Pioneer Multi-Asset Ultrashort Income Fund

Top 10 Portfolio Holdings as of 3/31/2015
Default: sorted by market value

Security Name Par / Shares Market Value
14112z Zero% 01feb19 2,500,000 $2,606,000
321 Henderson Receivables II LLC, Floating Rate Note, 9/15/41 (144A) 11,542,000 $3,694,926
321 Henderson Receivables I LLC, Floating Rate Note, 11/15/40 (144A) 4,630,000 $1,379,094
321 Henderson Receivables I LLC, Floating Rate Note, 12/15/41 (144A) 10,869,000 $3,650,416
321 Henderson Receivables I LLC, Floating Rate Note, 6/15/41 (144A) 8,090,000 $2,648,017
321 Henderson Receivables I LLC, Floating Rate Note, 9/15/45 (144A) 3,120,000 $729,419
77 Energy 1st Lien Tl-B L + 3% 17jun21 1,442,750 $1,268,177
A10 Securitization 2013-1 LLC, 2.4%, 11/17/25 (144A) 1,400,000 $402,848
ABFC 2003-WMC1 Trust, Floating Rate Note, 3/25/33 3,691,000 $12,709
ABFC 2005-WF1 Trust, Floating Rate Note, 12/25/34 2,140,000 $776,193
ABN AMRO Bank NV, Floating Rate Note, 10/28/16 (144A) 1,725,000 $1,739,694
ACA CLO 2006-2, Ltd., Floating Rate Note, 1/20/21 (144A) 3,250,000 $3,206,853
ACAS CLO 2007-1, Ltd., Floating Rate Note, 4/20/21 1,800,000 $1,321,247
Accredited Mortgage Loan Trust 2005-2, Floating Rate Note, 7/25/35 1,110,000 $1,089,583
ACE Securities Corp Manufactured Housing Trust Series 2003-MH1, Floating Rate Note, 8/15/30 (144A) 1,250,000 $104,762
ACIS CLO 2014-4, Ltd., Floating Rate Note, 5/1/26 (144A) 3,000,000 $1,501,043
ACRE Commercial Mortgage Trust 2014-FL2, Floating Rate Note, 8/15/31 (144A) 5,350,000 $4,110,173
ACRE Commercial Mortgage Trust 2014-FL2, Floating Rate Note, 8/15/31 (144A) 2,500,000 $2,496,872
Activision Blizzard, Inc., Term Loan, 7/26/20 1,411,209 $1,419,147
Adjustable Rate Mortgage Trust 2005-5, Floating Rate Note, 9/25/35 13,780,000 $1,147,793
AdvancePierre Foods, Inc., Term Loan (First Lien), 7/10/17 184,983 $185,532
Advantage Sales & Marketing Inc 1st Lien Tl-B L + 3.25% 11jul21 0 $0
Aecom Technology Corp 1st Lien Tl-B L + 3% 17sep21 287,913 $290,672
Aegis Asset Backed Securities Trust 2004-6, Floating Rate Note, 3/25/35 5,700,000 $80,817
Aegis Asset Backed Securities Trust Mortgage Pass-Through Ctfs Ser 2004-2, Floating Rate Note, 6/25/ 21,291,000 $1,590,264
Aegis Asset Backed Securities Trust Mortgage Pass-Through Ctfs Ser 2005-4, Floating Rate Note, 10/25 800,000 $393,136
Aegis Asset Backed Securities Trust Mortgage Pass- Through Ctfs Series 2004-3, Floating Rate Note, 9 3,465,620 $543,127
Aegis Asset Backed Securities Trust Mortgage Pass-Through Ctfs Series 2004-4, Floating Rate Note, 10 3,977,618 $842,227
Alamo Re, Ltd., Floating Rate Note, 6/7/17 (Cat Bond) (144A) 1,000,000 $1,024,022
Albertsons LLC, Term B-2 Loan, 3/21/19 1,503,474 $1,514,516
Alkermes, Inc., 2019 Term Loan, 9/25/19 1,125,602 $1,128,416
Alliant Holdings I, Inc., Initial Term Loan, 12/20/19 242,448 $242,700
Allied Security Holdings LLC, Closing Date Term Loan (First Lien), 2/12/21 512,124 $513,005
Allison Transmission, Inc., Term B-3 Loan, 8/23/19 146,279 $146,523
Ally Auto Receivables Trust 2011-3, 1.61%, 5/16/16 602,000 $33,337
Ally Auto Receivables Trust 2013-2, Floating Rate Note, 7/15/16 1,500,000 $240,977
Ally Auto Receivables Trust 2014-SN1, Floating Rate Note, 10/20/16 1,800,000 $1,083,703
Ally Auto Receivables Trust 2015-SN1, Floating Rate Note, 10/20/16 1,900,000 $1,900,043
Ally Master Owner Trust, 4.59%, 4/15/17 (144A) 3,000,000 $3,010,332
Ally Master Owner Trust, Floating Rate Note, 1/16/18 300,000 $300,049
Ally Master Owner Trust, Floating Rate Note, 6/17/19 2,600,000 $2,597,640
Ally Master Owner Trust, Floating Rate Note, 8/15/17 3,000,000 $3,010,221
Alterna Funding I LLC, 1.639%, 2/15/21 (144A) 1,400,000 $1,126,522
Alternative Loan Trust 2003-3T1, Floating Rate Note, 5/25/33 15,000,000 $542,824
Alternative Loan Trust 2004-4CB, 4.25%, 4/25/34 16,913,000 $382,172
Alternative Loan Trust 2004-6CB, Floating Rate Note, 4/25/34 32,705,000 $2,184,623
Alternative Loan Trust 2004-J13, Floating Rate Note, 2/25/35 1,000,000 $967,206
Altice Financing SA, 7.875%, 12/15/19 (144A) 1,250,000 $1,353,984
Altisource Solutions Sarl, Term B Loan, 12/9/20 985,084 $724,037
Altria Group, Inc., 4.125%, 9/11/15 1,075,000 $1,093,661
Altrl Zero% 30jun17 600,000 $608,880
Amazon.com, Inc., 0.65%, 11/27/15 5,450,000 $5,468,012
AMC Entertainment, Inc., Initial Term Loan, 4/30/20 1,453,927 $1,455,199
America Movil SAB de CV, Floating Rate Note, 9/12/16 1,500,000 $1,506,915
American Airlines, Inc., Class B Term Loan, 6/27/19 2,505,375 $2,508,955
American Airlines Inc 1st Lien Tl-B L + 3.5% 08oct21 500,000 $504,167
American Credit Acceptance Receivables Trust, 1.64%, 11/15/16 (144A) 1,401,000 $30,942
American Credit Acceptance Receivables Trust 2012-2, 4.05%, 2/15/18 (144A) 1,228,000 $1,052,423
American Credit Acceptance Receivables Trust 2013-1, 1.45%, 4/16/18 (144A) 1,859,000 $340,081
American Credit Acceptance Receivables Trust 2013-2, 1.32%, 2/15/17 (144A) 805,000 $75,938
American Credit Acceptance Receivables Trust 2014-1, 1.14%, 3/12/18 (144A) 5,045,000 $1,335,115
American Credit Acceptance Receivables Trust 2014-2, 0.99%, 10/10/17 (144A) 3,300,000 $1,262,560
American Credit Acceptance Receivables Trust 2014-3, 0.99%, 8/10/18 (144A) 1,420,000 $840,782
American Credit Acceptance Receivables Trust 2014-4, 1.23%, 7/10/18 (144A) 1,150,000 $958,014
American Express Centurion Bank, Floating Rate Note, 11/13/15 6,390,000 $6,407,294
American Express Credit Account Master Trust, 1.29%, 3/15/18 (144A) 400,000 $400,601
American Express Credit Account Master Trust, Floating Rate Note, 1/15/20 350,000 $350,256
American Express Credit Account Master Trust, Floating Rate Note, 2/15/18 1,945,000 $1,951,796
American Express Credit Account Master Trust, Floating Rate Note, 3/15/18 8,890,000 $8,891,202
American Express Credit Account Master Trust, Floating Rate Note, 5/15/20 3,300,000 $3,300,597
American Express Credit Corp., 1.75%, 6/12/15 3,000,000 $3,021,977
American Express Credit Corp., Floating Rate Note, 6/12/15 3,441,000 $3,451,384
American Express Credit Corp., Floating Rate Note, 7/29/16 2,850,000 $2,863,413
American Homes 4 Rent 2014-SFR1, Floating Rate Note, 6/19/31 (144A) 1,500,000 $1,487,260
American Honda Finance Corp., 1.0%, 8/11/15 (144A) 1,000,000 $1,003,675
American Honda Finance Corp., Floating Rate Note, 1/11/16 2,650,000 $2,651,312
American Honda Finance Corp., Floating Rate Note, 10/7/16 2,285,000 $2,299,268
American Honda Finance Corp., Floating Rate Note, 12/11/17 2,570,000 $2,574,763
American Honda Finance Corp., Floating Rate Note, 5/26/16 (144A) 3,050,000 $3,063,078
American International Group, Inc., 5.05%, 10/1/15 2,500,000 $2,616,265
AmeriCredit Automobile Receivables Trust 2011-5, 2.45%, 12/8/16 1,700,000 $74,560
AmeriCredit Automobile Receivables Trust 2012-1, 2.67%, 1/8/18 800,000 $808,499
AmeriCredit Automobile Receivables Trust 2013-2, 0.65%, 12/8/17 485,000 $431,004
AmeriCredit Automobile Receivables Trust 2013-4, 0.74%, 11/8/16 1,500,000 $129,650
AmeriCredit Automobile Receivables Trust 2014-2, Floating Rate Note, 10/10/17 1,320,000 $991,010
Ameriquest Mortgage Securities Inc Asset-Backed Pass-Through Ctfs Ser 2003-AR3, Floating Rate Note, 729,633 $347,190
Ameriquest Mortgage Securities Inc Asset-Backed Pass-Through Ctfs Ser 2004-R11, Floating Rate Note, 90,900,000 $2,952,688
Ameriquest Mortgage Securities Inc Asset-Backed Pass-Through Ctfs Ser 2005-R1, Floating Rate Note, 3 2,757,237 $1,263,741
Ameriquest Mortgage Securities Inc Asset-Backed Pass-Through Ctfs Ser 2005-R10, Floating Rate Note, 15,705,000 $576,553
Ameriquest Mortgage Securities Inc Asset Backed Pass-Through Ctfs Ser 2005-R11, Floating Rate Note, 810,000 $491,719
Ameriquest Mortgage Securities Inc Asset-Backed Pass-Through Ctfs Ser 2005-R5, Floating Rate Note, 7 84,000 $67,811
Anheuser-Busch InBev Finance, Inc., 0.8%, 1/15/16 3,700,000 $3,719,795
Anheuser-Busch InBev Finance, Inc., Floating Rate Note, 1/27/17 1,900,000 $1,897,689
Anheuser-Busch InBev Worldwide, Inc., 3.625%, 4/15/15 1,285,000 $1,307,562
Apex Tool Group LLC, Term Loan, 1/31/20 1,225,000 $1,204,712
Apidos CDO, Floating Rate Note, 7/15/23 (144A) 3,000,000 $3,000,000
Apidos Quattro CDO, Floating Rate Note, 1/20/19 (144A) 1,000,000 $992,696
Appalachian Power Co., 3.4%, 5/24/15 5,000,000 $5,078,612
Apple, Inc., Floating Rate Note, 5/3/16 1,500,000 $1,501,359
Arbor Realty Collateralized Loan Obligation 2015-FL1, Ltd., Floating Rate Note, 3/15/25 (144A) 3,800,000 $3,806,641
Ardagh Holdings USA, Inc., New Term Loan, 12/17/19 677,160 $680,263
ARI Fleet Lease Trust 2012-A, Floating Rate Note, 3/15/20 (144A) 2,070,000 $288,455
ARI Fleet Lease Trust 2012-B, Floating Rate Note, 1/15/21 (144A) 1,030,000 $265,623
ARI Fleet Lease Trust 2013-A, 0.7%, 12/15/15 (144A) 4,000,000 $974,788
ARI Fleet Lease Trust 2013-A, 0.92%, 7/15/21 (144A) 600,000 $600,925
ARI Fleet Lease Trust 2014-A, 0.81%, 11/15/22 (144A) 3,000,000 $2,763,446
Arlington Flt% 01aug15 100,000 $111,590
Armor Re, Ltd., Floating Rate Note, 12/15/16 (Cat Bond) (144A) 1,000,000 $996,633
Armstrong World Industries, Inc., Term Loan B, 3/15/20 1,078,246 $1,079,088
Arran Residential Mortgages Funding 2010-1 Plc, Floating Rate Note, 5/16/47 (144A) 4,850,000 $2,025,760
Ascentium Equipment Receivables 2012-1 LLC, 1.83%, 9/15/19 (144A) 1,528,000 $19,711
Ascentium Equipment Receivables 2014-1 LLC, 1.04%, 1/10/17 (144A) 1,000,000 $761,084
Ascentium Equipment Receivables 2014-1 LLC, 1.58%, 10/10/18 (144A) 1,700,000 $1,703,330
ASG Resecuritization Trust 2010-3, Floating Rate Note, 12/29/45 (144A) 5,216,443 $2,142,048
Asset-Backed Pass-Through Certificates Series 2004-R2, Floating Rate Note, 4/25/34 24,000,000 $1,213,868
Asset Backed Securities Corp Home Equity Loan Trust Series 2005-HE2, Floating Rate Note, 2/25/35 8,100,000 $511,028
Asset Backed Securities Corp Home Equity Loan Trust Series 2005-HE3, Floating Rate Note, 4/25/35 724,529 $480,517
Asset Backed Securities Corp Home Equity Loan Trust Series AEG 2006-HE1, Floating Rate Note, 1/25/36 6,155,063 $1,044,199
Asset Backed Securities Corp Home Equity Loan Trust Series NC 2005-HE4, Floating Rate Note, 5/25/35 3,657,000 $232,612
Asset Backed Securities Corp Home Equity Loan Trust Series OOMC 2005-HE6, Floating Rate Note, 7/25/3 1,879,167 $1,266,197
AT&T, Inc., 2.5%, 8/15/15 3,119,000 $3,149,970
Atlantic Power LP, Term Loan, 2/20/21 2,730,906 $2,747,974
Atlas IX Capital, Ltd., Floating Rate Note, 1/17/19 (Cat Bond) (144A) 1,500,000 $1,548,026
Atlas IX Capital, Ltd., Floating Rate Note, 1/7/19 (Cat Bond) (144A) 250,000 $250,000
Atlas Reinsurance VII, Ltd., Floating Rate Note, 1/7/16 (Cat Bond) (144A) 1,000,000 $1,035,287
Audio Visual Services Corp., Initial Term Loan (First Lien), 1/24/21 227,700 $227,700
Avago Technologies Ltd 1st Lien Tl-B L + 3% 16apr21 1,122,572 $1,126,291
Avis Budget Car Rental LLC, Tranche B Term Loan, 3/15/19 1,276,336 $1,282,707
AWAS Finance Luxembourg 2012 SA, Term Loan, 7/16/18 386,589 $387,551
Axalta Coating Systems US Holdings, Inc., Refinanced Term B Loan, 2/1/20 1,021,485 $1,016,843
AXIS Equipment Finance Receivables II LLC, 1.75%, 6/20/16 1,000,000 $414,098
Az Chem Us Inc 1st Lien Tl-B L + 3.5% 09jun21 1,883,464 $1,889,644
B/E Aerospace Inc 1st Lien Tl-B L + 3.25% 21nov21 1,496,250 $1,510,271
BA Credit Card Trust, Floating Rate Note, 1/15/20 2,000,000 $2,000,408
BA Credit Card Trust, Floating Rate Note, 9/16/19 6,400,000 $6,402,589
BAMLL Commercial Mortgage Securities Trust 2014-FL1, Floating Rate Note, 12/17/31 (144A) 3,613,000 $3,629,107
BAMLL Commercial Mortgage Securities Trust 2014-ICTS, Floating Rate Note, 6/15/28 (144A) 1,920,000 $1,913,905
Banc of America Commercial Mortgage Trust 2006-1, Floating Rate Note, 9/10/45 5,040,000 $5,136,091
Banc of America Commercial Mortgage Trust 2006-1, Floating Rate Note, 9/10/45 3,590,000 $3,696,117
Banc of America Funding 2004-B Trust, Floating Rate Note, 12/20/34 20,499,000 $1,440,989
Banc of America Merrill Lynch Commercial Mortgage, Inc., 4.933%, 7/10/45 6,180,000 $4,084,171
Banc of America Merrill Lynch Commercial Mortgage, Inc., Floating Rate Note, 10/10/45 8,970,000 $6,129,109
Banc of America Merrill Lynch Commercial Mortgage, Inc., Floating Rate Note, 9/10/47 6,175,000 $5,136,940
Banc of America Mortgage 2003-A Trust, Floating Rate Note, 2/25/33 10,560,000 $101,734
Banc of America Mortgage 2003-F Trust, Floating Rate Note, 7/25/33 8,661,215 $370,785
Banc of America Mortgage 2004-D Trust, Floating Rate Note, 5/25/34 17,088,000 $1,738,706
Banc of America Mortgage 2004-I Trust, Floating Rate Note, 10/25/34 6,000,000 $403,255
Bank of America Corp., Floating Rate Note, 3/22/16 6,000,000 $6,023,123
Bank of America Corp., Floating Rate Note, 8/25/17 1,423,000 $1,424,453
Bank of America NA, Floating Rate Note, 2/14/17 2,000,000 $2,000,678
Bank of Montreal, 0.8%, 11/6/15 2,600,000 $2,615,036
Bank of Montreal, Floating Rate Note, 7/14/17 2,300,000 $2,300,893
Bank of Montreal, Floating Rate Note, 9/11/15 2,600,000 $2,606,853
Bank of Montreal, Floating Rate Note, 9/24/15 2,600,000 $2,602,821
Bank of Nova Scotia Houston, Floating Rate Note, 10/23/15 1,640,000 $1,643,187
Bank of The West Auto Trust 2014-1, 0.69%, 7/17/17 (144A) 1,850,000 $1,850,753
Barclays Bank Plc, Floating Rate Note, 2/17/17 821,000 $823,266
Barclays Dryrock Issuance Trust, Floating Rate Note, 12/16/19 1,100,000 $1,098,859
Barclays Dryrock Issuance Trust, Floating Rate Note, 3/16/20 1,800,000 $1,798,409
Barclays Dryrock Issuance Trust, Floating Rate Note, 7/16/18 200,000 $200,111
Bayview Commercial Asset Trust 2008-1, Floating Rate Note, 1/25/38 (144A) 18,000,000 $3,172,216
Bayview Financial Acquisition Trust, 6.205%, 5/28/37 (Step) 100,000 $54,572
Bayview Financial Acquisition Trust, Floating Rate Note, 5/28/44 32,920,000 $206,834
Bayview Financial Mortgage Pass-Through Trust 2004-A, Floating Rate Note, 2/28/44 48,047,000 $1,380,142
Bayview Financial Mortgage Pass-Through Trust 2005-C, Floating Rate Note, 6/28/44 4,088,000 $3,753,589
Bayview Financial Mortgage Pass-Through Trust 2006-A, Floating Rate Note, 2/28/41 6,439,000 $354,798
Bayview Financial Mortgage Pass-Through Trust 2006-A, Floating Rate Note, 2/28/41 5,200,000 $83,645
Bayview Financial Mortgage Pass-Through Trust 2006-B, Floating Rate Note, 4/28/36 4,911,055 $969,577
Bayview Financial Mortgage Pass-Through Trust 2006-B, Floating Rate Note, 4/28/36 13,680,000 $757,972
Bayview Financial Mortgage Pass-Through Trust Series 2005-B, Floating Rate Note, 4/28/39 1,899,351 $1,684,934
Bayview Opportunity Master Fund IIa Trust 2014-20NPL, Floating Rate Note, 8/28/44 (144A) 1,480,000 $1,149,077
Bayview Opportunity Master Fund Trust IIIa 2014-12RPL, 3.6225%, 7/28/19 (Step) (144A) 2,450,000 $1,242,956
Bbb Industries Llc 1st Lien Tl L + 5% 20oct21 1,000,000 $1,003,750
BBCMS Trust 2015-SLP, Floating Rate Note, 2/15/28 (144A) 3,150,000 $3,149,968
BCAP LLC 2009-RR13-I Trust, Floating Rate Note, 9/26/35 (144A) 8,854,257 $1,991,829
BCAP LLC 2013-RR3 Trust, Floating Rate Note, 5/28/36 (144A) 1,084,000 $768,711
BCAP LLC 2013-RR7 Trust, Floating Rate Note, 12/27/34 1,410,000 $1,104,394
BCC Funding VIII LLC, 1.794%, 6/22/20 (144A) 2,000,000 $1,108,853
Bear Stearns ALT-A Trust 2003-3, Floating Rate Note, 10/25/33 350,000 $56,247
Bear Stearns ALT-A Trust 2004-11, Floating Rate Note, 11/25/34 21,976,800 $1,087,555
Bear Stearns ALT-A Trust 2004-12, Floating Rate Note, 1/25/35 17,745,000 $1,978,960
Bear Stearns ALT-A Trust 2004-12, Floating Rate Note, 1/25/35 25,907,600 $3,051,680
Bear Stearns ALT-A Trust 2004-12, Floating Rate Note, 1/25/35 25,745,000 $3,046,510
Bear Stearns ALT-A Trust 2004-12, Floating Rate Note, 1/25/35 11,245,000 $1,163,905
Bear Stearns ALT-A Trust 2004-13, Floating Rate Note, 11/25/34 9,625,000 $480,263
Bear Stearns ALT-A Trust 2004-4, Floating Rate Note, 6/25/34 33,443,000 $2,535,280
Bear Stearns ALT-A Trust 2004-8, Floating Rate Note, 9/25/34 14,600,000 $923,598
Bear Stearns ARM Trust 2003-3, Floating Rate Note, 5/25/33 42,906,215 $1,238,323
Bear Stearns ARM Trust 2004-3, Floating Rate Note, 7/25/34 10,718,797 $370,247
Bear Stearns ARM Trust 2005-5, Floating Rate Note, 8/25/35 5,635,000 $557,250
Bear Stearns Asset Backed Securities I Trust 2004-HE11, Floating Rate Note, 12/25/34 20,500,000 $702,921
