Pioneer Multi-Asset Ultrashort Income Fund

Top 10 Portfolio Holdings as of 3/31/2016
Default: sorted by market value

Security Name Par / Shares Market Value
1011778 BC ULC, Term B-2 Loan, 12/12/21 467,012 $467,207
14112z Zero% 01feb19 2,500,000 $74,750
17079z Zero% 31mar18 750,000 $882,000
321 Henderson Receivables II LLC, Floating Rate Note, 9/15/41 (144A) 11,542,000 $2,686,504
321 Henderson Receivables I LLC, Floating Rate Note, 11/15/40 (144A) 4,630,000 $1,092,658
321 Henderson Receivables I LLC, Floating Rate Note, 12/15/41 (144A) 18,869,000 $4,754,906
321 Henderson Receivables I LLC, Floating Rate Note, 3/15/41 (144A) 6,100,000 $1,040,001
321 Henderson Receivables I LLC, Floating Rate Note, 6/15/41 (144A) 8,090,000 $2,046,132
321 Henderson Receivables I LLC, Floating Rate Note, 9/15/45 (144A) 3,120,000 $571,221
A10 Securitization 2013-1 LLC, 2.4%, 11/17/25 (144A) 1,400,000 $15,932
A10 Term Asset Financing 2014-1 LLC, 1.72%, 4/15/33 (144A) 4,000,000 $3,098,564
Aberdeen Loan Funding, Ltd., Floating Rate Note, 11/1/18 (144A) 14,900,000 $5,180,023
Aberdeen Loan Funding, Ltd., Floating Rate Note, 11/1/18 (144A) 1,750,000 $1,744,622
ABFC 2005-HE2 Trust, Floating Rate Note, 6/25/35 2,500,000 $1,199,070
ABFC 2005-WF1 Trust, Floating Rate Note, 12/25/34 2,300,000 $457,738
ABN AMRO Bank NV, Floating Rate Note, 10/28/16 (144A) 1,725,000 $1,732,318
ACAS CLO 2007-1, Ltd., Floating Rate Note, 4/20/21 (144A) 7,786,000 $867,464
ACAS CLO 2007-1, Ltd., Floating Rate Note, 4/20/21 (144A) 1,800,000 $517,652
Accredited Mortgage Loan Trust 2005-1, Floating Rate Note, 4/25/35 7,490,000 $272,265
Accredited Mortgage Loan Trust 2005-2, Floating Rate Note, 7/25/35 1,110,000 $600,519
Accredited Mortgage Loan Trust 2005-3, Floating Rate Note, 9/25/35 27,025,000 $319,001
ACE Securities Corp Home Equity Loan Trust Series 2006-ASAP2, Floating Rate Note, 3/25/36 60,572,000 $3,696,002
Ace Zero% 12jul16 250,000 $245,500
Acorn Re, Ltd., Floating Rate Note, 7/17/18 (Cat Bond) (144A) 1,250,000 $1,263,359
ACRE Commercial Mortgage Trust 2014-FL2, Floating Rate Note, 8/15/31 (144A) 5,350,000 $1,732,766
ACRE Commercial Mortgage Trust 2014-FL2, Floating Rate Note, 8/15/31 (144A) 2,500,000 $2,468,154
Activision Blizzard, Inc., Term Loan, 7/26/20 844,838 $849,260
Adjustable Rate Mortgage Trust 2005-2, Floating Rate Note, 6/25/35 1,485,120 $683,769
Adjustable Rate Mortgage Trust 2005-5, Floating Rate Note, 9/25/35 13,780,000 $846,878
AdvancePierre Foods, Inc., Term Loan (First Lien), 7/10/17 183,090 $183,433
Aegis Asset Backed Securities Trust 2005-3, Floating Rate Note, 8/25/35 1,311,812 $603,387
Aegis Asset Backed Securities Trust Mortgage Pass-Through Ctfs Ser 2004-2, Floating Rate Note, 6/25/ 21,291,000 $609,379
Aegis Asset Backed Securities Trust Mortgage Pass-Through Ctfs Ser 2005-4, Floating Rate Note, 10/25 800,000 $235,818
Aegis Asset Backed Securities Trust Mortgage Pass- Through Ctfs Series 2004-3, Floating Rate Note, 9 3,465,620 $345,379
Aegis Asset Backed Securities Trust Mortgage Pass-Through Ctfs Series 2004-4, Floating Rate Note, 10 6,077,618 $883,736
Alamo Re, Ltd., Floating Rate Note, 6/7/17 (Cat Bond) (144A) 1,000,000 $1,014,274
Alamo Re, Ltd., Floating Rate Note, 6/7/18 (Cat Bond) (144A) 2,500,000 $2,559,306
Albertsons LLC, Term B-2 Loan, 3/21/19 1,488,439 $1,490,699
Albertsons LLC, Term B-5 Loan, 12/21/22 498,750 $499,373
Alkermes, Inc., 2019 Term Loan, 9/25/19 1,111,208 $1,094,540
Alliant Holdings I LLC, Initial Term Loan, 7/28/22 71,943 $71,224
Allied Security Holdings LLC, Closing Date Term Loan (First Lien), 2/12/21 507,204 $498,751
Allison Transmission, Inc., Term B-3 Loan, 8/23/19 763,469 $764,105
Ally Auto Receivables Trust 2015-SN1, Floating Rate Note, 6/20/17 1,900,000 $1,136,101
Ally Master Owner Trust, Floating Rate Note, 6/17/19 2,600,000 $2,589,334
Alterna Funding I LLC, 1.639%, 2/15/21 (144A) 1,400,000 $715,014
Alternative Loan Trust 2003-3T1, Floating Rate Note, 5/25/33 15,000,000 $425,574
Alternative Loan Trust 2004-6CB, Floating Rate Note, 4/25/34 32,705,000 $1,791,561
Alternative Loan Trust 2004-J13, Floating Rate Note, 2/25/35 1,000,000 $878,948
Altice Financing SA, 7.875%, 12/15/19 (144A) 1,250,000 $1,335,234
Altice US Finance I Corp., Initial Term Loan, 12/14/22 1,103,441 $1,101,487
Altisource Solutions Sarl, Term B Loan, 12/9/20 974,520 $867,323
Altrl Zero% 30jun17 695,760 $281,783
AMC Entertainment, Inc., Initial Term Loan, 4/30/20 1,442,892 $1,448,453
America Movil SAB de CV, Floating Rate Note, 9/12/16 1,500,000 $1,500,629
American Airlines, Inc., 2015 Term Loan, 10/10/21 495,000 $494,779
American Airlines, Inc., 2015 Term Loan (New), 6/27/20 2,505,375 $2,495,784
American Credit Acceptance Receivables Trust 2013-1, 4.94%, 6/15/20 (144A) 3,600,000 $3,634,201
American Credit Acceptance Receivables Trust 2014-1, 5.2%, 4/12/21 (144A) 1,300,000 $1,312,337
American Credit Acceptance Receivables Trust 2014-3, 0.99%, 8/10/18 (144A) 1,420,000 $14,053
American Credit Acceptance Receivables Trust 2014-4, 1.33%, 7/10/18 (144A) 2,040,000 $350,893
American Credit Acceptance Receivables Trust 2015-3, 1.95%, 9/12/19 (144A) 4,500,000 $3,264,658
American Credit Acceptance Receivables Trust 2016-1A, 2.37%, 5/12/20 (144A) 1,300,000 $1,208,836
American Express Credit Account Master Trust, Floating Rate Note, 1/15/20 350,000 $350,319
American Express Credit Account Master Trust, Floating Rate Note, 1/15/20 2,600,000 $2,601,925
American Express Credit Account Master Trust, Floating Rate Note, 5/15/20 3,300,000 $3,301,131
American Express Credit Account Secured Note Trust 2012-4, Floating Rate Note, 5/15/20 (144A) 2,100,000 $2,098,969
American Express Credit Corp., 1.3%, 7/29/16 1,300,000 $1,305,040
American Express Credit Corp., Floating Rate Note, 7/29/16 7,142,000 $7,165,177
American Homes 4 Rent 2014-SFR1, Floating Rate Note, 6/19/31 (144A) 1,500,000 $1,452,289
American Honda Finance Corp., Floating Rate Note, 10/7/16 5,965,000 $5,993,146
American Honda Finance Corp., Floating Rate Note, 12/11/17 2,570,000 $2,566,590
American Honda Finance Corp., Floating Rate Note, 5/26/16 (144A) 3,050,000 $3,055,181
American Honda Finance Corp., Floating Rate Note, 9/20/17 1,330,000 $1,332,956
AmeriCredit Automobile Receivables 2015-4, Floating Rate Note, 4/8/19 3,000,000 $3,004,412
AmeriCredit Automobile Receivables Trust 2012-1, 2.67%, 1/8/18 1,740,000 $46,007
AmeriCredit Automobile Receivables Trust 2015-2, Floating Rate Note, 9/10/18 2,125,000 $1,222,960
Ameriquest Mortgage Securities Inc Asset-Backed Pass-Through Ctfs Ser 2003-AR3, Floating Rate Note, 729,633 $151,468
Ameriquest Mortgage Securities Inc Asset-Backed Pass-Through Ctfs Ser 2004-R11, Floating Rate Note, 187,215,000 $3,063,358
Ameriquest Mortgage Securities Inc Asset-Backed Pass-Through Ctfs Ser 2005-R1, Floating Rate Note, 3 2,757,237 $676,747
Ameriquest Mortgage Securities Inc Asset Backed Pass-Through Ctfs Ser 2005-R11, Floating Rate Note, 810,000 $360,098
Ameriquest Mortgage Securities Inc Asset-Backed Pass-Through Ctfs Ser 2005-R5, Floating Rate Note, 7 84,000 $28,539
Amgen, Inc., Floating Rate Note, 5/22/17 2,725,000 $2,721,690
Anheuser-Busch InBev Finance, Inc., Floating Rate Note, 1/27/17 1,900,000 $1,900,008
Aon Corp., 3.125%, 5/27/16 9,225,000 $9,335,672
Aozora Re, Ltd., Floating Rate Note, 4/7/23 (Cat Bond) (144A) 500,000 $500,280
Apex Tool Group LLC, Term Loan, 1/31/20 1,212,500 $1,169,052
Apidos CLO IX, Floating Rate Note, 7/17/23 (144A) 3,000,000 $3,003,879
Apple, Inc., Floating Rate Note, 5/3/16 1,500,000 $1,501,910
Arbor Realty Collateralized Loan Obligation 2015-FL1, Ltd., Floating Rate Note, 3/17/25 (144A) 5,000,000 $4,855,162
Ardagh Holdings USA, Inc., New Term Loan, 12/17/19 670,320 $670,459
ARI Fleet Lease Trust 2012-B, Floating Rate Note, 1/15/21 (144A) 7,205,000 $672,638
ARI Fleet Lease Trust 2013-A, 0.92%, 7/15/21 (144A) 600,000 $378,457
ARI Fleet Lease Trust 2014-A, 0.81%, 11/15/22 (144A) 3,000,000 $1,063,591
Armstrong World Industries, Inc., Term Loan B, 3/15/20 1,067,243 $1,069,244
Armstrong World Industries Inc 1st Lien Tl-B L + 3.25% 23feb23 965,000 $965,000
Ascentium Equipment Receivables 2014-1 LLC, 1.58%, 10/10/18 (144A) 1,700,000 $1,369,859
Asset-Backed Pass-Through Certificates Series 2004-R2, Floating Rate Note, 4/25/34 2,610,000 $102,657
Asset-Backed Pass-Through Certificates Series 2004-R2, Floating Rate Note, 4/25/34 24,000,000 $942,158
Asset Backed Securities Corp Home Equity Loan Trust Series 2005-HE3, Floating Rate Note, 4/25/35 724,529 $199,423
Asset Backed Securities Corp Home Equity Loan Trust Series AEG 2006-HE1, Floating Rate Note, 1/25/36 6,155,063 $761,585
Asset Backed Securities Corp Home Equity Loan Trust Series NC 2005-HE8, Floating Rate Note, 11/25/35 1,800,000 $1,751,350
Asset Backed Securities Corp Home Equity Loan Trust Series OOMC 2005-HE6, Floating Rate Note, 7/25/3 2,367,384 $943,353
AT&T, Inc., 2.4%, 3/15/17 1,250,000 $1,265,922
AT&T, Inc., 2.4%, 8/15/16 3,925,000 $3,960,822
AT&T, Inc., 2.95%, 5/15/16 3,875,000 $3,927,260
Atlantic Power LP, Term Loan, 2/20/21 2,351,254 $2,349,784
Atlas IX Capital DAC, Floating Rate Note, 1/17/19 (Cat Bond) (144A) 1,500,000 $1,542,581
Audio Visual Services Corp., Initial Term Loan (First Lien), 1/24/21 225,400 $214,130
Avago Technologies Cayman Finance 1st Lien Tl-B L + 3.5% 13nov22 2,375,000 $2,366,258
Avis Budget Car Rental LLC, Tranche B Term Loan, 3/15/19 1,263,312 $1,261,733
AWAS Finance Luxembourg 2012 SA, Term Loan, 7/16/18 330,486 $330,692
Axalta Coating Systems US Holdings, Inc., Refinanced Term B Loan, 2/1/20 963,311 $958,419
AXIS Equipment Finance Receivables II LLC, 1.75%, 6/20/16 1,000,000 $43,863
B&G Foods, Inc., Tranche B Term Loan, 10/5/22 625,000 $627,539
Babson CLO, Ltd. 2011-I, Floating Rate Note, 9/28/21 (144A) 2,000,000 $1,901,616
BA Credit Card Trust, Floating Rate Note, 1/15/20 2,750,000 $2,751,763
BA Credit Card Trust, Floating Rate Note, 9/16/19 6,400,000 $6,402,008
BAMLL Commercial Mortgage Securities Trust 2014-FL1, Floating Rate Note, 12/17/31 (144A) 3,613,000 $3,570,483
BAMLL Commercial Mortgage Securities Trust 2014-ICTS, Floating Rate Note, 6/15/28 (144A) 1,920,000 $1,926,292
BAMLL Commercial Mortgage Securities Trust 2014-INLD REMICS, Floating Rate Note, 12/17/29 (144A) 3,490,000 $3,411,993
BAMLL Commercial Mortgage Securities Trust 2016-ASHF, Floating Rate Note, 3/15/28 (144A) 5,500,000 $5,499,739
BAMLL Re-REMIC Trust 2014-FRR5, Floating Rate Note, 3/29/45 (144A) 4,700,000 $4,572,349
BAMLL Re-REMIC Trust 2014-FRR7, Floating Rate Note, 10/26/44 (144A) 7,000,000 $6,838,250
Banc of America Commercial Mortgage Trust 2006-1, Floating Rate Note, 9/10/45 3,590,000 $896,655
Banc of America Funding 2005-A Trust, Floating Rate Note, 2/20/35 44,323,000 $1,478,139
Banc of America Mortgage 2003-A Trust, Floating Rate Note, 2/25/33 10,560,000 $81,899
Banc of America Mortgage 2003-F Trust, Floating Rate Note, 7/25/33 8,661,215 $295,736
Banc of America Mortgage 2004-D Trust, Floating Rate Note, 5/25/34 17,088,000 $1,216,391
Banc of America Mortgage 2004-I Trust, Floating Rate Note, 10/25/34 6,000,000 $330,277
Bank of America Corp., 3.75%, 7/12/16 1,325,000 $1,345,566
Bank of America Corp., 3.875%, 3/22/17 1,600,000 $1,638,574
Bank of America Corp., Floating Rate Note, 1/15/19 1,350,000 $1,348,145
Bank of America Corp., Floating Rate Note, 8/25/17 1,423,000 $1,419,231
Bank of America NA, Floating Rate Note, 2/14/17 2,000,000 $2,002,949
Bank of America NA, Floating Rate Note, 6/5/17 5,135,000 $5,131,800
Bank of Montreal, Floating Rate Note, 7/14/17 2,300,000 $2,298,238
Bank of Montreal, Floating Rate Note, 7/31/18 2,665,000 $2,662,597
Bank of The West Auto Trust 2014-1, 0.69%, 7/17/17 (144A) 1,850,000 $148,308
Barclays Bank Plc, Floating Rate Note, 2/17/17 821,000 $821,450
Barclays Dryrock Issuance Trust, Floating Rate Note, 12/16/19 1,100,000 $1,100,083
Barclays Dryrock Issuance Trust, Floating Rate Note, 3/16/20 1,800,000 $1,799,387
Baxalta, Inc., Floating Rate Note, 6/22/18 (144A) 2,500,000 $2,450,800
Bayer US Finance LLC, Floating Rate Note, 10/6/17 (144A) 1,400,000 $1,400,676
Bayer US Finance LLC, Floating Rate Note, 10/7/16 (144A) 5,300,000 $5,311,561
Bayview Financial Acquisition Trust, 6.205%, 5/28/37 (Step) 100,000 $42,670
Bayview Financial Acquisition Trust, Floating Rate Note, 8/28/44 635,000 $139,847
Bayview Financial Acquisition Trust, Floating Rate Note, 8/28/44 449,000 $406,622
Bayview Financial Mortgage Pass-Through Trust 2004-A, Floating Rate Note, 2/28/44 80,047,000 $914,608
Bayview Financial Mortgage Pass-Through Trust 2005-C, Floating Rate Note, 6/28/44 4,088,000 $2,116,413
Bayview Financial Mortgage Pass-Through Trust 2006-B, Floating Rate Note, 4/28/36 4,911,055 $528,116
Bayview Financial Mortgage Pass-Through Trust 2006-B, Floating Rate Note, 4/28/36 13,680,000 $412,832
Bayview Financial Mortgage Pass-Through Trust Series 2005-B, Floating Rate Note, 4/28/39 4,049,351 $1,506,409
Bayview Opportunity Master Fund IIa Trust 2014-20NPL, 3.721%, 8/28/44 (Step) (144A) 1,480,000 $629,534
BBB Industries US Holdings, Inc., Initial Term Loan (First Lien), 10/20/21 990,000 $985,979
BBCMS Trust 2014-BXO REMICS, Floating Rate Note, 8/16/27 (144A) 4,955,000 $2,346,573
BBCMS Trust 2015-SLP, Floating Rate Note, 2/15/28 (144A) 3,150,000 $3,033,555
BCAP LLC 2009-RR13-I Trust, Floating Rate Note, 9/26/35 (144A) 8,854,257 $1,194,888
BCAP LLC 2013-RR3 Trust, Floating Rate Note, 5/28/36 (144A) 1,084,000 $600,497
BCAP LLC 2013-RR7 Trust, Floating Rate Note, 12/27/34 (144A) 1,410,000 $836,318
BCC Funding VIII LLC, 1.794%, 6/22/20 (144A) 7,640,000 $1,826,374
Beacon Roofing Supply, Inc., Initial Term Loan, 9/25/22 698,250 $698,250
Bear Stearns ALT-A Trust 2004-11, Floating Rate Note, 11/25/34 21,976,800 $778,188
Bear Stearns ALT-A Trust 2004-12, Floating Rate Note, 1/25/35 17,745,000 $1,483,321
Bear Stearns ALT-A Trust 2004-12, Floating Rate Note, 1/25/35 47,414,000 $3,849,407
Bear Stearns ALT-A Trust 2004-12, Floating Rate Note, 1/25/35 25,745,000 $2,423,737
Bear Stearns ALT-A Trust 2004-12, Floating Rate Note, 1/25/35 25,907,600 $2,344,894
Bear Stearns ALT-A Trust 2004-13, Floating Rate Note, 11/25/34 11,771,000 $447,511
Bear Stearns ALT-A Trust 2004-4, Floating Rate Note, 6/25/34 33,443,000 $1,887,115
Bear Stearns ALT-A Trust 2005-2, Floating Rate Note, 3/25/35 20,000,000 $773,907
Bear Stearns ARM Trust 2003-3, Floating Rate Note, 5/25/33 42,906,215 $1,047,915
Bear Stearns ARM Trust 2004-3, Floating Rate Note, 7/25/34 10,718,797 $258,556
Bear Stearns ARM Trust 2005-5, Floating Rate Note, 8/25/35 5,635,000 $432,603
Bear Stearns Asset Backed Securities I Trust 2005-FR1, Floating Rate Note, 6/25/35 10,850,460 $2,349,846
Bear Stearns Asset Backed Securities I Trust 2005-HE9, Floating Rate Note, 10/25/35 5,000,000 $406,380
Bear Stearns Asset Backed Securities I Trust 2005-TC1, Floating Rate Note, 5/25/35 3,200,000 $2,343,013
Bear Stearns Asset Backed Securities I Trust 2006-EC2, Floating Rate Note, 2/25/36 7,038,000 $3,718,362
Bear Stearns Asset Backed Securities Trust 2003-AC5, Floating Rate Note, 10/25/33 2,875,000 $199,595
Bear Stearns Asset Backed Securities Trust 2004-2, Floating Rate Note, 8/25/34 7,523,000 $601,356
Bear Stearns Asset Backed Securities Trust 2004-SD3, Floating Rate Note, 9/25/34 790,000 $186,990
Bear Stearns Asset Backed Securities Trust 2005-SD1, Floating Rate Note, 8/25/43 310,000 $51,896
Bear Stearns Asset Backed Securities Trust 2005-SD2, Floating Rate Note, 3/25/35 13,790,000 $1,126,544
Bear Stearns Asset Backed Securities Trust 2005-SD2, Floating Rate Note, 3/25/35 5,700,000 $1,096,749
Bear Stearns Asset Backed Securities Trust 2006-1, Floating Rate Note, 2/25/36 39,400,000 $105,344
