Pioneer Short Term Income Fund

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

Security Name Par / Shares Market Value
321 Henderson Receivables I LLC, Floating Rate Note, 6/15/41 (144A) 2,000,000 $731,979
77 Energy 1st Lien Tl-B L + 3% 17jun21 349,125 $342,288
A10 Securitization 2013-1 LLC, 2.4%, 11/17/25 (144A) 642,000 $369,481
A10 Term Asset Financing 2013-2 LLC, 2.62%, 11/15/27 (144A) 1,085,000 $1,090,714
Abbey National Treasury Services Plc London, Floating Rate Note, 9/29/17 750,000 $750,440
ABN AMRO Bank NV, 1.375%, 1/22/16 (144A) 500,000 $505,366
ABN AMRO Bank NV, Floating Rate Note, 10/28/16 (144A) 750,000 $755,936
ACA CLO 2006-2, Ltd., Floating Rate Note, 1/20/21 (144A) 500,000 $491,885
ACAS CLO 2007-1, Ltd., Floating Rate Note, 4/20/21 500,000 $401,120
Accredited Mortgage Loan Trust 2005-2, Floating Rate Note, 7/25/35 240,000 $231,547
ACE Securities Corp Manufactured Housing Trust Series 2003-MH1, Floating Rate Note, 8/15/30 (144A) 425,000 $56,281
ACIS CLO 2014-4, Ltd., Floating Rate Note, 5/1/26 (144A) 700,000 $701,414
ACRE Commercial Mortgage Trust 2014-FL2, Floating Rate Note, 8/15/31 (144A) 700,000 $700,530
Activision Blizzard, Inc., Term Loan, 7/26/20 650,000 $650,203
Adjustable Rate Mortgage Trust 2005-2, Floating Rate Note, 6/25/35 345,151 $267,491
Adjustable Rate Mortgage Trust 2005-5, Floating Rate Note, 9/25/35 3,300,000 $284,465
Aecom Technology Corp 1st Lien Tl-B L + 3% 17sep21 319,903 $320,103
Aegis Asset Backed Securities Trust 2005-5, Floating Rate Note, 12/25/35 1,000,000 $255,620
Aegis Asset Backed Securities Trust Mortgage Pass-Through Ctfs Ser 2005-4, Floating Rate Note, 10/25 239,000 $126,194
Aegis Asset Backed Securities Trust Mortgage Pass- Through Ctfs Series 2004-3, Floating Rate Note, 9 12,500,000 $483,339
Aegis Asset Backed Securities Trust Mortgage Pass- Through Ctfs Series 2004-3, Floating Rate Note, 9 881,754 $158,195
Aflac, Inc., 3.45%, 8/15/15 500,000 $514,935
Aircastle, Ltd., 6.75%, 4/15/17 1,100,000 $1,180,300
Alamo Re, Ltd., Floating Rate Note, 6/7/17 (Cat Bond) (144A) 250,000 $264,323
Albertsons LLC, Term B-2 Loan, 3/21/19 646,754 $645,946
Alliant Techsystems, Inc., Term B Loan, 10/22/20 198,251 $197,879
Ally Auto Receivables Trust 2010-5, 2.45%, 6/15/16 (144A) 150,000 $150,280
Ally Auto Receivables Trust 2014-SN1, Floating Rate Note, 10/20/16 500,000 $455,438
Altera Corp., 2.5%, 11/15/18 500,000 $510,769
Alterna Funding I LLC, 1.639%, 2/15/21 (144A) 400,000 $384,826
Alternative Loan Trust 2003-14T1, Floating Rate Note, 8/25/18 3,200,000 $130,542
Alternative Loan Trust 2003-J1, 4.75%, 10/25/33 4,300,000 $194,688
Alternative Loan Trust 2004-4CB, 4.25%, 4/25/34 4,541,000 $175,734
Alternative Loan Trust 2004-6CB, Floating Rate Note, 4/25/34 4,500,000 $329,132
Alternative Loan Trust 2005-J4, Floating Rate Note, 7/25/35 1,322,801 $1,287,565
Altria Group, Inc., 4.125%, 9/11/15 310,000 $320,957
Altrl Flt% 30jun16 350,000 $376,110
AMC Entertainment, Inc., Initial Term Loan, 4/30/20 247,487 $244,270
America Movil SAB de CV, Floating Rate Note, 9/12/16 1,000,000 $1,011,464
American Airlines Inc 1st Lien Tl-B L + 3.5% 08oct21 750,000 $747,938
American Credit Acceptance Receivables Trust, 1.64%, 11/15/16 (144A) 378,000 $51,694
American Credit Acceptance Receivables Trust 2013-1, 1.45%, 4/16/18 (144A) 41,000 $12,937
American Credit Acceptance Receivables Trust 2013-2, 1.32%, 2/15/17 (144A) 280,000 $83,082
American Credit Acceptance Receivables Trust 2014-1, 1.14%, 3/12/18 (144A) 520,000 $265,669
American Credit Acceptance Receivables Trust 2014-2, 0.99%, 10/10/17 (144A) 500,000 $345,899
American Credit Acceptance Receivables Trust 2014-3, 0.99%, 8/10/18 (144A) 410,000 $365,846
American Electric Power Co, Inc., 1.65%, 12/15/17 500,000 $504,272
American Express Credit Account Secured Note Trust 2012-4, Floating Rate Note, 5/15/20 (144A) 760,000 $765,166
American Express Credit Corp., 1.3%, 7/29/16 500,000 $504,702
American Express Credit Corp., 1.75%, 6/12/15 750,000 $760,474
American Express Credit Corp., Floating Rate Note, 6/12/15 200,000 $201,611
American Express Credit Corp., Floating Rate Note, 9/22/17 1,000,000 $999,433
American Home Mortgage Investment Trust 2004-3, 5.01%, 10/25/34 (Step) 4,000,000 $158,682
American Home Mortgage Investment Trust 2005-1, Floating Rate Note, 6/25/45 1,500,000 $195,153
American Homes 4 Rent 2014-SFR1, Floating Rate Note, 6/19/31 (144A) 665,000 $646,873
American Honda Finance Corp., 1.125%, 10/7/16 500,000 $499,427
American Honda Finance Corp., 1.2%, 7/14/17 750,000 $751,886
American Honda Finance Corp., Floating Rate Note, 5/26/16 (144A) 1,675,000 $1,683,842
AmeriCredit Automobile Receivables Trust 2010-4, 6.4%, 4/9/18 (144A) 100,000 $101,262
AmeriCredit Automobile Receivables Trust 2011-3, 4.04%, 7/10/17 100,000 $103,139
AmeriCredit Automobile Receivables Trust 2011-5, 2.45%, 12/8/16 500,000 $378,350
AmeriCredit Automobile Receivables Trust 2012-4, 3.82%, 2/10/20 (144A) 500,000 $517,004
AmeriCredit Automobile Receivables Trust 2013-1, 1.57%, 1/8/19 150,000 $150,342
AmeriCredit Automobile Receivables Trust 2013-4, 0.74%, 11/8/16 500,000 $198,077
AmeriCredit Automobile Receivables Trust 2013-4, 3.31%, 10/8/19 500,000 $514,021
AmeriCredit Automobile Receivables Trust 2014-2, Floating Rate Note, 10/10/17 380,000 $380,104
Ameriquest Mortgage Securities Inc Asset-Backed Pass-Through Ctfs Ser 2005-R1, Floating Rate Note, 3 592,188 $323,048
Ameriquest Mortgage Securities Inc Asset Backed Pass-Through Ctfs Ser 2005-R11, Floating Rate Note, 962,222 $644,804
Ameriquest Mortgage Securities Inc Asset-Backed Pass-Through Ctfs Ser 2005-R6, Floating Rate Note, 8 2,840,000 $15,440
Ameriquest Mortgage Securities Inc Asset-Backed Pass-Through Ctfs Ser 2005-R9, 4.85947%, 11/25/35 (S 590,000 $499,682
Ameriquest Mort Sec Inc Asset Backed Pass Thr Cert 03 AR3, Floating Rate Note, 6/25/33 155,851 $89,329
Amgen, Inc., 2.5%, 11/15/16 500,000 $519,607
AMRESCO Residential Securities Corp Mortgage Loan Trust 1997-3, Floating Rate Note, 9/25/27 8,300,000 $190,620
Anheuser-Busch Companies LLC, 5.0%, 1/15/15 225,000 $230,362
Anheuser-Busch InBev Finance, Inc., Floating Rate Note, 1/27/17 500,000 $499,479
Anheuser-Busch InBev Worldwide, Inc., 4.125%, 1/15/15 580,000 $591,127
ANZ New Zealand Int'l, Ltd. London, 1.125%, 3/24/16 (144A) 1,000,000 $1,006,511
Apple, Inc., Floating Rate Note, 5/3/16 400,000 $400,289
ARC Properties Operating Partnership LP, 2.0%, 2/6/17 500,000 $490,649
ARI Fleet Lease Trust 2012-A, Floating Rate Note, 3/15/20 (144A) 810,000 $163,186
Arlington Flt% 01aug15 250,000 $260,550
Armor Re, Ltd., Floating Rate Note, 12/15/16 (Cat Bond) (144A) 300,000 $306,650
Arysta Lifescience SPC LLC, Initial Term Loan (First Lien), 5/29/20 703,901 $703,131
Ascentium Equipment Receivables 2012-1 LLC, 1.83%, 9/15/19 (144A) 822,000 $118,577
Ascentium Equipment Receivables 2014-1 LLC, 1.04%, 1/10/17 (144A) 400,000 $400,478
Ascentium Equipment Receivables 2014-1 LLC, 3.1%, 6/10/21 (144A) 700,000 $707,055
ASG Resecuritization Trust 2010-3, Floating Rate Note, 12/29/45 (144A) 1,642,839 $746,684
Asset Backed Securities Corp Home Equity Loan Trust Series 2003-HE1, Floating Rate Note, 1/15/33 3,082,000 $701,592
Asset Backed Securities Corp Home Equity Loan Trust Series 2004-HE6, Floating Rate Note, 9/25/34 7,075,000 $495,314
Asset Backed Securities Corp Home Equity Loan Trust Series 2005-HE3, Floating Rate Note, 4/25/35 159,800 $116,004
Asset Backed Securities Corp Home Equity Loan Trust Series AEG 2006-HE1, Floating Rate Note, 1/25/36 311,384 $56,914
Assurant, Inc., 2.5%, 3/15/18 300,000 $303,285
Atlantic Power LP, Term Loan, 2/20/21 1,232,637 $1,228,014
Atlas IX Capital, Ltd., Floating Rate Note, 1/17/19 (Cat Bond) (144A) 500,000 $507,277
Atlas Reinsurance VII, Ltd., Floating Rate Note, 1/7/16 (Cat Bond) (144A) 250,000 $261,164
Avago Technologies Ltd 1st Lien Tl-B L + 3% 16apr21 394,013 $393,309
AXIS Equipment Finance Receivables II LLC, 3.81%, 12/20/16 400,000 $402,001
AXIS Equipment Finance Receivables II LLC, 4.94%, 7/20/18 (144A) 700,000 $707,921
BAMLL Commercial Mortgage Securities Trust 2014-ICTS, Floating Rate Note, 6/15/28 (144A) 580,000 $578,905
Banc of America Alternative Loan Trust 2003-10, Floating Rate Note, 12/25/33 2,600,000 $144,920
Banc of America Alternative Loan Trust 2004-2, 5.5%, 3/25/19 954,266 $113,422
Banc of America Alternative Loan Trust 2004-4, 5.25%, 5/25/19 1,363,000 $162,942
Banc of America Commercial Mortgage Trust 2006-1, Floating Rate Note, 9/10/45 1,750,000 $1,838,931
Banc of America Commercial Mortgage Trust 2006-1, Floating Rate Note, 9/10/45 1,000,000 $1,041,567
Banc of America Commercial Mortgage Trust 2006-1, Floating Rate Note, 9/10/45 1,450,000 $1,510,447
Banc of America Commercial Mortgage Trust 2006-4 REMICS, 5.634%, 7/10/46 1,960,000 $1,936,404
Banc of America Funding 2003-3 Trust, 5.5%, 10/25/33 617,825 $128,437
Banc of America Funding 2004-B Trust, Floating Rate Note, 12/20/34 6,667,000 $503,250
Banc of America Merrill Lynch Commercial Mortgage, Inc., 4.933%, 7/10/45 800,000 $818,506
Banc of America Merrill Lynch Commercial Mortgage, Inc., Floating Rate Note, 10/10/45 1,370,000 $1,337,523
Banc of America Merrill Lynch Commercial Mortgage, Inc., Floating Rate Note, 9/10/47 1,780,000 $1,813,751
Banc of America Merrill Lynch Commercial Mortgage, Inc. REMICS, Floating Rate Note, 7/10/43 645,000 $555,250
Banc of America Mortgage 2003-F Trust, Floating Rate Note, 7/25/33 5,619,027 $259,960
Banc of America Mortgage 2003-H Trust, Floating Rate Note, 9/25/33 13,410,000 $1,123,179
Banc of America Mortgage 2004-D Trust, Floating Rate Note, 5/25/34 4,920,000 $539,292
Banc of America Mortgage Trust 2004-7, 4.5%, 8/25/19 181,000 $13,508
Banco Nacional de Desenvolvimento Economico e Social, 3.375%, 9/26/16 (144A) 1,000,000 $1,024,531
Bank of America Corp., 1.25%, 1/11/16 575,000 $579,793
Bank of America Corp., 1.35%, 11/21/16 500,000 $503,449
Bank of America Corp., 3.7%, 9/1/15 500,000 $514,833
Bank of America Corp., 4.5%, 4/1/15 210,000 $214,181
Bank of America Corp., Floating Rate Note, 3/22/16 2,000,000 $2,012,624
Bank of America Corp., Floating Rate Note, 8/25/17 408,000 $408,302
Bank of America NA, 1.25%, 2/14/17 500,000 $501,967
Bank of Montreal, 0.8%, 11/6/15 500,000 $503,724
Barclays Bank Plc, Floating Rate Note, 2/17/17 229,000 $229,953
Barclays Dryrock Issuance Trust, Floating Rate Note, 3/16/20 500,000 $500,372
Baxter International, Inc., 0.95%, 6/1/16 500,000 $502,873
Baxter International, Inc., 4.625%, 3/15/15 750,000 $765,533
Bayer US Finance LLC, 1.5%, 10/6/17 (144A) 750,000 $753,424
Bayview Commercial Asset Trust 2004-1, Floating Rate Note, 4/25/34 (144A) 4,150,000 $402,096
Bayview Commercial Asset Trust 2004-3, Floating Rate Note, 1/25/35 (144A) 4,600,000 $709,480
Bayview Commercial Asset Trust 2007-2, 0.0%, 7/25/37 (Step) (144A) 4,500,000 $0
Bayview Commercial Asset Trust 2007-4, 3.515649%, 9/25/37 (Step) (144A) 3,000,000 $78,434
Bayview Financial Acquisition Trust, Floating Rate Note, 5/28/44 7,600,000 $102,504
Bayview Financial Asset Trust 2003-A, Floating Rate Note, 2/25/33 (144A) 7,852,000 $227,245
Bayview Financial Mortgage Pass-Through Trust 2005-C, Floating Rate Note, 6/28/44 1,650,000 $1,639,502
Bayview Financial Mortgage Pass-Through Trust 2006-A, Floating Rate Note, 2/28/41 1,639,000 $131,095
Bayview Financial Mortgage Pass-Through Trust 2006-B, Floating Rate Note, 4/28/36 603,000 $41,881
Bayview Financial Mortgage Pass-Through Trust 2006-B, Floating Rate Note, 4/28/36 1,207,803 $299,009
Bayview Financial Mortgage Pass-Through Trust Series 2005-B, Floating Rate Note, 4/28/39 425,000 $420,319
Bayview Opportunity Master Fund IIa Trust 2012-4NPL, 3.9496%, 1/28/34 (Step) (144A) 695,000 $393,522
Bayview Opportunity Master Fund IIa Trust 2014-20NPL, Floating Rate Note, 8/28/44 (144A) 420,000 $388,769
Bayview Opportunity Master Fund Trust IIIa 2014-12RPL, 3.6225%, 7/28/19 (Step) (144A) 465,000 $348,105
BB&T Corp., 1.6%, 8/15/17 103,000 $103,731
Bbb Industries Llc 1st Lien Tl L + 5% 20oct21 533,333 $530,667
BCAP LLC 2009-RR13-I Trust, Floating Rate Note, 9/26/35 (144A) 2,765,000 $673,048
BCAP LLC 2013-RR3 Trust, Floating Rate Note, 5/28/36 (144A) 500,000 $376,525
BCAP LLC 2013-RR7 Trust, Floating Rate Note, 12/27/34 420,000 $371,068
BCMSC Trust 1998-A, 6.65%, 4/15/28 2,750,000 $68,036
Bear Stearns ALT-A Trust 2004-11, Floating Rate Note, 11/25/34 7,155,000 $389,429
Bear Stearns ALT-A Trust 2004-12, Floating Rate Note, 1/25/35 8,440,000 $1,083,102
Bear Stearns ALT-A Trust 2004-12, Floating Rate Note, 1/25/35 9,210,000 $1,100,273
Bear Stearns ALT-A Trust 2004-12, Floating Rate Note, 1/25/35 3,280,000 $365,786
Bear Stearns ALT-A Trust 2004-12, Floating Rate Note, 1/25/35 4,956,000 $639,031
Bear Stearns ALT-A Trust 2004-13, Floating Rate Note, 11/25/34 1,905,000 $100,774
Bear Stearns ALT-A Trust 2004-4, Floating Rate Note, 6/25/34 10,699,000 $875,699
Bear Stearns ARM Trust 2003-3, Floating Rate Note, 5/25/33 9,158,341 $276,898
Bear Stearns ARM Trust 2004-10 REMICS, Floating Rate Note, 1/25/35 720,000 $107,458
Bear Stearns ARM Trust 2004-3, Floating Rate Note, 7/25/34 2,481,203 $91,037
Bear Stearns ARM Trust 2004-9, Floating Rate Note, 11/25/34 1,014,658 $124,010
Bear Stearns Asset Backed Securities I Trust 2005-FR1, Floating Rate Note, 6/25/35 1,526,722 $554,467
Bear Stearns Asset Backed Securities I Trust 2005-HE6, Floating Rate Note, 6/25/35 1,350,000 $34,674
Bear Stearns Asset Backed Securities Trust, Floating Rate Note, 2/25/35 5,848,300 $245,393
Bear Stearns Asset Backed Securities Trust 2004-2, Floating Rate Note, 8/25/34 389,000 $72,255
Bear Stearns Asset Backed Securities Trust 2006-SD2, Floating Rate Note, 6/25/36 412,000 $225,197
Bear Stearns Commercial Mortgage Securities Trust 2005-PWR10, Floating Rate Note, 12/11/40 1,240,000 $1,127,986
Bear Stearns Commercial Mortgage Securities Trust 2005-PWR7, Floating Rate Note, 2/11/41 550,000 $554,822
Bear Stearns Commercial Mortgage Securities Trust 2005-PWR8, 4.75%, 6/11/41 415,000 $424,275
Bear Stearns Commercial Mortgage Securities Trust 2005-PWR9, 4.871%, 9/11/42 2,280,000 $1,875,652
Bear Stearns Commercial Mortgage Securities Trust 2005-PWR9, Floating Rate Note, 9/11/42 1,160,000 $1,191,405
