Pioneer Short Term Income Fund

Top 10 Portfolio Holdings as of 7/31/2014
Default: sorted by market value

Security Name Par / Shares Market Value
A10 Securitization 2013-1 LLC, 2.4%, 11/15/25 (144A) 642,000 $462,693
A10 Term Asset Financing 2013-2 LLC, 2.62%, 11/15/27 (144A) 1,085,000 $1,082,625
ABN AMRO Bank NV, 1.375%, 1/22/16 (144A) 500,000 $503,501
ABN AMRO Bank NV, Floating Rate Note, 10/28/16 (144A) 750,000 $756,656
ACA CLO 2006-2, Ltd., Floating Rate Note, 1/20/21 (144A) 250,000 $244,809
ACAS CLO 2007-1, Ltd., Floating Rate Note, 4/20/21 500,000 $433,225
Accredited Mortgage Loan Trust 2005-2, Floating Rate Note, 7/25/35 240,000 $231,505
ACE Securities Corp Manufactured Housing Trust Series 2003-MH1, Floating Rate Note, 8/15/30 (144A) 425,000 $69,545
ACIS CLO 2014-4, Ltd., Floating Rate Note, 5/1/26 700,000 $699,178
Acosta, Inc., Term B Loan (2013), 3/2/18 248,126 $248,669
Activision Blizzard, Inc., Term Loan, 7/26/20 450,000 $450,000
Adjustable Rate Mortgage Trust 2005-2, Floating Rate Note, 6/25/35 345,151 $274,151
Adjustable Rate Mortgage Trust 2005-5, Floating Rate Note, 9/25/35 3,300,000 $296,668
Aegis Asset Backed Securities Trust 2005-5, Floating Rate Note, 12/25/35 1,000,000 $264,379
Aegis Asset Backed Securities Trust Mortgage Pass-Through Ctfs Ser 2005-4, Floating Rate Note, 10/25 239,000 $134,490
Aegis Asset Backed Securities Trust Mortgage Pass- Through Ctfs Series 2004-3, Floating Rate Note, 9 12,500,000 $527,430
Aegis Asset Backed Securities Trust Mortgage Pass- Through Ctfs Series 2004-3, Floating Rate Note, 9 881,754 $172,915
Aflac, Inc., 3.45%, 8/15/15 500,000 $523,157
Alamo Re, Ltd., Floating Rate Note, 6/7/17 (Cat Bond) (144A) 250,000 $252,550
Albertsons LLC, Term B-2 Loan, 3/21/19 646,754 $650,852
Allegion US Holding Co, Inc., Tranche B Term Loan, 12/26/20 497,500 $498,744
Alliant Techsystems, Inc., Term B Loan, 10/22/20 198,750 $199,023
Allied Security Holdings LLC, Delayed Draw Term Loan (First Lien), 2/12/21 511,570 $509,972
Ally Auto Receivables Trust 2014-SN1, Floating Rate Note, 10/20/16 500,000 $499,764
Altair Re, Floating Rate Note, 4/30/16 (Cat Bond) 84,180 $105,174
Altera Corp., 2.5%, 11/15/18 500,000 $507,159
Alterna Funding I LLC, 1.1639%, 2/15/21 (144A) 400,000 $400,018
Alternative Loan Trust 2003-14T1, Floating Rate Note, 8/25/18 3,200,000 $137,762
Alternative Loan Trust 2003-J1, 4.75%, 10/25/33 4,300,000 $212,926
Alternative Loan Trust 2004-18CB, Floating Rate Note, 9/25/34 19,958,000 $33,429
Alternative Loan Trust 2004-4CB, 4.25%, 4/25/34 4,541,000 $216,855
Alternative Loan Trust 2005-J4, Floating Rate Note, 7/25/35 1,322,801 $1,282,777
Altrl Flt% 30jun16 350,000 $364,455
AMC Entertainment, Inc., Initial Term Loan, 4/30/20 248,116 $247,863
America Movil SAB de CV, Floating Rate Note, 9/12/16 1,000,000 $1,010,223
American Credit Acceptance Receivables Trust, 0.99%, 8/10/18 (144A) 410,000 $409,990
American Credit Acceptance Receivables Trust, 1.64%, 11/15/16 (144A) 378,000 $82,149
American Credit Acceptance Receivables Trust 2013-1, 1.45%, 4/16/18 (144A) 41,000 $16,987
American Credit Acceptance Receivables Trust 2013-2, 1.32%, 2/15/17 (144A) 280,000 $122,531
American Credit Acceptance Receivables Trust 2014-1, 1.14%, 3/12/18 (144A) 520,000 $354,283
American Credit Acceptance Receivables Trust 2014-2, 0.99%, 10/10/17 (144A) 500,000 $429,004
American Electric Power Co, Inc., 1.65%, 12/15/17 500,000 $501,472
American Express Credit Account Secured Note Trust 2012-4, Floating Rate Note, 5/15/20 (144A) 760,000 $765,438
American Express Credit Corp., 1.3%, 7/29/16 500,000 $503,779
American Express Credit Corp., 5.125%, 8/25/14 553,000 $566,778
American Express Credit Corp., Floating Rate Note, 6/12/15 200,000 $202,084
American Home Mortgage Investment Trust 2004-3, 5.01%, 10/25/34 (Step) 4,000,000 $272,337
American Home Mortgage Investment Trust 2005-1, Floating Rate Note, 6/25/45 1,500,000 $215,401
American Homes 4 Rent 2014-SFR1, Floating Rate Note, 6/19/31 665,000 $665,818
American Honda Finance Corp., 1.125%, 10/7/16 500,000 $504,645
American Honda Finance Corp., 1.2%, 7/14/17 750,000 $748,583
American Honda Finance Corp., 1.85%, 9/19/14 (144A) 200,000 $201,708
American Honda Finance Corp., Floating Rate Note, 5/26/16 (144A) 1,675,000 $1,683,675
AmeriCredit Automobile Receivables Trust 2010-2, 6.24%, 6/8/16 567,000 $511,070
AmeriCredit Automobile Receivables Trust 2010-4, 6.4%, 4/9/18 (144A) 100,000 $101,916
AmeriCredit Automobile Receivables Trust 2011-3, 4.04%, 7/10/17 100,000 $103,671
AmeriCredit Automobile Receivables Trust 2011-5, 2.45%, 12/8/16 500,000 $503,911
AmeriCredit Automobile Receivables Trust 2012-4, 3.82%, 2/10/20 500,000 $521,891
AmeriCredit Automobile Receivables Trust 2013-1, 1.57%, 1/8/19 150,000 $150,316
AmeriCredit Automobile Receivables Trust 2013-4, 0.74%, 11/8/16 500,000 $308,848
AmeriCredit Automobile Receivables Trust 2013-4, 3.31%, 10/8/19 500,000 $516,207
AmeriCredit Automobile Receivables Trust 2014-2, Floating Rate Note, 10/10/17 380,000 $380,168
Ameriquest Mortgage Securities Inc Asset-Backed Pass-Through Ctfs Ser 2003-11, Floating Rate Note, 1 14,558,685 $658,872
Ameriquest Mortgage Securities Inc Asset-Backed Pass-Through Ctfs Ser 2005-R1, Floating Rate Note, 3 592,188 $347,571
Ameriquest Mortgage Securities Inc Asset Backed Pass-Through Ctfs Ser 2005-R11, Floating Rate Note, 962,222 $698,677
Ameriquest Mortgage Securities Inc Asset-Backed Pass-Through Ctfs Ser 2005-R6, Floating Rate Note, 8 2,840,000 $34,125
Ameriquest Mortgage Securities Inc Asset-Backed Pass-Through Ctfs Ser 2005-R9, 4.97435%, 11/25/35 (S 590,000 $533,771
Ameriquest Mort Sec Inc Asset Backed Pass Thr Cert 03 AR3, Floating Rate Note, 6/25/33 155,851 $101,331
Amgen, Inc., 2.5%, 11/15/16 500,000 $519,447
AMRESCO Residential Securities Corp Mortgage Loan Trust 1997-3, Floating Rate Note, 9/25/27 8,300,000 $194,334
Anheuser-Busch Companies LLC, 5.0%, 1/15/15 225,000 $230,136
Anheuser-Busch InBev Finance, Inc., Floating Rate Note, 1/27/17 500,000 $500,641
Anheuser-Busch InBev Worldwide, Inc., 4.125%, 1/15/15 580,000 $590,651
ANZ New Zealand Int'l, Ltd. London, 1.125%, 3/24/16 (144A) 1,000,000 $1,008,283
Apple, Inc., Floating Rate Note, 5/3/16 400,000 $400,273
ARC Properties Operating Partnership LP, 2.0%, 2/6/17 (144A) 500,000 $505,187
ARI Fleet Lease Trust 2012-A, Floating Rate Note, 3/15/20 (144A) 810,000 $198,699
ARI Fleet Lease Trust 2013-A, 0.7%, 12/15/15 (144A) 260,000 $173,081
Arlington Flt% 01aug15 250,000 $253,750
Armor Re, Ltd., Floating Rate Note, 12/15/16 (Cat Bond) (144A) 300,000 $297,800
Arysta Lifescience SPC LLC, Initial Term Loan (First Lien), 5/29/20 705,683 $705,978
Ascentium Equipment Receivables 2012-1 LLC, 1.83%, 9/15/19 (144A) 822,000 $184,139
Ascentium Equipment Receivables 2014-1 LLC, 1.04%, 1/10/17 400,000 $400,165
Ascentium Equipment Receivables 2014-1 LLC, 3.1%, 6/10/21 (144A) 700,000 $704,490
ASG Resecuritization Trust 2010-3, Floating Rate Note, 12/28/45 (144A) 1,642,839 $789,051
Asset Backed Securities Corp Home Equity Loan Trust Series 2003-HE1, Floating Rate Note, 1/15/33 3,082,000 $742,797
Asset Backed Securities Corp Home Equity Loan Trust Series 2005-HE3, Floating Rate Note, 4/25/35 159,800 $134,313
Asset Backed Securities Corp Home Equity Loan Trust Series AEG 2006-HE1, Floating Rate Note, 1/25/36 311,384 $60,523
Assurant, Inc., 2.5%, 3/15/18 300,000 $304,829
Atlantic Power LP, Term Loan, 2/20/21 1,101,525 $1,113,917
Atlas IX Capital, Ltd., Floating Rate Note, 1/17/19 (Cat Bond) (144A) 500,000 $515,877
Atlas Reinsurance VII, Ltd., Floating Rate Note, 1/7/16 (Cat Bond) (144A) 250,000 $258,813
Avago Technologies Ltd 1st Lien Tl-B L + 3% 16apr21 395,000 $394,690
AXIS Equipment Finance Receivables II LLC, 3.81%, 12/20/16 400,000 $400,017
AXIS Equipment Finance Receivables II LLC, 4.94%, 7/20/18 (144A) 700,000 $709,335
BAMLL Commercial Mortgage Securities Trust 2014-ICTS, Floating Rate Note, 6/15/28 (144A) 580,000 $580,356
Banc of America Alternative Loan Trust 2003-10, Floating Rate Note, 12/25/33 2,600,000 $165,941
Banc of America Alternative Loan Trust 2004-2, 5.5%, 3/25/19 954,266 $121,771
Banc of America Alternative Loan Trust 2004-4, 5.25%, 5/25/34 1,363,000 $174,571
Banc of America Commercial Mortgage Trust 2006-1, Floating Rate Note, 9/10/45 1,000,000 $1,057,271
Banc of America Funding 2003-3 Trust, 5.5%, 10/25/33 617,825 $135,587
Banc of America Funding 2004-B Trust, Floating Rate Note, 12/20/34 6,667,000 $545,056
Banc of America Large Loan Trust 2007-BMB1, Floating Rate Note, 8/15/29 (144A) 986,000 $986,506
Banc of America Merrill Lynch Commercial Mortgage, Inc., Floating Rate Note, 10/10/45 1,370,000 $1,363,641
Banc of America Merrill Lynch Commercial Mortgage, Inc., Floating Rate Note, 9/10/47 1,780,000 $1,858,140
Banc of America Merrill Lynch Commercial Mortgage, Inc. REMICS, Floating Rate Note, 7/10/43 645,000 $624,933
Banc of America Mortgage 2003-F Trust, Floating Rate Note, 7/25/33 5,619,027 $284,201
Banc of America Mortgage 2003-H Trust, Floating Rate Note, 9/25/33 13,410,000 $1,140,659
Banc of America Mortgage 2004-D Trust, Floating Rate Note, 5/25/34 4,920,000 $567,117
Banc of America Mortgage Trust 2004-7, 4.5%, 8/25/19 181,000 $14,604
Banco Nacional de Desenvolvimento Economico e Social, 3.375%, 9/26/16 (144A) 1,000,000 $1,043,719
Bank of America Corp., 1.25%, 1/11/16 575,000 $578,437
Bank of America Corp., 1.35%, 11/21/16 500,000 $502,684
Bank of America Corp., 3.7%, 9/1/15 500,000 $523,275
Bank of America Corp., 4.5%, 4/1/15 210,000 $218,623
Bank of America Corp., Floating Rate Note, 1/15/15 750,000 $751,166
Bank of America Corp., Floating Rate Note, 3/22/16 2,000,000 $2,016,972
Bank of America NA, 1.25%, 2/14/17 500,000 $502,848
Bank of Montreal, 0.8%, 11/6/15 500,000 $502,951
Barclays Bank Plc, Floating Rate Note, 2/17/17 229,000 $230,069
Barclays Dryrock Issuance Trust, Floating Rate Note, 3/16/20 500,000 $500,116
Baxter International, Inc., 0.95%, 6/1/16 500,000 $501,890
Bayview Commercial Asset Trust, 0.0%, 7/25/37 (Step) (144A) 4,500,000 $0
Bayview Commercial Asset Trust, 3.526662%, 9/25/37 (Step) (144A) 3,000,000 $106,297
Bayview Commercial Asset Trust, Floating Rate Note, 1/25/35 (144A) 4,600,000 $751,743
Bayview Commercial Asset Trust, Floating Rate Note, 4/25/34 (144A) 4,150,000 $431,829
Bayview Financial Acquisition Trust, Floating Rate Note, 5/28/44 7,600,000 $142,077
Bayview Financial Asset Trust 2003-A, Floating Rate Note, 2/25/33 (144A) 7,852,000 $251,716
Bayview Financial Mortgage Pass-Through Trust 2005-C, Floating Rate Note, 6/28/44 750,000 $724,985
Bayview Financial Mortgage Pass-Through Trust 2006-A, Floating Rate Note, 2/28/41 1,639,000 $165,200
Bayview Financial Mortgage Pass-Through Trust 2006-B, Floating Rate Note, 4/28/36 603,000 $48,431
Bayview Financial Mortgage Pass-Through Trust 2006-B, Floating Rate Note, 4/28/36 1,207,803 $345,807
Bayview Financial Mortgage Pass-Through Trust Series 2005-B, Floating Rate Note, 4/28/39 425,000 $419,504
Bayview Opportunity Master Fund IIa Trust 2012-4NPL, 3.9496%, 1/28/34 (Step) 695,000 $504,249
Bayview Opportunity Master Fund Trust IIIa 2014-12RPL, 3.6225%, 7/28/19 (Step) (144A) 465,000 $465,000
BB&T Corp., 1.6%, 8/15/17 103,000 $104,251
BCAP LLC 2009-RR13-I Trust, Floating Rate Note, 9/26/35 (144A) 2,765,000 $781,345
BCAP LLC 2013-RR3 Trust, Floating Rate Note, 5/26/36 (144A) 500,000 $402,020
BCAP LLC 2013-RR7 Trust, Floating Rate Note, 12/27/34 420,000 $393,953
BCMSC Trust 1998-A, 6.65%, 4/15/28 2,750,000 $99,187
Bear Stearns ALT-A Trust 2004-11, Floating Rate Note, 11/25/34 7,155,000 $416,458
Bear Stearns ALT-A Trust 2004-12, Floating Rate Note, 1/25/35 8,440,000 $1,128,436
Bear Stearns ALT-A Trust 2004-12, Floating Rate Note, 1/25/35 5,395,000 $668,270
Bear Stearns ALT-A Trust 2004-12, Floating Rate Note, 1/25/35 3,280,000 $380,357
Bear Stearns ALT-A Trust 2004-12, Floating Rate Note, 1/25/35 3,695,000 $496,495
Bear Stearns ALT-A Trust 2004-13, Floating Rate Note, 11/25/34 1,905,000 $103,720
Bear Stearns ALT-A Trust 2004-4, Floating Rate Note, 6/25/34 10,699,000 $916,042
Bear Stearns ARM Trust 2003-3, Floating Rate Note, 5/25/33 9,158,341 $291,361
Bear Stearns ARM Trust 2004-10 REMICS, Floating Rate Note, 1/25/35 720,000 $114,851
Bear Stearns ARM Trust 2004-3, Floating Rate Note, 7/25/34 2,481,203 $97,520
Bear Stearns ARM Trust 2004-9, Floating Rate Note, 11/25/34 1,014,658 $133,923
Bear Stearns Asset Backed Securities I Trust 2005-FR1, Floating Rate Note, 6/25/35 1,526,722 $605,019
Bear Stearns Asset Backed Securities I Trust 2005-HE6, Floating Rate Note, 6/25/35 1,350,000 $58,528
Bear Stearns Asset Backed Securities I Trust 2005-HE8, Floating Rate Note, 8/25/35 1,233,951 $67,243
Bear Stearns Asset Backed Securities Trust, Floating Rate Note, 2/25/35 5,848,300 $377,926
Bear Stearns Asset Backed Securities Trust 2003-SD2, Floating Rate Note, 6/25/43 3,896,100 $292,167
Bear Stearns Asset Backed Securities Trust 2004-2, Floating Rate Note, 8/25/34 389,000 $73,569
Bear Stearns Asset Backed Securities Trust 2006-SD2, Floating Rate Note, 6/25/36 412,000 $240,278
Bear Stearns Commercial Mortgage Securities Trust 2005-PWR7, Floating Rate Note, 2/11/41 550,000 $557,123
Bear Stearns Commercial Mortgage Securities Trust 2005-PWR8, 4.75%, 6/11/41 415,000 $427,525
Bear Stearns Commercial Mortgage Securities Trust 2005-PWR9, 4.871%, 9/11/42 2,280,000 $2,002,123
Bear Stearns Commercial Mortgage Securities Trust 2005-PWR9, Floating Rate Note, 9/11/42 1,160,000 $1,206,016
Bear Stearns Commercial Mortgage Securities Trust 2005-TOP18, Floating Rate Note, 2/13/42 1,150,000 $998,015
Bear Stearns Commercial Mortgage Securities Trust 2005-TOP20, Floating Rate Note, 10/12/42 1,125,000 $1,172,171
