Pioneer Investments: Pioneer Short Term Income Fund


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Pioneer Short Term Income Fund

Monthly Portfolio Holdings as of 2/27/2015

Security Name Coupon Maturity Date Par / Shares Market Value($)
UnitedHealth Group, Inc., 1.875%, 11/15/16 1.875 11/15/2016 500,000 511,303
JP Morgan Chase Commercial Mortgage Securities Trust 2006-FL2, Floating Rate Note, 11/15/18 (144A) 0.452 11/15/2018 2,550,000 500,757
77 Energy 1st Lien Tl-B L + 3% 17jun21 3.75 06/17/2021 348,250 318,649
Banc of America Alternative Loan Trust 2004-4, 5.25%, 5/25/19 5.25 05/25/2019 1,363,000 140,872
American Home Mortgage Investment Trust 2004-3, 5.01%, 10/25/34 (Step) 5.01 10/25/2034 4,000,000 91,206
Tnote 0.875% 15jan18 0.875 01/15/2018 14,500,000 14,473,852
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-H, Floating Rate Note, 1/25/29 0.811 01/25/2029 6,366,000 337,507
Federal National Mortgage Association REMICS, Floating Rate Note, 7/25/35 0.471 07/25/2035 750,000 159,941
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-G, Floating Rate Note, 1/25/30 0.9574 01/25/2030 3,400,000 209,906
Government National Mortgage Association, Floating Rate Note, 1/16/40 0.722 01/16/2040 2,000,000 655,028
Extended Stay America Trust 2013-ESH, Floating Rate Note, 12/5/31 (144A) 0.871 12/05/2031 200,000 199,241
GE Business Loan Trust 2004-2, Floating Rate Note, 12/15/32 (144A) 0.392 12/15/2032 2,833,274 386,172
Foresight Energy LLC, Term Loan, 8/21/20 5.5 08/21/2020 67,011 64,331
Government National Mortgage Association II, 6.0%, 4/20/22 6.0 04/20/2022 1,262,566 182,534
Federal National Mortgage Association REMICS, Floating Rate Note, 10/27/37 0.371 10/27/2037 1,375,920 1,357,771
Government National Mortgage Association REMICS, 4.0%, 9/20/37 4.0 09/20/2037 4,000,000 2,707,249
BCAP LLC 2013-RR3 Trust, Floating Rate Note, 5/28/36 (144A) 2.4544 05/28/2036 500,000 359,052
Federal National Mortgage Association 2004-T2, Floating Rate Note, 7/25/43 3.382 07/25/2043 6,750,000 922,083
Kane Sac, Ltd., 0.0%, 1/7/16 (Cat Bond) 0.0 01/07/2016 685,125 686,838
Sequoia Mortgage Trust 2004-9, Floating Rate Note, 10/20/34 0.8535 10/20/2034 6,000,000 545,183
Tpf Ii Power Llc 1st Lien Tl-B L + 4.5% 24sep21 5.5 09/24/2021 750,000 759,375
Federal National Mortgage Association REMICS, Floating Rate Note, 6/25/37 0.411 06/25/2037 2,134,162 260,306
Government National Mortgage Association, Floating Rate Note, 4/16/32 0.722 04/16/2032 33,333,000 595,982
Credit Suisse First Boston Mortgage Securities Corp., Floating Rate Note, 12/17/40 5.23 12/17/2040 2,730,000 1,841,899
Citigroup Mortgage Loan Trust, Inc., Floating Rate Note, 11/25/34 1.191 11/25/2034 900,000 56,313
Government National Mortgage Association, Floating Rate Note, 1/16/35 0.422 01/16/2035 2,563,000 264,685
MortgageIT Trust 2004-2, Floating Rate Note, 12/25/34 0.911 12/25/2034 5,310,000 799,568
HarborView Mortgage Loan Trust 2004-1, Floating Rate Note, 4/19/34 2.6998 04/19/2034 3,987,000 173,780
Freddie Mac Structured Agency Credit Risk Debt Notes, Floating Rate Note, 8/25/24 1.521 08/25/2024 1,430,000 1,380,326
The Toronto-Dominion Bank, Floating Rate Note, 7/2/19 0.6952 07/02/2019 750,000 749,226
Thornburg Mortgage Securities Trust 2004-3, Floating Rate Note, 9/25/34 0.911 09/25/2034 11,534,309 911,763
Wells Fargo & Co., Floating Rate Note, 6/26/15 1.1746 06/26/2015 585,000 587,845
Federal National Mortgage Association, 3.5%, 1/25/24 3.5 01/25/2024 7,225,000 256,659
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 3/15/38 0.572 03/15/2038 2,600,000 821,261
Morgan Stanley Capital I Trust 2005-TOP19, 4.89%, 6/12/47 4.89 06/12/2047 1,940,000 1,140,593
Wells Fargo Commercial Mortgage Trust 2014-TISH, Floating Rate Note, 2/16/27 (144A) 1.203 02/16/2027 690,000 687,869
Bear Stearns ARM Trust 2003-3, Floating Rate Note, 5/25/33 2.4976 05/25/2033 9,158,341 265,304
GTP Acquisition Partners I LLC, 4.347%, 6/15/41 (144A) 4.347 06/15/2041 614,000 625,719
Terex Corp., U.S. Term Loan, 8/13/21 3.5 08/13/2021 257,686 258,894
Citigroup Mortgage Loan Trust 2010-4 REMICS, 5.0%, 10/25/35 (144A) 5.0 10/25/2035 2,735,000 748,850
Residential Reinsurance 2012, Ltd., Floating Rate Note, 12/6/16 (Cat Bond) (144A) 5.7652 12/06/2016 250,000 261,839
Commercial Mortgage Trust 2005-GG5, Floating Rate Note, 4/10/37 5.277 04/10/2037 2,075,000 2,122,716
Fannie Mae, Floating Rate Note, 10/1/36 1.896 10/01/2036 1,877,185 313,125
SLM Student Loan Trust 2004-10, Floating Rate Note, 4/27/26 (144A) 1.0061 04/27/2026 380,000 377,496
IndyMac INDX Mortgage Loan Trust 2004-AR6, Floating Rate Note, 10/25/34 2.737 10/25/2034 675,000 78,053
Federal Home Loan Mortgage Corp., Floating Rate Note, 7/15/28 0.672 07/15/2028 52,559,000 358,818
Skandinaviska Enskilda Banken AB New York NY, Floating Rate Note, 9/21/15 0.5871 09/21/2015 750,000 751,584
Health Care Real Estate Investment Trust, Inc., 2.25%, 3/15/18 2.25 03/15/2018 500,000 509,246
Mastr Asset Backed Securities Trust 2006-AB1 REMICS, Floating Rate Note, 2/25/36 0.401 02/25/2036 3,670,545 594,287
Becton Dickinson and Co., 1.8%, 12/15/17 1.8 12/15/2017 750,000 759,185
American Credit Acceptance Receivables Trust 2013-1, 1.45%, 4/16/18 (144A) 1.45 04/16/2018 41,000 8,576
KeyBank NA Cleveland Ohio, 1.1%, 11/25/16 1.1 11/25/2016 500,000 501,884
A10 Securitization 2013-1 LLC, 2.4%, 11/17/25 (144A) 2.4 11/17/2025 642,000 184,714
RBS Greenwich Capital Mortgage Loan Trust, Floating Rate Note, 4/15/24 (144A) 4.2114 04/15/2024 250,000 251,443
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/36 0.472 02/15/2036 1,133,000 196,723
Structured Asset Mortgage Investments II Trust 2005-F1 REMICS, Floating Rate Note, 8/26/35 0.671 08/26/2035 6,100,000 120,569
GS Mortgage Securities Trust 2006-GG6 REMICS, Floating Rate Note, 4/10/38 5.553 04/10/2038 1,020,000 1,045,103
Fieldstone Mortgage Investment Trust Series 2005-1, Floating Rate Note, 3/25/35 1.2483 03/25/2035 311,000 105,748
Government National Mortgage Association I, 6.0%, 11/15/36 6.0 11/15/2036 2,000,000 181,951
Bayview Commercial Asset Trust 2004-1, Floating Rate Note, 4/25/34 (144A) 0.711 04/25/2034 4,150,000 387,425
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 6/15/41 0.602 06/15/2041 1,220,000 307,048
Morgan Stanley Capital I Trust 2006-TOP21, Floating Rate Note, 10/12/52 5.162 10/12/2052 1,435,000 1,464,077
Government National Mortgage Association REMICS, 2.0%, 1/16/46 2.0 01/16/2046 3,000,000 2,955,807
Equity One Mortgage Pass-Through Trust 2004-1, Floating Rate Note, 4/25/34 4.145 04/25/2034 1,840,000 468,776
Scientific Games International Inc 1st Lien Tl-B2 L + 5% 17sep21 6.0 09/17/2021 925,000 924,943
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 8/15/26 0.372 08/15/2026 370,000 128,839
Structured Asset Securities Corp Mortgage Pass-Through Ctfs Ser 2003-24A, Floating Rate Note, 7/25/3 2.4432 07/25/2033 7,700,000 910,493
Telefonica Emisiones SAU, 3.992%, 2/16/16 3.992 02/16/2016 500,000 514,961
Citigroup Mortgage Loan Trust, Inc., Floating Rate Note, 3/26/35 2.611 03/26/2035 1,750,000 149,308
JP Morgan Chase Commercial Mortgage Securities Trust 2007-CIBC19, Floating Rate Note, 2/12/49 5.6939 02/12/2049 475,000 4,934
HSBC Bank Plc, 3.5%, 6/28/15 (144A) 3.5 06/28/2015 750,000 761,928
Banc of America Merrill Lynch Commercial Mortgage, Inc., Floating Rate Note, 10/10/45 5.115 10/10/2045 1,370,000 1,121,457
Home Equity Mortgage Trust, 5.821%, 4/25/35 (Step) 5.821 04/25/2035 1,000,000 261,968
Duke Energy Progress, Inc., Floating Rate Note, 3/6/17 0.4354 03/06/2017 411,000 411,248
Del Coronado Trust 2013-DEL, Floating Rate Note, 3/16/26 (144A) 1.472 03/16/2026 300,000 300,161
CG-CCRE Commercial Mortgage Trust 2014-FL1, Floating Rate Note, 6/16/31 (144A) 1.122 06/16/2031 1,630,000 1,628,700
Queen Street VII Re, Ltd., Floating Rate Note, 4/8/16 (Cat Bond) (144A) 8.6325 04/08/2016 750,000 787,187
SunTrust Bank, 1.35%, 2/15/17 1.35 02/15/2017 500,000 501,897
Fannie Mae, Floating Rate Note, 12/1/28 2.445 12/01/2028 1,112,489 52,981
Gray Television Inc. 1st Lien Tl L + 3% 10jun21 3.75 06/10/2021 801,032 800,198
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/35 0.521 03/25/2035 1,278,000 242,303
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/39 0.872 12/15/2039 666,000 261,913
CGWF Commercial Mortgage Trust 2013-RKWH REMICS, Floating Rate Note, 11/15/30 (144A) 2.072 11/15/2030 1,720,000 1,724,307
Kane Sac, Ltd., 0.0%, 1/7/16 (Cat Bond) 0.0 01/07/2016 458,833 459,338
Structured Asset Securities Corp Mortgage Pass-Through Certificates Ser 2004-S4, Floating Rate Note, 2.646 12/25/2034 500,000 66,755
Mythen Re, Ltd., Floating Rate Note, 5/7/15 (Cat Bond) (144A) 8.0424 05/07/2015 1,750,000 1,774,234
Vers 2015-A Zero% 31dec17 0.0 12/31/2017 800,000 806,240
Sequoia Mortgage Trust 2004-12 REMICS, Floating Rate Note, 1/20/35 0.6336 01/20/2035 3,700,000 252,952
Fannie Mae, Floating Rate Note, 2/1/33 3.04 02/01/2033 380,000 1,370
NYSE Euronext Holdings LLC, 2.0%, 10/5/17 2.0 10/05/2017 150,000 153,347
Citrus Re, Ltd., Floating Rate Note, 4/24/17 (Cat Bond) (144A) 3.7753 04/24/2017 600,000 599,808
GP Portfolio Trust 2014-GGP, Floating Rate Note, 2/16/27 (144A) 1.472 02/16/2027 1,000,000 1,000,066
FDIC 2010-R1 Trust, 2.184%, 5/25/50 (144A) 2.184 05/25/2050 2,060,000 720,064
JPMorgan Chase & Co., 3.4%, 6/24/15 3.4 06/24/2015 265,000 269,009
COMM 2014-KYO Mortgage Trust, Floating Rate Note, 6/11/27 (144A) 1.823 06/11/2027 1,630,000 1,628,496
Oracle Corp., Floating Rate Note, 7/7/17 0.4536 07/07/2017 575,000 575,769