Bear Stearns Commercial Mortgage Securities Trust 2005-TOP18, Floating Rate Note, 2/13/42 1,150,000 $885,649
Bear Stearns Commercial Mortgage Securities Trust 2005-TOP20, Floating Rate Note, 10/12/42 1,905,000 $1,962,579
Bear Stearns Commercial Mortgage Securities Trust 2006-PWR14, 5.171%, 12/11/38 790,000 $292,139
Bear Stearns Commercial Mortgage Securities Trust 2006-TOP22, Floating Rate Note, 4/12/38 1,150,000 $1,150,271
Bear Stearns Mortgage Securities, Inc., Floating Rate Note, 6/25/30 731,690 $122,344
Bear Stearns Structured Products Trust 2007-EMX1, Floating Rate Note, 3/25/37 (144A) 1,130,000 $225,041
Belden Finance 2013 LP, Initial Term Loan, 9/9/20 247,500 $246,417
Bella Vista Mortgage Trust 2004-1, Floating Rate Note, 11/20/34 12,618,000 $353,338
Berkshire Hathaway Finance Corp., Floating Rate Note, 1/10/17 1,000,000 $1,000,246
Berkshire Hathaway Finance Corp., Floating Rate Note, 8/14/17 1,000,000 $999,272
BHP Billiton Finance USA, Ltd., Floating Rate Note, 9/30/16 500,000 $500,891
BLCP Hotel Trust 2014-CLRN, Floating Rate Note, 8/15/29 (144A) 1,610,000 $1,611,894
Blue Danube, Ltd., Floating Rate Note, 4/10/15 (Cat Bond) (144A) 650,000 $675,787
Blue Danube II, Ltd., Floating Rate Note, 5/23/16 (Cat Bond) (144A) 500,000 $513,386
Boca Hotel Portfolio Trust 2013-BOCA, Floating Rate Note, 8/17/26 (144A) 430,000 $430,454
Bosphorus Re, Ltd., Floating Rate Note, 5/3/16 (Cat Bond) (144A) 250,000 $250,614
Boston Scientific Corp., 2.65%, 10/1/18 500,000 $506,318
BPCE SA, Floating Rate Note, 4/25/16 550,000 $557,697
Branch Banking & Trust Co., 1.35%, 10/1/17 500,000 $500,183
Branch Banking & Trust Co., 2.3%, 10/15/18 500,000 $508,698
Branch Banking & Trust Co., Floating Rate Note, 5/23/17 250,000 $248,571
Branch Banking & Trust Co., Floating Rate Note, 9/13/16 500,000 $499,297
Bright Horizons Family Solutions, Inc., Term B Loan, 1/30/20 396,977 $392,139
British Telecommunications Plc, 2.0%, 6/22/15 1,004,000 $1,020,274
Burger King Corp 1st Lien Tl-B L + 3.5% 25sep21 700,000 $700,535
Bush Truck Leasing LLC, 5.0%, 9/25/18 (144A) 100,000 $4,880
Bway Holding Co 1st Lien Tl-B L + 4.5% 08aug20 99,750 $100,249
Caelus Re, Ltd., Floating Rate Note, 3/7/16 (Cat Bond) (144A) 500,000 $515,183
Caelus Re 2013, Ltd., Floating Rate Note, 4/7/20 (Cat Bond) (144A) 750,000 $799,342
California Republic Auto Receivables Trust 2012-1, 1.18%, 8/15/17 (144A) 329,000 $90,072
Calpine Construction Finance Co LP, Term B-2 Loan, 1/3/22 669,927 $653,179
CAM Mortgage Trust 2014-1, 3.3515%, 12/15/53 (Step) (144A) 660,000 $24,399
CAM Mortgage Trust 2014-2, 2.6%, 12/15/53 (Step) (144A) 610,000 $428,915
Canadian National Railway Co., Floating Rate Note, 11/6/15 730,000 $731,137
Canadian Natural Resources, Ltd., 1.45%, 11/14/14 430,000 $433,002
Canadian Natural Resources, Ltd., Floating Rate Note, 3/30/16 277,000 $277,325
Capital Auto Receivables Asset Trust/ Ally, 1.74%, 10/22/18 413,000 $414,226
Capital Auto Receivables Asset Trust/ Ally, 2.19%, 9/20/21 125,000 $125,239
Capital Auto Receivables Asset Trust 2013-3, Floating Rate Note, 11/20/15 250,000 $157,628
Capital One Financial Corp., 1.0%, 11/6/15 475,000 $478,516
Capital One Financial Corp., 2.15%, 3/23/15 1,500,000 $1,512,547
Capital One Multi-Asset Execution Trust, Floating Rate Note, 2/15/19 300,000 $300,008
Capital One NA, Floating Rate Note, 3/22/16 700,000 $702,088
Cardinal Health, Inc., 4.0%, 6/15/15 500,000 $517,560
CareFusion Corp., 1.45%, 5/15/17 750,000 $753,381
CarMax Auto Owner Trust 2012-1, 0.89%, 9/15/16 745,000 $231,481
CarMax Auto Owner Trust 2013-3, 2.15%, 5/15/19 540,000 $546,603
Carrington Mortgage Loan Trust Series 2005-NC1, Floating Rate Note, 2/26/35 3,586,373 $848,439
Carrington Mortgage Loan Trust Series 2006-OPT1, Floating Rate Note, 12/25/35 5,047,000 $1,049,424
Castle Garden Funding, Floating Rate Note, 10/27/20 (144A) 2,000,000 $369,499
Caterpillar Financial Services Corp., 1.0%, 11/25/16 1,000,000 $1,008,090
Caterpillar Financial Services Corp., 1.35%, 9/6/16 1,125,000 $1,138,053
CD 2005-CD1 Commercial Mortgage Trust, Floating Rate Note, 7/15/44 940,000 $916,215
CD 2006-CD2 Mortgage Trust, Floating Rate Note, 1/15/46 2,084,000 $2,174,061
CDC Mortgage Capital Trust 2002-HE1, Floating Rate Note, 1/25/33 19,484,513 $385,839
Cendant Mortgage Corp., 6.25%, 3/25/32 (144A) 4,100,000 $517,637
Cent CLO 16 LP, 2.52%, 8/1/24 1,000,000 $999,838
Centerpoint Energy Transition Bond Co II LLC, 5.17%, 8/1/19 720,000 $665,526
Centex Home Equity Loan Trust 2005-B, 4.893%, 3/25/33 (Step) 3,300,000 $623,831
CeramTec Acquisition Corp., Initial Dollar Term B-2 Loan, 8/30/20 20,902 $20,798
CeramTec GmbH, Dollar Term B-3 Loan, 8/30/20 63,461 $63,144
CeramTec Service GmbH, Initial Dollar Term B-1 Loan, 8/30/20 210,809 $209,755
CGBAM Commercial Mortgage Trust 2014-HD, Floating Rate Note, 2/18/31 (144A) 310,000 $309,816
CG-CCRE Commercial Mortgage Trust 2014-FL1, Floating Rate Note, 6/16/31 (144A) 1,630,000 $1,627,415
CGWF Commercial Mortgage Trust 2013-RKWH REMICS, Floating Rate Note, 11/15/30 (144A) 1,720,000 $1,725,368
Charter Communications 1st Lien Tl-B L + 3.5% 12aug21 360,000 $363,338
Chase Funding Trust Series 2003-3, Floating Rate Note, 4/25/33 13,029,694 $135,435
Chase Funding Trust Series 2003-6, 4.277%, 11/27/34 (Step) 1,680,000 $246,614
Chase Issuance Trust, 0.59%, 8/15/17 300,000 $300,351
Chase Issuance Trust, Floating Rate Note, 4/16/18 750,000 $749,582
Chase Issuance Trust, Floating Rate Note, 8/15/17 750,000 $749,437
Chase Mortgage Finance Trust Series 2005-S1, 5.5%, 5/25/35 4,068,000 $89,163
Chesapeake Funding LLC, Floating Rate Note, 3/7/26 750,000 $749,692
Chesapeake Funding LLC, Floating Rate Note, 5/7/24 (144A) 250,000 $251,908
Chesapeake Funding LLC, Floating Rate Note, 5/7/24 (144A) 200,000 $122,389
CHL Mortgage Pass-Through Trust 2004-14, Floating Rate Note, 8/25/34 1,810,000 $233,115
CHL Mortgage Pass-Through Trust 2004-29, Floating Rate Note, 2/25/35 18,992,000 $931,515
Chrysler Group LLC, Term Loan B, 5/24/17 899,775 $896,026
Chrysler Group LLC, Tranche B Term Loan, 12/29/18 597,000 $592,336
CHS, 2017 Term E Loan, 1/25/17 99,625 $99,477
CHS, 2021 Term D Loan, 1/27/21 265,533 $266,114
Ciena Corporation 1st Lien Tl-B L + 3% 08jul19 349,125 $346,943
Cinedigm Digital Funding I LLC, Term Loan, 2/28/18 155,174 $155,174
Citibank Credit Card Issuance Trust, 4.85%, 3/10/17 500,000 $511,383
Citibank Credit Card Issuance Trust, 5.1%, 11/20/17 500,000 $535,249
Citibank Credit Card Issuance Trust, Floating Rate Note, 4/24/17 800,000 $799,773
Citicorp Mortgage Securities REMIC Pass-Through Certificates Trust Series 2005-4, 5.0%, 7/25/20 4,375,000 $165,857
Citicorp Mortgage Securities REMIC Pass-Through Certificates Trust Series 2005-7, 5.0%, 10/25/35 5,635,000 $383,865
Citigroup, Inc., 1.3%, 4/1/16 500,000 $502,802
Citigroup, Inc., Floating Rate Note, 11/15/16 750,000 $754,398
Citigroup, Inc., Floating Rate Note, 4/1/16 500,000 $503,413
Citigroup, Inc., Floating Rate Note, 7/25/16 750,000 $757,360
Citigroup Commercial Mortgage Trust 2005-C3, 4.86%, 5/15/43 2,310,000 $1,377,341
Citigroup Commercial Mortgage Trust 2007-FL3, Floating Rate Note, 4/15/22 (144A) 580,444 $576,945
Citigroup Mortgage Loan Trust, Inc., 7.0%, 9/25/33 7,340,000 $89,079
Citigroup Mortgage Loan Trust, Inc., Floating Rate Note, 10/25/35 1,471,464 $15,352
Citigroup Mortgage Loan Trust, Inc., Floating Rate Note, 11/25/34 900,000 $58,089
Citigroup Mortgage Loan Trust, Inc., Floating Rate Note, 3/26/35 1,750,000 $162,008
Citigroup Mortgage Loan Trust, Inc., Floating Rate Note, 5/25/35 (144A) 429,900 $416,362
Citigroup Mortgage Loan Trust 2006-SHL1, Floating Rate Note, 11/25/46 (144A) 4,965,000 $544,863
Citigroup Mortgage Loan Trust 2010-4 REMICS, 5.0%, 10/25/35 (144A) 2,735,000 $821,082
Citigroup Mortgage Loan Trust 2010-7 REMICS, Floating Rate Note, 9/25/37 (144A) 1,905,250 $377,457
Citrus Re, Ltd., Floating Rate Note, 4/18/17 (Cat Bond) (144A) 250,000 $253,343
Citrus Re, Ltd., Floating Rate Note, 4/24/17 (Cat Bond) (144A) 600,000 $606,578
City of Pittsburgh Pennsylvania, 0.87%, 9/1/16 500,000 $499,240
CNA Financial Corp., 5.85%, 12/15/14 737,000 $757,467
CNH Equipment Trust 2012-C, 0.57%, 12/15/17 75,000 $43,880
CNH Equipment Trust 2013-A, 0.69%, 6/15/18 450,000 $450,465
CNH Wholesale Master Note Trust, Floating Rate Note, 8/15/19 (144A) 525,000 $526,419
CNL Commercial Mortgage Loan Trust 2002-1, Floating Rate Note, 10/25/28 (144A) 8,975,000 $298,568
CNL Commercial Mortgage Loan Trust 2003-1, Floating Rate Note, 5/15/31 (144A) 5,443,000 $457,985
CNL Commercial Mortgage Loan Trust 2003-2, Floating Rate Note, 10/25/30 (144A) 1,000,000 $89,057
Coca-Cola Enterprises, Inc., 2.125%, 9/15/15 189,000 $191,673
Collateralized Mortgage Obligation Trust 44, Floating Rate Note, 7/1/18 13,590,000 $48,336
Colony American Homes 2014-1, Floating Rate Note, 5/19/31 (144A) 700,000 $685,148
Colony American Homes 2014-2, Floating Rate Note, 7/19/31 (144A) 600,000 $584,693
Combine Re, Ltd., Floating Rate Note, 1/7/15 (Cat Bond) (144A) 2,000,000 $2,013,507
Combine Re, Ltd., Floating Rate Note, 1/7/15 (Cat Bond) (144A) 400,000 $408,050
COMM 2005-C6 Mortgage Trust, Floating Rate Note, 6/10/44 770,000 $744,929
COMM 2005-C6 Mortgage Trust, Floating Rate Note, 6/10/44 1,880,000 $1,927,607
COMM 2007-FL14 Mortgage Trust, Floating Rate Note, 6/15/22 (144A) 2,937,000 $607,347
COMM 2011-FL1 Mortgage Trust, Floating Rate Note, 7/19/28 (144A) 200,000 $64,572
COMM 2013-FL3 Mortgage Trust, Floating Rate Note, 10/13/28 (144A) 1,000,000 $800,905
COMM 2014-KYO Mortgage Trust, Floating Rate Note, 6/11/27 (144A) 1,630,000 $1,630,192
COMM 2014-PAT Mortgage Trust, Floating Rate Note, 8/13/27 (144A) 820,000 $820,780
COMM 2014-SAVA Mortgage Trust, Floating Rate Note, 6/15/34 (144A) 1,110,000 $1,110,647
COMM 2014-TWC Mortgage Trust, Floating Rate Note, 2/13/32 (144A) 1,850,000 $1,856,344
Commercial Mortgage Pass Through Certificates, Floating Rate Note, 11/19/26 (144A) 600,000 $249,034
Commercial Mortgage Trust 2005-GG3, Floating Rate Note, 8/10/42 1,000,000 $1,007,613
Commercial Mortgage Trust 2005-GG3, Floating Rate Note, 8/10/42 485,000 $49,640
Commercial Mortgage Trust 2005-GG5, Floating Rate Note, 4/10/37 2,075,000 $2,150,836
Commonwealth Bank of Australia, Floating Rate Note, 3/13/17 (144A) 650,000 $651,567
Commonwealth Bank of Australia, Floating Rate Note, 9/18/15 (144A) 460,000 $463,829
Commonwealth Bank of Australia, Floating Rate Note, 9/8/17 (144A) 750,000 $750,141
Commonwealth Edison Co., 1.95%, 9/1/16 500,000 $511,042
Compass Re, Ltd., Floating Rate Note, 1/8/15 (Cat Bond) (144A) 375,000 $383,110
ConocoPhillips Co., 1.05%, 12/15/17 1,000,000 $993,392
Conseco Finance Corp., 7.55%, 4/15/32 (Step) 2,740,000 $217,547
Conseco Finance Home Equity Loan Trust 2002-C, Floating Rate Note, 4/15/32 2,875,000 $818,256
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA New York, Floating Rate Note, 3/18/16 500,000 $502,701
Costco Wholesale Corp., 1.125%, 12/15/17 740,000 $738,234
Countrywide Asset-Backed Certificates, Floating Rate Note, 1/25/36 330,000 $34,110
Countrywide Asset-Backed Certificates, Floating Rate Note, 10/25/34 984,000 $212,100
Countrywide Asset-Backed Certificates, Floating Rate Note, 11/25/35 2,175,000 $83,050
Countrywide Asset-Backed Certificates, Floating Rate Note, 12/25/35 1,814,000 $353,833
Countrywide Asset-Backed Certificates, Floating Rate Note, 3/25/35 1,300,000 $381,151
Countrywide Asset-Backed Certificates, Floating Rate Note, 5/25/35 1,600,000 $104,411
Countrywide Asset-Backed Certificates, Floating Rate Note, 6/25/33 (144A) 900,000 $865,949
Countrywide Asset-Backed Certificates, Floating Rate Note, 9/25/34 (144A) 8,600,000 $499,578
Covidien International Finance SA, 1.35%, 5/29/15 750,000 $757,837
CPS Auto Receivables Trust 2013-A, 1.89%, 6/15/20 (144A) 690,000 $414,302
CPS Auto Receivables Trust 2013-B, 1.82%, 9/15/20 (144A) 157,000 $87,268
CPS Auto Receivables Trust 2014-A, 1.21%, 8/15/18 200,000 $155,870
Credit Acceptance Auto Loan Trust 2012-2, 1.52%, 3/16/20 (144A) 400,000 $357,316
Credit Acceptance Auto Loan Trust 2013-2, 1.5%, 4/15/21 (144A) 1,000,000 $1,003,821
Credit Acceptance Auto Loan Trust 2014-2, 2.67%, 9/15/22 (144A) 1,000,000 $1,006,916
Credit Suisse Commercial Mortgage Trust Series 2006-C2 REMICS, Floating Rate Note, 3/15/39 1,970,000 $2,057,990
Credit Suisse Commercial Mortgage Trust Series 2007-C1, 5.361%, 2/15/40 1,300,000 $954,442
Credit Suisse First Boston Mortgage Securities Corp., 4.686%, 7/15/37 890,000 $803,998
Credit Suisse First Boston Mortgage Securities Corp., 4.832%, 4/15/37 1,080,143 $1,086,106
Credit Suisse First Boston Mortgage Securities Corp., 4.877%, 4/15/37 500,000 $505,781
Credit Suisse First Boston Mortgage Securities Corp., 5.25%, 10/25/19 1,196,000 $54,805
Credit Suisse First Boston Mortgage Securities Corp., 5.5%, 6/25/33 200,000 $44,710
Credit Suisse First Boston Mortgage Securities Corp., 5.5%, 8/25/34 18,567,000 $8,196
Credit Suisse First Boston Mortgage Securities Corp., 7.5%, 5/25/32 15,000,000 $322,688
Credit Suisse First Boston Mortgage Securities Corp., Floating Rate Note, 11/25/33 1,400,000 $74,984
Credit Suisse First Boston Mortgage Securities Corp., Floating Rate Note, 12/17/40 2,730,000 $1,953,211
Credit Suisse First Boston Mortgage Securities Corp., Floating Rate Note, 12/25/33 700,000 $27,434
Credit Suisse First Boston Mortgage Securities Corp., Floating Rate Note, 2/15/38 855,000 $358,169
Credit Suisse First Boston Mortgage Securities Corp., Floating Rate Note, 8/15/38 1,900,440 $1,433,815
Credit Suisse Mortgage Capital Certificates REMICS, Floating Rate Note, 7/27/36 (144A) 3,494,698 $723,309
Cronos Containers Program I, Ltd., 3.81%, 9/18/27 (144A) 500,000 $396,524
Crown Americas Llc 1st Lien Tl-B L + 3.25% 20oct21 350,000 $351,677
Crown Castle Towers LLC, 3.214%, 8/15/15 (144A) 500,000 $510,573
Crowne Group Llc 1st Lien Tl-B L + 5% 29sep20 300,000 $297,000
Csfb Flt% 25jul35 05-6-1a2 2,850,000 $325,002
CSMC Series 2014-ICE, Floating Rate Note, 4/15/27 (144A) 1,950,000 $1,950,694
CSMC Trust 2010-16, Floating Rate Note, 6/25/50 (144A) 600,000 $150,595
CSMC Trust 2014-SURF, Floating Rate Note, 2/15/29 (144A) 700,000 $701,212
