Pioneer Short Term Income Fund

Top 10 Portfolio Holdings as of 11/28/2014
Default: sorted by market value

Security Name Par / Shares Market Value
321 Henderson Receivables I LLC, Floating Rate Note, 6/15/41 (144A) 2,000,000 $701,302
77 Energy 1st Lien Tl-B L + 3% 17jun21 349,125 $336,251
A10 Securitization 2013-1 LLC, 2.4%, 11/17/25 (144A) 642,000 $342,539
A10 Term Asset Financing 2013-2 LLC, 2.62%, 11/15/27 (144A) 1,085,000 $1,092,409
Abbey National Treasury Services Plc London, Floating Rate Note, 9/29/17 750,000 $750,004
ABN AMRO Bank NV, 1.375%, 1/22/16 (144A) 500,000 $505,604
ABN AMRO Bank NV, Floating Rate Note, 10/28/16 (144A) 750,000 $756,387
ACA CLO 2006-2, Ltd., Floating Rate Note, 1/20/21 (144A) 500,000 $492,517
ACAS CLO 2007-1, Ltd., Floating Rate Note, 4/20/21 500,000 $400,910
Accredited Mortgage Loan Trust 2005-2, Floating Rate Note, 7/25/35 240,000 $235,190
ACE Securities Corp Manufactured Housing Trust Series 2003-MH1, Floating Rate Note, 8/15/30 (144A) 425,000 $50,557
ACIS CLO 2014-4, Ltd., Floating Rate Note, 5/1/26 (144A) 700,000 $698,916
ACRE Commercial Mortgage Trust 2014-FL2, Floating Rate Note, 8/15/31 (144A) 700,000 $700,437
Activision Blizzard, Inc., Term Loan, 7/26/20 650,000 $651,581
Adjustable Rate Mortgage Trust 2005-2, Floating Rate Note, 6/25/35 345,151 $261,346
Adjustable Rate Mortgage Trust 2005-5, Floating Rate Note, 9/25/35 3,300,000 $283,944
Aecom Technology Corp 1st Lien Tl-B L + 3% 17sep21 319,903 $321,036
Aegis Asset Backed Securities Trust 2005-5, Floating Rate Note, 12/25/35 1,000,000 $247,885
Aegis Asset Backed Securities Trust Mortgage Pass-Through Ctfs Ser 2005-4, Floating Rate Note, 10/25 239,000 $123,417
Aegis Asset Backed Securities Trust Mortgage Pass- Through Ctfs Series 2004-3, Floating Rate Note, 9 12,500,000 $467,897
Aegis Asset Backed Securities Trust Mortgage Pass- Through Ctfs Series 2004-3, Floating Rate Note, 9 881,754 $153,119
Aflac, Inc., 3.45%, 8/15/15 500,000 $515,076
Aircastle, Ltd., 6.75%, 4/15/17 1,100,000 $1,189,238
Alamo Re, Ltd., Floating Rate Note, 6/7/17 (Cat Bond) (144A) 250,000 $264,720
Albertsons LLC, Term B-2 Loan, 3/21/19 646,754 $646,916
Alliant Techsystems, Inc., Term B Loan, 10/22/20 198,251 $197,879
Ally Auto Receivables Trust 2010-5, 2.45%, 6/15/16 (144A) 150,000 $150,293
Ally Auto Receivables Trust 2014-SN1, Floating Rate Note, 10/20/16 500,000 $424,768
Altera Corp., 2.5%, 11/15/18 500,000 $505,222
Alterna Funding I LLC, 1.639%, 2/15/21 (144A) 400,000 $356,790
Alternative Loan Trust 2003-14T1, Floating Rate Note, 8/25/18 3,200,000 $127,028
Alternative Loan Trust 2003-J1, 4.75%, 10/25/33 4,300,000 $189,416
Alternative Loan Trust 2004-4CB, 4.25%, 4/25/34 4,541,000 $158,818
Alternative Loan Trust 2004-6CB, Floating Rate Note, 4/25/34 4,500,000 $318,696
Altria Group, Inc., 4.125%, 9/11/15 310,000 $321,141
Altrl Zero% 30jun16 350,000 $388,220
AMC Entertainment, Inc., Initial Term Loan, 4/30/20 247,487 $245,724
America Movil SAB de CV, Floating Rate Note, 9/12/16 1,000,000 $1,009,607
American Airlines Inc 1st Lien Tl-B L + 3.5% 08oct21 750,000 $751,605
American Credit Acceptance Receivables Trust, 1.64%, 11/15/16 (144A) 378,000 $41,496
American Credit Acceptance Receivables Trust 2013-1, 1.45%, 4/16/18 (144A) 41,000 $11,566
American Credit Acceptance Receivables Trust 2013-2, 1.32%, 2/15/17 (144A) 280,000 $70,135
American Credit Acceptance Receivables Trust 2014-1, 1.14%, 3/12/18 (144A) 520,000 $236,219
American Credit Acceptance Receivables Trust 2014-2, 0.99%, 10/10/17 (144A) 500,000 $309,735
American Credit Acceptance Receivables Trust 2014-3, 0.99%, 8/10/18 (144A) 410,000 $339,913
American Electric Power Co, Inc., 1.65%, 12/15/17 500,000 $506,282
American Express Credit Account Secured Note Trust 2012-4, Floating Rate Note, 5/15/20 (144A) 760,000 $764,502
American Express Credit Corp., 1.3%, 7/29/16 500,000 $505,250
American Express Credit Corp., 1.75%, 6/12/15 750,000 $761,336
American Express Credit Corp., Floating Rate Note, 6/12/15 200,000 $201,664
American Express Credit Corp., Floating Rate Note, 9/22/17 1,000,000 $999,075
American Home Mortgage Investment Trust 2004-3, 5.01%, 10/25/34 (Step) 4,000,000 $135,730
American Home Mortgage Investment Trust 2005-1, Floating Rate Note, 6/25/45 1,500,000 $193,365
American Homes 4 Rent 2014-SFR1, Floating Rate Note, 6/19/31 (144A) 665,000 $649,989
American Honda Finance Corp., 1.125%, 10/7/16 500,000 $504,979
American Honda Finance Corp., 1.2%, 7/14/17 750,000 $753,931
American Honda Finance Corp., Floating Rate Note, 5/26/16 (144A) 1,675,000 $1,681,694
AmeriCredit Automobile Receivables Trust 2010-4, 6.4%, 4/9/18 (144A) 100,000 $101,048
AmeriCredit Automobile Receivables Trust 2011-3, 4.04%, 7/10/17 100,000 $102,315
AmeriCredit Automobile Receivables Trust 2011-5, 2.45%, 12/8/16 500,000 $296,161
AmeriCredit Automobile Receivables Trust 2012-4, 3.82%, 2/10/20 (144A) 500,000 $516,338
AmeriCredit Automobile Receivables Trust 2013-1, 1.57%, 1/8/19 150,000 $150,164
AmeriCredit Automobile Receivables Trust 2013-4, 0.74%, 11/8/16 500,000 $163,483
AmeriCredit Automobile Receivables Trust 2013-4, 3.31%, 10/8/19 500,000 $511,891
AmeriCredit Automobile Receivables Trust 2014-2, Floating Rate Note, 10/10/17 380,000 $379,905
Ameriquest Mortgage Securities Inc Asset-Backed Pass-Through Ctfs Ser 2005-R1, Floating Rate Note, 3 592,188 $313,717
Ameriquest Mortgage Securities Inc Asset Backed Pass-Through Ctfs Ser 2005-R11, Floating Rate Note, 962,222 $633,695
Ameriquest Mortgage Securities Inc Asset-Backed Pass-Through Ctfs Ser 2005-R6, Floating Rate Note, 8 2,840,000 $13,627
Ameriquest Mortgage Securities Inc Asset-Backed Pass-Through Ctfs Ser 2005-R9, 4.91174%, 11/25/35 (S 590,000 $491,631
Ameriquest Mort Sec Inc Asset Backed Pass Thr Cert 03 AR3, Floating Rate Note, 6/25/33 155,851 $85,429
Amgen, Inc., 2.5%, 11/15/16 500,000 $513,798
AMRESCO Residential Securities Corp Mortgage Loan Trust 1997-3, Floating Rate Note, 9/25/27 8,940,000 $198,258
Anheuser-Busch Companies LLC, 5.0%, 1/15/15 225,000 $230,207
Anheuser-Busch InBev Finance, Inc., Floating Rate Note, 1/27/17 500,000 $500,097
Anheuser-Busch InBev Worldwide, Inc., 4.125%, 1/15/15 580,000 $591,620
ANZ New Zealand Int'l, Ltd. London, 1.125%, 3/24/16 (144A) 1,000,000 $1,007,746
Apple, Inc., Floating Rate Note, 5/3/16 400,000 $399,998
ARI Fleet Lease Trust 2012-A, Floating Rate Note, 3/15/20 (144A) 810,000 $152,656
Arlington Flt% 01aug15 250,000 $267,200
Armor Re, Ltd., Floating Rate Note, 12/15/16 (Cat Bond) (144A) 300,000 $306,420
Arysta Lifescience SPC LLC, Initial Term Loan (First Lien), 5/29/20 703,901 $703,347
Ascentium Equipment Receivables 2012-1 LLC, 1.83%, 9/15/19 (144A) 822,000 $91,391
Ascentium Equipment Receivables 2014-1 LLC, 1.04%, 1/10/17 (144A) 400,000 $400,527
Ascentium Equipment Receivables 2014-1 LLC, 3.1%, 6/10/21 (144A) 700,000 $708,467
ASG Resecuritization Trust 2010-3, Floating Rate Note, 12/29/45 (144A) 1,642,839 $731,321
Asset Backed Securities Corp Home Equity Loan Trust Series 2003-HE1, Floating Rate Note, 1/15/33 3,082,000 $678,175
Asset Backed Securities Corp Home Equity Loan Trust Series 2004-HE6, Floating Rate Note, 9/25/34 7,075,000 $492,210
Asset Backed Securities Corp Home Equity Loan Trust Series 2005-HE3, Floating Rate Note, 4/25/35 159,800 $114,739
Asset Backed Securities Corp Home Equity Loan Trust Series AEG 2006-HE1, Floating Rate Note, 1/25/36 311,384 $56,188
Assurant, Inc., 2.5%, 3/15/18 300,000 $305,161
Atlantic Power LP, Term Loan, 2/20/21 1,227,473 $1,238,213
Atlas IX Capital, Ltd., Floating Rate Note, 1/17/19 (Cat Bond) (144A) 500,000 $508,654
Atlas Reinsurance VII, Ltd., Floating Rate Note, 1/7/16 (Cat Bond) (144A) 250,000 $260,802
Avago Technologies Ltd 1st Lien Tl-B L + 3% 16apr21 394,013 $394,470
AXIS Equipment Finance Receivables II LLC, 3.81%, 12/20/16 400,000 $402,261
AXIS Equipment Finance Receivables II LLC, 4.94%, 7/20/18 (144A) 700,000 $708,824
BAMLL Commercial Mortgage Securities Trust 2014-ICTS, Floating Rate Note, 6/15/28 (144A) 580,000 $579,640
Banc of America Alternative Loan Trust 2003-10, Floating Rate Note, 12/25/33 2,600,000 $139,430
Banc of America Alternative Loan Trust 2004-2, 5.5%, 3/25/19 954,266 $105,458
Banc of America Alternative Loan Trust 2004-4, 5.25%, 5/25/19 1,363,000 $157,456
Banc of America Commercial Mortgage Trust 2006-1, Floating Rate Note, 9/10/45 1,750,000 $1,833,954
Banc of America Commercial Mortgage Trust 2006-1, Floating Rate Note, 9/10/45 1,450,000 $1,506,083
Banc of America Commercial Mortgage Trust 2006-1, Floating Rate Note, 9/10/45 1,000,000 $1,039,615
Banc of America Commercial Mortgage Trust 2006-4 REMICS, 5.634%, 7/10/46 1,960,000 $1,922,935
Banc of America Funding 2003-3 Trust, 5.5%, 10/25/33 617,825 $123,748
Banc of America Funding 2004-B Trust, Floating Rate Note, 12/20/34 6,667,000 $498,795
Banc of America Merrill Lynch Commercial Mortgage, Inc., 4.933%, 7/10/45 800,000 $816,699
Banc of America Merrill Lynch Commercial Mortgage, Inc., Floating Rate Note, 10/10/45 1,370,000 $1,330,294
Banc of America Merrill Lynch Commercial Mortgage, Inc., Floating Rate Note, 9/10/47 1,780,000 $1,671,356
Banc of America Merrill Lynch Commercial Mortgage, Inc. REMICS, Floating Rate Note, 7/10/43 645,000 $408,604
Banc of America Mortgage 2003-F Trust, Floating Rate Note, 7/25/33 5,619,027 $258,823
Banc of America Mortgage 2003-H Trust, Floating Rate Note, 9/25/33 13,410,000 $1,118,935
Banc of America Mortgage 2004-D Trust, Floating Rate Note, 5/25/34 4,920,000 $527,704
Banc of America Mortgage Trust 2004-7, 4.5%, 8/25/19 181,000 $13,295
Banco Nacional de Desenvolvimento Economico e Social, 3.375%, 9/26/16 (144A) 1,000,000 $1,025,594
Bank of America Corp., 1.25%, 1/11/16 575,000 $580,079
Bank of America Corp., 1.35%, 11/21/16 500,000 $501,030
Bank of America Corp., 3.7%, 9/1/15 500,000 $515,842
Bank of America Corp., 4.5%, 4/1/15 210,000 $214,319
Bank of America Corp., Floating Rate Note, 3/22/16 2,000,000 $2,013,731
Bank of America Corp., Floating Rate Note, 8/25/17 408,000 $407,613
Bank of America NA, 1.25%, 2/14/17 500,000 $502,371
Bank of Montreal, 0.8%, 11/6/15 500,000 $501,558
Barclays Bank Plc, Floating Rate Note, 2/17/17 229,000 $229,716
Barclays Dryrock Issuance Trust, Floating Rate Note, 3/16/20 500,000 $500,264
Baxter International, Inc., 0.95%, 6/1/16 500,000 $503,243
Baxter International, Inc., 4.625%, 3/15/15 750,000 $766,493
Bayer US Finance LLC, 1.5%, 10/6/17 (144A) 750,000 $754,731
Bayview Commercial Asset Trust 2004-1, Floating Rate Note, 4/25/34 (144A) 4,150,000 $408,705
Bayview Commercial Asset Trust 2004-3, Floating Rate Note, 1/25/35 (144A) 4,600,000 $701,850
Bayview Commercial Asset Trust 2007-2, 0.0%, 7/27/37 (Step) (144A) 4,500,000 $0
Bayview Commercial Asset Trust 2007-4, 3.507978%, 9/25/37 (Step) (144A) 3,000,000 $76,222
Bayview Financial Acquisition Trust, Floating Rate Note, 5/28/44 7,600,000 $92,656
Bayview Financial Asset Trust 2003-A, Floating Rate Note, 2/25/33 (144A) 7,852,000 $222,403
Bayview Financial Mortgage Pass-Through Trust 2005-C, Floating Rate Note, 6/28/44 1,650,000 $1,640,179
Bayview Financial Mortgage Pass-Through Trust 2006-A, Floating Rate Note, 2/28/41 1,639,000 $120,892
Bayview Financial Mortgage Pass-Through Trust 2006-B, Floating Rate Note, 4/28/36 1,207,803 $263,733
Bayview Financial Mortgage Pass-Through Trust 2006-B, Floating Rate Note, 4/28/36 603,000 $36,939
Bayview Financial Mortgage Pass-Through Trust Series 2005-B, Floating Rate Note, 4/28/39 425,000 $416,754
Bayview Opportunity Master Fund IIa Trust 2012-4NPL, 3.9496%, 1/30/34 (Step) (144A) 695,000 $394,630
Bayview Opportunity Master Fund IIa Trust 2014-20NPL, Floating Rate Note, 8/28/44 (144A) 420,000 $386,769
Bayview Opportunity Master Fund Trust IIIa 2014-12RPL, 3.6225%, 7/28/19 (Step) (144A) 465,000 $344,870
BB&T Corp., 1.6%, 8/15/17 103,000 $103,927
Bbb Industries Llc 1st Lien Tl L + 5% 20oct21 533,333 $530,667
BCAP LLC 2009-RR13-I Trust, Floating Rate Note, 9/26/35 (144A) 2,765,000 $673,180
BCAP LLC 2013-RR3 Trust, Floating Rate Note, 5/28/36 (144A) 500,000 $369,565
BCAP LLC 2013-RR7 Trust, Floating Rate Note, 12/27/34 420,000 $367,082
BCMSC Trust 1998-A, 6.65%, 4/15/28 2,750,000 $59,154
Bear Stearns ALT-A Trust 2004-11, Floating Rate Note, 11/25/34 7,155,000 $382,218
Bear Stearns ALT-A Trust 2004-12, Floating Rate Note, 1/25/35 3,280,000 $360,681
Bear Stearns ALT-A Trust 2004-12, Floating Rate Note, 1/25/35 8,440,000 $1,070,136
Bear Stearns ALT-A Trust 2004-12, Floating Rate Note, 1/25/35 4,956,000 $631,354
Bear Stearns ALT-A Trust 2004-12, Floating Rate Note, 1/25/35 9,210,000 $1,084,647
Bear Stearns ALT-A Trust 2004-13, Floating Rate Note, 11/25/34 1,905,000 $98,565
Bear Stearns ALT-A Trust 2004-4, Floating Rate Note, 6/25/34 10,699,000 $859,698
Bear Stearns ARM Trust 2003-3, Floating Rate Note, 5/25/33 9,158,341 $268,568
Bear Stearns ARM Trust 2004-10 REMICS, Floating Rate Note, 1/25/35 720,000 $107,089
Bear Stearns ARM Trust 2004-3, Floating Rate Note, 7/25/34 2,481,203 $90,746
Bear Stearns Asset Backed Securities I Trust 2005-FR1, Floating Rate Note, 6/25/35 1,526,722 $541,615
Bear Stearns Asset Backed Securities I Trust 2005-HE6, Floating Rate Note, 6/25/35 1,350,000 $28,803
Bear Stearns Asset Backed Securities Trust, Floating Rate Note, 2/25/35 5,848,300 $201,915
Bear Stearns Asset Backed Securities Trust 2004-2, Floating Rate Note, 8/25/34 389,000 $69,566
Bear Stearns Asset Backed Securities Trust 2006-SD2, Floating Rate Note, 6/25/36 412,000 $222,144
Bear Stearns Commercial Mortgage Securities Trust 2005-PWR10, Floating Rate Note, 12/11/40 1,240,000 $1,050,134
Bear Stearns Commercial Mortgage Securities Trust 2005-PWR7, Floating Rate Note, 2/11/41 550,000 $553,309
Bear Stearns Commercial Mortgage Securities Trust 2005-PWR8, 4.75%, 6/11/41 415,000 $423,327
Bear Stearns Commercial Mortgage Securities Trust 2005-PWR9, 4.871%, 9/11/42 2,280,000 $1,864,216
Bear Stearns Commercial Mortgage Securities Trust 2005-PWR9, Floating Rate Note, 9/11/42 1,160,000 $1,193,631