Bear Stearns Asset Backed Securities Trust 2006-SD2, Floating Rate Note, 6/25/36 18,000,000 $1,875,974
Bear Stearns Commercial Mortgage Securities Trust 2005-PWR9, Floating Rate Note, 9/11/42 3,751,000 $317,334
Bear Stearns Commercial Mortgage Securities Trust 2006-PWR12, Floating Rate Note, 9/11/38 3,600,000 $890,168
Bear Stearns Commercial Mortgage Securities Trust 2007-PWR15 REMICS, 5.331%, 2/11/44 3,575,172 $3,029,093
Bear Stearns Mortgage Securities, Inc., Floating Rate Note, 6/25/30 2,875,810 $328,106
Bear Stearns Structured Products Trust 2007-EMX1, Floating Rate Note, 3/25/37 (144A) 4,870,000 $681,150
Becton Dickinson and Co., Floating Rate Note, 6/15/16 4,020,000 $4,022,331
Belden Finance 2013 LP, Initial Term Loan, 9/9/20 1,825,833 $1,820,127
Bellemeade Re, Ltd., Floating Rate Note, 7/25/25 (144A) 3,650,000 $2,099,721
Berkshire Hathaway, Inc., 2.2%, 8/15/16 2,775,000 $2,798,727
Berkshire Hathaway Finance Corp., Floating Rate Note, 1/10/17 1,855,000 $1,858,316
Berkshire Hathaway Finance Corp., Floating Rate Note, 8/14/17 2,500,000 $2,498,988
BHMS 2014-ATLS Mortgage Trust REMICS, Floating Rate Note, 7/8/33 (144A) 4,100,000 $3,996,481
BHP Billiton Finance USA, Ltd., Floating Rate Note, 9/30/16 1,795,000 $1,789,579
BioScrip, Inc., Delayed Draw Term Loan, 7/31/20 324,282 $292,665
BioScrip, Inc., Initial Term B Loan, 7/31/20 540,470 $487,774
Black Diamond CLO 2006-1 Luxembourg SA, Floating Rate Note, 4/29/19 (144A) 4,500,000 $4,231,815
BLCP Hotel Trust, Floating Rate Note, 8/15/29 (144A) 2,490,000 $2,410,507
Blue Danube II, Ltd., Floating Rate Note, 5/23/16 (Cat Bond) (144A) 3,325,000 $3,340,013
Boardwalk Pipelines LP, 5.5%, 2/1/17 3,320,000 $3,350,284
Boca Hotel Portfolio Trust 2013-BOCA, Floating Rate Note, 8/17/26 (144A) 3,900,000 $3,896,088
Bosphorus, Ltd., Floating Rate Note, 8/17/18 (Cat Bond) (144A) 750,000 $744,442
Bosphorus Re, Ltd., Floating Rate Note, 5/3/16 (Cat Bond) (144A) 1,050,000 $1,049,026
Branch Banking & Trust Co., 1.45%, 10/3/16 6,074,000 $6,132,781
Branch Banking & Trust Co., Floating Rate Note, 5/23/17 500,000 $498,921
Branch Banking & Trust Co., Floating Rate Note, 9/13/16 6,144,000 $6,142,649
Bright Horizons Family Solutions, Inc., Term B-1 Loan, 1/30/20 592,500 $593,703
Bright Horizons Family Solutions, Inc., Term B Loan, 1/30/20 589,215 $589,337
British Telecommunications Plc, 1.625%, 6/28/16 8,646,000 $8,693,103
BSN medical International Holding GmbH & Co KG, Facility B1b, 8/28/19 593,611 $587,675
BXHTL 2015-JWRZ Mortgage Trust, Floating Rate Note, 5/15/29 (144A) 3,823,000 $3,622,694
Cabela's Credit Card Master Note Trust, Floating Rate Note, 2/18/20 (144A) 2,350,000 $2,349,856
Cabela's Credit Card Master Note Trust, Floating Rate Note, 3/16/20 1,600,000 $1,598,496
Cabela's Credit Card Master Note Trust, Floating Rate Note, 6/15/20 (144A) 2,895,000 $2,891,631
Cabela's Credit Card Master Note Trust, Floating Rate Note, 6/17/19 (144A) 3,630,000 $3,633,254
Caelus Re 2013, Ltd., Floating Rate Note, 4/7/17 (Cat Bond) (144A) 3,050,000 $3,141,822
Caelus Re IV, Ltd., Floating Rate Note, 3/6/20 (Cat Bond) (144A) 2,000,000 $2,006,600
Caisse Centrale Desjardins, Floating Rate Note, 1/29/18 (144A) 2,590,000 $2,587,792
California Republic Auto Receivables Trust 2013-1, 1.41%, 9/17/18 (144A) 535,000 $100,734
Callidus Debt Partners Clo Fund VI, Ltd., Floating Rate Note, 10/23/21 (144A) 4,000,000 $2,463,284
Calpine Construction Finance Co LP, Term B-1 Loan, 5/3/20 1,167,000 $1,146,578
Calpine Corp., Term Loan, 10/9/19 748,540 $746,045
Calpine Corp., Term Loan, 5/28/22 287,825 $284,654
Calpine Corp., Term Loan (2015), 1/15/23 548,625 $546,396
Canadian National Railway Co., Floating Rate Note, 11/14/17 1,670,000 $1,667,541
Capital Auto Receivables Asset Trust 2013-1, 1.74%, 10/22/18 3,200,000 $3,202,616
Capital One Bank USA NA, 1.15%, 11/21/16 2,750,000 $2,761,659
Capital One Financial Corp., 3.15%, 7/15/16 2,699,000 $2,732,325
Capital One Multi-Asset Execution Trust, Floating Rate Note, 11/15/19 2,635,000 $2,631,418
Capital One Multi-Asset Execution Trust, Floating Rate Note, 11/15/19 2,000,000 $2,002,800
Capital One Multi-Asset Execution Trust, Floating Rate Note, 12/16/19 3,400,000 $3,394,880
Capital One Multi-Asset Execution Trust, Floating Rate Note, 2/15/19 1,950,000 $1,950,501
Capital One Multi-Asset Execution Trust, Floating Rate Note, 6/17/19 5,470,000 $5,468,335
Capital One NA, Floating Rate Note, 2/5/18 1,250,000 $1,246,715
Capital One NA, Floating Rate Note, 8/17/18 3,700,000 $3,717,964
Carefree Portfolio Trust 2014-CARE, Floating Rate Note, 11/15/29 (144A) 500,000 $453,866
Carefree Portfolio Trust 2014-CARE, Floating Rate Note, 11/15/29 (144A) 3,300,000 $3,267,731
CarMax Auto Owner Trust 2012-2, 1.73%, 2/15/18 2,500,000 $2,506,396
CarMax Auto Owner Trust 2013-1, 1.99%, 8/15/19 19,000 $18,881
CarMax Auto Owner Trust 2013-3, 0.97%, 4/16/18 1,830,000 $722,130
CarMax Auto Owner Trust 2015-2, Floating Rate Note, 6/15/18 2,500,000 $1,756,396
CarMax Auto Owner Trust 2015-3, Floating Rate Note, 11/15/18 4,600,000 $4,294,486
CarMax Auto Owner Trust 2015-4, Floating Rate Note, 4/15/19 2,500,000 $2,504,855
CarMax Auto Owner Trust 2016-1, Floating Rate Note, 4/15/19 2,130,000 $2,129,522
Carnow Auto Receivables Trust 2015-1, 1.69%, 1/15/20 (144A) 3,500,000 $2,055,602
Carrington Mortgage Loan Trust Series 2006-OPT1, Floating Rate Note, 12/25/35 21,878,000 $3,099,394
Caterpillar Financial Services Corp., Floating Rate Note, 3/3/17 2,500,000 $2,501,054
Cathedral Lake CLO 2015-3, Ltd., Floating Rate Note, 1/15/26 (144A) 2,200,000 $2,212,734
Cazenovia Creek Funding I LLC, 2.0%, 12/10/23 (144A) 2,605,000 $2,124,302
Cazenovia Creek Funding I LLC, 2.773%, 12/10/23 (144A) 1,735,000 $1,413,310
CCG Receivables Trust 2014-1, 1.06%, 11/15/21 (144A) 1,900,000 $883,271
CCG Receivables Trust 2015-1, 0.55%, 9/14/16 (144A) 2,750,000 $972,641
CCG Receivables Truste 2013-1, 1.05%, 4/14/20 (144A) 900,000 $50,294
CCO Safari III LLC, Term I Loan, 1/23/23 1,000,000 $1,002,411
CDGJ Commercial Mortgage Trust 2014-BXCH, Floating Rate Note, 12/15/27 (144A) 6,045,000 $5,876,741
CDW LLC, Term Loan, 4/29/20 1,144,104 $1,142,138
Cedar Fair LP, U.S. Term Facility, 3/6/20 96,885 $97,147
Cent CLO, Floating Rate Note, 8/1/24 (144A) 5,220,000 $5,225,739
Centex Home Equity Loan Trust 2003-A, Floating Rate Note, 3/25/33 2,230,000 $372,460
CFCRE 2015-RUM Mortgage Trust, Floating Rate Note, 7/15/30 (144A) 7,200,000 $6,990,806
CFCRE 2015-RUM Mortgage Trust, Floating Rate Note, 7/15/30 (144A) 1,000,000 $974,765
CGBAM Commercial Mortgage Trust 2014-HD, Floating Rate Note, 2/18/31 (144A) 1,050,000 $1,039,175
CG-CCRE Commercial Mortgage Trust 2014-FL1, Floating Rate Note, 6/16/31 (144A) 5,670,000 $5,662,046
CGGS Commercial Mortgage Trust 2016-RND, Floating Rate Note, 2/9/33 (144A) 3,650,000 $3,650,425
CGWF Commercial Mortgage Trust 2013-RKWH REMICS, Floating Rate Note, 11/15/30 (144A) 9,130,000 $9,098,137
Charter Communications Operating LLC, Term F Loan, 12/31/20 1,288,563 $1,284,837
Chase Funding Trust Series 2002-4, Floating Rate Note, 10/25/32 1,000,000 $16,936
Chase Funding Trust Series 2004-2, 5.323%, 2/26/35 3,000,000 $67,029
Chase Issuance Trust, Floating Rate Note, 11/15/18 2,500,000 $2,500,900
Chase Issuance Trust, Floating Rate Note, 12/16/19 200,000 $200,026
Chase Issuance Trust, Floating Rate Note, 3/15/19 6,300,000 $6,283,666
Chase Issuance Trust, Floating Rate Note, 4/15/19 150,000 $149,465
Chase Issuance Trust, Floating Rate Note, 4/15/19 6,480,000 $6,470,649
Chase Issuance Trust, Floating Rate Note, 4/16/18 3,000,000 $3,005,097
Chase Issuance Trust, Floating Rate Note, 5/15/19 7,750,000 $7,750,964
Chemtura Corp., New Term Loan, 8/29/16 71,429 $71,674
Chesapeake Funding II LLC, Floating Rate Note, 3/15/28 (144A) 2,500,000 $2,500,220
Chesapeake Funding LLC, Floating Rate Note, 2/7/27 (144A) 1,750,000 $1,723,075
Chesapeake Funding LLC, Floating Rate Note, 2/7/27 (144A) 2,700,000 $2,621,935
Chesapeake Funding LLC, Floating Rate Note, 3/9/26 (144A) 5,315,000 $3,638,064
Chesapeake Funding LLC, Floating Rate Note, 4/7/24 (144A) 3,050,000 $414,911
Chesapeake Funding LLC, Floating Rate Note, 5/7/24 (144A) 2,550,000 $244,193
Chesapeake Funding LLC, Floating Rate Note, 5/7/24 (144A) 3,534,000 $3,538,878
Chevron Corp., Floating Rate Note, 11/16/18 1,385,000 $1,379,283
Chevron Corp., Floating Rate Note, 11/9/16 2,640,000 $2,641,266
Chevron Corp., Floating Rate Note, 3/2/18 2,550,000 $2,532,166
Chevy Chase Funding LLC Mortgage-Backed Certificates Series 2004-1, Floating Rate Note, 1/25/35 (144 3,700,000 $95,479
Chevy Chase Funding LLC Mortgage-Backed Certificates Series 2004-3, Floating Rate Note, 8/25/35 (144 1,300,000 $41,456
CHL Mortgage Pass-Through Trust 2003-15 REMICS, Floating Rate Note, 6/25/18 43,013,062 $492,008
CHS, Incremental 2019 Term G Loan, 12/31/19 24,975 $24,587
CHS, Incremental 2021 Term H Loan, 1/27/21 45,954 $45,274
CIFC Funding 2007-I, Ltd., Floating Rate Note, 5/10/21 (144A) 500,000 $113,568
CIM Trust 2015-4AG, Floating Rate Note, 11/25/57 (144A) 2,700,000 $2,479,505
Cincinnati Bell, Inc., Tranche B Term Loan, 9/10/20 1,218,750 $1,204,531
CIT Equipment Collateral 2014-VT1, 0.86%, 5/22/17 (144A) 2,500,000 $1,168,755
Citibank Credit Card Issuance Trust, 1.02%, 2/22/19 5,700,000 $5,707,820
Citibank Credit Card Issuance Trust, Floating Rate Note, 1/23/20 2,174,000 $2,205,848
Citibank Credit Card Issuance Trust, Floating Rate Note, 11/7/18 3,490,000 $3,494,678
Citibank Credit Card Issuance Trust, Floating Rate Note, 5/20/20 2,750,000 $2,812,453
Citibank Credit Card Issuance Trust, Floating Rate Note, 5/26/20 1,595,000 $1,593,186
Citibank Credit Card Issuance Trust, Floating Rate Note, 5/9/18 5,495,000 $5,497,715
Citicorp Mortgage Securities REMIC Pass-Through Certificates Trust Series 2005-4, 5.0%, 7/25/20 486,000 $6,058
Citicorp Mortgage Securities REMIC Pass-Through Certificates Trust Series 2005-7, 5.0%, 10/25/35 17,468,000 $756,887
Citicorp Residential Mortgage Trust Series 2006-1, 5.63788%, 7/25/36 (Step) 8,714,000 $3,732,223
Citigroup, Inc., 1.35%, 3/10/17 2,670,000 $2,673,500
Citigroup, Inc., Floating Rate Note, 11/15/16 3,200,000 $3,209,477
Citigroup, Inc., Floating Rate Note, 11/24/17 2,630,000 $2,621,172
Citigroup, Inc., Floating Rate Note, 4/27/18 2,700,000 $2,687,930
Citigroup, Inc., Floating Rate Note, 5/15/18 1,330,000 $1,352,825
Citigroup, Inc., Floating Rate Note, 6/9/16 2,500,000 $2,500,007
Citigroup, Inc., Floating Rate Note, 7/25/16 3,700,000 $3,716,975
Citigroup Commercial Mortgage Trust 2006-C4, Floating Rate Note, 3/17/49 4,900,000 $4,902,028
Citigroup Commercial Mortgage Trust 2014-388G REMICS, Floating Rate Note, 6/16/33 (144A) 3,840,000 $3,740,181
Citigroup Commercial Mortgage Trust 2015-SHP2, Floating Rate Note, 7/15/27 (144A) 1,500,000 $1,470,504
Citigroup Commercial Mortgage Trust 2015-SSHP REMICS, Floating Rate Note, 9/15/27 (144A) 5,000,000 $4,846,788
Citigroup Global Markets Mortgage Securities VII, Inc., Floating Rate Note, 3/25/28 49,537,000 $9,508
Citigroup Mortgage Loan Trust, Inc., 6.5%, 6/25/16 10,100,000 $1,035
Citigroup Mortgage Loan Trust, Inc., Floating Rate Note, 11/25/34 3,500,000 $190,650
Citigroup Mortgage Loan Trust, Inc., Floating Rate Note, 5/25/35 (144A) 4,525,000 $2,981,647
Citigroup Mortgage Loan Trust 2006-SHL1, Floating Rate Note, 11/27/45 (144A) 21,220,000 $1,370,220
Citigroup Mortgage Loan Trust 2010-4 REMICS, 5.0%, 10/25/35 (144A) 9,095,000 $1,185,271
Citigroup Mortgage Loan Trust Series 2004-OPT1 Asset Backed Pass-Through Certifi, Floating Rate Note 2,940,000 $1,243,627
Citi Held For Asset Issuance 2015-PM1, 1.85%, 12/15/21 (144A) 1,700,000 $864,801
Citrus Re, Ltd., Floating Rate Note, 4/18/17 (Cat Bond) (144A) 250,000 $248,492
Citrus Re, Ltd., Floating Rate Note, 4/24/17 (Cat Bond) (144A) 1,350,000 $1,345,433
City Center Trust 2011-CCHP, Floating Rate Note, 7/17/28 (144A) 950,000 $953,693
CNH Equipment Trust 2013-A, 0.69%, 6/15/18 1,874,000 $108,621
CNH Equipment Trust 2013-B, 0.99%, 11/15/18 750,000 $747,664
CNH Wholesale Master Note Trust, Floating Rate Note, 8/15/19 (144A) 1,550,000 $1,548,767
CNL Commercial Mortgage Loan Trust 2002-1, Floating Rate Note, 10/25/28 (144A) 42,221,000 $1,121,615
Colony American Homes 2014-1, Floating Rate Note, 5/19/31 (144A) 2,400,000 $2,305,593
Colony American Homes 2014-2, Floating Rate Note, 7/19/31 (144A) 2,100,000 $2,016,519
Colony Mortgage Capital Series 2015-FL3, Ltd., Floating Rate Note, 9/5/32 (144A) 4,500,000 $4,502,218
COMM 2006-C7 Mortgage Trust, Floating Rate Note, 6/10/46 4,547,944 $879,806
Comm 2014-BBG Mortgage Trust REMICS, Floating Rate Note, 3/15/29 (144A) 6,000,000 $5,860,860
COMM 2014-FL4 Mortgage Trust REMICS, Floating Rate Note, 7/15/31 (144A) 5,600,000 $5,438,916
COMM 2014-FL5 Mortgage Trust, Floating Rate Note, 10/17/31 (144A) 4,970,000 $4,879,464
COMM 2014-KYO Mortgage Trust, Floating Rate Note, 6/11/27 (144A) 5,740,000 $5,635,142
COMM 2014-PAT Mortgage Trust, Floating Rate Note, 8/13/27 (144A) 2,722,000 $2,631,604
COMM 2014-PAT Mortgage Trust REMICS, Floating Rate Note, 8/13/27 (144A) 6,980,000 $6,822,430
COMM 2014-SAVA Mortgage Trust, Floating Rate Note, 6/15/34 (144A) 5,589,000 $5,476,591
COMM 2014-TWC Mortgage Trust, Floating Rate Note, 2/13/32 (144A) 7,340,000 $7,175,492
Commonwealth Bank of Australia, Floating Rate Note, 3/13/17 (144A) 2,000,000 $1,999,676
CommScope, Inc., Tranche 4 Term Loan, 1/14/18 119,741 $119,777
CommScope, Inc., Tranche 5 Term Loan (2015), 12/29/22 1,995,000 $1,987,519
Communications Sales & Leasing, Inc., Term Loan, 10/16/22 397,000 $385,189
Concordia Healthcare Corp., Initial Dollar Term Loan, 10/20/21 1,246,875 $1,218,820
Confie Seguros Holding II Co., Term B Loan (First Lien), 11/9/18 487,337 $479,418
Conn's Receivables Funding 2015-A LLC, 4.565%, 9/15/20 (144A) 4,000,000 $1,727,206
Conn's Receivables Funding 2016-A LLC, 4.68%, 4/16/18 (144A) 3,600,000 $3,608,329
Conseco Finance Corp., Floating Rate Note, 11/17/31 1,750,000 $166,621
Conseco Finance Home Equity Loan Trust 2002-C, Floating Rate Note, 4/15/32 800,000 $183,746
Conseco Financial Corp., 7.05%, 1/15/19 600,362 $2,593
Consumer Credit Origination Loan Trust 2015-1, 2.82%, 3/15/21 (144A) 2,500,000 $930,167
ConvaTec, Inc., Dollar Term Loan, 12/22/16 824,741 $822,680
Cooperatieve Rabobank UA New York, Floating Rate Note, 4/28/17 2,740,000 $2,744,559
Countrywide Asset-Backed Certificates, Floating Rate Note, 10/25/34 5,000,000 $1,347,410
Countrywide Asset-Backed Certificates, Floating Rate Note, 11/25/35 7,825,000 $167,495
Countrywide Asset-Backed Certificates, Floating Rate Note, 3/25/35 5,600,000 $1,643,379
Countrywide Asset-Backed Certificates, Floating Rate Note, 6/25/33 (144A) 2,000,000 $35,318
Countrywide Asset-Backed Certificates, Floating Rate Note, 6/25/33 (144A) 9,355,000 $166,166
CPS Auto Receivables Trust 2013-B, 1.82%, 9/15/20 (144A) 731,000 $198,525
CPS Auto Receivables Trust 2014-A, 1.21%, 8/15/18 (144A) 700,000 $168,509
CPS Auto Receivables Trust 2014-C, 1.31%, 2/15/19 (144A) 2,530,000 $1,065,670
CPS Auto Receivables Trust 2015-B, 1.65%, 11/15/19 (144A) 1,700,000 $1,246,605
CPS Auto Receivables Trust 2016-A, 2.25%, 10/15/19 (144A) 2,700,000 $2,502,929
CPS Auto Trust, 1.48%, 3/16/20 (144A) 1,060,000 $197,306
CPS Auto Trust, 1.82%, 12/16/19 (144A) 1,439,000 $236,155
CRANBERRY RE, Ltd., Floating Rate Note, 7/6/18 (Cat Bond) (144A) 1,000,000 $1,021,328
Cratos CLO, Ltd., Floating Rate Note, 5/19/21 (144A) 4,500,000 $4,491,754
Credit Acceptance Auto Loan Trust 2013-2, 1.5%, 4/15/21 (144A) 330,000 $148,054
Credit-Based Asset Servicing and Securitization LLC, Floating Rate Note, 7/25/34 2,783,000 $422,029