CWABS Asset-Backed Certificates Trust 2005-1, Floating Rate Note, 2/25/33 244,000 $45,621
CWABS Asset-Backed Certificates Trust 2005-1, Floating Rate Note, 6/25/35 1,554,000 $93,238
CWABS Inc Asset-Backed Certificates Trust 2004-6, Floating Rate Note, 11/25/34 4,839,000 $152,828
CWABS Inc Asset-Backed Certificates Trust 2004-6, Floating Rate Note, 11/25/34 4,100,000 $210,076
Daimler Finance North America LLC, 1.45%, 8/1/16 (144A) 1,000,000 $1,010,059
Daimler Finance North America LLC, 1.65%, 4/10/15 (144A) 965,000 $970,840
Daimler Finance North America LLC, Floating Rate Note, 3/10/17 (144A) 750,000 $751,330
Daimler Finance North America LLC, Floating Rate Note, 8/1/17 (144A) 617,000 $617,077
Darling Ingredients, Inc., Term B USD Loan, 12/19/20 522,375 $519,593
Dartmouth Zero% 31dec14 700,000 $693,000
Del Coronado Trust 2013-DEL, Floating Rate Note, 3/16/26 (144A) 300,000 $300,118
Del Coronado Trust 2013-DEL, Floating Rate Note, 3/16/26 (144A) 399,000 $398,611
Dell Equipment Finance Trust 2014-1, 2.68%, 6/22/20 (144A) 750,000 $752,700
DELOS FINANCE SARL, Loan, 2/27/21 425,000 $423,459
Delta Air Lines, Inc., 2014 Term B-1 Loan, 10/18/18 99,242 $97,402
Devon Energy Corp., 1.2%, 12/15/16 500,000 $507,967
Diamond Resorts Owner Trust 2013-2, 2.62%, 5/20/26 (144A) 750,000 $481,089
Digital Realty Trust LP, 4.5%, 7/15/15 650,000 $669,016
Direct Capital Funding V LLC, 1.673%, 12/20/17 (144A) 175,000 $35,639
Direct Capital Funding V LLC, 4.83%, 11/20/20 (144A) 750,000 $765,348
Discover Card Execution Note Trust, 0.81%, 8/15/17 500,000 $500,846
Discover Card Execution Note Trust, Floating Rate Note, 10/15/18 600,000 $600,117
Discovery Communications LLC, 3.7%, 6/1/15 750,000 $774,886
Drug Royalty II LP 2, Floating Rate Note, 7/15/23 (144A) 350,000 $336,227
DT Auto Owner Trust 2013-1, 1.67%, 2/15/19 (144A) 629,000 $469,594
Dubai Electricity & Water Authority, 8.5%, 4/22/15 (144A) 1,375,000 $1,420,547
Duke Energy Carolinas LLC, 1.75%, 12/15/16 750,000 $768,174
Duke Energy Florida, Inc., 0.65%, 11/15/15 500,000 $502,342
Duke Energy Indiana, Inc., Floating Rate Note, 7/11/16 303,000 $303,631
Duke Energy Progress, Inc., Floating Rate Note, 3/6/17 411,000 $411,853
East Lane Re, Ltd., Floating Rate Note, 3/13/15 (Cat Bond) (144A) 500,000 $512,041
East Lane Re VI, Ltd., Floating Rate Note, 3/14/18 (Cat Bond) (144A) 500,000 $503,766
Eco Services Operations Llc 1st Lien Tl-B L + 3.75% 10oct21 525,000 $524,016
Electricite de France SA, Floating Rate Note, 1/20/17 (144A) 750,000 $752,360
Ellington Loan Acquisition Trust 2007-1, Floating Rate Note, 5/26/37 (144A) 550,000 $507,176
Enbridge, Inc., Floating Rate Note, 10/1/16 500,000 $502,749
Encore Credit Receivables Trust 2005-3, Floating Rate Note, 10/25/35 1,000,000 $303,335
Endo Luxembourg Finance I 1st Lien Tl-B L + 2.5% 05nov20 497,500 $492,525
Energy Transfer Partners LP, 5.95%, 2/1/15 725,000 $744,532
Enterprise Products Operating LLC, 3.2%, 2/1/16 1,000,000 $1,037,202
Enterprise Products Operating LLC, 3.7%, 6/1/15 1,010,000 $1,042,283
EQTY 2014-INNS Mortgage Trust, Floating Rate Note, 5/8/31 (144A) 1,020,000 $1,007,759
EQTY 2014-INNS Mortgage Trust REMICS, Floating Rate Note, 5/8/31 (144A) 540,000 $534,740
Equity One Mortgage Pass-Through Trust 2003-1, Floating Rate Note, 8/25/33 11,389,000 $375,698
Equity One Mortgage Pass-Through Trust 2004-1, Floating Rate Note, 4/25/34 1,840,000 $470,159
Equity One Mortgage Pass-Through Trust 2004-2, Floating Rate Note, 7/25/34 1,925,000 $497,328
Equity One Mortgage Pass-Through Trust 2004-3, Floating Rate Note, 7/25/34 3,011,000 $183,733
Evergreen Skills Lux Sarl, Initial Term Loan (First Lien), 4/23/21 199,500 $197,505
Exeter Automobile Receivables Trust 2014-2, 1.06%, 8/15/18 400,000 $324,192
Export-Import Bank of Korea, 1.25%, 11/20/15 500,000 $505,149
Express Scripts Holding Co., 2.1%, 2/12/15 1,482,000 $1,494,787
Express Scripts Holding Co., 2.25%, 6/15/19 750,000 $752,483
Express Scripts Holding Co., 2.75%, 11/21/14 900,000 $912,095
Express Scripts Holding Co., 3.125%, 5/15/16 1,000,000 $1,049,717
Extended Stay America Trust 2013-ESH, 1.2783%, 12/5/31 (144A) 723,000 $719,794
Extended Stay America Trust 2013-ESH, Floating Rate Note, 12/5/31 (144A) 200,000 $199,688
Extended Stay America Trust 2013-ESH, Floating Rate Note, 12/5/31 (144A) 200,000 $199,882
Fannie Mae, 2.0%, 11/1/23 2,236,000 $1,955,802
Fannie Mae, 2.5%, 3/1/28 1,500,000 $1,289,642
Fannie Mae, 2.5%, 6/1/23 526,320 $426,766
Fannie Mae, 3.0%, 10/1/27 2,000,000 $1,356,639
Fannie Mae, 3.0%, 11/1/27 2,000,000 $1,592,712
Fannie Mae, 4.0%, 12/1/19 3,570,319 $743,619
Fannie Mae, 4.5%, 1/1/41 580,000 $289,913
Fannie Mae, 4.5%, 5/1/39 2,100,000 $893,611
Fannie Mae, 4.5%, 5/1/39 1,350,000 $528,391
Fannie Mae, 5.0%, 10/1/41 1,736,000 $816,846
Fannie Mae, 5.0%, 7/1/15 1,000,000 $12,975
Fannie Mae, 5.5%, 12/1/35 1,000,000 $75,005
Fannie Mae, 5.5%, 8/1/37 2,000,000 $386,293
Fannie Mae, 6.0%, 10/1/22 973,454 $307,639
Fannie Mae, 6.0%, 2/1/34 1,400,000 $38,306
Fannie Mae, 6.0%, 4/1/38 483,000 $42,148
Fannie Mae, 6.5%, 4/1/29 9,050,000 $311,902
Fannie Mae, 6.5%, 6/1/16 700,000 $1,945
Fannie Mae, 6.5%, 7/1/32 723,471 $8,853
Fannie Mae, 6.5%, 8/1/17 667,089 $18,966
Fannie Mae, 7.0%, 1/1/36 1,000,000 $43,794
Fannie Mae, 7.0%, 10/1/19 19,053,741 $143,987
Fannie Mae, 7.0%, 7/1/17 3,768,412 $46,957
Fannie Mae, Floating Rate Note, 1/1/25 7,000,000 $56,643
Fannie Mae, Floating Rate Note, 10/1/29 10,892,567 $85,733
Fannie Mae, Floating Rate Note, 10/1/29 4,831,796 $104,698
Fannie Mae, Floating Rate Note, 10/1/36 1,877,185 $316,414
Fannie Mae, Floating Rate Note, 11/1/24 7,000,000 $89,733
Fannie Mae, Floating Rate Note, 11/1/25 700,000 $3,452
Fannie Mae, Floating Rate Note, 11/1/40 9,368,434 $116,695
Fannie Mae, Floating Rate Note, 12/1/28 1,112,489 $52,373
Fannie Mae, Floating Rate Note, 12/1/36 6,500,000 $258,966
Fannie Mae, Floating Rate Note, 2/1/27 4,000,000 $14,765
Fannie Mae, Floating Rate Note, 2/1/33 380,000 $1,379
Fannie Mae, Floating Rate Note, 4/1/28 400,000 $3,285
Fannie Mae, Floating Rate Note, 4/1/29 400,000 $2,877
Fannie Mae, Floating Rate Note, 7/1/36 500,000 $53,691
Fannie Mae Connecticut Avenue Securities, Floating Rate Note, 10/25/23 544,000 $463,866
Fannie Mae Connecticut Avenue Securities, Floating Rate Note, 5/25/24 1,020,000 $923,735
Fannie Mae Connecticut Avenue Securities, Floating Rate Note, 7/25/24 1,540,000 $1,430,576
Fannie Mae Trust 2005-W4, Floating Rate Note, 6/25/45 1,600,000 $254,942
Fannie Mae Whole Loan, Floating Rate Note, 11/25/46 4,252,000 $771,625
FDIC 2010-R1 Trust, 2.184%, 5/25/50 (144A) 2,060,000 $786,247
Federal Home Loan Banks, 2.9%, 4/20/17 1,370,000 $266,350
Federal Home Loan Mortgage Corp., 2.5%, 10/1/27 1,247,958 $994,281
Federal Home Loan Mortgage Corp., 2.75%, 11/15/25 1,000,000 $474,935
Federal Home Loan Mortgage Corp., 3.0%, 1/15/30 893,000 $486,094
Federal Home Loan Mortgage Corp., 3.5%, 8/15/28 500,000 $177,565
Federal Home Loan Mortgage Corp., 4.0%, 1/15/34 5,000,000 $314,907
Federal Home Loan Mortgage Corp., 4.0%, 5/1/24 2,400,000 $254,397
Federal Home Loan Mortgage Corp., 4.0%, 5/15/37 1,753,000 $162,952
Federal Home Loan Mortgage Corp., 4.5%, 7/1/19 1,381,464 $199,967
Federal Home Loan Mortgage Corp., 4.5%, 7/1/19 1,467,130 $172,421
Federal Home Loan Mortgage Corp., 5.0%, 12/1/39 265,000 $122,459
Federal Home Loan Mortgage Corp., 5.0%, 2/1/21 1,000,000 $89,355
Federal Home Loan Mortgage Corp., 5.0%, 4/15/32 3,500,000 $141,931
Federal Home Loan Mortgage Corp., 5.5%, 8/1/23 1,563,938 $60,440
Federal Home Loan Mortgage Corp., 5.75%, 2/15/34 1,034,000 $21,805
Federal Home Loan Mortgage Corp., 6.5%, 7/1/16 2,000,000 $8,320
Federal Home Loan Mortgage Corp., Floating Rate Note, 1/1/28 500,000 $3,188
Federal Home Loan Mortgage Corp., Floating Rate Note, 1/15/33 40,000,000 $1,801,355
Federal Home Loan Mortgage Corp., Floating Rate Note, 1/15/35 1,635,000 $235,153
Federal Home Loan Mortgage Corp., Floating Rate Note, 10/1/31 19,044,336 $342,135
Federal Home Loan Mortgage Corp., Floating Rate Note, 11/1/31 1,399,950 $6,759
Federal Home Loan Mortgage Corp., Floating Rate Note, 11/15/36 2,046,908 $107,565
Federal Home Loan Mortgage Corp., Floating Rate Note, 12/1/31 49,986,196 $268,771
Federal Home Loan Mortgage Corp., Floating Rate Note, 2/17/32 12,638,000 $354,897
Federal Home Loan Mortgage Corp., Floating Rate Note, 3/15/30 1,147,667 $495,487
Federal Home Loan Mortgage Corp., Floating Rate Note, 3/15/32 33,450,000 $420,068
Federal Home Loan Mortgage Corp., Floating Rate Note, 3/15/41 2,498,000 $896,154
Federal Home Loan Mortgage Corp., Floating Rate Note, 4/1/25 13,000,000 $17,856
Federal Home Loan Mortgage Corp., Floating Rate Note, 4/1/29 160,000 $2,022
Federal Home Loan Mortgage Corp., Floating Rate Note, 4/15/33 22,025,143 $949,308
Federal Home Loan Mortgage Corp., Floating Rate Note, 4/15/36 4,003,000 $691,994
Federal Home Loan Mortgage Corp., Floating Rate Note, 5/1/25 588,110 $6,225
Federal Home Loan Mortgage Corp., Floating Rate Note, 7/1/18 2,100,000 $4,532
Federal Home Loan Mortgage Corp., Floating Rate Note, 7/15/19 1,500,000 $108,864
Federal Home Loan Mortgage Corp., Floating Rate Note, 7/15/28 52,559,000 $383,147
Federal Home Loan Mortgage Corp., Floating Rate Note, 7/15/31 49,927,842 $534,637
Federal Home Loan Mortgage Corp., Floating Rate Note, 8/1/31 500,000 $1,493
Federal Home Loan Mortgage Corp., Floating Rate Note, 8/1/31 12,000,000 $92,914
Federal Home Loan Mortgage Corp., Floating Rate Note, 8/15/19 6,831,666 $235,252
Federal Home Loan Mortgage Corp. REMICS, 3.5%, 10/15/18 500,000 $96,626
Federal Home Loan Mortgage Corp. REMICS, 3.5%, 6/15/28 1,119,000 $150,007
Federal Home Loan Mortgage Corp. REMICS, 4.0%, 12/15/22 890,000 $9,195
Federal Home Loan Mortgage Corp. REMICS, 5.0%, 6/15/34 401,000 $19,630
Federal Home Loan Mortgage Corp. REMICS, 5.5%, 10/15/35 1,625,000 $71,474
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 1/15/36 400,312 $85,689
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 1/15/37 16,831,292 $1,097,044
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 10/15/20 9,083,556 $175,839
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 10/15/37 3,873,000 $299,380
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 11/15/36 600,000 $108,677
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 11/15/36 1,229,000 $236,996
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 11/15/37 3,358,000 $561,754
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/32 2,900,000 $237,851
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/32 1,931,288 $161,568
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/35 2,232,000 $380,048
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/36 6,932,100 $571,980
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/39 666,000 $286,893
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/30 586,107 $276,753
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/32 15,205,000 $257,770
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/33 20,000,000 $284,120
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/36 909,000 $171,395
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/37 2,840,000 $179,704
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/39 288,000 $154,874
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/41 1,878,046 $382,506
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/42 350,000 $211,894
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 3/15/32 35,466,000 $329,661
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 3/15/32 15,667,000 $193,538
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 3/15/38 2,600,000 $924,751
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 3/15/41 3,243,333 $776,029
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 4/15/27 22,817,000 $258,140
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 4/15/28 10,000,000 $159,005
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 4/15/36 728,000 $151,722
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 4/15/41 2,446,437 $506,741
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 5/15/36 4,000,000 $274,044
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 5/15/36 2,159,000 $161,077
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 5/15/41 638,000 $121,715
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 6/15/36 1,288,000 $140,494
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 6/15/41 1,220,000 $334,893
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 7/15/23 835,000 $191,940
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 7/15/36 3,107,000 $253,890
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 8/15/18 600,000 $118,646
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 8/15/25 8,280,485 $695,944
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 8/15/25 970,000 $315,025
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 8/15/26 370,000 $141,040
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 8/15/35 462,000 $95,585
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 8/15/36 5,044,000 $280,540
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 9/15/26 385,000 $232,786
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 9/15/33 2,647,000 $201,263
Federal National Mortgage Association, 0.75%, 8/16/17 (Step) 410,000 $410,714
Federal National Mortgage Association, 2.0%, 8/1/23 1,465,000 $1,248,447
Federal National Mortgage Association, 2.5%, 4/25/36 635,000 $237,934
Federal National Mortgage Association, 2.5%, 9/1/22 2,000,000 $1,359,470
Federal National Mortgage Association, 2.75%, 6/25/20 1,750,000 $493,718
Federal National Mortgage Association, 3.0%, 12/1/21 2,000,000 $969,698
Federal National Mortgage Association, 3.0%, 6/25/39 5,000,000 $642,271
Federal National Mortgage Association, 3.5%, 1/25/24 7,225,000 $424,182
Federal National Mortgage Association, 3.5%, 3/25/28 2,344,102 $270,010
Federal National Mortgage Association, 3.5%, 7/25/24 1,250,000 $290,336
Federal National Mortgage Association, 4.0%, 1/1/20 7,280,000 $1,299,520
Federal National Mortgage Association, 4.0%, 10/1/20 4,317,004 $1,315,303
