Pioneer Short Term Income Fund

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

Security Name Par / Shares Market Value
A10 Securitization 2013-1 LLC, 2.4%, 11/15/25 (144A) 642,000 $586,381
A10 Term Asset Financing 2013-2 LLC, 2.62%, 11/15/27 (144A) 1,085,000 $1,087,185
ABN AMRO Bank NV, 1.375%, 1/22/16 (144A) 500,000 $507,303
ABN AMRO Bank NV, Floating Rate Note, 10/28/16 (144A) 750,000 $757,880
ACA CLO 2006-2, Ltd., Floating Rate Note, 1/20/21 (144A) 250,000 $245,068
ACAS CLO 2007-1, Ltd., Floating Rate Note, 4/20/21 500,000 $492,606
Accredited Mortgage Loan Trust 2005-2, Floating Rate Note, 7/25/35 240,000 $231,023
Acer 3.1% 10jun21 14-1a-D 700,000 $706,330
ACE Securities Corp Manufactured Housing Trust Series 2003-MH1, Floating Rate Note, 8/15/30 (144A) 425,000 $72,977
Acis CLO, Ltd., Floating Rate Note, 5/1/26 700,000 $698,124
Acmar 6.4% 09apr18 10-4-E 100,000 $102,140
Acosta, Inc., Term B Loan (2013), 3/2/18 248,126 $249,483
Activision Blizzard, Inc., Term Loan, 7/26/20 450,000 $451,808
Adjustable Rate Mortgage Trust 2005-2, Floating Rate Note, 6/25/35 345,151 $276,303
Adjustable Rate Mortgage Trust 2005-5, Floating Rate Note, 9/25/35 3,300,000 $306,618
Aegis Asset Backed Securities Trust 2005-5, Floating Rate Note, 12/25/35 1,000,000 $270,722
Aegis Asset Backed Securities Trust Mortgage Pass-Through Ctfs Ser 2005-4, Floating Rate Note, 10/25 239,000 $136,623
Aegis Asset Backed Securities Trust Mortgage Pass- Through Ctfs Series 2004-3, Floating Rate Note, 9 12,500,000 $526,359
Aegis Asset Backed Securities Trust Mortgage Pass- Through Ctfs Series 2004-3, Floating Rate Note, 9 881,754 $172,738
Aflac, Inc., 3.45%, 8/15/15 500,000 $522,992
Agilent Technologies, Inc., 5.5%, 9/14/15 620,000 $664,114
Ah4r Flt% 17jun31 14-Sfr1-B 665,000 $665,541
Alaltd Flt% 07jun17 144a 250,000 $250,525
Albertsons LLC, Term B-2 Loan, 3/21/19 646,754 $650,909
Allegion US Holding Co, Inc., Tranche B Term Loan, 12/26/20 497,500 $497,600
Alliant Techsystems, Inc., Term B Loan, 10/22/20 248,750 $249,341
Allied Security Holdings LLC, Delayed Draw Term Loan (First Lien), 2/12/21 511,570 $510,531
Ally Auto Receivables Trust 2014-SN1, Floating Rate Note, 10/20/16 500,000 $500,039
Altair Re, Floating Rate Note, 4/30/16 (Cat Bond) 84,180 $105,620
Altera Corp., 2.5%, 11/15/18 500,000 $509,278
Alternative Loan Trust 2003-14T1, Floating Rate Note, 8/25/18 3,200,000 $146,849
Alternative Loan Trust 2003-J1, 4.75%, 10/25/33 4,300,000 $225,862
Alternative Loan Trust 2004-18CB, Floating Rate Note, 9/25/34 19,958,000 $78,977
Alternative Loan Trust 2004-4CB, 4.25%, 4/25/34 4,541,000 $226,080
Alternative Loan Trust 2005-J4, Floating Rate Note, 7/25/35 1,322,801 $1,281,202
Altrl Flt% 30jun16 350,000 $362,355
Amcar Flt% 10oct17 14-2-A2b 380,000 $380,120
AMC Entertainment, Inc., Initial Term Loan, 4/30/20 248,116 $248,451
America Movil SAB de CV, Floating Rate Note, 9/12/16 1,000,000 $1,012,599
American Credit Acceptance Receivables Trust, 1.64%, 11/15/16 (144A) 350,000 $86,646
American Credit Acceptance Receivables Trust 2013-2, 1.32%, 2/15/17 (144A) 280,000 $134,627
American Credit Acceptance Receivables Trust 2014-1, 1.14%, 3/12/18 (144A) 520,000 $383,478
American Credit Acceptance Receivables Trust 2014-2, 0.99%, 10/10/17 (144A) 500,000 $456,156
American Electric Power Co, Inc., 1.65%, 12/15/17 500,000 $503,020
American Express Credit Account Secured Note Trust 2012-4, Floating Rate Note, 5/15/20 (144A) 760,000 $765,551
American Express Credit Corp., 1.3%, 7/29/16 500,000 $506,903
American Express Credit Corp., 5.125%, 8/25/14 553,000 $566,861
American Express Credit Corp., Floating Rate Note, 6/12/15 200,000 $202,128
American Home Mortgage Investment Trust 2004-3, 5.01%, 10/25/34 (Step) 4,000,000 $286,173
American Home Mortgage Investment Trust 2005-1, Floating Rate Note, 6/25/45 1,500,000 $219,631
American Honda Finance Corp., 1.125%, 10/7/16 500,000 $504,253
American Honda Finance Corp., 1.85%, 9/19/14 (144A) 200,000 $201,614
American Honda Finance Corp., Floating Rate Note, 5/26/16 (144A) 1,675,000 $1,683,198
AmeriCredit Automobile Receivables Trust 2010-2, 6.24%, 6/8/16 567,000 $556,813
AmeriCredit Automobile Receivables Trust 2011-3, 4.04%, 7/10/17 100,000 $103,777
AmeriCredit Automobile Receivables Trust 2011-5, 2.45%, 12/8/16 500,000 $504,603
AmeriCredit Automobile Receivables Trust 2012-4, 3.82%, 2/10/20 500,000 $523,842
AmeriCredit Automobile Receivables Trust 2013-1, 1.57%, 1/8/19 150,000 $150,745
AmeriCredit Automobile Receivables Trust 2013-4, 0.74%, 11/8/16 500,000 $345,579
AmeriCredit Automobile Receivables Trust 2013-4, 3.31%, 10/8/19 500,000 $519,266
Ameriquest Mortgage Securities Inc Asset-Backed Pass-Through Ctfs Ser 2003-11, Floating Rate Note, 1 14,558,685 $662,483
Ameriquest Mortgage Securities Inc Asset-Backed Pass-Through Ctfs Ser 2005-R1, Floating Rate Note, 3 592,188 $354,500
Ameriquest Mortgage Securities Inc Asset Backed Pass-Through Ctfs Ser 2005-R11, Floating Rate Note, 962,222 $712,745
Ameriquest Mortgage Securities Inc Asset-Backed Pass-Through Ctfs Ser 2005-R6, Floating Rate Note, 8 2,840,000 $38,003
Ameriquest Mortgage Securities Inc Asset-Backed Pass-Through Ctfs Ser 2005-R9, 4.65676%, 11/25/35 (S 590,000 $543,155
Ameriquest Mort Sec Inc Asset Backed Pass Thr Cert 03 AR3, Floating Rate Note, 6/25/33 155,851 $103,454
Amgen, Inc., 2.5%, 11/15/16 500,000 $519,478
AMRESCO Residential Securities Corp Mortgage Loan Trust 1997-3, Floating Rate Note, 9/25/27 8,300,000 $195,915
Anheuser-Busch Companies LLC, 5.0%, 1/15/15 225,000 $235,814
Anheuser-Busch InBev Finance, Inc., Floating Rate Note, 1/27/17 500,000 $501,011
Anheuser-Busch InBev Worldwide, Inc., 1.5%, 7/14/14 500,000 $503,707
Anheuser-Busch InBev Worldwide, Inc., 4.125%, 1/15/15 580,000 $602,645
ANZ New Zealand Int'l, Ltd. London, 1.125%, 3/24/16 (144A) 1,000,000 $1,008,690
Apple, Inc., Floating Rate Note, 5/3/16 400,000 $400,337
ARC Properties Operating Partnership LP, 2.0%, 2/6/17 (144A) 500,000 $505,231
ARI Fleet Lease Trust 2012-A, Floating Rate Note, 3/15/20 (144A) 810,000 $213,070
ARI Fleet Lease Trust 2013-A, 0.7%, 12/15/15 (144A) 260,000 $188,598
Arlington Flt% 01aug15 250,000 $252,025
Armor Re, Ltd., Floating Rate Note, 12/15/16 (Cat Bond) (144A) 300,000 $296,047
Arysta Lifescience SPC LLC, Initial Term Loan (First Lien), 5/29/20 705,683 $710,527
Ascentium Equipment Receivables 2012-1 LLC, 1.83%, 9/15/19 (144A) 822,000 $206,453
Ascentium Equipment Receivables 2014-1 LLC, 1.04%, 1/10/17 400,000 $400,336
ASG Resecuritization Trust 2010-3, Floating Rate Note, 12/28/45 (144A) 1,642,839 $807,517
Asset Backed Securities Corp Home Equity Loan Trust Series 2003-HE1, Floating Rate Note, 1/15/33 3,082,000 $801,792
Asset Backed Securities Corp Home Equity Loan Trust Series 2005-HE3, Floating Rate Note, 4/25/35 159,800 $135,182
Asset Backed Securities Corp Home Equity Loan Trust Series AEG 2006-HE1, Floating Rate Note, 1/25/36 311,384 $61,874
Assurant, Inc., 2.5%, 3/15/18 300,000 $304,431
Astoria Financial Corp., 5.0%, 6/19/17 325,000 $353,615
AT&T, Inc., 0.875%, 2/13/15 500,000 $503,263
Atlantic Power LP, Term Loan, 2/20/21 1,101,525 $1,115,294
Atlas IX Capital, Ltd., Floating Rate Note, 1/17/19 (Cat Bond) (144A) 500,000 $518,979
Atlas Reinsurance VII, Ltd., Floating Rate Note, 1/7/16 (Cat Bond) (144A) 250,000 $264,115
Avago Technologies Ltd 1st Lien Tl-B L + 3% 16apr21 395,000 $396,832
AXIS Equipment Finance Receivables II LLC, 3.81%, 12/20/16 400,000 $401,229
Bac Flt% 15jan15 750,000 $752,150
Banc of America Alternative Loan Trust 2003-10, Floating Rate Note, 12/25/33 2,600,000 $174,631
Banc of America Alternative Loan Trust 2004-2, 5.5%, 3/25/19 954,266 $126,760
Banc of America Alternative Loan Trust 2004-4, 5.25%, 5/25/34 1,363,000 $178,196
Banc of America Funding 2003-3 Trust, 5.5%, 10/25/33 617,825 $140,647
Banc of America Funding 2004-B Trust, Floating Rate Note, 12/20/34 6,667,000 $548,783
Banc of America Large Loan Trust 2007-BMB1, Floating Rate Note, 8/15/29 (144A) 986,000 $986,128
Banc of America Merrill Lynch Commercial Mortgage, Inc., Floating Rate Note, 10/10/45 1,370,000 $1,377,174
Banc of America Merrill Lynch Commercial Mortgage, Inc., Floating Rate Note, 7/10/43 645,000 $628,066
Banc of America Merrill Lynch Commercial Mortgage, Inc., Floating Rate Note, 9/10/47 1,780,000 $1,868,596
Banc of America Mortgage 2003-F Trust, Floating Rate Note, 7/25/33 5,619,027 $295,574
Banc of America Mortgage 2003-H Trust, Floating Rate Note, 9/25/33 13,410,000 $1,145,560
Banc of America Mortgage Trust 2004-7, 4.5%, 8/25/19 181,000 $15,259
Banco Nacional de Desenvolvimento Economico e Social, 3.375%, 9/26/16 (144A) 1,000,000 $1,042,656
Bank of America Corp., 1.25%, 1/11/16 575,000 $582,707
Bank of America Corp., 1.35%, 11/21/16 500,000 $502,221
Bank of America Corp., 3.7%, 9/1/15 500,000 $523,079
Bank of America Corp., 4.5%, 4/1/15 210,000 $218,627
Bank of America Corp., 5.45%, 7/15/14 450,000 $462,281
Bank of America Corp., Floating Rate Note, 3/22/16 2,000,000 $2,015,364
Bank of America NA, 1.25%, 2/14/17 500,000 $502,998
Bank of Montreal, 0.8%, 11/6/15 500,000 $503,327
Bank of Nova Scotia, 1.1%, 12/13/16 500,000 $501,790
Bank of Nova Scotia, 1.375%, 7/15/16 500,000 $508,880
Bank of Nova Scotia, 1.45%, 4/25/18 500,000 $497,834
Bank of Nova Scotia, Floating Rate Note, 1/12/15 1,000,000 $1,007,884
Barclays Bank Plc, Floating Rate Note, 2/17/17 229,000 $229,936
Barclays Dryrock Issuance Trust, Floating Rate Note, 3/16/20 500,000 $500,232
Baxter International, Inc., 0.95%, 6/1/16 500,000 $502,535
Bayview Commercial Asset Trust, 3.52691%, 9/25/37 (Step) (144A) 3,000,000 $102,946
Bayview Commercial Asset Trust, 4.12687%, 7/25/37 (Step) (144A) 4,500,000 $13,654
Bayview Commercial Asset Trust, Floating Rate Note, 1/25/35 (144A) 4,600,000 $763,247
Bayview Commercial Asset Trust, Floating Rate Note, 4/25/34 (144A) 4,150,000 $438,761
Bayview Financial Acquisition Trust, Floating Rate Note, 5/28/44 7,600,000 $158,606
Bayview Financial Asset Trust 2003-A, Floating Rate Note, 2/25/33 (144A) 7,852,000 $258,820
Bayview Financial Mortgage Pass-Through Trust 2005-C, Floating Rate Note, 6/28/44 750,000 $722,667
Bayview Financial Mortgage Pass-Through Trust 2006-A, Floating Rate Note, 2/28/41 1,639,000 $203,330
Bayview Financial Mortgage Pass-Through Trust 2006-B, Floating Rate Note, 4/28/36 603,000 $49,746
Bayview Financial Mortgage Pass-Through Trust 2006-B, Floating Rate Note, 4/28/36 1,207,803 $355,237
Bayview Financial Mortgage Pass-Through Trust Series 2005-B, Floating Rate Note, 4/28/39 425,000 $418,467
Bayview Opportunity Master Fund IIa Trust 2012-4NPL, 3.9496%, 1/28/34 (Step) 695,000 $581,184
BB&T Corp., 1.6%, 8/15/17 103,000 $104,564
BCAP LLC 2009-RR13-I Trust, Floating Rate Note, 9/26/35 (144A) 2,765,000 $782,059
BCAP LLC 2013-RR3 Trust, Floating Rate Note, 5/26/36 (144A) 500,000 $411,599
BCMSC Trust 1998-A, 6.65%, 4/15/28 2,750,000 $110,066
Bear Stearns ALT-A Trust 2004-11, Floating Rate Note, 11/25/34 7,155,000 $422,688
Bear Stearns ALT-A Trust 2004-12, Floating Rate Note, 1/25/35 8,440,000 $1,149,713
Bear Stearns ALT-A Trust 2004-12, Floating Rate Note, 1/25/35 5,395,000 $673,206
Bear Stearns ALT-A Trust 2004-12, Floating Rate Note, 1/25/35 3,695,000 $505,902
Bear Stearns ALT-A Trust 2004-12, Floating Rate Note, 1/25/35 3,280,000 $383,076
Bear Stearns ALT-A Trust 2004-13, Floating Rate Note, 11/25/34 1,905,000 $105,219
Bear Stearns ALT-A Trust 2004-4, Floating Rate Note, 6/25/34 10,699,000 $929,209
Bear Stearns ARM Trust 2003-3, Floating Rate Note, 5/25/33 9,158,341 $292,674
Bear Stearns ARM Trust 2004-10, Floating Rate Note, 1/25/35 720,000 $115,186
Bear Stearns ARM Trust 2004-3, Floating Rate Note, 7/25/34 2,481,203 $97,699
Bear Stearns ARM Trust 2004-9, Floating Rate Note, 11/25/34 1,014,658 $136,673
Bear Stearns Asset Backed Securities I Trust 2005-FR1, Floating Rate Note, 6/25/35 1,526,722 $618,692
Bear Stearns Asset Backed Securities I Trust 2005-HE6, Floating Rate Note, 6/25/35 1,350,000 $68,909
Bear Stearns Asset Backed Securities I Trust 2005-HE8, Floating Rate Note, 8/25/35 1,233,951 $101,787
Bear Stearns Asset Backed Securities Trust, Floating Rate Note, 2/25/35 5,848,300 $407,829
Bear Stearns Asset Backed Securities Trust 2003-SD2, Floating Rate Note, 6/25/43 3,896,100 $307,844
Bear Stearns Asset Backed Securities Trust 2004-2, Floating Rate Note, 8/25/34 389,000 $73,355
Bear Stearns Asset Backed Securities Trust 2006-SD2, Floating Rate Note, 6/25/36 412,000 $246,279
Bear Stearns Commercial Mortgage Securities Trust 2005-PWR7, Floating Rate Note, 2/11/41 550,000 $555,952
Bear Stearns Commercial Mortgage Securities Trust 2005-PWR8, 4.75%, 6/11/41 415,000 $428,735
Bear Stearns Commercial Mortgage Securities Trust 2005-PWR9, Floating Rate Note, 9/11/42 1,160,000 $1,209,669
Bear Stearns Commercial Mortgage Securities Trust 2005-TOP18, Floating Rate Note, 2/13/42 1,150,000 $1,020,934