Arlington Flt% 01aug15 0.0 08/01/2015 250,000 275,925
BB&T Corp., 1.6%, 8/15/17 1.6 08/15/2017 103,000 103,793
14112z Zero% 01feb19 0.0 02/01/2019 1,000,000 1,027,100
Banco Nacional de Desenvolvimento Economico e Social, 3.375%, 9/26/16 (144A) 3.375 09/26/2016 1,000,000 1,020,781
GMAC Commercial Mortgage Securities Inc Series 2005-C1 Trust, 4.697%, 5/10/43 4.697 05/10/2043 1,019,000 94,234
Thomson Reuters Corp., 0.875%, 5/23/16 0.875 05/23/2016 250,000 250,221
JPMorgan Chase & Co., Floating Rate Note, 2/26/16 0.8811 02/26/2016 320,000 320,949
Commercial Mortgage Pass Through Certificates, Floating Rate Note, 11/19/26 (144A) 2.1061 11/19/2026 600,000 224,685
New York Life Global Funding, 1.45%, 12/15/17 (144A) 1.45 12/15/2017 750,000 755,012
Discovery Communications LLC, 3.7%, 6/1/15 3.7 06/01/2015 750,000 762,392
Federal Home Loan Mortgage Corp. REMICS, 5.5%, 10/15/35 5.5 10/15/2035 1,625,000 46,084
NCUA Guaranteed Notes Trust REMICS, Floating Rate Note, 3/2/21 0.0 03/02/2021 800,000 355,363
Banc of America Mortgage 2003-H Trust, Floating Rate Note, 9/25/33 2.7242 09/25/2033 13,410,000 1,049,704
Extended Stay America Trust 2013-ESH, 1.2783%, 12/5/31 (144A) 1.2783 12/05/2031 723,000 718,637
Electricite de France SA, Floating Rate Note, 1/20/17 (144A) 0.7166 01/20/2017 750,000 751,512
Raymond James Financial, Inc., 4.25%, 4/15/16 4.25 04/15/2016 2,108,000 2,227,386
Digital Realty Trust LP, 4.5%, 7/15/15 4.5 07/15/2015 650,000 656,423
Fifth Third Bank Cincinnati Ohio, Floating Rate Note, 2/26/16 0.6711 02/26/2016 500,000 501,282
Federal Home Loan Mortgage Corp., Floating Rate Note, 4/1/25 2.599 04/01/2025 13,000,000 17,686
Ascentium Equipment Receivables 2014-1 LLC, 1.04%, 1/10/17 (144A) 1.04 01/10/2017 400,000 339,778
Enterprise Products Operating LLC, 3.2%, 2/1/16 3.2 02/01/2016 1,000,000 1,023,668
SunTrust Bank, Floating Rate Note, 2/15/17 0.6971 02/15/2017 805,000 804,261
Ameriquest Mortgage Securities Inc Asset Backed Pass-Through Ctfs Ser 2005-R11, Floating Rate Note, 0.501 01/25/2036 962,222 601,359
Ford Credit Auto Owner Trust 2013-D, 1.54%, 3/15/19 1.54 03/15/2019 100,000 99,887
Federal Home Loan Banks, 2.9%, 4/20/17 2.9 04/20/2017 1,370,000 245,657
GE Capital Commercial Mortgage Corp., Floating Rate Note, 7/10/45 4.974 07/10/2045 490,000 493,334
Federal Home Loan Mortgage Corp., Floating Rate Note, 4/15/33 0.482 04/15/2033 22,025,143 907,306
Banc of America Commercial Mortgage Trust 2006-1, Floating Rate Note, 9/10/45 5.421 09/10/2045 1,750,000 1,810,924
Conseco Finance Home Equity Loan Trust 2002-C, Floating Rate Note, 4/15/32 1.673 04/15/2032 2,875,000 775,265
HLSS Servicer Advance Receivables Trust, 1.7436%, 1/16/46 (144A) 1.7436 01/16/2046 250,000 250,244
Trafigura Securitisation Finance Plc, Floating Rate Note, 10/15/15 (144A) 4.172 10/15/2015 487,000 488,492
Government National Mortgage Association, Floating Rate Note, 3/16/53 0.963 03/16/2053 1,200,000 74,549
Walgreens Boots Alliance, Inc., Floating Rate Note, 5/18/16 0.7062 05/18/2016 750,000 751,375
GMACM Mortgage Loan Trust 2004-AR1, Floating Rate Note, 6/25/34 2.9313 06/25/2034 2,100,000 195,305
Springleaf Funding Trust 2014-A, 2.41%, 12/15/22 (144A) 2.41 12/15/2022 1,000,000 999,640
Citigroup, Inc., Floating Rate Note, 4/1/16 1.0452 04/01/2016 500,000 502,520
The Bank of Tokyo-Mitsubishi UFJ, Ltd., 1.55%, 9/9/16 (144A) 1.55 09/09/2016 1,000,000 1,012,789
Sanders Re, Ltd., Floating Rate Note, 5/5/17 (Cat Bond) (144A) 4.0253 05/05/2017 750,000 754,092
Bear Stearns Commercial Mortgage Securities Trust 2005-TOP20, Floating Rate Note, 10/12/42 5.1404 10/12/2042 1,905,000 1,827,696
Mastr Asset Backed Securities Trust 2006-NC1, Floating Rate Note, 1/25/36 0.361 01/25/2036 1,567,646 166,809
Origen Manufactured Housing Contract Trust 2005-A, Floating Rate Note, 6/15/36 5.41 06/15/2036 250,000 229,708
Kilimanjaro Re, Ltd., Floating Rate Note, 4/30/18 (Cat Bond) (144A) 4.7652 04/30/2018 650,000 666,500
Aircastle, Ltd., 6.75%, 4/15/17 6.75 04/15/2017 1,100,000 1,218,800
Government National Mortgage Association, 3.5%, 8/20/38 3.5 08/20/2038 1,115,000 379,363
Federal Home Loan Mortgage Corp., 2.75%, 11/15/25 2.75 11/15/2025 1,000,000 435,345
Global Container Assets 2013-1, Ltd., 2.2%, 11/5/28 (144A) 2.2 11/05/2028 750,000 431,066
Morgan Stanley Dean Witter Capital I Trust 2001-TOP3, 6.79%, 7/15/33 6.79 07/15/2033 460,000 79,308
Citigroup Mortgage Loan Trust, Inc., Floating Rate Note, 10/25/35 5.5 10/25/2035 1,471,464 13,350
Direct Capital Funding V LLC, 4.83%, 11/20/20 (144A) 4.83 11/20/2020 750,000 764,201
SASCO Mortgage Loan Trust 2005-GEL2, Floating Rate Note, 4/25/35 0.731 04/25/2035 8,945,588 122,099
Global Mortgage Securitization, Ltd., Floating Rate Note, 4/25/32 (144A) 0.441 04/25/2032 8,633,000 732,305
Fannie Mae, Floating Rate Note, 11/1/25 2.245 11/01/2025 700,000 2,410
Federal National Mortgage Association REMICS, 4.0%, 6/25/37 4.0 06/25/2037 900,000 9,745
Ccolt 2.82% 15mar21 15-1-A 2.82 03/15/2021 750,000 751,251
Appvion, Inc., Term Commitment, 6/28/19 5.75 06/28/2019 500,000 490,625
Citibank Credit Card Issuance Trust, 5.1%, 11/20/17 5.1 11/20/2017 500,000 523,339
The Bank of Tokyo-Mitsubishi UFJ, Ltd., Floating Rate Note, 9/8/17 (144A) 0.5454 09/08/2017 500,000 498,886
Bayview Financial Mortgage Pass-Through Trust 2006-B, Floating Rate Note, 4/28/36 0.469 04/28/2036 1,207,803 250,540
Sierra Timeshare 2013-2 Receivables Funding LLC, 4.75%, 11/20/25 (144A) 4.75 11/20/2025 900,000 368,218
Lehman Brothers Small Balance Commercial, Floating Rate Note, 4/25/31 (144A) 0.391 04/25/2031 2,843,000 478,459
Direct Capital Funding V LLC, 1.673%, 12/20/17 (144A) 1.673 12/20/2017 175,000 18,022
Carrington Mortgage Loan Trust Series 2005-NC1, Floating Rate Note, 2/26/35 0.906 02/26/2035 3,586,373 565,911
Fosse Master Issuer Plc, Floating Rate Note, 10/18/54 1.7566 10/18/2054 100,000 84,917
MGM Resorts International, Term B Loan, 12/20/19 3.5 12/20/2019 343,000 342,185
HSBC Bank Middle East, Ltd., 3.0%, 10/21/15 3.0 10/21/2015 750,000 766,525
RAAC Series 2005-RP2 Trust, Floating Rate Note, 6/25/35 (144A) 0.821 06/25/2035 995,000 123,483
Federal National Mortgage Association REMICS, Floating Rate Note, 7/25/38 1.071 07/25/2038 6,812,000 343,801
Honda Auto Receivables 2012-2 Owner Trust, 0.7%, 2/16/16 0.7 02/16/2016 350,000 41,976
Standard Chartered Plc, 3.85%, 4/27/15 (144A) 3.85 04/27/2015 500,000 508,986
People's Choice Home Loan Securities Trust Series 2005-3, Floating Rate Note, 8/25/35 0.921 08/25/2035 109,980 9,734
SNAAC Auto Receivables Trust, 4.38%, 6/15/17 (144A) 4.38 06/15/2017 460,000 217,723
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 7/15/23 0.572 07/15/2023 835,000 172,164
Morgan Stanley Capital I Trust 2005-IQ10, Floating Rate Note, 9/15/42 5.23 09/15/2042 915,000 642,914
CeramTec GmbH, Dollar Term B-3 Loan, 8/30/20 4.25 08/30/2020 61,556 61,518
Government National Mortgage Association, Floating Rate Note, 2/16/30 0.822 02/16/2030 14,415,492 213,008
Altera Corp., 2.5%, 11/15/18 2.5 11/15/2018 500,000 515,466
Countrywide Asset-Backed Certificates, Floating Rate Note, 9/25/34 (144A) 0.721 09/25/2034 8,600,000 486,045
Sanders Re, Ltd., Floating Rate Note, 5/5/17 (Cat Bond) (144A) 3.5425 05/05/2017 750,000 750,552
Silverton RE, Ltd., 0.0%, 9/16/16 (Cat Bond) (144A) 0.0 09/16/2016 250,000 34,425
Glencore Funding LLC, Floating Rate Note, 5/27/16 (144A) 1.4209 05/27/2016 1,000,000 1,007,268
Federal Home Loan Mortgage Corp., 5.5%, 8/1/23 5.5 08/01/2023 1,563,938 57,904
Ascentium Equipment Receivables 2014-1 LLC, 3.1%, 6/10/21 (144A) 3.1 06/10/2021 700,000 707,738
The Bank of Nova Scotia, 1.375%, 7/15/16 1.375 07/15/2016 500,000 505,870
Federal Home Loan Mortgage Corp., 4.0%, 5/15/37 4.0 05/15/2037 1,753,000 133,144
Berkshire Hathaway Finance Corp., Floating Rate Note, 1/10/17 0.4021 01/10/2017 1,000,000 1,000,352
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 3/15/41 0.572 03/15/2041 3,243,333 692,054
Impac CMB Trust Series 2004-8, Floating Rate Note, 8/25/34 2.796 08/25/2034 590,000 66,863
Structured Asset Mortgage Investments II Trust 2005-AR2, Floating Rate Note, 5/25/45 3.5286 05/25/2045 5,000,000 463,189
National Oilwell Varco, Inc., 1.35%, 12/1/17 1.35 12/01/2017 775,000 773,084
Impac Secured Assets Trust 2006-2, Floating Rate Note, 8/25/36 0.521 08/25/2036 1,173,000 227,187
GS Mortgage Securities Corp II Series 2005-GG4 REMICS, 4.782%, 7/10/39 4.782 07/10/2039 1,145,000 1,154,073
Federal Home Loan Mortgage Corp., 4.5%, 7/1/19 4.5 07/01/2019 1,381,464 178,929
Discover Card Execution Note Trust, Floating Rate Note, 10/15/18 0.352 10/15/2018 600,000 599,549
Impac CMB Trust Series 2004-7, Floating Rate Note, 11/25/34 0.911 11/25/2034 18,863,000 1,184,711
Tradewynd Re, Ltd., Floating Rate Note, 1/8/18 (Cat Bond) (144A) 5.025 01/08/2018 250,000 251,255
Conseco Finance Corp., 7.55%, 4/15/32 (Step) 7.55 04/15/2032 2,740,000 163,377
Cent CLO 16 LP, 2.52%, 8/1/24 (144A) 2.52 08/01/2024 1,000,000 997,936
Enterprise Products Operating LLC, 3.7%, 6/1/15 3.7 06/01/2015 1,010,000 1,027,095
Branch Banking & Trust Co., 2.3%, 10/15/18 2.3 10/15/2018 500,000 514,441
Barclays Dryrock Issuance Trust, Floating Rate Note, 3/16/20 0.513 03/16/2020 500,000 499,669
Syniverse Holdings, Inc., Tranche B Term Loan, 4/23/19 4.0 04/23/2019 925,000 910,354
NCF Dealer Floorplan Master Trust, Floating Rate Note, 10/20/20 (144A) 1.6735 10/20/2020 750,000 749,727
Federal Home Loan Mortgage Corp., Floating Rate Note, 2/17/32 0.622 02/17/2032 12,638,000 330,249
