Pioneer Short Term Income Fund

Top 10 Portfolio Holdings as of 8/29/2014
Default: sorted by market value

Security Name Par / Shares Market Value
321 Henderson Receivables I LLC, Floating Rate Note, 6/15/41 (144A) 2,000,000 $769,423
77 Energy 1st Lien Tl-B L + 3% 17jun21 350,000 $350,766
A10 Securitization 2013-1 LLC, 2.4%, 11/17/25 (144A) 642,000 $463,057
A10 Term Asset Financing 2013-2 LLC, 2.62%, 11/15/27 (144A) 1,085,000 $1,081,729
ABN AMRO Bank NV, 1.375%, 1/22/16 (144A) 500,000 $504,288
ABN AMRO Bank NV, Floating Rate Note, 10/28/16 (144A) 750,000 $757,625
ACA CLO 2006-2, Ltd., Floating Rate Note, 1/20/21 (144A) 250,000 $245,109
ACAS CLO 2007-1, Ltd., Floating Rate Note, 4/20/21 500,000 $434,950
Accredited Mortgage Loan Trust 2005-2, Floating Rate Note, 7/25/35 240,000 $231,466
ACE Securities Corp Manufactured Housing Trust Series 2003-MH1, Floating Rate Note, 8/15/30 (144A) 425,000 $64,353
ACIS CLO 2014-4, Ltd., Floating Rate Note, 5/1/26 700,000 $700,021
Acosta, Inc., Term B Loan (2013), 3/2/18 247,501 $248,584
ACRE Commercial Mortgage Trust 2014-FL2, Floating Rate Note, 8/15/31 (144A) 700,000 $700,529
Activision Blizzard, Inc., Term Loan, 7/26/20 450,000 $450,625
Adjustable Rate Mortgage Trust 2005-2, Floating Rate Note, 6/25/35 345,151 $271,319
Adjustable Rate Mortgage Trust 2005-5, Floating Rate Note, 9/25/35 3,300,000 $291,931
Aegis Asset Backed Securities Trust 2005-5, Floating Rate Note, 12/25/35 1,000,000 $271,119
Aegis Asset Backed Securities Trust Mortgage Pass-Through Ctfs Ser 2005-4, Floating Rate Note, 10/25 239,000 $131,374
Aegis Asset Backed Securities Trust Mortgage Pass- Through Ctfs Series 2004-3, Floating Rate Note, 9 881,754 $169,137
Aegis Asset Backed Securities Trust Mortgage Pass- Through Ctfs Series 2004-3, Floating Rate Note, 9 12,500,000 $515,973
Aflac, Inc., 3.45%, 8/15/15 500,000 $515,316
Aircastle, Ltd., 6.75%, 4/15/17 1,100,000 $1,224,300
Alamo Re, Ltd., Floating Rate Note, 6/7/17 (Cat Bond) (144A) 250,000 $255,950
Albertsons LLC, Term B-2 Loan, 3/21/19 646,754 $648,169
Allegion US Holding Co, Inc., Tranche B Term Loan, 12/26/20 497,500 $496,360
Alliant Techsystems, Inc., Term B Loan, 10/22/20 198,750 $199,185
Allied Security Holdings LLC, Delayed Draw Term Loan (First Lien), 2/12/21 511,570 $508,773
Ally Auto Receivables Trust 2014-SN1, Floating Rate Note, 10/20/16 500,000 $499,798
Altair Re, Floating Rate Note, 4/30/16 (Cat Bond) 84,180 $17,989
Altera Corp., 2.5%, 11/15/18 500,000 $509,590
Alterna Funding I LLC, 1.639%, 2/15/21 (144A) 400,000 $400,565
Alternative Loan Trust 2003-14T1, Floating Rate Note, 8/25/18 3,200,000 $135,340
Alternative Loan Trust 2003-J1, 4.75%, 10/25/33 4,300,000 $208,293
Alternative Loan Trust 2004-18CB, Floating Rate Note, 9/25/34 19,958,000 $14,848
Alternative Loan Trust 2004-4CB, 4.25%, 4/25/34 4,541,000 $198,183
Alternative Loan Trust 2004-6CB, Floating Rate Note, 4/25/34 4,500,000 $341,974
Alternative Loan Trust 2005-J4, Floating Rate Note, 7/25/35 1,322,801 $1,284,749
Altrl Flt% 30jun16 350,000 $366,450
AMC Entertainment, Inc., Initial Term Loan, 4/30/20 248,116 $247,451
America Movil SAB de CV, Floating Rate Note, 9/12/16 1,000,000 $1,010,963
American Credit Acceptance Receivables Trust, 1.64%, 11/15/16 (144A) 378,000 $71,671
American Credit Acceptance Receivables Trust 2013-1, 1.45%, 4/16/18 (144A) 41,000 $15,584
American Credit Acceptance Receivables Trust 2013-2, 1.32%, 2/15/17 (144A) 280,000 $108,476
American Credit Acceptance Receivables Trust 2014-1, 1.14%, 3/12/18 (144A) 520,000 $324,100
American Credit Acceptance Receivables Trust 2014-2, 0.99%, 10/10/17 (144A) 500,000 $406,246
American Credit Acceptance Receivables Trust 2014-3, 0.99%, 8/10/18 (144A) 410,000 $410,260
American Electric Power Co, Inc., 1.65%, 12/15/17 500,000 $503,670
American Express Credit Account Secured Note Trust 2012-4, Floating Rate Note, 5/15/20 (144A) 760,000 $765,293
American Express Credit Corp., 1.3%, 7/29/16 500,000 $505,941
American Express Credit Corp., Floating Rate Note, 6/12/15 200,000 $202,158
American Home Mortgage Investment Trust 2004-3, 5.01%, 10/25/34 (Step) 4,000,000 $232,039
American Home Mortgage Investment Trust 2005-1, Floating Rate Note, 6/25/45 1,500,000 $205,725
American Homes 4 Rent 2014-SFR1, Floating Rate Note, 6/19/31 (144A) 665,000 $654,909
American Honda Finance Corp., 1.125%, 10/7/16 500,000 $505,185
American Honda Finance Corp., 1.2%, 7/14/17 750,000 $750,858
American Honda Finance Corp., 1.85%, 9/19/14 (144A) 200,000 $201,793
American Honda Finance Corp., Floating Rate Note, 5/26/16 (144A) 1,675,000 $1,683,115
AmeriCredit Automobile Receivables Trust 2010-2, 6.24%, 6/8/16 567,000 $465,423
AmeriCredit Automobile Receivables Trust 2010-4, 6.4%, 4/9/18 (144A) 100,000 $101,694
AmeriCredit Automobile Receivables Trust 2011-3, 4.04%, 7/10/17 100,000 $103,431
AmeriCredit Automobile Receivables Trust 2011-5, 2.45%, 12/8/16 500,000 $503,245
AmeriCredit Automobile Receivables Trust 2012-4, 3.82%, 2/10/20 500,000 $517,580
AmeriCredit Automobile Receivables Trust 2013-1, 1.57%, 1/8/19 150,000 $149,664
AmeriCredit Automobile Receivables Trust 2013-4, 0.74%, 11/8/16 500,000 $270,299
AmeriCredit Automobile Receivables Trust 2013-4, 3.31%, 10/8/19 500,000 $510,616
AmeriCredit Automobile Receivables Trust 2014-2, Floating Rate Note, 10/10/17 380,000 $380,020
Ameriquest Mortgage Securities Inc Asset-Backed Pass-Through Ctfs Ser 2003-11, Floating Rate Note, 1 14,558,685 $656,379
Ameriquest Mortgage Securities Inc Asset-Backed Pass-Through Ctfs Ser 2005-R1, Floating Rate Note, 3 592,188 $339,141
Ameriquest Mortgage Securities Inc Asset Backed Pass-Through Ctfs Ser 2005-R11, Floating Rate Note, 962,222 $687,179
Ameriquest Mortgage Securities Inc Asset-Backed Pass-Through Ctfs Ser 2005-R6, Floating Rate Note, 8 2,840,000 $28,974
Ameriquest Mortgage Securities Inc Asset-Backed Pass-Through Ctfs Ser 2005-R9, 4.96702%, 11/25/35 (S 590,000 $517,080
Ameriquest Mort Sec Inc Asset Backed Pass Thr Cert 03 AR3, Floating Rate Note, 6/25/33 155,851 $100,012
Amgen, Inc., 2.5%, 11/15/16 500,000 $519,978
AMRESCO Residential Securities Corp Mortgage Loan Trust 1997-3, Floating Rate Note, 9/25/27 8,300,000 $193,736
Anheuser-Busch Companies LLC, 5.0%, 1/15/15 225,000 $230,314
Anheuser-Busch InBev Finance, Inc., Floating Rate Note, 1/27/17 500,000 $501,048
Anheuser-Busch InBev Worldwide, Inc., 4.125%, 1/15/15 580,000 $590,860
ANZ New Zealand Int'l, Ltd. London, 1.125%, 3/24/16 (144A) 1,000,000 $1,009,879
Apple, Inc., Floating Rate Note, 5/3/16 400,000 $400,251
ARC Properties Operating Partnership LP, 2.0%, 2/6/17 (144A) 500,000 $501,461
ARI Fleet Lease Trust 2012-A, Floating Rate Note, 3/15/20 (144A) 810,000 $185,596
ARI Fleet Lease Trust 2013-A, 0.7%, 12/15/15 (144A) 960,000 $581,296
Arlington Flt% 01aug15 250,000 $256,200
Armor Re, Ltd., Floating Rate Note, 12/15/16 (Cat Bond) (144A) 300,000 $301,743
Arysta Lifescience SPC LLC, Initial Term Loan (First Lien), 5/29/20 705,683 $706,654
Ascentium Equipment Receivables 2012-1 LLC, 1.83%, 9/15/19 (144A) 822,000 $159,804
Ascentium Equipment Receivables 2014-1 LLC, 1.04%, 1/10/17 400,000 $400,365
Ascentium Equipment Receivables 2014-1 LLC, 3.1%, 6/10/21 (144A) 700,000 $705,818
ASG Resecuritization Trust 2010-3, Floating Rate Note, 12/29/45 (144A) 1,642,839 $776,468
Asset Backed Securities Corp Home Equity Loan Trust Series 2003-HE1, Floating Rate Note, 1/15/33 3,082,000 $731,084
Asset Backed Securities Corp Home Equity Loan Trust Series 2004-HE6, Floating Rate Note, 9/25/34 7,075,000 $501,129
Asset Backed Securities Corp Home Equity Loan Trust Series 2005-HE3, Floating Rate Note, 4/25/35 159,800 $128,856
Asset Backed Securities Corp Home Equity Loan Trust Series AEG 2006-HE1, Floating Rate Note, 1/25/36 311,384 $60,050
Assurant, Inc., 2.5%, 3/15/18 300,000 $306,364
Atlantic Power LP, Term Loan, 2/20/21 1,101,525 $1,108,409
Atlas IX Capital, Ltd., Floating Rate Note, 1/17/19 (Cat Bond) (144A) 500,000 $517,151
Atlas Reinsurance VII, Ltd., Floating Rate Note, 1/7/16 (Cat Bond) (144A) 250,000 $262,208
Avago Technologies Ltd 1st Lien Tl-B L + 3% 16apr21 395,000 $395,141
AXIS Equipment Finance Receivables II LLC, 3.81%, 12/20/16 400,000 $400,601
AXIS Equipment Finance Receivables II LLC, 4.94%, 7/20/18 (144A) 700,000 $708,586
BAMLL Commercial Mortgage Securities Trust 2014-ICTS, Floating Rate Note, 6/15/28 (144A) 580,000 $580,751
Banc of America Alternative Loan Trust 2003-10, Floating Rate Note, 12/25/33 2,600,000 $159,715
Banc of America Alternative Loan Trust 2004-2, 5.5%, 3/25/19 954,266 $119,029
Banc of America Alternative Loan Trust 2004-4, 5.25%, 5/25/19 1,363,000 $171,230
Banc of America Commercial Mortgage Trust 2006-1, Floating Rate Note, 9/10/45 1,450,000 $1,523,385
Banc of America Commercial Mortgage Trust 2006-1, Floating Rate Note, 9/10/45 1,000,000 $1,049,539
Banc of America Funding 2003-3 Trust, 5.5%, 10/25/33 617,825 $135,162
Banc of America Funding 2004-B Trust, Floating Rate Note, 12/20/34 6,667,000 $537,274
Banc of America Merrill Lynch Commercial Mortgage, Inc., Floating Rate Note, 10/10/45 1,370,000 $1,355,541
Banc of America Merrill Lynch Commercial Mortgage, Inc., Floating Rate Note, 9/10/47 1,780,000 $1,844,354
Banc of America Merrill Lynch Commercial Mortgage, Inc. REMICS, Floating Rate Note, 7/10/43 645,000 $621,121
Banc of America Mortgage 2003-F Trust, Floating Rate Note, 7/25/33 5,619,027 $279,074
Banc of America Mortgage 2003-H Trust, Floating Rate Note, 9/25/33 13,410,000 $1,137,663
Banc of America Mortgage 2004-D Trust, Floating Rate Note, 5/25/34 4,920,000 $561,046
Banc of America Mortgage Trust 2004-7, 4.5%, 8/25/19 181,000 $14,387
Banco Nacional de Desenvolvimento Economico e Social, 3.375%, 9/26/16 (144A) 1,000,000 $1,042,531
Bank of America Corp., 1.25%, 1/11/16 575,000 $578,997
Bank of America Corp., 1.35%, 11/21/16 500,000 $503,494
Bank of America Corp., 3.7%, 9/1/15 500,000 $523,988
Bank of America Corp., 4.5%, 4/1/15 210,000 $218,738
Bank of America Corp., Floating Rate Note, 1/15/15 750,000 $751,446
Bank of America Corp., Floating Rate Note, 3/22/16 2,000,000 $2,018,650
Bank of America Corp., Floating Rate Note, 8/25/17 408,000 $409,135
Bank of America NA, 1.25%, 2/14/17 500,000 $501,228
Bank of Montreal, 0.8%, 11/6/15 500,000 $503,314
Barclays Bank Plc, Floating Rate Note, 2/17/17 229,000 $230,186
Barclays Dryrock Issuance Trust, Floating Rate Note, 3/16/20 500,000 $500,117
Baxter International, Inc., 0.95%, 6/1/16 500,000 $503,337
Baxter International, Inc., 4.625%, 3/15/15 750,000 $766,920
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 $95,604
Bayview Commercial Asset Trust, Floating Rate Note, 1/25/35 (144A) 4,600,000 $733,051
Bayview Commercial Asset Trust, Floating Rate Note, 4/25/34 (144A) 4,150,000 $422,981
Bayview Financial Acquisition Trust, Floating Rate Note, 5/28/44 7,600,000 $128,174
Bayview Financial Asset Trust 2003-A, Floating Rate Note, 2/25/33 (144A) 7,852,000 $248,551
Bayview Financial Mortgage Pass-Through Trust 2005-C, Floating Rate Note, 6/28/44 750,000 $724,672
Bayview Financial Mortgage Pass-Through Trust 2006-A, Floating Rate Note, 2/28/41 1,639,000 $151,336
Bayview Financial Mortgage Pass-Through Trust 2006-B, Floating Rate Note, 4/28/36 1,207,803 $320,144
Bayview Financial Mortgage Pass-Through Trust 2006-B, Floating Rate Note, 4/28/36 603,000 $44,838
Bayview Financial Mortgage Pass-Through Trust Series 2005-B, Floating Rate Note, 4/28/39 425,000 $419,622
Bayview Opportunity Master Fund IIa Trust 2012-4NPL, 3.9496%, 1/28/34 (Step) 695,000 $431,090
Bayview Opportunity Master Fund IIa Trust 2014-20NPL, Floating Rate Note, 8/28/44 (144A) 420,000 $420,130
Bayview Opportunity Master Fund Trust IIIa 2014-12RPL, 3.6225%, 7/28/19 (Step) (144A) 465,000 $466,946
BB&T Corp., 1.6%, 8/15/17 103,000 $103,624
BCAP LLC 2009-RR13-I Trust, Floating Rate Note, 9/26/35 (144A) 2,765,000 $742,205
BCAP LLC 2013-RR3 Trust, Floating Rate Note, 5/28/36 (144A) 500,000 $392,859
BCAP LLC 2013-RR7 Trust, Floating Rate Note, 12/27/34 420,000 $387,087
BCMSC Trust 1998-A, 6.65%, 4/15/28 2,750,000 $90,415
Bear Stearns ALT-A Trust 2004-11, Floating Rate Note, 11/25/34 7,155,000 $400,224
Bear Stearns ALT-A Trust 2004-12, Floating Rate Note, 1/25/35 5,395,000 $660,993
Bear Stearns ALT-A Trust 2004-12, Floating Rate Note, 1/25/35 3,695,000 $492,680
Bear Stearns ALT-A Trust 2004-12, Floating Rate Note, 1/25/35 3,280,000 $376,405
Bear Stearns ALT-A Trust 2004-12, Floating Rate Note, 1/25/35 8,440,000 $1,119,792
Bear Stearns ALT-A Trust 2004-13, Floating Rate Note, 11/25/34 1,905,000 $102,574
Bear Stearns ALT-A Trust 2004-4, Floating Rate Note, 6/25/34 10,699,000 $901,594
Bear Stearns ARM Trust 2003-3, Floating Rate Note, 5/25/33 9,158,341 $290,161
Bear Stearns ARM Trust 2004-10 REMICS, Floating Rate Note, 1/25/35 720,000 $114,560
Bear Stearns ARM Trust 2004-3, Floating Rate Note, 7/25/34 2,481,203 $93,083
Bear Stearns ARM Trust 2004-9, Floating Rate Note, 11/25/34 1,014,658 $130,809
Bear Stearns Asset Backed Securities I Trust 2005-FR1, Floating Rate Note, 6/25/35 1,526,722 $585,181
Bear Stearns Asset Backed Securities I Trust 2005-HE6, Floating Rate Note, 6/25/35 1,350,000 $48,843
Bear Stearns Asset Backed Securities I Trust 2005-HE8, Floating Rate Note, 8/25/35 1,233,951 $20,603
Bear Stearns Asset Backed Securities Trust, Floating Rate Note, 2/25/35 5,848,300 $327,722
Bear Stearns Asset Backed Securities Trust 2003-SD2, Floating Rate Note, 6/25/43 3,896,100 $289,780
Bear Stearns Asset Backed Securities Trust 2004-2, Floating Rate Note, 8/25/34 389,000 $75,340
Bear Stearns Asset Backed Securities Trust 2006-SD2, Floating Rate Note, 6/25/36 412,000 $235,123
Bear Stearns Commercial Mortgage Securities Trust 2005-PWR10, Floating Rate Note, 12/11/40 1,240,000 $1,258,401