Credit-Based Asset Servicing and Securitization LLC, Floating Rate Note, 7/25/36 4,500,000 $2,892,289
Credit Suisse Commercial Mortgage Trust Series 2006-C3 REMICS, Floating Rate Note, 6/15/38 4,434,000 $4,467,152
Credit Suisse Commercial Mortgage Trust Series 2007-C3, Floating Rate Note, 6/15/39 7,500,000 $5,592,845
Credit Suisse Commercial Mortgage Trust Series 2007-C4, Floating Rate Note, 9/15/39 5,000,000 $5,020,981
Credit Suisse Commercial Mortgage Trust Series 2007-C4 REMICS, Floating Rate Note, 9/15/39 1,955,009 $1,384,279
Credit Suisse First Boston Mortgage Securities Corp., Floating Rate Note, 2/25/32 1,400,000 $1,267,118
Credit Suisse First Boston Mortgage Securities Corp., Floating Rate Note, 6/25/34 26,125,000 $337,490
Credit Suisse First Boston Mortgage Securities Corp., Floating Rate Note, 7/25/35 22,065,000 $1,878,032
Credit Suisse Mortgage Capital Certificates, Floating Rate Note, 10/27/36 (144A) 12,650,000 $655,081
Credit Suisse Mortgage Capital Certificates REMICS, Floating Rate Note, 7/27/36 (144A) 7,712,000 $476,438
Crowne Group LLC, Term Loan (First Lien), 9/29/20 492,500 $472,800
Crown Point CLO, Ltd., Floating Rate Note, 11/21/22 (144A) 4,300,000 $2,895,135
Crusade Global Trust No.2 of 2006, Floating Rate Note, 11/15/37 17,300,000 $1,873,824
Crusade Global Trust No 1 of 2007, Floating Rate Note, 4/19/38 15,883,244 $1,924,058
CSC Holdings LLC, Term B Loan, 4/17/20 992,347 $992,192
CS Intermediate Holdco 2 LLC, Term Loan, 3/28/21 342,258 $340,012
CSMC 2015-TWNI Trust, Floating Rate Note, 3/15/28 (144A) 2,300,000 $2,224,976
CSMC Trust 2015-DEAL, Floating Rate Note, 4/16/29 (144A) 3,500,000 $3,384,054
CSMC Trust 2015-SAND, Floating Rate Note, 8/15/30 (144A) 1,100,000 $1,071,555
CSMC Trust 2015-SAND, Floating Rate Note, 8/15/30 (144A) 3,750,000 $3,609,438
CWABS Asset-Backed Certificates Trust 2004-7, Floating Rate Note, 12/25/34 13,486,000 $5,035,779
CWGS Group LLC, Term Loan, 2/20/20 371,975 $368,952
Daimler Finance North America LLC, Floating Rate Note, 3/10/17 (144A) 1,500,000 $1,494,290
Daimler Finance North America LLC, Floating Rate Note, 3/2/18 (144A) 1,275,000 $1,262,295
Daimler Finance North America LLC, Floating Rate Note, 5/18/18 (144A) 2,370,000 $2,344,807
Daimler Finance North America LLC, Floating Rate Note, 8/1/16 (144A) 2,845,000 $2,853,220
Daimler Finance North America LLC, Floating Rate Note, 8/1/17 (144A) 2,061,000 $2,051,945
Daimler Finance North America LLC, Floating Rate Note, 8/3/17 (144A) 3,215,000 $3,221,075
Darling Ingredients, Inc., Term B USD Loan, 12/19/20 1,558,200 $1,554,792
DaVita HealthCare Partners, Inc., Tranche B Term Loan, 6/19/21 467,907 $469,442
Dell Equipment Finance Trust 2015-2, Floating Rate Note, 12/22/17 (144A) 2,600,000 $2,600,608
Delos Finance Sarl, Loan, 3/6/21 1,295,000 $1,299,856
Delta Air Lines, Inc., 2014 Term B-1 Loan, 10/18/18 725,625 $726,683
Delta Air Lines Inc 1st Lien Tl-B L + 2.5% 24aug22 299,250 $299,357
Delta Funding Home Equity Loan Trust 1997-2, 7.04%, 6/25/27 1,000,000 $491
Deltek, Inc., Term Loan (First Lien), 12/31/22 286,518 $285,622
DigitalGlobe, Inc., Term Loan, 1/31/20 1,856,235 $1,852,369
Discover Card Execution Note Trust, Floating Rate Note, 10/15/18 3,915,000 $3,916,139
Discover Card Execution Note Trust, Floating Rate Note, 8/15/19 2,000,000 $2,000,609
Discover Card Execution Note Trust, Floating Rate Note, 8/17/20 300,000 $299,969
Dominion Resources, Inc. Virginia, 1.95%, 8/15/16 2,376,000 $2,389,426
DPx Holdings BV, 2015 Incremental Dollar Term Loan, 1/23/21 299,663 $289,487
Drillships Financing Holding, Inc., Tranche B-1 Term Loan, 3/31/21 702,221 $255,726
Drug Royalty II LP 2, Floating Rate Note, 7/15/23 (144A) 3,250,000 $2,461,945
DT Auto Owner Trust 2015-1, 1.06%, 9/17/18 (144A) 2,100,000 $423,371
DT Auto Owner Trust 2015-2, 1.24%, 9/17/18 (144A) 2,600,000 $1,102,190
DT Auto Owner Trust 2015-3, 1.66%, 3/15/19 (144A) 3,000,000 $1,981,747
DT Auto Owner Trust 2016-1, 2.0%, 9/16/19 (144A) 1,700,000 $1,460,223
DTZ US Borrower LLC, 2015-1 Additional Term Loan (First Lien), 11/4/21 1,693,416 $1,679,305
Duke Energy Corp., Floating Rate Note, 4/3/17 2,610,000 $2,598,905
Duke Energy Indiana LLC, Floating Rate Note, 7/11/16 2,285,000 $2,290,665
Duke Energy Progress LLC, Floating Rate Note, 11/20/17 7,095,000 $7,010,590
Duke Energy Progress LLC, Floating Rate Note, 3/6/17 1,275,000 $1,272,585
DynCorp International, Inc., Term Loan, 7/7/16 143,055 $138,764
Dynegy, Inc., Tranche B-2 Term Loan, 4/23/20 448,846 $442,674
East Lane Re VI, Ltd., Floating Rate Note, 3/14/18 (Cat Bond) (144A) 2,000,000 $1,973,467
Eden Re II, Ltd., 0.0%, 4/19/18 (Cat Bond) (144A) 13,000 $97,500
Eden Re II, Ltd., 0.0%, 4/23/19 (Cat Bond) (144A) 1,287,000 $1,299,870
Electricite de France SA, Floating Rate Note, 1/20/17 (144A) 1,865,000 $1,864,563
Ellington Loan Acquisition Trust 2007-1, Floating Rate Note, 5/26/37 (144A) 4,825,000 $1,685,935
Emdeon, Inc., Term B-2 Loan, 11/2/18 1,583,532 $1,578,583
EMD Finance LLC, Floating Rate Note, 3/17/17 (144A) 3,000,000 $2,990,677
Enbridge, Inc., Floating Rate Note, 10/1/16 3,000,000 $2,980,127
Endo Luxembourg Finance I Co Sarl, 2015 Incremental Term B Loan, 6/24/22 694,560 $685,010
Engs Commercial Finance Trust 2015-1, 0.7%, 8/22/16 (144A) 5,400,000 $450,793
Entercom Radio LLC, Term B-2 Loan, 11/23/18 311,656 $311,007
Enterprise Fleet Financing LLC, 0.87%, 9/20/19 2,000,000 $784,420
Enterprise Fleet Financing LLC, 0.93%, 4/20/18 (144A) 1,800,000 $593,897
Enterprise Fleet Financing LLC, 1.59%, 2/22/21 (144A) 2,600,000 $2,596,389
Envision Healthcare Corp., Initial Term Loan, 5/25/18 1,232,908 $1,234,758
Epiq Systems, Inc., Term Loan, 8/27/20 462,398 $457,774
EQTY 2014-INNS Mortgage Trust, Floating Rate Note, 5/8/31 (144A) 3,530,000 $3,409,012
EQTY 2014-INNS Mortgage Trust REMICS, Floating Rate Note, 5/8/31 (144A) 1,850,000 $1,783,395
EquiVantage Home Equity Loan Trust 1997-1, 8.05%, 3/25/28 (Step) 1,500,000 $5,466
Evergreen Skills Lux Sarl, Initial Term Loan (First Lien), 4/23/21 394,000 $317,827
Exeter Automobile Receivables Trust 2012-2, 3.06%, 7/16/18 (144A) 1,000,000 $1,001,986
Exeter Automobile Receivables Trust 2013-1, 2.41%, 5/15/18 (144A) 1,000,000 $438,092
Exeter Automobile Receivables Trust 2014-2, 1.06%, 8/15/18 (144A) 1,400,000 $192,683
Exeter Automobile Receivables Trust 2015-1, 1.6%, 6/17/19 (144A) 1,700,000 $707,411
Exeter Automobile Receivables Trust 2015-2, 1.54%, 11/15/19 (144A) 3,400,000 $1,869,283
Expert Global Solutions, Inc., Term B Advance (First Lien), 4/3/18 10,555 $10,370
Exxon Mobil Corp., Floating Rate Note, 2/28/18 2,700,000 $2,710,852
Exxon Mobil Corp., Floating Rate Note, 3/15/17 1,980,000 $1,974,225
Fannie Mae, 3.0%, 11/25/18 28,480,000 $2,331,971
Fannie Mae, 3.0%, 8/25/25 4,300,000 $378,422
Fannie Mae, 3.5%, 10/25/23 10,418,500 $744,015
Fannie Mae, 4.5%, 9/25/18 66,086,887 $2,922,809
Fannie Mae, 4.5%, 9/25/35 21,935,000 $992,150
Fannie Mae, 5.0%, 6/25/34 5,572,000 $323,301
Fannie Mae, 7.0%, 10/1/17 2,241,352 $3,544
Fannie Mae, Floating Rate Note, 1/1/48 175,000 $17,715
Fannie Mae, Floating Rate Note, 10/1/32 500,000 $25,756
Fannie Mae, Floating Rate Note, 11/1/23 970,000 $5,792
Fannie Mae, Floating Rate Note, 2/1/34 500,000 $22,782
Fannie Mae, Floating Rate Note, 9/1/32 375,000 $18,786
Fannie Mae Connecticut Avenue Securities, Floating Rate Note, 10/25/23 4,205,000 $2,265,517
Fannie Mae Connecticut Avenue Securities, Floating Rate Note, 4/25/28 2,850,000 $2,763,584
Fannie Mae Connecticut Avenue Securities, Floating Rate Note, 5/25/24 3,560,000 $2,216,773
Fannie Mae Connecticut Avenue Securities, Floating Rate Note, 7/25/24 5,540,000 $3,049,947
Fannie Mae Connecticut Avenue Securities, Floating Rate Note, 8/25/28 2,500,000 $2,487,174
Fannie Mae Connecticut Avenue Securities, Floating Rate Note, 9/25/28 2,200,000 $2,202,744
Fannie Mae Trust 2003-W6, Floating Rate Note, 9/25/42 24,560,079 $1,780,220
Fannie Mae Trust 2005-W4, Floating Rate Note, 6/25/45 1,500,000 $196,073
Fannie Mae Whole Loan, Floating Rate Note, 11/25/46 12,390,000 $1,584,404
FCA US LLC, Term Loan B, 5/24/17 216,850 $217,062
FCA US LLC, Tranche B Term Loan, 12/29/18 1,669,364 $1,668,947
Federal Farm Credit Banks, Floating Rate Note, 6/20/16 10,000,000 $10,001,953
Federal Home Loan Banks, 2.9%, 4/20/17 4,130,000 $551,263
Federal Home Loan Mortgage Corp., 3.0%, 12/15/24 32,045,000 $3,899,101
Federal Home Loan Mortgage Corp., Floating Rate Note, 1/15/35 5,669,000 $534,706
Federal Home Loan Mortgage Corp., Floating Rate Note, 10/1/23 1,890,000 $5,962
Federal Home Loan Mortgage Corp., Floating Rate Note, 11/1/33 850,000 $14,353
Federal Home Loan Mortgage Corp., Floating Rate Note, 11/26/46 (144A) 2,500,000 $2,513,318
Federal Home Loan Mortgage Corp., Floating Rate Note, 2/15/18 26,045,000 $286,028
Federal Home Loan Mortgage Corp., Floating Rate Note, 3/15/32 54,102,000 $450,893
Federal Home Loan Mortgage Corp., Floating Rate Note, 4/15/28 48,028,376 $465,666
Federal Home Loan Mortgage Corp., Floating Rate Note, 6/1/35 3,000,000 $6,643
Federal Home Loan Mortgage Corp., Floating Rate Note, 6/15/31 25,000,000 $266,997
Federal Home Loan Mortgage Corp., Floating Rate Note, 8/15/35 50,000,000 $3,501,342
Federal Home Loan Mortgage Corp. REMICS, 3.5%, 6/15/28 5,381,000 $53,121
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 1/15/33 86,214,000 $899,028
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 1/15/36 1,837,000 $244,295
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 1/15/37 63,238,000 $2,639,259
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 10/15/20 1,400,000 $66,499
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 10/15/31 1,750,000 $62,413
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 10/15/37 9,195,000 $420,473
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 10/15/37 18,287,000 $907,861
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 11/15/31 20,187,077 $92,173
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 11/15/33 2,550,000 $233,216
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 11/15/35 850,000 $145,471
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 11/15/36 2,850,000 $358,662
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 11/15/36 5,342,000 $685,451
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 11/15/40 1,265,000 $367,609
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/20 1,000,000 $106,873
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/28 56,250,000 $383,955
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/32 11,201,000 $500,712
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/32 9,063,000 $417,212
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/32 1,700,000 $22,923
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/32 15,400,000 $123,720
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/39 2,334,000 $759,516
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/41 1,000,000 $505,305
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/19 4,675,000 $136,109
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/25 2,142,856 $243,311
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/29 23,100,000 $207,577
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/30 2,056,750 $656,891
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/33 15,000,000 $297,132
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/33 49,250,000 $504,305
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/36 5,087,000 $691,153
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/36 5,000,000 $271,711
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/39 1,251,000 $459,806
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 3/15/24 6,200,000 $1,129,795
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 3/15/32 64,920,000 $533,674
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 3/15/32 22,000,000 $168,044
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 3/15/32 122,751,000 $784,979
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 3/15/36 5,000,000 $776,908
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 3/15/39 1,000,000 $144,782
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 3/15/41 13,046,000 $1,879,288
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 4/15/36 3,463,000 $470,304
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 5/15/29 15,000,000 $95,058
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 5/15/33 3,790,000 $325,301
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 5/15/35 3,925,000 $725,188
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 5/15/35 10,200,000 $323,484
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 5/15/36 7,791,000 $371,310
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 5/15/37 3,000,000 $138,888
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 5/15/37 5,000,000 $200,541
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 5/15/41 340,000 $78,012
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 6/15/23 6,500,000 $51,727
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 6/15/33 10,000,000 $397,293
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 6/15/36 52,250,000 $1,619,651
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 6/15/36 5,835,000 $394,041
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 6/15/38 4,056,000 $287,074
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 7/15/21 17,312,039 $99,480
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 7/15/23 2,924,000 $437,282
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 7/15/34 5,000,000 $460,375
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 7/15/36 5,000,000 $500,813
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 7/15/36 1,200,000 $31,779
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 7/15/36 15,317,285 $863,999
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 7/15/40 2,570,000 $391,527
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 8/15/26 1,330,000 $345,333
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 8/15/35 2,185,000 $322,597
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 8/15/35 5,000,000 $614,775
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 8/15/36 17,556,000 $603,055
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 9/15/26 1,427,500 $645,168
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 9/15/32 10,000,000 $139,597
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 9/15/36 3,320,000 $299,166
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 9/15/36 3,470,000 $211,186
Federal National Mortgage Association, Floating Rate Note, 10/3/16 8,925,000 $8,951,576
Federal National Mortgage Association, Floating Rate Note, 12/25/23 5,000,000 $260,739
Federal National Mortgage Association, Floating Rate Note, 12/25/33 25,758,805 $5,641,385
Federal National Mortgage Association, Floating Rate Note, 2/25/38 50,000,000 $11,960,618
Federal National Mortgage Association, Floating Rate Note, 3/25/18 73,948,000 $951,583
Federal National Mortgage Association, Floating Rate Note, 4/25/35 750,000 $119,204
Federal National Mortgage Association REMICS, Floating Rate Note, 1/18/32 16,977,308 $187,429
Federal National Mortgage Association REMICS, Floating Rate Note, 1/25/32 30,000,000 $302,638
Federal National Mortgage Association REMICS, Floating Rate Note, 1/25/33 5,000,000 $121,206
Federal National Mortgage Association REMICS, Floating Rate Note, 1/25/33 13,036,000 $329,961
Federal National Mortgage Association REMICS, Floating Rate Note, 1/25/40 5,000,000 $287,579
Federal National Mortgage Association REMICS, Floating Rate Note, 10/25/35 625,000 $10,882
Federal National Mortgage Association REMICS, Floating Rate Note, 10/25/35 6,475,000 $474,823
