Pioneer Multi-Asset Ultrashort Income Fund

Top 10 Portfolio Holdings as of 11/28/2014
Default: sorted by market value

Security Name Par / Shares Market Value
321 Henderson Receivables II LLC, Floating Rate Note, 9/15/41 (144A) 11,542,000 $4,052,438
321 Henderson Receivables I LLC, Floating Rate Note, 11/15/40 (144A) 1,560,000 $497,278
321 Henderson Receivables I LLC, Floating Rate Note, 12/15/41 (144A) 10,869,000 $3,972,841
321 Henderson Receivables I LLC, Floating Rate Note, 6/15/41 (144A) 8,090,000 $2,836,711
321 Henderson Receivables I LLC, Floating Rate Note, 9/15/45 (144A) 1,386,000 $346,829
77 Energy 1st Lien Tl-B L + 3% 17jun21 1,446,375 $1,393,040
A10 Securitization 2013-1 LLC, 2.4%, 11/17/25 (144A) 1,400,000 $746,871
ABFC 2003-WMC1 Trust, Floating Rate Note, 3/25/33 3,691,000 $34,529
ABFC 2005-WF1 Trust, Floating Rate Note, 12/25/34 1,610,000 $667,386
ABN AMRO Bank NV, Floating Rate Note, 10/28/16 (144A) 1,725,000 $1,739,591
ACA CLO 2006-2, Ltd., Floating Rate Note, 1/20/21 (144A) 3,000,000 $2,954,941
ACAS CLO 2007-1, Ltd., Floating Rate Note, 4/20/21 1,800,000 $1,443,237
Accredited Mortgage Loan Trust 2005-2, Floating Rate Note, 7/25/35 1,110,000 $1,087,721
ACE Securities Corp Manufactured Housing Trust Series 2003-MH1, Floating Rate Note, 8/15/30 (144A) 1,250,000 $148,645
ACIS CLO 2014-4, Ltd., Floating Rate Note, 5/1/26 (144A) 2,500,000 $2,495,959
ACRE Commercial Mortgage Trust 2014-FL2, Floating Rate Note, 8/15/31 (144A) 5,350,000 $5,352,058
ACRE Commercial Mortgage Trust 2014-FL2, Floating Rate Note, 8/15/31 (144A) 2,500,000 $2,501,336
Activision Blizzard, Inc., Term Loan, 7/26/20 1,600,000 $1,603,893
Adjustable Rate Mortgage Trust 2004-1, Floating Rate Note, 1/25/35 5,000,000 $452,537
Adjustable Rate Mortgage Trust 2005-2, Floating Rate Note, 6/25/35 2,260,122 $1,711,259
Adjustable Rate Mortgage Trust 2005-5, Floating Rate Note, 9/25/35 13,780,000 $1,185,650
AdvancePierre Foods, Inc., Term Loan (First Lien), 7/10/17 185,929 $186,231
Advantage Sales & Marketing Inc 1st Lien Dd L + 3.25% 21jul21 22,170 $22,045
Advantage Sales & Marketing Inc 1st Lien Tl-B L + 3.25% 11jul21 665,092 $661,351
Aecom Technology Corp 1st Lien Tl-B L + 3% 17sep21 287,913 $288,933
Aegis Asset Backed Securities Trust 2004-6, Floating Rate Note, 3/25/35 5,700,000 $245,315
Aegis Asset Backed Securities Trust Mortgage Pass-Through Ctfs Ser 2004-2, Floating Rate Note, 6/25/ 21,291,000 $1,927,394
Aegis Asset Backed Securities Trust Mortgage Pass-Through Ctfs Ser 2005-4, Floating Rate Note, 10/25 800,000 $413,100
Aegis Asset Backed Securities Trust Mortgage Pass- Through Ctfs Series 2004-3, Floating Rate Note, 9 3,465,620 $601,771
Aegis Asset Backed Securities Trust Mortgage Pass-Through Ctfs Series 2004-4, Floating Rate Note, 10 3,977,618 $929,314
Alamo Re, Ltd., Floating Rate Note, 6/7/17 (Cat Bond) (144A) 1,000,000 $1,058,529
Albertsons LLC, Term B-2 Loan, 3/21/19 1,503,474 $1,503,850
Alkermes, Inc., 2019 Term Loan, 9/25/19 1,128,481 $1,120,723
Alliant Holdings I, Inc., Initial Term Loan, 12/20/19 242,945 $240,212
Alliant Techsystems, Inc., Term B Loan, 10/22/20 396,501 $395,758
Allied Security Holdings LLC, Closing Date Term Loan (First Lien), 2/12/21 514,585 $512,012
Allison Transmission, Inc., Term B-3 Loan, 8/23/19 147,020 $146,813
Ally Auto Receivables Trust 2011-2, 1.98%, 4/15/16 355,000 $67,967
Ally Auto Receivables Trust 2011-3, 1.61%, 5/16/16 602,000 $186,597
Ally Auto Receivables Trust 2013-2, Floating Rate Note, 7/15/16 1,500,000 $713,126
Ally Auto Receivables Trust 2014-SN1, Floating Rate Note, 10/20/16 1,800,000 $1,529,136
Ally Master Owner Trust, 4.59%, 4/15/17 (144A) 3,000,000 $3,048,189
Ally Master Owner Trust, Floating Rate Note, 1/16/18 300,000 $300,018
Ally Master Owner Trust, Floating Rate Note, 2/15/17 250,000 $250,329
Ally Master Owner Trust, Floating Rate Note, 6/17/19 2,600,000 $2,596,962
Ally Master Owner Trust, Floating Rate Note, 8/15/17 3,000,000 $3,016,258
Alterna Funding I LLC, 1.639%, 2/15/21 (144A) 1,400,000 $1,248,650
Alternative Loan Trust 2003-3T1, Floating Rate Note, 5/25/33 15,000,000 $605,836
Alternative Loan Trust 2004-4CB, 4.25%, 4/25/34 16,913,000 $591,384
Alternative Loan Trust 2004-6CB, Floating Rate Note, 4/25/34 31,600,000 $2,238,772
Alternative Loan Trust 2004-J13, Floating Rate Note, 2/25/35 1,000,000 $963,169
Altice Financing SA, 7.875%, 12/15/19 (144A) 1,250,000 $1,367,969
Altisource Solutions Sarl, Term B Loan, 12/9/20 990,047 $871,241
Altria Group, Inc., 4.125%, 9/11/15 1,075,000 $1,113,387
Amazon.com, Inc., 0.65%, 11/27/15 2,950,000 $2,958,455
AMC Entertainment, Inc., Initial Term Loan, 4/30/20 1,461,345 $1,450,933
America Movil SAB de CV, Floating Rate Note, 9/12/16 1,500,000 $1,514,307
American Airlines, Inc., Class B Term Loan, 6/27/19 2,518,125 $2,498,715
American Airlines Inc 1st Lien Tl-B L + 3.5% 08oct21 500,000 $501,070
American Credit Acceptance Receivables Trust, 1.23%, 7/10/18 (144A) 1,150,000 $1,148,732
American Credit Acceptance Receivables Trust, 1.64%, 11/15/16 (144A) 1,401,000 $153,786
American Credit Acceptance Receivables Trust 2012-2, 4.05%, 2/15/18 (144A) 1,228,000 $1,236,386
American Credit Acceptance Receivables Trust 2013-1, 1.45%, 4/16/18 (144A) 1,859,000 $524,395
American Credit Acceptance Receivables Trust 2013-2, 1.32%, 2/15/17 (144A) 805,000 $201,625
American Credit Acceptance Receivables Trust 2014-1, 1.14%, 3/12/18 (144A) 5,045,000 $2,291,637
American Credit Acceptance Receivables Trust 2014-2, 0.99%, 10/10/17 (144A) 3,300,000 $2,044,140
American Credit Acceptance Receivables Trust 2014-3, 0.99%, 8/10/18 (144A) 1,420,000 $1,177,196
American Express Centurion Bank, Floating Rate Note, 11/13/15 5,090,000 $5,108,119
American Express Credit Account Master Trust, Floating Rate Note, 1/15/20 50,000 $49,969
American Express Credit Account Master Trust, Floating Rate Note, 2/15/18 1,945,000 $1,958,059
American Express Credit Account Master Trust, Floating Rate Note, 3/15/18 8,890,000 $8,885,738
American Express Credit Account Master Trust, Floating Rate Note, 5/15/20 3,300,000 $3,300,407
American Express Credit Corp., 1.75%, 6/12/15 3,000,000 $3,045,051
American Express Credit Corp., Floating Rate Note, 6/12/15 3,185,000 $3,211,262
American Express Credit Corp., Floating Rate Note, 7/29/16 2,850,000 $2,863,203
American Homes 4 Rent 2014-SFR1, Floating Rate Note, 6/19/31 (144A) 1,500,000 $1,466,008
American Honda Finance Corp., 1.0%, 8/11/15 (144A) 1,000,000 $1,007,309
American Honda Finance Corp., 1.45%, 2/27/15 (144A) 4,455,000 $4,483,305
American Honda Finance Corp., Floating Rate Note, 10/7/16 950,000 $957,136
American Honda Finance Corp., Floating Rate Note, 5/26/16 (144A) 3,050,000 $3,062,086
AmeriCredit Automobile Receivables Trust 2010-4, 6.4%, 4/9/18 (144A) 470,000 $474,760
AmeriCredit Automobile Receivables Trust 2011-5, 2.45%, 12/8/16 1,700,000 $1,006,810
AmeriCredit Automobile Receivables Trust 2012-1, 2.67%, 1/8/18 800,000 $812,119
AmeriCredit Automobile Receivables Trust 2013-2, 0.65%, 12/8/17 485,000 $485,364
AmeriCredit Automobile Receivables Trust 2013-4, 0.74%, 11/8/16 1,500,000 $490,429
AmeriCredit Automobile Receivables Trust 2014-2, Floating Rate Note, 10/10/17 1,320,000 $1,319,637
Ameriquest Mortgage Securities Inc Asset-Backed Pass-Through Ctfs Ser 2004-R11, Floating Rate Note, 8,900,000 $328,669
Ameriquest Mortgage Securities Inc Asset-Backed Pass-Through Ctfs Ser 2005-R1, Floating Rate Note, 3 2,757,237 $1,460,623
Ameriquest Mortgage Securities Inc Asset-Backed Pass-Through Ctfs Ser 2005-R10, Floating Rate Note, 15,705,000 $763,978
Ameriquest Mortgage Securities Inc Asset Backed Pass-Through Ctfs Ser 2005-R11, Floating Rate Note, 810,000 $533,431
Ameriquest Mortgage Securities Inc Asset-Backed Pass-Through Ctfs Ser 2005-R5, Floating Rate Note, 7 84,000 $79,466
Ameriquest Mortgage Securities Inc Asset-Backed Pass-Through Ctfs Ser 2005-R6, Floating Rate Note, 8 2,850,000 $13,675
Ameriquest Mort Sec Inc Asset Backed Pass Thr Cert 03 AR3, Floating Rate Note, 6/25/33 729,633 $399,860
Anheuser-Busch Companies LLC, 5.0%, 1/15/15 1,891,000 $1,934,238
Anheuser-Busch InBev Finance, Inc., Floating Rate Note, 1/27/17 1,900,000 $1,900,322
Anheuser-Busch InBev Worldwide, Inc., 4.125%, 1/15/15 4,015,000 $4,094,522
Apex Tool Group LLC, Term Loan, 1/31/20 1,231,250 $1,207,651
Apidos Quattro CDO, Floating Rate Note, 1/20/19 (144A) 1,000,000 $987,724
Apple, Inc., Floating Rate Note, 5/3/16 1,500,000 $1,499,970
Ardagh Holdings USA, Inc., New Term Loan, 12/17/19 680,580 $679,729
ARI Fleet Lease Trust 2012-A, Floating Rate Note, 3/15/20 (144A) 2,070,000 $390,105
ARI Fleet Lease Trust 2012-B, Floating Rate Note, 1/15/21 (144A) 1,030,000 $322,246
ARI Fleet Lease Trust 2013-A, 0.7%, 12/15/15 (144A) 4,000,000 $1,798,374
ARI Fleet Lease Trust 2013-A, 0.92%, 7/15/21 (144A) 600,000 $601,725
ARI Fleet Lease Trust 2014-A, 0.81%, 11/15/22 (144A) 3,000,000 $3,000,846
Arlington Flt% 01aug15 100,000 $106,880
Armor Re, Ltd., Floating Rate Note, 12/15/16 (Cat Bond) (144A) 1,000,000 $1,021,178
Armstrong World Industries, Inc., Term Loan B, 3/15/20 1,083,747 $1,079,683
Arysta Lifescience SPC LLC, Initial Term Loan (First Lien), 5/29/20 2,347,418 $2,345,570
Ascentium Equipment Receivables 2012-1 LLC, 1.83%, 9/15/19 (144A) 1,528,000 $169,868
Ascentium Equipment Receivables 2014-1 LLC, 1.04%, 1/10/17 (144A) 1,000,000 $1,001,259
ASG Resecuritization Trust 2010-3, Floating Rate Note, 12/29/45 (144A) 5,216,443 $2,322,077
Asset-Backed Pass-Through Certificates Series 2004-R2, Floating Rate Note, 4/25/34 4,000,000 $215,157
Asset Backed Securities Corp Home Equity Loan Trust Series 2005-HE2, Floating Rate Note, 2/25/35 8,100,000 $685,107
Asset Backed Securities Corp Home Equity Loan Trust Series 2005-HE3, Floating Rate Note, 4/25/35 724,529 $520,197
Asset Backed Securities Corp Home Equity Loan Trust Series AEG 2006-HE1, Floating Rate Note, 1/25/36 6,155,063 $1,110,639
Asset Backed Securities Corp Home Equity Loan Trust Series NC 2005-HE4, Floating Rate Note, 5/25/35 3,657,000 $613,501
Asset Backed Securities Corp Home Equity Loan Trust Series OOMC 2005-HE6, Floating Rate Note, 7/25/3 1,879,167 $1,403,331
Atlantic Power LP, Term Loan, 2/20/21 2,890,229 $2,915,519
Atlas IX Capital, Ltd., Floating Rate Note, 1/17/19 (Cat Bond) (144A) 1,500,000 $1,525,677
Atlas Reinsurance VII, Ltd., Floating Rate Note, 1/7/16 (Cat Bond) (144A) 1,000,000 $1,042,758
Audio Visual Services Corp., Initial Term Loan (First Lien), 1/24/21 228,850 $229,351
Avago Technologies Ltd 1st Lien Tl-B L + 3% 16apr21 1,296,750 $1,298,256
Avis Budget Car Rental LLC, Tranche B Term Loan, 3/15/19 1,282,848 $1,278,237
AWAS Finance Luxembourg 2012 SA, Term Loan, 7/16/18 393,323 $391,192
Axalta Coating Systems US Holdings, Inc., Refinanced Term B Loan, 2/1/20 1,026,924 $1,015,922
AXIS Equipment Finance Receivables II LLC, 1.75%, 6/20/16 1,000,000 $571,924
Az Chem Us Inc 1st Lien Tl-B L + 3.5% 09jun21 1,930,413 $1,932,826
BA Credit Card Trust, Floating Rate Note, 1/15/20 2,000,000 $2,000,346
BA Credit Card Trust, Floating Rate Note, 9/16/19 5,800,000 $5,799,941
BAMLL Commercial Mortgage Securities Trust 2014-ICTS, Floating Rate Note, 6/15/28 (144A) 1,920,000 $1,918,673
Banc of America Commercial Mortgage Trust 2006-1, Floating Rate Note, 9/10/45 5,040,000 $5,233,431
Banc of America Commercial Mortgage Trust 2006-1, Floating Rate Note, 9/10/45 3,590,000 $3,731,129
Banc of America Funding 2004-B Trust, Floating Rate Note, 12/20/34 20,499,000 $1,533,598
Banc of America Merrill Lynch Commercial Mortgage, Inc., 4.933%, 7/10/45 6,180,000 $6,307,307
Banc of America Merrill Lynch Commercial Mortgage, Inc., Floating Rate Note, 10/10/45 8,970,000 $8,707,605
Banc of America Merrill Lynch Commercial Mortgage, Inc., Floating Rate Note, 9/10/47 6,175,000 $5,796,428
Banc of America Merrill Lynch Commercial Mortgage, Inc. REMICS, Floating Rate Note, 7/10/43 1,985,000 $1,257,152
Banc of America Mortgage 2003-A Trust, Floating Rate Note, 2/25/33 10,560,000 $107,242
Banc of America Mortgage 2003-F Trust, Floating Rate Note, 7/25/33 5,472,215 $252,024
Banc of America Mortgage 2004-D Trust, Floating Rate Note, 5/25/34 17,088,000 $1,832,537
Banc of America Mortgage 2004-I Trust, Floating Rate Note, 10/25/34 6,000,000 $418,575
Bank of America Corp., 4.5%, 4/1/15 2,515,000 $2,566,097
Bank of America Corp., Floating Rate Note, 1/15/15 1,000,000 $1,001,098
Bank of America Corp., Floating Rate Note, 3/22/16 6,000,000 $6,040,843
Bank of America Corp., Floating Rate Note, 8/25/17 1,423,000 $1,421,584
Bank of America NA, Floating Rate Note, 2/14/17 2,000,000 $1,999,298
Bank of Montreal, 0.8%, 11/6/15 2,600,000 $2,607,985
Bank of Montreal, Floating Rate Note, 7/14/17 2,300,000 $2,299,607
Bank of Montreal, Floating Rate Note, 9/11/15 2,600,000 $2,611,532
Bank of Nova Scotia Houston, Floating Rate Note, 10/23/15 1,000,000 $1,002,195
Bank of The West Auto Trust 2014-1, 0.69%, 7/17/17 (144A) 1,850,000 $1,850,438
Barclays Bank Plc, Floating Rate Note, 2/17/17 821,000 $823,528
Barclays Dryrock Issuance Trust, Floating Rate Note, 12/16/19 1,050,000 $1,051,324
Barclays Dryrock Issuance Trust, Floating Rate Note, 3/16/20 1,800,000 $1,800,901
Barclays Dryrock Issuance Trust, Floating Rate Note, 7/16/18 200,000 $200,129
Baxter International, Inc., 4.625%, 3/15/15 2,500,000 $2,554,335
Baxter International, Inc., Floating Rate Note, 12/11/14 895,000 $895,828
Bayview Financial Acquisition Trust, 6.205%, 5/28/37 (Step) 100,000 $57,640
Bayview Financial Acquisition Trust, Floating Rate Note, 5/28/44 23,920,000 $291,608
Bayview Financial Mortgage Pass-Through Trust 2004-A, Floating Rate Note, 2/28/44 46,440,000 $1,590,451
Bayview Financial Mortgage Pass-Through Trust 2005-C, Floating Rate Note, 6/28/44 8,536,000 $19,622
Bayview Financial Mortgage Pass-Through Trust 2005-C, Floating Rate Note, 6/28/44 4,088,000 $4,063,520
Bayview Financial Mortgage Pass-Through Trust 2006-A, Floating Rate Note, 2/28/41 5,200,000 $111,006
Bayview Financial Mortgage Pass-Through Trust 2006-A, Floating Rate Note, 2/28/41 6,439,000 $474,927
Bayview Financial Mortgage Pass-Through Trust 2006-B, Floating Rate Note, 4/28/36 4,911,055 $1,072,337
Bayview Financial Mortgage Pass-Through Trust 2006-B, Floating Rate Note, 4/28/36 8,680,000 $531,712
Bayview Financial Mortgage Pass-Through Trust Series 2005-B, Floating Rate Note, 4/28/39 1,899,351 $1,862,434
Bayview Opportunity Master Fund IIa Trust 2012-4NPL, 3.9496%, 1/30/34 (Step) (144A) 2,125,000 $1,206,338
Bayview Opportunity Master Fund IIa Trust 2014-20NPL, Floating Rate Note, 8/28/44 (144A) 1,480,000 $1,362,619
Bayview Opportunity Master Fund Trust, Floating Rate Note, 1/28/33 (144A) 1,000,000 $296,452
Bayview Opportunity Master Fund Trust IIIa 2014-12RPL, 3.6225%, 7/28/19 (Step) (144A) 2,450,000 $1,816,694
Bbb Industries Llc 1st Lien Tl L + 5% 20oct21 1,000,000 $995,000
BCAP LLC 2009-RR13-I Trust, Floating Rate Note, 9/26/35 (144A) 8,854,257 $2,155,376
BCAP LLC 2013-RR3 Trust, Floating Rate Note, 5/28/36 (144A) 1,084,000 $799,322
BCAP LLC 2013-RR7 Trust, Floating Rate Note, 12/27/34 1,410,000 $1,232,149
BCC Funding VIII LLC, 1.794%, 6/22/20 (144A) 2,000,000 $1,375,292
Bear Stearns ALT-A Trust 2003-3, Floating Rate Note, 10/25/33 350,000 $59,094
Bear Stearns ALT-A Trust 2004-11, Floating Rate Note, 11/25/34 21,976,800 $1,175,165
Bear Stearns ALT-A Trust 2004-12, Floating Rate Note, 1/25/35 25,745,000 $3,279,543
Bear Stearns ALT-A Trust 2004-12, Floating Rate Note, 1/25/35 17,745,000 $2,089,699
Bear Stearns ALT-A Trust 2004-12, Floating Rate Note, 1/25/35 25,907,600 $3,284,723
Bear Stearns ALT-A Trust 2004-12, Floating Rate Note, 1/25/35 11,245,000 $1,236,466
Bear Stearns ALT-A Trust 2004-13, Floating Rate Note, 11/25/34 9,625,000 $497,974
Bear Stearns ALT-A Trust 2004-4, Floating Rate Note, 6/25/34 33,443,000 $2,687,131
Bear Stearns ALT-A Trust 2004-8, Floating Rate Note, 9/25/34 14,600,000 $1,048,483
Bear Stearns ARM Trust 2003-3, Floating Rate Note, 5/25/33 42,906,215 $1,261,028
Bear Stearns ARM Trust 2004-3, Floating Rate Note, 7/25/34 10,718,797 $391,962
Bear Stearns ARM Trust 2005-5, Floating Rate Note, 8/25/35 5,635,000 $591,014
Bear Stearns Asset Backed Securities I Trust 2005-FR1, Floating Rate Note, 6/25/35 5,850,460 $2,075,413
Bear Stearns Asset Backed Securities Trust, Floating Rate Note, 2/25/35 21,336,125 $736,603
Bear Stearns Asset Backed Securities Trust 2003-AC5, Floating Rate Note, 10/25/33 2,875,000 $273,520
Bear Stearns Asset Backed Securities Trust 2004-2, Floating Rate Note, 8/25/34 1,523,000 $272,342
Bear Stearns Asset Backed Securities Trust 2004-SD3, Floating Rate Note, 9/25/34 310,000 $122,665
Bear Stearns Asset Backed Securities Trust 2005-SD1, Floating Rate Note, 8/25/43 310,000 $88,261
