Pioneer Multi-Asset Ultrashort Income Fund

Top 10 Portfolio Holdings as of 2/27/2015
Default: sorted by market value

Security Name Par / Shares Market Value
14112z Zero% 01feb19 2,500,000 $2,567,750
321 Henderson Receivables II LLC, Floating Rate Note, 9/15/41 (144A) 11,542,000 $3,765,582
321 Henderson Receivables I LLC, Floating Rate Note, 11/15/40 (144A) 4,630,000 $1,399,086
321 Henderson Receivables I LLC, Floating Rate Note, 12/15/41 (144A) 10,869,000 $3,735,264
321 Henderson Receivables I LLC, Floating Rate Note, 6/15/41 (144A) 8,090,000 $2,667,721
321 Henderson Receivables I LLC, Floating Rate Note, 9/15/45 (144A) 3,120,000 $743,555
77 Energy 1st Lien Tl-B L + 3% 17jun21 1,442,750 $1,320,116
A10 Securitization 2013-1 LLC, 2.4%, 11/17/25 (144A) 1,400,000 $402,723
ABFC 2003-WMC1 Trust, Floating Rate Note, 3/25/33 3,691,000 $15,337
ABFC 2005-WF1 Trust, Floating Rate Note, 12/25/34 2,140,000 $803,035
ABN AMRO Bank NV, Floating Rate Note, 10/28/16 (144A) 1,725,000 $1,738,178
ACA CLO 2006-2, Ltd., Floating Rate Note, 1/20/21 (144A) 3,250,000 $3,203,135
ACAS CLO 2007-1, Ltd., Floating Rate Note, 4/20/21 1,800,000 $1,320,268
Accredited Mortgage Loan Trust 2005-2, Floating Rate Note, 7/25/35 1,110,000 $1,089,393
ACE Securities Corp Manufactured Housing Trust Series 2003-MH1, Floating Rate Note, 8/15/30 (144A) 1,250,000 $113,129
ACIS CLO 2014-4, Ltd., Floating Rate Note, 5/1/26 (144A) 3,000,000 $1,503,150
ACRE Commercial Mortgage Trust 2014-FL2, Floating Rate Note, 8/15/31 (144A) 2,500,000 $2,496,314
ACRE Commercial Mortgage Trust 2014-FL2, Floating Rate Note, 8/15/31 (144A) 5,350,000 $4,112,053
Activision Blizzard, Inc., Term Loan, 7/26/20 1,411,209 $1,415,351
Adjustable Rate Mortgage Trust 2005-2, Floating Rate Note, 6/25/35 2,260,122 $1,622,985
Adjustable Rate Mortgage Trust 2005-5, Floating Rate Note, 9/25/35 13,780,000 $1,151,700
AdvancePierre Foods, Inc., Term Loan (First Lien), 7/10/17 185,456 $185,977
Advantage Sales & Marketing Inc 1st Lien Tl-B L + 3.25% 11jul21 685,544 $683,034
Aecom Technology Corp 1st Lien Tl-B L + 3% 17sep21 287,913 $289,784
Aegis Asset Backed Securities Trust 2004-6, Floating Rate Note, 3/25/35 5,700,000 $139,741
Aegis Asset Backed Securities Trust Mortgage Pass-Through Ctfs Ser 2004-2, Floating Rate Note, 6/25/ 21,291,000 $1,674,595
Aegis Asset Backed Securities Trust Mortgage Pass-Through Ctfs Ser 2005-4, Floating Rate Note, 10/25 800,000 $397,577
Aegis Asset Backed Securities Trust Mortgage Pass- Through Ctfs Series 2004-3, Floating Rate Note, 9 3,465,620 $563,964
Aegis Asset Backed Securities Trust Mortgage Pass-Through Ctfs Series 2004-4, Floating Rate Note, 10 3,977,618 $874,743
Alamo Re, Ltd., Floating Rate Note, 6/7/17 (Cat Bond) (144A) 1,000,000 $1,047,529
Albertsons LLC, Term B-2 Loan, 3/21/19 1,503,474 $1,511,528
Alkermes, Inc., 2019 Term Loan, 9/25/19 1,125,602 $1,120,912
Alliant Holdings I, Inc., Initial Term Loan, 12/20/19 242,448 $242,448
Allied Security Holdings LLC, Closing Date Term Loan (First Lien), 2/12/21 513,355 $513,569
Allison Transmission, Inc., Term B-3 Loan, 8/23/19 146,649 $147,062
Ally Auto Receivables Trust 2011-3, 1.61%, 5/16/16 602,000 $68,716
Ally Auto Receivables Trust 2013-2, Floating Rate Note, 7/15/16 1,500,000 $350,066
Ally Auto Receivables Trust 2014-SN1, Floating Rate Note, 10/20/16 1,800,000 $1,198,565
Ally Master Owner Trust, 4.59%, 4/15/17 (144A) 3,000,000 $3,019,793
Ally Master Owner Trust, Floating Rate Note, 1/16/18 300,000 $299,782
Ally Master Owner Trust, Floating Rate Note, 6/17/19 2,600,000 $2,589,669
Ally Master Owner Trust, Floating Rate Note, 8/15/17 3,000,000 $3,010,955
Alterna Funding I LLC, 1.639%, 2/15/21 (144A) 1,400,000 $1,126,368
Alternative Loan Trust 2003-3T1, Floating Rate Note, 5/25/33 15,000,000 $567,157
Alternative Loan Trust 2004-4CB, 4.25%, 4/25/34 16,913,000 $452,503
Alternative Loan Trust 2004-6CB, Floating Rate Note, 4/25/34 32,705,000 $2,224,912
Alternative Loan Trust 2004-J13, Floating Rate Note, 2/25/35 1,000,000 $964,341
Altice Financing SA, 7.875%, 12/15/19 (144A) 1,250,000 $1,348,086
Altisource Solutions Sarl, Term B Loan, 12/9/20 987,565 $790,052
Altria Group, Inc., 4.125%, 9/11/15 1,075,000 $1,115,147
Altrl Zero% 30jun17 600,000 $605,820
Amazon.com, Inc., 0.65%, 11/27/15 2,950,000 $2,955,874
AMC Entertainment, Inc., Initial Term Loan, 4/30/20 1,457,636 $1,457,636
America Movil SAB de CV, Floating Rate Note, 9/12/16 1,500,000 $1,515,208
American Airlines, Inc., Class B Term Loan, 6/27/19 2,511,750 $2,512,272
American Airlines Inc 1st Lien Tl-B L + 3.5% 08oct21 500,000 $503,633
American Credit Acceptance Receivables Trust, 1.64%, 11/15/16 (144A) 1,401,000 $62,416
American Credit Acceptance Receivables Trust 2012-2, 4.05%, 2/15/18 (144A) 1,228,000 $1,220,394
American Credit Acceptance Receivables Trust 2013-1, 1.45%, 4/16/18 (144A) 1,859,000 $388,800
American Credit Acceptance Receivables Trust 2013-2, 1.32%, 2/15/17 (144A) 805,000 $107,286
American Credit Acceptance Receivables Trust 2014-1, 1.14%, 3/12/18 (144A) 5,045,000 $1,567,488
American Credit Acceptance Receivables Trust 2014-2, 0.99%, 10/10/17 (144A) 3,300,000 $1,452,991
American Credit Acceptance Receivables Trust 2014-3, 0.99%, 8/10/18 (144A) 1,420,000 $926,239
American Credit Acceptance Receivables Trust 2014-4, 1.23%, 7/10/18 (144A) 1,150,000 $1,018,651
American Express Centurion Bank, Floating Rate Note, 11/13/15 6,390,000 $6,404,391
American Express Credit Account Master Trust, 1.29%, 3/15/18 (144A) 400,000 $400,601
American Express Credit Account Master Trust, Floating Rate Note, 1/15/20 350,000 $349,983
American Express Credit Account Master Trust, Floating Rate Note, 2/15/18 1,945,000 $1,953,189
American Express Credit Account Master Trust, Floating Rate Note, 3/15/18 8,890,000 $8,888,344
American Express Credit Account Master Trust, Floating Rate Note, 5/15/20 3,300,000 $3,298,026
American Express Credit Corp., 1.75%, 6/12/15 3,000,000 $3,021,910
American Express Credit Corp., Floating Rate Note, 6/12/15 3,441,000 $3,460,879
American Express Credit Corp., Floating Rate Note, 7/29/16 2,850,000 $2,860,162
American Homes 4 Rent 2014-SFR1, Floating Rate Note, 6/19/31 (144A) 1,500,000 $1,482,696
American Honda Finance Corp., 1.0%, 8/11/15 (144A) 1,000,000 $1,003,410
American Honda Finance Corp., Floating Rate Note, 1/11/16 2,650,000 $2,650,625
American Honda Finance Corp., Floating Rate Note, 10/7/16 950,000 $955,531
American Honda Finance Corp., Floating Rate Note, 5/26/16 (144A) 3,050,000 $3,058,883
AmeriCredit Automobile Receivables Trust 2010-4, 6.4%, 4/9/18 (144A) 470,000 $471,815
AmeriCredit Automobile Receivables Trust 2011-5, 2.45%, 12/8/16 1,700,000 $287,757
AmeriCredit Automobile Receivables Trust 2012-1, 2.67%, 1/8/18 800,000 $809,489
AmeriCredit Automobile Receivables Trust 2013-2, 0.65%, 12/8/17 485,000 $481,504
AmeriCredit Automobile Receivables Trust 2013-4, 0.74%, 11/8/16 1,500,000 $220,633
AmeriCredit Automobile Receivables Trust 2014-2, Floating Rate Note, 10/10/17 1,320,000 $1,092,407
Ameriquest Mortgage Securities Inc Asset-Backed Pass-Through Ctfs Ser 2004-R11, Floating Rate Note, 8,900,000 $303,950
Ameriquest Mortgage Securities Inc Asset-Backed Pass-Through Ctfs Ser 2005-R1, Floating Rate Note, 3 2,757,237 $1,319,028
Ameriquest Mortgage Securities Inc Asset-Backed Pass-Through Ctfs Ser 2005-R10, Floating Rate Note, 15,705,000 $634,261
Ameriquest Mortgage Securities Inc Asset Backed Pass-Through Ctfs Ser 2005-R11, Floating Rate Note, 810,000 $506,217
Ameriquest Mortgage Securities Inc Asset-Backed Pass-Through Ctfs Ser 2005-R5, Floating Rate Note, 7 84,000 $70,437
Ameriquest Mort Sec Inc Asset Backed Pass Thr Cert 03 AR3, Floating Rate Note, 6/25/33 729,633 $354,567
Anheuser-Busch InBev Finance, Inc., 0.8%, 1/15/16 3,700,000 $3,713,955
Anheuser-Busch InBev Finance, Inc., Floating Rate Note, 1/27/17 1,900,000 $1,896,730
Anheuser-Busch InBev Worldwide, Inc., 3.625%, 4/15/15 1,285,000 $1,306,907
Apa Cp Zero% 06mar15 Usd 2,500,000 $2,499,791
Apex Tool Group LLC, Term Loan, 1/31/20 1,228,125 $1,203,050
Apidos Quattro CDO, Floating Rate Note, 1/20/19 (144A) 1,000,000 $991,230
Appalachian Power Co., 3.4%, 5/24/15 2,500,000 $2,538,339
Apple, Inc., Floating Rate Note, 5/3/16 1,500,000 $1,500,686
Ardagh Holdings USA, Inc., New Term Loan, 12/17/19 678,870 $678,870
ARI Fleet Lease Trust 2012-A, Floating Rate Note, 3/15/20 (144A) 2,070,000 $310,820
ARI Fleet Lease Trust 2012-B, Floating Rate Note, 1/15/21 (144A) 1,030,000 $274,372
ARI Fleet Lease Trust 2013-A, 0.7%, 12/15/15 (144A) 4,000,000 $1,163,589
ARI Fleet Lease Trust 2013-A, 0.92%, 7/15/21 (144A) 600,000 $601,148
ARI Fleet Lease Trust 2014-A, 0.81%, 11/15/22 (144A) 3,000,000 $2,945,749
Arlington Flt% 01aug15 100,000 $110,370
Armor Re, Ltd., Floating Rate Note, 12/15/16 (Cat Bond) (144A) 1,000,000 $1,008,378
Armstrong World Industries, Inc., Term Loan B, 3/15/20 1,080,996 $1,079,814
Arran Residential Mortgages Funding 2010-1 Plc, Floating Rate Note, 5/16/47 (144A) 4,850,000 $2,022,108
Ascentium Equipment Receivables 2012-1 LLC, 1.83%, 9/15/19 (144A) 1,528,000 $54,141
Ascentium Equipment Receivables 2014-1 LLC, 1.04%, 1/10/17 (144A) 1,000,000 $849,372
ASG Resecuritization Trust 2010-3, Floating Rate Note, 12/29/45 (144A) 5,216,443 $2,185,856
Asset-Backed Pass-Through Certificates Series 2004-R2, Floating Rate Note, 4/25/34 24,000,000 $1,248,785
Asset Backed Securities Corp Home Equity Loan Trust Series 2005-HE2, Floating Rate Note, 2/25/35 8,100,000 $558,339
Asset Backed Securities Corp Home Equity Loan Trust Series 2005-HE3, Floating Rate Note, 4/25/35 724,529 $485,954
Asset Backed Securities Corp Home Equity Loan Trust Series AEG 2006-HE1, Floating Rate Note, 1/25/36 6,155,063 $1,044,262
Asset Backed Securities Corp Home Equity Loan Trust Series NC 2005-HE4, Floating Rate Note, 5/25/35 3,657,000 $336,056
Asset Backed Securities Corp Home Equity Loan Trust Series OOMC 2005-HE6, Floating Rate Note, 7/25/3 1,879,167 $1,282,659
AT&T, Inc., 2.5%, 8/15/15 2,550,000 $2,573,477
Atlantic Power LP, Term Loan, 2/20/21 2,842,858 $2,857,072
Atlas Flt% 07jan19 144a 250,000 $249,950
Atlas IX Capital, Ltd., Floating Rate Note, 1/17/19 (Cat Bond) (144A) 1,500,000 $1,543,282
Atlas Reinsurance VII, Ltd., Floating Rate Note, 1/7/16 (Cat Bond) (144A) 1,000,000 $1,033,765
Audio Visual Services Corp., Initial Term Loan (First Lien), 1/24/21 228,275 $228,560
Avago Technologies Ltd 1st Lien Tl-B L + 3% 16apr21 1,293,500 $1,296,633
Avis Budget Car Rental LLC, Tranche B Term Loan, 3/15/19 1,279,592 $1,282,257
AWAS Finance Luxembourg 2012 SA, Term Loan, 7/16/18 386,589 $387,309
Axalta Coating Systems US Holdings, Inc., Refinanced Term B Loan, 2/1/20 1,024,205 $1,018,728
AXIS Equipment Finance Receivables II LLC, 1.75%, 6/20/16 1,000,000 $444,643
Az Chem Us Inc 1st Lien Tl-B L + 3.5% 09jun21 1,883,464 $1,885,819
B/E Aerospace Inc 1st Lien Tl-B L + 3.25% 21nov21 1,500,000 $1,507,125
BA Credit Card Trust, Floating Rate Note, 1/15/20 2,000,000 $1,999,246
BA Credit Card Trust, Floating Rate Note, 9/16/19 6,400,000 $6,398,166
BAMLL Commercial Mortgage Securities Trust 2014-FL1, Floating Rate Note, 12/15/31 3,613,000 $3,628,957
BAMLL Commercial Mortgage Securities Trust 2014-ICTS, Floating Rate Note, 6/15/28 (144A) 1,920,000 $1,919,605
Banc of America Commercial Mortgage Trust 2006-1, Floating Rate Note, 9/10/45 3,590,000 $3,700,601
Banc of America Commercial Mortgage Trust 2006-1, Floating Rate Note, 9/10/45 5,040,000 $5,155,663
Banc of America Funding 2004-B Trust, Floating Rate Note, 12/20/34 20,499,000 $1,449,122
Banc of America Merrill Lynch Commercial Mortgage, Inc., 4.933%, 7/10/45 6,180,000 $6,001,967
Banc of America Merrill Lynch Commercial Mortgage, Inc., Floating Rate Note, 10/10/45 8,970,000 $7,339,595
Banc of America Merrill Lynch Commercial Mortgage, Inc., Floating Rate Note, 9/10/47 6,175,000 $5,209,583
Banc of America Mortgage 2003-A Trust, Floating Rate Note, 2/25/33 10,560,000 $101,597
Banc of America Mortgage 2003-F Trust, Floating Rate Note, 7/25/33 5,472,215 $238,410
Banc of America Mortgage 2004-D Trust, Floating Rate Note, 5/25/34 17,088,000 $1,762,673
Banc of America Mortgage 2004-I Trust, Floating Rate Note, 10/25/34 6,000,000 $403,793
Bank of America Corp., 4.5%, 4/1/15 2,515,000 $2,568,798
Bank of America Corp., Floating Rate Note, 3/22/16 6,000,000 $6,035,350
Bank of America Corp., Floating Rate Note, 8/25/17 1,423,000 $1,420,916
Bank of America NA, Floating Rate Note, 2/14/17 2,000,000 $1,999,322
Bank of Montreal, 0.8%, 11/6/15 2,600,000 $2,612,724
Bank of Montreal, Floating Rate Note, 7/14/17 2,300,000 $2,299,748
Bank of Montreal, Floating Rate Note, 9/11/15 2,600,000 $2,609,645
Bank of Montreal, Floating Rate Note, 9/24/15 2,600,000 $2,605,561
Bank of Nova Scotia Houston, Floating Rate Note, 10/23/15 1,640,000 $1,642,733
Bank of The West Auto Trust 2014-1, 0.69%, 7/17/17 (144A) 1,850,000 $1,850,449
Barclays Bank Plc, Floating Rate Note, 2/17/17 821,000 $823,682
Barclays Dryrock Issuance Trust, Floating Rate Note, 12/16/19 1,050,000 $1,049,133
Barclays Dryrock Issuance Trust, Floating Rate Note, 3/16/20 1,800,000 $1,798,783
Barclays Dryrock Issuance Trust, Floating Rate Note, 7/16/18 200,000 $200,110
Baxter International, Inc., 4.625%, 3/15/15 2,500,000 $2,554,172
Bayc Flt% 25jan38 08-1-A2a 18,000,000 $3,457,438
Bayview Financial Acquisition Trust, 6.205%, 5/28/37 (Step) 100,000 $55,808
Bayview Financial Acquisition Trust, Floating Rate Note, 5/28/44 32,920,000 $284,941
Bayview Financial Mortgage Pass-Through Trust 2004-A, Floating Rate Note, 2/28/44 48,047,000 $1,462,476
Bayview Financial Mortgage Pass-Through Trust 2005-C, Floating Rate Note, 6/28/44 4,088,000 $3,859,616
Bayview Financial Mortgage Pass-Through Trust 2006-A, Floating Rate Note, 2/28/41 5,200,000 $95,481
Bayview Financial Mortgage Pass-Through Trust 2006-A, Floating Rate Note, 2/28/41 6,439,000 $406,674
Bayview Financial Mortgage Pass-Through Trust 2006-B, Floating Rate Note, 4/28/36 4,911,055 $1,018,707
Bayview Financial Mortgage Pass-Through Trust 2006-B, Floating Rate Note, 4/28/36 13,680,000 $796,401
Bayview Financial Mortgage Pass-Through Trust Series 2005-B, Floating Rate Note, 4/28/39 1,899,351 $1,742,562
Bayview Opportunity Master Fund IIa Trust 2012-4NPL, 3.9496%, 1/30/34 (Step) (144A) 2,125,000 $1,041,446
Bayview Opportunity Master Fund IIa Trust 2014-20NPL, Floating Rate Note, 8/28/44 (144A) 1,480,000 $1,278,988
Bayview Opportunity Master Fund Trust IIIa 2014-12RPL, 3.6225%, 7/28/19 (Step) (144A) 2,450,000 $1,391,274
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 $2,112,933
BCAP LLC 2013-RR3 Trust, Floating Rate Note, 5/28/36 (144A) 1,084,000 $779,962
BCAP LLC 2013-RR7 Trust, Floating Rate Note, 12/27/34 1,410,000 $1,133,495
BCC Funding VIII LLC, 1.794%, 6/22/20 (144A) 2,000,000 $1,182,320
Bear Stearns ALT-A Trust 2003-3, Floating Rate Note, 10/25/33 350,000 $58,348
Bear Stearns ALT-A Trust 2004-11, Floating Rate Note, 11/25/34 21,976,800 $1,101,007
Bear Stearns ALT-A Trust 2004-12, Floating Rate Note, 1/25/35 25,745,000 $3,076,110
Bear Stearns ALT-A Trust 2004-12, Floating Rate Note, 1/25/35 25,907,600 $3,081,857
Bear Stearns ALT-A Trust 2004-12, Floating Rate Note, 1/25/35 17,745,000 $2,006,858
Bear Stearns ALT-A Trust 2004-12, Floating Rate Note, 1/25/35 11,245,000 $1,181,638
Bear Stearns ALT-A Trust 2004-13, Floating Rate Note, 11/25/34 9,625,000 $483,304
Bear Stearns ALT-A Trust 2004-4, Floating Rate Note, 6/25/34 33,443,000 $2,550,820
Bear Stearns ALT-A Trust 2004-8, Floating Rate Note, 9/25/34 14,600,000 $976,146
Bear Stearns ARM Trust 2003-3, Floating Rate Note, 5/25/33 42,906,215 $1,242,673
Bear Stearns ARM Trust 2004-3, Floating Rate Note, 7/25/34 10,718,797 $372,273
Bear Stearns ARM Trust 2005-5, Floating Rate Note, 8/25/35 5,635,000 $561,269
Bear Stearns Asset Backed Securities I Trust 2005-FR1, Floating Rate Note, 6/25/35 5,850,460 $1,946,200
Bear Stearns Asset Backed Securities I Trust 2005-HE9, Floating Rate Note, 10/25/35 5,000,000 $1,142,653
Bear Stearns Asset Backed Securities Trust, Floating Rate Note, 2/25/35 21,336,125 $290,206
