Pioneer Multi-Asset Ultrashort Income Fund

Top 10 Portfolio Holdings as of 1/30/2015
Default: sorted by market value

Security Name Par / Shares Market Value
14112Z ZERO% 01Feb19 2,500,000 $2,534,500
321 Henderson Receivables II LLC, Floating Rate Note, 9/15/41 (144A) 11,542,000 $3,901,774
321 Henderson Receivables I LLC, Floating Rate Note, 11/15/40 (144A) 4,630,000 $1,417,683
321 Henderson Receivables I LLC, Floating Rate Note, 12/15/41 (144A) 10,869,000 $3,796,758
321 Henderson Receivables I LLC, Floating Rate Note, 6/15/41 (144A) 8,090,000 $2,700,666
321 Henderson Receivables I LLC, Floating Rate Note, 9/15/45 (144A) 3,120,000 $758,786
77 ENERGY 1ST LIEN TL-B L + 3% 17Jun21 1,442,750 $1,249,782
A10 Securitization 2013-1 LLC, 2.4%, 11/17/25 (144A) 1,400,000 $529,174
ABFC 2003-WMC1 Trust, Floating Rate Note, 3/25/33 3,691,000 $26,286
ABFC 2005-WF1 Trust, Floating Rate Note, 12/25/34 2,140,000 $836,403
ABN AMRO Bank NV, Floating Rate Note, 10/28/16 (144A) 1,725,000 $1,735,708
ACA CLO 2006-2, Ltd., Floating Rate Note, 1/20/21 (144A) 3,250,000 $3,195,190
ACAS CLO 2007-1, Ltd., Floating Rate Note, 4/20/21 1,800,000 $1,320,100
Accredited Mortgage Loan Trust 2005-2, Floating Rate Note, 7/25/35 1,110,000 $1,089,117
ACE Securities Corp Manufactured Housing Trust Series 2003-MH1, Floating Rate Note, 8/15/30 (144A) 1,250,000 $123,066
ACIS CLO 2014-4, Ltd., Floating Rate Note, 5/1/26 (144A) 3,000,000 $2,251,044
ACRE Commercial Mortgage Trust 2014-FL2, Floating Rate Note, 8/15/31 (144A) 2,500,000 $2,496,666
ACRE Commercial Mortgage Trust 2014-FL2, Floating Rate Note, 8/15/31 (144A) 5,350,000 $4,112,425
Activision Blizzard, Inc., Term Loan, 7/26/20 1,600,000 $1,599,896
Adjustable Rate Mortgage Trust 2004-1, Floating Rate Note, 1/25/35 5,000,000 $438,679
Adjustable Rate Mortgage Trust 2005-2, Floating Rate Note, 6/25/35 2,260,122 $1,646,010
Adjustable Rate Mortgage Trust 2005-5, Floating Rate Note, 9/25/35 13,780,000 $1,158,502
AdvancePierre Foods, Inc., Term Loan (First Lien), 7/10/17 185,455 $184,470
ADVANTAGE SALES & MARKETING INC 1ST LIEN TL-B L + 3.25% 11Jul21 663,429 $657,328
ADVANTAGE SALES & MART INC 1ST LIEN DD L + 3.25% 21Jul21 22,114 $21,910
AECOM TECHNOLOGY CORP 1ST LIEN TL-B L + 3% 17Sep21 287,912 $288,632
Aegis Asset Backed Sec Tr Mortgage Pass-Through Ctfs Ser 2004-2, FRN, 6/25/34 21,291,000 $1,732,360
Aegis Asset Backed Sec Tr Mort Pass-Through Ctfs Ser 2005-4, Frn, 10/25/35 800,000 $397,149
Aegis Asset Backed Sec Tr Mort Pass- Through Ctfs Series 2004-3, Frn, 9/25/34 3,465,620 $584,346
Aegis Asset Backed Sec Trust Mor Pass-Through Ctfs Series 2004-4, Frn, 10/25/34 3,977,618 $894,018
Aegis Asset Backed Securities Trust 2004-6, Floating Rate Note, 3/25/35 5,700,000 $177,195
Alamo Re, Ltd., Floating Rate Note, 6/7/17 (Cat Bond) (144A) 1,000,000 $1,047,190
Albertsons LLC, Term B-2 Loan, 3/21/19 1,503,474 $1,502,221
Alkermes, Inc., 2019 Term Loan, 9/25/19 1,125,602 $1,115,753
Alliant Holdings I, Inc., Initial Term Loan, 12/20/19 242,447 $239,038
Allied Security Holdings LLC, Closing Date Term Loan (First Lien), 2/12/21 513,354 $507,151
Allison Transmission, Inc., Term B-3 Loan, 8/23/19 146,649 $146,175
Ally Auto Receivables Trust 2011-2, 1.98%, 4/15/16 355,000 $32,336
Ally Auto Receivables Trust 2011-3, 1.61%, 5/16/16 602,000 $105,781
Ally Auto Receivables Trust 2013-2, Floating Rate Note, 7/15/16 1,500,000 $468,862
Ally Auto Receivables Trust 2014-SN1, Floating Rate Note, 10/20/16 1,800,000 $1,320,293
Ally Master Owner Trust, 4.59%, 4/15/17 (144A) 3,000,000 $3,029,355
Ally Master Owner Trust, Floating Rate Note, 1/16/18 300,000 $299,780
Ally Master Owner Trust, Floating Rate Note, 2/15/17 250,000 $250,159
Ally Master Owner Trust, Floating Rate Note, 6/17/19 2,600,000 $2,588,931
Ally Master Owner Trust, Floating Rate Note, 8/15/17 3,000,000 $3,013,069
Alterna Funding I LLC, 1.639%, 2/15/21 (144A) 1,400,000 $1,150,745
Alternative Loan Trust 2003-3T1, Floating Rate Note, 5/25/33 15,000,000 $578,003
Alternative Loan Trust 2004-4CB, 4.25%, 4/25/34 16,913,000 $517,771
Alternative Loan Trust 2004-6CB, Floating Rate Note, 4/25/34 31,600,000 $2,187,395
Alternative Loan Trust 2004-J13, Floating Rate Note, 2/25/35 1,000,000 $963,921
Altice Financing SA, 7.875%, 12/15/19 (144A) 1,250,000 $1,335,078
Altisource Solutions Sarl, Term B Loan, 12/9/20 987,565 $765,363
Altria Group, Inc., 4.125%, 9/11/15 1,075,000 $1,115,834
ALTRL ZERO% 30Jun17 600,000 $602,880
Amazon.com, Inc., 0.65%, 11/27/15 2,950,000 $2,955,193
AMC Entertainment, Inc., Initial Term Loan, 4/30/20 1,457,635 $1,441,996
America Movil SAB de CV, Floating Rate Note, 9/12/16 1,500,000 $1,514,594
American Airlines, Inc., Class B Term Loan, 6/27/19 2,511,750 $2,498,930
AMERICAN AIRLINES INC 1ST LIEN TL-B L + 3.5% 08Oct21 500,000 $501,771
American Credit Acceptance Receivables Trust, 1.64%, 11/15/16 (144A) 1,401,000 $93,204
American Credit Acceptance Receivables Trust 2012-2, 4.05%, 2/15/18 (144A) 1,228,000 $1,234,548
American Credit Acceptance Receivables Trust 2013-1, 1.45%, 4/16/18 (144A) 1,859,000 $437,124
American Credit Acceptance Receivables Trust 2013-2, 1.32%, 2/15/17 (144A) 805,000 $141,528
American Credit Acceptance Receivables Trust 2014-1, 1.14%, 3/12/18 (144A) 5,045,000 $1,830,338
American Credit Acceptance Receivables Trust 2014-2, 0.99%, 10/10/17 (144A) 3,300,000 $1,654,546
American Credit Acceptance Receivables Trust 2014-3, 0.99%, 8/10/18 (144A) 1,420,000 $1,026,429
American Credit Acceptance Receivables Trust 2014-4, 1.23%, 7/10/18 (144A) 1,150,000 $1,080,377
American Express Centurion Bank, Floating Rate Note, 11/13/15 5,090,000 $5,108,330
American Express Credit Account Master Trust, 1.29%, 3/15/18 (144A) 400,000 $400,596
American Express Credit Account Master Trust, Floating Rate Note, 1/15/20 350,000 $349,929
American Express Credit Account Master Trust, Floating Rate Note, 2/15/18 1,945,000 $1,954,887
American Express Credit Account Master Trust, Floating Rate Note, 3/15/18 8,890,000 $8,887,917
American Express Credit Account Master Trust, Floating Rate Note, 5/15/20 3,300,000 $3,300,908
American Express Credit Corp., 1.75%, 6/12/15 3,000,000 $3,021,665
American Express Credit Corp., Floating Rate Note, 6/12/15 3,441,000 $3,459,540
American Express Credit Corp., Floating Rate Note, 7/29/16 2,850,000 $2,860,702
American Homes 4 Rent 2014-SFR1, Floating Rate Note, 6/19/31 (144A) 1,500,000 $1,480,783
American Honda Finance Corp., 1.0%, 8/11/15 (144A) 1,000,000 $1,008,525
American Honda Finance Corp., 1.45%, 2/27/15 (144A) 4,455,000 $4,485,952
American Honda Finance Corp., Floating Rate Note, 1/11/16 2,650,000 $2,650,054
American Honda Finance Corp., Floating Rate Note, 10/7/16 950,000 $954,888
American Honda Finance Corp., Floating Rate Note, 5/26/16 (144A) 3,050,000 $3,062,813
AmeriCredit Automobile Receivables Trust 2010-4, 6.4%, 4/9/18 (144A) 470,000 $473,131
AmeriCredit Automobile Receivables Trust 2011-5, 2.45%, 12/8/16 1,700,000 $540,953
AmeriCredit Automobile Receivables Trust 2012-1, 2.67%, 1/8/18 800,000 $810,579
AmeriCredit Automobile Receivables Trust 2013-2, 0.65%, 12/8/17 485,000 $485,434
AmeriCredit Automobile Receivables Trust 2013-4, 0.74%, 11/8/16 1,500,000 $310,843
AmeriCredit Automobile Receivables Trust 2014-2, Floating Rate Note, 10/10/17 1,320,000 $1,211,512
Ameriquest Mor Sec Inc Asset-Backed Pass-Through Ctfs Ser 2005-R10, Frn, 12/25/35 15,705,000 $664,398
Ameriquest Mortg Sec Inc Asset-Backed Pass-Through Ctfs Ser 2005-R1, FRN, 3/25/35 2,757,237 $1,351,114
Ameriquest Mort Sec Inc Asset Backed Pass Thr Cert 03 AR3, Floating Rate Note, 6/25/33 729,633 $369,256
Ameriquest Mort Sec Inc Asset-Backed Pass-Through Ctfs Ser 2004-R11, Frn, 12/26/34 8,900,000 $311,499
Ameriquest Mort Sec Inc Asset Backed Pass-Through Ctfs Ser 2005-R11, Frn, 1/25/36 810,000 $508,684
Ameriquest Mort Sec Inc Asset-Backed Pass-Through Ctfs Ser 2005-R5, Frn, 7/25/35 84,000 $73,371
Anheuser-Busch InBev Finance, Inc., 0.8%, 1/15/16 2,500,000 $2,508,406
Anheuser-Busch InBev Finance, Inc., Floating Rate Note, 1/27/17 1,900,000 $1,895,896
Apex Tool Group LLC, Term Loan, 1/31/20 1,228,125 $1,189,746
Apidos Quattro CDO, Floating Rate Note, 1/20/19 (144A) 1,000,000 $986,114
Apple, Inc., Floating Rate Note, 5/3/16 1,500,000 $1,501,047
Ardagh Holdings USA, Inc., New Term Loan, 12/17/19 678,870 $669,535
ARI Fleet Lease Trust 2012-A, Floating Rate Note, 3/15/20 (144A) 2,070,000 $336,348
ARI Fleet Lease Trust 2012-B, Floating Rate Note, 1/15/21 (144A) 1,030,000 $290,106
ARI Fleet Lease Trust 2013-A, 0.7%, 12/15/15 (144A) 4,000,000 $1,369,896
ARI Fleet Lease Trust 2013-A, 0.92%, 7/15/21 (144A) 600,000 $601,709
ARI Fleet Lease Trust 2014-A, 0.81%, 11/15/22 (144A) 3,000,000 $3,000,945
ARLINGTON FLT% 01Aug15 100,000 $109,300
Armor Re, Ltd., Floating Rate Note, 12/15/16 (Cat Bond) (144A) 1,000,000 $1,007,366
Armstrong World Industries, Inc., Term Loan B, 3/15/20 1,080,996 $1,075,591
Arran Residential Mortgages Funding 2010-1 Plc, Floating Rate Note, 5/16/47 (144A) 4,850,000 $2,392,061
Arysta Lifescience SPC LLC, Initial Term Loan (First Lien), 5/29/20 2,341,473 $2,337,570
Ascentium Equipment Receivables 2012-1 LLC, 1.83%, 9/15/19 (144A) 1,528,000 $89,470
Ascentium Equipment Receivables 2014-1 LLC, 1.04%, 1/10/17 (144A) 1,000,000 $922,710
ASG Resecuritization Trust 2010-3, Floating Rate Note, 12/29/45 (144A) 5,216,443 $2,185,989
Asset-Backed Pass-Through Certificates Series 2004-R2, Floating Rate Note, 4/25/34 24,000,000 $1,255,105
Asset Backed Sec Corp Home Equity Loan Tr Series OOMC 2005-HE6, Frn, 7/25/35 1,879,167 $1,316,692
Asset Backed Securities Corp Home Equity Loan Trust Series 2005-HE2, Floating Rate Note, 2/25/35 8,100,000 $590,064
Asset Backed Securities Corp Home Equity Loan Trust Series 2005-HE3, Floating Rate Note, 4/25/35 724,529 $496,592
Asset Backed Securities Corp Home Equity Loan Trust Series AEG 2006-HE1, Floating Rate Note, 1/25/36 6,155,063 $1,066,945
Asset Backed Securities Corp Home Equity Loan Trust Series NC 2005-HE4, Floating Rate Note, 5/25/35 3,657,000 $435,108
Atlantic Power LP, Term Loan, 2/20/21 2,842,857 $2,835,750
Atlas IX Capital, Ltd., Floating Rate Note, 1/17/19 (Cat Bond) (144A) 1,500,000 $1,534,312
Atlas Reinsurance VII, Ltd., Floating Rate Note, 1/7/16 (Cat Bond) (144A) 1,000,000 $1,028,445
Audio Visual Services Corp., Initial Term Loan (First Lien), 1/24/21 228,275 $227,418
AVAGO TECHNOLOGIES LTD 1ST LIEN TL-B L + 3% 16Apr21 1,293,500 $1,292,806
Avis Budget Car Rental LLC, Tranche B Term Loan, 3/15/19 1,279,591 $1,274,785
AWAS Finance Luxembourg 2012 SA, Term Loan, 7/16/18 386,588 $383,660
Axalta Coating Systems US Holdings, Inc., Refinanced Term B Loan, 2/1/20 1,024,204 $1,004,600
AXIS Equipment Finance Receivables II LLC, 1.75%, 6/20/16 1,000,000 $488,512
AZ CHEM US INC 1ST LIEN TL-B L + 3.5% 09Jun21 1,883,464 $1,848,384
B/E AEROSPACE INC 1ST LIEN TL-B L + 3.25% 21Nov21 1,500,000 $1,503,862
BA Credit Card Trust, Floating Rate Note, 1/15/20 2,000,000 $2,000,550
BA Credit Card Trust, Floating Rate Note, 9/16/19 6,400,000 $6,395,506
BAMLL Commercial Mortgage Securities Trust 2014-FL1, Floating Rate Note, 12/15/31 3,613,000 $3,613,736
BAMLL Commercial Mortgage Securities Trust 2014-ICTS, Floating Rate Note, 6/15/28 (144A) 1,920,000 $1,919,518
Banc of America Commercial Mortgage Trust 2006-1, Floating Rate Note, 9/10/45 3,590,000 $3,712,117
Banc of America Commercial Mortgage Trust 2006-1, Floating Rate Note, 9/10/45 5,040,000 $5,171,169
Banc of America Funding 2004-B Trust, Floating Rate Note, 12/20/34 20,499,000 $1,459,826
Banc of America Merrill Lynch Commercial Mortgage, Inc., 4.933%, 7/10/45 6,180,000 $6,069,150
Banc of America Merrill Lynch Commercial Mortgage, Inc., Floating Rate Note, 10/10/45 8,970,000 $7,897,071
Banc of America Merrill Lynch Commercial Mortgage, Inc., Floating Rate Note, 9/10/47 6,175,000 $5,724,059
Banc of America Merrill Lynch Commercial Mortgage, Inc. REMICS, Floating Rate Note, 7/10/43 1,985,000 $855,347
Banc of America Mortgage 2003-A Trust, Floating Rate Note, 2/25/33 10,560,000 $101,784
Banc of America Mortgage 2003-F Trust, Floating Rate Note, 7/25/33 5,472,215 $244,936
Banc of America Mortgage 2004-D Trust, Floating Rate Note, 5/25/34 17,088,000 $1,774,089
Banc of America Mortgage 2004-I Trust, Floating Rate Note, 10/25/34 6,000,000 $413,302
Bank of America Corp., 4.5%, 4/1/15 2,515,000 $2,568,494
Bank of America Corp., Floating Rate Note, 3/22/16 6,000,000 $6,028,966
Bank of America Corp., Floating Rate Note, 8/25/17 1,423,000 $1,423,054
Bank of America NA, Floating Rate Note, 2/14/17 2,000,000 $2,001,833
Bank of Montreal, 0.8%, 11/6/15 2,600,000 $2,613,532
Bank of Montreal, Floating Rate Note, 7/14/17 2,300,000 $2,298,763
Bank of Montreal, Floating Rate Note, 9/11/15 2,600,000 $2,609,417
Bank of Montreal, Floating Rate Note, 9/24/15 2,600,000 $2,605,018
Bank of Nova Scotia Houston, Floating Rate Note, 10/23/15 1,000,000 $1,001,442
Bank of The West Auto Trust 2014-1, 0.69%, 7/17/17 (144A) 1,850,000 $1,850,576
Barclays Bank Plc, Floating Rate Note, 2/17/17 821,000 $823,838
Barclays Dryrock Issuance Trust, Floating Rate Note, 12/16/19 1,050,000 $1,049,076
Barclays Dryrock Issuance Trust, Floating Rate Note, 3/16/20 1,800,000 $1,798,628
Barclays Dryrock Issuance Trust, Floating Rate Note, 7/16/18 200,000 $200,124
Baxter International, Inc., 4.625%, 3/15/15 2,500,000 $2,555,738
Bayview Financial Acquisition Trust, 6.205%, 5/28/37 (Step) 100,000 $55,610
Bayview Financial Acquisition Trust, Floating Rate Note, 5/28/44 32,920,000 $284,634
Bayview Financial Mortgage Pass-Through Trust 2004-A, Floating Rate Note, 2/28/44 48,047,000 $1,460,720
Bayview Financial Mortgage Pass-Through Trust 2005-C, Floating Rate Note, 6/28/44 4,088,000 $3,860,214
Bayview Financial Mortgage Pass-Through Trust 2006-A, Floating Rate Note, 2/28/41 5,200,000 $95,376
Bayview Financial Mortgage Pass-Through Trust 2006-A, Floating Rate Note, 2/28/41 6,439,000 $406,343
Bayview Financial Mortgage Pass-Through Trust 2006-B, Floating Rate Note, 4/28/36 13,680,000 $795,170
Bayview Financial Mortgage Pass-Through Trust 2006-B, Floating Rate Note, 4/28/36 4,911,055 $1,017,107
Bayview Financial Mortgage Pass-Through Trust Series 2005-B, Floating Rate Note, 4/28/39 1,899,351 $1,740,619
Bayview Opportunity Master Fund IIa Trust 2012-4NPL, 3.9496%, 1/30/34 (Step) (144A) 2,125,000 $1,038,125
Bayview Opportunity Master Fund IIa Trust 2014-20NPL, Floating Rate Note, 8/28/44 (144A) 1,480,000 $1,275,017
Bayview Opportunity Master Fund Trust, Floating Rate Note, 1/28/33 (144A) 1,000,000 $273,503
Bayview Opportunity Master Fund Trust IIIa 2014-12RPL, 3.6225%, 7/28/19 (Step) (144A) 2,450,000 $1,379,592
BBB INDUSTRIES LLC 1ST LIEN TL L + 5% 20Oct21 1,000,000 $995,000
BCAP LLC 2009-RR13-I Trust, Floating Rate Note, 9/26/35 (144A) 8,854,257 $2,115,348
BCAP LLC 2013-RR3 Trust, Floating Rate Note, 5/28/36 (144A) 1,084,000 $780,389
BCAP LLC 2013-RR7 Trust, Floating Rate Note, 12/27/34 1,410,000 $1,160,280
BCC Funding VIII LLC, 1.794%, 6/22/20 (144A) 2,000,000 $1,242,583
Bear Stearns ALT-A Trust 2003-3, Floating Rate Note, 10/25/33 350,000 $58,578
Bear Stearns ALT-A Trust 2004-11, Floating Rate Note, 11/25/34 21,976,800 $1,116,578
Bear Stearns ALT-A Trust 2004-12, Floating Rate Note, 1/25/35 25,907,600 $3,116,662
Bear Stearns ALT-A Trust 2004-12, Floating Rate Note, 1/25/35 17,745,000 $2,052,512
Bear Stearns ALT-A Trust 2004-12, Floating Rate Note, 1/25/35 11,245,000 $1,216,133
Bear Stearns ALT-A Trust 2004-12, Floating Rate Note, 1/25/35 25,745,000 $3,111,335
Bear Stearns ALT-A Trust 2004-13, Floating Rate Note, 11/25/34 9,625,000 $489,061
Bear Stearns ALT-A Trust 2004-4, Floating Rate Note, 6/25/34 33,443,000 $2,603,794
Bear Stearns ALT-A Trust 2004-8, Floating Rate Note, 9/25/34 14,600,000 $998,987
Bear Stearns ARM Trust 2003-3, Floating Rate Note, 5/25/33 42,906,215 $1,248,178
Bear Stearns ARM Trust 2004-3, Floating Rate Note, 7/25/34 10,718,797 $373,550
Bear Stearns ARM Trust 2005-5, Floating Rate Note, 8/25/35 5,635,000 $571,219
Bear Stearns Asset Backed Securities I Trust 2005-FR1, Floating Rate Note, 6/25/35 5,850,460 $2,002,855
Bear Stearns Asset Backed Securities I Trust 2005-HE9, Floating Rate Note, 10/25/35 5,000,000 $1,202,398
Bear Stearns Asset Backed Securities Trust, Floating Rate Note, 2/25/35 21,336,125 $396,318