Bear Stearns Mortgage Securities, Inc., Floating Rate Note, 6/25/30 731,690 $135,943
Bear Stearns Structured Products Trust 2007-EMX1, Floating Rate Note, 3/25/37 (144A) 1,130,000 $241,260
Belden Finance 2013 LP, Initial Term Loan, 9/9/20 248,125 $248,783
Bella Vista Mortgage Trust 2004-1, Floating Rate Note, 11/20/34 12,618,000 $381,641
Berkshire Hathaway Finance Corp., Floating Rate Note, 1/10/17 1,000,000 $1,000,961
BHP Billiton Finance USA, Ltd., Floating Rate Note, 9/30/16 500,000 $500,652
Blue Danube, Ltd., Floating Rate Note, 4/10/15 (Cat Bond) (144A) 650,000 $677,868
Blue Danube II, Ltd., Floating Rate Note, 5/23/16 (Cat Bond) (144A) 500,000 $508,205
BMW Vehicle Lease Trust 2013-1, 0.4%, 1/20/15 370,000 $17,184
BMW Vehicle Owner Trust 2011-A, 0.76%, 8/25/15 100,000 $3,520
Boca Hotel Portfolio Trust 2013-BOCA, Floating Rate Note, 8/15/26 (144A) 430,000 $431,208
Bosphorus 1 Re, Ltd., Floating Rate Note, 5/3/16 (Cat Bond) (144A) 250,000 $250,239
Boston Scientific Corp., 2.65%, 10/1/18 500,000 $512,369
BPCE SA, Floating Rate Note, 4/25/16 550,000 $558,538
Branch Banking & Trust Co., 2.3%, 10/15/18 500,000 $510,135
Branch Banking & Trust Co., Floating Rate Note, 5/23/17 250,000 $248,409
Branch Banking & Trust Co., Floating Rate Note, 9/13/16 500,000 $499,053
Bright Horizons Family Solutions, Inc., Term B Loan, 1/30/20 297,733 $297,392
Britax US Holdings, Inc., Initial Dollar Term Loan, 10/7/20 297,750 $281,560
British Telecommunications Plc, 2.0%, 6/22/15 504,000 $511,520
Bush Truck Leasing LLC, 5.0%, 9/25/18 (144A) 100,000 $8,596
BWAY Holding Co., Initial Term Loan, 8/6/17 192,075 $192,855
Caelus Re, Ltd., Floating Rate Note, 3/7/16 (Cat Bond) (144A) 500,000 $505,060
Caelus Re 2013, Ltd., Floating Rate Note, 4/7/17 (Cat Bond) (144A) 750,000 $778,056
California Republic Auto Receivables Trust 2012-1, 1.18%, 8/15/17 (144A) 329,000 $114,982
Calpine Construction Finance Co LP, Term B-2 Loan, 1/3/22 671,618 $664,832
CAM Mortgage Trust 2014-1, 3.3515%, 12/15/53 (Step) (144A) 660,000 $206,760
CAM Mortgage Trust 2014-2, 2.6%, 12/15/53 (Step) (144A) 610,000 $580,132
Canadian National Railway Co., Floating Rate Note, 11/6/15 730,000 $730,928
Canadian Natural Resources, Ltd., 1.45%, 11/14/14 430,000 $432,610
Canadian Natural Resources, Ltd., Floating Rate Note, 3/30/16 277,000 $277,992
Capital Auto Receivables Asset Trust/ Ally, 1.74%, 10/22/18 413,000 $412,838
Capital Auto Receivables Asset Trust/ Ally, 2.19%, 9/20/21 125,000 $125,044
Capital Auto Receivables Asset Trust 2013-3, Floating Rate Note, 11/20/15 250,000 $250,178
Capital One Financial Corp., 1.0%, 11/6/15 475,000 $477,490
Capital One Financial Corp., 2.15%, 3/23/15 1,500,000 $1,527,061
Capital One Financial Corp., Floating Rate Note, 11/6/15 750,000 $755,310
Capital One Multi-Asset Execution Trust, Floating Rate Note, 2/15/19 300,000 $299,990
Capital One NA, Floating Rate Note, 3/22/16 700,000 $703,238
Cardinal Health, Inc., 4.0%, 6/15/15 500,000 $517,491
CarMax Auto Owner Trust 2012-1, 0.89%, 9/15/16 745,000 $350,917
CarMax Auto Owner Trust 2013-3, 2.15%, 7/15/18 540,000 $545,830
Carrington Mortgage Loan Trust Series 2005-NC1, Floating Rate Note, 2/26/35 1,496,373 $397,391
Carrington Mortgage Loan Trust Series 2006-OPT1, Floating Rate Note, 2/25/36 5,047,000 $1,088,704
Castle Garden Funding, Floating Rate Note, 10/27/20 (144A) 2,000,000 $490,845
Caterpillar Financial Services Corp., 1.0%, 11/25/16 1,000,000 $1,004,604
Caterpillar Financial Services Corp., 1.35%, 9/6/16 1,125,000 $1,141,597
CD 2005-CD1 Commercial Mortgage Trust, Floating Rate Note, 7/15/44 940,000 $929,065
CDC Mortgage Capital Trust 2002-HE1, Floating Rate Note, 1/25/33 19,484,513 $411,724
Cendant Mortgage Corp., 6.25%, 3/25/32 (144A) 4,100,000 $521,301
Centerpoint Energy Transition Bond Co II LLC, 5.17%, 8/1/19 720,000 $773,022
Centex Home Equity Loan Trust 2005-B, 4.893%, 3/25/35 (Step) 3,300,000 $815,236
CeramTec Acquisition Corp., Initial Dollar Term B-2 Loan, 8/30/20 20,955 $21,003
CeramTec GmbH, Dollar Term B-3 Loan, 8/30/20 64,096 $64,243
CeramTec Service GmbH, Initial Dollar Term B-1 Loan, 8/30/20 211,444 $211,929
CGBAM Commercial Mortgage Trust 2014-HD, Floating Rate Note, 2/15/31 310,000 $310,342
CG-CCRE Commercial Mortgage Trust 2014-FL1, Floating Rate Note, 6/15/31 (144A) 1,630,000 $1,630,522
CGWF Commercial Mortgage Trust 2013-RKWH REMICS, Floating Rate Note, 11/15/30 (144A) 1,720,000 $1,736,018
Chase Funding Trust Series 2003-3, Floating Rate Note, 4/25/33 13,029,694 $135,698
Chase Funding Trust Series 2003-6, 4.277%, 11/27/34 (Step) 1,400,000 $214,262
Chase Issuance Trust, 0.59%, 8/15/17 300,000 $300,357
Chase Issuance Trust, 0.79%, 6/15/17 1,200,000 $1,204,119
Chase Mortgage Finance Trust Series 2005-S1, 5.5%, 5/25/35 4,068,000 $100,621
Chesapeake Funding LLC, Floating Rate Note, 3/7/26 750,000 $750,498
Chesapeake Funding LLC, Floating Rate Note, 5/7/24 (144A) 200,000 $141,373
Chesapeake Funding LLC, Floating Rate Note, 5/7/24 (144A) 250,000 $252,045
CHL Mortgage Pass-Through Trust 2002-J4, 5.5%, 10/25/32 10,625,000 $730,163
CHL Mortgage Pass-Through Trust 2004-14, Floating Rate Note, 8/25/34 1,250,000 $174,527
CHL Mortgage Pass-Through Trust 2004-29, Floating Rate Note, 2/25/35 17,457,000 $927,697
Chrysler Group LLC, Term Loan B, 5/24/17 902,100 $903,505
Chrysler Group LLC, Tranche B Term Loan, 12/29/18 598,500 $596,734
CHS, 2017 Term E Loan, 1/25/17 99,876 $100,071
CHS, 2021 Term D Loan, 1/27/21 266,202 $267,200
Cinedigm Digital Funding I LLC, Term Loan, 2/28/18 171,637 $171,958
Citibank Credit Card Issuance Trust, 4.85%, 3/10/17 500,000 $523,215
Citibank Credit Card Issuance Trust, 5.1%, 11/20/17 500,000 $533,894
Citibank Credit Card Issuance Trust, Floating Rate Note, 4/24/17 800,000 $799,809
Citicorp Mortgage Securities REMIC Pass-Through Certificates Trust Series 2005-7, 5.0%, 10/25/35 5,635,000 $566,428
Citigroup, Inc., 1.3%, 4/1/16 500,000 $504,637
Citigroup, Inc., 5.0%, 9/15/14 2,250,000 $2,303,878
Citigroup, Inc., 5.5%, 10/15/14 430,000 $441,194
Citigroup, Inc., Floating Rate Note, 11/15/16 750,000 $754,899
Citigroup, Inc., Floating Rate Note, 4/1/16 500,000 $503,432
Citigroup, Inc., Floating Rate Note, 7/25/16 750,000 $757,991
Citigroup Commercial Mortgage Trust 2005-C3, 4.86%, 5/15/43 2,310,000 $2,251,758
Citigroup Commercial Mortgage Trust 2007-FL3, Floating Rate Note, 4/15/22 (144A) 580,444 $575,981
Citigroup Mortgage Loan Trust, Inc., 7.0%, 9/25/33 7,340,000 $101,370
Citigroup Mortgage Loan Trust, Inc., Floating Rate Note, 10/25/35 1,471,464 $17,262
Citigroup Mortgage Loan Trust, Inc., Floating Rate Note, 11/25/34 900,000 $59,503
Citigroup Mortgage Loan Trust, Inc., Floating Rate Note, 4/25/35 1,750,000 $180,104
Citigroup Mortgage Loan Trust 2006-SHL1, Floating Rate Note, 11/25/45 (144A) 3,365,000 $388,629
Citigroup Mortgage Loan Trust 2010-4 REMICS, 5.0%, 10/25/35 (144A) 2,735,000 $948,468
Citigroup Mortgage Loan Trust 2010-7 REMICS, Floating Rate Note, 9/25/37 (144A) 1,905,250 $481,207
Citrus Re, Ltd., Floating Rate Note, 4/18/17 (Cat Bond) (144A) 250,000 $247,843
Citrus Re, Ltd., Floating Rate Note, 4/24/17 (Cat Bond) (144A) 600,000 $594,938
CNH Equipment Trust 2012-C, 0.57%, 12/15/17 75,000 $63,389
CNH Wholesale Master Note Trust, Floating Rate Note, 8/15/19 (144A) 525,000 $526,591
CNL Commercial Mortgage Loan Trust 2002-1, Floating Rate Note, 10/25/28 (144A) 8,975,000 $302,543
CNL Commercial Mortgage Loan Trust 2003-1, Floating Rate Note, 5/15/31 (144A) 5,443,000 $512,627
CNL Commercial Mortgage Loan Trust 2003-2, Floating Rate Note, 10/25/30 (144A) 1,000,000 $92,353
Coca-Cola Enterprises, Inc., 2.125%, 9/15/15 189,000 $193,581
Collateralized Mortgage Obligation Trust 44, Floating Rate Note, 7/1/18 13,590,000 $55,575
Colony American Homes 2014-1, Floating Rate Note, 5/19/31 700,000 $700,028
Colony American Homes 2014-2, Floating Rate Note, 7/17/31 (144A) 600,000 $597,578
Combine Re, Ltd., Floating Rate Note, 1/7/15 (Cat Bond) (144A) 400,000 $413,929
Combine Re, Ltd., Floating Rate Note, 1/7/15 (Cat Bond) (144A) 1,000,000 $1,011,050
COMM 2005-C6 Mortgage Trust, Floating Rate Note, 6/10/44 1,630,000 $1,700,518
COMM 2005-C6 Mortgage Trust, Floating Rate Note, 6/10/44 770,000 $765,100
COMM 2007-FL14 Mortgage Trust, Floating Rate Note, 6/15/22 (144A) 2,937,000 $617,264
COMM 2011-FL1 Mortgage Trust, Floating Rate Note, 7/19/28 (144A) 200,000 $64,713
COMM 2013-FL3 Mortgage Trust, Floating Rate Note, 10/13/28 (144A) 1,000,000 $799,427
COMM 2014-KYO Mortgage Trust, Floating Rate Note, 6/11/27 (144A) 1,630,000 $1,633,519
COMM 2014-SAVA Mortgage Trust, Floating Rate Note, 6/15/34 (144A) 1,110,000 $1,110,774
COMM 2014-TWC Mortgage Trust, Floating Rate Note, 2/13/32 (144A) 1,850,000 $1,869,541
Commercial Mortgage Pass Through Certificates, Floating Rate Note, 11/19/26 (144A) 600,000 $544,416
Commercial Mortgage Trust 2005-GG3, Floating Rate Note, 8/10/42 1,000,000 $1,018,421
Commercial Mortgage Trust 2005-GG3, Floating Rate Note, 8/10/42 485,000 $438,882
Commercial Mortgage Trust 2005-GG5, Floating Rate Note, 4/10/37 2,075,000 $2,176,029
Commonwealth Bank of Australia, Floating Rate Note, 3/13/17 (144A) 650,000 $651,356
Commonwealth Bank of Australia, Floating Rate Note, 9/18/15 (144A) 460,000 $464,161
Commonwealth Edison Co., 1.95%, 9/1/16 500,000 $515,770
Commonwealth of Massachusetts, Floating Rate Note, 11/1/25 1,000,000 $979,947
Compass Re, Ltd., Floating Rate Note, 1/8/15 (Cat Bond) (144A) 375,000 $380,072
ConocoPhillips Co., 1.05%, 12/15/17 1,000,000 $990,077
Conseco Finance Corp., 7.55%, 4/15/32 (Step) 2,740,000 $262,423
Conseco Finance Corp., Floating Rate Note, 11/15/32 800,000 $4,074
Conseco Finance Home Equity Loan Trust 2002-C, Floating Rate Note, 5/15/32 2,875,000 $828,847
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA New York, Floating Rate Note, 3/18/16 500,000 $503,185
Costco Wholesale Corp., 1.125%, 12/15/17 740,000 $734,784
Countrywide Asset-Backed Certificates, Floating Rate Note, 1/25/36 330,000 $51,461
Countrywide Asset-Backed Certificates, Floating Rate Note, 11/25/34 4,839,000 $152,927
Countrywide Asset-Backed Certificates, Floating Rate Note, 11/25/35 (144A) 2,175,000 $94,671
Countrywide Asset-Backed Certificates, Floating Rate Note, 2/25/33 244,000 $54,371
Countrywide Asset-Backed Certificates, Floating Rate Note, 2/25/36 1,814,000 $354,553
Countrywide Asset-Backed Certificates, Floating Rate Note, 3/25/35 1,300,000 $381,149
Countrywide Asset-Backed Certificates, Floating Rate Note, 5/25/36 1,600,000 $139,848
Countrywide Asset-Backed Certificates, Floating Rate Note, 6/25/35 1,554,000 $179,245
Countrywide Asset-Backed Certificates, Floating Rate Note, 6/25/36 284,000 $65,686
Countrywide Asset-Backed Certificates, Floating Rate Note, 9/25/34 (144A) 8,600,000 $499,504
County of Power Idaho, 5.625%, 10/1/14 1,000,000 $1,028,520
Covidien International Finance SA, 1.35%, 5/29/15 750,000 $756,953
CPS Auto Receivables Trust 2013-A, 1.89%, 6/15/20 (144A) 690,000 $462,711
CPS Auto Receivables Trust 2013-B, 1.82%, 9/15/20 (144A) 157,000 $96,786
CPS Auto Receivables Trust 2014-A, 1.21%, 8/15/18 200,000 $173,710
Credit Acceptance Auto Loan Trust 2013-2, 1.5%, 4/15/21 (144A) 1,000,000 $1,005,417
Credit Suisse Commercial Mortgage Trust Series 2007-C1, 5.361%, 2/15/40 1,300,000 $1,060,390
Credit Suisse First Boston Mortgage Securities Corp., 4.686%, 7/15/37 890,000 $890,771
Credit Suisse First Boston Mortgage Securities Corp., 4.829%, 11/15/37 204,829 $148,251
Credit Suisse First Boston Mortgage Securities Corp., 4.832%, 4/15/37 1,080,143 $1,104,398
Credit Suisse First Boston Mortgage Securities Corp., 4.877%, 4/15/37 500,000 $507,575
Credit Suisse First Boston Mortgage Securities Corp., 5.25%, 10/25/19 1,196,000 $57,265
Credit Suisse First Boston Mortgage Securities Corp., 5.5%, 6/25/33 200,000 $48,685
Credit Suisse First Boston Mortgage Securities Corp., 5.5%, 8/25/34 18,567,000 $60,539
Credit Suisse First Boston Mortgage Securities Corp., 7.5%, 5/25/32 15,000,000 $329,806
Credit Suisse First Boston Mortgage Securities Corp., Floating Rate Note, 11/25/33 1,400,000 $78,915
Credit Suisse First Boston Mortgage Securities Corp., Floating Rate Note, 12/17/40 2,030,000 $1,506,248
Credit Suisse First Boston Mortgage Securities Corp., Floating Rate Note, 12/25/33 700,000 $35,803
Credit Suisse First Boston Mortgage Securities Corp., Floating Rate Note, 2/15/38 855,000 $705,076
Credit Suisse First Boston Mortgage Securities Corp., Floating Rate Note, 8/15/38 1,900,440 $1,802,621
Credit Suisse Mortgage Capital Certificates REMICS, Floating Rate Note, 7/27/36 (144A) 3,494,698 $787,463
Cronos Containers Program, Ltd., 3.81%, 9/18/27 (144A) 500,000 $409,587
Crown Castle Towers LLC, 3.214%, 8/15/15 (144A) 500,000 $508,636
Csfb Flt% 25jul35 05-6-1a2 2,850,000 $329,137
CSMC Series 2014-ICE, Floating Rate Note, 12/15/29 1,950,000 $1,952,232
CSMC Trust 2010-16, Floating Rate Note, 6/25/50 (144A) 600,000 $247,335
CSMC Trust 2014-SURF, Floating Rate Note, 2/15/29 (144A) 700,000 $701,810
Daimler Finance North America LLC, 1.45%, 8/1/16 (144A) 1,000,000 $1,016,718
Daimler Finance North America LLC, Floating Rate Note, 3/10/17 (144A) 750,000 $751,394
Daimler Finance North America LLC, Floating Rate Note, 8/1/17 (144A) 617,000 $617,183
Darling Ingredients, Inc., Term B USD Loan, 12/19/20 523,688 $523,517
Dartmouth Zero% 31dec14 700,000 $677,810
Del Coronado Trust 2013-DEL, Floating Rate Note, 3/15/26 (144A) 300,000 $300,014
Del Coronado Trust 2013-DEL, Floating Rate Note, 3/15/26 (144A) 399,000 $398,020
Dell Equipment Finance Trust 2014-1, 2.68%, 6/22/20 (144A) 750,000 $750,447
DELOS FINANCE SARL, Loan, 2/27/21 425,000 $424,924
