Pioneer Short Term Income Fund

Top 10 Portfolio Holdings as of 3/31/2016
Default: sorted by market value

Security Name Par / Shares Market Value
1011778 BC ULC, Term B-2 Loan, 12/12/21 527,272 $527,491
14112z Zero% 01feb19 1,000,000 $29,900
17079z Zero% 31mar18 250,000 $294,000
321 Henderson Receivables I LLC, Floating Rate Note, 6/15/41 (144A) 2,000,000 $505,842
A10 Securitization 2013-1 LLC, 2.4%, 11/17/25 (144A) 642,000 $7,306
A10 Term Asset Financing 2013-2 LLC, 2.62%, 11/15/27 (144A) 1,085,000 $391,133
A10 Term Asset Financing 2014-1 LLC, 1.72%, 4/15/33 (144A) 993,000 $769,148
Abbey National Treasury Services Plc, Floating Rate Note, 9/29/17 750,000 $745,744
Aberdeen Loan Funding, Ltd., Floating Rate Note, 11/1/18 (144A) 1,800,000 $625,775
ABN AMRO Bank NV, Floating Rate Note, 10/28/16 (144A) 750,000 $753,182
ACAS CLO 2007-1, Ltd., Floating Rate Note, 4/20/21 (144A) 500,000 $143,588
Access Point Funding I 2015-A LLC, 2.61%, 4/15/20 (144A) 500,000 $269,297
Accredited Mortgage Loan Trust 2005-2, Floating Rate Note, 7/25/35 240,000 $129,842
Acorn Re, Ltd., Floating Rate Note, 7/17/18 (Cat Bond) (144A) 300,000 $303,206
ACRE Commercial Mortgage Trust 2014-FL2, Floating Rate Note, 8/15/31 (144A) 700,000 $691,083
Activision Blizzard, Inc., Term Loan, 7/26/20 343,215 $345,012
Adjustable Rate Mortgage Trust 2005-5, Floating Rate Note, 9/25/35 3,300,000 $202,808
AECOM, Term B Commitment, 9/17/21 221,168 $222,066
Aegis Asset Backed Securities Trust Mortgage Pass-Through Ctfs Ser 2005-4, Floating Rate Note, 10/25 239,000 $70,451
Aegis Asset Backed Securities Trust Mortgage Pass- Through Ctfs Series 2004-3, Floating Rate Note, 9 12,500,000 $271,589
Aegis Asset Backed Securities Trust Mortgage Pass- Through Ctfs Series 2004-3, Floating Rate Note, 9 881,754 $87,874
Aircastle, Ltd., 6.75%, 4/15/17 1,100,000 $1,185,113
Alamo Re, Ltd., Floating Rate Note, 6/7/17 (Cat Bond) (144A) 250,000 $253,569
Alamo Re, Ltd., Floating Rate Note, 6/7/18 (Cat Bond) (144A) 350,000 $358,303
Albertsons LLC, Term B-2 Loan, 3/21/19 640,287 $641,258
Ally Financial, Inc., 3.6%, 5/21/18 500,000 $502,125
Altera Corp., 2.5%, 11/15/18 500,000 $518,962
Alterna Funding I LLC, 1.639%, 2/15/21 (144A) 400,000 $204,290
Alternative Loan Trust 2003-14T1, Floating Rate Note, 8/25/18 3,200,000 $69,648
Alternative Loan Trust 2004-6CB, Floating Rate Note, 4/25/34 4,791,000 $262,448
Altrl Zero% 30jun16 218,850 $12,212
Altrl Zero% 30jun17 347,880 $140,891
AMC Entertainment, Inc., Initial Term Loan, 4/30/20 244,362 $245,304
America Movil SAB de CV, Floating Rate Note, 9/12/16 1,000,000 $1,000,419
American Airlines, Inc., 2015 Term Loan, 10/10/21 742,500 $742,169
American Credit Acceptance Receivables Trust 2014-1, 5.2%, 4/12/21 (144A) 700,000 $706,643
American Credit Acceptance Receivables Trust 2014-2, 4.96%, 5/10/21 (144A) 750,000 $752,915
American Credit Acceptance Receivables Trust 2014-3, 0.99%, 8/10/18 (144A) 410,000 $4,058
American Electric Power Co, Inc., 1.65%, 12/15/17 500,000 $499,422
American Express Credit Account Secured Note Trust 2012-4, Floating Rate Note, 5/15/20 (144A) 760,000 $759,627
American Express Credit Corp., 1.3%, 7/29/16 500,000 $501,938
American Express Credit Corp., Floating Rate Note, 9/22/17 1,000,000 $994,391
