Pioneer Short Term Income Fund

Top 10 Portfolio Holdings as of 4/30/2015
Default: sorted by market value

Security Name Par / Shares Market Value
14112z Zero% 01feb19 1,000,000 $1,056,700
17079z Zero% 31mar18 250,000 $251,150
321 Henderson Receivables I LLC, Floating Rate Note, 6/15/41 (144A) 2,000,000 $643,745
77 Energy 1st Lien Tl-B L + 3% 17jun21 347,375 $329,138
A10 Securitization 2013-1 LLC, 2.4%, 11/17/25 (144A) 642,000 $143,905
A10 Term Asset Financing 2013-2 LLC, 2.62%, 11/15/27 (144A) 1,085,000 $969,630
Abbey National Treasury Services Plc London, Floating Rate Note, 9/29/17 750,000 $747,908
ABN AMRO Bank NV, 1.375%, 1/22/16 (144A) 500,000 $503,726
ABN AMRO Bank NV, Floating Rate Note, 10/28/16 (144A) 750,000 $754,672
ACAS CLO 2007-1, Ltd., Floating Rate Note, 4/20/21 500,000 $306,089
Accredited Mortgage Loan Trust 2005-2, Floating Rate Note, 7/25/35 240,000 $235,847
ACE Securities Corp Manufactured Housing Trust Series 2003-MH1, Floating Rate Note, 8/15/30 (144A) 425,000 $32,739
ACIS CLO 2014-4, Ltd., Floating Rate Note, 5/1/26 (144A) 700,000 $350,541
ACRE Commercial Mortgage Trust 2014-FL2, Floating Rate Note, 8/15/31 (144A) 700,000 $699,153
Activision Blizzard, Inc., Term Loan, 7/26/20 573,304 $577,469
Adjustable Rate Mortgage Trust 2005-5, Floating Rate Note, 9/25/35 3,300,000 $267,373
Aecom Technology Corp 1st Lien Tl-B L + 3% 17sep21 319,103 $323,252
Aegis Asset Backed Securities Trust Mortgage Pass-Through Ctfs Ser 2005-4, Floating Rate Note, 10/25 239,000 $114,369
Aegis Asset Backed Securities Trust Mortgage Pass- Through Ctfs Series 2004-3, Floating Rate Note, 9 881,754 $134,170
Aegis Asset Backed Securities Trust Mortgage Pass- Through Ctfs Series 2004-3, Floating Rate Note, 9 12,500,000 $410,193
Aflac, Inc., 3.45%, 8/15/15 500,000 $507,300
Aircastle, Ltd., 6.75%, 4/15/17 1,100,000 $1,185,800
Alamo Re, Ltd., Floating Rate Note, 6/7/17 (Cat Bond) (144A) 250,000 $252,953
Albertsons LLC, Term B-2 Loan, 3/21/19 646,754 $652,716
Altera Corp., 2.5%, 11/15/18 500,000 $514,858
Alterna Funding I LLC, 1.639%, 2/15/21 (144A) 400,000 $300,905
Alternative Loan Trust 2003-14T1, Floating Rate Note, 8/25/18 3,200,000 $112,819
Alternative Loan Trust 2003-J1, 4.75%, 10/25/33 4,300,000 $163,392
Alternative Loan Trust 2004-4CB, 4.25%, 4/25/34 4,541,000 $93,043
Alternative Loan Trust 2004-6CB, Floating Rate Note, 4/25/34 4,791,000 $316,023
Altria Group, Inc., 4.125%, 9/11/15 310,000 $315,696
Altrl Zero% 30jun16 218,850 $126,605
Altrl Zero% 30jun17 500,000 $509,900
AMC Entertainment, Inc., Initial Term Loan, 4/30/20 246,231 $247,369
America Movil SAB de CV, Floating Rate Note, 9/12/16 1,000,000 $1,005,742
American Airlines Inc 1st Lien Tl-B L + 3.5% 08oct21 750,000 $754,063
American Credit Acceptance Receivables Trust 2013-1, 1.45%, 4/16/18 (144A) 41,000 $6,546
American Credit Acceptance Receivables Trust 2013-2, 1.32%, 2/15/17 (144A) 280,000 $16,005
American Credit Acceptance Receivables Trust 2014-1, 1.14%, 3/12/18 (144A) 520,000 $112,353
American Credit Acceptance Receivables Trust 2014-2, 0.99%, 10/10/17 (144A) 500,000 $163,653
American Credit Acceptance Receivables Trust 2014-3, 0.99%, 8/10/18 (144A) 410,000 $217,183
American Electric Power Co, Inc., 1.65%, 12/15/17 500,000 $505,986
American Express Credit Account Secured Note Trust 2012-4, Floating Rate Note, 5/15/20 (144A) 760,000 $764,052
American Express Credit Corp., 1.3%, 7/29/16 500,000 $504,242
American Express Credit Corp., Floating Rate Note, 6/12/15 200,000 $200,632
American Express Credit Corp., Floating Rate Note, 9/22/17 1,000,000 $998,188
American Home Mortgage Investment Trust 2004-3, 5.01%, 10/25/34 (Step) 4,000,000 $49,902
American Homes 4 Rent 2014-SFR1, Floating Rate Note, 6/19/31 (144A) 665,000 $661,535
American Honda Finance Corp., 1.125%, 10/7/16 500,000 $502,717
American Honda Finance Corp., 1.2%, 7/14/17 750,000 $753,676
American Honda Finance Corp., Floating Rate Note, 12/11/17 750,000 $752,125
American Honda Finance Corp., Floating Rate Note, 5/26/16 (144A) 1,675,000 $1,682,633
AmeriCredit Automobile Receivables Trust 2012-4, 3.82%, 2/10/20 (144A) 500,000 $513,322
AmeriCredit Automobile Receivables Trust 2013-1, 1.57%, 1/8/19 150,000 $150,249
AmeriCredit Automobile Receivables Trust 2013-4, 0.74%, 11/8/16 500,000 $10,055
AmeriCredit Automobile Receivables Trust 2013-4, 3.31%, 10/8/19 550,000 $566,779
AmeriCredit Automobile Receivables Trust 2014-2, Floating Rate Note, 10/10/17 380,000 $257,321
Ameriquest Mortgage Securities Inc Asset-Backed Pass-Through Ctfs Ser 2003-AR3, Floating Rate Note, 155,851 $67,432
Ameriquest Mortgage Securities Inc Asset-Backed Pass-Through Ctfs Ser 2005-R1, Floating Rate Note, 3 592,188 $259,549
Ameriquest Mortgage Securities Inc Asset Backed Pass-Through Ctfs Ser 2005-R11, Floating Rate Note, 962,222 $565,944
Ameriquest Mortgage Securities Inc Asset-Backed Pass-Through Ctfs Ser 2005-R9, 4.8722%, 11/25/35 (St 590,000 $461,859
Amgen, Inc., 2.5%, 11/15/16 500,000 $517,045
AMRESCO Residential Securities Corp Mortgage Loan Trust 1997-3, Floating Rate Note, 9/25/27 8,940,000 $171,366
Anheuser-Busch InBev Finance, Inc., Floating Rate Note, 1/27/17 500,000 $499,031
ANZ New Zealand Int'l, Ltd. London, 1.125%, 3/24/16 (144A) 1,000,000 $1,005,276
Apple, Inc., Floating Rate Note, 5/3/16 400,000 $400,571
Appvion, Inc., Term Commitment, 6/28/19 498,731 $463,820
ARI Fleet Lease Trust 2012-A, Floating Rate Note, 3/15/20 (144A) 810,000 $103,744
Arlington Flt% 01aug15 250,000 $281,850
Armor Re, Ltd., Floating Rate Note, 12/15/16 (Cat Bond) (144A) 300,000 $298,340
Ascentium Equipment Receivables 2014-1 LLC, 1.04%, 1/10/17 (144A) 400,000 $278,433
Ascentium Equipment Receivables 2014-1 LLC, 3.1%, 6/10/21 (144A) 700,000 $713,533
Ascentium Equipment Receivables 2015-1 LLC, 3.24%, 1/10/22 (144A) 510,000 $513,573
ASG Resecuritization Trust 2010-3, Floating Rate Note, 12/29/45 (144A) 1,642,839 $670,295
Asset Backed Securities Corp Home Equity Loan Trust Series 2003-HE1, Floating Rate Note, 1/15/33 3,082,000 $592,464
Asset Backed Securities Corp Home Equity Loan Trust Series 2004-HE6, Floating Rate Note, 9/25/34 7,075,000 $461,365
Asset Backed Securities Corp Home Equity Loan Trust Series 2005-HE3, Floating Rate Note, 4/25/35 159,800 $99,512
Asset Backed Securities Corp Home Equity Loan Trust Series AEG 2006-HE1, Floating Rate Note, 1/25/36 311,384 $52,148
Assurant, Inc., 2.5%, 3/15/18 300,000 $305,829
Atlantic Power LP, Term Loan, 2/20/21 1,159,809 $1,167,058
Atlas IX Capital, Ltd., Floating Rate Note, 1/17/19 (Cat Bond) (144A) 500,000 $509,345
Atlas Reinsurance VII, Ltd., Floating Rate Note, 1/7/16 (Cat Bond) (144A) 250,000 $254,165
Avago Technologies Ltd 1st Lien Tl-B L + 3% 16apr21 341,089 $343,144
Axis Equipment Finance Receivables III LLC, 3.41%, 4/20/20 (144A) 300,000 $299,489
AXIS Equipment Finance Receivables II LLC, 3.81%, 12/20/16 400,000 $402,921
AXIS Equipment Finance Receivables II LLC, 4.94%, 7/20/18 (144A) 700,000 $709,027
BAMLL Commercial Mortgage Securities Trust 2014-FL1, Floating Rate Note, 12/17/31 (144A) 800,000 $803,345
BAMLL Commercial Mortgage Securities Trust 2014-ICTS, Floating Rate Note, 6/15/28 (144A) 580,000 $578,129
Banc of America Alternative Loan Trust 2003-10, Floating Rate Note, 12/25/33 2,600,000 $97,087
Banc of America Alternative Loan Trust 2004-2, 5.5%, 3/25/19 954,266 $86,229
Banc of America Alternative Loan Trust 2004-4, 5.25%, 5/25/19 1,363,000 $129,483
Banc of America Commercial Mortgage Trust 2006-1, Floating Rate Note, 9/10/45 1,000,000 $1,027,264
Banc of America Commercial Mortgage Trust 2006-1, Floating Rate Note, 9/10/45 1,750,000 $1,801,565
Banc of America Commercial Mortgage Trust 2006-1, Floating Rate Note, 9/10/45 1,450,000 $1,464,201
Banc of America Commercial Mortgage Trust 2006-4 REMICS, 5.634%, 7/10/46 1,960,000 $1,861,346
Banc of America Funding 2003-3 Trust, 5.5%, 10/25/33 617,825 $109,138
Banc of America Funding 2004-B Trust, Floating Rate Note, 12/20/34 6,667,000 $457,484
Banc of America Merrill Lynch Commercial Mortgage, Inc., 4.933%, 7/10/45 800,000 $472,276
Banc of America Merrill Lynch Commercial Mortgage, Inc., Floating Rate Note, 10/10/45 1,370,000 $875,689
Banc of America Merrill Lynch Commercial Mortgage, Inc., Floating Rate Note, 9/10/47 1,780,000 $1,441,304
Banc of America Mortgage 2003-F Trust, Floating Rate Note, 7/25/33 6,462,027 $269,032
Banc of America Mortgage 2003-H Trust, Floating Rate Note, 9/25/33 13,410,000 $1,032,012
Banc of America Mortgage 2004-D Trust, Floating Rate Note, 5/25/34 4,920,000 $488,028
Banc of America Mortgage Trust 2004-7, 4.5%, 8/25/19 181,000 $11,352
Banco Nacional de Desenvolvimento Economico e Social, 3.375%, 9/26/16 (144A) 1,000,000 $1,015,281
Bank of America Corp., 1.25%, 1/11/16 575,000 $578,787
Bank of America Corp., 1.35%, 11/21/16 500,000 $504,121
Bank of America Corp., 3.7%, 9/1/15 500,000 $508,062
Bank of America Corp., Floating Rate Note, 8/25/17 408,000 $409,655
Bank of America NA, 1.25%, 2/14/17 500,000 $502,755
Bank of Montreal, 0.8%, 11/6/15 1,135,000 $1,141,806
Barclays Bank Plc, Floating Rate Note, 2/17/17 229,000 $229,983
Barclays Dryrock Issuance Trust, Floating Rate Note, 3/16/20 500,000 $499,623
Baxter International, Inc., 0.95%, 6/1/16 500,000 $502,096
Bayer US Finance LLC, 1.5%, 10/6/17 (144A) 750,000 $756,702
Bayview Commercial Asset Trust 2004-1, Floating Rate Note, 4/25/34 (144A) 4,150,000 $365,982
Bayview Commercial Asset Trust 2004-3, Floating Rate Note, 1/25/35 (144A) 4,600,000 $662,161
Bayview Commercial Asset Trust 2007-2, 0.0%, 7/27/37 (Step) (144A) 4,500,000 $0
Bayview Commercial Asset Trust 2007-4, 3.487707%, 9/25/37 (Step) (144A) 3,000,000 $55,409
Bayview Financial Acquisition Trust, Floating Rate Note, 5/28/44 7,600,000 $38,516
Bayview Financial Asset Trust 2003-A, Floating Rate Note, 2/25/33 (144A) 7,852,000 $189,833
Bayview Financial Mortgage Pass-Through Trust 2005-C, Floating Rate Note, 6/28/44 1,650,000 $1,355,589
Bayview Financial Mortgage Pass-Through Trust 2006-A, Floating Rate Note, 2/28/41 1,639,000 $42,745
Bayview Financial Mortgage Pass-Through Trust 2006-B, Floating Rate Note, 4/28/36 603,000 $32,204
Bayview Financial Mortgage Pass-Through Trust 2006-B, Floating Rate Note, 4/28/36 1,207,803 $229,831
Bayview Financial Mortgage Pass-Through Trust Series 2005-B, Floating Rate Note, 4/28/39 425,000 $342,206
Bayview Opportunity Master Fund IIA Trust 2012-4NPL Series III, Floating Rate Note, 2/28/35 (144A) 400,000 $389,544
Bayview Opportunity Master Fund IIa Trust 2014-20NPL, 3.721%, 8/28/44 (Step) (144A) 420,000 $312,842
Bayview Opportunity Master Fund Trust IIIa 2014-12RPL, 3.6225%, 7/28/19 (Step) (144A) 465,000 $232,142
BB&T Corp., 1.6%, 8/15/17 103,000 $104,084
Bbb Industries Llc 1st Lien Tl L + 5% 20oct21 533,333 $539,667
BBCMS Trust 2015-SLP, Floating Rate Note, 2/15/28 (144A) 750,000 $750,977
BCAP LLC 2009-RR13-I Trust, Floating Rate Note, 9/26/35 (144A) 2,765,000 $623,397
BCAP LLC 2013-RR3 Trust, Floating Rate Note, 5/28/36 (144A) 500,000 $356,400
BCAP LLC 2013-RR7 Trust, Floating Rate Note, 12/27/34 420,000 $321,227
BCMSC Trust 1998-A, 6.65%, 4/15/28 2,750,000 $9,885
Bear Stearns ALT-A Trust 2004-11, Floating Rate Note, 11/25/34 7,155,000 $350,680
Bear Stearns ALT-A Trust 2004-12, Floating Rate Note, 1/25/35 8,440,000 $953,013
Bear Stearns ALT-A Trust 2004-12, Floating Rate Note, 1/25/35 9,210,000 $1,004,915
Bear Stearns ALT-A Trust 2004-12, Floating Rate Note, 1/25/35 4,956,000 $569,172
Bear Stearns ALT-A Trust 2004-12, Floating Rate Note, 1/25/35 3,280,000 $348,078
Bear Stearns ALT-A Trust 2004-13, Floating Rate Note, 11/25/34 1,905,000 $92,854
Bear Stearns ALT-A Trust 2004-4, Floating Rate Note, 6/25/34 10,699,000 $800,082
Bear Stearns ARM Trust 2003-3, Floating Rate Note, 5/25/33 9,158,341 $259,036
Bear Stearns ARM Trust 2004-10 REMICS, Floating Rate Note, 1/25/35 720,000 $86,223
Bear Stearns ARM Trust 2004-3, Floating Rate Note, 7/25/34 2,481,203 $84,798
Bear Stearns Asset Backed Securities I Trust 2005-FR1, Floating Rate Note, 6/25/35 1,526,722 $479,422
Bear Stearns Asset Backed Securities Trust, Floating Rate Note, 2/25/35 5,848,300 $39,730
Bear Stearns Asset Backed Securities Trust 2004-2, Floating Rate Note, 8/25/34 389,000 $55,801
Bear Stearns Asset Backed Securities Trust 2006-SD2, Floating Rate Note, 6/25/36 412,000 $197,568
Bear Stearns Commercial Mortgage Securities Trust 2005-PWR10, Floating Rate Note, 12/11/40 1,240,000 $967,092
Bear Stearns Commercial Mortgage Securities Trust 2005-PWR7, Floating Rate Note, 2/11/41 550,000 $552,465
Bear Stearns Commercial Mortgage Securities Trust 2005-PWR8, 4.75%, 6/11/41 415,000 $417,662
Bear Stearns Commercial Mortgage Securities Trust 2005-PWR9, 4.871%, 9/11/42 2,280,000 $1,511,671
