Pioneer Multi-Asset Ultrashort Income Fund

Top 10 Portfolio Holdings as of 5/29/2015
Default: sorted by market value

Security Name Par / Shares Market Value
14112z Zero% 01feb19 2,500,000 $2,641,750
17079z Zero% 31mar18 750,000 $758,475
321 Henderson Receivables II LLC, Floating Rate Note, 9/15/41 (144A) 11,542,000 $3,574,474
321 Henderson Receivables I LLC, Floating Rate Note, 11/15/40 (144A) 4,630,000 $1,340,986
321 Henderson Receivables I LLC, Floating Rate Note, 12/15/41 (144A) 10,869,000 $3,537,648
321 Henderson Receivables I LLC, Floating Rate Note, 6/15/41 (144A) 8,090,000 $2,558,088
321 Henderson Receivables I LLC, Floating Rate Note, 9/15/45 (144A) 3,120,000 $714,938
77 Energy 1st Lien Tl-B L + 3% 17jun21 1,439,125 $1,353,976
A10 Securitization 2013-1 LLC, 2.4%, 11/17/25 (144A) 1,400,000 $313,874
ABFC 2003-WMC1 Trust, Floating Rate Note, 3/25/33 3,691,000 $10,136
ABFC 2005-HE2 Trust, Floating Rate Note, 6/25/35 2,500,000 $1,620,767
ABFC 2005-WF1 Trust, Floating Rate Note, 12/25/34 2,140,000 $739,062
ABN AMRO Bank NV, Floating Rate Note, 10/28/16 (144A) 1,725,000 $1,737,280
ACAS CLO 2007-1, Ltd., Floating Rate Note, 4/20/21 1,800,000 $1,103,285
Accredited Mortgage Loan Trust 2005-2, Floating Rate Note, 7/25/35 1,110,000 $1,086,083
ACE Securities Corp Manufactured Housing Trust Series 2003-MH1, Floating Rate Note, 8/15/30 (144A) 1,250,000 $85,473
ACIS CLO 2014-4, Ltd., Floating Rate Note, 5/1/26 (144A) 3,000,000 $752,310
ACRE Commercial Mortgage Trust 2014-FL2, Floating Rate Note, 8/15/31 (144A) 5,350,000 $4,111,790
ACRE Commercial Mortgage Trust 2014-FL2, Floating Rate Note, 8/15/31 (144A) 2,500,000 $2,496,513
Activision Blizzard, Inc., Term Loan, 7/26/20 1,411,209 $1,419,258
Adjustable Rate Mortgage Trust 2005-5, Floating Rate Note, 9/25/35 13,780,000 $1,068,884
AdvancePierre Foods, Inc., Term Loan (First Lien), 7/10/17 184,983 $186,524
Aegis Asset Backed Securities Trust Mortgage Pass-Through Ctfs Ser 2004-2, Floating Rate Note, 6/25/ 21,291,000 $1,419,076
Aegis Asset Backed Securities Trust Mortgage Pass-Through Ctfs Ser 2005-4, Floating Rate Note, 10/25 800,000 $373,865
Aegis Asset Backed Securities Trust Mortgage Pass- Through Ctfs Series 2004-3, Floating Rate Note, 9 3,465,620 $499,317
Aegis Asset Backed Securities Trust Mortgage Pass-Through Ctfs Series 2004-4, Floating Rate Note, 10 6,077,618 $1,214,273
Alamo Re, Ltd., Floating Rate Note, 6/7/17 (Cat Bond) (144A) 1,000,000 $1,018,929
Alamo Re, Ltd., Floating Rate Note, 6/7/18 (Cat Bond) (144A) 1,250,000 $1,250,125
Albertsons LLC, Term B-2 Loan, 3/21/19 1,503,474 $1,513,435
Alkermes, Inc., 2019 Term Loan, 9/25/19 1,122,724 $1,124,829
Alliant Holdings I LLC, Initial Term Loan, 12/20/19 241,827 $243,389
Allied Security Holdings LLC, Closing Date Term Loan (First Lien), 2/12/21 512,124 $513,485
Allison Transmission, Inc., Term B-3 Loan, 8/23/19 771,279 $776,196
Ally Auto Receivables Trust 2014-SN1, Floating Rate Note, 10/20/16 1,800,000 $804,981
Ally Auto Receivables Trust 2015-SN1, Floating Rate Note, 6/20/17 1,900,000 $1,900,298
Ally Master Owner Trust, Floating Rate Note, 1/16/18 300,000 $300,050
Ally Master Owner Trust, Floating Rate Note, 6/17/19 2,600,000 $2,600,796
Ally Master Owner Trust, Floating Rate Note, 8/15/17 3,000,000 $3,006,898
Alterna Funding I LLC, 1.639%, 2/15/21 (144A) 1,400,000 $1,002,499
Alternative Loan Trust 2003-3T1, Floating Rate Note, 5/25/33 15,000,000 $524,493
Alternative Loan Trust 2004-4CB, 4.25%, 4/25/34 16,913,000 $315,956
Alternative Loan Trust 2004-6CB, Floating Rate Note, 4/25/34 32,705,000 $2,107,393
Alternative Loan Trust 2004-J13, Floating Rate Note, 2/25/35 1,000,000 $970,172
Altice Financing SA, 7.875%, 12/15/19 (144A) 1,250,000 $1,371,680
Altisource Solutions Sarl, Term B Loan, 12/9/20 985,084 $891,501
Altria Group, Inc., 4.125%, 9/11/15 1,075,000 $1,095,327
Altrl Zero% 30jun17 1,000,000 $1,024,700
Amazon.com, Inc., 0.65%, 11/27/15 5,450,000 $5,455,222
AMC Entertainment, Inc., Initial Term Loan, 4/30/20 1,453,927 $1,459,372
America Movil SAB de CV, Floating Rate Note, 9/12/16 1,500,000 $1,508,518
American Airlines 1st Lien Tl-B L + 2.75% 27jun20 2,505,375 $2,508,507
American Airlines Inc 1st Lien Tl-B L + 3% 10oct21 500,000 $502,250
American Credit Acceptance Receivables Trust 2013-1, 1.45%, 4/16/18 (144A) 1,859,000 $257,920
American Credit Acceptance Receivables Trust 2013-2, 1.32%, 2/15/17 (144A) 805,000 $19,780
American Credit Acceptance Receivables Trust 2014-1, 1.14%, 3/12/18 (144A) 5,045,000 $880,625
American Credit Acceptance Receivables Trust 2014-2, 0.99%, 10/10/17 (144A) 3,300,000 $936,535
American Credit Acceptance Receivables Trust 2014-3, 0.99%, 8/10/18 (144A) 1,420,000 $672,850
American Credit Acceptance Receivables Trust 2014-4, 1.23%, 7/10/18 (144A) 1,150,000 $828,054
American Express Centurion Bank, Floating Rate Note, 11/13/15 6,390,000 $6,399,624
American Express Credit Account Master Trust, 1.29%, 3/15/18 (144A) 400,000 $400,424
American Express Credit Account Master Trust, Floating Rate Note, 1/15/20 350,000 $350,350
American Express Credit Account Master Trust, Floating Rate Note, 2/15/18 1,945,000 $1,948,536
American Express Credit Account Master Trust, Floating Rate Note, 3/15/18 8,890,000 $8,890,994
American Express Credit Account Master Trust, Floating Rate Note, 5/15/20 3,300,000 $3,301,759
American Express Credit Corp., 1.75%, 6/12/15 3,000,000 $3,025,553
American Express Credit Corp., Floating Rate Note, 6/12/15 3,441,000 $3,452,336
American Express Credit Corp., Floating Rate Note, 7/29/16 2,850,000 $2,859,383
American Homes 4 Rent 2014-SFR1, Floating Rate Note, 6/19/31 (144A) 1,500,000 $1,492,299
American Honda Finance Corp., 1.0%, 8/11/15 (144A) 1,000,000 $1,004,042
American Honda Finance Corp., Floating Rate Note, 1/11/16 2,650,000 $2,650,764
American Honda Finance Corp., Floating Rate Note, 10/7/16 2,285,000 $2,299,130
American Honda Finance Corp., Floating Rate Note, 12/11/17 2,570,000 $2,579,700
American Honda Finance Corp., Floating Rate Note, 5/26/16 (144A) 3,050,000 $3,059,922
American International Group, Inc., 5.05%, 10/1/15 2,500,000 $2,556,993
AmeriCredit Automobile Receivables Trust 2012-1, 2.67%, 1/8/18 800,000 $766,042
AmeriCredit Automobile Receivables Trust 2013-2, 0.65%, 12/8/17 485,000 $328,962
AmeriCredit Automobile Receivables Trust 2014-2, Floating Rate Note, 10/10/17 1,320,000 $799,542
AmeriCredit Automobile Receivables Trust 2015-2, Floating Rate Note, 9/10/18 2,125,000 $2,125,779
Ameriquest Mortgage Securities Inc Asset-Backed Pass-Through Ctfs Ser 2003-AR3, Floating Rate Note, 729,633 $299,182
Ameriquest Mortgage Securities Inc Asset-Backed Pass-Through Ctfs Ser 2004-R11, Floating Rate Note, 90,900,000 $2,775,972
Ameriquest Mortgage Securities Inc Asset-Backed Pass-Through Ctfs Ser 2005-R1, Floating Rate Note, 3 2,757,237 $1,173,591
Ameriquest Mortgage Securities Inc Asset-Backed Pass-Through Ctfs Ser 2005-R10, Floating Rate Note, 15,705,000 $381,123
Ameriquest Mortgage Securities Inc Asset Backed Pass-Through Ctfs Ser 2005-R11, Floating Rate Note, 810,000 $469,033
Ameriquest Mortgage Securities Inc Asset-Backed Pass-Through Ctfs Ser 2005-R5, Floating Rate Note, 7 84,000 $62,414
Anheuser-Busch InBev Finance, Inc., 0.8%, 1/15/16 3,700,000 $3,719,111
Anheuser-Busch InBev Finance, Inc., Floating Rate Note, 1/27/17 1,900,000 $1,898,174
Aon Corp., 3.125%, 5/27/16 2,500,000 $2,554,976
Apex Tool Group LLC, Term Loan, 1/31/20 1,225,000 $1,206,625
Apidos CLO IX, Floating Rate Note, 7/17/23 (144A) 3,000,000 $3,005,907
Apidos Quattro CDO, Floating Rate Note, 1/20/19 (144A) 1,000,000 $993,431
Apple, Inc., Floating Rate Note, 5/3/16 1,500,000 $1,501,438
Arbor Realty Collateralized Loan Obligation 2015-FL1, Ltd., Floating Rate Note, 3/15/25 (144A) 3,800,000 $3,803,058
Ardagh Holdings USA, Inc., New Term Loan, 12/17/19 677,160 $679,699
ARI Fleet Lease Trust 2012-A, Floating Rate Note, 3/15/20 (144A) 2,070,000 $241,653
ARI Fleet Lease Trust 2012-B, Floating Rate Note, 1/15/21 (144A) 1,030,000 $237,988
ARI Fleet Lease Trust 2013-A, 0.7%, 12/15/15 (144A) 4,000,000 $593,245
ARI Fleet Lease Trust 2013-A, 0.92%, 7/15/21 (144A) 600,000 $600,243
ARI Fleet Lease Trust 2014-A, 0.81%, 11/15/22 (144A) 3,000,000 $2,410,794
Arlington Flt% 01aug15 100,000 $113,850
Armstrong World Industries, Inc., Term Loan B, 3/15/20 1,078,246 $1,080,941
Arran Residential Mortgages Funding 2010-1 Plc, Floating Rate Note, 5/16/47 (144A) 4,850,000 $1,733,214
Ascentium Equipment Receivables 2014-1 LLC, 1.04%, 1/10/17 (144A) 1,000,000 $626,951
Ascentium Equipment Receivables 2014-1 LLC, 1.58%, 10/10/18 (144A) 1,700,000 $1,704,154
ASG Resecuritization Trust 2010-3, Floating Rate Note, 12/29/45 (144A) 5,216,443 $2,081,584
Asset-Backed Pass-Through Certificates Series 2004-R2, Floating Rate Note, 4/25/34 24,000,000 $1,160,270
Asset Backed Securities Corp Home Equity Loan Trust Series 2005-HE2, Floating Rate Note, 2/25/35 8,100,000 $384,707
Asset Backed Securities Corp Home Equity Loan Trust Series 2005-HE3, Floating Rate Note, 4/25/35 724,529 $451,267
Asset Backed Securities Corp Home Equity Loan Trust Series AEG 2006-HE1, Floating Rate Note, 1/25/36 6,155,063 $990,713
Asset Backed Securities Corp Home Equity Loan Trust Series NC 2005-HE4, Floating Rate Note, 5/25/35 3,657,000 $92,620
Asset Backed Securities Corp Home Equity Loan Trust Series OOMC 2005-HE6, Floating Rate Note, 7/25/3 1,879,167 $1,177,789
AT&T, Inc., 2.5%, 8/15/15 3,119,000 $3,150,863
Atlantic Power LP, Term Loan, 2/20/21 2,730,906 $2,744,561
Atlas IX Capital, Ltd., Floating Rate Note, 1/17/19 (Cat Bond) (144A) 1,500,000 $1,531,472
Atlas IX Capital, Ltd., Floating Rate Note, 1/7/19 (Cat Bond) (144A) 250,000 $252,663
Atlas Reinsurance VII, Ltd., Floating Rate Note, 1/7/16 (Cat Bond) (144A) 1,000,000 $1,018,321
Avago Technologies Ltd 1st Lien Tl-B L + 3% 16apr21 1,122,572 $1,126,208
Avis Budget Car Rental LLC, Tranche B Term Loan, 3/15/19 1,276,336 $1,282,175
AWAS Finance Luxembourg 2012 SA, Term Loan, 7/16/18 379,855 $382,704
Axalta Coating Systems US Holdings, Inc., Refinanced Term B Loan, 2/1/20 1,021,485 $1,022,762
AXIS Equipment Finance Receivables II LLC, 1.75%, 6/20/16 1,000,000 $352,794
Az Chem Us Inc 1st Lien Tl-B L + 3.5% 09jun21 1,855,848 $1,862,642
BA Credit Card Trust, Floating Rate Note, 1/15/20 2,000,000 $2,001,374
BA Credit Card Trust, Floating Rate Note, 9/16/19 6,400,000 $6,409,759
BAMLL Commercial Mortgage Securities Trust 2014-FL1, Floating Rate Note, 12/17/31 (144A) 3,613,000 $3,627,235
BAMLL Commercial Mortgage Securities Trust 2014-ICTS, Floating Rate Note, 6/15/28 (144A) 1,920,000 $1,918,790
BAMLL Commercial Mortgage Securities Trust 2014-INLD REMICS, Floating Rate Note, 12/17/29 (144A) 3,490,000 $3,515,645
Banc of America Commercial Mortgage Trust 2006-1, Floating Rate Note, 9/10/45 3,590,000 $3,679,396
Banc of America Commercial Mortgage Trust 2006-1, Floating Rate Note, 9/10/45 5,040,000 $4,977,316
Banc of America Funding 2004-B Trust, Floating Rate Note, 12/20/34 20,499,000 $1,278,606
Banc of America Merrill Lynch Commercial Mortgage, Inc., 4.933%, 7/10/45 6,180,000 $2,148,750
Banc of America Merrill Lynch Commercial Mortgage, Inc., Floating Rate Note, 10/10/45 8,970,000 $5,029,591
Banc of America Merrill Lynch Commercial Mortgage, Inc., Floating Rate Note, 9/10/47 6,175,000 $4,881,389
Banc of America Mortgage 2003-A Trust, Floating Rate Note, 2/25/33 10,560,000 $101,101
Banc of America Mortgage 2003-F Trust, Floating Rate Note, 7/25/33 8,661,215 $347,636
Banc of America Mortgage 2004-D Trust, Floating Rate Note, 5/25/34 17,088,000 $1,689,777
Banc of America Mortgage 2004-I Trust, Floating Rate Note, 10/25/34 6,000,000 $402,891
Bank of America Corp., Floating Rate Note, 3/22/16 6,000,000 $6,033,097
Bank of America Corp., Floating Rate Note, 8/25/17 1,423,000 $1,423,319
Bank of America NA, Floating Rate Note, 2/14/17 2,000,000 $2,001,844
Bank of Montreal, 0.8%, 11/6/15 2,600,000 $2,605,731
Bank of Montreal, Floating Rate Note, 7/14/17 2,300,000 $2,301,896
Bank of Montreal, Floating Rate Note, 9/11/15 2,600,000 $2,607,576
Bank of Montreal, Floating Rate Note, 9/24/15 2,600,000 $2,604,360
Bank of Nova Scotia Houston, Floating Rate Note, 10/23/15 1,640,000 $1,641,935
Bank of The West Auto Trust 2014-1, 0.69%, 7/17/17 (144A) 1,850,000 $1,852,135
Barclays Bank Plc, Floating Rate Note, 2/17/17 821,000 $823,227
Barclays Dryrock Issuance Trust, Floating Rate Note, 12/16/19 1,100,000 $1,099,050
Barclays Dryrock Issuance Trust, Floating Rate Note, 3/16/20 1,800,000 $1,798,819
Barclays Dryrock Issuance Trust, Floating Rate Note, 7/16/18 200,000 $200,083
Bayview Commercial Asset Trust 2008-1, Floating Rate Note, 1/25/38 (144A) 18,000,000 $2,349,246
Bayview Financial Acquisition Trust, 6.205%, 5/28/37 (Step) 100,000 $53,013
Bayview Financial Acquisition Trust, Floating Rate Note, 5/28/44 32,920,000 $96,038
Bayview Financial Mortgage Pass-Through Trust 2004-A, Floating Rate Note, 2/28/44 48,047,000 $1,167,948
Bayview Financial Mortgage Pass-Through Trust 2005-C, Floating Rate Note, 6/28/44 4,088,000 $3,318,137
Bayview Financial Mortgage Pass-Through Trust 2006-A, Floating Rate Note, 2/28/41 6,439,000 $102,814
Bayview Financial Mortgage Pass-Through Trust 2006-A, Floating Rate Note, 2/28/41 5,200,000 $26,140
Bayview Financial Mortgage Pass-Through Trust 2006-B, Floating Rate Note, 4/28/36 4,911,055 $897,349
Bayview Financial Mortgage Pass-Through Trust 2006-B, Floating Rate Note, 4/28/36 13,680,000 $701,544
Bayview Financial Mortgage Pass-Through Trust Series 2005-B, Floating Rate Note, 4/28/39 1,899,351 $1,459,501
Bayview Opportunity Master Fund IIa Trust 2014-20NPL, 3.475%, 8/28/44 (Step) (144A) 1,480,000 $1,103,546
Bayview Opportunity Master Fund Trust IIIa 2014-12RPL, 3.6225%, 7/28/19 (Step) (144A) 2,450,000 $1,224,791
BB&T Corp., 3.2%, 3/15/16 2,500,000 $2,561,487
Bbb Industries Llc 1st Lien Tl L + 5% 20oct21 1,000,000 $1,009,375
BBCMS Trust 2014-BXO REMICS, Floating Rate Note, 8/16/27 (144A) 675,000 $674,084
BBCMS Trust 2015-SLP, Floating Rate Note, 2/15/28 (144A) 3,150,000 $3,155,118
BCAP LLC 2009-RR13-I Trust, Floating Rate Note, 9/26/35 (144A) 8,854,257 $1,961,777
BCAP LLC 2013-RR3 Trust, Floating Rate Note, 5/28/36 (144A) 1,084,000 $759,533
BCAP LLC 2013-RR7 Trust, Floating Rate Note, 12/27/34 1,410,000 $1,077,602
BCC Funding VIII LLC, 1.794%, 6/22/20 (144A) 2,000,000 $964,431
Bear Stearns ALT-A Trust 2004-11, Floating Rate Note, 11/25/34 21,976,800 $1,053,870
Bear Stearns ALT-A Trust 2004-12, Floating Rate Note, 1/25/35 25,907,600 $2,892,198
Bear Stearns ALT-A Trust 2004-12, Floating Rate Note, 1/25/35 17,745,000 $1,903,578
Bear Stearns ALT-A Trust 2004-12, Floating Rate Note, 1/25/35 25,745,000 $2,925,621
Bear Stearns ALT-A Trust 2004-12, Floating Rate Note, 1/25/35 11,245,000 $1,174,678
Bear Stearns ALT-A Trust 2004-13, Floating Rate Note, 11/25/34 11,771,000 $563,997
Bear Stearns ALT-A Trust 2004-4, Floating Rate Note, 6/25/34 33,443,000 $2,468,343
Bear Stearns ALT-A Trust 2004-8, Floating Rate Note, 9/25/34 14,600,000 $895,391
Bear Stearns ARM Trust 2003-3, Floating Rate Note, 5/25/33 42,906,215 $1,182,407
Bear Stearns ARM Trust 2004-3, Floating Rate Note, 7/25/34 10,718,797 $349,465
Bear Stearns ARM Trust 2005-5, Floating Rate Note, 8/25/35 5,635,000 $532,809
Bear Stearns Asset Backed Securities I Trust 2004-HE11, Floating Rate Note, 12/25/34 20,500,000 $300,347
Bear Stearns Asset Backed Securities I Trust 2005-FR1, Floating Rate Note, 6/25/35 5,850,460 $1,744,632
Bear Stearns Asset Backed Securities I Trust 2005-HE9, Floating Rate Note, 10/25/35 5,000,000 $976,876
Bear Stearns Asset Backed Securities Trust, Floating Rate Note, 2/25/35 21,336,125 $56,993