American Homes 4 Rent 2014-SFR1, Floating Rate Note, 6/19/31 (144A) 665,000 $643,848
American Honda Finance Corp., 1.125%, 10/7/16 500,000 $503,784
American Honda Finance Corp., 1.2%, 7/14/17 750,000 $753,242
American Honda Finance Corp., Floating Rate Note, 12/11/17 750,000 $749,005
AmeriCredit Automobile Receivables Trust 2012-4, 3.82%, 2/10/20 (144A) 500,000 $506,877
AmeriCredit Automobile Receivables Trust 2013-4, 3.31%, 10/8/19 550,000 $561,814
Ameriquest Mortgage Securities Inc Asset-Backed Pass-Through Ctfs Ser 2003-AR3, Floating Rate Note, 155,851 $32,354
Ameriquest Mortgage Securities Inc Asset-Backed Pass-Through Ctfs Ser 2005-R1, Floating Rate Note, 3 592,188 $145,349
Ameriquest Mortgage Securities Inc Asset Backed Pass-Through Ctfs Ser 2005-R11, Floating Rate Note, 962,222 $427,770
Amgen, Inc., 2.5%, 11/15/16 700,000 $712,804
Amgen, Inc., Floating Rate Note, 5/22/17 600,000 $599,271
AMRESCO Residential Securities Corp Mortgage Loan Trust 1997-3, Floating Rate Note, 9/25/27 8,940,000 $111,773
Anheuser-Busch InBev Finance, Inc., Floating Rate Note, 1/27/17 500,000 $500,002
Anheuser-Busch InBev Finance, Inc., Floating Rate Note, 2/1/21 800,000 $816,947
Aon Corp., 3.125%, 5/27/16 1,550,000 $1,563,420
Aozora Re, Ltd., Floating Rate Note, 4/7/23 (Cat Bond) (144A) 250,000 $250,140
Apple, Inc., Floating Rate Note, 5/3/16 400,000 $400,509
Appvion, Inc., Term Commitment, 6/28/19 239,867 $224,275
Arbor Realty Collateralized Loan Obligation 2015-FL1, Ltd., Floating Rate Note, 3/17/25 (144A) 500,000 $485,516
Ascentium Equipment Receivables 2014-1 LLC, 3.1%, 6/10/21 (144A) 700,000 $700,931
Ascentium Equipment Receivables 2015-1 LLC, 3.24%, 1/10/22 (144A) 510,000 $517,822
Asset Backed Securities Corp Home Equity Loan Trust Series 2003-HE1, Floating Rate Note, 1/15/33 3,082,000 $379,412
Asset Backed Securities Corp Home Equity Loan Trust Series 2004-HE6, Floating Rate Note, 9/25/34 7,075,000 $358,657
Asset Backed Securities Corp Home Equity Loan Trust Series 2005-HE3, Floating Rate Note, 4/25/35 159,800 $43,921
Asset Backed Securities Corp Home Equity Loan Trust Series AEG 2006-HE1, Floating Rate Note, 1/25/36 311,384 $38,529
AT&T, Inc., 2.4%, 8/15/16 1,000,000 $1,009,127
Atlantic Power LP, Term Loan, 2/20/21 998,572 $997,947
Atlas IX Capital DAC, Floating Rate Note, 1/17/19 (Cat Bond) (144A) 500,000 $514,194
Avago Technologies Cayman Finance 1st Lien Tl-B L + 3.5% 13nov22 350,000 $348,712
Aviation Capital Group Corp., 2.875%, 9/17/18 (144A) 750,000 $753,899
Axis Equipment Finance Receivables III LLC, 3.41%, 4/20/20 (144A) 300,000 $301,645
AXIS Equipment Finance Receivables II LLC, 3.81%, 12/20/16 400,000 $402,984
AXIS Equipment Finance Receivables II LLC, 4.94%, 7/20/18 (144A) 700,000 $711,512
BAMLL Commercial Mortgage Securities Trust 2014-FL1, Floating Rate Note, 12/17/31 (144A) 800,000 $790,586
BAMLL Commercial Mortgage Securities Trust 2014-ICTS, Floating Rate Note, 6/15/28 (144A) 580,000 $581,901
BAMLL Commercial Mortgage Securities Trust 2014-INLD, Floating Rate Note, 12/17/29 (144A) 775,000 $705,545
BAMLL Commercial Mortgage Securities Trust 2014-INLD REMICS, Floating Rate Note, 12/17/29 (144A) 930,000 $909,213