Bear Stearns Commercial Mortgage Securities Trust 2005-PWR9, Floating Rate Note, 9/11/42 1,160,000 $1,178,588
Bear Stearns Commercial Mortgage Securities Trust 2005-TOP20, Floating Rate Note, 10/12/42 1,905,000 $1,782,187
Bear Stearns Commercial Mortgage Securities Trust 2006-PWR14, 5.171%, 12/11/38 790,000 $196,491
Bear Stearns Commercial Mortgage Securities Trust 2006-TOP22, Floating Rate Note, 4/12/38 1,150,000 $1,077,468
Bear Stearns Mortgage Securities, Inc., Floating Rate Note, 6/25/30 731,690 $107,933
Bear Stearns Structured Products Trust 2007-EMX1, Floating Rate Note, 3/25/37 (144A) 1,130,000 $205,705
Becton Dickinson and Co., 1.45%, 5/15/17 750,000 $756,838
Becton Dickinson and Co., 1.8%, 12/15/17 750,000 $761,740
Belden Finance 2013 LP, Initial Term Loan, 9/9/20 246,250 $246,712
Bella Vista Mortgage Trust 2004-1, Floating Rate Note, 11/20/34 12,618,000 $314,977
Berkshire Hathaway Finance Corp., Floating Rate Note, 1/10/17 1,000,000 $1,001,015
Berkshire Hathaway Finance Corp., Floating Rate Note, 8/14/17 1,000,000 $1,000,880
BHP Billiton Finance USA, Ltd., Floating Rate Note, 9/30/16 500,000 $500,281
BLCP Hotel Trust, Floating Rate Note, 8/15/29 (144A) 1,610,000 $1,592,955
Blue Danube II, Ltd., Floating Rate Note, 5/23/18 (Cat Bond) (144A) 800,000 $807,651
Boca Hotel Portfolio Trust 2013-BOCA, Floating Rate Note, 8/17/26 (144A) 430,000 $430,369
Boston Scientific Corp., 2.65%, 10/1/18 500,000 $510,857
BPCE SA, Floating Rate Note, 4/25/16 550,000 $554,838
Branch Banking & Trust Co., 1.35%, 10/1/17 500,000 $502,069
Branch Banking & Trust Co., 2.3%, 10/15/18 500,000 $513,017
Branch Banking & Trust Co., Floating Rate Note, 5/23/17 250,000 $249,260
Branch Banking & Trust Co., Floating Rate Note, 9/13/16 500,000 $498,667
Bright Horizons Family Solutions, Inc., Term B Loan, 1/30/20 394,957 $397,384
Burger King Corp 1st Lien Tl-B L + 3.5% 25sep21 693,819 $703,050
Bway Holding Co 1st Lien Tl-B L + 4.5% 08aug20 99,250 $100,367
Caelus Re, Ltd., Floating Rate Note, 3/7/16 (Cat Bond) (144A) 500,000 $504,910
Caelus Re 2013, Ltd., Floating Rate Note, 4/7/20 (Cat Bond) (144A) 750,000 $779,924
California Republic Auto Receivables Trust 2012-1, 1.18%, 8/15/17 (144A) 329,000 $50,052
Calpine Construction Finance Co LP, Term B-2 Loan, 1/3/22 666,545 $665,399
Calpine Corp., Term Loan (10/12), 10/9/19 748,082 $752,965
Canadian Natural Resources, Ltd., Floating Rate Note, 3/30/16 277,000 $276,775
Capella Healthcare Inc 1st Lien Tl-B L + 4.25% 31dec21 104,738 $105,654
Capital Auto Receivables Asset Trust 2013-1, 1.74%, 10/22/18 413,000 $414,718
Capital Auto Receivables Asset Trust 2013-1, 2.19%, 9/20/21 125,000 $125,316
Capital One Financial Corp., 1.0%, 11/6/15 975,000 $980,878
Capital One Multi-Asset Execution Trust, Floating Rate Note, 2/15/19 300,000 $300,101
Capital One NA, 1.65%, 2/5/18 750,000 $749,270
Capital One NA, Floating Rate Note, 3/22/16 700,000 $701,082
CarMax Auto Owner Trust 2013-3, 2.15%, 5/15/19 540,000 $545,623
Carrington Mortgage Loan Trust Series 2005-NC1, Floating Rate Note, 2/26/35 3,586,373 $452,063
Carrington Mortgage Loan Trust Series 2006-OPT1, Floating Rate Note, 12/25/35 5,047,000 $942,559
Castle Garden Funding, Floating Rate Note, 10/27/20 (144A) 2,000,000 $294,035
Caterpillar Financial Services Corp., 1.0%, 11/25/16 1,000,000 $1,008,609
Caterpillar Financial Services Corp., 1.35%, 9/6/16 1,125,000 $1,137,657
CD 2005-CD1 Commercial Mortgage Trust, Floating Rate Note, 7/15/44 940,000 $772,051
CD 2006-CD2 Mortgage Trust, Floating Rate Note, 1/15/46 2,084,000 $2,042,422
CDC Mortgage Capital Trust 2002-HE1, Floating Rate Note, 1/25/33 19,484,513 $343,045
CDGJ Commercial Mortgage Trust 2014-BXCH, Floating Rate Note, 12/15/27 (144A) 1,340,000 $1,343,971
Cendant Mortgage Corp., 6.25%, 3/25/32 (144A) 4,100,000 $386,958
Cent CLO 16 LP, 2.52%, 8/1/24 (144A) 1,000,000 $1,008,561
Centerpoint Energy Transition Bond Co II LLC, 5.17%, 8/1/19 720,000 $531,160
Centex Home Equity Loan Trust 2005-B, 4.893%, 3/25/33 (Step) 3,300,000 $269,432
CeramTec Acquisition Corp., Initial Dollar Term B-2 Loan, 8/30/20 20,797 $20,927
CeramTec GmbH, Dollar Term B-3 Loan, 8/30/20 61,556 $61,941
CeramTec Service GmbH, Initial Dollar Term B-1 Loan, 8/30/20 207,635 $208,932
CGBAM Commercial Mortgage Trust 2014-HD, Floating Rate Note, 2/18/31 (144A) 310,000 $309,577
CG-CCRE Commercial Mortgage Trust 2014-FL1, Floating Rate Note, 6/16/31 (144A) 1,630,000 $1,629,418
CGWF Commercial Mortgage Trust 2013-RKWH REMICS, Floating Rate Note, 11/15/30 (144A) 1,720,000 $1,723,244
Chase Funding Trust Series 2003-3, Floating Rate Note, 4/25/33 13,029,694 $92,687
Chase Funding Trust Series 2003-6, 4.277%, 11/27/34 (Step) 1,680,000 $224,307
Chase Issuance Trust, 0.59%, 8/15/17 300,000 $300,197
Chase Issuance Trust, Floating Rate Note, 4/16/18 750,000 $749,986
Chase Issuance Trust, Floating Rate Note, 8/15/17 750,000 $750,058
Chase Mortgage Finance Trust Series 2005-S1, 5.5%, 5/25/35 4,068,000 $52,243
Chesapeake Funding LLC, Floating Rate Note, 5/7/24 (144A) 200,000 $83,500
Chesapeake Funding LLC, Floating Rate Note, 5/7/24 (144A) 250,000 $250,932
CHL Mortgage Pass-Through Trust 2004-14, Floating Rate Note, 8/25/34 1,810,000 $179,305
CHS, 2021 Term D Loan, 1/27/21 264,196 $266,095
CHS, Incremental 2018 Term F Loans, 12/31/18 99,374 $100,078
Ciena Corporation 1st Lien Tl-B L + 3% 08jul19 347,375 $349,112
Cinedigm Digital Funding I LLC, Term Loan, 2/28/18 121,077 $121,531
Citibank Credit Card Issuance Trust, 5.1%, 11/20/17 500,000 $524,198
Citicorp Mortgage Securities REMIC Pass-Through Certificates Trust Series 2005-4, 5.0%, 7/25/20 4,375,000 $116,364
Citicorp Mortgage Securities REMIC Pass-Through Certificates Trust Series 2005-7, 5.0%, 10/25/35 5,635,000 $376,657
Citigroup, Inc., 1.3%, 4/1/16 500,000 $502,262
Citigroup, Inc., 1.8%, 2/5/18 750,000 $754,547
Citigroup, Inc., Floating Rate Note, 11/15/16 750,000 $752,832
Citigroup, Inc., Floating Rate Note, 4/1/16 500,000 $501,932
Citigroup, Inc., Floating Rate Note, 7/25/16 750,000 $753,991
Citigroup Mortgage Loan Trust, Inc., 7.0%, 11/25/19 7,340,000 $69,374
Citigroup Mortgage Loan Trust, Inc., Floating Rate Note, 10/25/35 1,471,464 $9,583
Citigroup Mortgage Loan Trust, Inc., Floating Rate Note, 11/25/34 900,000 $56,067
Citigroup Mortgage Loan Trust, Inc., Floating Rate Note, 3/26/35 1,750,000 $150,051
Citigroup Mortgage Loan Trust, Inc., Floating Rate Note, 5/25/35 (144A) 429,900 $406,587
Citigroup Mortgage Loan Trust 2006-SHL1, Floating Rate Note, 11/27/45 (144A) 4,965,000 $450,844
Citigroup Mortgage Loan Trust 2010-4 REMICS, 5.0%, 10/25/35 (144A) 2,735,000 $189,798
Citigroup Mortgage Loan Trust 2010-7 REMICS, Floating Rate Note, 9/25/37 (144A) 1,905,250 $234,292
Citrus Re, Ltd., Floating Rate Note, 4/18/17 (Cat Bond) (144A) 250,000 $245,013
Citrus Re, Ltd., Floating Rate Note, 4/24/17 (Cat Bond) (144A) 600,000 $588,635
City of Pittsburgh Pennsylvania, 0.87%, 9/1/16 500,000 $501,895
CNH Equipment Trust 2012-C, 0.57%, 12/15/17 75,000 $30,090
CNH Equipment Trust 2013-A, 0.69%, 6/15/18 450,000 $248,303
CNH Wholesale Master Note Trust, Floating Rate Note, 8/15/19 (144A) 525,000 $525,601
CNL Commercial Mortgage Loan Trust 2002-1, Floating Rate Note, 10/25/28 (144A) 8,975,000 $274,648
CNL Commercial Mortgage Loan Trust 2003-1, Floating Rate Note, 5/15/31 (144A) 5,443,000 $412,471
CNL Commercial Mortgage Loan Trust 2003-2, Floating Rate Note, 10/25/30 (144A) 1,000,000 $82,207
Coca-Cola Enterprises, Inc., 2.125%, 9/15/15 189,000 $190,495
Collateralized Mortgage Obligation Trust 44, Floating Rate Note, 7/1/18 13,590,000 $37,485
Colony American Homes 2014-1, Floating Rate Note, 5/19/31 (144A) 700,000 $702,037
Colony American Homes 2014-2, Floating Rate Note, 7/19/31 (144A) 600,000 $602,906
COMM 2005-C6 Mortgage Trust, Floating Rate Note, 6/10/44 1,880,000 $1,897,944
COMM 2005-C6 Mortgage Trust, Floating Rate Note, 6/10/44 770,000 $323,640
COMM 2013-FL3 Mortgage Trust, Floating Rate Note, 10/13/28 (144A) 1,000,000 $796,630
COMM 2014-FL5 Mortgage Trust, Floating Rate Note, 10/17/31 (144A) 1,370,000 $1,367,019
COMM 2014-KYO Mortgage Trust, Floating Rate Note, 6/11/27 (144A) 1,630,000 $1,628,601
COMM 2014-PAT Mortgage Trust, Floating Rate Note, 8/13/27 (144A) 820,000 $817,342
COMM 2014-SAVA Mortgage Trust, Floating Rate Note, 6/15/34 (144A) 1,110,000 $1,108,647
COMM 2014-TWC Mortgage Trust, Floating Rate Note, 2/13/32 (144A) 1,850,000 $1,852,026
Commercial Mortgage Pass Through Certificates, Floating Rate Note, 11/19/26 (144A) 850,000 $850,317
Commercial Mortgage Pass Through Certificates, Floating Rate Note, 11/19/26 (144A) 600,000 $211,627
Commercial Mortgage Trust 2005-GG3, Floating Rate Note, 8/10/42 1,000,000 $134,668
Commercial Mortgage Trust 2005-GG5, Floating Rate Note, 4/10/37 2,075,000 $2,110,471
Commonwealth Bank of Australia, Floating Rate Note, 3/13/17 (144A) 650,000 $650,884
Commonwealth Bank of Australia, Floating Rate Note, 9/18/15 (144A) 460,000 $461,942
Commonwealth Bank of Australia, Floating Rate Note, 9/8/17 (144A) 750,000 $750,207
Commonwealth Edison Co., 1.95%, 9/1/16 500,000 $509,209
ConocoPhillips Co., 1.05%, 12/15/17 1,000,000 $1,000,682
Conseco Finance Corp., 7.55%, 4/15/32 (Step) 2,740,000 $127,686
Conseco Finance Home Equity Loan Trust 2002-C, Floating Rate Note, 4/15/32 2,875,000 $761,450
Consumer Credit Origination Loan Trust 2015-1, 2.82%, 3/15/21 (144A) 750,000 $675,081
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA New York, Floating Rate Note, 3/18/16 500,000 $502,178
Costco Wholesale Corp., 1.125%, 12/15/17 740,000 $744,036
Countrywide Asset-Backed Certificates, Floating Rate Note, 10/25/34 984,000 $180,253
Countrywide Asset-Backed Certificates, Floating Rate Note, 11/25/35 2,175,000 $70,914
Countrywide Asset-Backed Certificates, Floating Rate Note, 12/25/35 1,814,000 $361,421
Countrywide Asset-Backed Certificates, Floating Rate Note, 3/25/35 1,300,000 $381,139
Countrywide Asset-Backed Certificates, Floating Rate Note, 5/25/35 1,600,000 $53,079
Countrywide Asset-Backed Certificates, Floating Rate Note, 6/25/33 (144A) 900,000 $850,416
Countrywide Asset-Backed Certificates, Floating Rate Note, 9/25/34 (144A) 8,600,000 $443,662
CPS Auto Receivables Trust 2013-A, 1.89%, 6/15/20 (144A) 690,000 $325,579
CPS Auto Receivables Trust 2013-B, 1.82%, 9/15/20 (144A) 157,000 $69,097
CPS Auto Receivables Trust 2014-A, 1.21%, 8/15/18 200,000 $115,440
Credit Acceptance Auto Loan Trust 2012-2, 1.52%, 3/16/20 (144A) 400,000 $106,952
Credit Acceptance Auto Loan Trust 2013-2, 1.5%, 4/15/21 (144A) 1,000,000 $1,003,471
Credit Acceptance Auto Loan Trust 2014-2, 2.67%, 9/15/22 (144A) 1,000,000 $1,006,018
Credit Suisse Commercial Mortgage Trust Series 2006-C2 REMICS, Floating Rate Note, 3/15/39 1,970,000 $1,927,645
Credit Suisse Commercial Mortgage Trust Series 2007-C1, 5.361%, 2/15/40 1,300,000 $925,710
Credit Suisse First Boston Mortgage Securities Corp., 4.877%, 4/15/37 500,000 $466,145
Credit Suisse First Boston Mortgage Securities Corp., 5.25%, 10/25/19 1,196,000 $40,448
Credit Suisse First Boston Mortgage Securities Corp., 5.5%, 6/25/33 200,000 $38,400
Credit Suisse First Boston Mortgage Securities Corp., 7.5%, 5/25/32 15,000,000 $300,195
Credit Suisse First Boston Mortgage Securities Corp., Floating Rate Note, 11/25/33 1,400,000 $67,418
Credit Suisse First Boston Mortgage Securities Corp., Floating Rate Note, 12/17/40 2,730,000 $1,764,462
Credit Suisse First Boston Mortgage Securities Corp., Floating Rate Note, 7/25/35 3,555,000 $388,955
Credit Suisse First Boston Mortgage Securities Corp., Floating Rate Note, 8/15/38 1,900,440 $925,941
Credit Suisse Mortgage Capital Certificates, Floating Rate Note, 3/15/28 (144A) 400,000 $400,423
Credit Suisse Mortgage Capital Certificates REMICS, Floating Rate Note, 7/27/36 (144A) 3,494,698 $592,418
Crown Americas Llc 1st Lien Tl-B L + 3.25% 20oct21 349,125 $351,742
Crown Castle 1st Lien Term-B2 L + 2.5% 31jan21 348,237 $348,868
Crown Castle Towers LLC, 3.214%, 8/15/15 (144A) 500,000 $503,552
Crowne Group Llc 1st Lien Tl-B L + 5% 29sep20 298,500 $297,567
CSMC Series 2014-ICE, Floating Rate Note, 4/15/27 (144A) 1,950,000 $1,942,891
CSMC Trust 2014-SURF, Floating Rate Note, 2/15/29 (144A) 700,000 $698,318
CWABS Asset-Backed Certificates Trust 2005-1, Floating Rate Note, 2/25/33 244,000 $19,023
Daimler Finance North America LLC, 1.45%, 8/1/16 (144A) 1,000,000 $1,010,530
Daimler Finance North America LLC, Floating Rate Note, 3/10/17 (144A) 750,000 $751,319
Daimler Finance North America LLC, Floating Rate Note, 8/1/17 (144A) 617,000 $616,791
Darling Ingredients, Inc., Term B USD Loan, 12/19/20 519,750 $520,937
DCP Midstream Operating LP, 3.25%, 10/1/15 500,000 $501,933