Bear Stearns Asset Backed Securities Trust 2005-SD2, Floating Rate Note, 3/25/35 1,000,000 $131,642
Bear Stearns Asset Backed Securities Trust 2005-SD2, Floating Rate Note, 3/25/35 5,000,000 $1,552,339
Bear Stearns Commercial Mortgage Securities Trust 2005-PWR10, Floating Rate Note, 12/11/40 4,250,000 $3,598,205
Bear Stearns Commercial Mortgage Securities Trust 2005-PWR8, 4.75%, 6/11/41 1,330,000 $1,356,336
Bear Stearns Commercial Mortgage Securities Trust 2005-PWR9, 4.871%, 9/11/42 7,568,000 $6,186,250
Bear Stearns Commercial Mortgage Securities Trust 2005-PWR9, Floating Rate Note, 9/11/42 3,751,000 $3,858,711
Bear Stearns Commercial Mortgage Securities Trust 2005-TOP18, Floating Rate Note, 2/13/42 3,975,000 $1,633,336
Bear Stearns Commercial Mortgage Securities Trust 2005-TOP20, Floating Rate Note, 10/12/42 6,505,000 $6,664,589
Bear Stearns Commercial Mortgage Securities Trust 2006-PWR14, 5.171%, 12/11/38 2,735,000 $951,244
Bear Stearns Mortgage Securities, Inc., Floating Rate Note, 6/25/30 2,875,810 $468,780
Bear Stearns Structured Products Trust 2007-EMX1, Floating Rate Note, 3/25/37 (144A) 4,870,000 $965,967
Belden Finance 2013 LP, Initial Term Loan, 9/9/20 643,500 $641,087
Berkeley-Kane Flt% 12jun15 2,008,000 $2,064,425
Berkshire Hathaway Finance Corp., Floating Rate Note, 1/10/17 1,855,000 $1,854,821
Berkshire Hathaway Finance Corp., Floating Rate Note, 8/14/17 2,500,000 $2,495,398
BHP Billiton Finance USA, Ltd., Floating Rate Note, 9/30/16 1,795,000 $1,795,813
Big Heart Pet Brands, Initial Term Loan, 2/24/20 479,461 $463,936
BioScrip, Inc., Delayed Draw Term Loan, 7/31/20 328,915 $330,559
BioScrip, Inc., Initial Term B Loan, 7/31/20 548,191 $550,932
BlackRock, Inc., 3.5%, 12/10/14 1,431,000 $1,455,441
Blue Danube, Ltd., Floating Rate Note, 4/10/15 (Cat Bond) (144A) 600,000 $612,623
Blue Danube, Ltd., Floating Rate Note, 4/10/15 (Cat Bond) (144A) 1,945,000 $2,029,289
Blue Danube II, Ltd., Floating Rate Note, 5/23/18 (Cat Bond) (144A) 2,125,000 $2,159,453
BMW Floorplan Master Owner Trust, Floating Rate Note, 9/15/17 (144A) 3,000,000 $3,005,097
BMW Vehicle Lease Trust 2013-1, 0.54%, 9/21/15 3,062,000 $1,812,987
BNC Mortgage Loan Trust 2007-4, Floating Rate Note, 11/25/37 9,500,000 $182,687
Boca Hotel Portfolio Trust 2013-BOCA, Floating Rate Note, 8/17/26 (144A) 1,375,000 $1,376,372
Bombardier Recreational Products, Inc., Term B Loan, 1/30/19 188,571 $187,511
Booz Allen Hamilton, Inc., Refinance Tranche B, 7/31/19 1,358,138 $1,360,684
Bosphorus Re, Ltd., Floating Rate Note, 5/3/16 (Cat Bond) (144A) 750,000 $753,375
Branch Banking & Trust Co., Floating Rate Note, 5/23/17 500,000 $496,911
Branch Banking & Trust Co., Floating Rate Note, 9/13/16 1,814,000 $1,812,288
Bright Horizons Family Solutions, Inc., Term B Loan, 1/30/20 598,350 $594,461
British Telecommunications Plc, 2.0%, 6/22/15 3,125,000 $3,175,266
BSN medical International Holding GmbH & Co KG, Facility B1b, 8/28/19 593,611 $593,611
Burger King Corp., Tranche B Term Loan (2012), 9/28/19 242,060 $242,022
Burger King Corp 1st Lien Tl-B L + 3.5% 25sep21 245,000 $245,940
Bway Holding Co 1st Lien Tl-B L + 4.5% 08aug20 399,000 $400,746
Cabela's Credit Card Master Note Trust, Floating Rate Note, 1/16/18 (144A) 3,392,000 $3,398,974
Cabela's Credit Card Master Note Trust, Floating Rate Note, 2/18/20 (144A) 150,000 $151,105
Cabela's Credit Card Master Note Trust, Floating Rate Note, 3/16/20 900,000 $899,823
Cabela's Credit Card Master Note Trust, Floating Rate Note, 6/17/19 (144A) 2,055,000 $2,065,800
Cabela's Credit Card Master Note Trust, Floating Rate Note, 9/17/18 (144A) 2,475,000 $2,484,331
Caelus Re, Ltd., Floating Rate Note, 3/7/16 (Cat Bond) (144A) 2,500,000 $2,573,875
Caelus Re 2013, Ltd., Floating Rate Note, 4/7/20 (Cat Bond) (144A) 2,300,000 $2,448,388
California Republic Auto Receivables Trust 2012-1, 1.18%, 8/15/17 (144A) 1,138,000 $285,027
Calpine Construction Finance Co LP, Term B-1 Loan, 5/3/20 1,185,000 $1,162,287
Calpine Corp., Term Loan (10/12), 10/9/19 760,175 $757,919
CAM Mortgage Trust 2014-2, 2.6%, 12/15/53 (Step) (144A) 2,130,000 $1,196,336
Canadian National Railway Co., Floating Rate Note, 11/14/17 1,670,000 $1,670,489
Canadian Natural Resources, Ltd., Floating Rate Note, 3/30/16 2,399,000 $2,403,171
Capital Auto Receivables Asset Trust 2013-3, Floating Rate Note, 11/20/15 840,000 $375,852
Capital One Financial Corp., 2.15%, 3/23/15 5,059,000 $5,103,705
Capital One Financial Corp., Floating Rate Note, 11/6/15 1,875,000 $1,882,688
Capital One Multi-Asset Execution Trust, Floating Rate Note, 12/16/19 3,400,000 $3,385,330
Capital One Multi-Asset Execution Trust, Floating Rate Note, 2/15/19 1,950,000 $1,950,158
Capital One Multi-Asset Execution Trust, Floating Rate Note, 8/15/18 6,945,000 $6,941,858
Capital One NA, Floating Rate Note, 3/22/16 1,900,000 $1,906,369
Cardinal Health, Inc., 4.0%, 6/15/15 2,300,000 $2,388,813
Carlyle High Yield Partners VII, Ltd., Floating Rate Note, 9/30/19 5,000,000 $4,492,527
CarMax Auto Owner Trust 2011-1, 2.16%, 9/15/16 200,000 $84,658
CarMax Auto Owner Trust 2011-3, 1.07%, 6/15/16 518,000 $49,250
Carrington Mortgage Loan Trust Series 2005-NC1, Floating Rate Note, 2/26/35 19,369,028 $4,301,738
Carrington Mortgage Loan Trust Series 2005-NC4, Floating Rate Note, 9/25/35 375,000 $46,477
Carrington Mortgage Loan Trust Series 2006-OPT1, Floating Rate Note, 12/25/35 9,778,000 $1,999,341
Castle Garden Funding, Floating Rate Note, 10/27/20 (144A) 7,000,000 $1,154,022
Caterpillar Financial Services Corp., Floating Rate Note, 2/26/16 1,500,000 $1,503,389
Caterpillar Financial Services Corp., Floating Rate Note, 2/9/15 2,000,000 $2,002,106
CBS Outdoor Americas Capital LLC, Term Loan, 1/15/21 1,629,423 $1,601,781
CCG Receivables Trust 2014-1, 1.06%, 11/14/21 (144A) 1,900,000 $1,900,896
CCG Receivables Truste 2013-1, 1.05%, 4/14/20 (144A) 900,000 $459,062
CD 2005-CD1 Commercial Mortgage Trust, Floating Rate Note, 7/15/44 3,277,000 $3,170,828
CDGJ Commercial Mortgage Trust 2014-BXCH, Floating Rate Note, 12/15/16 (144A) 4,860,000 $4,860,000
Cedar Fair LP, U.S. Term Facility, 3/6/20 98,476 $98,332
Cent CLO 16 LP, Floating Rate Note, 8/1/24 (144A) 3,250,000 $3,227,944
Centex Home Equity Loan Trust 2003-A, Floating Rate Note, 3/25/33 2,230,000 $372,560
Cequel Communications LLC, Term Loan, 2/14/19 1,144,397 $1,135,814
CGBAM Commercial Mortgage Trust 2014-HD, Floating Rate Note, 2/18/31 (144A) 1,050,000 $1,049,463
CG-CCRE Commercial Mortgage Trust 2014-FL1, Floating Rate Note, 6/16/31 (144A) 5,670,000 $5,662,831
CGWF Commercial Mortgage Trust 2013-RKWH REMICS, Floating Rate Note, 11/15/30 (144A) 6,770,000 $6,789,796
Charter Communications 1st Lien Tl-B L + 3.5% 12aug21 1,250,000 $1,260,449
Charter Communications Operating LLC, Term F Loan, 12/31/20 1,308,438 $1,292,666
Chase Funding Trust Series 2002-4, Floating Rate Note, 10/25/32 1,000,000 $19,034
Chase Issuance Trust, 0.47%, 5/15/17 200,000 $200,030
Chase Issuance Trust, 0.54%, 10/16/17 1,001,000 $1,001,287
Chase Issuance Trust, 0.59%, 8/15/17 950,000 $950,871
Chase Issuance Trust, 0.79%, 6/15/17 8,755,000 $8,773,134
Chase Issuance Trust, Floating Rate Note, 10/16/17 2,700,000 $2,698,409
Chase Issuance Trust, Floating Rate Note, 11/15/18 2,500,000 $2,500,084
Chase Issuance Trust, Floating Rate Note, 2/15/17 6,345,000 $6,343,915
Chase Issuance Trust, Floating Rate Note, 4/15/19 1,350,000 $1,343,141
Chase Issuance Trust, Floating Rate Note, 4/15/19 150,000 $149,170
Chase Issuance Trust, Floating Rate Note, 4/16/18 3,000,000 $2,999,276
Chase Issuance Trust, Floating Rate Note, 5/15/17 5,102,000 $5,099,581
Chase Issuance Trust, Floating Rate Note, 8/15/17 9,130,000 $9,124,603
Chase Mortgage Finance Trust Series 2005-S1, 5.5%, 5/25/35 19,264,330 $380,802
Chemtura Corp., New Term Loan, 8/29/16 146,429 $146,642
Chesapeake Funding LLC, Floating Rate Note, 11/7/23 (144A) 3,790,000 $1,427,334
Chesapeake Funding LLC, Floating Rate Note, 11/7/23 (144A) 250,000 $252,292
Chesapeake Funding LLC, Floating Rate Note, 3/7/26 1,900,000 $1,899,327
Chesapeake Funding LLC, Floating Rate Note, 4/7/24 (144A) 2,050,000 $1,190,863
Chesapeake Funding LLC, Floating Rate Note, 5/7/24 (144A) 200,000 $201,099
Chesapeake Funding LLC, Floating Rate Note, 5/7/24 (144A) 2,550,000 $1,478,872
Chevron Corp., Floating Rate Note, 11/9/16 2,640,000 $2,639,222
Chevy Chase Funding LLC Mortgage-Backed Certificates Series 2004-1, Floating Rate Note, 1/25/35 (144 3,700,000 $110,967
Chevy Chase Funding LLC Mortgage-Backed Certificates Series 2004-3, Floating Rate Note, 8/25/35 (144 1,300,000 $53,887
CHL Mortgage Pass-Through Trust 2003-11, Floating Rate Note, 5/25/33 30,308,000 $339,276
CHL Mortgage Pass-Through Trust 2003-15 REMICS, Floating Rate Note, 6/25/18 25,913,062 $591,567
CHL Mortgage Pass-Through Trust 2003-J7, Floating Rate Note, 8/25/18 2,400,000 $53,199
CHL Mortgage Pass-Through Trust 2004-29, Floating Rate Note, 2/25/35 72,366,000 $3,509,832
Chrysler Group LLC, Tranche B Term Loan, 12/29/18 2,885,500 $2,870,351
CHS, 2021 Term D Loan, 1/27/21 71,828 $72,086
CIFC Funding 2007-I, Ltd., Floating Rate Note, 5/10/21 (144A) 500,000 $295,968
Cincinnati Bell, Inc., Tranche B Term Loan, 9/10/20 1,237,500 $1,235,180
Cisco Systems, Inc., Floating Rate Note, 3/3/17 2,580,000 $2,585,511
Cisco Systems, Inc., Floating Rate Note, 9/3/15 3,600,000 $3,603,817
Citadel Plastics Holdings Inc 1st Lien Tlb L + 4.25% 05nov20 1,181,000 $1,183,953
CIT Equipment Collateral 2014-VT1, 1.03%, 5/22/17 (144A) 2,500,000 $2,499,972
Citibank Credit Card Issuance Trust, 4.55%, 6/20/17 639,000 $666,510
Citibank Credit Card Issuance Trust, 4.85%, 3/10/17 4,180,000 $4,276,767
Citibank Credit Card Issuance Trust, 4.9%, 12/12/16 200,000 $204,898
Citibank Credit Card Issuance Trust, 5.1%, 11/20/17 1,650,000 $1,725,610
Citibank Credit Card Issuance Trust, Floating Rate Note, 11/7/18 3,490,000 $3,491,222
Citibank Credit Card Issuance Trust, Floating Rate Note, 12/12/16 3,070,000 $3,070,443
Citibank Credit Card Issuance Trust, Floating Rate Note, 2/7/18 9,931,000 $9,938,207
Citibank Credit Card Issuance Trust, Floating Rate Note, 4/24/17 17,520,000 $17,505,606
Citibank Credit Card Issuance Trust, Floating Rate Note, 5/22/17 6,500,000 $6,533,408
Citibank Credit Card Issuance Trust, Floating Rate Note, 5/9/18 3,500,000 $3,500,657
Citicorp Mortgage Securities REMIC Pass-Through Certificates Trust Series 2005-4, 5.0%, 7/25/20 486,000 $17,852
Citicorp Mortgage Securities REMIC Pass-Through Certificates Trust Series 2005-7, 5.0%, 10/25/35 17,468,000 $1,187,243
Citigroup, Inc., Floating Rate Note, 11/15/16 1,700,000 $1,706,378
Citigroup, Inc., Floating Rate Note, 11/24/17 2,630,000 $2,632,283
Citigroup, Inc., Floating Rate Note, 4/1/16 1,325,000 $1,333,741
Citigroup, Inc., Floating Rate Note, 7/25/16 3,700,000 $3,732,579
Citigroup Commercial Mortgage Trust 2005-C3, 4.86%, 5/15/43 7,619,000 $3,666,840
Citigroup Commercial Mortgage Trust 2007-FL3, Floating Rate Note, 4/15/22 (144A) 1,430,707 $760,174
Citigroup Commercial Mortgage Trust 2007-FL3, Floating Rate Note, 4/15/22 (144A) 1,105,112 $1,096,144
Citigroup Commercial Mortgage Trust 2007-FL3, Floating Rate Note, 4/15/22 (144A) 1,982,362 $1,971,360
Citigroup Commercial Mortgage Trust 2007-FL3, Floating Rate Note, 4/15/22 (144A) 497,205 $494,403
Citigroup Mortgage Loan Trust, Inc., 6.5%, 6/25/16 10,100,000 $10,412
Citigroup Mortgage Loan Trust, Inc., Floating Rate Note, 11/25/34 3,500,000 $225,253
Citigroup Mortgage Loan Trust, Inc., Floating Rate Note, 5/25/35 (144A) 2,925,000 $2,835,465
Citigroup Mortgage Loan Trust, Inc., Floating Rate Note, 5/25/35 (144A) 1,150,000 $8,678
Citigroup Mortgage Loan Trust 2006-SHL1, Floating Rate Note, 11/25/46 (144A) 21,220,000 $2,329,119
Citigroup Mortgage Loan Trust 2010-4 REMICS, 5.0%, 10/25/35 (144A) 9,095,000 $2,660,375
Citigroup Mortgage Loan Trust 2010-7 REMICS, Floating Rate Note, 9/25/37 (144A) 6,105,345 $1,188,095
Citigroup Mortgage Loan Trust Series 2004-OPT1 Asset Backed Pass-Through Certifi, Floating Rate Note 2,140,000 $1,933,792
Citrus Re, Ltd., Floating Rate Note, 4/18/17 (Cat Bond) (144A) 250,000 $253,069
Citrus Re, Ltd., Floating Rate Note, 4/24/17 (Cat Bond) (144A) 1,350,000 $1,363,202
City Center Trust 2011-CCHP, Floating Rate Note, 7/17/28 (144A) 950,000 $950,862
CLI Funding LLC, Floating Rate Note, 8/18/21 (144A) 7,250,000 $1,145,935
CNH Equipment Trust 2011-A, 2.04%, 10/17/16 565,000 $352,336
CNH Equipment Trust 2011-C, 1.19%, 12/15/16 1,460,621 $29,152
CNH Equipment Trust 2012-A, 2.09%, 8/15/18 2,310,000 $2,348,133
CNH Equipment Trust 2013-A, 0.69%, 6/15/18 1,874,000 $1,874,085
CNH Equipment Trust 2013-C, 0.63%, 1/17/17 1,903,426 $651,315
CNH Wholesale Master Note Trust, Floating Rate Note, 8/15/19 (144A) 1,550,000 $1,553,874
CNL Commercial Mortgage Loan Trust 2002-1, Floating Rate Note, 10/25/28 (144A) 42,221,000 $1,330,548
CNL Commercial Mortgage Loan Trust 2003-2, Floating Rate Note, 10/25/30 (144A) 3,600,000 $319,999
CNO Financial Group, Inc., Tranche B-2 Term Loan, 9/28/18 461,099 $459,658
Coca-Cola Enterprises, Inc., 2.125%, 9/15/15 551,000 $560,166
Colony American Homes 2014-1, Floating Rate Note, 5/19/31 (144A) 2,300,000 $2,216,648
Colony American Homes 2014-2, Floating Rate Note, 7/19/31 (144A) 2,100,000 $2,029,013
Combine Re, Ltd., Floating Rate Note, 1/7/15 (Cat Bond) (144A) 6,595,000 $6,650,728
Combine Re, Ltd., Floating Rate Note, 1/7/15 (Cat Bond) (144A) 2,000,000 $2,043,800
COMM 2005-C6 Mortgage Trust, Floating Rate Note, 6/10/44 2,675,000 $2,570,257
COMM 2005-C6 Mortgage Trust, Floating Rate Note, 6/10/44 6,607,413 $6,758,279
COMM 2007-FL14 Mortgage Trust, Floating Rate Note, 6/15/22 (144A) 9,355,000 $1,937,681
COMM 2011-FL1 Mortgage Trust, Floating Rate Note, 7/19/28 (144A) 500,000 $161,479
COMM 2013-FL3 Mortgage Trust, Floating Rate Note, 10/13/28 (144A) 1,597,000 $1,278,616
COMM 2014-KYO Mortgage Trust, Floating Rate Note, 6/11/27 (144A) 5,740,000 $5,740,693
COMM 2014-PAT Mortgage Trust, Floating Rate Note, 8/13/27 (144A) 2,722,000 $2,724,180
COMM 2014-SAVA Mortgage Trust, Floating Rate Note, 6/15/34 (144A) 3,954,000 $3,943,098
COMM 2014-TWC Mortgage Trust, Floating Rate Note, 2/13/32 (144A) 6,150,000 $6,140,237
Commercial Mortgage Pass Through Certificates, Floating Rate Note, 11/19/26 (144A) 2,250,000 $889,903
Commercial Mortgage Trust 2005-GG3, Floating Rate Note, 8/10/42 3,300,000 $3,324,781
Commercial Mortgage Trust 2005-GG5, Floating Rate Note, 4/10/37 6,995,000 $7,231,650
Commonwealth Bank of Australia, Floating Rate Note, 12/4/15 (144A) 1,800,000 $1,802,451
Commonwealth Bank of Australia, Floating Rate Note, 3/13/17 (144A) 2,000,000 $2,005,639
Commonwealth Bank of Australia, Floating Rate Note, 9/18/15 (144A) 1,575,000 $1,587,704
CommScope, Inc., Tranche 3 Term Loan, 1/21/17 158,436 $158,040
CommScope, Inc., Tranche 4 Term Loan, 1/14/18 237,654 $237,305
Compass Re, Ltd., Floating Rate Note, 1/8/15 (Cat Bond) (144A) 250,000 $256,909
Compass Re, Ltd., Floating Rate Note, 1/8/15 (Cat Bond) (144A) 250,000 $255,413
Compass Re, Ltd., Floating Rate Note, 1/8/15 (Cat Bond) (144A) 1,000,000 $1,025,199
Confie seguros Holding II Co., Term B Loan (First Lien), 11/9/18 494,924 $495,079
Connecticut State Health & Educational Facility Authority, Floating Rate Note, 7/1/33 5,775,000 $5,775,136
Conseco Financial Corp., 7.05%, 1/15/19 600,362 $6,633
ConvaTec, Inc., Dollar Term Loan, 12/22/16 696,876 $698,827
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA New York, Floating Rate Note, 10/23/15 2,500,000 $2,500,687
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA New York, Floating Rate Note, 3/18/16 1,575,000 $1,583,752
Countrywide Asset-Backed Certificates, Floating Rate Note, 1/25/36 125,000 $6,166
Countrywide Asset-Backed Certificates, Floating Rate Note, 10/25/34 5,000,000 $2,210,883
Countrywide Asset-Backed Certificates, Floating Rate Note, 11/25/35 7,825,000 $290,284
Countrywide Asset-Backed Certificates, Floating Rate Note, 3/25/35 5,600,000 $1,641,669
Countrywide Asset-Backed Certificates, Floating Rate Note, 5/25/35 5,000,000 $288,698
Countrywide Asset-Backed Certificates, Floating Rate Note, 5/25/35 1,575,000 $447,269
Countrywide Asset-Backed Certificates, Floating Rate Note, 6/25/30 20,293,000 $582,502
Countrywide Asset-Backed Certificates, Floating Rate Note, 6/25/33 (144A) 8,410,000 $170,950
Countrywide Asset-Backed Certificates, Floating Rate Note, 6/25/33 (144A) 2,000,000 $40,393
Countrywide Asset-Backed Certificates, Floating Rate Note, 9/25/35 750,000 $116,597
Covanta Energy Corp., Term Loan, 3/28/19 132,333 $132,444
Covidien International Finance SA, 1.35%, 5/29/15 6,575,000 $6,626,515
CPS Auto Receivables Trust 2013-B, 1.82%, 9/15/20 (144A) 731,000 $391,074
