Pioneer Multi-Asset Ultrashort Income Fund

Top 10 Portfolio Holdings as of 8/29/2014
Default: sorted by market value

Security Name Par / Shares Market Value
321 Henderson Receivables I LLC, Floating Rate Note, 6/15/41 (144A) 8,090,000 $3,112,254
321 Henderson Receivables I LLC, Floating Rate Note, 9/15/45 (144A) 1,386,000 $362,982
77 Energy 1st Lien Tl-B L + 3% 17jun21 1,450,000 $1,453,173
A10 Securitization 2013-1 LLC, 2.4%, 11/17/25 (144A) 1,400,000 $1,009,715
ABFC 2003-WMC1 Trust, Floating Rate Note, 3/25/33 3,574,825 $62,549
ABFC 2005-WF1 Trust, Floating Rate Note, 12/25/34 1,610,000 $730,798
ABN AMRO Bank NV, Floating Rate Note, 10/28/16 (144A) 1,725,000 $1,742,438
ACA CLO 2006-2, Ltd., Floating Rate Note, 1/20/21 (144A) 2,000,000 $1,960,763
ACAS CLO 2007-1, Ltd., Floating Rate Note, 4/20/21 1,800,000 $1,565,778
Accredited Mortgage Loan Trust 2005-2, Floating Rate Note, 7/25/35 1,110,000 $1,070,495
ACE Securities Corp Home Equity Loan Trust Series 2002-HE3, Floating Rate Note, 10/25/32 4,600,000 $1,294,855
ACE Securities Corp Manufactured Housing Trust Series 2003-MH1, Floating Rate Note, 8/15/30 (144A) 1,250,000 $189,241
ACIS CLO 2014-4, Ltd., Floating Rate Note, 5/1/26 2,500,000 $2,499,905
Acosta, Inc., Term B Loan (2013), 3/2/18 840,267 $843,943
ACRE Commercial Mortgage Trust 2014-FL2, Floating Rate Note, 8/15/31 (144A) 2,500,000 $2,501,666
ACRE Commercial Mortgage Trust 2014-FL2, Floating Rate Note, 8/15/31 (144A) 5,350,000 $5,352,562
Activision Blizzard, Inc., Term Loan, 7/26/20 1,350,000 $1,351,875
Adjustable Rate Mortgage Trust 2004-1, Floating Rate Note, 1/25/35 5,000,000 $479,289
Adjustable Rate Mortgage Trust 2005-2, Floating Rate Note, 6/25/35 2,260,122 $1,776,557
Adjustable Rate Mortgage Trust 2005-5, Floating Rate Note, 9/25/35 13,780,000 $1,219,003
AdvancePierre Foods, Inc., Term Loan (First Lien), 7/10/17 186,402 $187,334
Advantage Sales & Marketing Inc 1st Lien Dd L + 3.25% 21jul21 22,170 $22,001
Advantage Sales & Marketing Inc 1st Lien Tl-B L + 3.25% 11jul21 665,092 $660,045
Aegis Asset Backed Securities Trust 2004-6, Floating Rate Note, 3/25/35 5,700,000 $442,203
Aegis Asset Backed Securities Trust Mortgage Pass-Through Ctfs Ser 2004-2, Floating Rate Note, 6/25/ 21,291,000 $1,926,744
Aegis Asset Backed Securities Trust Mortgage Pass-Through Ctfs Ser 2005-4, Floating Rate Note, 10/25 800,000 $439,734
Aegis Asset Backed Securities Trust Mortgage Pass- Through Ctfs Series 2004-3, Floating Rate Note, 9 3,465,620 $664,724
Aegis Asset Backed Securities Trust Mortgage Pass-Through Ctfs Series 2004-4, Floating Rate Note, 10 3,977,618 $969,016
Aeroflex, Inc., Tranche B-1 Term Loan, 11/9/19 126,184 $126,630
Alamo Re, Ltd., Floating Rate Note, 6/7/17 (Cat Bond) (144A) 1,000,000 $1,023,800
Albertsons LLC, Term B-2 Loan, 3/21/19 1,503,474 $1,506,764
Alkermes, Inc., 2019 Term Loan, 9/25/19 1,131,360 $1,126,175
Allegion US Holding Co, Inc., Tranche B Term Loan, 12/26/20 2,288,500 $2,283,255
Alliant Holdings I, Inc., Initial Term Loan, 12/20/19 243,443 $243,288
Alliant Techsystems, Inc., Term B Loan, 10/22/20 397,500 $398,370
Allied Security Holdings LLC, Closing Date Term Loan (First Lien), 2/12/21 515,815 $512,994
Allison Transmission, Inc., Term B-3 Loan, 8/23/19 147,390 $147,091
Ally Auto Receivables Trust 2011-2, 1.98%, 4/15/16 355,000 $130,835
Ally Auto Receivables Trust 2011-3, 1.61%, 5/16/16 602,000 $326,609
Ally Auto Receivables Trust 2013-2, Floating Rate Note, 7/15/16 1,500,000 $1,119,081
Ally Auto Receivables Trust 2014-SN1, Floating Rate Note, 10/20/16 1,800,000 $1,799,237
Ally Master Owner Trust, Floating Rate Note, 1/16/18 300,000 $300,246
Ally Master Owner Trust, Floating Rate Note, 2/15/17 250,000 $250,791
Ally Master Owner Trust, Floating Rate Note, 6/17/19 2,600,000 $2,600,601
Ally Master Owner Trust, Floating Rate Note, 8/15/17 3,000,000 $3,022,654
Alterna Funding I LLC, 1.639%, 2/15/21 (144A) 1,400,000 $1,401,912
Alternative Loan Trust 2003-3T1, Floating Rate Note, 5/25/33 15,000,000 $635,339
Alternative Loan Trust 2004-18CB, 5.7%, 9/25/34 1,760,000 $18,265
Alternative Loan Trust 2004-18CB, Floating Rate Note, 9/25/34 41,975,000 $31,228
Alternative Loan Trust 2004-2CB, 5.125%, 3/25/34 1,500,000 $35,622
Alternative Loan Trust 2004-2CB, Floating Rate Note, 3/25/34 4,210,000 $7,473
Alternative Loan Trust 2004-4CB, 4.25%, 4/25/34 16,913,000 $738,049
Alternative Loan Trust 2004-6CB, Floating Rate Note, 4/25/34 31,600,000 $2,401,386
Altice Financing SA, 7.875%, 12/15/19 (144A) 2,500,000 $2,757,870
Altisource Solutions Sarl, Term B Loan, 12/9/20 992,528 $957,790
AMC Entertainment, Inc., Initial Term Loan, 4/30/20 1,465,054 $1,461,129
America Movil SAB de CV, Floating Rate Note, 9/12/16 1,500,000 $1,516,342
American Airlines, Inc., Class B Term Loan, 6/27/19 2,524,500 $2,510,300
American Credit Acceptance Receivables Trust, 1.64%, 11/15/16 (144A) 1,401,000 $265,626
American Credit Acceptance Receivables Trust 2012-2, 1.89%, 7/15/16 (144A) 800,000 $44,989
American Credit Acceptance Receivables Trust 2012-2, 4.05%, 2/15/18 (144A) 1,228,000 $1,247,514
American Credit Acceptance Receivables Trust 2013-1, 1.45%, 4/16/18 (144A) 1,859,000 $706,558
American Credit Acceptance Receivables Trust 2013-2, 1.32%, 2/15/17 (144A) 805,000 $311,858
American Credit Acceptance Receivables Trust 2014-1, 1.14%, 3/12/18 (144A) 645,000 $401,996
American Credit Acceptance Receivables Trust 2014-2, 0.99%, 10/10/17 (144A) 3,300,000 $2,681,149
American Credit Acceptance Receivables Trust 2014-3, 0.99%, 8/10/18 (144A) 1,420,000 $1,420,863
American Express Centurion Bank, Floating Rate Note, 11/13/15 5,090,000 $5,113,632
American Express Credit Account Master Trust, Floating Rate Note, 1/15/20 50,000 $50,074
American Express Credit Account Master Trust, Floating Rate Note, 2/15/18 1,945,000 $1,963,804
American Express Credit Account Master Trust, Floating Rate Note, 3/15/18 8,890,000 $8,894,389
American Express Credit Corp., 1.75%, 6/12/15 2,000,000 $2,028,459
American Express Credit Corp., Floating Rate Note, 6/12/15 3,185,000 $3,219,125
American Express Credit Corp., Floating Rate Note, 7/29/16 2,850,000 $2,869,304
American Homes 4 Rent 2014-SFR1, Floating Rate Note, 6/19/31 (144A) 1,500,000 $1,477,105
American Honda Finance Corp., 1.0%, 8/11/15 (144A) 1,000,000 $1,006,239
American Honda Finance Corp., 1.45%, 2/27/15 (144A) 2,655,000 $2,669,899
American Honda Finance Corp., 1.85%, 9/19/14 (144A) 600,000 $605,349
American Honda Finance Corp., Floating Rate Note, 10/7/16 950,000 $958,381
American Honda Finance Corp., Floating Rate Note, 11/13/14 (144A) 300,000 $300,127
American Honda Finance Corp., Floating Rate Note, 5/26/16 (144A) 3,050,000 $3,064,673
AmeriCredit Automobile Receivables Trust 2010-4, 6.4%, 4/9/18 (144A) 470,000 $477,880
AmeriCredit Automobile Receivables Trust 2011-5, 2.45%, 12/8/16 1,700,000 $1,710,916
AmeriCredit Automobile Receivables Trust 2013-1, 0.49%, 6/8/16 2,000,000 $187,743
AmeriCredit Automobile Receivables Trust 2013-2, 0.65%, 12/8/17 485,000 $485,190
AmeriCredit Automobile Receivables Trust 2013-4, 0.74%, 11/8/16 1,500,000 $810,880
AmeriCredit Automobile Receivables Trust 2014-2, Floating Rate Note, 10/10/17 1,320,000 $1,320,036
Ameriquest Mortgage Securities Inc Asset-Backed Pass-Through Ctfs Ser 2003-11, Floating Rate Note, 1 6,950,000 $313,325
Ameriquest Mortgage Securities Inc Asset-Backed Pass-Through Ctfs Ser 2005-R1, Floating Rate Note, 3 2,757,237 $1,578,991
Ameriquest Mortgage Securities Inc Asset-Backed Pass-Through Ctfs Ser 2005-R10, Floating Rate Note, 15,705,000 $911,924
Ameriquest Mortgage Securities Inc Asset Backed Pass-Through Ctfs Ser 2005-R11, Floating Rate Note, 810,000 $578,452
Ameriquest Mortgage Securities Inc Asset-Backed Pass-Through Ctfs Ser 2005-R5, Floating Rate Note, 7 84,000 $83,903
Ameriquest Mortgage Securities Inc Asset-Backed Pass-Through Ctfs Ser 2005-R6, Floating Rate Note, 8 2,850,000 $29,075
Ameriquest Mort Sec Inc Asset Backed Pass Thr Cert 03 AR3, Floating Rate Note, 6/25/33 729,633 $468,119
Anheuser-Busch Companies LLC, 5.0%, 1/15/15 1,891,000 $1,935,397
Anheuser-Busch InBev Finance, Inc., Floating Rate Note, 1/27/17 1,900,000 $1,903,938
Anheuser-Busch InBev Worldwide, Inc., 4.125%, 1/15/15 4,015,000 $4,089,720
Apex Tool Group LLC, Term Loan, 1/31/20 1,234,375 $1,215,242
Apple, Inc., Floating Rate Note, 5/3/16 1,500,000 $1,500,916
Arc Automotive Group, Inc., Term Loan, 11/15/18 479,219 $481,615
Ardagh Holdings USA, Inc., New Term Loan, 12/17/19 682,290 $679,731
ARI Fleet Lease Trust 2012-A, Floating Rate Note, 3/15/20 (144A) 2,070,000 $474,284
ARI Fleet Lease Trust 2012-B, Floating Rate Note, 1/15/21 (144A) 1,030,000 $371,578
ARI Fleet Lease Trust 2013-A, 0.7%, 12/15/15 (144A) 4,000,000 $2,422,130
ARI Fleet Lease Trust 2014-A, 0.81%, 11/15/22 (144A) 3,000,000 $3,003,017
Arlington Flt% 01aug15 100,000 $102,480
Armor Re, Ltd., Floating Rate Note, 12/15/16 (Cat Bond) (144A) 1,000,000 $1,005,589
Armstrong World Industries, Inc., Term Loan B, 3/15/20 1,086,497 $1,086,667
Arysta Lifescience SPC LLC, Initial Term Loan (First Lien), 5/29/20 2,353,362 $2,356,598
Ascentium Equipment Receivables 2012-1 LLC, 1.83%, 9/15/19 (144A) 1,528,000 $297,041
Ascentium Equipment Receivables 2014-1 LLC, 1.04%, 1/10/17 1,000,000 $1,000,885
ASG Resecuritization Trust 2010-3, Floating Rate Note, 12/29/45 (144A) 5,216,443 $2,465,426
Asset Backed Securities Corp Home Equity Loan Trust Series 2005-HE2, Floating Rate Note, 2/25/35 8,100,000 $839,676
Asset Backed Securities Corp Home Equity Loan Trust Series 2005-HE3, Floating Rate Note, 4/25/35 724,529 $584,202
Asset Backed Securities Corp Home Equity Loan Trust Series AEG 2006-HE1, Floating Rate Note, 1/25/36 6,155,063 $1,186,969
Asset Backed Securities Corp Home Equity Loan Trust Series NC 2005-HE4, Floating Rate Note, 5/25/35 3,657,000 $818,004
Asset Backed Securities Corp Home Equity Loan Trust Series OOMC 2005-HE6, Floating Rate Note, 7/25/3 1,879,167 $1,499,848
Atlantic Power LP, Term Loan, 2/20/21 2,953,023 $2,971,480
Atlas IX Capital, Ltd., Floating Rate Note, 1/17/19 (Cat Bond) (144A) 1,500,000 $1,551,169
Atlas Reinsurance VII, Ltd., Floating Rate Note, 1/7/16 (Cat Bond) (144A) 1,000,000 $1,048,383
Audio Visual Services Corp., Initial Term Loan (First Lien), 1/24/21 229,425 $229,712
Avago Technologies Ltd 1st Lien Tl-B L + 3% 16apr21 1,300,000 $1,300,464
Avis Budget Car Rental LLC, Tranche B Term Loan, 3/15/19 1,286,104 $1,285,702
AWAS Finance Luxembourg 2012 SA, Term Loan, 7/16/18 443,638 $443,175
Axalta Coating Systems US Holdings, Inc., Refinanced Term B Loan, 2/1/20 1,076,940 $1,072,379
AXIS Equipment Finance Receivables II LLC, 1.75%, 6/20/16 1,000,000 $673,707
Az Chem Us Inc 1st Lien Tl-B L + 3.5% 09jun21 1,985,647 $1,998,885
BA Credit Card Trust, Floating Rate Note, 9/16/19 2,800,000 $2,803,373
BAMLL Commercial Mortgage Securities Trust 2014-ICTS, Floating Rate Note, 6/15/28 (144A) 1,920,000 $1,922,351
Banc of America Commercial Mortgage Trust 2006-1, Floating Rate Note, 9/10/45 3,590,000 $3,767,301
Banc of America Commercial Mortgage Trust 2006-1, Floating Rate Note, 9/10/45 5,040,000 $5,294,326
Banc of America Funding 2004-B Trust, Floating Rate Note, 12/20/34 20,499,000 $1,651,932
Banc of America Merrill Lynch Commercial Mortgage, Inc., Floating Rate Note, 10/10/45 4,730,000 $4,679,436
Banc of America Merrill Lynch Commercial Mortgage, Inc., Floating Rate Note, 9/10/47 6,175,000 $6,397,336
Banc of America Merrill Lynch Commercial Mortgage, Inc. REMICS, Floating Rate Note, 7/10/43 1,985,000 $1,911,260
Banc of America Mortgage 2003-A Trust, Floating Rate Note, 2/25/33 10,560,000 $109,005
Banc of America Mortgage 2003-F Trust, Floating Rate Note, 7/25/33 5,472,215 $271,763
Banc of America Mortgage 2004-D Trust, Floating Rate Note, 5/25/34 17,088,000 $1,948,466
Banc of America Mortgage 2004-I Trust, Floating Rate Note, 10/25/34 6,000,000 $453,341
Bank of America Corp., 4.5%, 4/1/15 2,515,000 $2,619,332
Bank of America Corp., Floating Rate Note, 1/15/15 1,000,000 $1,001,889
Bank of America Corp., Floating Rate Note, 3/22/16 6,000,000 $6,055,599
Bank of America Corp., Floating Rate Note, 8/25/17 1,423,000 $1,426,892
Bank of America NA, Floating Rate Note, 2/14/17 2,000,000 $2,004,535
Bank of Montreal, Floating Rate Note, 7/14/17 2,300,000 $2,300,790
Bank of Nova Scotia Houston, Floating Rate Note, 10/23/15 1,000,000 $1,002,684
Barclays Bank Plc, Floating Rate Note, 2/17/17 821,000 $825,214
Barclays Dryrock Issuance Trust, Floating Rate Note, 12/16/19 1,050,000 $1,051,270
Barclays Dryrock Issuance Trust, Floating Rate Note, 3/16/20 1,800,000 $1,800,371
Barclays Dryrock Issuance Trust, Floating Rate Note, 7/16/18 200,000 $200,229
Barclays Dryrock Issuance Trust, Floating Rate Note, 8/15/17 2,000,000 $2,000,254
Baxter International, Inc., 4.625%, 3/15/15 2,500,000 $2,556,400
Baxter International, Inc., Floating Rate Note, 12/11/14 895,000 $896,096
Bayview Financial Acquisition Trust, 6.205%, 5/28/37 (Step) 100,000 $60,045
Bayview Financial Acquisition Trust, Floating Rate Note, 2/28/44 46,440,000 $1,802,861
Bayview Financial Acquisition Trust, Floating Rate Note, 5/28/44 23,920,000 $403,392
Bayview Financial Mortgage Pass-Through Trust 2005-C, Floating Rate Note, 6/28/44 8,536,000 $125,668
Bayview Financial Mortgage Pass-Through Trust 2006-A, Floating Rate Note, 2/28/41 6,439,000 $594,522
Bayview Financial Mortgage Pass-Through Trust 2006-A, Floating Rate Note, 2/28/41 5,200,000 $138,251
Bayview Financial Mortgage Pass-Through Trust 2006-B, Floating Rate Note, 4/28/36 8,680,000 $645,410
Bayview Financial Mortgage Pass-Through Trust 2006-B, Floating Rate Note, 4/28/36 4,911,055 $1,301,705
Bayview Financial Mortgage Pass-Through Trust Series 2005-B, Floating Rate Note, 4/28/39 1,899,351 $1,875,253
Bayview Opportunity Master Fund IIa Trust 2012-4NPL, 3.9496%, 1/28/34 (Step) 2,125,000 $1,317,935
Bayview Opportunity Master Fund IIa Trust 2014-20NPL, Floating Rate Note, 8/28/44 (144A) 1,480,000 $1,480,306
Bayview Opportunity Master Fund Trust, Floating Rate Note, 1/28/33 (144A) 1,000,000 $330,070
Bayview Opportunity Master Fund Trust IIIa 2014-12RPL, 3.6225%, 7/28/19 (Step) (144A) 2,450,000 $2,460,006
BCAP LLC 2009-RR13-I Trust, Floating Rate Note, 9/26/35 (144A) 8,854,257 $2,429,932
BCAP LLC 2013-RR3 Trust, Floating Rate Note, 5/28/36 (144A) 1,084,000 $851,653
BCAP LLC 2013-RR7 Trust, Floating Rate Note, 12/27/34 1,410,000 $1,316,892
BCC Funding VIII LLC, 1.794%, 6/22/20 (144A) 2,000,000 $1,588,214
Bear Stearns ALT-A Trust 2003-3, Floating Rate Note, 10/25/33 350,000 $60,056
Bear Stearns ALT-A Trust 2004-11, Floating Rate Note, 11/25/34 21,976,800 $1,230,469
Bear Stearns ALT-A Trust 2004-12, Floating Rate Note, 1/25/35 25,745,000 $3,432,592
Bear Stearns ALT-A Trust 2004-12, Floating Rate Note, 1/25/35 17,745,000 $2,174,005
Bear Stearns ALT-A Trust 2004-12, Floating Rate Note, 1/25/35 11,245,000 $1,290,370
Bear Stearns ALT-A Trust 2004-12, Floating Rate Note, 1/25/35 25,907,600 $3,437,141
Bear Stearns ALT-A Trust 2004-13, Floating Rate Note, 11/25/34 9,625,000 $518,230
Bear Stearns ALT-A Trust 2004-4, Floating Rate Note, 6/25/34 33,443,000 $2,818,084
Bear Stearns ALT-A Trust 2004-8, Floating Rate Note, 9/25/34 12,800,000 $1,025,326
Bear Stearns ARM Trust 2003-3, Floating Rate Note, 5/25/33 42,906,215 $1,362,270
Bear Stearns ARM Trust 2004-3, Floating Rate Note, 7/25/34 10,718,797 $402,090
Bear Stearns ARM Trust 2005-5, Floating Rate Note, 8/25/35 5,635,000 $619,961
Bear Stearns Asset Backed Securities I Trust 2005-FR1, Floating Rate Note, 6/25/35 5,850,460 $2,242,353
Bear Stearns Asset Backed Securities I Trust 2005-HE8, Floating Rate Note, 8/25/35 4,984,852 $83,227
Bear Stearns Asset Backed Securities Trust, Floating Rate Note, 2/25/35 21,336,125 $1,195,554
Bear Stearns Asset Backed Securities Trust 2003-AC5, Floating Rate Note, 10/25/33 2,875,000 $287,042
Bear Stearns Asset Backed Securities Trust 2004-2, Floating Rate Note, 8/25/34 1,523,000 $294,945
Bear Stearns Asset Backed Securities Trust 2004-SD3, Floating Rate Note, 9/25/34 310,000 $139,114
Bear Stearns Asset Backed Securities Trust 2005-SD1, Floating Rate Note, 8/25/43 310,000 $95,590
Bear Stearns Asset Backed Securities Trust 2005-SD2, Floating Rate Note, 3/25/35 1,000,000 $138,434
Bear Stearns Asset Backed Securities Trust 2005-SD2, Floating Rate Note, 3/25/35 5,000,000 $1,632,464
