Pioneer Multi-Asset Ultrashort Income Fund

Top 10 Portfolio Holdings as of 6/30/2014
Default: sorted by market value

Security Name Par / Shares Market Value
321 Henderson Receivables I LLC, Floating Rate Note, 9/15/45 (144A) 1,386,000 $375,233
77 Energy 1st Lien Tl-B L + 3% 17jun21 1,000,000 $1,005,938
A10 Securitization 2013-1 LLC, 2.4%, 11/15/25 (144A) 1,400,000 $1,278,711
ABFC 2003-WMC1 Trust, Floating Rate Note, 3/25/33 3,574,825 $68,026
ABFC 2005-WF1 Trust, Floating Rate Note, 12/25/34 1,610,000 $780,625
ABN AMRO Bank NV, Floating Rate Note, 10/28/16 (144A) 1,725,000 $1,743,125
ACA CLO 2006-2, Ltd., Floating Rate Note, 1/20/21 (144A) 1,250,000 $1,225,338
ACAS CLO 2007-1, Ltd., Floating Rate Note, 4/20/21 1,800,000 $1,773,380
Accredited Mortgage Loan Trust 2005-2, Floating Rate Note, 7/25/35 1,110,000 $1,068,483
ACE Securities Corp Home Equity Loan Trust Series 2002-HE3, Floating Rate Note, 10/25/32 4,600,000 $1,351,580
ACE Securities Corp Manufactured Housing Trust Series 2003-MH1, Floating Rate Note, 8/15/30 (144A) 1,250,000 $214,638
Acis CLO, Ltd., Floating Rate Note, 5/1/26 2,500,000 $2,493,299
Acmar 6.4% 09apr18 10-4-E 470,000 $480,056
Acosta, Inc., Term B Loan (2013), 3/2/18 842,387 $846,994
Activision Blizzard, Inc., Term Loan, 7/26/20 1,350,000 $1,355,424
Adjustable Rate Mortgage Trust 2004-1, Floating Rate Note, 1/25/35 5,000,000 $482,931
Adjustable Rate Mortgage Trust 2005-2, Floating Rate Note, 6/25/35 2,260,122 $1,809,290
Adjustable Rate Mortgage Trust 2005-5, Floating Rate Note, 9/25/35 13,780,000 $1,280,362
AdvancePierre Foods, Inc., Term Loan (First Lien), 7/10/17 186,402 $186,891
Advantage Sales & Marketing, Inc., 2013 Term Loan (First Lien), 12/18/17 987,490 $989,856
Aegis Asset Backed Securities Trust 2004-6, Floating Rate Note, 3/25/35 5,700,000 $497,810
Aegis Asset Backed Securities Trust Mortgage Pass-Through Ctfs Ser 2004-2, Floating Rate Note, 6/25/ 21,291,000 $1,921,631
Aegis Asset Backed Securities Trust Mortgage Pass-Through Ctfs Ser 2005-4, Floating Rate Note, 10/25 800,000 $457,316
Aegis Asset Backed Securities Trust Mortgage Pass- Through Ctfs Series 2004-3, Floating Rate Note, 9 3,465,620 $678,923
Aegis Asset Backed Securities Trust Mortgage Pass-Through Ctfs Series 2004-4, Floating Rate Note, 10 3,977,618 $966,003
Aeroflex, Inc., Tranche B-1 Term Loan, 11/9/19 126,184 $126,815
Ah4r Flt% 17jun31 14-Sfr1-B 1,500,000 $1,501,221
Alaltd Flt% 07jun17 144a 1,000,000 $1,002,100
Albertsons LLC, Term B-2 Loan, 3/21/19 1,503,474 $1,513,134
Alkermes, Inc., 2019 Term Loan, 9/25/19 1,134,239 $1,135,656
Allegion US Holding Co, Inc., Tranche B Term Loan, 12/26/20 2,288,500 $2,288,958
Alliant Holdings I, Inc., Initial Term Loan, 12/20/19 243,940 $244,855
Alliant Techsystems, Inc., Term B Loan, 10/22/20 497,500 $498,682
Allied Security Holdings LLC, Closing Date Term Loan (First Lien), 2/12/21 517,045 $515,995
Allison Transmission, Inc., Term B-3 Loan, 8/23/19 147,760 $148,337
Ally Auto Receivables Trust 2011-2, 1.98%, 4/15/16 355,000 $179,438
Ally Auto Receivables Trust 2011-3, 1.61%, 5/16/16 602,000 $430,782
Ally Auto Receivables Trust 2013-2, Floating Rate Note, 7/15/16 1,500,000 $1,414,828
Ally Auto Receivables Trust 2014-SN1, Floating Rate Note, 10/20/16 1,800,000 $1,800,141
Ally Master Owner Trust, Floating Rate Note, 2/15/17 250,000 $251,039
Ally Master Owner Trust, Floating Rate Note, 8/15/17 3,000,000 $3,026,229
Alternative Loan Trust 2003-3T1, Floating Rate Note, 5/25/33 15,000,000 $696,325
Alternative Loan Trust 2004-18CB, 5.7%, 9/25/34 1,760,000 $97,466
Alternative Loan Trust 2004-18CB, Floating Rate Note, 9/25/34 41,975,000 $166,102
Alternative Loan Trust 2004-2CB, 5.125%, 3/25/34 1,500,000 $91,591
Alternative Loan Trust 2004-2CB, Floating Rate Note, 3/25/34 4,210,000 $19,148
Alternative Loan Trust 2004-4CB, 4.25%, 4/25/34 16,913,000 $842,036
Alternative Loan Trust 2004-6CB, Floating Rate Note, 5/25/34 16,100,000 $1,275,967
Altisource Solutions Sarl, Term B Loan, 12/9/20 992,528 $993,769
Amcar Flt% 10oct17 14-2-A2b 1,320,000 $1,320,418
AMC Entertainment, Inc., Initial Term Loan, 4/30/20 1,465,054 $1,467,032
America Movil SAB de CV, Floating Rate Note, 9/12/16 1,500,000 $1,518,899
American Airlines, Inc., Class B Term Loan, 6/27/19 2,524,500 $2,534,868
American Credit Acceptance Receivables Trust, 1.64%, 11/15/16 (144A) 1,300,000 $321,826
American Credit Acceptance Receivables Trust 2012-2, 1.89%, 7/15/16 (144A) 800,000 $84,967
American Credit Acceptance Receivables Trust 2013-1, 1.45%, 4/16/18 (144A) 1,715,000 $767,867
American Credit Acceptance Receivables Trust 2013-2, 1.32%, 2/15/17 (144A) 805,000 $387,054
American Credit Acceptance Receivables Trust 2014-1, 1.14%, 3/12/18 (144A) 645,000 $475,660
American Credit Acceptance Receivables Trust 2014-2, 0.99%, 10/10/17 (144A) 3,300,000 $3,010,629
American Express Centurion Bank, Floating Rate Note, 11/13/15 2,950,000 $2,965,766
American Express Credit Account Master Trust, Floating Rate Note, 1/15/20 50,000 $50,010
American Express Credit Account Master Trust, Floating Rate Note, 2/15/18 1,945,000 $1,968,027
American Express Credit Account Master Trust, Floating Rate Note, 3/15/17 5,615,000 $5,626,814
American Express Credit Account Master Trust, Floating Rate Note, 3/15/18 8,890,000 $8,896,137
American Express Credit Corp., 1.75%, 6/12/15 2,000,000 $2,027,213
American Express Credit Corp., Floating Rate Note, 6/12/15 3,185,000 $3,218,889
American Express Credit Corp., Floating Rate Note, 7/29/16 2,850,000 $2,871,942
American Honda Finance Corp., 1.0%, 8/11/15 (144A) 1,000,000 $1,008,583
American Honda Finance Corp., 1.85%, 9/19/14 (144A) 600,000 $604,841
American Honda Finance Corp., Floating Rate Note, 10/7/16 950,000 $958,907
American Honda Finance Corp., Floating Rate Note, 11/13/14 (144A) 300,000 $300,253
American Honda Finance Corp., Floating Rate Note, 5/26/16 (144A) 3,050,000 $3,064,928
AmeriCredit Automobile Receivables Trust 2011-5, 2.45%, 12/8/16 1,700,000 $1,715,651
AmeriCredit Automobile Receivables Trust 2012-5, 0.51%, 1/8/16 2,600,000 $204,845
AmeriCredit Automobile Receivables Trust 2013-1, 0.49%, 6/8/16 2,000,000 $452,304
AmeriCredit Automobile Receivables Trust 2013-2, 0.65%, 12/8/17 485,000 $485,556
AmeriCredit Automobile Receivables Trust 2013-4, 0.74%, 11/8/16 1,500,000 $1,036,737
Ameriquest Mortgage Securities Inc Asset-Backed Pass-Through Ctfs Ser 2003-11, Floating Rate Note, 1 6,950,000 $316,255
Ameriquest Mortgage Securities Inc Asset-Backed Pass-Through Ctfs Ser 2005-R1, Floating Rate Note, 3 2,757,237 $1,650,557
Ameriquest Mortgage Securities Inc Asset-Backed Pass-Through Ctfs Ser 2005-R10, Floating Rate Note, 15,705,000 $1,012,105
Ameriquest Mortgage Securities Inc Asset Backed Pass-Through Ctfs Ser 2005-R11, Floating Rate Note, 810,000 $599,990
Ameriquest Mortgage Securities Inc Asset-Backed Pass-Through Ctfs Ser 2005-R5, Floating Rate Note, 7 84,000 $83,917
Ameriquest Mortgage Securities Inc Asset-Backed Pass-Through Ctfs Ser 2005-R6, Floating Rate Note, 8 2,850,000 $38,136
Ameriquest Mort Sec Inc Asset Backed Pass Thr Cert 03 AR3, Floating Rate Note, 6/25/33 729,633 $484,329
Anheuser-Busch Companies LLC, 5.0%, 1/15/15 1,691,000 $1,772,272
Anheuser-Busch InBev Finance, Inc., Floating Rate Note, 1/27/17 1,900,000 $1,903,843
Anheuser-Busch InBev Worldwide, Inc., 1.5%, 7/14/14 2,300,000 $2,317,053
Anheuser-Busch InBev Worldwide, Inc., 4.125%, 1/15/15 2,120,000 $2,202,773
Anheuser-Busch InBev Worldwide, Inc., Floating Rate Note, 7/14/14 2,472,000 $2,475,466
Apex Tool Group LLC, Term Loan, 1/31/20 1,234,375 $1,222,546
Apple, Inc., Floating Rate Note, 5/3/16 1,500,000 $1,501,265
Arc Automotive Group, Inc., Term Loan, 11/15/18 479,219 $481,615
Ardagh Holdings USA, Inc., New Term Loan, 12/17/19 684,000 $684,713
ARI Fleet Lease Trust 2012-A, Floating Rate Note, 3/15/20 (144A) 2,070,000 $544,513
ARI Fleet Lease Trust 2012-B, Floating Rate Note, 1/15/21 (144A) 900,000 $357,051
ARI Fleet Lease Trust 2013-A, 0.7%, 12/15/15 (144A) 1,515,000 $1,098,945
ARI Fleet Lease Trust 2014-A, 0.81%, 11/15/22 (144A) 2,000,000 $2,002,650
Arlington Flt% 01aug15 100,000 $100,810
Armor Re, Ltd., Floating Rate Note, 12/15/16 (Cat Bond) (144A) 1,000,000 $986,822
Armstrong World Industries, Inc., Term Loan B, 3/15/20 1,086,497 $1,090,396
Arysta Lifescience SPC LLC, Initial Term Loan (First Lien), 5/29/20 2,353,362 $2,369,513
Ascentium Equipment Receivables 2012-1 LLC, 1.83%, 9/15/19 (144A) 1,528,000 $383,772
Ascentium Equipment Receivables 2014-1 LLC, 1.04%, 1/10/17 1,000,000 $1,000,841
ASG Resecuritization Trust 2010-3, Floating Rate Note, 12/28/45 (144A) 5,216,443 $2,564,076
Asset Backed Securities Corp Home Equity Loan Trust Series 2005-HE2, Floating Rate Note, 2/25/35 8,100,000 $983,535
Asset Backed Securities Corp Home Equity Loan Trust Series 2005-HE3, Floating Rate Note, 4/25/35 724,529 $612,911
Asset Backed Securities Corp Home Equity Loan Trust Series AEG 2006-HE1, Floating Rate Note, 1/25/36 6,155,063 $1,223,049
Asset Backed Securities Corp Home Equity Loan Trust Series OOMC 2005-HE6, Floating Rate Note, 7/25/3 1,879,167 $1,564,218
AT&T, Inc., 0.875%, 2/13/15 1,850,000 $1,862,072
Atlantic Power LP, Term Loan, 2/20/21 2,953,023 $2,989,936
Atlas IX Capital, Ltd., Floating Rate Note, 1/17/19 (Cat Bond) (144A) 1,500,000 $1,556,938
Atlas Reinsurance VII, Ltd., Floating Rate Note, 1/7/16 (Cat Bond) (144A) 1,000,000 $1,056,458
AUDIO VISUAL SERVICES CORPORATION, Initial Term Loan (First Lien), 1/24/21 229,425 $230,321
Avago Technologies Ltd 1st Lien Tl-B L + 3% 16apr21 1,300,000 $1,306,031
Avis Budget Car Rental LLC, Tranche B Term Loan, 3/15/19 1,286,104 $1,287,551
AWAS Finance Luxembourg 2012 SA, Term Loan, 7/16/18 453,057 $453,906
Axalta Coating Systems US Holdings, Inc., Refinanced Term B Loan, 2/1/20 1,076,940 $1,078,885
AXIS Equipment Finance Receivables II LLC, 1.75%, 6/20/16 1,000,000 $757,081
Az Chem Us Inc 1st Lien Tl-B L + 3.5% 09jun21 2,016,025 $2,037,026
Bac Flt% 15jan15 1,000,000 $1,002,867
BA Credit Card Trust, Floating Rate Note, 12/15/16 50,000 $50,000
BA Credit Card Trust, Floating Rate Note, 12/15/16 6,150,000 $6,150,198
BA Credit Card Trust, Floating Rate Note, 9/16/19 2,800,000 $2,802,864
BAMLL Commercial Mortgage Securities Trust 2012-CLRN, Floating Rate Note, 8/15/29 (144A) 2,275,000 $2,277,838
BAMLL Commercial Mortgage Securities Trust 2012-CLRN, Floating Rate Note, 8/15/29 (144A) 3,035,000 $3,041,081
Banc of America Funding 2004-B Trust, Floating Rate Note, 12/20/34 20,499,000 $1,687,342
Banc of America Large Loan Trust 2007-BMB1, Floating Rate Note, 8/15/29 (144A) 3,000,000 $3,000,958
Banc of America Merrill Lynch Commercial Mortgage, Inc., Floating Rate Note, 10/10/45 4,730,000 $4,754,770
Banc of America Merrill Lynch Commercial Mortgage, Inc., Floating Rate Note, 7/10/43 1,985,000 $1,932,885
Banc of America Merrill Lynch Commercial Mortgage, Inc., Floating Rate Note, 9/10/47 6,175,000 $6,482,348
Banc of America Mortgage 2003-A Trust, Floating Rate Note, 2/25/33 10,560,000 $109,298
Banc of America Mortgage 2003-F Trust, Floating Rate Note, 7/25/33 5,472,215 $287,851
Banc of America Mortgage 2004-I Trust, Floating Rate Note, 10/25/34 6,000,000 $455,335
Bank of America Corp., 5.45%, 7/15/14 4,980,000 $5,115,912
Bank of America Corp., Floating Rate Note, 3/22/16 6,000,000 $6,046,093
Bank of America NA, Floating Rate Note, 2/14/17 2,000,000 $2,003,938
Bank of Nova Scotia, 1.85%, 1/12/15 100,000 $101,726
Bank of Nova Scotia, Floating Rate Note, 1/12/15 4,275,000 $4,308,706
Bank of Nova Scotia, Floating Rate Note, 12/13/16 1,800,000 $1,807,160
Bank of Nova Scotia, Floating Rate Note, 3/15/16 2,000,000 $2,007,106
Bank of Nova Scotia, Floating Rate Note, 7/15/16 1,500,000 $1,510,606
Bank of Nova Scotia Houston, Floating Rate Note, 10/23/15 1,000,000 $1,001,981
Barclays Bank Plc, Floating Rate Note, 2/17/17 821,000 $824,354
Barclays Dryrock Issuance Trust, Floating Rate Note, 12/16/19 1,050,000 $1,051,353
Barclays Dryrock Issuance Trust, Floating Rate Note, 3/16/20 1,800,000 $1,800,834
Barclays Dryrock Issuance Trust, Floating Rate Note, 7/16/18 200,000 $200,261
Barclays Dryrock Issuance Trust, Floating Rate Note, 8/15/17 2,000,000 $2,000,251
Baxter International, Inc., Floating Rate Note, 12/11/14 895,000 $895,731
Bayview Financial Acquisition Trust, 6.205%, 5/28/37 (Step) 100,000 $61,814
Bayview Financial Acquisition Trust, Floating Rate Note, 2/28/44 46,440,000 $1,923,101
Bayview Financial Acquisition Trust, Floating Rate Note, 5/28/44 23,920,000 $499,193
Bayview Financial Mortgage Pass-Through Trust 2005-C, Floating Rate Note, 6/28/44 8,536,000 $233,188
Bayview Financial Mortgage Pass-Through Trust 2006-A, Floating Rate Note, 2/28/41 6,439,000 $798,806
Bayview Financial Mortgage Pass-Through Trust 2006-A, Floating Rate Note, 2/28/41 5,200,000 $184,576
Bayview Financial Mortgage Pass-Through Trust 2006-B, Floating Rate Note, 4/28/36 8,680,000 $716,079
Bayview Financial Mortgage Pass-Through Trust 2006-B, Floating Rate Note, 4/28/36 4,911,055 $1,444,431
Bayview Financial Mortgage Pass-Through Trust Series 2005-B, Floating Rate Note, 4/28/39 1,899,351 $1,870,156
Bayview Opportunity Master Fund IIa Trust 2012-4NPL, 3.9496%, 1/28/34 (Step) 2,125,000 $1,777,001
Bayview Opportunity Master Fund Trust IIB LP, Floating Rate Note, 1/28/33 (144A) 1,000,000 $469,050
BCAP LLC 2009-RR13-I Trust, Floating Rate Note, 9/26/35 (144A) 8,854,257 $2,504,358
BCAP LLC 2013-RR3 Trust, Floating Rate Note, 5/26/36 (144A) 1,084,000 $890,347
BCC Funding VIII LLC, 1.794%, 6/20/20 2,000,000 $1,740,722
Bear Stearns ALT-A Trust 2003-3, Floating Rate Note, 10/25/33 350,000 $60,667
Bear Stearns ALT-A Trust 2004-11, Floating Rate Note, 11/25/34 21,976,800 $1,299,537
Bear Stearns ALT-A Trust 2004-12, Floating Rate Note, 1/25/35 17,745,000 $2,214,280
Bear Stearns ALT-A Trust 2004-12, Floating Rate Note, 1/25/35 25,907,600 $3,529,182
Bear Stearns ALT-A Trust 2004-12, Floating Rate Note, 1/25/35 11,245,000 $1,313,321
Bear Stearns ALT-A Trust 2004-12, Floating Rate Note, 1/25/35 25,745,000 $3,524,882
Bear Stearns ALT-A Trust 2004-13, Floating Rate Note, 11/25/34 9,625,000 $531,620
Bear Stearns ALT-A Trust 2004-4, Floating Rate Note, 6/25/34 33,443,000 $2,904,527
Bear Stearns ALT-A Trust 2004-8, Floating Rate Note, 9/25/34 12,800,000 $1,059,693
Bear Stearns ARM Trust 2003-3, Floating Rate Note, 5/25/33 42,906,215 $1,374,137
Bear Stearns ARM Trust 2004-3, Floating Rate Note, 7/25/34 10,718,797 $422,060
Bear Stearns ARM Trust 2005-5, Floating Rate Note, 8/25/35 5,635,000 $630,826
Bear Stearns Asset Backed Securities I Trust 2005-FR1, Floating Rate Note, 6/25/35 5,850,460 $2,370,851
Bear Stearns Asset Backed Securities I Trust 2005-HE8, Floating Rate Note, 8/25/35 4,984,852 $411,196
Bear Stearns Asset Backed Securities Trust, Floating Rate Note, 2/25/35 21,336,125 $1,487,866
Bear Stearns Asset Backed Securities Trust 2003-AC5, Floating Rate Note, 10/25/33 2,875,000 $296,894
Bear Stearns Asset Backed Securities Trust 2004-2, Floating Rate Note, 8/25/34 1,523,000 $287,198
Bear Stearns Asset Backed Securities Trust 2004-2, Floating Rate Note, 8/25/34 158,000 $6,624
Bear Stearns Asset Backed Securities Trust 2004-SD3, Floating Rate Note, 9/25/34 310,000 $147,146
Bear Stearns Asset Backed Securities Trust 2005-SD1, Floating Rate Note, 8/25/43 310,000 $104,716
Bear Stearns Asset Backed Securities Trust 2005-SD2, Floating Rate Note, 3/25/35 1,000,000 $142,211
Bear Stearns Asset Backed Securities Trust 2005-SD2, Floating Rate Note, 3/25/35 5,000,000 $1,677,092
Bear Stearns Commercial Mortgage Securities Trust 2005-PWR8, 4.75%, 6/11/41 1,330,000 $1,374,017