Del Coronado Trust 2013-DEL, Floating Rate Note, 3/16/26 (144A) 399,000 $398,878
Del Coronado Trust 2013-DEL, Floating Rate Note, 3/16/26 (144A) 300,000 $299,818
Dell Equipment Finance Trust 2014-1, 2.68%, 6/22/20 (144A) 750,000 $753,518
DELOS FINANCE SARL, Loan, 2/27/21 425,000 $426,783
Delta Air Lines, Inc., 2014 Term B-1 Loan, 10/18/18 98,737 $98,967
Diamond Resorts Owner Trust 2013-2, 2.62%, 5/20/26 (144A) 750,000 $383,353
Digital Realty Trust LP, 4.5%, 7/15/15 650,000 $660,163
Direct Capital Funding V LLC, 1.673%, 12/20/17 (144A) 175,000 $10,236
Direct Capital Funding V LLC, 4.83%, 11/20/20 (144A) 750,000 $763,597
Discover Card Execution Note Trust, Floating Rate Note, 10/15/18 600,000 $600,029
DR Horton, Inc., 4.0%, 2/15/20 650,000 $665,672
Drug Royalty II LP 2, Floating Rate Note, 7/15/23 (144A) 700,000 $644,743
Duke Energy Carolinas LLC, 1.75%, 12/15/16 750,000 $766,484
Duke Energy Florida, Inc., 0.65%, 11/15/15 695,000 $697,820
Duke Energy Indiana, Inc., Floating Rate Note, 7/11/16 303,000 $303,387
Duke Energy Progress, Inc., Floating Rate Note, 3/6/17 411,000 $410,683
East Lane Re VI, Ltd., Floating Rate Note, 3/13/20 (Cat Bond) (144A) 350,000 $345,240
East Lane Re VI, Ltd., Floating Rate Note, 3/14/18 (Cat Bond) (144A) 500,000 $493,274
Eco Services Operations Llc 1st Lien Tl-B L + 3.75% 10oct21 523,688 $528,924
Eden Re II, Ltd., 0.0%, 4/19/18 (Cat Bond) (144A) 700,000 $707,700
Electricite de France SA, Floating Rate Note, 1/20/17 (144A) 750,000 $750,977
Ellington Loan Acquisition Trust 2007-1, Floating Rate Note, 5/26/37 (144A) 550,000 $419,489
Emdeon Inc 1st Lien Tl-B3 L + 2.5% 02nov18 398,000 $399,617
Enbridge, Inc., Floating Rate Note, 10/1/16 500,000 $498,401
Encore Credit Receivables Trust 2005-3, Floating Rate Note, 10/25/35 1,000,000 $147,481
Endo Luxembourg Finance I 1st Lien Tl-B L + 2.5% 05nov20 495,000 $496,031
Energy Transfer Equity 1st Lien Tl-B L + 3.25% 02dec19 300,000 $301,875
Entercom Radio LLC, Term B-2 Loan, 11/23/18 498,565 $500,850
Enterprise Products Operating LLC, 3.2%, 2/1/16 1,000,000 $1,024,554
Enterprise Products Operating LLC, 3.7%, 6/1/15 1,010,000 $1,027,626
EQTY 2014-INNS Mortgage Trust, Floating Rate Note, 5/8/31 (144A) 1,020,000 $1,009,870
EQTY 2014-INNS Mortgage Trust REMICS, Floating Rate Note, 5/8/31 (144A) 540,000 $535,735
Equity One Mortgage Pass-Through Trust 2003-1, Floating Rate Note, 8/25/33 11,389,000 $330,554
Equity One Mortgage Pass-Through Trust 2004-1, Floating Rate Note, 4/25/34 1,840,000 $468,120
Equity One Mortgage Pass-Through Trust 2004-2, Floating Rate Note, 7/25/34 1,925,000 $495,994
Evergreen Skills Lux Sarl, Initial Term Loan (First Lien), 4/23/21 199,000 $198,485
Ew Scripps Termloan L + 2.9717% 26nov20 275,000 $276,203
Exeter Automobile Receivables Trust 2014-2, 1.06%, 8/15/18 400,000 $206,040
Express Scripts Holding Co., 2.25%, 6/15/19 750,000 $757,022
Express Scripts Holding Co., 3.125%, 5/15/16 1,000,000 $1,037,470
Extended Stay America Trust 2013-ESH, 1.2783%, 12/5/31 (144A) 723,000 $719,866
Extended Stay America Trust 2013-ESH, Floating Rate Note, 12/5/31 (144A) 200,000 $199,718
Extended Stay America Trust 2013-ESH, Floating Rate Note, 12/5/31 (144A) 200,000 $199,347
Fannie Mae, 2.0%, 11/1/23 2,236,000 $1,796,080
Fannie Mae, 2.5%, 3/1/28 1,500,000 $1,224,670
Fannie Mae, 2.5%, 6/1/23 526,320 $392,211
Fannie Mae, 3.0%, 10/1/27 2,000,000 $1,264,769
Fannie Mae, 3.0%, 11/1/27 2,000,000 $1,498,946
Fannie Mae, 3.0%, 5/1/21 2,775,000 $984,852
Fannie Mae, 4.0%, 12/1/19 3,570,319 $609,189
Fannie Mae, 4.5%, 1/1/41 580,000 $285,285
Fannie Mae, 4.5%, 5/1/39 1,350,000 $483,935
Fannie Mae, 4.5%, 5/1/39 2,100,000 $818,768
Fannie Mae, 5.0%, 10/1/41 1,736,000 $733,846
Fannie Mae, 5.0%, 11/1/20 3,800,000 $244,082
Fannie Mae, 5.0%, 7/1/15 1,000,000 $1,875
Fannie Mae, 5.5%, 12/1/35 1,000,000 $60,898
Fannie Mae, 5.5%, 8/1/37 2,000,000 $343,425
Fannie Mae, 6.0%, 10/1/22 973,454 $253,991
Fannie Mae, 6.0%, 2/1/34 1,400,000 $38,126
Fannie Mae, 6.0%, 4/1/38 483,000 $35,408
Fannie Mae, 6.5%, 4/1/29 9,050,000 $294,421
Fannie Mae, 6.5%, 6/1/16 700,000 $1,136
Fannie Mae, 6.5%, 7/1/32 723,471 $7,899
Fannie Mae, 6.5%, 8/1/17 667,089 $15,019
Fannie Mae, 7.0%, 1/1/36 1,000,000 $21,988
Fannie Mae, 7.0%, 7/1/17 3,768,412 $35,961
Fannie Mae, Floating Rate Note, 1/1/25 7,000,000 $55,274
Fannie Mae, Floating Rate Note, 10/1/29 10,892,567 $84,163
Fannie Mae, Floating Rate Note, 10/1/29 4,831,796 $103,921
Fannie Mae, Floating Rate Note, 10/1/36 1,877,185 $311,337
Fannie Mae, Floating Rate Note, 11/1/24 7,000,000 $88,160
Fannie Mae, Floating Rate Note, 11/1/25 700,000 $2,360
Fannie Mae, Floating Rate Note, 11/1/40 9,368,434 $113,065
Fannie Mae, Floating Rate Note, 12/1/28 1,112,489 $52,417
Fannie Mae, Floating Rate Note, 12/1/36 6,500,000 $232,317
Fannie Mae, Floating Rate Note, 2/1/27 4,000,000 $11,826
Fannie Mae, Floating Rate Note, 2/1/33 380,000 $1,360
Fannie Mae, Floating Rate Note, 4/1/28 400,000 $3,188
Fannie Mae, Floating Rate Note, 4/1/29 400,000 $2,851
Fannie Mae, Floating Rate Note, 7/1/36 500,000 $52,710
Fannie Mae Connecticut Avenue Securities, Floating Rate Note, 10/25/23 1,244,000 $949,024
Fannie Mae Connecticut Avenue Securities, Floating Rate Note, 5/25/24 1,020,000 $856,302
Fannie Mae Connecticut Avenue Securities, Floating Rate Note, 7/25/24 1,540,000 $1,285,358
Fannie Mae Trust 2005-W4, Floating Rate Note, 6/25/45 1,600,000 $235,033
Fannie Mae Whole Loan, Floating Rate Note, 11/25/46 4,252,000 $674,844
FCA US LLC, Term Loan B, 5/24/17 895,125 $897,919
FCA US LLC, Tranche B Term Loan, 12/29/18 594,000 $595,421
FDIC 2010-R1 Trust, 2.184%, 5/25/50 (144A) 2,060,000 $684,815
Federal Home Loan Banks, 2.9%, 4/20/17 1,370,000 $235,731
Federal Home Loan Mortgage Corp., 2.5%, 10/1/27 1,247,958 $933,513
Federal Home Loan Mortgage Corp., 2.75%, 11/15/25 1,000,000 $420,522
Federal Home Loan Mortgage Corp., 3.0%, 1/15/30 893,000 $420,774
Federal Home Loan Mortgage Corp., 3.0%, 6/15/38 2,000,000 $349,832
Federal Home Loan Mortgage Corp., 3.5%, 8/15/28 500,000 $147,767
Federal Home Loan Mortgage Corp., 4.0%, 1/15/34 5,000,000 $269,434
Federal Home Loan Mortgage Corp., 4.0%, 5/1/24 2,400,000 $216,564
Federal Home Loan Mortgage Corp., 4.0%, 5/15/37 1,753,000 $22,814
Federal Home Loan Mortgage Corp., 4.5%, 7/1/19 1,467,130 $146,054
Federal Home Loan Mortgage Corp., 4.5%, 7/1/19 1,381,464 $172,338
Federal Home Loan Mortgage Corp., 5.0%, 12/1/39 265,000 $114,157
Federal Home Loan Mortgage Corp., 5.0%, 2/1/21 1,000,000 $72,665
Federal Home Loan Mortgage Corp., 5.0%, 4/15/32 3,500,000 $3,953
Federal Home Loan Mortgage Corp., 5.5%, 8/1/23 1,563,938 $55,210
Federal Home Loan Mortgage Corp., 6.5%, 7/1/16 2,000,000 $5,227
Federal Home Loan Mortgage Corp., Floating Rate Note, 1/1/28 500,000 $2,559
Federal Home Loan Mortgage Corp., Floating Rate Note, 1/15/33 40,000,000 $1,575,747
Federal Home Loan Mortgage Corp., Floating Rate Note, 1/15/35 1,635,000 $208,453
Federal Home Loan Mortgage Corp., Floating Rate Note, 10/1/31 19,044,336 $334,823
Federal Home Loan Mortgage Corp., Floating Rate Note, 11/1/31 1,399,950 $6,342
Federal Home Loan Mortgage Corp., Floating Rate Note, 11/15/36 2,046,908 $96,210
Federal Home Loan Mortgage Corp., Floating Rate Note, 12/1/31 49,986,196 $263,607
Federal Home Loan Mortgage Corp., Floating Rate Note, 2/17/32 12,638,000 $322,690
Federal Home Loan Mortgage Corp., Floating Rate Note, 3/15/30 1,147,667 $427,393
Federal Home Loan Mortgage Corp., Floating Rate Note, 3/15/32 33,450,000 $358,395
Federal Home Loan Mortgage Corp., Floating Rate Note, 4/1/25 13,000,000 $17,419
Federal Home Loan Mortgage Corp., Floating Rate Note, 4/1/29 160,000 $2,010
Federal Home Loan Mortgage Corp., Floating Rate Note, 4/15/33 22,025,143 $878,126
Federal Home Loan Mortgage Corp., Floating Rate Note, 4/15/36 4,003,000 $599,043
Federal Home Loan Mortgage Corp., Floating Rate Note, 5/1/25 588,110 $5,710
Federal Home Loan Mortgage Corp., Floating Rate Note, 7/1/18 2,100,000 $3,871
Federal Home Loan Mortgage Corp., Floating Rate Note, 7/15/19 1,500,000 $82,614
Federal Home Loan Mortgage Corp., Floating Rate Note, 7/15/28 52,559,000 $340,741
Federal Home Loan Mortgage Corp., Floating Rate Note, 7/15/31 49,927,842 $493,836
Federal Home Loan Mortgage Corp., Floating Rate Note, 8/1/31 500,000 $895
Federal Home Loan Mortgage Corp., Floating Rate Note, 8/1/31 12,000,000 $91,246
Federal Home Loan Mortgage Corp., Floating Rate Note, 8/15/19 6,831,666 $179,646
Federal Home Loan Mortgage Corp. REMICS, 3.5%, 10/15/18 500,000 $75,954
Federal Home Loan Mortgage Corp. REMICS, 3.5%, 6/15/28 1,119,000 $90,637
Federal Home Loan Mortgage Corp. REMICS, 5.5%, 10/15/35 1,625,000 $34,604
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 1/15/36 400,312 $72,472
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 1/15/37 16,831,292 $954,382
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 10/15/20 9,083,556 $133,886
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 10/15/37 3,873,000 $252,309
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 11/15/36 1,229,000 $208,524
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 11/15/36 600,000 $92,892
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 11/15/37 3,358,000 $492,718
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/32 1,931,288 $135,038
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/32 2,900,000 $204,860
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/35 2,232,000 $337,081
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/39 666,000 $260,164
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/30 586,107 $245,118
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/32 15,205,000 $226,889
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/33 20,000,000 $261,249
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/36 1,133,000 $189,272
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/37 2,840,000 $149,074
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/39 288,000 $137,159
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/41 1,878,046 $327,184
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/42 350,000 $190,184
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 3/15/32 35,466,000 $290,350
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 3/15/32 15,667,000 $164,487
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 3/15/38 2,600,000 $724,490
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 3/15/41 3,243,333 $654,085
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 4/15/27 22,817,000 $229,467
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 4/15/28 16,175,365 $231,511
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 4/15/36 728,000 $132,235
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 4/15/41 2,446,437 $441,715
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 5/15/36 4,000,000 $173,745
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 5/15/36 2,159,000 $138,752
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 5/15/41 638,000 $102,394
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 6/15/36 1,288,000 $112,772
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 6/15/41 1,220,000 $293,232
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 7/15/23 835,000 $166,183
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 7/15/36 3,107,000 $223,509
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 8/15/18 600,000 $96,513
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 8/15/25 970,000 $276,179
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 8/15/26 370,000 $122,444
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 8/15/35 462,000 $86,403
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 8/15/36 5,044,000 $234,778
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 9/15/26 385,000 $212,691
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 9/15/33 2,647,000 $161,665
Federal National Mortgage Association, 2.0%, 8/1/23 1,465,000 $1,144,070
Federal National Mortgage Association, 2.5%, 4/25/36 635,000 $197,465
Federal National Mortgage Association, 2.5%, 9/1/22 2,000,000 $1,212,106
Federal National Mortgage Association, 2.75%, 6/25/20 1,750,000 $396,097
Federal National Mortgage Association, 3.0%, 12/1/21 2,000,000 $841,643
Federal National Mortgage Association, 3.0%, 6/25/39 5,000,000 $486,301
Federal National Mortgage Association, 3.5%, 1/25/24 7,225,000 $178,754
Federal National Mortgage Association, 3.5%, 3/25/28 2,344,102 $165,307
Federal National Mortgage Association, 3.5%, 7/25/24 1,250,000 $221,081
Federal National Mortgage Association, 4.0%, 1/1/20 7,280,000 $1,068,667
Federal National Mortgage Association, 4.0%, 10/1/20 4,317,004 $1,109,037