Bear Stearns Commercial Mortgage Securities Trust 2005-PWR10, Floating Rate Note, 12/11/40 4,250,000 $4,313,069
Bear Stearns Commercial Mortgage Securities Trust 2005-PWR8, 4.75%, 6/11/41 1,330,000 $1,363,486
Bear Stearns Commercial Mortgage Securities Trust 2005-PWR9, 4.871%, 9/11/42 7,568,000 $6,475,316
Bear Stearns Commercial Mortgage Securities Trust 2005-PWR9, Floating Rate Note, 9/11/42 3,751,000 $3,877,576
Bear Stearns Commercial Mortgage Securities Trust 2005-TOP18, Floating Rate Note, 2/13/42 3,975,000 $3,433,132
Bear Stearns Commercial Mortgage Securities Trust 2005-TOP20, Floating Rate Note, 10/12/42 6,505,000 $6,744,150
Bear Stearns Mortgage Securities, Inc., Floating Rate Note, 6/25/30 2,875,810 $524,266
Bear Stearns Structured Products Trust 2007-EMX1, Floating Rate Note, 3/25/37 (144A) 4,870,000 $1,024,725
Belden Finance 2013 LP, Initial Term Loan, 9/9/20 645,125 $645,125
Berkeley-Kane Flt% 12jun15 2,008,000 $2,035,911
Berkshire Hathaway Finance Corp., Floating Rate Note, 1/10/17 1,855,000 $1,859,063
Berkshire Hathaway Finance Corp., Floating Rate Note, 8/14/17 2,500,000 $2,501,555
BHP Billiton Finance USA, Ltd., Floating Rate Note, 9/30/16 1,795,000 $1,799,090
Big Heart Pet Brands, Initial Term Loan, 2/24/20 480,666 $473,081
BioScrip, Inc., Delayed Draw Term Loan, 7/31/20 328,915 $330,971
BioScrip, Inc., Initial Term B Loan, 7/31/20 548,191 $551,618
BlackRock, Inc., 3.5%, 12/10/14 1,431,000 $1,454,524
Blue Danube, Ltd., Floating Rate Note, 4/10/15 (Cat Bond) (144A) 1,945,000 $2,049,910
Blue Danube, Ltd., Floating Rate Note, 4/10/15 (Cat Bond) (144A) 600,000 $615,126
Blue Danube II, Ltd., Floating Rate Note, 5/23/16 (Cat Bond) (144A) 2,125,000 $2,172,586
BMW Floorplan Master Owner Trust, Floating Rate Note, 9/15/17 (144A) 3,000,000 $3,009,442
BMW Vehicle Lease Trust 2013-1, 0.54%, 9/21/15 3,062,000 $2,858,545
BMW Vehicle Owner Trust 2011-A, 0.76%, 8/25/15 2,630,000 $1,607
BNC Mortgage Loan Trust 2007-4, Floating Rate Note, 11/25/37 9,500,000 $277,945
Boca Hotel Portfolio Trust 2013-BOCA, Floating Rate Note, 8/17/26 (144A) 1,375,000 $1,377,352
Bombardier Recreational Products, Inc., Term B Loan, 1/30/19 188,571 $187,763
Booz Allen Hamilton, Inc., Refinance Tranche B, 7/31/19 1,358,138 $1,361,251
Bosphorus 1 Re, Ltd., Floating Rate Note, 5/3/16 (Cat Bond) (144A) 750,000 $752,302
Branch Banking & Trust Co., Floating Rate Note, 5/23/17 500,000 $496,583
Branch Banking & Trust Co., Floating Rate Note, 9/13/16 1,814,000 $1,811,454
Bright Horizons Family Solutions, Inc., Term B Loan, 1/30/20 374,300 $373,442
British Telecommunications Plc, 2.0%, 6/22/15 2,575,000 $2,613,648
BSN medical International Holding GmbH & Co KG, Facility B1b, 8/28/19 593,611 $593,364
Burger King Corp., Tranche B Term Loan (2012), 9/28/19 242,678 $242,753
Bway Holding Co 1st Lien Tl-B L + 4.5% 08aug20 400,000 $403,750
Cabela's Master Credit Card Trust, Floating Rate Note, 1/16/18 (144A) 3,392,000 $3,409,197
Cabela's Master Credit Card Trust, Floating Rate Note, 2/18/20 (144A) 150,000 $151,186
Cabela's Master Credit Card Trust, Floating Rate Note, 3/16/20 900,000 $899,521
Cabela's Master Credit Card Trust, Floating Rate Note, 6/17/19 (144A) 1,500,000 $1,509,182
Cabela's Master Credit Card Trust, Floating Rate Note, 9/17/18 (144A) 2,475,000 $2,486,883
Caelus Re, Ltd., Floating Rate Note, 3/7/16 (Cat Bond) (144A) 2,500,000 $2,561,740
Caelus Re 2013, Ltd., Floating Rate Note, 4/7/17 (Cat Bond) (144A) 2,300,000 $2,427,481
California Republic Auto Receivables Trust 2012-1, 1.18%, 8/15/17 (144A) 1,138,000 $365,981
Calpine Construction Finance Co LP, Term B-1 Loan, 5/3/20 1,188,000 $1,166,220
Calpine Corp., Term Loan (10/12), 10/9/19 762,115 $762,163
CAM Mortgage Trust 2014-1, 3.3515%, 12/15/53 (Step) (144A) 2,060,000 $357,684
CAM Mortgage Trust 2014-2, 2.6%, 12/15/53 (Step) (144A) 2,130,000 $1,877,511
Canadian National Railway Co., Floating Rate Note, 11/6/15 1,675,000 $1,677,473
Canadian Natural Resources, Ltd., 1.45%, 11/14/14 1,330,000 $1,338,408
Canadian Natural Resources, Ltd., Floating Rate Note, 3/30/16 2,399,000 $2,408,443
Capital Auto Receivables Asset Trust 2013-3, Floating Rate Note, 11/20/15 840,000 $840,303
Capital One Financial Corp., 2.15%, 3/23/15 2,300,000 $2,343,475
Capital One Financial Corp., Floating Rate Note, 11/6/15 1,875,000 $1,885,132
Capital One Multi-Asset Execution Trust, Floating Rate Note, 2/15/19 1,050,000 $1,049,944
Capital One Multi-Asset Execution Trust, Floating Rate Note, 8/15/18 6,145,000 $6,140,871
Capital One NA, Floating Rate Note, 3/22/16 1,900,000 $1,906,855
Cardinal Health, Inc., 4.0%, 6/15/15 2,300,000 $2,380,563
CarMax Auto Owner Trust 2011-1, 2.16%, 9/15/16 200,000 $123,694
CarMax Auto Owner Trust 2011-3, 1.07%, 6/15/16 518,000 $120,626
Carrington Mortgage Loan Trust Series 2005-NC1, Floating Rate Note, 2/26/35 9,679,028 $2,462,297
Carrington Mortgage Loan Trust Series 2005-NC4, Floating Rate Note, 9/25/35 375,000 $52,203
Carrington Mortgage Loan Trust Series 2006-OPT1, Floating Rate Note, 12/25/35 9,778,000 $2,069,363
Castle Garden Funding, Floating Rate Note, 10/27/20 (144A) 7,000,000 $1,718,227
Caterpillar Financial Services Corp., Floating Rate Note, 2/26/16 1,500,000 $1,504,047
Caterpillar Financial Services Corp., Floating Rate Note, 2/9/15 2,000,000 $2,003,775
CBS Outdoor Americas Capital LLC, Term Loan, 1/15/21 1,629,423 $1,618,366
CCG Receivables Trust 2014-1, 1.06%, 11/14/21 (144A) 1,900,000 $1,900,188
CCG Receivables Truste 2013-1, 1.05%, 4/14/20 (144A) 900,000 $563,914
CD 2005-CD1 Commercial Mortgage Trust, Floating Rate Note, 7/15/44 3,277,000 $3,239,794
Cedar Fair LP, U.S. Term Facility, 3/6/20 98,476 $98,870
Cellular South, Inc., 5/23/20 0 $0
Centex Home Equity Loan Trust 2003-A, Floating Rate Note, 3/25/33 2,230,000 $372,648
Cequel Communications LLC, Term Loan, 2/14/19 1,147,333 $1,142,529
CGBAM Commercial Mortgage Trust 2014-HD, Floating Rate Note, 2/15/31 1,050,000 $1,051,179
CG-CCRE Commercial Mortgage Trust 2014-FL1, Floating Rate Note, 6/16/31 (144A) 5,670,000 $5,662,773
CGWF Commercial Mortgage Trust 2013-RKWH REMICS, Floating Rate Note, 11/15/30 (144A) 5,890,000 $5,934,571
Charter Communications 1st Lien Tl-B L + 3.5% 12aug21 1,250,000 $1,259,864
Charter Communications Operating LLC, Term F Loan, 12/31/20 1,311,750 $1,292,074
Chase Funding Trust Series 2002-4, Floating Rate Note, 10/25/32 1,000,000 $19,217
Chase Issuance Trust, 0.47%, 5/15/17 200,000 $200,144
Chase Issuance Trust, 0.59%, 8/15/17 950,000 $951,322
Chase Issuance Trust, 0.79%, 6/15/17 5,055,000 $5,069,817
Chase Issuance Trust, Floating Rate Note, 10/16/17 2,700,000 $2,701,163
Chase Issuance Trust, Floating Rate Note, 2/15/17 6,345,000 $6,344,767
Chase Issuance Trust, Floating Rate Note, 4/15/19 150,000 $149,265
Chase Issuance Trust, Floating Rate Note, 4/15/19 1,350,000 $1,342,850
Chase Issuance Trust, Floating Rate Note, 4/16/18 3,000,000 $2,998,919
Chase Issuance Trust, Floating Rate Note, 5/15/17 2,102,000 $2,101,725
Chase Issuance Trust, Floating Rate Note, 8/15/17 9,130,000 $9,129,295
Chase Mortgage Finance Trust Series 2005-S1, 5.5%, 5/25/35 19,264,330 $453,612
Chemtura Corp., New Term Loan, 8/29/16 371,082 $371,778
Chesapeake Funding LLC, Floating Rate Note, 11/7/23 (144A) 3,790,000 $1,781,251
Chesapeake Funding LLC, Floating Rate Note, 11/7/23 (144A) 250,000 $252,927
Chesapeake Funding LLC, Floating Rate Note, 3/7/26 1,900,000 $1,898,130
Chesapeake Funding LLC, Floating Rate Note, 4/7/24 (144A) 2,050,000 $1,369,415
Chesapeake Funding LLC, Floating Rate Note, 5/7/24 (144A) 200,000 $201,189
Chesapeake Funding LLC, Floating Rate Note, 5/7/24 (144A) 2,000,000 $1,347,292
Chevy Chase Funding LLC Mortgage-Backed Certificates Series 2004-1, Floating Rate Note, 1/25/35 (144 3,700,000 $115,686
Chevy Chase Funding LLC Mortgage-Backed Certificates Series 2004-3, Floating Rate Note, 8/25/35 (144 1,300,000 $56,659
CHL Mortgage Pass-Through Trust 2003-11, Floating Rate Note, 5/25/33 30,308,000 $356,077
CHL Mortgage Pass-Through Trust 2003-15 REMICS, Floating Rate Note, 6/25/18 25,913,062 $658,449
CHL Mortgage Pass-Through Trust 2003-J7, Floating Rate Note, 8/25/18 2,400,000 $62,178
CHL Mortgage Pass-Through Trust 2004-29, Floating Rate Note, 2/25/35 61,136,000 $3,164,508
Chrysler Group LLC, Tranche B Term Loan, 12/29/18 2,892,750 $2,872,862
CHS, 2021 Term D Loan, 1/27/21 72,008 $72,312
CIFC Funding 2007-I, Ltd., Floating Rate Note, 5/10/21 (144A) 500,000 $326,982
Cincinnati Bell, Inc., Tranche B Term Loan, 9/10/20 1,240,625 $1,238,454
Cisco Systems, Inc., Floating Rate Note, 3/3/17 1,000,000 $1,004,722
Cisco Systems, Inc., Floating Rate Note, 9/3/15 1,000,000 $1,001,077
Citibank Credit Card Issuance Trust, 4.55%, 6/20/17 639,000 $665,947
Citibank Credit Card Issuance Trust, 4.85%, 3/10/17 4,180,000 $4,374,599
Citibank Credit Card Issuance Trust, 4.9%, 12/12/16 200,000 $204,758
Citibank Credit Card Issuance Trust, 5.1%, 11/20/17 1,650,000 $1,763,713
Citibank Credit Card Issuance Trust, Floating Rate Note, 11/25/16 4,050,000 $4,050,599
Citibank Credit Card Issuance Trust, Floating Rate Note, 11/7/18 3,490,000 $3,495,854
Citibank Credit Card Issuance Trust, Floating Rate Note, 12/12/16 3,070,000 $3,070,962
Citibank Credit Card Issuance Trust, Floating Rate Note, 2/7/18 9,931,000 $9,942,099
Citibank Credit Card Issuance Trust, Floating Rate Note, 4/24/17 13,370,000 $13,366,061
Citibank Credit Card Issuance Trust, Floating Rate Note, 5/22/17 3,900,000 $3,930,601
Citicorp Mortgage Securities REMIC Pass-Through Certificates Trust Series 2005-4, 5.0%, 7/25/20 486,000 $18,736
Citicorp Mortgage Securities REMIC Pass-Through Certificates Trust Series 2005-7, 5.0%, 10/25/35 17,468,000 $1,611,617
Citigroup, Inc., 5.0%, 9/15/14 3,700,000 $3,790,005
Citigroup, Inc., 5.5%, 10/15/14 1,473,000 $1,512,313
Citigroup, Inc., Floating Rate Note, 11/15/16 1,700,000 $1,707,634
Citigroup, Inc., Floating Rate Note, 11/5/14 2,692,000 $2,693,741
Citigroup, Inc., Floating Rate Note, 4/1/16 1,325,000 $1,336,245
Citigroup, Inc., Floating Rate Note, 7/25/16 3,700,000 $3,740,049
Citigroup Commercial Mortgage Trust 2005-C3, 4.86%, 5/15/43 7,619,000 $7,043,893
Citigroup Commercial Mortgage Trust 2007-FL3, Floating Rate Note, 4/15/22 (144A) 497,205 $493,591
Citigroup Commercial Mortgage Trust 2007-FL3, Floating Rate Note, 4/15/22 (144A) 1,982,362 $1,968,119
Citigroup Commercial Mortgage Trust 2007-FL3, Floating Rate Note, 4/15/22 (144A) 1,430,707 $758,925
Citigroup Commercial Mortgage Trust 2007-FL3, Floating Rate Note, 4/15/22 (144A) 1,105,112 $1,094,340
Citigroup Mortgage Loan Trust, Inc., 6.5%, 6/25/16 10,100,000 $12,762
Citigroup Mortgage Loan Trust, Inc., Floating Rate Note, 10/25/34 4,100,000 $6,826
Citigroup Mortgage Loan Trust, Inc., Floating Rate Note, 11/25/34 3,500,000 $230,827
Citigroup Mortgage Loan Trust, Inc., Floating Rate Note, 5/25/35 (144A) 1,150,000 $13,542
Citigroup Mortgage Loan Trust 2006-HE1, Floating Rate Note, 1/25/36 300,000 $6,271
Citigroup Mortgage Loan Trust 2006-SHL1, Floating Rate Note, 11/25/46 (144A) 13,635,000 $1,544,585
Citigroup Mortgage Loan Trust 2010-4 REMICS, 5.0%, 10/25/35 (144A) 9,095,000 $3,028,668
Citigroup Mortgage Loan Trust 2010-7 REMICS, Floating Rate Note, 9/25/37 (144A) 6,105,345 $1,417,183
Citrus Re, Ltd., Floating Rate Note, 4/18/17 (Cat Bond) (144A) 250,000 $251,549
Citrus Re, Ltd., Floating Rate Note, 4/24/17 (Cat Bond) (144A) 1,350,000 $1,356,593
City Center Trust 2011-CCHP, Floating Rate Note, 7/15/28 (144A) 950,000 $950,969
CLI Funding LLC, Floating Rate Note, 8/18/21 (144A) 7,250,000 $1,308,879
CNH Equipment Trust 2011-C, 1.19%, 12/15/16 1,460,621 $388,648
CNH Equipment Trust 2013-A, 0.69%, 6/15/18 349,000 $349,630
CNH Equipment Trust 2013-C, 0.63%, 1/17/17 1,903,426 $926,830
CNH Wholesale Master Note Trust, Floating Rate Note, 8/15/19 (144A) 1,550,000 $1,554,474
CNL Commercial Mortgage Loan Trust 2002-1, Floating Rate Note, 10/25/28 (144A) 42,221,000 $1,418,617
CNL Commercial Mortgage Loan Trust 2003-2, Floating Rate Note, 10/25/30 (144A) 3,600,000 $331,510
CNO Financial Group, Inc., Tranche B-2 Term Loan, 9/28/18 462,349 $462,488
Coca-Cola Enterprises, Inc., 2.125%, 9/15/15 551,000 $564,865
Colony American Homes 2014-1, Floating Rate Note, 5/19/31 (144A) 2,300,000 $2,258,171
Colony American Homes 2014-2, Floating Rate Note, 7/19/31 (144A) 2,100,000 $2,067,941
Combine Re, Ltd., Floating Rate Note, 1/7/15 (Cat Bond) (144A) 2,970,000 $3,017,149
Combine Re, Ltd., Floating Rate Note, 1/7/15 (Cat Bond) (144A) 2,000,000 $2,080,556
COMM 2005-C6 Mortgage Trust, Floating Rate Note, 6/10/44 2,675,000 $2,616,422
COMM 2005-C6 Mortgage Trust, Floating Rate Note, 6/10/44 6,607,413 $6,864,192
COMM 2007-FL14 Mortgage Trust, Floating Rate Note, 6/15/22 (144A) 9,355,000 $1,928,611
COMM 2011-FL1 Mortgage Trust, Floating Rate Note, 7/19/28 (144A) 500,000 $161,456
COMM 2013-FL3 Mortgage Trust, Floating Rate Note, 10/13/28 (144A) 1,597,000 $1,277,000
COMM 2014-KYO Mortgage Trust, Floating Rate Note, 6/11/27 (144A) 5,740,000 $5,737,817
COMM 2014-SAVA Mortgage Trust, Floating Rate Note, 6/15/34 (144A) 3,954,000 $3,958,127
COMM 2014-TWC Mortgage Trust, Floating Rate Note, 2/13/32 (144A) 6,150,000 $6,152,474
Commercial Mortgage Pass Through Certificates, Floating Rate Note, 11/19/26 (144A) 2,250,000 $2,016,880
Commercial Mortgage Trust 2005-GG3, Floating Rate Note, 8/10/42 3,300,000 $3,351,534
Commercial Mortgage Trust 2005-GG3, Floating Rate Note, 8/10/42 1,465,000 $1,059,474
Commercial Mortgage Trust 2005-GG5, Floating Rate Note, 4/10/37 6,995,000 $7,310,985
Commonwealth Bank of Australia, Floating Rate Note, 12/4/15 (144A) 1,800,000 $1,802,582
Commonwealth Bank of Australia, Floating Rate Note, 3/13/17 (144A) 2,000,000 $2,005,062
Commonwealth Bank of Australia, Floating Rate Note, 9/18/15 (144A) 1,575,000 $1,591,013
Commonwealth of Massachusetts, Floating Rate Note, 11/1/25 2,250,000 $2,225,959
CommScope, Inc., Tranche 3 Term Loan, 1/21/17 158,836 $158,935
CommScope, Inc., Tranche 4 Term Loan, 1/14/18 238,254 $238,204
Compass Re, Ltd., Floating Rate Note, 1/8/15 (Cat Bond) (144A) 250,000 $257,488
Compass Re, Ltd., Floating Rate Note, 1/8/15 (Cat Bond) (144A) 250,000 $255,563
Compass Re, Ltd., Floating Rate Note, 1/8/15 (Cat Bond) (144A) 1,000,000 $1,026,883
Confie seguros Holding II Co., Term B Loan (First Lien), 11/9/18 496,192 $497,742
Connecticut State Health & Educational Facility Authority, Floating Rate Note, 7/1/33 15,775,000 $15,775,402
Conseco Financial Corp., 7.05%, 1/15/19 600,362 $7,097
ConvaTec, Inc., Dollar Term Loan, 12/22/16 696,876 $697,311
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA New York, Floating Rate Note, 3/18/16 1,575,000 $1,585,025
Countrywide Asset-Backed Certificates, Floating Rate Note, 1/25/36 125,000 $17,687
Countrywide Asset-Backed Certificates, Floating Rate Note, 10/25/34 5,000,000 $2,211,182
Countrywide Asset-Backed Certificates, Floating Rate Note, 11/25/34 21,906,000 $691,778
Countrywide Asset-Backed Certificates, Floating Rate Note, 11/25/34 14,200,000 $727,792
Countrywide Asset-Backed Certificates, Floating Rate Note, 11/25/35 7,825,000 $326,604
Countrywide Asset-Backed Certificates, Floating Rate Note, 12/25/34 2,000,000 $1,243,403
Countrywide Asset-Backed Certificates, Floating Rate Note, 2/25/33 1,113,000 $233,451
Countrywide Asset-Backed Certificates, Floating Rate Note, 3/25/35 5,600,000 $1,641,771
Countrywide Asset-Backed Certificates, Floating Rate Note, 5/25/35 1,575,000 $599,407
Countrywide Asset-Backed Certificates, Floating Rate Note, 5/25/35 5,000,000 $397,768
Countrywide Asset-Backed Certificates, Floating Rate Note, 6/25/33 (144A) 2,000,000 $43,611
Countrywide Asset-Backed Certificates, Floating Rate Note, 6/25/33 (144A) 8,175,000 $179,301
Countrywide Asset-Backed Certificates, Floating Rate Note, 6/25/35 2,058,000 $198,906
Countrywide Asset-Backed Certificates, Floating Rate Note, 9/23/35 750,000 $173,536
Countrywide Home Equity Loan Trust, Floating Rate Note, 6/15/29 28,190,000 $121,589
Covanta Energy Corp., Term Loan, 3/28/19 132,667 $132,501
Covidien International Finance SA, 1.35%, 5/29/15 3,875,000 $3,913,930
CPS Auto Receivables Trust 2013-B, 1.82%, 9/15/20 (144A) 731,000 $435,180
CPS Auto Receivables Trust 2014-A, 1.21%, 8/15/18 700,000 $586,505
CPS Auto Trust, 1.48%, 3/16/20 (144A) 1,060,000 $477,515
