note, 4/25/34 0.7848 04/25/2034 1,761,729 74,606
BAMLL Commercial Mortgage Securities Trust 2014-ICTS, Floating Rate Note, 6/15/28 (144A) 1.2856 06/15/2028 580,000 579,676
Electricite de France SA, Floating Rate Note, 1/20/17 (144A) 0.7351 01/20/2017 750,000 751,446
SASCO Mortgage Loan Trust 2005-GEL2, Floating Rate Note, 4/25/35 0.7448 04/25/2035 8,945,588 104,496
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 6/15/36 0.6056 06/15/2036 1,288,000 112,499
ASG Resecuritization Trust 2010-3, Floating Rate Note, 12/29/45 (144A) 0.4713 12/29/2045 1,642,839 655,581
GSAA Trust, Floating Rate Note, 6/25/35 0.6148 06/25/2035 440,000 291,007
Fannie Mae Connecticut Avenue Securities, Floating Rate Note, 7/25/24 1.3848 07/25/2024 1,540,000 1,240,915
Capital One Multi-Asset Execution Trust, Floating Rate Note, 2/15/19 0.3656 02/15/2019 300,000 300,096
Fannie Mae, 5.5%, 8/1/37 5.5 08/01/2037 2,000,000 334,982
Starbucks Corp., 0.875%, 12/5/16 0.875 12/05/2016 605,000 608,012
Fannie Mae, Floating Rate Note, 2/1/27 2.45 02/01/2027 4,000,000 11,332
FMG Resources August 2006 Pty, Ltd., Loan, 6/30/19 3.75 06/30/2019 73,828 66,989
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 3/15/32 1.1856 03/15/2032 15,667,000 163,324
Federal National Mortgage Association, 4.0%, 1/1/20 4.0 01/01/2020 7,280,000 1,031,374
HSBC Bank Plc, 3.5%, 6/28/15 (144A) 3.5 06/28/2015 750,000 763,023
American Honda Finance Corp., 1.125%, 10/7/16 1.125 10/07/2016 500,000 503,359
Government National Mortgage Association, Floating Rate Note, 4/16/31 0.4834 04/16/2031 12,627,242 243,634
Cinedigm Digital Funding I LLC, Term Loan, 2/28/18 3.75 02/28/2018 116,761 116,907
Countrywide Asset-Backed Certificates, Floating Rate Note, 5/25/35 1.0048 05/25/2035 1,600,000 45,955
RALI Series 2005-QA1 Trust, Floating Rate Note, 1/25/35 0.4848 01/25/2035 8,661,000 818,072
Raymond James Financial, Inc., 4.25%, 4/15/16 4.25 04/15/2016 2,108,000 2,179,949
Caelus Re, Ltd., Floating Rate Note, 3/7/16 (Cat Bond) (144A) 5.2703 03/07/2016 500,000 498,021
Fresenius US Finance I, Inc., Tranche B Term Loan, 8/7/19 2.2731 08/07/2019 492,500 492,090
Federal National Mortgage Association REMICS, Floating Rate Note, 4/25/36 0.4348 04/25/2036 1,737,000 301,862
JP Morgan Chase Commercial Mortgage Securities Trust 2006-FL2, Floating Rate Note, 11/15/18 (144A) 0.5456 11/15/2018 550,000 177,627
Valeant Pharmaceuticals Internatio 1st Lien Tl-Bf1 L + 3.25% 13mar22 4.0 03/13/2022 500,000 502,046
GSAMP Trust 2005-HE1, Floating Rate Note, 12/25/34 0.9348 12/25/2034 1,210,753 89,420
Queen Street X RE, Ltd., Floating Rate Note, 6/8/18 (Cat Bond) (144A)   06/08/2018 250,000 245,350
Credit Suisse First Boston Mortgage Securities Corp., Floating Rate Note, 12/17/40 5.23 12/17/2040 2,730,000 1,647,111
Federal National Mortgage Association, 2.75%, 6/25/20 2.75 06/25/2020 1,750,000 378,989
Garda World Security Corp., Term B Delayed Draw Loan, 11/8/20 4.0 11/08/2020 122,246 122,246
Bank of America Corp., 3.7%, 9/1/15 3.7 09/01/2015 500,000 508,315
Kindred Healthcare 1st Lien Tl-B L + 3% 10apr21 4.25 04/10/2021 274,309 276,023
Sanders Re, Ltd., Floating Rate Note, 6/7/17 (Cat Bond) (144A) 3.9152 06/07/2017 650,000 650,168
JP Morgan Chase Commercial Mortgage Securities Trust 2015-COSMO, Floating Rate Note, 1/15/32 (144A) 2.436 01/15/2032 700,000 702,540
Altera Corp., 2.5%, 11/15/18 2.5 11/15/2018 500,000 510,996
JP Morgan Chase Commercial Mortgage Securities Trust 2014-FL6, Floating Rate Note, 11/17/31 (144A) 1.586 11/17/2031 1,170,000 1,169,938
Commercial Mortgage Pass Through Certificates, Floating Rate Note, 11/19/26 (144A) 2.1251 11/19/2026 600,000 206,243
Global Mortgage Securitization, Ltd., Floating Rate Note, 4/25/32 0.4548 04/25/2032 8,633,000 674,824
Fannie Mae, 5.5%, 12/1/35 5.5 12/01/2035 1,000,000 60,809
Federal National Mortgage Association 2006-48-T, 5.5%, 12/25/34 5.5 12/25/2034 1,716,418 202,369
Federal National Mortgage Association, 4.0%, 3/1/21 4.0 03/01/2021 4,071,760 1,071,494
JP Morgan Chase Commercial Mortgage Securities Trust 2005-LDP3, Floating Rate Note, 8/15/42 4.966 08/15/2042 800,000 805,206
NCUA Guaranteed Notes Trust REMICS, Floating Rate Note, 3/2/21 0.7359 03/02/2021 800,000 336,463
SunTrust Bank, Floating Rate Note, 2/15/17 0.7139 02/15/2017 805,000 804,408
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA New York, Floating Rate Note, 3/18/16 0.7502 03/18/2016 500,000 502,236
The Goldman Sachs Group, Inc., 3.7%, 8/1/15 3.7 08/01/2015 340,000 345,837
Sequoia Mortgage Trust 2013-8, Floating Rate Note, 6/25/43 3.0 06/25/2043 160,000 134,407
RAMP Series 2004-SL4 Trust, Floating Rate Note, 5/25/18 6.3442 05/25/2018 13,780,000 54,102
First Horizon Mortgage Pass-Through Trust 2004-AR1, Floating Rate Note, 2/25/34 2.594 02/25/2034 1,500,000 58,182
Wm Wrigley Jr Co., 2.0%, 10/20/17 (144A) 2.0 10/20/2017 1,000,000 1,015,140
NovaStar Mortgage Funding Trust Series 2004-3, Floating Rate Note, 12/25/34 1.7598 12/25/2034 560,000 532,176
Morgan Stanley Mortgage Loan Trust 2005-6AR, Floating Rate Note, 11/25/35 0.4548 11/25/2035 3,786,000 342,949
Home Equity Asset Trust 2006-8, Floating Rate Note, 3/25/37 0.2948 03/25/2037 1,394,318 309,066
JBS USA LLC, Incremental Term Loan, 9/18/20 3.75 09/18/2020 197,000 197,369
ABN AMRO Bank NV, 1.375%, 1/22/16 (144A) 1.375 01/22/2016 500,000 504,174
Wachovia Corp., Floating Rate Note, 6/15/17 0.5406 06/15/2017 1,077,000 1,074,552
CarMax Auto Owner Trust 2013-3, 2.15%, 5/15/19 2.15 05/15/2019 540,000 546,076
RAAC Series 2005-RP2 Trust, Floating Rate Note, 6/25/35 (144A) 0.8348 06/25/2035 995,000 67,868
Commonwealth Bank of Australia, Floating Rate Note, 9/8/17 (144A) 0.5336 09/08/2017 750,000 750,591
Structured Asset Mortgage Investments II Trust 2005-AR2, Floating Rate Note, 5/25/45 3.5678 05/25/2045 5,000,000 458,891