Federal National Mortgage Association, 4.0%, 3/1/21 4,071,760 $1,354,737
Federal National Mortgage Association, 4.0%, 8/1/19 2,761,217 $471,695
Federal National Mortgage Association, 4.5%, 10/25/38 5,000,000 $277,219
Federal National Mortgage Association, 4.5%, 3/25/37 9,900,000 $83,334
Federal National Mortgage Association, 4.5%, 6/25/40 4,200,000 $1,152,975
Federal National Mortgage Association, 4.5%, 8/25/27 4,509,000 $229,102
Federal National Mortgage Association, 5.0%, 6/25/32 18,817,000 $194,778
Federal National Mortgage Association, 5.0%, 7/25/32 7,363,000 $275,994
Federal National Mortgage Association, 5.0%, 8/25/22 9,200,000 $150,078
Federal National Mortgage Association, Floating Rate Note, 10/18/32 11,398,000 $383,591
Federal National Mortgage Association, Floating Rate Note, 11/25/27 15,797,000 $534,563
Federal National Mortgage Association, Floating Rate Note, 2/25/23 77,000,000 $403,388
Federal National Mortgage Association, Floating Rate Note, 3/25/18 8,811,000 $279,609
Federal National Mortgage Association, Floating Rate Note, 3/25/36 2,108,510 $473,257
Federal National Mortgage Association, Floating Rate Note, 4/25/33 36,000,000 $1,032,103
Federal National Mortgage Association, Floating Rate Note, 4/25/35 1,250,000 $238,095
Federal National Mortgage Association, Floating Rate Note, 6/25/32 21,270,000 $592,379
Federal National Mortgage Association, Floating Rate Note, 6/25/36 7,000,000 $820,961
Federal National Mortgage Association, Floating Rate Note, 6/25/36 6,118,000 $1,075,095
Federal National Mortgage Association, Floating Rate Note, 7/25/27 1,402,000 $56,650
Federal National Mortgage Association, Floating Rate Note, 8/25/35 2,868,000 $355,068
Federal National Mortgage Association, Floating Rate Note, 9/25/22 3,000,000 $128,097
Federal National Mortgage Association 2004-T2, Floating Rate Note, 7/25/43 6,750,000 $946,733
Federal National Mortgage Association 2006-48-T, 5.5%, 12/25/34 1,716,418 $470,090
Federal National Mortgage Association REMICS, 1.5%, 11/25/20 745,000 $182,031
Federal National Mortgage Association REMICS, 1.75%, 12/25/22 1,000,000 $309,634
Federal National Mortgage Association REMICS, 3.0%, 1/25/21 4,450,000 $872,911
Federal National Mortgage Association REMICS, 3.0%, 4/25/40 1,110,000 $179,146
Federal National Mortgage Association REMICS, 3.5%, 10/25/39 490,000 $321,147
Federal National Mortgage Association REMICS, 4.0%, 5/25/29 2,000,000 $2,084,171
Federal National Mortgage Association REMICS, 4.0%, 6/25/37 900,000 $40,707
Federal National Mortgage Association REMICS, 5.0%, 9/25/39 110,000 $21,780
Federal National Mortgage Association REMICS, 6.0%, 3/25/35 1,000,000 $27,374
Federal National Mortgage Association REMICS, 6.0%, 6/25/29 685,000 $130,314
Federal National Mortgage Association REMICS, Floating Rate Note, 1/18/32 4,920,043 $76,029
Federal National Mortgage Association REMICS, Floating Rate Note, 1/25/24 51,985,111 $287,758
Federal National Mortgage Association REMICS, Floating Rate Note, 1/25/33 2,782,000 $101,763
Federal National Mortgage Association REMICS, Floating Rate Note, 1/25/34 10,970,000 $1,765,752
Federal National Mortgage Association REMICS, Floating Rate Note, 10/25/35 1,878,000 $194,912
Federal National Mortgage Association REMICS, Floating Rate Note, 10/25/36 11,844,000 $447,682
Federal National Mortgage Association REMICS, Floating Rate Note, 10/25/38 1,808,000 $204,595
Federal National Mortgage Association REMICS, Floating Rate Note, 10/27/37 1,375,920 $1,373,278
Federal National Mortgage Association REMICS, Floating Rate Note, 11/18/32 24,329,000 $472,454
Federal National Mortgage Association REMICS, Floating Rate Note, 11/25/36 2,248,000 $323,599
Federal National Mortgage Association REMICS, Floating Rate Note, 11/25/39 2,750,000 $512,668
Federal National Mortgage Association REMICS, Floating Rate Note, 12/18/32 6,330,000 $102,757
Federal National Mortgage Association REMICS, Floating Rate Note, 12/25/31 4,375,000 $178,710
Federal National Mortgage Association REMICS, Floating Rate Note, 12/25/32 34,313,143 $750,352
Federal National Mortgage Association REMICS, Floating Rate Note, 12/25/37 5,672,000 $198,936
Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/33 4,696,499 $234,572
Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/35 603,000 $193,493
Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/37 1,940,000 $201,477
Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/37 4,308,000 $193,161
Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/38 624,000 $177,528
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/24 4,129,409 $166,519
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/34 4,612,000 $295,570
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/34 763,500 $219,403
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/35 4,100,000 $654,983
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/35 1,278,000 $260,295
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/36 11,585,646 $1,304,908
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/37 960,000 $142,585
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/37 8,873,506 $228,658
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/37 4,100,000 $280,712
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/37 9,250,000 $287,536
Federal National Mortgage Association REMICS, Floating Rate Note, 4/25/32 50,000,000 $656,487
Federal National Mortgage Association REMICS, Floating Rate Note, 4/25/32 10,133,000 $617,185
Federal National Mortgage Association REMICS, Floating Rate Note, 4/25/34 644,866 $80,568
Federal National Mortgage Association REMICS, Floating Rate Note, 4/25/36 1,737,000 $345,410
Federal National Mortgage Association REMICS, Floating Rate Note, 5/18/32 31,809,000 $700,152
Federal National Mortgage Association REMICS, Floating Rate Note, 5/25/17 20,000,000 $153,784
Federal National Mortgage Association REMICS, Floating Rate Note, 5/25/33 4,068,000 $109,370
Federal National Mortgage Association REMICS, Floating Rate Note, 5/25/36 6,641,000 $227,867
Federal National Mortgage Association REMICS, Floating Rate Note, 5/25/37 6,826,000 $265,687
Federal National Mortgage Association REMICS, Floating Rate Note, 5/25/40 761,373 $350,401
Federal National Mortgage Association REMICS, Floating Rate Note, 6/25/35 7,977,000 $694,330
Federal National Mortgage Association REMICS, Floating Rate Note, 6/25/36 2,317,493 $247,359
Federal National Mortgage Association REMICS, Floating Rate Note, 6/25/37 4,600,000 $335,740
Federal National Mortgage Association REMICS, Floating Rate Note, 6/25/37 2,134,162 $283,689
Federal National Mortgage Association REMICS, Floating Rate Note, 6/25/37 1,010,000 $102,815
Federal National Mortgage Association REMICS, Floating Rate Note, 6/25/38 2,355,000 $175,371
Federal National Mortgage Association REMICS, Floating Rate Note, 7/25/34 1,642,000 $114,808
Federal National Mortgage Association REMICS, Floating Rate Note, 7/25/35 750,000 $170,811
Federal National Mortgage Association REMICS, Floating Rate Note, 7/25/35 3,227,000 $396,312
Federal National Mortgage Association REMICS, Floating Rate Note, 7/25/38 6,812,000 $354,353
Federal National Mortgage Association REMICS, Floating Rate Note, 8/25/36 4,040,000 $480,235
Federal National Mortgage Association REMICS, Floating Rate Note, 8/25/40 692,000 $337,487
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/33 4,915,594 $557,146
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/36 1,275,000 $178,723
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/36 3,447,000 $230,649
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/37 679,000 $91,542
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/37 2,524,000 $109,321
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/37 3,700,000 $367,986
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/37 2,706,000 $339,859
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/39 683,053 $113,661
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/41 750,000 $459,045
FHLMC Structured Pass Through Securities, Floating Rate Note, 12/25/29 12,000,000 $190,714
Fieldstone Mortgage Investment Trust Series 2005-1, Floating Rate Note, 3/25/35 311,000 $122,411
Fieldwood Energy LLC, Closing Date Loan, 9/25/18 991,245 $971,626
Fifth Third Bancorp, Floating Rate Note, 12/20/16 730,000 $727,456
Fifth Third Bank Cincinnati Ohio, 1.15%, 11/18/16 750,000 $755,483
Fifth Third Bank Cincinnati Ohio, 4.75%, 2/1/15 1,250,000 $1,277,424
Fifth Third Bank Cincinnati Ohio, Floating Rate Note, 2/26/16 500,000 $501,767
First Franklin Mortgage Loan Trust 2002-FFA, Floating Rate Note, 9/25/32 5,500,000 $298,402
First Franklin Mortgage Loan Trust 2003-FFC, Floating Rate Note, 11/25/32 8,000,000 $415,269
First Franklin Mortgage Loan Trust 2005-FFH3, Floating Rate Note, 9/25/35 1,100,000 $551,620
First Horizon Mortgage Pass-Through Trust 2004-AR1, Floating Rate Note, 2/25/34 1,500,000 $59,686
First Horizon Mortgage Pass-Through Trust 2004-AR5, Floating Rate Note, 10/25/34 940,000 $57,347
First Investors Auto Owner Trust 2012-2, 1.47%, 5/15/18 (144A) 200,000 $52,497
First Investors Auto Owner Trust 2013-1, 1.81%, 10/15/18 (144A) 55,000 $55,492
First Investors Auto Owner Trust 2013-1, 2.02%, 1/15/19 (144A) 200,000 $200,884
First Investors Auto Owner Trust 2013-2, 1.23%, 3/15/19 (144A) 1,048,000 $594,078
First Investors Auto Owner Trust 2013-3, 2.32%, 10/15/19 (144A) 300,000 $304,178
First Investors Auto Owner Trust 2014-2, 0.86%, 8/15/18 (144A) 600,000 $600,394
First NLC Trust 2005-2, Floating Rate Note, 9/25/35 3,362,996 $1,142,576
Flagstar Home Equity Loan Trust 2005-1, Floating Rate Note, 6/25/18 (144A) 4,800,000 $380,541
Fly Funding II Sarl, Loan, 8/8/18 385,000 $385,150
FMG Resources August 2006 Pty, Ltd., Loan, 6/30/19 98,010 $95,787
Foothill CLO, Ltd., Floating Rate Note, 2/22/21 (144A) 500,000 $309,175
Ford Credit Auto Owner Trust, 2.27%, 1/15/17 200,000 $203,755
Ford Credit Auto Owner Trust 2013-C, 0.55%, 4/15/16 385,000 $76,943
Ford Credit Auto Owner Trust 2013-D, 1.54%, 3/15/19 100,000 $100,497
Ford Credit Auto Owner Trust 2014-A, 0.48%, 11/15/16 260,000 $161,629
Ford Motor Credit Co LLC, 1.7%, 5/9/16 500,000 $507,792
Ford Motor Credit Co LLC, 1.724%, 12/6/17 700,000 $700,693
Ford Motor Credit Co LLC, 2.375%, 1/16/18 250,000 $254,125
Ford Motor Credit Co LLC, 2.75%, 5/15/15 950,000 $971,504
Ford Motor Credit Co LLC, 2.875%, 10/1/18 500,000 $512,463
Ford Motor Credit Co LLC, 3.875%, 1/15/15 200,000 $203,537
Ford Motor Credit Co LLC, Floating Rate Note, 9/8/17 750,000 $749,162
Fore CLO, Ltd., Floating Rate Note, 7/20/19 (144A) 250,000 $55,650
Foresight Energy LLC, Term Loan, 8/21/20 67,011 $67,514
Fosse Master Issuer Plc, Floating Rate Note, 10/18/54 (144A) 100,000 $101,569
Foundation Re III, Ltd., Floating Rate Note, 2/25/15 (Cat Bond) (144A) 750,000 $765,450
Four Corners CLO II, Ltd., Floating Rate Note, 1/26/20 (144A) 553,000 $528,773
Franklin Resources, Inc., 3.125%, 5/20/15 940,000 $966,590
Freddie Mac REMICS, Floating Rate Note, 2/15/32 14,441,000 $1,002,410
Freddie Mac Strips, Floating Rate Note, 12/15/36 2,327,000 $152,625
Freddie Mac Strips, Floating Rate Note, 8/15/36 6,894,664 $372,482
Freddie Mac Structured Agency Credit Risk Debt Notes, Floating Rate Note, 10/25/24 700,000 $700,233
Freddie Mac Structured Agency Credit Risk Debt Notes, Floating Rate Note, 11/27/23 750,000 $618,422
Freddie Mac Structured Agency Credit Risk Debt Notes, Floating Rate Note, 2/25/24 485,000 $453,390
Freddie Mac Structured Agency Credit Risk Debt Notes, Floating Rate Note, 8/25/24 1,430,000 $1,411,536
FREMF Mortgage Trust 2012-K501, Floating Rate Note, 11/26/46 (144A) 409,000 $421,414
Fresenius US Finance I, Inc., Tranche B Term Loan, 8/7/19 495,000 $492,731
Gale Force 3 Clo, Ltd., Floating Rate Note, 4/19/21 (144A) 500,000 $308,424
Galileo Re, Ltd., Floating Rate Note, 1/9/19 (Cat Bond) (144A) 750,000 $786,546
Garda World Security Corp., Term B Delayed Draw Loan, 11/8/20 122,866 $120,255
Garda World Security Corp., Term B Loan, 11/1/20 480,295 $470,089
Gator Re, Ltd., Floating Rate Note, 1/9/17 (Cat Bond) (144A) 600,000 $618,754
GATX Corp., 1.25%, 3/4/17 750,000 $748,299
GE Business Loan Trust 2003-1, Floating Rate Note, 4/15/31 (144A) 10,972,000 $543,319
GE Business Loan Trust 2003-2 REMICS, Floating Rate Note, 11/15/31 (144A) 1,409,576 $151,583
GE Business Loan Trust 2004-1, Floating Rate Note, 5/15/32 (144A) 4,436,203 $406,816
GE Business Loan Trust 2004-2, Floating Rate Note, 12/15/32 (144A) 2,833,274 $454,131
GE Business Loan Trust 2005-1, Floating Rate Note, 6/15/33 (144A) 1,192,482 $613,125
GE Business Loan Trust 2006-2, Floating Rate Note, 11/15/34 (144A) 1,920,423 $745,940
GE Business Loan Trust 2007-1, Floating Rate Note, 4/16/35 (144A) 1,550,000 $654,935
GE Capital Commercial Mortgage Corp., Floating Rate Note, 6/10/48 1,340,000 $960,817
GE Capital Commercial Mortgage Corp., Floating Rate Note, 7/10/45 490,000 $499,644
GE Capital Commercial Mortgage Corp., Floating Rate Note, 7/10/45 (144A) 500,000 $507,585
GE Dealer Floorplan Master Note Trust, Floating Rate Note, 10/20/17 256,000 $256,321
GE Dealer Floorplan Master Note Trust, Floating Rate Note, 4/20/18 1,220,000 $1,223,663
GE Equipment Small Ticket LLC Series 2013-1, 0.73%, 1/25/16 (144A) 200,000 $112,323
GE Equipment Transportation LLC Series 2013-1, 0.5%, 11/24/15 180,000 $28,163
GE Equipment Transportation LLC Series 2013-2, 0.61%, 6/24/16 480,000 $341,610
General Electric Capital Corp., 1.625%, 7/2/15 1,235,000 $1,252,344
General Electric Capital Corp., Floating Rate Note, 5/15/17 750,000 $751,209
General Electric Capital Corp., Floating Rate Note, 7/12/16 296,000 $298,530
General Electric Capital Corp., Floating Rate Note, 7/2/15 665,000 $670,288
General Electric Capital Corp., Floating Rate Note, 8/1/17 500,000 $500,954
General Mills, Inc., 0.875%, 1/29/16 250,000 $250,925
General Mills, Inc., Floating Rate Note, 1/28/16 565,000 $565,037
Gentiva Health Services, Inc., Initial Term B Loan, 10/10/19 223,250 $223,948
Georgia Power Co., Floating Rate Note, 3/15/16 827,000 $826,833
Georgia Power Co., Floating Rate Note, 8/15/16 500,000 $500,686
GLC Trust 2013-1, 3.0%, 7/15/21 (144A) 1,000,000 $890,416