Bear Stearns Commercial Mortgage Securities Trust 2005-PWR9, Floating Rate Note, 9/11/42 3,751,000 $3,911,611
Bear Stearns Commercial Mortgage Securities Trust 2005-TOP18, Floating Rate Note, 2/13/42 3,975,000 $3,528,880
Bear Stearns Mortgage Securities, Inc., Floating Rate Note, 6/25/30 2,875,810 $545,255
Bear Stearns Structured Products Trust 2007-EMX1, Floating Rate Note, 3/25/37 (144A) 4,870,000 $1,072,711
Belden Finance 2013 LP, Initial Term Loan, 9/9/20 646,750 $648,262
Berkeley-Kane Flt% 12jun15 2,008,000 $2,017,036
Berkshire Hathaway Finance Corp., Floating Rate Note, 1/10/17 1,855,000 $1,857,042
BHP Billiton Finance USA, Ltd., Floating Rate Note, 9/30/16 1,795,000 $1,798,888
Big Heart Pet Brands, Initial Term Loan, 2/24/20 480,666 $478,263
BioScrip, Inc., Delayed Draw Term Loan, 7/31/20 328,915 $330,971
BioScrip, Inc., Initial Term B Loan, 7/31/20 548,191 $551,618
BlackRock, Inc., 3.5%, 12/10/14 1,037,000 $1,054,063
Blue Danube, Ltd., Floating Rate Note, 4/10/15 (Cat Bond) (144A) 1,945,000 $2,068,898
Blue Danube, Ltd., Floating Rate Note, 4/10/15 (Cat Bond) (144A) 600,000 $618,169
Blue Danube II, Ltd., Floating Rate Note, 5/23/16 (Cat Bond) (144A) 2,125,000 $2,154,388
BMW Floorplan Master Owner Trust, Floating Rate Note, 9/15/17 (144A) 3,000,000 $3,009,954
BMW Vehicle Lease Trust 2013-1, 0.4%, 1/20/15 1,495,000 $225,807
BMW Vehicle Owner Trust 2011-A, 0.76%, 8/25/15 2,630,000 $186,757
BNC Mortgage Loan Trust 2007-4, Floating Rate Note, 11/25/37 9,500,000 $377,837
Boams Flt% 25may34 04-D-2a1 17,088,000 $2,092,283
Boca Hotel Portfolio Trust 2013-BOCA, Floating Rate Note, 8/15/26 (144A) 1,375,000 $1,379,035
Boit Flt% 15apr19 07-B1-2007- 150,000 $149,092
Bombardier Recreational Products, Inc., Term B Loan, 1/30/19 188,571 $188,942
Booz Allen Hamilton, Inc., Refinance Tranche B, 7/31/19 1,358,138 $1,365,607
Bosphorus 1 Re, Ltd., Floating Rate Note, 5/3/16 (Cat Bond) (144A) 750,000 $749,027
Branch Banking & Trust Co., Floating Rate Note, 5/23/17 500,000 $496,545
Branch Banking & Trust Co., Floating Rate Note, 9/13/16 1,814,000 $1,807,268
Bright Horizons Family Solutions, Inc., Term B Loan, 1/30/20 374,300 $374,651
BSN medical International Holding GmbH & Co KG, Facility B1b, 8/28/19 593,611 $594,353
Burger King Corp., Tranche B Term Loan (2012), 9/28/19 242,678 $243,873
BWAY Holding Co., Initial Term Loan, 8/6/17 791,489 $795,446
Cabela's Master Credit Card Trust, Floating Rate Note, 1/16/18 (144A) 3,392,000 $3,416,688
Cabela's Master Credit Card Trust, Floating Rate Note, 2/18/20 (144A) 150,000 $151,180
Cabela's Master Credit Card Trust, Floating Rate Note, 3/16/20 (144A) 900,000 $900,699
Cabela's Master Credit Card Trust, Floating Rate Note, 6/17/19 (144A) 1,500,000 $1,509,974
Cabela's Master Credit Card Trust, Floating Rate Note, 9/17/18 (144A) 300,000 $301,649
Caelus Re, Ltd., Floating Rate Note, 3/7/16 (Cat Bond) (144A) 2,500,000 $2,556,427
Caelus Re 2013, Ltd., Floating Rate Note, 4/7/17 (Cat Bond) (144A) 2,300,000 $2,424,488
Cah Flt% 17jul31 C 2,100,000 $2,102,675
California Republic Auto Receivables Trust 2012-1, 1.18%, 8/15/17 (144A) 1,138,000 $426,520
Calpine Construction Finance Co LP, Term B-1 Loan, 5/3/20 1,188,000 $1,168,908
Calpine Corp., Term Loan, 10/9/19 762,115 $765,343
CAM Mortgage Trust 2014-1, 3.3515%, 12/15/53 (Step) (144A) 2,060,000 $1,045,031
Cammt Flt% 15dec53 14-2-A 2,130,000 $2,130,769
Campbell Soup Co., Floating Rate Note, 8/1/14 3,225,000 $3,228,722
Canadian National Railway Co., Floating Rate Note, 11/6/15 1,675,000 $1,676,559
Canadian Natural Resources, Ltd., 1.45%, 11/14/14 1,330,000 $1,338,065
Canadian Natural Resources, Ltd., Floating Rate Note, 3/30/16 2,399,000 $2,407,930
Capital Auto Receivables Asset Trust 2013-3, Floating Rate Note, 11/20/15 840,000 $840,718
Capital One Financial Corp., 2.125%, 7/15/14 4,440,000 $4,486,534
Capital One Financial Corp., Floating Rate Note, 11/6/15 1,875,000 $1,886,667
Capital One Financial Corp., Floating Rate Note, 7/15/14 6,265,000 $6,285,669
Capital One Multi-Asset Execution Trust, Floating Rate Note, 8/15/18 6,145,000 $6,139,394
Capital One NA, Floating Rate Note, 3/22/16 1,900,000 $1,904,667
CarMax Auto Owner Trust 2010-2, 2.04%, 10/15/15 220,000 $44,219
CarMax Auto Owner Trust 2011-3, 1.07%, 6/15/16 518,000 $173,156
Carmx 2.16% 15sep16 11-1-A4 200,000 $152,899
Carrington Mortgage Loan Trust Series 2005-NC1, Floating Rate Note, 2/25/35 9,679,028 $2,711,533
Carrington Mortgage Loan Trust Series 2005-NC4, Floating Rate Note, 9/25/35 375,000 $59,398
Carrington Mortgage Loan Trust Series 2006-OPT1, Floating Rate Note, 2/25/36 9,778,000 $2,121,690
Castle Garden Funding, Floating Rate Note, 10/27/20 (144A) 7,000,000 $1,713,838
Caterpillar Financial Services Corp., Floating Rate Note, 2/26/16 1,500,000 $1,503,538
Caterpillar Financial Services Corp., Floating Rate Note, 2/9/15 2,000,000 $2,006,362
CBS Outdoor Americas Capital LLC, Term Loan, 1/15/21 1,629,423 $1,626,495
CCG Receivables Trust 2014-1, 1.44%, 11/14/21 (144A) 1,900,000 $1,902,422
CCG Receivables Truste 2013-1, 1.05%, 4/14/20 (144A) 900,000 $639,501
Cedar Fair LP, U.S. Term Facility, 3/6/20 98,476 $99,042
Cellular South, Inc., Term Loan B, 5/23/20 61,719 $61,603
Centex Home Equity Loan Trust 2003-A, Floating Rate Note, 3/25/33 2,230,000 $429,940
Cequel Communications LLC, Term Loan, 2/14/19 1,147,333 $1,149,556
CGBAM Commercial Mortgage Trust 2014-HD, Floating Rate Note, 2/15/31 1,050,000 $1,051,008
Cgcc14-Fl1 Flt% 15jun31 A 5,670,000 $5,670,173
CGWF Commercial Mortgage Trust 2013-RKWH, Floating Rate Note, 11/15/30 (144A) 3,780,000 $3,798,976
Charter Communications Operating LLC, Term F Loan, 12/31/20 1,311,750 $1,294,533
Chase Funding Trust Series 2002-4, Floating Rate Note, 10/25/32 1,000,000 $19,234
Chase Issuance Trust, 0.47%, 5/15/17 200,000 $200,180
Chase Issuance Trust, Floating Rate Note, 10/16/17 2,700,000 $2,700,317
Chase Issuance Trust, Floating Rate Note, 2/15/17 4,600,000 $4,599,627
Chase Issuance Trust, Floating Rate Note, 4/15/19 1,350,000 $1,342,717
Chase Issuance Trust, Floating Rate Note, 4/16/18 3,000,000 $3,003,354
Chase Issuance Trust, Floating Rate Note, 5/15/17 2,000,000 $1,999,666
Chase Issuance Trust, Floating Rate Note, 8/15/17 8,130,000 $8,130,954
Chase Mortgage Finance Trust Series 2005-S1, 5.5%, 5/25/35 19,264,330 $494,677
Chemtura Corp., New Term Loan, 8/29/16 371,082 $372,242
Chesapeake Funding LLC, Floating Rate Note, 11/7/23 (144A) 250,000 $253,110
Chesapeake Funding LLC, Floating Rate Note, 11/7/23 (144A) 3,790,000 $2,026,887
Chesapeake Funding LLC, Floating Rate Note, 3/7/26 1,900,000 $1,902,908
Chesapeake Funding LLC, Floating Rate Note, 4/7/24 (144A) 2,050,000 $1,494,941
Chesapeake Funding LLC, Floating Rate Note, 5/7/24 (144A) 200,000 $201,687
Chesapeake Funding LLC, Floating Rate Note, 5/7/24 (144A) 2,000,000 $1,481,023
Chevy Chase Funding LLC Mortgage-Backed Certificates Series 2004-1, Floating Rate Note, 1/25/35 (144 3,700,000 $115,260
Chevy Chase Funding LLC Mortgage-Backed Certificates Series 2004-3, Floating Rate Note, 8/25/35 (144 1,300,000 $60,201
CHL Mortgage Pass-Through Trust 2003-11, Floating Rate Note, 5/25/33 30,308,000 $366,847
CHL Mortgage Pass-Through Trust 2003-15, Floating Rate Note, 6/25/18 25,913,062 $741,363
CHL Mortgage Pass-Through Trust 2003-J7, Floating Rate Note, 8/25/18 2,400,000 $67,611
CHL Mortgage Pass-Through Trust 2004-29, Floating Rate Note, 2/25/35 61,136,000 $3,300,809
Chrysler Group LLC, Tranche B Term Loan, 12/29/18 2,892,750 $2,889,122
CHS, 2021 Term D Loan, 1/27/21 72,008 $72,543
CIFC Funding 2007-I, Ltd., Floating Rate Note, 5/10/21 500,000 $405,473
CIH International Sarl, European Term B Loan, 5/1/20 990,000 $994,239
Cincinnati Bell, Inc., Tranche B Term Loan, 9/10/20 1,240,625 $1,242,305
Cisco Systems, Inc., Floating Rate Note, 3/3/17 1,000,000 $1,004,367
Cisco Systems, Inc., Floating Rate Note, 9/3/15 1,000,000 $1,000,675
Citibank Credit Card Issuance Trust, 4.55%, 6/20/17 639,000 $665,572
Citibank Credit Card Issuance Trust, 4.9%, 12/12/16 200,000 $204,658
Citibank Credit Card Issuance Trust, Floating Rate Note, 11/25/16 4,050,000 $4,050,900
Citibank Credit Card Issuance Trust, Floating Rate Note, 11/7/18 3,490,000 $3,492,896
Citibank Credit Card Issuance Trust, Floating Rate Note, 12/12/16 3,070,000 $3,071,237
Citibank Credit Card Issuance Trust, Floating Rate Note, 2/7/18 9,931,000 $9,941,139
Citibank Credit Card Issuance Trust, Floating Rate Note, 4/24/17 10,870,000 $10,866,939
Citibank Credit Card Issuance Trust, Floating Rate Note, 5/22/17 3,900,000 $3,937,356
Citicorp Mortgage Securities REMIC Pass-Through Certificates Trust Series 2005-4, 5.0%, 7/25/20 486,000 $20,435
Citicorp Mortgage Securities REMIC Pass-Through Certificates Trust Series 2005-7, 5.0%, 10/25/35 17,468,000 $1,760,045
Citigroup, Inc., 5.0%, 9/15/14 1,300,000 $1,330,649
Citigroup, Inc., 5.5%, 10/15/14 1,473,000 $1,511,367
Citigroup, Inc., Floating Rate Note, 11/15/16 1,700,000 $1,710,599
Citigroup, Inc., Floating Rate Note, 11/5/14 2,692,000 $2,695,252
Citigroup, Inc., Floating Rate Note, 4/1/16 1,325,000 $1,336,836
Citigroup, Inc., Floating Rate Note, 7/25/16 3,700,000 $3,748,353
Citigroup Commercial Mortgage Trust 2007-FL3, Floating Rate Note, 4/15/22 (144A) 1,430,707 $758,104
Citigroup Commercial Mortgage Trust 2007-FL3, Floating Rate Note, 4/15/22 (144A) 1,982,362 $1,965,991
Citigroup Commercial Mortgage Trust 2007-FL3, Floating Rate Note, 4/15/22 (144A) 1,105,112 $1,093,157
Citigroup Commercial Mortgage Trust 2007-FL3, Floating Rate Note, 4/15/22 (144A) 497,205 $493,058
Citigroup Mortgage Loan Trust, Inc., 6.5%, 6/25/16 10,100,000 $14,311
Citigroup Mortgage Loan Trust, Inc., Floating Rate Note, 10/25/34 4,100,000 $46,113
Citigroup Mortgage Loan Trust, Inc., Floating Rate Note, 11/25/34 3,500,000 $233,255
Citigroup Mortgage Loan Trust, Inc., Floating Rate Note, 5/25/35 (144A) 1,150,000 $17,214
Citigroup Mortgage Loan Trust 2006-HE1, Floating Rate Note, 1/25/36 300,000 $13,252
Citigroup Mortgage Loan Trust 2006-SHL1, Floating Rate Note, 11/25/45 (144A) 13,635,000 $1,626,544
Citigroup Mortgage Loan Trust 2010-7, Floating Rate Note, 9/25/37 (144A) 6,105,345 $1,579,093
Citrus Re, Ltd., Floating Rate Note, 4/18/17 (Cat Bond) (144A) 250,000 $244,925
Citrus Re, Ltd., Floating Rate Note, 4/24/17 (Cat Bond) (144A) 1,350,000 $1,315,305
City Center Trust 2011-CCHP, Floating Rate Note, 7/15/28 (144A) 950,000 $952,011
CLI Funding LLC, Floating Rate Note, 8/18/21 (144A) 7,250,000 $1,417,923
Cnh 0.6899999999999999% 15jun18 13-A-A3 69,000 $69,153
CNH Equipment Trust 2011-C, 1.19%, 12/15/16 1,460,621 $495,376
CNH Equipment Trust 2013-C, 0.63%, 1/17/17 1,903,426 $1,523,713
CNH Wholesale Master Note Trust, Floating Rate Note, 8/15/19 (144A) 1,550,000 $1,554,804
CNL Commercial Mortgage Loan Trust 2002-1, Floating Rate Note, 10/25/28 (144A) 42,221,000 $1,428,819
CNL Commercial Mortgage Loan Trust 2003-2, Floating Rate Note, 10/25/30 (144A) 3,600,000 $333,489
CNO Financial Group, Inc., Tranche B-2 Term Loan, 9/28/18 462,349 $463,216
Coca-Cola Enterprises, Inc., 2.125%, 9/15/15 551,000 $564,538
Colony American Homes 2014-1, Floating Rate Note, 5/17/31 2,300,000 $2,303,235
Combine Re, Ltd., Floating Rate Note, 1/7/15 (Cat Bond) (144A) 2,000,000 $2,117,778
Combine Re, Ltd., Floating Rate Note, 1/7/15 (Cat Bond) (144A) 2,970,000 $3,034,895
COMM 2005-C6 Mortgage Trust, Floating Rate Note, 6/10/44 2,675,000 $2,678,460
COMM 2006-FL12 Mortgage Trust, Floating Rate Note, 12/15/20 (144A) 11,100,000 $1,942,168
COMM 2006-FL12 Mortgage Trust, Floating Rate Note, 12/15/20 (144A) 2,910,000 $1,852,690
COMM 2007-FL14 Mortgage Trust, Floating Rate Note, 6/15/22 (144A) 9,355,000 $1,959,848
COMM 2011-FL1 Mortgage Trust, Floating Rate Note, 7/17/28 (144A) 500,000 $161,791
COMM 2013-FL3 Mortgage Trust, Floating Rate Note, 10/13/28 (144A) 1,597,000 $1,592,756
COMM 2014-TWC Mortgage Trust, Floating Rate Note, 2/13/32 (144A) 6,150,000 $6,190,652
Commercial Mortgage Pass Through Certificates, Floating Rate Note, 11/17/26 (144A) 2,250,000 $2,062,703
Commercial Mortgage Trust 2005-GG3, Floating Rate Note, 8/10/42 3,300,000 $3,365,054
Commercial Mortgage Trust 2005-GG3, Floating Rate Note, 8/10/42 1,465,000 $1,483,749
Comm Flt% 10jun44 05-C6-A5b 5,670,000 $5,935,451
Comm Flt% 11jun27 14-Kyo-C 5,740,000 $5,740,000
Comm Flt% 15jun34 14-Sava-B 3,954,000 $3,954,000
Commonwealth Bank of Australia, Floating Rate Note, 12/4/15 (144A) 1,800,000 $1,801,407
Commonwealth Bank of Australia, Floating Rate Note, 3/13/17 (144A) 2,000,000 $2,003,248
Commonwealth Bank of Australia, Floating Rate Note, 9/18/15 (144A) 1,575,000 $1,589,038
CommScope, Inc., Tranche 3 Term Loan, 1/21/17 158,836 $158,935
CommScope, Inc., Tranche 4 Term Loan, 1/14/18 238,254 $239,147
Compass Re, Ltd., Floating Rate Note, 1/8/15 (Cat Bond) (144A) 250,000 $258,275
Compass Re, Ltd., Floating Rate Note, 1/8/15 (Cat Bond) (144A) 250,000 $260,759
Compass Re, Ltd., Floating Rate Note, 1/8/15 (Cat Bond) (144A) 1,000,000 $1,038,510
Confie seguros Holding II Co., Term B Loan (First Lien), 11/9/18 496,192 $498,209
Connecticut State Health & Educational Facility Authority, Floating Rate Note, 7/1/33 15,775,000 $15,775,471
Conseco Financial Corp., 7.05%, 1/15/19 600,362 $7,445
ConvaTec, Inc., Dollar Term Loan, 12/22/16 696,876 $698,392
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA New York, Floating Rate Note, 3/18/16 1,575,000 $1,584,309
Countrywide Asset-Backed Certificates, Floating Rate Note, 1/25/36 125,000 $21,117
Countrywide Asset-Backed Certificates, Floating Rate Note, 10/25/34 5,000,000 $2,211,382
Countrywide Asset-Backed Certificates, Floating Rate Note, 11/25/34 21,906,000 $690,997
Countrywide Asset-Backed Certificates, Floating Rate Note, 11/25/35 (144A) 7,825,000 $362,307
Countrywide Asset-Backed Certificates, Floating Rate Note, 12/25/34 2,000,000 $1,380,721
Countrywide Asset-Backed Certificates, Floating Rate Note, 12/25/35 750,000 $194,830
Countrywide Asset-Backed Certificates, Floating Rate Note, 2/25/33 1,113,000 $263,929
Countrywide Asset-Backed Certificates, Floating Rate Note, 5/25/35 5,600,000 $1,640,096
Countrywide Asset-Backed Certificates, Floating Rate Note, 5/25/36 5,000,000 $447,147
Countrywide Asset-Backed Certificates, Floating Rate Note, 6/25/33 (144A) 8,175,000 $178,792
Countrywide Asset-Backed Certificates, Floating Rate Note, 6/25/33 (144A) 2,000,000 $43,468
Countrywide Asset-Backed Certificates, Floating Rate Note, 6/25/35 1,575,000 $668,437
Countrywide Asset-Backed Certificates, Floating Rate Note, 7/25/35 2,058,000 $295,893
Countrywide Home Equity Loan Trust, Floating Rate Note, 6/15/29 28,190,000 $146,865
Covanta Energy Corp., Term Loan, 3/28/19 132,667 $133,131
Covidien International Finance SA, 1.35%, 5/29/15 3,875,000 $3,911,103
Cps 1.48% 16mar20 12-D-A 1,060,000 $516,621
CPS Auto Receivables Trust 2013-B, 1.82%, 9/15/20 (144A) 731,000 $469,011
CPS Auto Receivables Trust 2014-A, 1.21%, 8/15/18 700,000 $635,353
CPS Auto Trust, 1.82%, 12/16/19 (144A) 1,179,000 $526,637
Credit Acceptance Auto Loan Trust 2012-2, 2.21%, 9/15/20 (144A) 2,000,000 $2,028,434
Credit-Based Asset Servicing and Securitization LLC, 4.59106%, 4/25/37 (Step) 7,500,000 $183,584
Credit Suisse First Boston Mortgage Securities Corp., 4.686%, 7/15/37 5,510,000 $5,549,985
Credit Suisse First Boston Mortgage Securities Corp., 4.829%, 11/15/37 649,797 $552,927
Credit Suisse First Boston Mortgage Securities Corp., 4.832%, 4/15/37 3,450,000 $3,538,250
Credit Suisse First Boston Mortgage Securities Corp., Floating Rate Note, 12/15/40 7,036,500 $5,324,679
Credit Suisse First Boston Mortgage Securities Corp., Floating Rate Note, 12/25/33 300,000 $16,586