Oak Hill Advisors Residential Loan Trust 2014-NPL1, 2.8828%, 5/25/54 (Step) (144A) 2.8828 05/25/2054 520,000 343,735
Fannie Mae, 5.5%, 8/1/37 5.5 08/01/2037 2,000,000 355,499
RAMP Series 2004-SL4 Trust, Floating Rate Note, 5/25/18 6.2917 05/25/2018 13,780,000 70,922
General Electric Capital Corp., Floating Rate Note, 8/1/17 1.375 08/01/2017 500,000 499,556
NewStar Commercial Loan Trust 2007-1, Floating Rate Note, 9/30/22 (144A) 0.4736 09/30/2022 500,000 237,358
The Toronto-Dominion Bank, Floating Rate Note, 9/9/16 0.6956 09/09/2016 500,000 502,828
Fannie Mae, 4.0%, 12/1/19 4.0 12/01/2019 3,570,319 652,451
First NLC Trust 2005-2, Floating Rate Note, 9/25/35 0.571 09/25/2035 3,362,996 854,171
Hyundai Capital Auto Funding VIII, Ltd., Floating Rate Note, 9/20/16 (144A) 1.172 09/20/2016 1,200,000 17,848
Remy International, Inc., Term B Loan 2013, 3/5/20 4.25 03/05/2020 1,000,000 1,001,250
SilverLeaf Finance XVII LLC, 2.71%, 3/16/26 (144A) 2.71 03/16/2026 750,000 401,735
Motor 2013-1 Plc, Floating Rate Note, 2/25/21 (144A) 0.671 02/25/2021 466,000 89,396
Alternative Loan Trust 2003-14T1, Floating Rate Note, 8/25/18 0.621 08/25/2018 3,200,000 119,482
Federal National Mortgage Association REMICS, Floating Rate Note, 12/25/37 0.791 12/25/2037 5,672,000 177,738
Vitality Re IV, Ltd., Floating Rate Note, 1/9/17 (Cat Bond) (144A) 2.7652 01/09/2017 500,000 511,265
ACRE Commercial Mortgage Trust 2014-FL2, Floating Rate Note, 8/15/31 (144A) 1.6209 08/15/2031 700,000 698,999
Federal National Mortgage Association, 4.0%, 3/1/21 4.0 03/01/2021 4,071,760 1,196,653
Federal National Mortgage Association, Floating Rate Note, 7/25/27 0.771 07/25/2027 1,402,000 23,477
American Express Credit Corp., 1.3%, 7/29/16 1.3 07/29/2016 500,000 503,229
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 7/15/36 0.672 07/15/2036 3,107,000 230,579
MortgageIT Trust 2004-1, Floating Rate Note, 11/25/34 0.951 11/25/2034 3,200,000 420,162
Fannie Mae, 2.5%, 6/1/23 2.5 06/01/2023 526,320 402,741
Federal National Mortgage Association REMICS, Floating Rate Note, 5/25/17 0.571 05/25/2017 20,000,000 101,400
Colony American Homes 2014-2, Floating Rate Note, 7/19/31 (144A) 2.072 07/19/2031 600,000 591,736
Fifth Third Bank Cincinnati Ohio, 1.15%, 11/18/16 1.15 11/18/2016 750,000 753,749
Thomson Reuters Corp., 1.3%, 2/23/17 1.3 02/23/2017 500,000 500,352
Bear Stearns Commercial Mortgage Securities Trust 2005-PWR9, 4.871%, 9/11/42 4.871 09/11/2042 2,280,000 1,731,410
Fannie Mae, 2.5%, 3/1/28 2.5 03/01/2028 1,500,000 1,251,807
International Equipment Solutions LLC, Initial Loan, 8/16/19 6.75 08/16/2019 140,771 141,123
Federal Home Loan Mortgage Corp., Floating Rate Note, 7/15/19 0.322 07/15/2019 1,500,000 90,879
Hyperion Insurance Group, Ltd., Term Loan, 10/4/19 5.75 10/04/2019 396,000 394,763
Banc of America Alternative Loan Trust 2003-10, Floating Rate Note, 12/25/33 0.621 12/25/2033 2,600,000 113,548
Federal National Mortgage Association REMICS, Floating Rate Note, 5/25/36 0.521 05/25/2036 6,641,000 190,916
Prestige Brands, Inc., Term B-2 Loan, 8/18/21 4.5 08/18/2021 335,000 335,921
Quebecor Media, Inc., Facility B-1 Tranche, 8/17/20 3.25 08/17/2020 198,489 194,891
Bank of America NA, 1.25%, 2/14/17 1.25 02/14/2017 500,000 500,500
Wachovia Bank Commercial Mortgage Trust Series 2005-C21, Floating Rate Note, 10/17/44 5.2416 10/17/2044 625,364 447,540
JP Morgan Chase Commercial Mortgage Securities Trust 2005-LDP2, 4.78%, 7/15/42 4.78 07/15/2042 1,150,000 1,159,494
Svenska Handelsbanken AB, Floating Rate Note, 9/23/16 0.7221 09/23/2016 1,000,000 1,005,530
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 1/15/37 0.472 01/15/2037 16,831,292 995,104
Burger King Corp 1st Lien Tl-B L + 3.5% 25sep21 4.5 09/25/2021 700,000 703,986
CD 2006-CD2 Mortgage Trust, Floating Rate Note, 1/15/46 5.3027 01/15/2046 2,084,000 2,070,741
Bear Stearns Mortgage Securities, Inc., Floating Rate Note, 6/25/30 3.0914 06/25/2030 731,690 112,470
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 6/15/36 0.592 06/15/2036 1,288,000 129,993
Federal National Mortgage Association REMICS, Floating Rate Note, 11/25/39 0.871 11/25/2039 2,750,000 467,911
RAAC Series 2005-RP1 Trust, Floating Rate Note, 7/25/37 (144A) 1.121 07/25/2037 583,530 289,462
Calpine Construction Finance Co LP, Term B-2 Loan, 1/3/22 3.25 01/03/2022 668,236 660,997
Westgate Resorts 2012-A LLC, 2.25%, 8/20/25 (144A) 2.25 08/20/2025 1,490,000 739,274
Massachusetts Development Finance Agency, Floating Rate Note, 2/15/36 3.0 02/15/2036 250,000 256,936
Centex Home Equity Loan Trust 2005-B, 4.893%, 3/25/33 (Step) 4.893 03/25/2033 3,300,000 406,141
VOLT XXIII LLC, 3.625%, 11/25/53 (Step) 3.625 11/25/2053 475,000 273,531
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 8/15/18 0.772 08/15/2018 600,000 103,920
CareFusion Corp., 1.45%, 5/15/17 1.45 05/15/2017 750,000 754,274
Armor Re, Ltd., Floating Rate Note, 12/15/16 (Cat Bond) (144A) 4.0152 12/15/2016 300,000 302,547
Bayview Opportunity Master Fund IIa Trust 2014-20NPL, Floating Rate Note, 8/28/44 (144A) 3.721 08/28/2044 420,000 363,068
City of Pittsburgh Pennsylvania, 0.87%, 9/1/16 0.87 09/01/2016 500,000 500,135
Federal National Mortgage Association REMICS, Floating Rate Note, 8/25/36 0.591 08/25/2036 4,040,000 441,021
Federal Home Loan Mortgage Corp., Floating Rate Note, 11/1/31 2.375 11/01/2031 1,399,950 6,622
Texas Instruments, Inc., 0.875%, 3/12/17 0.875 03/12/2017 500,000 501,328
Credit Suisse First Boston Mortgage Securities Corp., 5.5%, 6/25/33 5.5 06/25/2033 200,000 38,637
JP Morgan Chase Commercial Mortgage Securities Trust 2014-FL6, Floating Rate Note, 11/15/31 (144A) 1.572 11/15/2031 1,170,000 1,169,722
First Franklin Mortgage Loan Trust 2002-FFA, Floating Rate Note, 9/25/32 1.671 09/25/2032 5,500,000 266,009
Verint Systems, Inc., Tranche B Incremental Term Loan, 9/6/19 3.5 09/06/2019 261,457 261,326
Federal National Mortgage Association REMICS, Floating Rate Note, 5/18/32 0.673 05/18/2032 31,809,000 619,336
Kane Zero% 29apr16 0.0 04/29/2016 800,000 819,280
Express Scripts Holding Co., 2.25%, 6/15/19 2.25 06/15/2019 750,000 753,865
FCA US LLC, Tranche B Term Loan, 12/29/18 3.25 12/29/2018 595,500 595,202
Credit Acceptance Auto Loan Trust 2014-2, 2.67%, 9/15/22 (144A) 2.67 09/15/2022 1,000,000 1,003,300
Progreso Receivables Funding II LLC, 3.5%, 7/8/19 (144A) 3.5 07/08/2019 1,370,000 1,373,920
Bear Stearns ALT-A Trust 2004-12, Floating Rate Note, 1/25/35 0.871 01/25/2035 4,956,000 591,721
Verizon Communications, Inc., 0.7%, 11/2/15 0.7 11/02/2015 935,000 937,842
Navistar, Inc., Tranche B Term Loan, 8/17/17 5.75 08/17/2017 400,000 402,747
Government National Mortgage Association I, 7.5%, 10/15/36 7.5 10/15/2036 1,000,000 61,324
Monsanto Co., 1.15%, 6/30/17 1.15 06/30/2017 1,000,000 1,004,498
Marriott Vacation Club Owner Trust 2012-1, 3.5%, 5/20/30 (144A) 3.5 05/20/2030 845,000 417,495
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-C, Floating Rate Note, 6/25/28 1.0574 06/25/2028 9,455,006 337,793
HLSS Servicer Advance Receivables Trust, 1.4953%, 1/16/46 (144A) 1.4953 01/16/2046 1,706,000 1,685,809
Sierra Timeshare 2013-2 Receivables Funding LLC, 2.92%, 11/20/25 (144A) 2.92 11/20/2025 270,000 108,430
Chesapeake Funding LLC, Floating Rate Note, 5/7/24 (144A) 2.021 05/07/2024 250,000 251,180
COMM 2014-PAT Mortgage Trust, Floating Rate Note, 8/13/27 (144A) 1.7645 08/13/2027 820,000 817,125
TAL Advantage V LLC, 1.7%, 5/20/39 (144A) 1.7 05/20/2039 400,000 320,326
Federal National Mortgage Association REMICS, 3.0%, 4/25/40 3.0 04/25/2040 1,110,000 162,792
Kane Sac, Ltd., 0.0%, 1/7/16 (Cat Bond) 0.0 01/07/2016 210,250 210,713
Sector Re V, Ltd., 0.0%, 3/1/18 (Cat Bond) (144A) 0.0 03/01/2018 272 4,609
Ellington Loan Acquisition Trust 2007-1, Floating Rate Note, 5/26/37 (144A) 1.071 05/26/2037 550,000 464,926
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/35 0.391 03/25/2035 4,100,000 616,749
Government National Mortgage Association, 3.0%, 12/20/38 3.0 12/20/2038 5,000,000 1,199,591
Enbridge, Inc., Floating Rate Note, 10/1/16 0.9052 10/01/2016 500,000 498,543
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 4/15/41 0.592 04/15/2041 2,446,437 466,547
Branch Banking & Trust Co., 1.35%, 10/1/17 1.35 10/01/2017 500,000 504,738
Longpoint Re, Ltd., Floating Rate Note, 6/12/15 (Cat Bond) (144A) 6.03 06/12/2015 900,000 921,210
JPMorgan Chase & Co., Floating Rate Note, 2/25/21 2.756 02/25/2021 500,000 499,730
Popular ABS Mortgage Pass-Through Trust 2004-4, 4.78636%, 9/25/34 (Step) 4.778 09/25/2034 1,415,000 494,612
Alternative Loan Trust 2004-4CB, 4.25%, 4/25/34 4.25 04/25/2034 4,541,000 121,536
Acer 3.24% 10jan22 15-1a-D 3.24 01/10/2022 510,000 509,965
Citibank Credit Card Issuance Trust, 4.85%, 3/10/17 4.85 03/10/2017 500,000 512,314
FHLMC Structured Pass Through Securities, Floating Rate Note, 12/25/29 0.471 12/25/2029 12,000,000 184,822
Residential Asset Securitization Trust 2003-A2, Floating Rate Note, 5/25/33 0.571 05/25/2033 34,300,000 1,268,067
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 10/15/20 0.372 10/15/2020 9,083,556 147,919
Caterpillar Financial Services Corp., 1.35%, 9/6/16 1.35 09/06/2016 1,125,000 1,142,833
Ford Motor Credit Co LLC, 1.724%, 12/6/17 1.724 12/06/2017 700,000 703,509
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-A, Floating Rate Note, 3/25/28 1.2047 03/25/2028 10,213,000 317,545
Santander Drive Auto Receivables Trust 2012-5, 2.7%, 8/15/18 2.7 08/15/2018 125,000 127,076
