Pioneer Multi-Asset Ultrashort Income Fund

Top 10 Portfolio Holdings as of 12/31/2014
Default: sorted by market value

Security Name Par / Shares Market Value
321 Henderson Receivables II LLC, Floating Rate Note, 9/15/41 (144A) 11,542,000 $4,007,268
321 Henderson Receivables I LLC, Floating Rate Note, 11/15/40 (144A) 1,560,000 $487,468
321 Henderson Receivables I LLC, Floating Rate Note, 12/15/41 (144A) 10,869,000 $3,845,772
321 Henderson Receivables I LLC, Floating Rate Note, 6/15/41 (144A) 8,090,000 $2,757,650
321 Henderson Receivables I LLC, Floating Rate Note, 9/15/45 (144A) 2,186,000 $539,550
77 Energy 1st Lien Tl-B L + 3% 17jun21 1,442,750 $1,222,731
A10 Securitization 2013-1 LLC, 2.4%, 11/17/25 (144A) 1,400,000 $693,076
ABFC 2003-WMC1 Trust, Floating Rate Note, 3/25/33 3,691,000 $26,109
ABFC 2005-WF1 Trust, Floating Rate Note, 12/25/34 2,140,000 $865,771
ABN AMRO Bank NV, Floating Rate Note, 10/28/16 (144A) 1,725,000 $1,740,532
ACA CLO 2006-2, Ltd., Floating Rate Note, 1/20/21 (144A) 3,250,000 $3,199,956
ACAS CLO 2007-1, Ltd., Floating Rate Note, 4/20/21 1,800,000 $1,445,110
Accredited Mortgage Loan Trust 2005-2, Floating Rate Note, 7/25/35 1,110,000 $1,089,471
ACE Securities Corp Manufactured Housing Trust Series 2003-MH1, Floating Rate Note, 8/15/30 (144A) 1,250,000 $136,425
ACIS CLO 2014-4, Ltd., Floating Rate Note, 5/1/26 (144A) 3,000,000 $2,249,432
ACRE Commercial Mortgage Trust 2014-FL2, Floating Rate Note, 8/15/31 (144A) 2,500,000 $2,496,680
ACRE Commercial Mortgage Trust 2014-FL2, Floating Rate Note, 8/15/31 (144A) 5,350,000 $5,344,255
Activision Blizzard, Inc., Term Loan, 7/26/20 1,600,000 $1,599,197
Adjustable Rate Mortgage Trust 2004-1, Floating Rate Note, 1/25/35 5,000,000 $440,759
Adjustable Rate Mortgage Trust 2005-2, Floating Rate Note, 6/25/35 2,260,122 $1,682,231
Adjustable Rate Mortgage Trust 2005-5, Floating Rate Note, 9/25/35 13,780,000 $1,179,688
AdvancePierre Foods, Inc., Term Loan (First Lien), 7/10/17 185,456 $184,528
Advantage Sales & Marketing Inc 1st Lien Dd L + 3.25% 21jul21 22,170 $21,983
Advantage Sales & Marketing Inc 1st Lien Tl-B L + 3.25% 11jul21 665,092 $659,481
Aecom Technology Corp 1st Lien Tl-B L + 3% 17sep21 287,913 $288,363
Aegis Asset Backed Securities Trust 2004-6, Floating Rate Note, 3/25/35 5,700,000 $216,252
Aegis Asset Backed Securities Trust Mortgage Pass-Through Ctfs Ser 2004-2, Floating Rate Note, 6/25/ 21,291,000 $1,825,896
Aegis Asset Backed Securities Trust Mortgage Pass-Through Ctfs Ser 2005-4, Floating Rate Note, 10/25 800,000 $408,491
Aegis Asset Backed Securities Trust Mortgage Pass- Through Ctfs Series 2004-3, Floating Rate Note, 9 3,465,620 $597,048
Aegis Asset Backed Securities Trust Mortgage Pass-Through Ctfs Series 2004-4, Floating Rate Note, 10 3,977,618 $916,586
Alamo Re, Ltd., Floating Rate Note, 6/7/17 (Cat Bond) (144A) 1,000,000 $1,044,499
Albertsons LLC, Term B-2 Loan, 3/21/19 1,503,474 $1,497,209
Alkermes, Inc., 2019 Term Loan, 9/25/19 1,128,481 $1,122,839
Alliant Holdings I, Inc., Initial Term Loan, 12/20/19 242,448 $239,341
Alliant Techsystems, Inc., Term B Loan, 10/22/20 395,503 $395,338
Allied Security Holdings LLC, Closing Date Term Loan (First Lien), 2/12/21 513,355 $505,868
Allison Transmission, Inc., Term B-3 Loan, 8/23/19 146,649 $145,183
Ally Auto Receivables Trust 2011-2, 1.98%, 4/15/16 355,000 $51,227
Ally Auto Receivables Trust 2011-3, 1.61%, 5/16/16 602,000 $149,004
Ally Auto Receivables Trust 2013-2, Floating Rate Note, 7/15/16 1,500,000 $597,705
Ally Auto Receivables Trust 2014-SN1, Floating Rate Note, 10/20/16 1,800,000 $1,431,454
Ally Master Owner Trust, 4.59%, 4/15/17 (144A) 3,000,000 $3,037,968
Ally Master Owner Trust, Floating Rate Note, 1/16/18 300,000 $299,823
Ally Master Owner Trust, Floating Rate Note, 2/15/17 250,000 $250,253
Ally Master Owner Trust, Floating Rate Note, 6/17/19 2,600,000 $2,588,053
Ally Master Owner Trust, Floating Rate Note, 8/15/17 3,000,000 $3,014,884
Alterna Funding I LLC, 1.639%, 2/15/21 (144A) 1,400,000 $1,228,581
Alternative Loan Trust 2003-3T1, Floating Rate Note, 5/25/33 15,000,000 $605,393
Alternative Loan Trust 2004-4CB, 4.25%, 4/25/34 16,913,000 $552,785
Alternative Loan Trust 2004-6CB, Floating Rate Note, 4/25/34 31,600,000 $2,214,838
Alternative Loan Trust 2004-J13, Floating Rate Note, 2/25/35 1,000,000 $963,619
Altice Financing SA, 7.875%, 12/15/19 (144A) 1,250,000 $1,284,245
Altisource Solutions Sarl, Term B Loan, 12/9/20 987,565 $770,301
Altria Group, Inc., 4.125%, 9/11/15 1,075,000 $1,112,985
Altrl Zero% 30jun17 400,000 $400,000
Amazon.com, Inc., 0.65%, 11/27/15 2,950,000 $2,949,761
AMC Entertainment, Inc., Initial Term Loan, 4/30/20 1,457,636 $1,440,630
America Movil SAB de CV, Floating Rate Note, 9/12/16 1,500,000 $1,511,608
American Airlines, Inc., Class B Term Loan, 6/27/19 2,511,750 $2,488,516
American Airlines Inc 1st Lien Tl-B L + 3.5% 08oct21 500,000 $501,250
American Credit Acceptance Receivables Trust, 1.64%, 11/15/16 (144A) 1,401,000 $123,416
American Credit Acceptance Receivables Trust 2012-2, 4.05%, 2/15/18 (144A) 1,228,000 $1,236,112
American Credit Acceptance Receivables Trust 2013-1, 1.45%, 4/16/18 (144A) 1,859,000 $481,812
American Credit Acceptance Receivables Trust 2013-2, 1.32%, 2/15/17 (144A) 805,000 $171,251
American Credit Acceptance Receivables Trust 2014-1, 1.14%, 3/12/18 (144A) 5,045,000 $2,053,981
American Credit Acceptance Receivables Trust 2014-2, 0.99%, 10/10/17 (144A) 3,300,000 $1,846,819
American Credit Acceptance Receivables Trust 2014-3, 0.99%, 8/10/18 (144A) 1,420,000 $1,101,567
American Credit Acceptance Receivables Trust 2014-4, 1.23%, 7/10/18 (144A) 1,150,000 $1,150,115
American Express Centurion Bank, Floating Rate Note, 11/13/15 5,090,000 $5,103,712
American Express Credit Account Master Trust, 1.29%, 3/15/18 (144A) 400,000 $400,587
American Express Credit Account Master Trust, Floating Rate Note, 1/15/20 350,000 $349,859
American Express Credit Account Master Trust, Floating Rate Note, 2/15/18 1,945,000 $1,956,541
American Express Credit Account Master Trust, Floating Rate Note, 3/15/18 8,890,000 $8,886,635
American Express Credit Account Master Trust, Floating Rate Note, 5/15/20 3,300,000 $3,300,709
American Express Credit Corp., 1.75%, 6/12/15 3,000,000 $3,019,265
American Express Credit Corp., Floating Rate Note, 6/12/15 3,185,000 $3,200,410
American Express Credit Corp., Floating Rate Note, 7/29/16 2,850,000 $2,864,436
American Homes 4 Rent 2014-SFR1, Floating Rate Note, 6/19/31 (144A) 1,500,000 $1,472,487
American Honda Finance Corp., 1.0%, 8/11/15 (144A) 1,000,000 $1,007,614
American Honda Finance Corp., 1.45%, 2/27/15 (144A) 4,455,000 $4,484,111
American Honda Finance Corp., Floating Rate Note, 10/7/16 950,000 $955,807
American Honda Finance Corp., Floating Rate Note, 5/26/16 (144A) 3,050,000 $3,057,635
AmeriCredit Automobile Receivables Trust 2010-4, 6.4%, 4/9/18 (144A) 470,000 $474,090
AmeriCredit Automobile Receivables Trust 2011-5, 2.45%, 12/8/16 1,700,000 $781,174
AmeriCredit Automobile Receivables Trust 2012-1, 2.67%, 1/8/18 800,000 $811,152
AmeriCredit Automobile Receivables Trust 2013-2, 0.65%, 12/8/17 485,000 $485,284
AmeriCredit Automobile Receivables Trust 2013-4, 0.74%, 11/8/16 1,500,000 $404,092
AmeriCredit Automobile Receivables Trust 2014-2, Floating Rate Note, 10/10/17 1,320,000 $1,319,983
Ameriquest Mortgage Securities Inc Asset-Backed Pass-Through Ctfs Ser 2004-R11, Floating Rate Note, 8,900,000 $320,994
Ameriquest Mortgage Securities Inc Asset-Backed Pass-Through Ctfs Ser 2005-R1, Floating Rate Note, 3 2,757,237 $1,393,252
Ameriquest Mortgage Securities Inc Asset-Backed Pass-Through Ctfs Ser 2005-R10, Floating Rate Note, 15,705,000 $741,054
Ameriquest Mortgage Securities Inc Asset Backed Pass-Through Ctfs Ser 2005-R11, Floating Rate Note, 810,000 $524,978
Ameriquest Mortgage Securities Inc Asset-Backed Pass-Through Ctfs Ser 2005-R5, Floating Rate Note, 7 84,000 $76,929
Ameriquest Mortgage Securities Inc Asset-Backed Pass-Through Ctfs Ser 2005-R6, Floating Rate Note, 8 2,850,000 $4,648
Ameriquest Mort Sec Inc Asset Backed Pass Thr Cert 03 AR3, Floating Rate Note, 6/25/33 729,633 $374,493
Anheuser-Busch Companies LLC, 5.0%, 1/15/15 1,891,000 $1,937,955
Anheuser-Busch InBev Finance, Inc., Floating Rate Note, 1/27/17 1,900,000 $1,895,601
Anheuser-Busch InBev Worldwide, Inc., 4.125%, 1/15/15 4,015,000 $4,095,115
Apex Tool Group LLC, Term Loan, 1/31/20 1,228,125 $1,194,352
Apidos Quattro CDO, Floating Rate Note, 1/20/19 (144A) 1,000,000 $988,881
Apple, Inc., Floating Rate Note, 5/3/16 1,500,000 $1,500,712
Ardagh Holdings USA, Inc., New Term Loan, 12/17/19 678,870 $667,838
ARI Fleet Lease Trust 2012-A, Floating Rate Note, 3/15/20 (144A) 2,070,000 $365,570
ARI Fleet Lease Trust 2012-B, Floating Rate Note, 1/15/21 (144A) 1,030,000 $307,517
ARI Fleet Lease Trust 2013-A, 0.7%, 12/15/15 (144A) 4,000,000 $1,622,934
ARI Fleet Lease Trust 2013-A, 0.92%, 7/15/21 (144A) 600,000 $600,877
ARI Fleet Lease Trust 2014-A, 0.81%, 11/15/22 (144A) 3,000,000 $2,998,971
Arlington Flt% 01aug15 100,000 $108,140
Armor Re, Ltd., Floating Rate Note, 12/15/16 (Cat Bond) (144A) 1,000,000 $1,003,433
Armstrong World Industries, Inc., Term Loan B, 3/15/20 1,080,996 $1,068,835
Arysta Lifescience SPC LLC, Initial Term Loan (First Lien), 5/29/20 2,347,418 $2,337,636
Ascentium Equipment Receivables 2012-1 LLC, 1.83%, 9/15/19 (144A) 1,528,000 $133,778
Ascentium Equipment Receivables 2014-1 LLC, 1.04%, 1/10/17 (144A) 1,000,000 $996,146
ASG Resecuritization Trust 2010-3, Floating Rate Note, 12/29/45 (144A) 5,216,443 $2,271,341
Asset-Backed Pass-Through Certificates Series 2004-R2, Floating Rate Note, 4/25/34 24,000,000 $1,261,616
Asset Backed Securities Corp Home Equity Loan Trust Series 2005-HE2, Floating Rate Note, 2/25/35 8,100,000 $654,327
Asset Backed Securities Corp Home Equity Loan Trust Series 2005-HE3, Floating Rate Note, 4/25/35 724,529 $502,094
Asset Backed Securities Corp Home Equity Loan Trust Series AEG 2006-HE1, Floating Rate Note, 1/25/36 6,155,063 $1,096,026
Asset Backed Securities Corp Home Equity Loan Trust Series NC 2005-HE4, Floating Rate Note, 5/25/35 3,657,000 $555,579
Asset Backed Securities Corp Home Equity Loan Trust Series OOMC 2005-HE6, Floating Rate Note, 7/25/3 1,879,167 $1,375,801
Atlantic Power LP, Term Loan, 2/20/21 2,842,858 $2,814,429
Atlas IX Capital, Ltd., Floating Rate Note, 1/17/19 (Cat Bond) (144A) 1,500,000 $1,543,437
Atlas Reinsurance VII, Ltd., Floating Rate Note, 1/7/16 (Cat Bond) (144A) 1,000,000 $1,047,488
Audio Visual Services Corp., Initial Term Loan (First Lien), 1/24/21 228,275 $227,419
Avago Technologies Ltd 1st Lien Tl-B L + 3% 16apr21 1,293,500 $1,290,266
Avis Budget Car Rental LLC, Tranche B Term Loan, 3/15/19 1,279,592 $1,270,795
AWAS Finance Luxembourg 2012 SA, Term Loan, 7/16/18 393,323 $388,406
Axalta Coating Systems US Holdings, Inc., Refinanced Term B Loan, 2/1/20 1,024,205 $1,000,520
AXIS Equipment Finance Receivables II LLC, 1.75%, 6/20/16 1,000,000 $529,464
Az Chem Us Inc 1st Lien Tl-B L + 3.5% 09jun21 1,930,413 $1,907,489
B/E Aerospace Inc 1st Lien Tl-B L + 3.25% 21nov21 1,500,000 $1,500,000
BA Credit Card Trust, Floating Rate Note, 1/15/20 2,000,000 $2,000,430
BA Credit Card Trust, Floating Rate Note, 9/16/19 6,400,000 $6,389,501
BAMLL Commercial Mortgage Securities Trust 2014-FL1, Floating Rate Note, 12/15/31 3,613,000 $3,612,402
BAMLL Commercial Mortgage Securities Trust 2014-ICTS, Floating Rate Note, 6/15/28 (144A) 1,920,000 $1,919,264
Banc of America Commercial Mortgage Trust 2006-1, Floating Rate Note, 9/10/45 5,040,000 $5,189,832
Banc of America Commercial Mortgage Trust 2006-1, Floating Rate Note, 9/10/45 3,590,000 $3,716,612
Banc of America Funding 2004-B Trust, Floating Rate Note, 12/20/34 20,499,000 $1,513,641
Banc of America Merrill Lynch Commercial Mortgage, Inc., 4.933%, 7/10/45 6,180,000 $6,263,732
Banc of America Merrill Lynch Commercial Mortgage, Inc., Floating Rate Note, 10/10/45 8,970,000 $7,960,257
Banc of America Merrill Lynch Commercial Mortgage, Inc., Floating Rate Note, 9/10/47 6,175,000 $5,762,682
Banc of America Merrill Lynch Commercial Mortgage, Inc. REMICS, Floating Rate Note, 7/10/43 1,985,000 $1,045,173
Banc of America Mortgage 2003-A Trust, Floating Rate Note, 2/25/33 10,560,000 $102,311
Banc of America Mortgage 2003-F Trust, Floating Rate Note, 7/25/33 5,472,215 $249,089
Banc of America Mortgage 2004-D Trust, Floating Rate Note, 5/25/34 17,088,000 $1,798,990
Banc of America Mortgage 2004-I Trust, Floating Rate Note, 10/25/34 6,000,000 $415,611
Bank of America Corp., 4.5%, 4/1/15 2,515,000 $2,566,925
Bank of America Corp., Floating Rate Note, 1/15/15 1,000,000 $1,001,546
Bank of America Corp., Floating Rate Note, 3/22/16 6,000,000 $6,026,001
Bank of America Corp., Floating Rate Note, 8/25/17 1,423,000 $1,422,699
Bank of America NA, Floating Rate Note, 2/14/17 2,000,000 $1,995,999
Bank of Montreal, 0.8%, 11/6/15 2,600,000 $2,608,006
Bank of Montreal, Floating Rate Note, 7/14/17 2,300,000 $2,300,679
Bank of Montreal, Floating Rate Note, 9/11/15 2,600,000 $2,608,329
Bank of Montreal, Floating Rate Note, 9/24/15 2,600,000 $2,603,097
Bank of Nova Scotia Houston, Floating Rate Note, 10/23/15 1,000,000 $1,002,459
Bank of The West Auto Trust 2014-1, 0.69%, 7/17/17 (144A) 1,850,000 $1,850,475
Barclays Bank Plc, Floating Rate Note, 2/17/17 821,000 $822,470
Barclays Dryrock Issuance Trust, Floating Rate Note, 12/16/19 1,050,000 $1,048,934
Barclays Dryrock Issuance Trust, Floating Rate Note, 3/16/20 1,800,000 $1,798,354
Barclays Dryrock Issuance Trust, Floating Rate Note, 7/16/18 200,000 $200,133
Baxter International, Inc., 4.625%, 3/15/15 2,500,000 $2,554,478
Bayview Financial Acquisition Trust, 6.205%, 5/28/37 (Step) 100,000 $56,790
Bayview Financial Acquisition Trust, Floating Rate Note, 5/28/44 32,920,000 $335,505
Bayview Financial Mortgage Pass-Through Trust 2004-A, Floating Rate Note, 2/28/44 48,047,000 $1,537,542
Bayview Financial Mortgage Pass-Through Trust 2005-C, Floating Rate Note, 6/28/44 4,088,000 $4,025,220
Bayview Financial Mortgage Pass-Through Trust 2006-A, Floating Rate Note, 2/28/41 6,439,000 $429,139
Bayview Financial Mortgage Pass-Through Trust 2006-A, Floating Rate Note, 2/28/41 5,200,000 $100,583
Bayview Financial Mortgage Pass-Through Trust 2006-B, Floating Rate Note, 4/28/36 8,680,000 $518,353
Bayview Financial Mortgage Pass-Through Trust 2006-B, Floating Rate Note, 4/28/36 4,911,055 $1,045,332
Bayview Financial Mortgage Pass-Through Trust Series 2005-B, Floating Rate Note, 4/28/39 1,899,351 $1,790,533
Bayview Opportunity Master Fund IIa Trust 2012-4NPL, 3.9496%, 1/30/34 (Step) (144A) 2,125,000 $1,097,457
Bayview Opportunity Master Fund IIa Trust 2014-20NPL, Floating Rate Note, 8/28/44 (144A) 1,480,000 $1,300,428
Bayview Opportunity Master Fund Trust, Floating Rate Note, 1/28/33 (144A) 1,000,000 $273,504
Bayview Opportunity Master Fund Trust IIIa 2014-12RPL, 3.6225%, 7/28/19 (Step) (144A) 2,450,000 $1,515,822
Bbb Industries Llc 1st Lien Tl L + 5% 20oct21 1,000,000 $995,000
BCAP LLC 2009-RR13-I Trust, Floating Rate Note, 9/26/35 (144A) 8,854,257 $2,133,778
BCAP LLC 2013-RR3 Trust, Floating Rate Note, 5/28/36 (144A) 1,084,000 $794,565
BCAP LLC 2013-RR7 Trust, Floating Rate Note, 12/27/34 1,410,000 $1,188,620
BCC Funding VIII LLC, 1.794%, 6/22/20 (144A) 2,000,000 $1,310,363
Bear Stearns ALT-A Trust 2003-3, Floating Rate Note, 10/25/33 350,000 $58,789
Bear Stearns ALT-A Trust 2004-11, Floating Rate Note, 11/25/34 21,976,800 $1,155,625
Bear Stearns ALT-A Trust 2004-12, Floating Rate Note, 1/25/35 11,245,000 $1,231,662
Bear Stearns ALT-A Trust 2004-12, Floating Rate Note, 1/25/35 25,745,000 $3,220,580
Bear Stearns ALT-A Trust 2004-12, Floating Rate Note, 1/25/35 25,907,600 $3,226,054
Bear Stearns ALT-A Trust 2004-12, Floating Rate Note, 1/25/35 17,745,000 $2,081,726
Bear Stearns ALT-A Trust 2004-13, Floating Rate Note, 11/25/34 9,625,000 $493,764
Bear Stearns ALT-A Trust 2004-4, Floating Rate Note, 6/25/34 33,443,000 $2,675,194
Bear Stearns ALT-A Trust 2004-8, Floating Rate Note, 9/25/34 14,600,000 $1,024,345
Bear Stearns ARM Trust 2003-3, Floating Rate Note, 5/25/33 42,906,215 $1,253,179
Bear Stearns ARM Trust 2004-3, Floating Rate Note, 7/25/34 10,718,797 $390,087
Bear Stearns ARM Trust 2005-5, Floating Rate Note, 8/25/35 5,635,000 $583,768
Bear Stearns Asset Backed Securities I Trust 2005-FR1, Floating Rate Note, 6/25/35 5,850,460 $2,055,901
Bear Stearns Asset Backed Securities I Trust 2005-HE9, Floating Rate Note, 10/25/35 5,000,000 $1,251,948
Bear Stearns Asset Backed Securities Trust, Floating Rate Note, 2/25/35 21,336,125 $593,204
Bear Stearns Asset Backed Securities Trust 2003-AC5, Floating Rate Note, 10/25/33 2,875,000 $272,981