Bear Stearns Commercial Mortgage Securities Trust 2005-PWR7, Floating Rate Note, 2/11/41 550,000 $556,279
Bear Stearns Commercial Mortgage Securities Trust 2005-PWR8, 4.75%, 6/11/41 415,000 $425,503
Bear Stearns Commercial Mortgage Securities Trust 2005-PWR9, 4.871%, 9/11/42 2,280,000 $1,951,064
Bear Stearns Commercial Mortgage Securities Trust 2005-PWR9, Floating Rate Note, 9/11/42 1,160,000 $1,199,304
Bear Stearns Commercial Mortgage Securities Trust 2005-TOP18, Floating Rate Note, 2/13/42 1,150,000 $993,367
Bear Stearns Commercial Mortgage Securities Trust 2005-TOP20, Floating Rate Note, 10/12/42 1,905,000 $1,975,232
Bear Stearns Mortgage Securities, Inc., Floating Rate Note, 6/25/30 731,690 $133,398
Bear Stearns Structured Products Trust 2007-EMX1, Floating Rate Note, 3/25/37 (144A) 1,130,000 $237,785
Belden Finance 2013 LP, Initial Term Loan, 9/9/20 248,125 $248,125
Bella Vista Mortgage Trust 2004-1, Floating Rate Note, 11/20/34 12,618,000 $376,580
Berkshire Hathaway Finance Corp., Floating Rate Note, 1/10/17 1,000,000 $1,002,212
Berkshire Hathaway Finance Corp., Floating Rate Note, 8/14/17 1,000,000 $1,000,642
BHP Billiton Finance USA, Ltd., Floating Rate Note, 9/30/16 500,000 $501,153
Blue Danube, Ltd., Floating Rate Note, 4/10/15 (Cat Bond) (144A) 650,000 $685,448
Blue Danube II, Ltd., Floating Rate Note, 5/23/16 (Cat Bond) (144A) 500,000 $511,315
BMW Vehicle Owner Trust 2011-A, 0.76%, 8/25/15 100,000 $61
Boca Hotel Portfolio Trust 2013-BOCA, Floating Rate Note, 8/17/26 (144A) 430,000 $430,781
Bosphorus 1 Re, Ltd., Floating Rate Note, 5/3/16 (Cat Bond) (144A) 250,000 $250,802
Boston Scientific Corp., 2.65%, 10/1/18 500,000 $515,059
BPCE SA, Floating Rate Note, 4/25/16 550,000 $559,414
Branch Banking & Trust Co., 1.35%, 10/1/17 500,000 $499,282
Branch Banking & Trust Co., 2.3%, 10/15/18 500,000 $513,762
Branch Banking & Trust Co., Floating Rate Note, 5/23/17 250,000 $248,299
Branch Banking & Trust Co., Floating Rate Note, 9/13/16 500,000 $499,313
Bright Horizons Family Solutions, Inc., Term B Loan, 1/30/20 297,733 $297,051
British Telecommunications Plc, 2.0%, 6/22/15 1,004,000 $1,019,125
Bush Truck Leasing LLC, 5.0%, 9/25/18 (144A) 100,000 $7,588
Bway Holding Co 1st Lien Tl-B L + 4.5% 08aug20 100,000 $100,938
Caelus Re, Ltd., Floating Rate Note, 3/7/16 (Cat Bond) (144A) 500,000 $512,494
Caelus Re 2013, Ltd., Floating Rate Note, 4/7/17 (Cat Bond) (144A) 750,000 $791,855
California Republic Auto Receivables Trust 2012-1, 1.18%, 8/15/17 (144A) 329,000 $105,810
Calpine Construction Finance Co LP, Term B-2 Loan, 1/3/22 671,618 $662,593
CAM Mortgage Trust 2014-1, 3.3515%, 12/15/53 (Step) (144A) 660,000 $114,608
CAM Mortgage Trust 2014-2, 2.6%, 12/15/53 (Step) (144A) 610,000 $537,730
Canadian National Railway Co., Floating Rate Note, 11/6/15 730,000 $731,096
Canadian Natural Resources, Ltd., 1.45%, 11/14/14 430,000 $432,736
Canadian Natural Resources, Ltd., Floating Rate Note, 3/30/16 277,000 $278,100
Capital Auto Receivables Asset Trust/ Ally, 1.74%, 10/22/18 413,000 $412,933
Capital Auto Receivables Asset Trust/ Ally, 2.19%, 9/20/21 125,000 $125,012
Capital Auto Receivables Asset Trust 2013-3, Floating Rate Note, 11/20/15 250,000 $250,098
Capital One Financial Corp., 1.0%, 11/6/15 475,000 $477,616
Capital One Financial Corp., 2.15%, 3/23/15 1,500,000 $1,528,443
Capital One Financial Corp., Floating Rate Note, 11/6/15 750,000 $754,089
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 $702,552
Cardinal Health, Inc., 4.0%, 6/15/15 500,000 $517,569
CarMax Auto Owner Trust 2012-1, 0.89%, 9/15/16 745,000 $309,521
CarMax Auto Owner Trust 2013-3, 2.15%, 5/15/19 540,000 $545,535
Carrington Mortgage Loan Trust Series 2005-NC1, Floating Rate Note, 2/26/35 1,496,373 $380,689
Carrington Mortgage Loan Trust Series 2006-OPT1, Floating Rate Note, 12/25/35 5,047,000 $1,067,788
Castle Garden Funding, Floating Rate Note, 10/27/20 (144A) 2,000,000 $490,935
Caterpillar Financial Services Corp., 1.0%, 11/25/16 1,000,000 $1,005,497
Caterpillar Financial Services Corp., 1.35%, 9/6/16 1,125,000 $1,145,092
CD 2005-CD1 Commercial Mortgage Trust, Floating Rate Note, 7/15/44 940,000 $929,462
CDC Mortgage Capital Trust 2002-HE1, Floating Rate Note, 1/25/33 19,484,513 $406,094
Cendant Mortgage Corp., 6.25%, 3/25/32 (144A) 4,100,000 $519,251
Centerpoint Energy Transition Bond Co II LLC, 5.17%, 8/1/19 720,000 $663,991
Centex Home Equity Loan Trust 2005-B, 4.893%, 3/25/33 (Step) 3,300,000 $749,261
CeramTec Acquisition Corp., Initial Dollar Term B-2 Loan, 8/30/20 20,902 $20,933
CeramTec GmbH, Dollar Term B-3 Loan, 8/30/20 63,461 $63,553
CeramTec Service GmbH, Initial Dollar Term B-1 Loan, 8/30/20 210,809 $211,117
CGBAM Commercial Mortgage Trust 2014-HD, Floating Rate Note, 2/15/31 310,000 $310,371
CG-CCRE Commercial Mortgage Trust 2014-FL1, Floating Rate Note, 6/16/31 (144A) 1,630,000 $1,628,022
CGWF Commercial Mortgage Trust 2013-RKWH REMICS, Floating Rate Note, 11/15/30 (144A) 1,720,000 $1,733,212
Charter Communications 1st Lien Tl-B L + 3.5% 12aug21 360,000 $362,841
Chase Funding Trust Series 2003-3, Floating Rate Note, 4/25/33 13,029,694 $135,559
Chase Funding Trust Series 2003-6, 4.277%, 11/27/34 (Step) 1,400,000 $212,546
Chase Issuance Trust, 0.59%, 8/15/17 300,000 $300,422
Chase Issuance Trust, 0.79%, 6/15/17 1,200,000 $1,203,544
Chase Issuance Trust, Floating Rate Note, 8/15/17 750,000 $749,954
Chase Mortgage Finance Trust Series 2005-S1, 5.5%, 5/25/35 4,068,000 $95,802
Chesapeake Funding LLC, Floating Rate Note, 3/7/26 750,000 $749,286
Chesapeake Funding LLC, Floating Rate Note, 5/7/24 (144A) 200,000 $134,734
Chesapeake Funding LLC, Floating Rate Note, 5/7/24 (144A) 250,000 $251,987
CHL Mortgage Pass-Through Trust 2004-14, Floating Rate Note, 8/25/34 1,250,000 $173,202
CHL Mortgage Pass-Through Trust 2004-29, Floating Rate Note, 2/25/35 18,992,000 $983,100
Chrysler Group LLC, Term Loan B, 5/24/17 902,100 $902,664
Chrysler Group LLC, Tranche B Term Loan, 12/29/18 598,500 $594,385
CHS, 2017 Term E Loan, 1/25/17 99,876 $99,938
CHS, 2021 Term D Loan, 1/27/21 266,202 $267,325
Cinedigm Digital Funding I LLC, Term Loan, 2/28/18 167,321 $167,634
Citibank Credit Card Issuance Trust, 4.85%, 3/10/17 500,000 $523,345
Citibank Credit Card Issuance Trust, 5.1%, 11/20/17 500,000 $534,529
Citibank Credit Card Issuance Trust, Floating Rate Note, 4/24/17 800,000 $799,776
Citicorp Mortgage Securities REMIC Pass-Through Certificates Trust Series 2005-7, 5.0%, 10/25/35 5,635,000 $519,961
Citigroup, Inc., 1.3%, 4/1/16 500,000 $505,545
Citigroup, Inc., 5.0%, 9/15/14 2,250,000 $2,305,045
Citigroup, Inc., 5.5%, 10/15/14 430,000 $441,542
Citigroup, Inc., Floating Rate Note, 11/15/16 750,000 $753,406
Citigroup, Inc., Floating Rate Note, 4/1/16 500,000 $504,272
Citigroup, Inc., Floating Rate Note, 7/25/16 750,000 $758,168
Citigroup Commercial Mortgage Trust 2005-C3, 4.86%, 5/15/43 2,310,000 $2,135,919
Citigroup Commercial Mortgage Trust 2007-FL3, Floating Rate Note, 4/15/22 (144A) 580,444 $576,285
Citigroup Mortgage Loan Trust, Inc., 7.0%, 9/25/33 7,340,000 $97,575
Citigroup Mortgage Loan Trust, Inc., Floating Rate Note, 10/25/35 1,471,464 $16,754
Citigroup Mortgage Loan Trust, Inc., Floating Rate Note, 11/25/34 900,000 $59,360
Citigroup Mortgage Loan Trust, Inc., Floating Rate Note, 3/26/35 1,750,000 $165,623
Citigroup Mortgage Loan Trust 2006-SHL1, Floating Rate Note, 11/25/46 (144A) 3,365,000 $381,198
Citigroup Mortgage Loan Trust 2010-4 REMICS, 5.0%, 10/25/35 (144A) 2,735,000 $910,885
Citigroup Mortgage Loan Trust 2010-7 REMICS, Floating Rate Note, 9/25/37 (144A) 1,905,250 $442,264
Citrus Re, Ltd., Floating Rate Note, 4/18/17 (Cat Bond) (144A) 250,000 $251,608
Citrus Re, Ltd., Floating Rate Note, 4/24/17 (Cat Bond) (144A) 600,000 $603,055
CNH Equipment Trust 2012-C, 0.57%, 12/15/17 75,000 $54,106
CNH Wholesale Master Note Trust, Floating Rate Note, 8/15/19 (144A) 525,000 $526,537
CNL Commercial Mortgage Loan Trust 2002-1, Floating Rate Note, 10/25/28 (144A) 8,975,000 $301,784
CNL Commercial Mortgage Loan Trust 2003-1, Floating Rate Note, 5/15/31 (144A) 5,443,000 $510,013
CNL Commercial Mortgage Loan Trust 2003-2, Floating Rate Note, 10/25/30 (144A) 1,000,000 $92,031
Coca-Cola Enterprises, Inc., 2.125%, 9/15/15 189,000 $193,767
Collateralized Mortgage Obligation Trust 44, Floating Rate Note, 7/1/18 13,590,000 $51,035
Colony American Homes 2014-1, Floating Rate Note, 5/19/31 (144A) 700,000 $687,351
Colony American Homes 2014-2, Floating Rate Note, 7/19/31 (144A) 600,000 $590,909
Combine Re, Ltd., Floating Rate Note, 1/7/15 (Cat Bond) (144A) 400,000 $416,333
Combine Re, Ltd., Floating Rate Note, 1/7/15 (Cat Bond) (144A) 1,000,000 $1,016,125
COMM 2005-C6 Mortgage Trust, Floating Rate Note, 6/10/44 1,880,000 $1,953,331
COMM 2005-C6 Mortgage Trust, Floating Rate Note, 6/10/44 770,000 $753,243
COMM 2007-FL14 Mortgage Trust, Floating Rate Note, 6/15/22 (144A) 2,937,000 $605,502
COMM 2011-FL1 Mortgage Trust, Floating Rate Note, 7/19/28 (144A) 200,000 $64,600
COMM 2013-FL3 Mortgage Trust, Floating Rate Note, 10/13/28 (144A) 1,000,000 $799,698
COMM 2014-KYO Mortgage Trust, Floating Rate Note, 6/11/27 (144A) 1,630,000 $1,629,544
COMM 2014-SAVA Mortgage Trust, Floating Rate Note, 6/15/34 (144A) 1,110,000 $1,111,276
COMM 2014-TWC Mortgage Trust, Floating Rate Note, 2/13/32 (144A) 1,850,000 $1,850,925
Commercial Mortgage Pass Through Certificates, Floating Rate Note, 11/19/26 (144A) 600,000 $537,897
Commercial Mortgage Trust 2005-GG3, Floating Rate Note, 8/10/42 1,000,000 $1,015,752
Commercial Mortgage Trust 2005-GG3, Floating Rate Note, 8/10/42 485,000 $350,794
Commercial Mortgage Trust 2005-GG5, Floating Rate Note, 4/10/37 2,075,000 $2,169,038
Commonwealth Bank of Australia, Floating Rate Note, 3/13/17 (144A) 650,000 $651,666
Commonwealth Bank of Australia, Floating Rate Note, 9/18/15 (144A) 460,000 $464,703
Commonwealth Edison Co., 1.95%, 9/1/16 500,000 $516,502
Commonwealth of Massachusetts, Floating Rate Note, 11/1/25 1,000,000 $989,354
Compass Re, Ltd., Floating Rate Note, 1/8/15 (Cat Bond) (144A) 375,000 $385,295
ConocoPhillips Co., 1.05%, 12/15/17 1,000,000 $992,657
Conseco Finance Corp., 7.55%, 4/15/32 (Step) 2,740,000 $250,588
Conseco Finance Home Equity Loan Trust 2002-C, Floating Rate Note, 4/15/32 2,875,000 $819,971
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA New York, Floating Rate Note, 3/18/16 500,000 $503,202
Costco Wholesale Corp., 1.125%, 12/15/17 740,000 $736,222
Countrywide Asset-Backed Certificates, Floating Rate Note, 1/25/36 330,000 $46,694
Countrywide Asset-Backed Certificates, Floating Rate Note, 10/25/34 284,000 $63,054
Countrywide Asset-Backed Certificates, Floating Rate Note, 11/25/34 4,100,000 $210,149
Countrywide Asset-Backed Certificates, Floating Rate Note, 11/25/34 4,839,000 $152,821
Countrywide Asset-Backed Certificates, Floating Rate Note, 11/25/35 2,175,000 $90,785
Countrywide Asset-Backed Certificates, Floating Rate Note, 12/25/35 1,814,000 $354,369
Countrywide Asset-Backed Certificates, Floating Rate Note, 2/25/33 244,000 $51,186
Countrywide Asset-Backed Certificates, Floating Rate Note, 3/25/35 1,300,000 $381,148
Countrywide Asset-Backed Certificates, Floating Rate Note, 5/25/35 1,600,000 $127,293
Countrywide Asset-Backed Certificates, Floating Rate Note, 6/25/35 1,554,000 $150,199
Countrywide Asset-Backed Certificates, Floating Rate Note, 9/25/34 (144A) 8,600,000 $499,997
County of Power Idaho, 5.625%, 10/1/14 1,000,000 $1,033,418
Covidien International Finance SA, 1.35%, 5/29/15 750,000 $757,563
CPS Auto Receivables Trust 2013-A, 1.89%, 6/15/20 (144A) 690,000 $445,772
CPS Auto Receivables Trust 2013-B, 1.82%, 9/15/20 (144A) 157,000 $93,470
CPS Auto Receivables Trust 2014-A, 1.21%, 8/15/18 200,000 $167,579
Credit Acceptance Auto Loan Trust 2012-2, 1.52%, 3/16/20 (144A) 400,000 $401,632
Credit Acceptance Auto Loan Trust 2013-2, 1.5%, 4/15/21 (144A) 1,000,000 $1,006,119
Credit Suisse Commercial Mortgage Trust Series 2007-C1, 5.361%, 2/15/40 1,300,000 $1,047,020
Credit Suisse First Boston Mortgage Securities Corp., 4.686%, 7/15/37 890,000 $881,379
Credit Suisse First Boston Mortgage Securities Corp., 4.829%, 11/15/37 204,829 $119,648
Credit Suisse First Boston Mortgage Securities Corp., 4.832%, 4/15/37 1,080,143 $1,101,023
Credit Suisse First Boston Mortgage Securities Corp., 4.877%, 4/15/37 500,000 $506,517
Credit Suisse First Boston Mortgage Securities Corp., 5.25%, 10/25/19 1,196,000 $56,466
Credit Suisse First Boston Mortgage Securities Corp., 5.5%, 6/25/33 200,000 $46,396
Credit Suisse First Boston Mortgage Securities Corp., 5.5%, 8/25/34 18,567,000 $17,796
Credit Suisse First Boston Mortgage Securities Corp., 7.5%, 5/25/32 15,000,000 $328,654
Credit Suisse First Boston Mortgage Securities Corp., Floating Rate Note, 11/25/33 1,400,000 $78,652
Credit Suisse First Boston Mortgage Securities Corp., Floating Rate Note, 12/17/40 2,730,000 $2,000,441
Credit Suisse First Boston Mortgage Securities Corp., Floating Rate Note, 12/25/33 700,000 $33,214
Credit Suisse First Boston Mortgage Securities Corp., Floating Rate Note, 2/15/38 855,000 $646,801
Credit Suisse First Boston Mortgage Securities Corp., Floating Rate Note, 8/15/38 1,900,440 $1,784,363
Credit Suisse Mortgage Capital Certificates REMICS, Floating Rate Note, 7/27/36 (144A) 3,494,698 $765,641
Cronos Containers Program, Ltd., 3.81%, 9/18/27 (144A) 500,000 $405,010
Crown Castle Towers LLC, 3.214%, 8/15/15 (144A) 500,000 $508,357
Csfb Flt% 25jul35 05-6-1a2 2,850,000 $327,977
CSMC Series 2014-ICE, Floating Rate Note, 4/15/27 (144A) 1,950,000 $1,949,465
CSMC Trust 2010-16, Floating Rate Note, 6/25/50 (144A) 600,000 $225,948
CSMC Trust 2014-SURF, Floating Rate Note, 2/15/29 (144A) 700,000 $701,821
Daimler Finance North America LLC, 1.45%, 8/1/16 (144A) 1,000,000 $1,010,806