Delta Air Lines, Inc., 2014 Term B-1 Loan, 10/18/18 99,495 $99,420
Devon Energy Corp., 1.2%, 12/15/16 500,000 $501,250
Devon Energy Corp., Floating Rate Note, 12/15/15 1,500,000 $1,506,772
Diamond Resorts Owner Trust 2013-2, 2.62%, 3/1/24 750,000 $543,140
Digital Realty Trust LP, 4.5%, 7/15/15 650,000 $668,193
Direct Capital Funding V LLC, 1.673%, 12/20/17 (144A) 175,000 $51,109
Direct Capital Funding V LLC, 4.83%, 11/20/20 (144A) 750,000 $763,496
Discover Card Execution Note Trust, 0.81%, 8/15/17 500,000 $501,403
Discover Card Execution Note Trust, Floating Rate Note, 10/15/18 200,000 $199,997
Discovery Communications LLC, 3.7%, 6/1/15 750,000 $774,490
Drug Royalty II LP 2, Floating Rate Note, 7/15/23 (144A) 250,000 $246,910
DT Auto Owner Trust 2013-1, 1.67%, 2/15/19 (144A) 629,000 $631,675
Duke Energy Carolinas LLC, 1.75%, 12/15/16 750,000 $766,743
Duke Energy Corp., 3.95%, 9/15/14 395,000 $402,491
Duke Energy Florida, Inc., 0.65%, 11/15/15 500,000 $501,206
Duke Energy Indiana, Inc., Floating Rate Note, 7/11/16 303,000 $304,170
Duke Energy Progress, Inc., Floating Rate Note, 3/6/17 411,000 $411,486
East Lane Re, Ltd., Floating Rate Note, 3/13/15 (Cat Bond) (144A) 500,000 $509,606
East Lane Re VI, Ltd., Floating Rate Note, 3/14/18 (Cat Bond) (144A) 500,000 $495,149
Electricite de France SA, Floating Rate Note, 1/20/17 (144A) 750,000 $752,214
Ellington Loan Acquisition Trust 2007-1, Floating Rate Note, 5/26/37 (144A) 550,000 $513,189
Enbridge, Inc., Floating Rate Note, 10/1/16 500,000 $503,051
Endo Luxembourg Finance I 1st Lien Tl-B L + 2.5% 05nov20 498,750 $497,503
Energy Transfer Partners LP, 5.95%, 2/1/15 725,000 $765,332
Enterprise Products Operating LLC, 3.2%, 2/1/16 1,000,000 $1,051,780
Enterprise Products Operating LLC, 3.7%, 6/1/15 500,000 $516,016
EQTY 2014-INNS Mortgage Trust, Floating Rate Note, 5/8/19 (144A) 1,020,000 $1,020,968
Equity One Mortgage Pass-Through Trust 2003-1, Floating Rate Note, 8/25/33 11,389,000 $387,989
Equity One Mortgage Pass-Through Trust 2004-1, Floating Rate Note, 4/25/34 1,840,000 $471,231
Equity One Mortgage Pass-Through Trust 2004-2, Floating Rate Note, 7/25/34 1,925,000 $497,917
Equity One Mortgage Pass-Through Trust 2004-3, Floating Rate Note, 7/25/34 3,011,000 $184,447
Exeter Automobile Receivables Trust 2014-2, 1.06%, 8/15/18 400,000 $379,542
Export-Import Bank of Korea, 1.25%, 11/20/15 500,000 $503,421
Express Scripts Holding Co., 2.1%, 2/12/15 732,000 $745,443
Express Scripts Holding Co., 2.25%, 6/15/19 750,000 $745,043
Express Scripts Holding Co., 2.75%, 11/21/14 900,000 $911,430
Express Scripts Holding Co., 3.125%, 5/15/16 1,000,000 $1,045,594
Extended Stay America Trust 2013-ESH, 1.2783%, 12/5/31 (144A) 723,000 $718,565
Extended Stay America Trust 2013-ESH, Floating Rate Note, 12/5/31 (144A) 200,000 $200,076
Extended Stay America Trust 2013-ESH, Floating Rate Note, 12/5/31 (144A) 200,000 $200,039
Fannie Mae, 2.5%, 3/1/28 1,500,000 $1,317,887
Fannie Mae, 2.5%, 6/1/23 526,320 $445,909
Fannie Mae, 3.0%, 10/1/27 2,000,000 $1,402,411
Fannie Mae, 3.0%, 11/1/27 2,000,000 $1,648,150
Fannie Mae, 4.5%, 1/1/41 580,000 $311,773
Fannie Mae, 4.5%, 5/1/39 1,350,000 $548,800
Fannie Mae, 4.5%, 5/1/39 2,100,000 $926,372
Fannie Mae, 5.0%, 10/1/41 1,736,000 $864,150
Fannie Mae, 5.0%, 7/1/15 1,000,000 $20,105
Fannie Mae, 5.5%, 12/1/35 1,000,000 $79,564
Fannie Mae, 5.5%, 8/1/37 2,000,000 $413,893
Fannie Mae, 6.0%, 10/1/22 973,454 $330,981
Fannie Mae, 6.0%, 2/1/34 1,400,000 $38,292
Fannie Mae, 6.0%, 4/1/38 483,000 $46,289
Fannie Mae, 6.5%, 4/1/29 9,050,000 $328,867
Fannie Mae, 6.5%, 6/1/16 700,000 $2,441
Fannie Mae, 6.5%, 7/1/32 723,471 $9,071
Fannie Mae, 6.5%, 8/1/17 667,089 $20,748
Fannie Mae, 7.0%, 1/1/36 1,000,000 $40,927
Fannie Mae, 7.0%, 10/1/19 19,053,741 $150,057
Fannie Mae, 7.0%, 7/1/17 3,768,412 $51,824
Fannie Mae, Floating Rate Note, 1/1/25 7,000,000 $57,782
Fannie Mae, Floating Rate Note, 10/1/29 4,831,796 $105,955
Fannie Mae, Floating Rate Note, 10/1/29 10,892,567 $86,807
Fannie Mae, Floating Rate Note, 10/1/36 1,877,185 $318,564
Fannie Mae, Floating Rate Note, 11/1/24 7,000,000 $91,632
Fannie Mae, Floating Rate Note, 11/1/25 700,000 $3,577
Fannie Mae, Floating Rate Note, 11/1/40 9,368,434 $118,653
Fannie Mae, Floating Rate Note, 12/1/28 1,112,489 $53,162
Fannie Mae, Floating Rate Note, 12/1/36 6,500,000 $276,413
Fannie Mae, Floating Rate Note, 2/1/27 4,000,000 $16,335
Fannie Mae, Floating Rate Note, 2/1/33 380,000 $1,819
Fannie Mae, Floating Rate Note, 4/1/28 400,000 $3,361
Fannie Mae, Floating Rate Note, 4/1/29 400,000 $2,918
Fannie Mae, Floating Rate Note, 7/1/36 500,000 $60,880
Fannie Mae Connecticut Avenue Securities, Floating Rate Note, 10/25/23 544,000 $496,890
Fannie Mae Grantor Trust 2001-T1, Floating Rate Note, 10/25/40 51,205,518 $3,373,723
Fannie Mae Trust 2005-W4, Floating Rate Note, 6/25/35 1,600,000 $267,823
Fannie Mae Whole Loan, Floating Rate Note, 11/25/46 2,393,000 $458,233
FDIC 2010-R1 Trust, 2.184%, 5/25/50 (144A) 2,060,000 $834,850
Federal Home Loan Banks, 2.9%, 4/20/17 1,370,000 $283,895
Federal Home Loan Mortgage Corp., 0.5%, 10/24/16 1,000,000 $1,001,894
Federal Home Loan Mortgage Corp., 2.5%, 10/1/27 1,247,958 $1,018,741
Federal Home Loan Mortgage Corp., 3.5%, 8/15/28 500,000 $189,198
Federal Home Loan Mortgage Corp., 4.0%, 1/15/34 5,000,000 $341,280
Federal Home Loan Mortgage Corp., 4.0%, 5/1/24 2,400,000 $271,704
Federal Home Loan Mortgage Corp., 4.0%, 5/15/37 1,753,000 $181,877
Federal Home Loan Mortgage Corp., 4.5%, 7/1/19 1,467,130 $186,172
Federal Home Loan Mortgage Corp., 4.5%, 7/1/19 1,381,464 $216,096
Federal Home Loan Mortgage Corp., 5.0%, 12/1/39 265,000 $125,451
Federal Home Loan Mortgage Corp., 5.0%, 2/1/21 1,000,000 $93,786
Federal Home Loan Mortgage Corp., 5.0%, 4/15/32 3,500,000 $235,848
Federal Home Loan Mortgage Corp., 5.5%, 8/1/23 1,563,938 $71,233
Federal Home Loan Mortgage Corp., 5.75%, 2/15/34 1,034,000 $82,871
Federal Home Loan Mortgage Corp., 6.5%, 7/1/16 2,000,000 $10,073
Federal Home Loan Mortgage Corp., Floating Rate Note, 1/1/28 500,000 $3,137
Federal Home Loan Mortgage Corp., Floating Rate Note, 1/15/33 40,000,000 $1,902,177
Federal Home Loan Mortgage Corp., Floating Rate Note, 1/15/35 1,635,000 $252,683
Federal Home Loan Mortgage Corp., Floating Rate Note, 10/1/31 19,044,336 $345,571
Federal Home Loan Mortgage Corp., Floating Rate Note, 11/1/31 1,399,950 $6,839
Federal Home Loan Mortgage Corp., Floating Rate Note, 11/15/36 2,046,908 $115,144
Federal Home Loan Mortgage Corp., Floating Rate Note, 12/1/31 49,986,196 $271,643
Federal Home Loan Mortgage Corp., Floating Rate Note, 12/5/14 1,880,000 $1,880,633
Federal Home Loan Mortgage Corp., Floating Rate Note, 2/17/32 12,638,000 $366,366
Federal Home Loan Mortgage Corp., Floating Rate Note, 3/15/30 1,147,667 $525,607
Federal Home Loan Mortgage Corp., Floating Rate Note, 3/15/32 26,000,000 $350,157
Federal Home Loan Mortgage Corp., Floating Rate Note, 3/15/41 2,498,000 $951,769
Federal Home Loan Mortgage Corp., Floating Rate Note, 4/1/25 13,000,000 $18,227
Federal Home Loan Mortgage Corp., Floating Rate Note, 4/1/29 160,000 $2,034
Federal Home Loan Mortgage Corp., Floating Rate Note, 4/15/33 22,025,143 $957,210
Federal Home Loan Mortgage Corp., Floating Rate Note, 4/15/36 4,003,000 $750,121
Federal Home Loan Mortgage Corp., Floating Rate Note, 5/1/25 588,110 $6,501
Federal Home Loan Mortgage Corp., Floating Rate Note, 7/1/18 2,100,000 $4,947
Federal Home Loan Mortgage Corp., Floating Rate Note, 7/15/19 1,500,000 $123,369
Federal Home Loan Mortgage Corp., Floating Rate Note, 7/15/28 52,559,000 $402,002
Federal Home Loan Mortgage Corp., Floating Rate Note, 8/1/31 500,000 $1,509
Federal Home Loan Mortgage Corp., Floating Rate Note, 8/1/31 12,000,000 $112,852
Federal Home Loan Mortgage Corp., Floating Rate Note, 8/15/19 6,831,666 $260,523
Federal Home Loan Mortgage Corp. REMICS, 3.5%, 10/15/18 500,000 $109,559
Federal Home Loan Mortgage Corp. REMICS, 3.5%, 6/15/28 1,119,000 $173,547
Federal Home Loan Mortgage Corp. REMICS, 4.0%, 12/15/22 890,000 $23,140
Federal Home Loan Mortgage Corp. REMICS, 5.0%, 6/15/34 401,000 $44,817
Federal Home Loan Mortgage Corp. REMICS, 5.5%, 10/15/35 1,625,000 $92,898
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 1/15/36 400,312 $92,133
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 1/15/37 16,831,292 $1,263,677
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 10/15/20 9,083,556 $195,364
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 10/15/37 3,873,000 $319,154
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 11/15/36 1,229,000 $252,095
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 11/15/36 994,698 $54,594
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 11/15/36 600,000 $116,289
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 11/15/37 3,358,000 $597,531
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/32 2,900,000 $262,995
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/32 1,931,288 $178,270
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/35 2,232,000 $402,815
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/36 6,932,100 $610,782
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/39 666,000 $294,359
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/30 586,107 $290,997
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/32 15,205,000 $274,388
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/33 20,000,000 $292,587
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/36 909,000 $177,782
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/37 2,840,000 $196,276
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/39 288,000 $164,140
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/41 1,878,046 $413,742
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/42 350,000 $217,783
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 3/15/32 35,466,000 $353,091
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 3/15/32 15,667,000 $207,683
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 3/15/38 2,600,000 $1,016,273
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 3/15/41 3,243,333 $847,771
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 4/15/27 22,817,000 $272,587
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 4/15/28 10,000,000 $165,968
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 4/15/36 728,000 $163,241
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 4/15/41 2,446,437 $539,849
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 5/15/36 4,000,000 $332,687
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 5/15/36 2,159,000 $173,531
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 5/15/41 638,000 $131,501
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 6/15/36 1,288,000 $146,601
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 6/15/41 1,220,000 $356,495
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 7/15/23 835,000 $206,387
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 7/15/36 3,107,000 $273,046
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 8/15/18 600,000 $131,404
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 8/15/25 970,000 $336,802
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 8/15/25 8,280,485 $742,323
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 8/15/26 370,000 $149,550
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 8/15/35 462,000 $101,673
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 8/15/36 5,044,000 $306,470
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 9/15/26 385,000 $243,132
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 9/15/33 2,647,000 $222,751
Federal National Mortgage Association, 0.75%, 8/16/17 410,000 $411,079
Federal National Mortgage Association, 2.5%, 4/25/36 635,000 $252,486
Federal National Mortgage Association, 2.5%, 9/1/22 2,000,000 $1,430,980
Federal National Mortgage Association, 2.665%, 4/25/45 1,250,000 $245,655
Federal National Mortgage Association, 2.75%, 6/25/20 1,750,000 $543,025
Federal National Mortgage Association, 2.832%, 7/25/42 11,000,000 $961,698
Federal National Mortgage Association, 3.0%, 12/1/21 2,000,000 $1,029,847
Federal National Mortgage Association, 3.0%, 6/25/39 2,000,000 $298,615
Federal National Mortgage Association, 3.5%, 1/25/24 7,225,000 $565,312
Federal National Mortgage Association, 3.5%, 3/25/28 2,344,102 $325,945
Federal National Mortgage Association, 3.5%, 7/25/24 1,250,000 $323,292
Federal National Mortgage Association, 4.0%, 1/1/20 7,280,000 $1,421,988
Federal National Mortgage Association, 4.0%, 10/1/20 4,317,004 $1,444,723
Federal National Mortgage Association, 4.0%, 3/1/21 4,071,760 $1,457,776
Federal National Mortgage Association, 4.5%, 10/25/38 5,000,000 $353,484
Federal National Mortgage Association, 4.5%, 3/25/37 6,000,000 $213,160
Federal National Mortgage Association, 4.5%, 6/25/40 4,200,000 $1,220,340
Federal National Mortgage Association, 4.5%, 8/25/27 4,509,000 $321,359
Federal National Mortgage Association, 5.0%, 6/25/32 18,817,000 $351,191
Federal National Mortgage Association, 5.0%, 7/25/32 7,363,000 $344,398
Federal National Mortgage Association, 5.0%, 8/25/22 9,200,000 $256,645
Federal National Mortgage Association, Floating Rate Note, 10/18/32 11,398,000 $396,401
Federal National Mortgage Association, Floating Rate Note, 11/25/27 15,797,000 $541,685
Federal National Mortgage Association, Floating Rate Note, 2/25/23 77,000,000 $419,550
Federal National Mortgage Association, Floating Rate Note, 3/25/36 2,108,510 $506,102
Federal National Mortgage Association, Floating Rate Note, 4/25/33 36,000,000 $1,095,624