Trafigura Securitisation Finance Plc. 2014-1, Floating Rate Note, 4/16/18 (144A) 1.1356 04/16/2018 400,000 400,376
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 11/15/36 0.5356 11/15/2036 600,000 91,523
Structured Asset Mortgage Investments II Trust 2005-F1 REMICS, Floating Rate Note, 8/26/35 0.6848 08/26/2035 6,100,000 103,564
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/37 0.7548 09/25/2037 679,000 79,032
Regatta Funding, Ltd., Floating Rate Note, 6/15/20 (144A) 0.5206 06/15/2020 500,000 167,470
JP Morgan Chase Commercial Mortgage Securities Trust 2006-LDP6, Floating Rate Note, 4/15/43 5.565 04/15/2043 500,000 514,539
Bayview Financial Mortgage Pass-Through Trust 2006-B, Floating Rate Note, 4/28/36 0.4563 04/28/2036 603,000 30,924
Federal Home Loan Mortgage Corp., 4.0%, 5/15/37 4.0 05/15/2037 1,753,000 1,937
AXIS Equipment Finance Receivables II LLC, 3.81%, 12/20/16 3.81 12/20/2016 400,000 402,845
New York Life Global Funding, Floating Rate Note, 5/23/16 (144A) 0.6273 05/23/2016 1,050,000 1,053,738
Wells Fargo Mortgage Backed Securities 2005-4 Trust, Floating Rate Note, 4/25/35 0.7848 04/25/2035 7,173,466 257,301
Federal National Mortgage Association REMICS, Floating Rate Note, 8/25/36 0.6048 08/25/2036 4,040,000 415,224
First Investors Auto Owner Trust 2013-1, 2.02%, 1/15/19 (144A) 2.02 01/15/2019 200,000 200,268
Equity One Mortgage Pass-Through Trust 2004-1, Floating Rate Note, 4/25/34 4.145 04/25/2034 1,840,000 467,670
Federal National Mortgage Association REMICS, 3.0%, 1/25/21 3.0 01/25/2021 4,450,000 680,615
Federal Home Loan Mortgage Corp., 5.0%, 12/1/39 5.0 12/01/2039 265,000 113,689
Chase Issuance Trust, Floating Rate Note, 8/15/17 0.3156 08/15/2017 750,000 750,079
321 Henderson Receivables I LLC, Floating Rate Note, 6/15/41 (144A) 0.3856 06/15/2041 2,000,000 632,421
JP Morgan Chase Commercial Mortgage Securities Trust 2014-FL5 REMICS, Floating Rate Note, 7/15/31 (1 2.1982 07/15/2031 650,000 648,110
Government National Mortgage Association II, 6.0%, 11/20/22 6.0 11/20/2022 1,986,670 244,242
Consumer Credit Origination Loan Trust 2015-1, 2.82%, 3/15/21 (144A) 2.82 03/15/2021 750,000 638,718
LPL Holdings, Inc., 2013 Incremental Tranche B Term Loan, 3/29/19 3.25 03/29/2019 145,530 145,756
Adjustable Rate Mortgage Trust 2005-5, Floating Rate Note, 9/25/35 0.4648 09/25/2035 3,300,000 255,981
GSAMP Trust 2006-SEA1, Floating Rate Note, 5/25/36 (144A) 0.4813 05/25/2036 5,518,315 335,786
SWAY Residential 2014-1 Trust, Floating Rate Note, 1/20/32 (144A) 1.4856 01/20/2032 700,000 695,882
Gracechurch Card Funding Plc, Floating Rate Note, 6/15/17 (144A) 0.8856 06/15/2017 300,000 300,158
RALI Series 2003-QS11 Trust, Floating Rate Note, 6/25/33 0.6848 06/25/2033 13,610,000 567,740
Kane Sac, Ltd., 0.0%, 1/7/16 (Cat Bond) 0.0 01/07/2016 458,833 460,393
Motor 2013-1 Plc, Floating Rate Note, 2/25/21 (144A) 0.6848 02/25/2021 466,000 15,538
Merrill Lynch Mortgage Investors Trust Series 2005-A3, Floating Rate Note, 4/25/35 0.4548 04/25/2035 10,415,000 1,119,789
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-A, Floating Rate Note, 3/25/28 0.9248 03/25/2028 15,000,000 618,234
New York Life Global Funding, Floating Rate Note, 10/29/15 (144A) 0.279 10/29/2015 750,000 750,010
Monsanto Co., 1.15%, 6/30/17 1.15 06/30/2017 1,000,000 1,001,595
Sumitomo Mitsui Banking Corp., Floating Rate Note, 1/10/17 0.7012 01/10/2017 750,000 750,607
Residential Reinsurance 2012, Ltd., Floating Rate Note, 12/6/16 (Cat Bond) (144A) 12.7551 12/06/2016 250,000 270,528
Countrywide Asset-Backed Certificates, Floating Rate Note, 3/25/35 1.0848 03/25/2035 1,300,000 381,203
Government National Mortgage Association REMICS, 4.0%, 9/20/37 4.0 09/20/2037 4,000,000 2,544,095
NSG Holdings LLC, New Term Loan, 12/11/19 3.75 12/11/2019 191,883 192,123
Vodafone Group Plc, Floating Rate Note, 2/19/16 0.6615 02/19/2016 275,000 274,942
Bear Stearns Commercial Mortgage Securities Trust 2005-PWR8, 4.75%, 6/11/41 4.75 06/11/2041 415,000 416,554
Milacron Llc 1st Lien Tl-B L + 3.5% 28sep20 4.5 09/28/2020 495,000 498,094
Credit Suisse First Boston Mortgage Securities Corp., Floating Rate Note, 7/25/35 0.4548 07/25/2035 3,555,000 384,963
NYSE Holdings LLC, 2.0%, 10/5/17 2.0 10/05/2017 150,000 152,328
Thornburg Mortgage Securities Trust 2003-3, Floating Rate Note, 6/25/43 2.1197 06/25/2043 3,857,000 117,205
Banc of America Alternative Loan Trust 2004-4, 5.25%, 5/25/19 5.25 05/25/2019 2,946 3,034
Aflac, Inc., 3.45%, 8/15/15 3.45 08/15/2015 500,000 507,774
Chase Funding Trust Series 2003-6, 4.277%, 11/27/34 (Step) 4.277 11/27/2034 1,680,000 219,528
Structured Asset Investment Loan Trust 2005-6, Floating Rate Note, 7/25/35 0.9048 07/25/2035 719,331 558,900
Structured Asset Securities Corp Mortgage Loan Trust 2005-WF4, Floating Rate Note, 11/25/35 0.5448 11/25/2035 475,000 6,867
Credit Suisse Commercial Mortgage Trust Series 2007-C1, 5.361%, 2/15/40 5.361 02/15/2040 1,300,000 923,630
Live Nation Entertainment, Inc., Term B-1 Loan, 8/17/20 3.5 08/17/2020 510,230 511,395
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-E, Floating Rate Note, 11/25/29 1.1382 11/25/2029 9,305,000 473,207
Fannie Mae, 2.5%, 3/1/28 2.5 03/01/2028 1,500,000 1,209,385
Ascentium Equipment Receivables 2014-1 LLC, 3.1%, 6/10/21 (144A) 3.1 06/10/2021 700,000 713,262
Precision Castparts Corp., 1.25%, 1/15/18 1.25 01/15/2018 500,000 501,116
CNH Equipment Trust 2012-C, 0.57%, 12/15/17 0.57 12/15/2017 75,000 28,273
Wachovia Bank Commercial Mortgage Trust Series 2006-C23 REMICS, Floating Rate Note, 1/15/45 5.418 01/15/2045 1,590,000 1,241,787
Homestar Mortgage Acceptance Corp., Floating Rate Note, 3/25/34 0.8248 03/25/2034 25,588,000 1,393,903
NewStar Commercial Loan Trust 2007-1, Floating Rate Note, 9/30/22 (144A) 0.5016 09/30/2022 500,000 197,319