Daimler Finance North America LLC, 1.65%, 4/10/15 (144A) 965,000 $977,922
Daimler Finance North America LLC, Floating Rate Note, 3/10/17 (144A) 750,000 $751,752
Daimler Finance North America LLC, Floating Rate Note, 8/1/17 (144A) 617,000 $617,661
Darling Ingredients, Inc., Term B USD Loan, 12/19/20 523,688 $523,851
Dartmouth Zero% 31dec14 700,000 $683,270
Del Coronado Trust 2013-DEL, Floating Rate Note, 3/16/26 (144A) 300,000 $300,065
Del Coronado Trust 2013-DEL, Floating Rate Note, 3/16/26 (144A) 399,000 $398,230
Dell Equipment Finance Trust 2014-1, 2.68%, 6/22/20 (144A) 750,000 $750,167
DELOS FINANCE SARL, Loan, 2/27/21 425,000 $423,725
Delta Air Lines, Inc., 2014 Term B-1 Loan, 10/18/18 99,495 $98,660
Devon Energy Corp., 1.2%, 12/15/16 500,000 $503,275
Devon Energy Corp., Floating Rate Note, 12/15/15 1,500,000 $1,507,918
Diamond Resorts Owner Trust 2013-2, 2.62%, 5/20/26 (144A) 750,000 $520,636
Digital Realty Trust LP, 4.5%, 7/15/15 650,000 $668,271
Direct Capital Funding V LLC, 1.673%, 12/20/17 (144A) 175,000 $45,612
Direct Capital Funding V LLC, 4.83%, 11/20/20 (144A) 750,000 $764,670
Discover Card Execution Note Trust, 0.81%, 8/15/17 500,000 $501,249
Discover Card Execution Note Trust, Floating Rate Note, 10/15/18 200,000 $200,013
Discovery Communications LLC, 3.7%, 6/1/15 750,000 $774,770
Drug Royalty II LP 2, Floating Rate Note, 7/15/23 (144A) 250,000 $247,524
DT Auto Owner Trust 2013-1, 1.67%, 2/15/19 (144A) 629,000 $631,266
Duke Energy Carolinas LLC, 1.75%, 12/15/16 750,000 $768,046
Duke Energy Corp., 3.95%, 9/15/14 395,000 $402,633
Duke Energy Florida, Inc., 0.65%, 11/15/15 500,000 $501,694
Duke Energy Indiana, Inc., Floating Rate Note, 7/11/16 303,000 $304,556
Duke Energy Progress, Inc., Floating Rate Note, 3/6/17 411,000 $411,940
East Lane Re, Ltd., Floating Rate Note, 3/13/15 (Cat Bond) (144A) 500,000 $514,969
East Lane Re VI, Ltd., Floating Rate Note, 3/14/18 (Cat Bond) (144A) 500,000 $499,847
Electricite de France SA, Floating Rate Note, 1/20/17 (144A) 750,000 $752,602
Ellington Loan Acquisition Trust 2007-1, Floating Rate Note, 5/26/37 (144A) 550,000 $512,538
Enbridge, Inc., Floating Rate Note, 10/1/16 500,000 $503,334
Encore Credit Receivables Trust 2005-3, Floating Rate Note, 10/25/35 1,000,000 $346,801
Endo Luxembourg Finance I 1st Lien Tl-B L + 2.5% 05nov20 498,750 $496,919
Energy Transfer Partners LP, 5.95%, 2/1/15 725,000 $744,552
Enterprise Products Operating LLC, 3.2%, 2/1/16 1,000,000 $1,037,907
Enterprise Products Operating LLC, 3.7%, 6/1/15 1,010,000 $1,042,563
EQTY 2014-INNS Mortgage Trust, Floating Rate Note, 5/8/31 (144A) 1,020,000 $1,011,980
Equity One Mortgage Pass-Through Trust 2003-1, Floating Rate Note, 8/25/33 11,389,000 $383,694
Equity One Mortgage Pass-Through Trust 2004-1, Floating Rate Note, 4/25/34 1,840,000 $471,007
Equity One Mortgage Pass-Through Trust 2004-2, Floating Rate Note, 7/25/34 1,925,000 $497,716
Equity One Mortgage Pass-Through Trust 2004-3, Floating Rate Note, 7/25/34 3,011,000 $184,322
Exeter Automobile Receivables Trust 2014-2, 1.06%, 8/15/18 400,000 $362,350
Export-Import Bank of Korea, 1.25%, 11/20/15 500,000 $504,263
Express Scripts Holding Co., 2.1%, 2/12/15 732,000 $737,900
Express Scripts Holding Co., 2.25%, 6/15/19 750,000 $750,366
Express Scripts Holding Co., 2.75%, 11/21/14 900,000 $911,348
Express Scripts Holding Co., 3.125%, 5/15/16 1,000,000 $1,047,427
Extended Stay America Trust 2013-ESH, 1.2783%, 12/5/31 (144A) 723,000 $719,143
Extended Stay America Trust 2013-ESH, Floating Rate Note, 12/5/31 (144A) 200,000 $200,027
Extended Stay America Trust 2013-ESH, Floating Rate Note, 12/5/31 (144A) 200,000 $200,047
Fannie Mae, 2.5%, 3/1/28 1,500,000 $1,315,986
Fannie Mae, 2.5%, 6/1/23 526,320 $444,481
Fannie Mae, 3.0%, 10/1/27 2,000,000 $1,391,725
Fannie Mae, 3.0%, 11/1/27 2,000,000 $1,634,542
Fannie Mae, 4.5%, 1/1/41 580,000 $300,842
Fannie Mae, 4.5%, 5/1/39 2,100,000 $913,759
Fannie Mae, 4.5%, 5/1/39 1,350,000 $541,933
Fannie Mae, 5.0%, 10/1/41 1,736,000 $849,057
Fannie Mae, 5.0%, 7/1/15 1,000,000 $17,666
Fannie Mae, 5.5%, 12/1/35 1,000,000 $79,714
Fannie Mae, 5.5%, 8/1/37 2,000,000 $404,638
Fannie Mae, 6.0%, 10/1/22 973,454 $323,107
Fannie Mae, 6.0%, 2/1/34 1,400,000 $38,341
Fannie Mae, 6.0%, 4/1/38 483,000 $45,245
Fannie Mae, 6.5%, 4/1/29 9,050,000 $316,277
Fannie Mae, 6.5%, 6/1/16 700,000 $2,279
Fannie Mae, 6.5%, 7/1/32 723,471 $9,023
Fannie Mae, 6.5%, 8/1/17 667,089 $20,130
Fannie Mae, 7.0%, 1/1/36 1,000,000 $43,621
Fannie Mae, 7.0%, 10/1/19 19,053,741 $149,344
Fannie Mae, 7.0%, 7/1/17 3,768,412 $50,208
Fannie Mae, Floating Rate Note, 1/1/25 7,000,000 $57,390
Fannie Mae, Floating Rate Note, 10/1/29 4,831,796 $105,517
Fannie Mae, Floating Rate Note, 10/1/29 10,892,567 $86,435
Fannie Mae, Floating Rate Note, 10/1/36 1,877,185 $317,747
Fannie Mae, Floating Rate Note, 11/1/24 7,000,000 $91,010
Fannie Mae, Floating Rate Note, 11/1/25 700,000 $3,528
Fannie Mae, Floating Rate Note, 11/1/40 9,368,434 $117,720
Fannie Mae, Floating Rate Note, 12/1/28 1,112,489 $52,910
Fannie Mae, Floating Rate Note, 12/1/36 6,500,000 $270,104
Fannie Mae, Floating Rate Note, 2/1/27 4,000,000 $15,812
Fannie Mae, Floating Rate Note, 2/1/33 380,000 $1,808
Fannie Mae, Floating Rate Note, 4/1/28 400,000 $3,338
Fannie Mae, Floating Rate Note, 4/1/29 400,000 $2,905
Fannie Mae, Floating Rate Note, 7/1/36 500,000 $53,807
Fannie Mae Connecticut Avenue Securities, Floating Rate Note, 10/25/23 544,000 $486,147
Fannie Mae Grantor Trust 2001-T1, Floating Rate Note, 10/25/25 51,205,518 $3,263,542
Fannie Mae Trust 2005-W4, Floating Rate Note, 6/25/45 1,600,000 $264,099
Fannie Mae Whole Loan, Floating Rate Note, 11/25/46 4,252,000 $800,354
FDIC 2010-R1 Trust, 2.184%, 5/25/50 (144A) 2,060,000 $819,076
Federal Farm Credit Banks, 0.39%, 4/25/16 613,000 $612,898
Federal Home Loan Banks, 2.9%, 4/20/17 1,370,000 $278,474
Federal Home Loan Mortgage Corp., 0.5%, 10/24/16 1,000,000 $1,002,130
Federal Home Loan Mortgage Corp., 2.5%, 10/1/27 1,247,958 $1,015,125
Federal Home Loan Mortgage Corp., 3.5%, 8/15/28 500,000 $185,791
Federal Home Loan Mortgage Corp., 4.0%, 1/15/34 5,000,000 $329,125
Federal Home Loan Mortgage Corp., 4.0%, 5/1/24 2,400,000 $264,965
Federal Home Loan Mortgage Corp., 4.0%, 5/15/37 1,753,000 $177,060
Federal Home Loan Mortgage Corp., 4.5%, 7/1/19 1,467,130 $181,986
Federal Home Loan Mortgage Corp., 4.5%, 7/1/19 1,381,464 $210,568
Federal Home Loan Mortgage Corp., 5.0%, 12/1/39 265,000 $125,421
Federal Home Loan Mortgage Corp., 5.0%, 2/1/21 1,000,000 $92,603
Federal Home Loan Mortgage Corp., 5.0%, 4/15/32 3,500,000 $205,178
Federal Home Loan Mortgage Corp., 5.5%, 8/1/23 1,563,938 $68,263
Federal Home Loan Mortgage Corp., 5.75%, 2/15/34 1,034,000 $59,170
Federal Home Loan Mortgage Corp., 6.5%, 7/1/16 2,000,000 $9,522
Federal Home Loan Mortgage Corp., Floating Rate Note, 1/1/28 500,000 $3,128
Federal Home Loan Mortgage Corp., Floating Rate Note, 1/15/33 40,000,000 $1,873,389
Federal Home Loan Mortgage Corp., Floating Rate Note, 1/15/35 1,635,000 $243,940
Federal Home Loan Mortgage Corp., Floating Rate Note, 10/1/31 19,044,336 $344,329
Federal Home Loan Mortgage Corp., Floating Rate Note, 11/1/31 1,399,950 $6,801
Federal Home Loan Mortgage Corp., Floating Rate Note, 11/15/36 2,046,908 $113,219
Federal Home Loan Mortgage Corp., Floating Rate Note, 12/1/31 49,986,196 $270,640
Federal Home Loan Mortgage Corp., Floating Rate Note, 12/5/14 1,880,000 $1,880,558
Federal Home Loan Mortgage Corp., Floating Rate Note, 2/17/32 12,638,000 $363,022
Federal Home Loan Mortgage Corp., Floating Rate Note, 3/15/30 1,147,667 $514,338
Federal Home Loan Mortgage Corp., Floating Rate Note, 3/15/32 26,000,000 $341,752
Federal Home Loan Mortgage Corp., Floating Rate Note, 3/15/41 2,498,000 $944,333
Federal Home Loan Mortgage Corp., Floating Rate Note, 4/1/25 13,000,000 $18,106
Federal Home Loan Mortgage Corp., Floating Rate Note, 4/1/29 160,000 $2,030
Federal Home Loan Mortgage Corp., Floating Rate Note, 4/15/33 22,025,143 $953,690
Federal Home Loan Mortgage Corp., Floating Rate Note, 4/15/36 4,003,000 $733,813
Federal Home Loan Mortgage Corp., Floating Rate Note, 5/1/25 588,110 $6,409
Federal Home Loan Mortgage Corp., Floating Rate Note, 7/1/18 2,100,000 $4,755
Federal Home Loan Mortgage Corp., Floating Rate Note, 7/15/19 1,500,000 $118,208
Federal Home Loan Mortgage Corp., Floating Rate Note, 7/15/28 52,559,000 $394,529
Federal Home Loan Mortgage Corp., Floating Rate Note, 8/1/31 12,000,000 $93,850
Federal Home Loan Mortgage Corp., Floating Rate Note, 8/1/31 500,000 $1,503
Federal Home Loan Mortgage Corp., Floating Rate Note, 8/15/19 6,831,666 $251,998
Federal Home Loan Mortgage Corp. REMICS, 3.5%, 10/15/18 500,000 $105,575
Federal Home Loan Mortgage Corp. REMICS, 3.5%, 6/15/28 1,119,000 $164,846
Federal Home Loan Mortgage Corp. REMICS, 4.0%, 12/15/22 890,000 $19,109
Federal Home Loan Mortgage Corp. REMICS, 5.0%, 6/15/34 401,000 $37,284
Federal Home Loan Mortgage Corp. REMICS, 5.5%, 10/15/35 1,625,000 $85,546
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 1/15/36 400,312 $90,173
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 1/15/37 16,831,292 $1,092,313
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 10/15/20 9,083,556 $189,071
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 10/15/37 3,873,000 $318,862
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 11/15/36 994,698 $52,867
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 11/15/36 1,229,000 $248,237
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 11/15/36 600,000 $113,926
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 11/15/37 3,358,000 $584,882
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/32 1,931,288 $172,361
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/32 2,900,000 $256,829
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/35 2,232,000 $394,955
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/36 6,932,100 $601,955
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/39 666,000 $287,599
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/30 586,107 $285,668
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/32 15,205,000 $270,577
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/33 20,000,000 $288,270
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/36 909,000 $174,122
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/37 2,840,000 $193,296
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/39 288,000 $161,005
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/41 1,878,046 $401,620
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/42 350,000 $216,437
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 3/15/32 15,667,000 $202,704
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 3/15/32 35,466,000 $340,376
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 3/15/38 2,600,000 $973,787
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 3/15/41 3,243,333 $823,011
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 4/15/27 22,817,000 $268,225
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 4/15/28 10,000,000 $164,098
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 4/15/36 728,000 $159,260
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 4/15/41 2,446,437 $526,264
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 5/15/36 2,159,000 $168,560
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 5/15/36 4,000,000 $312,839
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 5/15/41 638,000 $128,198
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 6/15/36 1,288,000 $146,205
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 6/15/41 1,220,000 $348,992
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 7/15/23 835,000 $202,258
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 7/15/36 3,107,000 $269,759
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 8/15/18 600,000 $127,446
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 8/15/25 8,280,485 $724,346
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 8/15/25 970,000 $329,379
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 8/15/26 370,000 $146,412
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 8/15/35 462,000 $99,792
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 8/15/36 5,044,000 $296,238
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 9/15/26 385,000 $239,005
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 9/15/33 2,647,000 $216,807
Federal National Mortgage Association, 0.75%, 8/16/17 410,000 $409,973
Federal National Mortgage Association, 2.0%, 8/1/23 1,465,000 $1,287,023
Federal National Mortgage Association, 2.5%, 4/25/36 635,000 $248,984
Federal National Mortgage Association, 2.5%, 9/1/22 2,000,000 $1,413,377
Federal National Mortgage Association, 2.75%, 6/25/20 1,750,000 $527,926
Federal National Mortgage Association, 3.0%, 12/1/21 2,000,000 $1,012,599
Federal National Mortgage Association, 3.0%, 6/25/39 2,000,000 $284,660
Federal National Mortgage Association, 3.5%, 1/25/24 7,225,000 $513,389
Federal National Mortgage Association, 3.5%, 3/25/28 2,344,102 $306,959
Federal National Mortgage Association, 3.5%, 7/25/24 1,250,000 $315,362
Federal National Mortgage Association, 4.0%, 1/1/20 7,280,000 $1,381,213
Federal National Mortgage Association, 4.0%, 10/1/20 4,317,004 $1,400,717
Federal National Mortgage Association, 4.0%, 3/1/21 4,071,760 $1,425,137
Federal National Mortgage Association, 4.5%, 10/25/38 5,000,000 $317,416
Federal National Mortgage Association, 4.5%, 3/25/37 9,900,000 $279,324
Federal National Mortgage Association, 4.5%, 6/25/40 4,200,000 $1,198,058
Federal National Mortgage Association, 4.5%, 8/25/27 4,509,000 $292,507
Federal National Mortgage Association, 5.0%, 6/25/32 18,817,000 $300,958