Bear Stearns Mortgage Securities, Inc., Floating Rate Note, 6/25/30 731,690 $138,729
Bear Stearns Structured Products Trust 2007-EMX1, Floating Rate Note, 3/25/37 (144A) 1,130,000 $248,904
Belden Finance 2013 LP, Initial Term Loan, 9/9/20 248,750 $249,332
Bella Vista Mortgage Trust 2004-1, Floating Rate Note, 11/20/34 12,618,000 $381,855
Berkshire Hathaway Finance Corp., Floating Rate Note, 1/10/17 1,000,000 $1,001,101
BHP Billiton Finance USA, Ltd., Floating Rate Note, 9/30/16 500,000 $501,083
Blue Danube, Ltd., Floating Rate Note, 4/10/15 (Cat Bond) (144A) 650,000 $691,406
Blue Danube II, Ltd., Floating Rate Note, 5/23/16 (Cat Bond) (144A) 500,000 $506,944
BMW Vehicle Lease Trust 2013-1, 0.4%, 1/20/15 370,000 $55,885
BMW Vehicle Owner Trust 2011-A, 0.76%, 8/25/15 100,000 $7,101
Boams Flt% 25may34 04-D-2a1 4,920,000 $602,413
Boca Hotel Portfolio Trust 2013-BOCA, Floating Rate Note, 8/15/26 (144A) 430,000 $431,262
Bombardier, Inc., 4.25%, 1/15/16 (144A) 360,000 $378,755
Bosphorus 1 Re, Ltd., Floating Rate Note, 5/3/16 (Cat Bond) (144A) 250,000 $249,676
Boston Scientific Corp., 2.65%, 10/1/18 500,000 $514,430
BPCE SA, Floating Rate Note, 4/25/16 550,000 $560,027
Branch Banking & Trust Co., 2.3%, 10/15/18 500,000 $511,896
Branch Banking & Trust Co., Floating Rate Note, 5/23/17 250,000 $248,272
Branch Banking & Trust Co., Floating Rate Note, 9/13/16 250,000 $249,072
Bright Horizons Family Solutions, Inc., Term B Loan, 1/30/20 297,733 $298,012
Britax US Holdings, Inc., Initial Dollar Term Loan, 10/7/20 297,750 $281,622
British Telecommunications Plc, 2.0%, 6/22/15 504,000 $511,406
Bush Truck Leasing LLC, 5.0%, 9/25/18 (144A) 100,000 $9,877
BWAY Holding Co., Initial Term Loan, 8/6/17 192,563 $193,525
Caelus Re, Ltd., Floating Rate Note, 3/7/16 (Cat Bond) (144A) 500,000 $508,041
Caelus Re 2013, Ltd., Floating Rate Note, 4/7/17 (Cat Bond) (144A) 750,000 $790,594
Cah Flt% 17jul31 C 600,000 $600,764
California Republic Auto Receivables Trust 2012-1, 1.18%, 8/15/17 (144A) 329,000 $123,308
Calpine Construction Finance Co LP, Term B-2 Loan, 1/3/22 671,618 $665,909
CAM Mortgage Trust 2014-1, 3.3515%, 12/15/53 (Step) (144A) 660,000 $334,816
Cammt Flt% 15dec53 14-2-A 610,000 $610,220
Canadian National Railway Co., Floating Rate Note, 11/6/15 730,000 $730,679
Canadian Natural Resources, Ltd., 1.45%, 11/14/14 430,000 $432,608
Canadian Natural Resources, Ltd., Floating Rate Note, 3/30/16 277,000 $278,031
Capital Auto Receivables Asset Trust/ Ally, 1.74%, 10/22/18 413,000 $413,966
Capital Auto Receivables Asset Trust/ Ally, 2.19%, 9/20/21 125,000 $125,469
Capital Auto Receivables Asset Trust 2013-3, Floating Rate Note, 11/20/15 250,000 $250,214
Capital One Financial Corp., 1.0%, 11/6/15 475,000 $477,028
Capital One Financial Corp., 2.125%, 7/15/14 1,559,000 $1,575,339
Capital One Financial Corp., 2.15%, 3/23/15 1,000,000 $1,017,992
Capital One Financial Corp., Floating Rate Note, 11/6/15 750,000 $754,667
Capital One NA, Floating Rate Note, 3/22/16 700,000 $702,942
Cardinal Health, Inc., 4.0%, 6/15/15 500,000 $517,487
CarMax Auto Owner Trust 2012-1, 0.89%, 9/15/16 745,000 $392,097
Carmx 2.15% 15jul18 13-3-C 540,000 $548,796
Carrington Mortgage Loan Trust Series 2005-NC1, Floating Rate Note, 2/25/35 1,496,373 $419,202
Carrington Mortgage Loan Trust Series 2006-OPT1, Floating Rate Note, 2/25/36 5,047,000 $1,094,776
Castle Garden Funding, Floating Rate Note, 10/27/20 (144A) 2,000,000 $489,668
Cat 1% 25nov16 1,000,000 $1,005,186
Caterpillar Financial Services Corp., 1.35%, 9/6/16 1,125,000 $1,142,706
CDC Mortgage Capital Trust 2002-HE1, Floating Rate Note, 1/25/33 19,484,513 $431,010
Cendant Mortgage Corp., 6.25%, 3/25/32 (144A) 4,100,000 $523,723
Centerpoint Energy Transition Bond Co II LLC, 5.17%, 8/1/19 720,000 $773,415
CeramTec Acquisition Corp., Initial Dollar Term B-2 Loan, 8/30/20 20,955 $21,038
CeramTec GmbH, Dollar Term B-3 Loan, 8/30/20 64,096 $64,349
CeramTec Service GmbH, Initial Dollar Term B-1 Loan, 8/30/20 211,444 $212,281
Cfab 4.277% 25nov34 03-6-1a7 1,400,000 $217,226
CGBAM Commercial Mortgage Trust 2014-HD, Floating Rate Note, 2/15/31 310,000 $310,298
Cgcc14-Fl1 Flt% 15jun31 A 1,630,000 $1,630,050
CGWF Commercial Mortgage Trust 2013-RKWH, Floating Rate Note, 11/15/30 (144A) 1,090,000 $1,095,472
Chase Funding Trust Series 2003-3, Floating Rate Note, 4/25/33 13,029,694 $135,501
Chase Mortgage Finance Trust Series 2005-S1, 5.5%, 5/25/35 4,068,000 $104,460
Chesapeake Funding LLC, Floating Rate Note, 3/7/26 750,000 $751,148
Chesapeake Funding LLC, Floating Rate Note, 5/7/24 (144A) 250,000 $252,028
Chesapeake Funding LLC, Floating Rate Note, 5/7/24 (144A) 200,000 $148,102
CHL Mortgage Pass-Through Trust 2002-J4, 5.5%, 10/25/32 10,625,000 $732,561
CHL Mortgage Pass-Through Trust 2004-14, Floating Rate Note, 8/25/34 1,250,000 $174,470
CHL Mortgage Pass-Through Trust 2004-29, Floating Rate Note, 2/25/35 17,457,000 $942,525
Chrysler Group LLC, Term Loan B, 5/24/17 902,100 $906,772
Chrysler Group LLC, Tranche B Term Loan, 12/29/18 598,500 $597,749
CHS, 2017 Term E Loan, 1/25/17 99,876 $100,234
CHS, 2021 Term D Loan, 1/27/21 266,202 $268,178
Cinedigm Digital Funding I LLC, Term Loan, 2/28/18 175,952 $176,282
Citicorp Mortgage Securities REMIC Pass-Through Certificates Trust Series 2005-7, 5.0%, 10/25/35 5,635,000 $567,773
Citigroup, Inc., 1.3%, 4/1/16 500,000 $504,610
Citigroup, Inc., 5.0%, 9/15/14 1,500,000 $1,535,364
Citigroup, Inc., 5.5%, 10/15/14 430,000 $441,200
Citigroup, Inc., Floating Rate Note, 11/15/16 750,000 $754,676
Citigroup, Inc., Floating Rate Note, 4/1/16 500,000 $504,466
Citigroup, Inc., Floating Rate Note, 7/25/16 750,000 $759,801
Citigroup Commercial Mortgage Trust 2007-FL3, Floating Rate Note, 4/15/22 (144A) 580,444 $575,651
Citigroup Mortgage Loan Trust, Inc., 7.0%, 9/25/33 7,340,000 $105,003
Citigroup Mortgage Loan Trust, Inc., Floating Rate Note, 11/25/34 900,000 $59,980
Citigroup Mortgage Loan Trust, Inc., Floating Rate Note, 11/25/35 1,471,464 $17,803
Citigroup Mortgage Loan Trust, Inc., Floating Rate Note, 4/25/35 1,750,000 $180,291
Citigroup Mortgage Loan Trust 2006-SHL1, Floating Rate Note, 11/25/45 (144A) 3,365,000 $401,417
Citigroup Mortgage Loan Trust 2010-7, Floating Rate Note, 9/25/37 (144A) 1,905,250 $492,776
Citrus Re, Ltd., Floating Rate Note, 4/18/17 (Cat Bond) (144A) 250,000 $244,925
Citrus Re, Ltd., Floating Rate Note, 4/24/17 (Cat Bond) (144A) 600,000 $584,580
Cnh 0.57% 15dec17 12-C-A3 75,000 $71,779
CNH Wholesale Master Note Trust, Floating Rate Note, 8/15/19 (144A) 525,000 $526,627
CNL Commercial Mortgage Loan Trust 2002-1, Floating Rate Note, 10/25/28 (144A) 8,975,000 $303,940
CNL Commercial Mortgage Loan Trust 2003-1, Floating Rate Note, 5/15/31 (144A) 5,443,000 $526,687
CNL Commercial Mortgage Loan Trust 2003-2, Floating Rate Note, 10/25/30 (144A) 1,000,000 $92,577
Coca-Cola Enterprises, Inc., 2.125%, 9/15/15 189,000 $193,644
Collateralized Mortgage Obligation Trust 44, Floating Rate Note, 7/1/18 13,590,000 $57,063
Colony American Homes 2014-1, Floating Rate Note, 5/17/31 700,000 $700,985
Combine Re, Ltd., Floating Rate Note, 1/7/15 (Cat Bond) (144A) 400,000 $423,556
Combine Re, Ltd., Floating Rate Note, 1/7/15 (Cat Bond) (144A) 1,000,000 $1,021,850
COMM 2005-C6 Mortgage Trust, Floating Rate Note, 6/10/44 770,000 $770,996
COMM 2006-FL12 Mortgage Trust, Floating Rate Note, 12/15/20 (144A) 785,000 $499,781
COMM 2006-FL12 Mortgage Trust, Floating Rate Note, 12/15/20 (144A) 3,410,000 $596,648
COMM 2007-FL14 Mortgage Trust, Floating Rate Note, 6/15/22 (144A) 2,937,000 $615,294
COMM 2011-FL1 Mortgage Trust, Floating Rate Note, 7/17/28 (144A) 200,000 $64,673
COMM 2013-FL3 Mortgage Trust, Floating Rate Note, 10/13/28 (144A) 1,000,000 $997,343
COMM 2014-TWC Mortgage Trust, Floating Rate Note, 2/13/32 (144A) 1,850,000 $1,862,229
Commercial Mortgage Pass Through Certificates, Floating Rate Note, 11/17/26 (144A) 600,000 $550,054
Commercial Mortgage Trust 2005-GG3, Floating Rate Note, 8/10/42 485,000 $491,207
Commercial Mortgage Trust 2005-GG3, Floating Rate Note, 8/10/42 1,000,000 $1,019,713
Comm Flt% 10jun44 05-C6-A5b 1,630,000 $1,706,311
Comm Flt% 11jun27 14-Kyo-C 1,630,000 $1,630,000
Comm Flt% 15jun34 14-Sava-B 1,110,000 $1,110,000
Commonwealth Bank of Australia, Floating Rate Note, 3/13/17 (144A) 650,000 $651,056
Commonwealth Bank of Australia, Floating Rate Note, 9/18/15 (144A) 460,000 $464,100
Commonwealth Edison Co., 1.95%, 9/1/16 500,000 $516,491
Compass Re, Ltd., Floating Rate Note, 1/8/15 (Cat Bond) (144A) 375,000 $389,441
ConocoPhillips Co., 1.05%, 12/15/17 1,000,000 $990,835
Conseco Finance Corp., 7.55%, 4/15/32 (Step) 2,740,000 $284,803
Conseco Finance Corp., Floating Rate Note, 11/15/32 800,000 $7,009
Conseco Finance Home Equity Loan Trust 2002-C, Floating Rate Note, 5/15/32 2,875,000 $837,778
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA New York, Floating Rate Note, 3/18/16 500,000 $502,955
Costco Wholesale Corp., 1.125%, 12/15/17 740,000 $736,720
Countrywide Asset-Backed Certificates, Floating Rate Note, 1/25/36 330,000 $55,749
Countrywide Asset-Backed Certificates, Floating Rate Note, 11/25/34 4,839,000 $152,640
Countrywide Asset-Backed Certificates, Floating Rate Note, 11/25/35 (144A) 2,175,000 $100,705
Countrywide Asset-Backed Certificates, Floating Rate Note, 2/25/33 244,000 $57,860
Countrywide Asset-Backed Certificates, Floating Rate Note, 2/25/36 1,814,000 $354,840
Countrywide Asset-Backed Certificates, Floating Rate Note, 5/25/35 1,300,000 $380,737
Countrywide Asset-Backed Certificates, Floating Rate Note, 5/25/36 1,600,000 $143,087
Countrywide Asset-Backed Certificates, Floating Rate Note, 6/25/36 284,000 $66,567
Countrywide Asset-Backed Certificates, Floating Rate Note, 7/25/35 1,554,000 $223,429
Countrywide Asset-Backed Certificates, Floating Rate Note, 9/25/34 (144A) 8,600,000 $516,967
County of Power Idaho, 5.625%, 10/1/14 1,000,000 $1,024,143
Covidien International Finance SA, 1.35%, 5/29/15 750,000 $756,988
CPS Auto Receivables Trust 2013-A, 1.89%, 6/15/20 (144A) 690,000 $481,675
CPS Auto Receivables Trust 2013-B, 1.82%, 9/15/20 (144A) 157,000 $100,731
CPS Auto Receivables Trust 2014-A, 1.21%, 8/15/18 200,000 $181,530
Credit Acceptance Auto Loan Trust 2013-2, 1.5%, 4/15/21 (144A) 1,000,000 $1,007,873
Credit Suisse Commercial Mortgage Trust Series 2007-C1, 5.361%, 2/15/40 1,300,000 $1,066,277
Credit Suisse First Boston Mortgage Securities Corp., 4.686%, 7/15/37 890,000 $896,458
Credit Suisse First Boston Mortgage Securities Corp., 4.829%, 11/15/37 204,829 $174,294
Credit Suisse First Boston Mortgage Securities Corp., 4.832%, 4/15/37 1,080,143 $1,107,773
Credit Suisse First Boston Mortgage Securities Corp., 4.877%, 4/15/37 500,000 $508,986
Credit Suisse First Boston Mortgage Securities Corp., 5.25%, 10/25/19 1,196,000 $68,205
Credit Suisse First Boston Mortgage Securities Corp., 5.5%, 6/25/33 200,000 $49,103
Credit Suisse First Boston Mortgage Securities Corp., 5.5%, 8/25/34 18,567,000 $63,499
Credit Suisse First Boston Mortgage Securities Corp., 7.5%, 5/25/32 15,000,000 $320,587
Credit Suisse First Boston Mortgage Securities Corp., Floating Rate Note, 11/25/33 1,400,000 $81,049
Credit Suisse First Boston Mortgage Securities Corp., Floating Rate Note, 12/15/40 2,030,000 $1,536,147
Credit Suisse First Boston Mortgage Securities Corp., Floating Rate Note, 12/25/33 700,000 $38,700
Credit Suisse First Boston Mortgage Securities Corp., Floating Rate Note, 2/15/38 855,000 $713,722
Credit Suisse First Boston Mortgage Securities Corp., Floating Rate Note, 8/15/38 1,900,440 $1,928,535
Credit Suisse Mortgage Capital Certificates, Floating Rate Note, 10/15/21 (144A) 875,000 $219,878
Credit Suisse Mortgage Capital Certificates, Floating Rate Note, 7/27/36 (144A) 3,494,698 $857,510
Cronos Containers Program, Ltd., 3.81%, 9/18/27 (144A) 500,000 $414,852
Crown Castle Towers LLC, 3.214%, 8/15/15 (144A) 500,000 $508,686
Csfb Flt% 25jul35 05-6-1a2 2,850,000 $328,938
Csmc Flt% 15dec29 14-Ice-B 1,000,000 $1,001,198
CSMC Trust 2010-16, Floating Rate Note, 6/25/50 (144A) 600,000 $302,846
CSMC Trust 2014-SURF, Floating Rate Note, 2/15/29 (144A) 700,000 $701,773
Daimler Finance North America LLC, 1.45%, 8/1/16 (144A) 1,000,000 $1,017,053
Daimler Finance North America LLC, Floating Rate Note, 3/10/17 (144A) 750,000 $751,047
Darling Ingredients, Inc., Term B USD Loan, 12/19/20 523,688 $524,342
Del Coronado Trust 2013-DEL, Floating Rate Note, 3/15/26 (144A) 399,000 $397,760
Del Coronado Trust 2013-DEL, Floating Rate Note, 3/15/26 (144A) 300,000 $299,937
DELOS FINANCE SARL, Loan, 2/27/21 425,000 $425,266
Delta Air Lines, Inc., 2014 Term B-1 Loan, 10/18/18 99,747 $99,810
Deutsche Telekom International Finance BV, 4.875%, 7/8/14 1,000,000 $1,024,046
Devon Energy Corp., 1.2%, 12/15/16 500,000 $501,782
Devon Energy Corp., Floating Rate Note, 12/15/15 1,500,000 $1,508,887
Diamond Resorts Owner Trust 2013-2, 2.62%, 3/1/24 750,000 $571,083
Digital Realty Trust LP, 4.5%, 7/15/15 650,000 $682,026
