Pioneer Short Term Income Fund

Top 10 Portfolio Holdings as of 6/30/2015
Default: sorted by market value

Security Name Par / Shares Market Value
14112z Zero% 01feb19 1,000,000 $1,058,100
17079z Zero% 31mar18 250,000 $254,175
321 Henderson Receivables I LLC, Floating Rate Note, 6/15/41 (144A) 2,000,000 $619,806
77 Energy 1st Lien Tl-B L + 3% 17jun21 346,500 $321,379
A10 Securitization 2013-1 LLC, 2.4%, 11/17/25 (144A) 642,000 $143,934
A10 Term Asset Financing 2013-2 LLC, 2.62%, 11/15/27 (144A) 1,085,000 $793,310
Abbey National Treasury Services Plc London, Floating Rate Note, 9/29/17 750,000 $747,774
ABN AMRO Bank NV, 1.375%, 1/22/16 (144A) 500,000 $504,481
ABN AMRO Bank NV, Floating Rate Note, 10/28/16 (144A) 750,000 $754,761
ACAS CLO 2007-1, Ltd., Floating Rate Note, 4/20/21 500,000 $307,059
Accredited Mortgage Loan Trust 2005-2, Floating Rate Note, 7/25/35 240,000 $222,658
ACE Securities Corp Manufactured Housing Trust Series 2003-MH1, Floating Rate Note, 8/15/30 (144A) 425,000 $24,757
ACIS CLO 2014-4, Ltd., Floating Rate Note, 5/1/26 (144A) 700,000 $175,291
ACRE Commercial Mortgage Trust 2014-FL2, Floating Rate Note, 8/15/31 (144A) 700,000 $702,359
Activision Blizzard, Inc., Term Loan, 7/26/20 573,304 $575,454
Adjustable Rate Mortgage Trust 2005-5, Floating Rate Note, 9/25/35 3,300,000 $252,049
Adsk 3.125% 15jun20 550,000 $551,935
Aecom Technology Corp 1st Lien Tl-B L + 3% 17sep21 297,251 $298,366
Aegis Asset Backed Securities Trust Mortgage Pass-Through Ctfs Ser 2005-4, Floating Rate Note, 10/25 239,000 $106,456
Aegis Asset Backed Securities Trust Mortgage Pass- Through Ctfs Series 2004-3, Floating Rate Note, 9 12,500,000 $372,014
Aegis Asset Backed Securities Trust Mortgage Pass- Through Ctfs Series 2004-3, Floating Rate Note, 9 881,754 $120,486
Aflac, Inc., 3.45%, 8/15/15 500,000 $507,924
Aircastle, Ltd., 6.75%, 4/15/17 1,100,000 $1,187,175
Alamo Re, Ltd., Floating Rate Note, 6/7/17 (Cat Bond) (144A) 250,000 $249,607
Alamo Re, Ltd., Floating Rate Note, 6/7/18 (Cat Bond) (144A) 350,000 $348,863
Albertsons LLC, Term B-2 Loan, 3/21/19 645,137 $648,565
Ally Financial, Inc., 3.6%, 5/21/18 500,000 $502,725
Altera Corp., 2.5%, 11/15/18 500,000 $512,358
Alterna Funding I LLC, 1.639%, 2/15/21 (144A) 400,000 $274,321
Alternative Loan Trust 2003-14T1, Floating Rate Note, 8/25/18 3,200,000 $107,335
Alternative Loan Trust 2004-4CB, 4.25%, 4/25/34 4,541,000 $78,975
Alternative Loan Trust 2004-6CB, Floating Rate Note, 4/25/34 4,791,000 $306,496
Altria Group, Inc., 4.125%, 9/11/15 310,000 $315,655
Altrl Zero% 30jun16 218,850 $127,502
Altrl Zero% 30jun17 500,000 $515,000
AMC Entertainment, Inc., Initial Term Loan, 4/30/20 245,603 $245,571
America Movil SAB de CV, Floating Rate Note, 9/12/16 1,000,000 $1,002,832
American Airlines Inc 1st Lien Tl-B L + 3% 10oct21 750,000 $749,531
American Credit Acceptance Receivables Trust 2013-1, 1.45%, 4/16/18 (144A) 41,000 $4,913
American Credit Acceptance Receivables Trust 2014-1, 1.14%, 3/12/18 (144A) 520,000 $73,024
American Credit Acceptance Receivables Trust 2014-2, 0.99%, 10/10/17 (144A) 500,000 $122,540
American Credit Acceptance Receivables Trust 2014-3, 0.99%, 8/10/18 (144A) 410,000 $175,008
American Electric Power Co, Inc., 1.65%, 12/15/17 500,000 $500,947
American Express Credit Account Secured Note Trust 2012-4, Floating Rate Note, 5/15/20 (144A) 760,000 $763,800
American Express Credit Corp., 1.3%, 7/29/16 500,000 $504,334
American Express Credit Corp., Floating Rate Note, 9/22/17 1,000,000 $996,728
American Home Mortgage Investment Trust 2004-3, 5.01%, 10/25/34 (Step) 4,000,000 $8,383
American Homes 4 Rent 2014-SFR1, Floating Rate Note, 6/19/31 (144A) 665,000 $661,640
American Honda Finance Corp., 1.125%, 10/7/16 500,000 $502,742
American Honda Finance Corp., 1.2%, 7/14/17 750,000 $754,777
American Honda Finance Corp., Floating Rate Note, 12/11/17 750,000 $750,718
AmeriCredit Automobile Receivables Trust 2012-4, 3.82%, 2/10/20 (144A) 500,000 $513,827
AmeriCredit Automobile Receivables Trust 2013-1, 1.57%, 1/8/19 150,000 $150,377
AmeriCredit Automobile Receivables Trust 2013-4, 3.31%, 10/8/19 550,000 $565,533
AmeriCredit Automobile Receivables Trust 2014-2, Floating Rate Note, 10/10/17 380,000 $205,949
Ameriquest Mortgage Securities Inc Asset-Backed Pass-Through Ctfs Ser 2003-AR3, Floating Rate Note, 155,851 $61,143
Ameriquest Mortgage Securities Inc Asset-Backed Pass-Through Ctfs Ser 2005-R1, Floating Rate Note, 3 592,188 $243,841
Ameriquest Mortgage Securities Inc Asset Backed Pass-Through Ctfs Ser 2005-R11, Floating Rate Note, 962,222 $552,478
Ameriquest Mortgage Securities Inc Asset-Backed Pass-Through Ctfs Ser 2005-R9, 4.83954%, 11/25/35 (S 590,000 $443,111
Amgen, Inc., 2.5%, 11/15/16 500,000 $510,940
AMRESCO Residential Securities Corp Mortgage Loan Trust 1997-3, Floating Rate Note, 9/25/27 8,940,000 $133,694
Anheuser-Busch InBev Finance, Inc., Floating Rate Note, 1/27/17 500,000 $499,466
ANZ New Zealand Int'l, Ltd. London, 1.125%, 3/24/16 (144A) 1,000,000 $1,006,139
Aon Corp., 3.125%, 5/27/16 750,000 $767,183
Apf 2.61% 15apr20 15-A-A 500,000 $500,530
Apple, Inc., Floating Rate Note, 5/3/16 400,000 $400,244
Appvion, Inc., Term Commitment, 6/28/19 498,731 $467,041
ARI Fleet Lease Trust 2012-A, Floating Rate Note, 3/15/20 (144A) 810,000 $76,817
Arlington Flt% 01aug15 250,000 $284,825
Ascentium Equipment Receivables 2014-1 LLC, 1.04%, 1/10/17 (144A) 400,000 $221,359
Ascentium Equipment Receivables 2014-1 LLC, 3.1%, 6/10/21 (144A) 700,000 $712,670
Ascentium Equipment Receivables 2015-1 LLC, 3.24%, 1/10/22 (144A) 510,000 $513,118
ASG Resecuritization Trust 2010-3, Floating Rate Note, 12/29/45 (144A) 1,642,839 $645,324
Asset Backed Securities Corp Home Equity Loan Trust Series 2003-HE1, Floating Rate Note, 1/15/33 3,082,000 $528,619
Asset Backed Securities Corp Home Equity Loan Trust Series 2004-HE6, Floating Rate Note, 9/25/34 7,075,000 $457,747
Asset Backed Securities Corp Home Equity Loan Trust Series 2005-HE3, Floating Rate Note, 4/25/35 159,800 $96,843
Asset Backed Securities Corp Home Equity Loan Trust Series AEG 2006-HE1, Floating Rate Note, 1/25/36 311,384 $49,374
Assurant, Inc., 2.5%, 3/15/18 300,000 $306,641
Atlantic Power LP, Term Loan, 2/20/21 1,102,817 $1,106,953
Atlas IX Capital, Ltd., Floating Rate Note, 1/17/19 (Cat Bond) (144A) 500,000 $512,880
Atlas Reinsurance VII, Ltd., Floating Rate Note, 1/7/16 (Cat Bond) (144A) 250,000 $255,165
Avago Technologies Ltd 1st Lien Tl-B L + 3% 16apr21 340,102 $341,068
Axis Equipment Finance Receivables III LLC, 3.41%, 4/20/20 (144A) 300,000 $298,911
AXIS Equipment Finance Receivables II LLC, 3.81%, 12/20/16 400,000 $403,824
AXIS Equipment Finance Receivables II LLC, 4.94%, 7/20/18 (144A) 700,000 $718,763
Bafc Flt% 20feb35 05-A 10,835,000 $529,137
BAMLL Commercial Mortgage Securities Trust 2014-FL1, Floating Rate Note, 12/17/31 (144A) 800,000 $802,530
BAMLL Commercial Mortgage Securities Trust 2014-ICTS, Floating Rate Note, 6/15/28 (144A) 580,000 $579,077
BAMLL Commercial Mortgage Securities Trust 2014-INLD REMICS, Floating Rate Note, 12/17/29 (144A) 930,000 $934,091
Banc of America Alternative Loan Trust 2003-10, Floating Rate Note, 12/25/33 2,600,000 $71,353
Banc of America Commercial Mortgage Trust 2006-1, Floating Rate Note, 9/10/45 1,750,000 $1,780,745
Banc of America Commercial Mortgage Trust 2006-1, Floating Rate Note, 9/10/45 1,000,000 $1,020,727
Banc of America Commercial Mortgage Trust 2006-1, Floating Rate Note, 9/10/45 1,450,000 $1,390,789
Banc of America Commercial Mortgage Trust 2006-4 REMICS, 5.634%, 7/10/46 1,960,000 $1,760,497
Banc of America Funding 2003-3 Trust, 5.5%, 10/25/33 617,825 $100,937
Banc of America Merrill Lynch Commercial Mortgage, Inc., 4.933%, 7/10/45 800,000 $155,406
Banc of America Merrill Lynch Commercial Mortgage, Inc., Floating Rate Note, 10/10/45 1,370,000 $606,450
Banc of America Merrill Lynch Commercial Mortgage, Inc., Floating Rate Note, 9/10/47 1,780,000 $1,311,551
Banc of America Mortgage 2003-F Trust, Floating Rate Note, 7/25/33 6,462,027 $253,605
Banc of America Mortgage 2003-H Trust, Floating Rate Note, 9/25/33 13,410,000 $1,018,075
Banc of America Mortgage 2004-D Trust, Floating Rate Note, 5/25/34 4,920,000 $476,846
Banco Nacional de Desenvolvimento Economico e Social, 3.375%, 9/26/16 (144A) 1,000,000 $1,016,406
Bank of America Corp., 1.25%, 1/11/16 575,000 $579,802
Bank of America Corp., 1.35%, 11/21/16 500,000 $500,648
Bank of America Corp., 3.7%, 9/1/15 500,000 $508,238
Bank of America Corp., Floating Rate Note, 8/25/17 408,000 $407,564
Bank of America NA, 1.25%, 2/14/17 500,000 $502,181
Bank of America NA, 1.75%, 6/5/18 750,000 $749,335
Bank of Montreal, 0.8%, 11/6/15 1,135,000 $1,137,897
Barclays Bank Plc, Floating Rate Note, 2/17/17 229,000 $228,449
Barclays Dryrock Issuance Trust, Floating Rate Note, 3/16/20 500,000 $500,023
Baxter International, Inc., 0.95%, 6/1/16 500,000 $499,468
Bayer US Finance LLC, 1.5%, 10/6/17 (144A) 750,000 $755,889
Bayview Commercial Asset Trust 2004-1, Floating Rate Note, 4/25/34 (144A) 4,150,000 $349,160
Bayview Commercial Asset Trust 2004-3, Floating Rate Note, 1/25/35 (144A) 4,600,000 $637,266
Bayview Commercial Asset Trust 2007-2, 0.0%, 7/27/37 (Step) (144A) 4,500,000 $0
Bayview Commercial Asset Trust 2007-4, 3.491129%, 9/25/37 (Step) (144A) 3,000,000 $45,768
Bayview Financial Asset Trust 2003-A, Floating Rate Note, 2/25/33 (144A) 7,852,000 $170,181
Bayview Financial Mortgage Pass-Through Trust 2005-C, Floating Rate Note, 6/28/44 1,650,000 $1,310,857
Bayview Financial Mortgage Pass-Through Trust 2006-A, Floating Rate Note, 2/28/41 1,639,000 $14,218
Bayview Financial Mortgage Pass-Through Trust 2006-B, Floating Rate Note, 4/28/36 1,207,803 $214,540
Bayview Financial Mortgage Pass-Through Trust 2006-B, Floating Rate Note, 4/28/36 603,000 $30,062
Bayview Financial Mortgage Pass-Through Trust Series 2005-B, Floating Rate Note, 4/28/39 425,000 $298,860
Bayview Opportunity Master Fund IIA Trust 2012-4NPL Series III, Floating Rate Note, 2/28/35 (144A) 400,000 $358,525
Bayview Opportunity Master Fund IIa Trust 2014-20NPL, 3.475%, 8/28/44 (Step) (144A) 420,000 $305,057
Bayview Opportunity Master Fund Trust IIIa 2014-12RPL, 3.6225%, 7/28/19 (Step) (144A) 465,000 $187,272
BB&T Corp., 1.6%, 8/15/17 103,000 $103,971
Bbb Industries Llc 1st Lien Tl L + 5% 20oct21 532,000 $537,653
BBCMS Trust 2014-BXO REMICS, Floating Rate Note, 8/16/27 (144A) 180,000 $179,837
BBCMS Trust 2015-SLP, Floating Rate Note, 2/15/28 (144A) 750,000 $747,661
BCAP LLC 2009-RR13-I Trust, Floating Rate Note, 9/26/35 (144A) 2,765,000 $587,000
BCAP LLC 2013-RR3 Trust, Floating Rate Note, 5/28/36 (144A) 500,000 $335,257
BCAP LLC 2013-RR7 Trust, Floating Rate Note, 12/27/34 420,000 $307,298
Bear Stearns ALT-A Trust 2004-11, Floating Rate Note, 11/25/34 7,155,000 $335,113
Bear Stearns ALT-A Trust 2004-12, Floating Rate Note, 1/25/35 3,280,000 $334,424
Bear Stearns ALT-A Trust 2004-12, Floating Rate Note, 1/25/35 8,440,000 $935,772
Bear Stearns ALT-A Trust 2004-12, Floating Rate Note, 1/25/35 9,210,000 $963,960
Bear Stearns ALT-A Trust 2004-12, Floating Rate Note, 1/25/35 4,956,000 $559,310
Bear Stearns ALT-A Trust 2004-13, Floating Rate Note, 11/25/34 2,473,000 $116,936
Bear Stearns ALT-A Trust 2004-4, Floating Rate Note, 6/25/34 10,699,000 $785,068
Bear Stearns ARM Trust 2003-3, Floating Rate Note, 5/25/33 9,158,341 $244,750
Bear Stearns ARM Trust 2004-10 REMICS, Floating Rate Note, 1/25/35 720,000 $83,512
Bear Stearns ARM Trust 2004-3, Floating Rate Note, 7/25/34 2,481,203 $78,395
Bear Stearns Asset Backed Securities I Trust 2005-FR1, Floating Rate Note, 6/25/35 1,526,722 $442,294
Bear Stearns Asset Backed Securities Trust, Floating Rate Note, 2/25/35 5,848,300 $1,899
Bear Stearns Asset Backed Securities Trust 2004-2, Floating Rate Note, 8/25/34 389,000 $47,931
Bear Stearns Asset Backed Securities Trust 2006-SD2, Floating Rate Note, 6/25/36 412,000 $182,897
Bear Stearns Commercial Mortgage Securities Trust 2005-PWR10, Floating Rate Note, 12/11/40 1,240,000 $744,810
Bear Stearns Commercial Mortgage Securities Trust 2005-PWR7, Floating Rate Note, 2/11/41 550,000 $552,245
Bear Stearns Commercial Mortgage Securities Trust 2005-PWR8, 4.75%, 6/11/41 415,000 $26,848