Federal National Mortgage Association REMICS, Floating Rate Note, 10/25/36 71,456,000 $2,050,962
Federal National Mortgage Association REMICS, Floating Rate Note, 10/25/37 2,400,000 $550,196
Federal National Mortgage Association REMICS, Floating Rate Note, 10/25/37 1,030,000 $97,940
Federal National Mortgage Association REMICS, Floating Rate Note, 10/25/38 6,344,000 $480,993
Federal National Mortgage Association REMICS, Floating Rate Note, 10/27/37 2,738,000 $1,562,146
Federal National Mortgage Association REMICS, Floating Rate Note, 11/18/32 105,671,000 $1,520,391
Federal National Mortgage Association REMICS, Floating Rate Note, 11/25/31 50,000,000 $361,841
Federal National Mortgage Association REMICS, Floating Rate Note, 11/25/31 44,000,000 $318,420
Federal National Mortgage Association REMICS, Floating Rate Note, 11/25/33 10,000,000 $577,913
Federal National Mortgage Association REMICS, Floating Rate Note, 11/25/34 9,662,000 $455,370
Federal National Mortgage Association REMICS, Floating Rate Note, 11/25/36 1,625,000 $265,371
Federal National Mortgage Association REMICS, Floating Rate Note, 12/25/23 13,749,086 $84,662
Federal National Mortgage Association REMICS, Floating Rate Note, 12/25/23 5,000,000 $255,836
Federal National Mortgage Association REMICS, Floating Rate Note, 12/25/30 20,000,000 $76,740
Federal National Mortgage Association REMICS, Floating Rate Note, 12/25/31 30,500,000 $720,387
Federal National Mortgage Association REMICS, Floating Rate Note, 12/25/32 14,000,000 $297,844
Federal National Mortgage Association REMICS, Floating Rate Note, 12/25/36 4,800,000 $184,693
Federal National Mortgage Association REMICS, Floating Rate Note, 12/25/37 21,428,000 $482,186
Federal National Mortgage Association REMICS, Floating Rate Note, 12/25/38 400,000 $165,259
Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/33 10,610,000 $272,874
Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/33 16,918,890 $623,655
Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/35 2,497,000 $672,644
Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/37 5,150,000 $389,193
Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/37 20,692,000 $551,448
Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/38 4,400,000 $195,325
Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/38 2,184,000 $242,894
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/23 17,080,403 $78,672
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/24 14,460,650 $436,950
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/28 24,210,000 $232,208
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/34 20,624,640 $1,089,820
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/36 700,000 $94,372
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/37 39,983,000 $685,895
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/37 3,413,000 $344,163
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/37 2,300,000 $170,159
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/45 12,700,000 $1,492,863
Federal National Mortgage Association REMICS, Floating Rate Note, 4/25/25 2,280,000 $216,286
Federal National Mortgage Association REMICS, Floating Rate Note, 4/25/32 35,072,000 $1,641,719
Federal National Mortgage Association REMICS, Floating Rate Note, 4/25/33 36,000,000 $840,360
Federal National Mortgage Association REMICS, Floating Rate Note, 4/25/42 642,857 $384,056
Federal National Mortgage Association REMICS, Floating Rate Note, 5/25/33 15,932,000 $298,490
Federal National Mortgage Association REMICS, Floating Rate Note, 5/25/36 23,900,354 $399,389
Federal National Mortgage Association REMICS, Floating Rate Note, 5/25/36 13,100,000 $1,007,632
Federal National Mortgage Association REMICS, Floating Rate Note, 5/25/37 32,172,000 $649,347
Federal National Mortgage Association REMICS, Floating Rate Note, 5/25/40 8,500,000 $873,611
Federal National Mortgage Association REMICS, Floating Rate Note, 5/25/40 500,000 $185,534
Federal National Mortgage Association REMICS, Floating Rate Note, 5/25/40 2,619,152 $763,282
Federal National Mortgage Association REMICS, Floating Rate Note, 6/25/23 3,460,000 $203,977
Federal National Mortgage Association REMICS, Floating Rate Note, 6/25/36 8,454,822 $610,611
Federal National Mortgage Association REMICS, Floating Rate Note, 6/25/37 900,000 $72,670
Federal National Mortgage Association REMICS, Floating Rate Note, 6/25/37 7,474,000 $688,179
Federal National Mortgage Association REMICS, Floating Rate Note, 6/25/37 3,590,000 $249,491
Federal National Mortgage Association REMICS, Floating Rate Note, 6/25/37 632,250 $60,782
Federal National Mortgage Association REMICS, Floating Rate Note, 7/18/27 15,000,000 $48,000
Federal National Mortgage Association REMICS, Floating Rate Note, 7/25/31 48,885,770 $350,196
Federal National Mortgage Association REMICS, Floating Rate Note, 7/25/31 50,000,000 $248,003
Federal National Mortgage Association REMICS, Floating Rate Note, 7/25/32 15,000,000 $154,547
Federal National Mortgage Association REMICS, Floating Rate Note, 7/25/34 2,860,000 $124,456
Federal National Mortgage Association REMICS, Floating Rate Note, 7/25/34 7,443,000 $382,319
Federal National Mortgage Association REMICS, Floating Rate Note, 7/25/35 23,056,000 $1,790,075
Federal National Mortgage Association REMICS, Floating Rate Note, 7/25/35 9,145,238 $1,589,285
Federal National Mortgage Association REMICS, Floating Rate Note, 7/25/36 2,000,000 $216,861
Federal National Mortgage Association REMICS, Floating Rate Note, 7/25/37 1,942,360 $222,815
Federal National Mortgage Association REMICS, Floating Rate Note, 8/25/31 17,600,000 $176,794
Federal National Mortgage Association REMICS, Floating Rate Note, 8/25/32 5,000,000 $68,687
Federal National Mortgage Association REMICS, Floating Rate Note, 8/25/32 15,000,000 $228,155
Federal National Mortgage Association REMICS, Floating Rate Note, 8/25/33 485,000 $9,475
Federal National Mortgage Association REMICS, Floating Rate Note, 8/25/36 4,450,000 $208,196
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/20 13,700,000 $8,742
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/21 8,269,375 $61,664
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/32 20,000,000 $290,569
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/33 19,984,406 $1,571,512
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/36 13,053,000 $473,519
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/37 1,915,000 $168,838
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/37 3,173,000 $297,609
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/37 7,400,000 $597,774
FFMLT Trust 2005-FF2, Floating Rate Note, 3/25/35 3,935,000 $2,974,562
Fieldstone Mortgage Investment Trust Series 2004-5, Floating Rate Note, 2/25/35 7,050,000 $488,447
Fieldstone Mortgage Investment Trust Series 2005-1, Floating Rate Note, 3/25/35 1,457,000 $129,940
Fifth Third Auto Trust 2014-3, Floating Rate Note, 5/15/17 1,700,000 $157,955
Fifth Third Bancorp, Floating Rate Note, 12/20/16 1,727,000 $1,721,568
Fifth Third Bank Cincinnati Ohio, 1.15%, 11/18/16 5,920,000 $5,954,951
Fifth Third Bank Cincinnati Ohio, Floating Rate Note, 11/18/16 1,800,000 $1,805,131
First Franklin Mortgage Loan Trust 2003-FFC, Floating Rate Note, 11/25/32 3,200,000 $127,705
First Franklin Mortgage Loan Trust 2005-FFH2, Floating Rate Note, 4/25/35 (144A) 1,500,000 $1,168,510
First Franklin Mortgage Loan Trust 2005-FFH3, Floating Rate Note, 9/25/35 4,351,000 $986,617
First Franklin Mortgage Loan Trust 2006-FF1, Floating Rate Note, 1/25/36 13,000,000 $1,683,191
First Franklin Mortgage Loan Trust Series 2005-FF12, Floating Rate Note, 11/25/36 12,150,000 $1,192,660
First Horizon Mortgage Pass-Through Trust 2003-AR3, Floating Rate Note, 9/25/33 13,000,000 $719,005
First Investors Auto Owner Trust 2013-1, 2.53%, 1/15/20 (144A) 1,775,000 $1,761,052
First Investors Auto Owner Trust 2013-2, 1.23%, 3/15/19 (144A) 4,251,000 $505,300
First Investors Auto Owner Trust 2014-2, 0.86%, 8/15/18 (144A) 2,100,000 $320,455
First Investors Auto Owner Trust 2014-3, 1.06%, 11/15/18 (144A) 2,000,000 $645,349
First National Master Note Trust 2015-1, Floating Rate Note, 9/15/20 4,400,000 $4,404,752
First NLC Trust 2005-2, Floating Rate Note, 9/25/35 2,450,000 $2,126,961
Flagship Credit Auto Trust 2013-1, 5.38%, 7/15/20 (144A) 1,250,000 $1,236,344
Flagship Credit Auto Trust 2015-2, 1.98%, 10/15/20 (144A) 3,500,000 $2,706,540
Flagship Credit Auto Trust 2015-3, 2.38%, 10/15/20 (144A) 3,000,000 $2,639,697
Flt% 15jun16 1,000,000 $1,010,600
Flt% 31mar19 2,500,000 $2,500,000
Fly Funding II Sarl, Loan, 8/9/19 2,023,084 $2,010,755
FMG Resources August 2006 Pty, Ltd., Loan, 6/30/19 811,569 $687,805
FNA 2014-1 Trust, 1.296%, 12/10/22 (144A) 2,500,000 $1,152,803
FNA 2015-1 Trust, 3.24%, 12/10/23 (144A) 3,000,000 $2,417,876
Foothill CLO, Ltd., Floating Rate Note, 2/22/21 (144A) 9,750,000 $577,151
Ford Credit Auto Owner Trust 2015-A, Floating Rate Note, 1/15/18 2,500,000 $1,136,532
Ford Credit Auto Owner Trust 2015-B, Floating Rate Note, 3/15/18 2,600,000 $1,628,705
Ford Credit Auto Owner Trust 2016-A, Floating Rate Note, 12/15/18 1,300,000 $1,301,637
Ford Credit Floorplan Master Owner Trust A, 1.92%, 1/15/19 2,620,000 $2,633,916
Ford Credit Floorplan Master Owner Trust A, Floating Rate Note, 2/15/19 900,000 $898,741
Ford Credit Floorplan Master Owner Trust A, Floating Rate Note, 2/15/21 4,000,000 $4,002,523
Ford Motor Credit Co LLC, 1.7%, 5/9/16 1,375,000 $1,385,143
Ford Motor Credit Co LLC, Floating Rate Note, 1/9/18 2,600,000 $2,579,096
Ford Motor Credit Co LLC, Floating Rate Note, 11/8/16 1,715,000 $1,712,044
Ford Motor Credit Co LLC, Floating Rate Note, 3/27/17 3,500,000 $3,483,774
Ford Motor Credit Co LLC, Floating Rate Note, 9/8/17 2,600,000 $2,569,200
Fore CLO, Ltd., Floating Rate Note, 7/20/19 (144A) 1,750,000 $1,508,451
Four Corners CLO II, Ltd., Floating Rate Note, 1/26/20 (144A) 553,000 $519,156
Four Corners CLO III, Ltd., Floating Rate Note, 7/22/20 (144A) 18,500,000 $2,544,538
Four Seasons Holdings, Inc., Term Loan (First Lien) 2013, 6/27/20 486,595 $484,365
Freddie Mac, 2.0%, 11/15/20 6,550,000 $956,978
Freddie Mac, 2.0%, 8/15/20 5,100,000 $968,690
Freddie Mac, 3.0%, 7/15/36 4,340,000 $351,009
Freddie Mac, 4.0%, 12/15/23 60,935,000 $1,399,264
Freddie Mac, 5.0%, 10/15/26 5,328,602 $3,138,005
Freddie Mac Strips, Floating Rate Note, 12/15/36 10,968,000 $434,514
Freddie Mac Strips, Floating Rate Note, 8/15/36 43,230,336 $1,437,733
Freddie Mac Strips, Floating Rate Note, 8/15/36 10,000,000 $330,845
Freddie Mac Structured Agency Credit Risk Debt Notes, Floating Rate Note, 10/25/24 2,000,000 $1,764,076
Freddie Mac Structured Agency Credit Risk Debt Notes, Floating Rate Note, 11/25/23 2,250,000 $1,111,493
Freddie Mac Structured Agency Credit Risk Debt Notes, Floating Rate Note, 2/25/24 2,265,000 $1,494,631
Freddie Mac Structured Agency Credit Risk Debt Notes, Floating Rate Note, 4/25/28 2,250,000 $2,160,158
Freddie Mac Structured Agency Credit Risk Debt Notes, Floating Rate Note, 7/25/28 2,600,000 $2,563,021
Freddie Mac Structured Agency Credit Risk Debt Notes, Floating Rate Note, 8/25/24 853,600 $748,614
Freddie Mac Structured Agency Credit Risk Debt Notes, Floating Rate Note, 9/25/28 2,250,000 $2,257,345
FREMF Mortgage Trust 2014-KF04 REMICS, Floating Rate Note, 6/25/21 (144A) 4,400,000 $3,021,768
FREMF Mortgage Trust 2014-KF05 REMICS, Floating Rate Note, 9/25/21 (144A) 5,276,000 $4,937,856
FREMF Mortgage Trust 2014-KS02 REMICS, Floating Rate Note, 8/25/23 (144A) 5,600,000 $5,449,532
Fremont Home Loan Trust 2005-2, Floating Rate Note, 6/25/35 1,100,000 $749,258
Fremont Home Loan Trust 2005-B, Floating Rate Note, 4/25/35 10,250,000 $855,659
Fremont Home Loan Trust 2005-D, Floating Rate Note, 11/25/35 44,651,000 $433,408
GAHR Commercial Mortgage Trust 2015-NRF, Floating Rate Note, 12/15/16 (144A) 1,945,000 $1,912,177
Gale Force 3 Clo, Ltd., Floating Rate Note, 4/19/21 (144A) 4,450,000 $3,931,049
Gale Force 3 Clo, Ltd., Floating Rate Note, 4/19/21 (144A) 1,200,000 $468,808
Galileo Re, Ltd., Floating Rate Note, 1/9/17 (Cat Bond) (144A) 1,250,000 $1,285,188
Garda World Security Corp., Term B Delayed Draw Loan, 11/8/20 315,318 $303,691
Garda World Security Corp., Term B Loan, 11/1/20 1,232,607 $1,187,155
Gardner Denver, Inc., Initial Dollar Term Loan, 7/30/20 232,157 $210,682
Gator Re, Ltd., Floating Rate Note, 1/9/17 (Cat Bond) (144A) 2,000,000 $1,965,802
GCAT 2015-1 LLC, 3.625%, 5/26/20 (Step) (144A) 2,500,000 $1,720,478
GCAT 2015-2, 3.75%, 7/25/20 (Step) (144A) 4,400,000 $3,625,681
GCI Holdings, Inc., New Term B Loan, 2/2/22 653,400 $654,217
GE Capital International Funding Co., 0.964%, 4/15/16 (144A) 2,916,000 $2,928,263
GE Dealer Floorplan Master Note Trust, Floating Rate Note, 10/21/19 3,255,000 $3,235,465
GE Dealer Floorplan Master Note Trust, Floating Rate Note, 4/20/18 1,190,000 $1,190,302
GE Dealer Floorplan Master Note Trust, Floating Rate Note, 7/22/19 2,670,000 $2,659,154
General Electric Co., Floating Rate Note, 5/11/16 1,000,000 $1,001,401
General Electric Co., Floating Rate Note, 5/15/17 2,000,000 $2,005,156
General Electric Co., Floating Rate Note, 7/12/16 850,000 $855,948
General Motors Financial Co, Inc., Floating Rate Note, 1/15/19 6,975,000 $6,979,670
General Motors Financial Co, Inc., Floating Rate Note, 4/10/18 2,500,000 $2,488,350
Georgia Power Co., Floating Rate Note, 8/15/16 1,000,000 $1,001,245
GLC Trust 2013-1, 3.0%, 7/15/21 (144A) 3,200,000 $1,035,958
Glencore Funding LLC, Floating Rate Note, 4/16/18 (144A) 2,500,000 $2,258,515
Glencore Funding LLC, Floating Rate Note, 5/27/16 (144A) 1,800,000 $1,795,691
Glenn Pool Oil & Gas Trust, Term Loan, 5/2/16 2,785 $2,778
Global Container Assets 2013-1, Ltd., 2.2%, 11/6/28 (144A) 1,750,000 $460,369
Global Mortgage Securitization, Ltd., 5.25%, 4/25/32 2,691,322 $605,527
Global Mortgage Securitization, Ltd., Floating Rate Note, 11/25/32 (144A) 8,780,000 $277,521
Global Mortgage Securitization, Ltd., Floating Rate Note, 4/25/32 49,625,000 $2,943,032
GMAT 2013-1 Trust, 3.9669%, 8/25/53 (Step) 5,300,000 $2,370,010
GMAT 2015-1 Trust, 4.25%, 9/25/20 (Step) (144A) 5,250,000 $4,554,525
GMF Floorplan Owner Revolving Trust, Floating Rate Note, 5/15/20 (144A) 1,300,000 $1,290,586
GM Financial Automobile Leasing Trust 2014-1, 1.99%, 5/21/18 (144A) 3,250,000 $3,255,793
GM Financial Automobile Leasing Trust 2015-3, Floating Rate Note, 6/20/18 1,000,000 $1,000,689
GO Financial Auto Securitization Trust 2015-2, 3.27%, 11/15/18 (144A) 2,500,000 $1,860,826
Golden Credit Card Trust, Floating Rate Note, 1/15/20 (144A) 4,000,000 $4,003,096
Golden Credit Card Trust, Floating Rate Note, 3/15/19 (144A) 300,000 $299,098
Golden Credit Card Trust, Floating Rate Note, 3/15/21 (144A) 590,000 $583,355
Golden Credit Card Trust, Floating Rate Note, 9/15/18 (144A) 2,045,000 $2,045,836
Golden Knight CDO, Ltd./Golden Knight CDO Corp, Floating Rate Note, 4/15/19 (144A) 1,786,000 $1,748,214
Golden State RE II, Ltd., Floating Rate Note, 1/8/19 (Cat Bond) (144A) 2,650,000 $2,622,263
Goldman Sachs Asset Management CLO Plc, Floating Rate Note, 8/1/22 (144A) 3,500,000 $3,387,745
Gosforth Funding 2016-1 Plc, Floating Rate Note, 2/15/58 (144A) 2,600,000 $2,606,648
Government National Mortgage Association, 4.0%, 7/20/34 31,635,000 $100,126
Government National Mortgage Association, 4.5%, 7/20/21 7,325,000 $3,989,043
Government National Mortgage Association, Floating Rate Note, 1/16/33 26,309,521 $627,511
Government National Mortgage Association, Floating Rate Note, 1/16/35 11,437,000 $964,662
Government National Mortgage Association, Floating Rate Note, 10/16/39 2,500,000 $264,898