Credit Suisse First Boston Mortgage Securities Corp., Floating Rate Note, 2/15/38 2,536,000 $2,116,957
Credit Suisse First Boston Mortgage Securities Corp., Floating Rate Note, 6/25/34 26,125,000 $345,789
Credit Suisse First Boston Mortgage Securities Corp., Floating Rate Note, 8/15/38 6,455,043 $6,551,007
Credit Suisse Mortgage Capital Certificates, Floating Rate Note, 10/15/21 (144A) 10,150,000 $2,550,585
Credit Suisse Mortgage Capital Certificates, Floating Rate Note, 10/25/36 (144A) 2,010,000 $189,824
Credit Suisse Mortgage Capital Certificates, Floating Rate Note, 7/27/36 (144A) 7,712,000 $1,892,328
Crown Castle 1st Lien Term-B2 L + 2.5% 31jan21 1,186,168 $1,187,280
Crusade Global Trust, Floating Rate Note, 11/15/37 10,000,000 $1,720,317
Crusade Global Trust, Floating Rate Note, 4/19/38 9,883,244 $1,886,237
Crusade Global Trust, Floating Rate Note, 8/14/37 5,471,271 $602,043
Csfb Flt% 25jul35 05-6-1a2 9,490,000 $1,095,305
Csmc Flt% 15dec29 14-Ice-B 3,420,000 $3,424,098
CSMC Trust 2014-SURF, Floating Rate Note, 2/15/29 (144A) 2,400,000 $2,406,079
Daimler Finance North America LLC, 1.3%, 7/31/15 (144A) 2,000,000 $2,027,122
Daimler Finance North America LLC, Floating Rate Note, 3/10/17 (144A) 1,500,000 $1,502,094
Daimler Finance North America LLC, Floating Rate Note, 8/1/16 (144A) 1,500,000 $1,515,981
Darling Ingredients, Inc., Term B USD Loan, 12/19/20 1,586,025 $1,588,008
Davita Healthcare Partners Inc 1st Lien Tl-B L + 2.75% 19jun21 476,241 $479,090
DBRR 2012- EZ1 Trust, 0.946%, 9/25/45 (144A) 1,537,145 $34,310
DEALERTRACK TECHNOLOGIES INC, Term Loan, 2/27/21 1,000,000 $1,000,306
Del Coronado Trust 2013-DEL, Floating Rate Note, 3/15/26 (144A) 1,460,000 $1,459,694
DELOS FINANCE SARL, Loan, 2/27/21 1,295,000 $1,295,809
Delta Air Lines, Inc., 2014 Term B-1 Loan, 10/18/18 740,625 $741,088
Delta Air Lines, Inc., Term Loan, 4/20/17 296,947 $297,291
Delta Funding Home Equity Loan Trust 1997-2, 7.04%, 6/25/27 1,000,000 $1,089
Deltek, Inc., Term Loan (First Lien), 10/10/18 296,985 $299,352
Deutsche Telekom International Finance BV, 4.875%, 7/8/14 2,456,000 $2,515,057
Devon Energy Corp., Floating Rate Note, 12/15/15 4,800,000 $4,820,058
DigitalGlobe, Inc., Term Loan, 1/31/20 879,494 $882,649
DineEquity, Inc., Term B-2 Loan, 10/19/17 126,321 $127,006
Direct Capital Funding V LLC, 0.7%, 9/20/14 (144A) 1,309,000 $203,652
Direct Capital Funding V LLC, 1.673%, 12/20/17 (144A) 725,000 $234,904
Discover Card Execution Note Trust, 0.81%, 8/15/17 3,000,000 $3,009,765
Discover Card Execution Note Trust, 0.86%, 11/15/17 1,700,000 $1,707,766
Discover Card Execution Note Trust, Floating Rate Note, 1/16/18 690,000 $690,471
Discover Card Execution Note Trust, Floating Rate Note, 3/15/17 1,035,000 $1,035,433
Discover Card Execution Note Trust, Floating Rate Note, 3/15/18 6,400,000 $6,435,673
Dnbno Cp Zero% 25aug14 Usd 5,745,000 $5,743,683
Drillships Financing Holding, Inc., Tranche B-1 Term Loan, 3/31/21 992,500 $1,007,388
Drugb Flt% 15jul23 14-1-A1 1,250,000 $1,250,642
Drug Royalty II LP 1, Floating Rate Note, 1/15/25 (144A) 500,000 $350,206
DT Auto Owner Trust 2012-2, 1.85%, 4/17/17 (144A) 900,000 $223,080
DT Auto Owner Trust 2013-1, 0.75%, 5/16/16 (144A) 1,232,000 $238,518
Duke Energy Corp., 3.95%, 9/15/14 1,705,000 $1,737,142
Duke Energy Corp., Floating Rate Note, 4/3/17 1,740,000 $1,747,818
Duke Energy Indiana, Inc., Floating Rate Note, 7/11/16 1,375,000 $1,381,779
Duke Energy Ohio, Inc., Floating Rate Note, 3/6/15 725,000 $725,659
Duke Energy Progress, Inc., Floating Rate Note, 3/6/17 1,275,000 $1,276,071
DynCorp International, Inc., Term Loan, 7/7/16 165,972 $166,620
Dynegy, Inc., Tranche B-2 Term Loan, 4/23/20 456,923 $458,963
East Lane Re, Ltd., Floating Rate Note, 3/13/15 (Cat Bond) (144A) 1,000,000 $1,017,586
East Lane Re V, Ltd., Floating Rate Note, 3/16/16 (Cat Bond) (144A) 250,000 $266,475
East Lane Re VI, Ltd., Floating Rate Note, 3/14/18 (144A) 2,000,000 $1,976,801
Electricite de France SA, Floating Rate Note, 1/20/17 (144A) 1,865,000 $1,875,126
Ellington Loan Acquisition Trust 2007-1, Floating Rate Note, 5/28/37 (144A) 2,400,000 $2,232,863
Ellington Loan Acquisition Trust 2007-2, Floating Rate Note, 5/25/37 (144A) 5,000,000 $557,371
Embarcadero Reinsurance, Ltd., Floating Rate Note, 2/4/16 (Cat Bond) (144A) 1,020,000 $1,032,611
Embarcadero Reinsurance, Ltd., Floating Rate Note, 8/7/15 (Cat Bond) (144A) 525,000 $539,956
Emdeon, Inc., Term B-2 Loan, 11/2/18 1,610,542 $1,613,360
Enbridge, Inc., Floating Rate Note, 10/1/16 1,650,000 $1,662,829
Endo Luxembourg Finance I 1st Lien Tl-B L + 2.5% 05nov20 498,750 $497,555
Energy Transfer Partners LP, 5.95%, 2/1/15 2,830,000 $2,976,633
Entercom Radio LLC, Term B-2 Loan, 11/23/18 357,805 $359,415
Enterprise Fleet Financing LLC, 0.87%, 9/20/19 2,000,000 $2,000,522
Enterprise Products Operating LLC, 3.7%, 6/1/15 2,050,000 $2,115,469
Envision Healthcare Corp., Initial Term Loan, 5/25/18 1,255,573 $1,259,236
Epiq Systems, Inc., Term Loan, 8/27/20 471,438 $472,616
Eqty14-Inns Flt% 08may19 B 3,530,000 $3,532,054
Equity One Mortgage Pass-Through Trust 2004-3, Floating Rate Note, 7/25/34 14,189,000 $864,656
EquiVantage Home Equity Loan Trust 1997-1, 8.05%, 3/25/28 (Step) 1,500,000 $28,478
Evergreen Skills Lux Sarl, Initial Term Loan (First Lien), 4/23/21 400,000 $400,667
Exeter Automobile Receivables Trust 2012-1, 2.02%, 8/15/16 (144A) 500,000 $12,027
Exeter Automobile Receivables Trust 2012-2, 1.3%, 6/15/17 (144A) 1,000,000 $255,539
Exeter Automobile Receivables Trust 2012-2, 3.06%, 7/16/18 (144A) 1,000,000 $1,022,710
Exeter Automobile Receivables Trust 2014-2, 1.42%, 8/15/18 1,400,000 $1,401,197
Expert Global Solutions, Inc., Term B Advance (First Lien), 4/3/18 30,457 $30,330
Express Scripts Holding Co., 2.1%, 2/12/15 2,763,000 $2,813,288
Express Scripts Holding Co., 2.75%, 11/21/14 5,005,000 $5,067,285
Extended Stay America Trust 2013-ESH, Floating Rate Note, 12/5/31 (144A) 900,000 $900,054
Extended Stay America Trust 2013-ESH, Floating Rate Note, 12/5/31 (144A) 800,000 $800,198
Exxon Mobil Corp., Floating Rate Note, 3/15/17 1,980,000 $1,980,220
Fannie Mae, 6.5%, 1/1/15 1,381,759 $1,606
Fannie Mae, 7.0%, 10/1/17 2,241,352 $7,794
Fannie Mae, Floating Rate Note, 1/1/48 175,000 $26,046
Fannie Mae, Floating Rate Note, 10/1/32 500,000 $27,805
Fannie Mae, Floating Rate Note, 11/1/23 970,000 $11,573
Fannie Mae, Floating Rate Note, 2/1/34 500,000 $31,834
Fannie Mae, Floating Rate Note, 4/1/15 4,200,043 $1,530
Fannie Mae, Floating Rate Note, 9/1/32 375,000 $23,769
Fannie Mae Connecticut Avenue Securities, Floating Rate Note, 10/25/23 1,705,000 $1,599,249
Fannie Mae Trust 2003-W6, Floating Rate Note, 9/25/42 10,100,000 $883,395
Fannie Mae Trust 2005-W4, Floating Rate Note, 6/25/35 1,500,000 $249,158
Fannie Mae Whole Loan, Floating Rate Note, 11/25/46 6,020,000 $1,176,449
FCI - FIDJI LUXEMBOURG BC4 SARL, Term Loan, 12/19/20 1,382,500 $1,396,325
F Cp Zero% 02jul14 Usd 5,625,000 $5,624,961
Federal Farm Credit Banks, Floating Rate Note, 1/20/15 1,490,000 $1,491,943
Federal Farm Credit Banks, Floating Rate Note, 10/23/14 3,500,000 $3,501,823
Federal Farm Credit Banks, Floating Rate Note, 12/15/14 3,000,000 $3,001,303
Federal Farm Credit Banks, Floating Rate Note, 3/4/15 1,360,000 $1,361,223
Federal Farm Credit Banks, Floating Rate Note, 3/9/15 2,200,000 $2,199,637
Federal Farm Credit Banks, Floating Rate Note, 7/16/14 5,529,000 $5,531,468
Federal Farm Credit Banks, Floating Rate Note, 9/24/14 2,440,000 $2,440,560
Federal Home Loan Banks, 2.9%, 4/20/17 4,130,000 $876,952
Federal Home Loan Banks, 5.739%, 7/18/14 2,050,000 $375,838
Federal Home Loan Mortgage Corp., 3.0%, 7/28/14 7,790,000 $7,906,468
Federal Home Loan Mortgage Corp., 5.0%, 7/15/14 1,500,000 $1,537,427
Federal Home Loan Mortgage Corp., Floating Rate Note, 1/15/35 5,669,000 $888,971
Federal Home Loan Mortgage Corp., Floating Rate Note, 10/1/23 1,890,000 $10,175
Federal Home Loan Mortgage Corp., Floating Rate Note, 10/7/14 4,200,000 $4,206,997
Federal Home Loan Mortgage Corp., Floating Rate Note, 11/1/33 850,000 $15,784
Federal Home Loan Mortgage Corp., Floating Rate Note, 12/5/14 5,000,000 $5,001,645
Federal Home Loan Mortgage Corp., Floating Rate Note, 6/1/35 3,000,000 $7,944
Federal Home Loan Mortgage Corp., Floating Rate Note, 6/26/15 2,000,000 $2,000,645
Federal Home Loan Mortgage Corp., Floating Rate Note, 8/15/35 50,000,000 $5,778,633
Federal Home Loan Mortgage Corp. REMICS, 3.5%, 11/15/22 1,100,000 $1,891
Federal Home Loan Mortgage Corp. REMICS, 3.5%, 6/15/28 5,381,000 $892,836
Federal Home Loan Mortgage Corp. REMICS, 4.0%, 1/15/24 1,801,000 $99,506
Federal Home Loan Mortgage Corp. REMICS, 4.0%, 11/15/23 95,000 $76,199
Federal Home Loan Mortgage Corp. REMICS, 4.0%, 12/15/22 4,041,000 $132,047
Federal Home Loan Mortgage Corp. REMICS, 5.0%, 12/15/32 410,000 $19,470
Federal Home Loan Mortgage Corp. REMICS, 5.0%, 6/15/34 2,168,000 $288,100
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 1/15/33 40,500,000 $619,363
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 1/15/36 1,837,000 $430,990
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 1/15/37 63,238,000 $4,749,601
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 10/15/20 1,400,000 $166,272
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 10/15/31 1,750,000 $112,497
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 10/15/37 18,287,000 $1,524,692
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 10/15/37 9,195,000 $824,458
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 11/15/18 7,142,857 $149,566
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 11/15/31 20,187,077 $158,463
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 11/15/33 2,550,000 $357,686
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 11/15/35 850,000 $209,813
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 11/15/36 5,342,000 $1,116,785
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 11/15/36 3,416,433 $196,466
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 11/15/36 2,850,000 $570,548
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 11/15/40 1,265,000 $700,304
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/20 1,000,000 $188,936
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/28 56,250,000 $537,138
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/32 15,400,000 $290,226
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/32 9,063,000 $863,270
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/32 2,500,000 $12,526
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/32 11,201,000 $1,068,248
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/32 1,700,000 $37,045
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/36 17,426,100 $1,577,747
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/39 2,334,000 $1,034,567
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/41 1,000,000 $743,174
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/19 4,675,000 $419,334
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/25 2,142,856 $549,872
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/29 23,100,000 $301,735
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/30 2,056,750 $1,037,013
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/33 15,000,000 $506,713
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/33 49,250,000 $760,823
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/36 5,000,000 $468,464
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/36 4,291,000 $855,903
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/37 23,400,000 $1,627,079
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/39 1,251,000 $729,230
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 3/15/24 6,200,000 $1,724,694
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 3/15/32 22,000,000 $209,109
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 3/15/32 122,751,000 $1,252,230
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 3/15/32 64,920,000 $879,194
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 3/15/36 5,000,000 $1,313,776
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 3/15/39 1,000,000 $327,740
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 3/15/41 13,046,000 $3,522,272
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 4/15/35 1,775,000 $429,532
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 4/15/36 3,463,000 $802,686
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 5/15/29 15,000,000 $150,731
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 5/15/33 2,000,000 $277,385
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 5/15/35 3,925,000 $936,669
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 5/15/35 10,200,000 $879,802
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 5/15/36 7,791,000 $639,040
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 5/15/37 3,000,000 $327,039
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 5/15/37 5,000,000 $416,067
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 5/15/41 340,000 $124,612
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 6/15/23 6,500,000 $148,000
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 6/15/33 10,000,000 $634,088
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 6/15/36 52,250,000 $2,378,038
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 6/15/36 5,835,000 $692,406
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 6/15/38 4,056,000 $1,135,925
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 7/15/21 17,312,039 $343,569
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 7/15/23 2,924,000 $741,084
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 7/15/34 5,000,000 $709,690
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 7/15/36 1,200,000 $60,469
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 7/15/36 15,317,285 $1,362,888
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 7/15/36 5,000,000 $1,169,829
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 7/15/40 2,570,000 $634,805
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 8/15/26 1,330,000 $547,994
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 8/15/35 2,185,000 $486,188
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 8/15/35 5,000,000 $1,032,865
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 8/15/36 17,556,000 $1,096,504
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 9/15/26 1,427,500 $912,394
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 9/15/32 10,000,000 $231,584
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 9/15/36 3,470,000 $356,731
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 9/15/36 3,320,000 $456,563
Federal National Mortgage Association, 2.674%, 4/25/45 750,000 $147,994
Federal National Mortgage Association, Floating Rate Note, 1/20/15 760,000 $760,283
Federal National Mortgage Association, Floating Rate Note, 1/27/15 2,135,000 $2,139,319
Federal National Mortgage Association, Floating Rate Note, 10/27/14 2,370,000 $2,373,792
Federal National Mortgage Association, Floating Rate Note, 11/21/14 1,650,000 $1,653,244
Federal National Mortgage Association, Floating Rate Note, 12/15/14 1,400,000 $1,402,336
Federal National Mortgage Association, Floating Rate Note, 12/25/33 25,758,805 $8,125,185
Federal National Mortgage Association, Floating Rate Note, 2/25/38 50,000,000 $16,369,027
Federal National Mortgage Association, Floating Rate Note, 8/11/14 9,065,000 $9,071,918
Federal National Mortgage Association, Floating Rate Note, 8/25/14 1,800,000 $1,801,346