Direct Capital Funding V LLC, 1.673%, 12/20/17 (144A) 175,000 $56,701
Direct Capital Funding V LLC, 4.83%, 11/20/20 (144A) 750,000 $766,558
Discover Card Execution Note Trust, 0.81%, 8/15/17 500,000 $501,628
Discovery Communications LLC, 3.7%, 6/1/15 750,000 $774,462
Drugb Flt% 15jul23 14-1-A1 250,000 $250,128
DT Auto Owner Trust 2013-1, 1.67%, 2/15/19 (144A) 629,000 $632,078
Duke Energy Carolinas LLC, 1.75%, 12/15/16 750,000 $767,342
Duke Energy Corp., 3.95%, 9/15/14 395,000 $402,446
Duke Energy Florida, Inc., 0.65%, 11/15/15 500,000 $501,646
Duke Energy Indiana, Inc., Floating Rate Note, 7/11/16 303,000 $304,494
Duke Energy Progress, Inc., Floating Rate Note, 3/6/17 411,000 $411,345
East Lane Re, Ltd., Floating Rate Note, 3/13/15 (Cat Bond) (144A) 500,000 $508,793
East Lane Re VI, Ltd., Floating Rate Note, 3/14/18 (144A) 500,000 $494,200
Electricite de France SA, Floating Rate Note, 1/20/17 (144A) 750,000 $754,072
Ellington Loan Acquisition Trust 2007-1, Floating Rate Note, 5/28/37 (144A) 550,000 $511,698
Enbridge, Inc., Floating Rate Note, 10/1/16 500,000 $503,888
Endo Luxembourg Finance I 1st Lien Tl-B L + 2.5% 05nov20 498,750 $497,555
Energy Transfer Partners LP, 5.95%, 2/1/15 725,000 $762,565
Enterprise Products Operating LLC, 3.7%, 6/1/15 500,000 $515,968
Eqty14-Inns Flt% 08may19 B 1,020,000 $1,020,594
Equity One Mortgage Pass-Through Trust 2003-1, Floating Rate Note, 8/25/33 11,389,000 $398,534
Equity One Mortgage Pass-Through Trust 2004-1, Floating Rate Note, 4/25/34 1,840,000 $471,666
Equity One Mortgage Pass-Through Trust 2004-2, Floating Rate Note, 7/25/34 1,925,000 $498,205
Equity One Mortgage Pass-Through Trust 2004-3, Floating Rate Note, 7/25/34 3,011,000 $183,486
Exeter Automobile Receivables Trust 2014-2, 1.42%, 8/15/18 400,000 $400,342
Export-Import Bank of Korea, 1.25%, 11/20/15 500,000 $503,294
Express Scripts Holding Co., 2.1%, 2/12/15 732,000 $745,323
Express Scripts Holding Co., 2.75%, 11/21/14 900,000 $911,200
Express Scripts Holding Co., 3.125%, 5/15/16 1,000,000 $1,045,818
Extended Stay America Trust 2013-ESH, 1.2783%, 12/5/31 (144A) 723,000 $708,443
Extended Stay America Trust 2013-ESH, Floating Rate Note, 12/5/31 (144A) 200,000 $200,050
Extended Stay America Trust 2013-ESH, Floating Rate Note, 12/5/31 (144A) 200,000 $200,012
F 1.724% 06dec17 700,000 $701,123
Fannie Mae, 4.5%, 1/1/41 580,000 $321,376
Fannie Mae, 4.5%, 5/1/39 2,100,000 $942,696
Fannie Mae, 4.5%, 5/1/39 1,350,000 $558,063
Fannie Mae, 5.0%, 10/1/41 1,736,000 $883,392
Fannie Mae, 5.0%, 7/1/15 1,000,000 $22,573
Fannie Mae, 5.5%, 12/1/35 1,000,000 $82,056
Fannie Mae, 5.5%, 8/1/37 2,000,000 $424,160
Fannie Mae, 6.0%, 10/1/22 973,454 $339,361
Fannie Mae, 6.0%, 2/1/34 1,400,000 $38,485
Fannie Mae, 6.0%, 4/1/38 483,000 $49,562
Fannie Mae, 6.5%, 4/1/29 9,050,000 $339,868
Fannie Mae, 6.5%, 6/1/16 700,000 $2,662
Fannie Mae, 6.5%, 7/1/32 723,471 $9,036
Fannie Mae, 6.5%, 8/1/17 667,089 $21,384
Fannie Mae, 7.0%, 1/1/36 1,000,000 $40,609
Fannie Mae, 7.0%, 10/1/19 19,053,741 $155,437
Fannie Mae, 7.0%, 7/1/17 3,768,412 $53,773
Fannie Mae, Floating Rate Note, 1/1/25 7,000,000 $58,184
Fannie Mae, Floating Rate Note, 10/1/29 4,831,796 $106,420
Fannie Mae, Floating Rate Note, 10/1/29 10,892,567 $87,197
Fannie Mae, Floating Rate Note, 10/1/36 1,877,185 $319,463
Fannie Mae, Floating Rate Note, 11/1/24 7,000,000 $92,276
Fannie Mae, Floating Rate Note, 11/1/25 700,000 $3,624
Fannie Mae, Floating Rate Note, 11/1/40 9,368,434 $119,643
Fannie Mae, Floating Rate Note, 12/1/28 1,112,489 $53,431
Fannie Mae, Floating Rate Note, 12/1/36 6,500,000 $286,742
Fannie Mae, Floating Rate Note, 2/1/27 4,000,000 $17,124
Fannie Mae, Floating Rate Note, 2/1/33 380,000 $1,825
Fannie Mae, Floating Rate Note, 4/1/28 400,000 $3,378
Fannie Mae, Floating Rate Note, 4/1/29 400,000 $2,932
Fannie Mae, Floating Rate Note, 7/1/36 500,000 $61,056
Fannie Mae Connecticut Avenue Securities, Floating Rate Note, 10/25/23 544,000 $510,259
Fannie Mae Grantor Trust 2001-T1, Floating Rate Note, 10/25/40 51,205,518 $3,405,229
Fannie Mae Trust 2005-W4, Floating Rate Note, 6/25/35 1,600,000 $265,768
Fannie Mae Whole Loan, Floating Rate Note, 11/25/46 2,393,000 $467,818
FDIC 2010-R1 Trust, 2.184%, 5/25/50 (144A) 2,060,000 $851,822
Federal Home Loan Banks, 2.9%, 4/20/17 1,370,000 $290,902
Federal Home Loan Mortgage Corp., 0.5%, 10/24/16 1,000,000 $1,001,684
Federal Home Loan Mortgage Corp., 3.5%, 8/15/28 500,000 $194,265
Federal Home Loan Mortgage Corp., 4.0%, 1/15/34 5,000,000 $353,975
Federal Home Loan Mortgage Corp., 4.0%, 5/1/24 2,400,000 $281,134
Federal Home Loan Mortgage Corp., 4.0%, 5/15/37 1,753,000 $198,581
Federal Home Loan Mortgage Corp., 4.5%, 7/1/19 1,467,130 $191,798
Federal Home Loan Mortgage Corp., 4.5%, 7/1/19 1,381,464 $222,417
Federal Home Loan Mortgage Corp., 5.0%, 12/1/39 265,000 $131,232
Federal Home Loan Mortgage Corp., 5.0%, 2/1/21 1,000,000 $94,669
Federal Home Loan Mortgage Corp., 5.0%, 4/15/32 3,500,000 $264,412
Federal Home Loan Mortgage Corp., 5.5%, 8/1/23 1,563,938 $72,000
Federal Home Loan Mortgage Corp., 5.75%, 2/15/34 1,034,000 $109,304
Federal Home Loan Mortgage Corp., 6.5%, 7/1/16 2,000,000 $10,927
Federal Home Loan Mortgage Corp., Floating Rate Note, 1/1/28 500,000 $3,183
Federal Home Loan Mortgage Corp., Floating Rate Note, 1/15/33 40,000,000 $1,945,102
Federal Home Loan Mortgage Corp., Floating Rate Note, 1/15/35 1,635,000 $256,389
Federal Home Loan Mortgage Corp., Floating Rate Note, 10/1/31 19,044,336 $347,126
Federal Home Loan Mortgage Corp., Floating Rate Note, 11/1/31 1,399,950 $6,855
Federal Home Loan Mortgage Corp., Floating Rate Note, 11/15/36 2,046,908 $117,620
Federal Home Loan Mortgage Corp., Floating Rate Note, 12/1/31 49,986,196 $272,754
Federal Home Loan Mortgage Corp., Floating Rate Note, 3/15/32 26,000,000 $357,692
Federal Home Loan Mortgage Corp., Floating Rate Note, 3/15/41 2,498,000 $964,622
Federal Home Loan Mortgage Corp., Floating Rate Note, 4/1/25 13,000,000 $18,383
Federal Home Loan Mortgage Corp., Floating Rate Note, 4/1/29 160,000 $2,039
Federal Home Loan Mortgage Corp., Floating Rate Note, 4/15/33 22,025,143 $963,177
Federal Home Loan Mortgage Corp., Floating Rate Note, 4/15/36 4,003,000 $765,471
Federal Home Loan Mortgage Corp., Floating Rate Note, 5/1/25 588,110 $6,595
Federal Home Loan Mortgage Corp., Floating Rate Note, 7/1/18 2,100,000 $5,063
Federal Home Loan Mortgage Corp., Floating Rate Note, 8/1/31 12,000,000 $113,306
Federal Home Loan Mortgage Corp., Floating Rate Note, 8/1/31 500,000 $1,510
Federal Home Loan Mortgage Corp. REMICS, 3.5%, 10/15/18 500,000 $113,967
Federal Home Loan Mortgage Corp. REMICS, 3.5%, 6/15/28 1,119,000 $185,669
Federal Home Loan Mortgage Corp. REMICS, 4.0%, 12/15/22 890,000 $29,082
Federal Home Loan Mortgage Corp. REMICS, 4.0%, 6/15/22 2,000,000 $2,850
Federal Home Loan Mortgage Corp. REMICS, 5.0%, 6/15/34 401,000 $53,214
Federal Home Loan Mortgage Corp. REMICS, 5.5%, 10/15/35 1,625,000 $100,543
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 1/15/36 400,312 $93,920
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 1/15/37 16,831,292 $1,264,144
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 10/15/20 9,083,556 $202,116
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 10/15/37 3,873,000 $322,914
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 11/15/36 600,000 $120,115
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 11/15/36 994,698 $57,201
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 11/15/36 1,229,000 $256,932
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 11/15/37 3,358,000 $614,716
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/32 2,900,000 $276,575
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/32 1,931,288 $183,959
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/35 2,232,000 $410,850
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/36 6,932,100 $627,628
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/39 666,000 $295,211
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/30 586,107 $295,515
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/32 15,205,000 $279,746
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/33 20,000,000 $308,964
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/36 909,000 $181,313
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/37 2,840,000 $197,475
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/39 288,000 $167,880
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/41 1,878,046 $426,508
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/42 350,000 $221,259
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 3/15/32 15,667,000 $212,174
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 3/15/32 35,466,000 $361,802
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 3/15/38 2,600,000 $1,044,864
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 3/15/41 3,243,333 $875,663
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 4/15/27 22,817,000 $277,809
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 4/15/28 10,000,000 $168,857
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 4/15/36 728,000 $168,742
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 4/15/41 2,446,437 $560,722
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 5/15/36 4,000,000 $355,388
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 5/15/36 2,159,000 $177,087
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 5/15/41 638,000 $135,002
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 6/15/36 1,288,000 $152,839
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 6/15/41 1,220,000 $363,985
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 7/15/23 835,000 $211,630
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 7/15/36 3,107,000 $276,452
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 8/15/18 600,000 $133,973
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 8/15/25 970,000 $344,996
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 8/15/25 8,280,485 $758,083
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 8/15/26 370,000 $152,449
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 8/15/35 462,000 $102,800
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 8/15/36 5,044,000 $315,036
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 9/15/26 385,000 $246,075
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 9/15/33 2,647,000 $231,170
Federal National Mortgage Association, 2.5%, 4/25/36 635,000 $258,313
Federal National Mortgage Association, 2.5%, 9/1/22 2,000,000 $1,471,832
Federal National Mortgage Association, 2.674%, 4/25/45 1,250,000 $246,657
Federal National Mortgage Association, 2.815%, 7/25/42 11,000,000 $966,514
Federal National Mortgage Association, 3.0%, 12/1/21 2,000,000 $1,061,199
Federal National Mortgage Association, 3.0%, 6/25/39 2,000,000 $318,144
Federal National Mortgage Association, 3.5%, 1/25/24 7,225,000 $617,514
Federal National Mortgage Association, 3.5%, 3/25/28 2,344,102 $347,813
Federal National Mortgage Association, 3.5%, 7/25/24 1,250,000 $337,694
Federal National Mortgage Association, 4.0%, 1/1/20 7,280,000 $1,471,827
Federal National Mortgage Association, 4.0%, 10/1/20 4,317,004 $1,479,659
Federal National Mortgage Association, 4.0%, 3/1/21 4,071,760 $1,503,017
Federal National Mortgage Association, 4.5%, 3/25/37 6,000,000 $232,959
Federal National Mortgage Association, 4.5%, 6/25/40 4,200,000 $1,249,024
Federal National Mortgage Association, 4.5%, 8/25/27 4,509,000 $378,762
Federal National Mortgage Association, 5.0%, 6/25/32 18,817,000 $403,871
Federal National Mortgage Association, 5.0%, 7/25/32 7,363,000 $373,409
Federal National Mortgage Association, 5.0%, 8/25/22 9,200,000 $285,633
Federal National Mortgage Association, Floating Rate Note, 2/25/23 77,000,000 $424,121
Federal National Mortgage Association, Floating Rate Note, 3/25/36 2,108,510 $521,484
Federal National Mortgage Association, Floating Rate Note, 4/25/33 36,000,000 $1,110,667
Federal National Mortgage Association, Floating Rate Note, 6/25/32 20,421,000 $608,574
Federal National Mortgage Association, Floating Rate Note, 6/25/36 6,118,000 $1,145,966
Federal National Mortgage Association, Floating Rate Note, 6/25/36 7,000,000 $890,775
Federal National Mortgage Association, Floating Rate Note, 8/25/35 2,868,000 $391,111
Federal National Mortgage Association 2004-T2, 3.342%, 7/25/43 6,750,000 $1,006,257
Federal National Mortgage Association 2006-48-T, 5.5%, 12/25/34 1,716,418 $692,187
Federal National Mortgage Association REMICS, 1.5%, 11/25/20 745,000 $202,075
Federal National Mortgage Association REMICS, 1.75%, 12/25/22 1,000,000 $345,289
Federal National Mortgage Association REMICS, 3.0%, 1/25/21 2,950,000 $671,698
Federal National Mortgage Association REMICS, 3.0%, 4/25/40 1,110,000 $213,254
Federal National Mortgage Association REMICS, 3.5%, 10/25/39 490,000 $326,500