Bear Stearns Asset Backed Securities Trust 2003-AC5, Floating Rate Note, 10/25/33 2,875,000 $264,604
Bear Stearns Asset Backed Securities Trust 2004-2, Floating Rate Note, 8/25/34 7,523,000 $1,141,428
Bear Stearns Asset Backed Securities Trust 2004-SD3, Floating Rate Note, 9/25/34 410,000 $151,325
Bear Stearns Asset Backed Securities Trust 2005-SD1, Floating Rate Note, 8/25/43 310,000 $83,675
Bear Stearns Asset Backed Securities Trust 2005-SD2, Floating Rate Note, 3/25/35 5,700,000 $1,650,702
Bear Stearns Asset Backed Securities Trust 2005-SD2, Floating Rate Note, 3/25/35 5,190,000 $637,351
Bear Stearns Asset Backed Securities Trust 2006-1, Floating Rate Note, 2/25/36 32,600,000 $909,089
Bear Stearns Commercial Mortgage Securities Trust 2005-PWR10, Floating Rate Note, 12/11/40 4,250,000 $3,364,399
Bear Stearns Commercial Mortgage Securities Trust 2005-PWR8, 4.75%, 6/11/41 1,330,000 $1,345,260
Bear Stearns Commercial Mortgage Securities Trust 2005-PWR9, 4.871%, 9/11/42 7,568,000 $5,744,760
Bear Stearns Commercial Mortgage Securities Trust 2005-PWR9, Floating Rate Note, 9/11/42 3,751,000 $3,834,061
Bear Stearns Commercial Mortgage Securities Trust 2005-TOP20, Floating Rate Note, 10/12/42 8,735,000 $8,377,004
Bear Stearns Commercial Mortgage Securities Trust 2006-PWR14, 5.171%, 12/11/38 2,735,000 $786,564
Bear Stearns Mortgage Securities, Inc., Floating Rate Note, 6/25/30 2,875,810 $441,939
Bear Stearns Structured Products Trust 2007-EMX1, Floating Rate Note, 3/25/37 (144A) 4,870,000 $919,059
Becton Dickinson and Co., Floating Rate Note, 6/15/16 2,700,000 $2,703,515
Belden Finance 2013 LP, Initial Term Loan, 9/9/20 641,875 $641,875
Berkeley-Kane Flt% 12jun15 2,008,000 $2,092,738
Berkshire Hathaway Finance Corp., Floating Rate Note, 1/10/17 1,855,000 $1,855,633
Berkshire Hathaway Finance Corp., Floating Rate Note, 8/14/17 2,500,000 $2,497,479
BHP Billiton Finance USA, Ltd., Floating Rate Note, 9/30/16 1,795,000 $1,796,219
Big Heart Pet Brands, Initial Term Loan, 2/24/20 478,257 $478,137
BioScrip, Inc., Delayed Draw Term Loan, 7/31/20 328,915 $329,326
BioScrip, Inc., Initial Term B Loan, 7/31/20 548,191 $548,877
BlackRock, Inc., 1.375%, 6/1/15 1,310,000 $1,317,644
Blue Danube, Ltd., Floating Rate Note, 4/10/15 (Cat Bond) (144A) 1,945,000 $1,982,617
Blue Danube, Ltd., Floating Rate Note, 4/10/15 (Cat Bond) (144A) 600,000 $605,303
Blue Danube II, Ltd., Floating Rate Note, 5/23/18 (Cat Bond) (144A) 2,575,000 $2,582,453
BMW Floorplan Master Owner Trust, Floating Rate Note, 9/15/17 (144A) 3,000,000 $3,004,932
BMW Vehicle Lease Trust 2013-1, 0.54%, 9/21/15 3,062,000 $684,576
BNC Mortgage Loan Trust 2007-4, Floating Rate Note, 11/25/37 9,500,000 $38,098
Boca Hotel Portfolio Trust 2013-BOCA, Floating Rate Note, 8/17/26 (144A) 1,375,000 $1,376,326
Bombardier Recreational Products, Inc., Term B Loan, 1/30/19 188,571 $187,016
Booz Allen Hamilton, Inc., Refinance Tranche B, 7/31/19 1,358,138 $1,362,664
Bosphorus Re, Ltd., Floating Rate Note, 5/3/16 (Cat Bond) (144A) 750,000 $753,600
Branch Banking & Trust Co., Floating Rate Note, 5/23/17 500,000 $497,765
Branch Banking & Trust Co., Floating Rate Note, 9/13/16 1,814,000 $1,807,631
Bright Horizons Family Solutions, Inc., Term B Loan, 1/30/20 596,827 $597,387
Bright Horizons Family Solutions I 1st Lien Tl-B1 L + 3.25% 30jan20 600,000 $603,750
British Telecommunications Plc, 2.0%, 6/22/15 7,229,000 $7,284,712
BSN medical International Holding GmbH & Co KG, Facility B1b, 8/28/19 593,611 $592,375
Burger King Corp 1st Lien Tl-B L + 3.5% 25sep21 620,000 $623,530
Bway Holding Co 1st Lien Tl-B L + 4.5% 08aug20 0 $0
Cabela's Credit Card Master Note Trust, Floating Rate Note, 2/18/20 (144A) 2,150,000 $2,156,097
Cabela's Credit Card Master Note Trust, Floating Rate Note, 3/16/20 1,100,000 $1,100,105
Cabela's Credit Card Master Note Trust, Floating Rate Note, 6/17/19 (144A) 3,630,000 $3,640,854
Cabela's Credit Card Master Note Trust, Floating Rate Note, 9/17/18 (144A) 2,475,000 $2,481,798
Caelus Re, Ltd., Floating Rate Note, 3/7/16 (Cat Bond) (144A) 2,250,000 $2,295,684
Caelus Re 2013, Ltd., Floating Rate Note, 4/7/20 (Cat Bond) (144A) 2,300,000 $2,426,101
Caisse Centrale Desjardins, Floating Rate Note, 1/29/18 (144A) 2,590,000 $2,591,584
California Republic Auto Receivables Trust 2012-1, 1.18%, 8/15/17 (144A) 1,138,000 $240,146
California Republic Auto Receivables Trust 2013-1, 1.41%, 9/17/18 (144A) 500,000 $249,096
Calpine Construction Finance Co LP, Term B-1 Loan, 5/3/20 1,182,000 $1,169,441
Calpine Corp., Term Loan (10/12), 10/9/19 758,236 $759,421
CAM Mortgage Trust 2014-2, 2.6%, 12/15/53 (Step) (144A) 2,130,000 $405,794
Canadian National Railway Co., Floating Rate Note, 11/14/17 1,670,000 $1,669,401
Canadian Natural Resources, Ltd., Floating Rate Note, 3/30/16 4,114,000 $4,111,812
Capital Auto Receivables Asset Trust 2013-1, 1.74%, 10/22/18 3,200,000 $3,211,461
Capital One Financial Corp., 1.0%, 11/6/15 2,600,000 $2,611,531
Capital One Financial Corp., 2.15%, 3/23/15 6,359,000 $6,423,385
Capital One Financial Corp., Floating Rate Note, 11/6/15 1,875,000 $1,880,458
Capital One Multi-Asset Execution Trust, Floating Rate Note, 12/16/19 3,400,000 $3,387,035
Capital One Multi-Asset Execution Trust, Floating Rate Note, 2/15/19 1,950,000 $1,950,483
Capital One Multi-Asset Execution Trust, Floating Rate Note, 6/17/19 4,470,000 $4,459,288
Capital One Multi-Asset Execution Trust, Floating Rate Note, 8/15/18 6,945,000 $6,942,898
Capital One NA, Floating Rate Note, 3/22/16 1,900,000 $1,904,233
Carefree Portfolio Trust 2014-CARE, Floating Rate Note, 11/15/29 (144A) 3,300,000 $3,307,072
Carlyle High Yield Partners VII, Ltd., Floating Rate Note, 9/30/19 (144A) 5,000,000 $4,501,467
CarMax Auto Owner Trust 2011-1, 2.16%, 9/15/16 200,000 $50,869
Carrington Mortgage Loan Trust Series 2005-NC1, Floating Rate Note, 2/26/35 19,369,028 $3,056,252
Carrington Mortgage Loan Trust Series 2005-NC4, Floating Rate Note, 9/25/35 375,000 $40,377
Carrington Mortgage Loan Trust Series 2006-OPT1, Floating Rate Note, 12/25/35 9,778,000 $1,895,383
Castle Garden Funding, Floating Rate Note, 10/27/20 (144A) 7,000,000 $1,153,972
Caterpillar Financial Services Corp., Floating Rate Note, 2/26/16 1,500,000 $1,502,091
Cat Flt% 03mar17 2,500,000 $2,499,503
CCG Receivables Trust 2014-1, 1.06%, 11/14/21 (144A) 1,900,000 $1,830,012
CCG Receivables Truste 2013-1, 1.05%, 4/14/20 (144A) 900,000 $363,485
Ccolt 2.82% 15mar21 15-1-A 2,500,000 $2,503,582
CD 2005-CD1 Commercial Mortgage Trust, Floating Rate Note, 7/15/44 3,277,000 $3,083,705
CDGJ Commercial Mortgage Trust 2014-BXCH, Floating Rate Note, 12/15/27 (144A) 4,860,000 $4,869,666
Cedar Fair LP, U.S. Term Facility, 3/6/20 96,885 $97,293
Cent CLO 16 LP, Floating Rate Note, 8/1/24 (144A) 3,250,000 $3,248,592
Centex Home Equity Loan Trust 2003-A, Floating Rate Note, 3/25/33 2,230,000 $372,509
Cequel Communications LLC, Term Loan, 2/14/19 1,115,014 $1,116,757
Cf Flt% 07feb27 15-1a-A 2,500,000 $2,500,746
Cf Flt% 07feb27 15-1a-D 1,000,000 $1,000,854
C Flt% 09jun16 2,500,000 $2,485,927
CGBAM Commercial Mortgage Trust 2014-HD, Floating Rate Note, 2/18/31 (144A) 1,050,000 $1,047,637
CG-CCRE Commercial Mortgage Trust 2014-FL1, Floating Rate Note, 6/16/31 (144A) 5,670,000 $5,665,302
CGWF Commercial Mortgage Trust 2013-RKWH REMICS, Floating Rate Note, 11/15/30 (144A) 6,770,000 $6,786,561
Charter Communications 1st Lien Tl-B L + 3.5% 12aug21 1,250,000 $1,260,764
Charter Communications Operating LLC, Term F Loan, 12/31/20 1,305,125 $1,300,412
Chase Funding Trust Series 2002-4, Floating Rate Note, 10/25/32 1,000,000 $17,884
Chase Issuance Trust, 0.47%, 5/15/17 200,000 $200,059
Chase Issuance Trust, 0.54%, 10/16/17 1,001,000 $1,001,137
Chase Issuance Trust, 0.59%, 8/15/17 950,000 $950,643
Chase Issuance Trust, 0.79%, 6/15/17 8,755,000 $8,767,373
Chase Issuance Trust, Floating Rate Note, 10/16/17 2,700,000 $2,699,016
Chase Issuance Trust, Floating Rate Note, 11/15/18 2,500,000 $2,500,616
Chase Issuance Trust, Floating Rate Note, 4/15/19 1,350,000 $1,343,149
Chase Issuance Trust, Floating Rate Note, 4/15/19 150,000 $149,127
Chase Issuance Trust, Floating Rate Note, 4/16/18 3,000,000 $2,999,686
Chase Issuance Trust, Floating Rate Note, 5/15/17 5,102,000 $5,101,773
Chase Issuance Trust, Floating Rate Note, 8/15/17 9,130,000 $9,126,947
Chase Mortgage Finance Trust Series 2005-S1, 5.5%, 5/25/35 19,264,330 $290,837
Chemtura Corp., New Term Loan, 8/29/16 146,429 $146,581
Chesapeake Funding LLC, Floating Rate Note, 11/7/23 (144A) 250,000 $251,184
Chesapeake Funding LLC, Floating Rate Note, 11/7/23 (144A) 3,790,000 $1,055,418
Chesapeake Funding LLC, Floating Rate Note, 3/7/26 2,250,000 $2,248,649
Chesapeake Funding LLC, Floating Rate Note, 4/7/24 (144A) 2,050,000 $1,012,551
Chesapeake Funding LLC, Floating Rate Note, 5/7/24 (144A) 200,000 $201,057
Chesapeake Funding LLC, Floating Rate Note, 5/7/24 (144A) 2,550,000 $1,232,608
Chevron Corp., Floating Rate Note, 11/9/16 2,640,000 $2,640,771
Chevy Chase Funding LLC Mortgage-Backed Certificates Series 2004-1, Floating Rate Note, 1/25/35 (144 3,700,000 $106,345
Chevy Chase Funding LLC Mortgage-Backed Certificates Series 2004-3, Floating Rate Note, 8/25/35 (144 1,300,000 $51,083
CHL Mortgage Pass-Through Trust 2003-11, Floating Rate Note, 5/25/33 30,308,000 $276,822
CHL Mortgage Pass-Through Trust 2003-15 REMICS, Floating Rate Note, 6/25/18 28,013,062 $560,102
CHL Mortgage Pass-Through Trust 2003-J7, Floating Rate Note, 8/25/18 2,400,000 $47,909
CHS, 2021 Term D Loan, 1/27/21 71,647 $71,930
CIFC Funding 2007-I, Ltd., Floating Rate Note, 5/10/21 (144A) 500,000 $264,690
Cincinnati Bell, Inc., Tranche B Term Loan, 9/10/20 1,234,375 $1,233,990
Cisco Systems, Inc., Floating Rate Note, 3/3/17 2,580,000 $2,590,391
Cisco Systems, Inc., Floating Rate Note, 9/3/15 3,600,000 $3,602,656
Citadel Plastics Holdings Inc 1st Lien Tlb L + 4.25% 05nov20 1,181,000 $1,186,905
CIT Equipment Collateral 2014-VT1, 1.03%, 5/22/17 (144A) 2,500,000 $2,498,318
Citibank Credit Card Issuance Trust, 4.55%, 6/20/17 639,000 $652,702
Citibank Credit Card Issuance Trust, 4.85%, 3/10/17 4,180,000 $4,281,258
Citibank Credit Card Issuance Trust, 5.1%, 11/20/17 1,650,000 $1,726,318
Citibank Credit Card Issuance Trust, Floating Rate Note, 11/7/18 3,490,000 $3,488,027
Citibank Credit Card Issuance Trust, Floating Rate Note, 2/7/18 9,931,000 $9,932,201
Citibank Credit Card Issuance Trust, Floating Rate Note, 4/24/17 17,520,000 $17,514,817
Citibank Credit Card Issuance Trust, Floating Rate Note, 5/22/17 6,500,000 $6,516,778
Citibank Credit Card Issuance Trust, Floating Rate Note, 5/9/18 3,500,000 $3,498,568
Citicorp Mortgage Securities REMIC Pass-Through Certificates Trust Series 2005-4, 5.0%, 7/25/20 486,000 $15,179
Citicorp Mortgage Securities REMIC Pass-Through Certificates Trust Series 2005-7, 5.0%, 10/25/35 17,468,000 $1,179,606
Citigroup, Inc., Floating Rate Note, 11/15/16 1,900,000 $1,909,267
Citigroup, Inc., Floating Rate Note, 11/24/17 2,630,000 $2,635,044
Citigroup, Inc., Floating Rate Note, 4/1/16 1,325,000 $1,331,641
Citigroup, Inc., Floating Rate Note, 7/25/16 3,700,000 $3,727,142
Citigroup Commercial Mortgage Trust 2007-FL3, Floating Rate Note, 4/15/22 (144A) 1,430,707 $196,888
Citigroup Commercial Mortgage Trust 2007-FL3, Floating Rate Note, 4/15/22 (144A) 1,105,112 $1,096,594
Citigroup Commercial Mortgage Trust 2007-FL3, Floating Rate Note, 4/15/22 (144A) 1,982,362 $1,972,171
Citigroup Commercial Mortgage Trust 2007-FL3, Floating Rate Note, 4/15/22 (144A) 497,205 $494,606
Citigroup Mortgage Loan Trust, Inc., 6.5%, 6/25/16 10,100,000 $8,121
Citigroup Mortgage Loan Trust, Inc., Floating Rate Note, 11/25/34 3,500,000 $218,989
Citigroup Mortgage Loan Trust, Inc., Floating Rate Note, 5/25/35 (144A) 1,150,000 $1,758
Citigroup Mortgage Loan Trust, Inc., Floating Rate Note, 5/25/35 (144A) 2,925,000 $2,843,430
Citigroup Mortgage Loan Trust 2006-SHL1, Floating Rate Note, 11/27/45 (144A) 21,220,000 $2,057,252
Citigroup Mortgage Loan Trust 2010-4 REMICS, 5.0%, 10/25/35 (144A) 9,095,000 $2,489,246
Citigroup Mortgage Loan Trust 2010-7 REMICS, Floating Rate Note, 9/25/37 (144A) 6,105,345 $769,998
Citigroup Mortgage Loan Trust Series 2004-OPT1 Asset Backed Pass-Through Certifi, Floating Rate Note 2,140,000 $1,764,916
Citrus Re, Ltd., Floating Rate Note, 4/18/17 (Cat Bond) (144A) 250,000 $250,165
Citrus Re, Ltd., Floating Rate Note, 4/24/17 (Cat Bond) (144A) 1,350,000 $1,349,426
City Center Trust 2011-CCHP, Floating Rate Note, 7/17/28 (144A) 950,000 $951,028
CLI Funding LLC, Floating Rate Note, 8/18/21 (144A) 7,250,000 $979,643
Cmcsa Flt% 15apr18 144a 1,300,000 $1,311,305
CNH Equipment Trust 2012-A, 2.09%, 8/15/18 2,310,000 $2,340,856
CNH Equipment Trust 2013-A, 0.69%, 6/15/18 1,874,000 $1,149,110
CNH Equipment Trust 2013-C, 0.63%, 1/17/17 1,903,426 $365,021
CNH Wholesale Master Note Trust, Floating Rate Note, 8/15/19 (144A) 1,550,000 $1,553,827
CNL Commercial Mortgage Loan Trust 2002-1, Floating Rate Note, 10/25/28 (144A) 42,221,000 $1,304,933
CNL Commercial Mortgage Loan Trust 2003-2, Floating Rate Note, 10/25/30 (144A) 3,600,000 $297,755
CNO Financial Group, Inc., Tranche B-2 Term Loan, 9/28/18 459,849 $458,263
Coca-Cola Enterprises, Inc., 2.125%, 9/15/15 551,000 $560,778
Colony American Homes 2014-1, Floating Rate Note, 5/19/31 (144A) 2,300,000 $2,261,881
Colony American Homes 2014-2, Floating Rate Note, 7/19/31 (144A) 2,100,000 $2,074,333
COMM 2005-C6 Mortgage Trust, Floating Rate Note, 6/10/44 2,675,000 $2,140,818
COMM 2005-C6 Mortgage Trust, Floating Rate Note, 6/10/44 6,607,413 $6,704,656
COMM 2013-FL3 Mortgage Trust, Floating Rate Note, 10/13/28 (144A) 1,597,000 $1,274,533
COMM 2014-FL5 Mortgage Trust, Floating Rate Note, 10/15/31 (144A) 4,970,000 $4,957,666
COMM 2014-KYO Mortgage Trust, Floating Rate Note, 6/11/27 (144A) 5,740,000 $5,734,414
COMM 2014-PAT Mortgage Trust, Floating Rate Note, 8/13/27 (144A) 2,722,000 $2,712,319
COMM 2014-SAVA Mortgage Trust, Floating Rate Note, 6/15/34 (144A) 5,454,000 $5,443,501
COMM 2014-TWC Mortgage Trust, Floating Rate Note, 2/13/32 (144A) 6,150,000 $6,153,877
Commercial Mortgage Pass Through Certificates, Floating Rate Note, 11/19/26 (144A) 2,250,000 $843,906
Commercial Mortgage Trust 2005-GG3, Floating Rate Note, 8/10/42 3,300,000 $1,758,776
Commercial Mortgage Trust 2005-GG5, Floating Rate Note, 4/10/37 6,995,000 $7,152,777
Commonwealth Bank of Australia, Floating Rate Note, 12/4/15 (144A) 1,800,000 $1,804,065
Commonwealth Bank of Australia, Floating Rate Note, 3/13/17 (144A) 2,000,000 $2,003,695
Commonwealth Bank of Australia, Floating Rate Note, 9/18/15 (144A) 1,575,000 $1,584,728
CommScope, Inc., Tranche 3 Term Loan, 1/21/17 158,036 $157,772
CommScope, Inc., Tranche 4 Term Loan, 1/14/18 237,054 $237,125
Confie seguros Holding II Co., Term B Loan (First Lien), 11/9/18 493,657 $493,142
Conseco Financial Corp., 7.05%, 1/15/19 600,362 $6,051
ConvaTec, Inc., Dollar Term Loan, 12/22/16 796,876 $800,860
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA New York, Floating Rate Note, 10/23/15 2,500,000 $2,500,703
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA New York, Floating Rate Note, 3/18/16 1,575,000 $1,583,146
Countrywide Asset-Backed Certificates, Floating Rate Note, 10/25/34 5,000,000 $2,212,393
Countrywide Asset-Backed Certificates, Floating Rate Note, 11/25/35 7,825,000 $258,310
Countrywide Asset-Backed Certificates, Floating Rate Note, 3/25/35 5,600,000 $1,643,076
Countrywide Asset-Backed Certificates, Floating Rate Note, 5/25/35 1,575,000 $314,824
Countrywide Asset-Backed Certificates, Floating Rate Note, 5/25/35 5,000,000 $220,762
Countrywide Asset-Backed Certificates, Floating Rate Note, 6/25/33 (144A) 8,955,000 $162,441
Countrywide Asset-Backed Certificates, Floating Rate Note, 6/25/33 (144A) 2,000,000 $36,088
Countrywide Asset-Backed Certificates, Floating Rate Note, 9/25/35 1,400,000 $151,057
Covanta Energy Corp., Term Loan, 3/28/19 132,000 $132,165
Covidien International Finance SA, 1.35%, 5/29/15 7,665,000 $7,702,949
CPS Auto Receivables Trust 2013-B, 1.82%, 9/15/20 (144A) 731,000 $351,499
CPS Auto Receivables Trust 2014-A, 1.21%, 8/15/18 700,000 $455,161