CPS Auto Trust, 1.82%, 12/16/19 (144A) 1,179,000 $484,939
Credit Acceptance Auto Loan Trust 2012-2, 1.52%, 3/16/20 (144A) 1,366,000 $1,371,575
Credit Acceptance Auto Loan Trust 2012-2, 2.21%, 9/15/20 (144A) 2,000,000 $2,024,752
Credit-Based Asset Servicing and Securitization LLC, 4.52749%, 4/25/37 (Step) 7,500,000 $118,370
Credit Suisse First Boston Mortgage Securities Corp., 4.686%, 7/15/37 5,510,000 $5,455,930
Credit Suisse First Boston Mortgage Securities Corp., 4.829%, 11/15/37 649,797 $379,518
Credit Suisse First Boston Mortgage Securities Corp., 4.832%, 4/15/37 3,450,000 $3,516,228
Credit Suisse First Boston Mortgage Securities Corp., Floating Rate Note, 12/17/40 9,446,500 $6,921,354
Credit Suisse First Boston Mortgage Securities Corp., Floating Rate Note, 12/25/33 300,000 $14,233
Credit Suisse First Boston Mortgage Securities Corp., Floating Rate Note, 2/15/38 2,536,000 $1,918,199
Credit Suisse First Boston Mortgage Securities Corp., Floating Rate Note, 6/25/34 26,125,000 $345,366
Credit Suisse First Boston Mortgage Securities Corp., Floating Rate Note, 8/15/38 6,455,043 $6,059,938
Credit Suisse Mortgage Capital Certificates, Floating Rate Note, 10/27/36 (144A) 2,010,000 $177,046
Credit Suisse Mortgage Capital Certificates REMICS, Floating Rate Note, 7/27/36 (144A) 7,712,000 $1,689,467
Crown Castle 1st Lien Term-B2 L + 2.5% 31jan21 1,186,168 $1,181,349
Crusade Global Trust, Floating Rate Note, 11/15/37 10,000,000 $1,600,303
Crusade Global Trust, Floating Rate Note, 8/14/37 5,471,271 $557,561
Crusade Global Trust No 1 of 2007, Floating Rate Note, 4/19/38 9,883,244 $1,760,328
Csfb Flt% 25jul35 05-6-1a2 12,820,000 $1,475,283
CSMC Series 2014-ICE, Floating Rate Note, 4/15/27 (144A) 6,470,000 $6,467,704
CSMC Trust 2014-SURF, Floating Rate Note, 2/15/29 (144A) 2,400,000 $2,406,049
Daimler Finance North America LLC, 1.3%, 7/31/15 (144A) 5,100,000 $5,141,184
Daimler Finance North America LLC, 1.65%, 4/10/15 (144A) 2,131,000 $2,159,437
Daimler Finance North America LLC, Floating Rate Note, 3/10/17 (144A) 1,500,000 $1,503,456
Daimler Finance North America LLC, Floating Rate Note, 8/1/16 (144A) 1,500,000 $1,515,469
Daimler Finance North America LLC, Floating Rate Note, 8/1/17 (144A) 2,061,000 $2,063,141
Darling Ingredients, Inc., Term B USD Loan, 12/19/20 1,586,025 $1,586,521
Dartmouth Zero% 31dec14 2,300,000 $2,245,030
Davita Healthcare Partners Inc 1st Lien Tl-B L + 2.75% 19jun21 476,241 $475,941
DEALERTRACK TECHNOLOGIES INC, Term Loan, 2/27/21 954,022 $952,084
Del Coronado Trust 2013-DEL, Floating Rate Note, 3/16/26 (144A) 1,460,000 $1,460,197
Dell Equipment Finance Trust 2014-1, 0.64%, 7/22/16 (144A) 800,000 $800,096
DELOS FINANCE SARL, Loan, 2/27/21 1,295,000 $1,291,115
Delta Air Lines, Inc., 2014 Term B-1 Loan, 10/18/18 738,750 $732,550
Delta Air Lines, Inc., Term Loan, 4/20/17 296,183 $295,404
Delta Funding Home Equity Loan Trust 1997-2, 7.04%, 6/25/27 1,000,000 $1,052
Deltek, Inc., Term Loan (First Lien), 10/10/18 296,985 $296,874
Devon Energy Corp., Floating Rate Note, 12/15/15 4,800,000 $4,825,157
DigitalGlobe, Inc., Term Loan, 1/31/20 879,494 $878,500
DineEquity, Inc., Term B-2 Loan, 10/19/17 126,321 $126,795
Direct Capital Funding V LLC, 1.673%, 12/20/17 (144A) 725,000 $188,956
Discover Card Execution Note Trust, 0.81%, 8/15/17 3,000,000 $3,007,424
Discover Card Execution Note Trust, 0.86%, 11/15/17 1,700,000 $1,706,081
Discover Card Execution Note Trust, Floating Rate Note, 1/16/18 690,000 $690,408
Discover Card Execution Note Trust, Floating Rate Note, 10/15/18 750,000 $750,034
Discover Card Execution Note Trust, Floating Rate Note, 3/15/17 1,035,000 $1,035,189
Discover Card Execution Note Trust, Floating Rate Note, 3/15/18 6,550,000 $6,581,841
Dnbno Cp Zero% 04sep14 Usd 5,360,000 $5,359,911
Drillships Financing Holding, Inc., Tranche B-1 Term Loan, 3/31/21 990,000 $997,178
Drug Royalty II LP 2, Floating Rate Note, 7/15/23 (144A) 1,250,000 $1,237,408
DT Auto Owner Trust 2013-1, 0.75%, 5/16/16 (144A) 1,232,000 $81,162
Duke Energy Corp., 3.95%, 9/15/14 1,705,000 $1,737,760
Duke Energy Corp., Floating Rate Note, 4/3/17 1,740,000 $1,746,620
Duke Energy Indiana, Inc., Floating Rate Note, 7/11/16 1,375,000 $1,382,016
Duke Energy Ohio, Inc., Floating Rate Note, 3/6/15 725,000 $726,149
Duke Energy Progress, Inc., Floating Rate Note, 3/6/17 1,275,000 $1,277,884
DynCorp International, Inc., Term Loan, 7/7/16 165,972 $166,014
Dynegy, Inc., Tranche B-2 Term Loan, 4/23/20 456,923 $456,923
East Lane Re, Ltd., Floating Rate Note, 3/13/15 (Cat Bond) (144A) 1,000,000 $1,029,569
East Lane Re V, Ltd., Floating Rate Note, 3/16/16 (Cat Bond) (144A) 250,000 $271,525
East Lane Re VI, Ltd., Floating Rate Note, 3/14/18 (Cat Bond) (144A) 2,000,000 $1,999,078
Electricite de France SA, Floating Rate Note, 1/20/17 (144A) 1,865,000 $1,871,399
Ellington Loan Acquisition Trust 2007-1, Floating Rate Note, 5/26/37 (144A) 2,400,000 $2,236,396
Ellington Loan Acquisition Trust 2007-2, Floating Rate Note, 5/26/37 (144A) 5,000,000 $530,630
Embarcadero Reinsurance, Ltd., Floating Rate Note, 8/7/15 (Cat Bond) (144A) 525,000 $537,359
Emdeon, Inc., Term B-2 Loan, 11/2/18 1,610,542 $1,607,522
Enbridge, Inc., Floating Rate Note, 10/1/16 1,650,000 $1,660,923
Encore Credit Receivables Trust 2005-3, Floating Rate Note, 10/25/35 3,600,000 $1,248,439
Endo Luxembourg Finance I 1st Lien Tl-B L + 2.5% 05nov20 498,750 $496,919
Energy Transfer Partners LP, 5.95%, 2/1/15 2,830,000 $2,905,853
Entercom Radio LLC, Term B-2 Loan, 11/23/18 344,650 $344,995
Enterprise Fleet Financing LLC, 0.72%, 4/20/18 (144A) 4,500,000 $1,916,294
Enterprise Fleet Financing LLC, 0.87%, 9/20/19 2,000,000 $2,000,939
Enterprise Products Operating LLC, 3.7%, 6/1/15 3,830,000 $3,953,089
Envision Healthcare Corp., Initial Term Loan, 5/25/18 1,255,573 $1,254,658
Epiq Systems, Inc., Term Loan, 8/27/20 471,438 $472,616
EQTY 2014-INNS Mortgage Trust, Floating Rate Note, 5/8/31 (144A) 3,530,000 $3,501,977
Equity One Mortgage Pass-Through Trust 2004-3, Floating Rate Note, 7/25/34 14,189,000 $868,569
EquiVantage Home Equity Loan Trust 1997-1, 8.05%, 3/25/28 (Step) 1,500,000 $27,317
Evergreen Skills Lux Sarl, Initial Term Loan (First Lien), 4/23/21 400,000 $395,500
Exeter Automobile Receivables Trust 2012-2, 1.3%, 6/15/17 (144A) 1,000,000 $197,444
Exeter Automobile Receivables Trust 2012-2, 3.06%, 7/16/18 (144A) 1,000,000 $1,020,354
Exeter Automobile Receivables Trust 2014-2, 1.06%, 8/15/18 1,400,000 $1,268,188
Expert Global Solutions, Inc., Term B Advance (First Lien), 4/3/18 30,457 $30,502
Express Scripts Holding Co., 2.1%, 2/12/15 2,763,000 $2,785,110
Express Scripts Holding Co., 2.75%, 11/21/14 5,655,000 $5,725,871
Extended Stay America Trust 2013-ESH, Floating Rate Note, 12/5/31 (144A) 800,000 $800,132
Extended Stay America Trust 2013-ESH, Floating Rate Note, 12/5/31 (144A) 900,000 $900,079
Exxon Mobil Corp., Floating Rate Note, 3/15/17 1,980,000 $1,982,142
Fannie Mae, 6.5%, 1/1/15 1,381,759 $913
Fannie Mae, 7.0%, 10/1/17 2,241,352 $7,392
Fannie Mae, Floating Rate Note, 1/1/48 175,000 $23,950
Fannie Mae, Floating Rate Note, 10/1/32 500,000 $27,536
Fannie Mae, Floating Rate Note, 11/1/23 970,000 $11,011
Fannie Mae, Floating Rate Note, 2/1/34 500,000 $31,628
Fannie Mae, Floating Rate Note, 4/1/15 4,200,043 $855
Fannie Mae, Floating Rate Note, 9/1/32 375,000 $21,892
Fannie Mae Connecticut Avenue Securities, Floating Rate Note, 10/25/23 1,705,000 $1,523,498
Fannie Mae Trust 2003-W6, Floating Rate Note, 9/25/42 10,100,000 $863,241
Fannie Mae Trust 2005-W4, Floating Rate Note, 6/25/45 1,500,000 $247,578
Fannie Mae Whole Loan, Floating Rate Note, 11/25/46 12,390,000 $2,331,651
FCI - FIDJI LUXEMBOURG BC4 SARL, Term Loan, 12/19/20 1,382,500 $1,393,733
F Cp Zero% 03sep14 Usd 12,625,000 $12,624,719
Federal Farm Credit Banks, 0.39%, 4/25/16 2,133,000 $2,132,623
Federal Farm Credit Banks, Floating Rate Note, 1/20/15 1,490,000 $1,491,248
Federal Farm Credit Banks, Floating Rate Note, 10/23/14 3,500,000 $3,500,905
Federal Farm Credit Banks, Floating Rate Note, 12/15/14 3,000,000 $3,001,083
Federal Farm Credit Banks, Floating Rate Note, 3/4/15 1,360,000 $1,361,517
Federal Farm Credit Banks, Floating Rate Note, 3/9/15 2,200,000 $2,199,923
Federal Farm Credit Banks, Floating Rate Note, 9/18/15 2,540,000 $2,542,489
Federal Farm Credit Banks, Floating Rate Note, 9/24/14 2,440,000 $2,440,961
Federal Home Loan Banks, 2.9%, 4/20/17 4,130,000 $839,422
Federal Home Loan Mortgage Corp., Floating Rate Note, 1/15/35 5,669,000 $845,799
Federal Home Loan Mortgage Corp., Floating Rate Note, 10/1/23 1,890,000 $9,711
Federal Home Loan Mortgage Corp., Floating Rate Note, 10/7/14 4,200,000 $4,203,560
Federal Home Loan Mortgage Corp., Floating Rate Note, 11/1/33 850,000 $15,649
Federal Home Loan Mortgage Corp., Floating Rate Note, 12/5/14 11,330,000 $11,333,267
Federal Home Loan Mortgage Corp., Floating Rate Note, 6/1/35 3,000,000 $7,911
Federal Home Loan Mortgage Corp., Floating Rate Note, 6/26/15 2,000,000 $2,000,644
Federal Home Loan Mortgage Corp., Floating Rate Note, 8/15/35 50,000,000 $5,536,562
Federal Home Loan Mortgage Corp. REMICS, 3.5%, 6/15/28 5,381,000 $792,630
Federal Home Loan Mortgage Corp. REMICS, 4.0%, 1/15/24 1,801,000 $80,249
Federal Home Loan Mortgage Corp. REMICS, 4.0%, 11/15/23 95,000 $74,941
Federal Home Loan Mortgage Corp. REMICS, 4.0%, 12/15/22 4,041,000 $86,752
Federal Home Loan Mortgage Corp. REMICS, 5.0%, 12/15/32 410,000 $8,835
Federal Home Loan Mortgage Corp. REMICS, 5.0%, 6/15/34 2,168,000 $201,546
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 1/15/33 41,500,000 $609,199
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 1/15/36 1,837,000 $413,794
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 1/15/37 63,238,000 $4,103,953
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 10/15/20 1,400,000 $154,617
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 10/15/31 1,750,000 $111,754
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 10/15/37 18,287,000 $1,505,529
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 10/15/37 9,195,000 $788,232
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 11/15/18 7,142,857 $118,905
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 11/15/31 20,187,077 $152,496
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 11/15/33 2,550,000 $341,874
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 11/15/35 850,000 $202,374
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 11/15/36 2,850,000 $541,139
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 11/15/36 3,416,433 $181,579
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 11/15/36 5,342,000 $1,078,977
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 11/15/40 1,265,000 $667,633
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/20 1,000,000 $176,664
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/28 56,250,000 $525,447
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/32 1,700,000 $35,123
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/32 11,201,000 $991,963
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/32 9,063,000 $808,828
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/32 15,400,000 $258,178
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/32 2,500,000 $10,789
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/36 17,426,100 $1,513,192
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/39 2,334,000 $1,007,868
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/41 1,000,000 $712,291
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/19 4,675,000 $384,665
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/25 2,142,856 $513,847
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/29 23,100,000 $295,391
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/30 2,056,750 $1,002,446
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/33 49,250,000 $709,854
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/33 15,000,000 $482,279
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/36 4,291,000 $821,945
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/36 5,000,000 $447,516
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/37 23,400,000 $1,592,628
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/39 1,251,000 $699,358
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 3/15/24 6,200,000 $1,648,108
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 3/15/32 122,751,000 $1,178,036
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 3/15/32 64,920,000 $839,925
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 3/15/32 22,000,000 $207,341
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 3/15/36 5,000,000 $1,243,554
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 3/15/39 1,000,000 $308,988
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 3/15/41 13,046,000 $3,310,432
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 4/15/35 1,775,000 $416,652
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 4/15/36 3,463,000 $757,568
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 5/15/29 15,000,000 $143,917
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 5/15/33 2,000,000 $263,418
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 5/15/35 10,200,000 $814,838
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 5/15/35 3,925,000 $909,450
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 5/15/36 7,791,000 $608,257
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 5/15/37 3,000,000 $301,467
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 5/15/37 5,000,000 $393,077
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 5/15/41 340,000 $119,181
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 6/15/23 6,500,000 $135,664
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 6/15/33 10,000,000 $608,555
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 6/15/36 52,250,000 $2,320,152
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 6/15/36 5,835,000 $662,337
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 6/15/38 4,056,000 $1,060,878
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 7/15/21 17,312,039 $296,668
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 7/15/23 2,924,000 $708,254
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 7/15/34 5,000,000 $682,962
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 7/15/36 15,317,285 $1,329,869
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 7/15/36 1,200,000 $55,748
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 7/15/36 5,000,000 $1,090,579
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 7/15/40 2,570,000 $608,453
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 8/15/26 1,330,000 $526,287
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 8/15/35 2,185,000 $471,954
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 8/15/35 5,000,000 $976,540
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 8/15/36 17,556,000 $1,031,066
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 9/15/26 1,427,500 $886,170
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 9/15/32 10,000,000 $228,140
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 9/15/36 3,320,000 $436,314
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 9/15/36 3,470,000 $348,520
Federal National Mortgage Association, 0.75%, 8/16/17 1,415,000 $1,414,878
Federal National Mortgage Association, Floating Rate Note, 1/20/15 760,000 $760,249
Federal National Mortgage Association, Floating Rate Note, 1/27/15 2,135,000 $2,137,792
Federal National Mortgage Association, Floating Rate Note, 10/27/14 2,370,000 $2,371,858
Federal National Mortgage Association, Floating Rate Note, 11/21/14 1,650,000 $1,651,505
Federal National Mortgage Association, Floating Rate Note, 12/15/14 1,400,000 $1,402,594
Federal National Mortgage Association, Floating Rate Note, 12/25/33 25,758,805 $7,901,028
Federal National Mortgage Association, Floating Rate Note, 2/25/38 50,000,000 $15,864,445
Federal National Mortgage Association, Floating Rate Note, 3/25/18 30,543,000 $1,044,845
Federal National Mortgage Association, Floating Rate Note, 4/25/35 750,000 $145,405
Federal National Mortgage Association, Floating Rate Note, 8/26/16 6,085,000 $6,088,775
Federal National Mortgage Association REMICS, 4.0%, 6/25/37 3,650,000 $196,189
