Pioneer Multi-Asset Ultrashort Income Fund

Top 10 Portfolio Holdings as of 5/30/2014
Default: sorted by market value

Security Name Par / Shares Market Value
321 Henderson Receivables I LLC, Floating Rate Note, 9/15/45 (144A) 1,386,000 $380,385
A10 Securitization 2013-1 LLC, 2.4%, 11/15/25 (144A) 1,400,000 $1,280,062
ABFC 2003-WMC1 Trust, Floating Rate Note, 3/25/33 3,574,825 $70,264
ABFC 2005-WF1 Trust, Floating Rate Note, 12/25/34 1,610,000 $802,778
ABN AMRO Bank NV, Floating Rate Note, 10/28/16 (144A) 1,725,000 $1,739,649
ACA CLO 2006-2, Ltd., Floating Rate Note, 1/20/21 (144A) 1,250,000 $1,221,131
ACAS CLO 2007-1, Ltd., Floating Rate Note, 4/20/21 1,800,000 $1,769,774
Accredited Mortgage Loan Trust 2005-2, Floating Rate Note, 7/25/35 1,110,000 $1,068,141
ACE Securities Corp Home Equity Loan Trust Series 2002-HE3, Floating Rate Note, 10/25/32 4,600,000 $1,365,769
ACE Securities Corp Manufactured Housing Trust Series 2003-MH1, Floating Rate Note, 8/15/30 (144A) 1,250,000 $227,353
Acis CLO, Ltd., Floating Rate Note, 5/1/26 2,500,000 $2,500,000
Acosta, Inc., 3/2/18 842,387 $846,247
Activision Blizzard, Inc., 7/26/20 1,350,000 $1,353,164
Adjustable Rate Mortgage Trust 2004-1, Floating Rate Note, 1/25/35 5,000,000 $484,609
Adjustable Rate Mortgage Trust 2005-2, Floating Rate Note, 6/25/35 2,260,122 $1,828,773
Adjustable Rate Mortgage Trust 2005-5, Floating Rate Note, 9/25/35 13,780,000 $1,291,461
AdvancePierre Foods, Inc., 7/10/17 186,875 $186,875
Advantage Sales & Marketing, Inc., 12/18/17 989,989 $993,171
Aegis Asset Backed Securities Trust 2004-6, Floating Rate Note, 3/25/35 5,700,000 $574,466
Aegis Asset Backed Securities Trust Mortgage Pass-Through Ctfs Ser 2004-2, Floating Rate Note, 6/25/ 21,291,000 $1,922,446
Aegis Asset Backed Securities Trust Mortgage Pass-Through Ctfs Ser 2005-4, Floating Rate Note, 10/25 800,000 $488,107
Aegis Asset Backed Securities Trust Mortgage Pass- Through Ctfs Series 2004-3, Floating Rate Note, 9 3,465,620 $679,037
Aegis Asset Backed Securities Trust Mortgage Pass-Through Ctfs Series 2004-4, Floating Rate Note, 10 3,977,618 $965,993
Aeroflex, Inc., 11/9/19 126,184 $126,842
AES Corp. Virginia, 6/1/18 28,341 $28,412
Afin Flt% 20nov15 13-3-A1b 840,000 $840,837
Ah4r Flt% 17jun31 14-Sfr1-B 1,500,000 $1,497,022
Albertsons LLC, 3/21/19 1,507,242 $1,516,028
Alkermes, Inc., 9/25/19 1,134,239 $1,133,766
Allegion US Holding Co, Inc., 12/26/20 2,294,250 $2,288,514
Alliant Holdings I, Inc., 12/20/19 243,940 $244,470
Alliant Techsystems, Inc., 10/22/20 498,750 $499,560
Allied Security Holdings LLC, 2/12/21 517,045 $515,833
Allison Transmission, Inc., 8/23/19 147,760 $148,060
Ally Auto Receivables Trust 2011-2, 1.98%, 4/15/16 355,000 $204,395
Ally Auto Receivables Trust 2011-3, 1.61%, 5/16/16 602,000 $485,424
Ally Auto Receivables Trust 2011-4, 0.79%, 9/15/15 750,000 $18,688
Ally Auto Receivables Trust 2013-2, Floating Rate Note, 7/15/16 1,500,000 $1,500,917
Allyl Flt% 20oct16 14-Sn1-A2b 1,800,000 $1,800,175
Ally Master Owner Trust, Floating Rate Note, 2/15/17 250,000 $251,163
Ally Master Owner Trust, Floating Rate Note, 8/15/17 3,000,000 $3,028,181
Alternative Loan Trust 2003-3T1, Floating Rate Note, 5/25/33 15,000,000 $698,109
Alternative Loan Trust 2004-18CB, 5.7%, 9/25/34 1,760,000 $137,066
Alternative Loan Trust 2004-18CB, Floating Rate Note, 9/25/34 41,975,000 $233,089
Alternative Loan Trust 2004-2CB, 5.125%, 3/25/34 1,500,000 $135,017
Alternative Loan Trust 2004-2CB, Floating Rate Note, 3/25/34 4,210,000 $28,149
Alternative Loan Trust 2004-4CB, 4.25%, 4/25/34 16,913,000 $888,139
Alternative Loan Trust 2004-6CB, Floating Rate Note, 5/25/34 16,100,000 $1,290,765
Altisource Solutions Sarl, 12/9/20 493,769 $495,312
Amcar 0.65% 08dec17 13-2-A3 485,000 $485,454
Amcar 2.45% 08dec16 11-5-B 1,700,000 $1,717,942
AMC Entertainment, Inc., 4/30/20 1,468,763 $1,469,215
America Movil SAB de CV, Floating Rate Note, 9/12/16 1,500,000 $1,522,317
American Airlines, Inc., 6/27/19 2,530,875 $2,537,994
American Credit Acceptance Receivables Trust, 1.39%, 10/10/17 (144A) 3,300,000 $3,188,523
American Credit Acceptance Receivables Trust, 1.64%, 11/15/16 (144A) 1,300,000 $360,911
American Credit Acceptance Receivables Trust 2012-2, 1.89%, 7/15/16 (144A) 800,000 $103,578
American Credit Acceptance Receivables Trust 2013-1, 1.45%, 4/16/18 (144A) 1,715,000 $821,806
American Credit Acceptance Receivables Trust 2013-2, 1.32%, 2/15/17 (144A) 805,000 $425,388
American Credit Acceptance Receivables Trust 2014-1, 1.14%, 3/12/18 (144A) 645,000 $508,386
American Express Centurion Bank, Floating Rate Note, 11/13/15 2,950,000 $2,962,906
American Express Credit Account Master Trust, Floating Rate Note, 1/15/20 50,000 $50,009
American Express Credit Account Master Trust, Floating Rate Note, 2/15/18 1,945,000 $1,969,814
American Express Credit Account Master Trust, Floating Rate Note, 3/15/17 5,615,000 $5,632,781
American Express Credit Account Master Trust, Floating Rate Note, 3/15/18 8,890,000 $8,896,369
American Express Credit Corp., Floating Rate Note, 6/12/15 3,185,000 $3,226,778
American Express Credit Corp., Floating Rate Note, 6/24/14 4,700,000 $4,712,055
American Express Credit Corp., Floating Rate Note, 7/29/16 2,850,000 $2,867,296
American Honda Finance Corp., 1.85%, 9/19/14 (144A) 600,000 $604,667
American Honda Finance Corp., Floating Rate Note, 10/7/16 950,000 $958,579
American Honda Finance Corp., Floating Rate Note, 11/13/14 (144A) 1,300,000 $1,300,892
American Honda Finance Corp., Floating Rate Note, 5/26/16 (144A) 825,000 $828,711
American Honda Finance Corp., Floating Rate Note, 6/18/14 (144A) 1,500,000 $1,502,338
AmeriCredit Automobile Receivables Trust 2012-5, 0.51%, 1/8/16 2,600,000 $376,195
AmeriCredit Automobile Receivables Trust 2013-1, 0.49%, 6/8/16 2,000,000 $585,880
AmeriCredit Automobile Receivables Trust 2013-4, 0.74%, 11/8/16 1,500,000 $1,147,383
Ameriquest Mortgage Securities Inc Asset-Backed Pass-Through Ctfs Ser 2003-11, Floating Rate Note, 1 6,950,000 $317,592
Ameriquest Mortgage Securities Inc Asset-Backed Pass-Through Ctfs Ser 2005-R1, Floating Rate Note, 3 2,757,237 $1,690,800
Ameriquest Mortgage Securities Inc Asset-Backed Pass-Through Ctfs Ser 2005-R10, Floating Rate Note, 12,055,000 $848,936
Ameriquest Mortgage Securities Inc Asset Backed Pass-Through Ctfs Ser 2005-R11, Floating Rate Note, 810,000 $603,857
Ameriquest Mortgage Securities Inc Asset-Backed Pass-Through Ctfs Ser 2005-R6, Floating Rate Note, 8 2,850,000 $39,687
Ameriquest Mort Sec Inc Asset Backed Pass Thr Cert 03 AR3, Floating Rate Note, 6/25/33 729,633 $492,727
Amsi Flt% 25jul35 05-R5-M1 84,000 $82,797
Anheuser-Busch Companies LLC, 5.0%, 1/15/15 691,000 $723,832
Anheuser-Busch InBev Finance, Inc., Floating Rate Note, 1/27/17 1,900,000 $1,903,266
Anheuser-Busch InBev Worldwide, Inc., 1.5%, 7/14/14 2,300,000 $2,316,761
Anheuser-Busch InBev Worldwide, Inc., 4.125%, 1/15/15 2,120,000 $2,201,824
Anheuser-Busch InBev Worldwide, Inc., Floating Rate Note, 7/14/14 2,000,000 $2,002,495
Apex Tool Group LLC, 1/31/20 1,237,500 $1,211,977
Apple, Inc., Floating Rate Note, 5/3/16 1,500,000 $1,500,996
Arc Automotive Group, Inc., 11/15/18 480,469 $484,673
Ardagh Holdings USA, Inc., 12/17/19 684,000 $684,285
ARI Fleet Lease Trust, 0.81%, 11/15/22 (144A) 2,000,000 $2,002,582
ARI Fleet Lease Trust 2012-A, Floating Rate Note, 3/15/20 (144A) 2,070,000 $578,836
ARI Fleet Lease Trust 2012-B, Floating Rate Note, 1/15/21 (144A) 900,000 $372,605
ARI Fleet Lease Trust 2013-A, 0.7%, 12/15/15 (144A) 1,515,000 $1,202,825
Armore Flt% 15dec16 144a 1,000,000 $989,500
Armstrong World Industries, Inc., 3/15/20 1,089,248 $1,092,647
Arysta Lifescience SPC LLC, 5/29/20 2,359,306 $2,365,204
Ascentium Equipment Receivables 2012-1 LLC, 1.83%, 9/15/19 (144A) 1,528,000 $431,823
Ascentium Equipment Receivables 2014-1 LLC, 1.04%, 1/10/17 1,000,000 $1,000,972
ASG Resecuritization Trust 2010-3, Floating Rate Note, 12/28/45 (144A) 5,216,443 $2,602,776
Asset Backed Securities Corp Home Equity Loan Trust Series 2005-HE2, Floating Rate Note, 2/25/35 8,100,000 $1,042,417
Asset Backed Securities Corp Home Equity Loan Trust Series 2005-HE3, Floating Rate Note, 4/25/35 724,529 $632,361
Asset Backed Securities Corp Home Equity Loan Trust Series AEG 2006-HE1, Floating Rate Note, 1/25/36 6,155,063 $1,238,949
Asset Backed Securities Corp Home Equity Loan Trust Series OOMC 2005-HE6, Floating Rate Note, 7/25/3 1,879,167 $1,621,419
AT&T, Inc., 0.875%, 2/13/15 1,850,000 $1,861,161
Atlantic Power LP, 2/20/21 3,150,000 $3,177,563
Atlas IX Capital, Ltd., Floating Rate Note, 1/17/19 (Cat Bond) (144A) 1,500,000 $1,542,316
Atlas Reinsurance VII, Ltd., Floating Rate Note, 1/7/16 (Cat Bond) (144A) 1,000,000 $1,051,580
AUDIO VISUAL SERVICES CORPORATION, Initial Term Loan (First Lien), 1/24/21 230,000 $230,527
Avago Technologies Ltd 1st Lien Tl-B L + 3% 16apr21 1,300,000 $1,305,688
Avis Budget Car Rental LLC, 3/15/19 1,289,360 $1,288,016
AWAS Finance Luxembourg 2012 SA, 7/16/18 453,057 $453,906
Axalta Coating Systems US Holdings, Inc., 2/1/20 1,079,660 $1,080,503
AXIS Equipment Finance Receivables II LLC, 1.75%, 6/20/16 1,000,000 $791,676
Bacct Flt% 15dec16 06-A7-A7 50,000 $49,992
Bacct Flt% 16sep19 14-A2-A 2,800,000 $2,800,557
Bacm Flt% 10oct45 05-5-A4 4,730,000 $4,779,533
BA Credit Card Trust, Floating Rate Note, 12/15/16 6,150,000 $6,149,432
Balta Flt% 25jan35 04-12-1a2 11,245,000 $1,329,352
BAMLL Commercial Mortgage Securities Trust 2012-CLRN, Floating Rate Note, 8/15/29 (144A) 3,035,000 $3,041,830
BAMLL Commercial Mortgage Securities Trust 2012-CLRN, Floating Rate Note, 8/15/29 (144A) 2,275,000 $2,278,566
Banc of America Funding 2004-B Trust, Floating Rate Note, 12/20/34 20,499,000 $1,783,233
Banc of America Large Loan Trust 2007-BMB1, Floating Rate Note, 8/15/29 (144A) 3,000,000 $3,000,480
Banc of America Merrill Lynch Commercial Mortgage, Inc., Floating Rate Note, 6/10/39 1,941,016 $101,139
Banc of America Merrill Lynch Commercial Mortgage, Inc., Floating Rate Note, 7/10/43 1,985,000 $1,958,744
Banc of America Merrill Lynch Commercial Mortgage, Inc., Floating Rate Note, 9/10/47 6,175,000 $6,505,944
Banc of America Mortgage 2003-A Trust, Floating Rate Note, 2/25/33 10,560,000 $110,558
Banc of America Mortgage 2003-F Trust, Floating Rate Note, 7/25/33 5,472,215 $292,472
Banc of America Mortgage 2004-I Trust, Floating Rate Note, 10/25/34 6,000,000 $458,106
Bank of America Corp., 5.45%, 7/15/14 4,980,000 $5,112,368
Bank of America Corp., Floating Rate Note, 3/22/16 6,000,000 $6,052,861
Bank of America NA, Floating Rate Note, 2/14/17 2,000,000 $2,002,306
Bank of Nova Scotia, 1.85%, 1/12/15 100,000 $101,674
Bank of Nova Scotia, Floating Rate Note, 1/12/15 4,275,000 $4,308,535
Bank of Nova Scotia, Floating Rate Note, 12/13/16 1,800,000 $1,809,358
Bank of Nova Scotia, Floating Rate Note, 3/15/16 2,000,000 $2,009,407
Bank of Nova Scotia, Floating Rate Note, 7/15/16 1,500,000 $1,510,020
Bank of Nova Scotia Houston, Floating Rate Note, 10/23/15 1,000,000 $1,001,638
Barclays Bank Plc, Floating Rate Note, 2/17/17 821,000 $825,421
Barclays Dryrock Issuance Trust, Floating Rate Note, 12/16/19 1,050,000 $1,051,388
Barclays Dryrock Issuance Trust, Floating Rate Note, 8/15/17 2,000,000 $2,000,048
Baxter International, Inc., Floating Rate Note, 12/11/14 895,000 $896,149
Bayview Financial Acquisition Trust, 6.205%, 5/28/37 (Step) 100,000 $62,077
Bayview Financial Acquisition Trust, Floating Rate Note, 2/28/44 46,440,000 $1,982,199
Bayview Financial Acquisition Trust, Floating Rate Note, 5/28/44 23,920,000 $542,370
Bayview Financial Acquisition Trust, Floating Rate Note, 8/28/44 22,812,944 $22,484
Bayview Financial Mortgage Pass-Through Trust 2005-C, Floating Rate Note, 6/28/44 8,536,000 $279,101
Bayview Financial Mortgage Pass-Through Trust 2006-A, Floating Rate Note, 2/28/41 5,200,000 $194,333
Bayview Financial Mortgage Pass-Through Trust 2006-A, Floating Rate Note, 2/28/41 6,439,000 $841,811
Bayview Financial Mortgage Pass-Through Trust 2006-B, Floating Rate Note, 4/28/36 4,911,055 $1,474,339
Bayview Financial Mortgage Pass-Through Trust 2006-B, Floating Rate Note, 4/28/36 8,680,000 $730,919
Bayview Financial Mortgage Pass-Through Trust Series 2005-B, Floating Rate Note, 4/28/39 1,899,351 $1,867,820
Bayview Opportunity Master Fund IIa Trust 2012-4NPL, 3.9496%, 1/28/34 (Step) 2,125,000 $1,772,299
Bayview Opportunity Master Fund Trust IIB LP, Floating Rate Note, 1/28/33 (144A) 1,000,000 $467,795
Bbt Flt% 23may17 500,000 $496,283
BCAP LLC 2009-RR13-I Trust, Floating Rate Note, 9/26/35 (144A) 8,854,257 $2,705,514
BCAP LLC 2013-RR3 Trust, Floating Rate Note, 5/26/36 (144A) 1,084,000 $907,524
BCC Funding Corp., 1.794%, 6/20/20 2,000,000 $1,829,074
Bear Stearns ALT-A Trust 2003-3, Floating Rate Note, 10/25/33 350,000 $71,712
Bear Stearns ALT-A Trust 2004-11, Floating Rate Note, 11/25/34 21,976,800 $1,320,715
Bear Stearns ALT-A Trust 2004-12, Floating Rate Note, 1/25/35 17,745,000 $2,242,520
Bear Stearns ALT-A Trust 2004-12, Floating Rate Note, 1/25/35 25,907,600 $3,587,256
Bear Stearns ALT-A Trust 2004-12, Floating Rate Note, 1/25/35 25,745,000 $3,585,632
Bear Stearns ALT-A Trust 2004-13, Floating Rate Note, 11/25/34 9,625,000 $533,586
Bear Stearns ALT-A Trust 2004-4, Floating Rate Note, 6/25/34 33,443,000 $2,917,870
Bear Stearns ALT-A Trust 2004-8, Floating Rate Note, 9/25/34 12,800,000 $1,080,949
Bear Stearns ARM Trust 2003-3, Floating Rate Note, 5/25/33 42,906,215 $1,444,940
Bear Stearns ARM Trust 2004-3, Floating Rate Note, 7/25/34 10,718,797 $432,880
Bear Stearns ARM Trust 2005-5, Floating Rate Note, 8/25/35 5,635,000 $640,153
Bear Stearns Asset Backed Securities I Trust 2005-FR1, Floating Rate Note, 6/25/35 5,850,460 $2,457,860
Bear Stearns Asset Backed Securities I Trust 2005-HE8, Floating Rate Note, 8/25/35 4,984,852 $589,705
Bear Stearns Asset Backed Securities Trust, Floating Rate Note, 2/25/35 21,336,125 $1,543,081
Bear Stearns Asset Backed Securities Trust 2003-AC5, Floating Rate Note, 10/25/33 2,875,000 $301,035
Bear Stearns Asset Backed Securities Trust 2004-2, Floating Rate Note, 8/25/34 158,000 $6,623
Bear Stearns Asset Backed Securities Trust 2004-2, Floating Rate Note, 8/25/34 1,523,000 $287,166
Bear Stearns Asset Backed Securities Trust 2004-SD3, Floating Rate Note, 9/25/34 310,000 $149,770
Bear Stearns Asset Backed Securities Trust 2005-SD1, Floating Rate Note, 8/25/43 310,000 $108,476
Bear Stearns Asset Backed Securities Trust 2005-SD2, Floating Rate Note, 3/25/35 5,000,000 $1,702,852
Bear Stearns Asset Backed Securities Trust 2005-SD2, Floating Rate Note, 3/25/35 1,000,000 $144,611
Bear Stearns Asset Backed Securities Trust 2006-4, Floating Rate Note, 10/25/36 15,163,000 $805,445
Bear Stearns Commercial Mortgage Securities Trust 2005-PWR8, 4.75%, 6/11/41 1,330,000 $1,377,548
Bear Stearns Commercial Mortgage Securities Trust 2005-PWR9, Floating Rate Note, 9/11/42 3,751,000 $3,908,096