Bear Stearns Asset Backed Securities I Trust 2005-FR1, Floating Rate Note, 6/25/35 5,850,460 $1,945,799
Bear Stearns Asset Backed Securities I Trust 2005-HE9, Floating Rate Note, 10/25/35 5,000,000 $1,093,008
Bear Stearns Asset Backed Securities Trust, Floating Rate Note, 2/25/35 21,336,125 $213,861
Bear Stearns Asset Backed Securities Trust 2003-AC5, Floating Rate Note, 10/25/33 2,875,000 $260,442
Bear Stearns Asset Backed Securities Trust 2004-2, Floating Rate Note, 8/25/34 7,523,000 $1,107,696
Bear Stearns Asset Backed Securities Trust 2004-SD3, Floating Rate Note, 9/25/34 410,000 $148,663
Bear Stearns Asset Backed Securities Trust 2005-SD1, Floating Rate Note, 8/25/43 310,000 $82,846
Bear Stearns Asset Backed Securities Trust 2005-SD2, Floating Rate Note, 3/25/35 5,700,000 $1,617,094
Bear Stearns Asset Backed Securities Trust 2005-SD2, Floating Rate Note, 3/25/35 5,190,000 $624,423
Bear Stearns Asset Backed Securities Trust 2006-1, Floating Rate Note, 2/25/36 32,600,000 $885,356
Bear Stearns Commercial Mortgage Securities Trust 2005-PWR10, Floating Rate Note, 12/11/40 4,250,000 $3,341,877
Bear Stearns Commercial Mortgage Securities Trust 2005-PWR8, 4.75%, 6/11/41 1,330,000 $1,341,744
Bear Stearns Commercial Mortgage Securities Trust 2005-PWR9, 4.871%, 9/11/42 7,568,000 $5,500,257
Bear Stearns Commercial Mortgage Securities Trust 2005-PWR9, Floating Rate Note, 9/11/42 3,751,000 $3,821,733
Bear Stearns Commercial Mortgage Securities Trust 2005-TOP20, Floating Rate Note, 10/12/42 8,735,000 $8,289,038
Bear Stearns Commercial Mortgage Securities Trust 2006-PWR14, 5.171%, 12/11/38 2,735,000 $726,825
Bear Stearns Mortgage Securities, Inc., Floating Rate Note, 6/25/30 2,875,810 $433,580
Bear Stearns Structured Products Trust 2007-EMX1, Floating Rate Note, 3/25/37 (144A) 4,870,000 $920,062
Becton Dickinson and Co., Floating Rate Note, 6/15/16 2,700,000 $2,704,215
Belden Finance 2013 LP, Initial Term Loan, 9/9/20 640,250 $641,450
Berkeley-Kane Flt% 12jun15 2,008,000 $2,102,778
Berkshire Hathaway Finance Corp., Floating Rate Note, 1/10/17 1,855,000 $1,856,995
Berkshire Hathaway Finance Corp., Floating Rate Note, 8/14/17 2,500,000 $2,499,601
BHP Billiton Finance USA, Ltd., Floating Rate Note, 9/30/16 1,795,000 $1,795,217
BioScrip, Inc., Delayed Draw Term Loan, 7/31/20 328,915 $326,859
BioScrip, Inc., Initial Term B Loan, 7/31/20 548,191 $544,765
BlackRock, Inc., 1.375%, 6/1/15 1,310,000 $1,317,952
Blue Danube, Ltd., Floating Rate Note, 4/10/15 (Cat Bond) (144A) 600,000 $607,605
Blue Danube, Ltd., Floating Rate Note, 4/10/15 (Cat Bond) (144A) 1,945,000 $1,991,095
Blue Danube II, Ltd., Floating Rate Note, 5/23/18 (Cat Bond) (144A) 2,575,000 $2,587,096
BMW Floorplan Master Owner Trust, Floating Rate Note, 9/15/17 (144A) 3,000,000 $3,007,120
BMW Vehicle Lease Trust 2013-1, 0.54%, 9/21/15 3,062,000 $249,973
Boca Hotel Portfolio Trust 2013-BOCA, Floating Rate Note, 8/17/26 (144A) 1,375,000 $1,376,250
Bombardier Recreational Products, Inc., Term B Loan, 1/30/19 188,571 $188,611
Booz Allen Hamilton, Inc., Refinance Tranche B, 7/31/19 1,358,138 $1,366,344
Bosphorus Re, Ltd., Floating Rate Note, 5/3/16 (Cat Bond) (144A) 750,000 $749,004
Branch Banking & Trust Co., Floating Rate Note, 5/23/17 500,000 $496,888
Branch Banking & Trust Co., Floating Rate Note, 9/13/16 3,064,000 $3,053,795
Bright Horizons Family Solutions, Inc., Term B Loan, 1/30/20 595,305 $597,414
Bright Horizons Family Solutions I 1st Lien Tl-B1 L + 3.25% 30jan20 598,500 $602,241
British Telecommunications Plc, 2.0%, 6/22/15 7,229,000 $7,291,581
BSN medical International Holding GmbH & Co KG, Facility B1b, 8/28/19 593,611 $592,375
Burger King Corp 1st Lien Tl-B L + 3.5% 25sep21 614,526 $621,382
Cabela's Credit Card Master Note Trust, Floating Rate Note, 2/18/20 (144A) 2,150,000 $2,156,964
Cabela's Credit Card Master Note Trust, Floating Rate Note, 3/16/20 1,100,000 $1,100,333
Cabela's Credit Card Master Note Trust, Floating Rate Note, 6/17/19 (144A) 3,630,000 $3,639,922
Cabela's Credit Card Master Note Trust, Floating Rate Note, 9/17/18 (144A) 2,475,000 $2,481,152
Caelus Re, Ltd., Floating Rate Note, 3/7/16 (Cat Bond) (144A) 2,250,000 $2,299,884
Caelus Re 2013, Ltd., Floating Rate Note, 4/7/20 (Cat Bond) (144A) 2,300,000 $2,413,425
Caisse Centrale Desjardins, Floating Rate Note, 1/29/18 (144A) 2,590,000 $2,593,702
California Republic Auto Receivables Trust 2012-1, 1.18%, 8/15/17 (144A) 1,138,000 $194,669
California Republic Auto Receivables Trust 2013-1, 1.41%, 9/17/18 (144A) 500,000 $236,044
Calpine Construction Finance Co LP, Term B-1 Loan, 5/3/20 1,179,000 $1,165,183
Calpine Corp., Term Loan (10/12), 10/9/19 756,297 $759,343
CAM Mortgage Trust 2014-2, 2.6%, 12/15/53 (Step) (144A) 2,130,000 $171,625
Canadian National Railway Co., Floating Rate Note, 11/14/17 1,670,000 $1,668,532
Canadian Natural Resources, Ltd., Floating Rate Note, 3/30/16 4,114,000 $4,114,734
Capital Auto Receivables Asset Trust 2013-1, 1.74%, 10/22/18 3,200,000 $3,213,532
Capital One Financial Corp., 1.0%, 11/6/15 2,600,000 $2,613,605
Capital One Financial Corp., Floating Rate Note, 11/6/15 2,620,000 $2,628,779
Capital One Multi-Asset Execution Trust, Floating Rate Note, 12/16/19 3,400,000 $3,387,723
Capital One Multi-Asset Execution Trust, Floating Rate Note, 2/15/19 1,950,000 $1,950,651
Capital One Multi-Asset Execution Trust, Floating Rate Note, 6/17/19 5,470,000 $5,458,283
Capital One Multi-Asset Execution Trust, Floating Rate Note, 8/15/18 6,945,000 $6,943,525
Capital One NA, Floating Rate Note, 3/22/16 1,900,000 $1,901,962
Carefree Portfolio Trust 2014-CARE, Floating Rate Note, 11/15/29 (144A) 3,300,000 $3,307,886
Carlyle High Yield Partners VII, Ltd., Floating Rate Note, 9/30/19 (144A) 5,000,000 $2,015,465
Carrington Mortgage Loan Trust Series 2005-NC1, Floating Rate Note, 2/26/35 19,369,028 $2,601,772
Carrington Mortgage Loan Trust Series 2005-NC4, Floating Rate Note, 9/25/35 375,000 $39,360
Carrington Mortgage Loan Trust Series 2006-OPT1, Floating Rate Note, 12/25/35 9,778,000 $1,878,054
Castle Garden Funding, Floating Rate Note, 10/27/20 (144A) 7,000,000 $1,028,488
Caterpillar Financial Services Corp., Floating Rate Note, 2/26/16 1,500,000 $1,503,407
Caterpillar Financial Services Corp., Floating Rate Note, 3/3/17 2,500,000 $2,499,277
CCG Receivables Trust 2014-1, 1.06%, 11/14/21 (144A) 1,900,000 $1,746,131
CCG Receivables Truste 2013-1, 1.05%, 4/14/20 (144A) 900,000 $329,407
CD 2005-CD1 Commercial Mortgage Trust, Floating Rate Note, 7/15/44 3,277,000 $2,986,393
CDGJ Commercial Mortgage Trust 2014-BXCH, Floating Rate Note, 12/15/27 (144A) 4,860,000 $4,872,937
Cedar Fair LP, U.S. Term Facility, 3/6/20 96,885 $97,414
Cent CLO 16 LP, Floating Rate Note, 8/1/24 (144A) 3,250,000 $3,256,475
Centex Home Equity Loan Trust 2003-A, Floating Rate Note, 3/25/33 2,230,000 $372,570
Cequel Communications LLC, Term Loan, 2/14/19 1,112,078 $1,115,032
CGBAM Commercial Mortgage Trust 2014-HD, Floating Rate Note, 2/18/31 (144A) 1,050,000 $1,048,231
CG-CCRE Commercial Mortgage Trust 2014-FL1, Floating Rate Note, 6/16/31 (144A) 5,670,000 $5,667,199
CGWF Commercial Mortgage Trust 2013-RKWH REMICS, Floating Rate Note, 11/15/30 (144A) 6,770,000 $6,783,064
Charter Communications 1st Lien Tl-B L + 3.5% 12aug21 1,250,000 $1,261,621
Charter Communications Operating LLC, Term F Loan, 12/31/20 1,301,813 $1,298,456
Chase Funding Trust Series 2002-4, Floating Rate Note, 10/25/32 1,000,000 $17,807
Chase Issuance Trust, 0.47%, 5/15/17 200,000 $200,054
Chase Issuance Trust, 0.54%, 10/16/17 1,001,000 $1,001,250
Chase Issuance Trust, 0.59%, 8/15/17 950,000 $950,717
Chase Issuance Trust, 0.79%, 6/15/17 8,755,000 $8,764,229
Chase Issuance Trust, Floating Rate Note, 10/16/17 2,700,000 $2,699,315
Chase Issuance Trust, Floating Rate Note, 11/15/18 2,500,000 $2,500,766
Chase Issuance Trust, Floating Rate Note, 4/15/19 1,350,000 $1,343,591
Chase Issuance Trust, Floating Rate Note, 4/15/19 150,000 $149,201
Chase Issuance Trust, Floating Rate Note, 4/16/18 3,000,000 $3,000,889
Chase Issuance Trust, Floating Rate Note, 5/15/17 5,102,000 $5,102,622
Chase Issuance Trust, Floating Rate Note, 8/15/17 9,130,000 $9,130,533
Chase Mortgage Finance Trust Series 2005-S1, 5.5%, 5/25/35 19,264,330 $271,778
Chemtura Corp., New Term Loan, 8/29/16 146,429 $146,825
Chesapeake Funding LLC, Floating Rate Note, 11/7/23 (144A) 3,790,000 $929,212
Chesapeake Funding LLC, Floating Rate Note, 11/7/23 (144A) 250,000 $250,958
Chesapeake Funding LLC, Floating Rate Note, 2/7/27 (144A) 1,000,000 $1,001,228
Chesapeake Funding LLC, Floating Rate Note, 2/7/27 (144A) 2,500,000 $2,501,089
Chesapeake Funding LLC, Floating Rate Note, 3/7/26 2,250,000 $2,249,311
Chesapeake Funding LLC, Floating Rate Note, 4/7/24 (144A) 2,050,000 $951,843
Chesapeake Funding LLC, Floating Rate Note, 5/7/24 (144A) 2,550,000 $1,147,269
Chesapeake Funding LLC, Floating Rate Note, 5/7/24 (144A) 200,000 $200,908
Chevron Corp., Floating Rate Note, 11/9/16 2,640,000 $2,642,871
Chevron Corp., Floating Rate Note, 3/2/18 2,550,000 $2,550,831
Chevy Chase Funding LLC Mortgage-Backed Certificates Series 2004-1, Floating Rate Note, 1/25/35 (144 3,700,000 $106,037
Chevy Chase Funding LLC Mortgage-Backed Certificates Series 2004-3, Floating Rate Note, 8/25/35 (144 1,300,000 $50,808
CHL Mortgage Pass-Through Trust 2003-11, Floating Rate Note, 5/25/33 30,308,000 $266,335
CHL Mortgage Pass-Through Trust 2003-15 REMICS, Floating Rate Note, 6/25/18 28,013,062 $553,014
CHL Mortgage Pass-Through Trust 2003-J7, Floating Rate Note, 8/25/18 2,400,000 $43,066
CHS, 2021 Term D Loan, 1/27/21 71,466 $71,897
CIFC Funding 2007-I, Ltd., Floating Rate Note, 5/10/21 (144A) 500,000 $265,106
Cincinnati Bell, Inc., Tranche B Term Loan, 9/10/20 1,231,250 $1,231,763
Cisco Systems, Inc., Floating Rate Note, 3/3/17 2,580,000 $2,589,282
Cisco Systems, Inc., Floating Rate Note, 9/3/15 3,600,000 $3,601,387
Citadel Plastics Holdings Inc 1st Lien Tlb L + 4.25% 05nov20 1,181,000 $1,183,953
CIT Equipment Collateral 2014-VT1, 0.86%, 5/22/17 (144A) 2,500,000 $2,499,646
Citibank Credit Card Issuance Trust, 4.55%, 6/20/17 639,000 $652,867
Citibank Credit Card Issuance Trust, 5.1%, 11/20/17 1,650,000 $1,727,288
Citibank Credit Card Issuance Trust, Floating Rate Note, 11/7/18 3,490,000 $3,489,988
Citibank Credit Card Issuance Trust, Floating Rate Note, 2/7/18 9,931,000 $9,932,769
Citibank Credit Card Issuance Trust, Floating Rate Note, 4/24/17 17,520,000 $17,518,614
Citibank Credit Card Issuance Trust, Floating Rate Note, 5/22/17 6,500,000 $6,512,003
Citibank Credit Card Issuance Trust, Floating Rate Note, 5/9/18 3,500,000 $3,500,447
Citicorp Mortgage Securities REMIC Pass-Through Certificates Trust Series 2005-4, 5.0%, 7/25/20 486,000 $14,954
Citicorp Mortgage Securities REMIC Pass-Through Certificates Trust Series 2005-7, 5.0%, 10/25/35 17,468,000 $1,170,422
Citigroup, Inc., Floating Rate Note, 11/15/16 1,900,000 $1,905,531
Citigroup, Inc., Floating Rate Note, 11/24/17 2,630,000 $2,636,474
Citigroup, Inc., Floating Rate Note, 4/1/16 1,325,000 $1,331,991
Citigroup, Inc., Floating Rate Note, 6/9/16 2,500,000 $2,485,722
Citigroup, Inc., Floating Rate Note, 7/25/16 3,700,000 $3,727,731
Citigroup Commercial Mortgage Trust 2007-FL3, Floating Rate Note, 4/15/22 (144A) 497,205 $496,684
Citigroup Commercial Mortgage Trust 2007-FL3, Floating Rate Note, 4/15/22 (144A) 1,430,707 $197,670
Citigroup Commercial Mortgage Trust 2007-FL3, Floating Rate Note, 4/15/22 (144A) 1,982,362 $1,980,420
Citigroup Commercial Mortgage Trust 2007-FL3, Floating Rate Note, 4/15/22 (144A) 1,105,112 $1,103,659
Citigroup Mortgage Loan Trust, Inc., 6.5%, 6/25/16 10,100,000 $7,375
Citigroup Mortgage Loan Trust, Inc., Floating Rate Note, 11/25/34 3,500,000 $218,518
Citigroup Mortgage Loan Trust, Inc., Floating Rate Note, 5/25/35 (144A) 2,925,000 $2,816,440
Citigroup Mortgage Loan Trust 2006-SHL1, Floating Rate Note, 11/27/45 (144A) 21,220,000 $2,020,892
Citigroup Mortgage Loan Trust 2010-4 REMICS, 5.0%, 10/25/35 (144A) 9,095,000 $2,411,730
Citigroup Mortgage Loan Trust 2010-7 REMICS, Floating Rate Note, 9/25/37 (144A) 6,105,345 $768,819
Citigroup Mortgage Loan Trust Series 2004-OPT1 Asset Backed Pass-Through Certifi, Floating Rate Note 2,140,000 $1,722,743
Citrus Re, Ltd., Floating Rate Note, 4/18/17 (Cat Bond) (144A) 250,000 $248,059
Citrus Re, Ltd., Floating Rate Note, 4/24/17 (Cat Bond) (144A) 1,350,000 $1,334,081
City Center Trust 2011-CCHP, Floating Rate Note, 7/17/28 (144A) 950,000 $956,312
CLI Funding LLC, Floating Rate Note, 8/18/21 (144A) 7,250,000 $925,702
CNH Equipment Trust 2012-A, 2.09%, 8/15/18 2,310,000 $2,335,655
CNH Equipment Trust 2013-A, 0.69%, 6/15/18 1,874,000 $1,080,429
CNH Equipment Trust 2013-C, 0.63%, 1/17/17 1,903,426 $301,929
CNH Wholesale Master Note Trust, Floating Rate Note, 8/15/19 (144A) 1,550,000 $1,553,399
CNL Commercial Mortgage Loan Trust 2002-1, Floating Rate Note, 10/25/28 (144A) 42,221,000 $1,298,753
CNL Commercial Mortgage Loan Trust 2003-2, Floating Rate Note, 10/25/30 (144A) 3,600,000 $297,075
CNO Financial Group, Inc., Tranche B-2 Term Loan, 9/28/18 458,599 $460,021
Coca-Cola Enterprises, Inc., 2.125%, 9/15/15 551,000 $554,898
Colony American Homes 2014-1, Floating Rate Note, 5/19/31 (144A) 2,300,000 $2,294,985
Colony American Homes 2014-2, Floating Rate Note, 7/19/31 (144A) 2,100,000 $2,099,331
COMM 2005-C6 Mortgage Trust, Floating Rate Note, 6/10/44 2,675,000 $1,186,227
COMM 2005-C6 Mortgage Trust, Floating Rate Note, 6/10/44 6,607,413 $6,687,672
COMM 2013-FL3 Mortgage Trust, Floating Rate Note, 10/13/28 (144A) 1,597,000 $1,274,599
COMM 2014-FL5 Mortgage Trust, Floating Rate Note, 10/15/31 (144A) 4,970,000 $4,959,233
COMM 2014-KYO Mortgage Trust, Floating Rate Note, 6/11/27 (144A) 5,740,000 $5,733,966
COMM 2014-PAT Mortgage Trust, Floating Rate Note, 8/13/27 (144A) 2,722,000 $2,713,106
COMM 2014-SAVA Mortgage Trust, Floating Rate Note, 6/15/34 (144A) 5,454,000 $5,446,228
COMM 2014-TWC Mortgage Trust, Floating Rate Note, 2/13/32 (144A) 6,150,000 $6,156,164
Commercial Mortgage Pass Through Certificates, Floating Rate Note, 11/19/26 (144A) 3,500,000 $3,501,406
Commercial Mortgage Pass Through Certificates, Floating Rate Note, 11/19/26 (144A) 2,250,000 $838,679
Commercial Mortgage Trust 2005-GG3, Floating Rate Note, 8/10/42 3,300,000 $463,056
Commercial Mortgage Trust 2005-GG5, Floating Rate Note, 4/10/37 6,995,000 $7,131,217
Commonwealth Bank of Australia, Floating Rate Note, 12/4/15 (144A) 1,800,000 $1,802,483
Commonwealth Bank of Australia, Floating Rate Note, 3/13/17 (144A) 2,000,000 $2,001,655
Commonwealth Bank of Australia, Floating Rate Note, 9/18/15 (144A) 1,575,000 $1,581,362
CommScope, Inc., Tranche 3 Term Loan, 1/21/17 157,636 $157,439
CommScope, Inc., Tranche 4 Term Loan, 1/14/18 236,453 $236,501
Confie seguros Holding II Co., Term B Loan (First Lien), 11/9/18 492,389 $491,363
Conseco Financial Corp., 7.05%, 1/15/19 600,362 $5,561
Consumer Credit Origination Loan Trust 2015-1, 2.82%, 3/15/21 (144A) 2,500,000 $2,389,116
ConvaTec, Inc., Dollar Term Loan, 12/22/16 796,876 $800,353
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA New York, Floating Rate Note, 10/23/15 2,500,000 $2,502,868
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA New York, Floating Rate Note, 3/18/16 1,575,000 $1,581,062
Countrywide Asset-Backed Certificates, Floating Rate Note, 10/25/34 5,000,000 $2,212,617
Countrywide Asset-Backed Certificates, Floating Rate Note, 11/25/35 7,825,000 $257,299
Countrywide Asset-Backed Certificates, Floating Rate Note, 3/25/35 5,600,000 $1,643,431
Countrywide Asset-Backed Certificates, Floating Rate Note, 5/25/35 5,000,000 $202,991
Countrywide Asset-Backed Certificates, Floating Rate Note, 5/25/35 1,575,000 $263,021
Countrywide Asset-Backed Certificates, Floating Rate Note, 6/25/33 (144A) 8,955,000 $162,411
Countrywide Asset-Backed Certificates, Floating Rate Note, 6/25/33 (144A) 2,000,000 $36,081
Countrywide Asset-Backed Certificates, Floating Rate Note, 9/25/35 1,400,000 $129,064
Covanta Energy Corp., Term Loan, 3/28/19 131,667 $131,646
Covidien International Finance SA, 1.35%, 5/29/15 7,665,000 $7,710,722