Bear Stearns Asset Backed Securities Trust 2003-AC5, Floating Rate Note, 10/25/33 2,875,000 $251,370
Bear Stearns Asset Backed Securities Trust 2004-2, Floating Rate Note, 8/25/34 7,523,000 $1,057,910
Bear Stearns Asset Backed Securities Trust 2004-SD3, Floating Rate Note, 9/25/34 660,000 $232,943
Bear Stearns Asset Backed Securities Trust 2005-SD1, Floating Rate Note, 8/25/43 310,000 $78,786
Bear Stearns Asset Backed Securities Trust 2005-SD2, Floating Rate Note, 3/25/35 5,700,000 $1,530,568
Bear Stearns Asset Backed Securities Trust 2005-SD2, Floating Rate Note, 3/25/35 5,190,000 $591,057
Bear Stearns Asset Backed Securities Trust 2006-1, Floating Rate Note, 2/25/36 32,600,000 $780,056
Bear Stearns Commercial Mortgage Securities Trust 2005-PWR10, Floating Rate Note, 12/11/40 4,250,000 $3,174,690
Bear Stearns Commercial Mortgage Securities Trust 2005-PWR8, 4.75%, 6/11/41 1,330,000 $1,334,806
Bear Stearns Commercial Mortgage Securities Trust 2005-PWR9, 4.871%, 9/11/42 7,568,000 $3,514,340
Bear Stearns Commercial Mortgage Securities Trust 2005-PWR9, Floating Rate Note, 9/11/42 3,751,000 $3,800,493
Bear Stearns Commercial Mortgage Securities Trust 2005-TOP20, Floating Rate Note, 10/12/42 8,735,000 $6,333,576
Bear Stearns Commercial Mortgage Securities Trust 2006-PWR14, 5.171%, 12/11/38 2,735,000 $605,701
Bear Stearns Mortgage Securities, Inc., Floating Rate Note, 6/25/30 2,875,810 $415,965
Bear Stearns Structured Products Trust 2007-EMX1, Floating Rate Note, 3/25/37 (144A) 4,870,000 $852,476
Becton Dickinson and Co., Floating Rate Note, 6/15/16 2,700,000 $2,709,343
Belden Finance 2013 LP, Initial Term Loan, 9/9/20 640,250 $641,450
Berkshire Hathaway Finance Corp., Floating Rate Note, 1/10/17 1,855,000 $1,858,079
Berkshire Hathaway Finance Corp., Floating Rate Note, 8/14/17 2,500,000 $2,499,989
BHP Billiton Finance USA, Ltd., Floating Rate Note, 9/30/16 1,795,000 $1,797,496
BioScrip, Inc., Delayed Draw Term Loan, 7/31/20 328,915 $326,859
BioScrip, Inc., Initial Term B Loan, 7/31/20 548,191 $544,765
Blue Danube II, Ltd., Floating Rate Note, 5/23/18 (Cat Bond) (144A) 2,575,000 $2,571,872
BMW Floorplan Master Owner Trust, Floating Rate Note, 9/15/17 (144A) 3,000,000 $3,007,302
Boca Hotel Portfolio Trust 2013-BOCA, Floating Rate Note, 8/17/26 (144A) 1,375,000 $1,376,109
Bombardier Recreational Products, Inc., Term B Loan, 1/30/19 0 $0
Bosphorus Re, Ltd., Floating Rate Note, 5/3/16 (Cat Bond) (144A) 750,000 $752,302
Branch Banking & Trust Co., Floating Rate Note, 5/23/17 500,000 $497,615
Branch Banking & Trust Co., Floating Rate Note, 9/13/16 4,314,000 $4,306,947
Bright Horizons Family Solutions, Inc., Term B Loan, 1/30/20 595,305 $597,352
Bright Horizons Family Solutions I 1st Lien Tl-B1 L + 3.25% 30jan20 598,500 $603,737
British Telecommunications Plc, 2.0%, 6/22/15 8,429,000 $8,510,085
BSN medical International Holding GmbH & Co KG, Facility B1b, 8/28/19 593,611 $595,095
Cabela's Credit Card Master Note Trust, Floating Rate Note, 2/18/20 (144A) 2,150,000 $2,155,491
Cabela's Credit Card Master Note Trust, Floating Rate Note, 3/16/20 1,100,000 $1,100,536
Cabela's Credit Card Master Note Trust, Floating Rate Note, 6/17/19 (144A) 3,630,000 $3,639,163
Cabela's Credit Card Master Note Trust, Floating Rate Note, 9/17/18 (144A) 2,475,000 $2,479,282
Caelus Re, Ltd., Floating Rate Note, 3/7/16 (Cat Bond) (144A) 2,250,000 $2,240,438
Caelus Re 2013, Ltd., Floating Rate Note, 4/7/20 (Cat Bond) (144A) 2,300,000 $2,354,318
Caisse Centrale Desjardins, Floating Rate Note, 1/29/18 (144A) 2,590,000 $2,591,655
California Republic Auto Receivables Trust 2012-1, 1.18%, 8/15/17 (144A) 1,138,000 $151,046
California Republic Auto Receivables Trust 2013-1, 1.41%, 9/17/18 (144A) 500,000 $206,480
Callidus Debt Partners Clo Fund VI, Ltd., Floating Rate Note, 10/23/21 (144A) 3,500,000 $3,055,431
Calpine Construction Finance Co LP, Term B-1 Loan, 5/3/20 1,179,000 $1,168,131
Calpine Corp., Term Loan (10/12), 10/9/19 756,297 $758,713
Canadian National Railway Co., Floating Rate Note, 11/14/17 1,670,000 $1,667,867
Canadian Natural Resources, Ltd., Floating Rate Note, 3/30/16 6,514,000 $6,511,434
Capital Auto Receivables Asset Trust 2013-1, 1.74%, 10/22/18 3,200,000 $3,214,276
Capital One Financial Corp., 1.0%, 11/6/15 2,600,000 $2,605,311
Capital One Financial Corp., Floating Rate Note, 11/6/15 2,620,000 $2,625,513
Capital One Multi-Asset Execution Trust, Floating Rate Note, 12/16/19 3,400,000 $3,389,153
Capital One Multi-Asset Execution Trust, Floating Rate Note, 2/15/19 1,950,000 $1,950,587
Capital One Multi-Asset Execution Trust, Floating Rate Note, 6/17/19 5,470,000 $5,461,449
Capital One Multi-Asset Execution Trust, Floating Rate Note, 8/15/18 6,945,000 $6,940,999
Capital One NA, Floating Rate Note, 3/22/16 1,900,000 $1,904,197
Carefree Portfolio Trust 2014-CARE, Floating Rate Note, 11/15/29 (144A) 3,300,000 $3,309,075
Carlyle High Yield Partners VII, Ltd., Floating Rate Note, 9/30/19 (144A) 5,000,000 $2,024,250
CarMax Auto Owner Trust 2015-2, Floating Rate Note, 6/15/18 2,500,000 $2,500,574
Carrington Mortgage Loan Trust Series 2005-NC1, Floating Rate Note, 2/26/35 19,369,028 $2,129,994
Carrington Mortgage Loan Trust Series 2005-NC4, Floating Rate Note, 9/25/35 375,000 $34,986
Carrington Mortgage Loan Trust Series 2006-OPT1, Floating Rate Note, 12/25/35 9,778,000 $1,788,209
Castle Garden Funding, Floating Rate Note, 10/27/20 (144A) 7,000,000 $1,029,379
Caterpillar Financial Services Corp., Floating Rate Note, 2/26/16 1,500,000 $1,502,742
Caterpillar Financial Services Corp., Floating Rate Note, 3/3/17 2,500,000 $2,502,417
Cbs Cp Zero% 22jun15 Usd 4,500,000 $4,499,271
CCG Receivables Trust 2014-1, 1.06%, 11/14/21 (144A) 1,900,000 $1,590,050
CCG Receivables Truste 2013-1, 1.05%, 4/14/20 (144A) 900,000 $270,144
CD 2005-CD1 Commercial Mortgage Trust, Floating Rate Note, 7/15/44 3,277,000 $2,157,511
CDGJ Commercial Mortgage Trust 2014-BXCH, Floating Rate Note, 12/15/27 (144A) 4,860,000 $4,875,567
Cedar Fair LP, U.S. Term Facility, 3/6/20 96,885 $97,510
Cent CLO 16 LP, Floating Rate Note, 8/1/24 (144A) 3,250,000 $3,253,912
Centex Home Equity Loan Trust 2003-A, Floating Rate Note, 3/25/33 2,230,000 $372,541
Cequel Communications LLC, Term Loan, 2/14/19 1,112,078 $1,116,348
CGBAM Commercial Mortgage Trust 2014-HD, Floating Rate Note, 2/18/31 (144A) 1,050,000 $1,048,860
CG-CCRE Commercial Mortgage Trust 2014-FL1, Floating Rate Note, 6/16/31 (144A) 5,670,000 $5,664,269
CGWF Commercial Mortgage Trust 2013-RKWH REMICS, Floating Rate Note, 11/15/30 (144A) 6,770,000 $6,781,875
Charter Communications Operating LLC, Term F Loan, 12/31/20 1,301,813 $1,295,070
Chase Funding Trust Series 2002-4, Floating Rate Note, 10/25/32 1,000,000 $17,137
Chase Issuance Trust, 0.54%, 10/16/17 1,001,000 $1,001,301
Chase Issuance Trust, 0.59%, 8/15/17 950,000 $950,403
Chase Issuance Trust, 0.79%, 6/15/17 8,755,000 $8,759,186
Chase Issuance Trust, Floating Rate Note, 10/16/17 2,700,000 $2,700,302
Chase Issuance Trust, Floating Rate Note, 11/15/18 2,500,000 $2,500,725
Chase Issuance Trust, Floating Rate Note, 4/15/19 150,000 $149,315
Chase Issuance Trust, Floating Rate Note, 4/15/19 3,850,000 $3,839,779
Chase Issuance Trust, Floating Rate Note, 4/16/18 3,000,000 $3,000,995
Chase Issuance Trust, Floating Rate Note, 5/15/19 2,600,000 $2,599,002
Chase Issuance Trust, Floating Rate Note, 8/15/17 9,130,000 $9,130,799
Chase Mortgage Finance Trust Series 2005-S1, 5.5%, 5/25/35 19,264,330 $220,656
Chemours Company Llc 1st Lien Tl-B L + 3% 12may22 500,000 $501,563
Chemtura Corp., New Term Loan, 8/29/16 71,429 $71,577
Chesapeake Funding LLC, Floating Rate Note, 11/7/23 (144A) 3,790,000 $683,896
Chesapeake Funding LLC, Floating Rate Note, 11/7/23 (144A) 250,000 $250,664
Chesapeake Funding LLC, Floating Rate Note, 2/7/27 (144A) 2,500,000 $2,500,898
Chesapeake Funding LLC, Floating Rate Note, 2/7/27 (144A) 1,000,000 $1,001,138
Chesapeake Funding LLC, Floating Rate Note, 3/7/26 2,250,000 $2,119,989
Chesapeake Funding LLC, Floating Rate Note, 4/7/24 (144A) 2,050,000 $829,916
Chesapeake Funding LLC, Floating Rate Note, 5/7/24 (144A) 2,550,000 $980,499
Chevron Corp., Floating Rate Note, 11/9/16 2,640,000 $2,641,750
Chevron Corp., Floating Rate Note, 3/2/18 2,550,000 $2,553,388
Chevy Chase Funding LLC Mortgage-Backed Certificates Series 2004-1, Floating Rate Note, 1/25/35 (144 3,700,000 $105,836
Chevy Chase Funding LLC Mortgage-Backed Certificates Series 2004-3, Floating Rate Note, 8/25/35 (144 1,300,000 $49,530
CHL Mortgage Pass-Through Trust 2003-11, Floating Rate Note, 5/25/33 30,308,000 $218,547
CHL Mortgage Pass-Through Trust 2003-15 REMICS, Floating Rate Note, 6/25/18 28,013,062 $487,841
CHL Mortgage Pass-Through Trust 2003-J7, Floating Rate Note, 8/25/18 2,400,000 $38,418
CHS, Incremental 2019 Term G Loan, 12/31/19 25,164 $25,205
CHS, Incremental 2021 Term H Loan, 1/27/21 46,301 $46,496
CIFC Funding 2007-I, Ltd., Floating Rate Note, 5/10/21 (144A) 500,000 $224,010
Cincinnati Bell, Inc., Tranche B Term Loan, 9/10/20 1,231,250 $1,234,456
Cisco Systems, Inc., Floating Rate Note, 3/3/17 2,580,000 $2,591,513
Cisco Systems, Inc., Floating Rate Note, 9/3/15 3,600,000 $3,603,554
Citadel Plastics Holdings Inc 1st Lien Tlb L + 4.25% 05nov20 1,178,048 $1,179,520
CIT Equipment Collateral 2014-VT1, 0.86%, 5/22/17 (144A) 2,500,000 $2,500,229
Citibank Credit Card Issuance Trust, 4.55%, 6/20/17 639,000 $653,437
Citibank Credit Card Issuance Trust, 5.1%, 11/20/17 1,650,000 $1,688,671
Citibank Credit Card Issuance Trust, Floating Rate Note, 11/7/18 3,490,000 $3,489,261
Citibank Credit Card Issuance Trust, Floating Rate Note, 2/7/18 9,931,000 $9,937,184
Citibank Credit Card Issuance Trust, Floating Rate Note, 5/9/18 3,500,000 $3,500,369
Citicorp Mortgage Securities REMIC Pass-Through Certificates Trust Series 2005-4, 5.0%, 7/25/20 486,000 $11,927
Citicorp Mortgage Securities REMIC Pass-Through Certificates Trust Series 2005-7, 5.0%, 10/25/35 17,468,000 $1,164,782
Citigroup, Inc., Floating Rate Note, 11/15/16 1,900,000 $1,904,881
Citigroup, Inc., Floating Rate Note, 11/24/17 2,630,000 $2,631,904
Citigroup, Inc., Floating Rate Note, 4/1/16 1,325,000 $1,331,132
Citigroup, Inc., Floating Rate Note, 6/9/16 2,500,000 $2,493,436
Citigroup, Inc., Floating Rate Note, 7/25/16 3,700,000 $3,719,647
Citigroup Commercial Mortgage Trust 2015-SSHP REMICS, Floating Rate Note, 9/15/27 (144A) 3,000,000 $3,000,935
Citigroup Mortgage Loan Trust, Inc., 6.5%, 6/25/16 10,100,000 $3,376
Citigroup Mortgage Loan Trust, Inc., Floating Rate Note, 11/25/34 3,500,000 $214,129
Citigroup Mortgage Loan Trust, Inc., Floating Rate Note, 5/25/35 (144A) 4,525,000 $4,164,035
Citigroup Mortgage Loan Trust 2006-SHL1, Floating Rate Note, 11/27/45 (144A) 21,220,000 $1,877,647
Citigroup Mortgage Loan Trust 2010-4 REMICS, 5.0%, 10/25/35 (144A) 9,095,000 $2,229,172
Citigroup Mortgage Loan Trust 2010-7 REMICS, Floating Rate Note, 9/25/37 (144A) 6,105,345 $642,902
Citigroup Mortgage Loan Trust Series 2004-OPT1 Asset Backed Pass-Through Certifi, Floating Rate Note 2,140,000 $1,593,404
Citrus Re, Ltd., Floating Rate Note, 4/18/17 (Cat Bond) (144A) 250,000 $245,044
Citrus Re, Ltd., Floating Rate Note, 4/24/17 (Cat Bond) (144A) 1,350,000 $1,322,972
City Center Trust 2011-CCHP, Floating Rate Note, 7/17/28 (144A) 950,000 $953,767
CLI Funding LLC, Floating Rate Note, 8/18/21 (144A) 7,250,000 $817,179
CNH Equipment Trust 2012-A, 2.09%, 8/15/18 2,310,000 $2,331,203
CNH Equipment Trust 2013-A, 0.69%, 6/15/18 1,874,000 $992,716
CNH Equipment Trust 2013-C, 0.63%, 1/17/17 1,903,426 $97,173
CNH Wholesale Master Note Trust, Floating Rate Note, 8/15/19 (144A) 1,550,000 $1,552,468
CNL Commercial Mortgage Loan Trust 2002-1, Floating Rate Note, 10/25/28 (144A) 42,221,000 $1,286,051
CNL Commercial Mortgage Loan Trust 2003-2, Floating Rate Note, 10/25/30 (144A) 6,072,226 $473,352
Coca-Cola Enterprises, Inc., 2.125%, 9/15/15 551,000 $555,725
Colony American Homes 2014-1, Floating Rate Note, 5/19/31 (144A) 2,300,000 $2,306,478
Colony American Homes 2014-2, Floating Rate Note, 7/19/31 (144A) 2,100,000 $2,109,971
COMM 2005-C6 Mortgage Trust, Floating Rate Note, 6/10/44 6,607,413 $6,651,658
COMM 2005-C6 Mortgage Trust, Floating Rate Note, 6/10/44 2,675,000 $919,123
COMM 2013-FL3 Mortgage Trust, Floating Rate Note, 10/13/28 (144A) 1,597,000 $1,266,687
COMM 2014-FL5 Mortgage Trust, Floating Rate Note, 10/17/31 (144A) 4,970,000 $4,959,121
COMM 2014-KYO Mortgage Trust, Floating Rate Note, 6/11/27 (144A) 5,740,000 $5,736,022
COMM 2014-PAT Mortgage Trust, Floating Rate Note, 8/13/27 (144A) 2,722,000 $2,713,246
COMM 2014-SAVA Mortgage Trust, Floating Rate Note, 6/15/34 (144A) 5,454,000 $5,448,315
COMM 2014-TWC Mortgage Trust, Floating Rate Note, 2/13/32 (144A) 6,150,000 $6,157,227
Commercial Mortgage Pass Through Certificates, Floating Rate Note, 11/19/26 (144A) 2,250,000 $773,320
Commercial Mortgage Pass Through Certificates, Floating Rate Note, 11/19/26 (144A) 3,500,000 $3,501,127
Commercial Mortgage Trust 2005-GG3, Floating Rate Note, 8/10/42 3,300,000 $425,172
Commercial Mortgage Trust 2005-GG5, Floating Rate Note, 4/10/37 6,995,000 $7,095,000
Commonwealth Bank of Australia, Floating Rate Note, 12/4/15 (144A) 1,800,000 $1,803,483
Commonwealth Bank of Australia, Floating Rate Note, 3/13/17 (144A) 2,000,000 $2,003,760
Commonwealth Bank of Australia, Floating Rate Note, 9/18/15 (144A) 1,575,000 $1,581,938
CommScope, Inc., Tranche 3 Term Loan, 1/21/17 157,636 $157,471
CommScope, Inc., Tranche 4 Term Loan, 1/14/18 236,453 $236,527
Communications Sales & Leasing Inc 1st Lien Tl-B L + 4% 16oct22 400,000 $399,700
Compass Re II, Ltd., Floating Rate Note, 12/8/15 (Cat Bond) (144A) 1,000,000 $950,000
Confie seguros Holding II Co., Term B Loan (First Lien), 11/9/18 492,389 $493,722
Connecticut State Health & Educational Facility Authority, Floating Rate Note, 7/1/36 3,045,000 $3,045,171
Conseco Finance Corp., Floating Rate Note, 11/17/31 1,750,000 $287,123
Conseco Finance Home Equity Loan Trust 2002-C, Floating Rate Note, 4/15/32 800,000 $205,895
Conseco Financial Corp., 7.05%, 1/15/19 600,362 $4,969
Consumer Credit Origination Loan Trust 2015-1, 2.82%, 3/15/21 (144A) 2,500,000 $2,128,892
ConvaTec, Inc., Dollar Term Loan, 12/22/16 769,565 $770,687
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA New York, Floating Rate Note, 10/23/15 2,500,000 $2,501,644
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA New York, Floating Rate Note, 3/18/16 3,975,000 $3,992,614
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA New York, Floating Rate Note, 6/15/15 7,000,000 $7,004,507
Countrywide Asset-Backed Certificates, Floating Rate Note, 10/25/34 5,000,000 $2,211,228
Countrywide Asset-Backed Certificates, Floating Rate Note, 11/25/35 7,825,000 $250,722
Countrywide Asset-Backed Certificates, Floating Rate Note, 3/25/35 5,600,000 $1,642,004
Countrywide Asset-Backed Certificates, Floating Rate Note, 5/25/35 1,575,000 $216,563
Countrywide Asset-Backed Certificates, Floating Rate Note, 5/25/35 5,000,000 $143,601
Countrywide Asset-Backed Certificates, Floating Rate Note, 6/25/33 (144A) 2,000,000 $35,428
Countrywide Asset-Backed Certificates, Floating Rate Note, 6/25/33 (144A) 8,955,000 $159,408
Countrywide Asset-Backed Certificates, Floating Rate Note, 9/25/35 1,400,000 $69,560
CPS Auto Receivables Trust 2013-B, 1.82%, 9/15/20 (144A) 731,000 $307,495
CPS Auto Receivables Trust 2014-A, 1.21%, 8/15/18 700,000 $377,888
CPS Auto Receivables Trust 2014-C, 1.31%, 2/15/19 (144A) 2,200,000 $1,682,852
CPS Auto Trust, 1.48%, 3/16/20 (144A) 1,060,000 $323,978