Bear Stearns Asset Backed Securities Trust 2003-AC5, Floating Rate Note, 10/25/33 2,875,000 $269,370
Bear Stearns Asset Backed Securities Trust 2004-2, Floating Rate Note, 8/25/34 7,523,000 $1,177,272
Bear Stearns Asset Backed Securities Trust 2004-SD3, Floating Rate Note, 9/25/34 410,000 $154,301
Bear Stearns Asset Backed Securities Trust 2005-SD1, Floating Rate Note, 8/25/43 310,000 $85,915
Bear Stearns Asset Backed Securities Trust 2005-SD2, Floating Rate Note, 3/25/35 5,700,000 $1,682,220
Bear Stearns Asset Backed Securities Trust 2005-SD2, Floating Rate Note, 3/25/35 5,190,000 $649,511
Bear Stearns Asset Backed Securities Trust 2006-1, Floating Rate Note, 2/25/36 32,600,000 $926,402
Bear Stearns Commercial Mortgage Securities Trust 2005-PWR10, Floating Rate Note, 12/11/40 4,250,000 $3,559,426
Bear Stearns Commercial Mortgage Securities Trust 2005-PWR8, 4.75%, 6/11/41 1,330,000 $1,348,996
Bear Stearns Commercial Mortgage Securities Trust 2005-PWR9, 4.871%, 9/11/42 7,568,000 $5,811,435
Bear Stearns Commercial Mortgage Securities Trust 2005-PWR9, Floating Rate Note, 9/11/42 3,751,000 $3,846,129
Bear Stearns Commercial Mortgage Securities Trust 2005-TOP18, Floating Rate Note, 2/13/42 3,975,000 $45,682
Bear Stearns Commercial Mortgage Securities Trust 2005-TOP20, Floating Rate Note, 10/12/42 8,735,000 $8,452,641
Bear Stearns Commercial Mortgage Securities Trust 2006-PWR14, 5.171%, 12/11/38 2,735,000 $852,650
Bear Stearns Mortgage Securities, Inc., Floating Rate Note, 6/25/30 2,875,810 $446,821
Bear Stearns Structured Products Trust 2007-EMX1, Floating Rate Note, 3/25/37 (144A) 4,870,000 $936,168
Becton Dickinson and Co., Floating Rate Note, 6/15/16 2,700,000 $2,700,528
Belden Finance 2013 LP, Initial Term Loan, 9/9/20 641,875 $636,659
BERKELEY-KANE FLT% 12Jun15 2,008,000 $2,084,103
Berkshire Hathaway Finance Corp., Floating Rate Note, 1/10/17 1,855,000 $1,855,028
Berkshire Hathaway Finance Corp., Floating Rate Note, 8/14/17 2,500,000 $2,495,970
BHP Billiton Finance USA, Ltd., Floating Rate Note, 9/30/16 1,795,000 $1,795,797
Big Heart Pet Brands, Initial Term Loan, 2/24/20 478,256 $462,010
BioScrip, Inc., Delayed Draw Term Loan, 7/31/20 328,914 $328,640
BioScrip, Inc., Initial Term B Loan, 7/31/20 548,191 $547,734
BlackRock, Inc., 1.375%, 6/1/15 1,310,000 $1,317,551
Blue Danube, Ltd., Floating Rate Note, 4/10/15 (Cat Bond) (144A) 1,945,000 $1,977,628
Blue Danube, Ltd., Floating Rate Note, 4/10/15 (Cat Bond) (144A) 600,000 $603,821
Blue Danube II, Ltd., Floating Rate Note, 5/23/18 (Cat Bond) (144A) 2,575,000 $2,614,351
BMW CP ZERO% 05Feb15 USD 990,000 $989,978
BMW Floorplan Master Owner Trust, Floating Rate Note, 9/15/17 (144A) 3,000,000 $3,005,165
BMW Vehicle Lease Trust 2013-1, 0.54%, 9/21/15 3,062,000 $1,104,850
BNC Mortgage Loan Trust 2007-4, Floating Rate Note, 11/25/37 9,500,000 $99,910
Boca Hotel Portfolio Trust 2013-BOCA, Floating Rate Note, 8/17/26 (144A) 1,375,000 $1,376,543
Bombardier Recreational Products, Inc., Term B Loan, 1/30/19 188,571 $184,721
Booz Allen Hamilton, Inc., Refinance Tranche B, 7/31/19 1,358,137 $1,357,077
Bosphorus Re, Ltd., Floating Rate Note, 5/3/16 (Cat Bond) (144A) 750,000 $752,291
Branch Banking & Trust Co., Floating Rate Note, 5/23/17 500,000 $497,804
Branch Banking & Trust Co., Floating Rate Note, 9/13/16 1,814,000 $1,806,464
Bright Horizons Family Solutions, Inc., Term B Loan, 1/30/20 596,827 $592,165
BRIGHT HORIZONS FAMILY SOLUTIONS I 1ST LIEN TL-B1 L + 3.25% 30Jan20 600,000 $597,750
British Telecommunications Plc, 2.0%, 6/22/15 4,729,000 $4,764,631
BSN medical International Holding GmbH & Co KG, Facility B1b, 8/28/19 593,611 $592,374
BURGER KING CORP 1ST LIEN TL-B L + 3.5% 25Sep21 620,000 $621,404
BWAY HOLDING CO 1ST LIEN TL-B L + 4.5% 08Aug20 398,000 $398,165
Cabelas Credit Card Master Note Trust, Floating Rate Note, 2/18/20 (144A) 2,150,000 $2,165,195
Cabelas Credit Card Master Note Trust, Floating Rate Note, 3/16/20 900,000 $900,052
Cabela s Credit Card Master Note Trust, Floating Rate Note, 6/17/19 (144A) 3,630,000 $3,641,821
Cabelas Credit Card Master Note Trust, Floating Rate Note, 9/17/18 (144A) 2,475,000 $2,482,883
Caelus Re, Ltd., Floating Rate Note, 3/7/16 (Cat Bond) (144A) 2,250,000 $2,325,523
Caelus Re 2013, Ltd., Floating Rate Note, 4/7/20 (Cat Bond) (144A) 2,300,000 $2,423,966
Caisse Centrale Desjardins, Floating Rate Note, 1/29/18 (144A) 2,590,000 $2,589,756
California Republic Auto Receivables Trust 2012-1, 1.18%, 8/15/17 (144A) 1,138,000 $240,229
California Republic Auto Receivables Trust 2013-1, 1.41%, 9/17/18 (144A) 500,000 $263,112
Calpine Construction Finance Co LP, Term B-1 Loan, 5/3/20 1,182,000 $1,147,722
Calpine Corp., Term Loan (10/12), 10/9/19 758,236 $751,060
CAM Mortgage Trust 2014-2, 2.6%, 12/15/53 (Step) (144A) 2,130,000 $612,622
Canadian National Railway Co., Floating Rate Note, 11/14/17 1,670,000 $1,665,430
Canadian Natural Resources, Ltd., Floating Rate Note, 3/30/16 2,399,000 $2,396,233
Capital Auto Receivables Asset Trust 2013-1, 1.74%, 10/22/18 3,200,000 $3,221,205
Capital Auto Receivables Asset Trust 2013-3, Floating Rate Note, 11/20/15 840,000 $114,165
Capital One Financial Corp., 1.0%, 11/6/15 2,600,000 $2,610,769
Capital One Financial Corp., 2.15%, 3/23/15 6,359,000 $6,421,683
Capital One Financial Corp., Floating Rate Note, 11/6/15 1,875,000 $1,882,865
Capital One Multi-Asset Execution Trust, Floating Rate Note, 12/16/19 3,400,000 $3,386,469
Capital One Multi-Asset Execution Trust, Floating Rate Note, 2/15/19 1,950,000 $1,950,381
Capital One Multi-Asset Execution Trust, Floating Rate Note, 6/17/19 4,470,000 $4,458,668
Capital One Multi-Asset Execution Trust, Floating Rate Note, 8/15/18 6,945,000 $6,942,812
Capital One NA, Floating Rate Note, 3/22/16 1,900,000 $1,903,393
Carefree Portfolio Trust 2014-CARE, Floating Rate Note, 11/15/29 (144A) 3,300,000 $3,304,514
Carlyle High Yield Partners VII, Ltd., Floating Rate Note, 9/30/19 (144A) 5,000,000 $4,486,564
CarMax Auto Owner Trust 2011-1, 2.16%, 9/15/16 200,000 $61,961
CarMax Auto Owner Trust 2011-3, 1.07%, 6/15/16 518,000 $8,284
Carrington Mortgage Loan Trust Series 2005-NC1, Floating Rate Note, 2/26/35 19,369,028 $3,332,793
Carrington Mortgage Loan Trust Series 2005-NC4, Floating Rate Note, 9/25/35 375,000 $42,166
Carrington Mortgage Loan Trust Series 2006-OPT1, Floating Rate Note, 12/25/35 9,778,000 $1,917,175
Castle Garden Funding, Floating Rate Note, 10/27/20 (144A) 7,000,000 $1,153,653
Caterpillar Financial Services Corp., Floating Rate Note, 2/26/16 1,500,000 $1,503,566
Caterpillar Financial Services Corp., Floating Rate Note, 2/9/15 2,000,000 $2,002,757
CCG Receivables Trust 2014-1, 1.06%, 11/14/21 (144A) 1,900,000 $1,902,754
CCG Receivables Truste 2013-1, 1.05%, 4/14/20 (144A) 900,000 $391,682
CD 2005-CD1 Commercial Mortgage Trust, Floating Rate Note, 7/15/44 3,277,000 $3,109,020
CDGJ Commercial Mortgage Trust 2014-BXCH, Floating Rate Note, 12/15/27 (144A) 4,860,000 $4,869,045
Cedar Fair LP, U.S. Term Facility, 3/6/20 96,885 $96,920
Cent CLO 16 LP, Floating Rate Note, 8/1/24 (144A) 3,250,000 $3,237,558
Centex Home Equity Loan Trust 2003-A, Floating Rate Note, 3/25/33 2,230,000 $372,788
Cequel Communications LLC, Term Loan, 2/14/19 1,115,014 $1,105,334
CGBAM Commercial Mortgage Trust 2014-HD, Floating Rate Note, 2/18/31 (144A) 1,050,000 $1,047,424
CG-CCRE Commercial Mortgage Trust 2014-FL1, Floating Rate Note, 6/16/31 (144A) 5,670,000 $5,661,944
CGWF Commercial Mortgage Trust 2013-RKWH REMICS, Floating Rate Note, 11/15/30 (144A) 6,770,000 $6,788,181
CHARTER COMMUNICATIONS 1ST LIEN TL-B L + 3.5% 12Aug21 1,250,000 $1,256,872
Charter Communications Operating LLC, Term F Loan, 12/31/20 1,305,125 $1,286,363
Chase Funding Trust Series 2002-4, Floating Rate Note, 10/25/32 1,000,000 $17,972
Chase Issuance Trust, 0.47%, 5/15/17 200,000 $200,044
Chase Issuance Trust, 0.54%, 10/16/17 1,001,000 $1,001,554
Chase Issuance Trust, 0.59%, 8/15/17 950,000 $950,753
Chase Issuance Trust, 0.79%, 6/15/17 8,755,000 $8,769,683
Chase Issuance Trust, Floating Rate Note, 10/16/17 2,700,000 $2,698,827
Chase Issuance Trust, Floating Rate Note, 11/15/18 2,500,000 $2,500,779
Chase Issuance Trust, Floating Rate Note, 2/15/17 6,345,000 $6,345,624
Chase Issuance Trust, Floating Rate Note, 4/15/19 150,000 $149,067
Chase Issuance Trust, Floating Rate Note, 4/15/19 1,350,000 $1,342,884
Chase Issuance Trust, Floating Rate Note, 4/16/18 3,000,000 $2,998,618
Chase Issuance Trust, Floating Rate Note, 5/15/17 5,102,000 $5,101,522
Chase Issuance Trust, Floating Rate Note, 8/15/17 9,130,000 $9,126,619
Chase Mortgage Finance Trust Series 2005-S1, 5.5%, 5/25/35 19,264,330 $325,598
Chemtura Corp., New Term Loan, 8/29/16 146,428 $146,489
Chesapeake Funding LLC, Floating Rate Note, 11/7/23 (144A) 3,790,000 $1,172,360
Chesapeake Funding LLC, Floating Rate Note, 11/7/23 (144A) 250,000 $251,370
Chesapeake Funding LLC, Floating Rate Note, 3/7/26 1,900,000 $1,900,317
Chesapeake Funding LLC, Floating Rate Note, 4/7/24 (144A) 2,050,000 $1,067,442
Chesapeake Funding LLC, Floating Rate Note, 5/7/24 (144A) 200,000 $201,026
Chesapeake Funding LLC, Floating Rate Note, 5/7/24 (144A) 2,550,000 $1,311,576
Chevron Corp., Floating Rate Note, 11/9/16 2,640,000 $2,642,240
Chevy Chase Funding LLC Mort-Backed Cert Series 2004-1, Frn, 1/25/35 (144A) 3,700,000 $107,019
Chevy Chase Funding LLC Mort-Backed Certs Series 2004-3, Frn, 8/25/35 (144A) 1,300,000 $51,395
CHL Mortgage Pass-Through Trust 2003-11, Floating Rate Note, 5/25/33 30,308,000 $289,153
CHL Mortgage Pass-Through Trust 2003-15 REMICS, Floating Rate Note, 6/25/18 28,013,062 $576,933
CHL Mortgage Pass-Through Trust 2003-J7, Floating Rate Note, 8/25/18 2,400,000 $50,086
CHL Mortgage Pass-Through Trust 2004-29, Floating Rate Note, 2/25/35 96,156,000 $4,561,977
CHS, 2021 Term D Loan, 1/27/21 71,646 $71,702
CIFC Funding 2007-I, Ltd., Floating Rate Note, 5/10/21 (144A) 500,000 $297,148
Cincinnati Bell, Inc., Tranche B Term Loan, 9/10/20 1,234,375 $1,225,888
Cisco Systems, Inc., Floating Rate Note, 3/3/17 2,580,000 $2,578,927
Cisco Systems, Inc., Floating Rate Note, 9/3/15 3,600,000 $3,601,819
CITADEL PLASTICS HOLDINGS INC 1ST LIEN TLB L + 4.25% 05Nov20 1,181,000 $1,173,618
CIT Equipment Collateral 2014-VT1, 1.03%, 5/22/17 (144A) 2,500,000 $2,500,120
Citibank Credit Card Issuance Trust, 4.55%, 6/20/17 639,000 $652,505
Citibank Credit Card Issuance Trust, 4.85%, 3/10/17 4,180,000 $4,279,938
Citibank Credit Card Issuance Trust, 5.1%, 11/20/17 1,650,000 $1,726,011
Citibank Credit Card Issuance Trust, Floating Rate Note, 11/7/18 3,490,000 $3,490,507
Citibank Credit Card Issuance Trust, Floating Rate Note, 2/7/18 9,931,000 $9,932,668
Citibank Credit Card Issuance Trust, Floating Rate Note, 4/24/17 17,520,000 $17,512,067
Citibank Credit Card Issuance Trust, Floating Rate Note, 5/22/17 6,500,000 $6,522,561
Citibank Credit Card Issuance Trust, Floating Rate Note, 5/9/18 3,500,000 $3,498,529
Citicorp Mortgage Securities REMIC Pass-Through Certificates Trust Series 2005-4, 5.0%, 7/25/20 486,000 $15,401
Citicorp Mortgage Securities REMIC Pass-Through Certificates Trust Series 2005-7, 5.0%, 10/25/35 17,468,000 $1,182,661
Citigroup, Inc., Floating Rate Note, 11/15/16 1,700,000 $1,704,273
Citigroup, Inc., Floating Rate Note, 11/24/17 2,630,000 $2,628,716
Citigroup, Inc., Floating Rate Note, 4/1/16 1,325,000 $1,329,408
Citigroup, Inc., Floating Rate Note, 7/25/16 3,700,000 $3,721,263
Citigroup Commercial Mortgage Trust 2007-FL3, Floating Rate Note, 4/15/22 (144A) 1,105,112 $1,096,073
Citigroup Commercial Mortgage Trust 2007-FL3, Floating Rate Note, 4/15/22 (144A) 497,205 $494,370
Citigroup Commercial Mortgage Trust 2007-FL3, Floating Rate Note, 4/15/22 (144A) 1,430,707 $196,792
Citigroup Commercial Mortgage Trust 2007-FL3, Floating Rate Note, 4/15/22 (144A) 1,982,362 $1,971,223
Citigroup Mortgage Loan Trust, Inc., 6.5%, 6/25/16 10,100,000 $8,868
Citigroup Mortgage Loan Trust, Inc., Floating Rate Note, 11/25/34 3,500,000 $219,709
Citigroup Mortgage Loan Trust, Inc., Floating Rate Note, 5/25/35 (144A) 2,925,000 $2,843,709
Citigroup Mortgage Loan Trust, Inc., Floating Rate Note, 5/25/35 (144A) 1,150,000 $1,756
Citigroup Mortgage Loan Trust 2006-SHL1, Floating Rate Note, 11/27/45 (144A) 21,220,000 $2,093,888
Citigroup Mortgage Loan Trust 2010-4 REMICS, 5.0%, 10/25/35 (144A) 9,095,000 $2,541,859
Citigroup Mortgage Loan Trust 2010-7 REMICS, Floating Rate Note, 9/25/37 (144A) 6,105,345 $940,817
Citigroup Mort Loan Tr Ser 2004-OPT1 Asset Backed Pass-Through Cert, FRN, 10/25/34 2,140,000 $1,822,936
Citrus Re, Ltd., Floating Rate Note, 4/18/17 (Cat Bond) (144A) 250,000 $252,353
Citrus Re, Ltd., Floating Rate Note, 4/24/17 (Cat Bond) (144A) 1,350,000 $1,349,268
City Center Trust 2011-CCHP, Floating Rate Note, 7/17/28 (144A) 950,000 $951,255
CLI Funding LLC, Floating Rate Note, 8/18/21 (144A) 7,250,000 $1,034,162
CNH Equipment Trust 2011-A, 2.04%, 10/17/16 565,000 $227,464
CNH Equipment Trust 2012-A, 2.09%, 8/15/18 2,310,000 $2,343,850
CNH Equipment Trust 2013-A, 0.69%, 6/15/18 1,874,000 $1,376,566
CNH Equipment Trust 2013-C, 0.63%, 1/17/17 1,903,426 $473,660
CNH Wholesale Master Note Trust, Floating Rate Note, 8/15/19 (144A) 1,550,000 $1,554,000
CNL Commercial Mortgage Loan Trust 2002-1, Floating Rate Note, 10/25/28 (144A) 42,221,000 $1,279,259
CNL Commercial Mortgage Loan Trust 2003-2, Floating Rate Note, 10/25/30 (144A) 3,600,000 $308,354
CNO Financial Group, Inc., Tranche B-2 Term Loan, 9/28/18 459,849 $456,256
Coca-Cola Enterprises, Inc., 2.125%, 9/15/15 551,000 $560,525
Colony American Homes 2014-1, Floating Rate Note, 5/19/31 (144A) 2,300,000 $2,255,160
Colony American Homes 2014-2, Floating Rate Note, 7/19/31 (144A) 2,100,000 $2,060,979
COMM 2005-C6 Mortgage Trust, Floating Rate Note, 6/10/44 6,607,413 $6,724,217
COMM 2005-C6 Mortgage Trust, Floating Rate Note, 6/10/44 2,675,000 $2,191,096
COMM 2013-FL3 Mortgage Trust, Floating Rate Note, 10/13/28 (144A) 1,597,000 $1,274,277
COMM 2014-FL5 Mortgage Trust, Floating Rate Note, 10/15/31 (144A) 4,970,000 $4,958,375
COMM 2014-KYO Mortgage Trust, Floating Rate Note, 6/11/27 (144A) 5,740,000 $5,722,369
COMM 2014-PAT Mortgage Trust, Floating Rate Note, 8/13/27 (144A) 2,722,000 $2,712,530
COMM 2014-SAVA Mortgage Trust, Floating Rate Note, 6/15/34 (144A) 5,454,000 $5,442,933
COMM 2014-TWC Mortgage Trust, Floating Rate Note, 2/13/32 (144A) 6,150,000 $6,143,053
Commercial Mortgage Pass Through Certificates, Floating Rate Note, 11/19/26 (144A) 2,250,000 $849,846
Commercial Mortgage Trust 2005-GG3, Floating Rate Note, 8/10/42 3,300,000 $2,051,288
Commercial Mortgage Trust 2005-GG5, Floating Rate Note, 4/10/37 6,995,000 $7,168,367
Commonwealth Bank of Australia, Floating Rate Note, 12/4/15 (144A) 1,800,000 $1,803,677
Commonwealth Bank of Australia, Floating Rate Note, 3/13/17 (144A) 2,000,000 $2,002,772
Commonwealth Bank of Australia, Floating Rate Note, 9/18/15 (144A) 1,575,000 $1,584,628
CommScope, Inc., Tranche 3 Term Loan, 1/21/17 158,035 $157,311
CommScope, Inc., Tranche 4 Term Loan, 1/14/18 237,053 $236,976
Confie seguros Holding II Co., Term B Loan (First Lien), 11/9/18 493,656 $492,936
Conseco Financial Corp., 7.05%, 1/15/19 600,362 $6,177
ConvaTec, Inc., Dollar Term Loan, 12/22/16 796,875 $796,875
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA New York, Floating Rate Note, 10/23/15 2,500,000 $2,499,905
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA New York, Floating Rate Note, 3/18/16 1,575,000 $1,582,202
Countrywide Asset-Backed Certificates, Floating Rate Note, 1/25/36 125,000 $334
Countrywide Asset-Backed Certificates, Floating Rate Note, 10/25/34 5,000,000 $2,212,577
Countrywide Asset-Backed Certificates, Floating Rate Note, 11/25/35 7,825,000 $264,032
Countrywide Asset-Backed Certificates, Floating Rate Note, 3/25/35 5,600,000 $1,643,244
Countrywide Asset-Backed Certificates, Floating Rate Note, 5/25/35 1,575,000 $338,994
Countrywide Asset-Backed Certificates, Floating Rate Note, 5/25/35 5,000,000 $244,861
Countrywide Asset-Backed Certificates, Floating Rate Note, 6/25/33 (144A) 8,955,000 $177,292
Countrywide Asset-Backed Certificates, Floating Rate Note, 6/25/33 (144A) 2,000,000 $39,344
Countrywide Asset-Backed Certificates, Floating Rate Note, 9/25/35 1,400,000 $181,252
Covanta Energy Corp., Term Loan, 3/28/19 132,000 $131,958
Covidien International Finance SA, 1.35%, 5/29/15 6,575,000 $6,608,308