Bear Stearns Commercial Mortgage Securities Trust 2005-TOP18, Floating Rate Note, 2/13/42 1,150,000 $472,666
Bear Stearns Commercial Mortgage Securities Trust 2005-TOP20, Floating Rate Note, 10/12/42 1,905,000 $1,952,295
Bear Stearns Commercial Mortgage Securities Trust 2006-PWR14, 5.171%, 12/11/38 790,000 $274,842
Bear Stearns Commercial Mortgage Securities Trust 2006-TOP22, Floating Rate Note, 4/12/38 1,150,000 $1,141,008
Bear Stearns Mortgage Securities, Inc., Floating Rate Note, 6/25/30 731,690 $119,289
Bear Stearns Structured Products Trust 2007-EMX1, Floating Rate Note, 3/25/37 (144A) 1,130,000 $224,151
Belden Finance 2013 LP, Initial Term Loan, 9/9/20 247,500 $246,572
Bella Vista Mortgage Trust 2004-1, Floating Rate Note, 11/20/34 12,618,000 $351,872
Berkshire Hathaway Finance Corp., Floating Rate Note, 1/10/17 1,000,000 $999,925
Berkshire Hathaway Finance Corp., Floating Rate Note, 8/14/17 1,000,000 $998,179
BHP Billiton Finance USA, Ltd., Floating Rate Note, 9/30/16 500,000 $500,240
BLCP Hotel Trust 2014-CLRN, Floating Rate Note, 8/15/29 (144A) 1,610,000 $1,611,817
Blue Danube, Ltd., Floating Rate Note, 4/10/15 (Cat Bond) (144A) 650,000 $678,557
Blue Danube II, Ltd., Floating Rate Note, 5/23/18 (Cat Bond) (144A) 500,000 $508,225
Boca Hotel Portfolio Trust 2013-BOCA, Floating Rate Note, 8/17/26 (144A) 430,000 $430,475
Bosphorus Re, Ltd., Floating Rate Note, 5/3/16 (Cat Bond) (144A) 250,000 $251,160
Boston Scientific Corp., 2.65%, 10/1/18 500,000 $506,899
BPCE SA, Floating Rate Note, 4/25/16 550,000 $557,818
Branch Banking & Trust Co., 1.35%, 10/1/17 500,000 $503,790
Branch Banking & Trust Co., 2.3%, 10/15/18 500,000 $510,359
Branch Banking & Trust Co., Floating Rate Note, 5/23/17 250,000 $248,463
Branch Banking & Trust Co., Floating Rate Note, 9/13/16 500,000 $499,544
Bright Horizons Family Solutions, Inc., Term B Loan, 1/30/20 396,977 $394,397
British Telecommunications Plc, 2.0%, 6/22/15 1,004,000 $1,020,261
Burger King Corp 1st Lien Tl-B L + 3.5% 25sep21 700,000 $702,685
Bush Truck Leasing LLC, 5.0%, 9/25/18 (144A) 100,000 $3,710
Bway Holding Co 1st Lien Tl-B L + 4.5% 08aug20 99,750 $100,186
Caelus Re, Ltd., Floating Rate Note, 3/7/16 (Cat Bond) (144A) 500,000 $514,921
Caelus Re 2013, Ltd., Floating Rate Note, 4/7/20 (Cat Bond) (144A) 750,000 $798,673
California Republic Auto Receivables Trust 2012-1, 1.18%, 8/15/17 (144A) 329,000 $82,408
Calpine Construction Finance Co LP, Term B-2 Loan, 1/3/22 669,927 $657,889
CAM Mortgage Trust 2014-2, 2.6%, 12/15/53 (Step) (144A) 610,000 $342,662
Canadian Natural Resources, Ltd., Floating Rate Note, 3/30/16 277,000 $277,491
Capital Auto Receivables Asset Trust/ Ally, 1.74%, 10/22/18 413,000 $414,419
Capital Auto Receivables Asset Trust/ Ally, 2.19%, 9/20/21 125,000 $125,401
Capital Auto Receivables Asset Trust 2013-3, Floating Rate Note, 11/20/15 250,000 $111,864
Capital One Financial Corp., 1.0%, 11/6/15 475,000 $476,292
Capital One Financial Corp., 2.15%, 3/23/15 1,500,000 $1,513,434
Capital One Multi-Asset Execution Trust, Floating Rate Note, 2/15/19 300,000 $300,027
Capital One NA, Floating Rate Note, 3/22/16 700,000 $702,373
Cardinal Health, Inc., 4.0%, 6/15/15 500,000 $519,418
CareFusion Corp., 1.45%, 5/15/17 750,000 $745,030
CarMax Auto Owner Trust 2012-1, 0.89%, 9/15/16 745,000 $194,781
CarMax Auto Owner Trust 2013-3, 2.15%, 5/15/19 540,000 $545,558
Carrington Mortgage Loan Trust Series 2005-NC1, Floating Rate Note, 2/26/35 3,586,373 $796,550
Carrington Mortgage Loan Trust Series 2006-OPT1, Floating Rate Note, 12/25/35 5,047,000 $1,031,645
Castle Garden Funding, Floating Rate Note, 10/27/20 (144A) 2,000,000 $329,731
Caterpillar Financial Services Corp., 1.0%, 11/25/16 1,000,000 $1,004,222
Caterpillar Financial Services Corp., 1.35%, 9/6/16 1,125,000 $1,139,997
CD 2005-CD1 Commercial Mortgage Trust, Floating Rate Note, 7/15/44 940,000 $909,811
CD 2006-CD2 Mortgage Trust, Floating Rate Note, 1/15/46 2,084,000 $2,162,115
CDC Mortgage Capital Trust 2002-HE1, Floating Rate Note, 1/25/33 19,484,513 $375,579
CDGJ Commercial Mortgage Trust 2014-BXCH, Floating Rate Note, 12/15/16 (144A) 1,340,000 $1,340,000
Cendant Mortgage Corp., 6.25%, 3/25/32 (144A) 4,100,000 $518,114
Cent CLO 16 LP, 2.52%, 8/1/24 (144A) 1,000,000 $997,425
Centerpoint Energy Transition Bond Co II LLC, 5.17%, 8/1/19 720,000 $666,537
Centex Home Equity Loan Trust 2005-B, 4.893%, 3/25/33 (Step) 3,300,000 $566,151
CeramTec Acquisition Corp., Initial Dollar Term B-2 Loan, 8/30/20 20,850 $20,837
CeramTec GmbH, Dollar Term B-3 Loan, 8/30/20 62,826 $62,787
CeramTec Service GmbH, Initial Dollar Term B-1 Loan, 8/30/20 210,174 $210,043
CGBAM Commercial Mortgage Trust 2014-HD, Floating Rate Note, 2/18/31 (144A) 310,000 $309,865
CG-CCRE Commercial Mortgage Trust 2014-FL1, Floating Rate Note, 6/16/31 (144A) 1,630,000 $1,628,039
CGWF Commercial Mortgage Trust 2013-RKWH REMICS, Floating Rate Note, 11/15/30 (144A) 1,720,000 $1,725,200
Charter Communications 1st Lien Tl-B L + 3.5% 12aug21 360,000 $363,009
Chase Funding Trust Series 2003-3, Floating Rate Note, 4/25/33 13,029,694 $128,600
Chase Funding Trust Series 2003-6, 4.277%, 11/27/34 (Step) 1,680,000 $241,434
Chase Issuance Trust, 0.59%, 8/15/17 300,000 $300,285
Chase Issuance Trust, Floating Rate Note, 4/16/18 750,000 $749,834
Chase Issuance Trust, Floating Rate Note, 8/15/17 750,000 $749,569
Chase Mortgage Finance Trust Series 2005-S1, 5.5%, 5/25/35 4,068,000 $80,437
Chesapeake Funding LLC, Floating Rate Note, 3/7/26 750,000 $749,758
Chesapeake Funding LLC, Floating Rate Note, 5/7/24 (144A) 200,000 $115,994
Chesapeake Funding LLC, Floating Rate Note, 5/7/24 (144A) 250,000 $251,832
CHL Mortgage Pass-Through Trust 2004-14, Floating Rate Note, 8/25/34 1,810,000 $232,286
CHL Mortgage Pass-Through Trust 2004-29, Floating Rate Note, 2/25/35 18,992,000 $921,171
Chrysler Group LLC, Term Loan B, 5/24/17 899,775 $896,963
Chrysler Group LLC, Tranche B Term Loan, 12/29/18 597,000 $593,866
CHS, 2017 Term E Loan, 1/25/17 99,625 $99,617
CHS, 2021 Term D Loan, 1/27/21 265,533 $266,488
Ciena Corporation 1st Lien Tl-B L + 3% 08jul19 349,125 $347,816
Cinedigm Digital Funding I LLC, Term Loan, 2/28/18 150,858 $150,858
Citibank Credit Card Issuance Trust, 4.85%, 3/10/17 500,000 $511,710
Citibank Credit Card Issuance Trust, 5.1%, 11/20/17 500,000 $523,054
Citibank Credit Card Issuance Trust, Floating Rate Note, 4/24/17 800,000 $799,354
Citicorp Mortgage Securities REMIC Pass-Through Certificates Trust Series 2005-4, 5.0%, 7/25/20 4,375,000 $160,746
Citicorp Mortgage Securities REMIC Pass-Through Certificates Trust Series 2005-7, 5.0%, 10/25/35 5,635,000 $383,096
Citigroup, Inc., 1.3%, 4/1/16 500,000 $503,036
Citigroup, Inc., Floating Rate Note, 11/15/16 750,000 $752,852
Citigroup, Inc., Floating Rate Note, 4/1/16 500,000 $503,327
Citigroup, Inc., Floating Rate Note, 7/25/16 750,000 $756,654
Citigroup Commercial Mortgage Trust 2005-C3, 4.86%, 5/15/43 2,310,000 $1,112,046
Citigroup Commercial Mortgage Trust 2007-FL3, Floating Rate Note, 4/15/22 (144A) 580,444 $577,234
Citigroup Mortgage Loan Trust, Inc., 7.0%, 11/25/19 7,340,000 $86,300
Citigroup Mortgage Loan Trust, Inc., Floating Rate Note, 10/25/35 1,471,464 $15,043
Citigroup Mortgage Loan Trust, Inc., Floating Rate Note, 11/25/34 900,000 $57,926
Citigroup Mortgage Loan Trust, Inc., Floating Rate Note, 3/26/35 1,750,000 $156,807
Citigroup Mortgage Loan Trust, Inc., Floating Rate Note, 5/25/35 (144A) 429,900 $416,762
Citigroup Mortgage Loan Trust 2006-SHL1, Floating Rate Note, 11/25/46 (144A) 4,965,000 $544,972
Citigroup Mortgage Loan Trust 2010-4 REMICS, 5.0%, 10/25/35 (144A) 2,735,000 $800,225
Citigroup Mortgage Loan Trust 2010-7 REMICS, Floating Rate Note, 9/25/37 (144A) 1,905,250 $370,784
Citrus Re, Ltd., Floating Rate Note, 4/18/17 (Cat Bond) (144A) 250,000 $253,128
Citrus Re, Ltd., Floating Rate Note, 4/24/17 (Cat Bond) (144A) 600,000 $605,993
City of Pittsburgh Pennsylvania, 0.87%, 9/1/16 500,000 $499,428
CNA Financial Corp., 5.85%, 12/15/14 737,000 $758,181
CNH Equipment Trust 2012-C, 0.57%, 12/15/17 75,000 $41,763
CNH Equipment Trust 2013-A, 0.69%, 6/15/18 450,000 $450,038
CNH Wholesale Master Note Trust, Floating Rate Note, 8/15/19 (144A) 525,000 $526,334
CNL Commercial Mortgage Loan Trust 2002-1, Floating Rate Note, 10/25/28 (144A) 8,975,000 $282,849
CNL Commercial Mortgage Loan Trust 2003-1, Floating Rate Note, 5/15/31 (144A) 5,443,000 $441,158
CNL Commercial Mortgage Loan Trust 2003-2, Floating Rate Note, 10/25/30 (144A) 1,000,000 $88,834
Coca-Cola Enterprises, Inc., 2.125%, 9/15/15 189,000 $192,166
Collateralized Mortgage Obligation Trust 44, Floating Rate Note, 7/1/18 13,590,000 $46,252
Colony American Homes 2014-1, Floating Rate Note, 5/19/31 (144A) 700,000 $674,714
Colony American Homes 2014-2, Floating Rate Note, 7/19/31 (144A) 600,000 $579,787
Combine Re, Ltd., Floating Rate Note, 1/7/15 (Cat Bond) (144A) 2,000,000 $2,017,400
Combine Re, Ltd., Floating Rate Note, 1/7/15 (Cat Bond) (144A) 400,000 $408,982
COMM 2005-C6 Mortgage Trust, Floating Rate Note, 6/10/44 1,880,000 $1,923,465
COMM 2005-C6 Mortgage Trust, Floating Rate Note, 6/10/44 770,000 $740,057
COMM 2007-FL14 Mortgage Trust, Floating Rate Note, 6/15/22 (144A) 2,937,000 $608,350
COMM 2011-FL1 Mortgage Trust, Floating Rate Note, 7/19/28 (144A) 200,000 $64,603
COMM 2013-FL3 Mortgage Trust, Floating Rate Note, 10/13/28 (144A) 1,000,000 $800,710
COMM 2014-KYO Mortgage Trust, Floating Rate Note, 6/11/27 (144A) 1,630,000 $1,630,360
COMM 2014-PAT Mortgage Trust, Floating Rate Note, 8/13/27 (144A) 820,000 $820,739
COMM 2014-SAVA Mortgage Trust, Floating Rate Note, 6/15/34 (144A) 1,110,000 $1,107,057
COMM 2014-TWC Mortgage Trust, Floating Rate Note, 2/13/32 (144A) 1,850,000 $1,847,244
Commercial Mortgage Pass Through Certificates, Floating Rate Note, 11/19/26 (144A) 600,000 $237,335
Commercial Mortgage Trust 2005-GG3, Floating Rate Note, 8/10/42 1,000,000 $1,007,781
Commercial Mortgage Trust 2005-GG5, Floating Rate Note, 4/10/37 2,075,000 $2,145,808
Commonwealth Bank of Australia, Floating Rate Note, 3/13/17 (144A) 650,000 $651,854
Commonwealth Bank of Australia, Floating Rate Note, 9/18/15 (144A) 460,000 $463,737
Commonwealth Bank of Australia, Floating Rate Note, 9/8/17 (144A) 750,000 $750,469
Commonwealth Edison Co., 1.95%, 9/1/16 500,000 $512,088
Compass Re, Ltd., Floating Rate Note, 1/8/15 (Cat Bond) (144A) 375,000 $384,663
ConocoPhillips Co., 1.05%, 12/15/17 1,000,000 $993,533
Conseco Finance Corp., 7.55%, 4/15/32 (Step) 2,740,000 $202,812
Conseco Finance Home Equity Loan Trust 2002-C, Floating Rate Note, 4/15/32 2,875,000 $796,683
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA New York, Floating Rate Note, 3/18/16 500,000 $502,798
Costco Wholesale Corp., 1.125%, 12/15/17 740,000 $741,481
Countrywide Asset-Backed Certificates, Floating Rate Note, 1/25/36 330,000 $16,278
Countrywide Asset-Backed Certificates, Floating Rate Note, 10/25/34 984,000 $203,096
Countrywide Asset-Backed Certificates, Floating Rate Note, 11/25/35 2,175,000 $80,689
Countrywide Asset-Backed Certificates, Floating Rate Note, 12/25/35 1,814,000 $353,751
Countrywide Asset-Backed Certificates, Floating Rate Note, 3/25/35 1,300,000 $381,124
Countrywide Asset-Backed Certificates, Floating Rate Note, 5/25/35 1,600,000 $92,388
Countrywide Asset-Backed Certificates, Floating Rate Note, 6/25/33 (144A) 900,000 $865,752
Countrywide Asset-Backed Certificates, Floating Rate Note, 9/25/34 (144A) 8,600,000 $499,735
Covidien International Finance SA, 1.35%, 5/29/15 750,000 $757,988
CPS Auto Receivables Trust 2013-A, 1.89%, 6/15/20 (144A) 690,000 $398,268
CPS Auto Receivables Trust 2013-B, 1.82%, 9/15/20 (144A) 157,000 $84,001
CPS Auto Receivables Trust 2014-A, 1.21%, 8/15/18 200,000 $149,444
Credit Acceptance Auto Loan Trust 2012-2, 1.52%, 3/16/20 (144A) 400,000 $312,454
Credit Acceptance Auto Loan Trust 2013-2, 1.5%, 4/15/21 (144A) 1,000,000 $1,004,221
Credit Acceptance Auto Loan Trust 2014-2, 2.67%, 9/15/22 (144A) 1,000,000 $1,008,990
Credit Suisse Commercial Mortgage Trust Series 2006-C2 REMICS, Floating Rate Note, 3/15/39 1,970,000 $1,990,971
Credit Suisse Commercial Mortgage Trust Series 2007-C1, 5.361%, 2/15/40 1,300,000 $953,666
Credit Suisse First Boston Mortgage Securities Corp., 4.686%, 7/15/37 890,000 $799,848
Credit Suisse First Boston Mortgage Securities Corp., 4.832%, 4/15/37 1,080,143 $1,059,632
Credit Suisse First Boston Mortgage Securities Corp., 4.877%, 4/15/37 500,000 $504,463
Credit Suisse First Boston Mortgage Securities Corp., 5.25%, 10/25/19 1,196,000 $52,720
Credit Suisse First Boston Mortgage Securities Corp., 5.5%, 6/25/33 200,000 $41,557
Credit Suisse First Boston Mortgage Securities Corp., 7.5%, 5/25/32 15,000,000 $320,994
Credit Suisse First Boston Mortgage Securities Corp., Floating Rate Note, 11/25/33 1,400,000 $72,834
Credit Suisse First Boston Mortgage Securities Corp., Floating Rate Note, 12/17/40 2,730,000 $1,918,136
Credit Suisse First Boston Mortgage Securities Corp., Floating Rate Note, 12/25/33 700,000 $12,835
Credit Suisse First Boston Mortgage Securities Corp., Floating Rate Note, 2/15/38 855,000 $137,117
Credit Suisse First Boston Mortgage Securities Corp., Floating Rate Note, 7/25/35 2,850,000 $320,802
Credit Suisse First Boston Mortgage Securities Corp., Floating Rate Note, 8/15/38 1,900,440 $1,355,842
Credit Suisse Mortgage Capital Certificates REMICS, Floating Rate Note, 7/27/36 (144A) 3,494,698 $730,716
Cronos Containers Program I, Ltd., 3.81%, 9/18/27 (144A) 500,000 $392,459
Crown Americas Llc 1st Lien Tl-B L + 3.25% 20oct21 350,000 $352,030
Crown Castle Towers LLC, 3.214%, 8/15/15 (144A) 500,000 $509,753
Crowne Group Llc 1st Lien Tl-B L + 5% 29sep20 300,000 $297,000
CSMC Series 2014-ICE, Floating Rate Note, 4/15/27 (144A) 1,950,000 $1,950,845
CSMC Trust 2010-16, Floating Rate Note, 6/25/50 (144A) 600,000 $122,585
CSMC Trust 2014-SURF, Floating Rate Note, 2/15/29 (144A) 700,000 $701,207