CPS Auto Receivables Trust 2014-A, 1.21%, 8/15/18 700,000 $523,018
CPS Auto Receivables Trust 2014-C, 1.31%, 2/15/19 (144A) 2,200,000 $2,062,561
CPS Auto Trust, 1.48%, 3/16/20 (144A) 1,060,000 $421,740
CPS Auto Trust, 1.82%, 12/16/19 (144A) 1,179,000 $425,851
Credit Acceptance Auto Loan Trust 2012-2, 1.52%, 3/16/20 (144A) 3,241,000 $2,531,445
Credit Acceptance Auto Loan Trust 2012-2, 2.21%, 9/15/20 (144A) 2,000,000 $2,018,835
Credit Acceptance Auto Loan Trust 2013-1, 1.21%, 10/15/20 (144A) 1,000,000 $1,000,867
Credit-Based Asset Servicing and Securitization LLC, Floating Rate Note, 7/25/34 2,783,000 $720,162
Credit Suisse Commercial Mortgage Trust Series 2006-C1, Floating Rate Note, 2/15/39 5,802,000 $6,027,825
Credit Suisse Commercial Mortgage Trust Series 2006-C2, Floating Rate Note, 3/15/39 8,230,000 $5,893,678
Credit Suisse First Boston Mortgage Securities Corp., 4.686%, 7/15/37 5,510,000 $4,950,594
Credit Suisse First Boston Mortgage Securities Corp., 4.832%, 4/15/37 3,450,000 $3,383,584
Credit Suisse First Boston Mortgage Securities Corp., Floating Rate Note, 12/17/40 9,446,500 $6,635,368
Credit Suisse First Boston Mortgage Securities Corp., Floating Rate Note, 12/25/33 300,000 $5,500
Credit Suisse First Boston Mortgage Securities Corp., Floating Rate Note, 2/15/38 2,536,000 $406,587
Credit Suisse First Boston Mortgage Securities Corp., Floating Rate Note, 6/25/34 26,125,000 $343,201
Credit Suisse First Boston Mortgage Securities Corp., Floating Rate Note, 7/25/35 12,820,000 $1,443,013
Credit Suisse First Boston Mortgage Securities Corp., Floating Rate Note, 8/15/38 8,955,043 $6,387,075
Credit Suisse Mortgage Capital Certificates, Floating Rate Note, 10/27/36 (144A) 2,010,000 $167,079
Credit Suisse Mortgage Capital Certificates REMICS, Floating Rate Note, 7/27/36 (144A) 7,712,000 $1,612,292
Crown Americas Llc 1st Lien Tl-B L + 3.25% 20oct21 1,250,000 $1,257,250
Crown Castle 1st Lien Term-B2 L + 2.5% 31jan21 1,183,187 $1,180,525
Crowne Group Llc 1st Lien Tl-B L + 5% 29sep20 500,000 $495,000
Crusade Global Trust, Floating Rate Note, 11/15/37 10,000,000 $1,481,384
Crusade Global Trust No 1 of 2007, Floating Rate Note, 4/19/38 13,583,244 $2,279,524
CSMC Series 2014-ICE, Floating Rate Note, 4/15/27 (144A) 6,470,000 $6,472,315
CSMC Trust 2014-SURF, Floating Rate Note, 2/15/29 (144A) 2,400,000 $2,403,945
CWABS Asset-Backed Certificates Trust 2004-7, Floating Rate Note, 12/25/34 2,140,000 $1,196,465
CWABS Asset-Backed Certificates Trust 2005-1, Floating Rate Note, 2/25/33 1,113,000 $187,740
CWABS Asset-Backed Certificates Trust 2005-1, Floating Rate Note, 6/25/35 2,058,000 $56,608
CWABS Inc Asset-Backed Certificates Trust 2004-6, Floating Rate Note, 11/25/34 21,906,000 $691,351
CWABS Inc Asset-Backed Certificates Trust 2004-6, Floating Rate Note, 11/25/34 14,200,000 $727,045
CWABS Master Trust Series 2003-D Subtrust, Floating Rate Note, 6/15/29 28,190,000 $58,809
Daimler Finance North America LLC, 1.3%, 7/31/15 (144A) 5,100,000 $5,145,901
Daimler Finance North America LLC, 1.65%, 4/10/15 (144A) 2,131,000 $2,144,082
Daimler Finance North America LLC, Floating Rate Note, 3/10/17 (144A) 1,500,000 $1,503,297
Daimler Finance North America LLC, Floating Rate Note, 8/1/16 (144A) 1,500,000 $1,511,737
Daimler Finance North America LLC, Floating Rate Note, 8/1/17 (144A) 2,061,000 $2,059,117
Darling Ingredients, Inc., Term B USD Loan, 12/19/20 1,582,050 $1,577,581
Dartmouth Zero% 31dec14 2,300,000 $2,291,260
Davita Healthcare Partners Inc 1st Lien Tl-B L + 2.75% 19jun21 475,050 $473,227
D Cp Zero% 04dec14 Usd 4,650,000 $4,649,853
DEALERTRACK TECHNOLOGIES INC, Term Loan, 2/27/21 954,022 $945,476
Del Coronado Trust 2013-DEL, Floating Rate Note, 3/16/26 (144A) 1,460,000 $1,460,487
Dell Equipment Finance Trust 2014-1, 0.64%, 7/22/16 (144A) 800,000 $800,156
DELOS FINANCE SARL, Loan, 2/27/21 1,295,000 $1,295,809
Delta Air Lines, Inc., 2014 Term B-1 Loan, 10/18/18 736,875 $728,980
Delta Air Lines, Inc., Term Loan, 4/20/17 295,420 $293,840
Delta Funding Home Equity Loan Trust 1997-2, 7.04%, 6/25/27 1,000,000 $930
Deltek, Inc., Term Loan (First Lien), 10/10/18 296,231 $295,454
Devon Energy Corp., Floating Rate Note, 12/15/15 4,800,000 $4,819,033
DigitalGlobe, Inc., Term Loan, 1/31/20 877,267 $876,280
Direct Capital Funding V LLC, 1.673%, 12/20/17 (144A) 725,000 $127,392
Discover Card Execution Note Trust, 0.69%, 8/15/18 3,125,000 $3,126,554
Discover Card Execution Note Trust, 0.81%, 8/15/17 3,000,000 $3,003,615
Discover Card Execution Note Trust, 0.86%, 11/15/17 1,700,000 $1,704,133
Discover Card Execution Note Trust, Floating Rate Note, 1/16/18 1,345,000 $1,344,929
Discover Card Execution Note Trust, Floating Rate Note, 10/15/18 3,915,000 $3,912,743
Discover Card Execution Note Trust, Floating Rate Note, 3/15/18 6,550,000 $6,574,339
Drillships Financing Holding, Inc., Tranche B-1 Term Loan, 3/31/21 987,500 $920,021
Drug Royalty II LP 2, Floating Rate Note, 7/15/23 (144A) 1,350,000 $1,296,080
Dtz Us Borrower Llc 1st Lien Dd L + 4.5% 28oct21 640,187 $644,188
Dtz Us Borrower Llc 1st Lien Tl L + 4.5% 28oct21 1,074,600 $1,081,316
Duke Energy Corp., 3.35%, 4/1/15 2,600,000 $2,639,125
Duke Energy Corp., Floating Rate Note, 4/3/17 1,740,000 $1,746,116
Duke Energy Indiana, Inc., Floating Rate Note, 7/11/16 1,375,000 $1,379,212
Duke Energy Ohio, Inc., Floating Rate Note, 3/6/15 725,000 $725,818
Duke Energy Progress, Inc., Floating Rate Note, 11/20/17 2,600,000 $2,600,252
Duke Energy Progress, Inc., Floating Rate Note, 3/6/17 1,275,000 $1,275,400
DynCorp International, Inc., Term Loan, 7/7/16 143,055 $143,020
Dynegy, Inc., Tranche B-2 Term Loan, 4/23/20 455,769 $455,342
East Lane Re, Ltd., Floating Rate Note, 3/13/15 (Cat Bond) (144A) 1,000,000 $1,025,854
East Lane Re V, Ltd., Floating Rate Note, 3/16/16 (Cat Bond) (144A) 250,000 $271,625
East Lane Re VI, Ltd., Floating Rate Note, 3/14/18 (Cat Bond) (144A) 2,000,000 $2,008,078
Eco Services Operations Llc 1st Lien Tl-B L + 3.75% 10oct21 1,400,000 $1,403,500
Electricite de France SA, Floating Rate Note, 1/20/17 (144A) 1,865,000 $1,871,743
Ellington Loan Acquisition Trust 2007-1, Floating Rate Note, 5/26/37 (144A) 2,400,000 $2,177,485
Ellington Loan Acquisition Trust 2007-2, Floating Rate Note, 5/26/37 (144A) 5,000,000 $495,536
Embarcadero Reinsurance, Ltd., Floating Rate Note, 2/7/17 (Cat Bond) (144A) 525,000 $532,930
Emdeon, Inc., Term B-2 Loan, 11/2/18 1,608,019 $1,602,492
Enbridge, Inc., Floating Rate Note, 10/1/16 1,650,000 $1,660,162
Encore Credit Receivables Trust 2005-3, Floating Rate Note, 10/25/35 3,600,000 $988,486
Endo Luxembourg Finance I 1st Lien Tl-B L + 2.5% 05nov20 497,500 $492,992
Energy Transfer Partners LP, 5.95%, 2/1/15 2,830,000 $2,907,346
Entercom Radio LLC, Term B-2 Loan, 11/23/18 344,650 $344,866
Enterprise Fleet Financing LLC, 0.72%, 4/20/18 (144A) 4,500,000 $1,431,126
Enterprise Fleet Financing LLC, 0.87%, 9/20/19 2,000,000 $2,002,499
Enterprise Fleet Financing LLC, 0.93%, 4/20/18 (144A) 1,800,000 $1,804,200
Enterprise Products Operating LLC, 3.7%, 6/1/15 3,830,000 $3,957,391
Envision Healthcare Corp., Initial Term Loan, 5/25/18 1,252,335 $1,248,578
Epiq Systems, Inc., Term Loan, 8/27/20 470,250 $467,899
EQTY 2014-INNS Mortgage Trust, Floating Rate Note, 5/8/31 (144A) 3,530,000 $3,489,150
EQTY 2014-INNS Mortgage Trust REMICS, Floating Rate Note, 5/8/31 (144A) 1,850,000 $1,832,647
Equity One Mortgage Pass-Through Trust 2004-3, Floating Rate Note, 7/25/34 14,189,000 $865,889
EquiVantage Home Equity Loan Trust 1997-1, 8.05%, 3/25/28 (Step) 1,500,000 $26,802
Evergreen Skills Lux Sarl, Initial Term Loan (First Lien), 4/23/21 399,000 $395,722
Exeter Automobile Receivables Trust 2012-2, 1.3%, 6/15/17 (144A) 1,000,000 $119,145
Exeter Automobile Receivables Trust 2012-2, 3.06%, 7/16/18 (144A) 1,000,000 $1,009,929
Exeter Automobile Receivables Trust 2014-2, 1.06%, 8/15/18 1,400,000 $1,063,663
Expert Global Solutions, Inc., Term B Advance (First Lien), 4/3/18 10,555 $10,544
Express Scripts Holding Co., 2.1%, 2/12/15 5,323,000 $5,369,936
Extended Stay America Trust 2013-ESH, Floating Rate Note, 12/5/31 (144A) 900,000 $900,004
Extended Stay America Trust 2013-ESH, Floating Rate Note, 12/5/31 (144A) 800,000 $800,268
Exxon Mobil Corp., Floating Rate Note, 3/15/17 1,980,000 $1,982,492
Fannie Mae, 6.5%, 1/1/15 1,381,759 $110
Fannie Mae, 7.0%, 10/1/17 2,241,352 $6,809
Fannie Mae, Floating Rate Note, 1/1/48 175,000 $23,865
Fannie Mae, Floating Rate Note, 10/1/32 500,000 $27,142
Fannie Mae, Floating Rate Note, 11/1/23 970,000 $10,229
Fannie Mae, Floating Rate Note, 2/1/34 500,000 $24,143
Fannie Mae, Floating Rate Note, 9/1/32 375,000 $21,677
Fannie Mae Connecticut Avenue Securities, Floating Rate Note, 10/25/23 1,705,000 $1,425,136
Fannie Mae Connecticut Avenue Securities, Floating Rate Note, 5/25/24 3,560,000 $3,158,346
Fannie Mae Connecticut Avenue Securities, Floating Rate Note, 7/25/24 5,330,000 $4,841,465
Fannie Mae Trust 2003-W6, Floating Rate Note, 9/25/42 10,100,000 $848,470
Fannie Mae Trust 2005-W4, Floating Rate Note, 6/25/45 1,500,000 $236,015
Fannie Mae Whole Loan, Floating Rate Note, 11/25/46 12,390,000 $2,202,763
FCI - FIDJI LUXEMBOURG BC4 SARL, Term Loan, 12/19/20 1,365,000 $1,372,678
Federal Farm Credit Banks, 0.39%, 4/25/16 2,133,000 $2,130,270
Federal Farm Credit Banks, Floating Rate Note, 1/20/15 1,490,000 $1,490,754
Federal Farm Credit Banks, Floating Rate Note, 1/26/15 4,000,000 $4,002,028
Federal Farm Credit Banks, Floating Rate Note, 10/26/15 2,560,000 $2,560,573
Federal Farm Credit Banks, Floating Rate Note, 12/15/14 3,000,000 $3,000,426
Federal Farm Credit Banks, Floating Rate Note, 2/18/16 2,610,000 $2,611,107
Federal Farm Credit Banks, Floating Rate Note, 3/23/15 18,770,000 $18,784,250
Federal Farm Credit Banks, Floating Rate Note, 3/4/15 1,360,000 $1,361,193
Federal Farm Credit Banks, Floating Rate Note, 3/9/15 2,200,000 $2,200,409
Federal Farm Credit Banks, Floating Rate Note, 9/18/15 2,540,000 $2,542,175
Federal Home Loan Bank Discount Notes, 0.0%, 1/21/15 13,420,000 $13,419,262
Federal Home Loan Banks, 2.9%, 4/20/17 4,130,000 $786,031
Federal Home Loan Banks, Floating Rate Note, 10/7/15 2,640,000 $2,642,732
Federal Home Loan Mortgage Corp., Floating Rate Note, 1/15/35 5,669,000 $798,181
Federal Home Loan Mortgage Corp., Floating Rate Note, 10/1/23 1,890,000 $9,001
Federal Home Loan Mortgage Corp., Floating Rate Note, 11/1/33 850,000 $15,423
Federal Home Loan Mortgage Corp., Floating Rate Note, 12/5/14 11,330,000 $11,331,265
Federal Home Loan Mortgage Corp., Floating Rate Note, 6/1/35 3,000,000 $7,713
Federal Home Loan Mortgage Corp., Floating Rate Note, 6/26/15 2,000,000 $2,000,674
Federal Home Loan Mortgage Corp., Floating Rate Note, 8/15/35 50,000,000 $5,228,520
Federal Home Loan Mortgage Corp. REMICS, 3.5%, 6/15/28 5,381,000 $671,397
Federal Home Loan Mortgage Corp. REMICS, 4.0%, 1/15/24 1,801,000 $57,655
Federal Home Loan Mortgage Corp. REMICS, 4.0%, 11/15/23 95,000 $72,727
Federal Home Loan Mortgage Corp. REMICS, 4.0%, 12/15/22 4,041,000 $23,396
Federal Home Loan Mortgage Corp. REMICS, 5.0%, 6/15/34 2,168,000 $65,472
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 1/15/33 42,500,000 $589,104
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 1/15/36 1,837,000 $381,519
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 1/15/37 63,238,000 $4,062,661
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 10/15/20 1,400,000 $138,734
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 10/15/31 1,750,000 $109,860
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 10/15/37 18,287,000 $1,396,486
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 10/15/37 9,195,000 $716,680
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 11/15/18 7,142,857 $71,209
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 11/15/31 20,187,077 $145,943
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 11/15/33 2,550,000 $332,066
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 11/15/35 850,000 $193,076
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 11/15/36 5,342,000 $998,689
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 11/15/36 2,850,000 $499,962
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 11/15/40 1,265,000 $618,149
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/20 1,000,000 $159,104
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/28 56,250,000 $491,091
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/32 1,700,000 $33,108
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/32 15,400,000 $254,709
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/32 2,500,000 $8,123
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/32 11,201,000 $902,637
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/32 9,063,000 $732,708
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/36 17,426,100 $1,419,654
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/39 2,334,000 $1,003,221
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/41 1,000,000 $674,593
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/19 4,675,000 $337,857
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/25 2,142,856 $465,278
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/29 23,100,000 $274,914
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/30 2,056,750 $956,138
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/33 15,000,000 $441,819
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/33 49,250,000 $688,201
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/36 5,000,000 $410,798
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/36 4,291,000 $792,881
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/37 23,400,000 $1,417,353
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/39 1,251,000 $661,742
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 3/15/24 6,200,000 $1,545,398
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 3/15/32 122,751,000 $1,114,285
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 3/15/32 22,000,000 $205,098
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 3/15/32 64,920,000 $777,726
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 3/15/36 5,000,000 $1,161,736
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 3/15/39 1,000,000 $283,844
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 3/15/41 13,046,000 $3,019,232
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 4/15/35 1,775,000 $391,963
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 4/15/36 3,463,000 $702,331
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 5/15/29 15,000,000 $135,736
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 5/15/33 2,000,000 $248,497
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 5/15/35 3,925,000 $884,239
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 5/15/35 10,200,000 $701,678
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 5/15/36 7,791,000 $565,302
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 5/15/37 3,000,000 $265,423
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 5/15/37 5,000,000 $357,127
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 5/15/41 340,000 $111,523
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 6/15/23 6,500,000 $118,626
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 6/15/33 10,000,000 $566,726
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 6/15/36 5,835,000 $634,694
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 6/15/36 52,250,000 $2,211,318
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 6/15/38 4,056,000 $934,001
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 7/15/21 17,312,039 $264,857
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 7/15/23 2,924,000 $647,230
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 7/15/34 5,000,000 $655,039
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 7/15/36 5,000,000 $987,431
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 7/15/36 1,200,000 $52,260
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 7/15/36 15,317,285 $1,223,255
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 7/15/40 2,570,000 $571,521
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 8/15/26 1,330,000 $493,019
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 8/15/35 5,000,000 $912,165
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 8/15/35 2,185,000 $443,030
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 8/15/36 17,556,000 $949,702
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 9/15/26 1,427,500 $852,898
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 9/15/32 10,000,000 $221,062
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 9/15/36 3,470,000 $325,008
