Pioneer Short Term Income Fund

Top 10 Portfolio Holdings as of 5/30/2014
Default: sorted by market value

Security Name Par / Shares Market Value
A10 Securitization 2013-1 LLC, 2.4%, 11/15/25 (144A) 642,000 $587,000
A10 Term Asset Financing 2013-2 LLC, 2.62%, 11/15/27 (144A) 1,085,000 $1,088,592
ABN AMRO Bank NV, 1.375%, 1/22/16 (144A) 500,000 $507,068
ABN AMRO Bank NV, Floating Rate Note, 10/28/16 (144A) 750,000 $756,391
ACA CLO 2006-2, Ltd., Floating Rate Note, 1/20/21 (144A) 250,000 $244,233
ACAS CLO 2007-1, Ltd., Floating Rate Note, 4/20/21 500,000 $491,610
Accredited Mortgage Loan Trust 2005-2, Floating Rate Note, 7/25/35 240,000 $230,953
ACE Securities Corp Manufactured Housing Trust Series 2003-MH1, Floating Rate Note, 8/15/30 (144A) 425,000 $77,300
Acis CLO, Ltd., Floating Rate Note, 5/1/26 700,000 $700,000
Acosta, Inc., 3/2/18 248,126 $249,263
Activision Blizzard, Inc., 7/26/20 450,000 $451,055
Adjustable Rate Mortgage Trust 2005-2, Floating Rate Note, 6/25/35 345,151 $279,286
Adjustable Rate Mortgage Trust 2005-5, Floating Rate Note, 9/25/35 3,300,000 $309,280
Aegis Asset Backed Securities Trust 2005-5, Floating Rate Note, 12/25/35 1,000,000 $277,756
Aegis Asset Backed Securities Trust Mortgage Pass-Through Ctfs Ser 2005-4, Floating Rate Note, 10/25 239,000 $145,824
Aegis Asset Backed Securities Trust Mortgage Pass- Through Ctfs Series 2004-3, Floating Rate Note, 9 881,754 $172,773
Aegis Asset Backed Securities Trust Mortgage Pass- Through Ctfs Series 2004-3, Floating Rate Note, 9 12,500,000 $526,263
AES Corp. Virginia, 6/1/18 12,239 $12,270
Afin Flt% 20nov15 13-3-A1b 250,000 $250,253
Aflac, Inc., 3.45%, 8/15/15 500,000 $523,163
Agilent Technologies, Inc., 5.5%, 9/14/15 620,000 $663,944
Ah4r Flt% 17jun31 14-Sfr1-B 500,000 $499,028
Albertsons LLC, 3/21/19 648,375 $652,154
Allegion US Holding Co, Inc., 12/26/20 498,750 $497,503
Alliant Techsystems, Inc., 10/22/20 249,375 $249,780
Allied Security Holdings LLC, 2/12/21 511,570 $510,371
Allyl Flt% 20oct16 14-Sn1-A2b 500,000 $500,053
Altair Re, Floating Rate Note, 4/30/16 (Cat Bond) 84,180 $103,356
Altera Corp., 2.5%, 11/15/18 500,000 $510,984
Alternative Loan Trust 2003-14T1, Floating Rate Note, 8/25/18 3,200,000 $151,169
Alternative Loan Trust 2003-J1, 4.75%, 10/25/33 4,300,000 $226,932
Alternative Loan Trust 2004-18CB, Floating Rate Note, 9/25/34 19,958,000 $110,828
Alternative Loan Trust 2004-4CB, 4.25%, 4/25/34 4,541,000 $238,458
Alternative Loan Trust 2005-J4, Floating Rate Note, 7/25/35 1,322,801 $1,279,314
Altrl Flt% 30jun16 350,000 $360,220
Amcar 2.45% 08dec16 11-5-B 500,000 $505,277
AMC Entertainment, Inc., 4/30/20 248,744 $248,820
America Movil SAB de CV, Floating Rate Note, 9/12/16 1,000,000 $1,014,912
American Credit Acceptance Receivables Trust, 1.39%, 10/10/17 (144A) 500,000 $483,109
American Credit Acceptance Receivables Trust, 1.64%, 11/15/16 (144A) 350,000 $97,168
American Credit Acceptance Receivables Trust 2013-2, 1.32%, 2/15/17 (144A) 280,000 $147,961
American Credit Acceptance Receivables Trust 2014-1, 1.14%, 3/12/18 (144A) 520,000 $409,861
American Electric Power Co, Inc., 1.65%, 12/15/17 500,000 $506,929
American Express Credit Corp., 1.3%, 7/29/16 500,000 $507,333
American Express Credit Corp., 5.125%, 8/25/14 553,000 $566,646
American Express Credit Corp., Floating Rate Note, 6/12/15 200,000 $202,631
American Express Credit Corp., Floating Rate Note, 6/24/14 500,000 $501,297
American Home Mortgage Investment Trust 2004-3, 5.01%, 10/25/34 (Step) 4,000,000 $318,208
American Home Mortgage Investment Trust 2005-1, Floating Rate Note, 6/25/45 1,500,000 $221,764
American Honda Finance Corp., 1.125%, 10/7/16 500,000 $505,559
American Honda Finance Corp., 1.85%, 9/19/14 (144A) 200,000 $201,556
American Honda Finance Corp., Floating Rate Note, 5/26/16 (144A) 675,000 $678,047
AmeriCredit Automobile Receivables Trust 2010-2, 6.24%, 6/8/16 567,000 $577,111
AmeriCredit Automobile Receivables Trust 2011-3, 4.04%, 7/10/17 100,000 $104,008
AmeriCredit Automobile Receivables Trust 2012-4, 3.82%, 2/10/20 500,000 $525,741
AmeriCredit Automobile Receivables Trust 2013-1, 1.57%, 1/8/19 150,000 $150,711
AmeriCredit Automobile Receivables Trust 2013-4, 0.74%, 11/8/16 500,000 $382,461
AmeriCredit Automobile Receivables Trust 2013-4, 3.31%, 10/8/19 500,000 $521,832
Ameriquest Mortgage Securities Inc Asset-Backed Pass-Through Ctfs Ser 2003-11, Floating Rate Note, 1 14,558,685 $665,819
Ameriquest Mortgage Securities Inc Asset-Backed Pass-Through Ctfs Ser 2005-R1, Floating Rate Note, 3 592,188 $363,149
Ameriquest Mortgage Securities Inc Asset Backed Pass-Through Ctfs Ser 2005-R11, Floating Rate Note, 962,222 $717,348
Ameriquest Mortgage Securities Inc Asset-Backed Pass-Through Ctfs Ser 2005-R6, Floating Rate Note, 8 2,840,000 $39,548
Ameriquest Mortgage Securities Inc Asset-Backed Pass-Through Ctfs Ser 2005-R9, 4.8035%, 11/25/35 (St 590,000 $549,166
Ameriquest Mort Sec Inc Asset Backed Pass Thr Cert 03 AR3, Floating Rate Note, 6/25/33 155,851 $104,895
Amgen, Inc., 2.5%, 11/15/16 500,000 $519,652
AMRESCO Residential Securities Corp Mortgage Loan Trust 1997-3, Floating Rate Note, 9/25/27 8,300,000 $198,069
Amxca Flt% 15may20 12-4-C 760,000 $765,766
Anheuser-Busch Companies LLC, 5.0%, 1/15/15 225,000 $235,691
Anheuser-Busch InBev Finance, Inc., Floating Rate Note, 1/27/17 500,000 $500,865
Anheuser-Busch InBev Worldwide, Inc., 1.5%, 7/14/14 500,000 $503,644
Anheuser-Busch InBev Worldwide, Inc., 4.125%, 1/15/15 580,000 $602,386
ANZ New Zealand Int'l, Ltd. London, 1.125%, 3/24/16 (144A) 1,000,000 $1,006,326
Apple, Inc., Floating Rate Note, 5/3/16 400,000 $400,269
ARC Properties Operating Partnership LP, 2.0%, 2/6/17 (144A) 500,000 $506,600
ARI Fleet Lease Trust 2012-A, Floating Rate Note, 3/15/20 (144A) 810,000 $226,506
ARI Fleet Lease Trust 2013-A, 0.7%, 12/15/15 (144A) 260,000 $206,425
Armore Flt% 15dec16 144a 300,000 $296,850
Arysta Lifescience SPC LLC, 5/29/20 707,466 $709,234
Ascentium Equipment Receivables 2012-1 LLC, 1.83%, 9/15/19 (144A) 822,000 $232,303
Ascentium Equipment Receivables 2014-1 LLC, 1.04%, 1/10/17 400,000 $400,389
ASG Resecuritization Trust 2010-3, Floating Rate Note, 12/28/45 (144A) 1,642,839 $819,715
Asset Backed Securities Corp Home Equity Loan Trust Series 2003-HE1, Floating Rate Note, 1/15/33 3,082,000 $817,554
Asset Backed Securities Corp Home Equity Loan Trust Series 2005-HE3, Floating Rate Note, 4/25/35 159,800 $139,475
Asset Backed Securities Corp Home Equity Loan Trust Series AEG 2006-HE1, Floating Rate Note, 1/25/36 311,384 $62,679
Assurant, Inc., 2.5%, 3/15/18 300,000 $304,747
Astoria Financial Corp., 5.0%, 6/19/17 325,000 $358,943
AT&T, Inc., 0.875%, 2/13/15 500,000 $503,017
Atlantic Power LP, 2/20/21 1,175,000 $1,185,281
Atlas IX Capital, Ltd., Floating Rate Note, 1/17/19 (Cat Bond) (144A) 500,000 $514,153
Atlas Reinsurance VII, Ltd., Floating Rate Note, 1/7/16 (Cat Bond) (144A) 250,000 $262,951
Avago Technologies Ltd 1st Lien Tl-B L + 3% 16apr21 395,000 $396,728
AXIS Equipment Finance Receivables II LLC, 3.81%, 12/20/16 400,000 $401,189
Bacm Flt% 10oct45 05-5-A4 1,370,000 $1,384,347
Balta Flt% 25jan35 04-12-1a2 3,280,000 $387,764
Banc of America Alternative Loan Trust 2003-10, Floating Rate Note, 12/25/33 2,600,000 $189,974
Banc of America Alternative Loan Trust 2004-2, 5.5%, 3/25/19 954,266 $131,764
Banc of America Alternative Loan Trust 2004-4, 5.25%, 5/25/34 1,363,000 $181,101
Banc of America Funding 2003-3 Trust, 5.5%, 10/25/33 617,825 $142,797
Banc of America Funding 2004-B Trust, Floating Rate Note, 12/20/34 6,667,000 $579,970
Banc of America Large Loan Trust 2007-BMB1, Floating Rate Note, 8/15/29 (144A) 650,000 $650,127
Banc of America Merrill Lynch Commercial Mortgage, Inc., Floating Rate Note, 6/10/39 437,572 $22,800
Banc of America Merrill Lynch Commercial Mortgage, Inc., Floating Rate Note, 7/10/43 645,000 $636,468
Banc of America Merrill Lynch Commercial Mortgage, Inc., Floating Rate Note, 9/10/47 1,780,000 $1,875,398
Banc of America Mortgage 2003-F Trust, Floating Rate Note, 7/25/33 5,619,027 $300,319
Banc of America Mortgage 2003-H Trust, Floating Rate Note, 9/25/33 13,410,000 $1,215,231
Banc of America Mortgage Trust 2004-7, 4.5%, 8/25/19 181,000 $16,440
Banco Nacional de Desenvolvimento Economico e Social, 3.375%, 9/26/16 (144A) 1,000,000 $1,034,594
Bank of America Corp., 1.25%, 1/11/16 575,000 $582,292
Bank of America Corp., 1.35%, 11/21/16 500,000 $502,026
Bank of America Corp., 3.7%, 9/1/15 500,000 $523,019
Bank of America Corp., 4.5%, 4/1/15 210,000 $216,840
Bank of America Corp., 5.45%, 7/15/14 450,000 $461,961
Bank of America Corp., Floating Rate Note, 3/22/16 2,000,000 $2,017,679
Bank of America NA, 1.25%, 2/14/17 500,000 $502,944
Bank of Montreal, 0.8%, 11/6/15 500,000 $502,912
Bank of Nova Scotia, 1.1%, 12/13/16 500,000 $504,707
Bank of Nova Scotia, 1.375%, 7/15/16 500,000 $509,264
Bank of Nova Scotia, 1.45%, 4/25/18 500,000 $497,768
Bank of Nova Scotia, Floating Rate Note, 1/12/15 1,000,000 $1,007,880
Barclays Bank Plc, Floating Rate Note, 2/17/17 229,000 $230,238
Baxter International, Inc., 0.95%, 6/1/16 500,000 $504,368
Bayview Commercial Asset Trust, 3.855%, 9/25/37 (Step) (144A) 3,000,000 $110,998
Bayview Commercial Asset Trust, 4.13574%, 7/25/37 (Step) (144A) 4,500,000 $12,923
Bayview Commercial Asset Trust, Floating Rate Note, 1/25/35 (144A) 4,600,000 $769,511
Bayview Commercial Asset Trust, Floating Rate Note, 4/25/34 (144A) 4,150,000 $454,642
Bayview Financial Acquisition Trust, Floating Rate Note, 5/28/44 7,600,000 $172,329
Bayview Financial Acquisition Trust, Floating Rate Note, 8/28/44 29,040,588 $28,622
Bayview Financial Asset Trust 2003-A, Floating Rate Note, 2/25/33 (144A) 7,852,000 $264,130
Bayview Financial Mortgage Pass-Through Trust 2005-C, Floating Rate Note, 6/28/44 750,000 $722,093
Bayview Financial Mortgage Pass-Through Trust 2006-A, Floating Rate Note, 2/28/41 1,639,000 $214,280
Bayview Financial Mortgage Pass-Through Trust 2006-B, Floating Rate Note, 4/28/36 603,000 $50,778
Bayview Financial Mortgage Pass-Through Trust 2006-B, Floating Rate Note, 4/28/36 1,207,803 $362,597
Bayview Financial Mortgage Pass-Through Trust Series 2005-B, Floating Rate Note, 4/28/39 425,000 $417,952
Bayview Opportunity Master Fund IIa Trust 2012-4NPL, 3.9496%, 1/28/34 (Step) 695,000 $579,646
BB&T Corp., 1.6%, 8/15/17 103,000 $104,369
Bbt Flt% 23may17 250,000 $248,145
BCAP LLC 2009-RR13-I Trust, Floating Rate Note, 9/26/35 (144A) 2,765,000 $844,876
BCAP LLC 2013-RR3 Trust, Floating Rate Note, 5/26/36 (144A) 500,000 $418,600
BCMSC Trust 1998-A, 6.65%, 4/15/28 2,750,000 $120,257
Bear Stearns ALT-A Trust 2004-11, Floating Rate Note, 11/25/34 7,155,000 $429,595
Bear Stearns ALT-A Trust 2004-12, Floating Rate Note, 1/25/35 5,395,000 $682,314
Bear Stearns ALT-A Trust 2004-12, Floating Rate Note, 1/25/35 3,695,000 $514,633
Bear Stearns ALT-A Trust 2004-12, Floating Rate Note, 1/25/35 8,440,000 $1,168,665
Bear Stearns ALT-A Trust 2004-13, Floating Rate Note, 11/25/34 1,905,000 $105,611
Bear Stearns ALT-A Trust 2004-4, Floating Rate Note, 6/25/34 10,699,000 $933,498
Bear Stearns ARM Trust 2003-3, Floating Rate Note, 5/25/33 9,158,341 $307,787
Bear Stearns ARM Trust 2004-10, Floating Rate Note, 1/25/35 720,000 $118,711
Bear Stearns ARM Trust 2004-3, Floating Rate Note, 7/25/34 2,481,203 $100,204
Bear Stearns ARM Trust 2004-9, Floating Rate Note, 11/25/34 1,014,658 $139,493
Bear Stearns Asset Backed Securities I Trust 2005-FR1, Floating Rate Note, 6/25/35 1,526,722 $641,409
Bear Stearns Asset Backed Securities I Trust 2005-HE6, Floating Rate Note, 6/25/35 1,350,000 $71,345
Bear Stearns Asset Backed Securities I Trust 2005-HE8, Floating Rate Note, 8/25/35 1,233,951 $145,978
Bear Stearns Asset Backed Securities Trust, Floating Rate Note, 2/25/35 5,848,300 $422,974
Bear Stearns Asset Backed Securities Trust 2003-SD2, Floating Rate Note, 6/25/43 3,896,100 $310,992
Bear Stearns Asset Backed Securities Trust 2004-2, Floating Rate Note, 8/25/34 389,000 $73,350
Bear Stearns Asset Backed Securities Trust 2006-SD2, Floating Rate Note, 6/25/36 412,000 $251,928
Bear Stearns Commercial Mortgage Securities Trust 2005-PWR7, Floating Rate Note, 2/11/41 150,000 $152,201
Bear Stearns Commercial Mortgage Securities Trust 2005-PWR8, 4.75%, 6/11/41 415,000 $429,836