CWABS Asset-Backed Certificates Trust 2005-1, Floating Rate Note, 2/25/33 244,000 $41,169
CWABS Asset-Backed Certificates Trust 2005-1, Floating Rate Note, 6/25/35 1,554,000 $42,746
CWABS Inc Asset-Backed Certificates Trust 2004-6, Floating Rate Note, 11/25/34 4,839,000 $152,726
CWABS Inc Asset-Backed Certificates Trust 2004-6, Floating Rate Note, 11/25/34 4,100,000 $209,934
Daimler Finance North America LLC, 1.45%, 8/1/16 (144A) 1,000,000 $1,012,093
Daimler Finance North America LLC, 1.65%, 4/10/15 (144A) 965,000 $971,012
Daimler Finance North America LLC, Floating Rate Note, 3/10/17 (144A) 750,000 $751,673
Daimler Finance North America LLC, Floating Rate Note, 8/1/17 (144A) 617,000 $616,456
Darling Ingredients, Inc., Term B USD Loan, 12/19/20 522,375 $520,899
Dartmouth Zero% 31dec14 700,000 $697,340
Del Coronado Trust 2013-DEL, Floating Rate Note, 3/16/26 (144A) 399,000 $398,750
Del Coronado Trust 2013-DEL, Floating Rate Note, 3/16/26 (144A) 300,000 $300,124
Dell Equipment Finance Trust 2014-1, 2.68%, 6/22/20 (144A) 750,000 $754,855
DELOS FINANCE SARL, Loan, 2/27/21 425,000 $425,266
Delta Air Lines, Inc., 2014 Term B-1 Loan, 10/18/18 99,242 $98,179
Diamond Resorts Owner Trust 2013-2, 2.62%, 5/20/26 (144A) 750,000 $459,606
Digital Realty Trust LP, 4.5%, 7/15/15 650,000 $670,074
Direct Capital Funding V LLC, 1.673%, 12/20/17 (144A) 175,000 $30,753
Direct Capital Funding V LLC, 4.83%, 11/20/20 (144A) 750,000 $766,195
Discover Card Execution Note Trust, 0.81%, 8/15/17 500,000 $500,625
Discover Card Execution Note Trust, Floating Rate Note, 10/15/18 600,000 $599,659
Discovery Communications LLC, 3.7%, 6/1/15 750,000 $775,213
Drug Royalty II LP 2, Floating Rate Note, 7/15/23 (144A) 350,000 $336,078
DT Auto Owner Trust 2013-1, 1.67%, 2/15/19 (144A) 629,000 $352,391
Dubai Electricity & Water Authority, 8.5%, 4/22/15 (144A) 1,375,000 $1,427,564
Duke Energy Carolinas LLC, 1.75%, 12/15/16 750,000 $770,272
Duke Energy Florida, Inc., 0.65%, 11/15/15 500,000 $500,840
Duke Energy Indiana, Inc., Floating Rate Note, 7/11/16 303,000 $303,938
Duke Energy Progress, Inc., Floating Rate Note, 3/6/17 411,000 $411,139
East Lane Re, Ltd., Floating Rate Note, 3/13/15 (Cat Bond) (144A) 500,000 $513,112
East Lane Re VI, Ltd., Floating Rate Note, 3/14/18 (Cat Bond) (144A) 500,000 $502,097
Eco Services Operations Llc 1st Lien Tl-B L + 3.75% 10oct21 525,000 $526,313
Electricite de France SA, Floating Rate Note, 1/20/17 (144A) 750,000 $752,740
Ellington Loan Acquisition Trust 2007-1, Floating Rate Note, 5/26/37 (144A) 550,000 $499,037
Enbridge, Inc., Floating Rate Note, 10/1/16 500,000 $503,104
Encore Credit Receivables Trust 2005-3, Floating Rate Note, 10/25/35 1,000,000 $274,589
Endo Luxembourg Finance I 1st Lien Tl-B L + 2.5% 05nov20 497,500 $492,992
Energy Transfer Partners LP, 5.95%, 2/1/15 725,000 $745,054
Enterprise Products Operating LLC, 3.2%, 2/1/16 1,000,000 $1,038,426
Enterprise Products Operating LLC, 3.7%, 6/1/15 1,010,000 $1,043,802
EQTY 2014-INNS Mortgage Trust, Floating Rate Note, 5/8/31 (144A) 1,020,000 $1,008,273
EQTY 2014-INNS Mortgage Trust REMICS, Floating Rate Note, 5/8/31 (144A) 540,000 $534,987
Equity One Mortgage Pass-Through Trust 2003-1, Floating Rate Note, 8/25/33 11,389,000 $371,720
Equity One Mortgage Pass-Through Trust 2004-1, Floating Rate Note, 4/25/34 1,840,000 $469,792
Equity One Mortgage Pass-Through Trust 2004-2, Floating Rate Note, 7/25/34 1,925,000 $497,227
Equity One Mortgage Pass-Through Trust 2004-3, Floating Rate Note, 7/25/34 3,011,000 $183,753
Evergreen Skills Lux Sarl, Initial Term Loan (First Lien), 4/23/21 199,500 $197,861
Exeter Automobile Receivables Trust 2014-2, 1.06%, 8/15/18 400,000 $303,922
Export-Import Bank of Korea, 1.25%, 11/20/15 500,000 $502,645
Express Scripts Holding Co., 2.1%, 2/12/15 1,482,000 $1,495,241
Express Scripts Holding Co., 2.25%, 6/15/19 750,000 $757,232
Express Scripts Holding Co., 3.125%, 5/15/16 1,000,000 $1,033,741
Extended Stay America Trust 2013-ESH, 1.2783%, 12/5/31 (144A) 723,000 $719,721
Extended Stay America Trust 2013-ESH, Floating Rate Note, 12/5/31 (144A) 200,000 $200,010
Extended Stay America Trust 2013-ESH, Floating Rate Note, 12/5/31 (144A) 200,000 $200,081
Fannie Mae, 2.0%, 11/1/23 2,236,000 $1,923,982
Fannie Mae, 2.5%, 3/1/28 1,500,000 $1,281,494
Fannie Mae, 2.5%, 6/1/23 526,320 $422,475
Fannie Mae, 3.0%, 10/1/27 2,000,000 $1,346,950
Fannie Mae, 3.0%, 11/1/27 2,000,000 $1,578,692
Fannie Mae, 4.0%, 12/1/19 3,570,319 $745,838
Fannie Mae, 4.5%, 1/1/41 580,000 $290,166
Fannie Mae, 4.5%, 5/1/39 1,350,000 $521,724
Fannie Mae, 4.5%, 5/1/39 2,100,000 $879,524
Fannie Mae, 5.0%, 10/1/41 1,736,000 $808,885
Fannie Mae, 5.0%, 7/1/15 1,000,000 $10,659
Fannie Mae, 5.5%, 12/1/35 1,000,000 $74,816
Fannie Mae, 5.5%, 8/1/37 2,000,000 $379,174
Fannie Mae, 6.0%, 10/1/22 973,454 $297,243
Fannie Mae, 6.0%, 2/1/34 1,400,000 $38,292
Fannie Mae, 6.0%, 4/1/38 483,000 $40,779
Fannie Mae, 6.5%, 4/1/29 9,050,000 $305,241
Fannie Mae, 6.5%, 6/1/16 700,000 $1,807
Fannie Mae, 6.5%, 7/1/32 723,471 $8,626
Fannie Mae, 6.5%, 8/1/17 667,089 $18,329
Fannie Mae, 7.0%, 1/1/36 1,000,000 $31,374
Fannie Mae, 7.0%, 10/1/19 19,053,741 $141,497
Fannie Mae, 7.0%, 7/1/17 3,768,412 $45,320
Fannie Mae, Floating Rate Note, 1/1/25 7,000,000 $57,370
Fannie Mae, Floating Rate Note, 10/1/29 10,892,567 $86,238
Fannie Mae, Floating Rate Note, 10/1/29 4,831,796 $104,363
Fannie Mae, Floating Rate Note, 10/1/36 1,877,185 $315,708
Fannie Mae, Floating Rate Note, 11/1/24 7,000,000 $89,291
Fannie Mae, Floating Rate Note, 11/1/25 700,000 $3,425
Fannie Mae, Floating Rate Note, 11/1/40 9,368,434 $116,153
Fannie Mae, Floating Rate Note, 12/1/28 1,112,489 $52,147
Fannie Mae, Floating Rate Note, 12/1/36 6,500,000 $252,995
Fannie Mae, Floating Rate Note, 2/1/27 4,000,000 $14,293
Fannie Mae, Floating Rate Note, 2/1/33 380,000 $1,383
Fannie Mae, Floating Rate Note, 4/1/28 400,000 $3,274
Fannie Mae, Floating Rate Note, 4/1/29 400,000 $2,864
Fannie Mae, Floating Rate Note, 7/1/36 500,000 $53,656
Fannie Mae Connecticut Avenue Securities, Floating Rate Note, 10/25/23 544,000 $454,760
Fannie Mae Connecticut Avenue Securities, Floating Rate Note, 5/25/24 1,020,000 $904,976
Fannie Mae Connecticut Avenue Securities, Floating Rate Note, 7/25/24 1,540,000 $1,398,954
Fannie Mae Trust 2005-W4, Floating Rate Note, 6/25/45 1,600,000 $251,779
Fannie Mae Whole Loan, Floating Rate Note, 11/25/46 4,252,000 $755,962
FDIC 2010-R1 Trust, 2.184%, 5/25/50 (144A) 2,060,000 $764,406
Federal Home Loan Banks, 2.9%, 4/20/17 1,370,000 $260,782
Federal Home Loan Mortgage Corp., 2.5%, 10/1/27 1,247,958 $989,350
Federal Home Loan Mortgage Corp., 2.75%, 11/15/25 1,000,000 $465,839
Federal Home Loan Mortgage Corp., 3.0%, 1/15/30 893,000 $479,326
Federal Home Loan Mortgage Corp., 3.5%, 8/15/28 500,000 $172,565
Federal Home Loan Mortgage Corp., 4.0%, 1/15/34 5,000,000 $307,113
Federal Home Loan Mortgage Corp., 4.0%, 5/1/24 2,400,000 $247,751
Federal Home Loan Mortgage Corp., 4.0%, 5/15/37 1,753,000 $151,511
Federal Home Loan Mortgage Corp., 4.5%, 7/1/19 1,467,130 $167,792
Federal Home Loan Mortgage Corp., 4.5%, 7/1/19 1,381,464 $194,051
Federal Home Loan Mortgage Corp., 5.0%, 12/1/39 265,000 $120,291
Federal Home Loan Mortgage Corp., 5.0%, 2/1/21 1,000,000 $84,941
Federal Home Loan Mortgage Corp., 5.0%, 4/15/32 3,500,000 $111,371
Federal Home Loan Mortgage Corp., 5.5%, 8/1/23 1,563,938 $60,630
Federal Home Loan Mortgage Corp., 5.75%, 2/15/34 1,034,000 $4,929
Federal Home Loan Mortgage Corp., 6.5%, 7/1/16 2,000,000 $7,724
Federal Home Loan Mortgage Corp., Floating Rate Note, 1/1/28 500,000 $3,180
Federal Home Loan Mortgage Corp., Floating Rate Note, 1/15/33 40,000,000 $1,760,815
Federal Home Loan Mortgage Corp., Floating Rate Note, 1/15/35 1,635,000 $230,209
Federal Home Loan Mortgage Corp., Floating Rate Note, 10/1/31 19,044,336 $341,465
Federal Home Loan Mortgage Corp., Floating Rate Note, 11/1/31 1,399,950 $6,711
Federal Home Loan Mortgage Corp., Floating Rate Note, 11/15/36 2,046,908 $106,814
Federal Home Loan Mortgage Corp., Floating Rate Note, 12/1/31 49,986,196 $267,875
Federal Home Loan Mortgage Corp., Floating Rate Note, 2/17/32 12,638,000 $347,576
Federal Home Loan Mortgage Corp., Floating Rate Note, 3/15/30 1,147,667 $483,869
Federal Home Loan Mortgage Corp., Floating Rate Note, 3/15/32 33,450,000 $407,333
Federal Home Loan Mortgage Corp., Floating Rate Note, 3/15/41 2,498,000 $880,267
Federal Home Loan Mortgage Corp., Floating Rate Note, 4/1/25 13,000,000 $17,754
Federal Home Loan Mortgage Corp., Floating Rate Note, 4/1/29 160,000 $2,035
Federal Home Loan Mortgage Corp., Floating Rate Note, 4/15/33 22,025,143 $945,268
Federal Home Loan Mortgage Corp., Floating Rate Note, 4/15/36 4,003,000 $669,897
Federal Home Loan Mortgage Corp., Floating Rate Note, 5/1/25 588,110 $6,130
Federal Home Loan Mortgage Corp., Floating Rate Note, 7/1/18 2,100,000 $4,440
Federal Home Loan Mortgage Corp., Floating Rate Note, 7/15/19 1,500,000 $104,123
Federal Home Loan Mortgage Corp., Floating Rate Note, 7/15/28 52,559,000 $376,524
Federal Home Loan Mortgage Corp., Floating Rate Note, 7/15/31 49,927,842 $521,934
Federal Home Loan Mortgage Corp., Floating Rate Note, 8/1/31 500,000 $1,531
Federal Home Loan Mortgage Corp., Floating Rate Note, 8/1/31 12,000,000 $92,592
Federal Home Loan Mortgage Corp., Floating Rate Note, 8/15/19 6,831,666 $228,085
Federal Home Loan Mortgage Corp. REMICS, 3.5%, 10/15/18 500,000 $93,461
Federal Home Loan Mortgage Corp. REMICS, 3.5%, 6/15/28 1,119,000 $139,646
Federal Home Loan Mortgage Corp. REMICS, 4.0%, 12/15/22 890,000 $5,154
Federal Home Loan Mortgage Corp. REMICS, 5.0%, 6/15/34 401,000 $12,113
Federal Home Loan Mortgage Corp. REMICS, 5.5%, 10/15/35 1,625,000 $64,819
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 1/15/36 400,312 $83,141
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 1/15/37 16,831,292 $1,081,337
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 10/15/20 9,083,556 $169,654
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 10/15/37 3,873,000 $295,773
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 11/15/36 1,229,000 $229,768
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 11/15/36 600,000 $105,258
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 11/15/37 3,358,000 $550,322
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/32 1,931,288 $156,142
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/32 2,900,000 $233,705
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/35 2,232,000 $368,704
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/36 6,932,100 $564,752
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/39 666,000 $286,280
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/30 586,107 $272,475
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/32 15,205,000 $252,849
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/33 20,000,000 $279,481
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/36 909,000 $167,967
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/37 2,840,000 $172,025
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/39 288,000 $152,347
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/41 1,878,046 $372,727
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/42 350,000 $209,190
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 3/15/32 15,667,000 $187,699
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 3/15/32 35,466,000 $321,966
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 3/15/38 2,600,000 $895,868
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 3/15/41 3,243,333 $750,627
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 4/15/27 22,817,000 $249,835
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 4/15/28 10,000,000 $155,023
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 4/15/36 728,000 $147,649
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 4/15/41 2,446,437 $501,648
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 5/15/36 4,000,000 $248,112
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 5/15/36 2,159,000 $156,658
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 5/15/41 638,000 $118,901
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 6/15/36 1,288,000 $140,105
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 6/15/41 1,220,000 $327,347
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 7/15/23 835,000 $184,834
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 7/15/36 3,107,000 $248,137
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 8/15/18 600,000 $113,756
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 8/15/25 970,000 $308,278
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 8/15/26 370,000 $137,158
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 8/15/35 462,000 $93,677
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 8/15/36 5,044,000 $272,864
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 9/15/26 385,000 $230,034
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 9/15/33 2,647,000 $193,713
Federal National Mortgage Association, 0.75%, 8/16/17 (Step) 410,000 $411,167
Federal National Mortgage Association, 2.0%, 8/1/23 1,465,000 $1,239,180
Federal National Mortgage Association, 2.5%, 4/25/36 635,000 $229,693
Federal National Mortgage Association, 2.5%, 9/1/22 2,000,000 $1,339,065
Federal National Mortgage Association, 2.75%, 6/25/20 1,750,000 $477,634
Federal National Mortgage Association, 3.0%, 12/1/21 2,000,000 $951,561
Federal National Mortgage Association, 3.0%, 6/25/39 5,000,000 $608,923
Federal National Mortgage Association, 3.5%, 1/25/24 7,225,000 $373,413
Federal National Mortgage Association, 3.5%, 3/25/28 2,344,102 $246,627
Federal National Mortgage Association, 3.5%, 7/25/24 1,250,000 $277,442
Federal National Mortgage Association, 4.0%, 1/1/20 7,280,000 $1,266,238
Federal National Mortgage Association, 4.0%, 10/1/20 4,317,004 $1,288,609