Bear Stearns Asset Backed Securities Trust 2004-2, Floating Rate Note, 8/25/34 1,523,000 $250,677
Bear Stearns Asset Backed Securities Trust 2004-SD3, Floating Rate Note, 9/25/34 410,000 $157,138
Bear Stearns Asset Backed Securities Trust 2005-SD1, Floating Rate Note, 8/25/43 310,000 $86,983
Bear Stearns Asset Backed Securities Trust 2005-SD2, Floating Rate Note, 3/25/35 2,190,000 $278,488
Bear Stearns Asset Backed Securities Trust 2005-SD2, Floating Rate Note, 3/25/35 5,700,000 $1,709,377
Bear Stearns Asset Backed Securities Trust 2006-1, Floating Rate Note, 2/25/36 32,600,000 $931,956
Bear Stearns Commercial Mortgage Securities Trust 2005-PWR10, Floating Rate Note, 12/11/40 4,250,000 $3,576,406
Bear Stearns Commercial Mortgage Securities Trust 2005-PWR8, 4.75%, 6/11/41 1,330,000 $1,352,122
Bear Stearns Commercial Mortgage Securities Trust 2005-PWR9, 4.871%, 9/11/42 7,568,000 $6,059,369
Bear Stearns Commercial Mortgage Securities Trust 2005-PWR9, Floating Rate Note, 9/11/42 3,751,000 $3,855,110
Bear Stearns Commercial Mortgage Securities Trust 2005-TOP18, Floating Rate Note, 2/13/42 3,975,000 $700,212
Bear Stearns Commercial Mortgage Securities Trust 2005-TOP20, Floating Rate Note, 10/12/42 6,505,000 $6,326,930
Bear Stearns Commercial Mortgage Securities Trust 2006-PWR14, 5.171%, 12/11/38 2,735,000 $899,789
Bear Stearns Mortgage Securities, Inc., Floating Rate Note, 6/25/30 2,875,810 $461,800
Bear Stearns Structured Products Trust 2007-EMX1, Floating Rate Note, 3/25/37 (144A) 4,870,000 $947,843
Becton Dickinson and Co., Floating Rate Note, 6/15/16 2,700,000 $2,701,523
Belden Finance 2013 LP, Initial Term Loan, 9/9/20 641,875 $635,456
Berkeley-Kane Flt% 12jun15 2,008,000 $2,074,666
Berkshire Hathaway Finance Corp., Floating Rate Note, 1/10/17 1,855,000 $1,855,130
Berkshire Hathaway Finance Corp., Floating Rate Note, 8/14/17 2,500,000 $2,495,662
BHP Billiton Finance USA, Ltd., Floating Rate Note, 9/30/16 1,795,000 $1,794,410
Big Heart Pet Brands, Initial Term Loan, 2/24/20 478,257 $460,322
BioScrip, Inc., Delayed Draw Term Loan, 7/31/20 328,915 $330,559
BioScrip, Inc., Initial Term B Loan, 7/31/20 548,191 $550,932
BlackRock, Inc., 1.375%, 6/1/15 1,310,000 $1,317,559
Blue Danube, Ltd., Floating Rate Note, 4/10/15 (Cat Bond) (144A) 600,000 $610,886
Blue Danube, Ltd., Floating Rate Note, 4/10/15 (Cat Bond) (144A) 1,945,000 $2,017,926
Blue Danube II, Ltd., Floating Rate Note, 5/23/18 (Cat Bond) (144A) 2,575,000 $2,606,200
BMW Floorplan Master Owner Trust, Floating Rate Note, 9/15/17 (144A) 3,000,000 $3,005,147
BMW Vehicle Lease Trust 2013-1, 0.54%, 9/21/15 3,062,000 $1,509,046
BNC Mortgage Loan Trust 2007-4, Floating Rate Note, 11/25/37 9,500,000 $139,185
Boca Hotel Portfolio Trust 2013-BOCA, Floating Rate Note, 8/17/26 (144A) 1,375,000 $1,376,705
Bombardier Recreational Products, Inc., Term B Loan, 1/30/19 188,571 $185,271
Booz Allen Hamilton, Inc., Refinance Tranche B, 7/31/19 1,358,138 $1,354,319
Bosphorus Re, Ltd., Floating Rate Note, 5/3/16 (Cat Bond) (144A) 750,000 $750,879
Branch Banking & Trust Co., Floating Rate Note, 5/23/17 500,000 $497,190
Branch Banking & Trust Co., Floating Rate Note, 9/13/16 1,814,000 $1,808,280
Bright Horizons Family Solutions, Inc., Term B Loan, 1/30/20 596,827 $588,621
Bright Horizons Family Solutions I 1st Lien Tl-B1 L + 3.25% 30jan20 600,000 $597,750
British Telecommunications Plc, 2.0%, 6/22/15 3,125,000 $3,145,488
BSN medical International Holding GmbH & Co KG, Facility B1b, 8/28/19 593,611 $593,611
Burger King Corp 1st Lien Tl-B L + 3.5% 25sep21 620,000 $620,277
Bway Holding Co 1st Lien Tl-B L + 4.5% 08aug20 399,000 $397,379
Cabela's Credit Card Master Note Trust, Floating Rate Note, 1/16/18 (144A) 3,392,000 $3,396,191
Cabela's Credit Card Master Note Trust, Floating Rate Note, 2/18/20 (144A) 2,150,000 $2,165,627
Cabela's Credit Card Master Note Trust, Floating Rate Note, 3/16/20 900,000 $899,967
Cabela's Credit Card Master Note Trust, Floating Rate Note, 6/17/19 (144A) 3,630,000 $3,642,521
Cabela's Credit Card Master Note Trust, Floating Rate Note, 9/17/18 (144A) 2,475,000 $2,483,750
Caelus Re, Ltd., Floating Rate Note, 3/7/16 (Cat Bond) (144A) 2,250,000 $2,312,633
Caelus Re 2013, Ltd., Floating Rate Note, 4/7/20 (Cat Bond) (144A) 2,300,000 $2,435,230
California Republic Auto Receivables Trust 2012-1, 1.18%, 8/15/17 (144A) 1,138,000 $263,356
California Republic Auto Receivables Trust 2013-1, 1.41%, 9/17/18 (144A) 500,000 $278,021
Calpine Construction Finance Co LP, Term B-1 Loan, 5/3/20 1,182,000 $1,145,801
Calpine Corp., Term Loan (10/12), 10/9/19 758,236 $750,180
CAM Mortgage Trust 2014-2, 2.6%, 12/15/53 (Step) (144A) 2,130,000 $900,732
Canadian National Railway Co., Floating Rate Note, 11/14/17 1,670,000 $1,671,182
Canadian Natural Resources, Ltd., Floating Rate Note, 3/30/16 2,399,000 $2,394,767
Capital Auto Receivables Asset Trust 2013-3, Floating Rate Note, 11/20/15 840,000 $254,552
Capital One Financial Corp., 1.0%, 11/6/15 1,300,000 $1,300,749
Capital One Financial Corp., 2.15%, 3/23/15 5,059,000 $5,103,665
Capital One Financial Corp., Floating Rate Note, 11/6/15 1,875,000 $1,883,415
Capital One Multi-Asset Execution Trust, Floating Rate Note, 12/16/19 3,400,000 $3,380,745
Capital One Multi-Asset Execution Trust, Floating Rate Note, 2/15/19 1,950,000 $1,950,343
Capital One Multi-Asset Execution Trust, Floating Rate Note, 6/17/19 4,470,000 $4,455,863
Capital One Multi-Asset Execution Trust, Floating Rate Note, 8/15/18 6,945,000 $6,942,496
Capital One NA, Floating Rate Note, 3/22/16 1,900,000 $1,902,692
Carefree Portfolio Trust 2014-CARE, Floating Rate Note, 11/15/29 (144A) 3,300,000 $3,290,914
Carlyle High Yield Partners VII, Ltd., Floating Rate Note, 9/30/19 5,000,000 $4,479,200
CarMax Auto Owner Trust 2011-1, 2.16%, 9/15/16 200,000 $73,532
CarMax Auto Owner Trust 2011-3, 1.07%, 6/15/16 518,000 $29,566
Carrington Mortgage Loan Trust Series 2005-NC1, Floating Rate Note, 2/26/35 19,369,028 $3,672,130
Carrington Mortgage Loan Trust Series 2005-NC4, Floating Rate Note, 9/25/35 375,000 $45,170
Carrington Mortgage Loan Trust Series 2006-OPT1, Floating Rate Note, 12/25/35 9,778,000 $1,956,688
Castle Garden Funding, Floating Rate Note, 10/27/20 (144A) 7,000,000 $1,153,073
Caterpillar Financial Services Corp., Floating Rate Note, 2/26/16 1,500,000 $1,502,329
Caterpillar Financial Services Corp., Floating Rate Note, 2/9/15 2,000,000 $2,002,410
CCG Receivables Trust 2014-1, 1.06%, 11/14/21 (144A) 1,900,000 $1,898,485
CCG Receivables Truste 2013-1, 1.05%, 4/14/20 (144A) 900,000 $422,794
CD 2005-CD1 Commercial Mortgage Trust, Floating Rate Note, 7/15/44 3,277,000 $3,129,911
CDGJ Commercial Mortgage Trust 2014-BXCH, Floating Rate Note, 12/15/27 (144A) 4,860,000 $4,867,637
Cedar Fair LP, U.S. Term Facility, 3/6/20 96,885 $96,809
Cent CLO 16 LP, Floating Rate Note, 8/1/24 (144A) 3,250,000 $3,233,069
Centex Home Equity Loan Trust 2003-A, Floating Rate Note, 3/25/33 2,230,000 $372,589
Cequel Communications LLC, Term Loan, 2/14/19 1,115,014 $1,100,845
CGBAM Commercial Mortgage Trust 2014-HD, Floating Rate Note, 2/18/31 (144A) 1,050,000 $1,047,116
CG-CCRE Commercial Mortgage Trust 2014-FL1, Floating Rate Note, 6/16/31 (144A) 5,670,000 $5,663,743
CGWF Commercial Mortgage Trust 2013-RKWH REMICS, Floating Rate Note, 11/15/30 (144A) 6,770,000 $6,789,899
Charter Communications 1st Lien Tl-B L + 3.5% 12aug21 1,250,000 $1,257,899
Charter Communications Operating LLC, Term F Loan, 12/31/20 1,305,125 $1,281,353
Chase Funding Trust Series 2002-4, Floating Rate Note, 10/25/32 1,000,000 $18,158
Chase Issuance Trust, 0.47%, 5/15/17 200,000 $200,014
Chase Issuance Trust, 0.54%, 10/16/17 1,001,000 $1,000,746
Chase Issuance Trust, 0.59%, 8/15/17 950,000 $950,548
Chase Issuance Trust, 0.79%, 6/15/17 8,755,000 $8,769,683
Chase Issuance Trust, Floating Rate Note, 10/16/17 2,700,000 $2,698,716
Chase Issuance Trust, Floating Rate Note, 11/15/18 2,500,000 $2,500,740
Chase Issuance Trust, Floating Rate Note, 2/15/17 6,345,000 $6,345,356
Chase Issuance Trust, Floating Rate Note, 4/15/19 150,000 $149,078
Chase Issuance Trust, Floating Rate Note, 4/15/19 1,350,000 $1,342,599
Chase Issuance Trust, Floating Rate Note, 4/16/18 3,000,000 $3,000,340
Chase Issuance Trust, Floating Rate Note, 5/15/17 5,102,000 $5,100,259
Chase Issuance Trust, Floating Rate Note, 8/15/17 9,130,000 $9,125,885
Chase Mortgage Finance Trust Series 2005-S1, 5.5%, 5/25/35 19,264,330 $359,868
Chemtura Corp., New Term Loan, 8/29/16 146,429 $146,490
Chesapeake Funding LLC, Floating Rate Note, 11/7/23 (144A) 250,000 $251,520
Chesapeake Funding LLC, Floating Rate Note, 11/7/23 (144A) 3,790,000 $1,300,637
Chesapeake Funding LLC, Floating Rate Note, 3/7/26 1,900,000 $1,899,912
Chesapeake Funding LLC, Floating Rate Note, 4/7/24 (144A) 2,050,000 $1,129,934
Chesapeake Funding LLC, Floating Rate Note, 5/7/24 (144A) 2,550,000 $1,396,796
Chesapeake Funding LLC, Floating Rate Note, 5/7/24 (144A) 200,000 $201,066
Chevron Corp., Floating Rate Note, 11/9/16 2,640,000 $2,641,478
Chevy Chase Funding LLC Mortgage-Backed Certificates Series 2004-1, Floating Rate Note, 1/25/35 (144 3,700,000 $106,613
Chevy Chase Funding LLC Mortgage-Backed Certificates Series 2004-3, Floating Rate Note, 8/25/35 (144 1,300,000 $52,094
CHL Mortgage Pass-Through Trust 2003-11, Floating Rate Note, 5/25/33 30,308,000 $301,835
CHL Mortgage Pass-Through Trust 2003-15 REMICS, Floating Rate Note, 6/25/18 25,913,062 $565,567
CHL Mortgage Pass-Through Trust 2003-J7, Floating Rate Note, 8/25/18 2,400,000 $51,469
CHL Mortgage Pass-Through Trust 2004-29, Floating Rate Note, 2/25/35 96,156,000 $4,631,253
CHS, 2021 Term D Loan, 1/27/21 71,647 $71,597
CIFC Funding 2007-I, Ltd., Floating Rate Note, 5/10/21 (144A) 500,000 $296,833
Cincinnati Bell, Inc., Tranche B Term Loan, 9/10/20 1,234,375 $1,222,031
Cisco Systems, Inc., Floating Rate Note, 3/3/17 2,580,000 $2,581,518
Cisco Systems, Inc., Floating Rate Note, 9/3/15 3,600,000 $3,600,919
Citadel Plastics Holdings Inc 1st Lien Tlb L + 4.25% 05nov20 1,181,000 $1,183,953
CIT Equipment Collateral 2014-VT1, 1.03%, 5/22/17 (144A) 2,500,000 $2,500,499
Citibank Credit Card Issuance Trust, 4.55%, 6/20/17 639,000 $652,065
Citibank Credit Card Issuance Trust, 4.85%, 3/10/17 4,180,000 $4,277,658
Citibank Credit Card Issuance Trust, 5.1%, 11/20/17 1,650,000 $1,723,747
Citibank Credit Card Issuance Trust, Floating Rate Note, 11/7/18 3,490,000 $3,488,700
Citibank Credit Card Issuance Trust, Floating Rate Note, 2/7/18 9,931,000 $9,932,517
Citibank Credit Card Issuance Trust, Floating Rate Note, 4/24/17 17,520,000 $17,509,406
Citibank Credit Card Issuance Trust, Floating Rate Note, 5/22/17 6,500,000 $6,527,718
Citibank Credit Card Issuance Trust, Floating Rate Note, 5/9/18 3,500,000 $3,500,801
Citicorp Mortgage Securities REMIC Pass-Through Certificates Trust Series 2005-4, 5.0%, 7/25/20 486,000 $15,756
Citicorp Mortgage Securities REMIC Pass-Through Certificates Trust Series 2005-7, 5.0%, 10/25/35 17,468,000 $1,184,688
Citigroup, Inc., Floating Rate Note, 11/15/16 1,700,000 $1,702,429
Citigroup, Inc., Floating Rate Note, 11/24/17 2,630,000 $2,633,176
Citigroup, Inc., Floating Rate Note, 4/1/16 1,325,000 $1,333,117
Citigroup, Inc., Floating Rate Note, 7/25/16 3,700,000 $3,731,532
Citigroup Commercial Mortgage Trust 2005-C3, 4.86%, 5/15/43 7,619,000 $342,416
Citigroup Commercial Mortgage Trust 2007-FL3, Floating Rate Note, 4/15/22 (144A) 1,982,362 $1,972,611
Citigroup Commercial Mortgage Trust 2007-FL3, Floating Rate Note, 4/15/22 (144A) 1,105,112 $1,096,850
Citigroup Commercial Mortgage Trust 2007-FL3, Floating Rate Note, 4/15/22 (144A) 497,205 $494,719
Citigroup Commercial Mortgage Trust 2007-FL3, Floating Rate Note, 4/15/22 (144A) 1,430,707 $760,653
Citigroup Mortgage Loan Trust, Inc., 6.5%, 6/25/16 10,100,000 $9,623
Citigroup Mortgage Loan Trust, Inc., Floating Rate Note, 11/25/34 3,500,000 $221,700
Citigroup Mortgage Loan Trust, Inc., Floating Rate Note, 5/25/35 (144A) 1,150,000 $3,549
Citigroup Mortgage Loan Trust, Inc., Floating Rate Note, 5/25/35 (144A) 2,925,000 $2,841,445
Citigroup Mortgage Loan Trust 2006-SHL1, Floating Rate Note, 11/25/46 (144A) 21,220,000 $2,180,816
Citigroup Mortgage Loan Trust 2010-4 REMICS, 5.0%, 10/25/35 (144A) 9,095,000 $2,610,782
Citigroup Mortgage Loan Trust 2010-7 REMICS, Floating Rate Note, 9/25/37 (144A) 6,105,345 $974,595
Citigroup Mortgage Loan Trust Series 2004-OPT1 Asset Backed Pass-Through Certifi, Floating Rate Note 2,140,000 $1,875,981
Citrus Re, Ltd., Floating Rate Note, 4/18/17 (Cat Bond) (144A) 250,000 $251,593
Citrus Re, Ltd., Floating Rate Note, 4/24/17 (Cat Bond) (144A) 1,350,000 $1,358,123
City Center Trust 2011-CCHP, Floating Rate Note, 7/17/28 (144A) 950,000 $951,233
CLI Funding LLC, Floating Rate Note, 8/18/21 (144A) 7,250,000 $1,091,688
CNH Equipment Trust 2011-A, 2.04%, 10/17/16 565,000 $310,009
CNH Equipment Trust 2012-A, 2.09%, 8/15/18 2,310,000 $2,343,589
CNH Equipment Trust 2013-A, 0.69%, 6/15/18 1,874,000 $1,779,002
CNH Equipment Trust 2013-C, 0.63%, 1/17/17 1,903,426 $583,215
CNH Wholesale Master Note Trust, Floating Rate Note, 8/15/19 (144A) 1,550,000 $1,554,010
CNL Commercial Mortgage Loan Trust 2002-1, Floating Rate Note, 10/25/28 (144A) 42,221,000 $1,323,319
CNL Commercial Mortgage Loan Trust 2003-2, Floating Rate Note, 10/25/30 (144A) 3,600,000 $318,950
CNO Financial Group, Inc., Tranche B-2 Term Loan, 9/28/18 459,849 $449,503
Coca-Cola Enterprises, Inc., 2.125%, 9/15/15 551,000 $559,952
Colony American Homes 2014-1, Floating Rate Note, 5/19/31 (144A) 2,300,000 $2,240,874
Colony American Homes 2014-2, Floating Rate Note, 7/19/31 (144A) 2,100,000 $2,047,832
Combine Re, Ltd., Floating Rate Note, 1/7/15 (Cat Bond) (144A) 2,000,000 $2,048,133
Combine Re, Ltd., Floating Rate Note, 1/7/15 (Cat Bond) (144A) 6,595,000 $6,665,402
COMM 2005-C6 Mortgage Trust, Floating Rate Note, 6/10/44 6,607,413 $6,739,296
COMM 2005-C6 Mortgage Trust, Floating Rate Note, 6/10/44 2,675,000 $2,344,199
COMM 2007-FL14 Mortgage Trust, Floating Rate Note, 6/15/22 (144A) 9,355,000 $1,939,215
COMM 2013-FL3 Mortgage Trust, Floating Rate Note, 10/13/28 (144A) 1,597,000 $1,274,739
COMM 2014-FL5 Mortgage Trust, Floating Rate Note, 10/15/31 (144A) 4,970,000 $4,958,428
COMM 2014-KYO Mortgage Trust, Floating Rate Note, 6/11/27 (144A) 5,740,000 $5,722,908
COMM 2014-PAT Mortgage Trust, Floating Rate Note, 8/13/27 (144A) 2,722,000 $2,712,459
COMM 2014-SAVA Mortgage Trust, Floating Rate Note, 6/15/34 (144A) 3,954,000 $3,945,054
COMM 2014-TWC Mortgage Trust, Floating Rate Note, 2/13/32 (144A) 6,150,000 $6,142,311
Commercial Mortgage Pass Through Certificates, Floating Rate Note, 11/19/26 (144A) 2,250,000 $886,056
Commercial Mortgage Trust 2005-GG3, Floating Rate Note, 8/10/42 3,300,000 $2,919,041
Commercial Mortgage Trust 2005-GG5, Floating Rate Note, 4/10/37 6,995,000 $7,178,266
Commonwealth Bank of Australia, Floating Rate Note, 12/4/15 (144A) 1,800,000 $1,801,098
Commonwealth Bank of Australia, Floating Rate Note, 3/13/17 (144A) 2,000,000 $2,001,777
Commonwealth Bank of Australia, Floating Rate Note, 9/18/15 (144A) 1,575,000 $1,584,391
CommScope, Inc., Tranche 3 Term Loan, 1/21/17 158,036 $156,982
CommScope, Inc., Tranche 4 Term Loan, 1/14/18 237,054 $235,473
Compass Re, Ltd., Floating Rate Note, 1/8/15 (Cat Bond) (144A) 1,000,000 $1,026,194
Compass Re, Ltd., Floating Rate Note, 1/8/15 (Cat Bond) (144A) 250,000 $255,725
Compass Re, Ltd., Floating Rate Note, 1/8/15 (Cat Bond) (144A) 250,000 $257,213
Confie seguros Holding II Co., Term B Loan (First Lien), 11/9/18 493,657 $492,628
Conseco Financial Corp., 7.05%, 1/15/19 600,362 $6,398
ConvaTec, Inc., Dollar Term Loan, 12/22/16 796,876 $789,903
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA New York, Floating Rate Note, 10/23/15 2,500,000 $2,501,523
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA New York, Floating Rate Note, 3/18/16 1,575,000 $1,580,152
Countrywide Asset-Backed Certificates, Floating Rate Note, 1/25/36 125,000 $4,116
Countrywide Asset-Backed Certificates, Floating Rate Note, 10/25/34 5,000,000 $2,213,394
Countrywide Asset-Backed Certificates, Floating Rate Note, 11/25/35 7,825,000 $277,422
Countrywide Asset-Backed Certificates, Floating Rate Note, 3/25/35 5,600,000 $1,643,967
Countrywide Asset-Backed Certificates, Floating Rate Note, 5/25/35 5,000,000 $271,378
Countrywide Asset-Backed Certificates, Floating Rate Note, 5/25/35 1,575,000 $384,860
Countrywide Asset-Backed Certificates, Floating Rate Note, 6/25/33 (144A) 8,955,000 $182,063
Countrywide Asset-Backed Certificates, Floating Rate Note, 6/25/33 (144A) 2,000,000 $40,402
Countrywide Asset-Backed Certificates, Floating Rate Note, 9/25/35 1,400,000 $199,965