BAMLL Commercial Mortgage Securities Trust 2016-ASHF, Floating Rate Note, 3/15/28 (144A) 1,100,000 $1,099,948
BAMLL Re-REMIC Trust 2014-FRR5, Floating Rate Note, 3/29/45 (144A) 800,000 $780,297
BAMLL Re-REMIC Trust 2014-FRR7, Floating Rate Note, 10/26/44 (144A) 950,000 $928,048
Banc of America Alternative Loan Trust 2003-10, Floating Rate Note, 12/25/33 2,600,000 $16,147
Banc of America Commercial Mortgage Trust 2006-1, Floating Rate Note, 9/10/45 1,000,000 $249,765
Banc of America Commercial Mortgage Trust 2006-4 REMICS, 5.634%, 7/10/46 1,960,000 $820,528
Banc of America Funding 2005-A Trust, Floating Rate Note, 2/20/35 10,835,000 $361,339
Banc of America Mortgage 2003-F Trust, Floating Rate Note, 7/25/33 6,462,027 $220,645
Banc of America Mortgage 2004-D Trust, Floating Rate Note, 5/25/34 4,920,000 $350,225
Banco Nacional de Desenvolvimento Economico e Social, 3.375%, 9/26/16 (144A) 1,000,000 $997,669
Bank of America Corp., 1.35%, 11/21/16 500,000 $502,926
Bank of America Corp., 3.875%, 3/22/17 600,000 $614,465
Bank of America Corp., Floating Rate Note, 8/25/17 408,000 $406,919
Bank of America NA, 1.25%, 2/14/17 500,000 $501,436
Bank of America NA, 1.75%, 6/5/18 750,000 $754,051
Bank of Montreal, Floating Rate Note, 7/14/17 470,000 $469,640
Barclays Bank Plc, Floating Rate Note, 2/17/17 229,000 $229,125
Barclays Dryrock Issuance Trust, Floating Rate Note, 3/16/20 500,000 $499,830
Bayer US Finance LLC, 1.5%, 10/6/17 (144A) 750,000 $759,549
Bayview Commercial Asset Trust 2007-2, 0.0%, 7/27/37 (Step) (144A) 4,500,000 $0
Bayview Financial Asset Trust 2003-A, Floating Rate Note, 2/25/33 (144A) 21,852,000 $382,148
Bayview Financial Mortgage Pass-Through Trust 2005-C, Floating Rate Note, 6/28/44 1,650,000 $854,227
Bayview Financial Mortgage Pass-Through Trust 2006-B, Floating Rate Note, 4/28/36 603,000 $18,197
Bayview Financial Mortgage Pass-Through Trust 2006-B, Floating Rate Note, 4/28/36 1,207,803 $129,882
Bayview Financial Mortgage Pass-Through Trust Series 2005-B, Floating Rate Note, 4/28/39 950,000 $353,412
Bayview Opportunity Master Fund IIA Trust 2012-4NPL Series III, Floating Rate Note, 2/28/35 (144A) 400,000 $183,224
Bayview Opportunity Master Fund IIa Trust 2014-20NPL, 3.721%, 8/28/44 (Step) (144A) 420,000 $178,652
BB&T Corp., 1.6%, 8/15/17 103,000 $103,353
BBB Industries US Holdings, Inc., Initial Term Loan (First Lien), 10/20/21 528,000 $525,855
BBCMS Trust 2014-BXO REMICS, Floating Rate Note, 8/16/27 (144A) 1,100,000 $520,934
BBCMS Trust 2015-SLP, Floating Rate Note, 2/15/28 (144A) 750,000 $722,275
BCAP LLC 2009-RR13-I Trust, Floating Rate Note, 9/26/35 (144A) 2,765,000 $373,139
BCAP LLC 2013-RR3 Trust, Floating Rate Note, 5/28/36 (144A) 500,000 $277,701
BCAP LLC 2013-RR7 Trust, Floating Rate Note, 12/27/34 (144A) 420,000 $249,116
Bear Stearns ALT-A Trust 2004-11, Floating Rate Note, 11/25/34 7,155,000 $253,355
Bear Stearns ALT-A Trust 2004-12, Floating Rate Note, 1/25/35 3,280,000 $266,294
Bear Stearns ALT-A Trust 2004-12, Floating Rate Note, 1/25/35 4,956,000 $466,578
Bear Stearns ALT-A Trust 2004-12, Floating Rate Note, 1/25/35 8,440,000 $763,904
Bear Stearns ALT-A Trust 2004-12, Floating Rate Note, 1/25/35 9,210,000 $769,873