Federal National Mortgage Association, 5.0%, 7/25/32 7,363,000 $319,444
Federal National Mortgage Association, 5.0%, 8/25/22 9,200,000 $219,062
Federal National Mortgage Association, Floating Rate Note, 10/18/32 11,398,000 $389,568
Federal National Mortgage Association, Floating Rate Note, 11/25/27 15,797,000 $538,804
Federal National Mortgage Association, Floating Rate Note, 2/25/23 77,000,000 $411,496
Federal National Mortgage Association, Floating Rate Note, 3/25/18 8,811,000 $301,419
Federal National Mortgage Association, Floating Rate Note, 3/25/36 2,108,510 $493,151
Federal National Mortgage Association, Floating Rate Note, 4/25/33 36,000,000 $1,066,839
Federal National Mortgage Association, Floating Rate Note, 4/25/35 1,250,000 $242,358
Federal National Mortgage Association, Floating Rate Note, 6/25/32 21,270,000 $610,819
Federal National Mortgage Association, Floating Rate Note, 6/25/36 6,118,000 $1,102,282
Federal National Mortgage Association, Floating Rate Note, 6/25/36 7,000,000 $855,585
Federal National Mortgage Association, Floating Rate Note, 7/25/27 1,402,000 $74,268
Federal National Mortgage Association, Floating Rate Note, 8/25/35 2,868,000 $371,090
Federal National Mortgage Association, Floating Rate Note, 9/25/22 3,000,000 $132,111
Federal National Mortgage Association 2004-T2, Floating Rate Note, 7/25/43 6,750,000 $996,985
Federal National Mortgage Association 2006-48-T, 5.5%, 12/25/34 1,716,418 $573,932
Federal National Mortgage Association REMICS, 1.5%, 11/25/20 745,000 $192,147
Federal National Mortgage Association REMICS, 1.75%, 12/25/22 1,000,000 $326,895
Federal National Mortgage Association REMICS, 3.0%, 1/25/21 4,450,000 $942,344
Federal National Mortgage Association REMICS, 3.0%, 4/25/40 1,110,000 $193,781
Federal National Mortgage Association REMICS, 3.5%, 10/25/39 490,000 $322,473
Federal National Mortgage Association REMICS, 4.0%, 5/25/29 2,000,000 $2,119,231
Federal National Mortgage Association REMICS, 4.0%, 6/25/37 900,000 $48,381
Federal National Mortgage Association REMICS, 5.0%, 9/25/39 110,000 $23,194
Federal National Mortgage Association REMICS, 6.0%, 3/25/35 1,000,000 $44,211
Federal National Mortgage Association REMICS, 6.0%, 6/25/29 685,000 $134,598
Federal National Mortgage Association REMICS, Floating Rate Note, 1/18/32 4,920,043 $78,605
Federal National Mortgage Association REMICS, Floating Rate Note, 1/25/24 51,985,111 $326,674
Federal National Mortgage Association REMICS, Floating Rate Note, 1/25/33 2,782,000 $106,331
Federal National Mortgage Association REMICS, Floating Rate Note, 1/25/34 10,970,000 $1,810,469
Federal National Mortgage Association REMICS, Floating Rate Note, 10/25/35 1,878,000 $202,100
Federal National Mortgage Association REMICS, Floating Rate Note, 10/25/36 11,844,000 $471,306
Federal National Mortgage Association REMICS, Floating Rate Note, 10/25/38 1,808,000 $214,699
Federal National Mortgage Association REMICS, Floating Rate Note, 10/27/37 1,375,920 $1,373,005
Federal National Mortgage Association REMICS, Floating Rate Note, 11/18/32 24,329,000 $490,265
Federal National Mortgage Association REMICS, Floating Rate Note, 11/25/36 2,248,000 $333,739
Federal National Mortgage Association REMICS, Floating Rate Note, 11/25/39 2,750,000 $535,380
Federal National Mortgage Association REMICS, Floating Rate Note, 12/18/32 6,330,000 $105,810
Federal National Mortgage Association REMICS, Floating Rate Note, 12/25/31 4,375,000 $182,822
Federal National Mortgage Association REMICS, Floating Rate Note, 12/25/32 34,313,143 $776,832
Federal National Mortgage Association REMICS, Floating Rate Note, 12/25/37 5,672,000 $208,926
Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/33 4,696,499 $252,716
Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/35 603,000 $196,836
Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/37 1,940,000 $213,902
Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/37 4,308,000 $208,420
Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/38 624,000 $188,664
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/24 4,129,409 $173,353
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/34 4,612,000 $298,084
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/34 763,500 $230,370
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/35 1,278,000 $280,542
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/35 4,100,000 $673,840
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/36 11,585,646 $1,307,131
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/37 9,250,000 $319,606
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/37 4,100,000 $299,874
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/37 960,000 $150,795
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/37 8,873,506 $236,936
Federal National Mortgage Association REMICS, Floating Rate Note, 4/25/32 10,133,000 $633,950
Federal National Mortgage Association REMICS, Floating Rate Note, 4/25/32 50,000,000 $682,440
Federal National Mortgage Association REMICS, Floating Rate Note, 4/25/34 644,866 $83,870
Federal National Mortgage Association REMICS, Floating Rate Note, 4/25/36 1,737,000 $360,081
Federal National Mortgage Association REMICS, Floating Rate Note, 5/18/32 31,809,000 $742,727
Federal National Mortgage Association REMICS, Floating Rate Note, 5/25/17 20,000,000 $172,075
Federal National Mortgage Association REMICS, Floating Rate Note, 5/25/33 4,068,000 $113,451
Federal National Mortgage Association REMICS, Floating Rate Note, 5/25/36 6,641,000 $246,823
Federal National Mortgage Association REMICS, Floating Rate Note, 5/25/37 6,826,000 $282,642
Federal National Mortgage Association REMICS, Floating Rate Note, 5/25/40 761,373 $364,467
Federal National Mortgage Association REMICS, Floating Rate Note, 6/25/35 7,977,000 $718,390
Federal National Mortgage Association REMICS, Floating Rate Note, 6/25/36 2,317,493 $259,432
Federal National Mortgage Association REMICS, Floating Rate Note, 6/25/37 2,134,162 $295,994
Federal National Mortgage Association REMICS, Floating Rate Note, 6/25/37 4,600,000 $358,138
Federal National Mortgage Association REMICS, Floating Rate Note, 6/25/37 1,010,000 $106,175
Federal National Mortgage Association REMICS, Floating Rate Note, 6/25/38 2,355,000 $188,068
Federal National Mortgage Association REMICS, Floating Rate Note, 7/25/34 1,642,000 $118,736
Federal National Mortgage Association REMICS, Floating Rate Note, 7/25/35 3,227,000 $413,050
Federal National Mortgage Association REMICS, Floating Rate Note, 7/25/35 750,000 $173,650
Federal National Mortgage Association REMICS, Floating Rate Note, 7/25/38 6,812,000 $381,242
Federal National Mortgage Association REMICS, Floating Rate Note, 8/25/36 4,040,000 $494,454
Federal National Mortgage Association REMICS, Floating Rate Note, 8/25/40 692,000 $351,889
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/33 4,915,594 $577,230
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/36 1,275,000 $191,362
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/36 3,447,000 $246,313
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/37 2,524,000 $114,440
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/37 2,706,000 $355,586
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/37 679,000 $95,563
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/37 3,700,000 $381,651
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/39 683,053 $118,059
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/41 750,000 $475,121
FHLMC Structured Pass Through Securities, Floating Rate Note, 12/25/29 12,000,000 $192,885
Fieldstone Mortgage Investment Trust Series 2005-1, Floating Rate Note, 3/25/35 311,000 $130,956
Fieldwood Energy LLC, Closing Date Loan, 9/25/18 993,747 $994,492
Fifth Third Bancorp, Floating Rate Note, 12/20/16 730,000 $728,472
Fifth Third Bank Cincinnati Ohio, 1.15%, 11/18/16 750,000 $755,876
Fifth Third Bank Cincinnati Ohio, 4.75%, 2/1/15 1,250,000 $1,276,370
Fifth Third Bank Cincinnati Ohio, Floating Rate Note, 2/26/16 500,000 $501,627
First Franklin Mortgage Loan Trust 2002-FFA, Floating Rate Note, 9/25/32 5,500,000 $315,450
First Franklin Mortgage Loan Trust 2003-FFC, Floating Rate Note, 11/25/32 8,000,000 $435,585
First Franklin Mortgage Loan Trust 2005-FFH3, Floating Rate Note, 9/25/35 1,100,000 $589,384
First Horizon Mortgage Pass-Through Trust 2004-AR1, Floating Rate Note, 2/25/34 1,500,000 $60,423
First Horizon Mortgage Pass-Through Trust 2004-AR5, Floating Rate Note, 10/25/34 940,000 $62,185
First Investors Auto Owner Trust 2012-2, 1.47%, 5/15/18 (144A) 200,000 $63,135
First Investors Auto Owner Trust 2013-1, 1.81%, 10/15/18 (144A) 55,000 $55,487
First Investors Auto Owner Trust 2013-1, 2.02%, 1/15/19 (144A) 200,000 $200,550
First Investors Auto Owner Trust 2013-2, 1.23%, 3/15/19 (144A) 1,048,000 $672,602
First Investors Auto Owner Trust 2013-3, 2.32%, 10/15/19 (144A) 300,000 $303,647
First Investors Auto Owner Trust 2014-2, 0.86%, 8/15/18 (144A) 600,000 $600,154
Firstmac Mortgage Funding Trust Series 1A-2014, Floating Rate Note, 6/26/15 (144A) 750,000 $749,810
First NLC Trust 2005-2, Floating Rate Note, 9/25/35 3,362,996 $1,345,739
Flagstar Home Equity Loan Trust 2005-1, Floating Rate Note, 6/25/18 (144A) 4,800,000 $402,277
Fly Funding II Sarl, Loan, 8/8/18 385,000 $387,406
FMG Resources August 2006 Pty, Ltd., Loan, 6/30/19 98,258 $98,019
Foothill CLO, Ltd., Floating Rate Note, 2/22/21 (144A) 500,000 $308,212
Ford Credit Auto Lease Trust 2014-B, Floating Rate Note, 3/15/17 600,000 $600,109
Ford Credit Auto Owner Trust, 2.27%, 1/15/17 200,000 $204,210
Ford Credit Auto Owner Trust 2013-C, 0.55%, 4/15/16 385,000 $135,067
Ford Credit Auto Owner Trust 2013-D, 1.54%, 3/15/19 100,000 $100,278
Ford Credit Auto Owner Trust 2014-A, 0.48%, 11/15/16 260,000 $205,964
Ford Credit Floorplan Master Owner Trust A, Floating Rate Note, 9/15/16 500,000 $500,181
Ford Motor Credit Co LLC, 1.724%, 12/6/17 700,000 $701,636
Ford Motor Credit Co LLC, 2.375%, 1/16/18 250,000 $254,896
Ford Motor Credit Co LLC, 2.75%, 5/15/15 950,000 $972,062
Ford Motor Credit Co LLC, 2.875%, 10/1/18 500,000 $520,782
Ford Motor Credit Co LLC, 3.875%, 1/15/15 200,000 $203,490
Fore CLO, Ltd., Floating Rate Note, 7/20/19 (144A) 250,000 $68,253
Foresight Energy LLC, Term Loan, 8/21/20 132,083 $133,320
Fosse Master Issuer Plc, Floating Rate Note, 10/18/54 (144A) 100,000 $101,967
Foundation Re III, Ltd., Floating Rate Note, 2/25/15 (Cat Bond) (144A) 750,000 $758,863
Four Corners CLO II, Ltd., Floating Rate Note, 1/26/20 (144A) 553,000 $528,063
Franklin Resources, Inc., 3.125%, 5/20/15 940,000 $965,926
Freddie Mac REMICS, Floating Rate Note, 2/15/32 14,441,000 $1,027,370
Freddie Mac Strips, Floating Rate Note, 12/15/36 2,327,000 $163,071
Freddie Mac Strips, Floating Rate Note, 8/15/36 6,894,664 $394,287
Freddie Mac Structured Agency Credit Risk Debt Notes, Floating Rate Note, 11/27/23 750,000 $647,506
Freddie Mac Structured Agency Credit Risk Debt Notes, Floating Rate Note, 2/25/24 485,000 $462,492
Freddie Mac Structured Agency Credit Risk Debt Notes, Floating Rate Note, 8/25/24 1,430,000 $1,432,482
FREMF Mortgage Trust 2012-K501, Floating Rate Note, 11/26/46 (144A) 409,000 $422,184
Fresenius US Finance I, Inc., Tranche B Term Loan, 8/7/19 496,250 $496,560
Gale Force 3 Clo, Ltd., Floating Rate Note, 4/19/21 (144A) 500,000 $325,436
Galileo Re, Ltd., Floating Rate Note, 1/9/19 (Cat Bond) (144A) 750,000 $778,200
Garda World Security Corp., Term B Delayed Draw Loan, 11/8/20 123,176 $122,714
Garda World Security Corp., Term B Loan, 11/1/20 481,508 $479,702
Gator Re, Ltd., Floating Rate Note, 1/9/17 (Cat Bond) (144A) 600,000 $610,950
GATX Corp., 1.25%, 3/4/17 750,000 $750,414
GE Business Loan Trust 2003-1, Floating Rate Note, 4/15/31 (144A) 4,997,000 $252,379
GE Business Loan Trust 2003-2 REMICS, Floating Rate Note, 11/15/31 (144A) 1,409,576 $153,757
GE Business Loan Trust 2004-1, Floating Rate Note, 5/15/32 (144A) 4,436,203 $464,711
GE Business Loan Trust 2004-2, Floating Rate Note, 12/15/32 (144A) 2,533,274 $512,542
GE Business Loan Trust 2005-1, Floating Rate Note, 6/15/33 (144A) 1,192,482 $673,207
GE Business Loan Trust 2006-2, Floating Rate Note, 11/15/34 (144A) 1,920,423 $791,012
GE Business Loan Trust 2007-1, Floating Rate Note, 4/16/35 (144A) 1,150,000 $507,431
GE Capital Commercial Mortgage Corp., Floating Rate Note, 6/10/48 1,340,000 $1,358,556
GE Capital Commercial Mortgage Corp., Floating Rate Note, 7/10/45 490,000 $504,089
GE Capital Commercial Mortgage Corp., Floating Rate Note, 7/10/45 (144A) 500,000 $508,834
GE Capital Credit Card Master Note Trust, 1.03%, 1/15/18 300,000 $300,766
GE Dealer Floorplan Master Note Trust, Floating Rate Note, 10/20/17 256,000 $256,422
GE Dealer Floorplan Master Note Trust, Floating Rate Note, 4/20/18 1,220,000 $1,223,765
GE Equipment Small Ticket LLC Series 2013-1, 0.73%, 1/25/16 (144A) 200,000 $143,320
GE Equipment Transportation LLC Series 2013-1, 0.5%, 11/24/15 180,000 $51,159
GE Equipment Transportation LLC Series 2013-2, 0.61%, 6/24/16 480,000 $405,958
General Electric Capital Corp., 1.625%, 7/2/15 485,000 $491,507
General Electric Capital Corp., Floating Rate Note, 1/14/16 925,000 $926,472
General Electric Capital Corp., Floating Rate Note, 1/8/16 915,000 $922,010
General Electric Capital Corp., Floating Rate Note, 5/11/16 350,000 $350,154
General Electric Capital Corp., Floating Rate Note, 5/15/17 750,000 $751,571
General Electric Capital Corp., Floating Rate Note, 7/12/16 296,000 $299,155
General Electric Capital Corp., Floating Rate Note, 7/2/15 665,000 $671,867
General Electric Capital Corp., Floating Rate Note, 8/1/17 500,000 $499,747
General Mills, Inc., 0.875%, 1/29/16 250,000 $250,834
General Mills, Inc., Floating Rate Note, 1/28/16 565,000 $565,719
Gentiva Health Services, Inc., Initial Term B Loan, 10/10/19 223,813 $224,267