CPS Auto Receivables Trust 2013-B, 1.82%, 9/15/20 (144A) 731,000 $363,104
CPS Auto Receivables Trust 2014-A, 1.21%, 8/15/18 700,000 $478,852
CPS Auto Receivables Trust 2014-C, 1.31%, 2/15/19 (144A) 2,200,000 $1,922,912
CPS Auto Trust, 1.48%, 3/16/20 (144A) 1,060,000 $387,334
CPS Auto Trust, 1.82%, 12/16/19 (144A) 1,179,000 $391,817
Credit Acceptance Auto Loan Trust 2012-2, 1.52%, 3/16/20 (144A) 3,241,000 $1,906,339
Credit Acceptance Auto Loan Trust 2012-2, 2.21%, 9/15/20 (144A) 2,000,000 $2,014,770
Credit Acceptance Auto Loan Trust 2013-1, 1.21%, 10/15/20 (144A) 1,000,000 $1,001,417
Credit-Based Asset Servicing and Securitization LLC, Floating Rate Note, 7/25/34 2,783,000 $654,429
Credit-Based Asset Servicing and Securitization LLC, Floating Rate Note, 7/25/36 4,500,000 $4,424,755
Credit Suisse Commercial Mortgage Trust Series 2006-C1, Floating Rate Note, 2/15/39 5,802,000 $5,921,717
Credit Suisse Commercial Mortgage Trust Series 2006-C2, Floating Rate Note, 3/15/39 3,730,000 $2,500,413
Credit Suisse First Boston Mortgage Securities Corp., 4.686%, 7/15/37 5,510,000 $584,945
Credit Suisse First Boston Mortgage Securities Corp., 4.832%, 4/15/37 3,450,000 $1,727,614
Credit Suisse First Boston Mortgage Securities Corp., Floating Rate Note, 12/17/40 9,446,500 $6,435,870
Credit Suisse First Boston Mortgage Securities Corp., Floating Rate Note, 12/25/33 300,000 $712
Credit Suisse First Boston Mortgage Securities Corp., Floating Rate Note, 6/25/34 26,125,000 $343,286
Credit Suisse First Boston Mortgage Securities Corp., Floating Rate Note, 7/25/35 15,315,000 $1,704,608
Credit Suisse First Boston Mortgage Securities Corp., Floating Rate Note, 8/15/38 8,955,043 $6,104,358
Credit Suisse Mortgage Capital Certificates, Floating Rate Note, 10/27/36 (144A) 2,010,000 $158,887
Credit Suisse Mortgage Capital Certificates REMICS, Floating Rate Note, 7/27/36 (144A) 7,712,000 $1,429,832
CROWN AMERICAS LLC 1ST LIEN TL-B L + 3.25% 20Oct21 1,250,000 $1,258,701
CROWN CASTLE 1ST LIEN TERM-B2 L + 2.5% 31Jan21 1,180,207 $1,163,020
CROWNE GROUP LLC 1ST LIEN TL-B L + 5% 29Sep20 498,750 $491,268
Crusade Global Trust, Floating Rate Note, 11/15/37 17,300,000 $2,563,662
Crusade Global Trust, Floating Rate Note, 7/20/38 (144A) 1,200,000 $134,839
Crusade Global Trust No 1 of 2007, Floating Rate Note, 4/19/38 15,883,244 $2,492,567
CSMC Series 2014-ICE, Floating Rate Note, 4/15/27 (144A) 6,470,000 $6,471,238
CSMC Trust 2014-SURF, Floating Rate Note, 2/15/29 (144A) 2,400,000 $2,396,655
CSMC Trust 2014-SURF REMICS, Floating Rate Note, 2/15/29 (144A) 2,400,000 $2,399,708
CWABS Asset-Backed Certificates Trust 2004-7, Floating Rate Note, 12/25/34 2,140,000 $1,110,671
CWABS Asset-Backed Certificates Trust 2005-1, Floating Rate Note, 2/25/33 1,113,000 $137,688
CWABS Master Trust Series 2003-D Subtrust, Floating Rate Note, 6/15/29 28,190,000 $35,771
CWGS Group LLC, Term Loan, 2/20/20 397,452 $395,961
Daimler Finance North America LLC, 1.3%, 7/31/15 (144A) 5,100,000 $5,152,122
Daimler Finance North America LLC, 1.65%, 4/10/15 (144A) 2,131,000 $2,145,826
Daimler Finance North America LLC, Floating Rate Note, 3/10/17 (144A) 1,500,000 $1,498,424
Daimler Finance North America LLC, Floating Rate Note, 8/1/16 (144A) 1,500,000 $1,510,950
Daimler Finance North America LLC, Floating Rate Note, 8/1/17 (144A) 2,061,000 $2,061,879
Darling Ingredients, Inc., Term B USD Loan, 12/19/20 1,578,075 $1,573,787
DAVITA HEALTHCARE PARTNERS INC 1ST LIEN TL-B L + 2.75% 19Jun21 473,859 $472,378
DEALERTRACK TECHNOLOGIES INC, Term Loan, 2/27/21 954,021 $941,190
Del Coronado Trust 2013-DEL, Floating Rate Note, 3/16/26 (144A) 1,460,000 $1,460,811
Dell Equipment Finance Trust 2014-1, 0.64%, 7/22/16 (144A) 800,000 $800,375
DELOS FINANCE SARL, Loan, 2/27/21 1,295,000 $1,291,560
Delta Air Lines, Inc., 2014 Term B-1 Loan, 10/18/18 735,000 $728,454
Delta Air Lines, Inc., Term Loan, 4/20/17 294,656 $294,080
Delta Funding Home Equity Loan Trust 1997-2, 7.04%, 6/25/27 1,000,000 $927
Deltek, Inc., Term Loan (First Lien), 10/10/18 295,477 $294,123
Devon Energy Corp., Floating Rate Note, 12/15/15 4,800,000 $4,799,103
DigitalGlobe, Inc., Term Loan, 1/31/20 875,040 $872,437
Direct Capital Funding V LLC, 1.673%, 12/20/17 (144A) 725,000 $90,573
Discover Card Execution Note Trust, 0.69%, 8/15/18 3,125,000 $3,127,723
Discover Card Execution Note Trust, 0.81%, 8/15/17 3,000,000 $3,001,605
Discover Card Execution Note Trust, 0.86%, 11/15/17 1,700,000 $1,702,856
Discover Card Execution Note Trust, Floating Rate Note, 1/16/18 1,345,000 $1,345,033
Discover Card Execution Note Trust, Floating Rate Note, 10/15/18 3,915,000 $3,913,022
Discover Card Execution Note Trust, Floating Rate Note, 3/15/18 6,550,000 $6,564,185
Drillships Financing Holding, Inc., Tranche B-1 Term Loan, 3/31/21 985,000 $767,807
Drug Royalty II LP 2, Floating Rate Note, 7/15/23 (144A) 1,350,000 $1,279,432
DTZ US BORROWER LLC 1ST LIEN TL L + 4.5% 28Oct21 1,714,786 $1,718,001
Duke Energy Corp., 3.35%, 4/1/15 2,600,000 $2,641,019
Duke Energy Corp., Floating Rate Note, 4/3/17 1,740,000 $1,743,033
Duke Energy Indiana, Inc., Floating Rate Note, 7/11/16 1,375,000 $1,376,679
Duke Energy Ohio, Inc., Floating Rate Note, 3/6/15 725,000 $725,378
Duke Energy Progress, Inc., Floating Rate Note, 11/20/17 2,600,000 $2,602,217
Duke Energy Progress, Inc., Floating Rate Note, 3/6/17 1,275,000 $1,272,641
DynCorp International, Inc., Term Loan, 7/7/16 143,055 $142,399
Dynegy, Inc., Tranche B-2 Term Loan, 4/23/20 454,615 $450,708
East Lane Re, Ltd., Floating Rate Note, 3/13/15 (Cat Bond) (144A) 1,000,000 $1,013,481
East Lane Re V, Ltd., Floating Rate Note, 3/16/16 (Cat Bond) (144A) 250,000 $267,125
East Lane Re VI, Ltd., Floating Rate Note, 3/14/18 (Cat Bond) (144A) 2,000,000 $2,002,250
ECO SERVICES OPERATIONS LLC 1ST LIEN TL-B L + 3.75% 10Oct21 1,400,000 $1,393,000
Eden Re II, Ltd., 0.0%, 4/19/18 (Cat Bond) (144A) 1,300,000 $1,300,000
Electricite de France SA, Floating Rate Note, 1/20/17 (144A) 1,865,000 $1,870,305
Ellington Loan Acquisition Trust 2007-1, Floating Rate Note, 5/26/37 (144A) 2,400,000 $2,093,386
Ellington Loan Acquisition Trust 2007-2, Floating Rate Note, 5/26/37 (144A) 5,000,000 $403,013
Embarcadero Reinsurance, Ltd., Floating Rate Note, 2/7/17 (Cat Bond) (144A) 1,025,000 $1,040,850
Emdeon, Inc., Term B-2 Loan, 11/2/18 1,603,937 $1,580,881
Enbridge, Inc., Floating Rate Note, 10/1/16 1,650,000 $1,650,378
Encore Credit Receivables Trust 2005-3, Floating Rate Note, 10/25/35 3,705,000 $821,227
ENDO LUXEMBOURG FINANCE I 1ST LIEN TL-B L + 2.5% 05Nov20 496,250 $490,202
Entercom Radio LLC, Term B-2 Loan, 11/23/18 343,663 $342,804
Enterprise Fleet Financing LLC, 0.72%, 4/20/18 (144A) 4,500,000 $1,102,751
Enterprise Fleet Financing LLC, 0.87%, 9/20/19 2,000,000 $1,913,144
Enterprise Fleet Financing LLC, 0.93%, 4/20/18 (144A) 1,800,000 $1,802,838
Enterprise Products Operating LLC, 3.7%, 6/1/15 3,830,000 $3,886,203
Envision Healthcare Corp., Initial Term Loan, 5/25/18 1,249,097 $1,244,413
Epiq Systems, Inc., Term Loan, 8/27/20 469,062 $466,130
EQTY 2014-INNS Mortgage Trust, Floating Rate Note, 5/8/31 (144A) 3,530,000 $3,489,274
EQTY 2014-INNS Mortgage Trust REMICS, Floating Rate Note, 5/8/31 (144A) 1,850,000 $1,832,612
Equity One Mortgage Pass-Through Trust 2004-3, Floating Rate Note, 7/25/34 14,189,000 $868,300
EquiVantage Home Equity Loan Trust 1997-1, 8.05%, 3/25/28 (Step) 1,500,000 $26,838
Evergreen Skills Lux Sarl, Initial Term Loan (First Lien), 4/23/21 399,000 $387,861
Exeter Automobile Receivables Trust 2012-2, 1.3%, 6/15/17 (144A) 1,000,000 $72,025
Exeter Automobile Receivables Trust 2012-2, 3.06%, 7/16/18 (144A) 1,000,000 $1,009,481
Exeter Automobile Receivables Trust 2014-2, 1.06%, 8/15/18 1,400,000 $932,229
Expert Global Solutions, Inc., Term B Advance (First Lien), 4/3/18 10,554 $10,519
Express Scripts Holding Co., 2.1%, 2/12/15 5,323,000 $5,378,531
Extended Stay America Trust 2013-ESH, Floating Rate Note, 12/5/31 (144A) 800,000 $798,418
Extended Stay America Trust 2013-ESH, Floating Rate Note, 12/5/31 (144A) 900,000 $896,422
Exxon Mobil Corp., Floating Rate Note, 3/15/17 1,980,000 $1,977,346
Fannie Mae, 7.0%, 10/1/17 2,241,352 $6,418
Fannie Mae, Floating Rate Note, 1/1/48 175,000 $23,692
Fannie Mae, Floating Rate Note, 10/1/32 500,000 $27,593
Fannie Mae, Floating Rate Note, 11/1/23 970,000 $9,648
Fannie Mae, Floating Rate Note, 2/1/34 500,000 $23,994
Fannie Mae, Floating Rate Note, 9/1/32 375,000 $21,511
Fannie Mae Connecticut Avenue Securities, Floating Rate Note, 10/25/23 4,205,000 $3,391,148
Fannie Mae Connecticut Avenue Securities, Floating Rate Note, 5/25/24 3,560,000 $3,118,251
Fannie Mae Connecticut Avenue Securities, Floating Rate Note, 7/25/24 5,330,000 $4,657,328
Fannie Mae Trust 2003-W6, Floating Rate Note, 9/25/42 11,350,000 $934,629
Fannie Mae Trust 2005-W4, Floating Rate Note, 6/25/45 1,500,000 $226,651
Fannie Mae Whole Loan, Floating Rate Note, 11/25/46 12,390,000 $2,098,676
FCA US LLC, Term Loan B, 5/24/17 374,031 $372,887
FCA US LLC, Tranche B Term Loan, 12/29/18 2,878,250 $2,865,657
FCI - FIDJI LUXEMBOURG BC4 SARL, Term Loan, 12/19/20 1,347,500 $1,351,710
Federal Farm Credit Banks, 0.39%, 4/25/16 2,133,000 $2,134,998
Federal Farm Credit Banks, Floating Rate Note, 10/26/15 2,560,000 $2,560,544
Federal Farm Credit Banks, Floating Rate Note, 2/18/16 2,610,000 $2,611,925
Federal Farm Credit Banks, Floating Rate Note, 3/23/15 18,770,000 $18,777,680
Federal Farm Credit Banks, Floating Rate Note, 3/4/15 1,360,000 $1,360,710
Federal Farm Credit Banks, Floating Rate Note, 3/9/15 2,200,000 $2,200,300
Federal Farm Credit Banks, Floating Rate Note, 9/18/15 2,540,000 $2,541,649
Federal Home Loan Banks, 2.9%, 4/20/17 4,130,000 $755,883
Federal Home Loan Banks, Floating Rate Note, 10/7/15 2,640,000 $2,642,195
Federal Home Loan Mortgage Corp., Floating Rate Note, 1/15/35 5,669,000 $767,312
Federal Home Loan Mortgage Corp., Floating Rate Note, 10/1/23 1,890,000 $8,662
Federal Home Loan Mortgage Corp., Floating Rate Note, 11/1/33 850,000 $15,106
Federal Home Loan Mortgage Corp., Floating Rate Note, 6/1/35 3,000,000 $7,584
Federal Home Loan Mortgage Corp., Floating Rate Note, 6/26/15 2,000,000 $2,000,535
Federal Home Loan Mortgage Corp., Floating Rate Note, 8/15/35 50,000,000 $4,961,633
Federal Home Loan Mortgage Corp. REMICS, 3.5%, 6/15/28 5,381,000 $579,104
Federal Home Loan Mortgage Corp. REMICS, 4.0%, 1/15/24 1,801,000 $42,298
Federal Home Loan Mortgage Corp. REMICS, 4.0%, 11/15/23 95,000 $62,491
Federal Home Loan Mortgage Corp. REMICS, 5.0%, 6/15/34 2,168,000 $285
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 1/15/33 45,500,000 $608,370
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 1/15/36 1,837,000 $364,765
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 1/15/37 63,238,000 $4,061,716
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 10/15/20 1,400,000 $128,274
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 10/15/31 1,750,000 $109,075
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 10/15/37 9,195,000 $664,839
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 10/15/37 18,287,000 $1,243,636
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 11/15/18 7,142,857 $40,339
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 11/15/31 20,187,077 $130,445
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 11/15/33 2,550,000 $327,103
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 11/15/35 850,000 $184,858
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 11/15/36 5,342,000 $954,632
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 11/15/36 2,850,000 $472,755
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 11/15/40 1,265,000 $585,231
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/20 1,000,000 $153,888
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/28 56,250,000 $477,235
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/32 1,700,000 $32,050
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/32 2,500,000 $4,398
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/32 15,400,000 $238,415
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/32 11,201,000 $851,606
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/32 9,063,000 $689,248
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/39 2,334,000 $919,774
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/41 1,000,000 $652,131
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/19 4,675,000 $307,807
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/25 2,142,856 $436,266
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/29 23,100,000 $262,659
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/30 2,056,750 $923,894
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/33 49,250,000 $666,646
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/33 15,000,000 $420,216
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/36 5,000,000 $390,635
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/36 5,087,000 $907,227
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/37 23,400,000 $1,379,971
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/39 1,251,000 $634,107
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 3/15/24 6,200,000 $1,481,366
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 3/15/32 22,000,000 $202,847
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 3/15/32 64,920,000 $740,363
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 3/15/32 122,751,000 $1,087,938
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 3/15/36 5,000,000 $1,100,463
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 3/15/39 1,000,000 $265,058
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 3/15/41 13,046,000 $2,858,856
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 4/15/35 1,775,000 $373,647
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 4/15/36 3,463,000 $673,736
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 5/15/29 15,000,000 $129,374
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 5/15/33 2,000,000 $237,201
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 5/15/35 10,200,000 $653,682
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 5/15/35 3,925,000 $863,325
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 5/15/36 7,791,000 $540,633
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 5/15/37 3,000,000 $250,433
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 5/15/37 5,000,000 $338,120
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 5/15/41 340,000 $106,634
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 6/15/23 6,500,000 $108,175
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 6/15/33 10,000,000 $544,097
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 6/15/36 5,835,000 $612,931
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 6/15/36 52,250,000 $2,193,272
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 6/15/38 4,056,000 $833,070
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 7/15/21 17,312,039 $243,806
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 7/15/23 2,924,000 $620,933
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 7/15/34 5,000,000 $630,829
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 7/15/36 5,000,000 $926,280
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 7/15/36 15,317,285 $1,175,346
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 7/15/36 1,200,000 $50,206
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 7/15/40 2,570,000 $548,392
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 8/15/26 1,330,000 $471,695
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 8/15/35 2,185,000 $428,438
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 8/15/35 5,000,000 $885,498
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 8/15/36 17,556,000 $886,168
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 9/15/26 1,427,500 $825,796
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 9/15/32 10,000,000 $218,477
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 9/15/36 3,320,000 $379,833
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 9/15/36 3,470,000 $316,084
Federal National Mortgage Association, 0.75%, 8/16/17 (Step) 1,415,000 $1,420,038
Federal National Mortgage Association, Floating Rate Note, 12/25/33 25,758,805 $7,297,615
