Pioneer Multi-Asset Ultrashort Income Fund

Top 10 Portfolio Holdings as of 6/30/2015
Default: sorted by market value

Security Name Par / Shares Market Value
14112z Zero% 01feb19 2,500,000 $2,645,250
17079z Zero% 31mar18 750,000 $762,525
321 Henderson Receivables II LLC, Floating Rate Note, 9/15/41 (144A) 11,542,000 $3,471,153
321 Henderson Receivables I LLC, Floating Rate Note, 11/15/40 (144A) 4,630,000 $1,321,152
321 Henderson Receivables I LLC, Floating Rate Note, 12/15/41 (144A) 10,869,000 $3,428,589
321 Henderson Receivables I LLC, Floating Rate Note, 6/15/41 (144A) 8,090,000 $2,507,117
321 Henderson Receivables I LLC, Floating Rate Note, 9/15/45 (144A) 3,120,000 $699,663
77 Energy 1st Lien Tl-B L + 3% 17jun21 1,435,500 $1,331,426
A10 Securitization 2013-1 LLC, 2.4%, 11/17/25 (144A) 1,400,000 $313,874
Aberd Flt% 01nov18 08-1a-A 8,000,000 $4,827,337
ABFC 2003-WMC1 Trust, Floating Rate Note, 3/25/33 3,691,000 $10,008
ABFC 2005-HE2 Trust, Floating Rate Note, 6/25/35 2,500,000 $1,580,514
ABFC 2005-WF1 Trust, Floating Rate Note, 12/25/34 2,140,000 $702,925
ABN AMRO Bank NV, Floating Rate Note, 10/28/16 (144A) 1,725,000 $1,735,951
Acasc Flt% 20apr21 07-1a-A1s 7,786,000 $4,049,162
ACAS CLO 2007-1, Ltd., Floating Rate Note, 4/20/21 1,800,000 $1,105,411
Accredited Mortgage Loan Trust 2005-2, Floating Rate Note, 7/25/35 1,110,000 $1,029,795
ACE Securities Corp Manufactured Housing Trust Series 2003-MH1, Floating Rate Note, 8/15/30 (144A) 1,250,000 $72,815
ACIS CLO 2014-4, Ltd., Floating Rate Note, 5/1/26 (144A) 3,000,000 $751,247
ACRE Commercial Mortgage Trust 2014-FL2, Floating Rate Note, 8/15/31 (144A) 2,500,000 $2,508,426
ACRE Commercial Mortgage Trust 2014-FL2, Floating Rate Note, 8/15/31 (144A) 5,350,000 $3,871,523
Activision Blizzard, Inc., Term Loan, 7/26/20 1,411,209 $1,416,501
Adjustable Rate Mortgage Trust 2005-5, Floating Rate Note, 9/25/35 13,780,000 $1,052,494
AdvancePierre Foods, Inc., Term Loan (First Lien), 7/10/17 184,510 $184,994
Aegis Asset Backed Securities Trust Mortgage Pass-Through Ctfs Ser 2004-2, Floating Rate Note, 6/25/ 21,291,000 $1,301,020
Aegis Asset Backed Securities Trust Mortgage Pass-Through Ctfs Ser 2005-4, Floating Rate Note, 10/25 800,000 $356,339
Aegis Asset Backed Securities Trust Mortgage Pass- Through Ctfs Series 2004-3, Floating Rate Note, 9 3,465,620 $473,556
Aegis Asset Backed Securities Trust Mortgage Pass-Through Ctfs Series 2004-4, Floating Rate Note, 10 6,077,618 $1,182,407
Alamo Re, Ltd., Floating Rate Note, 6/7/17 (Cat Bond) (144A) 1,000,000 $998,429
Alamo Re, Ltd., Floating Rate Note, 6/7/18 (Cat Bond) (144A) 1,250,000 $1,245,938
Albertsons LLC, Term B-2 Loan, 3/21/19 1,499,715 $1,507,683
Alkermes, Inc., 2019 Term Loan, 9/25/19 1,119,845 $1,121,477
Alliant Holdings I LLC, Initial Term Loan, 12/20/19 241,207 $241,659
Allied Security Holdings LLC, Closing Date Term Loan (First Lien), 2/12/21 512,124 $512,605
Allison Transmission, Inc., Term B-3 Loan, 8/23/19 769,326 $771,851
Ally Auto Receivables Trust 2014-SN1, Floating Rate Note, 10/20/16 1,800,000 $674,515
Ally Auto Receivables Trust 2015-SN1, Floating Rate Note, 6/20/17 1,900,000 $1,899,286
Ally Master Owner Trust, Floating Rate Note, 1/16/18 300,000 $299,776
Ally Master Owner Trust, Floating Rate Note, 6/17/19 2,600,000 $2,594,707
Ally Master Owner Trust, Floating Rate Note, 8/15/17 3,000,000 $3,004,551
Alterna Funding I LLC, 1.639%, 2/15/21 (144A) 1,400,000 $960,122
Alternative Loan Trust 2003-3T1, Floating Rate Note, 5/25/33 15,000,000 $523,169
Alternative Loan Trust 2004-4CB, 4.25%, 4/25/34 16,913,000 $294,143
Alternative Loan Trust 2004-6CB, Floating Rate Note, 4/25/34 32,705,000 $2,092,245
Alternative Loan Trust 2004-J13, Floating Rate Note, 2/25/35 1,000,000 $972,735
Altice Financing SA, 7.875%, 12/15/19 (144A) 1,250,000 $1,320,000
Altisource Solutions Sarl, Term B Loan, 12/9/20 985,084 $879,188
Altria Group, Inc., 4.125%, 9/11/15 1,075,000 $1,094,611
Altrl Zero% 30jun17 1,000,000 $1,030,000
Amazon.com, Inc., 0.65%, 11/27/15 5,450,000 $5,453,520
AMC Entertainment, Inc., Initial Term Loan, 4/30/20 1,450,218 $1,450,029
America Movil SAB de CV, Floating Rate Note, 9/12/16 1,500,000 $1,504,248
American Airlines 1st Lien Tl-B L + 2.75% 27jun20 2,505,375 $2,486,585
American Airlines Inc 1st Lien Tl-B L + 3% 10oct21 500,000 $499,688
American Credit Acceptance Receivables Trust 2013-1, 1.45%, 4/16/18 (144A) 1,859,000 $222,772
American Credit Acceptance Receivables Trust 2014-1, 1.14%, 3/12/18 (144A) 5,045,000 $708,471
American Credit Acceptance Receivables Trust 2014-2, 0.99%, 10/10/17 (144A) 3,300,000 $808,765
American Credit Acceptance Receivables Trust 2014-3, 0.99%, 8/10/18 (144A) 1,420,000 $606,125
American Credit Acceptance Receivables Trust 2014-4, 1.23%, 7/10/18 (144A) 1,150,000 $768,936
American Express Centurion Bank, Floating Rate Note, 11/13/15 6,390,000 $6,402,269
American Express Credit Account Master Trust, 1.29%, 3/15/18 (144A) 400,000 $400,327
American Express Credit Account Master Trust, Floating Rate Note, 1/15/20 350,000 $350,136
American Express Credit Account Master Trust, Floating Rate Note, 2/15/18 1,945,000 $1,946,852
American Express Credit Account Master Trust, Floating Rate Note, 3/15/18 8,890,000 $8,891,160
American Express Credit Account Master Trust, Floating Rate Note, 5/15/20 3,300,000 $3,303,222
American Express Credit Corp., Floating Rate Note, 7/29/16 5,642,000 $5,658,129
American Homes 4 Rent 2014-SFR1, Floating Rate Note, 6/19/31 (144A) 1,500,000 $1,492,421
American Honda Finance Corp., 1.0%, 8/11/15 (144A) 1,000,000 $1,004,543
American Honda Finance Corp., Floating Rate Note, 1/11/16 2,650,000 $2,651,554
American Honda Finance Corp., Floating Rate Note, 10/7/16 2,285,000 $2,298,040
American Honda Finance Corp., Floating Rate Note, 12/11/17 2,570,000 $2,572,459
American Honda Finance Corp., Floating Rate Note, 5/26/16 (144A) 3,050,000 $3,059,174
American International Group, Inc., 5.05%, 10/1/15 4,126,000 $4,220,000
AmeriCredit Automobile Receivables Trust 2012-1, 2.67%, 1/8/18 1,740,000 $1,503,877
AmeriCredit Automobile Receivables Trust 2013-2, 0.65%, 12/8/17 485,000 $284,486
AmeriCredit Automobile Receivables Trust 2014-2, Floating Rate Note, 10/10/17 1,320,000 $715,402
AmeriCredit Automobile Receivables Trust 2015-2, Floating Rate Note, 9/10/18 2,125,000 $2,126,365
Ameriquest Mortgage Securities Inc Asset-Backed Pass-Through Ctfs Ser 2003-AR3, Floating Rate Note, 729,633 $286,248
Ameriquest Mortgage Securities Inc Asset-Backed Pass-Through Ctfs Ser 2004-R11, Floating Rate Note, 90,900,000 $2,726,048
Ameriquest Mortgage Securities Inc Asset-Backed Pass-Through Ctfs Ser 2005-R1, Floating Rate Note, 3 2,757,237 $1,135,328
Ameriquest Mortgage Securities Inc Asset-Backed Pass-Through Ctfs Ser 2005-R10, Floating Rate Note, 15,705,000 $272,970
Ameriquest Mortgage Securities Inc Asset Backed Pass-Through Ctfs Ser 2005-R11, Floating Rate Note, 810,000 $465,077
Ameriquest Mortgage Securities Inc Asset-Backed Pass-Through Ctfs Ser 2005-R5, Floating Rate Note, 7 84,000 $58,371
Anheuser-Busch InBev Finance, Inc., 0.8%, 1/15/16 3,700,000 $3,719,040
Anheuser-Busch InBev Finance, Inc., Floating Rate Note, 1/27/17 1,900,000 $1,897,969
Aon Corp., 3.125%, 5/27/16 5,000,000 $5,114,552
Aon Corp., 3.5%, 9/30/15 3,648,000 $3,701,878
Apex Tool Group LLC, Term Loan, 1/31/20 1,221,875 $1,202,020
Apidos CLO IX, Floating Rate Note, 7/17/23 (144A) 3,000,000 $3,010,108
Apidos Quattro CDO, Floating Rate Note, 1/20/19 (144A) 1,000,000 $993,479
Apple, Inc., Floating Rate Note, 5/3/16 1,500,000 $1,500,916
Arbor Realty Collateralized Loan Obligation 2015-FL1, Ltd., Floating Rate Note, 3/15/25 (144A) 3,800,000 $3,803,269
Ardagh Holdings USA, Inc., New Term Loan, 12/17/19 675,450 $675,957
ARI Fleet Lease Trust 2012-A, Floating Rate Note, 3/15/20 (144A) 2,070,000 $196,310
ARI Fleet Lease Trust 2012-B, Floating Rate Note, 1/15/21 (144A) 1,030,000 $201,713
ARI Fleet Lease Trust 2013-A, 0.7%, 12/15/15 (144A) 4,000,000 $373,572
ARI Fleet Lease Trust 2013-A, 0.92%, 7/15/21 (144A) 600,000 $600,435
ARI Fleet Lease Trust 2014-A, 0.81%, 11/15/22 (144A) 3,000,000 $2,221,711
Arlington Flt% 01aug15 100,000 $113,930
Armstrong World Industries, Inc., Term Loan B, 3/15/20 1,075,495 $1,077,735
Arran Residential Mortgages Funding 2010-1 Plc, Floating Rate Note, 5/16/47 (144A) 4,850,000 $1,734,123
Ascentium Equipment Receivables 2014-1 LLC, 1.04%, 1/10/17 (144A) 1,000,000 $553,397
Ascentium Equipment Receivables 2014-1 LLC, 1.58%, 10/10/18 (144A) 1,700,000 $1,704,385
ASG Resecuritization Trust 2010-3, Floating Rate Note, 12/29/45 (144A) 5,216,443 $2,049,073
Asset-Backed Pass-Through Certificates Series 2004-R2, Floating Rate Note, 4/25/34 24,000,000 $1,146,219
Asset Backed Securities Corp Home Equity Loan Trust Series 2005-HE2, Floating Rate Note, 2/25/35 8,100,000 $361,148
Asset Backed Securities Corp Home Equity Loan Trust Series 2005-HE3, Floating Rate Note, 4/25/35 724,529 $439,083
Asset Backed Securities Corp Home Equity Loan Trust Series AEG 2006-HE1, Floating Rate Note, 1/25/36 6,155,063 $975,971
Asset Backed Securities Corp Home Equity Loan Trust Series NC 2005-HE4, Floating Rate Note, 5/25/35 3,657,000 $25,538
Asset Backed Securities Corp Home Equity Loan Trust Series OOMC 2005-HE6, Floating Rate Note, 7/25/3 1,879,167 $1,133,353
AT&T, Inc., 2.5%, 8/15/15 3,119,000 $3,154,321
AT&T, Inc., 2.95%, 5/15/16 2,500,000 $2,551,164
Atlantic Power LP, Term Loan, 2/20/21 2,596,712 $2,606,450
Atlas IX Capital, Ltd., Floating Rate Note, 1/17/19 (Cat Bond) (144A) 1,500,000 $1,538,641
Atlas Reinsurance VII, Ltd., Floating Rate Note, 1/7/16 (Cat Bond) (144A) 1,000,000 $1,020,660
Audio Visual Services Corp., Initial Term Loan (First Lien), 1/24/21 227,125 $227,125
Avago Technologies Ltd 1st Lien Tl-B L + 3% 16apr21 1,119,322 $1,122,502
Avis Budget Car Rental LLC, Tranche B Term Loan, 3/15/19 1,273,080 $1,277,313
AWAS Finance Luxembourg 2012 SA, Term Loan, 7/16/18 379,855 $382,466
Axalta Coating Systems US Holdings, Inc., Refinanced Term B Loan, 2/1/20 1,018,766 $1,018,830
AXIS Equipment Finance Receivables II LLC, 1.75%, 6/20/16 1,000,000 $314,773
Az Chem Us Inc 1st Lien Tl-B L + 3.5% 09jun21 1,855,848 $1,858,748
BA Credit Card Trust, Floating Rate Note, 1/15/20 2,000,000 $1,999,159
BA Credit Card Trust, Floating Rate Note, 9/16/19 6,400,000 $6,394,168
Bafc Flt% 20feb35 05-A 44,323,000 $2,164,552
BAMLL Commercial Mortgage Securities Trust 2014-FL1, Floating Rate Note, 12/17/31 (144A) 3,613,000 $3,624,425
BAMLL Commercial Mortgage Securities Trust 2014-ICTS, Floating Rate Note, 6/15/28 (144A) 1,920,000 $1,916,946
BAMLL Commercial Mortgage Securities Trust 2014-INLD REMICS, Floating Rate Note, 12/17/29 (144A) 3,490,000 $3,505,354
Banc of America Commercial Mortgage Trust 2006-1, Floating Rate Note, 9/10/45 5,040,000 $4,834,190
Banc of America Commercial Mortgage Trust 2006-1, Floating Rate Note, 9/10/45 3,590,000 $3,664,410
Banc of America Merrill Lynch Commercial Mortgage, Inc., 4.933%, 7/10/45 6,180,000 $1,200,511
Banc of America Merrill Lynch Commercial Mortgage, Inc., Floating Rate Note, 10/10/45 8,970,000 $3,970,697
Banc of America Merrill Lynch Commercial Mortgage, Inc., Floating Rate Note, 9/10/47 6,175,000 $4,549,903
Banc of America Mortgage 2003-A Trust, Floating Rate Note, 2/25/33 10,560,000 $100,802
Banc of America Mortgage 2003-F Trust, Floating Rate Note, 7/25/33 8,661,215 $339,913
Banc of America Mortgage 2004-D Trust, Floating Rate Note, 5/25/34 17,088,000 $1,656,168
Banc of America Mortgage 2004-I Trust, Floating Rate Note, 10/25/34 6,000,000 $401,602
Bank of America Corp., Floating Rate Note, 3/22/16 6,000,000 $6,014,941
Bank of America Corp., Floating Rate Note, 8/25/17 1,423,000 $1,421,478
Bank of America NA, Floating Rate Note, 2/14/17 2,000,000 $2,002,529
Bank of America NA, Floating Rate Note, 6/5/17 2,455,000 $2,457,216
Bank of Montreal, 0.8%, 11/6/15 2,600,000 $2,606,636
Bank of Montreal, Floating Rate Note, 7/14/17 2,300,000 $2,300,269
Bank of Montreal, Floating Rate Note, 9/11/15 4,605,000 $4,611,252
Bank of Montreal, Floating Rate Note, 9/24/15 2,600,000 $2,601,421
Bank of Nova Scotia Houston, Floating Rate Note, 10/23/15 1,640,000 $1,642,445
Bank of The West Auto Trust 2014-1, 0.69%, 7/17/17 (144A) 1,850,000 $1,725,528
Barclays Bank Plc, Floating Rate Note, 2/17/17 821,000 $819,024
Barclays Dryrock Issuance Trust, Floating Rate Note, 12/16/19 1,100,000 $1,100,270
Barclays Dryrock Issuance Trust, Floating Rate Note, 3/16/20 1,800,000 $1,800,084
Barclays Dryrock Issuance Trust, Floating Rate Note, 7/16/18 200,000 $200,082
Bayngr Flt% 07oct16 144a 2,500,000 $2,505,569
Bayview Commercial Asset Trust 2004-1, Floating Rate Note, 4/25/34 (144A) 4,890,000 $392,118
Bayview Commercial Asset Trust 2008-1, Floating Rate Note, 1/25/38 (144A) 18,000,000 $1,822,441
Bayview Financial Acquisition Trust, 6.205%, 5/28/37 (Step) 100,000 $52,032
Bayview Financial Mortgage Pass-Through Trust 2004-A, Floating Rate Note, 2/28/44 48,047,000 $1,053,336
Bayview Financial Mortgage Pass-Through Trust 2005-C, Floating Rate Note, 6/28/44 4,088,000 $3,249,723
Bayview Financial Mortgage Pass-Through Trust 2006-A, Floating Rate Note, 2/28/41 5,200,000 $15,415
Bayview Financial Mortgage Pass-Through Trust 2006-A, Floating Rate Note, 2/28/41 6,439,000 $55,857
Bayview Financial Mortgage Pass-Through Trust 2006-B, Floating Rate Note, 4/28/36 13,680,000 $681,993
Bayview Financial Mortgage Pass-Through Trust 2006-B, Floating Rate Note, 4/28/36 4,911,055 $872,341
Bayview Financial Mortgage Pass-Through Trust Series 2005-B, Floating Rate Note, 4/28/39 1,899,351 $1,335,622
Bayview Opportunity Master Fund IIa Trust 2014-20NPL, 3.475%, 8/28/44 (Step) (144A) 1,480,000 $1,074,963
Bayview Opportunity Master Fund Trust IIIa 2014-12RPL, 3.6225%, 7/28/19 (Step) (144A) 2,450,000 $986,704
BB&T Corp., 3.2%, 3/15/16 2,500,000 $2,560,921
Bbb Industries Llc 1st Lien Tl L + 5% 20oct21 997,500 $1,008,098
BBCMS Trust 2014-BXO REMICS, Floating Rate Note, 8/16/27 (144A) 675,000 $674,388
BBCMS Trust 2015-SLP, Floating Rate Note, 2/15/28 (144A) 3,150,000 $3,140,177
BCAP LLC 2009-RR13-I Trust, Floating Rate Note, 9/26/35 (144A) 8,854,257 $1,879,729
BCAP LLC 2013-RR3 Trust, Floating Rate Note, 5/28/36 (144A) 1,084,000 $725,279
BCAP LLC 2013-RR7 Trust, Floating Rate Note, 12/27/34 1,410,000 $1,031,643
BCC Funding VIII LLC, 1.794%, 6/22/20 (144A) 2,000,000 $912,646
Bear Stearns ALT-A Trust 2004-11, Floating Rate Note, 11/25/34 21,976,800 $1,029,311
Bear Stearns ALT-A Trust 2004-12, Floating Rate Note, 1/25/35 17,745,000 $1,857,271
Bear Stearns ALT-A Trust 2004-12, Floating Rate Note, 1/25/35 11,245,000 $1,146,524
Bear Stearns ALT-A Trust 2004-12, Floating Rate Note, 1/25/35 25,907,600 $2,872,466
Bear Stearns ALT-A Trust 2004-12, Floating Rate Note, 1/25/35 25,745,000 $2,905,453
Bear Stearns ALT-A Trust 2004-13, Floating Rate Note, 11/25/34 11,771,000 $556,592
Bear Stearns ALT-A Trust 2004-4, Floating Rate Note, 6/25/34 33,443,000 $2,453,970
Bear Stearns ALT-A Trust 2004-8, Floating Rate Note, 9/25/34 14,600,000 $888,186
Bear Stearns ARM Trust 2003-3, Floating Rate Note, 5/25/33 42,906,215 $1,146,639
Bear Stearns ARM Trust 2004-3, Floating Rate Note, 7/25/34 10,718,797 $338,666
Bear Stearns ARM Trust 2005-5, Floating Rate Note, 8/25/35 5,635,000 $525,981
Bear Stearns Asset Backed Securities I Trust 2004-HE11, Floating Rate Note, 12/25/34 20,500,000 $176,097
Bear Stearns Asset Backed Securities I Trust 2005-FR1, Floating Rate Note, 6/25/35 5,850,460 $1,694,887