GCAT 2015-1 LLC, 3.625%, 5/26/20 (Step) (144A) 3.625 05/26/2020 300,000 300,000
Ascentium Equipment Receivables 2015-1 LLC, 3.24%, 1/10/22 (144A) 3.24 01/10/2022 510,000 513,519
GE Business Loan Trust 2005-1, Floating Rate Note, 6/15/33 (144A) 0.4356 06/15/2033 1,692,482 687,973
Medtronic, Inc., 4.75%, 9/15/15 4.75 09/15/2015 460,000 470,504
Fannie Mae, Floating Rate Note, 7/1/36 2.374 07/01/2036 500,000 52,528
Government National Mortgage Association I, 6.5%, 10/15/37 6.5 10/15/2037 400,000 39,158
Federal National Mortgage Association, Floating Rate Note, 3/25/36 0.5348 03/25/2036 2,108,510 410,360
Federal National Mortgage Association REMICS, Floating Rate Note, 12/25/32 0.6848 12/25/2032 34,313,143 646,682
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 11/15/36 0.5356 11/15/2036 1,229,000 201,443
Navitas Equipment Receivables LLC 2015-1, 3.4%, 11/15/18 (144A) 3.4 11/15/2018 500,000 501,647
State of Ohio, 3.0%, 6/15/15 3.0 06/15/2015 500,000 507,507
Residential Reinsurance 2012, Ltd., Floating Rate Note, 12/6/16 (Cat Bond) (144A) 5.7551 12/06/2016 250,000 258,624
Svenska Handelsbanken AB, Floating Rate Note, 9/23/16 0.7346 09/23/2016 1,000,000 1,006,092
Bear Stearns Mortgage Securities, Inc., Floating Rate Note, 6/25/30 2.646 06/25/2030 731,690 105,841
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/42 0.7356 02/15/2042 350,000 187,128
Georgia Power Co., Floating Rate Note, 8/15/16 0.6739 08/15/2016 500,000 499,629
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 8/15/26 0.3856 08/15/2026 370,000 120,085
Activision Blizzard, Inc., Term Loan, 7/26/20 3.25 07/26/2020 573,304 576,573
Government National Mortgage Association, Floating Rate Note, 1/16/35 0.4334 01/16/2035 2,563,000 253,629
Reckitt Benckiser Treasury Services Plc, 2.125%, 9/21/18 (144A) 2.125 09/21/2018 500,000 507,853
ACE Securities Corp Manufactured Housing Trust Series 2003-MH1, Floating Rate Note, 8/15/30 (144A) 6.5 08/15/2030 425,000 29,066
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-G, Floating Rate Note, 1/25/30 0.7448 01/25/2030 16,956,975 663,483
Structured Asset Securities Corp Mortgage Loan Trust 2005-2XS, 4.65%, 2/25/35 (Step) 4.65 02/25/2035 1,000,000 95,558
Morgan Stanley, Floating Rate Note, 11/9/18 3.1 11/09/2018 275,000 289,915
Federal National Mortgage Association REMICS, Floating Rate Note, 10/25/38 1.4048 10/25/2038 1,808,000 173,890
Specialty Underwriting & Residential Finance Trust Series 2006-BC1, Floating Rate Note, 12/25/36 0.4848 12/25/2036 790,207 765,906
Accredited Mortgage Loan Trust 2005-2, Floating Rate Note, 7/25/35 0.5848 07/25/2035 240,000 234,837
AmeriCredit Automobile Receivables Trust 2013-4, 3.31%, 10/8/19 3.31 10/08/2019 550,000 566,488
PACCAR Financial Corp., Floating Rate Note, 6/6/17 0.4536 06/06/2017 485,000 485,808
AMC Entertainment, Inc., Initial Term Loan, 4/30/20 3.5 04/30/2020 246,231 247,153
MortgageIT Trust 2004-1, Floating Rate Note, 11/25/34 0.9648 11/25/2034 4,767,000 571,936
Lehman ABS Manufactured Housing Contract Trust 2002-A, Floating Rate Note, 6/15/33 0.6356 06/15/2033 19,804,000 759,739
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/37 0.7548 09/25/2037 2,706,000 293,565
National Oilwell Varco, Inc., 1.35%, 12/1/17 1.35 12/01/2017 775,000 776,583
Calpine Construction Finance Co LP, Term B-2 Loan, 1/3/22 3.25 01/03/2022 666,545 660,713
Federal National Mortgage Association, 4.5%, 6/25/40 4.5 06/25/2040 4,200,000 1,017,591
Carrington Mortgage Loan Trust Series 2006-OPT1, Floating Rate Note, 12/25/35 0.3648 12/25/2035 5,047,000 923,019
Saxon Asset Securities Trust 2005-4, Floating Rate Note, 11/25/37 0.4148 11/25/2037 9,516,000 357,848
Inwood Park CDO, Ltd., Floating Rate Note, 1/20/21 (144A) 0.5001 01/20/2021 1,000,000 239,466
Endo Luxembourg Finance I 1st Lien Tl-B L + 2.5% 05nov20 3.25 11/05/2020 495,000 496,135
Bear Stearns Commercial Mortgage Securities Trust 2005-PWR9, Floating Rate Note, 9/11/42 4.985 09/11/2042 1,160,000 1,175,466
BAMLL Commercial Mortgage Securities Trust 2014-INLD REMICS, Floating Rate Note, 12/17/29 (144A) 2.7856 12/17/2029 930,000 936,977
Government National Mortgage Association, Floating Rate Note, 4/16/32 0.6834 04/16/2032 10,000,000 133,989
AmeriCredit Automobile Receivables Trust 2014-2, Floating Rate Note, 10/10/17 0.4603 10/10/2017 380,000 230,177
Quebecor Media, Inc., Facility B-1 Tranche, 8/17/20 3.25 08/17/2020 197,985 196,871
Irwin Whole Loan Home Equity Trust 2003-C, Floating Rate Note, 6/25/28 1.6848 06/25/2028 2,350,000 466,081
Verint Systems, Inc., Tranche B Incremental Term Loan, 9/6/19 3.5 09/06/2019 261,457 262,568
Federal National Mortgage Association REMICS, Floating Rate Note, 10/27/37 0.3848 10/27/2037 1,375,920 1,248,784
Restaurant Brands 1st Lien Tl-B L + 2.75% 12dec21 3.75 12/12/2021 533,037 535,036
The Bank of Tokyo-Mitsubishi UFJ, Ltd., 1.55%, 9/9/16 (144A) 1.55 09/09/2016 1,000,000 1,008,960
RALI Series 2003-QR24 Trust REMICS, 4.0%, 7/25/33 4.0 07/25/2033 6,880,000 750,713
Nordea Bank Finland Plc New York, Floating Rate Note, 6/13/16 0.4499 06/13/2016 1,000,000 1,001,165
Express Scripts Holding Co., 2.25%, 6/15/19 2.25 06/15/2019 750,000 757,082
Fannie Mae, 6.0%, 2/1/34 6.0 02/01/2034 1,400,000 38,022
Pangaea Zero% 01jul18 0.0 07/01/2018 700,000 775,040
COMM 2014-SAVA Mortgage Trust, Floating Rate Note, 6/15/34 (144A) 1.936 06/15/2034 1,110,000 1,108,962
Morgan Stanley Capital I Trust 2005-IQ10, Floating Rate Note, 9/15/42 5.23 09/15/2042 915,000 126,301
Fannie Mae, 7.0%, 1/1/36 7.0 01/01/2036 1,000,000 22,323
Federal Home Loan Mortgage Corp., 3.0%, 1/15/30 3.0 01/15/2030 893,000 412,558
CSMC Trust 2014-SURF, Floating Rate Note, 2/15/29 (144A)   02/15/2029 700,000 698,731
CeramTec Acquisition Corp., Initial Dollar Term B-2 Loan, 8/30/20 4.25 08/30/2020 20,744 20,835
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 3/15/38 0.5856 03/15/2038 2,600,000 695,964