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 9/15/36 3,320,000 $401,206
Federal National Mortgage Association, 0.75%, 8/16/17 (Step) 1,415,000 $1,418,970
Federal National Mortgage Association, Floating Rate Note, 1/20/15 760,000 $760,124
Federal National Mortgage Association, Floating Rate Note, 1/27/15 2,135,000 $2,136,553
Federal National Mortgage Association, Floating Rate Note, 12/15/14 1,400,000 $1,401,447
Federal National Mortgage Association, Floating Rate Note, 12/25/33 25,758,805 $7,531,314
Federal National Mortgage Association, Floating Rate Note, 2/25/38 50,000,000 $15,255,011
Federal National Mortgage Association, Floating Rate Note, 3/25/18 30,543,000 $927,050
Federal National Mortgage Association, Floating Rate Note, 4/25/35 750,000 $140,454
Federal National Mortgage Association, Floating Rate Note, 8/26/16 6,085,000 $6,088,806
Federal National Mortgage Association REMICS, 4.0%, 6/25/37 3,650,000 $131,669
Federal National Mortgage Association REMICS, 4.5%, 1/25/39 820,000 $57,372
Federal National Mortgage Association REMICS, 6.0%, 3/25/35 1,000,000 $24,680
Federal National Mortgage Association REMICS, Floating Rate Note, 1/18/32 16,977,308 $258,143
Federal National Mortgage Association REMICS, Floating Rate Note, 1/25/32 30,000,000 $417,644
Federal National Mortgage Association REMICS, Floating Rate Note, 1/25/33 13,036,000 $467,511
Federal National Mortgage Association REMICS, Floating Rate Note, 1/25/33 5,000,000 $164,041
Federal National Mortgage Association REMICS, Floating Rate Note, 1/25/40 5,000,000 $406,781
Federal National Mortgage Association REMICS, Floating Rate Note, 10/25/35 6,475,000 $659,044
Federal National Mortgage Association REMICS, Floating Rate Note, 10/25/35 625,000 $29,168
Federal National Mortgage Association REMICS, Floating Rate Note, 10/25/36 71,456,000 $2,651,575
Federal National Mortgage Association REMICS, Floating Rate Note, 10/25/37 2,400,000 $671,880
Federal National Mortgage Association REMICS, Floating Rate Note, 10/25/37 1,030,000 $134,781
Federal National Mortgage Association REMICS, Floating Rate Note, 10/25/38 6,344,000 $700,060
Federal National Mortgage Association REMICS, Floating Rate Note, 10/27/37 2,382,000 $2,358,424
Federal National Mortgage Association REMICS, Floating Rate Note, 11/18/32 105,671,000 $2,016,918
Federal National Mortgage Association REMICS, Floating Rate Note, 11/25/31 50,000,000 $463,957
Federal National Mortgage Association REMICS, Floating Rate Note, 11/25/31 44,000,000 $408,282
Federal National Mortgage Association REMICS, Floating Rate Note, 11/25/33 10,000,000 $797,361
Federal National Mortgage Association REMICS, Floating Rate Note, 11/25/34 9,662,000 $729,988
Federal National Mortgage Association REMICS, Floating Rate Note, 11/25/36 1,625,000 $355,199
Federal National Mortgage Association REMICS, Floating Rate Note, 12/25/23 5,000,000 $357,116
Federal National Mortgage Association REMICS, Floating Rate Note, 12/25/23 13,749,086 $111,099
Federal National Mortgage Association REMICS, Floating Rate Note, 12/25/30 20,000,000 $97,336
Federal National Mortgage Association REMICS, Floating Rate Note, 12/25/31 30,500,000 $1,171,048
Federal National Mortgage Association REMICS, Floating Rate Note, 12/25/32 14,000,000 $427,214
Federal National Mortgage Association REMICS, Floating Rate Note, 12/25/35 3,750,000 $395,229
Federal National Mortgage Association REMICS, Floating Rate Note, 12/25/36 4,800,000 $277,135
Federal National Mortgage Association REMICS, Floating Rate Note, 12/25/37 21,428,000 $751,611
Federal National Mortgage Association REMICS, Floating Rate Note, 12/25/38 400,000 $258,876
Federal National Mortgage Association REMICS, Floating Rate Note, 12/25/49 2,000,000 $282,006
Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/17 14,970,453 $8,468
Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/33 16,918,890 $837,112
Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/33 10,610,000 $385,054
Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/35 2,497,000 $789,304
Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/37 20,692,000 $923,241
Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/37 5,150,000 $520,489
Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/38 4,400,000 $294,901
Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/38 2,184,000 $604,198
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/23 17,080,403 $165,997
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/24 14,460,650 $574,291
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/28 24,210,000 $317,736
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/34 20,624,640 $1,281,095
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/36 700,000 $114,945
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/37 3,413,000 $501,239
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/37 30,888,000 $796,883
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/37 2,300,000 $255,509
Federal National Mortgage Association REMICS, Floating Rate Note, 4/25/25 540,000 $97,120
Federal National Mortgage Association REMICS, Floating Rate Note, 4/25/32 35,072,000 $2,112,771
Federal National Mortgage Association REMICS, Floating Rate Note, 4/25/33 36,000,000 $1,071,353
Federal National Mortgage Association REMICS, Floating Rate Note, 4/25/42 642,857 $467,827
Federal National Mortgage Association REMICS, Floating Rate Note, 5/25/33 15,932,000 $421,597
Federal National Mortgage Association REMICS, Floating Rate Note, 5/25/36 13,100,000 $1,557,311
Federal National Mortgage Association REMICS, Floating Rate Note, 5/25/36 23,900,354 $818,846
Federal National Mortgage Association REMICS, Floating Rate Note, 5/25/37 32,172,000 $1,240,055
Federal National Mortgage Association REMICS, Floating Rate Note, 5/25/40 500,000 $278,408
Federal National Mortgage Association REMICS, Floating Rate Note, 5/25/40 2,619,152 $1,179,074
Federal National Mortgage Association REMICS, Floating Rate Note, 5/25/40 8,500,000 $1,423,112
Federal National Mortgage Association REMICS, Floating Rate Note, 6/25/23 3,460,000 $222,316
Federal National Mortgage Association REMICS, Floating Rate Note, 6/25/36 8,454,822 $878,725
Federal National Mortgage Association REMICS, Floating Rate Note, 6/25/37 3,590,000 $364,231
Federal National Mortgage Association REMICS, Floating Rate Note, 6/25/37 632,250 $79,983
Federal National Mortgage Association REMICS, Floating Rate Note, 6/25/37 7,474,000 $967,364
Federal National Mortgage Association REMICS, Floating Rate Note, 6/25/37 900,000 $106,405
Federal National Mortgage Association REMICS, Floating Rate Note, 7/18/27 10,000,000 $39,684
Federal National Mortgage Association REMICS, Floating Rate Note, 7/25/31 48,885,770 $449,025
Federal National Mortgage Association REMICS, Floating Rate Note, 7/25/31 50,000,000 $317,274
Federal National Mortgage Association REMICS, Floating Rate Note, 7/25/32 15,000,000 $207,460
Federal National Mortgage Association REMICS, Floating Rate Note, 7/25/34 2,860,000 $165,699
Federal National Mortgage Association REMICS, Floating Rate Note, 7/25/34 7,443,000 $513,902
Federal National Mortgage Association REMICS, Floating Rate Note, 7/25/35 9,145,238 $2,054,434
Federal National Mortgage Association REMICS, Floating Rate Note, 7/25/35 23,056,000 $2,764,235
Federal National Mortgage Association REMICS, Floating Rate Note, 7/25/36 2,000,000 $288,294
Federal National Mortgage Association REMICS, Floating Rate Note, 7/25/37 1,942,360 $299,757
Federal National Mortgage Association REMICS, Floating Rate Note, 8/25/31 17,600,000 $219,167
Federal National Mortgage Association REMICS, Floating Rate Note, 8/25/32 5,000,000 $91,734
Federal National Mortgage Association REMICS, Floating Rate Note, 8/25/32 15,000,000 $310,509
Federal National Mortgage Association REMICS, Floating Rate Note, 8/25/33 485,000 $18,064
Federal National Mortgage Association REMICS, Floating Rate Note, 8/25/36 4,450,000 $273,622
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/20 13,700,000 $35,812
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/21 8,269,375 $78,667
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/32 20,000,000 $383,161
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/32 19,400,000 $162,947
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/33 19,984,406 $2,203,428
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/36 13,053,000 $852,890
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/37 7,400,000 $791,335
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/37 9,159,000 $396,933
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/37 1,915,000 $242,899
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/37 3,173,000 $418,074
Fieldstone Mortgage Investment Trust Series 2005-1, Floating Rate Note, 3/25/35 1,457,000 $555,781
Fieldwood Energy LLC, Closing Date Loan, 9/25/18 2,675,368 $2,568,354
Fifth Third Auto 2013-1, 0.59%, 3/15/16 100,000 $22,730
Fifth Third Auto Trust 2014-3, Floating Rate Note, 5/15/17 1,700,000 $1,700,218
Fifth Third Bancorp, Floating Rate Note, 12/20/16 1,727,000 $1,723,171
Fifth Third Bank Cincinnati Ohio, 4.75%, 2/1/15 3,500,000 $3,578,780
Fifth Third Bank Cincinnati Ohio, Floating Rate Note, 11/18/16 1,800,000 $1,804,543
Fifth Third Bank Cincinnati Ohio, Floating Rate Note, 2/26/16 3,330,000 $3,338,088
First Franklin Mortgage Loan Trust 2005-FFH3, Floating Rate Note, 9/25/35 4,351,000 $2,115,114
First Franklin Mortgage Loan Trust Series 2005-FF12, Floating Rate Note, 11/25/36 1,750,000 $272,762
First Horizon Mortgage Pass-Through Trust 2003-AR3, Floating Rate Note, 9/25/33 13,000,000 $907,081
First Investors Auto Owner Trust, 1.06%, 11/15/18 (144A) 2,000,000 $1,998,755
First Investors Auto Owner Trust 2012-2, 1.47%, 5/15/18 (144A) 100,000 $23,683
First Investors Auto Owner Trust 2013-2, 1.23%, 3/15/19 (144A) 4,251,000 $2,268,562
First Investors Auto Owner Trust 2013-3, 0.89%, 9/15/17 (144A) 220,000 $107,130
First Investors Auto Owner Trust 2014-2, 0.86%, 8/15/18 (144A) 2,100,000 $2,098,260
Firstmac Mortgage Funding Trust Series 1A-2014, Floating Rate Note, 6/26/15 (144A) 2,500,000 $2,500,310
First NLC Trust 2005-2, Floating Rate Note, 9/25/35 369,713 $121,479
Flagstar Home Equity Loan Trust 2005-1, Floating Rate Note, 6/25/18 (144A) 15,500,000 $1,162,763
Fly Funding II Sarl, Loan, 8/8/18 1,566,924 $1,568,883
FMG Resources August 2006 Pty, Ltd., Loan, 6/30/19 1,473,841 $1,385,410
FNA 2013-1 Trust, 1.98%, 1/10/18 2,199,000 $648,374
Foothill CLO, Ltd., Floating Rate Note, 2/22/21 (144A) 2,250,000 $1,182,426
Ford Credit Auto Lease Trust 2013-B, Floating Rate Note, 1/15/16 150,000 $88,130
Ford Credit Auto Lease Trust 2014-B, Floating Rate Note, 3/15/17 2,150,000 $2,150,350
Ford Credit Auto Owner Trust, 1.35%, 12/15/16 200,000 $84,429
Ford Credit Auto Owner Trust 2011-A, 1.65%, 5/15/16 1,870,000 $235,851
Ford Credit Auto Owner Trust 2013-C, 0.55%, 4/15/16 1,480,000 $187,610
Ford Credit Auto Owner Trust 2014-A, 0.48%, 11/15/16 1,827,000 $998,308
Ford Credit Floorplan Master Owner Trust A, Floating Rate Note, 1/15/18 350,000 $350,443
Ford Credit Floorplan Master Owner Trust A, Floating Rate Note, 2/15/19 900,000 $901,407
Fore CLO, Ltd., Floating Rate Note, 7/20/19 (144A) 1,250,000 $278,396
Foresight Energy LLC, Term Loan, 8/21/20 221,862 $223,249
Fosse Master Issuer Plc, Floating Rate Note, 10/19/54 (144A) 1,000,000 $700,228
Foundation Re III, Ltd., Floating Rate Note, 2/25/15 (Cat Bond) (144A) 2,550,000 $2,573,616
Four Corners CLO II, Ltd., Floating Rate Note, 1/26/20 (144A) 553,000 $530,955
Four Seasons Holdings, Inc., Term Loan (First Lien) 2013, 6/27/20 495,000 $491,674
Franklin Resources, Inc., 3.125%, 5/20/15 2,150,000 $2,178,662
Freddie Mac Strips, Floating Rate Note, 12/15/36 10,968,000 $694,094
Freddie Mac Strips, Floating Rate Note, 8/15/36 43,230,336 $2,276,268
Freddie Mac Strips, Floating Rate Note, 8/15/36 10,000,000 $525,652
Freddie Mac Structured Agency Credit Risk Debt Notes, Floating Rate Note, 10/25/24 2,480,000 $2,476,986
Freddie Mac Structured Agency Credit Risk Debt Notes, Floating Rate Note, 11/25/23 2,250,000 $1,810,523
Freddie Mac Structured Agency Credit Risk Debt Notes, Floating Rate Note, 2/25/24 1,555,000 $1,443,404
Freddie Mac Structured Agency Credit Risk Debt Notes, Floating Rate Note, 8/25/24 5,000,000 $4,897,161
Fremont Home Loan Trust 2005-B, Floating Rate Note, 4/25/35 2,750,000 $648,025
Fresenius US Finance I, Inc., Tranche B Term Loan, 8/7/19 1,485,000 $1,480,359
Gale Force 3 Clo, Ltd., Floating Rate Note, 4/19/21 (144A) 1,200,000 $735,867
Galileo Re, Ltd., Floating Rate Note, 1/9/19 (Cat Bond) (144A) 1,500,000 $1,574,675
Garda World Security Corp., Term B Delayed Draw Loan, 11/8/20 319,350 $315,625
Garda World Security Corp., Term B Loan, 11/1/20 1,248,370 $1,233,805
Gardner Denver, Inc., Initial Dollar Term Loan, 7/30/20 396,000 $386,925
Gator Re, Ltd., Floating Rate Note, 1/9/17 (Cat Bond) (144A) 2,000,000 $2,070,017
GE Business Loan Trust 2003-1, Floating Rate Note, 4/15/31 (144A) 20,374,890 $990,759
GE Business Loan Trust 2003-2 REMICS, Floating Rate Note, 11/15/31 (144A) 10,000,000 $1,067,326
GE Business Loan Trust 2004-1, Floating Rate Note, 5/15/32 (144A) 7,667,511 $713,577
GE Business Loan Trust 2004-2, Floating Rate Note, 12/15/32 (144A) 8,066,438 $1,258,105
GE Business Loan Trust 2005-1, Floating Rate Note, 6/15/33 (144A) 4,489,882 $2,255,006
GE Business Loan Trust 2006-2, Floating Rate Note, 11/15/34 (144A) 6,967,382 $2,623,161
GE Business Loan Trust 2007-1, Floating Rate Note, 4/16/35 (144A) 4,787,273 $1,968,596
GE Capital Commercial Mortgage Corp., Floating Rate Note, 6/10/48 4,205,000 $1,100,673
GE Capital Commercial Mortgage Corp., Floating Rate Note, 7/10/45 1,700,000 $1,729,549
GE Dealer Floorplan Master Note Trust, Floating Rate Note, 10/20/17 888,000 $888,494
GE Dealer Floorplan Master Note Trust, Floating Rate Note, 10/20/19 2,700,000 $2,700,408
GE Dealer Floorplan Master Note Trust, Floating Rate Note, 2/21/17 350,000 $350,161
GE Dealer Floorplan Master Note Trust, Floating Rate Note, 4/20/18 1,190,000 $1,193,397
GE Dealer Floorplan Master Note Trust, Floating Rate Note, 6/20/17 2,000,000 $2,001,681
GE Dealer Floorplan Master Note Trust, Floating Rate Note, 6/20/17 500,000 $500,163
GE Dealer Floorplan Master Note Trust, Floating Rate Note, 7/22/19 2,670,000 $2,667,573
GE Equipment Small Ticket LLC Series 2013-1, 0.73%, 1/25/16 (144A) 800,000 $371,202
GE Equipment Small Ticket LLC Series 2014-1, 0.59%, 8/24/16 1,900,000 $1,899,964
GE Equipment Transportation LLC Series 2013-1, 0.5%, 11/24/15 570,000 $29,804
GE Equipment Transportation LLC Series 2013-2, 0.61%, 6/24/16 1,520,000 $932,558
General Electric Capital Corp., 1.625%, 7/2/15 1,000,000 $1,014,414
General Electric Capital Corp., Floating Rate Note, 1/14/16 1,865,000 $1,868,800
General Electric Capital Corp., Floating Rate Note, 1/8/16 3,300,000 $3,322,271
General Electric Capital Corp., Floating Rate Note, 5/11/16 1,000,000 $1,000,449
General Electric Capital Corp., Floating Rate Note, 5/15/17 2,000,000 $2,001,741
General Electric Capital Corp., Floating Rate Note, 7/10/15 690,000 $692,022
General Electric Capital Corp., Floating Rate Note, 7/12/16 1,001,000 $1,010,160
General Electric Capital Corp., Floating Rate Note, 7/2/15 2,793,000 $2,815,549
General Electric Capital Corp., Floating Rate Note, 8/1/17 500,000 $499,752
General Mills, Inc., Floating Rate Note, 1/28/16 1,895,000 $1,896,179
General Mills, Inc., Floating Rate Note, 1/29/16 1,765,000 $1,768,434
Genpact International, Inc., Term Loan, 8/30/19 982,563 $984,866
Georgia Power Co., Floating Rate Note, 3/15/16 1,090,000 $1,091,102
Georgia Power Co., Floating Rate Note, 8/15/16 1,000,000 $1,000,201
Getty Images, Inc., Initial Term Loan, 10/18/19 113,863 $107,980
GLC Trust 2013-1, 3.0%, 7/15/21 (144A) 3,200,000 $2,732,587
Glencore Funding LLC, Floating Rate Note, 5/27/16 (144A) 1,800,000 $1,816,208
Glenn Pool Oil & Gas Trust, Term Loan, 5/2/16 25,761 $25,826
Global Container Assets 2013-1, Ltd., 2.2%, 11/5/28 (144A) 1,750,000 $1,180,909
Global Mortgage Securitization, Ltd., 5.25%, 4/25/32 (144A) 2,691,322 $805,739
Global Mortgage Securitization, Ltd., Floating Rate Note, 11/25/32 (144A) 8,780,000 $509,073
Global Mortgage Securitization, Ltd., Floating Rate Note, 4/25/32 (144A) 29,975,000 $2,747,646
GMAC Commercial Mortgage Securities Inc Series 2004-C2 Trust, Floating Rate Note, 8/10/38 5,341,000 $42,239
GMAC Commercial Mortgage Securities Inc Series 2005-C1 Trust, 4.697%, 5/10/43 3,547,000 $3,586,954
GMAC Commercial Mortgage Securities Inc Series 2006-C1 Trust, Floating Rate Note, 11/10/45 8,250,000 $5,231,721
GMAT 2013-1 Trust, 3.9669%, 8/25/53 (Step) 5,300,000 $4,380,800