Federal National Mortgage Association REMICS, 4.0%, 6/25/37 3,650,000 $267,852
Federal National Mortgage Association REMICS, 4.5%, 1/25/39 820,000 $77,298
Federal National Mortgage Association REMICS, 6.0%, 3/25/35 1,000,000 $59,525
Federal National Mortgage Association REMICS, Floating Rate Note, 1/18/32 16,977,308 $284,333
Federal National Mortgage Association REMICS, Floating Rate Note, 1/25/32 30,000,000 $457,247
Federal National Mortgage Association REMICS, Floating Rate Note, 1/25/33 13,036,000 $520,496
Federal National Mortgage Association REMICS, Floating Rate Note, 1/25/40 5,000,000 $497,839
Federal National Mortgage Association REMICS, Floating Rate Note, 10/25/35 625,000 $35,236
Federal National Mortgage Association REMICS, Floating Rate Note, 10/25/35 6,475,000 $728,323
Federal National Mortgage Association REMICS, Floating Rate Note, 10/25/36 71,456,000 $3,032,270
Federal National Mortgage Association REMICS, Floating Rate Note, 10/25/37 1,030,000 $153,919
Federal National Mortgage Association REMICS, Floating Rate Note, 10/25/37 2,400,000 $742,643
Federal National Mortgage Association REMICS, Floating Rate Note, 10/25/38 6,344,000 $796,407
Federal National Mortgage Association REMICS, Floating Rate Note, 10/27/37 2,382,000 $2,377,269
Federal National Mortgage Association REMICS, Floating Rate Note, 11/18/32 105,671,000 $2,250,048
Federal National Mortgage Association REMICS, Floating Rate Note, 11/25/31 44,000,000 $448,574
Federal National Mortgage Association REMICS, Floating Rate Note, 11/25/31 50,000,000 $509,743
Federal National Mortgage Association REMICS, Floating Rate Note, 11/25/33 10,000,000 $888,264
Federal National Mortgage Association REMICS, Floating Rate Note, 11/25/34 9,662,000 $837,885
Federal National Mortgage Association REMICS, Floating Rate Note, 11/25/36 1,625,000 $386,922
Federal National Mortgage Association REMICS, Floating Rate Note, 12/25/23 13,749,086 $122,504
Federal National Mortgage Association REMICS, Floating Rate Note, 12/25/23 5,000,000 $399,888
Federal National Mortgage Association REMICS, Floating Rate Note, 12/25/30 20,000,000 $104,727
Federal National Mortgage Association REMICS, Floating Rate Note, 12/25/31 30,500,000 $1,327,482
Federal National Mortgage Association REMICS, Floating Rate Note, 12/25/32 14,000,000 $462,399
Federal National Mortgage Association REMICS, Floating Rate Note, 12/25/32 15,000,000 $348,642
Federal National Mortgage Association REMICS, Floating Rate Note, 12/25/35 3,750,000 $435,906
Federal National Mortgage Association REMICS, Floating Rate Note, 12/25/36 4,800,000 $326,923
Federal National Mortgage Association REMICS, Floating Rate Note, 12/25/37 21,428,000 $831,165
Federal National Mortgage Association REMICS, Floating Rate Note, 12/25/38 400,000 $284,333
Federal National Mortgage Association REMICS, Floating Rate Note, 12/25/49 2,000,000 $317,853
Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/17 14,970,453 $17,952
Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/33 16,918,890 $957,061
Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/33 10,610,000 $428,830
Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/35 2,497,000 $865,087
Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/37 5,150,000 $606,575
Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/37 20,692,000 $1,101,961
Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/38 4,400,000 $349,801
Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/38 2,184,000 $695,565
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/23 17,080,403 $192,793
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/24 14,460,650 $622,648
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/28 24,210,000 $346,587
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/34 20,624,640 $1,361,017
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/36 700,000 $123,439
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/37 30,888,000 $939,810
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/37 2,300,000 $278,635
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/37 3,413,000 $557,563
Federal National Mortgage Association REMICS, Floating Rate Note, 4/25/25 540,000 $114,262
Federal National Mortgage Association REMICS, Floating Rate Note, 4/25/30 5,000,000 $175,441
Federal National Mortgage Association REMICS, Floating Rate Note, 4/25/32 35,072,000 $2,233,498
Federal National Mortgage Association REMICS, Floating Rate Note, 4/25/33 36,000,000 $1,139,262
Federal National Mortgage Association REMICS, Floating Rate Note, 4/25/37 3,381,809 $723,154
Federal National Mortgage Association REMICS, Floating Rate Note, 4/25/42 642,857 $490,744
Federal National Mortgage Association REMICS, Floating Rate Note, 5/25/33 15,932,000 $448,911
Federal National Mortgage Association REMICS, Floating Rate Note, 5/25/36 23,900,354 $941,796
Federal National Mortgage Association REMICS, Floating Rate Note, 5/25/36 13,100,000 $1,667,666
Federal National Mortgage Association REMICS, Floating Rate Note, 5/25/37 32,172,000 $1,360,446
Federal National Mortgage Association REMICS, Floating Rate Note, 5/25/40 500,000 $319,117
Federal National Mortgage Association REMICS, Floating Rate Note, 5/25/40 8,500,000 $1,632,893
Federal National Mortgage Association REMICS, Floating Rate Note, 5/25/40 2,619,152 $1,315,674
Federal National Mortgage Association REMICS, Floating Rate Note, 6/25/23 3,460,000 $230,503
Federal National Mortgage Association REMICS, Floating Rate Note, 6/25/36 8,454,822 $987,370
Federal National Mortgage Association REMICS, Floating Rate Note, 6/25/37 7,474,000 $1,079,514
Federal National Mortgage Association REMICS, Floating Rate Note, 6/25/37 900,000 $119,309
Federal National Mortgage Association REMICS, Floating Rate Note, 6/25/37 632,250 $88,083
Federal National Mortgage Association REMICS, Floating Rate Note, 6/25/37 3,590,000 $399,320
Federal National Mortgage Association REMICS, Floating Rate Note, 7/18/27 10,000,000 $42,761
Federal National Mortgage Association REMICS, Floating Rate Note, 7/25/31 50,000,000 $345,722
Federal National Mortgage Association REMICS, Floating Rate Note, 7/25/31 48,885,770 $493,338
Federal National Mortgage Association REMICS, Floating Rate Note, 7/25/32 15,000,000 $231,244
Federal National Mortgage Association REMICS, Floating Rate Note, 7/25/34 2,500,000 $159,428
Federal National Mortgage Association REMICS, Floating Rate Note, 7/25/34 7,443,000 $550,489
Federal National Mortgage Association REMICS, Floating Rate Note, 7/25/35 23,056,000 $3,096,281
Federal National Mortgage Association REMICS, Floating Rate Note, 7/25/35 9,145,238 $2,160,862
Federal National Mortgage Association REMICS, Floating Rate Note, 7/25/36 2,000,000 $313,365
Federal National Mortgage Association REMICS, Floating Rate Note, 7/25/37 1,942,360 $323,961
Federal National Mortgage Association REMICS, Floating Rate Note, 8/25/31 17,600,000 $233,900
Federal National Mortgage Association REMICS, Floating Rate Note, 8/25/32 5,000,000 $101,126
Federal National Mortgage Association REMICS, Floating Rate Note, 8/25/33 485,000 $21,870
Federal National Mortgage Association REMICS, Floating Rate Note, 8/25/36 4,450,000 $294,698
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/20 13,700,000 $42,423
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/21 8,269,375 $85,375
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/32 19,400,000 $276,083
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/32 20,000,000 $427,122
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/33 19,984,406 $2,500,936
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/36 13,053,000 $1,020,730
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/37 1,915,000 $270,548
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/37 7,400,000 $963,438
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/37 9,159,000 $425,093
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/37 3,173,000 $465,968
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/38 1,000,000 $7,686
Fieldstone Mortgage Investment Trust Series 2005-1, Floating Rate Note, 3/25/35 1,457,000 $653,539
Fieldwood Energy LLC, Closing Date Loan, 9/25/18 2,682,121 $2,694,064
Fifth Third Auto 2013-1, 0.59%, 3/15/16 100,000 $72,581
Fifth Third Bancorp, Floating Rate Note, 12/20/16 1,727,000 $1,715,141
Fifth Third Bank Cincinnati Ohio, 4.75%, 2/1/15 3,500,000 $3,654,132
Fifth Third Bank Cincinnati Ohio, Floating Rate Note, 11/18/16 1,800,000 $1,809,017
Fifth Third Bank Cincinnati Ohio, Floating Rate Note, 2/26/16 3,330,000 $3,339,277
First Franklin Mortgage Loan Trust 2004-FF10, Floating Rate Note, 9/25/34 1,861,072 $71,573
First Franklin Mortgage Loan Trust 2005-FFH3, Floating Rate Note, 9/25/35 3,451,000 $1,920,324
First Franklin Mortgage Loan Trust Series 2005-FF12, Floating Rate Note, 11/25/36 1,750,000 $288,246
First Horizon Mortgage Pass-Through Trust 2003-AR3, Floating Rate Note, 9/25/33 13,000,000 $967,148
First Investors Auto Owner Trust 2012-2, 1.47%, 5/15/18 (144A) 100,000 $37,374
First Investors Auto Owner Trust 2013-2, 1.23%, 3/15/19 (144A) 4,251,000 $3,073,655
First Investors Auto Owner Trust 2013-3, 0.89%, 9/15/17 (144A) 220,000 $187,930
First NLC Trust 2005-2, Floating Rate Note, 9/25/35 369,713 $162,410
Flagstar Home Equity Loan Trust 2005-1, Floating Rate Note, 6/25/18 (144A) 15,500,000 $1,353,233
Fly Funding II Sarl, Loan, 8/8/18 1,608,159 $1,626,921
Fmcf Flt% 26jun15 14-1a-A2a 2,500,000 $2,500,240
FMG Resources August 2006 Pty, Ltd., Loan, 6/30/19 1,477,563 $1,480,640
FNA 2013-1 Trust, 1.98%, 1/10/18 2,199,000 $978,123
Fnma Flt% 16aug17 1,415,000 $1,420,093
Foothill CLO, Ltd., Floating Rate Note, 2/22/21 (144A) 2,250,000 $1,699,993
Ford Credit Auto Lease Trust 2013-A, 0.46%, 5/15/15 2,015,000 $552,864
Ford Credit Auto Owner Trust 2011-A, 1.65%, 5/15/16 1,870,000 $742,379
Ford Credit Auto Owner Trust 2013-C, 0.55%, 4/15/16 1,480,000 $760,425
Ford Credit Auto Owner Trust 2014-A, 0.48%, 11/15/16 950,000 $937,274
Ford Credit Floorplan Master Owner Trust A, Floating Rate Note, 2/15/19 900,000 $900,556
Ford Credit Floorplan Master Owner Trust A, Floating Rate Note, 9/15/16 4,027,000 $4,029,529
Fore CLO, Ltd., Floating Rate Note, 7/20/19 (144A) 1,250,000 $445,271
Foresight Energy LLC, Term Loan, 8/21/20 435,875 $438,667
Fosse Master Issuer Plc, Floating Rate Note, 10/18/54 (144A) 1,380,000 $874,458
Fosse Master Issuer Plc, Floating Rate Note, 10/18/54 (144A) 1,000,000 $821,000
Foundation Re III, Ltd., Floating Rate Note, 2/25/15 (Cat Bond) (144A) 1,550,000 $1,566,154
Four Corners CLO II, Ltd., Floating Rate Note, 1/26/20 (144A) 553,000 $525,828
Four Seasons Holdings, Inc., Term Loan (First Lien) 2013, 6/27/20 496,250 $495,630
Freddie Mac Strips, Floating Rate Note, 12/15/36 10,968,000 $819,784
Freddie Mac Strips, Floating Rate Note, 8/15/36 43,230,336 $2,629,681
Freddie Mac Strips, Floating Rate Note, 8/15/36 10,000,000 $607,209
Freddie Mac Structured Agency Credit Risk Debt Notes, Floating Rate Note, 11/25/23 2,250,000 $2,047,458
Freddie Mac Structured Agency Credit Risk Debt Notes, Floating Rate Note, 2/25/24 1,555,000 $1,516,946
Fremont Home Loan Trust 2005-2, Floating Rate Note, 6/25/35 9,000,000 $35,605
Fremont Home Loan Trust 2005-B, Floating Rate Note, 4/25/35 2,750,000 $813,373
Fresenius US Finance I, Inc., Tranche B Term Loan, 8/7/19 1,488,750 $1,492,782
Gale Force 3 Clo, Ltd., Floating Rate Note, 4/19/21 (144A) 1,200,000 $842,400
Galileo Re, Ltd., Floating Rate Note, 1/9/19 (Cat Bond) (144A) 1,500,000 $1,554,542
Garda World Security Corp., Term B Delayed Draw Loan, 11/8/20 320,963 $320,863
Garda World Security Corp., Term B Loan, 11/1/20 1,254,675 $1,254,283
Gardner Denver, Inc., Initial Dollar Term Loan, 7/30/20 397,000 $397,316
Gates Investments LLC, Term B-2 Loan, 9/29/16 559,265 $560,523
Gator Re, Ltd., Floating Rate Note, 1/9/17 (Cat Bond) (144A) 2,000,000 $1,978,800
GE Business Loan Trust 2003-1, Floating Rate Note, 4/15/31 (144A) 20,374,890 $1,079,814
GE Business Loan Trust 2004-1, Floating Rate Note, 5/15/32 (144A) 7,667,511 $841,952
GE Business Loan Trust 2004-2, Floating Rate Note, 12/15/32 (144A) 5,810,863 $1,352,877
GE Business Loan Trust 2005-1, Floating Rate Note, 6/15/33 (144A) 4,489,882 $2,642,342
GE Business Loan Trust 2006-2, Floating Rate Note, 11/15/34 (144A) 6,967,382 $2,939,716
GE Business Loan Trust 2007-1, Floating Rate Note, 4/16/35 (144A) 4,787,273 $2,183,500
GE Capital Commercial Mortgage Corp., Floating Rate Note, 6/10/48 4,205,000 $4,288,005
GE Capital Credit Card Master Note Trust, 1.03%, 1/15/18 900,000 $903,092
GE Capital Credit Card Master Note Trust, Floating Rate Note, 6/15/18 2,700,000 $2,700,647
GE Dealer Floorplan Master Note Trust, Floating Rate Note, 10/20/17 888,000 $890,138
GE Dealer Floorplan Master Note Trust, Floating Rate Note, 2/20/17 350,000 $350,319
GE Dealer Floorplan Master Note Trust, Floating Rate Note, 4/20/18 1,190,000 $1,193,618
GE Dealer Floorplan Master Note Trust, Floating Rate Note, 6/20/17 500,000 $499,176
GE Dealer Floorplan Master Note Trust, Floating Rate Note, 6/20/17 2,000,000 $2,005,467
GE Dealer Floorplan Master Note Trust, Floating Rate Note, 7/20/16 1,200,000 $1,200,539
GE Equipment Small Ticket LLC Series 2013-1, 0.73%, 1/25/16 (144A) 800,000 $718,029
GE Equipment Small Ticket LLC Series 2014-1, 0.59%, 8/24/16 1,900,000 $1,902,426
GE Equipment Transportation LLC Series 2013-2, 0.61%, 6/24/16 1,520,000 $1,521,778
Geet 0.5% 24nov15 13-1-A2 570,000 $264,939
General Electric Capital Corp., 3.75%, 11/14/14 510,000 $519,121
General Electric Capital Corp., Floating Rate Note, 1/14/16 1,865,000 $1,868,841
General Electric Capital Corp., Floating Rate Note, 1/8/16 3,300,000 $3,328,330
General Electric Capital Corp., Floating Rate Note, 5/11/16 1,000,000 $1,000,522
General Electric Capital Corp., Floating Rate Note, 5/15/17 2,000,000 $2,002,990
General Electric Capital Corp., Floating Rate Note, 7/10/15 690,000 $693,278
General Electric Capital Corp., Floating Rate Note, 7/2/15 2,793,000 $2,829,048
General Electric Capital Corp., Floating Rate Note, 8/1/17 500,000 $503,913
General Mills, Inc., Floating Rate Note, 1/28/16 1,895,000 $1,897,635
General Mills, Inc., Floating Rate Note, 1/29/16 1,765,000 $1,771,141
Genpact International, Inc., Term Loan, 8/30/19 987,538 $990,619
Georgia Power Co., Floating Rate Note, 3/15/16 1,090,000 $1,089,413
Georgia Power Co., Floating Rate Note, 8/15/16 1,000,000 $1,001,077
Getty Images, Inc., Initial Term Loan, 10/18/19 114,153 $110,430
Glencore Funding LLC, Floating Rate Note, 5/27/16 (144A) 1,800,000 $1,813,318
Glenn Pool Oil & Gas Trust, Term Loan, 5/2/16 33,251 $33,501
Global Container Assets 2013-1, Ltd., 2.2%, 11/5/28 (144A) 1,750,000 $1,389,215
Global Mortgage Securitization, Ltd., 5.25%, 4/25/32 (144A) 2,438,820 $792,706
Global Mortgage Securitization, Ltd., Floating Rate Note, 4/25/32 28,795,000 $3,016,046
Gmacc Flt% 10nov45 06-C1-A1a 8,250,000 $5,371,196
GMAC Commercial Mortgage Securities Inc Series 2004-C2 Trust, Floating Rate Note, 8/10/38 5,341,000 $1,337,635
GMAC Commercial Mortgage Securities Inc Series 2005-C1 Trust, 4.697%, 5/10/43 3,547,000 $3,636,967
GMAT 2013-1 Trust, 3.9669%, 8/25/53 (Step) 1,900,000 $1,884,870
Golden State Re, Ltd., Floating Rate Note, 1/8/15 (Cat Bond) (144A) 750,000 $758,619
Government National Mortgage Association, 4.5%, 11/20/34 1,100,000 $58,504
Government National Mortgage Association, Floating Rate Note, 1/16/33 26,309,521 $1,128,172
Government National Mortgage Association, Floating Rate Note, 1/16/35 11,437,000 $1,330,372
Government National Mortgage Association, Floating Rate Note, 1/20/33 10,000,000 $158,100