Government National Mortgage Association, Floating Rate Note, 10/20/38 3,000,000 $522,499
Government National Mortgage Association, Floating Rate Note, 2/20/35 8,941,000 $909,314
Government National Mortgage Association, Floating Rate Note, 4/16/30 43,565,000 $990,446
Government National Mortgage Association, Floating Rate Note, 4/16/32 13,425,000 $198,028
Government National Mortgage Association, Floating Rate Note, 5/16/38 8,761,000 $351,955
Government National Mortgage Association, Floating Rate Note, 6/16/31 14,000,000 $193,964
Government National Mortgage Association, Floating Rate Note, 8/16/39 2,960,000 $371,860
Government National Mortgage Association, Floating Rate Note, 8/20/38 4,585,000 $333,608
Government National Mortgage Association II, Floating Rate Note, 1/20/22 1,000,000 $9,892
GP Portfolio Trust 2014-GGP, Floating Rate Note, 2/16/27 (144A) 3,350,000 $3,285,019
Gracechurch Card Funding Plc, Floating Rate Note, 5/15/19 (144A) 1,300,000 $1,307,732
Granite Acquisition, Inc., Term B Loan (First Lien), 10/15/21 2,837,644 $2,657,927
Granite Acquisition, Inc., Term C Loan (First Lien), 10/15/21 126,437 $118,429
Gray Television, Inc., Initial Term Loan, 6/10/21 1,002,368 $1,001,366
Green Tree Agency Advance Funding Trust I Series 2015-T1, 2.3019%, 10/15/46 (144A) 7,000,000 $6,998,201
Green Tree Agency Advance Funding Trust I Series 2015-T1, 3.9305%, 10/15/46 (144A) 2,200,000 $2,200,851
Grifols Worldwide Operations USA, Inc., U.S. Tranche B Term Loan, 4/1/21 514,500 $515,026
GSAA Home Equity Trust 2004-11, Floating Rate Note, 12/25/34 14,390,000 $601,242
GSAA Home Equity Trust 2004-6, Floating Rate Note, 6/25/34 52,357,062 $1,044,501
GSAA Home Equity Trust 2004-8, Floating Rate Note, 9/25/34 18,359,000 $512,110
GSAA Trust, Floating Rate Note, 6/25/35 6,300,000 $78,352
GSAMP Trust 2004-SEA2, Floating Rate Note, 3/25/34 4,798,600 $1,587,194
GSAMP Trust 2005-HE1, Floating Rate Note, 12/25/34 19,229,178 $1,431,235
GSAMP Trust 2005-HE6, Floating Rate Note, 11/25/35 220,000 $70,451
GSAMP Trust 2006-HE1, Floating Rate Note, 12/26/45 37,000,000 $2,232,761
GSAMP Trust 2006-HE2, Floating Rate Note, 3/25/46 31,516,992 $3,696,652
GSAMP Trust 2006-SEA1, Floating Rate Note, 5/25/36 (144A) 32,142,877 $1,045,771
GS Mortgage Securities Corp Trust 2016-ICE2, Floating Rate Note, 2/15/33 (144A) 3,500,000 $3,504,812
GS Mortgage Securities Trust 2007-GG10 REMICS, Floating Rate Note, 8/10/45 8,500,000 $7,736,535
GS Mortgage Securities Trust 2014-GSFL, Floating Rate Note, 7/15/31 (144A) 2,000,000 $1,995,179
GSRPM Mortgage Loan Trust 2003-2, Floating Rate Note, 6/25/33 1,826,298 $906,185
GSRPM Mortgage Loan Trust 2006-1, Floating Rate Note, 3/25/35 (144A) 7,593,737 $809,939
GSRPM Mortgage Loan Trust 2006-2, Floating Rate Note, 9/25/36 (144A) 5,483,897 $510,129
Hanesbrands, Inc., New Term B Loan, 4/15/22 495,000 $498,032
HarborView Mortgage Loan Trust 2004-1, Floating Rate Note, 4/19/34 16,013,000 $596,889
HarborView Mortgage Loan Trust 2004-4, Floating Rate Note, 6/19/34 25,700,000 $232,112
Harch CLO III, Ltd., Floating Rate Note, 4/17/20 (144A) 1,500,000 $1,477,036
HCA, Inc., Tranche B-6 Term Loan, 3/8/23 1,966,718 $1,977,605
Hertz Fleet Lease Funding LP, Floating Rate Note, 12/10/27 (144A) 1,000,000 $385,906
Hertz Fleet Lease Funding LP, Floating Rate Note, 12/10/27 (144A) 500,000 $500,652
Hertz Fleet Lease Funding LP, Floating Rate Note, 4/10/28 (144A) 1,100,000 $621,427
Hertz Fleet Lease Funding LP, Floating Rate Note, 7/10/29 (144A) 2,600,000 $2,580,437
Hertz Fleet Lease Funding LP, Floating Rate Note, 7/10/29 (144A) 3,200,000 $3,214,213
Hilton USA Trust 2013-HLF, Floating Rate Note, 11/5/30 (144A) 1,320,000 $1,192,840
Hilton USA Trust 2013-HLF, Floating Rate Note, 11/5/30 (144A) 5,700,000 $5,149,348
Hilton Worldwide Finance LLC, Initial Term Loan, 9/23/20 1,322,321 $1,324,305
HomeBanc Mortgage Trust 2004-2, Floating Rate Note, 12/25/34 22,423,000 $2,204,076
Home Equity Asset Trust 2004-6, Floating Rate Note, 12/25/34 49,300,000 $465,515
Home Equity Asset Trust 2005-2, Floating Rate Note, 7/25/35 860,000 $283,407
Home Equity Asset Trust 2005-6, Floating Rate Note, 12/25/35 4,004,000 $1,659,765
Home Equity Asset Trust 2005-7, Floating Rate Note, 1/25/36 7,770,000 $2,471,327
Home Equity Asset Trust 2006-4, Floating Rate Note, 8/25/36 1,325,000 $170,770
Home Equity Asset Trust 2006-8, Floating Rate Note, 3/25/37 6,984,978 $842,555
Home Equity Mortgage Loan Asset-Backed Trust Series INABS 2005-C, Floating Rate Note, 10/25/35 9,250,000 $6,324,777
Home Partners of America 2016-1 Trust, Floating Rate Note, 3/18/33 (144A) 1,499,000 $1,446,025
Homestar Mortgage Acceptance Corp., Floating Rate Note, 1/25/35 11,300,000 $81,810
Homestar Mortgage Acceptance Corp., Floating Rate Note, 3/25/34 108,757,000 $4,771,351
Homestar Mortgage Acceptance Corp., Floating Rate Note, 6/25/34 11,977,997 $665,495
Homestar Mortgage Acceptance Corp., Floating Rate Note, 7/25/34 11,189,500 $1,344,727
Homestar Mortgage Acceptance Corp., Floating Rate Note, 7/25/34 22,310,000 $1,298,441
Homestar Mortgage Acceptance Corp. REMICS, Floating Rate Note, 9/25/34 6,832,000 $1,379,051
Honda Auto Receivables 2013-2 Owner Trust, 0.53%, 2/16/17 959,000 $60,527
Horizon Funding Trust 2013-1, 3.0%, 5/15/18 (144A) 2,777,000 $267,664
HSBC Home Equity Loan Trust USA 2006-3, Floating Rate Note, 3/20/36 8,638,000 $3,313,628
HSBC Home Equity Loan Trust USA 2007-1, Floating Rate Note, 3/20/36 14,000,000 $1,513,079
HSBC Home Equity Loan Trust USA 2007-2, Floating Rate Note, 7/20/36 3,073,874 $409,483
HSBC Home Equity Loan Trust USA 2007-2, Floating Rate Note, 7/20/36 600,000 $407,704
HSI Asset Securitization Corp Trust 2006-OPT1, Floating Rate Note, 12/25/35 3,419,377 $582,359
Hudsons Bay Simon JV Trust 2015-HBS, Floating Rate Note, 8/7/34 (144A) 3,500,000 $3,497,169
Hyatt Hotel Portfolio Trust 2015-HYT, Floating Rate Note, 11/15/29 (144A) 2,480,000 $2,418,658
Hyundai Auto Lease Securitization Trust 2016-A, Floating Rate Note, 7/16/18 (144A) 1,800,000 $1,802,240
Hyundai Capital Services, Inc., Floating Rate Note, 3/18/17 (144A) 1,950,000 $1,951,013
IASIS Healthcare LLC, Term B-2 Loan, 5/3/18 482,544 $480,735
Ibis Re II, Ltd., Floating Rate Note, 6/28/16 (Cat Bond) (144A) 3,500,000 $3,527,533
Ibis Re II, Ltd., Floating Rate Note, 6/28/16 (Cat Bond) (144A) 1,000,000 $1,009,900
Impac CMB Trust Series 2003-8, Floating Rate Note, 10/25/33 14,250,000 $631,252
Impac CMB Trust Series 2004-4, Floating Rate Note, 9/25/34 49,152,075 $1,679,781
Impac CMB Trust Series 2004-4, Floating Rate Note, 9/25/34 42,840,193 $1,469,819
Impac CMB Trust Series 2004-5, Floating Rate Note, 8/25/34 9,850,000 $454,585
Impac CMB Trust Series 2004-6, Floating Rate Note, 10/25/34 9,979,000 $403,499
Impac CMB Trust Series 2004-8, Floating Rate Note, 8/25/34 14,550,000 $1,500,090
Impac CMB Trust Series 2004-8, Floating Rate Note, 8/25/34 2,122,000 $220,772
Impac Secured Assets CMN Owner Trust, Floating Rate Note, 11/25/34 4,000,000 $365,080
Impac Secured Assets CMN Owner Trust, Floating Rate Note, 2/25/35 17,437,000 $2,943,590
Impac Secured Assets Trust 2006-5, Floating Rate Note, 12/25/36 3,800,000 $633,131
ING Bank NV, Floating Rate Note, 3/22/19 (144A) 2,675,000 $2,676,271
ING Bank NV, Floating Rate Note, 8/17/18 (144A) 2,690,000 $2,686,153
Integro, Ltd., Delayed Draw Term Loan (First Lien), 10/9/22 47,222 $45,569
Integro, Ltd., Initial Term Loan (First Lien), 10/9/22 701,021 $676,485
Intel Corp., 1.95%, 10/1/16 2,800,000 $2,846,735
Intelsat Jackson Holdings SA, Tranche B-2 Term Loan, 6/30/19 521,732 $487,983
inVentiv Health, Inc., Term B-3 Loan, 5/15/18 66,145 $65,980
Invitation Homes 2013-SFR1 Trust, Floating Rate Note, 12/19/30 (144A) 1,800,000 $1,740,552
Invitation Homes 2014-SFR1 Trust REMICS, Floating Rate Note, 6/19/31 (144A) 3,340,000 $3,236,130
Invitation Homes 2014-SFR2 Trust, Floating Rate Note, 9/18/31 (144A) 2,100,000 $2,049,307
Invitation Homes 2014-SFR3 Trust, Floating Rate Note, 12/18/31 (144A) 2,000,000 $1,959,979
Invitation Homes 2015-SFR2 Trust, Floating Rate Note, 6/17/32 (144A) 2,550,000 $2,432,325
Invitation Homes 2015-SFR3 Trust, Floating Rate Note, 8/19/32 (144A) 3,500,000 $3,401,782
Inwood Park CDO, Ltd., Floating Rate Note, 1/20/21 (144A) 3,500,000 $599,487
Irwin Home Equity Loan Trust 2005-1, Floating Rate Note, 6/25/25 18,060,000 $3,221,301
Irwin Whole Loan Home Equity Trust 2003-C, Floating Rate Note, 6/25/28 7,545,000 $1,026,513
Irwin Whole Loan Home Equity Trust 2005-B, Floating Rate Note, 12/25/29 6,125,000 $1,921,157
IXIS Real Estate Capital Trust 2005-HE1, Floating Rate Note, 6/25/35 1,500,000 $387,323
IXIS Real Estate Capital Trust 2005-HE4, Floating Rate Note, 2/25/36 4,059,999 $338,623
Jackson National Life Global Funding, Floating Rate Note, 10/13/17 (144A) 2,600,000 $2,608,077
Jackson National Life Global Funding, Floating Rate Note, 7/29/16 (144A) 5,100,000 $5,110,874
JBS USA LLC, 2015 Incremental Term Loan, 9/18/22 750,000 $747,500
JBS USA LLC, Initial Term Loan, 5/25/18 874,626 $871,893
JMC Steel Group, Inc., Term Loan, 4/1/17 317,934 $317,533
John Deere Capital Corp., Floating Rate Note, 10/11/16 1,500,000 $1,504,661
JPMorgan Chase & Co., 3.15%, 7/5/16 1,435,000 $1,454,827
JPMorgan Chase & Co., Floating Rate Note, 1/25/18 2,800,000 $2,816,571
JPMorgan Chase & Co., Floating Rate Note, 2/15/17 2,000,000 $2,004,344
JPMorgan Chase & Co., Floating Rate Note, 3/1/18 3,800,000 $3,768,654
JPMorgan Chase Bank NA, Floating Rate Note, 6/13/16 1,350,000 $1,350,762
JP Morgan Chase Commercial Mortgage Securities Trust 2002-CIBC4, Floating Rate Note, 5/12/34 257,000 $99,888
JP Morgan Chase Commercial Mortgage Securities Trust 2004-LN2, Floating Rate Note, 7/15/41 (144A) 2,030,626 $221,884
JP Morgan Chase Commercial Mortgage Securities Trust 2006-LDP6, Floating Rate Note, 4/15/43 6,612,000 $5,063,317
JP Morgan Chase Commercial Mortgage Securities Trust 2006-LDP9, Floating Rate Note, 5/15/47 200,000 $67,038
JP Morgan Chase Commercial Mortgage Securities Trust 2007-CIBC18, 5.44%, 6/12/47 6,250,000 $5,696,624
JP Morgan Chase Commercial Mortgage Securities Trust 2014-BXH, Floating Rate Note, 4/15/27 (144A) 5,600,000 $5,507,542
JP Morgan Chase Commercial Mortgage Securities Trust 2014-CBM, Floating Rate Note, 10/15/29 (144A) 3,470,000 $3,368,397
JP Morgan Chase Commercial Mortgage Securities Trust 2014-CBM, Floating Rate Note, 10/15/29 (144A) 4,280,000 $4,166,363
JP Morgan Chase Commercial Mortgage Securities Trust 2014-FL4, Floating Rate Note, 12/16/30 (144A) 1,700,000 $1,406,122
JP Morgan Chase Commercial Mortgage Securities Trust 2014-FL5 REMICS, Floating Rate Note, 7/15/31 (1 2,500,000 $2,446,701
JP Morgan Chase Commercial Mortgage Securities Trust 2014-FL6, Floating Rate Note, 11/17/31 (144A) 4,240,000 $3,932,502
JP Morgan Chase Commercial Mortgage Securities Trust 2014-INN, Floating Rate Note, 6/15/29 (144A) 3,750,000 $3,662,941
JP Morgan Chase Commercial Mortgage Securities Trust 2014-INN, Floating Rate Note, 6/15/29 (144A) 3,500,000 $3,349,725
JP Morgan Chase Commercial Mortgage Securities Trust 2014-PHH, Floating Rate Note, 8/16/27 (144A) 3,770,000 $3,686,290
JP Morgan Chase Commercial Mortgage Securities Trust 2015-COSMO, Floating Rate Note, 1/15/32 (144A) 4,650,000 $4,531,877
JP Morgan Chase Commercial Mortgage Securities Trust 2015-FL7, Floating Rate Note, 5/15/28 (144A) 3,600,000 $3,529,328
JP Morgan Chase Commercial Mortgage Securities Trust 2015-SGP, Floating Rate Note, 7/15/36 (144A) 4,500,000 $4,465,716
JP Morgan Mortgage Acquisition Corp 2005-FLD1, Floating Rate Note, 7/25/35 2,620,000 $2,440,164
JP Morgan Mortgage Acquisition Corp 2005-FRE1, Floating Rate Note, 10/25/35 19,316,000 $690,784
JP Morgan Mortgage Acquisition Trust 2006-ACC1, Floating Rate Note, 5/25/36 10,654,334 $1,424,172
JP Morgan Mortgage Acquisition Trust 2006-CH1, Floating Rate Note, 1/25/35 3,900,000 $772,585
JP Morgan Seasoned Mortgage Trust 2014-1, Floating Rate Note, 5/25/33 (144A) 6,400,000 $5,325,932
Kabbage Funding 2014-1 Resecuritization Trust, Floating Rate Note, 3/8/18 (144A) 5,702,000 $5,622,798
Kane Sac Zero% 15jun16 500,000 $499,900
Kane Zero% 29apr16 2,600,000 $70,200
Kasima LLC, Term Loan, 5/17/21 830,189 $825,260
Keurig Green Mountain, Inc., Term B USD Loan, 2/10/23 568,000 $570,722
KeyBank NA Cleveland Ohio, Floating Rate Note, 11/25/16 4,500,000 $4,506,768
KeyBank NA Cleveland Ohio, Floating Rate Note, 6/1/18 2,500,000 $2,489,092
KeyCorp Student Loan Trust 2004-A, Floating Rate Note, 10/28/41 500,000 $45,251
Key Safety Systems, Inc., Initial Term Loan, 7/28/21 744,332 $741,076
Kilimanjaro Re, Ltd., Floating Rate Note, 11/25/19 (Cat Bond) (144A) 2,350,000 $2,346,661
Kilimanjaro Re, Ltd., Floating Rate Note, 12/6/19 (Cat Bond) (144A) 2,000,000 $2,062,822
Kilimanjaro Re, Ltd., Floating Rate Note, 12/6/19 (Cat Bond) (144A) 2,500,000 $2,558,500
Kilimanjaro Re, Ltd., Floating Rate Note, 4/30/18 (Cat Bond) (144A) 3,300,000 $3,331,043
Kilimanjaro Re, Ltd., Floating Rate Note, 4/30/18 (Cat Bond) (144A) 1,000,000 $1,004,775
Kindred Healthcare, Inc., New Term Loan, 4/10/21 1,091,667 $1,063,010
Kinetic Concepts, Inc., Dollar Term E-1 Loan, 5/4/18 1,472,526 $1,466,314
Kizuna Re II, Ltd., Floating Rate Note, 4/6/18 (Cat Bond) (144A) 1,800,000 $1,803,038
KKR Financial CLO 2007-1, Ltd., Floating Rate Note, 5/15/21 (144A) 1,250,000 $1,230,861
Kloeckner Pentaplast of America, Inc., Initial U.S. Borrower Dollar Term Loan, 4/22/20 157,274 $157,470
KP Germany Erste GmbH, Initial German Borrower Dollar Term Loan, 4/22/20 67,211 $67,295
Lanark Master Issuer Plc, Floating Rate Note, 12/22/54 (144A) 1,250,000 $993,790
Landry's, Inc., B Term Loan, 4/24/18 352,433 $351,640
Language Line LLC, Initial Term Loan (First Lien), 7/2/21 779,616 $765,973
LB-UBS Commercial Mortgage Trust 2004-C1, 4.568%, 1/15/31 1,000,000 $59,387
LB-UBS Commercial Mortgage Trust 2006-C4, Floating Rate Note, 6/15/38 6,970,000 $6,977,430
LCM X LP, Floating Rate Note, 4/15/22 (144A) 4,000,000 $3,482,735
Leaf Receivables Funding 8 LLC, 5.5%, 9/15/20 (144A) 2,750,000 $2,760,271
LEAF Receivables Funding 9 LLC, 1.98%, 9/15/21 (144A) 800,000 $775,800
Lehman ABS Manufactured Housing Contract Trust 2002-A, Floating Rate Note, 6/15/33 3,950,000 $108,997
Lehman Brothers Small Balance Commercial, Floating Rate Note, 4/25/31 (144A) 17,333,137 $1,287,696
Lehman Brothers Small Balance Commercial, Floating Rate Note, 4/25/31 (144A) 6,464,393 $573,778
Lehman Brothers Small Balance Commercial Mortgage Trust 2007-3, Floating Rate Note, 10/25/37 (144A) 4,405,200 $582,983
Lehman Brothers Small Balance Commercial Mortgage Trust 2007-3, Floating Rate Note, 10/25/37 (144A) 2,211,066 $879,642
Lehman XS Trust Series 2005-2, Floating Rate Note, 8/25/35 42,014,000 $1,764,380
Level 3 Financing, Inc., Tranche B-II 2022 Term Loan, 5/31/22 1,000,000 $999,479
Live Nation Entertainment, Inc., Term B-1 Loan, 8/17/20 758,550 $760,130
Livingston International, Inc., Initial Term B-1 Loan (First Lien), 4/18/19 486,250 $446,134
Lloyds Bank Plc, Floating Rate Note, 5/14/18 3,500,000 $3,481,106
Lloyds Bank Plc, Floating Rate Note, 8/17/18 2,600,000 $2,596,368
Longpoint Re, Ltd. III, Floating Rate Note, 5/18/16 (Cat Bond) (144A) 7,975,000 $8,012,748
Longpoint Re, Ltd. III, Floating Rate Note, 5/23/18 (Cat Bond) (144A) 4,000,000 $4,055,183
Louisiana Public Facilities Authority, Floating Rate Note, 4/26/27 1,250,000 $720,663
LSTAR Securities Investment, Ltd. 2015-8, Floating Rate Note, 8/3/20 (144A) 2,917,000 $2,643,843
LSTAR Securities Investment 2016-1, Floating Rate Note, 1/1/21 (144A) 6,000,000 $5,759,052
LSTAR Securities Investment Trust 2014-2, Floating Rate Note, 11/1/19 (144A) 8,266,000 $6,661,677