Federal National Mortgage Association, Floating Rate Note, 6/25/32 20,421,000 $600,021
Federal National Mortgage Association, Floating Rate Note, 6/25/36 7,000,000 $872,052
Federal National Mortgage Association, Floating Rate Note, 6/25/36 6,118,000 $1,127,619
Federal National Mortgage Association, Floating Rate Note, 7/25/27 1,402,000 $83,134
Federal National Mortgage Association, Floating Rate Note, 8/25/35 2,868,000 $383,078
Federal National Mortgage Association, Floating Rate Note, 9/25/22 3,000,000 $134,525
Federal National Mortgage Association 2004-T2, 3.339%, 7/25/43 6,750,000 $1,001,341
Federal National Mortgage Association 2006-48-T, 5.5%, 12/25/34 1,716,418 $624,147
Federal National Mortgage Association REMICS, 1.5%, 11/25/20 745,000 $197,390
Federal National Mortgage Association REMICS, 1.75%, 12/25/22 1,000,000 $335,453
Federal National Mortgage Association REMICS, 3.0%, 1/25/21 2,950,000 $647,885
Federal National Mortgage Association REMICS, 3.0%, 4/25/40 1,110,000 $197,591
Federal National Mortgage Association REMICS, 3.5%, 10/25/39 490,000 $321,351
Federal National Mortgage Association REMICS, 4.0%, 5/25/29 2,000,000 $2,122,183
Federal National Mortgage Association REMICS, 4.0%, 6/25/37 900,000 $54,701
Federal National Mortgage Association REMICS, 5.0%, 9/25/39 110,000 $23,987
Federal National Mortgage Association REMICS, 6.0%, 3/25/35 1,000,000 $50,674
Federal National Mortgage Association REMICS, 6.0%, 6/25/29 685,000 $135,991
Federal National Mortgage Association REMICS, Floating Rate Note, 1/18/32 4,920,043 $79,858
Federal National Mortgage Association REMICS, Floating Rate Note, 1/25/24 51,985,111 $347,265
Federal National Mortgage Association REMICS, Floating Rate Note, 1/25/33 2,782,000 $108,495
Federal National Mortgage Association REMICS, Floating Rate Note, 1/25/34 10,970,000 $1,846,662
Federal National Mortgage Association REMICS, Floating Rate Note, 10/25/35 1,878,000 $206,113
Federal National Mortgage Association REMICS, Floating Rate Note, 10/25/36 11,844,000 $472,364
Federal National Mortgage Association REMICS, Floating Rate Note, 10/25/38 1,808,000 $220,166
Federal National Mortgage Association REMICS, Floating Rate Note, 10/27/37 1,375,920 $1,372,895
Federal National Mortgage Association REMICS, Floating Rate Note, 11/18/32 24,329,000 $505,423
Federal National Mortgage Association REMICS, Floating Rate Note, 11/25/36 2,248,000 $340,534
Federal National Mortgage Association REMICS, Floating Rate Note, 11/25/39 2,750,000 $548,183
Federal National Mortgage Association REMICS, Floating Rate Note, 12/18/32 6,330,000 $107,396
Federal National Mortgage Association REMICS, Floating Rate Note, 12/25/31 4,375,000 $185,721
Federal National Mortgage Association REMICS, Floating Rate Note, 12/25/32 34,313,143 $796,870
Federal National Mortgage Association REMICS, Floating Rate Note, 12/25/37 5,672,000 $218,143
Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/33 4,696,499 $258,264
Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/35 603,000 $200,658
Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/37 4,308,000 $222,416
Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/37 1,940,000 $221,217
Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/38 624,000 $193,063
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/24 4,129,409 $175,141
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/34 4,612,000 $301,129
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/34 763,500 $235,762
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/35 1,278,000 $294,154
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/36 11,585,646 $1,401,087
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/37 9,250,000 $328,001
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/37 8,873,506 $251,860
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/37 4,100,000 $309,436
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/37 960,000 $154,336
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/45 4,100,000 $684,543
Federal National Mortgage Association REMICS, Floating Rate Note, 4/25/32 10,133,000 $646,716
Federal National Mortgage Association REMICS, Floating Rate Note, 4/25/32 50,000,000 $697,567
Federal National Mortgage Association REMICS, Floating Rate Note, 4/25/34 644,866 $85,741
Federal National Mortgage Association REMICS, Floating Rate Note, 4/25/36 1,737,000 $369,606
Federal National Mortgage Association REMICS, Floating Rate Note, 5/18/32 31,809,000 $754,305
Federal National Mortgage Association REMICS, Floating Rate Note, 5/25/17 20,000,000 $181,287
Federal National Mortgage Association REMICS, Floating Rate Note, 5/25/33 4,068,000 $114,042
Federal National Mortgage Association REMICS, Floating Rate Note, 5/25/36 6,641,000 $255,182
Federal National Mortgage Association REMICS, Floating Rate Note, 5/25/37 6,826,000 $285,206
Federal National Mortgage Association REMICS, Floating Rate Note, 5/25/40 761,373 $373,263
Federal National Mortgage Association REMICS, Floating Rate Note, 6/25/35 7,977,000 $720,135
Federal National Mortgage Association REMICS, Floating Rate Note, 6/25/36 2,317,493 $264,457
Federal National Mortgage Association REMICS, Floating Rate Note, 6/25/37 4,600,000 $378,587
Federal National Mortgage Association REMICS, Floating Rate Note, 6/25/37 1,010,000 $106,360
Federal National Mortgage Association REMICS, Floating Rate Note, 6/25/37 2,134,162 $302,753
Federal National Mortgage Association REMICS, Floating Rate Note, 6/25/38 2,355,000 $196,444
Federal National Mortgage Association REMICS, Floating Rate Note, 7/25/34 1,642,000 $120,120
Federal National Mortgage Association REMICS, Floating Rate Note, 7/25/35 750,000 $175,616
Federal National Mortgage Association REMICS, Floating Rate Note, 7/25/35 3,227,000 $422,532
Federal National Mortgage Association REMICS, Floating Rate Note, 7/25/38 6,812,000 $396,381
Federal National Mortgage Association REMICS, Floating Rate Note, 8/25/36 4,040,000 $504,173
Federal National Mortgage Association REMICS, Floating Rate Note, 8/25/40 692,000 $357,075
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/33 4,915,594 $599,009
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/36 1,275,000 $194,335
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/36 3,447,000 $255,963
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/37 2,706,000 $363,901
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/37 679,000 $97,592
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/37 2,524,000 $115,830
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/37 3,700,000 $391,741
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/39 683,053 $121,846
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/41 750,000 $488,351
FHLMC Structured Pass Through Securities, Floating Rate Note, 12/25/29 12,000,000 $193,895
Fieldstone Mortgage Investment Trust Series 2005-1, Floating Rate Note, 3/25/35 311,000 $133,018
Fieldwood Energy LLC, Closing Date Loan, 9/25/18 993,747 $996,093
Fifth Third Bancorp, Floating Rate Note, 12/20/16 730,000 $725,579
Fifth Third Bank Cincinnati Ohio, 1.15%, 11/18/16 750,000 $752,767
Fifth Third Bank Cincinnati Ohio, 4.75%, 2/1/15 1,250,000 $1,305,551
Fifth Third Bank Cincinnati Ohio, Floating Rate Note, 2/26/16 500,000 $501,592
First Franklin Mortgage Loan Trust 2002-FFA, Floating Rate Note, 9/25/32 5,500,000 $318,227
First Franklin Mortgage Loan Trust 2003-FFC, Floating Rate Note, 11/25/32 8,000,000 $441,168
First Franklin Mortgage Loan Trust 2005-FFH3, Floating Rate Note, 9/25/35 1,100,000 $603,148
First Horizon Mortgage Pass-Through Trust 2004-AR1, Floating Rate Note, 2/25/34 1,500,000 $60,636
First Horizon Mortgage Pass-Through Trust 2004-AR5, Floating Rate Note, 10/25/34 940,000 $62,337
First Investors Auto Owner Trust 2012-2, 1.47%, 5/15/18 (144A) 200,000 $68,626
First Investors Auto Owner Trust 2013-1, 1.81%, 10/15/18 (144A) 55,000 $55,381
First Investors Auto Owner Trust 2013-1, 2.02%, 1/15/19 (144A) 200,000 $200,001
First Investors Auto Owner Trust 2013-2, 1.23%, 3/15/19 (144A) 1,048,000 $712,898
First Investors Auto Owner Trust 2013-3, 2.32%, 10/15/19 (144A) 300,000 $302,226
Firstmac Mortgage Funding Trust Series 1A-2014, Floating Rate Note, 6/26/15 750,000 $749,903
First NLC Trust 2005-2, Floating Rate Note, 9/25/35 3,362,996 $1,452,242
Flagstar Home Equity Loan Trust 2005-1, Floating Rate Note, 6/25/18 (144A) 4,800,000 $413,823
Fly Funding II Sarl, Loan, 8/8/18 390,000 $393,413
FMG Resources August 2006 Pty, Ltd., Loan, 6/30/19 98,258 $98,092
Foothill CLO, Ltd., Floating Rate Note, 2/22/21 (144A) 500,000 $378,304
Ford Credit Auto Lease Trust 2014-B, Floating Rate Note, 3/15/17 600,000 $600,016
Ford Credit Auto Owner Trust 2013-C, 0.55%, 4/15/16 385,000 $166,700
Ford Credit Auto Owner Trust 2013-D, 1.54%, 3/15/19 100,000 $100,022
Ford Credit Auto Owner Trust 2014-A, 0.48%, 11/15/16 260,000 $231,187
Ford Credit Floorplan Master Owner Trust A, Floating Rate Note, 9/15/16 500,000 $500,245
Ford Motor Credit Co LLC, 1.724%, 12/6/17 700,000 $699,354
Ford Motor Credit Co LLC, 2.375%, 1/16/18 250,000 $254,052
Ford Motor Credit Co LLC, 2.75%, 5/15/15 950,000 $971,506
Ford Motor Credit Co LLC, 2.875%, 10/1/18 500,000 $518,085
Ford Motor Credit Co LLC, 3.875%, 1/15/15 200,000 $203,311
Fore CLO, Ltd., Floating Rate Note, 7/20/19 (144A) 250,000 $68,211
Foresight Energy LLC, Term Loan, 8/21/20 132,083 $133,404
Fosse Master Issuer Plc, Floating Rate Note, 10/18/54 (144A) 100,000 $101,783
Foundation Re III, Ltd., Floating Rate Note, 2/25/15 (Cat Bond) (144A) 750,000 $760,838
Four Corners CLO II, Ltd., Floating Rate Note, 1/26/20 (144A) 553,000 $524,341
Franklin Resources, Inc., 3.125%, 5/20/15 940,000 $965,980
Freddie Mac REMICS, Floating Rate Note, 2/15/32 14,441,000 $1,038,092
Freddie Mac Strips, Floating Rate Note, 12/15/36 2,327,000 $167,985
Freddie Mac Strips, Floating Rate Note, 8/15/36 6,894,664 $407,533
Freddie Mac Structured Agency Credit Risk Debt Notes, Floating Rate Note, 11/27/23 750,000 $661,870
Freddie Mac Structured Agency Credit Risk Debt Notes, Floating Rate Note, 2/25/24 485,000 $465,999
FREMF Mortgage Trust 2012-K501, 3.486%, 11/25/46 (144A) 409,000 $421,510
Fresenius US Finance I, Inc., Tranche B Term Loan, 8/7/19 496,250 $496,974
Gale Force 3 Clo, Ltd., Floating Rate Note, 4/19/21 (144A) 500,000 $325,224
Galileo Re, Ltd., Floating Rate Note, 1/9/19 (Cat Bond) (144A) 750,000 $768,546
Garda World Security Corp., Term B Delayed Draw Loan, 11/8/20 123,176 $123,022
Garda World Security Corp., Term B Loan, 11/1/20 481,508 $480,906
Gator Re, Ltd., Floating Rate Note, 1/9/17 (Cat Bond) (144A) 600,000 $597,272
GATX Corp., 1.25%, 3/4/17 750,000 $748,925
GE Business Loan Trust 2003-1, Floating Rate Note, 4/15/31 (144A) 4,997,000 $254,923
GE Business Loan Trust 2003-2 REMICS, Floating Rate Note, 11/15/31 (144A) 1,409,576 $156,159
GE Business Loan Trust 2004-1, Floating Rate Note, 5/15/32 (144A) 4,436,203 $468,064
GE Business Loan Trust 2004-2, Floating Rate Note, 12/15/32 (144A) 2,533,274 $542,671
GE Business Loan Trust 2005-1, Floating Rate Note, 6/15/33 (144A) 1,192,482 $695,435
GE Business Loan Trust 2006-2, Floating Rate Note, 11/15/34 (144A) 1,920,423 $814,671
GE Business Loan Trust 2007-1, Floating Rate Note, 4/16/35 (144A) 1,150,000 $522,416
GE Capital Commercial Mortgage Corp., Floating Rate Note, 6/10/48 1,340,000 $1,362,383
GE Capital Commercial Mortgage Corp., Floating Rate Note, 7/10/45 (144A) 500,000 $509,335
GE Capital Credit Card Master Note Trust, 1.03%, 1/15/18 300,000 $300,887
GE Dealer Floorplan Master Note Trust, Floating Rate Note, 10/20/17 256,000 $256,591
GE Dealer Floorplan Master Note Trust, Floating Rate Note, 4/20/18 694,000 $696,126
GE Equipment Small Ticket LLC Series 2013-1, 0.73%, 1/25/16 (144A) 200,000 $163,835
GE Equipment Transportation LLC Series 2013-1, 0.5%, 11/24/15 165,000 $64,887
GE Equipment Transportation LLC Series 2013-2, 0.61%, 6/24/16 480,000 $461,098
General Electric Capital Corp., 1.625%, 7/2/15 485,000 $491,354
General Electric Capital Corp., Floating Rate Note, 1/14/16 925,000 $926,147
General Electric Capital Corp., Floating Rate Note, 1/8/16 915,000 $921,339
General Electric Capital Corp., Floating Rate Note, 5/11/16 350,000 $350,230
General Electric Capital Corp., Floating Rate Note, 5/15/17 750,000 $751,021
General Electric Capital Corp., Floating Rate Note, 7/12/16 296,000 $298,707
General Electric Capital Corp., Floating Rate Note, 7/2/15 665,000 $671,684
General Electric Capital Corp., Floating Rate Note, 8/1/17 500,000 $500,272
General Mills, Inc., 0.875%, 1/29/16 250,000 $250,534
General Mills, Inc., Floating Rate Note, 1/28/16 565,000 $565,362
Gentiva Health Services, Inc., Initial Term B Loan, 10/10/19 223,813 $224,336
Georgia Power Co., Floating Rate Note, 3/15/16 827,000 $826,944
Georgia Power Co., Floating Rate Note, 8/15/16 500,000 $500,674
Glencore Funding LLC, Floating Rate Note, 5/27/16 (144A) 1,000,000 $1,008,287
Global Container Assets 2013-1, Ltd., 2.2%, 11/5/28 (144A) 750,000 $576,253
Global Mortgage Securitization, Ltd., 5.25%, 4/25/32 (144A) 795,156 $254,265
Global Mortgage Securitization, Ltd., Floating Rate Note, 4/25/32 8,633,000 $880,853
Global SC Finance II SRL, 4.11%, 7/19/27 (144A) 250,000 $200,528
GMAC Commercial Mortgage Securities Inc Series 2004-C2 Trust, Floating Rate Note, 8/10/38 1,465,000 $264,938
GMAC Commercial Mortgage Securities Inc Series 2005-C1 Trust, 4.697%, 5/10/43 1,019,000 $1,041,925
GMAC Commercial Mortgage Securities Inc Series 2006-C1 Trust, Floating Rate Note, 11/10/45 2,370,000 $1,534,271
GMACM Mortgage Loan Trust 2004-AR1, Floating Rate Note, 6/25/34 2,100,000 $203,843