Bear Stearns Commercial Mortgage Securities Trust 2005-PWR9, 4.871%, 9/11/42 2,280,000 $130,797
Bear Stearns Commercial Mortgage Securities Trust 2005-PWR9, Floating Rate Note, 9/11/42 1,160,000 $1,168,511
Bear Stearns Commercial Mortgage Securities Trust 2005-TOP20, Floating Rate Note, 10/12/42 1,905,000 $1,013,405
Bear Stearns Commercial Mortgage Securities Trust 2006-PWR14, 5.171%, 12/11/38 790,000 $159,445
Bear Stearns Commercial Mortgage Securities Trust 2006-TOP22, Floating Rate Note, 4/12/38 1,150,000 $928,537
Bear Stearns Mortgage Securities, Inc., Floating Rate Note, 6/25/30 731,690 $105,973
Bear Stearns Structured Products Trust 2007-EMX1, Floating Rate Note, 3/25/37 (144A) 1,130,000 $195,135
Becton Dickinson and Co., 1.45%, 5/15/17 750,000 $750,841
Becton Dickinson and Co., 1.8%, 12/15/17 750,000 $750,692
Belden Finance 2013 LP, Initial Term Loan, 9/9/20 245,625 $246,086
Bella Vista Mortgage Trust 2004-1, Floating Rate Note, 11/20/34 12,618,000 $286,283
Berkshire Hathaway Finance Corp., Floating Rate Note, 1/10/17 1,000,000 $1,001,708
Berkshire Hathaway Finance Corp., Floating Rate Note, 8/14/17 1,000,000 $1,000,595
BHP Billiton Finance USA, Ltd., Floating Rate Note, 9/30/16 500,000 $500,574
BLCP Hotel Trust, Floating Rate Note, 8/15/29 (144A) 1,610,000 $1,608,546
Blue Danube II, Ltd., Floating Rate Note, 5/23/18 (Cat Bond) (144A) 800,000 $798,935
Boca Hotel Portfolio Trust 2013-BOCA, Floating Rate Note, 8/17/26 (144A) 430,000 $430,309
Boston Scientific Corp., 2.65%, 10/1/18 500,000 $510,515
BPCE SA, Floating Rate Note, 4/25/16 550,000 $555,636
Branch Banking & Trust Co., 1.35%, 10/1/17 500,000 $501,248
Branch Banking & Trust Co., 2.3%, 10/15/18 500,000 $510,053
Branch Banking & Trust Co., Floating Rate Note, 5/23/17 250,000 $248,967
Branch Banking & Trust Co., Floating Rate Note, 9/13/16 970,000 $967,546
Bright Horizons Family Solutions, Inc., Term B Loan, 1/30/20 393,947 $394,316
Bscms Flt% 11sep38 06-Pw12-A1 840,000 $669,382
Bway Holding Co 1st Lien Tl-B L + 4.5% 08aug20 99,000 $99,634
Bxhtl Flt% 15may28 15-Jwrz-Gl 800,000 $800,068
Caelus Re, Ltd., Floating Rate Note, 3/7/16 (Cat Bond) (144A) 500,000 $497,108
Caelus Re 2013, Ltd., Floating Rate Note, 4/7/20 (Cat Bond) (144A) 750,000 $765,379
California Republic Auto Receivables Trust 2012-1, 1.18%, 8/15/17 (144A) 329,000 $37,769
Calpine Construction Finance Co LP, Term B-2 Loan, 1/3/22 664,854 $656,751
Calpine Corp., Term Loan (10/12), 10/9/19 746,164 $747,038
Canadian Natural Resources, Ltd., Floating Rate Note, 3/30/16 277,000 $276,958
Capella Healthcare Inc 1st Lien Tl-B L + 4.25% 31dec21 104,738 $104,999
Capital Auto Receivables Asset Trust 2013-1, 1.74%, 10/22/18 413,000 $414,342
Capital Auto Receivables Asset Trust 2013-1, 2.19%, 9/20/21 125,000 $125,967
Capital One Financial Corp., 1.0%, 11/6/15 975,000 $975,018
Capital One Multi-Asset Execution Trust, Floating Rate Note, 2/15/19 300,000 $299,866
Capital One NA, 1.65%, 2/5/18 750,000 $749,268
Capital One NA, Floating Rate Note, 3/22/16 700,000 $699,744
CarMax Auto Owner Trust 2013-3, 2.15%, 5/15/19 540,000 $543,443
Carrington Mortgage Loan Trust Series 2005-NC1, Floating Rate Note, 2/26/35 3,586,373 $355,432
Carrington Mortgage Loan Trust Series 2006-OPT1, Floating Rate Note, 12/25/35 5,047,000 $908,394
Castle Garden Funding, Floating Rate Note, 10/27/20 (144A) 2,000,000 $168,256
Caterpillar Financial Services Corp., 1.0%, 11/25/16 1,000,000 $1,003,482
Caterpillar Financial Services Corp., 1.35%, 9/6/16 1,125,000 $1,137,481
CD 2005-CD1 Commercial Mortgage Trust, Floating Rate Note, 7/15/44 940,000 $445,038
CD 2006-CD2 Mortgage Trust, Floating Rate Note, 1/15/46 2,084,000 $1,991,700
CDC Mortgage Capital Trust 2002-HE1, Floating Rate Note, 1/25/33 19,484,513 $350,529
CDGJ Commercial Mortgage Trust 2014-BXCH, Floating Rate Note, 12/15/27 (144A) 1,340,000 $1,344,783
Cendant Mortgage Corp., 6.25%, 3/25/32 (144A) 4,100,000 $385,494
Cent CLO 16 LP, 2.52%, 8/1/24 (144A) 1,000,000 $1,004,109
Centerpoint Energy Transition Bond Co II LLC, 5.17%, 8/1/19 720,000 $531,037
Centex Home Equity Loan Trust 2005-B, 4.893%, 3/25/33 (Step) 3,300,000 $105,292
CeramTec Acquisition Corp., Initial Dollar Term B-2 Loan, 8/30/20 20,744 $20,783
CeramTec GmbH, Dollar Term B-3 Loan, 8/30/20 61,556 $61,671
CeramTec Service GmbH, Initial Dollar Term B-1 Loan, 8/30/20 204,460 $204,844
CGBAM Commercial Mortgage Trust 2014-HD, Floating Rate Note, 2/18/31 (144A) 310,000 $309,773
CG-CCRE Commercial Mortgage Trust 2014-FL1, Floating Rate Note, 6/16/31 (144A) 1,630,000 $1,627,322
CGWF Commercial Mortgage Trust 2013-RKWH REMICS, Floating Rate Note, 11/15/30 (144A) 1,720,000 $1,721,135
Chase Funding Trust Series 2003-3, Floating Rate Note, 4/25/33 13,029,694 $93,141
Chase Funding Trust Series 2003-6, 4.277%, 11/27/34 (Step) 1,680,000 $214,432
Chase Issuance Trust, 0.59%, 8/15/17 300,000 $300,080
Chase Issuance Trust, Floating Rate Note, 4/16/18 750,000 $750,540
Chase Mortgage Finance Trust Series 2005-S1, 5.5%, 5/25/35 4,068,000 $41,075
Chesapeake Funding LLC, Floating Rate Note, 5/7/24 (144A) 250,000 $250,864
Chesapeake Funding LLC, Floating Rate Note, 5/7/24 (144A) 200,000 $70,685
CHL Mortgage Pass-Through Trust 2004-14, Floating Rate Note, 8/25/34 1,810,000 $177,786
CHS, Incremental 2018 Term F Loans, 12/31/18 99,125 $99,161
CHS, Incremental 2019 Term G Loan, 12/31/19 93,027 $93,144
CHS, Incremental 2021 Term H Loan, 1/27/21 171,168 $171,608
Ciena Corporation 1st Lien Tl-B L + 3% 08jul19 347,375 $348,678
Cinedigm Digital Funding I LLC, Term Loan, 2/28/18 109,711 $109,849
Citibank Credit Card Issuance Trust, 5.1%, 11/20/17 500,000 $511,864
Citicorp Mortgage Securities REMIC Pass-Through Certificates Trust Series 2005-4, 5.0%, 7/25/20 4,375,000 $105,634
Citicorp Mortgage Securities REMIC Pass-Through Certificates Trust Series 2005-7, 5.0%, 10/25/35 5,635,000 $374,918
Citigroup, Inc., 1.3%, 4/1/16 500,000 $502,805
Citigroup, Inc., 1.8%, 2/5/18 750,000 $753,668
Citigroup, Inc., Floating Rate Note, 11/15/16 750,000 $752,086
Citigroup, Inc., Floating Rate Note, 4/1/16 500,000 $502,342
Citigroup, Inc., Floating Rate Note, 7/25/16 750,000 $753,799
Citigroup Commercial Mortgage Trust 2015-SSHP REMICS, Floating Rate Note, 9/15/27 (144A) 1,250,000 $1,250,543
Citigroup Mortgage Loan Trust, Inc., 7.0%, 11/25/19 7,340,000 $53,145
Citigroup Mortgage Loan Trust, Inc., Floating Rate Note, 10/25/35 1,471,464 $3,408
Citigroup Mortgage Loan Trust, Inc., Floating Rate Note, 11/25/34 900,000 $55,166
Citigroup Mortgage Loan Trust, Inc., Floating Rate Note, 3/26/35 1,750,000 $151,692
Citigroup Mortgage Loan Trust, Inc., Floating Rate Note, 5/25/35 (144A) 429,900 $389,558
Citigroup Mortgage Loan Trust 2006-SHL1, Floating Rate Note, 11/27/45 (144A) 4,965,000 $425,853
Citigroup Mortgage Loan Trust 2010-4 REMICS, 5.0%, 10/25/35 (144A) 2,735,000 $634,838
Citigroup Mortgage Loan Trust 2010-7 REMICS, Floating Rate Note, 9/25/37 (144A) 1,905,250 $166,205
Citrus Re, Ltd., Floating Rate Note, 4/18/17 (Cat Bond) (144A) 250,000 $245,089
Citrus Re, Ltd., Floating Rate Note, 4/24/17 (Cat Bond) (144A) 600,000 $588,788
CNH Equipment Trust 2012-C, 0.57%, 12/15/17 75,000 $25,994
CNH Equipment Trust 2013-A, 0.69%, 6/15/18 450,000 $230,088
CNH Wholesale Master Note Trust, Floating Rate Note, 8/15/19 (144A) 525,000 $525,608
CNL Commercial Mortgage Loan Trust 2002-1, Floating Rate Note, 10/25/28 (144A) 8,975,000 $272,410
CNL Commercial Mortgage Loan Trust 2003-1, Floating Rate Note, 5/15/31 (144A) 5,443,000 $364,371
CNL Commercial Mortgage Loan Trust 2003-2, Floating Rate Note, 10/25/30 (144A) 1,000,000 $77,144
Coca-Cola Enterprises, Inc., 2.125%, 9/15/15 189,000 $190,732
Collateralized Mortgage Obligation Trust 44, Floating Rate Note, 7/1/18 13,590,000 $34,765
Colony American Homes 2014-1, Floating Rate Note, 5/19/31 (144A) 700,000 $694,135
Colony American Homes 2014-2, Floating Rate Note, 7/19/31 (144A) 600,000 $597,320
COMM 2005-C6 Mortgage Trust, Floating Rate Note, 6/10/44 1,880,000 $1,887,413
COMM 2005-C6 Mortgage Trust, Floating Rate Note, 6/10/44 770,000 $79,516
COMM 2013-FL3 Mortgage Trust, Floating Rate Note, 10/13/28 (144A) 1,000,000 $792,736
COMM 2014-FL5 Mortgage Trust, Floating Rate Note, 10/17/31 (144A) 1,370,000 $1,369,706
COMM 2014-KYO Mortgage Trust, Floating Rate Note, 6/11/27 (144A) 1,630,000 $1,629,387
COMM 2014-PAT Mortgage Trust, Floating Rate Note, 8/13/27 (144A) 820,000 $822,729
COMM 2014-SAVA Mortgage Trust, Floating Rate Note, 6/15/34 (144A) 1,110,000 $1,109,200
COMM 2014-TWC Mortgage Trust, Floating Rate Note, 2/13/32 (144A) 1,850,000 $1,852,504
Commercial Mortgage Pass Through Certificates, Floating Rate Note, 11/19/26 (144A) 600,000 $197,997
Commercial Mortgage Pass Through Certificates, Floating Rate Note, 11/19/26 (144A) 850,000 $849,953
Commercial Mortgage Trust 2005-GG3, Floating Rate Note, 8/10/42 1,000,000 $94,812
Commercial Mortgage Trust 2005-GG5, Floating Rate Note, 4/10/37 2,075,000 $2,098,990
Commonwealth Bank of Australia, Floating Rate Note, 3/13/17 (144A) 650,000 $650,448
Commonwealth Bank of Australia, Floating Rate Note, 9/18/15 (144A) 460,000 $461,011
Commonwealth Bank of Australia, Floating Rate Note, 9/8/17 (144A) 750,000 $749,856
Commonwealth Edison Co., 1.95%, 9/1/16 500,000 $508,786
Compass Re II, Ltd., Floating Rate Note, 12/8/15 (Cat Bond) (144A) 250,000 $238,100
ConocoPhillips Co., 1.05%, 12/15/17 1,000,000 $992,933
Conseco Finance Corp., 7.55%, 4/15/32 (Step) 2,740,000 $103,373
Conseco Finance Home Equity Loan Trust 2002-C, Floating Rate Note, 4/15/32 2,875,000 $737,172
Consumer Credit Origination Loan Trust 2015-1, 2.82%, 3/15/21 (144A) 750,000 $603,671
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA New York, Floating Rate Note, 3/18/16 500,000 $501,555
Costco Wholesale Corp., 1.125%, 12/15/17 740,000 $739,218
Countrywide Asset-Backed Certificates, Floating Rate Note, 10/25/34 984,000 $166,688
Countrywide Asset-Backed Certificates, Floating Rate Note, 11/25/35 2,175,000 $67,705
Countrywide Asset-Backed Certificates, Floating Rate Note, 12/25/35 1,814,000 $359,376
Countrywide Asset-Backed Certificates, Floating Rate Note, 3/25/35 1,300,000 $381,211
Countrywide Asset-Backed Certificates, Floating Rate Note, 5/25/35 1,600,000 $38,897
Countrywide Asset-Backed Certificates, Floating Rate Note, 9/25/34 (144A) 8,600,000 $445,088
CPS Auto Receivables Trust 2013-A, 1.89%, 6/15/20 (144A) 690,000 $297,598
CPS Auto Receivables Trust 2013-B, 1.82%, 9/15/20 (144A) 157,000 $63,707
CPS Auto Receivables Trust 2014-A, 1.21%, 8/15/18 200,000 $100,623
Credit Acceptance Auto Loan Trust 2012-2, 1.52%, 3/16/20 (144A) 400,000 $68,966
Credit Acceptance Auto Loan Trust 2013-2, 1.5%, 4/15/21 (144A) 1,000,000 $1,004,264
Credit Acceptance Auto Loan Trust 2014-2, 2.67%, 9/15/22 (144A) 1,000,000 $1,004,488
Credit Suisse Commercial Mortgage Trust Series 2006-C2 REMICS, Floating Rate Note, 3/15/39 1,970,000 $1,867,847
Credit Suisse Commercial Mortgage Trust Series 2007-C1, 5.361%, 2/15/40 1,300,000 $920,304
Credit Suisse First Boston Mortgage Securities Corp., 4.877%, 4/15/37 500,000 $382,392
Credit Suisse First Boston Mortgage Securities Corp., 5.25%, 10/25/19 1,196,000 $39,021
Credit Suisse First Boston Mortgage Securities Corp., 5.5%, 6/25/33 200,000 $36,817
Credit Suisse First Boston Mortgage Securities Corp., 7.5%, 5/25/32 15,000,000 $289,234
Credit Suisse First Boston Mortgage Securities Corp., Floating Rate Note, 12/17/40 2,730,000 $1,496,668
Credit Suisse First Boston Mortgage Securities Corp., Floating Rate Note, 7/25/35 3,555,000 $384,622
Credit Suisse First Boston Mortgage Securities Corp., Floating Rate Note, 8/15/38 1,900,440 $47,470
Credit Suisse Mortgage Capital Certificates, Floating Rate Note, 3/15/28 (144A) 400,000 $398,695
Credit Suisse Mortgage Capital Certificates REMICS, Floating Rate Note, 7/27/36 (144A) 3,494,698 $480,121
Crown Castle 1st Lien Term-B2 L + 2.5% 31jan21 347,355 $345,922
Crowne Group Llc 1st Lien Tl-B L + 5% 29sep20 297,750 $297,006
Csco Flt% 15jun18 750,000 $751,312
Csmc Flt% 16apr29 15-Deal-B 900,000 $894,643
CSMC Series 2014-ICE, Floating Rate Note, 4/15/27 (144A) 1,950,000 $1,942,447
CSMC Trust 2014-SURF, Floating Rate Note, 2/15/29 (144A) 700,000 $698,934