CPS Auto Trust, 1.82%, 12/16/19 (144A) 1,439,000 $399,109
CRANBERRY RE, Ltd., Floating Rate Note, 7/6/18 (Cat Bond) (144A) 1,000,000 $1,002,600
Credit Acceptance Auto Loan Trust 2012-2, 1.52%, 3/16/20 (144A) 3,241,000 $559,045
Credit Acceptance Auto Loan Trust 2012-2, 2.21%, 9/15/20 (144A) 2,000,000 $2,011,344
Credit Acceptance Auto Loan Trust 2013-1, 1.21%, 10/15/20 (144A) 1,000,000 $883,131
Credit-Based Asset Servicing and Securitization LLC, Floating Rate Note, 7/25/34 2,783,000 $593,589
Credit-Based Asset Servicing and Securitization LLC, Floating Rate Note, 7/25/36 4,500,000 $4,439,195
Credit Suisse Commercial Mortgage Trust Series 2006-C1, Floating Rate Note, 2/15/39 5,802,000 $5,429,757
Credit Suisse Commercial Mortgage Trust Series 2006-C2, Floating Rate Note, 3/15/39 3,730,000 $2,453,145
Credit Suisse First Boston Mortgage Securities Corp., Floating Rate Note, 12/17/40 9,446,500 $5,698,605
Credit Suisse First Boston Mortgage Securities Corp., Floating Rate Note, 6/25/34 26,125,000 $342,224
Credit Suisse First Boston Mortgage Securities Corp., Floating Rate Note, 7/25/35 15,315,000 $1,658,383
Credit Suisse First Boston Mortgage Securities Corp., Floating Rate Note, 8/15/38 8,955,043 $921,043
Credit Suisse Mortgage Capital Certificates, Floating Rate Note, 10/27/36 (144A) 2,010,000 $148,400
Credit Suisse Mortgage Capital Certificates, Floating Rate Note, 3/15/28 (144A) 2,300,000 $2,302,370
Credit Suisse Mortgage Capital Certificates REMICS, Floating Rate Note, 7/27/36 (144A) 7,712,000 $1,130,879
Crown Castle 1st Lien Term-B2 L + 2.5% 31jan21 1,177,227 $1,176,830
Crowne Group Llc 1st Lien Tl-B L + 5% 29sep20 497,500 $496,256
Crusade Global Trust No. 1 of 2006, Floating Rate Note, 7/20/38 (144A) 1,200,000 $125,713
Crusade Global Trust No.2 of 2006, Floating Rate Note, 11/15/37 17,300,000 $2,269,298
Crusade Global Trust No 1 of 2007, Floating Rate Note, 4/19/38 15,883,244 $2,356,082
CSMC Series 2014-ICE, Floating Rate Note, 4/15/27 (144A) 6,470,000 $6,449,446
CSMC Trust 2014-SURF, Floating Rate Note, 2/15/29 (144A) 2,400,000 $2,395,452
CSMC Trust 2014-SURF REMICS, Floating Rate Note, 2/15/29 (144A) 2,400,000 $2,395,950
CWABS Asset-Backed Certificates Trust 2004-7, Floating Rate Note, 12/25/34 2,306,000 $1,030,773
CWABS Asset-Backed Certificates Trust 2005-1, Floating Rate Note, 2/25/33 1,113,000 $64,936
CWGS Group LLC, Term Loan, 2/20/20 392,357 $395,581
Daimler Finance North America LLC, 1.3%, 7/31/15 (144A) 5,100,000 $5,128,858
Daimler Finance North America LLC, Floating Rate Note, 3/10/17 (144A) 1,500,000 $1,503,378
Daimler Finance North America LLC, Floating Rate Note, 3/2/18 (144A) 1,275,000 $1,278,536
Daimler Finance North America LLC, Floating Rate Note, 8/1/16 (144A) 1,500,000 $1,509,634
Daimler Finance North America LLC, Floating Rate Note, 8/1/17 (144A) 2,061,000 $2,058,250
Darling Ingredients, Inc., Term B USD Loan, 12/19/20 1,574,100 $1,577,051
DaVita HealthCare Partners, Inc., Tranche B Term Loan, 6/19/21 472,669 $474,737
DCP Midstream Operating LP, 3.25%, 10/1/15 1,000,000 $1,005,355
DEALERTRACK TECHNOLOGIES INC, Term Loan, 2/27/21 954,022 $954,171
Del Coronado Trust 2013-DEL, Floating Rate Note, 3/16/26 (144A) 1,460,000 $1,459,293
Dell Equipment Finance Trust 2014-1, 0.64%, 7/22/16 (144A) 800,000 $745,402
DELOS FINANCE SARL, Loan, 2/27/21 1,295,000 $1,297,968
Delta Air Lines, Inc., 2014 Term B-1 Loan, 10/18/18 733,125 $734,385
Delta Air Lines, Inc., Term Loan, 4/20/17 293,893 $294,205
Delta Funding Home Equity Loan Trust 1997-2, 7.04%, 6/25/27 1,000,000 $704
Deltek, Inc., Term Loan (First Lien), 10/10/18 293,220 $295,328
Devon Energy Corp., Floating Rate Note, 12/15/15 4,800,000 $4,803,035
DigitalGlobe, Inc., Term Loan, 1/31/20 872,814 $875,538
Direct Capital Funding V LLC, 1.673%, 12/20/17 (144A) 725,000 $26,708
Discover Card Execution Note Trust, 0.69%, 8/15/18 3,125,000 $3,129,298
Discover Card Execution Note Trust, Floating Rate Note, 1/16/18 1,345,000 $1,345,339
Discover Card Execution Note Trust, Floating Rate Note, 10/15/18 3,915,000 $3,915,248
Discover Card Execution Note Trust, Floating Rate Note, 3/15/18 6,550,000 $6,558,430
Drillships Financing Holding, Inc., Tranche B-1 Term Loan, 3/31/21 707,622 $610,767
Drug Royalty II LP 2, Floating Rate Note, 7/15/23 (144A) 1,850,000 $1,707,288
DT Auto Owner Trust 2015-1, 1.06%, 9/17/18 (144A) 2,100,000 $1,663,006
Dtz Us Borrower Llc 1st Lien Tl L + 4.5% 28oct21 1,710,500 $1,725,467
Duke Energy Corp., Floating Rate Note, 4/3/17 1,740,000 $1,744,568
Duke Energy Indiana, Inc., Floating Rate Note, 7/11/16 2,285,000 $2,289,938
Duke Energy Progress, Inc., Floating Rate Note, 11/20/17 5,100,000 $5,085,150
Duke Energy Progress, Inc., Floating Rate Note, 3/6/17 1,275,000 $1,274,608
DynCorp International, Inc., Term Loan, 7/7/16 143,055 $142,161
Dynegy, Inc., Tranche B-2 Term Loan, 4/23/20 453,462 $456,390
East Lane Re V, Ltd., Floating Rate Note, 3/16/16 (Cat Bond) (144A) 250,000 $261,263
East Lane Re VI, Ltd., Floating Rate Note, 3/13/20 (Cat Bond) (144A) 1,450,000 $1,427,090
East Lane Re VI, Ltd., Floating Rate Note, 3/14/18 (Cat Bond) (144A) 2,000,000 $1,979,928
Eaton Vance CDO IX, Ltd., Floating Rate Note, 4/20/19 (144A) 2,500,000 $2,475,185
Eco Services Operations Llc 1st Lien Tl-B L + 3.75% 10oct21 971,197 $971,197
Eden Re II, Ltd., 0.0%, 4/19/18 (Cat Bond) (144A) 1,300,000 $1,319,500
Electricite de France SA, Floating Rate Note, 1/20/17 (144A) 1,865,000 $1,868,519
Ellington Loan Acquisition Trust 2007-1, Floating Rate Note, 5/26/37 (144A) 2,400,000 $1,783,921
Ellington Loan Acquisition Trust 2007-2, Floating Rate Note, 5/26/37 (144A) 5,000,000 $248,036
Embarcadero Reinsurance, Ltd., Floating Rate Note, 2/7/17 (Cat Bond) (144A) 1,025,000 $1,030,388
Emdeon, Inc., Term B-2 Loan, 11/2/18 1,599,857 $1,606,056
EMD Finance LLC, Floating Rate Note, 3/17/17 (144A) 2,500,000 $2,502,632
Enbridge, Inc., Floating Rate Note, 10/1/16 1,650,000 $1,654,808
Encore Credit Receivables Trust 2005-3, Floating Rate Note, 10/25/35 3,705,000 $383,921
Endo Luxembourg Finance I 1st Lien Tl-B L + 2.5% 05nov20 495,000 $496,135
Entercom Radio LLC, Term B-2 Loan, 11/23/18 342,677 $343,909
Enterprise Fleet Financing LLC, 0.72%, 4/20/18 (144A) 4,500,000 $324,140
Enterprise Fleet Financing LLC, 0.87%, 9/20/19 2,000,000 $1,589,845
Enterprise Fleet Financing LLC, 0.93%, 4/20/18 (144A) 1,800,000 $1,801,660
Enterprise Products Operating LLC, 3.2%, 2/1/16 3,355,000 $3,441,374
Envision Healthcare Corp., Initial Term Loan, 5/25/18 1,245,860 $1,250,012
Epiq Systems, Inc., Term Loan, 8/27/20 467,006 $467,006
EQTY 2014-INNS Mortgage Trust, Floating Rate Note, 5/8/31 (144A) 3,530,000 $3,496,257
EQTY 2014-INNS Mortgage Trust REMICS, Floating Rate Note, 5/8/31 (144A) 1,850,000 $1,835,983
EquiVantage Home Equity Loan Trust 1997-1, 8.05%, 3/25/28 (Step) 1,500,000 $26,835
Evergreen Skills Lux Sarl, Initial Term Loan (First Lien), 4/23/21 397,000 $392,038
Ew Scripps 1st Lien Termloan L + 2.9717% 26nov20 525,000 $527,297
Exeter Automobile Receivables Trust 2012-2, 3.06%, 7/16/18 (144A) 1,000,000 $1,004,687
Exeter Automobile Receivables Trust 2014-2, 1.06%, 8/15/18 1,400,000 $665,991
Exeter Automobile Receivables Trust 2015-1, 1.6%, 6/17/19 (144A) 1,700,000 $1,531,035
Exeter Automobile Receivables Trust 2015-2, 1.54%, 11/15/19 (144A) 2,600,000 $2,595,647
Expert Global Solutions, Inc., Term B Advance (First Lien), 4/3/18 10,555 $10,581
Extended Stay America Trust 2013-ESH, Floating Rate Note, 12/5/31 (144A) 900,000 $897,240
Extended Stay America Trust 2013-ESH, Floating Rate Note, 12/5/31 (144A) 800,000 $798,981
Exxon Mobil Corp., Floating Rate Note, 3/15/17 1,980,000 $1,980,207
Fannie Mae, 7.0%, 10/1/17 2,241,352 $5,621
Fannie Mae, Floating Rate Note, 1/1/48 175,000 $23,413
Fannie Mae, Floating Rate Note, 10/1/32 500,000 $26,980
Fannie Mae, Floating Rate Note, 11/1/23 970,000 $8,607
Fannie Mae, Floating Rate Note, 2/1/34 500,000 $23,625
Fannie Mae, Floating Rate Note, 9/1/32 375,000 $20,294
Fannie Mae Connecticut Avenue Securities, Floating Rate Note, 10/25/23 4,205,000 $3,110,124
Fannie Mae Connecticut Avenue Securities, Floating Rate Note, 5/25/24 3,560,000 $2,912,291
Fannie Mae Connecticut Avenue Securities, Floating Rate Note, 7/25/24 5,330,000 $4,294,525
Fannie Mae Trust 2003-W6, Floating Rate Note, 9/25/42 23,575,079 $1,868,426
Fannie Mae Trust 2005-W4, Floating Rate Note, 6/25/45 1,500,000 $218,087
Fannie Mae Whole Loan, Floating Rate Note, 11/25/46 12,390,000 $1,934,763
FCA US LLC, Term Loan B, 5/24/17 373,062 $374,127
FCA US LLC, Tranche B Term Loan, 12/29/18 2,871,000 $2,877,580
FCI - FIDJI LUXEMBOURG BC4 SARL, Term Loan, 12/19/20 1,317,434 $1,319,080
Federal Farm Credit Banks, 0.39%, 4/25/16 2,133,000 $2,132,552
Federal Farm Credit Banks, Floating Rate Note, 10/26/15 2,560,000 $2,560,296
Federal Farm Credit Banks, Floating Rate Note, 2/18/16 2,610,000 $2,610,050
Federal Farm Credit Banks, Floating Rate Note, 6/20/16 10,000,000 $10,014,215
Federal Farm Credit Banks, Floating Rate Note, 9/18/15 2,540,000 $2,541,097
Federal Home Loan Banks, 2.9%, 4/20/17 4,130,000 $693,957
Federal Home Loan Banks, Floating Rate Note, 10/1/15 10,000,000 $10,004,932
Federal Home Loan Banks, Floating Rate Note, 10/7/15 2,640,000 $2,641,452
Federal Home Loan Mortgage Corp., Floating Rate Note, 1/15/35 5,669,000 $719,008
Federal Home Loan Mortgage Corp., Floating Rate Note, 10/1/23 1,890,000 $7,962
Federal Home Loan Mortgage Corp., Floating Rate Note, 11/1/33 850,000 $14,894
Federal Home Loan Mortgage Corp., Floating Rate Note, 11/26/46 (144A) 3,500,000 $3,592,706
Federal Home Loan Mortgage Corp., Floating Rate Note, 3/15/32 54,102,000 $571,777
Federal Home Loan Mortgage Corp., Floating Rate Note, 6/1/35 3,000,000 $7,295
Federal Home Loan Mortgage Corp., Floating Rate Note, 6/26/15 2,000,000 $2,000,071
Federal Home Loan Mortgage Corp., Floating Rate Note, 8/15/35 50,000,000 $4,506,374
Federal Home Loan Mortgage Corp. REMICS, 3.5%, 6/15/28 5,381,000 $396,632
Federal Home Loan Mortgage Corp. REMICS, 4.0%, 1/15/24 1,801,000 $11,693
Federal Home Loan Mortgage Corp. REMICS, 4.0%, 11/15/23 95,000 $32,248
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 1/15/33 86,214,000 $1,066,903
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 1/15/36 1,837,000 $320,787
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 1/15/37 63,238,000 $3,461,660
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 10/15/20 1,400,000 $108,704
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 10/15/31 1,750,000 $102,895
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 10/15/37 9,195,000 $580,597
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 10/15/37 18,287,000 $1,189,388
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 11/15/31 20,187,077 $110,070
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 11/15/33 2,550,000 $302,345
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 11/15/35 850,000 $170,207
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 11/15/36 2,850,000 $434,728
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 11/15/36 5,342,000 $875,582
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 11/15/40 1,265,000 $522,439
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/20 1,000,000 $139,830
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/28 56,250,000 $443,528
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/32 15,400,000 $222,397
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/32 9,063,000 $622,980
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/32 2,500,000 $744
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/32 11,201,000 $767,866
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/32 1,700,000 $29,184
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/39 2,334,000 $849,278
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/41 1,000,000 $606,369
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/19 4,675,000 $251,231
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/25 2,142,856 $381,678
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/29 23,100,000 $240,977
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/30 2,056,750 $835,138
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/33 15,000,000 $384,388
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/33 49,250,000 $639,548
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/36 5,087,000 $837,475
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/36 5,000,000 $353,849
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/37 23,400,000 $1,155,603
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/39 1,251,000 $581,817
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 3/15/24 6,200,000 $1,379,814
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 3/15/32 122,751,000 $992,585
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 3/15/32 64,920,000 $676,752
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 3/15/32 22,000,000 $199,897
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 3/15/36 5,000,000 $999,516
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 3/15/39 1,000,000 $224,077
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 3/15/41 13,046,000 $2,536,201
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 4/15/35 1,775,000 $347,239
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 4/15/36 3,463,000 $616,314
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 5/15/29 15,000,000 $116,582
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 5/15/33 3,500,000 $382,683
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 5/15/35 3,925,000 $832,034
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 5/15/35 10,200,000 $556,751
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 5/15/36 7,791,000 $489,421
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 5/15/37 3,000,000 $227,440
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 5/15/37 5,000,000 $288,769
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 5/15/41 340,000 $98,237
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 6/15/23 6,500,000 $89,252
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 6/15/33 10,000,000 $500,583
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 6/15/36 52,250,000 $1,961,216
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 6/15/36 5,835,000 $509,641
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 6/15/38 4,056,000 $635,807
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 7/15/21 17,312,039 $199,921
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 7/15/23 2,924,000 $564,924
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 7/15/34 5,000,000 $564,572
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 7/15/36 1,200,000 $44,887
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 7/15/36 15,317,285 $1,055,567
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 7/15/36 5,000,000 $792,287
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 7/15/40 2,570,000 $498,334
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 8/15/26 1,330,000 $431,654
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 8/15/35 2,185,000 $402,634
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 8/15/35 5,000,000 $786,072
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 8/15/36 17,556,000 $794,750
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 9/15/26 1,427,500 $773,698
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 9/15/32 10,000,000 $209,873
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 9/15/36 3,470,000 $285,038
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 9/15/36 3,320,000 $349,603