Federal National Mortgage Association, 4.0%, 3/1/21 4,071,760 $1,308,845
Federal National Mortgage Association, 4.0%, 8/1/19 2,761,217 $473,084
Federal National Mortgage Association, 4.5%, 10/25/38 5,000,000 $246,688
Federal National Mortgage Association, 4.5%, 3/25/37 9,900,000 $58,487
Federal National Mortgage Association, 4.5%, 6/25/40 4,200,000 $1,135,897
Federal National Mortgage Association, 4.5%, 8/25/27 4,509,000 $201,811
Federal National Mortgage Association, 5.0%, 6/25/32 18,817,000 $144,948
Federal National Mortgage Association, 5.0%, 7/25/32 7,363,000 $259,772
Federal National Mortgage Association, 5.0%, 8/25/22 9,200,000 $118,022
Federal National Mortgage Association, Floating Rate Note, 10/18/32 11,398,000 $378,723
Federal National Mortgage Association, Floating Rate Note, 11/25/27 15,797,000 $532,045
Federal National Mortgage Association, Floating Rate Note, 2/25/23 77,000,000 $392,350
Federal National Mortgage Association, Floating Rate Note, 3/25/18 8,811,000 $267,441
Federal National Mortgage Association, Floating Rate Note, 3/25/36 2,108,510 $463,328
Federal National Mortgage Association, Floating Rate Note, 4/25/33 36,000,000 $1,000,712
Federal National Mortgage Association, Floating Rate Note, 4/25/35 1,250,000 $234,123
Federal National Mortgage Association, Floating Rate Note, 6/25/32 21,270,000 $585,702
Federal National Mortgage Association, Floating Rate Note, 6/25/36 7,000,000 $804,012
Federal National Mortgage Association, Floating Rate Note, 6/25/36 6,118,000 $1,053,296
Federal National Mortgage Association, Floating Rate Note, 7/25/27 1,402,000 $48,138
Federal National Mortgage Association, Floating Rate Note, 8/25/35 2,868,000 $349,158
Federal National Mortgage Association, Floating Rate Note, 9/25/22 3,000,000 $126,098
Federal National Mortgage Association 2004-T2, Floating Rate Note, 7/25/43 6,750,000 $942,233
Federal National Mortgage Association 2006-48-T, 5.5%, 12/25/34 1,716,418 $436,228
Federal National Mortgage Association REMICS, 1.5%, 11/25/20 745,000 $176,971
Federal National Mortgage Association REMICS, 1.75%, 12/25/22 1,000,000 $302,582
Federal National Mortgage Association REMICS, 3.0%, 1/25/21 4,450,000 $843,109
Federal National Mortgage Association REMICS, 3.0%, 4/25/40 1,110,000 $175,754
Federal National Mortgage Association REMICS, 3.5%, 10/25/39 490,000 $321,100
Federal National Mortgage Association REMICS, 4.0%, 5/25/29 2,000,000 $2,085,323
Federal National Mortgage Association REMICS, 4.0%, 6/25/37 900,000 $32,473
Federal National Mortgage Association REMICS, 5.0%, 9/25/39 110,000 $21,380
Federal National Mortgage Association REMICS, 6.0%, 3/25/35 1,000,000 $24,688
Federal National Mortgage Association REMICS, 6.0%, 6/25/29 685,000 $126,795
Federal National Mortgage Association REMICS, Floating Rate Note, 1/18/32 4,920,043 $74,813
Federal National Mortgage Association REMICS, Floating Rate Note, 1/25/24 51,985,111 $265,100
Federal National Mortgage Association REMICS, Floating Rate Note, 1/25/33 2,782,000 $99,775
Federal National Mortgage Association REMICS, Floating Rate Note, 1/25/34 10,970,000 $1,731,995
Federal National Mortgage Association REMICS, Floating Rate Note, 10/25/35 1,878,000 $191,153
Federal National Mortgage Association REMICS, Floating Rate Note, 10/25/36 11,844,000 $439,518
Federal National Mortgage Association REMICS, Floating Rate Note, 10/25/38 1,808,000 $199,527
Federal National Mortgage Association REMICS, Floating Rate Note, 10/27/37 1,375,920 $1,362,329
Federal National Mortgage Association REMICS, Floating Rate Note, 11/18/32 24,329,000 $464,391
Federal National Mortgage Association REMICS, Floating Rate Note, 11/25/36 2,248,000 $317,920
Federal National Mortgage Association REMICS, Floating Rate Note, 11/25/39 2,750,000 $501,665
Federal National Mortgage Association REMICS, Floating Rate Note, 12/18/32 6,330,000 $100,241
Federal National Mortgage Association REMICS, Floating Rate Note, 12/25/31 4,375,000 $167,988
Federal National Mortgage Association REMICS, Floating Rate Note, 12/25/32 34,313,143 $730,636
Federal National Mortgage Association REMICS, Floating Rate Note, 12/25/37 5,672,000 $198,960
Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/33 4,696,499 $232,380
Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/35 603,000 $190,614
Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/37 1,940,000 $196,071
Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/37 4,308,000 $192,220
Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/38 624,000 $172,634
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/24 4,129,409 $164,001
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/34 763,500 $213,528
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/34 4,612,000 $286,482
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/35 1,278,000 $255,850
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/35 4,100,000 $648,015
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/36 11,585,646 $1,301,092
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/37 4,100,000 $275,256
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/37 9,250,000 $286,558
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/37 960,000 $140,990
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/37 8,873,506 $228,934
Federal National Mortgage Association REMICS, Floating Rate Note, 4/25/32 50,000,000 $639,099
Federal National Mortgage Association REMICS, Floating Rate Note, 4/25/32 10,133,000 $610,457
Federal National Mortgage Association REMICS, Floating Rate Note, 4/25/34 644,866 $78,783
Federal National Mortgage Association REMICS, Floating Rate Note, 4/25/36 1,737,000 $339,876
Federal National Mortgage Association REMICS, Floating Rate Note, 5/18/32 31,809,000 $679,886
Federal National Mortgage Association REMICS, Floating Rate Note, 5/25/17 20,000,000 $140,489
Federal National Mortgage Association REMICS, Floating Rate Note, 5/25/33 4,068,000 $107,652
Federal National Mortgage Association REMICS, Floating Rate Note, 5/25/36 6,641,000 $227,533
Federal National Mortgage Association REMICS, Floating Rate Note, 5/25/37 6,826,000 $263,113
Federal National Mortgage Association REMICS, Floating Rate Note, 5/25/40 761,373 $342,764
Federal National Mortgage Association REMICS, Floating Rate Note, 6/25/35 7,977,000 $692,672
Federal National Mortgage Association REMICS, Floating Rate Note, 6/25/36 2,317,493 $240,869
Federal National Mortgage Association REMICS, Floating Rate Note, 6/25/37 4,600,000 $326,824
Federal National Mortgage Association REMICS, Floating Rate Note, 6/25/37 1,010,000 $102,474
Federal National Mortgage Association REMICS, Floating Rate Note, 6/25/37 2,134,162 $276,232
Federal National Mortgage Association REMICS, Floating Rate Note, 6/25/38 2,355,000 $165,769
Federal National Mortgage Association REMICS, Floating Rate Note, 7/25/34 1,642,000 $113,375
Federal National Mortgage Association REMICS, Floating Rate Note, 7/25/35 750,000 $168,488
Federal National Mortgage Association REMICS, Floating Rate Note, 7/25/35 3,227,000 $386,901
Federal National Mortgage Association REMICS, Floating Rate Note, 7/25/38 6,812,000 $353,819
Federal National Mortgage Association REMICS, Floating Rate Note, 8/25/36 4,040,000 $470,107
Federal National Mortgage Association REMICS, Floating Rate Note, 8/25/40 692,000 $331,184
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/33 4,915,594 $542,000
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/36 3,447,000 $225,238
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/36 1,275,000 $175,930
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/37 679,000 $89,469
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/37 2,524,000 $109,389
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/37 2,706,000 $331,220
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/37 3,700,000 $360,626
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/39 683,053 $111,314
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/41 750,000 $449,688
FHLMC Structured Pass Through Securities, Floating Rate Note, 12/25/29 12,000,000 $189,878
Fieldstone Mortgage Investment Trust Series 2005-1, Floating Rate Note, 3/25/35 311,000 $118,641
Fieldwood Energy LLC, Closing Date Loan, 9/25/18 991,245 $951,595
Fifth Third Bancorp, Floating Rate Note, 12/20/16 730,000 $728,408
Fifth Third Bank Cincinnati Ohio, 1.15%, 11/18/16 750,000 $753,171
Fifth Third Bank Cincinnati Ohio, 4.75%, 2/1/15 1,250,000 $1,278,465
Fifth Third Bank Cincinnati Ohio, Floating Rate Note, 2/26/16 500,000 $501,232
First Franklin Mortgage Loan Trust 2002-FFA, Floating Rate Note, 9/25/32 5,500,000 $292,930
First Franklin Mortgage Loan Trust 2003-FFC, Floating Rate Note, 11/25/32 8,000,000 $413,604
First Franklin Mortgage Loan Trust 2005-FFH3, Floating Rate Note, 9/25/35 1,100,000 $534,753
First Horizon Mortgage Pass-Through Trust 2004-AR1, Floating Rate Note, 2/25/34 1,500,000 $59,474
First Horizon Mortgage Pass-Through Trust 2004-AR5, Floating Rate Note, 10/25/34 940,000 $57,184
First Investors Auto Owner Trust 2012-2, 1.47%, 5/15/18 (144A) 200,000 $47,370
First Investors Auto Owner Trust 2013-1, 1.81%, 10/15/18 (144A) 55,000 $55,383
First Investors Auto Owner Trust 2013-1, 2.02%, 1/15/19 (144A) 200,000 $200,128
First Investors Auto Owner Trust 2013-2, 1.23%, 3/15/19 (144A) 1,048,000 $559,307
First Investors Auto Owner Trust 2013-3, 2.32%, 10/15/19 (144A) 300,000 $303,216
First Investors Auto Owner Trust 2014-2, 0.86%, 8/15/18 (144A) 600,000 $599,532
First NLC Trust 2005-2, Floating Rate Note, 9/25/35 3,362,996 $1,105,039
Flagstar Home Equity Loan Trust 2005-1, Floating Rate Note, 6/25/18 (144A) 4,800,000 $360,089
Fly Funding II Sarl, Loan, 8/8/18 380,000 $380,475
FMG Resources August 2006 Pty, Ltd., Loan, 6/30/19 98,010 $92,129
Foothill CLO, Ltd., Floating Rate Note, 2/22/21 (144A) 500,000 $262,768
Ford Credit Auto Owner Trust, 2.27%, 1/15/17 200,000 $203,069
Ford Credit Auto Owner Trust 2013-C, 0.55%, 4/15/16 385,000 $48,805
Ford Credit Auto Owner Trust 2013-D, 1.54%, 3/15/19 100,000 $99,986
Ford Credit Auto Owner Trust 2014-A, 0.48%, 11/15/16 260,000 $142,073
Ford Motor Credit Co LLC, 1.7%, 5/9/16 500,000 $504,414
Ford Motor Credit Co LLC, 1.724%, 12/6/17 700,000 $701,827
Ford Motor Credit Co LLC, 2.375%, 1/16/18 250,000 $255,261
Ford Motor Credit Co LLC, 2.75%, 5/15/15 950,000 $959,686
Ford Motor Credit Co LLC, 2.875%, 10/1/18 500,000 $514,775
Ford Motor Credit Co LLC, 3.875%, 1/15/15 200,000 $203,702
Ford Motor Credit Co LLC, Floating Rate Note, 9/8/17 750,000 $748,658
Fore CLO, Ltd., Floating Rate Note, 7/20/19 (144A) 250,000 $55,681
Foresight Energy LLC, Term Loan, 8/21/20 67,011 $67,430
Fosse Master Issuer Plc, Floating Rate Note, 10/18/54 (144A) 100,000 $93,295
Foundation Re III, Ltd., Floating Rate Note, 2/25/15 (Cat Bond) (144A) 750,000 $757,154
Four Corners CLO II, Ltd., Floating Rate Note, 1/26/20 (144A) 553,000 $531,019
Franklin Resources, Inc., 3.125%, 5/20/15 940,000 $952,695
Freddie Mac REMICS, Floating Rate Note, 2/15/32 14,441,000 $954,590
Freddie Mac Strips, Floating Rate Note, 12/15/36 2,327,000 $147,265
Freddie Mac Strips, Floating Rate Note, 8/15/36 6,894,664 $363,044
Freddie Mac Structured Agency Credit Risk Debt Notes, Floating Rate Note, 10/25/24 700,000 $699,210
Freddie Mac Structured Agency Credit Risk Debt Notes, Floating Rate Note, 11/25/23 750,000 $603,562
Freddie Mac Structured Agency Credit Risk Debt Notes, Floating Rate Note, 2/25/24 485,000 $450,223
Freddie Mac Structured Agency Credit Risk Debt Notes, Floating Rate Note, 8/25/24 1,430,000 $1,400,705
FREMF Mortgage Trust 2012-K501, Floating Rate Note, 11/26/46 (144A) 409,000 $421,946
Fresenius US Finance I, Inc., Tranche B Term Loan, 8/7/19 495,000 $493,453
Gale Force 3 Clo, Ltd., Floating Rate Note, 4/19/21 (144A) 500,000 $306,619
Galileo Re, Ltd., Floating Rate Note, 1/9/19 (Cat Bond) (144A) 750,000 $787,646
Garda World Security Corp., Term B Delayed Draw Loan, 11/8/20 122,866 $121,433
Garda World Security Corp., Term B Loan, 11/1/20 480,295 $474,691
Gator Re, Ltd., Floating Rate Note, 1/9/17 (Cat Bond) (144A) 600,000 $621,222
GATX Corp., 1.25%, 3/4/17 750,000 $749,032
GE Business Loan Trust 2003-1, Floating Rate Note, 4/15/31 (144A) 10,972,000 $533,548
GE Business Loan Trust 2003-2 REMICS, Floating Rate Note, 11/15/31 (144A) 1,409,576 $150,452
GE Business Loan Trust 2004-1, Floating Rate Note, 5/15/32 (144A) 4,436,203 $412,866
GE Business Loan Trust 2004-2, Floating Rate Note, 12/15/32 (144A) 2,833,274 $441,909
GE Business Loan Trust 2005-1, Floating Rate Note, 6/15/33 (144A) 1,192,482 $598,928
GE Business Loan Trust 2006-2, Floating Rate Note, 11/15/34 (144A) 1,920,423 $723,037
GE Business Loan Trust 2007-1, Floating Rate Note, 4/16/35 (144A) 1,550,000 $637,395
GE Capital Commercial Mortgage Corp., Floating Rate Note, 6/10/48 1,340,000 $350,842
GE Capital Commercial Mortgage Corp., Floating Rate Note, 7/10/45 490,000 $498,652
GE Capital Commercial Mortgage Corp., Floating Rate Note, 7/10/45 (144A) 500,000 $507,038
GE Dealer Floorplan Master Note Trust, Floating Rate Note, 10/20/17 256,000 $256,151
GE Dealer Floorplan Master Note Trust, Floating Rate Note, 4/20/18 1,220,000 $1,223,520
GE Equipment Small Ticket LLC Series 2013-1, 0.73%, 1/25/16 (144A) 200,000 $92,804
GE Equipment Transportation LLC Series 2013-1, 0.5%, 11/24/15 180,000 $9,412
GE Equipment Transportation LLC Series 2013-2, 0.61%, 6/24/16 480,000 $294,502
General Electric Capital Corp., 1.625%, 7/2/15 1,235,000 $1,252,913
General Electric Capital Corp., Floating Rate Note, 5/15/17 750,000 $750,674
General Electric Capital Corp., Floating Rate Note, 7/12/16 296,000 $298,723
General Electric Capital Corp., Floating Rate Note, 7/2/15 665,000 $670,415
General Electric Capital Corp., Floating Rate Note, 8/1/17 500,000 $499,790
General Mills, Inc., 0.875%, 1/29/16 250,000 $251,379
General Mills, Inc., Floating Rate Note, 1/28/16 565,000 $565,365