Federal National Mortgage Association, 4.0%, 3/1/21 4,071,760 $1,120,815
Federal National Mortgage Association, 4.0%, 8/1/19 2,761,217 $383,575
Federal National Mortgage Association, 4.5%, 10/25/38 5,000,000 $60,251
Federal National Mortgage Association, 4.5%, 6/25/40 4,200,000 $1,038,668
Federal National Mortgage Association, 4.5%, 8/25/27 4,509,000 $57,901
Federal National Mortgage Association, 5.0%, 7/25/32 7,363,000 $149,650
Federal National Mortgage Association, Floating Rate Note, 10/18/32 11,398,000 $345,171
Federal National Mortgage Association, Floating Rate Note, 11/25/27 15,797,000 $477,713
Federal National Mortgage Association, Floating Rate Note, 2/25/23 77,000,000 $365,606
Federal National Mortgage Association, Floating Rate Note, 3/25/18 8,811,000 $212,352
Federal National Mortgage Association, Floating Rate Note, 3/25/36 2,108,510 $419,718
Federal National Mortgage Association, Floating Rate Note, 4/25/33 36,000,000 $879,054
Federal National Mortgage Association, Floating Rate Note, 4/25/35 1,250,000 $221,542
Federal National Mortgage Association, Floating Rate Note, 6/25/32 21,270,000 $545,971
Federal National Mortgage Association, Floating Rate Note, 6/25/36 7,000,000 $732,653
Federal National Mortgage Association, Floating Rate Note, 7/25/27 1,402,000 $6,239
Federal National Mortgage Association, Floating Rate Note, 8/25/35 2,868,000 $321,825
Federal National Mortgage Association, Floating Rate Note, 9/25/22 3,000,000 $112,750
Federal National Mortgage Association 2004-T2, Floating Rate Note, 7/25/43 6,750,000 $908,252
Federal National Mortgage Association 2006-48-T, 5.5%, 12/25/34 1,716,418 $255,330
Federal National Mortgage Association REMICS, 1.5%, 11/25/20 745,000 $153,980
Federal National Mortgage Association REMICS, 1.75%, 12/25/22 1,000,000 $268,596
Federal National Mortgage Association REMICS, 3.0%, 1/25/21 4,450,000 $706,208
Federal National Mortgage Association REMICS, 3.0%, 4/25/40 1,110,000 $142,701
Federal National Mortgage Association REMICS, 3.5%, 10/25/39 490,000 $279,346
Federal National Mortgage Association REMICS, 4.0%, 5/25/29 2,000,000 $1,723,514
Federal National Mortgage Association REMICS, 5.0%, 9/25/39 110,000 $14,418
Federal National Mortgage Association REMICS, 6.0%, 6/25/29 685,000 $119,305
Federal National Mortgage Association REMICS, Floating Rate Note, 1/18/32 4,920,043 $68,707
Federal National Mortgage Association REMICS, Floating Rate Note, 1/25/24 51,985,111 $172,686
Federal National Mortgage Association REMICS, Floating Rate Note, 1/25/33 2,782,000 $89,574
Federal National Mortgage Association REMICS, Floating Rate Note, 1/25/34 10,970,000 $1,576,742
Federal National Mortgage Association REMICS, Floating Rate Note, 10/25/35 1,878,000 $173,731
Federal National Mortgage Association REMICS, Floating Rate Note, 10/25/36 11,844,000 $419,054
Federal National Mortgage Association REMICS, Floating Rate Note, 10/25/38 1,808,000 $178,006
Federal National Mortgage Association REMICS, Floating Rate Note, 10/27/37 1,375,920 $1,299,581
Federal National Mortgage Association REMICS, Floating Rate Note, 11/18/32 24,329,000 $426,312
Federal National Mortgage Association REMICS, Floating Rate Note, 11/25/36 2,248,000 $292,979
Federal National Mortgage Association REMICS, Floating Rate Note, 11/25/39 2,750,000 $438,774
Federal National Mortgage Association REMICS, Floating Rate Note, 12/18/32 16,085,000 $236,588
Federal National Mortgage Association REMICS, Floating Rate Note, 12/25/31 4,375,000 $134,784
Federal National Mortgage Association REMICS, Floating Rate Note, 12/25/32 34,313,143 $663,786
Federal National Mortgage Association REMICS, Floating Rate Note, 12/25/37 5,672,000 $166,926
Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/33 4,696,499 $206,858
Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/35 603,000 $185,153
Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/37 4,308,000 $163,845
Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/37 1,940,000 $172,295
Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/38 624,000 $138,538
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/24 4,129,409 $150,246
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/34 4,612,000 $277,699
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/34 763,500 $189,939
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/35 1,278,000 $223,381
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/35 6,100,000 $889,551
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/36 11,585,646 $1,223,461
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/37 11,268,506 $242,069
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/37 4,100,000 $230,360
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/37 960,000 $127,161
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/37 9,250,000 $255,985
Federal National Mortgage Association REMICS, Floating Rate Note, 4/25/32 10,133,000 $565,145
Federal National Mortgage Association REMICS, Floating Rate Note, 4/25/32 50,000,000 $591,487
Federal National Mortgage Association REMICS, Floating Rate Note, 4/25/34 644,866 $70,613
Federal National Mortgage Association REMICS, Floating Rate Note, 4/25/36 1,737,000 $307,897
Federal National Mortgage Association REMICS, Floating Rate Note, 5/18/32 31,809,000 $599,669
Federal National Mortgage Association REMICS, Floating Rate Note, 5/25/17 20,000,000 $86,543
Federal National Mortgage Association REMICS, Floating Rate Note, 5/25/33 4,068,000 $99,711
Federal National Mortgage Association REMICS, Floating Rate Note, 5/25/36 6,641,000 $176,036
Federal National Mortgage Association REMICS, Floating Rate Note, 5/25/37 6,826,000 $224,361
Federal National Mortgage Association REMICS, Floating Rate Note, 5/25/40 761,373 $302,951
Federal National Mortgage Association REMICS, Floating Rate Note, 6/25/36 2,317,493 $216,993
Federal National Mortgage Association REMICS, Floating Rate Note, 6/25/37 2,134,162 $249,040
Federal National Mortgage Association REMICS, Floating Rate Note, 6/25/37 4,600,000 $288,701
Federal National Mortgage Association REMICS, Floating Rate Note, 6/25/37 1,010,000 $86,463
Federal National Mortgage Association REMICS, Floating Rate Note, 6/25/38 2,355,000 $131,641
Federal National Mortgage Association REMICS, Floating Rate Note, 7/25/34 1,642,000 $104,925
Federal National Mortgage Association REMICS, Floating Rate Note, 7/25/35 750,000 $154,528
Federal National Mortgage Association REMICS, Floating Rate Note, 7/25/35 3,227,000 $342,364
Federal National Mortgage Association REMICS, Floating Rate Note, 7/25/38 6,812,000 $344,027
Federal National Mortgage Association REMICS, Floating Rate Note, 8/25/36 4,040,000 $423,079
Federal National Mortgage Association REMICS, Floating Rate Note, 8/25/40 692,000 $295,255
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/33 4,915,594 $486,787
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/36 3,447,000 $204,500
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/36 1,275,000 $158,065
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/37 679,000 $81,170
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/37 2,524,000 $107,543
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/37 2,706,000 $299,550
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/37 3,700,000 $324,779
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/39 683,053 $96,351
FHLMC Structured Pass Through Securities, Floating Rate Note, 12/25/29 12,000,000 $182,770
Fieldstone Mortgage Investment Trust Series 2005-1, Floating Rate Note, 3/25/35 311,000 $91,996
Fieldwood Energy LLC, Closing Date Loan, 9/25/18 986,241 $964,051
Fifth Third Bancorp, Floating Rate Note, 12/20/16 730,000 $726,431
Fifth Third Bank Cincinnati Ohio, 1.15%, 11/18/16 750,000 $754,953
Fifth Third Bank Cincinnati Ohio, Floating Rate Note, 2/26/16 500,000 $502,004
First Franklin Mortgage Loan Trust 2002-FFA, Floating Rate Note, 9/25/32 5,500,000 $255,983
First Franklin Mortgage Loan Trust 2003-FFC, Floating Rate Note, 11/25/32 8,000,000 $387,899
First Franklin Mortgage Loan Trust 2005-FFH3, Floating Rate Note, 9/25/35 1,100,000 $447,917
First Horizon Mortgage Pass-Through Trust 2004-AR1, Floating Rate Note, 2/25/34 1,500,000 $58,395
First Horizon Mortgage Pass-Through Trust 2004-AR5, Floating Rate Note, 10/25/34 940,000 $49,217
First Investors Auto Owner Trust 2012-2, 1.47%, 5/15/18 (144A) 200,000 $27,910
First Investors Auto Owner Trust 2013-1, 1.81%, 10/15/18 (144A) 55,000 $55,257
First Investors Auto Owner Trust 2013-1, 2.02%, 1/15/19 (144A) 200,000 $200,177
First Investors Auto Owner Trust 2013-2, 1.23%, 3/15/19 (144A) 1,048,000 $403,174
First Investors Auto Owner Trust 2013-3, 2.32%, 10/15/19 (144A) 300,000 $303,050
First NLC Trust 2005-2, Floating Rate Note, 9/25/35 3,362,996 $590,968
Flagstar Home Equity Loan Trust 2005-1, Floating Rate Note, 6/25/18 (144A) 4,800,000 $219,554
Fly Funding II Sarl, Loan, 8/8/18 375,000 $376,797
FMG Resources August 2006 Pty, Ltd., Loan, 6/30/19 73,828 $66,871
Foothill CLO, Ltd., Floating Rate Note, 2/22/21 (144A) 500,000 $216,890
Ford Credit Auto Owner Trust 2013-D, 1.54%, 3/15/19 100,000 $100,146
Ford Credit Auto Owner Trust 2014-A, 0.48%, 11/15/16 260,000 $53,032
Ford Motor Credit Co LLC, 1.7%, 5/9/16 500,000 $506,613
Ford Motor Credit Co LLC, 1.724%, 12/6/17 700,000 $703,905
Ford Motor Credit Co LLC, 2.375%, 1/16/18 250,000 $255,538
Ford Motor Credit Co LLC, 2.875%, 10/1/18 1,000,000 $1,032,262
Ford Motor Credit Co LLC, Floating Rate Note, 9/8/17 750,000 $747,231
Fore CLO, Ltd., Floating Rate Note, 7/20/19 (144A) 250,000 $48,836
Foresight Energy LLC, Term Loan, 8/21/20 67,011 $66,425
Fosse Master Issuer Plc, Floating Rate Note, 10/18/54 100,000 $76,905
Four Corners CLO II, Ltd., Floating Rate Note, 1/26/20 (144A) 553,000 $537,440
Franklin Resources, Inc., 3.125%, 5/20/15 940,000 $954,149
Freddie Mac REMICS, Floating Rate Note, 2/15/32 14,441,000 $885,050
Freddie Mac Strips, Floating Rate Note, 12/15/36 2,327,000 $126,223
Freddie Mac Strips, Floating Rate Note, 8/15/36 6,894,664 $312,165
Freddie Mac Structured Agency Credit Risk Debt Notes, Floating Rate Note, 10/25/24 700,000 $676,728
Freddie Mac Structured Agency Credit Risk Debt Notes, Floating Rate Note, 11/25/23 750,000 $544,071
Freddie Mac Structured Agency Credit Risk Debt Notes, Floating Rate Note, 2/25/24 485,000 $435,826
Freddie Mac Structured Agency Credit Risk Debt Notes, Floating Rate Note, 8/25/24 1,430,000 $854,822
FREMF Mortgage Trust 2012-K501, Floating Rate Note, 11/26/46 (144A) 409,000 $420,984
Fresenius US Finance I, Inc., Tranche B Term Loan, 8/7/19 492,500 $492,090
Gale Force 3 Clo, Ltd., Floating Rate Note, 4/19/21 (144A) 500,000 $267,959
Galileo Re, Ltd., Floating Rate Note, 1/9/19 (Cat Bond) (144A) 500,000 $513,761
Garda World Security Corp., Term B Delayed Draw Loan, 11/8/20 122,246 $122,297
Garda World Security Corp., Term B Loan, 11/1/20 477,869 $478,068
Gator Re, Ltd., Floating Rate Note, 1/9/17 (Cat Bond) (144A) 600,000 $555,289
GATX Corp., 1.25%, 3/4/17 750,000 $748,673
Gci Holdings Inc 1st Lien Tl-B L + 3.75% 22dec21 375,000 $378,750
GE Business Loan Trust 2003-1, Floating Rate Note, 4/15/31 (144A) 10,972,000 $361,429
GE Business Loan Trust 2003-2 REMICS, Floating Rate Note, 11/15/31 (144A) 1,409,576 $120,324
GE Business Loan Trust 2004-2, Floating Rate Note, 12/15/32 (144A) 2,833,274 $351,084
GE Business Loan Trust 2005-1, Floating Rate Note, 6/15/33 (144A) 1,692,482 $703,412
GE Business Loan Trust 2006-2, Floating Rate Note, 11/15/34 (144A) 1,920,423 $641,996
GE Business Loan Trust 2007-1, Floating Rate Note, 4/16/35 (144A) 1,550,000 $595,952
GE Capital Commercial Mortgage Corp., Floating Rate Note, 7/10/45 490,000 $259,382
GE Capital Commercial Mortgage Corp., Floating Rate Note, 7/10/45 (144A) 500,000 $504,275
GE Dealer Floorplan Master Note Trust, Floating Rate Note, 10/20/17 256,000 $256,058
GE Equipment Small Ticket LLC Series 2013-1, 0.73%, 1/25/16 (144A) 200,000 $3,961
General Electric Capital Corp., Floating Rate Note, 5/15/17 750,000 $752,772
General Electric Capital Corp., Floating Rate Note, 7/12/16 296,000 $298,219
General Electric Capital Corp., Floating Rate Note, 8/1/17 500,000 $506,109
General Mills, Inc., 0.875%, 1/29/16 250,000 $251,159
Georgia Power Co., Floating Rate Note, 3/15/16 827,000 $827,541
Georgia Power Co., Floating Rate Note, 8/15/16 500,000 $500,151
GLC Trust 2013-1, 3.0%, 7/15/21 (144A) 1,000,000 $679,109
Glencore Funding LLC, Floating Rate Note, 5/27/16 (144A) 1,000,000 $1,005,635
Global Container Assets 2013-1, Ltd., 2.2%, 11/5/28 (144A) 750,000 $396,822
Global Mortgage Securitization, Ltd., 5.25%, 4/25/32 795,156 $218,367