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/37 0.6348 09/25/2037 2,524,000 100,459
Hess Corp., 1.3%, 6/15/17 1.3 06/15/2017 750,000 749,964
Alamo Re, Ltd., Floating Rate Note, 6/7/18 (Cat Bond) (144A)   06/07/2018 350,000 350,035
JP Morgan Chase Commercial Mortgage Securities Trust 2006-FL2, Floating Rate Note, 11/15/18 (144A) 0.4656 11/15/2018 2,550,000 479,329
UnitedHealth Group, Inc., 1.875%, 11/15/16 1.875 11/15/2016 500,000 508,381
Federal National Mortgage Association REMICS, Floating Rate Note, 10/25/36 0.5848 10/25/2036 11,844,000 403,246
Citigroup Commercial Mortgage Trust 2015-SSHP REMICS, Floating Rate Note, 9/15/27 (144A) 2.2856 09/15/2027 1,250,000 1,250,548
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 9/15/33 0.6356 09/15/2033 2,647,000 154,319
Government National Mortgage Association I, 5.0%, 8/15/19 5.0 08/15/2019 1,347,915 310,513
The Toronto-Dominion Bank, Floating Rate Note, 9/9/16 0.7236 09/09/2016 500,000 502,609
JP Morgan Chase Commercial Mortgage Securities Trust 2014-BXH, Floating Rate Note, 4/15/27 (144A) 1.436 04/15/2027 1,670,000 1,670,287
CDGJ Commercial Mortgage Trust 2014-BXCH, Floating Rate Note, 12/15/27 (144A) 2.6856 12/15/2027 1,340,000 1,344,492
Bank of America Corp., 1.35%, 11/21/16 1.35 11/21/2016 500,000 501,215
Structured Asset Mortgage Investments II Trust 2004-AR8, Floating Rate Note, 5/19/35 0.8662 05/19/2035 24,300,000 1,180,228
Bear Stearns ARM Trust 2004-10 REMICS, Floating Rate Note, 1/25/35 2.7375 01/25/2035 720,000 85,941
Freddie Mac Structured Agency Credit Risk Debt Notes, Floating Rate Note, 8/25/24 1.5348 08/25/2024 1,430,000 682,866
PARTY CITY HOLDINGS INC, 2014 Replacement Term Loan, 7/27/19 4.0 07/27/2019 943,063 946,094
Sunset Mortgage Loan Co 2014-NPL2 LLC, 3.721%, 11/16/44 (Step) (144A) 3.721 11/16/2044 850,000 715,856
Cendant Mortgage Corp., 6.25%, 3/25/32 (144A) 6.25 03/25/2032 4,100,000 388,866
CD 2006-CD2 Mortgage Trust, Floating Rate Note, 1/15/46 5.2985 01/15/2046 2,084,000 2,001,537
Vitality Re V, Ltd., Floating Rate Note, 1/7/19 (Cat Bond) (144A) 1.7703 01/07/2019 500,000 502,833
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/32 1.1856 02/15/2032 15,205,000 224,833
FCA US LLC, Term Loan B, 5/24/17 3.5 05/24/2017 895,125 897,680
Federal National Mortgage Association REMICS, 3.0%, 4/25/40 3.0 04/25/2040 1,110,000 139,436
International Equipment Solutions LLC, Initial Loan, 8/16/19 6.7532 08/16/2019 29,113 29,204
Sinclair Television Group, Inc., New Tranche B Term Loan, 4/19/20 3.0 04/19/2020 438,304 437,959
Appvion, Inc., Term Commitment, 6/28/19 5.75 06/28/2019 498,731 465,275
Countrywide Asset-Backed Certificates, Floating Rate Note, 6/25/33 (144A) 0.8048 06/25/2033 900,000 849,651
Fannie Mae, 6.5%, 6/1/16 6.5 06/01/2016 700,000 1,019
Federal National Mortgage Association, Floating Rate Note, 11/25/27 0.4848 11/25/2027 15,797,000 475,668
Atlas Reinsurance VII, Ltd., Floating Rate Note, 1/7/16 (Cat Bond) (144A) 8.1442 01/07/2016 250,000 254,693
Structured Adjustable Rate Mortgage Loan Trust, Floating Rate Note, 3/25/34 2.8579 03/25/2034 2,600,000 136,467
Micron Semiconductor Asia Pte, Ltd., 1.258%, 1/15/19 1.258 01/15/2019 500,000 401,855
Federal National Mortgage Association, Floating Rate Note, 10/18/32 0.5334 10/18/2032 11,398,000 340,451
Federal Home Loan Mortgage Corp., 5.0%, 2/1/21 5.0 02/01/2021 1,000,000 70,471
Diamond Resorts Owner Trust 2013-2, 2.62%, 5/20/26 (144A) 2.62 05/20/2026 750,000 367,797
Fannie Mae Connecticut Avenue Securities, Floating Rate Note, 5/25/24 1.1348 05/25/2024 1,020,000 834,473
Anheuser-Busch InBev Finance, Inc., Floating Rate Note, 1/27/17 0.467 01/27/2017 500,000 499,533
Government National Mortgage Association I, 6.0%, 12/15/31 6.0 12/15/2031 1,500,000 63,894
FDIC 2010-R1 Trust, 2.184%, 5/25/50 (144A) 2.184 05/25/2050 2,060,000 672,340
Senior Housing Properties Trust, 4.3%, 1/15/16 4.3 01/15/2016 290,000 298,038
The Huntington National Bank, Floating Rate Note, 4/24/17 0.7025 04/24/2017 500,000 499,072
VFC 2015-3 LLC, 2.75%, 12/20/31 (144A) 2.75 12/20/2031 400,000 363,434
Ew Scripps 1st Lien Termloan L + 2.9717% 26nov20 3.5 11/26/2020 275,000 276,203
American Credit Acceptance Receivables Trust 2013-2, 1.32%, 2/15/17 (144A) 1.32 02/15/2017 280,000 6,880
Sierra Timeshare 2013-2 Receivables Funding LLC, 2.92%, 11/20/25 (144A) 2.92 11/20/2025 270,000 94,924
Thomson Reuters Corp., 0.875%, 5/23/16 0.875 05/23/2016 250,000 249,959
Syniverse Holdings, Inc., Tranche B Term Loan, 4/23/19 4.0 04/23/2019 925,000 884,531
Capital One NA, Floating Rate Note, 3/22/16 0.7146 03/22/2016 700,000 701,574
COMM 2014-FL5 Mortgage Trust, Floating Rate Note, 10/17/31 (144A) 2.3356 10/17/2031 1,370,000 1,367,179
GSAA Trust, Floating Rate Note, 6/25/35 0.9798 06/25/2035 1,900,000 394,098
Banc of America Alternative Loan Trust 2004-2, 5.5%, 3/25/19 5.5 03/25/2019 3,370 3,450
Ally Financial, Inc., 3.6%, 5/21/18 3.6 05/21/2018 500,000 503,100
Metropolitan Life Insurance Co., 7.7%, 11/1/15 (144A) 7.7 11/01/2015 1,250,000 1,290,878
Fannie Mae Trust 2005-W4, Floating Rate Note, 6/25/45 2.2608 06/25/2045 1,600,000 232,640
Fannie Mae, 5.0%, 11/1/20 5.0 11/01/2020 3,800,000 237,751
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 8/15/25 0.4356 08/15/2025 970,000 269,380
On Assignment, Inc., Initial Term B Loan, 5/15/20 3.5 05/15/2020 171,522 171,736
RALI Series 2003-QS14 Trust, 5.0%, 7/25/18 5.0 07/25/2018 600,000 29,288
BCAP LLC 2013-RR7 Trust, Floating Rate Note, 12/27/34 2.9621 12/27/2034 420,000 321,013
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/35 0.5056 12/15/2035 2,232,000 327,934
Freddie Mac Strips, Floating Rate Note, 8/15/36 0.4856 08/15/2036 6,894,664 303,879
Bear Stearns ALT-A Trust 2004-12, Floating Rate Note, 1/25/35 1.0248 01/25/2035 8,440,000 942,257