CWABS Asset-Backed Certificates Trust 2005-1, Floating Rate Note, 2/25/33 244,000 $8,958
Daimler Finance North America LLC, 1.45%, 8/1/16 (144A) 1,000,000 $1,009,975
Daimler Finance North America LLC, Floating Rate Note, 3/10/17 (144A) 750,000 $749,951
Daimler Finance North America LLC, Floating Rate Note, 8/1/17 (144A) 617,000 $616,837
Darling Ingredients, Inc., Term B USD Loan, 12/19/20 518,438 $521,516
DCP Midstream Operating LP, 3.25%, 10/1/15 500,000 $504,042
Del Coronado Trust 2013-DEL, Floating Rate Note, 3/16/26 (144A) 399,000 $398,998
Del Coronado Trust 2013-DEL, Floating Rate Note, 3/16/26 (144A) 300,000 $299,910
Dell Equipment Finance Trust 2014-1, 2.68%, 6/22/20 (144A) 750,000 $753,611
DELOS FINANCE SARL, Loan, 2/27/21 425,000 $425,303
Delta Air Lines, Inc., 2014 Term B-1 Loan, 10/18/18 98,485 $98,354
Diamond Resorts Owner Trust 2013-2, 2.62%, 5/20/26 (144A) 750,000 $354,786
Direct Capital Funding V LLC, 1.673%, 12/20/17 (144A) 175,000 $2,916
Direct Capital Funding V LLC, 4.83%, 11/20/20 (144A) 750,000 $762,451
Discover Card Execution Note Trust, Floating Rate Note, 10/15/18 600,000 $600,215
DR Horton, Inc., 4.0%, 2/15/20 650,000 $656,811
Drug Royalty II LP 2, Floating Rate Note, 7/15/23 (144A) 700,000 $647,395
Duke Energy Carolinas LLC, 1.75%, 12/15/16 750,000 $759,821
Duke Energy Florida, Inc., 0.65%, 11/15/15 695,000 $695,688
Duke Energy Indiana, Inc., Floating Rate Note, 7/11/16 303,000 $303,642
Duke Energy Progress, Inc., Floating Rate Note, 3/6/17 411,000 $410,284
East Lane Re VI, Ltd., Floating Rate Note, 3/13/20 (Cat Bond) (144A) 350,000 $344,609
East Lane Re VI, Ltd., Floating Rate Note, 3/14/18 (Cat Bond) (144A) 500,000 $487,840
Eco Services Operations Llc 1st Lien Tl-B L + 3.75% 10oct21 522,375 $521,069
Eden Re II, Ltd., 0.0%, 4/19/18 (Cat Bond) (144A) 700,000 $713,300
Electricite de France SA, Floating Rate Note, 1/20/17 (144A) 750,000 $751,845
Ellington Loan Acquisition Trust 2007-1, Floating Rate Note, 5/26/37 (144A) 550,000 $397,514
Emdeon Inc 1st Lien Tl-B3 L + 2.5% 02nov18 397,000 $397,000
Enbridge, Inc., Floating Rate Note, 10/1/16 500,000 $500,353
Encore Credit Receivables Trust 2005-3, Floating Rate Note, 10/25/35 1,000,000 $83,176
Endo International 1st Lien Tl-B1 L + 3% 24jun22 244,000 $244,915
Endo Luxembourg Finance I 1st Lien Tl-B L + 2.5% 05nov20 493,750 $494,830
Energy Transfer Equity 1st Lien Tl-B L + 3.25% 02dec19 278,824 $279,222
Entercom Radio LLC, Term B-2 Loan, 11/23/18 498,565 $500,045
Enterprise Products Operating LLC, 1.65%, 5/7/18 750,000 $751,108
Enterprise Products Operating LLC, 3.2%, 2/1/16 1,000,000 $1,025,519
EQTY 2014-INNS Mortgage Trust, Floating Rate Note, 5/8/31 (144A) 1,020,000 $1,005,789
EQTY 2014-INNS Mortgage Trust REMICS, Floating Rate Note, 5/8/31 (144A) 540,000 $533,744
Equity One Mortgage Pass-Through Trust 2003-1, Floating Rate Note, 8/25/33 11,389,000 $309,035
Equity One Mortgage Pass-Through Trust 2004-1, Floating Rate Note, 4/25/34 1,840,000 $467,120
Equity One Mortgage Pass-Through Trust 2004-2, Floating Rate Note, 7/25/34 1,925,000 $495,650
Etp 2.5% 15jun18 750,000 $751,560
Evergreen Skills Lux Sarl, Initial Term Loan (First Lien), 4/23/21 198,500 $194,477
Ew Scripps 1st Lien Termloan L + 2.9717% 26nov20 274,308 $275,508
Exc 1.55% 09jun17 750,000 $751,712
Exeter Automobile Receivables Trust 2014-2, 1.06%, 8/15/18 400,000 $176,269
Express Scripts Holding Co., 2.25%, 6/15/19 750,000 $744,677
Express Scripts Holding Co., 3.125%, 5/15/16 1,000,000 $1,020,421
Extended Stay America Trust 2013-ESH, Floating Rate Note, 12/5/31 (144A) 200,000 $34,686
Fannie Mae, 2.0%, 11/1/23 2,236,000 $1,721,662
Fannie Mae, 2.5%, 3/1/28 1,500,000 $1,188,512
Fannie Mae, 2.5%, 6/1/23 526,320 $376,038
Fannie Mae, 3.0%, 10/1/27 2,000,000 $1,206,544
Fannie Mae, 3.0%, 11/1/27 2,000,000 $1,431,168
Fannie Mae, 3.0%, 5/1/21 2,775,000 $924,682
Fannie Mae, 4.0%, 12/1/19 3,570,319 $573,644
Fannie Mae, 4.5%, 1/1/41 580,000 $267,112
Fannie Mae, 4.5%, 5/1/39 2,100,000 $782,680
Fannie Mae, 4.5%, 5/1/39 1,350,000 $457,319
Fannie Mae, 5.0%, 10/1/41 1,736,000 $694,110
Fannie Mae, 5.0%, 11/1/20 3,800,000 $229,851
Fannie Mae, 5.5%, 12/1/35 1,000,000 $60,179
Fannie Mae, 5.5%, 8/1/37 2,000,000 $322,110
Fannie Mae, 6.0%, 10/1/22 973,454 $236,859
Fannie Mae, 6.0%, 2/1/34 1,400,000 $37,704
Fannie Mae, 6.0%, 4/1/38 483,000 $34,346
Fannie Mae, 6.5%, 4/1/29 9,050,000 $290,578
Fannie Mae, 6.5%, 6/1/16 700,000 $871
Fannie Mae, 6.5%, 7/1/32 723,471 $7,488
Fannie Mae, 6.5%, 8/1/17 667,089 $12,505
Fannie Mae, 7.0%, 1/1/36 1,000,000 $22,234
Fannie Mae, 7.0%, 7/1/17 3,768,412 $32,232
Fannie Mae, Floating Rate Note, 1/1/25 7,000,000 $54,158
Fannie Mae, Floating Rate Note, 10/1/29 4,831,796 $102,974
Fannie Mae, Floating Rate Note, 10/1/29 10,892,567 $83,377
Fannie Mae, Floating Rate Note, 10/1/36 1,877,185 $309,622
Fannie Mae, Floating Rate Note, 11/1/24 7,000,000 $86,961
Fannie Mae, Floating Rate Note, 11/1/25 700,000 $2,305
Fannie Mae, Floating Rate Note, 11/1/40 9,368,434 $31,098
Fannie Mae, Floating Rate Note, 12/1/28 1,112,489 $51,833
Fannie Mae, Floating Rate Note, 12/1/36 6,500,000 $222,059
Fannie Mae, Floating Rate Note, 2/1/27 4,000,000 $10,857
Fannie Mae, Floating Rate Note, 2/1/33 380,000 $1,166
Fannie Mae, Floating Rate Note, 4/1/28 400,000 $3,154
Fannie Mae, Floating Rate Note, 4/1/29 400,000 $2,822
Fannie Mae, Floating Rate Note, 7/1/36 500,000 $52,356
Fannie Mae Connecticut Avenue Securities, Floating Rate Note, 10/25/23 1,244,000 $892,310
Fannie Mae Connecticut Avenue Securities, Floating Rate Note, 5/25/24 1,020,000 $811,599
Fannie Mae Connecticut Avenue Securities, Floating Rate Note, 7/25/24 1,540,000 $1,197,800
Fannie Mae Trust 2005-W4, Floating Rate Note, 6/25/45 1,600,000 $230,381
Fannie Mae Whole Loan, Floating Rate Note, 11/25/46 4,252,000 $651,736
FCA US LLC, Term Loan B, 5/24/17 892,800 $892,877
FCA US LLC, Tranche B Term Loan, 12/29/18 592,500 $591,982
FDIC 2010-R1 Trust, 2.184%, 5/25/50 (144A) 2,060,000 $659,331
Federal Home Loan Banks, 2.9%, 4/20/17 1,370,000 $224,138
Federal Home Loan Mortgage Corp., 2.5%, 10/1/27 1,247,958 $902,596
Federal Home Loan Mortgage Corp., 2.75%, 11/15/25 1,000,000 $403,332
Federal Home Loan Mortgage Corp., 3.0%, 1/15/30 893,000 $402,040
Federal Home Loan Mortgage Corp., 3.0%, 6/15/38 2,000,000 $300,719
Federal Home Loan Mortgage Corp., 3.5%, 8/15/28 500,000 $137,722
Federal Home Loan Mortgage Corp., 4.0%, 1/15/34 5,000,000 $247,505
Federal Home Loan Mortgage Corp., 4.0%, 5/1/24 2,400,000 $202,469
Federal Home Loan Mortgage Corp., 4.5%, 7/1/19 1,381,464 $165,312
Federal Home Loan Mortgage Corp., 4.5%, 7/1/19 1,467,130 $127,750
Federal Home Loan Mortgage Corp., 5.0%, 12/1/39 265,000 $105,254
Federal Home Loan Mortgage Corp., 5.0%, 2/1/21 1,000,000 $67,683
Federal Home Loan Mortgage Corp., 5.5%, 8/1/23 1,563,938 $48,510
Federal Home Loan Mortgage Corp., 6.5%, 7/1/16 2,000,000 $4,282
Federal Home Loan Mortgage Corp., Floating Rate Note, 1/1/28 500,000 $2,745
Federal Home Loan Mortgage Corp., Floating Rate Note, 1/15/33 40,000,000 $1,510,424
Federal Home Loan Mortgage Corp., Floating Rate Note, 1/15/35 1,635,000 $205,378
Federal Home Loan Mortgage Corp., Floating Rate Note, 10/1/31 19,044,336 $332,181
Federal Home Loan Mortgage Corp., Floating Rate Note, 11/1/31 1,399,950 $6,177
Federal Home Loan Mortgage Corp., Floating Rate Note, 11/15/36 2,046,908 $88,660
Federal Home Loan Mortgage Corp., Floating Rate Note, 12/1/31 49,986,196 $261,443
Federal Home Loan Mortgage Corp., Floating Rate Note, 2/17/32 12,638,000 $313,815
Federal Home Loan Mortgage Corp., Floating Rate Note, 3/15/30 1,147,667 $400,786
Federal Home Loan Mortgage Corp., Floating Rate Note, 3/15/32 33,450,000 $347,069
Federal Home Loan Mortgage Corp., Floating Rate Note, 4/1/25 13,000,000 $17,118
Federal Home Loan Mortgage Corp., Floating Rate Note, 4/1/29 160,000 $2,000
Federal Home Loan Mortgage Corp., Floating Rate Note, 4/15/33 22,025,143 $870,060
Federal Home Loan Mortgage Corp., Floating Rate Note, 4/15/36 4,003,000 $560,997
Federal Home Loan Mortgage Corp., Floating Rate Note, 5/1/25 588,110 $5,434
Federal Home Loan Mortgage Corp., Floating Rate Note, 7/1/18 2,100,000 $2,998
Federal Home Loan Mortgage Corp., Floating Rate Note, 7/15/19 1,500,000 $74,597
Federal Home Loan Mortgage Corp., Floating Rate Note, 7/15/28 52,559,000 $332,162
Federal Home Loan Mortgage Corp., Floating Rate Note, 7/15/31 49,927,842 $488,509
Federal Home Loan Mortgage Corp., Floating Rate Note, 8/1/31 500,000 $886
Federal Home Loan Mortgage Corp., Floating Rate Note, 8/1/31 12,000,000 $90,121
Federal Home Loan Mortgage Corp., Floating Rate Note, 8/15/19 6,831,666 $164,293
Federal Home Loan Mortgage Corp. REMICS, 3.5%, 10/15/18 500,000 $69,699
Federal Home Loan Mortgage Corp. REMICS, 3.5%, 6/15/28 1,119,000 $71,264
Federal Home Loan Mortgage Corp. REMICS, 5.5%, 10/15/35 1,625,000 $23,908
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 1/15/36 400,312 $69,336
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 1/15/37 16,831,292 $921,709
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 10/15/20 9,083,556 $120,420
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 10/15/37 3,873,000 $244,504
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 11/15/36 600,000 $89,720
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 11/15/36 1,229,000 $198,281
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 11/15/37 3,358,000 $465,065
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/32 1,931,288 $125,291
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/32 2,900,000 $191,533
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/35 2,232,000 $320,978
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/39 666,000 $242,132
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/30 586,107 $230,072
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/32 15,205,000 $220,361
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/33 20,000,000 $256,336
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/36 1,133,000 $182,122
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/37 2,840,000 $117,415
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/39 288,000 $130,789
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/41 1,878,046 $308,920
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/42 350,000 $181,767
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 3/15/32 15,667,000 $159,384
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 3/15/32 35,466,000 $278,981
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 3/15/38 2,600,000 $635,098
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 3/15/41 3,243,333 $610,891
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 4/15/27 22,817,000 $221,961
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 4/15/28 16,175,365 $221,160
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 4/15/36 728,000 $125,945
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 4/15/41 2,446,437 $413,926
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 5/15/36 2,159,000 $131,710
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 5/15/36 4,000,000 $127,573
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 5/15/41 638,000 $97,040
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 6/15/36 1,288,000 $112,354
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 6/15/41 1,220,000 $278,623
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 7/15/23 835,000 $157,934
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 7/15/36 3,107,000 $204,130
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 8/15/18 600,000 $86,451
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 8/15/25 970,000 $262,370
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 8/15/26 370,000 $118,343
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 8/15/35 462,000 $83,609
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 8/15/36 5,044,000 $222,983
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 9/15/26 385,000 $205,775
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 9/15/33 2,647,000 $147,582
Federal National Mortgage Association, 2.0%, 8/1/23 1,465,000 $1,095,929
Federal National Mortgage Association, 2.5%, 4/25/36 635,000 $181,316