Bear Stearns Asset Backed Securities I Trust 2005-HE9, Floating Rate Note, 10/25/35 5,000,000 $929,923
Bear Stearns Asset Backed Securities Trust, Floating Rate Note, 2/25/35 21,336,125 $6,927
Bear Stearns Asset Backed Securities Trust 2003-AC5, Floating Rate Note, 10/25/33 2,875,000 $240,588
Bear Stearns Asset Backed Securities Trust 2004-2, Floating Rate Note, 8/25/34 7,523,000 $926,959
Bear Stearns Asset Backed Securities Trust 2004-SD3, Floating Rate Note, 9/25/34 790,000 $264,888
Bear Stearns Asset Backed Securities Trust 2005-SD1, Floating Rate Note, 8/25/43 310,000 $76,349
Bear Stearns Asset Backed Securities Trust 2005-SD2, Floating Rate Note, 3/25/35 5,700,000 $1,468,415
Bear Stearns Asset Backed Securities Trust 2005-SD2, Floating Rate Note, 3/25/35 5,790,000 $632,635
Bear Stearns Asset Backed Securities Trust 2006-1, Floating Rate Note, 2/25/36 33,100,000 $736,325
Bear Stearns Commercial Mortgage Securities Trust 2005-PWR10, Floating Rate Note, 12/11/40 4,250,000 $2,552,776
Bear Stearns Commercial Mortgage Securities Trust 2005-PWR8, 4.75%, 6/11/41 1,330,000 $86,044
Bear Stearns Commercial Mortgage Securities Trust 2005-PWR9, 4.871%, 9/11/42 7,568,000 $434,153
Bear Stearns Commercial Mortgage Securities Trust 2005-PWR9, Floating Rate Note, 9/11/42 3,751,000 $3,778,522
Bear Stearns Commercial Mortgage Securities Trust 2005-TOP20, Floating Rate Note, 10/12/42 8,735,000 $4,646,766
Bear Stearns Commercial Mortgage Securities Trust 2006-PWR14, 5.171%, 12/11/38 2,735,000 $552,003
Bear Stearns Mortgage Securities, Inc., Floating Rate Note, 6/25/30 2,875,810 $416,512
Bear Stearns Structured Products Trust 2007-EMX1, Floating Rate Note, 3/25/37 (144A) 4,870,000 $840,982
Becton Dickinson and Co., Floating Rate Note, 6/15/16 2,700,000 $2,702,130
Belden Finance 2013 LP, Initial Term Loan, 9/9/20 638,625 $639,822
Berkshire Hathaway, Inc., 2.2%, 8/15/16 2,775,000 $2,822,092
Berkshire Hathaway Finance Corp., Floating Rate Note, 1/10/17 1,855,000 $1,858,169
Berkshire Hathaway Finance Corp., Floating Rate Note, 8/14/17 2,500,000 $2,501,488
BHP Billiton Finance USA, Ltd., Floating Rate Note, 9/30/16 1,795,000 $1,797,061
BioScrip, Inc., Delayed Draw Term Loan, 7/31/20 328,915 $326,722
BioScrip, Inc., Initial Term B Loan, 7/31/20 548,191 $544,537
Blue Danube II, Ltd., Floating Rate Note, 5/23/18 (Cat Bond) (144A) 2,575,000 $2,571,570
BMW Floorplan Master Owner Trust, Floating Rate Note, 9/15/17 (144A) 3,000,000 $3,002,350
Boca Hotel Portfolio Trust 2013-BOCA, Floating Rate Note, 8/17/26 (144A) 1,375,000 $1,375,989
Bosphorus Re, Ltd., Floating Rate Note, 5/3/16 (Cat Bond) (144A) 750,000 $749,327
Branch Banking & Trust Co., Floating Rate Note, 5/23/17 500,000 $497,934
Branch Banking & Trust Co., Floating Rate Note, 9/13/16 6,144,000 $6,128,457
Bright Horizons Family Solutions, Inc., Term B Loan, 1/30/20 593,782 $594,339
Bright Horizons Family Solutions I 1st Lien Tl-B1 L + 3.25% 30jan20 597,000 $599,239
British Telecommunications Plc, 1.625%, 6/28/16 2,881,000 $2,896,159
Bsabs Flt% 25jun36 06-Sd2-A1 18,000,000 $2,523,164
Bscms Flt% 11mar39 06-Pw11-A1 5,900,000 $4,124,074
Bscms Flt% 11sep38 06-Pw12-A1 3,600,000 $2,868,781
BSN medical International Holding GmbH & Co KG, Facility B1b, 8/28/19 593,611 $594,353
Bxhtl Flt% 15may28 15-Jwrz-Gl 3,823,000 $3,823,324
Bxlt Flt% 22jun18 144a 2,500,000 $2,499,842
Cabela's Credit Card Master Note Trust, Floating Rate Note, 2/18/20 (144A) 2,150,000 $2,155,435
Cabela's Credit Card Master Note Trust, Floating Rate Note, 3/16/20 1,100,000 $1,100,647
Cabela's Credit Card Master Note Trust, Floating Rate Note, 6/17/19 (144A) 3,630,000 $3,638,763
Cabela's Credit Card Master Note Trust, Floating Rate Note, 9/17/18 (144A) 2,475,000 $2,478,355
Caelus Re, Ltd., Floating Rate Note, 3/7/16 (Cat Bond) (144A) 2,250,000 $2,236,988
Caelus Re 2013, Ltd., Floating Rate Note, 4/7/20 (Cat Bond) (144A) 2,550,000 $2,602,289
Caisse Centrale Desjardins, 2.65%, 9/16/15 (144A) 2,500,000 $2,530,098
Caisse Centrale Desjardins, Floating Rate Note, 1/29/18 (144A) 2,590,000 $2,605,097
California Republic Auto Receivables Trust 2012-1, 1.18%, 8/15/17 (144A) 1,138,000 $130,642
California Republic Auto Receivables Trust 2013-1, 1.41%, 9/17/18 (144A) 500,000 $193,565
Callidus Debt Partners Clo Fund VI, Ltd., Floating Rate Note, 10/23/21 (144A) 3,500,000 $3,059,463
Calpine Construction Finance Co LP, Term B-1 Loan, 5/3/20 1,176,000 $1,157,380
Calpine Corp., Term Loan (10/12), 10/9/19 754,358 $755,242
Calpine Corp 1st Lien Tl-B5 L + 2.75% 28may22 290,000 $287,848
Canadian National Railway Co., Floating Rate Note, 11/14/17 1,670,000 $1,668,776
Canadian Natural Resources, Ltd., Floating Rate Note, 3/30/16 7,849,000 $7,847,802
Capital Auto Receivables Asset Trust 2013-1, 1.74%, 10/22/18 3,200,000 $3,210,399
Capital One Financial Corp., 1.0%, 11/6/15 2,600,000 $2,600,049
Capital One Financial Corp., 3.15%, 7/15/16 2,500,000 $2,583,343
Capital One Financial Corp., Floating Rate Note, 11/6/15 2,620,000 $2,626,851
Capital One Multi-Asset Execution Trust, Floating Rate Note, 12/16/19 3,400,000 $3,388,743
Capital One Multi-Asset Execution Trust, Floating Rate Note, 2/15/19 1,950,000 $1,949,127
Capital One Multi-Asset Execution Trust, Floating Rate Note, 6/17/19 5,470,000 $5,459,183
Capital One Multi-Asset Execution Trust, Floating Rate Note, 8/15/18 6,945,000 $6,943,246
Capital One NA, Floating Rate Note, 3/22/16 2,910,000 $2,908,935
Carefree Portfolio Trust 2014-CARE, Floating Rate Note, 11/15/29 (144A) 3,300,000 $3,316,632
Carlyle High Yield Partners VII, Ltd., Floating Rate Note, 9/30/19 (144A) 5,000,000 $2,027,999
CarMax Auto Owner Trust 2015-2, Floating Rate Note, 6/15/18 2,500,000 $2,500,607
Carrington Mortgage Loan Trust Series 2005-NC1, Floating Rate Note, 2/26/35 19,369,028 $1,919,592
Carrington Mortgage Loan Trust Series 2005-NC4, Floating Rate Note, 9/25/35 375,000 $30,865
Carrington Mortgage Loan Trust Series 2006-OPT1, Floating Rate Note, 12/25/35 9,778,000 $1,759,913
Castle Garden Funding, Floating Rate Note, 10/27/20 (144A) 7,000,000 $588,896
Caterpillar Financial Services Corp., Floating Rate Note, 2/26/16 1,500,000 $1,502,738
Caterpillar Financial Services Corp., Floating Rate Note, 3/3/17 2,500,000 $2,499,477
CCG Receivables Trust 2014-1, 1.06%, 11/14/21 (144A) 1,900,000 $1,525,073
CCG Receivables Truste 2013-1, 1.05%, 4/14/20 (144A) 900,000 $223,965
CD 2005-CD1 Commercial Mortgage Trust, Floating Rate Note, 7/15/44 3,277,000 $1,551,479
CDGJ Commercial Mortgage Trust 2014-BXCH, Floating Rate Note, 12/15/27 (144A) 4,860,000 $4,877,348
Cedar Fair LP, U.S. Term Facility, 3/6/20 96,885 $97,323
Cent CLO 16 LP, Floating Rate Note, 8/1/24 (144A) 4,235,000 $4,234,471
Centex Home Equity Loan Trust 2003-A, Floating Rate Note, 3/25/33 2,230,000 $372,566
Cequel Communications LLC, Term Loan, 2/14/19 1,112,078 $1,108,946
CGBAM Commercial Mortgage Trust 2014-HD, Floating Rate Note, 2/18/31 (144A) 1,050,000 $1,049,232
CG-CCRE Commercial Mortgage Trust 2014-FL1, Floating Rate Note, 6/16/31 (144A) 5,670,000 $5,660,684
CGWF Commercial Mortgage Trust 2013-RKWH REMICS, Floating Rate Note, 11/15/30 (144A) 6,770,000 $6,774,467
Charter Communications Operating LLC, Term F Loan, 12/31/20 1,298,500 $1,284,298
Chase Funding Trust Series 2002-4, Floating Rate Note, 10/25/32 1,000,000 $16,963
Chase Issuance Trust, 0.54%, 10/16/17 1,001,000 $1,001,364
Chase Issuance Trust, 0.59%, 8/15/17 950,000 $950,252
Chase Issuance Trust, Floating Rate Note, 10/16/17 2,700,000 $2,700,352
Chase Issuance Trust, Floating Rate Note, 11/15/18 2,500,000 $2,500,484
Chase Issuance Trust, Floating Rate Note, 4/15/19 150,000 $149,103
Chase Issuance Trust, Floating Rate Note, 4/15/19 3,850,000 $3,834,826
Chase Issuance Trust, Floating Rate Note, 4/16/18 3,000,000 $3,002,160
Chase Issuance Trust, Floating Rate Note, 5/15/19 2,600,000 $2,600,602
Chase Issuance Trust, Floating Rate Note, 8/15/17 9,130,000 $9,130,550
Chase Mortgage Finance Trust Series 2005-S1, 5.5%, 5/25/35 19,264,330 $194,513
Chemours Company Llc 1st Lien Tl-B L + 3% 12may22 500,000 $498,959
Chemtura Corp., New Term Loan, 8/29/16 71,429 $71,548
Chesapeake Funding LLC, Floating Rate Note, 11/7/23 (144A) 250,000 $250,522
Chesapeake Funding LLC, Floating Rate Note, 11/7/23 (144A) 3,790,000 $567,255
Chesapeake Funding LLC, Floating Rate Note, 2/7/27 (144A) 1,000,000 $1,002,172
Chesapeake Funding LLC, Floating Rate Note, 2/7/27 (144A) 2,500,000 $2,498,943
Chesapeake Funding LLC, Floating Rate Note, 3/7/26 2,450,000 $2,235,296
Chesapeake Funding LLC, Floating Rate Note, 4/7/24 (144A) 2,050,000 $771,030
Chesapeake Funding LLC, Floating Rate Note, 5/7/24 (144A) 2,550,000 $901,239
Chevron Corp., Floating Rate Note, 11/9/16 2,640,000 $2,641,596
Chevron Corp., Floating Rate Note, 3/2/18 2,550,000 $2,542,078
Chevy Chase Funding LLC Mortgage-Backed Certificates Series 2004-1, Floating Rate Note, 1/25/35 (144 3,700,000 $104,544
Chevy Chase Funding LLC Mortgage-Backed Certificates Series 2004-3, Floating Rate Note, 8/25/35 (144 1,300,000 $49,263
CHL Mortgage Pass-Through Trust 2003-15 REMICS, Floating Rate Note, 6/25/18 28,013,062 $475,213
CHS, Incremental 2019 Term G Loan, 12/31/19 25,164 $25,196
CHS, Incremental 2021 Term H Loan, 1/27/21 46,301 $46,420
CIFC Funding 2007-I, Ltd., Floating Rate Note, 5/10/21 (144A) 500,000 $223,025
Cincinnati Bell, Inc., Tranche B Term Loan, 9/10/20 1,228,125 $1,228,380
Cisco Systems, Inc., Floating Rate Note, 3/3/17 2,580,000 $2,584,754
Cisco Systems, Inc., Floating Rate Note, 9/3/15 3,600,000 $3,600,553
CIT Equipment Collateral 2014-VT1, 0.86%, 5/22/17 (144A) 2,500,000 $2,499,814
Citibank Credit Card Issuance Trust, 5.1%, 11/20/17 1,650,000 $1,689,152
Citibank Credit Card Issuance Trust, Floating Rate Note, 11/7/18 3,490,000 $3,490,942
Citibank Credit Card Issuance Trust, Floating Rate Note, 2/7/18 9,931,000 $9,935,617
Citibank Credit Card Issuance Trust, Floating Rate Note, 5/9/18 3,500,000 $3,499,097
Citicorp Mortgage Securities REMIC Pass-Through Certificates Trust Series 2005-4, 5.0%, 7/25/20 486,000 $11,734
Citicorp Mortgage Securities REMIC Pass-Through Certificates Trust Series 2005-7, 5.0%, 10/25/35 17,468,000 $1,162,214
Citigroup, Inc., Floating Rate Note, 11/15/16 1,900,000 $1,905,284
Citigroup, Inc., Floating Rate Note, 11/24/17 2,630,000 $2,631,139
Citigroup, Inc., Floating Rate Note, 4/1/16 1,325,000 $1,331,208
Citigroup, Inc., Floating Rate Note, 6/9/16 2,500,000 $2,489,470
Citigroup, Inc., Floating Rate Note, 7/25/16 3,700,000 $3,718,742
Citigroup Commercial Mortgage Trust 2015-SSHP REMICS, Floating Rate Note, 9/15/27 (144A) 3,000,000 $3,001,304
Citigroup Mortgage Loan Trust, Inc., 6.5%, 6/25/16 10,100,000 $3,042
Citigroup Mortgage Loan Trust, Inc., Floating Rate Note, 11/25/34 3,500,000 $214,535
Citigroup Mortgage Loan Trust, Inc., Floating Rate Note, 5/25/35 (144A) 4,525,000 $4,100,368
Citigroup Mortgage Loan Trust 2006-SHL1, Floating Rate Note, 11/27/45 (144A) 21,220,000 $1,820,059
Citigroup Mortgage Loan Trust 2010-4 REMICS, 5.0%, 10/25/35 (144A) 9,095,000 $2,111,099
Citigroup Mortgage Loan Trust 2010-7 REMICS, Floating Rate Note, 9/25/37 (144A) 6,105,345 $532,602
Citigroup Mortgage Loan Trust Series 2004-OPT1 Asset Backed Pass-Through Certifi, Floating Rate Note 2,140,000 $1,499,366
Citrus Re, Ltd., Floating Rate Note, 4/18/17 (Cat Bond) (144A) 250,000 $245,089
Citrus Re, Ltd., Floating Rate Note, 4/24/17 (Cat Bond) (144A) 1,350,000 $1,324,772
City Center Trust 2011-CCHP, Floating Rate Note, 7/17/28 (144A) 950,000 $952,528
CLI Funding LLC, Floating Rate Note, 8/18/21 (144A) 7,250,000 $762,962
CNH Equipment Trust 2012-A, 2.09%, 8/15/18 2,310,000 $2,328,886
CNH Equipment Trust 2013-A, 0.69%, 6/15/18 1,874,000 $958,190
CNH Wholesale Master Note Trust, Floating Rate Note, 8/15/19 (144A) 1,550,000 $1,551,795
CNL Commercial Mortgage Loan Trust 2002-1, Floating Rate Note, 10/25/28 (144A) 42,221,000 $1,281,496
CNL Commercial Mortgage Loan Trust 2003-2, Floating Rate Note, 10/25/30 (144A) 6,072,226 $468,437
Coca-Cola Enterprises, Inc., 2.125%, 9/15/15 551,000 $556,049
Colony American Homes 2014-1, Floating Rate Note, 5/19/31 (144A) 2,300,000 $2,280,730
Colony American Homes 2014-2, Floating Rate Note, 7/19/31 (144A) 2,100,000 $2,090,622
COMM 2005-C6 Mortgage Trust, Floating Rate Note, 6/10/44 6,607,413 $6,633,465
COMM 2005-C6 Mortgage Trust, Floating Rate Note, 6/10/44 2,675,000 $276,239
COMM 2006-C7 Mortgage Trust, Floating Rate Note, 6/10/46 4,547,944 $4,205,647
COMM 2013-FL3 Mortgage Trust, Floating Rate Note, 10/13/28 (144A) 1,597,000 $1,266,000
COMM 2014-FL5 Mortgage Trust, Floating Rate Note, 10/17/31 (144A) 4,970,000 $4,968,933
COMM 2014-KYO Mortgage Trust, Floating Rate Note, 6/11/27 (144A) 5,740,000 $5,737,842
COMM 2014-PAT Mortgage Trust, Floating Rate Note, 8/13/27 (144A) 2,722,000 $2,731,058
COMM 2014-SAVA Mortgage Trust, Floating Rate Note, 6/15/34 (144A) 5,454,000 $5,450,070
COMM 2014-TWC Mortgage Trust, Floating Rate Note, 2/13/32 (144A) 6,150,000 $6,158,326
Commercial Mortgage Pass Through Certificates, Floating Rate Note, 11/19/26 (144A) 2,250,000 $742,487
Commercial Mortgage Pass Through Certificates, Floating Rate Note, 11/19/26 (144A) 3,500,000 $3,499,808
Commercial Mortgage Trust 2005-GG3, Floating Rate Note, 8/10/42 3,300,000 $312,881
Commercial Mortgage Trust 2005-GG5, Floating Rate Note, 4/10/37 6,995,000 $7,075,873
Commonwealth Bank of Australia, Floating Rate Note, 12/4/15 (144A) 1,800,000 $1,801,756
Commonwealth Bank of Australia, Floating Rate Note, 3/13/17 (144A) 2,000,000 $2,001,378
Commonwealth Bank of Australia, Floating Rate Note, 9/18/15 (144A) 1,575,000 $1,578,461
CommScope, Inc., Tranche 4 Term Loan, 1/14/18 165,466 $165,631
Commscope Inc 1st Lien Tl-B1 L + 3% 29may22 2,000,000 $2,000,938
Communications Sales & Leasing Inc 1st Lien Tl-B L + 4% 16oct22 400,000 $392,583
Compass Re II, Ltd., Floating Rate Note, 12/8/15 (Cat Bond) (144A) 1,000,000 $952,400
Confie seguros Holding II Co., Term B Loan (First Lien), 11/9/18 491,123 $492,351
Conseco Finance Corp., Floating Rate Note, 11/17/31 1,750,000 $272,131
Conseco Finance Home Equity Loan Trust 2002-C, Floating Rate Note, 4/15/32 800,000 $205,126
Conseco Financial Corp., 7.05%, 1/15/19 600,362 $4,801
Consumer Credit Origination Loan Trust 2015-1, 2.82%, 3/15/21 (144A) 2,500,000 $2,012,236
ConvaTec, Inc., Dollar Term Loan, 12/22/16 840,000 $841,400
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA New York, Floating Rate Note, 10/23/15 2,500,000 $2,502,489
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA New York, Floating Rate Note, 3/18/16 3,975,000 $3,987,365
Countrywide Asset-Backed Certificates, Floating Rate Note, 10/25/34 5,000,000 $2,213,008
Countrywide Asset-Backed Certificates, Floating Rate Note, 11/25/35 7,825,000 $243,584
Countrywide Asset-Backed Certificates, Floating Rate Note, 3/25/35 5,600,000 $1,642,141
Countrywide Asset-Backed Certificates, Floating Rate Note, 5/25/35 5,000,000 $121,554
Countrywide Asset-Backed Certificates, Floating Rate Note, 5/25/35 1,575,000 $167,157
Countrywide Asset-Backed Certificates, Floating Rate Note, 6/25/33 (144A) 2,000,000 $35,429
Countrywide Asset-Backed Certificates, Floating Rate Note, 6/25/33 (144A) 8,955,000 $159,413
Countrywide Asset-Backed Certificates, Floating Rate Note, 9/25/35 1,400,000 $46,390
Cps 1.89% 15nov19 15-B-A 1,700,000 $1,702,844
CPS Auto Receivables Trust 2013-B, 1.82%, 9/15/20 (144A) 731,000 $296,624