U.S. Treasury Notes, 0.875%, 1/15/18 0.875 01/15/2018 12,000,000 12,052,866
Oracle Corp., 2.25%, 10/8/19 2.25 10/08/2019 300,000 305,236
Federal National Mortgage Association REMICS, Floating Rate Note, 11/18/32 1.1834 11/18/2032 24,329,000 419,369
Citigroup, Inc., Floating Rate Note, 4/1/16 1.0642 04/01/2016 500,000 502,344
HSI Asset Securitization Corp Trust 2006-OPT1, Floating Rate Note, 12/25/35 0.3748 12/25/2035 450,623 122,670
Albertsons LLC, Term B-2 Loan, 3/21/19 5.375 03/21/2019 646,754 651,039
Credit Acceptance Auto Loan Trust 2014-2, 2.67%, 9/15/22 (144A) 2.67 09/15/2022 1,000,000 1,005,994
GMACM Mortgage Loan Trust 2004-AR1, Floating Rate Note, 6/25/34 2.9313 06/25/2034 2,100,000 193,939
American Credit Acceptance Receivables Trust 2013-1, 1.45%, 4/16/18 (144A) 1.45 04/16/2018 41,000 5,689
GSAA Home Equity Trust 2005-11, Floating Rate Note, 10/25/35 0.4348 10/25/2035 1,022,000 16,852
Mpg Holdco I Inc 1st Lien Tl-B L + 3.5% 13oct21 3.75 10/13/2021 488,341 490,067
Credit Suisse First Boston Mortgage Securities Corp., 5.25%, 10/25/19 5.25 10/25/2019 1,196,000 39,679
Bear Stearns Commercial Mortgage Securities Trust 2005-PWR10, Floating Rate Note, 12/11/40 5.405 12/11/2040 1,240,000 926,400
Morgan Stanley Mortgage Loan Trust 2005-6AR, Floating Rate Note, 11/25/35 0.4648 11/25/2035 2,941,000 393,133
Springleaf Funding Trust 2014-A, 2.41%, 12/15/22 (144A) 2.41 12/15/2022 1,000,000 1,002,456
Wachovia Bank Commercial Mortgage Trust Series 2006-C25, Floating Rate Note, 5/15/43 5.7124 05/15/2043 1,200,000 988,892
Altria Group, Inc., 4.125%, 9/11/15 4.125 09/11/2015 310,000 315,897
Texas Municipal Gas Acquisition & Supply Corp III, 5.0%, 12/15/15 5.0 12/15/2015 500,000 521,998
EQTY 2014-INNS Mortgage Trust, Floating Rate Note, 5/8/31 (144A) 1.381 05/08/2031 1,020,000 1,010,328
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 1/15/36 0.4856 01/15/2036 400,312 69,906
SNAAC Auto Receivables Trust, 4.38%, 6/15/17 (144A) 4.38 06/15/2017 460,000 94,636
BCAP LLC 2013-RR3 Trust, Floating Rate Note, 5/28/36 (144A) 0.0 05/28/2036 500,000 351,105
Navios Maritime Partners LP, Term Loan, 6/27/18 5.25 06/27/2018 435,775 437,772
HLSS Servicer Advance Receivables Trust, 1.4953%, 1/16/46 (144A) 1.4953 01/16/2046 1,706,000 1,705,428
Southwire Co., Initial Term Loan, 1/31/21 3.25 01/31/2021 401,198 401,549
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 4/15/27 0.7356 04/15/2027 22,817,000 225,781
Bear Stearns ARM Trust 2004-3, Floating Rate Note, 7/25/34 2.8436 07/25/2034 2,481,203 80,901
Leaf Receivables Funding 8 LLC, 1.55%, 11/15/17 (144A) 1.55 11/15/2017 195,000 98,533
Alternative Loan Trust 2004-6CB, Floating Rate Note, 4/25/34 0.7648 04/25/2034 4,791,000 308,719
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 8/15/18 0.7856 08/15/2018 600,000 89,674
Home Equity Mortgage Trust, 5.821%, 4/25/35 (Step) 5.821 04/25/2035 1,000,000 245,903
Velocity Commercial Capital Loan Trust 2014-1, Floating Rate Note, 9/25/44 (144A) 2.1848 09/25/2044 800,000 629,430
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 7/15/23 0.5856 07/15/2023 835,000 161,327
Fannie Mae Whole Loan, Floating Rate Note, 11/25/46 0.4448 11/25/2046 4,252,000 663,980
Bear Stearns ALT-A Trust 2004-12, Floating Rate Note, 1/25/35 0.8848 01/25/2035 4,956,000 563,221
Lincoln National Corp., 4.3%, 6/15/15 4.3 06/15/2015 250,000 255,289
Sequoia Mortgage Trust 2004-7, Floating Rate Note, 8/20/34 1.7956 08/20/2034 5,250,000 213,785
Micro Focus Us Inc 1st Lien Tl-B L + 4.25% 07oct21 5.25 10/07/2021 352,941 354,391
Direct Capital Funding V LLC, 4.83%, 11/20/20 (144A) 4.83 11/20/2020 750,000 763,131
Bear Stearns ALT-A Trust 2004-12, Floating Rate Note, 1/25/35 0.8848 01/25/2035 9,210,000 988,044
Fannie Mae, 6.5%, 8/1/17 6.5 08/01/2017 667,089 13,055
Resi Flt% 12dec45 A1 0.9677 12/12/2045 500,000 424,119
Wachovia Bank Commercial Mortgage Trust Series 2005-C22 REMICS, Floating Rate Note, 12/15/44 5.267 12/15/2044 1,000,000 773,746
Fifth Third Bancorp, Floating Rate Note, 12/20/16 0.6903 12/20/2016 730,000 727,087
Government National Mortgage Association, Floating Rate Note, 2/16/30 0.8334 02/16/2030 14,415,492 200,614
ACAS CLO 2007-1, Ltd., Floating Rate Note, 4/20/21 0.5051 04/20/2021 500,000 306,477
Conseco Finance Home Equity Loan Trust 2002-C, Floating Rate Note, 4/15/32 1.686 04/15/2032 2,875,000 740,005
Ellington Loan Acquisition Trust 2007-1, Floating Rate Note, 5/26/37 (144A) 1.0848 05/26/2037 550,000 408,840
Structured Asset Securities Corp Mor Cer Ser 2003-31A, Floating Rate Note, 10/25/33 2.5167 10/25/2033 1,500,000 129,981
COMM 2005-C6 Mortgage Trust, Floating Rate Note, 6/10/44 5.116 06/10/2044 770,000 264,608
Sanders Re, Ltd., Floating Rate Note, 5/5/17 (Cat Bond) (144A) 3.5375 05/05/2017 750,000 742,598
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 9/15/26 0.4856 09/15/2026 385,000 208,671
Orange Lake Timeshare Trust 2012-A, 4.87%, 3/10/27 (144A) 4.87 03/10/2027 600,000 251,908
Nissan Motor Acceptance Corp., Floating Rate Note, 3/3/17 (144A) 0.8119 03/03/2017 500,000 502,928
JPMorgan Chase & Co., 1.1%, 10/15/15 1.1 10/15/2015 492,000 493,189
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/32 0.5856 12/15/2032 2,900,000 198,808
Manufacturers & Traders Trust Co., Floating Rate Note, 7/25/17 0.577 07/25/2017 1,000,000 996,237
NSTAR Electric Co., Floating Rate Note, 5/17/16 0.516 05/17/2016 341,000 340,935
Massachusetts Development Finance Agency, Floating Rate Note, 2/15/36 3.0 02/15/2036 250,000 256,746
Costco Wholesale Corp., 1.125%, 12/15/17 1.125 12/15/2017 740,000 743,873
Abbey National Treasury Services Plc London, Floating Rate Note, 9/29/17 0.6831 09/29/2017 750,000 748,628
Enbridge, Inc., Floating Rate Note, 10/1/16 0.9242 10/01/2016 500,000 501,483