NorthStar 2013-1, Floating Rate Note, 8/27/29 (144A) 2.021 08/27/2029 778,000 735,866
Northshore Re, Ltd., Floating Rate Note, 7/5/16 (Cat Bond) (144A) 7.2652 07/05/2016 500,000 523,641
Wachovia Corp., Floating Rate Note, 6/15/17 0.5106 06/15/2017 1,077,000 1,075,730
Terwin Mortgage Trust Series TMTS 2005-14HE, 4.8492%, 8/25/36 (Step) 4.8492 08/25/2036 630,000 124,748
Capella Healthcare Inc 1st Lien Tl-B L + 4.25% 31dec21 5.25 12/31/2021 105,000 105,525
Government National Mortgage Association I, 6.5%, 10/15/37 6.5 10/15/2037 400,000 39,424
JP Morgan Chase Commercial Mortgage Securities Trust 2004-LN2, Floating Rate Note, 7/15/41 4.838 07/15/2041 637,677 70,315
Federal National Mortgage Association REMICS, Floating Rate Note, 6/25/37 0.421 06/25/2037 1,010,000 93,427
Carrington Mortgage Loan Trust Series 2006-OPT1, Floating Rate Note, 12/25/35 0.351 12/25/2035 5,047,000 978,329
Hilton USA Trust 2013-HLF, Floating Rate Note, 11/5/30 (144A) 2.921 11/05/2030 500,000 493,554
Mythen Re, Ltd. Series 2012-2 Class A, Floating Rate Note, 1/5/17 (Cat Bond) (144A) 8.5574 01/05/2017 500,000 535,031
Government National Mortgage Association, Floating Rate Note, 9/16/52 1.0021 09/16/2052 1,800,000 119,983
Lincoln National Corp., 4.3%, 6/15/15 4.3 06/15/2015 250,000 254,742
Colony American Homes 2014-1, Floating Rate Note, 5/19/31 (144A) 2.1 05/19/2031 700,000 688,440
Anheuser-Busch InBev Finance, Inc., Floating Rate Note, 1/27/17 0.4461 01/27/2017 500,000 499,146
Bank of America Corp., 1.35%, 11/21/16 1.35 11/21/2016 500,000 501,970
Sunset Mortgage Loan Co 2014-NPL2 LLC, 3.721%, 11/16/44 (Step) (144A) 3.721 11/16/2044 850,000 821,989
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-E, Floating Rate Note, 10/25/28 0.791 10/25/2028 8,393,000 379,003
Bayview Opportunity Master Fund Trust IIIa 2014-12RPL, 3.6225%, 7/28/19 (Step) (144A) 3.6225 07/28/2019 465,000 264,138
Federal Home Loan Mortgage Corp., Floating Rate Note, 3/15/32 0.742 03/15/2032 33,450,000 379,903
Government National Mortgage Association, Floating Rate Note, 4/16/32 0.672 04/16/2032 10,000,000 140,459
Origen Manufactured Housing Contract Trust 2004-B, Floating Rate Note, 11/15/35 5.46 11/15/2035 460,000 370,465
Federal Home Loan Mortgage Corp., 4.0%, 5/1/24 4.0 05/01/2024 2,400,000 231,700
Zebra Technologies Corporation 1st Lien Tl-B L + 4% 30sep21 4.75 09/30/2021 500,000 506,036
Bayview Financial Mortgage Pass-Through Trust 2006-B, Floating Rate Note, 4/28/36 0.439 04/28/2036 603,000 35,105
Covidien International Finance SA, 1.35%, 5/29/15 1.35 05/29/2015 750,000 754,154
Canadian Natural Resources, Ltd., Floating Rate Note, 3/30/16 0.6316 03/30/2016 277,000 276,858
Morgan Stanley, Floating Rate Note, 2/25/16 1.5116 02/25/2016 500,000 504,341
Federal National Mortgage Association REMICS, Floating Rate Note, 12/25/32 0.671 12/25/2032 34,313,143 693,712
Thornburg Mortgage Securities Trust 2003-3, Floating Rate Note, 6/25/43 2.1293 06/25/2043 3,857,000 130,969
RFMSI Series 2005-S5 Trust, 5.25%, 7/25/35 5.25 07/25/2035 300,770 154,173
Westgate Resorts LLC, 9.5%, 2/20/25 (144A) 9.5 02/20/2025 1,800,000 607,652
Ventas Realty LP, 3.125%, 11/30/15 3.125 11/30/2015 500,000 512,889
Freddie Mac Structured Agency Credit Risk Debt Notes, Floating Rate Note, 2/25/24 1.171 02/25/2024 485,000 443,427
Sequoia Mortgage Trust 2013-8, Floating Rate Note, 6/25/43 2.25 06/25/2043 414,000 345,250
East Lane Re, Ltd., Floating Rate Note, 3/13/15 (Cat Bond) (144A) 6.6703 03/13/2015 500,000 507,219
Crown Americas Llc 1st Lien Tl-B L + 3.25% 20oct21 4.0 10/20/2021 350,000 353,910
Citigroup Commercial Mortgage Trust 2007-FL3, Floating Rate Note, 4/15/22 (144A) 0.382 04/15/2022 580,444 577,466
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/33 0.572 02/15/2033 20,000,000 268,522
First Investors Auto Owner Trust 2013-2, 1.23%, 3/15/19 (144A) 1.23 03/15/2019 1,048,000 466,370
Par Pharmaceutical Cos Inc 1st Lien Tl-B3 L + 3.25% 28sep19   09/28/2019 500,000 500,158
American Honda Finance Corp., Floating Rate Note, 5/26/16 (144A) 0.6361 05/26/2016 1,675,000 1,679,908
PSEG Power LLC, 2.75%, 9/15/16 2.75 09/15/2016 500,000 518,992
Banc of America Commercial Mortgage Trust 2006-1, Floating Rate Note, 9/10/45 5.46 09/10/2045 1,000,000 1,031,263
ML-CFC Commercial Mortgage Trust 2006-1, Floating Rate Note, 2/12/39 5.467 02/12/2039 1,600,000 1,507,750
Polarpak, Inc., USD Term Loan (U.S. Borrower Portion), 6/7/20 4.5 06/07/2020 81,881 81,471
American Credit Acceptance Receivables Trust, 1.64%, 11/15/16 (144A) 1.64 11/15/2016 378,000 16,843
Citigroup Mortgage Loan Trust 2006-SHL1, Floating Rate Note, 11/27/45 (144A) 0.371 11/27/2045 4,965,000 481,355
American Airlines Inc 1st Lien Tl-B L + 3.5% 08oct21 4.25 10/08/2021 750,000 755,450
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/37 0.421 03/25/2037 960,000 133,965
FREMF Mortgage Trust 2012-K501, Floating Rate Note, 11/26/46 (144A) 3.4426 11/26/2046 409,000 422,116
Federal National Mortgage Association REMICS, Floating Rate Note, 5/25/37 0.571 05/25/2037 6,826,000 224,270
CHL Mortgage Pass-Through Trust 2004-14, Floating Rate Note, 8/25/34 2.3395 08/25/2034 1,810,000 199,803
State of Ohio, 3.0%, 6/15/15 3.0 06/15/2015 500,000 507,132
PFS Tax Lien Trust 2014-1, 1.44%, 5/15/29 1.44 05/15/2029 400,000 311,234
Rialto Capital Management LLC, 2.85%, 5/15/24 (144A) 2.85 05/15/2024 700,000 186,913
Mastr Asset Backed Securities Trust 2005-WMC1, Floating Rate Note, 3/25/35 0.846 03/25/2035 215,000 46,497
Centerpoint Energy Transition Bond Co II LLC, 5.17%, 8/1/19 5.17 08/01/2019 720,000 530,140
Dell Equipment Finance Trust 2014-1, 2.68%, 6/22/20 (144A) 2.68 06/22/2020 750,000 752,525
Ziggo Bv 1st Lien Tl-B2 L + 2.75% 15jan22 3.385 01/15/2022 289,532 287,438
Encore Credit Receivables Trust 2005-3, Floating Rate Note, 10/25/35 0.641 10/25/2035 1,000,000 201,255
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/41 0.672 02/15/2041 1,878,046 344,106
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 8/15/35 0.422 08/15/2035 462,000 89,671
Foothill CLO, Ltd., Floating Rate Note, 2/22/21 (144A) 0.5065 02/22/2021 500,000 216,501
Park Place Securities Inc Asset-Backed Pass-Through Ctfs Ser 2005-WHQ4, Floating Rate Note, 9/25/35 0.541 09/25/2035 1,793,831 484,400
JPMorgan Chase & Co., Floating Rate Note, 2/15/17 0.7771 02/15/2017 500,000 501,074
Nissan Auto Lease Trust 2013-B, Floating Rate Note, 1/15/16 0.443 01/15/2016 240,000 103,042
Castle Garden Funding, Floating Rate Note, 10/27/20 (144A) 0.4936 10/27/2020 2,000,000 329,711
Federal National Mortgage Association REMICS, Floating Rate Note, 8/25/40 0.471 08/25/2040 692,000 309,639
SASCO Mortgage Loan Trust 2005-GEL1, Floating Rate Note, 12/25/34 0.721 12/25/2034 510,000 336,530
Oracle Corp., 2.25%, 10/8/19 2.25 10/08/2019 300,000 308,277
Volkswagen International Finance NV, 1.15%, 11/20/15 (144A) 1.15 11/20/2015 750,000 755,502
Pangaea Zero% 01jul18 0.0 07/01/2018 700,000 756,700
Morgan Stanley Mortgage Loan Trust 2005-6AR, Floating Rate Note, 11/25/35 0.451 11/25/2035 2,941,000 437,047
CNL Commercial Mortgage Loan Trust 2002-1, Floating Rate Note, 10/25/28 (144A) 0.772 10/25/2028 8,975,000 277,398
MVW Owner Trust 2014-1, 2.7%, 9/20/31 (144A) 2.7 09/20/2031 750,000 688,305
CPS Auto Receivables Trust 2014-A, 1.21%, 8/15/18 1.21 08/15/2018 200,000 130,059
Credit Suisse First Boston Mortgage Securities Corp., Floating Rate Note, 7/25/35 0.441 07/25/2035 3,555,000 391,495
PHH Mortgage Capital LLC, 6.6%, 12/25/27 (Step) (144A) 6.6 12/25/2027 3,250,000 186,026
Federal Home Loan Mortgage Corp., Floating Rate Note, 11/15/36 0.492 11/15/2036 2,046,908 100,740
GE Business Loan Trust 2004-1, Floating Rate Note, 5/15/32 (144A) 0.463 05/15/2032 4,436,203 354,206
Freddie Mac REMICS, Floating Rate Note, 2/15/32 1.122 02/15/2032 14,441,000 907,059
GE Capital Commercial Mortgage Corp., Floating Rate Note, 7/10/45 (144A) 5.1549 07/10/2045 500,000 505,532
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/37 0.472 02/15/2037 2,840,000 163,952
CNH Equipment Trust 2013-A, 0.69%, 6/15/18 0.69 06/15/2018 450,000 275,950
Honda Auto Receivables 2013-2 Owner Trust, 0.53%, 2/16/17 0.53 02/16/2017 285,000 241,391
Ford Motor Credit Co LLC, 1.7%, 5/9/16 1.7 05/09/2016 500,000 505,513
Westgate Resorts LLC, 2.5%, 3/20/25 (144A) 2.5 03/20/2025 250,000 89,056
Bayview Commercial Asset Trust 2007-4, 3.49686%, 9/25/37 (Step) (144A) 3.4899 09/25/2037 3,000,000 64,620
Fannie Mae, 5.0%, 7/1/15 5.0 07/01/2015 1,000,000 5,084
New York Life Global Funding, 1.125%, 3/1/17 (144A) 1.125 03/01/2017 500,000 504,057
Fannie Mae, 5.5%, 12/1/35 5.5 12/01/2035 1,000,000 65,352
GE Business Loan Trust 2003-2 REMICS, Floating Rate Note, 11/15/31 (144A) 0.543 11/15/2031 1,409,576 125,242
CHS, 2021 Term D Loan, 1/27/21 4.25 01/27/2021 264,864 265,913
Banc of America Alternative Loan Trust 2004-2, 5.5%, 3/25/19 5.5 03/25/2019 954,266 90,769
Morgan Stanley, Floating Rate Note, 11/9/18 3.1 11/09/2018 275,000 291,135
Cinedigm Digital Funding I LLC, Term Loan, 2/28/18 3.75 02/28/2018 133,810 133,977
KKR Financial CLO 2007-1, Ltd., Floating Rate Note, 5/15/21 (144A) 1.7071 05/15/2021 375,000 370,728
Citicorp Mortgage Securities REMIC Pass-Through Certificates Trust Series 2005-7, 5.0%, 10/25/35 5.0 10/25/2035 5,635,000 380,683
MASTR Asset Securitization Trust 2003-6, Floating Rate Note, 7/25/18 0.571 07/25/2018 2,444,000 64,840
Bank of America Corp., Floating Rate Note, 8/25/17 0.8716 08/25/2017 408,000 407,412