Georgia Power Co., Floating Rate Note, 3/15/16 827,000 $827,344
Georgia Power Co., Floating Rate Note, 8/15/16 500,000 $500,147
GLC Trust 2013-1, 3.0%, 7/15/21 (144A) 1,000,000 $955,954
Glencore Funding LLC, Floating Rate Note, 5/27/16 (144A) 1,000,000 $1,005,747
Global Container Assets 2013-1, Ltd., 2.2%, 11/5/28 (144A) 750,000 $563,275
Global Mortgage Securitization, Ltd., 5.25%, 4/25/32 (144A) 795,156 $250,103
Global Mortgage Securitization, Ltd., Floating Rate Note, 4/25/32 (144A) 8,633,000 $853,989
GMAC Commercial Mortgage Securities Inc Series 2004-C2 Trust, Floating Rate Note, 8/10/38 1,465,000 $12,400
GMAC Commercial Mortgage Securities Inc Series 2005-C1 Trust, 4.697%, 5/10/43 1,019,000 $1,039,011
GMAC Commercial Mortgage Securities Inc Series 2006-C1 Trust, Floating Rate Note, 11/10/45 2,370,000 $1,525,857
GMACM Mortgage Loan Trust 2004-AR1, Floating Rate Note, 6/25/34 2,100,000 $203,153
GMAT 2013-1 Trust, 3.9669%, 8/25/53 (Step) 1,505,000 $1,423,126
Government National Mortgage Association, 3.0%, 12/20/38 1,000,000 $157,404
Government National Mortgage Association, 3.0%, 12/20/38 5,000,000 $1,521,579
Government National Mortgage Association, 3.0%, 4/20/41 300,000 $268,952
Government National Mortgage Association, 3.5%, 2/20/33 1,500,000 $45,540
Government National Mortgage Association, 3.5%, 5/20/39 1,025,000 $608,171
Government National Mortgage Association, 3.5%, 8/20/38 1,115,000 $489,379
Government National Mortgage Association, 4.5%, 6/16/34 1,387,000 $30,337
Government National Mortgage Association, 5.0%, 1/20/16 3,500,000 $355,449
Government National Mortgage Association, 5.0%, 4/20/36 850,000 $124,130
Government National Mortgage Association, 5.0%, 5/20/35 2,100,000 $191,750
Government National Mortgage Association, 5.0%, 7/20/31 3,300,000 $66,080
Government National Mortgage Association, Floating Rate Note, 1/16/35 2,563,000 $287,106
Government National Mortgage Association, Floating Rate Note, 1/16/40 2,000,000 $732,962
Government National Mortgage Association, Floating Rate Note, 1/20/34 1,775,000 $88,593
Government National Mortgage Association, Floating Rate Note, 2/16/30 14,415,492 $229,175
Government National Mortgage Association, Floating Rate Note, 2/16/53 2,000,000 $146,818
Government National Mortgage Association, Floating Rate Note, 2/20/35 2,059,000 $288,266
Government National Mortgage Association, Floating Rate Note, 2/20/38 2,477,000 $235,132
Government National Mortgage Association, Floating Rate Note, 3/16/53 1,200,000 $83,367
Government National Mortgage Association, Floating Rate Note, 4/16/31 12,627,242 $268,995
Government National Mortgage Association, Floating Rate Note, 4/16/32 10,000,000 $151,051
Government National Mortgage Association, Floating Rate Note, 4/16/32 33,333,000 $638,818
Government National Mortgage Association, Floating Rate Note, 8/16/52 2,000,000 $123,950
Government National Mortgage Association, Floating Rate Note, 8/20/35 1,177,000 $161,245
Government National Mortgage Association, Floating Rate Note, 8/20/40 1,000,000 $643,503
Government National Mortgage Association, Floating Rate Note, 9/16/52 1,800,000 $137,684
Government National Mortgage Association, Floating Rate Note, 9/20/33 704,000 $97,418
Government National Mortgage Association I, 5.0%, 8/15/19 1,347,915 $360,279
Government National Mortgage Association I, 6.0%, 11/15/36 2,000,000 $181,452
Government National Mortgage Association I, 6.0%, 12/15/31 1,500,000 $69,870
Government National Mortgage Association I, 6.0%, 3/15/17 10,311,138 $232,361
Government National Mortgage Association I, 6.5%, 10/15/37 400,000 $55,953
Government National Mortgage Association I, 6.5%, 5/15/31 3,183,996 $42,932
Government National Mortgage Association I, 6.5%, 7/15/35 328,670 $21,720
Government National Mortgage Association I, 7.5%, 10/15/36 1,000,000 $61,464
Government National Mortgage Association II, 6.0%, 10/20/21 3,113,223 $530,250
Government National Mortgage Association II, 6.0%, 11/20/22 1,986,670 $258,082
Government National Mortgage Association II, 6.0%, 4/20/22 1,262,566 $193,190
Government National Mortgage Association II, 6.0%, 8/20/19 2,911,151 $184,381
Government National Mortgage Association REMICS, 2.0%, 1/16/46 3,000,000 $2,986,568
Government National Mortgage Association REMICS, 4.0%, 9/20/37 4,000,000 $3,084,351
GP Portfolio Trust 2014-GGP, Floating Rate Note, 2/16/27 (144A) 1,000,000 $1,001,892
Gracechurch Card Funding Plc, Floating Rate Note, 2/15/17 (144A) 750,000 $753,280
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 $99,596
GreenPoint Mortgage Funding Trust 2005-HE1, Floating Rate Note, 9/25/34 297,570 $173,273
GreenPoint Mortgage Funding Trust 2005-HE4, Floating Rate Note, 7/25/30 7,877,220 $15,381
GSAA Home Equity Trust 2004-6, Floating Rate Note, 6/25/34 15,032,940 $421,737
GSAA Home Equity Trust 2005-11, Floating Rate Note, 10/25/35 1,022,000 $168,787
GSAA Trust, Floating Rate Note, 6/25/35 440,000 $332,135
GSAMP Trust 2004-HE2, Floating Rate Note, 9/25/34 36,804,858 $327,706
GSAMP Trust 2005-HE1, Floating Rate Note, 12/25/34 1,210,753 $125,203
GSAMP Trust 2006-SEA1, Floating Rate Note, 5/25/36 (144A) 5,518,315 $506,175
GS Caltex Corp., 3.25%, 10/1/18 (144A) 500,000 $521,928
GS Mortgage Securities Corp II Series 2005-GG4 REMICS, 4.782%, 7/10/39 1,145,000 $1,167,592
GS Mortgage Securities Trust 2014-GSFL, Floating Rate Note, 7/15/31 (144A) 495,000 $495,445
GSR Mortgage Loan Trust 2003-9, Floating Rate Note, 8/25/33 4,000,000 $274,176
GSR Mortgage Loan Trust 2004-7, Floating Rate Note, 6/25/34 4,189,737 $533,310
GSRPM Mortgage Loan Trust 2003-2, Floating Rate Note, 6/25/33 393,823 $248,297
GSRPM Mortgage Loan Trust 2006-1, Floating Rate Note, 3/25/35 (144A) 1,201,850 $181,022
GSRPM Mortgage Loan Trust 2006-2, Floating Rate Note, 9/25/36 (144A) 1,226,000 $185,388
GTP Acquisition Partners I LLC, 4.347%, 6/15/41 (144A) 614,000 $629,499
HarborView Mortgage Loan Trust 2004-1, Floating Rate Note, 4/19/34 3,987,000 $178,211
Harley-Davidson Financial Services, Inc., 3.875%, 3/15/16 (144A) 175,000 $186,129
Health Care Real Estate Investment Trust, Inc., 2.25%, 3/15/18 500,000 $511,764
Hercules Capital Funding Trust 2012-1, 3.32%, 12/16/17 (144A) 250,000 $56,690
Hertz Fleet Lease Funding LP, Floating Rate Note, 4/10/28 (144A) 300,000 $300,222
Hess Corp., 1.3%, 6/15/17 750,000 $751,224
Hilton Grand Vacations Trust 2014-A, 2.07%, 11/25/26 (144A) 750,000 $713,680
Hilton USA Trust 2013-HLF, Floating Rate Note, 11/5/30 (144A) 500,000 $501,722
Hilton USA Trust 2013-HLF, Floating Rate Note, 11/5/30 (144A) 175,000 $175,328
Hilton Worldwide Finance LLC, Initial Term Loan, 9/23/20 412,105 $409,873
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 $1,709,863
HLSS Servicer Advance Receivables Trust, 1.7436%, 1/16/46 (144A) 250,000 $249,719
HLSS Servicer Advance Receivables Trust, 4.94%, 10/15/45 (144A) 350,000 $358,363
Holmes Master Issuer Plc, Floating Rate Note, 10/15/54 (144A) 250,000 $264,360
Hologic, Inc., Refinancing Tranche B Term Loan, 8/1/19 495,169 $492,900
HomeBanc Mortgage Trust 2005-2, Floating Rate Note, 5/25/25 6,015,011 $247,909
Home Equity Asset Trust 2005-3, Floating Rate Note, 8/25/35 250,000 $23,440
Home Equity Asset Trust 2006-4, Floating Rate Note, 8/25/36 253,896 $75,201
Home Equity Asset Trust 2006-8, Floating Rate Note, 3/25/37 1,394,318 $460,132
Home Equity Mortgage Trust, 5.821%, 4/25/35 (Step) 1,000,000 $293,944
Home Equity Mortgage Trust 2005-2, Floating Rate Note, 7/25/35 1,113,955 $477,213
Home Loan Trust 2003-HI1, 5.77%, 4/25/28 (Step) 1,500,000 $103,048
Homestar Mortgage Acceptance Corp., Floating Rate Note, 1/25/35 3,700,000 $510,173
Homestar Mortgage Acceptance Corp., Floating Rate Note, 3/25/34 23,493,000 $1,440,704
Homestar Mortgage Acceptance Corp., Floating Rate Note, 6/25/34 3,670,962 $332,943
Homestar Mortgage Acceptance Corp., Floating Rate Note, 7/25/34 2,600,000 $260,832
Honda Auto Receivables 2011-2 Owner Trust, 1.55%, 8/18/17 350,000 $242,982
Honda Auto Receivables 2012-2 Owner Trust, 0.7%, 2/16/16 350,000 $158,955
Honda Auto Receivables 2012-4 Owner Trust, 0.52%, 8/18/16 1,000,000 $825,392
Honda Auto Receivables 2013-1 Owner Trust, 0.35%, 6/22/15 500,000 $1,192
Honda Auto Receivables 2013-2 Owner Trust, 0.53%, 2/16/17 285,000 $285,271
Horizon Funding Trust 2013-1, 3.0%, 5/15/18 (144A) 585,000 $310,411
HSBC Bank Middle East, Ltd., 3.0%, 10/21/15 750,000 $775,327
HSBC Home Equity Loan Trust USA 2006-3, Floating Rate Note, 3/20/36 1,005,000 $964,112
HSBC USA, Inc., 2.375%, 2/13/15 1,280,000 $1,293,217
HSBC USA, Inc., Floating Rate Note, 6/23/17 750,000 $751,177
HSI Asset Securitization Corp Trust 2006-OPT1, Floating Rate Note, 12/25/35 350,623 $120,357
Huntsman International LLC, 2014-1 Incremental Term Loan, 9/30/21 550,000 $547,250
Hyperion Insurance Group, Ltd., Term Loan, 10/4/19 398,000 $397,503
Hyundai Auto Receivables Trust 2014-B, 2.1%, 11/15/19 500,000 $500,248
Hyundai Capital America, 1.875%, 8/9/16 (144A) 500,000 $507,461
Hyundai Capital Auto Funding VIII, Ltd., Floating Rate Note, 9/20/16 (144A) 1,200,000 $158,417
Hyundai Motor Manufacturing Czech sro, 4.5%, 4/15/15 (144A) 1,000,000 $1,038,017
Iberdrola Finance Ireland, Ltd., 3.8%, 9/11/14 (144A) 1,000,000 $1,018,545
Ibis Re II, Ltd., Floating Rate Note, 6/28/16 (Cat Bond) (144A) 500,000 $508,372
Impac CMB Trust Series 2004-4, Floating Rate Note, 9/25/34 32,445,000 $1,373,542
Impac CMB Trust Series 2004-4, Floating Rate Note, 9/25/34 14,479,489 $617,949
Impac CMB Trust Series 2004-5, Floating Rate Note, 10/25/34 5,941,000 $353,369
Impac CMB Trust Series 2004-6, Floating Rate Note, 10/25/34 2,125,000 $118,250
Impac CMB Trust Series 2004-7, Floating Rate Note, 11/25/34 1,233,000 $83,854
Impac CMB Trust Series 2004-8, Floating Rate Note, 8/25/34 590,000 $71,553
Impac Secured Assets Trust 2006-1, Floating Rate Note, 5/25/36 1,300,000 $441,466
Impac Secured Assets Trust 2006-2, Floating Rate Note, 8/25/36 1,173,000 $315,030
Impac Secured Assets Trust 2006-5, Floating Rate Note, 12/25/36 2,600,000 $605,703
IndyMac INDX Mortgage Loan Trust 2004-AR6, Floating Rate Note, 10/25/34 675,000 $81,748
Intel Corp., 1.35%, 12/15/17 700,000 $701,571
International Equipment Solutions LLC, Initial Loan, 8/16/19 144,521 $145,153
Intesa Sanpaolo S.p.A., 3.125%, 1/15/16 500,000 $514,966
Invitation Homes 2013-SFR1 Trust, Floating Rate Note, 12/19/30 (144A) 750,000 $738,822
Invitation Homes 2014-SFR2 Trust, Floating Rate Note, 9/18/31 (144A) 600,000 $593,402
Inwood Park CDO, Ltd., Floating Rate Note, 1/20/21 (144A) 1,000,000 $328,531
Irwin Home Equity Loan Trust 2005-1, 5.32%, 6/25/35 (Step) 900,000 $138,916
Irwin Whole Loan Home Equity Trust 2003-C, Floating Rate Note, 6/25/28 1,050,000 $293,617
Irwin Whole Loan Home Equity Trust 2003-C, Floating Rate Note, 6/25/28 1,923,500 $147,433
Irwin Whole Loan Home Equity Trust 2003-D, Floating Rate Note, 11/25/28 2,250,000 $212,168
IXIS Real Estate Capital Trust 2005-HE4, Floating Rate Note, 2/25/36 250,000 $46,262
Jarden Corp., Tranche B1 Term Loan, 9/30/20 248,125 $248,332
JBS USA LLC, Incremental Term Loan, 9/18/20 198,500 $196,763
JobsOhio Beverage System, 0.872%, 1/1/15 500,000 $501,712
John Deere Capital Corp., 1.05%, 10/11/16 1,098,000 $1,107,250
John Deere Capital Corp., 1.05%, 12/15/16 750,000 $755,191
John Deere Capital Corp., 2.95%, 3/9/15 950,000 $976,254
John Deere Capital Corp., Floating Rate Note, 10/11/16 1,090,000 $1,094,928
JOHN DEERE CAPITAL Corp., Floating Rate Note, 2/25/16 500,000 $499,876
John Deere Capital Corp., Floating Rate Note, 9/22/14 1,800,000 $1,803,292
JPMorgan Chase & Co., 1.1%, 10/15/15 492,000 $496,244
JPMorgan Chase & Co., 1.875%, 3/20/15 965,000 $980,934
JPMorgan Chase & Co., 3.4%, 6/24/15 265,000 $272,759
JPMorgan Chase & Co., Floating Rate Note, 2/15/17 500,000 $502,861
JPMorgan Chase & Co., Floating Rate Note, 2/25/21 500,000 $524,039
JPMorgan Chase & Co., Floating Rate Note, 2/26/16 320,000 $321,833
JPMorgan Chase & Co., Floating Rate Note, 3/31/16 500,000 $499,668
JP Morgan Chase Commercial Mortgage Securities Trust 2004-C3, 4.878%, 1/15/42 1,100,000 $1,000,295
JP Morgan Chase Commercial Mortgage Securities Trust 2004-LN2, Floating Rate Note, 7/15/41 637,677 $80,724
JP Morgan Chase Commercial Mortgage Securities Trust 2005-CIBC11, Floating Rate Note, 8/12/37 1,610,000 $1,573,864
JP Morgan Chase Commercial Mortgage Securities Trust 2005-LDP1 REMICS, Floating Rate Note, 3/15/46 985,000 $764,477
JP Morgan Chase Commercial Mortgage Securities Trust 2005-LDP2, 4.78%, 7/15/42 1,150,000 $1,182,210
JP Morgan Chase Commercial Mortgage Securities Trust 2005-LDP2 REMICS, 4.738%, 7/15/42 960,000 $979,491
JP Morgan Chase Commercial Mortgage Securities Trust 2005-LDP3, Floating Rate Note, 8/15/42 800,000 $824,950
JP Morgan Chase Commercial Mortgage Securities Trust 2005-LDP3 REMICS, Floating Rate Note, 8/15/42 440,000 $391,368
JP Morgan Chase Commercial Mortgage Securities Trust 2005-LDP4, Floating Rate Note, 10/15/42 500,000 $513,795
JP Morgan Chase Commercial Mortgage Securities Trust 2005-LDP5, Floating Rate Note, 12/15/44 1,920,000 $1,999,908
JP Morgan Chase Commercial Mortgage Securities Trust 2006-CIBC17, 5.45%, 12/12/43 435,000 $73,470
JP Morgan Chase Commercial Mortgage Securities Trust 2006-FL2, Floating Rate Note, 11/15/18 (144A) 550,000 $174,391
JP Morgan Chase Commercial Mortgage Securities Trust 2006-FL2, Floating Rate Note, 11/15/18 (144A) 2,550,000 $544,971
JP Morgan Chase Commercial Mortgage Securities Trust 2006-LDP9, Floating Rate Note, 5/15/47 250,000 $97,466
JP Morgan Chase Commercial Mortgage Securities Trust 2007-CIBC19, Floating Rate Note, 2/12/49 475,000 $127,341
JP Morgan Chase Commercial Mortgage Securities Trust 2013-ALC, Floating Rate Note, 7/17/26 (144A) 412,000 $417,351