Gentiva Health Services, Inc., Initial Term B Loan, 10/10/19 223,250 $224,053
Georgia Power Co., Floating Rate Note, 3/15/16 827,000 $827,861
Georgia Power Co., Floating Rate Note, 8/15/16 500,000 $500,118
GLC Trust 2013-1, 3.0%, 7/15/21 (144A) 1,000,000 $854,077
Glencore Funding LLC, Floating Rate Note, 5/27/16 (144A) 1,000,000 $1,009,082
Global Container Assets 2013-1, Ltd., 2.2%, 11/5/28 (144A) 750,000 $506,165
Global Mortgage Securitization, Ltd., 5.25%, 4/25/32 (144A) 795,156 $238,129
Global Mortgage Securitization, Ltd., Floating Rate Note, 4/25/32 (144A) 8,633,000 $791,360
GMAC Commercial Mortgage Securities Inc Series 2004-C2 Trust, Floating Rate Note, 8/10/38 1,465,000 $11,589
GMAC Commercial Mortgage Securities Inc Series 2005-C1 Trust, 4.697%, 5/10/43 1,019,000 $1,030,744
GMAC Commercial Mortgage Securities Inc Series 2006-C1 Trust, Floating Rate Note, 11/10/45 2,370,000 $1,503,352
GMACM Mortgage Loan Trust 2004-AR1, Floating Rate Note, 6/25/34 2,100,000 $199,929
GMAT 2013-1 Trust, 3.9669%, 8/25/53 (Step) 1,505,000 $1,244,254
Golden State RE II, Ltd., Floating Rate Note, 1/8/19 (Cat Bond) (144A) 750,000 $751,158
Government National Mortgage Association, 3.0%, 12/20/38 1,000,000 $137,870
Government National Mortgage Association, 3.0%, 12/20/38 5,000,000 $1,345,182
Government National Mortgage Association, 3.0%, 4/20/41 300,000 $259,254
Government National Mortgage Association, 3.5%, 5/20/39 1,025,000 $572,533
Government National Mortgage Association, 3.5%, 8/20/38 1,115,000 $442,470
Government National Mortgage Association, 5.0%, 4/20/36 850,000 $110,302
Government National Mortgage Association, 5.0%, 5/20/35 2,100,000 $96,007
Government National Mortgage Association, 5.25%, 5/20/31 14,313,000 $351,992
Government National Mortgage Association, Floating Rate Note, 1/16/35 2,563,000 $279,594
Government National Mortgage Association, Floating Rate Note, 1/16/40 2,000,000 $683,339
Government National Mortgage Association, Floating Rate Note, 2/16/30 14,415,492 $223,245
Government National Mortgage Association, Floating Rate Note, 2/16/53 2,000,000 $141,875
Government National Mortgage Association, Floating Rate Note, 2/20/35 2,059,000 $276,069
Government National Mortgage Association, Floating Rate Note, 2/20/38 2,477,000 $217,478
Government National Mortgage Association, Floating Rate Note, 3/16/53 1,200,000 $81,049
Government National Mortgage Association, Floating Rate Note, 4/16/31 12,627,242 $259,783
Government National Mortgage Association, Floating Rate Note, 4/16/32 33,333,000 $614,917
Government National Mortgage Association, Floating Rate Note, 4/16/32 10,000,000 $144,841
Government National Mortgage Association, Floating Rate Note, 8/16/52 2,000,000 $113,112
Government National Mortgage Association, Floating Rate Note, 8/20/35 1,177,000 $124,861
Government National Mortgage Association, Floating Rate Note, 8/20/40 1,000,000 $591,255
Government National Mortgage Association, Floating Rate Note, 9/16/52 1,800,000 $131,482
Government National Mortgage Association, Floating Rate Note, 9/20/33 704,000 $72,601
Government National Mortgage Association I, 5.0%, 8/15/19 1,347,915 $344,306
Government National Mortgage Association I, 6.0%, 11/15/36 2,000,000 $185,546
Government National Mortgage Association I, 6.0%, 12/15/31 1,500,000 $64,495
Government National Mortgage Association I, 6.0%, 3/15/17 10,311,138 $176,917
Government National Mortgage Association I, 6.5%, 10/15/37 400,000 $47,932
Government National Mortgage Association I, 6.5%, 5/15/31 3,183,996 $40,947
Government National Mortgage Association I, 6.5%, 7/15/35 328,670 $21,676
Government National Mortgage Association I, 7.5%, 10/15/36 1,000,000 $61,471
Government National Mortgage Association II, 6.0%, 10/20/21 3,113,223 $515,574
Government National Mortgage Association II, 6.0%, 11/20/22 1,986,670 $255,941
Government National Mortgage Association II, 6.0%, 4/20/22 1,262,566 $188,728
Government National Mortgage Association II, 6.0%, 8/20/19 2,911,151 $175,344
Government National Mortgage Association REMICS, 2.0%, 1/16/46 3,000,000 $2,980,106
Government National Mortgage Association REMICS, 4.0%, 9/20/37 4,000,000 $2,912,100
GP Portfolio Trust 2014-GGP, Floating Rate Note, 2/16/27 (144A) 1,000,000 $1,001,954
Gracechurch Card Funding Plc, Floating Rate Note, 5/15/19 (144A) 500,000 $505,110
Gracechurch Card Funding Plc, Floating Rate Note, 6/15/17 (144A) 300,000 $300,668
Gray Television Inc. 1st Lien Tl L + 3% 10jun21 897,484 $891,500
GreenPoint Mortgage Funding Trust 2005-HE1, Floating Rate Note, 9/25/34 297,570 $126,793
GSAA Home Equity Trust 2004-6, Floating Rate Note, 6/25/34 15,032,940 $385,108
GSAA Home Equity Trust 2005-11, Floating Rate Note, 10/25/35 1,022,000 $128,017
GSAA Trust, Floating Rate Note, 6/25/35 440,000 $315,732
GSAA Trust, Floating Rate Note, 6/25/35 1,900,000 $512,363
GSAMP Trust 2005-HE1, Floating Rate Note, 12/25/34 1,210,753 $104,294
GSAMP Trust 2006-SEA1, Floating Rate Note, 5/25/36 (144A) 5,518,315 $444,804
GS Caltex Corp., 3.25%, 10/1/18 (144A) 500,000 $517,222
GS Mortgage Securities Corp II Series 2005-GG4 REMICS, 4.782%, 7/10/39 1,145,000 $1,159,590
GS Mortgage Securities Trust 2006-GG6 REMICS, Floating Rate Note, 4/10/38 1,020,000 $1,058,135
GS Mortgage Securities Trust 2014-GSFL, Floating Rate Note, 7/15/31 (144A) 495,000 $496,483
GSR Mortgage Loan Trust 2003-9, Floating Rate Note, 8/25/33 4,000,000 $269,877
GSR Mortgage Loan Trust 2004-7, Floating Rate Note, 6/25/34 4,189,737 $511,012
GSRPM Mortgage Loan Trust 2003-2, Floating Rate Note, 6/25/33 393,823 $241,275
GSRPM Mortgage Loan Trust 2006-1, Floating Rate Note, 3/25/35 (144A) 1,201,850 $169,540
GSRPM Mortgage Loan Trust 2006-2, Floating Rate Note, 9/25/36 (144A) 1,226,000 $171,503
GTP Acquisition Partners I LLC, 4.347%, 6/15/41 (144A) 614,000 $628,366
Halyard Health Inc 1st Lien Tl-B L + 3.25% 03oct21 300,000 $301,424
HarborView Mortgage Loan Trust 2004-1, Floating Rate Note, 4/19/34 3,987,000 $176,019
Harley-Davidson Financial Services, Inc., 3.875%, 3/15/16 (144A) 175,000 $183,120
Health Care Real Estate Investment Trust, Inc., 2.25%, 3/15/18 500,000 $508,367
Hercules Capital Funding Trust 2012-1, 3.32%, 12/16/17 (144A) 250,000 $39,369
Hertz Fleet Lease Funding LP, Floating Rate Note, 4/10/28 (144A) 300,000 $300,188
Hess Corp., 1.3%, 6/15/17 750,000 $746,709
Hilton Grand Vacations Trust 2014-A, 2.07%, 11/25/26 (144A) 750,000 $667,480
Hilton USA Trust 2013-HLF, Floating Rate Note, 11/5/30 (144A) 500,000 $493,831
Hilton USA Trust 2013-HLF, Floating Rate Note, 11/5/30 (144A) 175,000 $172,685
Hilton Worldwide Finance LLC, Initial Term Loan, 9/23/20 389,211 $386,048
HLSS Servicer Advance Receivables Trust, 1.2437%, 1/17/45 1,250,000 $1,249,691
HLSS Servicer Advance Receivables Trust, 1.4953%, 1/16/46 (144A) 1,706,000 $1,695,192
HLSS Servicer Advance Receivables Trust, 1.7436%, 1/16/46 (144A) 250,000 $250,506
HLSS Servicer Advance Receivables Trust, 4.94%, 10/15/45 (144A) 350,000 $356,508
Holmes Master Issuer Plc, Floating Rate Note, 10/15/54 (144A) 250,000 $263,271
Hologic, Inc., Refinancing Tranche B Term Loan, 8/1/19 493,548 $492,710
HomeBanc Mortgage Trust 2005-2, Floating Rate Note, 5/25/25 6,015,011 $227,082
Home Equity Asset Trust 2005-3, Floating Rate Note, 8/25/35 250,000 $14,352
Home Equity Asset Trust 2006-4, Floating Rate Note, 8/25/36 253,896 $69,805
Home Equity Asset Trust 2006-8, Floating Rate Note, 3/25/37 1,394,318 $400,456
Home Equity Mortgage Trust, 5.821%, 4/25/35 (Step) 1,000,000 $275,591
Home Equity Mortgage Trust 2005-2, Floating Rate Note, 7/25/35 1,113,955 $347,580
Home Loan Trust 2003-HI1, 5.77%, 4/25/28 (Step) 1,500,000 $95,907
Homestar Mortgage Acceptance Corp., Floating Rate Note, 1/25/35 3,700,000 $415,358
Homestar Mortgage Acceptance Corp., Floating Rate Note, 3/25/34 25,588,000 $1,463,181
Homestar Mortgage Acceptance Corp., Floating Rate Note, 6/25/34 3,670,962 $319,885
Homestar Mortgage Acceptance Corp., Floating Rate Note, 7/25/34 2,600,000 $229,722
Honda Auto Receivables 2012-2 Owner Trust, 0.7%, 2/16/16 350,000 $95,223
Honda Auto Receivables 2013-2 Owner Trust, 0.53%, 2/16/17 285,000 $285,136
Horizon Funding Trust 2013-1, 3.0%, 5/15/18 (144A) 585,000 $265,559
HSBC Bank Middle East, Ltd., 3.0%, 10/21/15 750,000 $764,463
HSBC Bank Plc, 3.5%, 6/28/15 (144A) 750,000 $774,701
HSBC Home Equity Loan Trust USA 2006-3, Floating Rate Note, 3/20/36 1,905,000 $1,638,370
HSBC USA, Inc., 2.375%, 2/13/15 1,280,000 $1,294,193
HSBC USA, Inc., Floating Rate Note, 6/23/17 750,000 $751,114
HSI Asset Securitization Corp Trust 2006-OPT1, Floating Rate Note, 12/25/35 350,623 $112,096
Huntsman International LLC, 2014-1 Incremental Term Loan, 9/30/21 550,000 $548,453
Hyperion Insurance Group, Ltd., Term Loan, 10/4/19 397,000 $396,504
Hyundai Auto Receivables Trust 2014-B, 2.1%, 11/15/19 500,000 $503,353
Hyundai Capital America, 1.875%, 8/9/16 (144A) 500,000 $508,999
Hyundai Capital America, 3.75%, 4/6/16 (144A) 1,375,000 $1,433,076
Hyundai Capital Auto Funding VIII, Ltd., Floating Rate Note, 9/20/16 (144A) 1,200,000 $81,670
Hyundai Motor Manufacturing Czech sro, 4.5%, 4/15/15 (144A) 1,000,000 $1,019,496
Ibis Re II, Ltd., Floating Rate Note, 2/5/15 (Cat Bond) (144A) 250,000 $262,344
Ibis Re II, Ltd., Floating Rate Note, 6/28/16 (Cat Bond) (144A) 500,000 $513,206
Impac CMB Trust Series 2004-4, Floating Rate Note, 9/25/34 14,479,489 $603,888
Impac CMB Trust Series 2004-4, Floating Rate Note, 9/25/34 32,445,000 $1,352,741
Impac CMB Trust Series 2004-6, Floating Rate Note, 10/25/34 2,125,000 $111,841
Impac CMB Trust Series 2004-7, Floating Rate Note, 11/25/34 18,863,000 $1,226,602
Impac CMB Trust Series 2004-8, Floating Rate Note, 8/25/34 590,000 $71,032
Impac CMB Trust Series 2005-4, Floating Rate Note, 5/25/35 3,000,000 $286,325
Impac Secured Assets Trust 2006-1, Floating Rate Note, 5/25/36 1,300,000 $430,967
Impac Secured Assets Trust 2006-2, Floating Rate Note, 8/25/36 1,173,000 $297,508
Impac Secured Assets Trust 2006-5, Floating Rate Note, 12/25/36 2,600,000 $559,709
IndyMac INDX Mortgage Loan Trust 2004-AR6, Floating Rate Note, 10/25/34 675,000 $78,873
Intel Corp., 1.35%, 12/15/17 700,000 $703,791
International Equipment Solutions LLC, Initial Loan, 8/16/19 142,646 $143,003
Intesa Sanpaolo S.p.A., 3.125%, 1/15/16 500,000 $515,803
Intesa Sanpaolo S.p.A., 3.625%, 8/12/15 (144A) 1,375,000 $1,412,694
Invitation Homes 2013-SFR1 Trust, Floating Rate Note, 12/19/30 (144A) 750,000 $729,211
Invitation Homes 2014-SFR2 Trust, Floating Rate Note, 9/18/31 (144A) 600,000 $592,534
Inwood Park CDO, Ltd., Floating Rate Note, 1/20/21 (144A) 1,000,000 $297,629
Irwin Home Equity Loan Trust 2005-1, 5.32%, 6/25/35 (Step) 900,000 $124,983
Irwin Whole Loan Home Equity Trust 2003-C, Floating Rate Note, 6/25/28 1,923,500 $133,756
Irwin Whole Loan Home Equity Trust 2003-C, Floating Rate Note, 6/25/28 2,350,000 $570,359
Irwin Whole Loan Home Equity Trust 2003-D, Floating Rate Note, 11/25/28 2,250,000 $200,465
Irwin Whole Loan Home Equity Trust 2005-B, Floating Rate Note, 12/25/29 1,775,000 $964,612
IXIS Real Estate Capital Trust 2005-HE4, Floating Rate Note, 2/25/36 250,000 $42,141
Jarden Corp., Tranche B1 Term Loan, 9/30/20 247,500 $247,809
JBS USA LLC, Incremental Term Loan, 9/18/20 198,000 $197,381
JobsOhio Beverage System, 0.872%, 1/1/15 500,000 $502,142
John Deere Capital Corp., 1.05%, 10/11/16 1,098,000 $1,107,119
John Deere Capital Corp., 1.05%, 12/15/16 750,000 $756,907
John Deere Capital Corp., 2.95%, 3/9/15 950,000 $963,233
John Deere Capital Corp., Floating Rate Note, 10/11/16 1,090,000 $1,093,406
Johnson Controls, Inc., 1.4%, 11/2/17 700,000 $698,806
JPMorgan Chase & Co., 1.1%, 10/15/15 492,000 $494,654
JPMorgan Chase & Co., 1.875%, 3/20/15 965,000 $973,041
JPMorgan Chase & Co., 3.4%, 6/24/15 265,000 $273,227
JPMorgan Chase & Co., Floating Rate Note, 2/15/17 500,000 $500,369
JPMorgan Chase & Co., Floating Rate Note, 2/25/21 500,000 $515,005
JPMorgan Chase & Co., Floating Rate Note, 2/26/16 320,000 $321,176
JP Morgan Chase Commercial Mortgage Securities Trust 2004-C3, 4.878%, 1/15/42 1,100,000 $9,792
JP Morgan Chase Commercial Mortgage Securities Trust 2004-LN2, Floating Rate Note, 7/15/41 637,677 $70,676
JP Morgan Chase Commercial Mortgage Securities Trust 2005-CIBC11, Floating Rate Note, 8/12/37 1,610,000 $952,012
JP Morgan Chase Commercial Mortgage Securities Trust 2005-LDP2, 4.78%, 7/15/42 1,150,000 $1,170,791
JP Morgan Chase Commercial Mortgage Securities Trust 2005-LDP2 REMICS, 4.738%, 7/15/42 960,000 $969,646
JP Morgan Chase Commercial Mortgage Securities Trust 2005-LDP3, Floating Rate Note, 8/15/42 800,000 $820,828
JP Morgan Chase Commercial Mortgage Securities Trust 2005-LDP3 REMICS, Floating Rate Note, 8/15/42 440,000 $385,769
JP Morgan Chase Commercial Mortgage Securities Trust 2005-LDP4, Floating Rate Note, 10/15/42 500,000 $510,264
JP Morgan Chase Commercial Mortgage Securities Trust 2005-LDP5, Floating Rate Note, 12/15/44 1,920,000 $1,976,764
JP Morgan Chase Commercial Mortgage Securities Trust 2006-CIBC17, 5.45%, 12/12/43 435,000 $25,572
JP Morgan Chase Commercial Mortgage Securities Trust 2006-FL2, Floating Rate Note, 11/15/18 (144A) 2,550,000 $522,885
JP Morgan Chase Commercial Mortgage Securities Trust 2006-FL2, Floating Rate Note, 11/15/18 (144A) 550,000 $177,634
JP Morgan Chase Commercial Mortgage Securities Trust 2006-LDP9, Floating Rate Note, 5/15/47 250,000 $95,890
JP Morgan Chase Commercial Mortgage Securities Trust 2007-CIBC19, Floating Rate Note, 2/12/49 475,000 $21,605
JP Morgan Chase Commercial Mortgage Securities Trust 2013-ALC, Floating Rate Note, 7/17/26 (144A) 412,000 $415,768
JP Morgan Chase Commercial Mortgage Securities Trust 2013-FL3, Floating Rate Note, 4/17/28 (144A) 300,000 $299,567
JP Morgan Chase Commercial Mortgage Securities Trust 2013-JWRZ, Floating Rate Note, 4/15/30 (144A) 1,550,000 $1,548,896
JP Morgan Chase Commercial Mortgage Securities Trust 2014-BXH, Floating Rate Note, 4/15/27 (144A) 1,670,000 $1,668,985