GMAT 2013-1 Trust, 3.9669%, 8/25/53 (Step) 630,000 $613,673
Government National Mortgage Association, 3.0%, 12/20/38 5,000,000 $1,579,010
Government National Mortgage Association, 3.0%, 12/20/38 1,000,000 $165,988
Government National Mortgage Association, 3.0%, 4/20/41 300,000 $271,272
Government National Mortgage Association, 3.5%, 2/20/33 1,500,000 $83,974
Government National Mortgage Association, 3.5%, 5/20/39 1,025,000 $624,355
Government National Mortgage Association, 3.5%, 8/20/38 1,115,000 $504,325
Government National Mortgage Association, 4.5%, 6/16/34 1,387,000 $55,981
Government National Mortgage Association, 5.0%, 1/20/16 3,500,000 $583,506
Government National Mortgage Association, 5.0%, 4/20/36 850,000 $128,562
Government National Mortgage Association, 5.0%, 5/20/35 2,100,000 $227,325
Government National Mortgage Association, 5.0%, 7/20/31 3,300,000 $92,666
Government National Mortgage Association, Floating Rate Note, 1/16/35 2,563,000 $291,318
Government National Mortgage Association, Floating Rate Note, 1/16/40 2,000,000 $756,696
Government National Mortgage Association, Floating Rate Note, 1/20/34 1,775,000 $127,264
Government National Mortgage Association, Floating Rate Note, 2/16/30 14,415,492 $231,559
Government National Mortgage Association, Floating Rate Note, 2/16/53 2,000,000 $148,583
Government National Mortgage Association, Floating Rate Note, 2/20/35 2,059,000 $294,751
Government National Mortgage Association, Floating Rate Note, 2/20/38 2,477,000 $241,135
Government National Mortgage Association, Floating Rate Note, 3/16/53 1,200,000 $84,766
Government National Mortgage Association, Floating Rate Note, 4/16/31 12,627,242 $270,749
Government National Mortgage Association, Floating Rate Note, 4/16/32 33,333,000 $646,908
Government National Mortgage Association, Floating Rate Note, 4/16/32 10,000,000 $152,239
Government National Mortgage Association, Floating Rate Note, 8/16/52 2,000,000 $127,328
Government National Mortgage Association, Floating Rate Note, 8/20/35 1,177,000 $174,860
Government National Mortgage Association, Floating Rate Note, 8/20/40 1,000,000 $662,241
Government National Mortgage Association, Floating Rate Note, 9/16/52 1,800,000 $138,583
Government National Mortgage Association, Floating Rate Note, 9/20/33 704,000 $107,079
Government National Mortgage Association I, 5.0%, 8/15/19 1,347,915 $365,997
Government National Mortgage Association I, 6.0%, 11/15/36 2,000,000 $187,998
Government National Mortgage Association I, 6.0%, 12/15/31 1,500,000 $70,010
Government National Mortgage Association I, 6.0%, 3/15/17 10,311,138 $241,337
Government National Mortgage Association I, 6.5%, 10/15/37 400,000 $55,149
Government National Mortgage Association I, 6.5%, 5/15/31 3,183,996 $43,926
Government National Mortgage Association I, 6.5%, 7/15/35 328,670 $21,671
Government National Mortgage Association I, 7.5%, 10/15/36 1,000,000 $61,223
Government National Mortgage Association II, 6.0%, 10/20/21 3,113,223 $535,080
Government National Mortgage Association II, 6.0%, 11/20/22 1,986,670 $282,939
Government National Mortgage Association II, 6.0%, 4/20/22 1,262,566 $194,957
Government National Mortgage Association II, 6.0%, 8/20/19 2,911,151 $187,963
Government National Mortgage Association REMICS, 2.0%, 1/16/46 3,000,000 $2,987,239
Government National Mortgage Association REMICS, 4.0%, 9/20/37 4,000,000 $3,135,270
GP Portfolio Trust 2014-GGP, Floating Rate Note, 2/16/27 1,000,000 $1,001,831
Gracechurch Card Funding Plc, Floating Rate Note, 2/15/17 (144A) 750,000 $753,333
Gracechurch Card Funding Plc, Floating Rate Note, 5/15/19 (144A) 500,000 $507,362
Gracechurch Card Funding Plc, Floating Rate Note, 6/15/17 (144A) 300,000 $301,561
Gray Television Inc. 1st Lien Tl L + 3% 10jun21 99,733 $99,904
GreenPoint Mortgage Funding Trust 2005-HE1, Floating Rate Note, 9/25/34 297,570 $190,285
GreenPoint Mortgage Funding Trust 2005-HE4, Floating Rate Note, 7/25/30 7,877,220 $24,116
GSAA Home Equity Trust 2004-6, Floating Rate Note, 6/25/34 15,032,940 $428,347
GSAA Home Equity Trust 2005-11, Floating Rate Note, 10/25/35 1,022,000 $181,814
GSAA Trust, Floating Rate Note, 6/25/35 440,000 $340,126
GSAMP Trust 2004-HE2, Floating Rate Note, 9/25/34 36,804,858 $327,165
GSAMP Trust 2005-HE1, Floating Rate Note, 12/25/34 1,210,753 $125,352
GSAMP Trust 2006-SEA1, Floating Rate Note, 5/25/36 (144A) 5,518,315 $531,068
GS Caltex Corp., 3.25%, 10/1/18 (144A) 500,000 $517,601
GS Mortgage Securities Corp II Series 2005-GG4 REMICS, 4.782%, 7/10/39 1,145,000 $1,172,433
GSR Mortgage Loan Trust 2003-9, Floating Rate Note, 8/25/33 4,000,000 $277,113
GSR Mortgage Loan Trust 2004-7, Floating Rate Note, 6/25/34 4,189,737 $534,471
GSRPM Mortgage Loan Trust 2003-2, Floating Rate Note, 6/25/33 393,823 $250,024
GSRPM Mortgage Loan Trust 2006-1, Floating Rate Note, 3/25/35 (144A) 1,201,850 $184,281
GSRPM Mortgage Loan Trust 2006-2, Floating Rate Note, 9/25/36 (144A) 1,226,000 $190,143
GTP Acquisition Partners I LLC, 4.347%, 6/15/16 (144A) 614,000 $629,027
GTP Towers Issuer LLC, 4.436%, 2/15/15 (144A) 550,000 $560,647
GTP Towers Issuer LLC, 8.112%, 2/15/15 (144A) 1,070,000 $1,076,032
HarborView Mortgage Loan Trust 2004-1, Floating Rate Note, 4/19/34 3,987,000 $178,811
Harley-Davidson Financial Services, Inc., 3.875%, 3/15/16 (144A) 175,000 $185,846
Health Care Real Estate Investment Trust, Inc., 2.25%, 3/15/18 500,000 $508,814
Hercules Capital Funding Trust 2012-1, 3.32%, 12/16/17 (144A) 250,000 $68,932
Hertz Fleet Lease Funding LP, Floating Rate Note, 4/10/28 (144A) 300,000 $300,230
Hess Corp., 1.3%, 6/15/17 750,000 $749,236
Hilton Grand Vacations Trust 2014-A, 2.07%, 11/25/26 (144A) 750,000 $730,487
Hilton USA Trust 2013-HLF, Floating Rate Note, 11/5/30 (144A) 175,000 $175,660
Hilton USA Trust 2013-HLF, Floating Rate Note, 11/5/30 (144A) 500,000 $503,301
Hilton Worldwide Finance LLC, Initial Term Loan, 9/23/20 412,105 $410,710
HLSS Servicer Advance Receivables Trust, 1.2437%, 1/17/45 1,250,000 $1,251,816
HLSS Servicer Advance Receivables Trust, 1.4953%, 1/16/46 (144A) 1,706,000 $1,708,669
HLSS Servicer Advance Receivables Trust, 1.7436%, 1/16/46 (144A) 250,000 $249,519
HLSS Servicer Advance Receivables Trust, 4.94%, 10/15/45 (144A) 350,000 $358,468
Holmes Master Issuer Plc, Floating Rate Note, 10/15/54 (144A) 250,000 $264,176
Hologic, Inc., Refinancing Tranche B Term Loan, 8/1/19 495,169 $493,673
HomeBanc Mortgage Trust 2005-2, Floating Rate Note, 5/25/25 6,015,011 $257,660
Home Equity Asset Trust 2005-3, Floating Rate Note, 8/25/35 250,000 $25,433
Home Equity Asset Trust 2006-4, Floating Rate Note, 8/25/36 253,896 $77,954
Home Equity Asset Trust 2006-8, Floating Rate Note, 3/25/37 1,394,318 $518,106
Home Equity Mortgage Trust, 5.821%, 4/25/35 (Step) 1,000,000 $302,380
Home Equity Mortgage Trust, Floating Rate Note, 7/25/35 1,113,955 $497,508
Home Loan Trust 2003-HI1, 5.77%, 4/25/28 (Step) 1,500,000 $106,558
Homestar Mortgage Acceptance Corp., Floating Rate Note, 1/25/35 3,700,000 $542,835
Homestar Mortgage Acceptance Corp., Floating Rate Note, 3/25/34 23,493,000 $1,490,645
Homestar Mortgage Acceptance Corp., Floating Rate Note, 6/25/34 3,670,962 $342,352
Homestar Mortgage Acceptance Corp., Floating Rate Note, 7/25/34 2,600,000 $266,106
Honda Auto Receivables 2011-2 Owner Trust, 1.55%, 8/18/17 350,000 $278,363
Honda Auto Receivables 2012-2 Owner Trust, 0.7%, 2/16/16 350,000 $182,414
Honda Auto Receivables 2012-4 Owner Trust, 0.52%, 8/18/16 1,000,000 $905,535
Honda Auto Receivables 2013-1 Owner Trust, 0.35%, 6/22/15 500,000 $42,002
Honda Auto Receivables 2013-2 Owner Trust, 0.53%, 2/16/17 285,000 $285,267
Horizon Funding Trust 2013-1, 3.0%, 5/15/18 (144A) 585,000 $344,252
HSBC Bank Middle East, Ltd., 3.0%, 10/21/15 750,000 $773,040
HSBC Home Equity Loan Trust USA 2006-3, Floating Rate Note, 3/20/36 1,005,000 $996,817
HSBC USA, Inc., 2.375%, 2/13/15 780,000 $797,022
HSBC USA, Inc., Floating Rate Note, 6/23/17 750,000 $750,535
HSI Asset Securitization Corp Trust 2006-OPT1, Floating Rate Note, 12/25/35 350,623 $124,317
Hyperion Insurance Group, Ltd., Term Loan, 10/4/19 398,000 $396,508
Hyundai Auto Receivables Trust 2014-B, 2.1%, 11/15/19 500,000 $498,009
Hyundai Capital America, 1.875%, 8/9/16 (144A) 500,000 $510,924
Hyundai Capital Auto Funding VIII, Ltd., Floating Rate Note, 9/20/16 (144A) 800,000 $124,556
Hyundai Motor Manufacturing Czech sro, 4.5%, 4/15/15 (144A) 1,000,000 $1,036,987
Iberdrola Finance Ireland, Ltd., 3.8%, 9/11/14 (144A) 1,000,000 $1,017,964
Ibis Re II, Ltd., Floating Rate Note, 6/28/16 (Cat Bond) (144A) 500,000 $506,711
Impac CMB Trust Series 2004-4, Floating Rate Note, 9/25/34 32,445,000 $1,399,112
Impac CMB Trust Series 2004-4, Floating Rate Note, 9/25/34 14,479,489 $629,399
Impac CMB Trust Series 2004-5, Floating Rate Note, 10/25/34 5,941,000 $355,870
Impac CMB Trust Series 2004-6, Floating Rate Note, 10/25/34 2,125,000 $120,798
Impac CMB Trust Series 2004-7, Floating Rate Note, 11/25/34 1,233,000 $85,910
Impac CMB Trust Series 2004-8, Floating Rate Note, 8/25/34 590,000 $74,808
Impac Secured Assets Trust 2006-1, Floating Rate Note, 5/25/36 1,300,000 $441,072
Impac Secured Assets Trust 2006-2, Floating Rate Note, 8/25/36 1,173,000 $328,807
Impac Secured Assets Trust 2006-5, Floating Rate Note, 12/25/36 2,600,000 $620,810
IndyMac INDX Mortgage Loan Trust 2004-AR6, Floating Rate Note, 10/25/34 675,000 $81,993
Intel Corp., 1.35%, 12/15/17 700,000 $700,193
International Equipment Solutions LLC, Initial Loan, 8/16/19 144,521 $145,424
Intesa Sanpaolo S.p.A., 3.125%, 1/15/16 500,000 $513,648
Invitation Homes 2013-SFR1 Trust, Floating Rate Note, 12/19/30 750,000 $749,397
Inwood Park CDO, Ltd., Floating Rate Note, 1/20/21 (144A) 1,000,000 $328,148
Irwin Home Equity Loan Trust 2005-1, 5.32%, 6/25/35 (Step) 900,000 $145,748
Irwin Whole Loan Home Equity Trust 2003-C, Floating Rate Note, 6/25/28 1,923,500 $150,109
Irwin Whole Loan Home Equity Trust 2003-C, Floating Rate Note, 6/25/28 1,050,000 $300,106
Irwin Whole Loan Home Equity Trust 2003-D, Floating Rate Note, 11/25/28 2,250,000 $218,802
IXIS Real Estate Capital Trust 2005-HE4, Floating Rate Note, 2/25/36 250,000 $49,989
Jarden Corp., Tranche B1 Term Loan, 9/30/20 248,125 $249,054
JBS USA LLC, Incremental Term Loan, 9/18/20 198,500 $196,515
JobsOhio Beverage System, 0.872%, 1/1/15 500,000 $501,488
John Deere Capital Corp., 1.05%, 10/11/16 1,098,000 $1,105,947
John Deere Capital Corp., 1.05%, 12/15/16 750,000 $752,783
John Deere Capital Corp., 2.95%, 3/9/15 950,000 $976,211
John Deere Capital Corp., Floating Rate Note, 10/11/16 1,090,000 $1,093,877
JOHN DEERE CAPITAL Corp., Floating Rate Note, 2/25/16 500,000 $500,141
John Deere Capital Corp., Floating Rate Note, 9/22/14 1,800,000 $1,803,033
JPMorgan Chase & Co., 1.1%, 10/15/15 492,000 $496,086
JPMorgan Chase & Co., 1.875%, 3/20/15 965,000 $980,112
JPMorgan Chase & Co., 3.4%, 6/24/15 265,000 $272,675
JPMorgan Chase & Co., Floating Rate Note, 2/15/17 500,000 $502,811
JPMorgan Chase & Co., Floating Rate Note, 2/25/21 500,000 $522,744
JPMorgan Chase & Co., Floating Rate Note, 2/26/16 320,000 $322,202
JPMorgan Chase & Co., Floating Rate Note, 3/31/16 500,000 $499,601
JP Morgan Chase Commercial Mortgage Securities Corp., 4.878%, 1/15/42 1,100,000 $1,064,222
JP Morgan Chase Commercial Mortgage Securities Corp., Floating Rate Note, 10/15/25 (144A) 650,000 $651,183
JP Morgan Chase Commercial Mortgage Securities Trust 2004-LN2, Floating Rate Note, 7/15/41 (144A) 637,677 $136,048
JP Morgan Chase Commercial Mortgage Securities Trust 2005-CIBC11, Floating Rate Note, 8/12/37 1,610,000 $1,619,932
JP Morgan Chase Commercial Mortgage Securities Trust 2005-LDP1 REMICS, Floating Rate Note, 3/15/46 985,000 $798,189
JP Morgan Chase Commercial Mortgage Securities Trust 2005-LDP2, 4.78%, 7/15/42 1,150,000 $1,186,344
JP Morgan Chase Commercial Mortgage Securities Trust 2005-LDP2 REMICS, 4.738%, 7/15/42 960,000 $984,159
JP Morgan Chase Commercial Mortgage Securities Trust 2005-LDP3, Floating Rate Note, 8/15/42 800,000 $829,460
JP Morgan Chase Commercial Mortgage Securities Trust 2005-LDP3 REMICS, Floating Rate Note, 8/15/42 440,000 $392,516
JP Morgan Chase Commercial Mortgage Securities Trust 2005-LDP4, Floating Rate Note, 10/15/42 500,000 $514,018
JP Morgan Chase Commercial Mortgage Securities Trust 2005-LDP5, Floating Rate Note, 12/15/44 1,920,000 $2,005,402
JP Morgan Chase Commercial Mortgage Securities Trust 2006-CIBC17, 5.45%, 12/12/43 435,000 $73,460
JP Morgan Chase Commercial Mortgage Securities Trust 2006-FL2, Floating Rate Note, 11/15/18 (144A) 2,550,000 $552,431
JP Morgan Chase Commercial Mortgage Securities Trust 2006-FL2, Floating Rate Note, 11/15/18 (144A) 550,000 $173,620
JP Morgan Chase Commercial Mortgage Securities Trust 2006-LDP9, Floating Rate Note, 5/15/47 250,000 $104,837
JP Morgan Chase Commercial Mortgage Securities Trust 2007-CIBC19, Floating Rate Note, 2/12/49 475,000 $127,440
JP Morgan Chase Commercial Mortgage Securities Trust 2013-ALC, Floating Rate Note, 7/17/26 (144A) 412,000 $418,119
JP Morgan Chase Commercial Mortgage Securities Trust 2013-FL3, Floating Rate Note, 4/15/28 (144A) 300,000 $301,458
JP Morgan Chase Commercial Mortgage Securities Trust 2013-JWRZ, Floating Rate Note, 4/15/30 (144A) 1,550,000 $1,551,488
JP Morgan Chase Commercial Mortgage Securities Trust 2014-BXH, Floating Rate Note, 4/15/27 (144A) 1,670,000 $1,669,862
JP Morgan Chase Commercial Mortgage Securities Trust 2014-FBLU, Floating Rate Note, 12/15/28 945,000 $951,030
JP Morgan Chase Commercial Mortgage Securities Trust 2014-FBLU REMICS, Floating Rate Note, 12/15/28 1,030,000 $1,031,981