CPS Auto Receivables Trust 2014-A, 1.21%, 8/15/18 700,000 $352,181
CPS Auto Receivables Trust 2014-C, 1.31%, 2/15/19 (144A) 2,200,000 $1,602,089
CPS Auto Trust, 1.48%, 3/16/20 (144A) 1,060,000 $310,121
CPS Auto Trust, 1.82%, 12/16/19 (144A) 1,439,000 $383,299
CRANBERRY RE, Ltd., Floating Rate Note, 7/6/18 (Cat Bond) (144A) 1,000,000 $1,000,200
Credit Acceptance Auto Loan Trust 2012-2, 1.52%, 3/16/20 (144A) 3,241,000 $260,891
Credit Acceptance Auto Loan Trust 2012-2, 2.21%, 9/15/20 (144A) 2,000,000 $2,010,804
Credit Acceptance Auto Loan Trust 2013-1, 1.21%, 10/15/20 (144A) 1,000,000 $768,476
Credit-Based Asset Servicing and Securitization LLC, Floating Rate Note, 7/25/34 2,783,000 $585,044
Credit-Based Asset Servicing and Securitization LLC, Floating Rate Note, 7/25/36 4,500,000 $4,445,758
Credit Suisse Commercial Mortgage Trust Series 2006-C1, Floating Rate Note, 2/15/39 5,802,000 $5,316,243
Credit Suisse Commercial Mortgage Trust Series 2006-C2, Floating Rate Note, 3/15/39 3,730,000 $2,442,970
Credit Suisse First Boston Mortgage Securities Corp., Floating Rate Note, 12/17/40 9,446,500 $5,178,853
Credit Suisse First Boston Mortgage Securities Corp., Floating Rate Note, 6/25/34 26,125,000 $342,190
Credit Suisse First Boston Mortgage Securities Corp., Floating Rate Note, 7/25/35 15,315,000 $1,656,957
Credit Suisse First Boston Mortgage Securities Corp., Floating Rate Note, 8/15/38 8,955,043 $223,685
Credit Suisse Mortgage Capital Certificates, Floating Rate Note, 10/27/36 (144A) 2,010,000 $143,008
Credit Suisse Mortgage Capital Certificates, Floating Rate Note, 3/15/28 (144A) 2,300,000 $2,292,494
Credit Suisse Mortgage Capital Certificates REMICS, Floating Rate Note, 7/27/36 (144A) 7,712,000 $1,061,870
Crnpt Flt% 21nov22 12-1a-A1lb 4,300,000 $3,916,632
Crown Castle 1st Lien Term-B2 L + 2.5% 31jan21 1,174,246 $1,169,403
Crowne Group Llc 1st Lien Tl-B L + 5% 29sep20 496,250 $495,009
Crusade Global Trust No. 1 of 2006, Floating Rate Note, 7/20/38 (144A) 1,200,000 $125,798
Crusade Global Trust No.2 of 2006, Floating Rate Note, 11/15/37 17,300,000 $2,271,821
Crusade Global Trust No 1 of 2007, Floating Rate Note, 4/19/38 15,883,244 $2,357,139
Csco Flt% 15jun18 2,550,000 $2,554,460
Cs Cp Zero% 31jul15 Usd 6,000,000 $5,998,755
Csmc Flt% 16apr29 15-Deal-B 3,500,000 $3,479,168
CSMC Series 2014-ICE, Floating Rate Note, 4/15/27 (144A) 6,470,000 $6,444,940
CSMC Trust 2014-SURF, Floating Rate Note, 2/15/29 (144A) 2,400,000 $2,396,346
CSMC Trust 2014-SURF REMICS, Floating Rate Note, 2/15/29 (144A) 2,400,000 $2,396,881
CWABS Asset-Backed Certificates Trust 2004-7, Floating Rate Note, 12/25/34 10,986,000 $4,764,586
CWABS Asset-Backed Certificates Trust 2005-1, Floating Rate Note, 2/25/33 1,113,000 $40,860
CWGS Group LLC, Term Loan, 2/20/20 387,261 $389,924
Daimler Finance North America LLC, 1.3%, 7/31/15 (144A) 5,100,000 $5,130,114
Daimler Finance North America LLC, Floating Rate Note, 3/10/17 (144A) 1,500,000 $1,499,902
Daimler Finance North America LLC, Floating Rate Note, 3/2/18 (144A) 1,275,000 $1,273,659
Daimler Finance North America LLC, Floating Rate Note, 8/1/16 (144A) 1,500,000 $1,508,701
Daimler Finance North America LLC, Floating Rate Note, 8/1/17 (144A) 2,061,000 $2,060,454
Darling Ingredients, Inc., Term B USD Loan, 12/19/20 1,570,125 $1,579,448
DaVita HealthCare Partners, Inc., Tranche B Term Loan, 6/19/21 471,479 $472,216
DCP Midstream Operating LP, 3.25%, 10/1/15 1,000,000 $1,008,084
DEALERTRACK TECHNOLOGIES INC, Term Loan, 2/27/21 954,022 $953,569
Del Coronado Trust 2013-DEL, Floating Rate Note, 3/16/26 (144A) 1,460,000 $1,459,561
Dell Equipment Finance Trust 2014-1, 0.64%, 7/22/16 (144A) 800,000 $654,973
DELOS FINANCE SARL, Loan, 2/27/21 1,295,000 $1,295,925
Delta Air Lines, Inc., 2014 Term B-1 Loan, 10/18/18 731,250 $730,279
Delta Air Lines, Inc., Term Loan, 4/20/17 293,893 $293,820
Delta Funding Home Equity Loan Trust 1997-2, 7.04%, 6/25/27 1,000,000 $694
Deltek, Inc., Term Loan (First Lien), 10/10/18 293,220 $294,457
Devon Energy Corp., Floating Rate Note, 12/15/15 4,815,000 $4,812,674
DigitalGlobe, Inc., Term Loan, 1/31/20 870,587 $872,492
Direct Capital Funding V LLC, 1.673%, 12/20/17 (144A) 725,000 $12,080
Discover Card Execution Note Trust, 0.69%, 8/15/18 3,125,000 $3,126,824
Discover Card Execution Note Trust, Floating Rate Note, 1/16/18 1,345,000 $1,345,269
Discover Card Execution Note Trust, Floating Rate Note, 10/15/18 3,915,000 $3,916,403
Discover Card Execution Note Trust, Floating Rate Note, 3/15/18 6,550,000 $6,556,709
Drillships Financing Holding, Inc., Tranche B-1 Term Loan, 3/31/21 707,622 $578,835
Drug Royalty II LP 2, Floating Rate Note, 7/15/23 (144A) 1,850,000 $1,710,974
Dtaot 1.24% 17sep18 15-2a 2,600,000 $2,600,994
DT Auto Owner Trust 2015-1, 1.06%, 9/17/18 (144A) 2,100,000 $1,525,512
Dt Cp Zero% 06jul15 Usd 12,945,000 $12,944,482
Dtz Us Borrower Llc 1st Lien Tl L + 4.5% 28oct21 1,706,213 $1,721,676
Duk Cp Zero% 02jul15 Usd 2,500,000 $2,499,967
Duke Energy Corp., Floating Rate Note, 4/3/17 1,740,000 $1,744,310
Duke Energy Indiana, Inc., Floating Rate Note, 7/11/16 2,285,000 $2,289,840
Duke Energy Progress, Inc., Floating Rate Note, 11/20/17 5,100,000 $5,088,027
Duke Energy Progress, Inc., Floating Rate Note, 3/6/17 1,275,000 $1,272,780
DynCorp International, Inc., Term Loan, 7/7/16 143,055 $141,684
Dynegy, Inc., Tranche B-2 Term Loan, 4/23/20 452,308 $453,674
East Lane Re V, Ltd., Floating Rate Note, 3/16/16 (Cat Bond) (144A) 250,000 $253,088
East Lane Re VI, Ltd., Floating Rate Note, 3/13/20 (Cat Bond) (144A) 1,450,000 $1,427,664
East Lane Re VI, Ltd., Floating Rate Note, 3/14/18 (Cat Bond) (144A) 2,000,000 $1,951,361
Eaton Vance CDO IX, Ltd., Floating Rate Note, 4/20/19 (144A) 2,500,000 $2,473,821
Eco Services Operations Llc 1st Lien Tl-B L + 3.75% 10oct21 968,763 $966,341
Eden Re II, Ltd., 0.0%, 4/19/18 (Cat Bond) (144A) 1,300,000 $1,324,700
Electricite de France SA, Floating Rate Note, 1/20/17 (144A) 1,865,000 $1,869,588
Ellington Loan Acquisition Trust 2007-1, Floating Rate Note, 5/26/37 (144A) 2,825,000 $2,041,779
Ellington Loan Acquisition Trust 2007-2, Floating Rate Note, 5/26/37 (144A) 5,000,000 $183,293
Embarcadero Reinsurance, Ltd., Floating Rate Note, 2/7/17 (Cat Bond) (144A) 1,025,000 $1,033,212
Emdeon, Inc., Term B-2 Loan, 11/2/18 1,595,775 $1,597,970
EMD Finance LLC, Floating Rate Note, 3/17/17 (144A) 2,500,000 $2,499,276
Enbridge, Inc., Floating Rate Note, 10/1/16 1,650,000 $1,651,164
Encore Credit Receivables Trust 2005-3, Floating Rate Note, 10/25/35 3,705,000 $308,168
Endo International 1st Lien Tl-B1 L + 3% 24jun22 421,301 $422,881
Endo Luxembourg Finance I 1st Lien Tl-B L + 2.5% 05nov20 493,750 $494,830
Entercom Radio LLC, Term B-2 Loan, 11/23/18 342,677 $343,695
Enterprise Fleet Financing LLC, 0.72%, 4/20/18 (144A) 4,500,000 $114,605
Enterprise Fleet Financing LLC, 0.87%, 9/20/19 2,000,000 $1,511,385
Enterprise Fleet Financing LLC, 0.93%, 4/20/18 (144A) 1,800,000 $1,801,502
Enterprise Products Operating LLC, 3.2%, 2/1/16 3,355,000 $3,440,617
Envision Healthcare Corp., Initial Term Loan, 5/25/18 1,242,622 $1,244,693
Epiq Systems, Inc., Term Loan, 8/27/20 465,854 $465,481
EQTY 2014-INNS Mortgage Trust, Floating Rate Note, 5/8/31 (144A) 3,530,000 $3,480,820
EQTY 2014-INNS Mortgage Trust REMICS, Floating Rate Note, 5/8/31 (144A) 1,850,000 $1,828,567
EquiVantage Home Equity Loan Trust 1997-1, 8.05%, 3/25/28 (Step) 1,500,000 $26,739
Evergreen Skills Lux Sarl, Initial Term Loan (First Lien), 4/23/21 397,000 $388,954
Ew Scripps 1st Lien Termloan L + 2.9717% 26nov20 523,679 $525,970
Exeter Automobile Receivables Trust 2012-2, 3.06%, 7/16/18 (144A) 1,000,000 $1,004,668
Exeter Automobile Receivables Trust 2014-2, 1.06%, 8/15/18 1,400,000 $616,940
Exeter Automobile Receivables Trust 2015-1, 1.6%, 6/17/19 (144A) 1,700,000 $1,450,274
Exeter Automobile Receivables Trust 2015-2, 1.54%, 11/15/19 (144A) 2,600,000 $2,499,704
Expert Global Solutions, Inc., Term B Advance (First Lien), 4/3/18 10,555 $10,581
Extended Stay America Trust 2013-ESH, Floating Rate Note, 12/5/31 (144A) 800,000 $138,743
Exxon Mobil Corp., Floating Rate Note, 3/15/17 1,980,000 $1,979,072
Fannie Mae, 7.0%, 10/1/17 2,241,352 $5,419
Fannie Mae, Floating Rate Note, 1/1/48 175,000 $23,371
Fannie Mae, Floating Rate Note, 10/1/32 500,000 $26,815
Fannie Mae, Floating Rate Note, 11/1/23 970,000 $8,341
Fannie Mae, Floating Rate Note, 2/1/34 500,000 $23,547
Fannie Mae, Floating Rate Note, 9/1/32 375,000 $20,192
Fannie Mae Connecticut Avenue Securities, Floating Rate Note, 10/25/23 4,205,000 $3,016,208
Fannie Mae Connecticut Avenue Securities, Floating Rate Note, 5/25/24 3,560,000 $2,832,640
Fannie Mae Connecticut Avenue Securities, Floating Rate Note, 7/25/24 5,330,000 $4,145,633
Fannie Mae Trust 2003-W6, Floating Rate Note, 9/25/42 23,575,079 $1,856,202
Fannie Mae Trust 2005-W4, Floating Rate Note, 6/25/45 1,500,000 $215,982
Fannie Mae Whole Loan, Floating Rate Note, 11/25/46 12,390,000 $1,899,108
FCA US LLC, Term Loan B, 5/24/17 372,093 $372,125
FCA US LLC, Tranche B Term Loan, 12/29/18 2,863,750 $2,861,244
FCI - FIDJI LUXEMBOURG BC4 SARL, Term Loan, 12/19/20 1,312,500 $1,314,141
F Cp Zero% 27jul15 Usd 660,000 $659,771
Federal Farm Credit Banks, 0.39%, 4/25/16 2,133,000 $2,133,740
Federal Farm Credit Banks, Floating Rate Note, 10/26/15 2,560,000 $2,560,599
Federal Farm Credit Banks, Floating Rate Note, 2/18/16 2,610,000 $2,610,436
Federal Farm Credit Banks, Floating Rate Note, 6/20/16 10,000,000 $10,008,625
Federal Farm Credit Banks, Floating Rate Note, 9/18/15 2,540,000 $2,540,291
Federal Home Loan Banks, 2.9%, 4/20/17 4,130,000 $675,686
Federal Home Loan Banks, Floating Rate Note, 10/1/15 10,000,000 $10,006,178
Federal Home Loan Banks, Floating Rate Note, 10/7/15 6,000,000 $6,004,041
Federal Home Loan Banks, Floating Rate Note, 10/7/15 2,640,000 $2,641,778
Federal Home Loan Mortgage Corp., Floating Rate Note, 1/15/35 5,669,000 $712,101
Federal Home Loan Mortgage Corp., Floating Rate Note, 10/1/23 1,890,000 $7,645
Federal Home Loan Mortgage Corp., Floating Rate Note, 11/1/33 850,000 $14,843
Federal Home Loan Mortgage Corp., Floating Rate Note, 11/26/46 (144A) 3,500,000 $3,577,834
Federal Home Loan Mortgage Corp., Floating Rate Note, 3/15/32 54,102,000 $558,001
Federal Home Loan Mortgage Corp., Floating Rate Note, 6/1/35 3,000,000 $7,230
Federal Home Loan Mortgage Corp., Floating Rate Note, 8/15/35 50,000,000 $4,390,207
Federal Home Loan Mortgage Corp. REMICS, 3.5%, 6/15/28 5,381,000 $342,693
Federal Home Loan Mortgage Corp. REMICS, 4.0%, 1/15/24 1,801,000 $2,232
Federal Home Loan Mortgage Corp. REMICS, 4.0%, 11/15/23 95,000 $31,256
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 1/15/33 86,214,000 $1,043,354
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 1/15/36 1,837,000 $318,179
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 1/15/37 63,238,000 $3,463,016
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 10/15/20 1,400,000 $104,127
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 10/15/31 1,750,000 $87,726
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 10/15/37 18,287,000 $1,154,465
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 10/15/37 9,195,000 $567,345
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 11/15/31 20,187,077 $108,650
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 11/15/33 2,550,000 $294,881
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 11/15/35 850,000 $167,981
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 11/15/36 5,342,000 $861,853
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 11/15/36 2,850,000 $426,168
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 11/15/40 1,265,000 $506,720
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/20 1,000,000 $136,845
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/28 56,250,000 $438,184
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/32 1,700,000 $28,438
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/32 11,201,000 $739,779
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/32 9,063,000 $587,955
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/32 15,400,000 $221,459
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/32 2,500,000 $477
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/39 2,334,000 $848,552
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/41 1,000,000 $597,127
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/19 4,675,000 $237,905
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/25 2,142,856 $366,953
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/29 23,100,000 $238,341
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/30 2,056,750 $807,361
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/33 49,250,000 $631,228
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/33 15,000,000 $379,255
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/36 5,087,000 $817,699
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/36 5,000,000 $341,438
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/37 23,400,000 $967,437
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/39 1,251,000 $568,115
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 3/15/24 6,200,000 $1,349,613
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 3/15/32 64,920,000 $660,446
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 3/15/32 22,000,000 $199,032
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 3/15/32 122,751,000 $965,579
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 3/15/36 5,000,000 $975,377
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 3/15/39 1,000,000 $214,640
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 3/15/41 13,046,000 $2,457,252
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 4/15/35 1,775,000 $342,160
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 4/15/36 3,463,000 $599,102
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 5/15/29 15,000,000 $114,174
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 5/15/33 3,500,000 $366,483
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 5/15/35 10,200,000 $514,629
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 5/15/35 3,925,000 $814,846
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 5/15/36 7,791,000 $475,290
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 5/15/37 5,000,000 $276,964
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 5/15/37 3,000,000 $227,141
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 5/15/41 340,000 $96,223
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 6/15/23 6,500,000 $84,904
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 6/15/33 10,000,000 $487,560
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 6/15/36 5,835,000 $508,994
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 6/15/36 52,250,000 $1,956,677
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 6/15/38 4,056,000 $594,033
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 7/15/21 17,312,039 $189,483
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 7/15/23 2,924,000 $553,053
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 7/15/34 5,000,000 $555,223
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 7/15/36 1,200,000 $41,474
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 7/15/36 5,000,000 $764,938
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 7/15/36 15,317,285 $1,006,347