JP Morgan Chase Commercial Mortgage Securities Trust 2014-FBLU, Floating Rate Note, 12/15/28 (144A) 945,000 $947,390
JP Morgan Chase Commercial Mortgage Securities Trust 2014-FBLU REMICS, Floating Rate Note, 12/15/28 1,030,000 $1,031,418
JP Morgan Chase Commercial Mortgage Securities Trust 2014-FL4, Floating Rate Note, 12/16/30 (144A) 410,000 $410,389
JP Morgan Chase Commercial Mortgage Securities Trust 2014-FL5, Floating Rate Note, 7/15/31 (144A) 490,000 $490,023
JP Morgan Chase Commercial Mortgage Securities Trust 2014-INN, Floating Rate Note, 6/15/29 (144A) 900,000 $899,404
JP Morgan Chase Commercial Mortgage Securities Trust 2014-INN, Floating Rate Note, 6/15/29 (144A) 650,000 $648,011
JP Morgan Chase Commercial Mortgage Securities Trust 2014-PHH, Floating Rate Note, 8/16/27 (144A) 1,100,000 $1,104,562
JP Morgan Mortgage Acquisition Trust 2006-ACC1, Floating Rate Note, 5/25/36 704,088 $191,296
JP Morgan Mortgage Trust 2003-A1, Floating Rate Note, 10/25/33 4,845,389 $564,191
JP Morgan Mortgage Trust 2004-A1, Floating Rate Note, 2/25/34 3,584,000 $319,771
JP Morgan Mortgage Trust 2004-A5, Floating Rate Note, 12/25/34 245,000 $178,857
JP Morgan Mortgage Trust 2004-S1, 5.0%, 9/25/34 3,504,124 $200,247
JP Morgan Mortgage Trust 2005-A3, Floating Rate Note, 6/25/35 6,041,179 $609,545
JP Morgan Mortgage Trust 2006-S3, 6.0%, 8/25/36 1,036,158 $632
Kane Flt% 12jun15 600,000 $562,080
KeyBank NA Cleveland Ohio, 1.1%, 11/25/16 500,000 $500,439
KeyBank NA Cleveland Ohio, 1.65%, 2/1/18 1,000,000 $1,006,826
KeyCorp, 3.75%, 8/13/15 931,000 $961,726
Kilimanjaro Re, Ltd., Floating Rate Note, 11/19/19 (Cat Bond) (144A) 750,000 $750,000
Kilimanjaro Re, Ltd., Floating Rate Note, 4/30/18 (Cat Bond) (144A) 350,000 $357,044
Kilimanjaro Re, Ltd., Floating Rate Note, 4/30/18 (Cat Bond) (144A) 650,000 $668,752
Kinder Morgan, Inc. Delaware, 2.0%, 12/1/17 700,000 $701,667
Kizuna II Re, Ltd., Floating Rate Note, 4/6/18 (Cat Bond) (144A) 450,000 $454,911
KKR Financial CLO 2007-1, Ltd., Floating Rate Note, 5/15/21 (144A) 375,000 $372,132
L-3 Communications Corp., 1.5%, 5/28/17 586,000 $587,453
La Hipotecaria Panamanian Mortgage Trust 2007-1, Floating Rate Note, 12/23/36 (144A) 1,400,000 $659,190
Lanark Master Issuer Plc, Floating Rate Note, 12/22/54 (144A) 250,000 $234,259
Las Vegas Sands LLC, Term B Loan, 12/19/20 248,125 $247,948
LB-UBS Commercial Mortgage Trust 2004-C1, 4.568%, 1/15/31 275,000 $31,425
LB-UBS Commercial Mortgage Trust 2005-C2 REMICS, Floating Rate Note, 4/15/30 1,455,000 $1,474,409
LB-UBS Commercial Mortgage Trust 2005-C3, 4.739%, 7/15/30 825,000 $493,694
LB-UBS Commercial Mortgage Trust 2005-C7 REMICS, Floating Rate Note, 11/15/30 (144A) 2,455,809 $2,280,276
LB-UBS Commercial Mortgage Trust 2006-C1 REMICS, 5.156%, 2/15/31 1,615,000 $1,632,771
LB-UBS Commercial Mortgage Trust 2008-C1, Floating Rate Note, 4/15/41 210,000 $35,990
Leaf Receivables Funding 8 LLC, 1.55%, 11/15/17 (144A) 195,000 $195,723
Leaf Receivables Funding 8 LLC, 2.67%, 9/15/20 (144A) 311,966 $314,264
Lehman ABS Manufactured Housing Contract Trust 2002-A, Floating Rate Note, 6/15/33 19,804,000 $887,396
Lehman Brothers Small Balance Commercial, Floating Rate Note, 2/25/30 (144A) 4,631,000 $637,859
Lehman Brothers Small Balance Commercial, Floating Rate Note, 4/25/31 (144A) 3,723,496 $584,316
Lehman Brothers Small Balance Commercial, Floating Rate Note, 4/25/31 (144A) 2,843,000 $504,299
Lehman Brothers Small Balance Commercial, Floating Rate Note, 9/25/30 (144A) 750,000 $244,650
Lehman Brothers Small Balance Commercial, Floating Rate Note, 9/25/30 (144A) 3,264,773 $566,787
Lehman Brothers Small Balance Commercial Mortgage Trust 2007-3, Floating Rate Note, 10/25/37 (144A) 466,904 $353,946
Lehman Brothers Small Balance Commercial Mortgage Trust 2007-3, Floating Rate Note, 10/25/37 (144A) 885,400 $228,665
Level 3 Financing Inc 1st Lien Tl-B5 L + 3.5% 31jan22 225,000 $226,205
Lincoln National Corp., 4.3%, 6/15/15 250,000 $259,546
Live Nation Entertainment, Inc., Term B-1 Loan, 8/17/20 512,820 $510,786
Loma Reinsurance, Ltd. Bermuda, Floating Rate Note, 1/8/18 (Cat Bond) (144A) 250,000 $262,656
Longpoint Re, Ltd., Floating Rate Note, 6/12/15 (Cat Bond) (144A) 900,000 $930,607
Longpoint Re, Ltd. III, Floating Rate Note, 5/18/16 (Cat Bond) (144A) 750,000 $765,780
LPL Holdings, Inc., 2013 Incremental Tranche B Term Loan, 3/29/19 146,273 $145,175
MacDermid, Inc., Tranche B Term Loan (First Lien), 6/7/20 750,000 $742,313
Mack-Cali Realty LP, 5.125%, 1/15/15 1,000,000 $1,022,247
Madison Avenue Manufactured Housing Contract Trust 2002-A, Floating Rate Note, 3/25/32 1,100,000 $409,029
MALLINCKRODT INTERNATIONAL FINANCE SA, Initial Term B Loan, 3/6/21 298,500 $296,386
Manufacturers & Traders Trust Co., Floating Rate Note, 1/30/17 500,000 $500,537
Manufacturers & Traders Trust Co., Floating Rate Note, 7/25/17 1,000,000 $998,967
Marathon Oil Corp., 0.9%, 11/1/15 651,000 $651,945
Marriott Vacation Club Owner Trust 2012-1, 3.5%, 5/20/30 (144A) 845,000 $448,735
Massachusetts Development Finance Agency, Floating Rate Note, 2/15/36 250,000 $260,158
Massachusetts Port Authority, 5.0%, 7/1/16 475,000 $518,108
MASTR Alternative Loan Trust 2005-1, Floating Rate Note, 2/25/35 6,760,000 $597,651
Mastr Asset Backed Securities Trust 2005-WF1, Floating Rate Note, 6/25/35 51,000 $5,918
Mastr Asset Backed Securities Trust 2005-WMC1, Floating Rate Note, 3/25/35 215,000 $61,044
Mastr Asset Backed Securities Trust 2006-AB1 REMICS, Floating Rate Note, 2/25/36 3,670,545 $626,160
Mastr Asset Backed Securities Trust 2006-NC1, Floating Rate Note, 1/25/36 1,567,646 $202,128
MASTR Asset Securitization Trust 2003-6, Floating Rate Note, 7/25/18 2,444,000 $70,576
Mastr Specialized Loan Trust, Floating Rate Note, 1/25/36 (144A) 3,644,114 $293,906
McKesson Corp., Floating Rate Note, 9/10/15 235,000 $235,646
Mediacom Illinois LLC, Tranche F Term Loan, 3/31/18 398,000 $389,543
Merna Re V, Ltd., Floating Rate Note, 4/7/17 (Cat Bond) (144A) 650,000 $652,304
Merrill Lynch Mortgage Investors Trust Series 2005-2, Floating Rate Note, 10/25/35 1,543,473 $386,205
Merrill Lynch Mortgage Investors Trust Series 2005-A3, Floating Rate Note, 4/25/35 10,415,000 $1,264,751
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-A, Floating Rate Note, 3/25/28 10,213,000 $357,116
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-A, Floating Rate Note, 3/25/28 15,000,000 $726,908
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-B, Floating Rate Note, 4/25/28 9,700,000 $438,557
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-C, Floating Rate Note, 6/25/28 9,455,006 $357,974
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-C REMICS, Floating Rate Note, 6/25/28 10,150,000 $463,781
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-E, Floating Rate Note, 10/25/28 8,393,000 $413,303
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-G, Floating Rate Note, 1/25/29 3,592,000 $51,966
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-H, Floating Rate Note, 1/25/29 6,366,000 $366,332
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-A REMICS, Floating Rate Note, 4/25/29 9,673,948 $539,163
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-B, Floating Rate Note, 5/25/29 4,636,150 $249,726
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-C, Floating Rate Note, 7/25/29 10,014,000 $473,542
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-G, Floating Rate Note, 1/25/30 16,956,975 $762,035
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-G, Floating Rate Note, 1/25/30 3,400,000 $223,341
Merrill Lynch Mortgage Investors Trust Series MLCC 2005-A, Floating Rate Note, 3/25/30 7,273,883 $459,925
Merrill Lynch Mortgage Trust 2005-CIP1, Floating Rate Note, 7/12/38 630,000 $640,680
Merrill Lynch Mortgage Trust 2005-CKI1, Floating Rate Note, 11/12/37 2,360,000 $1,933,162
Merrill Lynch Mortgage Trust 2005-LC1, Floating Rate Note, 1/12/44 1,670,000 $1,537,573
Merrill Lynch Mortgage Trust 2005-MCP1, Floating Rate Note, 6/12/43 470,000 $339,249
Metropolitan Life Global Funding I, Floating Rate Note, 7/15/16 (144A) 300,000 $302,050
Metropolitan Life Insurance Co., 7.7%, 11/1/15 (144A) 1,250,000 $1,334,807
MGM Resorts International, Term B Loan, 12/20/19 343,875 $339,827
Micro Focus Us Inc 1st Lien Tl-B L + 4.25% 07oct21 400,000 $391,875
Micron Semiconductor Asia Pte, Ltd., 1.258%, 1/15/19 500,000 $451,678
Milacron LLC, Term Loan, 3/28/20 497,500 $492,525
ML-CFC Commercial Mortgage Trust 2006-1, Floating Rate Note, 2/12/39 1,600,000 $1,553,161
Monsanto Co., 1.15%, 6/30/17 1,000,000 $1,003,594
Morgan Stanley, Floating Rate Note, 11/9/18 275,000 $291,377
Morgan Stanley, Floating Rate Note, 2/25/16 500,000 $505,810
Morgan Stanley, Floating Rate Note, 6/6/16 500,000 $499,117
Morgan Stanley ABS Capital I Inc Trust 2004-SD3, Floating Rate Note, 6/25/34 (144A) 13,470,000 $559,405
Morgan Stanley ABS Capital I Inc Trust 2005-NC2, Floating Rate Note, 3/25/35 627,000 $384,936
Morgan Stanley ABS Capital I Inc Trust 2005-WMC5, Floating Rate Note, 6/25/35 820,000 $237,913
Morgan Stanley Capital I, Inc., Floating Rate Note, 10/15/20 (144A) 425,000 $423,760
Morgan Stanley Capital I Trust 2004-IQ8, Floating Rate Note, 6/15/40 1,200,000 $129,564
Morgan Stanley Capital I Trust 2005-HQ6, 4.989%, 8/13/42 1,815,000 $1,742,552
Morgan Stanley Capital I Trust 2005-HQ6 REMICS, Floating Rate Note, 8/13/42 1,250,000 $1,277,996
Morgan Stanley Capital I Trust 2005-IQ10, Floating Rate Note, 9/15/42 915,000 $677,465
Morgan Stanley Capital I Trust 2005-TOP17, 4.78%, 12/13/41 660,000 $18,384
Morgan Stanley Capital I Trust 2005-TOP19, 4.89%, 6/12/47 1,940,000 $1,775,785
Morgan Stanley Capital I Trust 2006-TOP21, Floating Rate Note, 10/12/52 1,435,000 $1,482,693
Morgan Stanley Dean Witter Capital I Trust 2001-TOP3, 6.79%, 7/15/33 460,000 $98,438
Morgan Stanley Home Equity Loan Trust 2005-4, Floating Rate Note, 9/25/35 1,558,243 $676,280
Morgan Stanley Mortgage Loan Trust 2005-5AR, Floating Rate Note, 9/25/35 9,387,000 $809,531
Morgan Stanley Mortgage Loan Trust 2005-6AR, Floating Rate Note, 11/25/35 2,941,000 $466,499
Morgan Stanley Mortgage Loan Trust 2005-6AR, Floating Rate Note, 11/25/35 3,786,000 $446,998
MortgageIT Trust 2004-1, Floating Rate Note, 11/25/34 3,200,000 $438,062
MortgageIT Trust 2004-2, Floating Rate Note, 12/25/34 3,895,000 $625,506
Motor 2013-1 Plc, Floating Rate Note, 2/25/21 (144A) 466,000 $171,093
Mpg Holdco I Inc 1st Lien Tl-B L + 3.5% 13oct21 592,287 $595,434
MRFC Mortgage Pass-Through Trust Series 1999-TBC2 REMICS, Floating Rate Note, 6/15/30 3,714,390 $222,632
MUFG Union Bank NA, 2.625%, 9/26/18 1,000,000 $1,026,131
MUFG Union Bank NA, Floating Rate Note, 9/26/16 1,450,000 $1,463,233
MVW Owner Trust 2014-1, 2.7%, 9/20/31 (144A) 750,000 $733,787
Mythen Re, Ltd., Floating Rate Note, 5/7/15 (Cat Bond) (144A) 750,000 $772,978
Mythen Re, Ltd., Floating Rate Note, 5/7/15 (Cat Bond) (144A) 500,000 $516,585
Mythen Re, Ltd. Series 2012-2 Class A, Floating Rate Note, 1/5/17 (Cat Bond) (144A) 750,000 $812,013
Mythen Re, Ltd. Series 2013-1 Class B, Floating Rate Note, 7/9/15 (Cat Bond) (144A) 250,000 $261,844
National City Bank Cleveland Ohio, Floating Rate Note, 12/15/16 250,000 $249,159
National Oilwell Varco, Inc., 1.35%, 12/1/17 775,000 $773,922
National Rural Utilities Cooperative Finance Corp., Floating Rate Note, 11/23/16 500,000 $501,027
Nations Equipment Finance Funding II LLC, 3.276%, 1/22/19 (144A) 500,000 $500,501
Nationstar Agency Advance Funding Trust 2013-T1A, 0.997%, 2/15/45 (144A) 550,000 $549,936
Navios Maritime Partners LP, Term Loan, 6/27/18 460,350 $463,803
Navistar, Inc., Tranche B Term Loan, 8/17/17 400,000 $404,875
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 $651,753
NCF Dealer Floorplan Master Trust, Floating Rate Note, 10/20/20 (144A) 750,000 $749,735
NCUA Guaranteed Notes Trust REMICS, 1.6%, 10/29/20 500,000 $193,789
NCUA Guaranteed Notes Trust REMICS, Floating Rate Note, 3/2/21 800,000 $377,672
New Century Home Equity Loan Trust 2005-1, Floating Rate Note, 3/25/35 2,101,000 $335,035
NewStar Commercial Loan Trust 2007-1, Floating Rate Note, 9/30/22 (144A) 500,000 $268,329
New York Life Global Funding, 1.125%, 3/1/17 (144A) 500,000 $502,652
New York Life Global Funding, Floating Rate Note, 10/29/15 (144A) 750,000 $750,018
New York Life Global Funding, Floating Rate Note, 5/23/16 (144A) 1,050,000 $1,055,322
Nissan Auto Lease Trust 2013-B, Floating Rate Note, 1/15/16 240,000 $162,176
Nissan Motor Acceptance Corp., 2.65%, 9/26/18 (144A) 1,000,000 $1,026,245
Nissan Motor Acceptance Corp., 4.5%, 1/30/15 (144A) 600,000 $612,992
Nissan Motor Acceptance Corp., Floating Rate Note, 3/3/17 (144A) 500,000 $502,196
Nn Inc 1st Lien Tl-B L + 5% 18jul21 400,000 $399,750
Nomura Asset Acceptance Corp Alternative Loan Trust Series 2003-A3, 5.5%, 8/25/33 (Step) 3,120,000 $214,934
Norcraft Companies LP, Initial Loan, 11/12/20 248,125 $248,125
Nordea Bank AB, Floating Rate Note, 5/13/16 (144A) 250,000 $251,189
Nordea Bank Finland Plc New York, Floating Rate Note, 6/13/16 1,000,000 $1,000,580
North American Development Bank, 2.3%, 10/10/18 650,000 $663,356
Northshore Re, Ltd., Floating Rate Note, 7/5/16 (Cat Bond) (144A) 500,000 $529,342
NorthStar 2012-1 Mortgage Trust, Floating Rate Note, 8/27/29 (144A) 200,000 $201,367
NorthStar 2012-1 Mortgage Trust, Floating Rate Note, 8/27/29 (144A) 490,818 $97,513
NorthStar 2013-1, Floating Rate Note, 8/27/29 (144A) 778,000 $737,222
NovaStar Mortgage Funding Trust Series 2004-3, Floating Rate Note, 12/25/34 560,000 $530,779
NovaStar Mortgage Funding Trust Series 2004-4, Floating Rate Note, 3/25/35 1,457,000 $1,431,504
NovaStar Mortgage Funding Trust Series 2004-4, Floating Rate Note, 3/25/35 300,000 $114,366
NSG Holdings LLC, New Term Loan, 12/11/19 195,477 $194,988
NSTAR Electric Co., Floating Rate Note, 5/17/16 341,000 $340,790
NYSE Euronext, 2.0%, 10/5/17 150,000 $153,078
Oak Hill Advisors Residential Loan Trust 2014-NPL1, 2.8828%, 5/25/54 (Step) (144A) 520,000 $389,074