Federal National Mortgage Association REMICS, 4.0%, 5/25/29 2,000,000 $2,131,933
Federal National Mortgage Association REMICS, 4.0%, 6/25/37 900,000 $66,046
Federal National Mortgage Association REMICS, 5.0%, 9/25/39 110,000 $24,606
Federal National Mortgage Association REMICS, 6.0%, 3/25/35 1,000,000 $59,525
Federal National Mortgage Association REMICS, 6.0%, 6/25/29 685,000 $138,950
Federal National Mortgage Association REMICS, Floating Rate Note, 1/18/32 4,920,043 $82,400
Federal National Mortgage Association REMICS, Floating Rate Note, 1/25/24 51,985,111 $367,773
Federal National Mortgage Association REMICS, Floating Rate Note, 1/25/33 2,782,000 $111,079
Federal National Mortgage Association REMICS, Floating Rate Note, 1/25/34 10,970,000 $1,871,446
Federal National Mortgage Association REMICS, Floating Rate Note, 10/25/35 1,878,000 $211,242
Federal National Mortgage Association REMICS, Floating Rate Note, 10/25/36 11,844,000 $502,606
Federal National Mortgage Association REMICS, Floating Rate Note, 10/25/38 1,808,000 $226,971
Federal National Mortgage Association REMICS, Floating Rate Note, 10/27/37 1,375,920 $1,373,187
Federal National Mortgage Association REMICS, Floating Rate Note, 11/18/32 24,329,000 $518,036
Federal National Mortgage Association REMICS, Floating Rate Note, 11/25/36 2,248,000 $346,372
Federal National Mortgage Association REMICS, Floating Rate Note, 11/25/39 2,750,000 $563,179
Federal National Mortgage Association REMICS, Floating Rate Note, 12/18/32 6,330,000 $109,177
Federal National Mortgage Association REMICS, Floating Rate Note, 12/25/31 4,375,000 $190,417
Federal National Mortgage Association REMICS, Floating Rate Note, 12/25/32 34,313,143 $820,333
Federal National Mortgage Association REMICS, Floating Rate Note, 12/25/37 5,672,000 $220,010
Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/33 4,696,499 $265,670
Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/35 603,000 $208,910
Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/37 4,308,000 $229,424
Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/37 1,940,000 $228,496
Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/38 624,000 $198,733
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/24 4,129,409 $177,804
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/34 763,500 $243,084
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/34 4,612,000 $304,345
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/35 1,278,000 $302,985
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/36 11,585,646 $1,586,024
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/37 8,873,506 $269,989
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/37 9,250,000 $352,618
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/37 4,100,000 $319,317
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/37 960,000 $156,830
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/45 4,100,000 $696,934
Federal National Mortgage Association REMICS, Floating Rate Note, 4/25/32 50,000,000 $707,947
Federal National Mortgage Association REMICS, Floating Rate Note, 4/25/32 10,133,000 $645,302
Federal National Mortgage Association REMICS, Floating Rate Note, 4/25/34 644,866 $87,640
Federal National Mortgage Association REMICS, Floating Rate Note, 4/25/36 1,737,000 $373,649
Federal National Mortgage Association REMICS, Floating Rate Note, 4/25/37 944,568 $201,983
Federal National Mortgage Association REMICS, Floating Rate Note, 5/18/32 31,809,000 $767,604
Federal National Mortgage Association REMICS, Floating Rate Note, 5/25/17 20,000,000 $191,668
Federal National Mortgage Association REMICS, Floating Rate Note, 5/25/33 4,068,000 $114,623
Federal National Mortgage Association REMICS, Floating Rate Note, 5/25/36 6,641,000 $261,689
Federal National Mortgage Association REMICS, Floating Rate Note, 5/25/37 6,826,000 $288,649
Federal National Mortgage Association REMICS, Floating Rate Note, 5/25/40 761,373 $382,459
Federal National Mortgage Association REMICS, Floating Rate Note, 6/25/35 7,977,000 $721,798
Federal National Mortgage Association REMICS, Floating Rate Note, 6/25/36 2,317,493 $270,641
Federal National Mortgage Association REMICS, Floating Rate Note, 6/25/37 4,600,000 $386,914
Federal National Mortgage Association REMICS, Floating Rate Note, 6/25/37 2,134,162 $308,250
Federal National Mortgage Association REMICS, Floating Rate Note, 6/25/37 1,010,000 $112,344
Federal National Mortgage Association REMICS, Floating Rate Note, 6/25/38 2,355,000 $205,158
Federal National Mortgage Association REMICS, Floating Rate Note, 7/25/34 1,642,000 $121,443
Federal National Mortgage Association REMICS, Floating Rate Note, 7/25/35 3,227,000 $433,367
Federal National Mortgage Association REMICS, Floating Rate Note, 7/25/35 750,000 $177,212
Federal National Mortgage Association REMICS, Floating Rate Note, 7/25/38 6,812,000 $410,529
Federal National Mortgage Association REMICS, Floating Rate Note, 8/25/36 4,040,000 $516,125
Federal National Mortgage Association REMICS, Floating Rate Note, 8/25/40 692,000 $363,206
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/33 4,915,594 $615,159
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/36 3,447,000 $269,552
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/36 1,275,000 $200,250
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/37 679,000 $99,714
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/37 2,706,000 $371,751
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/37 2,524,000 $117,146
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/37 3,700,000 $399,903
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/39 683,053 $124,951
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/41 750,000 $496,787
Fhlmc Flt% 15aug19 2838-Fb 6,831,666 $269,669
Fhlmc Flt% 15jul19 3335-Bf 1,500,000 $128,616
Fhlmc Flt% 15jul28 2071-F 52,559,000 $414,217
Fhlmc Flt% 15mar30 3919a-Af 1,147,667 $535,800
Fhlmc Flt% 17feb32 2416-Fg 12,638,000 $371,875
FHLMC Structured Pass Through Securities, Floating Rate Note, 12/25/29 12,000,000 $199,326
Fiaot 1.81% 15oct18 13-1a-B 55,000 $55,426
Fiaot 2.32% 15oct19 13-3a-B 300,000 $303,635
Fieldstone Mortgage Investment Trust Series 2005-1, Floating Rate Note, 3/25/35 311,000 $139,500
Fieldwood Energy LLC, Closing Date Loan, 9/25/18 993,747 $998,172
Fifth Third Bancorp, Floating Rate Note, 12/20/16 730,000 $724,987
Fifth Third Bank Cincinnati Ohio, 1.15%, 11/18/16 750,000 $753,456
Fifth Third Bank Cincinnati Ohio, 4.75%, 2/1/15 1,250,000 $1,305,047
Fifth Third Bank Cincinnati Ohio, Floating Rate Note, 2/26/16 500,000 $501,393
First Franklin Mortgage Loan Trust 2002-FFA, Floating Rate Note, 9/25/32 5,500,000 $317,211
First Franklin Mortgage Loan Trust 2003-FFC, Floating Rate Note, 11/25/32 8,000,000 $445,628
First Franklin Mortgage Loan Trust 2005-FFH3, Floating Rate Note, 9/25/35 850,000 $472,986
First Horizon Mortgage Pass-Through Trust 2004-AR1, Floating Rate Note, 2/25/34 1,500,000 $60,855
First Horizon Mortgage Pass-Through Trust 2004-AR5, Floating Rate Note, 10/25/34 940,000 $65,312
First Investors Auto Owner Trust 2012-2, 1.47%, 5/15/18 (144A) 200,000 $74,748
First Investors Auto Owner Trust 2013-1, 2.02%, 1/15/19 (144A) 200,000 $200,609
First Investors Auto Owner Trust 2013-2, 1.23%, 3/15/19 (144A) 1,048,000 $757,749
First NLC Trust 2005-2, Floating Rate Note, 9/25/35 3,362,996 $1,477,320
Flagstar Home Equity Loan Trust 2005-1, Floating Rate Note, 6/25/18 (144A) 4,800,000 $419,198
Fly Funding II Sarl, Loan, 8/8/18 390,000 $394,550
Fmcf Flt% 26jun15 14-1a-A2a 750,000 $750,072
FMG Resources August 2006 Pty, Ltd., Loan, 6/30/19 98,258 $98,462
Fnma 2.75% 25jun20 11-23-Ab 1,750,000 $562,524
Fnma 4.5% 25oct38 10-48-Pa 5,000,000 $376,189
Fnma Flt% 16aug17 410,000 $411,476
Fnma Flt% 18oct32 02-64-Fe 11,398,000 $401,193
Fnma Flt% 25jul27 09-100f-Fb 1,402,000 $99,932
Fnma Flt% 25nov27 03-63-F1 15,797,000 $552,295
Fnma Flt% 25sep22 92-162-Fb 3,000,000 $141,784
Foothill CLO, Ltd., Floating Rate Note, 2/22/21 (144A) 500,000 $377,776
Ford Credit Auto Owner Trust 2013-C, 0.55%, 4/15/16 385,000 $197,813
Ford Credit Floorplan Master Owner Trust A, Floating Rate Note, 9/15/16 500,000 $500,314
Ford Motor Credit Co LLC, 2.375%, 1/16/18 250,000 $258,099
Ford Motor Credit Co LLC, 2.75%, 5/15/15 950,000 $971,577
Ford Motor Credit Co LLC, 2.875%, 10/1/18 500,000 $521,115
Ford Motor Credit Co LLC, 3.875%, 1/15/15 200,000 $207,157
Fordo 1.54% 15mar19 13-D-B 100,000 $100,589
Fore CLO, Ltd., Floating Rate Note, 7/20/19 (144A) 250,000 $89,054
Foresight Energy LLC, Term Loan, 8/21/20 132,083 $132,929
Fosse Master Issuer Plc, Floating Rate Note, 10/18/54 (144A) 100,000 $101,899
Foundation Re III, Ltd., Floating Rate Note, 2/25/15 (Cat Bond) (144A) 750,000 $757,796
Four Corners CLO II, Ltd., Floating Rate Note, 1/26/20 (144A) 553,000 $525,828
Franklin Resources, Inc., 3.125%, 5/20/15 300,000 $308,204
Freddie Mac REMICS, Floating Rate Note, 2/15/32 14,441,000 $1,050,757
Freddie Mac Strips, Floating Rate Note, 12/15/36 2,327,000 $173,928
Freddie Mac Strips, Floating Rate Note, 8/15/36 6,894,664 $419,399
Freddie Mac Structured Agency Credit Risk Debt Notes, Floating Rate Note, 11/25/23 750,000 $682,486
Freddie Mac Structured Agency Credit Risk Debt Notes, Floating Rate Note, 2/25/24 485,000 $473,131
FREMF Mortgage Trust 2012-K501, 3.486%, 11/25/46 (144A) 409,000 $424,972
Fremont Home Loan Trust 2005-2, Floating Rate Note, 6/25/35 1,700,000 $6,725
Fresenius US Finance I, Inc., Tranche B Term Loan, 8/7/19 496,250 $497,594
Gale Force 3 Clo, Ltd., Floating Rate Note, 4/19/21 (144A) 500,000 $351,000
Galileo Re, Ltd., Floating Rate Note, 1/9/19 (Cat Bond) (144A) 750,000 $777,322
Garda World Security Corp., Term B Delayed Draw Loan, 11/8/20 123,487 $123,448
Garda World Security Corp., Term B Loan, 11/1/20 482,721 $482,570
Gator Re, Ltd., Floating Rate Note, 1/9/17 (Cat Bond) (144A) 600,000 $593,640
GATX Corp., 1.25%, 3/4/17 750,000 $750,466
GE Business Loan Trust 2003-1, Floating Rate Note, 4/15/31 (144A) 4,997,000 $264,827
GE Business Loan Trust 2003-2, Floating Rate Note, 11/15/31 (144A) 1,409,576 $157,331
GE Business Loan Trust 2004-1, Floating Rate Note, 5/15/32 (144A) 4,436,203 $487,129
GE Business Loan Trust 2004-2, Floating Rate Note, 12/15/32 (144A) 2,533,274 $589,793
GE Business Loan Trust 2005-1, Floating Rate Note, 6/15/33 (144A) 1,192,482 $701,788
GE Business Loan Trust 2006-2, Floating Rate Note, 11/15/34 (144A) 1,920,423 $810,275
GE Business Loan Trust 2007-1, Floating Rate Note, 4/16/35 (144A) 1,150,000 $524,521
GE Capital Commercial Mortgage Corp., Floating Rate Note, 6/10/48 1,340,000 $1,366,451
GE Capital Commercial Mortgage Corp., Floating Rate Note, 7/10/45 (144A) 500,000 $510,339
GE Capital Credit Card Master Note Trust, 1.03%, 1/15/18 300,000 $301,031
GE Dealer Floorplan Master Note Trust, Floating Rate Note, 10/20/17 256,000 $256,617
GE Dealer Floorplan Master Note Trust, Floating Rate Note, 4/20/18 694,000 $696,110
GE Equipment Small Ticket LLC Series 2013-1, 0.73%, 1/25/16 (144A) 200,000 $179,507
GE Equipment Transportation LLC Series 2013-2, 0.61%, 6/24/16 480,000 $480,561
Geet 0.5% 24nov15 13-1-A2 165,000 $76,693
General Electric Capital Corp., 1.625%, 7/2/15 485,000 $495,087
General Electric Capital Corp., Floating Rate Note, 1/14/16 925,000 $926,905
General Electric Capital Corp., Floating Rate Note, 1/8/16 915,000 $922,855
General Electric Capital Corp., Floating Rate Note, 5/11/16 350,000 $350,183
General Electric Capital Corp., Floating Rate Note, 5/15/17 750,000 $751,121
General Electric Capital Corp., Floating Rate Note, 7/2/15 665,000 $673,583
General Electric Capital Corp., Floating Rate Note, 8/1/17 500,000 $503,913
General Mills, Inc., 0.875%, 1/29/16 250,000 $252,021
General Mills, Inc., Floating Rate Note, 1/28/16 565,000 $565,786
Gentiva Health Services, Inc., Initial Term B Loan, 10/10/19 223,813 $224,232
Georgia Power Co., Floating Rate Note, 3/15/16 827,000 $826,554
Georgia Power Co., Floating Rate Note, 8/15/16 500,000 $500,539
Glencore Funding LLC, Floating Rate Note, 5/27/16 (144A) 1,000,000 $1,007,399
Global Container Assets 2013-1, Ltd., 2.2%, 11/5/28 (144A) 750,000 $595,378
Global Mortgage Securitization, Ltd., 5.25%, 4/25/32 (144A) 795,156 $258,455
Global Mortgage Securitization, Ltd., Floating Rate Note, 4/25/32 8,278,000 $867,054
Global SC Finance II SRL, 4.11%, 7/19/27 (144A) 250,000 $203,164
Gmacc Flt% 10nov45 06-C1-A1a 2,370,000 $1,542,998
GMAC Commercial Mortgage Securities Inc Series 2004-C2 Trust, Floating Rate Note, 8/10/38 1,465,000 $366,904
GMAC Commercial Mortgage Securities Inc Series 2005-C1 Trust, 4.697%, 5/10/43 1,019,000 $1,044,846
GMACM Mortgage Loan Trust 2003-AR1, Floating Rate Note, 10/19/33 1,226,000 $181,813
GMACM Mortgage Loan Trust 2004-AR1, Floating Rate Note, 6/25/34 2,100,000 $204,544
GMAT 2013-1 Trust, 3.9669%, 8/25/53 (Step) 630,000 $624,983
Government National Mortgage Association, 1.026%, 2/16/53 2,000,000 $150,503