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 7/15/40 2,570,000 $485,873
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 8/15/26 1,330,000 $425,396
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 8/15/35 5,000,000 $768,093
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 8/15/35 2,185,000 $395,425
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 8/15/36 17,556,000 $776,109
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 9/15/26 1,427,500 $762,972
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 9/15/32 10,000,000 $203,928
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 9/15/36 3,320,000 $344,109
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 9/15/36 3,470,000 $280,624
Federal National Mortgage Association, Floating Rate Note, 10/3/16 8,925,000 $8,965,561
Federal National Mortgage Association, Floating Rate Note, 12/25/33 25,758,805 $6,749,563
Federal National Mortgage Association, Floating Rate Note, 2/25/38 50,000,000 $13,855,950
Federal National Mortgage Association, Floating Rate Note, 3/25/18 30,543,000 $665,301
Federal National Mortgage Association, Floating Rate Note, 4/25/35 750,000 $128,564
Federal National Mortgage Association, Floating Rate Note, 8/26/16 6,085,000 $6,089,513
Federal National Mortgage Association REMICS, 4.5%, 1/25/39 820,000 $20,031
Federal National Mortgage Association REMICS, Floating Rate Note, 1/18/32 16,977,308 $226,769
Federal National Mortgage Association REMICS, Floating Rate Note, 1/25/32 30,000,000 $359,018
Federal National Mortgage Association REMICS, Floating Rate Note, 1/25/33 5,000,000 $148,231
Federal National Mortgage Association REMICS, Floating Rate Note, 1/25/33 13,036,000 $400,330
Federal National Mortgage Association REMICS, Floating Rate Note, 1/25/40 5,000,000 $362,407
Federal National Mortgage Association REMICS, Floating Rate Note, 10/25/35 6,475,000 $572,672
Federal National Mortgage Association REMICS, Floating Rate Note, 10/25/35 625,000 $22,392
Federal National Mortgage Association REMICS, Floating Rate Note, 10/25/36 71,456,000 $2,426,848
Federal National Mortgage Association REMICS, Floating Rate Note, 10/25/37 1,030,000 $114,638
Federal National Mortgage Association REMICS, Floating Rate Note, 10/25/37 2,400,000 $611,807
Federal National Mortgage Association REMICS, Floating Rate Note, 10/25/38 6,344,000 $600,868
Federal National Mortgage Association REMICS, Floating Rate Note, 10/27/37 2,382,000 $2,084,977
Federal National Mortgage Association REMICS, Floating Rate Note, 11/18/32 105,671,000 $1,785,071
Federal National Mortgage Association REMICS, Floating Rate Note, 11/25/31 44,000,000 $365,730
Federal National Mortgage Association REMICS, Floating Rate Note, 11/25/31 50,000,000 $415,602
Federal National Mortgage Association REMICS, Floating Rate Note, 11/25/33 10,000,000 $694,001
Federal National Mortgage Association REMICS, Floating Rate Note, 11/25/34 9,662,000 $598,981
Federal National Mortgage Association REMICS, Floating Rate Note, 11/25/36 1,625,000 $311,820
Federal National Mortgage Association REMICS, Floating Rate Note, 12/25/23 13,749,086 $99,074
Federal National Mortgage Association REMICS, Floating Rate Note, 12/25/23 5,000,000 $316,480
Federal National Mortgage Association REMICS, Floating Rate Note, 12/25/30 20,000,000 $88,661
Federal National Mortgage Association REMICS, Floating Rate Note, 12/25/31 30,500,000 $848,382
Federal National Mortgage Association REMICS, Floating Rate Note, 12/25/32 14,000,000 $361,881
Federal National Mortgage Association REMICS, Floating Rate Note, 12/25/36 4,800,000 $230,491
Federal National Mortgage Association REMICS, Floating Rate Note, 12/25/37 21,428,000 $568,644
Federal National Mortgage Association REMICS, Floating Rate Note, 12/25/38 400,000 $212,682
Federal National Mortgage Association REMICS, Floating Rate Note, 12/25/49 2,000,000 $234,126
Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/17 14,970,453 $1,559
Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/33 10,610,000 $330,015
Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/33 16,918,890 $711,164
Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/35 2,497,000 $744,191
Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/37 5,150,000 $440,992
Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/37 20,692,000 $726,028
Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/38 2,184,000 $430,077
Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/38 4,400,000 $232,226
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/23 17,080,403 $123,651
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/24 14,460,650 $505,360
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/28 24,210,000 $278,340
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/34 20,624,640 $1,230,200
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/36 700,000 $107,064
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/37 2,300,000 $212,944
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/37 39,983,000 $745,751
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/37 3,413,000 $429,999
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/45 12,700,000 $1,781,694
Federal National Mortgage Association REMICS, Floating Rate Note, 4/25/25 540,000 $75,671
Federal National Mortgage Association REMICS, Floating Rate Note, 4/25/32 35,072,000 $1,919,863
Federal National Mortgage Association REMICS, Floating Rate Note, 4/25/33 36,000,000 $961,639
Federal National Mortgage Association REMICS, Floating Rate Note, 4/25/42 642,857 $430,656
Federal National Mortgage Association REMICS, Floating Rate Note, 5/25/33 15,932,000 $364,515
Federal National Mortgage Association REMICS, Floating Rate Note, 5/25/36 23,900,354 $633,170
Federal National Mortgage Association REMICS, Floating Rate Note, 5/25/36 13,100,000 $1,203,148
Federal National Mortgage Association REMICS, Floating Rate Note, 5/25/37 32,172,000 $1,018,020
Federal National Mortgage Association REMICS, Floating Rate Note, 5/25/40 8,500,000 $1,027,957
Federal National Mortgage Association REMICS, Floating Rate Note, 5/25/40 2,619,152 $974,949
Federal National Mortgage Association REMICS, Floating Rate Note, 5/25/40 500,000 $241,234
Federal National Mortgage Association REMICS, Floating Rate Note, 6/25/23 3,460,000 $219,003
Federal National Mortgage Association REMICS, Floating Rate Note, 6/25/36 8,454,822 $753,504
Federal National Mortgage Association REMICS, Floating Rate Note, 6/25/37 3,590,000 $305,158
Federal National Mortgage Association REMICS, Floating Rate Note, 6/25/37 632,250 $70,747
Federal National Mortgage Association REMICS, Floating Rate Note, 6/25/37 7,474,000 $836,058
Federal National Mortgage Association REMICS, Floating Rate Note, 6/25/37 900,000 $90,640
Federal National Mortgage Association REMICS, Floating Rate Note, 7/18/27 10,000,000 $35,766
Federal National Mortgage Association REMICS, Floating Rate Note, 7/25/31 48,885,770 $402,227
Federal National Mortgage Association REMICS, Floating Rate Note, 7/25/31 50,000,000 $279,005
Federal National Mortgage Association REMICS, Floating Rate Note, 7/25/32 15,000,000 $183,512
Federal National Mortgage Association REMICS, Floating Rate Note, 7/25/34 2,860,000 $147,602
Federal National Mortgage Association REMICS, Floating Rate Note, 7/25/34 7,443,000 $440,358
Federal National Mortgage Association REMICS, Floating Rate Note, 7/25/35 9,145,238 $1,822,865
Federal National Mortgage Association REMICS, Floating Rate Note, 7/25/35 23,056,000 $2,323,571
Federal National Mortgage Association REMICS, Floating Rate Note, 7/25/36 2,000,000 $256,483
Federal National Mortgage Association REMICS, Floating Rate Note, 7/25/37 1,942,360 $257,245
Federal National Mortgage Association REMICS, Floating Rate Note, 8/25/31 17,600,000 $203,014
Federal National Mortgage Association REMICS, Floating Rate Note, 8/25/32 5,000,000 $81,760
Federal National Mortgage Association REMICS, Floating Rate Note, 8/25/32 15,000,000 $269,849
Federal National Mortgage Association REMICS, Floating Rate Note, 8/25/33 485,000 $14,084
Federal National Mortgage Association REMICS, Floating Rate Note, 8/25/36 4,450,000 $256,460
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/20 13,700,000 $19,144
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/21 8,269,375 $70,479
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/32 19,400,000 $6,925
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/32 20,000,000 $340,232
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/33 19,984,406 $1,928,692
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/36 13,053,000 $690,906
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/37 3,173,000 $361,434
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/37 1,915,000 $206,442
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/37 9,159,000 $349,687
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/37 7,400,000 $676,644
Fieldstone Mortgage Investment Trust Series 2004-5, Floating Rate Note, 2/25/35 3,600,000 $478,206
Fieldstone Mortgage Investment Trust Series 2005-1, Floating Rate Note, 3/25/35 1,457,000 $391,055
Fieldwood Energy LLC, Closing Date Loan, 9/25/18 2,655,112 $2,533,640
Fifth Third Auto Trust 2014-3, Floating Rate Note, 5/15/17 1,700,000 $1,447,520
Fifth Third Bancorp, 3.625%, 1/25/16 3,790,000 $3,905,395
Fifth Third Bancorp, Floating Rate Note, 12/20/16 1,727,000 $1,718,334
Fifth Third Bank Cincinnati Ohio, Floating Rate Note, 11/18/16 1,800,000 $1,804,291
Fifth Third Bank Cincinnati Ohio, Floating Rate Note, 2/26/16 3,330,000 $3,331,897
First Franklin Mortgage Loan Trust 2005-FFH3, Floating Rate Note, 9/25/35 4,351,000 $1,607,508
First Franklin Mortgage Loan Trust Series 2005-FF12, Floating Rate Note, 11/25/36 2,150,000 $278,696
First Horizon Mortgage Pass-Through Trust 2003-AR3, Floating Rate Note, 9/25/33 13,000,000 $810,039
First Investors Auto Owner Trust 2012-2, 1.47%, 5/15/18 (144A) 100,000 $10,399
First Investors Auto Owner Trust 2013-2, 1.23%, 3/15/19 (144A) 4,251,000 $1,377,502
First Investors Auto Owner Trust 2013-3, 0.89%, 9/15/17 (144A) 220,000 $13,542
First Investors Auto Owner Trust 2014-2, 0.86%, 8/15/18 (144A) 2,100,000 $1,487,172
First Investors Auto Owner Trust 2014-3, 1.06%, 11/15/18 (144A) 2,000,000 $1,790,556
First NLC Trust 2005-2, Floating Rate Note, 9/25/35 369,713 $35,981
Flt% 15jun16 1,000,000 $974,900
Fly Funding II Sarl, Loan, 8/8/18 1,525,689 $1,528,867
FMG Resources August 2006 Pty, Ltd., Loan, 6/30/19 1,107,386 $985,920
FNA 2014-1 Trust, 1.296%, 12/10/22 (144A) 2,500,000 $1,764,307
Focor Flt% 22jul20 06-3-A 18,500,000 $4,322,549
Foothill CLO, Ltd., Floating Rate Note, 2/22/21 (144A) 2,250,000 $783,561
Ford Credit Auto Lease Trust 2014-B, Floating Rate Note, 3/15/17 2,150,000 $1,608,170
Ford Credit Auto Owner Trust 2011-B, 1.35%, 12/15/16 200,000 $16,117
Ford Credit Auto Owner Trust 2014-A, 0.48%, 11/15/16 1,827,000 $138,544
Ford Credit Auto Owner Trust 2015-A, Floating Rate Note, 1/15/18 2,500,000 $2,500,844
Ford Credit Auto Owner Trust 2015-B, Floating Rate Note, 3/15/18 (144A) 2,600,000 $2,600,480
Ford Credit Floorplan Master Owner Trust A, Floating Rate Note, 1/15/18 350,000 $350,251
Ford Credit Floorplan Master Owner Trust A, Floating Rate Note, 2/15/19 900,000 $900,264
Ford Motor Credit Co LLC, Floating Rate Note, 1/9/18 2,600,000 $2,609,839
Ford Motor Credit Co LLC, Floating Rate Note, 11/8/16 1,715,000 $1,712,867
Ford Motor Credit Co LLC, Floating Rate Note, 3/27/17 2,500,000 $2,492,762
Ford Motor Credit Co LLC, Floating Rate Note, 9/8/17 2,600,000 $2,585,134
Fore CLO, Ltd., Floating Rate Note, 7/20/19 (144A) 1,750,000 $1,732,400
Fore CLO, Ltd., Floating Rate Note, 7/20/19 (144A) 1,500,000 $292,992
Foresight Energy LLC, Term Loan, 8/21/20 221,862 $220,198
Fosse Master Issuer Plc, Floating Rate Note, 10/19/54 (144A) 1,000,000 $588,546
Four Corners CLO II, Ltd., Floating Rate Note, 1/26/20 (144A) 553,000 $534,873
Four Seasons Holdings, Inc., Term Loan (First Lien) 2013, 6/27/20 489,433 $489,587
Freddie Mac REMICS, 5.0%, 6/15/33 26,351,400 $1,002,771
Freddie Mac Strips, Floating Rate Note, 12/15/36 10,968,000 $562,712
Freddie Mac Strips, Floating Rate Note, 8/15/36 10,000,000 $429,165
Freddie Mac Strips, Floating Rate Note, 8/15/36 43,230,336 $1,858,600
Freddie Mac Structured Agency Credit Risk Debt Notes, Floating Rate Note, 10/25/24 2,480,000 $1,181,431
Freddie Mac Structured Agency Credit Risk Debt Notes, Floating Rate Note, 11/25/23 2,250,000 $1,522,624
Freddie Mac Structured Agency Credit Risk Debt Notes, Floating Rate Note, 2/25/24 1,555,000 $1,376,495
Freddie Mac Structured Agency Credit Risk Debt Notes, Floating Rate Note, 8/25/24 5,000,000 $1,863,563
Fremont Home Loan Trust 2005-B, Floating Rate Note, 4/25/35 2,750,000 $457,216
Fresenius US Finance I, Inc., Tranche B Term Loan, 8/7/19 1,473,750 $1,472,522
Gale Force 3 Clo, Ltd., Floating Rate Note, 4/19/21 (144A) 1,200,000 $641,361
Galileo Re, Ltd., Floating Rate Note, 1/9/19 (Cat Bond) (144A) 1,250,000 $1,279,576
Garda World Security Corp., Term B Delayed Draw Loan, 11/8/20 317,738 $317,208
Garda World Security Corp., Term B Loan, 11/1/20 1,242,065 $1,239,994
Gardner Denver, Inc., Initial Dollar Term Loan, 7/30/20 233,943 $228,913
Gator Re, Ltd., Floating Rate Note, 1/9/17 (Cat Bond) (144A) 2,000,000 $1,835,602
GCAT 2015-1 LLC, 3.625%, 5/26/20 (Step) (144A) 2,500,000 $2,416,585
Gci Holdings Inc 1st Lien Tl-B L + 3.75% 22dec21 660,000 $664,125
GE Business Loan Trust 2004-2, Floating Rate Note, 12/15/32 (144A) 9,937,438 $1,180,238
GE Business Loan Trust 2005-1, Floating Rate Note, 6/15/33 (144A) 7,203,882 $2,879,782
GE Business Loan Trust 2006-2, Floating Rate Note, 11/15/34 (144A) 8,767,382 $2,901,634
GE Business Loan Trust 2007-1, Floating Rate Note, 4/16/35 (144A) 5,387,273 $2,018,183
GE Dealer Floorplan Master Note Trust, Floating Rate Note, 10/20/19 2,700,000 $2,695,654
GE Dealer Floorplan Master Note Trust, Floating Rate Note, 4/20/18 1,190,000 $1,189,349
GE Dealer Floorplan Master Note Trust, Floating Rate Note, 7/22/19 2,670,000 $2,656,024
GE Equipment Small Ticket LLC Series 2014-1, 0.59%, 8/24/16 1,900,000 $1,157,662
GE Equipment Transportation LLC Series 2013-2, 0.61%, 6/24/16 1,520,000 $142,808
General Electric Capital Corp., 1.625%, 7/2/15 1,000,000 $1,008,080
General Electric Capital Corp., Floating Rate Note, 1/14/16 1,865,000 $1,869,397
General Electric Capital Corp., Floating Rate Note, 1/8/16 4,124,000 $4,144,701
General Electric Capital Corp., Floating Rate Note, 5/11/16 1,000,000 $1,002,540
General Electric Capital Corp., Floating Rate Note, 5/15/17 2,000,000 $2,004,642
General Electric Capital Corp., Floating Rate Note, 7/10/15 690,000 $691,068
General Electric Capital Corp., Floating Rate Note, 7/12/16 2,372,000 $2,389,612
General Electric Capital Corp., Floating Rate Note, 7/2/15 2,793,000 $2,802,082
General Electric Capital Corp., Floating Rate Note, 8/1/17 500,000 $508,590
General Mills, Inc., Floating Rate Note, 1/28/16 1,895,000 $1,894,190
General Mills, Inc., Floating Rate Note, 1/29/16 1,765,000 $1,766,711
General Motors Financial Co, Inc., Floating Rate Note, 4/10/18 2,500,000 $2,528,274
Genpact International, Inc., Term Loan, 8/30/19 977,588 $982,068
Georgia Power Co., 0.625%, 11/15/15 1,040,000 $1,040,938
Georgia Power Co., Floating Rate Note, 3/15/16 1,090,000 $1,089,185
Georgia Power Co., Floating Rate Note, 8/15/16 1,000,000 $999,151
GLC Trust 2013-1, 3.0%, 7/15/21 (144A) 3,200,000 $1,956,819