Covanta Energy Corp., Term Loan, 3/28/19 132,000 $131,794
Covidien International Finance SA, 1.35%, 5/29/15 6,575,000 $6,602,622
CPS Auto Receivables Trust 2013-B, 1.82%, 9/15/20 (144A) 731,000 $375,637
CPS Auto Receivables Trust 2014-A, 1.21%, 8/15/18 700,000 $500,174
CPS Auto Receivables Trust 2014-C, 1.31%, 2/15/19 (144A) 2,200,000 $1,997,273
CPS Auto Trust, 1.48%, 3/16/20 (144A) 1,060,000 $403,603
CPS Auto Trust, 1.82%, 12/16/19 (144A) 1,179,000 $408,402
Credit Acceptance Auto Loan Trust 2012-2, 1.52%, 3/16/20 (144A) 3,241,000 $2,202,783
Credit Acceptance Auto Loan Trust 2012-2, 2.21%, 9/15/20 (144A) 2,000,000 $2,016,494
Credit Acceptance Auto Loan Trust 2013-1, 1.21%, 10/15/20 (144A) 1,000,000 $1,000,832
Credit-Based Asset Servicing and Securitization LLC, Floating Rate Note, 7/25/34 2,783,000 $677,417
Credit-Based Asset Servicing and Securitization LLC, Floating Rate Note, 7/25/36 4,500,000 $4,419,968
Credit Suisse Commercial Mortgage Trust Series 2006-C1, Floating Rate Note, 2/15/39 5,802,000 $5,995,647
Credit Suisse Commercial Mortgage Trust Series 2006-C2, Floating Rate Note, 3/15/39 8,230,000 $5,864,947
Credit Suisse First Boston Mortgage Securities Corp., 4.686%, 7/15/37 5,510,000 $4,537,187
Credit Suisse First Boston Mortgage Securities Corp., 4.832%, 4/15/37 3,450,000 $2,965,548
Credit Suisse First Boston Mortgage Securities Corp., Floating Rate Note, 12/17/40 9,446,500 $6,545,344
Credit Suisse First Boston Mortgage Securities Corp., Floating Rate Note, 12/25/33 300,000 $4,408
Credit Suisse First Boston Mortgage Securities Corp., Floating Rate Note, 6/25/34 26,125,000 $344,470
Credit Suisse First Boston Mortgage Securities Corp., Floating Rate Note, 7/25/35 15,315,000 $1,712,666
Credit Suisse First Boston Mortgage Securities Corp., Floating Rate Note, 8/15/38 8,955,043 $6,227,108
Credit Suisse Mortgage Capital Certificates, Floating Rate Note, 10/27/36 (144A) 2,010,000 $164,484
Credit Suisse Mortgage Capital Certificates REMICS, Floating Rate Note, 7/27/36 (144A) 7,712,000 $1,546,892
Crown Americas Llc 1st Lien Tl-B L + 3.25% 20oct21 1,250,000 $1,253,438
Crown Castle 1st Lien Term-B2 L + 2.5% 31jan21 1,180,207 $1,162,061
Crowne Group Llc 1st Lien Tl-B L + 5% 29sep20 500,000 $492,500
Crusade Global Trust, Floating Rate Note, 11/15/37 17,300,000 $2,566,556
Crusade Global Trust, Floating Rate Note, 7/20/38 (144A) 700,000 $83,796
Crusade Global Trust No 1 of 2007, Floating Rate Note, 4/19/38 15,883,244 $2,656,779
CSMC Series 2014-ICE, Floating Rate Note, 4/15/27 (144A) 6,470,000 $6,471,895
CSMC Trust 2014-SURF, Floating Rate Note, 2/15/29 (144A) 2,400,000 $2,404,283
CWABS Asset-Backed Certificates Trust 2004-7, Floating Rate Note, 12/25/34 2,140,000 $1,171,374
CWABS Asset-Backed Certificates Trust 2005-1, Floating Rate Note, 2/25/33 1,113,000 $155,450
CWABS Asset-Backed Certificates Trust 2005-1, Floating Rate Note, 6/25/35 2,058,000 $13,809
CWABS Inc Asset-Backed Certificates Trust 2004-6, Floating Rate Note, 11/25/34 21,906,000 $692,708
CWABS Inc Asset-Backed Certificates Trust 2004-6, Floating Rate Note, 11/25/34 14,200,000 $728,458
CWABS Master Trust Series 2003-D Subtrust, Floating Rate Note, 6/15/29 28,190,000 $49,347
CWGS Group LLC, Term Loan, 2/20/20 397,452 $395,962
Daimler Finance North America LLC, 1.3%, 7/31/15 (144A) 5,100,000 $5,148,627
Daimler Finance North America LLC, 1.65%, 4/10/15 (144A) 2,131,000 $2,143,578
Daimler Finance North America LLC, Floating Rate Note, 3/10/17 (144A) 1,500,000 $1,497,552
Daimler Finance North America LLC, Floating Rate Note, 8/1/16 (144A) 1,500,000 $1,510,233
Daimler Finance North America LLC, Floating Rate Note, 8/1/17 (144A) 2,061,000 $2,057,121
Darling Ingredients, Inc., Term B USD Loan, 12/19/20 1,578,075 $1,572,157
Davita Healthcare Partners Inc 1st Lien Tl-B L + 2.75% 19jun21 473,860 $470,052
DEALERTRACK TECHNOLOGIES INC, Term Loan, 2/27/21 954,022 $937,613
Del Coronado Trust 2013-DEL, Floating Rate Note, 3/16/26 (144A) 1,460,000 $1,460,774
Dell Equipment Finance Trust 2014-1, 0.64%, 7/22/16 (144A) 800,000 $799,996
DELOS FINANCE SARL, Loan, 2/27/21 1,295,000 $1,287,446
Delta Air Lines, Inc., 2014 Term B-1 Loan, 10/18/18 735,000 $724,664
Delta Air Lines, Inc., Term Loan, 4/20/17 295,420 $293,173
Delta Funding Home Equity Loan Trust 1997-2, 7.04%, 6/25/27 1,000,000 $916
Deltek, Inc., Term Loan (First Lien), 10/10/18 295,477 $292,523
Devon Energy Corp., Floating Rate Note, 12/15/15 4,800,000 $4,803,488
DigitalGlobe, Inc., Term Loan, 1/31/20 875,041 $869,299
Direct Capital Funding V LLC, 1.673%, 12/20/17 (144A) 725,000 $108,442
Discover Card Execution Note Trust, 0.69%, 8/15/18 3,125,000 $3,122,043
Discover Card Execution Note Trust, 0.81%, 8/15/17 3,000,000 $3,002,490
Discover Card Execution Note Trust, 0.86%, 11/15/17 1,700,000 $1,703,198
Discover Card Execution Note Trust, Floating Rate Note, 1/16/18 1,345,000 $1,345,010
Discover Card Execution Note Trust, Floating Rate Note, 10/15/18 3,915,000 $3,913,003
Discover Card Execution Note Trust, Floating Rate Note, 3/15/18 6,550,000 $6,565,876
Drillships Financing Holding, Inc., Tranche B-1 Term Loan, 3/31/21 987,500 $787,531
Drug Royalty II LP 2, Floating Rate Note, 7/15/23 (144A) 1,350,000 $1,299,438
Dtz Us Borrower Llc 1st Lien Dd L + 4.5% 28oct21 640,187 $640,587
Dtz Us Borrower Llc 1st Lien Tl L + 4.5% 28oct21 1,074,600 $1,075,271
Duke Energy Corp., 3.35%, 4/1/15 2,600,000 $2,638,493
Duke Energy Corp., Floating Rate Note, 4/3/17 1,740,000 $1,744,991
Duke Energy Indiana, Inc., Floating Rate Note, 7/11/16 1,375,000 $1,379,102
Duke Energy Ohio, Inc., Floating Rate Note, 3/6/15 725,000 $725,110
Duke Energy Progress, Inc., Floating Rate Note, 11/20/17 2,600,000 $2,589,381
Duke Energy Progress, Inc., Floating Rate Note, 3/6/17 1,275,000 $1,271,493
DynCorp International, Inc., Term Loan, 7/7/16 143,055 $142,579
Dynegy, Inc., Tranche B-2 Term Loan, 4/23/20 454,615 $450,069
East Lane Re, Ltd., Floating Rate Note, 3/13/15 (Cat Bond) (144A) 1,000,000 $1,010,740
East Lane Re V, Ltd., Floating Rate Note, 3/16/16 (Cat Bond) (144A) 250,000 $266,425
East Lane Re VI, Ltd., Floating Rate Note, 3/14/18 (Cat Bond) (144A) 2,000,000 $1,997,067
Eco Services Operations Llc 1st Lien Tl-B L + 3.75% 10oct21 1,400,000 $1,386,000
Eden Re II, Ltd., 0.0%, 4/19/18 (Cat Bond) (144A) 1,300,000 $1,300,000
Electricite de France SA, Floating Rate Note, 1/20/17 (144A) 1,865,000 $1,872,689
Ellington Loan Acquisition Trust 2007-1, Floating Rate Note, 5/26/37 (144A) 2,400,000 $2,139,172
Ellington Loan Acquisition Trust 2007-2, Floating Rate Note, 5/26/37 (144A) 5,000,000 $491,468
Embarcadero Reinsurance, Ltd., Floating Rate Note, 2/7/17 (Cat Bond) (144A) 1,025,000 $1,034,332
Emdeon, Inc., Term B-2 Loan, 11/2/18 1,603,938 $1,579,210
Enbridge, Inc., Floating Rate Note, 10/1/16 1,650,000 $1,652,839
Encore Credit Receivables Trust 2005-3, Floating Rate Note, 10/25/35 3,705,000 $953,746
Endo Luxembourg Finance I 1st Lien Tl-B L + 2.5% 05nov20 496,250 $481,983
Energy Transfer Partners LP, 5.95%, 2/1/15 2,830,000 $2,909,502
Entercom Radio LLC, Term B-2 Loan, 11/23/18 344,650 $343,358
Enterprise Fleet Financing LLC, 0.72%, 4/20/18 (144A) 4,500,000 $1,280,600
Enterprise Fleet Financing LLC, 0.87%, 9/20/19 2,000,000 $1,992,196
Enterprise Fleet Financing LLC, 0.93%, 4/20/18 (144A) 1,800,000 $1,801,890
Enterprise Products Operating LLC, 3.7%, 6/1/15 3,830,000 $3,885,333
Envision Healthcare Corp., Initial Term Loan, 5/25/18 1,249,098 $1,237,778
Epiq Systems, Inc., Term Loan, 8/27/20 469,063 $467,304
EQTY 2014-INNS Mortgage Trust, Floating Rate Note, 5/8/31 (144A) 3,530,000 $3,490,218
EQTY 2014-INNS Mortgage Trust REMICS, Floating Rate Note, 5/8/31 (144A) 1,850,000 $1,833,185
Equity One Mortgage Pass-Through Trust 2004-3, Floating Rate Note, 7/25/34 14,189,000 $868,158
EquiVantage Home Equity Loan Trust 1997-1, 8.05%, 3/25/28 (Step) 1,500,000 $26,662
Evergreen Skills Lux Sarl, Initial Term Loan (First Lien), 4/23/21 399,000 $392,417
Exeter Automobile Receivables Trust 2012-2, 1.3%, 6/15/17 (144A) 1,000,000 $95,715
Exeter Automobile Receivables Trust 2012-2, 3.06%, 7/16/18 (144A) 1,000,000 $1,008,743
Exeter Automobile Receivables Trust 2014-2, 1.06%, 8/15/18 1,400,000 $999,270
Expert Global Solutions, Inc., Term B Advance (First Lien), 4/3/18 10,555 $10,507
Express Scripts Holding Co., 2.1%, 2/12/15 5,323,000 $5,372,692
Extended Stay America Trust 2013-ESH, Floating Rate Note, 12/5/31 (144A) 800,000 $798,744
Extended Stay America Trust 2013-ESH, Floating Rate Note, 12/5/31 (144A) 900,000 $896,737
Exxon Mobil Corp., Floating Rate Note, 3/15/17 1,980,000 $1,978,876
Fannie Mae, 7.0%, 10/1/17 2,241,352 $6,607
Fannie Mae, Floating Rate Note, 1/1/48 175,000 $23,772
Fannie Mae, Floating Rate Note, 10/1/32 500,000 $27,724
Fannie Mae, Floating Rate Note, 11/1/23 970,000 $9,937
Fannie Mae, Floating Rate Note, 2/1/34 500,000 $24,074
Fannie Mae, Floating Rate Note, 9/1/32 375,000 $21,588
Fannie Mae Connecticut Avenue Securities, Floating Rate Note, 10/25/23 1,705,000 $1,398,749
Fannie Mae Connecticut Avenue Securities, Floating Rate Note, 5/25/24 3,560,000 $3,148,361
Fannie Mae Connecticut Avenue Securities, Floating Rate Note, 7/25/24 5,330,000 $4,748,189
Fannie Mae Trust 2003-W6, Floating Rate Note, 9/25/42 10,100,000 $840,334
Fannie Mae Trust 2005-W4, Floating Rate Note, 6/25/45 1,500,000 $225,258
Fannie Mae Whole Loan, Floating Rate Note, 11/25/46 12,390,000 $2,159,241
FCA US LLC, Term Loan B, 5/24/17 375,000 $374,531
FCA US LLC, Tranche B Term Loan, 12/29/18 2,885,500 $2,866,565
FCI - FIDJI LUXEMBOURG BC4 SARL, Term Loan, 12/19/20 1,347,500 $1,351,711
Federal Farm Credit Banks, 0.39%, 4/25/16 2,133,000 $2,128,446
Federal Farm Credit Banks, Floating Rate Note, 1/20/15 1,490,000 $1,490,932
Federal Farm Credit Banks, Floating Rate Note, 1/26/15 4,000,000 $4,002,309
Federal Farm Credit Banks, Floating Rate Note, 10/26/15 2,560,000 $2,561,091
Federal Farm Credit Banks, Floating Rate Note, 2/18/16 2,610,000 $2,611,552
Federal Farm Credit Banks, Floating Rate Note, 3/23/15 18,770,000 $18,781,057
Federal Farm Credit Banks, Floating Rate Note, 3/4/15 1,360,000 $1,360,555
Federal Farm Credit Banks, Floating Rate Note, 3/9/15 2,200,000 $2,200,156
Federal Farm Credit Banks, Floating Rate Note, 9/18/15 2,540,000 $2,541,366
Federal Home Loan Bank Discount Notes, 0.0%, 1/21/15 13,420,000 $13,419,852
Federal Home Loan Banks, 2.9%, 4/20/17 4,130,000 $771,272
Federal Home Loan Banks, Floating Rate Note, 10/7/15 2,640,000 $2,643,249
Federal Home Loan Mortgage Corp., Floating Rate Note, 1/15/35 5,669,000 $786,831
Federal Home Loan Mortgage Corp., Floating Rate Note, 10/1/23 1,890,000 $8,810
Federal Home Loan Mortgage Corp., Floating Rate Note, 11/1/33 850,000 $15,164
Federal Home Loan Mortgage Corp., Floating Rate Note, 6/1/35 3,000,000 $7,661
Federal Home Loan Mortgage Corp., Floating Rate Note, 6/26/15 2,000,000 $2,000,619
Federal Home Loan Mortgage Corp., Floating Rate Note, 8/15/35 50,000,000 $5,094,859
Federal Home Loan Mortgage Corp. REMICS, 3.5%, 6/15/28 5,381,000 $635,138
Federal Home Loan Mortgage Corp. REMICS, 4.0%, 1/15/24 1,801,000 $51,231
Federal Home Loan Mortgage Corp. REMICS, 4.0%, 11/15/23 95,000 $66,935
Federal Home Loan Mortgage Corp. REMICS, 4.0%, 12/15/22 4,041,000 $5,934
Federal Home Loan Mortgage Corp. REMICS, 5.0%, 6/15/34 2,168,000 $31,334
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 1/15/33 42,500,000 $580,927
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 1/15/36 1,837,000 $375,676
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 1/15/37 63,238,000 $4,064,664
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 10/15/20 1,400,000 $133,434
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 10/15/31 1,750,000 $109,477
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 10/15/37 18,287,000 $1,339,573
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 10/15/37 9,195,000 $694,155
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 11/15/18 7,142,857 $57,941
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 11/15/31 20,187,077 $133,956
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 11/15/33 2,550,000 $330,105
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 11/15/35 850,000 $189,556
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 11/15/36 5,342,000 $982,843
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 11/15/36 2,850,000 $484,041
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 11/15/40 1,265,000 $602,020
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/20 1,000,000 $156,730
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/28 56,250,000 $484,966
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/32 2,500,000 $4,693
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/32 1,700,000 $32,495
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/32 11,201,000 $887,956
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/32 9,063,000 $707,742
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/32 15,400,000 $240,445
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/36 17,426,100 $1,410,253
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/39 2,334,000 $972,126
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/41 1,000,000 $669,014
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/19 4,675,000 $322,953
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/25 2,142,856 $450,446
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/29 23,100,000 $266,124
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/30 2,056,750 $940,481
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/33 15,000,000 $429,003
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/33 49,250,000 $682,551
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/36 5,000,000 $399,525
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/36 5,087,000 $924,629
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/37 23,400,000 $1,382,637
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/39 1,251,000 $649,773
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 3/15/24 6,200,000 $1,507,006
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 3/15/32 122,751,000 $1,100,207
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 3/15/32 64,920,000 $757,630
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 3/15/32 22,000,000 $204,086
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 3/15/36 5,000,000 $1,129,909
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 3/15/39 1,000,000 $275,139
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 3/15/41 13,046,000 $2,953,093
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 4/15/35 1,775,000 $381,991
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 4/15/36 3,463,000 $689,058
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 5/15/29 15,000,000 $130,893
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 5/15/33 2,000,000 $245,191
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 5/15/35 3,925,000 $870,006
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 5/15/35 10,200,000 $675,421
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 5/15/36 7,791,000 $554,009
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 5/15/37 5,000,000 $351,153
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 5/15/37 3,000,000 $251,015
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 5/15/41 340,000 $109,234
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 6/15/23 6,500,000 $113,313
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 6/15/33 10,000,000 $552,587
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 6/15/36 5,835,000 $614,193
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 6/15/36 52,250,000 $2,199,088
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 6/15/38 4,056,000 $893,702
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 7/15/21 17,312,039 $252,701
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 7/15/23 2,924,000 $638,178
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 7/15/34 5,000,000 $647,053
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 7/15/36 1,200,000 $50,823
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 7/15/36 5,000,000 $957,088
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 7/15/36 15,317,285 $1,192,180
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 7/15/40 2,570,000 $559,986
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 8/15/26 1,330,000 $485,486
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 8/15/35 2,185,000 $438,303
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 8/15/35 5,000,000 $894,474
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 8/15/36 17,556,000 $918,754