CPS Auto Receivables Trust 2013-B, 1.82%, 9/15/20 (144A) 731,000 $336,988
CPS Auto Receivables Trust 2014-A, 1.21%, 8/15/18 700,000 $428,971
CPS Auto Receivables Trust 2014-C, 1.31%, 2/15/19 (144A) 2,200,000 $1,824,006
CPS Auto Trust, 1.48%, 3/16/20 (144A) 1,060,000 $356,191
CPS Auto Trust, 1.82%, 12/16/19 (144A) 1,179,000 $359,578
Credit Acceptance Auto Loan Trust 2012-2, 1.52%, 3/16/20 (144A) 3,241,000 $1,211,583
Credit Acceptance Auto Loan Trust 2012-2, 2.21%, 9/15/20 (144A) 2,000,000 $2,013,790
Credit Acceptance Auto Loan Trust 2013-1, 1.21%, 10/15/20 (144A) 1,000,000 $1,001,195
Credit-Based Asset Servicing and Securitization LLC, Floating Rate Note, 7/25/34 2,783,000 $612,454
Credit-Based Asset Servicing and Securitization LLC, Floating Rate Note, 7/25/36 4,500,000 $4,436,515
Credit Suisse Commercial Mortgage Trust Series 2006-C1, Floating Rate Note, 2/15/39 5,802,000 $5,810,112
Credit Suisse Commercial Mortgage Trust Series 2006-C2, Floating Rate Note, 3/15/39 3,730,000 $2,473,092
Credit Suisse First Boston Mortgage Securities Corp., Floating Rate Note, 12/17/40 9,446,500 $6,275,651
Credit Suisse First Boston Mortgage Securities Corp., Floating Rate Note, 6/25/34 26,125,000 $343,160
Credit Suisse First Boston Mortgage Securities Corp., Floating Rate Note, 7/25/35 15,315,000 $1,689,667
Credit Suisse First Boston Mortgage Securities Corp., Floating Rate Note, 8/15/38 8,955,043 $4,715,201
Credit Suisse Mortgage Capital Certificates, Floating Rate Note, 10/27/36 (144A) 2,010,000 $153,480
Credit Suisse Mortgage Capital Certificates, Floating Rate Note, 3/15/17 (144A) 2,300,000 $2,299,857
Credit Suisse Mortgage Capital Certificates REMICS, Floating Rate Note, 7/27/36 (144A) 7,712,000 $1,307,713
Crown Americas Llc 1st Lien Tl-B L + 3.25% 20oct21 1,246,875 $1,260,415
Crown Castle 1st Lien Term-B2 L + 2.5% 31jan21 1,177,227 $1,176,049
Crowne Group Llc 1st Lien Tl-B L + 5% 29sep20 497,500 $494,702
Crusade Global Trust, Floating Rate Note, 11/15/37 17,300,000 $2,407,867
Crusade Global Trust, Floating Rate Note, 7/20/38 (144A) 1,200,000 $135,148
Crusade Global Trust No 1 of 2007, Floating Rate Note, 4/19/38 15,883,244 $2,495,602
CSMC Series 2014-ICE, Floating Rate Note, 4/15/27 (144A) 6,470,000 $6,447,023
CSMC Trust 2014-SURF, Floating Rate Note, 2/15/29 (144A) 2,400,000 $2,394,480
CSMC Trust 2014-SURF REMICS, Floating Rate Note, 2/15/29 (144A) 2,400,000 $2,395,047
CWABS Asset-Backed Certificates Trust 2004-7, Floating Rate Note, 12/25/34 2,140,000 $1,064,754
CWABS Asset-Backed Certificates Trust 2005-1, Floating Rate Note, 2/25/33 1,113,000 $110,385
CWABS Master Trust Series 2003-D Subtrust, Floating Rate Note, 6/15/29 28,190,000 $5,272
CWGS Group LLC, Term Loan, 2/20/20 392,357 $396,158
Daimler Finance North America LLC, 1.3%, 7/31/15 (144A) 5,100,000 $5,124,800
Daimler Finance North America LLC, 1.65%, 4/10/15 (144A) 2,131,000 $2,147,940
Daimler Finance North America LLC, Floating Rate Note, 3/10/17 (144A) 1,500,000 $1,501,883
Daimler Finance North America LLC, Floating Rate Note, 3/2/18 (144A) 1,275,000 $1,277,162
Daimler Finance North America LLC, Floating Rate Note, 8/1/16 (144A) 1,500,000 $1,511,125
Daimler Finance North America LLC, Floating Rate Note, 8/1/17 (144A) 2,061,000 $2,059,086
Darling Ingredients, Inc., Term B USD Loan, 12/19/20 1,574,100 $1,572,447
DaVita HealthCare Partners, Inc., Tranche B Term Loan, 6/19/21 472,669 $474,400
DCP Midstream Operating LP, 3.25%, 10/1/15 1,000,000 $1,020,750
D Cp Zero% 20apr15 Usd 2,500,000 $2,499,670
DEALERTRACK TECHNOLOGIES INC, Term Loan, 2/27/21 954,022 $951,332
Del Coronado Trust 2013-DEL, Floating Rate Note, 3/16/26 (144A) 1,460,000 $1,458,961
Dell Equipment Finance Trust 2014-1, 0.64%, 7/22/16 (144A) 800,000 $800,346
DELOS FINANCE SARL, Loan, 2/27/21 1,295,000 $1,298,561
Delta Air Lines, Inc., 2014 Term B-1 Loan, 10/18/18 733,125 $733,910
Delta Air Lines, Inc., Term Loan, 4/20/17 294,656 $294,978
Delta Funding Home Equity Loan Trust 1997-2, 7.04%, 6/25/27 1,000,000 $845
Deltek, Inc., Term Loan (First Lien), 10/10/18 294,724 $296,059
Devon Energy Corp., Floating Rate Note, 12/15/15 4,800,000 $4,794,265
DigitalGlobe, Inc., Term Loan, 1/31/20 875,041 $877,443
Direct Capital Funding V LLC, 1.673%, 12/20/17 (144A) 725,000 $58,735
Discover Card Execution Note Trust, 0.69%, 8/15/18 3,125,000 $3,126,686
Discover Card Execution Note Trust, 0.86%, 11/15/17 1,700,000 $1,701,541
Discover Card Execution Note Trust, Floating Rate Note, 1/16/18 1,345,000 $1,345,515
Discover Card Execution Note Trust, Floating Rate Note, 10/15/18 3,915,000 $3,914,294
Discover Card Execution Note Trust, Floating Rate Note, 3/15/18 6,550,000 $6,561,962
Drillships Financing Holding, Inc., Tranche B-1 Term Loan, 3/31/21 709,423 $543,418
Drug Royalty II LP 2, Floating Rate Note, 7/15/23 (144A) 1,850,000 $1,770,126
DT Auto Owner Trust 2015-1, 1.06%, 9/17/18 (144A) 2,100,000 $1,949,866
Dtz Us Borrower Llc 1st Lien Tl L + 4.5% 28oct21 1,710,500 $1,724,042
Duke Energy Corp., Floating Rate Note, 4/3/17 1,740,000 $1,746,491
Duke Energy Indiana, Inc., Floating Rate Note, 7/11/16 2,285,000 $2,290,356
Duke Energy Progress, Inc., Floating Rate Note, 11/20/17 5,100,000 $5,098,352
Duke Energy Progress, Inc., Floating Rate Note, 3/6/17 1,275,000 $1,274,868
DynCorp International, Inc., Term Loan, 7/7/16 143,055 $142,340
Dynegy, Inc., Tranche B-2 Term Loan, 4/23/20 453,462 $454,797
East Lane Re V, Ltd., Floating Rate Note, 3/16/16 (Cat Bond) (144A) 250,000 $261,650
East Lane Re VI, Ltd., Floating Rate Note, 3/13/20 (Cat Bond) (144A) 1,450,000 $1,446,810
East Lane Re VI, Ltd., Floating Rate Note, 3/14/18 (Cat Bond) (144A) 2,000,000 $1,994,914
Eaton Vance CDO IX, Ltd., Floating Rate Note, 4/20/19 (144A) 2,500,000 $2,472,415
Eco Services Operations Llc 1st Lien Tl-B L + 3.75% 10oct21 1,396,500 $1,405,228
Eden Re II, Ltd., 0.0%, 4/19/18 (Cat Bond) (144A) 1,300,000 $1,309,750
Electricite de France SA, Floating Rate Note, 1/20/17 (144A) 1,865,000 $1,869,762
Ellington Loan Acquisition Trust 2007-1, Floating Rate Note, 5/26/37 (144A) 2,400,000 $1,916,016
Ellington Loan Acquisition Trust 2007-2, Floating Rate Note, 5/26/37 (144A) 5,000,000 $291,134
Embarcadero Reinsurance, Ltd., Floating Rate Note, 2/7/17 (Cat Bond) (144A) 1,025,000 $1,037,081
Emdeon, Inc., Term B-2 Loan, 11/2/18 1,599,857 $1,604,856
EMD Finance LLC, Floating Rate Note, 3/17/17 (144A) 2,500,000 $2,500,552
Enbridge, Inc., Floating Rate Note, 10/1/16 1,650,000 $1,646,898
Encore Credit Receivables Trust 2005-3, Floating Rate Note, 10/25/35 3,705,000 $658,442
Endo Luxembourg Finance I 1st Lien Tl-B L + 2.5% 05nov20 495,000 $496,052
Entercom Radio LLC, Term B-2 Loan, 11/23/18 343,664 $344,523
Enterprise Fleet Financing LLC, 0.72%, 4/20/18 (144A) 4,500,000 $752,587
Enterprise Fleet Financing LLC, 0.87%, 9/20/19 2,000,000 $1,757,498
Enterprise Fleet Financing LLC, 0.93%, 4/20/18 (144A) 1,800,000 $1,801,768
Enterprise Products Operating LLC, 3.2%, 2/1/16 3,355,000 $3,432,341
Enterprise Products Operating LLC, 3.7%, 6/1/15 3,830,000 $3,894,184
Envision Healthcare Corp., Initial Term Loan, 5/25/18 1,245,860 $1,251,505
Epiq Systems, Inc., Term Loan, 8/27/20 467,006 $468,173
EQTY 2014-INNS Mortgage Trust, Floating Rate Note, 5/8/31 (144A) 3,530,000 $3,493,280
EQTY 2014-INNS Mortgage Trust REMICS, Floating Rate Note, 5/8/31 (144A) 1,850,000 $1,834,588
EquiVantage Home Equity Loan Trust 1997-1, 8.05%, 3/25/28 (Step) 1,500,000 $26,646
Evergreen Skills Lux Sarl, Initial Term Loan (First Lien), 4/23/21 398,000 $393,921
Ew Scripps Termloan L + 2.9717% 26nov20 523,674 $525,638
Exeter Automobile Receivables Trust 2012-2, 1.3%, 6/15/17 (144A) 1,000,000 $29,327
Exeter Automobile Receivables Trust 2012-2, 3.06%, 7/16/18 (144A) 1,000,000 $1,003,079
Exeter Automobile Receivables Trust 2014-2, 1.06%, 8/15/18 1,400,000 $792,505
Exeter Automobile Receivables Trust 2015-1, 1.6%, 6/17/19 (144A) 1,700,000 $1,700,019
Expert Global Solutions, Inc., Term B Advance (First Lien), 4/3/18 10,555 $10,565
Extended Stay America Trust 2013-ESH, Floating Rate Note, 12/5/31 (144A) 900,000 $896,888
Extended Stay America Trust 2013-ESH, Floating Rate Note, 12/5/31 (144A) 800,000 $798,761
Exxon Mobil Corp., Floating Rate Note, 3/15/17 1,980,000 $1,980,126
Fannie Mae, 7.0%, 10/1/17 2,241,352 $6,020
Fannie Mae, Floating Rate Note, 1/1/48 175,000 $23,499
Fannie Mae, Floating Rate Note, 10/1/32 500,000 $27,286
Fannie Mae, Floating Rate Note, 11/1/23 970,000 $9,118
Fannie Mae, Floating Rate Note, 2/1/34 500,000 $23,784
Fannie Mae, Floating Rate Note, 9/1/32 375,000 $21,324
Fannie Mae Connecticut Avenue Securities, Floating Rate Note, 10/25/23 4,205,000 $3,282,305
Fannie Mae Connecticut Avenue Securities, Floating Rate Note, 5/25/24 3,560,000 $3,049,594
Fannie Mae Connecticut Avenue Securities, Floating Rate Note, 7/25/24 5,330,000 $4,578,816
Fannie Mae Trust 2003-W6, Floating Rate Note, 9/25/42 13,825,000 $1,143,099
Fannie Mae Trust 2005-W4, Floating Rate Note, 6/25/45 1,500,000 $222,039
Fannie Mae Whole Loan, Floating Rate Note, 11/25/46 12,390,000 $2,014,374
FCA US LLC, Term Loan B, 5/24/17 373,062 $373,294
FCA US LLC, Tranche B Term Loan, 12/29/18 2,878,250 $2,877,651
FCI - FIDJI LUXEMBOURG BC4 SARL, Term Loan, 12/19/20 1,330,000 $1,334,156
Federal Farm Credit Banks, 0.39%, 4/25/16 2,133,000 $2,135,698
Federal Farm Credit Banks, Floating Rate Note, 10/26/15 2,560,000 $2,561,303
Federal Farm Credit Banks, Floating Rate Note, 2/18/16 2,610,000 $2,611,448
Federal Farm Credit Banks, Floating Rate Note, 6/20/16 10,000,000 $10,013,190
Federal Farm Credit Banks, Floating Rate Note, 9/18/15 2,540,000 $2,540,985
Federal Home Loan Banks, 2.9%, 4/20/17 4,130,000 $728,005
Federal Home Loan Banks, Floating Rate Note, 10/1/15 10,000,000 $10,010,230
Federal Home Loan Banks, Floating Rate Note, 10/7/15 2,640,000 $2,642,921
Federal Home Loan Mortgage Corp., Floating Rate Note, 1/15/35 5,669,000 $739,831
Federal Home Loan Mortgage Corp., Floating Rate Note, 10/1/23 1,890,000 $8,325
Federal Home Loan Mortgage Corp., Floating Rate Note, 11/1/33 850,000 $15,007
Federal Home Loan Mortgage Corp., Floating Rate Note, 11/26/46 (144A) 3,500,000 $3,589,372
Federal Home Loan Mortgage Corp., Floating Rate Note, 3/15/32 54,102,000 $602,261
Federal Home Loan Mortgage Corp., Floating Rate Note, 6/1/35 3,000,000 $7,419
Federal Home Loan Mortgage Corp., Floating Rate Note, 6/26/15 2,000,000 $2,000,348
Federal Home Loan Mortgage Corp., Floating Rate Note, 8/15/35 50,000,000 $4,764,428
Federal Home Loan Mortgage Corp. REMICS, 3.5%, 6/15/28 5,381,000 $492,168
Federal Home Loan Mortgage Corp. REMICS, 4.0%, 1/15/24 1,801,000 $28,950
Federal Home Loan Mortgage Corp. REMICS, 4.0%, 11/15/23 95,000 $44,709
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 1/15/33 86,214,000 $1,111,542
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 1/15/36 1,837,000 $339,284
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 1/15/37 63,238,000 $3,740,798
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 10/15/20 1,400,000 $118,205
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 10/15/31 1,750,000 $103,730
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 10/15/37 9,195,000 $619,403
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 10/15/37 18,287,000 $1,205,377
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 11/15/18 7,142,857 $7,387
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 11/15/31 20,187,077 $121,586
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 11/15/33 2,550,000 $322,236
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 11/15/35 850,000 $178,754
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 11/15/36 2,850,000 $452,254
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 11/15/36 5,342,000 $927,470
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 11/15/40 1,265,000 $554,019
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/20 1,000,000 $146,703
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/28 56,250,000 $464,948
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/32 11,201,000 $804,562
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/32 15,400,000 $233,101
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/32 2,500,000 $1,346
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/32 1,700,000 $31,178
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/32 9,063,000 $668,994
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/39 2,334,000 $916,491
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/41 1,000,000 $629,309
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/19 4,675,000 $279,298
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/25 2,142,856 $413,910
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/29 23,100,000 $256,995
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/30 2,056,750 $888,256
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/33 15,000,000 $407,790
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/33 49,250,000 $652,892
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/36 5,000,000 $372,873
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/36 5,087,000 $867,136
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/37 23,400,000 $1,342,081
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/39 1,251,000 $611,813
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 3/15/24 6,200,000 $1,419,453
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 3/15/32 22,000,000 $201,822
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 3/15/32 64,920,000 $712,833
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 3/15/32 122,751,000 $1,037,922
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 3/15/36 5,000,000 $1,048,658
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 3/15/39 1,000,000 $248,943
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 3/15/41 13,046,000 $2,709,842
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 4/15/35 1,775,000 $359,995
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 4/15/36 3,463,000 $645,783
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 5/15/29 15,000,000 $123,497
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 5/15/33 2,000,000 $226,189
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 5/15/35 10,200,000 $606,702
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 5/15/35 3,925,000 $850,216
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 5/15/36 7,791,000 $518,664
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 5/15/37 5,000,000 $321,504
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 5/15/37 3,000,000 $238,177
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 5/15/41 340,000 $102,646
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 6/15/23 6,500,000 $98,396
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 6/15/33 10,000,000 $530,451
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 6/15/36 52,250,000 $2,184,735
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 6/15/36 5,835,000 $543,968
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 6/15/38 4,056,000 $760,643
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 7/15/21 17,312,039 $224,477
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 7/15/23 2,924,000 $591,659
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 7/15/34 5,000,000 $599,348
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 7/15/36 15,317,285 $1,122,510
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 7/15/36 1,200,000 $48,429
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 7/15/36 5,000,000 $868,983
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 7/15/40 2,570,000 $526,509
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 8/15/26 1,330,000 $452,407
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 8/15/35 2,185,000 $417,052
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 8/15/35 5,000,000 $834,656
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 8/15/36 17,556,000 $839,245
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 9/15/26 1,427,500 $801,288
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 9/15/32 10,000,000 $215,114