Federal National Mortgage Association, Floating Rate Note, 12/25/33 25,758,805 $6,909,400
Federal National Mortgage Association, Floating Rate Note, 2/25/38 50,000,000 $14,037,942
Federal National Mortgage Association, Floating Rate Note, 3/25/18 30,543,000 $697,077
Federal National Mortgage Association, Floating Rate Note, 4/25/35 750,000 $130,113
Federal National Mortgage Association, Floating Rate Note, 8/26/16 6,085,000 $6,088,796
Federal National Mortgage Association REMICS, 4.5%, 1/25/39 820,000 $22,031
Federal National Mortgage Association REMICS, Floating Rate Note, 1/18/32 16,977,308 $231,313
Federal National Mortgage Association REMICS, Floating Rate Note, 1/25/32 30,000,000 $367,214
Federal National Mortgage Association REMICS, Floating Rate Note, 1/25/33 5,000,000 $149,557
Federal National Mortgage Association REMICS, Floating Rate Note, 1/25/33 13,036,000 $409,928
Federal National Mortgage Association REMICS, Floating Rate Note, 1/25/40 5,000,000 $362,057
Federal National Mortgage Association REMICS, Floating Rate Note, 10/25/35 625,000 $22,886
Federal National Mortgage Association REMICS, Floating Rate Note, 10/25/35 6,475,000 $589,473
Federal National Mortgage Association REMICS, Floating Rate Note, 10/25/36 71,456,000 $2,432,781
Federal National Mortgage Association REMICS, Floating Rate Note, 10/25/37 1,030,000 $118,318
Federal National Mortgage Association REMICS, Floating Rate Note, 10/25/37 2,400,000 $622,277
Federal National Mortgage Association REMICS, Floating Rate Note, 10/25/38 6,344,000 $610,129
Federal National Mortgage Association REMICS, Floating Rate Note, 10/27/37 2,382,000 $2,161,854
Federal National Mortgage Association REMICS, Floating Rate Note, 11/18/32 105,671,000 $1,821,436
Federal National Mortgage Association REMICS, Floating Rate Note, 11/25/31 44,000,000 $370,353
Federal National Mortgage Association REMICS, Floating Rate Note, 11/25/31 50,000,000 $420,856
Federal National Mortgage Association REMICS, Floating Rate Note, 11/25/33 10,000,000 $710,610
Federal National Mortgage Association REMICS, Floating Rate Note, 11/25/34 9,662,000 $614,370
Federal National Mortgage Association REMICS, Floating Rate Note, 11/25/36 1,625,000 $318,843
Federal National Mortgage Association REMICS, Floating Rate Note, 12/25/23 5,000,000 $324,093
Federal National Mortgage Association REMICS, Floating Rate Note, 12/25/23 13,749,086 $100,386
Federal National Mortgage Association REMICS, Floating Rate Note, 12/25/30 20,000,000 $89,465
Federal National Mortgage Association REMICS, Floating Rate Note, 12/25/31 30,500,000 $914,494
Federal National Mortgage Association REMICS, Floating Rate Note, 12/25/32 14,000,000 $371,127
Federal National Mortgage Association REMICS, Floating Rate Note, 12/25/36 4,800,000 $251,660
Federal National Mortgage Association REMICS, Floating Rate Note, 12/25/37 21,428,000 $619,400
Federal National Mortgage Association REMICS, Floating Rate Note, 12/25/38 400,000 $219,212
Federal National Mortgage Association REMICS, Floating Rate Note, 12/25/49 2,000,000 $241,365
Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/17 14,970,453 $1,736
Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/33 16,918,890 $717,460
Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/33 10,610,000 $337,893
Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/35 2,497,000 $754,692
Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/37 5,150,000 $450,986
Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/37 20,692,000 $747,643
Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/38 4,400,000 $243,811
Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/38 2,184,000 $458,953
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/23 17,080,403 $128,651
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/24 14,460,650 $517,875
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/28 24,210,000 $282,191
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/34 20,624,640 $1,240,015
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/36 700,000 $108,377
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/37 3,413,000 $439,688
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/37 39,983,000 $858,447
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/37 2,300,000 $220,651
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/45 12,700,000 $1,822,029
Federal National Mortgage Association REMICS, Floating Rate Note, 4/25/25 540,000 $78,496
Federal National Mortgage Association REMICS, Floating Rate Note, 4/25/32 35,072,000 $1,950,288
Federal National Mortgage Association REMICS, Floating Rate Note, 4/25/33 36,000,000 $976,620
Federal National Mortgage Association REMICS, Floating Rate Note, 4/25/42 642,857 $436,893
Federal National Mortgage Association REMICS, Floating Rate Note, 5/25/33 15,932,000 $382,826
Federal National Mortgage Association REMICS, Floating Rate Note, 5/25/36 13,100,000 $1,226,579
Federal National Mortgage Association REMICS, Floating Rate Note, 5/25/36 23,900,354 $633,015
Federal National Mortgage Association REMICS, Floating Rate Note, 5/25/37 32,172,000 $1,031,118
Federal National Mortgage Association REMICS, Floating Rate Note, 5/25/40 8,500,000 $1,117,069
Federal National Mortgage Association REMICS, Floating Rate Note, 5/25/40 500,000 $248,829
Federal National Mortgage Association REMICS, Floating Rate Note, 5/25/40 2,619,152 $1,007,566
Federal National Mortgage Association REMICS, Floating Rate Note, 6/25/23 3,460,000 $219,484
Federal National Mortgage Association REMICS, Floating Rate Note, 6/25/36 8,454,822 $773,428
Federal National Mortgage Association REMICS, Floating Rate Note, 6/25/37 3,590,000 $306,468
Federal National Mortgage Association REMICS, Floating Rate Note, 6/25/37 7,474,000 $854,380
Federal National Mortgage Association REMICS, Floating Rate Note, 6/25/37 900,000 $95,088
Federal National Mortgage Association REMICS, Floating Rate Note, 6/25/37 632,250 $71,901
Federal National Mortgage Association REMICS, Floating Rate Note, 7/18/27 10,000,000 $36,141
Federal National Mortgage Association REMICS, Floating Rate Note, 7/25/31 50,000,000 $286,654
Federal National Mortgage Association REMICS, Floating Rate Note, 7/25/31 48,885,770 $407,311
Federal National Mortgage Association REMICS, Floating Rate Note, 7/25/32 15,000,000 $187,550
Federal National Mortgage Association REMICS, Floating Rate Note, 7/25/34 7,443,000 $467,693
Federal National Mortgage Association REMICS, Floating Rate Note, 7/25/34 2,860,000 $149,311
Federal National Mortgage Association REMICS, Floating Rate Note, 7/25/35 23,056,000 $2,378,232
Federal National Mortgage Association REMICS, Floating Rate Note, 7/25/35 9,145,238 $1,850,211
Federal National Mortgage Association REMICS, Floating Rate Note, 7/25/36 2,000,000 $261,609
Federal National Mortgage Association REMICS, Floating Rate Note, 7/25/37 1,942,360 $263,101
Federal National Mortgage Association REMICS, Floating Rate Note, 8/25/31 17,600,000 $204,610
Federal National Mortgage Association REMICS, Floating Rate Note, 8/25/32 5,000,000 $83,220
Federal National Mortgage Association REMICS, Floating Rate Note, 8/25/32 15,000,000 $274,745
Federal National Mortgage Association REMICS, Floating Rate Note, 8/25/33 485,000 $14,612
Federal National Mortgage Association REMICS, Floating Rate Note, 8/25/36 4,450,000 $258,835
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/20 13,700,000 $20,247
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/21 8,269,375 $71,552
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/32 20,000,000 $347,223
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/32 19,400,000 $33,402
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/33 19,984,406 $1,940,256
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/36 13,053,000 $754,537
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/37 3,173,000 $369,314
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/37 7,400,000 $677,696
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/37 1,915,000 $211,626
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/37 9,159,000 $364,537
Fieldstone Mortgage Investment Trust Series 2004-5, Floating Rate Note, 2/25/35 3,600,000 $486,785
Fieldstone Mortgage Investment Trust Series 2005-1, Floating Rate Note, 3/25/35 1,457,000 $401,774
Fieldwood Energy LLC, Closing Date Loan, 9/25/18 2,661,864 $2,590,659
Fifth Third Auto Trust 2014-3, Floating Rate Note, 5/15/17 1,700,000 $1,602,987
Fifth Third Bancorp, 3.625%, 1/25/16 3,790,000 $3,904,787
Fifth Third Bancorp, Floating Rate Note, 12/20/16 1,727,000 $1,720,043
Fifth Third Bank Cincinnati Ohio, Floating Rate Note, 11/18/16 1,800,000 $1,805,872
Fifth Third Bank Cincinnati Ohio, Floating Rate Note, 2/26/16 3,330,000 $3,335,133
First Franklin Mortgage Loan Trust 2005-FFH3, Floating Rate Note, 9/25/35 4,351,000 $1,688,627
First Franklin Mortgage Loan Trust Series 2005-FF12, Floating Rate Note, 11/25/36 2,150,000 $281,554
First Horizon Mortgage Pass-Through Trust 2003-AR3, Floating Rate Note, 9/25/33 13,000,000 $836,131
First Investors Auto Owner Trust 2012-2, 1.47%, 5/15/18 (144A) 100,000 $12,084
First Investors Auto Owner Trust 2013-2, 1.23%, 3/15/19 (144A) 4,251,000 $1,505,255
First Investors Auto Owner Trust 2013-3, 0.89%, 9/15/17 (144A) 220,000 $25,700
First Investors Auto Owner Trust 2014-2, 0.86%, 8/15/18 (144A) 2,100,000 $1,624,462
First Investors Auto Owner Trust 2014-3, 1.06%, 11/15/18 (144A) 2,000,000 $1,911,080
Firstmac Mortgage Funding Trust Series 1A-2014, Floating Rate Note, 6/26/15 (144A) 2,500,000 $2,501,209
First NLC Trust 2005-2, Floating Rate Note, 9/25/35 369,713 $49,781
Flagstar Home Equity Loan Trust 2005-1, Floating Rate Note, 6/25/18 (144A) 15,500,000 $615,158
Flt% 15jun16 1,000,000 $964,900
Fly Funding II Sarl, Loan, 8/8/18 1,525,689 $1,531,093
FMG Resources August 2006 Pty, Ltd., Loan, 6/30/19 1,110,204 $1,007,356
FNA 2014-1 Trust, 1.296%, 12/10/22 (144A) 2,500,000 $1,896,396
Foothill CLO, Ltd., Floating Rate Note, 2/22/21 (144A) 2,250,000 $784,794
Ford Credit Auto Lease Trust 2014-B, Floating Rate Note, 3/15/17 2,150,000 $1,763,671
Ford Credit Auto Owner Trust 2011-B, 1.35%, 12/15/16 200,000 $24,461
Ford Credit Auto Owner Trust 2014-A, 0.48%, 11/15/16 1,827,000 $252,213
Ford Credit Auto Owner Trust 2015-A, Floating Rate Note, 1/15/18 2,500,000 $2,500,484
Ford Credit Auto Owner Trust 2015-B, Floating Rate Note, 3/15/18 (144A) 2,600,000 $2,600,151
Ford Credit Floorplan Master Owner Trust A, Floating Rate Note, 1/15/18 350,000 $350,172
Ford Credit Floorplan Master Owner Trust A, Floating Rate Note, 2/15/19 900,000 $900,532
Ford Motor Credit Co LLC, Floating Rate Note, 1/9/18 2,600,000 $2,617,068
Ford Motor Credit Co LLC, Floating Rate Note, 11/8/16 1,715,000 $1,711,439
Ford Motor Credit Co LLC, Floating Rate Note, 3/27/17 2,500,000 $2,503,974
Ford Motor Credit Co LLC, Floating Rate Note, 9/8/17 500,000 $497,775
Fore CLO, Ltd., Floating Rate Note, 7/20/19 (144A) 1,250,000 $244,317
Fore CLO, Ltd., Floating Rate Note, 7/20/19 (144A) 1,750,000 $1,732,422
Foresight Energy LLC, Term Loan, 8/21/20 221,862 $220,753
Fosse Master Issuer Plc, Floating Rate Note, 10/19/54 (144A) 1,000,000 $588,195
Four Corners CLO II, Ltd., Floating Rate Note, 1/26/20 (144A) 553,000 $535,611
Four Seasons Holdings, Inc., Term Loan (First Lien) 2013, 6/27/20 489,865 $492,008
Freddie Mac REMICS, 5.0%, 6/15/33 26,351,400 $1,316,546
Freddie Mac Strips, Floating Rate Note, 12/15/36 10,968,000 $577,068
Freddie Mac Strips, Floating Rate Note, 8/15/36 43,230,336 $1,905,333
Freddie Mac Strips, Floating Rate Note, 8/15/36 10,000,000 $440,017
Freddie Mac Structured Agency Credit Risk Debt Notes, Floating Rate Note, 10/25/24 2,480,000 $1,468,083
Freddie Mac Structured Agency Credit Risk Debt Notes, Floating Rate Note, 11/25/23 2,250,000 $1,580,329
Freddie Mac Structured Agency Credit Risk Debt Notes, Floating Rate Note, 2/25/24 1,555,000 $1,385,148
Freddie Mac Structured Agency Credit Risk Debt Notes, Floating Rate Note, 8/25/24 5,000,000 $2,387,439
Fremont Home Loan Trust 2005-B, Floating Rate Note, 4/25/35 2,750,000 $503,372
Fresenius US Finance I, Inc., Tranche B Term Loan, 8/7/19 1,477,500 $1,476,269
Gale Force 3 Clo, Ltd., Floating Rate Note, 4/19/21 (144A) 1,200,000 $643,695
Galileo Re, Ltd., Floating Rate Note, 1/9/19 (Cat Bond) (144A) 1,250,000 $1,284,229
Garda World Security Corp., Term B Delayed Draw Loan, 11/8/20 317,738 $317,738
Garda World Security Corp., Term B Loan, 11/1/20 1,242,065 $1,242,065
Gardner Denver, Inc., Initial Dollar Term Loan, 7/30/20 234,538 $229,378
Gator Re, Ltd., Floating Rate Note, 1/9/17 (Cat Bond) (144A) 2,000,000 $1,823,727
GCAT 2015-1 LLC, 3.625%, 5/26/20 (Step) (144A) 2,500,000 $2,500,000
Gci Holdings Inc 1st Lien Tl-B L + 3.75% 22dec21 660,000 $666,600
GE Business Loan Trust 2003-1, Floating Rate Note, 4/15/31 (144A) 20,374,890 $692,137
GE Business Loan Trust 2003-2 REMICS, Floating Rate Note, 11/15/31 (144A) 10,000,000 $863,844
GE Business Loan Trust 2004-2, Floating Rate Note, 12/15/32 (144A) 9,937,438 $1,203,496
GE Business Loan Trust 2005-1, Floating Rate Note, 6/15/33 (144A) 7,203,882 $2,928,215
GE Business Loan Trust 2006-2, Floating Rate Note, 11/15/34 (144A) 8,767,382 $2,911,162
GE Business Loan Trust 2007-1, Floating Rate Note, 4/16/35 (144A) 5,387,273 $2,036,635
GE Capital Commercial Mortgage Corp., Floating Rate Note, 7/10/45 1,700,000 $399,527
GE Dealer Floorplan Master Note Trust, Floating Rate Note, 10/20/17 888,000 $888,203
GE Dealer Floorplan Master Note Trust, Floating Rate Note, 10/20/19 2,700,000 $2,697,241
GE Dealer Floorplan Master Note Trust, Floating Rate Note, 4/20/18 1,190,000 $1,189,654
GE Dealer Floorplan Master Note Trust, Floating Rate Note, 6/20/17 500,000 $500,207
GE Dealer Floorplan Master Note Trust, Floating Rate Note, 6/20/17 2,000,000 $2,000,570
GE Dealer Floorplan Master Note Trust, Floating Rate Note, 7/22/19 2,670,000 $2,660,627
GE Equipment Small Ticket LLC Series 2014-1, 0.59%, 8/24/16 1,900,000 $1,356,428
GE Equipment Transportation LLC Series 2013-2, 0.61%, 6/24/16 1,520,000 $248,793
General Electric Capital Corp., 1.625%, 7/2/15 1,000,000 $1,007,785
General Electric Capital Corp., Floating Rate Note, 1/14/16 1,865,000 $1,868,864
General Electric Capital Corp., Floating Rate Note, 1/8/16 3,300,000 $3,315,669
General Electric Capital Corp., Floating Rate Note, 5/11/16 1,000,000 $1,002,464
General Electric Capital Corp., Floating Rate Note, 5/15/17 2,000,000 $2,006,426
General Electric Capital Corp., Floating Rate Note, 7/10/15 690,000 $690,849
General Electric Capital Corp., Floating Rate Note, 7/12/16 1,001,000 $1,009,343
General Electric Capital Corp., Floating Rate Note, 7/2/15 2,793,000 $2,801,121
General Electric Capital Corp., Floating Rate Note, 8/1/17 500,000 $508,305
General Mills, Inc., Floating Rate Note, 1/28/16 1,895,000 $1,894,452
General Mills, Inc., Floating Rate Note, 1/29/16 1,765,000 $1,765,931
General Motors Financial Co, Inc., Floating Rate Note, 4/10/18 2,500,000 $2,520,279
Genpact International, Inc., Term Loan, 8/30/19 977,588 $980,520
Georgia Power Co., Floating Rate Note, 3/15/16 1,090,000 $1,090,982
Georgia Power Co., Floating Rate Note, 8/15/16 1,000,000 $999,221
Getty Images, Inc., Initial Term Loan, 10/18/19 0 $0
GLC Trust 2013-1, 3.0%, 7/15/21 (144A) 3,200,000 $2,059,490
Glencore Funding LLC, Floating Rate Note, 4/16/18 (144A) 2,500,000 $2,502,666
Glencore Funding LLC, Floating Rate Note, 5/27/16 (144A) 1,800,000 $1,805,401
Glenn Pool Oil & Gas Trust, Term Loan, 5/2/16 16,976 $16,933
Global Container Assets 2013-1, Ltd., 2.2%, 11/6/28 (144A) 1,750,000 $889,158