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 9/15/26 1,427,500 $837,606
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 9/15/32 10,000,000 $219,692
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 9/15/36 3,320,000 $389,080
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 9/15/36 3,470,000 $320,859
Federal National Mortgage Association, 0.75%, 8/16/17 (Step) 1,415,000 $1,417,178
Federal National Mortgage Association, Floating Rate Note, 1/20/15 760,000 $760,070
Federal National Mortgage Association, Floating Rate Note, 1/27/15 2,135,000 $2,136,811
Federal National Mortgage Association, Floating Rate Note, 12/25/33 25,758,805 $7,400,302
Federal National Mortgage Association, Floating Rate Note, 2/25/38 50,000,000 $14,997,608
Federal National Mortgage Association, Floating Rate Note, 3/25/18 30,543,000 $891,670
Federal National Mortgage Association, Floating Rate Note, 4/25/35 750,000 $137,125
Federal National Mortgage Association, Floating Rate Note, 8/26/16 6,085,000 $6,088,849
Federal National Mortgage Association REMICS, 4.0%, 6/25/37 3,650,000 $121,352
Federal National Mortgage Association REMICS, 4.5%, 1/25/39 820,000 $51,445
Federal National Mortgage Association REMICS, 6.0%, 3/25/35 1,000,000 $16,054
Federal National Mortgage Association REMICS, Floating Rate Note, 1/18/32 16,977,308 $253,013
Federal National Mortgage Association REMICS, Floating Rate Note, 1/25/32 30,000,000 $412,707
Federal National Mortgage Association REMICS, Floating Rate Note, 1/25/33 13,036,000 $459,489
Federal National Mortgage Association REMICS, Floating Rate Note, 1/25/33 5,000,000 $162,549
Federal National Mortgage Association REMICS, Floating Rate Note, 1/25/40 5,000,000 $395,276
Federal National Mortgage Association REMICS, Floating Rate Note, 10/25/35 625,000 $27,798
Federal National Mortgage Association REMICS, Floating Rate Note, 10/25/35 6,475,000 $646,989
Federal National Mortgage Association REMICS, Floating Rate Note, 10/25/36 71,456,000 $2,616,051
Federal National Mortgage Association REMICS, Floating Rate Note, 10/25/37 1,030,000 $131,288
Federal National Mortgage Association REMICS, Floating Rate Note, 10/25/37 2,400,000 $663,507
Federal National Mortgage Association REMICS, Floating Rate Note, 10/25/38 6,344,000 $683,125
Federal National Mortgage Association REMICS, Floating Rate Note, 10/27/37 2,382,000 $2,347,397
Federal National Mortgage Association REMICS, Floating Rate Note, 11/18/32 105,671,000 $1,978,285
Federal National Mortgage Association REMICS, Floating Rate Note, 11/25/31 44,000,000 $404,305
Federal National Mortgage Association REMICS, Floating Rate Note, 11/25/31 50,000,000 $459,438
Federal National Mortgage Association REMICS, Floating Rate Note, 11/25/33 10,000,000 $780,321
Federal National Mortgage Association REMICS, Floating Rate Note, 11/25/34 9,662,000 $709,380
Federal National Mortgage Association REMICS, Floating Rate Note, 11/25/36 1,625,000 $347,092
Federal National Mortgage Association REMICS, Floating Rate Note, 12/25/23 5,000,000 $351,670
Federal National Mortgage Association REMICS, Floating Rate Note, 12/25/23 13,749,086 $110,029
Federal National Mortgage Association REMICS, Floating Rate Note, 12/25/30 20,000,000 $96,686
Federal National Mortgage Association REMICS, Floating Rate Note, 12/25/31 30,500,000 $1,139,341
Federal National Mortgage Association REMICS, Floating Rate Note, 12/25/32 14,000,000 $417,323
Federal National Mortgage Association REMICS, Floating Rate Note, 12/25/35 3,750,000 $388,497
Federal National Mortgage Association REMICS, Floating Rate Note, 12/25/36 4,800,000 $275,291
Federal National Mortgage Association REMICS, Floating Rate Note, 12/25/37 21,428,000 $723,567
Federal National Mortgage Association REMICS, Floating Rate Note, 12/25/38 400,000 $254,471
Federal National Mortgage Association REMICS, Floating Rate Note, 12/25/49 2,000,000 $275,119
Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/17 14,970,453 $8,032
Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/33 16,918,890 $812,317
Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/33 10,610,000 $378,388
Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/35 2,497,000 $784,420
Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/37 5,150,000 $511,194
Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/37 20,692,000 $891,930
Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/38 2,184,000 $582,549
Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/38 4,400,000 $278,884
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/23 17,080,403 $156,568
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/24 14,460,650 $565,488
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/28 24,210,000 $311,170
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/34 20,624,640 $1,272,137
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/36 700,000 $114,329
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/37 3,413,000 $494,359
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/37 30,888,000 $775,790
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/37 2,300,000 $246,647
Federal National Mortgage Association REMICS, Floating Rate Note, 4/25/25 540,000 $94,219
Federal National Mortgage Association REMICS, Floating Rate Note, 4/25/32 35,072,000 $2,093,400
Federal National Mortgage Association REMICS, Floating Rate Note, 4/25/33 36,000,000 $1,063,716
Federal National Mortgage Association REMICS, Floating Rate Note, 4/25/42 642,857 $463,950
Federal National Mortgage Association REMICS, Floating Rate Note, 5/25/33 15,932,000 $412,025
Federal National Mortgage Association REMICS, Floating Rate Note, 5/25/36 13,100,000 $1,438,628
Federal National Mortgage Association REMICS, Floating Rate Note, 5/25/36 23,900,354 $817,740
Federal National Mortgage Association REMICS, Floating Rate Note, 5/25/37 32,172,000 $1,151,415
Federal National Mortgage Association REMICS, Floating Rate Note, 5/25/40 500,000 $275,426
Federal National Mortgage Association REMICS, Floating Rate Note, 5/25/40 2,619,152 $1,152,154
Federal National Mortgage Association REMICS, Floating Rate Note, 5/25/40 8,500,000 $1,259,390
Federal National Mortgage Association REMICS, Floating Rate Note, 6/25/23 3,460,000 $222,222
Federal National Mortgage Association REMICS, Floating Rate Note, 6/25/36 8,454,822 $862,823
Federal National Mortgage Association REMICS, Floating Rate Note, 6/25/37 632,250 $78,681
Federal National Mortgage Association REMICS, Floating Rate Note, 6/25/37 900,000 $105,752
Federal National Mortgage Association REMICS, Floating Rate Note, 6/25/37 7,474,000 $947,776
Federal National Mortgage Association REMICS, Floating Rate Note, 6/25/37 3,590,000 $351,314
Federal National Mortgage Association REMICS, Floating Rate Note, 7/18/27 10,000,000 $39,234
Federal National Mortgage Association REMICS, Floating Rate Note, 7/25/31 48,885,770 $444,651
Federal National Mortgage Association REMICS, Floating Rate Note, 7/25/31 50,000,000 $312,872
Federal National Mortgage Association REMICS, Floating Rate Note, 7/25/32 15,000,000 $205,572
Federal National Mortgage Association REMICS, Floating Rate Note, 7/25/34 7,443,000 $507,257
Federal National Mortgage Association REMICS, Floating Rate Note, 7/25/34 2,860,000 $162,611
Federal National Mortgage Association REMICS, Floating Rate Note, 7/25/35 9,145,238 $2,020,640
Federal National Mortgage Association REMICS, Floating Rate Note, 7/25/35 23,056,000 $2,708,441
Federal National Mortgage Association REMICS, Floating Rate Note, 7/25/36 2,000,000 $283,285
Federal National Mortgage Association REMICS, Floating Rate Note, 7/25/37 1,942,360 $295,603
Federal National Mortgage Association REMICS, Floating Rate Note, 8/25/31 17,600,000 $216,687
Federal National Mortgage Association REMICS, Floating Rate Note, 8/25/32 15,000,000 $305,391
Federal National Mortgage Association REMICS, Floating Rate Note, 8/25/32 5,000,000 $89,732
Federal National Mortgage Association REMICS, Floating Rate Note, 8/25/33 485,000 $17,486
Federal National Mortgage Association REMICS, Floating Rate Note, 8/25/36 4,450,000 $266,297
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/20 13,700,000 $34,456
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/21 8,269,375 $77,570
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/32 19,400,000 $135,295
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/32 20,000,000 $375,967
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/33 19,984,406 $2,150,795
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/36 13,053,000 $842,741
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/37 9,159,000 $392,847
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/37 1,915,000 $238,931
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/37 7,400,000 $750,727
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/37 3,173,000 $410,908
Fieldstone Mortgage Investment Trust Series 2005-1, Floating Rate Note, 3/25/35 1,457,000 $533,901
Fieldwood Energy LLC, Closing Date Loan, 9/25/18 2,668,616 $2,536,853
Fifth Third Auto 2013-1, 0.59%, 3/15/16 100,000 $15,034
Fifth Third Auto Trust 2014-3, Floating Rate Note, 5/15/17 1,700,000 $1,700,280
Fifth Third Bancorp, Floating Rate Note, 12/20/16 1,727,000 $1,713,525
Fifth Third Bank Cincinnati Ohio, 4.75%, 2/1/15 3,500,000 $3,580,495
Fifth Third Bank Cincinnati Ohio, Floating Rate Note, 11/18/16 1,800,000 $1,805,443
Fifth Third Bank Cincinnati Ohio, Floating Rate Note, 2/26/16 3,330,000 $3,335,127
First Franklin Mortgage Loan Trust 2005-FFH3, Floating Rate Note, 9/25/35 4,351,000 $2,079,599
First Franklin Mortgage Loan Trust Series 2005-FF12, Floating Rate Note, 11/25/36 2,150,000 $331,796
First Horizon Mortgage Pass-Through Trust 2003-AR3, Floating Rate Note, 9/25/33 13,000,000 $902,344
First Investors Auto Owner Trust 2012-2, 1.47%, 5/15/18 (144A) 100,000 $21,743
First Investors Auto Owner Trust 2013-2, 1.23%, 3/15/19 (144A) 4,251,000 $2,145,288
First Investors Auto Owner Trust 2013-3, 0.89%, 9/15/17 (144A) 220,000 $93,974
First Investors Auto Owner Trust 2014-2, 0.86%, 8/15/18 (144A) 2,100,000 $2,097,512
First Investors Auto Owner Trust 2014-3, 1.06%, 11/15/18 (144A) 2,000,000 $1,997,258
Firstmac Mortgage Funding Trust Series 1A-2014, Floating Rate Note, 6/26/15 (144A) 2,500,000 $2,501,361
First NLC Trust 2005-2, Floating Rate Note, 9/25/35 369,713 $113,319
Flagstar Home Equity Loan Trust 2005-1, Floating Rate Note, 6/25/18 (144A) 15,500,000 $1,091,609
Fly Funding II Sarl, Loan, 8/8/18 1,566,924 $1,563,007
FMG Resources August 2006 Pty, Ltd., Loan, 6/30/19 1,470,119 $1,343,015
FNA 2013-1 Trust, 1.98%, 1/10/18 2,199,000 $589,005
FNA 2014-1 Trust, 1.296%, 2/10/22 (144A) 2,500,000 $2,499,608
Foothill CLO, Ltd., Floating Rate Note, 2/22/21 (144A) 2,250,000 $1,183,785
Ford Credit Auto Lease Trust 2013-B, Floating Rate Note, 1/15/16 150,000 $76,374
Ford Credit Auto Lease Trust 2014-B, Floating Rate Note, 3/15/17 2,150,000 $2,148,051
Ford Credit Auto Owner Trust, 1.35%, 12/15/16 200,000 $74,352
Ford Credit Auto Owner Trust 2011-A, 1.65%, 5/15/16 1,870,000 $162,937
Ford Credit Auto Owner Trust 2013-C, 0.55%, 4/15/16 1,480,000 $96,709
Ford Credit Auto Owner Trust 2014-A, 0.48%, 11/15/16 1,827,000 $881,884
Ford Credit Floorplan Master Owner Trust A, Floating Rate Note, 1/15/18 350,000 $350,218
Ford Credit Floorplan Master Owner Trust A, Floating Rate Note, 2/15/19 900,000 $900,659
Fore CLO, Ltd., Floating Rate Note, 7/20/19 (144A) 1,250,000 $278,538
Foresight Energy LLC, Term Loan, 8/21/20 221,862 $219,089
Fosse Master Issuer Plc, Floating Rate Note, 10/19/54 (144A) 1,000,000 $700,618
Foundation Re III, Ltd., Floating Rate Note, 2/25/15 (Cat Bond) (144A) 4,550,000 $4,600,252
Four Corners CLO II, Ltd., Floating Rate Note, 1/26/20 (144A) 553,000 $531,414
Four Seasons Holdings, Inc., Term Loan (First Lien) 2013, 6/27/20 493,750 $485,418
Franklin Resources, Inc., 3.125%, 5/20/15 2,150,000 $2,172,586
Freddie Mac Strips, Floating Rate Note, 12/15/36 10,968,000 $677,884
Freddie Mac Strips, Floating Rate Note, 8/15/36 10,000,000 $508,230
Freddie Mac Strips, Floating Rate Note, 8/15/36 43,230,336 $2,200,646
Freddie Mac Structured Agency Credit Risk Debt Notes, Floating Rate Note, 10/25/24 2,480,000 $2,458,851
Freddie Mac Structured Agency Credit Risk Debt Notes, Floating Rate Note, 11/25/23 2,250,000 $1,777,679
Freddie Mac Structured Agency Credit Risk Debt Notes, Floating Rate Note, 2/25/24 1,555,000 $1,436,666
Freddie Mac Structured Agency Credit Risk Debt Notes, Floating Rate Note, 8/25/24 5,000,000 $4,864,642
Fremont Home Loan Trust 2005-B, Floating Rate Note, 4/25/35 2,750,000 $631,136
Fresenius US Finance I, Inc., Tranche B Term Loan, 8/7/19 1,481,250 $1,474,461
Gale Force 3 Clo, Ltd., Floating Rate Note, 4/19/21 (144A) 1,200,000 $736,335
Galileo Re, Ltd., Floating Rate Note, 1/9/19 (Cat Bond) (144A) 1,250,000 $1,308,958
Garda World Security Corp., Term B Delayed Draw Loan, 11/8/20 319,350 $312,564
Garda World Security Corp., Term B Loan, 11/1/20 1,248,370 $1,221,842
Gardner Denver, Inc., Initial Dollar Term Loan, 7/30/20 395,000 $371,238
Gator Re, Ltd., Floating Rate Note, 1/9/17 (Cat Bond) (144A) 2,000,000 $1,663,333
Gci Holdings Inc 1st Lien Tl-B L + 3.75% 22dec21 660,000 $659,449
GE Business Loan Trust 2003-1, Floating Rate Note, 4/15/31 (144A) 20,374,890 $918,051
GE Business Loan Trust 2003-2 REMICS, Floating Rate Note, 11/15/31 (144A) 10,000,000 $1,028,242
GE Business Loan Trust 2004-1, Floating Rate Note, 5/15/32 (144A) 7,667,511 $707,836
GE Business Loan Trust 2004-2, Floating Rate Note, 12/15/32 (144A) 8,066,438 $1,181,657
GE Business Loan Trust 2005-1, Floating Rate Note, 6/15/33 (144A) 4,489,882 $2,183,825
GE Business Loan Trust 2006-2, Floating Rate Note, 11/15/34 (144A) 6,967,382 $2,585,557
GE Business Loan Trust 2007-1, Floating Rate Note, 4/16/35 (144A) 4,787,273 $1,961,668
GE Capital Commercial Mortgage Corp., Floating Rate Note, 7/10/45 1,700,000 $1,725,354
GE Dealer Floorplan Master Note Trust, Floating Rate Note, 10/20/17 888,000 $888,077
GE Dealer Floorplan Master Note Trust, Floating Rate Note, 10/20/19 2,700,000 $2,696,772
GE Dealer Floorplan Master Note Trust, Floating Rate Note, 2/21/17 350,000 $350,131
GE Dealer Floorplan Master Note Trust, Floating Rate Note, 4/20/18 1,190,000 $1,188,621
GE Dealer Floorplan Master Note Trust, Floating Rate Note, 6/20/17 2,000,000 $2,001,228
GE Dealer Floorplan Master Note Trust, Floating Rate Note, 6/20/17 500,000 $500,220
GE Dealer Floorplan Master Note Trust, Floating Rate Note, 7/22/19 2,670,000 $2,667,825
GE Equipment Small Ticket LLC Series 2013-1, 0.73%, 1/25/16 (144A) 800,000 $305,782
GE Equipment Small Ticket LLC Series 2014-1, 1.59%, 8/24/16 1,900,000 $1,899,648
GE Equipment Transportation LLC Series 2013-2, 0.61%, 6/24/16 1,520,000 $827,071
General Electric Capital Corp., 1.625%, 7/2/15 1,000,000 $1,014,364
General Electric Capital Corp., Floating Rate Note, 1/14/16 1,865,000 $1,866,875
General Electric Capital Corp., Floating Rate Note, 1/8/16 3,300,000 $3,318,777
General Electric Capital Corp., Floating Rate Note, 5/11/16 1,000,000 $1,000,869
General Electric Capital Corp., Floating Rate Note, 5/15/17 2,000,000 $1,997,922
General Electric Capital Corp., Floating Rate Note, 7/10/15 690,000 $692,175
General Electric Capital Corp., Floating Rate Note, 7/12/16 1,001,000 $1,009,728
General Electric Capital Corp., Floating Rate Note, 7/2/15 2,793,000 $2,816,062
General Electric Capital Corp., Floating Rate Note, 8/1/17 500,000 $500,137
General Mills, Inc., Floating Rate Note, 1/28/16 1,895,000 $1,896,262
General Mills, Inc., Floating Rate Note, 1/29/16 1,765,000 $1,767,104
Genpact International, Inc., Term Loan, 8/30/19 980,075 $971,499
Georgia Power Co., Floating Rate Note, 3/15/16 1,090,000 $1,089,141
Georgia Power Co., Floating Rate Note, 8/15/16 1,000,000 $1,000,281
Getty Images, Inc., Initial Term Loan, 10/18/19 113,574 $105,245
GLC Trust 2013-1, 3.0%, 7/15/21 (144A) 3,200,000 $2,620,234
Glencore Funding LLC, Floating Rate Note, 5/27/16 (144A) 1,800,000 $1,811,344
Glenn Pool Oil & Gas Trust, Term Loan, 5/2/16 24,276 $24,154
Global Container Assets 2013-1, Ltd., 2.2%, 11/5/28 (144A) 1,750,000 $1,124,138
Global Mortgage Securitization, Ltd., 5.25%, 4/25/32 (144A) 2,691,322 $793,403
Global Mortgage Securitization, Ltd., Floating Rate Note, 11/25/32 (144A) 8,780,000 $495,370
Global Mortgage Securitization, Ltd., Floating Rate Note, 4/25/32 (144A) 29,975,000 $2,692,257
GMAC Commercial Mortgage Securities Inc Series 2004-C2 Trust, Floating Rate Note, 8/10/38 5,341,000 $41,532
GMAC Commercial Mortgage Securities Inc Series 2005-C1 Trust, 4.697%, 5/10/43 3,547,000 $2,829,874
GMAC Commercial Mortgage Securities Inc Series 2006-C1 Trust, Floating Rate Note, 11/10/45 8,250,000 $5,204,724