Global Mortgage Securitization, Ltd., Floating Rate Note, 4/25/32 8,633,000 $691,832
GMAC Commercial Mortgage Securities Inc Series 2004-C2 Trust, Floating Rate Note, 8/10/38 1,465,000 $10,205
GMAC Commercial Mortgage Securities Inc Series 2006-C1 Trust, Floating Rate Note, 11/10/45 2,370,000 $1,468,738
GMACM Mortgage Loan Trust 2004-AR1, Floating Rate Note, 6/25/34 2,100,000 $194,262
GMAT 2013-1 Trust, 3.9669%, 8/25/53 (Step) 1,505,000 $1,011,339
Golden State RE II, Ltd., Floating Rate Note, 1/8/19 (Cat Bond) (144A) 750,000 $749,629
Government National Mortgage Association, 3.0%, 12/20/38 1,000,000 $114,767
Government National Mortgage Association, 3.0%, 12/20/38 5,000,000 $1,075,524
Government National Mortgage Association, 3.0%, 4/20/41 300,000 $238,869
Government National Mortgage Association, 3.5%, 5/20/39 1,025,000 $489,573
Government National Mortgage Association, 3.5%, 8/20/38 1,115,000 $336,221
Government National Mortgage Association, 5.0%, 4/20/36 850,000 $92,401
Government National Mortgage Association, 5.25%, 5/20/31 14,313,000 $112,036
Government National Mortgage Association, Floating Rate Note, 1/16/35 2,563,000 $257,189
Government National Mortgage Association, Floating Rate Note, 1/16/40 2,000,000 $628,642
Government National Mortgage Association, Floating Rate Note, 2/16/30 14,415,492 $202,403
Government National Mortgage Association, Floating Rate Note, 2/20/35 2,059,000 $255,998
Government National Mortgage Association, Floating Rate Note, 2/20/38 2,477,000 $194,518
Government National Mortgage Association, Floating Rate Note, 4/16/31 12,627,242 $245,409
Government National Mortgage Association, Floating Rate Note, 4/16/32 10,000,000 $134,852
Government National Mortgage Association, Floating Rate Note, 4/16/32 33,333,000 $578,514
Government National Mortgage Association, Floating Rate Note, 8/20/35 1,177,000 $65,409
Government National Mortgage Association, Floating Rate Note, 8/20/40 1,000,000 $518,918
Government National Mortgage Association, Floating Rate Note, 9/20/33 704,000 $39,734
Government National Mortgage Association I, 5.0%, 8/15/19 1,347,915 $316,524
Government National Mortgage Association I, 6.0%, 11/15/36 2,000,000 $180,759
Government National Mortgage Association I, 6.0%, 12/15/31 1,500,000 $63,678
Government National Mortgage Association I, 6.0%, 3/15/17 10,311,138 $123,646
Government National Mortgage Association I, 6.5%, 10/15/37 400,000 $39,587
Government National Mortgage Association I, 6.5%, 5/15/31 3,183,996 $39,444
Government National Mortgage Association I, 6.5%, 7/15/35 328,670 $8,403
Government National Mortgage Association I, 7.5%, 10/15/36 1,000,000 $61,254
Government National Mortgage Association II, 6.0%, 10/20/21 3,113,223 $377,872
Government National Mortgage Association II, 6.0%, 11/20/22 1,986,670 $247,083
Government National Mortgage Association II, 6.0%, 4/20/22 1,262,566 $176,459
Government National Mortgage Association II, 6.0%, 8/20/19 2,911,151 $141,679
Government National Mortgage Association REMICS, 2.0%, 1/16/46 3,000,000 $2,926,762
Government National Mortgage Association REMICS, 4.0%, 9/20/37 4,000,000 $2,628,204
GP Portfolio Trust 2014-GGP, Floating Rate Note, 2/16/27 (144A) 1,000,000 $1,000,527
Gracechurch Card Funding Plc, Floating Rate Note, 6/15/17 (144A) 300,000 $300,224
Gray Television Inc. 1st Lien Tl L + 3% 10jun21 801,032 $804,954
GreenPoint Mortgage Funding Trust 2005-HE1, Floating Rate Note, 9/25/34 297,570 $41,932
GSAA Home Equity Trust 2004-6, Floating Rate Note, 6/25/34 15,032,940 $351,006
GSAA Home Equity Trust 2005-11, Floating Rate Note, 10/25/35 1,022,000 $40,508
GSAA Trust, Floating Rate Note, 6/25/35 1,900,000 $407,815
GSAA Trust, Floating Rate Note, 6/25/35 440,000 $297,773
GSAMP Trust 2005-HE1, Floating Rate Note, 12/25/34 1,210,753 $89,347
GSAMP Trust 2006-SEA1, Floating Rate Note, 5/25/36 (144A) 5,518,315 $353,707
GS Caltex Corp., 3.25%, 10/1/18 (144A) 500,000 $512,837
GS Mortgage Securities Corp II Series 2005-GG4 REMICS, 4.782%, 7/10/39 1,145,000 $229,702
GS Mortgage Securities Trust 2006-GG6 REMICS, Floating Rate Note, 4/10/38 1,020,000 $1,037,026
GS Mortgage Securities Trust 2014-GSFL, Floating Rate Note, 7/15/31 (144A) 495,000 $496,391
GSR Mortgage Loan Trust 2003-9, Floating Rate Note, 8/25/33 4,000,000 $244,969
GSR Mortgage Loan Trust 2004-7, Floating Rate Note, 6/25/34 4,189,737 $464,594
GSRPM Mortgage Loan Trust 2003-2, Floating Rate Note, 6/25/33 393,823 $209,882
GSRPM Mortgage Loan Trust 2006-1, Floating Rate Note, 3/25/35 (144A) 1,201,850 $158,254
GSRPM Mortgage Loan Trust 2006-2, Floating Rate Note, 9/25/36 (144A) 1,226,000 $150,623
GTP Acquisition Partners I LLC, 4.347%, 6/15/41 (144A) 614,000 $615,909
Halyard Health Inc 1st Lien Tl-B L + 3.25% 03oct21 260,788 $264,293
HarborView Mortgage Loan Trust 2004-1, Floating Rate Note, 4/19/34 3,987,000 $171,328
Harley-Davidson Financial Services, Inc., 1.15%, 9/15/15 (144A) 700,000 $702,568
Harley-Davidson Financial Services, Inc., 3.875%, 3/15/16 (144A) 175,000 $180,492
Harris County Health Facilities Development Corp., Floating Rate Note, 12/1/41 4,835,000 $4,835,253
Health Care Real Estate Investment Trust, Inc., 2.25%, 3/15/18 500,000 $508,047
Hertz Fleet Lease Funding LP, Floating Rate Note, 4/10/28 (144A) 300,000 $299,847
Hess Corp., 1.3%, 6/15/17 750,000 $745,823
Hilton Grand Vacations Trust 2014-A, 2.07%, 11/25/26 (144A) 750,000 $602,032
Hilton USA Trust 2013-HLF, Floating Rate Note, 11/5/30 (144A) 500,000 $493,772
Hilton USA Trust 2013-HLF, Floating Rate Note, 11/5/30 (144A) 175,000 $172,609
Hilton Worldwide Finance LLC, Initial Term Loan, 9/23/20 362,500 $364,262
HLSS Servicer Advance Receivables Trust, 1.4953%, 1/16/46 (144A) 1,706,000 $1,705,428
HLSS Servicer Advance Receivables Trust, 1.7436%, 1/16/46 (144A) 250,000 $250,244
HLSS Servicer Advance Receivables Trust, 4.94%, 10/15/45 (144A) 350,000 $350,803
Holmes Master Issuer Plc, Floating Rate Note, 10/15/54 (144A) 250,000 $261,067
Hologic, Inc., Refinancing Tranche B Term Loan, 8/1/19 360,565 $362,171
HomeBanc Mortgage Trust 2005-2, Floating Rate Note, 5/25/25 6,015,011 $148,599
Home Equity Asset Trust 2006-4, Floating Rate Note, 8/25/36 253,896 $57,839
Home Equity Asset Trust 2006-8, Floating Rate Note, 3/25/37 1,394,318 $325,743
Home Equity Mortgage Trust, 5.821%, 4/25/35 (Step) 1,000,000 $250,939
Home Equity Mortgage Trust 2005-2, Floating Rate Note, 7/25/35 1,113,955 $132,663
Home Loan Trust 2003-HI1, 5.77%, 4/25/28 (Step) 1,500,000 $84,612
Homestar Mortgage Acceptance Corp., Floating Rate Note, 1/25/35 3,700,000 $304,577
Homestar Mortgage Acceptance Corp., Floating Rate Note, 3/25/34 25,588,000 $1,398,888
Homestar Mortgage Acceptance Corp., Floating Rate Note, 6/25/34 3,670,962 $285,131
Homestar Mortgage Acceptance Corp., Floating Rate Note, 7/25/34 2,600,000 $207,619
Honda Auto Receivables 2012-2 Owner Trust, 0.7%, 2/16/16 350,000 $8,669
Honda Auto Receivables 2013-2 Owner Trust, 0.53%, 2/16/17 285,000 $199,902
Horizon Funding Trust 2013-1, 3.0%, 5/15/18 (144A) 585,000 $172,868
HSBC Bank Middle East, Ltd., 3.0%, 10/21/15 750,000 $757,225
HSBC Bank Plc, 3.5%, 6/28/15 (144A) 750,000 $762,396
HSBC Home Equity Loan Trust USA 2006-3, Floating Rate Note, 3/20/36 1,905,000 $1,349,030
HSBC USA, Inc., Floating Rate Note, 6/23/17 750,000 $749,246
HSI Asset Securitization Corp Trust 2006-OPT1, Floating Rate Note, 12/25/35 450,623 $123,457
Huntsman International LLC, 2014-1 Incremental Term Loan, 9/30/21 548,625 $552,054
Hyundai Auto Receivables Trust 2014-B, 2.1%, 11/15/19 500,000 $501,350
Hyundai Capital America, 1.875%, 8/9/16 (144A) 500,000 $506,992
Hyundai Capital America, 3.75%, 4/6/16 (144A) 1,375,000 $1,410,895
Ibis Re II, Ltd., Floating Rate Note, 6/28/16 (Cat Bond) (144A) 500,000 $505,589
Impac CMB Trust Series 2004-4, Floating Rate Note, 9/25/34 14,479,489 $584,499
Impac CMB Trust Series 2004-4, Floating Rate Note, 9/25/34 32,445,000 $1,309,320
Impac CMB Trust Series 2004-6, Floating Rate Note, 10/25/34 2,125,000 $105,218
Impac CMB Trust Series 2004-8, Floating Rate Note, 8/25/34 590,000 $63,052
Impac CMB Trust Series 2005-4, Floating Rate Note, 5/25/35 3,000,000 $290,114
Impac Secured Assets CMN Owner Trust, Floating Rate Note, 2/25/35 4,622,000 $1,164,764
Impac Secured Assets Trust 2006-1, Floating Rate Note, 5/25/36 1,300,000 $407,727
Impac Secured Assets Trust 2006-2, Floating Rate Note, 8/25/36 1,173,000 $221,357
Impac Secured Assets Trust 2006-5, Floating Rate Note, 12/25/36 2,600,000 $514,441
IndyMac INDX Mortgage Loan Trust 2004-AR6, Floating Rate Note, 10/25/34 675,000 $71,489
Intel Corp., 1.35%, 12/15/17 700,000 $707,195
International Equipment Solutions LLC, Initial Loan, 8/16/19 49,746 $49,964
Intesa Sanpaolo S.p.A., 3.125%, 1/15/16 500,000 $510,569
Intesa Sanpaolo S.p.A., 3.625%, 8/12/15 (144A) 1,375,000 $1,395,150
Invitation Homes 2013-SFR1 Trust, Floating Rate Note, 12/19/30 (144A) 750,000 $753,363
Invitation Homes 2014-SFR2 Trust, Floating Rate Note, 9/18/31 (144A) 600,000 $602,176
Inwood Park CDO, Ltd., Floating Rate Note, 1/20/21 (144A) 1,000,000 $239,239
Irwin Home Equity Loan Trust 2005-1, 5.32%, 6/25/35 (Step) 900,000 $88,035
Irwin Whole Loan Home Equity Trust 2003-C, Floating Rate Note, 6/25/28 2,350,000 $498,378
Irwin Whole Loan Home Equity Trust 2003-C, Floating Rate Note, 6/25/28 1,923,500 $118,165
Irwin Whole Loan Home Equity Trust 2003-D, Floating Rate Note, 11/25/28 2,250,000 $182,269
Irwin Whole Loan Home Equity Trust 2005-B, Floating Rate Note, 12/25/29 1,775,000 $872,388
IXIS Real Estate Capital Trust 2005-HE4, Floating Rate Note, 2/25/36 250,000 $36,513
Jarden Corp., Tranche B1 Term Loan, 9/30/20 246,250 $248,155
JBS USA LLC, Incremental Term Loan, 9/18/20 197,000 $197,862
John Deere Capital Corp., 1.05%, 10/11/16 1,098,000 $1,103,592
John Deere Capital Corp., 1.05%, 12/15/16 750,000 $756,233
John Deere Capital Corp., Floating Rate Note, 10/11/16 1,090,000 $1,093,055
Johnson Controls, Inc., 1.4%, 11/2/17 700,000 $702,349
JPMorgan Chase & Co., 1.1%, 10/15/15 492,000 $493,355
JPMorgan Chase & Co., 3.4%, 6/24/15 265,000 $269,315
JPMorgan Chase & Co., Floating Rate Note, 2/15/17 500,000 $501,840
JPMorgan Chase & Co., Floating Rate Note, 2/25/21 500,000 $501,209
JPMorgan Chase & Co., Floating Rate Note, 2/26/16 320,000 $321,148
JP Morgan Chase Commercial Mortgage Securities Trust 2004-LN2, Floating Rate Note, 7/15/41 637,677 $70,318
JP Morgan Chase Commercial Mortgage Securities Trust 2005-LDP2, 4.78%, 7/15/42 1,150,000 $1,153,647
JP Morgan Chase Commercial Mortgage Securities Trust 2005-LDP3, Floating Rate Note, 8/15/42 800,000 $809,920
JP Morgan Chase Commercial Mortgage Securities Trust 2005-LDP3 REMICS, Floating Rate Note, 8/15/42 440,000 $214,728
JP Morgan Chase Commercial Mortgage Securities Trust 2005-LDP4, Floating Rate Note, 10/15/42 500,000 $505,540
JP Morgan Chase Commercial Mortgage Securities Trust 2005-LDP5, Floating Rate Note, 12/15/44 1,920,000 $1,290,801
JP Morgan Chase Commercial Mortgage Securities Trust 2006-FL2, Floating Rate Note, 11/15/18 (144A) 2,550,000 $486,578
JP Morgan Chase Commercial Mortgage Securities Trust 2006-FL2, Floating Rate Note, 11/15/18 (144A) 550,000 $177,657
JP Morgan Chase Commercial Mortgage Securities Trust 2006-LDP6, Floating Rate Note, 4/15/43 500,000 $515,462
JP Morgan Chase Commercial Mortgage Securities Trust 2006-LDP9, Floating Rate Note, 5/15/47 250,000 $91,909
JP Morgan Chase Commercial Mortgage Securities Trust 2007-CIBC19, Floating Rate Note, 2/12/49 475,000 $4,933
JP Morgan Chase Commercial Mortgage Securities Trust 2013-JWRZ, Floating Rate Note, 4/15/30 (144A) 1,550,000 $1,550,332
JP Morgan Chase Commercial Mortgage Securities Trust 2014-BXH, Floating Rate Note, 4/15/27 (144A) 1,670,000 $1,669,883
JP Morgan Chase Commercial Mortgage Securities Trust 2014-CBM, Floating Rate Note, 10/15/29 (144A) 510,000 $512,680
JP Morgan Chase Commercial Mortgage Securities Trust 2014-FBLU, Floating Rate Note, 12/15/28 (144A) 945,000 $946,835
JP Morgan Chase Commercial Mortgage Securities Trust 2014-FBLU REMICS, Floating Rate Note, 12/15/28 1,030,000 $1,031,446
JP Morgan Chase Commercial Mortgage Securities Trust 2014-FL4, Floating Rate Note, 12/16/30 (144A) 410,000 $410,669
JP Morgan Chase Commercial Mortgage Securities Trust 2014-FL5, Floating Rate Note, 7/15/31 (144A) 490,000 $488,949
JP Morgan Chase Commercial Mortgage Securities Trust 2014-FL6, Floating Rate Note, 11/17/31 (144A) 1,170,000 $1,169,867
JP Morgan Chase Commercial Mortgage Securities Trust 2014-INN, Floating Rate Note, 6/15/29 (144A) 900,000 $898,015
JP Morgan Chase Commercial Mortgage Securities Trust 2014-INN, Floating Rate Note, 6/15/29 (144A) 650,000 $647,642