Federal National Mortgage Association, 2.5%, 9/1/22 2,000,000 $1,156,240
Federal National Mortgage Association, 2.75%, 6/25/20 1,750,000 $365,923
Federal National Mortgage Association, 3.0%, 12/1/21 2,000,000 $791,926
Federal National Mortgage Association, 3.0%, 6/25/39 5,000,000 $439,294
Federal National Mortgage Association, 3.5%, 1/25/24 7,225,000 $112,441
Federal National Mortgage Association, 3.5%, 3/25/28 2,344,102 $122,931
Federal National Mortgage Association, 3.5%, 7/25/24 1,250,000 $195,442
Federal National Mortgage Association, 4.0%, 1/1/20 7,280,000 $990,260
Federal National Mortgage Association, 4.0%, 10/1/20 4,317,004 $1,040,144
Federal National Mortgage Association, 4.0%, 3/1/21 4,071,760 $1,034,590
Federal National Mortgage Association, 4.0%, 8/1/19 2,761,217 $353,744
Federal National Mortgage Association, 4.5%, 10/25/38 5,000,000 $18,212
Federal National Mortgage Association, 4.5%, 6/25/40 4,200,000 $993,213
Federal National Mortgage Association, 5.0%, 7/25/32 7,363,000 $92,691
Federal National Mortgage Association, Floating Rate Note, 10/18/32 11,398,000 $337,115
Federal National Mortgage Association, Floating Rate Note, 11/25/27 15,797,000 $472,919
Federal National Mortgage Association, Floating Rate Note, 2/25/23 77,000,000 $350,237
Federal National Mortgage Association, Floating Rate Note, 3/25/18 8,811,000 $191,925
Federal National Mortgage Association, Floating Rate Note, 3/25/36 2,108,510 $400,622
Federal National Mortgage Association, Floating Rate Note, 4/25/33 36,000,000 $860,878
Federal National Mortgage Association, Floating Rate Note, 4/25/35 1,250,000 $214,274
Federal National Mortgage Association, Floating Rate Note, 6/25/32 21,270,000 $528,951
Federal National Mortgage Association, Floating Rate Note, 6/25/36 7,000,000 $704,564
Federal National Mortgage Association, Floating Rate Note, 8/25/35 2,868,000 $312,643
Federal National Mortgage Association, Floating Rate Note, 9/25/22 3,000,000 $104,765
Federal National Mortgage Association 2004-T2, Floating Rate Note, 7/25/43 6,750,000 $889,391
Federal National Mortgage Association 2006-48-T, 5.5%, 12/25/34 1,716,418 $132,798
Federal National Mortgage Association REMICS, 1.5%, 11/25/20 745,000 $144,782
Federal National Mortgage Association REMICS, 1.75%, 12/25/22 1,000,000 $255,595
Federal National Mortgage Association REMICS, 3.0%, 1/25/21 4,450,000 $655,501
Federal National Mortgage Association REMICS, 3.0%, 4/25/40 1,110,000 $137,466
Federal National Mortgage Association REMICS, 3.5%, 10/25/39 490,000 $256,807
Federal National Mortgage Association REMICS, 4.0%, 5/25/29 2,000,000 $1,087,201
Federal National Mortgage Association REMICS, 5.0%, 9/25/39 110,000 $12,170
Federal National Mortgage Association REMICS, 6.0%, 6/25/29 685,000 $113,418
Federal National Mortgage Association REMICS, Floating Rate Note, 1/18/32 4,920,043 $65,718
Federal National Mortgage Association REMICS, Floating Rate Note, 1/25/24 51,985,111 $125,340
Federal National Mortgage Association REMICS, Floating Rate Note, 1/25/33 2,782,000 $85,434
Federal National Mortgage Association REMICS, Floating Rate Note, 10/25/35 1,878,000 $166,097
Federal National Mortgage Association REMICS, Floating Rate Note, 10/25/36 11,844,000 $402,256
Federal National Mortgage Association REMICS, Floating Rate Note, 10/25/38 1,808,000 $171,244
Federal National Mortgage Association REMICS, Floating Rate Note, 10/27/37 1,375,920 $1,204,350
Federal National Mortgage Association REMICS, Floating Rate Note, 11/18/32 24,329,000 $410,983
Federal National Mortgage Association REMICS, Floating Rate Note, 11/25/36 2,248,000 $279,114
Federal National Mortgage Association REMICS, Floating Rate Note, 11/25/39 2,750,000 $409,799
Federal National Mortgage Association REMICS, Floating Rate Note, 12/18/32 16,085,000 $226,732
Federal National Mortgage Association REMICS, Floating Rate Note, 12/25/31 4,375,000 $121,694
Federal National Mortgage Association REMICS, Floating Rate Note, 12/25/32 34,313,143 $635,155
Federal National Mortgage Association REMICS, Floating Rate Note, 12/25/37 5,672,000 $150,520
Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/33 4,696,499 $197,411
Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/35 603,000 $179,714
Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/37 4,308,000 $151,156
Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/37 1,940,000 $166,121
Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/38 624,000 $122,879
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/24 4,129,409 $144,312
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/34 4,612,000 $275,092
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/34 763,500 $181,190
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/35 1,278,000 $213,547
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/36 11,585,646 $1,104,421
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/37 4,100,000 $216,842
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/37 11,268,506 $210,177
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/37 960,000 $120,949
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/37 9,250,000 $240,713
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/45 6,100,000 $855,774
Federal National Mortgage Association REMICS, Floating Rate Note, 4/25/32 50,000,000 $572,593
Federal National Mortgage Association REMICS, Floating Rate Note, 4/25/32 10,133,000 $554,687
Federal National Mortgage Association REMICS, Floating Rate Note, 4/25/34 644,866 $67,917
Federal National Mortgage Association REMICS, Floating Rate Note, 4/25/36 1,737,000 $293,790
Federal National Mortgage Association REMICS, Floating Rate Note, 5/18/32 31,809,000 $582,936
Federal National Mortgage Association REMICS, Floating Rate Note, 5/25/17 20,000,000 $68,413
Federal National Mortgage Association REMICS, Floating Rate Note, 5/25/33 4,068,000 $93,073
Federal National Mortgage Association REMICS, Floating Rate Note, 5/25/36 6,641,000 $175,934
Federal National Mortgage Association REMICS, Floating Rate Note, 5/25/37 6,826,000 $215,995
Federal National Mortgage Association REMICS, Floating Rate Note, 5/25/40 761,373 $283,412
Federal National Mortgage Association REMICS, Floating Rate Note, 6/25/36 2,317,493 $206,538
Federal National Mortgage Association REMICS, Floating Rate Note, 6/25/37 1,010,000 $85,852
Federal National Mortgage Association REMICS, Floating Rate Note, 6/25/37 4,600,000 $278,896
Federal National Mortgage Association REMICS, Floating Rate Note, 6/25/37 2,134,162 $238,732
Federal National Mortgage Association REMICS, Floating Rate Note, 6/25/38 2,355,000 $122,062
Federal National Mortgage Association REMICS, Floating Rate Note, 7/25/34 1,642,000 $97,147
Federal National Mortgage Association REMICS, Floating Rate Note, 7/25/35 750,000 $149,493
Federal National Mortgage Association REMICS, Floating Rate Note, 7/25/35 3,227,000 $325,215
Federal National Mortgage Association REMICS, Floating Rate Note, 7/25/38 6,812,000 $334,683
Federal National Mortgage Association REMICS, Floating Rate Note, 8/25/36 4,040,000 $405,771
Federal National Mortgage Association REMICS, Floating Rate Note, 8/25/40 692,000 $282,321
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/33 4,915,594 $474,403
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/36 1,275,000 $152,921
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/36 3,447,000 $182,452
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/37 2,706,000 $286,325
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/37 3,700,000 $311,490
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/37 2,524,000 $96,365
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/37 679,000 $77,344
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/39 683,053 $89,354
FHLMC Structured Pass Through Securities, Floating Rate Note, 12/25/29 12,000,000 $176,210
Fieldstone Mortgage Investment Trust Series 2005-1, Floating Rate Note, 3/25/35 311,000 $83,472
Fieldwood Energy LLC, Closing Date Loan, 9/25/18 983,740 $938,733
Fifth Third Bancorp, Floating Rate Note, 12/20/16 730,000 $726,337
Fifth Third Bank Cincinnati Ohio, 1.15%, 11/18/16 750,000 $749,360
Fifth Third Bank Cincinnati Ohio, Floating Rate Note, 2/26/16 500,000 $501,109
First Franklin Mortgage Loan Trust 2002-FFA, Floating Rate Note, 9/25/32 5,500,000 $236,034
First Franklin Mortgage Loan Trust 2003-FFC, Floating Rate Note, 11/25/32 8,000,000 $385,837
First Franklin Mortgage Loan Trust 2005-FFH3, Floating Rate Note, 9/25/35 1,100,000 $406,403
First Horizon Mortgage Pass-Through Trust 2004-AR1, Floating Rate Note, 2/25/34 1,500,000 $57,974
First Horizon Mortgage Pass-Through Trust 2004-AR5, Floating Rate Note, 10/25/34 940,000 $48,946
First Investors Auto Owner Trust 2012-2, 1.47%, 5/15/18 (144A) 200,000 $20,798
First Investors Auto Owner Trust 2013-1, 1.81%, 10/15/18 (144A) 55,000 $55,255
First Investors Auto Owner Trust 2013-1, 2.02%, 1/15/19 (144A) 200,000 $200,251
First Investors Auto Owner Trust 2013-2, 1.23%, 3/15/19 (144A) 1,048,000 $339,596
First Investors Auto Owner Trust 2013-3, 2.32%, 10/15/19 (144A) 300,000 $302,930
First NLC Trust 2005-2, Floating Rate Note, 9/25/35 3,362,996 $327,291
Flt% 15jun16 250,000 $243,725
Fly Funding II Sarl, Loan, 8/8/18 370,000 $370,771
FMG Resources August 2006 Pty, Ltd., Loan, 6/30/19 73,641 $65,563
Foothill CLO, Ltd., Floating Rate Note, 2/22/21 (144A) 500,000 $174,125
Ford Credit Auto Owner Trust 2013-D, 1.54%, 3/15/19 100,000 $100,138
Ford Credit Auto Owner Trust 2014-A, 0.48%, 11/15/16 260,000 $19,716
Ford Motor Credit Co LLC, 1.7%, 5/9/16 500,000 $501,879
Ford Motor Credit Co LLC, 1.724%, 12/6/17 700,000 $697,204
Ford Motor Credit Co LLC, 2.375%, 1/16/18 250,000 $255,045
Ford Motor Credit Co LLC, 2.875%, 10/1/18 1,000,000 $1,023,250
Ford Motor Credit Co LLC, Floating Rate Note, 9/8/17 750,000 $746,021
Fore CLO, Ltd., Floating Rate Note, 7/20/19 (144A) 250,000 $48,832
Foresight Energy LLC, Term Loan, 8/21/20 67,011 $66,509
Fosse Master Issuer Plc, Floating Rate Note, 10/18/54 100,000 $76,956
Four Corners CLO II, Ltd., Floating Rate Note, 1/26/20 (144A) 553,000 $534,873
Freddie Mac REMICS, Floating Rate Note, 2/15/32 14,441,000 $803,304
Freddie Mac Strips, Floating Rate Note, 12/15/36 2,327,000 $119,387
Freddie Mac Strips, Floating Rate Note, 8/15/36 6,894,664 $296,422
Freddie Mac Structured Agency Credit Risk Debt Notes, Floating Rate Note, 10/25/24 700,000 $333,468
Freddie Mac Structured Agency Credit Risk Debt Notes, Floating Rate Note, 11/25/23 750,000 $507,541
Freddie Mac Structured Agency Credit Risk Debt Notes, Floating Rate Note, 2/25/24 485,000 $429,325
Freddie Mac Structured Agency Credit Risk Debt Notes, Floating Rate Note, 8/25/24 1,430,000 $532,979
FREMF Mortgage Trust 2012-K501, Floating Rate Note, 11/26/46 (144A) 409,000 $418,806
Fresenius US Finance I, Inc., Tranche B Term Loan, 8/7/19 491,250 $490,841
Gale Force 3 Clo, Ltd., Floating Rate Note, 4/19/21 (144A) 500,000 $267,234
Galileo Re, Ltd., Floating Rate Note, 1/9/19 (Cat Bond) (144A) 500,000 $511,831
Garda World Security Corp., Term B Delayed Draw Loan, 11/8/20 122,246 $122,042
Garda World Security Corp., Term B Loan, 11/1/20 477,869 $477,073
Gator Re, Ltd., Floating Rate Note, 1/9/17 (Cat Bond) (144A) 600,000 $550,681
GATX Corp., 1.25%, 3/4/17 750,000 $750,834
GCAT 2015-1 LLC, 3.625%, 5/26/20 (Step) (144A) 300,000 $289,990
Gci Holdings Inc 1st Lien Tl-B L + 3.75% 22dec21 375,000 $377,344
GE Business Loan Trust 2004-2, Floating Rate Note, 12/15/32 (144A) 2,833,274 $336,499
GE Business Loan Trust 2005-1, Floating Rate Note, 6/15/33 (144A) 1,692,482 $676,577
GE Business Loan Trust 2006-2, Floating Rate Note, 11/15/34 (144A) 1,920,423 $635,579
GE Business Loan Trust 2007-1, Floating Rate Note, 4/16/35 (144A) 1,550,000 $580,662
GE Capital Commercial Mortgage Corp., Floating Rate Note, 7/10/45 (144A) 500,000 $502,303
General Electric Capital Corp., Floating Rate Note, 5/15/17 750,000 $751,741
General Electric Capital Corp., Floating Rate Note, 7/12/16 296,000 $298,189
General Electric Capital Corp., Floating Rate Note, 8/1/17 500,000 $508,590
General Mills, Inc., 0.875%, 1/29/16 250,000 $251,131
Georgia Power Co., Floating Rate Note, 3/15/16 827,000 $826,382