Federal National Mortgage Association, Floating Rate Note, 2/25/38 50,000,000 $14,772,020
Federal National Mortgage Association, Floating Rate Note, 3/25/18 30,543,000 $846,702
Federal National Mortgage Association, Floating Rate Note, 4/25/35 750,000 $135,236
Federal National Mortgage Association, Floating Rate Note, 8/26/16 6,085,000 $6,088,785
Federal National Mortgage Association REMICS, 4.0%, 6/25/37 3,650,000 $64,247
Federal National Mortgage Association REMICS, 4.5%, 1/25/39 820,000 $44,828
Federal National Mortgage Association REMICS, 6.0%, 3/25/35 1,000,000 $3,537
Federal National Mortgage Association REMICS, Floating Rate Note, 1/18/32 16,977,308 $249,645
Federal National Mortgage Association REMICS, Floating Rate Note, 1/25/32 30,000,000 $403,475
Federal National Mortgage Association REMICS, Floating Rate Note, 1/25/33 5,000,000 $158,587
Federal National Mortgage Association REMICS, Floating Rate Note, 1/25/33 13,036,000 $447,421
Federal National Mortgage Association REMICS, Floating Rate Note, 1/25/40 5,000,000 $394,686
Federal National Mortgage Association REMICS, Floating Rate Note, 10/25/35 6,475,000 $636,232
Federal National Mortgage Association REMICS, Floating Rate Note, 10/25/35 625,000 $26,287
Federal National Mortgage Association REMICS, Floating Rate Note, 10/25/36 71,456,000 $2,617,887
Federal National Mortgage Association REMICS, Floating Rate Note, 10/25/37 2,400,000 $655,740
Federal National Mortgage Association REMICS, Floating Rate Note, 10/25/37 1,030,000 $128,516
Federal National Mortgage Association REMICS, Floating Rate Note, 10/25/38 6,344,000 $664,584
Federal National Mortgage Association REMICS, Floating Rate Note, 10/27/37 2,382,000 $2,348,351
Federal National Mortgage Association REMICS, Floating Rate Note, 11/18/32 105,671,000 $1,933,662
Federal National Mortgage Association REMICS, Floating Rate Note, 11/25/31 44,000,000 $395,260
Federal National Mortgage Association REMICS, Floating Rate Note, 11/25/31 50,000,000 $449,159
Federal National Mortgage Association REMICS, Floating Rate Note, 11/25/33 10,000,000 $766,555
Federal National Mortgage Association REMICS, Floating Rate Note, 11/25/34 9,662,000 $693,769
Federal National Mortgage Association REMICS, Floating Rate Note, 11/25/36 1,625,000 $340,268
Federal National Mortgage Association REMICS, Floating Rate Note, 12/25/23 5,000,000 $346,033
Federal National Mortgage Association REMICS, Floating Rate Note, 12/25/23 13,749,086 $108,329
Federal National Mortgage Association REMICS, Floating Rate Note, 12/25/30 20,000,000 $95,872
Federal National Mortgage Association REMICS, Floating Rate Note, 12/25/31 30,500,000 $1,099,164
Federal National Mortgage Association REMICS, Floating Rate Note, 12/25/32 14,000,000 $407,325
Federal National Mortgage Association REMICS, Floating Rate Note, 12/25/35 3,750,000 $381,307
Federal National Mortgage Association REMICS, Floating Rate Note, 12/25/36 4,800,000 $269,483
Federal National Mortgage Association REMICS, Floating Rate Note, 12/25/37 21,428,000 $723,624
Federal National Mortgage Association REMICS, Floating Rate Note, 12/25/38 400,000 $247,368
Federal National Mortgage Association REMICS, Floating Rate Note, 12/25/49 2,000,000 $266,585
Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/17 14,970,453 $7,594
Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/33 10,610,000 $368,288
Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/33 16,918,890 $804,889
Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/35 2,497,000 $778,412
Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/37 5,150,000 $497,714
Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/37 20,692,000 $880,489
Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/38 4,400,000 $266,321
Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/38 2,184,000 $557,907
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/23 17,080,403 $151,033
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/24 14,460,650 $559,479
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/28 24,210,000 $302,622
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/34 20,624,640 $1,267,125
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/36 700,000 $112,884
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/37 2,300,000 $240,965
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/37 30,888,000 $775,909
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/37 3,413,000 $486,312
Federal National Mortgage Association REMICS, Floating Rate Note, 4/25/25 540,000 $90,961
Federal National Mortgage Association REMICS, Floating Rate Note, 4/25/32 35,072,000 $2,028,062
Federal National Mortgage Association REMICS, Floating Rate Note, 4/25/33 36,000,000 $1,045,359
Federal National Mortgage Association REMICS, Floating Rate Note, 4/25/42 642,857 $459,479
Federal National Mortgage Association REMICS, Floating Rate Note, 5/25/33 15,932,000 $403,564
Federal National Mortgage Association REMICS, Floating Rate Note, 5/25/36 13,100,000 $1,346,570
Federal National Mortgage Association REMICS, Floating Rate Note, 5/25/36 23,900,354 $687,389
Federal National Mortgage Association REMICS, Floating Rate Note, 5/25/37 32,172,000 $1,127,039
Federal National Mortgage Association REMICS, Floating Rate Note, 5/25/40 500,000 $271,035
Federal National Mortgage Association REMICS, Floating Rate Note, 5/25/40 8,500,000 $1,193,494
Federal National Mortgage Association REMICS, Floating Rate Note, 5/25/40 2,619,152 $1,127,924
Federal National Mortgage Association REMICS, Floating Rate Note, 6/25/23 3,460,000 $222,134
Federal National Mortgage Association REMICS, Floating Rate Note, 6/25/36 8,454,822 $841,926
Federal National Mortgage Association REMICS, Floating Rate Note, 6/25/37 632,250 $77,347
Federal National Mortgage Association REMICS, Floating Rate Note, 6/25/37 3,590,000 $332,975
Federal National Mortgage Association REMICS, Floating Rate Note, 6/25/37 7,474,000 $929,695
Federal National Mortgage Association REMICS, Floating Rate Note, 6/25/37 900,000 $104,207
Federal National Mortgage Association REMICS, Floating Rate Note, 7/18/27 10,000,000 $38,703
Federal National Mortgage Association REMICS, Floating Rate Note, 7/25/31 48,885,770 $434,703
Federal National Mortgage Association REMICS, Floating Rate Note, 7/25/31 50,000,000 $306,381
Federal National Mortgage Association REMICS, Floating Rate Note, 7/25/32 15,000,000 $199,252
Federal National Mortgage Association REMICS, Floating Rate Note, 7/25/34 2,860,000 $159,302
Federal National Mortgage Association REMICS, Floating Rate Note, 7/25/34 7,443,000 $500,826
Federal National Mortgage Association REMICS, Floating Rate Note, 7/25/35 9,145,238 $1,957,081
Federal National Mortgage Association REMICS, Floating Rate Note, 7/25/35 23,056,000 $2,650,853
Federal National Mortgage Association REMICS, Floating Rate Note, 7/25/36 2,000,000 $279,015
Federal National Mortgage Association REMICS, Floating Rate Note, 7/25/37 1,942,360 $289,099
Federal National Mortgage Association REMICS, Floating Rate Note, 8/25/31 17,600,000 $212,421
Federal National Mortgage Association REMICS, Floating Rate Note, 8/25/32 15,000,000 $298,373
Federal National Mortgage Association REMICS, Floating Rate Note, 8/25/32 5,000,000 $88,392
Federal National Mortgage Association REMICS, Floating Rate Note, 8/25/33 485,000 $16,950
Federal National Mortgage Association REMICS, Floating Rate Note, 8/25/36 4,450,000 $264,869
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/20 13,700,000 $31,307
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/21 8,269,375 $76,461
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/32 20,000,000 $367,780
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/32 19,400,000 $102,985
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/33 19,984,406 $2,103,844
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/36 13,053,000 $814,654
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/37 9,159,000 $392,675
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/37 1,915,000 $231,818
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/37 3,173,000 $402,022
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/37 7,400,000 $732,507
Fieldstone Mortgage Investment Trust Series 2004-5, Floating Rate Note, 2/25/35 3,600,000 $571,949
Fieldstone Mortgage Investment Trust Series 2005-1, Floating Rate Note, 3/25/35 1,457,000 $513,669
Fieldwood Energy LLC, Closing Date Loan, 9/25/18 2,668,616 $2,460,965
Fifth Third Auto 2013-1, 0.59%, 3/15/16 100,000 $6,487
Fifth Third Auto Trust 2014-3, Floating Rate Note, 5/15/17 1,700,000 $1,700,328
Fifth Third Bancorp, 3.625%, 1/25/16 3,790,000 $3,889,373
Fifth Third Bancorp, Floating Rate Note, 12/20/16 1,727,000 $1,718,275
Fifth Third Bank Cincinnati Ohio, Floating Rate Note, 11/18/16 1,800,000 $1,807,591
Fifth Third Bank Cincinnati Ohio, Floating Rate Note, 2/26/16 3,330,000 $3,337,014
First Franklin Mortgage Loan Trust 2005-FFH3, Floating Rate Note, 9/25/35 4,351,000 $2,000,714
First Franklin Mortgage Loan Trust Series 2005-FF12, Floating Rate Note, 11/25/36 2,150,000 $319,678
First Horizon Mortgage Pass-Through Trust 2003-AR3, Floating Rate Note, 9/25/33 13,000,000 $899,082
First Investors Auto Owner Trust 2012-2, 1.47%, 5/15/18 (144A) 100,000 $19,704
First Investors Auto Owner Trust 2013-2, 1.23%, 3/15/19 (144A) 4,251,000 $2,021,727
First Investors Auto Owner Trust 2013-3, 0.89%, 9/15/17 (144A) 220,000 $80,553
First Investors Auto Owner Trust 2014-2, 0.86%, 8/15/18 (144A) 2,100,000 $2,098,822
First Investors Auto Owner Trust 2014-3, 1.06%, 11/15/18 (144A) 2,000,000 $1,999,458
Firstmac Mortgage Funding Trust Series 1A-2014, Floating Rate Note, 6/26/15 (144A) 2,500,000 $2,501,384
First NLC Trust 2005-2, Floating Rate Note, 9/25/35 369,713 $102,588
Flagstar Home Equity Loan Trust 2005-1, Floating Rate Note, 6/25/18 (144A) 15,500,000 $999,775
Fly Funding II Sarl, Loan, 8/8/18 1,566,924 $1,563,497
FMG Resources August 2006 Pty, Ltd., Loan, 6/30/19 1,470,118 $1,301,843
FNA 2013-1 Trust, 1.98%, 1/10/18 2,199,000 $476,961
FNA 2014-1 Trust, 1.296%, 2/10/22 (144A) 2,500,000 $2,503,870
Foothill CLO, Ltd., Floating Rate Note, 2/22/21 (144A) 2,250,000 $1,184,880
Ford Credit Auto Lease Trust 2013-B, Floating Rate Note, 1/15/16 150,000 $63,385
Ford Credit Auto Lease Trust 2014-B, Floating Rate Note, 3/15/17 2,150,000 $2,148,254
Ford Credit Auto Owner Trust 2011-A, 1.65%, 5/15/16 1,870,000 $81,176
Ford Credit Auto Owner Trust 2011-B, 1.35%, 12/15/16 200,000 $63,146
Ford Credit Auto Owner Trust 2014-A, 0.48%, 11/15/16 1,827,000 $747,758
Ford Credit Floorplan Master Owner Trust A, Floating Rate Note, 1/15/18 350,000 $350,217
Ford Credit Floorplan Master Owner Trust A, Floating Rate Note, 2/15/19 900,000 $900,727
Ford Motor Credit Co LLC, Floating Rate Note, 9/1/18 2,600,000 $2,605,661
Fore CLO, Ltd., Floating Rate Note, 7/20/19 (144A) 1,250,000 $266,947
Foresight Energy LLC, Term Loan, 8/21/20 221,862 $214,097
Fosse Master Issuer Plc, Floating Rate Note, 10/19/54 (144A) 1,000,000 $642,788
Foundation Re III, Ltd., Floating Rate Note, 2/25/15 (Cat Bond) (144A) 4,550,000 $4,607,835
Four Corners CLO II, Ltd., Floating Rate Note, 1/26/20 (144A) 553,000 $532,686
Four Seasons Holdings, Inc., Term Loan (First Lien) 2013, 6/27/20 493,750 $487,886
Franklin Resources, Inc., 3.125%, 5/20/15 2,150,000 $2,180,483
Freddie Mac Strips, Floating Rate Note, 12/15/36 10,968,000 $657,312
Freddie Mac Strips, Floating Rate Note, 8/15/36 10,000,000 $490,521
Freddie Mac Strips, Floating Rate Note, 8/15/36 43,230,336 $2,123,613
Freddie Mac Structured Agency Credit Risk Debt Notes, Floating Rate Note, 10/25/24 2,480,000 $2,450,825
Freddie Mac Structured Agency Credit Risk Debt Notes, Floating Rate Note, 11/25/23 2,250,000 $1,738,223
Freddie Mac Structured Agency Credit Risk Debt Notes, Floating Rate Note, 2/25/24 1,555,000 $1,429,201
Freddie Mac Structured Agency Credit Risk Debt Notes, Floating Rate Note, 8/25/24 5,000,000 $4,850,088
Fremont Home Loan Trust 2005-B, Floating Rate Note, 4/25/35 2,750,000 $612,885
Fresenius US Finance I, Inc., Tranche B Term Loan, 8/7/19 1,481,250 $1,475,695
Gale Force 3 Clo, Ltd., Floating Rate Note, 4/19/21 (144A) 1,200,000 $710,777
Galileo Re, Ltd., Floating Rate Note, 1/9/19 (Cat Bond) (144A) 1,250,000 $1,292,652
Garda World Security Corp., Term B Delayed Draw Loan, 11/8/20 318,543 $311,177
Garda World Security Corp., Term B Loan, 11/1/20 1,245,217 $1,216,421
Gardner Denver, Inc., Initial Dollar Term Loan, 7/30/20 395,000 $370,065
Gator Re, Ltd., Floating Rate Note, 1/9/17 (Cat Bond) (144A) 2,000,000 $1,799,744
GCI HOLDINGS INC 1ST LIEN TL-B L + 3.75% 22Dec21 660,000 $661,511
GE Business Loan Trust 2003-1, Floating Rate Note, 4/15/31 (144A) 20,374,890 $849,565
GE Business Loan Trust 2003-2 REMICS, Floating Rate Note, 11/15/31 (144A) 10,000,000 $1,001,319
GE Business Loan Trust 2004-1, Floating Rate Note, 5/15/32 (144A) 7,667,511 $636,356
GE Business Loan Trust 2004-2, Floating Rate Note, 12/15/32 (144A) 9,937,438 $1,384,816
GE Business Loan Trust 2005-1, Floating Rate Note, 6/15/33 (144A) 5,263,882 $2,408,667
GE Business Loan Trust 2006-2, Floating Rate Note, 11/15/34 (144A) 6,967,382 $2,532,809
GE Business Loan Trust 2007-1, Floating Rate Note, 4/16/35 (144A) 5,387,273 $2,170,895
GE Capital Commercial Mortgage Corp., Floating Rate Note, 7/10/45 1,700,000 $1,721,977
GE Dealer Floorplan Master Note Trust, Floating Rate Note, 10/20/17 888,000 $888,956
GE Dealer Floorplan Master Note Trust, Floating Rate Note, 10/20/19 2,700,000 $2,698,265
GE Dealer Floorplan Master Note Trust, Floating Rate Note, 2/21/17 350,000 $350,103
GE Dealer Floorplan Master Note Trust, Floating Rate Note, 4/20/18 1,190,000 $1,188,791
GE Dealer Floorplan Master Note Trust, Floating Rate Note, 6/20/17 500,000 $500,329
GE Dealer Floorplan Master Note Trust, Floating Rate Note, 6/20/17 2,000,000 $2,001,836
GE Dealer Floorplan Master Note Trust, Floating Rate Note, 7/22/19 2,670,000 $2,662,674
GE Equipment Small Ticket LLC Series 2013-1, 0.73%, 1/25/16 (144A) 800,000 $229,177
GE Equipment Small Ticket LLC Series 2014-1, 1.59%, 8/24/16 1,900,000 $1,900,601
GE Equipment Transportation LLC Series 2013-2, 0.61%, 6/24/16 1,520,000 $689,420
General Electric Capital Corp., 1.625%, 7/2/15 1,000,000 $1,006,791
General Electric Capital Corp., Floating Rate Note, 1/14/16 1,865,000 $1,868,715
General Electric Capital Corp., Floating Rate Note, 1/8/16 3,300,000 $3,318,624
General Electric Capital Corp., Floating Rate Note, 5/11/16 1,000,000 $1,001,656
General Electric Capital Corp., Floating Rate Note, 5/15/17 2,000,000 $1,998,491
General Electric Capital Corp., Floating Rate Note, 7/10/15 690,000 $691,266
General Electric Capital Corp., Floating Rate Note, 7/12/16 1,001,000 $1,008,320
General Electric Capital Corp., Floating Rate Note, 7/2/15 2,793,000 $2,807,387
General Electric Capital Corp., Floating Rate Note, 8/1/17 500,000 $500,753
General Mills, Inc., Floating Rate Note, 1/28/16 1,895,000 $1,891,113
General Mills, Inc., Floating Rate Note, 1/29/16 1,765,000 $1,765,550
Genpact International, Inc., Term Loan, 8/30/19 980,075 $975,481
Georgia Power Co., Floating Rate Note, 3/15/16 1,090,000 $1,090,070
Georgia Power Co., Floating Rate Note, 8/15/16 1,000,000 $1,000,851
Getty Images, Inc., Initial Term Loan, 10/18/19 113,573 $103,186
GLC Trust 2013-1, 3.0%, 7/15/21 (144A) 3,200,000 $2,511,207
Glencore Funding LLC, Floating Rate Note, 5/27/16 (144A) 1,800,000 $1,812,916
Glenn Pool Oil & Gas Trust, Term Loan, 5/2/16 22,808 $22,694
Global Container Assets 2013-1, Ltd., 2.2%, 11/5/28 (144A) 1,750,000 $1,063,134
Global Mortgage Securitization, Ltd., 5.25%, 4/25/32 (144A) 2,691,322 $779,465
Global Mortgage Securitization, Ltd., Floating Rate Note, 11/25/32 (144A) 8,780,000 $477,776
Global Mortgage Securitization, Ltd., Floating Rate Note, 4/25/32 (144A) 29,975,000 $2,612,504
GMAC Commercial Mortgage Securities Inc Series 2004-C2 Trust, Floating Rate Note, 8/10/38 5,341,000 $40,812
GMAC Commercial Mortgage Securities Inc Series 2005-C1 Trust, 4.697%, 5/10/43 3,547,000 $509,397
GMAC Commercial Mortgage Securities Inc Series 2006-C1 Trust, Floating Rate Note, 11/10/45 8,250,000 $5,186,102
GMAT 2013-1 Trust, 3.9669%, 8/25/53 (Step) 5,300,000 $4,035,967
Golden Credit Card Trust, Floating Rate Note, 2/15/18 (144A) 4,300,000 $4,299,428