Federal National Mortgage Association REMICS, 4.5%, 1/25/39 820,000 $69,612
Federal National Mortgage Association REMICS, 6.0%, 3/25/35 1,000,000 $44,204
Federal National Mortgage Association REMICS, Floating Rate Note, 1/18/32 16,977,308 $271,231
Federal National Mortgage Association REMICS, Floating Rate Note, 1/25/32 30,000,000 $444,572
Federal National Mortgage Association REMICS, Floating Rate Note, 1/25/33 13,036,000 $498,239
Federal National Mortgage Association REMICS, Floating Rate Note, 1/25/33 5,000,000 $169,112
Federal National Mortgage Association REMICS, Floating Rate Note, 1/25/40 5,000,000 $471,439
Federal National Mortgage Association REMICS, Floating Rate Note, 10/25/35 6,475,000 $696,795
Federal National Mortgage Association REMICS, Floating Rate Note, 10/25/35 625,000 $32,799
Federal National Mortgage Association REMICS, Floating Rate Note, 10/25/36 71,456,000 $2,843,392
Federal National Mortgage Association REMICS, Floating Rate Note, 10/25/37 1,030,000 $147,663
Federal National Mortgage Association REMICS, Floating Rate Note, 10/25/37 2,400,000 $699,479
Federal National Mortgage Association REMICS, Floating Rate Note, 10/25/38 6,344,000 $753,317
Federal National Mortgage Association REMICS, Floating Rate Note, 10/27/37 2,382,000 $2,376,907
Federal National Mortgage Association REMICS, Floating Rate Note, 11/18/32 105,671,000 $2,129,358
Federal National Mortgage Association REMICS, Floating Rate Note, 11/25/31 44,000,000 $437,266
Federal National Mortgage Association REMICS, Floating Rate Note, 11/25/31 50,000,000 $496,893
Federal National Mortgage Association REMICS, Floating Rate Note, 11/25/33 10,000,000 $849,017
Federal National Mortgage Association REMICS, Floating Rate Note, 11/25/34 9,662,000 $792,319
Federal National Mortgage Association REMICS, Floating Rate Note, 11/25/36 1,625,000 $372,805
Federal National Mortgage Association REMICS, Floating Rate Note, 12/25/23 13,749,086 $119,181
Federal National Mortgage Association REMICS, Floating Rate Note, 12/25/23 5,000,000 $381,481
Federal National Mortgage Association REMICS, Floating Rate Note, 12/25/30 20,000,000 $101,132
Federal National Mortgage Association REMICS, Floating Rate Note, 12/25/31 30,500,000 $1,274,497
Federal National Mortgage Association REMICS, Floating Rate Note, 12/25/32 14,000,000 $445,222
Federal National Mortgage Association REMICS, Floating Rate Note, 12/25/35 3,750,000 $416,985
Federal National Mortgage Association REMICS, Floating Rate Note, 12/25/36 4,800,000 $306,155
Federal National Mortgage Association REMICS, Floating Rate Note, 12/25/37 21,428,000 $789,274
Federal National Mortgage Association REMICS, Floating Rate Note, 12/25/38 400,000 $271,308
Federal National Mortgage Association REMICS, Floating Rate Note, 12/25/49 2,000,000 $302,628
Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/17 14,970,453 $10,653
Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/33 16,918,890 $910,385
Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/33 10,610,000 $410,461
Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/35 2,497,000 $815,078
Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/37 5,150,000 $567,828
Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/37 20,692,000 $1,001,064
Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/38 2,184,000 $660,314
Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/38 4,400,000 $327,572
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/23 17,080,403 $182,188
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/24 14,460,650 $607,049
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/28 24,210,000 $329,165
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/34 20,624,640 $1,332,996
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/36 700,000 $120,391
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/37 30,888,000 $824,746
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/37 2,300,000 $266,461
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/37 3,413,000 $536,103
Federal National Mortgage Association REMICS, Floating Rate Note, 4/25/25 540,000 $107,383
Federal National Mortgage Association REMICS, Floating Rate Note, 4/25/32 35,072,000 $2,194,145
Federal National Mortgage Association REMICS, Floating Rate Note, 4/25/33 36,000,000 $1,115,014
Federal National Mortgage Association REMICS, Floating Rate Note, 4/25/42 642,857 $479,184
Federal National Mortgage Association REMICS, Floating Rate Note, 5/25/33 15,932,000 $444,313
Federal National Mortgage Association REMICS, Floating Rate Note, 5/25/36 13,100,000 $1,584,180
Federal National Mortgage Association REMICS, Floating Rate Note, 5/25/36 23,900,354 $888,281
Federal National Mortgage Association REMICS, Floating Rate Note, 5/25/37 32,172,000 $1,332,117
Federal National Mortgage Association REMICS, Floating Rate Note, 5/25/40 2,619,152 $1,253,755
Federal National Mortgage Association REMICS, Floating Rate Note, 5/25/40 500,000 $307,031
Federal National Mortgage Association REMICS, Floating Rate Note, 5/25/40 8,500,000 $1,578,751
Federal National Mortgage Association REMICS, Floating Rate Note, 6/25/23 3,460,000 $227,893
Federal National Mortgage Association REMICS, Floating Rate Note, 6/25/36 8,454,822 $946,461
Federal National Mortgage Association REMICS, Floating Rate Note, 6/25/37 632,250 $84,421
Federal National Mortgage Association REMICS, Floating Rate Note, 6/25/37 900,000 $115,179
Federal National Mortgage Association REMICS, Floating Rate Note, 6/25/37 7,474,000 $1,036,584
Federal National Mortgage Association REMICS, Floating Rate Note, 6/25/37 3,590,000 $377,389
Federal National Mortgage Association REMICS, Floating Rate Note, 7/18/27 10,000,000 $41,517
Federal National Mortgage Association REMICS, Floating Rate Note, 7/25/31 50,000,000 $334,237
Federal National Mortgage Association REMICS, Floating Rate Note, 7/25/31 48,885,770 $480,901
Federal National Mortgage Association REMICS, Floating Rate Note, 7/25/32 15,000,000 $220,808
Federal National Mortgage Association REMICS, Floating Rate Note, 7/25/34 7,443,000 $538,209
Federal National Mortgage Association REMICS, Floating Rate Note, 7/25/34 2,500,000 $153,993
Federal National Mortgage Association REMICS, Floating Rate Note, 7/25/35 9,145,238 $2,117,402
Federal National Mortgage Association REMICS, Floating Rate Note, 7/25/35 23,056,000 $2,951,094
Federal National Mortgage Association REMICS, Floating Rate Note, 7/25/36 2,000,000 $301,699
Federal National Mortgage Association REMICS, Floating Rate Note, 7/25/37 1,942,360 $312,625
Federal National Mortgage Association REMICS, Floating Rate Note, 8/25/31 17,600,000 $229,075
Federal National Mortgage Association REMICS, Floating Rate Note, 8/25/32 15,000,000 $330,148
Federal National Mortgage Association REMICS, Floating Rate Note, 8/25/32 5,000,000 $97,074
Federal National Mortgage Association REMICS, Floating Rate Note, 8/25/33 485,000 $20,132
Federal National Mortgage Association REMICS, Floating Rate Note, 8/25/36 4,450,000 $280,834
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/20 13,700,000 $39,765
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/21 8,269,375 $82,117
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/32 19,400,000 $238,627
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/32 20,000,000 $404,251
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/33 19,984,406 $2,346,694
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/36 13,053,000 $932,714
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/37 7,400,000 $877,984
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/37 1,915,000 $259,580
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/37 3,173,000 $446,562
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/37 9,159,000 $415,270
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/38 1,000,000 $1,577
Fieldstone Mortgage Investment Trust Series 2005-1, Floating Rate Note, 3/25/35 1,457,000 $613,470
Fieldwood Energy LLC, Closing Date Loan, 9/25/18 2,682,121 $2,684,132
Fifth Third Auto 2013-1, 0.59%, 3/15/16 100,000 $51,165
Fifth Third Bancorp, Floating Rate Note, 12/20/16 1,727,000 $1,723,323
Fifth Third Bank Cincinnati Ohio, 4.75%, 2/1/15 3,500,000 $3,573,375
Fifth Third Bank Cincinnati Ohio, Floating Rate Note, 11/18/16 1,800,000 $1,809,031
Fifth Third Bank Cincinnati Ohio, Floating Rate Note, 2/26/16 3,330,000 $3,340,719
First Franklin Mortgage Loan Trust 2004-FF10, Floating Rate Note, 9/25/34 1,861,072 $60,175
First Franklin Mortgage Loan Trust 2005-FFH3, Floating Rate Note, 9/25/35 4,351,000 $2,331,193
First Franklin Mortgage Loan Trust Series 2005-FF12, Floating Rate Note, 11/25/36 1,750,000 $279,690
First Horizon Mortgage Pass-Through Trust 2003-AR3, Floating Rate Note, 9/25/33 13,000,000 $939,936
First Investors Auto Owner Trust 2012-2, 1.47%, 5/15/18 (144A) 100,000 $31,566
First Investors Auto Owner Trust 2013-2, 1.23%, 3/15/19 (144A) 4,251,000 $2,728,181
First Investors Auto Owner Trust 2013-3, 0.89%, 9/15/17 (144A) 220,000 $155,119
First Investors Auto Owner Trust 2014-2, 0.86%, 8/15/18 (144A) 2,100,000 $2,100,490
Firstmac Mortgage Funding Trust Series 1A-2014, Floating Rate Note, 6/26/15 (144A) 2,500,000 $2,500,381
First NLC Trust 2005-2, Floating Rate Note, 9/25/35 369,713 $147,940
Flagstar Home Equity Loan Trust 2005-1, Floating Rate Note, 6/25/18 (144A) 15,500,000 $1,299,443
Fly Funding II Sarl, Loan, 8/8/18 1,587,542 $1,597,464
FMG Resources August 2006 Pty, Ltd., Loan, 6/30/19 1,477,563 $1,473,971
FNA 2013-1 Trust, 1.98%, 1/10/18 2,199,000 $891,615
Foothill CLO, Ltd., Floating Rate Note, 2/22/21 (144A) 2,250,000 $1,386,915
Ford Credit Auto Lease Trust 2013-A, 0.46%, 5/15/15 2,015,000 $104,355
Ford Credit Auto Lease Trust 2013-B, Floating Rate Note, 1/15/16 150,000 $125,972
Ford Credit Auto Lease Trust 2014-B, Floating Rate Note, 3/15/17 2,150,000 $2,150,353
Ford Credit Auto Owner Trust 2011-A, 1.65%, 5/15/16 1,870,000 $522,447
Ford Credit Auto Owner Trust 2013-C, 0.55%, 4/15/16 1,480,000 $519,211
Ford Credit Auto Owner Trust 2014-A, 0.48%, 11/15/16 1,827,000 $1,447,272
Ford Credit Floorplan Master Owner Trust A, Floating Rate Note, 1/15/18 200,000 $200,249
Ford Credit Floorplan Master Owner Trust A, Floating Rate Note, 2/15/19 900,000 $901,321
Ford Credit Floorplan Master Owner Trust A, Floating Rate Note, 9/15/16 4,027,000 $4,028,347
Fore CLO, Ltd., Floating Rate Note, 7/20/19 (144A) 1,250,000 $341,255
Foresight Energy LLC, Term Loan, 8/21/20 435,875 $439,956
Fosse Master Issuer Plc, Floating Rate Note, 10/19/54 (144A) 1,000,000 $759,127
Foundation Re III, Ltd., Floating Rate Note, 2/25/15 (Cat Bond) (144A) 1,550,000 $1,567,885
Four Corners CLO II, Ltd., Floating Rate Note, 1/26/20 (144A) 553,000 $527,999
Four Seasons Holdings, Inc., Term Loan (First Lien) 2013, 6/27/20 496,250 $493,355
Franklin Resources, Inc., 3.125%, 5/20/15 2,150,000 $2,209,111
Freddie Mac Strips, Floating Rate Note, 12/15/36 10,968,000 $768,604
Freddie Mac Strips, Floating Rate Note, 8/15/36 43,230,336 $2,472,196
Freddie Mac Strips, Floating Rate Note, 8/15/36 10,000,000 $570,883
Freddie Mac Structured Agency Credit Risk Debt Notes, Floating Rate Note, 11/27/23 2,250,000 $1,942,344
Freddie Mac Structured Agency Credit Risk Debt Notes, Floating Rate Note, 2/25/24 1,555,000 $1,482,740
Freddie Mac Structured Agency Credit Risk Debt Notes, Floating Rate Note, 8/25/24 5,000,000 $5,008,261
Fremont Home Loan Trust 2005-B, Floating Rate Note, 4/25/35 2,750,000 $760,322
Fresenius US Finance I, Inc., Tranche B Term Loan, 8/7/19 1,488,750 $1,489,680
Gale Force 3 Clo, Ltd., Floating Rate Note, 4/19/21 (144A) 1,200,000 $781,026
Galileo Re, Ltd., Floating Rate Note, 1/9/19 (Cat Bond) (144A) 1,500,000 $1,555,783
Garda World Security Corp., Term B Delayed Draw Loan, 11/8/20 320,157 $318,956
Garda World Security Corp., Term B Loan, 11/1/20 1,251,522 $1,246,829
Gardner Denver, Inc., Initial Dollar Term Loan, 7/30/20 397,000 $396,531
Gator Re, Ltd., Floating Rate Note, 1/9/17 (Cat Bond) (144A) 2,000,000 $2,035,778
GE Business Loan Trust 2003-1, Floating Rate Note, 4/15/31 (144A) 20,374,890 $1,029,020
GE Business Loan Trust 2004-1, Floating Rate Note, 5/15/32 (144A) 7,667,511 $803,183
GE Business Loan Trust 2004-2, Floating Rate Note, 12/15/32 (144A) 5,810,863 $1,175,653
GE Business Loan Trust 2005-1, Floating Rate Note, 6/15/33 (144A) 4,489,882 $2,534,669
GE Business Loan Trust 2006-2, Floating Rate Note, 11/15/34 (144A) 6,967,382 $2,869,771
GE Business Loan Trust 2007-1, Floating Rate Note, 4/16/35 (144A) 4,787,273 $2,112,319
GE Capital Commercial Mortgage Corp., Floating Rate Note, 6/10/48 4,205,000 $4,262,672
GE Capital Commercial Mortgage Corp., Floating Rate Note, 7/10/45 1,700,000 $1,748,647
GE Capital Credit Card Master Note Trust, 1.03%, 1/15/18 900,000 $902,271
GE Capital Credit Card Master Note Trust, Floating Rate Note, 6/15/18 2,700,000 $2,700,404
GE Dealer Floorplan Master Note Trust, Floating Rate Note, 10/20/17 888,000 $889,433
GE Dealer Floorplan Master Note Trust, Floating Rate Note, 2/21/17 350,000 $350,618
GE Dealer Floorplan Master Note Trust, Floating Rate Note, 4/20/18 1,190,000 $1,193,627
GE Dealer Floorplan Master Note Trust, Floating Rate Note, 6/20/17 500,000 $499,326
GE Dealer Floorplan Master Note Trust, Floating Rate Note, 6/20/17 2,000,000 $2,003,429
GE Dealer Floorplan Master Note Trust, Floating Rate Note, 7/22/19 2,670,000 $2,671,019
GE Equipment Small Ticket LLC Series 2013-1, 0.73%, 1/25/16 (144A) 800,000 $573,269
GE Equipment Small Ticket LLC Series 2014-1, 0.59%, 8/24/16 1,900,000 $1,901,885
GE Equipment Transportation LLC Series 2013-1, 0.5%, 11/24/15 570,000 $162,003
GE Equipment Transportation LLC Series 2013-2, 0.61%, 6/24/16 1,520,000 $1,285,512
General Electric Capital Corp., 3.75%, 11/14/14 510,000 $518,996
General Electric Capital Corp., Floating Rate Note, 1/14/16 1,865,000 $1,867,919
General Electric Capital Corp., Floating Rate Note, 1/8/16 3,300,000 $3,325,128
General Electric Capital Corp., Floating Rate Note, 5/11/16 1,000,000 $1,000,415
General Electric Capital Corp., Floating Rate Note, 5/15/17 2,000,000 $2,004,132
General Electric Capital Corp., Floating Rate Note, 7/10/15 690,000 $692,684
General Electric Capital Corp., Floating Rate Note, 7/12/16 1,001,000 $1,011,620
General Electric Capital Corp., Floating Rate Note, 7/2/15 2,793,000 $2,821,645
General Electric Capital Corp., Floating Rate Note, 8/1/17 500,000 $499,728
General Mills, Inc., Floating Rate Note, 1/28/16 1,895,000 $1,897,367
General Mills, Inc., Floating Rate Note, 1/29/16 1,765,000 $1,769,986
Genpact International, Inc., Term Loan, 8/30/19 985,050 $983,408
Georgia Power Co., Floating Rate Note, 3/15/16 1,090,000 $1,090,419
Georgia Power Co., Floating Rate Note, 8/15/16 1,000,000 $1,000,258
Getty Images, Inc., Initial Term Loan, 10/18/19 114,153 $108,105
GLC Trust 2013-1, 3.0%, 7/15/21 (144A) 3,200,000 $3,059,053
Glencore Funding LLC, Floating Rate Note, 5/27/16 (144A) 1,800,000 $1,810,205
Glenn Pool Oil & Gas Trust, Term Loan, 5/2/16 30,227 $30,303
Global Container Assets 2013-1, Ltd., 2.2%, 11/5/28 (144A) 1,750,000 $1,314,228
Global Mortgage Securitization, Ltd., 5.25%, 4/25/32 (144A) 2,691,322 $846,383
Global Mortgage Securitization, Ltd., Floating Rate Note, 4/25/32 (144A) 29,975,000 $2,965,135
GMAC Commercial Mortgage Securities Inc Series 2004-C2 Trust, Floating Rate Note, 8/10/38 5,341,000 $45,200
GMAC Commercial Mortgage Securities Inc Series 2005-C1 Trust, 4.697%, 5/10/43 3,547,000 $3,616,194
GMAC Commercial Mortgage Securities Inc Series 2006-C1 Trust, Floating Rate Note, 11/10/45 8,250,000 $5,310,791
GMAT 2013-1 Trust, 3.9669%, 8/25/53 (Step) 5,300,000 $5,011,123
Golden State Re, Ltd., Floating Rate Note, 1/8/15 (Cat Bond) (144A) 750,000 $759,781
Government National Mortgage Association, 4.5%, 11/20/34 1,100,000 $35,172
Government National Mortgage Association, Floating Rate Note, 1/16/33 26,309,521 $1,079,137
Government National Mortgage Association, Floating Rate Note, 1/16/35 11,437,000 $1,281,151
Government National Mortgage Association, Floating Rate Note, 1/20/33 10,000,000 $108,667
Government National Mortgage Association, Floating Rate Note, 10/16/39 2,500,000 $422,113
Government National Mortgage Association, Floating Rate Note, 10/20/38 3,000,000 $1,125,364
Government National Mortgage Association, Floating Rate Note, 2/20/35 8,941,000 $1,251,752