Georgia Power Co., Floating Rate Note, 8/15/16 500,000 $499,575
GLC Trust 2013-1, 3.0%, 7/15/21 (144A) 1,000,000 $611,506
Glencore Funding LLC, Floating Rate Note, 5/27/16 (144A) 1,000,000 $1,004,052
Global Container Assets 2013-1, Ltd., 2.2%, 11/6/28 (144A) 750,000 $363,464
Global Mortgage Securitization, Ltd., 5.25%, 4/25/32 795,156 $210,274
Global Mortgage Securitization, Ltd., Floating Rate Note, 4/25/32 8,633,000 $655,662
GMAC Commercial Mortgage Securities Inc Series 2004-C2 Trust, Floating Rate Note, 8/10/38 1,465,000 $9,781
GMAC Commercial Mortgage Securities Inc Series 2006-C1 Trust, Floating Rate Note, 11/10/45 2,370,000 $1,454,207
GMACM Mortgage Loan Trust 2004-AR1, Floating Rate Note, 6/25/34 2,100,000 $193,157
GMAT 2013-1 Trust, 3.9669%, 8/25/53 (Step) 1,505,000 $915,785
Golden State RE II, Ltd., Floating Rate Note, 1/8/19 (Cat Bond) (144A) 750,000 $748,000
Government National Mortgage Association, 3.0%, 12/20/38 1,000,000 $104,969
Government National Mortgage Association, 3.0%, 12/20/38 5,000,000 $950,167
Government National Mortgage Association, 3.0%, 4/20/41 300,000 $231,324
Government National Mortgage Association, 3.5%, 5/20/39 1,025,000 $452,408
Government National Mortgage Association, 3.5%, 8/20/38 1,115,000 $293,246
Government National Mortgage Association, 5.0%, 4/20/36 850,000 $85,320
Government National Mortgage Association, 5.0%, 9/20/31 6,000,000 $302,952
Government National Mortgage Association, 5.25%, 5/20/31 14,313,000 $34,182
Government National Mortgage Association, Floating Rate Note, 1/16/35 2,563,000 $249,688
Government National Mortgage Association, Floating Rate Note, 1/16/40 2,000,000 $610,856
Government National Mortgage Association, Floating Rate Note, 2/16/30 14,415,492 $197,195
Government National Mortgage Association, Floating Rate Note, 2/20/35 2,059,000 $247,836
Government National Mortgage Association, Floating Rate Note, 2/20/38 2,477,000 $187,300
Government National Mortgage Association, Floating Rate Note, 4/16/31 12,627,242 $239,147
Government National Mortgage Association, Floating Rate Note, 4/16/32 10,000,000 $133,293
Government National Mortgage Association, Floating Rate Note, 4/16/32 33,333,000 $568,409
Government National Mortgage Association, Floating Rate Note, 8/20/35 1,177,000 $37,628
Government National Mortgage Association, Floating Rate Note, 8/20/40 1,000,000 $477,313
Government National Mortgage Association, Floating Rate Note, 9/20/33 704,000 $26,450
Government National Mortgage Association I, 5.0%, 8/15/19 1,347,915 $304,346
Government National Mortgage Association I, 6.0%, 11/15/36 2,000,000 $174,631
Government National Mortgage Association I, 6.0%, 12/15/31 1,500,000 $63,381
Government National Mortgage Association I, 6.0%, 3/15/17 10,311,138 $106,966
Government National Mortgage Association I, 6.5%, 10/15/37 400,000 $40,280
Government National Mortgage Association I, 6.5%, 5/15/31 3,183,996 $38,499
Government National Mortgage Association I, 6.5%, 7/15/35 328,670 $8,278
Government National Mortgage Association I, 7.5%, 10/15/36 1,000,000 $60,829
Government National Mortgage Association II, 6.0%, 10/20/21 3,113,223 $255,838
Government National Mortgage Association II, 6.0%, 11/20/22 1,986,670 $236,743
Government National Mortgage Association II, 6.0%, 4/20/22 1,262,566 $172,090
Government National Mortgage Association II, 6.0%, 8/20/19 2,911,151 $123,287
Government National Mortgage Association REMICS, 2.0%, 1/16/46 3,000,000 $2,919,615
Government National Mortgage Association REMICS, 4.0%, 9/20/37 4,000,000 $2,451,644
GP Portfolio Trust 2014-GGP, Floating Rate Note, 2/16/27 (144A) 1,000,000 $1,000,774
Gray Television Inc. 1st Lien Tl L + 3% 10jun21 801,032 $802,117
GreenPoint Mortgage Funding Trust 2005-HE1, Floating Rate Note, 9/25/34 297,570 $6,904
GSAA Home Equity Trust 2004-6, Floating Rate Note, 6/25/34 15,032,940 $341,532
GSAA Trust, Floating Rate Note, 6/25/35 1,900,000 $394,387
GSAA Trust, Floating Rate Note, 6/25/35 440,000 $288,872
GSAMP Trust 2005-HE1, Floating Rate Note, 12/25/34 1,210,753 $89,467
GSAMP Trust 2006-SEA1, Floating Rate Note, 5/25/36 (144A) 5,518,315 $316,007
GS Caltex Corp., 3.25%, 10/1/18 (144A) 500,000 $515,160
GS Mortgage Securities Trust 2006-GG6 REMICS, Floating Rate Note, 4/10/38 1,020,000 $1,030,507
GS Mortgage Securities Trust 2014-GSFL, Floating Rate Note, 7/15/31 (144A) 495,000 $492,973
GSR Mortgage Loan Trust 2003-9, Floating Rate Note, 8/25/33 4,000,000 $203,446
GSR Mortgage Loan Trust 2004-7, Floating Rate Note, 6/25/34 4,189,737 $461,743
GSRPM Mortgage Loan Trust 2003-2, Floating Rate Note, 6/25/33 393,823 $207,061
GSRPM Mortgage Loan Trust 2006-1, Floating Rate Note, 3/25/35 (144A) 1,201,850 $152,600
GSRPM Mortgage Loan Trust 2006-2, Floating Rate Note, 9/25/36 (144A) 1,226,000 $147,488
GTP Acquisition Partners I LLC, 2.35%, 6/15/20 (144A) 1,000,000 $996,779
Halyard Health Inc 1st Lien Tl-B L + 3.25% 03oct21 260,788 $263,233
HarborView Mortgage Loan Trust 2004-1, Floating Rate Note, 4/19/34 3,987,000 $171,007
Harley-Davidson Financial Services, Inc., 1.15%, 9/15/15 (144A) 700,000 $702,671
Harley-Davidson Financial Services, Inc., 3.875%, 3/15/16 (144A) 175,000 $180,563
Health Care Real Estate Investment Trust, Inc., 2.25%, 3/15/18 500,000 $507,012
Hertz Fleet Lease Funding LP, Floating Rate Note, 4/10/28 (144A) 300,000 $272,630
Hess Corp., 1.3%, 6/15/17 750,000 $746,572
Hilton Grand Vacations Trust 2014-A, 2.07%, 11/25/26 (144A) 750,000 $571,112
Hilton USA Trust 2013-HLF, Floating Rate Note, 11/5/30 (144A) 500,000 $493,777
Hilton USA Trust 2013-HLF, Floating Rate Note, 11/5/30 (144A) 985,000 $971,864
Hilton Worldwide Finance LLC, Initial Term Loan, 9/23/20 356,776 $357,173
HLSS Servicer Advance Receivables Trust, 1.4953%, 1/16/46 (144A) 1,706,000 $1,705,428
HLSS Servicer Advance Receivables Trust, 1.7436%, 1/16/46 (144A) 250,000 $249,944
HLSS Servicer Advance Receivables Trust, 4.94%, 10/15/45 (144A) 350,000 $350,418
Hmac Flt% 25sep34 04-4-A3 1,510,000 $345,493
Hmbt Flt% 25dec34 04-2-A1 5,547,000 $650,601
Holmes Master Issuer Plc, Floating Rate Note, 10/15/54 (144A) 250,000 $261,410
HomeBanc Mortgage Trust 2005-2, Floating Rate Note, 5/25/25 6,015,011 $107,162
Home Equity Asset Trust 2006-4, Floating Rate Note, 8/25/36 253,896 $54,039
Home Equity Asset Trust 2006-8, Floating Rate Note, 3/25/37 1,394,318 $294,513
Home Equity Mortgage Trust, 5.821%, 4/25/35 (Step) 1,000,000 $239,227
Home Equity Mortgage Trust 2005-2, Floating Rate Note, 7/25/35 1,113,955 $17,948
Home Loan Trust 2003-HI1, 5.77%, 4/25/28 (Step) 1,500,000 $79,327
Homestar Mortgage Acceptance Corp., Floating Rate Note, 1/25/35 3,700,000 $238,144
Homestar Mortgage Acceptance Corp., Floating Rate Note, 3/25/34 25,588,000 $1,379,826
Homestar Mortgage Acceptance Corp., Floating Rate Note, 6/25/34 3,670,962 $263,985
Homestar Mortgage Acceptance Corp., Floating Rate Note, 7/25/34 2,600,000 $201,179
Honda Auto Receivables 2013-2 Owner Trust, 0.53%, 2/16/17 285,000 $161,376
Horizon Funding Trust 2013-1, 3.0%, 5/15/18 (144A) 585,000 $160,641
HSBC Bank Middle East, Ltd., 3.0%, 10/21/15 750,000 $755,709
HSBC Home Equity Loan Trust USA 2006-3, Floating Rate Note, 3/20/36 1,905,000 $1,224,072
HSBC USA, Inc., Floating Rate Note, 6/23/17 750,000 $747,219
HSI Asset Securitization Corp Trust 2006-OPT1, Floating Rate Note, 12/25/35 450,623 $118,361
Huntsman International LLC, 2014-1 Incremental Term Loan, 9/30/21 548,625 $549,768
Hyundai Auto Receivables Trust 2014-B, 2.1%, 11/15/19 500,000 $500,315
Hyundai Capital America, 1.875%, 8/9/16 (144A) 500,000 $506,658
Hyundai Capital America, 3.75%, 4/6/16 (144A) 1,375,000 $1,412,641
Ibis Re II, Ltd., Floating Rate Note, 6/28/16 (144A) 250,000 $249,631
Ibis Re II, Ltd., Floating Rate Note, 6/28/16 (Cat Bond) (144A) 500,000 $501,389
Impac CMB Trust Series 2004-4, Floating Rate Note, 9/25/34 14,479,489 $566,637
Impac CMB Trust Series 2004-4, Floating Rate Note, 9/25/34 32,445,000 $1,269,311
Impac CMB Trust Series 2004-6, Floating Rate Note, 10/25/34 2,344,000 $110,488
Impac CMB Trust Series 2004-8, Floating Rate Note, 8/25/34 590,000 $62,732
Impac CMB Trust Series 2005-4, Floating Rate Note, 5/25/35 3,189,000 $306,825
Impac Secured Assets CMN Owner Trust, Floating Rate Note, 2/25/35 4,622,000 $1,133,356
Impac Secured Assets Trust 2006-1, Floating Rate Note, 5/25/36 1,300,000 $396,821
Impac Secured Assets Trust 2006-2, Floating Rate Note, 8/25/36 1,173,000 $201,005
Impac Secured Assets Trust 2006-5, Floating Rate Note, 12/25/36 2,600,000 $515,495
IndyMac INDX Mortgage Loan Trust 2004-AR6, Floating Rate Note, 10/25/34 675,000 $67,685
Intel Corp., 1.35%, 12/15/17 700,000 $700,172
Intesa Sanpaolo S.p.A., 3.125%, 1/15/16 500,000 $511,016
Intesa Sanpaolo S.p.A., 3.625%, 8/12/15 (144A) 1,375,000 $1,397,652
Invitation Homes 2013-SFR1 Trust, Floating Rate Note, 12/19/30 (144A) 750,000 $746,898
Invitation Homes 2014-SFR2 Trust, Floating Rate Note, 9/18/31 (144A) 600,000 $596,795
Inwood Park CDO, Ltd., Floating Rate Note, 1/20/21 (144A) 1,000,000 $240,061
Irwin Home Equity Loan Trust 2005-1, 5.32%, 6/25/35 (Step) 900,000 $72,462
Irwin Whole Loan Home Equity Trust 2003-C, Floating Rate Note, 6/25/28 1,923,500 $109,064
Irwin Whole Loan Home Equity Trust 2003-C, Floating Rate Note, 6/25/28 2,350,000 $448,794
Irwin Whole Loan Home Equity Trust 2003-D, Floating Rate Note, 11/25/28 2,250,000 $176,403
Irwin Whole Loan Home Equity Trust 2005-B, Floating Rate Note, 12/25/29 1,775,000 $809,306
IXIS Real Estate Capital Trust 2005-HE4, Floating Rate Note, 2/25/36 250,000 $32,797
Jarden Corp., Tranche B1 Term Loan, 9/30/20 245,625 $246,963
JBS USA LLC, Incremental Term Loan, 9/18/20 197,000 $197,083
John Deere Capital Corp., 1.05%, 10/11/16 1,098,000 $1,105,261
John Deere Capital Corp., 1.05%, 12/15/16 750,000 $751,048
John Deere Capital Corp., Floating Rate Note, 10/11/16 1,090,000 $1,093,696
Johnson Controls, Inc., 1.4%, 11/2/17 700,000 $698,899
Jpmcc Flt% 15may28 15-Fl7-B 850,000 $847,918
JPMorgan Chase & Co., 1.1%, 10/15/15 492,000 $493,588
JPMorgan Chase & Co., Floating Rate Note, 2/15/17 500,000 $501,214
JPMorgan Chase & Co., Floating Rate Note, 2/25/21 500,000 $494,750
JPMorgan Chase & Co., Floating Rate Note, 2/26/16 320,000 $320,725
JP Morgan Chase Commercial Mortgage Securities Trust 2004-LN2, Floating Rate Note, 7/15/41 637,677 $70,212
JP Morgan Chase Commercial Mortgage Securities Trust 2005-LDP3, Floating Rate Note, 8/15/42 800,000 $803,056
JP Morgan Chase Commercial Mortgage Securities Trust 2005-LDP3 REMICS, Floating Rate Note, 8/15/42 440,000 $44,807
JP Morgan Chase Commercial Mortgage Securities Trust 2005-LDP4, Floating Rate Note, 10/15/42 500,000 $503,117
JP Morgan Chase Commercial Mortgage Securities Trust 2005-LDP5, Floating Rate Note, 12/15/44 1,920,000 $1,013,108
JP Morgan Chase Commercial Mortgage Securities Trust 2006-FL2, Floating Rate Note, 11/15/18 (144A) 2,550,000 $471,875
JP Morgan Chase Commercial Mortgage Securities Trust 2006-FL2, Floating Rate Note, 11/15/18 (144A) 550,000 $179,067
JP Morgan Chase Commercial Mortgage Securities Trust 2006-LDP6, Floating Rate Note, 4/15/43 500,000 $511,501
JP Morgan Chase Commercial Mortgage Securities Trust 2006-LDP9, Floating Rate Note, 5/15/47 250,000 $90,658
JP Morgan Chase Commercial Mortgage Securities Trust 2007-CIBC18, 5.44%, 6/12/47 800,000 $795,089
JP Morgan Chase Commercial Mortgage Securities Trust 2014-BXH, Floating Rate Note, 4/15/27 (144A) 1,670,000 $1,668,809
JP Morgan Chase Commercial Mortgage Securities Trust 2014-CBM, Floating Rate Note, 10/15/29 (144A) 510,000 $508,703
JP Morgan Chase Commercial Mortgage Securities Trust 2014-FBLU, Floating Rate Note, 12/15/28 (144A) 945,000 $946,163
JP Morgan Chase Commercial Mortgage Securities Trust 2014-FBLU REMICS, Floating Rate Note, 12/15/28 1,030,000 $1,030,759
JP Morgan Chase Commercial Mortgage Securities Trust 2014-FL4, Floating Rate Note, 12/16/30 (144A) 410,000 $410,341
JP Morgan Chase Commercial Mortgage Securities Trust 2014-FL5, Floating Rate Note, 7/15/31 (144A) 490,000 $491,704
JP Morgan Chase Commercial Mortgage Securities Trust 2014-FL5 REMICS, Floating Rate Note, 7/15/31 (1 650,000 $648,352