JP Morgan Chase Commercial Mortgage Securities Trust 2014-PHH, Floating Rate Note, 8/16/27 (144A) 1,100,000 $1,099,596
JP Morgan Chase Commercial Mortgage Securities Trust 2015-COSMO, Floating Rate Note, 1/15/32 (144A) 700,000 $703,293
JP Morgan Mortgage Acquisition Trust 2006-ACC1, Floating Rate Note, 5/25/36 704,088 $170,831
JP Morgan Mortgage Trust 2004-A1, Floating Rate Note, 2/25/34 3,584,000 $312,942
JP Morgan Mortgage Trust 2004-S1, 5.0%, 9/25/34 3,504,124 $164,645
JP Morgan Mortgage Trust 2005-A3, Floating Rate Note, 6/25/35 6,041,179 $540,139
JP Morgan Mortgage Trust 2006-S3, 6.0%, 8/25/36 1,036,158 $530
Kane Flt% 12jun15 600,000 $593,580
Kane Ilw Zero% 02feb16 250,000 $235,525
Kane Sac, Ltd., 0.0%, 1/7/16 (Cat Bond) 458,833 $460,026
Kane Sac, Ltd., 0.0%, 1/7/16 (Cat Bond) 685,125 $688,688
Kane Sac, Ltd., 0.0%, 1/7/16 (Cat Bond) 210,250 $211,406
Kane Sac, Ltd., 0.0%, 1/7/16 (Cat Bond) 444,667 $446,267
Kane Zero% 29apr16 800,000 $802,400
KeyBank NA Cleveland Ohio, 1.1%, 11/25/16 500,000 $502,908
KeyBank NA Cleveland Ohio, 1.65%, 2/1/18 1,000,000 $1,008,028
KeyCorp, 3.75%, 8/13/15 931,000 $946,346
Kilimanjaro Re, Ltd., Floating Rate Note, 11/25/19 (Cat Bond) (144A) 750,000 $744,541
Kilimanjaro Re, Ltd., Floating Rate Note, 4/30/18 (Cat Bond) (144A) 350,000 $351,418
Kilimanjaro Re, Ltd., Floating Rate Note, 4/30/18 (Cat Bond) (144A) 650,000 $658,228
Kinder Morgan, Inc. Delaware, 2.0%, 12/1/17 700,000 $707,807
Kindred Healthcare 1st Lien Tl-B L + 3% 10apr21 274,309 $276,881
Kinetic Concepts, Inc., Dollar Term E-1 Loan, 5/4/18 748,106 $754,340
Kizuna Re II, Ltd., Floating Rate Note, 4/6/18 (Cat Bond) (144A) 450,000 $452,509
KKR Financial CLO 2007-1, Ltd., Floating Rate Note, 5/15/21 (144A) 375,000 $372,166
L-3 Communications Corp., 1.5%, 5/28/17 586,000 $584,096
La Hipotecaria Panamanian Mortgage Trust 2007-1, Floating Rate Note, 12/23/36 (144A) 1,400,000 $631,903
Lanark Master Issuer Plc, Floating Rate Note, 12/22/54 (144A) 250,000 $226,954
LB-UBS Commercial Mortgage Trust 2004-C1, 4.568%, 1/15/31 275,000 $29,797
LB-UBS Commercial Mortgage Trust 2005-C7 REMICS, Floating Rate Note, 11/15/30 2,455,809 $808,970
LB-UBS Commercial Mortgage Trust 2006-C1 REMICS, 5.156%, 2/15/31 1,615,000 $1,408,014
Leaf Receivables Funding 8 LLC, 1.55%, 11/15/17 (144A) 195,000 $116,782
Leaf Receivables Funding 8 LLC, 2.67%, 9/15/20 (144A) 311,966 $314,018
Lehman ABS Manufactured Housing Contract Trust 2002-A, Floating Rate Note, 6/15/33 19,804,000 $776,675
Lehman Brothers Small Balance Commercial, Floating Rate Note, 2/25/30 (144A) 4,631,000 $597,930
Lehman Brothers Small Balance Commercial, Floating Rate Note, 4/25/31 (144A) 3,723,496 $450,650
Lehman Brothers Small Balance Commercial, Floating Rate Note, 4/25/31 (144A) 2,843,000 $445,671
Lehman Brothers Small Balance Commercial, Floating Rate Note, 9/25/30 (144A) 3,264,773 $495,720
Lehman Brothers Small Balance Commercial Mortgage Trust 2007-3, Floating Rate Note, 10/25/37 (144A) 885,400 $189,362
Lehman Brothers Small Balance Commercial Mortgage Trust 2007-3, Floating Rate Note, 10/25/37 (144A) 466,904 $293,942
Level 3 Financing Inc 1st Lien Tl-B5 L + 3.5% 31jan22 225,000 $226,289
Lincoln National Corp., 4.3%, 6/15/15 250,000 $255,096
Live Nation Entertainment, Inc., Term B-1 Loan, 8/17/20 510,230 $512,462
Longpoint Re, Ltd., Floating Rate Note, 6/12/15 (Cat Bond) (144A) 900,000 $910,770
Longpoint Re, Ltd. III, Floating Rate Note, 5/18/16 (Cat Bond) (144A) 750,000 $758,348
LPL Holdings, Inc., 2013 Incremental Tranche B Term Loan, 3/29/19 145,530 $145,802
MacDermid, Inc., Tranche B Term Loan (First Lien), 6/7/20 1,244,934 $1,258,495
Madison Avenue Manufactured Housing Contract Trust 2002-A, Floating Rate Note, 3/25/32 1,100,000 $240,081
MALLINCKRODT INTERNATIONAL FINANCE SA, Initial Term B Loan, 3/6/21 297,000 $297,424
Manufacturers & Traders Trust Co., Floating Rate Note, 1/30/17 500,000 $500,283
Manufacturers & Traders Trust Co., Floating Rate Note, 7/25/17 1,000,000 $996,686
Marathon Oil Corp., 0.9%, 11/1/15 1,496,000 $1,506,551
Marriott Vacation Club Owner Trust 2012-1, 3.5%, 5/20/30 (144A) 845,000 $398,957
Massachusetts Development Finance Agency, Floating Rate Note, 2/15/36 250,000 $256,718
Massachusetts Port Authority, 5.0%, 7/1/16 475,000 $506,776
MASTR Alternative Loan Trust 2005-1, Floating Rate Note, 2/25/35 6,760,000 $499,268
Mastr Asset Backed Securities Trust 2005-WMC1, Floating Rate Note, 3/25/35 215,000 $40,706
Mastr Asset Backed Securities Trust 2006-AB1 REMICS, Floating Rate Note, 2/25/36 3,670,545 $575,007
Mastr Asset Backed Securities Trust 2006-NC1, Floating Rate Note, 1/25/36 1,567,646 $150,569
MASTR Asset Securitization Trust 2003-6, Floating Rate Note, 7/25/18 2,444,000 $60,498
Mastr Specialized Loan Trust, Floating Rate Note, 1/25/36 (144A) 3,644,114 $271,035
McKesson Corp., Floating Rate Note, 9/10/15 235,000 $235,290
Mediacom Illinois LLC, Tranche F Term Loan, 3/31/18 396,000 $393,855
Merna Re V, Ltd., Floating Rate Note, 4/7/17 (Cat Bond) (144A) 650,000 $647,804
Merrill Lynch Mortgage Investors Trust Series 2005-2, Floating Rate Note, 10/25/35 1,543,473 $364,338
Merrill Lynch Mortgage Investors Trust Series 2005-A3, Floating Rate Note, 4/25/35 10,415,000 $1,159,276
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-A, Floating Rate Note, 3/25/28 15,000,000 $622,705
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-A, Floating Rate Note, 3/25/28 10,213,000 $312,175
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-B, Floating Rate Note, 4/25/28 9,700,000 $419,037
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-C, Floating Rate Note, 6/25/28 9,455,006 $328,330
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-C REMICS, Floating Rate Note, 6/25/28 10,150,000 $446,961
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-E, Floating Rate Note, 10/25/28 8,393,000 $365,170
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-G, Floating Rate Note, 1/25/29 3,592,000 $50,533
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-H, Floating Rate Note, 1/25/29 6,680,000 $347,743
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-A REMICS, Floating Rate Note, 4/25/29 9,857,948 $488,190
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-C, Floating Rate Note, 7/25/29 10,014,000 $461,224
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-E, Floating Rate Note, 11/25/29 9,305,000 $519,377
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-G, Floating Rate Note, 1/25/30 3,771,000 $226,656
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-G, Floating Rate Note, 1/25/30 16,956,975 $670,339
Merrill Lynch Mortgage Investors Trust Series MLCC 2005-A, Floating Rate Note, 3/25/30 7,567,883 $434,978
Merrill Lynch Mortgage Trust 2005-CIP1, Floating Rate Note, 7/12/38 630,000 $249,024
Merrill Lynch Mortgage Trust 2005-CKI1, Floating Rate Note, 11/12/37 2,360,000 $1,655,278
Merrill Lynch Mortgage Trust 2005-LC1, Floating Rate Note, 1/12/44 1,670,000 $1,478,816
MetroCat Re, Ltd., Floating Rate Note, 8/5/16 (Cat Bond) (144A) 400,000 $405,520
Metropolitan Life Global Funding I, Floating Rate Note, 7/15/16 (144A) 300,000 $301,496
Metropolitan Life Insurance Co., 7.7%, 11/1/15 (144A) 1,250,000 $1,337,175
MGM Resorts International, Term B Loan, 12/20/19 342,125 $342,766
Micro Focus Us Inc 1st Lien Tl-B L + 4.25% 07oct21 352,941 $355,052
Micron Semiconductor Asia Pte, Ltd., 1.258%, 1/15/19 500,000 $401,439
Milacron LLC, Term Loan, 3/28/20 495,000 $498,713
Milacron Llc 1st Lien Tl-B L + 3.5% 28sep20 495,000 $498,713
ML-CFC Commercial Mortgage Trust 2006-1, Floating Rate Note, 2/12/39 1,600,000 $1,480,646
Monsanto Co., 1.15%, 6/30/17 1,000,000 $1,006,665
Morgan Stanley, Floating Rate Note, 1/5/18 750,000 $753,280
Morgan Stanley, Floating Rate Note, 11/9/18 275,000 $291,693
Morgan Stanley, Floating Rate Note, 2/25/16 500,000 $504,699
Morgan Stanley, Floating Rate Note, 6/6/16 500,000 $502,789
Morgan Stanley ABS Capital I Inc Trust 2004-SD3, Floating Rate Note, 6/25/34 (144A) 13,470,000 $431,046
Morgan Stanley ABS Capital I Inc Trust 2005-NC2, Floating Rate Note, 3/25/35 627,000 $362,389
Morgan Stanley ABS Capital I Inc Trust 2005-WMC5, Floating Rate Note, 6/25/35 820,000 $160,641
Morgan Stanley Capital I Trust 2004-IQ8, Floating Rate Note, 6/15/40 1,200,000 $33,302
Morgan Stanley Capital I Trust 2005-HQ6 REMICS, Floating Rate Note, 8/13/42 1,250,000 $578,033
Morgan Stanley Capital I Trust 2005-IQ10, Floating Rate Note, 9/15/42 915,000 $437,221
Morgan Stanley Capital I Trust 2005-TOP19, 4.89%, 6/12/47 1,940,000 $725,735
Morgan Stanley Capital I Trust 2006-HQ9, Floating Rate Note, 7/12/44 600,000 $630,161
Morgan Stanley Capital I Trust 2006-TOP21, Floating Rate Note, 10/12/52 1,435,000 $1,456,586
Morgan Stanley Capital I Trust 2006-TOP23, Floating Rate Note, 8/12/41 650,000 $611,569
Morgan Stanley Capital I Trust 2015-XLF1, Floating Rate Note, 8/13/16 (144A) 500,000 $500,602
Morgan Stanley Dean Witter Capital I Trust 2001-TOP3, 6.79%, 7/15/33 460,000 $66,203
Morgan Stanley Home Equity Loan Trust 2005-4, Floating Rate Note, 9/25/35 1,558,243 $603,626
Morgan Stanley Mortgage Loan Trust 2005-5AR, Floating Rate Note, 9/25/35 9,387,000 $707,331
Morgan Stanley Mortgage Loan Trust 2005-6AR, Floating Rate Note, 11/25/35 2,941,000 $399,752
Morgan Stanley Mortgage Loan Trust 2005-6AR, Floating Rate Note, 11/25/35 3,786,000 $352,411
MortgageIT Trust 2004-1, Floating Rate Note, 11/25/34 3,200,000 $393,903
MortgageIT Trust 2004-2, Floating Rate Note, 12/25/34 5,310,000 $760,437
Motor 2013-1 Plc, Floating Rate Note, 2/25/21 (144A) 466,000 $34,975
Mpg Holdco I Inc 1st Lien Tl-B L + 3.5% 13oct21 582,032 $584,994
MRFC Mortgage Pass-Through Trust Series 1999-TBC2 REMICS, Floating Rate Note, 6/15/30 3,714,390 $197,887
MUFG Union Bank NA, 2.625%, 9/26/18 1,000,000 $1,030,435
MUFG Union Bank NA, Floating Rate Note, 9/26/16 1,450,000 $1,453,381
MVW Owner Trust 2014-1, 2.7%, 9/20/31 (144A) 750,000 $660,804
Mythen Re, Ltd., Floating Rate Note, 5/7/15 (Cat Bond) (144A) 500,000 $509,519
Mythen Re, Ltd., Floating Rate Note, 5/7/15 (Cat Bond) (144A) 1,750,000 $1,781,348
Mythen Re, Ltd. Series 2012-2 Class A, Floating Rate Note, 1/5/17 (Cat Bond) (144A) 500,000 $525,284
Mythen Re, Ltd. Series 2013-1 Class B, Floating Rate Note, 7/9/15 (Cat Bond) (144A) 700,000 $709,092
National City Bank Cleveland Ohio, Floating Rate Note, 12/15/16 250,000 $249,324
National Oilwell Varco, Inc., 1.35%, 12/1/17 775,000 $773,951
National Rural Utilities Cooperative Finance Corp., Floating Rate Note, 11/23/16 500,000 $500,972
Nations Equipment Finance Funding II LLC, 3.276%, 1/22/19 (144A) 500,000 $478,852
Navios Maritime Partners LP, Term Loan, 6/27/18 435,775 $439,043
Navistar, Inc., Tranche B Term Loan, 8/17/17 400,000 $403,417
Navitas Equipment Receivables LLC 2013-1, 3.63%, 2/15/17 650,000 $652,650
Navitas Equipment Receivables LLC 2015-1, 3.4%, 11/15/18 (144A) 500,000 $501,178
NCF Dealer Floorplan Master Trust, Floating Rate Note, 10/20/20 (144A) 750,000 $750,385
NCUA Guaranteed Notes Trust REMICS, 1.6%, 10/29/20 500,000 $101,051
NCUA Guaranteed Notes Trust REMICS, Floating Rate Note, 3/2/21 800,000 $341,638
New Century Home Equity Loan Trust 2005-1, Floating Rate Note, 3/25/35 2,101,000 $332,013
NewStar Commercial Loan Trust 2007-1, Floating Rate Note, 9/30/22 (144A) 500,000 $197,382
New York Life Global Funding, 1.125%, 3/1/17 (144A) 500,000 $502,441
New York Life Global Funding, 1.45%, 12/15/17 (144A) 750,000 $758,608
New York Life Global Funding, Floating Rate Note, 10/29/15 (144A) 750,000 $750,257
New York Life Global Funding, Floating Rate Note, 5/23/16 (144A) 1,050,000 $1,052,854
Nissan Auto Lease Trust 2013-B, Floating Rate Note, 1/15/16 240,000 $40,882
Nissan Motor Acceptance Corp., 2.65%, 9/26/18 (144A) 1,000,000 $1,032,621
Nissan Motor Acceptance Corp., Floating Rate Note, 3/3/17 (144A) 500,000 $502,021
Nn Inc 1st Lien Tl-B L + 5% 18jul21 389,286 $392,201
Nomura Asset Acceptance Corp Alternative Loan Trust Series 2003-A3, 5.5%, 8/25/33 (Step) 3,120,000 $187,203
Norcraft Companies LP, Initial Loan, 11/12/20 246,875 $247,492
Nord Anglia Education Finance Llc 1st Lien Tl-B L + 3.5% 21mar21 750,000 $751,875
Nordea Bank AB, Floating Rate Note, 5/13/16 (144A) 250,000 $251,097
Nordea Bank Finland Plc New York, Floating Rate Note, 6/13/16 1,000,000 $1,000,757
North American Development Bank, 2.3%, 10/10/18 650,000 $663,556
Northshore Re, Ltd., Floating Rate Note, 7/5/16 (Cat Bond) (144A) 500,000 $515,971
NorthStar 2013-1, Floating Rate Note, 8/27/29 (144A) 778,000 $567,795
NovaStar Mortgage Funding Trust Series 2004-3, Floating Rate Note, 12/25/34 560,000 $533,157
NovaStar Mortgage Funding Trust Series 2004-4, Floating Rate Note, 3/25/35 300,000 $84,572