Government National Mortgage Association, Floating Rate Note, 4/16/29 50,000,000 $599,547
Government National Mortgage Association, Floating Rate Note, 4/16/32 13,425,000 $257,282
Government National Mortgage Association, Floating Rate Note, 5/16/38 8,761,000 $742,388
Government National Mortgage Association, Floating Rate Note, 6/16/31 14,000,000 $259,939
Government National Mortgage Association, Floating Rate Note, 7/20/41 2,647,831 $1,602,045
Government National Mortgage Association, Floating Rate Note, 8/16/39 2,960,000 $560,130
Government National Mortgage Association, Floating Rate Note, 8/20/35 3,497,364 $479,120
Government National Mortgage Association, Floating Rate Note, 8/20/38 4,585,000 $492,223
Government National Mortgage Association, Floating Rate Note, 9/16/31 34,344,532 $748,608
Government National Mortgage Association II, Floating Rate Note, 1/20/22 1,000,000 $13,745
GP Portfolio Trust 2014-GGP, Floating Rate Note, 2/16/27 (144A) 3,350,000 $3,356,068
Gracechurch Card Funding Plc, Floating Rate Note, 2/15/17 (144A) 3,605,000 $3,620,596
Gracechurch Card Funding Plc, Floating Rate Note, 5/15/19 (144A) 1,300,000 $1,319,069
Gracechurch Card Funding Plc, Floating Rate Note, 6/15/17 (144A) 2,200,000 $2,207,760
Gracechurch Mortgage Financing Plc, Floating Rate Note, 11/20/56 (144A) 2,500,000 $1,848,380
GreenPoint Mortgage Funding Trust 2005-HE1, Floating Rate Note, 9/25/34 1,357,437 $790,390
GreenPoint Mortgage Funding Trust 2005-HE4, Floating Rate Note, 7/25/30 95,421,717 $186,318
GreenPoint Mortgage Funding Trust 2005-HE4, Floating Rate Note, 7/25/30 2,051,321 $50,902
GRIFOLS WORLDWIDE OPERATIONS USA INC, U.S. Tranche B Term Loam, 4/1/21 523,688 $520,742
GSAA Home Equity Trust 2004-11, Floating Rate Note, 12/25/34 5,735,000 $314,362
GSAA Home Equity Trust 2004-6, Floating Rate Note, 6/25/34 52,357,062 $1,468,760
GSAA Home Equity Trust 2004-8, Floating Rate Note, 9/25/34 7,860,000 $285,344
GSAA Home Equity Trust 2005-11, Floating Rate Note, 10/25/35 4,339,000 $716,583
GSAMP Trust 2004-HE2, Floating Rate Note, 9/25/34 163,261,786 $1,453,589
GSAMP Trust 2004-SEA2, Floating Rate Note, 3/25/34 3,898,600 $3,351,088
GSAMP Trust 2005-HE1, Floating Rate Note, 12/25/34 5,414,212 $559,851
GSAMP Trust 2006-SD1, Floating Rate Note, 12/25/45 18,098,000 $2,350,337
GSAMP Trust 2006-SEA1, Floating Rate Note, 5/25/36 (144A) 25,142,877 $2,306,207
GS Mortgage Securities Trust 2014-GSFL, Floating Rate Note, 7/15/31 (144A) 1,690,000 $1,691,341
GSR Mortgage Loan Trust 2003-9, Floating Rate Note, 8/25/33 1,500,000 $102,809
GSRPM Mortgage Loan Trust 2003-2, Floating Rate Note, 6/25/33 1,826,298 $1,151,344
GSRPM Mortgage Loan Trust 2006-1, Floating Rate Note, 3/25/35 (144A) 7,593,737 $1,143,737
GSRPM Mortgage Loan Trust 2006-2, Floating Rate Note, 9/25/36 (144A) 5,483,897 $829,220
Gszfp Cp Zero% 23sep14 Usd 2,510,000 $2,509,782
HarborView Mortgage Loan Trust 2004-1, Floating Rate Note, 4/19/34 16,013,000 $715,702
HarborView Mortgage Loan Trust 2004-4, Floating Rate Note, 6/19/34 25,700,000 $251,954
Harch CLO III, Ltd., Floating Rate Note, 4/17/20 (144A) 500,000 $482,887
Harley-Davidson Motorcycle Trust 2011-2, 1.11%, 9/15/16 300,000 $46,592
Harley-Davidson Motorcycle Trust 2012-1, 0.68%, 4/17/17 2,600,000 $1,359,914
Hercules Capital Funding Trust 2012-1, 3.32%, 12/16/17 (144A) 400,000 $90,695
Hertz Fleet Lease Funding LP, Floating Rate Note, 12/10/27 (144A) 500,000 $501,594
Hertz Fleet Lease Funding LP, Floating Rate Note, 12/10/27 (144A) 1,000,000 $1,002,210
Hertz Fleet Lease Funding LP, Floating Rate Note, 4/10/28 (144A) 1,100,000 $1,100,779
Hilton USA Trust 2013-HLF, Floating Rate Note, 11/5/30 (144A) 2,475,000 $2,479,410
Hilton Worldwide Finance LLC, Initial Term Loan, 9/23/20 1,065,790 $1,060,016
HJ Heinz Co., Term B-2 Loan, 6/5/20 1,584,000 $1,584,694
HLSS Servicer Advance Receivables Backed Notes Series 2013-T2, 1.1472%, 5/16/44 (144A) 4,240,000 $4,244,571
HLSS Servicer Advance Receivables Trust, 1.2437%, 1/17/45 3,750,000 $3,755,318
HLSS Servicer Advance Receivables Trust, 1.4953%, 1/16/46 (144A) 5,600,000 $5,612,449
Holmes Master Issuer Plc, Floating Rate Note, 10/15/54 (144A) 1,676,000 $1,078,693
Holmes Master Issuer Plc, Floating Rate Note, 10/15/54 (144A) 2,500,000 $1,483,696
Hologic, Inc., Refinancing Tranche B Term Loan, 8/1/19 913,844 $909,656
HomeBanc Mortgage Trust 2005-2, Floating Rate Note, 5/25/25 45,670,847 $1,882,267
Home Equity Asset Trust 2005-6, Floating Rate Note, 12/25/35 3,404,000 $3,394,359
Home Equity Asset Trust 2005-7, Floating Rate Note, 1/25/36 3,870,000 $2,063,455
Home Equity Asset Trust 2006-4, Floating Rate Note, 8/25/36 1,250,000 $370,230
Home Equity Asset Trust 2006-8, Floating Rate Note, 3/25/37 6,984,978 $2,305,543
Home Equity Mortgage Loan Asset-Backed Trust Series INABS 2005-C, Floating Rate Note, 10/25/35 4,000,000 $46,851
Homestar Mortgage Acceptance Corp., Floating Rate Note, 1/25/35 11,300,000 $1,558,044
Homestar Mortgage Acceptance Corp., Floating Rate Note, 3/25/34 75,117,000 $4,606,327
Homestar Mortgage Acceptance Corp., Floating Rate Note, 6/25/34 11,977,997 $1,086,330
Homestar Mortgage Acceptance Corp., Floating Rate Note, 7/25/34 19,310,000 $1,937,111
Honda Auto Receivables 2011-2 Owner Trust, 1.55%, 8/18/17 950,000 $659,495
Honda Auto Receivables 2012-2 Owner Trust, 0.7%, 2/16/16 1,200,000 $544,980
Honda Auto Receivables 2012-4 Owner Trust, 0.52%, 8/18/16 5,000,000 $4,126,902
Honda Auto Receivables 2013-1 Owner Trust, 0.35%, 6/22/15 1,375,000 $3,277
Honda Auto Receivables 2013-1 Owner Trust, 0.48%, 11/21/16 390,000 $390,161
Honda Auto Receivables 2013-2 Owner Trust, 0.53%, 2/16/17 959,000 $959,897
Horizon Funding Trust 2013-1, 3.0%, 5/15/18 (144A) 2,777,000 $1,473,401
HSBC Bank Middle East, Ltd., 3.0%, 10/21/15 1,000,000 $1,033,686
HSBC Home Equity Loan Trust USA 2006-2, Floating Rate Note, 3/20/36 245,000 $40,640
HSBC Home Equity Loan Trust USA 2006-3, Floating Rate Note, 3/20/36 4,674,000 $4,483,740
HSBC Home Equity Loan Trust USA 2006-4, Floating Rate Note, 3/20/36 1,000,000 $932,795
HSBC Home Equity Loan Trust USA 2007-3, Floating Rate Note, 11/20/36 100,000 $59,067
HSBC Home Equity Loan Trust USA 2007-3, Floating Rate Note, 11/20/36 13,800,000 $3,587,308
HSBC USA, Inc., 2.375%, 2/13/15 7,764,000 $7,843,655
HSI Asset Securitization Corp Trust 2006-OPT1, Floating Rate Note, 12/25/35 1,369,377 $470,051
Huntsman International LLC, 2014-1 Incremental Term Loan, 9/30/21 1,000,000 $995,000
Hyperion Insurance Group, Ltd., Term Loan, 10/4/19 970,125 $968,912
Hyundai Auto Lease Securitization Trust 2012-A, 0.92%, 8/17/15 (144A) 1,000,000 $306,170
Hyundai Auto Receivables Trust 2013-A, 0.4%, 12/15/15 1,780,000 $185,023
Hyundai Auto Receivables Trust 2014-B, 0.44%, 2/15/17 99,000 $99,022
Hyundai Capital Auto Funding VIII, Ltd., Floating Rate Note, 9/20/16 (144A) 5,954,000 $785,964
Hyundai Capital Services, Inc., Floating Rate Note, 3/18/17 (144A) 1,950,000 $1,961,415
IASIS Healthcare LLC, Term B-2 Loan, 5/3/18 490,006 $490,864
Ibis Re II, Ltd., Floating Rate Note, 2/5/15 (Cat Bond) (144A) 300,000 $308,059
Ibis Re II, Ltd., Floating Rate Note, 6/28/16 (Cat Bond) (144A) 2,250,000 $2,287,175
Igloo Holdings Corp., 8.25%, 12/15/17 (144A) (PIK) 1,250,000 $1,302,734
Immucor, Inc., Term B-2 Loan, 8/19/18 218,863 $219,319
Impac CMB Trust Series 2003-8, Floating Rate Note, 10/25/33 8,000,000 $497,334
Impac CMB Trust Series 2004-4, Floating Rate Note, 9/25/34 42,840,193 $1,828,232
Impac CMB Trust Series 2004-4, Floating Rate Note, 9/25/34 49,152,075 $2,080,731
Impac CMB Trust Series 2004-5, Floating Rate Note, 10/25/34 27,915,000 $1,660,291
Impac CMB Trust Series 2004-5, Floating Rate Note, 8/25/34 9,850,000 $634,849
Impac CMB Trust Series 2004-6, Floating Rate Note, 10/25/34 9,071,000 $504,747
Impac CMB Trust Series 2004-7, Floating Rate Note, 11/25/34 28,339,000 $1,927,172
Impac CMB Trust Series 2004-8, Floating Rate Note, 8/25/34 3,500,000 $450,890
Impac CMB Trust Series 2004-8, Floating Rate Note, 8/25/34 2,122,000 $257,304
Impac CMB Trust Series 2004-9, Floating Rate Note, 1/25/35 19,075,000 $1,315,052
Impac Secured Assets CMN Owner Trust, Floating Rate Note, 11/25/34 30,931,007 $830,549
Impac Secured Assets Trust 2006-1, Floating Rate Note, 5/25/36 6,501,000 $2,207,605
Impac Secured Assets Trust 2006-2, Floating Rate Note, 8/25/36 4,987,000 $1,339,311
Impac Secured Assets Trust 2006-5, Floating Rate Note, 12/25/36 3,800,000 $885,239
Intelsat Jackson Holdings SA, Tranche B-2 Term Loan, 6/30/19 521,732 $519,450
Interactive Data 1st Lien Tl-B L + 3.75% 24apr21 214,038 $214,894
inVentiv Health, Inc., Term B-3 Loan, 5/15/18 66,299 $66,216
Invitation Homes 2013-SFR1 Trust, Floating Rate Note, 12/19/30 (144A) 1,800,000 $1,772,963
Invitation Homes 2014-SFR2 Trust, Floating Rate Note, 9/18/31 (144A) 2,100,000 $2,076,701
Inwood Park CDO, Ltd., Floating Rate Note, 1/20/21 (144A) 3,500,000 $1,149,830
Irwin Whole Loan Home Equity Trust 2003-C, Floating Rate Note, 6/25/28 3,247,000 $907,891
IXIS Real Estate Capital Trust 2005-HE4, Floating Rate Note, 2/25/36 3,493,986 $646,541
Jackson National Life Global Funding, Floating Rate Note, 9/30/15 (144A) 2,000,000 $2,009,073
Jarden Corp., Tranche B1 Term Loan, 9/30/20 992,500 $993,327
JBS USA LLC, Initial Term Loan, 5/25/18 874,626 $871,893
JLL, Initial Dollar Term Loan, 1/23/21 305,000 $302,808
JMC Steel Group, Inc., Term Loan, 4/1/17 359,400 $358,277
John Deere Capital Corp., Floating Rate Note, 10/11/16 1,500,000 $1,506,738
John Deere Capital Corp., Floating Rate Note, 12/10/15 1,800,000 $1,801,875
JOHN DEERE CAPITAL Corp., Floating Rate Note, 2/25/16 2,883,000 $2,882,230
John Deere Capital Corp., Floating Rate Note, 9/22/14 5,700,000 $5,710,185
John Deere Owner Trust 2013-B, 0.55%, 1/15/16 100,000 $53,119
JPMorgan Chase & Co., 1.1%, 10/15/15 1,528,000 $1,541,135
JPMorgan Chase & Co., Floating Rate Note, 10/15/15 2,000,000 $2,012,074
JPMorgan Chase & Co., Floating Rate Note, 2/15/17 2,000,000 $2,011,360
JPMorgan Chase & Co., Floating Rate Note, 2/26/16 1,800,000 $1,810,226
JPMorgan Chase & Co., Floating Rate Note, 3/31/16 1,000,000 $999,284
JP Morgan Chase Commercial Mortgage Securities Trust 2002-CIBC4, Floating Rate Note, 5/12/34 257,000 $152,187
JP Morgan Chase Commercial Mortgage Securities Trust 2004-C3, 4.878%, 1/15/42 3,500,000 $3,182,330
JP Morgan Chase Commercial Mortgage Securities Trust 2004-LN2, Floating Rate Note, 7/15/41 2,030,626 $257,025
JP Morgan Chase Commercial Mortgage Securities Trust 2005-CIBC11, Floating Rate Note, 8/12/37 5,345,000 $5,224,273
JP Morgan Chase Commercial Mortgage Securities Trust 2005-LDP1 REMICS, Floating Rate Note, 3/15/46 3,110,000 $2,413,395
JP Morgan Chase Commercial Mortgage Securities Trust 2005-LDP2, 4.78%, 7/15/42 3,770,000 $3,875,091
JP Morgan Chase Commercial Mortgage Securities Trust 2005-LDP2 REMICS, 4.738%, 7/15/42 3,175,000 $3,239,045
JP Morgan Chase Commercial Mortgage Securities Trust 2005-LDP3, Floating Rate Note, 8/15/42 2,670,000 $2,752,888
JP Morgan Chase Commercial Mortgage Securities Trust 2005-LDP3 REMICS, Floating Rate Note, 8/15/42 8,585,000 $7,635,110
JP Morgan Chase Commercial Mortgage Securities Trust 2005-LDP4, Floating Rate Note, 10/15/42 3,950,000 $4,058,428
JP Morgan Chase Commercial Mortgage Securities Trust 2005-LDP5, Floating Rate Note, 12/15/44 6,310,000 $6,571,667
JP Morgan Chase Commercial Mortgage Securities Trust 2006-CIBC17, 5.45%, 12/12/43 48,000 $8,106
JP Morgan Chase Commercial Mortgage Securities Trust 2006-FL2, Floating Rate Note, 11/15/18 (144A) 500,000 $158,532
JP Morgan Chase Commercial Mortgage Securities Trust 2006-FL2, Floating Rate Note, 11/15/18 (144A) 8,570,000 $1,831,486
JP Morgan Chase Commercial Mortgage Securities Trust 2006-LDP9, Floating Rate Note, 5/15/47 200,000 $77,971
JP Morgan Chase Commercial Mortgage Securities Trust 2007-CIBC19, Floating Rate Note, 2/12/49 475,000 $127,321
JP Morgan Chase Commercial Mortgage Securities Trust 2007-LDP11, Floating Rate Note, 6/15/49 120,000 $4,265
JP Morgan Chase Commercial Mortgage Securities Trust 2013-ALC, Floating Rate Note, 7/17/26 (144A) 1,466,000 $1,484,794
JP Morgan Chase Commercial Mortgage Securities Trust 2013-FL3, Floating Rate Note, 4/17/28 (144A) 1,200,000 $1,201,132
JP Morgan Chase Commercial Mortgage Securities Trust 2013-JWRZ, Floating Rate Note, 4/15/30 (144A) 4,975,000 $4,970,784
JP Morgan Chase Commercial Mortgage Securities Trust 2014-BXH, Floating Rate Note, 4/15/27 (144A) 5,600,000 $5,603,827
JP Morgan Chase Commercial Mortgage Securities Trust 2014-FBLU, Floating Rate Note, 12/15/28 2,910,000 $2,919,038
JP Morgan Chase Commercial Mortgage Securities Trust 2014-FBLU REMICS, Floating Rate Note, 12/15/28 3,510,000 $3,514,716
JP Morgan Chase Commercial Mortgage Securities Trust 2014-FL4, Floating Rate Note, 12/16/30 (144A) 1,500,000 $1,501,906
JP Morgan Chase Commercial Mortgage Securities Trust 2014-INN, Floating Rate Note, 6/15/29 (144A) 3,500,000 $3,494,200
JP Morgan Chase Commercial Mortgage Securities Trust 2014-INN, Floating Rate Note, 6/15/29 (144A) 3,750,000 $3,749,403
JP Morgan Mortgage Acquisition Corp 2005-FRE1, Floating Rate Note, 10/25/35 19,316,000 $1,275,768
JP Morgan Mortgage Acquisition Trust 2006-ACC1, Floating Rate Note, 5/25/36 3,004,334 $921,506
JP Morgan Mortgage Trust 2003-A1, Floating Rate Note, 10/25/33 12,490,305 $1,487,564
JP Morgan Mortgage Trust 2004-A5, Floating Rate Note, 12/25/34 1,119,000 $885,833
JP Morgan Mortgage Trust 2005-A4, Floating Rate Note, 7/25/35 1,500,000 $233,660
Kane Flt% 12jun15 2,000,000 $1,811,200
Kane Flt% 14jul15 1,528,080 $1,456,719
Kane Flt% 30jul16 1,006,000 $1,046,642
KeyBank NA Cleveland Ohio, Floating Rate Note, 11/25/16 1,800,000 $1,808,578
KeyCorp, 3.75%, 8/13/15 1,370,000 $1,413,290
KeyCorp Student Loan Trust 2004-A, Floating Rate Note, 10/28/41 500,000 $117,628
Kilimanjaro Re, Ltd., Floating Rate Note, 4/30/18 (Cat Bond) (144A) 1,000,000 $1,008,100
Kilimanjaro Re, Ltd., Floating Rate Note, 4/30/18 (Cat Bond) (144A) 2,300,000 $2,343,278
Kindred Healthcare 1st Lien Tl-B L + 3% 10apr21 717,764 $714,623
Kinetic Concepts, Inc., Dollar Term E-1 Loan, 5/4/18 589,751 $588,067
Kizuna II Re, Ltd., Floating Rate Note, 4/6/18 (Cat Bond) (144A) 1,800,000 $1,811,070
KKR Financial CLO 2007-1, Ltd., Floating Rate Note, 5/15/21 (144A) 650,000 $638,211
Kleopatra Acquisition Corp., Term B-1 Loan, 12/21/16 691,226 $695,258
Kubota Credit Owner Trust 2014-1, 0.58%, 2/15/17 800,000 $800,121
Lanark Master Issuer Plc, Floating Rate Note, 12/22/54 (144A) 2,000,000 $1,649,719
Lanark Master Issuer Plc, Floating Rate Note, 12/22/54 (144A) 1,250,000 $1,204,278
Landry's, Inc., B Term Loan, 4/24/18 412,608 $412,694
Language Line LLC, Tranche B Term Loan, 6/20/16 886,360 $888,299
Las Vegas Sands LLC, Term B Loan, 12/19/20 437,800 $437,219
LB-UBS Commercial Mortgage Trust 2004-C1, 4.568%, 1/15/31 1,000,000 $118,985
LB-UBS Commercial Mortgage Trust 2005-C2 REMICS, Floating Rate Note, 4/15/30 4,785,000 $4,898,601
LB-UBS Commercial Mortgage Trust 2005-C3, 4.739%, 7/15/30 4,490,000 $2,756,692
LB-UBS Commercial Mortgage Trust 2005-C5, 4.954%, 9/15/30 7,250,000 $5,064,343
LB-UBS Commercial Mortgage Trust 2005-C7 REMICS, Floating Rate Note, 11/15/30 (144A) 8,161,979 $8,373,496
LB-UBS Commercial Mortgage Trust 2006-C1 REMICS, 5.156%, 2/15/31 5,465,000 $5,698,603
LB-UBS Commercial Mortgage Trust 2008-C1, Floating Rate Note, 4/15/41 414,000 $198,901
LEAF Receivables Funding 9 LLC, 0.88%, 11/15/15 (144A) 1,500,000 $1,270,368
Lehman Brothers Small Balance Commercial, Floating Rate Note, 2/25/30 (144A) 6,250,000 $921,888
Lehman Brothers Small Balance Commercial, Floating Rate Note, 4/25/31 (144A) 6,464,393 $1,180,162
Lehman Brothers Small Balance Commercial, Floating Rate Note, 4/25/31 (144A) 17,333,137 $2,857,967
Lehman Brothers Small Balance Commercial, Floating Rate Note, 9/25/30 (144A) 10,120,098 $1,782,937
Lehman Brothers Small Balance Commercial Mortgage Trust 2007-3, Floating Rate Note, 10/25/37 (144A) 4,080,200 $1,169,206
Lehman Brothers Small Balance Commercial Mortgage Trust 2007-3, Floating Rate Note, 10/25/37 (144A) 2,211,066 $1,858,173
Lehman XS Trust Series 2005-2, Floating Rate Note, 8/25/35 40,616,000 $2,847,216
LifePoint Hospitals, Inc., Incremental Term Loan B, 7/24/17 342,404 $342,689
Live Nation Entertainment, Inc., Term B-1 Loan, 8/17/20 772,165 $770,717