Glencore Funding LLC, Floating Rate Note, 4/16/18 (144A) 2,500,000 $2,505,679
Glencore Funding LLC, Floating Rate Note, 5/27/16 (144A) 1,800,000 $1,807,294
Glenn Pool Oil & Gas Trust, Term Loan, 5/2/16 15,535 $15,496
Global Container Assets 2013-1, Ltd., 2.2%, 11/6/28 (144A) 1,750,000 $848,083
Global Mortgage Securitization, Ltd., 5.25%, 4/25/32 2,691,322 $711,704
Global Mortgage Securitization, Ltd., Floating Rate Note, 11/25/32 (144A) 8,780,000 $403,762
Global Mortgage Securitization, Ltd., Floating Rate Note, 4/25/32 29,975,000 $2,276,550
GMAC Commercial Mortgage Securities Inc Series 2004-C2 Trust, Floating Rate Note, 8/10/38 5,341,000 $35,660
GMAC Commercial Mortgage Securities Inc Series 2006-C1 Trust, Floating Rate Note, 11/10/45 8,250,000 $5,062,112
GMAT 2013-1 Trust, 3.9669%, 8/25/53 (Step) 5,300,000 $3,225,025
GMF Floorplan Owner Revolving Trust, Floating Rate Note, 5/15/20 (144A) 1,300,000 $1,301,208
Golden Credit Card Trust, Floating Rate Note, 2/15/18 (144A) 4,300,000 $4,298,880
Golden Credit Card Trust, Floating Rate Note, 9/15/18 (144A) 715,000 $715,732
Golden State RE II, Ltd., Floating Rate Note, 1/8/19 (Cat Bond) (144A) 2,650,000 $2,642,933
Government National Mortgage Association, 4.0%, 7/20/34 31,635,000 $715,848
Government National Mortgage Association, Floating Rate Note, 1/16/33 26,309,521 $829,650
Government National Mortgage Association, Floating Rate Note, 1/16/35 11,437,000 $1,114,195
Government National Mortgage Association, Floating Rate Note, 10/16/39 2,500,000 $329,685
Government National Mortgage Association, Floating Rate Note, 10/20/38 3,000,000 $808,534
Government National Mortgage Association, Floating Rate Note, 2/20/35 8,941,000 $1,076,204
Government National Mortgage Association, Floating Rate Note, 4/16/32 13,425,000 $228,929
Government National Mortgage Association, Floating Rate Note, 5/16/38 8,761,000 $503,355
Government National Mortgage Association, Floating Rate Note, 6/16/31 14,000,000 $222,309
Government National Mortgage Association, Floating Rate Note, 8/16/39 2,960,000 $459,045
Government National Mortgage Association, Floating Rate Note, 8/20/35 3,497,364 $111,808
Government National Mortgage Association, Floating Rate Note, 8/20/38 4,585,000 $399,854
Government National Mortgage Association, Floating Rate Note, 9/16/31 34,344,532 $619,215
Government National Mortgage Association II, Floating Rate Note, 1/20/22 1,000,000 $11,433
GP Portfolio Trust 2014-GGP, Floating Rate Note, 2/16/27 (144A) 3,350,000 $3,352,594
Gracechurch Card Funding Plc, Floating Rate Note, 5/15/19 (144A) 1,300,000 $1,307,228
Gray Television Inc. 1st Lien Tl L + 3% 10jun21 1,002,368 $1,003,726
GreenPoint Mortgage Funding Trust 2005-HE1, Floating Rate Note, 9/25/34 1,357,437 $31,496
GRIFOLS WORLDWIDE OPERATIONS USA INC, U.S. Tranche B Term Loam, 4/1/21 518,438 $519,113
GSAA Home Equity Trust 2004-11, Floating Rate Note, 12/25/34 14,390,000 $747,437
GSAA Home Equity Trust 2004-6, Floating Rate Note, 6/25/34 52,357,062 $1,189,495
GSAA Home Equity Trust 2004-8, Floating Rate Note, 9/25/34 7,860,000 $247,533
GSAA Trust, Floating Rate Note, 6/25/35 6,300,000 $1,307,704
GSAMP Trust 2004-SEA2, Floating Rate Note, 3/25/34 4,798,600 $2,501,544
GSAMP Trust 2005-HE1, Floating Rate Note, 12/25/34 5,414,212 $400,075
GSAMP Trust 2005-HE6, Floating Rate Note, 11/25/35 220,000 $108,624
GSAMP Trust 2006-HE1, Floating Rate Note, 12/26/45 7,000,000 $960,577
GSAMP Trust 2006-SD1, Floating Rate Note, 7/25/45 9,948,000 $202,951
GSAMP Trust 2006-SEA1, Floating Rate Note, 5/25/36 (144A) 25,142,877 $1,439,809
GS Mortgage Securities Trust 2006-GG6 REMICS, Floating Rate Note, 4/10/38 3,550,000 $3,586,567
GS Mortgage Securities Trust 2014-GSFL, Floating Rate Note, 7/15/31 (144A) 2,000,000 $1,991,810
GSR Mortgage Loan Trust 2003-9, Floating Rate Note, 8/25/33 1,500,000 $76,292
GSRPM Mortgage Loan Trust 2003-2, Floating Rate Note, 6/25/33 1,826,298 $960,218
GSRPM Mortgage Loan Trust 2006-1, Floating Rate Note, 3/25/35 (144A) 7,593,737 $964,186
GSRPM Mortgage Loan Trust 2006-2, Floating Rate Note, 9/25/36 (144A) 5,483,897 $659,712
Gszfp Cp Zero% 09jul15 Usd 12,800,000 $12,799,552
Hanesbrands Inc Us 1st Lien Tl-B L + 2.5% 15apr22 500,000 $503,438
HarborView Mortgage Loan Trust 2004-1, Floating Rate Note, 4/19/34 16,013,000 $686,818
HarborView Mortgage Loan Trust 2004-4, Floating Rate Note, 6/19/34 25,700,000 $243,304
Harch CLO III, Ltd., Floating Rate Note, 4/17/20 (144A) 500,000 $490,226
Harley-Davidson Financial Services, Inc., 1.15%, 9/15/15 (144A) 4,100,000 $4,115,642
Harley-Davidson Motorcycle Trust 2011-1, 2.12%, 8/15/17 190,000 $190,526
Harley-Davidson Motorcycle Trust 2012-1, 0.68%, 4/17/17 2,700,000 $123,805
Hertz Fleet Lease Funding LP, Floating Rate Note, 12/10/27 (144A) 1,000,000 $717,831
Hertz Fleet Lease Funding LP, Floating Rate Note, 12/10/27 (144A) 500,000 $499,971
Hertz Fleet Lease Funding LP, Floating Rate Note, 4/10/28 (144A) 1,100,000 $999,642
Hfchc Flt% 20jul36 07-2 200,000 $179,951
Hflf Flt% 10jul29 15-1 3,200,000 $3,203,090
Hilton USA Trust 2013-HLF, Floating Rate Note, 11/5/30 (144A) 2,475,000 $2,441,994
Hilton Worldwide Finance LLC, Initial Term Loan, 9/23/20 922,697 $923,723
HJ Heinz Co., Term B-2 Loan, 6/5/20 1,048,202 $1,049,641
HLSS Servicer Advance Receivables Trust, 1.4953%, 1/16/46 (144A) 5,600,000 $5,598,122
Hmac Flt% 25sep34 04-4-A3 6,482,000 $1,483,104
Hmbt Flt% 25dec34 04-2-A1 22,423,000 $2,629,965
HomeBanc Mortgage Trust 2005-2, Floating Rate Note, 5/25/25 45,670,847 $813,659
Home Equity Asset Trust 2005-6, Floating Rate Note, 12/25/35 4,004,000 $2,736,472
Home Equity Asset Trust 2005-7, Floating Rate Note, 1/25/36 7,770,000 $3,589,739
Home Equity Asset Trust 2006-4, Floating Rate Note, 8/25/36 1,250,000 $266,049
Home Equity Asset Trust 2006-8, Floating Rate Note, 3/25/37 6,984,978 $1,475,392
Homestar Mortgage Acceptance Corp., Floating Rate Note, 1/25/35 11,300,000 $727,304
Homestar Mortgage Acceptance Corp., Floating Rate Note, 3/25/34 76,711,000 $4,136,621
Homestar Mortgage Acceptance Corp., Floating Rate Note, 6/25/34 11,977,997 $861,357
Homestar Mortgage Acceptance Corp., Floating Rate Note, 7/25/34 22,310,000 $1,726,271
Honda Auto Receivables 2012-4 Owner Trust, 0.52%, 8/18/16 5,000,000 $974,111
Honda Auto Receivables 2013-1 Owner Trust, 0.48%, 11/21/16 390,000 $126,807
Honda Auto Receivables 2013-2 Owner Trust, 0.53%, 2/16/17 959,000 $543,017
Honda Auto Receivables 2014-1 Owner Trust, 0.41%, 9/21/16 2,715,000 $1,041,524
Horizon Funding Trust 2013-1, 3.0%, 5/15/18 (144A) 2,777,000 $762,564
HSBC Bank Middle East, Ltd., 3.0%, 10/21/15 1,000,000 $1,007,612
HSBC Home Equity Loan Trust USA 2006-3, Floating Rate Note, 3/20/36 8,638,000 $5,550,411
HSBC Home Equity Loan Trust USA 2006-4, Floating Rate Note, 3/20/36 1,061,000 $624,633
HSBC Home Equity Loan Trust USA 2007-3, Floating Rate Note, 11/20/36 14,250,000 $2,815,163
HSBC Home Equity Loan Trust USA 2007-3, Floating Rate Note, 11/20/36 100,000 $19,114
HSI Asset Securitization Corp Trust 2006-OPT1, Floating Rate Note, 12/25/35 1,719,377 $451,612
Hyatt Hotel Portfolio Trust 2015-HYT, Floating Rate Note, 11/15/29 (144A) 1,800,000 $1,804,907
Hyundai Auto Receivables Trust 2012-A, 0.95%, 12/15/16 3,878,000 $1,095,310
Hyundai Auto Receivables Trust 2014-B, 0.44%, 2/15/17 99,000 $42,512
Hyundai Capital Services, Inc., Floating Rate Note, 3/18/17 (144A) 1,950,000 $1,955,831
IASIS Healthcare LLC, Term B-2 Loan, 5/3/18 485,032 $486,320
Ibis Re II, Ltd., Floating Rate Note, 6/28/16 (144A) 1,000,000 $998,525
Ibis Re II, Ltd., Floating Rate Note, 6/28/16 (Cat Bond) (144A) 2,500,000 $2,506,944
Igloo Holdings Corp., 8.25%, 12/15/17 (144A) (PIK) 1,250,000 $1,270,208
Ihsfr Flt% 17aug32 15-Sfr3-B 3,500,000 $3,497,761
Impac CMB Trust Series 2003-8, Floating Rate Note, 10/25/33 8,000,000 $466,468
Impac CMB Trust Series 2004-4, Floating Rate Note, 9/25/34 42,840,193 $1,676,498
Impac CMB Trust Series 2004-4, Floating Rate Note, 9/25/34 49,152,075 $1,922,924
Impac CMB Trust Series 2004-5, Floating Rate Note, 8/25/34 9,850,000 $467,524
Impac CMB Trust Series 2004-6, Floating Rate Note, 10/25/34 9,979,000 $470,377
Impac CMB Trust Series 2004-8, Floating Rate Note, 8/25/34 2,122,000 $225,622
Impac CMB Trust Series 2004-8, Floating Rate Note, 8/25/34 14,550,000 $1,553,289
Impac Secured Assets CMN Owner Trust, Floating Rate Note, 2/25/35 17,437,000 $4,275,708
Impac Secured Assets Trust 2006-1, Floating Rate Note, 5/25/36 6,586,000 $2,010,357
Impac Secured Assets Trust 2006-2, Floating Rate Note, 8/25/36 4,987,000 $854,570
Impac Secured Assets Trust 2006-5, Floating Rate Note, 12/25/36 3,800,000 $753,416
Intelsat Jackson Holdings SA, Tranche B-2 Term Loan, 6/30/19 521,732 $518,689
inVentiv Health, Inc., Term B-3 Loan, 5/15/18 66,145 $66,228
Invitation Homes 2013-SFR1 Trust, Floating Rate Note, 12/19/30 (144A) 1,800,000 $1,792,555
Invitation Homes 2014-SFR2 Trust, Floating Rate Note, 9/18/31 (144A) 2,100,000 $2,088,783
Invitation Homes 2014-SFR3 Trust, Floating Rate Note, 12/17/31 (144A) 2,000,000 $1,982,531
Invitation Homes 2015-SFR2 Trust, Floating Rate Note, 6/17/32 (144A) 2,550,000 $2,534,473
Inwood Park CDO, Ltd., Floating Rate Note, 1/20/21 (144A) 3,500,000 $840,212
Irwin Home Equity Loan Trust 2005-1, Floating Rate Note, 6/25/25 18,060,000 $3,424,656
Irwin Whole Loan Home Equity Trust 2003-C, Floating Rate Note, 6/25/28 7,545,000 $1,440,914
Irwin Whole Loan Home Equity Trust 2005-B, Floating Rate Note, 12/25/29 6,125,000 $2,792,675
IXIS Real Estate Capital Trust 2005-HE1, Floating Rate Note, 6/25/35 1,500,000 $659,809
IXIS Real Estate Capital Trust 2005-HE4, Floating Rate Note, 2/25/36 3,493,986 $458,364
Jackson National Life Global Funding, Floating Rate Note, 7/29/16 (144A) 5,100,000 $5,108,414
Jackson National Life Global Funding, Floating Rate Note, 9/30/15 (144A) 3,300,000 $3,307,200
JBS USA LLC, Initial Term Loan, 5/25/18 874,626 $873,522
JLL, Initial Dollar Term Loan, 1/23/21 301,950 $300,548
JMC Steel Group, Inc., Term Loan, 4/1/17 355,691 $353,468
John Deere Capital Corp., Floating Rate Note, 10/11/16 1,500,000 $1,505,086
John Deere Capital Corp., Floating Rate Note, 12/10/15 1,800,000 $1,800,743
JOHN DEERE CAPITAL Corp., Floating Rate Note, 2/25/16 2,883,000 $2,883,811
Jpmcc Flt% 15may28 15-Fl7-B 3,600,000 $3,591,184
JPMorgan Chase & Co., 1.1%, 10/15/15 1,528,000 $1,532,933
JPMorgan Chase & Co., Floating Rate Note, 10/15/15 2,000,000 $2,006,691
JPMorgan Chase & Co., Floating Rate Note, 2/15/17 2,000,000 $2,004,855
JPMorgan Chase & Co., Floating Rate Note, 2/26/16 1,800,000 $1,804,081
JPMorgan Chase & Co., Floating Rate Note, 3/1/18 3,800,000 $3,791,202
JP Morgan Chase Commercial Mortgage Securities Trust 2002-CIBC4, Floating Rate Note, 5/12/34 257,000 $128,612
JP Morgan Chase Commercial Mortgage Securities Trust 2004-LN2, Floating Rate Note, 7/15/41 2,030,626 $223,584
JP Morgan Chase Commercial Mortgage Securities Trust 2005-LDP3, Floating Rate Note, 8/15/42 2,670,000 $2,680,200
JP Morgan Chase Commercial Mortgage Securities Trust 2005-LDP3 REMICS, Floating Rate Note, 8/15/42 8,585,000 $874,253
JP Morgan Chase Commercial Mortgage Securities Trust 2005-LDP4, Floating Rate Note, 10/15/42 3,950,000 $3,974,620
JP Morgan Chase Commercial Mortgage Securities Trust 2005-LDP5, Floating Rate Note, 12/15/44 8,709,924 $4,595,884
JP Morgan Chase Commercial Mortgage Securities Trust 2006-FL2, Floating Rate Note, 11/15/18 (144A) 8,570,000 $1,585,869
JP Morgan Chase Commercial Mortgage Securities Trust 2006-FL2, Floating Rate Note, 11/15/18 (144A) 500,000 $162,788
JP Morgan Chase Commercial Mortgage Securities Trust 2006-LDP6, Floating Rate Note, 4/15/43 3,512,000 $3,592,781
JP Morgan Chase Commercial Mortgage Securities Trust 2006-LDP9, Floating Rate Note, 5/15/47 200,000 $72,527
JP Morgan Chase Commercial Mortgage Securities Trust 2007-CIBC18, 5.44%, 6/12/47 3,550,000 $3,528,207
JP Morgan Chase Commercial Mortgage Securities Trust 2014-BXH, Floating Rate Note, 4/15/27 (144A) 5,600,000 $5,596,007
JP Morgan Chase Commercial Mortgage Securities Trust 2014-CBM, Floating Rate Note, 10/15/29 (144A) 4,280,000 $4,266,137
JP Morgan Chase Commercial Mortgage Securities Trust 2014-FBLU, Floating Rate Note, 12/15/28 (144A) 2,910,000 $2,913,581
JP Morgan Chase Commercial Mortgage Securities Trust 2014-FBLU REMICS, Floating Rate Note, 12/15/28 3,510,000 $3,512,588
JP Morgan Chase Commercial Mortgage Securities Trust 2014-FL4, Floating Rate Note, 12/16/30 (144A) 1,500,000 $1,501,247
JP Morgan Chase Commercial Mortgage Securities Trust 2014-FL5 REMICS, Floating Rate Note, 7/15/31 (1 2,500,000 $2,493,662
JP Morgan Chase Commercial Mortgage Securities Trust 2014-FL6, Floating Rate Note, 11/17/31 (144A) 4,240,000 $4,240,660
JP Morgan Chase Commercial Mortgage Securities Trust 2014-INN, Floating Rate Note, 6/15/29 (144A) 3,500,000 $3,486,242
JP Morgan Chase Commercial Mortgage Securities Trust 2014-INN, Floating Rate Note, 6/15/29 (144A) 3,750,000 $3,741,767
JP Morgan Chase Commercial Mortgage Securities Trust 2014-PHH, Floating Rate Note, 8/16/27 (144A) 3,770,000 $3,775,318
JP Morgan Chase Commercial Mortgage Securities Trust 2015-COSMO, Floating Rate Note, 1/15/32 (144A) 4,000,000 $3,992,410
JP Morgan Mortgage Acquisition Corp 2005-FLD1, Floating Rate Note, 7/25/35 2,575,000 $2,544,350
JP Morgan Mortgage Acquisition Corp 2005-FRE1, Floating Rate Note, 10/25/35 19,316,000 $952,111
JP Morgan Mortgage Acquisition Trust 2006-ACC1, Floating Rate Note, 5/25/36 3,004,334 $681,588
Kane Flt% 31jul15 2,000,000 $2,000,000
Kane Ilw Zero% 02feb16 750,000 $717,375
Kane Sac, Ltd., 0.0%, 1/7/16 (Cat Bond) 1,147,083 $1,153,622
Kane Sac, Ltd., 0.0%, 1/7/16 (Cat Bond) 2,375,100 $2,396,238
Kane Sac, Ltd., 0.0%, 1/7/16 (Cat Bond) 1,111,667 $1,120,560
Kane Sac, Ltd., 0.0%, 1/7/16 (Cat Bond) 420,500 $425,588
Kane Sac Zero% 15jun16 500,000 $479,900
Kane Zero% 29apr16 2,600,000 $2,732,080
KeyBank NA Cleveland Ohio, Floating Rate Note, 11/25/16 4,500,000 $4,505,058
KeyBank NA Cleveland Ohio, Floating Rate Note, 6/1/18 2,500,000 $2,503,097
KeyCorp, 3.75%, 8/13/15 5,350,000 $5,442,913
KeyCorp Student Loan Trust 2004-A, Floating Rate Note, 10/28/41 500,000 $79,368
Kilimanjaro Re, Ltd., Floating Rate Note, 11/25/19 (Cat Bond) (144A) 2,350,000 $2,341,246
Kilimanjaro Re, Ltd., Floating Rate Note, 4/30/18 (Cat Bond) (144A) 1,000,000 $969,775
Kilimanjaro Re, Ltd., Floating Rate Note, 4/30/18 (Cat Bond) (144A) 2,300,000 $2,242,056
Kinetic Concepts, Inc., Dollar Term E-1 Loan, 5/4/18 583,824 $586,835
Kizuna Re II, Ltd., Floating Rate Note, 4/6/18 (Cat Bond) (144A) 1,800,000 $1,811,678
KKR Financial CLO 2007-1, Ltd., Floating Rate Note, 5/15/21 (144A) 1,250,000 $1,234,423
Kloeckner Pentaplast Of America 1st Lien Tl L + 4% 22apr20 158,462 $159,155
Kloeckner Pentaplast Of America 1st Lien Tl L + 4% 22apr20 67,719 $68,015
Kubota Credit Owner Trust 2014-1, 0.58%, 2/15/17 800,000 $485,902
Lanark Master Issuer Plc, Floating Rate Note, 12/22/54 (144A) 5,635,000 $3,939,154
Lanark Master Issuer Plc, Floating Rate Note, 12/22/54 (144A) 1,250,000 $1,096,901
Landry's, Inc., B Term Loan, 4/24/18 377,078 $378,822
Language Line LLC, Tranche B Term Loan, 6/20/16 829,201 $829,547
LB-UBS Commercial Mortgage Trust 2004-C1, 4.568%, 1/15/31 1,000,000 $105,620
LB-UBS Commercial Mortgage Trust 2006-C1 REMICS, 5.156%, 2/15/31 5,465,000 $4,616,998
Lcm Flt% 15apr22 10ar-Ar 500,000 $500,806
Leaf Receivables Funding 8 LLC, 1.55%, 11/15/17 (144A) 5,310,000 $2,217,142