On Assignment, Inc., Initial Term B Loan, 5/15/20 171,522 $170,736
Ooredoo International Finance, Ltd., 3.375%, 10/14/16 (144A) 500,000 $519,078
Opteum Mortgage Acceptance Corp Asset Backed Pass-Through Certificates 2005-1, Floating Rate Note, 2 3,526,047 $11,841
Opteum Mortgage Acceptance Corp Asset Backed Pass-Through Certificates 2005-5, Floating Rate Note, 1 600,000 $51,488
Opteum Mortgage Acceptance Corp Trust 2005-4, Floating Rate Note, 11/25/35 6,320,000 $1,199,245
Option One Mortgage Loan Trust 2005-4 Asset-Backed Certificates Series 2005-4, Floating Rate Note, 1 5,875,000 $483,146
Option One Woodbridge Loan Trust 2002-1, Floating Rate Note, 3/25/32 (144A) 1,370,736 $253,073
Oracle Corp., 2.25%, 10/8/19 300,000 $303,654
Oracle Corp., 2.375%, 1/15/19 500,000 $515,208
Oracle Corp., Floating Rate Note, 7/7/17 575,000 $575,673
Orange Lake Timeshare Trust 2012-A, 4.87%, 3/10/27 (144A) 600,000 $295,665
ORES 2014-LV3 LLC, 3.0%, 3/27/24 (144A) 550,000 $387,916
ORES NPL 2013-LV2 LLC, 3.081%, 9/25/25 (144A) 430,000 $205,896
Origen Manufactured Housing Contract Trust 2004-A, Floating Rate Note, 1/15/35 600,000 $256,430
Origen Manufactured Housing Contract Trust 2004-B, Floating Rate Note, 11/15/35 460,000 $386,054
Origen Manufactured Housing Contract Trust 2005-A, Floating Rate Note, 6/15/36 250,000 $239,929
Oscar US Funding Trust 2014-1, 1.0%, 8/15/17 (144A) 700,000 $696,098
PACCAR Financial Corp., Floating Rate Note, 6/6/17 485,000 $485,479
Pangaea Zero% 01jul18 700,000 $738,360
Park Place Securities Inc Asset-Backed Pass-Through Certificates Series 2004-MHQ, Floating Rate Note 840,000 $798,843
Park Place Securities Inc Asset-Backed Pass-Through Ctfs Ser 2004-WCW2, Floating Rate Note, 10/25/34 1,076,819 $50,428
Park Place Securities Inc Asset-Backed Pass-Through Ctfs Ser 2005-WHQ4, Floating Rate Note, 9/25/35 1,793,831 $554,108
Par Pharmaceutical Companies, Inc., Term B-2 Loan, 9/28/19 642,545 $633,576
PARTY CITY HOLDINGS INC, 2014 Replacement Term Loan, 7/27/19 947,838 $940,284
People's Choice Home Loan Securities Trust Series 2005-3, Floating Rate Note, 8/25/35 109,980 $15,340
Pfizer, Inc., Floating Rate Note, 5/15/17 750,000 $749,541
PFS Financing Corp., Floating Rate Note, 2/15/19 (144A) 750,000 $751,788
PFS Tax Lien Trust 2014-1, 1.44%, 5/15/29 400,000 $312,272
PHH Mortgage Capital LLC, 7.0%, 12/25/27 (Step) (144A) 3,250,000 $226,044
Phillips 66, 2.95%, 5/1/17 750,000 $778,178
PNC Bank NA, 1.125%, 1/27/17 450,000 $453,056
PNC Bank NA, 1.3%, 10/3/16 550,000 $555,509
PNC Bank NA, Floating Rate Note, 1/28/16 500,000 $500,815
PNC Bank NA, Floating Rate Note, 4/29/16 1,111,000 $1,111,952
PNC Bank NA, Floating Rate Note, 8/1/17 750,000 $750,428
Polarpak, Inc., USD Term Loan (Canadian Borrower Portion), 6/7/20 157,565 $157,368
Polarpak, Inc., USD Term Loan (U.S. Borrower Portion), 6/7/20 81,881 $81,778
Popular ABS Mortgage Pass-Through Trust 2004-4, 5.181%, 9/25/34 (Step) 1,325,000 $482,280
Precision Castparts Corp., 1.25%, 1/15/18 500,000 $498,171
Prestige Brands, Inc., Term B-2 Loan, 8/18/21 355,000 $356,849
Pricoa Global Funding I, Floating Rate Note, 6/24/16 (144A) 500,000 $500,507
Principal Life Global Funding II, 1.2%, 5/19/17 (144A) 750,000 $748,585
Principal Life Global Funding II, Floating Rate Note, 5/27/16 (144A) 390,000 $391,728
Progreso Receivables Funding II LLC, 3.5%, 7/8/19 (144A) 1,370,000 $1,373,920
Progreso Receivables Funding I LLC, 4.0%, 7/9/18 (144A) 1,000,000 $1,010,056
Progress Residential 2014-SFR1 Trust, Floating Rate Note, 10/17/31 (144A) 1,000,000 $974,877
Prudential Covered Trust 2012-1, 2.997%, 9/30/15 (144A) 500,000 $383,331
Prudential Financial, Inc., 3.875%, 1/14/15 500,000 $509,383
Prudential Financial, Inc., 6.2%, 1/15/15 538,000 $554,277
PSEG Power LLC, 2.75%, 9/15/16 500,000 $517,222
PVH Corp., Tranche B Term Loan, 2/13/20 399,994 $401,431
Quebecor Media, Inc., Facility B-1 Tranche, 8/17/20 198,992 $194,080
Queen City Re, Floating Rate Note, 1/6/19 (Cat Bond) (144A) 500,000 $506,076
Queen Street IV Capital, Ltd., Floating Rate Note, 4/9/15 (Cat Bond) (144A) 750,000 $768,888
Queen Street VIII Re, Ltd., Floating Rate Note, 6/8/16 (Cat Bond) (144A) 250,000 $256,960
Queen Street VII Re, Ltd., Floating Rate Note, 4/8/16 (Cat Bond) (144A) 750,000 $790,667
Queen Street V Re, Ltd., Floating Rate Note, 4/9/15 (Cat Bond) (144A) 750,000 $772,446
Quest Trust REMICS, Floating Rate Note, 3/25/34 (144A) 24,804,330 $987,959
RAAC Series 2004-SP2 Trust, 6.0%, 1/25/32 11,000,000 $437,897
RAAC Series 2005-RP1 Trust, Floating Rate Note, 7/25/37 (144A) 583,530 $317,485
RAAC Series 2005-RP2 Trust, Floating Rate Note, 6/25/35 (144A) 995,000 $177,988
RAAC Series 2006-RP2 Trust, Floating Rate Note, 2/25/37 (144A) 4,099,889 $383,347
RAIT 2014-FL2 Trust, Floating Rate Note, 5/15/31 (144A) 1,500,000 $1,481,105
RAIT 2014-FL3 Trust, Floating Rate Note, 12/15/31 (144A) 1,000,000 $1,009,848
RALI Series 2002-QS16 Trust, Floating Rate Note, 10/25/17 11,475,000 $196,459
RALI Series 2003-QR24 Trust REMICS, 4.0%, 7/25/33 950,000 $192,206
RALI Series 2003-QR24 Trust REMICS, 4.0%, 7/25/33 6,880,000 $764,203
RALI Series 2003-QS11 Trust, Floating Rate Note, 6/25/33 13,610,000 $618,522
RALI Series 2003-QS14 Trust, 5.0%, 7/25/18 600,000 $36,628
RALI Series 2003-QS15 Trust, 5.5%, 8/25/33 250,000 $166,878
RALI Series 2003-QS6 Trust, Floating Rate Note, 3/25/33 6,865,000 $414,594
RALI Series 2003-QS9 Trust, Floating Rate Note, 5/25/18 11,040,000 $425,066
RALI Series 2004-QR1 Trust, 5.25%, 10/25/34 21,545,000 $375,556
RALI Series 2004-QS1 Trust, 4.25%, 1/25/34 14,997,000 $60,382
RALI Series 2004-QS1 Trust, Floating Rate Note, 1/25/34 2,884,000 $19,871
RALI Series 2004-QS5 Trust, 4.75%, 4/25/34 4,285,000 $228,947
RALI Series 2004-QS5 Trust, Floating Rate Note, 4/25/34 1,761,729 $93,043
RAMP Series 2003-RS9 Trust, Floating Rate Note, 10/25/33 5,091,956 $422,270
RAMP Series 2004-RS11 Trust, Floating Rate Note, 11/25/34 1,085,000 $312,384
RAMP Series 2004-SL4 Trust, Floating Rate Note, 5/25/18 13,780,000 $82,164
RAMP Series 2005-RS6 Trust, Floating Rate Note, 6/25/35 278,355 $156,402
RASC Series 2005-EMX2 Trust, Floating Rate Note, 7/25/35 40,280 $6,743
Raymond James Financial, Inc., 4.25%, 4/15/16 2,108,000 $2,206,523
RBS Greenwich Capital Mortgage Loan Trust, 3.686%, 4/15/24 (144A) 2,440,000 $921,823
RBS Greenwich Capital Mortgage Loan Trust, Floating Rate Note, 4/15/24 (144A) 250,000 $253,817
RBSSP Resecuritization Trust 2009-5, Floating Rate Note, 8/25/37 (144A) 2,550,000 $832,501
Reckitt Benckiser Treasury Services Plc, 2.125%, 9/21/18 (144A) 500,000 $507,054
Regatta Funding, Ltd., Floating Rate Note, 6/15/20 (144A) 500,000 $221,834
RENT-A-CENTER, INC, Term Loan (2014), 2/6/21 547,250 $536,305
Residential Asset Securitization Trust 2003-A2, Floating Rate Note, 5/25/33 34,300,000 $1,294,048
Residential Asset Securitization Trust 2004-A9, 5.75%, 12/25/34 1,130,000 $442,984
Residential Reinsurance 2011, Ltd., Floating Rate Note, 12/6/16 (Cat Bond) (144A) 500,000 $526,158
Residential Reinsurance 2011, Ltd., Floating Rate Note, 6/6/15 (Cat Bond) (144A) 500,000 $528,300
Residential Reinsurance 2011, Ltd., Floating Rate Note, 6/6/17 (Cat Bond) (144A) 500,000 $533,383
Residential Reinsurance 2012, Ltd., Floating Rate Note, 12/6/16 (Cat Bond) (144A) 1,150,000 $1,200,658
Residential Reinsurance 2012, Ltd., Floating Rate Note, 12/6/16 (Cat Bond) (144A) 250,000 $282,188
Residential Reinsurance 2012, Ltd., Floating Rate Note, 12/6/16 (Cat Bond) (144A) 250,000 $264,429
Residential Reinsurance 2012, Ltd., Floating Rate Note, 6/6/16 (Cat Bond) (144A) 250,000 $272,903
Residential Reinsurance 2013, Ltd., Floating Rate Note, 6/6/17 (Cat Bond) (144A) 250,000 $272,749
Residential Reinsurance 2014, Ltd., Floating Rate Note, 6/6/18 (Cat Bond) (144A) 250,000 $256,340
RESI Finance LP, Floating Rate Note, 9/10/35 (144A) 2,618,783 $483,443
RESI Finance LP 2003-CB1, Floating Rate Note, 7/9/35 2,245,000 $587,574
Resi Flt% 12dec45 A1 500,000 $477,190
Resource Capital Corp 2014-CRE2, Ltd., Floating Rate Note, 4/15/32 (144A) 1,480,000 $1,479,005
Resource Capital Corp CRE Notes 2013, Ltd., Floating Rate Note, 6/15/16 (144A) 1,000,000 $1,005,746
RFMSI Series 2005-S5 Trust, 5.25%, 7/25/35 300,770 $160,013
RFSC Series 2004-RP1 Trust, Floating Rate Note, 11/25/42 (144A) 250,000 $140,724
Rialto Capital Management LLC, 2.85%, 5/15/24 (144A) 700,000 $354,272
Rio Tinto Finance USA Plc, Floating Rate Note, 6/17/16 560,000 $565,463
Riverfront Re, Ltd., Floating Rate Note, 1/6/17 (Cat Bond) (144A) 320,000 $324,092
Royal Bank of Canada, 1.45%, 9/9/16 1,000,000 $1,013,834
Royal Bank of Canada, Floating Rate Note, 1/23/17 550,000 $551,391
Royal Bank of Canada, Floating Rate Note, 6/16/17 1,000,000 $1,000,748
RREF 2014-LT6 LLC, 2.75%, 9/15/24 (144A) 1,280,000 $1,133,496
Ryder System, Inc., 3.15%, 3/2/15 500,000 $507,226
SABMiller Holdings, Inc., 1.85%, 1/15/15 (144A) 500,000 $504,351
Sanders Re, Ltd., Floating Rate Note, 5/5/17 (Cat Bond) (144A) 750,000 $761,348
Sanders Re, Ltd., Floating Rate Note, 5/5/17 (Cat Bond) (144A) 750,000 $765,208
Sanders Re, Ltd., Floating Rate Note, 6/7/17 (Cat Bond) (144A) 650,000 $668,688
Santander Drive Auto Receivables Trust 2011-2, 3.28%, 6/15/16 700,000 $322,636
Santander Drive Auto Receivables Trust 2012-5, 2.7%, 8/15/18 125,000 $127,604
SASCO Mortgage Loan Trust 2005-GEL1, Floating Rate Note, 12/25/34 510,000 $353,710
SASCO Mortgage Loan Trust 2005-GEL2, Floating Rate Note, 4/25/35 8,945,588 $155,164
Saxon Asset Securities Trust 2005-3, Floating Rate Note, 11/25/35 471,000 $461,926
Saxon Asset Securities Trust 2005-4, Floating Rate Note, 11/25/37 9,516,000 $447,037
SBA Senior Finance II LLC, Incremental Tranche B-1 Term Loan, 3/31/21 199,500 $196,944
SBI Home Equity Loan Trust 2006-1, Floating Rate Note, 8/25/36 (144A) 1,350,000 $1,312,358
Schaeffler (Aka Ina Beteiligungsge 1st Lien Tl-B L + 3.5% 15may20 500,000 $501,528
Scientific Games International Inc 1st Lien Tl-B2 L + 5% 17sep21 925,000 $912,426
Seadrill Operating LP, Initial Term Loan, 2/14/21 843,625 $766,644
Sector Re V, Ltd., 0.0%, 3/1/18 (Cat Bond) (144A) 272 $6,806
Sector Re V, Ltd., 0.0%, 3/30/19 (Cat Bond) (144A) 300,000 $346,560
Selene Non-Performing Loans LLC, 2.9814%, 5/25/54 (Step) (144A) 1,020,000 $1,001,516
Senior Housing Properties Trust, 4.3%, 1/15/16 290,000 $301,810
Sensata Technologies Bv 1st Lien Tl-B2 L + 2.75% 08oct21 650,000 $651,219
Sequoia Mortgage Trust 2003-5, Floating Rate Note, 9/20/33 14,606,000 $662,310
Sequoia Mortgage Trust 2004-10, Floating Rate Note, 11/20/34 1,990,836 $205,452
Sequoia Mortgage Trust 2004-12 REMICS, Floating Rate Note, 1/20/35 3,700,000 $259,806
Sequoia Mortgage Trust 2004-12 REMICS, Floating Rate Note, 1/20/35 13,677,000 $1,448,137
Sequoia Mortgage Trust 2004-7, Floating Rate Note, 8/20/34 5,000,000 $223,424
Sequoia Mortgage Trust 2004-9, Floating Rate Note, 10/20/34 6,000,000 $580,209
Sequoia Mortgage Trust 2005-1, Floating Rate Note, 2/20/35 4,960,000 $482,274
Sequoia Mortgage Trust 2013-8, Floating Rate Note, 6/25/43 160,000 $144,709
Sequoia Mortgage Trust 2013-8, Floating Rate Note, 6/25/43 414,000 $342,247
Shell International Finance BV, Floating Rate Note, 11/15/16 750,000 $752,031
Sierra Timeshare 2012-2 Receivables Funding LLC, 2.38%, 3/20/29 (144A) 1,500,000 $426,427
Sierra Timeshare 2012-3 Receivables Funding LLC, 1.87%, 8/20/29 (144A) 1,400,000 $468,859
Sierra Timeshare 2013-1 Receivables Funding LLC, 2.39%, 11/20/29 (144A) 160,000 $60,014
Sierra Timeshare 2013-2 Receivables Funding LLC, 2.92%, 11/20/25 (144A) 160,000 $73,423
Sierra Timeshare 2013-2 Receivables Funding LLC, 4.75%, 11/20/25 (144A) 900,000 $419,602
Silver Bay Realty 2014-1 Trust, Floating Rate Note, 9/18/31 (144A) 750,000 $727,007
SilverLeaf Finance XVII LLC, 2.71%, 3/16/26 (144A) 750,000 $474,920
Silverstone Master Issuer Plc, Floating Rate Note, 1/21/55 (144A) 290,000 $298,164
Silverton RE, Ltd., 0.0%, 9/16/16 (Cat Bond) (144A) 250,000 $305,925
Sinclair Television Group, Inc., New Tranche B Term Loan, 4/19/20 440,536 $432,552
Sirius International Group, Ltd., 6.375%, 3/20/17 (144A) 750,000 $839,467
Skandinaviska Enskilda Banken AB New York NY, Floating Rate Note, 9/21/15 750,000 $751,125
SLM Student Loan Trust 2004-10, Floating Rate Note, 4/27/26 (144A) 380,000 $381,043
Small Business Administration Participation Certificates, 2.24%, 4/15/43 (144A) 630,000 $627,590
SMART Trust/Australia, Floating Rate Note, 1/17/17 500,000 $496,350
SMART Trust/Australia, Floating Rate Note, 8/15/16 750,000 $678,639
SNAAC Auto Receivables Trust, 4.38%, 6/15/17 (144A) 460,000 $378,109
SNAAC Auto Receivables Trust 2013-1, 1.14%, 7/16/18 (144A) 404,000 $51,989
Soundview Home Loan Trust 2005-3, Floating Rate Note, 6/25/35 600,000 $59,867
Soundview Home Loan Trust 2005-OPT4, Floating Rate Note, 12/25/35 815,490 $215,369
South Carolina State Public Service Authority, Floating Rate Note, 6/1/15 845,000 $845,000
South Carolina State Public Service Authority, Floating Rate Note, 6/1/15 45,000 $45,000
Southern Pacific Secured Asset Corp., Floating Rate Note, 3/25/28 32,000,000 $288,852
Southwire Co., Initial Term Loan, 1/31/21 403,224 $394,296
Specialty Underwriting & Residential Finance Trust Series 2006-BC1, Floating Rate Note, 12/25/36 790,207 $763,868
Spirit AeroSystems, Inc., Term Loan B, 9/30/20 531,599 $527,479
SpringCastle America Funding LLC, 2.7%, 5/25/23 1,020,000 $965,249
Springleaf Funding Trust 2013-A, 2.58%, 9/15/21 (144A) 1,200,000 $1,209,372
Springleaf Funding Trust 2014-A, 2.41%, 12/15/22 (144A) 1,000,000 $1,002,453
Springleaf Mortgage Loan Trust 2012-2, Floating Rate Note, 10/25/57 (144A) 424,000 $205,166
Standard Chartered Plc, 3.85%, 4/27/15 (144A) 500,000 $508,123
Stanwich Mortgage Loan Trust, 2.9814%, 2/16/43 (144A) 1,325,000 $360,615
Starbucks Corp., 0.875%, 12/5/16 605,000 $607,733
Starwood Property Mortgage Trust 2013-FV1, Floating Rate Note, 8/11/28 (144A) 640,000 $612,178