CPS Auto Receivables Trust 2014-C, 1.31%, 2/15/19 (144A) 2,200,000 $1,877,115
CPS Auto Trust, 1.48%, 3/16/20 (144A) 1,060,000 $373,376
CPS Auto Trust, 1.82%, 12/16/19 (144A) 1,179,000 $376,052
Credit Acceptance Auto Loan Trust 2012-2, 1.52%, 3/16/20 (144A) 3,241,000 $1,597,006
Credit Acceptance Auto Loan Trust 2012-2, 2.21%, 9/15/20 (144A) 2,000,000 $2,013,158
Credit Acceptance Auto Loan Trust 2013-1, 1.21%, 10/15/20 (144A) 1,000,000 $1,001,114
Credit-Based Asset Servicing and Securitization LLC, Floating Rate Note, 7/25/34 2,783,000 $646,786
Credit-Based Asset Servicing and Securitization LLC, Floating Rate Note, 7/25/36 4,500,000 $4,426,972
Credit Suisse Commercial Mortgage Trust Series 2006-C1, Floating Rate Note, 2/15/39 5,802,000 $5,875,120
Credit Suisse Commercial Mortgage Trust Series 2006-C2, Floating Rate Note, 3/15/39 3,730,000 $2,483,715
Credit Suisse First Boston Mortgage Securities Corp., 4.832%, 4/15/37 3,450,000 $1,207,009
Credit Suisse First Boston Mortgage Securities Corp., Floating Rate Note, 12/17/40 9,446,500 $6,370,713
Credit Suisse First Boston Mortgage Securities Corp., Floating Rate Note, 6/25/34 26,125,000 $343,145
Credit Suisse First Boston Mortgage Securities Corp., Floating Rate Note, 7/25/35 15,315,000 $1,686,547
Credit Suisse First Boston Mortgage Securities Corp., Floating Rate Note, 8/15/38 8,955,043 $5,196,405
Credit Suisse Mortgage Capital Certificates, Floating Rate Note, 10/27/36 (144A) 2,010,000 $156,648
Credit Suisse Mortgage Capital Certificates REMICS, Floating Rate Note, 7/27/36 (144A) 7,712,000 $1,426,209
Crown Americas Llc 1st Lien Tl-B L + 3.25% 20oct21 1,250,000 $1,263,965
Crown Castle 1st Lien Term-B2 L + 2.5% 31jan21 1,180,207 $1,178,142
Crowne Group Llc 1st Lien Tl-B L + 5% 29sep20 498,750 $491,269
Crusade Global Trust, Floating Rate Note, 11/15/37 17,300,000 $2,397,849
Crusade Global Trust, Floating Rate Note, 7/20/38 (144A) 1,200,000 $134,952
Crusade Global Trust No 1 of 2007, Floating Rate Note, 4/19/38 15,883,244 $2,493,912
CSMC Series 2014-ICE, Floating Rate Note, 4/15/27 (144A) 6,470,000 $6,444,784
CSMC Trust 2014-SURF, Floating Rate Note, 2/15/29 (144A) 2,400,000 $2,392,149
CSMC Trust 2014-SURF REMICS, Floating Rate Note, 2/15/29 (144A) 2,400,000 $2,392,582
Cvx Flt% 02mar18 2,550,000 $2,551,517
CWABS Asset-Backed Certificates Trust 2004-7, Floating Rate Note, 12/25/34 2,140,000 $1,090,626
CWABS Asset-Backed Certificates Trust 2005-1, Floating Rate Note, 2/25/33 1,113,000 $128,558
CWABS Master Trust Series 2003-D Subtrust, Floating Rate Note, 6/15/29 28,190,000 $17,893
CWGS Group LLC, Term Loan, 2/20/20 397,452 $399,191
Daigr Flt% 02mar18 144a 1,275,000 $1,274,623
Daimler Finance North America LLC, 1.3%, 7/31/15 (144A) 5,100,000 $5,121,136
Daimler Finance North America LLC, 1.65%, 4/10/15 (144A) 2,131,000 $2,147,498
Daimler Finance North America LLC, Floating Rate Note, 3/10/17 (144A) 1,500,000 $1,503,454
Daimler Finance North America LLC, Floating Rate Note, 8/1/16 (144A) 1,500,000 $1,509,234
Daimler Finance North America LLC, Floating Rate Note, 8/1/17 (144A) 2,061,000 $2,051,437
Darling Ingredients, Inc., Term B USD Loan, 12/19/20 1,578,075 $1,579,049
Davita Healthcare Partners Inc 1st Lien Tl-B L + 2.75% 19jun21 473,860 $475,595
D Cp Zero% 20apr15 Usd 2,500,000 $2,498,340
DEALERTRACK TECHNOLOGIES INC, Term Loan, 2/27/21 954,022 $951,438
Del Coronado Trust 2013-DEL, Floating Rate Note, 3/16/26 (144A) 1,460,000 $1,460,725
Dell Equipment Finance Trust 2014-1, 0.64%, 7/22/16 (144A) 800,000 $800,261
DELOS FINANCE SARL, Loan, 2/27/21 1,295,000 $1,297,833
Delta Air Lines, Inc., 2014 Term B-1 Loan, 10/18/18 735,000 $735,919
Delta Air Lines, Inc., Term Loan, 4/20/17 294,656 $295,047
Delta Funding Home Equity Loan Trust 1997-2, 7.04%, 6/25/27 1,000,000 $926
Deltek, Inc., Term Loan (First Lien), 10/10/18 295,477 $295,601
Devon Energy Corp., Floating Rate Note, 12/15/15 4,800,000 $4,802,200
DigitalGlobe, Inc., Term Loan, 1/31/20 875,041 $875,474
Direct Capital Funding V LLC, 1.673%, 12/20/17 (144A) 725,000 $74,650
Discover Card Execution Note Trust, 0.69%, 8/15/18 3,125,000 $3,125,610
Discover Card Execution Note Trust, 0.86%, 11/15/17 1,700,000 $1,702,248
Discover Card Execution Note Trust, Floating Rate Note, 1/16/18 1,345,000 $1,345,026
Discover Card Execution Note Trust, Floating Rate Note, 10/15/18 3,915,000 $3,912,016
Discover Card Execution Note Trust, Floating Rate Note, 3/15/18 6,550,000 $6,563,131
Drillships Financing Holding, Inc., Tranche B-1 Term Loan, 3/31/21 985,000 $772,240
Drug Royalty II LP 2, Floating Rate Note, 7/15/23 (144A) 1,850,000 $1,766,239
Dtaot 1.06% 17sep18 15-1a 2,100,000 $2,098,790
Dtz Us Borrower Llc 1st Lien Tl L + 4.5% 28oct21 1,714,787 $1,724,432
Duke Energy Corp., 3.35%, 4/1/15 2,600,000 $2,641,715
Duke Energy Corp., Floating Rate Note, 4/3/17 1,740,000 $1,742,754
Duke Energy Indiana, Inc., Floating Rate Note, 7/11/16 2,285,000 $2,289,318
Duke Energy Ohio, Inc., Floating Rate Note, 3/6/15 2,025,000 $2,026,765
Duke Energy Progress, Inc., Floating Rate Note, 11/20/17 5,100,000 $5,095,814
Duke Energy Progress, Inc., Floating Rate Note, 3/6/17 1,275,000 $1,275,754
DynCorp International, Inc., Term Loan, 7/7/16 143,055 $142,400
Dynegy, Inc., Tranche B-2 Term Loan, 4/23/20 454,615 $453,605
Eart 1.6% 17jun19 15-1a-A 1,700,000 $1,699,899
East Lane Re, Ltd., Floating Rate Note, 3/13/15 (Cat Bond) (144A) 1,000,000 $1,014,254
East Lane Re V, Ltd., Floating Rate Note, 3/16/16 (Cat Bond) (144A) 250,000 $267,175
East Lane Re VI, Ltd., Floating Rate Note, 3/14/18 (Cat Bond) (144A) 2,000,000 $2,002,528
Eco Services Operations Llc 1st Lien Tl-B L + 3.75% 10oct21 1,400,000 $1,405,250
Eden Re II, Ltd., 0.0%, 4/19/18 (Cat Bond) (144A) 1,300,000 $1,305,200
Electricite de France SA, Floating Rate Note, 1/20/17 (144A) 1,865,000 $1,868,723
Ellington Loan Acquisition Trust 2007-1, Floating Rate Note, 5/26/37 (144A) 2,400,000 $2,030,664
Ellington Loan Acquisition Trust 2007-2, Floating Rate Note, 5/26/37 (144A) 5,000,000 $322,443
Embarcadero Reinsurance, Ltd., Floating Rate Note, 2/7/17 (Cat Bond) (144A) 1,025,000 $1,033,602
Emdeon, Inc., Term B-2 Loan, 11/2/18 1,603,938 $1,604,272
Enbridge, Inc., Floating Rate Note, 10/1/16 1,650,000 $1,645,151
Encore Credit Receivables Trust 2005-3, Floating Rate Note, 10/25/35 3,705,000 $745,635
Endo Luxembourg Finance I 1st Lien Tl-B L + 2.5% 05nov20 496,250 $496,327
Entercom Radio LLC, Term B-2 Loan, 11/23/18 343,664 $344,093
Enterprise Fleet Financing LLC, 0.72%, 4/20/18 (144A) 4,500,000 $938,300
Enterprise Fleet Financing LLC, 0.87%, 9/20/19 2,000,000 $1,832,472
Enterprise Fleet Financing LLC, 0.93%, 4/20/18 (144A) 1,800,000 $1,802,064
Enterprise Products Operating LLC, 3.2%, 2/1/16 2,500,000 $2,559,614
Enterprise Products Operating LLC, 3.7%, 6/1/15 3,830,000 $3,893,646
Envision Healthcare Corp., Initial Term Loan, 5/25/18 1,249,098 $1,249,488
Epiq Systems, Inc., Term Loan, 8/27/20 469,063 $467,890
EQTY 2014-INNS Mortgage Trust, Floating Rate Note, 5/8/31 (144A) 3,530,000 $3,490,593
EQTY 2014-INNS Mortgage Trust REMICS, Floating Rate Note, 5/8/31 (144A) 1,850,000 $1,833,178
EquiVantage Home Equity Loan Trust 1997-1, 8.05%, 3/25/28 (Step) 1,500,000 $27,138
Evergreen Skills Lux Sarl, Initial Term Loan (First Lien), 4/23/21 398,000 $393,224
Exeter Automobile Receivables Trust 2012-2, 1.3%, 6/15/17 (144A) 1,000,000 $51,840
Exeter Automobile Receivables Trust 2012-2, 3.06%, 7/16/18 (144A) 1,000,000 $1,008,390
Exeter Automobile Receivables Trust 2014-2, 1.06%, 8/15/18 1,400,000 $863,665
Expert Global Solutions, Inc., Term B Advance (First Lien), 4/3/18 10,555 $10,571
Extended Stay America Trust 2013-ESH, Floating Rate Note, 12/5/31 (144A) 900,000 $896,563
Extended Stay America Trust 2013-ESH, Floating Rate Note, 12/5/31 (144A) 800,000 $798,481
Exxon Mobil Corp., Floating Rate Note, 3/15/17 1,980,000 $1,981,947
Fannie Mae, 7.0%, 10/1/17 2,241,352 $6,218
Fannie Mae, Floating Rate Note, 1/1/48 175,000 $23,490
Fannie Mae, Floating Rate Note, 10/1/32 500,000 $27,450
Fannie Mae, Floating Rate Note, 11/1/23 970,000 $9,378
Fannie Mae, Floating Rate Note, 2/1/34 500,000 $23,906
Fannie Mae, Floating Rate Note, 9/1/32 375,000 $21,341
Fannie Mae Connecticut Avenue Securities, Floating Rate Note, 10/25/23 4,205,000 $3,330,856
Fannie Mae Connecticut Avenue Securities, Floating Rate Note, 5/25/24 3,560,000 $3,079,650
Fannie Mae Connecticut Avenue Securities, Floating Rate Note, 7/25/24 5,330,000 $4,659,201
Fannie Mae Trust 2003-W6, Floating Rate Note, 9/25/42 11,350,000 $924,817
Fannie Mae Trust 2005-W4, Floating Rate Note, 6/25/45 1,500,000 $221,836
Fannie Mae Whole Loan, Floating Rate Note, 11/25/46 12,390,000 $2,060,816
FCA US LLC, Term Loan B, 5/24/17 374,031 $373,914
FCA US LLC, Tranche B Term Loan, 12/29/18 2,878,250 $2,876,811
FCI - FIDJI LUXEMBOURG BC4 SARL, Term Loan, 12/19/20 1,347,500 $1,351,711
F Cp Zero% 04mar15 Usd 2,500,000 $2,499,774
Federal Farm Credit Banks, 0.39%, 4/25/16 2,133,000 $2,134,038
Federal Farm Credit Banks, Floating Rate Note, 10/26/15 2,560,000 $2,560,913
Federal Farm Credit Banks, Floating Rate Note, 2/18/16 2,610,000 $2,611,130
Federal Farm Credit Banks, Floating Rate Note, 3/23/15 18,770,000 $18,773,727
Federal Farm Credit Banks, Floating Rate Note, 3/4/15 1,360,000 $1,360,838
Federal Farm Credit Banks, Floating Rate Note, 3/9/15 2,200,000 $2,200,405
Federal Farm Credit Banks, Floating Rate Note, 6/20/16 10,000,000 $10,017,540
Federal Farm Credit Banks, Floating Rate Note, 9/18/15 2,540,000 $2,541,884
Federal Home Loan Banks, 2.9%, 4/20/17 4,130,000 $740,383
Federal Home Loan Banks, Floating Rate Note, 10/1/15 10,000,000 $10,008,833
Federal Home Loan Banks, Floating Rate Note, 10/7/15 2,640,000 $2,642,544
Federal Home Loan Mortgage Corp., Floating Rate Note, 1/15/35 5,669,000 $757,491
Federal Home Loan Mortgage Corp., Floating Rate Note, 10/1/23 1,890,000 $8,460
Federal Home Loan Mortgage Corp., Floating Rate Note, 11/1/33 850,000 $15,050
Federal Home Loan Mortgage Corp., Floating Rate Note, 11/26/46 (144A) 3,500,000 $3,589,936
Federal Home Loan Mortgage Corp., Floating Rate Note, 6/1/35 3,000,000 $7,513
Federal Home Loan Mortgage Corp., Floating Rate Note, 6/26/15 2,000,000 $2,000,422
Federal Home Loan Mortgage Corp., Floating Rate Note, 8/15/35 50,000,000 $4,856,088
Federal Home Loan Mortgage Corp. REMICS, 3.5%, 6/15/28 5,381,000 $536,670
Federal Home Loan Mortgage Corp. REMICS, 4.0%, 1/15/24 1,801,000 $34,536
Federal Home Loan Mortgage Corp. REMICS, 4.0%, 11/15/23 95,000 $56,072
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 1/15/33 86,214,000 $1,131,395
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 1/15/36 1,837,000 $357,662
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 1/15/37 63,238,000 $3,738,625
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 10/15/20 1,400,000 $123,350
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 10/15/31 1,750,000 $109,038
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 10/15/37 18,287,000 $1,210,782
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 10/15/37 9,195,000 $645,555
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 11/15/18 7,142,857 $20,780
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 11/15/31 20,187,077 $128,907
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 11/15/33 2,550,000 $324,328
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 11/15/35 850,000 $182,227
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 11/15/36 5,342,000 $937,817
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 11/15/36 2,850,000 $467,015
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 11/15/40 1,265,000 $569,925
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/20 1,000,000 $149,077
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/28 56,250,000 $471,412
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/32 1,700,000 $31,682
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/32 15,400,000 $233,841
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/32 11,201,000 $835,047
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/32 2,500,000 $2,954
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/32 9,063,000 $679,691
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/39 2,334,000 $917,810
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/41 1,000,000 $639,728
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/19 4,675,000 $293,208
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/25 2,142,856 $424,242
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/29 23,100,000 $260,668
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/30 2,056,750 $907,532
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/33 15,000,000 $413,831
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/33 49,250,000 $661,204
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/36 5,087,000 $883,223
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/36 5,000,000 $380,246
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/37 23,400,000 $1,350,819
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/39 1,251,000 $618,926
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 3/15/24 6,200,000 $1,455,816
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 3/15/32 22,000,000 $202,445
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 3/15/32 122,751,000 $1,072,873
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 3/15/32 64,920,000 $723,061
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 3/15/36 5,000,000 $1,074,360
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 3/15/39 1,000,000 $258,572
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 3/15/41 13,046,000 $2,783,590
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 4/15/35 1,775,000 $368,921
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 4/15/36 3,463,000 $657,072
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 5/15/29 15,000,000 $127,168
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 5/15/33 2,000,000 $233,063
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 5/15/35 3,925,000 $854,281
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 5/15/35 10,200,000 $634,688
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 5/15/36 7,791,000 $529,107
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 5/15/37 3,000,000 $239,512
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 5/15/37 5,000,000 $336,491
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 5/15/41 340,000 $104,496
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 6/15/23 6,500,000 $103,203
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 6/15/33 10,000,000 $538,491
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 6/15/36 52,250,000 $2,191,304
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 6/15/36 5,835,000 $588,877
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 6/15/38 4,056,000 $797,252
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 7/15/21 17,312,039 $233,716
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 7/15/23 2,924,000 $602,853
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 7/15/34 5,000,000 $613,493
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 7/15/36 1,200,000 $49,035
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 7/15/36 5,000,000 $895,898
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 7/15/36 15,317,285 $1,136,676
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 7/15/40 2,570,000 $538,124
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 8/15/26 1,330,000 $463,111
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 8/15/35 2,185,000 $424,077
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 8/15/35 5,000,000 $875,400
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 8/15/36 17,556,000 $871,087
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 9/15/26 1,427,500 $815,011
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 9/15/32 10,000,000 $216,165
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 9/15/36 3,320,000 $370,791
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 9/15/36 3,470,000 $313,639