JP Morgan Chase Commercial Mortgage Securities Trust 2014-FL4, Floating Rate Note, 12/15/30 (144A) 410,000 $410,953
JP Morgan Chase Commercial Mortgage Securities Trust 2014-INN, Floating Rate Note, 6/15/29 (144A) 650,000 $650,689
JP Morgan Mortgage Acquisition Trust 2006-ACC1, Floating Rate Note, 5/25/36 704,088 $224,566
JP Morgan Mortgage Trust 2003-A1, Floating Rate Note, 10/25/33 4,845,389 $594,691
JP Morgan Mortgage Trust 2004-A1, Floating Rate Note, 2/25/34 3,584,000 $375,889
JP Morgan Mortgage Trust 2004-A5, Floating Rate Note, 12/25/34 245,000 $194,615
JP Morgan Mortgage Trust 2004-S1, 5.0%, 9/25/34 2,489,124 $163,285
JP Morgan Mortgage Trust 2005-A3, Floating Rate Note, 6/25/35 6,041,179 $654,332
JP Morgan Mortgage Trust 2005-A4, Floating Rate Note, 7/25/35 1,935,000 $305,897
JP Morgan Mortgage Trust 2006-S3, 6.0%, 8/25/36 1,036,158 $1,395
Kane Flt% 12jun15 600,000 $536,100
KeyBank NA Cleveland Ohio, 1.1%, 11/25/16 500,000 $501,685
KeyBank NA Cleveland Ohio, 1.65%, 2/1/18 1,000,000 $1,004,322
KeyCorp, 3.75%, 8/13/15 931,000 $977,367
Kilimanjaro Re, Ltd., Floating Rate Note, 4/30/18 (Cat Bond) (144A) 350,000 $349,151
Kilimanjaro Re, Ltd., Floating Rate Note, 4/30/18 (Cat Bond) (144A) 650,000 $653,439
Kizuna II Re, Ltd., Floating Rate Note, 4/6/18 (Cat Bond) (144A) 450,000 $451,952
KKR Financial CLO 2007-1, Ltd., Floating Rate Note, 5/15/21 (144A) 375,000 $369,099
L-3 Communications Corp., 1.5%, 5/28/17 586,000 $585,221
La Hipotecaria Panamanian Mortgage Trust 2007-1, Floating Rate Note, 12/23/36 (144A) 1,400,000 $710,072
Lanark Master Issuer Plc, Floating Rate Note, 12/22/54 (144A) 250,000 $249,243
Las Vegas Sands LLC, Term B Loan, 12/19/20 248,750 $248,478
LB-UBS Commercial Mortgage Trust 2004-C1, 4.568%, 1/15/31 275,000 $34,334
LB-UBS Commercial Mortgage Trust 2005-C2 REMICS, Floating Rate Note, 4/15/30 1,455,000 $1,496,751
LB-UBS Commercial Mortgage Trust 2005-C3, 4.739%, 7/15/30 825,000 $509,139
LB-UBS Commercial Mortgage Trust 2005-C7 REMICS, Floating Rate Note, 11/15/30 (144A) 2,455,809 $2,528,681
LB-UBS Commercial Mortgage Trust 2006-C1 REMICS, 5.156%, 2/15/31 1,615,000 $1,696,602
LB-UBS Commercial Mortgage Trust 2008-C1, Floating Rate Note, 4/15/41 210,000 $105,288
Leaf Receivables Funding 8 LLC, 1.55%, 11/15/17 (144A) 195,000 $196,137
Leaf Receivables Funding 8 LLC, 2.67%, 9/15/20 (144A) 311,966 $313,865
Lehman ABS Manufactured Housing Contract Trust 2002-A, Floating Rate Note, 6/15/33 19,804,000 $964,839
Lehman Brothers Small Balance Commercial, Floating Rate Note, 2/25/30 (144A) 4,631,000 $684,294
Lehman Brothers Small Balance Commercial, Floating Rate Note, 4/25/31 (144A) 3,723,496 $624,664
Lehman Brothers Small Balance Commercial, Floating Rate Note, 4/25/31 (144A) 2,843,000 $527,889
Lehman Brothers Small Balance Commercial, Floating Rate Note, 9/25/30 (144A) 3,264,773 $574,181
Lehman Brothers Small Balance Commercial, Floating Rate Note, 9/25/30 (144A) 750,000 $237,562
Lehman Brothers Small Balance Commercial Mortgage Trust 2007-3, Floating Rate Note, 10/25/37 (144A) 466,904 $406,948
Lehman Brothers Small Balance Commercial Mortgage Trust 2007-3, Floating Rate Note, 10/25/37 (144A) 785,400 $232,176
Lincoln National Corp., 4.3%, 6/15/15 250,000 $259,001
Live Nation Entertainment, Inc., Term B-1 Loan, 8/17/20 514,115 $514,758
Loma Reinsurance, Ltd. Bermuda, Floating Rate Note, 1/8/18 (Cat Bond) (144A) 250,000 $256,575
Long Beach Mortgage Loan Trust 2003-4, Floating Rate Note, 8/25/33 18,590,000 $452,060
Longpoint Re, Ltd., Floating Rate Note, 6/12/15 (Cat Bond) (144A) 500,000 $515,650
Longpoint Re, Ltd. III, Floating Rate Note, 5/18/16 (Cat Bond) (144A) 250,000 $254,081
LPL Holdings, Inc., 2013 Incremental Tranche B Term Loan, 3/29/19 146,644 $146,534
Mack-Cali Realty LP, 5.125%, 1/15/15 1,000,000 $1,020,555
Madison Avenue Manufactured Housing Contract Trust 2002-A, Floating Rate Note, 3/25/32 1,100,000 $558,158
MALLINCKRODT INTERNATIONAL FINANCE SA, Initial Term B Loan, 3/6/21 299,250 $298,128
Manufacturers & Traders Trust Co., Floating Rate Note, 1/30/17 500,000 $501,435
Manufacturers & Traders Trust Co., Floating Rate Note, 7/25/17 1,000,000 $999,495
Marathon Oil Corp., 0.9%, 11/1/15 651,000 $654,161
Marriott Vacation Club Owner Trust 2012-1, 3.5%, 5/20/30 (144A) 845,000 $489,198
Massachusetts Development Finance Agency, Floating Rate Note, 2/15/36 250,000 $263,841
Massachusetts Port Authority, 5.0%, 7/1/16 475,000 $516,176
MASTR Alternative Loan Trust 2004-13, 4.5%, 1/25/15 2,000,000 $2,167
MASTR Alternative Loan Trust 2005-1, Floating Rate Note, 2/25/35 6,760,000 $675,599
Mastr Asset Backed Securities Trust 2005-WF1, Floating Rate Note, 6/25/35 51,000 $9,398
Mastr Asset Backed Securities Trust 2005-WMC1, Floating Rate Note, 3/25/35 215,000 $75,805
Mastr Asset Backed Securities Trust 2006-AB1 REMICS, Floating Rate Note, 2/25/36 3,670,545 $723,996
Mastr Asset Backed Securities Trust 2006-NC1, Floating Rate Note, 1/25/36 1,567,646 $234,959
MASTR Asset Securitization Trust 2003-6, Floating Rate Note, 7/25/18 2,444,000 $80,635
MASTR Seasoned Securitization Trust 2005-1, Floating Rate Note, 9/25/32 2,500,000 $172,898
Mastr Specialized Loan Trust, Floating Rate Note, 1/25/36 (144A) 3,644,114 $306,158
McKesson Corp., Floating Rate Note, 9/10/15 235,000 $235,625
Mediacom Illinois LLC, Tranche F Term Loan, 3/31/18 399,000 $396,506
Merna Reinsurance V, Ltd., Floating Rate Note, 4/7/17 (Cat Bond) (144A) 650,000 $651,546
Merrill Lynch Mortgage Investors Trust Series 2005-2, Floating Rate Note, 10/25/35 1,543,473 $405,327
Merrill Lynch Mortgage Investors Trust Series 2005-A3, Floating Rate Note, 4/25/35 10,415,000 $1,301,980
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-A, Floating Rate Note, 3/25/28 10,213,000 $402,952
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-A, Floating Rate Note, 3/25/28 15,000,000 $794,712
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-C, Floating Rate Note, 6/25/28 9,455,006 $377,879
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-C REMICS, Floating Rate Note, 6/25/28 10,150,000 $486,212
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-E, Floating Rate Note, 10/25/28 8,393,000 $484,176
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-G, Floating Rate Note, 1/25/29 3,592,000 $53,232
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-H, Floating Rate Note, 1/25/29 6,366,000 $384,395
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-A REMICS, Floating Rate Note, 4/25/29 9,673,948 $583,261
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-B, Floating Rate Note, 5/25/29 4,636,150 $268,874
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-C, Floating Rate Note, 7/25/29 10,014,000 $496,653
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-G, Floating Rate Note, 1/25/30 3,400,000 $251,954
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-G, Floating Rate Note, 1/25/30 16,956,975 $869,263
Merrill Lynch Mortgage Investors Trust Series MLCC 2005-A, Floating Rate Note, 3/25/30 7,273,883 $550,017
Merrill Lynch Mortgage Investors Trust Series MLMI 2005-A2, Floating Rate Note, 2/25/35 500,000 $111,466
Merrill Lynch Mortgage Trust 2004-KEY2, Floating Rate Note, 8/12/39 410,390 $413,159
Merrill Lynch Mortgage Trust 2004-KEY2, Floating Rate Note, 8/12/39 375,000 $143,675
Merrill Lynch Mortgage Trust 2005-CIP1, Floating Rate Note, 7/12/38 630,000 $649,471
Merrill Lynch Mortgage Trust 2005-CKI1, Floating Rate Note, 11/12/37 2,360,000 $2,110,597
Metaldyne LLC, USD Term Loan 2014, 12/18/18 735,250 $739,233
MetLife Institutional Funding II, 1.625%, 4/2/15 (144A) 1,020,000 $1,033,938
MetLife Institutional Funding II, Floating Rate Note, 1/6/15 (144A) 500,000 $501,040
Metropolitan Life Global Funding I, Floating Rate Note, 7/15/16 (144A) 300,000 $302,217
Metropolitan Life Insurance Co., 7.7%, 11/1/15 (144A) 1,250,000 $1,375,059
MGM Resorts International, Term B Loan, 12/20/19 344,750 $343,170
Micron Semiconductor Asia Pte, Ltd., 1.258%, 1/15/19 500,000 $449,627
Milacron LLC, Term Loan, 3/28/20 498,750 $498,594
MLCC Mortgage Investors, Inc., Floating Rate Note, 4/25/28 9,700,000 $466,146
Monsanto Co., 1.15%, 6/30/17 1,000,000 $997,429
Morgan Stanley, Floating Rate Note, 11/9/18 275,000 $291,007
Morgan Stanley, Floating Rate Note, 2/25/16 500,000 $508,762
Morgan Stanley, Floating Rate Note, 6/6/16 500,000 $498,128
Morgan Stanley ABS Capital I Inc Trust 2004-SD3, Floating Rate Note, 6/25/34 (144A) 13,470,000 $648,319
Morgan Stanley ABS Capital I Inc Trust 2005-NC2, Floating Rate Note, 3/25/35 627,000 $384,715
Morgan Stanley ABS Capital I Inc Trust 2005-WMC5, Floating Rate Note, 6/25/35 820,000 $320,196
Morgan Stanley Capital I, Inc., Floating Rate Note, 10/15/20 (144A) 425,000 $423,830
Morgan Stanley Capital I Trust 2004-HQ4 REMICS, 4.97%, 4/14/40 1,474,144 $260,525
Morgan Stanley Capital I Trust 2004-IQ8, Floating Rate Note, 6/15/40 1,200,000 $1,206,520
Morgan Stanley Capital I Trust 2005-HQ6, 4.989%, 8/13/42 1,815,000 $1,861,194
Morgan Stanley Capital I Trust 2005-HQ6 REMICS, Floating Rate Note, 8/13/42 1,250,000 $1,294,136
Morgan Stanley Capital I Trust 2005-IQ10, Floating Rate Note, 9/15/42 915,000 $725,776
Morgan Stanley Capital I Trust 2005-TOP17, 4.78%, 12/13/41 660,000 $434,110
Morgan Stanley Capital I Trust 2005-TOP19, 4.89%, 6/12/47 1,940,000 $1,965,201
Morgan Stanley Dean Witter Capital I Trust 2001-TOP3, 6.79%, 7/15/33 460,000 $123,599
Morgan Stanley Home Equity Loan Trust 2005-4, Floating Rate Note, 9/25/35 1,558,243 $690,335
Morgan Stanley Mortgage Loan Trust 2005-5AR, Floating Rate Note, 9/25/35 9,387,000 $872,140
Morgan Stanley Mortgage Loan Trust 2005-6AR, Floating Rate Note, 11/25/35 3,786,000 $502,349
Morgan Stanley Mortgage Loan Trust 2005-6AR, Floating Rate Note, 11/25/35 2,941,000 $513,663
MortgageIT Trust 2004-1, Floating Rate Note, 11/25/34 3,200,000 $457,235
MortgageIT Trust 2004-2, Floating Rate Note, 12/25/34 3,895,000 $674,083
Motor 2013-1 Plc, Floating Rate Note, 2/25/21 (144A) 466,000 $279,460
MRFC Mortgage Pass-Through Trust Series 1999-TBC2 REMICS, Floating Rate Note, 6/15/30 3,714,390 $234,258
MUFG Union Bank NA, 2.625%, 9/26/18 1,000,000 $1,032,705
MUFG Union Bank NA, Floating Rate Note, 9/26/16 1,450,000 $1,465,914
Mythen Re, Ltd., Floating Rate Note, 5/7/15 (Cat Bond) (144A) 500,000 $524,506
Mythen Re, Ltd., Floating Rate Note, 5/7/15 (Cat Bond) (144A) 500,000 $526,559
Mythen Re, Ltd. Series 2012-2 Class A, Floating Rate Note, 1/5/17 (Cat Bond) (144A) 750,000 $797,009
Mythen Re, Ltd. Series 2013-1 Class B, Floating Rate Note, 7/9/15 (Cat Bond) (144A) 250,000 $256,278
National City Bank Cleveland Ohio, Floating Rate Note, 12/15/16 250,000 $249,616
National Rural Utilities Cooperative Finance Corp., 1.0%, 2/2/15 410,000 $413,461
National Rural Utilities Cooperative Finance Corp., Floating Rate Note, 11/23/16 500,000 $503,145
Nationstar Agency Advance Funding Trust 2013-T1A, 0.997%, 2/15/45 (144A) 550,000 $549,479
Nationstar Mortgage Loan Trust 2013-A, Floating Rate Note, 12/25/52 (144A) 600,000 $517,488
Navios Maritime Partners LP, Term Loan, 6/27/18 461,513 $467,666
Navistar, Inc., Tranche B Term Loan, 8/17/17 400,000 $404,750
Navistar Financial Dealer Note Master Trust, Floating Rate Note, 1/25/18 (144A) 510,000 $510,639
Navitas Equipment Receivables LLC 2013-1, 3.63%, 2/15/17 650,000 $649,331
NCUA Guaranteed Notes Trust REMICS, 1.6%, 10/29/20 500,000 $208,146
NCUA Guaranteed Notes Trust REMICS, Floating Rate Note, 3/9/21 800,000 $404,737
New Century Home Equity Loan Trust 2005-1, Floating Rate Note, 3/25/35 2,101,000 $334,936
New Residential Advance Receivables Trust Advance Receivables Backed 2014-T1, 1.2736%, 3/15/45 530,000 $531,042
NewStar Commercial Loan Trust 2007-1, Floating Rate Note, 9/30/22 (144A) 500,000 $299,203
New York Life Global Funding, 1.125%, 3/1/17 (144A) 500,000 $502,448
New York Life Global Funding, Floating Rate Note, 5/23/16 (144A) 1,050,000 $1,054,721
Nissan Auto Lease Trust 2013-B, Floating Rate Note, 1/15/16 240,000 $221,988
Nissan Motor Acceptance Corp., 2.65%, 9/26/18 (144A) 1,000,000 $1,030,233
Nissan Motor Acceptance Corp., 4.5%, 1/30/15 (144A) 600,000 $611,555
Nissan Motor Acceptance Corp., Floating Rate Note, 3/3/17 (144A) 500,000 $502,042
Nomura Asset Acceptance Corp Alternative Loan Trust Series 2003-A3, 5.5%, 8/25/33 (Step) 3,120,000 $218,211
Nomura Resecuritization Trust 2011-3R, Floating Rate Note, 7/26/37 (144A) 0 $47
Norcraft Companies LP, Initial Loan, 11/12/20 248,750 $249,683
Nordea Bank AB, Floating Rate Note, 5/13/16 (144A) 250,000 $251,574
Nordea Bank Finland Plc New York, Floating Rate Note, 6/13/16 1,000,000 $1,000,179
North American Development Bank, 2.3%, 10/10/18 650,000 $660,915
Northshore Re, Ltd., Floating Rate Note, 7/5/16 (Cat Bond) (144A) 500,000 $518,272
NorthStar 2012-1 Mortgage Trust, Floating Rate Note, 8/25/29 (144A) 490,818 $346,111
NorthStar 2012-1 Mortgage Trust, Floating Rate Note, 8/25/29 (144A) 200,000 $202,972
NorthStar 2013-1, Floating Rate Note, 8/27/29 (144A) 778,000 $777,417
NorthStar Realty Finance Corp., 3.0%, 9/30/14 2,330,000 $2,354,943
NovaStar Mortgage Funding Trust Series 2003-1, Floating Rate Note, 5/25/33 22,168,000 $612,161
NovaStar Mortgage Funding Trust Series 2004-3, Floating Rate Note, 12/25/34 560,000 $527,810
NovaStar Mortgage Funding Trust Series 2004-4, Floating Rate Note, 3/25/35 1,457,000 $1,429,936
NovaStar Mortgage Funding Trust Series 2004-4, Floating Rate Note, 3/25/35 300,000 $151,125
NSG Holdings LLC, New Term Loan, 12/11/19 195,970 $196,215
NSTAR Electric Co., Floating Rate Note, 5/17/16 341,000 $340,916
NYSE Euronext, 2.0%, 10/5/17 150,000 $152,931
Oak Hill Advisors Residential Loan Trust 2014-NPL1, 2.8828%, 5/25/54 (Step) (144A) 520,000 $490,755