Golden Credit Card Trust, Floating Rate Note, 2/15/18 (144A) 1,300,000 $1,299,694
Golden Credit Card Trust, Floating Rate Note, 9/15/18 (144A) 715,000 $715,888
Golden State Re, Ltd., Floating Rate Note, 1/8/15 (Cat Bond) (144A) 750,000 $756,856
Golden State RE II, Ltd., Floating Rate Note, 1/8/19 (Cat Bond) (144A) 3,700,000 $3,705,262
Government National Mortgage Association, 4.0%, 7/20/34 31,635,000 $1,227,315
Government National Mortgage Association, 4.5%, 11/20/34 1,100,000 $6,365
Government National Mortgage Association, Floating Rate Note, 1/16/33 26,309,521 $1,008,340
Government National Mortgage Association, Floating Rate Note, 1/16/35 11,437,000 $1,247,617
Government National Mortgage Association, Floating Rate Note, 1/20/33 10,000,000 $40,605
Government National Mortgage Association, Floating Rate Note, 10/16/39 2,500,000 $390,759
Government National Mortgage Association, Floating Rate Note, 10/20/38 3,000,000 $1,030,003
Government National Mortgage Association, Floating Rate Note, 2/20/35 8,941,000 $1,198,777
Government National Mortgage Association, Floating Rate Note, 4/16/29 50,000,000 $566,210
Government National Mortgage Association, Floating Rate Note, 4/16/32 13,425,000 $247,651
Government National Mortgage Association, Floating Rate Note, 5/16/38 8,761,000 $655,663
Government National Mortgage Association, Floating Rate Note, 6/16/31 14,000,000 $246,180
Government National Mortgage Association, Floating Rate Note, 8/16/39 2,960,000 $521,152
Government National Mortgage Association, Floating Rate Note, 8/20/35 3,497,364 $371,003
Government National Mortgage Association, Floating Rate Note, 8/20/38 4,585,000 $458,315
Government National Mortgage Association, Floating Rate Note, 9/16/31 34,344,532 $697,949
Government National Mortgage Association II, Floating Rate Note, 1/20/22 1,000,000 $13,078
GP Portfolio Trust 2014-GGP, Floating Rate Note, 2/16/27 (144A) 3,350,000 $3,356,274
Gracechurch Card Funding Plc, Floating Rate Note, 2/15/17 (144A) 3,605,000 $3,609,109
Gracechurch Card Funding Plc, Floating Rate Note, 5/15/19 (144A) 1,300,000 $1,313,214
Gracechurch Card Funding Plc, Floating Rate Note, 6/15/17 (144A) 2,200,000 $2,204,961
Gracechurch Mortgage Financing Plc, Floating Rate Note, 11/20/56 (144A) 2,500,000 $1,745,009
Gray Television Inc. 1st Lien Tl L + 3% 10jun21 1,123,063 $1,115,575
GreenPoint Mortgage Funding Trust 2005-HE1, Floating Rate Note, 9/25/34 1,357,437 $578,372
GRIFOLS WORLDWIDE OPERATIONS USA INC, U.S. Tranche B Term Loam, 4/1/21 522,375 $518,104
GSAA Home Equity Trust 2004-11, Floating Rate Note, 12/25/34 5,735,000 $305,277
GSAA Home Equity Trust 2004-6, Floating Rate Note, 6/25/34 52,357,062 $1,341,193
GSAA Home Equity Trust 2004-8, Floating Rate Note, 9/25/34 7,860,000 $259,969
GSAA Home Equity Trust 2005-11, Floating Rate Note, 10/25/35 4,339,000 $543,496
GSAA Trust, Floating Rate Note, 6/25/35 6,300,000 $1,699,819
GSAMP Trust 2004-SEA2, Floating Rate Note, 3/25/34 4,798,600 $3,615,057
GSAMP Trust 2005-HE1, Floating Rate Note, 12/25/34 5,414,212 $466,356
GSAMP Trust 2006-SD1, Floating Rate Note, 7/25/45 9,948,000 $991,336
GSAMP Trust 2006-SEA1, Floating Rate Note, 5/25/36 (144A) 25,142,877 $2,026,593
GS Mortgage Securities Trust 2006-GG6 REMICS, Floating Rate Note, 4/10/38 3,550,000 $3,681,630
GS Mortgage Securities Trust 2014-GSFL, Floating Rate Note, 7/15/31 (144A) 1,690,000 $1,694,884
GSR Mortgage Loan Trust 2003-9, Floating Rate Note, 8/25/33 1,500,000 $101,191
GSRPM Mortgage Loan Trust 2003-2, Floating Rate Note, 6/25/33 1,826,298 $1,118,779
GSRPM Mortgage Loan Trust 2006-1, Floating Rate Note, 3/25/35 (144A) 7,593,737 $1,071,187
GSRPM Mortgage Loan Trust 2006-2, Floating Rate Note, 9/25/36 (144A) 5,483,897 $767,114
Halyard Health Inc 1st Lien Tl-B L + 3.25% 03oct21 1,000,000 $1,004,745
HarborView Mortgage Loan Trust 2004-1, Floating Rate Note, 4/19/34 16,013,000 $706,839
HarborView Mortgage Loan Trust 2004-4, Floating Rate Note, 6/19/34 25,700,000 $249,027
Harch CLO III, Ltd., Floating Rate Note, 4/17/20 (144A) 500,000 $486,137
Harley-Davidson Motorcycle Trust 2012-1, 0.68%, 4/17/17 2,700,000 $964,678
Hercules Capital Funding Trust 2012-1, 3.32%, 12/16/17 (144A) 400,000 $62,979
Hertz Fleet Lease Funding LP, Floating Rate Note, 12/10/27 (144A) 1,000,000 $1,000,814
Hertz Fleet Lease Funding LP, Floating Rate Note, 12/10/27 (144A) 500,000 $501,352
Hertz Fleet Lease Funding LP, Floating Rate Note, 4/10/28 (144A) 1,100,000 $1,100,654
Hewett's Island CDO, Ltd., Floating Rate Note, 6/9/19 (144A) 1,000,000 $1,003,652
Hilton USA Trust 2013-HLF, Floating Rate Note, 11/5/30 (144A) 2,475,000 $2,442,041
Hilton Worldwide Finance LLC, Initial Term Loan, 9/23/20 1,006,579 $998,401
HJ Heinz Co., Term B-2 Loan, 6/5/20 1,580,000 $1,581,482
HLSS Servicer Advance Receivables Backed Notes Series 2013-T2, 1.1472%, 5/16/44 (144A) 4,240,000 $4,227,900
HLSS Servicer Advance Receivables Trust, 1.2437%, 1/17/45 3,750,000 $3,748,814
HLSS Servicer Advance Receivables Trust, 1.4953%, 1/16/46 (144A) 5,600,000 $5,564,056
Holmes Master Issuer Plc, Floating Rate Note, 10/15/54 (144A) 2,500,000 $1,178,407
Holmes Master Issuer Plc, Floating Rate Note, 10/15/54 (144A) 1,676,000 $985,778
Hologic, Inc., Refinancing Tranche B Term Loan, 8/1/19 910,851 $909,306
HomeBanc Mortgage Trust 2005-2, Floating Rate Note, 5/25/25 45,670,847 $1,724,136
Home Equity Asset Trust 2005-6, Floating Rate Note, 12/25/35 3,404,000 $3,099,805
Home Equity Asset Trust 2005-7, Floating Rate Note, 1/25/36 3,870,000 $2,064,649
Home Equity Asset Trust 2006-4, Floating Rate Note, 8/25/36 1,250,000 $343,664
Home Equity Asset Trust 2006-8, Floating Rate Note, 3/25/37 6,984,978 $2,006,096
Home Equity Mortgage Loan Asset-Backed Trust Series INABS 2005-C, Floating Rate Note, 10/25/35 4,000,000 $7,213
Homestar Mortgage Acceptance Corp., Floating Rate Note, 1/25/35 11,300,000 $1,268,481
Homestar Mortgage Acceptance Corp., Floating Rate Note, 3/25/34 76,711,000 $4,387,715
Homestar Mortgage Acceptance Corp., Floating Rate Note, 6/25/34 11,977,997 $1,043,723
Homestar Mortgage Acceptance Corp., Floating Rate Note, 7/25/34 19,310,000 $1,706,070
Honda Auto Receivables 2012-2 Owner Trust, 0.7%, 2/16/16 1,200,000 $326,467
Honda Auto Receivables 2012-4 Owner Trust, 0.52%, 8/18/16 5,000,000 $3,014,369
Honda Auto Receivables 2013-1 Owner Trust, 0.48%, 11/21/16 390,000 $298,349
Honda Auto Receivables 2013-2 Owner Trust, 0.53%, 2/16/17 959,000 $959,429
Honda Auto Receivables 2014-1 Owner Trust, 0.41%, 9/21/16 2,715,000 $2,612,185
Horizon Funding Trust 2013-1, 3.0%, 5/15/18 (144A) 2,777,000 $1,260,402
HSBC Bank Middle East, Ltd., 3.0%, 10/21/15 1,000,000 $1,019,117
HSBC Bank Plc, 3.5%, 6/28/15 (144A) 2,500,000 $2,581,849
HSBC Home Equity Loan Trust USA 2006-2, Floating Rate Note, 3/20/36 545,000 $81,857
HSBC Home Equity Loan Trust USA 2006-3, Floating Rate Note, 3/20/36 8,638,000 $7,428,831
HSBC Home Equity Loan Trust USA 2006-4, Floating Rate Note, 3/20/36 1,061,000 $874,557
HSBC Home Equity Loan Trust USA 2007-3, Floating Rate Note, 11/20/36 100,000 $47,165
HSBC Home Equity Loan Trust USA 2007-3, Floating Rate Note, 11/20/36 13,800,000 $3,333,009
HSBC USA, Inc., 2.375%, 2/13/15 8,014,000 $8,101,835
HSI Asset Securitization Corp Trust 2006-OPT1, Floating Rate Note, 12/25/35 1,369,377 $437,788
Huntsman International LLC, 2014-1 Incremental Term Loan, 9/30/21 1,000,000 $997,188
Hyperion Insurance Group, Ltd., Term Loan, 10/4/19 967,688 $966,478
Hyundai Auto Receivables Trust 2012-A, 0.95%, 12/15/16 3,878,000 $3,523,512
Hyundai Auto Receivables Trust 2014-B, 0.44%, 2/15/17 99,000 $98,991
Hyundai Capital Auto Funding VIII, Ltd., Floating Rate Note, 9/20/16 (144A) 5,954,000 $405,195
Hyundai Capital Services, Inc., Floating Rate Note, 3/18/17 (144A) 1,950,000 $1,956,678
IASIS Healthcare LLC, Term B-2 Loan, 5/3/18 488,763 $490,290
Ibis Re II, Ltd., Floating Rate Note, 2/5/15 (Cat Bond) (144A) 1,000,000 $1,048,625
Ibis Re II, Ltd., Floating Rate Note, 2/5/15 (Cat Bond) (144A) 600,000 $617,158
Ibis Re II, Ltd., Floating Rate Note, 6/28/16 (Cat Bond) (144A) 2,250,000 $2,308,925
Igloo Holdings Corp., 8.25%, 12/15/17 (144A) (PIK) 1,250,000 $1,306,354
Immucor, Inc., Term B-2 Loan, 8/19/18 218,308 $219,263
Impac CMB Trust Series 2003-8, Floating Rate Note, 10/25/33 8,000,000 $489,006
Impac CMB Trust Series 2004-4, Floating Rate Note, 9/25/34 49,152,075 $2,049,220
Impac CMB Trust Series 2004-4, Floating Rate Note, 9/25/34 42,840,193 $1,786,631
Impac CMB Trust Series 2004-5, Floating Rate Note, 8/25/34 9,850,000 $570,101
Impac CMB Trust Series 2004-6, Floating Rate Note, 10/25/34 9,071,000 $477,389
Impac CMB Trust Series 2004-7, Floating Rate Note, 11/25/34 34,014,000 $2,211,708
Impac CMB Trust Series 2004-8, Floating Rate Note, 8/25/34 13,500,000 $1,674,112
Impac CMB Trust Series 2004-8, Floating Rate Note, 8/25/34 2,122,000 $255,430
Impac CMB Trust Series 2004-9, Floating Rate Note, 1/25/35 19,075,000 $1,266,470
Impac Secured Assets CMN Owner Trust, Floating Rate Note, 11/25/34 30,931,007 $779,001
Impac Secured Assets Trust 2006-1, Floating Rate Note, 5/25/36 6,501,000 $2,155,102
Impac Secured Assets Trust 2006-2, Floating Rate Note, 8/25/36 4,987,000 $1,264,815
Impac Secured Assets Trust 2006-5, Floating Rate Note, 12/25/36 3,800,000 $818,020
Intelsat Jackson Holdings SA, Tranche B-2 Term Loan, 6/30/19 521,732 $519,558
Interactive Data 1st Lien Tl-B L + 3.75% 24apr21 213,503 $214,771
inVentiv Health, Inc., Term B-3 Loan, 5/15/18 66,299 $65,857
Invitation Homes 2013-SFR1 Trust, Floating Rate Note, 12/19/30 (144A) 1,800,000 $1,749,895
Invitation Homes 2014-SFR2 Trust, Floating Rate Note, 9/18/31 (144A) 2,100,000 $2,073,665
Invitation Homes Trust, Floating Rate Note, 12/17/31 (144A) 2,000,000 $1,993,641
Inwood Park CDO, Ltd., Floating Rate Note, 1/20/21 (144A) 3,500,000 $1,041,675
Irwin Home Equity Loan Trust 2005-1, Floating Rate Note, 6/25/25 11,600,000 $2,298,109
Irwin Whole Loan Home Equity Trust 2003-C, Floating Rate Note, 6/25/28 7,545,000 $1,831,045
Irwin Whole Loan Home Equity Trust 2005-B, Floating Rate Note, 12/25/29 6,125,000 $3,328,473
IXIS Real Estate Capital Trust 2005-HE4, Floating Rate Note, 2/25/36 3,493,986 $588,945
Jackson National Life Global Funding, Floating Rate Note, 9/30/15 (144A) 2,000,000 $2,005,574
Jarden Corp., Tranche B1 Term Loan, 9/30/20 990,000 $991,238
JBS USA LLC, Initial Term Loan, 5/25/18 874,626 $871,893
JLL, Initial Dollar Term Loan, 1/23/21 304,238 $298,077
JMC Steel Group, Inc., Term Loan, 4/1/17 358,473 $357,792
John Deere Capital Corp., Floating Rate Note, 10/11/16 1,500,000 $1,504,644
John Deere Capital Corp., Floating Rate Note, 12/10/15 1,800,000 $1,802,516
JOHN DEERE CAPITAL Corp., Floating Rate Note, 2/25/16 2,883,000 $2,884,466
John Deere Owner Trust 2013-B, 0.55%, 1/15/16 100,000 $27,133
JPMorgan Chase & Co., 1.1%, 10/15/15 1,528,000 $1,536,148
JPMorgan Chase & Co., 1.875%, 3/20/15 2,600,000 $2,621,395
JPMorgan Chase & Co., Floating Rate Note, 10/15/15 2,000,000 $2,010,567
JPMorgan Chase & Co., Floating Rate Note, 2/15/17 2,000,000 $2,001,393
JPMorgan Chase & Co., Floating Rate Note, 2/26/16 1,800,000 $1,806,531
JP Morgan Chase Commercial Mortgage Securities Trust 2002-CIBC4, Floating Rate Note, 5/12/34 257,000 $146,655
JP Morgan Chase Commercial Mortgage Securities Trust 2004-C3, 4.878%, 1/15/42 3,500,000 $31,147
JP Morgan Chase Commercial Mortgage Securities Trust 2004-LN2, Floating Rate Note, 7/15/41 2,030,626 $225,001
JP Morgan Chase Commercial Mortgage Securities Trust 2005-CIBC11, Floating Rate Note, 8/12/37 5,345,000 $3,159,632
JP Morgan Chase Commercial Mortgage Securities Trust 2005-LDP2, 4.78%, 7/15/42 3,770,000 $3,837,158
JP Morgan Chase Commercial Mortgage Securities Trust 2005-LDP2 REMICS, 4.738%, 7/15/42 3,175,000 $3,206,068
JP Morgan Chase Commercial Mortgage Securities Trust 2005-LDP3, Floating Rate Note, 8/15/42 2,670,000 $2,738,748
JP Morgan Chase Commercial Mortgage Securities Trust 2005-LDP3 REMICS, Floating Rate Note, 8/15/42 8,585,000 $7,524,858
JP Morgan Chase Commercial Mortgage Securities Trust 2005-LDP4, Floating Rate Note, 10/15/42 3,950,000 $4,029,980
JP Morgan Chase Commercial Mortgage Securities Trust 2005-LDP5, Floating Rate Note, 12/15/44 6,310,000 $6,494,659
JP Morgan Chase Commercial Mortgage Securities Trust 2006-CIBC17, 5.45%, 12/12/43 48,000 $2,821
JP Morgan Chase Commercial Mortgage Securities Trust 2006-FL2, Floating Rate Note, 11/15/18 (144A) 8,570,000 $1,757,261
JP Morgan Chase Commercial Mortgage Securities Trust 2006-FL2, Floating Rate Note, 11/15/18 (144A) 500,000 $161,481
JP Morgan Chase Commercial Mortgage Securities Trust 2006-LDP9, Floating Rate Note, 5/15/47 200,000 $76,711
JP Morgan Chase Commercial Mortgage Securities Trust 2007-CIBC19, Floating Rate Note, 2/12/49 475,000 $21,598
JP Morgan Chase Commercial Mortgage Securities Trust 2007-LDP11, Floating Rate Note, 6/15/49 120,000 $1,752
JP Morgan Chase Commercial Mortgage Securities Trust 2013-ALC, Floating Rate Note, 7/17/26 (144A) 1,466,000 $1,479,161
JP Morgan Chase Commercial Mortgage Securities Trust 2013-FL3, Floating Rate Note, 4/17/28 (144A) 1,200,000 $1,198,139
JP Morgan Chase Commercial Mortgage Securities Trust 2013-JWRZ, Floating Rate Note, 4/15/30 (144A) 4,975,000 $4,971,197
JP Morgan Chase Commercial Mortgage Securities Trust 2014-BXH, Floating Rate Note, 4/15/27 (144A) 5,600,000 $5,596,160
JP Morgan Chase Commercial Mortgage Securities Trust 2014-CBM, Floating Rate Note, 10/15/29 (144A) 4,280,000 $4,282,589
JP Morgan Chase Commercial Mortgage Securities Trust 2014-FBLU, Floating Rate Note, 12/15/28 (144A) 2,910,000 $2,917,010
JP Morgan Chase Commercial Mortgage Securities Trust 2014-FBLU REMICS, Floating Rate Note, 12/15/28 3,510,000 $3,514,509
JP Morgan Chase Commercial Mortgage Securities Trust 2014-FL4, Floating Rate Note, 12/16/30 (144A) 1,500,000 $1,501,266
JP Morgan Chase Commercial Mortgage Securities Trust 2014-INN, Floating Rate Note, 6/15/29 (144A) 3,500,000 $3,488,931
JP Morgan Chase Commercial Mortgage Securities Trust 2014-INN, Floating Rate Note, 6/15/29 (144A) 3,750,000 $3,747,293
JP Morgan Chase Commercial Mortgage Securities Trust 2014-PHH, Floating Rate Note, 8/16/27 (144A) 3,770,000 $3,785,269
JP Morgan Mortgage Acquisition Corp 2005-FRE1, Floating Rate Note, 10/25/35 19,316,000 $1,125,622
JP Morgan Mortgage Acquisition Trust 2006-ACC1, Floating Rate Note, 5/25/36 3,004,334 $816,243
JP Morgan Mortgage Trust 2003-A1, Floating Rate Note, 10/25/33 12,490,305 $1,454,191
JP Morgan Mortgage Trust 2004-A5, Floating Rate Note, 12/25/34 1,119,000 $816,801
Kane Flt% 12jun15 2,000,000 $1,873,600
Kane Flt% 14jul15 1,528,080 $1,476,889
Kane Flt% 30jul16 1,006,000 $1,086,681
KeyBank NA Cleveland Ohio, Floating Rate Note, 11/25/16 4,500,000 $4,517,223
KeyCorp, 3.75%, 8/13/15 4,050,000 $4,183,110
KeyCorp Student Loan Trust 2004-A, Floating Rate Note, 10/28/41 500,000 $104,910
Kilimanjaro Re, Ltd., Floating Rate Note, 11/19/19 (Cat Bond) (144A) 2,600,000 $2,600,000
Kilimanjaro Re, Ltd., Floating Rate Note, 4/30/18 (Cat Bond) (144A) 2,300,000 $2,365,745
Kilimanjaro Re, Ltd., Floating Rate Note, 4/30/18 (Cat Bond) (144A) 1,000,000 $1,019,875
Kindred Healthcare 1st Lien Tl-B L + 3% 10apr21 715,969 $712,091
Kinetic Concepts, Inc., Dollar Term E-1 Loan, 5/4/18 588,270 $586,477
Kizuna II Re, Ltd., Floating Rate Note, 4/6/18 (Cat Bond) (144A) 1,800,000 $1,819,418
KKR Financial CLO 2007-1, Ltd., Floating Rate Note, 5/15/21 (144A) 650,000 $644,969
Kleopatra Acquisition Corp., Term B-1 Loan, 12/21/16 688,849 $690,141
Kubota Credit Owner Trust 2014-1, 0.58%, 2/15/17 800,000 $800,108
Lanark Master Issuer Plc, Floating Rate Note, 12/22/54 (144A) 2,000,000 $1,567,545
Lanark Master Issuer Plc, Floating Rate Note, 12/22/54 (144A) 1,250,000 $1,171,247
Landry's, Inc., B Term Loan, 4/24/18 398,477 $398,519
Language Line LLC, Tranche B Term Loan, 6/20/16 872,561 $872,016
Las Vegas Sands LLC, Term B Loan, 12/19/20 436,700 $436,388
LB-UBS Commercial Mortgage Trust 2004-C1, 4.568%, 1/15/31 1,000,000 $114,245
LB-UBS Commercial Mortgage Trust 2005-C2 REMICS, Floating Rate Note, 4/15/30 4,785,000 $4,847,447
LB-UBS Commercial Mortgage Trust 2005-C3, 4.739%, 7/15/30 4,490,000 $2,686,193
LB-UBS Commercial Mortgage Trust 2005-C5, 4.954%, 9/15/30 8,750,000 $5,988,993
LB-UBS Commercial Mortgage Trust 2005-C7 REMICS, Floating Rate Note, 11/15/30 (144A) 8,161,979 $7,576,437
LB-UBS Commercial Mortgage Trust 2006-C1 REMICS, 5.156%, 2/15/31 5,465,000 $5,523,602
LB-UBS Commercial Mortgage Trust 2008-C1, Floating Rate Note, 4/15/41 414,000 $70,926
LEAF Receivables Funding 9 LLC, 0.88%, 11/15/15 (144A) 1,500,000 $752,589
Lehman Brothers Small Balance Commercial, Floating Rate Note, 2/25/30 (144A) 6,250,000 $860,834