Glencore Funding LLC, Floating Rate Note, 5/27/16 (144A) 1,000,000 $1,008,149
Global Container Assets 2013-1, Ltd., 2.2%, 11/5/28 (144A) 750,000 $526,151
Global Mortgage Securitization, Ltd., 5.25%, 4/25/32 (144A) 795,156 $242,064
Global Mortgage Securitization, Ltd., Floating Rate Note, 4/25/32 (144A) 8,633,000 $811,923
GMAC Commercial Mortgage Securities Inc Series 2004-C2 Trust, Floating Rate Note, 8/10/38 1,465,000 $11,781
GMAC Commercial Mortgage Securities Inc Series 2005-C1 Trust, 4.697%, 5/10/43 1,019,000 $1,033,376
GMAC Commercial Mortgage Securities Inc Series 2006-C1 Trust, Floating Rate Note, 11/10/45 2,370,000 $1,511,877
GMACM Mortgage Loan Trust 2004-AR1, Floating Rate Note, 6/25/34 2,100,000 $200,680
GMAT 2013-1 Trust, 3.9669%, 8/25/53 (Step) 1,505,000 $1,267,088
Golden State RE II, Ltd., Floating Rate Note, 1/8/19 (Cat Bond) (144A) 750,000 $749,400
Government National Mortgage Association, 3.0%, 12/20/38 1,000,000 $144,183
Government National Mortgage Association, 3.0%, 12/20/38 5,000,000 $1,401,420
Government National Mortgage Association, 3.0%, 4/20/41 300,000 $262,073
Government National Mortgage Association, 3.5%, 5/20/39 1,025,000 $587,045
Government National Mortgage Association, 3.5%, 8/20/38 1,115,000 $452,785
Government National Mortgage Association, 5.0%, 4/20/36 850,000 $114,545
Government National Mortgage Association, 5.0%, 5/20/35 2,100,000 $127,817
Government National Mortgage Association, 5.0%, 7/20/31 3,300,000 $13,799
Government National Mortgage Association, 5.25%, 5/20/31 14,313,000 $404,357
Government National Mortgage Association, Floating Rate Note, 1/16/35 2,563,000 $280,404
Government National Mortgage Association, Floating Rate Note, 1/16/40 2,000,000 $704,820
Government National Mortgage Association, Floating Rate Note, 1/20/34 1,775,000 $18,769
Government National Mortgage Association, Floating Rate Note, 2/16/30 14,415,492 $225,262
Government National Mortgage Association, Floating Rate Note, 2/16/53 2,000,000 $142,930
Government National Mortgage Association, Floating Rate Note, 2/20/35 2,059,000 $277,955
Government National Mortgage Association, Floating Rate Note, 2/20/38 2,477,000 $223,363
Government National Mortgage Association, Floating Rate Note, 3/16/53 1,200,000 $81,601
Government National Mortgage Association, Floating Rate Note, 4/16/31 12,627,242 $261,543
Government National Mortgage Association, Floating Rate Note, 4/16/32 10,000,000 $147,403
Government National Mortgage Association, Floating Rate Note, 4/16/32 33,333,000 $622,633
Government National Mortgage Association, Floating Rate Note, 8/16/52 2,000,000 $117,206
Government National Mortgage Association, Floating Rate Note, 8/20/35 1,177,000 $136,656
Government National Mortgage Association, Floating Rate Note, 8/20/40 1,000,000 $606,503
Government National Mortgage Association, Floating Rate Note, 9/16/52 1,800,000 $132,431
Government National Mortgage Association, Floating Rate Note, 9/20/33 704,000 $80,836
Government National Mortgage Association I, 5.0%, 8/15/19 1,347,915 $349,154
Government National Mortgage Association I, 6.0%, 11/15/36 2,000,000 $185,582
Government National Mortgage Association I, 6.0%, 12/15/31 1,500,000 $69,572
Government National Mortgage Association I, 6.0%, 3/15/17 10,311,138 $186,180
Government National Mortgage Association I, 6.5%, 10/15/37 400,000 $54,398
Government National Mortgage Association I, 6.5%, 5/15/31 3,183,996 $40,642
Government National Mortgage Association I, 6.5%, 7/15/35 328,670 $21,646
Government National Mortgage Association I, 7.5%, 10/15/36 1,000,000 $61,304
Government National Mortgage Association II, 6.0%, 10/20/21 3,113,223 $523,113
Government National Mortgage Association II, 6.0%, 11/20/22 1,986,670 $253,685
Government National Mortgage Association II, 6.0%, 4/20/22 1,262,566 $190,636
Government National Mortgage Association II, 6.0%, 8/20/19 2,911,151 $179,063
Government National Mortgage Association REMICS, 2.0%, 1/16/46 3,000,000 $2,980,500
Government National Mortgage Association REMICS, 4.0%, 9/20/37 4,000,000 $2,957,071
GP Portfolio Trust 2014-GGP, Floating Rate Note, 2/16/27 (144A) 1,000,000 $1,001,971
Gracechurch Card Funding Plc, Floating Rate Note, 5/15/19 (144A) 500,000 $505,196
Gracechurch Card Funding Plc, Floating Rate Note, 6/15/17 (144A) 300,000 $300,789
Gray Television Inc. 1st Lien Tl L + 3% 10jun21 897,484 $889,444
GreenPoint Mortgage Funding Trust 2005-HE1, Floating Rate Note, 9/25/34 297,570 $143,713
GSAA Home Equity Trust 2004-6, Floating Rate Note, 6/25/34 15,032,940 $406,249
GSAA Home Equity Trust 2005-11, Floating Rate Note, 10/25/35 1,022,000 $141,081
GSAA Trust, Floating Rate Note, 6/25/35 1,900,000 $542,860
GSAA Trust, Floating Rate Note, 6/25/35 440,000 $318,933
GSAMP Trust 2005-HE1, Floating Rate Note, 12/25/34 1,210,753 $108,111
GSAMP Trust 2006-SEA1, Floating Rate Note, 5/25/36 (144A) 5,518,315 $476,128
GS Caltex Corp., 3.25%, 10/1/18 (144A) 500,000 $514,070
GS Mortgage Securities Corp II Series 2005-GG4 REMICS, 4.782%, 7/10/39 1,145,000 $1,160,841
GS Mortgage Securities Trust 2006-GG6 REMICS, Floating Rate Note, 4/10/38 1,020,000 $1,063,166
GS Mortgage Securities Trust 2014-GSFL, Floating Rate Note, 7/15/31 (144A) 495,000 $496,598
GSR Mortgage Loan Trust 2003-9, Floating Rate Note, 8/25/33 4,000,000 $270,367
GSR Mortgage Loan Trust 2004-7, Floating Rate Note, 6/25/34 4,189,737 $526,652
GSRPM Mortgage Loan Trust 2003-2, Floating Rate Note, 6/25/33 393,823 $242,222
GSRPM Mortgage Loan Trust 2006-1, Floating Rate Note, 3/25/35 (144A) 1,201,850 $171,678
GSRPM Mortgage Loan Trust 2006-2, Floating Rate Note, 9/25/36 (144A) 1,226,000 $173,228
GTP Acquisition Partners I LLC, 4.347%, 6/15/41 (144A) 614,000 $628,673
Halyard Health Inc 1st Lien Tl-B L + 3.25% 16sep21 300,000 $300,657
HarborView Mortgage Loan Trust 2004-1, Floating Rate Note, 4/19/34 3,987,000 $176,383
Harley-Davidson Financial Services, Inc., 3.875%, 3/15/16 (144A) 175,000 $182,831
Health Care Real Estate Investment Trust, Inc., 2.25%, 3/15/18 500,000 $507,454
Hercules Capital Funding Trust 2012-1, 3.32%, 12/16/17 (144A) 250,000 $52,062
Hertz Fleet Lease Funding LP, Floating Rate Note, 4/10/28 (144A) 300,000 $300,204
Hess Corp., 1.3%, 6/15/17 750,000 $749,163
Hilton Grand Vacations Trust 2014-A, 2.07%, 11/25/26 (144A) 750,000 $679,458
Hilton USA Trust 2013-HLF, Floating Rate Note, 11/5/30 (144A) 500,000 $501,093
Hilton USA Trust 2013-HLF, Floating Rate Note, 11/5/30 (144A) 175,000 $175,219
Hilton Worldwide Finance LLC, Initial Term Loan, 9/23/20 396,842 $393,494
HLSS Servicer Advance Receivables Trust, 1.2437%, 1/17/45 1,250,000 $1,251,066
HLSS Servicer Advance Receivables Trust, 1.4953%, 1/16/46 (144A) 1,706,000 $1,702,357
HLSS Servicer Advance Receivables Trust, 1.7436%, 1/16/46 (144A) 250,000 $249,994
HLSS Servicer Advance Receivables Trust, 4.94%, 10/15/45 (144A) 350,000 $357,453
Holmes Master Issuer Plc, Floating Rate Note, 10/15/54 (144A) 250,000 $262,738
Hologic, Inc., Refinancing Tranche B Term Loan, 8/1/19 493,548 $490,815
HomeBanc Mortgage Trust 2005-2, Floating Rate Note, 5/25/25 6,015,011 $232,695
Home Equity Asset Trust 2005-3, Floating Rate Note, 8/25/35 250,000 $17,240
Home Equity Asset Trust 2006-4, Floating Rate Note, 8/25/36 253,896 $72,343
Home Equity Asset Trust 2006-8, Floating Rate Note, 3/25/37 1,394,318 $416,736
Home Equity Mortgage Trust, 5.821%, 4/25/35 (Step) 1,000,000 $281,596
Home Equity Mortgage Trust 2005-2, Floating Rate Note, 7/25/35 1,113,955 $405,655
Home Loan Trust 2003-HI1, 5.77%, 4/25/28 (Step) 1,500,000 $98,302
Homestar Mortgage Acceptance Corp., Floating Rate Note, 1/25/35 3,700,000 $454,361
Homestar Mortgage Acceptance Corp., Floating Rate Note, 3/25/34 25,588,000 $1,486,086
Homestar Mortgage Acceptance Corp., Floating Rate Note, 6/25/34 3,670,962 $324,079
Homestar Mortgage Acceptance Corp., Floating Rate Note, 7/25/34 2,600,000 $240,662
Honda Auto Receivables 2012-2 Owner Trust, 0.7%, 2/16/16 350,000 $115,628
Honda Auto Receivables 2013-2 Owner Trust, 0.53%, 2/16/17 285,000 $285,255
Horizon Funding Trust 2013-1, 3.0%, 5/15/18 (144A) 585,000 $265,724
HSBC Bank Middle East, Ltd., 3.0%, 10/21/15 750,000 $762,613
HSBC Bank Plc, 3.5%, 6/28/15 (144A) 750,000 $773,608
HSBC Home Equity Loan Trust USA 2006-3, Floating Rate Note, 3/20/36 1,905,000 $1,693,870
HSBC USA, Inc., 2.375%, 2/13/15 1,280,000 $1,293,682
HSBC USA, Inc., Floating Rate Note, 6/23/17 750,000 $750,882
HSI Asset Securitization Corp Trust 2006-OPT1, Floating Rate Note, 12/25/35 350,623 $113,516
Huntsman International LLC, 2014-1 Incremental Term Loan, 9/30/21 550,000 $545,525
Hyperion Insurance Group, Ltd., Term Loan, 10/4/19 397,000 $396,504
Hyundai Auto Receivables Trust 2014-B, 2.1%, 11/15/19 500,000 $501,526
Hyundai Capital America, 1.875%, 8/9/16 (144A) 500,000 $508,548
Hyundai Capital America, 3.75%, 4/6/16 (144A) 1,375,000 $1,428,162
Hyundai Capital Auto Funding VIII, Ltd., Floating Rate Note, 9/20/16 (144A) 1,200,000 $105,831
Hyundai Motor Manufacturing Czech sro, 4.5%, 4/15/15 (144A) 1,000,000 $1,018,444
Ibis Re II, Ltd., Floating Rate Note, 2/5/15 (Cat Bond) (144A) 250,000 $261,656
Ibis Re II, Ltd., Floating Rate Note, 6/28/16 (Cat Bond) (144A) 500,000 $517,961
Impac CMB Trust Series 2004-4, Floating Rate Note, 9/25/34 14,479,489 $608,702
Impac CMB Trust Series 2004-4, Floating Rate Note, 9/25/34 32,445,000 $1,363,522
Impac CMB Trust Series 2004-5, Floating Rate Note, 10/25/34 5,941,000 $339,826
Impac CMB Trust Series 2004-6, Floating Rate Note, 10/25/34 2,125,000 $114,551
Impac CMB Trust Series 2004-7, Floating Rate Note, 11/25/34 18,863,000 $1,231,363
Impac CMB Trust Series 2004-8, Floating Rate Note, 8/25/34 590,000 $71,207
Impac CMB Trust Series 2005-4, Floating Rate Note, 5/25/35 3,000,000 $289,783
Impac Secured Assets Trust 2006-1, Floating Rate Note, 5/25/36 1,300,000 $439,231
Impac Secured Assets Trust 2006-2, Floating Rate Note, 8/25/36 1,173,000 $302,461
Impac Secured Assets Trust 2006-5, Floating Rate Note, 12/25/36 2,600,000 $564,320
IndyMac INDX Mortgage Loan Trust 2004-AR6, Floating Rate Note, 10/25/34 675,000 $79,121
Intel Corp., 1.35%, 12/15/17 700,000 $701,796
International Equipment Solutions LLC, Initial Loan, 8/16/19 142,646 $142,557
Intesa Sanpaolo S.p.A., 3.125%, 1/15/16 500,000 $515,104
Intesa Sanpaolo S.p.A., 3.625%, 8/12/15 (144A) 1,375,000 $1,410,513
Invitation Homes 2013-SFR1 Trust, Floating Rate Note, 12/19/30 (144A) 750,000 $732,020
Invitation Homes 2014-SFR2 Trust, Floating Rate Note, 9/18/31 (144A) 600,000 $594,648
Inwood Park CDO, Ltd., Floating Rate Note, 1/20/21 (144A) 1,000,000 $297,518
Irwin Home Equity Loan Trust 2005-1, 5.32%, 6/25/35 (Step) 900,000 $127,863
Irwin Whole Loan Home Equity Trust 2003-C, Floating Rate Note, 6/25/28 1,923,500 $134,526
Irwin Whole Loan Home Equity Trust 2003-C, Floating Rate Note, 6/25/28 2,350,000 $587,008
Irwin Whole Loan Home Equity Trust 2003-D, Floating Rate Note, 11/25/28 2,250,000 $204,179
Irwin Whole Loan Home Equity Trust 2005-B, Floating Rate Note, 12/25/29 1,775,000 $985,204
IXIS Real Estate Capital Trust 2005-HE4, Floating Rate Note, 2/25/36 250,000 $43,067
Jarden Corp., Tranche B1 Term Loan, 9/30/20 247,500 $247,067
JBS USA LLC, Incremental Term Loan, 9/18/20 198,000 $195,525
JobsOhio Beverage System, 0.872%, 1/1/15 500,000 $501,913
John Deere Capital Corp., 1.05%, 10/11/16 1,098,000 $1,102,520
John Deere Capital Corp., 1.05%, 12/15/16 750,000 $755,160
John Deere Capital Corp., 2.95%, 3/9/15 950,000 $962,655
John Deere Capital Corp., Floating Rate Note, 10/11/16 1,090,000 $1,093,272
Johnson Controls, Inc., 1.4%, 11/2/17 700,000 $700,120
JPMorgan Chase & Co., 1.1%, 10/15/15 492,000 $494,436
JPMorgan Chase & Co., 1.875%, 3/20/15 965,000 $972,040
JPMorgan Chase & Co., 3.4%, 6/24/15 265,000 $272,958
JPMorgan Chase & Co., Floating Rate Note, 2/15/17 500,000 $502,287
JPMorgan Chase & Co., Floating Rate Note, 2/25/21 500,000 $516,008
JPMorgan Chase & Co., Floating Rate Note, 2/26/16 320,000 $321,562
JP Morgan Chase Commercial Mortgage Securities Trust 2004-C3, 4.878%, 1/15/42 1,100,000 $576,926
JP Morgan Chase Commercial Mortgage Securities Trust 2004-LN2, Floating Rate Note, 7/15/41 637,677 $70,512
JP Morgan Chase Commercial Mortgage Securities Trust 2005-CIBC11, Floating Rate Note, 8/12/37 1,610,000 $1,126,927
JP Morgan Chase Commercial Mortgage Securities Trust 2005-LDP1 REMICS, Floating Rate Note, 3/15/46 985,000 $334,815
JP Morgan Chase Commercial Mortgage Securities Trust 2005-LDP2, 4.78%, 7/15/42 1,150,000 $1,173,082
JP Morgan Chase Commercial Mortgage Securities Trust 2005-LDP2 REMICS, 4.738%, 7/15/42 960,000 $975,125
JP Morgan Chase Commercial Mortgage Securities Trust 2005-LDP3, Floating Rate Note, 8/15/42 800,000 $819,455
JP Morgan Chase Commercial Mortgage Securities Trust 2005-LDP3 REMICS, Floating Rate Note, 8/15/42 440,000 $386,731
JP Morgan Chase Commercial Mortgage Securities Trust 2005-LDP4, Floating Rate Note, 10/15/42 500,000 $510,901
JP Morgan Chase Commercial Mortgage Securities Trust 2005-LDP5, Floating Rate Note, 12/15/44 1,920,000 $1,980,385
JP Morgan Chase Commercial Mortgage Securities Trust 2006-CIBC17, 5.45%, 12/12/43 435,000 $73,458
JP Morgan Chase Commercial Mortgage Securities Trust 2006-FL2, Floating Rate Note, 11/15/18 (144A) 2,550,000 $530,364
JP Morgan Chase Commercial Mortgage Securities Trust 2006-FL2, Floating Rate Note, 11/15/18 (144A) 550,000 $177,670
JP Morgan Chase Commercial Mortgage Securities Trust 2006-LDP9, Floating Rate Note, 5/15/47 250,000 $96,608
JP Morgan Chase Commercial Mortgage Securities Trust 2007-CIBC19, Floating Rate Note, 2/12/49 475,000 $127,118
JP Morgan Chase Commercial Mortgage Securities Trust 2013-ALC, Floating Rate Note, 7/17/26 (144A) 412,000 $416,156
JP Morgan Chase Commercial Mortgage Securities Trust 2013-FL3, Floating Rate Note, 4/17/28 (144A) 300,000 $300,124
JP Morgan Chase Commercial Mortgage Securities Trust 2013-JWRZ, Floating Rate Note, 4/15/30 (144A) 1,550,000 $1,548,746
JP Morgan Chase Commercial Mortgage Securities Trust 2014-BXH, Floating Rate Note, 4/15/27 (144A) 1,670,000 $1,668,742
JP Morgan Chase Commercial Mortgage Securities Trust 2014-FBLU, Floating Rate Note, 12/15/28 (144A) 945,000 $944,201