JP Morgan Chase Commercial Mortgage Securities Trust 2014-INN, Floating Rate Note, 6/15/29 (144A) 1.093 06/15/2029 900,000 898,200
WaMu Mortgage Pass-Through Certificates Series 2003-S10, 5.0%, 10/25/18 5.0 10/25/2018 17,361,049 530,869
Bayer US Finance LLC, 1.5%, 10/6/17 (144A) 1.5 10/06/2017 750,000 758,493
Federal National Mortgage Association, 2.5%, 9/1/22 2.5 09/01/2022 2,000,000 1,264,937
SBI Home Equity Loan Trust 2006-1, Floating Rate Note, 8/25/36 (144A) 0.871 08/25/2036 1,350,000 393,082
PNC Bank NA, Floating Rate Note, 1/28/16 0.5661 01/28/2016 500,000 500,901
Federal Home Loan Mortgage Corp., Floating Rate Note, 1/15/33 0.672 01/15/2033 40,000,000 1,654,102
Franklin Resources, Inc., 3.125%, 5/20/15 3.125 05/20/2015 940,000 953,952
Schaeffler (Aka Ina Beteiligungsge 1st Lien Tl-B L + 3.5% 15may20 4.25 05/15/2020 500,000 504,241
Branch Banking & Trust Co., Floating Rate Note, 5/23/17 0.5615 05/23/2017 250,000 248,887
JP Morgan Mortgage Trust 2004-S1, 5.0%, 9/25/34 5.0 09/25/2034 3,504,124 182,706
Lehman Brothers Small Balance Commercial Mortgage Trust 2007-3, Floating Rate Note, 10/25/37 (144A) 1.121 10/25/2037 885,400 205,627
Mythen Re, Ltd., Floating Rate Note, 5/7/15 (Cat Bond) (144A) 8.5424 05/07/2015 500,000 507,513
Level 3 Financing Inc 1st Lien Tl-B5 L + 3.5% 31jan22 4.5 01/31/2022 225,000 226,359
STORE Master Funding LLC, 5.77%, 8/20/42 (144A) 5.77 08/20/2042 344,000 360,032
Saxon Asset Securities Trust 2005-3, Floating Rate Note, 11/25/35 0.631 11/25/2035 471,000 433,560
Park Place Securities Inc Asset-Backed Pass-Through Ctfs Ser 2004-WCW2, Floating Rate Note, 10/25/34 1.101 10/25/2034 1,076,819 12,242
Wachovia Bank Commercial Mortgage Trust Series 2005-C22 REMICS, Floating Rate Note, 12/15/44 5.2697 12/15/2044 1,000,000 915,841
The Huntington National Bank, Floating Rate Note, 4/24/17 0.6811 04/24/2017 500,000 499,615
IXIS Real Estate Capital Trust 2005-HE4, Floating Rate Note, 2/25/36 0.851 02/25/2036 250,000 37,903
Crowne Group Llc 1st Lien Tl-B L + 5% 29sep20 6.0 09/29/2020 299,250 294,761
Caelus Re 2013, Ltd., Floating Rate Note, 4/7/20 (Cat Bond) (144A) 6.8652 04/07/2020 750,000 791,263
JP Morgan Chase Commercial Mortgage Securities Trust 2005-LDP2 REMICS, 4.738%, 7/15/42 4.738 07/15/2042 960,000 556,936
Irwin Whole Loan Home Equity Trust 2003-D, Floating Rate Note, 11/25/28 4.671 11/25/2028 2,250,000 189,729
Citigroup, Inc., Floating Rate Note, 7/25/16 1.2161 07/25/2016 750,000 755,527
The Goldman Sachs Group, Inc., Floating Rate Note, 3/22/16 0.6971 03/22/2016 475,000 475,491
Norcraft Companies LP, Initial Loan, 11/12/20 5.25 11/12/2020 247,500 247,500
Structured Asset Mortgage Investments Trust 2002-AR5, Floating Rate Note, 5/19/33 1.0735 05/19/2033 7,644,000 371,347
Leaf Receivables Funding 8 LLC, 1.55%, 11/15/17 (144A) 1.55 11/15/2017 195,000 155,568
Queen Street IV Capital, Ltd., Floating Rate Note, 4/9/15 (Cat Bond) (144A) 7.5051 04/09/2015 750,000 763,331
Fannie Mae, 2.0%, 11/1/23 2.0 11/01/2023 2,236,000 1,837,687
COMM 2014-TWC Mortgage Trust, Floating Rate Note, 2/13/32 (144A) 1.772 02/13/2032 1,850,000 1,851,257
Bear Stearns Commercial Mortgage Securities Trust 2005-PWR10, Floating Rate Note, 12/11/40 5.405 12/11/2040 1,240,000 982,045
The Goldman Sachs Group, Inc., 1.6%, 11/23/15 1.6 11/23/2015 2,125,000 2,147,441
Ford Motor Credit Co LLC, Floating Rate Note, 9/8/17 0.7554 09/08/2017 750,000 744,999
Commonwealth Edison Co., 1.95%, 9/1/16 1.95 09/01/2016 500,000 513,620
Fannie Mae, Floating Rate Note, 11/1/24 2.549 11/01/2024 7,000,000 89,352
Federal Home Loan Mortgage Corp., Floating Rate Note, 8/1/31 2.408 08/01/2031 12,000,000 91,991
Residential Reinsurance 2011, Ltd., Floating Rate Note, 6/6/17 (Cat Bond) (144A) 8.9152 06/06/2017 500,000 519,810
KeyCorp, 3.75%, 8/13/15 3.75 08/13/2015 931,000 946,124
Wesco Aircraft Hardware Corp., Tranche B Term Loan, 2/24/21 3.25 02/24/2021 853,125 841,039
Wells Fargo Alternative Loan 2005-2 Trust, Floating Rate Note, 10/25/35 0.991 10/25/2035 453,135 450,390
Structured Adjustable Rate Mortgage Loan Trust, Floating Rate Note, 3/25/34 2.8581 03/25/2034 2,600,000 142,783
JP Morgan Chase Commercial Mortgage Securities Trust 2005-LDP3 REMICS, Floating Rate Note, 8/15/42 4.936 08/15/2042 440,000 352,287
Gci Holdings Inc 1st Lien Tl-B L + 3.75% 22dec21 4.75 12/22/2021 375,000 376,249
Federal National Mortgage Association REMICS, Floating Rate Note, 11/18/32 1.173 11/18/2032 24,329,000 441,110
Fannie Mae, 6.5%, 7/1/32 6.5 07/01/2032 723,471 8,052
GSAA Trust, Floating Rate Note, 6/25/35 0.601 06/25/2035 440,000 302,283
Government National Mortgage Association I, 6.5%, 5/15/31 6.5 05/15/2031 3,183,996 40,423
Verizon Communications, Inc., Floating Rate Note, 9/15/16 1.7706 09/15/2016 1,285,000 1,311,883
The Goldman Sachs Group, Inc., 3.7%, 8/1/15 3.7 08/01/2015 340,000 345,093
Gale Force 3 Clo, Ltd., Floating Rate Note, 4/19/21 (144A) 0.4966 04/19/2021 500,000 296,679
The Bank of New York Mellon Corp., 1.969%, 6/20/17 (Step) 1.969 06/20/2017 750,000 767,146
COMM 2014-FL5 Mortgage Trust, Floating Rate Note, 10/15/31 (144A) 2.3165 10/15/2031 1,370,000 1,366,689
Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/33 0.521 02/25/2033 4,696,499 221,031
AmeriCredit Automobile Receivables Trust 2011-3, 4.04%, 7/10/17 4.04 07/10/2017 100,000 101,858
AmeriCredit Automobile Receivables Trust 2010-4, 6.4%, 4/9/18 (144A) 6.4 04/09/2018 100,000 100,439
Government National Mortgage Association II, 6.0%, 8/20/19 6.0 08/20/2019 2,911,151 149,930
Westlake Automobile Receivables Trust 2013-1, 1.12%, 1/15/18 (144A) 1.12 01/15/2018 150,000 55,650
Federal Home Loan Mortgage Corp., 3.5%, 8/15/28 3.5 08/15/2028 500,000 161,257
Volkswagen International Finance NV, 1.125%, 11/18/16 (144A) 1.125 11/18/2016 750,000 753,063
JBS USA LLC, Incremental Term Loan, 9/18/20 3.75 09/18/2020 197,500 197,378
First Investors Auto Owner Trust 2013-3, 2.32%, 10/15/19 (144A) 2.32 10/15/2019 300,000 302,878
Fannie Mae, Floating Rate Note, 1/1/25 2.598 01/01/2025 7,000,000 56,126
Darling Ingredients, Inc., Term B USD Loan, 12/19/20 3.25 12/19/2020 521,063 521,384
SunGard Data Systems, Inc., Tranche C Term Loan, 2/28/17 3.9235 02/28/2017 155,698 155,924
The Bank of Nova Scotia, 1.45%, 4/25/18 1.45 04/25/2018 500,000 498,989
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/36 0.741 09/25/2036 3,447,000 210,800
Merna Re V, Ltd., Floating Rate Note, 4/7/17 (Cat Bond) (144A) 2.0152 04/07/2017 650,000 651,582
Westgate Resorts 2014-1 LLC, 2.15%, 12/20/26 (144A) 2.15 12/20/2026 1,000,000 852,566
The Goldman Sachs Group, Inc., Floating Rate Note, 7/22/15 0.6567 07/22/2015 700,000 700,604
Federal National Mortgage Association, 3.5%, 7/25/24 3.5 07/25/2024 1,250,000 245,839
Fannie Mae, 6.0%, 10/1/22 6.0 10/01/2022 973,454 268,494
First Investors Auto Owner Trust 2013-1, 1.81%, 10/15/18 (144A) 1.81 10/15/2018 55,000 55,296
Bayview Commercial Asset Trust 2007-2, 0.0%, 7/27/37 (Step) (144A) 0.0 07/27/2037 4,500,000 0
Residential Reinsurance 2012, Ltd., Floating Rate Note, 12/6/16 (Cat Bond) (144A) 4.5152 12/06/2016 1,150,000 1,190,451
North American Development Bank, 2.3%, 10/10/18 2.3 10/10/2018 650,000 666,788
PVH Corp., Tranche B Term Loan, 2/13/20 3.25 02/13/2020 337,190 339,368
The Bear Stearns Companies LLC, Floating Rate Note, 11/21/16 0.6515 11/21/2016 1,500,000 1,498,561
Extended Stay America Trust 2013-ESH, Floating Rate Note, 12/5/31 (144A) 1.271 12/05/2031 200,000 199,627
Lehman Brothers Small Balance Commercial Mortgage Trust 2007-3, Floating Rate Note, 10/25/37 (144A) 1.221 10/25/2037 466,904 319,063
Ameriquest Mortgage Securities Inc Asset-Backed Pass-Through Ctfs Ser 2005-R9, 4.88361%, 11/25/35 (S 4.8936 11/25/2035 590,000 470,455
RAMP Series 2005-RS6 Trust, Floating Rate Note, 6/25/35 0.671 06/25/2035 278,355 133,812
Avago Technologies Ltd 1st Lien Tl-B L + 3% 16apr21 3.75 04/16/2021 393,025 393,977
Federal National Mortgage Association REMICS, Floating Rate Note, 7/25/34 0.571 07/25/2034 1,642,000 108,690
Federal National Mortgage Association 2006-48-T, 5.5%, 12/25/34 5.5 12/25/2034 1,716,418 337,325
John Deere Capital Corp., Floating Rate Note, 10/11/16 0.5421 10/11/2016 1,090,000 1,093,893
University of California, 0.966%, 5/15/17 0.966 05/15/2017 500,000 500,897
Federal National Mortgage Association REMICS, Floating Rate Note, 6/25/36 0.621 06/25/2036 2,317,493 226,196
Holmes Master Issuer Plc, Floating Rate Note, 10/15/54 (144A) 2.4533 10/15/2054 250,000 262,167
EQTY 2014-INNS Mortgage Trust, Floating Rate Note, 5/8/31 (144A) 1.368 05/08/2031 1,020,000 1,008,652
COMM 2013-FL3 Mortgage Trust, Floating Rate Note, 10/13/28 (144A) 1.689 10/13/2028 1,000,000 798,117
Fannie Mae, Floating Rate Note, 10/1/29 2.57 10/01/2029 4,831,796 104,898
ACIS CLO 2014-4, Ltd., Floating Rate Note, 5/1/26 (144A) 1.2546 05/01/2026 700,000 350,747
Federal National Mortgage Association REMICS, Floating Rate Note, 6/25/37 0.421 06/25/2037 4,600,000 305,138
MALLINCKRODT INTERNATIONAL FINANCE SA, Initial Term B Loan, 3/6/21 3.25 03/06/2021 297,750 296,224
Fannie Mae, 5.0%, 11/1/20 5.0 11/01/2020 3,800,000 253,751
GS Mortgage Securities Trust 2014-GSFL, Floating Rate Note, 7/15/31 (144A) 1.923 07/15/2031 495,000 496,376
LB-UBS Commercial Mortgage Trust 2005-C2 REMICS, Floating Rate Note, 4/15/30 5.205 04/15/2030 1,455,000 469,560
ORES 2014-LV3 LLC, 3.0%, 3/27/24 (144A) 3.0 03/27/2024 550,000 334,337
Phillips 66, 2.95%, 5/1/17 2.95 05/01/2017 750,000 784,134
AXIS Equipment Finance Receivables II LLC, 4.94%, 7/20/18 (144A) 4.94 07/20/2018 700,000 707,851