Bear Stearns Commercial Mortgage Securities Trust 2005-TOP18, Floating Rate Note, 2/13/42 3,975,000 $3,554,460
Bear Stearns Mortgage Securities, Inc., Floating Rate Note, 6/25/30 2,875,810 $557,193
Bear Stearns Structured Products Trust 2007-EMX1, Floating Rate Note, 3/25/37 (144A) 4,870,000 $1,103,676
Belden Finance 2013 LP, 9/9/20 646,750 $647,858
Berkshire Hathaway Finance Corp., Floating Rate Note, 1/10/17 1,855,000 $1,857,936
BHP Billiton Finance USA, Ltd., Floating Rate Note, 9/30/16 1,795,000 $1,798,573
Big Heart Pet Brands, 2/24/20 481,871 $478,633
BioScrip, Inc., 7/31/20 548,191 $551,618
BioScrip, Inc., 7/31/20 328,915 $330,971
BlackRock, Inc., 3.5%, 12/10/14 1,037,000 $1,071,416
Blue Danube, Ltd., Floating Rate Note, 4/10/15 (Cat Bond) (144A) 1,945,000 $2,051,661
Blue Danube, Ltd., Floating Rate Note, 4/10/15 (Cat Bond) (144A) 600,000 $616,866
Blue Danube II, Ltd., Floating Rate Note, 5/23/16 (Cat Bond) (144A) 2,125,000 $2,141,893
BMW Floorplan Master Owner Trust, Floating Rate Note, 9/15/17 (144A) 3,000,000 $3,010,275
BMW Vehicle Lease Trust 2013-1, 0.4%, 1/20/15 1,495,000 $388,168
BMW Vehicle Owner Trust 2011-A, 0.76%, 8/25/15 2,630,000 $286,041
BNC Mortgage Loan Trust 2007-4, Floating Rate Note, 11/25/37 9,500,000 $524,688
Boca Hotel Portfolio Trust 2013-BOCA, Floating Rate Note, 8/15/26 (144A) 1,375,000 $1,379,099
Bombardier Recreational Products, Inc., 1/30/19 188,571 $188,673
Booz Allen Hamilton, Inc., 7/31/19 1,358,138 $1,363,400
Bosphorus 1 Re, Ltd., Floating Rate Note, 5/3/16 (Cat Bond) (144A) 750,000 $752,129
Branch Banking & Trust Co., Floating Rate Note, 9/13/16 1,814,000 $1,805,618
Bright Horizons Family Solutions, Inc., 1/30/20 375,250 $376,247
BSN medical International Holding GmbH & Co KG, 8/28/19 593,611 $594,601
Burger King Corp., 9/28/19 243,295 $244,578
BWAY Holding Co., 8/6/17 791,489 $795,050
Cabela's Master Credit Card Trust, Floating Rate Note, 1/16/18 (144A) 3,392,000 $3,420,223
Cabela's Master Credit Card Trust, Floating Rate Note, 2/18/20 (144A) 150,000 $151,193
Cabela's Master Credit Card Trust, Floating Rate Note, 3/16/20 (144A) 900,000 $900,573
Cabela's Master Credit Card Trust, Floating Rate Note, 6/17/19 (144A) 1,500,000 $1,510,327
Cabmt Flt% 17sep18 10-2a-A2 300,000 $301,764
Caelus Re, Ltd., Floating Rate Note, 3/7/16 (Cat Bond) (144A) 2,500,000 $2,547,875
Caelus Re 2013, Ltd., Floating Rate Note, 4/7/17 (Cat Bond) (144A) 2,300,000 $2,412,531
California Republic Auto Receivables Trust 2012-1, 1.18%, 8/15/17 (144A) 1,138,000 $456,706
Calpine Construction Finance Co LP, 5/3/20 1,191,000 $1,170,654
Calpine Corp., 10/9/19 764,054 $767,038
CAM Mortgage Trust 2014-1, 3.3515%, 12/15/53 (Step) (144A) 2,060,000 $1,309,307
Campbell Soup Co., Floating Rate Note, 8/1/14 3,225,000 $3,228,182
Canadian National Railway Co., Floating Rate Note, 11/6/15 1,675,000 $1,676,004
Canadian Natural Resources, Ltd., 1.45%, 11/14/14 1,330,000 $1,336,547
Canadian Natural Resources, Ltd., Floating Rate Note, 3/30/16 2,399,000 $2,405,619
Capital Auto Receivables Asset Trust/ Ally, 0.47%, 3/20/15 1,750,000 $285,594
Capital One Financial Corp., 2.125%, 7/15/14 4,440,000 $4,484,887
Capital One Financial Corp., Floating Rate Note, 11/6/15 1,875,000 $1,884,353
Capital One Financial Corp., Floating Rate Note, 7/15/14 3,244,000 $3,253,666
Capital One Multi-Asset Execution Trust, Floating Rate Note, 8/15/18 6,145,000 $6,138,567
Capital One NA, Floating Rate Note, 3/22/16 1,900,000 $1,907,606
CarMax Auto Owner Trust 2010-2, 2.04%, 10/15/15 220,000 $60,987
CarMax Auto Owner Trust 2011-3, 1.07%, 6/15/16 518,000 $200,241
Carrington Mortgage Loan Trust Series 2005-NC1, Floating Rate Note, 2/25/35 9,679,028 $2,832,889
Carrington Mortgage Loan Trust Series 2005-NC4, Floating Rate Note, 9/25/35 375,000 $60,955
Carrington Mortgage Loan Trust Series 2006-OPT1, Floating Rate Note, 2/25/36 9,778,000 $2,147,262
Castle Garden Funding, Floating Rate Note, 10/27/20 (144A) 7,000,000 $2,141,913
Caterpillar Financial Services Corp., Floating Rate Note, 2/26/16 1,500,000 $1,503,159
Caterpillar Financial Services Corp., Floating Rate Note, 2/9/15 2,000,000 $2,005,013
Cbaau Flt% 18sep15 144a 1,575,000 $1,592,223
CBS Outdoor Americas Capital LLC, 1/15/21 1,629,423 $1,622,974
Ccg 1.44% 14nov21 A2 1,900,000 $1,899,167
CCG Receivables Truste 2013-1, 1.05%, 4/14/20 (144A) 900,000 $687,987
Cedar Fair LP, 3/6/20 98,476 $99,029
Cellular South, Inc., 5/23/20 61,875 $61,566
Centex Home Equity Loan Trust 2003-A, Floating Rate Note, 3/25/33 2,230,000 $429,954
Cequel Communications LLC, 2/14/19 1,150,268 $1,151,275
Cgbam Flt% 15feb31 14-Hd_B 1,050,000 $1,050,079
Cgwf Flt% 15nov30 13-Rkwh-B 3,780,000 $3,799,478
Chait Flt% 16apr18 14-A4-A4 3,000,000 $3,002,470
Charter Communications Operating LLC, 12/31/20 1,315,063 $1,298,441
Chase Funding Trust Series 2002-4, Floating Rate Note, 10/25/32 1,000,000 $19,245
Chase Issuance Trust, 0.47%, 5/15/17 200,000 $200,198
Chase Issuance Trust, Floating Rate Note, 10/16/17 2,700,000 $2,700,271
Chase Issuance Trust, Floating Rate Note, 2/15/17 4,600,000 $4,599,506
Chase Issuance Trust, Floating Rate Note, 4/15/19 1,350,000 $1,342,354
Chase Issuance Trust, Floating Rate Note, 5/15/17 2,000,000 $1,999,585
Chase Issuance Trust, Floating Rate Note, 8/15/17 8,130,000 $8,132,317
Chase Mortgage Finance Trust Series 2005-S1, 5.5%, 5/25/35 19,264,330 $510,448
Chemtura Corp., 8/29/16 371,082 $372,242
Chesapeake Funding LLC, Floating Rate Note, 11/7/23 (144A) 250,000 $253,482
Chesapeake Funding LLC, Floating Rate Note, 11/7/23 (144A) 3,790,000 $2,153,634
Chesapeake Funding LLC, Floating Rate Note, 3/7/26 1,900,000 $1,900,724
Chesapeake Funding LLC, Floating Rate Note, 4/7/24 (144A) 2,050,000 $1,560,089
Chesapeake Funding LLC, Floating Rate Note, 5/7/24 (144A) 200,000 $201,816
Chesapeake Funding LLC, Floating Rate Note, 5/7/24 (144A) 2,000,000 $1,549,782
Chevy Chase Funding LLC Mortgage-Backed Certificates Series 2004-1, Floating Rate Note, 1/25/35 (144 3,700,000 $117,609
Chevy Chase Funding LLC Mortgage-Backed Certificates Series 2004-3, Floating Rate Note, 8/25/35 (144 1,300,000 $61,211
CHL Mortgage Pass-Through Trust 2003-11, Floating Rate Note, 5/25/33 30,308,000 $377,397
CHL Mortgage Pass-Through Trust 2003-15, Floating Rate Note, 6/25/18 25,913,062 $766,545
CHL Mortgage Pass-Through Trust 2003-J7, Floating Rate Note, 8/25/18 2,400,000 $69,479
CHL Mortgage Pass-Through Trust 2004-29, Floating Rate Note, 2/25/35 61,136,000 $3,390,192
CHL Mortgage Pass-Through Trust 2005-19, 5.5%, 8/25/35 6,000,000 $469,426
Chrysler Group LLC, 12/29/18 2,900,000 $2,886,019
CHS, 1/27/21 72,189 $72,686
CIFC Funding 2007-I, Ltd., Floating Rate Note, 5/10/21 500,000 $404,516
CIH International Sarl, 5/1/20 992,500 $996,115
Cincinnati Bell, Inc., 9/10/20 1,243,750 $1,245,460
Cisco Systems, Inc., Floating Rate Note, 3/3/17 1,000,000 $1,005,101
Cisco Systems, Inc., Floating Rate Note, 9/3/15 1,000,000 $1,000,831
Citibank Credit Card Issuance Trust, 4.55%, 6/20/17 639,000 $679,891
Citibank Credit Card Issuance Trust, 4.9%, 12/12/16 200,000 $209,503
Citibank Credit Card Issuance Trust, Floating Rate Note, 11/25/16 4,050,000 $4,051,039
Citibank Credit Card Issuance Trust, Floating Rate Note, 11/7/18 3,490,000 $3,491,389
Citibank Credit Card Issuance Trust, Floating Rate Note, 12/12/16 3,070,000 $3,071,861
Citibank Credit Card Issuance Trust, Floating Rate Note, 2/7/18 9,931,000 $9,940,405
Citibank Credit Card Issuance Trust, Floating Rate Note, 4/24/17 10,870,000 $10,866,334
Citibank Credit Card Issuance Trust, Floating Rate Note, 5/22/17 3,900,000 $3,940,764
Citibank Credit Card Issuance Trust, Floating Rate Note, 6/7/16 2,000,000 $2,000,569
Citicorp Mortgage Securities REMIC Pass-Through Certificates Trust Series 2005-4, 5.0%, 7/25/20 486,000 $20,739
Citicorp Mortgage Securities REMIC Pass-Through Certificates Trust Series 2005-7, 5.0%, 10/25/35 17,468,000 $1,764,985
Citigroup, Inc., 5.0%, 9/15/14 1,300,000 $1,329,689
Citigroup, Inc., 5.5%, 10/15/14 1,473,000 $1,509,529
Citigroup, Inc., Floating Rate Note, 11/15/16 1,700,000 $1,707,696
Citigroup, Inc., Floating Rate Note, 11/5/14 2,692,000 $2,694,760
Citigroup, Inc., Floating Rate Note, 4/1/16 1,325,000 $1,334,746
Citigroup, Inc., Floating Rate Note, 7/25/16 1,500,000 $1,516,822
Citigroup Commercial Mortgage Trust 2007-FL3, Floating Rate Note, 4/15/22 (144A) 497,205 $492,937
Citigroup Commercial Mortgage Trust 2007-FL3, Floating Rate Note, 4/15/22 (144A) 1,430,707 $757,919
Citigroup Commercial Mortgage Trust 2007-FL3, Floating Rate Note, 4/15/22 (144A) 1,105,112 $1,092,888
Citigroup Commercial Mortgage Trust 2007-FL3, Floating Rate Note, 4/15/22 (144A) 1,982,362 $1,965,509
Citigroup Mortgage Loan Trust, Inc., 6.5%, 6/25/16 10,100,000 $15,096
Citigroup Mortgage Loan Trust, Inc., Floating Rate Note, 10/25/34 4,100,000 $53,894
Citigroup Mortgage Loan Trust, Inc., Floating Rate Note, 11/25/34 3,500,000 $235,312
Citigroup Mortgage Loan Trust, Inc., Floating Rate Note, 5/25/35 (144A) 1,150,000 $18,038
Citigroup Mortgage Loan Trust 2006-HE1, Floating Rate Note, 1/25/36 300,000 $15,977
Citigroup Mortgage Loan Trust 2006-SHL1, Floating Rate Note, 11/25/45 (144A) 13,635,000 $1,649,178
Citigroup Mortgage Loan Trust 2007-WFHE2, Floating Rate Note, 3/25/37 6,642,000 $67,784
Citigroup Mortgage Loan Trust 2010-7, Floating Rate Note, 9/25/37 (144A) 6,105,345 $1,655,462
Citrus Re, Ltd., Floating Rate Note, 4/18/17 (Cat Bond) (144A) 250,000 $245,450
Citrus Re, Ltd., Floating Rate Note, 4/24/17 (Cat Bond) (144A) 1,350,000 $1,321,650
City Center Trust 2011-CCHP, Floating Rate Note, 7/15/28 (144A) 950,000 $952,117
CLI Funding LLC, Floating Rate Note, 8/18/21 (144A) 7,250,000 $1,468,518
CNH Equipment Trust 2011-C, 1.19%, 12/15/16 1,460,621 $535,204
CNH Equipment Trust 2013-C, 0.63%, 1/17/17 1,903,426 $1,905,642
CNH Wholesale Master Note Trust, Floating Rate Note, 8/15/19 (144A) 1,550,000 $1,556,045
CNL Commercial Mortgage Loan Trust 2002-1, Floating Rate Note, 10/25/28 (144A) 42,221,000 $1,436,892
CNL Commercial Mortgage Loan Trust 2003-2, Floating Rate Note, 10/25/30 (144A) 3,600,000 $341,157
CNO Financial Group, Inc., 9/28/18 463,599 $463,877
Coca-Cola Enterprises, Inc., 2.125%, 9/15/15 551,000 $562,908
Colony American Homes 2014-1, Floating Rate Note, 5/17/31 2,300,000 $2,293,774
Combine Re, Ltd., Floating Rate Note, 1/7/15 (Cat Bond) (144A) 2,970,000 $3,023,980
Combine Re, Ltd., Floating Rate Note, 1/7/15 (Cat Bond) (144A) 2,000,000 $2,107,556
COMM 2006-FL12 Mortgage Trust, Floating Rate Note, 12/15/20 (144A) 11,100,000 $2,526,786
COMM 2006-FL12 Mortgage Trust, Floating Rate Note, 12/15/20 (144A) 2,910,000 $1,877,028
COMM 2007-FL14 Mortgage Trust, Floating Rate Note, 6/15/22 (144A) 9,355,000 $2,871,048
COMM 2007-FL14 Mortgage Trust, Floating Rate Note, 6/15/22 (144A) 4,454,785 $996,575
COMM 2011-FL1 Mortgage Trust, Floating Rate Note, 7/17/28 (144A) 500,000 $161,825
COMM 2013-FL3 Mortgage Trust, Floating Rate Note, 10/13/28 (144A) 1,597,000 $1,602,099
COMM 2014-TWC Mortgage Trust, Floating Rate Note, 2/13/32 (144A) 6,150,000 $6,157,854
Commercial Mortgage Pass Through Certificates, Floating Rate Note, 11/17/26 (144A) 2,250,000 $2,092,930
Commercial Mortgage Trust 2005-GG3, Floating Rate Note, 8/10/42 3,300,000 $3,373,291
Commercial Mortgage Trust 2005-GG3, Floating Rate Note, 8/10/42 1,465,000 $1,487,951
Commonwealth Bank of Australia, Floating Rate Note, 12/4/15 (144A) 1,800,000 $1,802,774
Commonwealth Bank of Australia, Floating Rate Note, 3/13/17 (144A) 2,000,000 $2,005,358
CommScope, Inc., 1/14/18 238,854 $239,672
CommScope, Inc., 1/21/17 159,236 $159,336
Compass Re, Ltd., Floating Rate Note, 1/8/15 (Cat Bond) (144A) 250,000 $257,588
Compass Re, Ltd., Floating Rate Note, 1/8/15 (Cat Bond) (144A) 250,000 $260,488
Compass Re, Ltd., Floating Rate Note, 1/8/15 (Cat Bond) (144A) 1,000,000 $1,037,683
Confie seguros Holding II Co., 11/9/18 497,461 $499,513
Conseco Financial Corp., 7.05%, 1/15/19 600,362 $7,581
ConvaTec, Inc., 12/22/16 696,876 $698,836
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA New York, Floating Rate Note, 3/18/16 1,575,000 $1,586,593
Countrywide Asset-Backed Certificates, Floating Rate Note, 1/25/36 125,000 $25,222
Countrywide Asset-Backed Certificates, Floating Rate Note, 10/25/34 5,000,000 $2,210,536
Countrywide Asset-Backed Certificates, Floating Rate Note, 11/25/34 21,906,000 $678,746
Countrywide Asset-Backed Certificates, Floating Rate Note, 11/25/35 (144A) 7,825,000 $367,439
Countrywide Asset-Backed Certificates, Floating Rate Note, 12/25/34 2,000,000 $1,433,868
Countrywide Asset-Backed Certificates, Floating Rate Note, 12/25/35 750,000 $208,968
Countrywide Asset-Backed Certificates, Floating Rate Note, 2/25/33 1,113,000 $282,990
Countrywide Asset-Backed Certificates, Floating Rate Note, 5/25/35 5,600,000 $1,639,503
Countrywide Asset-Backed Certificates, Floating Rate Note, 5/25/36 5,000,000 $498,192
Countrywide Asset-Backed Certificates, Floating Rate Note, 6/25/33 (144A) 8,175,000 $178,526
Countrywide Asset-Backed Certificates, Floating Rate Note, 6/25/33 (144A) 2,000,000 $43,390
Countrywide Asset-Backed Certificates, Floating Rate Note, 6/25/35 1,575,000 $698,729
Countrywide Asset-Backed Certificates, Floating Rate Note, 7/25/35 2,058,000 $323,188
Countrywide Home Equity Loan Trust, Floating Rate Note, 6/15/29 28,190,000 $170,503
Covanta Energy Corp., 3/28/19 133,000 $133,466
CPS Auto Receivables Trust 2013-B, 1.82%, 9/15/20 (144A) 731,000 $484,401
CPS Auto Receivables Trust 2014-A, 1.21%, 8/15/18 700,000 $663,708
CPS Auto Trust, 1.82%, 12/16/19 (144A) 1,000,000 $467,102
Credit Acceptance Auto Loan Trust 2012-2, 2.21%, 9/15/20 (144A) 2,000,000 $2,030,332
Credit-Based Asset Servicing and Securitization LLC, 4.61153%, 4/25/37 (Step) 7,500,000 $198,481
Credit Suisse First Boston Mortgage Securities Corp., 4.686%, 7/15/37 5,510,000 $5,589,277
Credit Suisse First Boston Mortgage Securities Corp., 4.829%, 11/15/37 649,797 $610,435
Credit Suisse First Boston Mortgage Securities Corp., 4.832%, 4/15/37 3,450,000 $3,548,162
Credit Suisse First Boston Mortgage Securities Corp., Floating Rate Note, 12/15/40 7,036,500 $5,316,278
Credit Suisse First Boston Mortgage Securities Corp., Floating Rate Note, 12/25/33 300,000 $17,800
Credit Suisse First Boston Mortgage Securities Corp., Floating Rate Note, 2/15/38 2,536,000 $2,220,670
Credit Suisse First Boston Mortgage Securities Corp., Floating Rate Note, 6/25/34 26,125,000 $345,932
Credit Suisse First Boston Mortgage Securities Corp., Floating Rate Note, 7/15/36 3,570,000 $278,932
Credit Suisse First Boston Mortgage Securities Corp., Floating Rate Note, 8/15/38 3,895,043 $3,975,257
Credit Suisse Mortgage Capital Certificates, Floating Rate Note, 10/15/21 (144A) 10,150,000 $2,982,765
Credit Suisse Mortgage Capital Certificates, Floating Rate Note, 10/25/36 (144A) 2,010,000 $192,700