JP Morgan Chase Commercial Mortgage Securities Trust 2014-FBLU REMICS, Floating Rate Note, 12/15/28 1,030,000 $1,028,885
JP Morgan Chase Commercial Mortgage Securities Trust 2014-FL4, Floating Rate Note, 12/16/30 (144A) 410,000 $410,230
JP Morgan Chase Commercial Mortgage Securities Trust 2014-FL5, Floating Rate Note, 7/15/31 (144A) 490,000 $490,569
JP Morgan Chase Commercial Mortgage Securities Trust 2014-INN, Floating Rate Note, 6/15/29 (144A) 900,000 $899,067
JP Morgan Chase Commercial Mortgage Securities Trust 2014-INN, Floating Rate Note, 6/15/29 (144A) 650,000 $647,848
JP Morgan Chase Commercial Mortgage Securities Trust 2014-PHH, Floating Rate Note, 8/15/27 (144A) 1,100,000 $1,104,584
JP Morgan Mortgage Acquisition Trust 2006-ACC1, Floating Rate Note, 5/25/36 704,088 $197,963
JP Morgan Mortgage Trust 2003-A1, Floating Rate Note, 10/25/33 4,845,389 $569,733
JP Morgan Mortgage Trust 2004-A1, Floating Rate Note, 2/25/34 3,584,000 $345,569
JP Morgan Mortgage Trust 2004-A5, Floating Rate Note, 12/25/34 245,000 $179,425
JP Morgan Mortgage Trust 2004-S1, 5.0%, 9/25/34 3,504,124 $207,649
JP Morgan Mortgage Trust 2005-A3, Floating Rate Note, 6/25/35 6,041,179 $611,165
JP Morgan Mortgage Trust 2006-S3, 6.0%, 8/25/36 1,036,158 $707
Kane Flt% 12jun15 600,000 $556,320
KeyBank NA Cleveland Ohio, 1.1%, 11/25/16 500,000 $502,819
KeyBank NA Cleveland Ohio, 1.65%, 2/1/18 1,000,000 $1,001,651
KeyCorp, 3.75%, 8/13/15 931,000 $960,605
Kilimanjaro Re, Ltd., Floating Rate Note, 4/30/18 (Cat Bond) (144A) 350,000 $356,396
Kilimanjaro Re, Ltd., Floating Rate Note, 4/30/18 (Cat Bond) (144A) 650,000 $674,434
Kizuna II Re, Ltd., Floating Rate Note, 4/6/18 (Cat Bond) (144A) 450,000 $456,362
KKR Financial CLO 2007-1, Ltd., Floating Rate Note, 5/15/21 (144A) 375,000 $373,219
L-3 Communications Corp., 1.5%, 5/28/17 586,000 $586,172
La Hipotecaria Panamanian Mortgage Trust 2007-1, Floating Rate Note, 12/23/36 (144A) 1,400,000 $673,139
Lanark Master Issuer Plc, Floating Rate Note, 12/22/54 (144A) 250,000 $242,426
Las Vegas Sands LLC, Term B Loan, 12/19/20 248,125 $247,505
LB-UBS Commercial Mortgage Trust 2004-C1, 4.568%, 1/15/31 275,000 $32,002
LB-UBS Commercial Mortgage Trust 2005-C2 REMICS, Floating Rate Note, 4/15/30 1,455,000 $1,482,370
LB-UBS Commercial Mortgage Trust 2005-C3, 4.739%, 7/15/30 825,000 $495,907
LB-UBS Commercial Mortgage Trust 2005-C7 REMICS, Floating Rate Note, 11/15/30 (144A) 2,455,809 $2,303,764
LB-UBS Commercial Mortgage Trust 2006-C1 REMICS, 5.156%, 2/15/31 1,615,000 $1,639,240
LB-UBS Commercial Mortgage Trust 2008-C1, Floating Rate Note, 4/15/41 210,000 $87,584
Leaf Receivables Funding 8 LLC, 1.55%, 11/15/17 (144A) 195,000 $195,793
Leaf Receivables Funding 8 LLC, 2.67%, 9/15/20 (144A) 311,966 $314,089
Lehman ABS Manufactured Housing Contract Trust 2002-A, Floating Rate Note, 6/15/33 19,804,000 $912,498
Lehman Brothers Small Balance Commercial, Floating Rate Note, 2/25/30 (144A) 4,631,000 $665,134
Lehman Brothers Small Balance Commercial, Floating Rate Note, 4/25/31 (144A) 3,723,496 $593,863
Lehman Brothers Small Balance Commercial, Floating Rate Note, 4/25/31 (144A) 2,843,000 $508,361
Lehman Brothers Small Balance Commercial, Floating Rate Note, 9/25/30 (144A) 750,000 $246,843
Lehman Brothers Small Balance Commercial, Floating Rate Note, 9/25/30 (144A) 3,264,773 $577,455
Lehman Brothers Small Balance Commercial Mortgage Trust 2007-3, Floating Rate Note, 10/25/37 (144A) 466,904 $363,028
Lehman Brothers Small Balance Commercial Mortgage Trust 2007-3, Floating Rate Note, 10/25/37 (144A) 885,400 $234,898
Level 3 Financing Inc 1st Lien Tl-B5 L + 3.5% 31jan22 225,000 $226,055
Lincoln National Corp., 4.3%, 6/15/15 250,000 $259,387
Live Nation Entertainment, Inc., Term B-1 Loan, 8/17/20 512,820 $506,726
Loma Reinsurance, Ltd. Bermuda, Floating Rate Note, 1/8/18 (Cat Bond) (144A) 250,000 $269,250
Longpoint Re, Ltd., Floating Rate Note, 6/12/15 (Cat Bond) (144A) 500,000 $515,750
Longpoint Re, Ltd. III, Floating Rate Note, 5/18/16 (Cat Bond) (144A) 250,000 $258,385
LPL Holdings, Inc., 2013 Incremental Tranche B Term Loan, 3/29/19 146,273 $144,536
MacDermid, Inc., Tranche B Term Loan (First Lien), 6/7/20 750,000 $734,766
Mack-Cali Realty LP, 5.125%, 1/15/15 1,000,000 $1,022,870
Madison Avenue Manufactured Housing Contract Trust 2002-A, Floating Rate Note, 3/25/32 1,100,000 $447,499
MALLINCKRODT INTERNATIONAL FINANCE SA, Initial Term B Loan, 3/6/21 298,500 $296,128
Manufacturers & Traders Trust Co., Floating Rate Note, 1/30/17 500,000 $500,634
Manufacturers & Traders Trust Co., Floating Rate Note, 7/25/17 1,000,000 $999,020
Marathon Oil Corp., 0.9%, 11/1/15 651,000 $654,536
Marriott Vacation Club Owner Trust 2012-1, 3.5%, 5/20/30 (144A) 845,000 $458,397
Massachusetts Development Finance Agency, Floating Rate Note, 2/15/36 250,000 $260,121
Massachusetts Port Authority, 5.0%, 7/1/16 475,000 $517,601
MASTR Alternative Loan Trust 2004-13, 4.5%, 1/25/15 2,000,000 $42
MASTR Alternative Loan Trust 2005-1, Floating Rate Note, 2/25/35 6,760,000 $609,628
Mastr Asset Backed Securities Trust 2005-WF1, Floating Rate Note, 6/25/35 51,000 $6,592
Mastr Asset Backed Securities Trust 2005-WMC1, Floating Rate Note, 3/25/35 215,000 $63,733
Mastr Asset Backed Securities Trust 2006-AB1 REMICS, Floating Rate Note, 2/25/36 3,670,545 $649,246
Mastr Asset Backed Securities Trust 2006-NC1, Floating Rate Note, 1/25/36 1,567,646 $210,067
MASTR Asset Securitization Trust 2003-6, Floating Rate Note, 7/25/18 2,444,000 $73,125
MASTR Seasoned Securitization Trust 2005-1, Floating Rate Note, 9/25/32 2,500,000 $169,650
Mastr Specialized Loan Trust, Floating Rate Note, 1/25/36 (144A) 3,644,114 $298,984
McKesson Corp., Floating Rate Note, 9/10/15 235,000 $235,515
Mediacom Illinois LLC, Tranche F Term Loan, 3/31/18 398,000 $390,538
Merna Re V, Ltd., Floating Rate Note, 4/7/17 (Cat Bond) (144A) 650,000 $652,001
Merrill Lynch Mortgage Investors Trust Series 2005-2, Floating Rate Note, 10/25/35 1,543,473 $391,324
Merrill Lynch Mortgage Investors Trust Series 2005-A3, Floating Rate Note, 4/25/35 10,415,000 $1,272,360
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-A, Floating Rate Note, 3/25/28 10,213,000 $359,206
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-A, Floating Rate Note, 3/25/28 15,000,000 $745,976
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-B, Floating Rate Note, 4/25/28 9,700,000 $441,089
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-C, Floating Rate Note, 6/25/28 9,455,006 $360,103
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-C REMICS, Floating Rate Note, 6/25/28 10,150,000 $467,864
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-E, Floating Rate Note, 10/25/28 8,393,000 $433,068
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-G, Floating Rate Note, 1/25/29 3,592,000 $52,242
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-H, Floating Rate Note, 1/25/29 6,366,000 $368,828
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-A REMICS, Floating Rate Note, 4/25/29 9,673,948 $533,585
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-B, Floating Rate Note, 5/25/29 4,636,150 $251,766
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-C, Floating Rate Note, 7/25/29 10,014,000 $475,808
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-G, Floating Rate Note, 1/25/30 16,956,975 $798,162
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-G, Floating Rate Note, 1/25/30 3,400,000 $225,985
Merrill Lynch Mortgage Investors Trust Series MLCC 2005-A, Floating Rate Note, 3/25/30 7,273,883 $489,415
Merrill Lynch Mortgage Trust 2004-KEY2, Floating Rate Note, 8/12/39 410,390 $847
Merrill Lynch Mortgage Trust 2005-CIP1, Floating Rate Note, 7/12/38 630,000 $643,862
Merrill Lynch Mortgage Trust 2005-CKI1, Floating Rate Note, 11/12/37 2,360,000 $2,044,218
Merrill Lynch Mortgage Trust 2005-LC1, Floating Rate Note, 1/12/44 1,670,000 $1,548,951
Merrill Lynch Mortgage Trust 2005-MCP1, Floating Rate Note, 6/12/43 470,000 $341,236
Metropolitan Life Global Funding I, Floating Rate Note, 7/15/16 (144A) 300,000 $302,411
Metropolitan Life Insurance Co., 7.7%, 11/1/15 (144A) 1,250,000 $1,380,390
MGM Resorts International, Term B Loan, 12/20/19 343,875 $340,275
Micro Focus Us Inc 1st Lien Tl-B L + 4.25% 07oct21 400,000 $387,600
Micron Semiconductor Asia Pte, Ltd., 1.258%, 1/15/19 500,000 $450,721
Milacron LLC, Term Loan, 3/28/20 497,500 $485,063
ML-CFC Commercial Mortgage Trust 2006-1, Floating Rate Note, 2/12/39 1,600,000 $1,568,865
Monsanto Co., 1.15%, 6/30/17 1,000,000 $999,971
Morgan Stanley, Floating Rate Note, 11/9/18 275,000 $293,135
Morgan Stanley, Floating Rate Note, 2/25/16 500,000 $507,594
Morgan Stanley, Floating Rate Note, 6/6/16 500,000 $498,400
Morgan Stanley ABS Capital I Inc Trust 2004-SD3, Floating Rate Note, 6/25/34 (144A) 13,470,000 $596,034
Morgan Stanley ABS Capital I Inc Trust 2005-NC2, Floating Rate Note, 3/25/35 627,000 $384,844
Morgan Stanley ABS Capital I Inc Trust 2005-WMC5, Floating Rate Note, 6/25/35 820,000 $263,842
Morgan Stanley Capital I, Inc., Floating Rate Note, 10/15/20 (144A) 425,000 $424,330
Morgan Stanley Capital I Trust 2004-IQ8, Floating Rate Note, 6/15/40 1,200,000 $148,465
Morgan Stanley Capital I Trust 2005-HQ6, 4.989%, 8/13/42 1,815,000 $1,816,499
Morgan Stanley Capital I Trust 2005-HQ6 REMICS, Floating Rate Note, 8/13/42 1,250,000 $1,281,898
Morgan Stanley Capital I Trust 2005-IQ10, Floating Rate Note, 9/15/42 915,000 $687,114
Morgan Stanley Capital I Trust 2005-TOP17, 4.78%, 12/13/41 660,000 $181,904
Morgan Stanley Capital I Trust 2005-TOP19, 4.89%, 6/12/47 1,940,000 $1,868,278
Morgan Stanley Capital I Trust 2006-TOP21, Floating Rate Note, 10/12/52 1,435,000 $1,486,576
Morgan Stanley Dean Witter Capital I Trust 2001-TOP3, 6.79%, 7/15/33 460,000 $104,650
Morgan Stanley Home Equity Loan Trust 2005-4, Floating Rate Note, 9/25/35 1,558,243 $682,869
Morgan Stanley Mortgage Loan Trust 2005-5AR, Floating Rate Note, 9/25/35 9,387,000 $835,721
Morgan Stanley Mortgage Loan Trust 2005-6AR, Floating Rate Note, 11/25/35 3,786,000 $467,229
Morgan Stanley Mortgage Loan Trust 2005-6AR, Floating Rate Note, 11/25/35 2,941,000 $488,113
MortgageIT Trust 2004-1, Floating Rate Note, 11/25/34 3,200,000 $438,173
MortgageIT Trust 2004-2, Floating Rate Note, 12/25/34 3,895,000 $631,462
Motor 2013-1 Plc, Floating Rate Note, 2/25/21 (144A) 466,000 $198,523
Mpg Holdco I Inc 1st Lien Tl-B L + 3.5% 13oct21 592,287 $591,732
MRFC Mortgage Pass-Through Trust Series 1999-TBC2 REMICS, Floating Rate Note, 6/15/30 3,714,390 $229,602
MUFG Union Bank NA, 2.625%, 9/26/18 1,000,000 $1,020,984
MUFG Union Bank NA, Floating Rate Note, 9/26/16 1,450,000 $1,462,524
MVW Owner Trust, 2.7%, 9/20/31 (144A) 750,000 $755,081
Mythen Re, Ltd., Floating Rate Note, 5/7/15 (Cat Bond) (144A) 750,000 $786,688
Mythen Re, Ltd., Floating Rate Note, 5/7/15 (Cat Bond) (144A) 500,000 $526,306
Mythen Re, Ltd. Series 2012-2 Class A, Floating Rate Note, 1/5/17 (Cat Bond) (144A) 750,000 $810,284
Mythen Re, Ltd. Series 2013-1 Class B, Floating Rate Note, 7/9/15 (Cat Bond) (144A) 250,000 $261,178
National City Bank Cleveland Ohio, Floating Rate Note, 12/15/16 250,000 $249,006
National Oilwell Varco, Inc., 1.35%, 12/1/17 600,000 $599,725
National Rural Utilities Cooperative Finance Corp., Floating Rate Note, 11/23/16 500,000 $501,846
Nations Equipment Finance Funding II LLC, 3.276%, 1/20/19 (144A) 500,000 $500,501
Nationstar Agency Advance Funding Trust 2013-T1A, 0.997%, 2/15/45 (144A) 550,000 $549,842
Navios Maritime Partners LP, Term Loan, 6/27/18 460,350 $464,186
Navistar, Inc., Tranche B Term Loan, 8/17/17 400,000 $401,750
Navistar Financial Dealer Note Master Trust, Floating Rate Note, 1/25/18 (144A) 510,000 $510,352
Navitas Equipment Receivables LLC 2013-1, 3.63%, 2/15/17 650,000 $651,625
NCF Dealer Floorplan Master Trust, Floating Rate Note, 10/20/20 (144A) 750,000 $750,103
NCUA Guaranteed Notes Trust REMICS, 1.6%, 10/29/20 500,000 $196,928
NCUA Guaranteed Notes Trust REMICS, Floating Rate Note, 3/2/21 800,000 $385,492
New Century Home Equity Loan Trust 2005-1, Floating Rate Note, 3/25/35 2,101,000 $335,004
New Residential Advance Receivables Trust Advance Receivables Backed 2014-T1, 1.2736%, 3/15/45 (144A 530,000 $265,230
NewStar Commercial Loan Trust 2007-1, Floating Rate Note, 9/30/22 (144A) 500,000 $268,466
New York Life Global Funding, 1.125%, 3/1/17 (144A) 500,000 $501,730
New York Life Global Funding, Floating Rate Note, 10/29/15 (144A) 750,000 $749,864
New York Life Global Funding, Floating Rate Note, 5/23/16 (144A) 1,050,000 $1,055,086
Nissan Auto Lease Trust 2013-B, Floating Rate Note, 1/15/16 240,000 $178,229
Nissan Motor Acceptance Corp., 2.65%, 9/26/18 (144A) 1,000,000 $1,023,632
Nissan Motor Acceptance Corp., 4.5%, 1/30/15 (144A) 600,000 $612,624
Nissan Motor Acceptance Corp., Floating Rate Note, 3/3/17 (144A) 500,000 $501,681
Nn Inc 1st Lien Tl-B L + 5% 18jul21 400,000 $398,750
Nomura Asset Acceptance Corp Alternative Loan Trust Series 2003-A3, 5.5%, 8/25/33 (Step) 3,120,000 $213,197
Norcraft Companies LP, Initial Loan, 11/12/20 248,125 $247,815
Nordea Bank AB, Floating Rate Note, 5/13/16 (144A) 250,000 $251,412
Nordea Bank Finland Plc New York, Floating Rate Note, 6/13/16 1,000,000 $1,000,219
North American Development Bank, 2.3%, 10/10/18 650,000 $660,965
Northshore Re, Ltd., Floating Rate Note, 7/5/16 (Cat Bond) (144A) 500,000 $527,972
NorthStar 2012-1 Mortgage Trust, Floating Rate Note, 8/27/29 (144A) 200,000 $201,562
NorthStar 2012-1 Mortgage Trust, Floating Rate Note, 8/27/29 (144A) 490,818 $128,027
NorthStar 2013-1, Floating Rate Note, 8/27/29 (144A) 778,000 $737,812
NovaStar Mortgage Funding Trust Series 2004-3, Floating Rate Note, 12/25/34 560,000 $529,859
NovaStar Mortgage Funding Trust Series 2004-4, Floating Rate Note, 3/25/35 300,000 $123,265
NovaStar Mortgage Funding Trust Series 2004-4, Floating Rate Note, 3/25/35 1,457,000 $1,430,955
NSG Holdings LLC, New Term Loan, 12/11/19 195,477 $193,766
NSTAR Electric Co., Floating Rate Note, 5/17/16 341,000 $341,083
NYSE Euronext, 2.0%, 10/5/17 150,000 $152,334