Precision Castparts Corp., 1.25%, 1/15/18 1.25 01/15/2018 500,000 497,268
JP Morgan Chase Commercial Mortgage Securities Trust 2014-FBLU REMICS, Floating Rate Note, 12/15/28 1.673 12/15/2028 1,030,000 1,031,231
GE Business Loan Trust 2003-1, Floating Rate Note, 4/15/31 (144A) 0.603 04/15/2031 10,972,000 452,415
Credit Suisse First Boston Mortgage Securities Corp., Floating Rate Note, 8/15/38 5.1 08/15/2038 1,900,440 1,103,244
CarMax Auto Owner Trust 2013-3, 2.15%, 5/15/19 2.15 05/15/2019 540,000 544,471
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 5/15/41 0.572 05/15/2041 638,000 108,128
Merrill Lynch Mortgage Investors Trust Series 2005-2, Floating Rate Note, 10/25/35 2.35 10/25/2035 1,543,473 368,866
Bear Stearns ALT-A Trust 2004-12, Floating Rate Note, 1/25/35 1.011 01/25/2035 3,280,000 344,348
Home Equity Asset Trust 2005-3, Floating Rate Note, 8/25/35 0.831 08/25/2035 250,000 1,223
Global Mortgage Securitization, Ltd., 5.25%, 4/25/32 (144A) 5.25 04/25/2032 795,156 226,367
GSAMP Trust 2005-HE1, Floating Rate Note, 12/25/34 0.921 12/25/2034 1,210,753 89,179
Structured Asset Securities Corp Mortgage Pass Through Ctfs Series 2003-35, Floating Rate Note, 12/2 0.671 12/25/2033 4,960,000 273,935
Chase Issuance Trust, Floating Rate Note, 4/16/18 0.3833 04/16/2018 750,000 749,930
Government National Mortgage Association, Floating Rate Note, 2/20/38 0.6735 02/20/2038 2,477,000 202,739
SWAY Residential 2014-1 Trust, Floating Rate Note, 1/20/32 (144A) 1.472 01/20/2032 700,000 692,959
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/37 0.621 09/25/2037 2,524,000 108,237
Merrill Lynch Mortgage Trust 2005-MCP1, Floating Rate Note, 6/12/43 4.747 06/12/2043 470,000 182,050
PFS Financing Corp., Floating Rate Note, 2/15/19 (144A) 0.773 02/15/2019 430,000 429,629
GSAA Trust, Floating Rate Note, 6/25/35 0.966 06/25/2035 1,900,000 458,233
HSI Asset Securitization Corp Trust 2006-OPT1, Floating Rate Note, 12/25/35 0.361 12/25/2035 450,623 131,240
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/37 0.751 09/25/2037 3,700,000 338,875
Fannie Mae, 6.5%, 6/1/16 6.5 06/01/2016 700,000 1,398
Fannie Mae, Floating Rate Note, 4/1/28 2.587 04/01/2028 400,000 3,222
Option One Mortgage Loan Trust 2005-4 Asset-Backed Certificates Series 2005-4, Floating Rate Note, 1 0.431 11/25/2035 5,875,000 431,707
Bear Stearns ARM Trust 2004-3, Floating Rate Note, 7/25/34 2.7532 07/25/2034 2,481,203 86,194
Federal National Mortgage Association REMICS, Floating Rate Note, 12/25/31 1.071 12/25/2031 4,375,000 154,782
MUFG Union Bank NA, Floating Rate Note, 9/26/16 1.0046 09/26/2016 1,450,000 1,459,923
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-A, Floating Rate Note, 3/25/28 0.911 03/25/2028 15,000,000 640,375
Blue Danube II, Ltd., Floating Rate Note, 5/23/18 (Cat Bond) (144A) 4.2787 05/23/2018 800,000 802,411
Citigroup, Inc., 1.8%, 2/5/18 1.8 02/05/2018 750,000 750,065
John Deere Capital Corp., 1.05%, 12/15/16 1.05 12/15/2016 750,000 754,591
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/36 0.521 09/25/2036 1,275,000 165,468
Oscar US Funding Trust 2014-1, 1.0%, 8/15/17 (144A) 1.0 08/15/2017 700,000 699,433
CSMC Series 2014-ICE, Floating Rate Note, 4/15/27 (144A) 1.372 04/15/2027 1,950,000 1,942,479
Crown Castle Towers LLC, 3.214%, 8/15/15 (144A) 3.214 08/15/2015 500,000 505,257
ACAS CLO 2007-1, Ltd., Floating Rate Note, 4/20/21 0.4866 04/20/2021 500,000 366,746
Altria Group, Inc., 4.125%, 9/11/15 4.125 09/11/2015 310,000 321,684
Morgan Stanley ABS Capital I Inc Trust 2004-SD3, Floating Rate Note, 6/25/34 (144A) 0.631 06/25/2034 13,470,000 482,328
Fannie Mae, 7.0%, 1/1/36 7.0 01/01/2036 1,000,000 22,539
Countrywide Asset-Backed Certificates, Floating Rate Note, 3/25/35 1.071 03/25/2035 1,300,000 381,440
Invitation Homes 2014-SFR2 Trust, Floating Rate Note, 9/18/31 (144A) 1.772 09/18/2031 600,000 599,057
American Express Credit Corp., Floating Rate Note, 6/12/15 1.3399 06/12/2015 200,000 201,163
Federal National Mortgage Association, Floating Rate Note, 3/25/18 0.471 03/25/2018 8,811,000 234,956
First Horizon Mortgage Pass-Through Trust 2004-AR1, Floating Rate Note, 2/25/34 2.594 02/25/2034 1,500,000 58,779
Daimler Finance North America LLC, Floating Rate Note, 8/1/17 (144A) 0.5946 08/01/2017 617,000 614,147
Daimler Finance North America LLC, 1.45%, 8/1/16 (144A) 1.45 08/01/2016 1,000,000 1,008,135
AmeriCredit Automobile Receivables Trust 2013-4, 3.31%, 10/8/19 3.31 10/08/2019 550,000 564,854
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 8/15/36 0.422 08/15/2036 5,044,000 250,280
American Honda Finance Corp., Floating Rate Note, 12/11/17 0.5489 12/11/2017 750,000 751,528
GE Business Loan Trust 2005-1, Floating Rate Note, 6/15/33 (144A) 0.422 06/15/2033 1,692,482 732,796
Government National Mortgage Association, Floating Rate Note, 4/16/31 0.472 04/16/2031 12,627,242 254,352
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-C REMICS, Floating Rate Note, 6/25/28 0.831 06/25/2028 10,150,000 454,158
WCP Wireless Site Funding, 6.829%, 11/15/15 (144A) 6.829 11/15/2015 1,155,000 1,184,520
GS Caltex Corp., 3.25%, 10/1/18 (144A) 3.25 10/01/2018 500,000 515,508
Federal National Mortgage Association, Floating Rate Note, 8/25/35 0.471 08/25/2035 2,868,000 332,622
NovaStar Mortgage Funding Trust Series 2004-3, Floating Rate Note, 12/25/34 1.746 12/25/2034 560,000 533,277
Federal National Mortgage Association REMICS, Floating Rate Note, 7/25/35 0.421 07/25/2035 3,227,000 360,602
Resource Capital Corp 2014-CRE2, Ltd., Floating Rate Note, 4/15/32 (144A) 1.223 04/15/2032 1,480,000 1,471,607
Federal Home Loan Mortgage Corp., Floating Rate Note, 1/15/35 0.422 01/15/2035 1,635,000 218,476
Government National Mortgage Association, Floating Rate Note, 8/16/52 0.9748 08/16/2052 2,000,000 99,157
Cendant Mortgage Corp., 6.25%, 3/25/32 (144A) 6.25 03/25/2032 4,100,000 509,909
CAM Mortgage Trust 2014-2, 2.6%, 12/15/53 (Step) (144A) 2.6 12/15/2053 610,000 116,239
First Franklin Mortgage Loan Trust 2003-FFC, Floating Rate Note, 11/25/32 1.471 11/25/2032 8,000,000 397,079
Countrywide Asset-Backed Certificates, Floating Rate Note, 5/25/35 0.991 05/25/2035 1,600,000 70,646
Fannie Mae, 4.5%, 1/1/41 4.5 01/01/2041 580,000 284,706
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-G, Floating Rate Note, 1/25/30 0.731 01/25/2030 16,956,975 679,731
JP Morgan Chase Commercial Mortgage Securities Trust 2005-LDP3, Floating Rate Note, 8/15/42 4.9964 08/15/2042 800,000 814,180
RALI Series 2004-QS5 Trust, Floating Rate Note, 4/25/34 0.771 04/25/2034 1,761,729 82,242
Federal Home Loan Mortgage Corp., 5.0%, 2/1/21 5.0 02/01/2021 1,000,000 79,957
RALI Series 2003-QS14 Trust, 5.0%, 7/25/18 5.0 07/25/2018 600,000 33,002
Countrywide Asset-Backed Certificates, Floating Rate Note, 6/25/33 (144A) 0.791 06/25/2033 900,000 867,121
Government National Mortgage Association, 5.25%, 5/20/31 5.25 05/20/2031 14,313,000 216,774
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 11/15/36 0.522 11/15/2036 600,000 98,323
Bayview Financial Mortgage Pass-Through Trust 2005-C, Floating Rate Note, 6/28/44 0.669 06/28/2044 1,650,000 1,557,849
JP Morgan Mortgage Trust 2005-A3, Floating Rate Note, 6/25/35 4.9421 06/25/2035 6,041,179 604,811
Milacron LLC, Term Loan, 3/28/20 4.0 03/28/2020 496,250 490,047
Nissan Motor Acceptance Corp., Floating Rate Note, 3/3/17 (144A) 0.7846 03/03/2017 500,000 502,446
On Assignment, Inc., Initial Term B Loan, 5/15/20 3.5 05/15/2020 171,522 170,611
Bear Stearns Asset Backed Securities Trust 2004-2, Floating Rate Note, 8/25/34 1.371 08/25/2034 389,000 59,023
Structured Asset Securities Corp Mor Cer Ser 2003-31A, Floating Rate Note, 10/25/33 2.5163 10/25/2033 1,500,000 156,844
Nn Inc 1st Lien Tl-B L + 5% 18jul21 6.0 07/18/2021 394,286 395,764
Pfizer, Inc., Floating Rate Note, 5/15/17 0.4071 05/15/2017 750,000 750,041
RENT-A-CENTER, INC, Term Loan (2014), 2/6/21 3.75 02/06/2021 545,875 534,958
Bayview Opportunity Master Fund IIa Trust 2012-4NPL, 3.9496%, 1/30/34 (Step) (144A) 3.9496 01/30/2034 695,000 340,727
Southern Pacific Secured Asset Corp., Floating Rate Note, 3/25/28 0.371 03/25/2028 32,000,000 282,492
AmeriCredit Automobile Receivables Trust 2013-4, 0.74%, 11/8/16 0.74 11/08/2016 500,000 73,549
Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/35 0.481 02/25/2035 603,000 187,448
Equity One Mortgage Pass-Through Trust 2003-1, Floating Rate Note, 8/25/33 0.9083 08/25/2033 11,389,000 345,497
NCUA Guaranteed Notes Trust REMICS, 1.6%, 10/29/20 1.6 10/29/2020 500,000 174,631
Kane Ilw Zero% 02feb16 0.0 02/02/2016 250,000 231,850
Citigroup Mortgage Loan Trust 2010-7 REMICS, Floating Rate Note, 9/25/37 (144A) 1.1709 09/25/2037 1,905,250 240,311
Commonwealth Bank of Australia, Floating Rate Note, 3/13/17 (144A) 0.6006 03/13/2017 650,000 651,212
Daimler Finance North America LLC, Floating Rate Note, 3/10/17 (144A) 0.5876 03/10/2017 750,000 751,739
Progreso Receivables Funding I LLC, 4.0%, 7/9/18 (144A) 4.0 07/09/2018 1,000,000 1,008,806
Federal National Mortgage Association, Floating Rate Note, 4/25/35 2.6722 04/25/2035 1,250,000 224,032
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 8/15/25 0.422 08/15/2025 970,000 288,249
Credit Suisse Mortgage Capital Certificates REMICS, Floating Rate Note, 7/27/36 (144A) 2.6865 07/27/2036 3,494,698 646,430
Massachusetts Port Authority, 5.0%, 7/1/16 5.0 07/01/2016 475,000 506,898
RFSC Series 2004-RP1 Trust, Floating Rate Note, 11/25/42 (144A) 2.4183 11/25/2042 250,000 130,182