Livingston International, Inc., Initial Term B-1 Loan (First Lien), 4/18/19 495,000 $494,381
Loma Reinsurance, Ltd. Bermuda, Floating Rate Note, 1/8/18 (Cat Bond) (144A) 1,000,000 $1,050,754
Longpoint Re, Ltd., Floating Rate Note, 6/12/15 (Cat Bond) (144A) 1,550,000 $1,606,472
Longpoint Re, Ltd. III, Floating Rate Note, 5/18/16 (Cat Bond) (144A) 2,000,000 $2,035,420
Loudoun County Economic Development Authority, Floating Rate Note, 2/15/38 15,140,000 $15,140,382
Louisiana Public Facilities Authority, Floating Rate Note, 4/26/27 1,250,000 $1,088,504
Madison Avenue Manufactured Housing Contract Trust 2002-A, Floating Rate Note, 3/25/32 1,000,000 $470,693
MALLINCKRODT INTERNATIONAL FINANCE SA, Initial Term B Loan, 3/6/21 972,563 $970,064
Manufacturers & Traders Trust Co., Floating Rate Note, 1/30/17 1,900,000 $1,904,866
Manufacturers & Traders Trust Co., Floating Rate Note, 7/25/17 2,400,000 $2,403,339
Marathon Oil Corp., 0.9%, 11/1/15 709,000 $712,895
Maryland Health & Higher Educational Facilities Authority, Floating Rate Note, 7/1/36 8,890,000 $8,890,227
MassMutual Global Funding II, Floating Rate Note, 12/11/15 (144A) 1,750,000 $1,754,036
MASTR Adjustable Rate Mortgages Trust 2003-3, Floating Rate Note, 9/25/33 2,650,000 $812,918
MASTR Adjustable Rate Mortgages Trust 2004-11, Floating Rate Note, 11/25/34 5,400,000 $1,763,489
MASTR Alternative Loan Trust 2005-1, Floating Rate Note, 2/25/35 21,274,000 $2,092,830
Mastr Asset Backed Securities Trust 2004-HE1, Floating Rate Note, 9/25/34 1,570,000 $101,739
Mastr Asset Backed Securities Trust 2005-FRE1, Floating Rate Note, 10/25/35 1,400,000 $80,547
Mastr Asset Backed Securities Trust 2006-AB1 REMICS, Floating Rate Note, 2/25/36 12,307,204 $2,338,443
Mastr Asset Backed Securities Trust 2006-NC1, Floating Rate Note, 1/25/36 23,055,603 $3,337,609
MASTR Asset Securitization Trust 2003-6, Floating Rate Note, 7/25/18 7,302,000 $230,532
Mastr Specialized Loan Trust, Floating Rate Note, 1/25/36 (144A) 21,217,354 $1,805,746
MCC Iowa LLC, Tranche G Term Loan, 1/20/20 736,875 $735,954
Mcdermott International Inc 1st Lien Tl-B L + 4.25% 11apr19 500,000 $505,313
McKesson Corp., Floating Rate Note, 9/10/15 625,000 $627,030
Mediacom Illinois LLC, Tranche F Term Loan, 3/31/18 1,396,500 $1,379,044
Mercedes Benz Auto Lease Trust 2014-A, Floating Rate Note, 6/15/16 1,900,000 $1,900,328
Mercedes-Benz Master Owner Trust, Floating Rate Note, 11/15/16 (144A) 1,000,000 $1,000,288
Merna Reinsurance V, Ltd., Floating Rate Note, 4/7/17 (Cat Bond) (144A) 2,000,000 $2,007,978
Merrill Lynch Mortgage Investors Trust Series 2005-2, Floating Rate Note, 10/25/35 2,000,000 $516,780
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-A, Floating Rate Note, 3/25/28 48,813,000 $1,900,366
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-C, Floating Rate Note, 6/25/28 44,308,430 $1,762,327
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-C REMICS, Floating Rate Note, 6/25/28 42,262,000 $2,013,292
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-E, Floating Rate Note, 10/25/28 38,289,000 $2,174,227
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-G, Floating Rate Note, 1/25/29 16,556,000 $243,988
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-H, Floating Rate Note, 1/25/29 24,460,400 $1,455,296
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-A REMICS, Floating Rate Note, 4/25/29 35,467,206 $2,114,910
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-B, Floating Rate Note, 5/25/29 12,160,000 $446,679
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-C, Floating Rate Note, 7/25/29 3,866,000 $155,995
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-C, Floating Rate Note, 7/25/29 41,778,000 $2,015,487
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-D, Floating Rate Note, 9/25/29 11,000,000 $793,647
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-E, Floating Rate Note, 11/25/29 36,000,000 $2,397,232
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-G, Floating Rate Note, 1/25/30 15,000,000 $1,009,040
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-G, Floating Rate Note, 1/25/30 64,515,401 $3,238,663
Merrill Lynch Mortgage Investors Trust Series MLCC 2005-A, Floating Rate Note, 3/25/30 39,366,746 $2,837,033
Merrill Lynch Mortgage Trust 2004-KEY2, Floating Rate Note, 8/12/39 1,155,000 $215,871
Merrill Lynch Mortgage Trust 2004-KEY2, Floating Rate Note, 8/12/39 1,519,492 $1,523,990
Merrill Lynch Mortgage Trust 2005-CIP1, Floating Rate Note, 7/12/38 2,170,000 $2,231,020
Merrill Lynch Mortgage Trust 2005-CKI1, Floating Rate Note, 11/12/37 7,925,000 $6,982,527
Merrill Lynch Mortgage Trust 2005-LC1, Floating Rate Note, 1/12/44 6,177,508 $5,859,862
Metaldyne LLC, USD Term Loan 2014, 12/18/18 1,956,991 $1,960,253
MetLife Institutional Funding II, 1.625%, 4/2/15 (144A) 4,500,000 $4,562,391
MetLife Institutional Funding II, Floating Rate Note, 1/6/15 (144A) 3,205,000 $3,212,142
MetroCat Re, Ltd., Floating Rate Note, 8/5/16 (Cat Bond) (144A) 1,500,000 $1,556,325
Metropolitan Life Global Funding I, Floating Rate Note, 7/15/16 (144A) 1,500,000 $1,513,527
MGM Resorts International, Term B Loan, 12/20/19 1,231,250 $1,225,735
Michaels Stores, Inc., Term B Loan, 1/28/20 987,500 $977,625
Microsemi Corp., Term Loan (2014), 3/14/21 131,461 $130,673
Milacron LLC, Term Loan, 3/28/20 691,268 $689,539
Mirror BidCo Corp., New Incremental Term Loan, 12/18/19 1,011,537 $1,010,273
Mizuho 0.2% 29sep14 9,700,000 $9,703,798
Mizuho Bank, Ltd., Floating Rate Note, 4/16/17 (144A) 1,000,000 $1,001,603
MLCC Mortgage Investors, Inc., Floating Rate Note, 4/25/28 32,661,000 $1,542,598
Monitronics International, Inc., Term B Loan (2013), 3/23/18 987,788 $989,486
Morgan Stanley, 4.2%, 11/20/14 2,200,000 $2,243,416
Morgan Stanley, Floating Rate Note, 10/15/15 318,000 $319,228
Morgan Stanley, Floating Rate Note, 2/25/16 4,350,000 $4,412,250
Morgan Stanley ABS Capital I Inc Trust 2004-SD3, Floating Rate Note, 6/25/34 (144A) 41,830,000 $1,952,317
Morgan Stanley ABS Capital I Inc Trust 2005-NC2, Floating Rate Note, 3/25/35 2,854,027 $1,750,242
Morgan Stanley ABS Capital I Inc Trust 2005-WMC3, Floating Rate Note, 3/25/35 131,174 $77,694
Morgan Stanley Capital I, Inc., Floating Rate Note, 10/15/20 (144A) 3,025,000 $3,019,957
Morgan Stanley Capital I, Inc., Floating Rate Note, 10/15/20 (144A) 2,650,000 $778,511
Morgan Stanley Capital I Trust 2004-IQ8, Floating Rate Note, 6/15/40 3,830,000 $2,015,088
Morgan Stanley Capital I Trust 2005-HQ6, 4.989%, 8/13/42 7,550,000 $7,719,988
Morgan Stanley Capital I Trust 2005-HQ6 REMICS, Floating Rate Note, 8/13/42 2,900,000 $2,986,506
Morgan Stanley Capital I Trust 2005-IQ10, Floating Rate Note, 9/15/42 2,910,000 $2,289,383
Morgan Stanley Capital I Trust 2005-TOP17, 4.78%, 12/13/41 2,027,000 $1,051,764
Morgan Stanley Capital I Trust 2005-TOP19, 4.89%, 6/12/47 6,690,000 $6,701,519
Morgan Stanley Mortgage Loan Trust 2005-5AR, Floating Rate Note, 9/25/35 38,687,000 $3,547,442
Morgan Stanley Mortgage Loan Trust 2005-6AR, Floating Rate Note, 11/25/35 14,045,000 $2,432,227
Morgan Stanley Mortgage Loan Trust 2005-6AR, Floating Rate Note, 11/25/35 6,309,000 $828,197
Morgan Stanley Re-REMIC Trust 2010-R4, Floating Rate Note, 7/26/36 (144A) 3,700,000 $433,686
Morgan Stanley Structured Trust, Floating Rate Note, 6/25/37 1,500,000 $210,297
MortgageIT Trust 2004-1, Floating Rate Note, 11/25/34 15,162,000 $2,125,237
MortgageIT Trust 2004-2, Floating Rate Note, 12/25/34 12,960,000 $2,177,565
MortgageIT Trust 2005-2, Floating Rate Note, 5/25/35 8,495,000 $1,700,046
Motel 6 Trust, 1.5%, 10/7/25 (144A) 1,000,000 $827,973
Motor 2013-1 Plc, Floating Rate Note, 2/25/21 (144A) 2,196,000 $1,193,134
MRFC Mortgage Pass-Through Trust Series 1999-TBC2 REMICS, Floating Rate Note, 6/15/30 23,827,303 $1,494,439
MRFC Mortgage Pass-Through Trust Series 2000-TBC3, Floating Rate Note, 12/15/30 13,080,000 $680,969
MUFG Union Bank NA, Floating Rate Note, 9/26/16 3,500,000 $3,539,909
Multi Packaging Solutions, Inc., Initial Dollar Tranche B Term, 9/30/20 174,563 $174,708
Mystic Re, Ltd., Floating Rate Note, 3/12/15 (Cat Bond) (144A) 1,500,000 $1,575,900
Mystic Re, Ltd., Floating Rate Note, 3/12/15 (Cat Bond) (144A) 1,000,000 $1,038,000
Mythen Re, Ltd., Floating Rate Note, 5/7/15 (Cat Bond) (144A) 2,000,000 $2,087,425
Mythen Re, Ltd., Floating Rate Note, 5/7/15 (Cat Bond) (144A) 1,250,000 $1,301,540
Mythen Re, Ltd. Series 2012-2 Class A, Floating Rate Note, 1/5/17 (Cat Bond) (144A) 2,750,000 $2,977,830
Mythen Re, Ltd. Series 2012-2 Class A, Floating Rate Note, 11/10/16 (Cat Bond) (144A) 500,000 $538,960
Mythen Re, Ltd. Series 2013-1 Class B, Floating Rate Note, 7/9/15 (Cat Bond) (144A) 1,500,000 $1,562,333
National Australia Bank, Ltd., Floating Rate Note, 3/17/17 (144A) 1,950,000 $1,956,834
National City Bank Cleveland Ohio, Floating Rate Note, 12/15/16 2,850,000 $2,843,834
National City Corp., 4.9%, 1/15/15 2,750,000 $2,811,056
National Rural Utilities Cooperative Finance Corp., 1.0%, 2/2/15 3,300,000 $3,312,024
National Rural Utilities Cooperative Finance Corp., Floating Rate Note, 11/23/16 1,800,000 $1,809,340
National Rural Utilities Cooperative Finance Corp., Floating Rate Note, 5/1/15 2,720,000 $2,721,322
Nationstar Agency Advance Funding Trust 2013-T1A, 0.997%, 2/15/45 (144A) 2,250,000 $2,248,347
Nationstar Home Equity Loan Trust 2007-A, Floating Rate Note, 3/25/37 1,000,000 $634,476
Navios Maritime Partners LP, Term Loan, 6/27/18 1,488,750 $1,507,980
Navitas Equipment Receivables LLC 2013-1, 1.95%, 11/15/16 1,750,000 $1,077,545
NBCUniversal Enterprise, Inc., Floating Rate Note, 4/15/16 (144A) 2,694,000 $2,702,668
NBTY, Inc., Term B-2 Loan, 10/1/17 400,000 $399,125
NCUA Guaranteed Notes Trust, Floating Rate Note, 10/7/20 2,000,000 $1,005,783
NCUA Guaranteed Notes Trust, Floating Rate Note, 11/6/17 6,590,000 $2,702,622
NCUA Guaranteed Notes Trust, Floating Rate Note, 12/8/20 410,000 $292,236
NCUA Guaranteed Notes Trust, Floating Rate Note, 3/11/20 2,035,000 $1,081,422
NCUA Guaranteed Notes Trust, Floating Rate Note, 4/6/20 5,835,000 $1,601,128
NCUA Guaranteed Notes Trust REMICS, Floating Rate Note, 12/8/20 1,330,000 $952,934
NCUA Guaranteed Notes Trust REMICS, Floating Rate Note, 3/2/21 2,700,000 $1,338,111
Ndass 0.2% 29sep14 Usd 13,520,000 $13,528,225
Nelnet Student Loan Trust 2005-1, Floating Rate Note, 10/26/20 1,795,000 $571,463
NEP, Amendment No. 3 Incremental Term Loan (First Lien), 1/22/20 617,203 $614,792
New Albertsons Inc 1st Lien Tl L + 3.75% 24jun21 500,000 $498,360
New Century Home Equity Loan Trust 2005-1, Floating Rate Note, 3/25/35 5,042,000 $803,518
New Century Home Equity Loan Trust Series 2003-4, Floating Rate Note, 10/25/33 2,500,000 $1,431,199
New Residential Advance Receivables Trust Advance Receivables Backed 2014-T1, 1.2736%, 3/15/45 (144A 1,650,000 $1,653,186
NewStar Commercial Loan Trust 2007-1, Floating Rate Note, 9/30/22 (144A) 2,000,000 $1,190,741
New York Life Global Funding, 0.75%, 7/24/15 (144A) 1,000,000 $1,004,801
New York Life Global Funding, 1.3%, 1/12/15 (144A) 1,260,000 $1,266,501
New York Life Global Funding, Floating Rate Note, 10/5/15 (144A) 2,350,000 $2,350,407
New York Life Global Funding, Floating Rate Note, 5/23/16 (144A) 3,150,000 $3,165,033
Nissan Auto Lease Trust 2013-B, Floating Rate Note, 1/15/16 760,000 $659,505
Nissan Auto Receivables 2012-A Owner Trust, 0.73%, 5/16/16 55,000 $23,003
Nissan Auto Receivables 2013-A Owner Trust, 0.37%, 9/15/15 1,500,000 $5,209
Nissan Auto Receivables 2013-C Owner Trust, 0.4%, 6/15/16 2,075,000 $1,804,418
Nissan Master Owner Trust Receivables, Floating Rate Note, 5/15/17 570,000 $571,295
Nissan Motor Acceptance Corp., Floating Rate Note, 3/3/17 (144A) 2,000,000 $2,009,251
Nissan Motor Acceptance Corp., Floating Rate Note, 9/26/16 (144A) 1,500,000 $1,511,745
Nn Inc 1st Lien Tl-B L + 5% 18jul21 1,250,000 $1,243,750
Nomura Asset Acceptance Corp Alternative Loan Trust Series 2004-AR4, Floating Rate Note, 12/25/34 1,170,000 $169,094
Nomura Asset Acceptance Corp Alternative Loan Trust Series 2005-WF1, 4.786%, 3/25/35 735,000 $75,986
Nomura Home Equity Loan Inc Home Equity Loan Trust Series 2005-FM1, Floating Rate Note, 5/25/35 1,700,000 $73,241
Nomura Home Equity Loan Inc Home Equity Loan Trust Series 2006-HE1, Floating Rate Note, 2/25/36 1,700,000 $164,523
Noranda Aluminum Acquisition Corp., Term B Loan, 2/28/19 117,300 $114,368
Nordea Bank AB, 2.25%, 3/20/15 (144A) 3,100,000 $3,163,485
Nordea Bank AB, Floating Rate Note, 4/4/17 (144A) 890,000 $891,930
Nordea Bank AB, Floating Rate Note, 5/13/16 (144A) 2,500,000 $2,513,714
Nordea Bank Finland Plc New York, Floating Rate Note, 6/13/16 2,225,000 $2,226,186
Northshore Re, Ltd., Floating Rate Note, 7/5/16 (Cat Bond) (144A) 2,250,000 $2,367,188
NorthStar 2012-1 Mortgage Trust, Floating Rate Note, 8/27/29 (144A) 2,926,938 $2,064,282
NorthStar 2012-1 Mortgage Trust, Floating Rate Note, 8/27/29 (144A) 1,000,000 $1,011,513
NorthStar 2013-1, Floating Rate Note, 8/27/29 (144A) 2,784,000 $2,643,292
NovaStar Mortgage Funding Trust Series 2003-1, Floating Rate Note, 5/25/33 19,881,000 $448,228
NovaStar Mortgage Funding Trust Series 2004-4, Floating Rate Note, 3/25/35 1,150,000 $554,783
NovaStar Mortgage Funding Trust Series 2004-4, Floating Rate Note, 3/25/35 2,443,000 $2,396,560
NPC International, Inc., Term Loan, 12/28/18 156,400 $153,663
NRG Energy, Inc., 8.25%, 9/1/20 1,250,000 $1,404,401
NRG Energy, Inc., Term Loan (2013), 7/1/18 1,176,423 $1,168,440
Nsany Cp Zero% 24sep14 Usd 2,540,000 $2,539,594
NSG Holdings LLC, New Term Loan, 12/11/19 1,578,342 $1,566,504
NSTAR Electric Co., Floating Rate Note, 5/17/16 1,013,000 $1,012,046
Numericable Sfr 1st Lien Tl-B2 L + 3.75% 23apr20 231,923 $233,041
Numericable Us Llc Tl-B1 L + 3.75% 23apr20 268,077 $269,369
NYCTL 2014-A Trust, 1.03%, 11/10/27 (144A) 1,800,000 $1,801,236
Oak Hill Advisors Residential Loan Trust 2014-NPL1, 2.8828%, 5/25/54 (Step) (144A) 1,810,000 $1,588,051
Ocwen Loan Servicing LLC, Initial Term Loan, 2/15/18 1,387,883 $1,373,657
Offshore Group Investment, Ltd., Second Term Loan, 3/28/19 493,750 $493,030
On Assignment, Inc., Initial Term B Loan, 5/15/20 1,037,113 $1,033,223
Opteum Mortgage Acceptance Corp Asset Backed Pass-Through Certificates 2005-1, Floating Rate Note, 2 13,907,953 $94,034
Opteum Mortgage Acceptance Corp Asset Backed Pass-Through Certificates 2005-5, Floating Rate Note, 1 2,400,000 $261,960
Opteum Mortgage Acceptance Corp Trust 2005-4, Floating Rate Note, 11/25/35 21,900,000 $4,415,188
Option One Mortgage Loan Trust 2005-1, Floating Rate Note, 2/25/35 600,000 $192,434
Option One Mortgage Loan Trust 2005-4 Asset-Backed Certificates Series 2005-4, Floating Rate Note, 1 20,100,508 $1,872,352
Option One Mortgage Loan Trust 2007-FXD2, 5.9%, 3/25/37 (Step) 810,000 $42,941
Option One Woodbridge Loan Trust 2002-1, Floating Rate Note, 9/25/14 (144A) 6,512,459 $1,349,067
Oracle Corp., Floating Rate Note, 7/7/17 1,937,000 $1,942,065
ORES 2014-LV3 LLC, 3.0%, 3/27/24 (144A) 2,250,000 $2,022,687
ORES NPL 2013-LV2 LLC, 3.081%, 9/25/25 (144A) 1,558,000 $830,625
Origen Manufactured Housing Contract Trust 2004-B, Floating Rate Note, 11/15/35 1,240,000 $1,092,192
PACCAR Financial Corp., Floating Rate Note, 5/5/15 2,000,000 $2,002,252
PACCAR Financial Corp., Floating Rate Note, 6/6/17 1,290,000 $1,291,985
Pangaea Zero% 01jul18 2,300,000 $2,365,780
Paragon Offshore Finance Co Tl-B L + 2.75% 11jul21 875,000 $866,250
Park Place Securities Inc Asset-Backed Pass-Through Certificates Series 2004-MCW, Floating Rate Note 750,000 $372,723
Park Place Securities Inc Asset-Backed Pass-Through Certificates Series 2004-WCW, Floating Rate Note 2,800,000 $1,537,463
Park Place Securities Inc Asset-Backed Pass-Through Certificates Series 2004-WWF, Floating Rate Note 1,900,000 $457,190
Park Place Securities Inc Asset-Backed Pass-Through Ctfs Ser 2004-WCW2, Floating Rate Note, 10/25/34 4,874,309 $438,714
Park Place Securities Inc Asset-Backed Pass-Through Ctfs Ser 2005-WHQ4, Floating Rate Note, 9/25/35 8,206,169 $2,747,413
Par Pharmaceutical Companies, Inc., Term B-2 Loan, 9/28/19 1,475,815 $1,469,820
Penn National Gaming, Inc., Term B Facility Loan, 10/25/20 537,300 $535,717
Pepper Residential Securities Trust, Floating Rate Note, 10/18/14 (144A) 1,500,000 $1,500,438