Bear Stearns Commercial Mortgage Securities Trust 2005-PWR9, Floating Rate Note, 9/11/42 1,160,000 $1,208,582
Bear Stearns Commercial Mortgage Securities Trust 2005-TOP18, Floating Rate Note, 2/13/42 1,150,000 $1,028,334
Bear Stearns Mortgage Securities, Inc., Floating Rate Note, 6/25/30 731,690 $141,766
Bear Stearns Structured Products Trust 2007-EMX1, Floating Rate Note, 3/25/37 (144A) 1,130,000 $256,097
Belden Finance 2013 LP, 9/9/20 248,750 $249,176
Bella Vista Mortgage Trust 2004-1, Floating Rate Note, 11/20/34 12,618,000 $382,273
Berkshire Hathaway Finance Corp., Floating Rate Note, 1/10/17 1,000,000 $1,001,583
BHP Billiton Finance USA, Ltd., Floating Rate Note, 9/30/16 500,000 $501,002
Blue Danube, Ltd., Floating Rate Note, 4/10/15 (Cat Bond) (144A) 650,000 $685,839
Blue Danube II, Ltd., Floating Rate Note, 5/23/16 (Cat Bond) (144A) 250,000 $252,017
BMW Vehicle Lease Trust 2013-1, 0.4%, 1/20/15 370,000 $96,068
BMW Vehicle Owner Trust 2011-A, 0.76%, 8/25/15 100,000 $10,876
Boca Hotel Portfolio Trust 2013-BOCA, Floating Rate Note, 8/15/26 (144A) 430,000 $431,305
Bombardier, Inc., 4.25%, 1/15/16 (144A) 360,000 $379,730
Bosphorus 1 Re, Ltd., Floating Rate Note, 5/3/16 (Cat Bond) (144A) 250,000 $250,727
Boston Scientific Corp., 2.65%, 10/1/18 500,000 $512,945
BPCE SA, Floating Rate Note, 4/25/16 550,000 $559,211
Branch Banking & Trust Co., 2.3%, 10/15/18 500,000 $511,572
Branch Banking & Trust Co., Floating Rate Note, 9/13/16 250,000 $248,849
Bright Horizons Family Solutions, Inc., 1/30/20 298,489 $299,281
Britax US Holdings, Inc., 10/7/20 298,500 $280,839
British Telecommunications Plc, 2.0%, 6/22/15 504,000 $515,891
Bush Truck Leasing LLC, 5.0%, 9/25/18 (144A) 100,000 $11,250
BWAY Holding Co., 8/6/17 192,563 $193,429
Caelus Re, Ltd., Floating Rate Note, 3/7/16 (Cat Bond) (144A) 250,000 $254,824
Caelus Re 2013, Ltd., Floating Rate Note, 4/7/17 (Cat Bond) (144A) 750,000 $786,838
California Republic Auto Receivables Trust 2012-1, 1.18%, 8/15/17 (144A) 329,000 $132,036
Calpine Construction Finance Co LP, 1/3/22 673,309 $665,398
CAM Mortgage Trust 2014-1, 3.3515%, 12/15/53 (Step) (144A) 660,000 $419,487
Canadian National Railway Co., Floating Rate Note, 11/6/15 730,000 $730,446
Canadian Natural Resources, Ltd., 1.45%, 11/14/14 430,000 $432,117
Canadian Natural Resources, Ltd., Floating Rate Note, 3/30/16 277,000 $277,769
Capital Auto Receivables Asset Trust/ Ally, 1.74%, 10/22/18 413,000 $414,394
Capital Auto Receivables Asset Trust/ Ally, 2.19%, 9/20/21 125,000 $125,616
Capital One Financial Corp., 1.0%, 11/6/15 475,000 $477,423
Capital One Financial Corp., 2.125%, 7/15/14 1,559,000 $1,574,761
Capital One Financial Corp., 2.15%, 3/23/15 1,000,000 $1,017,738
Capital One Financial Corp., Floating Rate Note, 11/6/15 750,000 $753,759
Cardinal Health, Inc., 4.0%, 6/15/15 500,000 $527,567
CarMax Auto Owner Trust 2012-1, 0.89%, 9/15/16 745,000 $435,151
Carrington Mortgage Loan Trust Series 2005-NC1, Floating Rate Note, 2/25/35 1,496,373 $437,974
Carrington Mortgage Loan Trust Series 2006-OPT1, Floating Rate Note, 2/25/36 5,047,000 $1,107,986
Castle Garden Funding, Floating Rate Note, 10/27/20 (144A) 2,000,000 $611,984
Caterpillar Financial Services Corp., 1.35%, 9/6/16 1,125,000 $1,142,689
Cbaau Flt% 18sep15 144a 460,000 $465,043
CDC Mortgage Capital Trust 2002-HE1, Floating Rate Note, 1/25/33 19,484,513 $444,157
Cendant Mortgage Corp., 6.25%, 3/25/32 (144A) 4,100,000 $587,701
Centerpoint Energy Transition Bond Co II LLC, 5.17%, 8/1/19 720,000 $773,094
CeramTec Acquisition Corp., 8/30/20 20,955 $20,999
CeramTec GmbH, 8/30/20 64,096 $64,229
CeramTec Service GmbH, 8/30/20 211,444 $211,885
Cf Flt% 07may24 12-2a-D 250,000 $252,160
Cgbam Flt% 15feb31 14-Hd_B 310,000 $310,035
Cgwf Flt% 15nov30 13-Rkwh-B 1,090,000 $1,095,679
Chase Funding Trust Series 2003-3, Floating Rate Note, 4/25/33 13,029,694 $135,604
Chase Mortgage Finance Trust Series 2005-S1, 5.5%, 5/25/35 4,068,000 $107,790
Chesapeake Funding LLC, Floating Rate Note, 3/7/26 750,000 $750,298
Chesapeake Funding LLC, Floating Rate Note, 5/7/24 (144A) 200,000 $154,981
CHL Mortgage Pass-Through Trust 2002-J4, 5.5%, 10/25/32 10,625,000 $734,985
CHL Mortgage Pass-Through Trust 2004-14, Floating Rate Note, 8/25/34 1,250,000 $174,741
CHL Mortgage Pass-Through Trust 2004-29, Floating Rate Note, 2/25/35 17,457,000 $968,068
CHL Mortgage Pass-Through Trust 2005-19, 5.5%, 8/25/35 1,610,000 $125,380
Chrysler Group LLC, 12/29/18 600,000 $597,107
Chrysler Group LLC, 5/24/17 904,425 $906,347
CHS, 1/25/17 100,127 $100,424
CHS, 1/27/21 266,871 $268,706
Cinedigm Digital Funding I LLC, 2/28/18 183,129 $183,587
Citicorp Mortgage Securities REMIC Pass-Through Certificates Trust Series 2005-7, 5.0%, 10/25/35 5,635,000 $569,366
Citigroup, Inc., 1.3%, 4/1/16 500,000 $504,258
Citigroup, Inc., 5.0%, 9/15/14 1,500,000 $1,534,256
Citigroup, Inc., 5.5%, 10/15/14 430,000 $440,663
Citigroup, Inc., Floating Rate Note, 11/15/16 750,000 $753,414
Citigroup, Inc., Floating Rate Note, 4/1/16 500,000 $503,692
Citigroup, Inc., Floating Rate Note, 7/25/16 750,000 $758,436
Citigroup Commercial Mortgage Trust 2007-FL3, Floating Rate Note, 4/15/22 (144A) 580,444 $575,515
Citigroup Mortgage Loan Trust, Inc., 7.0%, 9/25/33 7,340,000 $111,185
Citigroup Mortgage Loan Trust, Inc., Floating Rate Note, 11/25/34 900,000 $60,511
Citigroup Mortgage Loan Trust, Inc., Floating Rate Note, 11/25/35 1,471,464 $18,133
Citigroup Mortgage Loan Trust, Inc., Floating Rate Note, 4/25/35 1,750,000 $180,624
Citigroup Mortgage Loan Trust 2006-SHL1, Floating Rate Note, 11/25/45 (144A) 3,365,000 $407,007
Citigroup Mortgage Loan Trust 2010-7, Floating Rate Note, 9/25/37 (144A) 1,905,250 $516,608
Citrus Re, Ltd., Floating Rate Note, 4/18/17 (Cat Bond) (144A) 250,000 $245,450
Citrus Re, Ltd., Floating Rate Note, 4/24/17 (Cat Bond) (144A) 600,000 $587,400
CNH Wholesale Master Note Trust, Floating Rate Note, 8/15/19 (144A) 525,000 $527,058
CNL Commercial Mortgage Loan Trust 2002-1, Floating Rate Note, 10/25/28 (144A) 8,975,000 $305,663
CNL Commercial Mortgage Loan Trust 2003-1, Floating Rate Note, 5/15/31 (144A) 5,443,000 $541,768
CNL Commercial Mortgage Loan Trust 2003-2, Floating Rate Note, 10/25/30 (144A) 1,000,000 $94,709
Coca-Cola Enterprises, Inc., 2.125%, 9/15/15 189,000 $193,085
Collateralized Mortgage Obligation Trust 44, Floating Rate Note, 7/1/18 13,590,000 $58,923
Colony American Homes 2014-1, Floating Rate Note, 5/17/31 700,000 $698,144
Combine Re, Ltd., Floating Rate Note, 1/7/15 (Cat Bond) (144A) 1,000,000 $1,018,300
Combine Re, Ltd., Floating Rate Note, 1/7/15 (Cat Bond) (144A) 400,000 $421,622
COMM 2006-FL12 Mortgage Trust, Floating Rate Note, 12/15/20 (144A) 785,000 $506,351
COMM 2006-FL12 Mortgage Trust, Floating Rate Note, 12/15/20 (144A) 3,410,000 $776,253
COMM 2007-FL14 Mortgage Trust, Floating Rate Note, 6/15/22 (144A) 650,000 $145,412
COMM 2007-FL14 Mortgage Trust, Floating Rate Note, 6/15/22 (144A) 2,937,000 $901,376
COMM 2013-FL3 Mortgage Trust, Floating Rate Note, 10/13/28 (144A) 1,000,000 $1,003,239
COMM 2014-TWC Mortgage Trust, Floating Rate Note, 2/13/32 (144A) 1,850,000 $1,852,452
Commercial Mortgage Pass Through Certificates, Floating Rate Note, 11/17/26 (144A) 600,000 $558,147
Commercial Mortgage Trust 2005-GG3, Floating Rate Note, 8/10/42 1,000,000 $1,022,209
Commercial Mortgage Trust 2005-GG3, Floating Rate Note, 8/10/42 485,000 $492,598
Commonwealth Bank of Australia, Floating Rate Note, 3/13/17 (144A) 650,000 $651,752
Commonwealth Edison Co., 1.95%, 9/1/16 500,000 $514,757
Compass Re, Ltd., Floating Rate Note, 1/8/15 (Cat Bond) (144A) 375,000 $389,238
ConocoPhillips Co., 1.05%, 12/15/17 700,000 $699,585
Conseco Finance Corp., 7.55%, 4/15/32 (Step) 2,740,000 $304,842
Conseco Finance Corp., Floating Rate Note, 11/15/32 800,000 $9,945
Conseco Finance Home Equity Loan Trust 2002-C, Floating Rate Note, 5/15/32 2,875,000 $847,679
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA New York, Floating Rate Note, 3/18/16 500,000 $503,690
Costco Wholesale Corp., 1.125%, 12/15/17 740,000 $740,712
Countrywide Asset-Backed Certificates, Floating Rate Note, 1/25/36 330,000 $66,588
Countrywide Asset-Backed Certificates, Floating Rate Note, 11/25/34 4,839,000 $149,936
Countrywide Asset-Backed Certificates, Floating Rate Note, 11/25/35 (144A) 2,175,000 $102,134
Countrywide Asset-Backed Certificates, Floating Rate Note, 2/25/33 244,000 $62,039
Countrywide Asset-Backed Certificates, Floating Rate Note, 2/25/36 1,814,000 $354,973
Countrywide Asset-Backed Certificates, Floating Rate Note, 5/25/35 1,300,000 $380,610
Countrywide Asset-Backed Certificates, Floating Rate Note, 5/25/36 1,600,000 $159,426
Countrywide Asset-Backed Certificates, Floating Rate Note, 6/25/36 284,000 $69,068
Countrywide Asset-Backed Certificates, Floating Rate Note, 7/25/35 1,554,000 $244,044
Countrywide Asset-Backed Certificates, Floating Rate Note, 9/25/34 (144A) 8,600,000 $581,202
County of Power Idaho, 5.625%, 10/1/14 1,000,000 $1,019,375
CPS Auto Receivables Trust 2013-A, 1.89%, 6/15/20 (144A) 690,000 $499,935
CPS Auto Receivables Trust 2013-B, 1.82%, 9/15/20 (144A) 157,000 $104,037
CPS Auto Receivables Trust 2014-A, 1.21%, 8/15/18 200,000 $189,631
Credit Acceptance Auto Loan Trust 2013-2, 1.5%, 4/15/21 (144A) 1,000,000 $1,009,084
Credit Suisse Commercial Mortgage Trust Series 2007-C1, 5.361%, 2/15/40 1,300,000 $1,071,635
Credit Suisse First Boston Mortgage Securities Corp., 4.686%, 7/15/37 890,000 $902,805
Credit Suisse First Boston Mortgage Securities Corp., 4.829%, 11/15/37 204,829 $192,421
Credit Suisse First Boston Mortgage Securities Corp., 4.832%, 4/15/37 1,080,143 $1,110,876
Credit Suisse First Boston Mortgage Securities Corp., 4.877%, 4/15/37 500,000 $509,673
Credit Suisse First Boston Mortgage Securities Corp., 5.25%, 10/25/19 1,196,000 $69,208
Credit Suisse First Boston Mortgage Securities Corp., 5.5%, 6/25/33 200,000 $49,244
Credit Suisse First Boston Mortgage Securities Corp., 5.5%, 8/25/34 18,567,000 $66,803
Credit Suisse First Boston Mortgage Securities Corp., 7.5%, 5/25/32 15,000,000 $323,207
Credit Suisse First Boston Mortgage Securities Corp., Floating Rate Note, 11/25/33 1,400,000 $83,978
Credit Suisse First Boston Mortgage Securities Corp., Floating Rate Note, 12/15/40 2,030,000 $1,533,723
Credit Suisse First Boston Mortgage Securities Corp., Floating Rate Note, 12/25/33 700,000 $41,534
Credit Suisse First Boston Mortgage Securities Corp., Floating Rate Note, 2/15/38 855,000 $748,688
Credit Suisse First Boston Mortgage Securities Corp., Floating Rate Note, 7/15/36 1,170,000 $91,415
Credit Suisse First Boston Mortgage Securities Corp., Floating Rate Note, 8/15/38 1,200,440 $1,225,077
Credit Suisse Mortgage Capital Certificates, Floating Rate Note, 10/15/21 (144A) 875,000 $257,137
Credit Suisse Mortgage Capital Certificates, Floating Rate Note, 7/27/36 (144A) 3,494,698 $882,006
Cronos Containers Program, Ltd., 3.81%, 9/18/27 (144A) 250,000 $210,975
Crown Castle Towers LLC, 3.214%, 8/15/15 (144A) 500,000 $509,751
Csfb Flt% 25jul35 05-6-1a2 2,850,000 $328,994
Csmc2014-Surf Flt% 15feb29 B 700,000 $701,737
CSMC Trust 2010-16, Floating Rate Note, 6/25/50 (144A) 600,000 $320,731
Daimler Finance North America LLC, 1.45%, 8/1/16 (144A) 1,000,000 $1,017,892
Daimler Finance North America LLC, Floating Rate Note, 3/10/17 (144A) 750,000 $751,835
Darling Ingredients, Inc., 12/19/20 525,000 $526,470
Del Coronado Trust 2013-DEL, Floating Rate Note, 3/15/26 (144A) 300,000 $299,880
Del Coronado Trust 2013-DEL, Floating Rate Note, 3/15/26 (144A) 399,000 $397,541
DELOS FINANCE SARL, Loan, 2/27/21 425,000 $425,645
Delta Air Lines, Inc., 10/18/18 99,747 $99,676
Deutsche Telekom International Finance BV, 4.875%, 7/8/14 1,000,000 $1,023,624
Devon Energy Corp., Floating Rate Note, 12/15/15 1,500,000 $1,507,889
Diamond Resorts Owner Trust 2013-2, 2.62%, 3/1/24 750,000 $594,444
Digital Realty Trust LP, 4.5%, 7/15/15 650,000 $681,727
Direct Capital Funding V LLC, 1.673%, 12/20/17 (144A) 175,000 $62,208
Direct Capital Funding V LLC, 4.83%, 11/20/20 (144A) 750,000 $768,881
Discover Card Execution Note Trust, 0.81%, 8/15/17 500,000 $501,812
Discovery Communications LLC, 3.7%, 6/1/15 750,000 $788,588
Dis Flt% 30may19 750,000 $750,738
Drock Flt% 16mar20 14-2-A 500,000 $500,027