Oak Hill Advisors Residential Loan Trust 2014-NPL1, 2.8828%, 5/25/54 (Step) (144A) 520,000 $403,751
On Assignment, Inc., Initial Term B Loan, 5/15/20 171,522 $170,557
Ooredoo International Finance, Ltd., 3.375%, 10/14/16 (144A) 500,000 $518,297
Opteum Mortgage Acceptance Corp Asset Backed Pass-Through Certificates 2005-1, Floating Rate Note, 2 3,526,047 $14,407
Opteum Mortgage Acceptance Corp Asset Backed Pass-Through Certificates 2005-5, Floating Rate Note, 1 600,000 $57,904
Opteum Mortgage Acceptance Corp Trust 2005-4, Floating Rate Note, 11/25/35 6,320,000 $1,215,345
Option One Mortgage Loan Trust 2005-4 Asset-Backed Certificates Series 2005-4, Floating Rate Note, 1 5,875,000 $494,466
Option One Woodbridge Loan Trust 2002-1, Floating Rate Note, 9/25/14 (144A) 1,370,736 $264,491
Oracle Corp., 2.25%, 10/8/19 300,000 $301,075
Oracle Corp., 2.375%, 1/15/19 500,000 $511,430
Oracle Corp., Floating Rate Note, 7/7/17 575,000 $575,170
Orange Lake Timeshare Trust 2012-A, 4.87%, 3/10/27 (144A) 600,000 $303,603
ORES 2014-LV3 LLC, 3.0%, 3/27/24 (144A) 550,000 $440,360
ORES NPL 2013-LV2 LLC, 3.081%, 9/25/25 (144A) 430,000 $215,823
Origen Manufactured Housing Contract Trust 2004-A, Floating Rate Note, 1/15/35 600,000 $260,714
Origen Manufactured Housing Contract Trust 2004-B, Floating Rate Note, 11/15/35 460,000 $392,731
Origen Manufactured Housing Contract Trust 2005-A, Floating Rate Note, 6/15/36 250,000 $244,426
Oscar US Funding Trust 2014-1, 1.0%, 8/15/17 (144A) 700,000 $700,860
PACCAR Financial Corp., Floating Rate Note, 6/6/17 485,000 $485,307
Pangaea Zero% 01jul18 700,000 $732,760
Park Place Securities Inc Asset-Backed Pass-Through Certificates Series 2004-MHQ, Floating Rate Note 840,000 $814,403
Park Place Securities Inc Asset-Backed Pass-Through Ctfs Ser 2004-WCW2, Floating Rate Note, 10/25/34 1,076,819 $66,531
Park Place Securities Inc Asset-Backed Pass-Through Ctfs Ser 2005-WHQ4, Floating Rate Note, 9/25/35 1,793,831 $574,739
Par Pharmaceutical Companies, Inc., Term B-2 Loan, 9/28/19 642,545 $632,505
PARTY CITY HOLDINGS INC, 2014 Replacement Term Loan, 7/27/19 947,838 $930,658
People's Choice Home Loan Securities Trust Series 2005-3, Floating Rate Note, 8/25/35 109,980 $16,832
Pfizer, Inc., Floating Rate Note, 5/15/17 750,000 $749,867
PFS Financing Corp., Floating Rate Note, 2/15/19 (144A) 750,000 $751,732
PFS Tax Lien Trust 2014-1, 1.44%, 5/15/29 400,000 $324,112
PHH Mortgage Capital LLC, 7.0%, 12/25/27 (Step) (144A) 3,250,000 $249,243
Phillips 66, 2.95%, 5/1/17 750,000 $789,896
PNC Bank NA, 1.125%, 1/27/17 450,000 $451,527
PNC Bank NA, 1.3%, 10/3/16 550,000 $554,983
PNC Bank NA, Floating Rate Note, 1/28/16 500,000 $500,653
PNC Bank NA, Floating Rate Note, 4/29/16 1,111,000 $1,111,503
PNC Bank NA, Floating Rate Note, 8/1/17 750,000 $751,034
Polarpak, Inc., USD Term Loan (Canadian Borrower Portion), 6/7/20 157,565 $155,792
Polarpak, Inc., USD Term Loan (U.S. Borrower Portion), 6/7/20 81,881 $80,960
Popular ABS Mortgage Pass-Through Trust 2004-4, 5.181%, 9/25/34 (Step) 1,325,000 $482,777
Precision Castparts Corp., 1.25%, 1/15/18 500,000 $497,808
Prestige Brands, Inc., Term B-2 Loan, 8/18/21 360,000 $361,275
Pricoa Global Funding I, Floating Rate Note, 6/24/16 (144A) 500,000 $500,346
Principal Life Global Funding II, 1.2%, 5/19/17 (144A) 750,000 $750,765
Principal Life Global Funding II, Floating Rate Note, 5/27/16 (144A) 390,000 $391,598
Progreso Receivables Funding II LLC, 3.5%, 7/8/19 (144A) 1,370,000 $1,373,920
Progreso Receivables Funding I LLC, 4.0%, 7/9/18 (144A) 1,000,000 $1,010,056
Progress Residential 2014-SFR1 Trust, Floating Rate Note, 10/17/16 (144A) 1,000,000 $991,359
Prudential Covered Trust 2012-1, 2.997%, 9/30/15 (144A) 500,000 $382,986
Prudential Financial, Inc., 3.875%, 1/14/15 500,000 $509,047
Prudential Financial, Inc., 6.2%, 1/15/15 538,000 $553,843
PSEG Power LLC, 2.75%, 9/15/16 500,000 $516,861
PVH Corp., Tranche B Term Loan, 2/13/20 399,994 $401,494
Quebecor Media, Inc., Facility B-1 Tranche, 8/17/20 199,496 $194,384
Queen City Re, Floating Rate Note, 1/6/19 (Cat Bond) (144A) 500,000 $505,618
Queen Street IV Capital, Ltd., Floating Rate Note, 4/9/15 (Cat Bond) (144A) 750,000 $769,525
Queen Street VIII Re, Ltd., Floating Rate Note, 6/8/16 (Cat Bond) (144A) 250,000 $256,456
Queen Street VII Re, Ltd., Floating Rate Note, 4/8/16 (Cat Bond) (144A) 750,000 $787,392
Queen Street V Re, Ltd., Floating Rate Note, 4/9/15 (Cat Bond) (144A) 750,000 $773,208
Quest Trust REMICS, Floating Rate Note, 3/25/34 (144A) 24,804,330 $1,003,367
RAAC Series 2004-SP2 Trust, 6.0%, 1/25/32 11,000,000 $439,504
RAAC Series 2005-RP1 Trust, Floating Rate Note, 7/25/37 (144A) 583,530 $323,322
RAAC Series 2005-RP2 Trust, Floating Rate Note, 6/25/35 (144A) 995,000 $205,774
RAAC Series 2006-RP2 Trust, Floating Rate Note, 2/25/37 (144A) 4,099,889 $395,902
RAIT 2014-FL2 Trust, Floating Rate Note, 5/15/31 (144A) 1,500,000 $1,480,429
RAIT 2014-FL3 Trust, Floating Rate Note, 12/15/31 (144A) 1,000,000 $1,009,330
RALI Series 2002-QS16 Trust, Floating Rate Note, 10/25/17 11,475,000 $203,437
RALI Series 2003-QR24 Trust REMICS, 4.0%, 7/25/33 6,880,000 $766,581
RALI Series 2003-QR24 Trust REMICS, 4.0%, 7/25/33 950,000 $236,440
RALI Series 2003-QS11 Trust, Floating Rate Note, 6/25/33 13,610,000 $626,448
RALI Series 2003-QS14 Trust, 5.0%, 7/25/18 600,000 $38,148
RALI Series 2003-QS15 Trust, 5.5%, 8/25/33 250,000 $168,876
RALI Series 2003-QS6 Trust, Floating Rate Note, 3/25/33 6,865,000 $418,419
RALI Series 2003-QS9 Trust, Floating Rate Note, 5/25/18 11,040,000 $437,621
RALI Series 2004-QR1 Trust, 5.25%, 10/25/34 21,545,000 $415,329
RALI Series 2004-QS1 Trust, 4.25%, 1/25/34 14,997,000 $74,563
RALI Series 2004-QS1 Trust, Floating Rate Note, 1/25/34 2,884,000 $23,402
RALI Series 2004-QS5 Trust, 4.75%, 4/25/34 4,285,000 $236,235
RALI Series 2004-QS5 Trust, Floating Rate Note, 4/25/34 1,761,729 $95,952
RAMP Series 2003-RS9 Trust, Floating Rate Note, 10/25/33 5,091,956 $446,988
RAMP Series 2004-RS11 Trust, Floating Rate Note, 11/25/34 1,085,000 $327,335
RAMP Series 2004-SL4 Trust, Floating Rate Note, 5/25/18 13,780,000 $85,855
RAMP Series 2005-RS6 Trust, Floating Rate Note, 6/25/35 278,355 $163,550
RASC Series 2005-EMX2 Trust, Floating Rate Note, 7/25/35 40,280 $8,262
RASC Series 2006-KS1 Trust, Floating Rate Note, 4/25/35 1,200,000 $3,719
Raymond James Financial, Inc., 4.25%, 4/15/16 2,108,000 $2,209,812
RBS Greenwich Capital Mortgage Loan Trust, 3.686%, 4/15/24 (144A) 2,440,000 $1,721,925
RBS Greenwich Capital Mortgage Loan Trust, Floating Rate Note, 4/15/24 (144A) 250,000 $254,215
RBSSP Resecuritization Trust 2009-5, Floating Rate Note, 8/26/37 (144A) 2,550,000 $839,852
Reckitt Benckiser Treasury Services Plc, 2.125%, 9/21/18 (144A) 500,000 $505,763
Regatta Funding, Ltd., Floating Rate Note, 6/15/20 (144A) 500,000 $221,607
RENT-A-CENTER, INC, Term Loan (2014), 2/6/21 547,250 $536,305
Residential Asset Securitization Trust 2003-A2, Floating Rate Note, 5/25/33 34,300,000 $1,298,064
Residential Asset Securitization Trust 2004-A9, 5.75%, 12/25/34 1,130,000 $450,975
Residential Reinsurance 2011, Ltd., Floating Rate Note, 12/6/16 (Cat Bond) (144A) 500,000 $523,013
Residential Reinsurance 2011, Ltd., Floating Rate Note, 6/6/15 (Cat Bond) (144A) 500,000 $526,900
Residential Reinsurance 2011, Ltd., Floating Rate Note, 6/6/17 (Cat Bond) (144A) 500,000 $531,375
Residential Reinsurance 2012, Ltd., Floating Rate Note, 12/6/16 (Cat Bond) (144A) 250,000 $281,356
Residential Reinsurance 2012, Ltd., Floating Rate Note, 12/6/16 (Cat Bond) (144A) 1,150,000 $1,201,750
Residential Reinsurance 2012, Ltd., Floating Rate Note, 12/6/16 (Cat Bond) (144A) 250,000 $264,581
Residential Reinsurance 2012, Ltd., Floating Rate Note, 6/6/16 (Cat Bond) (144A) 250,000 $274,036
Residential Reinsurance 2013, Ltd., Floating Rate Note, 6/6/17 (Cat Bond) (144A) 250,000 $272,047
Residential Reinsurance 2014, Ltd., Floating Rate Note, 6/6/18 (Cat Bond) (144A) 250,000 $256,811
RESI Finance LP, Floating Rate Note, 9/10/35 (144A) 2,618,783 $493,466
RESI Finance LP 2003-CB1, Floating Rate Note, 6/10/35 2,245,000 $600,433
Resi Flt% 12dec45 A1 500,000 $476,857
Resource Capital Corp 2014-CRE2, Ltd., Floating Rate Note, 4/15/32 (144A) 1,480,000 $1,480,584
Resource Capital Corp CRE Notes 2013, Ltd., Floating Rate Note, 6/15/16 (144A) 1,000,000 $1,006,286
RFMSI Series 2005-S5 Trust, 5.25%, 7/25/35 300,770 $164,796
RFSC Series 2004-RP1 Trust, Floating Rate Note, 11/25/42 (144A) 250,000 $143,133
Rialto Capital Management LLC, 2.85%, 5/15/24 (144A) 700,000 $435,181
Rio Tinto Finance USA Plc, Floating Rate Note, 6/17/16 560,000 $565,190
Riverfront Re, Ltd., Floating Rate Note, 1/6/17 (Cat Bond) (144A) 320,000 $324,914
Royal Bank of Canada, 1.45%, 9/9/16 1,000,000 $1,011,849
Royal Bank of Canada, Floating Rate Note, 1/23/17 550,000 $551,542
Royal Bank of Canada, Floating Rate Note, 6/16/17 1,000,000 $1,000,863
RREF 2014-LT6 LLC, 2.75%, 9/15/24 (144A) 1,280,000 $1,198,603
Ryder System, Inc., 3.15%, 3/2/15 500,000 $506,797
SABMiller Holdings, Inc., 1.85%, 1/15/15 (144A) 500,000 $503,944
SACO I Trust 2005-8, Floating Rate Note, 11/25/35 3,250,775 $3,064
Sanders Re, Ltd., Floating Rate Note, 5/5/17 (Cat Bond) (144A) 750,000 $766,510
Sanders Re, Ltd., Floating Rate Note, 5/5/17 (Cat Bond) (144A) 750,000 $767,958
Sanders Re, Ltd., Floating Rate Note, 6/7/17 (Cat Bond) (144A) 650,000 $670,610
Santander Drive Auto Receivables Trust 2011-2, 3.28%, 6/15/16 700,000 $420,580
Santander Drive Auto Receivables Trust 2012-1, 3.78%, 11/15/17 400,000 $407,250
Santander Drive Auto Receivables Trust 2012-5, 2.7%, 8/15/18 125,000 $127,818
Santander Drive Auto Receivables Trust 2014-3, 1.45%, 5/15/19 1,000,000 $1,001,310
SASCO Mortgage Loan Trust 2005-GEL1, Floating Rate Note, 12/25/34 510,000 $358,748
SASCO Mortgage Loan Trust 2005-GEL2, Floating Rate Note, 4/25/35 8,945,588 $162,172
Saxon Asset Securities Trust 2005-3, Floating Rate Note, 11/25/35 471,000 $461,791
Saxon Asset Securities Trust 2005-4, Floating Rate Note, 11/25/37 9,516,000 $457,504
SBA Senior Finance II LLC, Incremental Tranche B-1 Term Loan, 3/31/21 199,500 $196,341
SBI Home Equity Loan Trust 2006-1, Floating Rate Note, 8/25/36 (144A) 1,350,000 $419,448
Schaeffler (Aka Ina Beteiligungsge 1st Lien Tl-B L + 3.5% 15may20 500,000 $499,065
Scientific Games International Inc 1st Lien Tl-B2 L + 5% 17sep21 925,000 $907,222
Seadrill Operating LP, Initial Term Loan, 2/14/21 843,625 $800,690
Sector Re V, Ltd., 0.0%, 3/1/18 (Cat Bond) (144A) 272 $8,633
Sector Re V, Ltd., 0.0%, 3/30/19 (Cat Bond) (144A) 300,000 $333,060
Selene Non-Performing Loans LLC, 2.9814%, 5/25/54 (Step) (144A) 1,020,000 $1,003,240
Senior Housing Properties Trust, 4.3%, 1/15/16 290,000 $301,189
Sensata Technologies Bv 1st Lien Tl-B2 L + 2.75% 08oct21 650,000 $649,051
Sequoia Mortgage Trust 2003-5, Floating Rate Note, 9/20/33 14,606,000 $666,322
Sequoia Mortgage Trust 2004-10, Floating Rate Note, 11/20/34 1,990,836 $210,126
Sequoia Mortgage Trust 2004-12 REMICS, Floating Rate Note, 1/20/35 13,677,000 $1,531,498
Sequoia Mortgage Trust 2004-12 REMICS, Floating Rate Note, 1/20/35 3,700,000 $260,341
Sequoia Mortgage Trust 2004-7, Floating Rate Note, 8/20/34 5,000,000 $232,279
Sequoia Mortgage Trust 2004-9, Floating Rate Note, 10/20/34 6,000,000 $590,762
Sequoia Mortgage Trust 2005-1, Floating Rate Note, 2/20/35 4,960,000 $482,807
Sequoia Mortgage Trust 2013-8, Floating Rate Note, 6/25/43 414,000 $344,831
Sequoia Mortgage Trust 2013-8, Floating Rate Note, 6/25/43 160,000 $143,903
Shell International Finance BV, Floating Rate Note, 11/15/16 750,000 $752,370
Sierra Timeshare 2012-2 Receivables Funding LLC, 2.38%, 3/20/29 (144A) 1,500,000 $446,314
Sierra Timeshare 2012-3 Receivables Funding LLC, 1.87%, 8/20/29 (144A) 1,400,000 $489,491
Sierra Timeshare 2013-1 Receivables Funding LLC, 2.39%, 11/20/29 (144A) 160,000 $63,213
Sierra Timeshare 2013-2 Receivables Funding LLC, 2.92%, 11/20/25 (144A) 160,000 $76,769
Sierra Timeshare 2013-2 Receivables Funding LLC, 4.75%, 11/20/25 (144A) 900,000 $438,645
Silver Bay Realty 2014-1 Trust, Floating Rate Note, 9/18/31 (144A) 750,000 $735,381
SilverLeaf Finance XVII LLC, 2.71%, 3/16/26 (144A) 750,000 $474,191
Silverstone Master Issuer Plc, Floating Rate Note, 1/21/55 (144A) 290,000 $297,964
Silverton RE, Ltd., 0.0%, 9/16/16 (Cat Bond) (144A) 250,000 $302,600
Sinclair Television Group, Inc., New Tranche B Term Loan, 4/19/20 440,536 $429,890
Sirius International Group, Ltd., 6.375%, 3/20/17 (144A) 750,000 $836,640
Skandinaviska Enskilda Banken AB New York NY, Floating Rate Note, 9/21/15 750,000 $750,801
SLM Student Loan Trust 2004-10, Floating Rate Note, 4/27/26 (144A) 380,000 $381,036
Small Business Administration Participation Certificates, 2.24%, 4/15/43 (144A) 630,000 $625,415
SMART Trust/Australia, Floating Rate Note, 1/17/17 500,000 $499,912
SMART Trust/Australia, Floating Rate Note, 8/15/16 750,000 $750,201
SNAAC Auto Receivables Trust, 4.38%, 6/15/17 (144A) 460,000 $459,793
SNAAC Auto Receivables Trust 2013-1, 1.14%, 7/16/18 (144A) 404,000 $68,052
Soundview Home Loan Trust 2005-3, Floating Rate Note, 6/25/35 600,000 $87,778
Soundview Home Loan Trust 2005-OPT4, Floating Rate Note, 12/25/35 815,490 $219,986
South Carolina State Public Service Authority, Floating Rate Note, 6/1/15 (Pre-Refunded) 890,000 $891,473
Southern Pacific Secured Asset Corp., Floating Rate Note, 3/25/28 32,000,000 $289,823
Southwire Co., Initial Term Loan, 1/31/21 403,224 $392,304
Specialty Underwriting & Residential Finance Trust Series 2006-BC1, Floating Rate Note, 12/25/36 790,207 $760,738
Spirit AeroSystems, Inc., Term Loan B, 9/30/20 531,599 $525,120
SpringCastle America Funding LLC, 2.7%, 5/25/23 1,020,000 $1,022,929
Springleaf Funding Trust 2013-A, 2.58%, 9/15/21 (144A) 1,200,000 $1,209,614
Springleaf Funding Trust 2014-A, 2.41%, 12/25/22 (144A) 1,000,000 $1,003,267
Springleaf Mortgage Loan Trust 2012-2, Floating Rate Note, 10/25/57 (144A) 424,000 $211,298
Standard Chartered Plc, 3.85%, 4/27/15 (144A) 500,000 $507,730
Stanwich Mortgage Loan Trust, 2.9814%, 2/16/43 (144A) 1,325,000 $423,644
Starbucks Corp., 0.875%, 12/5/16 605,000 $607,766
Starwood Property Mortgage Trust 2013-FV1, Floating Rate Note, 8/11/28 (144A) 640,000 $612,176