Credit Suisse Mortgage Capital Certificates, Floating Rate Note, 7/27/36 (144A) 7,712,000 $1,892,623
Crown Castle 1st Lien Term-B2 L + 2.5% 31jan21 1,189,148 $1,185,990
Crusade Global Trust, Floating Rate Note, 11/15/37 10,000,000 $1,716,324
Crusade Global Trust, Floating Rate Note, 4/19/38 9,883,244 $1,883,635
Crusade Global Trust, Floating Rate Note, 8/14/37 5,471,271 $601,709
Csfb Flt% 25jul35 05-6-1a2 9,490,000 $1,095,479
Csmc2014-Surf Flt% 15feb29 B 2,400,000 $2,405,858
Daimler Finance North America LLC, 1.3%, 7/31/15 (144A) 1,500,000 $1,521,037
Daimler Finance North America LLC, Floating Rate Note, 3/10/17 (144A) 1,500,000 $1,503,646
Daimler Finance North America LLC, Floating Rate Note, 8/1/16 (144A) 1,500,000 $1,514,752
Darling Ingredients, Inc., 12/19/20 1,590,000 $1,594,452
DaVita HealthCare Partners, Inc., 11/1/19 740,625 $744,196
DBRR 2012- EZ1 Trust, 0.946%, 9/25/45 (144A) 1,537,145 $94,823
D Cp Zero% 04jun14 Usd 2,800,000 $2,799,932
DEALERTRACK TECHNOLOGIES INC, Term Loan, 2/27/21 1,000,000 $1,000,306
Del Coronado Trust 2013-DEL, Floating Rate Note, 3/15/26 (144A) 1,460,000 $1,459,358
DELOS FINANCE SARL, Loan, 2/27/21 1,295,000 $1,296,966
Delta Air Lines, Inc., 10/18/18 740,625 $740,096
Delta Air Lines, Inc., 4/20/17 296,947 $297,212
Delta Funding Home Equity Loan Trust 1997-2, 7.04%, 6/25/27 1,000,000 $1,099
Deltek, Inc., 10/10/18 297,739 $298,855
Deutsche Telekom International Finance BV, 4.875%, 7/8/14 2,456,000 $2,513,687
Devon Energy Corp., Floating Rate Note, 12/15/15 4,800,000 $4,825,155
DigitalGlobe, Inc., 1/31/20 881,720 $884,062
DineEquity, Inc., 10/19/17 126,648 $127,216
Direct Capital Funding V LLC, 0.7%, 9/20/14 (144A) 1,309,000 $203,684
Direct Capital Funding V LLC, 1.673%, 12/20/17 (144A) 725,000 $257,721
Discover Card Execution Note Trust, 0.81%, 8/15/17 3,000,000 $3,010,869
Discover Card Execution Note Trust, 0.86%, 11/15/17 1,700,000 $1,708,971
Discover Card Execution Note Trust, Floating Rate Note, 1/16/18 690,000 $690,501
Discover Card Execution Note Trust, Floating Rate Note, 3/15/17 1,035,000 $1,035,528
Discover Card Execution Note Trust, Floating Rate Note, 3/15/18 6,400,000 $6,438,163
Drillships Financing Holding, Inc., 3/31/21 992,500 $996,594
Drock Flt% 16jul18 13-1-A 200,000 $200,277
Drock Flt% 16mar20 14-2-A 1,800,000 $1,800,074
Drug Royalty II LP 1, Floating Rate Note, 1/15/25 (144A) 500,000 $350,012
DT Auto Owner Trust 2012-2, 1.85%, 4/17/17 (144A) 900,000 $372,162
DT Auto Owner Trust 2013-1, 0.75%, 5/16/16 (144A) 1,232,000 $297,183
Duke Energy Corp., 3.95%, 9/15/14 1,705,000 $1,736,607
Duke Energy Corp., Floating Rate Note, 4/3/17 1,740,000 $1,747,061
Duke Energy Indiana, Inc., Floating Rate Note, 7/11/16 1,375,000 $1,383,653
Duke Energy Ohio, Inc., Floating Rate Note, 3/6/15 725,000 $726,144
Duke Energy Progress, Inc., Floating Rate Note, 3/6/17 1,275,000 $1,277,025
DynCorp International, Inc., 7/7/16 200,347 $201,182
Dynegy, Inc., 4/23/20 458,077 $459,304
Eart Flt% 15aug18 14-2a-A 1,400,000 $1,400,069
East Lane Re, Ltd., Floating Rate Note, 3/13/15 (Cat Bond) (144A) 1,000,000 $1,033,154
East Lane Re V, Ltd., Floating Rate Note, 3/16/16 (Cat Bond) (144A) 250,000 $271,363
East Lane Re VI, Ltd., Floating Rate Note, 3/14/18 (144A) 2,000,000 $1,972,000
Electricite de France, Floating Rate Note, 1/20/17 (144A) 1,865,000 $1,874,259
Ellington Loan Acquisition Trust 2007-1, Floating Rate Note, 5/28/37 (144A) 2,400,000 $2,250,142
Ellington Loan Acquisition Trust 2007-2, Floating Rate Note, 5/25/37 (144A) 5,000,000 $606,107
Embarcadero Reinsurance, Ltd., Floating Rate Note, 2/4/16 (Cat Bond) (144A) 1,320,000 $1,333,483
Embarcadero Reinsurance, Ltd., Floating Rate Note, 8/7/15 (Cat Bond) (144A) 525,000 $538,532
Emdeon, Inc., 11/2/18 1,610,542 $1,611,347
Enbridge, Inc., Floating Rate Note, 10/1/16 1,650,000 $1,660,023
Endo Luxembourg Finance I 1st Lien Tl-B L + 2.5% 05nov20 500,000 $497,344
Energy Transfer Partners LP, 5.95%, 2/1/15 2,830,000 $2,985,277
Entercom Radio LLC, 11/23/18 357,805 $359,035
Enterprise Fleet Financing LLC, 0.87%, 9/20/19 2,000,000 $2,001,278
Enterprise Products Operating LLC, 3.7%, 6/1/15 2,050,000 $2,151,325
Envision Healthcare Corp., 5/25/18 1,258,811 $1,260,778
Epiq Systems, Inc., 8/27/20 472,625 $473,807
Equity One Mortgage Pass-Through Trust 2004-3, Floating Rate Note, 7/25/34 14,189,000 $870,645
EquiVantage Home Equity Loan Trust 1997-1, 8.05%, 3/25/28 (Step) 1,500,000 $28,950
Exeter Automobile Receivables Trust 2012-1, 2.02%, 8/15/16 (144A) 500,000 $22,999
Exeter Automobile Receivables Trust 2012-2, 1.3%, 6/15/17 (144A) 1,000,000 $284,922
Exeter Automobile Receivables Trust 2012-2, 3.06%, 7/16/18 (144A) 1,000,000 $1,021,706
Expert Global Solutions, Inc., 4/3/18 30,696 $29,699
Express Scripts Holding Co., 2.1%, 2/12/15 2,763,000 $2,810,906
Express Scripts Holding Co., 2.75%, 11/21/14 5,005,000 $5,061,421
Extended Stay America Trust 2013-ESH, Floating Rate Note, 12/5/31 (144A) 800,000 $800,087
Extended Stay America Trust 2013-ESH, Floating Rate Note, 12/5/31 (144A) 900,000 $901,248
Exxon Mobil Corp., Floating Rate Note, 3/15/17 1,980,000 $1,981,090
Fannie Mae, 6.5%, 1/1/15 1,381,759 $1,919
Fannie Mae, 7.0%, 10/1/17 2,241,352 $7,962
Fannie Mae, Floating Rate Note, 1/1/48 175,000 $26,017
Fannie Mae, Floating Rate Note, 10/1/32 500,000 $27,940
Fannie Mae, Floating Rate Note, 11/1/23 970,000 $11,902
Fannie Mae, Floating Rate Note, 2/1/34 500,000 $31,941
Fannie Mae, Floating Rate Note, 4/1/15 4,200,043 $1,867
Fannie Mae, Floating Rate Note, 9/1/32 375,000 $23,884
Fannie Mae Connecticut Avenue Securities, Floating Rate Note, 10/25/23 1,705,000 $1,618,382
Fannie Mae Trust 2003-W6, Floating Rate Note, 9/25/42 10,100,000 $893,339
Fannie Mae Trust 2005-W4, Floating Rate Note, 6/25/35 1,500,000 $254,769
Fannie Mae Whole Loan, Floating Rate Note, 11/25/46 6,020,000 $1,197,595
FCI - FIDJI LUXEMBOURG BC4 SARL, Term Loan, 12/19/20 1,400,000 $1,411,375
Federal Farm Credit Banks, Floating Rate Note, 1/20/15 1,490,000 $1,491,790
Federal Farm Credit Banks, Floating Rate Note, 10/23/14 3,500,000 $3,501,492
Federal Farm Credit Banks, Floating Rate Note, 12/15/14 3,000,000 $3,001,437
Federal Farm Credit Banks, Floating Rate Note, 3/4/15 1,360,000 $1,361,866
Federal Farm Credit Banks, Floating Rate Note, 7/16/14 5,529,000 $5,530,955
Federal Farm Credit Banks, Floating Rate Note, 9/24/14 2,440,000 $2,441,497
Federal Home Loan Banks, 2.5%, 6/13/14 10,855,000 $10,989,685
Federal Home Loan Banks, 2.9%, 4/20/17 4,130,000 $894,748
Federal Home Loan Banks, 5.739%, 7/18/14 2,050,000 $383,394
Federal Home Loan Banks, Floating Rate Note, 6/11/14 16,010,000 $16,018,597
Federal Home Loan Mortgage Corp., Floating Rate Note, 10/1/23 1,890,000 $10,358
Federal Home Loan Mortgage Corp., Floating Rate Note, 10/7/14 4,200,000 $4,206,552
Federal Home Loan Mortgage Corp., Floating Rate Note, 11/1/33 850,000 $15,887
Federal Home Loan Mortgage Corp., Floating Rate Note, 12/5/14 5,000,000 $5,001,798
Federal Home Loan Mortgage Corp., Floating Rate Note, 6/1/35 3,000,000 $8,008
Federal Home Loan Mortgage Corp., Floating Rate Note, 8/15/35 50,000,000 $5,914,787
Federal Home Loan Mortgage Corp. REMICS, 3.5%, 11/15/22 1,100,000 $4,859
Federal Home Loan Mortgage Corp. REMICS, 3.5%, 6/15/28 5,381,000 $945,848
Federal Home Loan Mortgage Corp. REMICS, 4.0%, 1/15/24 1,801,000 $107,912
Federal Home Loan Mortgage Corp. REMICS, 4.0%, 11/15/23 95,000 $76,648
Federal Home Loan Mortgage Corp. REMICS, 4.0%, 12/15/22 4,041,000 $150,095
Federal Home Loan Mortgage Corp. REMICS, 5.0%, 12/15/32 410,000 $24,622
Federal Home Loan Mortgage Corp. REMICS, 5.0%, 6/15/34 1,318,000 $200,563
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 1/15/33 40,500,000 $633,527
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 1/15/36 1,837,000 $450,541
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 1/15/37 63,238,000 $4,750,795
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 10/15/20 1,400,000 $172,407
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 10/15/31 1,750,000 $112,824
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 10/15/37 9,195,000 $863,258
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 10/15/37 18,287,000 $1,560,865
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 11/15/18 7,142,857 $165,693
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 11/15/31 20,187,077 $169,150
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 11/15/33 2,550,000 $359,409
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 11/15/35 850,000 $214,877
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 11/15/36 2,850,000 $583,237
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 11/15/36 3,416,433 $203,641
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 11/15/36 5,342,000 $1,146,354
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 11/15/40 1,265,000 $716,959
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/20 1,000,000 $194,351
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/28 56,250,000 $548,698
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/32 9,063,000 $891,113
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/32 15,400,000 $291,363
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/32 1,700,000 $37,596
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/32 2,500,000 $15,321
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/32 4,138,000 $406,614
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/36 17,426,100 $1,602,764
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/39 2,334,000 $1,055,150
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/41 1,000,000 $756,552
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/19 4,675,000 $436,956
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/25 2,142,856 $569,085
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/29 23,100,000 $304,582
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/30 2,056,750 $1,051,895
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/33 49,250,000 $768,196
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/33 15,000,000 $515,044
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/36 5,000,000 $480,606
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/36 4,291,000 $881,435
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/37 23,400,000 $1,691,325
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/39 1,251,000 $743,276
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 3/15/24 6,200,000 $1,767,942
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 3/15/32 64,920,000 $893,081
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 3/15/32 22,000,000 $209,941
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 3/15/32 122,751,000 $1,273,644
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 3/15/36 5,000,000 $1,339,067
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 3/15/39 1,000,000 $335,595
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 3/15/41 13,046,000 $3,625,743
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 4/15/35 1,775,000 $439,458
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 4/15/36 3,463,000 $818,872
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 5/15/29 15,000,000 $155,363
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 5/15/33 2,000,000 $283,104
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 5/15/35 3,925,000 $952,603
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 5/15/35 10,200,000 $900,213
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 5/15/36 7,791,000 $651,594
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 5/15/37 5,000,000 $423,625
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 5/15/37 3,000,000 $326,866
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 5/15/41 340,000 $127,398
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 6/15/23 6,500,000 $154,479
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 6/15/33 10,000,000 $641,234
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 6/15/36 5,835,000 $694,275
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 6/15/36 52,250,000 $2,499,315
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 6/15/38 4,056,000 $1,171,778
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 7/15/21 17,312,039 $353,947
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 7/15/23 2,924,000 $765,591
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 7/15/34 5,000,000 $720,867
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 7/15/36 15,317,285 $1,404,867
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 7/15/36 5,000,000 $1,215,271
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 7/15/36 1,200,000 $61,787
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 7/15/40 2,570,000 $650,095
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 8/15/26 1,330,000 $556,462
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 8/15/35 5,000,000 $1,063,811
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 8/15/35 2,185,000 $499,699
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 8/15/36 17,556,000 $1,128,152
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 9/15/26 1,427,500 $923,465
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 9/15/32 10,000,000 $263,332
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 9/15/36 3,470,000 $365,577
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 9/15/36 3,320,000 $464,500
Federal National Mortgage Association, Floating Rate Note, 1/20/15 760,000 $760,353
Federal National Mortgage Association, Floating Rate Note, 1/27/15 2,135,000 $2,139,085
Federal National Mortgage Association, Floating Rate Note, 10/27/14 2,370,000 $2,373,538
Federal National Mortgage Association, Floating Rate Note, 11/21/14 1,650,000 $1,653,056
Federal National Mortgage Association, Floating Rate Note, 12/15/14 1,400,000 $1,403,745
Federal National Mortgage Association, Floating Rate Note, 12/25/33 25,758,805 $8,178,688
Federal National Mortgage Association, Floating Rate Note, 2/25/38 50,000,000 $16,677,199
Federal National Mortgage Association, Floating Rate Note, 4/25/45 750,000 $149,909
Federal National Mortgage Association, Floating Rate Note, 6/20/14 4,829,000 $4,829,485
Federal National Mortgage Association, Floating Rate Note, 6/23/14 6,700,000 $6,705,635
Federal National Mortgage Association, Floating Rate Note, 8/11/14 9,065,000 $9,071,007
Federal National Mortgage Association, Floating Rate Note, 8/25/14 1,800,000 $1,801,162
Federal National Mortgage Association REMICS, 4.0%, 6/25/37 3,650,000 $298,333
Federal National Mortgage Association REMICS, 4.5%, 1/25/38 4,850,000 $15,222
Federal National Mortgage Association REMICS, 4.5%, 1/25/39 820,000 $80,041
Federal National Mortgage Association REMICS, 6.0%, 3/25/35 1,000,000 $68,646