Structured Asset Securities Corp Mortgage Pass Through Ctfs Series 2003-35, Floating Rate Note, 12/2 0.6848 12/25/2033 4,960,000 257,982
Extended Stay America Trust 2013-ESH, Floating Rate Note, 12/5/31 (144A) 0.881 12/05/2031 200,000 199,396
Branch Banking & Trust Co., 2.3%, 10/15/18 2.3 10/15/2018 500,000 513,233
Morgan Stanley Capital I Trust 2006-HQ9, Floating Rate Note, 7/12/44 5.793 07/12/2044 600,000 628,542
Aegis Asset Backed Securities Trust Mortgage Pass- Through Ctfs Series 2004-3, Floating Rate Note, 9 0.9048 09/25/2034 12,500,000 392,379
Mastr Asset Backed Securities Trust 2005-WMC1, Floating Rate Note, 3/25/35 0.8598 03/25/2035 215,000 38,582
Kilimanjaro Re, Ltd., Floating Rate Note, 4/30/18 (Cat Bond) (144A) 4.5203 04/30/2018 350,000 351,969
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/37 0.5448 03/25/2037 4,100,000 224,515
Toyota Motor Credit Corp., 0.75%, 3/3/17 (Step) 0.75 03/03/2017 3,150,000 3,158,655
Asset Backed Securities Corp Home Equity Loan Trust Series 2003-HE1, Floating Rate Note, 1/15/33 3.7106 01/15/2033 3,082,000 554,016
VOLT XIX LLC, 3.875%, 4/26/55 (Step) 3.875 04/26/2055 800,000 520,043
KKR Financial CLO 2007-1, Ltd., Floating Rate Note, 5/15/21 (144A) 1.7239 05/15/2021 375,000 371,342
Oak Hill Advisors Residential Loan Trust 2014-NPL1, 2.8828%, 5/25/54 (Step) (144A) 2.8828 05/25/2054 520,000 289,930
Impac CMB Trust Series 2004-4, Floating Rate Note, 9/25/34 0.8248 09/25/2034 32,445,000 1,297,520
HSBC Home Equity Loan Trust USA 2006-3, Floating Rate Note, 3/20/36 0.424 03/20/2036 1,905,000 1,278,354
CNH Wholesale Master Note Trust, Floating Rate Note, 8/15/19 (144A) 0.7856 08/15/2019 525,000 525,859
DCP Midstream Operating LP, 3.25%, 10/1/15 3.25 10/01/2015 500,000 502,723
Riverfront Re, Ltd., Floating Rate Note, 1/6/17 (Cat Bond) (144A) 4.0203 01/06/2017 320,000 318,748
Freddie Mac Structured Agency Credit Risk Debt Notes, Floating Rate Note, 2/25/24 1.1813 02/25/2024 485,000 432,052
The Bank of New York Mellon Corp., 2.95%, 6/18/15 2.95 06/18/2015 750,000 760,810
Credit Acceptance Auto Loan Trust 2013-2, 1.5%, 4/15/21 (144A) 1.5 04/15/2021 1,000,000 1,004,288
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/39 0.7348 09/25/2039 683,053 94,392
Discover Card Execution Note Trust, Floating Rate Note, 10/15/18 0.3656 10/15/2018 600,000 600,050
The Bank of Tokyo-Mitsubishi UFJ, Ltd., 2.7%, 9/9/18 (144A) 2.7 09/09/2018 305,000 315,326
Federal National Mortgage Association REMICS, Floating Rate Note, 6/25/38 0.6848 06/25/2038 2,355,000 127,892
PFS Tax Lien Trust 2014-1, 1.44%, 5/15/29 1.44 05/15/2029 400,000 260,501
Holmes Master Issuer Plc, Floating Rate Note, 10/15/54 (144A) 2.4753 10/15/2054 250,000 261,252
Volkswagen International Finance NV, 1.125%, 11/18/16 (144A) 1.125 11/18/2016 750,000 752,112
Prestige Brands, Inc., Term B-3 Loan, 9/3/21 3.5 09/03/2021 265,059 265,887
First Franklin Mortgage Loan Trust 2005-FFH3, Floating Rate Note, 9/25/35 0.6948 09/25/2035 1,100,000 426,927
Government National Mortgage Association, Floating Rate Note, 1/16/40 0.7334 01/16/2040 2,000,000 618,070
Unifrax I LLC, New Term B Dollar Loan, 11/28/18 4.25 11/28/2018 497,487 497,487
Federal Home Loan Mortgage Corp., 3.0%, 6/15/38 3.0 06/15/2038 2,000,000 321,265
Duke Energy Carolinas LLC, 1.75%, 12/15/16 1.75 12/15/2016 750,000 767,279
Fannie Mae, Floating Rate Note, 4/1/28 2.713 04/01/2028 400,000 3,171
American Credit Acceptance Receivables Trust 2014-2, 0.99%, 10/10/17 (144A) 0.99 10/10/2017 500,000 141,903
US Bancorp, 2.45%, 7/27/15 2.45 07/27/2015 755,000 763,772
Federal National Mortgage Association REMICS, Floating Rate Note, 5/25/33 0.6848 05/25/2033 4,068,000 97,751
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/33 0.6848 09/25/2033 4,915,594 477,257
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-A, Floating Rate Note, 3/25/28 1.2047 03/25/2028 10,213,000 309,731
St Jude Medical, Inc., 2.5%, 1/15/16 2.5 01/15/2016 510,000 520,156
Kane Zero% 29apr16 0.0 04/29/2016 800,000 834,240
Federal National Mortgage Association REMICS, 1.75%, 12/25/22 1.75 12/25/2022 1,000,000 261,567
Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/35 0.4948 02/25/2035 603,000 182,253
MVW Owner Trust 2014-1, 2.7%, 9/20/31 (144A) 2.7 09/20/2031 750,000 644,817
Blue Danube II, Ltd., Floating Rate Note, 5/23/18 (Cat Bond) (144A) 4.3682 05/23/2018 800,000 799,222
Eco Services Operations Llc 1st Lien Tl-B L + 3.75% 10oct21 4.75 10/10/2021 523,688 523,688
Centex Home Equity Loan Trust 2005-B, 4.893%, 3/25/33 (Step) 4.893 03/25/2033 3,300,000 148,813
SilverLeaf Finance XVII LLC, 2.71%, 3/16/26 (144A) 2.71 03/16/2026 750,000 347,899
NovaStar Mortgage Funding Trust Series 2004-4, Floating Rate Note, 3/25/35 1.8348 03/25/2035 1,457,000 1,432,926
Silverton RE, Ltd., 0.0%, 9/18/17 (Cat Bond) (144A) 0.0 09/18/2017 400,000 435,880
Bright Horizons Family Solutions, Inc., Term B Loan, 1/30/20 4.0 01/30/2020 394,957 396,315
Federal National Mortgage Association REMICS, 3.5%, 10/25/39 3.5 10/25/2039 490,000 270,939
Citrus Re, Ltd., Floating Rate Note, 4/18/17 (Cat Bond) (144A) 4.2601 04/18/2017 250,000 245,103
GMAT 2013-1 Trust, 3.9669%, 8/25/53 (Step) 3.9669 08/25/2053 1,505,000 959,351
Vita Capital V, Ltd., Floating Rate Note, 1/15/17 (Cat Bond) (144A) 2.7576 01/15/2017 750,000 764,100
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/45 0.4048 03/25/2045 6,100,000 875,157
Irwin Whole Loan Home Equity Trust 2003-D, Floating Rate Note, 11/25/28 4.6848 11/25/2028 2,250,000 178,596
Bear Stearns Commercial Mortgage Securities Trust 2005-PWR9, 4.871%, 9/11/42 4.871 09/11/2042 2,280,000 1,058,903
Tradewynd Re, Ltd., Floating Rate Note, 1/8/18 (Cat Bond) (144A) 5.0375 01/08/2018 250,000 248,143
AmeriCredit Automobile Receivables Trust 2012-4, 3.82%, 2/10/20 (144A) 3.82 02/10/2020 500,000 514,452