Lehman ABS Manufactured Housing Contract Trust 2002-A, Floating Rate Note, 6/15/33 3,950,000 $148,726
Lehman Brothers Small Balance Commercial, Floating Rate Note, 2/25/30 (144A) 13,978,771 $1,756,811
Lehman Brothers Small Balance Commercial, Floating Rate Note, 4/25/31 (144A) 6,464,393 $956,614
Lehman Brothers Small Balance Commercial, Floating Rate Note, 4/25/31 (144A) 17,333,137 $2,034,389
Lehman Brothers Small Balance Commercial, Floating Rate Note, 9/25/30 (144A) 10,731,472 $1,633,031
Lehman Brothers Small Balance Commercial Mortgage Trust 2007-3, Floating Rate Note, 10/25/37 (144A) 2,211,066 $1,368,234
Lehman Brothers Small Balance Commercial Mortgage Trust 2007-3, Floating Rate Note, 10/25/37 (144A) 4,405,200 $896,720
Lehman XS Trust Series 2005-2, Floating Rate Note, 8/25/35 42,014,000 $2,419,310
Level 3 Financing Inc 1st Lien Tl-B2 L + 2.75% 31may22 1,000,000 $994,063
LG&E and KU Energy LLC, 2.125%, 11/15/15 2,500,000 $2,516,033
Live Nation Entertainment, Inc., Term B-1 Loan, 8/17/20 764,385 $765,493
Livingston International, Inc., Initial Term B-1 Loan (First Lien), 4/18/19 490,000 $485,713
Lloyds Bank Plc, Floating Rate Note, 5/14/18 2,500,000 $2,506,248
Lockwood Grove CLO, Ltd., Floating Rate Note, 1/25/24 (144A) 2,500,000 $2,516,521
Longpoint Re, Ltd. III, Floating Rate Note, 5/18/16 (Cat Bond) (144A) 1,910,000 $1,912,770
Longpoint Re, Ltd. III, Floating Rate Note, 5/24/21 (Cat Bond) (144A) 750,000 $743,850
Louisiana Public Facilities Authority, Floating Rate Note, 4/26/27 1,250,000 $895,677
LSTAR Securities Investment Trust 2015-5, Floating Rate Note, 4/1/20 (144A) 5,000,000 $4,858,602
Madison Avenue Manufactured Housing Contract Trust 2002-A, Floating Rate Note, 3/25/32 1,000,000 $156,904
MALLINCKRODT INTERNATIONAL FINANCE SA, Initial Term B Loan, 3/6/21 962,813 $960,029
Manufactured Housing Contract Trust Pass-Through Certificates Series 2001-1, Floating Rate Note, 4/2 9,286,000 $712,941
Manufacturers & Traders Trust Co., Floating Rate Note, 1/30/17 2,710,000 $2,706,826
Manufacturers & Traders Trust Co., Floating Rate Note, 7/25/17 2,400,000 $2,387,733
Manulife Financial Corp., 3.4%, 9/17/15 4,740,000 $4,785,288
Marathon Oil Corp., 0.9%, 11/1/15 6,604,000 $6,612,262
MassMutual Global Funding II, 3.125%, 4/14/16 (144A) 7,060,000 $7,235,109
MassMutual Global Funding II, Floating Rate Note, 12/11/15 (144A) 3,290,000 $3,291,741
Master Credit Card Trust II, Floating Rate Note, 1/22/18 (144A) 1,825,000 $1,826,397
MASTR Adjustable Rate Mortgages Trust 2003-3, Floating Rate Note, 9/25/33 2,650,000 $711,810
MASTR Adjustable Rate Mortgages Trust 2004-11, Floating Rate Note, 11/25/34 5,400,000 $1,357,274
MASTR Alternative Loan Trust 2005-1, Floating Rate Note, 2/25/35 21,274,000 $1,474,195
Mastr Asset Backed Securities Trust 2006-AB1 REMICS, Floating Rate Note, 2/25/36 12,307,204 $1,791,992
Mastr Asset Backed Securities Trust 2006-NC1, Floating Rate Note, 1/25/36 23,055,603 $1,879,893
MASTR Asset Securitization Trust 2003-6, Floating Rate Note, 7/25/18 7,302,000 $163,584
Mastr Specialized Loan Trust, Floating Rate Note, 1/25/36 (144A) 51,217,354 $3,679,223
MCC Iowa LLC, Tranche G Term Loan, 1/20/20 729,375 $730,591
Mcdermott International Inc 1st Lien Tl-B L + 4.25% 11apr19 495,000 $470,250
McKesson Corp., 3.25%, 3/1/16 2,993,000 $3,065,239
McKesson Corp., Floating Rate Note, 9/10/15 6,580,000 $6,582,092
Medco Health Solutions, Inc., 2.75%, 9/15/15 6,250,000 $6,326,383
Mediacom Illinois LLC, Tranche F Term Loan, 3/31/18 1,382,500 $1,380,195
Medtronic, Inc., 4.75%, 9/15/15 5,040,000 $5,151,621
Mercedes Benz Auto Lease Trust 2014-A, Floating Rate Note, 6/15/16 1,900,000 $643,637
Merck & Co, Inc., 0.7%, 5/18/16 2,045,000 $2,046,649
Merck & Co, Inc., Floating Rate Note, 2/10/17 2,500,000 $2,502,758
Merck & Co, Inc., Floating Rate Note, 5/18/16 500,000 $500,866
Merna Reinsurance, Ltd., Floating Rate Note, 4/9/18 (Cat Bond) (144A) 1,000,000 $1,001,724
Merna Re V, Ltd., Floating Rate Note, 4/7/17 (Cat Bond) (144A) 2,000,000 $2,000,822
Merrill Lynch Mortgage Investors Trust Series 2005-2, Floating Rate Note, 10/25/35 2,600,000 $589,331
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-A, Floating Rate Note, 3/25/28 48,813,000 $1,439,143
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-B, Floating Rate Note, 4/25/28 32,661,000 $1,370,002
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-C, Floating Rate Note, 6/25/28 44,308,430 $1,408,494
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-C REMICS, Floating Rate Note, 6/25/28 42,262,000 $1,833,876
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-E, Floating Rate Note, 10/25/28 38,289,000 $1,627,560
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-G, Floating Rate Note, 1/25/29 16,556,000 $230,319
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-H, Floating Rate Note, 1/25/29 25,646,400 $1,278,539
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-A REMICS, Floating Rate Note, 4/25/29 36,167,206 $1,744,252
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-B, Floating Rate Note, 5/25/29 12,160,000 $397,109
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-C, Floating Rate Note, 7/25/29 41,778,000 $1,782,844
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-C, Floating Rate Note, 7/25/29 3,866,000 $114,814
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-D, Floating Rate Note, 9/25/29 11,000,000 $701,006
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-E, Floating Rate Note, 11/25/29 58,549,000 $2,774,357
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-G, Floating Rate Note, 1/25/30 16,401,000 $911,246
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-G, Floating Rate Note, 1/25/30 64,515,401 $2,396,677
Merrill Lynch Mortgage Investors Trust Series MLCC 2005-A, Floating Rate Note, 3/25/30 40,482,746 $2,221,756
Merrill Lynch Mortgage Trust 2005-CKI1, Floating Rate Note, 11/12/37 7,925,000 $756,141
Merrill Lynch Mortgage Trust 2005-LC1, Floating Rate Note, 1/12/44 6,177,508 $5,008,262
MetroCat Re, Ltd., Floating Rate Note, 8/5/16 (Cat Bond) (144A) 1,500,000 $1,519,388
Metropolitan Life Global Funding I, 3.125%, 1/11/16 (144A) 690,000 $709,392
Metropolitan Life Global Funding I, Floating Rate Note, 7/15/16 (144A) 2,500,000 $2,515,634
MGM Resorts International, Term B Loan, 12/20/19 1,218,750 $1,212,403
Michaels Stores, Inc., Term B Loan, 1/28/20 980,000 $978,264
Micro Focus Us Inc 1st Lien Tl-B L + 4.25% 07oct21 205,882 $206,544
Microsemi Corp., Term Loan (2014), 3/14/21 116,543 $116,718
Milacron Llc 1st Lien Tl-B L + 3.5% 28sep20 686,070 $688,214
Mirror BidCo Corp., New Incremental Term Loan, 12/18/19 1,001,371 $1,000,537
Mizuho 0.27% 08sep15 Usd 6,500,000 $6,501,491
Mizuho Bank, Ltd., Floating Rate Note, 3/26/18 (144A) 1,670,000 $1,673,766
Mizuho Bank, Ltd., Floating Rate Note, 4/16/17 (144A) 2,000,000 $1,998,261
Mlcc Flt% 25jan29 03-G 14,411,000 $757,355
Mlmi Flt% 25dec35 05-A9-2a1b 8,654,000 $2,637,701
MMCA Auto Owner Trust 2012-A, 3.27%, 7/16/18 (144A) 1,150,000 $1,160,324
Monitronics International, Inc., Term B Loan (2013), 3/23/18 90,966 $91,175
Morgan Stanley, 1.75%, 2/25/16 1,300,000 $1,313,254
Morgan Stanley, Floating Rate Note, 1/5/18 2,700,000 $2,709,017
Morgan Stanley, Floating Rate Note, 10/15/15 1,598,000 $1,601,892
Morgan Stanley, Floating Rate Note, 2/25/16 4,350,000 $4,380,363
Morgan Stanley, Floating Rate Note, 8/30/15 685,000 $689,139
Morgan Stanley ABS Capital I Inc Trust 2004-SD3, Floating Rate Note, 6/25/34 (144A) 41,830,000 $1,244,874
Morgan Stanley ABS Capital I Inc Trust 2005-HE3, Floating Rate Note, 7/25/35 95,000 $24,787
Morgan Stanley ABS Capital I Inc Trust 2005-HE6, Floating Rate Note, 11/25/35 960,000 $283,984
Morgan Stanley ABS Capital I Inc Trust 2005-NC2, Floating Rate Note, 3/25/35 2,854,027 $1,570,655
Morgan Stanley ABS Capital I Inc Trust 2005-WMC3, Floating Rate Note, 3/25/35 131,174 $59,077
Morgan Stanley Capital I Trust 2005-IQ10, Floating Rate Note, 9/15/42 2,910,000 $66,771
Morgan Stanley Capital I Trust 2006-HQ9, Floating Rate Note, 7/12/44 3,200,000 $3,334,878
Morgan Stanley Capital I Trust 2006-TOP21, Floating Rate Note, 10/12/52 1,960,000 $1,943,369
Morgan Stanley Capital I Trust 2006-TOP23, Floating Rate Note, 8/12/41 2,450,000 $2,274,591
Morgan Stanley Capital I Trust 2007-TOP25, Floating Rate Note, 11/12/49 1,650,000 $1,676,436
Morgan Stanley Capital I Trust 2015-XLF1, Floating Rate Note, 8/14/31 (144A) 3,860,000 $3,863,830
Morgan Stanley Mortgage Loan Trust 2005-5AR, Floating Rate Note, 9/25/35 38,687,000 $2,561,425
Morgan Stanley Mortgage Loan Trust 2005-6AR, Floating Rate Note, 11/25/35 6,309,000 $544,129
Morgan Stanley Mortgage Loan Trust 2005-6AR, Floating Rate Note, 11/25/35 14,045,000 $1,823,281
Morgan Stanley Structured Trust, Floating Rate Note, 6/25/37 2,400,000 $211,387
MortgageIT Trust 2004-1, Floating Rate Note, 11/25/34 21,071,000 $2,463,373
MortgageIT Trust 2004-2, Floating Rate Note, 12/25/34 41,395,000 $5,666,881
MortgageIT Trust 2005-2, Floating Rate Note, 5/25/35 8,495,000 $1,466,781
MOTOR 2015-1 Plc, Floating Rate Note, 6/27/22 (144A) 2,600,000 $2,598,034
Mpg Holdco I Inc Us 1st Lien Tl-B L + 3.5% 13oct21 1,275,564 $1,276,091
Mqgau Flt% 27oct17 144a 2,500,000 $2,508,589
Mqgau Flt% 31jan17 144a 1,210,000 $1,218,289
MRFC Mortgage Pass-Through Trust Series 1999-TBC2 REMICS, Floating Rate Note, 6/15/30 66,327,303 $3,489,521
MRFC Mortgage Pass-Through Trust Series 2000-TBC3, Floating Rate Note, 12/15/30 24,150,000 $1,080,914
MUFG Americas Holdings Corp., Floating Rate Note, 2/9/18 2,425,000 $2,430,950
MUFG Union Bank NA, Floating Rate Note, 9/26/16 6,200,000 $6,226,451
MultiCat Mexico, Ltd. 2012-I Class A, Floating Rate Note, 6/4/16 (Cat Bond) (144A) 1,750,000 $1,763,242
Multi Packaging Solutions, Inc., Initial Dollar Tranche B Term, 9/30/20 172,813 $172,524
Mythen Re, Ltd. Series 2012-2 Class A, Floating Rate Note, 1/5/17 (Cat Bond) (144A) 2,250,000 $2,309,111
Mythen Re, Ltd. Series 2012-2 Class A, Floating Rate Note, 11/10/16 (Cat Bond) (144A) 500,000 $511,513
Mythen Re, Ltd. Series 2013-1 Class B, Floating Rate Note, 7/9/15 (Cat Bond) (144A) 2,500,000 $2,546,361
National Australia Bank, Ltd., Floating Rate Note, 3/17/17 (144A) 1,950,000 $1,954,253
National City Bank Cleveland Ohio, Floating Rate Note, 12/15/16 2,850,000 $2,844,305
National Mentor Holdings, Inc., Tranche B Term Loan, 1/31/21 500,000 $500,000
National Rural Utilities Cooperative Finance Corp., Floating Rate Note, 11/23/16 1,800,000 $1,803,148
Nations Equipment Finance Funding II LLC, 1.558%, 7/20/18 (144A) 2,100,000 $1,100,501
Nationstar Home Equity Loan Trust 2007-A, Floating Rate Note, 3/25/37 1,000,000 $463,521
Navios Maritime Partners LP, Term Loan, 6/27/18 1,405,726 $1,404,847
Navitas Equipment Receivables LLC 2013-1, 1.95%, 11/15/16 1,750,000 $498,678
NBCUniversal Enterprise, Inc., Floating Rate Note, 4/15/16 (144A) 3,744,000 $3,761,243
NBCUniversal Enterprise, Inc., Floating Rate Note, 4/15/18 (144A) 1,300,000 $1,308,573
NBTY, Inc., Term B-2 Loan, 10/1/17 400,000 $398,000
NCF Dealer Floorplan Master Trust, Floating Rate Note, 10/20/20 (144A) 3,000,000 $3,001,546
NCUA Guaranteed Notes Trust, Floating Rate Note, 10/7/20 2,040,000 $902,853
NCUA Guaranteed Notes Trust, Floating Rate Note, 11/6/17 7,690,000 $2,631,468
NCUA Guaranteed Notes Trust, Floating Rate Note, 12/8/20 410,000 $269,667
NCUA Guaranteed Notes Trust, Floating Rate Note, 3/11/20 2,035,000 $944,302
NCUA Guaranteed Notes Trust, Floating Rate Note, 4/6/20 5,835,000 $1,022,008
NCUA Guaranteed Notes Trust REMICS, Floating Rate Note, 12/8/20 1,330,000 $860,824
NCUA Guaranteed Notes Trust REMICS, Floating Rate Note, 3/2/21 2,700,000 $1,119,179
Nelnet Student Loan Trust 2005-1, Floating Rate Note, 10/26/20 1,795,000 $311,062
NEP, Amendment No. 4 Incremental Term Loan (First Lien), 1/22/20 611,031 $604,310
New Albertsons Inc 1st Lien Tl L + 3.75% 24jun21 496,250 $497,553
New Century Home Equity Loan Trust 2005-1, Floating Rate Note, 3/25/35 5,042,000 $796,662
NewStar Commercial Loan Trust 2007-1, Floating Rate Note, 9/30/22 (144A) 2,000,000 $574,449
Newstar Trust, Floating Rate Note, 1/20/23 (144A) 750,000 $750,495
New York Life Global Funding, 0.75%, 7/24/15 (144A) 3,550,000 $3,561,984
New York Life Global Funding, Floating Rate Note, 12/15/17 (144A) 6,650,000 $6,672,316
New York Life Global Funding, Floating Rate Note, 5/23/16 (144A) 3,150,000 $3,162,131
Nissan Auto Receivables 2013-A Owner Trust, 0.5%, 5/15/17 3,400,000 $1,192,867
Nissan Motor Acceptance Corp., 1.0%, 3/15/16 (144A) 1,300,000 $1,301,235
Nissan Motor Acceptance Corp., Floating Rate Note, 3/3/17 (144A) 2,000,000 $2,008,571
Nissan Motor Acceptance Corp., Floating Rate Note, 9/26/16 (144A) 1,500,000 $1,507,373
Nmrr Flt% 26jun47 11-4r-4a16 8,098,000 $3,946,395
Nn Inc 1st Lien Tl-B L + 5% 18jul21 1,200,893 $1,206,883
Nomura Asset Acceptance Corp Alternative Loan Trust Series 2004-AR4, Floating Rate Note, 12/25/34 1,170,000 $105,084
Nomura Asset Acceptance Corp Alternative Loan Trust Series 2005-WF1, 4.786%, 3/25/35 735,000 $32,732
Nomura Home Equity Loan Inc Home Equity Loan Trust Series 2006-HE1, Floating Rate Note, 2/25/36 1,700,000 $71,214
Noranda Aluminum Acquisition Corp., Term B Loan, 2/28/19 116,100 $97,524
Nordea Bank AB, 0.875%, 5/13/16 (144A) 2,650,000 $2,659,020
Nordea Bank AB, Floating Rate Note, 4/4/17 (144A) 2,175,000 $2,179,751
Nordea Bank AB, Floating Rate Note, 5/13/16 (144A) 2,700,000 $2,711,979
Nordea Bank Finland Plc New York, Floating Rate Note, 6/13/16 2,225,000 $2,225,634
Northshore Re, Ltd., Floating Rate Note, 7/5/16 (Cat Bond) (144A) 2,250,000 $2,320,484
NorthStar 2013-1, Floating Rate Note, 8/27/29 (144A) 2,784,000 $1,807,363
NovaStar Mortgage Funding Trust Series 2003-1, Floating Rate Note, 5/25/33 19,881,000 $398,267
NovaStar Mortgage Funding Trust Series 2004-4, Floating Rate Note, 3/25/35 2,443,000 $2,403,270
NovaStar Mortgage Funding Trust Series 2004-4, Floating Rate Note, 3/25/35 4,100,000 $951,846
Novelis Inc 1st Lien Tl-B L + 3.25% 28may22 1,415,742 $1,410,433
NPC International, Inc., Term Loan, 12/28/18 154,800 $154,123
NRG Energy, Inc., 8.25%, 9/1/20 1,250,000 $1,343,750
NRG Energy, Inc., Term Loan (2013), 7/1/18 1,164,510 $1,156,723
Nsany Cp Zero% 06jul15 Usd 2,500,000 $2,499,900
NSG Holdings LLC, New Term Loan, 12/11/19 1,500,874 $1,497,122
NSTAR Electric Co., Floating Rate Note, 5/17/16 1,013,000 $1,011,437
Numericable Sfr Us 1st Lien Tl-B2 L + 3.75% 23apr20 230,763 $231,655
Numericable Us Llc 1st Lien Tl-B1 L + 3.75% 23apr20 266,737 $267,767
NYCTL 2014-A Trust, 1.03%, 11/10/27 (144A) 6,400,000 $2,295,803
Oak Hill Advisors Residential Loan Trust 2014-NPL1, 2.8828%, 5/25/54 (Step) (144A) 1,810,000 $932,838
OAK Hill Advisors Residential Loan Trust 2014-NPL2, 3.475%, 4/25/54 (Step) (144A) 3,490,000 $3,229,489
Ocwen Loan Servicing LLC, Initial Term Loan, 2/15/18 1,012,071 $1,010,015
Offshore Group Investment, Ltd., Second Term Loan, 3/28/19 62,848 $38,848
On Assignment Inc 1st Lien Tl-B L + 3% 05jun22 775,204 $777,303
Opmac Flt% 25nov35 05-4-1a2 28,962,000 $4,909,812
Opteum Mortgage Acceptance Corp Trust 2005-4, Floating Rate Note, 11/25/35 25,178,000 $4,348,237
Option One Mortgage Loan Trust 2005-1, Floating Rate Note, 2/25/35 10,220,000 $2,534,684
Option One Mortgage Loan Trust 2005-4 Asset-Backed Certificates Series 2005-4, Floating Rate Note, 1 20,500,508 $1,310,422
Option One Mortgage Loan Trust 2007-FXD2, 5.9%, 3/25/37 (Step) 810,000 $37,598