Government National Mortgage Association, 1.049%, 3/16/53 1,200,000 $86,273
Government National Mortgage Association, 1.067%, 9/16/52 1,800,000 $140,539
Government National Mortgage Association, 1.071%, 8/16/52 2,000,000 $129,119
Government National Mortgage Association, 3.0%, 12/20/38 1,000,000 $174,944
Government National Mortgage Association, 3.0%, 12/20/38 5,000,000 $1,641,067
Government National Mortgage Association, 3.0%, 4/20/41 300,000 $279,835
Government National Mortgage Association, 3.5%, 2/20/33 1,500,000 $124,759
Government National Mortgage Association, 3.5%, 5/20/39 1,025,000 $644,076
Government National Mortgage Association, 3.5%, 8/20/38 1,115,000 $532,819
Government National Mortgage Association, 4.5%, 6/16/34 1,387,000 $93,901
Government National Mortgage Association, 5.0%, 1/20/16 3,500,000 $618,569
Government National Mortgage Association, 5.0%, 4/20/36 850,000 $133,511
Government National Mortgage Association, 5.0%, 5/20/35 2,100,000 $265,795
Government National Mortgage Association, 5.0%, 7/20/31 3,300,000 $126,047
Government National Mortgage Association, Floating Rate Note, 1/16/35 2,563,000 $298,133
Government National Mortgage Association, Floating Rate Note, 1/16/40 2,000,000 $772,287
Government National Mortgage Association, Floating Rate Note, 1/20/34 1,775,000 $165,516
Government National Mortgage Association, Floating Rate Note, 2/16/30 14,415,492 $233,767
Government National Mortgage Association, Floating Rate Note, 2/20/35 2,059,000 $300,055
Government National Mortgage Association, Floating Rate Note, 2/20/38 2,477,000 $248,427
Government National Mortgage Association, Floating Rate Note, 4/16/31 12,627,242 $272,478
Government National Mortgage Association, Floating Rate Note, 4/16/32 10,000,000 $155,205
Government National Mortgage Association, Floating Rate Note, 4/16/32 33,333,000 $655,612
Government National Mortgage Association, Floating Rate Note, 8/20/35 1,177,000 $188,304
Government National Mortgage Association, Floating Rate Note, 8/20/40 1,000,000 $681,728
Government National Mortgage Association, Floating Rate Note, 9/20/33 704,000 $115,644
Government National Mortgage Association I, 5.0%, 8/15/19 1,347,915 $372,160
Government National Mortgage Association I, 6.0%, 11/15/36 2,000,000 $208,597
Government National Mortgage Association I, 6.0%, 12/15/31 1,500,000 $70,254
Government National Mortgage Association I, 6.0%, 3/15/17 10,311,138 $250,394
Government National Mortgage Association I, 6.5%, 10/15/37 400,000 $57,810
Government National Mortgage Association I, 6.5%, 5/15/31 3,183,996 $44,532
Government National Mortgage Association I, 6.5%, 7/15/35 328,670 $21,819
Government National Mortgage Association I, 7.5%, 10/15/36 1,000,000 $60,708
Government National Mortgage Association II, 6.0%, 10/20/21 3,113,223 $611,189
Government National Mortgage Association II, 6.0%, 11/20/22 1,986,670 $290,342
Government National Mortgage Association II, 6.0%, 4/20/22 1,262,566 $236,854
Government National Mortgage Association II, 6.0%, 8/20/19 2,911,151 $191,788
Government National Mortgage Association REMICS, 2.0%, 1/16/46 3,000,000 $3,001,068
Government National Mortgage Association REMICS, 4.0%, 9/20/37 4,000,000 $3,203,915
GP Portfolio Trust 2014-GGP, Floating Rate Note, 2/15/27 1,000,000 $1,001,722
Gracechurch Card Funding Plc, Floating Rate Note, 5/15/19 (144A) 500,000 $507,334
Gracechurch Card Funding Plc, Floating Rate Note, 6/15/17 (144A) 300,000 $301,546
Gray Television Inc. 1st Lien Tl L + 3% 10jun21 99,733 $100,377
GreenPoint Mortgage Funding Trust 2005-HE1, Floating Rate Note, 9/25/34 297,570 $206,784
GreenPoint Mortgage Funding Trust 2005-HE4, Floating Rate Note, 7/25/30 7,877,220 $34,535
GSAA Home Equity Trust 2004-6, Floating Rate Note, 6/25/34 15,032,940 $431,757
GSAA Home Equity Trust 2005-11, Floating Rate Note, 10/25/35 1,022,000 $198,792
GSAA Trust, Floating Rate Note, 6/25/35 440,000 $347,725
GSAMP Trust 2004-HE2, Floating Rate Note, 9/25/34 36,804,858 $325,786
GSAMP Trust 2005-HE1, Floating Rate Note, 12/25/34 1,210,753 $124,991
GSAMP Trust 2006-SEA1, Floating Rate Note, 5/25/36 (144A) 5,518,315 $543,369
GS Caltex Corp., 3.25%, 10/1/18 (144A) 500,000 $517,371
GS Mortgage Securities Corp II, Floating Rate Note, 11/8/29 (144A) 400,000 $403,416
GS Mortgage Securities Corp II Series 2005-GG4, 4.782%, 7/10/39 545,000 $561,226
GSR Mortgage Loan Trust 2003-9, Floating Rate Note, 8/25/33 4,000,000 $269,625
GSR Mortgage Loan Trust 2004-7, Floating Rate Note, 6/25/34 4,189,737 $536,350
GSRPM Mortgage Loan Trust 2003-2, Floating Rate Note, 6/25/33 393,823 $252,541
GSRPM Mortgage Loan Trust 2006-1, Floating Rate Note, 3/25/35 (144A) 1,201,850 $188,168
GSRPM Mortgage Loan Trust 2006-2, Floating Rate Note, 9/25/36 (144A) 1,226,000 $195,941
GTP Acquisition Partners I LLC, 4.347%, 6/15/16 (144A) 614,000 $636,210
GTP Towers Issuer LLC, 4.436%, 2/15/15 (144A) 550,000 $560,020
GTP Towers Issuer LLC, 8.112%, 2/15/15 (144A) 1,070,000 $1,095,906
HarborView Mortgage Loan Trust 2004-1, Floating Rate Note, 4/19/34 3,987,000 $179,522
Harley-Davidson Financial Services, Inc., 3.875%, 3/15/16 (144A) 175,000 $185,607
Hart 2.1% 15nov19 14-B-C 500,000 $501,636
Health Care Real Estate Investment Trust, Inc., 2.25%, 3/15/18 500,000 $510,978
Hercules Capital Funding Trust 2012-1, 3.32%, 12/16/17 (144A) 250,000 $90,461
Hertz Fleet Lease Funding LP, Floating Rate Note, 4/10/28 (144A) 300,000 $300,235
Hes 1.3% 15jun17 750,000 $751,456
Hgvt 2.07% 25nov26 B 750,000 $750,818
Hilton USA Trust 2013-HLF, Floating Rate Note, 11/5/30 (144A) 500,000 $503,248
Hilton USA Trust 2013-HLF, Floating Rate Note, 11/5/30 (144A) 175,000 $175,649
Hilton Worldwide Finance LLC, Initial Term Loan, 9/23/20 423,553 $423,299
HLSS Servicer Advance Receivables Trust, 1.2437%, 1/17/45 1,250,000 $1,251,691
HLSS Servicer Advance Receivables Trust, 1.4953%, 1/16/46 (144A) 1,045,000 $1,046,217
HLSS Servicer Advance Receivables Trust, 1.7436%, 1/16/46 (144A) 250,000 $249,619
HLSS Servicer Advance Receivables Trust, 4.94%, 10/15/45 (144A) 350,000 $359,203
Holmes Master Issuer Plc, Floating Rate Note, 10/15/54 (144A) 250,000 $265,575
Hologic, Inc., Refinancing Tranche B Term Loan, 8/1/19 496,791 $497,101
HomeBanc Mortgage Trust 2005-2, Floating Rate Note, 5/25/25 6,015,011 $261,813
Home Equity Asset Trust 2005-3, Floating Rate Note, 8/25/35 250,000 $31,714
Home Equity Asset Trust 2006-4, Floating Rate Note, 8/25/36 253,896 $80,331
Home Equity Asset Trust 2006-8, Floating Rate Note, 3/25/37 1,394,318 $539,756
Home Equity Mortgage Trust, 5.821%, 4/25/35 (Step) 1,000,000 $310,184
Home Equity Mortgage Trust, Floating Rate Note, 7/25/35 1,113,955 $533,958
Home Loan Trust 2003-HI1, 5.77%, 4/25/28 (Step) 1,500,000 $109,093
Homestar Mortgage Acceptance Corp., Floating Rate Note, 1/25/35 3,700,000 $568,435
Homestar Mortgage Acceptance Corp., Floating Rate Note, 3/25/34 17,398,000 $1,112,272
Homestar Mortgage Acceptance Corp., Floating Rate Note, 6/25/34 3,670,962 $354,742
Homestar Mortgage Acceptance Corp., Floating Rate Note, 7/25/34 2,600,000 $270,412
Honda Auto Receivables 2011-2 Owner Trust, 1.55%, 8/18/17 350,000 $315,000
Honda Auto Receivables 2012-2 Owner Trust, 0.7%, 2/16/16 350,000 $205,869
Honda Auto Receivables 2013-1 Owner Trust, 0.35%, 6/22/15 500,000 $83,950
Horizon Funding Trust 2013-1, 3.0%, 5/15/18 (144A) 585,000 $420,828
HSBC Bank Middle East, Ltd., 3.0%, 10/21/15 750,000 $771,250
Hsbc Flt% 23jun17 750,000 $748,758
HSBC Home Equity Loan Trust USA 2006-3, Floating Rate Note, 3/20/36 1,005,000 $995,084
HSBC USA, Inc., 2.375%, 2/13/15 780,000 $796,807
HSI Asset Securitization Corp Trust 2006-OPT1, Floating Rate Note, 12/25/35 350,623 $123,968
Hyperion Insurance Group, Ltd., Term Loan, 10/4/19 399,000 $397,504
Hyundai Capital America, 1.875%, 8/9/16 (144A) 500,000 $511,055
Hyundai Capital Auto Funding VIII, Ltd., Floating Rate Note, 9/20/16 (144A) 800,000 $144,308
Hyundai Motor Manufacturing Czech sro, 4.5%, 4/15/15 (144A) 1,000,000 $1,037,501
Iberdrola Finance Ireland, Ltd., 3.8%, 9/11/14 (144A) 1,000,000 $1,017,673
Ibis Re II, Ltd., Floating Rate Note, 6/28/16 (Cat Bond) (144A) 500,000 $503,944
Impac CMB Trust Series 2004-4, Floating Rate Note, 9/25/34 14,479,489 $635,232
Impac CMB Trust Series 2004-4, Floating Rate Note, 9/25/34 32,445,000 $1,412,038
Impac CMB Trust Series 2004-5, Floating Rate Note, 10/25/34 5,941,000 $360,070
Impac CMB Trust Series 2004-6, Floating Rate Note, 10/25/34 2,125,000 $122,359
Impac CMB Trust Series 2004-7, Floating Rate Note, 11/25/34 1,233,000 $86,049
Impac CMB Trust Series 2004-8, Floating Rate Note, 8/25/34 590,000 $78,579
Impac Secured Assets Trust 2006-1, Floating Rate Note, 5/25/36 1,300,000 $441,054
Impac Secured Assets Trust 2006-2, Floating Rate Note, 8/25/36 1,173,000 $347,665
Impac Secured Assets Trust 2006-5, Floating Rate Note, 12/25/36 2,600,000 $643,200
IndyMac INDX Mortgage Loan Trust 2004-AR6, Floating Rate Note, 10/25/34 675,000 $82,258
Intel Corp., 1.35%, 12/15/17 700,000 $700,617
International Equipment Solutions LLC, Initial Loan, 8/16/19 144,521 $146,508
Intesa Sanpaolo S.p.A., 3.125%, 1/15/16 500,000 $521,157
Invitation Homes 2013-SFR1 Trust, Floating Rate Note, 12/17/30 750,000 $750,691
Inwood Park CDO, Ltd., Floating Rate Note, 1/20/21 (144A) 1,000,000 $391,350
Irwin Home Equity Loan Trust 2005-1, 5.32%, 6/25/35 (Step) 900,000 $148,841
Irwin Whole Loan Home Equity Trust 2003-C, Floating Rate Note, 6/25/28 1,923,500 $155,568
Irwin Whole Loan Home Equity Trust 2003-C, Floating Rate Note, 6/25/28 1,050,000 $312,930
Irwin Whole Loan Home Equity Trust 2003-D, Floating Rate Note, 11/25/28 2,250,000 $226,488
IXIS Real Estate Capital Trust 2005-HE4, Floating Rate Note, 2/25/36 250,000 $52,868
Jarden Corp., Tranche B1 Term Loan, 9/30/20 248,125 $249,571
JBS USA LLC, Incremental Term Loan, 9/18/20 199,000 $198,586
Jefferies Resecuritization Trust 2009-R2, Floating Rate Note, 5/26/37 (144A) 300,000 $73,940
JobsOhio Beverage System, 0.872%, 1/1/15 500,000 $503,690
John Deere Capital Corp., 1.05%, 10/11/16 1,098,000 $1,105,883
John Deere Capital Corp., 1.05%, 12/15/16 750,000 $753,083
John Deere Capital Corp., 2.95%, 3/9/15 950,000 $976,150
John Deere Capital Corp., Floating Rate Note, 10/11/16 1,090,000 $1,094,940
JOHN DEERE CAPITAL Corp., Floating Rate Note, 2/25/16 500,000 $499,992
Jpmcc Flt% 15jun29 14-Inn-C 650,000 $650,133
JPMorgan Chase & Co., 1.1%, 10/15/15 492,000 $495,187
JPMorgan Chase & Co., 1.875%, 3/20/15 823,000 $835,757
JPMorgan Chase & Co., 3.4%, 6/24/15 265,000 $272,831
JPMorgan Chase & Co., Floating Rate Note, 2/15/17 500,000 $502,305
JPMorgan Chase & Co., Floating Rate Note, 2/25/21 500,000 $527,029
JPMorgan Chase & Co., Floating Rate Note, 2/26/16 320,000 $322,081
JPMorgan Chase & Co., Floating Rate Note, 3/31/16 500,000 $499,540
JP Morgan Chase Commercial Mortgage Securities Corp., 4.878%, 1/15/42 1,100,000 $1,117,219
JP Morgan Chase Commercial Mortgage Securities Corp., Floating Rate Note, 10/15/25 (144A) 650,000 $651,395
JP Morgan Chase Commercial Mortgage Securities Trust 2004-LN2, Floating Rate Note, 7/15/41 (144A) 637,677 $172,520
JP Morgan Chase Commercial Mortgage Securities Trust 2005-CIBC11, Floating Rate Note, 8/12/37 1,610,000 $1,629,250
JP Morgan Chase Commercial Mortgage Securities Trust 2005-LDP1, Floating Rate Note, 3/15/46 985,000 $814,927
JP Morgan Chase Commercial Mortgage Securities Trust 2005-LDP3, Floating Rate Note, 8/15/42 440,000 $442,662
JP Morgan Chase Commercial Mortgage Securities Trust 2006-CIBC17, 5.45%, 12/12/43 435,000 $73,472
JP Morgan Chase Commercial Mortgage Securities Trust 2006-FL2, Floating Rate Note, 11/15/18 (144A) 550,000 $173,617
JP Morgan Chase Commercial Mortgage Securities Trust 2006-FL2, Floating Rate Note, 11/15/18 (144A) 2,550,000 $559,611
JP Morgan Chase Commercial Mortgage Securities Trust 2006-LDP9, Floating Rate Note, 5/15/47 250,000 $105,322
JP Morgan Chase Commercial Mortgage Securities Trust 2007-CIBC19, Floating Rate Note, 2/12/49 475,000 $127,551
JP Morgan Chase Commercial Mortgage Securities Trust 2013-ALC, Floating Rate Note, 7/17/26 (144A) 412,000 $418,562
JP Morgan Chase Commercial Mortgage Securities Trust 2013-FL3, Floating Rate Note, 4/15/28 (144A) 300,000 $301,564
JP Morgan Chase Commercial Mortgage Securities Trust 2013-JWRZ, Floating Rate Note, 4/15/30 (144A) 1,550,000 $1,551,346
JP Morgan Chase Commercial Mortgage Securities Trust 2014-FBLU, Floating Rate Note, 12/15/28 945,000 $951,449
JP Morgan Chase Commercial Mortgage Securities Trust 2014-FBLU, Floating Rate Note, 12/15/28 (144A) 1,030,000 $1,035,249
JP Morgan Chase Commercial Mortgage Securities Trust 2014-FL4, Floating Rate Note, 12/15/30 (144A) 410,000 $411,259
JP Morgan Mortgage Acquisition Trust 2006-ACC1, Floating Rate Note, 5/25/36 704,088 $233,206
JP Morgan Mortgage Trust 2003-A1, Floating Rate Note, 10/25/33 4,845,389 $608,192
JP Morgan Mortgage Trust 2004-A1, Floating Rate Note, 2/25/34 3,584,000 $377,395