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 9/15/36 3,320,000 $365,888
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 9/15/36 3,470,000 $309,506
Federal National Mortgage Association, Floating Rate Note, 12/25/33 25,758,805 $7,170,904
Federal National Mortgage Association, Floating Rate Note, 2/25/38 50,000,000 $14,452,879
Federal National Mortgage Association, Floating Rate Note, 3/25/18 30,543,000 $777,789
Federal National Mortgage Association, Floating Rate Note, 4/25/35 750,000 $133,677
Federal National Mortgage Association, Floating Rate Note, 8/26/16 6,085,000 $6,088,980
Federal National Mortgage Association REMICS, 4.5%, 1/25/39 820,000 $32,139
Federal National Mortgage Association REMICS, Floating Rate Note, 1/18/32 16,977,308 $241,625
Federal National Mortgage Association REMICS, Floating Rate Note, 1/25/32 30,000,000 $387,812
Federal National Mortgage Association REMICS, Floating Rate Note, 1/25/33 13,036,000 $432,589
Federal National Mortgage Association REMICS, Floating Rate Note, 1/25/33 5,000,000 $155,569
Federal National Mortgage Association REMICS, Floating Rate Note, 1/25/40 5,000,000 $384,781
Federal National Mortgage Association REMICS, Floating Rate Note, 10/25/35 625,000 $25,388
Federal National Mortgage Association REMICS, Floating Rate Note, 10/25/35 6,475,000 $613,098
Federal National Mortgage Association REMICS, Floating Rate Note, 10/25/36 71,456,000 $2,619,128
Federal National Mortgage Association REMICS, Floating Rate Note, 10/25/37 1,030,000 $125,005
Federal National Mortgage Association REMICS, Floating Rate Note, 10/25/37 2,400,000 $638,826
Federal National Mortgage Association REMICS, Floating Rate Note, 10/25/38 6,344,000 $635,497
Federal National Mortgage Association REMICS, Floating Rate Note, 10/27/37 2,382,000 $2,338,547
Federal National Mortgage Association REMICS, Floating Rate Note, 11/18/32 105,671,000 $1,897,630
Federal National Mortgage Association REMICS, Floating Rate Note, 11/25/31 50,000,000 $437,853
Federal National Mortgage Association REMICS, Floating Rate Note, 11/25/31 44,000,000 $385,310
Federal National Mortgage Association REMICS, Floating Rate Note, 11/25/33 10,000,000 $740,763
Federal National Mortgage Association REMICS, Floating Rate Note, 11/25/34 9,662,000 $651,006
Federal National Mortgage Association REMICS, Floating Rate Note, 11/25/36 1,625,000 $331,601
Federal National Mortgage Association REMICS, Floating Rate Note, 12/25/23 13,749,086 $104,365
Federal National Mortgage Association REMICS, Floating Rate Note, 12/25/23 5,000,000 $336,806
Federal National Mortgage Association REMICS, Floating Rate Note, 12/25/30 20,000,000 $91,865
Federal National Mortgage Association REMICS, Floating Rate Note, 12/25/31 30,500,000 $983,040
Federal National Mortgage Association REMICS, Floating Rate Note, 12/25/32 14,000,000 $390,826
Federal National Mortgage Association REMICS, Floating Rate Note, 12/25/36 4,800,000 $260,517
Federal National Mortgage Association REMICS, Floating Rate Note, 12/25/37 21,428,000 $644,114
Federal National Mortgage Association REMICS, Floating Rate Note, 12/25/38 400,000 $236,400
Federal National Mortgage Association REMICS, Floating Rate Note, 12/25/49 2,000,000 $254,950
Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/17 14,970,453 $6,707
Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/33 10,610,000 $356,799
Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/33 16,918,890 $789,220
Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/35 2,497,000 $771,422
Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/37 20,692,000 $806,865
Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/37 5,150,000 $475,695
Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/38 4,400,000 $257,056
Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/38 2,184,000 $515,551
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/23 17,080,403 $138,243
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/24 14,460,650 $532,593
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/28 24,210,000 $292,252
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/34 20,624,640 $1,256,539
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/36 700,000 $109,583
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/37 2,300,000 $232,051
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/37 3,413,000 $461,868
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/37 39,983,000 $1,000,705
Federal National Mortgage Association REMICS, Floating Rate Note, 4/25/25 540,000 $84,738
Federal National Mortgage Association REMICS, Floating Rate Note, 4/25/32 35,072,000 $1,974,213
Federal National Mortgage Association REMICS, Floating Rate Note, 4/25/33 36,000,000 $1,007,733
Federal National Mortgage Association REMICS, Floating Rate Note, 4/25/42 642,857 $450,752
Federal National Mortgage Association REMICS, Floating Rate Note, 5/25/33 15,932,000 $400,236
Federal National Mortgage Association REMICS, Floating Rate Note, 5/25/36 13,100,000 $1,272,262
Federal National Mortgage Association REMICS, Floating Rate Note, 5/25/36 23,900,354 $685,379
Federal National Mortgage Association REMICS, Floating Rate Note, 5/25/37 32,172,000 $1,057,612
Federal National Mortgage Association REMICS, Floating Rate Note, 5/25/40 500,000 $261,060
Federal National Mortgage Association REMICS, Floating Rate Note, 5/25/40 2,619,152 $1,077,328
Federal National Mortgage Association REMICS, Floating Rate Note, 5/25/40 8,500,000 $1,129,060
Federal National Mortgage Association REMICS, Floating Rate Note, 6/25/23 3,460,000 $221,197
Federal National Mortgage Association REMICS, Floating Rate Note, 6/25/36 8,454,822 $811,549
Federal National Mortgage Association REMICS, Floating Rate Note, 6/25/37 3,590,000 $307,889
Federal National Mortgage Association REMICS, Floating Rate Note, 6/25/37 7,474,000 $894,860
Federal National Mortgage Association REMICS, Floating Rate Note, 6/25/37 900,000 $100,451
Federal National Mortgage Association REMICS, Floating Rate Note, 6/25/37 632,250 $75,248
Federal National Mortgage Association REMICS, Floating Rate Note, 7/18/27 10,000,000 $37,741
Federal National Mortgage Association REMICS, Floating Rate Note, 7/25/31 48,885,770 $423,762
Federal National Mortgage Association REMICS, Floating Rate Note, 7/25/31 50,000,000 $297,358
Federal National Mortgage Association REMICS, Floating Rate Note, 7/25/32 15,000,000 $193,496
Federal National Mortgage Association REMICS, Floating Rate Note, 7/25/34 2,860,000 $153,642
Federal National Mortgage Association REMICS, Floating Rate Note, 7/25/34 7,443,000 $482,767
Federal National Mortgage Association REMICS, Floating Rate Note, 7/25/35 23,056,000 $2,522,131
Federal National Mortgage Association REMICS, Floating Rate Note, 7/25/35 9,145,238 $1,908,115
Federal National Mortgage Association REMICS, Floating Rate Note, 7/25/36 2,000,000 $271,362
Federal National Mortgage Association REMICS, Floating Rate Note, 7/25/37 1,942,360 $275,137
Federal National Mortgage Association REMICS, Floating Rate Note, 8/25/31 17,600,000 $208,933
Federal National Mortgage Association REMICS, Floating Rate Note, 8/25/32 5,000,000 $86,067
Federal National Mortgage Association REMICS, Floating Rate Note, 8/25/32 15,000,000 $290,694
Federal National Mortgage Association REMICS, Floating Rate Note, 8/25/33 485,000 $16,001
Federal National Mortgage Association REMICS, Floating Rate Note, 8/25/36 4,450,000 $262,254
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/20 13,700,000 $26,283
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/21 8,269,375 $73,783
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/32 20,000,000 $361,526
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/32 19,400,000 $75,821
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/33 19,984,406 $2,005,425
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/36 13,053,000 $791,737
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/37 9,159,000 $390,437
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/37 1,915,000 $221,126
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/37 7,400,000 $708,809
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/37 3,173,000 $387,557
Fieldstone Mortgage Investment Trust Series 2004-5, Floating Rate Note, 2/25/35 3,600,000 $528,101
Fieldstone Mortgage Investment Trust Series 2005-1, Floating Rate Note, 3/25/35 1,457,000 $474,866
Fieldwood Energy LLC, Closing Date Loan, 9/25/18 2,661,864 $2,495,498
Fifth Third Auto Trust 2014-3, Floating Rate Note, 5/15/17 1,700,000 $1,700,358
Fifth Third Bancorp, 3.625%, 1/25/16 3,790,000 $3,896,699
Fifth Third Bancorp, Floating Rate Note, 12/20/16 1,727,000 $1,717,032
Fifth Third Bank Cincinnati Ohio, Floating Rate Note, 11/18/16 1,800,000 $1,807,799
Fifth Third Bank Cincinnati Ohio, Floating Rate Note, 2/26/16 3,330,000 $3,336,392
First Franklin Mortgage Loan Trust 2005-FFH3, Floating Rate Note, 9/25/35 4,351,000 $1,840,513
First Franklin Mortgage Loan Trust Series 2005-FF12, Floating Rate Note, 11/25/36 2,150,000 $298,881
First Horizon Mortgage Pass-Through Trust 2003-AR3, Floating Rate Note, 9/25/33 13,000,000 $875,881
First Investors Auto Owner Trust 2012-2, 1.47%, 5/15/18 (144A) 100,000 $15,874
First Investors Auto Owner Trust 2013-2, 1.23%, 3/15/19 (144A) 4,251,000 $1,765,341
First Investors Auto Owner Trust 2013-3, 0.89%, 9/15/17 (144A) 220,000 $53,148
First Investors Auto Owner Trust 2014-2, 0.86%, 8/15/18 (144A) 2,100,000 $1,914,441
First Investors Auto Owner Trust 2014-3, 1.06%, 11/15/18 (144A) 2,000,000 $1,999,029
Firstmac Mortgage Funding Trust Series 1A-2014, Floating Rate Note, 6/26/15 (144A) 2,500,000 $2,499,878
First NLC Trust 2005-2, Floating Rate Note, 9/25/35 369,713 $72,571
Flagstar Home Equity Loan Trust 2005-1, Floating Rate Note, 6/25/18 (144A) 15,500,000 $803,766
Fly Funding II Sarl, Loan, 8/8/18 1,546,307 $1,554,038
FMG Resources August 2006 Pty, Ltd., Loan, 6/30/19 1,110,204 $1,006,718
FNA 2014-1 Trust, 1.296%, 12/10/22 (144A) 2,500,000 $2,140,975
Foothill CLO, Ltd., Floating Rate Note, 2/22/21 (144A) 2,250,000 $974,922
Ford Credit Auto Lease Trust 2013-B, Floating Rate Note, 1/15/16 150,000 $30,640
Ford Credit Auto Lease Trust 2014-B, Floating Rate Note, 3/15/17 2,150,000 $2,097,442
Ford Credit Auto Owner Trust 2011-B, 1.35%, 12/15/16 200,000 $44,166
Ford Credit Auto Owner Trust 2014-A, 0.48%, 11/15/16 1,827,000 $508,085
Ford Credit Auto Owner Trust 2015-A, Floating Rate Note, 1/15/18 2,500,000 $2,500,735
Ford Credit Floorplan Master Owner Trust A, Floating Rate Note, 1/15/18 350,000 $350,199
Ford Credit Floorplan Master Owner Trust A, Floating Rate Note, 2/15/19 900,000 $900,588
Ford Motor Credit Co LLC, Floating Rate Note, 1/9/18 2,600,000 $2,614,108
Ford Motor Credit Co LLC, Floating Rate Note, 11/8/16 1,715,000 $1,709,615
Ford Motor Credit Co LLC, Floating Rate Note, 3/27/17 2,500,000 $2,499,312
Ford Motor Credit Co LLC, Floating Rate Note, 9/8/17 500,000 $497,385
Fore CLO, Ltd., Floating Rate Note, 7/20/19 (144A) 1,250,000 $267,229
Foresight Energy LLC, Term Loan, 8/21/20 221,862 $219,366
Fosse Master Issuer Plc, Floating Rate Note, 10/19/54 (144A) 1,000,000 $643,907
Four Corners CLO II, Ltd., Floating Rate Note, 1/26/20 (144A) 553,000 $536,334
Four Seasons Holdings, Inc., Term Loan (First Lien) 2013, 6/27/20 493,750 $494,059
Franklin Resources, Inc., 3.125%, 5/20/15 2,150,000 $2,181,413
Freddie Mac Strips, Floating Rate Note, 12/15/36 10,968,000 $620,622
Freddie Mac Strips, Floating Rate Note, 8/15/36 43,230,336 $2,013,563
Freddie Mac Strips, Floating Rate Note, 8/15/36 10,000,000 $465,117
Freddie Mac Structured Agency Credit Risk Debt Notes, Floating Rate Note, 10/25/24 2,480,000 $2,399,755
Freddie Mac Structured Agency Credit Risk Debt Notes, Floating Rate Note, 11/25/23 2,250,000 $1,677,179
Freddie Mac Structured Agency Credit Risk Debt Notes, Floating Rate Note, 2/25/24 1,555,000 $1,412,728
Freddie Mac Structured Agency Credit Risk Debt Notes, Floating Rate Note, 8/25/24 5,000,000 $3,913,212
Fremont Home Loan Trust 2005-B, Floating Rate Note, 4/25/35 2,750,000 $576,372
Fresenius US Finance I, Inc., Tranche B Term Loan, 8/7/19 1,477,500 $1,476,269
Gale Force 3 Clo, Ltd., Floating Rate Note, 4/19/21 (144A) 1,200,000 $712,447
Galileo Re, Ltd., Floating Rate Note, 1/9/19 (Cat Bond) (144A) 1,250,000 $1,301,944
Garda World Security Corp., Term B Delayed Draw Loan, 11/8/20 318,544 $317,615
Garda World Security Corp., Term B Loan, 11/1/20 1,245,217 $1,241,585
Gardner Denver, Inc., Initial Dollar Term Loan, 7/30/20 234,538 $223,061
Gator Re, Ltd., Floating Rate Note, 1/9/17 (Cat Bond) (144A) 2,000,000 $1,877,011
Gci Holdings Inc 1st Lien Tl-B L + 3.75% 22dec21 660,000 $663,300
GE Business Loan Trust 2003-1, Floating Rate Note, 4/15/31 (144A) 20,374,890 $830,963
GE Business Loan Trust 2003-2 REMICS, Floating Rate Note, 11/15/31 (144A) 10,000,000 $860,876
GE Business Loan Trust 2004-1, Floating Rate Note, 5/15/32 (144A) 7,667,511 $606,478
GE Business Loan Trust 2004-2, Floating Rate Note, 12/15/32 (144A) 9,937,438 $1,290,186
GE Business Loan Trust 2005-1, Floating Rate Note, 6/15/33 (144A) 7,203,882 $3,090,137
GE Business Loan Trust 2006-2, Floating Rate Note, 11/15/34 (144A) 8,767,382 $3,064,949
GE Business Loan Trust 2007-1, Floating Rate Note, 4/16/35 (144A) 5,387,273 $2,082,901
GE Capital Commercial Mortgage Corp., Floating Rate Note, 7/10/45 1,700,000 $1,709,223
GE Dealer Floorplan Master Note Trust, Floating Rate Note, 10/20/17 888,000 $888,357
GE Dealer Floorplan Master Note Trust, Floating Rate Note, 10/20/19 2,700,000 $2,702,842
GE Dealer Floorplan Master Note Trust, Floating Rate Note, 4/20/18 1,190,000 $1,190,610
GE Dealer Floorplan Master Note Trust, Floating Rate Note, 6/20/17 2,000,000 $2,001,122
GE Dealer Floorplan Master Note Trust, Floating Rate Note, 6/20/17 500,000 $500,373
GE Dealer Floorplan Master Note Trust, Floating Rate Note, 7/22/19 2,670,000 $2,668,014
GE Equipment Small Ticket LLC Series 2013-1, 0.73%, 1/25/16 (144A) 800,000 $96,484
GE Equipment Small Ticket LLC Series 2014-1, 0.59%, 8/24/16 1,900,000 $1,776,146
GE Equipment Transportation LLC Series 2013-2, 0.61%, 6/24/16 1,520,000 $470,495
General Electric Capital Corp., 1.625%, 7/2/15 1,000,000 $1,007,051
General Electric Capital Corp., Floating Rate Note, 1/14/16 1,865,000 $1,869,500
General Electric Capital Corp., Floating Rate Note, 1/8/16 3,300,000 $3,320,923
General Electric Capital Corp., Floating Rate Note, 5/11/16 1,000,000 $1,001,729
General Electric Capital Corp., Floating Rate Note, 5/15/17 2,000,000 $2,003,261
General Electric Capital Corp., Floating Rate Note, 7/10/15 690,000 $691,551
General Electric Capital Corp., Floating Rate Note, 7/12/16 1,001,000 $1,009,606
General Electric Capital Corp., Floating Rate Note, 7/2/15 2,793,000 $2,808,407
General Electric Capital Corp., Floating Rate Note, 8/1/17 500,000 $500,018
General Mills, Inc., Floating Rate Note, 1/28/16 1,895,000 $1,894,788
General Mills, Inc., Floating Rate Note, 1/29/16 1,765,000 $1,766,569
Genpact International, Inc., Term Loan, 8/30/19 977,588 $980,765
Georgia Power Co., Floating Rate Note, 3/15/16 1,090,000 $1,089,667
Georgia Power Co., Floating Rate Note, 8/15/16 1,000,000 $1,000,331
Getty Images, Inc., Initial Term Loan, 10/18/19 113,574 $96,055
GLC Trust 2013-1, 3.0%, 7/15/21 (144A) 3,200,000 $2,292,299
Glencore Funding LLC, Floating Rate Note, 5/27/16 (144A) 1,800,000 $1,808,427
Glenn Pool Oil & Gas Trust, Term Loan, 5/2/16 19,879 $19,830
Global Container Assets 2013-1, Ltd., 2.2%, 11/5/28 (144A) 1,750,000 $965,062
Global Mortgage Securitization, Ltd., 5.25%, 4/25/32 (144A) 2,691,322 $752,778
Global Mortgage Securitization, Ltd., Floating Rate Note, 11/25/32 (144A) 8,780,000 $447,789
Global Mortgage Securitization, Ltd., Floating Rate Note, 4/25/32 (144A) 29,975,000 $2,476,542
GMAC Commercial Mortgage Securities Inc Series 2004-C2 Trust, Floating Rate Note, 8/10/38 5,341,000 $37,964
GMAC Commercial Mortgage Securities Inc Series 2006-C1 Trust, Floating Rate Note, 11/10/45 8,250,000 $5,129,641
GMAT 2013-1 Trust, 3.9669%, 8/25/53 (Step) 5,300,000 $3,777,740
Golden Credit Card Trust, Floating Rate Note, 2/15/18 (144A) 4,300,000 $4,296,976