Global Mortgage Securitization, Ltd., 5.25%, 4/25/32 2,691,322 $725,450
Global Mortgage Securitization, Ltd., Floating Rate Note, 11/25/32 (144A) 8,780,000 $417,487
Global Mortgage Securitization, Ltd., Floating Rate Note, 4/25/32 29,975,000 $2,343,052
GMAC Commercial Mortgage Securities Inc Series 2004-C2 Trust, Floating Rate Note, 8/10/38 5,341,000 $36,417
GMAC Commercial Mortgage Securities Inc Series 2006-C1 Trust, Floating Rate Note, 11/10/45 8,250,000 $5,092,875
GMAT 2013-1 Trust, 3.9669%, 8/25/53 (Step) 5,300,000 $3,378,074
GMF Floorplan Owner Revolving Trust, Floating Rate Note, 5/15/20 (144A) 1,300,000 $1,300,262
Golden Credit Card Trust, Floating Rate Note, 2/15/18 (144A) 4,300,000 $4,297,646
Golden Credit Card Trust, Floating Rate Note, 9/15/18 (144A) 715,000 $715,935
Golden State RE II, Ltd., Floating Rate Note, 1/8/19 (Cat Bond) (144A) 2,650,000 $2,649,146
Government National Mortgage Association, 4.0%, 7/20/34 31,635,000 $788,571
Government National Mortgage Association, Floating Rate Note, 1/16/33 26,309,521 $848,856
Government National Mortgage Association, Floating Rate Note, 1/16/35 11,437,000 $1,131,766
Government National Mortgage Association, Floating Rate Note, 10/16/39 2,500,000 $337,695
Government National Mortgage Association, Floating Rate Note, 10/20/38 3,000,000 $844,041
Government National Mortgage Association, Floating Rate Note, 2/20/35 8,941,000 $1,093,978
Government National Mortgage Association, Floating Rate Note, 4/16/29 50,000,000 $513,944
Government National Mortgage Association, Floating Rate Note, 4/16/32 13,425,000 $231,386
Government National Mortgage Association, Floating Rate Note, 5/16/38 8,761,000 $516,456
Government National Mortgage Association, Floating Rate Note, 6/16/31 14,000,000 $224,512
Government National Mortgage Association, Floating Rate Note, 8/16/39 2,960,000 $467,926
Government National Mortgage Association, Floating Rate Note, 8/20/35 3,497,364 $153,988
Government National Mortgage Association, Floating Rate Note, 8/20/38 4,585,000 $407,305
Government National Mortgage Association, Floating Rate Note, 9/16/31 34,344,532 $630,328
Government National Mortgage Association II, Floating Rate Note, 1/20/22 1,000,000 $11,595
GP Portfolio Trust 2014-GGP, Floating Rate Note, 2/16/27 (144A) 3,350,000 $3,352,074
Gracechurch Card Funding Plc, Floating Rate Note, 5/15/19 (144A) 1,300,000 $1,309,739
Gracechurch Card Funding Plc, Floating Rate Note, 6/15/17 (144A) 2,200,000 $2,201,157
Gray Television Inc. 1st Lien Tl L + 3% 10jun21 1,002,368 $1,005,605
GreenPoint Mortgage Funding Trust 2005-HE1, Floating Rate Note, 9/25/34 1,357,437 $116,311
GRIFOLS WORLDWIDE OPERATIONS USA INC, U.S. Tranche B Term Loam, 4/1/21 519,750 $521,758
GSAA Home Equity Trust 2004-11, Floating Rate Note, 12/25/34 5,735,000 $297,538
GSAA Home Equity Trust 2004-6, Floating Rate Note, 6/25/34 52,357,062 $1,204,310
GSAA Home Equity Trust 2004-8, Floating Rate Note, 9/25/34 7,860,000 $249,589
GSAA Home Equity Trust 2005-11, Floating Rate Note, 10/25/35 4,339,000 $71,545
GSAA Trust, Floating Rate Note, 6/25/35 6,300,000 $1,306,694
GSAMP Trust 2004-SEA2, Floating Rate Note, 3/25/34 4,798,600 $2,597,916
GSAMP Trust 2005-HE1, Floating Rate Note, 12/25/34 5,414,212 $399,844
GSAMP Trust 2005-HE6, Floating Rate Note, 11/25/35 220,000 $116,021
GSAMP Trust 2006-HE1, Floating Rate Note, 12/26/45 7,000,000 $1,020,355
GSAMP Trust 2006-SD1, Floating Rate Note, 7/25/45 9,948,000 $286,248
GSAMP Trust 2006-SEA1, Floating Rate Note, 5/25/36 (144A) 25,142,877 $1,529,887
GS Mortgage Securities Trust 2006-GG6 REMICS, Floating Rate Note, 4/10/38 3,550,000 $3,595,501
GS Mortgage Securities Trust 2014-GSFL, Floating Rate Note, 7/15/31 (144A) 2,000,000 $2,005,442
GSR Mortgage Loan Trust 2003-9, Floating Rate Note, 8/25/33 1,500,000 $91,911
GSRPM Mortgage Loan Trust 2003-2, Floating Rate Note, 6/25/33 1,826,298 $966,122
GSRPM Mortgage Loan Trust 2006-1, Floating Rate Note, 3/25/35 (144A) 7,593,737 $983,330
GSRPM Mortgage Loan Trust 2006-2, Floating Rate Note, 9/25/36 (144A) 5,483,897 $664,457
Hanesbrands Inc Us 1st Lien Tl-B L + 2.5% 15apr22 500,000 $503,125
HarborView Mortgage Loan Trust 2004-1, Floating Rate Note, 4/19/34 16,013,000 $689,418
HarborView Mortgage Loan Trust 2004-4, Floating Rate Note, 6/19/34 25,700,000 $244,189
Harch CLO III, Ltd., Floating Rate Note, 4/17/20 (144A) 500,000 $489,906
Harley-Davidson Financial Services, Inc., 1.15%, 9/15/15 (144A) 4,100,000 $4,116,982
Harley-Davidson Motorcycle Trust 2011-1, 2.12%, 8/15/17 190,000 $190,755
Harley-Davidson Motorcycle Trust 2012-1, 0.68%, 4/17/17 2,700,000 $236,433
Harris County Health Facilities Development Corp., Floating Rate Note, 12/1/41 1,590,000 $1,590,124
Harris County Health Facilities Development Corp., Floating Rate Note, 12/1/41 10,685,000 $10,685,831
Hertz Fleet Lease Funding LP, Floating Rate Note, 12/10/27 (144A) 500,000 $501,018
Hertz Fleet Lease Funding LP, Floating Rate Note, 12/10/27 (144A) 1,000,000 $761,090
Hertz Fleet Lease Funding LP, Floating Rate Note, 4/10/28 (144A) 1,100,000 $1,049,877
Hewett's Island CDO, Ltd., Floating Rate Note, 6/9/19 (144A) 1,000,000 $1,005,796
Hilton USA Trust 2013-HLF, Floating Rate Note, 11/5/30 (144A) 2,475,000 $2,441,873
Hilton Worldwide Finance LLC, Initial Term Loan, 9/23/20 927,632 $930,273
HJ Heinz Co., Term B-2 Loan, 6/5/20 1,048,202 $1,049,903
HLSS Servicer Advance Receivables Trust, 1.4953%, 1/16/46 (144A) 5,600,000 $5,597,889
HomeBanc Mortgage Trust 2005-2, Floating Rate Note, 5/25/25 45,670,847 $955,559
Home Equity Asset Trust 2005-6, Floating Rate Note, 12/25/35 4,004,000 $2,877,085
Home Equity Asset Trust 2005-7, Floating Rate Note, 1/25/36 7,770,000 $3,672,233
Home Equity Asset Trust 2006-4, Floating Rate Note, 8/25/36 1,250,000 $272,975
Home Equity Asset Trust 2006-8, Floating Rate Note, 3/25/37 6,984,978 $1,548,271
Homestar Mortgage Acceptance Corp., Floating Rate Note, 1/25/35 11,300,000 $819,663
Homestar Mortgage Acceptance Corp., Floating Rate Note, 3/25/34 76,711,000 $4,178,623
Homestar Mortgage Acceptance Corp., Floating Rate Note, 6/25/34 11,977,997 $901,818
Homestar Mortgage Acceptance Corp., Floating Rate Note, 7/25/34 22,310,000 $1,746,743
Honda Auto Receivables 2012-4 Owner Trust, 0.52%, 8/18/16 5,000,000 $1,225,673
Honda Auto Receivables 2013-1 Owner Trust, 0.48%, 11/21/16 390,000 $148,999
Honda Auto Receivables 2013-2 Owner Trust, 0.53%, 2/16/17 959,000 $605,778
Honda Auto Receivables 2014-1 Owner Trust, 0.41%, 9/21/16 2,715,000 $1,255,858
Horizon Funding Trust 2013-1, 3.0%, 5/15/18 (144A) 2,777,000 $792,281
HSBC Bank Middle East, Ltd., 3.0%, 10/21/15 1,000,000 $1,009,450
HSBC Bank Plc, 3.5%, 6/28/15 (144A) 2,500,000 $2,543,167
HSBC Home Equity Loan Trust USA 2006-3, Floating Rate Note, 3/20/36 8,638,000 $5,796,411
HSBC Home Equity Loan Trust USA 2006-4, Floating Rate Note, 3/20/36 1,061,000 $662,126
HSBC Home Equity Loan Trust USA 2007-3, Floating Rate Note, 11/20/36 100,000 $22,953
HSBC Home Equity Loan Trust USA 2007-3, Floating Rate Note, 11/20/36 14,250,000 $2,899,737
HSI Asset Securitization Corp Trust 2006-OPT1, Floating Rate Note, 12/25/35 1,719,377 $468,046
Huntsman International LLC, 2014-1 Incremental Term Loan, 9/30/21 0 $0
Hyatt Hotel Portfolio Trust 2015-HYT, Floating Rate Note, 11/15/29 (144A) 1,800,000 $1,804,341
Hyundai Auto Receivables Trust 2012-A, 0.95%, 12/15/16 3,878,000 $1,411,842
Hyundai Auto Receivables Trust 2014-B, 0.44%, 2/15/17 99,000 $50,712
Hyundai Capital Services, Inc., Floating Rate Note, 3/18/17 (144A) 1,950,000 $1,961,460
IASIS Healthcare LLC, Term B-2 Loan, 5/3/18 486,275 $488,646
Ibis Re II, Ltd., Floating Rate Note, 6/28/16 (144A) 1,000,000 $1,001,913
Ibis Re II, Ltd., Floating Rate Note, 6/28/16 (Cat Bond) (144A) 2,500,000 $2,506,806
Igloo Holdings Corp., 8.25%, 12/15/17 (144A) (PIK) 1,250,000 $1,316,016
Immucor, Inc., Term B-2 Loan, 8/19/18 0 $0
Impac CMB Trust Series 2003-8, Floating Rate Note, 10/25/33 8,000,000 $467,649
Impac CMB Trust Series 2004-4, Floating Rate Note, 9/25/34 49,152,075 $1,965,564
Impac CMB Trust Series 2004-4, Floating Rate Note, 9/25/34 42,840,193 $1,713,674
Impac CMB Trust Series 2004-5, Floating Rate Note, 8/25/34 9,850,000 $562,992
Impac CMB Trust Series 2004-6, Floating Rate Note, 10/25/34 9,071,000 $436,088
Impac CMB Trust Series 2004-8, Floating Rate Note, 8/25/34 14,550,000 $1,556,587
Impac CMB Trust Series 2004-8, Floating Rate Note, 8/25/34 2,122,000 $226,087
Impac Secured Assets CMN Owner Trust, Floating Rate Note, 11/25/34 30,931,007 $690,520
Impac Secured Assets CMN Owner Trust, Floating Rate Note, 2/25/35 17,437,000 $4,340,468
Impac Secured Assets Trust 2006-1, Floating Rate Note, 5/25/36 6,586,000 $2,045,882
Impac Secured Assets Trust 2006-2, Floating Rate Note, 8/25/36 4,987,000 $920,539
Impac Secured Assets Trust 2006-5, Floating Rate Note, 12/25/36 3,800,000 $752,190
Intelsat Jackson Holdings SA, Tranche B-2 Term Loan, 6/30/19 521,732 $520,624
inVentiv Health, Inc., Term B-3 Loan, 5/15/18 66,145 $66,201
Invitation Homes 2013-SFR1 Trust, Floating Rate Note, 12/19/30 (144A) 1,800,000 $1,804,735
Invitation Homes 2014-SFR2 Trust, Floating Rate Note, 9/18/31 (144A) 2,100,000 $2,107,410
Invitation Homes 2014-SFR3 Trust, Floating Rate Note, 12/17/31 (144A) 2,000,000 $2,001,877
Invitation Homes 2015-SFR2 Trust, Floating Rate Note, 6/17/32 (144A) 2,550,000 $2,560,460
Inwood Park CDO, Ltd., Floating Rate Note, 1/20/21 (144A) 3,500,000 $838,108
Irwin Home Equity Loan Trust 2005-1, Floating Rate Note, 6/25/25 18,060,000 $3,465,004
Irwin Whole Loan Home Equity Trust 2003-C, Floating Rate Note, 6/25/28 7,545,000 $1,496,275
Irwin Whole Loan Home Equity Trust 2005-B, Floating Rate Note, 12/25/29 6,125,000 $2,938,481
IXIS Real Estate Capital Trust 2005-HE1, Floating Rate Note, 6/25/35 1,500,000 $674,544
IXIS Real Estate Capital Trust 2005-HE4, Floating Rate Note, 2/25/36 3,493,986 $476,372
Jackson National Life Global Funding, Floating Rate Note, 7/29/16 (144A) 5,100,000 $5,106,179
Jackson National Life Global Funding, Floating Rate Note, 9/30/15 (144A) 3,300,000 $3,306,378
JBS USA LLC, Initial Term Loan, 5/25/18 874,626 $875,151
JLL, Initial Dollar Term Loan, 1/23/21 302,713 $302,388
JMC Steel Group, Inc., Term Loan, 4/1/17 356,618 $356,470
John Deere Capital Corp., Floating Rate Note, 10/11/16 1,500,000 $1,504,503
John Deere Capital Corp., Floating Rate Note, 12/10/15 1,800,000 $1,802,657
JOHN DEERE CAPITAL Corp., Floating Rate Note, 2/25/16 2,883,000 $2,884,764
JPMorgan Chase & Co., 1.1%, 10/15/15 1,528,000 $1,531,646
JPMorgan Chase & Co., 3.4%, 6/24/15 1,325,000 $1,346,708
JPMorgan Chase & Co., Floating Rate Note, 10/15/15 2,000,000 $2,005,800
JPMorgan Chase & Co., Floating Rate Note, 2/15/17 2,000,000 $2,004,540
JPMorgan Chase & Co., Floating Rate Note, 2/26/16 1,800,000 $1,804,277
JPMorgan Chase & Co., Floating Rate Note, 3/1/18 2,500,000 $2,497,290
JP Morgan Chase Commercial Mortgage Securities Trust 2002-CIBC4, Floating Rate Note, 5/12/34 257,000 $131,238
JP Morgan Chase Commercial Mortgage Securities Trust 2004-LN2, Floating Rate Note, 7/15/41 2,030,626 $223,808
JP Morgan Chase Commercial Mortgage Securities Trust 2005-LDP2, 4.78%, 7/15/42 3,770,000 $1,571,297
JP Morgan Chase Commercial Mortgage Securities Trust 2005-LDP3, Floating Rate Note, 8/15/42 2,670,000 $2,687,006
JP Morgan Chase Commercial Mortgage Securities Trust 2005-LDP3 REMICS, Floating Rate Note, 8/15/42 8,585,000 $2,735,402
JP Morgan Chase Commercial Mortgage Securities Trust 2005-LDP4, Floating Rate Note, 10/15/42 3,950,000 $3,987,770
JP Morgan Chase Commercial Mortgage Securities Trust 2005-LDP5, Floating Rate Note, 12/15/44 8,709,924 $5,792,502
JP Morgan Chase Commercial Mortgage Securities Trust 2006-FL2, Floating Rate Note, 11/15/18 (144A) 8,570,000 $1,610,880
JP Morgan Chase Commercial Mortgage Securities Trust 2006-FL2, Floating Rate Note, 11/15/18 (144A) 500,000 $161,474
JP Morgan Chase Commercial Mortgage Securities Trust 2006-LDP6, Floating Rate Note, 4/15/43 3,512,000 $3,613,581
JP Morgan Chase Commercial Mortgage Securities Trust 2006-LDP9, Floating Rate Note, 5/15/47 200,000 $73,092
JP Morgan Chase Commercial Mortgage Securities Trust 2007-CIBC19, Floating Rate Note, 2/12/49 475,000 $4,931
JP Morgan Chase Commercial Mortgage Securities Trust 2014-BXH, Floating Rate Note, 4/15/27 (144A) 5,600,000 $5,600,516
JP Morgan Chase Commercial Mortgage Securities Trust 2014-CBM, Floating Rate Note, 10/15/29 (144A) 4,280,000 $4,282,827
JP Morgan Chase Commercial Mortgage Securities Trust 2014-FBLU, Floating Rate Note, 12/15/28 (144A) 2,910,000 $2,915,372
JP Morgan Chase Commercial Mortgage Securities Trust 2014-FBLU REMICS, Floating Rate Note, 12/15/28 3,510,000 $3,514,786
JP Morgan Chase Commercial Mortgage Securities Trust 2014-FL4, Floating Rate Note, 12/16/30 (144A) 1,500,000 $1,502,220
JP Morgan Chase Commercial Mortgage Securities Trust 2014-FL5 REMICS, Floating Rate Note, 7/15/31 (1 2,500,000 $2,492,413
JP Morgan Chase Commercial Mortgage Securities Trust 2014-FL6, Floating Rate Note, 11/17/31 (144A) 4,240,000 $4,239,403
JP Morgan Chase Commercial Mortgage Securities Trust 2014-INN, Floating Rate Note, 6/15/29 (144A) 3,750,000 $3,742,642
JP Morgan Chase Commercial Mortgage Securities Trust 2014-INN, Floating Rate Note, 6/15/29 (144A) 3,500,000 $3,488,505
JP Morgan Chase Commercial Mortgage Securities Trust 2014-PHH, Floating Rate Note, 8/16/27 (144A) 3,770,000 $3,768,860
JP Morgan Chase Commercial Mortgage Securities Trust 2015-COSMO, Floating Rate Note, 1/15/32 (144A) 4,000,000 $4,013,971
JP Morgan Mortgage Acquisition Corp 2005-FLD1, Floating Rate Note, 7/25/35 2,575,000 $2,543,658
JP Morgan Mortgage Acquisition Corp 2005-FRE1, Floating Rate Note, 10/25/35 19,316,000 $1,001,714
JP Morgan Mortgage Acquisition Trust 2006-ACC1, Floating Rate Note, 5/25/36 3,004,334 $709,606
Kane Flt% 12jun15 2,000,000 $1,998,600
Kane Flt% 14jul15 1,528,080 $1,516,925
Kane Ilw Zero% 02feb16 750,000 $711,675
Kane Sac, Ltd., 0.0%, 1/7/16 (Cat Bond) 2,375,100 $2,391,251
Kane Sac, Ltd., 0.0%, 1/7/16 (Cat Bond) 1,111,667 $1,116,892
Kane Sac, Ltd., 0.0%, 1/7/16 (Cat Bond) 1,147,083 $1,150,983
Kane Sac, Ltd., 0.0%, 1/7/16 (Cat Bond) 420,500 $423,486
Kane Zero% 29apr16 2,600,000 $2,711,280
KeyBank NA Cleveland Ohio, Floating Rate Note, 11/25/16 4,500,000 $4,507,888
KeyBank NA Cleveland Ohio, Floating Rate Note, 6/1/18 2,500,000 $2,496,248
KeyCorp, 3.75%, 8/13/15 5,350,000 $5,441,698
KeyCorp Student Loan Trust 2004-A, Floating Rate Note, 10/28/41 500,000 $79,270
Kilimanjaro Re, Ltd., Floating Rate Note, 11/25/19 (Cat Bond) (144A) 2,350,000 $2,337,408
Kilimanjaro Re, Ltd., Floating Rate Note, 4/30/18 (Cat Bond) (144A) 1,000,000 $1,005,375
Kilimanjaro Re, Ltd., Floating Rate Note, 4/30/18 (Cat Bond) (144A) 2,300,000 $2,307,555
Kinetic Concepts, Inc., Dollar Term E-1 Loan, 5/4/18 585,306 $590,306
Kizuna Re II, Ltd., Floating Rate Note, 4/6/18 (Cat Bond) (144A) 1,800,000 $1,808,258
KKR Financial CLO 2007-1, Ltd., Floating Rate Note, 5/15/21 (144A) 1,250,000 $1,237,685
Kloeckner Pentaplast Of America 1st Lien Tl L + 4% 22apr20 158,462 $159,428
Kloeckner Pentaplast Of America 1st Lien Tl L + 4% 22apr20 67,719 $68,132
Kubota Credit Owner Trust 2014-1, 0.58%, 2/15/17 800,000 $544,660
Lanark Master Issuer Plc, Floating Rate Note, 12/22/54 (144A) 5,635,000 $4,163,215
Lanark Master Issuer Plc, Floating Rate Note, 12/22/54 (144A) 1,250,000 $1,133,308
Landry's, Inc., B Term Loan, 4/24/18 379,853 $381,871
Language Line LLC, Tranche B Term Loan, 6/20/16 829,201 $829,374
LB-UBS Commercial Mortgage Trust 2004-C1, 4.568%, 1/15/31 1,000,000 $106,785