JP Morgan Chase Commercial Mortgage Securities Trust 2013-FL3, Floating Rate Note, 4/17/28 (144A) 300,000 $300,316
JP Morgan Chase Commercial Mortgage Securities Trust 2013-JWRZ, Floating Rate Note, 4/15/30 (144A) 1,550,000 $1,548,767
JP Morgan Chase Commercial Mortgage Securities Trust 2014-BXH, Floating Rate Note, 4/15/27 (144A) 1,670,000 $1,671,272
JP Morgan Chase Commercial Mortgage Securities Trust 2014-FBLU, Floating Rate Note, 12/15/28 945,000 $948,048
JP Morgan Chase Commercial Mortgage Securities Trust 2014-FBLU REMICS, Floating Rate Note, 12/15/28 1,030,000 $1,031,479
JP Morgan Chase Commercial Mortgage Securities Trust 2014-FL4, Floating Rate Note, 12/16/30 (144A) 410,000 $410,564
JP Morgan Chase Commercial Mortgage Securities Trust 2014-INN, Floating Rate Note, 6/15/29 (144A) 900,000 $899,911
JP Morgan Chase Commercial Mortgage Securities Trust 2014-INN, Floating Rate Note, 6/15/29 (144A) 650,000 $648,990
JP Morgan Mortgage Acquisition Trust 2006-ACC1, Floating Rate Note, 5/25/36 704,088 $215,965
JP Morgan Mortgage Trust 2003-A1, Floating Rate Note, 10/25/33 4,845,389 $577,106
JP Morgan Mortgage Trust 2004-A1, Floating Rate Note, 2/25/34 3,584,000 $374,435
JP Morgan Mortgage Trust 2004-A5, Floating Rate Note, 12/25/34 245,000 $193,961
JP Morgan Mortgage Trust 2004-S1, 5.0%, 9/25/34 2,489,124 $157,008
JP Morgan Mortgage Trust 2005-A3, Floating Rate Note, 6/25/35 6,041,179 $651,678
JP Morgan Mortgage Trust 2005-A4, Floating Rate Note, 7/25/35 1,935,000 $301,440
JP Morgan Mortgage Trust 2006-S3, 6.0%, 8/25/36 1,036,158 $811
Kane Flt% 12jun15 600,000 $543,360
KeyBank NA Cleveland Ohio, 1.1%, 11/25/16 500,000 $502,829
KeyBank NA Cleveland Ohio, 1.65%, 2/1/18 1,000,000 $1,002,915
KeyCorp, 3.75%, 8/13/15 931,000 $960,516
Kilimanjaro Re, Ltd., Floating Rate Note, 4/30/18 (Cat Bond) (144A) 350,000 $352,923
Kilimanjaro Re, Ltd., Floating Rate Note, 4/30/18 (Cat Bond) (144A) 650,000 $662,402
Kizuna II Re, Ltd., Floating Rate Note, 4/6/18 (Cat Bond) (144A) 450,000 $452,824
KKR Financial CLO 2007-1, Ltd., Floating Rate Note, 5/15/21 (144A) 375,000 $368,234
L-3 Communications Corp., 1.5%, 5/28/17 586,000 $585,479
La Hipotecaria Panamanian Mortgage Trust 2007-1, Floating Rate Note, 12/23/36 (144A) 1,400,000 $731,594
Lanark Master Issuer Plc, Floating Rate Note, 12/22/54 (144A) 250,000 $240,866
Las Vegas Sands LLC, Term B Loan, 12/19/20 248,750 $248,420
LB-UBS Commercial Mortgage Trust 2004-C1, 4.568%, 1/15/31 275,000 $32,725
LB-UBS Commercial Mortgage Trust 2005-C2 REMICS, Floating Rate Note, 4/15/30 1,455,000 $1,489,754
LB-UBS Commercial Mortgage Trust 2005-C3, 4.739%, 7/15/30 825,000 $506,584
LB-UBS Commercial Mortgage Trust 2005-C7 REMICS, Floating Rate Note, 11/15/30 (144A) 2,455,809 $2,519,805
LB-UBS Commercial Mortgage Trust 2006-C1 REMICS, 5.156%, 2/15/31 1,615,000 $1,684,265
LB-UBS Commercial Mortgage Trust 2008-C1, Floating Rate Note, 4/15/41 210,000 $100,909
Leaf Receivables Funding 8 LLC, 1.55%, 11/15/17 (144A) 195,000 $196,014
Leaf Receivables Funding 8 LLC, 2.67%, 9/15/20 (144A) 311,966 $314,027
Lehman ABS Manufactured Housing Contract Trust 2002-A, Floating Rate Note, 6/15/33 19,804,000 $954,738
Lehman Brothers Small Balance Commercial, Floating Rate Note, 2/25/30 (144A) 4,631,000 $683,099
Lehman Brothers Small Balance Commercial, Floating Rate Note, 4/25/31 (144A) 3,723,496 $613,701
Lehman Brothers Small Balance Commercial, Floating Rate Note, 4/25/31 (144A) 2,843,000 $519,040
Lehman Brothers Small Balance Commercial, Floating Rate Note, 9/25/30 (144A) 3,264,773 $574,964
Lehman Brothers Small Balance Commercial, Floating Rate Note, 9/25/30 (144A) 750,000 $242,980
Lehman Brothers Small Balance Commercial Mortgage Trust 2007-3, Floating Rate Note, 10/25/37 (144A) 785,400 $225,075
Lehman Brothers Small Balance Commercial Mortgage Trust 2007-3, Floating Rate Note, 10/25/37 (144A) 466,904 $392,412
Lincoln National Corp., 4.3%, 6/15/15 250,000 $259,318
Live Nation Entertainment, Inc., Term B-1 Loan, 8/17/20 514,115 $513,151
Loma Reinsurance, Ltd. Bermuda, Floating Rate Note, 1/8/18 (Cat Bond) (144A) 250,000 $262,824
Longpoint Re, Ltd., Floating Rate Note, 6/12/15 (Cat Bond) (144A) 500,000 $518,383
Longpoint Re, Ltd. III, Floating Rate Note, 5/18/16 (Cat Bond) (144A) 250,000 $254,483
LPL Holdings, Inc., 2013 Incremental Tranche B Term Loan, 3/29/19 146,644 $145,636
Mack-Cali Realty LP, 5.125%, 1/15/15 1,000,000 $1,021,854
Madison Avenue Manufactured Housing Contract Trust 2002-A, Floating Rate Note, 3/25/32 1,100,000 $518,542
MALLINCKRODT INTERNATIONAL FINANCE SA, Initial Term B Loan, 3/6/21 299,250 $298,481
Manufacturers & Traders Trust Co., Floating Rate Note, 1/30/17 500,000 $501,298
Manufacturers & Traders Trust Co., Floating Rate Note, 7/25/17 1,000,000 $1,001,421
Marathon Oil Corp., 0.9%, 11/1/15 651,000 $654,593
Marriott Vacation Club Owner Trust 2012-1, 3.5%, 5/20/30 (144A) 845,000 $478,345
Massachusetts Development Finance Agency, Floating Rate Note, 2/15/36 250,000 $260,156
Massachusetts Port Authority, 5.0%, 7/1/16 475,000 $516,844
MASTR Alternative Loan Trust 2004-13, 4.5%, 1/25/15 2,000,000 $1,136
MASTR Alternative Loan Trust 2005-1, Floating Rate Note, 2/25/35 6,760,000 $665,346
Mastr Asset Backed Securities Trust 2005-WF1, Floating Rate Note, 6/25/35 51,000 $8,232
Mastr Asset Backed Securities Trust 2005-WMC1, Floating Rate Note, 3/25/35 215,000 $70,098
Mastr Asset Backed Securities Trust 2006-AB1 REMICS, Floating Rate Note, 2/25/36 3,670,545 $697,441
Mastr Asset Backed Securities Trust 2006-NC1, Floating Rate Note, 1/25/36 1,567,646 $226,942
MASTR Asset Securitization Trust 2003-6, Floating Rate Note, 7/25/18 2,444,000 $77,161
MASTR Seasoned Securitization Trust 2005-1, Floating Rate Note, 9/25/32 2,500,000 $171,136
Mastr Specialized Loan Trust, Floating Rate Note, 1/25/36 (144A) 3,644,114 $310,148
McKesson Corp., Floating Rate Note, 9/10/15 235,000 $235,771
Mediacom Illinois LLC, Tranche F Term Loan, 3/31/18 399,000 $394,013
Merna Reinsurance V, Ltd., Floating Rate Note, 4/7/17 (Cat Bond) (144A) 650,000 $652,665
Merrill Lynch Mortgage Investors Trust Series 2005-2, Floating Rate Note, 10/25/35 1,543,473 $398,844
Merrill Lynch Mortgage Investors Trust Series 2005-A3, Floating Rate Note, 4/25/35 10,415,000 $1,300,460
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-A, Floating Rate Note, 3/25/28 10,213,000 $397,621
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-A, Floating Rate Note, 3/25/28 15,000,000 $778,688
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-C, Floating Rate Note, 6/25/28 9,455,006 $375,730
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-C REMICS, Floating Rate Note, 6/25/28 10,150,000 $483,541
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-E, Floating Rate Note, 10/25/28 8,393,000 $476,604
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-G, Floating Rate Note, 1/25/29 3,592,000 $52,939
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-H, Floating Rate Note, 1/25/29 6,366,000 $378,495
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-A REMICS, Floating Rate Note, 4/25/29 9,673,948 $576,868
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-B, Floating Rate Note, 5/25/29 4,636,150 $265,375
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-C, Floating Rate Note, 7/25/29 10,014,000 $483,113
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-G, Floating Rate Note, 1/25/30 16,956,975 $851,255
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-G, Floating Rate Note, 1/25/30 3,400,000 $228,722
Merrill Lynch Mortgage Investors Trust Series MLCC 2005-A, Floating Rate Note, 3/25/30 7,273,883 $524,214
Merrill Lynch Mortgage Investors Trust Series MLMI 2005-A2, Floating Rate Note, 2/25/35 500,000 $110,885
Merrill Lynch Mortgage Trust 2004-KEY2, Floating Rate Note, 8/12/39 410,390 $411,661
Merrill Lynch Mortgage Trust 2004-KEY2, Floating Rate Note, 8/12/39 375,000 $70,097
Merrill Lynch Mortgage Trust 2005-CIP1, Floating Rate Note, 7/12/38 630,000 $647,804
Merrill Lynch Mortgage Trust 2005-CKI1, Floating Rate Note, 11/12/37 2,360,000 $2,079,643
Merrill Lynch Mortgage Trust 2005-LC1, Floating Rate Note, 1/12/44 1,670,000 $1,584,351
Metaldyne LLC, USD Term Loan 2014, 12/18/18 735,250 $736,476
MetLife Institutional Funding II, 1.625%, 4/2/15 (144A) 1,170,000 $1,186,274
MetLife Institutional Funding II, Floating Rate Note, 1/6/15 (144A) 500,000 $501,131
Metropolitan Life Global Funding I, Floating Rate Note, 7/15/16 (144A) 300,000 $302,718
Metropolitan Life Insurance Co., 7.7%, 11/1/15 (144A) 1,250,000 $1,377,796
MGM Resorts International, Term B Loan, 12/20/19 344,750 $343,206
Micron Semiconductor Asia Pte, Ltd., 1.258%, 1/15/19 500,000 $450,793
Milacron LLC, Term Loan, 3/28/20 498,750 $497,503
MLCC Mortgage Investors, Inc., Floating Rate Note, 4/25/28 9,700,000 $458,147
Monsanto Co., 1.15%, 6/30/17 1,000,000 $1,000,564
Morgan Stanley, Floating Rate Note, 11/9/18 275,000 $289,407
Morgan Stanley, Floating Rate Note, 2/25/16 500,000 $507,196
Morgan Stanley, Floating Rate Note, 6/6/16 500,000 $498,710
Morgan Stanley ABS Capital I Inc Trust 2004-SD3, Floating Rate Note, 6/25/34 (144A) 13,470,000 $628,702
Morgan Stanley ABS Capital I Inc Trust 2005-NC2, Floating Rate Note, 3/25/35 627,000 $384,527
Morgan Stanley ABS Capital I Inc Trust 2005-WMC5, Floating Rate Note, 6/25/35 820,000 $291,394
Morgan Stanley Capital I, Inc., Floating Rate Note, 10/15/20 (144A) 425,000 $424,298
Morgan Stanley Capital I Trust 2004-IQ8, Floating Rate Note, 6/15/40 1,200,000 $631,451
Morgan Stanley Capital I Trust 2005-HQ6, 4.989%, 8/13/42 1,815,000 $1,856,116
Morgan Stanley Capital I Trust 2005-HQ6 REMICS, Floating Rate Note, 8/13/42 1,250,000 $1,287,463
Morgan Stanley Capital I Trust 2005-IQ10, Floating Rate Note, 9/15/42 915,000 $719,959
Morgan Stanley Capital I Trust 2005-TOP17, 4.78%, 12/13/41 660,000 $342,504
Morgan Stanley Capital I Trust 2005-TOP19, 4.89%, 6/12/47 1,940,000 $1,943,597
Morgan Stanley Dean Witter Capital I Trust 2001-TOP3, 6.79%, 7/15/33 460,000 $117,340
Morgan Stanley Home Equity Loan Trust 2005-4, Floating Rate Note, 9/25/35 1,558,243 $691,848
Morgan Stanley Mortgage Loan Trust 2005-5AR, Floating Rate Note, 9/25/35 9,387,000 $860,760
Morgan Stanley Mortgage Loan Trust 2005-6AR, Floating Rate Note, 11/25/35 3,786,000 $497,003
Morgan Stanley Mortgage Loan Trust 2005-6AR, Floating Rate Note, 11/25/35 2,941,000 $509,111
MortgageIT Trust 2004-1, Floating Rate Note, 11/25/34 3,200,000 $448,563
MortgageIT Trust 2004-2, Floating Rate Note, 12/25/34 3,895,000 $654,462
Motor 2013-1 Plc, Floating Rate Note, 2/25/21 (144A) 466,000 $253,197
MRFC Mortgage Pass-Through Trust Series 1999-TBC2 REMICS, Floating Rate Note, 6/15/30 3,714,390 $232,973
MUFG Union Bank NA, 2.625%, 9/26/18 1,000,000 $1,038,053
MUFG Union Bank NA, Floating Rate Note, 9/26/16 1,450,000 $1,466,613
Mythen Re, Ltd., Floating Rate Note, 5/7/15 (Cat Bond) (144A) 500,000 $522,079
Mythen Re, Ltd., Floating Rate Note, 5/7/15 (Cat Bond) (144A) 500,000 $520,852
Mythen Re, Ltd. Series 2012-2 Class A, Floating Rate Note, 1/5/17 (Cat Bond) (144A) 750,000 $812,491
Mythen Re, Ltd. Series 2013-1 Class B, Floating Rate Note, 7/9/15 (Cat Bond) (144A) 250,000 $260,500
National City Bank Cleveland Ohio, Floating Rate Note, 12/15/16 250,000 $249,467
National Rural Utilities Cooperative Finance Corp., 1.0%, 2/2/15 410,000 $411,505
National Rural Utilities Cooperative Finance Corp., Floating Rate Note, 11/23/16 500,000 $502,609
Nationstar Agency Advance Funding Trust 2013-T1A, 0.997%, 2/15/45 (144A) 550,000 $549,611
Nationstar Mortgage Loan Trust 2013-A, Floating Rate Note, 12/25/52 (144A) 13,980 $14,353
Navios Maritime Partners LP, Term Loan, 6/27/18 461,513 $467,474
Navistar, Inc., Tranche B Term Loan, 8/17/17 400,000 $403,913
Navistar Financial Dealer Note Master Trust, Floating Rate Note, 1/25/18 (144A) 510,000 $510,548
Navitas Equipment Receivables LLC 2013-1, 3.63%, 2/15/17 650,000 $650,195
NCUA Guaranteed Notes Trust REMICS, 1.6%, 10/29/20 500,000 $204,426
NCUA Guaranteed Notes Trust REMICS, Floating Rate Note, 3/2/21 800,000 $396,493
New Century Home Equity Loan Trust 2005-1, Floating Rate Note, 3/25/35 2,101,000 $334,842
New Residential Advance Receivables Trust Advance Receivables Backed 2014-T1, 1.2736%, 3/15/45 (144A 530,000 $531,042
NewStar Commercial Loan Trust 2007-1, Floating Rate Note, 9/30/22 (144A) 500,000 $297,693
New York Life Global Funding, 1.125%, 3/1/17 (144A) 500,000 $504,428
New York Life Global Funding, Floating Rate Note, 5/23/16 (144A) 1,050,000 $1,055,045
Nissan Auto Lease Trust 2013-B, Floating Rate Note, 1/15/16 240,000 $208,270
Nissan Motor Acceptance Corp., 2.65%, 9/26/18 (144A) 1,000,000 $1,034,934
Nissan Motor Acceptance Corp., 4.5%, 1/30/15 (144A) 600,000 $611,937
Nissan Motor Acceptance Corp., Floating Rate Note, 3/3/17 (144A) 500,000 $502,334
Nn Inc 1st Lien Tl-B L + 5% 18jul21 400,000 $398,000
Nomura Asset Acceptance Corp Alternative Loan Trust Series 2003-A3, 5.5%, 8/25/33 (Step) 3,120,000 $217,207
Norcraft Companies LP, Initial Loan, 11/12/20 248,750 $249,061
Nordea Bank AB, Floating Rate Note, 5/13/16 (144A) 250,000 $251,381
Nordea Bank Finland Plc New York, Floating Rate Note, 6/13/16 1,000,000 $1,000,556
North American Development Bank, 2.3%, 10/10/18 650,000 $665,875
Northshore Re, Ltd., Floating Rate Note, 7/5/16 (Cat Bond) (144A) 500,000 $526,243
NorthStar 2012-1 Mortgage Trust, Floating Rate Note, 8/27/29 (144A) 200,000 $202,352
NorthStar 2012-1 Mortgage Trust, Floating Rate Note, 8/27/29 (144A) 490,818 $346,185
NorthStar 2013-1, Floating Rate Note, 8/27/29 (144A) 778,000 $738,761
NorthStar Realty Finance Corp., 3.0%, 9/30/14 2,330,000 $2,360,834
NovaStar Mortgage Funding Trust Series 2003-1, Floating Rate Note, 5/25/33 22,168,000 $601,884