Option One Woodbridge Loan Trust 2002-1, Floating Rate Note, 3/25/32 (144A) 6,512,459 $838,606
Oracle Corp., 5.25%, 1/15/16 2,900,000 $3,045,477
Oracle Corp., Floating Rate Note, 7/7/17 1,937,000 $1,938,752
Orbital ATK, Inc., Term B Loan, 10/22/20 393,505 $394,403
ORES 2014-LV3 LLC, 3.0%, 3/27/24 (144A) 2,250,000 $1,083,227
ORES NPL 2013-LV2 LLC, 3.081%, 9/25/25 (144A) 1,558,000 $434,003
Origen Manufactured Housing Contract Trust 2004-B, Floating Rate Note, 11/15/35 1,240,000 $938,228
Oscar US Funding Trust 2014-1, 1.0%, 8/15/17 (144A) 2,500,000 $2,295,861
Oscar US Funding Trust II, Floating Rate Note, 2/15/18 (144A) 1,600,000 $1,600,630
Outfront Media Capital LLC, Term Loan, 1/15/21 1,629,423 $1,626,537
Ownit Mortgage Loan Trust Series 2005-5, Floating Rate Note, 10/25/36 3,827,500 $511,809
PACCAR Financial Corp., Floating Rate Note, 6/6/17 1,290,000 $1,291,008
Pangaea Zero% 01jul18 2,300,000 $41,400
Paragon Offshore Finance Co Tl-B L + 2.75% 11jul21 868,438 $670,145
Park Place Securities Inc Asset-Backed Pass-Through Certificates Series 2004-MCW, Floating Rate Note 1,150,000 $314,130
Park Place Securities Inc Asset-Backed Pass-Through Certificates Series 2004-WCW, Floating Rate Note 2,800,000 $1,025,172
Park Place Securities Inc Asset-Backed Pass-Through Ctfs Ser 2004-WHQ2, Floating Rate Note, 1/25/35 3,100,000 $1,465,768
Park Place Securities Inc Asset-Backed Pass-Through Ctfs Ser 2005-WHQ4, Floating Rate Note, 9/25/35 6,230,000 $245,295
Park Place Securities Inc Asset-Backed Pass-Through Ctfs Ser 2005-WHQ4, Floating Rate Note, 9/25/35 8,206,169 $2,037,705
Par Pharmaceutical Companies, Inc., Term B-2 Loan, 9/28/19 1,462,412 $1,462,870
Par Pharmaceutical Cos Inc 1st Lien Tl-B3 L + 3.25% 28sep19 497,500 $497,811
Pepau Flt% 12jun16 14 3,500,000 $3,500,105
Pepper Residential Securities Trust, Floating Rate Note, 4/10/16 (144A) 2,000,000 $2,000,597
Pepper Residential Securities Trust, Floating Rate Note, 7/24/15 (144A) 2,000,000 $2,000,135
PepsiCo, Inc., Floating Rate Note, 2/26/16 3,460,000 $3,466,048
Permanent Master Issuer Plc, Floating Rate Note, 7/15/42 (144A) 887,000 $891,928
PF Chang's China Bistro, Inc., Term Borrowing, 7/2/19 832,741 $823,893
Pfizer, Inc., Floating Rate Note, 5/15/17 2,100,000 $2,101,397
PFS Financing Corp., Floating Rate Note, 10/15/19 (144A) 1,700,000 $1,695,391
PFS Financing Corp., Floating Rate Note, 10/15/19 (144A) 1,400,000 $1,394,737
PFS Financing Corp., Floating Rate Note, 2/15/18 (144A) 3,240,000 $3,237,981
PFS Financing Corp., Floating Rate Note, 2/15/19 (144A) 3,490,000 $3,484,022
PFS Financing Corp., Floating Rate Note, 4/15/20 (144A) 950,000 $950,162
PFS Tax Lien Trust 2014-1, 1.44%, 5/15/29 1,300,000 $793,892
PHARMEDIUM HEALTHCARE Corp., Initial Term Loan (First Lien), 1/23/21 255,300 $253,492
Pinnacle Entertainment, Inc., Tranche B-2 Term Loan, 8/13/20 180,437 $180,615
Pinnacle Foods Finance LLC, New Term Loan G, 4/29/20 1,158,833 $1,155,302
PNC Bank NA, 0.8%, 1/28/16 650,000 $653,125
PNC Bank NA, Floating Rate Note, 1/28/16 2,250,000 $2,254,776
PNC Bank NA, Floating Rate Note, 6/1/18 2,500,000 $2,496,419
Post Holdings Inc 1st Lien Tl-B L + 3% 23may21 990,003 $987,086
PQ Corp., 2014 Term Loan, 8/7/17 926,250 $926,482
Prestige Auto Receivables Trust 2013-1, 1.33%, 5/15/19 (144A) 350,000 $351,113
Prestige Auto Receivables Trust 2014-1, 0.97%, 3/15/18 (144A) 2,395,000 $1,161,925
Prestige Brands, Inc., Term B-3 Loan, 9/3/21 757,857 $757,857
Pricoa Global Funding I, Floating Rate Note, 5/16/16 (144A) 1,500,000 $1,500,556
Pricoa Global Funding I, Floating Rate Note, 6/24/16 (144A) 3,255,000 $3,242,070
Principal Life Global Funding II, 1.0%, 12/11/15 (144A) 3,770,000 $3,777,220
Principal Life Global Funding II, Floating Rate Note, 5/27/16 (144A) 2,530,000 $2,536,779
Progreso Receivables Funding III LLC, 3.625%, 1/30/25 (144A) 3,050,000 $3,057,064
Progreso Receivables Funding II LLC, 3.5%, 7/8/19 (144A) 4,750,000 $4,763,590
Progreso Receivables Funding I LLC, 4.0%, 7/9/18 (144A) 2,800,000 $2,810,656
Progressive Waste Solutions, Ltd., Term B Loan, 10/24/19 1,167,106 $1,171,839
Progress Residential 2015-SFR1 Trust, Floating Rate Note, 2/20/32 (144A) 3,000,000 $3,020,443
Prudential Financial, Inc., 3.0%, 5/12/16 2,500,000 $2,552,423
PSEG Power LLC, 2.75%, 9/15/16 2,500,000 $2,570,393
PVH Corp., Tranche B Term Loan, 2/13/20 979,662 $985,377
Quebecor Media, Inc., Facility B-1 Tranche, 8/17/20 494,962 $488,311
Queen City Re, Floating Rate Note, 1/6/19 (Cat Bond) (144A) 1,750,000 $1,704,189
Queen Street VII Re, Ltd., Floating Rate Note, 4/8/16 (Cat Bond) (144A) 1,750,000 $1,764,263
Queen Street X RE, Ltd., Floating Rate Note, 6/8/18 (Cat Bond) (144A) 1,000,000 $978,738
Quest Trust REMICS, Floating Rate Note, 3/25/34 (144A) 95,089,092 $3,254,694
Quikrete Holdings, Inc., Initial Loan (First Lien), 9/26/20 852,173 $853,593
RAAC Series 2005-RP1 Trust, Floating Rate Note, 7/25/37 (144A) 2,130,580 $893,924
RAAC Series 2005-RP2 Trust, Floating Rate Note, 6/25/35 (144A) 4,005,000 $181,265
RAAC Series 2005-RP3 Trust, Floating Rate Note, 5/25/39 (144A) 2,000,000 $1,250,760
RAAC Series 2006-RP1 Trust, Floating Rate Note, 10/25/45 (144A) 15,300,000 $238,637
RAAC Series 2006-RP2 Trust, Floating Rate Note, 2/25/37 (144A) 26,822,396 $2,125,831
RAIT 2014-FL2 Trust, Floating Rate Note, 5/15/31 (144A) 5,200,000 $5,155,200
RAIT 2014-FL3 Trust, Floating Rate Note, 12/15/31 (144A) 3,774,000 $3,696,390
RALI Series 2002-QS16 Trust, Floating Rate Note, 10/25/17 5,500,000 $67,098
RALI Series 2003-QS10 Trust, Floating Rate Note, 5/25/33 38,865,000 $617,578
RALI Series 2003-QS11 Trust, Floating Rate Note, 6/25/33 44,273,266 $1,811,371
RALI Series 2003-QS22 Trust, Floating Rate Note, 12/26/33 8,400,000 $767,186
RALI Series 2003-QS5 Trust, Floating Rate Note, 3/25/18 30,000,000 $730,554
RALI Series 2003-QS9 Trust, Floating Rate Note, 5/25/18 34,469,500 $984,054
RALI Series 2004-QR1 Trust, 5.25%, 10/25/34 66,901,390 $59,136
RALI Series 2004-QS5 Trust, 4.75%, 4/25/34 12,155,000 $478,494
RALI Series 2004-QS5 Trust, Floating Rate Note, 4/25/34 12,006,021 $479,860
RALI Series 2005-QA1 Trust, Floating Rate Note, 1/25/35 32,767,000 $3,022,307
RAMP Series 2004-RS11 Trust, Floating Rate Note, 11/25/34 3,805,000 $870,634
RAMP Series 2004-RZ1 Trust, Floating Rate Note, 3/25/34 20,100,000 $1,397,124
RAMP Series 2005-EFC4 Trust, Floating Rate Note, 9/25/35 12,260,000 $1,875,706
RAMP Series 2005-RS6 Trust, Floating Rate Note, 6/25/35 1,393,325 $494,602
RAMP Series 2005-RZ4 Trust, Floating Rate Note, 11/25/35 5,095,050 $3,412,322
RAMP Series 2006-NC1 Trust, Floating Rate Note, 12/25/35 6,100,000 $224,603
RAMP Series 2006-RZ3 Trust, Floating Rate Note, 10/25/35 10,534,000 $1,766,678
RASC Series 2004-KS10 Trust, Floating Rate Note, 11/25/34 82,085,000 $1,888,059
RASC Series 2005-KS3 Trust, Floating Rate Note, 4/25/35 829,000 $122,712
RASC Series 2005-KS5 Trust, Floating Rate Note, 6/25/35 1,500,000 $379,770
Raymond James Financial, Inc., 4.25%, 4/15/16 7,409,000 $7,660,648
Rbshd Flt% 25oct47 13-1a-A 3,600,000 $2,335,802
RBSSP Resecuritization Trust 2009-5, Floating Rate Note, 8/25/37 (144A) 7,810,000 $2,269,245
Regatta Funding, Ltd., Floating Rate Note, 6/15/20 (144A) 2,000,000 $361,331
RegionalCare Hospital Partners, Inc., Term Loan (First Lien), 4/21/19 490,059 $490,366
RENT-A-CENTER, INC, Term Loan (2014), 2/6/21 1,732,500 $1,728,169
Residential Asset Securitization Trust 2003-A15, Floating Rate Note, 2/25/34 10,120,000 $510,014
Residential Asset Securitization Trust 2003-A2, Floating Rate Note, 5/25/33 9,443,647 $323,251
Residential Reinsurance 2011, Ltd., Floating Rate Note, 6/6/17 (Cat Bond) (144A) 1,500,000 $1,485,579
Residential Reinsurance 2012, Ltd., Floating Rate Note, 12/6/16 (Cat Bond) (144A) 2,900,000 $2,936,758
Residential Reinsurance 2012, Ltd., Floating Rate Note, 12/6/16 (Cat Bond) (144A) 1,500,000 $1,530,710
Residential Reinsurance 2012, Ltd., Floating Rate Note, 12/6/16 (Cat Bond) (144A) 1,000,000 $1,048,646
Residential Reinsurance 2012, Ltd., Floating Rate Note, 6/6/16 (Cat Bond) (144A) 900,000 $935,090
Residential Reinsurance 2012, Ltd., Floating Rate Note, 6/6/16 (Cat Bond) (144A) 750,000 $786,492
Residential Reinsurance 2013, Ltd., Floating Rate Note, 6/6/17 (Cat Bond) (144A) 850,000 $880,438
Residential Reinsurance 2014, Ltd., Floating Rate Note, 6/6/18 (Cat Bond) (144A) 750,000 $756,773
RESI Finance LP 2003-CB1, Floating Rate Note, 7/9/35 8,332,000 $1,964,402
Resi Flt% 12dec45 A1 3,000,000 $2,376,329
Resource Capital Corp 2014-CRE2, Ltd., Floating Rate Note, 4/15/32 (144A) 4,920,000 $4,897,333
Resource Capital Corp CRE Notes 2013, Ltd., Floating Rate Note, 6/15/16 (144A) 3,000,000 $3,004,737
Restaurant Brands 1st Lien Tl-B L + 2.75% 12dec21 470,566 $470,860
Revlon Consumer Products Corp., Acquisition Term Loan, 8/19/19 362,733 $363,356
Revlon Consumer Products Corp., Replacement Term Loan, 11/19/17 958,583 $958,983
RFSC Series 2003-RP2 Trust, Floating Rate Note, 7/25/41 (144A) 2,000,000 $22,002
Rial 3% 25dec32 15-Lt7 3,200,000 $3,199,628
Rialto Capital Management LLC, 2.85%, 5/15/24 (144A) 2,000,000 $404,630
Rio Tinto Finance USA Plc, Floating Rate Note, 6/17/16 1,130,000 $1,133,363
Riverfront Re, Ltd., Floating Rate Note, 1/6/17 (Cat Bond) (144A) 1,000,000 $986,122
Rovi Solutions Corp 1st Lien Tl-B L + 3% 02jul21 1,015,769 $1,009,897
Royal Bank of Canada, 0.8%, 10/30/15 1,300,000 $1,303,385
Royal Bank of Canada, Floating Rate Note, 1/23/17 1,875,000 $1,878,298
Royal Bank of Canada, Floating Rate Note, 10/13/17 2,500,000 $2,502,895
Royal Bank of Canada, Floating Rate Note, 12/16/15 1,800,000 $1,800,956
Royal Bank of Canada, Floating Rate Note, 6/16/17 2,200,000 $2,196,832
Royal Bank of Canada, Floating Rate Note, 9/9/16 2,000,000 $2,007,424
RPI Finance Trust, 5/9/18 0 $0
RPI Finance Trust, Term B-3 Term Loan, 11/9/18 619,200 $621,445
RPI Finance Trust, Term B-4 Term Loan, 11/9/20 1,007,013 $1,009,027
Salomon Brothers Mortgage Securities VII, Inc., Floating Rate Note, 3/25/28 49,537,000 $61,519
Salomon Mortgage Loan Trust Series 2001-CB4, Floating Rate Note, 11/25/33 4,754,000 $113,324
Sanders Re, Ltd., Floating Rate Note, 5/25/18 (Cat Bond) (144A) 1,000,000 $971,283
Sanders Re, Ltd., Floating Rate Note, 5/5/17 (Cat Bond) (144A) 1,250,000 $1,233,514
Sanders Re, Ltd., Floating Rate Note, 5/5/17 (Cat Bond) (144A) 2,500,000 $2,457,618
Sanders Re, Ltd., Floating Rate Note, 6/7/17 (Cat Bond) (144A) 3,000,000 $2,976,425
San Diego Gas & Electric Co., 5.3%, 11/15/15 2,500,000 $2,557,516
San Diego Gas & Electric Co., Floating Rate Note, 3/9/17 2,500,000 $2,494,398
SASCO Mortgage Loan Trust 2005-GEL1, Floating Rate Note, 12/25/34 1,590,000 $977,342
SASCO Mortgage Loan Trust 2005-GEL2, Floating Rate Note, 4/25/35 28,476,673 $309,027
Saxon Asset Securities Trust 2005-3, Floating Rate Note, 11/25/35 1,945,000 $1,631,919
Saxon Asset Securities Trust 2005-4, Floating Rate Note, 11/25/37 31,986,000 $1,134,201
SBA Senior Finance II LLC, Incremental Tranche B-1 Term Loan, 3/31/21 594,000 $589,628
Schaeffler (Aka Ina Beteiligungsge 1st Lien Tl-B L + 3.5% 15may20 1,489,642 $1,500,038
Scientific Games International Inc 1st Lien Tl-B2 L + 5% 17sep21 1,990,000 $1,991,017
Seadrill Operating LP, Initial Term Loan, 2/14/21 2,708,750 $2,057,683
Seb Cp Zero% 16jul15 Usd 6,230,000 $6,229,801
Seb Flt% 04jan16 2,575,000 $2,580,247
Sector Re V, Ltd., 0.0%, 12/1/19 (Cat Bond) (144A) 500,000 $527,150
Sector Re V, Ltd., 3/1/20 (Cat Bond) (144A) 1,250,000 $1,257,000
Select Medical Corp., Series E Tranche B Term Loan, 6/1/18 227,883 $227,952
Selene Non-Performing Loans LLC, 2.9814%, 5/25/54 (Step) (144A) 3,530,000 $2,860,066
Seminole Hard Rock Entertainment, Inc., New Term Loan B, 5/14/20 588,000 $587,143
Sensata Technologies 1st Lien L + 2.25% 14oct21 1,934,313 $1,943,121
Sequoia Mortgage Trust 10, Floating Rate Note, 10/20/27 9,100,000 $156,249
Sequoia Mortgage Trust 2003-2, Floating Rate Note, 6/20/33 13,961,000 $455,177
Sequoia Mortgage Trust 2003-5, Floating Rate Note, 9/20/33 52,500,000 $2,169,052
Sequoia Mortgage Trust 2003-8, Floating Rate Note, 1/20/34 5,750,000 $248,751
Sequoia Mortgage Trust 2004-10, Floating Rate Note, 11/20/34 5,055,000 $497,436
Sequoia Mortgage Trust 2004-7, Floating Rate Note, 8/20/34 8,500,000 $339,763
Sequoia Mortgage Trust 2005-1, Floating Rate Note, 2/20/35 12,303,000 $1,041,553
Sequoia Mortgage Trust 2005-1, Floating Rate Note, 2/20/35 34,411,748 $2,880,068
Sequoia Mortgage Trust 4, Floating Rate Note, 11/22/24 47,340,000 $1,075,242
Shell International Finance BV, Floating Rate Note, 11/15/16 1,500,000 $1,503,694
Ship Midco, Ltd., Facility B2A-II, 11/29/19 78,745 $79,287
Silver Bay Realty 2014-1 Trust, Floating Rate Note, 9/18/31 (144A) 3,778,000 $3,773,736
Sinclair Television Group, Inc., Incremental Tranche B-1 Term Loan, 7/22/21 1,000,000 $1,001,000
Sinclair Television Group, Inc., New Tranche B Term Loan, 4/19/20 1,328,172 $1,325,258
Six Flags Theme Parks, Inc., Tranche B Term Loan, 12/20/18 727,904 $729,610
Skandinaviska Enskilda Banken AB New York NY, Floating Rate Note, 9/21/15 2,500,000 $2,501,133
Small Business Administration Participation Certificates, 0.58%, 10/17/16 (144A) 900,000 $504,399
SMART ABS Series 2012-2US Trust, 1.59%, 10/14/16 (144A) 1,550,000 $304,662
SMART ABS Series 2013-1US Trust, Floating Rate Note, 9/14/16 1,785,000 $500,980
SMART ABS Series 2013-2US Trust, Floating Rate Note, 1/17/17 2,500,000 $1,292,684
SMART ABS Series 2014-1US Trust, Floating Rate Note, 7/14/16 2,500,000 $638,785
SMART ABS Series 2015-1US Trust, Floating Rate Note, 8/14/17 2,250,000 $2,250,676
SNAAC Auto Receivables Trust, 4.38%, 6/15/17 (144A) 1,800,000 $222,534
SNAAC Auto Receivables Trust 2014-1, 1.03%, 9/17/18 (144A) 839,000 $267,174
Soundview Home Loan Trust 2005-DO1, Floating Rate Note, 5/25/35 2,000,000 $1,604,519
Soundview Home Loan Trust 2005-OPT4, Floating Rate Note, 12/25/35 2,967,970 $689,231
Southwire Co., Initial Term Loan, 1/31/21 1,064,622 $1,062,626
Specialty Underwriting & Residential Finance Trust Series 2005-AB2, Floating Rate Note, 6/25/36 1,500,000 $392,344
Specialty Underwriting & Residential Finance Trust Series 2005-AB2, Floating Rate Note, 6/25/36 18,964,000 $646,468
Specialty Underwriting & Residential Finance Trust Series 2006-BC1, Floating Rate Note, 12/25/36 3,640,376 $3,530,037
Specialty Underwriting & Residential Finance Trust Series 2006-BC1, Floating Rate Note, 12/25/36 3,000,000 $300,488
Spectrum Brands Inc 1st Lien Tl L + 3% 16jun22 195,000 $195,691
Springleaf Funding Trust 2013-A, 2.58%, 9/15/21 (144A) 2,100,000 $1,236,667
Springleaf Mortgage Loan Trust 2012-3, Floating Rate Note, 12/26/59 (144A) 1,000,000 $360,746
Staples Inc 1st Lien Tl-B L + 2.75% 24apr21 1,000,000 $1,000,069
Starwood Property Trust, Inc., Term Loan (First Lien), 4/17/20 1,577,972 $1,572,712
State Street Bank & Trust Co., Floating Rate Note, 12/8/15 7,480,000 $7,478,032
State Street Corp., 2.875%, 3/7/16 3,750,000 $3,844,156
Statoil ASA, Floating Rate Note, 11/9/17 2,140,000 $2,132,361
Steward Health Care System LLC, Term Loan, 4/10/20 982,500 $975,745
St Jude Medical, Inc., 2.5%, 1/15/16 1,695,000 $1,732,588
Structured Adjustable Rate Mortgage Loan Trust, Floating Rate Note, 11/25/34 5,495,000 $471,251
Structured Adjustable Rate Mortgage Loan Trust, Floating Rate Note, 11/25/34 62,595,000 $2,966,052
Structured Adjustable Rate Mortgage Loan Trust, Floating Rate Note, 3/25/34 8,200,000 $405,659
Structured Adjustable Rate Mortgage Loan Trust, Floating Rate Note, 3/25/34 3,865,000 $524,741