Aegis Asset Backed Securities Trust Mortgage Pass- Through Ctfs Series 2004-3, Floating Rate Note, 9 0.891 09/25/2034 12,500,000 438,606
Barclays Bank Plc, Floating Rate Note, 2/17/17 0.8371 02/17/2017 229,000 229,753
RALI Series 2004-QS5 Trust, 4.75%, 4/25/34 4.75 04/25/2034 4,285,000 201,374
Abbey National Treasury Services Plc London, Floating Rate Note, 9/29/17 0.6646 09/29/2017 750,000 748,746
US Renal Care, Inc., Tranche B-2 Term Loan (First Lien), 7/3/19 4.25 07/03/2019 648,932 648,932
LPL Holdings, Inc., 2013 Incremental Tranche B Term Loan, 3/29/19 3.25 03/29/2019 145,901 145,376
ConocoPhillips Co., 1.05%, 12/15/17 1.05 12/15/2017 1,000,000 997,620
Federal National Mortgage Association REMICS, Floating Rate Note, 10/25/38 1.391 10/25/2038 1,808,000 185,110
Wachovia Mortgage Loan Trust Series 2005-WMC1, Floating Rate Note, 10/25/35 0.911 10/25/2035 750,000 97,137
Springleaf Funding Trust 2013-A, 2.58%, 9/15/21 (144A) 2.58 09/15/2021 1,200,000 1,151,430
CeramTec Service GmbH, Initial Dollar Term B-1 Loan, 8/30/20 4.25 08/30/2020 207,635 207,505
Federal National Mortgage Association REMICS, Floating Rate Note, 1/25/24 1.021 01/25/2024 51,985,111 211,659
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 4/15/28 0.672 04/15/2028 16,175,365 239,884
Walgreen Co., 1.8%, 9/15/17 1.8 09/15/2017 1,000,000 1,018,995
Sequoia Mortgage Trust 2004-7, Floating Rate Note, 8/20/34 1.7673 08/20/2034 5,000,000 214,390
Federal National Mortgage Association, 4.0%, 8/1/19 4.0 08/01/2019 2,761,217 413,740
CGBAM Commercial Mortgage Trust 2014-HD, Floating Rate Note, 2/18/31 (144A) 1.372 02/18/2031 310,000 309,314
Metropolitan Life Global Funding I, Floating Rate Note, 7/15/16 (144A) 0.7833 07/15/2016 300,000 301,887
Nissan Motor Acceptance Corp., 2.65%, 9/26/18 (144A) 2.65 09/26/2018 1,000,000 1,040,504
JP Morgan Chase Commercial Mortgage Securities Trust 2006-FL2, Floating Rate Note, 11/15/18 (144A) 0.532 11/15/2018 550,000 177,632
Trafigura Securitisation Finance Plc. 2014-1, Floating Rate Note, 4/16/18 (144A) 1.122 04/16/2018 400,000 400,322
Emdeon Inc 1st Lien Tl-B3 L + 2.5% 02nov18 3.75 11/02/2018 399,000 398,252
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 10/15/37 0.752 10/15/2037 3,873,000 256,447
Delta Air Lines, Inc., 2014 Term B-1 Loan, 10/18/18 3.25 10/18/2018 98,990 99,114
Federal National Mortgage Association REMICS, Floating Rate Note, 1/18/32 0.823 01/18/2032 4,920,043 71,270
Federal National Mortgage Association, 2.0%, 8/1/23 2.0 08/01/2023 1,465,000 1,179,318
Regatta Funding, Ltd., Floating Rate Note, 6/15/20 (144A) 0.4906 06/15/2020 500,000 193,973
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-A REMICS, Floating Rate Note, 4/25/29 0.631 04/25/2029 9,673,948 500,378
New York Life Global Funding, Floating Rate Note, 10/29/15 (144A) 0.2526 10/29/2015 750,000 749,932
CDC Mortgage Capital Trust 2002-HE1, Floating Rate Note, 1/25/33 0.791 01/25/2033 19,484,513 352,102
Bella Vista Mortgage Trust 2004-1, Floating Rate Note, 11/20/34 0.8735 11/20/2034 12,618,000 321,964
Capital Auto Receivables Asset Trust 2013-1, 1.74%, 10/22/18 1.74 10/22/2018 413,000 414,539
California Republic Auto Receivables Trust 2012-1, 1.18%, 8/15/17 (144A) 1.18 08/15/2017 329,000 69,434
TransCanada PipeLines, Ltd., Floating Rate Note, 6/30/16 0.9366 06/30/2016 690,000 693,350
Marathon Oil Corp., 0.9%, 11/1/15 0.9 11/01/2015 1,496,000 1,499,845
CNL Commercial Mortgage Loan Trust 2003-1, Floating Rate Note, 5/15/31 (144A) 0.673 05/15/2031 5,443,000 416,525
Wm Wrigley Jr Co., 2.0%, 10/20/17 (144A) 2.0 10/20/2017 1,000,000 1,014,987
America Movil SAB de CV, Floating Rate Note, 9/12/16 1.2399 09/12/2016 1,000,000 1,010,173
Fannie Mae Trust 2005-W4, Floating Rate Note, 6/25/45 2.2362 06/25/2045 1,600,000 236,668
Specialty Underwriting & Residential Finance Trust Series 2006-BC1, Floating Rate Note, 12/25/36 0.471 12/25/2036 790,207 765,144
Vitality Re V, Ltd., Floating Rate Note, 1/7/19 (Cat Bond) (144A) 1.7652 01/07/2019 500,000 502,484
MASTR Alternative Loan Trust 2005-1, Floating Rate Note, 2/25/35 0.521 02/25/2035 6,760,000 514,688
Bear Stearns ALT-A Trust 2004-12, Floating Rate Note, 1/25/35 0.871 01/25/2035 9,210,000 1,040,805
ACA CLO 2006-2, Ltd., Floating Rate Note, 1/20/21 (144A) 0.9766 01/20/2021 500,000 492,804
MUFG Union Bank NA, 2.625%, 9/26/18 2.625 09/26/2018 1,000,000 1,037,589
Government National Mortgage Association I, 6.0%, 12/15/31 6.0 12/15/2031 1,500,000 64,211
Selene Non-Performing Loans LLC, 2.9814%, 5/25/54 (Step) (144A) 2.9814 05/25/2054 1,020,000 973,859
Government National Mortgage Association, Floating Rate Note, 2/20/35 0.4235 02/20/2035 2,059,000 263,470
Altrl Zero% 30jun16 0.0 06/30/2016 218,850 156,587
Wachovia Bank Commercial Mortgage Trust Series 2006-C25, Floating Rate Note, 5/15/43 5.7121 05/15/2043 1,200,000 1,011,224
Alamo Re, Ltd., Floating Rate Note, 6/7/17 (Cat Bond) (144A) 6.35 06/07/2017 250,000 261,926
Georgia Power Co., Floating Rate Note, 8/15/16 0.6571 08/15/2016 500,000 499,863
Federal Home Loan Mortgage Corp., 4.5%, 7/1/19 4.5 07/01/2019 1,467,130 156,520
Impac Secured Assets Trust 2006-5, Floating Rate Note, 12/25/36 0.371 12/25/2036 2,600,000 528,506
Federal Home Loan Mortgage Corp., Floating Rate Note, 7/15/31 0.672 07/15/2031 49,927,842 513,465
Residential Reinsurance 2011, Ltd., Floating Rate Note, 6/6/15 (Cat Bond) (144A) 9.0152 06/06/2015 500,000 518,575
Bbb Industries Llc 1st Lien Tl L + 5% 20oct21 6.0 10/20/2021 533,333 530,667
BHP Billiton Finance USA, Ltd., Floating Rate Note, 9/30/16 0.5066 09/30/2016 500,000 500,347
Hilton Worldwide Finance LLC, Initial Term Loan, 9/23/20 3.5 09/23/2020 381,579 381,877
Nordea Bank Finland Plc New York, Floating Rate Note, 6/13/16 0.4206 06/13/2016 1,000,000 1,001,134
Federal Home Loan Mortgage Corp. REMICS, 3.5%, 6/15/28 3.5 06/15/2028 1,119,000 111,635
LB-UBS Commercial Mortgage Trust 2005-C7 REMICS, Floating Rate Note, 11/15/30 5.197 11/15/2030 2,455,809 2,189,904
American Credit Acceptance Receivables Trust 2014-1, 1.14%, 3/12/18 (144A) 1.14 03/12/2018 520,000 161,580
Resource Capital Corp CRE Notes 2013, Ltd., Floating Rate Note, 6/15/16 (144A) 2.323 06/15/2016 1,000,000 1,001,845
Bear Stearns ARM Trust 2004-10 REMICS, Floating Rate Note, 1/25/35 2.7586 01/25/2035 720,000 94,374
321 Henderson Receivables I LLC, Floating Rate Note, 6/15/41 (144A) 0.373 06/15/2041 2,000,000 659,518
Residential Reinsurance 2012, Ltd., Floating Rate Note, 6/6/16 (Cat Bond) (144A) 8.0152 06/06/2016 250,000 269,847
Option One Woodbridge Loan Trust 2002-1, Floating Rate Note, 3/25/32 (144A) 1.296 03/25/2032 1,370,736 224,606
Impac CMB Trust Series 2004-4, Floating Rate Note, 9/25/34 0.811 09/25/2034 32,445,000 1,323,994
Duke Energy Florida, Inc., 0.65%, 11/15/15 0.65 11/15/2015 695,000 696,524
John Deere Capital Corp., 1.05%, 10/11/16 1.05 10/11/2016 1,098,000 1,107,396
RALI Series 2004-QS1 Trust, Floating Rate Note, 1/25/34 0.721 01/25/2034 2,884,000 6,685
Government National Mortgage Association, 5.0%, 5/20/35 5.0 05/20/2035 2,100,000 18,007
L-3 Communications Corp., 1.5%, 5/28/17 1.5 05/28/2017 586,000 582,803
RALI Series 2003-QS9 Trust, Floating Rate Note, 5/25/18 0.621 05/25/2018 11,040,000 377,744
Navitas Equipment Receivables LLC 2013-1, 3.63%, 2/15/17 3.63 02/15/2017 650,000 652,481
NSTAR Electric Co., Floating Rate Note, 5/17/16 0.4971 05/17/2016 341,000 340,695
Morgan Stanley ABS Capital I Inc Trust 2005-WMC5, Floating Rate Note, 6/25/35 0.906 06/25/2035 820,000 191,590
Kilimanjaro Re, Ltd., Floating Rate Note, 4/30/18 (Cat Bond) (144A) 4.1512 04/30/2018 350,000 355,031
Federal National Mortgage Association, 3.0%, 6/25/39 3.0 06/25/2039 5,000,000 529,090
NovaStar Mortgage Funding Trust Series 2004-4, Floating Rate Note, 3/25/35 1.821 03/25/2035 1,457,000 1,432,134
Ford Motor Credit Co LLC, 2.375%, 1/16/18 2.375 01/16/2018 250,000 255,141
Royal Bank of Canada, 1.45%, 9/9/16 1.45 09/09/2016 1,000,000 1,015,806
Federal National Mortgage Association REMICS, 3.0%, 1/25/21 3.0 01/25/2021 4,450,000 755,350
Fannie Mae Connecticut Avenue Securities, Floating Rate Note, 7/25/24 1.371 07/25/2024 1,540,000 1,346,237
General Mills, Inc., 0.875%, 1/29/16 0.875 01/29/2016 250,000 250,864
Credit Suisse First Boston Mortgage Securities Corp., Floating Rate Note, 11/25/33 2.5833 11/25/2033 1,400,000 72,127
Federal National Mortgage Association REMICS, 1.5%, 11/25/20 1.5 11/25/2020 745,000 163,114
Wachovia Bank Commercial Mortgage Trust Series 2006-C23 REMICS, Floating Rate Note, 1/15/45 5.418 01/15/2045 1,590,000 1,268,488
JP Morgan Chase Commercial Mortgage Securities Trust 2005-LDP4, Floating Rate Note, 10/15/42 5.04 10/15/2042 500,000 506,862
Credit Suisse First Boston Mortgage Securities Corp., 4.877%, 4/15/37 4.877 04/15/2037 500,000 504,199
Orange Lake Timeshare Trust 2012-A, 4.87%, 3/10/27 (144A) 4.87 03/10/2027 600,000 275,888
The Toronto-Dominion Bank, Floating Rate Note, 5/2/17 0.4946 05/02/2017 500,000 500,032
Caelus Re, Ltd., Floating Rate Note, 3/7/16 (Cat Bond) (144A) 5.2652 03/07/2016 500,000 510,225
Resi Flt% 12dec45 A1 0.9399 12/12/2045 500,000 451,312
Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/38 0.621 02/25/2038 624,000 154,649
Bank of America Corp., 1.25%, 1/11/16 1.25 01/11/2016 575,000 577,565
Bayview Commercial Asset Trust 2004-3, Floating Rate Note, 1/25/35 (144A) 0.541 01/25/2035 4,600,000 676,498
Madison Avenue Manufactured Housing Contract Trust 2002-A, Floating Rate Note, 3/25/32 2.421 03/25/2032 1,100,000 342,914