GMAT 2013-1 Trust, 3.9669%, 8/25/53 (Step) 5,300,000 $4,256,338
Golden Credit Card Trust, Floating Rate Note, 2/15/18 (144A) 4,300,000 $4,299,364
Golden Credit Card Trust, Floating Rate Note, 9/15/18 (144A) 715,000 $715,625
Golden State Re, Ltd., Floating Rate Note, 1/8/15 (Cat Bond) (144A) 750,000 $751,650
Golden State RE II, Ltd., Floating Rate Note, 1/8/19 (Cat Bond) (144A) 3,700,000 $3,704,584
Government National Mortgage Association, 4.0%, 7/20/34 31,635,000 $1,147,782
Government National Mortgage Association, Floating Rate Note, 1/16/33 26,309,521 $986,694
Government National Mortgage Association, Floating Rate Note, 1/16/35 11,437,000 $1,226,934
Government National Mortgage Association, Floating Rate Note, 1/20/33 10,000,000 $21,665
Government National Mortgage Association, Floating Rate Note, 10/16/39 2,500,000 $380,939
Government National Mortgage Association, Floating Rate Note, 10/20/38 3,000,000 $1,002,172
Government National Mortgage Association, Floating Rate Note, 2/20/35 8,941,000 $1,175,941
Government National Mortgage Association, Floating Rate Note, 4/16/29 50,000,000 $549,319
Government National Mortgage Association, Floating Rate Note, 4/16/32 13,425,000 $245,047
Government National Mortgage Association, Floating Rate Note, 5/16/38 8,761,000 $627,388
Government National Mortgage Association, Floating Rate Note, 6/16/31 14,000,000 $242,071
Government National Mortgage Association, Floating Rate Note, 8/16/39 2,960,000 $508,778
Government National Mortgage Association, Floating Rate Note, 8/20/35 3,497,364 $342,046
Government National Mortgage Association, Floating Rate Note, 8/20/38 4,585,000 $447,090
Government National Mortgage Association, Floating Rate Note, 9/16/31 34,344,532 $686,914
Government National Mortgage Association II, Floating Rate Note, 1/20/22 1,000,000 $12,879
GP Portfolio Trust 2014-GGP, Floating Rate Note, 2/16/27 (144A) 3,350,000 $3,349,658
Gracechurch Card Funding Plc, Floating Rate Note, 2/15/17 (144A) 3,605,000 $3,607,885
Gracechurch Card Funding Plc, Floating Rate Note, 5/15/19 (144A) 1,300,000 $1,312,592
Gracechurch Card Funding Plc, Floating Rate Note, 6/15/17 (144A) 2,200,000 $2,204,546
Gracechurch Mortgage Financing Plc, Floating Rate Note, 11/20/56 (144A) 2,500,000 $1,650,848
Gray Television Inc. 1st Lien Tl L + 3% 10jun21 1,002,368 $989,087
GreenPoint Mortgage Funding Trust 2005-HE1, Floating Rate Note, 9/25/34 1,357,437 $531,217
GRIFOLS WORLDWIDE OPERATIONS USA INC, U.S. Tranche B Term Loam, 4/1/21 521,063 $514,810
GSAA Home Equity Trust 2004-11, Floating Rate Note, 12/25/34 5,735,000 $303,719
GSAA Home Equity Trust 2004-6, Floating Rate Note, 6/25/34 52,357,062 $1,336,305
GSAA Home Equity Trust 2004-8, Floating Rate Note, 9/25/34 7,860,000 $259,478
GSAA Home Equity Trust 2005-11, Floating Rate Note, 10/25/35 4,339,000 $500,204
GSAA Trust, Floating Rate Note, 6/25/35 6,300,000 $1,636,273
GSAMP Trust 2004-SEA2, Floating Rate Note, 3/25/34 4,798,600 $3,415,199
GSAMP Trust 2005-HE1, Floating Rate Note, 12/25/34 5,414,212 $398,872
GSAMP Trust 2005-HE6, Floating Rate Note, 11/25/35 220,000 $139,418
GSAMP Trust 2006-HE1, Floating Rate Note, 1/25/36 7,000,000 $1,237,369
GSAMP Trust 2006-SD1, Floating Rate Note, 7/25/45 9,948,000 $945,811
GSAMP Trust 2006-SEA1, Floating Rate Note, 5/25/36 (144A) 25,142,877 $1,921,178
GS Mortgage Securities Trust 2006-GG6 REMICS, Floating Rate Note, 4/10/38 3,550,000 $3,659,303
GS Mortgage Securities Trust 2014-GSFL, Floating Rate Note, 7/15/31 (144A) 1,690,000 $1,690,103
GSR Mortgage Loan Trust 2003-9, Floating Rate Note, 8/25/33 1,500,000 $100,375
GSRPM Mortgage Loan Trust 2003-2, Floating Rate Note, 6/25/33 1,826,298 $1,092,974
GSRPM Mortgage Loan Trust 2006-1, Floating Rate Note, 3/25/35 (144A) 7,593,737 $1,066,368
GSRPM Mortgage Loan Trust 2006-2, Floating Rate Note, 9/25/36 (144A) 5,483,897 $750,386
Halyard Health Inc 1st Lien Tl-B L + 3.25% 03oct21 1,000,000 $1,001,565
HarborView Mortgage Loan Trust 2004-1, Floating Rate Note, 4/19/34 16,013,000 $713,497
HarborView Mortgage Loan Trust 2004-4, Floating Rate Note, 6/19/34 25,700,000 $248,281
Harch CLO III, Ltd., Floating Rate Note, 4/17/20 (144A) 500,000 $487,158
Harley-Davidson Financial Services, Inc., 1.15%, 9/15/15 (144A) 1,300,000 $1,307,950
Harley-Davidson Motorcycle Trust 2011-1, 2.12%, 8/15/17 190,000 $191,655
Harley-Davidson Motorcycle Trust 2012-1, 0.68%, 4/17/17 2,700,000 $844,991
Hercules Capital Funding Trust 2012-1, 3.32%, 12/16/17 (144A) 400,000 $49,904
Hertz Fleet Lease Funding LP, Floating Rate Note, 12/10/27 (144A) 500,000 $501,438
Hertz Fleet Lease Funding LP, Floating Rate Note, 12/10/27 (144A) 1,000,000 $1,000,816
Hertz Fleet Lease Funding LP, Floating Rate Note, 4/10/28 (144A) 1,100,000 $1,099,299
Hewett's Island CDO, Ltd., Floating Rate Note, 6/9/19 (144A) 1,000,000 $998,956
Hilton USA Trust 2013-HLF, Floating Rate Note, 11/5/30 (144A) 2,475,000 $2,442,184
Hilton Worldwide Finance LLC, Initial Term Loan, 9/23/20 986,842 $976,727
HJ Heinz Co., Term B-2 Loan, 6/5/20 1,368,153 $1,362,528
HLSS Servicer Advance Receivables Backed Notes Series 2013-T2, 1.1472%, 5/16/44 (144A) 4,240,000 $4,237,922
HLSS Servicer Advance Receivables Trust, 1.2437%, 1/17/45 3,750,000 $3,752,073
HLSS Servicer Advance Receivables Trust, 1.4953%, 1/16/46 (144A) 5,600,000 $5,599,242
Holmes Master Issuer Plc, Floating Rate Note, 10/15/54 (144A) 1,676,000 $986,224
Holmes Master Issuer Plc, Floating Rate Note, 10/15/54 (144A) 2,500,000 $1,179,035
Hologic, Inc., Refinancing Tranche B Term Loan, 8/1/19 671,416 $669,108
HomeBanc Mortgage Trust 2005-2, Floating Rate Note, 5/25/25 45,670,847 $1,651,645
Home Equity Asset Trust 2005-6, Floating Rate Note, 12/25/35 3,404,000 $3,014,385
Home Equity Asset Trust 2005-7, Floating Rate Note, 1/25/36 3,870,000 $2,037,455
Home Equity Asset Trust 2006-4, Floating Rate Note, 8/25/36 1,250,000 $320,897
Home Equity Asset Trust 2006-8, Floating Rate Note, 3/25/37 6,984,978 $1,880,106
Home Equity Mortgage Loan Asset-Backed Trust Series INABS 2005-C, Floating Rate Note, 10/25/35 4,000,000 $7,214
Homestar Mortgage Acceptance Corp., Floating Rate Note, 1/25/35 11,300,000 $1,185,600
Homestar Mortgage Acceptance Corp., Floating Rate Note, 3/25/34 76,711,000 $4,333,801
Homestar Mortgage Acceptance Corp., Floating Rate Note, 6/25/34 11,977,997 $999,221
Homestar Mortgage Acceptance Corp., Floating Rate Note, 7/25/34 19,310,000 $1,675,054
Honda Auto Receivables 2012-2 Owner Trust, 0.7%, 2/16/16 1,200,000 $266,934
Honda Auto Receivables 2012-4 Owner Trust, 0.52%, 8/18/16 5,000,000 $2,708,326
Honda Auto Receivables 2013-1 Owner Trust, 0.48%, 11/21/16 390,000 $272,741
Honda Auto Receivables 2013-2 Owner Trust, 0.53%, 2/16/17 959,000 $959,194
Honda Auto Receivables 2014-1 Owner Trust, 0.41%, 9/21/16 2,715,000 $2,393,129
Horizon Funding Trust 2013-1, 3.0%, 5/15/18 (144A) 2,777,000 $1,202,560
HSBC Bank Middle East, Ltd., 3.0%, 10/21/15 1,000,000 $1,019,616
HSBC Bank Plc, 3.5%, 6/28/15 (144A) 2,500,000 $2,536,314
HSBC Home Equity Loan Trust USA 2006-2, Floating Rate Note, 3/20/36 545,000 $79,886
HSBC Home Equity Loan Trust USA 2006-3, Floating Rate Note, 3/20/36 8,638,000 $7,126,249
HSBC Home Equity Loan Trust USA 2006-4, Floating Rate Note, 3/20/36 1,061,000 $836,322
HSBC Home Equity Loan Trust USA 2007-3, Floating Rate Note, 11/20/36 100,000 $43,352
HSBC Home Equity Loan Trust USA 2007-3, Floating Rate Note, 11/20/36 13,800,000 $3,250,885
HSBC USA, Inc., 2.375%, 2/13/15 8,014,000 $8,103,061
HSI Asset Securitization Corp Trust 2006-OPT1, Floating Rate Note, 12/25/35 1,719,377 $519,853
Huntsman International LLC, 2014-1 Incremental Term Loan, 9/30/21 1,000,000 $985,625
Hyperion Insurance Group, Ltd., Term Loan, 10/4/19 967,688 $964,663
Hyundai Auto Receivables Trust 2012-A, 0.95%, 12/15/16 3,878,000 $3,165,786
Hyundai Auto Receivables Trust 2014-B, 0.44%, 2/15/17 99,000 $92,883
Hyundai Capital Auto Funding VIII, Ltd., Floating Rate Note, 9/20/16 (144A) 5,954,000 $292,402
Hyundai Capital Services, Inc., Floating Rate Note, 3/18/17 (144A) 1,950,000 $1,946,879
IASIS Healthcare LLC, Term B-2 Loan, 5/3/18 487,519 $483,863
Ibis Re II, Ltd., Floating Rate Note, 2/5/15 (Cat Bond) (144A) 3,500,000 $3,557,313
Ibis Re II, Ltd., Floating Rate Note, 2/5/15 (Cat Bond) (144A) 3,600,000 $3,634,355
Ibis Re II, Ltd., Floating Rate Note, 6/28/16 (Cat Bond) (144A) 2,250,000 $2,300,750
Igloo Holdings Corp., 8.25%, 12/15/17 (144A) (PIK) 1,250,000 $1,267,083
Immucor, Inc., Term B-2 Loan, 8/19/18 217,752 $215,847
Impac CMB Trust Series 2003-8, Floating Rate Note, 10/25/33 8,000,000 $487,734
Impac CMB Trust Series 2004-4, Floating Rate Note, 9/25/34 42,840,193 $1,775,419
Impac CMB Trust Series 2004-4, Floating Rate Note, 9/25/34 49,152,075 $2,036,387
Impac CMB Trust Series 2004-5, Floating Rate Note, 8/25/34 9,850,000 $568,177
Impac CMB Trust Series 2004-6, Floating Rate Note, 10/25/34 9,071,000 $472,449
Impac CMB Trust Series 2004-7, Floating Rate Note, 11/25/34 34,014,000 $2,176,443
Impac CMB Trust Series 2004-8, Floating Rate Note, 8/25/34 2,122,000 $255,534
Impac CMB Trust Series 2004-8, Floating Rate Note, 8/25/34 14,550,000 $1,803,590
Impac CMB Trust Series 2004-9, Floating Rate Note, 1/25/35 19,075,000 $1,255,230
Impac Secured Assets CMN Owner Trust, Floating Rate Note, 11/25/34 30,931,007 $765,910
Impac Secured Assets Trust 2006-1, Floating Rate Note, 5/25/36 6,501,000 $2,100,973
Impac Secured Assets Trust 2006-2, Floating Rate Note, 8/25/36 4,987,000 $1,111,896
Impac Secured Assets Trust 2006-5, Floating Rate Note, 12/25/36 3,800,000 $810,724
Intelsat Jackson Holdings SA, Tranche B-2 Term Loan, 6/30/19 521,732 $515,428
Interactive Data 1st Lien Tl-B L + 3.75% 24apr21 212,968 $211,956
inVentiv Health, Inc., Term B-3 Loan, 5/15/18 66,299 $66,133
Invitation Homes 2013-SFR1 Trust, Floating Rate Note, 12/19/30 (144A) 1,800,000 $1,764,367
Invitation Homes 2014-SFR2 Trust, Floating Rate Note, 9/18/31 (144A) 2,100,000 $2,086,610
Invitation Homes Trust, Floating Rate Note, 12/17/31 (144A) 2,000,000 $1,989,888
Inwood Park CDO, Ltd., Floating Rate Note, 1/20/21 (144A) 3,500,000 $1,040,785
Irwin Home Equity Loan Trust 2005-1, Floating Rate Note, 6/25/25 18,060,000 $3,583,647
Irwin Whole Loan Home Equity Trust 2003-C, Floating Rate Note, 6/25/28 7,545,000 $1,814,213
Irwin Whole Loan Home Equity Trust 2005-B, Floating Rate Note, 12/25/29 6,125,000 $3,292,901
IXIS Real Estate Capital Trust 2005-HE4, Floating Rate Note, 2/25/36 3,493,986 $564,612
Jackson National Life Global Funding, Floating Rate Note, 9/30/15 (144A) 2,000,000 $2,002,935
Jarden Corp., Tranche B1 Term Loan, 9/30/20 987,500 $986,513
JBS USA LLC, Initial Term Loan, 5/25/18 874,626 $862,031
JLL, Initial Dollar Term Loan, 1/23/21 303,475 $295,414
JMC Steel Group, Inc., Term Loan, 4/1/17 357,546 $350,842
John Deere Capital Corp., Floating Rate Note, 10/11/16 1,500,000 $1,503,840
John Deere Capital Corp., Floating Rate Note, 12/10/15 1,800,000 $1,801,178
JOHN DEERE CAPITAL Corp., Floating Rate Note, 2/25/16 2,883,000 $2,884,798
John Deere Owner Trust 2013-B, 0.55%, 1/15/16 100,000 $19,871
JPMorgan Chase & Co., 1.1%, 10/15/15 1,528,000 $1,534,296
JPMorgan Chase & Co., 1.875%, 3/20/15 2,600,000 $2,621,428
JPMorgan Chase & Co., 3.4%, 6/24/15 1,325,000 $1,343,025
JPMorgan Chase & Co., Floating Rate Note, 10/15/15 2,000,000 $2,009,489
JPMorgan Chase & Co., Floating Rate Note, 2/15/17 2,000,000 $1,996,830
JPMorgan Chase & Co., Floating Rate Note, 2/26/16 1,800,000 $1,805,102
JP Morgan Chase Commercial Mortgage Securities Trust 2002-CIBC4, Floating Rate Note, 5/12/34 257,000 $143,732
JP Morgan Chase Commercial Mortgage Securities Trust 2004-LN2, Floating Rate Note, 7/15/41 2,030,626 $224,071
JP Morgan Chase Commercial Mortgage Securities Trust 2005-CIBC11, Floating Rate Note, 8/12/37 5,345,000 $2,001,719
JP Morgan Chase Commercial Mortgage Securities Trust 2005-LDP2, 4.78%, 7/15/42 3,770,000 $3,814,401
JP Morgan Chase Commercial Mortgage Securities Trust 2005-LDP2 REMICS, 4.738%, 7/15/42 3,175,000 $3,193,026
JP Morgan Chase Commercial Mortgage Securities Trust 2005-LDP3, Floating Rate Note, 8/15/42 2,670,000 $2,729,621
JP Morgan Chase Commercial Mortgage Securities Trust 2005-LDP3 REMICS, Floating Rate Note, 8/15/42 8,585,000 $7,501,567
JP Morgan Chase Commercial Mortgage Securities Trust 2005-LDP4, Floating Rate Note, 10/15/42 3,950,000 $4,012,758
JP Morgan Chase Commercial Mortgage Securities Trust 2005-LDP5, Floating Rate Note, 12/15/44 6,310,000 $5,905,822
JP Morgan Chase Commercial Mortgage Securities Trust 2006-CIBC17, 5.45%, 12/12/43 48,000 $2,821
JP Morgan Chase Commercial Mortgage Securities Trust 2006-FL2, Floating Rate Note, 11/15/18 (144A) 8,570,000 $1,733,201
JP Morgan Chase Commercial Mortgage Securities Trust 2006-FL2, Floating Rate Note, 11/15/18 (144A) 500,000 $161,520
JP Morgan Chase Commercial Mortgage Securities Trust 2006-LDP9, Floating Rate Note, 5/15/47 200,000 $76,033
JP Morgan Chase Commercial Mortgage Securities Trust 2007-CIBC19, Floating Rate Note, 2/12/49 475,000 $4,961
JP Morgan Chase Commercial Mortgage Securities Trust 2007-LDP11, Floating Rate Note, 6/15/49 120,000 $1,751
JP Morgan Chase Commercial Mortgage Securities Trust 2013-ALC, Floating Rate Note, 7/17/26 (144A) 1,466,000 $1,477,933
JP Morgan Chase Commercial Mortgage Securities Trust 2013-JWRZ, Floating Rate Note, 4/15/30 (144A) 4,975,000 $4,972,937
JP Morgan Chase Commercial Mortgage Securities Trust 2014-BXH, Floating Rate Note, 4/15/27 (144A) 5,600,000 $5,597,207
JP Morgan Chase Commercial Mortgage Securities Trust 2014-CBM, Floating Rate Note, 10/15/29 (144A) 4,280,000 $4,253,350
JP Morgan Chase Commercial Mortgage Securities Trust 2014-FBLU, Floating Rate Note, 12/15/28 (144A) 2,910,000 $2,915,923
JP Morgan Chase Commercial Mortgage Securities Trust 2014-FBLU REMICS, Floating Rate Note, 12/15/28 3,510,000 $3,514,641
JP Morgan Chase Commercial Mortgage Securities Trust 2014-FL4, Floating Rate Note, 12/16/30 (144A) 1,500,000 $1,501,726
JP Morgan Chase Commercial Mortgage Securities Trust 2014-FL6, Floating Rate Note, 11/15/31 (144A) 4,240,000 $4,239,395
JP Morgan Chase Commercial Mortgage Securities Trust 2014-INN, Floating Rate Note, 6/15/29 (144A) 3,750,000 $3,748,382
JP Morgan Chase Commercial Mortgage Securities Trust 2014-INN, Floating Rate Note, 6/15/29 (144A) 3,500,000 $3,490,217
JP Morgan Chase Commercial Mortgage Securities Trust 2014-PHH, Floating Rate Note, 8/16/27 (144A) 3,770,000 $3,757,274
JP Morgan Mortgage Acquisition Corp 2005-FRE1, Floating Rate Note, 10/25/35 19,316,000 $1,112,629
JP Morgan Mortgage Acquisition Trust 2006-ACC1, Floating Rate Note, 5/25/36 3,004,334 $788,124
JP Morgan Mortgage Trust 2003-A1, Floating Rate Note, 10/25/33 12,490,305 $1,448,247
JP Morgan Mortgage Trust 2004-A5, Floating Rate Note, 12/25/34 1,119,000 $814,050
Kane Flt% 12jun15 2,000,000 $1,896,200
Kane Flt% 14jul15 1,528,080 $1,484,071
Kane Flt% 30jul16 1,006,000 $1,098,653
Kane Ilw Zero% 02feb16 750,000 $685,275
Kane Zero% 07jan16 2,375,100 $2,375,100
KeyBank NA Cleveland Ohio, Floating Rate Note, 11/25/16 4,500,000 $4,515,070
KeyCorp, 3.75%, 8/13/15 4,050,000 $4,179,511
KeyCorp Student Loan Trust 2004-A, Floating Rate Note, 10/28/41 500,000 $101,335
Kilimanjaro Re, Ltd., Floating Rate Note, 11/25/19 (Cat Bond) (144A) 2,600,000 $2,590,900
Kilimanjaro Re, Ltd., Floating Rate Note, 4/30/18 (Cat Bond) (144A) 2,300,000 $2,372,769
Kilimanjaro Re, Ltd., Floating Rate Note, 4/30/18 (Cat Bond) (144A) 1,000,000 $1,021,100
Kindred Healthcare 1st Lien Tl-B L + 3% 10apr21 715,969 $696,280
Kinetic Concepts, Inc., Dollar Term E-1 Loan, 5/4/18 586,788 $581,409
Kizuna Re II, Ltd., Floating Rate Note, 4/6/18 (Cat Bond) (144A) 1,800,000 $1,822,770
KKR Financial CLO 2007-1, Ltd., Floating Rate Note, 5/15/21 (144A) 650,000 $644,067
Kleopatra Acquisition Corp., Term B-1 Loan, 12/21/16 688,849 $688,419
Kubota Credit Owner Trust 2014-1, 0.58%, 2/15/17 800,000 $799,942
Lanark Master Issuer Plc, Floating Rate Note, 12/22/54 (144A) 1,250,000 $1,171,980
Lanark Master Issuer Plc, Floating Rate Note, 12/22/54 (144A) 2,000,000 $1,568,173
Landry's, Inc., B Term Loan, 4/24/18 398,477 $396,609
Language Line LLC, Tranche B Term Loan, 6/20/16 869,974 $863,268
Las Vegas Sands LLC, Term B Loan, 12/19/20 0 $0
LB-UBS Commercial Mortgage Trust 2004-C1, 4.568%, 1/15/31 1,000,000 $112,988
LB-UBS Commercial Mortgage Trust 2005-C2 REMICS, Floating Rate Note, 4/15/30 4,785,000 $4,833,834
LB-UBS Commercial Mortgage Trust 2005-C3, 4.739%, 7/15/30 4,490,000 $2,291,149
LB-UBS Commercial Mortgage Trust 2005-C5, 4.954%, 9/15/30 8,750,000 $5,938,634
LB-UBS Commercial Mortgage Trust 2005-C7 REMICS, Floating Rate Note, 11/15/30 (144A) 8,161,979 $7,528,757