Bear Stearns ALT-A Trust 2004-13, Floating Rate Note, 11/25/34 2,473,000 $94,019
Bear Stearns ALT-A Trust 2004-4, Floating Rate Note, 6/25/34 10,699,000 $603,721
Bear Stearns ALT-A Trust 2005-2, Floating Rate Note, 3/25/35 4,807,000 $186,009
Bear Stearns ARM Trust 2003-3, Floating Rate Note, 5/25/33 9,158,341 $223,678
Bear Stearns ARM Trust 2004-10 REMICS, Floating Rate Note, 1/25/35 720,000 $75,860
Bear Stearns ARM Trust 2004-3, Floating Rate Note, 7/25/34 2,481,203 $60,003
Bear Stearns Asset Backed Securities I Trust 2005-FR1, Floating Rate Note, 6/25/35 1,526,722 $330,637
Bear Stearns Asset Backed Securities Trust 2004-2, Floating Rate Note, 8/25/34 389,000 $31,095
Bear Stearns Asset Backed Securities Trust 2006-SD2, Floating Rate Note, 6/25/36 412,000 $142,632
Bear Stearns Commercial Mortgage Securities Trust 2005-PWR7, Floating Rate Note, 2/11/41 550,000 $530,514
Bear Stearns Commercial Mortgage Securities Trust 2005-PWR9, Floating Rate Note, 9/11/42 1,160,000 $98,136
Bear Stearns Commercial Mortgage Securities Trust 2006-PWR12, Floating Rate Note, 9/11/38 840,000 $207,706
Bear Stearns Mortgage Securities, Inc., Floating Rate Note, 6/25/30 731,690 $83,480
Bear Stearns Structured Products Trust 2007-EMX1, Floating Rate Note, 3/25/37 (144A) 1,130,000 $158,049
Becton Dickinson and Co., 1.45%, 5/15/17 750,000 $755,309
Becton Dickinson and Co., 1.8%, 12/15/17 750,000 $757,128
Becton Dickinson and Co., Floating Rate Note, 6/15/16 750,000 $750,435
Belden Finance 2013 LP, Initial Term Loan, 9/9/20 243,750 $242,988
Berkshire Hathaway Finance Corp., Floating Rate Note, 1/10/17 1,000,000 $1,001,787
Berkshire Hathaway Finance Corp., Floating Rate Note, 8/14/17 1,000,000 $999,595
BHMS 2014-ATLS Mortgage Trust REMICS, Floating Rate Note, 7/8/33 (144A) 900,000 $877,276
BHP Billiton Finance USA, Ltd., Floating Rate Note, 9/30/16 500,000 $498,490
BLCP Hotel Trust, Floating Rate Note, 8/15/29 (144A) 1,610,000 $1,558,601
Blue Danube II, Ltd., Floating Rate Note, 5/23/16 (Cat Bond) (144A) 800,000 $803,612
Boardwalk Pipelines LP, 5.5%, 2/1/17 700,000 $706,385
Boca Hotel Portfolio Trust 2013-BOCA, Floating Rate Note, 8/17/26 (144A) 1,100,000 $1,098,897
Boston Scientific Corp., 2.65%, 10/1/18 500,000 $515,485
BPCE SA, Floating Rate Note, 4/25/16 550,000 $552,317
Branch Banking & Trust Co., 1.35%, 10/1/17 500,000 $504,114
Branch Banking & Trust Co., 1.45%, 10/3/16 1,370,000 $1,383,258
Branch Banking & Trust Co., 2.3%, 10/15/18 500,000 $513,135
Branch Banking & Trust Co., Floating Rate Note, 5/23/17 250,000 $249,461
Branch Banking & Trust Co., Floating Rate Note, 9/13/16 1,575,000 $1,574,654
Bright Horizons Family Solutions, Inc., Term B Loan, 1/30/20 390,917 $390,998
British Telecommunications Plc, 1.625%, 6/28/16 1,000,000 $1,005,448
BWAY Holding Co., Initial Term Loan, 8/8/20 98,500 $95,791
BXHTL 2015-JWRZ Mortgage Trust, Floating Rate Note, 5/15/29 (144A) 800,000 $758,084
Caelus Re 2013, Ltd., Floating Rate Note, 4/7/17 (Cat Bond) (144A) 750,000 $772,579
Caelus Re IV, Ltd., Floating Rate Note, 3/6/20 (Cat Bond) (144A) 400,000 $401,320
Calpine Construction Finance Co LP, Term B-2 Loan, 1/3/22 659,781 $648,235
Calpine Corp., Term Loan, 10/9/19 740,409 $737,941
Capital Auto Receivables Asset Trust 2013-1, 2.19%, 9/20/21 125,000 $124,469