On Assignment, Inc., Initial Term B Loan, 5/15/20 171,522 $171,308
Ooredoo International Finance, Ltd., 3.375%, 10/14/16 (144A) 500,000 $526,841
Opteum Mortgage Acceptance Corp Asset Backed Pass-Through Certificates 2005-1, Floating Rate Note, 2 3,526,047 $28,538
Opteum Mortgage Acceptance Corp Asset Backed Pass-Through Certificates 2005-5, Floating Rate Note, 1 600,000 $72,961
Opteum Mortgage Acceptance Corp Trust 2005-4, Floating Rate Note, 11/25/35 6,320,000 $1,291,669
Option One Mortgage Loan Trust 2005-4 Asset-Backed Certificates Series 2005-4, Floating Rate Note, 1 5,875,000 $558,671
Option One Woodbridge Loan Trust 2002-1, Floating Rate Note, 9/25/14 (144A) 1,370,736 $289,770
Oracle Corp., 2.25%, 10/8/19 300,000 $299,030
Oracle Corp., 2.375%, 1/15/19 500,000 $507,574
Oracle Corp., Floating Rate Note, 7/7/17 575,000 $575,825
Orange Lake Timeshare Trust 2012-A, 4.87%, 3/10/27 (144A) 600,000 $330,633
ORES 2014-LV3 LLC, 3.0%, 3/27/24 (144A) 550,000 $506,593
ORES NPL 2013-LV2 LLC, 3.081%, 9/25/25 (144A) 430,000 $247,618
Origen Manufactured Housing Contract Trust 2004-A, Floating Rate Note, 1/15/35 600,000 $272,565
Origen Manufactured Housing Contract Trust 2004-B, Floating Rate Note, 11/15/35 460,000 $411,186
Origen Manufactured Housing Contract Trust 2005-A, Floating Rate Note, 6/15/36 250,000 $254,339
Oxford Finance Funding Trust 2012-1, 3.9%, 3/15/17 (144A) 571,000 $66,587
PACCAR Financial Corp., Floating Rate Note, 6/6/17 485,000 $485,313
Pangaea Zero% 01jul18 700,000 $713,020
Park Place Securities Inc Asset-Backed Pass-Through Certificates Series 2004-MHQ, Floating Rate Note 840,000 $840,325
Park Place Securities Inc Asset-Backed Pass-Through Ctfs Ser 2004-WCW2, Floating Rate Note, 10/25/34 1,076,819 $112,345
Park Place Securities Inc Asset-Backed Pass-Through Ctfs Ser 2005-WHQ4, Floating Rate Note, 9/25/35 1,793,831 $613,227
Par Pharmaceutical Companies, Inc., Term B-2 Loan, 9/28/19 643,534 $643,189
PARTY CITY HOLDINGS INC, 2014 Replacement Term Loan, 7/27/19 950,225 $944,710
Penn National Gaming, Inc., Term B Facility Loan, 10/25/20 457,700 $457,128
People's Choice Home Loan Securities Trust Series 2005-3, Floating Rate Note, 8/25/35 109,980 $21,735
Pfizer, Inc., Floating Rate Note, 5/15/17 750,000 $750,811
PFS Financing Corp., Floating Rate Note, 2/15/19 (144A) 750,000 $751,463
PFS Tax Lien Trust 2014-1, 1.44%, 5/15/29 400,000 $368,071
PHH Mortgage Capital LLC, 6.6%, 12/25/27 (Step) (144A) 1,000,000 $98,933
PNC Bank NA, 1.125%, 1/27/17 450,000 $449,846
PNC Bank NA, 1.3%, 10/3/16 550,000 $556,315
PNC Bank NA, Floating Rate Note, 1/28/16 500,000 $500,683
PNC Bank NA, Floating Rate Note, 4/29/16 1,111,000 $1,111,540
Polarpak, Inc., USD Term Loan (Canadian Borrower Portion), 6/7/20 157,665 $157,665
Polarpak, Inc., USD Term Loan (U.S. Borrower Portion), 6/7/20 81,881 $81,881
Popular ABS Mortgage Pass-Through Trust 2004-4, 4.85143%, 9/25/34 (Step) 1,325,000 $483,923
Precision Castparts Corp., 1.25%, 1/15/18 500,000 $495,181
Pricoa Global Funding I, Floating Rate Note, 6/24/16 (144A) 500,000 $497,917
Principal Life Global Funding II, 1.2%, 5/19/17 (144A) 750,000 $747,879
Principal Life Global Funding II, Floating Rate Note, 5/27/16 (144A) 390,000 $392,125
Progreso Receivables Funding II LLC, 3.5%, 7/8/19 (144A) 1,370,000 $1,374,129
Progreso Receivables Funding I LLC, 4.0%, 7/9/18 (144A) 1,000,000 $1,010,056
Prudential Covered Trust 2012-1, 2.997%, 9/30/15 (144A) 500,000 $413,680
Prudential Financial, Inc., 3.875%, 1/14/15 500,000 $508,657
Prudential Financial, Inc., 6.2%, 1/15/15 538,000 $553,154
PSEG Power LLC, 2.75%, 9/15/16 500,000 $522,959
PVH Corp., Tranche B Term Loan, 2/13/20 399,994 $402,937
Queen City Re, Floating Rate Note, 1/6/19 (Cat Bond) (144A) 500,000 $494,768
Queen Street IV Capital, Ltd., Floating Rate Note, 4/9/15 (Cat Bond) (144A) 750,000 $762,638
Queen Street VIII Re, Ltd., Floating Rate Note, 6/8/16 (Cat Bond) (144A) 250,000 $252,371
Queen Street VII Re, Ltd., Floating Rate Note, 4/8/16 (Cat Bond) (144A) 750,000 $778,300
Queen Street V Re, Ltd., Floating Rate Note, 4/9/15 (Cat Bond) (144A) 750,000 $767,259
Quest Trust REMICS, Floating Rate Note, 3/25/34 (144A) 24,804,330 $1,046,400
RAAC Series 2004-SP2 Trust, 6.0%, 1/25/32 11,000,000 $488,106
RAAC Series 2005-RP1 Trust, Floating Rate Note, 7/25/37 (144A) 583,530 $366,142
RAAC Series 2005-RP2 Trust, Floating Rate Note, 6/25/35 (144A) 995,000 $262,679
RAAC Series 2006-RP2 Trust, Floating Rate Note, 2/25/37 (144A) 4,099,889 $422,797
RAIT 2014-FL2 Trust, Floating Rate Note, 5/13/31 1,500,000 $1,486,631
RALI Series 2002-QS16 Trust, Floating Rate Note, 10/25/17 11,475,000 $234,688
RALI Series 2003-QR24 Trust REMICS, 4.0%, 7/25/33 950,000 $330,270
RALI Series 2003-QR24 Trust REMICS, 4.0%, 7/25/33 6,880,000 $773,392
RALI Series 2003-QS11 Trust, Floating Rate Note, 6/25/33 13,610,000 $673,232
RALI Series 2003-QS14 Trust, 5.0%, 7/25/18 600,000 $41,646
RALI Series 2003-QS15 Trust, 5.5%, 8/25/33 250,000 $184,609
RALI Series 2003-QS6 Trust, Floating Rate Note, 3/25/33 6,865,000 $432,518
RALI Series 2003-QS9 Trust, Floating Rate Note, 5/25/18 11,040,000 $506,048
RALI Series 2004-QR1 Trust, 5.25%, 10/25/34 21,545,000 $594,982
RALI Series 2004-QS16 Trust, 5.5%, 12/25/34 3,600,000 $246,922
RALI Series 2004-QS1 Trust, 4.25%, 1/25/34 14,997,000 $136,930
RALI Series 2004-QS1 Trust, Floating Rate Note, 1/25/34 2,884,000 $37,573
RALI Series 2004-QS5 Trust, 4.75%, 4/25/34 4,285,000 $251,359
RALI Series 2004-QS5 Trust, Floating Rate Note, 4/25/34 1,761,729 $101,867
RAMP Series 2003-RS9 Trust, Floating Rate Note, 10/25/33 5,091,956 $514,977
RAMP Series 2004-SL4 Trust, Floating Rate Note, 5/25/18 13,780,000 $96,905
RAMP Series 2005-RS5 Trust, Floating Rate Note, 5/25/35 360,000 $13,084
RAMP Series 2005-RS6 Trust, Floating Rate Note, 6/25/35 278,355 $187,422
RASC Series 2005-EMX2 Trust, Floating Rate Note, 7/25/35 40,280 $12,065
RASC Series 2005-KS7 Trust, Floating Rate Note, 8/25/35 1,450,000 $13,809
RASC Series 2006-KS1 Trust, Floating Rate Note, 2/25/36 1,200,000 $31,443
Ras Laffan Liquefied Natural Gas Co, Ltd. III, 5.5%, 9/30/14 (144A) 250,000 $256,409
Raymond James Financial, Inc., 4.25%, 4/15/16 283,000 $301,407
RBS Greenwich Capital Mortgage Loan Trust, 3.686%, 4/15/24 (144A) 2,440,000 $1,743,608
RBSSP Resecuritization Trust 2009-5, Floating Rate Note, 8/26/37 (144A) 2,550,000 $910,476
Reckitt Benckiser Treasury Services Plc, 2.125%, 9/21/18 (144A) 500,000 $505,179
Regatta Funding, Ltd., Floating Rate Note, 6/15/20 (144A) 500,000 $266,683
RENT-A-CENTER, INC, Term Loan (2014), 2/6/21 548,625 $545,882
Residential Asset Securitization Trust 2003-A2, Floating Rate Note, 5/25/33 34,300,000 $1,322,740
Residential Asset Securitization Trust 2004-A9, 5.75%, 12/25/34 870,000 $378,527
Residential Reinsurance 2011, Ltd., Floating Rate Note, 12/6/16 (Cat Bond) (144A) 500,000 $527,006
Residential Reinsurance 2011, Ltd., Floating Rate Note, 6/6/15 (Cat Bond) (144A) 500,000 $523,400
Residential Reinsurance 2012, Ltd., Floating Rate Note, 12/6/16 (Cat Bond) (144A) 1,150,000 $1,181,395
Residential Reinsurance 2012, Ltd., Floating Rate Note, 6/6/16 (Cat Bond) (144A) 250,000 $273,286
Residential Reinsurance 2013, Ltd., Floating Rate Note, 6/6/17 (Cat Bond) (144A) 250,000 $263,922
Residential Reinsurance 2014, Ltd., Floating Rate Note, 6/6/18 (Cat Bond) (144A) 250,000 $250,300
RESI Finance LP, Floating Rate Note, 9/10/35 (144A) 2,618,783 $519,154
Resi Flt% 12dec45 A1 500,000 $500,864
Resource Capital Corp 2014-CRE2, Ltd., Floating Rate Note, 4/15/32 1,480,000 $1,480,099
Resource Capital Corp CRE Notes 2013, Ltd., Floating Rate Note, 6/15/16 (144A) 1,000,000 $1,009,607
RFMSI Series 2005-S5 Trust, 5.25%, 7/25/35 300,770 $175,836
RFSC Series 2004-RP1 Trust, Floating Rate Note, 11/25/42 (144A) 250,000 $159,504
Rialto Capital Management LLC, 2.85%, 5/15/24 700,000 $547,616
Rio Tinto Finance USA Plc, Floating Rate Note, 6/17/16 560,000 $565,340
Riverfront Re, Ltd., Floating Rate Note, 1/6/17 (Cat Bond) (144A) 320,000 $312,530
Royal Bank of Canada, 1.45%, 9/9/16 1,000,000 $1,017,349
Royal Bank of Canada, Floating Rate Note, 1/23/17 550,000 $551,562
Royal Bank of Canada, Floating Rate Note, 6/16/17 1,000,000 $1,000,591
RREF 2013 LT2 LLC, 2.8331%, 5/22/28 (144A) 700,000 $212,858
Ryder System, Inc., 3.15%, 3/2/15 500,000 $514,226
SABMiller Holdings, Inc., 1.85%, 1/15/15 (144A) 500,000 $503,457
SACO I Trust 2005-8, Floating Rate Note, 11/25/35 3,250,775 $43,604
Sanders Re, Ltd., Floating Rate Note, 5/5/17 (Cat Bond) (144A) 750,000 $750,033
Sanders Re, Ltd., Floating Rate Note, 5/5/17 (Cat Bond) (144A) 750,000 $749,560
Sanders Re, Ltd., Floating Rate Note, 6/7/17 (Cat Bond) (144A) 650,000 $646,165
Santander Drive Auto Receivables Trust 2011-2, 2.66%, 1/15/16 285,000 $5,470
Santander Drive Auto Receivables Trust 2011-2, 3.28%, 6/15/16 700,000 $706,179
Santander Drive Auto Receivables Trust 2012-5, 2.7%, 8/15/18 125,000 $128,302
Santander Drive Auto Receivables Trust 2014-3, 1.45%, 5/15/19 1,000,000 $998,367
Santander Holdings USA, Inc. Pennsylvania, 3.0%, 9/24/15 2,899,000 $3,002,379
Santander Holdings USA, Inc. Pennsylvania, 3.45%, 8/27/18 600,000 $637,201
SASCO Mortgage Loan Trust 2005-GEL1, Floating Rate Note, 12/25/34 510,000 $373,898
SASCO Mortgage Loan Trust 2005-GEL2, Floating Rate Note, 4/25/35 8,945,588 $182,731
Saxon Asset Securities Trust 2005-3, Floating Rate Note, 11/25/35 471,000 $461,798
Saxon Asset Securities Trust 2005-4, Floating Rate Note, 11/25/37 9,516,000 $531,959
SBA Senior Finance II LLC, Incremental Tranche B-1 Term Loan, 3/31/21 200,000 $198,250
SBI Home Equity Loan Trust 2006-1, Floating Rate Note, 8/25/36 (144A) 1,350,000 $448,957
Seadrill Operating LP, Initial Term Loan, 2/14/21 845,750 $837,358
Sector Re V, Ltd., 0.0%, 3/1/18 (Cat Bond) (144A) 272 $17,040
Sector Re V, Ltd., 0.0%, 3/30/19 (Cat Bond) (144A) 300,000 $308,910
Selene Non-Performing Loans LLC, 2.9814%, 5/25/54 (Step) (144A) 1,020,000 $1,020,484
Senior Housing Properties Trust, 4.3%, 1/15/16 290,000 $300,138
Sequoia Mortgage Trust 2003-5, Floating Rate Note, 9/20/33 4,626,000 $221,550
Sequoia Mortgage Trust 2004-10, Floating Rate Note, 11/20/34 1,990,836 $214,742
Sequoia Mortgage Trust 2004-12 REMICS, Floating Rate Note, 1/20/35 3,700,000 $262,550
Sequoia Mortgage Trust 2004-12 REMICS, Floating Rate Note, 1/20/35 13,677,000 $1,579,978
Sequoia Mortgage Trust 2004-7, Floating Rate Note, 8/20/34 5,000,000 $261,215
Sequoia Mortgage Trust 2004-9, Floating Rate Note, 10/20/34 6,000,000 $652,361
Sequoia Mortgage Trust 2005-1, Floating Rate Note, 2/20/35 4,960,000 $486,289
Sequoia Mortgage Trust 2013-8, Floating Rate Note, 6/25/43 414,000 $356,204
Sequoia Mortgage Trust 2013-8, Floating Rate Note, 6/25/43 160,000 $143,609
Shell International Finance BV, Floating Rate Note, 11/15/16 750,000 $752,388
Sierra Timeshare 2012-2 Receivables Funding LLC, 2.38%, 3/20/29 (144A) 1,500,000 $500,679
Sierra Timeshare 2012-3 Receivables Funding LLC, 1.87%, 8/20/29 (144A) 1,400,000 $551,627
Sierra Timeshare 2013-1 Receivables Funding LLC, 2.39%, 11/20/29 (144A) 160,000 $71,581
Sierra Timeshare 2013-2 Receivables Funding LLC, 2.92%, 11/20/25 160,000 $87,559
Sierra Timeshare 2013-2 Receivables Funding LLC, 4.75%, 11/20/25 (144A) 900,000 $497,221
Silver Bay Realty 2014-1 Trust, Floating Rate Note, 9/17/31 (144A) 750,000 $750,000
SilverLeaf Finance XVII LLC, 2.71%, 3/16/26 (144A) 750,000 $532,431
Silverstone Master Issuer Plc, Floating Rate Note, 1/21/55 (144A) 290,000 $298,800
Silverton RE, Ltd., 0.0%, 9/16/16 (Cat Bond) (144A) 250,000 $291,450
Sinclair Television Group, Inc., New Tranche B Term Loan, 4/19/20 441,652 $437,648
Sirius International Group, Ltd., 6.375%, 3/20/17 (144A) 750,000 $852,838
Skandinaviska Enskilda Banken AB New York NY, Floating Rate Note, 9/21/15 750,000 $750,885
SLM Student Loan Trust 2004-10, Floating Rate Note, 4/27/26 (144A) 380,000 $381,512
Small Business Administration Participation Certificates, 2.24%, 4/15/43 (144A) 630,000 $623,751
SMART Trust/Australia, Floating Rate Note, 1/14/17 500,000 $500,168
SMART Trust/Australia, Floating Rate Note, 6/14/15 600,000 $31,908
SMART Trust/Australia, Floating Rate Note, 8/15/16 750,000 $750,475
SNAAC Auto Receivables Trust, 4.38%, 6/15/17 (144A) 460,000 $467,056
SNAAC Auto Receivables Trust 2013-1, 1.14%, 7/16/18 (144A) 404,000 $109,847
Soundview Home Loan Trust 2005-3, Floating Rate Note, 6/25/35 600,000 $101,498
Soundview Home Loan Trust 2005-OPT4, Floating Rate Note, 12/25/35 815,490 $236,273
South Carolina State Public Service Authority, Floating Rate Note, 6/1/15 890,000 $891,535
Southern Pacific Secured Asset Corp., Floating Rate Note, 3/25/28 32,000,000 $293,557
Southwire Co., Initial Term Loan, 1/31/21 304,238 $303,762
Specialty Underwriting & Residential Finance Trust Series 2006-BC1, Floating Rate Note, 12/25/36 790,207 $760,929
Spirit AeroSystems, Inc., Term Loan B, 9/30/20 532,962 $530,897
Springleaf Funding Trust 2013-A, 2.58%, 9/15/21 (144A) 1,200,000 $1,210,090
Springleaf Funding Trust 2014-A, 2.41%, 12/25/22 (144A) 1,000,000 $998,897
Springleaf Mortgage Loan Trust 2012-2, Floating Rate Note, 10/25/57 (144A) 424,000 $233,570
Standard Chartered Plc, 3.85%, 4/27/15 (144A) 500,000 $516,650
Stanwich Mortgage Loan Trust, 2.9814%, 2/16/43 (144A) 1,325,000 $469,146
Starbucks Corp., 0.875%, 12/5/16 605,000 $605,671
Starwood Property Mortgage Trust 2013-FV1, Floating Rate Note, 8/11/28 (144A) 640,000 $627,190
Starwood Property Trust, Inc., Term Loan (First Lien), 4/17/20 198,492 $197,779
State of Ohio, 3.0%, 6/15/15 500,000 $513,422
State Street Bank & Trust Co., Floating Rate Note, 12/8/15 550,000 $550,607