DT Auto Owner Trust 2013-1, 1.67%, 2/15/19 (144A) 629,000 $632,396
Duke Energy Carolinas LLC, 1.75%, 12/15/16 750,000 $774,474
Duke Energy Corp., 3.95%, 9/15/14 395,000 $402,322
Duke Energy Florida, Inc., 0.65%, 11/15/15 500,000 $501,744
Duke Energy Indiana, Inc., Floating Rate Note, 7/11/16 303,000 $304,912
Duke Energy Progress, Inc., Floating Rate Note, 3/6/17 411,000 $411,658
Dvn 1.2% 15dec16 500,000 $505,342
Eart Flt% 15aug18 14-2a-A 400,000 $400,020
East Lane Re, Ltd., Floating Rate Note, 3/13/15 (Cat Bond) (144A) 500,000 $516,669
East Lane Re VI, Ltd., Floating Rate Note, 3/14/18 (144A) 500,000 $493,000
Electricite de France, Floating Rate Note, 1/20/17 (144A) 750,000 $753,738
Ellington Loan Acquisition Trust 2007-1, Floating Rate Note, 5/28/37 (144A) 550,000 $515,673
Embarcadero Reinsurance, Ltd., Floating Rate Note, 2/4/16 (Cat Bond) (144A) 250,000 $252,599
Enbridge, Inc., Floating Rate Note, 10/1/16 500,000 $503,050
Endo Luxembourg Finance I 1st Lien Tl-B L + 2.5% 05nov20 500,000 $497,344
Energy Transfer Partners LP, 5.95%, 2/1/15 725,000 $764,780
Enterprise Products Operating LLC, 3.7%, 6/1/15 500,000 $524,714
Equity One Mortgage Pass-Through Trust 2003-1, Floating Rate Note, 8/25/33 11,389,000 $404,399
Equity One Mortgage Pass-Through Trust 2004-1, Floating Rate Note, 4/25/34 1,840,000 $471,992
Equity One Mortgage Pass-Through Trust 2004-2, Floating Rate Note, 7/25/34 1,925,000 $498,378
Equity One Mortgage Pass-Through Trust 2004-3, Floating Rate Note, 7/25/34 3,011,000 $184,760
Export-Import Bank of Korea, 1.25%, 11/20/15 500,000 $503,394
Express Scripts Holding Co., 2.1%, 2/12/15 597,000 $607,351
Express Scripts Holding Co., 2.75%, 11/21/14 900,000 $910,146
Express Scripts Holding Co., 3.125%, 5/15/16 1,000,000 $1,046,655
Extended Stay America Trust 2013-ESH, 1.2783%, 12/5/31 (144A) 723,000 $709,455
Extended Stay America Trust 2013-ESH, Floating Rate Note, 12/5/31 (144A) 200,000 $200,029
Extended Stay America Trust 2013-ESH, Floating Rate Note, 12/5/31 (144A) 200,000 $200,282
Fannie Mae, 4.5%, 1/1/41 580,000 $330,704
Fannie Mae, 4.5%, 5/1/39 2,100,000 $956,772
Fannie Mae, 4.5%, 5/1/39 1,350,000 $567,129
Fannie Mae, 5.0%, 10/1/41 1,736,000 $895,411
Fannie Mae, 5.0%, 7/1/15 1,000,000 $24,883
Fannie Mae, 5.5%, 12/1/35 1,000,000 $82,015
Fannie Mae, 5.5%, 8/1/37 2,000,000 $431,674
Fannie Mae, 6.0%, 10/1/22 973,454 $347,918
Fannie Mae, 6.0%, 2/1/34 1,400,000 $38,468
Fannie Mae, 6.0%, 4/1/38 483,000 $50,050
Fannie Mae, 6.5%, 4/1/29 9,050,000 $336,954
Fannie Mae, 6.5%, 6/1/15 3,819,656 $2,216
Fannie Mae, 6.5%, 6/1/16 700,000 $2,848
Fannie Mae, 6.5%, 7/1/32 723,471 $9,370
Fannie Mae, 6.5%, 8/1/14 234,988 $8
Fannie Mae, 6.5%, 8/1/17 667,089 $22,018
Fannie Mae, 7.0%, 1/1/36 1,000,000 $43,266
Fannie Mae, 7.0%, 10/1/19 19,053,741 $158,319
Fannie Mae, 7.0%, 7/1/17 3,768,412 $56,007
Fannie Mae, Floating Rate Note, 1/1/25 7,000,000 $58,583
Fannie Mae, Floating Rate Note, 10/1/29 4,831,796 $106,875
Fannie Mae, Floating Rate Note, 10/1/29 10,892,567 $87,580
Fannie Mae, Floating Rate Note, 10/1/36 1,877,185 $320,059
Fannie Mae, Floating Rate Note, 11/1/24 7,000,000 $93,077
Fannie Mae, Floating Rate Note, 11/1/25 700,000 $3,677
Fannie Mae, Floating Rate Note, 11/1/40 9,368,434 $120,784
Fannie Mae, Floating Rate Note, 12/1/28 1,112,489 $53,693
Fannie Mae, Floating Rate Note, 12/1/36 6,500,000 $291,581
Fannie Mae, Floating Rate Note, 2/1/27 4,000,000 $17,429
Fannie Mae, Floating Rate Note, 2/1/33 380,000 $1,839
Fannie Mae, Floating Rate Note, 4/1/28 400,000 $3,395
Fannie Mae, Floating Rate Note, 4/1/29 400,000 $2,946
Fannie Mae, Floating Rate Note, 7/1/36 500,000 $65,031
Fannie Mae Connecticut Avenue Securities, Floating Rate Note, 10/25/23 544,000 $516,394
Fannie Mae Grantor Trust 2001-T1, Floating Rate Note, 10/25/40 51,205,518 $3,503,543
Fannie Mae Trust 2005-W4, Floating Rate Note, 6/25/35 1,600,000 $271,753
Fannie Mae Whole Loan, Floating Rate Note, 11/25/46 2,393,000 $476,223
FDIC 2010-R1 Trust, 2.184%, 5/25/50 (144A) 2,060,000 $868,164
Federal Home Loan Banks, 2.9%, 4/20/17 1,370,000 $296,805
Federal Home Loan Mortgage Corp., 3.5%, 8/15/28 500,000 $197,541
Federal Home Loan Mortgage Corp., 4.0%, 1/15/34 5,000,000 $375,212
Federal Home Loan Mortgage Corp., 4.0%, 5/1/24 2,400,000 $290,086
Federal Home Loan Mortgage Corp., 4.0%, 5/15/37 1,753,000 $216,784
Federal Home Loan Mortgage Corp., 4.5%, 7/1/19 1,381,464 $228,218
Federal Home Loan Mortgage Corp., 4.5%, 7/1/19 1,467,130 $254,947
Federal Home Loan Mortgage Corp., 5.0%, 12/1/39 265,000 $130,951
Federal Home Loan Mortgage Corp., 5.0%, 2/1/21 1,000,000 $96,400
Federal Home Loan Mortgage Corp., 5.0%, 4/15/32 3,500,000 $295,026
Federal Home Loan Mortgage Corp., 5.5%, 8/1/23 1,563,938 $71,250
Federal Home Loan Mortgage Corp., 5.75%, 2/15/34 1,034,000 $131,740
Federal Home Loan Mortgage Corp., 6.5%, 7/1/16 2,000,000 $11,606
Federal Home Loan Mortgage Corp., Floating Rate Note, 1/1/28 500,000 $3,294
Federal Home Loan Mortgage Corp., Floating Rate Note, 1/15/33 40,000,000 $1,993,111
Federal Home Loan Mortgage Corp., Floating Rate Note, 10/1/31 19,044,336 $446,694
Federal Home Loan Mortgage Corp., Floating Rate Note, 10/24/16 1,000,000 $1,001,230
Federal Home Loan Mortgage Corp., Floating Rate Note, 11/1/31 1,399,950 $6,980
Federal Home Loan Mortgage Corp., Floating Rate Note, 11/15/36 2,046,908 $120,145
Federal Home Loan Mortgage Corp., Floating Rate Note, 12/1/31 49,986,196 $273,816
Federal Home Loan Mortgage Corp., Floating Rate Note, 3/15/32 26,000,000 $363,397
Federal Home Loan Mortgage Corp., Floating Rate Note, 4/1/25 13,000,000 $18,505
Federal Home Loan Mortgage Corp., Floating Rate Note, 4/1/29 160,000 $2,044
Federal Home Loan Mortgage Corp., Floating Rate Note, 4/15/36 4,003,000 $786,880
Federal Home Loan Mortgage Corp., Floating Rate Note, 5/1/25 588,110 $6,688
Federal Home Loan Mortgage Corp., Floating Rate Note, 7/1/18 2,100,000 $5,153
Federal Home Loan Mortgage Corp., Floating Rate Note, 8/1/31 12,000,000 $113,757
Federal Home Loan Mortgage Corp., Floating Rate Note, 8/1/31 500,000 $1,513
Federal Home Loan Mortgage Corp. REMICS, 3.5%, 10/15/18 500,000 $117,782
Federal Home Loan Mortgage Corp. REMICS, 3.5%, 6/15/28 1,119,000 $196,693
Federal Home Loan Mortgage Corp. REMICS, 4.0%, 12/15/22 890,000 $33,057
Federal Home Loan Mortgage Corp. REMICS, 4.0%, 6/15/22 2,000,000 $11,624
Federal Home Loan Mortgage Corp. REMICS, 5.0%, 6/15/34 401,000 $61,021
Federal Home Loan Mortgage Corp. REMICS, 5.5%, 10/15/35 1,625,000 $108,444
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 1/15/36 400,312 $98,180
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 1/15/37 16,831,292 $1,264,462
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 10/15/20 9,083,556 $216,081
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 10/15/37 3,873,000 $330,575
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 11/15/36 1,229,000 $263,734
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 11/15/36 994,698 $59,290
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 11/15/36 600,000 $122,787
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 11/15/37 3,358,000 $630,179
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/32 1,931,288 $189,893
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/32 862,000 $84,703
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/35 2,232,000 $416,085
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/36 6,932,100 $637,579
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/39 666,000 $301,084
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/30 586,107 $299,756
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/32 15,205,000 $286,431
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/33 20,000,000 $311,958
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/36 909,000 $186,722
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/37 2,840,000 $205,272
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/39 288,000 $171,114
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/41 1,878,046 $440,403
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/42 350,000 $222,575
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 3/15/32 35,466,000 $367,989
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 3/15/32 15,667,000 $215,525
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 3/15/38 2,600,000 $1,066,489
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 3/15/41 3,243,333 $901,387
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 4/15/27 22,817,000 $283,091
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 4/15/28 10,000,000 $171,469
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 4/15/36 728,000 $172,145
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 4/15/41 2,446,437 $567,667
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 5/15/36 2,159,000 $180,566
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 5/15/36 4,000,000 $370,750
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 5/15/41 638,000 $141,268
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 6/15/36 1,288,000 $153,252
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 6/15/41 1,220,000 $371,823
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 7/15/23 835,000 $218,628
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 7/15/36 3,107,000 $284,967
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 8/15/18 600,000 $138,260
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 8/15/25 8,280,485 $777,049
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 8/15/25 970,000 $352,978
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 8/15/26 370,000 $154,805
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 8/15/35 462,000 $105,657
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 8/15/36 5,044,000 $324,128
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 9/15/26 385,000 $249,060
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 9/15/33 2,647,000 $238,562
Federal National Mortgage Association, 2.5%, 4/25/36 635,000 $261,699
Federal National Mortgage Association, 2.5%, 9/1/22 2,000,000 $1,497,174
Federal National Mortgage Association, 3.0%, 12/1/21 2,000,000 $1,087,114
Federal National Mortgage Association, 3.0%, 6/25/39 2,000,000 $330,986
Federal National Mortgage Association, 3.5%, 1/25/24 7,225,000 $675,425
Federal National Mortgage Association, 3.5%, 3/25/28 2,344,102 $363,721
Federal National Mortgage Association, 3.5%, 7/25/24 1,250,000 $345,792
Federal National Mortgage Association, 4.0%, 1/1/20 7,280,000 $1,517,784
Federal National Mortgage Association, 4.0%, 10/1/20 4,317,004 $1,513,554
Federal National Mortgage Association, 4.0%, 3/1/21 4,071,760 $1,549,607
Federal National Mortgage Association, 4.5%, 3/25/37 6,000,000 $248,868
Federal National Mortgage Association, 4.5%, 6/25/40 4,200,000 $1,274,503
Federal National Mortgage Association, 5.0%, 6/25/32 18,817,000 $458,701
Federal National Mortgage Association, 5.0%, 7/25/32 7,363,000 $390,471
Federal National Mortgage Association, 5.0%, 8/25/22 9,200,000 $316,114
Federal National Mortgage Association, Floating Rate Note, 2/25/23 77,000,000 $435,326
Federal National Mortgage Association, Floating Rate Note, 3/25/36 2,108,510 $543,667
Federal National Mortgage Association, Floating Rate Note, 4/25/33 36,000,000 $1,121,417
Federal National Mortgage Association, Floating Rate Note, 4/25/45 1,250,000 $249,849
Federal National Mortgage Association, Floating Rate Note, 6/25/36 6,118,000 $1,177,914
Federal National Mortgage Association, Floating Rate Note, 6/25/36 7,000,000 $910,628
Federal National Mortgage Association, Floating Rate Note, 7/25/42 11,000,000 $981,753
Federal National Mortgage Association, Floating Rate Note, 8/25/35 2,868,000 $401,655
Federal National Mortgage Association 2004-T2, Floating Rate Note, 7/25/43 6,750,000 $1,025,927
Federal National Mortgage Association 2006-48-T, 5.5%, 12/25/34 1,716,418 $728,622
Federal National Mortgage Association REMICS, 1.5%, 11/25/20 745,000 $208,831
Federal National Mortgage Association REMICS, 1.75%, 12/25/22 1,000,000 $356,118
Federal National Mortgage Association REMICS, 3.0%, 1/25/21 2,950,000 $695,778
Federal National Mortgage Association REMICS, 3.0%, 4/25/40 1,110,000 $218,985