Golden Credit Card Trust, Floating Rate Note, 9/15/18 (144A) 715,000 $715,924
Golden State RE II, Ltd., Floating Rate Note, 1/8/19 (Cat Bond) (144A) 2,650,000 $2,652,576
Government National Mortgage Association, 4.0%, 7/20/34 31,635,000 $936,947
Government National Mortgage Association, Floating Rate Note, 1/16/33 26,309,521 $903,664
Government National Mortgage Association, Floating Rate Note, 1/16/35 11,437,000 $1,163,358
Government National Mortgage Association, Floating Rate Note, 10/16/39 2,500,000 $354,562
Government National Mortgage Association, Floating Rate Note, 10/20/38 3,000,000 $920,708
Government National Mortgage Association, Floating Rate Note, 2/20/35 8,941,000 $1,127,284
Government National Mortgage Association, Floating Rate Note, 4/16/29 50,000,000 $533,591
Government National Mortgage Association, Floating Rate Note, 4/16/32 13,425,000 $235,564
Government National Mortgage Association, Floating Rate Note, 5/16/38 8,761,000 $562,897
Government National Mortgage Association, Floating Rate Note, 6/16/31 14,000,000 $230,541
Government National Mortgage Association, Floating Rate Note, 8/16/39 2,960,000 $487,050
Government National Mortgage Association, Floating Rate Note, 8/20/35 3,497,364 $242,167
Government National Mortgage Association, Floating Rate Note, 8/20/38 4,585,000 $423,545
Government National Mortgage Association, Floating Rate Note, 9/16/31 34,344,532 $653,603
Government National Mortgage Association II, Floating Rate Note, 1/20/22 1,000,000 $11,880
GP Portfolio Trust 2014-GGP, Floating Rate Note, 2/16/27 (144A) 3,350,000 $3,351,327
Gracechurch Card Funding Plc, Floating Rate Note, 5/15/19 (144A) 1,300,000 $1,310,824
Gracechurch Card Funding Plc, Floating Rate Note, 6/15/17 (144A) 2,200,000 $2,202,694
Gray Television Inc. 1st Lien Tl L + 3% 10jun21 1,002,368 $1,002,870
GreenPoint Mortgage Funding Trust 2005-HE1, Floating Rate Note, 9/25/34 1,357,437 $260,470
GRIFOLS WORLDWIDE OPERATIONS USA INC, U.S. Tranche B Term Loam, 4/1/21 519,750 $519,848
GSAA Home Equity Trust 2004-11, Floating Rate Note, 12/25/34 5,735,000 $300,517
GSAA Home Equity Trust 2004-6, Floating Rate Note, 6/25/34 52,357,062 $1,304,050
GSAA Home Equity Trust 2004-8, Floating Rate Note, 9/25/34 7,860,000 $251,624
GSAA Home Equity Trust 2005-11, Floating Rate Note, 10/25/35 4,339,000 $265,586
GSAA Trust, Floating Rate Note, 6/25/35 6,300,000 $1,432,908
GSAMP Trust 2004-SEA2, Floating Rate Note, 3/25/34 4,798,600 $2,953,804
GSAMP Trust 2005-HE1, Floating Rate Note, 12/25/34 5,414,212 $399,043
GSAMP Trust 2005-HE6, Floating Rate Note, 11/25/35 220,000 $125,149
GSAMP Trust 2006-HE1, Floating Rate Note, 12/26/45 7,000,000 $1,109,701
GSAMP Trust 2006-SD1, Floating Rate Note, 7/25/45 9,948,000 $342,928
GSAMP Trust 2006-SEA1, Floating Rate Note, 5/25/36 (144A) 25,142,877 $1,672,744
GS Mortgage Securities Trust 2006-GG6 REMICS, Floating Rate Note, 4/10/38 3,550,000 $3,623,962
GS Mortgage Securities Trust 2014-GSFL, Floating Rate Note, 7/15/31 (144A) 1,690,000 $1,694,898
GSR Mortgage Loan Trust 2003-9, Floating Rate Note, 8/25/33 1,500,000 $92,577
GSRPM Mortgage Loan Trust 2003-2, Floating Rate Note, 6/25/33 1,826,298 $975,367
GSRPM Mortgage Loan Trust 2006-1, Floating Rate Note, 3/25/35 (144A) 7,593,737 $1,012,454
GSRPM Mortgage Loan Trust 2006-2, Floating Rate Note, 9/25/36 (144A) 5,483,897 $688,949
Halyard Health Inc 1st Lien Tl-B L + 3.25% 03oct21 997,500 $1,008,881
HarborView Mortgage Loan Trust 2004-1, Floating Rate Note, 4/19/34 16,013,000 $690,646
HarborView Mortgage Loan Trust 2004-4, Floating Rate Note, 6/19/34 25,700,000 $245,856
Harch CLO III, Ltd., Floating Rate Note, 4/17/20 (144A) 500,000 $490,416
Harley-Davidson Financial Services, Inc., 1.15%, 9/15/15 (144A) 4,100,000 $4,110,718
Harley-Davidson Motorcycle Trust 2011-1, 2.12%, 8/15/17 190,000 $191,168
Harley-Davidson Motorcycle Trust 2012-1, 0.68%, 4/17/17 2,700,000 $491,025
Hercules Capital Funding Trust 2012-1, 3.32%, 12/16/17 (144A) 400,000 $12,783
Hertz Fleet Lease Funding LP, Floating Rate Note, 12/10/27 (144A) 1,000,000 $855,049
Hertz Fleet Lease Funding LP, Floating Rate Note, 12/10/27 (144A) 500,000 $501,689
Hertz Fleet Lease Funding LP, Floating Rate Note, 4/10/28 (144A) 1,100,000 $1,098,991
Hewett's Island CDO, Ltd., Floating Rate Note, 6/9/19 (144A) 1,000,000 $1,001,648
Hilton USA Trust 2013-HLF, Floating Rate Note, 11/5/30 (144A) 2,475,000 $2,442,147
Hilton Worldwide Finance LLC, Initial Term Loan, 9/23/20 957,237 $959,545
HJ Heinz Co., Term B-2 Loan, 6/5/20 1,048,202 $1,050,230
HLSS Servicer Advance Receivables Backed Notes Series 2013-T2, 1.1472%, 5/16/44 (144A) 4,240,000 $4,236,226
HLSS Servicer Advance Receivables Trust, 1.4953%, 1/16/46 (144A) 5,600,000 $5,572,922
Holmes Master Issuer Plc, Floating Rate Note, 10/15/54 (144A) 1,676,000 $843,561
Hologic, Inc., Refinancing Tranche B Term Loan, 8/1/19 668,423 $669,937
HomeBanc Mortgage Trust 2005-2, Floating Rate Note, 5/25/25 45,670,847 $1,346,977
Home Equity Asset Trust 2005-6, Floating Rate Note, 12/25/35 4,004,000 $3,147,788
Home Equity Asset Trust 2005-7, Floating Rate Note, 1/25/36 7,770,000 $3,938,870
Home Equity Asset Trust 2006-4, Floating Rate Note, 8/25/36 1,250,000 $291,819
Home Equity Asset Trust 2006-8, Floating Rate Note, 3/25/37 6,984,978 $1,713,719
Homestar Mortgage Acceptance Corp., Floating Rate Note, 1/25/35 11,300,000 $971,008
Homestar Mortgage Acceptance Corp., Floating Rate Note, 3/25/34 76,711,000 $4,219,616
Homestar Mortgage Acceptance Corp., Floating Rate Note, 6/25/34 11,977,997 $956,764
Homestar Mortgage Acceptance Corp., Floating Rate Note, 7/25/34 22,310,000 $1,844,913
Honda Auto Receivables 2012-2 Owner Trust, 0.7%, 2/16/16 1,200,000 $88,096
Honda Auto Receivables 2012-4 Owner Trust, 0.52%, 8/18/16 5,000,000 $1,789,902
Honda Auto Receivables 2013-1 Owner Trust, 0.48%, 11/21/16 390,000 $196,457
Honda Auto Receivables 2013-2 Owner Trust, 0.53%, 2/16/17 959,000 $744,653
Honda Auto Receivables 2014-1 Owner Trust, 0.41%, 9/21/16 2,715,000 $1,709,152
Horizon Funding Trust 2013-1, 3.0%, 5/15/18 (144A) 2,777,000 $972,597
HSBC Bank Middle East, Ltd., 3.0%, 10/21/15 1,000,000 $1,022,133
HSBC Bank Plc, 3.5%, 6/28/15 (144A) 2,500,000 $2,540,754
HSBC Home Equity Loan Trust USA 2006-3, Floating Rate Note, 3/20/36 8,638,000 $6,417,446
HSBC Home Equity Loan Trust USA 2006-4, Floating Rate Note, 3/20/36 1,061,000 $741,500
HSBC Home Equity Loan Trust USA 2007-3, Floating Rate Note, 11/20/36 100,000 $31,352
HSBC Home Equity Loan Trust USA 2007-3, Floating Rate Note, 11/20/36 13,800,000 $2,987,273
HSI Asset Securitization Corp Trust 2006-OPT1, Floating Rate Note, 12/25/35 1,719,377 $491,548
Huntsman International LLC, 2014-1 Incremental Term Loan, 9/30/21 997,500 $1,004,358
Hyatt Hotel Portfolio Trust 2015-HYT, Floating Rate Note, 11/15/29 (144A) 1,800,000 $1,804,448
Hyperion Insurance Group, Ltd., Term Loan, 10/4/19 965,250 $962,234
Hyundai Auto Receivables Trust 2012-A, 0.95%, 12/15/16 3,878,000 $2,105,841
Hyundai Auto Receivables Trust 2014-B, 0.44%, 2/15/17 99,000 $68,335
Hyundai Capital Services, Inc., Floating Rate Note, 3/18/17 (144A) 1,950,000 $1,953,272
IASIS Healthcare LLC, Term B-2 Loan, 5/3/18 486,275 $487,917
Ibis Re II, Ltd., Floating Rate Note, 6/28/16 (Cat Bond) (144A) 2,500,000 $2,528,861
Igloo Holdings Corp., 8.25%, 12/15/17 (144A) (PIK) 1,250,000 $1,292,865
Immucor, Inc., Term B-2 Loan, 8/19/18 217,197 $218,351
Impac CMB Trust Series 2003-8, Floating Rate Note, 10/25/33 8,000,000 $470,288
Impac CMB Trust Series 2004-4, Floating Rate Note, 9/25/34 42,840,193 $1,741,738
Impac CMB Trust Series 2004-4, Floating Rate Note, 9/25/34 49,152,075 $1,997,745
Impac CMB Trust Series 2004-5, Floating Rate Note, 8/25/34 9,850,000 $565,158
Impac CMB Trust Series 2004-6, Floating Rate Note, 10/25/34 9,071,000 $454,452
Impac CMB Trust Series 2004-7, Floating Rate Note, 11/25/34 34,999,000 $2,172,321
Impac CMB Trust Series 2004-8, Floating Rate Note, 8/25/34 2,122,000 $239,451
Impac CMB Trust Series 2004-8, Floating Rate Note, 8/25/34 14,550,000 $1,688,649
Impac Secured Assets CMN Owner Trust, Floating Rate Note, 11/25/34 30,931,007 $721,722
Impac Secured Assets CMN Owner Trust, Floating Rate Note, 2/25/35 17,437,000 $4,533,218
Impac Secured Assets Trust 2006-1, Floating Rate Note, 5/25/36 6,501,000 $2,063,874
Impac Secured Assets Trust 2006-2, Floating Rate Note, 8/25/36 4,987,000 $959,499
Impac Secured Assets Trust 2006-5, Floating Rate Note, 12/25/36 3,800,000 $751,568
Intelsat Jackson Holdings SA, Tranche B-2 Term Loan, 6/30/19 521,732 $520,363
Interactive Data 1st Lien Tl-B L + 3.75% 24apr21 212,433 $213,727
inVentiv Health, Inc., Term B-3 Loan, 5/15/18 66,145 $66,201
Invitation Homes 2013-SFR1 Trust, Floating Rate Note, 12/19/30 (144A) 1,800,000 $1,798,540
Invitation Homes 2014-SFR2 Trust, Floating Rate Note, 9/18/31 (144A) 2,100,000 $2,099,766
Invitation Homes 2014-SFR3 Trust, Floating Rate Note, 12/17/31 (144A) 2,000,000 $1,993,925
Invitation Homes 2015-SFR2 Trust, Floating Rate Note, 6/17/32 (144A) 2,800,000 $2,800,000
Inwood Park CDO, Ltd., Floating Rate Note, 1/20/21 (144A) 3,500,000 $994,200
Irwin Home Equity Loan Trust 2005-1, Floating Rate Note, 6/25/25 18,060,000 $3,520,219
Irwin Whole Loan Home Equity Trust 2003-C, Floating Rate Note, 6/25/28 7,545,000 $1,726,851
Irwin Whole Loan Home Equity Trust 2005-B, Floating Rate Note, 12/25/29 6,125,000 $3,102,596
IXIS Real Estate Capital Trust 2005-HE1, Floating Rate Note, 6/25/35 1,500,000 $731,966
IXIS Real Estate Capital Trust 2005-HE4, Floating Rate Note, 2/25/36 3,493,986 $519,891
Jackson National Life Global Funding, Floating Rate Note, 7/29/16 (144A) 2,600,000 $2,603,231
Jackson National Life Global Funding, Floating Rate Note, 9/30/15 (144A) 3,300,000 $3,304,312
Jarden Corp., Tranche B1 Term Loan, 9/30/20 985,000 $992,511
JBS USA LLC, Initial Term Loan, 5/25/18 874,626 $876,266
JLL, Initial Dollar Term Loan, 1/23/21 303,475 $302,527
JMC Steel Group, Inc., Term Loan, 4/1/17 356,618 $355,875
John Deere Capital Corp., Floating Rate Note, 10/11/16 1,500,000 $1,505,830
John Deere Capital Corp., Floating Rate Note, 12/10/15 1,800,000 $1,801,771
JOHN DEERE CAPITAL Corp., Floating Rate Note, 2/25/16 2,883,000 $2,885,792
JPMorgan Chase & Co., 1.1%, 10/15/15 1,528,000 $1,539,609
JPMorgan Chase & Co., 3.4%, 6/24/15 1,325,000 $1,345,714
JPMorgan Chase & Co., Floating Rate Note, 10/15/15 2,000,000 $2,008,708
JPMorgan Chase & Co., Floating Rate Note, 2/15/17 2,000,000 $2,004,358
JPMorgan Chase & Co., Floating Rate Note, 2/26/16 1,800,000 $1,806,162
JPMorgan Chase & Co., Floating Rate Note, 3/1/18 2,500,000 $2,500,545
JP Morgan Chase Commercial Mortgage Securities Trust 2002-CIBC4, Floating Rate Note, 5/12/34 257,000 $136,408
JP Morgan Chase Commercial Mortgage Securities Trust 2004-LN2, Floating Rate Note, 7/15/41 2,030,626 $224,060
JP Morgan Chase Commercial Mortgage Securities Trust 2005-LDP2, 4.78%, 7/15/42 3,770,000 $3,790,638
JP Morgan Chase Commercial Mortgage Securities Trust 2005-LDP2 REMICS, 4.738%, 7/15/42 3,175,000 $961,065
JP Morgan Chase Commercial Mortgage Securities Trust 2005-LDP3, Floating Rate Note, 8/15/42 2,670,000 $2,709,738
JP Morgan Chase Commercial Mortgage Securities Trust 2005-LDP3 REMICS, Floating Rate Note, 8/15/42 8,585,000 $6,655,563
JP Morgan Chase Commercial Mortgage Securities Trust 2005-LDP4, Floating Rate Note, 10/15/42 3,950,000 $3,995,832
JP Morgan Chase Commercial Mortgage Securities Trust 2005-LDP5, Floating Rate Note, 12/15/44 8,709,924 $5,954,141
JP Morgan Chase Commercial Mortgage Securities Trust 2006-FL2, Floating Rate Note, 11/15/18 (144A) 8,570,000 $1,660,404
JP Morgan Chase Commercial Mortgage Securities Trust 2006-FL2, Floating Rate Note, 11/15/18 (144A) 500,000 $161,510
JP Morgan Chase Commercial Mortgage Securities Trust 2006-LDP6, Floating Rate Note, 4/15/43 2,712,000 $2,802,493
JP Morgan Chase Commercial Mortgage Securities Trust 2006-LDP9, Floating Rate Note, 5/15/47 200,000 $74,118
JP Morgan Chase Commercial Mortgage Securities Trust 2007-CIBC19, Floating Rate Note, 2/12/49 475,000 $4,932
JP Morgan Chase Commercial Mortgage Securities Trust 2013-JWRZ, Floating Rate Note, 4/15/30 (144A) 4,975,000 $4,976,183
JP Morgan Chase Commercial Mortgage Securities Trust 2014-BXH, Floating Rate Note, 4/15/27 (144A) 5,600,000 $5,598,777
JP Morgan Chase Commercial Mortgage Securities Trust 2014-CBM, Floating Rate Note, 10/15/29 (144A) 4,280,000 $4,264,279
JP Morgan Chase Commercial Mortgage Securities Trust 2014-FBLU, Floating Rate Note, 12/15/28 (144A) 2,910,000 $2,915,804
JP Morgan Chase Commercial Mortgage Securities Trust 2014-FBLU REMICS, Floating Rate Note, 12/15/28 3,510,000 $3,514,926
JP Morgan Chase Commercial Mortgage Securities Trust 2014-FL4, Floating Rate Note, 12/16/30 (144A) 1,500,000 $1,502,561
JP Morgan Chase Commercial Mortgage Securities Trust 2014-FL6, Floating Rate Note, 11/17/31 (144A) 4,240,000 $4,239,626
JP Morgan Chase Commercial Mortgage Securities Trust 2014-INN, Floating Rate Note, 6/15/29 (144A) 3,500,000 $3,485,984
JP Morgan Chase Commercial Mortgage Securities Trust 2014-INN, Floating Rate Note, 6/15/29 (144A) 3,750,000 $3,740,700
JP Morgan Chase Commercial Mortgage Securities Trust 2014-PHH, Floating Rate Note, 8/16/27 (144A) 3,770,000 $3,771,876
JP Morgan Chase Commercial Mortgage Securities Trust 2015-COSMO, Floating Rate Note, 1/15/32 (144A) 4,000,000 $4,001,802
JP Morgan Mortgage Acquisition Corp 2005-FRE1, Floating Rate Note, 10/25/35 19,316,000 $1,025,948
JP Morgan Mortgage Acquisition Trust 2006-ACC1, Floating Rate Note, 5/25/36 3,004,334 $749,506
JP Morgan Mortgage Trust 2003-A1, Floating Rate Note, 10/25/33 12,490,305 $1,430,478
Kane Flt% 12jun15 2,000,000 $1,958,000
Kane Flt% 14jul15 1,528,080 $1,503,936
Kane Ilw Zero% 02feb16 750,000 $701,250
Kane Sac, Ltd., 0.0%, 1/7/16 (Cat Bond) 2,375,100 $2,384,363
Kane Sac, Ltd., 0.0%, 1/7/16 (Cat Bond) 1,111,667 $1,114,891
Kane Sac, Ltd., 0.0%, 1/7/16 (Cat Bond) 1,147,083 $1,149,492
Kane Sac, Ltd., 0.0%, 1/7/16 (Cat Bond) 420,500 $422,308
Kane Zero% 29apr16 2,600,000 $2,695,680
KeyBank NA Cleveland Ohio, Floating Rate Note, 11/25/16 4,500,000 $4,515,519
KeyCorp, 3.75%, 8/13/15 5,350,000 $5,435,129
KeyCorp Student Loan Trust 2004-A, Floating Rate Note, 10/28/41 500,000 $89,688
Kilimanjaro Re, Ltd., Floating Rate Note, 11/25/19 (Cat Bond) (144A) 2,350,000 $2,354,866
Kilimanjaro Re, Ltd., Floating Rate Note, 4/30/18 (Cat Bond) (144A) 1,000,000 $1,015,450
Kilimanjaro Re, Ltd., Floating Rate Note, 4/30/18 (Cat Bond) (144A) 2,300,000 $2,355,373
Kindred Healthcare 1st Lien Tl-B L + 3% 10apr21 714,175 $718,490
Kinetic Concepts, Inc., Dollar Term E-1 Loan, 5/4/18 585,306 $588,233
Kizuna Re II, Ltd., Floating Rate Note, 4/6/18 (Cat Bond) (144A) 1,800,000 $1,815,345
KKR Financial CLO 2007-1, Ltd., Floating Rate Note, 5/15/21 (144A) 1,250,000 $1,238,357
Kleopatra Acquisition Corp., Term B-1 Loan, 12/21/16 684,096 $688,514
Kubota Credit Owner Trust 2014-1, 0.58%, 2/15/17 800,000 $665,304
Lanark Master Issuer Plc, Floating Rate Note, 12/22/54 (144A) 5,635,000 $4,175,387
Lanark Master Issuer Plc, Floating Rate Note, 12/22/54 (144A) 1,250,000 $1,134,125
Landry's, Inc., B Term Loan, 4/24/18 379,853 $381,040
Language Line LLC, Tranche B Term Loan, 6/20/16 854,207 $851,404
LB-UBS Commercial Mortgage Trust 2004-C1, 4.568%, 1/15/31 1,000,000 $109,522
LB-UBS Commercial Mortgage Trust 2005-C3, 4.739%, 7/15/30 4,490,000 $256,116
LB-UBS Commercial Mortgage Trust 2005-C5, 4.954%, 9/15/30 8,750,000 $2,420,558
LB-UBS Commercial Mortgage Trust 2005-C7 REMICS, Floating Rate Note, 11/15/30 8,161,979 $4,467,714
LB-UBS Commercial Mortgage Trust 2006-C1 REMICS, 5.156%, 2/15/31 5,465,000 $5,359,471
LEAF Receivables Funding 9 LLC, 0.88%, 11/15/15 (144A) 1,500,000 $161,344
Lehman ABS Manufactured Housing Contract Trust 2002-A, Floating Rate Note, 6/15/33 3,950,000 $159,979
Lehman Brothers Small Balance Commercial, Floating Rate Note, 2/25/30 (144A) 12,628,771 $1,647,459
Lehman Brothers Small Balance Commercial, Floating Rate Note, 4/25/31 (144A) 6,464,393 $1,032,595
Lehman Brothers Small Balance Commercial, Floating Rate Note, 4/25/31 (144A) 17,333,137 $2,189,480