Lehman Brothers Small Balance Commercial, Floating Rate Note, 4/25/31 (144A) 6,464,393 $1,146,646
Lehman Brothers Small Balance Commercial, Floating Rate Note, 4/25/31 (144A) 17,333,137 $2,721,182
Lehman Brothers Small Balance Commercial, Floating Rate Note, 9/25/30 (144A) 10,120,098 $1,757,590
Lehman Brothers Small Balance Commercial Mortgage Trust 2007-3, Floating Rate Note, 10/25/37 (144A) 4,405,200 $1,137,623
Lehman Brothers Small Balance Commercial Mortgage Trust 2007-3, Floating Rate Note, 10/25/37 (144A) 2,211,066 $1,676,030
Lehman XS Trust Series 2005-2, Floating Rate Note, 8/25/35 42,014,000 $2,810,153
Level 3 Financing Inc 1st Lien Tl-B5 L + 3.5% 31jan22 1,000,000 $1,005,357
LifePoint Hospitals, Inc., Incremental Term Loan B, 7/24/17 342,404 $342,761
Live Nation Entertainment, Inc., Term B-1 Loan, 8/17/20 770,220 $767,165
Livingston International, Inc., Initial Term B-1 Loan (First Lien), 4/18/19 493,750 $479,246
Lockwood Grove CLO, Ltd., Floating Rate Note, 1/25/24 (144A) 2,500,000 $2,500,000
Loma Reinsurance, Ltd. Bermuda, Floating Rate Note, 1/8/18 (Cat Bond) (144A) 1,000,000 $1,050,083
Longpoint Re, Ltd., Floating Rate Note, 6/12/15 (Cat Bond) (144A) 2,550,000 $2,636,180
Longpoint Re, Ltd. III, Floating Rate Note, 5/18/16 (Cat Bond) (144A) 3,110,000 $3,174,750
Loudoun County Economic Development Authority, Floating Rate Note, 2/15/38 10,000,000 $10,000,214
Louisiana Public Facilities Authority, Floating Rate Note, 4/26/27 1,250,000 $1,002,182
Madison Avenue Manufactured Housing Contract Trust 2002-A, Floating Rate Note, 3/25/32 1,000,000 $371,795
MALLINCKRODT INTERNATIONAL FINANCE SA, Initial Term B Loan, 3/6/21 970,125 $963,254
Manufacturers & Traders Trust Co., Floating Rate Note, 1/30/17 1,900,000 $1,901,977
Manufacturers & Traders Trust Co., Floating Rate Note, 7/25/17 2,400,000 $2,397,451
Marathon Oil Corp., 0.9%, 11/1/15 709,000 $709,993
Massachusetts Health & Educational Facilities Authority, Floating Rate Note, 10/1/49 5,600,000 $5,600,143
MassMutual Global Funding II, Floating Rate Note, 12/11/15 (144A) 1,750,000 $1,752,974
MASTR Adjustable Rate Mortgages Trust 2003-3, Floating Rate Note, 9/25/33 2,650,000 $763,429
MASTR Adjustable Rate Mortgages Trust 2004-11, Floating Rate Note, 11/25/34 5,400,000 $1,677,226
MASTR Alternative Loan Trust 2005-1, Floating Rate Note, 2/25/35 21,274,000 $1,880,779
Mastr Asset Backed Securities Trust 2004-HE1, Floating Rate Note, 9/25/34 1,570,000 $56,472
Mastr Asset Backed Securities Trust 2005-FRE1, Floating Rate Note, 10/25/35 1,400,000 $40,901
Mastr Asset Backed Securities Trust 2006-AB1 REMICS, Floating Rate Note, 2/25/36 12,307,204 $2,099,445
Mastr Asset Backed Securities Trust 2006-NC1, Floating Rate Note, 1/25/36 23,055,603 $2,972,674
MASTR Asset Securitization Trust 2003-6, Floating Rate Note, 7/25/18 7,302,000 $210,854
Mastr Specialized Loan Trust, Floating Rate Note, 1/25/36 (144A) 21,217,354 $1,711,183
MCC Iowa LLC, Tranche G Term Loan, 1/20/20 735,000 $726,272
Mcdermott International Inc 1st Lien Tl-B L + 4.25% 11apr19 498,750 $486,281
McKesson Corp., Floating Rate Note, 9/10/15 3,130,000 $3,138,495
Mediacom Illinois LLC, Tranche F Term Loan, 3/31/18 1,393,000 $1,363,399
Mercedes Benz Auto Lease Trust 2014-A, Floating Rate Note, 6/15/16 1,900,000 $1,900,283
Merna Re V, Ltd., Floating Rate Note, 4/7/17 (Cat Bond) (144A) 2,000,000 $2,006,867
Merrill Lynch Mortgage Investors Trust Series 2005-2, Floating Rate Note, 10/25/35 2,600,000 $652,455
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-A, Floating Rate Note, 3/25/28 48,813,000 $1,706,719
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-B, Floating Rate Note, 4/25/28 32,661,000 $1,476,602
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-C, Floating Rate Note, 6/25/28 44,308,430 $1,679,075
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-C REMICS, Floating Rate Note, 6/25/28 42,262,000 $1,932,473
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-E, Floating Rate Note, 10/25/28 38,289,000 $1,885,414
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-G, Floating Rate Note, 1/25/29 16,556,000 $239,495
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-H, Floating Rate Note, 1/25/29 24,460,400 $1,408,529
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-A REMICS, Floating Rate Note, 4/25/29 35,467,206 $1,976,641
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-B, Floating Rate Note, 5/25/29 12,160,000 $436,652
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-C, Floating Rate Note, 7/25/29 41,778,000 $1,975,514
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-C, Floating Rate Note, 7/25/29 3,866,000 $131,357
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-D, Floating Rate Note, 9/25/29 11,000,000 $753,590
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-E, Floating Rate Note, 11/25/29 36,000,000 $2,140,080
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-G, Floating Rate Note, 1/25/30 64,515,401 $2,899,155
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-G, Floating Rate Note, 1/25/30 15,000,000 $985,275
Merrill Lynch Mortgage Investors Trust Series MLCC 2005-A, Floating Rate Note, 3/25/30 39,366,746 $2,489,054
Merrill Lynch Mortgage Trust 2005-CIP1, Floating Rate Note, 7/12/38 2,170,000 $2,206,177
Merrill Lynch Mortgage Trust 2005-CKI1, Floating Rate Note, 11/12/37 7,925,000 $6,489,740
Merrill Lynch Mortgage Trust 2005-LC1, Floating Rate Note, 1/12/44 6,177,508 $5,686,034
Merrill Lynch Mortgage Trust 2005-MCP1, Floating Rate Note, 6/12/43 5,841,000 $4,214,971
MetLife Institutional Funding II, 1.625%, 4/2/15 (144A) 4,500,000 $4,529,367
MetLife Institutional Funding II, Floating Rate Note, 1/6/15 (144A) 3,205,000 $3,209,091
MetroCat Re, Ltd., Floating Rate Note, 8/5/16 (Cat Bond) (144A) 1,500,000 $1,558,988
Metropolitan Life Global Funding I, Floating Rate Note, 7/15/16 (144A) 1,500,000 $1,510,186
MGM Resorts International, Term B Loan, 12/20/19 1,228,125 $1,213,669
Michaels Stores, Inc., Term B Loan, 1/28/20 985,000 $978,946
Micro Focus Us Inc 1st Lien Tl-B L + 4.25% 07oct21 1,650,000 $1,616,485
Microsemi Corp., Term Loan (2014), 3/14/21 131,461 $130,475
Milacron LLC, Term Loan, 3/28/20 689,535 $682,640
Mirror BidCo Corp., New Incremental Term Loan, 12/18/19 1,008,996 $1,002,689
Mizuho Bank, Ltd., Floating Rate Note, 4/16/17 (144A) 1,000,000 $1,001,270
Monitronics International, Inc., Term B Loan (2013), 3/23/18 985,281 $984,666
Morgan Stanley, 1.75%, 2/25/16 1,300,000 $1,319,348
Morgan Stanley, Floating Rate Note, 10/15/15 318,000 $319,124
Morgan Stanley, Floating Rate Note, 2/25/16 4,350,000 $4,400,189
Morgan Stanley ABS Capital I Inc Trust 2004-SD3, Floating Rate Note, 6/25/34 (144A) 41,830,000 $1,737,129
Morgan Stanley ABS Capital I Inc Trust 2005-NC2, Floating Rate Note, 3/25/35 2,854,027 $1,752,103
Morgan Stanley ABS Capital I Inc Trust 2005-WMC3, Floating Rate Note, 3/25/35 131,174 $70,177
Morgan Stanley Capital I, Inc., Floating Rate Note, 10/15/20 (144A) 2,650,000 $737,949
Morgan Stanley Capital I, Inc., Floating Rate Note, 10/15/20 (144A) 3,025,000 $3,016,127
Morgan Stanley Capital I Trust 2004-IQ8, Floating Rate Note, 6/15/40 3,830,000 $413,404
Morgan Stanley Capital I Trust 2005-HQ6, 4.989%, 8/13/42 7,550,000 $7,246,648
Morgan Stanley Capital I Trust 2005-HQ6 REMICS, Floating Rate Note, 8/13/42 2,900,000 $2,964,133
Morgan Stanley Capital I Trust 2005-IQ10, Floating Rate Note, 9/15/42 2,910,000 $2,153,948
Morgan Stanley Capital I Trust 2005-TOP17, 4.78%, 12/13/41 2,027,000 $56,447
Morgan Stanley Capital I Trust 2005-TOP19, 4.89%, 6/12/47 6,690,000 $6,122,072
Morgan Stanley Capital I Trust 2006-TOP21, Floating Rate Note, 10/12/52 1,960,000 $2,024,580
Morgan Stanley Mortgage Loan Trust 2005-5AR, Floating Rate Note, 9/25/35 38,687,000 $3,336,272
Morgan Stanley Mortgage Loan Trust 2005-6AR, Floating Rate Note, 11/25/35 14,045,000 $2,228,704
Morgan Stanley Mortgage Loan Trust 2005-6AR, Floating Rate Note, 11/25/35 6,309,000 $744,861
Morgan Stanley Re-REMIC Trust 2010-R4, Floating Rate Note, 7/26/36 (144A) 3,700,000 $327,386
Morgan Stanley Structured Trust, Floating Rate Note, 6/25/37 1,500,000 $182,253
MortgageIT Trust 2004-1, Floating Rate Note, 11/25/34 15,162,000 $2,075,479
MortgageIT Trust 2004-2, Floating Rate Note, 12/25/34 35,960,000 $5,774,594
MortgageIT Trust 2005-2, Floating Rate Note, 5/25/35 8,495,000 $1,642,767
Motel 6 Trust, 1.5%, 10/7/25 (144A) 1,000,000 $776,364
Motor 2013-1 Plc, Floating Rate Note, 2/25/21 (144A) 2,196,000 $806,239
Mpg Holdco I Inc 1st Lien Tl-B L + 3.5% 13oct21 1,576,470 $1,584,846
MRFC Mortgage Pass-Through Trust Series 1999-TBC2 REMICS, Floating Rate Note, 6/15/30 34,427,303 $2,063,418
MRFC Mortgage Pass-Through Trust Series 2000-TBC3, Floating Rate Note, 12/15/30 22,080,000 $1,106,308
MUFG Union Bank NA, Floating Rate Note, 9/26/16 3,500,000 $3,531,749
Multi Packaging Solutions, Inc., Initial Dollar Tranche B Term, 9/30/20 174,125 $172,166
Mystic Re, Ltd., Floating Rate Note, 3/12/15 (Cat Bond) (144A) 1,000,000 $1,030,550
Mystic Re, Ltd., Floating Rate Note, 3/12/15 (Cat Bond) (144A) 1,500,000 $1,568,200
Mythen Re, Ltd., Floating Rate Note, 5/7/15 (Cat Bond) (144A) 2,500,000 $2,575,481
Mythen Re, Ltd., Floating Rate Note, 5/7/15 (Cat Bond) (144A) 1,250,000 $1,290,873
Mythen Re, Ltd. Series 2012-2 Class A, Floating Rate Note, 1/5/17 (Cat Bond) (144A) 2,750,000 $2,976,078
Mythen Re, Ltd. Series 2012-2 Class A, Floating Rate Note, 11/10/16 (Cat Bond) (144A) 500,000 $542,747
Mythen Re, Ltd. Series 2013-1 Class B, Floating Rate Note, 7/9/15 (Cat Bond) (144A) 1,500,000 $1,570,400
National Australia Bank, Ltd., Floating Rate Note, 3/17/17 (144A) 1,950,000 $1,957,710
National City Bank Cleveland Ohio, Floating Rate Note, 12/15/16 2,850,000 $2,840,318
National City Corp., 4.9%, 1/15/15 2,750,000 $2,814,391
National Rural Utilities Cooperative Finance Corp., 1.0%, 2/2/15 5,300,000 $5,317,490
National Rural Utilities Cooperative Finance Corp., Floating Rate Note, 11/23/16 1,800,000 $1,803,645
National Rural Utilities Cooperative Finance Corp., Floating Rate Note, 5/1/15 2,720,000 $2,721,228
Nations Equipment Finance Funding II LLC, 1.558%, 7/20/18 (144A) 2,100,000 $1,830,010
Nationstar Agency Advance Funding Trust 2013-T1A, 0.997%, 2/15/45 (144A) 2,250,000 $2,249,612
Nationstar Home Equity Loan Trust 2007-A, Floating Rate Note, 3/25/37 1,000,000 $592,187
Navios Maritime Partners LP, Term Loan, 6/27/18 1,485,000 $1,496,138
Navitas Equipment Receivables LLC 2013-1, 1.95%, 11/15/16 1,750,000 $888,106
NBCUniversal Enterprise, Inc., Floating Rate Note, 4/15/16 (144A) 2,694,000 $2,706,089
NBTY, Inc., Term B-2 Loan, 10/1/17 400,000 $394,143
NCF Dealer Floorplan Master Trust, Floating Rate Note, 10/20/20 (144A) 3,000,000 $2,998,665
Ncl Corp Ltd 1st Lien Tl-B L + 3.25% 06nov21 1,000,000 $1,005,156
NCUA Guaranteed Notes Trust, Floating Rate Note, 10/7/20 2,000,000 $966,728
NCUA Guaranteed Notes Trust, Floating Rate Note, 11/6/17 6,590,000 $2,563,965
NCUA Guaranteed Notes Trust, Floating Rate Note, 12/8/20 410,000 $285,663
NCUA Guaranteed Notes Trust, Floating Rate Note, 3/11/20 2,035,000 $1,035,364
NCUA Guaranteed Notes Trust, Floating Rate Note, 4/6/20 5,835,000 $1,458,170
NCUA Guaranteed Notes Trust REMICS, Floating Rate Note, 12/8/20 1,330,000 $929,994
NCUA Guaranteed Notes Trust REMICS, Floating Rate Note, 3/2/21 2,700,000 $1,274,595
Nelnet Student Loan Trust 2005-1, Floating Rate Note, 10/26/20 1,795,000 $485,562
NEP, Amendment No. 3 Incremental Term Loan (First Lien), 1/22/20 615,660 $608,991
New Albertsons Inc 1st Lien Tl L + 3.75% 24jun21 500,000 $499,063
New Century Home Equity Loan Trust 2005-1, Floating Rate Note, 3/25/35 5,042,000 $803,981
NewStar Commercial Loan Trust 2007-1, Floating Rate Note, 9/30/22 (144A) 2,000,000 $1,073,287
New York Life Global Funding, 0.75%, 7/24/15 (144A) 3,550,000 $3,569,085
New York Life Global Funding, 1.3%, 1/12/15 (144A) 1,260,000 $1,267,715
New York Life Global Funding, Floating Rate Note, 10/5/15 (144A) 2,350,000 $2,351,484
New York Life Global Funding, Floating Rate Note, 5/23/16 (144A) 3,150,000 $3,165,866
New York Life Global Funding, Floating Rate Note, 9/6/16 (144A) 2,500,000 $2,501,836
Nissan Auto Lease 2013-A, 0.45%, 9/15/15 3,985,000 $848,259
Nissan Auto Lease Trust 2013-B, Floating Rate Note, 1/15/16 760,000 $513,546
Nissan Auto Receivables 2012-A Owner Trust, 0.73%, 5/16/16 55,000 $14,962
Nissan Auto Receivables 2013-A Owner Trust, 0.5%, 5/15/17 3,400,000 $2,647,407
Nissan Auto Receivables 2013-C Owner Trust, 0.4%, 6/15/16 2,075,000 $1,177,450
Nissan Master Owner Trust Receivables, Floating Rate Note, 5/15/17 3,395,000 $3,399,187
Nissan Motor Acceptance Corp., Floating Rate Note, 3/3/17 (144A) 2,000,000 $2,008,695
Nissan Motor Acceptance Corp., Floating Rate Note, 9/26/16 (144A) 1,500,000 $1,511,683
Nn Inc 1st Lien Tl-B L + 5% 18jul21 1,250,000 $1,249,219
Nomura Asset Acceptance Corp Alternative Loan Trust Series 2004-AR4, Floating Rate Note, 12/25/34 1,170,000 $143,400
Nomura Asset Acceptance Corp Alternative Loan Trust Series 2005-WF1, 4.786%, 3/25/35 735,000 $58,496
Nomura Home Equity Loan Inc Home Equity Loan Trust Series 2006-HE1, Floating Rate Note, 2/25/36 1,700,000 $138,307
Noranda Aluminum Acquisition Corp., Term B Loan, 2/28/19 117,000 $114,221
Nordea Bank AB, 2.25%, 3/20/15 (144A) 3,100,000 $3,129,448
Nordea Bank AB, Floating Rate Note, 4/4/17 (144A) 890,000 $891,390
Nordea Bank AB, Floating Rate Note, 5/13/16 (144A) 2,500,000 $2,511,793
Nordea Bank Finland Plc New York, Floating Rate Note, 6/13/16 2,225,000 $2,226,239
Northshore Re, Ltd., Floating Rate Note, 7/5/16 (Cat Bond) (144A) 2,250,000 $2,381,134
NorthStar 2012-1 Mortgage Trust, Floating Rate Note, 8/27/29 (144A) 1,000,000 $1,006,590
NorthStar 2012-1 Mortgage Trust, Floating Rate Note, 8/27/29 (144A) 2,926,938 $581,464
NorthStar 2013-1, Floating Rate Note, 8/27/29 (144A) 2,784,000 $2,637,788
NovaStar Mortgage Funding Trust Series 2003-1, Floating Rate Note, 5/25/33 19,881,000 $435,876
NovaStar Mortgage Funding Trust Series 2004-4, Floating Rate Note, 3/25/35 2,443,000 $2,400,005
NovaStar Mortgage Funding Trust Series 2004-4, Floating Rate Note, 3/25/35 1,150,000 $438,372
NPC International, Inc., Term Loan, 12/28/18 156,000 $150,540
NRG Energy, Inc., 8.25%, 9/1/20 1,250,000 $1,365,833
NRG Energy, Inc., Term Loan (2013), 7/1/18 1,173,445 $1,162,281
NSG Holdings LLC, New Term Loan, 12/11/19 1,574,366 $1,570,430
NSTAR Electric Co., Floating Rate Note, 5/17/16 1,013,000 $1,012,351
Numericable Sfr 1st Lien Tl-B2 L + 3.75% 23apr20 231,923 $232,565
Numericable Us Llc Tl-B1 L + 3.75% 23apr20 268,077 $268,819
NYCTL 2014-A Trust, 1.03%, 11/10/27 (144A) 1,800,000 $1,097,669
Oak Hill Advisors Residential Loan Trust, 3.475%, 4/25/54 (Step) (144A) 3,490,000 $3,495,751
Oak Hill Advisors Residential Loan Trust 2014-NPL1, 2.8828%, 5/25/54 (Step) (144A) 1,810,000 $1,354,060
Ocwen Loan Servicing LLC, Initial Term Loan, 2/15/18 1,384,369 $1,332,456
Offshore Group Investment, Ltd., Second Term Loan, 3/28/19 302,243 $252,373
On Assignment, Inc., Initial Term B Loan, 5/15/20 1,037,113 $1,032,359
Opteum Mortgage Acceptance Corp Asset Backed Pass-Through Certificates 2005-1, Floating Rate Note, 2 13,907,953 $46,703
Opteum Mortgage Acceptance Corp Asset Backed Pass-Through Certificates 2005-5, Floating Rate Note, 1 2,400,000 $205,947
Opteum Mortgage Acceptance Corp Trust 2005-4, Floating Rate Note, 11/25/35 21,900,000 $4,155,497
Option One Mortgage Loan Trust 2005-1, Floating Rate Note, 2/25/35 10,220,000 $3,062,811
Option One Mortgage Loan Trust 2005-4 Asset-Backed Certificates Series 2005-4, Floating Rate Note, 1 20,100,508 $1,653,588
Option One Mortgage Loan Trust 2007-FXD2, 5.9%, 3/25/37 (Step) 810,000 $38,369
Option One Woodbridge Loan Trust 2002-1, Floating Rate Note, 3/25/32 (144A) 6,512,459 $1,202,279
Oracle Corp., Floating Rate Note, 7/7/17 1,937,000 $1,939,221
ORES 2014-LV3 LLC, 3.0%, 3/27/24 (144A) 2,250,000 $1,586,666
ORES NPL 2013-LV2 LLC, 3.081%, 9/25/25 (144A) 1,558,000 $745,886
Origen Manufactured Housing Contract Trust 2004-B, Floating Rate Note, 11/15/35 1,240,000 $1,040,360
Oscar US Funding Trust 2014-1, 1.0%, 8/15/17 (144A) 2,500,000 $2,485,925
Ownit Mortgage Loan Trust Series 2005-5, Floating Rate Note, 10/25/36 3,827,500 $620,224
PACCAR Financial Corp., Floating Rate Note, 5/5/15 2,000,000 $2,001,581
PACCAR Financial Corp., Floating Rate Note, 6/6/17 1,290,000 $1,291,243
Pangaea Zero% 01jul18 2,300,000 $2,426,040
Paragon Offshore Finance Co Tl-B L + 2.75% 11jul21 875,000 $783,388
Park Place Securities Inc Asset-Backed Pass-Through Certificates Series 2004-MCW, Floating Rate Note 750,000 $313,791
Park Place Securities Inc Asset-Backed Pass-Through Certificates Series 2004-WCW, Floating Rate Note 2,800,000 $1,391,350