Federal National Mortgage Association REMICS, Floating Rate Note, 1/18/32 16,977,308 $290,068
Federal National Mortgage Association REMICS, Floating Rate Note, 1/25/32 30,000,000 $467,169
Federal National Mortgage Association REMICS, Floating Rate Note, 1/25/33 13,036,000 $531,348
Federal National Mortgage Association REMICS, Floating Rate Note, 1/25/40 5,000,000 $504,995
Federal National Mortgage Association REMICS, Floating Rate Note, 10/25/35 6,475,000 $747,722
Federal National Mortgage Association REMICS, Floating Rate Note, 10/25/35 625,000 $36,390
Federal National Mortgage Association REMICS, Floating Rate Note, 10/25/36 71,456,000 $3,178,562
Federal National Mortgage Association REMICS, Floating Rate Note, 10/25/37 1,030,000 $156,207
Federal National Mortgage Association REMICS, Floating Rate Note, 10/25/37 2,400,000 $755,436
Federal National Mortgage Association REMICS, Floating Rate Note, 10/25/38 6,344,000 $820,753
Federal National Mortgage Association REMICS, Floating Rate Note, 10/27/37 2,382,000 $2,377,033
Federal National Mortgage Association REMICS, Floating Rate Note, 11/18/32 105,671,000 $2,299,891
Federal National Mortgage Association REMICS, Floating Rate Note, 11/25/31 44,000,000 $461,165
Federal National Mortgage Association REMICS, Floating Rate Note, 11/25/31 50,000,000 $524,051
Federal National Mortgage Association REMICS, Floating Rate Note, 11/25/33 10,000,000 $903,774
Federal National Mortgage Association REMICS, Floating Rate Note, 11/25/34 9,662,000 $861,512
Federal National Mortgage Association REMICS, Floating Rate Note, 11/25/36 1,625,000 $397,625
Federal National Mortgage Association REMICS, Floating Rate Note, 12/25/23 5,000,000 $411,267
Federal National Mortgage Association REMICS, Floating Rate Note, 12/25/23 13,749,086 $124,919
Federal National Mortgage Association REMICS, Floating Rate Note, 12/25/30 20,000,000 $105,655
Federal National Mortgage Association REMICS, Floating Rate Note, 12/25/31 30,500,000 $1,367,735
Federal National Mortgage Association REMICS, Floating Rate Note, 12/25/32 14,000,000 $473,104
Federal National Mortgage Association REMICS, Floating Rate Note, 12/25/32 15,000,000 $356,407
Federal National Mortgage Association REMICS, Floating Rate Note, 12/25/35 3,750,000 $445,755
Federal National Mortgage Association REMICS, Floating Rate Note, 12/25/36 4,800,000 $333,187
Federal National Mortgage Association REMICS, Floating Rate Note, 12/25/37 21,428,000 $859,450
Federal National Mortgage Association REMICS, Floating Rate Note, 12/25/38 400,000 $286,551
Federal National Mortgage Association REMICS, Floating Rate Note, 12/25/49 2,000,000 $336,173
Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/17 14,970,453 $18,692
Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/33 16,918,890 $1,014,493
Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/33 10,610,000 $437,707
Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/35 2,497,000 $873,150
Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/37 20,692,000 $1,153,681
Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/37 5,150,000 $633,257
Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/38 2,184,000 $721,309
Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/38 4,400,000 $355,921
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/23 17,080,403 $199,419
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/24 14,460,650 $632,496
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/28 24,210,000 $355,054
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/34 20,624,640 $1,388,281
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/36 700,000 $125,992
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/37 3,413,000 $571,118
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/37 2,300,000 $283,659
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/37 30,888,000 $939,702
Federal National Mortgage Association REMICS, Floating Rate Note, 4/25/25 540,000 $117,899
Federal National Mortgage Association REMICS, Floating Rate Note, 4/25/30 5,000,000 $180,575
Federal National Mortgage Association REMICS, Floating Rate Note, 4/25/32 35,072,000 $2,282,782
Federal National Mortgage Association REMICS, Floating Rate Note, 4/25/33 36,000,000 $1,169,137
Federal National Mortgage Association REMICS, Floating Rate Note, 4/25/37 3,381,809 $745,379
Federal National Mortgage Association REMICS, Floating Rate Note, 4/25/42 642,857 $497,492
Federal National Mortgage Association REMICS, Floating Rate Note, 5/25/33 15,932,000 $460,026
Federal National Mortgage Association REMICS, Floating Rate Note, 5/25/36 13,100,000 $1,668,486
Federal National Mortgage Association REMICS, Floating Rate Note, 5/25/36 23,900,354 $998,518
Federal National Mortgage Association REMICS, Floating Rate Note, 5/25/37 32,172,000 $1,372,140
Federal National Mortgage Association REMICS, Floating Rate Note, 5/25/40 2,619,152 $1,339,559
Federal National Mortgage Association REMICS, Floating Rate Note, 5/25/40 8,500,000 $1,643,735
Federal National Mortgage Association REMICS, Floating Rate Note, 5/25/40 500,000 $326,160
Federal National Mortgage Association REMICS, Floating Rate Note, 6/25/23 3,460,000 $232,396
Federal National Mortgage Association REMICS, Floating Rate Note, 6/25/36 8,454,822 $1,011,110
Federal National Mortgage Association REMICS, Floating Rate Note, 6/25/37 900,000 $120,768
Federal National Mortgage Association REMICS, Floating Rate Note, 6/25/37 7,474,000 $1,103,290
Federal National Mortgage Association REMICS, Floating Rate Note, 6/25/37 632,250 $89,708
Federal National Mortgage Association REMICS, Floating Rate Note, 6/25/37 3,590,000 $400,046
Federal National Mortgage Association REMICS, Floating Rate Note, 7/18/27 10,000,000 $43,443
Federal National Mortgage Association REMICS, Floating Rate Note, 7/25/31 50,000,000 $358,354
Federal National Mortgage Association REMICS, Floating Rate Note, 7/25/31 48,885,770 $507,186
Federal National Mortgage Association REMICS, Floating Rate Note, 7/25/32 15,000,000 $236,515
Federal National Mortgage Association REMICS, Floating Rate Note, 7/25/34 7,443,000 $559,139
Federal National Mortgage Association REMICS, Floating Rate Note, 7/25/34 2,500,000 $163,892
Federal National Mortgage Association REMICS, Floating Rate Note, 7/25/35 9,145,238 $2,210,351
Federal National Mortgage Association REMICS, Floating Rate Note, 7/25/35 23,056,000 $3,147,471
Federal National Mortgage Association REMICS, Floating Rate Note, 7/25/36 2,000,000 $319,854
Federal National Mortgage Association REMICS, Floating Rate Note, 7/25/37 1,942,360 $330,916
Federal National Mortgage Association REMICS, Floating Rate Note, 8/25/31 17,600,000 $235,646
Federal National Mortgage Association REMICS, Floating Rate Note, 8/25/32 5,000,000 $102,870
Federal National Mortgage Association REMICS, Floating Rate Note, 8/25/33 485,000 $22,649
Federal National Mortgage Association REMICS, Floating Rate Note, 8/25/36 4,450,000 $297,716
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/20 13,700,000 $43,721
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/21 8,269,375 $86,879
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/32 19,400,000 $292,500
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/32 20,000,000 $436,661
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/33 19,984,406 $2,549,335
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/36 12,500,000 $29,051
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/36 13,053,000 $1,057,829
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/37 9,159,000 $442,745
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/37 1,915,000 $278,456
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/37 7,400,000 $1,062,418
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/37 3,173,000 $475,239
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/38 1,000,000 $14,625
Ffcb Flt% 09mar15 2,200,000 $2,199,494
Fhlmc Flt% 15jan35 2916-Nf 5,669,000 $903,878
Fhlmc Flt% 26jun15 2,000,000 $2,000,625
Fiaot 0.89% 15sep17 13-3a-A2 220,000 $205,719
Fieldstone Mortgage Investment Trust Series 2005-1, Floating Rate Note, 3/25/35 1,457,000 $674,869
Fieldwood Energy LLC, 9/25/18 2,688,873 $2,694,396
Fifth Third Auto 2013-1, 0.59%, 3/15/16 100,000 $83,406
Fifth Third Bancorp, Floating Rate Note, 12/20/16 1,727,000 $1,716,746
Fifth Third Bank Cincinnati Ohio, 4.75%, 2/1/15 3,500,000 $3,652,108
Fifth Third Bank Cincinnati Ohio, Floating Rate Note, 11/18/16 1,800,000 $1,810,896
Fifth Third Bank Cincinnati Ohio, Floating Rate Note, 2/26/16 3,330,000 $3,339,664
First Franklin Mortgage Loan Trust 2004-FF10, Floating Rate Note, 9/25/34 1,161,072 $55,581
First Franklin Mortgage Loan Trust 2005-FFH3, Floating Rate Note, 9/25/35 2,951,000 $1,706,093
First Franklin Mortgage Loan Trust Series 2005-FF12, Floating Rate Note, 11/25/36 1,750,000 $291,127
First Horizon Mortgage Pass-Through Trust 2003-AR3, Floating Rate Note, 9/25/33 16,000,000 $1,233,222
First Investors Auto Owner Trust 2013-2, 1.23%, 3/15/19 (144A) 2,401,000 $1,848,066
First NLC Trust 2005-2, Floating Rate Note, 9/25/35 369,713 $169,809
Flagstar Home Equity Loan Trust 2005-1, Floating Rate Note, 6/25/18 (144A) 15,500,000 $1,370,026
Fly Funding II Sarl, 8/8/18 1,608,159 $1,619,550
FMG Resources August 2006 Pty, Ltd., 6/30/19 1,481,284 $1,481,400
FNA 2013-1 Trust, 1.98%, 1/10/18 2,199,000 $1,092,446
Foothill CLO, Ltd., Floating Rate Note, 2/22/21 (144A) 2,250,000 $1,696,303
Ford Credit Auto Lease Trust 2013-A, 0.46%, 5/15/15 2,015,000 $781,151
Ford Credit Auto Owner Trust 2011-A, 1.65%, 5/15/16 1,600,000 $726,582
Ford Credit Auto Owner Trust 2013-C, 0.55%, 4/15/16 1,480,000 $881,499
Ford Credit Auto Owner Trust 2014-A, 0.48%, 11/15/16 950,000 $950,466
Ford Credit Floorplan Master Owner Trust A, Floating Rate Note, 2/15/19 900,000 $900,451
Ford Credit Floorplan Master Owner Trust A, Floating Rate Note, 9/15/16 2,075,000 $2,076,682
Fore CLO, Ltd., Floating Rate Note, 7/20/19 (144A) 1,250,000 $444,502
Foresight Energy LLC, 8/21/20 820,875 $827,545
Fosse Master Issuer Plc, Floating Rate Note, 10/18/54 (144A) 1,000,000 $820,407
Fosse Master Issuer Plc, Floating Rate Note, 10/18/54 (144A) 1,380,000 $873,961
Foundation Re III, Ltd., Floating Rate Note, 2/25/15 (Cat Bond) (144A) 1,550,000 $1,564,441
Four Corners CLO II, Ltd., Floating Rate Note, 1/26/20 (144A) 553,000 $525,114
Four Seasons Holdings, Inc., 6/27/20 497,500 $496,878
Freddie Mac Strips, Floating Rate Note, 12/15/36 10,968,000 $850,483
Freddie Mac Strips, Floating Rate Note, 8/15/36 10,000,000 $624,277
Freddie Mac Strips, Floating Rate Note, 8/15/36 43,230,336 $2,703,557
Freddie Mac Structured Agency Credit Risk Debt Notes, Floating Rate Note, 11/25/23 2,250,000 $2,088,552
Freddie Mac Structured Agency Credit Risk Debt Notes, Floating Rate Note, 2/25/24 1,555,000 $1,527,612
Fremont Home Loan Trust 2005-2, Floating Rate Note, 6/25/35 9,000,000 $82,091
Fremont Home Loan Trust 2005-B, Floating Rate Note, 4/25/35 2,750,000 $840,792
Fresenius US Finance I, Inc., 8/7/19 1,492,500 $1,494,366
Gale Force 3 Clo, Ltd., Floating Rate Note, 4/19/21 (144A) 1,200,000 $840,829
Galileo Re, Ltd., Floating Rate Note, 1/9/19 (Cat Bond) (144A) 1,500,000 $1,550,233
Garda World Security Corp., 11/1/20 1,254,675 $1,251,931
Garda World Security Corp., 11/8/20 320,963 $320,261
Gardner Denver, Inc., 7/30/20 398,000 $398,199
Gates Investments LLC, 9/29/16 574,124 $575,342
Gator Re, Ltd., Floating Rate Note, 1/9/17 (Cat Bond) (144A) 2,000,000 $1,983,600
GE Business Loan Trust 2003-1, Floating Rate Note, 4/15/31 (144A) 20,374,890 $1,090,570
GE Business Loan Trust 2004-1, Floating Rate Note, 5/15/32 (144A) 7,667,511 $863,629
GE Business Loan Trust 2004-2, Floating Rate Note, 12/15/32 (144A) 5,810,863 $1,412,170
GE Business Loan Trust 2005-1, Floating Rate Note, 6/15/33 (144A) 4,489,882 $2,673,466
GE Business Loan Trust 2006-2, Floating Rate Note, 11/15/34 (144A) 6,967,382 $2,962,128
GE Business Loan Trust 2007-1, Floating Rate Note, 4/16/35 (144A) 4,787,273 $2,187,838
GE Capital Commercial Mortgage Corp., Floating Rate Note, 6/10/48 4,205,000 $4,299,308
GE Dealer Floorplan Master Note Trust, Floating Rate Note, 10/20/17 888,000 $890,226
GE Dealer Floorplan Master Note Trust, Floating Rate Note, 2/20/17 350,000 $350,511
GE Dealer Floorplan Master Note Trust, Floating Rate Note, 4/20/18 1,190,000 $1,193,594
GE Dealer Floorplan Master Note Trust, Floating Rate Note, 6/20/17 500,000 $499,090
GE Dealer Floorplan Master Note Trust, Floating Rate Note, 6/20/17 2,000,000 $2,006,189
GE Dealer Floorplan Master Note Trust, Floating Rate Note, 7/20/16 1,200,000 $1,200,924
GE Equipment Small Ticket LLC, 0.59%, 8/24/16 1,900,000 $1,901,046
GE Equipment Small Ticket LLC Series 2013-1, 0.73%, 1/25/16 (144A) 800,000 $786,117
GE Equipment Transportation LLC Series 2013-2, 0.61%, 6/24/16 1,520,000 $1,521,632
Ge Flt% 15may17 2,000,000 $1,999,836
Geisinger Authority, Floating Rate Note, 8/1/22 5,040,000 $5,040,228
Gemnt 1.03% 15jan18 12-1-A 900,000 $903,306
Gemnt Flt% 15jun18 12-4-A 2,700,000 $2,701,111
General Electric Capital Corp., 3.75%, 11/14/14 510,000 $518,808
General Electric Capital Corp., Floating Rate Note, 1/14/16 1,865,000 $1,867,935
General Electric Capital Corp., Floating Rate Note, 1/8/16 2,300,000 $2,318,334
General Electric Capital Corp., Floating Rate Note, 5/11/16 1,000,000 $1,000,376
General Electric Capital Corp., Floating Rate Note, 7/10/15 690,000 $692,897
General Electric Capital Corp., Floating Rate Note, 7/2/15 2,793,000 $2,828,398
General Electric Capital Corp., Floating Rate Note, 8/1/17 500,000 $502,518
General Mills, Inc., Floating Rate Note, 1/28/16 1,895,000 $1,897,026
General Mills, Inc., Floating Rate Note, 1/29/16 1,765,000 $1,770,682
Genpact International, Inc., 8/30/19 987,538 $990,006
Georgia Power Co., Floating Rate Note, 3/15/16 1,090,000 $1,090,309
Georgia Power Co., Floating Rate Note, 8/15/16 1,000,000 $1,000,736
Getty Images, Inc., 10/18/19 114,443 $110,819
Glencore Funding LLC, Floating Rate Note, 5/27/16 (144A) 1,800,000 $1,811,691
Glenn Pool Oil & Gas Trust, 5/2/16 34,766 $35,027
Global Container Assets 2013-1, Ltd., 2.2%, 11/5/28 (144A) 1,750,000 $1,442,486
Global Mortgage Securitization, Ltd., 5.25%, 4/25/32 (144A) 2,438,820 $803,850
Global Mortgage Securitization, Ltd., Floating Rate Note, 4/25/32 28,795,000 $3,083,247
GMAC Commercial Mortgage Securities Inc Series 2004-C2 Trust, Floating Rate Note, 8/10/38 5,341,000 $1,935,034
GMAC Commercial Mortgage Securities Inc Series 2005-C1 Trust, 4.697%, 5/10/43 3,547,000 $3,648,101
GMAT 2013-1 Trust, 3.9669%, 8/25/53 (Step) 1,900,000 $1,897,169
Golden State Re, Ltd., Floating Rate Note, 1/8/15 (Cat Bond) (144A) 750,000 $764,281
Government National Mortgage Association, 4.5%, 11/20/34 1,100,000 $70,644
Government National Mortgage Association, Floating Rate Note, 1/16/33 26,309,521 $1,151,952