Government National Mortgage Association, Floating Rate Note, 10/16/39 2,500,000 $443,235
Government National Mortgage Association, Floating Rate Note, 10/20/38 2,000,000 $798,718
Government National Mortgage Association, Floating Rate Note, 2/20/35 8,941,000 $1,302,957
Government National Mortgage Association, Floating Rate Note, 4/16/29 50,000,000 $617,230
Government National Mortgage Association, Floating Rate Note, 4/16/32 13,425,000 $264,051
Government National Mortgage Association, Floating Rate Note, 5/16/38 8,761,000 $832,491
Government National Mortgage Association, Floating Rate Note, 6/16/31 14,000,000 $266,503
Government National Mortgage Association, Floating Rate Note, 7/20/41 2,647,831 $1,701,037
Government National Mortgage Association, Floating Rate Note, 8/16/39 2,960,000 $588,505
Government National Mortgage Association, Floating Rate Note, 8/20/35 3,497,364 $559,530
Government National Mortgage Association, Floating Rate Note, 8/20/38 4,585,000 $518,945
Government National Mortgage Association, Floating Rate Note, 9/16/31 34,344,532 $773,133
Government National Mortgage Association II, Floating Rate Note, 1/20/22 1,000,000 $14,324
GP Portfolio Trust 2014-GGP, Floating Rate Note, 2/15/27 3,350,000 $3,355,770
Gracechurch Card Funding Plc, Floating Rate Note, 2/15/17 (144A) 1,205,000 $1,210,212
Gracechurch Card Funding Plc, Floating Rate Note, 5/15/19 (144A) 1,300,000 $1,319,068
Gracechurch Card Funding Plc, Floating Rate Note, 6/15/17 (144A) 2,200,000 $2,209,339
Gracechurch Mortgage Financing Plc, Floating Rate Note, 11/20/56 (144A) 2,500,000 $1,854,202
GreenPoint Mortgage Funding Trust 2005-HE1, Floating Rate Note, 9/25/34 1,357,437 $943,293
GreenPoint Mortgage Funding Trust 2005-HE4, Floating Rate Note, 7/25/30 2,051,321 $114,287
GreenPoint Mortgage Funding Trust 2005-HE4, Floating Rate Note, 7/25/30 95,421,717 $418,670
GRIFOLS WORLDWIDE OPERATIONS USA INC, U.S. Tranche B Term Loam, 4/1/21 523,688 $523,720
GSAA Home Equity Trust 2004-11, Floating Rate Note, 12/25/34 5,735,000 $326,475
GSAA Home Equity Trust 2004-6, Floating Rate Note, 6/25/34 52,357,062 $1,503,733
GSAA Home Equity Trust 2004-8, Floating Rate Note, 9/25/34 7,860,000 $305,295
GSAA Home Equity Trust 2005-11, Floating Rate Note, 10/25/35 4,339,000 $843,992
Gsamp Flt% 25dec35 06-Sd1-A2 18,098,000 $2,561,341
GSAMP Trust 2004-HE2, Floating Rate Note, 9/25/34 163,261,786 $1,445,145
GSAMP Trust 2004-SEA2, Floating Rate Note, 3/25/34 3,898,600 $3,598,079
GSAMP Trust 2005-HE1, Floating Rate Note, 12/25/34 5,414,212 $558,930
GSAMP Trust 2006-SEA1, Floating Rate Note, 5/25/36 (144A) 25,142,877 $2,475,732
GS Mortgage Securities Corp II, Floating Rate Note, 11/8/29 (144A) 2,300,000 $2,312,999
GSR Mortgage Loan Trust 2003-9, Floating Rate Note, 8/25/33 1,500,000 $101,110
GSRPM Mortgage Loan Trust 2003-2, Floating Rate Note, 6/25/33 1,826,298 $1,171,124
GSRPM Mortgage Loan Trust 2006-1, Floating Rate Note, 3/25/35 (144A) 7,593,737 $1,188,913
GSRPM Mortgage Loan Trust 2006-2, Floating Rate Note, 9/25/36 (144A) 5,483,897 $876,446
GTP Towers Issuer LLC, 8.112%, 2/15/15 (144A) 1,250,000 $1,280,264
HarborView Mortgage Loan Trust 2004-1, Floating Rate Note, 4/19/34 16,013,000 $721,013
HarborView Mortgage Loan Trust 2004-4, Floating Rate Note, 6/19/34 25,700,000 $255,316
Harch CLO III, Ltd., Floating Rate Note, 4/17/20 (144A) 500,000 $482,886
Harley-Davidson Motorcycle Trust 2011-2, 1.11%, 9/15/16 300,000 $81,317
Harley-Davidson Motorcycle Trust 2012-1, 0.68%, 4/15/17 2,600,000 $1,683,978
Harris County Health Facilities Development Corp., Floating Rate Note, 12/1/41 10,345,000 $10,345,383
Harris County Health Facilities Development Corp., Floating Rate Note, 12/1/41 7,935,000 $7,935,293
Hart 0.44% 15feb17 14-B-A2 99,000 $99,050
Helt Flt% 20mar36 06-4-A4 1,000,000 $992,071
Hercules Capital Funding Trust 2012-1, 3.32%, 12/16/17 (144A) 400,000 $144,737
Hertz Fleet Lease Funding LP, Floating Rate Note, 12/10/27 (144A) 500,000 $501,774
Hertz Fleet Lease Funding LP, Floating Rate Note, 12/10/27 (144A) 1,000,000 $1,002,560
Hertz Fleet Lease Funding LP, Floating Rate Note, 4/10/28 (144A) 1,100,000 $1,100,860
Hilton USA Trust 2013-HLF, Floating Rate Note, 11/5/30 (144A) 2,475,000 $2,484,176
Hilton Worldwide Finance LLC, Initial Term Loan, 9/23/20 1,095,395 $1,094,738
HJ Heinz Co., Term B-2 Loan, 6/5/20 1,584,000 $1,597,559
HLSS Servicer Advance Receivables Backed Notes Series 2013-T2, 1.1472%, 5/16/44 (144A) 4,240,000 $4,243,010
HLSS Servicer Advance Receivables Trust, 1.2437%, 1/17/45 3,750,000 $3,755,073
HLSS Servicer Advance Receivables Trust, 1.4953%, 1/16/46 (144A) 3,360,000 $3,363,913
Holmes Master Issuer Plc, Floating Rate Note, 10/15/54 (144A) 2,500,000 $1,680,551
Holmes Master Issuer Plc, Floating Rate Note, 10/15/54 (144A) 1,676,000 $1,222,737
Hologic, Inc., Refinancing Tranche B Term Loan, 8/1/19 916,837 $917,410
HomeBanc Mortgage Trust 2005-2, Floating Rate Note, 5/25/25 45,670,847 $1,987,900
Home Equity Asset Trust 2005-6, Floating Rate Note, 12/25/35 3,404,000 $3,394,743
Home Equity Asset Trust 2005-7, Floating Rate Note, 1/25/36 3,870,000 $2,119,105
Home Equity Asset Trust 2006-4, Floating Rate Note, 8/25/36 1,250,000 $395,490
Home Equity Asset Trust 2006-8, Floating Rate Note, 3/25/37 5,734,978 $2,220,073
Home Equity Mortgage Loan Asset-Backed Trust Series INABS 2005-C, Floating Rate Note, 10/25/35 4,000,000 $102,147
Homestar Mortgage Acceptance Corp., Floating Rate Note, 1/25/35 11,300,000 $1,736,032
Homestar Mortgage Acceptance Corp., Floating Rate Note, 3/25/34 54,752,000 $3,500,351
Homestar Mortgage Acceptance Corp., Floating Rate Note, 6/25/34 11,977,997 $1,157,490
Homestar Mortgage Acceptance Corp., Floating Rate Note, 7/25/34 19,310,000 $2,008,333
Honda Auto Receivables 2011-2 Owner Trust, 1.55%, 8/18/17 950,000 $854,999
Honda Auto Receivables 2012-2 Owner Trust, 0.7%, 2/16/16 1,200,000 $705,836
Honda Auto Receivables 2013-1 Owner Trust, 0.35%, 6/22/15 1,375,000 $230,862
Honda Auto Receivables 2013-1 Owner Trust, 0.48%, 11/21/16 390,000 $390,389
Horizon Funding Trust 2013-1, 3.0%, 5/15/18 (144A) 2,777,000 $1,997,676
HSBC Bank Middle East, Ltd., 3.0%, 10/21/15 1,000,000 $1,028,333
HSBC Home Equity Loan Trust USA 2006-2, Floating Rate Note, 3/20/36 245,000 $42,925
HSBC Home Equity Loan Trust USA 2006-3, Floating Rate Note, 3/20/36 4,674,000 $4,627,882
HSBC Home Equity Loan Trust USA 2007-3, Floating Rate Note, 11/20/36 100,000 $67,278
HSBC Home Equity Loan Trust USA 2007-3, Floating Rate Note, 11/20/36 5,875,000 $1,602,848
HSBC USA, Inc., 2.375%, 2/13/15 5,264,000 $5,377,424
HSI Asset Securitization Corp Trust 2006-OPT1, Floating Rate Note, 12/25/35 1,369,377 $484,163
Hyperion Insurance Group, Ltd., Term Loan, 10/4/19 972,563 $968,915
Hyundai Auto Lease Securitization Trust 2012-A, 0.92%, 8/17/15 (144A) 1,000,000 $569,686
Hyundai Auto Receivables Trust 2013-A, 0.4%, 12/15/15 1,780,000 $443,655
Hyundai Capital Auto Funding VIII, Ltd., Floating Rate Note, 9/20/16 (144A) 4,279,000 $771,868
Hyundai Capital Services, Inc., Floating Rate Note, 3/18/17 (144A) 1,950,000 $1,956,439
IASIS Healthcare LLC, Term B-2 Loan, 5/3/18 490,006 $492,530
Ibis Re II, Ltd., Floating Rate Note, 2/5/15 (Cat Bond) (144A) 300,000 $302,534
Ibis Re II, Ltd., Floating Rate Note, 6/28/16 (Cat Bond) (144A) 2,250,000 $2,275,375
Immucor, Inc., Term B-2 Loan, 8/19/18 218,863 $220,436
Impac CMB Trust Series 2003-8, Floating Rate Note, 10/25/33 5,200,000 $376,047
Impac CMB Trust Series 2004-4, Floating Rate Note, 9/25/34 42,840,193 $1,879,449
Impac CMB Trust Series 2004-4, Floating Rate Note, 9/25/34 49,152,075 $2,139,146
Impac CMB Trust Series 2004-5, Floating Rate Note, 10/25/34 27,915,000 $1,691,864
Impac CMB Trust Series 2004-5, Floating Rate Note, 8/25/34 9,850,000 $695,511
Impac CMB Trust Series 2004-6, Floating Rate Note, 10/25/34 9,071,000 $522,315
Impac CMB Trust Series 2004-7, Floating Rate Note, 11/25/34 22,339,000 $1,558,993
Impac CMB Trust Series 2004-8, Floating Rate Note, 8/25/34 2,122,000 $282,620
Impac CMB Trust Series 2004-8, Floating Rate Note, 8/25/34 3,500,000 $495,575
Impac CMB Trust Series 2004-9, Floating Rate Note, 1/25/35 14,700,000 $1,042,233
Impac Secured Assets CMN Owner Trust, Floating Rate Note, 11/25/34 30,931,007 $861,176
Impac Secured Assets Trust 2006-1, Floating Rate Note, 5/25/36 6,501,000 $2,205,610
Impac Secured Assets Trust 2006-2, Floating Rate Note, 8/25/36 4,987,000 $1,478,097
Impac Secured Assets Trust 2006-5, Floating Rate Note, 12/25/36 3,800,000 $940,098
Intelsat Jackson Holdings SA, Tranche B-2 Term Loan, 6/30/19 521,732 $523,281
Interactive Data 1st Lien Tl-B L + 3.75% 24apr21 214,038 $216,145
inVentiv Health, Inc., Term B-3 Loan, 5/15/18 66,656 $66,822
Invitation Homes 2013-SFR1 Trust, Floating Rate Note, 12/17/30 1,800,000 $1,801,659
Inwood Park CDO, Ltd., Floating Rate Note, 1/20/21 (144A) 3,500,000 $1,369,726
Irwin Whole Loan Home Equity Trust 2003-C, Floating Rate Note, 6/25/28 3,247,000 $967,700
IXIS Real Estate Capital Trust 2005-HE4, Floating Rate Note, 2/25/36 3,493,986 $738,881
Jackson National Life Global Funding, Floating Rate Note, 9/30/15 (144A) 2,000,000 $2,009,701
Jarden Corp., Tranche B1 Term Loan, 9/30/20 992,500 $998,285
JBS USA LLC, Initial Term Loan, 5/25/18 874,626 $877,906
JLL, Initial Dollar Term Loan, 1/23/21 305,000 $303,094
JMC Steel Group, Inc., Term Loan, 4/1/17 359,400 $362,095
John Deere Capital Corp., Floating Rate Note, 10/11/16 1,500,000 $1,506,798
John Deere Capital Corp., Floating Rate Note, 12/10/15 1,800,000 $1,800,903
JOHN DEERE CAPITAL Corp., Floating Rate Note, 2/25/16 2,883,000 $2,882,951
John Deere Owner Trust 2013-B, 0.55%, 1/15/16 100,000 $71,212
Jpmcc Flt% 15jun29 14-Inn-C 3,500,000 $3,500,718
JPMorgan Chase & Co., 1.1%, 10/15/15 1,528,000 $1,537,899
JPMorgan Chase & Co., Floating Rate Note, 10/15/15 2,000,000 $2,014,860
JPMorgan Chase & Co., Floating Rate Note, 2/15/17 2,000,000 $2,009,218
JPMorgan Chase & Co., Floating Rate Note, 2/26/16 1,800,000 $1,811,704
JPMorgan Chase & Co., Floating Rate Note, 3/31/16 1,000,000 $999,080
JP Morgan Chase Commercial Mortgage Securities Corp., 4.878%, 1/15/42 3,500,000 $3,554,789
JP Morgan Chase Commercial Mortgage Securities Corp., Floating Rate Note, 10/15/25 (144A) 2,350,000 $2,355,044
JP Morgan Chase Commercial Mortgage Securities Trust 2002-CIBC4, Floating Rate Note, 5/12/34 257,000 $157,566
JP Morgan Chase Commercial Mortgage Securities Trust 2004-LN2, Floating Rate Note, 7/15/41 (144A) 2,030,626 $549,373
JP Morgan Chase Commercial Mortgage Securities Trust 2005-CIBC11, Floating Rate Note, 8/12/37 5,345,000 $5,408,907
JP Morgan Chase Commercial Mortgage Securities Trust 2005-LDP1, Floating Rate Note, 3/15/46 3,110,000 $2,573,018
JP Morgan Chase Commercial Mortgage Securities Trust 2005-LDP3, Floating Rate Note, 8/15/42 1,485,000 $1,493,985
JP Morgan Chase Commercial Mortgage Securities Trust 2005-LDP4, Floating Rate Note, 10/15/42 3,950,000 $4,070,831
JP Morgan Chase Commercial Mortgage Securities Trust 2006-CIBC17, 5.45%, 12/12/43 48,000 $8,107
JP Morgan Chase Commercial Mortgage Securities Trust 2006-FL2, Floating Rate Note, 11/15/18 (144A) 500,000 $157,834
JP Morgan Chase Commercial Mortgage Securities Trust 2006-FL2, Floating Rate Note, 11/15/18 (144A) 8,570,000 $1,880,732
JP Morgan Chase Commercial Mortgage Securities Trust 2006-LDP9, Floating Rate Note, 5/15/47 200,000 $84,258
JP Morgan Chase Commercial Mortgage Securities Trust 2007-CIBC19, Floating Rate Note, 2/12/49 475,000 $127,551
JP Morgan Chase Commercial Mortgage Securities Trust 2007-LDP11, Floating Rate Note, 6/15/49 120,000 $13,831
JP Morgan Chase Commercial Mortgage Securities Trust 2013-ALC, Floating Rate Note, 7/17/26 (144A) 1,466,000 $1,489,350
JP Morgan Chase Commercial Mortgage Securities Trust 2013-FL3, Floating Rate Note, 4/15/28 (144A) 1,200,000 $1,206,256
JP Morgan Chase Commercial Mortgage Securities Trust 2013-JWRZ, Floating Rate Note, 4/15/30 (144A) 4,975,000 $4,979,319
JP Morgan Chase Commercial Mortgage Securities Trust 2014-FBLU, Floating Rate Note, 12/15/28 2,910,000 $2,929,859
JP Morgan Chase Commercial Mortgage Securities Trust 2014-FBLU, Floating Rate Note, 12/15/28 (144A) 3,510,000 $3,527,888
JP Morgan Chase Commercial Mortgage Securities Trust 2014-FL4, Floating Rate Note, 12/15/30 (144A) 1,500,000 $1,504,606
JP Morgan Mortgage Acquisition Corp 2005-FRE1, Floating Rate Note, 10/25/35 19,316,000 $1,318,315
JP Morgan Mortgage Acquisition Trust 2006-ACC1, Floating Rate Note, 5/25/36 3,004,334 $995,088
JP Morgan Mortgage Trust 2003-A1, Floating Rate Note, 10/25/33 12,490,305 $1,567,801
JP Morgan Mortgage Trust 2004-A5, Floating Rate Note, 12/25/34 1,119,000 $911,252
JP Morgan Mortgage Trust 2005-A4, Floating Rate Note, 7/25/35 1,500,000 $244,396
Kane Flt% 01dec20 2,008,000 $2,014,426
Kane Flt% 12jun15 2,000,000 $1,769,800
Kane Flt% 14jul15 1,528,080 $1,443,577
Kane Flt% 30jul16 1,006,000 $1,019,581
KeyBank NA Cleveland Ohio, Floating Rate Note, 11/25/16 1,800,000 $1,809,830
KeyCorp, 3.75%, 8/13/15 1,370,000 $1,436,911
KeyCorp Student Loan Trust 2004-A, Floating Rate Note, 10/28/41 500,000 $130,846
Kilimanjaro Re, Ltd., Floating Rate Note, 4/30/18 (Cat Bond) (144A) 2,300,000 $2,289,488
Kilimanjaro Re, Ltd., Floating Rate Note, 4/30/18 (Cat Bond) (144A) 1,000,000 $982,200
Kindred Healthcare 1st Lien Tl-B L + 3% 10apr21 717,764 $720,007
Kinetic Concepts, Inc., Dollar Term E-1 Loan, 5/4/18 591,233 $592,773
Kizuna II Re, Ltd., Floating Rate Note, 4/6/18 (Cat Bond) (144A) 1,800,000 $1,804,500
KKR Financial CLO 2007-1, Ltd., Floating Rate Note, 5/15/21 (144A) 650,000 $638,699
Kleopatra Acquisition Corp., Term B-1 Loan, 12/21/16 691,226 $694,970
Kubota Credit Owner Trust 2014-1, 0.58%, 2/15/17 800,000 $800,233
Lanark Master Issuer Plc, Floating Rate Note, 12/22/54 (144A) 1,250,000 $1,245,151
Lanark Master Issuer Plc, Floating Rate Note, 12/22/54 (144A) 2,000,000 $1,742,259
Landry's, Inc., B Term Loan, 4/24/18 412,608 $414,155
Language Line LLC, Tranche B Term Loan, 6/20/16 901,751 $904,907
Las Vegas Sands LLC, Term B Loan, 12/19/20 437,800 $438,053
LB-UBS Commercial Mortgage Trust 2004-C1, 4.568%, 1/15/31 1,000,000 $126,282
LB-UBS Commercial Mortgage Trust 2004-C6, Floating Rate Note, 8/15/29 4,182,549 $506,006
LB-UBS Commercial Mortgage Trust 2005-C2, Floating Rate Note, 4/15/30 4,785,000 $4,936,903
LB-UBS Commercial Mortgage Trust 2005-C3, 4.739%, 7/15/30 4,490,000 $3,976,320
LB-UBS Commercial Mortgage Trust 2005-C7, Floating Rate Note, 11/15/30 (144A) 3,611,979 $3,728,416
LB-UBS Commercial Mortgage Trust 2008-C1, Floating Rate Note, 4/15/41 414,000 $216,749
LEAF Receivables Funding 9 LLC, 0.88%, 11/15/15 (144A) 1,500,000 $1,500,887
Lehman Brothers Small Balance Commercial, Floating Rate Note, 2/25/30 (144A) 6,250,000 $918,638
Lehman Brothers Small Balance Commercial, Floating Rate Note, 4/25/31 (144A) 6,464,393 $1,233,257
Lehman Brothers Small Balance Commercial, Floating Rate Note, 4/25/31 (144A) 17,333,137 $2,986,632
Lehman Brothers Small Balance Commercial, Floating Rate Note, 9/25/30 (144A) 10,120,098 $1,780,168
Lehman Brothers Small Balance Commercial Mortgage Trust 2007-3, Floating Rate Note, 10/25/37 (144A) 4,080,200 $1,220,649
Lehman Brothers Small Balance Commercial Mortgage Trust 2007-3, Floating Rate Note, 10/25/37 (144A) 2,211,066 $1,936,088
LifePoint Hospitals, Inc., Incremental Term Loan B, 7/24/17 342,404 $342,832
Live Nation Entertainment, Inc., Term B-1 Loan, 8/17/20 772,165 $773,291
Livingston International, Inc., Initial Term B-1 Loan (First Lien), 4/18/19 495,000 $496,856
Loma Reinsurance, Ltd. Bermuda, Floating Rate Note, 1/8/18 (Cat Bond) (144A) 1,000,000 $1,045,250