LB-UBS Commercial Mortgage Trust 2006-C1 REMICS, 5.156%, 2/15/31 5,465,000 $5,482,091
LB-UBS Commercial Mortgage Trust 2008-C1, Floating Rate Note, 4/15/41 414,000 $62,223
LEAF Receivables Funding 9 LLC, 0.88%, 11/15/15 (144A) 1,500,000 $599,451
Lehman Brothers Small Balance Commercial, Floating Rate Note, 2/25/30 (144A) 6,250,000 $857,535
Lehman Brothers Small Balance Commercial, Floating Rate Note, 4/25/31 (144A) 17,333,137 $2,783,977
Lehman Brothers Small Balance Commercial, Floating Rate Note, 4/25/31 (144A) 6,464,393 $1,138,258
Lehman Brothers Small Balance Commercial, Floating Rate Note, 9/25/30 (144A) 10,120,098 $1,690,046
Lehman Brothers Small Balance Commercial Mortgage Trust 2007-3, Floating Rate Note, 10/25/37 (144A) 2,211,066 $1,638,000
Lehman Brothers Small Balance Commercial Mortgage Trust 2007-3, Floating Rate Note, 10/25/37 (144A) 4,405,200 $1,108,086
Lehman XS Trust Series 2005-2, Floating Rate Note, 8/25/35 42,014,000 $2,746,240
Level 3 Financing Inc 1st Lien Tl-B5 L + 3.5% 31jan22 1,000,000 $1,003,438
LifePoint Hospitals, Inc., Incremental Term Loan B, 7/24/17 342,404 $342,689
Live Nation Entertainment, Inc., Term B-1 Loan, 8/17/20 768,275 $759,632
Livingston International, Inc., Initial Term B-1 Loan (First Lien), 4/18/19 492,500 $477,725
Lockwood Grove CLO, Ltd., Floating Rate Note, 1/25/24 (144A) 2,500,000 $2,500,771
Longpoint Re, Ltd., Floating Rate Note, 6/12/15 (Cat Bond) (144A) 3,550,000 $3,621,473
Longpoint Re, Ltd. III, Floating Rate Note, 5/18/16 (Cat Bond) (144A) 2,610,000 $2,661,548
Louisiana Public Facilities Authority, Floating Rate Note, 4/26/27 1,250,000 $1,003,481
Madison Avenue Manufactured Housing Contract Trust 2002-A, Floating Rate Note, 3/25/32 1,000,000 $344,344
MALLINCKRODT INTERNATIONAL FINANCE SA, Initial Term B Loan, 3/6/21 967,688 $949,745
Manufacturers & Traders Trust Co., Floating Rate Note, 1/30/17 1,900,000 $1,899,830
Manufacturers & Traders Trust Co., Floating Rate Note, 7/25/17 2,400,000 $2,394,487
Marathon Oil Corp., 0.9%, 11/1/15 3,384,000 $3,379,201
MassMutual Global Funding II, Floating Rate Note, 12/11/15 (144A) 1,750,000 $1,751,780
Master Credit Card Trust II, Floating Rate Note, 1/22/18 (144A) 1,050,000 $1,050,843
MASTR Adjustable Rate Mortgages Trust 2003-3, Floating Rate Note, 9/25/33 2,650,000 $760,870
MASTR Adjustable Rate Mortgages Trust 2004-11, Floating Rate Note, 11/25/34 5,400,000 $1,661,780
MASTR Alternative Loan Trust 2005-1, Floating Rate Note, 2/25/35 21,274,000 $1,805,524
Mastr Asset Backed Securities Trust 2004-HE1, Floating Rate Note, 9/25/34 1,570,000 $30,419
Mastr Asset Backed Securities Trust 2005-FRE1, Floating Rate Note, 10/25/35 1,400,000 $33,222
Mastr Asset Backed Securities Trust 2006-AB1 REMICS, Floating Rate Note, 2/25/36 12,307,204 $2,066,009
Mastr Asset Backed Securities Trust 2006-NC1, Floating Rate Note, 1/25/36 23,055,603 $2,794,102
MASTR Asset Securitization Trust 2003-6, Floating Rate Note, 7/25/18 7,302,000 $205,999
Mastr Specialized Loan Trust, Floating Rate Note, 1/25/36 (144A) 51,217,354 $4,084,253
MCC Iowa LLC, Tranche G Term Loan, 1/20/20 733,125 $719,685
Mcdermott International Inc 1st Lien Tl-B L + 4.25% 11apr19 497,500 $477,600
McKesson Corp., Floating Rate Note, 9/10/15 3,130,000 $3,132,196
Mediacom Illinois LLC, Tranche F Term Loan, 3/31/18 1,389,500 $1,363,447
Mercedes Benz Auto Lease Trust 2014-A, Floating Rate Note, 6/15/16 1,900,000 $1,780,079
Merna Re V, Ltd., Floating Rate Note, 4/7/17 (Cat Bond) (144A) 2,000,000 $2,003,933
Merrill Lynch Mortgage Investors Trust Series 2005-2, Floating Rate Note, 10/25/35 2,600,000 $646,405
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-A, Floating Rate Note, 3/25/28 48,813,000 $1,686,194
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-B, Floating Rate Note, 4/25/28 32,661,000 $1,468,576
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-C, Floating Rate Note, 6/25/28 44,308,430 $1,652,940
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-C REMICS, Floating Rate Note, 6/25/28 42,262,000 $1,923,429
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-E, Floating Rate Note, 10/25/28 38,289,000 $1,859,617
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-G, Floating Rate Note, 1/25/29 16,556,000 $238,103
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-H, Floating Rate Note, 1/25/29 24,460,400 $1,372,249
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-A REMICS, Floating Rate Note, 4/25/29 35,467,206 $1,894,992
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-B, Floating Rate Note, 5/25/29 12,160,000 $434,200
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-C, Floating Rate Note, 7/25/29 41,778,000 $1,968,103
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-C, Floating Rate Note, 7/25/29 3,866,000 $130,624
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-D, Floating Rate Note, 9/25/29 11,000,000 $747,869
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-E, Floating Rate Note, 11/25/29 36,000,000 $2,101,051
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-G, Floating Rate Note, 1/25/30 15,000,000 $979,450
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-G, Floating Rate Note, 1/25/30 64,515,401 $2,887,665
Merrill Lynch Mortgage Investors Trust Series MLCC 2005-A, Floating Rate Note, 3/25/30 39,366,746 $2,484,252
Merrill Lynch Mortgage Trust 2005-CIP1, Floating Rate Note, 7/12/38 2,170,000 $2,197,556
Merrill Lynch Mortgage Trust 2005-CKI1, Floating Rate Note, 11/12/37 7,925,000 $6,441,467
Merrill Lynch Mortgage Trust 2005-LC1, Floating Rate Note, 1/12/44 6,177,508 $5,639,324
Merrill Lynch Mortgage Trust 2005-MCP1, Floating Rate Note, 6/12/43 5,841,000 $3,766,975
MetLife Institutional Funding II, 1.625%, 4/2/15 (144A) 4,500,000 $4,530,116
MetLife Institutional Funding II, Floating Rate Note, 1/6/15 (144A) 3,205,000 $3,209,588
MetroCat Re, Ltd., Floating Rate Note, 8/5/16 (Cat Bond) (144A) 1,250,000 $1,300,438
Metropolitan Life Global Funding I, Floating Rate Note, 7/15/16 (144A) 1,500,000 $1,508,866
MGM Resorts International, Term B Loan, 12/20/19 1,225,000 $1,198,203
Michaels Stores, Inc., Term B Loan, 1/28/20 985,000 $968,378
Micro Focus Us Inc 1st Lien Tl-B L + 4.25% 07oct21 1,650,000 $1,590,876
Microsemi Corp., Term Loan (2014), 3/14/21 131,461 $129,259
Milacron LLC, Term Loan, 3/28/20 687,803 $670,607
Mirror BidCo Corp., New Incremental Term Loan, 12/18/19 1,006,454 $996,390
Mizuho Bank, Ltd., Floating Rate Note, 4/16/17 (144A) 1,000,000 $1,001,855
Monitronics International, Inc., Term B Loan (2013), 3/23/18 982,774 $972,946
Morgan Stanley, 1.75%, 2/25/16 1,300,000 $1,315,014
Morgan Stanley, Floating Rate Note, 1/5/18 2,700,000 $2,700,686
Morgan Stanley, Floating Rate Note, 10/15/15 318,000 $319,010
Morgan Stanley, Floating Rate Note, 2/25/16 4,350,000 $4,391,817
Morgan Stanley ABS Capital I Inc Trust 2004-SD3, Floating Rate Note, 6/25/34 (144A) 41,830,000 $1,588,831
Morgan Stanley ABS Capital I Inc Trust 2005-HE3, Floating Rate Note, 7/25/35 95,000 $38,448
Morgan Stanley ABS Capital I Inc Trust 2005-HE6, Floating Rate Note, 11/25/35 160,000 $57,228
Morgan Stanley ABS Capital I Inc Trust 2005-NC2, Floating Rate Note, 3/25/35 2,854,027 $1,754,481
Morgan Stanley ABS Capital I Inc Trust 2005-WMC3, Floating Rate Note, 3/25/35 131,174 $69,480
Morgan Stanley Capital I Trust 2004-IQ8, Floating Rate Note, 6/15/40 3,830,000 $352,395
Morgan Stanley Capital I Trust 2005-HQ6, 4.989%, 8/13/42 7,550,000 $7,103,575
Morgan Stanley Capital I Trust 2005-HQ6 REMICS, Floating Rate Note, 8/13/42 2,900,000 $2,955,261
Morgan Stanley Capital I Trust 2005-IQ10, Floating Rate Note, 9/15/42 2,910,000 $2,131,780
Morgan Stanley Capital I Trust 2005-TOP19, 4.89%, 6/12/47 6,690,000 $5,965,937
Morgan Stanley Capital I Trust 2006-TOP21, Floating Rate Note, 10/12/52 1,960,000 $2,018,078
Morgan Stanley Mortgage Loan Trust 2005-5AR, Floating Rate Note, 9/25/35 38,687,000 $3,252,415
Morgan Stanley Mortgage Loan Trust 2005-6AR, Floating Rate Note, 11/25/35 14,045,000 $2,161,050
Morgan Stanley Mortgage Loan Trust 2005-6AR, Floating Rate Note, 11/25/35 6,309,000 $717,933
Morgan Stanley Re-REMIC Trust 2010-R4, Floating Rate Note, 7/26/36 (144A) 3,700,000 $190,460
Morgan Stanley Structured Trust, Floating Rate Note, 6/25/37 1,500,000 $173,013
MortgageIT Trust 2004-1, Floating Rate Note, 11/25/34 15,162,000 $2,039,803
MortgageIT Trust 2004-2, Floating Rate Note, 12/25/34 35,960,000 $5,634,157
MortgageIT Trust 2005-2, Floating Rate Note, 5/25/35 8,495,000 $1,627,812
Motel 6 Trust, 1.5%, 10/7/25 (144A) 1,000,000 $772,877
Motor 2013-1 Plc, Floating Rate Note, 2/25/21 (144A) 2,196,000 $677,828
Mpg Holdco I Inc 1st Lien Tl-B L + 3.5% 13oct21 1,564,792 $1,559,316
MRFC Mortgage Pass-Through Trust Series 1999-TBC2 REMICS, Floating Rate Note, 6/15/30 34,427,303 $2,014,022
MRFC Mortgage Pass-Through Trust Series 2000-TBC3, Floating Rate Note, 12/15/30 24,150,000 $1,202,855
Mufg 0.12% 05jan15 Usd 12,640,000 $12,640,021
MUFG Union Bank NA, Floating Rate Note, 9/26/16 6,200,000 $6,232,313
Multi Packaging Solutions, Inc., Initial Dollar Tranche B Term, 9/30/20 174,125 $169,010
Mystic Re, Ltd., Floating Rate Note, 3/12/15 (Cat Bond) (144A) 1,500,000 $1,568,800
Mystic Re, Ltd., Floating Rate Note, 3/12/15 (Cat Bond) (144A) 1,000,000 $1,033,500
Mythen Re, Ltd., Floating Rate Note, 5/7/15 (Cat Bond) (144A) 6,250,000 $6,470,820
Mythen Re, Ltd., Floating Rate Note, 5/7/15 (Cat Bond) (144A) 1,250,000 $1,297,244
Mythen Re, Ltd. Series 2012-2 Class A, Floating Rate Note, 1/5/17 (Cat Bond) (144A) 2,250,000 $2,436,810
Mythen Re, Ltd. Series 2012-2 Class A, Floating Rate Note, 11/10/16 (Cat Bond) (144A) 500,000 $542,872
Mythen Re, Ltd. Series 2013-1 Class B, Floating Rate Note, 7/9/15 (Cat Bond) (144A) 2,500,000 $2,627,167
National Australia Bank, Ltd., Floating Rate Note, 3/17/17 (144A) 1,950,000 $1,955,090
National City Bank Cleveland Ohio, Floating Rate Note, 12/15/16 2,850,000 $2,838,380
National City Corp., 4.9%, 1/15/15 2,750,000 $2,816,260
National Rural Utilities Cooperative Finance Corp., Floating Rate Note, 11/23/16 1,800,000 $1,802,971
National Rural Utilities Cooperative Finance Corp., Floating Rate Note, 5/1/15 2,720,000 $2,721,917
Nations Equipment Finance Funding II LLC, 1.558%, 7/20/18 (144A) 2,100,000 $1,745,172
Nationstar Agency Advance Funding Trust 2013-T1A, 0.997%, 2/15/45 (144A) 2,250,000 $2,250,187
Nationstar Home Equity Loan Trust 2007-A, Floating Rate Note, 3/25/37 1,000,000 $589,803
Navios Maritime Partners LP, Term Loan, 6/27/18 1,481,250 $1,459,031
Navitas Equipment Receivables LLC 2013-1, 1.95%, 11/15/16 1,750,000 $828,668
NBCUniversal Enterprise, Inc., Floating Rate Note, 4/15/16 (144A) 2,694,000 $2,703,343
NBTY, Inc., Term B-2 Loan, 10/1/17 400,000 $389,500
NCF Dealer Floorplan Master Trust, Floating Rate Note, 10/20/20 (144A) 3,000,000 $2,999,177
Ncl Corp Ltd 1st Lien Tl-B L + 3.25% 06nov21 1,000,000 $1,002,500
NCUA Guaranteed Notes Trust, Floating Rate Note, 10/7/20 2,000,000 $954,600
NCUA Guaranteed Notes Trust, Floating Rate Note, 11/6/17 6,590,000 $2,510,215
NCUA Guaranteed Notes Trust, Floating Rate Note, 12/8/20 410,000 $283,448
NCUA Guaranteed Notes Trust, Floating Rate Note, 3/11/20 2,035,000 $1,021,026
NCUA Guaranteed Notes Trust, Floating Rate Note, 4/6/20 5,835,000 $1,406,300
NCUA Guaranteed Notes Trust REMICS, Floating Rate Note, 12/8/20 1,330,000 $921,622
NCUA Guaranteed Notes Trust REMICS, Floating Rate Note, 3/2/21 2,700,000 $1,246,985
Nelnet Student Loan Trust 2005-1, Floating Rate Note, 10/26/20 1,795,000 $485,844
NEP, Amendment No. 3 Incremental Term Loan (First Lien), 1/22/20 614,117 $605,929
New Albertsons Inc 1st Lien Tl L + 3.75% 24jun21 498,750 $492,360
New Century Home Equity Loan Trust 2005-1, Floating Rate Note, 3/25/35 5,042,000 $804,466
NewStar Commercial Loan Trust 2007-1, Floating Rate Note, 9/30/22 (144A) 2,000,000 $950,071
New York Life Global Funding, 0.75%, 7/24/15 (144A) 3,550,000 $3,563,078
New York Life Global Funding, 1.3%, 1/12/15 (144A) 1,260,000 $1,267,802
New York Life Global Funding, Floating Rate Note, 12/15/17 (144A) 6,650,000 $6,647,818
New York Life Global Funding, Floating Rate Note, 5/23/16 (144A) 3,150,000 $3,164,427
Nissan Auto Lease 2013-A, 0.45%, 9/15/15 3,985,000 $463,508
Nissan Auto Lease Trust 2013-B, Floating Rate Note, 1/15/16 760,000 $465,912
Nissan Auto Receivables 2012-A Owner Trust, 0.73%, 5/16/16 55,000 $12,700
Nissan Auto Receivables 2013-A Owner Trust, 0.5%, 5/15/17 3,400,000 $2,444,097
Nissan Auto Receivables 2013-C Owner Trust, 0.4%, 6/15/16 2,075,000 $1,006,944
Nissan Master Owner Trust Receivables, Floating Rate Note, 5/15/17 3,395,000 $3,398,809
Nissan Motor Acceptance Corp., Floating Rate Note, 3/3/17 (144A) 2,000,000 $2,007,626
Nissan Motor Acceptance Corp., Floating Rate Note, 9/26/16 (144A) 1,500,000 $1,512,324
Nn Inc 1st Lien Tl-B L + 5% 18jul21 1,232,143 $1,231,373
Nomura Asset Acceptance Corp Alternative Loan Trust Series 2004-AR4, Floating Rate Note, 12/25/34 1,170,000 $139,484
Nomura Asset Acceptance Corp Alternative Loan Trust Series 2005-WF1, 4.786%, 3/25/35 735,000 $48,122
Nomura Home Equity Loan Inc Home Equity Loan Trust Series 2006-HE1, Floating Rate Note, 2/25/36 1,700,000 $129,684
Noranda Aluminum Acquisition Corp., Term B Loan, 2/28/19 116,700 $112,032
Nordea Bank AB, 2.25%, 3/20/15 (144A) 3,100,000 $3,131,839
Nordea Bank AB, Floating Rate Note, 4/4/17 (144A) 890,000 $892,250
Nordea Bank AB, Floating Rate Note, 5/13/16 (144A) 2,500,000 $2,508,164
Nordea Bank Finland Plc New York, Floating Rate Note, 6/13/16 2,225,000 $2,225,967
Northshore Re, Ltd., Floating Rate Note, 7/5/16 (Cat Bond) (144A) 2,250,000 $2,387,763
NorthStar 2012-1 Mortgage Trust, Floating Rate Note, 8/27/29 (144A) 2,926,938 $261,941
NorthStar 2012-1 Mortgage Trust, Floating Rate Note, 8/27/29 (144A) 1,000,000 $1,005,475
NorthStar 2013-1, Floating Rate Note, 8/27/29 (144A) 2,784,000 $2,642,637
NovaStar Mortgage Funding Trust Series 2003-1, Floating Rate Note, 5/25/33 19,881,000 $423,287
NovaStar Mortgage Funding Trust Series 2004-4, Floating Rate Note, 3/25/35 1,150,000 $418,354
NovaStar Mortgage Funding Trust Series 2004-4, Floating Rate Note, 3/25/35 2,443,000 $2,402,286
NPC International, Inc., Term Loan, 12/28/18 155,600 $151,710
NRG Energy, Inc., 8.25%, 9/1/20 1,250,000 $1,368,750
NRG Energy, Inc., Term Loan (2013), 7/1/18 1,170,467 $1,149,984
NSG Holdings LLC, New Term Loan, 12/11/19 1,549,348 $1,533,854
NSTAR Electric Co., Floating Rate Note, 5/17/16 1,013,000 $1,012,788
Numericable Sfr 1st Lien Tl-B2 L + 3.75% 23apr20 231,923 $231,923
Numericable Us Llc Tl-B1 L + 3.75% 23apr20 268,077 $268,077
NYCTL 2014-A Trust, 1.03%, 11/10/27 (144A) 1,800,000 $1,098,675
Oak Hill Advisors Residential Loan Trust 2014-NPL1, 2.8828%, 5/25/54 (Step) (144A) 1,810,000 $1,289,740
OAK Hill Advisors Residential Loan Trust 2014-NPL2, 3.475%, 4/25/54 (Step) (144A) 3,490,000 $3,476,530
Ocwen Loan Servicing LLC, Initial Term Loan, 2/15/18 1,380,856 $1,300,306
Offshore Group Investment, Ltd., Second Term Loan, 3/28/19 301,476 $226,735
On Assignment, Inc., Initial Term B Loan, 5/15/20 1,037,113 $1,025,445
Opteum Mortgage Acceptance Corp Asset Backed Pass-Through Certificates 2005-1, Floating Rate Note, 2 13,907,953 $15,974
Opteum Mortgage Acceptance Corp Trust 2005-4, Floating Rate Note, 11/25/35 21,900,000 $4,121,570
Option One Mortgage Loan Trust 2005-1, Floating Rate Note, 2/25/35 10,220,000 $2,979,304
Option One Mortgage Loan Trust 2005-4 Asset-Backed Certificates Series 2005-4, Floating Rate Note, 1 20,100,508 $1,613,782
Option One Mortgage Loan Trust 2007-FXD2, 5.9%, 3/25/37 (Step) 810,000 $38,545
Option One Woodbridge Loan Trust 2002-1, Floating Rate Note, 3/25/32 (144A) 6,512,459 $1,162,657
Oracle Corp., Floating Rate Note, 7/7/17 1,937,000 $1,937,064
ORES 2014-LV3 LLC, 3.0%, 3/27/24 (144A) 2,250,000 $1,477,070
ORES NPL 2013-LV2 LLC, 3.081%, 9/25/25 (144A) 1,558,000 $691,973
Origen Manufactured Housing Contract Trust 2004-B, Floating Rate Note, 11/15/35 1,240,000 $1,025,988
Oscar US Funding Trust 2014-1, 1.0%, 8/15/17 (144A) 2,500,000 $2,496,789
Outfront Media Capital LLC, Term Loan, 1/15/21 1,629,423 $1,594,390
Ownit Mortgage Loan Trust Series 2005-5, Floating Rate Note, 10/25/36 3,827,500 $605,689
PACCAR Financial Corp., Floating Rate Note, 5/5/15 2,000,000 $2,000,877
PACCAR Financial Corp., Floating Rate Note, 6/6/17 1,290,000 $1,290,312
Pangaea Zero% 01jul18 2,300,000 $2,447,890
Paragon Offshore Finance Co Tl-B L + 2.75% 11jul21 872,813 $724,434
Park Place Securities Inc Asset-Backed Pass-Through Certificates Series 2004-MCW, Floating Rate Note 1,150,000 $468,216
Park Place Securities Inc Asset-Backed Pass-Through Certificates Series 2004-WCW, Floating Rate Note 2,800,000 $1,339,686