Starwood Property Trust, Inc., Term Loan (First Lien), 4/17/20 197,990 $193,783
State of Ohio, 3.0%, 6/15/15 500,000 $513,987
Steward Health Care System LLC, Term Loan, 4/10/20 296,992 $294,951
St Jude Medical, Inc., 2.5%, 1/15/16 510,000 $524,250
STORE Master Funding LLC, 5.77%, 8/20/42 (144A) 344,000 $357,157
Structured Adjustable Rate Mortgage Loan Trust, Floating Rate Note, 11/25/34 750,000 $74,841
Structured Adjustable Rate Mortgage Loan Trust, Floating Rate Note, 11/25/34 18,180,000 $910,549
Structured Adjustable Rate Mortgage Loan Trust, Floating Rate Note, 3/25/34 2,600,000 $144,948
Structured Adjustable Rate Mortgage Loan Trust, Floating Rate Note, 8/25/35 7,750,000 $465,311
Structured Asset Investment Loan Trust 2005-6, Floating Rate Note, 7/25/35 719,331 $686,442
Structured Asset Mortgage Investments II Trust 2004-AR5, Floating Rate Note, 10/19/34 8,100,000 $380,830
Structured Asset Mortgage Investments II Trust 2004-AR8, Floating Rate Note, 5/19/35 24,300,000 $1,376,902
Structured Asset Mortgage Investments II Trust 2005-AR2, Floating Rate Note, 5/25/45 5,000,000 $482,504
Structured Asset Mortgage Investments II Trust 2005-F1 REMICS, Floating Rate Note, 8/26/35 6,100,000 $132,282
Structured Asset Mortgage Investments Trust 2002-AR5, Floating Rate Note, 5/19/33 7,644,000 $381,446
Structured Asset Securities Corp Mor Cer Ser 2003-31A, Floating Rate Note, 10/25/33 1,500,000 $161,663
Structured Asset Securities Corp Mortgage Loan Trust 2005-2XS, 4.65%, 2/25/35 (Step) 1,000,000 $174,740
Structured Asset Securities Corp Mortgage Loan Trust 2005-WF4, Floating Rate Note, 11/25/35 475,000 $52,334
Structured Asset Securities Corp Mortgage Pass-Through Certificates Ser 2004-S4, Floating Rate Note, 500,000 $106,434
Structured Asset Securities Corp Mortgage Pass-Through Ctfs Ser 2003-24A, Floating Rate Note, 7/25/3 7,700,000 $944,352
Structured Asset Securities Corp Mortgage Pass Through Ctfs Series 2003-35, Floating Rate Note, 12/2 4,960,000 $287,249
Sumitomo Mitsui Banking Corp., Floating Rate Note, 1/10/17 750,000 $750,962
Sumitomo Mitsui Banking Corp., Floating Rate Note, 7/19/16 300,000 $301,581
Sumitomo Mitsui Trust Bank, Ltd., Floating Rate Note, 9/16/16 (144A) 500,000 $503,605
SunGard Data Systems, Inc., Tranche C Term Loan, 2/28/17 155,698 $155,275
SunTrust Bank, 1.35%, 2/15/17 500,000 $502,482
SunTrust Bank, Floating Rate Note, 2/15/17 500,000 $501,190
SunTrust Bank, Floating Rate Note, 4/1/15 430,000 $430,182
SunTrust Banks, Inc., 3.5%, 1/20/17 500,000 $529,904
Svenska Handelsbanken AB, Floating Rate Note, 9/23/16 1,000,000 $1,005,655
Svenska Handelsbanken New York NY, Floating Rate Note, 1/16/15 200,000 $200,187
Svenska Handelsbanken New York NY, Floating Rate Note, 11/17/14 350,000 $350,299
SVO 2012-A VOI Mortgage LLC, 2.0%, 9/20/29 (144A) 1,600,000 $845,043
Synchrony Credit Card Master Note Trust, 1.03%, 1/15/18 300,000 $300,481
T2 Income Fund CLO, Ltd., Floating Rate Note, 7/15/19 (144A) 750,000 $739,295
TAL Advantage V LLC, 1.7%, 5/20/39 (144A) 400,000 $357,040
Tar Heel Re, Ltd., Floating Rate Note, 5/9/16 (Cat Bond) (144A) 250,000 $268,454
TD Ameritrade Holding Corp., 4.15%, 12/1/14 705,000 $719,114
Telefonica Emisiones SAU, 3.992%, 2/16/16 500,000 $522,975
Tengizchevroil Finance Co Sarl, 6.124%, 11/15/14 (144A) 2,190,000 $162,755
Terex Corp., U.S. Term Loan, 8/13/21 258,332 $257,202
Terwin Mortgage Trust Series TMTS 2003-8HE, Floating Rate Note, 12/25/34 5,234,000 $158,686
Terwin Mortgage Trust Series TMTS 2005-10HE, Floating Rate Note, 6/25/36 199,992 $156,367
Terwin Mortgage Trust Series TMTS 2005-14HE, 4.8492%, 8/25/36 (Step) 630,000 $130,810
Texas Instruments, Inc., 0.875%, 3/12/17 500,000 $500,287
Texas Municipal Gas Acquisition & Supply Corp III, 5.0%, 12/15/15 500,000 $532,099
The Bank of New York Mellon Corp., 1.969%, 6/20/17 (Step) 750,000 $770,162
The Bank of New York Mellon Corp., 2.95%, 6/18/15 750,000 $770,344
The Bank of New York Mellon Corp., 3.1%, 1/15/15 220,000 $223,191
The Bank of New York Mellon Corp., Floating Rate Note, 10/23/15 595,000 $596,378
The Bank of Nova Scotia, 1.1%, 12/13/16 500,000 $504,029
The Bank of Nova Scotia, 1.375%, 7/15/16 500,000 $506,681
The Bank of Nova Scotia, 1.45%, 4/25/18 500,000 $494,445
The Bank of Tokyo-Mitsubishi UFJ, Ltd., 1.55%, 9/9/16 (144A) 1,000,000 $1,010,790
The Bank of Tokyo-Mitsubishi UFJ, Ltd., Floating Rate Note, 3/10/17 (144A) 500,000 $500,468
The Bank of Tokyo-Mitsubishi UFJ, Ltd., Floating Rate Note, 9/8/17 (144A) 500,000 $498,571
The Bear Stearns Companies LLC, 5.7%, 11/15/14 750,000 $770,817
The Bear Stearns Companies LLC, Floating Rate Note, 11/21/16 1,500,000 $1,503,096
The Boeing Co., 0.95%, 5/15/18 1,050,000 $1,030,267
The Charles Schwab Corp., 0.85%, 12/4/15 250,000 $251,660
The Geo Group, Inc., Term Loan, 4/3/20 494,975 $490,953
The Goldman Sachs Group, Inc., 3.7%, 8/1/15 340,000 $350,722
The Goldman Sachs Group, Inc., Floating Rate Note, 1/12/15 500,000 $500,302
The Goldman Sachs Group, Inc., Floating Rate Note, 11/21/14 250,000 $250,719
The Goldman Sachs Group, Inc., Floating Rate Note, 3/22/16 475,000 $474,871
The Huntington National Bank, 1.3%, 11/20/16 500,000 $503,859
The Huntington National Bank, Floating Rate Note, 4/24/17 500,000 $500,138
The Korea Development Bank, Floating Rate Note, 1/22/17 750,000 $751,927
The PNC Financial Services Group, Inc., Floating Rate Note (Perpetual) 600,000 $606,095
Thermo Fisher Scientific, Inc., 2.4%, 2/1/19 1,000,000 $1,011,669
The Toronto-Dominion Bank, 1.4%, 4/30/18 500,000 $493,815
The Toronto-Dominion Bank, Floating Rate Note, 5/2/17 500,000 $500,337
The Toronto-Dominion Bank, Floating Rate Note, 7/2/19 750,000 $747,675
The Toronto-Dominion Bank, Floating Rate Note, 9/9/16 500,000 $503,002
Thomson Reuters Corp., 0.875%, 5/23/16 250,000 $251,074
Thomson Reuters Corp., 1.3%, 2/23/17 500,000 $501,073
Thornburg Mortgage Securities Trust 2003-3, Floating Rate Note, 6/25/43 3,857,000 $133,253
Thornburg Mortgage Securities Trust 2004-1, Floating Rate Note, 3/25/44 2,950,000 $196,559
Thornburg Mortgage Securities Trust 2004-1, Floating Rate Note, 3/25/44 4,537,000 $710,479
Thornburg Mortgage Securities Trust 2004-1, Floating Rate Note, 3/25/44 20,000,000 $224,334
Thornburg Mortgage Securities Trust 2004-3, Floating Rate Note, 9/25/34 11,309,309 $1,007,322
Thornburg Mortgage Securities Trust 2004-4, Floating Rate Note, 12/25/44 1,225,000 $204,347
TI Group Automotive Systems LLC, Term Loan Facility, 7/1/21 225,000 $223,313
TimberStar Trust 1 REMICS, 5.668%, 10/15/36 (144A) 525,000 $566,268
TMS International Corp., Term B Loan, 10/2/20 148,875 $147,821
Total Capital Canada, Ltd., Floating Rate Note, 1/15/16 1,115,000 $1,119,459
Toyota Motor Credit Corp., 0.75%, 3/3/17 (Step) 3,150,000 $3,143,882
Toyota Motor Credit Corp., 1.125%, 5/16/17 750,000 $752,777
Tpf Ii Power Llc 1st Lien Tl-B L + 4.5% 24sep21 750,000 $748,125
Trade MAPS 1, Ltd., Floating Rate Note, 12/10/18 (144A) 250,000 $249,974
Tradewynd Re, Ltd., Floating Rate Note, 1/8/15 (Cat Bond) (144A) 250,000 $252,545
Trafigura Securitisation Finance Plc, Floating Rate Note, 10/15/15 (144A) 525,000 $529,044
Trafigura Securitisation Finance Plc, Floating Rate Note, 10/15/15 (144A) 487,000 $490,451
Trafigura Securitisation Finance Plc, Floating Rate Note, 10/15/21 (144A) 400,000 $400,025
TransCanada PipeLines, Ltd., 0.75%, 1/15/16 650,000 $652,089
TransCanada PipeLines, Ltd., 0.875%, 3/2/15 490,000 $491,401
TransCanada PipeLines, Ltd., Floating Rate Note, 6/30/16 690,000 $694,686
Tribune Media Co., Initial Term Loan, 11/20/20 806,849 $802,311
Tyco Electronics Group SA, 1.6%, 2/3/15 640,000 $644,495
U.S. Treasury Notes, 1.5%, 8/31/18 3,000,000 $3,029,034
U.S. Treasury Notes, 1.75%, 5/31/16 1,500,000 $1,532,876
United Auto Credit Securitization Trust 2012-1, 3.12%, 3/15/18 (144A) 1,220,000 $1,223,823
United Auto Credit Securitization Trust 2014-1, 2.38%, 10/15/18 (144A) 700,000 $700,695
UnitedHealth Group, Inc., 1.875%, 11/15/16 500,000 $514,347
United Technologies Corp., Floating Rate Note, 6/1/15 500,000 $501,983
University of California, 0.966%, 5/15/17 500,000 $503,142
US Bancorp, 2.45%, 7/27/15 755,000 $771,202
US Renal Care, Inc., Tranche B-2 Term Loan (First Lien), 7/3/19 650,575 $646,916
Vantiv LLC, Term B Loan, 6/12/21 339,150 $336,944
Velocity Commercial Capital Loan Trust 2014-1, Floating Rate Note, 9/25/44 (144A) 800,000 $787,393
Ventas Realty LP, 3.125%, 11/30/15 500,000 $519,095
Vericrest Opportunity Loan Transferee 2014-NPL4 LLC, 3.125%, 4/27/54 (Step) (144A) 1,700,000 $1,674,723
Verint Systems, Inc., Tranche B Incremental Term Loan, 9/6/19 261,457 $260,607
Verizon Communications, Inc., 3.0%, 4/1/16 500,000 $517,839
Verizon Communications, Inc., Floating Rate Note, 9/15/16 1,285,000 $1,316,908
VFC 2014-2 LLC, 2.75%, 7/20/30 (144A) 1,060,000 $772,783
Viacom, Inc., 2.5%, 9/1/18 500,000 $509,779
Vita Capital IV, Ltd., Floating Rate Note, 1/15/16 (Cat Bond) (144A) 250,000 $251,945
Vita Capital V, Ltd., Floating Rate Note, 1/15/17 (Cat Bond) (144A) 250,000 $255,329
Vita Capital V, Ltd., Floating Rate Note, 1/15/17 (Cat Bond) (144A) 750,000 $761,765
Vitality Re IV, Ltd., Floating Rate Note, 1/9/17 (Cat Bond) (144A) 500,000 $505,548
Vitality Re V, Ltd., Floating Rate Note, 1/7/19 (Cat Bond) (144A) 500,000 $490,453
Vodafone Group Plc, Floating Rate Note, 2/19/16 275,000 $275,898
Volkswagen Group of America Finance LLC, Floating Rate Note, 5/23/16 (144A) 1,000,000 $999,773
Volkswagen International Finance NV, 1.125%, 11/18/16 (144A) 750,000 $755,248
Volkswagen International Finance NV, 1.15%, 11/20/15 (144A) 750,000 $758,468
Volkswagen International Finance NV, 1.6%, 11/20/17 (144A) 500,000 $503,970
VOLT XXIII LLC, 3.625%, 11/25/53 (Step) 475,000 $333,046
VOLT XXIV LLC, 3.25%, 11/25/53 (Step) 600,000 $361,907
VOLT XX LLC, 3.625%, 2/1/39 (Step) (144A) 550,000 $278,674
Volvo Financial Equipment LLC Series 2013-1, 0.74%, 3/15/17 (144A) 400,000 $400,638
Volvo Financial Equipment LLC Series 2014-1, 0.54%, 11/15/16 (144A) 415,000 $415,181
Wachovia Bank Commercial Mortgage Trust Series 2005-C17, Floating Rate Note, 3/15/42 1,965,000 $1,074,637
Wachovia Bank Commercial Mortgage Trust Series 2005-C18, 4.935%, 4/15/42 1,506,334 $998,800
Wachovia Bank Commercial Mortgage Trust Series 2005-C20 REMICS, Floating Rate Note, 7/15/42 2,414,000 $2,222,919
Wachovia Bank Commercial Mortgage Trust Series 2005-C21, Floating Rate Note, 10/17/44 625,364 $522,802
Wachovia Bank Commercial Mortgage Trust Series 2005-C22 REMICS, Floating Rate Note, 12/15/44 1,000,000 $960,316
Wachovia Bank Commercial Mortgage Trust Series 2006-C23 REMICS, Floating Rate Note, 1/15/45 1,590,000 $1,331,718
Wachovia Bank Commercial Mortgage Trust Series 2006-C24, Floating Rate Note, 3/15/45 272,000 $280,211
Wachovia Bank Commercial Mortgage Trust Series 2006-C25, Floating Rate Note, 5/15/43 1,200,000 $1,063,515
Wachovia Corp., Floating Rate Note, 6/15/17 1,077,000 $1,074,143
Wachovia Mortgage Loan Trust Series 2005-WMC1, Floating Rate Note, 10/25/35 750,000 $139,150
Walgreen Co., 1.0%, 3/13/15 1,000,000 $1,002,908
Walgreen Co., 1.8%, 9/15/17 1,000,000 $1,005,953
WaMu Mortgage Pass-Through Certificates Series 2002-AR6 Trust, Floating Rate Note, 6/25/42 29,950,000 $382,658
WaMu Mortgage Pass-Through Certificates Series 2003-AR9 Trust, Floating Rate Note, 9/25/33 3,122,360 $1,200,400
WaMu Mortgage Pass-Through Certificates Series 2003-S10, 5.0%, 10/25/18 17,361,049 $621,989
Waupaca Foundry, Inc., Term Loan, 6/29/17 285,212 $284,736
WCP Wireless Site Funding, 6.829%, 11/15/15 (144A) 1,155,000 $1,195,293
Welk Resorts 2013-A LLC, 3.1%, 3/15/29 (144A) 750,000 $618,597
Wells Fargo & Co., 1.25%, 7/20/16 500,000 $505,134
Wells Fargo & Co., 1.5%, 7/1/15 1,050,000 $1,063,112
Wells Fargo & Co., Floating Rate Note, 4/23/18 575,000 $577,740
Wells Fargo & Co., Floating Rate Note, 6/26/15 585,000 $588,837
Wells Fargo Alternative Loan 2005-2 Trust, Floating Rate Note, 10/25/35 453,135 $449,482
Wells Fargo Bank NA, Floating Rate Note, 5/16/16 250,000 $249,943
Wells Fargo Commercial Mortgage Trust 2014-TISH, Floating Rate Note, 2/16/27 (144A) 690,000 $690,300
Wells Fargo Home Equity Asset-Backed Securities 2005-3 Trust, Floating Rate Note, 12/25/35 200,000 $64,110
Wells Fargo Mortgage Backed Securities 2005-4 Trust, Floating Rate Note, 4/25/35 7,173,466 $442,595
Wells Fargo Mortgage Backed Securities 2005-AR6 Trust, Floating Rate Note, 4/25/35 3,371,000 $248,308
Wells Fargo Mortgage Backed Securities 2006-16 Trust, 5.0%, 11/25/36 550,000 $28,294
Wells Fargo Mortgage Backed Securities Trust, Floating Rate Note, 8/25/34 3,105,000 $175,969
Wesco Aircraft Hardware Corp., Tranche B Term Loan, 2/24/21 853,125 $838,195
WESCO Distribution, Inc., Tranche B-1 Loan, 12/12/19 61,163 $61,010
Westgate Resorts 2012-A LLC, 2.25%, 8/20/25 (144A) 1,490,000 $864,026
Westgate Resorts 2012-A LLC, 3.75%, 8/20/25 (144A) 403,000 $235,069
Westgate Resorts 2014-1 LLC, 2.15%, 12/20/26 (144A) 1,000,000 $954,132
Westgate Resorts LLC, 2.5%, 3/20/25 (144A) 250,000 $109,780
Westlake Automobile Receivables Trust 2013-1, 1.12%, 1/15/18 (144A) 150,000 $95,897
Westpac Banking Corp., 4.2%, 2/27/15 500,000 $509,647
Westpac Banking Corp., Floating Rate Note, 5/19/17 1,000,000 $1,000,902
Westwood CDO II, Ltd., Floating Rate Note, 4/25/22 (144A) 500,000 $386,276
Wheelabrator 1st Lien Tl-B L + 4% 15oct21 957,854 $962,045
Wheelabrator 1st Lien Tl-C L + 4% 15oct21 42,146 $42,330
Williams Partners LP, 3.8%, 2/15/15 750,000 $762,201
Wm Wrigley Jr Co., 2.0%, 10/20/17 (144A) 1,000,000 $1,010,863
World Financial Network Credit Card Master Trust, Floating Rate Note, 12/16/19 950,000 $950,862
WR Grace & Co-Conn, Delayed Draw Term Loan, 1/23/21 72,296 $71,853
WR Grace & Co-Conn, U.S. Term Loan, 1/23/21 201,418 $200,184
Zebra Technologies Corporation 1st Lien Tl-B L + 4% 30sep21 500,000 $504,375
ZIGGO BV, (USD) TLB3, 1/15/22 476,177 $464,485
Ziggo Bv 1st Lien Tl-B1 L + 2.75% 15jan22 449,291 $438,260
Ziggo Bv 1st Lien Tl-B2 L + 2.75% 15jan22 289,532 $282,423
Zoetis, Inc., 1.15%, 2/1/16 500,000 $502,571

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

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