Pepper Residential Securities Trust, Floating Rate Note, 4/10/15 (144A) 2,000,000 $2,000,567
Pepper Residential Securities Trust, Floating Rate Note, 7/24/15 (144A) 2,000,000 $2,000,147
PepsiCo, Inc., Floating Rate Note, 2/26/16 860,000 $861,746
Permanent Master Issuer Plc, Floating Rate Note, 7/15/42 (144A) 887,000 $897,205
Permanent University Fund, Floating Rate Note, 7/1/37 11,495,000 $11,495,293
PF Chang's China Bistro, Inc., Term Borrowing, 6/22/19 841,501 $826,424
Pfizer, Inc., Floating Rate Note, 5/15/17 2,100,000 $2,101,409
PFS Financing Corp., Floating Rate Note, 10/17/16 (144A) 2,185,723 $2,186,102
PFS Financing Corp., Floating Rate Note, 10/17/16 (144A) 325,276 $325,415
PFS Financing Corp., Floating Rate Note, 2/15/18 (144A) 2,340,000 $2,342,857
PFS Financing Corp., Floating Rate Note, 2/15/19 (144A) 2,000,000 $2,004,035
PFS Tax Lien Trust 2014-1, 1.44%, 5/15/29 1,300,000 $1,154,121
PHARMEDIUM HEALTHCARE Corp., Initial Term Loan (First Lien), 1/23/21 262,575 $259,293
Philip Morris International, Inc., Floating Rate Note, 2/26/15 1,500,000 $1,500,315
Pilot Travel Centers LLC, Refinancing Tranche B Term Loan, 3/30/18 98,000 $98,214
Pinnacle Entertainment, Inc., Tranche B-2 Term Loan, 8/13/20 216,937 $216,449
Pinnacle Foods Finance LLC, New Term Loan G, 4/29/20 1,158,833 $1,147,969
Pm Cp Zero% 03sep14 Usd 2,540,000 $2,539,975
PNC Bank NA, Floating Rate Note, 1/28/16 2,250,000 $2,255,723
PNC Bank NA, Floating Rate Note, 4/29/16 3,268,000 $3,270,923
Post Holdings Inc 1st Lien Tl-B L + 3% 23may21 1,000,000 $1,001,125
PQ Corp., 2014 Term Loan, 8/7/17 935,750 $935,833
Prestige Auto Receivables Trust 2014-1, 0.97%, 3/15/18 (144A) 1,900,000 $1,799,008
Prestige Brands, Inc., Term B-1 Loan, 1/31/19 550,259 $549,571
Prestige Brands Inc 1st Lien Tl-B L + 3.5% 18aug21 600,000 $604,125
Principal Life Global Funding II, Floating Rate Note, 5/27/16 (144A) 2,530,000 $2,540,615
Progreso Receivables Funding II LLC, 3.5%, 7/8/19 (144A) 4,750,000 $4,760,160
Progreso Receivables Funding I LLC, 4.0%, 7/9/18 (144A) 1,800,000 $1,817,900
Progressive Waste Solutions, Ltd., Term B Loan, 10/24/19 1,176,060 $1,180,471
Province of Ontario Canada, Floating Rate Note, 4/1/15 1,800,000 $1,802,577
Prudential Financial, Inc., 3.875%, 1/14/15 290,000 $294,911
Prudential Financial, Inc., 6.2%, 1/15/15 1,902,000 $1,956,972
PVH Corp., Tranche B Term Loan, 2/13/20 1,319,693 $1,327,340
Quebecor Media, Inc., Facility B-1 Tranche, 8/17/20 498,741 $490,792
Queen City Re, Floating Rate Note, 1/6/19 (Cat Bond) (144A) 1,750,000 $1,752,897
Queen Street IV Capital, Ltd., Floating Rate Note, 4/9/15 (Cat Bond) (144A) 2,250,000 $2,308,031
Queen Street VIII Re, Ltd., Floating Rate Note, 6/8/16 (Cat Bond) (144A) 500,000 $509,860
Queen Street VII Re, Ltd., Floating Rate Note, 4/8/16 (Cat Bond) (144A) 1,750,000 $1,834,982
Queen Street VI Re, Ltd., Floating Rate Note, 4/9/15 (Cat Bond) (144A) 250,000 $259,903
Queen Street V Re, Ltd., Floating Rate Note, 4/9/15 (Cat Bond) (144A) 1,750,000 $1,803,487
Quest Trust REMICS, Floating Rate Note, 3/25/34 (144A) 55,089,092 $2,282,885
Quikrete Holdings, Inc., Initial Loan (First Lien), 9/26/20 555,800 $553,577
RAAC Series 2005-RP1 Trust, Floating Rate Note, 7/25/37 (144A) 2,130,580 $1,282,374
RAAC Series 2005-RP2 Trust, Floating Rate Note, 6/25/35 (144A) 4,005,000 $975,332
RAAC Series 2005-RP3 Trust, Floating Rate Note, 5/25/39 (144A) 2,000,000 $1,462,465
RAAC Series 2006-RP1 Trust, Floating Rate Note, 10/25/45 (144A) 15,300,000 $625,154
RAAC Series 2006-RP2 Trust, Floating Rate Note, 2/25/37 (144A) 26,822,396 $2,684,670
RAIT 2014-FL2 Trust, Floating Rate Note, 5/15/31 (144A) 5,200,000 $5,152,994
RALI Series 2002-QS16 Trust, Floating Rate Note, 10/25/17 5,500,000 $107,469
RALI Series 2003-QS10 Trust, Floating Rate Note, 5/25/33 21,400,000 $450,479
RALI Series 2003-QS11 Trust, Floating Rate Note, 6/25/33 44,273,266 $2,162,900
RALI Series 2003-QS22 Trust, Floating Rate Note, 12/26/33 8,400,000 $904,814
RALI Series 2003-QS5 Trust, Floating Rate Note, 3/25/18 30,000,000 $1,096,068
RALI Series 2003-QS6 Trust, Floating Rate Note, 3/25/33 22,278,454 $1,399,130
RALI Series 2003-QS9 Trust, Floating Rate Note, 5/25/18 34,469,500 $1,461,550
RALI Series 2004-QR1 Trust, 5.25%, 10/25/34 66,901,390 $1,671,953
RALI Series 2004-QS16 Trust, 5.5%, 12/25/34 4,200,000 $274,902
RALI Series 2004-QS1 Trust, 4.25%, 1/25/34 4,500,000 $34,081
RALI Series 2004-QS1 Trust, Floating Rate Note, 1/25/34 4,000,000 $44,922
RALI Series 2004-QS5 Trust, 4.75%, 4/25/34 12,155,000 $686,895
RALI Series 2004-QS5 Trust, Floating Rate Note, 4/25/34 9,566,021 $533,302
RAMP Series 2004-RS11 Trust, Floating Rate Note, 11/25/34 3,805,000 $1,250,148
RAMP Series 2005-RS6 Trust, Floating Rate Note, 6/25/35 1,393,325 $892,574
RAMP Series 2006-EFC1 Trust, Floating Rate Note, 4/25/35 1,500,000 $4,575
RAMP Series 2006-RZ3 Trust, Floating Rate Note, 10/25/35 10,534,000 $2,649,917
Ranpak Corp., USD Term Loan (First Lien), 4/23/19 190,483 $191,436
RASC Series 2005-EMX2 Trust, Floating Rate Note, 7/25/35 157,752 $41,945
RASC Series 2005-KS3 Trust, Floating Rate Note, 4/25/35 500,000 $175,510
RASC Series 2006-KS1 Trust, Floating Rate Note, 4/25/35 8,211,000 $121,473
RBS Greenwich Capital Mortgage Loan Trust, 3.686%, 4/15/24 (144A) 8,160,000 $5,812,481
RBS Greenwich Capital Mortgage Loan Trust, Floating Rate Note, 4/15/24 (144A) 1,150,000 $1,172,103
RBSSP Resecuritization Trust 2009-5, Floating Rate Note, 8/26/37 (144A) 7,810,000 $2,713,205
Regatta Funding, Ltd., Floating Rate Note, 6/15/20 (144A) 2,000,000 $1,067,926
RegionalCare Hospital Partners, Inc., Term Loan (First Lien), 4/21/19 493,763 $498,700
RENT-A-CENTER, INC, Term Loan (2014), 2/6/21 1,745,625 $1,736,897
Residential Asset Securitization Trust 2003-A15, Floating Rate Note, 2/25/34 10,120,000 $629,451
Residential Asset Securitization Trust 2003-A2, Floating Rate Note, 5/25/33 9,443,647 $362,857
Residential Reinsurance 2011, Ltd., Floating Rate Note, 12/6/16 (Cat Bond) (144A) 1,450,000 $1,542,162
Residential Reinsurance 2011, Ltd., Floating Rate Note, 6/6/15 (Cat Bond) (144A) 1,750,000 $1,858,063
Residential Reinsurance 2011, Ltd., Floating Rate Note, 6/6/17 (Cat Bond) (144A) 500,000 $530,657
Residential Reinsurance 2012, Ltd., Floating Rate Note, 12/6/16 (Cat Bond) (144A) 750,000 $791,307
Residential Reinsurance 2012, Ltd., Floating Rate Note, 12/6/16 (Cat Bond) (144A) 2,900,000 $3,007,083
Residential Reinsurance 2012, Ltd., Floating Rate Note, 6/6/16 (Cat Bond) (144A) 750,000 $826,267
Residential Reinsurance 2012, Ltd., Floating Rate Note, 6/6/16 (Cat Bond) (144A) 1,150,000 $1,291,463
Residential Reinsurance 2013, Ltd., Floating Rate Note, 6/6/17 (Cat Bond) (144A) 1,100,000 $1,184,964
Residential Reinsurance 2014, Ltd., Floating Rate Note, 6/6/18 (Cat Bond) (144A) 750,000 $754,425
RESI Finance LP, Floating Rate Note, 9/10/35 (144A) 11,796,589 $2,298,877
Resi Flt% 12dec45 A1 3,000,000 $3,007,468
Resimac MBS Trust, Floating Rate Note, 3/7/15 (144A) 1,500,000 $1,500,439
Resource Capital Corp 2014-CRE2, Ltd., Floating Rate Note, 4/15/32 (144A) 4,920,000 $4,922,470
Resource Capital Corp CRE Notes 2013, Ltd., Floating Rate Note, 6/15/16 (144A) 3,000,000 $3,027,148
Revlon Consumer Products Corp., Acquisition Term Loan, 8/19/19 373,125 $372,775
Revlon Consumer Products Corp., Replacement Term Loan, 11/19/17 976,136 $976,136
Reynolds Group Holdings, Inc., Incremental U.S. Term Loan, 12/31/18 789,274 $789,028
RFSC Series 2003-RP2 Trust, Floating Rate Note, 7/25/41 (144A) 2,000,000 $1,035,069
Rialto Capital Management LLC, 2.85%, 5/15/24 (144A) 2,000,000 $1,491,588
Rio Tinto Finance USA Plc, Floating Rate Note, 6/17/16 1,130,000 $1,143,365
Riverfront Re, Ltd., Floating Rate Note, 1/6/17 (Cat Bond) (144A) 1,000,000 $990,478
Rovi Solutions Corp 1st Lien Tl-B L + 3% 02jul21 1,026,029 $1,021,754
Royal Bank of Canada, 1.15%, 3/13/15 2,532,000 $2,554,410
Royal Bank of Canada, Floating Rate Note, 1/23/17 1,875,000 $1,881,031
Royal Bank of Canada, Floating Rate Note, 1/6/15 2,200,000 $2,203,436
Royal Bank of Canada, Floating Rate Note, 10/30/14 2,700,000 $2,705,260
Royal Bank of Canada, Floating Rate Note, 12/16/15 1,800,000 $1,803,980
Royal Bank of Canada, Floating Rate Note, 6/16/17 2,200,000 $2,202,762
Royal Bank of Canada, Floating Rate Note, 9/9/16 2,000,000 $2,016,010
RPI Finance Trust, Term B-2 Term Loan, 5/9/18 1,017,230 $1,018,756
RPI Finance Trust, Term B-3 Term Loan, 11/9/18 625,502 $626,545
RREF 2013 LT2 LLC, 2.8331%, 5/22/28 (144A) 3,000,000 $835,640
Ruby Western Pipeline Holdings LLC, Loan, 3/27/20 776,462 $773,874
Ryder System, Inc., 3.15%, 3/2/15 2,000,000 $2,058,517
SACO I Trust 2005-8, Floating Rate Note, 11/25/35 31,285,727 $282,785
Salix Pharmaceuticals, Ltd., Term Loan, 12/17/19 438,750 $439,984
Salomon Brothers Mortgage Securities VII, Inc., Floating Rate Note, 3/25/28 49,537,000 $87,397
Salomon Mortgage Loan Trust Series 2001-CB4, Floating Rate Note, 11/25/33 4,754,000 $127,943
Samson Investment Co., Tranche 1 Term Loan (Second Lien), 9/25/18 400,000 $396,536
Sanders Re, Ltd., Floating Rate Note, 5/25/18 (Cat Bond) 1,000,000 $999,000
Sanders Re, Ltd., Floating Rate Note, 5/5/17 (Cat Bond) (144A) 2,500,000 $2,525,333
Sanders Re, Ltd., Floating Rate Note, 5/5/17 (Cat Bond) (144A) 1,500,000 $1,518,250
Sanders Re, Ltd., Floating Rate Note, 6/7/17 (Cat Bond) (144A) 2,000,000 $2,012,000
Santander Drive Auto Receivables Trust, 0.62%, 7/15/16 987,000 $173,802
Santander Drive Auto Receivables Trust 2011-2, 3.28%, 6/15/16 2,265,000 $2,003,613
Santander Drive Auto Receivables Trust 2012-5, 0.83%, 12/15/16 1,600,000 $663,971
Santander Drive Auto Receivables Trust 2014-2, Floating Rate Note, 7/17/17 1,550,000 $1,550,525
Santander Drive Auto Receivables Trust 2014-3, Floating Rate Note, 8/15/17 1,110,000 $1,110,135
Santander Holdings USA, Inc. Pennsylvania, 3.0%, 9/24/15 6,612,000 $6,840,736
SASCO Mortgage Loan Trust 2005-GEL1, Floating Rate Note, 12/25/34 1,590,000 $1,153,732
SASCO Mortgage Loan Trust 2005-GEL2, Floating Rate Note, 4/25/35 28,476,673 $562,337
Saxon Asset Securities Trust 2005-3, Floating Rate Note, 11/25/35 1,945,000 $1,906,134
Saxon Asset Securities Trust 2005-4, Floating Rate Note, 11/25/37 31,986,000 $1,708,230
SBA Senior Finance II LLC, Incremental Tranche B-1 Term Loan, 3/31/21 600,000 $595,313
SBI Home Equity Loan Trust 2006-1, Floating Rate Note, 8/25/36 (144A) 2,950,000 $960,095
Schaeffler 1st Lien Tl-E L + 3% 15may20 683,943 $683,821
Seadrill Operating LP, Initial Term Loan, 2/14/21 2,736,250 $2,697,486
Select Medical Corp., Series E Tranche B Term Loan, 6/1/18 236,016 $234,836
Selene Non-Performing Loans LLC, 2.9814%, 5/25/54 (Step) (144A) 3,530,000 $3,531,160
Seminole Hard Rock Entertainment, Inc., New Term Loan B, 5/14/20 594,000 $587,318
Seminole Tribe of Florida, Inc., Initial Term Loan, 4/29/20 1,368,750 $1,365,115
Sensata Technologies BV, Term Loan, 5/12/18 530,108 $530,417
Sequa Corp., Initial Term Loan, 6/19/17 418,625 $410,384
Sequoia Mortgage Trust 10, Floating Rate Note, 10/20/27 6,100,000 $126,163
Sequoia Mortgage Trust 2003-2, Floating Rate Note, 6/20/33 13,097,000 $517,741
Sequoia Mortgage Trust 2003-5, Floating Rate Note, 9/20/33 5,000,000 $238,259
Sequoia Mortgage Trust 2003-8, Floating Rate Note, 1/20/34 5,750,000 $287,531
Sequoia Mortgage Trust 2004-10, Floating Rate Note, 11/20/34 5,055,000 $544,639
Sequoia Mortgage Trust 2004-12 REMICS, Floating Rate Note, 1/20/35 2,000,000 $141,823
Sequoia Mortgage Trust 2004-12 REMICS, Floating Rate Note, 1/20/35 39,171,595 $4,517,984
Sequoia Mortgage Trust 2004-7, Floating Rate Note, 8/20/34 7,500,000 $387,124
Sequoia Mortgage Trust 2005-1, Floating Rate Note, 2/20/35 31,769,748 $3,400,094
Sequoia Mortgage Trust 2005-2, Floating Rate Note, 3/20/35 5,275,000 $547,568
Sequoia Mortgage Trust 4, Floating Rate Note, 11/22/24 6,940,000 $188,507
Serta Simmons Holdings LLC, Term Loan, 10/1/19 350,000 $350,519
Shell International Finance BV, Floating Rate Note, 11/15/16 1,500,000 $1,505,523
Ship Midco, Ltd., Facility B2A-II, 11/29/19 98,939 $99,651
Silver Bay Realty 2014-1 Trust, Floating Rate Note, 9/18/31 (144A) 3,378,000 $3,335,829
Sinclair Broadcasting 1st Lien Tl-B1 L + 2.75% 22jul21 1,000,000 $1,000,415
Sinclair Television Group, Inc., New Tranche B Term Loan, 4/19/20 1,341,733 $1,325,296
Six Flags Theme Parks, Inc., Tranche B Term Loan, 12/20/18 733,489 $734,291
Skandinaviska Enskilda Banken AB New York NY, Floating Rate Note, 9/21/15 2,500,000 $2,504,110
Small Business Administration Participation Certificates, 0.58%, 10/17/16 (144A) 900,000 $900,040
SMART Trust/Australia, 1.59%, 10/14/16 (144A) 650,000 $523,299
SMART Trust/Australia, Floating Rate Note, 1/17/17 2,500,000 $2,503,606
SMART Trust/Australia, Floating Rate Note, 8/15/16 1,500,000 $1,500,394
SMART Trust/Australia, Floating Rate Note, 9/14/16 1,785,000 $1,691,053
SMHL Global Fund 2007-1, Floating Rate Note, 6/12/40 1,100,000 $108,050
SNAAC Auto Receivables Trust, 4.38%, 6/15/17 (144A) 1,800,000 $1,823,103
SNAAC Auto Receivables Trust 2013-1, 1.14%, 7/16/18 (144A) 1,823,000 $421,635
SNAAC Auto Receivables Trust 2014-1, 1.03%, 9/17/18 (144A) 734,000 $568,668
Soundview Home Loan Trust 2005-DO1, Floating Rate Note, 5/25/35 2,000,000 $277,021
Soundview Home Loan Trust 2005-OPT4, Floating Rate Note, 12/25/35 2,967,970 $829,066
South Carolina State Public Service Authority, Floating Rate Note, 6/1/15 670,000 $671,749
Southern California Edison Co., Floating Rate Note, 10/1/14 1,450,000 $1,450,695
Southern California Edison Co., Floating Rate Note, 9/15/14 1,530,000 $1,532,428
Southwire Co., Initial Term Loan, 1/31/21 1,072,688 $1,068,218
Specialty Underwriting & Residential Finance Trust Series 2005-AB2, Floating Rate Note, 6/25/36 1,500,000 $586,061
Specialty Underwriting & Residential Finance Trust Series 2006-BC1, Floating Rate Note, 12/25/36 3,640,376 $3,505,457
Specialty Underwriting & Residential Finance Trust Series 2006-BC1, Floating Rate Note, 12/25/36 3,000,000 $460,772
Spectrum Brands, Inc., Tranche C Term Loan, 8/13/19 297,750 $296,782
Spin Holdco, Inc., Initial Term Loan (First Lien), 11/14/19 497,500 $494,702
Spirit AeroSystems, Inc., Term Loan B, 9/30/20 1,335,777 $1,329,237
Springleaf Funding Trust 2013-A, 2.58%, 9/15/21 (144A) 2,100,000 $2,117,655
Springleaf Mortgage Loan Trust 2012-3, Floating Rate Note, 12/26/59 (144A) 1,000,000 $562,528
Stanfield Bristol CLO, Ltd., Floating Rate Note, 10/15/19 (144A) 544,000 $539,378
Stanwich Mortgage Loan Co 2012-NPL4 LLC, 2.9814%, 9/15/42 (144A) 1,500,000 $188,343
Stanwich Mortgage Loan Trust, 2.9814%, 2/16/43 (144A) 3,025,000 $1,041,827
Starwood Property Mortgage Trust 2013-FV1, Floating Rate Note, 8/11/28 (144A) 2,495,000 $2,385,944
Starwood Property Trust, Inc., Term Loan (First Lien), 4/17/20 1,594,115 $1,583,654
State Street Bank & Trust Co., Floating Rate Note, 12/8/15 2,320,000 $2,323,201
Steward Health Care System LLC, Term Loan, 4/10/20 990,000 $983,813
Structured Adjustable Rate Mortgage Loan Trust, Floating Rate Note, 11/25/34 62,595,000 $3,270,669
Structured Adjustable Rate Mortgage Loan Trust, Floating Rate Note, 11/25/34 3,560,000 $375,643
Structured Adjustable Rate Mortgage Loan Trust, Floating Rate Note, 3/25/34 8,200,000 $586,973
Structured Adjustable Rate Mortgage Loan Trust, Floating Rate Note, 3/25/34 3,865,000 $605,523
Structured Adjustable Rate Mortgage Loan Trust, Floating Rate Note, 6/25/34 20,600,000 $2,634,806
Structured Adjustable Rate Mortgage Loan Trust, Floating Rate Note, 6/25/35 3,880,000 $63,163
Structured Adjustable Rate Mortgage Loan Trust, Floating Rate Note, 8/25/35 26,776,000 $1,657,462
Structured Asset Investment Loan Trust 2005-4, Floating Rate Note, 5/25/35 1,411,289 $101,278
Structured Asset Investment Loan Trust 2005-6, Floating Rate Note, 7/25/35 2,600,000 $2,574,178
Structured Asset Investment Loan Trust 2006-1, Floating Rate Note, 1/25/36 4,650,000 $1,160,796
Structured Asset Mortgage Investments II Trust 2004-AR1, Floating Rate Note, 3/19/34 16,800,000 $948,945
Structured Asset Mortgage Investments II Trust 2004-AR5, Floating Rate Note, 10/19/34 23,000,000 $1,121,176
Structured Asset Mortgage Investments II Trust 2004-AR8, Floating Rate Note, 5/19/35 83,350,000 $4,757,455
Structured Asset Mortgage Investments Trust 2002-AR5, Floating Rate Note, 5/19/33 36,301,000 $1,896,208
Structured Asset Sec Corp Mor Pass Thr Cer Ser 2003-35, Floating Rate Note, 12/25/33 2,500,000 $164,662