Lehman Brothers Small Balance Commercial, Floating Rate Note, 9/25/30 (144A) 10,731,472 $1,659,568
Lehman Brothers Small Balance Commercial Mortgage Trust 2007-3, Floating Rate Note, 10/25/37 (144A) 4,405,200 $999,368
Lehman Brothers Small Balance Commercial Mortgage Trust 2007-3, Floating Rate Note, 10/25/37 (144A) 2,211,066 $1,475,812
Lehman XS Trust Series 2005-2, Floating Rate Note, 8/25/35 42,014,000 $2,660,700
Level 3 Financing Inc 1st Lien Tl-B5 L + 3.5% 31jan22 1,000,000 $1,006,518
LG&E and KU Energy LLC, 2.125%, 11/15/15 2,500,000 $2,536,384
Live Nation Entertainment, Inc., Term B-1 Loan, 8/17/20 766,330 $764,574
Livingston International, Inc., Initial Term B-1 Loan (First Lien), 4/18/19 491,250 $486,798
Lockwood Grove CLO, Ltd., Floating Rate Note, 1/25/24 (144A) 2,500,000 $2,508,608
Longpoint Re, Ltd., Floating Rate Note, 6/12/15 (Cat Bond) (144A) 3,550,000 $3,586,802
Longpoint Re, Ltd. III, Floating Rate Note, 5/18/16 (Cat Bond) (144A) 2,610,000 $2,635,917
Louisiana Public Facilities Authority, Floating Rate Note, 4/26/27 1,250,000 $953,291
Madison Avenue Manufactured Housing Contract Trust 2002-A, Floating Rate Note, 3/25/32 1,000,000 $252,697
MALLINCKRODT INTERNATIONAL FINANCE SA, Initial Term B Loan, 3/6/21 965,250 $964,129
Manufactured Housing Contract Trust Pass-Through Certificates Series 2001-1, Floating Rate Note, 4/2 9,286,000 $1,073,667
Manufacturers & Traders Trust Co., Floating Rate Note, 1/30/17 1,900,000 $1,900,104
Manufacturers & Traders Trust Co., Floating Rate Note, 7/25/17 2,400,000 $2,394,176
Marathon Oil Corp., 0.9%, 11/1/15 6,604,000 $6,630,139
MassMutual Global Funding II, 3.125%, 4/14/16 (144A) 2,060,000 $2,142,481
MassMutual Global Funding II, Floating Rate Note, 12/11/15 (144A) 3,290,000 $3,292,528
Master Credit Card Trust II, Floating Rate Note, 1/22/18 (144A) 1,825,000 $1,827,124
MASTR Adjustable Rate Mortgages Trust 2003-3, Floating Rate Note, 9/25/33 2,650,000 $754,429
MASTR Adjustable Rate Mortgages Trust 2004-11, Floating Rate Note, 11/25/34 5,400,000 $1,494,375
MASTR Alternative Loan Trust 2005-1, Floating Rate Note, 2/25/35 21,274,000 $1,602,928
Mastr Asset Backed Securities Trust 2006-AB1 REMICS, Floating Rate Note, 2/25/36 12,307,204 $1,981,310
Mastr Asset Backed Securities Trust 2006-NC1, Floating Rate Note, 1/25/36 23,055,603 $2,314,540
MASTR Asset Securitization Trust 2003-6, Floating Rate Note, 7/25/18 7,302,000 $185,510
Mastr Specialized Loan Trust, Floating Rate Note, 1/25/36 (144A) 51,217,354 $3,867,858
MCC Iowa LLC, Tranche G Term Loan, 1/20/20 731,250 $732,164
Mcdermott International Inc 1st Lien Tl-B L + 4.25% 11apr19 496,250 $451,588
McKesson Corp., 3.25%, 3/1/16 2,500,000 $2,558,311
McKesson Corp., Floating Rate Note, 9/10/15 5,290,000 $5,293,862
Medco Health Solutions, Inc., 2.75%, 9/15/15 5,000,000 $5,048,741
Mediacom Illinois LLC, Tranche F Term Loan, 3/31/18 1,386,000 $1,369,830
Medtronic, Inc., 4.75%, 9/15/15 3,280,000 $3,347,906
Mercedes Benz Auto Lease Trust 2014-A, Floating Rate Note, 6/15/16 1,900,000 $1,236,886
Merck & Co, Inc., Floating Rate Note, 2/10/17 2,500,000 $2,504,794
Merck & Co, Inc., Floating Rate Note, 5/18/16 500,000 $501,032
Merna Reinsurance, Ltd., Floating Rate Note, 4/9/18 (Cat Bond) (144A) 1,000,000 $999,200
Merna Re V, Ltd., Floating Rate Note, 4/7/17 (Cat Bond) (144A) 2,000,000 $2,002,511
Merrill Lynch Mortgage Investors Trust Series 2005-2, Floating Rate Note, 10/25/35 2,600,000 $617,512
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-A, Floating Rate Note, 3/25/28 48,813,000 $1,502,568
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-B, Floating Rate Note, 4/25/28 32,661,000 $1,436,946
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-C, Floating Rate Note, 6/25/28 44,308,430 $1,571,372
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-C REMICS, Floating Rate Note, 6/25/28 42,262,000 $1,878,292
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-E, Floating Rate Note, 10/25/28 38,289,000 $1,704,499
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-G, Floating Rate Note, 1/25/29 16,556,000 $234,145
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-H, Floating Rate Note, 1/25/29 25,646,400 $1,347,465
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-A REMICS, Floating Rate Note, 4/25/29 36,167,206 $1,810,621
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-B, Floating Rate Note, 5/25/29 12,160,000 $425,369
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-C, Floating Rate Note, 7/25/29 41,778,000 $1,933,513
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-C, Floating Rate Note, 7/25/29 3,866,000 $120,048
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-D, Floating Rate Note, 9/25/29 11,000,000 $736,040
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-E, Floating Rate Note, 11/25/29 36,000,000 $2,007,061
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-G, Floating Rate Note, 1/25/30 15,000,000 $905,129
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-G, Floating Rate Note, 1/25/30 64,515,401 $2,562,419
Merrill Lynch Mortgage Investors Trust Series MLCC 2005-A, Floating Rate Note, 3/25/30 40,482,746 $2,337,857
Merrill Lynch Mortgage Trust 2005-CIP1, Floating Rate Note, 7/12/38 2,170,000 $1,599,561
Merrill Lynch Mortgage Trust 2005-CKI1, Floating Rate Note, 11/12/37 7,925,000 $5,825,367
Merrill Lynch Mortgage Trust 2005-LC1, Floating Rate Note, 1/12/44 6,177,508 $5,510,539
Merrill Lynch Mortgage Trust 2005-MCP1, Floating Rate Note, 6/12/43 5,841,000 $1,562,654
MetLife Institutional Funding II, 1.625%, 4/2/15 (144A) 5,015,000 $5,055,521
MetroCat Re, Ltd., Floating Rate Note, 8/5/16 (Cat Bond) (144A) 1,250,000 $1,278,375
Metropolitan Life Global Funding I, 3.125%, 1/11/16 (144A) 690,000 $708,656
Metropolitan Life Global Funding I, Floating Rate Note, 7/15/16 (144A) 1,500,000 $1,509,914
MGM Resorts International, Term B Loan, 12/20/19 1,221,875 $1,219,711
Michaels Stores, Inc., Term B Loan, 1/28/20 982,500 $983,377
Micro Focus Us Inc 1st Lien Tl-B L + 4.25% 07oct21 1,455,882 $1,459,825
Microsemi Corp., Term Loan (2014), 3/14/21 131,461 $131,527
Milacron LLC, Term Loan, 3/28/20 686,070 $680,067
Mirror BidCo Corp., New Incremental Term Loan, 12/18/19 1,003,913 $1,002,866
Mizuho Bank, Ltd., Floating Rate Note, 3/26/18 (144A) 1,670,000 $1,670,204
Mizuho Bank, Ltd., Floating Rate Note, 4/16/17 (144A) 1,000,000 $998,600
MMCA Auto Owner Trust 2012-A, 3.27%, 7/16/18 (144A) 1,150,000 $1,169,573
Monitronics International, Inc., Term B Loan (2013), 3/23/18 980,267 $982,565
Morgan Stanley, 1.75%, 2/25/16 1,300,000 $1,310,751
Morgan Stanley, Floating Rate Note, 1/5/18 2,700,000 $2,714,945
Morgan Stanley, Floating Rate Note, 10/15/15 318,000 $318,943
Morgan Stanley, Floating Rate Note, 2/25/16 4,350,000 $4,388,352
Morgan Stanley, Floating Rate Note, 8/30/15 685,000 $692,528
Morgan Stanley ABS Capital I Inc Trust 2004-SD3, Floating Rate Note, 6/25/34 (144A) 41,830,000 $1,377,776
Morgan Stanley ABS Capital I Inc Trust 2005-HE3, Floating Rate Note, 7/25/35 95,000 $31,979
Morgan Stanley ABS Capital I Inc Trust 2005-HE6, Floating Rate Note, 11/25/35 160,000 $53,085
Morgan Stanley ABS Capital I Inc Trust 2005-NC2, Floating Rate Note, 3/25/35 2,854,027 $1,719,010
Morgan Stanley ABS Capital I Inc Trust 2005-WMC3, Floating Rate Note, 3/25/35 131,174 $63,172
Morgan Stanley Capital I Trust 2004-IQ8, Floating Rate Note, 6/15/40 3,830,000 $167,363
Morgan Stanley Capital I Trust 2005-HQ6 REMICS, Floating Rate Note, 8/13/42 2,900,000 $2,922,877
Morgan Stanley Capital I Trust 2005-IQ10, Floating Rate Note, 9/15/42 2,910,000 $2,005,697
Morgan Stanley Capital I Trust 2005-TOP19, 4.89%, 6/12/47 6,690,000 $3,406,751
Morgan Stanley Capital I Trust 2006-HQ9, Floating Rate Note, 7/12/44 3,200,000 $3,370,776
Morgan Stanley Capital I Trust 2006-TOP21, Floating Rate Note, 10/12/52 1,960,000 $1,995,273
Morgan Stanley Capital I Trust 2006-TOP23, Floating Rate Note, 8/12/41 2,450,000 $2,317,201
Morgan Stanley Mortgage Loan Trust 2005-5AR, Floating Rate Note, 9/25/35 38,687,000 $2,973,038
Morgan Stanley Mortgage Loan Trust 2005-6AR, Floating Rate Note, 11/25/35 6,309,000 $620,761
Morgan Stanley Mortgage Loan Trust 2005-6AR, Floating Rate Note, 11/25/35 14,045,000 $1,973,828
Morgan Stanley Re-REMIC Trust 2010-R4, Floating Rate Note, 7/26/36 (144A) 3,700,000 $40,344
Morgan Stanley Structured Trust, Floating Rate Note, 6/25/37 2,400,000 $242,261
MortgageIT Trust 2004-1, Floating Rate Note, 11/25/34 15,162,000 $1,952,134
MortgageIT Trust 2004-2, Floating Rate Note, 12/25/34 41,395,000 $6,111,001
MortgageIT Trust 2005-2, Floating Rate Note, 5/25/35 8,495,000 $1,556,501
Motor 2013-1 Plc, Floating Rate Note, 2/25/21 (144A) 2,946,000 $393,138
MOTOR 2015-1 Plc, Floating Rate Note, 6/27/22 (144A) 2,600,000 $2,604,363
Mpg Holdco I Inc 1st Lien Tl-B L + 3.5% 13oct21 1,549,174 $1,558,989
MRFC Mortgage Pass-Through Trust Series 1999-TBC2 REMICS, Floating Rate Note, 6/15/30 34,427,303 $1,882,330
MRFC Mortgage Pass-Through Trust Series 2000-TBC3, Floating Rate Note, 12/15/30 24,150,000 $1,141,511
MUFG Americas Holdings Corp., Floating Rate Note, 2/9/18 2,425,000 $2,431,127
MUFG Union Bank NA, Floating Rate Note, 9/26/16 6,200,000 $6,233,217
MultiCat Mexico, Ltd. 2012-I Class A, Floating Rate Note, 6/4/16 (Cat Bond) (144A) 1,750,000 $1,784,927
Multi Packaging Solutions, Inc., Initial Dollar Tranche B Term, 9/30/20 173,250 $172,673
Mythen Re, Ltd., Floating Rate Note, 5/7/15 (Cat Bond) (144A) 6,250,000 $6,339,636
Mythen Re, Ltd., Floating Rate Note, 5/7/15 (Cat Bond) (144A) 4,250,000 $4,315,663
Mythen Re, Ltd. Series 2012-2 Class A, Floating Rate Note, 1/5/17 (Cat Bond) (144A) 2,250,000 $2,409,148
Mythen Re, Ltd. Series 2012-2 Class A, Floating Rate Note, 11/10/16 (Cat Bond) (144A) 500,000 $535,849
Mythen Re, Ltd. Series 2013-1 Class B, Floating Rate Note, 7/9/15 (Cat Bond) (144A) 2,500,000 $2,580,306
National Australia Bank, Ltd., Floating Rate Note, 3/17/17 (144A) 1,950,000 $1,954,504
National City Bank Cleveland Ohio, Floating Rate Note, 12/15/16 2,850,000 $2,840,381
National Rural Utilities Cooperative Finance Corp., Floating Rate Note, 11/23/16 1,800,000 $1,802,680
National Rural Utilities Cooperative Finance Corp., Floating Rate Note, 5/1/15 2,720,000 $2,721,946
Nations Equipment Finance Funding II LLC, 1.558%, 7/20/18 (144A) 2,100,000 $1,386,626
Nationstar Home Equity Loan Trust 2007-A, Floating Rate Note, 3/25/37 1,000,000 $533,621
Navios Maritime Partners LP, Term Loan, 6/27/18 1,409,476 $1,421,808
Navitas Equipment Receivables LLC 2013-1, 1.95%, 11/15/16 1,750,000 $656,001
NBCUniversal Enterprise, Inc., Floating Rate Note, 4/15/16 (144A) 2,694,000 $2,706,447
NBCUniversal Enterprise, Inc., Floating Rate Note, 4/15/18 (144A) 1,300,000 $1,312,126
NBTY, Inc., Term B-2 Loan, 10/1/17 400,000 $395,375
NCF Dealer Floorplan Master Trust, Floating Rate Note, 10/20/20 (144A) 3,000,000 $3,001,673
Ncl Corp Ltd 1st Lien Tl-B L + 3.25% 06nov21 997,500 $1,007,774
NCUA Guaranteed Notes Trust, Floating Rate Note, 10/7/20 2,040,000 $940,114
NCUA Guaranteed Notes Trust, Floating Rate Note, 11/6/17 6,590,000 $2,384,505
NCUA Guaranteed Notes Trust, Floating Rate Note, 12/8/20 410,000 $277,147
NCUA Guaranteed Notes Trust, Floating Rate Note, 3/11/20 2,035,000 $983,973
NCUA Guaranteed Notes Trust, Floating Rate Note, 4/6/20 5,835,000 $1,149,301
NCUA Guaranteed Notes Trust REMICS, Floating Rate Note, 12/8/20 1,330,000 $891,909
NCUA Guaranteed Notes Trust REMICS, Floating Rate Note, 3/2/21 2,700,000 $1,170,999
Nelnet Student Loan Trust 2005-1, Floating Rate Note, 10/26/20 1,795,000 $397,016
NEP, Amendment No. 3 Incremental Term Loan (First Lien), 1/22/20 612,574 $598,025
New Albertsons Inc 1st Lien Tl L + 3.75% 24jun21 497,500 $499,366
New Century Home Equity Loan Trust 2005-1, Floating Rate Note, 3/25/35 5,042,000 $803,202
NewStar Commercial Loan Trust 2007-1, Floating Rate Note, 9/30/22 (144A) 2,000,000 $788,147
New York Life Global Funding, 0.75%, 7/24/15 (144A) 3,550,000 $3,559,158
New York Life Global Funding, Floating Rate Note, 12/15/17 (144A) 6,650,000 $6,647,897
New York Life Global Funding, Floating Rate Note, 5/23/16 (144A) 3,150,000 $3,162,470
Nissan Auto Lease Trust 2013-B, Floating Rate Note, 1/15/16 760,000 $242,248
Nissan Auto Receivables 2012-A Owner Trust, 0.73%, 5/16/16 55,000 $5,788
Nissan Auto Receivables 2013-A Owner Trust, 0.5%, 5/15/17 3,400,000 $1,804,369
Nissan Auto Receivables 2013-C Owner Trust, 0.4%, 6/15/16 2,075,000 $435,264
Nissan Master Owner Trust Receivables, Floating Rate Note, 5/15/17 3,395,000 $3,396,906
Nissan Motor Acceptance Corp., Floating Rate Note, 3/3/17 (144A) 2,000,000 $2,006,962
Nissan Motor Acceptance Corp., Floating Rate Note, 9/26/16 (144A) 1,500,000 $1,508,885
Nn Inc 1st Lien Tl-B L + 5% 18jul21 1,216,518 $1,221,840
Nomura Asset Acceptance Corp Alternative Loan Trust Series 2004-AR4, Floating Rate Note, 12/25/34 1,170,000 $116,481
Nomura Asset Acceptance Corp Alternative Loan Trust Series 2005-WF1, 4.786%, 3/25/35 735,000 $40,390
Nomura Home Equity Loan Inc Home Equity Loan Trust Series 2006-HE1, Floating Rate Note, 2/25/36 1,700,000 $98,352
Noranda Aluminum Acquisition Corp., Term B Loan, 2/28/19 116,400 $108,834
Nordea Bank AB, 0.875%, 5/13/16 (144A) 2,650,000 $2,664,136
Nordea Bank AB, Floating Rate Note, 4/4/17 (144A) 2,175,000 $2,180,280
Nordea Bank AB, Floating Rate Note, 5/13/16 (144A) 2,700,000 $2,710,861
Nordea Bank Finland Plc New York, Floating Rate Note, 6/13/16 2,225,000 $2,225,787
Northshore Re, Ltd., Floating Rate Note, 7/5/16 (Cat Bond) (144A) 2,250,000 $2,352,431
NorthStar 2013-1, Floating Rate Note, 8/27/29 (144A) 2,784,000 $2,032,141
NovaStar Mortgage Funding Trust Series 2003-1, Floating Rate Note, 5/25/33 19,881,000 $405,216
NovaStar Mortgage Funding Trust Series 2004-4, Floating Rate Note, 3/25/35 2,443,000 $2,401,930
NovaStar Mortgage Funding Trust Series 2004-4, Floating Rate Note, 3/25/35 1,150,000 $344,803
NPC International, Inc., Term Loan, 12/28/18 155,200 $153,066
NRG Energy, Inc., 8.25%, 9/1/20 1,250,000 $1,332,031
NRG Energy, Inc., Term Loan (2013), 7/1/18 1,167,488 $1,163,678
NSG Holdings LLC, New Term Loan, 12/11/19 1,545,425 $1,543,494
NSTAR Electric Co., Floating Rate Note, 5/17/16 1,013,000 $1,012,585
Numericable Sfr 1st Lien Tl-B2 L + 3.75% 23apr20 231,343 $232,326
Numericable Us Llc 1st Lien Tl-B1 L + 3.75% 23apr20 267,407 $268,543
NYCTL 2014-A Trust, 1.03%, 11/10/27 (144A) 1,800,000 $895,003
Oak Hill Advisors Residential Loan Trust 2014-NPL1, 2.8828%, 5/25/54 (Step) (144A) 1,810,000 $1,173,769
OAK Hill Advisors Residential Loan Trust 2014-NPL2, 3.475%, 4/25/54 (Step) (144A) 3,490,000 $3,351,153
Ocwen Loan Servicing LLC, Initial Term Loan, 2/15/18 1,377,342 $1,344,344
Offshore Group Investment, Ltd., Second Term Loan, 3/28/19 158,380 $90,672
On Assignment, Inc., Initial Term B Loan, 5/15/20 1,037,113 $1,037,545
Opteum Mortgage Acceptance Corp Trust 2005-4, Floating Rate Note, 11/25/35 25,178,000 $4,482,930
Option One Mortgage Loan Trust 2005-1, Floating Rate Note, 2/25/35 10,220,000 $2,799,091
Option One Mortgage Loan Trust 2005-4 Asset-Backed Certificates Series 2005-4, Floating Rate Note, 1 20,500,508 $1,458,174
Option One Mortgage Loan Trust 2007-FXD2, 5.9%, 3/25/37 (Step) 810,000 $38,406
Option One Woodbridge Loan Trust 2002-1, Floating Rate Note, 3/25/32 (144A) 6,512,459 $993,286
Oracle Corp., Floating Rate Note, 7/7/17 1,937,000 $1,941,216
Orbital ATK, Inc., Term B Loan, 10/22/20 394,504 $395,408
ORES 2014-LV3 LLC, 3.0%, 3/27/24 (144A) 2,250,000 $1,244,588
ORES NPL 2013-LV2 LLC, 3.081%, 9/25/25 (144A) 1,558,000 $527,652
Origen Manufactured Housing Contract Trust 2004-B, Floating Rate Note, 11/15/35 1,240,000 $984,223
Oscar US Funding Trust 2014-1, 1.0%, 8/15/17 (144A) 2,500,000 $2,499,386
Oscar US Funding Trust II, Floating Rate Note, 2/15/18 (144A) 1,600,000 $1,600,233
Outfront Media Capital LLC, Term Loan, 1/15/21 1,629,423 $1,622,905
Ownit Mortgage Loan Trust Series 2005-5, Floating Rate Note, 10/25/36 3,827,500 $596,832
PACCAR Financial Corp., Floating Rate Note, 5/5/15 2,000,000 $2,000,767
PACCAR Financial Corp., Floating Rate Note, 6/6/17 1,290,000 $1,290,296
Pangaea Zero% 01jul18 2,300,000 $2,507,460