LB-UBS Commercial Mortgage Trust 2005-C7 REMICS, Floating Rate Note, 11/15/30 8,161,979 $203,629
LB-UBS Commercial Mortgage Trust 2006-C1 REMICS, 5.156%, 2/15/31 5,465,000 $4,724,451
Lehman ABS Manufactured Housing Contract Trust 2002-A, Floating Rate Note, 6/15/33 3,950,000 $151,528
Lehman Brothers Small Balance Commercial, Floating Rate Note, 2/25/30 (144A) 13,978,771 $1,769,985
Lehman Brothers Small Balance Commercial, Floating Rate Note, 4/25/31 (144A) 6,464,393 $990,597
Lehman Brothers Small Balance Commercial, Floating Rate Note, 4/25/31 (144A) 17,333,137 $2,031,693
Lehman Brothers Small Balance Commercial, Floating Rate Note, 9/25/30 (144A) 10,731,472 $1,630,787
Lehman Brothers Small Balance Commercial Mortgage Trust 2007-3, Floating Rate Note, 10/25/37 (144A) 2,211,066 $1,376,700
Lehman Brothers Small Balance Commercial Mortgage Trust 2007-3, Floating Rate Note, 10/25/37 (144A) 4,405,200 $930,726
Lehman XS Trust Series 2005-2, Floating Rate Note, 8/25/35 42,014,000 $2,504,360
Level 3 Financing Inc 1st Lien Tl-B2 L + 2.75% 31may22 1,000,000 $997,750
LG&E and KU Energy LLC, 2.125%, 11/15/15 2,500,000 $2,514,564
Live Nation Entertainment, Inc., Term B-1 Loan, 8/17/20 766,330 $768,080
Livingston International, Inc., Initial Term B-1 Loan (First Lien), 4/18/19 491,250 $488,487
Lloyds Bank Plc, Floating Rate Note, 5/14/18 2,500,000 $2,504,494
Lockwood Grove CLO, Ltd., Floating Rate Note, 1/25/24 (144A) 2,500,000 $2,513,738
Longpoint Re, Ltd., Floating Rate Note, 6/12/15 (Cat Bond) (144A) 3,550,000 $3,597,570
Longpoint Re, Ltd. III, Floating Rate Note, 5/18/16 (Cat Bond) (144A) 1,910,000 $1,936,180
Longpoint Re, Ltd. III, Floating Rate Note, 5/24/21 (Cat Bond) (144A) 750,000 $747,825
Louisiana Public Facilities Authority, Floating Rate Note, 4/26/27 1,250,000 $954,966
LSTAR Securities Investment Trust 2015-5, Floating Rate Note, 4/1/20 (144A) 5,000,000 $4,908,149
Madison Avenue Manufactured Housing Contract Trust 2002-A, Floating Rate Note, 3/25/32 1,000,000 $186,000
MALLINCKRODT INTERNATIONAL FINANCE SA, Initial Term B Loan, 3/6/21 965,250 $965,778
Manufactured Housing Contract Trust Pass-Through Certificates Series 2001-1, Floating Rate Note, 4/2 9,286,000 $794,708
Manufacturers & Traders Trust Co., Floating Rate Note, 1/30/17 2,710,000 $2,711,540
Manufacturers & Traders Trust Co., Floating Rate Note, 7/25/17 2,400,000 $2,390,892
Marathon Oil Corp., 0.9%, 11/1/15 6,604,000 $6,606,648
MassMutual Global Funding II, 3.125%, 4/14/16 (144A) 2,060,000 $2,114,271
MassMutual Global Funding II, Floating Rate Note, 12/11/15 (144A) 3,290,000 $3,294,310
Master Credit Card Trust II, Floating Rate Note, 1/22/18 (144A) 1,825,000 $1,827,100
MASTR Adjustable Rate Mortgages Trust 2003-3, Floating Rate Note, 9/25/33 2,650,000 $714,024
MASTR Adjustable Rate Mortgages Trust 2004-11, Floating Rate Note, 11/25/34 5,400,000 $1,416,329
MASTR Alternative Loan Trust 2005-1, Floating Rate Note, 2/25/35 21,274,000 $1,524,442
Mastr Asset Backed Securities Trust 2006-AB1 REMICS, Floating Rate Note, 2/25/36 12,307,204 $1,864,473
Mastr Asset Backed Securities Trust 2006-NC1, Floating Rate Note, 1/25/36 23,055,603 $2,038,026
MASTR Asset Securitization Trust 2003-6, Floating Rate Note, 7/25/18 7,302,000 $171,670
Mastr Specialized Loan Trust, Floating Rate Note, 1/25/36 (144A) 51,217,354 $3,751,283
MCC Iowa LLC, Tranche G Term Loan, 1/20/20 731,250 $733,992
Mcdermott International Inc 1st Lien Tl-B L + 4.25% 11apr19 496,250 $488,806
McKesson Corp., 3.25%, 3/1/16 2,500,000 $2,564,437
McKesson Corp., Floating Rate Note, 9/10/15 6,580,000 $6,591,379
Medco Health Solutions, Inc., 2.75%, 9/15/15 5,000,000 $5,057,946
Mediacom Illinois LLC, Tranche F Term Loan, 3/31/18 1,386,000 $1,384,845
Medtronic, Inc., 4.75%, 9/15/15 5,040,000 $5,154,422
Mercedes Benz Auto Lease Trust 2014-A, Floating Rate Note, 6/15/16 1,900,000 $827,654
Merck & Co, Inc., Floating Rate Note, 2/10/17 2,500,000 $2,502,461
Merck & Co, Inc., Floating Rate Note, 5/18/16 500,000 $500,819
Merna Reinsurance, Ltd., Floating Rate Note, 4/9/18 (Cat Bond) (144A) 1,000,000 $996,600
Merna Re V, Ltd., Floating Rate Note, 4/7/17 (Cat Bond) (144A) 2,000,000 $1,996,867
Merrill Lynch Mortgage Investors Trust Series 2005-2, Floating Rate Note, 10/25/35 2,600,000 $593,387
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-A, Floating Rate Note, 3/25/28 48,813,000 $1,480,307
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-B, Floating Rate Note, 4/25/28 32,661,000 $1,402,286
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-C, Floating Rate Note, 6/25/28 44,308,430 $1,428,896
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-C REMICS, Floating Rate Note, 6/25/28 42,262,000 $1,849,958
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-E, Floating Rate Note, 10/25/28 38,289,000 $1,655,918
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-G, Floating Rate Note, 1/25/29 16,556,000 $231,590
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-H, Floating Rate Note, 1/25/29 25,646,400 $1,307,621
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-A REMICS, Floating Rate Note, 4/25/29 36,167,206 $1,781,178
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-B, Floating Rate Note, 5/25/29 12,160,000 $412,022
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-C, Floating Rate Note, 7/25/29 3,866,000 $115,495
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-C, Floating Rate Note, 7/25/29 41,778,000 $1,830,601
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-D, Floating Rate Note, 9/25/29 11,000,000 $706,199
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-E, Floating Rate Note, 11/25/29 40,000,000 $2,034,141
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-G, Floating Rate Note, 1/25/30 64,515,401 $2,524,265
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-G, Floating Rate Note, 1/25/30 16,401,000 $979,545
Merrill Lynch Mortgage Investors Trust Series MLCC 2005-A, Floating Rate Note, 3/25/30 40,482,746 $2,241,469
Merrill Lynch Mortgage Trust 2005-CIP1, Floating Rate Note, 7/12/38 2,170,000 $274,930
Merrill Lynch Mortgage Trust 2005-CKI1, Floating Rate Note, 11/12/37 7,925,000 $3,951,189
Merrill Lynch Mortgage Trust 2005-LC1, Floating Rate Note, 1/12/44 6,177,508 $5,336,265
MetroCat Re, Ltd., Floating Rate Note, 8/5/16 (Cat Bond) (144A) 1,250,000 $1,264,906
Metropolitan Life Global Funding I, 3.125%, 1/11/16 (144A) 690,000 $709,832
Metropolitan Life Global Funding I, Floating Rate Note, 7/15/16 (144A) 1,500,000 $1,508,839
MGM Resorts International, Term B Loan, 12/20/19 1,221,875 $1,222,639
Michaels Stores, Inc., Term B Loan, 1/28/20 980,000 $983,063
Micro Focus Us Inc 1st Lien Tl-B L + 4.25% 07oct21 205,882 $206,728
Microsemi Corp., Term Loan (2014), 3/14/21 116,543 $116,859
Milacron Llc 1st Lien Tl-B L + 3.5% 28sep20 686,070 $690,358
Mirror BidCo Corp., New Incremental Term Loan, 12/18/19 1,003,913 $1,005,167
Mississippi Business Finance Corp., Floating Rate Note, 12/1/30 2,950,000 $2,950,265
Mizuho Bank, Ltd., Floating Rate Note, 3/26/18 (144A) 1,670,000 $1,672,683
Mizuho Bank, Ltd., Floating Rate Note, 4/16/17 (144A) 1,000,000 $998,206
MMCA Auto Owner Trust 2012-A, 3.27%, 7/16/18 (144A) 1,150,000 $1,162,705
Monitronics International, Inc., Term B Loan (2013), 3/23/18 90,966 $91,250
Morgan Stanley, 1.75%, 2/25/16 1,300,000 $1,313,842
Morgan Stanley, Floating Rate Note, 1/5/18 2,700,000 $2,715,207
Morgan Stanley, Floating Rate Note, 10/15/15 318,000 $318,626
Morgan Stanley, Floating Rate Note, 2/25/16 4,350,000 $4,380,990
Morgan Stanley, Floating Rate Note, 8/30/15 685,000 $693,841
Morgan Stanley ABS Capital I Inc Trust 2004-SD3, Floating Rate Note, 6/25/34 (144A) 41,830,000 $1,291,118
Morgan Stanley ABS Capital I Inc Trust 2005-HE3, Floating Rate Note, 7/25/35 95,000 $26,698
Morgan Stanley ABS Capital I Inc Trust 2005-HE6, Floating Rate Note, 11/25/35 960,000 $297,008
Morgan Stanley ABS Capital I Inc Trust 2005-NC2, Floating Rate Note, 3/25/35 2,854,027 $1,620,016
Morgan Stanley ABS Capital I Inc Trust 2005-WMC3, Floating Rate Note, 3/25/35 131,174 $60,249
Morgan Stanley Capital I Trust 2005-HQ6 REMICS, Floating Rate Note, 8/13/42 2,900,000 $318,687
Morgan Stanley Capital I Trust 2005-IQ10, Floating Rate Note, 9/15/42 2,910,000 $401,620
Morgan Stanley Capital I Trust 2005-TOP19, 4.89%, 6/12/47 6,690,000 $539,002
Morgan Stanley Capital I Trust 2006-HQ9, Floating Rate Note, 7/12/44 3,200,000 $3,351,711
Morgan Stanley Capital I Trust 2006-TOP21, Floating Rate Note, 10/12/52 1,960,000 $1,982,213
Morgan Stanley Capital I Trust 2006-TOP23, Floating Rate Note, 8/12/41 2,450,000 $2,292,065
Morgan Stanley Capital I Trust 2015-XLF1, Floating Rate Note, 8/14/31 (144A) 3,860,000 $3,871,160
Morgan Stanley Mortgage Loan Trust 2005-5AR, Floating Rate Note, 9/25/35 38,687,000 $2,822,222
Morgan Stanley Mortgage Loan Trust 2005-6AR, Floating Rate Note, 11/25/35 14,045,000 $1,877,416
Morgan Stanley Mortgage Loan Trust 2005-6AR, Floating Rate Note, 11/25/35 6,309,000 $571,484
Morgan Stanley Structured Trust, Floating Rate Note, 6/25/37 2,400,000 $221,011
MortgageIT Trust 2004-1, Floating Rate Note, 11/25/34 21,071,000 $2,527,919
MortgageIT Trust 2004-2, Floating Rate Note, 12/25/34 41,395,000 $5,776,905
MortgageIT Trust 2005-2, Floating Rate Note, 5/25/35 8,495,000 $1,489,370
Motor 2013-1 Plc, Floating Rate Note, 2/25/21 (144A) 2,946,000 $98,225
MOTOR 2015-1 Plc, Floating Rate Note, 6/27/22 (144A) 2,600,000 $2,603,213
Mpg Holdco I Inc 1st Lien Tl-B L + 3.5% 13oct21 1,299,801 $1,304,393
MRFC Mortgage Pass-Through Trust Series 1999-TBC2 REMICS, Floating Rate Note, 6/15/30 34,427,303 $1,819,799
MRFC Mortgage Pass-Through Trust Series 2000-TBC3, Floating Rate Note, 12/15/30 24,150,000 $1,086,601
MUFG Americas Holdings Corp., Floating Rate Note, 2/9/18 2,425,000 $2,429,156
MUFG Union Bank NA, Floating Rate Note, 9/26/16 6,200,000 $6,238,652
MultiCat Mexico, Ltd. 2012-I Class A, Floating Rate Note, 6/4/16 (Cat Bond) (144A) 1,750,000 $1,766,100
Multi Packaging Solutions, Inc., Initial Dollar Tranche B Term, 9/30/20 173,250 $172,961
Mythen Re, Ltd. Series 2012-2 Class A, Floating Rate Note, 1/5/17 (Cat Bond) (144A) 2,250,000 $2,366,240
Mythen Re, Ltd. Series 2012-2 Class A, Floating Rate Note, 11/10/16 (Cat Bond) (144A) 500,000 $522,173
Mythen Re, Ltd. Series 2013-1 Class B, Floating Rate Note, 7/9/15 (Cat Bond) (144A) 2,500,000 $2,533,083
National Australia Bank, Ltd., Floating Rate Note, 3/17/17 (144A) 1,950,000 $1,956,692
National City Bank Cleveland Ohio, Floating Rate Note, 12/15/16 2,850,000 $2,845,454
National Rural Utilities Cooperative Finance Corp., Floating Rate Note, 11/23/16 1,800,000 $1,801,484
Nations Equipment Finance Funding II LLC, 1.558%, 7/20/18 (144A) 2,100,000 $1,144,440
Nationstar Home Equity Loan Trust 2007-A, Floating Rate Note, 3/25/37 1,000,000 $488,596
Navios Maritime Partners LP, Term Loan, 6/27/18 1,405,726 $1,412,168
Navitas Equipment Receivables LLC 2013-1, 1.95%, 11/15/16 1,750,000 $548,576
NBCUniversal Enterprise, Inc., Floating Rate Note, 4/15/16 (144A) 2,694,000 $2,705,283
NBCUniversal Enterprise, Inc., Floating Rate Note, 4/15/18 (144A) 1,300,000 $1,310,590
NBTY, Inc., Term B-2 Loan, 10/1/17 400,000 $398,250
NCF Dealer Floorplan Master Trust, Floating Rate Note, 10/20/20 (144A) 3,000,000 $3,001,397
NCUA Guaranteed Notes Trust, Floating Rate Note, 10/7/20 2,040,000 $916,865
NCUA Guaranteed Notes Trust, Floating Rate Note, 11/6/17 7,690,000 $2,683,897
NCUA Guaranteed Notes Trust, Floating Rate Note, 12/8/20 410,000 $272,540
NCUA Guaranteed Notes Trust, Floating Rate Note, 3/11/20 2,035,000 $957,943
NCUA Guaranteed Notes Trust, Floating Rate Note, 4/6/20 5,835,000 $1,067,702
NCUA Guaranteed Notes Trust REMICS, Floating Rate Note, 12/8/20 1,330,000 $873,108
NCUA Guaranteed Notes Trust REMICS, Floating Rate Note, 3/2/21 2,700,000 $1,135,517
Nelnet Student Loan Trust 2005-1, Floating Rate Note, 10/26/20 1,795,000 $310,880
NEP, Amendment No. 4 Incremental Term Loan (First Lien), 1/22/20 612,574 $608,899
New Albertsons Inc 1st Lien Tl L + 3.75% 24jun21 497,500 $499,614
New Century Home Equity Loan Trust 2005-1, Floating Rate Note, 3/25/35 5,042,000 $796,705
NewStar Commercial Loan Trust 2007-1, Floating Rate Note, 9/30/22 (144A) 2,000,000 $789,254
Newstar Trust, Floating Rate Note, 1/20/23 (144A) 750,000 $748,919
New York Life Global Funding, 0.75%, 7/24/15 (144A) 3,550,000 $3,561,506
New York Life Global Funding, Floating Rate Note, 12/15/17 (144A) 6,650,000 $6,679,347
New York Life Global Funding, Floating Rate Note, 5/23/16 (144A) 3,150,000 $3,161,103
Nissan Auto Lease Trust 2013-B, Floating Rate Note, 1/15/16 760,000 $42,060
Nissan Auto Receivables 2012-A Owner Trust, 0.73%, 5/16/16 55,000 $1,134
Nissan Auto Receivables 2013-A Owner Trust, 0.5%, 5/15/17 3,400,000 $1,375,592
Nissan Auto Receivables 2013-C Owner Trust, 0.4%, 6/15/16 2,075,000 $25,315
Nissan Motor Acceptance Corp., Floating Rate Note, 3/3/17 (144A) 2,000,000 $2,011,621
Nissan Motor Acceptance Corp., Floating Rate Note, 9/26/16 (144A) 1,500,000 $1,510,422
Nn Inc 1st Lien Tl-B L + 5% 18jul21 1,216,518 $1,224,107
Nomura Asset Acceptance Corp Alternative Loan Trust Series 2004-AR4, Floating Rate Note, 12/25/34 1,170,000 $109,097
Nomura Asset Acceptance Corp Alternative Loan Trust Series 2005-WF1, 4.786%, 3/25/35 735,000 $35,351
Nomura Home Equity Loan Inc Home Equity Loan Trust Series 2006-HE1, Floating Rate Note, 2/25/36 1,700,000 $80,899
Noranda Aluminum Acquisition Corp., Term B Loan, 2/28/19 116,400 $106,652
Nordea Bank AB, 0.875%, 5/13/16 (144A) 2,650,000 $2,655,725
Nordea Bank AB, Floating Rate Note, 4/4/17 (144A) 2,175,000 $2,181,291
Nordea Bank AB, Floating Rate Note, 5/13/16 (144A) 2,700,000 $2,711,107
Nordea Bank Finland Plc New York, Floating Rate Note, 6/13/16 2,225,000 $2,227,536
Northshore Re, Ltd., Floating Rate Note, 7/5/16 (Cat Bond) (144A) 2,250,000 $2,323,309
NorthStar 2013-1, Floating Rate Note, 8/27/29 (144A) 2,784,000 $2,032,843
NovaStar Mortgage Funding Trust Series 2003-1, Floating Rate Note, 5/25/33 19,881,000 $405,683
NovaStar Mortgage Funding Trust Series 2004-4, Floating Rate Note, 3/25/35 2,443,000 $2,402,385
NovaStar Mortgage Funding Trust Series 2004-4, Floating Rate Note, 3/25/35 4,100,000 $1,058,751
NPC International, Inc., Term Loan, 12/28/18 155,200 $154,521
NRG Energy, Inc., 8.25%, 9/1/20 1,250,000 $1,339,995
NRG Energy, Inc., Term Loan (2013), 7/1/18 1,167,488 $1,162,948
NSG Holdings LLC, New Term Loan, 12/11/19 1,545,425 $1,547,357
NSTAR Electric Co., Floating Rate Note, 5/17/16 1,013,000 $1,012,777
Numericable Sfr 1st Lien Tl-B2 L + 3.75% 23apr20 231,343 $232,553
Numericable Us Llc 1st Lien Tl-B1 L + 3.75% 23apr20 267,407 $268,804
NYCTL 2014-A Trust, 1.03%, 11/10/27 (144A) 2,900,000 $1,039,052
Oak Hill Advisors Residential Loan Trust 2014-NPL1, 2.8828%, 5/25/54 (Step) (144A) 1,810,000 $1,009,100
OAK Hill Advisors Residential Loan Trust 2014-NPL2, 3.475%, 4/25/54 (Step) (144A) 3,490,000 $3,287,174
Ocwen Loan Servicing LLC, Initial Term Loan, 2/15/18 1,204,518 $1,196,236
Offshore Group Investment, Ltd., Second Term Loan, 3/28/19 63,252 $45,304
On Assignment, Inc., Initial Term B Loan, 5/15/20 1,037,113 $1,038,409
Opteum Mortgage Acceptance Corp Trust 2005-4, Floating Rate Note, 11/25/35 25,178,000 $4,402,125
Option One Mortgage Loan Trust 2005-1, Floating Rate Note, 2/25/35 10,220,000 $2,661,127
Option One Mortgage Loan Trust 2005-4 Asset-Backed Certificates Series 2005-4, Floating Rate Note, 1 20,500,508 $1,356,419
Option One Mortgage Loan Trust 2007-FXD2, 5.9%, 3/25/37 (Step) 810,000 $37,850
Option One Woodbridge Loan Trust 2002-1, Floating Rate Note, 3/25/32 (144A) 6,512,459 $891,386