JP Morgan Mortgage Trust 2004-A5, Floating Rate Note, 12/25/34 245,000 $199,514
JP Morgan Mortgage Trust 2004-S1, 5.0%, 9/25/34 2,489,124 $167,274
JP Morgan Mortgage Trust 2005-A3, Floating Rate Note, 6/25/35 6,041,179 $656,162
JP Morgan Mortgage Trust 2005-A4, Floating Rate Note, 7/25/35 1,935,000 $315,271
JP Morgan Mortgage Trust 2006-S3, 6.0%, 8/25/36 1,036,158 $1,469
Kane Flt% 12jun15 600,000 $530,940
KeyBank NA Cleveland Ohio, 1.1%, 11/25/16 500,000 $502,441
KeyBank NA Cleveland Ohio, 1.65%, 2/1/18 1,000,000 $1,007,736
KeyCorp, 3.75%, 8/13/15 931,000 $976,470
Kilimanjaro Re, Ltd., Floating Rate Note, 4/30/18 (Cat Bond) (144A) 650,000 $647,029
Kilimanjaro Re, Ltd., Floating Rate Note, 4/30/18 (Cat Bond) (144A) 350,000 $343,770
Kizuna II Re, Ltd., Floating Rate Note, 4/6/18 (Cat Bond) (144A) 450,000 $451,125
KKR Financial CLO 2007-1, Ltd., Floating Rate Note, 5/15/21 (144A) 375,000 $368,480
L-3 Communications Corp., 1.5%, 5/28/17 586,000 $587,607
Lanark Master Issuer Plc, Floating Rate Note, 12/22/54 (144A) 250,000 $249,030
Las Vegas Sands LLC, Term B Loan, 12/19/20 248,750 $248,894
LB-UBS Commercial Mortgage Trust 2004-C1, 4.568%, 1/15/31 275,000 $34,728
LB-UBS Commercial Mortgage Trust 2004-C6, Floating Rate Note, 8/15/29 1,910,977 $231,190
LB-UBS Commercial Mortgage Trust 2005-C2, Floating Rate Note, 4/15/30 1,455,000 $1,501,190
LB-UBS Commercial Mortgage Trust 2005-C3, 4.739%, 7/15/30 825,000 $730,616
LB-UBS Commercial Mortgage Trust 2005-C7, Floating Rate Note, 11/15/30 (144A) 1,135,809 $1,172,423
LB-UBS Commercial Mortgage Trust 2008-C1, Floating Rate Note, 4/15/41 210,000 $109,945
Leaf Receivables Funding 8 LLC, 1.55%, 11/15/17 (144A) 195,000 $196,295
Leaf Receivables Funding 8 LLC, 2.67%, 9/15/20 (144A) 311,966 $313,794
Lehman ABS Manufactured Housing Contract Trust 2002-A, Floating Rate Note, 6/15/33 19,804,000 $996,342
Lehman Brothers Small Balance Commercial, Floating Rate Note, 2/25/30 (144A) 4,631,000 $680,638
Lehman Brothers Small Balance Commercial, Floating Rate Note, 4/25/31 (144A) 2,843,000 $542,379
Lehman Brothers Small Balance Commercial, Floating Rate Note, 4/25/31 (144A) 3,723,496 $641,326
Lehman Brothers Small Balance Commercial, Floating Rate Note, 9/25/30 (144A) 3,264,773 $574,057
Lehman Brothers Small Balance Commercial, Floating Rate Note, 9/25/30 (144A) 750,000 $234,151
Lehman Brothers Small Balance Commercial Mortgage Trust 2007-3, Floating Rate Note, 10/25/37 (144A) 466,904 $408,838
Lehman Brothers Small Balance Commercial Mortgage Trust 2007-3, Floating Rate Note, 10/25/37 (144A) 785,400 $234,963
Lhipo Flt% 23dec36 07-1ga-A 1,400,000 $713,877
Lincoln National Corp., 4.3%, 6/15/15 250,000 $258,835
Live Nation Entertainment, Inc., Term B-1 Loan, 8/17/20 514,115 $514,865
Loma Reinsurance, Ltd. Bermuda, Floating Rate Note, 1/8/18 (Cat Bond) (144A) 250,000 $261,313
Long Beach Mortgage Loan Trust 2003-4, Floating Rate Note, 8/25/33 18,590,000 $450,831
Longpoint Re, Ltd., Floating Rate Note, 6/12/15 (Cat Bond) (144A) 500,000 $514,867
Longpoint Re, Ltd. III, Floating Rate Note, 5/18/16 (Cat Bond) (144A) 250,000 $253,369
LPL Holdings, Inc., 2013 Incremental Tranche B Term Loan, 3/29/19 146,644 $146,644
Mack-Cali Realty LP, 5.125%, 1/15/15 1,000,000 $1,045,696
Madison Avenue Manufactured Housing Contract Trust 2002-A, Floating Rate Note, 3/25/32 1,100,000 $592,046
MALLINCKRODT INTERNATIONAL FINANCE SA, Initial Term B Loan, 3/6/21 299,250 $299,541
Manufacturers & Traders Trust Co., Floating Rate Note, 1/30/17 500,000 $500,968
Marathon Oil Corp., 0.9%, 11/1/15 651,000 $654,263
Marriott Vacation Club Owner Trust 2012-1, 3.5%, 5/20/30 (144A) 845,000 $503,408
Mas Flt% 01nov25 Massachusetts St 1,000,000 $983,532
Massachusetts Development Finance Agency, Floating Rate Note, 2/15/36 250,000 $263,618
Massachusetts Port Authority, 5.0%, 7/1/16 475,000 $527,127
MASTR Alternative Loan Trust 2004-13, 4.5%, 1/25/15 2,000,000 $4,123
MASTR Alternative Loan Trust 2005-1, Floating Rate Note, 2/25/35 6,760,000 $690,597
Mastr Asset Backed Securities Trust 2005-WF1, Floating Rate Note, 6/25/35 51,000 $9,863
Mastr Asset Backed Securities Trust 2005-WMC1, Floating Rate Note, 3/25/35 215,000 $79,213
Mastr Asset Backed Securities Trust 2006-AB1, Floating Rate Note, 2/25/36 3,670,545 $746,171
Mastr Asset Backed Securities Trust 2006-NC1, Floating Rate Note, 1/25/36 1,567,646 $245,567
MASTR Asset Securitization Trust 2003-6, Floating Rate Note, 7/25/18 2,444,000 $88,032
MASTR Seasoned Securitization Trust 2005-1, Floating Rate Note, 9/25/32 2,500,000 $171,324
Mastr Specialized Loan Trust, Floating Rate Note, 1/25/36 (144A) 3,644,114 $316,707
McKesson Corp., Floating Rate Note, 9/10/15 235,000 $235,533
Mediacom Illinois LLC, Tranche F Term Loan, 3/31/18 399,000 $395,259
Merna Reinsurance V, Ltd., Floating Rate Note, 4/7/17 (Cat Bond) (144A) 650,000 $651,235
Merrill Lynch Mortgage Investors Trust Series 2005-2, Floating Rate Note, 10/25/35 1,543,473 $406,917
Merrill Lynch Mortgage Investors Trust Series 2005-A3, Floating Rate Note, 4/25/35 10,415,000 $1,309,727
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-A, Floating Rate Note, 3/25/28 15,000,000 $800,938
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-A, Floating Rate Note, 3/25/28 10,213,000 $408,286
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-C, Floating Rate Note, 6/25/28 10,150,000 $494,387
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-C, Floating Rate Note, 6/25/28 9,455,006 $386,843
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-E, Floating Rate Note, 10/25/28 8,393,000 $497,931
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-G, Floating Rate Note, 1/25/29 3,592,000 $53,527
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-H, Floating Rate Note, 1/25/29 6,366,000 $388,197
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-A, Floating Rate Note, 4/25/29 4,643,948 $288,611
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-B, Floating Rate Note, 5/25/29 4,636,150 $274,846
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-C, Floating Rate Note, 7/25/29 10,014,000 $500,340
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-G, Floating Rate Note, 1/25/30 11,901,975 $625,391
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-G, Floating Rate Note, 1/25/30 3,400,000 $252,241
Merrill Lynch Mortgage Investors Trust Series MLCC 2005-A, Floating Rate Note, 3/25/30 7,273,883 $554,749
Merrill Lynch Mortgage Investors Trust Series MLMI 2005-A2, Floating Rate Note, 2/25/35 500,000 $112,800
Merrill Lynch Mortgage Trust 2004-KEY2, Floating Rate Note, 8/12/39 410,390 $414,882
Merrill Lynch Mortgage Trust 2004-KEY2, Floating Rate Note, 8/12/39 375,000 $201,298
Merrill Lynch Mortgage Trust 2005-CIP1, Floating Rate Note, 7/12/38 630,000 $654,348
Merrill Lynch Mortgage Trust 2005-CKI1, Floating Rate Note, 11/12/37 990,000 $918,646
Metaldyne LLC, USD Term Loan 2014, 12/18/18 735,250 $738,926
MetLife Institutional Funding II, 1.625%, 4/2/15 (144A) 500,000 $506,517
MetLife Institutional Funding II, Floating Rate Note, 1/6/15 (144A) 500,000 $501,647
Metropolitan Life Global Funding I, Floating Rate Note, 7/15/16 (144A) 300,000 $302,675
Metropolitan Life Insurance Co., 7.7%, 11/1/15 (144A) 1,250,000 $1,375,134
MGM Resorts International, Term B Loan, 12/20/19 344,750 $344,190
Micron Semiconductor Asia Pte, Ltd., 1.258%, 1/15/19 500,000 $502,830
Milacron LLC, Term Loan, 3/28/20 498,750 $498,646
Mon 1.15% 30jun17 1,000,000 $1,000,309
Morgan Stanley, Floating Rate Note, 11/9/18 275,000 $292,531
Morgan Stanley, Floating Rate Note, 2/25/16 500,000 $507,746
Morgan Stanley, Floating Rate Note, 6/6/16 500,000 $498,493
Morgan Stanley ABS Capital I Inc Trust 2004-SD3, Floating Rate Note, 6/25/34 (144A) 13,470,000 $654,626
Morgan Stanley ABS Capital I Inc Trust 2005-NC2, Floating Rate Note, 3/25/35 627,000 $384,812
Morgan Stanley ABS Capital I Inc Trust 2005-WMC5, Floating Rate Note, 6/25/35 820,000 $344,719
Morgan Stanley Capital I, Inc., Floating Rate Note, 10/15/20 (144A) 425,000 $423,329
Morgan Stanley Capital I Trust 2004-HQ4, 4.97%, 4/14/40 1,474,144 $319,541
Morgan Stanley Capital I Trust 2004-IQ8, Floating Rate Note, 6/15/40 1,200,000 $1,210,498
Morgan Stanley Capital I Trust 2005-HQ6, 4.989%, 8/13/42 1,815,000 $1,871,738
Morgan Stanley Capital I Trust 2005-HQ6, Floating Rate Note, 8/13/42 1,250,000 $1,296,174
Morgan Stanley Capital I Trust 2005-IQ10, Floating Rate Note, 9/15/42 915,000 $806,803
Morgan Stanley Capital I Trust 2005-TOP17, 4.78%, 12/13/41 660,000 $485,505
Morgan Stanley Capital I Trust 2005-TOP19, 4.89%, 6/12/47 1,940,000 $1,978,741
Morgan Stanley Dean Witter Capital I Trust 2001-TOP3, 6.79%, 7/15/33 460,000 $128,116
Morgan Stanley Home Equity Loan Trust 2005-4, Floating Rate Note, 9/25/35 1,009,263 $464,253
Morgan Stanley Mortgage Loan Trust 2005-5AR, Floating Rate Note, 9/25/35 9,387,000 $908,056
Morgan Stanley Mortgage Loan Trust 2005-6AR, Floating Rate Note, 11/25/35 3,786,000 $506,052
Morgan Stanley Mortgage Loan Trust 2005-6AR, Floating Rate Note, 11/25/35 2,941,000 $520,727
MortgageIT Trust 2004-1, Floating Rate Note, 11/25/34 3,200,000 $459,970
Motor 2013-1 Plc, Floating Rate Note, 2/25/21 (144A) 466,000 $306,595
MRFC Mortgage Pass-Through Trust Series 1999-TBC2, Floating Rate Note, 6/15/30 3,714,390 $242,267
Mufg 0.15% 18jul14 Usd 4,630,000 $4,630,204
Mythen Re, Ltd., Floating Rate Note, 5/7/15 (Cat Bond) (144A) 500,000 $524,413
Mythen Re, Ltd., Floating Rate Note, 5/7/15 (Cat Bond) (144A) 500,000 $522,545
Mythen Re, Ltd. Series 2012-2 Class A, Floating Rate Note, 1/5/17 (Cat Bond) (144A) 750,000 $808,535
Mythen Re, Ltd. Series 2013-1 Class B, Floating Rate Note, 7/9/15 (Cat Bond) (144A) 250,000 $259,061
National Australia Bank, Ltd., Floating Rate Note, 7/25/14 (144A) 750,000 $752,068
National City Bank Cleveland Ohio, Floating Rate Note, 12/15/16 250,000 $249,484
National Rural Utilities Cooperative Finance Corp., 1.0%, 2/2/15 410,000 $413,364
National Rural Utilities Cooperative Finance Corp., Floating Rate Note, 11/23/16 500,000 $501,708
Nationstar Agency Advance Funding Trust 2013-T1A, 0.997%, 2/15/45 (144A) 550,000 $549,375
Nationstar Mortgage Loan Trust 2013-A, Floating Rate Note, 12/25/52 (144A) 600,000 $525,727
Navios Maritime Partners LP, Term Loan, 6/27/18 462,675 $468,748
Navistar, Inc., Tranche B Term Loan, 8/17/17 400,000 $408,625
Navistar Financial Dealer Note Master Trust, Floating Rate Note, 1/25/18 (144A) 510,000 $510,129
Navitas Equipment Receivables LLC 2013-1, 3.63%, 2/15/17 650,000 $651,003
NCUA Guaranteed Notes Trust REMICS, 1.6%, 10/29/20 500,000 $211,922
NCUA Guaranteed Notes Trust REMICS, Floating Rate Note, 3/9/21 800,000 $409,683
Ndass Flt% 13jun16 1,000,000 $999,810
New Century Home Equity Loan Trust 2005-1, Floating Rate Note, 3/25/35 2,101,000 $334,571
New Residential Advance Receivables Trust Advance Receivables Backed 2014-T1, 1.2736%, 3/13/45 530,000 $530,883
NewStar Commercial Loan Trust 2007-1, Floating Rate Note, 9/30/22 (144A) 500,000 $298,836
New York Life Global Funding, 1.125%, 3/1/17 (144A) 500,000 $503,346
New York Life Global Funding, Floating Rate Note, 5/23/16 (144A) 1,050,000 $1,056,511
NiSource Finance Corp., 5.4%, 7/15/14 796,000 $817,252
Nissan Auto Lease Trust 2013-B, Floating Rate Note, 1/15/16 240,000 $234,710
Nissan Motor Acceptance Corp., 2.65%, 9/26/18 (144A) 1,000,000 $1,033,249
Nissan Motor Acceptance Corp., 4.5%, 1/30/15 (144A) 100,000 $104,061
Nissan Motor Acceptance Corp., Floating Rate Note, 3/3/17 (144A) 500,000 $501,759
Nomura Asset Acceptance Corp Alternative Loan Trust Series 2003-A3, 5.5%, 8/25/33 (Step) 3,120,000 $219,494
Nomura Resecuritization Trust 2011-3R, Floating Rate Note, 7/26/37 (144A) 1,000,000 $834,442
Norcraft Companies LP, Initial Loan, 11/12/20 248,750 $250,305
Nordea Bank AB, Floating Rate Note, 5/13/16 (144A) 250,000 $251,497
North American Development Bank, 2.3%, 10/10/18 650,000 $663,008
Northshore Re, Ltd., Floating Rate Note, 7/5/16 (Cat Bond) (144A) 500,000 $521,713
NorthStar 2012-1 Mortgage Trust, Floating Rate Note, 8/25/29 (144A) 200,000 $203,079
NorthStar 2012-1 Mortgage Trust, Floating Rate Note, 8/25/29 (144A) 490,818 $347,186
NorthStar 2013-1, Floating Rate Note, 8/25/29 (144A) 778,000 $777,909
NorthStar Realty Finance Corp., 3.0%, 9/30/14 2,330,000 $2,343,399
NovaStar Mortgage Funding Trust Series 2003-1, Floating Rate Note, 5/25/33 9,715,000 $272,792
NovaStar Mortgage Funding Trust Series 2004-3, Floating Rate Note, 12/25/34 560,000 $525,507
NovaStar Mortgage Funding Trust Series 2004-4, Floating Rate Note, 3/25/35 1,457,000 $1,429,045
NovaStar Mortgage Funding Trust Series 2004-4, Floating Rate Note, 3/25/35 300,000 $161,982
NSG Holdings LLC, New Term Loan, 12/11/19 195,970 $196,215
NSTAR Electric Co., Floating Rate Note, 5/17/16 341,000 $340,769
NYSE Euronext, 2.0%, 10/5/17 150,000 $153,562
Ohart 2.8828% 25may54 2014-Npl1- 520,000 $520,796