Paragon Offshore Finance Co Tl-B L + 2.75% 11jul21 870,625 $592,129
Park Place Securities Inc Asset-Backed Pass-Through Certificates Series 2004-MCW, Floating Rate Note 1,150,000 $396,991
Park Place Securities Inc Asset-Backed Pass-Through Certificates Series 2004-WCW, Floating Rate Note 2,800,000 $1,205,614
Park Place Securities Inc Asset-Backed Pass-Through Ctfs Ser 2004-WHQ2, Floating Rate Note, 1/25/35 3,100,000 $1,585,879
Park Place Securities Inc Asset-Backed Pass-Through Ctfs Ser 2005-WHQ4, Floating Rate Note, 9/25/35 6,230,000 $274,656
Park Place Securities Inc Asset-Backed Pass-Through Ctfs Ser 2005-WHQ4, Floating Rate Note, 9/25/35 8,206,169 $2,190,809
Par Pharmaceutical Companies, Inc., Term B-2 Loan, 9/28/19 1,466,124 $1,466,124
Par Pharmaceutical Cos Inc 1st Lien Tl-B3 L + 3.25% 28sep19 498,750 $500,932
Pelican Re, Ltd., Floating Rate Note, 4/13/15 (Cat Bond) (144A) 2,250,000 $2,274,266
Pepper Residential Securities Trust, Floating Rate Note, 4/10/15 (144A) 2,000,000 $2,000,563
Pepper Residential Securities Trust, Floating Rate Note, 7/24/15 (144A) 2,000,000 $2,000,281
PepsiCo, Inc., Floating Rate Note, 2/26/16 3,460,000 $3,465,453
Permanent Master Issuer Plc, Floating Rate Note, 7/15/42 (144A) 887,000 $891,973
PF Chang's China Bistro, Inc., Term Borrowing, 7/2/19 834,931 $816,667
Pfizer, Inc., Floating Rate Note, 5/15/17 2,100,000 $2,100,897
PFS Financing Corp., Floating Rate Note, 10/15/19 (144A) 1,700,000 $1,699,577
PFS Financing Corp., Floating Rate Note, 10/15/19 (144A) 1,400,000 $1,399,804
PFS Financing Corp., Floating Rate Note, 2/15/18 (144A) 3,240,000 $3,241,079
PFS Financing Corp., Floating Rate Note, 2/15/19 (144A) 3,490,000 $3,481,558
PFS Tax Lien Trust 2014-1, 1.44%, 5/15/29 1,300,000 $949,809
PHARMEDIUM HEALTHCARE Corp., Initial Term Loan (First Lien), 1/23/21 255,975 $254,802
Pilot Travel Centers Llc 1st Lien Tl-B L + 3.25% 01oct21 74,541 $75,287
Pinnacle Entertainment, Inc., Tranche B-2 Term Loan, 8/13/20 181,125 $181,370
Pinnacle Foods Finance LLC, New Term Loan G, 4/29/20 1,158,833 $1,155,833
PNC Bank NA, Floating Rate Note, 1/28/16 2,250,000 $2,254,779
PNC Bank NA, Floating Rate Note, 4/29/16 3,268,000 $3,270,889
Post Holdings Inc 1st Lien Tl-B L + 3% 23may21 995,000 $998,938
PQ Corp., 2014 Term Loan, 8/7/17 928,625 $926,409
Prestige Auto Receivables Trust 2013-1, 1.33%, 5/15/19 (144A) 350,000 $351,036
Prestige Auto Receivables Trust 2014-1, 0.97%, 3/15/18 (144A) 2,395,000 $1,511,939
Prestige Brands, Inc., Term B-1 Loan, 1/31/19 416,283 $417,974
Prestige Brands, Inc., Term B-2 Loan, 8/18/21 550,000 $552,888
Pricoa Global Funding I, Floating Rate Note, 5/16/16 (144A) 1,500,000 $1,500,472
Pricoa Global Funding I, Floating Rate Note, 6/24/16 (144A) 3,255,000 $3,255,817
Principal Life Global Funding II, 1.0%, 12/11/15 (144A) 1,270,000 $1,278,195
Principal Life Global Funding II, Floating Rate Note, 5/27/16 (144A) 2,530,000 $2,536,918
Progreso Receivables Funding III LLC, 3.625%, 1/30/25 (144A) 3,050,000 $3,057,064
Progreso Receivables Funding II LLC, 3.5%, 7/8/19 (144A) 4,750,000 $4,763,590
Progreso Receivables Funding I LLC, 4.0%, 7/9/18 (144A) 2,800,000 $2,824,656
Progressive Waste Solutions, Ltd., Term B Loan, 10/24/19 1,167,106 $1,172,941
Progress Residential 2015-SFR1 Trust, Floating Rate Note, 2/20/32 (144A) 3,000,000 $3,033,344
Prudential Financial, Inc., 3.0%, 5/12/16 2,500,000 $2,585,491
PVH Corp., Tranche B Term Loan, 2/13/20 1,112,487 $1,119,517
Quebecor Media, Inc., Facility B-1 Tranche, 8/17/20 496,222 $490,794
Queen City Re, Floating Rate Note, 1/6/19 (Cat Bond) (144A) 1,750,000 $1,738,834
Queen Street IV Capital, Ltd., Floating Rate Note, 4/9/15 (Cat Bond) (144A) 2,250,000 $2,291,250
Queen Street VII Re, Ltd., Floating Rate Note, 4/8/16 (Cat Bond) (144A) 1,750,000 $1,801,392
Queen Street VI Re, Ltd., Floating Rate Note, 4/9/15 (Cat Bond) (144A) 250,000 $263,081
Queen Street V Re, Ltd., Floating Rate Note, 4/9/15 (Cat Bond) (144A) 1,750,000 $1,787,119
Queen Street X RE, Ltd., Floating Rate Note, 6/8/18 (Cat Bond) (144A) 1,000,000 $1,002,100
Quest Trust REMICS, Floating Rate Note, 3/25/34 (144A) 95,089,092 $3,434,633
Quikrete Holdings, Inc., Initial Loan (First Lien), 9/26/20 852,173 $852,705
RAAC Series 2005-RP1 Trust, Floating Rate Note, 7/25/37 (144A) 2,130,580 $1,041,129
RAAC Series 2005-RP2 Trust, Floating Rate Note, 6/25/35 (144A) 4,005,000 $436,953
RAAC Series 2005-RP3 Trust, Floating Rate Note, 5/25/39 (144A) 2,000,000 $1,293,196
RAAC Series 2006-RP1 Trust, Floating Rate Note, 10/25/45 (144A) 15,300,000 $332,477
RAAC Series 2006-RP2 Trust, Floating Rate Note, 2/25/37 (144A) 26,822,396 $2,286,639
RAIT 2014-FL2 Trust, Floating Rate Note, 5/15/31 (144A) 5,200,000 $5,146,450
RAIT 2014-FL3 Trust, Floating Rate Note, 12/15/31 (144A) 3,540,000 $3,493,650
RALI Series 2002-QS16 Trust, Floating Rate Note, 10/25/17 5,500,000 $77,031
RALI Series 2003-QS10 Trust, Floating Rate Note, 5/25/33 38,865,000 $708,364
RALI Series 2003-QS11 Trust, Floating Rate Note, 6/25/33 44,273,266 $1,905,831
RALI Series 2003-QS22 Trust, Floating Rate Note, 12/26/33 8,400,000 $838,949
RALI Series 2003-QS5 Trust, Floating Rate Note, 3/25/18 30,000,000 $830,789
RALI Series 2003-QS9 Trust, Floating Rate Note, 5/25/18 34,469,500 $1,144,612
RALI Series 2004-QR1 Trust, 5.25%, 10/25/34 66,901,390 $637,614
RALI Series 2004-QS1 Trust, Floating Rate Note, 1/25/34 4,000,000 $2,473
RALI Series 2004-QS5 Trust, 4.75%, 4/25/34 12,155,000 $564,003
RALI Series 2004-QS5 Trust, Floating Rate Note, 4/25/34 9,566,021 $441,824
RALI Series 2005-QA1 Trust, Floating Rate Note, 1/25/35 32,767,000 $3,198,342
RAMP Series 2004-RS11 Trust, Floating Rate Note, 11/25/34 3,805,000 $967,514
RAMP Series 2004-RZ1 Trust, Floating Rate Note, 3/25/34 20,100,000 $1,592,547
RAMP Series 2005-EFC4 Trust, Floating Rate Note, 9/25/35 1,060,000 $281,215
RAMP Series 2005-RS6 Trust, Floating Rate Note, 6/25/35 1,393,325 $620,208
RAMP Series 2005-RZ4 Trust, Floating Rate Note, 11/25/35 5,095,050 $3,792,157
RAMP Series 2006-NC1 Trust, Floating Rate Note, 12/25/35 6,100,000 $290,485
RAMP Series 2006-RZ3 Trust, Floating Rate Note, 10/25/35 10,534,000 $2,129,450
RASC Series 2004-KS10 Trust, Floating Rate Note, 11/25/34 82,085,000 $2,264,834
RASC Series 2005-EMX2 Trust, Floating Rate Note, 7/25/35 157,752 $6,740
RASC Series 2005-KS3 Trust, Floating Rate Note, 4/25/35 829,000 $174,917
RASC Series 2005-KS5 Trust, Floating Rate Note, 6/25/35 1,500,000 $602,977
Raymond James Financial, Inc., 4.25%, 4/15/16 7,409,000 $7,838,279
RBSSP Resecuritization Trust 2009-5, Floating Rate Note, 8/25/37 (144A) 7,810,000 $2,386,716
Regatta Funding, Ltd., Floating Rate Note, 6/15/20 (144A) 2,000,000 $668,469
RegionalCare Hospital Partners, Inc., Term Loan (First Lien), 4/21/19 491,294 $493,750
RENT-A-CENTER, INC, Term Loan (2014), 2/6/21 1,732,500 $1,697,850
Residential Asset Securitization Trust 2003-A15, Floating Rate Note, 2/25/34 10,120,000 $564,101
Residential Asset Securitization Trust 2003-A2, Floating Rate Note, 5/25/33 9,443,647 $347,866
Residential Reinsurance 2011, Ltd., Floating Rate Note, 12/6/16 (Cat Bond) (144A) 1,450,000 $1,475,403
Residential Reinsurance 2011, Ltd., Floating Rate Note, 6/6/15 (Cat Bond) (144A) 1,750,000 $1,781,325
Residential Reinsurance 2011, Ltd., Floating Rate Note, 6/6/17 (Cat Bond) (144A) 1,500,000 $1,527,342
Residential Reinsurance 2012, Ltd., Floating Rate Note, 12/6/16 (Cat Bond) (144A) 2,900,000 $2,970,325
Residential Reinsurance 2012, Ltd., Floating Rate Note, 12/6/16 (Cat Bond) (144A) 1,000,000 $1,077,308
Residential Reinsurance 2012, Ltd., Floating Rate Note, 12/6/16 (Cat Bond) (144A) 1,500,000 $1,546,129
Residential Reinsurance 2012, Ltd., Floating Rate Note, 6/6/16 (Cat Bond) (144A) 750,000 $795,358
Residential Reinsurance 2012, Ltd., Floating Rate Note, 6/6/16 (Cat Bond) (144A) 900,000 $964,730
Residential Reinsurance 2013, Ltd., Floating Rate Note, 6/6/17 (Cat Bond) (144A) 850,000 $899,708
Residential Reinsurance 2014, Ltd., Floating Rate Note, 6/6/18 (Cat Bond) (144A) 750,000 $757,221
RESI Finance LP 2003-CB1, Floating Rate Note, 7/9/35 7,815,000 $1,918,564
Resi Flt% 12dec45 A1 3,000,000 $2,541,132
Resource Capital Corp 2014-CRE2, Ltd., Floating Rate Note, 4/15/32 (144A) 4,920,000 $4,893,914
Resource Capital Corp CRE Notes 2013, Ltd., Floating Rate Note, 6/15/16 (144A) 3,000,000 $3,005,865
Revlon Consumer Products Corp., Acquisition Term Loan, 8/19/19 363,653 $364,051
Revlon Consumer Products Corp., Replacement Term Loan, 11/19/17 958,583 $957,534
Reynolds Group Holdings, Inc., Incremental U.S. Term Loan, 12/31/18 765,417 $769,723
RFSC Series 2003-RP2 Trust, Floating Rate Note, 7/25/41 (144A) 2,000,000 $381,012
Rialto Capital Management LLC, 2.85%, 5/15/24 (144A) 2,000,000 $515,291
Rio Tinto Finance USA Plc, Floating Rate Note, 6/17/16 1,130,000 $1,133,067
Riverfront Re, Ltd., Floating Rate Note, 1/6/17 (Cat Bond) (144A) 1,000,000 $1,004,611
Rovi Solutions Corp 1st Lien Tl-B L + 3% 02jul21 1,018,334 $1,015,788
Royal Bank of Canada, 0.8%, 10/30/15 1,300,000 $1,307,302
Royal Bank of Canada, Floating Rate Note, 1/23/17 1,875,000 $1,880,737
Royal Bank of Canada, Floating Rate Note, 10/13/17 2,500,000 $2,502,132
Royal Bank of Canada, Floating Rate Note, 12/16/15 1,800,000 $1,802,644
Royal Bank of Canada, Floating Rate Note, 6/16/17 2,200,000 $2,196,955
Royal Bank of Canada, Floating Rate Note, 9/9/16 2,000,000 $2,007,971
RPI Finance Trust, Term B-2 Term Loan, 5/9/18 1,009,543 $1,013,329
RPI Finance Trust, Term B-3 Term Loan, 11/9/18 620,776 $622,871
Salix Pharmaceuticals, Ltd., Term Loan, 12/17/19 421,875 $422,323
Salomon Brothers Mortgage Securities VII, Inc., Floating Rate Note, 3/25/28 49,537,000 $64,120
Salomon Mortgage Loan Trust Series 2001-CB4, Floating Rate Note, 11/25/33 4,754,000 $117,064
Sanders Re, Ltd., Floating Rate Note, 5/25/18 (Cat Bond) (144A) 1,000,000 $990,500
Sanders Re, Ltd., Floating Rate Note, 5/5/17 (Cat Bond) (144A) 1,250,000 $1,251,375
Sanders Re, Ltd., Floating Rate Note, 5/5/17 (Cat Bond) (144A) 2,500,000 $2,502,875
Sanders Re, Ltd., Floating Rate Note, 6/7/17 (Cat Bond) (144A) 2,000,000 $2,007,100
San Diego Gas & Electric Co., Floating Rate Note, 3/9/17 2,500,000 $2,498,210
SASCO Mortgage Loan Trust 2005-GEL1, Floating Rate Note, 12/25/34 1,590,000 $1,033,309
SASCO Mortgage Loan Trust 2005-GEL2, Floating Rate Note, 4/25/35 28,476,673 $369,605
Saxon Asset Securities Trust 2005-3, Floating Rate Note, 11/25/35 1,945,000 $1,733,314
Saxon Asset Securities Trust 2005-4, Floating Rate Note, 11/25/37 31,986,000 $1,305,137
SBA Senior Finance II LLC, Incremental Tranche B-1 Term Loan, 3/31/21 595,500 $593,214
Schaeffler (Aka Ina Beteiligungsge 1st Lien Tl-B L + 3.5% 15may20 1,683,943 $1,697,888
Scientific Games International Inc 1st Lien Tl-B2 L + 5% 17sep21 1,995,000 $2,002,204
Seadrill Operating LP, Initial Term Loan, 2/14/21 2,715,625 $2,164,983
Sector Re V, Ltd., 0.0%, 12/1/19 (Cat Bond) (144A) 500,000 $512,150
Select Medical Corp., Series E Tranche B Term Loan, 6/1/18 227,883 $228,168
Selene Non-Performing Loans LLC, 2.9814%, 5/25/54 (Step) (144A) 3,530,000 $3,271,070
Seminole Hard Rock Entertainment, Inc., New Term Loan B, 5/14/20 589,500 $587,658
Sensata Technologies BV, Term Loan, 5/12/18 443,148 $445,087
Sensata Technologies Bv 1st Lien Tl-B2 L + 2.75% 08oct21 1,492,500 $1,503,134
Sequoia Mortgage Trust 10, Floating Rate Note, 10/20/27 6,100,000 $109,486
Sequoia Mortgage Trust 2003-2, Floating Rate Note, 6/20/33 13,097,000 $459,039
Sequoia Mortgage Trust 2003-5, Floating Rate Note, 9/20/33 52,500,000 $2,205,417
Sequoia Mortgage Trust 2003-8, Floating Rate Note, 1/20/34 5,750,000 $260,888
Sequoia Mortgage Trust 2004-10, Floating Rate Note, 11/20/34 5,055,000 $506,672
Sequoia Mortgage Trust 2004-12 REMICS, Floating Rate Note, 1/20/35 2,000,000 $136,218
Sequoia Mortgage Trust 2004-7, Floating Rate Note, 8/20/34 8,500,000 $361,201
Sequoia Mortgage Trust 2005-1, Floating Rate Note, 2/20/35 31,769,748 $2,908,645
Sequoia Mortgage Trust 2005-1, Floating Rate Note, 2/20/35 10,468,000 $944,597
Sequoia Mortgage Trust 2005-2, Floating Rate Note, 3/20/35 5,275,000 $477,435
Sequoia Mortgage Trust 4, Floating Rate Note, 11/22/24 46,940,000 $1,168,004
Serta Simmons Holdings LLC, Term Loan, 10/1/19 330,711 $331,795
Shell International Finance BV, Floating Rate Note, 11/15/16 1,500,000 $1,503,667
Ship Midco, Ltd., Facility B2A-II, 11/29/19 78,745 $79,254
Silver Bay Realty 2014-1 Trust, Floating Rate Note, 9/18/31 (144A) 3,778,000 $3,789,622
Sinclair Broadcasting 1st Lien Tl-B1 L + 2.75% 22jul21 1,000,000 $1,001,375
Sinclair Television Group, Inc., New Tranche B Term Loan, 4/19/20 1,331,562 $1,324,688
Sirius International Group, Ltd., Floating Rate Note (Perpetual) (144A) 0 $21,820
Six Flags Theme Parks, Inc., Tranche B Term Loan, 12/20/18 727,904 $732,149
Skandinaviska Enskilda Banken AB New York NY, Floating Rate Note, 9/21/15 2,500,000 $2,502,358
Small Business Administration Participation Certificates, 0.58%, 10/17/16 (144A) 900,000 $858,440
SMART ABS Series 2015-1US Trust, Floating Rate Note, 8/14/17 2,250,000 $2,250,459
SMART Trust/Australia, 1.59%, 10/14/16 (144A) 1,550,000 $511,956
SMART Trust/Australia, Floating Rate Note, 1/17/17 2,500,000 $1,782,288
SMART Trust/Australia, Floating Rate Note, 8/15/16 2,500,000 $1,358,027
SMART Trust/Australia, Floating Rate Note, 9/14/16 1,785,000 $880,750
SNAAC Auto Receivables Trust, 4.38%, 6/15/17 (144A) 1,800,000 $650,848
SNAAC Auto Receivables Trust 2013-1, 1.14%, 7/16/18 (144A) 1,823,000 $38,436
SNAAC Auto Receivables Trust 2014-1, 1.03%, 9/17/18 (144A) 839,000 $368,210
Soundview Home Loan Trust 2005-DO1, Floating Rate Note, 5/25/35 2,000,000 $1,811,394
Soundview Home Loan Trust 2005-OPT4, Floating Rate Note, 12/25/35 2,967,970 $726,866
Southwire Co., Initial Term Loan, 1/31/21 1,067,311 $1,057,305
Specialty Underwriting & Residential Finance Trust Series 2005-AB2, Floating Rate Note, 6/25/36 1,500,000 $466,522
Specialty Underwriting & Residential Finance Trust Series 2005-AB2, Floating Rate Note, 6/25/36 18,964,000 $768,664
Specialty Underwriting & Residential Finance Trust Series 2006-BC1, Floating Rate Note, 12/25/36 3,000,000 $326,056
Specialty Underwriting & Residential Finance Trust Series 2006-BC1, Floating Rate Note, 12/25/36 3,640,376 $3,527,450
Spectrum Brands, Inc., Tranche C Term Loan, 8/13/19 295,500 $295,980
Springleaf Funding Trust 2013-A, 2.58%, 9/15/21 (144A) 2,100,000 $1,819,836
Springleaf Mortgage Loan Trust 2012-3, Floating Rate Note, 12/26/59 (144A) 1,000,000 $419,029
Stanwich Mortgage Loan Trust, 2.9814%, 2/16/43 (144A) 3,025,000 $409,846
Starwood Property Mortgage Trust 2013-FV1, Floating Rate Note, 8/11/28 (144A) 2,495,000 $2,336,848
Starwood Property Trust, Inc., Term Loan (First Lien), 4/17/20 1,582,007 $1,569,154
State Street Bank & Trust Co., Floating Rate Note, 12/8/15 4,940,000 $4,938,113
State Street Corp., 2.875%, 3/7/16 3,750,000 $3,835,480
Statoil ASA, Floating Rate Note, 11/9/17 2,140,000 $2,134,145
Steward Health Care System LLC, Term Loan, 4/10/20 982,500 $980,953
Structured Adjustable Rate Mortgage Loan Trust, Floating Rate Note, 11/25/34 5,495,000 $523,536
Structured Adjustable Rate Mortgage Loan Trust, Floating Rate Note, 11/25/34 62,595,000 $2,997,234
Structured Adjustable Rate Mortgage Loan Trust, Floating Rate Note, 3/25/34 8,200,000 $430,550
Structured Adjustable Rate Mortgage Loan Trust, Floating Rate Note, 3/25/34 3,865,000 $553,815
Structured Adjustable Rate Mortgage Loan Trust, Floating Rate Note, 6/25/34 20,600,000 $2,249,258
Structured Adjustable Rate Mortgage Loan Trust, Floating Rate Note, 6/25/35 3,880,000 $37,361
Structured Asset Investment Loan Trust 2005-6, Floating Rate Note, 7/25/35 2,600,000 $2,131,855
Structured Asset Investment Loan Trust 2006-1, Floating Rate Note, 1/25/36 4,650,000 $988,967
Structured Asset Mortgage Investments II Trust 2004-AR1, Floating Rate Note, 3/19/34 16,800,000 $782,068
Structured Asset Mortgage Investments II Trust 2004-AR8, Floating Rate Note, 5/19/35 83,350,000 $4,130,045
Structured Asset Mortgage Investments Trust 2002-AR5, Floating Rate Note, 5/19/33 36,301,000 $1,753,548