NovaStar Mortgage Funding Trust Series 2004-3, Floating Rate Note, 12/25/34 560,000 $527,906
NovaStar Mortgage Funding Trust Series 2004-4, Floating Rate Note, 3/25/35 300,000 $144,736
NovaStar Mortgage Funding Trust Series 2004-4, Floating Rate Note, 3/25/35 1,457,000 $1,429,450
NSG Holdings LLC, New Term Loan, 12/11/19 195,970 $194,500
NSTAR Electric Co., Floating Rate Note, 5/17/16 341,000 $340,688
NYSE Euronext, 2.0%, 10/5/17 150,000 $153,566
Oak Hill Advisors Residential Loan Trust 2014-NPL1, 2.8828%, 5/25/54 (Step) (144A) 520,000 $456,272
On Assignment, Inc., Initial Term B Loan, 5/15/20 171,522 $170,879
Ooredoo International Finance, Ltd., 3.375%, 10/14/16 (144A) 500,000 $527,467
Opteum Mortgage Acceptance Corp Asset Backed Pass-Through Certificates 2005-1, Floating Rate Note, 2 3,526,047 $23,841
Opteum Mortgage Acceptance Corp Asset Backed Pass-Through Certificates 2005-5, Floating Rate Note, 1 600,000 $65,492
Opteum Mortgage Acceptance Corp Trust 2005-4, Floating Rate Note, 11/25/35 6,320,000 $1,274,189
Option One Mortgage Loan Trust 2005-4 Asset-Backed Certificates Series 2005-4, Floating Rate Note, 1 5,875,000 $547,088
Option One Woodbridge Loan Trust 2002-1, Floating Rate Note, 9/25/14 (144A) 1,370,736 $283,971
Oracle Corp., 2.25%, 10/8/19 300,000 $302,244
Oracle Corp., 2.375%, 1/15/19 500,000 $510,607
Oracle Corp., Floating Rate Note, 7/7/17 575,000 $576,517
Orange Lake Timeshare Trust 2012-A, 4.87%, 3/10/27 (144A) 600,000 $320,402
ORES 2014-LV3 LLC, 3.0%, 3/27/24 (144A) 550,000 $494,476
ORES NPL 2013-LV2 LLC, 3.081%, 9/25/25 (144A) 430,000 $229,268
Origen Manufactured Housing Contract Trust 2004-A, Floating Rate Note, 1/15/35 600,000 $268,066
Origen Manufactured Housing Contract Trust 2004-B, Floating Rate Note, 11/15/35 460,000 $405,228
Origen Manufactured Housing Contract Trust 2005-A, Floating Rate Note, 6/15/36 250,000 $251,106
PACCAR Financial Corp., Floating Rate Note, 6/6/17 485,000 $485,757
Pangaea Zero% 01jul18 700,000 $720,020
Park Place Securities Inc Asset-Backed Pass-Through Certificates Series 2004-MHQ, Floating Rate Note 840,000 $840,606
Park Place Securities Inc Asset-Backed Pass-Through Ctfs Ser 2004-WCW2, Floating Rate Note, 10/25/34 1,076,819 $96,925
Park Place Securities Inc Asset-Backed Pass-Through Ctfs Ser 2005-WHQ4, Floating Rate Note, 9/25/35 1,793,831 $600,590
Par Pharmaceutical Companies, Inc., Term B-2 Loan, 9/28/19 643,534 $640,920
PARTY CITY HOLDINGS INC, 2014 Replacement Term Loan, 7/27/19 950,225 $941,673
Penn National Gaming, Inc., Term B Facility Loan, 10/25/20 457,700 $456,352
People's Choice Home Loan Securities Trust Series 2005-3, Floating Rate Note, 8/25/35 109,980 $20,405
Pfizer, Inc., Floating Rate Note, 5/15/17 750,000 $750,519
PFS Financing Corp., Floating Rate Note, 2/15/19 (144A) 750,000 $751,545
PFS Tax Lien Trust 2014-1, 1.44%, 5/15/29 400,000 $355,128
PHH Mortgage Capital LLC, 6.6%, 12/25/27 (Step) (144A) 1,000,000 $92,236
PNC Bank NA, 1.125%, 1/27/17 450,000 $451,261
PNC Bank NA, 1.3%, 10/3/16 550,000 $557,108
PNC Bank NA, Floating Rate Note, 1/28/16 500,000 $501,287
PNC Bank NA, Floating Rate Note, 4/29/16 1,111,000 $1,112,028
Polarpak, Inc., USD Term Loan (Canadian Borrower Portion), 6/7/20 157,665 $157,402
Polarpak, Inc., USD Term Loan (U.S. Borrower Portion), 6/7/20 81,881 $81,744
Popular ABS Mortgage Pass-Through Trust 2004-4, 4.83801%, 9/25/34 (Step) 1,325,000 $482,655
Precision Castparts Corp., 1.25%, 1/15/18 500,000 $496,768
Prestige Brands Inc 1st Lien Tl-B L + 3.5% 18aug21 360,000 $362,475
Pricoa Global Funding I, Floating Rate Note, 6/24/16 (144A) 500,000 $498,187
Principal Life Global Funding II, 1.2%, 5/19/17 (144A) 750,000 $749,761
Principal Life Global Funding II, Floating Rate Note, 5/27/16 (144A) 390,000 $391,650
Progreso Receivables Funding II LLC, 3.5%, 7/8/19 (144A) 1,370,000 $1,373,063
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 $413,988
Prudential Financial, Inc., 3.875%, 1/14/15 500,000 $508,521
Prudential Financial, Inc., 6.2%, 1/15/15 538,000 $553,642
PSEG Power LLC, 2.75%, 9/15/16 500,000 $523,974
PVH Corp., Tranche B Term Loan, 2/13/20 399,994 $402,312
Quebecor Media, Inc., Facility B-1 Tranche, 8/17/20 199,496 $196,317
Queen City Re, Floating Rate Note, 1/6/19 (Cat Bond) (144A) 500,000 $500,925
Queen Street IV Capital, Ltd., Floating Rate Note, 4/9/15 (Cat Bond) (144A) 750,000 $769,656
Queen Street VIII Re, Ltd., Floating Rate Note, 6/8/16 (Cat Bond) (144A) 250,000 $255,020
Queen Street VII Re, Ltd., Floating Rate Note, 4/8/16 (Cat Bond) (144A) 750,000 $786,779
Queen Street V Re, Ltd., Floating Rate Note, 4/9/15 (Cat Bond) (144A) 750,000 $774,399
Quest Trust REMICS, Floating Rate Note, 3/25/34 (144A) 24,804,330 $1,027,936
RAAC Series 2004-SP2 Trust, 6.0%, 1/25/32 11,000,000 $462,778
RAAC Series 2005-RP1 Trust, Floating Rate Note, 7/25/37 (144A) 583,530 $351,243
RAAC Series 2005-RP2 Trust, Floating Rate Note, 6/25/35 (144A) 995,000 $242,322
RAAC Series 2006-RP2 Trust, Floating Rate Note, 2/25/37 (144A) 4,099,889 $410,370
RAIT 2014-FL2 Trust, Floating Rate Note, 5/15/31 (144A) 1,500,000 $1,486,633
RALI Series 2002-QS16 Trust, Floating Rate Note, 10/25/17 11,475,000 $224,224
RALI Series 2003-QR24 Trust REMICS, 4.0%, 7/25/33 6,880,000 $771,326
RALI Series 2003-QR24 Trust REMICS, 4.0%, 7/25/33 950,000 $304,442
RALI Series 2003-QS11 Trust, Floating Rate Note, 6/25/33 13,610,000 $664,908
RALI Series 2003-QS14 Trust, 5.0%, 7/25/18 600,000 $40,257
RALI Series 2003-QS15 Trust, 5.5%, 8/25/33 250,000 $181,245
RALI Series 2003-QS6 Trust, Floating Rate Note, 3/25/33 6,865,000 $431,146
RALI Series 2003-QS9 Trust, Floating Rate Note, 5/25/18 11,040,000 $468,118
RALI Series 2004-QR1 Trust, 5.25%, 10/25/34 21,545,000 $538,515
RALI Series 2004-QS16 Trust, 5.5%, 12/25/34 3,600,000 $235,665
RALI Series 2004-QS1 Trust, 4.25%, 1/25/34 14,997,000 $113,592
RALI Series 2004-QS1 Trust, Floating Rate Note, 1/25/34 2,884,000 $32,389
RALI Series 2004-QS5 Trust, 4.75%, 4/25/34 4,285,000 $242,182
RALI Series 2004-QS5 Trust, Floating Rate Note, 4/25/34 1,761,729 $98,218
RAMP Series 2003-RS9 Trust, Floating Rate Note, 10/25/33 5,091,956 $500,739
RAMP Series 2004-RS11 Trust, Floating Rate Note, 11/25/34 895,000 $295,962
RAMP Series 2004-SL4 Trust, Floating Rate Note, 5/25/18 13,780,000 $93,257
RAMP Series 2005-RS5 Trust, Floating Rate Note, 5/25/35 360,000 $7,302
RAMP Series 2005-RS6 Trust, Floating Rate Note, 6/25/35 278,355 $178,323
RASC Series 2005-EMX2 Trust, Floating Rate Note, 7/25/35 40,280 $10,710
RASC Series 2006-KS1 Trust, Floating Rate Note, 4/25/35 1,200,000 $17,726
Ras Laffan Liquefied Natural Gas Co, Ltd. III, 5.5%, 9/30/14 (144A) 250,000 $256,705
Raymond James Financial, Inc., 4.25%, 4/15/16 283,000 $302,083
RBS Greenwich Capital Mortgage Loan Trust, 3.686%, 4/15/24 (144A) 2,440,000 $1,738,222
RBS Greenwich Capital Mortgage Loan Trust, Floating Rate Note, 4/15/24 (144A) 250,000 $254,805
RBSSP Resecuritization Trust 2009-5, Floating Rate Note, 8/26/37 (144A) 2,550,000 $870,289
Reckitt Benckiser Treasury Services Plc, 2.125%, 9/21/18 (144A) 500,000 $509,409
Regatta Funding, Ltd., Floating Rate Note, 6/15/20 (144A) 500,000 $266,989
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 $1,317,943
Residential Asset Securitization Trust 2004-A9, 5.75%, 12/25/34 870,000 $362,049
Residential Reinsurance 2011, Ltd., Floating Rate Note, 12/6/16 (Cat Bond) (144A) 500,000 $532,023
Residential Reinsurance 2011, Ltd., Floating Rate Note, 6/6/15 (Cat Bond) (144A) 500,000 $531,125
Residential Reinsurance 2012, Ltd., Floating Rate Note, 12/6/16 (Cat Bond) (144A) 1,150,000 $1,192,751
Residential Reinsurance 2012, Ltd., Floating Rate Note, 6/6/16 (Cat Bond) (144A) 250,000 $275,533
Residential Reinsurance 2013, Ltd., Floating Rate Note, 6/6/17 (Cat Bond) (144A) 250,000 $269,439
Residential Reinsurance 2014, Ltd., Floating Rate Note, 6/6/18 (Cat Bond) (144A) 250,000 $251,475
RESI Finance LP, Floating Rate Note, 9/10/35 (144A) 2,618,783 $510,390
Resi Flt% 12dec45 A1 500,000 $501,270
Resource Capital Corp 2014-CRE2, Ltd., Floating Rate Note, 4/15/32 (144A) 1,480,000 $1,480,842
Resource Capital Corp CRE Notes 2013, Ltd., Floating Rate Note, 6/15/16 (144A) 1,000,000 $1,009,178
RFMSI Series 2005-S5 Trust, 5.25%, 7/25/35 300,770 $169,383
RFSC Series 2004-RP1 Trust, Floating Rate Note, 11/25/42 (144A) 250,000 $157,035
Rialto Capital Management LLC, 2.85%, 5/15/24 (144A) 700,000 $522,097
Rio Tinto Finance USA Plc, Floating Rate Note, 6/17/16 560,000 $566,657
Riverfront Re, Ltd., Floating Rate Note, 1/6/17 (Cat Bond) (144A) 320,000 $317,024
Royal Bank of Canada, 1.45%, 9/9/16 1,000,000 $1,019,863
Royal Bank of Canada, Floating Rate Note, 1/23/17 550,000 $551,786
Royal Bank of Canada, Floating Rate Note, 6/16/17 1,000,000 $1,001,282
RREF 2013 LT2 LLC, 2.8331%, 5/22/28 (144A) 700,000 $194,998
Ryder System, Inc., 3.15%, 3/2/15 500,000 $514,673
SABMiller Holdings, Inc., 1.85%, 1/15/15 (144A) 500,000 $503,587
SACO I Trust 2005-8, Floating Rate Note, 11/25/35 3,250,775 $29,314
Sanders Re, Ltd., Floating Rate Note, 5/5/17 (Cat Bond) (144A) 750,000 $757,746
Sanders Re, Ltd., Floating Rate Note, 5/5/17 (Cat Bond) (144A) 750,000 $759,292
Sanders Re, Ltd., Floating Rate Note, 6/7/17 (Cat Bond) (144A) 650,000 $653,900
Santander Drive Auto Receivables Trust 2011-2, 3.28%, 6/15/16 700,000 $619,274
Santander Drive Auto Receivables Trust 2012-5, 2.7%, 8/15/18 125,000 $128,128
Santander Drive Auto Receivables Trust 2014-3, 1.45%, 5/15/19 1,000,000 $998,109
Santander Holdings USA, Inc. Pennsylvania, 3.0%, 9/24/15 2,899,000 $2,999,530
Santander Holdings USA, Inc. Pennsylvania, 3.45%, 8/27/18 600,000 $629,991
SASCO Mortgage Loan Trust 2005-GEL1, Floating Rate Note, 12/25/34 510,000 $370,080
SASCO Mortgage Loan Trust 2005-GEL2, Floating Rate Note, 4/25/35 8,945,588 $176,655
Saxon Asset Securities Trust 2005-3, Floating Rate Note, 11/25/35 471,000 $461,604
Saxon Asset Securities Trust 2005-4, Floating Rate Note, 11/25/37 9,516,000 $508,218
SBA Senior Finance II LLC, Incremental Tranche B-1 Term Loan, 3/31/21 200,000 $198,438
SBI Home Equity Loan Trust 2006-1, Floating Rate Note, 8/25/36 (144A) 1,350,000 $439,378
Seadrill Operating LP, Initial Term Loan, 2/14/21 845,750 $833,768
Sector Re V, Ltd., 0.0%, 3/1/18 (Cat Bond) (144A) 272 $9,107
Sector Re V, Ltd., 0.0%, 3/30/19 (Cat Bond) (144A) 300,000 $313,890
Selene Non-Performing Loans LLC, 2.9814%, 5/25/54 (Step) (144A) 1,020,000 $1,020,420
Senior Housing Properties Trust, 4.3%, 1/15/16 290,000 $300,774
Sequoia Mortgage Trust 2003-5, Floating Rate Note, 9/20/33 4,626,000 $220,442
Sequoia Mortgage Trust 2004-10, Floating Rate Note, 11/20/34 1,990,836 $214,501
Sequoia Mortgage Trust 2004-12 REMICS, Floating Rate Note, 1/20/35 3,700,000 $262,378
Sequoia Mortgage Trust 2004-12 REMICS, Floating Rate Note, 1/20/35 13,677,000 $1,577,501
Sequoia Mortgage Trust 2004-7, Floating Rate Note, 8/20/34 5,000,000 $258,095
Sequoia Mortgage Trust 2004-9, Floating Rate Note, 10/20/34 6,000,000 $644,015
Sequoia Mortgage Trust 2005-1, Floating Rate Note, 2/20/35 4,960,000 $485,972
Sequoia Mortgage Trust 2013-8, Floating Rate Note, 6/25/43 160,000 $145,495
Sequoia Mortgage Trust 2013-8, Floating Rate Note, 6/25/43 414,000 $352,677
Shell International Finance BV, Floating Rate Note, 11/15/16 750,000 $752,780
Sierra Timeshare 2012-2 Receivables Funding LLC, 2.38%, 3/20/29 (144A) 1,500,000 $478,957
Sierra Timeshare 2012-3 Receivables Funding LLC, 1.87%, 8/20/29 (144A) 1,400,000 $527,999
Sierra Timeshare 2013-1 Receivables Funding LLC, 2.39%, 11/20/29 (144A) 160,000 $68,510
Sierra Timeshare 2013-2 Receivables Funding LLC, 2.92%, 11/20/25 (144A) 160,000 $83,449
Sierra Timeshare 2013-2 Receivables Funding LLC, 4.75%, 11/20/25 (144A) 900,000 $477,024
Silver Bay Realty 2014-1 Trust, Floating Rate Note, 9/18/31 (144A) 750,000 $740,729
SilverLeaf Finance XVII LLC, 2.71%, 3/16/26 (144A) 750,000 $512,468
Silverstone Master Issuer Plc, Floating Rate Note, 1/21/55 (144A) 290,000 $299,007
Silverton RE, Ltd., 0.0%, 9/16/16 (Cat Bond) (144A) 250,000 $295,000
Sinclair Television Group, Inc., New Tranche B Term Loan, 4/19/20 441,652 $436,242
Sirius International Group, Ltd., 6.375%, 3/20/17 (144A) 750,000 $856,760
Skandinaviska Enskilda Banken AB New York NY, Floating Rate Note, 9/21/15 750,000 $751,258
SLM Student Loan Trust 2004-10, Floating Rate Note, 4/27/26 (144A) 380,000 $382,607
Small Business Administration Participation Certificates, 2.24%, 4/15/43 (144A) 630,000 $624,267
SMART Trust/Australia, Floating Rate Note, 1/17/17 500,000 $500,738
SMART Trust/Australia, Floating Rate Note, 8/15/16 750,000 $750,216
SNAAC Auto Receivables Trust, 4.38%, 6/15/17 (144A) 460,000 $465,960
SNAAC Auto Receivables Trust 2013-1, 1.14%, 7/16/18 (144A) 404,000 $93,443
Soundview Home Loan Trust 2005-3, Floating Rate Note, 6/25/35 600,000 $95,182
Soundview Home Loan Trust 2005-OPT4, Floating Rate Note, 12/25/35 815,490 $227,806
South Carolina State Public Service Authority, Floating Rate Note, 6/1/15 890,000 $892,374
Southern Pacific Secured Asset Corp., Floating Rate Note, 3/25/28 32,000,000 $292,926
Southwire Co., Initial Term Loan, 1/31/21 404,238 $402,553
Specialty Underwriting & Residential Finance Trust Series 2006-BC1, Floating Rate Note, 12/25/36 790,207 $760,940
Spirit AeroSystems, Inc., Term Loan B, 9/30/20 532,962 $530,353
Springleaf Funding Trust 2013-A, 2.58%, 9/15/21 (144A) 1,200,000 $1,210,174
Springleaf Funding Trust 2014-A, 2.41%, 12/25/22 (144A) 1,000,000 $1,000,398
Springleaf Mortgage Loan Trust 2012-2, Floating Rate Note, 10/25/57 (144A) 424,000 $226,211
Standard Chartered Plc, 3.85%, 4/27/15 (144A) 500,000 $517,139
Stanwich Mortgage Loan Trust, 2.9814%, 2/16/43 (144A) 1,325,000 $456,375
Starbucks Corp., 0.875%, 12/5/16 605,000 $607,020
Starwood Property Mortgage Trust 2013-FV1, Floating Rate Note, 8/11/28 (144A) 640,000 $612,075