Federal National Mortgage Association REMICS, 3.5%, 10/25/39 490,000 $333,537
Federal National Mortgage Association REMICS, 4.0%, 5/25/29 2,000,000 $2,126,589
Federal National Mortgage Association REMICS, 4.0%, 6/25/37 900,000 $73,561
Federal National Mortgage Association REMICS, 5.0%, 9/25/39 110,000 $25,126
Federal National Mortgage Association REMICS, 6.0%, 3/25/35 1,000,000 $68,646
Federal National Mortgage Association REMICS, 6.0%, 6/25/29 685,000 $141,788
Federal National Mortgage Association REMICS, Floating Rate Note, 1/18/32 4,920,043 $84,062
Federal National Mortgage Association REMICS, Floating Rate Note, 1/25/24 51,985,111 $392,120
Federal National Mortgage Association REMICS, Floating Rate Note, 1/25/33 2,782,000 $113,394
Federal National Mortgage Association REMICS, Floating Rate Note, 1/25/34 10,970,000 $1,906,723
Federal National Mortgage Association REMICS, Floating Rate Note, 10/25/35 1,878,000 $216,868
Federal National Mortgage Association REMICS, Floating Rate Note, 10/25/36 11,844,000 $526,854
Federal National Mortgage Association REMICS, Floating Rate Note, 10/25/38 1,808,000 $233,909
Federal National Mortgage Association REMICS, Floating Rate Note, 10/27/37 1,375,920 $1,373,064
Federal National Mortgage Association REMICS, Floating Rate Note, 11/18/32 24,329,000 $529,512
Federal National Mortgage Association REMICS, Floating Rate Note, 11/25/36 2,248,000 $355,963
Federal National Mortgage Association REMICS, Floating Rate Note, 11/25/39 2,750,000 $578,693
Federal National Mortgage Association REMICS, Floating Rate Note, 12/18/32 6,330,000 $111,606
Federal National Mortgage Association REMICS, Floating Rate Note, 12/25/31 4,375,000 $196,191
Federal National Mortgage Association REMICS, Floating Rate Note, 12/25/32 34,313,143 $838,605
Federal National Mortgage Association REMICS, Floating Rate Note, 12/25/36 1,500,000 $347,867
Federal National Mortgage Association REMICS, Floating Rate Note, 12/25/37 5,672,000 $227,497
Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/33 4,696,499 $281,612
Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/35 603,000 $210,857
Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/37 1,940,000 $238,547
Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/37 4,308,000 $240,192
Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/38 624,000 $206,088
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/24 4,129,409 $180,617
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/34 763,500 $248,381
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/34 4,612,000 $310,442
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/35 1,278,000 $311,815
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/36 11,585,646 $1,836,389
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/37 4,100,000 $328,155
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/37 8,873,506 $269,958
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/37 960,000 $160,643
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/37 9,250,000 $370,838
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/45 4,100,000 $708,640
Federal National Mortgage Association REMICS, Floating Rate Note, 4/25/32 10,133,000 $659,541
Federal National Mortgage Association REMICS, Floating Rate Note, 4/25/32 50,000,000 $725,648
Federal National Mortgage Association REMICS, Floating Rate Note, 4/25/34 644,866 $89,568
Federal National Mortgage Association REMICS, Floating Rate Note, 4/25/36 1,737,000 $379,543
Federal National Mortgage Association REMICS, Floating Rate Note, 4/25/37 944,568 $208,191
Federal National Mortgage Association REMICS, Floating Rate Note, 5/18/32 31,809,000 $773,599
Federal National Mortgage Association REMICS, Floating Rate Note, 5/25/17 20,000,000 $201,675
Federal National Mortgage Association REMICS, Floating Rate Note, 5/25/33 4,068,000 $117,461
Federal National Mortgage Association REMICS, Floating Rate Note, 5/25/36 6,641,000 $277,450
Federal National Mortgage Association REMICS, Floating Rate Note, 5/25/37 6,826,000 $291,130
Federal National Mortgage Association REMICS, Floating Rate Note, 5/25/40 761,373 $389,402
Federal National Mortgage Association REMICS, Floating Rate Note, 6/25/35 7,977,000 $723,199
Federal National Mortgage Association REMICS, Floating Rate Note, 6/25/36 2,317,493 $277,148
Federal National Mortgage Association REMICS, Floating Rate Note, 6/25/37 2,134,162 $315,039
Federal National Mortgage Association REMICS, Floating Rate Note, 6/25/37 4,600,000 $399,599
Federal National Mortgage Association REMICS, Floating Rate Note, 6/25/37 1,010,000 $112,548
Federal National Mortgage Association REMICS, Floating Rate Note, 6/25/38 2,355,000 $214,209
Federal National Mortgage Association REMICS, Floating Rate Note, 7/25/34 1,642,000 $123,352
Federal National Mortgage Association REMICS, Floating Rate Note, 7/25/35 750,000 $181,271
Federal National Mortgage Association REMICS, Floating Rate Note, 7/25/35 774,000 $105,662
Federal National Mortgage Association REMICS, Floating Rate Note, 7/25/38 6,812,000 $429,975
Federal National Mortgage Association REMICS, Floating Rate Note, 8/25/36 4,040,000 $525,977
Federal National Mortgage Association REMICS, Floating Rate Note, 8/25/40 692,000 $379,041
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/33 4,915,594 $627,064
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/36 3,447,000 $279,349
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/36 1,275,000 $205,161
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/37 679,000 $101,698
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/37 3,700,000 $407,586
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/37 2,706,000 $379,434
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/37 2,524,000 $122,010
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/39 683,053 $127,963
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/41 750,000 $505,176
Fhlmc Flt% 15apr33 2602-Fh 22,025,143 $971,461
Fhlmc Flt% 15jan35 2916-Nf 1,635,000 $260,688
Fhlmc Flt% 15mar41 3830g-Fg 2,498,000 $975,648
FHLMC Structured Pass Through Securities, Floating Rate Note, 12/25/29 12,000,000 $201,329
Fieldstone Mortgage Investment Trust Series 2005-1, Floating Rate Note, 3/25/35 311,000 $144,057
Fieldwood Energy LLC, 9/25/18 996,248 $998,295
Fifth Third Bancorp, Floating Rate Note, 12/20/16 730,000 $725,679
Fifth Third Bank Cincinnati Ohio, 1.15%, 11/18/16 750,000 $753,614
Fifth Third Bank Cincinnati Ohio, 4.75%, 2/1/15 1,250,000 $1,304,324
Fifth Third Bank Cincinnati Ohio, Floating Rate Note, 2/26/16 500,000 $501,460
First Franklin Mortgage Loan Trust 2002-FFA, Floating Rate Note, 9/25/32 5,500,000 $337,303
First Franklin Mortgage Loan Trust 2003-FFC, Floating Rate Note, 11/25/32 8,000,000 $457,824
First Franklin Mortgage Loan Trust 2005-FFH3, Floating Rate Note, 9/25/35 700,000 $404,709
First Horizon Mortgage Pass-Through Trust 2004-AR1, Floating Rate Note, 2/25/34 1,500,000 $61,075
First Horizon Mortgage Pass-Through Trust 2004-AR5, Floating Rate Note, 10/25/34 940,000 $65,323
First Investors Auto Owner Trust 2012-2, 1.47%, 5/15/18 (144A) 200,000 $81,421
First Investors Auto Owner Trust 2013-1, 2.02%, 1/15/19 (144A) 200,000 $200,799
First Investors Auto Owner Trust 2013-2, 1.23%, 3/15/19 (144A) 648,000 $498,770
First NLC Trust 2005-2, Floating Rate Note, 9/25/35 3,362,996 $1,544,651
Flagstar Home Equity Loan Trust 2005-1, Floating Rate Note, 6/25/18 (144A) 4,800,000 $424,271
Fly Funding II Sarl, 8/8/18 390,000 $392,762
FMG Resources August 2006 Pty, Ltd., 6/30/19 98,505 $98,513
Fnma 4.5% 25aug27 09-108-De 4,509,000 $377,730
Fnma Flt% 25jun32 02-36-Fs 15,865,000 $479,587
Foothill CLO, Ltd., Floating Rate Note, 2/22/21 (144A) 500,000 $376,961
Ford Credit Auto Owner Trust 2013-C, 0.55%, 4/15/16 385,000 $229,309
Ford Motor Credit Co LLC, 2.375%, 1/16/18 250,000 $257,172
Ford Motor Credit Co LLC, 2.75%, 5/15/15 500,000 $510,636
Ford Motor Credit Co LLC, 2.875%, 10/1/18 500,000 $519,224
Ford Motor Credit Co LLC, 3.875%, 1/15/15 200,000 $206,984
Fore CLO, Ltd., Floating Rate Note, 7/20/19 (144A) 250,000 $88,902
Foresight Energy LLC, 8/21/20 248,750 $250,771
Fosse Master Issuer Plc, Floating Rate Note, 10/18/54 (144A) 100,000 $101,824
Foundation Re III, Ltd., Floating Rate Note, 2/25/15 (Cat Bond) (144A) 500,000 $504,728
Four Corners CLO II, Ltd., Floating Rate Note, 1/26/20 (144A) 553,000 $525,146
Franklin Resources, Inc., 3.125%, 5/20/15 300,000 $308,162
Freddie Mac REMICS, Floating Rate Note, 2/15/32 14,441,000 $1,064,808
Freddie Mac Strips, Floating Rate Note, 12/15/36 2,327,000 $180,441
Freddie Mac Strips, Floating Rate Note, 8/15/36 6,894,664 $431,181
Freddie Mac Structured Agency Credit Risk Debt Notes, Floating Rate Note, 11/25/23 750,000 $696,214
Freddie Mac Structured Agency Credit Risk Debt Notes, Floating Rate Note, 2/25/24 485,000 $476,473
FREMF Mortgage Trust 2012-K501, Floating Rate Note, 11/25/46 (144A) 409,000 $424,237
Fremont Home Loan Trust 2005-2, Floating Rate Note, 6/25/35 1,700,000 $15,506
Fresenius US Finance I, Inc., 8/7/19 497,500 $498,122
Gale Force 3 Clo, Ltd., Floating Rate Note, 4/19/21 (144A) 500,000 $350,350
Galileo Re, Ltd., Floating Rate Note, 1/9/19 (Cat Bond) (144A) 500,000 $516,847
Garda World Security Corp., 11/1/20 482,721 $481,665
Garda World Security Corp., 11/8/20 123,487 $123,217
Gator Re, Ltd., Floating Rate Note, 1/9/17 (Cat Bond) (144A) 600,000 $595,080
GATX Corp., 1.25%, 3/4/17 750,000 $750,694
GE Business Loan Trust 2003-1, Floating Rate Note, 4/15/31 (144A) 4,997,000 $267,470
GE Business Loan Trust 2003-2, Floating Rate Note, 11/15/31 (144A) 1,409,576 $158,297
GE Business Loan Trust 2004-1, Floating Rate Note, 5/15/32 (144A) 4,436,203 $499,677
GE Business Loan Trust 2004-2, Floating Rate Note, 12/15/32 (144A) 2,533,274 $615,649
GE Business Loan Trust 2005-1, Floating Rate Note, 6/15/33 (144A) 1,192,482 $710,063
GE Business Loan Trust 2006-2, Floating Rate Note, 11/15/34 (144A) 1,920,423 $816,461
GE Business Loan Trust 2007-1, Floating Rate Note, 4/16/35 (144A) 1,150,000 $525,568
GE Capital Commercial Mortgage Corp., Floating Rate Note, 6/10/48 1,340,000 $1,370,053
GE Capital Commercial Mortgage Corp., Floating Rate Note, 7/10/45 (144A) 500,000 $510,678
GE Dealer Floorplan Master Note Trust, Floating Rate Note, 10/20/17 256,000 $256,646
GE Equipment Small Ticket LLC Series 2013-1, 0.73%, 1/25/16 (144A) 200,000 $196,529
GE Equipment Transportation LLC Series 2013-2, 0.61%, 6/24/16 480,000 $480,515
Ge Flt% 15may17 750,000 $749,949
Gemnt 1.03% 15jan18 12-1-A 300,000 $301,102
General Electric Capital Corp., 1.625%, 7/2/15 485,000 $494,129
General Electric Capital Corp., Floating Rate Note, 1/14/16 925,000 $926,467
General Electric Capital Corp., Floating Rate Note, 1/8/16 215,000 $216,719
General Electric Capital Corp., Floating Rate Note, 5/11/16 350,000 $350,136
General Electric Capital Corp., Floating Rate Note, 7/2/15 665,000 $673,451
General Electric Capital Corp., Floating Rate Note, 8/1/17 500,000 $502,518
General Mills, Inc., 0.875%, 1/29/16 250,000 $252,084
General Mills, Inc., Floating Rate Note, 1/28/16 565,000 $565,611
Gentiva Health Services, Inc., 10/10/19 224,375 $225,030
Genworth Holdings, Inc., 5.75%, 6/15/14 500,000 $514,085
Georgia Power Co., Floating Rate Note, 3/15/16 827,000 $827,247
Georgia Power Co., Floating Rate Note, 8/15/16 500,000 $500,377
Glencore Funding LLC, Floating Rate Note, 5/27/16 (144A) 1,000,000 $1,006,534
Global Container Assets 2013-1, Ltd., 2.2%, 11/5/28 (144A) 750,000 $618,208
Global Mortgage Securitization, Ltd., 5.25%, 4/25/32 (144A) 795,156 $262,088
Global Mortgage Securitization, Ltd., Floating Rate Note, 4/25/32 8,278,000 $886,373
Global SC Finance II SRL, 4.11%, 7/19/27 (144A) 250,000 $205,525
GMAC Commercial Mortgage Securities Inc Series 2004-C2 Trust, Floating Rate Note, 8/10/38 1,465,000 $530,767
GMAC Commercial Mortgage Securities Inc Series 2005-C1 Trust, 4.697%, 5/10/43 1,019,000 $1,048,045
GMACM Mortgage Loan Trust 2003-AR1, Floating Rate Note, 10/19/33 1,226,000 $182,276
GMACM Mortgage Loan Trust 2004-AR1, Floating Rate Note, 6/25/34 2,100,000 $205,217
GMAT 2013-1 Trust, 3.9669%, 8/25/53 (Step) 630,000 $629,061
Gnma 3.5% 20aug38 12-31-Ga 1,115,000 $544,909
Gnma 4.5% 16jun34 09-29-Np 1,387,000 $93,736
Government National Mortgage Association, 3.0%, 12/20/38 5,000,000 $1,705,648