JP Morgan Chase Commercial Mortgage Securities Trust 2014-FL6, Floating Rate Note, 11/17/31 (144A) 1,170,000 $1,170,182
JP Morgan Chase Commercial Mortgage Securities Trust 2014-INN, Floating Rate Note, 6/15/29 (144A) 900,000 $898,024
JP Morgan Chase Commercial Mortgage Securities Trust 2014-INN, Floating Rate Note, 6/15/29 (144A) 650,000 $647,445
JP Morgan Chase Commercial Mortgage Securities Trust 2014-PHH, Floating Rate Note, 8/16/27 (144A) 1,100,000 $1,101,552
JP Morgan Chase Commercial Mortgage Securities Trust 2015-COSMO, Floating Rate Note, 1/15/32 (144A) 700,000 $698,672
JP Morgan Mortgage Acquisition Trust 2006-ACC1, Floating Rate Note, 5/25/36 704,088 $159,735
JP Morgan Mortgage Trust 2004-A1, Floating Rate Note, 2/25/34 3,584,000 $286,064
JP Morgan Mortgage Trust 2004-S1, 5.0%, 9/25/34 3,504,124 $154,018
JP Morgan Mortgage Trust 2005-A3, Floating Rate Note, 6/25/35 6,041,179 $533,698
JP Morgan Mortgage Trust 2006-S3, 6.0%, 8/25/36 1,036,158 $398
Kane Flt% 31jul15 600,000 $600,000
Kane Ilw Zero% 02feb16 250,000 $239,125
Kane Sac, Ltd., 0.0%, 1/7/16 (Cat Bond) 458,833 $461,449
Kane Sac, Ltd., 0.0%, 1/7/16 (Cat Bond) 210,250 $212,794
Kane Sac, Ltd., 0.0%, 1/7/16 (Cat Bond) 685,125 $691,223
Kane Sac, Ltd., 0.0%, 1/7/16 (Cat Bond) 444,667 $448,224
Kane Sac Zero% 15jun16 100,000 $95,980
Kane Zero% 29apr16 800,000 $840,640
KeyBank NA Cleveland Ohio, 1.1%, 11/25/16 500,000 $501,295
KeyBank NA Cleveland Ohio, 1.65%, 2/1/18 1,000,000 $1,007,600
KeyCorp, 3.75%, 8/13/15 931,000 $947,169
Kilimanjaro Re, Ltd., Floating Rate Note, 11/25/19 (Cat Bond) (144A) 750,000 $747,206
Kilimanjaro Re, Ltd., Floating Rate Note, 4/30/18 (Cat Bond) (144A) 650,000 $633,625
Kilimanjaro Re, Ltd., Floating Rate Note, 4/30/18 (Cat Bond) (144A) 350,000 $339,421
Kinder Morgan, Inc. Delaware, 2.0%, 12/1/17 700,000 $699,042
Kindred Healthcare 1st Lien Tl-B L + 3% 10apr21 274,309 $275,079
Kinetic Concepts, Inc., Dollar Term E-1 Loan, 5/4/18 746,212 $750,060
Kizuna Re II, Ltd., Floating Rate Note, 4/6/18 (Cat Bond) (144A) 450,000 $452,919
KKR Financial CLO 2007-1, Ltd., Floating Rate Note, 5/15/21 (144A) 375,000 $370,327
L-3 Communications Corp., 1.5%, 5/28/17 586,000 $582,782
La Hipotecaria Panamanian Mortgage Trust 2007-1, Floating Rate Note, 12/23/36 (144A) 1,400,000 $614,702
Lanark Master Issuer Plc, Floating Rate Note, 12/22/54 (144A) 250,000 $219,380
LB-UBS Commercial Mortgage Trust 2004-C1, 4.568%, 1/15/31 275,000 $29,046
LB-UBS Commercial Mortgage Trust 2006-C1 REMICS, 5.156%, 2/15/31 1,615,000 $1,364,401
Leaf Receivables Funding 8 LLC, 1.55%, 11/15/17 (144A) 195,000 $81,420
Leaf Receivables Funding 8 LLC, 2.67%, 9/15/20 (144A) 311,966 $313,840
Lehman ABS Manufactured Housing Contract Trust 2002-A, Floating Rate Note, 6/15/33 19,804,000 $745,663
Lehman Brothers Small Balance Commercial, Floating Rate Note, 2/25/30 (144A) 4,631,000 $582,010
Lehman Brothers Small Balance Commercial, Floating Rate Note, 4/25/31 (144A) 2,843,000 $420,713
Lehman Brothers Small Balance Commercial, Floating Rate Note, 4/25/31 (144A) 3,723,496 $437,026
Lehman Brothers Small Balance Commercial, Floating Rate Note, 9/25/30 (144A) 3,264,773 $496,808
Lehman Brothers Small Balance Commercial Mortgage Trust 2007-3, Floating Rate Note, 10/25/37 (144A) 466,904 $288,926
Lehman Brothers Small Balance Commercial Mortgage Trust 2007-3, Floating Rate Note, 10/25/37 (144A) 885,400 $180,232
Level 3 Financing Inc 1st Lien Tl-B2 L + 2.75% 31may22 225,000 $223,664
Live Nation Entertainment, Inc., Term B-1 Loan, 8/17/20 508,935 $509,673
Longpoint Re, Ltd. III, Floating Rate Note, 5/18/16 (Cat Bond) (144A) 500,000 $500,725
Longpoint Re, Ltd. III, Floating Rate Note, 5/24/21 (Cat Bond) (144A) 250,000 $247,950
LPL Holdings, Inc., 2013 Incremental Tranche B Term Loan, 3/29/19 145,159 $145,226
LSTAR Securities Investment Trust 2015-5, Floating Rate Note, 4/1/20 (144A) 1,275,000 $1,238,944
MacDermid, Inc., Tranche B Term Loan (First Lien), 6/7/20 1,241,766 $1,246,293
Madison Avenue Manufactured Housing Contract Trust 2002-A, Floating Rate Note, 3/25/32 1,100,000 $172,594
MALLINCKRODT INTERNATIONAL FINANCE SA, Initial Term B Loan, 3/6/21 296,250 $295,394
Manufacturers & Traders Trust Co., Floating Rate Note, 1/30/17 500,000 $499,414
Manufacturers & Traders Trust Co., Floating Rate Note, 7/25/17 1,000,000 $994,889
Marathon Oil Corp., 0.9%, 11/1/15 1,496,000 $1,497,872
Marriott Vacation Club Owner Trust 2012-1, 3.5%, 5/20/30 (144A) 845,000 $381,531
Massachusetts Development Finance Agency, Floating Rate Note, 2/15/36 250,000 $256,856
Massachusetts Port Authority, 5.0%, 7/1/16 475,000 $507,447
MASTR Alternative Loan Trust 2005-1, Floating Rate Note, 2/25/35 6,760,000 $468,438
Mastr Asset Backed Securities Trust 2005-WMC1, Floating Rate Note, 3/25/35 215,000 $34,433
Mastr Asset Backed Securities Trust 2006-AB1 REMICS, Floating Rate Note, 2/25/36 3,670,545 $534,450
Mastr Asset Backed Securities Trust 2006-NC1, Floating Rate Note, 1/25/36 1,567,646 $127,822
MASTR Asset Securitization Trust 2003-6, Floating Rate Note, 7/25/18 2,444,000 $54,752
Mastr Specialized Loan Trust, Floating Rate Note, 1/25/36 (144A) 3,644,114 $261,777
McKesson Corp., Floating Rate Note, 9/10/15 235,000 $235,075
Mediacom Illinois LLC, Tranche F Term Loan, 3/31/18 395,000 $394,342
Medtronic, Inc., 4.75%, 9/15/15 460,000 $470,188
Merna Re V, Ltd., Floating Rate Note, 4/7/17 (Cat Bond) (144A) 650,000 $650,267
Merrill Lynch Mortgage Investors Trust Series 2005-2, Floating Rate Note, 10/25/35 1,543,473 $349,852
Merrill Lynch Mortgage Investors Trust Series 2005-A3, Floating Rate Note, 4/25/35 10,415,000 $1,075,729
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-A, Floating Rate Note, 3/25/28 15,000,000 $613,792
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-A, Floating Rate Note, 3/25/28 10,213,000 $301,108
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-B, Floating Rate Note, 4/25/28 9,700,000 $406,877
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-C, Floating Rate Note, 6/25/28 9,455,006 $300,559
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-C REMICS, Floating Rate Note, 6/25/28 10,150,000 $440,439
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-E, Floating Rate Note, 10/25/28 8,393,000 $356,763
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-G, Floating Rate Note, 1/25/29 3,592,000 $49,970
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-H, Floating Rate Note, 1/25/29 6,910,000 $344,481
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-A REMICS, Floating Rate Note, 4/25/29 9,857,948 $475,424
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-C, Floating Rate Note, 7/25/29 10,014,000 $427,340
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-E, Floating Rate Note, 11/25/29 13,874,000 $657,423
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-G, Floating Rate Note, 1/25/30 16,956,975 $629,933
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-G, Floating Rate Note, 1/25/30 3,771,000 $209,518
Merrill Lynch Mortgage Investors Trust Series MLCC 2005-A, Floating Rate Note, 3/25/30 7,567,883 $415,337
Merrill Lynch Mortgage Trust 2005-CKI1, Floating Rate Note, 11/12/37 2,360,000 $225,173
Merrill Lynch Mortgage Trust 2005-LC1, Floating Rate Note, 1/12/44 1,670,000 $1,353,911
MetroCat Re, Ltd., Floating Rate Note, 8/5/16 (Cat Bond) (144A) 400,000 $405,170
Metropolitan Life Global Funding I, Floating Rate Note, 7/15/16 (144A) 300,000 $301,876
Metropolitan Life Insurance Co., 7.7%, 11/1/15 (144A) 1,250,000 $1,291,464
MGM Resorts International, Term B Loan, 12/20/19 341,250 $339,473
Micro Focus Us Inc 1st Lien Tl-B L + 4.25% 07oct21 352,941 $354,076
Micron Semiconductor Asia Pte, Ltd., 1.258%, 1/15/19 500,000 $402,486
Milacron Llc 1st Lien Tl-B L + 3.5% 28sep20 495,000 $496,547
Mlcc Flt% 25jan29 03-G 3,360,000 $176,581
ML-CFC Commercial Mortgage Trust 2006-1, Floating Rate Note, 2/12/39 1,600,000 $1,460,332
Monsanto Co., 1.15%, 6/30/17 1,000,000 $999,748
Morgan Stanley, Floating Rate Note, 1/5/18 750,000 $752,505
Morgan Stanley, Floating Rate Note, 11/9/18 275,000 $290,276
Morgan Stanley, Floating Rate Note, 2/25/16 500,000 $503,490
Morgan Stanley, Floating Rate Note, 6/6/16 500,000 $502,541
Morgan Stanley ABS Capital I Inc Trust 2004-SD3, Floating Rate Note, 6/25/34 (144A) 13,470,000 $400,871
Morgan Stanley ABS Capital I Inc Trust 2005-NC2, Floating Rate Note, 3/25/35 627,000 $345,057
Morgan Stanley ABS Capital I Inc Trust 2005-WMC5, Floating Rate Note, 6/25/35 820,000 $74,432
Morgan Stanley Capital I Trust 2005-IQ10, Floating Rate Note, 9/15/42 915,000 $20,995
Morgan Stanley Capital I Trust 2006-HQ9, Floating Rate Note, 7/12/44 600,000 $625,290
Morgan Stanley Capital I Trust 2006-TOP21, Floating Rate Note, 10/12/52 1,435,000 $1,422,824
Morgan Stanley Capital I Trust 2006-TOP23, Floating Rate Note, 8/12/41 650,000 $603,463
Morgan Stanley Capital I Trust 2015-XLF1, Floating Rate Note, 8/14/31 (144A) 500,000 $500,602
Morgan Stanley Dean Witter Capital I Trust 2001-TOP3, 6.79%, 7/15/33 460,000 $53,398
Morgan Stanley Home Equity Loan Trust 2005-4, Floating Rate Note, 9/25/35 1,558,243 $578,658
Morgan Stanley Mortgage Loan Trust 2005-5AR, Floating Rate Note, 9/25/35 9,387,000 $621,503
Morgan Stanley Mortgage Loan Trust 2005-6AR, Floating Rate Note, 11/25/35 3,786,000 $326,529
Morgan Stanley Mortgage Loan Trust 2005-6AR, Floating Rate Note, 11/25/35 2,941,000 $381,792
MortgageIT Trust 2004-1, Floating Rate Note, 11/25/34 4,767,000 $557,301
MortgageIT Trust 2004-2, Floating Rate Note, 12/25/34 5,310,000 $726,927
Mpg Holdco I Inc Us 1st Lien Tl-B L + 3.5% 13oct21 479,235 $479,433
MRFC Mortgage Pass-Through Trust Series 1999-TBC2 REMICS, Floating Rate Note, 6/15/30 3,714,390 $195,416
MUFG Union Bank NA, 2.625%, 9/26/18 1,000,000 $1,023,063
MUFG Union Bank NA, Floating Rate Note, 9/26/16 1,450,000 $1,456,186
MVW Owner Trust 2014-1, 2.7%, 9/20/31 (144A) 750,000 $627,861
Mythen Re, Ltd. Series 2012-2 Class A, Floating Rate Note, 1/5/17 (Cat Bond) (144A) 500,000 $513,136
Mythen Re, Ltd. Series 2013-1 Class B, Floating Rate Note, 7/9/15 (Cat Bond) (144A) 700,000 $712,981
National City Bank Cleveland Ohio, Floating Rate Note, 12/15/16 250,000 $249,500
National Oilwell Varco, Inc., 1.35%, 12/1/17 775,000 $767,518
National Rural Utilities Cooperative Finance Corp., Floating Rate Note, 11/23/16 500,000 $500,875
Nations Equipment Finance Funding II LLC, 3.276%, 1/22/19 (144A) 500,000 $478,480
Navios Maritime Partners LP, Term Loan, 6/27/18 435,775 $435,503
Navistar, Inc., Tranche B Term Loan, 8/17/17 400,000 $401,250
Navitas Equipment Receivables LLC 2013-1, 3.63%, 2/15/17 650,000 $652,657
Navitas Equipment Receivables LLC 2015-1, 3.4%, 11/15/18 (144A) 500,000 $501,307
NCF Dealer Floorplan Master Trust, Floating Rate Note, 10/20/20 (144A) 750,000 $750,386
NCUA Guaranteed Notes Trust REMICS, 1.6%, 10/29/20 500,000 $77,082
NCUA Guaranteed Notes Trust REMICS, Floating Rate Note, 3/2/21 800,000 $331,609
New Century Home Equity Loan Trust 2005-1, Floating Rate Note, 3/25/35 2,101,000 $331,969
NewStar Commercial Loan Trust 2007-1, Floating Rate Note, 9/30/22 (144A) 500,000 $143,612
New York Life Global Funding, 1.125%, 3/1/17 (144A) 500,000 $501,468
New York Life Global Funding, 1.45%, 12/15/17 (144A) 750,000 $750,039
New York Life Global Funding, Floating Rate Note, 10/29/15 (144A) 750,000 $750,241
New York Life Global Funding, Floating Rate Note, 5/23/16 (144A) 1,050,000 $1,054,044
Nissan Motor Acceptance Corp., 2.65%, 9/26/18 (144A) 1,000,000 $1,032,652
Nissan Motor Acceptance Corp., Floating Rate Note, 3/3/17 (144A) 500,000 $502,143
Nmrr Flt% 26jun47 11-4r-4a16 2,077,000 $1,012,184
Nn Inc 1st Lien Tl-B L + 5% 18jul21 384,286 $386,203
Nomura Asset Acceptance Corp Alternative Loan Trust Series 2003-A3, 5.5%, 8/25/33 (Step) 3,120,000 $181,148
Nord Anglia Education Finance Llc 1st Lien Tl-B L + 3.5% 21mar21 748,111 $749,981
Nordea Bank AB, Floating Rate Note, 5/13/16 (144A) 250,000 $251,109
Nordea Bank Finland Plc New York, Floating Rate Note, 6/13/16 1,000,000 $1,000,285
North American Development Bank, 2.3%, 10/10/18 650,000 $664,875
Northshore Re, Ltd., Floating Rate Note, 7/5/16 (Cat Bond) (144A) 500,000 $515,663
NorthStar 2013-1, Floating Rate Note, 8/27/29 (144A) 778,000 $505,075