On Assignment, Inc., Initial Term B Loan, 5/15/20 171,522 $171,236
Ooredoo International Finance, Ltd., 3.375%, 10/14/16 (144A) 500,000 $527,879
Opteum Mortgage Acceptance Corp Asset Backed Pass-Through Certificates 2005-1, Floating Rate Note, 2 3,526,047 $30,270
Opteum Mortgage Acceptance Corp Asset Backed Pass-Through Certificates 2005-5, Floating Rate Note, 1 600,000 $75,145
Option One Mortgage Loan Trust 2005-4 Asset-Backed Certificates Series 2005-4, Floating Rate Note, 1 4,575,000 $451,600
Option One Woodbridge Loan Trust 2002-1, Floating Rate Note, 9/25/14 (144A) 1,370,736 $301,699
Oracle Corp., 2.375%, 1/15/19 500,000 $513,888
Orange Lake Timeshare Trust 2012-A, 4.87%, 3/10/27 (144A) 600,000 $340,944
ORES 2014-LV3 LLC, 3.0%, 3/27/24 (144A) 550,000 $523,546
ORES NPL 2013-LV2 LLC, 3.081%, 9/25/25 (144A) 430,000 $267,879
Origen Manufactured Housing Contract Trust 2004-A, Floating Rate Note, 1/15/35 600,000 $277,588
Origen Manufactured Housing Contract Trust 2004-B, Floating Rate Note, 11/15/35 460,000 $416,861
Origen Manufactured Housing Contract Trust 2005-A, Floating Rate Note, 6/15/36 250,000 $257,444
Oxford Finance Funding Trust 2012-1, 3.9%, 3/15/17 (144A) 571,000 $79,580
Pangaea Re, 0.0%, 10/1/15 (Cat Bond) 150,000 $168,465
Park Place Securities Inc Asset-Backed Pass-Through Certificates Series 2004-MHQ, Floating Rate Note 660,000 $660,195
Park Place Securities Inc Asset-Backed Pass-Through Ctfs Ser 2004-WCW2, Floating Rate Note, 10/25/34 1,076,819 $122,634
Park Place Securities Inc Asset-Backed Pass-Through Ctfs Ser 2005-WHQ4, Floating Rate Note, 9/25/35 1,793,831 $642,961
Par Pharmaceutical Companies, Inc., Term B-2 Loan, 9/28/19 643,534 $644,590
PARTY CITY HOLDINGS INC, 2014 Replacement Term Loan, 7/27/19 952,613 $948,360
Pcar Flt% 06jun17 485,000 $485,138
Penn National Gaming, Inc., Term B Facility Loan, 10/25/20 457,700 $457,414
Penske Truck Leasing Co Lp, 2.5%, 7/11/14 (144A) 969,000 $980,870
People's Choice Home Loan Securities Trust Series 2005-3, Floating Rate Note, 8/25/35 109,980 $23,077
Pfizer, Inc., Floating Rate Note, 5/15/17 750,000 $750,354
PFS Financing Corp., Floating Rate Note, 2/15/19 (144A) 750,000 $751,344
PFS Tax Lien Trust 2014-1, 1.44%, 5/15/29 400,000 $375,745
PHH Mortgage Capital LLC, 6.6%, 12/25/27 (Step) (144A) 1,000,000 $107,230
PNC Bank NA, 1.125%, 1/27/17 450,000 $453,416
PNC Bank NA, 1.3%, 10/3/16 550,000 $556,969
PNC Bank NA, Floating Rate Note, 1/28/16 500,000 $501,119
PNC Bank NA, Floating Rate Note, 4/29/16 1,111,000 $1,112,502
Polarpak, Inc., USD Term Loan (Canadian Borrower Portion), 6/7/20 157,665 $158,158
Polarpak, Inc., USD Term Loan (U.S. Borrower Portion), 6/7/20 86,248 $86,518
Popular ABS Mortgage Pass-Through Trust 2004-4, 4.88041%, 9/25/34 (Step) 1,325,000 $483,405
Precision Castparts Corp., 1.25%, 1/15/18 500,000 $499,452
Pricoa Global Funding I, Floating Rate Note, 6/24/16 (144A) 500,000 $497,644
Principal Life Global Funding II, 1.2%, 5/19/17 (144A) 750,000 $751,527
Principal Life Global Funding II, Floating Rate Note, 5/27/16 (144A) 390,000 $392,021
Progreso 3.5% 08jul19 2014-A_ 1,370,000 $1,370,133
Progreso Receivables Funding I LLC, 4.0%, 7/9/18 (144A) 1,000,000 $1,006,306
Prudential Covered Trust 2012-1, 2.997%, 9/30/15 (144A) 500,000 $412,759
Prudential Financial, Inc., 3.875%, 1/14/15 500,000 $518,253
Prudential Financial, Inc., 6.2%, 1/15/15 538,000 $569,759
PSEG Power LLC, 2.75%, 9/15/16 500,000 $523,123
PVH Corp., Tranche B Term Loan, 2/13/20 470,446 $474,366
Queen City Re, Floating Rate Note, 1/6/19 (Cat Bond) (144A) 500,000 $486,811
Queen Street III Capital, Ltd., Floating Rate Note, 7/28/14 (144A) 500,000 $507,145
Queen Street IV Capital, Ltd., Floating Rate Note, 4/9/15 (Cat Bond) (144A) 750,000 $760,771
Queen Street VII Re, Ltd., Floating Rate Note, 4/8/16 (Cat Bond) (144A) 750,000 $778,614
Queen Street V Re, Ltd., Floating Rate Note, 4/9/15 (Cat Bond) (144A) 750,000 $764,349
Quest Trust, Floating Rate Note, 3/25/34 (144A) 24,804,330 $1,090,506
RAAC Series 2004-SP2 Trust, 6.0%, 1/25/32 11,000,000 $489,940
RAAC Series 2005-RP1 Trust, Floating Rate Note, 7/25/37 (144A) 583,530 $371,021
RAAC Series 2005-RP2 Trust, Floating Rate Note, 6/25/35 (144A) 995,000 $281,970
RAAC Series 2006-RP2 Trust, Floating Rate Note, 2/25/37 (144A) 4,099,889 $430,314
RALI Series 2002-QS16 Trust, Floating Rate Note, 10/25/17 11,475,000 $244,354
RALI Series 2003-QR24 Trust, 4.0%, 7/25/33 950,000 $399,013
RALI Series 2003-QR24 Trust, 4.0%, 7/25/33 6,880,000 $777,513
RALI Series 2003-QS11 Trust, Floating Rate Note, 6/25/33 13,610,000 $688,804
RALI Series 2003-QS14 Trust, 5.0%, 7/25/18 600,000 $42,767
RALI Series 2003-QS15 Trust, 5.5%, 8/25/33 250,000 $188,412
RALI Series 2003-QS9 Trust, Floating Rate Note, 5/25/18 11,040,000 $522,118
RALI Series 2004-QR1 Trust, 5.25%, 10/25/34 21,545,000 $696,220
RALI Series 2004-QS16 Trust, 5.5%, 12/25/34 3,600,000 $255,008
RALI Series 2004-QS1 Trust, 4.25%, 1/25/34 14,997,000 $151,707
RALI Series 2004-QS1 Trust, Floating Rate Note, 1/25/34 2,884,000 $41,174
RALI Series 2004-QS5 Trust, 4.75%, 4/25/34 4,285,000 $264,350
RALI Series 2004-QS5 Trust, Floating Rate Note, 4/25/34 1,761,729 $106,894
RAMP Series 2003-RS9 Trust, Floating Rate Note, 10/25/33 5,091,956 $549,048
RAMP Series 2004-SL4 Trust, Floating Rate Note, 5/25/18 13,780,000 $100,572
RAMP Series 2005-RS5 Trust, Floating Rate Note, 5/25/35 360,000 $14,871
RAMP Series 2005-RS6 Trust, Floating Rate Note, 6/25/35 278,355 $193,660
RAMP Series 2005-RZ4 Trust, Floating Rate Note, 11/25/35 4,671,695 $4,649
RASC Series 2005-EMX2 Trust, Floating Rate Note, 7/25/35 40,280 $14,279
RASC Series 2005-KS7 Trust, Floating Rate Note, 8/25/35 1,450,000 $79,038
RASC Series 2006-KS1 Trust, Floating Rate Note, 2/25/36 1,200,000 $41,702
Ras Laffan Liquefied Natural Gas Co, Ltd. III, 5.5%, 9/30/14 (144A) 250,000 $256,288
Raymond James Financial, Inc., 4.25%, 4/15/16 283,000 $301,443
RBS Greenwich Capital Mortgage Loan Trust, 3.686%, 4/15/24 (144A) 2,440,000 $1,752,057
RBSSP Resecuritization Trust 2009-5, Floating Rate Note, 8/26/37 (144A) 2,550,000 $910,426
Reckitt Benckiser Treasury Services Plc, 2.125%, 9/21/18 (144A) 500,000 $507,290
Regatta Funding, Ltd., Floating Rate Note, 6/15/20 (144A) 500,000 $266,375
RENT-A-CENTER, INC, Term Loan (2014), 2/6/21 548,625 $545,882
Residential Asset Securitization Trust 2003-A2, Floating Rate Note, 5/25/33 34,300,000 $1,331,745
Residential Asset Securitization Trust 2004-A9, 5.75%, 12/25/34 870,000 $383,316
Residential Reinsurance 2011, Ltd., Floating Rate Note, 12/6/16 (Cat Bond) (144A) 500,000 $523,619
Residential Reinsurance 2011, Ltd., Floating Rate Note, 6/6/15 (Cat Bond) (144A) 500,000 $521,775
Residential Reinsurance 2012, Ltd., Floating Rate Note, 12/6/16 (Cat Bond) (144A) 1,150,000 $1,177,629
Residential Reinsurance 2012, Ltd., Floating Rate Note, 6/6/16 (Cat Bond) (144A) 250,000 $272,939
Residential Reinsurance 2013, Ltd., Floating Rate Note, 6/6/17 (Cat Bond) (144A) 250,000 $262,156
Residential Reinsurance 2014, Ltd., Floating Rate Note, 6/6/18 (Cat Bond) (144A) 250,000 $250,225
RESI Finance LP, Floating Rate Note, 9/10/35 (144A) 2,618,783 $522,834
Resi Flt% 12dec45 A1 500,000 $500,466
Resource Capital Corp CRE Notes 2013, Ltd., Floating Rate Note, 6/15/16 (144A) 1,000,000 $1,009,875
RFMSI Series 2005-S5 Trust, 5.25%, 7/25/35 300,770 $178,801
RFSC Series 2004-RP1 Trust, Floating Rate Note, 11/25/42 (144A) 250,000 $160,892
Rialto Capital Management LLC, 2.85%, 5/15/24 700,000 $616,675
Rio Tinto Finance USA Plc, Floating Rate Note, 6/17/16 560,000 $565,061
Riverfront Re, Ltd., Floating Rate Note, 1/6/17 (Cat Bond) (144A) 320,000 $312,448
Royal Bank of Canada, 1.45%, 9/9/16 1,000,000 $1,017,598
Royal Bank of Canada, Floating Rate Note, 1/23/17 550,000 $552,124
RREF 2013 LT2 LLC, 2.8331%, 5/22/28 (144A) 700,000 $240,588
Ryder System, Inc., 3.15%, 3/2/15 500,000 $514,173
Ry Flt% 16jun17 1,000,000 $1,000,188
SABMiller Holdings, Inc., 1.85%, 1/15/15 (144A) 500,000 $507,782
SACO I Trust 2005-8, Floating Rate Note, 11/25/35 3,250,775 $56,666
Sanders Re, Ltd., Floating Rate Note, 5/5/17 (Cat Bond) (144A) 750,000 $748,310
Sanders Re, Ltd., Floating Rate Note, 5/5/17 (Cat Bond) (144A) 750,000 $750,533
Sanders Re, Ltd., Floating Rate Note, 6/7/17 (Cat Bond) (144A) 650,000 $645,905
Santander Drive Auto Receivables Trust 2011-2, 2.66%, 1/15/16 285,000 $28,413
Santander Drive Auto Receivables Trust 2012-5, 2.7%, 8/15/18 125,000 $128,643
Santander Holdings USA, Inc. Pennsylvania, 3.0%, 9/24/15 2,269,000 $2,348,913
Santander Holdings USA, Inc. Pennsylvania, 3.45%, 8/27/18 600,000 $642,954
Sarm Flt% 25aug35 05-16xs-A1 7,750,000 $499,301
SASCO Mortgage Loan Trust 2005-GEL1, Floating Rate Note, 12/25/34 510,000 $377,612
SASCO Mortgage Loan Trust 2005-GEL2, Floating Rate Note, 4/25/35 8,945,588 $189,830
Saxon Asset Securities Trust 2005-3, Floating Rate Note, 11/25/35 471,000 $460,795
Saxon Asset Securities Trust 2005-4, Floating Rate Note, 11/25/37 9,516,000 $548,675
Sbac 2.24% 15apr43 13-1-C 630,000 $625,725
SBA Senior Finance II LLC, Incremental Tranche B-1 Term Loan, 3/31/21 200,000 $199,271
SBI Home Equity Loan Trust 2006-1, Floating Rate Note, 8/25/36 (144A) 1,350,000 $462,157
Sdart 3.28% 15jun16 11-2-C 700,000 $707,605
Sdart Flt% 15may19 14-3-B 1,000,000 $1,000,987
Seadrill Operating LP, Initial Term Loan, 2/14/21 845,750 $841,286
Sector Re V, Ltd., 0.0%, 3/1/18 (Cat Bond) (144A) 272 $16,877
Sector Re V, Ltd., 0.0%, 3/30/19 (Cat Bond) (144A) 300,000 $303,870
Selene Non-Performing Loans LLC, 5/25/54 (Step) (144A) 1,020,000 $1,020,558
Senior Housing Properties Trust, 4.3%, 1/15/16 290,000 $306,234
Sequoia Mortgage Trust 2003-5, Floating Rate Note, 9/20/33 4,626,000 $223,676
Sequoia Mortgage Trust 2004-10, Floating Rate Note, 11/20/34 1,640,000 $178,146
Sequoia Mortgage Trust 2004-12, Floating Rate Note, 1/20/35 3,700,000 $262,629
Sequoia Mortgage Trust 2004-12, Floating Rate Note, 1/20/35 13,677,000 $1,574,758
Sequoia Mortgage Trust 2004-7, Floating Rate Note, 8/20/34 5,000,000 $269,093
Sequoia Mortgage Trust 2004-9, Floating Rate Note, 10/20/34 6,000,000 $654,762
Sequoia Mortgage Trust 2005-1, Floating Rate Note, 2/20/35 4,960,000 $486,985
Sequoia Mortgage Trust 2013-8, Floating Rate Note, 6/25/43 314,000 $271,654
Sequoia Mortgage Trust 2013-8, Floating Rate Note, 6/25/43 160,000 $143,797
Shell International Finance BV, Floating Rate Note, 11/15/16 750,000 $751,118
Sierra Timeshare 2012-2 Receivables Funding LLC, 2.38%, 3/20/29 (144A) 1,500,000 $521,675
Sierra Timeshare 2012-3 Receivables Funding LLC, 1.87%, 8/20/29 (144A) 1,400,000 $580,294
Sierra Timeshare 2013-1 Receivables Funding LLC, 2.39%, 11/20/29 (144A) 160,000 $74,518
Sierra Timeshare 2013-2 Receivables Funding LLC, 2.92%, 11/20/25 160,000 $92,104
SilverLeaf Finance XVII LLC, 2.71%, 3/16/26 (144A) 750,000 $560,343
Silverstone Master Issuer Plc, Floating Rate Note, 1/21/55 (144A) 290,000 $300,007
Silverton RE, Ltd., 0.0%, 9/16/16 (Cat Bond) (144A) 250,000 $287,650
Sinclair Television Group, Inc., New Tranche B Term Loan, 4/19/20 441,652 $437,696
Sirius International Group, Ltd., 6.375%, 3/20/17 (144A) 750,000 $842,898
SLM Student Loan Trust 2004-10, Floating Rate Note, 4/27/26 (144A) 380,000 $383,683
SMA Issuer I LLC, 3.5%, 8/20/25 (144A) 140,130 $7,709
SMART Trust/Australia, Floating Rate Note, 1/14/17 500,000 $500,150
SMART Trust/Australia, Floating Rate Note, 6/14/15 600,000 $67,810
SMART Trust/Australia, Floating Rate Note, 7/14/16 750,000 $750,486
SNAAC Auto Receivables Trust, 4.38%, 6/15/17 (144A) 460,000 $468,255
SNAAC Auto Receivables Trust 2013-1, 1.14%, 7/16/18 (144A) 404,000 $122,042
Soundview Home Loan Trust 2005-3, Floating Rate Note, 6/25/35 600,000 $111,726
Soundview Home Loan Trust 2005-OPT4, Floating Rate Note, 12/25/35 815,490 $245,766
South Carolina State Public Service Authority, Floating Rate Note, 6/1/15 890,000 $893,432
Southern Pacific Secured Asset Corp., Floating Rate Note, 3/25/28 32,000,000 $297,177
Southwire Co., Initial Term Loan, 1/31/21 305,000 $305,143
Specialty Underwriting & Residential Finance Trust Series 2006-BC1, Floating Rate Note, 12/25/36 790,207 $749,568
Spirit AeroSystems, Inc., Term Loan B, 9/30/20 534,325 $533,574
Springleaf Funding Trust 2013-A, 2.58%, 9/15/21 (144A) 1,200,000 $1,210,170
Springleaf Funding Trust 2014-A, 2.41%, 12/25/22 (144A) 1,000,000 $1,002,301
Springleaf Mortgage Loan Trust 2012-2, Floating Rate Note, 10/25/57 (144A) 424,000 $241,449
Standard Chartered Plc, 3.85%, 4/27/15 (144A) 500,000 $516,372
Stanwich Mortgage Loan Trust, 2.9814%, 2/16/43 (144A) 1,325,000 $481,549
Starbucks Corp., 0.875%, 12/5/16 605,000 $605,970
Starwood Property Mortgage Trust 2013-FV1, Floating Rate Note, 8/11/28 (144A) 640,000 $627,132
Starwood Property Trust, Inc., Term Loan (First Lien), 4/17/20 198,492 $197,686
State of Ohio, 3.0%, 6/15/15 500,000 $513,482
State Street Bank & Trust Co., Floating Rate Note, 12/8/15 550,000 $549,826