Oracle Corp., Floating Rate Note, 7/7/17 1,937,000 $1,941,879
Orbital ATK, Inc., Term B Loan, 10/22/20 394,504 $395,569
ORES 2014-LV3 LLC, 3.0%, 3/27/24 (144A) 2,250,000 $1,135,848
ORES NPL 2013-LV2 LLC, 3.081%, 9/25/25 (144A) 1,558,000 $451,367
Origen Manufactured Housing Contract Trust 2004-B, Floating Rate Note, 11/15/35 1,240,000 $952,687
Oscar US Funding Trust 2014-1, 1.0%, 8/15/17 (144A) 2,500,000 $2,291,734
Oscar US Funding Trust II, Floating Rate Note, 2/15/18 (144A) 1,600,000 $1,600,590
Outfront Media Capital LLC, Term Loan, 1/15/21 1,629,423 $1,629,219
Ownit Mortgage Loan Trust Series 2005-5, Floating Rate Note, 10/25/36 3,827,500 $575,129
PACCAR Financial Corp., Floating Rate Note, 6/6/17 1,290,000 $1,292,117
Pangaea Zero% 01jul18 2,300,000 $2,546,560
Paragon Offshore Finance Co Tl-B L + 2.75% 11jul21 870,625 $684,529
Park Place Securities Inc Asset-Backed Pass-Through Certificates Series 2004-MCW, Floating Rate Note 1,150,000 $328,809
Park Place Securities Inc Asset-Backed Pass-Through Certificates Series 2004-WCW, Floating Rate Note 2,800,000 $1,070,194
Park Place Securities Inc Asset-Backed Pass-Through Ctfs Ser 2004-WHQ2, Floating Rate Note, 1/25/35 3,100,000 $1,497,536
Park Place Securities Inc Asset-Backed Pass-Through Ctfs Ser 2005-WHQ4, Floating Rate Note, 9/25/35 8,206,169 $2,086,790
Park Place Securities Inc Asset-Backed Pass-Through Ctfs Ser 2005-WHQ4, Floating Rate Note, 9/25/35 6,230,000 $254,057
Par Pharmaceutical Companies, Inc., Term B-2 Loan, 9/28/19 1,466,124 $1,468,109
Par Pharmaceutical Cos Inc 1st Lien Tl-B3 L + 3.25% 28sep19 498,750 $500,724
Pepper Residential Securities Trust, Floating Rate Note, 4/10/16 (144A) 2,000,000 $2,000,568
Pepper Residential Securities Trust, Floating Rate Note, 7/24/15 (144A) 2,000,000 $2,000,164
PepsiCo, Inc., Floating Rate Note, 2/26/16 3,460,000 $3,465,050
Permanent Master Issuer Plc, Floating Rate Note, 7/15/42 (144A) 887,000 $890,351
PF Chang's China Bistro, Inc., Term Borrowing, 7/2/19 834,931 $826,060
Pfizer, Inc., Floating Rate Note, 5/15/17 2,100,000 $2,099,703
PFS Financing Corp., Floating Rate Note, 10/15/19 (144A) 1,700,000 $1,699,385
PFS Financing Corp., Floating Rate Note, 10/15/19 (144A) 1,400,000 $1,399,676
PFS Financing Corp., Floating Rate Note, 2/15/18 (144A) 3,240,000 $3,239,768
PFS Financing Corp., Floating Rate Note, 2/15/19 (144A) 3,490,000 $3,483,143
PFS Financing Corp., Floating Rate Note, 4/15/20 (144A) 950,000 $949,811
PFS Tax Lien Trust 2014-1, 1.44%, 5/15/29 1,300,000 $846,596
PHARMEDIUM HEALTHCARE Corp., Initial Term Loan (First Lien), 1/23/21 255,300 $255,406
Pinnacle Entertainment, Inc., Tranche B-2 Term Loan, 8/13/20 181,125 $181,691
Pinnacle Foods Finance LLC, New Term Loan G, 4/29/20 1,158,833 $1,157,294
PNC Bank NA, 0.8%, 1/28/16 650,000 $652,835
PNC Bank NA, Floating Rate Note, 1/28/16 2,250,000 $2,253,987
PNC Bank NA, Floating Rate Note, 6/1/18 2,500,000 $2,496,240
Post Holdings Inc 1st Lien Tl-B L + 3% 23may21 992,500 $992,655
PQ Corp., 2014 Term Loan, 8/7/17 928,625 $930,134
Prestige Auto Receivables Trust 2013-1, 1.33%, 5/15/19 (144A) 350,000 $351,108
Prestige Auto Receivables Trust 2014-1, 0.97%, 3/15/18 (144A) 2,395,000 $1,268,857
Prestige Brands, Inc., Term B-3 Loan, 9/3/21 757,857 $760,225
Pricoa Global Funding I, Floating Rate Note, 5/16/16 (144A) 1,500,000 $1,499,913
Pricoa Global Funding I, Floating Rate Note, 6/24/16 (144A) 3,255,000 $3,258,237
Principal Life Global Funding II, 1.0%, 12/11/15 (144A) 1,270,000 $1,278,859
Principal Life Global Funding II, Floating Rate Note, 5/27/16 (144A) 2,530,000 $2,534,851
Progreso Receivables Funding III LLC, 3.625%, 1/30/25 (144A) 3,050,000 $3,056,757
Progreso Receivables Funding II LLC, 3.5%, 7/8/19 (144A) 4,750,000 $4,763,128
Progreso Receivables Funding I LLC, 4.0%, 7/9/18 (144A) 2,800,000 $2,810,344
Progressive Waste Solutions, Ltd., Term B Loan, 10/24/19 1,167,106 $1,172,569
Progress Residential 2015-SFR1 Trust, Floating Rate Note, 2/20/32 (144A) 3,000,000 $3,038,671
Prudential Financial, Inc., 3.0%, 5/12/16 2,500,000 $2,552,923
PVH Corp., Tranche B Term Loan, 2/13/20 1,046,075 $1,052,776
Quebecor Media, Inc., Facility B-1 Tranche, 8/17/20 494,962 $492,178
Queen City Re, Floating Rate Note, 1/6/19 (Cat Bond) (144A) 1,750,000 $1,739,772
Queen Street VII Re, Ltd., Floating Rate Note, 4/8/16 (Cat Bond) (144A) 1,750,000 $1,810,657
Queen Street X RE, Ltd., Floating Rate Note, 6/8/18 (Cat Bond) (144A) 1,000,000 $981,400
Quest Trust REMICS, Floating Rate Note, 3/25/34 (144A) 95,089,092 $3,301,321
Quikrete Holdings, Inc., Initial Loan (First Lien), 9/26/20 852,173 $854,126
RAAC Series 2005-RP1 Trust, Floating Rate Note, 7/25/37 (144A) 2,130,580 $965,102
RAAC Series 2005-RP2 Trust, Floating Rate Note, 6/25/35 (144A) 4,005,000 $273,165
RAAC Series 2005-RP3 Trust, Floating Rate Note, 5/25/39 (144A) 2,000,000 $1,268,888
RAAC Series 2006-RP1 Trust, Floating Rate Note, 10/25/45 (144A) 15,300,000 $291,493
RAAC Series 2006-RP2 Trust, Floating Rate Note, 2/25/37 (144A) 26,822,396 $2,179,787
RAIT 2014-FL2 Trust, Floating Rate Note, 5/15/31 (144A) 5,200,000 $5,151,609
RAIT 2014-FL3 Trust, Floating Rate Note, 12/15/31 (144A) 3,540,000 $3,493,725
RALI Series 2002-QS16 Trust, Floating Rate Note, 10/25/17 5,500,000 $69,694
RALI Series 2003-QS10 Trust, Floating Rate Note, 5/25/33 38,865,000 $630,091
RALI Series 2003-QS11 Trust, Floating Rate Note, 6/25/33 44,273,266 $1,846,817
RALI Series 2003-QS22 Trust, Floating Rate Note, 12/26/33 8,400,000 $800,903
RALI Series 2003-QS5 Trust, Floating Rate Note, 3/25/18 30,000,000 $760,379
RALI Series 2003-QS9 Trust, Floating Rate Note, 5/25/18 34,469,500 $1,034,346
RALI Series 2004-QR1 Trust, 5.25%, 10/25/34 66,901,390 $450,622
RALI Series 2004-QS5 Trust, 4.75%, 4/25/34 12,155,000 $516,356
RALI Series 2004-QS5 Trust, Floating Rate Note, 4/25/34 9,566,021 $405,097
RALI Series 2005-QA1 Trust, Floating Rate Note, 1/25/35 32,767,000 $3,094,952
RAMP Series 2004-RS11 Trust, Floating Rate Note, 11/25/34 3,805,000 $906,491
RAMP Series 2004-RZ1 Trust, Floating Rate Note, 3/25/34 20,100,000 $1,524,003
RAMP Series 2005-EFC4 Trust, Floating Rate Note, 9/25/35 12,260,000 $2,506,328
RAMP Series 2005-RS6 Trust, Floating Rate Note, 6/25/35 1,393,325 $537,578
RAMP Series 2005-RZ4 Trust, Floating Rate Note, 11/25/35 5,095,050 $3,555,744
RAMP Series 2006-NC1 Trust, Floating Rate Note, 12/25/35 6,100,000 $251,302
RAMP Series 2006-RZ3 Trust, Floating Rate Note, 10/25/35 10,534,000 $1,883,179
RASC Series 2004-KS10 Trust, Floating Rate Note, 11/25/34 82,085,000 $2,179,469
RASC Series 2005-KS3 Trust, Floating Rate Note, 4/25/35 829,000 $146,617
RASC Series 2005-KS5 Trust, Floating Rate Note, 6/25/35 1,500,000 $479,148
Raymond James Financial, Inc., 4.25%, 4/15/16 7,409,000 $7,661,006
RBSSP Resecuritization Trust 2009-5, Floating Rate Note, 8/25/37 (144A) 7,810,000 $2,359,886
Regatta Funding, Ltd., Floating Rate Note, 6/15/20 (144A) 2,000,000 $669,862
RegionalCare Hospital Partners, Inc., Term Loan (First Lien), 4/21/19 490,059 $489,447
RENT-A-CENTER, INC, Term Loan (2014), 2/6/21 1,732,500 $1,734,666
Residential Asset Securitization Trust 2003-A15, Floating Rate Note, 2/25/34 10,120,000 $529,691
Residential Asset Securitization Trust 2003-A2, Floating Rate Note, 5/25/33 9,443,647 $333,825
Residential Reinsurance 2011, Ltd., Floating Rate Note, 12/6/16 (Cat Bond) (144A) 1,450,000 $1,479,377
Residential Reinsurance 2011, Ltd., Floating Rate Note, 6/6/15 (Cat Bond) (144A) 1,750,000 $1,786,488
Residential Reinsurance 2011, Ltd., Floating Rate Note, 6/6/17 (Cat Bond) (144A) 1,500,000 $1,530,171
Residential Reinsurance 2012, Ltd., Floating Rate Note, 12/6/16 (Cat Bond) (144A) 2,900,000 $2,967,933
Residential Reinsurance 2012, Ltd., Floating Rate Note, 12/6/16 (Cat Bond) (144A) 1,000,000 $1,081,404
Residential Reinsurance 2012, Ltd., Floating Rate Note, 12/6/16 (Cat Bond) (144A) 1,500,000 $1,551,265
Residential Reinsurance 2012, Ltd., Floating Rate Note, 6/6/16 (Cat Bond) (144A) 750,000 $798,892
Residential Reinsurance 2012, Ltd., Floating Rate Note, 6/6/16 (Cat Bond) (144A) 900,000 $964,990
Residential Reinsurance 2013, Ltd., Floating Rate Note, 6/6/17 (Cat Bond) (144A) 850,000 $900,864
Residential Reinsurance 2014, Ltd., Floating Rate Note, 6/6/18 (Cat Bond) (144A) 750,000 $760,548
RESI Finance LP 2003-CB1, Floating Rate Note, 7/9/35 8,332,000 $1,997,355
Resi Flt% 12dec45 A1 3,000,000 $2,544,580
Resource Capital Corp 2014-CRE2, Ltd., Floating Rate Note, 4/15/32 (144A) 4,920,000 $4,896,049
Resource Capital Corp CRE Notes 2013, Ltd., Floating Rate Note, 6/15/16 (144A) 3,000,000 $3,005,203
Restaurant Brands 1st Lien Tl-B L + 2.75% 12dec21 472,119 $473,889
Revlon Consumer Products Corp., Acquisition Term Loan, 8/19/19 363,653 $364,676
Revlon Consumer Products Corp., Replacement Term Loan, 11/19/17 958,583 $959,781
Reynolds Group Holdings, Inc., Incremental U.S. Term Loan, 12/31/18 0 $0
RFSC Series 2003-RP2 Trust, Floating Rate Note, 7/25/41 (144A) 2,000,000 $192,272
Rialto Capital Management LLC, 2.85%, 5/15/24 (144A) 2,000,000 $468,846
Rio Tinto Finance USA Plc, Floating Rate Note, 6/17/16 1,130,000 $1,135,726
Riverfront Re, Ltd., Floating Rate Note, 1/6/17 (Cat Bond) (144A) 1,000,000 $995,867
Rovi Solutions Corp 1st Lien Tl-B L + 3% 02jul21 1,018,334 $1,017,061
Royal Bank of Canada, 0.8%, 10/30/15 1,300,000 $1,302,967
Royal Bank of Canada, Floating Rate Note, 1/23/17 1,875,000 $1,880,036
Royal Bank of Canada, Floating Rate Note, 10/13/17 2,500,000 $2,501,597
Royal Bank of Canada, Floating Rate Note, 12/16/15 1,800,000 $1,803,548
Royal Bank of Canada, Floating Rate Note, 6/16/17 2,200,000 $2,202,745
Royal Bank of Canada, Floating Rate Note, 9/9/16 2,000,000 $2,011,114
RPI Finance Trust, 5/9/18 0 $0
RPI Finance Trust, Term B-3 Term Loan, 11/9/18 620,776 $622,948
RPI Finance Trust, Term B-4 Term Loan, 11/9/20 1,009,543 $1,012,824
Salomon Brothers Mortgage Securities VII, Inc., Floating Rate Note, 3/25/28 49,537,000 $62,306
Salomon Mortgage Loan Trust Series 2001-CB4, Floating Rate Note, 11/25/33 4,754,000 $114,898
Sanders Re, Ltd., Floating Rate Note, 5/25/18 (Cat Bond) (144A) 1,000,000 $976,917
Sanders Re, Ltd., Floating Rate Note, 5/5/17 (Cat Bond) (144A) 1,250,000 $1,238,444
Sanders Re, Ltd., Floating Rate Note, 5/5/17 (Cat Bond) (144A) 2,500,000 $2,474,840
Sanders Re, Ltd., Floating Rate Note, 6/7/17 (Cat Bond) (144A) 3,000,000 $3,000,125
San Diego Gas & Electric Co., 5.3%, 11/15/15 2,500,000 $2,560,328
San Diego Gas & Electric Co., Floating Rate Note, 3/9/17 2,500,000 $2,500,331
SASCO Mortgage Loan Trust 2005-GEL1, Floating Rate Note, 12/25/34 1,590,000 $996,764
SASCO Mortgage Loan Trust 2005-GEL2, Floating Rate Note, 4/25/35 28,476,673 $332,635
Saxon Asset Securities Trust 2005-3, Floating Rate Note, 11/25/35 1,945,000 $1,663,295
Saxon Asset Securities Trust 2005-4, Floating Rate Note, 11/25/37 31,986,000 $1,202,800
SBA Senior Finance II LLC, Incremental Tranche B-1 Term Loan, 3/31/21 595,500 $594,135
Schaeffler (Aka Ina Beteiligungsge 1st Lien Tl-B L + 3.5% 15may20 1,683,943 $1,696,039
Scientific Games International Inc 1st Lien Tl-B2 L + 5% 17sep21 1,995,000 $2,005,599
Seadrill Operating LP, Initial Term Loan, 2/14/21 2,715,625 $2,237,561
Sector Re V, Ltd., 0.0%, 12/1/19 (Cat Bond) (144A) 500,000 $525,550
Sector Re V, Ltd., 3/1/20 (Cat Bond) (144A) 1,250,000 $1,253,375
Select Medical Corp., Series E Tranche B Term Loan, 6/1/18 227,883 $228,453
Selene Non-Performing Loans LLC, 2.9814%, 5/25/54 (Step) (144A) 3,530,000 $3,034,648
Seminole Hard Rock Entertainment, Inc., New Term Loan B, 5/14/20 589,500 $589,132
Sensata Technologies 1st Lien L + 2.25% 14oct21 1,934,313 $1,942,172
Sequoia Mortgage Trust 10, Floating Rate Note, 10/20/27 9,100,000 $159,292
Sequoia Mortgage Trust 2003-2, Floating Rate Note, 6/20/33 13,097,000 $447,449
Sequoia Mortgage Trust 2003-5, Floating Rate Note, 9/20/33 52,500,000 $2,144,319
Sequoia Mortgage Trust 2003-8, Floating Rate Note, 1/20/34 5,750,000 $253,732
Sequoia Mortgage Trust 2004-10, Floating Rate Note, 11/20/34 5,055,000 $499,771
Sequoia Mortgage Trust 2004-7, Floating Rate Note, 8/20/34 8,500,000 $346,111
Sequoia Mortgage Trust 2005-1, Floating Rate Note, 2/20/35 31,769,748 $2,697,418
Sequoia Mortgage Trust 2005-1, Floating Rate Note, 2/20/35 12,303,000 $1,045,560
Sequoia Mortgage Trust 4, Floating Rate Note, 11/22/24 47,340,000 $1,157,345
Shell International Finance BV, Floating Rate Note, 11/15/16 1,500,000 $1,503,172
Ship Midco, Ltd., Facility B2A-II, 11/29/19 78,745 $79,336
Silver Bay Realty 2014-1 Trust, Floating Rate Note, 9/18/31 (144A) 3,778,000 $3,804,267
Sinclair Television Group, Inc., Incremental Tranche B-1 Term Loan, 7/22/21 1,000,000 $1,001,771
Sinclair Television Group, Inc., New Tranche B Term Loan, 4/19/20 1,331,562 $1,330,514
Six Flags Theme Parks, Inc., Tranche B Term Loan, 12/20/18 727,904 $732,908
Skandinaviska Enskilda Banken AB New York NY, Floating Rate Note, 9/21/15 2,500,000 $2,504,227
Small Business Administration Participation Certificates, 0.58%, 10/17/16 (144A) 900,000 $615,425
SMART ABS Series 2012-2US Trust, 1.59%, 10/14/16 (144A) 1,550,000 $362,584
SMART ABS Series 2013-1US Trust, Floating Rate Note, 9/14/16 1,785,000 $629,951
SMART ABS Series 2013-2US Trust, Floating Rate Note, 1/17/17 2,500,000 $1,450,703
SMART ABS Series 2014-1US Trust, Floating Rate Note, 7/14/16 2,500,000 $866,816
SMART ABS Series 2015-1US Trust, Floating Rate Note, 8/14/17 2,250,000 $2,250,636
SNAAC Auto Receivables Trust, 4.38%, 6/15/17 (144A) 1,800,000 $370,270
SNAAC Auto Receivables Trust 2014-1, 1.03%, 9/17/18 (144A) 839,000 $299,428
Soundview Home Loan Trust 2005-DO1, Floating Rate Note, 5/25/35 2,000,000 $1,722,979
Soundview Home Loan Trust 2005-OPT4, Floating Rate Note, 12/25/35 2,967,970 $703,053
Southwire Co., Initial Term Loan, 1/31/21 1,064,622 $1,065,554
Specialty Underwriting & Residential Finance Trust Series 2005-AB2, Floating Rate Note, 6/25/36 18,964,000 $671,469
Specialty Underwriting & Residential Finance Trust Series 2005-AB2, Floating Rate Note, 6/25/36 1,500,000 $407,512
Specialty Underwriting & Residential Finance Trust Series 2006-BC1, Floating Rate Note, 12/25/36 3,640,376 $3,528,327
Specialty Underwriting & Residential Finance Trust Series 2006-BC1, Floating Rate Note, 12/25/36 3,000,000 $301,841
Spectrum Brands, Inc., Tranche C Term Loan, 8/13/19 295,500 $296,701
Springleaf Funding Trust 2013-A, 2.58%, 9/15/21 (144A) 2,100,000 $1,412,171
Springleaf Mortgage Loan Trust 2012-3, Floating Rate Note, 12/26/59 (144A) 1,000,000 $380,094
Stanwich Mortgage Loan Trust, 2.9814%, 2/16/43 (144A) 3,025,000 $301,396
Staples Inc 1st Lien Tl-B L + 2.75% 24apr21 1,000,000 $1,002,500
Starwood Property Trust, Inc., Term Loan (First Lien), 4/17/20 1,582,007 $1,579,370
State Street Bank & Trust Co., Floating Rate Note, 12/8/15 4,940,000 $4,942,509
State Street Corp., 2.875%, 3/7/16 3,750,000 $3,840,324
Statoil ASA, Floating Rate Note, 11/9/17 2,140,000 $2,135,167
Steward Health Care System LLC, Term Loan, 4/10/20 982,500 $978,202
Structured Adjustable Rate Mortgage Loan Trust, Floating Rate Note, 11/25/34 5,495,000 $481,959
Structured Adjustable Rate Mortgage Loan Trust, Floating Rate Note, 11/25/34 62,595,000 $2,973,502
Structured Adjustable Rate Mortgage Loan Trust, Floating Rate Note, 3/25/34 3,865,000 $529,180
Structured Adjustable Rate Mortgage Loan Trust, Floating Rate Note, 3/25/34 8,200,000 $430,362
Structured Adjustable Rate Mortgage Loan Trust, Floating Rate Note, 6/25/35 3,880,000 $28,699
Structured Adjustable Rate Mortgage Loan Trust, Floating Rate Note, 7/25/34 20,600,000 $2,220,319