Longpoint Re, Ltd., Floating Rate Note, 6/12/15 (Cat Bond) (144A) 1,300,000 $1,338,653
Longpoint Re, Ltd. III, Floating Rate Note, 5/18/16 (Cat Bond) (144A) 2,000,000 $2,026,956
Loudoun County Economic Development Authority, Floating Rate Note, 2/15/38 15,140,000 $15,140,510
Louisiana Public Facilities Authority, Floating Rate Note, 4/26/27 1,250,000 $1,152,322
Lower Neches Valley Authority Industrial Development Corp., Floating Rate Note, 11/1/38 14,000,000 $14,000,502
Madison Avenue Manufactured Housing Contract Trust 2002-A, Floating Rate Note, 3/25/32 1,000,000 $537,577
MALLINCKRODT INTERNATIONAL FINANCE SA, Initial Term B Loan, 3/6/21 972,563 $973,508
Manufacturers & Traders Trust Co., Floating Rate Note, 1/30/17 1,900,000 $1,903,677
Marathon Oil Corp., 0.9%, 11/1/15 709,000 $712,554
Maryland Health & Higher Educational Facilities Authority, Floating Rate Note, 7/1/36 8,890,000 $8,890,358
Mas Flt% 01nov25 Massachusetts St 2,250,000 $2,212,946
MassMutual Global Funding II, Floating Rate Note, 12/11/15 (144A) 1,750,000 $1,752,373
MASTR Adjustable Rate Mortgages Trust 2003-3, Floating Rate Note, 9/25/33 2,650,000 $833,933
MASTR Adjustable Rate Mortgages Trust 2004-11, Floating Rate Note, 11/25/34 5,400,000 $1,888,544
MASTR Alternative Loan Trust 2005-1, Floating Rate Note, 2/25/35 21,274,000 $2,172,326
Mastr Asset Backed Securities Trust 2004-HE1, Floating Rate Note, 9/25/34 1,570,000 $148,618
Mastr Asset Backed Securities Trust 2005-FRE1, Floating Rate Note, 10/25/35 1,400,000 $99,185
Mastr Asset Backed Securities Trust 2006-AB1, Floating Rate Note, 2/25/36 12,307,204 $2,501,886
Mastr Asset Backed Securities Trust 2006-NC1, Floating Rate Note, 1/25/36 23,055,603 $3,611,585
MASTR Asset Securitization Trust 2003-6, Floating Rate Note, 7/25/18 7,302,000 $263,015
Mastr Specialized Loan Trust, Floating Rate Note, 1/25/36 (144A) 21,217,354 $1,843,983
MCC Georgia LLC, Tranche G Term Loan, 1/20/20 736,875 $737,943
Mcdermott International Inc 1st Lien Tl-B L + 4.25% 11apr19 500,000 $505,000
McKesson Corp., Floating Rate Note, 9/10/15 625,000 $626,418
Medallion Trust Series 2007-1G, Floating Rate Note, 2/27/39 14,066,000 $38,645
Mediacom Illinois LLC, Tranche F Term Loan, 3/31/18 1,396,500 $1,383,408
Mercedes Benz Auto Lease Trust 2014-A, Floating Rate Note, 6/15/16 1,900,000 $1,900,687
Mercedes-Benz Master Owner Trust, Floating Rate Note, 11/15/16 (144A) 1,000,000 $1,000,370
Merna Reinsurance V, Ltd., Floating Rate Note, 4/7/17 (Cat Bond) (144A) 2,000,000 $2,003,800
Merrill Lynch Mortgage Investors Trust Series 2005-2, Floating Rate Note, 10/25/35 2,000,000 $527,275
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-A, Floating Rate Note, 3/25/28 48,813,000 $1,951,401
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-C, Floating Rate Note, 6/25/28 42,262,000 $2,058,500
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-C, Floating Rate Note, 6/25/28 44,308,430 $1,814,456
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-E, Floating Rate Note, 10/25/28 38,289,000 $2,271,571
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-G, Floating Rate Note, 1/25/29 16,556,000 $246,713
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-H, Floating Rate Note, 1/25/29 24,460,400 $1,492,607
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-A, Floating Rate Note, 4/25/29 6,849,133 $425,659
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-B, Floating Rate Note, 5/25/29 12,160,000 $451,471
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-C, Floating Rate Note, 7/25/29 3,866,000 $165,392
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-C, Floating Rate Note, 7/25/29 41,778,000 $2,087,399
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-D, Floating Rate Note, 9/25/29 11,000,000 $800,271
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-G, Floating Rate Note, 1/25/30 47,698,025 $2,506,299
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-G, Floating Rate Note, 1/25/30 15,000,000 $1,112,830
Merrill Lynch Mortgage Investors Trust Series MLCC 2005-A, Floating Rate Note, 3/25/30 39,366,746 $3,002,340
Merrill Lynch Mortgage Trust 2004-KEY2, Floating Rate Note, 8/12/39 1,155,000 $619,997
Merrill Lynch Mortgage Trust 2004-KEY2, Floating Rate Note, 8/12/39 1,519,492 $1,536,125
Merrill Lynch Mortgage Trust 2005-CIP1, Floating Rate Note, 7/12/38 2,170,000 $2,253,864
Merrill Lynch Mortgage Trust 2005-CKI1, Floating Rate Note, 11/12/37 3,430,000 $3,182,782
Metaldyne LLC, USD Term Loan 2014, 12/18/18 1,956,991 $1,966,776
MetLife Institutional Funding II, 1.625%, 4/2/15 (144A) 2,350,000 $2,380,628
MetLife Institutional Funding II, Floating Rate Note, 1/6/15 (144A) 3,205,000 $3,215,560
MetroCat Re, Ltd., Floating Rate Note, 8/5/16 (Cat Bond) (144A) 1,500,000 $1,546,688
Metropolitan Life Global Funding I, Floating Rate Note, 7/15/16 (144A) 1,500,000 $1,513,375
MGM Resorts International, Term B Loan, 12/20/19 1,231,250 $1,229,249
Michaels Stores, Inc., Term B Loan, 1/28/20 990,000 $989,647
Microsemi Corp., Term Loan (2014), 3/14/21 131,461 $131,010
Milacron LLC, Term Loan, 3/28/20 691,268 $691,124
Mirror BidCo Corp., New Incremental Term Loan, 12/18/19 1,011,537 $1,013,223
Mississippi Business Finance Corp., Floating Rate Note, 12/1/30 7,065,000 $7,065,268
Mizuho Bank, Ltd., Floating Rate Note, 4/16/17 (144A) 1,000,000 $1,002,216
Monitronics International, Inc., Term B Loan (2013), 3/23/18 987,788 $991,184
Morgan Stanley, 4.2%, 11/20/14 2,200,000 $2,243,581
Morgan Stanley, Floating Rate Note, 10/15/15 318,000 $319,136
Morgan Stanley, Floating Rate Note, 2/25/16 4,350,000 $4,417,393
Morgan Stanley ABS Capital I Inc Trust 2004-SD3, Floating Rate Note, 6/25/34 (144A) 41,830,000 $2,032,889
Morgan Stanley ABS Capital I Inc Trust 2005-NC2, Floating Rate Note, 3/25/35 2,521,041 $1,547,251
Morgan Stanley ABS Capital I Inc Trust 2005-WMC3, Floating Rate Note, 3/25/35 131,174 $84,742
Morgan Stanley Capital I, Inc., Floating Rate Note, 10/15/20 (144A) 2,650,000 $855,061
Morgan Stanley Capital I, Inc., Floating Rate Note, 10/15/20 (144A) 3,025,000 $3,013,105
Morgan Stanley Capital I Trust 2004-HQ4, 4.97%, 4/14/40 3,900,007 $845,379
Morgan Stanley Capital I Trust 2004-IQ8, Floating Rate Note, 6/15/40 3,830,000 $3,863,507
Morgan Stanley Capital I Trust 2005-HQ6, 4.989%, 8/13/42 6,250,000 $6,445,378
Morgan Stanley Capital I Trust 2005-HQ6, Floating Rate Note, 8/13/42 2,900,000 $3,010,555
Morgan Stanley Capital I Trust 2005-IQ10, Floating Rate Note, 9/15/42 2,910,000 $2,565,897
Morgan Stanley Capital I Trust 2005-TOP17, 4.78%, 12/13/41 2,027,000 $1,491,090
Morgan Stanley Capital I Trust 2005-TOP19, 4.89%, 6/12/47 6,690,000 $6,823,596
Morgan Stanley Mortgage Loan Trust 2005-5AR, Floating Rate Note, 9/25/35 38,687,000 $3,742,405
Morgan Stanley Mortgage Loan Trust 2005-6AR, Floating Rate Note, 11/25/35 6,309,000 $843,286
Morgan Stanley Mortgage Loan Trust 2005-6AR, Floating Rate Note, 11/25/35 14,045,000 $2,487,727
Morgan Stanley Re-REMIC Trust 2010-R4, Floating Rate Note, 7/26/36 (144A) 3,700,000 $528,594
Morgan Stanley Structured Trust, Floating Rate Note, 6/25/37 1,500,000 $224,446
MortgageIT Trust 2004-1, Floating Rate Note, 11/25/34 15,162,000 $2,179,393
MortgageIT Trust 2005-2, Floating Rate Note, 5/25/35 8,495,000 $1,748,632
Motel 6 Trust, 1.5%, 10/5/25 (144A) 1,000,000 $917,381
Motor 2013-1 Plc, Floating Rate Note, 2/25/21 (144A) 2,196,000 $1,444,812
MRFC Mortgage Pass-Through Trust Series 1999-TBC2, Floating Rate Note, 6/15/30 23,827,303 $1,554,110
MRFC Mortgage Pass-Through Trust Series 2000-TBC3, Floating Rate Note, 12/15/30 13,080,000 $714,240
Mufg 0.15% 18jul14 Usd 16,060,000 $16,060,709
Multi Packaging Solutions, Inc., Initial Dollar Tranche B Term, 9/30/20 174,563 $174,999
Mystic Re, Ltd., Floating Rate Note, 3/12/15 (Cat Bond) (144A) 1,000,000 $1,042,750
Mystic Re, Ltd., Floating Rate Note, 3/12/15 (Cat Bond) (144A) 1,500,000 $1,590,950
Mythen Re, Ltd., Floating Rate Note, 5/7/15 (Cat Bond) (144A) 2,000,000 $2,097,652
Mythen Re, Ltd., Floating Rate Note, 5/7/15 (Cat Bond) (144A) 1,250,000 $1,306,362
Mythen Re, Ltd. Series 2012-2 Class A, Floating Rate Note, 1/5/17 (Cat Bond) (144A) 2,750,000 $2,964,629
Mythen Re, Ltd. Series 2012-2 Class A, Floating Rate Note, 11/10/16 (Cat Bond) (144A) 500,000 $539,964
Mythen Re, Ltd. Series 2013-1 Class B, Floating Rate Note, 7/9/15 (Cat Bond) (144A) 1,500,000 $1,554,367
National Australia Bank, Ltd., Floating Rate Note, 3/17/17 1,950,000 $1,950,964
National Australia Bank, Ltd., Floating Rate Note, 7/25/14 (144A) 3,125,000 $3,133,615
National City Bank Cleveland Ohio, Floating Rate Note, 12/15/16 2,850,000 $2,844,117
National City Corp., 4.9%, 1/15/15 2,750,000 $2,879,092
National Rural Utilities Cooperative Finance Corp., 1.0%, 2/2/15 3,300,000 $3,327,073
National Rural Utilities Cooperative Finance Corp., Floating Rate Note, 11/23/16 1,800,000 $1,806,149
National Rural Utilities Cooperative Finance Corp., Floating Rate Note, 5/1/15 2,720,000 $2,722,096
Nationstar Agency Advance Funding Trust 2013-T1A, 0.997%, 2/15/45 (144A) 2,250,000 $2,247,442
Nationstar Home Equity Loan Trust 2007-A, Floating Rate Note, 3/25/37 1,000,000 $667,467
Navios Maritime Partners LP, Term Loan, 6/27/18 1,492,500 $1,512,089
Navitas Equipment Receivables LLC 2013-1, 1.95%, 11/15/16 1,750,000 $1,211,407
NBCUniversal Enterprise, Inc., Floating Rate Note, 4/15/16 (144A) 2,694,000 $2,712,904
NBTY, Inc., Term B-2 Loan, 10/1/17 400,000 $401,188
NCUA Guaranteed Notes Trust, Floating Rate Note, 10/7/20 2,000,000 $1,030,929
NCUA Guaranteed Notes Trust, Floating Rate Note, 11/6/17 6,590,000 $2,792,688
NCUA Guaranteed Notes Trust, Floating Rate Note, 12/8/20 410,000 $296,815
NCUA Guaranteed Notes Trust, Floating Rate Note, 3/11/20 2,035,000 $1,121,261
NCUA Guaranteed Notes Trust, Floating Rate Note, 4/6/20 5,835,000 $1,722,765
NCUA Guaranteed Notes Trust REMICS, Floating Rate Note, 12/8/20 1,330,000 $966,971
NCUA Guaranteed Notes Trust REMICS, Floating Rate Note, 3/9/21 2,700,000 $1,382,680
Ndass Flt% 13jun16 2,225,000 $2,224,577
Nelnet Student Loan Trust 2005-1, Floating Rate Note, 10/26/20 1,795,000 $652,772
NEP, Amendment No. 3 Incremental Term Loan (First Lien), 1/22/20 617,338 $618,689
New Albertsons Inc 1st Lien Tl L + 3.75% 24jun21 500,000 $502,300
New Century Home Equity Loan Trust 2005-1, Floating Rate Note, 3/25/35 5,042,000 $802,908
New Century Home Equity Loan Trust Series 2003-4, Floating Rate Note, 10/25/33 2,500,000 $1,456,551
New Residential Advance Receivables Trust Advance Receivables Backed 2014-T1, 1.2736%, 3/13/45 1,650,000 $1,652,749
NewStar Commercial Loan Trust 2007-1, Floating Rate Note, 9/30/22 (144A) 2,000,000 $1,195,345
New York Life Global Funding, 0.75%, 7/24/15 (144A) 1,000,000 $1,004,808
New York Life Global Funding, 1.3%, 1/12/15 (144A) 660,000 $667,292
New York Life Global Funding, Floating Rate Note, 10/5/15 (144A) 2,350,000 $2,350,904
New York Life Global Funding, Floating Rate Note, 5/23/16 (144A) 3,150,000 $3,169,532
New York Life Global Funding, Floating Rate Note, 7/30/14 (144A) 1,300,000 $1,300,587
NiSource Finance Corp., 5.4%, 7/15/14 2,731,000 $2,803,915
Nissan Auto Lease Trust, Floating Rate Note, 6/15/15 2,570,000 $188,117
Nissan Auto Lease Trust 2013-B, Floating Rate Note, 1/15/16 760,000 $743,248
Nissan Auto Receivables 2012-A Owner Trust, 0.73%, 5/16/16 55,000 $29,189
Nissan Auto Receivables 2013-A Owner Trust, 0.37%, 9/15/15 1,500,000 $236,032
Nissan Auto Receivables 2013-C Owner Trust, 0.4%, 6/15/16 2,075,000 $2,075,597
Nissan Master Owner Trust Receivables, Floating Rate Note, 5/15/17 570,000 $571,560
Nissan Motor Acceptance Corp., Floating Rate Note, 3/3/17 (144A) 2,000,000 $2,007,037
Nissan Motor Acceptance Corp., Floating Rate Note, 9/26/16 (144A) 1,500,000 $1,513,724
Nomura Asset Acceptance Corp Alternative Loan Trust Series 2004-AR4, Floating Rate Note, 12/25/34 1,170,000 $173,434
Nomura Asset Acceptance Corp Alternative Loan Trust Series 2005-WF1, 4.786%, 3/25/35 735,000 $87,713
Nomura Home Equity Loan Inc Home Equity Loan Trust Series 2005-FM1, Floating Rate Note, 5/25/35 1,700,000 $88,417
Nomura Home Equity Loan Inc Home Equity Loan Trust Series 2006-HE1, Floating Rate Note, 2/25/36 1,700,000 $187,725
Nomura Resecuritization Trust 2011-3R, Floating Rate Note, 7/26/37 (144A) 3,900,000 $3,254,323
Noranda Aluminum Acquisition Corp., Term B Loan, 2/28/19 117,300 $113,195
Nordea Bank AB, 2.25%, 3/20/15 (144A) 800,000 $816,067
Nordea Bank AB, Floating Rate Note, 4/4/17 (144A) 890,000 $892,499
Nordea Bank AB, Floating Rate Note, 5/13/16 (144A) 2,500,000 $2,514,968
Northshore Re, Ltd., Floating Rate Note, 7/5/16 (Cat Bond) (144A) 2,250,000 $2,347,709
NorthStar 2012-1 Mortgage Trust, Floating Rate Note, 8/25/29 (144A) 2,926,938 $2,070,406
NorthStar 2012-1 Mortgage Trust, Floating Rate Note, 8/25/29 (144A) 1,000,000 $1,015,396
NorthStar 2013-1, Floating Rate Note, 8/25/29 (144A) 2,784,000 $2,783,674
NovaStar Mortgage Funding Trust Series 2003-1, Floating Rate Note, 5/25/33 19,881,000 $453,475
NovaStar Mortgage Funding Trust Series 2004-4, Floating Rate Note, 3/25/35 2,443,000 $2,396,127
NovaStar Mortgage Funding Trust Series 2004-4, Floating Rate Note, 3/25/35 1,150,000 $620,932
NPC International, Inc., Term Loan, 12/28/18 156,400 $156,693
NRG Energy, Inc., Term Loan (2013), 7/1/18 1,176,423 $1,175,280
Nsany Cp Zero% 14jul14 Usd 2,000,000 $1,999,848
NSG Holdings LLC, New Term Loan, 12/11/19 1,578,342 $1,580,314
NSTAR Electric Co., Floating Rate Note, 5/17/16 1,013,000 $1,012,315
Numericable Sfr 1st Lien Tl-B2 L + 3.75% 23apr20 231,923 $233,572
Numericable Us Llc Tl-B1 L + 3.75% 23apr20 268,077 $269,983
Ocwen Loan Servicing LLC, Initial Term Loan, 2/15/18 1,387,883 $1,395,794
Offshore Group Investment, Ltd., Second Term Loan, 3/28/19 493,750 $492,310
Ohart 2.8828% 25may54 2014-Npl1- 1,810,000 $1,812,772
On Assignment, Inc., Initial Term B Loan, 5/15/20 1,037,113 $1,035,384
Opteum Mortgage Acceptance Corp Asset Backed Pass-Through Certificates 2005-1, Floating Rate Note, 2 13,907,953 $119,395
Opteum Mortgage Acceptance Corp Asset Backed Pass-Through Certificates 2005-5, Floating Rate Note, 1 2,400,000 $300,581
Option One Mortgage Loan Trust 2005-1, Floating Rate Note, 2/25/35 600,000 $197,332
Option One Mortgage Loan Trust 2005-4 Asset-Backed Certificates Series 2005-4, Floating Rate Note, 1 15,850,508 $1,565,219
Option One Mortgage Loan Trust 2007-FXD2, 5.9%, 3/25/37 (Step) 810,000 $43,218
Option One Woodbridge Loan Trust 2002-1, Floating Rate Note, 9/25/14 (144A) 6,512,459 $1,433,393
ORES 2014-LV3 LLC, 3.0%, 3/27/24 (144A) 2,250,000 $2,141,779
ORES NPL 2013-LV2 LLC, 3.081%, 9/25/25 (144A) 1,558,000 $970,595
Origen Manufactured Housing Contract Trust 2004-B, Floating Rate Note, 11/15/35 1,240,000 $1,123,712
Oxford Finance Funding Trust 2012-1, 3.9%, 3/15/17 (144A) 2,710,000 $377,691
PACCAR Financial Corp., Floating Rate Note, 5/5/15 2,000,000 $2,002,697
Park Place Securities Inc Asset-Backed Pass-Through Certificates Series 2004-MCW, Floating Rate Note 750,000 $398,702
Park Place Securities Inc Asset-Backed Pass-Through Certificates Series 2004-MHQ, Floating Rate Note 1,560,000 $69,265
Park Place Securities Inc Asset-Backed Pass-Through Certificates Series 2004-WWF, Floating Rate Note 1,900,000 $522,751
Park Place Securities Inc Asset-Backed Pass-Through Ctfs Ser 2004-WCW2, Floating Rate Note, 10/25/34 4,874,309 $555,111
Park Place Securities Inc Asset-Backed Pass-Through Ctfs Ser 2005-WHQ4, Floating Rate Note, 9/25/35 8,206,169 $2,941,329
Par Pharmaceutical Companies, Inc., Term B-2 Loan, 9/28/19 1,475,815 $1,478,237