Government National Mortgage Association, Floating Rate Note, 1/16/35 11,437,000 $1,366,597
Government National Mortgage Association, Floating Rate Note, 1/20/33 10,000,000 $184,241
Government National Mortgage Association, Floating Rate Note, 10/16/39 2,500,000 $457,644
Government National Mortgage Association, Floating Rate Note, 10/20/38 2,000,000 $822,853
Government National Mortgage Association, Floating Rate Note, 2/20/35 8,941,000 $1,326,061
Government National Mortgage Association, Floating Rate Note, 4/16/29 50,000,000 $622,707
Government National Mortgage Association, Floating Rate Note, 4/16/32 13,425,000 $267,614
Government National Mortgage Association, Floating Rate Note, 5/16/38 8,761,000 $887,660
Government National Mortgage Association, Floating Rate Note, 6/16/31 14,000,000 $270,289
Government National Mortgage Association, Floating Rate Note, 7/20/41 2,647,831 $1,736,742
Government National Mortgage Association, Floating Rate Note, 8/16/39 2,960,000 $603,825
Government National Mortgage Association, Floating Rate Note, 8/20/35 3,497,364 $597,041
Government National Mortgage Association, Floating Rate Note, 8/20/38 4,585,000 $536,467
Government National Mortgage Association, Floating Rate Note, 9/16/31 34,344,532 $802,635
Government National Mortgage Association II, Floating Rate Note, 1/20/22 1,000,000 $14,882
GP Portfolio Trust 2014-GGP, Floating Rate Note, 2/15/27 3,350,000 $3,355,438
Gracechurch Card Funding Plc, Floating Rate Note, 2/15/17 (144A) 1,205,000 $1,210,228
Gracechurch Card Funding Plc, Floating Rate Note, 5/15/19 (144A) 1,300,000 $1,319,103
Gracechurch Card Funding Plc, Floating Rate Note, 6/15/17 (144A) 2,200,000 $2,210,059
Gracechurch Mortgage Financing Plc, Floating Rate Note, 11/20/56 (144A) 2,500,000 $1,852,968
GreenPoint Mortgage Funding Trust 2005-HE1, Floating Rate Note, 9/25/34 1,357,437 $1,003,122
GreenPoint Mortgage Funding Trust 2005-HE4, Floating Rate Note, 7/25/30 95,421,717 $670,950
GreenPoint Mortgage Funding Trust 2005-HE4, Floating Rate Note, 7/25/30 2,051,321 $183,323
GRIFOLS WORLDWIDE OPERATIONS USA INC, U.S. Tranche B Term Loam, 4/1/21 525,000 $523,482
GSAA Home Equity Trust 2004-11, Floating Rate Note, 12/25/34 5,735,000 $327,099
GSAA Home Equity Trust 2004-6, Floating Rate Note, 6/25/34 52,357,062 $1,516,493
GSAA Home Equity Trust 2004-8, Floating Rate Note, 9/25/34 7,860,000 $311,802
GSAA Home Equity Trust 2005-11, Floating Rate Note, 10/25/35 4,339,000 $946,268
GSAMP Trust 2004-HE2, Floating Rate Note, 9/25/34 163,261,786 $1,442,317
GSAMP Trust 2004-SEA2, Floating Rate Note, 3/25/34 3,898,600 $3,708,731
GSAMP Trust 2005-HE1, Floating Rate Note, 12/25/34 5,414,212 $559,916
GSAMP Trust 2006-SEA1, Floating Rate Note, 5/25/36 (144A) 25,142,877 $2,678,330
GS Mortgage Securities Corp II, Floating Rate Note, 11/8/29 (144A) 2,300,000 $2,307,234
GSR Mortgage Loan Trust 2003-9, Floating Rate Note, 8/25/33 1,500,000 $101,447
GSRPM Mortgage Loan Trust 2003-2, Floating Rate Note, 6/25/33 1,826,298 $1,171,182
GSRPM Mortgage Loan Trust 2006-1, Floating Rate Note, 3/25/35 (144A) 7,593,737 $1,210,871
GSRPM Mortgage Loan Trust 2006-2, Floating Rate Note, 9/25/36 (144A) 5,483,897 $890,643
GTP Towers Issuer LLC, 8.112%, 2/15/15 (144A) 1,250,000 $1,283,688
HarborView Mortgage Loan Trust 2004-1, Floating Rate Note, 4/19/34 16,013,000 $723,441
HarborView Mortgage Loan Trust 2004-4, Floating Rate Note, 6/19/34 25,700,000 $256,072
Harch CLO III, Ltd., Floating Rate Note, 4/17/20 (144A) 500,000 $481,604
Harley-Davidson Motorcycle Trust 2011-2, 1.11%, 9/15/16 300,000 $100,129
Harley-Davidson Motorcycle Trust 2012-1, 0.68%, 4/15/17 2,600,000 $1,854,849
Harris County Health Facilities Development Corp., Floating Rate Note, 12/1/41 6,210,000 $6,210,315
Harris County Health Facilities Development Corp., Floating Rate Note, 12/1/41 9,340,000 $9,340,473
Hartford Life Global Funding Trusts, Floating Rate Note, 6/16/14 1,500,000 $1,501,298
Harvrd Cp Zero% 17jun14 Usd 7,130,000 $7,129,731
Hercules Capital Funding Trust 2012-1, 3.32%, 12/16/17 (144A) 400,000 $149,320
Hertz Fleet Lease Funding LP, Floating Rate Note, 12/10/27 (144A) 1,000,000 $1,002,295
Hertz Fleet Lease Funding LP, Floating Rate Note, 12/10/27 (144A) 500,000 $501,826
Hertz Fleet Lease Funding LP, Floating Rate Note, 4/10/28 (144A) 1,100,000 $1,100,319
Hilton USA Trust 2013-HLF, Floating Rate Note, 11/5/30 (144A) 2,475,000 $2,481,075
Hilton Worldwide Finance LLC, 9/23/20 1,125,000 $1,122,344
HJ Heinz Co., 6/5/20 1,588,000 $1,598,219
HLSS Servicer Advance Receivables Backed Notes Series 2013-T2, 1.1472%, 5/16/44 (144A) 4,240,000 $4,244,282
HLSS Servicer Advance Receivables Trust, 1.2437%, 1/17/45 3,750,000 $3,757,698
HLSS Servicer Advance Receivables Trust, 1.4953%, 1/16/46 (144A) 3,360,000 $3,365,929
Holmes Master Issuer Plc, Floating Rate Note, 10/15/54 (144A) 2,500,000 $1,679,607
Holmes Master Issuer Plc, Floating Rate Note, 10/15/54 (144A) 1,676,000 $1,222,044
Hologic, Inc., 8/1/19 916,837 $917,051
HomeBanc Mortgage Trust 2005-2, Floating Rate Note, 5/25/25 45,670,847 $2,035,347
Home Equity Asset Trust 2005-6, Floating Rate Note, 12/25/35 3,404,000 $3,356,085
Home Equity Asset Trust 2005-7, Floating Rate Note, 1/25/36 3,870,000 $2,178,103
Home Equity Asset Trust 2006-4, Floating Rate Note, 8/25/36 1,250,000 $405,068
Home Equity Asset Trust 2006-8, Floating Rate Note, 3/25/37 5,734,978 $2,390,848
Home Equity Mortgage Loan Asset-Backed Trust Series INABS 2005-C, Floating Rate Note, 10/25/35 4,000,000 $112,893
Homestar Mortgage Acceptance Corp., Floating Rate Note, 1/25/35 11,300,000 $1,759,752
Homestar Mortgage Acceptance Corp., Floating Rate Note, 3/25/34 50,182,000 $3,207,304
Homestar Mortgage Acceptance Corp., Floating Rate Note, 6/25/34 11,977,997 $1,222,190
Homestar Mortgage Acceptance Corp., Floating Rate Note, 7/25/34 19,310,000 $2,041,088
Honda Auto Receivables 2011-1 Owner Trust, 1.8%, 4/17/17 670,000 $315,621
Honda Auto Receivables 2011-2 Owner Trust, 1.55%, 8/18/17 950,000 $953,437
Honda Auto Receivables 2012-2 Owner Trust, 0.7%, 2/16/16 1,200,000 $788,571
Honda Auto Receivables 2013-1 Owner Trust, 0.35%, 6/22/15 1,375,000 $345,643
Honda Auto Receivables 2013-1 Owner Trust, 0.48%, 11/21/16 390,000 $390,321
Horizon Funding Trust 2013-1, 3.0%, 5/15/18 (144A) 2,777,000 $1,997,676
HSBC Bank Middle East, Ltd., 3.0%, 10/21/15 1,000,000 $1,026,250
HSBC Home Equity Loan Trust USA 2006-2, Floating Rate Note, 3/20/36 245,000 $44,318
HSBC Home Equity Loan Trust USA 2006-3, Floating Rate Note, 3/20/36 4,674,000 $4,626,133
HSBC Home Equity Loan Trust USA 2007-3, Floating Rate Note, 11/20/36 5,875,000 $1,651,921
HSBC Home Equity Loan Trust USA 2007-3, Floating Rate Note, 11/20/36 100,000 $72,564
HSBC USA, Inc., 2.375%, 2/13/15 3,064,000 $3,129,119
HSI Asset Securitization Corp Trust 2006-OPT1, Floating Rate Note, 12/25/35 1,369,377 $494,358
Hyperion Insurance Group, Ltd., 10/4/19 972,563 $968,915
Hyundai Auto Lease Securitization Trust 2012-A, 0.92%, 8/17/15 (144A) 1,000,000 $661,012
Hyundai Auto Receivables Trust 2013-A, 0.4%, 12/15/15 1,780,000 $575,713
Hyundai Capital Auto Funding VIII, Ltd., Floating Rate Note, 9/20/16 (144A) 4,279,000 $881,984
IASIS Healthcare LLC, 5/3/18 491,250 $492,417
Ibis Re II, Ltd., Floating Rate Note, 2/5/15 (Cat Bond) (144A) 300,000 $308,399
Ibis Re II, Ltd., Floating Rate Note, 6/28/16 (Cat Bond) (144A) 2,250,000 $2,272,575
Immucor, Inc., 8/19/18 219,418 $219,967
Impac CMB Trust Series 2003-8, Floating Rate Note, 10/25/33 5,200,000 $377,150
Impac CMB Trust Series 2004-4, Floating Rate Note, 9/25/34 49,152,075 $2,155,511
Impac CMB Trust Series 2004-4, Floating Rate Note, 9/25/34 42,840,193 $1,893,690
Impac CMB Trust Series 2004-5, Floating Rate Note, 10/25/34 27,915,000 $1,708,923
Impac CMB Trust Series 2004-5, Floating Rate Note, 8/25/34 9,850,000 $696,654
Impac CMB Trust Series 2004-6, Floating Rate Note, 10/25/34 6,591,000 $390,009
Impac CMB Trust Series 2004-7, Floating Rate Note, 11/25/34 22,339,000 $1,587,852
Impac CMB Trust Series 2004-8, Floating Rate Note, 8/25/34 2,122,000 $290,393
Impac CMB Trust Series 2004-8, Floating Rate Note, 8/25/34 3,500,000 $509,296
Impac CMB Trust Series 2004-9, Floating Rate Note, 1/25/35 14,700,000 $1,042,500
Impac Secured Assets CMN Owner Trust, Floating Rate Note, 11/25/34 30,931,007 $882,302
Impac Secured Assets Trust 2006-1, Floating Rate Note, 5/25/36 6,501,000 $2,205,261
Impac Secured Assets Trust 2006-2, Floating Rate Note, 8/25/36 4,987,000 $1,553,594
Impac Secured Assets Trust 2006-5, Floating Rate Note, 12/25/36 2,500,000 $616,777
Intelsat Jackson Holdings SA, 6/30/19 521,732 $523,145
Interactive Data 1st Lien Tl-B L + 3.75% 24apr21 214,038 $215,911
inVentiv Health, Inc., 5/15/18 66,656 $66,795
Invitation Homes 2013-SFR1 Trust, Floating Rate Note, 12/17/30 1,800,000 $1,807,000
Inwood Park CDO, Ltd., Floating Rate Note, 1/20/21 (144A) 3,500,000 $1,367,674
Irwin Whole Loan Home Equity Trust 2003-C, Floating Rate Note, 6/25/28 3,247,000 $986,052
IXIS Real Estate Capital Trust 2005-HE4, Floating Rate Note, 2/25/36 3,493,986 $768,835
Jackson National Life Global Funding, Floating Rate Note, 9/30/15 (144A) 2,000,000 $2,008,062
Jarden Corp., 9/30/20 995,000 $998,831
JBS USA LLC, 5/25/18 874,626 $874,079
JLL, Initial Dollar Term Loan, 1/23/21 305,000 $302,604
JMC Steel Group, Inc., 4/1/17 360,327 $362,354
John Deere Capital Corp., Floating Rate Note, 10/11/16 1,500,000 $1,505,987
John Deere Capital Corp., Floating Rate Note, 12/10/15 1,800,000 $1,802,550
JOHN DEERE CAPITAL Corp., Floating Rate Note, 2/25/16 2,883,000 $2,882,113
John Deere Owner Trust 2013-B, 0.55%, 1/15/16 100,000 $81,692
Jpmcc Flt% 15dec28 14-Fblu-B 3,510,000 $3,515,722
Jpmcc Flt% 15nov18 06-Fl2a-E 8,570,000 $1,905,622
JPMorgan Chase & Co., 1.1%, 10/15/15 1,528,000 $1,539,299
JPMorgan Chase & Co., Floating Rate Note, 10/15/15 2,000,000 $2,013,633
JPMorgan Chase & Co., Floating Rate Note, 2/15/17 2,000,000 $2,005,523
JPMorgan Chase & Co., Floating Rate Note, 2/26/16 1,800,000 $1,809,750
JPMorgan Chase & Co., Floating Rate Note, 3/31/16 1,000,000 $998,955
JP Morgan Chase Commercial Mortgage Securities Corp., 4.878%, 1/15/42 3,500,000 $3,562,930
JP Morgan Chase Commercial Mortgage Securities Corp., Floating Rate Note, 10/15/25 (144A) 2,350,000 $2,355,892
JP Morgan Chase Commercial Mortgage Securities Trust 2002-CIBC4, Floating Rate Note, 5/12/34 257,000 $159,059
JP Morgan Chase Commercial Mortgage Securities Trust 2004-LN2, Floating Rate Note, 7/15/41 (144A) 2,030,626 $748,015
JP Morgan Chase Commercial Mortgage Securities Trust 2005-CIBC11, Floating Rate Note, 8/12/37 5,345,000 $5,424,431
JP Morgan Chase Commercial Mortgage Securities Trust 2005-LDP1, Floating Rate Note, 3/15/46 3,110,000 $3,084,842
JP Morgan Chase Commercial Mortgage Securities Trust 2005-LDP3, Floating Rate Note, 8/15/42 1,485,000 $1,498,272
JP Morgan Chase Commercial Mortgage Securities Trust 2005-LDP4, Floating Rate Note, 10/15/42 3,950,000 $4,075,898
JP Morgan Chase Commercial Mortgage Securities Trust 2006-CIBC17, 5.45%, 12/12/43 48,000 $8,107
JP Morgan Chase Commercial Mortgage Securities Trust 2006-FL2, Floating Rate Note, 11/15/18 (144A) 500,000 $162,351
JP Morgan Chase Commercial Mortgage Securities Trust 2006-LDP9, Floating Rate Note, 5/15/47 200,000 $84,639
JP Morgan Chase Commercial Mortgage Securities Trust 2007-CIBC19, Floating Rate Note, 2/12/49 475,000 $127,598
JP Morgan Chase Commercial Mortgage Securities Trust 2007-LDP11, Floating Rate Note, 6/15/49 120,000 $13,837
JP Morgan Chase Commercial Mortgage Securities Trust 2013-ALC, Floating Rate Note, 7/17/26 (144A) 1,466,000 $1,490,956
JP Morgan Chase Commercial Mortgage Securities Trust 2013-FL3, Floating Rate Note, 4/15/28 (144A) 1,200,000 $1,191,508
JP Morgan Chase Commercial Mortgage Securities Trust 2013-INN, Floating Rate Note, 10/15/30 (144A) 2,445,000 $2,469,607
JP Morgan Chase Commercial Mortgage Securities Trust 2013-JWRZ, Floating Rate Note, 4/15/30 (144A) 4,975,000 $4,942,428
JP Morgan Chase Commercial Mortgage Securities Trust 2014-FBLU, Floating Rate Note, 12/15/28 2,910,000 $2,929,850
JP Morgan Chase Commercial Mortgage Securities Trust 2014-FL4, Floating Rate Note, 12/15/30 (144A) 1,500,000 $1,503,535
JP Morgan Mortgage Acquisition Corp 2005-FRE1, Floating Rate Note, 10/25/35 19,316,000 $1,372,672
JP Morgan Mortgage Acquisition Trust 2006-ACC1, Floating Rate Note, 5/25/36 2,895,912 $1,008,182
JP Morgan Mortgage Trust 2003-A1, Floating Rate Note, 10/25/33 12,490,305 $1,593,713
JP Morgan Mortgage Trust 2004-A5, Floating Rate Note, 12/25/34 1,119,000 $914,525
JP Morgan Mortgage Trust 2005-A4, Floating Rate Note, 7/25/35 1,500,000 $247,763
Kane Flt% 01dec20 2,008,000 $2,008,000
Kane Flt% 30jul16 1,006,000 $1,006,000
KeyBank NA Cleveland Ohio, Floating Rate Note, 11/25/16 1,800,000 $1,808,157
KeyCorp, 3.75%, 8/13/15 1,370,000 $1,434,768
KeyCorp Student Loan Trust 2004-A, Floating Rate Note, 10/28/41 500,000 $130,704
Kilimanjaro Re, Ltd., Floating Rate Note, 4/30/18 (Cat Bond) (144A) 2,000,000 $2,006,600
Kilimanjaro Re, Ltd., Floating Rate Note, 4/30/18 (Cat Bond) (144A) 1,000,000 $1,001,700
Kindred Healthcare 1st Lien Tl-B L + 3% 10apr21 717,764 $718,661
Kinetic Concepts, Inc., 5/4/18 591,233 $592,500
Kizuna II Re, Ltd., Floating Rate Note, 4/6/18 (Cat Bond) (144A) 1,800,000 $1,804,500
KKR Financial CLO 2007-1, Ltd., Floating Rate Note, 5/15/21 (144A) 650,000 $633,946
Kleopatra Acquisition Corp., 12/21/16 693,602 $699,094
Kubota Credit Owner Trust 2014-1, 0.58%, 2/15/17 800,000 $800,315
Lanark Master Issuer Plc, Floating Rate Note, 12/22/54 (144A) 2,000,000 $1,741,000
Lanark Master Issuer Plc, Floating Rate Note, 12/22/54 (144A) 1,250,000 $1,244,121
Landry's, Inc., 4/24/18 468,993 $470,531
Language Line LLC, 6/20/16 904,338 $906,598
Las Vegas Sands LLC, 12/19/20 438,900 $438,934
LB-UBS Commercial Mortgage Trust 2004-C1, 4.568%, 1/15/31 1,000,000 $127,523
LB-UBS Commercial Mortgage Trust 2004-C6, Floating Rate Note, 8/15/29 4,182,549 $902,576
LB-UBS Commercial Mortgage Trust 2005-C2, Floating Rate Note, 4/15/30 4,785,000 $4,943,234
LB-UBS Commercial Mortgage Trust 2005-C3, 4.739%, 7/15/30 4,490,000 $3,995,545
LB-UBS Commercial Mortgage Trust 2005-C7, Floating Rate Note, 11/15/30 (144A) 3,611,979 $3,751,222
LB-UBS Commercial Mortgage Trust 2008-C1, Floating Rate Note, 4/15/41 414,000 $225,644
LEAF Receivables Funding 9 LLC, 0.88%, 11/15/15 (144A) 1,500,000 $1,500,587
Lehman Brothers Small Balance Commercial, Floating Rate Note, 2/25/30 (144A) 6,250,000 $917,983
Lehman Brothers Small Balance Commercial, Floating Rate Note, 4/25/31 (144A) 6,464,393 $1,288,305
Lehman Brothers Small Balance Commercial, Floating Rate Note, 4/25/31 (144A) 17,333,137 $3,160,542
Lehman Brothers Small Balance Commercial, Floating Rate Note, 9/25/30 (144A) 10,120,098 $1,817,820