Steward Health Care System LLC, Term Loan, 4/10/20 298,496 $295,138
St Jude Medical, Inc., 2.5%, 1/15/16 510,000 $529,449
STORE Master Funding LLC, 5.77%, 8/20/42 (144A) 344,000 $363,837
Structured Adjustable Rate Mortgage Loan Trust, Floating Rate Note, 11/25/34 18,180,000 $959,890
Structured Adjustable Rate Mortgage Loan Trust, Floating Rate Note, 11/25/34 750,000 $86,165
Structured Adjustable Rate Mortgage Loan Trust, Floating Rate Note, 3/25/34 2,600,000 $187,895
Structured Asset Investment Loan Trust 2005-6, Floating Rate Note, 7/25/35 719,331 $712,355
Structured Asset Mortgage Investments II Trust 2004-AR5, Floating Rate Note, 10/19/34 8,100,000 $397,906
Structured Asset Mortgage Investments II Trust 2005-AR2, Floating Rate Note, 5/25/45 5,000,000 $484,876
Structured Asset Mortgage Investments II Trust 2005-F1, Floating Rate Note, 8/26/35 6,100,000 $168,552
Structured Asset Mortgage Investments Trust 2002-AR5, Floating Rate Note, 5/19/33 7,644,000 $410,707
Structured Asset Sec Corp Mor Pass Thr Cer Ser 2003-35, Floating Rate Note, 12/25/33 4,960,000 $349,822
Structured Asset Securities Corp Mor Cer Ser 2003-31A, Floating Rate Note, 10/25/33 1,500,000 $181,349
Structured Asset Securities Corp Mortgage Loan Trust 2005-2XS, 4.65%, 2/25/35 (Step) 1,000,000 $207,161
Structured Asset Securities Corp Mortgage Loan Trust 2005-WF4, Floating Rate Note, 11/25/35 475,000 $83,078
Structured Asset Securities Corp Mortgage Loan Trust 2006-BC4, Floating Rate Note, 12/25/36 435,585 $972
Structured Asset Securities Corp Mortgage Pass-Through Certificates Ser 2004-S4, Floating Rate Note, 500,000 $148,978
Structured Asset Securities Corp Mortgage Pass-Through Ctfs Ser 2003-24A, Floating Rate Note, 7/25/3 7,700,000 $1,013,207
Sumitomo Mitsui Banking Corp., Floating Rate Note, 1/10/17 750,000 $752,811
Sumitomo Mitsui Banking Corp., Floating Rate Note, 7/19/16 300,000 $302,669
Sumitomo Mitsui Trust Bank, Ltd., Floating Rate Note, 9/16/16 (144A) 500,000 $503,708
SunGard Data Systems, Inc., Tranche C Term Loan, 2/28/17 155,698 $156,249
SunTrust Bank, Floating Rate Note, 2/15/17 500,000 $500,305
SunTrust Bank, Floating Rate Note, 4/1/15 430,000 $430,484
SunTrust Banks, Inc., 3.5%, 1/20/17 500,000 $537,216
Svenska Handelsbanken AB, Floating Rate Note, 9/23/16 1,000,000 $1,005,928
Svenska Handelsbanken New York NY, Floating Rate Note, 1/16/15 200,000 $200,537
Svenska Handelsbanken New York NY, Floating Rate Note, 11/17/14 350,000 $350,280
SVO 2012-A VOI Mortgage LLC, 2.0%, 9/20/29 (144A) 1,600,000 $940,917
TAL Advantage V LLC, 1.7%, 5/20/39 (144A) 400,000 $391,948
Tar Heel Re, Ltd., Floating Rate Note, 5/9/16 (Cat Bond) (144A) 250,000 $259,424
TD Ameritrade Holding Corp., 4.15%, 12/1/14 705,000 $718,411
Td Flt% 02jul19 750,000 $749,632
Telecom Italia Capital SA, 4.95%, 9/30/14 750,000 $765,384
Telefonica Emisiones SAU, 3.992%, 2/16/16 500,000 $530,984
Tengizchevroil Finance Co Sarl, 6.124%, 11/15/14 (144A) 2,190,000 $159,860
Terex Corp., New U.S. Term Loan (2013), 4/28/17 258,332 $259,947
Terwin Mortgage Trust Series TMTS 2003-8HE, Floating Rate Note, 12/25/34 5,234,000 $158,408
Terwin Mortgage Trust Series TMTS 2005-10HE, Floating Rate Note, 6/25/36 199,992 $173,487
Terwin Mortgage Trust Series TMTS 2005-14HE, 4.8492%, 8/25/36 (Step) 630,000 $137,859
Texas Instruments, Inc., 0.875%, 3/12/17 500,000 $500,726
Texas Municipal Gas Acquisition & Supply Corp III, 5.0%, 12/15/15 500,000 $532,326
The Bank of New York Mellon Corp., 3.1%, 1/15/15 220,000 $226,445
The Bank of New York Mellon Corp., Floating Rate Note, 10/23/15 595,000 $596,633
The Bank of New York Mellon Corp., Floating Rate Note, 7/28/14 110,000 $110,121
The Bank of Tokyo-Mitsubishi UFJ, Ltd., 1.55%, 9/9/16 (144A) 1,000,000 $1,015,717
The Bank of Tokyo-Mitsubishi UFJ, Ltd., Floating Rate Note, 3/10/17 (144A) 500,000 $500,059
The Bear Stearns Companies LLC, 5.7%, 11/15/14 750,000 $769,887
The Bear Stearns Companies LLC, Floating Rate Note, 11/21/16 1,500,000 $1,499,645
The Boeing Co., 0.95%, 5/15/18 1,050,000 $1,026,937
The Charles Schwab Corp., 0.85%, 12/4/15 250,000 $251,169
The Geo Group, Inc., Term Loan, 4/3/20 497,487 $497,954
The Goldman Sachs Group, Inc., 3.7%, 8/1/15 340,000 $355,924
The Goldman Sachs Group, Inc., 5.0%, 10/1/14 1,150,000 $1,177,578
The Goldman Sachs Group, Inc., Floating Rate Note, 1/12/15 500,000 $501,546
The Goldman Sachs Group, Inc., Floating Rate Note, 11/21/14 250,000 $251,160
The Goldman Sachs Group, Inc., Floating Rate Note, 3/22/16 475,000 $475,124
The Goldman Sachs Group, Inc., Floating Rate Note, 9/29/14 390,000 $391,324
The Huntington National Bank, 1.3%, 11/20/16 500,000 $502,915
The Huntington National Bank, Floating Rate Note, 4/24/17 500,000 $500,965
The Korea Development Bank, Floating Rate Note, 1/22/17 750,000 $752,099
The PNC Financial Services Group, Inc., Floating Rate Note, 2/21/49 (Perpetual) 600,000 $603,039
Thermo Fisher Scientific, Inc., 2.4%, 2/1/19 1,000,000 $1,023,509
The Toronto-Dominion Bank, 1.375%, 7/14/14 345,000 $347,339
The Toronto-Dominion Bank, 1.4%, 4/30/18 500,000 $497,027
The Toronto-Dominion Bank, Floating Rate Note, 5/2/17 500,000 $500,104
The Toronto-Dominion Bank, Floating Rate Note, 7/14/14 644,000 $644,789
The Toronto-Dominion Bank, Floating Rate Note, 9/9/16 500,000 $502,950
The Walt Disney Co., Floating Rate Note, 5/30/19 750,000 $751,287
Thomson Reuters Corp., 0.875%, 5/23/16 250,000 $250,129
Thomson Reuters Corp., 1.3%, 2/23/17 500,000 $502,936
Thornburg Mortgage Securities Trust 2003-3, Floating Rate Note, 6/25/43 3,857,000 $136,188
Thornburg Mortgage Securities Trust 2004-1, Floating Rate Note, 3/25/44 20,000,000 $245,379
Thornburg Mortgage Securities Trust 2004-1, Floating Rate Note, 3/25/44 1,950,000 $153,171
Thornburg Mortgage Securities Trust 2004-1, Floating Rate Note, 3/25/44 4,537,000 $762,030
Thornburg Mortgage Securities Trust 2004-3, Floating Rate Note, 9/25/44 11,309,309 $1,113,781
Thornburg Mortgage Securities Trust 2004-4, Floating Rate Note, 12/25/44 1,225,000 $256,942
TimberStar Trust 1, 5.668%, 10/15/36 (144A) 525,000 $574,410
TMS International Corp., Term B Loan, 10/2/20 149,250 $149,810
TORONTO-DOMINION BANK, Floating Rate Note, 11/6/15 500,000 $500,999
Total Capital Canada, Ltd., Floating Rate Note, 1/15/16 1,115,000 $1,121,590
Toyota Motor Credit Corp., 0.75%, 3/5/17 (Step) 1,500,000 $1,494,465
Toyota Motor Credit Corp., 1.125%, 5/16/17 750,000 $752,393
Tradewynd Re, Ltd., Floating Rate Note, 1/8/15 (Cat Bond) (144A) 250,000 $254,350
Trafigura Securitisation Finance Plc, Floating Rate Note, 10/15/15 (144A) 525,000 $531,041
Trafigura Securitisation Finance Plc, Floating Rate Note, 10/15/15 (144A) 487,000 $491,797
TransCanada PipeLines, Ltd., 0.75%, 1/15/16 650,000 $653,891
TransCanada PipeLines, Ltd., 0.875%, 3/2/15 490,000 $493,186
Tribune Co., Initial Term Loan, 11/20/20 870,625 $872,797
Tyco Electronics Group SA, 1.6%, 2/3/15 640,000 $648,507
U.S. Treasury Notes, 0.25%, 7/15/15 25,000,000 $25,053,258
U.S. Treasury Notes, 0.375%, 2/15/16 4,500,000 $4,511,614
U.S. Treasury Notes, 1.5%, 8/31/18 5,500,000 $5,556,362
Union Bank NA, 2.625%, 9/26/18 1,000,000 $1,035,330
Union Bank NA, Floating Rate Note, 9/26/16 1,450,000 $1,464,670
United Auto Credit Securitization Trust 2012-1, 1.87%, 9/15/15 (144A) 750,000 $217,363
United Auto Credit Securitization Trust 2012-1, 3.12%, 3/15/18 (144A) 1,220,000 $1,230,168
United Auto Credit Securitization Trust 2013-1, 1.74%, 4/15/16 (144A) 825,000 $828,907
UnitedHealth Group, Inc., 1.875%, 11/15/16 500,000 $513,021
United Technologies Corp., Floating Rate Note, 6/1/15 500,000 $502,438
University of California, 0.966%, 5/15/17 500,000 $500,487
US Bancorp, 2.45%, 7/27/15 755,000 $779,842
US Renal Care, Inc., Tranche B-2 Term Loan (First Lien), 7/3/19 552,218 $554,807
Vantiv Llc 1st Lien Tl-B L + 3% 12jun21 340,000 $341,434
Ventas Realty LP, 3.125%, 11/30/15 500,000 $517,429
Verint Systems, Inc., Tranche B Incremental Term Loan, 9/6/19 261,457 $261,784
Verizon Communications, Inc., 3.0%, 4/1/16 500,000 $522,135
Verizon Communications, Inc., Floating Rate Note, 9/15/16 535,000 $550,130
Vita Capital IV, Ltd., Floating Rate Note, 1/15/16 (Cat Bond) (144A) 250,000 $254,471
Vita Capital V, Ltd., Floating Rate Note, 1/15/17 (Cat Bond) (144A) 750,000 $766,768
Vita Capital V, Ltd., Floating Rate Note, 1/15/17 (Cat Bond) (144A) 250,000 $256,438
Vitality Re IV, Ltd., Floating Rate Note, 1/9/17 (Cat Bond) (144A) 500,000 $514,638
Vitality Re V, Ltd., Floating Rate Note, 1/7/19 (Cat Bond) (144A) 500,000 $501,112
Vodafone Group Plc, Floating Rate Note, 2/19/16 275,000 $275,908
Volkswagen Credit Auto Master Owner Trust, Floating Rate Note, 9/20/16 (144A) 100,000 $100,126
Volkswagen Group of America Finance LLC, Floating Rate Note, 5/23/16 1,000,000 $1,001,030
Volkswagen International Finance NV, 1.125%, 11/18/16 (144A) 750,000 $753,655
Volkswagen International Finance NV, 1.6%, 11/20/17 (144A) 500,000 $504,272
Volt14-Npl4 Flt% 27apr54 A1 1,700,000 $1,698,301
VOLT XVI LLC, 4.25%, 8/25/58 (Step) (144A) 609,438 $520,038
VOLT XXIII LLC, 3.625%, 11/25/53 (Step) 475,000 $468,585
VOLT XXIV LLC, 3.25%, 11/25/53 (Step) 600,000 $596,970
VOLT XX LLC, 3.625%, 2/1/39 (Step) (144A) 550,000 $526,169
Volvo Financial Equipment LLC Series 2014-1, 0.54%, 11/15/16 (144A) 415,000 $415,170
Wachovia Bank Commercial Mortgage Trust Series 2005-C16, Floating Rate Note, 10/15/41 465,000 $468,946
Wachovia Bank Commercial Mortgage Trust Series 2005-C17, Floating Rate Note, 3/15/42 1,965,000 $1,947,285
Wachovia Bank Commercial Mortgage Trust Series 2005-C18, 4.935%, 4/15/42 1,506,334 $1,541,830
Wachovia Bank Commercial Mortgage Trust Series 2005-C20, Floating Rate Note, 7/15/42 530,000 $502,410
Wachovia Bank Commercial Mortgage Trust Series 2005-C21, Floating Rate Note, 10/15/44 625,364 $548,103
Wachovia Bank Commercial Mortgage Trust Series 2006-C24, Floating Rate Note, 3/15/45 272,000 $281,740
Wachovia Corp., 5.25%, 8/1/14 1,185,000 $1,215,418
Wachovia Mortgage Loan Trust Series 2005-WMC1, Floating Rate Note, 10/25/35 750,000 $165,853
Walgreen Co., 1.0%, 3/13/15 1,000,000 $1,006,815
Walgreen Co., 1.8%, 9/15/17 1,000,000 $1,013,956
WaMu Mortgage Pass-Through Certificates Series 2002-AR6 Trust, Floating Rate Note, 6/25/42 29,950,000 $392,288
WaMu Mortgage Pass-Through Certificates Series 2003-AR9 Trust, Floating Rate Note, 9/25/33 3,062,360 $1,214,531
WaMu Mortgage Pass-Through Certificates Series 2003-S10, 5.0%, 10/25/18 17,361,049 $725,346
Waupaca Foundry, Inc., Term Loan, 6/29/17 293,150 $294,066
WCP Wireless Site Funding, 6.829%, 11/15/15 (144A) 1,155,000 $1,205,090
Welk Resorts 2013-A LLC, 3.1%, 3/15/29 (144A) 750,000 $664,675
Wells Fargo & Co., 1.25%, 7/20/16 500,000 $507,112
Wells Fargo & Co., 1.5%, 7/1/15 1,050,000 $1,069,717
Wells Fargo & Co., Floating Rate Note, 4/23/18 575,000 $580,926
Wells Fargo & Co., Floating Rate Note, 6/26/15 585,000 $590,225
Wells Fargo Alternative Loan 2005-2 Trust, Floating Rate Note, 10/25/35 453,135 $448,655
Wells Fargo Bank NA, Floating Rate Note, 5/16/16 250,000 $249,558
Wells Fargo Commercial Mortgage Trust 2014-TISH, Floating Rate Note, 2/15/27 (144A) 690,000 $691,880
Wells Fargo Home Equity Asset-Backed Securities 2005-3 Trust, Floating Rate Note, 12/25/35 200,000 $73,200
Wells Fargo Mortgage Backed Securities 2005-AR6 Trust, Floating Rate Note, 4/25/35 3,371,000 $271,192
Wells Fargo Mortgage Backed Securities 2006-16 Trust, 5.0%, 11/25/36 550,000 $35,200
Wells Fargo Mortgage Backed Securities Trust, Floating Rate Note, 8/25/34 3,105,000 $198,815
Wesco Aircraft Hardware Corp., Tranche B Term Loan, 2/24/21 866,250 $863,976
WESCO Distribution, Inc., Tranche B-1 Loan, 12/12/19 61,163 $61,292
Westgate Resorts 2012-2 LLC, 3.0%, 1/20/25 (144A) 350,000 $154,760
Westgate Resorts 2012-A LLC, 2.25%, 8/20/25 (144A) 1,490,000 $985,242
Westgate Resorts 2012-A LLC, 3.75%, 8/20/25 (144A) 403,000 $269,602
Westgate Resorts LLC, 2.5%, 3/20/25 (144A) 250,000 $131,534
Westlake Automobile Receivables Trust 2013-1, 1.12%, 1/15/18 (144A) 150,000 $144,657
Westpac Banking Corp., 4.2%, 2/27/15 500,000 $519,994
Westpac Banking Corp., Floating Rate Note, 5/19/17 1,000,000 $1,000,628
Westwood CDO II, Ltd., Floating Rate Note, 4/25/22 (144A) 500,000 $461,031
Williams Partners LP, 3.8%, 2/15/15 750,000 $775,193
WMC Mortgage Loan Trust 1998-B, Floating Rate Note, 10/20/29 8,000,000 $236,067
Wm Wrigley Jr Co., 2.0%, 10/20/17 (144A) 1,000,000 $1,018,618
World Financial Network Credit Card Master Trust, Floating Rate Note, 2/15/19 950,000 $951,464
WR Grace & Co., Delayed Draw Term Loan, 1/23/21 72,296 $72,242
WR Grace & Co., U.S. Term Loan, 1/23/21 201,924 $201,772
ZIGGO BV, (USD) TLB3, 1/15/22 476,177 $470,947
Ziggo Bv 1st Lien Tl-B1 L + 2.75% 15jan22 449,291 $444,357
Ziggo Bv 1st Lien Tl-B2 L + 2.75% 15jan22 289,532 $286,352
Zoetis, Inc., 1.15%, 2/1/16 500,000 $505,536

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

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