Steward Health Care System LLC, Term Loan, 4/10/20 297,744 $295,883
St Jude Medical, Inc., 2.5%, 1/15/16 510,000 $523,935
STORE Master Funding LLC, 5.77%, 8/20/42 (144A) 344,000 $365,533
Structured Adjustable Rate Mortgage Loan Trust, Floating Rate Note, 11/25/34 750,000 $83,608
Structured Adjustable Rate Mortgage Loan Trust, Floating Rate Note, 11/25/34 18,180,000 $951,200
Structured Adjustable Rate Mortgage Loan Trust, Floating Rate Note, 3/25/34 2,600,000 $187,256
Structured Adjustable Rate Mortgage Loan Trust, Floating Rate Note, 8/25/35 7,750,000 $490,699
Structured Asset Investment Loan Trust 2005-6, Floating Rate Note, 7/25/35 719,331 $712,859
Structured Asset Mortgage Investments II Trust 2004-AR5, Floating Rate Note, 10/19/34 8,100,000 $396,352
Structured Asset Mortgage Investments II Trust 2004-AR8, Floating Rate Note, 5/19/35 24,300,000 $1,395,252
Structured Asset Mortgage Investments II Trust 2005-AR2, Floating Rate Note, 5/25/45 5,000,000 $484,868
Structured Asset Mortgage Investments II Trust 2005-F1 REMICS, Floating Rate Note, 8/26/35 6,100,000 $149,130
Structured Asset Mortgage Investments Trust 2002-AR5, Floating Rate Note, 5/19/33 7,644,000 $405,909
Structured Asset Sec Corp Mor Pass Thr Cer Ser 2003-35, Floating Rate Note, 12/25/33 4,960,000 $328,128
Structured Asset Securities Corp Mor Cer Ser 2003-31A, Floating Rate Note, 10/25/33 1,500,000 $180,563
Structured Asset Securities Corp Mortgage Loan Trust 2005-2XS, 4.65%, 2/25/35 (Step) 1,000,000 $190,001
Structured Asset Securities Corp Mortgage Loan Trust 2005-WF4, Floating Rate Note, 11/25/35 475,000 $76,364
Structured Asset Securities Corp Mortgage Pass-Through Certificates Ser 2004-S4, Floating Rate Note, 500,000 $138,184
Structured Asset Securities Corp Mortgage Pass-Through Ctfs Ser 2003-24A, Floating Rate Note, 7/25/3 7,700,000 $988,310
Sumitomo Mitsui Banking Corp., Floating Rate Note, 1/10/17 750,000 $751,933
Sumitomo Mitsui Banking Corp., Floating Rate Note, 7/19/16 300,000 $302,142
Sumitomo Mitsui Trust Bank, Ltd., Floating Rate Note, 9/16/16 (144A) 500,000 $503,993
Sumiycd 0.22% 03oct14 750,000 $750,261
SunGard Data Systems, Inc., Tranche C Term Loan, 2/28/17 155,698 $156,282
SunTrust Bank, Floating Rate Note, 2/15/17 500,000 $501,221
SunTrust Bank, Floating Rate Note, 4/1/15 430,000 $430,145
SunTrust Banks, Inc., 3.5%, 1/20/17 500,000 $527,883
Svenska Handelsbanken AB, Floating Rate Note, 9/23/16 1,000,000 $1,006,285
Svenska Handelsbanken New York NY, Floating Rate Note, 1/16/15 200,000 $200,332
Svenska Handelsbanken New York NY, Floating Rate Note, 11/17/14 350,000 $350,373
SVO 2012-A VOI Mortgage LLC, 2.0%, 9/20/29 (144A) 1,600,000 $917,942
T2 Income Fund CLO, Ltd., Floating Rate Note, 7/15/19 (144A) 750,000 $745,500
TAL Advantage V LLC, 1.7%, 5/20/39 (144A) 400,000 $383,422
Tar Heel Re, Ltd., Floating Rate Note, 5/9/16 (Cat Bond) (144A) 250,000 $260,079
TD Ameritrade Holding Corp., 4.15%, 12/1/14 705,000 $718,336
Telecom Italia Capital SA, 4.95%, 9/30/14 750,000 $765,478
Telefonica Emisiones SAU, 3.992%, 2/16/16 500,000 $530,892
Tengizchevroil Finance Co Sarl, 6.124%, 11/15/14 (144A) 2,190,000 $161,683
Terex Corp., New U.S. Term Loan (2013), 4/28/17 258,332 $258,709
Terwin Mortgage Trust Series TMTS 2003-8HE, Floating Rate Note, 12/25/34 5,234,000 $158,623
Terwin Mortgage Trust Series TMTS 2005-10HE, Floating Rate Note, 6/25/36 199,992 $170,218
Terwin Mortgage Trust Series TMTS 2005-14HE, 4.8492%, 8/25/36 (Step) 630,000 $136,471
Texas Instruments, Inc., 0.875%, 3/12/17 500,000 $500,312
Texas Municipal Gas Acquisition & Supply Corp III, 5.0%, 12/15/15 500,000 $532,924
The Bank of New York Mellon Corp., 2.95%, 6/18/15 750,000 $769,425
The Bank of New York Mellon Corp., 3.1%, 1/15/15 220,000 $222,959
The Bank of New York Mellon Corp., Floating Rate Note, 10/23/15 595,000 $596,174
The Bank of Nova Scotia, 1.1%, 12/13/16 500,000 $502,030
The Bank of Nova Scotia, 1.375%, 7/15/16 500,000 $506,247
The Bank of Nova Scotia, 1.45%, 4/25/18 500,000 $495,184
The Bank of Nova Scotia, Floating Rate Note, 1/12/15 1,000,000 $1,005,483
The Bank of Tokyo-Mitsubishi UFJ, Ltd., 1.55%, 9/9/16 (144A) 1,000,000 $1,015,152
The Bank of Tokyo-Mitsubishi UFJ, Ltd., Floating Rate Note, 3/10/17 (144A) 500,000 $500,333
The Bear Stearns Companies LLC, 5.7%, 11/15/14 750,000 $770,145
The Bear Stearns Companies LLC, Floating Rate Note, 11/21/16 1,500,000 $1,500,486
The Boeing Co., 0.95%, 5/15/18 1,050,000 $1,023,341
The Charles Schwab Corp., 0.85%, 12/4/15 250,000 $251,136
The Geo Group, Inc., Term Loan, 4/3/20 496,231 $496,851
The Goldman Sachs Group, Inc., 3.7%, 8/1/15 340,000 $356,240
The Goldman Sachs Group, Inc., 5.0%, 10/1/14 1,150,000 $1,177,404
The Goldman Sachs Group, Inc., Floating Rate Note, 1/12/15 500,000 $500,667
The Goldman Sachs Group, Inc., Floating Rate Note, 11/21/14 250,000 $251,336
The Goldman Sachs Group, Inc., Floating Rate Note, 3/22/16 475,000 $475,377
The Goldman Sachs Group, Inc., Floating Rate Note, 9/29/14 390,000 $390,593
The Huntington National Bank, 1.3%, 11/20/16 500,000 $503,444
The Huntington National Bank, Floating Rate Note, 4/24/17 500,000 $500,406
The Korea Development Bank, Floating Rate Note, 1/22/17 750,000 $751,010
The PNC Financial Services Group, Inc., Floating Rate Note (Perpetual) 600,000 $604,286
Thermo Fisher Scientific, Inc., 2.4%, 2/1/19 1,000,000 $1,018,657
The Toronto-Dominion Bank, 1.4%, 4/30/18 500,000 $494,515
The Toronto-Dominion Bank, Floating Rate Note, 5/2/17 500,000 $500,722
The Toronto-Dominion Bank, Floating Rate Note, 7/2/19 750,000 $751,857
The Toronto-Dominion Bank, Floating Rate Note, 9/9/16 500,000 $503,227
The Walt Disney Co., Floating Rate Note, 5/30/19 750,000 $751,323
Thomson Reuters Corp., 0.875%, 5/23/16 250,000 $250,087
Thomson Reuters Corp., 1.3%, 2/23/17 500,000 $501,552
Thornburg Mortgage Securities Trust 2003-3, Floating Rate Note, 6/25/43 3,857,000 $135,636
Thornburg Mortgage Securities Trust 2004-1, Floating Rate Note, 3/25/44 2,950,000 $226,396
Thornburg Mortgage Securities Trust 2004-1, Floating Rate Note, 3/25/44 4,537,000 $758,686
Thornburg Mortgage Securities Trust 2004-1, Floating Rate Note, 3/25/44 20,000,000 $230,893
Thornburg Mortgage Securities Trust 2004-3, Floating Rate Note, 9/25/44 11,309,309 $1,095,758
Thornburg Mortgage Securities Trust 2004-4, Floating Rate Note, 12/25/44 1,225,000 $250,051
TimberStar Trust 1 REMICS, 5.668%, 10/15/36 (144A) 525,000 $570,997
TMS International Corp., Term B Loan, 10/2/20 149,250 $150,088
TORONTO-DOMINION BANK, Floating Rate Note, 11/6/15 500,000 $501,323
Total Capital Canada, Ltd., Floating Rate Note, 1/15/16 1,115,000 $1,120,922
Toyota Motor Credit Corp., 0.75%, 3/3/17 (Step) 3,075,000 $3,063,920
Toyota Motor Credit Corp., 1.125%, 5/16/17 750,000 $749,932
Tradewynd Re, Ltd., Floating Rate Note, 1/8/15 (Cat Bond) (144A) 250,000 $250,470
Trafigura Securitisation Finance Plc, Floating Rate Note, 10/15/15 (144A) 525,000 $530,574
Trafigura Securitisation Finance Plc, Floating Rate Note, 10/15/15 (144A) 487,000 $491,520
TransCanada PipeLines, Ltd., 0.75%, 1/15/16 650,000 $650,886
TransCanada PipeLines, Ltd., 0.875%, 3/2/15 490,000 $493,194
TransCanada PipeLines, Ltd., Floating Rate Note, 6/30/16 690,000 $696,736
Tribune Media Co., Initial Term Loan, 11/20/20 870,625 $871,056
Tyco Electronics Group SA, 1.6%, 2/3/15 640,000 $648,602
U.S. Treasury Notes, 0.25%, 7/15/15 12,200,000 $12,214,756
U.S. Treasury Notes, 0.375%, 2/15/16 4,500,000 $4,511,475
U.S. Treasury Notes, 1.5%, 8/31/18 5,500,000 $5,528,936
United Auto Credit Securitization Trust 2012-1, 1.87%, 9/15/15 (144A) 750,000 $48,063
United Auto Credit Securitization Trust 2012-1, 3.12%, 3/15/18 (144A) 1,220,000 $1,228,723
United Auto Credit Securitization Trust 2013-1, 1.74%, 4/15/16 (144A) 825,000 $828,674
United Auto Credit Securitization Trust 2014-1, 2.38%, 10/15/18 (144A) 700,000 $700,001
UnitedHealth Group, Inc., 1.875%, 11/15/16 500,000 $512,964
United Technologies Corp., Floating Rate Note, 6/1/15 500,000 $502,742
University of California, 0.966%, 5/15/17 500,000 $500,165
US Bancorp, 2.45%, 7/27/15 755,000 $770,813
US Renal Care, Inc., Tranche B-2 Term Loan (First Lien), 7/3/19 552,218 $551,701
Vantiv LLC, Term B Loan, 6/12/21 340,000 $341,700
Ventas Realty LP, 3.125%, 11/30/15 500,000 $517,683
Vericrest Opportunity Loan Transferee 2014-NPL4 LLC, 3.125%, 4/27/54 (Step) (144A) 1,700,000 $1,696,056
Verint Systems, Inc., Tranche B Incremental Term Loan, 9/6/19 261,457 $261,457
Verizon Communications, Inc., 3.0%, 4/1/16 500,000 $522,689
Verizon Communications, Inc., Floating Rate Note, 9/15/16 535,000 $550,345
VFC 2014-2 LLC, 2.75%, 7/20/30 (144A) 1,060,000 $961,210
Viacom, Inc., 2.5%, 9/1/18 500,000 $512,647
Vita Capital IV, Ltd., Floating Rate Note, 1/15/16 (Cat Bond) (144A) 250,000 $253,095
Vita Capital V, Ltd., Floating Rate Note, 1/15/17 (Cat Bond) (144A) 250,000 $256,429
Vita Capital V, Ltd., Floating Rate Note, 1/15/17 (Cat Bond) (144A) 750,000 $762,890
Vitality Re IV, Ltd., Floating Rate Note, 1/9/17 (Cat Bond) (144A) 500,000 $511,946
Vitality Re V, Ltd., Floating Rate Note, 1/7/19 (Cat Bond) (144A) 500,000 $499,653
Vodafone Group Plc, Floating Rate Note, 2/19/16 275,000 $276,000
Volkswagen Credit Auto Master Owner Trust, Floating Rate Note, 9/20/16 (144A) 100,000 $100,089
Volkswagen Group of America Finance LLC, Floating Rate Note, 5/23/16 1,000,000 $1,001,398
Volkswagen International Finance NV, 1.125%, 11/18/16 (144A) 750,000 $752,837
Volkswagen International Finance NV, 1.15%, 11/20/15 (144A) 750,000 $754,814
Volkswagen International Finance NV, 1.6%, 11/20/17 (144A) 500,000 $503,451
VOLT XVI LLC, 4.25%, 8/25/58 (Step) (144A) 609,438 $393,775
VOLT XXIII LLC, 3.625%, 11/25/53 (Step) 475,000 $461,014
VOLT XXIV LLC, 3.25%, 11/25/53 (Step) 600,000 $580,030
VOLT XX LLC, 3.625%, 2/1/39 (Step) (144A) 550,000 $515,351
Volvo Financial Equipment LLC Series 2014-1, 0.54%, 11/15/16 (144A) 415,000 $415,104
Wachovia Bank Commercial Mortgage Trust Series 2005-C16, Floating Rate Note, 10/15/41 465,000 $289,917
Wachovia Bank Commercial Mortgage Trust Series 2005-C17, Floating Rate Note, 3/15/42 1,965,000 $1,915,693
Wachovia Bank Commercial Mortgage Trust Series 2005-C18, 4.935%, 4/15/42 1,506,334 $1,527,517
Wachovia Bank Commercial Mortgage Trust Series 2005-C20 REMICS, Floating Rate Note, 7/15/42 530,000 $499,120
Wachovia Bank Commercial Mortgage Trust Series 2005-C21, Floating Rate Note, 10/17/44 625,364 $542,952
Wachovia Bank Commercial Mortgage Trust Series 2006-C24, Floating Rate Note, 3/15/45 272,000 $280,510
Wachovia Corp., Floating Rate Note, 6/15/17 500,000 $499,633
Wachovia Mortgage Loan Trust Series 2005-WMC1, Floating Rate Note, 10/25/35 750,000 $159,455
Walgreen Co., 1.0%, 3/13/15 1,000,000 $1,007,387
Walgreen Co., 1.8%, 9/15/17 1,000,000 $1,012,715
WaMu Mortgage Pass-Through Certificates Series 2002-AR6 Trust, Floating Rate Note, 6/25/42 29,950,000 $389,346
WaMu Mortgage Pass-Through Certificates Series 2003-AR9 Trust, Floating Rate Note, 9/25/33 3,062,360 $1,202,660
WaMu Mortgage Pass-Through Certificates Series 2003-S10, 5.0%, 10/25/18 17,361,049 $688,905
Waupaca Foundry, Inc., Term Loan, 6/29/17 289,181 $289,814
WCP Wireless Site Funding, 6.829%, 11/15/15 (144A) 1,155,000 $1,203,017
Welk Resorts 2013-A LLC, 3.1%, 3/15/29 (144A) 750,000 $652,404
Wells Fargo & Co., 1.25%, 7/20/16 500,000 $504,425
Wells Fargo & Co., 1.5%, 7/1/15 1,050,000 $1,062,298
Wells Fargo & Co., Floating Rate Note, 4/23/18 575,000 $580,240
Wells Fargo & Co., Floating Rate Note, 6/26/15 585,000 $590,243
Wells Fargo Alternative Loan 2005-2 Trust, Floating Rate Note, 10/25/35 453,135 $449,256
Wells Fargo Bank NA, Floating Rate Note, 5/16/16 250,000 $249,852
Wells Fargo Commercial Mortgage Trust 2014-TISH, Floating Rate Note, 2/16/27 (144A) 690,000 $691,341
Wells Fargo Home Equity Asset-Backed Securities 2005-3 Trust, Floating Rate Note, 12/25/35 200,000 $69,713
Wells Fargo Mortgage Backed Securities 2005-AR6 Trust, Floating Rate Note, 4/25/35 3,371,000 $259,494
Wells Fargo Mortgage Backed Securities 2006-16 Trust, 5.0%, 11/25/36 550,000 $33,344
Wells Fargo Mortgage Backed Securities Trust, Floating Rate Note, 8/25/34 3,105,000 $188,203
Wesco Aircraft Hardware Corp., Tranche B Term Loan, 2/24/21 866,250 $862,821
WESCO Distribution, Inc., Tranche B-1 Loan, 12/12/19 61,163 $61,315
Westgate Resorts 2012-2 LLC, 3.0%, 1/21/25 (144A) 350,000 $147,701
Westgate Resorts 2012-A LLC, 2.25%, 8/20/25 (144A) 1,490,000 $954,882
Westgate Resorts 2012-A LLC, 3.75%, 8/20/25 (144A) 403,000 $260,488
Westgate Resorts LLC, 2.5%, 3/20/25 (144A) 250,000 $126,241
Westlake Automobile Receivables Trust 2013-1, 1.12%, 1/15/18 (144A) 150,000 $132,259
Westpac Banking Corp., 4.2%, 2/27/15 500,000 $519,895
Westpac Banking Corp., Floating Rate Note, 5/19/17 1,000,000 $1,001,663
Westwood CDO II, Ltd., Floating Rate Note, 4/25/22 (144A) 500,000 $425,325
Williams Partners LP, 3.8%, 2/15/15 750,000 $775,264
WMC Mortgage Loan Trust 1998-B, Floating Rate Note, 10/20/29 8,000,000 $228,846
Wm Wrigley Jr Co., 2.0%, 10/20/17 (144A) 1,000,000 $1,016,588
World Financial Network Credit Card Master Trust, Floating Rate Note, 2/15/19 950,000 $950,684
WR Grace & Co-Conn, Delayed Draw Term Loan, 1/23/21 72,296 $72,198
WR Grace & Co-Conn, U.S. Term Loan, 1/23/21 201,924 $201,651
ZIGGO BV, (USD) TLB3, 1/15/22 476,177 $468,694
Ziggo Bv 1st Lien Tl-B1 L + 2.75% 15jan22 449,291 $442,231
Ziggo Bv 1st Lien Tl-B2 L + 2.75% 15jan22 289,532 $284,982
Zoetis, Inc., 1.15%, 2/1/16 500,000 $504,585

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

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

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