Golden Credit Card Trust, Floating Rate Note, 9/15/18 (144A) 715,000 $715,655
Golden State RE II, Ltd., Floating Rate Note, 1/8/19 (Cat Bond) (144A) 3,700,000 $3,703,350
Government National Mortgage Association, 4.0%, 7/20/34 31,635,000 $1,069,333
Government National Mortgage Association, Floating Rate Note, 1/16/33 26,309,521 $957,307
Government National Mortgage Association, Floating Rate Note, 1/16/35 11,437,000 $1,196,563
Government National Mortgage Association, Floating Rate Note, 1/20/33 10,000,000 $2,988
Government National Mortgage Association, Floating Rate Note, 10/16/39 2,500,000 $368,999
Government National Mortgage Association, Floating Rate Note, 10/20/38 3,000,000 $974,700
Government National Mortgage Association, Floating Rate Note, 2/20/35 8,941,000 $1,160,737
Government National Mortgage Association, Floating Rate Note, 4/16/29 50,000,000 $545,619
Government National Mortgage Association, Floating Rate Note, 4/16/32 13,425,000 $243,047
Government National Mortgage Association, Floating Rate Note, 5/16/38 8,761,000 $595,529
Government National Mortgage Association, Floating Rate Note, 6/16/31 14,000,000 $239,502
Government National Mortgage Association, Floating Rate Note, 8/16/39 2,960,000 $499,629
Government National Mortgage Association, Floating Rate Note, 8/20/35 3,497,364 $306,581
Government National Mortgage Association, Floating Rate Note, 8/20/38 4,585,000 $437,871
Government National Mortgage Association, Floating Rate Note, 9/16/31 34,344,532 $675,799
Government National Mortgage Association II, Floating Rate Note, 1/20/22 1,000,000 $12,775
GP Portfolio Trust 2014-GGP, Floating Rate Note, 2/16/27 (144A) 3,350,000 $3,350,003
Gracechurch Card Funding Plc, Floating Rate Note, 2/15/17 (144A) 3,605,000 $3,606,906
Gracechurch Card Funding Plc, Floating Rate Note, 5/15/19 (144A) 1,300,000 $1,311,580
Gracechurch Card Funding Plc, Floating Rate Note, 6/15/17 (144A) 2,200,000 $2,203,914
Gracechurch Mortgage Financing Plc, Floating Rate Note, 11/20/56 (144A) 2,500,000 $1,651,672
GRAY TELEVISION INC. 1ST LIEN TL L + 3% 10Jun21 1,002,368 $991,091
GreenPoint Mortgage Funding Trust 2005-HE1, Floating Rate Note, 9/25/34 1,357,437 $415,626
GRIFOLS WORLDWIDE OPERATIONS USA INC, U.S. Tranche B Term Loam, 4/1/21 521,062 $515,733
GSAA Home Equity Trust 2004-11, Floating Rate Note, 12/25/34 5,735,000 $302,965
GSAA Home Equity Trust 2004-6, Floating Rate Note, 6/25/34 52,357,062 $1,335,955
GSAA Home Equity Trust 2004-8, Floating Rate Note, 9/25/34 7,860,000 $256,785
GSAA Home Equity Trust 2005-11, Floating Rate Note, 10/25/35 4,339,000 $425,433
GSAA Trust, Floating Rate Note, 6/25/35 6,300,000 $1,519,721
GSAMP Trust 2004-SEA2, Floating Rate Note, 3/25/34 4,798,600 $3,270,928
GSAMP Trust 2005-HE1, Floating Rate Note, 12/25/34 5,414,212 $398,814
GSAMP Trust 2005-HE6, Floating Rate Note, 11/25/35 220,000 $132,351
GSAMP Trust 2006-HE1, Floating Rate Note, 12/26/45 7,000,000 $1,159,291
GSAMP Trust 2006-SD1, Floating Rate Note, 7/25/45 9,948,000 $723,001
GSAMP Trust 2006-SEA1, Floating Rate Note, 5/25/36 (144A) 25,142,877 $1,832,622
GS Mortgage Securities Trust 2006-GG6 REMICS, Floating Rate Note, 4/10/38 3,550,000 $3,646,764
GS Mortgage Securities Trust 2014-GSFL, Floating Rate Note, 7/15/31 (144A) 1,690,000 $1,690,042
GSR Mortgage Loan Trust 2003-9, Floating Rate Note, 8/25/33 1,500,000 $92,726
GSRPM Mortgage Loan Trust 2003-2, Floating Rate Note, 6/25/33 1,826,298 $1,083,503
GSRPM Mortgage Loan Trust 2006-1, Floating Rate Note, 3/25/35 (144A) 7,593,737 $1,042,082
GSRPM Mortgage Loan Trust 2006-2, Floating Rate Note, 9/25/36 (144A) 5,483,897 $734,348
HALYARD HEALTH INC 1ST LIEN TL-B L + 3.25% 03Oct21 1,000,000 $1,003,750
HarborView Mortgage Loan Trust 2004-1, Floating Rate Note, 4/19/34 16,013,000 $710,816
HarborView Mortgage Loan Trust 2004-4, Floating Rate Note, 6/19/34 25,700,000 $247,459
Harch CLO III, Ltd., Floating Rate Note, 4/17/20 (144A) 500,000 $487,832
Harley-Davidson Financial Services, Inc., 1.15%, 9/15/15 (144A) 4,100,000 $4,128,865
Harley-Davidson Motorcycle Trust 2011-1, 2.12%, 8/15/17 190,000 $191,645
Harley-Davidson Motorcycle Trust 2012-1, 0.68%, 4/17/17 2,700,000 $723,616
Hercules Capital Funding Trust 2012-1, 3.32%, 12/16/17 (144A) 400,000 $48,077
Hertz Fleet Lease Funding LP, Floating Rate Note, 12/10/27 (144A) 500,000 $501,532
Hertz Fleet Lease Funding LP, Floating Rate Note, 12/10/27 (144A) 1,000,000 $951,113
Hertz Fleet Lease Funding LP, Floating Rate Note, 4/10/28 (144A) 1,100,000 $1,099,406
Hewetts Island CDO, Ltd., Floating Rate Note, 6/9/19 (144A) 1,000,000 $1,000,245
Hilton USA Trust 2013-HLF, Floating Rate Note, 11/5/30 (144A) 2,475,000 $2,442,007
Hilton Worldwide Finance LLC, Initial Term Loan, 9/23/20 986,842 $976,819
HJ Heinz Co., Term B-2 Loan, 6/5/20 1,368,152 $1,367,832
HLSS Servicer Advance Receivables Backed Notes Series 2013-T2, 1.1472%, 5/16/44 (144A) 4,240,000 $4,220,961
HLSS Servicer Advance Receivables Trust, 1.4953%, 1/16/46 (144A) 5,600,000 $5,547,721
Holmes Master Issuer Plc, Floating Rate Note, 10/15/54 (144A) 1,676,000 $842,616
Hologic, Inc., Refinancing Tranche B Term Loan, 8/1/19 668,422 $667,706
HomeBanc Mortgage Trust 2005-2, Floating Rate Note, 5/25/25 45,670,847 $1,562,956
Home Equity Asset Trust 2005-6, Floating Rate Note, 12/25/35 3,404,000 $2,835,078
Home Equity Asset Trust 2005-7, Floating Rate Note, 1/25/36 7,770,000 $4,024,869
Home Equity Asset Trust 2006-4, Floating Rate Note, 8/25/36 1,250,000 $309,708
Home Equity Asset Trust 2006-8, Floating Rate Note, 3/25/37 6,984,978 $1,832,063
Homestar Mortgage Acceptance Corp., Floating Rate Note, 1/25/35 11,300,000 $1,127,057
Homestar Mortgage Acceptance Corp., Floating Rate Note, 3/25/34 76,711,000 $4,259,101
Homestar Mortgage Acceptance Corp., Floating Rate Note, 6/25/34 11,977,997 $976,194
Homestar Mortgage Acceptance Corp., Floating Rate Note, 7/25/34 19,310,000 $1,645,793
Honda Auto Receivables 2012-2 Owner Trust, 0.7%, 2/16/16 1,200,000 $203,865
Honda Auto Receivables 2012-4 Owner Trust, 0.52%, 8/18/16 5,000,000 $2,382,457
Honda Auto Receivables 2013-1 Owner Trust, 0.48%, 11/21/16 390,000 $245,610
Honda Auto Receivables 2013-2 Owner Trust, 0.53%, 2/16/17 959,000 $885,158
Honda Auto Receivables 2014-1 Owner Trust, 0.41%, 9/21/16 2,715,000 $2,158,605
Horizon Funding Trust 2013-1, 3.0%, 5/15/18 (144A) 2,777,000 $1,134,443
HSBC Bank Middle East, Ltd., 3.0%, 10/21/15 1,000,000 $1,020,750
HSBC Bank Plc, 3.5%, 6/28/15 (144A) 2,500,000 $2,538,650
HSBC Home Equity Loan Trust USA 2006-3, Floating Rate Note, 3/20/36 8,638,000 $6,869,712
HSBC Home Equity Loan Trust USA 2006-4, Floating Rate Note, 3/20/36 1,061,000 $802,803
HSBC Home Equity Loan Trust USA 2007-3, Floating Rate Note, 11/20/36 100,000 $38,791
HSBC Home Equity Loan Trust USA 2007-3, Floating Rate Note, 11/20/36 13,800,000 $3,146,647
HSBC USA, Inc., 2.375%, 2/13/15 8,014,000 $8,107,742
HSI Asset Securitization Corp Trust 2006-OPT1, Floating Rate Note, 12/25/35 1,719,377 $511,309
Huntsman International LLC, 2014-1 Incremental Term Loan, 9/30/21 1,000,000 $994,063
Hyatt Hotel Portfolio Trust 2015-HYT, Floating Rate Note, 11/15/29 (144A) 1,800,000 $1,802,780
Hyperion Insurance Group, Ltd., Term Loan, 10/4/19 965,250 $962,233
Hyundai Auto Receivables Trust 2012-A, 0.95%, 12/15/16 3,878,000 $2,796,826
Hyundai Auto Receivables Trust 2014-B, 0.44%, 2/15/17 99,000 $84,638
Hyundai Capital Auto Funding VIII, Ltd., Floating Rate Note, 9/20/16 (144A) 5,954,000 $186,727
Hyundai Capital Services, Inc., Floating Rate Note, 3/18/17 (144A) 1,950,000 $1,948,750
IASIS Healthcare LLC, Term B-2 Loan, 5/3/18 487,518 $487,315
Ibis Re II, Ltd., Floating Rate Note, 2/5/15 (Cat Bond) (144A) 3,600,000 $3,639,605
Ibis Re II, Ltd., Floating Rate Note, 2/5/15 (Cat Bond) (144A) 3,500,000 $3,562,387
Ibis Re II, Ltd., Floating Rate Note, 6/28/16 (Cat Bond) (144A) 2,500,000 $2,559,222
Igloo Holdings Corp., 8.25%, 12/15/17 (144A) (PIK) 1,250,000 $1,275,677
Immucor, Inc., Term B-2 Loan, 8/19/18 217,752 $216,481
Impac CMB Trust Series 2003-8, Floating Rate Note, 10/25/33 8,000,000 $486,380
Impac CMB Trust Series 2004-4, Floating Rate Note, 9/25/34 42,840,193 $1,758,795
Impac CMB Trust Series 2004-4, Floating Rate Note, 9/25/34 49,152,075 $2,017,326
Impac CMB Trust Series 2004-5, Floating Rate Note, 8/25/34 9,850,000 $567,149
Impac CMB Trust Series 2004-6, Floating Rate Note, 10/25/34 9,071,000 $466,693
Impac CMB Trust Series 2004-7, Floating Rate Note, 11/25/34 34,014,000 $2,172,577
Impac CMB Trust Series 2004-8, Floating Rate Note, 8/25/34 14,550,000 $1,749,635
Impac CMB Trust Series 2004-8, Floating Rate Note, 8/25/34 2,122,000 $247,934
Impac CMB Trust Series 2004-9, Floating Rate Note, 1/25/35 19,075,000 $1,223,683
Impac Secured Assets CMN Owner Trust, Floating Rate Note, 11/25/34 30,931,007 $748,323
Impac Secured Assets Trust 2006-1, Floating Rate Note, 5/25/36 6,501,000 $2,096,119
Impac Secured Assets Trust 2006-2, Floating Rate Note, 8/25/36 4,987,000 $982,727
Impac Secured Assets Trust 2006-5, Floating Rate Note, 12/25/36 3,800,000 $775,996
Intelsat Jackson Holdings SA, Tranche B-2 Term Loan, 6/30/19 521,732 $516,732
INTERACTIVE DATA 1ST LIEN TL-B L + 3.75% 24Apr21 212,967 $212,635
inVentiv Health, Inc., Term B-3 Loan, 5/15/18 66,145 $65,566
Invitation Homes 2013-SFR1 Trust, Floating Rate Note, 12/19/30 (144A) 1,800,000 $1,772,130
Invitation Homes 2014-SFR2 Trust, Floating Rate Note, 9/18/31 (144A) 2,100,000 $2,087,561
Invitation Homes 2014-SFR3 Trust, Floating Rate Note, 12/17/31 (144A) 2,000,000 $1,984,257
Inwood Park CDO, Ltd., Floating Rate Note, 1/20/21 (144A) 3,500,000 $991,983
Irwin Home Equity Loan Trust 2005-1, Floating Rate Note, 6/25/25 18,060,000 $3,581,785
Irwin Whole Loan Home Equity Trust 2003-C, Floating Rate Note, 6/25/28 7,545,000 $1,764,526
Irwin Whole Loan Home Equity Trust 2005-B, Floating Rate Note, 12/25/29 6,125,000 $3,235,224
IXIS Real Estate Capital Trust 2005-HE4, Floating Rate Note, 2/25/36 3,493,986 $545,566
Jackson National Life Global Funding, Floating Rate Note, 7/29/16 (144A) 2,600,000 $2,599,664
Jackson National Life Global Funding, Floating Rate Note, 9/30/15 (144A) 3,300,000 $3,307,755
Jarden Corp., Tranche B1 Term Loan, 9/30/20 987,500 $991,696
JBS USA LLC, Initial Term Loan, 5/25/18 874,626 $868,591
JLL, Initial Dollar Term Loan, 1/23/21 303,475 $296,343
JMC Steel Group, Inc., Term Loan, 4/1/17 357,545 $351,958
John Deere Capital Corp., Floating Rate Note, 10/11/16 1,500,000 $1,503,670
John Deere Capital Corp., Floating Rate Note, 12/10/15 1,800,000 $1,801,665
JOHN DEERE CAPITAL Corp., Floating Rate Note, 2/25/16 2,883,000 $2,885,588
John Deere Owner Trust 2013-B, 0.55%, 1/15/16 100,000 $10,345
JPMorgan Chase & Co., 1.1%, 10/15/15 1,528,000 $1,538,113
JPMorgan Chase & Co., 1.875%, 3/20/15 2,600,000 $2,622,960
JPMorgan Chase & Co., 3.4%, 6/24/15 1,325,000 $1,344,512
JPMorgan Chase & Co., Floating Rate Note, 10/15/15 2,000,000 $2,006,089
JPMorgan Chase & Co., Floating Rate Note, 2/15/17 2,000,000 $2,001,915
JPMorgan Chase & Co., Floating Rate Note, 2/26/16 1,800,000 $1,806,280
JP Morgan Chase Commercial Mortgage Securities Trust 2002-CIBC4, Floating Rate Note, 5/12/34 257,000 $141,482
JP Morgan Chase Commercial Mortgage Securities Trust 2004-LN2, Floating Rate Note, 7/15/41 2,030,626 $224,495
JP Morgan Chase Commercial Mortgage Securities Trust 2005-CIBC11, Floating Rate Note, 8/12/37 5,345,000 $450,724
JP Morgan Chase Commercial Mortgage Securities Trust 2005-LDP2, 4.78%, 7/15/42 3,770,000 $3,808,119
JP Morgan Chase Commercial Mortgage Securities Trust 2005-LDP2 REMICS, 4.738%, 7/15/42 3,175,000 $3,007,081
JP Morgan Chase Commercial Mortgage Securities Trust 2005-LDP3, Floating Rate Note, 8/15/42 2,670,000 $2,723,930
JP Morgan Chase Commercial Mortgage Securities Trust 2005-LDP3 REMICS, Floating Rate Note, 8/15/42 8,585,000 $7,363,061
JP Morgan Chase Commercial Mortgage Securities Trust 2005-LDP4, Floating Rate Note, 10/15/42 3,950,000 $4,002,159
JP Morgan Chase Commercial Mortgage Securities Trust 2005-LDP5, Floating Rate Note, 12/15/44 8,709,924 $8,137,647
JP Morgan Chase Commercial Mortgage Securities Trust 2006-FL2, Floating Rate Note, 11/15/18 (144A) 500,000 $161,503
JP Morgan Chase Commercial Mortgage Securities Trust 2006-FL2, Floating Rate Note, 11/15/18 (144A) 8,570,000 $1,708,086
JP Morgan Chase Commercial Mortgage Securities Trust 2006-LDP6, Floating Rate Note, 4/15/43 2,712,000 $2,800,523
JP Morgan Chase Commercial Mortgage Securities Trust 2006-LDP9, Floating Rate Note, 5/15/47 200,000 $75,420
JP Morgan Chase Commercial Mortgage Securities Trust 2007-CIBC19, Floating Rate Note, 2/12/49 475,000 $4,933
JP Morgan Chase Commercial Mortgage Securities Trust 2013-JWRZ, Floating Rate Note, 4/15/30 (144A) 4,975,000 $4,972,237
JP Morgan Chase Commercial Mortgage Securities Trust 2014-BXH, Floating Rate Note, 4/15/27 (144A) 5,600,000 $5,596,598
JP Morgan Chase Commercial Mortgage Securities Trust 2014-CBM, Floating Rate Note, 10/15/29 (144A) 4,280,000 $4,253,651
JP Morgan Chase Commercial Mortgage Securities Trust 2014-FBLU, Floating Rate Note, 12/15/28 (144A) 2,910,000 $2,915,404
JP Morgan Chase Commercial Mortgage Securities Trust 2014-FL4, Floating Rate Note, 12/16/30 (144A) 1,500,000 $1,501,254
JP Morgan Chase Commercial Mortgage Securities Trust 2014-FL6, Floating Rate Note, 11/15/31 (144A) 4,240,000 $4,239,292
JP Morgan Chase Commercial Mortgage Securities Trust 2014-INN, Floating Rate Note, 6/15/29 (144A) 3,500,000 $3,490,181
JP Morgan Chase Commercial Mortgage Securities Trust 2014-INN, Floating Rate Note, 6/15/29 (144A) 3,750,000 $3,744,667
JP Morgan Chase Commercial Mortgage Securities Trust 2014-PHH, Floating Rate Note, 8/16/27 (144A) 3,770,000 $3,761,319
JP Morgan Chase Com Mortgage Securities Tr 2014-FBLU REMICS, FRN, 12/15/28 (144A) 3,510,000 $3,514,204
JP Morgan Mortgage Acquisition Corp 2005-FRE1, Floating Rate Note, 10/25/35 19,316,000 $1,087,732
JP Morgan Mortgage Acquisition Trust 2006-ACC1, Floating Rate Note, 5/25/36 3,004,334 $758,991
JP Morgan Mortgage Trust 2003-A1, Floating Rate Note, 10/25/33 12,490,305 $1,441,980
JP Morgan Mortgage Trust 2004-A5, Floating Rate Note, 12/25/34 1,119,000 $798,722
KANE FLT% 12Jun15 2,000,000 $1,916,800
KANE FLT% 14Jul15 1,528,080 $1,490,642
KANE FLT% 30Jul16 1,006,000 $1,098,652
KANE ILW ZERO% 02Feb16 750,000 $690,600
Kane Sac, Ltd., 0.0%, 1/7/16 (Cat Bond) 1,111,666 $1,112,222
Kane Sac, Ltd., 0.0%, 1/7/16 (Cat Bond) 1,147,083 $1,147,427
Kane Sac, Ltd., 0.0%, 1/7/16 (Cat Bond) 420,500 $420,794
Kane Sac, Ltd., 0.0%, 1/7/16 (Cat Bond) 2,375,100 $2,377,475
KANE ZERO% 22Jan17 2,600,000 $2,646,800
KeyBank NA Cleveland Ohio, Floating Rate Note, 11/25/16 4,500,000 $4,517,335
KeyCorp, 3.75%, 8/13/15 4,050,000 $4,194,374
KeyCorp Student Loan Trust 2004-A, Floating Rate Note, 10/28/41 500,000 $89,146
Kilimanjaro Re, Ltd., Floating Rate Note, 11/25/19 (Cat Bond) (144A) 2,350,000 $2,354,043
Kilimanjaro Re, Ltd., Floating Rate Note, 4/30/18 (Cat Bond) (144A) 2,300,000 $2,350,964
Kilimanjaro Re, Ltd., Floating Rate Note, 4/30/18 (Cat Bond) (144A) 1,000,000 $1,013,150
KINDRED HEALTHCARE 1ST LIEN TL-B L + 3% 10Apr21 714,174 $705,247
Kinetic Concepts, Inc., Dollar Term E-1 Loan, 5/4/18 586,787 $581,339
Kizuna Re II, Ltd., Floating Rate Note, 4/6/18 (Cat Bond) (144A) 1,800,000 $1,808,955
KKR Financial CLO 2007-1, Ltd., Floating Rate Note, 5/15/21 (144A) 650,000 $644,132
Kleopatra Acquisition Corp., Term B-1 Loan, 12/21/16 686,472 $686,472
Kubota Credit Owner Trust 2014-1, 0.58%, 2/15/17 800,000 $774,197
Lanark Master Issuer Plc, Floating Rate Note, 12/22/54 (144A) 5,635,000 $4,419,897
Lanark Master Issuer Plc, Floating Rate Note, 12/22/54 (144A) 1,250,000 $1,172,646
Landrys, Inc., B Term Loan, 4/24/18 390,680 $389,867
Language Line LLC, Tranche B Term Loan, 6/20/16 864,061 $856,861
LB-UBS Commercial Mortgage Trust 2004-C1, 4.568%, 1/15/31 1,000,000 $112,013
LB-UBS Commercial Mortgage Trust 2005-C2 REMICS, Floating Rate Note, 4/15/30 4,785,000 $4,821,608
LB-UBS Commercial Mortgage Trust 2005-C3, 4.739%, 7/15/30 4,490,000 $2,280,588
LB-UBS Commercial Mortgage Trust 2005-C5, 4.954%, 9/15/30 8,750,000 $5,906,861
LB-UBS Commercial Mortgage Trust 2005-C7 REMICS, Floating Rate Note, 11/15/30 8,161,979 $7,411,184
LB-UBS Commercial Mortgage Trust 2006-C1 REMICS, 5.156%, 2/15/31 5,465,000 $5,462,075