Federal National Mortgage Association, Floating Rate Note, 12/25/33 25,758,805 $7,243,484
Federal National Mortgage Association, Floating Rate Note, 2/25/38 50,000,000 $14,656,047
Federal National Mortgage Association, Floating Rate Note, 3/25/18 30,543,000 $814,434
Federal National Mortgage Association, Floating Rate Note, 4/25/35 750,000 $134,391
Federal National Mortgage Association, Floating Rate Note, 8/26/16 6,085,000 $6,088,649
Federal National Mortgage Association REMICS, 4.0%, 6/25/37 3,650,000 $39,508
Federal National Mortgage Association REMICS, 4.5%, 1/25/39 820,000 $38,871
Federal National Mortgage Association REMICS, Floating Rate Note, 1/18/32 16,977,308 $245,910
Federal National Mortgage Association REMICS, Floating Rate Note, 1/25/32 30,000,000 $397,313
Federal National Mortgage Association REMICS, Floating Rate Note, 1/25/33 5,000,000 $157,860
Federal National Mortgage Association REMICS, Floating Rate Note, 1/25/33 13,036,000 $438,522
Federal National Mortgage Association REMICS, Floating Rate Note, 1/25/40 5,000,000 $390,461
Federal National Mortgage Association REMICS, Floating Rate Note, 10/25/35 6,475,000 $624,072
Federal National Mortgage Association REMICS, Floating Rate Note, 10/25/35 625,000 $25,648
Federal National Mortgage Association REMICS, Floating Rate Note, 10/25/36 71,456,000 $2,619,243
Federal National Mortgage Association REMICS, Floating Rate Note, 10/25/37 1,030,000 $126,516
Federal National Mortgage Association REMICS, Floating Rate Note, 10/25/37 2,400,000 $643,856
Federal National Mortgage Association REMICS, Floating Rate Note, 10/25/38 6,344,000 $649,450
Federal National Mortgage Association REMICS, Floating Rate Note, 10/27/37 2,382,000 $2,350,556
Federal National Mortgage Association REMICS, Floating Rate Note, 11/18/32 105,671,000 $1,915,741
Federal National Mortgage Association REMICS, Floating Rate Note, 11/25/31 50,000,000 $444,320
Federal National Mortgage Association REMICS, Floating Rate Note, 11/25/31 44,000,000 $391,001
Federal National Mortgage Association REMICS, Floating Rate Note, 11/25/33 10,000,000 $753,599
Federal National Mortgage Association REMICS, Floating Rate Note, 11/25/34 9,662,000 $670,903
Federal National Mortgage Association REMICS, Floating Rate Note, 11/25/36 1,625,000 $335,905
Federal National Mortgage Association REMICS, Floating Rate Note, 12/25/23 5,000,000 $341,203
Federal National Mortgage Association REMICS, Floating Rate Note, 12/25/23 13,749,086 $105,792
Federal National Mortgage Association REMICS, Floating Rate Note, 12/25/30 20,000,000 $92,717
Federal National Mortgage Association REMICS, Floating Rate Note, 12/25/31 30,500,000 $1,078,956
Federal National Mortgage Association REMICS, Floating Rate Note, 12/25/32 14,000,000 $400,116
Federal National Mortgage Association REMICS, Floating Rate Note, 12/25/36 4,800,000 $266,426
Federal National Mortgage Association REMICS, Floating Rate Note, 12/25/37 21,428,000 $671,426
Federal National Mortgage Association REMICS, Floating Rate Note, 12/25/38 400,000 $242,474
Federal National Mortgage Association REMICS, Floating Rate Note, 12/25/49 2,000,000 $261,249
Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/17 14,970,453 $7,153
Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/33 16,918,890 $796,220
Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/33 10,610,000 $361,598
Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/35 2,497,000 $776,183
Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/37 5,150,000 $484,614
Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/37 20,692,000 $830,686
Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/38 4,400,000 $262,107
Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/38 2,184,000 $541,245
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/23 17,080,403 $143,245
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/24 14,460,650 $544,886
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/28 24,210,000 $299,292
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/34 20,624,640 $1,257,314
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/36 700,000 $111,990
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/37 2,300,000 $236,197
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/37 30,888,000 $776,065
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/37 3,413,000 $476,258
Federal National Mortgage Association REMICS, Floating Rate Note, 4/25/25 540,000 $87,609
Federal National Mortgage Association REMICS, Floating Rate Note, 4/25/32 35,072,000 $1,999,771
Federal National Mortgage Association REMICS, Floating Rate Note, 4/25/33 36,000,000 $1,034,686
Federal National Mortgage Association REMICS, Floating Rate Note, 4/25/42 642,857 $454,907
Federal National Mortgage Association REMICS, Floating Rate Note, 5/25/33 15,932,000 $402,075
Federal National Mortgage Association REMICS, Floating Rate Note, 5/25/36 23,900,354 $687,059
Federal National Mortgage Association REMICS, Floating Rate Note, 5/25/36 13,100,000 $1,297,723
Federal National Mortgage Association REMICS, Floating Rate Note, 5/25/37 32,172,000 $1,056,968
Federal National Mortgage Association REMICS, Floating Rate Note, 5/25/40 2,619,152 $1,107,253
Federal National Mortgage Association REMICS, Floating Rate Note, 5/25/40 8,500,000 $1,190,320
Federal National Mortgage Association REMICS, Floating Rate Note, 5/25/40 500,000 $267,669
Federal National Mortgage Association REMICS, Floating Rate Note, 6/25/23 3,460,000 $221,332
Federal National Mortgage Association REMICS, Floating Rate Note, 6/25/36 8,454,822 $825,181
Federal National Mortgage Association REMICS, Floating Rate Note, 6/25/37 632,250 $76,226
Federal National Mortgage Association REMICS, Floating Rate Note, 6/25/37 7,474,000 $911,580
Federal National Mortgage Association REMICS, Floating Rate Note, 6/25/37 900,000 $103,178
Federal National Mortgage Association REMICS, Floating Rate Note, 6/25/37 3,590,000 $332,070
Federal National Mortgage Association REMICS, Floating Rate Note, 7/18/27 10,000,000 $38,048
Federal National Mortgage Association REMICS, Floating Rate Note, 7/25/31 50,000,000 $302,913
Federal National Mortgage Association REMICS, Floating Rate Note, 7/25/31 48,885,770 $430,020
Federal National Mortgage Association REMICS, Floating Rate Note, 7/25/32 15,000,000 $195,775
Federal National Mortgage Association REMICS, Floating Rate Note, 7/25/34 7,443,000 $492,658
Federal National Mortgage Association REMICS, Floating Rate Note, 7/25/34 2,860,000 $155,214
Federal National Mortgage Association REMICS, Floating Rate Note, 7/25/35 9,145,238 $1,950,185
Federal National Mortgage Association REMICS, Floating Rate Note, 7/25/35 23,056,000 $2,576,310
Federal National Mortgage Association REMICS, Floating Rate Note, 7/25/36 2,000,000 $275,032
Federal National Mortgage Association REMICS, Floating Rate Note, 7/25/37 1,942,360 $282,513
Federal National Mortgage Association REMICS, Floating Rate Note, 8/25/31 17,600,000 $211,069
Federal National Mortgage Association REMICS, Floating Rate Note, 8/25/32 15,000,000 $294,720
Federal National Mortgage Association REMICS, Floating Rate Note, 8/25/32 5,000,000 $86,616
Federal National Mortgage Association REMICS, Floating Rate Note, 8/25/33 485,000 $16,467
Federal National Mortgage Association REMICS, Floating Rate Note, 8/25/36 4,450,000 $263,815
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/20 13,700,000 $27,439
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/21 8,269,375 $75,127
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/32 19,400,000 $89,054
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/32 20,000,000 $365,039
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/33 19,984,406 $2,072,925
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/36 13,053,000 $798,202
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/37 9,159,000 $392,746
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/37 1,915,000 $226,776
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/37 7,400,000 $730,938
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/37 3,173,000 $394,536
F Flt% 08nov16 1,715,000 $1,709,818
Fieldstone Mortgage Investment Trust Series 2004-5, Floating Rate Note, 2/25/35 3,600,000 $546,349
Fieldstone Mortgage Investment Trust Series 2005-1, Floating Rate Note, 3/25/35 1,457,000 $495,400
Fieldwood Energy LLC, Closing Date Loan, 9/25/18 2,668,616 $2,560,204
Fifth Third Auto Trust 2014-3, Floating Rate Note, 5/15/17 1,700,000 $1,700,201
Fifth Third Bancorp, 3.625%, 1/25/16 3,790,000 $3,893,618
Fifth Third Bancorp, Floating Rate Note, 12/20/16 1,727,000 $1,717,196
Fifth Third Bank Cincinnati Ohio, Floating Rate Note, 11/18/16 1,800,000 $1,807,632
Fifth Third Bank Cincinnati Ohio, Floating Rate Note, 2/26/16 3,330,000 $3,338,475
First Franklin Mortgage Loan Trust 2005-FFH3, Floating Rate Note, 9/25/35 4,351,000 $1,952,552
First Franklin Mortgage Loan Trust Series 2005-FF12, Floating Rate Note, 11/25/36 2,150,000 $310,059
First Horizon Mortgage Pass-Through Trust 2003-AR3, Floating Rate Note, 9/25/33 13,000,000 $895,639
First Investors Auto Owner Trust 2012-2, 1.47%, 5/15/18 (144A) 100,000 $17,728
First Investors Auto Owner Trust 2013-2, 1.23%, 3/15/19 (144A) 4,251,000 $1,891,543
First Investors Auto Owner Trust 2013-3, 0.89%, 9/15/17 (144A) 220,000 $66,909
First Investors Auto Owner Trust 2014-2, 0.86%, 8/15/18 (144A) 2,100,000 $2,045,057
First Investors Auto Owner Trust 2014-3, 1.06%, 11/15/18 (144A) 2,000,000 $1,998,014
Firstmac Mortgage Funding Trust Series 1A-2014, Floating Rate Note, 6/26/15 (144A) 2,500,000 $2,500,863
First NLC Trust 2005-2, Floating Rate Note, 9/25/35 369,713 $93,902
Flagstar Home Equity Loan Trust 2005-1, Floating Rate Note, 6/25/18 (144A) 15,500,000 $908,815
Fly Funding II Sarl, Loan, 8/8/18 1,546,307 $1,548,240
FMG Resources August 2006 Pty, Ltd., Loan, 6/30/19 1,470,119 $1,365,373
FNA 2014-1 Trust, 1.296%, 2/10/22 (144A) 2,500,000 $2,278,542
Foothill CLO, Ltd., Floating Rate Note, 2/22/21 (144A) 2,250,000 $974,241
Ford Credit Auto Lease Trust 2013-B, Floating Rate Note, 1/15/16 150,000 $47,527
Ford Credit Auto Lease Trust 2014-B, Floating Rate Note, 3/15/17 2,150,000 $2,148,382
Ford Credit Auto Owner Trust 2011-A, 1.65%, 5/15/16 1,870,000 $6,791
Ford Credit Auto Owner Trust 2011-B, 1.35%, 12/15/16 200,000 $53,356
Ford Credit Auto Owner Trust 2014-A, 0.48%, 11/15/16 1,827,000 $623,243
Ford Credit Floorplan Master Owner Trust A, Floating Rate Note, 1/15/18 350,000 $350,181
Ford Credit Floorplan Master Owner Trust A, Floating Rate Note, 2/15/19 900,000 $900,411
Ford Motor Credit Co LLC, Floating Rate Note, 9/1/18 2,600,000 $2,607,209
Fore CLO, Ltd., Floating Rate Note, 7/20/19 (144A) 1,250,000 $267,090
Foresight Energy LLC, Term Loan, 8/21/20 221,862 $212,988
Fosse Master Issuer Plc, Floating Rate Note, 10/19/54 (144A) 1,000,000 $643,154
Four Corners CLO II, Ltd., Floating Rate Note, 1/26/20 (144A) 553,000 $535,027
Four Seasons Holdings, Inc., Term Loan (First Lien) 2013, 6/27/20 493,750 $492,979
Franklin Resources, Inc., 3.125%, 5/20/15 2,150,000 $2,181,351
Freddie Mac Strips, Floating Rate Note, 12/15/36 10,968,000 $635,824
Freddie Mac Strips, Floating Rate Note, 8/15/36 43,230,336 $2,086,971
Freddie Mac Strips, Floating Rate Note, 8/15/36 10,000,000 $482,007
Freddie Mac Structured Agency Credit Risk Debt Notes, Floating Rate Note, 10/25/24 2,480,000 $2,436,058
Freddie Mac Structured Agency Credit Risk Debt Notes, Floating Rate Note, 11/25/23 2,250,000 $1,714,435
Freddie Mac Structured Agency Credit Risk Debt Notes, Floating Rate Note, 2/25/24 1,555,000 $1,421,663
Freddie Mac Structured Agency Credit Risk Debt Notes, Floating Rate Note, 8/25/24 5,000,000 $4,826,110
Fremont Home Loan Trust 2005-B, Floating Rate Note, 4/25/35 2,750,000 $593,527
Fresenius US Finance I, Inc., Tranche B Term Loan, 8/7/19 1,481,250 $1,478,473
Gale Force 3 Clo, Ltd., Floating Rate Note, 4/19/21 (144A) 1,200,000 $712,019
Galileo Re, Ltd., Floating Rate Note, 1/9/19 (Cat Bond) (144A) 1,250,000 $1,299,472
Garda World Security Corp., Term B Delayed Draw Loan, 11/8/20 318,544 $315,956
Garda World Security Corp., Term B Loan, 11/1/20 1,245,217 $1,235,100
Gardner Denver, Inc., Initial Dollar Term Loan, 7/30/20 395,000 $380,434
Gator Re, Ltd., Floating Rate Note, 1/9/17 (Cat Bond) (144A) 2,000,000 $1,801,456
Gci Holdings Inc 1st Lien Tl-B L + 3.75% 22dec21 660,000 $662,198
GE Business Loan Trust 2003-1, Floating Rate Note, 4/15/31 (144A) 20,374,890 $840,115
GE Business Loan Trust 2003-2 REMICS, Floating Rate Note, 11/15/31 (144A) 10,000,000 $888,493
GE Business Loan Trust 2004-1, Floating Rate Note, 5/15/32 (144A) 7,667,511 $612,200
GE Business Loan Trust 2004-2, Floating Rate Note, 12/15/32 (144A) 9,937,438 $1,354,446
GE Business Loan Trust 2005-1, Floating Rate Note, 6/15/33 (144A) 7,203,882 $3,119,037
GE Business Loan Trust 2006-2, Floating Rate Note, 11/15/34 (144A) 6,967,382 $2,468,498
GE Business Loan Trust 2007-1, Floating Rate Note, 4/16/35 (144A) 5,387,273 $2,147,383
GE Capital Commercial Mortgage Corp., Floating Rate Note, 7/10/45 1,700,000 $1,710,864
GE Dealer Floorplan Master Note Trust, Floating Rate Note, 10/20/17 888,000 $888,584
GE Dealer Floorplan Master Note Trust, Floating Rate Note, 10/20/19 2,700,000 $2,696,803
GE Dealer Floorplan Master Note Trust, Floating Rate Note, 4/20/18 1,190,000 $1,190,290
GE Dealer Floorplan Master Note Trust, Floating Rate Note, 6/20/17 2,000,000 $2,001,199
GE Dealer Floorplan Master Note Trust, Floating Rate Note, 6/20/17 500,000 $500,320
GE Dealer Floorplan Master Note Trust, Floating Rate Note, 7/22/19 2,670,000 $2,664,671
GE Equipment Small Ticket LLC Series 2013-1, 0.73%, 1/25/16 (144A) 800,000 $162,092
GE Equipment Small Ticket LLC Series 2014-1, 1.59%, 8/24/16 1,900,000 $1,899,629
GE Equipment Transportation LLC Series 2013-2, 0.61%, 6/24/16 1,520,000 $576,371
General Electric Capital Corp., 1.625%, 7/2/15 1,000,000 $1,006,812
General Electric Capital Corp., Floating Rate Note, 1/14/16 1,865,000 $1,868,968
General Electric Capital Corp., Floating Rate Note, 1/8/16 3,300,000 $3,319,710
General Electric Capital Corp., Floating Rate Note, 5/11/16 1,000,000 $1,000,915
General Electric Capital Corp., Floating Rate Note, 5/15/17 2,000,000 $2,001,476
General Electric Capital Corp., Floating Rate Note, 7/10/15 690,000 $691,396
General Electric Capital Corp., Floating Rate Note, 7/12/16 1,001,000 $1,008,061
General Electric Capital Corp., Floating Rate Note, 7/2/15 2,793,000 $2,807,755
General Electric Capital Corp., Floating Rate Note, 8/1/17 500,000 $499,499
General Mills, Inc., Floating Rate Note, 1/28/16 1,895,000 $1,894,325
General Mills, Inc., Floating Rate Note, 1/29/16 1,765,000 $1,766,238
Genpact International, Inc., Term Loan, 8/30/19 980,075 $980,565
Georgia Power Co., Floating Rate Note, 3/15/16 1,090,000 $1,090,574
Georgia Power Co., Floating Rate Note, 8/15/16 1,000,000 $999,707
Getty Images, Inc., Initial Term Loan, 10/18/19 113,574 $98,778
GLC Trust 2013-1, 3.0%, 7/15/21 (144A) 3,200,000 $2,397,814
Glencore Funding LLC, Floating Rate Note, 5/27/16 (144A) 1,800,000 $1,813,011
Glenn Pool Oil & Gas Trust, Term Loan, 5/2/16 21,345 $21,238
Global Container Assets 2013-1, Ltd., 2.2%, 11/5/28 (144A) 1,750,000 $1,005,637
Global Mortgage Securitization, Ltd., 5.25%, 4/25/32 (144A) 2,691,322 $765,828
Global Mortgage Securitization, Ltd., Floating Rate Note, 11/25/32 (144A) 8,780,000 $462,540
Global Mortgage Securitization, Ltd., Floating Rate Note, 4/25/32 (144A) 29,975,000 $2,542,568
GMAC Commercial Mortgage Securities Inc Series 2004-C2 Trust, Floating Rate Note, 8/10/38 5,341,000 $40,051
GMAC Commercial Mortgage Securities Inc Series 2005-C1 Trust, 4.697%, 5/10/43 3,547,000 $327,887
GMAC Commercial Mortgage Securities Inc Series 2006-C1 Trust, Floating Rate Note, 11/10/45 8,250,000 $5,157,944
GMAT 2013-1 Trust, 3.9669%, 8/25/53 (Step) 5,300,000 $3,954,339
Golden Credit Card Trust, Floating Rate Note, 2/15/18 (144A) 4,300,000 $4,299,292
Golden Credit Card Trust, Floating Rate Note, 9/15/18 (144A) 715,000 $715,629
Golden State RE II, Ltd., Floating Rate Note, 1/8/19 (Cat Bond) (144A) 2,650,000 $2,654,951