NovaStar Mortgage Funding Trust Series 2004-4, Floating Rate Note, 3/25/35 1,457,000 $1,432,611
NSG Holdings LLC, New Term Loan, 12/11/19 191,883 $192,123
NSTAR Electric Co., Floating Rate Note, 5/17/16 341,000 $341,027
NYSE Holdings LLC, 2.0%, 10/5/17 150,000 $152,318
Oak Hill Advisors Residential Loan Trust 2014-NPL1, 2.8828%, 5/25/54 (Step) (144A) 520,000 $329,700
On Assignment, Inc., Initial Term B Loan, 5/15/20 171,522 $171,808
Ooredoo International Finance, Ltd., 3.375%, 10/14/16 (144A) 500,000 $513,640
Opteum Mortgage Acceptance Corp Trust 2005-4, Floating Rate Note, 11/25/35 7,189,000 $1,267,241
Option One Mortgage Loan Trust 2005-4 Asset-Backed Certificates Series 2005-4, Floating Rate Note, 1 5,875,000 $400,772
Option One Woodbridge Loan Trust 2002-1, Floating Rate Note, 3/25/32 (144A) 1,370,736 $195,368
Oracle Corp., 2.25%, 10/8/19 300,000 $305,215
Oracle Corp., 2.375%, 1/15/19 500,000 $515,840
Oracle Corp., Floating Rate Note, 7/7/17 575,000 $575,878
Orange Lake Timeshare Trust 2012-A, 4.87%, 3/10/27 (144A) 600,000 $260,277
Orbital ATK, Inc., Term B Loan, 10/22/20 197,252 $198,031
ORES 2014-LV3 LLC, 3.0%, 3/27/24 (144A) 550,000 $297,208
ORES NPL 2013-LV2 LLC, 3.081%, 9/25/25 (144A) 430,000 $127,443
Origen Manufactured Housing Contract Trust 2004-A, Floating Rate Note, 1/15/35 600,000 $236,930
Origen Manufactured Housing Contract Trust 2004-B, Floating Rate Note, 11/15/35 460,000 $359,011
Origen Manufactured Housing Contract Trust 2005-A, Floating Rate Note, 6/15/36 250,000 $226,761
Oscar US Funding Trust 2014-1, 1.0%, 8/15/17 (144A) 700,000 $699,862
Outfront Media Capital LLC, Term Loan, 1/15/21 350,000 $350,273
PACCAR Financial Corp., Floating Rate Note, 6/6/17 485,000 $485,310
Pangaea Zero% 01jul18 700,000 $769,230
Park Place Securities Inc Asset-Backed Pass-Through Certificates Series 2004-MHQ, Floating Rate Note 840,000 $737,010
Park Place Securities Inc Asset-Backed Pass-Through Ctfs Ser 2005-WHQ4, Floating Rate Note, 9/25/35 1,793,831 $465,546
Par Pharmaceutical Companies, Inc., Term B-2 Loan, 9/28/19 639,308 $640,840
Par Pharmaceutical Cos Inc 1st Lien Tl-B3 L + 3.25% 28sep19 498,750 $501,867
PARTY CITY HOLDINGS INC, 2014 Replacement Term Loan, 7/27/19 943,063 $946,852
People's Choice Home Loan Securities Trust Series 2005-3, Floating Rate Note, 8/25/35 109,980 $7,244
Pfizer, Inc., Floating Rate Note, 5/15/17 750,000 $750,607
PFS Financing Corp., Floating Rate Note, 2/15/18 (144A) 800,000 $800,319
PFS Financing Corp., Floating Rate Note, 2/15/19 (144A) 430,000 $429,070
PFS Tax Lien Trust 2014-1, 1.44%, 5/15/29 400,000 $270,330
PHH Mortgage Capital LLC, 7.0%, 12/25/27 (Step) (144A) 3,250,000 $144,247
Phillips 66, 2.95%, 5/1/17 750,000 $786,510
PNC Bank NA, 0.8%, 1/28/16 450,000 $451,578
PNC Bank NA, 1.125%, 1/27/17 450,000 $452,620
PNC Bank NA, 1.3%, 10/3/16 550,000 $554,122
PNC Bank NA, Floating Rate Note, 1/28/16 500,000 $500,734
PNC Bank NA, Floating Rate Note, 8/1/17 750,000 $749,684
Polarpak, Inc., USD Term Loan (Canadian Borrower Portion), 6/7/20 156,766 $157,746
Polarpak, Inc., USD Term Loan (U.S. Borrower Portion), 6/7/20 81,881 $82,392
Popular ABS Mortgage Pass-Through Trust 2004-4, 5.181%, 9/25/34 (Step) 1,415,000 $496,587
Popular ABS Mortgage Pass-Through Trust 2004-5, Floating Rate Note, 12/25/34 5,000,000 $487,001
Post Holdings Inc 1st Lien Tl-B L + 3% 23may21 748,116 $751,923
Precision Castparts Corp., 1.25%, 1/15/18 500,000 $500,338
Prestige Brands, Inc., Term B-2 Loan, 8/18/21 325,000 $327,201
Pricoa Global Funding I, Floating Rate Note, 6/24/16 (144A) 500,000 $500,313
Principal Life Global Funding II, 1.2%, 5/19/17 (144A) 750,000 $756,041
Principal Life Global Funding II, Floating Rate Note, 5/27/16 (144A) 390,000 $391,212
Progreso Receivables Funding II LLC, 3.5%, 7/8/19 (144A) 1,370,000 $1,373,920
Progreso Receivables Funding I LLC, 4.0%, 7/9/18 (144A) 1,000,000 $1,008,806
Progress Residential 2014-SFR1 Trust, Floating Rate Note, 10/17/31 (144A) 1,000,000 $1,009,376
Prudential Covered Trust 2012-1, 2.997%, 9/30/15 (144A) 500,000 $353,550
PSEG Power LLC, 2.75%, 9/15/16 500,000 $513,430
PVH Corp., Tranche B Term Loan, 2/13/20 327,126 $329,477
Quebecor Media, Inc., Facility B-1 Tranche, 8/17/20 198,489 $197,496
Queen City Re, Floating Rate Note, 1/6/19 (Cat Bond) (144A) 500,000 $496,918
Queen Street VII Re, Ltd., Floating Rate Note, 4/8/16 (Cat Bond) (144A) 500,000 $514,987
Queen Street X RE, Ltd., Floating Rate Note, 6/8/18 (Cat Bond) (144A) 250,000 $250,100
Quest Trust REMICS, Floating Rate Note, 3/25/34 (144A) 24,804,330 $886,756
RAAC Series 2004-SP2 Trust, 6.0%, 1/25/32 11,000,000 $388,072
RAAC Series 2005-RP1 Trust, Floating Rate Note, 7/25/37 (144A) 583,530 $274,412
RAAC Series 2005-RP2 Trust, Floating Rate Note, 6/25/35 (144A) 995,000 $87,718
RAAC Series 2006-RP2 Trust, Floating Rate Note, 2/25/37 (144A) 4,099,889 $340,883
RAIT 2014-FL2 Trust, Floating Rate Note, 5/15/31 (144A) 1,500,000 $1,485,274
RAIT 2014-FL3 Trust, Floating Rate Note, 12/15/31 (144A) 1,000,000 $986,916
RALI Series 2002-QS16 Trust, Floating Rate Note, 10/25/17 11,475,000 $152,105
RALI Series 2003-QR24 Trust REMICS, 4.0%, 7/25/33 950,000 $86,847
RALI Series 2003-QR24 Trust REMICS, 4.0%, 7/25/33 6,880,000 $754,499
RALI Series 2003-QS11 Trust, Floating Rate Note, 6/25/33 13,610,000 $576,188
RALI Series 2003-QS14 Trust, 5.0%, 7/25/18 600,000 $30,567
RALI Series 2003-QS15 Trust, 5.5%, 8/25/33 250,000 $145,005
RALI Series 2003-QS9 Trust, Floating Rate Note, 5/25/18 11,040,000 $351,064
RALI Series 2004-QR1 Trust, 5.25%, 10/25/34 21,545,000 $205,273
RALI Series 2004-QS5 Trust, 4.75%, 4/25/34 4,285,000 $189,834
RALI Series 2004-QS5 Trust, Floating Rate Note, 4/25/34 1,761,729 $77,686
RALI Series 2005-QA1 Trust, Floating Rate Note, 1/25/35 8,661,000 $841,434
RAMP Series 2003-RS9 Trust, Floating Rate Note, 10/25/33 5,091,956 $334,523
RAMP Series 2004-RS11 Trust, Floating Rate Note, 11/25/34 1,085,000 $264,809
RAMP Series 2004-SL4 Trust, Floating Rate Note, 5/25/18 13,780,000 $56,990
RAMP Series 2005-RS6 Trust, Floating Rate Note, 6/25/35 278,355 $115,171
RASC Series 2005-EMX2 Trust, Floating Rate Note, 7/25/35 40,280 $354
Raymond James Financial, Inc., 4.25%, 4/15/16 2,108,000 $2,175,555
RBSSP Resecuritization Trust 2009-5, Floating Rate Note, 8/25/37 (144A) 2,550,000 $779,419
Reckitt Benckiser Treasury Services Plc, 2.125%, 9/21/18 (144A) 500,000 $509,912
Regatta Funding, Ltd., Floating Rate Note, 6/15/20 (144A) 500,000 $167,209
Remy International, Inc., Term B Loan 2013, 3/5/20 997,449 $1,004,930
RENT-A-CENTER, INC, Term Loan (2014), 2/6/21 544,500 $539,055
Residential Asset Securitization Trust 2003-A2, Floating Rate Note, 5/25/33 34,300,000 $1,259,597
Residential Asset Securitization Trust 2004-A9, 5.75%, 12/25/34 1,130,000 $378,031
Residential Reinsurance 2011, Ltd., Floating Rate Note, 12/6/16 (Cat Bond) (144A) 500,000 $509,706
Residential Reinsurance 2011, Ltd., Floating Rate Note, 6/6/15 (Cat Bond) (144A) 500,000 $510,000
Residential Reinsurance 2011, Ltd., Floating Rate Note, 6/6/17 (Cat Bond) (144A) 500,000 $508,672
Residential Reinsurance 2012, Ltd., Floating Rate Note, 12/6/16 (Cat Bond) (144A) 250,000 $270,008
Residential Reinsurance 2012, Ltd., Floating Rate Note, 12/6/16 (Cat Bond) (144A) 1,150,000 $1,178,520
Residential Reinsurance 2012, Ltd., Floating Rate Note, 12/6/16 (Cat Bond) (144A) 250,000 $257,886
Residential Reinsurance 2012, Ltd., Floating Rate Note, 6/6/16 (Cat Bond) (144A) 250,000 $265,661
Residential Reinsurance 2013, Ltd., Floating Rate Note, 6/6/17 (Cat Bond) (144A) 250,000 $265,222
Residential Reinsurance 2014, Ltd., Floating Rate Note, 6/6/18 (Cat Bond) (144A) 250,000 $252,886
RESI Finance LP 2003-CB1, Floating Rate Note, 7/9/35 2,382,000 $579,904
Resi Flt% 12dec45 A1 500,000 $423,846
Resource Capital Corp 2014-CRE2, Ltd., Floating Rate Note, 4/15/32 (144A) 1,480,000 $1,472,496
Resource Capital Corp CRE Notes 2013, Ltd., Floating Rate Note, 6/15/16 (144A) 1,000,000 $1,001,877
RFMSI Series 2005-S5 Trust, 5.25%, 7/25/35 300,770 $148,565
RFSC Series 2004-RP1 Trust, Floating Rate Note, 11/25/42 250,000 $120,110
Rialto Capital Management LLC, 2.85%, 5/15/24 (144A) 700,000 $171,191
Rio Tinto Finance USA Plc, Floating Rate Note, 6/17/16 560,000 $561,952
Riverfront Re, Ltd., Floating Rate Note, 1/6/17 (Cat Bond) (144A) 320,000 $318,478
Royal Bank of Canada, 1.45%, 9/9/16 1,000,000 $1,010,927
Royal Bank of Canada, Floating Rate Note, 1/23/17 550,000 $551,063
Royal Bank of Canada, Floating Rate Note, 6/16/17 1,000,000 $999,128
RREF 2014-LT6 LLC, 2.75%, 9/15/24 (144A) 1,280,000 $579,026
Sanders Re, Ltd., Floating Rate Note, 5/5/17 (Cat Bond) (144A) 750,000 $744,838
Sanders Re, Ltd., Floating Rate Note, 5/5/17 (Cat Bond) (144A) 750,000 $745,300
Sanders Re, Ltd., Floating Rate Note, 6/7/17 (Cat Bond) (144A) 650,000 $649,350
Santander Drive Auto Receivables Trust 2012-5, 2.7%, 8/15/18 125,000 $126,839
SASCO Mortgage Loan Trust 2005-GEL1, Floating Rate Note, 12/25/34 510,000 $326,931
SASCO Mortgage Loan Trust 2005-GEL2, Floating Rate Note, 4/25/35 8,945,588 $110,182
Saxon Asset Securities Trust 2005-3, Floating Rate Note, 11/25/35 471,000 $413,202
Saxon Asset Securities Trust 2005-4, Floating Rate Note, 11/25/37 9,516,000 $370,513
SBA Senior Finance II LLC, Incremental Tranche B-1 Term Loan, 3/31/21 198,500 $198,593
Schaeffler (Aka Ina Beteiligungsge 1st Lien Tl-B L + 3.5% 15may20 500,000 $504,894
Scientific Games International Inc 1st Lien Tl-B2 L + 5% 17sep21 922,688 $933,131
Seadrill Operating LP, Initial Term Loan, 2/14/21 839,375 $689,206
Sector Re V, Ltd., 0.0%, 12/1/19 (Cat Bond) (144A) 250,000 $259,925
Sector Re V, Ltd., 0.0%, 3/1/20 (Cat Bond) (144A) 300,000 $300,000
Sector Re V, Ltd., 0.0%, 3/30/19 (Cat Bond) (144A) 516 $653
Selene Non-Performing Loans LLC, 2.9814%, 5/25/54 (Step) (144A) 1,020,000 $905,444
Senior Housing Properties Trust, 4.3%, 1/15/16 290,000 $297,460
Sensata Technologies Bv 1st Lien Tl-B2 L + 2.75% 08oct21 646,750 $649,944
Sequoia Mortgage Trust 2003-5, Floating Rate Note, 9/20/33 14,606,000 $599,779
Sequoia Mortgage Trust 2004-10, Floating Rate Note, 11/20/34 1,990,836 $198,673
Sequoia Mortgage Trust 2004-7, Floating Rate Note, 8/20/34 5,250,000 $220,107
Sequoia Mortgage Trust 2004-9, Floating Rate Note, 10/20/34 155,000 $13,985
Sequoia Mortgage Trust 2005-1, Floating Rate Note, 2/20/35 8,223,000 $701,519
Sequoia Mortgage Trust 2013-8, Floating Rate Note, 6/25/43 414,000 $334,940
Sequoia Mortgage Trust 2013-8, Floating Rate Note, 6/25/43 160,000 $138,445
Shell International Finance BV, Floating Rate Note, 11/15/16 750,000 $752,073
Sierra Timeshare 2012-2 Receivables Funding LLC, 2.38%, 3/20/29 (144A) 1,500,000 $354,613
Sierra Timeshare 2012-3 Receivables Funding LLC, 1.87%, 8/20/29 (144A) 1,400,000 $396,811
Sierra Timeshare 2013-1 Receivables Funding LLC, 2.39%, 11/20/29 (144A) 160,000 $49,496
Sierra Timeshare 2013-2 Receivables Funding LLC, 2.92%, 11/20/25 (144A) 270,000 $99,007
Sierra Timeshare 2013-2 Receivables Funding LLC, 4.75%, 11/20/25 (144A) 900,000 $336,174
Silver Bay Realty 2014-1 Trust, Floating Rate Note, 9/18/31 (144A) 750,000 $756,923
SilverLeaf Finance XVII LLC, 2.71%, 3/16/26 (144A) 750,000 $365,311
Silverstone Master Issuer Plc, Floating Rate Note, 1/21/55 (144A) 290,000 $296,342
Silverton RE, Ltd., 0.0%, 9/16/16 (Cat Bond) (144A) 250,000 $15,950
Silverton RE, Ltd., 0.0%, 9/18/17 (Cat Bond) (144A) 400,000 $428,400
Sinclair Television Group, Inc., New Tranche B Term Loan, 4/19/20 438,304 $437,138
Skandinaviska Enskilda Banken AB New York NY, Floating Rate Note, 9/21/15 750,000 $750,993
SLM Student Loan Trust 2004-10, Floating Rate Note, 4/27/26 (144A) 380,000 $380,701
Small Business Administration Participation Certificates, 2.24%, 4/15/43 (144A) 630,000 $629,392
SMART ABS Series 2013-2US Trust, Floating Rate Note, 1/17/17 500,000 $321,365
SMART ABS Series 2014-1US Trust, Floating Rate Note, 8/15/16 750,000 $332,724
SNAAC Auto Receivables Trust, 4.38%, 6/15/17 (144A) 460,000 $133,843
SNAAC Auto Receivables Trust 2013-1, 1.14%, 7/16/18 (144A) 404,000 $881
Soundview Home Loan Trust 2005-3, Floating Rate Note, 6/25/35 600,000 $38,678
Soundview Home Loan Trust 2005-OPT4, Floating Rate Note, 12/25/35 815,490 $197,566
Southern Pacific Secured Asset Corp., Floating Rate Note, 3/25/28 32,000,000 $280,920
Southwire Co., Initial Term Loan, 1/31/21 401,198 $400,947
Specialty Underwriting & Residential Finance Trust Series 2006-BC1, Floating Rate Note, 12/25/36 790,207 $765,469
SpringCastle America Funding LLC, 2.7%, 5/25/23 1,020,000 $819,460
Springleaf Funding Trust 2013-A, 2.58%, 9/15/21 (144A) 1,200,000 $917,966
Springleaf Funding Trust 2014-A, 2.41%, 12/15/22 (144A) 1,000,000 $1,002,630