LEAF Receivables Funding 9 LLC, 0.88%, 11/15/15 (144A) 1,500,000 $443,697
Lehman Brothers Small Balance Commercial, Floating Rate Note, 2/25/30 (144A) 6,250,000 $854,300
Lehman Brothers Small Balance Commercial, Floating Rate Note, 4/25/31 (144A) 6,464,393 $1,109,059
Lehman Brothers Small Balance Commercial, Floating Rate Note, 4/25/31 (144A) 17,333,137 $2,547,126
Lehman Brothers Small Balance Commercial, Floating Rate Note, 9/25/30 (144A) 10,120,098 $1,675,855
Lehman Brothers Small Balance Commercial Mortgage Trust 2007-3, Floating Rate Note, 10/25/37 (144A) 4,405,200 $1,035,974
Lehman Brothers Small Balance Commercial Mortgage Trust 2007-3, Floating Rate Note, 10/25/37 (144A) 2,211,066 $1,525,148
Lehman XS Trust Series 2005-2, Floating Rate Note, 8/25/35 42,014,000 $2,739,289
LEVEL 3 FINANCING INC 1ST LIEN TL-B5 L + 3.5% 31Jan22 1,000,000 $1,002,708
LifePoint Hospitals, Inc., Incremental Term Loan B, 7/24/17 342,403 $344,543
Live Nation Entertainment, Inc., Term B-1 Loan, 8/17/20 768,275 $761,552
Livingston International, Inc., Initial Term B-1 Loan (First Lien), 4/18/19 492,500 $477,725
Lockwood Grove CLO, Ltd., Floating Rate Note, 1/25/24 (144A) 2,500,000 $2,503,338
Longpoint Re, Ltd., Floating Rate Note, 6/12/15 (Cat Bond) (144A) 3,550,000 $3,627,508
Longpoint Re, Ltd. III, Floating Rate Note, 5/18/16 (Cat Bond) (144A) 2,610,000 $2,664,940
Louisiana Public Facilities Authority, Floating Rate Note, 4/26/27 1,250,000 $951,734
Madison Avenue Manufactured Housing Contract Trust 2002-A, Floating Rate Note, 3/25/32 1,000,000 $311,769
MALLINCKRODT INTERNATIONAL FINANCE SA, Initial Term B Loan, 3/6/21 967,687 $948,938
Manufactured Housing Contract Tr Pass-Through Cert Series 2001-1, Frn, 4/20/32 9,286,000 $1,260,010
Manufacturers & Traders Trust Co., Floating Rate Note, 1/30/17 1,900,000 $1,902,723
Manufacturers & Traders Trust Co., Floating Rate Note, 7/25/17 2,400,000 $2,390,434
Marathon Oil Corp., 0.9%, 11/1/15 4,104,000 $4,101,539
MassMutual Global Funding II, Floating Rate Note, 12/11/15 (144A) 1,750,000 $1,752,200
Master Credit Card Trust II, Floating Rate Note, 1/22/18 (144A) 1,050,000 $1,050,871
MASTR Adjustable Rate Mortgages Trust 2003-3, Floating Rate Note, 9/25/33 2,650,000 $758,249
MASTR Adjustable Rate Mortgages Trust 2004-11, Floating Rate Note, 11/25/34 5,400,000 $1,642,921
MASTR Alternative Loan Trust 2005-1, Floating Rate Note, 2/25/35 21,274,000 $1,693,863
Mastr Asset Backed Securities Trust 2005-FRE1, Floating Rate Note, 10/25/35 1,400,000 $20,646
Mastr Asset Backed Securities Trust 2006-AB1 REMICS, Floating Rate Note, 2/25/36 12,307,204 $2,022,046
Mastr Asset Backed Securities Trust 2006-NC1, Floating Rate Note, 1/25/36 23,055,603 $2,583,033
MASTR Asset Securitization Trust 2003-6, Floating Rate Note, 7/25/18 7,302,000 $198,765
Mastr Specialized Loan Trust, Floating Rate Note, 1/25/36 (144A) 51,217,354 $4,011,232
MCC Iowa LLC, Tranche G Term Loan, 1/20/20 733,125 $725,793
MCDERMOTT INTERNATIONAL INC 1ST LIEN TL-B L + 4.25% 11Apr19 497,500 $425,362
McKesson Corp., Floating Rate Note, 9/10/15 3,130,000 $3,133,774
Mediacom Illinois LLC, Tranche F Term Loan, 3/31/18 1,389,500 $1,360,552
Mercedes Benz Auto Lease Trust 2014-A, Floating Rate Note, 6/15/16 1,900,000 $1,590,248
Merck & Co, Inc., Floating Rate Note, 5/18/16 500,000 $501,186
Merna Re V, Ltd., Floating Rate Note, 4/7/17 (Cat Bond) (144A) 2,000,000 $2,001,444
Merrill Lynch Mortgage Investors Trust Series 2005-2, Floating Rate Note, 10/25/35 2,600,000 $636,023
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-A, Floating Rate Note, 3/25/28 48,813,000 $1,562,382
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-B, Floating Rate Note, 4/25/28 32,661,000 $1,459,117
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-C, Floating Rate Note, 6/25/28 44,308,430 $1,643,350
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-C REMICS, Floating Rate Note, 6/25/28 42,262,000 $1,910,637
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-E, Floating Rate Note, 10/25/28 38,289,000 $1,816,347
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-G, Floating Rate Note, 1/25/29 16,556,000 $236,796
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-H, Floating Rate Note, 1/25/29 24,460,400 $1,317,039
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-A REMICS, Floating Rate Note, 4/25/29 35,467,206 $1,860,812
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-B, Floating Rate Note, 5/25/29 12,160,000 $432,046
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-C, Floating Rate Note, 7/25/29 3,866,000 $124,864
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-C, Floating Rate Note, 7/25/29 41,778,000 $1,951,582
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-D, Floating Rate Note, 9/25/29 11,000,000 $744,199
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-E, Floating Rate Note, 11/25/29 36,000,000 $2,077,830
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-G, Floating Rate Note, 1/25/30 15,000,000 $930,678
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-G, Floating Rate Note, 1/25/30 64,515,401 $2,680,263
Merrill Lynch Mortgage Investors Trust Series MLCC 2005-A, Floating Rate Note, 3/25/30 39,366,746 $2,306,083
Merrill Lynch Mortgage Trust 2005-CIP1, Floating Rate Note, 7/12/38 2,170,000 $2,194,655
Merrill Lynch Mortgage Trust 2005-CKI1, Floating Rate Note, 11/12/37 7,925,000 $5,899,383
Merrill Lynch Mortgage Trust 2005-LC1, Floating Rate Note, 1/12/44 6,177,508 $5,606,741
Merrill Lynch Mortgage Trust 2005-MCP1, Floating Rate Note, 6/12/43 5,841,000 $2,735,832
MetLife Institutional Funding II, 1.625%, 4/2/15 (144A) 4,500,000 $4,532,280
MetroCat Re, Ltd., Floating Rate Note, 8/5/16 (Cat Bond) (144A) 1,250,000 $1,284,125
Metropolitan Life Global Funding I, 3.125%, 1/11/16 (144A) 690,000 $707,765
Metropolitan Life Global Funding I, Floating Rate Note, 7/15/16 (144A) 1,500,000 $1,506,622
MGM Resorts International, Term B Loan, 12/20/19 1,225,000 $1,207,850
Michaels Stores, Inc., Term B Loan, 1/28/20 982,500 $966,534
MICRO FOCUS US INC 1ST LIEN TL-B L + 4.25% 07Oct21 1,650,000 $1,604,110
Microsemi Corp., Term Loan (2014), 3/14/21 131,461 $130,343
Milacron LLC, Term Loan, 3/28/20 687,802 $669,747
Mirror BidCo Corp., New Incremental Term Loan, 12/18/19 1,006,454 $995,340
Mizuho Bank, Ltd., Floating Rate Note, 4/16/17 (144A) 1,000,000 $997,187
Monitronics International, Inc., Term B Loan (2013), 3/23/18 982,774 $979,907
Morgan Stanley, 1.75%, 2/25/16 1,300,000 $1,318,786
Morgan Stanley, Floating Rate Note, 1/5/18 2,700,000 $2,699,458
Morgan Stanley, Floating Rate Note, 10/15/15 318,000 $318,628
Morgan Stanley, Floating Rate Note, 2/25/16 4,350,000 $4,396,913
Morgan Stanley, Floating Rate Note, 8/30/15 685,000 $696,190
Morgan Stanley ABS Capital I Inc Trust 2004-SD3, Floating Rate Note, 6/25/34 (144A) 41,830,000 $1,546,061
Morgan Stanley ABS Capital I Inc Trust 2005-HE3, Floating Rate Note, 7/25/35 95,000 $34,130
Morgan Stanley ABS Capital I Inc Trust 2005-HE6, Floating Rate Note, 11/25/35 160,000 $55,736
Morgan Stanley ABS Capital I Inc Trust 2005-NC2, Floating Rate Note, 3/25/35 2,854,027 $1,754,238
Morgan Stanley ABS Capital I Inc Trust 2005-WMC3, Floating Rate Note, 3/25/35 131,174 $66,328
Morgan Stanley Capital I Trust 2004-IQ8, Floating Rate Note, 6/15/40 3,830,000 $291,703
Morgan Stanley Capital I Trust 2005-HQ6, 4.989%, 8/13/42 7,550,000 $1,152,174
Morgan Stanley Capital I Trust 2005-HQ6 REMICS, Floating Rate Note, 8/13/42 2,900,000 $2,944,180
Morgan Stanley Capital I Trust 2005-IQ10, Floating Rate Note, 9/15/42 2,910,000 $2,098,260
Morgan Stanley Capital I Trust 2005-TOP19, 4.89%, 6/12/47 6,690,000 $4,664,096
Morgan Stanley Capital I Trust 2006-TOP21, Floating Rate Note, 10/12/52 1,960,000 $2,013,842
Morgan Stanley Mortgage Loan Trust 2005-5AR, Floating Rate Note, 9/25/35 38,687,000 $3,168,255
Morgan Stanley Mortgage Loan Trust 2005-6AR, Floating Rate Note, 11/25/35 6,309,000 $691,782
Morgan Stanley Mortgage Loan Trust 2005-6AR, Floating Rate Note, 11/25/35 14,045,000 $2,110,665
Morgan Stanley Re-REMIC Trust 2010-R4, Floating Rate Note, 7/26/36 (144A) 3,700,000 $143,349
Morgan Stanley Structured Trust, Floating Rate Note, 6/25/37 2,400,000 $268,029
MortgageIT Trust 2004-1, Floating Rate Note, 11/25/34 15,162,000 $1,991,304
MortgageIT Trust 2004-2, Floating Rate Note, 12/25/34 41,395,000 $6,296,864
MortgageIT Trust 2005-2, Floating Rate Note, 5/25/35 8,495,000 $1,616,811
Motel 6 Trust, 1.5%, 10/7/25 (144A) 1,000,000 $768,131
Motor 2013-1 Plc, Floating Rate Note, 2/25/21 (144A) 2,946,000 $737,234
MPG HOLDCO I INC 1ST LIEN TL-B L + 3.5% 13Oct21 1,564,792 $1,564,653
MRFC Mortgage Pass-Through Trust Series 1999-TBC2 REMICS, Floating Rate Note, 6/15/30 34,427,303 $1,937,374
MRFC Mortgage Pass-Through Trust Series 2000-TBC3, Floating Rate Note, 12/15/30 24,150,000 $1,167,311
MUFG 0.15% 11Feb15 3,000,000 $3,000,070
MUFG Union Bank NA, Floating Rate Note, 9/26/16 6,200,000 $6,239,102
MultiCat Mexico, Ltd. 2012-I Class A, Floating Rate Note, 6/4/16 (Cat Bond) (144A) 1,750,000 $1,765,852
Multi Packaging Solutions, Inc., Initial Dollar Tranche B Term, 9/30/20 173,687 $169,996
Mystic Re, Ltd., Floating Rate Note, 3/12/15 (Cat Bond) (144A) 1,500,000 $1,575,400
Mystic Re, Ltd., Floating Rate Note, 3/12/15 (Cat Bond) (144A) 1,000,000 $1,013,350
Mythen Re, Ltd., Floating Rate Note, 5/7/15 (Cat Bond) (144A) 6,250,000 $6,460,642
Mythen Re, Ltd., Floating Rate Note, 5/7/15 (Cat Bond) (144A) 4,250,000 $4,403,779
Mythen Re, Ltd. Series 2012-2 Class A, Floating Rate Note, 1/5/17 (Cat Bond) (144A) 2,250,000 $2,409,679
Mythen Re, Ltd. Series 2012-2 Class A, Floating Rate Note, 11/10/16 (Cat Bond) (144A) 500,000 $534,175
Mythen Re, Ltd. Series 2013-1 Class B, Floating Rate Note, 7/9/15 (Cat Bond) (144A) 2,500,000 $2,576,722
National Australia Bank, Ltd., Floating Rate Note, 3/17/17 (144A) 1,950,000 $1,955,954
National City Bank Cleveland Ohio, Floating Rate Note, 12/15/16 2,850,000 $2,840,213
National Rural Utilities Cooperative Finance Corp., Floating Rate Note, 11/23/16 1,800,000 $1,803,721
National Rural Utilities Cooperative Finance Corp., Floating Rate Note, 5/1/15 2,720,000 $2,720,509
Nations Equipment Finance Funding II LLC, 1.558%, 7/20/18 (144A) 2,100,000 $1,563,894
Nationstar Agency Advance Funding Trust 2013-T1A, 0.997%, 2/15/45 (144A) 2,250,000 $2,250,659
Nationstar Home Equity Loan Trust 2007-A, Floating Rate Note, 3/25/37 1,000,000 $571,949
Navios Maritime Partners LP, Term Loan, 6/27/18 1,481,250 $1,468,289
Navitas Equipment Receivables LLC 2013-1, 1.95%, 11/15/16 1,750,000 $768,991
NBCUniversal Enterprise, Inc., Floating Rate Note, 4/15/16 (144A) 2,694,000 $2,699,456
NBTY, Inc., Term B-2 Loan, 10/1/17 400,000 $389,062
NCF Dealer Floorplan Master Trust, Floating Rate Note, 10/20/20 (144A) 3,000,000 $3,001,806
NCL CORP LTD 1ST LIEN TL-B L + 3.25% 06Nov21 1,000,000 $1,001,033
NCUA Guaranteed Notes Trust, Floating Rate Note, 10/7/20 2,000,000 $945,137
NCUA Guaranteed Notes Trust, Floating Rate Note, 11/6/17 6,590,000 $2,467,687
NCUA Guaranteed Notes Trust, Floating Rate Note, 12/8/20 410,000 $281,170
NCUA Guaranteed Notes Trust, Floating Rate Note, 3/11/20 2,035,000 $1,009,429
NCUA Guaranteed Notes Trust, Floating Rate Note, 4/6/20 5,835,000 $1,282,818
NCUA Guaranteed Notes Trust REMICS, Floating Rate Note, 12/8/20 1,330,000 $911,459
NCUA Guaranteed Notes Trust REMICS, Floating Rate Note, 3/2/21 2,700,000 $1,222,823
Nelnet Student Loan Trust 2005-1, Floating Rate Note, 10/26/20 1,795,000 $485,500
NEP, Amendment No. 3 Incremental Term Loan (First Lien), 1/22/20 614,117 $597,740
NEW ALBERTSONS INC 1ST LIEN TL L + 3.75% 24Jun21 498,750 $493,388
New Century Home Equity Loan Trust 2005-1, Floating Rate Note, 3/25/35 5,042,000 $803,711
NewStar Commercial Loan Trust 2007-1, Floating Rate Note, 9/30/22 (144A) 2,000,000 $951,728
New York Life Global Funding, 0.75%, 7/24/15 (144A) 3,550,000 $3,557,876
New York Life Global Funding, Floating Rate Note, 12/15/17 (144A) 6,650,000 $6,650,789
New York Life Global Funding, Floating Rate Note, 5/23/16 (144A) 3,150,000 $3,160,697
Nissan Auto Lease 2013-A, 0.45%, 9/15/15 3,985,000 $38,820
Nissan Auto Lease Trust 2013-B, Floating Rate Note, 1/15/16 760,000 $400,710
Nissan Auto Receivables 2012-A Owner Trust, 0.73%, 5/16/16 55,000 $10,233
Nissan Auto Receivables 2013-A Owner Trust, 0.5%, 5/15/17 3,400,000 $2,215,896
Nissan Auto Receivables 2013-C Owner Trust, 0.4%, 6/15/16 2,075,000 $807,136
Nissan Master Owner Trust Receivables, Floating Rate Note, 5/15/17 3,395,000 $3,398,136
Nissan Motor Acceptance Corp., Floating Rate Note, 3/3/17 (144A) 2,000,000 $2,003,775
Nissan Motor Acceptance Corp., Floating Rate Note, 9/26/16 (144A) 1,500,000 $1,508,368
NN INC 1ST LIEN TL-B L + 5% 18Jul21 1,232,142 $1,230,602
Nomura Asset Acceptance Corp Alternative Loan Trust Series 2004-AR4, Floating Rate Note, 12/25/34 1,170,000 $124,194
Nomura Asset Acceptance Corp Alternative Loan Trust Series 2005-WF1, 4.786%, 3/25/35 735,000 $45,416
Nomura Home Equity Loan Inc Home Equity Loan Trust Series 2006-HE1, Floating Rate Note, 2/25/36 1,700,000 $122,473
Noranda Aluminum Acquisition Corp., Term B Loan, 2/28/19 116,700 $111,302
Nordea Bank AB, 2.25%, 3/20/15 (144A) 3,100,000 $3,133,450
Nordea Bank AB, Floating Rate Note, 4/4/17 (144A) 890,000 $891,287
Nordea Bank AB, Floating Rate Note, 5/13/16 (144A) 2,500,000 $2,512,717
Nordea Bank Finland Plc New York, Floating Rate Note, 6/13/16 2,225,000 $2,226,766
Northshore Re, Ltd., Floating Rate Note, 7/5/16 (Cat Bond) (144A) 2,250,000 $2,352,468
NorthStar 2012-1 Mortgage Trust, Floating Rate Note, 8/27/29 (144A) 1,000,000 $1,003,965
NorthStar 2013-1, Floating Rate Note, 8/27/29 (144A) 2,784,000 $2,637,502
NovaStar Mortgage Funding Trust Series 2003-1, Floating Rate Note, 5/25/33 19,881,000 $407,439
NovaStar Mortgage Funding Trust Series 2004-4, Floating Rate Note, 3/25/35 1,150,000 $393,195
NovaStar Mortgage Funding Trust Series 2004-4, Floating Rate Note, 3/25/35 2,443,000 $2,401,685
NPC International, Inc., Term Loan, 12/28/18 155,600 $152,488
NRG Energy, Inc., 8.25%, 9/1/20 1,250,000 $1,367,968
NRG Energy, Inc., Term Loan (2013), 7/1/18 1,170,466 $1,157,542
NSG Holdings LLC, New Term Loan, 12/11/19 1,549,347 $1,537,727
NSTAR Electric Co., Floating Rate Note, 5/17/16 1,013,000 $1,012,834
NUMERICABLE SFR 1ST LIEN TL-B2 L + 3.75% 23Apr20 231,923 $230,949
NUMERICABLE US LLC 1ST LIEN TL-B1 L + 3.75% 23Apr20 268,076 $266,952
NYCTL 2014-A Trust, 1.03%, 11/10/27 (144A) 1,800,000 $1,096,872
Oak Hill Advisors Residential Loan Trust 2014-NPL1, 2.8828%, 5/25/54 (Step) (144A) 1,810,000 $1,225,199
OAK Hill Advisors Residential Loan Trust 2014-NPL2, 3.475%, 4/25/54 (Step) (144A) 3,490,000 $3,448,734
Ocwen Loan Servicing LLC, Initial Term Loan, 2/15/18 1,380,855 $1,296,105
Offshore Group Investment, Ltd., Second Term Loan, 3/28/19 158,783 $101,224
On Assignment, Inc., Initial Term B Loan, 5/15/20 1,037,112 $1,027,389
Opteum Mortgage Acceptance Corp Trust 2005-4, Floating Rate Note, 11/25/35 21,900,000 $4,056,068
Option One Mortgage Loan Tr 2005-4 Asset-Backed Cert Series 2005-4, FRN, 11/25/35 20,500,508 $1,585,836
Option One Mortgage Loan Trust 2005-1, Floating Rate Note, 2/25/35 10,220,000 $2,904,011
Option One Mortgage Loan Trust 2007-FXD2, 5.9%, 3/25/37 (Step) 810,000 $38,164
Option One Woodbridge Loan Trust 2002-1, Floating Rate Note, 3/25/32 (144A) 6,512,459 $1,118,769
Oracle Corp., Floating Rate Note, 7/7/17 1,937,000 $1,937,035
Orbital ATK, Inc., Term B Loan, 10/22/20 395,502 $395,749
ORES 2014-LV3 LLC, 3.0%, 3/27/24 (144A) 2,250,000 $1,364,350
ORES NPL 2013-LV2 LLC, 3.081%, 9/25/25 (144A) 1,558,000 $632,374
Origen Manufactured Housing Contract Trust 2004-B, Floating Rate Note, 11/15/35 1,240,000 $1,011,910
Oscar US Funding Trust 2014-1, 1.0%, 8/15/17 (144A) 2,500,000 $2,500,911
Outfront Media Capital LLC, Term Loan, 1/15/21 1,629,423 $1,602,605
Ownit Mortgage Loan Trust Series 2005-5, Floating Rate Note, 10/25/36 3,827,500 $602,243
PACCAR Financial Corp., Floating Rate Note, 5/5/15 2,000,000 $2,001,154
PACCAR Financial Corp., Floating Rate Note, 6/6/17 1,290,000 $1,288,996
PANGAEA ZERO% 01Jul18 2,300,000 $2,467,900
PARAGON OFFSHORE FINANCE CO TL-B L + 2.75% 11Jul21 872,812 $674,247
Park Place Sec Inc Asset-Backed Pass-Through Cert Series 2004-MCW, Frn, 10/25/34 1,150,000 $450,437