Government National Mortgage Association, 4.0%, 7/20/34 31,635,000 $995,940
Government National Mortgage Association, Floating Rate Note, 1/16/33 26,309,521 $928,963
Government National Mortgage Association, Floating Rate Note, 1/16/35 11,437,000 $1,181,077
Government National Mortgage Association, Floating Rate Note, 10/16/39 2,500,000 $361,384
Government National Mortgage Association, Floating Rate Note, 10/20/38 3,000,000 $949,805
Government National Mortgage Association, Floating Rate Note, 2/20/35 8,941,000 $1,144,051
Government National Mortgage Association, Floating Rate Note, 4/16/29 50,000,000 $540,371
Government National Mortgage Association, Floating Rate Note, 4/16/32 13,425,000 $240,020
Government National Mortgage Association, Floating Rate Note, 5/16/38 8,761,000 $584,079
Government National Mortgage Association, Floating Rate Note, 6/16/31 14,000,000 $234,255
Government National Mortgage Association, Floating Rate Note, 8/16/39 2,960,000 $492,809
Government National Mortgage Association, Floating Rate Note, 8/20/35 3,497,364 $279,371
Government National Mortgage Association, Floating Rate Note, 8/20/38 4,585,000 $429,826
Government National Mortgage Association, Floating Rate Note, 9/16/31 34,344,532 $664,876
Government National Mortgage Association II, Floating Rate Note, 1/20/22 1,000,000 $12,488
GP Portfolio Trust 2014-GGP, Floating Rate Note, 2/16/27 (144A) 3,350,000 $3,350,086
Gracechurch Card Funding Plc, Floating Rate Note, 5/15/19 (144A) 1,300,000 $1,311,059
Gracechurch Card Funding Plc, Floating Rate Note, 6/15/17 (144A) 2,200,000 $2,204,820
Gracechurch Mortgage Financing Plc, Floating Rate Note, 11/20/56 (144A) 2,500,000 $1,653,090
Gray Television Inc. 1st Lien Tl L + 3% 10jun21 1,002,368 $1,001,324
GreenPoint Mortgage Funding Trust 2005-HE1, Floating Rate Note, 9/25/34 1,357,437 $335,316
GRIFOLS WORLDWIDE OPERATIONS USA INC, U.S. Tranche B Term Loam, 4/1/21 521,063 $520,855
GSAA Home Equity Trust 2004-11, Floating Rate Note, 12/25/34 5,735,000 $301,132
GSAA Home Equity Trust 2004-6, Floating Rate Note, 6/25/34 52,357,062 $1,318,234
GSAA Home Equity Trust 2004-8, Floating Rate Note, 9/25/34 7,860,000 $254,024
GSAA Home Equity Trust 2005-11, Floating Rate Note, 10/25/35 4,339,000 $349,549
GSAA Trust, Floating Rate Note, 6/25/35 6,300,000 $1,519,376
GSAMP Trust 2004-SEA2, Floating Rate Note, 3/25/34 4,798,600 $3,107,585
GSAMP Trust 2005-HE1, Floating Rate Note, 12/25/34 5,414,212 $398,778
GSAMP Trust 2005-HE6, Floating Rate Note, 11/25/35 220,000 $131,338
GSAMP Trust 2006-HE1, Floating Rate Note, 12/26/45 7,000,000 $1,131,030
GSAMP Trust 2006-SD1, Floating Rate Note, 7/25/45 9,948,000 $506,566
GSAMP Trust 2006-SEA1, Floating Rate Note, 5/25/36 (144A) 25,142,877 $1,753,671
GS Mortgage Securities Trust 2006-GG6 REMICS, Floating Rate Note, 4/10/38 3,550,000 $3,635,725
GS Mortgage Securities Trust 2014-GSFL, Floating Rate Note, 7/15/31 (144A) 1,690,000 $1,694,607
GSR Mortgage Loan Trust 2003-9, Floating Rate Note, 8/25/33 1,500,000 $93,036
GSRPM Mortgage Loan Trust 2003-2, Floating Rate Note, 6/25/33 1,826,298 $1,066,079
GSRPM Mortgage Loan Trust 2006-1, Floating Rate Note, 3/25/35 (144A) 7,593,737 $1,032,285
GSRPM Mortgage Loan Trust 2006-2, Floating Rate Note, 9/25/36 (144A) 5,483,897 $697,065
Gszfp Cp Zero% 23mar15 Usd 3,190,000 $3,189,696
Halyard Health Inc 1st Lien Tl-B L + 3.25% 03oct21 1,000,000 $1,008,905
HarborView Mortgage Loan Trust 2004-1, Floating Rate Note, 4/19/34 16,013,000 $697,795
HarborView Mortgage Loan Trust 2004-4, Floating Rate Note, 6/19/34 25,700,000 $246,562
Harch CLO III, Ltd., Floating Rate Note, 4/17/20 (144A) 500,000 $488,970
Harley-Davidson Financial Services, Inc., 1.15%, 9/15/15 (144A) 4,100,000 $4,132,254
Harley-Davidson Motorcycle Trust 2011-1, 2.12%, 8/15/17 190,000 $191,393
Harley-Davidson Motorcycle Trust 2012-1, 0.68%, 4/17/17 2,700,000 $606,248
Hercules Capital Funding Trust 2012-1, 3.32%, 12/16/17 (144A) 400,000 $46,911
Hertz Fleet Lease Funding LP, Floating Rate Note, 12/10/27 (144A) 500,000 $501,617
Hertz Fleet Lease Funding LP, Floating Rate Note, 12/10/27 (144A) 1,000,000 $903,843
Hertz Fleet Lease Funding LP, Floating Rate Note, 4/10/28 (144A) 1,100,000 $1,098,746
Hewett's Island CDO, Ltd., Floating Rate Note, 6/9/19 (144A) 1,000,000 $1,006,288
Hilton USA Trust 2013-HLF, Floating Rate Note, 11/5/30 (144A) 2,475,000 $2,440,947
Hilton Worldwide Finance LLC, Initial Term Loan, 9/23/20 986,842 $987,613
HJ Heinz Co., Term B-2 Loan, 6/5/20 1,048,202 $1,051,477
HLSS Servicer Advance Receivables Backed Notes Series 2013-T2, 1.1472%, 5/16/44 (144A) 4,240,000 $4,209,956
HLSS Servicer Advance Receivables Trust, 1.4953%, 1/16/46 (144A) 5,600,000 $5,533,024
Holmes Master Issuer Plc, Floating Rate Note, 10/15/54 (144A) 1,676,000 $843,012
Hologic, Inc., Refinancing Tranche B Term Loan, 8/1/19 668,423 $670,512
HomeBanc Mortgage Trust 2005-2, Floating Rate Note, 5/25/25 45,670,847 $1,447,677
Home Equity Asset Trust 2005-6, Floating Rate Note, 12/25/35 4,004,000 $3,239,817
Home Equity Asset Trust 2005-7, Floating Rate Note, 1/25/36 7,770,000 $3,995,402
Home Equity Asset Trust 2006-4, Floating Rate Note, 8/25/36 1,250,000 $303,550
Home Equity Asset Trust 2006-8, Floating Rate Note, 3/25/37 6,984,978 $1,758,029
Homestar Mortgage Acceptance Corp., Floating Rate Note, 1/25/35 11,300,000 $1,047,660
Homestar Mortgage Acceptance Corp., Floating Rate Note, 3/25/34 76,711,000 $4,231,235
Homestar Mortgage Acceptance Corp., Floating Rate Note, 6/25/34 11,977,997 $967,136
Homestar Mortgage Acceptance Corp., Floating Rate Note, 7/25/34 19,310,000 $1,621,123
Honda Auto Receivables 2012-2 Owner Trust, 0.7%, 2/16/16 1,200,000 $143,911
Honda Auto Receivables 2012-4 Owner Trust, 0.52%, 8/18/16 5,000,000 $2,074,396
Honda Auto Receivables 2013-1 Owner Trust, 0.48%, 11/21/16 390,000 $245,578
Honda Auto Receivables 2013-2 Owner Trust, 0.53%, 2/16/17 959,000 $812,223
Honda Auto Receivables 2014-1 Owner Trust, 0.41%, 9/21/16 2,715,000 $1,928,805
Horizon Funding Trust 2013-1, 3.0%, 5/15/18 (144A) 2,777,000 $1,061,463
HSBC Bank Middle East, Ltd., 3.0%, 10/21/15 1,000,000 $1,021,783
HSBC Bank Plc, 3.5%, 6/28/15 (144A) 2,500,000 $2,539,031
HSBC Home Equity Loan Trust USA 2006-3, Floating Rate Note, 3/20/36 8,638,000 $6,651,485
HSBC Home Equity Loan Trust USA 2006-4, Floating Rate Note, 3/20/36 1,061,000 $773,171
HSBC Home Equity Loan Trust USA 2007-3, Floating Rate Note, 11/20/36 13,800,000 $3,064,904
HSBC Home Equity Loan Trust USA 2007-3, Floating Rate Note, 11/20/36 100,000 $34,995
HSI Asset Securitization Corp Trust 2006-OPT1, Floating Rate Note, 12/25/35 1,719,377 $500,750
Huntsman International LLC, 2014-1 Incremental Term Loan, 9/30/21 1,000,000 $1,004,363
Hyatt Hotel Portfolio Trust 2015-HYT, Floating Rate Note, 11/15/29 (144A) 1,800,000 $1,803,904
Hyperion Insurance Group, Ltd., Term Loan, 10/4/19 965,250 $962,234
Hyundai Auto Receivables Trust 2012-A, 0.95%, 12/15/16 3,878,000 $2,424,505
Hyundai Auto Receivables Trust 2014-B, 0.44%, 2/15/17 99,000 $76,020
Hyundai Capital Auto Funding VIII, Ltd., Floating Rate Note, 9/20/16 (144A) 5,954,000 $88,551
Hyundai Capital Services, Inc., Floating Rate Note, 3/18/17 (144A) 1,950,000 $1,956,794
IASIS Healthcare LLC, Term B-2 Loan, 5/3/18 487,519 $489,119
Ibis Re II, Ltd., Floating Rate Note, 6/28/16 (Cat Bond) (144A) 2,500,000 $2,532,722
Igloo Holdings Corp., 8.25%, 12/15/17 (144A) (PIK) 1,250,000 $1,281,849
Immucor, Inc., Term B-2 Loan, 8/19/18 217,752 $217,752
Impac CMB Trust Series 2003-8, Floating Rate Note, 10/25/33 8,000,000 $484,955
Impac CMB Trust Series 2004-4, Floating Rate Note, 9/25/34 42,840,193 $1,748,674
Impac CMB Trust Series 2004-4, Floating Rate Note, 9/25/34 49,152,075 $2,005,718
Impac CMB Trust Series 2004-5, Floating Rate Note, 8/25/34 9,850,000 $566,196
Impac CMB Trust Series 2004-6, Floating Rate Note, 10/25/34 9,071,000 $459,388
Impac CMB Trust Series 2004-7, Floating Rate Note, 11/25/34 34,014,000 $2,138,016
Impac CMB Trust Series 2004-8, Floating Rate Note, 8/25/34 14,550,000 $1,697,260
Impac CMB Trust Series 2004-8, Floating Rate Note, 8/25/34 2,122,000 $240,459
Impac Secured Assets CMN Owner Trust, Floating Rate Note, 11/25/34 30,931,007 $731,644
Impac Secured Assets Trust 2006-1, Floating Rate Note, 5/25/36 6,501,000 $2,076,688
Impac Secured Assets Trust 2006-2, Floating Rate Note, 8/25/36 4,987,000 $965,871
Impac Secured Assets Trust 2006-5, Floating Rate Note, 12/25/36 3,800,000 $772,424
Intelsat Jackson Holdings SA, Tranche B-2 Term Loan, 6/30/19 521,732 $518,602
Interactive Data 1st Lien Tl-B L + 3.75% 24apr21 212,968 $213,900
inVentiv Health, Inc., Term B-3 Loan, 5/15/18 66,145 $65,649
Invitation Homes 2013-SFR1 Trust, Floating Rate Note, 12/19/30 (144A) 1,800,000 $1,781,445
Invitation Homes 2014-SFR2 Trust, Floating Rate Note, 9/18/31 (144A) 2,100,000 $2,096,595
Invitation Homes 2014-SFR3 Trust, Floating Rate Note, 12/17/31 (144A) 2,000,000 $1,985,288
Inwood Park CDO, Ltd., Floating Rate Note, 1/20/21 (144A) 3,500,000 $993,325
Irwin Home Equity Loan Trust 2005-1, Floating Rate Note, 6/25/25 18,060,000 $3,555,563
Irwin Whole Loan Home Equity Trust 2003-C, Floating Rate Note, 6/25/28 7,545,000 $1,761,875
Irwin Whole Loan Home Equity Trust 2005-B, Floating Rate Note, 12/25/29 6,125,000 $3,173,645
Ixis Flt% 25jun35 05-He1-M3 1,500,000 $744,755
IXIS Real Estate Capital Trust 2005-HE4, Floating Rate Note, 2/25/36 3,493,986 $529,963
Jackson National Life Global Funding, Floating Rate Note, 7/29/16 (144A) 2,600,000 $2,602,134
Jackson National Life Global Funding, Floating Rate Note, 9/30/15 (144A) 3,300,000 $3,308,567
Jarden Corp., Tranche B1 Term Loan, 9/30/20 987,500 $994,289
JBS USA LLC, Initial Term Loan, 5/25/18 874,626 $875,151
JLL, Initial Dollar Term Loan, 1/23/21 303,475 $301,389
JMC Steel Group, Inc., Term Loan, 4/1/17 357,546 $355,609
John Deere Capital Corp., Floating Rate Note, 10/11/16 1,500,000 $1,505,335
John Deere Capital Corp., Floating Rate Note, 12/10/15 1,800,000 $1,802,662
JOHN DEERE CAPITAL Corp., Floating Rate Note, 2/25/16 2,883,000 $2,884,992
JPMorgan Chase & Co., 1.1%, 10/15/15 1,528,000 $1,538,352
JPMorgan Chase & Co., 1.875%, 3/20/15 2,600,000 $2,623,195
JPMorgan Chase & Co., 3.4%, 6/24/15 1,325,000 $1,344,670
JPMorgan Chase & Co., Floating Rate Note, 10/15/15 2,000,000 $2,008,013
JPMorgan Chase & Co., Floating Rate Note, 2/15/17 2,000,000 $2,004,253
JPMorgan Chase & Co., Floating Rate Note, 2/26/16 1,800,000 $1,805,292
JP Morgan Chase Commercial Mortgage Securities Trust 2002-CIBC4, Floating Rate Note, 5/12/34 257,000 $138,683
JP Morgan Chase Commercial Mortgage Securities Trust 2004-LN2, Floating Rate Note, 7/15/41 2,030,626 $223,822
JP Morgan Chase Commercial Mortgage Securities Trust 2005-LDP2, 4.78%, 7/15/42 3,770,000 $3,799,621
JP Morgan Chase Commercial Mortgage Securities Trust 2005-LDP2 REMICS, 4.738%, 7/15/42 3,175,000 $1,841,227
JP Morgan Chase Commercial Mortgage Securities Trust 2005-LDP3, Floating Rate Note, 8/15/42 2,670,000 $2,716,213
JP Morgan Chase Commercial Mortgage Securities Trust 2005-LDP3 REMICS, Floating Rate Note, 8/15/42 8,585,000 $6,870,798
JP Morgan Chase Commercial Mortgage Securities Trust 2005-LDP4, Floating Rate Note, 10/15/42 3,950,000 $4,002,551
JP Morgan Chase Commercial Mortgage Securities Trust 2005-LDP5, Floating Rate Note, 12/15/44 8,709,924 $7,981,745
JP Morgan Chase Commercial Mortgage Securities Trust 2006-FL2, Floating Rate Note, 11/15/18 (144A) 8,570,000 $1,682,916
JP Morgan Chase Commercial Mortgage Securities Trust 2006-FL2, Floating Rate Note, 11/15/18 (144A) 500,000 $161,481
JP Morgan Chase Commercial Mortgage Securities Trust 2006-LDP6, Floating Rate Note, 4/15/43 2,712,000 $2,804,413
JP Morgan Chase Commercial Mortgage Securities Trust 2006-LDP9, Floating Rate Note, 5/15/47 200,000 $74,729
JP Morgan Chase Commercial Mortgage Securities Trust 2007-CIBC19, Floating Rate Note, 2/12/49 475,000 $4,931
JP Morgan Chase Commercial Mortgage Securities Trust 2013-JWRZ, Floating Rate Note, 4/15/30 (144A) 4,975,000 $4,975,279
JP Morgan Chase Commercial Mortgage Securities Trust 2014-BXH, Floating Rate Note, 4/15/27 (144A) 5,600,000 $5,596,897
JP Morgan Chase Commercial Mortgage Securities Trust 2014-CBM, Floating Rate Note, 10/15/29 (144A) 4,280,000 $4,263,163
JP Morgan Chase Commercial Mortgage Securities Trust 2014-FBLU, Floating Rate Note, 12/15/28 (144A) 2,910,000 $2,915,029
JP Morgan Chase Commercial Mortgage Securities Trust 2014-FBLU REMICS, Floating Rate Note, 12/15/28 3,510,000 $3,514,032
JP Morgan Chase Commercial Mortgage Securities Trust 2014-FL4, Floating Rate Note, 12/16/30 (144A) 1,500,000 $1,502,227
JP Morgan Chase Commercial Mortgage Securities Trust 2014-FL6, Floating Rate Note, 11/15/31 (144A) 4,240,000 $4,238,808
JP Morgan Chase Commercial Mortgage Securities Trust 2014-INN, Floating Rate Note, 6/15/29 (144A) 3,750,000 $3,742,386
JP Morgan Chase Commercial Mortgage Securities Trust 2014-INN, Floating Rate Note, 6/15/29 (144A) 3,500,000 $3,490,705
JP Morgan Chase Commercial Mortgage Securities Trust 2014-PHH, Floating Rate Note, 8/16/27 (144A) 3,770,000 $3,770,727
JP Morgan Mortgage Acquisition Corp 2005-FRE1, Floating Rate Note, 10/25/35 19,316,000 $1,061,340
JP Morgan Mortgage Acquisition Trust 2006-ACC1, Floating Rate Note, 5/25/36 3,004,334 $749,363
JP Morgan Mortgage Trust 2003-A1, Floating Rate Note, 10/25/33 12,490,305 $1,435,467
JP Morgan Mortgage Trust 2004-A5, Floating Rate Note, 12/25/34 1,119,000 $795,892
Kane Flt% 12jun15 2,000,000 $1,936,200
Kane Flt% 14jul15 1,528,080 $1,496,907
Kane Ilw Zero% 02feb16 750,000 $695,550
Kane Sac, Ltd., 0.0%, 1/7/16 (Cat Bond) 420,500 $421,425
Kane Sac, Ltd., 0.0%, 1/7/16 (Cat Bond) 1,147,083 $1,148,345
Kane Sac, Ltd., 0.0%, 1/7/16 (Cat Bond) 1,111,667 $1,113,334
Kane Sac, Ltd., 0.0%, 1/7/16 (Cat Bond) 2,375,100 $2,381,038
Kane Zero% 29apr16 2,600,000 $2,662,660
KeyBank NA Cleveland Ohio, Floating Rate Note, 11/25/16 4,500,000 $4,513,188
KeyCorp, 3.75%, 8/13/15 5,350,000 $5,435,239
KeyCorp Student Loan Trust 2004-A, Floating Rate Note, 10/28/41 500,000 $89,399
Kilimanjaro Re, Ltd., Floating Rate Note, 11/25/19 (Cat Bond) (144A) 2,350,000 $2,356,903
Kilimanjaro Re, Ltd., Floating Rate Note, 4/30/18 (Cat Bond) (144A) 2,300,000 $2,358,081
Kilimanjaro Re, Ltd., Floating Rate Note, 4/30/18 (Cat Bond) (144A) 1,000,000 $1,014,250
Kindred Healthcare 1st Lien Tl-B L + 3% 10apr21 714,175 $713,877
Kinetic Concepts, Inc., Dollar Term E-1 Loan, 5/4/18 586,788 $586,879
Kizuna Re II, Ltd., Floating Rate Note, 4/6/18 (Cat Bond) (144A) 1,800,000 $1,811,925
KKR Financial CLO 2007-1, Ltd., Floating Rate Note, 5/15/21 (144A) 650,000 $642,564
Kleopatra Acquisition Corp., Term B-1 Loan, 12/21/16 686,473 $689,047
Kubota Credit Owner Trust 2014-1, 0.58%, 2/15/17 800,000 $719,728
Lanark Master Issuer Plc, Floating Rate Note, 12/22/54 (144A) 5,635,000 $4,189,617
Lanark Master Issuer Plc, Floating Rate Note, 12/22/54 (144A) 1,250,000 $1,171,108
Landry's, Inc., B Term Loan, 4/24/18 390,681 $391,755
Language Line LLC, Tranche B Term Loan, 6/20/16 854,207 $850,647
LB-UBS Commercial Mortgage Trust 2004-C1, 4.568%, 1/15/31 1,000,000 $110,764
LB-UBS Commercial Mortgage Trust 2005-C2 REMICS, Floating Rate Note, 4/15/30 4,785,000 $1,543,557
LB-UBS Commercial Mortgage Trust 2005-C3, 4.739%, 7/15/30 4,490,000 $2,122,242
LB-UBS Commercial Mortgage Trust 2005-C5, 4.954%, 9/15/30 8,750,000 $5,874,734
LB-UBS Commercial Mortgage Trust 2005-C7 REMICS, Floating Rate Note, 11/15/30 8,161,979 $7,275,112
LB-UBS Commercial Mortgage Trust 2006-C1 REMICS, 5.156%, 2/15/31 5,465,000 $5,437,734
LEAF Receivables Funding 9 LLC, 0.88%, 11/15/15 (144A) 1,500,000 $296,238
Lehman ABS Manufactured Housing Contract Trust 2002-A, Floating Rate Note, 6/15/33 3,950,000 $164,469
Lehman Brothers Small Balance Commercial, Floating Rate Note, 2/25/30 (144A) 6,250,000 $855,033
Lehman Brothers Small Balance Commercial, Floating Rate Note, 4/25/31 (144A) 17,333,137 $2,435,266
Lehman Brothers Small Balance Commercial, Floating Rate Note, 4/25/31 (144A) 6,464,393 $1,087,905