Pcar Flt% 06jun17 1,290,000 $1,290,367
Penn National Gaming, Inc., Term B Facility Loan, 10/25/20 537,300 $536,964
Penske Truck Leasing Co Lp, 2.5%, 7/11/14 (144A) 2,400,000 $2,429,399
Pepper Residential Securities Trust, Floating Rate Note, 10/18/14 (144A) 1,500,000 $1,500,441
Pepper Residential Securities Trust, Floating Rate Note, 4/10/15 2,000,000 $2,000,616
Pepper Residential Securities Trust, Floating Rate Note, 7/24/14 (144A) 1,000,000 $989,485
PepsiCo, Inc., Floating Rate Note, 2/26/16 860,000 $861,256
Permanent Master Issuer Plc, Floating Rate Note, 7/15/42 (144A) 887,000 $900,473
Permanent University Fund, Floating Rate Note, 7/1/37 11,495,000 $11,495,355
PF Chang's China Bistro, Inc., Term Borrowing, 6/22/19 841,501 $830,456
Pfizer, Inc., Floating Rate Note, 5/15/17 2,100,000 $2,100,991
PFS Financing Corp., Floating Rate Note, 10/17/16 (144A) 2,185,723 $2,187,610
PFS Financing Corp., Floating Rate Note, 10/17/16 (144A) 325,276 $325,876
PFS Financing Corp., Floating Rate Note, 2/15/18 (144A) 2,340,000 $2,342,651
PFS Financing Corp., Floating Rate Note, 2/15/19 (144A) 2,000,000 $2,003,585
PFS Tax Lien Trust 2014-1, 1.44%, 5/15/29 1,300,000 $1,221,172
PHARMEDIUM HEALTHCARE Corp., Initial Term Loan (First Lien), 1/23/21 262,575 $263,314
Philip Morris International, Inc., Floating Rate Note, 2/26/15 1,500,000 $1,500,535
Pilot Travel Centers LLC, Refinancing Tranche B Term Loan, 3/30/18 98,250 $98,556
Pinnacle Entertainment, Inc., Tranche B-2 Term Loan, 8/13/20 234,382 $235,065
Pinnacle Foods Finance LLC, New Term Loan G, 4/29/20 1,323,250 $1,318,702
PNC Bank NA, Floating Rate Note, 1/28/16 2,250,000 $2,255,034
PNC Bank NA, Floating Rate Note, 4/29/16 3,268,000 $3,272,417
Post Holdings Inc 1st Lien Tl-B L + 3% 23may21 1,000,000 $1,009,297
PQ Corp., 2014 Term Loan, 8/7/17 935,750 $939,259
Prestige Auto Receivables Trust 2014-1, 0.97%, 3/15/18 (144A) 1,900,000 $1,901,214
Prestige Brands, Inc., Term B-1 Loan, 1/31/19 550,259 $552,666
Principal Life Global Funding II, Floating Rate Note, 5/27/16 (144A) 2,530,000 $2,543,109
Progreso 3.5% 08jul19 2014-A_ 4,750,000 $4,750,462
Progreso Receivables Funding I LLC, 4.0%, 7/9/18 (144A) 1,800,000 $1,811,350
Progressive Waste Solutions, Ltd., Term B Loan, 10/24/19 1,176,060 $1,178,756
Province of Ontario Canada, Floating Rate Note, 4/1/15 1,800,000 $1,803,579
Prudential Financial, Inc., 3.875%, 1/14/15 290,000 $300,587
Prudential Financial, Inc., 6.2%, 1/15/15 1,902,000 $2,014,277
PVH Corp., Tranche B Term Loan, 2/13/20 1,552,135 $1,565,069
Queen City Re, Floating Rate Note, 1/6/19 (Cat Bond) (144A) 1,750,000 $1,703,839
Queen Street III Capital, Ltd., Floating Rate Note, 7/28/14 (144A) 1,750,000 $1,775,008
Queen Street IV Capital, Ltd., Floating Rate Note, 4/9/15 (Cat Bond) (144A) 2,250,000 $2,282,156
Queen Street VII Re, Ltd., Floating Rate Note, 4/8/16 (Cat Bond) (144A) 1,750,000 $1,818,299
Queen Street VI Re, Ltd., Floating Rate Note, 4/9/15 (Cat Bond) (144A) 250,000 $257,666
Queen Street V Re, Ltd., Floating Rate Note, 4/9/15 (Cat Bond) (144A) 1,750,000 $1,784,995
Quest Trust, Floating Rate Note, 3/25/34 (144A) 55,089,092 $2,421,957
Quikrete Holdings, Inc., Initial Loan (First Lien), 9/26/20 557,200 $558,767
RAAC Series 2005-RP1 Trust, Floating Rate Note, 7/25/37 (144A) 2,130,580 $1,354,668
RAAC Series 2005-RP2 Trust, Floating Rate Note, 6/25/35 (144A) 4,005,000 $1,134,966
RAAC Series 2005-RP3 Trust, Floating Rate Note, 5/25/39 (144A) 2,000,000 $1,526,377
RAAC Series 2006-RP1 Trust, Floating Rate Note, 10/25/45 (144A) 15,300,000 $750,502
RAAC Series 2006-RP2 Trust, Floating Rate Note, 2/25/37 (144A) 26,822,396 $2,815,209
RAIT 2014-FL2 Trust, Floating Rate Note, 5/13/31 3,000,000 $2,958,069
RALI Series 2002-QS16 Trust, Floating Rate Note, 10/25/17 5,500,000 $117,119
RALI Series 2003-QS11 Trust, Floating Rate Note, 6/25/33 44,273,266 $2,240,676
RALI Series 2003-QS22 Trust, Floating Rate Note, 12/26/33 8,400,000 $934,979
RALI Series 2003-QS5 Trust, Floating Rate Note, 3/25/18 30,000,000 $1,186,882
RALI Series 2003-QS9 Trust, Floating Rate Note, 5/25/18 34,469,500 $1,630,175
RALI Series 2004-QR1 Trust, 5.25%, 10/25/34 66,901,390 $2,161,898
RALI Series 2004-QS16 Trust, 5.5%, 12/25/34 4,200,000 $297,510
RALI Series 2004-QS1 Trust, 4.25%, 1/25/34 4,500,000 $45,521
RALI Series 2004-QS1 Trust, Floating Rate Note, 1/25/34 4,000,000 $57,107
RALI Series 2004-QS5 Trust, 4.75%, 4/25/34 12,155,000 $749,867
RALI Series 2004-QS5 Trust, Floating Rate Note, 4/25/34 9,566,021 $580,426
RAMP Series 2004-RS11 Trust, Floating Rate Note, 11/25/34 700,000 $239,844
RAMP Series 2005-RS6 Trust, Floating Rate Note, 6/25/35 1,393,325 $969,376
RAMP Series 2005-RZ4 Trust, Floating Rate Note, 11/25/35 21,876,980 $21,961
RAMP Series 2006-EFC1 Trust, Floating Rate Note, 2/25/36 1,500,000 $20,597
RAMP Series 2006-RZ3 Trust, Floating Rate Note, 8/25/36 10,534,000 $2,797,779
Ranpak Corp., USD Term Loan (First Lien), 4/23/19 190,483 $191,674
RASC Series 2005-EMX2 Trust, Floating Rate Note, 7/25/35 157,752 $55,922
RASC Series 2005-KS3 Trust, Floating Rate Note, 4/25/35 500,000 $193,441
RASC Series 2005-KS7 Trust, Floating Rate Note, 8/25/35 4,600,000 $250,741
RASC Series 2006-KS1 Trust, Floating Rate Note, 2/25/36 8,211,000 $285,533
RBS Greenwich Capital Mortgage Loan Trust, 3.686%, 4/15/24 (144A) 8,160,000 $5,859,339
RBSSP Resecuritization Trust 2009-5, Floating Rate Note, 8/26/37 (144A) 7,810,000 $2,788,401
Regatta Funding, Ltd., Floating Rate Note, 6/15/20 (144A) 2,000,000 $1,065,498
RegionalCare Hospital Partners, Inc., Term Loan (First Lien), 4/21/19 493,763 $494,997
RENT-A-CENTER, INC, Term Loan (2014), 2/6/21 1,745,625 $1,736,897
Residential Asset Securitization Trust 2003-A15, Floating Rate Note, 2/25/34 10,120,000 $646,786
Residential Asset Securitization Trust 2003-A2, Floating Rate Note, 5/25/33 9,443,647 $366,663
Residential Reinsurance 2011, Ltd., Floating Rate Note, 12/6/16 (Cat Bond) (144A) 1,450,000 $1,522,901
Residential Reinsurance 2011, Ltd., Floating Rate Note, 6/6/15 (Cat Bond) (144A) 1,750,000 $1,826,213
Residential Reinsurance 2011, Ltd., Floating Rate Note, 6/6/17 (Cat Bond) (144A) 500,000 $521,240
Residential Reinsurance 2012, Ltd., Floating Rate Note, 12/6/16 (Cat Bond) (144A) 2,900,000 $2,969,673
Residential Reinsurance 2012, Ltd., Floating Rate Note, 12/6/16 (Cat Bond) (144A) 750,000 $780,370
Residential Reinsurance 2012, Ltd., Floating Rate Note, 6/6/16 (Cat Bond) (144A) 750,000 $818,817
Residential Reinsurance 2012, Ltd., Floating Rate Note, 6/6/16 (Cat Bond) (144A) 1,150,000 $1,269,766
Residential Reinsurance 2013, Ltd., Floating Rate Note, 6/6/17 (Cat Bond) (144A) 1,100,000 $1,153,486
Residential Reinsurance 2014, Ltd., Floating Rate Note, 6/6/18 (Cat Bond) (144A) 750,000 $750,675
RESI Finance LP, Floating Rate Note, 9/10/35 (144A) 9,871,589 $1,970,839
Resi Flt% 12dec45 A1 3,000,000 $3,002,798
Resimac MBS Trust, Floating Rate Note, 3/7/15 (144A) 1,500,000 $1,500,344
Resource Capital Corp CRE Notes 2013, Ltd., Floating Rate Note, 6/15/16 (144A) 3,000,000 $3,029,625
Revlon Consumer Products Corp., Acquisition Term Loan, 8/19/19 373,125 $374,408
Revlon Consumer Products Corp., Replacement Term Loan, 11/19/17 976,136 $977,764
Reynolds Group Holdings, Inc., Incremental U.S. Term Loan, 12/31/18 789,274 $791,297
RFSC Series 2003-RP2 Trust, Floating Rate Note, 7/25/41 (144A) 2,000,000 $1,213,539
Rialto Capital Management LLC, 2.85%, 5/15/24 2,000,000 $1,761,929
Rio Tinto Finance USA Plc, Floating Rate Note, 6/17/16 1,130,000 $1,140,212
Riverfront Re, Ltd., Floating Rate Note, 1/6/17 (Cat Bond) (144A) 1,000,000 $976,400
Rovi Solutions Corp., Tranche B-3 Term Loan, 3/29/19 1,547,422 $1,538,234
Royal Bank of Canada, 1.15%, 3/13/15 2,532,000 $2,556,059
Royal Bank of Canada, Floating Rate Note, 1/23/17 1,875,000 $1,882,240
Royal Bank of Canada, Floating Rate Note, 1/6/15 2,200,000 $2,205,023
Royal Bank of Canada, Floating Rate Note, 10/30/14 2,700,000 $2,710,421
Royal Bank of Canada, Floating Rate Note, 12/16/15 1,800,000 $1,803,726
Royal Bank of Canada, Floating Rate Note, 9/9/16 2,000,000 $2,011,800
RPI Finance Trust, Term B-2 Term Loan, 5/9/18 1,017,230 $1,019,895
RPI Finance Trust, Term B-3 Term Loan, 11/9/18 625,502 $627,262
RREF 2013 LT2 LLC, 2.8331%, 5/22/28 (144A) 3,000,000 $1,031,090
Ruby Western Pipeline Holdings LLC, Loan, 3/27/20 801,336 $802,338
Ryder System, Inc., 3.15%, 3/2/15 2,000,000 $2,056,690
Ry Flt% 16jun17 2,200,000 $2,200,414
SACO I Trust 2005-8, Floating Rate Note, 11/25/35 31,285,727 $546,045
Salix Pharmaceuticals, Ltd., Term Loan, 12/17/19 438,750 $442,785
Salomon Brothers Mortgage Securities VII, Inc., Floating Rate Note, 3/25/28 49,537,000 $101,467
Salomon Mortgage Loan Trust Series 2001-CB4, Floating Rate Note, 11/25/33 4,754,000 $132,529
Samson Investment Co., Tranche 1 Term Loan (Second Lien), 9/25/18 400,000 $400,822
Sanders Re, Ltd., Floating Rate Note, 5/25/18 (Cat Bond) 1,000,000 $990,100
Sanders Re, Ltd., Floating Rate Note, 5/5/17 (Cat Bond) (144A) 1,500,000 $1,501,067
Sanders Re, Ltd., Floating Rate Note, 5/5/17 (Cat Bond) (144A) 2,500,000 $2,494,368
Sanders Re, Ltd., Floating Rate Note, 6/7/17 (Cat Bond) (144A) 2,000,000 $1,987,400
Santander Drive Auto Receivables Trust, 0.62%, 7/15/16 987,000 $516,327
Santander Drive Auto Receivables Trust 2011-S2, 2.06%, 6/15/17 (144A) 400,000 $19,266
Santander Drive Auto Receivables Trust 2012-5, 0.83%, 12/15/16 1,600,000 $1,020,938
Santander Drive Auto Receivables Trust 2014-2, Floating Rate Note, 8/15/17 1,550,000 $1,550,774
Santander Holdings USA, Inc. Pennsylvania, 3.0%, 9/24/15 4,502,000 $4,660,557
Sarm Flt% 25aug35 05-16xs-A1 26,776,000 $1,724,305
SASCO Mortgage Loan Trust 2005-GEL1, Floating Rate Note, 12/25/34 1,590,000 $1,177,261
SASCO Mortgage Loan Trust 2005-GEL2, Floating Rate Note, 4/25/35 28,476,673 $604,291
Saxon Asset Securities Trust 2005-3, Floating Rate Note, 11/25/35 1,945,000 $1,902,858
Saxon Asset Securities Trust 2005-4, Floating Rate Note, 11/25/37 31,986,000 $1,844,254
SBA Senior Finance II LLC, Incremental Tranche B-1 Term Loan, 3/31/21 600,000 $597,812
SBI Home Equity Loan Trust 2006-1, Floating Rate Note, 8/25/36 (144A) 2,950,000 $1,009,899
Schaeffler 1st Lien Tl-E L + 3% 15may20 683,943 $687,790
Sdart 3.28% 15jun16 11-2-C 2,265,000 $2,289,607
Sdart Flt% 15aug17 14-3-A2b 1,110,000 $1,110,208
Seadrill Operating LP, Initial Term Loan, 2/14/21 2,736,250 $2,721,808
Sealed Air Corp., Replacement Term Loan, 10/3/18 577,379 $580,131
Sebny 0.25% 02sep14 Usd 8,555,000 $8,563,013
Select Medical Corp., Series E Tranche B Term Loan, 6/1/18 236,016 $235,869
Selene Non-Performing Loans LLC, 5/25/54 (Step) (144A) 3,530,000 $3,531,931
Seminole Hard Rock Entertainment, Inc., New Term Loan B, 5/14/20 594,000 $593,134
Seminole Tribe of Florida, Inc., Initial Term Loan, 4/29/20 1,368,750 $1,367,681
Sensata Technologies BV, Term Loan, 5/12/18 530,108 $532,995
Sequa Corp., Initial Term Loan, 6/19/17 419,688 $416,540
Sequoia Mortgage Trust 10, Floating Rate Note, 10/20/27 6,100,000 $132,702
Sequoia Mortgage Trust 2003-2, Floating Rate Note, 6/20/33 13,097,000 $536,678
Sequoia Mortgage Trust 2003-5, Floating Rate Note, 9/20/33 5,000,000 $241,759
Sequoia Mortgage Trust 2003-8, Floating Rate Note, 1/20/34 5,750,000 $291,049
Sequoia Mortgage Trust 2004-10, Floating Rate Note, 11/20/34 3,885,000 $422,011
Sequoia Mortgage Trust 2004-12, Floating Rate Note, 1/20/35 39,171,595 $4,510,183
Sequoia Mortgage Trust 2004-12, Floating Rate Note, 1/20/35 2,000,000 $141,962
Sequoia Mortgage Trust 2004-7, Floating Rate Note, 8/20/34 5,750,000 $309,685
Sequoia Mortgage Trust 2005-1, Floating Rate Note, 2/20/35 31,769,748 $3,537,363
Sequoia Mortgage Trust 2005-2, Floating Rate Note, 3/20/35 3,900,000 $396,460
Sequoia Mortgage Trust 4, Floating Rate Note, 11/22/24 6,940,000 $191,795
Series 2007-1G WST Trust, Floating Rate Note, 5/21/38 (144A) 545,000 $53,197
Serta Simmons Holdings LLC, Term Loan, 10/1/19 350,000 $351,339
Shell International Finance BV, Floating Rate Note, 11/15/16 1,500,000 $1,502,237
Ship Midco, Ltd., Facility B2A-II, 11/29/19 98,939 $100,052
Sinclair Television Group, Inc., New Tranche B Term Loan, 4/19/20 1,341,733 $1,329,713
Six Flags Theme Parks, Inc., Tranche B Term Loan, 12/20/18 733,489 $736,125
SMA Issuer I LLC, 3.5%, 8/20/25 (144A) 509,850 $28,048
SMART Trust/Australia, 1.59%, 10/14/16 (144A) 650,000 $598,641
SMART Trust/Australia, Floating Rate Note, 1/14/17 2,500,000 $2,500,749
SMART Trust/Australia, Floating Rate Note, 6/14/15 1,800,000 $203,431
SMART Trust/Australia, Floating Rate Note, 7/14/16 1,500,000 $1,500,972
SMART Trust/Australia, Floating Rate Note, 9/14/16 1,785,000 $1,786,730
SMHL Global Fund 2007-1, Floating Rate Note, 6/12/40 1,100,000 $107,002
SNAAC Auto Receivables Trust, 4.38%, 6/15/17 (144A) 1,800,000 $1,832,302
SNAAC Auto Receivables Trust 2013-1, 1.14%, 7/16/18 (144A) 1,823,000 $550,701
SNAAC Auto Receivables Trust 2014-1, 1.03%, 9/17/18 (144A) 734,000 $640,777
Soundview Home Loan Trust 2005-DO1, Floating Rate Note, 5/25/35 2,000,000 $454,172
Soundview Home Loan Trust 2005-OPT4, Floating Rate Note, 12/25/35 2,967,970 $894,464
South Carolina State Public Service Authority, Floating Rate Note, 6/1/15 670,000 $672,584
Southern California Edison Co., Floating Rate Note, 10/1/14 1,450,000 $1,451,004
Southern California Edison Co., Floating Rate Note, 9/15/14 1,530,000 $1,531,537
Southwire Co., Initial Term Loan, 1/31/21 925,000 $925,434
Specialty Underwriting & Residential Finance Trust Series 2005-AB2, Floating Rate Note, 6/25/36 1,500,000 $612,390
Specialty Underwriting & Residential Finance Trust Series 2006-BC1, Floating Rate Note, 12/25/36 3,640,376 $3,453,156
Specialty Underwriting & Residential Finance Trust Series 2006-BC1, Floating Rate Note, 12/25/36 3,000,000 $496,146
Spectrum Brands, Inc., Tranche C Term Loan, 8/13/19 297,750 $298,400
Spin Holdco, Inc., Initial Term Loan (First Lien), 11/14/19 497,500 $498,993
Spirit AeroSystems, Inc., Term Loan B, 9/30/20 1,339,193 $1,337,310
Springleaf Funding Trust 2013-A, 2.58%, 9/15/21 (144A) 2,000,000 $2,016,949
Springleaf Mortgage Loan Trust 2012-3, Floating Rate Note, 12/25/59 (144A) 1,000,000 $602,399
Stanfield Bristol CLO, Ltd., Floating Rate Note, 10/15/19 (144A) 544,000 $538,731
Stanwich Mortgage Loan Co 2012-NPL4 LLC, 2.9814%, 9/15/42 (144A) 1,500,000 $206,431
Stanwich Mortgage Loan Trust, 2.9814%, 2/16/43 (144A) 3,025,000 $1,099,385
Starwood Property Mortgage Trust 2013-FV1, Floating Rate Note, 8/11/28 (144A) 2,495,000 $2,444,833
Starwood Property Trust, Inc., Term Loan (First Lien), 4/17/20 1,594,115 $1,587,639
State Street Bank & Trust Co., Floating Rate Note, 12/8/15 2,320,000 $2,319,265
Steward Health Care System LLC, Term Loan, 4/10/20 992,500 $981,334
Structured Adjustable Rate Mortgage Loan Trust, Floating Rate Note, 11/25/34 62,595,000 $3,304,969
Structured Adjustable Rate Mortgage Loan Trust, Floating Rate Note, 11/25/34 3,560,000 $408,997
Structured Adjustable Rate Mortgage Loan Trust, Floating Rate Note, 3/25/34 8,200,000 $592,591
Structured Adjustable Rate Mortgage Loan Trust, Floating Rate Note, 3/25/34 3,865,000 $632,744
Structured Adjustable Rate Mortgage Loan Trust, Floating Rate Note, 6/25/35 3,880,000 $67,162
Structured Adjustable Rate Mortgage Loan Trust, Floating Rate Note, 7/25/34 20,600,000 $2,737,427
Structured Asset Investment Loan Trust 2005-4, Floating Rate Note, 5/25/35 1,266,289 $153,978
Structured Asset Investment Loan Trust 2005-6, Floating Rate Note, 7/25/35 2,600,000 $2,574,786
Structured Asset Investment Loan Trust 2006-1, Floating Rate Note, 1/25/36 4,650,000 $1,233,998