LSTAR Securities Investment Trust 2015-1, Floating Rate Note, 1/2/20 (144A) 4,800,000 $4,257,015
LSTAR Securities Investment Trust 2015-3, Floating Rate Note, 3/2/20 (144A) 5,360,000 $4,743,285
LSTAR Securities Investment Trust 2015-4, Floating Rate Note, 4/1/20 (144A) 4,000,000 $3,470,629
LSTAR Securities Investment Trust 2015-5, Floating Rate Note, 4/1/20 (144A) 5,000,000 $3,136,072
LSTAR Securities Investment Trust 2015-7, Floating Rate Note, 7/1/17 (144A) 4,250,000 $3,814,776
LSTAR Securities Investment Trust 2015-9, Floating Rate Note, 10/1/20 (144A) 6,097,000 $5,710,187
Macquarie Bank, Ltd., Floating Rate Note, 10/27/17 (144A) 2,500,000 $2,495,538
Macquarie Group, Ltd., Floating Rate Note, 1/31/17 (144A) 1,210,000 $1,213,096
MA FinanceCo LLC, Initial Tranche B Term Loan, 10/7/21 204,132 $204,234
Mallinckrodt International Finance SA, Initial Term B Loan, 3/6/21 955,500 $925,470
Manufacturers & Traders Trust Co., Floating Rate Note, 1/30/17 2,710,000 $2,710,994
Manufacturers & Traders Trust Co., Floating Rate Note, 7/25/17 2,400,000 $2,397,064
MassMutual Global Funding II, 3.125%, 4/14/16 (144A) 7,060,000 $7,166,617
Master Credit Card Trust II, 1.64%, 1/22/18 (144A) 1,700,000 $1,701,919
Master Credit Card Trust II, Floating Rate Note, 1/22/18 (144A) 1,925,000 $1,923,078
MASTR Adjustable Rate Mortgages Trust 2004-11, Floating Rate Note, 11/25/34 5,400,000 $799,980
MASTR Alternative Loan Trust 2005-1, Floating Rate Note, 2/25/35 21,274,000 $970,765
Mastr Asset Backed Securities Trust 2006-AB1 REMICS, Floating Rate Note, 2/25/36 12,307,204 $1,313,411
Mastr Asset Backed Securities Trust 2006-NC1, Floating Rate Note, 1/25/36 23,055,603 $322,187
MASTR Asset Securitization Trust 2003-6, Floating Rate Note, 7/25/18 7,302,000 $105,380
Mastr Specialized Loan Trust, Floating Rate Note, 1/25/36 (144A) 51,217,354 $3,050,181
McKesson Corp., 1.292%, 3/10/17 5,375,000 $5,388,823
Mediacom Illinois LLC, Tranche F Term Loan, 3/31/18 1,372,000 $1,350,992
Medtronic, Inc., Floating Rate Note, 3/15/20 2,680,000 $2,674,924
Mercedes-Benz Master Owner Trust 2015-A, Floating Rate Note, 4/15/19 (144A) 2,500,000 $2,497,461
Merck & Co, Inc., 0.7%, 5/18/16 3,650,000 $3,660,147
Merck & Co, Inc., Floating Rate Note, 2/10/17 2,500,000 $2,504,460
Merck & Co, Inc., Floating Rate Note, 5/18/16 500,000 $500,644
Merna Re V, Ltd., Floating Rate Note, 4/7/17 (Cat Bond) (144A) 2,000,000 $2,001,422
Merrill Lynch Mortgage Investors Trust Series 2005-A9, Floating Rate Note, 12/25/35 4,327,000 $492,645
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-A, Floating Rate Note, 3/25/28 48,813,000 $1,147,417
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-B, Floating Rate Note, 4/25/28 33,661,000 $1,205,429
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-C, Floating Rate Note, 6/25/28 44,308,430 $1,222,055
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-C REMICS, Floating Rate Note, 6/25/28 42,262,000 $1,552,614
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-E, Floating Rate Note, 10/25/28 38,289,000 $1,395,525
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-G, Floating Rate Note, 1/25/29 16,556,000 $186,085
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-G, Floating Rate Note, 1/25/29 14,411,000 $643,222
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-H, Floating Rate Note, 1/25/29 30,303,400 $1,367,298
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-A REMICS, Floating Rate Note, 4/25/29 36,167,206 $1,454,257
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-B, Floating Rate Note, 5/25/29 12,160,000 $338,342
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-C, Floating Rate Note, 7/25/29 3,866,000 $98,371
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-C, Floating Rate Note, 7/25/29 47,538,000 $1,839,958
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-D, Floating Rate Note, 9/25/29 11,000,000 $658,714
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-E, Floating Rate Note, 11/25/29 58,549,000 $2,120,080
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-G, Floating Rate Note, 1/25/30 22,131,000 $969,158
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-G, Floating Rate Note, 1/25/30 65,610,401 $1,916,390
Merrill Lynch Mortgage Investors Trust Series MLCC 2005-A, Floating Rate Note, 3/25/30 40,482,746 $1,823,166
Merrill Lynch Mortgage Trust 2006-C2, Floating Rate Note, 8/12/43 6,475,000 $6,538,316
MetroCat Re, Ltd., Floating Rate Note, 8/5/16 (Cat Bond) (144A) 1,500,000 $1,519,688
Metropolitan Life Global Funding I, Floating Rate Note, 7/14/16 (144A) 1,745,000 $1,748,868
Metropolitan Life Global Funding I, Floating Rate Note, 7/15/16 (144A) 2,500,000 $2,509,380
MGM Resorts International, Term B Loan, 12/20/19 1,209,375 $1,208,368
Michaels Stores, Inc., Term B Loan, 1/28/20 972,500 $971,791
Microsemi Corp., Closing Date Term B Loan, 12/17/22 138,971 $139,787
Milacron LLC, Term Loan, 9/28/20 452,994 $450,729
Mirror BidCo Corp., New Incremental Term Loan, 12/18/19 993,746 $986,708
Mizuho Bank, Ltd., Floating Rate Note, 10/20/18 (144A) 2,800,000 $2,818,291
Mizuho Bank, Ltd., Floating Rate Note, 3/26/18 (144A) 1,670,000 $1,661,983
Mizuho Bank, Ltd., Floating Rate Note, 4/16/17 (144A) 2,000,000 $1,996,505
ML-CFC Commercial Mortgage Trust 2006-2, Floating Rate Note, 6/12/46 3,700,000 $3,736,262
Monitronics International, Inc., Term B Loan (2013), 3/23/18 90,966 $86,228
Monsanto Co., 2.75%, 4/15/16 2,145,000 $2,173,345
Morgan Stanley, Floating Rate Note, 1/5/18 2,700,000 $2,699,536
Morgan Stanley, Floating Rate Note, 2/1/19 5,400,000 $5,470,753
Morgan Stanley ABS Capital I Inc Trust 2004-SD3, Floating Rate Note, 6/25/34 (144A) 41,830,000 $467,814
Morgan Stanley ABS Capital I Inc Trust 2005-HE3, Floating Rate Note, 7/25/35 2,500,000 $2,423,232
Morgan Stanley ABS Capital I Inc Trust 2005-HE3, Floating Rate Note, 7/25/35 95,000 $5,491
Morgan Stanley ABS Capital I Inc Trust 2005-NC2, Floating Rate Note, 3/25/35 2,854,027 $975,017
Morgan Stanley ABS Capital I Inc Trust 2005-WMC1, Floating Rate Note, 1/25/35 4,500,000 $2,091,594
Morgan Stanley ABS Capital I Inc Trust 2005-WMC3, Floating Rate Note, 3/25/35 131,174 $41,424
Morgan Stanley Capital I Trust 2006-HQ10, 5.328%, 11/12/41 4,240,000 $3,552,568
Morgan Stanley Capital I Trust 2006-HQ9, Floating Rate Note, 7/12/44 3,200,000 $3,228,505
Morgan Stanley Capital I Trust 2006-TOP23, Floating Rate Note, 8/12/41 2,450,000 $817,376
Morgan Stanley Capital I Trust 2007-TOP25, Floating Rate Note, 11/12/49 1,650,000 $1,331,166
Morgan Stanley Capital I Trust 2007-TOP27 REMICS, Floating Rate Note, 6/11/42 4,145,000 $4,221,090
Morgan Stanley Capital I Trust 2015-XLF1, Floating Rate Note, 8/14/31 (144A) 2,870,000 $2,837,076
Morgan Stanley Capital I Trust 2015-XLF1, Floating Rate Note, 8/14/31 (144A) 3,860,000 $3,838,695
Morgan Stanley Capital I Trust 2015-XLF1, Floating Rate Note, 8/17/26 (144A) 3,000,000 $3,004,514
Morgan Stanley Mortgage Loan Trust 2005-5AR, Floating Rate Note, 9/25/35 65,687,000 $3,045,453
Morgan Stanley Mortgage Loan Trust 2005-6AR, Floating Rate Note, 11/25/35 23,257,000 $2,237,808
Morgan Stanley Mortgage Loan Trust 2005-6AR, Floating Rate Note, 11/25/35 6,309,000 $306,887
Morgan Stanley Structured Trust, Floating Rate Note, 6/25/37 2,400,000 $106,686
MortgageIT Trust 2004-1, Floating Rate Note, 11/25/34 31,071,000 $3,177,408
MortgageIT Trust 2004-2, Floating Rate Note, 12/25/34 41,395,000 $4,429,518
MortgageIT Trust 2005-2, Floating Rate Note, 5/25/35 8,495,000 $1,209,770
MOTOR 2015-1 Plc, Floating Rate Note, 6/27/22 (144A) 2,600,000 $2,600,843
MPG Holdco I, Inc., Tranche B-1 Term Loan (2015), 10/20/21 1,235,519 $1,221,620
MRFC Mortgage Pass-Through Trust Series 2000-TBC3, Floating Rate Note, 12/15/30 29,850,000 $1,154,695
MUFG Americas Holdings Corp., Floating Rate Note, 2/9/18 2,425,000 $2,413,356
MUFG Union Bank NA, Floating Rate Note, 9/26/16 6,200,000 $6,212,379
Multi Packaging Solutions, Inc., Initial Dollar Tranche B Term, 9/30/20 138,916 $138,569
Mythen Re, Ltd. Series 2012-2 Class A, Floating Rate Note, 1/5/17 (Cat Bond) (144A) 2,250,000 $2,342,442
National Australia Bank, Ltd., Floating Rate Note, 3/17/17 (144A) 1,950,000 $1,950,543
National City Bank Cleveland Ohio, Floating Rate Note, 12/15/16 2,850,000 $2,844,162
National Mentor Holdings, Inc., Tranche B Term Loan, 1/31/21 494,949 $490,774
National Rural Utilities Cooperative Finance Corp., Floating Rate Note, 11/23/16 1,800,000 $1,802,043
Nations Equipment Finance Funding III LLC, 3.61%, 2/22/21 (144A) 2,500,000 $2,128,414
Nations Equipment Finance Funding II LLC, 1.558%, 7/20/18 (144A) 2,100,000 $592,174
Nationstar Home Equity Loan Trust 2007-A, Floating Rate Note, 3/25/37 1,000,000 $297,179
Navios Maritime Partners LP, Term Loan, 6/27/18 1,395,472 $1,234,993
Navitas Equipment Receivables LLC 2013-1, 1.95%, 11/15/16 1,750,000 $104,423
NBCUniversal Enterprise, Inc., Floating Rate Note, 4/15/16 (144A) 5,669,000 $5,684,040
NBCUniversal Enterprise, Inc., Floating Rate Note, 4/15/18 (144A) 1,300,000 $1,301,737
NBTY, Inc., Term B-2 Loan, 10/1/17 384,485 $383,332
NCF Dealer Floorplan Master Trust, Floating Rate Note, 10/20/20 (144A) 3,000,000 $3,001,930
NCUA Guaranteed Notes Trust, Floating Rate Note, 10/7/20 2,040,000 $777,795
NCUA Guaranteed Notes Trust, Floating Rate Note, 11/6/17 7,690,000 $2,171,100
NCUA Guaranteed Notes Trust, Floating Rate Note, 12/8/20 410,000 $245,388
NCUA Guaranteed Notes Trust, Floating Rate Note, 3/11/20 2,035,000 $808,455
NCUA Guaranteed Notes Trust, Floating Rate Note, 4/6/20 5,835,000 $390,677
NCUA Guaranteed Notes Trust REMICS, Floating Rate Note, 12/8/20 1,330,000 $765,761
NCUA Guaranteed Notes Trust REMICS, Floating Rate Note, 3/9/21 2,700,000 $901,094
Nelnet Student Loan Trust 2005-1, Floating Rate Note, 10/26/20 1,795,000 $83,675
Neptune Finco Corp., Initial Term Loan, 9/25/22 1,000,000 $1,003,500
New Century Home Equity Loan Trust 2005-1, Floating Rate Note, 3/25/35 5,042,000 $798,326
New Century Home Equity Loan Trust 2005-3 REMICS, Floating Rate Note, 7/25/35 712,000 $688,139
NewStar Commercial Lease Funding 2015-1 LLC, 3.27%, 4/15/19 (144A) 5,500,000 $3,449,223
NewStar Commercial Loan Trust 2007-1, Floating Rate Note, 9/30/22 (144A) 82,000,000 $4,134,385
Newstar Trust, Floating Rate Note, 1/20/23 (144A) 2,750,000 $2,748,230
New York Life Global Funding, 1.125%, 3/1/17 (144A) 1,500,000 $1,505,351
New York Life Global Funding, Floating Rate Note, 12/15/17 (144A) 6,650,000 $6,668,887
New York Life Global Funding, Floating Rate Note, 5/23/16 (144A) 3,650,000 $3,658,697
New York Life Global Funding, Floating Rate Note, 8/5/16 (144A) 2,675,000 $2,676,498
NextGear Floorplan Master Owner Trust, Floating Rate Note, 7/15/19 (144A) 2,600,000 $2,576,114
Nissan Auto Receivables 2015-C Owner Trust, Floating Rate Note, 11/15/18 1,500,000 $1,501,732
Nissan Auto Receivables 2016-A Owner Trust, Floating Rate Note, 2/15/19 2,750,000 $2,751,879
Nissan Motor Acceptance Corp., Floating Rate Note, 3/3/17 (144A) 2,350,000 $2,353,123
Nissan Motor Acceptance Corp., Floating Rate Note, 9/26/16 (144A) 4,000,000 $4,009,837
NN, Inc., Initial Term Loan, 10/2/22 746,250 $735,056
Nomura Asset Acceptance Corp Alternative Loan Trust Series 2004-AR4, Floating Rate Note, 12/25/34 1,170,000 $5,633
Nomura Resecuritization Trust 2014-1R, Floating Rate Note, 10/26/36 (144A) 3,000,000 $1,467,088
Nordea Bank AB, 0.875%, 5/13/16 (144A) 4,050,000 $4,065,107
Nordea Bank AB, Floating Rate Note, 4/4/17 (144A) 2,175,000 $2,179,234
Nordea Bank AB, Floating Rate Note, 5/13/16 (144A) 2,700,000 $2,705,014
Nordea Bank AB, Floating Rate Note, 9/17/18 (144A) 2,600,000 $2,595,901
Nordea Bank Finland Plc New York, Floating Rate Note, 6/13/16 2,225,000 $2,227,204
Northshore Re, Ltd., Floating Rate Note, 7/5/16 (Cat Bond) (144A) 2,250,000 $2,303,384
NorthStar 2013-1, Floating Rate Note, 8/27/29 (144A) 2,784,000 $557,136
NovaStar Mortgage Funding Trust Series 2003-1, Floating Rate Note, 5/25/33 19,881,000 $304,096
NovaStar Mortgage Funding Trust Series 2004-4, Floating Rate Note, 3/25/35 2,443,000 $2,406,200
Novelis, Inc., Initial Term Loan, 5/28/22 1,405,124 $1,374,095
NPC International, Inc., Term Loan, 12/28/18 154,000 $153,230
NRG Energy, Inc., 8.25%, 9/1/20 1,250,000 $1,267,969
NRG Energy, Inc., Term Loan (2013), 7/1/18 1,651,739 $1,638,447
NRZ Advance Receivables Trust Advance Receivables Backed 2015-T1, 2.3147%, 8/15/46 (144A) 5,200,000 $5,198,919
Nsany Cp Zero% 05apr16 Usd 2,800,000 $2,799,827
NSG Holdings LLC, New Term Loan, 12/11/19 1,448,686 $1,412,469
NSTAR Electric Co., Floating Rate Note, 5/17/16 1,013,000 $1,014,072
Numericable US LLC, Dollar Denominated Tranche B-1 Loan, 4/23/20 264,726 $263,310
Numericable US LLC, Dollar Denominated Tranche B-2 Loan, 4/23/20 229,024 $227,799
NXP BV, Tranche B Loan, 10/30/20 324,188 $325,428
OAK Hill Advisors Residential Loan Trust 2014-NPL2, 3.3517%, 4/25/54 (Step) (144A) 3,490,000 $1,834,678
Ocwen Loan Servicing LLC, Initial Term Loan, 2/15/18 410,710 $404,036
Ocwen Master Advance Receivables Trust, 2.532%, 11/15/46 (144A) 4,573,000 $4,572,430
Ocwen Master Advance Receivables Trust, 2.5365%, 9/17/46 (144A) 1,700,000 $1,700,975
On Assignment, Inc., Initial Term B Loan, 6/5/22 1,158,041 $1,161,901
OneMain Financial Issuance Trust 2014-2, 2.47%, 9/18/24 (144A) 3,900,000 $3,888,258
ONEOK Partners LP, 6.15%, 10/1/16 1,850,000 $1,955,550
On Semiconductor Corporation 1st Lien Tl-B L + 4.5% 31mar23 875,000 $878,063
Opteum Mortgage Acceptance Corp Trust 2005-4, Floating Rate Note, 11/25/35 28,962,000 $3,984,366
Opteum Mortgage Acceptance Corp Trust 2005-4, Floating Rate Note, 11/25/35 25,178,000 $3,555,649
Option One Mortgage Loan Trust 2005-1, Floating Rate Note, 2/25/35 10,220,000 $1,983,685
Option One Mortgage Loan Trust 2005-4 Asset-Backed Certificates Series 2005-4, Floating Rate Note, 1 20,500,508 $936,674
Option One Mortgage Loan Trust 2007-FXD2, 5.9%, 3/25/37 (Step) 810,000 $34,288
Option One Woodbridge Loan Trust 2002-1, Floating Rate Note, 3/25/32 (144A) 6,512,459 $416,995
Oracle Corp., Floating Rate Note, 7/7/17 1,937,000 $1,943,274
Orange Lake Timeshare Trust 2012-A, 4.87%, 3/10/27 (144A) 600,000 $180,446
Orange SA, 2.75%, 9/14/16 2,750,000 $2,773,984
ORES 2014-LV3 LLC, 3.0%, 3/27/24 (144A) 4,250,000 $843,156
ORES NPL 2013-LV2 LLC, 3.081%, 9/25/25 (144A) 23,558,000 $785,797
Oscar US Funding Trust 2014-1, 1.0%, 8/15/17 (144A) 2,500,000 $536,647
Oscar US Funding Trust II, Floating Rate Note, 2/15/18 (144A) 2,500,000 $1,595,332
Oscar US Funding Trust III, 0.6%, 10/17/16 (144A) 2,600,000 $719,513
Oscar US Funding Trust IV, Floating Rate Note, 7/15/20 (144A) 2,000,000 $2,000,355
Outfront Media Capital LLC, Term Loan, 1/15/21 1,527,584 $1,522,493
Owens-Brockway Glass Container, Inc., Term Loan B Facility, 8/14/22 987,500 $989,866
Ownit Mortgage Loan Trust Series 2005-5, Floating Rate Note, 10/25/36 3,827,500 $264,138
PACCAR Financial Corp., Floating Rate Note, 6/6/17 1,290,000 $1,289,581
Pangaea Zero% 01jul18 2,300,000 $41,400
Paragon Offshore Finance Co., Term Loan, 7/11/21 864,063 $191,534
Park Place Securities Inc Asset-Backed Pass-Through Certificates Series 2004-MCW, Floating Rate Note 1,150,000 $82,744
Park Place Securities Inc Asset-Backed Pass-Through Certificates Series 2004-WCW, Floating Rate Note 2,800,000 $521,506
Park Place Securities Inc Asset-Backed Pass-Through Ctfs Ser 2005-WHQ4, Floating Rate Note, 9/25/35 8,206,169 $1,353,296
Park Place Securities Inc Asset-Backed Pass-Through Ctfs Ser 2005-WHQ4, Floating Rate Note, 9/25/35 6,785,000 $175,467
PECO Energy Co., 1.2%, 10/15/16 1,370,000 $1,374,938
Penn Products Terminals LLC, Tranche B Term Loan, 4/1/22 934,002 $859,282