Structured Asset Sec Corp Mort Pass Thr Certs Series 1998-8, Floating Rate Note, 8/25/28 8,825,000 $451,747
Structured Asset Securities Corp Mor Cer Ser 2003-31A, Floating Rate Note, 10/25/33 1,991,000 $238,323
Structured Asset Securities Corp Mortgage Loan Trust 2005-S7, Floating Rate Note, 12/25/35 (144A) 11,868,000 $1,897,277
Structured Asset Securities Corp Mortgage Loan Trust 2006-EQ1, Floating Rate Note, 7/25/36 5,000,000 $2,975,723
Structured Asset Securities Corp Mortgage Loan Trust 2006-GEL4, Floating Rate Note, 10/25/36 (144A) 5,557,000 $2,210,589
Structured Asset Securities Corp Mortgage Loan Trust 2007-BC3, Floating Rate Note, 6/25/37 3,500,000 $185,049
Structured Asset Securities Corp Mortgage Pass-Through Certificates Ser 2004-S4, Floating Rate Note, 2,000,000 $503,771
Structured Asset Securities Corp Mortgage Pass-Through Ctfs Ser 2003-22A, Floating Rate Note, 6/25/3 4,000,000 $374,088
Structured Asset Securities Corp Mortgage Pass-Through Ctfs Ser 2003-24A, Floating Rate Note, 7/25/3 8,050,000 $1,029,981
Structured Asset Securities Corp Trust 2005-14, Floating Rate Note, 7/25/35 3,899,641 $431,767
Sumitomo Mitsui Banking Corp., Floating Rate Note, 7/19/16 1,500,000 $1,513,062
Sumitomo Mitsui Banking Corp. New York, Floating Rate Note, 4/1/15 1,000,000 $1,002,666
Sumitomo Mitsui Trust Bank, Ltd., Floating Rate Note, 9/16/16 (144A) 1,500,000 $1,512,827
Sumiycd 0.22% 03oct14 2,850,000 $2,851,608
SunTrust Bank, Floating Rate Note, 2/15/17 2,500,000 $2,505,587
SunTrust Bank, Floating Rate Note, 4/1/15 1,390,000 $1,391,055
Svenska Handelsbanken AB, Floating Rate Note, 3/21/16 2,275,000 $2,287,812
Svenska Handelsbanken AB, Floating Rate Note, 9/23/16 1,000,000 $1,007,878
Svenska Handelsbanken New York NY, Floating Rate Note, 1/16/15 700,000 $701,272
Svenska Handelsbanken New York NY, Floating Rate Note, 11/17/14 1,000,000 $1,000,306
Svenska Handelsbanken New York NY, Floating Rate Note, 12/19/14 1,500,000 $1,501,967
Swift Transportation Co Llc 1st Lien Tl-B L + 3% 09jun21 341,574 $342,001
Syncreon Group BV, Term Loan, 9/26/20 199,000 $198,005
Syniverse Holdings, Inc., Tranche B Term Loan, 4/23/19 727,141 $722,142
T2 Income Fund CLO, Ltd., Floating Rate Note, 7/15/19 (144A) 2,760,000 $2,727,228
TAL Advantage LLC, Floating Rate Note, 4/20/21 (144A) 1,250,000 $206,405
TAL Advantage V LLC, 1.7%, 5/20/39 (144A) 1,400,000 $1,307,470
Taminco Global Chemical Corp., Initial Tranche B-3 Dollar Term Loan, 2/15/19 688,768 $685,324
Tar Heel Re, Ltd., Floating Rate Note, 5/9/16 (Cat Bond) (144A) 1,500,000 $1,594,296
TD Ameritrade Holding Corp., 4.15%, 12/1/14 2,805,000 $2,859,015
Telesat Canada, U.S. Term B-2 Loan, 3/28/19 663,785 $660,155
Tempur Sealy International, Inc., New Term B Loan, 3/18/20 517,807 $516,513
Terex 1st Lien Tl L + 2.75% 13aug21 309,557 $309,687
Terraform 1st Lien Tl-B L + 3.75% 02jul19 475,000 $477,672
Terwin Mortgage Trust Series TMTS 2003-8HE, Floating Rate Note, 12/25/34 23,713,000 $718,602
Terwin Mortgage Trust Series TMTS 2005-10HE, Floating Rate Note, 6/25/36 668,753 $551,975
Tesoro Corp., Initial Term Loan, 5/30/16 795,000 $796,988
Texas Competitive Electric Holdings Co LLC, DIP Delayed Draw Term Loan (2014), 5/5/16 1,595,935 $1,608,404
The Bank of New York Mellon Corp., 1.7%, 11/24/14 2,000,000 $2,012,875
The Bank of New York Mellon Corp., 2.95%, 6/18/15 2,400,000 $2,465,201
The Bank of New York Mellon Corp., 3.1%, 1/15/15 670,000 $679,423
The Bank of New York Mellon Corp., Floating Rate Note, 10/23/15 3,533,000 $3,540,740
The Bank of New York Mellon Corp., Floating Rate Note, 3/4/16 3,275,000 $3,284,015
The Bank of Nova Scotia, 1.85%, 1/12/15 100,000 $100,804
The Bank of Nova Scotia, Floating Rate Note, 1/12/15 4,275,000 $4,298,560
The Bank of Nova Scotia, Floating Rate Note, 12/13/16 1,800,000 $1,811,509
The Bank of Nova Scotia, Floating Rate Note, 3/15/16 2,000,000 $2,009,652
The Bank of Nova Scotia, Floating Rate Note, 7/15/16 1,500,000 $1,511,550
The Bank of Tokyo-Mitsubishi UFJ, Ltd., Floating Rate Note, 3/10/17 (144A) 1,000,000 $1,001,191
The Bear Stearns Companies LLC, 5.7%, 11/15/14 2,150,000 $2,208,772
The Bear Stearns Companies LLC, Floating Rate Note, 10/28/14 400,000 $400,726
The Bear Stearns Companies LLC, Floating Rate Note, 11/21/16 2,465,000 $2,469,215
The Coca-Cola Co., Floating Rate Note, 3/5/15 850,000 $850,252
The Connecticut Light & Power Co., 5.0%, 4/1/15 1,200,000 $1,256,313
The Geo Group, Inc., Term Loan, 4/3/20 989,981 $989,672
The Goldman Sachs Group, Inc., 3.7%, 8/1/15 2,400,000 $2,475,040
The Goldman Sachs Group, Inc., 5.0%, 10/1/14 1,862,000 $1,907,342
The Goldman Sachs Group, Inc., Floating Rate Note, 11/21/14 1,000,000 $1,002,294
The Goldman Sachs Group, Inc., Floating Rate Note, 3/22/16 3,000,000 $3,007,175
The Goldman Sachs Group, Inc., Floating Rate Note, 9/29/14 3,333,000 $3,339,018
The Goodyear Tire & Rubber Co., Loan (Second Lien), 4/30/19 600,000 $602,745
The Hertz Corp., Tranche B-1 Term Loan, 3/11/18 738,750 $736,441
The Huntington National Bank, Floating Rate Note, 4/24/17 2,000,000 $2,002,666
The Manitowoc Co, Inc., Term B Loan, 12/18/20 84,788 $84,495
The PNC Financial Services Group, Inc., Floating Rate Note (Perpetual) 1,500,000 $1,502,795
The Toronto-Dominion Bank, Floating Rate Note, 5/1/15 5,695,000 $5,703,010
The Toronto-Dominion Bank, Floating Rate Note, 5/2/17 2,000,000 $2,001,184
The Toronto-Dominion Bank, Floating Rate Note, 9/9/16 1,000,000 $1,008,004
The University of Texas System, Floating Rate Note, 8/1/34 11,910,000 $11,910,303
Thornburg Mortgage Securities Trust 2004-1, Floating Rate Note, 3/25/44 11,046,000 $1,818,262
Thornburg Mortgage Securities Trust 2004-4, Floating Rate Note, 12/25/44 4,235,000 $855,975
TI Group Automotive Systems LLC, Term Loan Facility, 7/1/21 638,289 $638,289
TMS International Corp., Term B Loan, 10/2/20 149,250 $149,280
TORONTO-DOMINION BANK, Floating Rate Note, 11/6/15 4,025,000 $4,032,335
Toronto-Dominion Bank New York, Floating Rate Note, 11/14/14 1,700,000 $1,700,197
Total Capital Canada, Ltd., Floating Rate Note, 1/15/16 3,355,000 $3,373,459
Tower Automotive Holdings USA LLC, Refinancing Term Loan, 4/23/20 201,201 $200,635
Toyota Motor Credit Corp., 0.75%, 3/3/17 (Step) 2,250,000 $2,246,019
Toyota Motor Credit Corp., 1.0%, 2/17/15 2,265,000 $2,273,639
Toyota Motor Credit Corp., 1.25%, 11/17/14 554,000 $557,256
Toyota Motor Credit Corp., Floating Rate Note, 1/23/15 2,290,000 $2,292,433
Toyota Motor Credit Corp., Floating Rate Note, 5/17/16 2,800,000 $2,811,135
Toyota Motor Credit Corp., Floating Rate Note, 9/18/15 1,000,000 $1,002,028
Tradewynd Re, Ltd., Floating Rate Note, 1/8/15 (Cat Bond) (144A) 250,000 $252,954
Trafigura Securitisation Finance Plc, Floating Rate Note, 10/15/15 (144A) 1,537,000 $1,549,914
Trafigura Securitisation Finance Plc, Floating Rate Note, 10/15/15 (144A) 1,556,000 $1,570,945
TransCanada PipeLines, Ltd., 0.875%, 3/2/15 4,160,000 $4,188,510
TransCanada PipeLines, Ltd., Floating Rate Note, 6/30/16 3,544,000 $3,579,858
TransDigm, Inc., Tranche C Term Loan, 2/28/20 321,734 $320,487
Tribune Media Co., Initial Term Loan, 11/20/20 2,116,251 $2,117,561
Triton Container Finance LLC, Floating Rate Note, 2/26/19 (144A) 1,287,000 $80,298
Tronox Pigments BV, New Term Loan, 3/19/20 386,334 $386,425
Truman Capital Mortgage Loan Trust, Floating Rate Note, 1/25/34 925,000 $901,674
Truven Health Analytics, Inc., New Tranche B Term Loan, 6/6/19 343,033 $342,604
tw telecom holdings inc, Term Loan B Loan, 4/17/20 999,900 $998,963
Tyco Electronics Group SA, Floating Rate Note, 1/29/16 2,400,000 $2,400,560
U.S. Treasury Bills, 0.0%, 1/2/15 5,645,000 $5,644,616
U.S. Treasury Floating Rate Note, 0.1000023%, 7/31/16 18,260,000 $18,266,815
Unifrax I LLC, New Term B Dollar Loan, 11/28/18 981,569 $981,569
United Airlines, Inc., Class B Term Loan, 4/1/19 246,875 $244,807
United Airlines Inc 1st Lien Tl-B L + 3% 07aug21 1,000,000 $993,438
United Auto Credit Securitization Trust 2012-1, 2.52%, 3/15/16 (144A) 1,645,000 $1,461,277
United Auto Credit Securitization Trust 2012-1, 3.12%, 3/15/18 (144A) 4,100,000 $4,123,186
United Auto Credit Securitization Trust 2013-1, 0.95%, 9/15/15 (144A) 2,000,000 $332,636
United Auto Credit Securitization Trust 2013-1, 1.74%, 4/15/16 (144A) 1,900,000 $1,907,860
United Auto Credit Securitization Trust 2014-1, 0.74%, 6/15/16 (144A) 3,000,000 $3,000,759
United States Treasury Floating Rate Note, Floating Rate Note, 1/31/16 20,500,000 $20,503,309
United States Treasury Floating Rate Note, Floating Rate Note, 4/30/16 21,260,000 $21,270,319
United Technologies Corp., Floating Rate Note, 6/1/15 1,965,000 $1,975,839
University of Michigan, Floating Rate Note, 12/1/29 10,800,000 $10,800,323
Univision Communications, Inc., Replacement First-Lien Term Loan, 3/1/20 666,588 $663,533
US Bancorp, 2.45%, 7/27/15 2,620,000 $2,675,544
US Bank NA Cincinnati Ohio, Floating Rate Note, 1/30/17 2,025,000 $2,028,119
US Bank NA Cincinnati Ohio, Floating Rate Note, 10/14/14 4,355,000 $4,359,327
US Bank NA Cincinnati Ohio, Floating Rate Note, 4/22/16 2,000,000 $2,000,994
USI, Inc. New York, Initial Term Loan 2013, 12/30/19 1,093,412 $1,090,679
Valeant Pharmaceuticals International, Inc., Series C-2 Tranche B Term Loan, 12/11/19 511,676 $510,945
Valeant Pharmaceuticals International, Inc., Series D2 Term Loan B, 2/13/19 213,198 $212,899
Valeant Pharmaceuticals International, Inc., Series E1 Tranche B Term Loan, 8/5/20 1,313,724 $1,311,980
Vantiv LLC, Term B Loan, 6/12/21 1,125,000 $1,124,297
Vericrest Opportunity Loan Transferee 2014-NPL4 LLC, 3.125%, 4/27/54 (Step) (144A) 6,000,000 $5,970,403
Verint Systems, Inc., Tranche B Incremental Term Loan, 9/6/19 325,732 $325,406
Verizon Communications, Inc., Floating Rate Note, 9/15/16 1,245,000 $1,283,325
VFC 2014-2 LLC, 2.75%, 7/20/30 (144A) 3,510,000 $3,032,477
Virgin Media Investment Holdings, Ltd., B Facility, 6/8/20 2,205,000 $2,178,816
Visteon Corp Term B 1st Lien Dd L + 2.75% 08apr21 500,000 $496,016
Vita Capital IV, Ltd., Floating Rate Note, 1/15/16 (Cat Bond) (144A) 400,000 $405,655
Vita Capital V, Ltd., Floating Rate Note, 1/15/17 (Cat Bond) (144A) 500,000 $517,339
Vita Capital V, Ltd., Floating Rate Note, 1/15/17 (Cat Bond) (144A) 1,500,000 $1,545,724
Vitality Re IV, Ltd., Floating Rate Note, 1/9/17 (Cat Bond) (144A) 1,000,000 $1,027,707
Vitality Re V, Ltd., Floating Rate Note, 1/7/19 (Cat Bond) (144A) 1,800,000 $1,808,850
Vodafone Group Plc, Floating Rate Note, 2/19/16 1,150,000 $1,152,941
Volkswagen Auto Lease Trust 2012-A, 0.87%, 7/20/15 1,412,000 $379,452
Volkswagen Auto Lease Trust 2013-A, Floating Rate Note, 12/21/15 2,000,000 $1,075,767
Volkswagen Auto Lease Trust 2014-A, Floating Rate Note, 10/20/16 1,500,000 $1,469,154
Volkswagen Credit Auto Master Owner Trust, Floating Rate Note, 9/20/16 (144A) 400,000 $400,208
Volkswagen Group of America Finance LLC, Floating Rate Note, 5/23/16 (144A) 1,900,000 $1,901,043
Volkswagen International Finance NV, 1.15%, 11/20/15 (144A) 2,000,000 $2,019,813
Volkswagen International Finance NV, 1.625%, 3/22/15 (144A) 2,400,000 $2,433,489
Volkswagen International Finance NV, Floating Rate Note, 11/18/16 (144A) 1,750,000 $1,756,562
Volkswagen International Finance NV, Floating Rate Note, 11/20/14 (144A) 1,000,000 $1,001,473
VOLT XVI LLC, 4.25%, 9/25/58 (Step) (144A) 2,102,951 $1,194,538
VOLT XXIV LLC, 3.25%, 11/25/53 (Step) 2,000,000 $1,643,912
VOLT XX LLC, 3.625%, 2/1/39 (Step) (144A) 1,000,000 $695,721
Volvo Financial Equipment LLC Series 2013-1, 0.53%, 11/16/15 (144A) 1,820,000 $631,796
Volvo Financial Equipment LLC Series 2014-1, 0.54%, 11/15/16 (144A) 1,700,000 $1,700,604
Wachovia Bank Commercial Mortgage Trust Series 2005-C16, Floating Rate Note, 10/15/41 1,430,000 $455,290
Wachovia Bank Commercial Mortgage Trust Series 2005-C17, Floating Rate Note, 3/15/42 6,504,854 $5,690,368
Wachovia Bank Commercial Mortgage Trust Series 2005-C18, 4.79%, 4/15/42 160,000 $34,802
Wachovia Bank Commercial Mortgage Trust Series 2005-C18, 4.935%, 4/15/42 4,722,637 $4,779,688
Wachovia Bank Commercial Mortgage Trust Series 2005-C20 REMICS, Floating Rate Note, 7/15/42 8,460,000 $7,910,443
Wachovia Bank Commercial Mortgage Trust Series 2005-C21, Floating Rate Note, 10/17/44 1,990,733 $1,717,551
Wachovia Bank Commercial Mortgage Trust Series 2005-C22 REMICS, Floating Rate Note, 12/15/44 5,713,000 $5,957,185
Wachovia Bank Commercial Mortgage Trust Series 2007-WHALE 8, Floating Rate Note, 6/15/20 (144A) 5,000,000 $508,063
Wachovia Corp., Floating Rate Note, 10/28/15 1,983,000 $1,988,449
Wachovia Corp., Floating Rate Note, 6/15/17 1,999,000 $2,000,011
WaMu Mortgage Pass-Through Certificates Series 2002-AR18 Trust, Floating Rate Note, 1/25/33 34,265,000 $366,457
WaMu Mortgage Pass-Through Certificates Series 2002-AR19 Trust, Floating Rate Note, 2/25/33 12,900,000 $494,842
WaMu Mortgage Pass-Through Certificates Series 2004-AR14 Trust, Floating Rate Note, 1/25/35 2,390,499 $523,571
Waste Industries USA, Inc., Term B Loan, 3/17/17 149,609 $149,359
Waupaca Foundry, Inc., Term Loan, 6/29/17 1,822,844 $1,823,604
Weight Watchers International, Inc., Initial Tranche B-2 Term Loan, 4/2/20 1,975,000 $1,561,484
Wells Fargo & Co., 3.75%, 10/1/14 224,000 $228,073
Wells Fargo & Co., 5.0%, 11/15/14 1,000,000 $1,023,896
Wells Fargo & Co., Floating Rate Note, 10/28/15 2,503,000 $2,505,996
Wells Fargo & Co., Floating Rate Note, 6/26/15 5,230,000 $5,278,696
Wells Fargo & Co., Floating Rate Note, 7/20/16 3,105,000 $3,127,575
Wells Fargo Bank NA, 4.75%, 2/9/15 1,564,000 $1,598,470
Wells Fargo Bank NA, Floating Rate Note, 5/16/16 975,000 $975,107
Wells Fargo Commercial Mortgage Trust 2014-TISH, Floating Rate Note, 2/16/27 (144A) 2,220,000 $2,221,096
Wells Fargo Home Equity Asset-Backed Securities 2005-2 Trust, Floating Rate Note, 11/25/35 189,000 $98,944
Wells Fargo Mortgage Backed Securities 2005-AR6 Trust, Floating Rate Note, 4/25/35 611,000 $46,263
Wells Fargo Mortgage Backed Securities Trust, Floating Rate Note, 8/25/34 14,679,000 $865,230
Wendy's International LLC, Term B Loan, 5/15/19 724,757 $723,851
Wesco Aircraft Hardware Corp., Tranche B Term Loan, 2/24/21 2,548,000 $2,525,705
WESCO Distribution, Inc., Tranche B-1 Loan, 12/12/19 318,295 $318,693
West Corp., Term B-10 Loan, 6/30/18 1,004,821 $995,401
Western Refining, Inc., Term Loan 2013, 11/12/20 450,000 $450,469
Westgate Resorts 2012-2 LLC, 3.0%, 1/21/25 (144A) 1,000,000 $399,987
Westgate Resorts 2012-A LLC, 3.75%, 8/20/25 (144A) 2,805,000 $1,754,229
Westgate Resorts LLC, 2.5%, 3/20/25 (144A) 350,000 $169,308
Westlake Automobile Receivables Trust 2013-1, 1.12%, 1/15/18 (144A) 375,000 $298,676
Westpac Banking Corp., 4.2%, 2/27/15 2,000,000 $2,037,746
Westpac Banking Corp., Floating Rate Note, 10/28/14 1,000,000 $1,001,964
Westpac Banking Corp., Floating Rate Note, 5/19/17 2,000,000 $2,003,560
Westpac Banking Corp., Floating Rate Note, 7/17/15 (144A) 500,000 $503,900
Westwood CDO II, Ltd., Floating Rate Note, 4/25/22 (144A) 2,000,000 $1,707,451
Wheels SPV 2 LLC, 0.84%, 3/20/23 (144A) 1,000,000 $999,498
WideOpenWest Finance LLC, Term B Loan, 4/1/19 239,904 $240,504
Wilshire Mortgage Loan Trust, Floating Rate Note, 5/25/28 10,000,000 $33,693
Windstream Corp., Tranche B-4 Term Loan, 1/23/20 1,035,735 $1,033,470
Windstream Corp., Tranche B-5 Term Loan, 8/8/19 712,358 $711,467
WireCo WorldGroup, Inc., Term Loan, 2/15/17 875,878 $881,900
WMG Acquisition Corp., Tranche B Refinancing Term Loan, 7/1/20 1,091,750 $1,066,016
World Financial Network Credit Card Master Trust, 3.96%, 4/15/19 200,000 $205,604
World Financial Network Credit Card Master Trust, Floating Rate Note, 12/16/19 2,850,000 $2,851,904
World Omni Auto Receivables Trust 2013-B, 0.48%, 11/15/16 50,000 $36,370
WR Grace & Co-Conn, Delayed Draw Term Loan, 1/23/21 290,008 $289,494
WR Grace & Co-Conn, U.S. Term Loan, 1/23/21 809,993 $808,558
Wyle 1st Lien Tl-B L + 4% 22may21 207,117 $207,829
Xerium Technologies, Inc., New Term Loan, 5/17/19 79,000 $79,395
XLIT, Ltd., 5.25%, 9/15/14 3,467,000 $3,555,854
ZIGGO BV, (USD) TLB3, 1/15/22 1,136,553 $1,115,776
Ziggo Bv 1st Lien Tl-B1 L + 2.75% 15jan22 1,072,383 $1,052,779
Ziggo Bv 1st Lien Tl-B2 L + 2.75% 15jan22 691,064 $678,430

The portfolio is actively managed, and current holdings may be different.

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