Park Place Sec Inc Asset-Backed Pass-Through Cert Series 2004-WCW, Frn, 9/25/34 2,800,000 $1,299,547
Park Place Securities Inc Asset-Backed Pass-Through Ctfs Ser 2004-WCW2, Floating Rate Note, 10/25/34 4,874,309 $115,008
Park Place Securities Inc Asset-Backed Pass-Through Ctfs Ser 2004-WHQ2, Floating Rate Note, 2/25/35 3,100,000 $1,672,388
Park Place Securities Inc Asset-Backed Pass-Through Ctfs Ser 2005-WHQ4, Floating Rate Note, 9/25/35 8,206,169 $2,341,896
Park Place Securities Inc Asset-Backed Pass-Through Ctfs Ser 2005-WHQ4, Floating Rate Note, 9/25/35 6,230,000 $290,164
Par Pharmaceutical Companies, Inc., Term B-2 Loan, 9/28/19 1,469,835 $1,444,480
Pelican Re, Ltd., Floating Rate Note, 4/13/15 (Cat Bond) (144A) 2,000,000 $2,087,250
Pepper Residential Securities Trust, Floating Rate Note, 4/10/15 (144A) 2,000,000 $2,000,424
Pepper Residential Securities Trust, Floating Rate Note, 7/24/15 (144A) 2,000,000 $2,001,122
PepsiCo, Inc., Floating Rate Note, 2/26/16 3,460,000 $3,466,493
Permanent Master Issuer Plc, Floating Rate Note, 7/15/42 (144A) 887,000 $890,038
PF Changs China Bistro, Inc., Term Borrowing, 6/22/19 837,120 $808,518
Pfizer, Inc., Floating Rate Note, 5/15/17 2,100,000 $2,098,317
PFS Financing Corp., Floating Rate Note, 10/15/19 (144A) 1,700,000 $1,699,432
PFS Financing Corp., Floating Rate Note, 10/15/19 (144A) 1,400,000 $1,399,723
PFS Financing Corp., Floating Rate Note, 2/15/18 (144A) 3,240,000 $3,240,435
PFS Financing Corp., Floating Rate Note, 2/15/19 (144A) 3,490,000 $3,498,561
PFS Tax Lien Trust 2014-1, 1.44%, 5/15/29 1,300,000 $1,015,034
PHARMEDIUM HEALTHCARE Corp., Initial Term Loan (First Lien), 1/23/21 255,975 $250,535
Philip Morris International, Inc., Floating Rate Note, 2/26/15 1,500,000 $1,500,791
PILOT TRAVEL CENTERS LLC 1ST LIEN TL-B L + 3.25% 01Oct21 74,728 $75,008
Pinnacle Entertainment, Inc., Tranche B-2 Term Loan, 8/13/20 195,562 $193,667
Pinnacle Foods Finance LLC, New Term Loan G, 4/29/20 1,158,832 $1,133,121
PNC Bank NA, Floating Rate Note, 1/28/16 2,250,000 $2,253,400
PNC Bank NA, Floating Rate Note, 4/29/16 3,268,000 $3,269,107
POST HOLDINGS INC 1ST LIEN TL-B L + 3% 23May21 995,000 $988,392
PQ Corp., 2014 Term Loan, 8/7/17 931,000 $917,966
Prestige Auto Receivables Trust 2013-1, 1.33%, 5/15/19 (144A) 350,000 $351,172
Prestige Auto Receivables Trust 2014-1, 0.97%, 3/15/18 (144A) 2,395,000 $1,723,921
Prestige Brands, Inc., Term B-1 Loan, 1/31/19 454,561 $454,845
Prestige Brands, Inc., Term B-2 Loan, 8/18/21 566,666 $567,658
Pricoa Global Funding I, Floating Rate Note, 5/16/16 (144A) 1,500,000 $1,500,974
Principal Life Global Funding II, Floating Rate Note, 5/27/16 (144A) 2,530,000 $2,539,048
Progreso Receivables Funding II LLC, 3.5%, 7/8/19 (144A) 4,750,000 $4,763,590
Progreso Receivables Funding I LLC, 3.625%, 1/30/25 (144A) 3,050,000 $3,050,000
Progreso Receivables Funding I LLC, 4.0%, 7/9/18 (144A) 1,800,000 $1,818,100
Progressive Waste Solutions, Ltd., Term B Loan, 10/24/19 1,170,090 $1,173,015
Progress Residential 2015-SFR1 Tr, Flt Rt Nt, 2/17/32 (144A) 3,000,000 $3,002,811
Province of Ontario Canada, Floating Rate Note, 4/1/15 1,800,000 $1,800,958
PVH Corp., Tranche B Term Loan, 2/13/20 1,112,486 $1,117,492
Quebecor Media, Inc., Facility B-1 Tranche, 8/17/20 497,481 $483,489
Queen City Re, Floating Rate Note, 1/6/19 (Cat Bond) (144A) 1,750,000 $1,747,088
Queen Street IV Capital, Ltd., Floating Rate Note, 4/9/15 (Cat Bond) (144A) 2,250,000 $2,280,224
Queen Street VII Re, Ltd., Floating Rate Note, 4/8/16 (Cat Bond) (144A) 1,750,000 $1,826,747
Queen Street VI Re, Ltd., Floating Rate Note, 4/9/15 (Cat Bond) (144A) 250,000 $254,850
Queen Street V Re, Ltd., Floating Rate Note, 4/9/15 (Cat Bond) (144A) 1,750,000 $1,778,427
Quest Trust REMICS, Floating Rate Note, 3/25/34 (144A) 95,089,092 $3,657,887
Quikrete Holdings, Inc., Initial Loan (First Lien), 9/26/20 852,172 $843,011
RAAC Series 2005-RP1 Trust, Floating Rate Note, 7/25/37 (144A) 2,130,580 $1,075,941
RAAC Series 2005-RP2 Trust, Floating Rate Note, 6/25/35 (144A) 4,005,000 $551,377
RAAC Series 2005-RP3 Trust, Floating Rate Note, 5/25/39 (144A) 2,000,000 $1,342,881
RAAC Series 2006-RP1 Trust, Floating Rate Note, 10/25/45 (144A) 15,300,000 $415,121
RAAC Series 2006-RP2 Trust, Floating Rate Note, 2/25/37 (144A) 26,822,396 $2,380,385
RAIT 2014-FL2 Trust, Floating Rate Note, 5/15/31 (144A) 5,200,000 $5,140,494
RAIT 2014-FL3 Trust, Floating Rate Note, 12/15/31 (144A) 3,540,000 $3,567,535
RALI Series 2002-QS16 Trust, Floating Rate Note, 10/25/17 5,500,000 $84,590
RALI Series 2003-QS10 Trust, Floating Rate Note, 5/25/33 38,865,000 $744,181
RALI Series 2003-QS11 Trust, Floating Rate Note, 6/25/33 44,273,266 $1,955,685
RALI Series 2003-QS22 Trust, Floating Rate Note, 12/26/33 8,400,000 $846,732
RALI Series 2003-QS5 Trust, Floating Rate Note, 3/25/18 30,000,000 $903,407
RALI Series 2003-QS9 Trust, Floating Rate Note, 5/25/18 34,469,500 $1,232,431
RALI Series 2004-QR1 Trust, 5.25%, 10/25/34 66,901,390 $969,233
RALI Series 2004-QS1 Trust, 4.25%, 1/25/34 4,500,000 $8,329
RALI Series 2004-QS1 Trust, Floating Rate Note, 1/25/34 4,000,000 $16,659
RALI Series 2004-QS5 Trust, 4.75%, 4/25/34 12,155,000 $585,787
RALI Series 2004-QS5 Trust, Floating Rate Note, 4/25/34 9,566,021 $457,755
RAMP Series 2004-RS11 Trust, Floating Rate Note, 11/25/34 3,805,000 $1,031,509
RAMP Series 2004-RZ1 Trust, Floating Rate Note, 3/25/34 4,080,000 $348,021
RAMP Series 2005-EFC4 Trust, Floating Rate Note, 9/25/35 1,060,000 $343,517
RAMP Series 2005-RS6 Trust, Floating Rate Note, 6/25/35 1,393,325 $702,588
RAMP Series 2006-NC1 Trust, Floating Rate Note, 1/25/36 6,100,000 $308,422
RAMP Series 2006-RZ3 Trust, Floating Rate Note, 10/25/35 10,534,000 $2,273,391
RASC Series 2004-KS10 Trust, Floating Rate Note, 11/25/34 82,085,000 $2,263,139
RASC Series 2005-EMX2 Trust, Floating Rate Note, 7/25/35 157,752 $15,773
RASC Series 2005-KS3 Trust, Floating Rate Note, 4/25/35 829,000 $197,216
Raymond James Financial, Inc., 4.25%, 4/15/16 7,409,000 $7,836,535
RBS Greenwich Capital Mortgage Loan Trust, 3.686%, 4/15/24 (144A) 8,160,000 $373,110
RBS Greenwich Capital Mortgage Loan Trust, Floating Rate Note, 4/15/24 (144A) 1,150,000 $1,163,759
RBSSP Resecuritization Trust 2009-5, Floating Rate Note, 8/25/37 (144A) 7,810,000 $2,453,473
Regatta Funding, Ltd., Floating Rate Note, 6/15/20 (144A) 2,000,000 $775,071
RegionalCare Hospital Partners, Inc., Term Loan (First Lien), 4/21/19 491,293 $488,837
RENT-A-CENTER, INC, Term Loan (2014), 2/6/21 1,736,875 $1,719,506
Residential Asset Securitization Trust 2003-A15, Floating Rate Note, 2/25/34 10,120,000 $568,442
Residential Asset Securitization Trust 2003-A2, Floating Rate Note, 5/25/33 9,443,647 $352,140
Residential Reinsurance 2011, Ltd., Floating Rate Note, 12/6/16 (Cat Bond) (144A) 1,450,000 $1,496,146
Residential Reinsurance 2011, Ltd., Floating Rate Note, 6/6/15 (Cat Bond) (144A) 1,750,000 $1,811,250
Residential Reinsurance 2011, Ltd., Floating Rate Note, 6/6/17 (Cat Bond) (144A) 1,500,000 $1,559,475
Residential Reinsurance 2012, Ltd., Floating Rate Note, 12/6/16 (Cat Bond) (144A) 1,500,000 $1,570,087
Residential Reinsurance 2012, Ltd., Floating Rate Note, 12/6/16 (Cat Bond) (144A) 2,900,000 $3,000,775
Residential Reinsurance 2012, Ltd., Floating Rate Note, 12/6/16 (Cat Bond) (144A) 1,000,000 $1,103,875
Residential Reinsurance 2012, Ltd., Floating Rate Note, 6/6/16 (Cat Bond) (144A) 750,000 $808,833
Residential Reinsurance 2012, Ltd., Floating Rate Note, 6/6/16 (Cat Bond) (144A) 900,000 $985,320
Residential Reinsurance 2013, Ltd., Floating Rate Note, 6/6/17 (Cat Bond) (144A) 850,000 $916,363
Residential Reinsurance 2014, Ltd., Floating Rate Note, 6/6/18 (Cat Bond) (144A) 750,000 $762,183
RESI Finance LP, Floating Rate Note, 9/10/35 (144A) 11,796,589 $2,102,794
RESI Finance LP 2003-CB1, Floating Rate Note, 7/9/35 7,815,000 $1,957,169
RESI FLT% 12Dec45 A1 3,000,000 $2,705,868
Resimac MBS Trust, Floating Rate Note, 3/7/15 (144A) 1,500,000 $1,500,510
Resource Capital Corp 2014-CRE2, Ltd., Floating Rate Note, 4/15/32 (144A) 4,920,000 $4,896,986
Resource Capital Corp CRE Notes 2013, Ltd., Floating Rate Note, 6/15/16 (144A) 3,000,000 $3,006,338
Revlon Consumer Products Corp., Acquisition Term Loan, 8/19/19 371,250 $366,957
Revlon Consumer Products Corp., Replacement Term Loan, 11/19/17 976,136 $968,815
Reynolds Group Holdings, Inc., Incremental U.S. Term Loan, 12/31/18 785,308 $778,055
RFSC Series 2003-RP2 Trust, Floating Rate Note, 7/25/41 (144A) 2,000,000 $512,720
Rialto Capital Management LLC, 2.85%, 5/15/24 (144A) 2,000,000 $555,543
Rio Tinto Finance USA Plc, Floating Rate Note, 6/17/16 1,130,000 $1,135,238
Riverfront Re, Ltd., Floating Rate Note, 1/6/17 (Cat Bond) (144A) 1,000,000 $1,003,044
ROVI SOLUTIONS CORP 1ST LIEN TL-B L + 3% 02Jul21 1,020,898 $1,001,757
Royal Bank of Canada, 0.8%, 10/30/15 1,300,000 $1,306,119
Royal Bank of Canada, 1.15%, 3/13/15 2,532,000 $2,545,600
Royal Bank of Canada, Floating Rate Note, 1/23/17 1,875,000 $1,877,757
Royal Bank of Canada, Floating Rate Note, 12/16/15 1,800,000 $1,803,971
Royal Bank of Canada, Floating Rate Note, 6/16/17 2,200,000 $2,197,676
Royal Bank of Canada, Floating Rate Note, 9/9/16 2,000,000 $2,009,374
RPI Finance Trust, Term B-2 Term Loan, 5/9/18 1,012,105 $1,014,003
RPI Finance Trust, Term B-3 Term Loan, 11/9/18 622,351 $624,451
Ryder System, Inc., 3.15%, 3/2/15 2,000,000 $2,030,110
Salix Pharmaceuticals, Ltd., Term Loan, 12/17/19 427,500 $426,252
Salomon Brothers Mortgage Securities VII, Inc., Floating Rate Note, 3/25/28 49,537,000 $67,063
Salomon Mortgage Loan Trust Series 2001-CB4, Floating Rate Note, 11/25/33 4,754,000 $122,567
Samson Investment Co., Tranche 1 Term Loan (Second Lien), 9/25/18 71,233 $44,948
Sanders Re, Ltd., Floating Rate Note, 5/25/18 (Cat Bond) (144A) 1,000,000 $992,516
Sanders Re, Ltd., Floating Rate Note, 5/5/17 (Cat Bond) (144A) 2,500,000 $2,502,548
Sanders Re, Ltd., Floating Rate Note, 5/5/17 (Cat Bond) (144A) 1,250,000 $1,253,777
Sanders Re, Ltd., Floating Rate Note, 6/7/17 (Cat Bond) (144A) 2,000,000 $2,028,000
Santander Drive Auto Receivables Trust 2011-2, 3.28%, 6/15/16 2,265,000 $509,575
SASCO Mortgage Loan Trust 2005-GEL1, Floating Rate Note, 12/25/34 1,590,000 $1,071,270
SASCO Mortgage Loan Trust 2005-GEL2, Floating Rate Note, 4/25/35 28,476,673 $406,750
Saxon Asset Securities Trust 2005-3, Floating Rate Note, 11/25/35 1,945,000 $1,822,283
Saxon Asset Securities Trust 2005-4, Floating Rate Note, 11/25/37 31,986,000 $1,349,465
SBA Senior Finance II LLC, Incremental Tranche B-1 Term Loan, 3/31/21 597,000 $587,920
SBI Home Equity Loan Trust 2006-1, Floating Rate Note, 8/25/36 (144A) 2,950,000 $893,995
SCHAEFFLER (AKA INA BETEILIGUNGSGE 1ST LIEN TL-B L + 3.5% 15May20 1,683,943 $1,692,363
SCIENTIFIC GAMES INTERNATIONAL INC 1ST LIEN TL-B2 L + 5% 17Sep21 2,000,000 $1,978,750
Seadrill Operating LP, Initial Term Loan, 2/14/21 2,722,500 $2,166,941
Sector Re V, Ltd., 0.0%, 12/1/19 (Cat Bond) (144A) 500,000 $506,250
Select Medical Corp, Series E Tranche B Term Loan, 6/1/18 236,016 $234,246
Selene Non-Performing Loans LLC, 2.9814%, 5/25/54 (Step) (144A) 3,530,000 $3,402,061
Seminole Hard Rock Entertainment, Inc., New Term Loan B, 5/14/20 591,000 $575,239
Sensata Technologies BV, Term Loan, 5/12/18 527,437 $528,632
SENSATA TECHNOLOGIES BV 1ST LIEN TL-B2 L + 2.75% 08Oct21 1,496,250 $1,501,768
Sequoia Mortgage Trust 10, Floating Rate Note, 10/20/27 6,100,000 $115,613
Sequoia Mortgage Trust 2003-2, Floating Rate Note, 6/20/33 13,097,000 $464,633
Sequoia Mortgage Trust 2003-5, Floating Rate Note, 9/20/33 52,500,000 $2,350,862
Sequoia Mortgage Trust 2003-8, Floating Rate Note, 1/20/34 5,750,000 $263,623
Sequoia Mortgage Trust 2004-10, Floating Rate Note, 11/20/34 5,055,000 $509,310
Sequoia Mortgage Trust 2004-12 REMICS, Floating Rate Note, 1/20/35 2,000,000 $137,274
Sequoia Mortgage Trust 2004-12 REMICS, Floating Rate Note, 1/20/35 43,751,595 $4,444,819
Sequoia Mortgage Trust 2004-7, Floating Rate Note, 8/20/34 7,500,000 $332,344
Sequoia Mortgage Trust 2005-1, Floating Rate Note, 2/20/35 31,769,748 $3,038,744
Sequoia Mortgage Trust 2005-2, Floating Rate Note, 3/20/35 5,275,000 $495,502
Sequoia Mortgage Trust 4, Floating Rate Note, 11/22/24 6,940,000 $175,550
Serta Simmons Holdings LLC, Term Loan, 10/1/19 330,711 $328,070
SHBASS 0.185% 19Mar15 2,640,000 $2,640,817
Shell International Finance BV, Floating Rate Note, 11/15/16 1,500,000 $1,502,172
Ship Midco, Ltd., Facility B2A-II, 11/29/19 98,939 $98,880
Silver Bay Realty 2014-1 Trust, Floating Rate Note, 9/18/31 (144A) 3,778,000 $3,727,312
SINCLAIR BROADCASTING 1ST LIEN TL-B1 L + 2.75% 22Jul21 1,000,000 $993,750
Sinclair Television Group, Inc., New Tranche B Term Loan, 4/19/20 1,334,952 $1,301,578
Sirius International Group, Ltd., Floating Rate Note (Perpetual) (144A) 1,150,000 $1,207,505
Six Flags Theme Parks, Inc., Tranche B Term Loan, 12/20/18 729,765 $730,829
Skandinaviska Enskilda Banken AB New York NY, Floating Rate Note, 9/21/15 2,500,000 $2,502,292
Small Business Administration Participation Certificates, 0.58%, 10/17/16 (144A) 900,000 $900,216
SMART Trust/Australia, 1.59%, 10/14/16 (144A) 1,550,000 $731,744
SMART Trust/Australia, Floating Rate Note, 1/17/17 2,500,000 $2,091,914
SMART Trust/Australia, Floating Rate Note, 8/15/16 1,500,000 $1,083,446
SMART Trust/Australia, Floating Rate Note, 9/14/16 1,785,000 $1,091,992
SMHL Global Fund 2007-1, Floating Rate Note, 6/12/40 1,100,000 $87,181
SNAAC Auto Receivables Trust, 4.38%, 6/15/17 (144A) 1,800,000 $1,068,148
SNAAC Auto Receivables Trust 2013-1, 1.14%, 7/16/18 (144A) 1,823,000 $134,597
SNAAC Auto Receivables Trust 2014-1, 1.03%, 9/17/18 (144A) 839,000 $445,987
Soundview Home Loan Trust 2005-DO1, Floating Rate Note, 5/25/35 2,000,000 $1,933,203
Soundview Home Loan Trust 2005-OPT4, Floating Rate Note, 12/25/35 2,967,970 $752,406
Southwire Co., Initial Term Loan, 1/31/21 1,067,310 $1,031,733
Specialty Underwriting & Residential Finance Trust Series 2005-AB2, Floating Rate Note, 6/25/36 1,500,000 $479,277
Specialty Underwriting & Residential Finance Trust Series 2006-BC1, Floating Rate Note, 12/25/36 3,000,000 $340,486
Specialty Underwriting & Residential Finance Trust Series 2006-BC1, Floating Rate Note, 12/25/36 3,640,376 $3,525,900
Spectrum Brands, Inc., Tranche C Term Loan, 8/13/19 296,250 $294,707
Spirit AeroSystems, Inc., Term Loan B, 9/30/20 1,328,943 $1,318,976
Springleaf Funding Trust 2013-A, 2.58%, 9/15/21 (144A) 2,100,000 $2,109,837
Springleaf Mortgage Loan Trust 2012-3, Floating Rate Note, 12/26/59 (144A) 1,000,000 $455,099
Stanwich Mortgage Loan Trust, 2.9814%, 2/16/43 (144A) 3,025,000 $593,179
Starwood Property Mortgage Trust 2013-FV1, Floating Rate Note, 8/11/28 (144A) 2,495,000 $2,337,229
Starwood Property Trust, Inc., Term Loan (First Lien), 4/17/20 1,586,043 $1,555,643
State Street Bank & Trust Co., Floating Rate Note, 12/8/15 4,940,000 $4,938,868
Steward Health Care System LLC, Term Loan, 4/10/20 985,000 $976,381
Structured Adjustable Rate Mortgage Loan Trust, Floating Rate Note, 11/25/34 3,560,000 $345,688
Structured Adjustable Rate Mortgage Loan Trust, Floating Rate Note, 11/25/34 62,595,000 $3,104,583
Structured Adjustable Rate Mortgage Loan Trust, Floating Rate Note, 3/25/34 3,865,000 $571,754
Structured Adjustable Rate Mortgage Loan Trust, Floating Rate Note, 3/25/34 8,200,000 $450,806
Structured Adjustable Rate Mortgage Loan Trust, Floating Rate Note, 6/25/34 20,600,000 $2,323,436
Structured Adjustable Rate Mortgage Loan Trust, Floating Rate Note, 6/25/35 3,880,000 $41,595
Structured Asset Investment Loan Trust 2005-6, Floating Rate Note, 7/25/35 2,600,000 $2,234,130
Structured Asset Investment Loan Trust 2006-1, Floating Rate Note, 1/25/36 4,650,000 $1,032,382
Structured Asset Mortgage Investments II Trust 2004-AR1, Floating Rate Note, 3/19/34 16,800,000 $842,115
Structured Asset Mortgage Investments II Trust 2004-AR5, Floating Rate Note, 10/19/34 23,000,000 $1,042,864
Structured Asset Mortgage Investments II Trust 2004-AR8, Floating Rate Note, 5/19/35 83,350,000 $4,330,156
Structured Asset Mortgage Investments Trust 2002-AR5, Floating Rate Note, 5/19/33 36,301,000 $1,774,018
Structured Asset Sec Corp Mort Pass Thr Certs Series 1998-8, Floating Rate Note, 8/25/28 8,825,000 $375,687
Structured Asset Sec Corp Mort Pass-Through Cert Ser 2004-S4, Frn, 12/25/34 2,000,000 $286,044