Structured Asset Mortgage Investments II Trust 2004-AR1, Floating Rate Note, 3/19/34 16,800,000 $991,667
Structured Asset Mortgage Investments II Trust 2004-AR5, Floating Rate Note, 10/19/34 23,000,000 $1,129,857
Structured Asset Mortgage Investments Trust 2002-AR5, Floating Rate Note, 5/19/33 36,301,000 $1,950,431
Structured Asset Sec Corp Mor Pass Thr Cer Ser 2003-35, Floating Rate Note, 12/25/33 2,500,000 $176,322
Structured Asset Sec Corp Mort Pass Thr Certs Series 1998-8, Floating Rate Note, 8/25/28 8,825,000 $477,236
Structured Asset Securities Corp Mor Cer Ser 2003-31A, Floating Rate Note, 10/25/33 1,991,000 $240,711
Structured Asset Securities Corp Mortgage Loan Trust 2005-S7, Floating Rate Note, 12/25/35 (144A) 11,868,000 $2,038,292
Structured Asset Securities Corp Mortgage Loan Trust 2006-BC4, Floating Rate Note, 12/25/36 2,089,415 $4,663
Structured Asset Securities Corp Mortgage Loan Trust 2006-EQ1, Floating Rate Note, 7/25/36 (144A) 5,000,000 $3,147,739
Structured Asset Securities Corp Mortgage Loan Trust 2006-GEL4, Floating Rate Note, 10/25/36 (144A) 5,557,000 $2,392,493
Structured Asset Securities Corp Mortgage Loan Trust 2007-BC3, Floating Rate Note, 5/25/47 3,500,000 $210,778
Structured Asset Securities Corp Mortgage Pass-Through Certificates Ser 2004-S4, Floating Rate Note, 2,000,000 $595,912
Structured Asset Securities Corp Mortgage Pass-Through Ctfs Ser 2003-22A, Floating Rate Note, 6/25/3 4,000,000 $390,195
Structured Asset Securities Corp Mortgage Pass-Through Ctfs Ser 2003-24A, Floating Rate Note, 7/25/3 8,050,000 $1,059,262
Structured Asset Securities Corp Trust 2005-14, Floating Rate Note, 7/25/35 3,899,641 $477,301
Sumitomo Mitsui Banking Corp., Floating Rate Note, 7/19/16 1,500,000 $1,513,346
Sumitomo Mitsui Banking Corp. New York, Floating Rate Note, 4/1/15 1,000,000 $1,003,700
Sumitomo Mitsui Trust Bank, Ltd., Floating Rate Note, 9/16/16 (144A) 1,500,000 $1,511,123
SunTrust Bank, Floating Rate Note, 2/15/17 2,500,000 $2,501,527
SunTrust Bank, Floating Rate Note, 4/1/15 1,390,000 $1,391,564
Svenska Handelsbanken AB, Floating Rate Note, 3/21/16 2,275,000 $2,286,853
Svenska Handelsbanken AB, Floating Rate Note, 9/23/16 1,000,000 $1,005,928
Svenska Handelsbanken New York NY, Floating Rate Note, 1/16/15 700,000 $701,879
Svenska Handelsbanken New York NY, Floating Rate Note, 11/17/14 1,000,000 $1,000,800
Svenska Handelsbanken New York NY, Floating Rate Note, 12/19/14 1,500,000 $1,501,432
Svenska Handelsbanken New York NY, Floating Rate Note, 7/17/14 3,450,000 $3,458,512
Svskhb Cp Zero% 19aug14 Usd 1,530,000 $1,529,688
Swift Transportation Co Llc 1st Lien Tl-B L + 3% 09jun21 342,430 $343,607
Syncreon Group BV, Term Loan, 9/26/20 199,000 $200,990
Syniverse Holdings, Inc., Tranche B Term Loan, 4/23/19 727,141 $728,163
TAL Advantage LLC, Floating Rate Note, 4/20/21 (144A) 1,250,000 $226,846
TAL Advantage V LLC, 1.7%, 5/20/39 (144A) 1,400,000 $1,371,817
Taminco Global Chemical Corp., Initial Tranche B-3 Dollar Term Loan, 2/15/19 688,768 $686,013
Tar Heel Re, Ltd., Floating Rate Note, 5/9/16 (Cat Bond) (144A) 1,500,000 $1,556,546
TD Ameritrade Holding Corp., 4.15%, 12/1/14 2,805,000 $2,858,358
Telesat Canada, U.S. Term B-2 Loan, 3/28/19 663,785 $663,702
Tempur Sealy International, Inc., New Term B Loan, 3/18/20 517,807 $516,782
Terex Corp., New U.S. Term Loan (2013), 4/28/17 309,557 $311,491
Terwin Mortgage Trust Series TMTS 2003-8HE, Floating Rate Note, 12/25/34 23,713,000 $717,681
Terwin Mortgage Trust Series TMTS 2005-10HE, Floating Rate Note, 6/25/36 668,753 $580,124
Tesoro Corp., Initial Term Loan, 5/30/16 795,000 $798,727
Texas Competitive Electric Holding 1st Lien Dd L + 2.75% 05may16 1,231,955 $1,237,345
The Bank of New York Mellon Corp., 1.7%, 11/24/14 2,000,000 $2,012,750
The Bank of New York Mellon Corp., 3.1%, 1/15/15 670,000 $689,628
The Bank of New York Mellon Corp., Floating Rate Note, 10/23/15 3,533,000 $3,542,694
The Bank of New York Mellon Corp., Floating Rate Note, 3/4/16 3,275,000 $3,279,368
The Bank of New York Mellon Corp., Floating Rate Note, 7/28/14 2,340,000 $2,342,567
The Bank of Tokyo-Mitsubishi UFJ, Ltd., Floating Rate Note, 3/10/17 (144A) 1,000,000 $1,000,118
The Bear Stearns Companies LLC, 5.7%, 11/15/14 2,150,000 $2,207,008
The Bear Stearns Companies LLC, Floating Rate Note, 10/28/14 400,000 $401,428
The Bear Stearns Companies LLC, Floating Rate Note, 11/21/16 2,465,000 $2,464,417
The Charlotte-Mecklenburg Hospital Authority, Floating Rate Note, 1/15/26 5,500,000 $5,500,191
The Coca-Cola Co., Floating Rate Note, 3/5/15 850,000 $849,967
The Geo Group, Inc., Term Loan, 4/3/20 992,487 $993,418
The Goldman Sachs Group, Inc., 5.0%, 10/1/14 1,862,000 $1,906,653
The Goldman Sachs Group, Inc., Floating Rate Note, 11/21/14 1,000,000 $1,004,641
The Goldman Sachs Group, Inc., Floating Rate Note, 3/22/16 3,000,000 $3,000,780
The Goldman Sachs Group, Inc., Floating Rate Note, 9/29/14 3,333,000 $3,344,313
The Goodyear Tire & Rubber Co., Loan (Second Lien), 4/30/19 600,000 $604,495
The Hertz Corp., Tranche B-1 Term Loan, 3/11/18 738,750 $739,501
The Huntington National Bank, Floating Rate Note, 4/24/17 2,000,000 $2,003,861
The Manitowoc Co, Inc., Term B Loan, 12/18/20 84,788 $84,944
The PNC Financial Services Group, Inc., Floating Rate Note, 2/21/49 (Perpetual) 1,500,000 $1,507,597
The Toronto-Dominion Bank, 1.375%, 7/14/14 1,100,000 $1,107,456
The Toronto-Dominion Bank, Floating Rate Note, 5/1/15 3,350,000 $3,356,638
The Toronto-Dominion Bank, Floating Rate Note, 5/2/17 2,000,000 $2,000,415
The Toronto-Dominion Bank, Floating Rate Note, 7/14/14 1,200,000 $1,201,470
The Toronto-Dominion Bank, Floating Rate Note, 9/9/16 1,000,000 $1,005,899
The University of Texas System, Floating Rate Note, 8/1/34 11,970,000 $11,970,364
Thornburg Mortgage Securities Trust 2004-1, Floating Rate Note, 3/25/44 11,046,000 $1,855,274
Thornburg Mortgage Securities Trust 2004-4, Floating Rate Note, 12/25/44 4,235,000 $888,287
TI Group Automotive Systems LLC, Additional Term Loan, 3/28/19 638,289 $641,473
TMS International Corp., Term B Loan, 10/2/20 149,250 $149,810
TORONTO-DOMINION BANK, Floating Rate Note, 11/6/15 1,725,000 $1,728,448
Toronto-Dominion Bank New York, Floating Rate Note, 11/14/14 1,700,000 $1,700,266
Total Capital Canada, Ltd., Floating Rate Note, 1/15/16 3,355,000 $3,374,828
Tower Automotive Holdings USA LLC, Refinancing Term Loan, 4/23/20 201,202 $201,161
Toyota Motor Credit Corp., 0.75%, 3/5/17 (Step) 2,250,000 $2,241,697
Toyota Motor Credit Corp., 1.0%, 2/17/15 2,265,000 $2,284,142
Toyota Motor Credit Corp., 1.25%, 11/17/14 554,000 $557,049
Toyota Motor Credit Corp., Floating Rate Note, 1/23/15 2,290,000 $2,294,236
Toyota Motor Credit Corp., Floating Rate Note, 5/17/16 2,800,000 $2,810,702
Toyota Motor Credit Corp., Floating Rate Note, 9/18/15 1,000,000 $1,001,256
Tradewynd Re, Ltd., Floating Rate Note, 1/8/15 (Cat Bond) (144A) 250,000 $254,350
Trafigura Securitisation Finance Plc, Floating Rate Note, 10/15/15 (144A) 1,556,000 $1,573,905
Trafigura Securitisation Finance Plc, Floating Rate Note, 10/15/15 (144A) 1,537,000 $1,552,139
TransCanada PipeLines, Ltd., 0.875%, 3/2/15 1,710,000 $1,721,119
TransCanada PipeLines, Ltd., Floating Rate Note, 6/30/16 1,204,000 $1,216,588
TransDigm, Inc., Tranche C Term Loan, 2/28/20 321,734 $320,909
Tribune Co., Initial Term Loan, 11/20/20 2,283,525 $2,289,222
Triton Container Finance LLC, Floating Rate Note, 2/26/19 (144A) 1,287,000 $107,012
Tronox Pigments BV, New Term Loan, 3/19/20 386,334 $387,493
Truman Capital Mortgage Loan Trust, Floating Rate Note, 1/25/34 925,000 $909,818
Truven Health Analytics, Inc., New Tranche B Term Loan, 6/6/19 343,033 $340,246
tw telecom holdings inc, Term Loan B Loan, 4/17/20 999,900 $1,001,463
Txu 1st Lien Dip L + 2.75% 05may16 1,595,935 $1,605,412
Unifrax I LLC, New Term B Dollar Loan, 11/28/18 981,569 $983,717
Union Bank NA, Floating Rate Note, 9/26/16 3,500,000 $3,535,411
United Airlines, Inc., Class B Term Loan, 4/1/19 247,500 $247,216
United Auto Credit Securitization Trust 2012-1, 1.87%, 9/15/15 (144A) 1,500,000 $434,727
United Auto Credit Securitization Trust 2012-1, 2.52%, 3/15/16 1,645,000 $1,655,056
United Auto Credit Securitization Trust 2012-1, 3.12%, 3/15/18 (144A) 4,100,000 $4,134,172
United Auto Credit Securitization Trust 2013-1, 0.95%, 9/15/15 (144A) 2,000,000 $669,395
United Auto Credit Securitization Trust 2013-1, 1.74%, 4/15/16 (144A) 1,900,000 $1,908,997
United States Treasury Floating Rate Note, Floating Rate Note, 1/31/16 10,000,000 $10,001,107
United Technologies Corp., Floating Rate Note, 6/1/15 1,965,000 $1,974,583
Univision Communications, Inc., Replacement First-Lien Term Loan, 3/1/20 666,588 $666,900
US Bancorp, 2.45%, 7/27/15 2,620,000 $2,706,207
US Bank NA Cincinnati Ohio, Floating Rate Note, 1/30/17 2,025,000 $2,027,583
US Bank NA Cincinnati Ohio, Floating Rate Note, 10/14/14 4,355,000 $4,363,173
US Bank NA Cincinnati Ohio, Floating Rate Note, 4/22/16 2,000,000 $2,001,545
USI, Inc. New York, Initial Term Loan 2013, 12/30/19 1,093,412 $1,096,373
Valeant Pharmaceuticals International, Inc., Series C-2 Tranche B Term Loan, 12/11/19 589,500 $589,942
Valeant Pharmaceuticals International, Inc., Series D2 Term Loan B, 2/13/19 245,625 $245,735
Valeant Pharmaceuticals International, Inc., Series E1 Tranche B Term Loan, 8/5/20 1,513,488 $1,514,056
Vantiv Llc 1st Lien Tl-B L + 3% 12jun21 1,125,000 $1,129,746
Verint Systems, Inc., Tranche B Incremental Term Loan, 9/6/19 325,732 $326,139
Verizon Communications, Inc., Floating Rate Note, 9/15/16 1,245,000 $1,280,209
Virgin Media Investment Holdings, Ltd., B Facility, 6/8/20 2,205,000 $2,199,351
Visteon Corp Term B 1st Lien Dd L + 2.75% 08apr21 500,000 $497,266
Vita Capital IV, Ltd., Floating Rate Note, 1/15/16 (Cat Bond) (144A) 400,000 $407,154
Vita Capital V, Ltd., Floating Rate Note, 1/15/17 (Cat Bond) (144A) 500,000 $516,177
Vita Capital V, Ltd., Floating Rate Note, 1/15/17 (Cat Bond) (144A) 1,500,000 $1,533,536
Vitality Re IV, Ltd., Floating Rate Note, 1/9/17 (Cat Bond) (144A) 1,000,000 $1,029,275
Vitality Re V, Ltd., Floating Rate Note, 1/7/19 (Cat Bond) (144A) 1,800,000 $1,804,003
Vodafone Group Plc, Floating Rate Note, 2/19/16 1,150,000 $1,153,798
Volkswagen Auto Lease Trust 2012-A, 0.87%, 7/20/15 1,412,000 $634,138
Volkswagen Auto Lease Trust 2013-A, Floating Rate Note, 12/21/15 2,000,000 $1,363,343
Volkswagen Auto Lease Trust 2014-A, Floating Rate Note, 10/20/16 1,500,000 $1,500,726
Volkswagen Credit Auto Master Owner Trust, Floating Rate Note, 9/20/16 (144A) 400,000 $400,503
Volkswagen Group of America Finance LLC, Floating Rate Note, 5/23/16 1,900,000 $1,901,956
Volkswagen International Finance NV, Floating Rate Note, 11/18/16 (144A) 1,750,000 $1,758,010
Volkswagen International Finance NV, Floating Rate Note, 11/20/14 (144A) 1,000,000 $1,003,072
Volt14-Npl4 Flt% 27apr54 A1 6,000,000 $5,994,003
VOLT XVI LLC, 4.25%, 8/25/58 (Step) (144A) 2,102,951 $1,794,463
VOLT XXIV LLC, 3.25%, 11/25/53 (Step) 2,000,000 $1,989,900
VOLT XX LLC, 3.625%, 2/1/39 (Step) (144A) 1,000,000 $956,670
Volvo Financial Equipment LLC Series 2013-1, 0.53%, 11/16/15 (144A) 1,820,000 $981,936
Volvo Financial Equipment LLC Series 2014-1, 0.54%, 11/15/16 (144A) 1,700,000 $1,700,697
Wachovia Bank Commercial Mortgage Trust Series 2005-C16, Floating Rate Note, 10/15/41 1,430,000 $1,442,135
Wachovia Bank Commercial Mortgage Trust Series 2005-C17, Floating Rate Note, 3/15/42 6,504,854 $6,446,211
Wachovia Bank Commercial Mortgage Trust Series 2005-C18, 4.79%, 4/15/42 160,000 $44,479
Wachovia Bank Commercial Mortgage Trust Series 2005-C18, 4.935%, 4/15/42 4,722,637 $4,833,924
Wachovia Bank Commercial Mortgage Trust Series 2005-C20, Floating Rate Note, 7/15/42 1,825,000 $1,729,996
Wachovia Bank Commercial Mortgage Trust Series 2005-C21, Floating Rate Note, 10/15/44 1,990,733 $1,744,788
Wachovia Bank Commercial Mortgage Trust Series 2007-WHALE 8, Floating Rate Note, 6/15/20 (144A) 5,000,000 $772,418
Wachovia Corp., Floating Rate Note, 10/28/15 1,983,000 $1,988,641
WaMu Mortgage Pass-Through Certificates Series 2002-AR18 Trust, Floating Rate Note, 1/25/33 34,265,000 $383,980
WaMu Mortgage Pass-Through Certificates Series 2002-AR19 Trust, Floating Rate Note, 2/25/33 12,900,000 $498,332
WaMu Mortgage Pass-Through Certificates Series 2004-AR14 Trust, Floating Rate Note, 1/25/35 2,390,499 $530,470
WaMu Mortgage Pass-Through Certificates Series 2004-S1 Trust, Floating Rate Note, 3/25/34 6,560,000 $0
Waste Industries USA, Inc., Term B Loan, 3/17/17 149,609 $149,920
Waupaca Foundry, Inc., Term Loan, 6/29/17 1,847,862 $1,853,637
Weight Watchers International, Inc., Initial Tranche B-2 Term Loan, 4/2/20 1,975,000 $1,567,656
Wells Fargo & Co., 3.75%, 10/1/14 224,000 $228,029
Wells Fargo & Co., 5.0%, 11/15/14 1,000,000 $1,023,652
Wells Fargo & Co., Floating Rate Note, 10/28/15 2,503,000 $2,505,024
Wells Fargo & Co., Floating Rate Note, 6/26/15 5,230,000 $5,276,710
Wells Fargo & Co., Floating Rate Note, 7/20/16 3,105,000 $3,129,324
Wells Fargo Bank NA, 4.75%, 2/9/15 564,000 $589,676
Wells Fargo Bank NA, Floating Rate Note, 5/16/16 975,000 $973,276
Wells Fargo Commercial Mortgage Trust 2014-TISH, Floating Rate Note, 2/15/27 (144A) 2,220,000 $2,226,048
Wells Fargo Home Equity Asset-Backed Securities 2005-2 Trust, Floating Rate Note, 11/25/35 189,000 $114,727
Wells Fargo Mortgage Backed Securities 2005-AR6 Trust, Floating Rate Note, 4/25/35 611,000 $49,154
Wells Fargo Mortgage Backed Securities Trust, Floating Rate Note, 8/25/34 14,679,000 $943,839
Wendy's International LLC, Term B Loan, 5/15/19 724,757 $726,868
Wesco Aircraft Hardware Corp., Tranche B Term Loan, 2/24/21 2,574,000 $2,567,243
WESCO Distribution, Inc., Tranche B-1 Loan, 12/12/19 318,295 $318,971
West Corp., Term B-10 Loan, 6/30/18 1,143,359 $1,138,675
Westgate Resorts 2012-2 LLC, 3.0%, 1/20/25 (144A) 1,000,000 $442,170
Westgate Resorts 2012-A LLC, 3.75%, 8/20/25 (144A) 2,805,000 $1,876,905
Westgate Resorts LLC, 2.5%, 3/20/25 (144A) 350,000 $184,148
Westlake Automobile Receivables Trust 2013-1, 1.12%, 1/15/18 (144A) 375,000 $361,643
Westpac Banking Corp., 4.2%, 2/27/15 2,000,000 $2,079,977
Westpac Banking Corp., Floating Rate Note, 5/19/17 2,000,000 $2,001,257
Westpac Banking Corp., Floating Rate Note, 7/17/15 (144A) 500,000 $504,386
Westwood CDO II, Ltd., Floating Rate Note, 4/25/22 (144A) 2,000,000 $1,844,125
Wheels SPV 2 LLC, 0.87%, 3/20/23 (144A) 1,000,000 $1,000,111
WideOpenWest Finance LLC, Term B Loan, 4/1/19 239,904 $241,197
Wilshire Mortgage Loan Trust, Floating Rate Note, 5/25/28 10,000,000 $37,765
Windstream Corp., Tranche B-4 Term Loan, 1/23/20 1,038,364 $1,037,221
Windstream Corp., Tranche B-5 Term Loan, 8/8/19 714,148 $713,808
WireCo WorldGroup, Inc., Term Loan, 2/15/17 875,878 $884,090
WMG Acquisition Corp., Tranche B Refinancing Term Loan, 7/1/20 1,091,750 $1,076,466
World Financial Network Credit Card Master Trust, 3.96%, 4/15/19 200,000 $206,460
World Financial Network Credit Card Master Trust, Floating Rate Note, 2/15/19 2,850,000 $2,854,391
World Omni Auto Receivables Trust 2013-B, 0.48%, 11/15/16 50,000 $45,219
WR Grace & Co., Delayed Draw Term Loan, 1/23/21 290,008 $289,790
WR Grace & Co., U.S. Term Loan, 1/23/21 809,993 $809,385
Wyle 1st Lien Tl-B L + 4% 22may21 207,636 $208,025
Xerium Technologies, Inc., New Term Loan, 5/17/19 79,200 $79,893
XLIT, Ltd., 5.25%, 9/15/14 3,467,000 $3,554,793
ZIGGO BV, (USD) TLB3, 1/15/22 1,136,553 $1,124,072
Ziggo Bv 1st Lien Tl-B1 L + 2.75% 15jan22 1,072,383 $1,060,606
Ziggo Bv 1st Lien Tl-B2 L + 2.75% 15jan22 691,064 $683,475

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