Government National Mortgage Association, 3.0%, 12/20/38 1,000,000 $185,662
Government National Mortgage Association, 3.0%, 4/20/41 300,000 $282,763
Government National Mortgage Association, 3.5%, 2/20/33 1,500,000 $163,376
Government National Mortgage Association, 3.5%, 5/20/39 1,025,000 $660,478
Government National Mortgage Association, 5.0%, 1/20/16 3,500,000 $653,125
Government National Mortgage Association, 5.0%, 4/20/36 850,000 $138,714
Government National Mortgage Association, 5.0%, 5/20/35 2,100,000 $300,003
Government National Mortgage Association, 5.0%, 7/20/31 3,300,000 $157,262
Government National Mortgage Association, Floating Rate Note, 1/16/35 2,563,000 $306,251
Government National Mortgage Association, Floating Rate Note, 1/16/40 2,000,000 $787,862
Government National Mortgage Association, Floating Rate Note, 1/20/34 1,775,000 $201,391
Government National Mortgage Association, Floating Rate Note, 2/16/30 14,415,492 $236,370
Government National Mortgage Association, Floating Rate Note, 2/16/53 2,000,000 $152,306
Government National Mortgage Association, Floating Rate Note, 2/20/35 2,059,000 $305,375
Government National Mortgage Association, Floating Rate Note, 2/20/38 2,477,000 $257,928
Government National Mortgage Association, Floating Rate Note, 3/16/53 1,200,000 $87,382
Government National Mortgage Association, Floating Rate Note, 4/16/31 12,627,242 $274,228
Government National Mortgage Association, Floating Rate Note, 4/16/32 10,000,000 $157,430
Government National Mortgage Association, Floating Rate Note, 4/16/32 33,333,000 $664,461
Government National Mortgage Association, Floating Rate Note, 8/16/52 2,000,000 $130,804
Government National Mortgage Association, Floating Rate Note, 8/20/35 1,177,000 $200,928
Government National Mortgage Association, Floating Rate Note, 8/20/40 1,000,000 $698,270
Government National Mortgage Association, Floating Rate Note, 9/16/52 1,800,000 $142,325
Government National Mortgage Association, Floating Rate Note, 9/20/33 704,000 $124,382
Government National Mortgage Association I, 5.0%, 8/15/19 1,347,915 $382,379
Government National Mortgage Association I, 6.0%, 11/15/36 2,000,000 $216,093
Government National Mortgage Association I, 6.0%, 12/15/31 1,500,000 $73,255
Government National Mortgage Association I, 6.0%, 3/15/17 10,311,138 $259,623
Government National Mortgage Association I, 6.5%, 10/15/37 400,000 $57,921
Government National Mortgage Association I, 6.5%, 5/15/31 3,183,996 $44,531
Government National Mortgage Association I, 6.5%, 7/15/35 328,670 $21,767
Government National Mortgage Association I, 7.5%, 10/15/36 1,000,000 $61,136
Government National Mortgage Association I, 7.5%, 6/15/14 1,200,000 $655
Government National Mortgage Association II, 6.0%, 10/20/21 3,113,223 $620,445
Government National Mortgage Association II, 6.0%, 11/20/22 1,986,670 $294,366
Government National Mortgage Association II, 6.0%, 4/20/22 1,262,566 $239,591
Government National Mortgage Association II, 6.0%, 8/20/19 2,911,151 $195,711
Government National Mortgage Association REMICS, 2.0%, 1/16/46 3,000,000 $3,009,032
Government National Mortgage Association REMICS, 4.0%, 9/20/37 4,000,000 $3,270,050
GP Portfolio Trust 2014-GGP, Floating Rate Note, 2/15/27 1,000,000 $1,001,664
Gracechurch Card Funding Plc, Floating Rate Note, 5/15/19 (144A) 500,000 $507,361
Gracechurch Card Funding Plc, Floating Rate Note, 6/15/17 (144A) 300,000 $301,561
Gray Television, Inc., 10/12/19 250,000 $250,781
GreenPoint Mortgage Funding Trust 2005-HE1, Floating Rate Note, 9/25/34 297,570 $219,904
GreenPoint Mortgage Funding Trust 2005-HE4, Floating Rate Note, 7/25/30 7,877,220 $55,389
GSAA Home Equity Trust 2004-6, Floating Rate Note, 6/25/34 15,032,940 $435,432
GSAA Home Equity Trust 2005-11, Floating Rate Note, 10/25/35 1,022,000 $222,885
GSAA Trust, Floating Rate Note, 6/25/35 440,000 $351,737
GSAMP Trust 2004-HE2, Floating Rate Note, 9/25/34 36,804,858 $325,156
GSAMP Trust 2005-HE1, Floating Rate Note, 12/25/34 1,210,753 $125,214
GSAMP Trust 2006-SEA1, Floating Rate Note, 5/25/36 (144A) 5,518,315 $587,843
GS Caltex Corp., 3.25%, 10/1/18 (144A) 500,000 $514,935
GS Mortgage Securities Corp II, Floating Rate Note, 11/8/29 (144A) 400,000 $403,434
GS Mortgage Securities Corp II Series 2005-GG4, 4.782%, 7/10/39 545,000 $560,219
GSR Mortgage Loan Trust 2003-9, Floating Rate Note, 8/25/33 4,000,000 $270,525
GSR Mortgage Loan Trust 2004-7, Floating Rate Note, 6/25/34 4,189,737 $549,207
GSR Mortgage Loan Trust 2005-1F, 6.0%, 2/25/35 700,000 $427,285
GSRPM Mortgage Loan Trust 2003-2, Floating Rate Note, 6/25/33 393,823 $252,565
GSRPM Mortgage Loan Trust 2006-1, Floating Rate Note, 3/25/35 (144A) 1,201,850 $191,645
GSRPM Mortgage Loan Trust 2006-2, Floating Rate Note, 9/25/36 (144A) 1,226,000 $199,118
GTP Acquisition Partners I LLC, 4.347%, 6/15/16 (144A) 500,000 $519,359
GTP Towers Issuer LLC, 4.436%, 2/15/15 (144A) 550,000 $561,194
GTP Towers Issuer LLC, 8.112%, 2/15/15 (144A) 1,070,000 $1,098,837
HarborView Mortgage Loan Trust 2004-1, Floating Rate Note, 4/19/34 3,987,000 $180,126
Harley-Davidson Financial Services, Inc., 3.875%, 3/15/16 (144A) 175,000 $185,548
Hban 1.3% 20nov16 500,000 $503,373
Health Care Real Estate Investment Trust, Inc., 2.25%, 3/15/18 500,000 $510,423
Hercules Capital Funding Trust 2012-1, 3.32%, 12/16/17 (144A) 250,000 $93,325
Hertz Fleet Lease Funding LP, Floating Rate Note, 4/10/28 (144A) 300,000 $300,092
Hewlett-Packard Co., 2.625%, 12/9/14 470,000 $481,189
Hilton USA Trust 2013-HLF, Floating Rate Note, 11/5/30 (144A) 175,000 $175,438
Hilton USA Trust 2013-HLF, Floating Rate Note, 11/5/30 (144A) 500,000 $502,034
Hilton Worldwide Finance LLC, 9/23/20 435,000 $433,973
HLSS Servicer Advance Receivables Trust, 1.2437%, 1/17/45 1,250,000 $1,252,566
HLSS Servicer Advance Receivables Trust, 1.4953%, 1/16/46 (144A) 1,045,000 $1,046,844
HLSS Servicer Advance Receivables Trust, 1.7436%, 1/16/46 (144A) 250,000 $249,619
HLSS Servicer Advance Receivables Trust, 4.94%, 10/15/45 (144A) 350,000 $359,623
Holmes Master Issuer Plc, Floating Rate Note, 10/15/54 (144A) 250,000 $260,853
Hologic, Inc., 8/1/19 496,791 $496,907
HomeBanc Mortgage Trust 2005-2, Floating Rate Note, 5/25/25 6,015,011 $268,067
Home Equity Asset Trust 2005-3, Floating Rate Note, 8/25/35 250,000 $35,156
Home Equity Asset Trust 2006-4, Floating Rate Note, 8/25/36 253,896 $82,277
Home Equity Asset Trust 2006-8, Floating Rate Note, 3/25/37 1,394,318 $581,280
Home Equity Mortgage Trust, 5.821%, 4/25/35 (Step) 1,000,000 $307,892
Home Equity Mortgage Trust, Floating Rate Note, 7/25/35 1,113,955 $574,739
Home Loan Trust 2003-HI1, 5.77%, 4/25/28 (Step) 1,500,000 $114,581
Homestar Mortgage Acceptance Corp., Floating Rate Note, 1/25/35 3,700,000 $576,212
Homestar Mortgage Acceptance Corp., Floating Rate Note, 3/25/34 16,068,000 $1,026,984
Homestar Mortgage Acceptance Corp., Floating Rate Note, 6/25/34 3,670,962 $374,576
Homestar Mortgage Acceptance Corp., Floating Rate Note, 7/25/34 2,600,000 $274,687
Honda Auto Receivables 2011-2 Owner Trust, 1.55%, 8/18/17 350,000 $351,266
Honda Auto Receivables 2012-2 Owner Trust, 0.7%, 2/16/16 350,000 $230,000
Honda Auto Receivables 2013-1 Owner Trust, 0.35%, 6/22/15 500,000 $125,688
Horizon Funding Trust 2013-1, 3.0%, 5/15/18 (144A) 585,000 $420,828
HSBC Bank Middle East, Ltd., 3.0%, 10/21/15 750,000 $769,750
HSBC Home Equity Loan Trust USA 2006-3, Floating Rate Note, 3/20/36 1,005,000 $994,719
HSBC USA, Inc., 2.375%, 2/13/15 280,000 $285,951
HSI Asset Securitization Corp Trust 2006-OPT1, Floating Rate Note, 12/25/35 350,623 $126,580
Hyperion Insurance Group, Ltd., 10/4/19 399,000 $397,504
Hyundai Capital America, 1.875%, 8/9/16 (144A) 500,000 $511,045
Hyundai Capital Auto Funding VIII, Ltd., Floating Rate Note, 9/20/16 (144A) 800,000 $164,901
Hyundai Motor Manufacturing Czech sro, 4.5%, 4/15/15 (144A) 1,000,000 $1,037,690
Iberdrola Finance Ireland, Ltd., 3.8%, 9/11/14 (144A) 1,000,000 $1,016,772
Ibis Re II, Ltd., Floating Rate Note, 6/28/16 (Cat Bond) (144A) 250,000 $252,536
Impac CMB Trust Series 2004-4, Floating Rate Note, 9/25/34 14,479,489 $640,059
Impac CMB Trust Series 2004-4, Floating Rate Note, 9/25/34 32,445,000 $1,422,873
Impac CMB Trust Series 2004-5, Floating Rate Note, 10/25/34 5,941,000 $363,710
Impac CMB Trust Series 2004-6, Floating Rate Note, 10/25/34 1,410,000 $83,436
Impac CMB Trust Series 2004-7, Floating Rate Note, 11/25/34 1,233,000 $87,644
Impac CMB Trust Series 2004-8, Floating Rate Note, 8/25/34 590,000 $80,747
Impac Secured Assets Trust 2006-1, Floating Rate Note, 5/25/36 1,300,000 $440,991
Impac Secured Assets Trust 2006-2, Floating Rate Note, 8/25/36 1,173,000 $365,428
Impac Secured Assets Trust 2006-5, Floating Rate Note, 12/25/36 600,000 $148,028
IndyMac INDX Mortgage Loan Trust 2004-AR6, Floating Rate Note, 10/25/34 675,000 $81,154
Intel Corp., 1.35%, 12/15/17 700,000 $705,376
International Equipment Solutions LLC, 8/16/19 146,396 $147,403
Intesa Sanpaolo S.p.A., 3.125%, 1/15/16 500,000 $520,279
Invitation Homes 2013-SFR1 Trust, Floating Rate Note, 12/17/30 750,000 $752,960
Inwood Park CDO, Ltd., Floating Rate Note, 1/20/21 (144A) 1,000,000 $390,769
Irwin Home Equity Loan Trust 2005-1, 5.32%, 6/25/35 (Step) 900,000 $155,271
Irwin Whole Loan Home Equity Trust 2003-C, Floating Rate Note, 6/25/28 1,050,000 $318,880
Irwin Whole Loan Home Equity Trust 2003-C, Floating Rate Note, 6/25/28 1,923,500 $158,479
Irwin Whole Loan Home Equity Trust 2003-D, Floating Rate Note, 11/25/28 2,250,000 $231,498
IXIS Real Estate Capital Trust 2005-HE4, Floating Rate Note, 2/25/36 250,000 $55,012
Jarden Corp., 9/30/20 248,750 $249,708
JBS USA LLC, 9/18/20 199,000 $198,877
Jefferies Resecuritization Trust 2009-R2, Floating Rate Note, 5/26/37 (144A) 300,000 $76,499
JobsOhio Beverage System, 0.872%, 1/1/15 500,000 $503,667
John Deere Capital Corp., 1.05%, 10/11/16 598,000 $602,935
John Deere Capital Corp., 1.05%, 12/15/16 750,000 $757,468
John Deere Capital Corp., 2.95%, 3/9/15 950,000 $975,755
John Deere Capital Corp., Floating Rate Note, 10/11/16 1,090,000 $1,094,366
JOHN DEERE CAPITAL Corp., Floating Rate Note, 2/25/16 500,000 $499,851
Jpmcc Flt% 15dec28 14-Fblu-B 1,030,000 $1,031,726
Jpmcc Flt% 15nov18 06-Fl2a-E 2,550,000 $567,024
JPMorgan Chase & Co., 1.1%, 10/15/15 492,000 $495,638
JPMorgan Chase & Co., 1.875%, 3/20/15 823,000 $835,301
JPMorgan Chase & Co., 3.4%, 6/24/15 265,000 $276,733
JPMorgan Chase & Co., Floating Rate Note, 2/15/17 500,000 $501,391
JPMorgan Chase & Co., Floating Rate Note, 2/25/21 500,000 $525,243
JPMorgan Chase & Co., Floating Rate Note, 2/26/16 320,000 $321,741
JPMorgan Chase & Co., Floating Rate Note, 3/31/16 500,000 $499,490
JP Morgan Chase Commercial Mortgage Securities Corp., 4.878%, 1/15/42 1,100,000 $1,119,778
JP Morgan Chase Commercial Mortgage Securities Corp., Floating Rate Note, 10/15/25 (144A) 650,000 $651,666
JP Morgan Chase Commercial Mortgage Securities Trust 2004-LN2, Floating Rate Note, 7/15/41 (144A) 637,677 $234,899
JP Morgan Chase Commercial Mortgage Securities Trust 2005-CIBC11, Floating Rate Note, 8/12/37 1,610,000 $1,633,926
JP Morgan Chase Commercial Mortgage Securities Trust 2005-LDP1, Floating Rate Note, 3/15/46 985,000 $977,032
JP Morgan Chase Commercial Mortgage Securities Trust 2005-LDP3, Floating Rate Note, 8/15/42 440,000 $443,932
JP Morgan Chase Commercial Mortgage Securities Trust 2006-CIBC17, 5.45%, 12/12/43 435,000 $73,472
JP Morgan Chase Commercial Mortgage Securities Trust 2006-FL2, Floating Rate Note, 11/15/18 (144A) 550,000 $178,589
JP Morgan Chase Commercial Mortgage Securities Trust 2006-LDP9, Floating Rate Note, 5/15/47 250,000 $105,799
JP Morgan Chase Commercial Mortgage Securities Trust 2007-CIBC19, Floating Rate Note, 2/12/49 475,000 $127,598
JP Morgan Chase Commercial Mortgage Securities Trust 2013-ALC, Floating Rate Note, 7/17/26 (144A) 412,000 $419,048
JP Morgan Chase Commercial Mortgage Securities Trust 2013-FL3, Floating Rate Note, 4/15/28 (144A) 300,000 $297,893
JP Morgan Chase Commercial Mortgage Securities Trust 2013-INN, Floating Rate Note, 10/15/30 (144A) 770,000 $777,799
JP Morgan Chase Commercial Mortgage Securities Trust 2013-JWRZ, Floating Rate Note, 4/15/30 (144A) 1,550,000 $1,539,892