Park Place Securities Inc Asset-Backed Pass-Through Certificates Series 2004-WWF, Floating Rate Note 1,900,000 $390,833
Park Place Securities Inc Asset-Backed Pass-Through Ctfs Ser 2004-WCW2, Floating Rate Note, 10/25/34 4,874,309 $228,252
Park Place Securities Inc Asset-Backed Pass-Through Ctfs Ser 2005-WHQ4, Floating Rate Note, 9/25/35 6,230,000 $304,817
Park Place Securities Inc Asset-Backed Pass-Through Ctfs Ser 2005-WHQ4, Floating Rate Note, 9/25/35 8,206,169 $2,534,783
Par Pharmaceutical Companies, Inc., Term B-2 Loan, 9/28/19 1,473,547 $1,452,979
Pepper Residential Securities Trust, Floating Rate Note, 4/10/15 (144A) 2,000,000 $2,000,417
Pepper Residential Securities Trust, Floating Rate Note, 7/24/15 (144A) 2,000,000 $2,000,334
PepsiCo, Inc., Floating Rate Note, 2/26/16 860,000 $860,820
Permanent Master Issuer Plc, Floating Rate Note, 7/15/42 (144A) 887,000 $892,136
Permanent University Fund, Floating Rate Note, 7/1/37 11,495,000 $11,495,239
PF Chang's China Bistro, Inc., Term Borrowing, 6/22/19 839,311 $818,853
Pfizer, Inc., Floating Rate Note, 5/15/17 2,100,000 $2,098,669
PFS Financing Corp., Floating Rate Note, 10/15/19 (144A) 1,700,000 $1,700,569
PFS Financing Corp., Floating Rate Note, 10/15/19 (144A) 1,400,000 $1,400,352
PFS Financing Corp., Floating Rate Note, 2/15/18 (144A) 3,240,000 $3,239,861
PFS Financing Corp., Floating Rate Note, 2/15/19 (144A) 2,000,000 $2,004,683
PFS Tax Lien Trust 2014-1, 1.44%, 5/15/29 1,300,000 $1,014,802
PHARMEDIUM HEALTHCARE Corp., Initial Term Loan (First Lien), 1/23/21 261,900 $258,626
Philip Morris International, Inc., Floating Rate Note, 2/26/15 1,500,000 $1,500,013
Pilot Travel Centers Llc 1st Lien Tl-B L + 3.25% 01oct21 74,916 $75,291
Pinnacle Entertainment, Inc., Tranche B-2 Term Loan, 8/13/20 206,250 $204,639
Pinnacle Foods Finance LLC, New Term Loan G, 4/29/20 1,158,833 $1,145,072
PNC Bank NA, Floating Rate Note, 1/28/16 2,250,000 $2,253,602
PNC Bank NA, Floating Rate Note, 4/29/16 3,268,000 $3,270,699
Post Holdings Inc 1st Lien Tl-B L + 3% 23may21 997,500 $997,500
PQ Corp., 2014 Term Loan, 8/7/17 933,375 $928,375
Prestige Auto Receivables Trust 2014-1, 0.97%, 3/15/18 (144A) 2,395,000 $1,924,290
Prestige Brands, Inc., Term B-1 Loan, 1/31/19 492,840 $493,662
Prestige Brands, Inc., Term B-2 Loan, 8/18/21 591,667 $594,748
Principal Life Global Funding II, Floating Rate Note, 5/27/16 (144A) 2,530,000 $2,541,123
Progreso Receivables Funding II LLC, 3.5%, 7/8/19 (144A) 4,750,000 $4,762,667
Progreso Receivables Funding I LLC, 4.0%, 7/9/18 (144A) 1,800,000 $1,817,700
Progressive Waste Solutions, Ltd., Term B Loan, 10/24/19 1,173,075 $1,179,430
Province of Ontario Canada, Floating Rate Note, 4/1/15 1,800,000 $1,801,943
Prudential Financial, Inc., 3.875%, 1/14/15 290,000 $295,380
Prudential Financial, Inc., 6.2%, 1/15/15 1,902,000 $1,958,890
PVH Corp., Tranche B Term Loan, 2/13/20 1,319,693 $1,324,436
Quebecor Media, Inc., Facility B-1 Tranche, 8/17/20 497,481 $485,200
Queen City Re, Floating Rate Note, 1/6/19 (Cat Bond) (144A) 1,750,000 $1,770,927
Queen Street IV Capital, Ltd., Floating Rate Note, 4/9/15 (Cat Bond) (144A) 2,250,000 $2,305,725
Queen Street VIII Re, Ltd., Floating Rate Note, 6/8/16 (Cat Bond) (144A) 500,000 $513,739
Queen Street VII Re, Ltd., Floating Rate Note, 4/8/16 (Cat Bond) (144A) 1,750,000 $1,844,053
Queen Street VI Re, Ltd., Floating Rate Note, 4/9/15 (Cat Bond) (144A) 250,000 $257,913
Queen Street V Re, Ltd., Floating Rate Note, 4/9/15 (Cat Bond) (144A) 1,750,000 $1,801,547
Quest Trust REMICS, Floating Rate Note, 3/25/34 (144A) 55,089,092 $2,194,102
Quikrete Holdings, Inc., Initial Loan (First Lien), 9/26/20 858,036 $853,209
RAAC Series 2005-RP1 Trust, Floating Rate Note, 7/25/37 (144A) 2,130,580 $1,159,128
RAAC Series 2005-RP2 Trust, Floating Rate Note, 6/25/35 (144A) 4,005,000 $716,392
RAAC Series 2005-RP3 Trust, Floating Rate Note, 5/25/39 (144A) 2,000,000 $1,395,111
RAAC Series 2006-RP1 Trust, Floating Rate Note, 10/25/45 (144A) 15,300,000 $549,346
RAAC Series 2006-RP2 Trust, Floating Rate Note, 2/25/37 (144A) 26,822,396 $2,509,021
RAIT 2014-FL2 Trust, Floating Rate Note, 5/15/31 (144A) 5,200,000 $5,133,831
RAIT 2014-FL3 Trust, Floating Rate Note, 12/15/31 (144A) 3,540,000 $3,574,586
RALI Series 2002-QS16 Trust, Floating Rate Note, 10/25/17 5,500,000 $94,159
RALI Series 2003-QS10 Trust, Floating Rate Note, 5/25/33 21,400,000 $423,551
RALI Series 2003-QS11 Trust, Floating Rate Note, 6/25/33 44,273,266 $2,011,970
RALI Series 2003-QS22 Trust, Floating Rate Note, 12/26/33 8,400,000 $877,005
RALI Series 2003-QS5 Trust, Floating Rate Note, 3/25/18 30,000,000 $984,331
RALI Series 2003-QS6 Trust, Floating Rate Note, 3/25/33 22,278,454 $1,345,386
RALI Series 2003-QS9 Trust, Floating Rate Note, 5/25/18 34,469,500 $1,327,111
RALI Series 2004-QR1 Trust, 5.25%, 10/25/34 66,901,390 $1,165,836
RALI Series 2004-QS1 Trust, 4.25%, 1/25/34 4,500,000 $18,114
RALI Series 2004-QS1 Trust, Floating Rate Note, 1/25/34 4,000,000 $27,559
RALI Series 2004-QS5 Trust, 4.75%, 4/25/34 12,155,000 $649,273
RALI Series 2004-QS5 Trust, Floating Rate Note, 4/25/34 9,566,021 $505,191
RAMP Series 2004-RS11 Trust, Floating Rate Note, 11/25/34 3,805,000 $1,095,435
RAMP Series 2005-EFC4 Trust, Floating Rate Note, 9/25/35 1,060,000 $399,930
RAMP Series 2005-RS6 Trust, Floating Rate Note, 6/25/35 1,393,325 $782,854
RAMP Series 2006-RZ3 Trust, Floating Rate Note, 10/25/35 10,534,000 $2,404,332
RASC Series 2004-KS10 Trust, Floating Rate Note, 11/25/34 82,085,000 $2,262,130
RASC Series 2005-EMX2 Trust, Floating Rate Note, 7/25/35 157,752 $26,409
RASC Series 2005-KS3 Trust, Floating Rate Note, 4/25/35 500,000 $136,953
Raymond James Financial, Inc., 4.25%, 4/15/16 7,409,000 $7,753,529
RBS Greenwich Capital Mortgage Loan Trust, 3.686%, 4/15/24 (144A) 8,160,000 $3,082,188
RBS Greenwich Capital Mortgage Loan Trust, Floating Rate Note, 4/15/24 (144A) 1,150,000 $1,167,237
RBSSP Resecuritization Trust 2009-5, Floating Rate Note, 8/25/37 (144A) 7,810,000 $2,549,643
Regatta Funding, Ltd., Floating Rate Note, 6/15/20 (144A) 2,000,000 $887,311
RegionalCare Hospital Partners, Inc., Term Loan (First Lien), 4/21/19 492,528 $491,912
RENT-A-CENTER, INC, Term Loan (2014), 2/6/21 1,741,250 $1,706,425
Residential Asset Securitization Trust 2003-A15, Floating Rate Note, 2/25/34 10,120,000 $571,022
Residential Asset Securitization Trust 2003-A2, Floating Rate Note, 5/25/33 9,443,647 $356,272
Residential Reinsurance 2011, Ltd., Floating Rate Note, 12/6/16 (Cat Bond) (144A) 1,450,000 $1,525,154
Residential Reinsurance 2011, Ltd., Floating Rate Note, 6/6/15 (Cat Bond) (144A) 1,750,000 $1,848,175
Residential Reinsurance 2011, Ltd., Floating Rate Note, 6/6/17 (Cat Bond) (144A) 1,500,000 $1,599,408
Residential Reinsurance 2012, Ltd., Floating Rate Note, 12/6/16 (Cat Bond) (144A) 1,000,000 $1,128,042
Residential Reinsurance 2012, Ltd., Floating Rate Note, 12/6/16 (Cat Bond) (144A) 2,900,000 $3,027,020
Residential Reinsurance 2012, Ltd., Floating Rate Note, 12/6/16 (Cat Bond) (144A) 1,500,000 $1,586,096
Residential Reinsurance 2012, Ltd., Floating Rate Note, 6/6/16 (Cat Bond) (144A) 750,000 $818,375
Residential Reinsurance 2012, Ltd., Floating Rate Note, 6/6/16 (Cat Bond) (144A) 1,150,000 $1,285,329
Residential Reinsurance 2013, Ltd., Floating Rate Note, 6/6/17 (Cat Bond) (144A) 1,100,000 $1,199,532
Residential Reinsurance 2014, Ltd., Floating Rate Note, 6/6/18 (Cat Bond) (144A) 750,000 $768,875
RESI Finance LP, Floating Rate Note, 9/10/35 (144A) 11,796,589 $2,177,504
RESI Finance LP 2003-CB1, Floating Rate Note, 7/9/35 7,815,000 $2,045,198
Resi Flt% 12dec45 A1 3,000,000 $2,862,993
Resimac MBS Trust, Floating Rate Note, 3/7/15 (144A) 1,500,000 $1,500,539
Resource Capital Corp 2014-CRE2, Ltd., Floating Rate Note, 4/15/32 (144A) 4,920,000 $4,916,365
Resource Capital Corp CRE Notes 2013, Ltd., Floating Rate Note, 6/15/16 (144A) 3,000,000 $3,016,853
Revlon Consumer Products Corp., Acquisition Term Loan, 8/19/19 372,188 $370,404
Revlon Consumer Products Corp., Replacement Term Loan, 11/19/17 976,136 $968,968
Reynolds Group Holdings, Inc., Incremental U.S. Term Loan, 12/31/18 787,291 $786,160
RFSC Series 2003-RP2 Trust, Floating Rate Note, 7/25/41 (144A) 2,000,000 $788,599
Rialto Capital Management LLC, 2.85%, 5/15/24 (144A) 2,000,000 $1,012,046
Rio Tinto Finance USA Plc, Floating Rate Note, 6/17/16 1,130,000 $1,140,957
Riverfront Re, Ltd., Floating Rate Note, 1/6/17 (Cat Bond) (144A) 1,000,000 $1,012,567
Rovi Solutions Corp 1st Lien Tl-B L + 3% 02jul21 1,023,464 $1,010,193
Royal Bank of Canada, 1.15%, 3/13/15 2,532,000 $2,544,454
Royal Bank of Canada, Floating Rate Note, 1/23/17 1,875,000 $1,879,682
Royal Bank of Canada, Floating Rate Note, 1/6/15 2,200,000 $2,202,116
Royal Bank of Canada, Floating Rate Note, 12/16/15 1,800,000 $1,805,200
Royal Bank of Canada, Floating Rate Note, 6/16/17 2,200,000 $2,201,587
Royal Bank of Canada, Floating Rate Note, 9/9/16 2,000,000 $2,012,625
RPI Finance Trust, Term B-2 Term Loan, 5/9/18 1,014,668 $1,013,653
RPI Finance Trust, Term B-3 Term Loan, 11/9/18 623,927 $623,537
Ryder System, Inc., 3.15%, 3/2/15 2,000,000 $2,028,554
Salix Pharmaceuticals, Ltd., Term Loan, 12/17/19 433,125 $428,583
Salomon Brothers Mortgage Securities VII, Inc., Floating Rate Note, 3/25/28 49,537,000 $70,013
Salomon Mortgage Loan Trust Series 2001-CB4, Floating Rate Note, 11/25/33 4,754,000 $126,660
Samson Investment Co., Tranche 1 Term Loan (Second Lien), 9/25/18 400,000 $365,583
Sanders Re, Ltd., Floating Rate Note, 5/25/18 (Cat Bond) (144A) 1,000,000 $1,008,417
Sanders Re, Ltd., Floating Rate Note, 5/5/17 (Cat Bond) (144A) 1,500,000 $1,530,083
Sanders Re, Ltd., Floating Rate Note, 5/5/17 (Cat Bond) (144A) 2,500,000 $2,537,340
Sanders Re, Ltd., Floating Rate Note, 6/7/17 (Cat Bond) (144A) 2,000,000 $2,057,067
Santander Drive Auto Receivables Trust 2011-2, 3.28%, 6/15/16 2,265,000 $1,043,767
Santander Drive Auto Receivables Trust 2012-5, 0.83%, 12/15/16 1,600,000 $158,634
SASCO Mortgage Loan Trust 2005-GEL1, Floating Rate Note, 12/25/34 1,590,000 $1,102,698
SASCO Mortgage Loan Trust 2005-GEL2, Floating Rate Note, 4/25/35 28,476,673 $494,106
Saxon Asset Securities Trust 2005-3, Floating Rate Note, 11/25/35 1,945,000 $1,907,460
Saxon Asset Securities Trust 2005-4, Floating Rate Note, 11/25/37 31,986,000 $1,502,586
SBA Senior Finance II LLC, Incremental Tranche B-1 Term Loan, 3/31/21 598,500 $590,832
SBI Home Equity Loan Trust 2006-1, Floating Rate Note, 8/25/36 (144A) 2,950,000 $2,867,663
Schaeffler (Aka Ina Beteiligungsge 1st Lien Tl-B L + 3.5% 15may20 1,683,943 $1,689,088
Scientific Games International Inc 1st Lien Tl-B2 L + 5% 17sep21 2,000,000 $1,972,812
Seadrill Operating LP, Initial Term Loan, 2/14/21 2,729,375 $2,480,320
Select Medical Corp., Series E Tranche B Term Loan, 6/1/18 236,016 $235,131
Selene Non-Performing Loans LLC, 2.9814%, 5/25/54 (Step) (144A) 3,530,000 $3,465,453
Seminole Hard Rock Entertainment, Inc., New Term Loan B, 5/14/20 592,500 $587,809
Seminole Tribe of Florida, Inc., Initial Term Loan, 4/29/20 1,342,500 $1,341,661
Sensata Technologies BV, Term Loan, 5/12/18 528,773 $530,025
Sensata Technologies Bv 1st Lien Tl-B2 L + 2.75% 08oct21 1,500,000 $1,502,813
Sequa Corp., 6/19/17 0 $0
Sequoia Mortgage Trust 10, Floating Rate Note, 10/20/27 6,100,000 $116,918
Sequoia Mortgage Trust 2003-2, Floating Rate Note, 6/20/33 13,097,000 $498,419
Sequoia Mortgage Trust 2003-5, Floating Rate Note, 9/20/33 52,500,000 $2,380,512
Sequoia Mortgage Trust 2003-8, Floating Rate Note, 1/20/34 5,750,000 $267,057
Sequoia Mortgage Trust 2004-10, Floating Rate Note, 11/20/34 5,055,000 $521,656
Sequoia Mortgage Trust 2004-12 REMICS, Floating Rate Note, 1/20/35 39,171,595 $4,147,432
Sequoia Mortgage Trust 2004-12 REMICS, Floating Rate Note, 1/20/35 2,000,000 $140,431
Sequoia Mortgage Trust 2004-7, Floating Rate Note, 8/20/34 7,500,000 $335,104
Sequoia Mortgage Trust 2005-1, Floating Rate Note, 2/20/35 31,769,748 $3,246,991
Sequoia Mortgage Trust 2005-2, Floating Rate Note, 3/20/35 5,275,000 $540,661
Sequoia Mortgage Trust 4, Floating Rate Note, 11/22/24 6,940,000 $178,529
Serta Simmons Holdings LLC, Term Loan, 10/1/19 336,222 $336,162
Shell International Finance BV, Floating Rate Note, 11/15/16 1,500,000 $1,504,025
Ship Midco, Ltd., Facility B2A-II, 11/29/19 98,939 $99,310
Silver Bay Realty 2014-1 Trust, Floating Rate Note, 9/18/31 (144A) 3,378,000 $3,274,025
Sinclair Broadcasting 1st Lien Tl-B1 L + 2.75% 22jul21 1,000,000 $993,125
Sinclair Television Group, Inc., New Tranche B Term Loan, 4/19/20 1,338,342 $1,314,085
Sirius International Group, Ltd., Floating Rate Note (Perpetual) (144A) 1,150,000 $1,237,476
Six Flags Theme Parks, Inc., Tranche B Term Loan, 12/20/18 731,627 $730,407
Skandinaviska Enskilda Banken AB New York NY, Floating Rate Note, 9/21/15 2,500,000 $2,503,669
Small Business Administration Participation Certificates, 0.58%, 10/17/16 (144A) 900,000 $900,360
SMART Trust/Australia, 1.59%, 10/14/16 (144A) 1,550,000 $939,527
SMART Trust/Australia, Floating Rate Note, 1/17/17 2,500,000 $2,481,669
SMART Trust/Australia, Floating Rate Note, 8/15/16 1,500,000 $1,357,243
SMART Trust/Australia, Floating Rate Note, 9/14/16 1,785,000 $1,303,316
SMHL Global Fund 2007-1, Floating Rate Note, 6/12/40 1,100,000 $97,868
SNAAC Auto Receivables Trust, 4.38%, 6/15/17 (144A) 1,800,000 $1,479,198
SNAAC Auto Receivables Trust 2013-1, 1.14%, 7/16/18 (144A) 1,823,000 $234,580
SNAAC Auto Receivables Trust 2014-1, 1.03%, 9/17/18 (144A) 839,000 $523,282
Soundview Home Loan Trust 2005-DO1, Floating Rate Note, 5/25/35 2,000,000 $93,299
Soundview Home Loan Trust 2005-DO1, Floating Rate Note, 5/25/35 2,000,000 $1,983,773
Soundview Home Loan Trust 2005-OPT4, Floating Rate Note, 12/25/35 2,967,970 $783,805
South Carolina State Public Service Authority, Floating Rate Note, 6/1/15 35,000 $35,000
South Carolina State Public Service Authority, Floating Rate Note, 6/1/15 635,000 $635,000
Southwire Co., Initial Term Loan, 1/31/21 1,069,999 $1,046,306
Specialty Underwriting & Residential Finance Trust Series 2005-AB2, Floating Rate Note, 6/25/36 1,500,000 $520,328
Specialty Underwriting & Residential Finance Trust Series 2006-BC1, Floating Rate Note, 12/25/36 3,000,000 $397,157
Specialty Underwriting & Residential Finance Trust Series 2006-BC1, Floating Rate Note, 12/25/36 3,640,376 $3,518,942
Spectrum Brands, Inc., Tranche C Term Loan, 8/13/19 297,000 $295,775
Spirit AeroSystems, Inc., Term Loan B, 9/30/20 1,332,360 $1,322,034
Springleaf Funding Trust 2013-A, 2.58%, 9/15/21 (144A) 2,100,000 $2,116,099
Springleaf Mortgage Loan Trust 2012-3, Floating Rate Note, 12/26/59 (144A) 1,000,000 $498,418
Stanwich Mortgage Loan Co 2012-NPL4 LLC, 2.9814%, 9/15/42 (144A) 1,500,000 $78,659
Stanwich Mortgage Loan Trust, 2.9814%, 2/16/43 (144A) 3,025,000 $823,153
Starwood Property Mortgage Trust 2013-FV1, Floating Rate Note, 8/11/28 (144A) 2,495,000 $2,386,347
Starwood Property Trust, Inc., Term Loan (First Lien), 4/17/20 1,590,079 $1,566,228
State Street Bank & Trust Co., Floating Rate Note, 12/8/15 2,320,000 $2,321,138
Steward Health Care System LLC, Term Loan, 4/10/20 987,500 $981,945
Structured Adjustable Rate Mortgage Loan Trust, Floating Rate Note, 11/25/34 62,595,000 $3,124,863
Structured Adjustable Rate Mortgage Loan Trust, Floating Rate Note, 11/25/34 3,560,000 $351,015
Structured Adjustable Rate Mortgage Loan Trust, Floating Rate Note, 3/25/34 3,865,000 $582,301
Structured Adjustable Rate Mortgage Loan Trust, Floating Rate Note, 3/25/34 8,200,000 $455,467
Structured Adjustable Rate Mortgage Loan Trust, Floating Rate Note, 6/25/34 20,600,000 $2,384,778
Structured Adjustable Rate Mortgage Loan Trust, Floating Rate Note, 6/25/35 3,880,000 $54,345
Structured Adjustable Rate Mortgage Loan Trust, Floating Rate Note, 8/25/35 26,776,000 $1,586,205
Structured Asset Investment Loan Trust 2005-4, Floating Rate Note, 5/25/35 1,411,289 $2,538
Structured Asset Investment Loan Trust 2005-6, Floating Rate Note, 7/25/35 2,600,000 $2,410,997
Structured Asset Investment Loan Trust 2006-1, Floating Rate Note, 1/25/36 4,650,000 $1,088,037
Structured Asset Mortgage Investments II Trust 2004-AR1, Floating Rate Note, 3/19/34 16,800,000 $879,253
Structured Asset Mortgage Investments II Trust 2004-AR5, Floating Rate Note, 10/19/34 23,000,000 $1,076,331
Structured Asset Mortgage Investments II Trust 2004-AR8, Floating Rate Note, 5/19/35 83,350,000 $4,467,754
Structured Asset Mortgage Investments Trust 2002-AR5, Floating Rate Note, 5/19/33 36,301,000 $1,800,764
Structured Asset Sec Corp Mort Pass Thr Certs Series 1998-8, Floating Rate Note, 8/25/28 8,825,000 $395,725
Structured Asset Securities Corp Mor Cer Ser 2003-31A, Floating Rate Note, 10/25/33 1,991,000 $213,543