Structured Asset Investment Loan Trust 2005-6, Floating Rate Note, 7/25/35 2,600,000 $2,020,027
Structured Asset Investment Loan Trust 2006-1, Floating Rate Note, 1/25/36 4,650,000 $931,775
Structured Asset Mortgage Investments II Trust 2004-AR1, Floating Rate Note, 3/19/34 16,800,000 $751,609
Structured Asset Mortgage Investments II Trust 2004-AR8, Floating Rate Note, 5/19/35 83,350,000 $4,048,130
Structured Asset Mortgage Investments Trust 2002-AR5, Floating Rate Note, 5/19/33 36,301,000 $1,680,889
Structured Asset Sec Corp Mort Pass Thr Certs Series 1998-8, Floating Rate Note, 8/25/28 37,025,000 $1,367,767
Structured Asset Securities Corp Mor Cer Ser 2003-31A, Floating Rate Note, 10/25/33 1,991,000 $172,516
Structured Asset Securities Corp Mortgage Loan Trust 2005-S7, Floating Rate Note, 12/25/35 (144A) 11,868,000 $1,318,072
Structured Asset Securities Corp Mortgage Loan Trust 2006-EQ1, Floating Rate Note, 7/25/36 5,000,000 $2,466,793
Structured Asset Securities Corp Mortgage Loan Trust 2006-GEL4, Floating Rate Note, 10/25/36 (144A) 5,557,000 $1,569,858
Structured Asset Securities Corp Mortgage Loan Trust 2007-TC1, Floating Rate Note, 4/25/31 (144A) 3,000,000 $942,918
Structured Asset Securities Corp Mortgage Pass-Through Certificates Ser 2004-S4, Floating Rate Note, 2,000,000 $159,700
Structured Asset Securities Corp Mortgage Pass-Through Ctfs Ser 2003-24A, Floating Rate Note, 7/25/3 8,050,000 $939,221
Structured Asset Securities Corp Mortgage Pass Through Ctfs Series 2003-35, Floating Rate Note, 12/2 2,500,000 $130,029
Structured Asset Securities Corp Trust 2005-14, Floating Rate Note, 7/25/35 3,899,641 $347,966
Sumitomo Mitsui Banking Corp., Floating Rate Note, 7/19/16 1,500,000 $1,506,564
Sumitomo Mitsui Banking Corp. New York, Floating Rate Note, 5/2/17 1,715,000 $1,715,064
Sumitomo Mitsui Trust Bank, Ltd., Floating Rate Note, 9/16/16 (144A) 1,500,000 $1,509,936
Sunset Mortgage Loan Co 2014-NPL2 LLC, 3.721%, 11/16/44 (Step) (144A) 3,070,000 $2,585,239
SunTrust Bank, Floating Rate Note, 2/15/17 3,645,000 $3,642,177
Svenska Handelsbanken AB, Floating Rate Note, 3/21/16 3,625,000 $3,641,177
Svenska Handelsbanken AB, Floating Rate Note, 9/23/16 3,650,000 $3,672,088
Svenska Handelsbanken New York NY, Floating Rate Note, 8/17/16 2,500,000 $2,500,738
SWAY Residential 2014-1 Trust, Floating Rate Note, 1/20/32 (144A) 2,900,000 $2,882,701
Swift Transportation Co LLC, Tranche B Loan, 6/9/21 339,006 $340,595
Symphony CLO, Ltd., Floating Rate Note, 7/23/23 (144A) 3,050,000 $3,052,704
Synchrony Credit Card Master Note Trust, 1.51%, 6/15/18 849,000 $849,755
Synchrony Credit Card Master Note Trust, Floating Rate Note, 6/15/18 3,600,000 $3,600,847
Syncreon Group BV, Term Loan, 9/26/20 197,500 $177,627
Syniverse Holdings, Inc., Tranche B Term Loan, 4/23/19 727,141 $695,329
TAL Advantage I LLC, Floating Rate Note, 4/20/21 (144A) 1,250,000 $113,991
TAL Advantage V LLC, 1.7%, 5/20/39 (144A) 1,400,000 $1,036,563
Tar Heel Re, Ltd., Floating Rate Note, 5/9/16 (Cat Bond) (144A) 1,500,000 $1,559,646
TECO Finance, Inc., Floating Rate Note, 4/10/18 1,665,000 $1,674,980
Telesat Canada, U.S. Term B-2 Loan, 3/28/19 658,744 $658,875
Tempur Sealy International, Inc., New Term B Loan, 3/18/20 416,859 $418,683
Terex Corp., U.S. Term Loan, 8/13/21 308,009 $308,971
Terra-Gen Power Llc 1st Lien Tl-B L + 4.25% 31dec21 1,329,429 $1,337,738
Terwin Mortgage Trust Series TMTS 2003-8HE, Floating Rate Note, 12/25/34 23,713,000 $719,452
Terwin Mortgage Trust Series TMTS 2005-10HE, Floating Rate Note, 6/25/36 4,868,753 $3,073,363
Tesoro Corp., Initial Term Loan, 5/30/16 795,000 $795,974
Texas Competitive Electric Holdings Co LLC, DIP Delayed Draw Term Loan (2014), 5/5/16 0 $0
The Bank of New York Mellon Corp., 0.7%, 3/4/16 2,000,000 $2,006,788
The Bank of New York Mellon Corp., 2.5%, 1/15/16 835,000 $853,175
The Bank of New York Mellon Corp., 2.95%, 6/18/15 2,400,000 $2,434,397
The Bank of New York Mellon Corp., Floating Rate Note, 10/23/15 3,533,000 $3,538,142
The Bank of New York Mellon Corp., Floating Rate Note, 3/4/16 3,275,000 $3,284,050
The Bank of Nova Scotia, Floating Rate Note, 12/13/16 1,800,000 $1,808,694
The Bank of Nova Scotia, Floating Rate Note, 3/15/16 3,255,000 $3,267,945
The Bank of Nova Scotia, Floating Rate Note, 7/15/16 1,500,000 $1,508,151
The Bank of Tokyo-Mitsubishi UFJ, Ltd., Floating Rate Note, 3/10/17 (144A) 1,000,000 $1,000,807
The Bank of Tokyo-Mitsubishi UFJ, Ltd., Floating Rate Note, 9/8/17 (144A) 2,525,000 $2,520,350
The Bear Stearns Companies LLC, Floating Rate Note, 11/21/16 2,465,000 $2,464,105
The Charles Schwab Corp., 0.85%, 12/4/15 6,555,000 $6,596,870
The Charlotte-Mecklenburg Hospital Authority, Floating Rate Note, 1/15/26 4,000,000 $4,000,279
The GEO Group, Inc., Term Loan, 4/3/20 982,462 $984,918
The Goldman Sachs Group, Inc., 1.6%, 11/23/15 3,422,000 $3,437,759
The Goldman Sachs Group, Inc., 3.7%, 8/1/15 2,400,000 $2,440,957
The Goldman Sachs Group, Inc., Floating Rate Note, 3/22/16 4,300,000 $4,303,744
The Goldman Sachs Group, Inc., Floating Rate Note, 5/22/17 2,465,000 $2,465,936
The Goldman Sachs Group, Inc., Floating Rate Note, 7/22/15 1,300,000 $1,301,160
The Goodyear Tire & Rubber Co., Loan (Second Lien), 4/30/19 666,667 $672,083
The Hertz Corp., Tranche B-1 Term Loan, 3/11/18 733,125 $735,141
The Huntington National Bank, Floating Rate Note, 4/24/17 2,000,000 $1,996,209
The Manitowoc Co, Inc., Term B Loan, 12/18/20 71,613 $71,679
The Procter & Gamble Co., 1.8%, 11/15/15 2,950,000 $2,970,842
The Toronto-Dominion Bank, Floating Rate Note, 5/2/17 2,000,000 $2,001,692
The Toronto-Dominion Bank, Floating Rate Note, 7/8/16 1,320,000 $1,321,481
The Toronto-Dominion Bank, Floating Rate Note, 9/9/16 2,800,000 $2,814,499
Thornburg Mortgage Securities Trust 2004-4, Floating Rate Note, 12/25/44 4,235,000 $594,051
TI Group Automotive Systems LLC, Term Loan Facility, 7/1/21 633,502 $635,482
TMS International Corp., Term B Loan, 10/2/20 146,199 $146,565
TORONTO-DOMINION BANK, Floating Rate Note, 11/6/15 4,025,000 $4,029,560
Total Capital Canada, Ltd., Floating Rate Note, 1/15/16 3,355,000 $3,365,260
Total Capital International SA, 0.75%, 1/25/16 2,500,000 $2,511,728
Tower Automotive Holdings USA LLC, Refinancing Term Loan, 4/23/20 188,451 $189,157
Toyota Auto Receivables 2014-C Owner Trust, 0.51%, 2/15/17 1,770,000 $1,770,474
Toyota Motor Credit Corp., 0.75%, 3/3/17 (Step) 2,250,000 $2,256,135
Toyota Motor Credit Corp., 0.875%, 7/17/15 1,200,000 $1,204,719
Toyota Motor Credit Corp., Floating Rate Note, 5/16/17 989,000 $989,032
Toyota Motor Credit Corp., Floating Rate Note, 5/17/16 3,800,000 $3,809,993
Toyota Motor Credit Corp., Floating Rate Note, 9/18/15 2,300,000 $2,303,130
Trade MAPS 1, Ltd., Floating Rate Note, 12/10/18 (144A) 3,079,000 $3,083,416
Tradewynd Re, Ltd., Floating Rate Note, 1/8/18 (Cat Bond) (144A) 750,000 $744,221
Trafigura Securitisation Finance Plc. 2014-1, Floating Rate Note, 4/16/18 (144A) 1,400,000 $1,401,229
Tramline Re II, Ltd., Floating Rate Note, 1/4/19 (Cat Bond) (144A) 250,000 $256,695
TransCanada PipeLines, Ltd., Floating Rate Note, 6/30/16 3,544,000 $3,557,554
TransDigm, Inc., Tranche C Term Loan, 2/28/20 284,658 $284,658
Tribune Media Co., Initial Term Loan, 11/20/20 2,116,251 $2,121,806
Tronox Pigments Holland BV, New Term Loan, 3/19/20 383,408 $385,301
Truman Capital Mortgage Loan Trust, Floating Rate Note, 1/25/34 925,000 $777,645
Truven Health Analytics, Inc., New Tranche B Term Loan, 6/6/19 340,427 $341,168
Tyco Electronics Group SA, Floating Rate Note, 1/29/16 4,330,000 $4,331,431
U.S. Treasury Floating Rate Note, 0.085000569%, 7/31/16 13,470,000 $13,471,962
UBS AG, Floating Rate Note, 6/1/17 2,500,000 $2,500,475
Unifrax I LLC, New Term B Dollar Loan, 11/28/18 974,189 $974,189
United Airlines, Inc., Class B Term Loan, 4/1/19 245,000 $245,796
United Auto Credit Securitization Trust 2014-1, 0.74%, 6/15/16 (144A) 3,000,000 $1,366,101
United Auto Credit Securitization Trust 2015-1, 1.68%, 9/15/17 (144A) 2,500,000 $2,503,680
United States Treasury Floating Rate Note, Floating Rate Note, 10/31/16 10,000,000 $9,998,675
Univision Communications, Inc., Replacement First-Lien Term Loan, 3/1/20 661,438 $661,143
Ursa Re, Ltd., Floating Rate Note, 12/7/17 (Cat Bond) (144A) 1,100,000 $1,104,042
US Bancorp, 2.45%, 7/27/15 2,620,000 $2,650,261
US Bank NA Cincinnati Ohio, Floating Rate Note, 1/26/18 2,600,000 $2,604,022
US Bank NA Cincinnati Ohio, Floating Rate Note, 1/30/17 2,025,000 $2,025,374
US Bank NA Cincinnati Ohio, Floating Rate Note, 4/22/16 2,000,000 $2,002,492
USI, Inc. New York, Initial Term Loan 2013, 12/30/19 1,085,150 $1,088,541
Valeant Pharmaceuticals International, Inc., Series C-2 Tranche B Term Loan, 12/11/19 511,676 $512,493
Valeant Pharmaceuticals International, Inc., Series D2 Term Loan B, 2/13/19 213,198 $213,478
Valeant Pharmaceuticals International, Inc., Series E1 Tranche B Term Loan, 8/5/20 1,313,724 $1,315,038
Vantiv LLC, Term B Loan, 6/12/21 0 $0
Velocity Commercial Capital Loan Trust 2014-1, Floating Rate Note, 9/25/44 (144A) 3,200,000 $2,517,569
Venture XII CLO, Ltd., Floating Rate Note, 2/28/24 (144A) 1,500,000 $872,131
Vericrest Opportunity Loan Transferee 2014-NPL4 LLC, 3.125%, 4/27/54 (Step) (144A) 6,000,000 $3,829,356
Verint Systems, Inc., Tranche B Incremental Term Loan, 9/6/19 325,732 $327,116
Verizon Communications, Inc., 0.7%, 11/2/15 3,300,000 $3,301,651
Verizon Communications, Inc., Floating Rate Note, 9/15/16 6,355,000 $6,473,160
Vers 2015-A Zero% 31dec17 2,500,000 $2,592,250
VFC 2014-2 LLC, 2.75%, 7/20/30 (144A) 3,510,000 $1,823,938
VFC 2015-3 LLC, 2.75%, 12/20/31 (144A) 2,000,000 $1,817,030
Virgin Media Investment Holdings, Ltd., B Facility, 6/8/20 1,484,673 $1,483,861
Visteon Corp Term B 1st Lien Dd L + 2.75% 08apr21 496,250 $497,026
Vita Capital V, Ltd., Floating Rate Note, 1/15/17 (Cat Bond) (144A) 1,500,000 $1,527,971
Vita Capital V, Ltd., Floating Rate Note, 1/15/17 (Cat Bond) (144A) 500,000 $510,011
Vitality Re IV, Ltd., Floating Rate Note, 1/9/17 (Cat Bond) (144A) 1,000,000 $1,022,631
Vitality Re V, Ltd., Floating Rate Note, 1/7/19 (Cat Bond) (144A) 1,800,000 $1,810,023
Vodafone Group Plc, Floating Rate Note, 2/19/16 1,150,000 $1,149,713
Volkswagen Auto Lease Trust 2014-A, 0.52%, 10/20/16 5,790,000 $2,747,240
Volkswagen Auto Lease Trust 2014-A, Floating Rate Note, 10/20/16 1,500,000 $711,265
Volkswagen Group of America Finance LLC, Floating Rate Note, 11/22/16 (144A) 1,230,000 $1,229,941
Volkswagen Group of America Finance LLC, Floating Rate Note, 5/23/16 (144A) 1,900,000 $1,901,344
Volkswagen International Finance NV, 1.15%, 11/20/15 (144A) 4,990,000 $5,007,612
Volkswagen International Finance NV, Floating Rate Note, 11/18/16 (144A) 1,750,000 $1,755,087
VOLT NPL X LLC, 3.375%, 10/26/54 (Step) (144A) 4,390,000 $2,677,025
VOLT XIX LLC, 3.875%, 4/26/55 (Step) 1,500,000 $974,977
VOLT XXXIII LLC, 3.5%, 3/25/55 (Step) (144A) 2,500,000 $2,480,756
VOLT XXXI LLC, 3.375%, 2/25/55 (Step) (144A) 3,000,000 $2,921,280
VOLT XXX LLC, 3.625%, 10/25/57 (Step) 2,250,000 $2,191,489
Volvo Financial Equipment LLC Series 2012-1, 2.38%, 9/16/19 (144A) 295,000 $296,136
Volvo Financial Equipment LLC Series 2013-1, 0.74%, 3/15/17 (144A) 1,410,000 $937,522
Volvo Financial Equipment LLC Series 2014-1, 0.54%, 11/15/16 (144A) 1,700,000 $951,492
Voya CLO, Ltd., Floating Rate Note, 10/15/22 (144A) 3,000,000 $3,006,175
Wachovia Bank Commercial Mortgage Trust Series 2005-C21, Floating Rate Note, 10/17/44 2,840,733 $1,829,491
Wachovia Bank Commercial Mortgage Trust Series 2005-C22 REMICS, Floating Rate Note, 12/15/44 5,713,000 $4,419,774
Wachovia Bank Commercial Mortgage Trust Series 2006-C23 REMICS, Floating Rate Note, 1/15/45 5,550,000 $4,333,897
Wachovia Bank Commercial Mortgage Trust Series 2006-C25, Floating Rate Note, 5/15/43 4,240,000 $3,493,545
Wachovia Corp., Floating Rate Note, 10/28/15 1,983,000 $1,984,480
Wachovia Corp., Floating Rate Note, 6/15/17 1,999,000 $1,994,397
WaMu Mortgage Pass-Through Certificates Series 2002-AR18 Trust, Floating Rate Note, 1/25/33 55,430,000 $497,234
WaMu Mortgage Pass-Through Certificates Series 2002-AR19 Trust, Floating Rate Note, 2/25/33 18,180,000 $635,734
Waste Industries Usa Inc 1st Lien Tl-B L + 3.25% 20feb20 150,000 $151,406
Weight Watchers International, Inc., Initial Tranche B-2 Term Loan, 4/2/20 871,867 $434,844
Wells Fargo & Co., 1.5%, 7/1/15 2,600,000 $2,618,573
Wells Fargo & Co., Floating Rate Note, 10/28/15 2,503,000 $2,505,560
Wells Fargo & Co., Floating Rate Note, 6/26/15 5,230,000 $5,244,761
Wells Fargo & Co., Floating Rate Note, 7/20/16 3,105,000 $3,120,666
Wells Fargo Bank NA, Floating Rate Note, 5/16/16 975,000 $973,721
Wells Fargo Commercial Mortgage Trust 2014-TISH REMICS, Floating Rate Note, 2/16/27 (144A) 2,500,000 $2,504,940
Wells Fargo Home Equity Asset-Backed Securities 2005-2 Trust, Floating Rate Note, 11/25/35 189,000 $27,674
Wells Fargo Home Equity Asset-Backed Securities 2005-3 Trust, Floating Rate Note, 12/25/35 3,990,000 $940,157
Wendy's International LLC, Term B Loan, 5/15/19 719,267 $720,795
Wesco Aircraft Hardware Corp., Tranche B Term Loan, 2/24/21 2,528,500 $2,527,711
WESCO Distribution, Inc., Tranche B-1 Loan, 12/12/19 318,295 $319,488
West Corp., Term B-10 Loan, 6/30/18 1,004,821 $1,005,449
Western Refining, Inc., Term Loan 2013, 11/12/20 446,608 $448,143
Westgate Resorts 2012-2 LLC, 9.0%, 1/21/25 (144A) 1,500,000 $327,540
Westgate Resorts 2012-A LLC, 3.75%, 8/20/25 (144A) 2,805,000 $1,243,365
Westgate Resorts LLC, 2.5%, 3/20/25 (144A) 350,000 $104,761
Westgate Resorts LLC, 9.5%, 2/20/25 (144A) 5,000,000 $1,273,288
Westlake Automobile Receivables Trust 2013-1, 1.12%, 1/15/18 (144A) 375,000 $68,933
Westpac Banking Corp., Floating Rate Note, 5/19/17 2,000,000 $2,002,417
Westpac Banking Corp., Floating Rate Note, 7/17/15 (144A) 500,000 $501,073
Westpac Banking Corp., Floating Rate Note, 7/28/15 1,000,000 $1,000,379
Westwood CDO II, Ltd., Floating Rate Note, 4/25/22 (144A) 2,000,000 $1,295,513
Wheelabrator 1st Lien Tl-B L + 4% 15oct21 2,866,379 $2,905,769
Wheelabrator 1st Lien Tl-C L + 4% 15oct21 126,437 $128,174
Wheels SPV 2 LLC, 0.84%, 3/20/23 (144A) 1,000,000 $888,666
WideOpenWest Finance LLC, Replacement Term B Loan, 4/1/19 219,747 $220,091
Wilshire Mortgage Loan Trust, Floating Rate Note, 5/25/28 10,000,000 $28,825
Windstream Services LLC, Tranche B-5 Term Loan, 8/8/19 706,988 $705,736
WireCo WorldGroup, Inc., Term Loan, 2/15/17 829,692 $832,803
WMG Acquisition Corp., Tranche B Refinancing Term Loan, 7/1/20 1,083,500 $1,077,134
World Financial Network Credit Card Master Trust, 3.96%, 4/15/19 350,000 $351,096
World Financial Network Credit Card Master Trust, Floating Rate Note, 12/16/19 10,375,000 $10,384,479
World Financial Network Credit Card Master Trust, Floating Rate Note, 2/15/22 1,400,000 $1,401,173
World Omni Automobile Lease Securitization Trust 2014-A, Floating Rate Note, 3/15/17 2,500,000 $2,374,980
World Omni Auto Receivables Trust 2013-B, 0.48%, 11/15/16 50,000 $3,064
World Omni Auto Receivables Trust 2014-B, Floating Rate Note, 1/16/18 2,650,000 $2,567,065
WR Grace & Co-Conn, Delayed Draw Term Loan, 1/23/21 289,283 $289,903
WR Grace & Co-Conn, U.S. Term Loan, 1/23/21 803,903 $805,626
Wyle 1st Lien Tl-B L + 4% 22may21 183,902 $184,304
Xerium Technologies, Inc., New Term Loan, 5/17/19 78,401 $79,479
Zebra Technologies Corporation 1st Lien Tl-B L + 4% 30sep21 963,636 $976,284
ZIGGO BV, (USD) TLB3, 1/15/22 1,136,553 $1,134,210
Ziggo Bv Us 1st Lien Tl-B1 L + 2.75% 15jan22 1,072,383 $1,070,172
Ziggo Bv Us 1st Lien Tl-B2 L + 2.75% 15jan22 691,064 $689,639

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