Lehman Brothers Small Balance Commercial, Floating Rate Note, 9/25/30 (144A) 10,120,098 $1,666,067
Lehman Brothers Small Balance Commercial Mortgage Trust 2007-3, Floating Rate Note, 10/25/37 (144A) 4,405,200 $1,023,041
Lehman Brothers Small Balance Commercial Mortgage Trust 2007-3, Floating Rate Note, 10/25/37 (144A) 2,211,066 $1,512,548
Lehman XS Trust Series 2005-2, Floating Rate Note, 8/25/35 42,014,000 $2,686,704
Level 3 Financing Inc 1st Lien Tl-B5 L + 3.5% 31jan22 1,000,000 $1,006,042
LifePoint Hospitals, Inc., Incremental Term Loan B, 7/24/17 0 $0
Live Nation Entertainment, Inc., Term B-1 Loan, 8/17/20 768,275 $764,664
Livingston International, Inc., Initial Term B-1 Loan (First Lien), 4/18/19 492,500 $479,572
Lockwood Grove CLO, Ltd., Floating Rate Note, 1/25/24 (144A) 2,500,000 $2,505,826
Longpoint Re, Ltd., Floating Rate Note, 6/12/15 (Cat Bond) (144A) 3,550,000 $3,633,070
Longpoint Re, Ltd. III, Floating Rate Note, 5/18/16 (Cat Bond) (144A) 2,610,000 $2,638,736
Louisiana Public Facilities Authority, Floating Rate Note, 4/26/27 1,250,000 $952,463
Madison Avenue Manufactured Housing Contract Trust 2002-A, Floating Rate Note, 3/25/32 1,000,000 $311,719
MALLINCKRODT INTERNATIONAL FINANCE SA, Initial Term B Loan, 3/6/21 967,688 $962,728
Manufactured Housing Contract Trust Pass-Through Certificates Series 2001-1, Floating Rate Note, 4/2 9,286,000 $1,156,681
Manufacturers & Traders Trust Co., Floating Rate Note, 1/30/17 1,900,000 $1,898,940
Manufacturers & Traders Trust Co., Floating Rate Note, 7/25/17 2,400,000 $2,392,625
Marathon Oil Corp., 0.9%, 11/1/15 4,104,000 $4,114,239
MassMutual Global Funding II, 3.125%, 4/14/16 (144A) 2,060,000 $2,139,878
MassMutual Global Funding II, Floating Rate Note, 12/11/15 (144A) 1,750,000 $1,752,573
Master Credit Card Trust II, Floating Rate Note, 1/22/18 (144A) 1,050,000 $1,051,398
MASTR Adjustable Rate Mortgages Trust 2003-3, Floating Rate Note, 9/25/33 2,650,000 $755,350
MASTR Adjustable Rate Mortgages Trust 2004-11, Floating Rate Note, 11/25/34 5,400,000 $1,622,251
MASTR Alternative Loan Trust 2005-1, Floating Rate Note, 2/25/35 21,274,000 $1,619,671
Mastr Asset Backed Securities Trust 2005-FRE1, Floating Rate Note, 10/25/35 1,400,000 $8,820
Mastr Asset Backed Securities Trust 2006-AB1 REMICS, Floating Rate Note, 2/25/36 12,307,204 $1,992,600
Mastr Asset Backed Securities Trust 2006-NC1, Floating Rate Note, 1/25/36 23,055,603 $2,453,259
MASTR Asset Securitization Trust 2003-6, Floating Rate Note, 7/25/18 7,302,000 $193,715
Mastr Specialized Loan Trust, Floating Rate Note, 1/25/36 (144A) 51,217,354 $3,921,220
MCC Iowa LLC, Tranche G Term Loan, 1/20/20 733,125 $732,667
Mcdermott International Inc 1st Lien Tl-B L + 4.25% 11apr19 497,500 $447,750
McKesson Corp., Floating Rate Note, 9/10/15 3,130,000 $3,135,875
Mdlz Cp Zero% 04mar15 Usd 2,500,000 $2,499,861
Medco Health Solutions, Inc., 2.75%, 9/15/15 2,500,000 $2,526,825
Mediacom Illinois LLC, Tranche F Term Loan, 3/31/18 1,389,500 $1,373,289
Medtronic, Inc., 4.75%, 9/15/15 2,710,000 $2,830,603
Mercedes Benz Auto Lease Trust 2014-A, Floating Rate Note, 6/15/16 1,900,000 $1,409,548
Merck & Co, Inc., Floating Rate Note, 5/18/16 500,000 $500,868
Merna Re V, Ltd., Floating Rate Note, 4/7/17 (Cat Bond) (144A) 2,000,000 $2,004,756
Merrill Lynch Mortgage Investors Trust Series 2005-2, Floating Rate Note, 10/25/35 2,600,000 $621,239
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-A, Floating Rate Note, 3/25/28 48,813,000 $1,517,544
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-B, Floating Rate Note, 4/25/28 32,661,000 $1,446,307
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-C, Floating Rate Note, 6/25/28 44,308,430 $1,582,836
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-C REMICS, Floating Rate Note, 6/25/28 42,262,000 $1,890,859
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-E, Floating Rate Note, 10/25/28 38,289,000 $1,728,897
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-G, Floating Rate Note, 1/25/29 16,556,000 $235,402
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-H, Floating Rate Note, 1/25/29 24,460,400 $1,296,732
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-A REMICS, Floating Rate Note, 4/25/29 35,467,206 $1,834,416
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-B, Floating Rate Note, 5/25/29 12,160,000 $427,683
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-C, Floating Rate Note, 7/25/29 3,866,000 $124,118
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-C, Floating Rate Note, 7/25/29 41,778,000 $1,941,943
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-D, Floating Rate Note, 9/25/29 11,000,000 $739,890
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-E, Floating Rate Note, 11/25/29 36,000,000 $2,066,406
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-G, Floating Rate Note, 1/25/30 64,515,401 $2,585,974
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-G, Floating Rate Note, 1/25/30 15,000,000 $925,980
Merrill Lynch Mortgage Investors Trust Series MLCC 2005-A, Floating Rate Note, 3/25/30 40,482,746 $2,406,189
Merrill Lynch Mortgage Trust 2005-CIP1, Floating Rate Note, 7/12/38 2,170,000 $2,190,390
Merrill Lynch Mortgage Trust 2005-CKI1, Floating Rate Note, 11/12/37 7,925,000 $5,865,671
Merrill Lynch Mortgage Trust 2005-LC1, Floating Rate Note, 1/12/44 6,177,508 $5,553,816
Merrill Lynch Mortgage Trust 2005-MCP1, Floating Rate Note, 6/12/43 5,841,000 $2,261,561
MetLife Institutional Funding II, 1.625%, 4/2/15 (144A) 5,015,000 $5,052,799
MetroCat Re, Ltd., Floating Rate Note, 8/5/16 (Cat Bond) (144A) 1,250,000 $1,283,000
Metropolitan Life Global Funding I, 3.125%, 1/11/16 (144A) 690,000 $708,517
Metropolitan Life Global Funding I, Floating Rate Note, 7/15/16 (144A) 1,500,000 $1,509,404
MGM Resorts International, Term B Loan, 12/20/19 1,225,000 $1,222,091
Michaels Stores, Inc., Term B Loan, 1/28/20 982,500 $977,690
Micro Focus Us Inc 1st Lien Tl-B L + 4.25% 07oct21 1,650,000 $1,628,687
Microsemi Corp., Term Loan (2014), 3/14/21 131,461 $131,160
Milacron LLC, Term Loan, 3/28/20 687,803 $679,205
Mirror BidCo Corp., New Incremental Term Loan, 12/18/19 1,006,454 $1,001,212
Mizuho Bank, Ltd., Floating Rate Note, 4/16/17 (144A) 1,000,000 $997,846
Monitronics International, Inc., Term B Loan (2013), 3/23/18 982,774 $985,384
Morgan Stanley, 1.75%, 2/25/16 1,300,000 $1,309,992
Morgan Stanley, Floating Rate Note, 1/5/18 2,700,000 $2,709,984
Morgan Stanley, Floating Rate Note, 10/15/15 318,000 $318,779
Morgan Stanley, Floating Rate Note, 2/25/16 4,350,000 $4,387,584
Morgan Stanley, Floating Rate Note, 8/30/15 685,000 $697,123
Morgan Stanley ABS Capital I Inc Trust 2004-SD3, Floating Rate Note, 6/25/34 (144A) 41,830,000 $1,497,804
Morgan Stanley ABS Capital I Inc Trust 2005-HE3, Floating Rate Note, 7/25/35 95,000 $33,656
Morgan Stanley ABS Capital I Inc Trust 2005-HE6, Floating Rate Note, 11/25/35 160,000 $54,157
Morgan Stanley ABS Capital I Inc Trust 2005-NC2, Floating Rate Note, 3/25/35 2,854,027 $1,754,900
Morgan Stanley ABS Capital I Inc Trust 2005-WMC3, Floating Rate Note, 3/25/35 131,174 $63,585
Morgan Stanley Capital I Trust 2004-IQ8, Floating Rate Note, 6/15/40 3,830,000 $230,837
Morgan Stanley Capital I Trust 2005-HQ6, 4.989%, 8/13/42 7,550,000 $243,498
Morgan Stanley Capital I Trust 2005-HQ6 REMICS, Floating Rate Note, 8/13/42 2,900,000 $2,936,290
Morgan Stanley Capital I Trust 2005-IQ10, Floating Rate Note, 9/15/42 2,910,000 $2,043,796
Morgan Stanley Capital I Trust 2005-TOP19, 4.89%, 6/12/47 6,690,000 $3,931,693
Morgan Stanley Capital I Trust 2006-TOP21, Floating Rate Note, 10/12/52 1,960,000 $1,998,872
Morgan Stanley Mortgage Loan Trust 2005-5AR, Floating Rate Note, 9/25/35 38,687,000 $3,096,215
Morgan Stanley Mortgage Loan Trust 2005-6AR, Floating Rate Note, 11/25/35 6,309,000 $679,722
Morgan Stanley Mortgage Loan Trust 2005-6AR, Floating Rate Note, 11/25/35 14,045,000 $2,087,076
Morgan Stanley Re-REMIC Trust 2010-R4, Floating Rate Note, 7/26/36 (144A) 3,700,000 $75,734
Morgan Stanley Structured Trust, Floating Rate Note, 6/25/37 2,400,000 $249,897
MortgageIT Trust 2004-1, Floating Rate Note, 11/25/34 15,162,000 $1,990,724
MortgageIT Trust 2004-2, Floating Rate Note, 12/25/34 41,395,000 $6,232,681
MortgageIT Trust 2005-2, Floating Rate Note, 5/25/35 8,495,000 $1,575,783
Motor 2013-1 Plc, Floating Rate Note, 2/25/21 (144A) 2,946,000 $565,144
Motor Flt% 25jun22 15-1a-A1 2,600,000 $2,600,277
Mpg Holdco I Inc 1st Lien Tl-B L + 3.5% 13oct21 1,564,792 $1,573,098
MRFC Mortgage Pass-Through Trust Series 1999-TBC2 REMICS, Floating Rate Note, 6/15/30 34,427,303 $1,925,065
MRFC Mortgage Pass-Through Trust Series 2000-TBC3, Floating Rate Note, 12/15/30 24,150,000 $1,159,482
Mrk Flt% 10feb17 2,500,000 $2,502,653
Mufg Cp Zero% 04mar15 Usd 2,500,000 $2,499,952
MUFG Union Bank NA, Floating Rate Note, 9/26/16 6,200,000 $6,242,254
MultiCat Mexico, Ltd. 2012-I Class A, Floating Rate Note, 6/4/16 (Cat Bond) (144A) 1,750,000 $1,781,485
Multi Packaging Solutions, Inc., Initial Dollar Tranche B Term, 9/30/20 173,688 $172,819
Mystic Re, Ltd., Floating Rate Note, 3/12/15 (Cat Bond) (144A) 1,500,000 $1,530,600
Mystic Re, Ltd., Floating Rate Note, 3/12/15 (Cat Bond) (144A) 1,000,000 $1,015,450
Mythen Re, Ltd., Floating Rate Note, 5/7/15 (Cat Bond) (144A) 6,250,000 $6,335,158
Mythen Re, Ltd., Floating Rate Note, 5/7/15 (Cat Bond) (144A) 4,250,000 $4,312,854
Mythen Re, Ltd. Series 2012-2 Class A, Floating Rate Note, 1/5/17 (Cat Bond) (144A) 2,250,000 $2,407,105
Mythen Re, Ltd. Series 2012-2 Class A, Floating Rate Note, 11/10/16 (Cat Bond) (144A) 500,000 $535,509
Mythen Re, Ltd. Series 2013-1 Class B, Floating Rate Note, 7/9/15 (Cat Bond) (144A) 2,500,000 $2,578,528
National Australia Bank, Ltd., Floating Rate Note, 3/17/17 (144A) 1,950,000 $1,956,742
National City Bank Cleveland Ohio, Floating Rate Note, 12/15/16 2,850,000 $2,842,460
National Rural Utilities Cooperative Finance Corp., Floating Rate Note, 11/23/16 1,800,000 $1,801,861
National Rural Utilities Cooperative Finance Corp., Floating Rate Note, 5/1/15 2,720,000 $2,721,168
Nations Equipment Finance Funding II LLC, 1.558%, 7/20/18 (144A) 2,100,000 $1,481,984
Nationstar Home Equity Loan Trust 2007-A, Floating Rate Note, 3/25/37 1,000,000 $559,792
Navios Maritime Partners LP, Term Loan, 6/27/18 1,481,250 $1,484,027
Navitas Equipment Receivables LLC 2013-1, 1.95%, 11/15/16 1,750,000 $711,968
NBCUniversal Enterprise, Inc., Floating Rate Note, 4/15/16 (144A) 2,694,000 $2,705,220
NBTY, Inc., Term B-2 Loan, 10/1/17 400,000 $395,000
NCF Dealer Floorplan Master Trust, Floating Rate Note, 10/20/20 (144A) 3,000,000 $2,998,767
Ncl Corp Ltd 1st Lien Tl-B L + 3.25% 06nov21 1,000,000 $1,006,458
NCUA Guaranteed Notes Trust, Floating Rate Note, 10/7/20 2,000,000 $932,167
NCUA Guaranteed Notes Trust, Floating Rate Note, 11/6/17 6,590,000 $2,418,920
NCUA Guaranteed Notes Trust, Floating Rate Note, 12/8/20 410,000 $278,940
NCUA Guaranteed Notes Trust, Floating Rate Note, 3/11/20 2,035,000 $995,501
NCUA Guaranteed Notes Trust, Floating Rate Note, 4/6/20 5,835,000 $1,196,079
NCUA Guaranteed Notes Trust REMICS, Floating Rate Note, 12/8/20 1,330,000 $901,182
NCUA Guaranteed Notes Trust REMICS, Floating Rate Note, 3/2/21 2,700,000 $1,199,325
Nelnet Student Loan Trust 2005-1, Floating Rate Note, 10/26/20 1,795,000 $396,834
NEP, Amendment No. 3 Incremental Term Loan (First Lien), 1/22/20 614,117 $591,855
New Albertsons Inc 1st Lien Tl L + 3.75% 24jun21 498,750 $499,140
New Century Home Equity Loan Trust 2005-1, Floating Rate Note, 3/25/35 5,042,000 $803,694
NewStar Commercial Loan Trust 2007-1, Floating Rate Note, 9/30/22 (144A) 2,000,000 $949,419
New York Life Global Funding, 0.75%, 7/24/15 (144A) 3,550,000 $3,558,564
New York Life Global Funding, Floating Rate Note, 12/15/17 (144A) 6,650,000 $6,653,542
New York Life Global Funding, Floating Rate Note, 5/23/16 (144A) 3,150,000 $3,161,485
Nissan Auto Lease Trust 2013-B, Floating Rate Note, 1/15/16 760,000 $326,296
Nissan Auto Receivables 2012-A Owner Trust, 0.73%, 5/16/16 55,000 $7,872
Nissan Auto Receivables 2013-A Owner Trust, 0.5%, 5/15/17 3,400,000 $1,994,017
Nissan Auto Receivables 2013-C Owner Trust, 0.4%, 6/15/16 2,075,000 $606,193
Nissan Master Owner Trust Receivables, Floating Rate Note, 5/15/17 3,395,000 $3,397,263
Nissan Motor Acceptance Corp., Floating Rate Note, 3/3/17 (144A) 2,000,000 $2,009,740
Nissan Motor Acceptance Corp., Floating Rate Note, 9/26/16 (144A) 1,500,000 $1,511,015
Nn Inc 1st Lien Tl-B L + 5% 18jul21 1,232,143 $1,236,763
Nomura Asset Acceptance Corp Alternative Loan Trust Series 2004-AR4, Floating Rate Note, 12/25/34 1,170,000 $120,456
Nomura Asset Acceptance Corp Alternative Loan Trust Series 2005-WF1, 4.786%, 3/25/35 735,000 $42,888
Nomura Home Equity Loan Inc Home Equity Loan Trust Series 2006-HE1, Floating Rate Note, 2/25/36 1,700,000 $109,050
Noranda Aluminum Acquisition Corp., Term B Loan, 2/28/19 116,700 $110,379
Nordea Bank AB, 2.25%, 3/20/15 (144A) 3,100,000 $3,133,325
Nordea Bank AB, Floating Rate Note, 4/4/17 (144A) 890,000 $891,689
Nordea Bank AB, Floating Rate Note, 5/13/16 (144A) 2,700,000 $2,709,888
Nordea Bank Finland Plc New York, Floating Rate Note, 6/13/16 2,225,000 $2,227,497
Northshore Re, Ltd., Floating Rate Note, 7/5/16 (Cat Bond) (144A) 2,250,000 $2,355,931
NorthStar 2012-1 Mortgage Trust, Floating Rate Note, 8/27/29 (144A) 1,000,000 $1,002,663
NorthStar 2013-1, Floating Rate Note, 8/27/29 (144A) 2,784,000 $2,637,354
NovaStar Mortgage Funding Trust Series 2003-1, Floating Rate Note, 5/25/33 19,881,000 $405,584
NovaStar Mortgage Funding Trust Series 2004-4, Floating Rate Note, 3/25/35 1,150,000 $372,456
NovaStar Mortgage Funding Trust Series 2004-4, Floating Rate Note, 3/25/35 2,443,000 $2,401,183
NPC International, Inc., Term Loan, 12/28/18 155,600 $154,239
NRG Energy, Inc., 8.25%, 9/1/20 1,250,000 $1,383,516
NRG Energy, Inc., Term Loan (2013), 7/1/18 1,170,467 $1,170,375
NSG Holdings LLC, New Term Loan, 12/11/19 1,549,348 $1,539,664
NSTAR Electric Co., Floating Rate Note, 5/17/16 1,013,000 $1,012,080
Numericable Sfr 1st Lien Tl-B2 L + 3.75% 23apr20 231,923 $232,769
Numericable Us Llc 1st Lien Tl-B1 L + 3.75% 23apr20 268,077 $269,054
NYCTL 2014-A Trust, 1.03%, 11/10/27 (144A) 1,800,000 $893,800
Oak Hill Advisors Residential Loan Trust 2014-NPL1, 2.8828%, 5/25/54 (Step) (144A) 1,810,000 $1,196,174
OAK Hill Advisors Residential Loan Trust 2014-NPL2, 3.475%, 4/25/54 (Step) (144A) 3,490,000 $3,425,268
Ocwen Loan Servicing LLC, Initial Term Loan, 2/15/18 1,380,856 $1,325,191
Offshore Group Investment, Ltd., Second Term Loan, 3/28/19 158,784 $98,446
On Assignment, Inc., Initial Term B Loan, 5/15/20 1,037,113 $1,031,603
Opteum Mortgage Acceptance Corp Trust 2005-4, Floating Rate Note, 11/25/35 21,900,000 $3,966,281
Option One Mortgage Loan Trust 2005-1, Floating Rate Note, 2/25/35 10,220,000 $2,877,808
Option One Mortgage Loan Trust 2005-4 Asset-Backed Certificates Series 2005-4, Floating Rate Note, 1 20,500,508 $1,506,399
Option One Mortgage Loan Trust 2007-FXD2, 5.9%, 3/25/37 (Step) 810,000 $39,220
Option One Woodbridge Loan Trust 2002-1, Floating Rate Note, 3/25/32 (144A) 6,512,459 $1,068,338
Oracle Corp., Floating Rate Note, 7/7/17 1,937,000 $1,939,565
Orbital ATK, Inc., Term B Loan, 10/22/20 395,503 $396,409
ORES 2014-LV3 LLC, 3.0%, 3/27/24 (144A) 2,250,000 $1,367,400
ORES NPL 2013-LV2 LLC, 3.081%, 9/25/25 (144A) 1,558,000 $562,277
Origen Manufactured Housing Contract Trust 2004-B, Floating Rate Note, 11/15/35 1,240,000 $998,202
Oscar US Funding Trust 2014-1, 1.0%, 8/15/17 (144A) 2,500,000 $2,497,768
Outfront Media Capital LLC, Term Loan, 1/15/21 1,629,423 $1,621,530
Ownit Mortgage Loan Trust Series 2005-5, Floating Rate Note, 10/25/36 3,827,500 $600,145
PACCAR Financial Corp., Floating Rate Note, 5/5/15 2,000,000 $2,000,891
PACCAR Financial Corp., Floating Rate Note, 6/6/17 1,290,000 $1,289,513
Pangaea Zero% 01jul18 2,300,000 $2,486,300
Paragon Offshore Finance Co Tl-B L + 2.75% 11jul21 872,813 $648,965
Park Place Securities Inc Asset-Backed Pass-Through Certificates Series 2004-MCW, Floating Rate Note 1,150,000 $416,190