Ford Credit Auto Owner Trust 2014-A, 0.48%, 11/15/16 0.48 11/15/2016 260,000 35,893
The Bank of Nova Scotia, 1.375%, 7/15/16 1.375 07/15/2016 500,000 506,400
A10 Term Asset Financing 2013-2 LLC, 2.62%, 11/15/27 (144A) 2.62 11/15/2027 1,085,000 852,207
Government National Mortgage Association I, 6.0%, 3/15/17 6.0 03/15/2017 10,311,138 115,340
JPMorgan Chase & Co., 3.4%, 6/24/15 3.4 06/24/2015 265,000 269,367
L-3 Communications Corp., 1.5%, 5/28/17 1.5 05/28/2017 586,000 581,320
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-E, Floating Rate Note, 10/25/28 0.8048 10/25/2028 8,393,000 362,988
CHL Mortgage Pass-Through Trust 2004-14, Floating Rate Note, 8/25/34 2.3848 08/25/2034 1,810,000 178,381
ZIGGO BV, (USD) TLB3, 1/15/22 3.5 01/15/2022 476,177 475,195
Federal National Mortgage Association 2004-T2, Floating Rate Note, 7/25/43 3.4084 07/25/2043 6,750,000 902,790
Bayview Opportunity Master Fund IIA Trust 2012-4NPL Series III, Floating Rate Note, 2/28/35 (144A) 3.721 02/28/2035 400,000 382,537
TransCanada PipeLines, Ltd., Floating Rate Note, 6/30/16 0.9531 06/30/2016 690,000 692,675
Government National Mortgage Association REMICS, 2.0%, 1/16/46 2.0 01/16/2046 3,000,000 2,916,146
VOLT XXXIII LLC, 3.5%, 3/25/55 (Step) (144A) 3.5 03/25/2055 700,000 694,679
WaMu Mortgage Pass-Through Certificates Series 2002-AR6 Trust, Floating Rate Note, 6/25/42 1.5458 06/25/2042 29,950,000 348,054
Oscar US Funding Trust 2014-1, 1.0%, 8/15/17 (144A) 1.0 08/15/2017 700,000 641,703
CNH Equipment Trust 2013-A, 0.69%, 6/15/18 0.69 06/15/2018 450,000 238,384
AMRESCO Residential Securities Corp Mortgage Loan Trust 1997-3, Floating Rate Note, 9/25/27 0.7398 09/25/2027 8,940,000 136,050
JPMorgan Chase & Co., Floating Rate Note, 2/26/16 0.902 02/26/2016 320,000 320,776
Kane Flt% 12jun15   06/12/2015 600,000 599,580
JP Morgan Chase Commercial Mortgage Securities Trust 2014-INN, Floating Rate Note, 6/15/29 (144A) 1.886 06/15/2029 650,000 647,933
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 5/15/36 0.5856 05/15/2036 2,159,000 135,628
Federal Home Loan Mortgage Corp. REMICS, 5.5%, 10/15/35 5.5 10/15/2035 1,625,000 29,161
Aegis Asset Backed Securities Trust Mortgage Pass-Through Ctfs Ser 2005-4, Floating Rate Note, 10/25 0.5548 10/25/2035 239,000 111,696
Morgan Stanley Dean Witter Capital I Trust 2001-TOP3, 6.79%, 7/15/33 6.79 07/15/2033 460,000 59,747
Wells Fargo Bank NA, Floating Rate Note, 5/16/16 0.486 05/16/2016 250,000 249,679
John Deere Capital Corp., 1.05%, 12/15/16 1.05 12/15/2016 750,000 756,904
Federal Home Loan Mortgage Corp., Floating Rate Note, 4/1/25 2.599 04/01/2025 13,000,000 17,327
Banc of America Funding 2004-B Trust, Floating Rate Note, 12/20/34 0.544 12/20/2034 6,667,000 415,854
Fifth Third Bank Cincinnati Ohio, Floating Rate Note, 2/26/16 0.692 02/26/2016 500,000 501,614
Hilton USA Trust 2013-HLF, Floating Rate Note, 11/5/30 (144A) 2.931 11/05/2030 500,000 493,816
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 5/15/36 0.3656 05/15/2036 4,000,000 149,808
Aircastle, Ltd., 6.75%, 4/15/17 6.75 04/15/2017 1,100,000 1,191,988
The Korea Development Bank, Floating Rate Note, 1/22/17 0.901 01/22/2017 750,000 750,409
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/36 0.5348 09/25/2036 1,275,000 155,255
ABN AMRO Bank NV, Floating Rate Note, 10/28/16 (144A) 1.079 10/28/2016 750,000 755,384
Commercial Mortgage Pass Through Certificates, Floating Rate Note, 11/19/26 (144A) 1.786 11/19/2026 850,000 850,358
Morgan Stanley Capital I Trust 2005-HQ6 REMICS, Floating Rate Note, 8/13/42 5.073 08/13/2042 1,250,000 137,384
Emdeon Inc 1st Lien Tl-B3 L + 2.5% 02nov18 3.75 11/02/2018 398,000 399,368
North American Development Bank, 2.3%, 10/10/18 2.3 10/10/2018 650,000 664,337
Invitation Homes 2014-SFR2 Trust, Floating Rate Note, 9/18/31 (144A) 1.786 09/18/2031 600,000 602,177
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-H, Floating Rate Note, 1/25/29 0.8248 01/25/2029 6,910,000 352,325
Federal Home Loan Mortgage Corp., Floating Rate Note, 7/15/19 0.3356 07/15/2019 1,500,000 78,380
Government National Mortgage Association I, 7.5%, 10/15/36 7.5 10/15/2036 1,000,000 61,071
Ford Motor Credit Co LLC, 2.375%, 1/16/18 2.375 01/16/2018 250,000 255,680
Lehman Brothers Small Balance Commercial, Floating Rate Note, 4/25/31 (144A) 0.4148 04/25/2031 3,723,496 436,458
Merrill Lynch Mortgage Trust 2005-CKI1, Floating Rate Note, 11/12/37 5.4484 11/12/2037 2,360,000 1,176,803
Bear Stearns Commercial Mortgage Securities Trust 2006-PWR14, 5.171%, 12/11/38 5.171 12/11/2038 790,000 174,980
Fannie Mae, 4.0%, 12/1/19 4.0 12/01/2019 3,570,319 594,341
A10 Securitization 2013-1 LLC, 2.4%, 11/17/25 (144A) 2.4 11/17/2025 642,000 143,943
American Honda Finance Corp., Floating Rate Note, 12/11/17 0.5766 12/11/2017 750,000 752,855
Polarpak, Inc., USD Term Loan (Canadian Borrower Portion), 6/7/20 4.5 06/07/2020 156,766 157,060
Morgan Stanley Mortgage Loan Trust 2005-5AR, Floating Rate Note, 9/25/35 0.4548 09/25/2035 9,387,000 684,792
Kane Ilw Zero% 02feb16 0.0 02/02/2016 250,000 237,225
Toyota Motor Credit Corp., 1.125%, 5/16/17 1.125 05/16/2017 750,000 753,420
Terex Corp., U.S. Term Loan, 8/13/21 3.5 08/13/2021 257,041 257,844
Sierra Timeshare 2013-1 Receivables Funding LLC, 2.39%, 11/20/29 (144A) 2.39 11/20/2029 160,000 47,714
RAIT 2014-FL2 Trust, Floating Rate Note, 5/15/31 (144A) 2.3323 05/15/2031 1,500,000 1,486,235
Steward Health Care System LLC, Term Loan, 4/10/20 6.75 04/10/2020 295,489 294,196
American Credit Acceptance Receivables Trust 2014-1, 1.14%, 3/12/18 (144A) 1.14 03/12/2018 520,000 90,771
Ford Credit Auto Owner Trust 2013-D, 1.54%, 3/15/19 1.54 03/15/2019 100,000 100,262
Sierra Timeshare 2012-2 Receivables Funding LLC, 2.38%, 3/20/29 (144A) 2.38 03/20/2029 1,500,000 340,628
Daimler Finance North America LLC, Floating Rate Note, 3/10/17 (144A) 0.6146 03/10/2017 750,000 751,715