NovaStar Mortgage Funding Trust Series 2004-3, Floating Rate Note, 12/25/34 560,000 $532,190
NovaStar Mortgage Funding Trust Series 2004-4, Floating Rate Note, 3/25/35 1,457,000 $1,433,305
NovaStar Mortgage Funding Trust Series 2004-4, Floating Rate Note, 3/25/35 300,000 $69,647
NSG Holdings LLC, New Term Loan, 12/11/19 186,352 $185,886
NSTAR Electric Co., Floating Rate Note, 5/17/16 341,000 $340,474
NYSE Holdings LLC, 2.0%, 10/5/17 150,000 $152,519
Oak Hill Advisors Residential Loan Trust 2014-NPL1, 2.8828%, 5/25/54 (Step) (144A) 520,000 $267,998
On Assignment Inc 1st Lien Tl-B L + 3% 05jun22 128,206 $128,553
Ooredoo International Finance, Ltd., 3.375%, 10/14/16 (144A) 500,000 $515,205
Opmac Flt% 25nov35 05-4-1a2 7,136,000 $1,209,738
Opteum Mortgage Acceptance Corp Trust 2005-4, Floating Rate Note, 11/25/35 7,189,000 $1,241,539
Option One Mortgage Loan Trust 2005-4 Asset-Backed Certificates Series 2005-4, Floating Rate Note, 1 5,875,000 $375,538
Option One Woodbridge Loan Trust 2002-1, Floating Rate Note, 3/25/32 (144A) 1,370,736 $176,509
Oracle Corp., 2.25%, 10/8/19 300,000 $303,294
Oracle Corp., 2.375%, 1/15/19 500,000 $512,908
Oracle Corp., Floating Rate Note, 7/7/17 575,000 $575,520
Orange Lake Timeshare Trust 2012-A, 4.87%, 3/10/27 (144A) 600,000 $244,651
Orbital ATK, Inc., Term B Loan, 10/22/20 196,753 $197,202
ORES 2014-LV3 LLC, 3.0%, 3/27/24 (144A) 550,000 $264,789
ORES NPL 2013-LV2 LLC, 3.081%, 9/25/25 (144A) 430,000 $119,783
Origen Manufactured Housing Contract Trust 2004-A, Floating Rate Note, 1/15/35 600,000 $229,846
Origen Manufactured Housing Contract Trust 2004-B, Floating Rate Note, 11/15/35 460,000 $348,052
Origen Manufactured Housing Contract Trust 2005-A, Floating Rate Note, 6/15/36 250,000 $219,655
Oscar US Funding Trust 2014-1, 1.0%, 8/15/17 (144A) 700,000 $642,841
Outfront Media Capital LLC, Term Loan, 1/15/21 350,000 $349,380
PACCAR Financial Corp., Floating Rate Note, 6/6/17 485,000 $485,379
Pangaea Zero% 01jul18 700,000 $12,600
Park Place Securities Inc Asset-Backed Pass-Through Certificates Series 2004-MHQ, Floating Rate Note 840,000 $709,526
Park Place Securities Inc Asset-Backed Pass-Through Ctfs Ser 2005-WHQ4, Floating Rate Note, 9/25/35 1,793,831 $445,433
Par Pharmaceutical Companies, Inc., Term B-2 Loan, 9/28/19 637,690 $637,889
Par Pharmaceutical Cos Inc 1st Lien Tl-B3 L + 3.25% 28sep19 497,500 $497,811
PARTY CITY HOLDINGS INC, 2014 Replacement Term Loan, 7/27/19 943,063 $943,136
People's Choice Home Loan Securities Trust Series 2005-3, Floating Rate Note, 8/25/35 109,980 $1,421
Pfizer, Inc., Floating Rate Note, 5/15/17 750,000 $750,499
PFS Financing Corp., Floating Rate Note, 2/15/18 (144A) 800,000 $799,502
PFS Financing Corp., Floating Rate Note, 2/15/19 (144A) 430,000 $429,263
PFS Tax Lien Trust 2014-1, 1.44%, 5/15/29 400,000 $244,274
PHH Mortgage Capital LLC, 6.0%, 12/25/27 (Step) (144A) 3,250,000 $90,037
Phillips 66, 2.95%, 5/1/17 750,000 $774,594
PNC Bank NA, 0.8%, 1/28/16 450,000 $452,164
PNC Bank NA, 1.125%, 1/27/17 450,000 $452,201
PNC Bank NA, 1.3%, 10/3/16 550,000 $554,061
PNC Bank NA, 1.6%, 6/1/18 600,000 $599,850
PNC Bank NA, Floating Rate Note, 1/28/16 500,000 $501,061
PNC Bank NA, Floating Rate Note, 8/1/17 750,000 $749,729
Polarpak, Inc., USD Term Loan (Canadian Borrower Portion), 6/7/20 156,766 $156,374
Polarpak, Inc., USD Term Loan (U.S. Borrower Portion), 6/7/20 81,881 $81,676
Popular ABS Mortgage Pass-Through Trust 2004-4, 4.76929%, 9/25/34 (Step) 1,415,000 $490,493
Popular ABS Mortgage Pass-Through Trust 2004-5, Floating Rate Note, 12/25/34 2,500,000 $85,708
Post Holdings Inc 1st Lien Tl-B L + 3% 23may21 748,113 $745,909
Precision Castparts Corp., 1.25%, 1/15/18 500,000 $499,968
Prestige Brands, Inc., Term B-3 Loan, 9/3/21 265,059 $265,059
Pricoa Global Funding I, Floating Rate Note, 6/24/16 (144A) 500,000 $498,014
Principal Life Global Funding II, 1.2%, 5/19/17 (144A) 750,000 $750,635
Principal Life Global Funding II, Floating Rate Note, 5/27/16 (144A) 390,000 $391,045
Progreso Receivables Funding II LLC, 3.5%, 7/8/19 (144A) 1,370,000 $1,373,920
Progreso Receivables Funding I LLC, 4.0%, 7/9/18 (144A) 1,000,000 $1,003,806
Progress Residential 2014-SFR1 Trust, Floating Rate Note, 10/17/31 (144A) 1,000,000 $1,005,006
Prudential Covered Trust 2012-1, 2.997%, 9/30/15 (144A) 500,000 $354,482
PSEG Power LLC, 2.75%, 9/15/16 500,000 $514,079
PVH Corp., Tranche B Term Loan, 2/13/20 296,932 $298,664
Quebecor Media, Inc., Facility B-1 Tranche, 8/17/20 197,985 $195,325
Queen City Re, Floating Rate Note, 1/6/19 (Cat Bond) (144A) 500,000 $486,911
Queen Street VII Re, Ltd., Floating Rate Note, 4/8/16 (Cat Bond) (144A) 500,000 $504,075
Queen Street X RE, Ltd., Floating Rate Note, 6/8/18 (Cat Bond) (144A) 250,000 $244,684
Quest Trust REMICS, Floating Rate Note, 3/25/34 (144A) 24,804,330 $848,999
RAAC Series 2004-SP2 Trust, 6.0%, 1/25/32 11,000,000 $383,150
RAAC Series 2005-RP1 Trust, Floating Rate Note, 7/25/37 (144A) 583,530 $244,831
RAAC Series 2005-RP2 Trust, Floating Rate Note, 6/25/35 (144A) 995,000 $45,033
RAAC Series 2006-RP2 Trust, Floating Rate Note, 2/25/37 (144A) 4,099,889 $324,940
RAIT 2014-FL2 Trust, Floating Rate Note, 5/15/31 (144A) 1,500,000 $1,487,077
RAIT 2014-FL3 Trust, Floating Rate Note, 12/15/31 (144A) 1,000,000 $979,433
RALI Series 2002-QS16 Trust, Floating Rate Note, 10/25/17 11,475,000 $139,991
RALI Series 2003-QR24 Trust REMICS, 4.0%, 7/25/33 950,000 $10,578
RALI Series 2003-QR24 Trust REMICS, 4.0%, 7/25/33 6,880,000 $748,451
RALI Series 2003-QS11 Trust, Floating Rate Note, 6/25/33 13,610,000 $556,832
RALI Series 2003-QS14 Trust, 5.0%, 7/25/18 600,000 $27,814
RALI Series 2003-QS15 Trust, 5.5%, 8/25/33 250,000 $135,747
RALI Series 2003-QS9 Trust, Floating Rate Note, 5/25/18 11,040,000 $315,176
RALI Series 2004-QR1 Trust, 5.25%, 10/25/34 21,545,000 $19,044
RALI Series 2004-QS5 Trust, 4.75%, 4/25/34 4,285,000 $168,683
RALI Series 2004-QS5 Trust, Floating Rate Note, 4/25/34 2,350,729 $94,294
RALI Series 2005-QA1 Trust, Floating Rate Note, 1/25/35 8,661,000 $798,859
RAMP Series 2003-RS9 Trust, Floating Rate Note, 10/25/33 5,091,956 $291,036
RAMP Series 2004-RS11 Trust, Floating Rate Note, 11/25/34 1,085,000 $248,262
RAMP Series 2004-SL4 Trust, Floating Rate Note, 5/25/18 13,780,000 $50,597
RAMP Series 2005-RS6 Trust, Floating Rate Note, 6/25/35 278,355 $98,810
Raymond James Financial, Inc., 4.25%, 4/15/16 2,108,000 $2,179,599
Rbshd Flt% 25oct47 13-1a-A 850,000 $551,509
RBSSP Resecuritization Trust 2009-5, Floating Rate Note, 8/25/37 (144A) 2,550,000 $740,919
Reckitt Benckiser Treasury Services Plc, 2.125%, 9/21/18 (144A) 500,000 $505,717
Regatta Funding, Ltd., Floating Rate Note, 6/15/20 (144A) 500,000 $90,333
Remy International, Inc., Term B Loan 2013, 3/5/20 994,898 $996,142
RENT-A-CENTER, INC, Term Loan (2014), 2/6/21 544,500 $543,139
Residential Asset Securitization Trust 2003-A2, Floating Rate Note, 5/25/33 34,300,000 $1,174,071
Residential Asset Securitization Trust 2004-A9, 5.75%, 12/25/34 1,130,000 $360,328
Residential Reinsurance 2011, Ltd., Floating Rate Note, 6/6/17 (Cat Bond) (144A) 500,000 $495,193
Residential Reinsurance 2012, Ltd., Floating Rate Note, 12/6/16 (Cat Bond) (144A) 1,150,000 $1,164,576
Residential Reinsurance 2012, Ltd., Floating Rate Note, 12/6/16 (Cat Bond) (144A) 250,000 $255,118
Residential Reinsurance 2012, Ltd., Floating Rate Note, 12/6/16 (Cat Bond) (144A) 250,000 $262,161
Residential Reinsurance 2012, Ltd., Floating Rate Note, 6/6/16 (Cat Bond) (144A) 250,000 $262,164
Residential Reinsurance 2013, Ltd., Floating Rate Note, 6/6/17 (Cat Bond) (144A) 250,000 $258,952
Residential Reinsurance 2014, Ltd., Floating Rate Note, 6/6/18 (Cat Bond) (144A) 250,000 $252,258
RESI Finance LP 2003-CB1, Floating Rate Note, 7/9/35 2,382,000 $561,595
Resi Flt% 12dec45 A1 500,000 $396,055
Resource Capital Corp 2014-CRE2, Ltd., Floating Rate Note, 4/15/32 (144A) 1,480,000 $1,473,181
Resource Capital Corp CRE Notes 2013, Ltd., Floating Rate Note, 6/15/16 (144A) 1,000,000 $1,001,579
Restaurant Brands 1st Lien Tl-B L + 2.75% 12dec21 531,285 $531,617
RFMSI Series 2005-S5 Trust, 5.25%, 7/25/35 300,770 $139,871
RFSC Series 2004-RP1 Trust, Floating Rate Note, 11/25/42 250,000 $116,626
Rial 3% 25dec32 15-Lt7 700,000 $699,919
Rialto Capital Management LLC, 2.85%, 5/15/24 (144A) 700,000 $141,620
Rio Tinto Finance USA Plc, Floating Rate Note, 6/17/16 560,000 $561,666
Riverfront Re, Ltd., Floating Rate Note, 1/6/17 (Cat Bond) (144A) 320,000 $315,559
Royal Bank of Canada, 1.45%, 9/9/16 1,000,000 $1,012,173
Royal Bank of Canada, Floating Rate Note, 1/23/17 550,000 $550,967
Royal Bank of Canada, Floating Rate Note, 6/16/17 1,000,000 $998,560
RREF 2014-LT6 LLC, 2.75%, 9/15/24 (144A) 1,280,000 $542,002
Sanders Re, Ltd., Floating Rate Note, 5/5/17 (Cat Bond) (144A) 750,000 $740,108
Sanders Re, Ltd., Floating Rate Note, 5/5/17 (Cat Bond) (144A) 750,000 $737,285
Sanders Re, Ltd., Floating Rate Note, 6/7/17 (Cat Bond) (144A) 650,000 $644,892
Santander Drive Auto Receivables Trust 2012-5, 2.7%, 8/15/18 125,000 $126,557
SASCO Mortgage Loan Trust 2005-GEL1, Floating Rate Note, 12/25/34 510,000 $313,487
SASCO Mortgage Loan Trust 2005-GEL2, Floating Rate Note, 4/25/35 8,945,588 $97,077
Saxon Asset Securities Trust 2005-3, Floating Rate Note, 11/25/35 471,000 $395,185
Saxon Asset Securities Trust 2005-4, Floating Rate Note, 11/25/37 9,516,000 $337,431
SBA Senior Finance II LLC, Incremental Tranche B-1 Term Loan, 3/31/21 198,000 $196,543
Schaeffler (Aka Ina Beteiligungsge 1st Lien Tl-B L + 3.5% 15may20 442,308 $445,395
Scientific Games International Inc 1st Lien Tl-B2 L + 5% 17sep21 920,375 $920,845
Seadrill Operating LP, Initial Term Loan, 2/14/21 837,250 $636,011
Sector Re V, Ltd., 0.0%, 12/1/19 (Cat Bond) (144A) 250,000 $263,575
Sector Re V, Ltd., 0.0%, 3/30/19 (Cat Bond) (144A) 516 $70,694
Sector Re V, Ltd., 3/1/20 (Cat Bond) (144A) 300,000 $301,680
Selene Non-Performing Loans LLC, 2.9814%, 5/25/54 (Step) (144A) 1,020,000 $826,421
Senior Housing Properties Trust, 4.3%, 1/15/16 290,000 $297,860
Sensata Technologies 1st Lien L + 2.25% 14oct21 646,750 $649,695
Sequoia Mortgage Trust 2003-5, Floating Rate Note, 9/20/33 14,606,000 $603,451
Sequoia Mortgage Trust 2004-10, Floating Rate Note, 11/20/34 1,990,836 $195,908
Sequoia Mortgage Trust 2004-7, Floating Rate Note, 8/20/34 5,250,000 $209,853
Sequoia Mortgage Trust 2005-1, Floating Rate Note, 2/20/35 8,223,000 $696,146
Sequoia Mortgage Trust 2013-8, Floating Rate Note, 6/25/43 414,000 $313,721
Sequoia Mortgage Trust 2013-8, Floating Rate Note, 6/25/43 160,000 $131,343
Shell International Finance BV, Floating Rate Note, 11/15/16 750,000 $751,847
Sierra Timeshare 2012-2 Receivables Funding LLC, 2.38%, 3/20/29 (144A) 1,500,000 $328,434
Sierra Timeshare 2012-3 Receivables Funding LLC, 1.87%, 8/20/29 (144A) 1,400,000 $370,835
Sierra Timeshare 2013-1 Receivables Funding LLC, 2.39%, 11/20/29 (144A) 160,000 $46,201
Sierra Timeshare 2013-2 Receivables Funding LLC, 2.92%, 11/20/25 (144A) 270,000 $94,889
Sierra Timeshare 2013-2 Receivables Funding LLC, 4.75%, 11/20/25 (144A) 900,000 $321,985
Silver Bay Realty 2014-1 Trust, Floating Rate Note, 9/18/31 (144A) 750,000 $749,153
SilverLeaf Finance XVII LLC, 2.71%, 3/16/26 (144A) 750,000 $334,956
Silverstone Master Issuer Plc, Floating Rate Note, 1/21/55 (144A) 290,000 $296,786
Silverton RE, Ltd., 0.0%, 9/16/16 (Cat Bond) (144A) 250,000 $9,750
Silverton RE, Ltd., 0.0%, 9/18/17 (Cat Bond) (144A) 400,000 $444,160
Sinclair Television Group, Inc., New Tranche B Term Loan, 4/19/20 437,188 $436,229
Skandinaviska Enskilda Banken AB New York NY, Floating Rate Note, 9/21/15 750,000 $750,340
Small Business Administration Participation Certificates, 2.24%, 4/15/43 (144A) 630,000 $627,341
SMART ABS Series 2013-2US Trust, Floating Rate Note, 1/17/17 500,000 $258,537
SMART ABS Series 2014-1US Trust, Floating Rate Note, 7/14/16 750,000 $191,635
SNAAC Auto Receivables Trust, 4.38%, 6/15/17 (144A) 460,000 $56,870
Soundview Home Loan Trust 2005-3, Floating Rate Note, 6/25/35 600,000 $26,334
Soundview Home Loan Trust 2005-OPT4, Floating Rate Note, 12/25/35 815,490 $189,376
Southwire Co., Initial Term Loan, 1/31/21 401,198 $400,446
Specialty Underwriting & Residential Finance Trust Series 2006-BC1, Floating Rate Note, 12/25/36 790,207 $766,256