Lehman Brothers Small Balance Commercial Mortgage Trust 2007-3, Floating Rate Note, 10/25/37 (144A) 2,211,066 $1,961,819
Lehman Brothers Small Balance Commercial Mortgage Trust 2007-3, Floating Rate Note, 10/25/37 (144A) 4,080,200 $1,242,040
LifePoint Hospitals, Inc., 7/24/17 342,404 $342,689
Live Nation Entertainment, Inc., 8/17/20 774,110 $774,836
Livingston International, Inc., 4/18/19 496,250 $497,801
Loma Reinsurance, Ltd. Bermuda, Floating Rate Note, 1/8/18 (Cat Bond) (144A) 1,000,000 $1,040,554
Longpoint Re, Ltd., Floating Rate Note, 6/12/15 (Cat Bond) (144A) 1,300,000 $1,351,220
Longpoint Re, Ltd. III, Floating Rate Note, 5/18/16 (Cat Bond) (144A) 2,000,000 $2,016,067
Loudoun County Economic Development Authority, Floating Rate Note, 2/15/38 15,140,000 $15,140,664
Louisiana Public Facilities Authority, Floating Rate Note, 4/26/27 1,250,000 $1,151,348
Lower Neches Valley Authority Industrial Development Corp., Floating Rate Note, 11/1/38 16,475,000 $16,475,776
Madison Avenue Manufactured Housing Contract Trust 2002-A, Floating Rate Note, 3/25/32 500,000 $285,627
MALLINCKRODT INTERNATIONAL FINANCE SA, Initial Term B Loan, 3/6/21 975,000 $971,082
Manufacturers & Traders Trust Co., Floating Rate Note, 1/30/17 1,900,000 $1,906,294
Marathon Oil Corp., 0.9%, 11/1/15 709,000 $713,127
Maryland Health & Higher Educational Facilities Authority, Floating Rate Note, 7/1/36 8,890,000 $8,890,485
Massachusetts Health & Educational Facilities Authority, Floating Rate Note, 10/1/49 1,500,000 $1,500,061
MassMutual Global Funding II, Floating Rate Note, 12/11/15 (144A) 1,750,000 $1,752,736
MASTR Adjustable Rate Mortgages Trust 2003-3, Floating Rate Note, 9/25/33 2,650,000 $836,873
MASTR Adjustable Rate Mortgages Trust 2004-11, Floating Rate Note, 11/25/34 5,400,000 $1,930,541
MASTR Alternative Loan Trust 2005-1, Floating Rate Note, 2/25/35 21,274,000 $2,252,172
Mastr Asset Backed Securities Trust 2004-HE1, Floating Rate Note, 9/25/34 1,570,000 $164,623
Mastr Asset Backed Securities Trust 2005-FRE1, Floating Rate Note, 10/25/35 1,400,000 $107,591
Mastr Asset Backed Securities Trust 2006-AB1, Floating Rate Note, 2/25/36 12,307,204 $2,509,829
Mastr Asset Backed Securities Trust 2006-NC1, Floating Rate Note, 1/25/36 23,055,603 $3,775,438
MASTR Asset Securitization Trust 2003-6, Floating Rate Note, 7/25/18 7,302,000 $277,924
Mastr Specialized Loan Trust, Floating Rate Note, 1/25/36 (144A) 21,217,354 $1,878,901
MCC Georgia LLC, 1/20/20 738,750 $738,590
Mcdermott International Inc 1st Lien Tl-B L + 4.25% 11apr19 500,000 $503,125
McKesson Corp., Floating Rate Note, 9/10/15 625,000 $626,615
Medallion Trust Series 2007-1G, Floating Rate Note, 2/27/39 14,066,000 $38,648
Mediacom Illinois LLC, 3/31/18 1,400,000 $1,388,188
Mercedes-Benz Auto Lease Trust, Floating Rate Note, 6/15/16 1,900,000 $1,900,314
Mercedes-Benz Master Owner Trust, Floating Rate Note, 11/15/16 (144A) 1,000,000 $1,000,424
Merna Reinsurance V, Ltd., Floating Rate Note, 4/7/17 (Cat Bond) (144A) 2,000,000 $2,001,200
Merrill Lynch Mortgage Investors Trust Series 2005-2, Floating Rate Note, 10/25/35 2,000,000 $541,836
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-A, Floating Rate Note, 3/25/28 46,113,000 $1,877,723
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-C, Floating Rate Note, 6/25/28 44,308,430 $1,825,261
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-C, Floating Rate Note, 6/25/28 42,262,000 $2,095,555
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-E, Floating Rate Note, 10/25/28 38,289,000 $2,290,351
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-G, Floating Rate Note, 1/25/29 16,556,000 $248,045
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-H, Floating Rate Note, 1/25/29 24,460,400 $1,519,157
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-A, Floating Rate Note, 4/25/29 6,849,133 $438,632
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-B, Floating Rate Note, 5/25/29 12,160,000 $459,896
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-C, Floating Rate Note, 7/25/29 3,866,000 $167,621
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-C, Floating Rate Note, 7/25/29 41,778,000 $2,146,506
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-D, Floating Rate Note, 9/25/29 11,000,000 $807,690
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-E, Floating Rate Note, 11/25/29 51,192,450 $3,519,739
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-G, Floating Rate Note, 1/25/30 15,000,000 $1,119,243
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-G, Floating Rate Note, 1/25/30 47,698,025 $2,596,465
Merrill Lynch Mortgage Investors Trust Series MLCC 2005-A, Floating Rate Note, 3/25/30 39,366,746 $3,088,495
Merrill Lynch Mortgage Trust 2004-KEY2, Floating Rate Note, 8/12/39 1,519,492 $1,542,911
Merrill Lynch Mortgage Trust 2004-KEY2, Floating Rate Note, 8/12/39 1,155,000 $769,886
Merrill Lynch Mortgage Trust 2005-CIP1, Floating Rate Note, 7/12/38 2,170,000 $2,262,021
Metaldyne LLC, 12/18/18 1,956,991 $1,963,351
MetLife Institutional Funding II, 1.625%, 4/2/15 (144A) 2,350,000 $2,379,707
MetLife Institutional Funding II, Floating Rate Note, 1/6/15 (144A) 3,205,000 $3,215,076
MetroCat Re, Ltd., Floating Rate Note, 8/5/16 (Cat Bond) (144A) 1,500,000 $1,544,775
Metropolitan Life Global Funding I, 5.125%, 6/10/14 (144A) 720,000 $738,107
Metropolitan Life Global Funding I, Floating Rate Note, 7/15/16 (144A) 1,500,000 $1,512,886
MGM Resorts International, 12/20/19 1,234,375 $1,233,218
Michael Foods Group, Inc., 2/25/18 194,442 $194,726
Michaels Stores, Inc., 1/28/20 990,000 $991,959
Microsemi 1st Lien Tl L + 2.5% 14mar21 131,461 $130,907
Milacron LLC, 3/28/20 693,000 $694,733
Mirror BidCo Corp., 12/18/19 1,014,079 $1,015,346
Mississippi Business Finance Corp., Floating Rate Note, 11/1/35 3,000,000 $3,000,149
Mississippi Business Finance Corp., Floating Rate Note, 12/1/30 2,500,000 $2,500,117
Mississippi Business Finance Corp., Floating Rate Note, 12/1/30 2,600,000 $2,600,116
Mizuho Bank, Ltd., Floating Rate Note, 4/16/17 (144A) 1,000,000 $1,001,678
Monitronics International, Inc., 3/23/18 990,295 $992,565
Morgan Stanley, Floating Rate Note, 10/15/15 318,000 $318,651
Morgan Stanley, Floating Rate Note, 2/25/16 4,350,000 $4,411,314
Morgan Stanley ABS Capital I Inc Trust 2004-SD3, Floating Rate Note, 6/25/34 (144A) 41,830,000 $2,083,928
Morgan Stanley ABS Capital I Inc Trust 2005-NC2, Floating Rate Note, 3/25/35 2,521,041 $1,545,454
Morgan Stanley ABS Capital I Inc Trust 2005-WMC3, Floating Rate Note, 3/25/35 131,174 $84,713
Morgan Stanley Capital I, Inc., Floating Rate Note, 10/15/20 (144A) 2,650,000 $858,009
Morgan Stanley Capital I, Inc., Floating Rate Note, 10/15/20 (144A) 3,025,000 $3,009,552
Morgan Stanley Capital I Trust 2004-HQ4, 4.97%, 4/14/40 3,900,007 $988,183
Morgan Stanley Capital I Trust 2004-IQ8, Floating Rate Note, 6/15/40 3,830,000 $3,877,560
Morgan Stanley Capital I Trust 2005-HQ6, 4.989%, 8/13/42 6,250,000 $6,471,409
Morgan Stanley Capital I Trust 2005-HQ6, Floating Rate Note, 8/13/42 2,900,000 $3,014,493
Morgan Stanley Capital I Trust 2005-IQ10, Floating Rate Note, 9/15/42 2,910,000 $2,618,958
Morgan Stanley Capital I Trust 2005-TOP17, 4.78%, 12/13/41 2,027,000 $1,574,589
Morgan Stanley Capital I Trust 2005-TOP19, 4.89%, 6/12/47 3,150,000 $3,218,481
Morgan Stanley Mortgage Loan Trust 2005-5AR, Floating Rate Note, 9/25/35 38,687,000 $3,809,086
Morgan Stanley Mortgage Loan Trust 2005-6AR, Floating Rate Note, 11/25/35 6,309,000 $868,253
Morgan Stanley Mortgage Loan Trust 2005-6AR, Floating Rate Note, 11/25/35 14,045,000 $2,542,977
Morgan Stanley Re-REMIC Trust 2010-R4, Floating Rate Note, 7/26/36 (144A) 3,700,000 $558,450
Morgan Stanley Structured Trust, Floating Rate Note, 6/25/37 1,500,000 $235,964
MortgageIT Trust 2004-1, Floating Rate Note, 11/25/34 15,162,000 $2,194,330
MortgageIT Trust 2005-2, Floating Rate Note, 5/25/35 8,495,000 $1,750,055
Motel 6 Trust, 1.5%, 10/5/25 (144A) 1,000,000 $917,997
Motor 2013-1 Plc, Floating Rate Note, 2/25/21 (144A) 2,196,000 $1,573,397
MRFC Mortgage Pass-Through Trust Series 1999-TBC2, Floating Rate Note, 6/15/30 23,827,303 $1,596,329
MRFC Mortgage Pass-Through Trust Series 2000-TBC3, Floating Rate Note, 12/15/30 13,080,000 $718,062
Mufg Cp Zero% 10jun14 Usd 10,000,000 $9,999,667
Multi Packaging Solutions, Inc., 9/30/20 175,000 $175,365
Mystic Re, Ltd., Floating Rate Note, 3/12/15 (Cat Bond) (144A) 1,500,000 $1,587,300
Mystic Re, Ltd., Floating Rate Note, 3/12/15 (Cat Bond) (144A) 1,000,000 $1,041,100
Mythen Re, Ltd., Floating Rate Note, 5/7/15 (Cat Bond) (144A) 2,000,000 $2,094,870
Mythen Re, Ltd., Floating Rate Note, 5/7/15 (Cat Bond) (144A) 1,250,000 $1,301,710
Mythen Re, Ltd. Series 2012-2 Class A, Floating Rate Note, 1/5/17 (Cat Bond) (144A) 2,750,000 $2,941,636
Mythen Re, Ltd. Series 2012-2 Class A, Floating Rate Note, 11/10/16 (Cat Bond) (144A) 500,000 $535,493
Mythen Re, Ltd. Series 2013-1 Class B, Floating Rate Note, 7/9/15 (Cat Bond) (144A) 1,500,000 $1,551,233
National Australia Bank, Ltd., Floating Rate Note, 3/17/17 1,950,000 $1,952,991
National Australia Bank, Ltd., Floating Rate Note, 7/25/14 (144A) 3,125,000 $3,133,208
National City Bank Cleveland Ohio, Floating Rate Note, 12/15/16 2,850,000 $2,842,802
National City Corp., 4.9%, 1/15/15 2,750,000 $2,877,807
National Rural Utilities Cooperative Finance Corp., 1.0%, 2/2/15 3,300,000 $3,326,128
National Rural Utilities Cooperative Finance Corp., Floating Rate Note, 11/23/16 1,800,000 $1,804,200
National Rural Utilities Cooperative Finance Corp., Floating Rate Note, 5/1/15 2,720,000 $2,721,472
Nationstar Agency Advance Funding Trust 2013-T1A, 0.997%, 2/15/45 (144A) 2,250,000 $2,247,060
Nationstar Home Equity Loan Trust 2007-A, Floating Rate Note, 3/25/37 1,000,000 $689,381
Nationstar Mortgage Advance Receivables Trust 2013-T2, 1.679%, 6/20/46 (144A) 908,000 $908,012
Navios Maritime Partners LP, 6/27/18 1,492,500 $1,512,089
Navitas Equipment Receivables LLC 2013-1, 1.95%, 11/15/16 1,750,000 $1,278,784
NBCUniversal Enterprise, Inc., Floating Rate Note, 4/15/16 (144A) 2,694,000 $2,711,558
NBTY, Inc., 10/1/17 400,000 $400,688
NCUA Guaranteed Notes Trust, Floating Rate Note, 10/7/20 2,000,000 $1,045,703
NCUA Guaranteed Notes Trust, Floating Rate Note, 11/6/17 6,590,000 $2,847,930
NCUA Guaranteed Notes Trust, Floating Rate Note, 12/8/20 410,000 $300,421
NCUA Guaranteed Notes Trust, Floating Rate Note, 3/11/20 2,035,000 $1,140,168
NCUA Guaranteed Notes Trust, Floating Rate Note, 4/6/20 1,135,000 $344,469
NCUA Guaranteed Notes Trust REMICS, Floating Rate Note, 12/8/20 1,330,000 $975,645
NCUA Guaranteed Notes Trust REMICS, Floating Rate Note, 3/9/21 2,700,000 $1,431,226
Nelnet Student Loan Trust 2005-1, Floating Rate Note, 10/26/20 1,795,000 $652,419
NEP, 1/22/20 618,750 $619,755
New Century Home Equity Loan Trust 2005-1, Floating Rate Note, 3/25/35 5,042,000 $785,621
New Century Home Equity Loan Trust Series 2003-4, Floating Rate Note, 10/25/33 2,500,000 $1,466,644
New Residential Advance Receivables Trust Advance Receivables Backed 2014-T1, 1.2736%, 3/13/45 1,650,000 $1,651,264
NewStar Commercial Loan Trust 2007-1, Floating Rate Note, 9/30/22 (144A) 2,000,000 $1,384,063
New York Life Global Funding, 0.75%, 7/24/15 (144A) 1,000,000 $1,005,276
New York Life Global Funding, 1.3%, 1/12/15 (144A) 660,000 $667,404
New York Life Global Funding, Floating Rate Note, 10/5/15 (144A) 2,350,000 $2,350,347
New York Life Global Funding, Floating Rate Note, 5/23/16 (144A) 3,150,000 $3,168,748
New York Life Global Funding, Floating Rate Note, 7/30/14 (144A) 1,300,000 $1,300,440
Nhel Flt% 25mar35 04-4-M3 1,150,000 $645,790
Nisource Finance Corp., 5.4%, 7/15/14 2,731,000 $2,802,110
Nissan Auto Lease Trust, 0.98%, 5/15/15 1,700,000 $179,227
Nissan Auto Lease Trust, Floating Rate Note, 6/15/15 2,570,000 $424,708
Nissan Auto Lease Trust 2013-B, Floating Rate Note, 1/15/16 760,000 $760,881
Nissan Auto Receivables 2012-A Owner Trust, 0.73%, 5/16/16 55,000 $32,392
Nissan Auto Receivables 2013-A Owner Trust, 0.37%, 9/15/15 1,500,000 $353,985
Nissan Auto Receivables 2013-C Owner Trust, 0.4%, 6/15/16 2,075,000 $2,075,585
Nissan Master Owner Trust Receivables, Floating Rate Note, 5/15/17 570,000 $571,706
Nissan Motor Acceptance Corp., Floating Rate Note, 3/3/17 (144A) 2,000,000 $2,009,281
Nissan Motor Acceptance Corp., Floating Rate Note, 9/26/16 (144A) 1,500,000 $1,512,890
Nomura Asset Acceptance Corp Alternative Loan Trust Series 2004-AR4, Floating Rate Note, 12/25/34 1,170,000 $175,112
Nomura Asset Acceptance Corp Alternative Loan Trust Series 2005-WF1, 4.786%, 3/25/35 735,000 $94,126
Nomura Home Equity Loan Inc Home Equity Loan Trust Series 2005-FM1, Floating Rate Note, 5/25/35 1,700,000 $104,624
Nomura Home Equity Loan Inc Home Equity Loan Trust Series 2006-HE1, Floating Rate Note, 2/25/36 1,700,000 $194,623
Nomura Resecuritization Trust 2011-3R, Floating Rate Note, 7/26/37 (144A) 3,900,000 $3,719,823
Noranda Aluminum Acquisition Corp., 2/28/19 117,600 $113,190
Nordea Bank AB, Floating Rate Note, 4/4/17 (144A) 890,000 $892,084
Nordea Bank AB, Floating Rate Note, 5/13/16 (144A) 2,500,000 $2,514,163
Northshore Re, Ltd., Floating Rate Note, 7/5/16 (Cat Bond) (144A) 2,250,000 $2,340,638
NorthStar 2012-1 Mortgage Trust, Floating Rate Note, 8/25/29 (144A) 2,926,938 $2,070,384
NorthStar 2012-1 Mortgage Trust, Floating Rate Note, 8/25/29 (144A) 1,000,000 $1,014,794
NorthStar 2013-1, Floating Rate Note, 8/25/29 (144A) 2,784,000 $2,785,449
NovaStar Mortgage Funding Trust Series 2003-1, Floating Rate Note, 5/25/33 19,881,000 $471,541
NovaStar Mortgage Funding Trust Series 2004-4, Floating Rate Note, 3/25/35 2,443,000 $2,398,430
NPC International, Inc., 12/28/18 156,800 $156,898
NRG Energy, Inc., 7/1/18 1,179,402 $1,173,505
Nsany Cp Zero% 06jun14 Usd 2,000,000 $1,999,920
Nsany Cp Zero% 26jun14 Usd 2,000,000 $1,999,697
NSG Holdings LLC, 12/11/19 1,592,028 $1,597,999
NSTAR Electric Co., Floating Rate Note, 5/17/16 1,013,000 $1,011,896
Numericable Sfr 1st Lien Tl-B2 L + 3.75% 23apr20 231,923 $232,689
Numericable Us Llc Tl-B1 L + 3.75% 23apr20 268,077 $268,963
Ocwen Loan Servicing LLC, 2/15/18 1,391,397 $1,400,745
Offshore Group Investment, Ltd., 3/28/19 495,000 $492,525
On Assignment, Inc., 5/15/20 1,037,113 $1,035,384
Opteum Mortgage Acceptance Corp Asset Backed Pass-Through Certificates 2005-1, Floating Rate Note, 2 13,907,953 $125,831
Opteum Mortgage Acceptance Corp Asset Backed Pass-Through Certificates 2005-5, Floating Rate Note, 1 2,400,000 $345,676
Option One Mortgage Loan Trust 2005-1, Floating Rate Note, 2/25/35 600,000 $201,796
Option One Mortgage Loan Trust 2005-4 Asset-Backed Certificates Series 2005-4, Floating Rate Note, 1 15,850,508 $1,592,661
Option One Mortgage Loan Trust 2007-FXD2, 5.9%, 3/25/37 (Step) 810,000 $43,619
Option One Woodbridge Loan Trust 2002-1, Floating Rate Note, 9/25/14 (144A) 6,512,459 $1,487,346