Mpg Holdco I Inc 1st Lien Tl-B L + 3.5% 13oct21 4.25 10/13/2021 587,900 591,020
Fannie Mae Whole Loan, Floating Rate Note, 11/25/46 0.431 11/25/2046 4,252,000 707,256
Diamond Resorts Owner Trust 2013-2, 2.62%, 5/20/26 (144A) 2.62 05/20/2026 750,000 407,349
Assurant, Inc., 2.5%, 3/15/18 2.5 03/15/2018 300,000 307,337
Trade MAPS 1, Ltd., Floating Rate Note, 12/10/18 (144A) 1.4215 12/10/2018 250,000 250,199
Vodafone Group Plc, Floating Rate Note, 2/19/16 0.6417 02/19/2016 275,000 275,156
Bush Truck Leasing LLC, 5.0%, 9/25/18 (144A) 5.0 09/25/2018 100,000 782
Blue Danube, Ltd., Floating Rate Note, 4/10/15 (Cat Bond) (144A) 10.7904 04/10/2015 650,000 662,765
RAIT 2014-FL2 Trust, Floating Rate Note, 5/15/31 (144A) 2.3213 05/15/2031 1,500,000 1,483,394
Evergreen Skills Lux Sarl, Initial Term Loan (First Lien), 4/23/21 5.75 04/23/2021 199,000 196,612
Crown Castle 1st Lien Term-B2 L + 2.5% 31jan21 3.0 01/31/2021 349,118 348,507
EQTY 2014-INNS Mortgage Trust REMICS, Floating Rate Note, 5/8/31 (144A) 1.771 05/08/2031 540,000 535,116
DELOS FINANCE SARL, Loan, 2/27/21 3.5 03/06/2021 425,000 425,930
GSR Mortgage Loan Trust 2003-9, Floating Rate Note, 8/25/33 2.3788 08/25/2033 4,000,000 248,143
Seadrill Operating LP, Initial Term Loan, 2/14/21 4.0 02/14/2021 841,500 682,967
Pricoa Global Funding I, Floating Rate Note, 6/24/16 (144A) 0.4651 06/24/2016 500,000 500,498
Hertz Fleet Lease Funding LP, Floating Rate Note, 4/10/28 (144A) 0.5715 04/10/2028 300,000 299,663
RREF 2014-LT6 LLC, 2.75%, 9/15/24 (144A) 2.75 09/15/2024 1,280,000 690,954
Navios Maritime Partners LP, Term Loan, 6/27/18 5.25 06/27/2018 459,188 460,048
ZIGGO BV, (USD) TLB3, 1/15/22 3.5 01/15/2022 476,177 472,733
COMM 2005-C6 Mortgage Trust, Floating Rate Note, 6/10/44 5.167 06/10/2044 1,880,000 1,908,478
AmeriCredit Automobile Receivables Trust 2013-1, 1.57%, 1/8/19 1.57 01/08/2019 150,000 149,883
PNC Bank NA, 1.125%, 1/27/17 1.125 01/27/2017 450,000 452,108
Bear Stearns Asset Backed Securities I Trust 2005-FR1, Floating Rate Note, 6/25/35 0.671 06/25/2035 1,526,722 507,885
Flagstar Home Equity Loan Trust 2005-1, Floating Rate Note, 6/25/18 (144A) 0.631 06/25/2018 4,800,000 281,339
NorthStar 2012-1 Mortgage Trust, Floating Rate Note, 8/27/29 (144A) 4.416 08/27/2029 200,000 200,557
Federal National Mortgage Association, 3.0%, 12/1/21 3.0 12/01/2021 2,000,000 889,407
Merrill Lynch Mortgage Investors Trust Series 2005-A3, Floating Rate Note, 4/25/35 0.441 04/25/2035 10,415,000 1,180,156
Federal National Mortgage Association, 2.75%, 6/25/20 2.75 06/25/2020 1,750,000 427,742
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 5/15/36 0.352 05/15/2036 4,000,000 206,907
Sequoia Mortgage Trust 2004-10, Floating Rate Note, 11/20/34 0.8135 11/20/2034 1,990,836 200,386
The Geo Group, Inc., Term Loan, 4/3/20 3.25 04/03/2020 493,719 492,176
Home Equity Asset Trust 2006-8, Floating Rate Note, 3/25/37 0.281 03/25/2037 1,394,318 350,935
Morgan Stanley ABS Capital I Inc Trust 2005-NC2, Floating Rate Note, 3/25/35 0.801 03/25/2035 627,000 385,542
Bear Stearns Commercial Mortgage Securities Trust 2006-TOP22, Floating Rate Note, 4/12/38 5.5714 04/12/2038 1,150,000 1,093,509
Fannie Mae, 6.0%, 2/1/34 6.0 02/01/2034 1,400,000 38,107
CNH Equipment Trust 2012-C, 0.57%, 12/15/17 0.57 12/15/2017 75,000 34,002
MRFC Mortgage Pass-Through Trust Series 1999-TBC2 REMICS, Floating Rate Note, 6/15/30 0.652 06/15/2030 3,714,390 207,701
BAMLL Commercial Mortgage Securities Trust 2014-ICTS, Floating Rate Note, 6/15/28 (144A) 1.272 06/15/2028 580,000 579,901
WR Grace & Co-Conn, U.S. Term Loan, 1/23/21 3.0 01/23/2021 200,912 201,205
Horizon Funding Trust 2013-1, 3.0%, 5/15/18 (144A) 3.0 05/15/2018 585,000 223,662
Federal National Mortgage Association, Floating Rate Note, 9/25/22 1.87 09/25/2022 3,000,000 116,944
General Electric Capital Corp., 1.625%, 7/2/15 1.625 07/02/2015 1,235,000 1,243,580
Halyard Health Inc 1st Lien Tl-B L + 3.25% 03oct21 4.0 10/03/2021 300,000 302,672
Four Corners CLO II, Ltd., Floating Rate Note, 1/26/20 (144A) 2.1061 01/26/2020 553,000 535,060
BPCE SA, Floating Rate Note, 4/25/16 1.5061 04/25/2016 550,000 556,391
Starbucks Corp., 0.875%, 12/5/16 0.875 12/05/2016 605,000 606,542
Bear Stearns ALT-A Trust 2004-13, Floating Rate Note, 11/25/34 0.911 11/25/2034 1,905,000 95,659
First Franklin Mortgage Loan Trust 2005-FFH3, Floating Rate Note, 9/25/35 0.681 09/25/2035 1,100,000 493,645
Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/37 0.421 02/25/2037 4,308,000 172,952
Credit Suisse Commercial Mortgage Trust Series 2007-C1, 5.361%, 2/15/40 5.361 02/15/2040 1,300,000 929,926
Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/37 0.371 02/25/2037 1,940,000 182,559
Principal Life Global Funding II, Floating Rate Note, 5/27/16 (144A) 0.6309 05/27/2016 390,000 391,519
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/34 0.571 03/25/2034 763,500 197,143
Hilton Grand Vacations Trust 2014-A, 2.07%, 11/25/26 (144A) 2.07 11/25/2026 750,000 632,552
Adjustable Rate Mortgage Trust 2005-2, Floating Rate Note, 6/25/35 0.951 06/25/2035 345,151 247,858
Federal National Mortgage Association REMICS, Floating Rate Note, 5/25/40 0.721 05/25/2040 761,373 321,892
Collateralized Mortgage Obligation Trust 44, Floating Rate Note, 7/1/18 1.2 07/01/2018 13,590,000 42,180
Wachovia Bank Commercial Mortgage Trust Series 2005-C20 REMICS, Floating Rate Note, 7/15/42 5.118 07/15/2042 2,414,000 1,400,694
JP Morgan Chase Commercial Mortgage Securities Trust 2014-BXH, Floating Rate Note, 4/15/27 (144A) 1.422 04/15/2027 1,670,000 1,669,141
Atlantic Power LP, Term Loan, 2/20/21 4.75 02/20/2021 1,207,355 1,213,391
Federal Home Loan Mortgage Corp., 6.5%, 7/1/16 6.5 07/01/2016 2,000,000 6,194
Unifrax I LLC, New Term B Dollar Loan, 11/28/18 4.25 11/28/2018 498,744 496,042
Government National Mortgage Association, Floating Rate Note, 8/20/35 0.5735 08/20/2035 1,177,000 94,024
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 9/15/26 0.472 09/15/2026 385,000 219,819
Vita Capital V, Ltd., Floating Rate Note, 1/15/17 (Cat Bond) (144A) 3.4576 01/15/2017 250,000 256,231
Cof 1.65% 05feb18 1.65 02/05/2018 750,000 749,770
Banc of America Merrill Lynch Commercial Mortgage, Inc., Floating Rate Note, 9/10/47 5.1529 09/10/2047 1,780,000 1,502,343
National City Bank Cleveland Ohio, Floating Rate Note, 12/15/16 0.5906 12/15/2016 250,000 249,343
Hyundai Capital America, 1.875%, 8/9/16 (144A) 1.875 08/09/2016 500,000 505,955
Irwin Whole Loan Home Equity Trust 2003-C, Floating Rate Note, 6/25/28 1.671 06/25/2028 2,350,000 548,787
Freddie Mac Strips, Floating Rate Note, 8/15/36 0.472 08/15/2036 6,894,664 332,857
Eden Re II, Ltd., 0.0%, 4/19/18 (Cat Bond) (144A) 0.0 04/19/2018 700,000 702,800
Lehman Brothers Small Balance Commercial, Floating Rate Note, 4/25/31 (144A) 0.401 04/25/2031 3,723,496 523,149
Bayview Financial Acquisition Trust, Floating Rate Note, 5/28/44 0.799 05/28/2044 7,600,000 65,784
Leaf Receivables Funding 8 LLC, 2.67%, 9/15/20 (144A) 2.67 09/15/2020 311,966 313,915
RALI Series 2003-QS15 Trust, 5.5%, 8/25/33 5.5 08/25/2033 250,000 153,214
ABN AMRO Bank NV, Floating Rate Note, 10/28/16 (144A) 1.0561 10/28/2016 750,000 755,752
Orbital ATK, Inc., Term B Loan, 10/22/20 3.5 10/22/2020 197,751 198,205
RAAC Series 2004-SP2 Trust, 6.0%, 1/25/32 6.0 01/25/2032 11,000,000 406,115
The Bank of Tokyo-Mitsubishi UFJ, Ltd., 2.7%, 9/9/18 (144A) 2.7 09/09/2018 305,000 316,064
Freddie Mac Structured Agency Credit Risk Debt Notes, Floating Rate Note, 11/25/23 1.621 11/25/2023 750,000 570,709
GE Equipment Small Ticket LLC Series 2013-1, 0.73%, 1/25/16 (144A) 0.73 01/25/2016 200,000 40,526
Terwin Mortgage Trust Series TMTS 2005-10HE, Floating Rate Note, 6/25/36 0.621 06/25/2036 199,992 140,242
Capital One NA, Floating Rate Note, 3/22/16 0.6971 03/22/2016 700,000 701,573
Wells Fargo & Co., 1.5%, 7/1/15 1.5 07/01/2015 1,050,000 1,056,590
Thornburg Mortgage Securities Trust 2004-4, Floating Rate Note, 12/25/44 1.8352 12/25/2044 1,225,000 190,643
Saxon Asset Securities Trust 2005-4, Floating Rate Note, 11/25/37 0.401 11/25/2037 9,516,000 394,725
HSBC USA, Inc., Floating Rate Note, 6/23/17 0.5521 06/23/2017 750,000 749,875
Morgan Stanley Mortgage Loan Trust 2005-6AR, Floating Rate Note, 11/25/35 0.441 11/25/2035 3,786,000 407,913
CHS, 2017 Term E Loan, 1/25/17 3.422 01/25/2017 99,374 99,506
GSR Mortgage Loan Trust 2004-7, Floating Rate Note, 6/25/34 2.6952 06/25/2034 4,189,737 502,169
Federal National Mortgage Association REMICS, 4.0%, 5/25/29 4.0 05/25/2029 2,000,000 2,054,235
SpringCastle America Funding LLC, 2.7%, 5/25/23 2.7 05/25/2023 1,020,000 874,510
Fannie Mae, 5.0%, 10/1/41 5.0 10/01/2041 1,736,000 769,655
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 4/15/36 0.472 04/15/2036 728,000 138,137
A10 Term Asset Financing 2013-2 LLC, 2.62%, 11/15/27 (144A) 2.62 11/15/2027 1,085,000 1,024,416
Tar Heel Re, Ltd., Floating Rate Note, 5/9/16 (Cat Bond) (144A) 8.5355 05/09/2016 250,000 264,473
Welk Resorts 2013-A LLC, 3.1%, 3/15/29 (144A) 3.1 03/15/2029 750,000 545,613
Morgan Stanley, Floating Rate Note, 6/6/16 1.0854 06/06/2016 500,000 503,653
Wells Fargo Home Equity Asset-Backed Securities 2005-3 Trust, Floating Rate Note, 12/25/35 0.551 12/25/2035 200,000 56,093
Federal National Mortgage Association REMICS, Floating Rate Note, 5/25/33 0.671 05/25/2033 4,068,000 102,670
Home Equity Mortgage Trust 2005-2, Floating Rate Note, 7/25/35 1.311 07/25/2035 1,113,955 234,335
American Honda Finance Corp., 1.125%, 10/7/16 1.125 10/07/2016