Park Place Securities Inc Asset-Backed Pass-Through Certificates Series 2004-WCW, Floating Rate Note 2,800,000 $1,251,846
Park Place Securities Inc Asset-Backed Pass-Through Ctfs Ser 2004-WCW2, Floating Rate Note, 10/25/34 4,874,309 $55,412
Park Place Securities Inc Asset-Backed Pass-Through Ctfs Ser 2004-WHQ2, Floating Rate Note, 2/25/35 3,100,000 $1,629,666
Park Place Securities Inc Asset-Backed Pass-Through Ctfs Ser 2005-WHQ4, Floating Rate Note, 9/25/35 8,206,169 $2,215,933
Park Place Securities Inc Asset-Backed Pass-Through Ctfs Ser 2005-WHQ4, Floating Rate Note, 9/25/35 6,230,000 $282,767
Par Pharmaceutical Companies, Inc., Term B-2 Loan, 9/28/19 1,469,836 $1,465,242
Par Pharmaceutical Cos Inc 1st Lien Tl-B3 L + 3.25% 28sep19 500,000 $500,158
Pelican Re, Ltd., Floating Rate Note, 4/13/15 (Cat Bond) (144A) 2,000,000 $2,088,839
Pepper Residential Securities Trust, Floating Rate Note, 4/10/15 (144A) 2,000,000 $2,000,404
Pepper Residential Securities Trust, Floating Rate Note, 7/24/15 (144A) 2,000,000 $2,001,017
PepsiCo, Inc., Floating Rate Note, 2/26/16 3,460,000 $3,463,468
Permanent Master Issuer Plc, Floating Rate Note, 7/15/42 (144A) 887,000 $890,845
PF Chang's China Bistro, Inc., Term Borrowing, 6/22/19 837,121 $814,100
Pfizer, Inc., Floating Rate Note, 5/15/17 2,100,000 $2,100,091
PFS Financing Corp., Floating Rate Note, 10/15/19 (144A) 1,400,000 $1,399,624
PFS Financing Corp., Floating Rate Note, 10/15/19 (144A) 1,700,000 $1,699,312
PFS Financing Corp., Floating Rate Note, 2/15/18 (144A) 3,240,000 $3,240,456
PFS Financing Corp., Floating Rate Note, 2/15/19 (144A) 3,490,000 $3,486,918
PFS Tax Lien Trust 2014-1, 1.44%, 5/15/29 1,300,000 $1,011,389
PHARMEDIUM HEALTHCARE Corp., Initial Term Loan (First Lien), 1/23/21 255,975 $253,415
Pilot Travel Centers Llc 1st Lien Tl-B L + 3.25% 01oct21 74,541 $75,085
Pinnacle Entertainment, Inc., Tranche B-2 Term Loan, 8/13/20 195,562 $195,348
Pinnacle Foods Finance LLC, New Term Loan G, 4/29/20 1,158,833 $1,156,225
PNC Bank NA, Floating Rate Note, 1/28/16 2,250,000 $2,254,020
PNC Bank NA, Floating Rate Note, 4/29/16 3,268,000 $3,269,278
Post Holdings Inc 1st Lien Tl-B L + 3% 23may21 995,000 $996,990
PQ Corp., 2014 Term Loan, 8/7/17 931,000 $929,190
Prestige Auto Receivables Trust 2013-1, 1.33%, 5/15/19 (144A) 350,000 $350,823
Prestige Auto Receivables Trust 2014-1, 0.97%, 3/15/18 (144A) 2,395,000 $1,621,213
Prestige Brands, Inc., Term B-1 Loan, 1/31/19 435,422 $435,966
Prestige Brands, Inc., Term B-2 Loan, 8/18/21 558,333 $559,869
Pricoa Global Funding I, Floating Rate Note, 5/16/16 (144A) 1,500,000 $1,499,897
Principal Life Global Funding II, 1.0%, 12/11/15 (144A) 1,270,000 $1,278,619
Principal Life Global Funding II, Floating Rate Note, 5/27/16 (144A) 2,530,000 $2,539,812
Progreso Receivables Funding II LLC, 3.5%, 7/8/19 (144A) 4,750,000 $4,762,205
Progreso Receivables Funding I LLC, 3.625%, 1/30/25 (144A) 3,050,000 $3,058,599
Progreso Receivables Funding I LLC, 4.0%, 7/9/18 (144A) 2,800,000 $2,823,722
Progressive Waste Solutions, Ltd., Term B Loan, 10/24/19 1,170,090 $1,177,647
Progress Residential 2015-SFR1 Trust, Floating Rate Note, 2/17/32 (144A) 3,000,000 $3,023,151
Province of Ontario Canada, Floating Rate Note, 4/1/15 1,800,000 $1,801,344
PVH Corp., Tranche B Term Loan, 2/13/20 1,112,487 $1,119,671
Quebecor Media, Inc., Facility B-1 Tranche, 8/17/20 496,222 $487,228
Queen City Re, Floating Rate Note, 1/6/19 (Cat Bond) (144A) 1,750,000 $1,754,127
Queen Street IV Capital, Ltd., Floating Rate Note, 4/9/15 (Cat Bond) (144A) 2,250,000 $2,289,525
Queen Street VII Re, Ltd., Floating Rate Note, 4/8/16 (Cat Bond) (144A) 1,750,000 $1,836,353
Queen Street VI Re, Ltd., Floating Rate Note, 4/9/15 (Cat Bond) (144A) 250,000 $256,438
Queen Street V Re, Ltd., Floating Rate Note, 4/9/15 (Cat Bond) (144A) 1,750,000 $1,785,797
Quest Trust REMICS, Floating Rate Note, 3/25/34 (144A) 95,089,092 $3,475,734
Quikrete Holdings, Inc., Initial Loan (First Lien), 9/26/20 852,173 $849,616
RAAC Series 2005-RP1 Trust, Floating Rate Note, 7/25/37 (144A) 2,130,580 $1,056,848
RAAC Series 2005-RP2 Trust, Floating Rate Note, 6/25/35 (144A) 4,005,000 $497,023
RAAC Series 2005-RP3 Trust, Floating Rate Note, 5/25/39 (144A) 2,000,000 $1,318,809
RAAC Series 2006-RP1 Trust, Floating Rate Note, 10/25/45 (144A) 15,300,000 $381,352
RAAC Series 2006-RP2 Trust, Floating Rate Note, 2/25/37 (144A) 26,822,396 $2,315,805
RAIT 2014-FL2 Trust, Floating Rate Note, 5/15/31 (144A) 5,200,000 $5,142,097
RAIT 2014-FL3 Trust, Floating Rate Note, 12/15/31 (144A) 3,540,000 $3,492,914
RALI Series 2002-QS16 Trust, Floating Rate Note, 10/25/17 5,500,000 $81,056
RALI Series 2003-QS10 Trust, Floating Rate Note, 5/25/33 38,865,000 $721,613
RALI Series 2003-QS11 Trust, Floating Rate Note, 6/25/33 44,273,266 $1,938,755
RALI Series 2003-QS22 Trust, Floating Rate Note, 12/26/33 8,400,000 $843,696
RALI Series 2003-QS5 Trust, Floating Rate Note, 3/25/18 30,000,000 $869,144
RALI Series 2003-QS9 Trust, Floating Rate Note, 5/25/18 34,469,500 $1,179,344
RALI Series 2004-QR1 Trust, 5.25%, 10/25/34 66,901,390 $668,233
RALI Series 2004-QS1 Trust, 4.25%, 1/25/34 4,500,000 $1,197
RALI Series 2004-QS1 Trust, Floating Rate Note, 1/25/34 4,000,000 $9,271
RALI Series 2004-QS5 Trust, 4.75%, 4/25/34 12,155,000 $571,005
RALI Series 2004-QS5 Trust, Floating Rate Note, 4/25/34 9,566,021 $446,535
Ramp Flt% 25nov35 05-Rz4-A3 5,095,050 $3,888,842
RAMP Series 2004-RS11 Trust, Floating Rate Note, 11/25/34 3,805,000 $998,402
RAMP Series 2004-RZ1 Trust, Floating Rate Note, 3/25/34 4,080,000 $335,072
RAMP Series 2005-EFC4 Trust, Floating Rate Note, 9/25/35 1,060,000 $304,998
RAMP Series 2005-RS6 Trust, Floating Rate Note, 6/25/35 1,393,325 $669,794
RAMP Series 2006-NC1 Trust, Floating Rate Note, 1/25/36 6,100,000 $298,416
RAMP Series 2006-RZ3 Trust, Floating Rate Note, 10/25/35 10,534,000 $2,217,649
Rasc Flt% 25jun35 05-Ks5-M3 1,500,000 $628,045
RASC Series 2004-KS10 Trust, Floating Rate Note, 11/25/34 82,085,000 $2,264,927
RASC Series 2005-EMX2 Trust, Floating Rate Note, 7/25/35 157,752 $10,669
RASC Series 2005-KS3 Trust, Floating Rate Note, 4/25/35 829,000 $185,082
Raymond James Financial, Inc., 4.25%, 4/15/16 7,409,000 $7,825,981
RBS Greenwich Capital Mortgage Loan Trust, Floating Rate Note, 4/15/24 (144A) 1,150,000 $1,156,233
RBSSP Resecuritization Trust 2009-5, Floating Rate Note, 8/25/37 (144A) 7,810,000 $2,425,093
Regatta Funding, Ltd., Floating Rate Note, 6/15/20 (144A) 2,000,000 $775,881
RegionalCare Hospital Partners, Inc., Term Loan (First Lien), 4/21/19 491,294 $493,443
RENT-A-CENTER, INC, Term Loan (2014), 2/6/21 1,736,875 $1,702,138
Residential Asset Securitization Trust 2003-A15, Floating Rate Note, 2/25/34 10,120,000 $566,577
Residential Asset Securitization Trust 2003-A2, Floating Rate Note, 5/25/33 9,443,647 $349,112
Residential Reinsurance 2011, Ltd., Floating Rate Note, 12/6/16 (Cat Bond) (144A) 1,450,000 $1,500,359
Residential Reinsurance 2011, Ltd., Floating Rate Note, 6/6/15 (Cat Bond) (144A) 1,750,000 $1,814,575
Residential Reinsurance 2011, Ltd., Floating Rate Note, 6/6/17 (Cat Bond) (144A) 1,500,000 $1,559,058
Residential Reinsurance 2012, Ltd., Floating Rate Note, 12/6/16 (Cat Bond) (144A) 2,900,000 $3,001,645
Residential Reinsurance 2012, Ltd., Floating Rate Note, 12/6/16 (Cat Bond) (144A) 1,500,000 $1,570,796
Residential Reinsurance 2012, Ltd., Floating Rate Note, 12/6/16 (Cat Bond) (144A) 1,000,000 $1,108,642
Residential Reinsurance 2012, Ltd., Floating Rate Note, 6/6/16 (Cat Bond) (144A) 750,000 $809,375
Residential Reinsurance 2012, Ltd., Floating Rate Note, 6/6/16 (Cat Bond) (144A) 900,000 $986,020
Residential Reinsurance 2013, Ltd., Floating Rate Note, 6/6/17 (Cat Bond) (144A) 850,000 $917,464
Residential Reinsurance 2014, Ltd., Floating Rate Note, 6/6/18 (Cat Bond) (144A) 750,000 $762,725
RESI Finance LP 2003-CB1, Floating Rate Note, 7/9/35 7,815,000 $1,959,418
Resi Flt% 12dec45 A1 3,000,000 $2,707,800
Resimac MBS Trust, Floating Rate Note, 3/7/15 (144A) 1,500,000 $1,500,380
Resource Capital Corp 2014-CRE2, Ltd., Floating Rate Note, 4/15/32 (144A) 4,920,000 $4,891,935
Resource Capital Corp CRE Notes 2013, Ltd., Floating Rate Note, 6/15/16 (144A) 3,000,000 $3,005,342
Revlon Consumer Products Corp., Acquisition Term Loan, 8/19/19 371,250 $371,598
Revlon Consumer Products Corp., Replacement Term Loan, 11/19/17 976,136 $973,086
Reynolds Group Holdings, Inc., Incremental U.S. Term Loan, 12/31/18 785,308 $789,088
RFSC Series 2003-RP2 Trust, Floating Rate Note, 7/25/41 (144A) 2,000,000 $468,110
Rialto Capital Management LLC, 2.85%, 5/15/24 (144A) 2,000,000 $533,911
Rio Tinto Finance USA Plc, Floating Rate Note, 6/17/16 1,130,000 $1,135,227
Riverfront Re, Ltd., Floating Rate Note, 1/6/17 (Cat Bond) (144A) 1,000,000 $1,005,156
Rovi Solutions Corp 1st Lien Tl-B L + 3% 02jul21 1,020,899 $1,013,242
Royal Bank of Canada, 0.8%, 10/30/15 1,300,000 $1,306,269
Royal Bank of Canada, 1.15%, 3/13/15 2,532,000 $2,545,877
Royal Bank of Canada, Floating Rate Note, 1/23/17 1,875,000 $1,879,213
Royal Bank of Canada, Floating Rate Note, 12/16/15 1,800,000 $1,804,375
Royal Bank of Canada, Floating Rate Note, 6/16/17 2,200,000 $2,198,670
Royal Bank of Canada, Floating Rate Note, 9/9/16 2,000,000 $2,010,668
RPI Finance Trust, Term B-2 Term Loan, 5/9/18 1,012,106 $1,016,787
RPI Finance Trust, Term B-3 Term Loan, 11/9/18 622,351 $625,074
Salix Pharmaceuticals, Ltd., Term Loan, 12/17/19 427,500 $427,807
Salomon Brothers Mortgage Securities VII, Inc., Floating Rate Note, 3/25/28 49,537,000 $65,487
Salomon Mortgage Loan Trust Series 2001-CB4, Floating Rate Note, 11/25/33 4,754,000 $120,154
Samson Investment Co., Tranche 1 Term Loan (Second Lien), 9/25/18 71,233 $45,456
Sanders Re, Ltd., Floating Rate Note, 5/25/18 (Cat Bond) (144A) 1,000,000 $993,033
Sanders Re, Ltd., Floating Rate Note, 5/5/17 (Cat Bond) (144A) 2,500,000 $2,501,597
Sanders Re, Ltd., Floating Rate Note, 5/5/17 (Cat Bond) (144A) 1,250,000 $1,256,681
Sanders Re, Ltd., Floating Rate Note, 6/7/17 (Cat Bond) (144A) 2,000,000 $2,028,267
Santander Drive Auto Receivables Trust 2011-2, 3.28%, 6/15/16 2,265,000 $252,811
SASCO Mortgage Loan Trust 2005-GEL1, Floating Rate Note, 12/25/34 1,590,000 $1,049,160
SASCO Mortgage Loan Trust 2005-GEL2, Floating Rate Note, 4/25/35 28,476,673 $388,676
Saxon Asset Securities Trust 2005-3, Floating Rate Note, 11/25/35 1,945,000 $1,790,361
Saxon Asset Securities Trust 2005-4, Floating Rate Note, 11/25/37 31,986,000 $1,326,770
SBA Senior Finance II LLC, Incremental Tranche B-1 Term Loan, 3/31/21 597,000 $594,139
SBI Home Equity Loan Trust 2006-1, Floating Rate Note, 8/25/36 (144A) 2,950,000 $859,322
Schaeffler (Aka Ina Beteiligungsge 1st Lien Tl-B L + 3.5% 15may20 1,683,943 $1,698,226
Scientific Games International Inc 1st Lien Tl-B2 L + 5% 17sep21 2,000,000 $1,999,876
Seadrill Operating LP, Initial Term Loan, 2/14/21 2,722,500 $2,209,600
Sector Re V, Ltd., 0.0%, 12/1/19 (Cat Bond) (144A) 500,000 $509,100
Select Medical Corp., Series E Tranche B Term Loan, 6/1/18 236,016 $236,311
Selene Non-Performing Loans LLC, 2.9814%, 5/25/54 (Step) (144A) 3,530,000 $3,369,470
Seminole Hard Rock Entertainment, Inc., New Term Loan B, 5/14/20 591,000 $585,090
Sensata Technologies BV, Term Loan, 5/12/18 527,437 $529,232
Sensata Technologies Bv 1st Lien Tl-B2 L + 2.75% 08oct21 1,496,250 $1,505,228
Sequoia Mortgage Trust 10, Floating Rate Note, 10/20/27 6,100,000 $110,273
Sequoia Mortgage Trust 2003-2, Floating Rate Note, 6/20/33 13,097,000 $461,648
Sequoia Mortgage Trust 2003-5, Floating Rate Note, 9/20/33 52,500,000 $2,322,734
Sequoia Mortgage Trust 2003-8, Floating Rate Note, 1/20/34 5,750,000 $262,159
Sequoia Mortgage Trust 2004-10, Floating Rate Note, 11/20/34 5,055,000 $508,769
Sequoia Mortgage Trust 2004-12 REMICS, Floating Rate Note, 1/20/35 2,000,000 $136,723
Sequoia Mortgage Trust 2004-7, Floating Rate Note, 8/20/34 7,500,000 $321,538
Sequoia Mortgage Trust 2005-1, Floating Rate Note, 2/20/35 31,769,748 $2,918,508
Sequoia Mortgage Trust 2005-2, Floating Rate Note, 3/20/35 5,275,000 $482,225
Sequoia Mortgage Trust 4, Floating Rate Note, 11/22/24 6,940,000 $174,004
Serta Simmons Holdings LLC, Term Loan, 10/1/19 330,711 $330,689
Shbass 0.185% 19mar15 2,640,000 $2,641,217
Shbass Flt% 17aug16 2,500,000 $2,501,030
Shell International Finance BV, Floating Rate Note, 11/15/16 1,500,000 $1,503,196
Ship Midco, Ltd., Facility B2A-II, 11/29/19 78,745 $78,975
Silver Bay Realty 2014-1 Trust, Floating Rate Note, 9/18/31 (144A) 3,778,000 $3,756,308
Sinclair Broadcasting 1st Lien Tl-B1 L + 2.75% 22jul21 1,000,000 $996,500
Sinclair Television Group, Inc., New Tranche B Term Loan, 4/19/20 1,334,952 $1,317,988
Sirius International Group, Ltd., Floating Rate Note (Perpetual) (144A) 1,150,000 $1,221,887
Six Flags Theme Parks, Inc., Tranche B Term Loan, 12/20/18 729,765 $733,414
Skandinaviska Enskilda Banken AB New York NY, Floating Rate Note, 9/21/15 2,500,000 $2,505,239
Small Business Administration Participation Certificates, 0.58%, 10/17/16 (144A) 900,000 $900,159
SMART Trust/Australia, 1.59%, 10/14/16 (144A) 1,550,000 $622,027
SMART Trust/Australia, Floating Rate Note, 1/17/17 2,500,000 $1,931,924
SMART Trust/Australia, Floating Rate Note, 8/15/16 1,500,000 $953,742
SMART Trust/Australia, Floating Rate Note, 9/14/16 1,785,000 $985,388
SMHL Global Fund 2007-1, Floating Rate Note, 6/12/40 1,100,000 $87,245
SNAAC Auto Receivables Trust, 4.38%, 6/15/17 (144A) 1,800,000 $851,649
SNAAC Auto Receivables Trust 2013-1, 1.14%, 7/16/18 (144A) 1,823,000 $86,089
SNAAC Auto Receivables Trust 2014-1, 1.03%, 9/17/18 (144A) 839,000 $406,950
Soundview Home Loan Trust 2005-DO1, Floating Rate Note, 5/25/35 2,000,000 $1,817,087
Soundview Home Loan Trust 2005-OPT4, Floating Rate Note, 12/25/35 2,967,970 $735,881
Southwire Co., Initial Term Loan, 1/31/21 1,067,311 $1,047,299
Specialty Underwriting & Residential Finance Trust Series 2005-AB2, Floating Rate Note, 6/25/36 1,500,000 $477,319
Specialty Underwriting & Residential Finance Trust Series 2006-BC1, Floating Rate Note, 12/25/36 3,000,000 $327,249
Specialty Underwriting & Residential Finance Trust Series 2006-BC1, Floating Rate Note, 12/25/36 3,640,376 $3,524,868
Spectrum Brands, Inc., Tranche C Term Loan, 8/13/19 296,250 $296,472
Spirit AeroSystems, Inc., Term Loan B, 9/30/20 1,328,944 $1,327,947
Springleaf Funding Trust 2013-A, 2.58%, 9/15/21 (144A) 2,100,000 $2,014,571
Springleaf Mortgage Loan Trust 2012-3, Floating Rate Note, 12/26/59 (144A) 1,000,000 $435,281
Stanwich Mortgage Loan Trust, 2.9814%, 2/16/43 (144A) 3,025,000 $559,715
Starwood Property Mortgage Trust 2013-FV1, Floating Rate Note, 8/11/28 (144A) 2,495,000 $2,336,763
Starwood Property Trust, Inc., Term Loan (First Lien), 4/17/20 1,586,043 $1,566,218
State Street Bank & Trust Co., Floating Rate Note, 12/8/15 4,940,000 $4,940,798
State Street Corp., 2.875%, 3/7/16 2,500,000 $2,591,501
Steward Health Care System LLC, Term Loan, 4/10/20 985,000 $980,371
Stlno Flt% 09nov17 2,140,000 $2,134,136
Structured Adjustable Rate Mortgage Loan Trust, Floating Rate Note, 11/25/34 7,430,000 $719,623
Structured Adjustable Rate Mortgage Loan Trust, Floating Rate Note, 11/25/34 62,595,000 $3,021,442
Structured Adjustable Rate Mortgage Loan Trust, Floating Rate Note, 3/25/34 3,865,000 $565,962
Structured Adjustable Rate Mortgage Loan Trust, Floating Rate Note, 3/25/34 8,200,000 $450,207
Structured Adjustable Rate Mortgage Loan Trust, Floating Rate Note, 6/25/34 20,600,000 $2,292,455
Structured Adjustable Rate Mortgage Loan Trust, Floating Rate Note, 6/25/35 3,880,000 $40,611
Structured Asset Investment Loan Trust 2005-6, Floating Rate Note, 7/25/35 2,600,000 $2,184,425
Structured Asset Investment Loan Trust 2006-1, Floating Rate Note, 1/25/36 4,650,000 $1,015,575
Structured Asset Mortgage Investments II Trust 2004-AR1, Floating Rate Note, 3/19/34 16,800,000 $818,141
Structured Asset Mortgage Investments II Trust 2004-AR5, Floating Rate Note, 10/19/34 23,000,000 $1,033,289
Structured Asset Mortgage Investments II Trust 2004-AR8, Floating Rate Note, 5/19/35 83,350,000 $4,243,143
Structured Asset Mortgage Investments Trust 2002-AR5, Floating Rate Note, 5/19/33 36,301,000 $1,763,347