Structured Asset Securities Corp Mortgage Loan Trust 2005-S7, Floating Rate Note, 12/25/35 (144A) 11,868,000 $1,670,219
Structured Asset Securities Corp Mortgage Loan Trust 2006-EQ1, Floating Rate Note, 7/25/36 5,000,000 $2,841,395
Structured Asset Securities Corp Mortgage Loan Trust 2006-GEL4, Floating Rate Note, 10/25/36 (144A) 5,557,000 $2,097,037
Structured Asset Securities Corp Mortgage Loan Trust 2007-BC3, Floating Rate Note, 6/25/37 3,500,000 $122,170
Structured Asset Securities Corp Mortgage Loan Trust 2007-TC1, Floating Rate Note, 4/25/31 (144A) 3,000,000 $1,024,643
Structured Asset Securities Corp Mortgage Pass-Through Certificates Ser 2004-S4, Floating Rate Note, 2,000,000 $367,793
Structured Asset Securities Corp Mortgage Pass-Through Ctfs Ser 2003-24A, Floating Rate Note, 7/25/3 8,050,000 $984,340
Structured Asset Securities Corp Mortgage Pass Through Ctfs Series 2003-35, Floating Rate Note, 12/2 2,500,000 $139,911
Structured Asset Securities Corp Trust 2005-14, Floating Rate Note, 7/25/35 3,899,641 $384,092
Sumibk 0.25% 08dec14 6,700,000 $6,708,105
Sumitomo Mitsui Banking Corp., Floating Rate Note, 7/19/16 1,500,000 $1,509,787
Sumitomo Mitsui Banking Corp. New York, Floating Rate Note, 4/1/15 1,000,000 $1,001,785
Sumitomo Mitsui Trust Bank, Ltd., Floating Rate Note, 9/16/16 (144A) 1,500,000 $1,512,409
Sunset Mortgage Loan Co 2014-NPL2 LLC, 3.721%, 11/16/44 (Step) (144A) 3,070,000 $3,070,317
SunTrust Bank, Floating Rate Note, 2/15/17 2,500,000 $2,501,761
SunTrust Bank, Floating Rate Note, 4/1/15 1,390,000 $1,391,637
Svenska Handelsbanken AB, Floating Rate Note, 3/21/16 2,275,000 $2,286,537
Svenska Handelsbanken AB, Floating Rate Note, 9/23/16 1,000,000 $1,006,169
Svenska Handelsbanken New York NY, Floating Rate Note, 1/16/15 700,000 $700,741
Svenska Handelsbanken New York NY, Floating Rate Note, 12/19/14 1,500,000 $1,501,320
Swift Transportation Co Llc 1st Lien Tl-B L + 3% 09jun21 340,718 $339,866
Synchrony Credit Card Master Note Trust, 1.03%, 1/15/18 900,000 $901,020
Synchrony Credit Card Master Note Trust, 1.51%, 6/15/18 849,000 $854,090
Synchrony Credit Card Master Note Trust, 3.69%, 3/15/18 100,000 $101,095
Synchrony Credit Card Master Note Trust, Floating Rate Note, 6/15/18 3,600,000 $3,599,384
Syncreon Group BV, Term Loan, 9/26/20 198,500 $196,019
Syniverse Holdings, Inc., Tranche B Term Loan, 4/23/19 727,141 $715,931
T2 Income Fund CLO, Ltd., Floating Rate Note, 7/15/19 (144A) 2,760,000 $2,727,907
TAL Advantage I LLC, Floating Rate Note, 4/20/21 (144A) 1,250,000 $175,683
TAL Advantage V LLC, 1.7%, 5/20/39 (144A) 1,400,000 $1,217,148
Taminco Global Chemical Corp., 2/15/19 687,038 $686,179
Tar Heel Re, Ltd., Floating Rate Note, 5/9/16 (Cat Bond) (144A) 1,500,000 $1,612,692
Tel Cp Zero% 02dec14 Usd 6,710,000 $6,709,858
Telesat Canada, U.S. Term B-2 Loan, 3/28/19 662,105 $657,001
Tempur Sealy International, Inc., New Term B Loan, 3/18/20 426,697 $422,697
Terex Corp., U.S. Term Loan, 8/13/21 309,557 $308,396
Terraform 1st Lien Tl-B L + 3.75% 02jul19 473,813 $474,997
Terwin Mortgage Trust Series TMTS 2003-8HE, Floating Rate Note, 12/25/34 23,713,000 $718,814
Terwin Mortgage Trust Series TMTS 2005-10HE, Floating Rate Note, 6/25/36 668,753 $489,891
Tesoro Corp., Initial Term Loan, 5/30/16 795,000 $790,270
Texas Competitive Electric Holdings Co LLC, DIP Delayed Draw Term Loan (2014), 5/5/16 1,595,935 $1,608,902
The Bank of New York Mellon Corp., 2.95%, 6/18/15 2,400,000 $2,465,887
The Bank of New York Mellon Corp., 3.1%, 1/15/15 670,000 $679,906
The Bank of New York Mellon Corp., Floating Rate Note, 10/23/15 3,533,000 $3,540,385
The Bank of New York Mellon Corp., Floating Rate Note, 3/4/16 3,275,000 $3,280,257
The Bank of Nova Scotia, 1.85%, 1/12/15 100,000 $100,857
The Bank of Nova Scotia, Floating Rate Note, 1/12/15 4,275,000 $4,287,032
The Bank of Nova Scotia, Floating Rate Note, 12/13/16 1,800,000 $1,809,354
The Bank of Nova Scotia, Floating Rate Note, 3/15/16 2,000,000 $2,008,486
The Bank of Nova Scotia, Floating Rate Note, 7/15/16 1,500,000 $1,509,927
The Bank of Tokyo-Mitsubishi UFJ, Ltd., Floating Rate Note, 3/10/17 (144A) 1,000,000 $999,856
The Bank of Tokyo-Mitsubishi UFJ, Ltd., Floating Rate Note, 9/8/17 (144A) 2,525,000 $2,516,347
The Bear Stearns Companies LLC, Floating Rate Note, 11/21/16 2,465,000 $2,460,073
The Coca-Cola Co., Floating Rate Note, 3/5/15 850,000 $850,476
The Connecticut Light & Power Co., 5.0%, 4/1/15 1,200,000 $1,227,611
The Geo Group, Inc., Term Loan, 4/3/20 987,475 $981,303
The Goldman Sachs Group, Inc., 3.7%, 8/1/15 2,400,000 $2,477,503
The Goldman Sachs Group, Inc., Floating Rate Note, 3/22/16 4,300,000 $4,301,760
The Goodyear Tire & Rubber Co., Loan (Second Lien), 4/30/19 600,000 $602,025
The Hertz Corp., Tranche B-1 Term Loan, 3/11/18 736,875 $730,043
The Huntington National Bank, Floating Rate Note, 4/24/17 2,000,000 $2,002,502
The Manitowoc Co, Inc., Term B Loan, 12/18/20 84,575 $83,729
The PNC Financial Services Group, Inc., Floating Rate Note (Perpetual) 1,500,000 $1,505,234
The Toronto-Dominion Bank, Floating Rate Note, 5/1/15 5,695,000 $5,701,098
The Toronto-Dominion Bank, Floating Rate Note, 5/2/17 2,000,000 $1,999,174
The Toronto-Dominion Bank, Floating Rate Note, 9/9/16 1,000,000 $1,005,783
The University of Texas System, Floating Rate Note, 8/1/34 11,910,000 $11,910,248
Thornburg Mortgage Securities Trust 2004-1, Floating Rate Note, 3/25/44 11,746,000 $1,674,170
Thornburg Mortgage Securities Trust 2004-4, Floating Rate Note, 12/25/44 4,235,000 $695,551
TI Group Automotive Systems LLC, Term Loan Facility, 7/1/21 636,693 $635,102
TMS International Corp., Term B Loan, 10/2/20 148,875 $148,627
TORONTO-DOMINION BANK, Floating Rate Note, 11/6/15 4,025,000 $4,032,072
Total Capital Canada, Ltd., Floating Rate Note, 1/15/16 3,355,000 $3,370,165
Tower Automotive Holdings USA LLC, Refinancing Term Loan, 4/23/20 200,696 $200,194
Toyota Auto Receivables 2013-B Owner Trust, 0.48%, 2/15/16 2,390,000 $851,465
Toyota Auto Receivables 2014-C Owner Trust, 0.51%, 2/15/17 1,770,000 $1,770,591
Toyota Motor Credit Corp., 0.75%, 3/3/17 (Step) 2,250,000 $2,249,525
Toyota Motor Credit Corp., 1.0%, 2/17/15 2,265,000 $2,274,656
Toyota Motor Credit Corp., Floating Rate Note, 1/23/15 2,290,000 $2,291,625
Toyota Motor Credit Corp., Floating Rate Note, 5/17/16 2,800,000 $2,807,963
Toyota Motor Credit Corp., Floating Rate Note, 9/18/15 1,000,000 $1,001,804
Trade MAPS 1, Ltd., Floating Rate Note, 12/10/18 (144A) 3,079,000 $3,079,189
Tradewynd Re, Ltd., Floating Rate Note, 1/8/15 (Cat Bond) (144A) 250,000 $253,011
Trafigura Securitisation Finance Plc, Floating Rate Note, 10/15/15 (144A) 1,537,000 $1,545,836
Trafigura Securitisation Finance Plc, Floating Rate Note, 10/15/15 (144A) 1,556,000 $1,565,862
Trafigura Securitisation Finance Plc, Floating Rate Note, 4/16/18 (144A) 1,400,000 $1,400,516
TransCanada PipeLines, Ltd., 0.875%, 3/2/15 4,160,000 $4,173,772
TransCanada PipeLines, Ltd., Floating Rate Note, 6/30/16 3,544,000 $3,572,833
TransDigm, Inc., Tranche C Term Loan, 2/28/20 320,917 $318,825
Tribune Media Co., Initial Term Loan, 11/20/20 2,116,251 $2,110,960
Trimaran CLO V, Ltd., Floating Rate Note, 3/15/18 (144A) 1,500,000 $1,415,074
Triton Container Finance LLC, Floating Rate Note, 2/26/19 (144A) 1,287,000 $40,163
Tronox Pigments BV, New Term Loan, 3/19/20 385,359 $383,432
Truman Capital Mortgage Loan Trust, Floating Rate Note, 1/25/34 925,000 $861,822
Truven Health Analytics, Inc., New Tranche B Term Loan, 6/6/19 342,164 $336,604
Tyco Electronics Group SA, Floating Rate Note, 1/29/16 2,400,000 $2,401,124
U.S. Treasury Bills, 0.0%, 1/2/15 5,645,000 $5,644,938
U.S. Treasury Floating Rate Note, 0.090001%, 7/31/16 19,740,000 $19,742,299
Unifrax I LLC, New Term B Dollar Loan, 11/28/18 979,109 $972,581
United Airlines, Inc., Class B Term Loan, 4/1/19 246,250 $243,711
United Airlines Inc 1st Lien Tl-B L + 3% 07aug21 1,000,000 $995,313
United Auto Credit Securitization Trust 2012-1, 2.52%, 3/15/16 (144A) 1,645,000 $747,453
United Auto Credit Securitization Trust 2012-1, 3.12%, 3/15/18 (144A) 4,100,000 $4,107,812
United Auto Credit Securitization Trust 2013-1, 1.74%, 4/15/16 (144A) 1,900,000 $1,467,495
United Auto Credit Securitization Trust 2014-1, 0.74%, 6/15/16 (144A) 3,000,000 $3,000,697
United States Treasury Floating Rate Note, Floating Rate Note, 1/31/16 20,500,000 $20,498,366
United States Treasury Floating Rate Note, Floating Rate Note, 4/30/16 21,260,000 $21,263,543
United Technologies Corp., Floating Rate Note, 6/1/15 1,965,000 $1,972,988
University of Michigan, Floating Rate Note, 12/1/29 10,305,000 $10,305,281
Univision Communications, Inc., Replacement First-Lien Term Loan, 3/1/20 664,913 $659,355
Ursa Re, Ltd., Floating Rate Note, 12/7/17 (Cat Bond) (144A) 2,500,000 $2,502,750
US Bancorp, 2.45%, 7/27/15 2,620,000 $2,678,766
US Bank NA Cincinnati Ohio, Floating Rate Note, 1/30/17 2,025,000 $2,026,575
US Bank NA Cincinnati Ohio, Floating Rate Note, 4/22/16 2,000,000 $2,001,019
USI, Inc. New York, Initial Term Loan 2013, 12/30/19 1,090,658 $1,079,752
Valeant Pharmaceuticals International, Inc., Series C-2 Tranche B Term Loan, 12/11/19 511,676 $508,981
Valeant Pharmaceuticals International, Inc., Series D2 Term Loan B, 2/13/19 213,198 $212,132
Valeant Pharmaceuticals International, Inc., Series E1 Tranche B Term Loan, 8/5/20 1,313,724 $1,307,874
Vantiv LLC, Term B Loan, 6/12/21 1,122,188 $1,118,499
Velocity Commercial Capital Loan Trust 2014-1, Floating Rate Note, 9/25/44 (144A) 2,700,000 $2,601,486
Vericrest Opportunity Loan Transferee, 3.375%, 10/25/54 (Step) (144A) 4,390,000 $4,387,908
Vericrest Opportunity Loan Transferee 2014-NPL4 LLC, 3.125%, 4/27/54 (Step) (144A) 6,000,000 $5,322,638
Verint Systems, Inc., Tranche B Incremental Term Loan, 9/6/19 325,732 $325,773
Verizon Communications, Inc., 0.7%, 11/2/15 2,600,000 $2,602,917
Verizon Communications, Inc., Floating Rate Note, 9/15/16 3,805,000 $3,897,211
VFC 2014-2 LLC, 2.75%, 7/20/30 (144A) 3,510,000 $2,446,080
Virgin Media Investment Holdings, Ltd., B Facility, 6/8/20 2,205,000 $2,186,855
Visteon Corp Term B 1st Lien Dd L + 2.75% 08apr21 498,750 $495,009
Vita Capital IV, Ltd., Floating Rate Note, 1/15/16 (Cat Bond) (144A) 400,000 $403,863
Vita Capital V, Ltd., Floating Rate Note, 1/15/17 (Cat Bond) (144A) 500,000 $511,691
Vita Capital V, Ltd., Floating Rate Note, 1/15/17 (Cat Bond) (144A) 1,500,000 $1,526,111
Vitality Re IV, Ltd., Floating Rate Note, 1/9/17 (Cat Bond) (144A) 1,000,000 $1,012,931
Vitality Re V, Ltd., Floating Rate Note, 1/7/19 (Cat Bond) (144A) 1,800,000 $1,765,203
Vodafone Group Plc, Floating Rate Note, 2/19/16 1,150,000 $1,151,779
Volkswagen Auto Lease Trust 2013-A, 0.63%, 12/21/15 1,530,000 $442,034
Volkswagen Auto Lease Trust 2013-A, Floating Rate Note, 12/21/15 2,000,000 $577,613
Volkswagen Auto Lease Trust 2014-A, 0.52%, 10/20/16 5,790,000 $4,594,903
Volkswagen Auto Lease Trust 2014-A, Floating Rate Note, 10/20/16 1,500,000 $1,188,943
Volkswagen Group of America Finance LLC, Floating Rate Note, 5/23/16 (144A) 1,900,000 $1,898,084
Volkswagen International Finance NV, 1.15%, 11/20/15 (144A) 2,000,000 $2,012,075
Volkswagen International Finance NV, 1.625%, 3/22/15 (144A) 2,400,000 $2,414,720
Volkswagen International Finance NV, Floating Rate Note, 11/18/16 (144A) 1,750,000 $1,754,806
VOLT XXIV LLC, 3.25%, 11/25/53 (Step) 2,000,000 $1,110,907
VOLT XX LLC, 3.625%, 2/1/39 (Step) (144A) 1,000,000 $457,311
Volvo Financial Equipment LLC Series 2013-1, 0.53%, 11/16/15 (144A) 1,820,000 $187,434
Volvo Financial Equipment LLC Series 2013-1, 0.74%, 3/15/17 (144A) 1,410,000 $1,412,158
Volvo Financial Equipment LLC Series 2014-1, 0.54%, 11/15/16 (144A) 1,700,000 $1,700,780
Wachovia Bank Commercial Mortgage Trust Series 2005-C17, Floating Rate Note, 3/15/42 6,504,854 $1,825,469
Wachovia Bank Commercial Mortgage Trust Series 2005-C18, 4.935%, 4/15/42 4,722,637 $3,119,606
Wachovia Bank Commercial Mortgage Trust Series 2005-C20 REMICS, Floating Rate Note, 7/15/42 8,460,000 $7,645,464
Wachovia Bank Commercial Mortgage Trust Series 2005-C21, Floating Rate Note, 10/17/44 1,990,733 $1,653,020
Wachovia Bank Commercial Mortgage Trust Series 2005-C22 REMICS, Floating Rate Note, 12/15/44 5,713,000 $5,333,377
Wachovia Bank Commercial Mortgage Trust Series 2006-C23 REMICS, Floating Rate Note, 1/15/45 5,550,000 $4,595,275
Wachovia Bank Commercial Mortgage Trust Series 2006-C25, Floating Rate Note, 5/15/43 4,240,000 $3,729,601
Wachovia Bank Commercial Mortgage Trust Series 2007-WHALE 8, Floating Rate Note, 6/15/20 (144A) 5,000,000 $341,719
Wachovia Corp., Floating Rate Note, 10/28/15 1,983,000 $1,985,146
Wachovia Corp., Floating Rate Note, 6/15/17 1,999,000 $1,995,104
WaMu Mortgage Pass-Through Certificates Series 2002-AR18 Trust, Floating Rate Note, 1/25/33 34,265,000 $347,697
WaMu Mortgage Pass-Through Certificates Series 2002-AR19 Trust, Floating Rate Note, 2/25/33 12,900,000 $474,819
WaMu Mortgage Pass-Through Certificates Series 2004-AR14 Trust, Floating Rate Note, 1/25/35 2,390,499 $500,408
WaMu Mortgage Pass-Through Certificates Series 2005-AR7 Trust, Floating Rate Note, 8/25/35 26,965,000 $2,939,092
Waste Industries USA, Inc., Term B Loan, 3/17/17 149,229 $148,732
Weight Watchers International, Inc., Initial Tranche B-2 Term Loan, 4/2/20 1,970,000 $1,530,034
Wells Fargo & Co., Floating Rate Note, 10/28/15 2,503,000 $2,505,806
Wells Fargo & Co., Floating Rate Note, 6/26/15 5,230,000 $5,266,001
Wells Fargo & Co., Floating Rate Note, 7/20/16 3,105,000 $3,121,398
Wells Fargo Bank NA, 4.75%, 2/9/15 1,564,000 $1,599,240
Wells Fargo Bank NA, Floating Rate Note, 5/16/16 975,000 $970,816
Wells Fargo Commercial Mortgage Trust 2014-TISH, Floating Rate Note, 2/16/27 (144A) 2,220,000 $2,220,661
Wells Fargo Home Equity Asset-Backed Securities 2005-2 Trust, Floating Rate Note, 11/25/35 189,000 $72,806
Wells Fargo Home Equity Asset-Backed Securities 2005-3 Trust, Floating Rate Note, 12/25/35 2,600,000 $795,782
Wells Fargo Mortgage Backed Securities 2005-AR6 Trust, Floating Rate Note, 4/25/35 611,000 $44,301
Wells Fargo Mortgage Backed Securities Trust, Floating Rate Note, 8/25/34 14,679,000 $810,959
Wendy's International LLC, Term B Loan, 5/15/19 722,927 $720,345
Wesco Aircraft Hardware Corp., Tranche B Term Loan, 2/24/21 2,535,000 $2,502,806
WESCO Distribution, Inc., Tranche B-1 Loan, 12/12/19 318,295 $317,963
West Corp., Term B-10 Loan, 6/30/18 1,004,821 $995,715
Western Refining, Inc., Term Loan 2013, 11/12/20 448,869 $448,028
Westgate Resorts 2012-A LLC, 3.75%, 8/20/25 (144A) 2,805,000 $1,574,866
Westgate Resorts LLC, 2.5%, 3/20/25 (144A) 350,000 $145,657
Westlake Automobile Receivables Trust 2013-1, 1.12%, 1/15/18 (144A) 375,000 $211,086
Westpac Banking Corp., 4.2%, 2/27/15 2,000,000 $2,039,439
Westpac Banking Corp., Floating Rate Note, 5/19/17 2,000,000 $2,002,246
Westpac Banking Corp., Floating Rate Note, 7/17/15 (144A) 500,000 $502,946
Westpac Banking Corp., Floating Rate Note, 7/28/15 1,000,000 $1,000,609
Westwood CDO II, Ltd., Floating Rate Note, 4/25/22 (144A) 2,000,000 $1,546,405
Wheelabrator 1st Lien Tl-B L + 4% 15oct21 2,873,563 $2,901,402
Wheelabrator 1st Lien Tl-C L + 4% 15oct21 126,437 $127,662
Wheels SPV 2 LLC, 0.84%, 3/20/23 (144A) 1,000,000 $998,760
WideOpenWest Finance LLC, Term B Loan, 4/1/19 239,297 $239,272
Wilshire Mortgage Loan Trust, Floating Rate Note, 5/25/28 10,000,000 $31,326
Windstream Corp., Tranche B-4 Term Loan, 1/23/20 1,033,106 $1,028,452
Windstream Corp., Tranche B-5 Term Loan, 8/8/19 710,568 $707,601
WireCo WorldGroup, Inc., Term Loan, 2/15/17 873,650 $876,653
WMG Acquisition Corp., Tranche B Refinancing Term Loan, 7/1/20 1,089,000 $1,067,492
World Financial Network Credit Card Master Trust, 3.96%, 4/15/19 350,000 $356,964
World Financial Network Credit Card Master Trust, Floating Rate Note, 12/16/19 9,950,000 $9,955,663
World Omni Automobile Lease Securitization Trust 2014-A, Floating Rate Note, 3/15/17 2,500,000 $2,500,689
World Omni Auto Receivables Trust 2013-B, 0.48%, 11/15/16 50,000 $24,033
World Omni Auto Receivables Trust 2014-B, Floating Rate Note, 1/16/18 2,650,000 $2,650,312
WR Grace & Co-Conn, Delayed Draw Term Loan, 1/23/21 290,008 $289,029
WR Grace & Co-Conn, U.S. Term Loan, 1/23/21 807,963 $805,236
Wyle 1st Lien Tl-B L + 4% 22may21 196,631 $196,507
Xerium Technologies, Inc., New Term Loan, 5/17/19 78,800 $78,850
Zebra Technologies Corporation 1st Lien Tl-B L + 4% 30sep21 1,000,000 $1,009,750
ZIGGO BV, (USD) TLB3, 1/15/22 1,136,553 $1,119,606
Ziggo Bv 1st Lien Tl-B1 L + 2.75% 15jan22 1,072,383 $1,056,393
Ziggo Bv 1st Lien Tl-B2 L + 2.75% 15jan22 691,064 $680,759

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