PennUnion Re, Ltd., Floating Rate Note, 12/7/18 (Cat Bond) (144A) 3,500,000 $3,513,738
Pepper Residential Securities Trust, Floating Rate Note, 4/10/16 (144A) 2,000,000 $2,000,887
Pepper Residential Securities Trust No 14, Floating Rate Note, 6/12/16 3,500,000 $3,495,759
Pepper Residential Securities Trust NO 16, Floating Rate Note, 3/13/17 (144A) 3,700,000 $3,700,767
PF Chang's China Bistro, Inc., Term Borrowing, 7/2/19 826,171 $787,960
Pfizer, Inc., Floating Rate Note, 5/15/17 2,100,000 $2,095,622
PFP 2015-2, Ltd., Floating Rate Note, 7/14/34 (144A) 3,750,000 $3,711,716
PFS Financing Corp., Floating Rate Note, 10/15/19 (144A) 1,700,000 $1,678,520
PFS Financing Corp., Floating Rate Note, 10/15/19 (144A) 2,290,000 $2,268,945
PFS Financing Corp., Floating Rate Note, 2/15/19 (144A) 4,145,000 $4,131,665
PFS Financing Corp., Floating Rate Note, 2/18/20 (144A) 1,250,000 $1,249,689
PFS Financing Corp., Floating Rate Note, 2/18/20 (144A) 4,000,000 $3,999,636
PFS Financing Corp., Floating Rate Note, 4/15/20 (144A) 950,000 $938,323
PFS Tax Lien Trust 2014-1, 1.44%, 5/15/29 2,155,000 $947,465
Pharmaceutical Product Development LLC, Initial Term Loan, 8/6/22 905,656 $898,864
Pinnacle Entertainment, Inc., Tranche B-2 Term Loan, 8/13/20 49,250 $49,275
Pinnacle Foods Finance LLC, Tranche G Term Loan, 4/29/20 2,158,833 $2,160,374
PNC Bank NA, 1.125%, 1/27/17 2,700,000 $2,708,311
PNC Bank NA, 5.25%, 1/15/17 1,750,000 $1,824,251
PNC Bank NA, Floating Rate Note, 6/1/18 2,500,000 $2,478,171
PNC Bank NA, Floating Rate Note, 8/1/17 2,500,000 $2,493,265
PNC Funding Corp., 2.7%, 9/19/16 1,045,000 $1,053,160
PolyOne Corp., Initial Loan, 11/6/22 249,375 $249,609
Popular ABS Mortgage Pass-Through Trust 2006-A, Floating Rate Note, 2/25/36 1,000,000 $344,333
Post Holdings, Inc., Series A Incremental Term Loan, 5/23/21 235,423 $236,282
PQ Corp., 2014 Term Loan, 8/7/17 919,125 $912,396
President and Fellows of Harvard College, 6.3%, 10/1/37 675,000 $696,263
Prestige Auto Receivables Trust 2013-1, 1.33%, 5/15/19 (144A) 1,430,000 $675,190
Prestige Auto Receivables Trust 2014-1, 0.97%, 3/15/18 (144A) 2,395,000 $269,152
Prestige Brands, Inc., Term B-3 Loan, 9/3/21 726,743 $728,333
Pretium Mortgage Credit Partners I 2015-NPL2 LLC, 3.75%, 5/27/30 (Step) (144A) 4,300,000 $3,792,190
Pretium Mortgage Credit Partners I 2015-NPL3 LLC, 4.125%, 10/27/30 (Step) (144A) 4,350,000 $4,201,209
Pretium Mortgage Credit Partners LLC, 4.375%, 2/27/31 (Step) (144A) 3,000,000 $2,995,172
Pricoa Global Funding I, Floating Rate Note, 5/16/16 (144A) 1,500,000 $1,501,697
Pricoa Global Funding I, Floating Rate Note, 6/24/16 (144A) 3,255,000 $3,256,007
Principal Life Global Funding II, Floating Rate Note, 12/1/17 (144A) 2,755,000 $2,755,924
Principal Life Global Funding II, Floating Rate Note, 5/27/16 (144A) 2,680,000 $2,684,253
Private Export Funding Corp., 2.125%, 7/15/16 2,600,000 $2,623,832
Progreso Receivables Funding III LLC, 3.625%, 1/30/25 (144A) 3,050,000 $3,054,615
Progreso Receivables Funding II LLC, 3.5%, 7/8/19 (144A) 4,750,000 $4,767,379
Progreso Receivables Funding IV LLC, 3.0%, 7/8/20 (144A) 1,700,000 $1,693,979
Progressive Waste Solutions, Ltd., 10/24/19 0 $0
Progress Residential 2015-SFR1 Trust, Floating Rate Note, 2/20/32 (144A) 3,000,000 $2,916,020
Province of Ontario Canada, 1.6%, 9/21/16 2,775,000 $2,787,222
Prudential Financial, Inc., 3.0%, 5/12/16 2,500,000 $2,533,946
PSEG Power LLC, 2.75%, 9/15/16 2,500,000 $2,523,033
PURCHASING POWER FUNDING 2015-A LLC, 3.5%, 12/15/19 (144A) 3,250,000 $2,440,526
PVH Corp., Tranche B Term Loan, 2/13/20 779,512 $785,706
Quebecor Media, Inc., Facility B-1 Tranche, 8/17/20 491,184 $485,863
Queen City Re, Floating Rate Note, 1/6/17 (Cat Bond) (144A) 1,750,000 $1,725,709
Queen Street VII Re, Ltd., Floating Rate Note, 4/8/16 (Cat Bond) (144A) 1,750,000 $1,788,442
Queen Street XI RE Dac, Floating Rate Note, 6/7/19 (Cat Bond) (144A) 1,750,000 $1,757,664
Queen Street X RE, Ltd., Floating Rate Note, 6/8/18 (Cat Bond) (144A) 1,500,000 $1,499,096
Quest Trust REMICS, Floating Rate Note, 3/25/34 (144A) 95,089,092 $2,331,757
Quikrete Holdings, Inc., Initial Loan (First Lien), 9/26/20 852,173 $848,711
Quincy Newspapers, Inc., Term Loan B, 10/19/22 738,000 $729,698
RAAC Series 2005-RP1 Trust, Floating Rate Note, 7/25/37 (144A) 2,130,580 $500,170
RAAC Series 2005-RP3 Trust, Floating Rate Note, 5/25/39 (144A) 2,000,000 $950,765
RAAC Series 2006-RP2 Trust, Floating Rate Note, 2/25/37 (144A) 26,822,396 $1,661,459
RAIT 2014-FL2 Trust, Floating Rate Note, 5/15/31 (144A) 5,200,000 $5,122,722
RAIT 2014-FL3 Trust, Floating Rate Note, 12/15/31 (144A) 4,608,000 $2,758,947
RALI Series 2002-QS16 Trust, Floating Rate Note, 10/25/17 5,500,000 $39,818
RALI Series 2003-QS11 Trust, Floating Rate Note, 6/25/33 44,273,266 $1,553,795
RALI Series 2003-QS5 Trust, Floating Rate Note, 3/25/18 30,000,000 $418,055
RALI Series 2003-QS9 Trust, Floating Rate Note, 5/25/18 34,469,500 $591,866
RALI Series 2004-QS5 Trust, 4.75%, 4/25/34 16,155,000 $392,249
RALI Series 2004-QS5 Trust, Floating Rate Note, 4/25/34 12,006,021 $292,756
RALI Series 2005-QA1 Trust, Floating Rate Note, 1/25/35 32,767,000 $2,427,561
RAMP Series 2004-RS11 Trust, Floating Rate Note, 11/25/34 3,805,000 $576,535
RAMP Series 2004-RZ1 Trust, Floating Rate Note, 3/25/34 20,100,000 $769,133
RAMP Series 2005-RS6 Trust, Floating Rate Note, 6/25/35 1,393,325 $120,088
RAMP Series 2005-RZ3 Trust, Floating Rate Note, 9/25/35 950,000 $220,210
RAMP Series 2006-NC1 Trust, Floating Rate Note, 12/25/35 19,100,000 $147,475
RAMP Series 2006-RZ3 Trust, Floating Rate Note, 10/25/35 10,534,000 $948,850
RASC Series 2005-AHL3 Trust, Floating Rate Note, 9/25/35 57,630,000 $2,123,451
RASC Series 2005-KS9 Trust, Floating Rate Note, 10/25/35 700,000 $634,413
Raymond James Financial, Inc., 4.25%, 4/15/16 7,834,000 $7,994,896
RBSHD 2013-1 Trust, 4.6853%, 10/25/47 (Step) (144A) 3,600,000 $1,339,154
Regatta Funding, Ltd., Floating Rate Note, 6/15/20 (144A) 2,200,000 $2,156,247
Regatta Funding, Ltd., Floating Rate Note, 6/15/20 (144A) 2,000,000 $39,728
RegionalCare Hospital Partners, Inc., Term B-2 Loan (2015), 4/23/19 395,841 $396,088
Rent-A-Center, Inc., Term Loan (2014), 2/6/21 508,227 $487,580
Residential Asset Securitization Trust 2003-A15, Floating Rate Note, 2/25/34 10,120,000 $420,822
Residential Asset Securitization Trust 2003-A2, Floating Rate Note, 5/25/33 9,443,647 $274,860
Residential Reinsurance 2012, Ltd., Floating Rate Note, 12/6/16 (Cat Bond) (144A) 1,500,000 $1,511,240
Residential Reinsurance 2012, Ltd., Floating Rate Note, 12/6/16 (Cat Bond) (144A) 2,900,000 $2,906,163
Residential Reinsurance 2012, Ltd., Floating Rate Note, 12/6/16 (Cat Bond) (144A) 1,000,000 $1,025,454
Residential Reinsurance 2012, Ltd., Floating Rate Note, 6/6/16 (Cat Bond) (144A) 750,000 $757,392
Residential Reinsurance 2012, Ltd., Floating Rate Note, 6/6/16 (Cat Bond) (144A) 900,000 $914,620
Residential Reinsurance 2013, Ltd., Floating Rate Note, 6/6/17 (Cat Bond) (144A) 850,000 $883,255
Residential Reinsurance 2014, Ltd., Floating Rate Note, 6/6/18 (Cat Bond) (144A) 750,000 $749,346
Residential Reinsurance 2015, Ltd., Floating Rate Note, 12/6/19 (Cat Bond) (144A) 1,000,000 $994,035
RESI Finance LP 2003-CB1, Floating Rate Note, 7/9/35 22,195,000 $4,200,593
Resi Flt% 12dec45 A1 3,000,000 $1,888,555
Resource Capital Corp 2014-CRE2, Ltd., Floating Rate Note, 4/15/32 (144A) 4,920,000 $3,476,487
Resource Capital Corp 2015-CRE4, Ltd., Floating Rate Note, 8/17/32 (144A) 2,000,000 $1,965,300
Resource Capital Corp CRE Notes 2013, Ltd., Floating Rate Note, 12/15/28 (144A) 3,000,000 $117,435
Revlon Consumer Products Corp., Acquisition Term Loan, 8/19/19 354,627 $354,738
Revlon Consumer Products Corp., Replacement Term Loan, 11/19/17 941,944 $941,944
Reynolds American, Inc., 3.5%, 8/4/16 2,750,000 $2,782,408
Rialto Capital Management LLC, 2.85%, 5/15/24 (144A) 2,000,000 $270,161
Rio Tinto Finance USA Plc, Floating Rate Note, 6/17/16 1,130,000 $1,130,602
RMAT 2015-1 LLC, 4.09%, 7/27/20 (Step) (144A) 2,000,000 $1,813,362
Rovi Solutions Corp., Term B Loan, 7/2/21 1,008,074 $998,833
Royal Bank of Canada, 1.45%, 9/9/16 1,000,000 $1,003,629
Royal Bank of Canada, Floating Rate Note, 1/23/17 1,875,000 $1,877,787
Royal Bank of Canada, Floating Rate Note, 10/13/17 2,500,000 $2,494,744
Royal Bank of Canada, Floating Rate Note, 2/3/17 500,000 $500,302
Royal Bank of Canada, Floating Rate Note, 6/16/17 2,200,000 $2,195,822
Royal Bank of Canada, Floating Rate Note, 7/30/18 1,325,000 $1,320,252
Royal Bank of Canada, Floating Rate Note, 9/9/16 2,000,000 $2,003,925
RPI Finance Trust, Term B-3 Term Loan, 11/9/18 614,473 $614,537
RPI Finance Trust, Term B-4 Term Loan, 11/9/20 999,423 $1,002,754
RREF 2014-LT6 LLC, 2.75%, 9/15/24 (144A) 2,000,000 $281,417
RREF 2015-LT7 LLC, 3.0%, 12/25/32 (144A) 3,200,000 $2,041,436
Salomon Mortgage Loan Trust Series 2001-CB4, Floating Rate Note, 11/25/33 4,754,000 $100,216
Sanders Re, Ltd., Floating Rate Note, 5/25/18 (Cat Bond) (144A) 3,000,000 $2,956,150
Sanders Re, Ltd., Floating Rate Note, 5/5/17 (Cat Bond) (144A) 1,250,000 $1,258,889
Sanders Re, Ltd., Floating Rate Note, 5/5/17 (Cat Bond) (144A) 2,500,000 $2,502,118
Sanders Re, Ltd., Floating Rate Note, 6/7/17 (Cat Bond) (144A) 3,000,000 $3,012,920
San Diego Gas & Electric Co., Floating Rate Note, 3/9/17 2,500,000 $2,491,310
SASCO Mortgage Loan Trust 2005-GEL1, Floating Rate Note, 12/25/34 1,590,000 $732,766
Saxon Asset Securities Trust 2005-3, Floating Rate Note, 11/25/35 4,385,000 $2,529,969
Saxon Asset Securities Trust 2005-4, Floating Rate Note, 11/25/37 31,986,000 $681,701
SBA Senior Finance II LLC, Incremental Tranche B-1 Term Loan, 3/31/21 589,500 $587,916
Schaeffler (Aka Ina Beteiligungsge 1st Lien Tl-B L + 3.5% 15may20 569,950 $572,444
Scientific Games International, Inc., Initial Term B-2 Loan, 9/17/21 1,975,000 $1,920,379
Seadrill Operating LP, Initial Term Loan, 2/14/21 2,688,125 $1,198,455
Sector Re V, Ltd., 0.0%, 12/1/19 (Cat Bond) (144A) 3,777 $26,439
Sector Re V, Ltd., 0.0%, 12/1/20 (Cat Bond) (144A) 500,000 $510,350
Sector Re V, Ltd., 0.0%, 3/1/20 (Cat Bond) (144A) 1,250,000 $1,415,750
Select Medical Corp., Series E Tranche B Term Loan, 6/1/18 224,806 $224,806
Select Medical Corp., Series F Tranche B Term Loan, 3/4/21 1,000,000 $994,375
Selene Non-Performing Loans LLC, 2.9814%, 5/25/54 (Step) (144A) 3,530,000 $1,542,037
Seminole Hard Rock Entertainment, Inc., Term Loan, 5/14/20 583,500 $579,124
Sensata Technologies BV, Sixth Amendment Term Loan, 10/14/21 1,914,969 $1,909,983
Sequoia Mortgage Trust 10, Floating Rate Note, 10/20/27 9,100,000 $134,331
Sequoia Mortgage Trust 2003-2, Floating Rate Note, 6/20/33 13,961,000 $425,149
Sequoia Mortgage Trust 2003-5, Floating Rate Note, 9/20/33 72,500,000 $2,661,358
Sequoia Mortgage Trust 2003-8, Floating Rate Note, 1/20/34 5,750,000 $200,559
Sequoia Mortgage Trust 2004-10, Floating Rate Note, 11/20/34 5,055,000 $392,455
Sequoia Mortgage Trust 2004-7, Floating Rate Note, 8/20/34 8,500,000 $283,313
Sequoia Mortgage Trust 2005-1, Floating Rate Note, 2/20/35 34,411,748 $2,385,447
Sequoia Mortgage Trust 2005-1, Floating Rate Note, 2/20/35 12,303,000 $794,936
Sequoia Mortgage Trust 4, Floating Rate Note, 11/22/24 47,340,000 $932,972
Shell International Finance BV, Floating Rate Note, 11/10/18 2,780,000 $2,762,268
Shell International Finance BV, Floating Rate Note, 11/15/16 3,020,000 $3,022,652
Shell International Finance BV, Floating Rate Note, 5/10/17 1,390,000 $1,389,256
Sierra Timeshare 2013-1 Receivables Funding LLC, 2.39%, 11/20/29 (144A) 7,360,000 $1,509,822
Silver Bay Realty 2014-1 Trust, Floating Rate Note, 9/18/31 (144A) 3,778,000 $3,566,683
Silverton RE, Ltd., 0.0%, 9/18/18 (Cat Bond) (144A) 1,000,000 $1,028,200
Sinclair Television Group, Inc., Incremental Tranche B-1 Term Loan, 7/22/21 992,500 $991,880
Sinclair Television Group, Inc., New Tranche B Term Loan, 4/19/20 1,318,001 $1,310,793
Six Flags Theme Parks, Inc., Tranche B Term Loan, 6/30/22 1,141,375 $1,143,278
Skopos Auto Receivables Trust 2015-2, 3.55%, 2/17/20 (144A) 2,500,000 $2,092,904
SMART ABS Series 2015-1US Trust, Floating Rate Note, 8/14/17 2,250,000 $1,191,306
SMART ABS Series 2015-3US Trust, Floating Rate Note, 4/16/18 3,650,000 $3,648,507
SNAAC Auto Receivables Trust 2013-1, 4.56%, 4/15/20 (144A) 2,400,000 $2,407,530
SNAAC Auto Receivables Trust 2014-1, 1.03%, 9/17/18 (144A) 839,000 $21,871
Sofi Professional Loan Program 2016-A LLC, Floating Rate Note, 8/25/36 (144A) 1,800,000 $1,790,545
Soundview Home Loan Trust 2005-DO1, Floating Rate Note, 5/25/35 2,000,000 $1,058,472
Soundview Home Loan Trust 2005-OPT4, Floating Rate Note, 12/25/35 2,967,970 $524,081
Southwire Co., Initial Term Loan, 1/31/21 1,053,868 $1,002,492
Specialty Underwriting & Residential Finance Trust Series 2005-AB2, Floating Rate Note, 6/25/36 18,964,000 $380,095
Specialty Underwriting & Residential Finance Trust Series 2005-AB2, Floating Rate Note, 6/25/36 1,500,000 $230,649
Specialty Underwriting & Residential Finance Trust Series 2006-BC1, Floating Rate Note, 12/25/36 3,000,000 $104,069
Specialty Underwriting & Residential Finance Trust Series 2006-BC1, Floating Rate Note, 12/25/36 3,640,376 $3,528,510
Spectrum Brands, Inc., USD Term Loan, 6/16/22 662,917 $666,025
Springleaf Mortgage Loan Trust 2013-2, Floating Rate Note, 12/28/65 (144A) 1,600,000 $804,079
Staples Escrow LLC, Initial Loan, 1/29/22 1,000,000 $999,286
Starwood Property Trust, Inc., Term Loan, 4/17/20 1,565,865 $1,553,142
Statoil ASA, Floating Rate Note, 11/9/17 3,280,000 $3,243,546
Statoil ASA, Floating Rate Note, 5/15/18 2,555,000 $2,525,601
Sterigenics-Nordion Holdings LLC, Initial Term Loan, 4/27/22 995,000 $982,563
Steward Health Care System LLC, Term Loan, 4/10/20 975,000 $940,875
Structured Adjustable Rate Mortgage Loan Trust, Floating Rate Note, 11/25/34 62,595,000 $2,545,868
Structured Adjustable Rate Mortgage Loan Trust, Floating Rate Note, 3/25/34 3,865,000 $457,985
Structured Adjustable Rate Mortgage Loan Trust, Floating Rate Note, 3/25/34 8,200,000 $356,509
Structured Adjustable Rate Mortgage Loan Trust, Floating Rate Note, 7/25/34 20,600,000 $2,058,564
Structured Asset Investment Loan Trust 2004-10, Floating Rate Note, 11/25/34 1,700,000 $518,286
Structured Asset Investment Loan Trust 2004-BNC2, Floating Rate Note, 12/25/34 18,040,000 $1,921,909
Structured Asset Investment Loan Trust 2005-6, Floating Rate Note, 7/25/35 4,150,000 $2,325,814
Structured Asset Investment Loan Trust 2005-HE1, Floating Rate Note, 7/25/35 2,000,000 $1,158,965
Structured Asset Investment Loan Trust 2006-1, Floating Rate Note, 1/25/36 6,839,000 $960,809
Structured Asset Mortgage Investments II Trust 2004-AR1, Floating Rate Note, 3/19/34 16,800,000 $654,470
Structured Asset Mortgage Investments II Trust 2004-AR8, Floating Rate Note, 5/19/35 87,018,704 $3,451,187
Structured Asset Mortgage Investments Trust 2002-AR5, Floating Rate Note, 5/19/33 36,301,000 $1,476,173
Structured Asset Sec Corp Mort Pass Thr Certs Series 1998-8, Floating Rate Note, 8/25/28 37,025,000 $918,575
Structured Asset Securities Corp Mortgage Loan Trust 2005-S7, Floating Rate Note, 12/25/35 (144A) 11,868,000 $544,133
Structured Asset Securities Corp Mortgage Loan Trust 2006-EQ1, Floating Rate Note, 7/25/36 (144A) 5,000,000 $1,991,240
Structured Asset Securities Corp Mortgage Loan Trust 2006-GEL4, Floating Rate Note, 10/25/36 (144A) 5,557,000 $956,815
Structured Asset Securities Corp Mortgage Loan Trust 2007-TC1, Floating Rate Note, 4/25/31 (144A) 12,921,000 $3,441,582
Structured Asset Securities Corp Mortgage Pass-Through Ctfs Ser 2003-24A, Floating Rate Note, 7/25/3 8,050,000 $727,490