ORES 2014-LV3 LLC, 3.0%, 3/27/24 (144A) 2,250,000 $2,152,318
ORES NPL 2013-LV2 LLC, 3.081%, 9/25/25 (144A) 1,558,000 $1,073,647
Origen Manufactured Housing Contract Trust 2004-B, Floating Rate Note, 11/15/35 1,240,000 $1,138,681
Oxford Finance Funding Trust 2012-1, 3.9%, 3/15/17 (144A) 2,710,000 $459,653
PACCAR Financial Corp., Floating Rate Note, 5/5/15 2,000,000 $2,002,907
PACCAR Financial Corp., Floating Rate Note, 6/5/14 5,660,000 $5,666,728
Park Place Securities Inc Asset-Backed Pass-Through Certificates Series 2004-MCW, Floating Rate Note 750,000 $417,979
Park Place Securities Inc Asset-Backed Pass-Through Certificates Series 2004-MHQ, Floating Rate Note 1,560,000 $105,658
Park Place Securities Inc Asset-Backed Pass-Through Certificates Series 2004-WWF, Floating Rate Note 1,900,000 $578,270
Park Place Securities Inc Asset-Backed Pass-Through Ctfs Ser 2004-WCW2, Floating Rate Note, 10/25/34 4,874,309 $624,891
Park Place Securities Inc Asset-Backed Pass-Through Ctfs Ser 2005-WHQ4, Floating Rate Note, 9/25/35 5,006,169 $1,823,178
Par Pharmaceutical Companies, Inc., 9/28/19 1,475,815 $1,474,893
Penn National Gaming, Inc., 10/25/20 538,650 $538,566
Penske Truck Leasing Co Lp, 2.5%, 7/11/14 (144A) 2,400,000 $2,427,932
Pepper Residential Securities Trust, Floating Rate Note, 10/18/14 (144A) 1,500,000 $1,500,395
Pepper Residential Securities Trust, Floating Rate Note, 4/10/15 2,000,000 $1,981,083
Pepper Residential Securities Trust, Floating Rate Note, 7/24/14 (144A) 1,000,000 $989,351
PepsiCo, Inc., Floating Rate Note, 2/26/16 860,000 $861,004
Permanent Master Issuer Plc, Floating Rate Note, 7/15/42 (144A) 887,000 $899,517
Permanent University Fund, Floating Rate Note, 7/1/37 11,670,000 $11,670,652
PF Chang's China Bistro, Inc., 6/22/19 843,691 $843,164
Pfe Flt% 15may17 2,100,000 $2,100,320
PFS Financing Corp., Floating Rate Note, 10/17/16 (144A) 2,185,723 $2,188,368
PFS Financing Corp., Floating Rate Note, 10/17/16 (144A) 325,276 $326,129
PFS Financing Corp., Floating Rate Note, 2/15/18 (144A) 2,340,000 $2,342,508
PFS Financing Corp., Floating Rate Note, 2/15/19 (144A) 2,000,000 $2,003,151
PFS Tax Lien Trust 2014-1, 1.44%, 5/15/29 1,300,000 $1,301,235
PHARMEDIUM HEALTHCARE Corp., Initial Term Loan (First Lien), 1/23/21 270,000 $270,056
Philip Morris International, Inc., Floating Rate Note, 2/26/15 1,500,000 $1,500,035
Pilot Travel Centers LLC, 3/30/18 98,250 $98,617
Pinnacle Entertainment, Inc., 8/13/20 235,070 $235,274
Pinnacle Foods Finance LLC, 4/29/20 1,326,600 $1,321,072
PNC Bank NA, Floating Rate Note, 1/28/16 2,250,000 $2,253,168
PNC Bank NA, Floating Rate Note, 4/29/16 3,268,000 $3,271,088
PNC Funding Corp., 5.4%, 6/10/14 1,585,000 $1,626,919
PQ Corp., 8/7/17 938,125 $941,937
Prestige Auto Receivables Trust 2014-1, 0.97%, 3/15/18 (144A) 1,900,000 $1,901,319
Prestige Brands, Inc., 1/31/19 550,259 $551,634
Principal Life Global Funding II, Floating Rate Note, 5/27/16 (144A) 2,530,000 $2,542,145
Progreso Receivables Funding I LLC, 4.0%, 7/9/18 (144A) 1,800,000 $1,811,350
Progressive Waste Solutions, Ltd., 10/24/19 1,179,045 $1,179,045
Province of Ontario Canada, Floating Rate Note, 4/1/15 1,800,000 $1,803,206
Prudential Financial, Inc., 3.875%, 1/14/15 290,000 $300,577
PVH Corp., 2/13/20 1,578,700 $1,588,932
Queen City Re, Floating Rate Note, 1/6/19 (Cat Bond) (144A) 1,750,000 $1,717,367
Queen Street III Capital, Ltd., Floating Rate Note, 7/28/14 (144A) 1,750,000 $1,772,925
Queen Street IV Capital, Ltd., Floating Rate Note, 4/9/15 (Cat Bond) (144A) 2,250,000 $2,320,200
Queen Street VII Re, Ltd., Floating Rate Note, 4/8/16 (Cat Bond) (144A) 1,750,000 $1,853,775
Queen Street VI Re, Ltd., Floating Rate Note, 4/9/15 (Cat Bond) (144A) 250,000 $263,425
Queen Street V Re, Ltd., Floating Rate Note, 4/9/15 (Cat Bond) (144A) 1,250,000 $1,297,875
Quest Trust, Floating Rate Note, 3/25/34 (144A) 55,089,092 $2,484,157
RAAC Series 2005-RP1 Trust, Floating Rate Note, 7/25/37 (144A) 2,130,580 $1,394,354
RAAC Series 2005-RP2 Trust, Floating Rate Note, 6/25/35 (144A) 4,005,000 $1,308,411
RAAC Series 2005-RP3 Trust, Floating Rate Note, 5/25/39 (144A) 2,000,000 $1,574,767
RAAC Series 2006-RP1 Trust, Floating Rate Note, 10/25/45 (144A) 15,300,000 $793,502
RAAC Series 2006-RP2 Trust, Floating Rate Note, 2/25/37 (144A) 26,822,396 $2,870,063
Rait14-Fl2 Flt% 13may31 B 3,000,000 $2,954,318
RALI Series 2002-QS16 Trust, Floating Rate Note, 10/25/17 5,500,000 $120,937
RALI Series 2003-QS11 Trust, Floating Rate Note, 6/25/33 44,273,266 $2,288,196
RALI Series 2003-QS22 Trust, Floating Rate Note, 12/26/33 8,400,000 $939,433
RALI Series 2003-QS5 Trust, Floating Rate Note, 3/25/18 30,000,000 $1,238,173
RALI Series 2003-QS9 Trust, Floating Rate Note, 5/25/18 34,469,500 $1,679,356
RALI Series 2004-QR1 Trust, 5.25%, 10/25/34 66,901,390 $2,306,954
RALI Series 2004-QS16 Trust, 5.5%, 12/25/34 4,200,000 $315,007
RALI Series 2004-QS1 Trust, 4.25%, 1/25/34 4,500,000 $49,375
RALI Series 2004-QS1 Trust, Floating Rate Note, 1/25/34 4,000,000 $61,596
RALI Series 2004-QS5 Trust, 4.75%, 4/25/34 12,155,000 $788,017
RALI Series 2004-QS5 Trust, Floating Rate Note, 4/25/34 9,566,021 $608,370
RAMP Series 2004-RS11 Trust, Floating Rate Note, 11/25/34 700,000 $243,397
RAMP Series 2005-RS6 Trust, Floating Rate Note, 6/25/35 1,393,325 $1,029,686
RAMP Series 2005-RZ4 Trust, Floating Rate Note, 11/25/35 21,876,980 $201,159
RAMP Series 2006-EFC1 Trust, Floating Rate Note, 2/25/36 1,500,000 $26,474
RAMP Series 2006-NC1 Trust, Floating Rate Note, 1/25/36 4,150,000 $339,133
RAMP Series 2006-RZ3 Trust, Floating Rate Note, 8/25/36 10,534,000 $2,857,790
Ranpak Corp., 4/23/19 190,964 $192,158
RASC Series 2005-EMX2 Trust, Floating Rate Note, 7/25/35 157,752 $59,950
RASC Series 2005-KS3 Trust, Floating Rate Note, 4/25/35 500,000 $202,935
RASC Series 2005-KS7 Trust, Floating Rate Note, 8/25/35 4,600,000 $373,604
RASC Series 2006-KS1 Trust, Floating Rate Note, 2/25/36 8,211,000 $406,538
Rbscf 3.686% 15apr24 10-Mb1-A2 8,160,000 $6,162,772
RBSSP Resecuritization Trust 2009-5, Floating Rate Note, 8/26/37 (144A) 7,810,000 $2,863,420
Regatta Funding, Ltd., Floating Rate Note, 6/15/20 (144A) 2,000,000 $1,373,062
RegionalCare Hospital Partners, Inc., 4/21/19 493,763 $492,219
RENT-A-CENTER, INC, Term Loan (2014), 2/6/21 1,750,000 $1,736,875
Residential Asset Securitization Trust 2003-A15, Floating Rate Note, 2/25/34 10,120,000 $679,184
Residential Asset Securitization Trust 2003-A2, Floating Rate Note, 5/25/33 9,443,647 $367,775
Residential Reinsurance 2011, Ltd., Floating Rate Note, 12/6/16 (Cat Bond) (144A) 1,450,000 $1,547,589
Residential Reinsurance 2011, Ltd., Floating Rate Note, 6/6/15 (Cat Bond) (144A) 1,750,000 $1,862,000
Residential Reinsurance 2011, Ltd., Floating Rate Note, 6/6/17 (Cat Bond) (144A) 500,000 $531,281
Residential Reinsurance 2012, Ltd., Floating Rate Note, 12/6/16 (Cat Bond) (144A) 750,000 $790,002
Residential Reinsurance 2012, Ltd., Floating Rate Note, 12/6/16 (Cat Bond) (144A) 2,900,000 $2,999,035
Residential Reinsurance 2012, Ltd., Floating Rate Note, 6/6/16 (Cat Bond) (144A) 750,000 $830,858
Residential Reinsurance 2012, Ltd., Floating Rate Note, 6/6/16 (Cat Bond) (144A) 1,150,000 $1,295,577
Residential Reinsurance 2013, Ltd., Floating Rate Note, 6/6/17 (Cat Bond) (144A) 1,100,000 $1,167,647
Resid Flt% 06jun18 144a 750,000 $749,925
RESI Finance LP, Floating Rate Note, 9/10/35 (144A) 9,871,589 $2,000,370
Resimac MBS Trust, Floating Rate Note, 3/7/15 (144A) 1,500,000 $1,500,345
Resimac MBS Trust, Floating Rate Note, 6/7/14 1,750,000 $1,743,118
Resource Capital Corp CRE Notes 2013, Ltd., Floating Rate Note, 6/15/16 (144A) 3,000,000 $3,003,083
Revlon Consumer Products Corp., 11/19/17 976,136 $977,357
Revlon Consumer Products Corp., 8/19/19 374,063 $374,998
Reynolds Group Holdings, Inc., 12/31/18 791,258 $793,126
RFSC Series 2003-RP2 Trust, Floating Rate Note, 7/25/41 (144A) 2,000,000 $1,288,167
Rio Tinto Finance USA Plc, Floating Rate Note, 6/17/16 1,130,000 $1,143,747
Riverfront Re, Ltd., Floating Rate Note, 1/6/17 (Cat Bond) (144A) 1,000,000 $980,600
Rovi Solutions Corp., 3/29/19 1,547,422 $1,542,586
Royal Bank of Canada, Floating Rate Note, 1/23/17 1,875,000 $1,877,604
Royal Bank of Canada, Floating Rate Note, 1/6/15 2,200,000 $2,204,430
Royal Bank of Canada, Floating Rate Note, 10/30/14 2,700,000 $2,710,369
Royal Bank of Canada, Floating Rate Note, 12/16/15 1,800,000 $1,805,010
Royal Bank of Canada, Floating Rate Note, 9/9/16 2,000,000 $2,013,535
RPI Finance Trust, 11/9/18 627,078 $628,907
RPI Finance Trust, 5/9/18 1,019,793 $1,022,465
RREF 2012 LT1 LLC, 2.85%, 5/15/24 2,000,000 $2,003,702
RREF 2013 LT2 LLC, 2.8331%, 5/22/28 (144A) 3,000,000 $1,234,396
Ruby Western Pipeline Holdings LLC, 3/27/20 801,336 $802,088
Ryder System, Inc., 3.15%, 3/2/15 2,000,000 $2,055,556
SACO I Trust 2005-8, Floating Rate Note, 11/25/35 31,285,727 $667,955
Salix Pharmaceuticals, Ltd., 12/17/19 444,375 $447,245
Salomon Brothers Mortgage Securities VII, Inc., Floating Rate Note, 3/25/28 49,537,000 $102,973
Salomon Mortgage Loan Trust Series 2001-CB4, Floating Rate Note, 11/25/33 4,754,000 $136,067
Samson Investment Co., 9/25/18 400,000 $400,786
Sanders Re, Ltd., Floating Rate Note, 5/5/17 (Cat Bond) (144A) 2,500,000 $2,490,583
Sanders Re, Ltd., Floating Rate Note, 5/5/17 (Cat Bond) (144A) 1,500,000 $1,496,500
Sandre Flt% 07jun17 144a 2,000,000 $2,000,000
Sandre Flt% 25may18 1,000,000 $991,500
Santander Drive Auto Receivables Trust, 0.62%, 7/15/16 987,000 $689,350
Santander Drive Auto Receivables Trust, Floating Rate Note, 8/15/17 1,550,000 $1,550,549
Santander Drive Auto Receivables Trust 2011-S2, 2.06%, 6/15/17 (144A) 400,000 $36,717
Santander Drive Auto Receivables Trust 2012-2, 1.22%, 12/15/15 756,000 $77,950
Santander Drive Auto Receivables Trust 2012-5, 0.83%, 12/15/16 1,600,000 $1,200,035
Santander Holdings USA, Inc. Pennsylvania, 3.0%, 9/24/15 4,502,000 $4,659,770
Sarmlt Flt% 25nov34 04-17-A1 62,595,000 $3,330,063
SASCO Mortgage Loan Trust 2005-GEL1, Floating Rate Note, 12/25/34 1,590,000 $1,201,760
SASCO Mortgage Loan Trust 2005-GEL2, Floating Rate Note, 4/25/35 28,476,673 $655,131
Saxon Asset Securities Trust 2005-3, Floating Rate Note, 11/25/35 1,945,000 $1,902,225
Saxon Asset Securities Trust 2005-4, Floating Rate Note, 11/25/37 31,986,000 $1,888,167
Saxon Asset Securities Trust 2006-3, Floating Rate Note, 10/25/46 2,800,000 $13,819
SBA Senior Finance II LLC, 3/31/21 600,000 $596,947
SBI Home Equity Loan Trust 2006-1, Floating Rate Note, 8/25/36 (144A) 2,950,000 $1,009,228
Schaeffler 1st Lien Tl-E L + 3% 15may20 683,943 $688,279
Seadrill Operating LP, 2/14/21 2,743,125 $2,734,339
Sealed Air Corp., 10/3/18 577,379 $579,124
Sebny 0.4% 06jun14 16,900,000 $16,966,958
Select Medical Corp., 6/1/18 236,016 $235,869
Seminole Hard Rock Entertainment, Inc., 5/14/20 595,500 $593,391
Seminole Tribe of Florida, Inc., 4/29/20 1,395,000 $1,392,602
Sensata Technologies BV, 5/12/18 531,443 $534,480
Sequa Corp., 6/19/17 419,688 $416,103
Sequoia Mortgage Trust 10, Floating Rate Note, 10/20/27 6,100,000 $134,770
Sequoia Mortgage Trust 2003-2, Floating Rate Note, 6/20/33 13,097,000 $579,461
Sequoia Mortgage Trust 2003-5, Floating Rate Note, 9/20/33 5,000,000 $261,723
Sequoia Mortgage Trust 2003-8, Floating Rate Note, 1/20/34 5,750,000 $304,473
Sequoia Mortgage Trust 2004-10, Floating Rate Note, 11/20/34 3,885,000 $422,861
Sequoia Mortgage Trust 2004-12, Floating Rate Note, 1/20/35 39,171,595 $4,528,105
Sequoia Mortgage Trust 2004-12, Floating Rate Note, 1/20/35 2,000,000 $144,480
Sequoia Mortgage Trust 2004-7, Floating Rate Note, 8/20/34 4,000,000 $221,417
Sequoia Mortgage Trust 2005-1, Floating Rate Note, 2/20/35 31,769,748 $3,579,656
Sequoia Mortgage Trust 2005-2, Floating Rate Note, 3/20/35 3,900,000 $396,899
Sequoia Mortgage Trust 4, Floating Rate Note, 11/22/24 6,940,000 $193,523
Series 2007-1G WST Trust, Floating Rate Note, 5/21/38 (144A) 545,000 $53,153
Serta Simmons Holdings LLC, 10/1/19 350,000 $350,957
Shell International Finance BV, Floating Rate Note, 11/15/16 1,500,000 $1,501,752
Ship Midco, Ltd., 11/29/19 98,939 $99,805
Sinclair Television Group, Inc., 4/19/20 1,345,123 $1,331,833
Six Flags Theme Parks, Inc., 12/20/18 735,350 $736,729
Skillsoft Corporation 1st Lien Tl L + 3.5% 23apr21 400,000 $400,417
SMA Issuer I LLC, 3.5%, 8/20/25 (144A) 509,850 $49,104
SMART Trust/Australia, 1.59%, 10/14/16 (144A) 650,000 $637,350
SMART Trust/Australia, Floating Rate Note, 1/14/17 2,500,000 $2,500,852
SMART Trust/Australia, Floating Rate Note, 6/14/15 1,800,000 $317,885
SMART Trust/Australia, Floating Rate Note, 7/14/16 1,500,000 $1,500,320
SMART Trust/Australia, Floating Rate Note, 9/14/16 1,785,000 $1,786,865
SMHL Global Fund 2007-1, Floating Rate Note, 6/12/40 1,100,000 $118,660
SNAAC Auto Receivables Trust, 1.03%, 9/17/18 (144A) 650,000 $614,228
SNAAC Auto Receivables Trust, 4.38%, 6/15/17 (144A) 1,800,000 $1,836,379
SNAAC Auto Receivables Trust 2013-1, 1.14%, 7/16/18 (144A) 1,823,000 $646,736
Soundview Home Loan Trust 2005-DO1, Floating Rate Note, 5/25/35 2,000,000 $472,641
Soundview Home Loan Trust 2005-OPT4, Floating Rate Note, 12/25/35 2,967,970 $906,427
South Carolina State Public Service Authority, Floating Rate Note, 6/1/15 670,000 $673,330
South Carolina Student Loan Corp., Floating Rate Note, 12/3/18 2,250,000 $102,356
Southern California Edison Co., Floating Rate Note, 10/1/14 1,450,000 $1,450,663
Southern California Edison Co., Floating Rate Note, 9/15/14 1,530,000 $1,533,915
Southwire Co., 1/31/21 925,000 $925,144
Specialty Underwriting & Residential Finance Trust Series 2005-AB2, Floating Rate Note, 6/25/36 1,500,000 $619,334
Specialty Underwriting & Residential Finance Trust Series 2006-BC1, Floating Rate Note, 12/25/36 3,640,376 $3,453,035
Specialty Underwriting & Residential Finance Trust Series 2006-BC1, Floating Rate Note, 12/25/36 3,000,000 $528,769
Spectrum Brands, Inc., 8/13/19 298,500 $298,709
Spin Holdco, Inc., 11/14/19 498,750 $499,373
Spirit AeroSystems, Inc., 9/30/20 1,339,193 $1,341,286
Springleaf Funding Trust 2013-A, 2.58%, 9/15/21 (144A) 2,000,000 $2,014,967
Springleaf Mortgage Loan Trust 2012-3, Floating Rate Note, 12/25/59 (144A) 1,000,000 $640,362
Stanfield Bristol CLO, Ltd., Floating Rate Note, 10/15/19 (144A) 544,000 $536,826
Stanwich Mortgage Loan Co 2012-NPL4 LLC, 2.9814%, 9/15/42 (144A) 1,500,000 $224,691
Stanwich Mortgage Loan Trust, 2.9814%, 2/16/43 (144A) 3,025,000 $1,631,857
Starwood Property Mortgage Trust 2013-FV1, Floating Rate Note, 8/11/28 (144A) 2,495,000 $2,444,640
Starwood Property Trust, Inc., 4/17/20 1,598,150 $1,592,157
State Street Bank & Trust Co., Floating Rate Note, 12/8/15 2,320,000 $2,320,629
Steward Health Care System LLC, 4/10/20 992,500 $981,334
Structured Adjustable Rate Mortgage Loan Trust, Floating Rate Note, 11/25/34 3,560,000 $411,483