JP Morgan Chase Commercial Mortgage Securities Trust 2014-FBLU, Floating Rate Note, 12/15/28 945,000 $951,503
JP Morgan Chase Commercial Mortgage Securities Trust 2014-FL4, Floating Rate Note, 12/15/30 (144A) 410,000 $410,988
JP Morgan Mortgage Acquisition Trust 2006-ACC1, Floating Rate Note, 5/25/36 604,088 $210,309
JP Morgan Mortgage Trust 2003-A1, Floating Rate Note, 10/25/33 4,845,389 $618,252
JP Morgan Mortgage Trust 2004-A1, Floating Rate Note, 2/25/34 3,584,000 $378,882
JP Morgan Mortgage Trust 2004-A5, Floating Rate Note, 12/25/34 245,000 $200,231
JP Morgan Mortgage Trust 2004-S1, 5.0%, 9/25/34 2,489,124 $172,615
JP Morgan Mortgage Trust 2005-A3, Floating Rate Note, 6/25/35 6,041,179 $700,504
JP Morgan Mortgage Trust 2005-A4, Floating Rate Note, 7/25/35 1,935,000 $319,614
JP Morgan Mortgage Trust 2006-S3, 6.0%, 8/25/36 1,036,158 $1,538
KeyBank NA Cleveland Ohio, 1.1%, 11/25/16 500,000 $502,003
KeyBank NA Cleveland Ohio, 1.65%, 2/1/18 1,000,000 $1,008,068
KeyBank NA Cleveland Ohio, 5.8%, 7/1/14 1,025,000 $1,054,058
KeyCorp, 3.75%, 8/13/15 931,000 $975,014
Kilimanjaro Re, Ltd., Floating Rate Note, 4/30/18 (Cat Bond) (144A) 350,000 $350,595
Kilimanjaro Re, Ltd., Floating Rate Note, 4/30/18 (Cat Bond) (144A) 650,000 $652,145
Kizuna II Re, Ltd., Floating Rate Note, 4/6/18 (Cat Bond) (144A) 450,000 $451,125
KKR Financial CLO 2007-1, Ltd., Floating Rate Note, 5/15/21 (144A) 375,000 $365,755
Lanark Master Issuer Plc, Floating Rate Note, 12/22/54 (144A) 250,000 $248,829
Las Vegas Sands LLC, 12/19/20 249,375 $249,394
Lbmlt Flt% 25aug33 03-4-Av1 18,590,000 $450,963
LB-UBS Commercial Mortgage Trust 2004-C1, 4.568%, 1/15/31 275,000 $35,069
LB-UBS Commercial Mortgage Trust 2004-C6, Floating Rate Note, 8/15/29 1,910,977 $412,381
LB-UBS Commercial Mortgage Trust 2005-C2, Floating Rate Note, 4/15/30 1,455,000 $1,503,223
LB-UBS Commercial Mortgage Trust 2005-C3, 4.739%, 7/15/30 825,000 $734,148
LB-UBS Commercial Mortgage Trust 2005-C7, Floating Rate Note, 11/15/30 (144A) 1,135,809 $1,179,595
LB-UBS Commercial Mortgage Trust 2008-C1, Floating Rate Note, 4/15/41 210,000 $114,457
Leaf Receivables Funding 8 LLC, 1.55%, 11/15/17 (144A) 195,000 $196,415
Lehman ABS Manufactured Housing Contract Trust 2002-A, Floating Rate Note, 6/15/33 19,804,000 $1,019,537
Lehman Brothers Small Balance Commercial, Floating Rate Note, 2/25/30 (144A) 1,425,000 $209,303
Lehman Brothers Small Balance Commercial, Floating Rate Note, 4/25/31 (144A) 2,843,000 $566,595
Lehman Brothers Small Balance Commercial, Floating Rate Note, 4/25/31 (144A) 3,723,496 $678,694
Lehman Brothers Small Balance Commercial, Floating Rate Note, 9/25/30 (144A) 3,264,773 $586,211
Lehman Brothers Small Balance Commercial, Floating Rate Note, 9/25/30 (144A) 750,000 $232,991
Lehman Brothers Small Balance Commercial Mortgage Trust 2007-3, Floating Rate Note, 10/25/37 (144A) 785,400 $239,088
Lehman Brothers Small Balance Commercial Mortgage Trust 2007-3, Floating Rate Note, 10/25/37 (144A) 466,904 $414,286
Liberty Mutual Group, Inc., 7.3%, 6/15/14 (144A) 410,000 $424,623
Lincoln National Corp., 4.3%, 6/15/15 250,000 $264,028
Live Nation Entertainment, Inc., 8/17/20 515,410 $515,893
Lll 1.5% 28may17 186,000 $186,539
Loma Reinsurance, Ltd. Bermuda, Floating Rate Note, 1/8/18 (Cat Bond) (144A) 250,000 $260,206
Longpoint Re, Ltd., Floating Rate Note, 6/12/15 (Cat Bond) (144A) 500,000 $519,783
Longpoint Re, Ltd. III, Floating Rate Note, 5/18/16 (Cat Bond) (144A) 250,000 $252,036
LPL Holdings, Inc., 3/29/19 147,015 $146,586
Mack-Cali Realty LP, 5.125%, 1/15/15 1,000,000 $1,044,795
Madison Avenue Manufactured Housing Contract Trust 2002-A, Floating Rate Note, 3/25/32 550,000 $314,922
MALLINCKRODT INTERNATIONAL FINANCE SA, Initial Term B Loan, 3/6/21 300,000 $298,795
Manufacturers & Traders Trust Co., Floating Rate Note, 1/30/17 500,000 $501,665
Marathon Oil Corp., 0.9%, 11/1/15 651,000 $654,789
Marriott Vacation Club Owner Trust 2012-1, 3.5%, 5/20/30 (144A) 845,000 $516,450
Massachusetts Development Finance Agency, Floating Rate Note, 2/15/36 250,000 $263,543
Massachusetts Port Authority, 5.0%, 7/1/14 300,000 $307,483
Massachusetts Port Authority, 5.0%, 7/1/16 475,000 $527,014
MASTR Alternative Loan Trust 2004-13, 4.5%, 1/25/15 2,000,000 $5,515
MASTR Alternative Loan Trust 2005-1, Floating Rate Note, 2/25/35 6,760,000 $715,968
Mastr Asset Backed Securities Trust 2005-WF1, Floating Rate Note, 6/25/35 51,000 $10,800
Mastr Asset Backed Securities Trust 2005-WMC1, Floating Rate Note, 3/25/35 215,000 $83,712
Mastr Asset Backed Securities Trust 2006-AB1, Floating Rate Note, 2/25/36 3,670,545 $748,549
Mastr Asset Backed Securities Trust 2006-NC1, Floating Rate Note, 1/25/36 1,567,646 $256,710
MASTR Asset Securitization Trust 2003-6, Floating Rate Note, 7/25/18 2,444,000 $93,022
MASTR Seasoned Securitization Trust 2005-1, Floating Rate Note, 9/25/32 2,500,000 $171,958
Mastr Specialized Loan Trust, Floating Rate Note, 1/25/36 (144A) 3,644,114 $322,709
McKesson Corp., Floating Rate Note, 9/10/15 235,000 $235,611
Mediacom Illinois LLC, 3/31/18 400,000 $396,625
Merna Reinsurance V, Ltd., Floating Rate Note, 4/7/17 (Cat Bond) (144A) 650,000 $650,390
Merrill Lynch Mortgage Investors Trust Series 2005-2, Floating Rate Note, 10/25/35 1,543,473 $418,155
Merrill Lynch Mortgage Investors Trust Series 2005-A3, Floating Rate Note, 4/25/35 10,415,000 $1,341,571
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-A, Floating Rate Note, 3/25/28 15,000,000 $806,029
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-A, Floating Rate Note, 3/25/28 10,213,000 $415,874
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-C, Floating Rate Note, 6/25/28 9,455,006 $389,149
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-C, Floating Rate Note, 6/25/28 10,150,000 $503,286
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-E, Floating Rate Note, 10/25/28 8,393,000 $502,048
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-G, Floating Rate Note, 1/25/29 3,592,000 $53,816
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-H, Floating Rate Note, 1/25/29 6,366,000 $395,107
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-A, Floating Rate Note, 4/25/29 4,643,948 $297,408
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-B, Floating Rate Note, 5/25/29 4,636,150 $287,256
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-C, Floating Rate Note, 7/25/29 10,014,000 $514,508
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-E, Floating Rate Note, 11/25/29 6,899,465 $474,373
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-G, Floating Rate Note, 1/25/30 3,400,000 $253,695
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-G, Floating Rate Note, 1/25/30 11,901,975 $647,890
Merrill Lynch Mortgage Investors Trust Series MLCC 2005-A, Floating Rate Note, 3/25/30 7,273,883 $570,668
Merrill Lynch Mortgage Investors Trust Series MLMI 2005-A2, Floating Rate Note, 2/25/35 500,000 $115,500
Merrill Lynch Mortgage Trust 2004-KEY2, Floating Rate Note, 8/12/39 375,000 $249,963
Merrill Lynch Mortgage Trust 2004-KEY2, Floating Rate Note, 8/12/39 410,390 $416,715
Merrill Lynch Mortgage Trust 2005-CIP1, Floating Rate Note, 7/12/38 630,000 $656,716
Metaldyne LLC, 12/18/18 735,250 $737,640
MetLife Institutional Funding II, 1.625%, 4/2/15 (144A) 500,000 $506,321
MetLife Institutional Funding II, Floating Rate Note, 1/6/15 (144A) 500,000 $501,580
Metropolitan Life Global Funding I, 5.125%, 6/10/14 (144A) 230,000 $235,784
Metropolitan Life Global Funding I, Floating Rate Note, 7/15/16 (144A) 300,000 $302,583
Metropolitan Life Insurance Co., 7.7%, 11/1/15 (144A) 1,250,000 $1,375,057
MGM Resorts International, 12/20/19 345,625 $345,301
Micron Semiconductor Asia Pte, Ltd., 1.258%, 1/15/19 500,000 $503,086
Milacron LLC, 3/28/20 500,000 $501,250
Morgan Stanley, Floating Rate Note, 11/9/18 275,000 $292,196
Morgan Stanley, Floating Rate Note, 2/25/16 500,000 $508,904
Morgan Stanley, Floating Rate Note, 6/6/16 500,000 $499,225
Morgan Stanley ABS Capital I Inc Trust 2004-SD3, Floating Rate Note, 6/25/34 (144A) 13,470,000 $671,073
Morgan Stanley ABS Capital I Inc Trust 2005-NC2, Floating Rate Note, 3/25/35 627,000 $384,373
Morgan Stanley ABS Capital I Inc Trust 2005-WMC5, Floating Rate Note, 6/25/35 820,000 $361,144
Morgan Stanley Capital I, Inc., Floating Rate Note, 10/15/20 (144A) 425,000 $422,833
Morgan Stanley Capital I Trust 2004-HQ4, 4.97%, 4/14/40 1,474,144 $373,518
Morgan Stanley Capital I Trust 2004-IQ8, Floating Rate Note, 6/15/40 1,200,000 $1,214,901
Morgan Stanley Capital I Trust 2005-HQ6, 4.989%, 8/13/42 1,815,000 $1,878,896
Morgan Stanley Capital I Trust 2005-HQ6, Floating Rate Note, 8/13/42 900,000 $935,532
Morgan Stanley Capital I Trust 2005-IQ10, Floating Rate Note, 9/15/42 915,000 $823,487
Morgan Stanley Capital I Trust 2005-TOP17, 4.78%, 12/13/41 660,000 $512,693
Morgan Stanley Capital I Trust 2005-TOP19, 4.89%, 6/12/47 920,000 $940,001
Morgan Stanley Dean Witter Capital I Trust 2001-TOP3, 6.79%, 7/15/33 460,000 $179,294
Morgan Stanley Home Equity Loan Trust 2005-4, Floating Rate Note, 9/25/35 1,009,263 $472,265
Morgan Stanley Mortgage Loan Trust 2005-5AR, Floating Rate Note, 9/25/35 9,387,000 $924,235
Morgan Stanley Mortgage Loan Trust 2005-6AR, Floating Rate Note, 11/25/35 3,786,000 $521,034
Morgan Stanley Mortgage Loan Trust 2005-6AR, Floating Rate Note, 11/25/35 2,941,000 $532,296
MortgageIT Trust 2004-1, Floating Rate Note, 11/25/34 3,200,000 $463,134
Motor 2013-1 Plc, Floating Rate Note, 2/25/21 (144A) 466,000 $333,887
MRFC Mortgage Pass-Through Trust Series 1999-TBC2, Floating Rate Note, 6/15/30 3,714,390 $248,853
Mythen Re, Ltd., Floating Rate Note, 5/7/15 (Cat Bond) (144A) 500,000 $520,802
Mythen Re, Ltd., Floating Rate Note, 5/7/15 (Cat Bond) (144A) 500,000 $523,829
Mythen Re, Ltd. Series 2012-2 Class A, Floating Rate Note, 1/5/17 (Cat Bond) (144A) 750,000 $802,442
Mythen Re, Ltd. Series 2013-1 Class B, Floating Rate Note, 7/9/15 (Cat Bond) (144A) 250,000 $258,594
National Australia Bank, Ltd., Floating Rate Note, 7/25/14 (144A) 750,000 $751,995
National City Bank Cleveland Ohio, Floating Rate Note, 12/15/16 250,000 $249,373
National Rural Utilities Cooperative Finance Corp., 1.0%, 2/2/15 410,000 $413,246
National Rural Utilities Cooperative Finance Corp., Floating Rate Note, 11/23/16 500,000 $501,174
Nationstar Agency Advance Funding Trust 2013-T1A, 0.997%, 2/15/45 (144A) 550,000 $549,281
Nationstar Mortgage Advance Receivables Trust 2013-T2, 1.679%, 6/20/46 (144A) 464,000 $464,006
Nationstar Mortgage Advance Receivables Trust 2013-T2, 2.19%, 6/20/46 (144A) 160,000 $159,275
Nationstar Mortgage Loan Trust 2013-A, Floating Rate Note, 12/25/52 (144A) 600,000 $538,429
Navios Maritime Partners LP, 6/27/18 462,675 $468,748
Navistar, Inc., 8/17/17 400,000 $407,125
Navistar Financial Dealer Note Master Trust, Floating Rate Note, 1/25/18 (144A) 510,000 $510,149
Navitas Equipment Receivables LLC 2013-1, 3.63%, 2/15/17 650,000 $651,628
NCUA Guaranteed Notes Trust REMICS, 1.6%, 10/29/20 500,000 $215,665
NCUA Guaranteed Notes Trust REMICS, Floating Rate Note, 3/9/21 800,000 $424,075
New Century Home Equity Loan Trust 2005-1, Floating Rate Note, 3/25/35 2,101,000 $327,376
New Residential Advance Receivables Trust Advance Receivables Backed 2014-T1, 1.2736%, 3/13/45 530,000 $530,406
NewStar Commercial Loan Trust 2007-1, Floating Rate Note, 9/30/22 (144A) 500,000 $346,020
New York Life Global Funding, 1.125%, 3/1/17 (144A) 500,000 $504,105
New York Life Global Funding, Floating Rate Note, 5/23/16 (144A) 1,050,000 $1,056,266
Nhel Flt% 25mar35 04-4-M3 300,000 $168,467
Nisource Finance Corp., 5.4%, 7/15/14 796,000 $816,726
Nissan Auto Lease Trust 2013-B, Floating Rate Note, 1/15/16 240,000 $240,281
Nissan Motor Acceptance Corp., 2.65%, 9/26/18 (144A) 1,000,000 $1,035,369
Nissan Motor Acceptance Corp., 4.5%, 1/30/15 (144A) 100,000 $104,072
Nissan Motor Acceptance Corp., Floating Rate Note, 3/3/17 (144A) 500,000 $502,331
Nomura Asset Acceptance Corp Alternative Loan Trust Series 2003-A3, 5.5%, 8/25/33 (Step) 3,120,000 $221,902
Nomura Resecuritization Trust 2011-3R, Floating Rate Note, 7/26/37 (144A) 1,000,000 $953,523
Norcraft Companies LP, 11/12/20 249,375 $251,245
Nordea Bank AB, Floating Rate Note, 5/13/16 (144A) 250,000 $251,421
North American Development Bank, 2.3%, 10/10/18 650,000 $651,559