Structured Asset Sec Corp Mort Pass-Through Ctfs Ser 2003-24A, Frn, 7/25/33 8,050,000 $948,006
Structured Asset Sec Corp Mort Pass Through Ctfs Series 2003-35, Frn, 12/25/33 2,500,000 $138,752
Structured Asset Securities Corp Mor Cer Ser 2003-31A, Floating Rate Note, 10/25/33 1,991,000 $208,991
Structured Asset Securities Corp Mortgage Loan Trust 2005-S7, Floating Rate Note, 12/25/35 (144A) 11,868,000 $1,557,107
Structured Asset Securities Corp Mortgage Loan Trust 2006-EQ1, Floating Rate Note, 7/25/36 5,000,000 $2,719,834
Structured Asset Securities Corp Mortgage Loan Trust 2006-GEL4, Floating Rate Note, 10/25/36 (144A) 5,557,000 $1,947,886
Structured Asset Securities Corp Mortgage Loan Trust 2007-BC3, Floating Rate Note, 6/25/37 3,500,000 $72,982
Structured Asset Securities Corp Mortgage Loan Trust 2007-TC1, Floating Rate Note, 4/25/31 (144A) 3,000,000 $998,517
Structured Asset Securities Corp Trust 2005-14, Floating Rate Note, 7/25/35 3,899,641 $373,330
Sumitomo Mitsui Banking Corp., Floating Rate Note, 7/19/16 1,500,000 $1,506,309
Sumitomo Mitsui Banking Corp. New York, Floating Rate Note, 4/1/15 1,000,000 $1,000,885
Sumitomo Mitsui Trust Bank, Ltd., Floating Rate Note, 9/16/16 (144A) 1,500,000 $1,510,342
Sunset Mortgage Loan Co 2014-NPL2 LLC, 3.721%, 11/16/44 (Step) (144A) 3,070,000 $2,976,586
SunTrust Bank, Floating Rate Note, 2/15/17 3,645,000 $3,650,859
SunTrust Bank, Floating Rate Note, 4/1/15 4,090,000 $4,091,513
Svenska Handelsbanken AB, Floating Rate Note, 3/21/16 3,625,000 $3,641,419
Svenska Handelsbanken AB, Floating Rate Note, 9/23/16 2,350,000 $2,360,613
SVSNY 0.185% 03Feb15 2,500,000 $2,501,407
SWAY Residential 2014-1 Trust, Floating Rate Note, 1/20/32 (144A) 2,900,000 $2,861,418
SWIFT TRANSPORTATION CO LLC 1ST LIEN TL-B L + 3% 09Jun21 339,861 $339,295
Synchrony Credit Card Master Note Trust, 1.51%, 6/15/18 849,000 $852,781
Synchrony Credit Card Master Note Trust, 3.69%, 3/15/18 1,600,000 $1,608,964
Synchrony Credit Card Master Note Trust, Floating Rate Note, 6/15/18 3,600,000 $3,600,285
Syncreon Group BV, Term Loan, 9/26/20 198,000 $196,020
Syniverse Holdings, Inc., Tranche B Term Loan, 4/23/19 727,141 $704,721
TAL Advantage I LLC, Floating Rate Note, 4/20/21 (144A) 1,250,000 $155,170
TAL Advantage V LLC, 1.7%, 5/20/39 (144A) 1,400,000 $1,151,791
Tar Heel Re, Ltd., Floating Rate Note, 5/9/16 (Cat Bond) (144A) 1,500,000 $1,586,166
Telesat Canada, U.S. Term B-2 Loan, 3/28/19 660,424 $655,471
Tempur Sealy International, Inc., New Term B Loan, 3/18/20 425,614 $420,294
Terex Corp., U.S. Term Loan, 8/13/21 308,782 $307,238
TERRA-GEN POWER LLC 1ST LIEN TL-B L + 4.25% 31Dec21 1,350,000 $1,339,875
Terwin Mortgage Trust Series TMTS 2003-8HE, Floating Rate Note, 12/25/34 23,713,000 $719,126
Terwin Mortgage Trust Series TMTS 2005-10HE, Floating Rate Note, 6/25/36 668,753 $470,418
Tesoro Corp., Initial Term Loan, 5/30/16 795,000 $795,000
Texas Competitive Electric Holdings Co LLC, DIP Delayed Draw Term Loan (2014), 5/5/16 1,595,935 $1,604,414
The Bank of New York Mellon Corp., 2.95%, 6/18/15 2,400,000 $2,431,376
The Bank of New York Mellon Corp., Floating Rate Note, 10/23/15 3,533,000 $3,537,887
The Bank of New York Mellon Corp., Floating Rate Note, 3/4/16 3,275,000 $3,279,164
The Bank of Nova Scotia, Floating Rate Note, 12/13/16 1,800,000 $1,806,848
The Bank of Nova Scotia, Floating Rate Note, 3/15/16 2,000,000 $2,008,995
The Bank of Nova Scotia, Floating Rate Note, 7/15/16 1,500,000 $1,507,918
The Bank of Tokyo-Mitsubishi UFJ, Ltd., Floating Rate Note, 3/10/17 (144A) 1,000,000 $1,001,338
The Bank of Tokyo-Mitsubishi UFJ, Ltd., Floating Rate Note, 9/8/17 (144A) 2,525,000 $2,517,927
The Bear Stearns Companies LLC, Floating Rate Note, 11/21/16 2,465,000 $2,463,165
The Boeing Co., 3.5%, 2/15/15 1,500,000 $1,525,577
The Charles Schwab Corp., 0.85%, 12/4/15 1,555,000 $1,561,812
The Coca-Cola Co., Floating Rate Note, 3/5/15 850,000 $850,293
The Connecticut Light & Power Co., 5.0%, 4/1/15 1,200,000 $1,228,485
The Geo Group, Inc., Term Loan, 4/3/20 984,968 $977,581
The Goldman Sachs Group, Inc., 1.6%, 11/23/15 3,422,000 $3,456,412
The Goldman Sachs Group, Inc., 3.7%, 8/1/15 2,400,000 $2,479,420
The Goldman Sachs Group, Inc., Floating Rate Note, 3/22/16 4,300,000 $4,297,684
The Goldman Sachs Group, Inc., Floating Rate Note, 7/22/15 1,300,000 $1,299,966
The Goodyear Tire & Rubber Co., Loan (Second Lien), 4/30/19 800,000 $801,000
The Hertz Corp., Tranche B-1 Term Loan, 3/11/18 735,000 $732,473
The Huntington National Bank, Floating Rate Note, 4/24/17 2,000,000 $2,000,676
The Manitowoc Co, Inc., Term B Loan, 12/18/20 71,612 $70,896
The PNC Financial Services Group, Inc., Floating Rate Note (Perpetual) 1,500,000 $1,513,167
The Procter & Gamble Co., 1.8%, 11/15/15 2,500,000 $2,537,620
The Toronto-Dominion Bank, Floating Rate Note, 5/1/15 5,695,000 $5,703,026
The Toronto-Dominion Bank, Floating Rate Note, 5/2/17 2,000,000 $2,000,945
The Toronto-Dominion Bank, Floating Rate Note, 7/8/16 1,320,000 $1,321,934
The Toronto-Dominion Bank, Floating Rate Note, 9/9/16 1,000,000 $1,005,006
Thornburg Mortgage Securities Trust 2004-4, Floating Rate Note, 12/25/44 4,235,000 $661,471
TI Group Automotive Systems LLC, Term Loan Facility, 7/1/21 635,097 $633,212
TMS International Corp., Term B Loan, 10/2/20 148,500 $142,560
TORONTO-DOMINION BANK, Floating Rate Note, 11/6/15 4,025,000 $4,034,312
Total Capital Canada, Ltd., Floating Rate Note, 1/15/16 3,355,000 $3,365,452
Tower Automotive Holdings USA LLC, Refinancing Term Loan, 4/23/20 200,190 $197,562
Toyota Auto Receivables 2013-B Owner Trust, 0.48%, 2/15/16 2,390,000 $454,088
Toyota Auto Receivables 2014-C Owner Trust, 0.51%, 2/15/17 1,770,000 $1,770,197
Toyota Motor Credit Corp., 0.75%, 3/3/17 (Step) 2,250,000 $2,250,078
Toyota Motor Credit Corp., 1.0%, 2/17/15 2,265,000 $2,275,843
Toyota Motor Credit Corp., Floating Rate Note, 5/17/16 2,800,000 $2,810,238
Toyota Motor Credit Corp., Floating Rate Note, 9/18/15 1,000,000 $1,001,282
Trade MAPS 1, Ltd., Floating Rate Note, 12/10/18 (144A) 3,079,000 $3,081,084
Tradewynd Re, Ltd., Floating Rate Note, 1/8/18 (Cat Bond) (144A) 750,000 $750,537
Trafigura Securitisation Finance Plc, Floating Rate Note, 10/15/15 (144A) 1,537,000 $1,543,377
Trafigura Securitisation Finance Plc, Floating Rate Note, 10/15/15 (144A) 1,556,000 $1,562,392
Trafigura Securitisation Finance Plc. 2014-1, Floating Rate Note, 4/16/18 (144A) 1,400,000 $1,401,162
Tramline Re II, Ltd., Floating Rate Note, 1/4/19 (Cat Bond) (144A) 250,000 $253,350
TransCanada PipeLines, Ltd., 0.875%, 3/2/15 4,160,000 $4,176,413
TransCanada PipeLines, Ltd., Floating Rate Note, 6/30/16 3,544,000 $3,556,852
TransDigm, Inc., Tranche C Term Loan, 2/28/20 320,100 $316,121
Tribune Media Co., Initial Term Loan, 11/20/20 2,116,250 $2,091,120
Trimaran CLO V, Ltd., Floating Rate Note, 3/15/18 (144A) 1,500,000 $185,827
Triton Container Finance LLC, Floating Rate Note, 2/26/19 (144A) 1,287,000 $13,398
Tronox Pigments BV, New Term Loan, 3/19/20 384,383 $380,689
Truman Capital Mortgage Loan Trust, Floating Rate Note, 1/25/34 925,000 $820,062
Truven Health Analytics, Inc., New Tranche B Term Loan, 6/6/19 341,295 $331,057
Tyco Electronics Group SA, Floating Rate Note, 1/29/16 2,400,000 $2,399,587
U.S. Treasury Floating Rate Note, 0.090001011%, 7/31/16 19,740,000 $19,744,567
Unifrax I LLC, New Term B Dollar Loan, 11/28/18 976,648 $968,916
United Airlines, Inc., Class B Term Loan, 4/1/19 245,625 $243,885
UNITED AIRLINES INC 1ST LIEN TL-B L + 3% 07Aug21 997,500 $990,517
United Auto Credit Securitization Trust 2013-1, 1.74%, 4/15/16 (144A) 1,900,000 $636,765
United Auto Credit Securitization Trust 2014-1, 0.74%, 6/15/16 (144A) 3,000,000 $3,000,864
United States Treasury Floating Rate Note, Floating Rate Note, 1/31/16 20,500,000 $20,500,994
United States Treasury Floating Rate Note, Floating Rate Note, 10/31/16 20,100,000 $20,094,558
United States Treasury Floating Rate Note, Floating Rate Note, 4/30/16 21,260,000 $21,264,673
United Technologies Corp., Floating Rate Note, 6/1/15 1,965,000 $1,970,759
Univision Communications, Inc., Replacement First-Lien Term Loan, 3/1/20 663,175 $654,160
Ursa Re, Ltd., Floating Rate Note, 12/7/17 (Cat Bond) (144A) 1,500,000 $1,500,600
US Bancorp, 2.45%, 7/27/15 2,620,000 $2,646,913
US Bank NA Cincinnati Ohio, Floating Rate Note, 1/26/18 2,600,000 $2,599,209
US Bank NA Cincinnati Ohio, Floating Rate Note, 1/30/17 2,025,000 $2,026,895
US Bank NA Cincinnati Ohio, Floating Rate Note, 4/22/16 2,000,000 $2,000,726
USI, Inc. New York, Initial Term Loan 2013, 12/30/19 1,087,904 $1,072,945
Valeant Pharmaceuticals International, Inc., Series C-2 Tranche B Term Loan, 12/11/19 511,676 $508,958
Valeant Pharmaceuticals International, Inc., Series D2 Term Loan B, 2/13/19 213,198 $212,082
Valeant Pharmaceuticals International, Inc., Series E1 Tranche B Term Loan, 8/5/20 1,313,724 $1,306,790
Vantiv LLC, Term B Loan, 6/12/21 958,660 $953,659
Velocity Commercial Capital Loan Trust 2014-1, Floating Rate Note, 9/25/44 (144A) 3,200,000 $2,976,817
Vericrest Opportunity Loan Transferee 2014-NPL4 LLC, 3.125%, 4/27/54 (Step) (144A) 6,000,000 $4,897,862
Verint Systems, Inc., Tranche B Incremental Term Loan, 9/6/19 325,731 $324,591
Verizon Communications, Inc., 0.7%, 11/2/15 3,300,000 $3,303,826
Verizon Communications, Inc., Floating Rate Note, 9/15/16 3,805,000 $3,882,049
VERS 2015-A ZERO% 31Dec17 2,500,000 $2,519,500
VFC 2014-2 LLC, 2.75%, 7/20/30 (144A) 3,510,000 $2,231,289
Virgin Media Investment Holdings, Ltd., B Facility, 6/8/20 2,205,000 $2,175,543
VISTEON CORP TERM B 1ST LIEN DD L + 2.75% 08Apr21 497,500 $492,525
Vita Capital V, Ltd., Floating Rate Note, 1/15/17 (Cat Bond) (144A) 1,500,000 $1,521,188
Vita Capital V, Ltd., Floating Rate Note, 1/15/17 (Cat Bond) (144A) 500,000 $509,618
Vitality Re IV, Ltd., Floating Rate Note, 1/9/17 (Cat Bond) (144A) 1,000,000 $1,014,815
Vitality Re V, Ltd., Floating Rate Note, 1/7/19 (Cat Bond) (144A) 1,800,000 $1,780,845
Vodafone Group Plc, Floating Rate Note, 2/19/16 1,150,000 $1,151,855
Volkswagen Auto Lease Trust 2013-A, 0.63%, 12/21/15 1,530,000 $259,166
Volkswagen Auto Lease Trust 2013-A, Floating Rate Note, 12/21/15 2,000,000 $338,699
Volkswagen Auto Lease Trust 2014-A, 0.52%, 10/20/16 5,790,000 $4,064,001
Volkswagen Auto Lease Trust 2014-A, Floating Rate Note, 10/20/16 1,500,000 $1,051,784
Volkswagen Group of America Finance LLC, Floating Rate Note, 5/23/16 (144A) 1,900,000 $1,899,103
Volkswagen International Finance NV, 1.15%, 11/20/15 (144A) 3,690,000 $3,717,225
Volkswagen International Finance NV, 1.625%, 3/22/15 (144A) 2,400,000 $2,417,603
Volkswagen International Finance NV, Floating Rate Note, 11/18/16 (144A) 1,750,000 $1,756,141
VOLT NPL X LLC, 3.375%, 10/26/54 (Step) (144A) 4,390,000 $4,253,196
VOLT XIX LLC, 3.875%, 4/26/55 (Step) 1,500,000 $1,465,491
VOLT XXIV LLC, 3.25%, 11/25/53 (Step) 2,000,000 $981,806
VOLT XXXI LLC, 3.375%, 2/25/55 (Step) (144A) 3,000,000 $3,020,736
VOLT XXX LLC, 3.625%, 10/25/57 (Step) 2,250,000 $2,268,906
Volvo Financial Equipment LLC Series 2012-1, 2.38%, 9/16/19 (144A) 295,000 $298,052
Volvo Financial Equipment LLC Series 2013-1, 0.74%, 3/15/17 (144A) 1,410,000 $1,324,521
Volvo Financial Equipment LLC Series 2014-1, 0.54%, 11/15/16 (144A) 1,700,000 $1,495,374
Wachovia Bank Commercial Mortgage Trust Series 2005-C18, 4.935%, 4/15/42 4,722,637 $392,899
Wachovia Bank Commercial Mortgage Trust Series 2005-C20 REMICS, Floating Rate Note, 7/15/42 8,460,000 $6,763,193
Wachovia Bank Commercial Mortgage Trust Series 2005-C21, Floating Rate Note, 10/17/44 1,990,733 $1,632,274
Wachovia Bank Commercial Mortgage Trust Series 2005-C22 REMICS, Floating Rate Note, 12/15/44 5,713,000 $5,278,941
Wachovia Bank Commercial Mortgage Trust Series 2006-C23 REMICS, Floating Rate Note, 1/15/45 5,550,000 $4,453,901
Wachovia Bank Commercial Mortgage Trust Series 2006-C25, Floating Rate Note, 5/15/43 4,240,000 $3,662,164
Wachovia Bank Commercial Mortgage Trust Series 2007-WHALE 8, Floating Rate Note, 6/15/20 (144A) 5,000,000 $288,815
Wachovia Corp., Floating Rate Note, 10/28/15 1,983,000 $1,986,037
Wachovia Corp., Floating Rate Note, 6/15/17 1,999,000 $1,992,430
WaMu Mortgage Pass-Through Certificates Series 2002-AR18 Trust, Floating Rate Note, 1/25/33 34,265,000 $340,716
WaMu Mortgage Pass-Through Certificates Series 2002-AR19 Trust, Floating Rate Note, 2/25/33 18,180,000 $645,550
WaMu Mortgage Pass-Through Certificates Series 2004-AR14 Trust, Floating Rate Note, 1/25/35 2,390,499 $489,973
WaMu Mortgage Pass-Through Certificates Series 2005-AR7 Trust, Floating Rate Note, 8/25/35 28,565,000 $1,604,907
Waste Industries USA, Inc., Term B Loan, 3/17/17 148,849 $148,043
Weight Watchers International, Inc., Initial Tranche B-2 Term Loan, 4/2/20 1,965,000 $1,318,186
Wells Fargo & Co., 1.5%, 7/1/15 2,600,000 $2,615,420
Wells Fargo & Co., Floating Rate Note, 10/28/15 2,503,000 $2,505,585
Wells Fargo & Co., Floating Rate Note, 6/26/15 5,230,000 $5,255,103
Wells Fargo & Co., Floating Rate Note, 7/20/16 3,105,000 $3,116,247
Wells Fargo Bank NA, 4.75%, 2/9/15 1,564,000 $1,600,412
Wells Fargo Bank NA, Floating Rate Note, 5/16/16 975,000 $972,979
Wells Fargo Commercial Mortgage Trust 2014-TISH, Floating Rate Note, 2/16/27 (144A) 2,220,000 $2,211,676
Wells Fargo Home Equity Asset-Backed Securities 2005-2 Trust, Floating Rate Note, 11/25/35 189,000 $55,921
Wells Fargo Home Equity Asset-Backed Securities 2005-3 Trust, Floating Rate Note, 12/25/35 2,690,000 $791,461
Wells Fargo Mortgage Backed Securities 2005-AR6 Trust, Floating Rate Note, 4/25/35 611,000 $42,064
Wendys International LLC, Term B Loan, 5/15/19 721,096 $718,392
Wesco Aircraft Hardware Corp., Tranche B Term Loan, 2/24/21 2,535,000 $2,501,728
WESCO Distribution, Inc., Tranche B-1 Loan, 12/12/19 318,294 $317,896
West Corp., Term B-10 Loan, 6/30/18 1,004,820 $994,301
Western Refining, Inc., Term Loan 2013, 11/12/20 447,738 $433,187
Westgate Resorts 2012-2 LLC, 9.0%, 1/21/25 (144A) 1,500,000 $448,542
Westgate Resorts 2012-A LLC, 3.75%, 8/20/25 (144A) 2,805,000 $1,458,986
Westgate Resorts LLC, 2.5%, 3/20/25 (144A) 350,000 $131,650
Westgate Resorts LLC, 9.5%, 2/20/25 (144A) 5,000,000 $1,846,620
Westlake Automobile Receivables Trust 2013-1, 1.12%, 1/15/18 (144A) 375,000 $163,281
Westpac Banking Corp., 4.2%, 2/27/15 2,000,000 $2,040,807
Westpac Banking Corp., Floating Rate Note, 5/19/17 2,000,000 $2,001,284
Westpac Banking Corp., Floating Rate Note, 7/17/15 (144A) 500,000 $501,855
Westpac Banking Corp., Floating Rate Note, 7/28/15 1,000,000 $1,000,209
Westwood CDO II, Ltd., Floating Rate Note, 4/25/22 (144A) 2,000,000 $1,436,800
WHEELABRATOR 1ST LIEN TL-B L + 4% 15Oct21 2,873,563 $2,894,218
WHEELABRATOR 1ST LIEN TL-C L + 4% 15Oct21 126,436 $127,345
Wheels SPV 2 LLC, 0.84%, 3/20/23 (144A) 1,000,000 $1,001,821
WideOpenWest Finance LLC, Term B Loan, 4/1/19 238,689 $237,555
Wilshire Mortgage Loan Trust, Floating Rate Note, 5/25/28 10,000,000 $30,750
Windstream Corp., Tranche B-4 Term Loan, 1/23/20 1,030,477 $1,023,264
Windstream Corp., Tranche B-5 Term Loan, 8/8/19 708,778 $703,285
WireCo WorldGroup, Inc., Term Loan, 2/15/17 871,420 $873,054
WMG Acquisition Corp., Tranche B Refinancing Term Loan, 7/1/20 1,086,250 $1,051,625
World Financial Network Credit Card Master Trust, 3.96%, 4/15/19 350,000 $355,038
World Financial Network Credit Card Master Trust, Floating Rate Note, 12/16/19 10,375,000 $10,376,461
World Omni Automobile Lease Securitization Trust 2014-A, Floating Rate Note, 3/15/17 2,500,000 $2,496,685
World Omni Auto Receivables Trust 2013-B, 0.48%, 11/15/16 50,000 $16,972
World Omni Auto Receivables Trust 2014-B, Floating Rate Note, 1/16/18 2,650,000 $2,650,571
WR Grace & Co-Conn, Delayed Draw Term Loan, 1/23/21 290,008 $289,600
WR Grace & Co-Conn, U.S. Term Loan, 1/23/21 805,932 $804,799
WYLE 1ST LIEN TL-B L + 4% 22May21 196,495 $196,434
Xerium Technologies, Inc., New Term Loan, 5/17/19 78,800 $78,800
XOM CP ZERO% 04Feb15 USD 6,100,000 $6,099,915
ZEBRA TECHNOLOGIES CORPORATION 1ST LIEN TL-B L + 4% 30Sep21 1,000,000 $1,007,232
ZIGGO BV, (USD) TLB3, 1/15/22 1,136,553 $1,109,458
ZIGGO BV 1ST LIEN TL-B1 L + 2.75% 15Jan22 1,072,382 $1,046,818
ZIGGO BV 1ST LIEN TL-B2 L + 2.75% 15Jan22 691,063 $674,589

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

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