Park Place Securities Inc Asset-Backed Pass-Through Ctfs Ser 2004-WCW2, Floating Rate Note, 10/25/34 4,874,309 $175,429
Park Place Securities Inc Asset-Backed Pass-Through Ctfs Ser 2004-WHQ2, Floating Rate Note, 2/25/35 2,600,000 $1,437,971
Park Place Securities Inc Asset-Backed Pass-Through Ctfs Ser 2005-WHQ4, Floating Rate Note, 9/25/35 8,206,169 $2,457,163
Park Place Securities Inc Asset-Backed Pass-Through Ctfs Ser 2005-WHQ4, Floating Rate Note, 9/25/35 6,230,000 $296,417
Par Pharmaceutical Companies, Inc., Term B-2 Loan, 9/28/19 1,469,836 $1,437,377
Pelican Re, Ltd., Floating Rate Note, 4/13/15 (Cat Bond) (144A) 2,000,000 $2,082,733
Pepper Residential Securities Trust, Floating Rate Note, 4/10/15 (144A) 2,000,000 $2,000,409
Pepper Residential Securities Trust, Floating Rate Note, 7/24/15 (144A) 2,000,000 $2,000,372
PepsiCo, Inc., Floating Rate Note, 2/26/16 860,000 $861,367
Permanent Master Issuer Plc, Floating Rate Note, 7/15/42 (144A) 887,000 $893,150
PF Chang's China Bistro, Inc., Term Borrowing, 6/22/19 837,121 $803,636
Pfizer, Inc., Floating Rate Note, 5/15/17 2,100,000 $2,099,443
PFS Financing Corp., Floating Rate Note, 10/15/19 (144A) 1,700,000 $1,700,719
PFS Financing Corp., Floating Rate Note, 10/15/19 (144A) 1,400,000 $1,400,447
PFS Financing Corp., Floating Rate Note, 2/15/18 (144A) 3,240,000 $3,240,274
PFS Financing Corp., Floating Rate Note, 2/15/19 (144A) 3,490,000 $3,498,834
PFS Tax Lien Trust 2014-1, 1.44%, 5/15/29 1,300,000 $1,012,526
PHARMEDIUM HEALTHCARE Corp., Initial Term Loan (First Lien), 1/23/21 255,975 $248,296
Philip Morris International, Inc., Floating Rate Note, 2/26/15 1,500,000 $1,500,476
Pilot Travel Centers Llc 1st Lien Tl-B L + 3.25% 01oct21 74,916 $75,150
Pinnacle Entertainment, Inc., Tranche B-2 Term Loan, 8/13/20 195,562 $193,546
Pinnacle Foods Finance LLC, New Term Loan G, 4/29/20 1,158,833 $1,126,386
PNC Bank NA, Floating Rate Note, 1/28/16 2,250,000 $2,254,861
PNC Bank NA, Floating Rate Note, 4/29/16 3,268,000 $3,266,129
Post Holdings Inc 1st Lien Tl-B L + 3% 23may21 995,000 $992,868
PQ Corp., 2014 Term Loan, 8/7/17 931,000 $914,242
Prestige Auto Receivables Trust 2014-1, 0.97%, 3/15/18 (144A) 2,395,000 $1,823,381
Prestige Brands, Inc., Term B-1 Loan, 1/31/19 473,701 $473,503
Prestige Brands, Inc., Term B-2 Loan, 8/18/21 579,167 $579,529
Principal Life Global Funding II, Floating Rate Note, 5/27/16 (144A) 2,530,000 $2,538,187
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) 1,800,000 $1,815,850
Progressive Waste Solutions, Ltd., Term B Loan, 10/24/19 1,170,090 $1,176,916
Province of Ontario Canada, Floating Rate Note, 4/1/15 1,800,000 $1,802,292
Prudential Financial, Inc., 3.875%, 1/14/15 290,000 $295,549
Prudential Financial, Inc., 6.2%, 1/15/15 1,902,000 $1,959,783
PVH Corp., Tranche B Term Loan, 2/13/20 1,186,868 $1,189,585
Quebecor Media, Inc., Facility B-1 Tranche, 8/17/20 497,481 $481,158
Queen City Re, Floating Rate Note, 1/6/19 (Cat Bond) (144A) 1,750,000 $1,746,884
Queen Street IV Capital, Ltd., Floating Rate Note, 4/9/15 (Cat Bond) (144A) 2,250,000 $2,274,037
Queen Street VIII Re, Ltd., Floating Rate Note, 6/8/16 (Cat Bond) (144A) 500,000 $507,703
Queen Street VII Re, Ltd., Floating Rate Note, 4/8/16 (Cat Bond) (144A) 1,750,000 $1,822,431
Queen Street VI Re, Ltd., Floating Rate Note, 4/9/15 (Cat Bond) (144A) 250,000 $253,844
Queen Street V Re, Ltd., Floating Rate Note, 4/9/15 (Cat Bond) (144A) 1,750,000 $1,772,682
Quest Trust REMICS, Floating Rate Note, 3/25/34 (144A) 55,089,092 $2,157,830
Quikrete Holdings, Inc., Initial Loan (First Lien), 9/26/20 852,173 $842,586
RAAC Series 2005-RP1 Trust, Floating Rate Note, 7/25/37 (144A) 2,130,580 $1,111,723
RAAC Series 2005-RP2 Trust, Floating Rate Note, 6/25/35 (144A) 4,005,000 $622,244
RAAC Series 2005-RP3 Trust, Floating Rate Note, 5/25/39 (144A) 2,000,000 $1,372,276
RAAC Series 2006-RP1 Trust, Floating Rate Note, 10/25/45 (144A) 15,300,000 $447,709
RAAC Series 2006-RP2 Trust, Floating Rate Note, 2/25/37 (144A) 26,822,396 $2,427,287
RAIT 2014-FL2 Trust, Floating Rate Note, 5/15/31 (144A) 5,200,000 $5,138,043
RAIT 2014-FL3 Trust, Floating Rate Note, 12/15/31 (144A) 3,540,000 $3,567,493
RALI Series 2002-QS16 Trust, Floating Rate Note, 10/25/17 5,500,000 $87,476
RALI Series 2003-QS10 Trust, Floating Rate Note, 5/25/33 38,865,000 $757,838
RALI Series 2003-QS11 Trust, Floating Rate Note, 6/25/33 44,273,266 $1,991,108
RALI Series 2003-QS22 Trust, Floating Rate Note, 12/26/33 8,400,000 $867,673
RALI Series 2003-QS5 Trust, Floating Rate Note, 3/25/18 30,000,000 $931,712
RALI Series 2003-QS9 Trust, Floating Rate Note, 5/25/18 34,469,500 $1,290,657
RALI Series 2004-QR1 Trust, 5.25%, 10/25/34 66,901,390 $1,127,014
RALI Series 2004-QS1 Trust, 4.25%, 1/25/34 4,500,000 $13,071
RALI Series 2004-QS1 Trust, Floating Rate Note, 1/25/34 4,000,000 $21,989
RALI Series 2004-QS5 Trust, 4.75%, 4/25/34 12,155,000 $610,693
RALI Series 2004-QS5 Trust, Floating Rate Note, 4/25/34 9,566,021 $476,672
RAMP Series 2004-RS11 Trust, Floating Rate Note, 11/25/34 3,805,000 $1,072,032
RAMP Series 2004-RZ1 Trust, Floating Rate Note, 3/25/34 4,080,000 $362,646
RAMP Series 2005-EFC4 Trust, Floating Rate Note, 9/25/35 1,060,000 $371,548
RAMP Series 2005-RS6 Trust, Floating Rate Note, 6/25/35 1,393,325 $736,988
RAMP Series 2006-NC1 Trust, Floating Rate Note, 1/25/36 6,100,000 $322,757
RAMP Series 2006-RZ3 Trust, Floating Rate Note, 10/25/35 10,534,000 $2,345,934
RASC Series 2004-KS10 Trust, Floating Rate Note, 11/25/34 82,085,000 $2,263,816
RASC Series 2005-EMX2 Trust, Floating Rate Note, 7/25/35 157,752 $19,863
RASC Series 2005-KS3 Trust, Floating Rate Note, 4/25/35 829,000 $217,813
Raymond James Financial, Inc., 4.25%, 4/15/16 7,409,000 $7,748,171
RBS Greenwich Capital Mortgage Loan Trust, 3.686%, 4/15/24 (144A) 8,160,000 $379,992
RBS Greenwich Capital Mortgage Loan Trust, Floating Rate Note, 4/15/24 (144A) 1,150,000 $1,162,272
RBSSP Resecuritization Trust 2009-5, Floating Rate Note, 8/25/37 (144A) 7,810,000 $2,509,509
Regatta Funding, Ltd., Floating Rate Note, 6/15/20 (144A) 2,000,000 $774,623
RegionalCare Hospital Partners, Inc., Term Loan (First Lien), 4/21/19 492,528 $491,297
RENT-A-CENTER, INC, Term Loan (2014), 2/6/21 1,736,875 $1,699,966
Residential Asset Securitization Trust 2003-A15, Floating Rate Note, 2/25/34 10,120,000 $570,114
Residential Asset Securitization Trust 2003-A2, Floating Rate Note, 5/25/33 9,443,647 $355,913
Residential Reinsurance 2011, Ltd., Floating Rate Note, 12/6/16 (Cat Bond) (144A) 1,450,000 $1,492,098
Residential Reinsurance 2011, Ltd., Floating Rate Note, 6/12/15 (Cat Bond) (144A) 1,500,000 $1,556,150
Residential Reinsurance 2011, Ltd., Floating Rate Note, 6/6/15 (Cat Bond) (144A) 1,750,000 $1,807,575
Residential Reinsurance 2012, Ltd., Floating Rate Note, 12/6/16 (Cat Bond) (144A) 1,500,000 $1,564,850
Residential Reinsurance 2012, Ltd., Floating Rate Note, 12/6/16 (Cat Bond) (144A) 2,900,000 $2,999,470
Residential Reinsurance 2012, Ltd., Floating Rate Note, 12/6/16 (Cat Bond) (144A) 1,000,000 $1,098,900
Residential Reinsurance 2012, Ltd., Floating Rate Note, 6/6/16 (Cat Bond) (144A) 750,000 $806,383
Residential Reinsurance 2012, Ltd., Floating Rate Note, 6/6/16 (Cat Bond) (144A) 900,000 $984,030
Residential Reinsurance 2013, Ltd., Floating Rate Note, 6/6/17 (Cat Bond) (144A) 850,000 $909,302
Residential Reinsurance 2014, Ltd., Floating Rate Note, 6/6/18 (Cat Bond) (144A) 750,000 $761,571
RESI Finance LP, Floating Rate Note, 9/10/35 (144A) 11,796,589 $2,153,918
RESI Finance LP 2003-CB1, Floating Rate Note, 7/9/35 7,815,000 $2,025,966
Resi Flt% 12dec45 A1 3,000,000 $2,703,867
Resimac MBS Trust, Floating Rate Note, 3/7/15 (144A) 1,500,000 $1,500,535
Resource Capital Corp 2014-CRE2, Ltd., Floating Rate Note, 4/15/32 (144A) 4,920,000 $4,917,426
Resource Capital Corp CRE Notes 2013, Ltd., Floating Rate Note, 6/15/16 (144A) 3,000,000 $3,016,740
Revlon Consumer Products Corp., Acquisition Term Loan, 8/19/19 371,250 $366,029
Revlon Consumer Products Corp., Replacement Term Loan, 11/19/17 976,136 $968,815
Reynolds Group Holdings, Inc., Incremental U.S. Term Loan, 12/31/18 785,308 $772,897
RFSC Series 2003-RP2 Trust, Floating Rate Note, 7/25/41 (144A) 2,000,000 $610,517
Rialto Capital Management LLC, 2.85%, 5/15/24 (144A) 2,000,000 $574,246
Rio Tinto Finance USA Plc, Floating Rate Note, 6/17/16 1,130,000 $1,134,610
Riverfront Re, Ltd., Floating Rate Note, 1/6/17 (Cat Bond) (144A) 1,000,000 $1,012,933
Rovi Solutions Corp 1st Lien Tl-B L + 3% 02jul21 1,020,899 $1,003,884
Royal Bank of Canada, 1.15%, 3/13/15 2,532,000 $2,544,511
Royal Bank of Canada, Floating Rate Note, 1/23/17 1,875,000 $1,880,087
Royal Bank of Canada, Floating Rate Note, 1/6/15 2,200,000 $2,202,470
Royal Bank of Canada, Floating Rate Note, 12/16/15 1,800,000 $1,803,528
Royal Bank of Canada, Floating Rate Note, 6/16/17 2,200,000 $2,197,691
Royal Bank of Canada, Floating Rate Note, 9/9/16 2,000,000 $2,008,253
RPI Finance Trust, Term B-2 Term Loan, 5/9/18 1,012,106 $1,010,841
RPI Finance Trust, Term B-3 Term Loan, 11/9/18 622,351 $621,768
Ryder System, Inc., 3.15%, 3/2/15 2,000,000 $2,028,598
Salix Pharmaceuticals, Ltd., Term Loan, 12/17/19 427,500 $423,626
Salomon Brothers Mortgage Securities VII, Inc., Floating Rate Note, 3/25/28 49,537,000 $68,682
Salomon Mortgage Loan Trust Series 2001-CB4, Floating Rate Note, 11/25/33 4,754,000 $124,084
Samson Investment Co., Tranche 1 Term Loan (Second Lien), 9/25/18 345,205 $273,000
Sanders Re, Ltd., Floating Rate Note, 5/25/18 (Cat Bond) (144A) 1,000,000 $997,067
Sanders Re, Ltd., Floating Rate Note, 5/5/17 (Cat Bond) (144A) 1,250,000 $1,259,778
Sanders Re, Ltd., Floating Rate Note, 5/5/17 (Cat Bond) (144A) 2,500,000 $2,506,611
Sanders Re, Ltd., Floating Rate Note, 6/7/17 (Cat Bond) (144A) 2,000,000 $2,019,900
Santander Drive Auto Receivables Trust 2011-2, 3.28%, 6/15/16 2,265,000 $771,242
Santander Drive Auto Receivables Trust 2012-5, 0.83%, 12/15/16 1,600,000 $26,511
SASCO Mortgage Loan Trust 2005-GEL1, Floating Rate Note, 12/25/34 1,590,000 $1,082,462
SASCO Mortgage Loan Trust 2005-GEL2, Floating Rate Note, 4/25/35 28,476,673 $463,766
Saxon Asset Securities Trust 2005-3, Floating Rate Note, 11/25/35 1,945,000 $1,857,314
Saxon Asset Securities Trust 2005-4, Floating Rate Note, 11/25/37 31,986,000 $1,384,728
SBA Senior Finance II LLC, Incremental Tranche B-1 Term Loan, 3/31/21 597,000 $585,806
SBI Home Equity Loan Trust 2006-1, Floating Rate Note, 8/25/36 (144A) 2,950,000 $893,614
Schaeffler (Aka Ina Beteiligungsge 1st Lien Tl-B L + 3.5% 15may20 1,683,943 $1,686,750
Scientific Games International Inc 1st Lien Tl-B2 L + 5% 17sep21 2,000,000 $1,975,000
Seadrill Operating LP, Initial Term Loan, 2/14/21 2,722,500 $2,126,273
Sector Re V, Ltd., 0.0%, 12/1/19 (Cat Bond) (144A) 500,000 $502,600
Select Medical Corp., Series E Tranche B Term Loan, 6/1/18 236,016 $230,116
Selene Non-Performing Loans LLC, 2.9814%, 5/25/54 (Step) (144A) 3,530,000 $3,462,600
Seminole Hard Rock Entertainment, Inc., New Term Loan B, 5/14/20 591,000 $570,807
Seminole Tribe of Florida, Inc., Initial Term Loan, 4/29/20 1,342,500 $1,337,466
Sensata Technologies BV, Term Loan, 5/12/18 527,437 $527,520
Sensata Technologies Bv 1st Lien Tl-B2 L + 2.75% 08oct21 1,496,250 $1,497,746
Sequoia Mortgage Trust 10, Floating Rate Note, 10/20/27 6,100,000 $116,383
Sequoia Mortgage Trust 2003-2, Floating Rate Note, 6/20/33 13,097,000 $475,806
Sequoia Mortgage Trust 2003-5, Floating Rate Note, 9/20/33 52,500,000 $2,362,599
Sequoia Mortgage Trust 2003-8, Floating Rate Note, 1/20/34 5,750,000 $265,028
Sequoia Mortgage Trust 2004-10, Floating Rate Note, 11/20/34 5,055,000 $518,565
Sequoia Mortgage Trust 2004-12 REMICS, Floating Rate Note, 1/20/35 2,000,000 $137,802
Sequoia Mortgage Trust 2004-12 REMICS, Floating Rate Note, 1/20/35 39,171,595 $4,041,326
Sequoia Mortgage Trust 2004-7, Floating Rate Note, 8/20/34 7,500,000 $333,579
Sequoia Mortgage Trust 2005-1, Floating Rate Note, 2/20/35 31,769,748 $3,141,265
Sequoia Mortgage Trust 2005-2, Floating Rate Note, 3/20/35 5,275,000 $526,450
Sequoia Mortgage Trust 4, Floating Rate Note, 11/22/24 6,940,000 $177,058
Serta Simmons Holdings LLC, Term Loan, 10/1/19 330,711 $327,146
Shbass 0.185% 19mar15 2,640,000 $2,640,250
Shell International Finance BV, Floating Rate Note, 11/15/16 1,500,000 $1,501,360
Ship Midco, Ltd., Facility B2A-II, 11/29/19 98,939 $99,125
Silver Bay Realty 2014-1 Trust, Floating Rate Note, 9/18/31 (144A) 3,378,000 $3,314,776
Sinclair Broadcasting 1st Lien Tl-B1 L + 2.75% 22jul21 1,000,000 $991,250
Sinclair Television Group, Inc., New Tranche B Term Loan, 4/19/20 1,334,952 $1,301,578
Sirius International Group, Ltd., Floating Rate Note (Perpetual) (144A) 1,150,000 $1,240,549
Six Flags Theme Parks, Inc., Tranche B Term Loan, 12/20/18 731,627 $731,017
Skandinaviska Enskilda Banken AB New York NY, Floating Rate Note, 9/21/15 2,500,000 $2,501,166
Small Business Administration Participation Certificates, 0.58%, 10/17/16 (144A) 900,000 $900,129
SMART Trust/Australia, 1.59%, 10/14/16 (144A) 1,550,000 $851,221
SMART Trust/Australia, Floating Rate Note, 1/17/17 2,500,000 $2,280,233
SMART Trust/Australia, Floating Rate Note, 8/15/16 1,500,000 $1,224,176
SMART Trust/Australia, Floating Rate Note, 9/14/16 1,785,000 $1,205,309
SMHL Global Fund 2007-1, Floating Rate Note, 6/12/40 1,100,000 $87,114
SNAAC Auto Receivables Trust, 4.38%, 6/15/17 (144A) 1,800,000 $1,336,867
SNAAC Auto Receivables Trust 2013-1, 1.14%, 7/16/18 (144A) 1,823,000 $199,590
SNAAC Auto Receivables Trust 2014-1, 1.03%, 9/17/18 (144A) 839,000 $497,965
Soundview Home Loan Trust 2005-DO1, Floating Rate Note, 5/25/35 2,000,000 $1,985,730
Soundview Home Loan Trust 2005-DO1, Floating Rate Note, 5/25/35 2,000,000 $21,965
Soundview Home Loan Trust 2005-OPT4, Floating Rate Note, 12/25/35 2,967,970 $771,495
Southwire Co., Initial Term Loan, 1/31/21 1,067,311 $1,030,844
Specialty Underwriting & Residential Finance Trust Series 2005-AB2, Floating Rate Note, 6/25/36 1,500,000 $493,006
Specialty Underwriting & Residential Finance Trust Series 2006-BC1, Floating Rate Note, 12/25/36 3,000,000 $382,580
Specialty Underwriting & Residential Finance Trust Series 2006-BC1, Floating Rate Note, 12/25/36 3,640,376 $3,526,433
Spectrum Brands, Inc., Tranche C Term Loan, 8/13/19 296,250 $293,510
Spirit AeroSystems, Inc., Term Loan B, 9/30/20 1,328,944 $1,321,885
Springleaf Funding Trust 2013-A, 2.58%, 9/15/21 (144A) 2,100,000 $2,108,454
Springleaf Mortgage Loan Trust 2012-3, Floating Rate Note, 12/26/59 (144A) 1,000,000 $477,598
Stanwich Mortgage Loan Trust, 2.9814%, 2/16/43 (144A) 3,025,000 $619,291
Starwood Property Mortgage Trust 2013-FV1, Floating Rate Note, 8/11/28 (144A) 2,495,000 $2,337,357
Starwood Property Trust, Inc., Term Loan (First Lien), 4/17/20 1,586,043 $1,556,966
State Street Bank & Trust Co., Floating Rate Note, 12/8/15 2,440,000 $2,438,429
Steward Health Care System LLC, Term Loan, 4/10/20 985,000 $976,677
Structured Adjustable Rate Mortgage Loan Trust, Floating Rate Note, 11/25/34 62,595,000 $3,112,536
Structured Adjustable Rate Mortgage Loan Trust, Floating Rate Note, 11/25/34 3,560,000 $348,199
Structured Adjustable Rate Mortgage Loan Trust, Floating Rate Note, 3/25/34 3,865,000 $577,977
Structured Adjustable Rate Mortgage Loan Trust, Floating Rate Note, 3/25/34 8,200,000 $455,427
Structured Adjustable Rate Mortgage Loan Trust, Floating Rate Note, 6/25/34 20,600,000 $2,348,361
Structured Adjustable Rate Mortgage Loan Trust, Floating Rate Note, 6/25/35 3,880,000 $52,745
Structured Adjustable Rate Mortgage Loan Trust, Floating Rate Note, 8/25/35 26,776,000 $1,576,183
Structured Asset Investment Loan Trust 2005-6, Floating Rate Note, 7/25/35 2,600,000 $2,307,936
Structured Asset Investment Loan Trust 2006-1, Floating Rate Note, 1/25/36 4,650,000 $1,057,722
Structured Asset Mortgage Investments II Trust 2004-AR1, Floating Rate Note, 3/19/34 16,800,000 $861,437
Structured Asset Mortgage Investments II Trust 2004-AR5, Floating Rate Note, 10/19/34 23,000,000 $1,048,546
Structured Asset Mortgage Investments II Trust 2004-AR8, Floating Rate Note, 5/19/35 83,350,000 $4,349,977
Structured Asset Mortgage Investments Trust 2002-AR5, Floating Rate Note, 5/19/33 36,301,000 $1,791,694
Structured Asset Sec Corp Mort Pass Thr Certs Series 1998-8, Floating Rate Note, 8/25/28 8,825,000 $389,090
Structured Asset Securities Corp Mor Cer Ser 2003-31A, Floating Rate Note, 10/25/33 1,991,000 $209,712
Structured Asset Securities Corp Mortgage Loan Trust 2005-S7, Floating Rate Note, 12/25/35 (144A) 11,868,000 $1,610,569
Structured Asset Securities Corp Mortgage Loan Trust 2006-EQ1, Floating Rate Note, 7/25/36 5,000,000 $2,763,308