Structured Adjustable Rate Mortgage Loan Trust, Floating Rate Note, 3/25/34 8,200,000 $592,791
Structured Adjustable Rate Mortgage Loan Trust, Floating Rate Note, 3/25/34 3,865,000 $641,253
Structured Adjustable Rate Mortgage Loan Trust, Floating Rate Note, 6/25/35 3,880,000 $69,893
Structured Adjustable Rate Mortgage Loan Trust, Floating Rate Note, 7/25/34 20,600,000 $2,802,804
Structured Asset Investment Loan Trust 2005-4, Floating Rate Note, 5/25/35 1,000,000 $144,777
Structured Asset Investment Loan Trust 2005-6, Floating Rate Note, 7/25/35 2,600,000 $2,576,176
Structured Asset Investment Loan Trust 2006-1, Floating Rate Note, 1/25/36 4,650,000 $1,267,706
Structured Asset Mortgage Investments II Trust 2004-AR1, Floating Rate Note, 3/19/34 16,800,000 $998,373
Structured Asset Mortgage Investments II Trust 2004-AR5, Floating Rate Note, 10/19/34 23,000,000 $1,136,361
Structured Asset Mortgage Investments Trust 2002-AR5, Floating Rate Note, 5/19/33 36,301,000 $2,039,768
Structured Asset Sec Corp Mor Pass Thr Cer Ser 2003-35, Floating Rate Note, 12/25/33 2,500,000 $176,890
Structured Asset Sec Corp Mort Pass Thr Certs Series 1998-8, Floating Rate Note, 8/25/28 8,825,000 $484,743
Structured Asset Securities Corp Mor Cer Ser 2003-31A, Floating Rate Note, 10/25/33 1,991,000 $250,972
Structured Asset Securities Corp Mortgage Loan Trust 2005-S7, Floating Rate Note, 12/25/35 (144A) 11,868,000 $2,101,611
Structured Asset Securities Corp Mortgage Loan Trust 2006-BC4, Floating Rate Note, 12/25/36 2,089,415 $92,886
Structured Asset Securities Corp Mortgage Loan Trust 2006-EQ1, Floating Rate Note, 7/25/36 (144A) 5,000,000 $3,197,710
Structured Asset Securities Corp Mortgage Loan Trust 2006-GEL4, Floating Rate Note, 10/25/36 (144A) 5,557,000 $2,436,632
Structured Asset Securities Corp Mortgage Loan Trust 2007-BC3, Floating Rate Note, 5/25/47 3,500,000 $226,512
Structured Asset Securities Corp Mortgage Pass-Through Certificates Ser 2004-S4, Floating Rate Note, 2,000,000 $645,602
Structured Asset Securities Corp Mortgage Pass-Through Ctfs Ser 2003-22A, Floating Rate Note, 6/25/3 4,000,000 $396,410
Structured Asset Securities Corp Mortgage Pass-Through Ctfs Ser 2003-24A, Floating Rate Note, 7/25/3 8,050,000 $1,063,307
Structured Asset Securities Corp Trust 2005-14, Floating Rate Note, 7/25/35 3,899,641 $508,984
Sumitomo Mitsui Banking Corp., Floating Rate Note, 7/19/16 1,500,000 $1,511,071
Sumitomo Mitsui Banking Corp. New York, Floating Rate Note, 4/1/15 1,000,000 $1,003,357
Sumitomo Mitsui Trust Bank, Ltd., Floating Rate Note, 9/16/16 (144A) 1,500,000 $1,514,045
SunTrust Bank, Floating Rate Note, 2/15/17 2,500,000 $2,503,455
SunTrust Bank, Floating Rate Note, 4/1/15 1,390,000 $1,390,953
Svenska Handelsbanken AB, Floating Rate Note, 3/21/16 2,275,000 $2,289,118
Svenska Handelsbanken AB, Floating Rate Note, 9/23/16 1,000,000 $1,006,605
Svenska Handelsbanken New York NY, Floating Rate Note, 1/16/15 700,000 $701,774
Svenska Handelsbanken New York NY, Floating Rate Note, 11/17/14 1,000,000 $1,000,544
Svenska Handelsbanken New York NY, Floating Rate Note, 12/19/14 1,500,000 $1,502,625
Svenska Handelsbanken New York NY, Floating Rate Note, 7/17/14 3,450,000 $3,457,840
Swift Transportation Co LLC, 12/21/16 165,752 $166,374
Swift Transportation Co LLC, 12/21/17 299,975 $300,787
Syncreon Group BV, 9/26/20 199,500 $200,996
Syniverse Holdings, Inc., 4/23/19 727,141 $728,278
Tal 1.7% 20may39 A1 1,400,000 $1,401,668
TAL Advantage LLC, Floating Rate Note, 4/20/21 (144A) 1,250,000 $237,044
Taminco Global Chemical Corp., 2/15/19 690,499 $687,219
Tar Heel Re, Ltd., Floating Rate Note, 5/9/16 (Cat Bond) (144A) 1,500,000 $1,593,000
TD Ameritrade Holding Corp., 4.15%, 12/1/14 2,100,000 $2,182,404
Telesat Canada, 3/28/19 665,466 $665,715
Tempur Sealy International, Inc., 3/18/20 519,118 $517,334
Terex Corp., 4/28/17 310,336 $311,742
Terwin Mortgage Trust Series TMTS 2003-8HE, Floating Rate Note, 12/25/34 23,713,000 $719,047
Terwin Mortgage Trust Series TMTS 2005-10HE, Floating Rate Note, 6/25/36 668,753 $594,147
Tesoro Corp., 5/30/16 795,000 $797,226
Texas Competitive Electric Holding 1st Lien Dd L + 2.75% 05may16 1,231,955 $1,237,345
The Bank of New York Mellon Corp., 1.7%, 11/24/14 2,000,000 $2,012,091
The Bank of New York Mellon Corp., 3.1%, 1/15/15 670,000 $689,309
The Bank of New York Mellon Corp., Floating Rate Note, 10/23/15 3,533,000 $3,541,953
The Bank of New York Mellon Corp., Floating Rate Note, 3/4/16 1,000,000 $1,002,184
The Bank of New York Mellon Corp., Floating Rate Note, 7/28/14 2,340,000 $2,342,165
The Bank of Tokyo-Mitsubishi UFJ, Ltd., Floating Rate Note, 3/10/17 (144A) 1,000,000 $1,001,197
The Bear Stearns Companies LLC, 5.7%, 11/15/14 2,150,000 $2,206,610
The Bear Stearns Companies LLC, Floating Rate Note, 10/28/14 400,000 $401,320
The Bear Stearns Companies LLC, Floating Rate Note, 11/21/16 2,465,000 $2,461,875
The Coca-Cola Co., Floating Rate Note, 3/5/15 850,000 $850,189
The Geo Group, Inc., 4/3/20 992,487 $991,867
The Goldman Sachs Group, Inc., 5.0%, 10/1/14 1,862,000 $1,905,171
The Goldman Sachs Group, Inc., Floating Rate Note, 11/21/14 1,000,000 $1,004,321
The Goldman Sachs Group, Inc., Floating Rate Note, 3/22/16 3,000,000 $3,001,813
The Goldman Sachs Group, Inc., Floating Rate Note, 9/29/14 3,333,000 $3,342,887
The Goodyear Tire & Rubber Co., 4/30/19 600,000 $604,245
The Hertz Corp., 3/11/18 740,625 $741,860
The Huntington National Bank, Floating Rate Note, 4/24/17 2,000,000 $2,002,796
The Manitowoc Co, Inc., 12/18/20 85,000 $85,026
The PNC Financial Services Group, Inc., Floating Rate Note, 2/21/49 (Perpetual) 1,500,000 $1,504,853
The Quikrete Companies, Inc., 9/26/20 557,200 $557,723
The Toronto-Dominion Bank, 1.375%, 7/14/14 1,100,000 $1,107,285
The Toronto-Dominion Bank, Floating Rate Note, 5/1/15 3,350,000 $3,356,072
The Toronto-Dominion Bank, Floating Rate Note, 5/2/17 2,000,000 $2,002,491
The Toronto-Dominion Bank, Floating Rate Note, 7/14/14 1,200,000 $1,201,463
The Toronto-Dominion Bank, Floating Rate Note, 9/9/16 1,000,000 $1,006,991
The University of Texas System, Floating Rate Note, 8/1/34 11,970,000 $11,970,669
Thornburg Mortgage Securities Trust 2004-1, Floating Rate Note, 3/25/44 11,046,000 $1,880,745
Thorn Flt% 25dec44 04-4-4a 4,235,000 $921,628
TI Group Automotive Systems LLC, 3/28/19 639,905 $643,705
TMS International Corp., 10/2/20 149,625 $150,124
TORONTO-DOMINION BANK, Floating Rate Note, 11/6/15 1,725,000 $1,727,982
Toronto-Dominion Bank New York, Floating Rate Note, 11/14/14 1,700,000 $1,700,291
Total Capital Canada, Ltd., Floating Rate Note, 1/15/16 3,355,000 $3,376,257
Tower Automotive Holdings USA LLC, 4/23/20 201,707 $201,707
Toyota Cp Zero% 03jun14 Usd 5,425,000 $5,424,977
Toyota Motor Credit Corp., 0.75%, 3/5/17 (Step) 2,250,000 $2,246,309
Toyota Motor Credit Corp., 1.0%, 2/17/15 2,265,000 $2,283,684
Toyota Motor Credit Corp., 1.25%, 11/17/14 554,000 $556,768
Toyota Motor Credit Corp., Floating Rate Note, 1/23/15 1,290,000 $1,291,979
Toyota Motor Credit Corp., Floating Rate Note, 5/17/16 2,800,000 $2,809,945
Toyota Motor Credit Corp., Floating Rate Note, 9/18/15 1,000,000 $1,001,959
Tradewynd Re, Ltd., Floating Rate Note, 1/8/15 (Cat Bond) (144A) 250,000 $253,654
Trafigura Securitisation Finance Plc, Floating Rate Note, 10/15/15 (144A) 1,537,000 $1,552,808
Trafigura Securitisation Finance Plc, Floating Rate Note, 10/15/15 (144A) 1,335,000 $1,351,065
TransCanada PipeLines, Ltd., Floating Rate Note, 6/30/16 1,204,000 $1,215,827
TransDigm, Inc., 2/28/20 322,550 $321,492
Tribune Co., 11/20/20 2,289,263 $2,290,336
Triton Container Finance LLC, Floating Rate Note, 2/26/19 (144A) 1,287,000 $120,256
Tronox Pigments BV, 3/19/20 387,310 $388,243
Truman Capital Mortgage Loan Trust, Floating Rate Note, 1/25/34 925,000 $909,456
Truven Health Analytics, Inc., 6/6/19 343,901 $341,537
tw telecom holdings inc, 4/17/20 1,002,425 $1,004,305
Txu 1st Lien Dip L + 2.75% 05may16 1,595,935 $1,602,917
Uacst 3.12% 15mar18 12-1 D 1,925,000 $1,942,848
Unifrax I LLC, 11/28/18 984,060 $984,060
Union Bank NA, Floating Rate Note, 9/26/16 1,500,000 $1,518,184
United Airlines, Inc., 4/1/19 247,500 $248,243
United Auto Credit Securitization Trust 2012-1, 1.87%, 9/15/15 (144A) 1,500,000 $797,892
United Auto Credit Securitization Trust 2012-1, 2.52%, 3/15/16 1,645,000 $1,657,036
United Auto Credit Securitization Trust 2013-1, 0.95%, 9/15/15 (144A) 2,000,000 $855,466
United Auto Credit Securitization Trust 2013-1, 1.74%, 4/15/16 (144A) 1,900,000 $1,910,107
United States Treasury Floating Rate Note, Floating Rate Note, 1/31/16 10,000,000 $9,998,071
United Technologies Corp., Floating Rate Note, 6/1/15 1,965,000 $1,977,719
Univision Communications, Inc., 3/1/20 668,263 $667,010
US Bank NA Cincinnati Ohio, Floating Rate Note, 1/30/17 2,025,000 $2,026,320
US Bank NA Cincinnati Ohio, Floating Rate Note, 10/14/14 4,355,000 $4,361,798
US Bank NA Cincinnati Ohio, Floating Rate Note, 4/22/16 2,000,000 $2,002,407
USI, Inc. New York, 12/30/19 1,096,167 $1,098,222
Valeant Pharmaceuticals International, Inc., 12/11/19 591,000 $590,894
Valeant Pharmaceuticals International, Inc., 2/13/19 246,250 $246,206
Valeant Pharmaceuticals International, Inc., 8/5/20 1,517,291 $1,517,396
Verint Systems, Inc., 9/6/19 745,631 $744,792
Verizon Communications, Inc., Floating Rate Note, 9/15/16 805,000 $830,430
Virgin Media Investment Holdings, Ltd., 6/8/20 2,205,000 $2,190,185
Visteon Corp Term B 1st Lien Dd L + 2.75% 08apr21 500,000 $496,485
Vita Capital IV, Ltd., Floating Rate Note, 1/15/16 (Cat Bond) (144A) 400,000 $406,342
Vita Capital V, Ltd., Floating Rate Note, 1/15/17 (Cat Bond) (144A) 500,000 $515,047
Vita Capital V, Ltd., Floating Rate Note, 1/15/17 (Cat Bond) (144A) 1,500,000 $1,530,749
Vitality Re IV, Ltd., Floating Rate Note, 1/9/17 (Cat Bond) (144A) 1,000,000 $1,027,607
Vitality Re V, Ltd., Floating Rate Note, 1/7/19 (Cat Bond) (144A) 1,800,000 $1,801,110
Vodafone Group Plc, Floating Rate Note, 2/19/16 1,150,000 $1,152,039
Volkswagen Auto Lease Trust 2012-A, 0.87%, 7/20/15 1,412,000 $767,398
Volkswagen Auto Lease Trust 2013-A, Floating Rate Note, 12/21/15 2,000,000 $1,534,860
Volkswagen Auto Lease Trust 2014-A, Floating Rate Note, 10/20/16 1,500,000 $1,500,670
Volkswagen International Finance NV, Floating Rate Note, 11/18/16 (144A) 1,750,000 $1,757,264
Volkswagen International Finance NV, Floating Rate Note, 11/20/14 (144A) 1,000,000 $1,002,840
VOLT XVI LLC, 4.25%, 8/25/58 (Step) (144A) 2,102,951 $1,843,854
VOLT XXIV LLC, 3.25%, 11/25/53 (Step) 2,000,000 $1,990,054
VOLT XX LLC, 3.625%, 2/1/39 (Step) (144A) 1,000,000 $975,577
Volvo Financial Equipment LLC Series 2013-1, 0.53%, 11/16/15 (144A) 1,820,000 $1,139,961
Volvo Financial Equipment LLC Series 2014-1, 0.54%, 11/15/16 (144A) 1,700,000 $1,700,716
Vw Flt% 23may16 1,900,000 $1,901,278
Vwmt Flt% 20sep16 11-1a-Note 400,000 $400,650
Wachovia Bank Commercial Mortgage Trust Series 2005-C16, Floating Rate Note, 10/15/41 1,430,000 $1,451,997
Wachovia Bank Commercial Mortgage Trust Series 2005-C17, Floating Rate Note, 3/15/42 6,504,854 $6,508,573
Wachovia Bank Commercial Mortgage Trust Series 2005-C18, 4.79%, 4/15/42 160,000 $44,483
Wachovia Bank Commercial Mortgage Trust Series 2005-C18, 4.935%, 4/15/42 4,722,637 $4,846,023
Wachovia Bank Commercial Mortgage Trust Series 2005-C21, Floating Rate Note, 10/15/44 1,990,733 $1,752,085
Wachovia Bank Commercial Mortgage Trust Series 2007-WHALE 8, Floating Rate Note, 6/15/20 (144A) 5,000,000 $781,904
Wachovia Corp., Floating Rate Note, 10/28/15 1,983,000 $1,986,604
WaMu Mortgage Pass-Through Certificates Series 2002-AR18 Trust, Floating Rate Note, 1/25/33 34,265,000 $406,045
WaMu Mortgage Pass-Through Certificates Series 2002-AR19 Trust, Floating Rate Note, 2/25/33 12,900,000 $500,097
WaMu Mortgage Pass-Through Certificates Series 2004-AR14 Trust, Floating Rate Note, 1/25/35 2,390,499 $534,879
WaMu Mortgage Pass-Through Certificates Series 2004-S1 Trust, Floating Rate Note, 3/25/34 6,560,000 $2,379
Waste Industries USA, Inc., 3/17/17 149,989 $150,301
Waupaca Foundry, Inc., 6/29/17 1,847,862 $1,850,172
Weight Watchers International, Inc., 4/2/20 1,980,000 $1,576,575
Wells Fargo & Co., 3.75%, 10/1/14 224,000 $228,002
Wells Fargo & Co., 5.0%, 11/15/14 1,000,000 $1,022,645
Wells Fargo & Co., Floating Rate Note, 10/28/15 2,503,000 $2,506,367
Wells Fargo & Co., Floating Rate Note, 6/26/15 3,175,000 $3,210,457
Wells Fargo & Co., Floating Rate Note, 7/20/16 1,500,000 $1,509,929
Wells Fargo Bank NA, Floating Rate Note, 5/16/16 975,000 $972,055
Wells Fargo Bank NA, Floating Rate Note, 6/16/14 1,800,000 $1,800,150
Wells Fargo Commercial Mortgage Trust 2014-TISH, Floating Rate Note, 2/15/27 (144A) 2,220,000 $2,221,166
Wells Fargo Home Equity Asset-Backed Securities 2005-2 Trust, Floating Rate Note, 11/25/35 189,000 $124,694
Wells Fargo Mortgage Backed Securities 2005-AR6 Trust, Floating Rate Note, 4/25/35 611,000 $51,262
Wells Fargo Mortgage Backed Securities Trust, Floating Rate Note, 8/25/34 14,679,000 $975,034
Wendy's International LLC, 5/15/19 726,587 $729,385
Wesco Aircraft Hardware Corp., 2/24/21 2,600,000 $2,591,875
WESCO Distribution, Inc., 12/12/19 318,295 $318,643
West Corp., 6/30/18 1,143,359 $1,133,355
Westgate Resorts 2012-2 LLC, 3.0%, 1/20/25 (144A) 1,000,000 $465,536
Westgate Resorts 2012-A LLC, 3.75%, 8/20/25 (144A) 2,805,000 $1,928,515
Westgate Resorts LLC, 2.5%, 3/20/25 (144A) 350,000 $192,573
Westpac Banking Corp., 4.2%, 2/27/15 2,000,000 $2,078,909
Westpac Banking Corp., Floating Rate Note, 10/28/14 1,000,000 $1,001,886
Westpac Banking Corp., Floating Rate Note, 7/17/15 (144A) 500,000 $504,206
Westwood CDO II, Ltd., Floating Rate Note, 4/25/22 (144A) 2,000,000 $1,841,078
Wfnmt 3.96% 15apr19 10-A-A 200,000 $206,993
Whls 0.87% 20mar23 A2 1,000,000 $1,000,146
WideOpenWest Finance LLC, 4/1/19 240,511 $241,883
Wilshire Mortgage Loan Trust, Floating Rate Note, 5/25/28 10,000,000 $38,084
Windstream Corp., 1/23/20 1,038,364 $1,036,093
Windstream Corp., 8/8/19 714,148 $712,809
WireCo WorldGroup, Inc., 2/15/17 878,107 $885,242
Wlake 1.12% 15jan18 13-1a-A2 375,000 $376,325
WMG Acquisition Corp., 7/1/20 1,094,500 $1,077,228
World Financial Network Credit Card Master Trust, Floating Rate Note, 2/15/19 2,850,000 $2,854,629
World Omni Auto Receivables Trust 2013-B, 0.48%, 11/15/16 50,000 $49,714
WR Grace & Co., 1/23/21 812,023 $809,688
WR Grace & Co., 1/23/21 290,008 $289,174
Wssnpl Flt% 25may54 2014_1_Ma 3,530,000 $3,530,000
Wstp Flt% 19may17 2,000,000 $2,002,081
Wyle 1st Lien Tl-B L + 4% 22may21 207,636 $208,155
Xerium Technologies, Inc., 5/17/19 79,200 $79,860
XLIT, Ltd., 5.25%, 9/15/14 3,467,000 $3,551,703
ZIGGO BV, (USD) TLB3, 1/15/22 1,136,553 $1,121,162
Ziggo Bv 1st Lien Tl-B1 L + 2.75% 15jan22 1,072,383 $1,057,861
Ziggo Bv 1st Lien Tl-B2 L + 2.75% 15jan22 691,064 $681,705

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