Structured Asset Sec Corp Mort Pass Thr Certs Series 1998-8, Floating Rate Note, 8/25/28 8,825,000 $371,658
Structured Asset Securities Corp Mor Cer Ser 2003-31A, Floating Rate Note, 10/25/33 1,991,000 $208,141
Structured Asset Securities Corp Mortgage Loan Trust 2005-S7, Floating Rate Note, 12/25/35 (144A) 11,868,000 $1,513,076
Structured Asset Securities Corp Mortgage Loan Trust 2006-EQ1, Floating Rate Note, 7/25/36 5,000,000 $2,675,616
Structured Asset Securities Corp Mortgage Loan Trust 2006-GEL4, Floating Rate Note, 10/25/36 (144A) 5,557,000 $1,910,451
Structured Asset Securities Corp Mortgage Loan Trust 2007-BC3, Floating Rate Note, 6/25/37 3,500,000 $56,650
Structured Asset Securities Corp Mortgage Loan Trust 2007-TC1, Floating Rate Note, 4/25/31 (144A) 3,000,000 $986,533
Structured Asset Securities Corp Mortgage Pass-Through Certificates Ser 2004-S4, Floating Rate Note, 2,000,000 $267,002
Structured Asset Securities Corp Mortgage Pass-Through Ctfs Ser 2003-24A, Floating Rate Note, 7/25/3 8,050,000 $951,685
Structured Asset Securities Corp Mortgage Pass Through Ctfs Series 2003-35, Floating Rate Note, 12/2 2,500,000 $138,064
Structured Asset Securities Corp Trust 2005-14, Floating Rate Note, 7/25/35 3,899,641 $365,760
Sumitomo Mitsui Banking Corp., Floating Rate Note, 7/19/16 1,500,000 $1,507,434
Sumitomo Mitsui Banking Corp. New York, Floating Rate Note, 4/1/15 1,000,000 $1,001,203
Sumitomo Mitsui Trust Bank, Ltd., Floating Rate Note, 9/16/16 (144A) 1,500,000 $1,511,105
Sunset Mortgage Loan Co 2014-NPL2 LLC, 3.721%, 11/16/44 (Step) (144A) 3,070,000 $2,967,916
SunTrust Bank, Floating Rate Note, 2/15/17 3,645,000 $3,641,582
SunTrust Bank, Floating Rate Note, 4/1/15 5,390,000 $5,394,554
Surf Flt% 25jun36 05-Ab2-A1d 18,964,000 $786,454
Svenska Handelsbanken AB, Floating Rate Note, 3/21/16 3,625,000 $3,644,581
Svenska Handelsbanken AB, Floating Rate Note, 9/23/16 3,650,000 $3,670,111
SWAY Residential 2014-1 Trust, Floating Rate Note, 1/20/32 (144A) 2,900,000 $2,870,712
Swift Transportation Co Llc 1st Lien Tl-B L + 3% 09jun21 339,862 $340,021
Synchrony Credit Card Master Note Trust, 1.51%, 6/15/18 849,000 $851,033
Synchrony Credit Card Master Note Trust, 3.69%, 3/15/18 1,600,000 $1,604,658
Synchrony Credit Card Master Note Trust, Floating Rate Note, 6/15/18 3,600,000 $3,600,419
Syncreon Group BV, Term Loan, 9/26/20 198,000 $195,525
Syniverse Holdings, Inc., Tranche B Term Loan, 4/23/19 727,141 $715,628
TAL Advantage I LLC, Floating Rate Note, 4/20/21 (144A) 1,250,000 $144,878
TAL Advantage V LLC, 1.7%, 5/20/39 (144A) 1,400,000 $1,120,979
Tar Heel Re, Ltd., Floating Rate Note, 5/9/16 (Cat Bond) (144A) 1,500,000 $1,586,483
Telesat Canada, U.S. Term B-2 Loan, 3/28/19 660,424 $660,556
Tempur Sealy International, Inc., New Term B Loan, 3/18/20 425,614 $425,526
Terex Corp., U.S. Term Loan, 8/13/21 308,783 $310,230
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 $719,275
Terwin Mortgage Trust Series TMTS 2005-10HE, Floating Rate Note, 6/25/36 4,068,753 $2,853,109
Tesoro Corp., Initial Term Loan, 5/30/16 795,000 $799,949
Texas Competitive Electric Holdings Co LLC, DIP Delayed Draw Term Loan (2014), 5/5/16 1,595,935 $1,606,109
The Bank of New York Mellon Corp., 2.5%, 1/15/16 835,000 $852,796
The Bank of New York Mellon Corp., 2.95%, 6/18/15 2,400,000 $2,431,755
The Bank of New York Mellon Corp., Floating Rate Note, 10/23/15 3,533,000 $3,539,006
The Bank of New York Mellon Corp., Floating Rate Note, 3/4/16 3,275,000 $3,284,186
The Bank of Nova Scotia, Floating Rate Note, 12/13/16 1,800,000 $1,807,553
The Bank of Nova Scotia, Floating Rate Note, 3/15/16 2,000,000 $2,009,396
The Bank of Nova Scotia, Floating Rate Note, 7/15/16 1,500,000 $1,508,774
The Bank of Tokyo-Mitsubishi UFJ, Ltd., Floating Rate Note, 3/10/17 (144A) 1,000,000 $1,000,635
The Bank of Tokyo-Mitsubishi UFJ, Ltd., Floating Rate Note, 9/8/17 (144A) 2,525,000 $2,519,337
The Bear Stearns Companies LLC, Floating Rate Note, 11/21/16 2,465,000 $2,462,590
The Charles Schwab Corp., 0.85%, 12/4/15 1,555,000 $1,562,113
The Coca-Cola Co., Floating Rate Note, 3/5/15 850,000 $850,432
The Connecticut Light & Power Co., 5.0%, 4/1/15 1,200,000 $1,228,506
The Geo Group, Inc., Term Loan, 4/3/20 984,969 $981,891
The Goldman Sachs Group, Inc., 1.6%, 11/23/15 3,422,000 $3,457,682
The Goldman Sachs Group, Inc., 3.7%, 8/1/15 2,400,000 $2,435,213
The Goldman Sachs Group, Inc., Floating Rate Note, 3/22/16 4,300,000 $4,304,363
The Goldman Sachs Group, Inc., Floating Rate Note, 7/22/15 1,300,000 $1,301,098
The Goodyear Tire & Rubber Co., Loan (Second Lien), 4/30/19 666,667 $670,209
The Hertz Corp., Tranche B-1 Term Loan, 3/11/18 735,000 $734,771
The Huntington National Bank, Floating Rate Note, 4/24/17 2,000,000 $1,998,421
The Manitowoc Co, Inc., Term B Loan, 12/18/20 71,613 $71,501
The PNC Financial Services Group, Inc., Floating Rate Note (Perpetual) 1,500,000 $1,505,057
The Procter & Gamble Co., 1.8%, 11/15/15 2,950,000 $2,992,512
The Toronto-Dominion Bank, Floating Rate Note, 5/1/15 5,695,000 $5,698,693
The Toronto-Dominion Bank, Floating Rate Note, 5/2/17 2,000,000 $2,000,102
The Toronto-Dominion Bank, Floating Rate Note, 7/8/16 1,320,000 $1,321,707
The Toronto-Dominion Bank, Floating Rate Note, 9/9/16 1,000,000 $1,005,636
Thornburg Mortgage Securities Trust 2004-4, Floating Rate Note, 12/25/44 4,235,000 $658,979
TI Group Automotive Systems LLC, Term Loan Facility, 7/1/21 635,098 $635,627
TMS International Corp., Term B Loan, 10/2/20 148,500 $141,075
TORONTO-DOMINION BANK, Floating Rate Note, 11/6/15 4,025,000 $4,030,547
Total Capital Canada, Ltd., Floating Rate Note, 1/15/16 3,355,000 $3,367,300
Tower Automotive Holdings USA LLC, Refinancing Term Loan, 4/23/20 188,956 $188,799
Toyota Auto Receivables 2013-B Owner Trust, 0.48%, 2/15/16 2,390,000 $261,239
Toyota Auto Receivables 2014-C Owner Trust, 0.51%, 2/15/17 1,770,000 $1,769,916
Toyota Flt% 16may17 989,000 $987,964
Toyota Motor Credit Corp., 0.75%, 3/3/17 (Step) 2,250,000 $2,249,328
Toyota Motor Credit Corp., 0.875%, 7/17/15 1,200,000 $1,204,129
Toyota Motor Credit Corp., Floating Rate Note, 5/17/16 2,800,000 $2,807,871
Toyota Motor Credit Corp., Floating Rate Note, 9/18/15 2,300,000 $2,303,404
Trade MAPS 1, Ltd., Floating Rate Note, 12/10/18 (144A) 3,079,000 $3,081,324
Tradewynd Re, Ltd., Floating Rate Note, 1/8/18 (Cat Bond) (144A) 750,000 $753,750
Trafigura Securitisation Finance Plc, Floating Rate Note, 10/15/15 (144A) 1,556,000 $1,560,250
Trafigura Securitisation Finance Plc, Floating Rate Note, 10/15/15 (144A) 1,537,000 $1,541,530
Trafigura Securitisation Finance Plc. 2014-1, Floating Rate Note, 4/16/18 (144A) 1,400,000 $1,401,082
Tramline Re II, Ltd., Floating Rate Note, 1/4/19 (Cat Bond) (144A) 250,000 $254,900
TransCanada PipeLines, Ltd., Floating Rate Note, 6/30/16 3,544,000 $3,561,114
TransDigm, Inc., Tranche C Term Loan, 2/28/20 320,101 $319,234
Tribune Media Co., Initial Term Loan, 11/20/20 2,116,251 $2,120,219
Trimaran CLO V, Ltd., Floating Rate Note, 3/15/18 (144A) 1,500,000 $185,944
Triton Container Finance LLC, Floating Rate Note, 2/26/19 (144A) 1,287,000 $13,406
Tronox Pigments BV, New Term Loan, 3/19/20 384,383 $384,671
Truman Capital Mortgage Loan Trust, Floating Rate Note, 1/25/34 925,000 $807,214
Truven Health Analytics, Inc., New Tranche B Term Loan, 6/6/19 341,296 $336,390
Tyco Electronics Group SA, Floating Rate Note, 1/29/16 2,400,000 $2,400,483
U.S. Treasury Floating Rate Note, 0.090001011%, 7/31/16 19,740,000 $19,740,260
Unbc Flt% 09feb18 2,425,000 $2,429,462
Unifrax I LLC, New Term B Dollar Loan, 11/28/18 976,649 $971,358
United Airlines, Inc., Class B Term Loan, 4/1/19 245,625 $244,796
United Airlines Inc 1st Lien Tl-B L + 3% 07aug21 997,500 $996,409
United Auto Credit Securitization Trust 2013-1, 1.74%, 4/15/16 (144A) 1,900,000 $224,576
United Auto Credit Securitization Trust 2014-1, 0.74%, 6/15/16 (144A) 3,000,000 $3,000,799
United States Treasury Floating Rate Note, Floating Rate Note, 10/31/16 20,100,000 $20,091,497
United Technologies Corp., Floating Rate Note, 6/1/15 1,965,000 $1,970,794
Univision Communications, Inc., Replacement First-Lien Term Loan, 3/1/20 663,175 $662,398
Ursa Re, Ltd., Floating Rate Note, 12/7/17 (Cat Bond) (144A) 1,100,000 $1,100,440
US Bancorp, 2.45%, 7/27/15 2,620,000 $2,648,041
US Bank NA Cincinnati Ohio, Floating Rate Note, 1/26/18 2,600,000 $2,600,497
US Bank NA Cincinnati Ohio, Floating Rate Note, 1/30/17 2,025,000 $2,027,161
US Bank NA Cincinnati Ohio, Floating Rate Note, 4/22/16 2,000,000 $2,001,016
USI, Inc. New York, Initial Term Loan 2013, 12/30/19 1,087,904 $1,080,425
Valeant Pharmaceuticals International, Inc., Series C-2 Tranche B Term Loan, 12/11/19 511,676 $511,356
Valeant Pharmaceuticals International, Inc., Series D2 Term Loan B, 2/13/19 213,198 $213,065
Valeant Pharmaceuticals International, Inc., Series E1 Tranche B Term Loan, 8/5/20 1,313,724 $1,312,658
Vantiv LLC, Term B Loan, 6/12/21 958,661 $958,062
Velocity Commercial Capital Loan Trust 2014-1, Floating Rate Note, 9/25/44 (144A) 3,200,000 $2,905,866
Ventr Flt% 28feb24 12-12a-Ax 1,500,000 $1,128,046
Vericrest Opportunity Loan Transferee 2014-NPL4 LLC, 3.125%, 4/27/54 (Step) (144A) 6,000,000 $4,907,011
Verint Systems, Inc., Tranche B Incremental Term Loan, 9/6/19 325,732 $325,569
Verizon Communications, Inc., 0.7%, 11/2/15 3,300,000 $3,309,839
Verizon Communications, Inc., Floating Rate Note, 9/15/16 6,355,000 $6,487,640
Vers 2015-A Zero% 31dec17 2,500,000 $2,519,500
VFC 2014-2 LLC, 2.75%, 7/20/30 (144A) 3,510,000 $2,094,397
Virgin Media Investment Holdings, Ltd., B Facility, 6/8/20 2,205,000 $2,203,106
Visteon Corp Term B 1st Lien Dd L + 2.75% 08apr21 497,500 $496,723
Vita Capital V, Ltd., Floating Rate Note, 1/15/17 (Cat Bond) (144A) 1,500,000 $1,528,456
Vita Capital V, Ltd., Floating Rate Note, 1/15/17 (Cat Bond) (144A) 500,000 $512,413
Vitality Re IV, Ltd., Floating Rate Note, 1/9/17 (Cat Bond) (144A) 1,000,000 $1,022,454
Vitality Re V, Ltd., Floating Rate Note, 1/7/19 (Cat Bond) (144A) 1,800,000 $1,808,855
Vodafone Group Plc, Floating Rate Note, 2/19/16 1,150,000 $1,150,630
Volkswagen Auto Lease Trust 2013-A, 0.63%, 12/21/15 1,530,000 $112,975
Volkswagen Auto Lease Trust 2013-A, Floating Rate Note, 12/21/15 2,000,000 $147,660
Volkswagen Auto Lease Trust 2014-A, 0.52%, 10/20/16 5,790,000 $3,687,697
Volkswagen Auto Lease Trust 2014-A, Floating Rate Note, 10/20/16 1,500,000 $955,206
Volkswagen Group of America Finance LLC, Floating Rate Note, 5/23/16 (144A) 1,900,000 $1,899,801
Volkswagen International Finance NV, 1.15%, 11/20/15 (144A) 4,990,000 $5,026,130
Volkswagen International Finance NV, 1.625%, 3/22/15 (144A) 2,400,000 $2,418,393
Volkswagen International Finance NV, Floating Rate Note, 11/18/16 (144A) 1,750,000 $1,753,823
VOLT NPL X LLC, 3.375%, 10/26/54 (Step) (144A) 4,390,000 $4,171,900
VOLT XIX LLC, 3.875%, 4/26/55 (Step) 1,500,000 $1,442,591
VOLT XXIV LLC, 3.25%, 11/25/53 (Step) 2,000,000 $952,479
VOLT XXXI LLC, 3.375%, 2/25/55 (Step) (144A) 3,000,000 $2,998,183
VOLT XXX LLC, 3.625%, 10/25/57 (Step) 2,250,000 $2,250,281
Volvo Financial Equipment LLC Series 2012-1, 2.38%, 9/16/19 (144A) 295,000 $297,193
Volvo Financial Equipment LLC Series 2013-1, 0.74%, 3/15/17 (144A) 1,410,000 $1,220,531
Volvo Financial Equipment LLC Series 2014-1, 0.54%, 11/15/16 (144A) 1,700,000 $1,365,675
Vz Flt% 06mar15 144a 1,715,000 $1,715,000
Wachovia Bank Commercial Mortgage Trust Series 2005-C20 REMICS, Floating Rate Note, 7/15/42 8,460,000 $4,906,736
Wachovia Bank Commercial Mortgage Trust Series 2005-C21, Floating Rate Note, 10/17/44 2,840,733 $2,032,088
Wachovia Bank Commercial Mortgage Trust Series 2005-C22 REMICS, Floating Rate Note, 12/15/44 5,713,000 $5,229,945
Wachovia Bank Commercial Mortgage Trust Series 2006-C23 REMICS, Floating Rate Note, 1/15/45 5,550,000 $4,425,793
Wachovia Bank Commercial Mortgage Trust Series 2006-C25, Floating Rate Note, 5/15/43 4,240,000 $3,571,346
Wachovia Corp., Floating Rate Note, 10/28/15 1,983,000 $1,983,995
Wachovia Corp., Floating Rate Note, 6/15/17 1,999,000 $1,996,615
WaMu Mortgage Pass-Through Certificates Series 2002-AR18 Trust, Floating Rate Note, 1/25/33 34,265,000 $339,171
WaMu Mortgage Pass-Through Certificates Series 2002-AR19 Trust, Floating Rate Note, 2/25/33 18,180,000 $643,178
WaMu Mortgage Pass-Through Certificates Series 2004-AR14 Trust, Floating Rate Note, 1/25/35 2,390,499 $482,328
WaMu Mortgage Pass-Through Certificates Series 2005-AR7 Trust, Floating Rate Note, 8/25/35 28,565,000 $916,319
Waste Industries USA, Inc., Term B Loan, 3/17/17 148,849 $148,539
Waste Industries Usa Inc 1st Lien Tl-B L + 3.25% 20feb20 150,000 $150,593
Weight Watchers International, Inc., Initial Tranche B-2 Term Loan, 4/2/20 1,965,000 $1,043,906
Wells Fargo & Co., 1.5%, 7/1/15 2,600,000 $2,615,993
Wells Fargo & Co., Floating Rate Note, 10/28/15 2,503,000 $2,506,093
Wells Fargo & Co., Floating Rate Note, 6/26/15 5,230,000 $5,255,264
Wells Fargo & Co., Floating Rate Note, 7/20/16 3,105,000 $3,118,336
Wells Fargo Bank NA, Floating Rate Note, 5/16/16 975,000 $973,500
Wells Fargo Commercial Mortgage Trust 2014-TISH, Floating Rate Note, 2/16/27 (144A) 2,220,000 $2,213,070
Wells Fargo Home Equity Asset-Backed Securities 2005-2 Trust, Floating Rate Note, 11/25/35 189,000 $50,774
Wells Fargo Home Equity Asset-Backed Securities 2005-3 Trust, Floating Rate Note, 12/25/35 2,690,000 $754,436
Wendy's International LLC, Term B Loan, 5/15/19 721,097 $720,534
Wesco Aircraft Hardware Corp., Tranche B Term Loan, 2/24/21 2,535,000 $2,499,087
WESCO Distribution, Inc., Tranche B-1 Loan, 12/12/19 318,295 $318,394
West Corp., Term B-10 Loan, 6/30/18 1,004,821 $1,003,722
Western Refining, Inc., Term Loan 2013, 11/12/20 447,739 $445,500
Westgate Resorts 2012-2 LLC, 9.0%, 1/21/25 (144A) 1,500,000 $417,697
Westgate Resorts 2012-A LLC, 3.75%, 8/20/25 (144A) 2,805,000 $1,402,824
Westgate Resorts LLC, 2.5%, 3/20/25 (144A) 350,000 $124,653
Westgate Resorts LLC, 9.5%, 2/20/25 (144A) 5,000,000 $1,686,637
Westlake Automobile Receivables Trust 2013-1, 1.12%, 1/15/18 (144A) 375,000 $139,111
Westpac Banking Corp., Floating Rate Note, 5/19/17 2,000,000 $1,999,218
Westpac Banking Corp., Floating Rate Note, 7/17/15 (144A) 500,000 $501,957
Westpac Banking Corp., Floating Rate Note, 7/28/15 1,000,000 $1,000,573
Westwood CDO II, Ltd., Floating Rate Note, 4/25/22 (144A) 2,000,000 $1,436,008
Wheelabrator 1st Lien Tl-B L + 4% 15oct21 2,873,563 $2,904,095
Wheelabrator 1st Lien Tl-C L + 4% 15oct21 126,437 $127,780
Wheels SPV 2 LLC, 0.84%, 3/20/23 (144A) 1,000,000 $1,000,926
WideOpenWest Finance LLC, Term B Loan, 4/1/19 238,689 $239,226
Wilshire Mortgage Loan Trust, Floating Rate Note, 5/25/28 10,000,000 $30,470
Windstream Corp., Tranche B-4 Term Loan, 1/23/20 1,030,477 $1,028,454
Windstream Corp., Tranche B-5 Term Loan, 8/8/19 708,778 $707,623
WireCo WorldGroup, Inc., Term Loan, 2/15/17 871,421 $873,599
WMG Acquisition Corp., Tranche B Refinancing Term Loan, 7/1/20 1,086,250 $1,067,512
World Financial Network Credit Card Master Trust, 3.96%, 4/15/19 350,000 $354,031
World Financial Network Credit Card Master Trust, Floating Rate Note, 12/16/19 10,375,000 $10,377,054
World Omni Automobile Lease Securitization Trust 2014-A, Floating Rate Note, 3/15/17 2,500,000 $2,496,859
World Omni Auto Receivables Trust 2013-B, 0.48%, 11/15/16 50,000 $13,458
World Omni Auto Receivables Trust 2014-B, Floating Rate Note, 1/16/18 2,650,000 $2,650,297
WR Grace & Co-Conn, Delayed Draw Term Loan, 1/23/21 290,008 $290,431
WR Grace & Co-Conn, U.S. Term Loan, 1/23/21 805,933 $807,108
Wyle 1st Lien Tl-B L + 4% 22may21 196,496 $196,680
Xel Cp Zero% 03mar15 Usd 2,500,000 $2,499,950
Xerium Technologies, Inc., New Term Loan, 5/17/19 78,601 $78,797
Zebra Technologies Corporation 1st Lien Tl-B L + 4% 30sep21 1,000,000 $1,012,071
ZIGGO BV, (USD) TLB3, 1/15/22 1,136,553 $1,128,334
Ziggo Bv 1st Lien Tl-B1 L + 2.75% 15jan22 1,072,383 $1,064,628
Ziggo Bv 1st Lien Tl-B2 L + 2.75% 15jan22 691,064 $686,066

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

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