Springleaf Mortgage Loan Trust 2012-2, Floating Rate Note, 10/25/57 (144A) 424,000 $173,098
Stanwich Mortgage Loan Trust, 2.9814%, 2/16/43 (144A) 1,325,000 $156,727
Starbucks Corp., 0.875%, 12/5/16 605,000 $608,305
Starwood Property Mortgage Trust 2013-FV1, Floating Rate Note, 8/11/28 (144A) 640,000 $588,950
Starwood Property Trust, Inc., Term Loan (First Lien), 4/17/20 196,985 $196,739
State of Ohio, 3.0%, 6/15/15 500,000 $507,347
Steward Health Care System LLC, Term Loan, 4/10/20 295,489 $294,935
St Jude Medical, Inc., 2.5%, 1/15/16 510,000 $520,239
STORE Master Funding LLC, 5.77%, 8/20/42 (144A) 344,000 $358,821
Structured Adjustable Rate Mortgage Loan Trust, Floating Rate Note, 11/25/34 1,259,000 $118,894
Structured Adjustable Rate Mortgage Loan Trust, Floating Rate Note, 11/25/34 18,180,000 $866,881
Structured Adjustable Rate Mortgage Loan Trust, Floating Rate Note, 3/25/34 2,600,000 $136,500
Structured Asset Investment Loan Trust 2005-6, Floating Rate Note, 7/25/35 719,331 $570,778
Structured Asset Mortgage Investments II Trust 2004-AR8, Floating Rate Note, 5/19/35 24,300,000 $1,191,510
Structured Asset Mortgage Investments II Trust 2005-AR2, Floating Rate Note, 5/25/45 5,000,000 $461,049
Structured Asset Mortgage Investments II Trust 2005-F1 REMICS, Floating Rate Note, 8/26/35 6,100,000 $108,210
Structured Asset Mortgage Investments Trust 2002-AR5, Floating Rate Note, 5/19/33 7,644,000 $358,260
Structured Asset Securities Corp Mor Cer Ser 2003-31A, Floating Rate Note, 10/25/33 1,500,000 $130,461
Structured Asset Securities Corp Mortgage Loan Trust 2005-2XS, 4.65%, 2/25/35 (Step) 1,000,000 $109,848
Structured Asset Securities Corp Mortgage Loan Trust 2005-WF4, Floating Rate Note, 11/25/35 475,000 $13,147
Structured Asset Securities Corp Mortgage Pass-Through Certificates Ser 2004-S4, Floating Rate Note, 500,000 $53,725
Structured Asset Securities Corp Mortgage Pass-Through Ctfs Ser 2003-24A, Floating Rate Note, 7/25/3 7,700,000 $901,899
Structured Asset Securities Corp Mortgage Pass Through Ctfs Series 2003-35, Floating Rate Note, 12/2 4,960,000 $271,161
Sumitomo Mitsui Banking Corp., Floating Rate Note, 1/10/17 750,000 $749,630
Sumitomo Mitsui Banking Corp., Floating Rate Note, 7/19/16 300,000 $301,118
Sumitomo Mitsui Trust Bank, Ltd., Floating Rate Note, 9/16/16 (144A) 500,000 $503,013
SunGard Data Systems, Inc., Tranche C Term Loan, 2/28/17 155,698 $156,306
Sunset Mortgage Loan Co 2014-NPL2 LLC, 3.721%, 11/16/44 (Step) (144A) 850,000 $730,828
SunTrust Bank, 1.35%, 2/15/17 500,000 $503,534
SunTrust Bank, Floating Rate Note, 2/15/17 805,000 $805,249
SunTrust Banks, Inc., 3.5%, 1/20/17 500,000 $523,457
Svenska Handelsbanken AB, Floating Rate Note, 9/23/16 1,000,000 $1,004,886
SVO 2012-A VOI Mortgage LLC, 2.0%, 9/20/29 (144A) 1,600,000 $736,674
SWAY Residential 2014-1 Trust, Floating Rate Note, 1/20/32 (144A) 700,000 $695,876
Syniverse Holdings, Inc., Tranche B Term Loan, 4/23/19 925,000 $898,984
TAL Advantage V LLC, 1.7%, 5/20/39 (144A) 400,000 $304,540
Tar Heel Re, Ltd., Floating Rate Note, 5/9/16 (Cat Bond) (144A) 250,000 $258,229
Telefonica Emisiones SAU, 3.992%, 2/16/16 500,000 $515,823
Terex Corp., U.S. Term Loan, 8/13/21 257,041 $257,780
Terwin Mortgage Trust Series TMTS 2003-8HE, Floating Rate Note, 12/25/34 5,234,000 $158,813
Terwin Mortgage Trust Series TMTS 2005-10HE, Floating Rate Note, 6/25/36 199,992 $131,236
Terwin Mortgage Trust Series TMTS 2005-14HE, 4.8492%, 8/25/36 (Step) 630,000 $122,822
Texas Instruments, Inc., 0.875%, 3/12/17 500,000 $501,623
Texas Municipal Gas Acquisition & Supply Corp III, 5.0%, 12/15/15 500,000 $521,804
The Bank of New York Mellon Corp., 1.969%, 6/20/17 (Step) 750,000 $768,100
The Bank of New York Mellon Corp., 2.95%, 6/18/15 750,000 $760,512
The Bank of Nova Scotia, 1.1%, 12/13/16 500,000 $503,589
The Bank of Nova Scotia, 1.375%, 7/15/16 500,000 $506,042
The Bank of Nova Scotia, 1.45%, 4/25/18 500,000 $500,066
The Bank of Tokyo-Mitsubishi UFJ, Ltd., 1.55%, 9/9/16 (144A) 1,000,000 $1,007,701
The Bank of Tokyo-Mitsubishi UFJ, Ltd., 2.7%, 9/9/18 (144A) 305,000 $314,404
The Bank of Tokyo-Mitsubishi UFJ, Ltd., Floating Rate Note, 3/10/17 (144A) 500,000 $500,102
The Bank of Tokyo-Mitsubishi UFJ, Ltd., Floating Rate Note, 9/8/17 (144A) 500,000 $498,776
The Bear Stearns Companies LLC, Floating Rate Note, 11/21/16 1,500,000 $1,500,181
The Boeing Co., 0.95%, 5/15/18 1,050,000 $1,045,850
The Charles Schwab Corp., 0.85%, 12/4/15 250,000 $251,501
The GEO Group, Inc., Term Loan, 4/3/20 492,462 $494,309
The Goldman Sachs Group, Inc., 1.6%, 11/23/15 2,125,000 $2,150,575
The Goldman Sachs Group, Inc., 3.7%, 8/1/15 340,000 $345,705
The Goldman Sachs Group, Inc., Floating Rate Note, 3/22/16 475,000 $475,246
The Goldman Sachs Group, Inc., Floating Rate Note, 7/22/15 700,000 $700,232
The Huntington National Bank, 1.3%, 11/20/16 500,000 $503,225
The Huntington National Bank, Floating Rate Note, 4/24/17 500,000 $499,386
The Korea Development Bank, Floating Rate Note, 1/22/17 750,000 $749,798
The PNC Financial Services Group, Inc., Floating Rate Note (Perpetual) 600,000 $606,102
Thermo Fisher Scientific, Inc., 2.4%, 2/1/19 1,000,000 $1,016,982
The Toronto-Dominion Bank, 1.4%, 4/30/18 500,000 $504,048
The Toronto-Dominion Bank, Floating Rate Note, 5/2/17 500,000 $500,485
The Toronto-Dominion Bank, Floating Rate Note, 7/2/19 750,000 $748,839
The Toronto-Dominion Bank, Floating Rate Note, 9/9/16 500,000 $502,534
Thomson Reuters Corp., 0.875%, 5/23/16 250,000 $250,834
Thomson Reuters Corp., 1.3%, 2/23/17 500,000 $501,065
Thornburg Mortgage Securities Trust 2003-3, Floating Rate Note, 6/25/43 3,857,000 $117,675
Thornburg Mortgage Securities Trust 2004-1, Floating Rate Note, 3/25/44 20,000,000 $187,173
Thornburg Mortgage Securities Trust 2004-3, Floating Rate Note, 9/25/34 17,118,309 $1,290,920
Thornburg Mortgage Securities Trust 2004-4, Floating Rate Note, 12/25/44 1,225,000 $172,512
TI Group Automotive Systems LLC, Term Loan Facility, 7/1/21 223,872 $224,572
TimberStar Trust I REMICS, 5.668%, 10/15/36 (144A) 525,000 $556,526
TMS International Corp., Term B Loan, 10/2/20 146,199 $145,194
Toyota Motor Credit Corp., 0.75%, 3/3/17 (Step) 3,150,000 $3,153,987
Toyota Motor Credit Corp., 1.125%, 5/16/17 750,000 $755,550
Tpf Ii Power Llc 1st Lien Tl-B L + 4.5% 24sep21 748,125 $764,023
Trade MAPS 1, Ltd., Floating Rate Note, 12/10/18 (144A) 250,000 $250,328
Tradewynd Re, Ltd., Floating Rate Note, 1/8/18 (Cat Bond) (144A) 250,000 $250,742
Trafigura Securitisation Finance Plc. 2014-1, Floating Rate Note, 4/16/18 (144A) 400,000 $400,362
TransCanada PipeLines, Ltd., 1.875%, 1/12/18 375,000 $380,679
TransCanada PipeLines, Ltd., Floating Rate Note, 6/30/16 690,000 $692,536
Tribune Media Co., Initial Term Loan, 11/20/20 806,849 $811,892
Tronox Pigments BV, New Term Loan, 3/19/20 448,858 $450,878
U.S. Treasury Notes, 0.5%, 3/31/17 3,000,000 $2,996,818
U.S. Treasury Notes, 0.5%, 7/31/16 4,000,000 $4,012,160
U.S. Treasury Notes, 0.875%, 1/15/18 12,000,000 $12,039,182
Unifrax I LLC, New Term B Dollar Loan, 11/28/18 497,487 $497,487
United Auto Credit Securitization Trust 2014-1, 2.38%, 10/15/18 (144A) 700,000 $696,768
UnitedHealth Group, Inc., 1.875%, 11/15/16 500,000 $512,636
United Technologies Corp., 1.55%, 5/4/18 (Step) 500,000 $502,280
United Technologies Corp., Floating Rate Note, 6/1/15 500,000 $500,841
University of California, 0.966%, 5/15/17 500,000 $503,782
US Bancorp, 2.45%, 7/27/15 755,000 $763,671
US Renal Care, Inc., Tranche B-2 Term Loan (First Lien), 7/3/19 647,289 $651,740
Valeant Pharmaceuticals Internatio 1st Lien Tl-Bf1 L + 3.25% 13mar22 500,000 $504,094
Vantiv LLC, Term B Loan, 6/12/21 288,879 $290,682
Velocity Commercial Capital Loan Trust 2014-1, Floating Rate Note, 9/25/44 (144A) 800,000 $697,286
Ventas Realty LP, 3.125%, 11/30/15 500,000 $512,956
Vericrest Opportunity Loan Transferee 2014-NPL4 LLC, 3.125%, 4/27/54 (Step) (144A) 1,700,000 $1,166,450
Verint Systems, Inc., Tranche B Incremental Term Loan, 9/6/19 261,457 $262,438
Verizon Communications, Inc., 0.7%, 11/2/15 935,000 $938,199
Verizon Communications, Inc., Floating Rate Note, 9/15/16 1,285,000 $1,307,607
Vers 2015-A Zero% 31dec17 800,000 $824,640
VFC 2014-2 LLC, 2.75%, 7/20/30 (144A) 1,060,000 $578,804
VFC 2015-3 LLC, 2.75%, 12/20/31 (144A) 400,000 $374,716
Virgin Media Investment Holdings, Ltd., B Facility, 6/8/20 299,183 $299,782
Vita Capital V, Ltd., Floating Rate Note, 1/15/17 (Cat Bond) (144A) 750,000 $762,844
Vita Capital V, Ltd., Floating Rate Note, 1/15/17 (Cat Bond) (144A) 250,000 $253,859
Vitality Re IV, Ltd., Floating Rate Note, 1/9/17 (Cat Bond) (144A) 500,000 $510,658
Vitality Re V, Ltd., Floating Rate Note, 1/7/19 (Cat Bond) (144A) 500,000 $502,129
Vodafone Group Plc, Floating Rate Note, 2/19/16 275,000 $275,529
Volkswagen Group of America Finance LLC, Floating Rate Note, 5/23/16 (144A) 1,000,000 $999,794
Volkswagen International Finance NV, 1.125%, 11/18/16 (144A) 750,000 $756,068
Volkswagen International Finance NV, 1.15%, 11/20/15 (144A) 750,000 $756,565
Volkswagen International Finance NV, 1.6%, 11/20/17 (144A) 500,000 $506,589
VOLT XIX LLC, 3.875%, 4/26/55 (Step) 800,000 $597,627
VOLT XXXIII LLC, 3.5%, 3/25/55 (Step) (144A) 700,000 $691,162
Wachovia Bank Commercial Mortgage Trust Series 2005-C21, Floating Rate Note, 10/17/44 625,364 $423,797
Wachovia Bank Commercial Mortgage Trust Series 2005-C22 REMICS, Floating Rate Note, 12/15/44 1,000,000 $857,771
Wachovia Bank Commercial Mortgage Trust Series 2006-C23 REMICS, Floating Rate Note, 1/15/45 1,590,000 $1,249,156
Wachovia Bank Commercial Mortgage Trust Series 2006-C24, Floating Rate Note, 3/15/45 272,000 $278,091
Wachovia Bank Commercial Mortgage Trust Series 2006-C25, Floating Rate Note, 5/15/43 1,200,000 $995,484
Wachovia Corp., Floating Rate Note, 6/15/17 1,077,000 $1,075,715
Wachovia Mortgage Loan Trust Series 2005-WMC1, Floating Rate Note, 10/25/35 750,000 $84,901
Walgreens Boots Alliance, Inc., Floating Rate Note, 5/18/16 750,000 $752,285
WaMu Mortgage Pass-Through Certificates Series 2002-AR6 Trust, Floating Rate Note, 6/25/42 29,950,000 $347,600
WaMu Mortgage Pass-Through Certificates Series 2003-AR9 Trust, Floating Rate Note, 9/25/33 3,122,360 $1,105,557
WaMu Mortgage Pass-Through Certificates Series 2003-S10, 5.0%, 10/25/18 17,361,049 $493,465
WCP Wireless Site Funding, 6.829%, 11/15/15 (144A) 1,155,000 $1,178,496
Welk Resorts 2013-A LLC, 3.1%, 3/15/29 (144A) 750,000 $519,947
Wells Fargo & Co., 1.25%, 7/20/16 500,000 $504,675
Wells Fargo & Co., 1.5%, 7/1/15 1,050,000 $1,057,173
Wells Fargo & Co., Floating Rate Note, 4/23/18 575,000 $579,677
Wells Fargo & Co., Floating Rate Note, 6/26/15 585,000 $586,550
Wells Fargo Alternative Loan 2005-2 Trust, Floating Rate Note, 10/25/35 453,135 $450,656
Wells Fargo Bank NA, Floating Rate Note, 5/16/16 250,000 $249,748
Wells Fargo Commercial Mortgage Trust 2014-TISH, Floating Rate Note, 2/16/27 (144A) 690,000 $688,562
Wells Fargo Home Equity Asset-Backed Securities 2005-3 Trust, Floating Rate Note, 12/25/35 200,000 $51,085
Wells Fargo Mortgage Backed Securities 2005-4 Trust, Floating Rate Note, 4/25/35 7,173,466 $258,474
Wells Fargo Mortgage Backed Securities 2006-16 Trust, 5.0%, 11/25/36 550,000 $20,816
Wesco Aircraft Hardware Corp., Tranche B Term Loan, 2/24/21 850,938 $851,736
WESCO Distribution, Inc., Tranche B-1 Loan, 12/12/19 61,163 $61,405
Westgate Resorts 2012-A LLC, 2.25%, 8/20/25 (144A) 1,490,000 $684,959
Westgate Resorts 2012-A LLC, 3.75%, 8/20/25 (144A) 403,000 $186,070
Westgate Resorts 2014-1 LLC, 2.15%, 12/20/26 (144A) 1,000,000 $809,818
Westgate Resorts LLC, 2.5%, 3/20/25 (144A) 250,000 $79,331
Westgate Resorts LLC, 9.5%, 2/20/25 (144A) 1,800,000 $509,395
Westlake Automobile Receivables Trust 2013-1, 1.12%, 1/15/18 (144A) 150,000 $35,588
Westpac Banking Corp., Floating Rate Note, 5/19/17 1,000,000 $1,001,306
Westwood CDO II, Ltd., Floating Rate Note, 4/25/22 (144A) 500,000 $327,144
Wheelabrator 1st Lien Tl-B L + 4% 15oct21 955,460 $970,580
Wheelabrator 1st Lien Tl-C L + 4% 15oct21 42,146 $42,813
WireCo WorldGroup, Inc., Term Loan, 2/15/17 417,058 $418,100
Wm Wrigley Jr Co., 2.0%, 10/20/17 (144A) 1,000,000 $1,013,892
WR Grace & Co-Conn, Delayed Draw Term Loan, 1/23/21 72,115 $72,296
WR Grace & Co-Conn, U.S. Term Loan, 1/23/21 200,406 $200,907
Zebra Technologies Corporation 1st Lien Tl-B L + 4% 30sep21 488,636 $495,355
ZIGGO BV, (USD) TLB3, 1/15/22 476,177 $477,235
Ziggo Bv Us 1st Lien Tl-B1 L + 2.75% 15jan22 449,291 $450,290
Ziggo Bv Us 1st Lien Tl-B2 L + 2.75% 15jan22 289,532 $290,175
Zoetis, Inc., 1.15%, 2/1/16 500,000 $501,248

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