U.S. Treasury Notes, 0.5%, 7/31/16 0.5 07/31/2016 10,500,000 10,533,949
Fannie Mae, Floating Rate Note, 10/1/36 1.896 10/01/2036 1,877,185 310,483
Invitation Homes 2013-SFR1 Trust, Floating Rate Note, 12/19/30 (144A) 2.1 12/19/2030 750,000 752,060
Citigroup, Inc., Floating Rate Note, 7/25/16 1.237 07/25/2016 750,000 754,034
American Airlines Inc 1st Lien Tl-B L + 3% 10oct21 3.75 10/10/2021 750,000 753,375
Mythen Re, Ltd. Series 2012-2 Class A, Floating Rate Note, 1/5/17 (Cat Bond) (144A) 8.6049 01/05/2017 500,000 526,069
Wells Fargo Commercial Mortgage Trust 2014-TISH REMICS, Floating Rate Note, 2/16/27 (144A) 2.036 02/16/2027 1,250,000 1,252,612
Merrill Lynch Mortgage Investors Trust Series MLCC 2005-A, Floating Rate Note, 3/25/30 0.6448 03/25/2030 7,567,883 419,030
Madison Avenue Manufactured Housing Contract Trust 2002-A, Floating Rate Note, 3/25/32 2.4348 03/25/2032 1,100,000 204,628
Government National Mortgage Association II, 6.0%, 8/20/19 6.0 08/20/2019 2,911,151 126,565
Extended Stay America Trust 2013-ESH, Floating Rate Note, 12/5/31 (144A) 1.281 12/05/2031 200,000 199,760
Wells Fargo & Co., 1.5%, 7/1/15 1.5 07/01/2015 1,050,000 1,057,544
America Movil SAB de CV, Floating Rate Note, 9/12/16 1.2677 09/12/2016 1,000,000 1,005,749
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 10/15/37 0.7656 10/15/2037 3,873,000 251,906
Pricoa Global Funding I, Floating Rate Note, 6/24/16 (144A) 0.4768 06/24/2016 500,000 500,510
Fore CLO, Ltd., Floating Rate Note, 7/20/19 (144A) 0.5201 07/20/2019 250,000 48,865
Kilimanjaro Re, Ltd., Floating Rate Note, 11/25/19 (Cat Bond) (144A) 3.7703 11/25/2019 750,000 746,138
MortgageIT Trust 2004-2, Floating Rate Note, 12/25/34 0.9248 12/25/2034 5,310,000 741,060
Bear Stearns ALT-A Trust 2004-12, Floating Rate Note, 1/25/35 1.0248 01/25/2035 3,280,000 342,657
Metropolitan Life Global Funding I, Floating Rate Note, 7/15/16 (144A) 0.8053 07/15/2016 300,000 301,781
Residential Reinsurance 2011, Ltd., Floating Rate Note, 6/6/17 (Cat Bond) (144A) 8.9051 06/06/2017 500,000 510,304
Freddie Mac Strips, Floating Rate Note, 12/15/36 0.5356 12/15/2036 2,327,000 122,434
Federal National Mortgage Association, 4.5%, 8/25/27 4.5 08/25/2027 4,509,000 26,342
Longpoint Re, Ltd. III, Floating Rate Note, 5/18/16 (Cat Bond) (144A) 3.9651 05/18/2016 500,000 502,075
Fannie Mae, 2.5%, 6/1/23 2.5 06/01/2023 526,320 384,307
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 5/15/41 0.5856 05/15/2041 638,000 99,355
Banc of America Merrill Lynch Commercial Mortgage, Inc., Floating Rate Note, 10/10/45 5.115 10/10/2045 1,370,000 768,284
Springleaf Funding Trust 2013-A, 2.58%, 9/15/21 (144A) 2.58 09/15/2021 1,200,000 807,013
COMM 2014-PAT Mortgage Trust, Floating Rate Note, 8/13/27 (144A) 1.7785 08/13/2027 820,000 817,447
Federal National Mortgage Association, 3.0%, 6/25/39 3.0 06/25/2039 5,000,000 461,395
TMS International Corp., Term B Loan, 10/2/20 4.5 10/02/2020 146,199 146,565
Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/33 0.5348 02/25/2033 4,696,499 199,162
Westgate Resorts 2012-A LLC, 3.75%, 8/20/25 (144A) 3.75 08/20/2025 403,000 178,655
Credit Suisse Commercial Mortgage Trust Series 2006-C2 REMICS, Floating Rate Note, 3/15/39 5.6701 03/15/2039 1,970,000 1,879,166
Commercial Mortgage Trust 2005-GG3, Floating Rate Note, 8/10/42 4.894 08/10/2042 1,000,000 128,857
American Honda Finance Corp., Floating Rate Note, 5/26/16 (144A) 0.657 05/26/2016 1,675,000 1,680,510
Alamo Re, Ltd., Floating Rate Note, 6/7/17 (Cat Bond) (144A) 6.3601 06/07/2017 250,000 254,820
General Mills, Inc., 0.875%, 1/29/16 0.875 01/29/2016 250,000 251,031
Government National Mortgage Association, Floating Rate Note, 8/20/35 0.584 08/20/2035 1,177,000 51,824
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-G, Floating Rate Note, 1/25/30 0.9574 01/25/2030 3,771,000 225,228
Homestar Mortgage Acceptance Corp., Floating Rate Note, 7/25/34 0.6348 07/25/2034 2,600,000 203,572
Banco Nacional de Desenvolvimento Economico e Social, 3.375%, 9/26/16 (144A) 3.375 09/26/2016 1,000,000 1,019,844
Carrington Mortgage Loan Trust Series 2005-NC1, Floating Rate Note, 2/26/35 0.9198 02/26/2035 3,586,373 394,410
DELOS FINANCE SARL, Loan, 2/27/21 3.5 03/06/2021 425,000 425,974
GS Caltex Corp., 3.25%, 10/1/18 (144A) 3.25 10/01/2018 500,000 514,762
RAAC Series 2004-SP2 Trust, 6.0%, 1/25/32 6.0 01/25/2032 11,000,000 384,579
JP Morgan Chase Commercial Mortgage Securities Trust 2014-FL4, Floating Rate Note, 12/16/30 (144A) 1.936 12/16/2030 410,000 410,651
Sequoia Mortgage Trust 2004-10, Floating Rate Note, 11/20/34 0.824 11/20/2034 1,990,836 196,832
Wells Fargo Home Equity Asset-Backed Securities 2005-3 Trust, Floating Rate Note, 12/25/35 0.5648 12/25/2035 200,000 47,127
Arlington Flt% 01aug15 0.0 08/01/2015 250,000 284,625
PNC Bank NA, Floating Rate Note, 8/1/17 0.5782 08/01/2017 750,000 748,927
Origen Manufactured Housing Contract Trust 2005-A, Floating Rate Note, 6/15/36 5.41 06/15/2036 250,000 222,380
Principal Life Global Funding II, 1.2%, 5/19/17 (144A) 1.2 05/19/2017 750,000 752,432
American Express Credit Corp., Floating Rate Note, 6/12/15 1.3677 06/12/2015 200,000 200,674
Wheelabrator 1st Lien Tl-C L + 4% 15oct21 5.0 10/15/2021 42,146 42,725
RREF 2014-LT6 LLC, 2.75%, 9/15/24 (144A) 2.75 09/15/2024 1,280,000 554,984
American Credit Acceptance Receivables Trust 2014-3, 0.99%, 8/10/18 (144A) 0.99 08/10/2018 410,000 194,279
Bayview Commercial Asset Trust 2007-2, 0.0%, 7/27/37 (Step) (144A) 0.0 07/27/2037 4,500,000 0
American Honda Finance Corp., 1.2%, 7/14/17 1.2 07/14/2017 750,000 754,937
CNL Commercial Mortgage Loan Trust 2003-2, Floating Rate Note, 10/25/30 (144A) 0.6263 10/25/2030 1,000,000 77,957
ACRE Commercial Mortgage Trust 2014-FL2, Floating Rate Note, 8/15/31 (144A) 1.6303