Starwood Property Trust, Inc., Term Loan (First Lien), 4/17/20 198,492 $197,190
State of Ohio, 3.0%, 6/15/15 500,000 $513,842
State Street Bank & Trust Co., Floating Rate Note, 12/8/15 550,000 $550,772
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 $524,751
STORE Master Funding LLC, 5.77%, 8/20/42 (144A) 344,000 $366,470
Structured Adjustable Rate Mortgage Loan Trust, Floating Rate Note, 11/25/34 750,000 $79,145
Structured Adjustable Rate Mortgage Loan Trust, Floating Rate Note, 11/25/34 18,180,000 $949,957
Structured Adjustable Rate Mortgage Loan Trust, Floating Rate Note, 3/25/34 2,600,000 $157,276
Structured Adjustable Rate Mortgage Loan Trust, Floating Rate Note, 8/25/35 7,750,000 $479,529
Structured Asset Investment Loan Trust 2005-6, Floating Rate Note, 7/25/35 719,331 $712,222
Structured Asset Mortgage Investments II Trust 2004-AR5, Floating Rate Note, 10/19/34 8,100,000 $394,854
Structured Asset Mortgage Investments II Trust 2004-AR8, Floating Rate Note, 5/19/35 24,300,000 $1,387,029
Structured Asset Mortgage Investments II Trust 2005-AR2, Floating Rate Note, 5/25/45 5,000,000 $489,882
Structured Asset Mortgage Investments II Trust 2005-F1 REMICS, Floating Rate Note, 8/26/35 6,100,000 $143,228
Structured Asset Mortgage Investments Trust 2002-AR5, Floating Rate Note, 5/19/33 7,644,000 $399,302
Structured Asset Sec Corp Mor Pass Thr Cer Ser 2003-35, Floating Rate Note, 12/25/33 4,960,000 $326,696
Structured Asset Securities Corp Mor Cer Ser 2003-31A, Floating Rate Note, 10/25/33 1,500,000 $179,564
Structured Asset Securities Corp Mortgage Loan Trust 2005-2XS, 4.65%, 2/25/35 (Step) 1,000,000 $180,421
Structured Asset Securities Corp Mortgage Loan Trust 2005-WF4, Floating Rate Note, 11/25/35 475,000 $65,593
Structured Asset Securities Corp Mortgage Pass-Through Certificates Ser 2004-S4, Floating Rate Note, 500,000 $125,961
Structured Asset Securities Corp Mortgage Pass-Through Ctfs Ser 2003-24A, Floating Rate Note, 7/25/3 7,700,000 $985,266
Sumitomo Mitsui Banking Corp., Floating Rate Note, 1/10/17 750,000 $753,192
Sumitomo Mitsui Banking Corp., Floating Rate Note, 7/19/16 300,000 $302,627
Sumitomo Mitsui Trust Bank, Ltd., Floating Rate Note, 9/16/16 (144A) 500,000 $504,304
Sumiycd 0.22% 03oct14 750,000 $750,432
SunGard Data Systems, Inc., Tranche C Term Loan, 2/28/17 155,698 $155,893
SunTrust Bank, Floating Rate Note, 2/15/17 500,000 $501,136
SunTrust Bank, Floating Rate Note, 4/1/15 430,000 $430,339
SunTrust Banks, Inc., 3.5%, 1/20/17 500,000 $528,520
Svenska Handelsbanken AB, Floating Rate Note, 9/23/16 1,000,000 $1,007,917
Svenska Handelsbanken New York NY, Floating Rate Note, 1/16/15 200,000 $200,369
Svenska Handelsbanken New York NY, Floating Rate Note, 11/17/14 350,000 $350,115
SVO 2012-A VOI Mortgage LLC, 2.0%, 9/20/29 (144A) 1,600,000 $889,752
T2 Income Fund CLO, Ltd., Floating Rate Note, 7/15/19 (144A) 750,000 $741,129
TAL Advantage V LLC, 1.7%, 5/20/39 (144A) 400,000 $373,581
Tar Heel Re, Ltd., Floating Rate Note, 5/9/16 (Cat Bond) (144A) 250,000 $265,834
TD Ameritrade Holding Corp., 4.15%, 12/1/14 705,000 $718,657
Telecom Italia Capital SA, 4.95%, 9/30/14 750,000 $768,159
Telefonica Emisiones SAU, 3.992%, 2/16/16 500,000 $522,784
Tengizchevroil Finance Co Sarl, 6.124%, 11/15/14 (144A) 2,190,000 $162,115
Terex 1st Lien Tl L + 2.75% 13aug21 258,332 $258,441
Terwin Mortgage Trust Series TMTS 2003-8HE, Floating Rate Note, 12/25/34 5,234,000 $158,622
Terwin Mortgage Trust Series TMTS 2005-10HE, Floating Rate Note, 6/25/36 199,992 $165,075
Terwin Mortgage Trust Series TMTS 2005-14HE, 4.8492%, 8/25/36 (Step) 630,000 $134,801
Texas Instruments, Inc., 0.875%, 3/12/17 500,000 $501,772
Texas Municipal Gas Acquisition & Supply Corp III, 5.0%, 12/15/15 500,000 $533,933
The Bank of New York Mellon Corp., 2.95%, 6/18/15 750,000 $770,437
The Bank of New York Mellon Corp., 3.1%, 1/15/15 220,000 $223,113
The Bank of New York Mellon Corp., Floating Rate Note, 10/23/15 595,000 $596,319
The Bank of Nova Scotia, 1.1%, 12/13/16 500,000 $502,861
The Bank of Nova Scotia, 1.375%, 7/15/16 500,000 $507,291
The Bank of Nova Scotia, 1.45%, 4/25/18 500,000 $497,642
The Bank of Nova Scotia, Floating Rate Note, 1/12/15 1,000,000 $1,005,582
The Bank of Tokyo-Mitsubishi UFJ, Ltd., 1.55%, 9/9/16 (144A) 1,000,000 $1,017,320
The Bank of Tokyo-Mitsubishi UFJ, Ltd., Floating Rate Note, 3/10/17 (144A) 500,000 $500,613
The Bear Stearns Companies LLC, 5.7%, 11/15/14 750,000 $770,621
The Bear Stearns Companies LLC, Floating Rate Note, 11/21/16 1,500,000 $1,502,617
The Boeing Co., 0.95%, 5/15/18 1,050,000 $1,029,146
The Charles Schwab Corp., 0.85%, 12/4/15 250,000 $251,349
The Geo Group, Inc., Term Loan, 4/3/20 496,231 $496,076
The Goldman Sachs Group, Inc., 3.7%, 8/1/15 340,000 $350,666
The Goldman Sachs Group, Inc., 5.0%, 10/1/14 1,150,000 $1,178,164
The Goldman Sachs Group, Inc., Floating Rate Note, 1/12/15 500,000 $501,075
The Goldman Sachs Group, Inc., Floating Rate Note, 11/21/14 250,000 $250,591
The Goldman Sachs Group, Inc., Floating Rate Note, 3/22/16 475,000 $476,154
The Goldman Sachs Group, Inc., Floating Rate Note, 9/29/14 390,000 $390,722
The Huntington National Bank, 1.3%, 11/20/16 500,000 $503,878
The Huntington National Bank, Floating Rate Note, 4/24/17 500,000 $500,685
The Korea Development Bank, Floating Rate Note, 1/22/17 750,000 $752,959
The PNC Financial Services Group, Inc., Floating Rate Note (Perpetual) 600,000 $601,267
Thermo Fisher Scientific, Inc., 2.4%, 2/1/19 1,000,000 $1,012,315
The Toronto-Dominion Bank, 1.4%, 4/30/18 500,000 $497,266
The Toronto-Dominion Bank, Floating Rate Note, 5/2/17 500,000 $500,309
The Toronto-Dominion Bank, Floating Rate Note, 7/2/19 750,000 $754,421
The Toronto-Dominion Bank, Floating Rate Note, 9/9/16 500,000 $504,021
The Walt Disney Co., Floating Rate Note, 5/30/19 750,000 $751,370
Thomson Reuters Corp., 0.875%, 5/23/16 250,000 $250,441
Thomson Reuters Corp., 1.3%, 2/23/17 500,000 $500,643
Thornburg Mortgage Securities Trust 2003-3, Floating Rate Note, 6/25/43 3,857,000 $135,090
Thornburg Mortgage Securities Trust 2004-1, Floating Rate Note, 3/25/44 4,537,000 $746,862
Thornburg Mortgage Securities Trust 2004-1, Floating Rate Note, 3/25/44 20,000,000 $229,196
Thornburg Mortgage Securities Trust 2004-1, Floating Rate Note, 3/25/44 2,950,000 $224,744
Thornburg Mortgage Securities Trust 2004-3, Floating Rate Note, 9/25/34 11,309,309 $1,080,502
Thornburg Mortgage Securities Trust 2004-4, Floating Rate Note, 12/25/44 1,225,000 $247,610
TimberStar Trust 1 REMICS, 5.668%, 10/15/36 (144A) 525,000 $569,080
TMS International Corp., Term B Loan, 10/2/20 149,250 $149,280
TORONTO-DOMINION BANK, Floating Rate Note, 11/6/15 500,000 $500,923
Total Capital Canada, Ltd., Floating Rate Note, 1/15/16 1,115,000 $1,121,173
Toyota Motor Credit Corp., 0.75%, 3/3/17 (Step) 3,075,000 $3,069,624
Toyota Motor Credit Corp., 1.125%, 5/16/17 750,000 $751,985
Tradewynd Re, Ltd., Floating Rate Note, 1/8/15 (Cat Bond) (144A) 250,000 $253,041
Trafigura Securitisation Finance Plc, Floating Rate Note, 10/15/15 (144A) 525,000 $530,117
Trafigura Securitisation Finance Plc, Floating Rate Note, 10/15/15 (144A) 487,000 $491,204
TransCanada PipeLines, Ltd., 0.75%, 1/15/16 650,000 $651,581
TransCanada PipeLines, Ltd., 0.875%, 3/2/15 490,000 $493,370
TransCanada PipeLines, Ltd., Floating Rate Note, 6/30/16 690,000 $697,016
Tribune Media Co., Initial Term Loan, 11/20/20 806,849 $807,349
Tyco Electronics Group SA, 1.6%, 2/3/15 640,000 $643,843
U.S. Treasury Notes, 0.25%, 7/15/15 8,200,000 $8,213,564
U.S. Treasury Notes, 0.375%, 2/15/16 10,000,000 $10,013,452
U.S. Treasury Notes, 1.5%, 8/31/18 3,500,000 $3,541,435
United Auto Credit Securitization Trust 2012-1, 3.12%, 3/15/18 (144A) 1,220,000 $1,227,005
United Auto Credit Securitization Trust 2013-1, 1.74%, 4/15/16 (144A) 825,000 $828,453
United Auto Credit Securitization Trust 2014-1, 2.38%, 10/15/18 (144A) 700,000 $700,695
UnitedHealth Group, Inc., 1.875%, 11/15/16 500,000 $513,657
United Technologies Corp., Floating Rate Note, 6/1/15 500,000 $502,778
University of California, 0.966%, 5/15/17 500,000 $501,527
US Bancorp, 2.45%, 7/27/15 755,000 $771,057
US Renal Care, Inc., Tranche B-2 Term Loan (First Lien), 7/3/19 552,218 $552,736
Vantiv LLC, Term B Loan, 6/12/21 340,000 $339,788
Ventas Realty LP, 3.125%, 11/30/15 500,000 $518,555
Vericrest Opportunity Loan Transferee 2014-NPL4 LLC, 3.125%, 4/27/54 (Step) (144A) 1,700,000 $1,691,761
Verint Systems, Inc., Tranche B Incremental Term Loan, 9/6/19 261,457 $261,196
Verizon Communications, Inc., 3.0%, 4/1/16 500,000 $523,341
Verizon Communications, Inc., Floating Rate Note, 9/15/16 535,000 $551,521
VFC 2014-2 LLC, 2.75%, 7/20/30 (144A) 1,060,000 $915,861
Viacom, Inc., 2.5%, 9/1/18 500,000 $515,058
Vita Capital IV, Ltd., Floating Rate Note, 1/15/16 (Cat Bond) (144A) 250,000 $253,575
Vita Capital V, Ltd., Floating Rate Note, 1/15/17 (Cat Bond) (144A) 750,000 $772,976
Vita Capital V, Ltd., Floating Rate Note, 1/15/17 (Cat Bond) (144A) 250,000 $258,717
Vitality Re IV, Ltd., Floating Rate Note, 1/9/17 (Cat Bond) (144A) 500,000 $513,930
Vitality Re V, Ltd., Floating Rate Note, 1/7/19 (Cat Bond) (144A) 500,000 $502,507
Vodafone Group Plc, Floating Rate Note, 2/19/16 275,000 $275,713
Volkswagen Credit Auto Master Owner Trust, Floating Rate Note, 9/20/16 (144A) 100,000 $100,057
Volkswagen Group of America Finance LLC, Floating Rate Note, 5/23/16 (144A) 1,000,000 $1,000,574
Volkswagen International Finance NV, 1.125%, 11/18/16 (144A) 750,000 $755,250
Volkswagen International Finance NV, 1.15%, 11/20/15 (144A) 750,000 $757,454
Volkswagen International Finance NV, 1.6%, 11/20/17 (144A) 500,000 $503,978
VOLT XVI LLC, 4.25%, 9/25/58 (Step) (144A) 609,438 $346,219
VOLT XXIII LLC, 3.625%, 11/25/53 (Step) 475,000 $409,669
VOLT XXIV LLC, 3.25%, 11/25/53 (Step) 600,000 $493,218
VOLT XX LLC, 3.625%, 2/1/39 (Step) (144A) 550,000 $382,685
Volvo Financial Equipment LLC Series 2014-1, 0.54%, 11/15/16 (144A) 415,000 $415,154
Wachovia Bank Commercial Mortgage Trust Series 2005-C16, Floating Rate Note, 10/15/41 465,000 $148,069
Wachovia Bank Commercial Mortgage Trust Series 2005-C17, Floating Rate Note, 3/15/42 1,965,000 $1,719,198
Wachovia Bank Commercial Mortgage Trust Series 2005-C18, 4.935%, 4/15/42 1,506,334 $1,524,738
Wachovia Bank Commercial Mortgage Trust Series 2005-C20 REMICS, Floating Rate Note, 7/15/42 2,414,000 $2,257,500
Wachovia Bank Commercial Mortgage Trust Series 2005-C21, Floating Rate Note, 10/17/44 625,364 $539,625
Wachovia Bank Commercial Mortgage Trust Series 2005-C22 REMICS, Floating Rate Note, 12/15/44 1,000,000 $1,042,894
Wachovia Bank Commercial Mortgage Trust Series 2006-C24, Floating Rate Note, 3/15/45 272,000 $278,326
Wachovia Corp., Floating Rate Note, 6/15/17 1,077,000 $1,077,575
Wachovia Mortgage Loan Trust Series 2005-WMC1, Floating Rate Note, 10/25/35 750,000 $148,284
Walgreen Co., 1.0%, 3/13/15 1,000,000 $1,007,127
Walgreen Co., 1.8%, 9/15/17 1,000,000 $1,015,412
WaMu Mortgage Pass-Through Certificates Series 2002-AR6 Trust, Floating Rate Note, 6/25/42 29,950,000 $387,699
WaMu Mortgage Pass-Through Certificates Series 2003-AR9 Trust, Floating Rate Note, 9/25/33 3,062,360 $1,211,302
WaMu Mortgage Pass-Through Certificates Series 2003-S10, 5.0%, 10/25/18 17,361,049 $666,248
Waupaca Foundry, Inc., Term Loan, 6/29/17 289,181 $289,301
WCP Wireless Site Funding, 6.829%, 11/15/15 (144A) 1,155,000 $1,200,378
Welk Resorts 2013-A LLC, 3.1%, 3/15/29 (144A) 750,000 $642,119
Wells Fargo & Co., 1.25%, 7/20/16 500,000 $504,744
Wells Fargo & Co., 1.5%, 7/1/15 1,050,000 $1,062,690
Wells Fargo & Co., Floating Rate Note, 4/23/18 575,000 $580,966
Wells Fargo & Co., Floating Rate Note, 6/26/15 585,000 $590,484
Wells Fargo Alternative Loan 2005-2 Trust, Floating Rate Note, 10/25/35 453,135 $449,715
Wells Fargo Bank NA, Floating Rate Note, 5/16/16 250,000 $250,034
Wells Fargo Commercial Mortgage Trust 2014-TISH, Floating Rate Note, 2/16/27 (144A) 690,000 $690,386
Wells Fargo Home Equity Asset-Backed Securities 2005-3 Trust, Floating Rate Note, 12/25/35 200,000 $67,167
Wells Fargo Mortgage Backed Securities 2005-AR6 Trust, Floating Rate Note, 4/25/35 3,371,000 $255,278
Wells Fargo Mortgage Backed Securities 2006-16 Trust, 5.0%, 11/25/36 550,000 $32,098
Wells Fargo Mortgage Backed Securities Trust, Floating Rate Note, 8/25/34 3,105,000 $181,641
Wesco Aircraft Hardware Corp., Tranche B Term Loan, 2/24/21 857,500 $849,997
WESCO Distribution, Inc., Tranche B-1 Loan, 12/12/19 61,163 $61,239
Westgate Resorts 2012-2 LLC, 3.0%, 1/21/25 (144A) 350,000 $140,007
Westgate Resorts 2012-A LLC, 2.25%, 8/20/25 (144A) 1,490,000 $923,437
Westgate Resorts 2012-A LLC, 3.75%, 8/20/25 (144A) 403,000 $252,060
Westgate Resorts LLC, 2.5%, 3/20/25 (144A) 250,000 $120,943
Westlake Automobile Receivables Trust 2013-1, 1.12%, 1/15/18 (144A) 150,000 $119,474
Westpac Banking Corp., 4.2%, 2/27/15 500,000 $509,495
Westpac Banking Corp., Floating Rate Note, 5/19/17 1,000,000 $1,001,811
Westwood CDO II, Ltd., Floating Rate Note, 4/25/22 (144A) 500,000 $426,874
Williams Partners LP, 3.8%, 2/15/15 750,000 $761,336
Wm Wrigley Jr Co., 2.0%, 10/20/17 (144A) 1,000,000 $1,020,637
World Financial Network Credit Card Master Trust, Floating Rate Note, 12/16/19 950,000 $950,663
WR Grace & Co-Conn, Delayed Draw Term Loan, 1/23/21 72,296 $72,168
WR Grace & Co-Conn, U.S. Term Loan, 1/23/21 201,924 $201,566
ZIGGO BV, (USD) TLB3, 1/15/22 476,177 $467,472
Ziggo Bv 1st Lien Tl-B1 L + 2.75% 15jan22 449,291 $441,078
Ziggo Bv 1st Lien Tl-B2 L + 2.75% 15jan22 289,532 $284,239
Zoetis, Inc., 1.15%, 2/1/16 500,000 $502,425

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

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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.