Structured Adjustable Rate Mortgage Loan Trust, Floating Rate Note, 6/25/35 3,880,000 $27,949
Structured Adjustable Rate Mortgage Loan Trust, Floating Rate Note, 7/25/34 20,600,000 $2,190,047
Structured Asset Investment Loan Trust 2005-6, Floating Rate Note, 7/25/35 2,600,000 $1,972,629
Structured Asset Investment Loan Trust 2006-1, Floating Rate Note, 1/25/36 4,650,000 $906,591
Structured Asset Mortgage Investments II Trust 2004-AR1, Floating Rate Note, 3/19/34 16,800,000 $740,741
Structured Asset Mortgage Investments II Trust 2004-AR8, Floating Rate Note, 5/19/35 83,350,000 $4,009,919
Structured Asset Mortgage Investments Trust 2002-AR5, Floating Rate Note, 5/19/33 36,301,000 $1,670,843
Structured Asset Sec Corp Mort Pass Thr Certs Series 1998-8, Floating Rate Note, 8/25/28 37,025,000 $1,281,845
Structured Asset Securities Corp Mor Cer Ser 2003-31A, Floating Rate Note, 10/25/33 1,991,000 $160,731
Structured Asset Securities Corp Mortgage Loan Trust 2005-S7, Floating Rate Note, 12/25/35 (144A) 11,868,000 $1,200,775
Structured Asset Securities Corp Mortgage Loan Trust 2006-EQ1, Floating Rate Note, 7/25/36 5,000,000 $2,383,983
Structured Asset Securities Corp Mortgage Loan Trust 2006-GEL4, Floating Rate Note, 10/25/36 (144A) 5,557,000 $1,440,060
Structured Asset Securities Corp Mortgage Loan Trust 2007-TC1, Floating Rate Note, 4/25/31 (144A) 3,000,000 $926,932
Structured Asset Securities Corp Mortgage Pass-Through Certificates Ser 2004-S4, Floating Rate Note, 2,000,000 $142,103
Structured Asset Securities Corp Mortgage Pass-Through Ctfs Ser 2003-24A, Floating Rate Note, 7/25/3 8,050,000 $936,693
Structured Asset Securities Corp Mortgage Pass Through Ctfs Series 2003-35, Floating Rate Note, 12/2 3,944,000 $186,996
Structured Asset Securities Corp Trust 2005-14, Floating Rate Note, 7/25/35 3,899,641 $335,540
Sumfg 0.28% 02jul15 Usd 3,000,000 $3,002,840
Sumitomo Mitsui Banking Corp., Floating Rate Note, 7/19/16 1,500,000 $1,505,436
Sumitomo Mitsui Banking Corp. New York, Floating Rate Note, 5/2/17 1,715,000 $1,716,155
Sumitomo Mitsui Trust Bank, Ltd., Floating Rate Note, 9/16/16 (144A) 1,500,000 $1,503,925
Sunset Mortgage Loan Co 2014-NPL2 LLC, 3.721%, 11/16/44 (Step) (144A) 3,070,000 $2,326,780
SunTrust Bank, Floating Rate Note, 2/15/17 3,645,000 $3,644,796
Svenska Handelsbanken AB, Floating Rate Note, 3/21/16 4,735,000 $4,749,384
Svenska Handelsbanken AB, Floating Rate Note, 9/23/16 3,650,000 $3,662,749
Svenska Handelsbanken New York NY, Floating Rate Note, 8/17/16 2,500,000 $2,500,738
SWAY Residential 2014-1 Trust, Floating Rate Note, 1/20/32 (144A) 2,900,000 $2,876,429
Swift Transportation Co LLC, Tranche B Loan, 6/9/21 338,150 $339,488
Symphony CLO, Ltd., Floating Rate Note, 7/23/23 (144A) 3,050,000 $3,055,801
Syncreon Group BV, Term Loan, 9/26/20 197,000 $167,778
Syniverse Holdings, Inc., Tranche B Term Loan, 4/23/19 727,141 $688,966
TAL Advantage I LLC, Floating Rate Note, 4/20/21 (144A) 1,250,000 $103,680
TAL Advantage V LLC, 1.7%, 5/20/39 (144A) 1,400,000 $1,006,960
Tar Heel Re, Ltd., Floating Rate Note, 5/9/16 (Cat Bond) (144A) 1,500,000 $1,529,138
TECO Finance, Inc., Floating Rate Note, 4/10/18 1,665,000 $1,672,856
Telesat Canada, U.S. Term B-2 Loan, 3/28/19 657,063 $656,242
Tempur Sealy International, Inc., New Term B Loan, 3/18/20 415,796 $416,835
Terex Corp., U.S. Term Loan, 8/13/21 307,235 $307,734
Terra-Gen Power Llc 1st Lien Tl-B L + 4.25% 31dec21 1,329,429 $1,337,738
Terwin Mortgage Trust Series TMTS 2003-8HE, Floating Rate Note, 12/25/34 23,713,000 $719,564
Terwin Mortgage Trust Series TMTS 2005-10HE, Floating Rate Note, 6/25/36 4,868,753 $2,948,020
Tesoro Corp., Initial Term Loan, 5/30/16 795,000 $795,000
T Flt% 12feb16 1,735,000 $1,733,300
The Bank of New York Mellon Corp., 0.7%, 3/4/16 2,850,000 $2,856,316
The Bank of New York Mellon Corp., 2.5%, 1/15/16 835,000 $853,528
The Bank of New York Mellon Corp., Floating Rate Note, 10/23/15 3,533,000 $3,538,975
The Bank of New York Mellon Corp., Floating Rate Note, 3/4/16 3,275,000 $3,277,114
The Bank of Nova Scotia, Floating Rate Note, 12/13/16 1,800,000 $1,803,518
The Bank of Nova Scotia, Floating Rate Note, 3/15/16 3,255,000 $3,260,520
The Bank of Nova Scotia, Floating Rate Note, 7/15/16 1,500,000 $1,508,264
The Bank of Tokyo-Mitsubishi UFJ, Ltd., Floating Rate Note, 3/10/17 (144A) 1,000,000 $999,654
The Bank of Tokyo-Mitsubishi UFJ, Ltd., Floating Rate Note, 9/8/17 (144A) 2,525,000 $2,518,067
The Bear Stearns Companies LLC, Floating Rate Note, 11/21/16 2,465,000 $2,464,705
The Charles Schwab Corp., 0.85%, 12/4/15 8,285,000 $8,302,817
The GEO Group, Inc., Term Loan, 4/3/20 982,462 $984,918
The Goldman Sachs Group, Inc., 1.6%, 11/23/15 3,422,000 $3,439,596
The Goldman Sachs Group, Inc., 3.7%, 8/1/15 2,400,000 $2,442,083
The Goldman Sachs Group, Inc., Floating Rate Note, 3/22/16 4,300,000 $4,298,021
The Goldman Sachs Group, Inc., Floating Rate Note, 5/22/17 2,465,000 $2,467,567
The Goldman Sachs Group, Inc., Floating Rate Note, 7/22/15 1,300,000 $1,301,798
The Goodyear Tire & Rubber Co., Loan (Second Lien), 4/30/19 666,667 $668,750
The Hertz Corp., Tranche B-1 Term Loan, 3/11/18 731,250 $732,507
The Huntington National Bank, Floating Rate Note, 4/24/17 2,000,000 $1,997,758
The Manitowoc Co, Inc., Term B Loan, 12/18/20 71,613 $71,589
The Procter & Gamble Co., 1.8%, 11/15/15 2,950,000 $2,971,727
The Toronto-Dominion Bank, Floating Rate Note, 5/2/17 2,000,000 $2,000,465
The Toronto-Dominion Bank, Floating Rate Note, 7/8/16 1,320,000 $1,321,410
The Toronto-Dominion Bank, Floating Rate Note, 9/9/16 2,800,000 $2,811,057
Thornburg Mortgage Securities Trust 2004-4, Floating Rate Note, 12/25/44 4,235,000 $591,782
TI Group Automotive Systems LLC, Term Loan Facility, 7/1/21 633,502 $632,710
TMS International Corp., Term B Loan, 10/2/20 146,199 $145,651
TORONTO-DOMINION BANK, Floating Rate Note, 11/6/15 4,025,000 $4,030,721
Total Capital Canada, Ltd., Floating Rate Note, 1/15/16 3,355,000 $3,365,802
Total Capital International SA, 0.75%, 1/25/16 2,500,000 $2,511,845
Total Capital SA, 3.125%, 10/2/15 1,730,000 $1,754,813
Tower Automotive Holdings USA LLC, Refinancing Term Loan, 4/23/20 188,451 $188,529
Toyota Auto Receivables 2014-C Owner Trust, 0.51%, 2/15/17 1,770,000 $1,632,231
Toyota Flt% 23sep16 650,000 $649,659
Toyota Motor Credit Corp., 0.75%, 3/3/17 (Step) 2,250,000 $2,247,934
Toyota Motor Credit Corp., 0.875%, 7/17/15 1,200,000 $1,205,013
Toyota Motor Credit Corp., Floating Rate Note, 5/16/17 2,589,000 $2,587,925
Toyota Motor Credit Corp., Floating Rate Note, 5/17/16 3,800,000 $3,808,819
Toyota Motor Credit Corp., Floating Rate Note, 9/18/15 2,300,000 $2,300,682
Trade MAPS 1, Ltd., Floating Rate Note, 12/10/18 (144A) 3,079,000 $3,084,038
Tradewynd Re, Ltd., Floating Rate Note, 1/8/18 (Cat Bond) (144A) 750,000 $740,879
Trafigura Securitisation Finance Plc. 2014-1, Floating Rate Note, 4/16/18 (144A) 1,400,000 $1,401,229
Tramline Re II, Ltd., Floating Rate Note, 1/4/19 (Cat Bond) (144A) 250,000 $257,986
TransCanada PipeLines, Ltd., Floating Rate Note, 6/30/16 3,544,000 $3,555,429
TransDigm, Inc., Tranche C Term Loan, 2/28/20 283,930 $282,293
Tribune Media Co., Initial Term Loan, 11/20/20 1,447,155 $1,448,663
Tronox Pigments Holland BV, New Term Loan, 3/19/20 382,432 $383,197
Truman Capital Mortgage Loan Trust, Floating Rate Note, 1/25/34 925,000 $763,022
Truven Health Analytics, Inc., New Tranche B Term Loan, 6/6/19 339,559 $339,241
Tyco Electronics Group SA, Floating Rate Note, 1/29/16 4,330,000 $4,333,677
U.S. Treasury Floating Rate Note, 0.085000569%, 7/31/16 13,470,000 $13,475,095
UBS AG, Floating Rate Note, 6/1/17 2,500,000 $2,495,123
Ubsn 0.22% 31jul15 Usd 9,000,000 $9,001,764
Unifrax I LLC, New Term B Dollar Loan, 11/28/18 798,909 $798,659
United Airlines, Inc., Class B Term Loan, 4/1/19 245,000 $245,051
United Auto Credit Securitization Trust 2014-1, 0.74%, 6/15/16 (144A) 3,000,000 $903,525
United Auto Credit Securitization Trust 2015-1, 1.68%, 9/15/17 (144A) 2,500,000 $2,509,419
United States Treasury Floating Rate Note, Floating Rate Note, 1/31/17 12,735,000 $12,743,869
United States Treasury Floating Rate Note, Floating Rate Note, 10/31/16 7,000,000 $7,000,735
Univision Communications, Inc., Replacement First-Lien Term Loan, 3/1/20 659,700 $656,310
US Bancorp, 2.45%, 7/27/15 2,620,000 $2,650,834
US Bank NA Cincinnati Ohio, Floating Rate Note, 1/26/18 2,600,000 $2,599,389
US Bank NA Cincinnati Ohio, Floating Rate Note, 1/30/17 2,025,000 $2,026,391
US Bank NA Cincinnati Ohio, Floating Rate Note, 4/22/16 2,000,000 $2,002,834
USI, Inc. New York, Initial Term Loan 2013, 12/30/19 1,082,396 $1,084,425
Valeant Pharmaceuticals International, Inc., Series C-2 Tranche B Term Loan, 12/11/19 511,676 $511,285
Valeant Pharmaceuticals International, Inc., Series D2 Term Loan B, 2/13/19 213,198 $213,012
Valeant Pharmaceuticals International, Inc., Series E1 Tranche B Term Loan, 8/5/20 1,313,724 $1,310,933
Velocity Commercial Capital Loan Trust 2014-1, Floating Rate Note, 9/25/44 (144A) 3,200,000 $2,432,660
Venture XII CLO, Ltd., Floating Rate Note, 2/28/24 (144A) 1,500,000 $873,604
Verint Systems, Inc., Tranche B Incremental Term Loan, 9/6/19 325,732 $326,668
Verizon Communications, Inc., 0.7%, 11/2/15 3,300,000 $3,299,166
Verizon Communications, Inc., Floating Rate Note, 9/15/16 6,355,000 $6,438,333
Vers 2015-A Zero% 31dec17 2,500,000 $2,619,500
VFC 2014-2 LLC, 2.75%, 7/20/30 (144A) 3,510,000 $1,736,350
VFC 2015-3 LLC, 2.75%, 12/20/31 (144A) 2,000,000 $1,770,298
Virgin Media 1st Lien Tl-F L + 2.75% 30jun23 1,484,673 $1,472,147
Visteon Corp Term B 1st Lien Dd L + 2.75% 08apr21 291,667 $291,803
Vita Capital V, Ltd., Floating Rate Note, 1/15/17 (Cat Bond) (144A) 500,000 $510,048
Vita Capital V, Ltd., Floating Rate Note, 1/15/17 (Cat Bond) (144A) 1,500,000 $1,528,197
Vitality Re IV, Ltd., Floating Rate Note, 1/9/17 (Cat Bond) (144A) 1,000,000 $1,019,575
Vitality Re V, Ltd., Floating Rate Note, 1/7/19 (Cat Bond) (144A) 1,800,000 $1,794,463
Vodafone Group Plc, Floating Rate Note, 2/19/16 1,150,000 $1,150,293
Volkswagen Auto Lease Trust 2014-A, 0.52%, 10/20/16 5,790,000 $2,135,320
Volkswagen Auto Lease Trust 2014-A, Floating Rate Note, 10/20/16 1,500,000 $553,243
Volkswagen Group of America Finance LLC, Floating Rate Note, 11/22/16 (144A) 1,230,000 $1,230,578
Volkswagen Group of America Finance LLC, Floating Rate Note, 5/23/16 (144A) 1,900,000 $1,899,467
Volkswagen International Finance NV, 1.15%, 11/20/15 (144A) 6,790,000 $6,814,177
Volkswagen International Finance NV, Floating Rate Note, 11/18/16 (144A) 1,750,000 $1,754,307
Volt Flt% 26jun45 15-Npl8 2,500,000 $2,498,708
VOLT NPL X LLC, 3.375%, 10/26/54 (Step) (144A) 4,390,000 $2,607,234
VOLT XIX LLC, 3.875%, 4/26/55 (Step) 1,500,000 $936,990
VOLT XXXIII LLC, 3.5%, 3/25/55 (Step) (144A) 2,500,000 $2,412,424
VOLT XXXI LLC, 3.375%, 2/25/55 (Step) (144A) 3,000,000 $2,831,620
VOLT XXX LLC, 3.625%, 10/25/57 (Step) 2,250,000 $2,161,764
Volvo Financial Equipment LLC Series 2012-1, 2.38%, 9/16/19 (144A) 295,000 $295,811
Volvo Financial Equipment LLC Series 2013-1, 0.74%, 3/15/17 (144A) 1,410,000 $821,472
Volvo Financial Equipment LLC Series 2014-1, 0.54%, 11/15/16 (144A) 1,700,000 $824,231
Voya CLO, Ltd., Floating Rate Note, 10/15/22 (144A) 3,000,000 $3,010,480
Vwalt 1.07% 20nov17 13-A-A4 1,320,000 $1,322,380
Vw Flt% 20nov17 144a 2,500,000 $2,500,323
Wachovia Bank Commercial Mortgage Trust Series 2005-C21, Floating Rate Note, 10/17/44 2,840,733 $910,341
Wachovia Bank Commercial Mortgage Trust Series 2005-C22 REMICS, Floating Rate Note, 12/15/44 5,713,000 $3,551,979
Wachovia Bank Commercial Mortgage Trust Series 2006-C23 REMICS, Floating Rate Note, 1/15/45 5,550,000 $4,234,946
Wachovia Bank Commercial Mortgage Trust Series 2006-C25, Floating Rate Note, 5/15/43 4,240,000 $3,213,790
Wachovia Corp., Floating Rate Note, 10/28/15 1,983,000 $1,984,026
Wachovia Corp., Floating Rate Note, 6/15/17 1,999,000 $1,992,521
Wal-Mart Stores, Inc., 0.6%, 4/11/16 955,000 $955,659
WaMu Mortgage Pass-Through Certificates Series 2002-AR19 Trust, Floating Rate Note, 2/25/33 18,180,000 $633,525
Waste Industries Usa Inc 1st Lien Tl-B L + 3.25% 20feb20 149,625 $150,326
Weight Watchers International, Inc., Initial Tranche B-2 Term Loan, 4/2/20 871,867 $424,381
Wells Fargo & Co., Floating Rate Note, 10/28/15 2,503,000 $2,505,887
Wells Fargo & Co., Floating Rate Note, 4/23/18 2,500,000 $2,511,270
Wells Fargo & Co., Floating Rate Note, 7/20/16 3,105,000 $3,121,317
Wells Fargo Bank NA, Floating Rate Note, 5/16/16 975,000 $972,932
Wells Fargo Commercial Mortgage Trust 2014-TISH REMICS, Floating Rate Note, 2/16/27 (144A) 2,500,000 $2,487,987
Wells Fargo Home Equity Asset-Backed Securities 2005-2 Trust, Floating Rate Note, 11/25/35 189,000 $19,756
Wells Fargo Home Equity Asset-Backed Securities 2005-3 Trust, Floating Rate Note, 12/25/35 3,990,000 $881,031
Wesco Aircraft Hardware Corp., Tranche B Term Loan, 2/24/21 2,355,167 $2,350,751
WESCO Distribution, Inc., Tranche B-1 Loan, 12/12/19 318,295 $318,693
West Corp., Term B-10 Loan, 6/30/18 1,004,821 $1,003,356
Western Refining, Inc., Term Loan 2013, 11/12/20 445,477 $444,921
Westgate Resorts 2012-2 LLC, 9.0%, 1/21/25 (144A) 1,500,000 $299,969
Westgate Resorts 2012-A LLC, 3.75%, 8/20/25 (144A) 7,105,000 $3,039,004
Westgate Resorts LLC, 2.5%, 3/20/25 (144A) 350,000 $98,251
Westgate Resorts LLC, 9.5%, 2/20/25 (144A) 5,000,000 $1,150,283
Westlake Automobile Receivables Trust 2013-1, 1.12%, 1/15/18 (144A) 375,000 $49,341
Westpac Banking Corp., Floating Rate Note, 5/19/17 2,000,000 $2,001,985
Westpac Banking Corp., Floating Rate Note, 7/17/15 (144A) 500,000 $501,266
Westpac Banking Corp., Floating Rate Note, 7/28/15 1,000,000 $1,001,148
Westwood CDO II, Ltd., Floating Rate Note, 4/25/22 (144A) 2,000,000 $1,295,045
Wheelabrator 1st Lien Tl-B L + 4% 15oct21 2,859,195 $2,894,912
Wheelabrator 1st Lien Tl-C L + 4% 15oct21 126,437 $128,016
Wheels SPV 2 LLC, 0.84%, 3/20/23 (144A) 1,000,000 $840,383
WideOpenWest Finance LLC, Replacement Term B Loan, 4/1/19 219,198 $219,308
Wilshire Mortgage Loan Trust, Floating Rate Note, 5/25/28 10,000,000 $28,484
Windstream Services LLC, Tranche B-5 Term Loan, 8/8/19 705,198 $702,481
WireCo WorldGroup, Inc., Term Loan, 2/15/17 827,564 $829,116
Wlake 0.7% 15may17 14-1a-A2 8,000,000 $3,683,051
Wlake Flt% 16jul18 15-2a 2,600,000 $2,600,422
WMG Acquisition Corp., Tranche B Refinancing Term Loan, 7/1/20 1,080,750 $1,067,128
World Financial Network Credit Card Master Trust, Floating Rate Note, 12/16/19 10,375,000 $10,376,280
World Financial Network Credit Card Master Trust, Floating Rate Note, 2/15/22 1,550,000 $1,549,665
World Omni Automobile Lease Securitization Trust 2014-A, Floating Rate Note, 3/15/17 2,500,000 $2,268,890
World Omni Auto Receivables Trust 2014-B, Floating Rate Note, 1/16/18 2,650,000 $2,359,565
WR Grace & Co-Conn, Delayed Draw Term Loan, 1/23/21 288,558 $288,635
WR Grace & Co-Conn, U.S. Term Loan, 1/23/21 801,873 $802,088
Wyle 1st Lien Tl-B L + 4% 22may21 183,902 $184,072
Xerium Technologies, Inc., New Term Loan, 5/17/19 78,401 $78,940
Zebra Technologies Corporation 1st Lien Tl-B L + 4% 30sep21 963,636 $976,150
Zero% 30nov19 2,800,000 $2,813,720
Zero% 31aug16 500,000 $503,550
ZIGGO BV, (USD) TLB3, 1/15/22 1,136,553 $1,125,259
Ziggo Bv Us 1st Lien Tl-B1 L + 2.75% 15jan22 1,072,383 $1,061,727
Ziggo Bv Us 1st Lien Tl-B2 L + 2.75% 15jan22 691,064 $684,197

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