Structured Asset Securities Corp Mortgage Pass-Through Ctfs Ser 2003-BC2, Floating Rate Note, 3/25/3 5,000,000 $1,068,148
Structured Asset Securities Corp Mortgage Pass Through Ctfs Series 2003-35, Floating Rate Note, 12/2 3,944,000 $100,788
Structured Asset Securities Corp Trust 2005-14, Floating Rate Note, 7/25/35 3,899,641 $277,031
Structured Asset Securities Corp Trust 2005-AR1, Floating Rate Note, 9/25/35 4,160,000 $428,223
Sumitomo Mitsui Banking Corp., Floating Rate Note, 1/10/17 2,600,000 $2,603,584
Sumitomo Mitsui Banking Corp., Floating Rate Note, 7/19/16 1,500,000 $1,505,822
Sumitomo Mitsui Banking Corp. New York, Floating Rate Note, 5/2/17 1,715,000 $1,709,187
Sumitomo Mitsui Trust Bank, Ltd., Floating Rate Note, 9/16/16 (144A) 1,500,000 $1,503,997
Sunset Mortgage Loan Co 2014-NPL2 LLC, 3.721%, 11/16/44 (Step) (144A) 3,070,000 $1,388,835
Sunset Mortgage Loan Co 2015-NPL1 LLC, 4.4586%, 9/16/45 (Step) (144A) 4,350,000 $3,529,668
SunTrust Bank, Floating Rate Note, 2/15/17 3,645,000 $3,641,114
Svenska Handelsbanken AB, 3.125%, 7/12/16 2,650,000 $2,684,709
Svenska Handelsbanken AB, Floating Rate Note, 9/23/16 4,405,000 $4,411,311
Svenska Handelsbanken New York NY, Floating Rate Note, 8/17/16 2,500,000 $2,503,719
Svensk Exportkredit AB, Floating Rate Note, 11/10/17 2,800,000 $2,797,824
SWAY Residential 2014-1 Trust, Floating Rate Note, 1/20/32 (144A) 4,600,000 $4,487,748
Symphony CLO VIII LP, Floating Rate Note, 1/9/23 (144A) 4,500,000 $4,426,798
Symphony CLO X, Ltd., Floating Rate Note, 7/23/23 (144A) 3,050,000 $3,053,455
Syncreon Group BV, Term Loan, 9/26/20 196,000 $162,435
Syniverse Holdings, Inc., Tranche B Term Loan, 4/23/19 727,141 $545,356
TAL Advantage V LLC, 1.7%, 5/20/39 (144A) 1,400,000 $735,817
Tar Heel Re, Ltd., Floating Rate Note, 5/9/16 (Cat Bond) (144A) 8,050,000 $8,115,827
Telesat Canada, U.S. Term B-2 Loan, 3/28/19 652,022 $650,115
Tempur Sealy International, Inc., New Term B Loan, 3/18/20 60,920 $60,920
Terex Corp., U.S. Term Loan, 8/13/21 304,913 $298,053
Terex Corporation 1st Lien Tl-B L + 3.75% 15dec22 305,687 $300,338
TerraForm AP Acquisition Holdings LLC, Term Loan, 6/26/22 958,642 $872,364
Terra-Gen Finance Co LLC, Term Loan, 12/31/21 1,282,724 $1,083,902
Terwin Mortgage Trust Series TMTS 2003-8HE, Floating Rate Note, 12/25/34 23,713,000 $718,261
Terwin Mortgage Trust Series TMTS 2005-10HE, Floating Rate Note, 6/25/36 4,868,753 $1,781,549
Terwin Mortgage Trust Series TMTS 2005-12ALT, Floating Rate Note, 7/25/36 28,736,000 $1,184,540
The Bank of New York Mellon Corp., Floating Rate Note, 3/6/18 1,090,000 $1,091,021
The Bank of Nova Scotia, Floating Rate Note, 12/13/16 1,800,000 $1,803,224
The Bank of Nova Scotia, Floating Rate Note, 7/15/16 1,500,000 $1,505,708
The Bank of Tokyo-Mitsubishi UFJ, Ltd., Floating Rate Note, 3/10/17 (144A) 1,000,000 $998,930
The Bank of Tokyo-Mitsubishi UFJ, Ltd., Floating Rate Note, 9/8/17 (144A) 2,525,000 $2,514,476
The Bear Stearns Companies LLC, Floating Rate Note, 11/21/16 2,465,000 $2,466,711
The Chemours Co., Tranche B Term Loan, 5/12/22 496,250 $473,195
The Dayton Power & Light Co., 1.875%, 9/15/16 2,700,000 $2,713,315
The EW Scripps Co., Term Loan, 11/26/20 519,717 $517,118
The GEO Group, Inc., Term Loan, 4/3/20 974,943 $973,115
The Goldman Sachs Group, Inc., Floating Rate Note, 4/30/18 2,600,000 $2,619,270
The Goldman Sachs Group, Inc., Floating Rate Note, 5/22/17 2,465,000 $2,466,449
The Goodyear Tire & Rubber Co., Loan (Second Lien), 4/30/19 400,000 $400,875
The Hartford Financial Services Group, Inc., 5.5%, 10/15/16 6,135,000 $6,425,861
The Hertz Corp., Tranche B-1 Term Loan, 3/11/18 725,625 $726,079
The Home Depot, Inc., Floating Rate Note, 9/15/17 2,600,000 $2,610,333
The Huntington National Bank, Floating Rate Note, 4/24/17 2,000,000 $1,997,257
Thermo Fisher Scientific, Inc., 1.3%, 2/1/17 2,600,000 $2,603,928
The Toronto-Dominion Bank, Floating Rate Note, 5/2/17 2,000,000 $2,000,475
The Toronto-Dominion Bank, Floating Rate Note, 7/23/18 2,600,000 $2,599,483
The Toronto-Dominion Bank, Floating Rate Note, 7/8/16 1,320,000 $1,320,879
The Toronto-Dominion Bank, Floating Rate Note, 9/9/16 2,800,000 $2,806,130
The Walt Disney Co., 1.35%, 8/16/16 2,835,000 $2,848,641
Thornburg Mortgage Securities Trust 2004-4, Floating Rate Note, 12/25/44 4,235,000 $544,613
Tidewater Auto Receivables Trust 2016-A, 2.3%, 9/15/19 (144A) 1,400,000 $1,401,320
TI Group Automotive Systems LLC, 7/1/21 0 $0
TI Group Automotive Systems LLC, Initial US Term Loan, 6/25/22 806,228 $801,189
T-Mobile USA, Inc., Senior Lien Term Loan, 11/3/22 349,125 $350,919
TMS International Corp., Term B Loan, 10/2/20 144,699 $128,782
Tower Automotive Holdings USA LLC, Initial Term Loan (2014), 4/23/20 1,039,541 $1,034,343
Toyota Auto Receivables 2014-A Owner Trust, 0.67%, 12/15/17 3,275,000 $2,113,999
Toyota Auto Receivables 2014-C Owner Trust, 0.51%, 2/15/17 1,770,000 $107,596
Toyota Motor Credit Corp., 2.0%, 9/15/16 2,600,000 $2,618,007
Toyota Motor Credit Corp., Floating Rate Note, 2/19/19 2,700,000 $2,716,614
Toyota Motor Credit Corp., Floating Rate Note, 5/16/17 2,589,000 $2,592,545
Toyota Motor Credit Corp., Floating Rate Note, 5/17/16 3,800,000 $3,806,000
Toyota Motor Credit Corp., Floating Rate Note, 7/13/18 2,250,000 $2,254,506
Toyota Motor Credit Corp., Floating Rate Note, 9/23/16 650,000 $649,332
Trade MAPS 1, Ltd., Floating Rate Note, 12/10/18 (144A) 2,795,000 $2,778,941
Trade MAPS 1, Ltd., Floating Rate Note, 12/10/18 (144A) 3,079,000 $3,050,145
Tradewynd Re, Ltd., Floating Rate Note, 1/8/18 (Cat Bond) (144A) 750,000 $757,829
Trafigura Securitisation Finance Plc. 2014-1, Floating Rate Note, 4/16/18 (144A) 2,523,000 $2,485,652
Tramline Re II, Ltd., Floating Rate Note, 1/4/19 (Cat Bond) (144A) 250,000 $256,611
Tramline Re II, Ltd., Floating Rate Note, 7/7/17 (Cat Bond) (144A) 1,750,000 $1,750,027
TransCanada PipeLines, Ltd., Floating Rate Note, 6/30/16 3,544,000 $3,540,971
TransDigm, Inc., Tranche C Term Loan, 2/28/20 1,274,053 $1,260,288
Tribune Media Co., Term B Loan, 12/27/20 1,436,301 $1,432,100
Tricon American Homes 2015-SFR1 Trust REMICS, Floating Rate Note, 5/19/32 (144A) 4,150,000 $4,023,517
Tronox Pigments Holland BV, New Term Loan, 3/19/20 379,505 $354,047
Truman Capital Mortgage Loan Trust, Floating Rate Note, 1/25/34 925,000 $643,339
Truman Capital Mortgage Loan Trust, Floating Rate Note, 3/25/36 (144A) 4,750,000 $811,540
Truven Health Analytics, Inc., New Tranche B Term Loan, 6/6/19 336,954 $336,743
U.S. Residential Opportunity Fund IV Trust 2015-1, 3.7213%, 2/27/35 (144A) 4,675,000 $3,459,494
U.S. Treasury Notes, 0.625%, 7/15/16 6,085,000 $6,097,797
UBS AG, Floating Rate Note, 3/26/18 800,000 $798,908
UBS AG, Floating Rate Note, 6/1/17 2,500,000 $2,500,763
UBS AG, Floating Rate Note, 9/26/16 3,000,000 $3,003,046
Unifrax I LLC, New Term Dollar Loan, 11/28/18 784,464 $709,940
United Airlines, Inc., Class B Term Loan, 4/1/19 242,500 $241,995
United Auto Credit Securitization Trust 2015-1, 1.68%, 9/15/17 (144A) 2,500,000 $2,193,639
United Auto Credit Securitization Trust 2016-1, 2.0%, 10/16/17 (144A) 1,440,000 $1,149,328
UnitedHealth Group, Inc., 1.875%, 11/15/16 800,000 $811,255
UnitedHealth Group, Inc., Floating Rate Note, 1/17/17 2,600,000 $2,607,860
United States Treasury Floating Rate Note, Floating Rate Note, 10/31/17 13,780,000 $13,790,352
United States Treasury Floating Rate Note, Floating Rate Note, 4/30/17 40,175,000 $40,196,573
United States Treasury Floating Rate Note, Floating Rate Note, 7/31/17 20,095,000 $20,095,523
Univision Communications, Inc., Replacement First-Lien Term Loan (C-4), 3/1/20 654,488 $648,878
Ursa Re, Ltd., Floating Rate Note, 9/21/18 (Cat Bond) (144A) 2,500,000 $2,525,780
US Bancorp, Floating Rate Note, 4/25/19 2,650,000 $2,635,432
US Bank NA Cincinnati Ohio, Floating Rate Note, 1/26/18 2,600,000 $2,593,058
US Bank NA Cincinnati Ohio, Floating Rate Note, 1/29/18 2,400,000 $2,405,375
US Bank NA Cincinnati Ohio, Floating Rate Note, 1/30/17 2,025,000 $2,028,898
USI, Inc. New York, Initial Term Loan, 12/30/19 1,074,133 $1,059,364
US Residential Opportunity Fund III Trust 2015-1, 3.7213%, 1/29/35 (144A) 4,000,000 $2,809,580
Valeant Pharmaceuticals International, Inc., Series C-2 Tranche B Term Loan, 12/11/19 511,676 $484,067
Valeant Pharmaceuticals International, Inc., Series D-2 Tranche B Term Loan, 2/13/19 213,198 $202,272
Valeant Pharmaceuticals International, Inc., Series E-1 Tranche B Term Loan, 8/5/20 1,313,724 $1,237,950
Velocity Commercial Capital Loan Trust 2014-1, Floating Rate Note, 9/25/44 (144A) 3,200,000 $1,630,095
Vencore, Inc., Initial Term Loan (First Lien), 11/19/19 1,243,565 $1,238,383
Venture XII CLO, Ltd., Floating Rate Note, 2/28/24 (144A) 1,500,000 $499,805
Verint Systems, Inc., Tranche B Incremental Term Loan, 9/6/19 325,732 $326,424
Verizon Communications, Inc., Floating Rate Note, 9/15/16 11,835,000 $11,911,215
VFC 2014-2 LLC, 2.75%, 7/20/30 (144A) 3,510,000 $121,567
VFC 2015-3 LLC, 2.75%, 12/20/31 (144A) 2,752,000 $115,597
Virgin Media Investment Holdings, Ltd., F Facility, 6/30/23 1,484,673 $1,474,235
Visteon Corp., Initial Term Loan, 4/8/21 291,667 $290,755
Vita Capital V, Ltd., Floating Rate Note, 1/15/17 (Cat Bond) (144A) 7,500,000 $7,640,770
Vita Capital V, Ltd., Floating Rate Note, 1/15/17 (Cat Bond) (144A) 1,500,000 $1,525,758
Vitality Re IV, Ltd., Floating Rate Note, 1/9/17 (Cat Bond) (144A) 1,000,000 $1,009,475
Vitality Re IV, Ltd., Floating Rate Note, 1/9/17 (Cat Bond) (144A) 2,750,000 $2,797,220
Vitality Re V, Ltd., Floating Rate Note, 1/7/19 (Cat Bond) (144A) 3,800,000 $3,770,070
Vitality Re VII, Ltd., Floating Rate Note, 1/7/20 (Cat Bond) (144A) 2,000,000 $1,998,400
Vitality Re VII, Ltd., Floating Rate Note, 1/7/20 (Cat Bond) (144A) 1,000,000 $999,300
Vizient, Inc., Initial Term Loan, 2/9/23 500,000 $503,959
Volkswagen Group of America Finance LLC, Floating Rate Note, 11/20/17 (144A) 2,500,000 $2,455,756
Volkswagen Group of America Finance LLC, Floating Rate Note, 11/22/16 (144A) 1,230,000 $1,220,586
Volkswagen Group of America Finance LLC, Floating Rate Note, 5/23/16 (144A) 1,900,000 $1,897,190
Volkswagen International Finance NV, Floating Rate Note, 11/18/16 (144A) 1,750,000 $1,743,698
VOLT NPL X LLC, 3.375%, 10/26/54 (Step) (144A) 4,390,000 $1,236,359
VOLT XIX LLC, 3.875%, 4/26/55 (Step) 1,500,000 $532,005
VOLT XXV LLC, 3.5%, 6/26/45 (Step) (144A) 2,500,000 $2,059,145
VOLT XXXIII LLC, 3.5%, 3/25/55 (Step) (144A) 2,500,000 $1,974,495
VOLT XXXI LLC, 3.375%, 2/25/55 (Step) (144A) 3,000,000 $2,432,335
VOLT XXXIX LLC, 4.125%, 10/25/45 (Step) (144A) 7,100,000 $6,814,734
VOLT XXX LLC, 3.625%, 10/25/57 (Step) (144A) 2,250,000 $1,856,281
VOLT XXXVIII LLC, 3.875%, 9/25/45 (Step) (144A) 3,700,000 $3,323,375
VOLT XXXVII LLC, 3.625%, 7/25/45 (Step) (144A) 3,750,000 $3,393,947
VOLT XXXVI LLC, 3.625%, 7/25/45 (Step) (144A) 2,400,000 $2,029,102
Volvo Financial Equipment LLC Series 2013-1, 0.74%, 3/15/17 (144A) 1,410,000 $59,029
Voya CLO 2012-3, Ltd., Floating Rate Note, 10/15/22 (144A) 3,000,000 $3,003,855
Wachovia Bank Commercial Mortgage Trust Series 2006-C25, Floating Rate Note, 5/15/43 6,200,000 $6,199,272
Wachovia Bank Commercial Mortgage Trust Series 2006-C28 REMICS, Floating Rate Note, 10/15/48 4,500,000 $4,578,152
Wachovia Corp., Floating Rate Note, 6/15/17 1,999,000 $1,992,199
Wal-Mart Stores, Inc., 0.6%, 4/11/16 955,000 $957,725
WaMu Mortgage Pass-Through Certificates Series 2003-S10, 5.0%, 10/25/18 40,040,000 $704,356
Waste Industries USA, Inc., Initial Term Loan, 2/20/20 148,500 $149,335
Weight Watchers International, Inc., Initial Tranche B-2 Term Loan, 4/2/20 381,842 $283,518
Wells Fargo & Co., Floating Rate Note, 4/23/18 6,675,000 $6,689,490
Wells Fargo & Co., Floating Rate Note, 7/20/16 3,265,000 $3,276,687
Wells Fargo Bank NA, Floating Rate Note, 1/22/18 2,700,000 $2,714,414
Wells Fargo Bank NA, Floating Rate Note, 5/16/16 975,000 $975,632
Wells Fargo Bank NA, Floating Rate Note, 9/7/17 1,285,000 $1,286,561
Wells Fargo Commercial Mortgage Trust 2014-TISH, Floating Rate Note, 1/15/27 (144A) 1,500,000 $1,446,252
Wells Fargo Commercial Mortgage Trust 2014-TISH REMICS, Floating Rate Note, 2/16/27 (144A) 2,500,000 $2,423,232
Wells Fargo Credit Risk Transfer Securities Trust 2015, Floating Rate Note, 11/25/25 (144A) 3,000,000 $2,760,696
Wells Fargo Home Equity Asset-Backed Securities 2005-2 Trust, Floating Rate Note, 11/25/35 342,823 $329,358
Wells Fargo Home Equity Asset-Backed Securities 2005-3 Trust, Floating Rate Note, 12/25/35 3,990,000 $334,837
Wells Fargo Home Equity Asset-Backed Securities 2006-1 Trust REMICS, Floating Rate Note, 7/25/36 1,300,000 $1,219,054
Wells Fargo Mortgage Backed Securities 2005-AR13 Trust, Floating Rate Note, 5/25/35 19,324,000 $4,619,264
Wesco Aircraft Hardware Corp., Tranche B Term Loan, 2/24/21 2,355,167 $2,231,520
WESCO Distribution, Inc., Tranche B-1 Loan, 12/12/19 318,295 $319,289
West Corp., Term B-10 Loan, 6/30/18 990,493 $987,166
Western Refining, Inc., Term Loan 2013, 11/12/20 222,647 $217,081
Westgate Resorts 2012-A LLC, 3.75%, 8/20/25 (144A) 8,405,000 $2,291,841
Westgate Resorts 2014-1 LLC, 2.15%, 12/20/26 (144A) 2,800,000 $1,680,615
Westgate Resorts LLC, 2.5%, 3/20/25 (144A) 350,000 $39,481
Westlake Automobile Receivables Trust 2015-2, Floating Rate Note, 7/16/18 (144A) 2,600,000 $2,093,190
Westlake Automobile Receivables Trust 2015-3, Floating Rate Note, 5/17/21 (144A) 6,300,000 $6,310,642
Westlake Automobile Receivables Trust 2016-1, Floating Rate Note, 1/15/19 (144A) 2,730,000 $2,733,510
Westpac Banking Corp., Floating Rate Note, 5/19/17 2,000,000 $2,000,656
Westwood CDO II, Ltd., Floating Rate Note, 4/25/22 (144A) 2,000,000 $860,872
Wheels SPV 2 LLC, 0.84%, 3/20/23 (144A) 1,000,000 $437,272
WideOpenWest Finance LLC, Replacement Term B Loan, 4/1/19 0 $0
Wilshire Mortgage Loan Trust, Floating Rate Note, 5/25/28 10,000,000 $25,607
Windstream Services LLC, Tranche B-5 Term Loan, 8/8/19 699,829 $682,771
WireCo WorldGroup, Inc., Term Loan, 2/15/17 821,182 $809,891
WMG Acquisition Corp., Tranche B Refinancing Term Loan, 7/1/20 1,072,500 $1,058,826
World Financial Network Credit Card Master Trust, 1.26%, 3/15/21 3,000,000 $2,998,447
World Financial Network Credit Card Master Trust, Floating Rate Note, 2/15/22 1,725,000 $1,721,473
World Omni Automobile Lease Securitization Trust 2014-A, Floating Rate Note, 3/15/17 2,500,000 $1,179,065
World Omni Auto Receivables Trust 2014-B, Floating Rate Note, 1/16/18 2,650,000 $553,721
World Omni Auto Receivables Trust 2015-B, Floating Rate Note, 7/15/19 3,000,000 $3,000,549
WR Grace & Co-Conn, U.S. Term Loan, 1/23/21 473,757 $470,323
WVUE 2015-1, 4.5%, 9/25/20 (Step) (144A) 5,000,000 $4,218,130
Xerium Technologies, Inc., Initial Term Loan, 5/17/19 575,249 $562,306
Xylem, Inc. New York, 3.55%, 9/20/16 2,650,000 $2,655,236
Zebra Technologies Corp., Initial Term Loan, 9/30/21 888,636 $894,392
Zero% 01feb18 1,250,000 $1,279,125
Zero% 01feb18 1,250,000 $1,268,875
Zero% 30nov19 2,800,000 $3,032,680
Zero% 30nov20 2,500,000 $2,527,500
Zero% 30nov20 2,600,000 $2,652,780
Zero% 30nov20 750,000 $761,400
Zero% 30nov20 1,300,000 $1,332,370
Zero% 30nov20 2,700,000 $2,758,590
Zero% 31aug16 500,000 $563,350
Ziggo BV, US$ B1 Facility, 1/15/22 1,072,383 $1,060,989
Ziggo BV, US$ B2 Facility, 1/15/22 691,064 $683,721
Ziggo BV, US$ B3 Facility, 1/15/22 1,136,553 $1,124,477

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

For fund descriptions, historical and current performance, standardized returns as of the most recent quarter-end, risk disclosure or a prospectus, please click here.

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