Structured Asset Securities Corp Mortgage Loan Trust 2006-GEL4, Floating Rate Note, 10/25/36 (144A) 5,557,000 $2,019,635
Structured Asset Securities Corp Mortgage Loan Trust 2007-BC3, Floating Rate Note, 6/25/37 3,500,000 $103,539
Structured Asset Securities Corp Mortgage Loan Trust 2007-TC1, Floating Rate Note, 4/25/31 (144A) 3,000,000 $1,014,128
Structured Asset Securities Corp Mortgage Pass-Through Certificates Ser 2004-S4, Floating Rate Note, 2,000,000 $315,726
Structured Asset Securities Corp Mortgage Pass-Through Ctfs Ser 2003-24A, Floating Rate Note, 7/25/3 8,050,000 $958,756
Structured Asset Securities Corp Mortgage Pass Through Ctfs Series 2003-35, Floating Rate Note, 12/2 2,500,000 $139,398
Structured Asset Securities Corp Trust 2005-14, Floating Rate Note, 7/25/35 3,899,641 $383,673
Successor X, Ltd., Floating Rate Note, 1/27/15 (Cat Bond) (144A) 1,500,000 $1,538,350
Sumitomo Mitsui Banking Corp., Floating Rate Note, 7/19/16 1,500,000 $1,509,598
Sumitomo Mitsui Banking Corp. New York, Floating Rate Note, 4/1/15 1,000,000 $1,002,143
Sumitomo Mitsui Trust Bank, Ltd., Floating Rate Note, 9/16/16 (144A) 1,500,000 $1,509,476
Sunset Mortgage Loan Co 2014-NPL2 LLC, 3.721%, 11/16/44 (Step) (144A) 3,070,000 $3,027,470
SunTrust Bank, Floating Rate Note, 2/15/17 3,645,000 $3,648,931
SunTrust Bank, Floating Rate Note, 4/1/15 4,090,000 $4,092,570
Svenska Handelsbanken AB, Floating Rate Note, 3/21/16 3,625,000 $3,637,269
Svenska Handelsbanken AB, Floating Rate Note, 9/23/16 2,350,000 $2,359,209
Svenska Handelsbanken New York NY, Floating Rate Note, 1/16/15 700,000 $700,849
SWAY Residential 2014-1 Trust, Floating Rate Note, 1/17/20 (144A) 2,900,000 $2,893,204
Swift Transportation Co Llc 1st Lien Tl-B L + 3% 09jun21 339,862 $336,293
Synchrony Credit Card Master Note Trust, 1.03%, 1/15/18 900,000 $900,588
Synchrony Credit Card Master Note Trust, 1.51%, 6/15/18 849,000 $853,305
Synchrony Credit Card Master Note Trust, 3.69%, 3/15/18 1,600,000 $1,612,766
Synchrony Credit Card Master Note Trust, Floating Rate Note, 6/15/18 3,600,000 $3,599,955
Syncreon Group BV, Term Loan, 9/26/20 198,000 $193,050
Syniverse Holdings, Inc., Tranche B Term Loan, 4/23/19 727,141 $706,539
T2 Income Fund CLO, Ltd., Floating Rate Note, 7/15/19 (144A) 2,760,000 $2,764,230
TAL Advantage I LLC, Floating Rate Note, 4/20/21 (144A) 1,250,000 $165,440
TAL Advantage V LLC, 1.7%, 5/20/39 (144A) 1,400,000 $1,184,118
Tar Heel Re, Ltd., Floating Rate Note, 5/9/16 (Cat Bond) (144A) 1,500,000 $1,589,642
Telesat Canada, U.S. Term B-2 Loan, 3/28/19 660,424 $650,518
Tempur Sealy International, Inc., New Term B Loan, 3/18/20 425,614 $420,294
Terex Corp., U.S. Term Loan, 8/13/21 308,783 $305,695
Terraform 1st Lien Tl-B L + 3.75% 02jul19 472,625 $472,773
Terra-Gen Power Llc 1st Lien Tl-B L + 4.25% 31dec21 1,350,000 $1,339,875
Terwin Mortgage Trust Series TMTS 2003-8HE, Floating Rate Note, 12/25/34 23,713,000 $719,150
Terwin Mortgage Trust Series TMTS 2005-10HE, Floating Rate Note, 6/25/36 668,753 $478,272
Tesoro Corp., Initial Term Loan, 5/30/16 795,000 $793,490
Texas Competitive Electric Holdings Co LLC, DIP Delayed Draw Term Loan (2014), 5/5/16 1,595,935 $1,604,912
The Bank of New York Mellon Corp., 2.95%, 6/18/15 2,400,000 $2,429,518
The Bank of New York Mellon Corp., 3.1%, 1/15/15 670,000 $680,042
The Bank of New York Mellon Corp., Floating Rate Note, 10/23/15 3,533,000 $3,539,941
The Bank of New York Mellon Corp., Floating Rate Note, 3/4/16 3,275,000 $3,276,452
The Bank of Nova Scotia, 1.85%, 1/12/15 100,000 $100,890
The Bank of Nova Scotia, Floating Rate Note, 1/12/15 4,275,000 $4,288,059
The Bank of Nova Scotia, Floating Rate Note, 12/13/16 1,800,000 $1,805,020
The Bank of Nova Scotia, Floating Rate Note, 3/15/16 2,000,000 $2,006,108
The Bank of Nova Scotia, Floating Rate Note, 7/15/16 1,500,000 $1,505,865
The Bank of Tokyo-Mitsubishi UFJ, Ltd., Floating Rate Note, 3/10/17 (144A) 1,000,000 $995,407
The Bank of Tokyo-Mitsubishi UFJ, Ltd., Floating Rate Note, 9/8/17 (144A) 2,525,000 $2,500,491
The Bear Stearns Companies LLC, Floating Rate Note, 11/21/16 2,465,000 $2,460,724
The Coca-Cola Co., Floating Rate Note, 3/5/15 850,000 $850,144
The Connecticut Light & Power Co., 5.0%, 4/1/15 1,200,000 $1,227,590
The Geo Group, Inc., Term Loan, 4/3/20 987,475 $978,834
The Goldman Sachs Group, Inc., 1.6%, 11/23/15 822,000 $827,839
The Goldman Sachs Group, Inc., 3.7%, 8/1/15 2,400,000 $2,475,734
The Goldman Sachs Group, Inc., Floating Rate Note, 3/22/16 4,300,000 $4,291,244
The Goldman Sachs Group, Inc., Floating Rate Note, 7/22/15 1,300,000 $1,301,419
The Goodyear Tire & Rubber Co., Loan (Second Lien), 4/30/19 800,000 $798,200
The Hertz Corp., Tranche B-1 Term Loan, 3/11/18 735,000 $725,506
The Huntington National Bank, Floating Rate Note, 4/24/17 2,000,000 $2,000,446
The Manitowoc Co, Inc., Term B Loan, 12/18/20 84,363 $83,519
The PNC Financial Services Group, Inc., Floating Rate Note (Perpetual) 1,500,000 $1,507,604
The Toronto-Dominion Bank, Floating Rate Note, 5/1/15 5,695,000 $5,702,012
The Toronto-Dominion Bank, Floating Rate Note, 5/2/17 2,000,000 $1,996,382
The Toronto-Dominion Bank, Floating Rate Note, 9/9/16 1,000,000 $1,003,123
Thornburg Mortgage Securities Trust 2004-1, Floating Rate Note, 3/25/44 11,746,000 $1,638,896
Thornburg Mortgage Securities Trust 2004-4, Floating Rate Note, 12/25/44 4,235,000 $693,189
TI Group Automotive Systems LLC, Term Loan Facility, 7/1/21 635,098 $627,159
TMS International Corp., Term B Loan, 10/2/20 148,875 $147,572
TORONTO-DOMINION BANK, Floating Rate Note, 11/6/15 4,025,000 $4,030,662
Total Capital Canada, Ltd., Floating Rate Note, 1/15/16 3,355,000 $3,365,333
Tower Automotive Holdings USA LLC, Refinancing Term Loan, 4/23/20 200,696 $197,560
Toyota Auto Receivables 2013-B Owner Trust, 0.48%, 2/15/16 2,390,000 $665,014
Toyota Auto Receivables 2014-C Owner Trust, 0.51%, 2/15/17 1,770,000 $1,769,697
Toyota Motor Credit Corp., 0.75%, 3/3/17 (Step) 2,250,000 $2,242,291
Toyota Motor Credit Corp., 1.0%, 2/17/15 2,265,000 $2,275,125
Toyota Motor Credit Corp., Floating Rate Note, 1/23/15 2,290,000 $2,292,006
Toyota Motor Credit Corp., Floating Rate Note, 5/17/16 2,800,000 $2,807,192
Toyota Motor Credit Corp., Floating Rate Note, 9/18/15 1,000,000 $1,001,055
Trade MAPS 1, Ltd., Floating Rate Note, 12/10/18 (144A) 3,079,000 $3,080,459
Tradewynd Re, Ltd., Floating Rate Note, 1/8/15 (Cat Bond) (144A) 250,000 $253,843
Tradewynd Re, Ltd., Floating Rate Note, 1/8/18 (Cat Bond) (144A) 750,000 $750,975
Trafigura Securitisation Finance Plc, Floating Rate Note, 10/15/15 (144A) 1,556,000 $1,564,308
Trafigura Securitisation Finance Plc, Floating Rate Note, 10/15/15 (144A) 1,537,000 $1,545,025
Trafigura Securitisation Finance Plc. 2014-1, Floating Rate Note, 4/16/18 (144A) 1,400,000 $1,401,201
Tramline Re II, Ltd., Floating Rate Note, 1/4/19 (Cat Bond) (144A) 250,000 $251,325
TransCanada PipeLines, Ltd., 0.875%, 3/2/15 4,160,000 $4,174,241
TransCanada PipeLines, Ltd., Floating Rate Note, 6/30/16 3,544,000 $3,560,855
TransDigm, Inc., Tranche C Term Loan, 2/28/20 320,101 $315,166
Tribune Media Co., Initial Term Loan, 11/20/20 2,116,251 $2,088,475
Trimaran CLO V, Ltd., Floating Rate Note, 3/15/18 (144A) 1,500,000 $185,706
Triton Container Finance LLC, Floating Rate Note, 2/26/19 (144A) 1,287,000 $26,787
Tronox Pigments BV, New Term Loan, 3/19/20 384,383 $379,098
Truman Capital Mortgage Loan Trust, Floating Rate Note, 1/25/34 925,000 $843,627
Truven Health Analytics, Inc., New Tranche B Term Loan, 6/6/19 341,296 $332,337
Tyco Electronics Group SA, Floating Rate Note, 1/29/16 2,400,000 $2,401,159
U.S. Treasury Floating Rate Note, 0.110004%, 7/31/16 19,740,000 $19,742,936
Unifrax I LLC, New Term B Dollar Loan, 11/28/18 976,649 $968,917
United Airlines, Inc., Class B Term Loan, 4/1/19 246,250 $243,233
United Airlines Inc 1st Lien Tl-B L + 3% 07aug21 1,000,000 $991,563
United Auto Credit Securitization Trust 2013-1, 1.74%, 4/15/16 (144A) 1,900,000 $1,062,585
United Auto Credit Securitization Trust 2014-1, 0.74%, 6/15/16 (144A) 3,000,000 $3,000,610
United States Treasury Floating Rate Note, Floating Rate Note, 1/31/16 20,500,000 $20,497,000
United States Treasury Floating Rate Note, Floating Rate Note, 10/31/16 20,100,000 $20,090,388
United States Treasury Floating Rate Note, Floating Rate Note, 4/30/16 21,260,000 $21,262,573
United Technologies Corp., Floating Rate Note, 6/1/15 1,965,000 $1,969,682
Univision Communications, Inc., Replacement First-Lien Term Loan, 3/1/20 663,175 $649,912
Ursa Re, Ltd., Floating Rate Note, 12/7/17 (Cat Bond) (144A) 2,000,000 $1,998,000
US Bancorp, 2.45%, 7/27/15 2,620,000 $2,677,623
US Bank NA Cincinnati Ohio, Floating Rate Note, 1/30/17 2,025,000 $2,027,379
US Bank NA Cincinnati Ohio, Floating Rate Note, 4/22/16 2,000,000 $2,001,315
USI, Inc. New York, Initial Term Loan 2013, 12/30/19 1,087,904 $1,069,546
Valeant Pharmaceuticals International, Inc., Series C-2 Tranche B Term Loan, 12/11/19 511,676 $507,519
Valeant Pharmaceuticals International, Inc., Series D2 Term Loan B, 2/13/19 213,198 $211,488
Valeant Pharmaceuticals International, Inc., Series E1 Tranche B Term Loan, 8/5/20 1,313,724 $1,304,145
Vantiv LLC, Term B Loan, 6/12/21 1,119,375 $1,111,847
Velocity Commercial Capital Loan Trust 2014-1, Floating Rate Note, 9/25/44 (144A) 2,700,000 $2,551,866
Vericrest Opportunity Loan Transferee 2014-NPL4 LLC, 3.125%, 4/27/54 (Step) (144A) 6,000,000 $5,292,368
Verint Systems, Inc., Tranche B Incremental Term Loan, 9/6/19 325,732 $323,615
Verizon Communications, Inc., 0.7%, 11/2/15 2,600,000 $2,601,821
Verizon Communications, Inc., Floating Rate Note, 9/15/16 3,805,000 $3,877,166
Vers 2015-A Zero% 31dec17 2,500,000 $2,500,000
VFC 2014-2 LLC, 2.75%, 7/20/30 (144A) 3,510,000 $2,324,416
Virgin Media Investment Holdings, Ltd., B Facility, 6/8/20 2,205,000 $2,171,925
Visteon Corp Term B 1st Lien Dd L + 2.75% 08apr21 497,500 $492,214
Vita Capital IV, Ltd., Floating Rate Note, 1/15/16 (Cat Bond) (144A) 400,000 $406,616
Vita Capital V, Ltd., Floating Rate Note, 1/15/17 (Cat Bond) (144A) 500,000 $512,861
Vita Capital V, Ltd., Floating Rate Note, 1/15/17 (Cat Bond) (144A) 1,500,000 $1,528,959
Vitality Re IV, Ltd., Floating Rate Note, 1/9/17 (Cat Bond) (144A) 1,000,000 $1,015,151
Vitality Re V, Ltd., Floating Rate Note, 1/7/19 (Cat Bond) (144A) 1,800,000 $1,769,170
Vodafone Group Plc, Floating Rate Note, 2/19/16 1,150,000 $1,150,562
Volkswagen Auto Lease Trust 2013-A, 0.63%, 12/21/15 1,530,000 $352,104
Volkswagen Auto Lease Trust 2013-A, Floating Rate Note, 12/21/15 2,000,000 $460,165
Volkswagen Auto Lease Trust 2014-A, 0.52%, 10/20/16 5,790,000 $4,327,536
Volkswagen Auto Lease Trust 2014-A, Floating Rate Note, 10/20/16 1,500,000 $1,120,160
Volkswagen Group of America Finance LLC, Floating Rate Note, 5/23/16 (144A) 1,900,000 $1,898,964
Volkswagen International Finance NV, 1.15%, 11/20/15 (144A) 3,690,000 $3,709,014
Volkswagen International Finance NV, 1.625%, 3/22/15 (144A) 2,400,000 $2,415,607
Volkswagen International Finance NV, Floating Rate Note, 11/18/16 (144A) 1,750,000 $1,755,632
VOLT NPL X LLC, 3.375%, 10/25/54 (Step) (144A) 4,390,000 $4,298,362
VOLT XIX LLC, 3.875%, 4/26/55 (Step) 1,500,000 $1,500,381
VOLT XXIV LLC, 3.25%, 11/25/53 (Step) 2,000,000 $1,086,033
Volvo Financial Equipment LLC Series 2012-1, 2.38%, 9/16/19 (144A) 295,000 $298,356
Volvo Financial Equipment LLC Series 2013-1, 0.53%, 11/16/15 (144A) 1,820,000 $61,252
Volvo Financial Equipment LLC Series 2013-1, 0.74%, 3/15/17 (144A) 1,410,000 $1,411,661
Volvo Financial Equipment LLC Series 2014-1, 0.54%, 11/15/16 (144A) 1,700,000 $1,677,602
Wachovia Bank Commercial Mortgage Trust Series 2005-C18, 4.935%, 4/15/42 4,722,637 $1,788,389
Wachovia Bank Commercial Mortgage Trust Series 2005-C20 REMICS, Floating Rate Note, 7/15/42 8,460,000 $7,211,815
Wachovia Bank Commercial Mortgage Trust Series 2005-C21, Floating Rate Note, 10/17/44 1,990,733 $1,641,922
Wachovia Bank Commercial Mortgage Trust Series 2005-C22 REMICS, Floating Rate Note, 12/15/44 5,713,000 $5,291,027
Wachovia Bank Commercial Mortgage Trust Series 2006-C23 REMICS, Floating Rate Note, 1/15/45 5,550,000 $4,477,899
Wachovia Bank Commercial Mortgage Trust Series 2006-C25, Floating Rate Note, 5/15/43 4,240,000 $3,684,727
Wachovia Bank Commercial Mortgage Trust Series 2007-WHALE 8, Floating Rate Note, 6/15/20 (144A) 5,000,000 $341,737
Wachovia Corp., Floating Rate Note, 10/28/15 1,983,000 $1,984,694
Wachovia Corp., Floating Rate Note, 6/15/17 1,999,000 $1,995,216
WaMu Mortgage Pass-Through Certificates Series 2002-AR18 Trust, Floating Rate Note, 1/25/33 34,265,000 $342,188
WaMu Mortgage Pass-Through Certificates Series 2002-AR19 Trust, Floating Rate Note, 2/25/33 18,180,000 $655,322
WaMu Mortgage Pass-Through Certificates Series 2004-AR14 Trust, Floating Rate Note, 1/25/35 2,390,499 $495,437
WaMu Mortgage Pass-Through Certificates Series 2005-AR7 Trust, Floating Rate Note, 8/25/35 28,565,000 $2,203,434
Waste Industries USA, Inc., Term B Loan, 3/17/17 148,849 $147,919
Weight Watchers International, Inc., Initial Tranche B-2 Term Loan, 4/2/20 1,970,000 $1,527,981
Wells Fargo & Co., 1.5%, 7/1/15 2,600,000 $2,614,068
Wells Fargo & Co., Floating Rate Note, 10/28/15 2,503,000 $2,505,238
Wells Fargo & Co., Floating Rate Note, 6/26/15 5,230,000 $5,254,169
Wells Fargo & Co., Floating Rate Note, 7/20/16 3,105,000 $3,119,344
Wells Fargo Bank NA, 4.75%, 2/9/15 1,564,000 $1,599,536
Wells Fargo Bank NA, Floating Rate Note, 5/16/16 975,000 $972,863
Wells Fargo Commercial Mortgage Trust 2014-TISH, Floating Rate Note, 2/16/27 (144A) 2,220,000 $2,220,885
Wells Fargo Home Equity Asset-Backed Securities 2005-2 Trust, Floating Rate Note, 11/25/35 189,000 $64,299
Wells Fargo Home Equity Asset-Backed Securities 2005-3 Trust, Floating Rate Note, 12/25/35 2,690,000 $809,430
Wells Fargo Mortgage Backed Securities 2005-AR6 Trust, Floating Rate Note, 4/25/35 611,000 $42,950
Wells Fargo Mortgage Backed Securities Trust, Floating Rate Note, 8/25/34 14,679,000 $798,022
Wendy's International LLC, Term B Loan, 5/15/19 721,097 $716,590
Wesco Aircraft Hardware Corp., Tranche B Term Loan, 2/24/21 2,535,000 $2,496,975
WESCO Distribution, Inc., Tranche B-1 Loan, 12/12/19 318,295 $317,300
West Corp., Term B-10 Loan, 6/30/18 1,004,821 $987,236
Western Refining, Inc., Term Loan 2013, 11/12/20 447,739 $435,986
Westgate Resorts 2012-2 LLC, 9.0%, 1/21/25 (144A) 1,500,000 $509,216
Westgate Resorts 2012-A LLC, 3.75%, 8/20/25 (144A) 2,805,000 $1,517,109
Westgate Resorts LLC, 2.5%, 3/20/25 (144A) 350,000 $138,725
Westgate Resorts LLC, 9.5%, 2/20/25 (144A) 5,000,000 $2,121,200
Westlake Automobile Receivables Trust 2013-1, 1.12%, 1/15/18 (144A) 375,000 $187,092
Westpac Banking Corp., 4.2%, 2/27/15 2,000,000 $2,039,013
Westpac Banking Corp., Floating Rate Note, 5/19/17 2,000,000 $2,000,274
Westpac Banking Corp., Floating Rate Note, 7/17/15 (144A) 500,000 $503,080
Westpac Banking Corp., Floating Rate Note, 7/28/15 1,000,000 $1,001,007
Westwood CDO II, Ltd., Floating Rate Note, 4/25/22 (144A) 2,000,000 $1,547,663
Wheelabrator 1st Lien Tl-B L + 4% 15oct21 2,873,563 $2,902,299
Wheelabrator 1st Lien Tl-C L + 4% 15oct21 126,437 $127,701
Wheels SPV 2 LLC, 0.84%, 3/20/23 (144A) 1,000,000 $1,000,349
WideOpenWest Finance LLC, Term B Loan, 4/1/19 238,689 $237,645
Wilshire Mortgage Loan Trust, Floating Rate Note, 5/25/28 10,000,000 $31,048
Windstream Corp., Tranche B-4 Term Loan, 1/23/20 1,033,106 $1,023,098
Windstream Corp., Tranche B-5 Term Loan, 8/8/19 708,778 $700,804
WireCo WorldGroup, Inc., Term Loan, 2/15/17 871,421 $873,055
WMG Acquisition Corp., Tranche B Refinancing Term Loan, 7/1/20 1,086,250 $1,048,231
World Financial Network Credit Card Master Trust, 3.96%, 4/15/19 350,000 $355,918
World Financial Network Credit Card Master Trust, Floating Rate Note, 12/16/19 10,375,000 $10,381,717
World Omni Automobile Lease Securitization Trust 2014-A, Floating Rate Note, 3/15/17 2,500,000 $2,496,310
World Omni Auto Receivables Trust 2013-B, 0.48%, 11/15/16 50,000 $20,686
World Omni Auto Receivables Trust 2014-B, Floating Rate Note, 1/16/18 2,650,000 $2,650,408
WR Grace & Co-Conn, Delayed Draw Term Loan, 1/23/21 290,008 $288,920
WR Grace & Co-Conn, U.S. Term Loan, 1/23/21 805,933 $802,911
Wyle 1st Lien Tl-B L + 4% 22may21 196,496 $196,126
Xerium Technologies, Inc., New Term Loan, 5/17/19 78,800 $78,997
Xom Cp Zero% 04feb15 Usd 6,100,000 $6,099,247
Zebra Technologies Corporation 1st Lien Tl-B L + 4% 30sep21 1,000,000 $1,007,813
ZIGGO BV, (USD) TLB3, 1/15/22 1,136,553 $1,108,139
Ziggo Bv 1st Lien Tl-B1 L + 2.75% 15jan22 1,072,383 $1,045,573
Ziggo Bv 1st Lien Tl-B2 L + 2.75% 15jan22 691,064 $673,787

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