SpringCastle America Funding LLC, 2.7%, 5/25/23 1,020,000 $765,472
Springleaf Funding Trust 2013-A, 2.58%, 9/15/21 (144A) 1,200,000 $706,667
Springleaf Funding Trust 2014-A, 2.41%, 12/15/22 (144A) 1,000,000 $1,002,321
Springleaf Mortgage Loan Trust 2012-2, Floating Rate Note, 10/25/57 (144A) 424,000 $145,533
Starbucks Corp., 0.875%, 12/5/16 605,000 $605,894
Starwood Property Trust, Inc., Term Loan (First Lien), 4/17/20 196,482 $195,828
Steward Health Care System LLC, Term Loan, 4/10/20 295,489 $293,457
St Jude Medical, Inc., 2.5%, 1/15/16 510,000 $521,310
STORE Master Funding LLC, 5.77%, 8/20/42 (144A) 344,000 $354,826
Structured Adjustable Rate Mortgage Loan Trust, Floating Rate Note, 11/25/34 18,180,000 $861,456
Structured Adjustable Rate Mortgage Loan Trust, Floating Rate Note, 11/25/34 1,259,000 $107,972
Structured Adjustable Rate Mortgage Loan Trust, Floating Rate Note, 3/25/34 2,600,000 $128,623
Structured Asset Investment Loan Trust 2005-6, Floating Rate Note, 7/25/35 719,331 $545,759
Structured Asset Mortgage Investments II Trust 2004-AR8, Floating Rate Note, 5/19/35 24,300,000 $1,169,059
Structured Asset Mortgage Investments II Trust 2005-AR2, Floating Rate Note, 5/25/45 5,000,000 $461,589
Structured Asset Mortgage Investments II Trust 2005-F1 REMICS, Floating Rate Note, 8/26/35 6,100,000 $99,394
Structured Asset Mortgage Investments Trust 2002-AR5, Floating Rate Note, 5/19/33 7,644,000 $351,834
Structured Asset Securities Corp Mor Cer Ser 2003-31A, Floating Rate Note, 10/25/33 1,500,000 $121,093
Structured Asset Securities Corp Mortgage Loan Trust 2005-2XS, 4.65%, 2/25/35 (Step) 1,000,000 $90,745
Structured Asset Securities Corp Mortgage Loan Trust 2005-WF4, Floating Rate Note, 11/25/35 475,000 $1,808
Structured Asset Securities Corp Mortgage Pass-Through Certificates Ser 2004-S4, Floating Rate Note, 500,000 $35,526
Structured Asset Securities Corp Mortgage Pass-Through Ctfs Ser 2003-24A, Floating Rate Note, 7/25/3 7,700,000 $895,967
Structured Asset Securities Corp Mortgage Pass Through Ctfs Series 2003-35, Floating Rate Note, 12/2 5,293,000 $250,954
Sumitomo Mitsui Banking Corp., Floating Rate Note, 1/10/17 750,000 $751,192
Sumitomo Mitsui Banking Corp., Floating Rate Note, 7/19/16 300,000 $301,087
Sumitomo Mitsui Trust Bank, Ltd., Floating Rate Note, 9/16/16 (144A) 500,000 $501,308
SunGard Data Systems, Inc., Tranche C Term Loan, 2/28/17 155,698 $155,965
Sunset Mortgage Loan Co 2014-NPL2 LLC, 3.721%, 11/16/44 (Step) (144A) 850,000 $644,223
SunTrust Bank, 1.35%, 2/15/17 500,000 $502,234
SunTrust Bank, Floating Rate Note, 2/15/17 805,000 $804,955
SunTrust Banks, Inc., 3.5%, 1/20/17 500,000 $522,724
Svenska Handelsbanken AB, Floating Rate Note, 9/23/16 1,000,000 $1,003,493
SVO 2012-A VOI Mortgage LLC, 2.0%, 9/20/29 (144A) 1,600,000 $697,880
SWAY Residential 2014-1 Trust, Floating Rate Note, 1/20/32 (144A) 700,000 $694,310
Syniverse Holdings, Inc., Tranche B Term Loan, 4/23/19 925,000 $876,438
TAL Advantage V LLC, 1.7%, 5/20/39 (144A) 400,000 $287,703
Tar Heel Re, Ltd., Floating Rate Note, 5/9/16 (Cat Bond) (144A) 250,000 $254,856
Telefonica Emisiones SAU, 3.992%, 2/16/16 500,000 $516,081
Terex Corp., U.S. Term Loan, 8/13/21 256,395 $256,811
Terwin Mortgage Trust Series TMTS 2003-8HE, Floating Rate Note, 12/25/34 5,234,000 $158,824
Terwin Mortgage Trust Series TMTS 2005-10HE, Floating Rate Note, 6/25/36 199,992 $121,095
Terwin Mortgage Trust Series TMTS 2005-14HE, 4.8492%, 8/25/36 (Step) 630,000 $119,853
Texas Instruments, Inc., 0.875%, 3/12/17 500,000 $502,096
Texas Municipal Gas Acquisition & Supply Corp III, 5.0%, 12/15/15 500,000 $509,861
The Bank of New York Mellon Corp., 1.969%, 6/20/17 (Step) 750,000 $761,860
The Bank of Nova Scotia, 1.1%, 12/13/16 500,000 $501,094
The Bank of Nova Scotia, 1.375%, 7/15/16 500,000 $506,339
The Bank of Nova Scotia, 1.45%, 4/25/18 500,000 $498,925
The Bank of Tokyo-Mitsubishi UFJ, Ltd., 1.55%, 9/9/16 (144A) 1,000,000 $1,009,183
The Bank of Tokyo-Mitsubishi UFJ, Ltd., 2.7%, 9/9/18 (144A) 305,000 $314,761
The Bank of Tokyo-Mitsubishi UFJ, Ltd., Floating Rate Note, 3/10/17 (144A) 500,000 $499,827
The Bank of Tokyo-Mitsubishi UFJ, Ltd., Floating Rate Note, 9/8/17 (144A) 500,000 $498,627
The Bear Stearns Companies LLC, Floating Rate Note, 11/21/16 1,500,000 $1,499,820
The Boeing Co., 0.95%, 5/15/18 1,050,000 $1,038,779
The Charles Schwab Corp., 0.85%, 12/4/15 250,000 $250,538
The GEO Group, Inc., Term Loan, 4/3/20 492,462 $493,693
The Goldman Sachs Group, Inc., 1.6%, 11/23/15 2,125,000 $2,135,927
The Goldman Sachs Group, Inc., 3.7%, 8/1/15 340,000 $345,962
The Goldman Sachs Group, Inc., Floating Rate Note, 3/22/16 475,000 $474,781
The Goldman Sachs Group, Inc., Floating Rate Note, 7/22/15 700,000 $700,968
The Huntington National Bank, 1.3%, 11/20/16 500,000 $499,925
The Huntington National Bank, Floating Rate Note, 4/24/17 500,000 $499,439
The Korea Development Bank, Floating Rate Note, 1/22/17 750,000 $751,010
Thermo Fisher Scientific, Inc., 2.4%, 2/1/19 1,000,000 $1,008,916
The Toronto-Dominion Bank, 1.4%, 4/30/18 500,000 $500,140
The Toronto-Dominion Bank, Floating Rate Note, 5/2/17 500,000 $500,116
The Toronto-Dominion Bank, Floating Rate Note, 7/2/19 750,000 $751,037
The Toronto-Dominion Bank, Floating Rate Note, 9/9/16 500,000 $501,974
Thomson Reuters Corp., 0.875%, 5/23/16 250,000 $249,725
Thomson Reuters Corp., 1.3%, 2/23/17 500,000 $501,147
Thornburg Mortgage Securities Trust 2003-3, Floating Rate Note, 6/25/43 3,857,000 $116,735
Thornburg Mortgage Securities Trust 2004-1, Floating Rate Note, 3/25/44 20,000,000 $185,845
Thornburg Mortgage Securities Trust 2004-3, Floating Rate Note, 9/25/34 17,118,309 $1,230,950
Thornburg Mortgage Securities Trust 2004-4, Floating Rate Note, 12/25/44 1,225,000 $171,177
TI Group Automotive Systems LLC, Term Loan Facility, 7/1/21 223,872 $223,592
TimberStar Trust I REMICS, 5.668%, 10/15/36 (144A) 525,000 $552,381
TMS International Corp., Term B Loan, 10/2/20 146,199 $145,651
Tnote 0.625% 30jun17 3,000,000 $2,998,878
Total Capital International SA, 0.75%, 1/25/16 500,000 $502,369
Toyota Motor Credit Corp., 0.75%, 3/3/17 (Step) 3,150,000 $3,147,107
Toyota Motor Credit Corp., 1.125%, 5/16/17 750,000 $752,714
Tpf Ii Power Llc 1st Lien Tl-B L + 4.5% 24sep21 748,125 $755,606
Trade MAPS 1, Ltd., Floating Rate Note, 12/10/18 (144A) 250,000 $250,409
Tradewynd Re, Ltd., Floating Rate Note, 1/8/18 (Cat Bond) (144A) 250,000 $246,960
Trafigura Securitisation Finance Plc. 2014-1, Floating Rate Note, 4/16/18 (144A) 400,000 $400,351
TransCanada PipeLines, Ltd., 1.875%, 1/12/18 375,000 $380,780
TransCanada PipeLines, Ltd., Floating Rate Note, 6/30/16 690,000 $692,225
Tribune Media Co., Initial Term Loan, 11/20/20 551,747 $552,322
Tronox Pigments Holland BV, New Term Loan, 3/19/20 447,716 $448,611
U.S. Treasury Notes, 0.5%, 7/31/16 3,000,000 $3,010,709
U.S. Treasury Notes, 0.875%, 1/15/18 1,500,000 $1,506,523
Unifrax I LLC, New Term B Dollar Loan, 11/28/18 407,977 $407,850
United Auto Credit Securitization Trust 2014-1, 2.38%, 10/15/18 (144A) 700,000 $696,344
UnitedHealth Group, Inc., 1.875%, 11/15/16 500,000 $507,459
United Technologies Corp., 1.778%, 5/4/18 (Step) 500,000 $502,945
University of California, 0.966%, 5/15/17 500,000 $501,212
US Bancorp, 2.45%, 7/27/15 755,000 $763,885
US Renal Care, Inc., Tranche B-2 Term Loan (First Lien), 7/3/19 647,289 $647,492
Valeant Pharmaceuticals Internatio 1st Lien Tl-Bf1 L + 3.25% 13mar22 498,750 $499,090
Vantiv LLC, Term B Loan, 6/12/21 288,029 $289,379
Velocity Commercial Capital Loan Trust 2014-1, Floating Rate Note, 9/25/44 (144A) 800,000 $608,165
Ventas Realty LP, 3.125%, 11/30/15 500,000 $505,376
Verint Systems, Inc., Tranche B Incremental Term Loan, 9/6/19 261,457 $262,209
Verizon Communications, Inc., 0.7%, 11/2/15 935,000 $934,764
Verizon Communications, Inc., Floating Rate Note, 9/15/16 1,285,000 $1,301,850
Vers 2015-A Zero% 31dec17 800,000 $838,240
VFC 2014-2 LLC, 2.75%, 7/20/30 (144A) 1,060,000 $524,368
VFC 2015-3 LLC, 2.75%, 12/20/31 (144A) 400,000 $354,060
Virgin Media 1st Lien Tl-F L + 2.75% 30jun23 235,662 $233,674
Vita Capital V, Ltd., Floating Rate Note, 1/15/17 (Cat Bond) (144A) 750,000 $764,099
Vita Capital V, Ltd., Floating Rate Note, 1/15/17 (Cat Bond) (144A) 250,000 $255,024
Vitality Re IV, Ltd., Floating Rate Note, 1/9/17 (Cat Bond) (144A) 500,000 $509,788
Vitality Re V, Ltd., Floating Rate Note, 1/7/19 (Cat Bond) (144A) 500,000 $498,462
Vodafone Group Plc, Floating Rate Note, 2/19/16 275,000 $275,070
Volkswagen Group of America Finance LLC, 1.65%, 5/22/18 (144A) 500,000 $500,948
Volkswagen Group of America Finance LLC, Floating Rate Note, 5/23/16 (144A) 1,000,000 $999,719
Volkswagen International Finance NV, 1.125%, 11/18/16 (144A) 750,000 $752,076
Volkswagen International Finance NV, 1.15%, 11/20/15 (144A) 750,000 $752,671
Volkswagen International Finance NV, 1.6%, 11/20/17 (144A) 500,000 $503,632
Volt Flt% 26jun45 15-Npl8 400,000 $399,793
VOLT XIX LLC, 3.875%, 4/26/55 (Step) 800,000 $499,728
VOLT XXXIII LLC, 3.5%, 3/25/55 (Step) (144A) 700,000 $675,479
Wachovia Bank Commercial Mortgage Trust Series 2005-C21, Floating Rate Note, 10/17/44 625,364 $200,404
Wachovia Bank Commercial Mortgage Trust Series 2005-C22 REMICS, Floating Rate Note, 12/15/44 1,000,000 $621,736
Wachovia Bank Commercial Mortgage Trust Series 2006-C23 REMICS, Floating Rate Note, 1/15/45 1,590,000 $1,213,255
Wachovia Bank Commercial Mortgage Trust Series 2006-C24, Floating Rate Note, 3/15/45 272,000 $275,826
Wachovia Bank Commercial Mortgage Trust Series 2006-C25, Floating Rate Note, 5/15/43 1,200,000 $909,563
Wachovia Corp., Floating Rate Note, 6/15/17 1,077,000 $1,073,509
Wachovia Mortgage Loan Trust Series 2005-WMC1, Floating Rate Note, 10/25/35 750,000 $71,085
Walgreens Boots Alliance, Inc., Floating Rate Note, 5/18/16 750,000 $750,550
WaMu Mortgage Pass-Through Certificates Series 2002-AR6 Trust, Floating Rate Note, 6/25/42 29,950,000 $346,737
WaMu Mortgage Pass-Through Certificates Series 2003-S10, 5.0%, 10/25/18 17,361,049 $456,308
Welk Resorts 2013-A LLC, 3.1%, 3/15/29 (144A) 750,000 $491,766
Wells Fargo & Co., 1.25%, 7/20/16 500,000 $504,914
Wells Fargo & Co., Floating Rate Note, 4/23/18 575,000 $577,592
Wells Fargo Alternative Loan 2005-2 Trust, Floating Rate Note, 10/25/35 453,135 $451,388
Wells Fargo Bank NA, Floating Rate Note, 5/16/16 250,000 $249,470
Wells Fargo Commercial Mortgage Trust 2014-TISH REMICS, Floating Rate Note, 2/16/27 (144A) 1,250,000 $1,243,993
Wells Fargo Home Equity Asset-Backed Securities 2005-3 Trust, Floating Rate Note, 12/25/35 200,000 $44,162
Wells Fargo Mortgage Backed Securities 2005-4 Trust, Floating Rate Note, 4/25/35 7,173,466 $226,159
Wesco Aircraft Hardware Corp., Tranche B Term Loan, 2/24/21 792,604 $791,118
WESCO Distribution, Inc., Tranche B-1 Loan, 12/12/19 61,163 $61,239
Westgate Resorts 2012-A LLC, 2.25%, 8/20/25 (144A) 1,490,000 $631,145
Westgate Resorts 2012-A LLC, 3.75%, 8/20/25 (144A) 403,000 $172,374
Westgate Resorts 2014-1 LLC, 2.15%, 12/20/26 (144A) 1,000,000 $774,639
Westgate Resorts LLC, 2.5%, 3/20/25 (144A) 250,000 $70,179
Westgate Resorts LLC, 9.5%, 2/20/25 (144A) 1,800,000 $414,102
Westlake Automobile Receivables Trust 2013-1, 1.12%, 1/15/18 (144A) 150,000 $19,736
Westpac Banking Corp., Floating Rate Note, 5/19/17 1,000,000 $1,000,993
Westwood CDO II, Ltd., Floating Rate Note, 4/25/22 (144A) 500,000 $323,761
Wheelabrator 1st Lien Tl-B L + 4% 15oct21 953,065 $964,971
Wheelabrator 1st Lien Tl-C L + 4% 15oct21 42,146 $42,672
WireCo WorldGroup, Inc., Term Loan, 2/15/17 415,988 $416,768
Wm Wrigley Jr Co., 2.0%, 10/20/17 (144A) 1,000,000 $1,012,680
WR Grace & Co-Conn, Delayed Draw Term Loan, 1/23/21 71,935 $71,954
WR Grace & Co-Conn, U.S. Term Loan, 1/23/21 199,900 $199,953
Zebra Technologies Corporation 1st Lien Tl-B L + 4% 30sep21 481,818 $488,075
Zero% 30nov19 1,000,000 $1,004,900
Zero% 31aug16 100,000 $100,710
ZIGGO BV, (USD) TLB3, 1/15/22 476,177 $471,445
Ziggo Bv Us 1st Lien Tl-B1 L + 2.75% 15jan22 449,291 $444,827
Ziggo Bv Us 1st Lien Tl-B2 L + 2.75% 15jan22 289,532 $286,655
Zoetis, Inc., 1.15%, 2/1/16 500,000 $502,506

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