Structured Asset Sec Corp Mort Pass Thr Certs Series 1998-8, Floating Rate Note, 8/25/28 8,825,000 $364,597
Structured Asset Securities Corp Mor Cer Ser 2003-31A, Floating Rate Note, 10/25/33 1,991,000 $207,250
Structured Asset Securities Corp Mortgage Loan Trust 2005-S7, Floating Rate Note, 12/25/35 (144A) 11,868,000 $1,454,792
Structured Asset Securities Corp Mortgage Loan Trust 2006-EQ1, Floating Rate Note, 7/25/36 5,000,000 $2,606,275
Structured Asset Securities Corp Mortgage Loan Trust 2006-GEL4, Floating Rate Note, 10/25/36 (144A) 5,557,000 $1,751,656
Structured Asset Securities Corp Mortgage Loan Trust 2007-BC3, Floating Rate Note, 6/25/37 3,500,000 $39,433
Structured Asset Securities Corp Mortgage Loan Trust 2007-TC1, Floating Rate Note, 4/25/31 (144A) 3,000,000 $976,143
Structured Asset Securities Corp Mortgage Pass-Through Certificates Ser 2004-S4, Floating Rate Note, 2,000,000 $236,534
Structured Asset Securities Corp Mortgage Pass-Through Ctfs Ser 2003-24A, Floating Rate Note, 7/25/3 8,050,000 $946,209
Structured Asset Securities Corp Mortgage Pass Through Ctfs Series 2003-35, Floating Rate Note, 12/2 2,500,000 $137,681
Structured Asset Securities Corp Trust 2005-14, Floating Rate Note, 7/25/35 3,899,641 $359,498
Sumitomo Mitsui Banking Corp., Floating Rate Note, 7/19/16 1,500,000 $1,508,266
Sumitomo Mitsui Banking Corp. New York, Floating Rate Note, 5/2/17 1,715,000 $1,715,966
Sumitomo Mitsui Trust Bank, Ltd., Floating Rate Note, 9/16/16 (144A) 1,500,000 $1,508,124
Sunset Mortgage Loan Co 2014-NPL2 LLC, 3.721%, 11/16/44 (Step) (144A) 3,070,000 $2,700,321
SunTrust Bank, Floating Rate Note, 2/15/17 3,645,000 $3,644,078
Svenska Handelsbanken AB, Floating Rate Note, 3/21/16 3,625,000 $3,639,212
Svenska Handelsbanken AB, Floating Rate Note, 9/23/16 3,650,000 $3,666,416
Svenska Handelsbanken New York NY, Floating Rate Note, 8/17/16 2,500,000 $2,500,950
SWAY Residential 2014-1 Trust, Floating Rate Note, 1/20/32 (144A) 2,900,000 $2,872,583
Swift Transportation Co LLC, Tranche B Loan, 6/9/21 339,006 $340,489
Synchrony Credit Card Master Note Trust, 1.51%, 6/15/18 849,000 $850,594
Synchrony Credit Card Master Note Trust, Floating Rate Note, 6/15/18 3,600,000 $3,600,745
Syncreon Group BV, Term Loan, 9/26/20 198,000 $190,575
Syniverse Holdings, Inc., Tranche B Term Loan, 4/23/19 727,141 $689,572
TAL Advantage I LLC, Floating Rate Note, 4/20/21 (144A) 1,250,000 $134,603
TAL Advantage V LLC, 1.7%, 5/20/39 (144A) 1,400,000 $1,095,523
Tar Heel Re, Ltd., Floating Rate Note, 5/9/16 (Cat Bond) (144A) 1,500,000 $1,545,650
Telesat Canada, U.S. Term B-2 Loan, 3/28/19 658,744 $658,327
Tempur Sealy International, Inc., New Term B Loan, 3/18/20 417,922 $418,880
Terex Corp., U.S. Term Loan, 8/13/21 308,009 $308,971
Terra-Gen Power Llc 1st Lien Tl-B L + 4.25% 31dec21 1,350,000 $1,358,438
Terwin Mortgage Trust Series TMTS 2003-8HE, Floating Rate Note, 12/25/34 23,713,000 $719,201
Terwin Mortgage Trust Series TMTS 2005-10HE, Floating Rate Note, 6/25/36 4,868,753 $3,304,930
Tesoro Corp., Initial Term Loan, 5/30/16 795,000 $797,465
Texas Competitive Electric Holdings Co LLC, DIP Delayed Draw Term Loan (2014), 5/5/16 1,595,935 $1,606,109
The Bank of New York Mellon Corp., 0.7%, 3/4/16 2,000,000 $2,004,214
The Bank of New York Mellon Corp., 2.5%, 1/15/16 835,000 $852,228
The Bank of New York Mellon Corp., 2.95%, 6/18/15 2,400,000 $2,433,452
The Bank of New York Mellon Corp., Floating Rate Note, 10/23/15 3,533,000 $3,539,794
The Bank of New York Mellon Corp., Floating Rate Note, 3/4/16 3,275,000 $3,281,251
The Bank of Nova Scotia, Floating Rate Note, 12/13/16 1,800,000 $1,806,885
The Bank of Nova Scotia, Floating Rate Note, 3/15/16 2,000,000 $2,006,822
The Bank of Nova Scotia, Floating Rate Note, 7/15/16 1,500,000 $1,509,310
The Bank of Tokyo-Mitsubishi UFJ, Ltd., Floating Rate Note, 3/10/17 (144A) 1,000,000 $999,586
The Bank of Tokyo-Mitsubishi UFJ, Ltd., Floating Rate Note, 9/8/17 (144A) 2,525,000 $2,517,254
The Bear Stearns Companies LLC, Floating Rate Note, 11/21/16 2,465,000 $2,463,757
The Charles Schwab Corp., 0.85%, 12/4/15 4,055,000 $4,075,431
The GEO Group, Inc., Term Loan, 4/3/20 984,969 $983,737
The Goldman Sachs Group, Inc., 1.6%, 11/23/15 3,422,000 $3,461,370
The Goldman Sachs Group, Inc., 3.7%, 8/1/15 2,400,000 $2,438,344
The Goldman Sachs Group, Inc., Floating Rate Note, 3/22/16 4,300,000 $4,299,624
The Goldman Sachs Group, Inc., Floating Rate Note, 7/22/15 1,300,000 $1,301,942
The Goodyear Tire & Rubber Co., Loan (Second Lien), 4/30/19 666,667 $673,437
The Hertz Corp., Tranche B-1 Term Loan, 3/11/18 733,125 $733,813
The Huntington National Bank, Floating Rate Note, 4/24/17 2,000,000 $1,999,778
The Manitowoc Co, Inc., Term B Loan, 12/18/20 71,613 $71,634
The PNC Financial Services Group, Inc., Floating Rate Note (Perpetual) 1,500,000 $1,510,282
The Procter & Gamble Co., 1.8%, 11/15/15 2,950,000 $2,996,280
The Toronto-Dominion Bank, Floating Rate Note, 5/1/15 5,695,000 $5,699,590
The Toronto-Dominion Bank, Floating Rate Note, 5/2/17 2,000,000 $2,001,035
The Toronto-Dominion Bank, Floating Rate Note, 7/8/16 1,320,000 $1,321,680
The Toronto-Dominion Bank, Floating Rate Note, 9/9/16 1,000,000 $1,004,270
Thornburg Mortgage Securities Trust 2004-4, Floating Rate Note, 12/25/44 4,235,000 $614,161
TI Group Automotive Systems LLC, Term Loan Facility, 7/1/21 633,502 $634,030
TMS International Corp., Term B Loan, 10/2/20 148,500 $146,180
TORONTO-DOMINION BANK, Floating Rate Note, 11/6/15 4,025,000 $4,031,612
Total Capital Canada, Ltd., Floating Rate Note, 1/15/16 3,355,000 $3,368,078
Tower Automotive Holdings USA LLC, Refinancing Term Loan, 4/23/20 188,956 $189,133
Toyota Auto Receivables 2013-B Owner Trust, 0.48%, 2/15/16 2,390,000 $78,374
Toyota Auto Receivables 2014-C Owner Trust, 0.51%, 2/15/17 1,770,000 $1,770,095
Toyota Motor Credit Corp., 0.75%, 3/3/17 (Step) 2,250,000 $2,251,660
Toyota Motor Credit Corp., 0.875%, 7/17/15 1,200,000 $1,204,098
Toyota Motor Credit Corp., Floating Rate Note, 5/16/17 989,000 $988,431
Toyota Motor Credit Corp., Floating Rate Note, 5/17/16 3,800,000 $3,812,147
Toyota Motor Credit Corp., Floating Rate Note, 9/18/15 2,300,000 $2,301,606
Trade MAPS 1, Ltd., Floating Rate Note, 12/10/18 (144A) 3,079,000 $3,082,596
Tradewynd Re, Ltd., Floating Rate Note, 1/8/18 (Cat Bond) (144A) 750,000 $752,750
Trafigura Securitisation Finance Plc, Floating Rate Note, 10/15/15 (144A) 1,537,000 $1,540,293
Trafigura Securitisation Finance Plc, Floating Rate Note, 10/15/15 (144A) 1,556,000 $1,558,344
Trafigura Securitisation Finance Plc. 2014-1, Floating Rate Note, 4/16/18 (144A) 1,400,000 $1,401,304
Tramline Re II, Ltd., Floating Rate Note, 1/4/19 (Cat Bond) (144A) 250,000 $261,503
TransCanada PipeLines, Ltd., Floating Rate Note, 6/30/16 3,544,000 $3,554,963
TransDigm, Inc., Tranche C Term Loan, 2/28/20 319,284 $319,259
Tribune Media Co., Initial Term Loan, 11/20/20 2,116,251 $2,120,748
Tronox Pigments BV, New Term Loan, 3/19/20 383,408 $383,959
Truman Capital Mortgage Loan Trust, Floating Rate Note, 1/25/34 925,000 $804,768
Truven Health Analytics, Inc., New Tranche B Term Loan, 6/6/19 340,427 $340,530
Tyco Electronics Group SA, Floating Rate Note, 1/29/16 2,400,000 $2,401,664
U.S. Treasury Floating Rate Note, 0.105003097%, 7/31/16 13,470,000 $13,470,668
Unifrax I LLC, New Term B Dollar Loan, 11/28/18 974,189 $973,214
United Airlines, Inc., Class B Term Loan, 4/1/19 245,000 $244,388
United Airlines Inc 1st Lien Tl-B L + 3% 07aug21 997,500 $998,123
United Auto Credit Securitization Trust 2014-1, 0.74%, 6/15/16 (144A) 3,000,000 $2,503,191
United Auto Credit Securitization Trust 2015-1, 1.68%, 9/15/17 (144A) 2,500,000 $2,500,442
United States Treasury Floating Rate Note, Floating Rate Note, 10/31/16 20,100,000 $20,094,537
United Technologies Corp., Floating Rate Note, 6/1/15 1,965,000 $1,967,974
Univision Communications, Inc., Replacement First-Lien Term Loan, 3/1/20 661,438 $661,128
Ursa Re, Ltd., Floating Rate Note, 12/7/17 (Cat Bond) (144A) 1,100,000 $1,103,369
US Bancorp, 2.45%, 7/27/15 2,620,000 $2,648,321
US Bank NA Cincinnati Ohio, Floating Rate Note, 1/26/18 2,600,000 $2,607,601
US Bank NA Cincinnati Ohio, Floating Rate Note, 1/30/17 2,025,000 $2,027,303
US Bank NA Cincinnati Ohio, Floating Rate Note, 4/22/16 2,000,000 $2,001,392
USI, Inc. New York, Initial Term Loan 2013, 12/30/19 1,085,150 $1,079,724
Valeant Pharmaceuticals International, Inc., Series C-2 Tranche B Term Loan, 12/11/19 511,676 $512,031
Valeant Pharmaceuticals International, Inc., Series D2 Term Loan B, 2/13/19 213,198 $213,346
Valeant Pharmaceuticals International, Inc., Series E1 Tranche B Term Loan, 8/5/20 1,313,724 $1,314,957
Vantiv LLC, Term B Loan, 6/12/21 955,848 $961,217
Velocity Commercial Capital Loan Trust 2014-1, Floating Rate Note, 9/25/44 (144A) 3,200,000 $2,847,406
Venture XII CLO, Ltd., Floating Rate Note, 2/28/24 (144A) 1,500,000 $997,796
Vericrest Opportunity Loan Transferee 2014-NPL4 LLC, 3.125%, 4/27/54 (Step) (144A) 6,000,000 $4,373,589
Verint Systems, Inc., Tranche B Incremental Term Loan, 9/6/19 325,732 $325,936
Verizon Communications, Inc., 0.7%, 11/2/15 3,300,000 $3,309,693
Verizon Communications, Inc., Floating Rate Note, 9/15/16 6,355,000 $6,462,821
Vers 2015-A Zero% 31dec17 2,500,000 $2,565,000
VFC 2014-2 LLC, 2.75%, 7/20/30 (144A) 3,510,000 $2,013,188
VFC 2015-3 LLC, 2.75%, 12/20/31 (144A) 2,000,000 $1,996,941
Virgin Media Investment Holdings, Ltd., B Facility, 6/8/20 1,884,855 $1,884,985
Visteon Corp Term B 1st Lien Dd L + 2.75% 08apr21 496,250 $496,173
Vita Capital V, Ltd., Floating Rate Note, 1/15/17 (Cat Bond) (144A) 1,500,000 $1,533,632
Vita Capital V, Ltd., Floating Rate Note, 1/15/17 (Cat Bond) (144A) 500,000 $513,100
Vitality Re IV, Ltd., Floating Rate Note, 1/9/17 (Cat Bond) (144A) 1,000,000 $1,026,699
Vitality Re V, Ltd., Floating Rate Note, 1/7/19 (Cat Bond) (144A) 1,800,000 $1,812,915
Vodafone Group Plc, Floating Rate Note, 2/19/16 1,150,000 $1,151,695
Volkswagen Auto Lease Trust 2013-A, 0.63%, 12/21/15 1,530,000 $2,210
Volkswagen Auto Lease Trust 2013-A, Floating Rate Note, 12/21/15 2,000,000 $2,888
Volkswagen Auto Lease Trust 2014-A, 0.52%, 10/20/16 5,790,000 $3,395,857
Volkswagen Auto Lease Trust 2014-A, Floating Rate Note, 10/20/16 1,500,000 $879,555
Volkswagen Group of America Finance LLC, Floating Rate Note, 5/23/16 (144A) 1,900,000 $1,898,615
Volkswagen International Finance NV, 1.15%, 11/20/15 (144A) 4,990,000 $5,030,892
Volkswagen International Finance NV, Floating Rate Note, 11/18/16 (144A) 1,750,000 $1,754,724
VOLT NPL X LLC, 3.375%, 10/26/54 (Step) (144A) 4,390,000 $3,807,757
VOLT XIX LLC, 3.875%, 4/26/55 (Step) 1,500,000 $1,245,914
VOLT XXXIII LLC, 3.5%, 3/25/55 (Step) (144A) 2,500,000 $2,501,559
VOLT XXXI LLC, 3.375%, 2/25/55 (Step) (144A) 3,000,000 $2,973,390
VOLT XXX LLC, 3.625%, 10/25/57 (Step) 2,250,000 $2,237,420
Volvo Financial Equipment LLC Series 2012-1, 2.38%, 9/16/19 (144A) 295,000 $296,780
Volvo Financial Equipment LLC Series 2013-1, 0.74%, 3/15/17 (144A) 1,410,000 $1,128,203
Volvo Financial Equipment LLC Series 2014-1, 0.54%, 11/15/16 (144A) 1,700,000 $1,245,255
Voya CLO, Ltd., Floating Rate Note, 10/15/22 (144A) 3,000,000 $3,000,000
Wachovia Bank Commercial Mortgage Trust Series 2005-C20 REMICS, Floating Rate Note, 7/15/42 8,460,000 $4,193,259
Wachovia Bank Commercial Mortgage Trust Series 2005-C21, Floating Rate Note, 10/17/44 2,840,733 $2,014,789
Wachovia Bank Commercial Mortgage Trust Series 2005-C22 REMICS, Floating Rate Note, 12/15/44 5,713,000 $5,145,728
Wachovia Bank Commercial Mortgage Trust Series 2006-C23 REMICS, Floating Rate Note, 1/15/45 5,550,000 $4,388,982
Wachovia Bank Commercial Mortgage Trust Series 2006-C25, Floating Rate Note, 5/15/43 4,240,000 $3,548,524
Wachovia Corp., Floating Rate Note, 10/28/15 1,983,000 $1,985,444
Wachovia Corp., Floating Rate Note, 6/15/17 1,999,000 $1,994,723
WaMu Mortgage Pass-Through Certificates Series 2002-AR18 Trust, Floating Rate Note, 1/25/33 34,265,000 $326,211
WaMu Mortgage Pass-Through Certificates Series 2002-AR19 Trust, Floating Rate Note, 2/25/33 18,180,000 $641,222
WaMu Mortgage Pass-Through Certificates Series 2005-AR7 Trust, Floating Rate Note, 8/25/35 28,565,000 $601,080
Waste Industries Usa Inc 1st Lien Tl-B L + 3.25% 20feb20 150,000 $150,656
Weight Watchers International, Inc., Initial Tranche B-2 Term Loan, 4/2/20 871,867 $469,446
Wells Fargo & Co., 1.5%, 7/1/15 2,600,000 $2,616,588
Wells Fargo & Co., Floating Rate Note, 10/28/15 2,503,000 $2,506,727
Wells Fargo & Co., Floating Rate Note, 6/26/15 5,230,000 $5,243,066
Wells Fargo & Co., Floating Rate Note, 7/20/16 3,105,000 $3,121,368
Wells Fargo Bank NA, Floating Rate Note, 5/16/16 975,000 $973,369
Wells Fargo Commercial Mortgage Trust 2014-TISH, Floating Rate Note, 2/16/27 (144A) 2,220,000 $2,214,488
Wells Fargo Home Equity Asset-Backed Securities 2005-2 Trust, Floating Rate Note, 11/25/35 189,000 $43,964
Wells Fargo Home Equity Asset-Backed Securities 2005-3 Trust, Floating Rate Note, 12/25/35 2,690,000 $735,041
Wendy's International LLC, Term B Loan, 5/15/19 719,267 $720,166
Wesco Aircraft Hardware Corp., Tranche B Term Loan, 2/24/21 2,528,500 $2,502,821
WESCO Distribution, Inc., Tranche B-1 Loan, 12/12/19 318,295 $319,223
West Corp., Term B-10 Loan, 6/30/18 1,004,821 $1,004,193
Western Refining, Inc., Term Loan 2013, 11/12/20 446,608 $444,236
Westgate Resorts 2012-2 LLC, 9.0%, 1/21/25 (144A) 1,500,000 $386,738
Westgate Resorts 2012-A LLC, 3.75%, 8/20/25 (144A) 2,805,000 $1,349,740
Westgate Resorts LLC, 2.5%, 3/20/25 (144A) 350,000 $117,736
Westgate Resorts LLC, 9.5%, 2/20/25 (144A) 5,000,000 $1,545,526
Westlake Automobile Receivables Trust 2013-1, 1.12%, 1/15/18 (144A) 375,000 $113,595
Westpac Banking Corp., Floating Rate Note, 5/19/17 2,000,000 $2,001,581
Westpac Banking Corp., Floating Rate Note, 7/17/15 (144A) 500,000 $502,102
Westpac Banking Corp., Floating Rate Note, 7/28/15 1,000,000 $1,001,003
Westwood CDO II, Ltd., Floating Rate Note, 4/25/22 (144A) 2,000,000 $1,436,921
Wheelabrator 1st Lien Tl-B L + 4% 15oct21 2,866,379 $2,902,209
Wheelabrator 1st Lien Tl-C L + 4% 15oct21 126,437 $128,017
Wheels SPV 2 LLC, 0.84%, 3/20/23 (144A) 1,000,000 $978,194
WideOpenWest Finance LLC, Term B Loan, 4/1/19 238,082 $238,762
Wilshire Mortgage Loan Trust, Floating Rate Note, 5/25/28 10,000,000 $29,391
Windstream Corp., Tranche B-4 Term Loan, 1/23/20 1,027,849 $1,028,491
Windstream Corp., Tranche B-5 Term Loan, 8/8/19 706,988 $706,189
WireCo WorldGroup, Inc., Term Loan, 2/15/17 869,192 $869,192
WMG Acquisition Corp., Tranche B Refinancing Term Loan, 7/1/20 1,083,500 $1,059,663
World Financial Network Credit Card Master Trust, 3.96%, 4/15/19 350,000 $353,017
World Financial Network Credit Card Master Trust, Floating Rate Note, 12/16/19 10,375,000 $10,377,941
World Omni Automobile Lease Securitization Trust 2014-A, Floating Rate Note, 3/15/17 2,500,000 $2,497,335
World Omni Auto Receivables Trust 2013-B, 0.48%, 11/15/16 50,000 $10,178
World Omni Auto Receivables Trust 2014-B, Floating Rate Note, 1/16/18 2,650,000 $2,650,227
WR Grace & Co-Conn, Delayed Draw Term Loan, 1/23/21 289,283 $289,722
WR Grace & Co-Conn, U.S. Term Loan, 1/23/21 803,903 $805,123
Wyle 1st Lien Tl-B L + 4% 22may21 196,360 $196,544
Xerium Technologies, Inc., New Term Loan, 5/17/19 78,601 $79,583
Zebra Technologies Corporation 1st Lien Tl-B L + 4% 30sep21 977,273 $989,896
ZIGGO BV, (USD) TLB3, 1/15/22 1,136,553 $1,130,516
Ziggo Bv Us 1st Lien Tl-B1 L + 2.75% 15jan22 1,072,383 $1,066,686
Ziggo Bv Us 1st Lien Tl-B2 L + 2.75% 15jan22 691,064 $687,393

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

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Please request a free information kit on any Pioneer fund by ordering from this web site or by calling 1-800-225-6292. The kit includes a quarterly fact sheet and a prospectus. You should consider a fund's investment objectives, risks, charges and expenses carefully before investing. The prospectus contains this and other information about each fund and should be read carefully before you invest or send money. To obtain a prospectus directly and for other information on any Pioneer fund please visit our download literature page.