Northshore Re, Ltd., Floating Rate Note, 7/5/16 (Cat Bond) (144A) 500,000 $520,242
NorthStar 2012-1 Mortgage Trust, Floating Rate Note, 8/25/29 (144A) 200,000 $202,983
NorthStar 2012-1 Mortgage Trust, Floating Rate Note, 8/25/29 (144A) 490,818 $347,195
NorthStar 2013-1, Floating Rate Note, 8/25/29 (144A) 778,000 $778,448
NorthStar Realty Finance Corp., 3.0%, 9/30/14 2,330,000 $2,337,355
NovaStar Mortgage Funding Trust Series 2003-1, Floating Rate Note, 5/25/33 9,715,000 $275,199
NovaStar Mortgage Funding Trust Series 2004-3, Floating Rate Note, 12/25/34 560,000 $525,671
NovaStar Mortgage Funding Trust Series 2004-4, Floating Rate Note, 3/25/35 1,457,000 $1,430,491
NSG Holdings LLC, 12/11/19 197,670 $198,411
NSTAR Electric Co., Floating Rate Note, 5/17/16 341,000 $340,633
NYSE Euronext, 2.0%, 10/5/17 150,000 $153,993
On Assignment, Inc., 5/15/20 171,522 $171,236
Onglt 4.87% 10mar27 12-Aa-B 600,000 $351,273
Ooredoo International Finance, Ltd., 3.375%, 10/14/16 (144A) 500,000 $524,703
Opteum Mortgage Acceptance Corp Asset Backed Pass-Through Certificates 2005-1, Floating Rate Note, 2 3,526,047 $31,902
Opteum Mortgage Acceptance Corp Asset Backed Pass-Through Certificates 2005-5, Floating Rate Note, 1 600,000 $86,420
Option One Mortgage Loan Trust 2005-4 Asset-Backed Certificates Series 2005-4, Floating Rate Note, 1 4,575,000 $459,526
Option One Woodbridge Loan Trust 2002-1, Floating Rate Note, 9/25/14 (144A) 1,370,736 $313,066
Oracle Corp., 2.375%, 1/15/19 500,000 $516,546
ORES 2014-LV3 LLC, 3.0%, 3/27/24 (144A) 550,000 $526,122
ORES NPL 2013-LV2 LLC, 3.081%, 9/25/25 (144A) 430,000 $296,321
Origen Manufactured Housing Contract Trust 2004-B, Floating Rate Note, 11/15/35 260,000 $238,756
Origen Manufactured Housing Contract Trust 2005-A, Floating Rate Note, 6/15/36 250,000 $259,197
Oxford Finance Funding Trust 2012-1, 3.9%, 3/15/17 (144A) 571,000 $96,849
PACCAR Financial Corp., Floating Rate Note, 6/5/14 1,055,000 $1,056,268
Pangaea Re, 0.0%, 10/1/15 (Cat Bond) 150,000 $168,465
Park Place Securities Inc Asset-Backed Pass-Through Certificates Series 2004-MHQ, Floating Rate Note 660,000 $654,597
Park Place Securities Inc Asset-Backed Pass-Through Ctfs Ser 2004-WCW2, Floating Rate Note, 10/25/34 1,076,819 $138,053
Park Place Securities Inc Asset-Backed Pass-Through Ctfs Ser 2005-WHQ4, Floating Rate Note, 9/25/35 1,293,831 $471,202
Par Pharmaceutical Companies, Inc., 9/28/19 643,534 $643,132
PARTY CITY HOLDINGS INC, 2014 Replacement Term Loan, 7/27/19 952,613 $950,628
Penn National Gaming, Inc., 10/25/20 458,850 $458,778
Penske Truck Leasing Co Lp, 2.5%, 7/11/14 (144A) 969,000 $980,277
People's Choice Home Loan Securities Trust Series 2005-3, Floating Rate Note, 8/25/35 109,980 $25,296
Pfe Flt% 15may17 750,000 $750,122
Pfg 1.2% 19may17 144a 750,000 $749,352
PFS Financing Corp., Floating Rate Note, 2/15/19 (144A) 750,000 $751,197
PFS Tax Lien Trust 2014-1, 1.44%, 5/15/29 400,000 $400,380
PHH Mortgage Capital LLC, 6.6%, 12/25/27 (Step) (144A) 1,000,000 $111,364
PNC Bank NA, 1.125%, 1/27/17 450,000 $454,104
PNC Bank NA, 1.3%, 10/3/16 550,000 $556,919
PNC Bank NA, Floating Rate Note, 1/28/16 500,000 $500,712
PNC Bank NA, Floating Rate Note, 4/29/16 1,111,000 $1,112,067
PNC Funding Corp., 5.4%, 6/10/14 190,000 $195,025
Polarpak, Inc., 6/7/20 157,665 $158,158
Polarpak, Inc., 6/7/20 86,248 $86,518
Popular ABS Mortgage Pass-Through Trust 2004-4, 4.89471%, 9/25/34 (Step) 1,325,000 $483,456
Precision Castparts Corp., 1.25%, 1/15/18 500,000 $499,948
Pricoa Global Funding I, Floating Rate Note, 6/24/16 (144A) 500,000 $497,479
Principal Life Global Funding II, Floating Rate Note, 5/27/16 (144A) 390,000 $391,879
Progreso Receivables Funding I LLC, 4.0%, 7/9/18 (144A) 1,000,000 $1,006,306
Prudential Covered Trust 2012-1, 2.997%, 9/30/15 (144A) 500,000 $412,825
Prudential Financial, Inc., 3.875%, 1/14/15 500,000 $518,236
PSEG Power LLC, 2.75%, 9/15/16 500,000 $523,294
PVH Corp., 2/13/20 478,498 $481,599
Queen City Re, Floating Rate Note, 1/6/19 (Cat Bond) (144A) 500,000 $490,725
Queen Street III Capital, Ltd., Floating Rate Note, 7/28/14 (144A) 500,000 $506,616
Queen Street IV Capital, Ltd., Floating Rate Note, 4/9/15 (Cat Bond) (144A) 500,000 $515,704
Queen Street VII Re, Ltd., Floating Rate Note, 4/8/16 (Cat Bond) (144A) 500,000 $529,769
Queen Street V Re, Ltd., Floating Rate Note, 4/9/15 (Cat Bond) (144A) 500,000 $519,268
Quest Trust, Floating Rate Note, 3/25/34 (144A) 24,804,330 $1,119,343
RAAC Series 2004-SP2 Trust, 6.0%, 1/25/32 11,000,000 $506,311
RAAC Series 2005-RP1 Trust, Floating Rate Note, 7/25/37 (144A) 583,530 $381,902
RAAC Series 2005-RP2 Trust, Floating Rate Note, 6/25/35 (144A) 995,000 $325,068
RAAC Series 2006-RP2 Trust, Floating Rate Note, 2/25/37 (144A) 4,099,889 $438,703
RALI Series 2002-QS16 Trust, Floating Rate Note, 10/25/17 11,475,000 $252,318
RALI Series 2003-QR24 Trust, 4.0%, 7/25/33 6,880,000 $779,723
RALI Series 2003-QR24 Trust, 4.0%, 7/25/33 950,000 $427,655
RALI Series 2003-QS11 Trust, Floating Rate Note, 6/25/33 13,610,000 $703,412
RALI Series 2003-QS14 Trust, 5.0%, 7/25/18 600,000 $44,111
RALI Series 2003-QS15 Trust, 5.5%, 8/25/33 250,000 $193,393
RALI Series 2003-QS9 Trust, Floating Rate Note, 5/25/18 11,040,000 $537,869
RALI Series 2004-QR1 Trust, 5.25%, 10/25/34 21,545,000 $742,934
RALI Series 2004-QS16 Trust, 5.5%, 12/25/34 3,600,000 $270,006
RALI Series 2004-QS1 Trust, 4.25%, 1/25/34 14,997,000 $164,549
RALI Series 2004-QS1 Trust, Floating Rate Note, 1/25/34 2,884,000 $44,411
RALI Series 2004-QS5 Trust, 4.75%, 4/25/34 4,285,000 $277,799
RALI Series 2004-QS5 Trust, Floating Rate Note, 4/25/34 1,761,729 $112,041
RAMP Series 2003-RS9 Trust, Floating Rate Note, 10/25/33 5,091,956 $592,773
RAMP Series 2004-SL4 Trust, Floating Rate Note, 5/25/18 13,780,000 $104,207
RAMP Series 2005-RS5 Trust, Floating Rate Note, 5/25/35 360,000 $29,342
RAMP Series 2005-RS6 Trust, Floating Rate Note, 6/25/35 278,355 $205,712
RAMP Series 2005-RZ4 Trust, Floating Rate Note, 11/25/35 4,671,695 $42,916
RASC Series 2005-EMX2 Trust, Floating Rate Note, 7/25/35 40,280 $15,308
RASC Series 2005-KS7 Trust, Floating Rate Note, 8/25/35 1,450,000 $117,769
RASC Series 2006-KS1 Trust, Floating Rate Note, 2/25/36 1,200,000 $59,387
Ras Laffan Liquefied Natural Gas Co, Ltd. III, 5.5%, 9/30/14 (144A) 250,000 $256,030
Raymond James Financial, Inc., 4.25%, 4/15/16 283,000 $301,325
Rbscf 3.686% 15apr24 10-Mb1-A2 2,440,000 $1,842,790
RBSSP Resecuritization Trust 2009-5, Floating Rate Note, 8/26/37 (144A) 2,550,000 $934,919
Reckitt Benckiser Treasury Services Plc, 2.125%, 9/21/18 (144A) 500,000 $506,944
Regatta Funding, Ltd., Floating Rate Note, 6/15/20 (144A) 500,000 $343,270
RENT-A-CENTER, INC, Term Loan (2014), 2/6/21 550,000 $545,875
Residential Asset Securitization Trust 2003-A2, Floating Rate Note, 5/25/33 34,300,000 $1,335,784
Residential Asset Securitization Trust 2004-A9, 5.75%, 12/25/34 870,000 $384,827
Residential Asset Securitization Trust 2005-A9, 5.5%, 7/25/35 1,050,000 $317,291
Residential Reinsurance 2011, Ltd., Floating Rate Note, 12/6/16 (Cat Bond) (144A) 250,000 $266,886
Residential Reinsurance 2011, Ltd., Floating Rate Note, 6/6/15 (Cat Bond) (144A) 500,000 $532,125
Residential Reinsurance 2012, Ltd., Floating Rate Note, 12/6/16 (Cat Bond) (144A) 1,150,000 $1,189,416
Residential Reinsurance 2012, Ltd., Floating Rate Note, 6/6/16 (Cat Bond) (144A) 250,000 $277,008
Residential Reinsurance 2013, Ltd., Floating Rate Note, 6/6/17 (Cat Bond) (144A) 250,000 $265,439
Resid Flt% 06jun18 144a 250,000 $249,975
RESI Finance LP, Floating Rate Note, 9/10/35 (144A) 2,618,783 $530,694
Resource Capital Corp CRE Notes 2013, Ltd., Floating Rate Note, 6/15/16 (144A) 1,000,000 $1,001,092
RFMSI Series 2005-S5 Trust, 5.25%, 7/25/35 300,770 $180,536
RFSC Series 2004-RP1 Trust, Floating Rate Note, 11/25/42 (144A) 250,000 $164,489
Rio Tinto Finance USA Plc, Floating Rate Note, 6/17/16 560,000 $566,829
Riverfront Re, Ltd., Floating Rate Note, 1/6/17 (Cat Bond) (144A) 320,000 $313,792
Royal Bank of Canada, 1.45%, 9/9/16 1,000,000 $1,018,576
Royal Bank of Canada, Floating Rate Note, 1/23/17 550,000 $550,772
RREF 2012 LT1 LLC, 2.85%, 5/15/24 700,000 $701,296
RREF 2013 LT2 LLC, 2.8331%, 5/22/28 (144A) 700,000 $288,026
Ryder System, Inc., 3.15%, 3/2/15 500,000 $513,889
SABMiller Holdings, Inc., 1.85%, 1/15/15 (144A) 500,000 $507,879
SACO I Trust 2005-8, Floating Rate Note, 11/25/35 3,250,775 $69,335
Sanders Re, Ltd., Floating Rate Note, 5/5/17 (Cat Bond) (144A) 750,000 $747,248
Sanders Re, Ltd., Floating Rate Note, 5/5/17 (Cat Bond) (144A) 750,000 $748,333
Sandre Flt% 07jun17 144a 650,000 $650,000
Santander Drive Auto Receivables Trust 2011-2, 2.66%, 1/15/16 285,000 $54,424
Santander Drive Auto Receivables Trust 2012-5, 2.7%, 8/15/18 125,000 $128,691
Santander Holdings USA, Inc. Pennsylvania, 3.0%, 9/24/15 2,269,000 $2,348,516
Santander Holdings USA, Inc. Pennsylvania, 3.45%, 8/27/18 600,000 $638,584
Sarmlt Flt% 25nov34 04-17-A1 18,180,000 $967,178
SASCO Mortgage Loan Trust 2005-GEL1, Floating Rate Note, 12/25/34 510,000 $385,478
SASCO Mortgage Loan Trust 2005-GEL2, Floating Rate Note, 4/25/35 8,945,588 $205,804
Saxon Asset Securities Trust 2005-3, Floating Rate Note, 11/25/35 471,000 $460,650
Saxon Asset Securities Trust 2005-4, Floating Rate Note, 11/25/37 9,516,000 $561,746
SBA Senior Finance II LLC, 3/31/21 200,000 $198,982
SBI Home Equity Loan Trust 2006-1, Floating Rate Note, 8/25/36 (144A) 1,350,000 $461,857
Seadrill Operating LP, 2/14/21 847,875 $845,159
Sebny 0.4% 06jun14 4,910,000 $4,929,508
Sector Re V, Ltd., 0.0%, 3/1/18 (Cat Bond) (144A) 272 $76,273
Sector Re V, Ltd., 0.0%, 3/30/19 (Cat Bond) (144A) 300,000 $302,310
Senior Housing Properties Trust, 4.3%, 1/15/16 290,000 $306,203
Sequoia Mortgage Trust 2003-5, Floating Rate Note, 9/20/33 4,626,000 $242,146
Sequoia Mortgage Trust 2004-10, Floating Rate Note, 11/20/34 1,640,000 $178,505
Sequoia Mortgage Trust 2004-12, Floating Rate Note, 1/20/35 3,700,000 $267,288
Sequoia Mortgage Trust 2004-12, Floating Rate Note, 1/20/35 13,677,000 $1,581,015
Sequoia Mortgage Trust 2004-7, Floating Rate Note, 8/20/34 5,000,000 $276,771
Sequoia Mortgage Trust 2004-9, Floating Rate Note, 10/20/34 6,000,000 $658,862
Sequoia Mortgage Trust 2005-1, Floating Rate Note, 2/20/35 4,960,000 $487,279
Sequoia Mortgage Trust 2013-8, Floating Rate Note, 6/25/43 160,000 $146,192
Sequoia Mortgage Trust 2013-8, Floating Rate Note, 6/25/43 314,000 $272,399
Shell International Finance BV, Floating Rate Note, 11/15/16 750,000 $750,885
Sierra Timeshare 2012-2 Receivables Funding LLC, 2.38%, 3/20/29 (144A) 1,500,000 $538,318
Sierra Timeshare 2012-3 Receivables Funding LLC, 1.87%, 8/20/29 (144A) 1,400,000 $601,937
Sierra Timeshare 2013-1 Receivables Funding LLC, 2.39%, 11/20/29 (144A) 160,000 $77,618
Sierra Timeshare 2013-2 Receivables Funding LLC, 2.92%, 11/20/25 160,000 $96,596
SilverLeaf Finance XVII LLC, 2.71%, 3/16/26 (144A) 750,000 $587,199
Silverstone Master Issuer Plc, Floating Rate Note, 1/21/55 (144A) 290,000 $299,817
Silverton RE, Ltd., 0.0%, 9/16/16 (Cat Bond) (144A) 250,000 $283,625
Sinclair Television Group, Inc., 4/19/20 442,768 $438,394
Sirius International Group, Ltd., 6.375%, 3/20/17 (144A) 750,000 $844,513
SLM Student Loan Trust 2004-10, Floating Rate Note, 4/27/26 (144A) 380,000 $382,747
SMA Issuer I LLC, 3.5%, 8/20/25 (144A) 140,130 $13,496
SMART Trust/Australia, Floating Rate Note, 1/14/17 500,000 $500,178
SMART Trust/Australia, Floating Rate Note, 6/14/15 600,000 $105,963
SMART Trust/Australia, Floating Rate Note, 7/14/16 750,000 $750,169
SNAAC Auto Receivables Trust, 4.38%, 6/15/17 (144A) 460,000 $469,297
SNAAC Auto Receivables Trust 2013-1, 1.14%, 7/16/18 (144A) 404,000 $143,325
Soundview Home Loan Trust 2005-3, Floating Rate Note, 6/25/35 600,000 $118,459
Soundview Home Loan Trust 2005-OPT4, Floating Rate Note, 12/25/35 815,490 $249,058
South Carolina State Public Service Authority, Floating Rate Note, 6/1/15 890,000 $894,449
Southern Pacific Secured Asset Corp., Floating Rate Note, 3/25/28 32,000,000 $330,153
Southwire Co., 1/31/21 305,000 $305,048
Specialty Underwriting & Residential Finance Trust Series 2006-BC1, Floating Rate Note, 12/25/36 790,207 $749,551
Spirit AeroSystems, Inc., 9/30/20 534,325 $535,160