Starwood Property Trust, Inc., Term Loan (First Lien), 4/17/20 197,990 $195,020
State of Ohio, 3.0%, 6/15/15 500,000 $514,337
Steward Health Care System LLC, Term Loan, 4/10/20 296,992 $295,322
St Jude Medical, Inc., 2.5%, 1/15/16 510,000 $524,273
STORE Master Funding LLC, 5.77%, 8/20/42 (144A) 344,000 $365,299
Structured Adjustable Rate Mortgage Loan Trust, Floating Rate Note, 11/25/34 18,180,000 $907,636
Structured Adjustable Rate Mortgage Loan Trust, Floating Rate Note, 11/25/34 750,000 $73,960
Structured Adjustable Rate Mortgage Loan Trust, Floating Rate Note, 3/25/34 2,600,000 $144,439
Structured Adjustable Rate Mortgage Loan Trust, Floating Rate Note, 8/25/35 7,750,000 $459,122
Structured Asset Investment Loan Trust 2005-6, Floating Rate Note, 7/25/35 719,331 $667,073
Structured Asset Mortgage Investments II Trust 2004-AR5, Floating Rate Note, 10/19/34 8,100,000 $379,066
Structured Asset Mortgage Investments II Trust 2004-AR8, Floating Rate Note, 5/19/35 24,300,000 $1,302,599
Structured Asset Mortgage Investments II Trust 2005-AR2, Floating Rate Note, 5/25/45 5,000,000 $479,089
Structured Asset Mortgage Investments II Trust 2005-F1 REMICS, Floating Rate Note, 8/26/35 6,100,000 $127,018
Structured Asset Mortgage Investments Trust 2002-AR5, Floating Rate Note, 5/19/33 7,644,000 $379,214
Structured Asset Securities Corp Mor Cer Ser 2003-31A, Floating Rate Note, 10/25/33 1,500,000 $160,904
Structured Asset Securities Corp Mortgage Loan Trust 2005-2XS, 4.65%, 2/25/35 (Step) 1,000,000 $166,389
Structured Asset Securities Corp Mortgage Loan Trust 2005-WF4, Floating Rate Note, 11/25/35 475,000 $44,400
Structured Asset Securities Corp Mortgage Pass-Through Certificates Ser 2004-S4, Floating Rate Note, 500,000 $91,962
Structured Asset Securities Corp Mortgage Pass-Through Ctfs Ser 2003-24A, Floating Rate Note, 7/25/3 7,700,000 $941,671
Structured Asset Securities Corp Mortgage Pass Through Ctfs Series 2003-35, Floating Rate Note, 12/2 4,960,000 $277,593
Sumitomo Mitsui Banking Corp., Floating Rate Note, 1/10/17 750,000 $750,718
Sumitomo Mitsui Banking Corp., Floating Rate Note, 7/19/16 300,000 $301,972
Sumitomo Mitsui Trust Bank, Ltd., Floating Rate Note, 9/16/16 (144A) 500,000 $504,164
SunGard Data Systems, Inc., Tranche C Term Loan, 2/28/17 155,698 $155,437
Sunset Mortgage Loan Co 2014-NPL2 LLC, 3.721%, 11/16/44 (Step) (144A) 850,000 $850,264
SunTrust Bank, 1.35%, 2/15/17 500,000 $503,449
SunTrust Bank, Floating Rate Note, 2/15/17 500,000 $500,371
SunTrust Bank, Floating Rate Note, 4/1/15 430,000 $430,519
SunTrust Banks, Inc., 3.5%, 1/20/17 500,000 $530,782
Svenska Handelsbanken AB, Floating Rate Note, 9/23/16 1,000,000 $1,006,208
Svenska Handelsbanken New York NY, Floating Rate Note, 1/16/15 200,000 $200,217
SVO 2012-A VOI Mortgage LLC, 2.0%, 9/20/29 (144A) 1,600,000 $825,017
Synchrony Credit Card Master Note Trust, 1.03%, 1/15/18 300,000 $300,357
T2 Income Fund CLO, Ltd., Floating Rate Note, 7/15/19 (144A) 750,000 $741,314
TAL Advantage V LLC, 1.7%, 5/20/39 (144A) 400,000 $347,789
Tar Heel Re, Ltd., Floating Rate Note, 5/9/16 (Cat Bond) (144A) 250,000 $268,900
Telefonica Emisiones SAU, 3.992%, 2/16/16 500,000 $523,639
Terex Corp., U.S. Term Loan, 8/13/21 258,332 $257,363
Terwin Mortgage Trust Series TMTS 2003-8HE, Floating Rate Note, 12/25/34 5,234,000 $158,669
Terwin Mortgage Trust Series TMTS 2005-10HE, Floating Rate Note, 6/25/36 199,992 $146,508
Terwin Mortgage Trust Series TMTS 2005-14HE, 4.8492%, 8/25/36 (Step) 630,000 $127,858
Texas Instruments, Inc., 0.875%, 3/12/17 500,000 $501,207
Texas Municipal Gas Acquisition & Supply Corp III, 5.0%, 12/15/15 500,000 $532,518
The Bank of New York Mellon Corp., 1.969%, 6/20/17 (Step) 750,000 $770,986
The Bank of New York Mellon Corp., 2.95%, 6/18/15 750,000 $770,713
The Bank of New York Mellon Corp., 3.1%, 1/15/15 220,000 $223,291
The Bank of New York Mellon Corp., Floating Rate Note, 10/23/15 595,000 $596,259
The Bank of Nova Scotia, 1.1%, 12/13/16 500,000 $504,692
The Bank of Nova Scotia, 1.375%, 7/15/16 500,000 $507,262
The Bank of Nova Scotia, 1.45%, 4/25/18 500,000 $496,101
The Bank of Tokyo-Mitsubishi UFJ, Ltd., 1.55%, 9/9/16 (144A) 1,000,000 $1,012,730
The Bank of Tokyo-Mitsubishi UFJ, Ltd., Floating Rate Note, 3/10/17 (144A) 500,000 $499,946
The Bank of Tokyo-Mitsubishi UFJ, Ltd., Floating Rate Note, 9/8/17 (144A) 500,000 $498,302
The Bear Stearns Companies LLC, Floating Rate Note, 11/21/16 1,500,000 $1,497,053
The Boeing Co., 0.95%, 5/15/18 1,050,000 $1,030,221
The Charles Schwab Corp., 0.85%, 12/4/15 250,000 $252,288
The Geo Group, Inc., Term Loan, 4/3/20 494,975 $491,881
The Goldman Sachs Group, Inc., 3.7%, 8/1/15 340,000 $351,049
The Goldman Sachs Group, Inc., Floating Rate Note, 1/12/15 500,000 $500,682
The Goldman Sachs Group, Inc., Floating Rate Note, 3/22/16 475,000 $475,212
The Huntington National Bank, 1.3%, 11/20/16 500,000 $501,379
The Huntington National Bank, Floating Rate Note, 4/24/17 500,000 $500,644
The Korea Development Bank, Floating Rate Note, 1/22/17 750,000 $752,391
The PNC Financial Services Group, Inc., Floating Rate Note (Perpetual) 600,000 $602,242
Thermo Fisher Scientific, Inc., 2.4%, 2/1/19 1,000,000 $1,013,325
The Toronto-Dominion Bank, 1.4%, 4/30/18 500,000 $496,942
The Toronto-Dominion Bank, Floating Rate Note, 5/2/17 500,000 $499,807
The Toronto-Dominion Bank, Floating Rate Note, 7/2/19 750,000 $749,153
The Toronto-Dominion Bank, Floating Rate Note, 9/9/16 500,000 $502,911
Thomson Reuters Corp., 0.875%, 5/23/16 250,000 $249,768
Thomson Reuters Corp., 1.3%, 2/23/17 500,000 $501,632
Thornburg Mortgage Securities Trust 2003-3, Floating Rate Note, 6/25/43 3,857,000 $132,674
Thornburg Mortgage Securities Trust 2004-1, Floating Rate Note, 3/25/44 2,950,000 $195,725
Thornburg Mortgage Securities Trust 2004-1, Floating Rate Note, 3/25/44 4,537,000 $642,684
Thornburg Mortgage Securities Trust 2004-1, Floating Rate Note, 3/25/44 20,000,000 $213,007
Thornburg Mortgage Securities Trust 2004-3, Floating Rate Note, 9/25/34 11,309,309 $987,040
Thornburg Mortgage Securities Trust 2004-4, Floating Rate Note, 12/25/44 1,225,000 $201,214
TI Group Automotive Systems LLC, Term Loan Facility, 7/1/21 225,000 $224,438
TimberStar Trust 1 REMICS, 5.668%, 10/15/36 (144A) 525,000 $564,947
TMS International Corp., Term B Loan, 10/2/20 148,875 $148,627
Total Capital Canada, Ltd., Floating Rate Note, 1/15/16 1,115,000 $1,120,078
Toyota Motor Credit Corp., 0.75%, 3/3/17 (Step) 3,150,000 $3,149,467
Toyota Motor Credit Corp., 1.125%, 5/16/17 750,000 $750,636
Tpf Ii Power Llc 1st Lien Tl-B L + 4.5% 24sep21 750,000 $756,799
Trade MAPS 1, Ltd., Floating Rate Note, 12/10/18 (144A) 250,000 $250,035
Tradewynd Re, Ltd., Floating Rate Note, 1/8/15 (Cat Bond) (144A) 250,000 $253,098
Trafigura Securitisation Finance Plc, Floating Rate Note, 10/15/15 (144A) 525,000 $528,402
Trafigura Securitisation Finance Plc, Floating Rate Note, 10/15/15 (144A) 487,000 $489,912
Trafigura Securitisation Finance Plc, Floating Rate Note, 4/16/18 (144A) 400,000 $400,172
TransCanada PipeLines, Ltd., 0.75%, 1/15/16 650,000 $651,820
TransCanada PipeLines, Ltd., 0.875%, 3/2/15 490,000 $491,646
TransCanada PipeLines, Ltd., Floating Rate Note, 6/30/16 690,000 $695,649
Tribune Media Co., Initial Term Loan, 11/20/20 806,849 $804,832
Tyco Electronics Group SA, 1.6%, 2/3/15 640,000 $644,432
U.S. Treasury Notes, 1.5%, 8/31/18 3,000,000 $3,046,122
U.S. Treasury Notes, 1.75%, 5/31/16 14,500,000 $14,912,960
United Auto Credit Securitization Trust 2012-1, 3.12%, 3/15/18 (144A) 1,220,000 $1,222,536
United Auto Credit Securitization Trust 2014-1, 2.38%, 10/15/18 (144A) 700,000 $700,695
UnitedHealth Group, Inc., 1.875%, 11/15/16 500,000 $510,718
United Technologies Corp., Floating Rate Note, 6/1/15 500,000 $502,053
University of California, 0.966%, 5/15/17 500,000 $500,115
US Bancorp, 2.45%, 7/27/15 755,000 $772,037
US Renal Care, Inc., Tranche B-2 Term Loan (First Lien), 7/3/19 650,575 $650,169
Vantiv LLC, Term B Loan, 6/12/21 339,150 $338,035
Velocity Commercial Capital Loan Trust 2014-1, Floating Rate Note, 9/25/44 (144A) 800,000 $770,904
Ventas Realty LP, 3.125%, 11/30/15 500,000 $518,549
Vericrest Opportunity Loan Transferee 2014-NPL4 LLC, 3.125%, 4/27/54 (Step) (144A) 1,700,000 $1,508,344
Verint Systems, Inc., Tranche B Incremental Term Loan, 9/6/19 261,457 $261,490
Verizon Communications, Inc., 0.7%, 11/2/15 750,000 $750,871
Verizon Communications, Inc., Floating Rate Note, 9/15/16 1,285,000 $1,316,267
VFC 2014-2 LLC, 2.75%, 7/20/30 (144A) 1,060,000 $738,815
Viacom, Inc., 2.5%, 9/1/18 500,000 $509,893
Vita Capital IV, Ltd., Floating Rate Note, 1/15/16 (Cat Bond) (144A) 250,000 $252,455
Vita Capital V, Ltd., Floating Rate Note, 1/15/17 (Cat Bond) (144A) 750,000 $763,169
Vita Capital V, Ltd., Floating Rate Note, 1/15/17 (Cat Bond) (144A) 250,000 $255,893
Vitality Re IV, Ltd., Floating Rate Note, 1/9/17 (Cat Bond) (144A) 500,000 $506,542
Vitality Re V, Ltd., Floating Rate Note, 1/7/19 (Cat Bond) (144A) 500,000 $490,383
Vodafone Group Plc, Floating Rate Note, 2/19/16 275,000 $275,435
Volkswagen Group of America Finance LLC, Floating Rate Note, 5/23/16 (144A) 1,000,000 $999,016
Volkswagen International Finance NV, 1.125%, 11/18/16 (144A) 750,000 $752,438
Volkswagen International Finance NV, 1.15%, 11/20/15 (144A) 750,000 $754,576
Volkswagen International Finance NV, 1.6%, 11/20/17 (144A) 500,000 $502,099
VOLT XXIII LLC, 3.625%, 11/25/53 (Step) 475,000 $313,926
VOLT XXIV LLC, 3.25%, 11/25/53 (Step) 600,000 $333,332
VOLT XX LLC, 3.625%, 2/1/39 (Step) (144A) 550,000 $251,571
Volvo Financial Equipment LLC Series 2013-1, 0.74%, 3/15/17 (144A) 400,000 $400,629
Volvo Financial Equipment LLC Series 2014-1, 0.54%, 11/15/16 (144A) 415,000 $415,203
Wachovia Bank Commercial Mortgage Trust Series 2005-C17, Floating Rate Note, 3/15/42 1,965,000 $551,597
Wachovia Bank Commercial Mortgage Trust Series 2005-C18, 4.935%, 4/15/42 1,506,334 $995,301
Wachovia Bank Commercial Mortgage Trust Series 2005-C20 REMICS, Floating Rate Note, 7/15/42 2,414,000 $2,182,187
Wachovia Bank Commercial Mortgage Trust Series 2005-C21, Floating Rate Note, 10/17/44 625,364 $519,428
Wachovia Bank Commercial Mortgage Trust Series 2005-C22 REMICS, Floating Rate Note, 12/15/44 1,000,000 $933,825
Wachovia Bank Commercial Mortgage Trust Series 2006-C23 REMICS, Floating Rate Note, 1/15/45 1,590,000 $1,316,868
Wachovia Bank Commercial Mortgage Trust Series 2006-C24, Floating Rate Note, 3/15/45 272,000 $280,303
Wachovia Bank Commercial Mortgage Trust Series 2006-C25, Floating Rate Note, 5/15/43 1,200,000 $1,055,878
Wachovia Corp., Floating Rate Note, 6/15/17 1,077,000 $1,074,931
Wachovia Mortgage Loan Trust Series 2005-WMC1, Floating Rate Note, 10/25/35 750,000 $124,884
Walgreen Co., 1.0%, 3/13/15 1,000,000 $1,003,807
Walgreen Co., 1.8%, 9/15/17 1,000,000 $1,010,514
WaMu Mortgage Pass-Through Certificates Series 2002-AR6 Trust, Floating Rate Note, 6/25/42 29,950,000 $380,953
WaMu Mortgage Pass-Through Certificates Series 2003-AR9 Trust, Floating Rate Note, 9/25/33 3,122,360 $1,187,801
WaMu Mortgage Pass-Through Certificates Series 2003-S10, 5.0%, 10/25/18 17,361,049 $577,292
WCP Wireless Site Funding, 6.829%, 11/15/15 (144A) 1,155,000 $1,193,172
Welk Resorts 2013-A LLC, 3.1%, 3/15/29 (144A) 750,000 $597,832
Wells Fargo & Co., 1.25%, 7/20/16 500,000 $505,968
Wells Fargo & Co., 1.5%, 7/1/15 1,050,000 $1,064,239
Wells Fargo & Co., Floating Rate Note, 4/23/18 575,000 $578,650
Wells Fargo & Co., Floating Rate Note, 6/26/15 585,000 $589,064
Wells Fargo Alternative Loan 2005-2 Trust, Floating Rate Note, 10/25/35 453,135 $449,656
Wells Fargo Bank NA, Floating Rate Note, 5/16/16 250,000 $248,933
Wells Fargo Commercial Mortgage Trust 2014-TISH, Floating Rate Note, 2/16/27 (144A) 690,000 $690,251
Wells Fargo Home Equity Asset-Backed Securities 2005-3 Trust, Floating Rate Note, 12/25/35 200,000 $61,216
Wells Fargo Mortgage Backed Securities 2005-4 Trust, Floating Rate Note, 4/25/35 7,173,466 $437,960
Wells Fargo Mortgage Backed Securities 2005-AR6 Trust, Floating Rate Note, 4/25/35 3,371,000 $244,479
Wells Fargo Mortgage Backed Securities 2006-16 Trust, 5.0%, 11/25/36 550,000 $26,467
Wells Fargo Mortgage Backed Securities Trust, Floating Rate Note, 8/25/34 3,105,000 $170,731
Wesco Aircraft Hardware Corp., Tranche B Term Loan, 2/24/21 853,125 $842,290
WESCO Distribution, Inc., Tranche B-1 Loan, 12/12/19 61,163 $61,099
Westgate Resorts 2012-A LLC, 2.25%, 8/20/25 (144A) 1,490,000 $831,580
Westgate Resorts 2012-A LLC, 3.75%, 8/20/25 (144A) 403,000 $226,311
Westgate Resorts 2014-1 LLC, 2.15%, 12/20/26 (144A) 1,000,000 $918,960
Westgate Resorts LLC, 2.5%, 3/20/25 (144A) 250,000 $104,055
Westlake Automobile Receivables Trust 2013-1, 1.12%, 1/15/18 (144A) 150,000 $84,439
Westpac Banking Corp., 4.2%, 2/27/15 500,000 $509,976
Westpac Banking Corp., Floating Rate Note, 5/19/17 1,000,000 $1,001,154
Westwood CDO II, Ltd., Floating Rate Note, 4/25/22 (144A) 500,000 $386,611
Wheelabrator 1st Lien Tl-B L + 4% 15oct21 957,854 $967,134
Wheelabrator 1st Lien Tl-C L + 4% 15oct21 42,146 $42,554
Williams Partners LP, 3.8%, 2/15/15 750,000 $762,701
Wm Wrigley Jr Co., 2.0%, 10/20/17 (144A) 1,000,000 $1,014,487
World Financial Network Credit Card Master Trust, Floating Rate Note, 12/16/19 950,000 $950,558
WR Grace & Co-Conn, Delayed Draw Term Loan, 1/23/21 72,296 $72,052
WR Grace & Co-Conn, U.S. Term Loan, 1/23/21 201,418 $200,738
Zebra Technologies Corporation 1st Lien Tl-B L + 4% 30sep21 500,000 $504,875
ZIGGO BV, (USD) TLB3, 1/15/22 476,177 $469,076
Ziggo Bv 1st Lien Tl-B1 L + 2.75% 15jan22 449,291 $442,592
Ziggo Bv 1st Lien Tl-B2 L + 2.75% 15jan22 289,532 $285,215
Zoetis, Inc., 1.15%, 2/1/16 500,000 $502,474

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

For fund descriptions, historical and current performance, standardized returns as of the most recent quarter-end, risk disclosure or a prospectus, please click here.

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