Springleaf Funding Trust 2013-A, 2.58%, 9/15/21 (144A) 1,200,000 $1,208,980
Springleaf Funding Trust 2014-A, 2.41%, 12/25/22 (144A) 500,000 $501,590
Springleaf Mortgage Loan Trust 2012-2, Floating Rate Note, 10/25/57 (144A) 424,000 $249,716
Standard Chartered Plc, 3.85%, 4/27/15 (144A) 500,000 $515,823
Stanwich Mortgage Loan Trust, 2.9814%, 2/16/43 (144A) 1,325,000 $714,780
Starbucks Corp., 0.875%, 12/5/16 605,000 $607,393
Starwood Property Mortgage Trust 2013-FV1, Floating Rate Note, 8/11/28 (144A) 640,000 $627,107
Starwood Property Trust, Inc., 4/17/20 198,995 $198,249
State of Ohio, 3.0%, 6/15/15 500,000 $520,992
State Street Bank & Trust Co., Floating Rate Note, 12/8/15 550,000 $550,156
Steward Health Care System LLC, 4/10/20 298,496 $295,138
St Jude Medical, Inc., 2.5%, 1/15/16 510,000 $529,788
STORE Master Funding LLC, 5.77%, 8/20/42 (144A) 344,000 $365,671
Structured Adjustable Rate Mortgage Loan Trust, Floating Rate Note, 11/25/34 750,000 $86,689
Structured Adjustable Rate Mortgage Loan Trust, Floating Rate Note, 3/25/34 2,600,000 $187,958
Structured Asset Investment Loan Trust 2005-6, Floating Rate Note, 7/25/35 719,331 $712,752
Structured Asset Mortgage Investments II Trust 2004-AR5, Floating Rate Note, 10/19/34 8,100,000 $400,197
Structured Asset Mortgage Investments II Trust 2005-AR2, Floating Rate Note, 5/25/45 5,000,000 $486,414
Structured Asset Mortgage Investments II Trust 2005-F1, Floating Rate Note, 8/26/35 6,100,000 $168,286
Structured Asset Mortgage Investments Trust 2002-AR5, Floating Rate Note, 5/19/33 7,644,000 $429,520
Structured Asset Sec Corp Mor Pass Thr Cer Ser 2003-35, Floating Rate Note, 12/25/33 4,960,000 $350,950
Structured Asset Securities Corp Mor Cer Ser 2003-31A, Floating Rate Note, 10/25/33 1,500,000 $189,080
Structured Asset Securities Corp Mortgage Loan Trust 2005-2XS, 4.65%, 2/25/35 (Step) 1,000,000 $214,850
Structured Asset Securities Corp Mortgage Loan Trust 2005-WF4, Floating Rate Note, 11/25/35 475,000 $90,648
Structured Asset Securities Corp Mortgage Loan Trust 2006-BC4, Floating Rate Note, 12/25/36 435,585 $19,364
Structured Asset Securities Corp Mortgage Pass-Through Certificates Ser 2004-S4, Floating Rate Note, 500,000 $161,412
Structured Asset Securities Corp Mortgage Pass-Through Ctfs Ser 2003-24A, Floating Rate Note, 7/25/3 7,700,000 $1,017,076
Sumitomo Mitsui Banking Corp., Floating Rate Note, 1/10/17 750,000 $752,850
Sumitomo Mitsui Banking Corp., Floating Rate Note, 7/19/16 300,000 $302,222
Sumitomo Mitsui Trust Bank, Ltd., Floating Rate Note, 9/16/16 (144A) 500,000 $504,696
SunGard Data Systems, Inc., 2/28/17 155,698 $156,281
SunTrust Bank, Floating Rate Note, 2/15/17 500,000 $500,700
SunTrust Bank, Floating Rate Note, 4/1/15 430,000 $430,301
SunTrust Banks, Inc., 3.5%, 1/20/17 500,000 $536,322
Svenska Handelsbanken AB, Floating Rate Note, 9/23/16 1,000,000 $1,006,625
Svenska Handelsbanken New York NY, Floating Rate Note, 1/16/15 200,000 $200,510
Svenska Handelsbanken New York NY, Floating Rate Note, 11/17/14 350,000 $350,194
SVO 2012-A VOI Mortgage LLC, 2.0%, 9/20/29 (144A) 1,600,000 $968,289
Tal 1.7% 20may39 A1 400,000 $400,477
Tar Heel Re, Ltd., Floating Rate Note, 5/9/16 (Cat Bond) (144A) 250,000 $265,559
TD Ameritrade Holding Corp., 4.15%, 12/1/14 500,000 $519,620
Telecom Italia Capital SA, 4.95%, 9/30/14 750,000 $764,691
Telefonica Emisiones SAU, 3.992%, 2/16/16 500,000 $531,075
Terex Corp., 4/28/17 258,983 $260,156
Terwin Mortgage Trust Series TMTS 2003-8HE, Floating Rate Note, 12/25/34 5,234,000 $158,715
Terwin Mortgage Trust Series TMTS 2005-10HE, Floating Rate Note, 6/25/36 199,992 $177,684
Terwin Mortgage Trust Series TMTS 2005-14HE, 4.8492%, 8/25/36 (Step) 630,000 $138,745
Texas Instruments, Inc., 0.875%, 3/12/17 500,000 $501,059
Texas Municipal Gas Acquisition & Supply Corp III, 5.0%, 12/15/15 500,000 $545,078
The Bank of New York Mellon Corp., 1.7%, 11/24/14 1,000,000 $1,006,046
The Bank of New York Mellon Corp., 3.1%, 1/15/15 220,000 $226,340
The Bank of New York Mellon Corp., Floating Rate Note, 10/23/15 595,000 $596,515
The Bank of New York Mellon Corp., Floating Rate Note, 7/28/14 110,000 $110,103
The Bank of Tokyo-Mitsubishi UFJ, Ltd., 1.55%, 9/9/16 (144A) 1,000,000 $1,016,077
The Bank of Tokyo-Mitsubishi UFJ, Ltd., Floating Rate Note, 3/10/17 (144A) 500,000 $500,608
The Bear Stearns Companies LLC, 5.7%, 11/15/14 750,000 $769,748
The Bear Stearns Companies LLC, Floating Rate Note, 11/21/16 1,500,000 $1,498,124
The Boeing Co., 0.95%, 5/15/18 1,050,000 $1,030,877
The Charles Schwab Corp., 0.85%, 12/4/15 250,000 $252,205
The Geo Group, Inc., 4/3/20 497,487 $497,177
The Goldman Sachs Group, Inc., 3.7%, 8/1/15 340,000 $355,785
The Goldman Sachs Group, Inc., 5.0%, 10/1/14 800,000 $818,548
The Goldman Sachs Group, Inc., Floating Rate Note, 1/12/15 500,000 $501,343
The Goldman Sachs Group, Inc., Floating Rate Note, 11/21/14 250,000 $251,089
The Goldman Sachs Group, Inc., Floating Rate Note, 3/22/16 475,000 $475,296
The Goldman Sachs Group, Inc., Floating Rate Note, 9/29/14 390,000 $391,166
The Huntington National Bank, Floating Rate Note, 4/24/17 500,000 $500,708
The Korea Development Bank, Floating Rate Note, 1/22/17 750,000 $751,607
The PNC Financial Services Group, Inc., Floating Rate Note, 2/21/49 (Perpetual) 600,000 $602,015
Thermo Fisher Scientific, Inc., 2.4%, 2/1/19 1,000,000 $1,024,232
The Toronto-Dominion Bank, 1.375%, 7/14/14 345,000 $347,285
The Toronto-Dominion Bank, 1.4%, 4/30/18 500,000 $496,880
The Toronto-Dominion Bank, Floating Rate Note, 5/2/17 500,000 $500,629
The Toronto-Dominion Bank, Floating Rate Note, 7/14/14 644,000 $644,795
The Toronto-Dominion Bank, Floating Rate Note, 9/9/16 500,000 $503,505
Thomson Reuters Corp., 0.875%, 5/23/16 250,000 $250,326
Thomson Reuters Corp., 1.3%, 2/23/17 500,000 $503,399
Thornburg Mortgage Securities Trust 2003-3, Floating Rate Note, 6/25/43 3,857,000 $136,783
Thornburg Mortgage Securities Trust 2004-1, Floating Rate Note, 3/25/44 1,950,000 $155,549
Thornburg Mortgage Securities Trust 2004-1, Floating Rate Note, 3/25/44 4,537,000 $772,491
Thornburg Mortgage Securities Trust 2004-1, Floating Rate Note, 3/25/44 20,000,000 $247,042
Thornburg Mortgage Securities Trust 2004-3, Floating Rate Note, 9/25/44 11,309,309 $1,117,136
Thorn Flt% 25dec44 04-4-4a 1,225,000 $266,587
TimberStar Trust 1, 5.668%, 10/15/36 (144A) 525,000 $581,176
TMS International Corp., 10/2/20 149,625 $150,124
TORONTO-DOMINION BANK, Floating Rate Note, 11/6/15 500,000 $500,870
Total Capital Canada, Ltd., Floating Rate Note, 1/15/16 1,115,000 $1,122,083
Toyota 1.125% 16may17 750,000 $752,467
Toyota Motor Credit Corp., 0.75%, 3/5/17 (Step) 1,500,000 $1,497,540
Tradewynd Re, Ltd., Floating Rate Note, 1/8/15 (Cat Bond) (144A) 250,000 $253,698
Trafigura Securitisation Finance Plc, Floating Rate Note, 10/15/15 (144A) 425,000 $430,144
Trafigura Securitisation Finance Plc, Floating Rate Note, 10/15/15 (144A) 487,000 $492,065
TransCanada PipeLines, Ltd., 0.75%, 1/15/16 650,000 $654,575
Tribune Co., 11/20/20 872,813 $873,222
Tyco Electronics Group SA, 1.6%, 2/3/15 640,000 $648,139
U.S. Treasury Notes, 0.375%, 2/15/16 4,500,000 $4,512,852
U.S. Treasury Notes, 1.5%, 8/31/18 5,500,000 $5,568,545
Uacst 3.12% 15mar18 12-1 D 600,000 $605,563
Union Bank NA, 2.625%, 9/26/18 1,000,000 $1,033,753
Union Bank NA, Floating Rate Note, 9/26/16 750,000 $759,113
United Auto Credit Securitization Trust 2012-1, 1.87%, 9/15/15 (144A) 750,000 $398,946
United Auto Credit Securitization Trust 2013-1, 1.74%, 4/15/16 (144A) 825,000 $829,388
UnitedHealth Group, Inc., 1.875%, 11/15/16 500,000 $514,178
United Technologies Corp., Floating Rate Note, 6/1/15 500,000 $503,247
University of California, 0.966%, 5/15/17 500,000 $501,975
US Renal Care, Inc., 7/3/19 553,609 $555,512
Ventas Realty LP, 3.125%, 11/30/15 500,000 $525,950
Verint Systems, Inc., 9/6/19 598,500 $597,827
Verizon Communications, Inc., 3.0%, 4/1/16 500,000 $523,240
Verizon Communications, Inc., Floating Rate Note, 9/15/16 535,000 $551,927
Vita Capital IV, Ltd., Floating Rate Note, 1/15/16 (Cat Bond) (144A) 250,000 $253,984
Vita Capital V, Ltd., Floating Rate Note, 1/15/17 (Cat Bond) (144A) 750,000 $765,431
Vitality Re IV, Ltd., Floating Rate Note, 1/9/17 (Cat Bond) (144A) 500,000 $513,842
Vitality Re V, Ltd., Floating Rate Note, 1/7/19 (Cat Bond) (144A) 500,000 $500,333
Vodafone Group Plc, Floating Rate Note, 2/19/16 275,000 $275,492
Volkswagen International Finance NV, 1.125%, 11/18/16 (144A) 750,000 $753,700
Volkswagen International Finance NV, 1.6%, 11/20/17 (144A) 500,000 $503,312
VOLT XVI LLC, 4.25%, 8/25/58 (Step) (144A) 609,438 $534,351
VOLT XXIII LLC, 3.625%, 11/25/53 (Step) 475,000 $466,867
VOLT XXIV LLC, 3.25%, 11/25/53 (Step) 600,000 $597,016
VOLT XX LLC, 3.625%, 2/1/39 (Step) (144A) 550,000 $536,567
Volvo Financial Equipment LLC Series 2014-1, 0.54%, 11/15/16 (144A) 415,000 $415,175
Vw Flt% 23may16 1,000,000 $1,000,685
Vwmt Flt% 20sep16 11-1a-Note 100,000 $100,165
Wachovia Bank Commercial Mortgage Trust Series 2005-C16, Floating Rate Note, 10/15/41 465,000 $472,153
Wachovia Bank Commercial Mortgage Trust Series 2005-C17, Floating Rate Note, 3/15/42 1,965,000 $1,965,875
Wachovia Bank Commercial Mortgage Trust Series 2005-C18, 4.935%, 4/15/42 1,506,334 $1,545,689
Wachovia Bank Commercial Mortgage Trust Series 2005-C21, Floating Rate Note, 10/15/44 625,364 $550,396
Wachovia Bank Commercial Mortgage Trust Series 2006-C24, Floating Rate Note, 3/15/45 272,000 $280,550
Wachovia Corp., 5.25%, 8/1/14 1,185,000 $1,214,924
Wachovia Mortgage Loan Trust Series 2005-WMC1, Floating Rate Note, 10/25/35 750,000 $179,986
Walgreen Co., 1.0%, 3/13/15 1,000,000 $1,006,586
WaMu Mortgage Pass-Through Certificates Series 2002-AR6 Trust, Floating Rate Note, 6/25/42 29,950,000 $393,912
WaMu Mortgage Pass-Through Certificates Series 2003-AR9 Trust, Floating Rate Note, 9/25/33 3,062,360 $1,219,263
WaMu Mortgage Pass-Through Certificates Series 2003-S10, 5.0%, 10/25/18 17,361,049 $741,745
Waupaca Foundry, Inc., 6/29/17 293,150 $293,516
WCP Wireless Site Funding, 6.829%, 11/15/15 (144A) 530,000 $555,270
Welk Resorts 2013-A LLC, 3.1%, 3/15/29 (144A) 750,000 $677,045
Wells Fargo & Co., 1.25%, 7/20/16 500,000 $507,243
Wells Fargo & Co., 1.5%, 7/1/15 1,050,000 $1,068,734
Wells Fargo & Co., Floating Rate Note, 4/23/18 575,000 $580,204
Wells Fargo Alternative Loan 2005-2 Trust, Floating Rate Note, 10/25/35 453,135 $448,048
Wells Fargo Bank NA, Floating Rate Note, 5/16/16 250,000 $249,248
Wells Fargo Commercial Mortgage Trust 2014-TISH, Floating Rate Note, 2/15/27 (144A) 690,000 $690,385
Wells Fargo Home Equity Asset-Backed Securities 2005-3 Trust, Floating Rate Note, 12/25/35 200,000 $76,378
Wells Fargo Mortgage Backed Securities 2005-AR6 Trust, Floating Rate Note, 4/25/35 3,371,000 $282,824
Wells Fargo Mortgage Backed Securities 2006-16 Trust, 5.0%, 11/25/36 550,000 $37,222
Wells Fargo Mortgage Backed Securities Trust, Floating Rate Note, 8/25/34 3,105,000 $205,413
Wesco Aircraft Hardware Corp., 2/24/21 875,000 $872,266
WESCO Distribution, Inc., 12/12/19 61,163 $61,229
Westgate Resorts 2012-2 LLC, 3.0%, 1/20/25 (144A) 350,000 $162,938
Westgate Resorts 2012-A LLC, 2.25%, 8/20/25 (144A) 290,000 $197,765
Westgate Resorts 2012-A LLC, 3.75%, 8/20/25 (144A) 403,000 $277,074
Westgate Resorts LLC, 2.5%, 3/20/25 (144A) 250,000 $137,552
Westpac Banking Corp., 4.2%, 2/27/15 500,000 $519,727
Westwood CDO II, Ltd., Floating Rate Note, 4/25/22 (144A) 500,000 $460,275
Williams Partners LP, 3.8%, 2/15/15 750,000 $774,682
Wlake 1.12% 15jan18 13-1a-A2 150,000 $150,530
WMC Mortgage Loan Trust 1998-B, Floating Rate Note, 10/20/29 8,000,000 $239,234
Wm Wrigley Jr Co., 2.0%, 10/20/17 (144A) 1,000,000 $1,015,779
World Financial Network Credit Card Master Trust, Floating Rate Note, 2/15/19 950,000 $951,557
WR Grace & Co., 1/23/21 202,430 $201,848
WR Grace & Co., 1/23/21 72,296 $72,088
Wssnpl Flt% 25may54 2014_1_Ma 1,020,000 $1,020,000
Wstp Flt% 19may17 1,000,000 $1,001,056
ZIGGO BV, (USD) TLB3, 1/15/22 476,177 $469,728
Ziggo Bv 1st Lien Tl-B1 L + 2.75% 15jan22 449,291 $443,207
Ziggo Bv 1st Lien Tl-B2 L + 2.75% 15jan22 289,532 $285,611
Zoetis, Inc., 1.15%, 2/1/16 500,000 $505,718

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

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