Capital One Bank USA NA, 1.15%, 11/21/16 750,000 $753,180
Capital One Multi-Asset Execution Trust, Floating Rate Note, 2/15/19 300,000 $300,077
Capital One NA, 1.65%, 2/5/18 750,000 $746,523
Capital One NA, 2.35%, 8/17/18 750,000 $756,015
Carefree Portfolio Trust 2014-CARE, Floating Rate Note, 11/15/29 (144A) 500,000 $453,866
CarMax Auto Owner Trust 2013-3, 2.15%, 5/15/19 540,000 $544,027
Carrington Mortgage Loan Trust Series 2006-OPT1, Floating Rate Note, 12/25/35 5,047,000 $714,994
Caterpillar Financial Services Corp., 1.0%, 11/25/16 1,000,000 $1,005,308
Caterpillar Financial Services Corp., 1.35%, 9/6/16 1,125,000 $1,129,386
CDC Mortgage Capital Trust 2002-HE1, Floating Rate Note, 1/25/33 19,484,513 $324,073
CDGJ Commercial Mortgage Trust 2014-BXCH, Floating Rate Note, 12/15/27 (144A) 1,340,000 $1,302,702
CDW LLC, Term Loan, 4/29/20 397,949 $397,265
Celgene Corp., 2.125%, 8/15/18 600,000 $608,424
Cendant Mortgage Corp., 6.25%, 3/25/32 (144A) 4,100,000 $370,633
Cent CLO, 2.52%, 8/1/24 (144A) 1,000,000 $1,005,793
Centerpoint Energy Transition Bond Co II LLC, 5.17%, 8/1/19 720,000 $283,644
CeramTec Acquisition Corp., Initial Dollar Term B-2 Loan, 8/30/20 20,586 $20,561
CeramTec GmbH, Dollar Term B-3 Loan, 8/30/20 59,016 $58,943
CeramTec Service GmbH, Initial Dollar Term B-1 Loan, 8/30/20 193,667 $193,424
CFCRE 2015-RUM Mortgage Trust, Floating Rate Note, 7/15/30 (144A) 800,000 $776,756
CFCRE 2015-RUM Mortgage Trust, Floating Rate Note, 7/15/30 (144A) 765,000 $745,695
CGBAM Commercial Mortgage Trust 2014-HD, Floating Rate Note, 2/18/31 (144A) 310,000 $306,804
CG-CCRE Commercial Mortgage Trust 2014-FL1, Floating Rate Note, 6/16/31 (144A) 100,000 $99,860
CGGS Commercial Mortgage Trust 2016-RND, Floating Rate Note, 2/9/33 (144A) 850,000 $850,099
CGWF Commercial Mortgage Trust 2013-RKWH REMICS, Floating Rate Note, 11/15/30 (144A) 1,720,000 $1,713,997
Chase Funding Trust Series 2003-3, Floating Rate Note, 4/25/33 13,029,694 $54,658
Chase Funding Trust Series 2003-6, 4.277%, 11/27/34 (Step) 1,680,000 $187,489
Chesapeake Funding II LLC, Floating Rate Note, 3/15/28 (144A) 200,000 $200,018
Chesapeake Funding LLC, Floating Rate Note, 3/9/26 (144A) 650,000 $444,918
Chesapeake Funding LLC, Floating Rate Note, 5/7/24 (144A) 250,000 $250,345
Chesapeake Funding LLC, Floating Rate Note, 5/7/24 (144A) 200,000 $19,152
CHL Mortgage Pass-Through Trust 2004-14, Floating Rate Note, 8/25/34 1,810,000 $156,986
CHS, Incremental 2018 Term F Loan, 12/31/18 98,380 $97,635
CHS, Incremental 2019 Term G Loan, 12/31/19 92,330 $90,894
CHS, Incremental 2021 Term H Loan, 1/27/21 169,884 $167,368
Ciena Corp., Term Loan, 7/8/19 344,750 $342,595
Cinedigm Digital Funding 1 LLC, Term Loan, 2/28/18 63,055 $62,582
Citibank Credit Card Issuance Trust, 1.02%, 2/22/19 600,000 $600,823
Citibank Credit Card Issuance Trust, 1.32%, 9/7/18 700,000 $701,907
Citibank Credit Card Issuance Trust, Floating Rate Note, 1/23/20 500,000 $507,325
Citicorp Mortgage Securities REMIC Pass-Through Certificates Trust Series 2005-4, 5.0%, 7/25/20 4,375,000 $54,539
Citicorp Mortgage Securities REMIC Pass-Through Certificates Trust Series 2005-7, 5.0%, 10/25/35 5,635,000 $244,164
Citigroup, Inc., 1.35%, 3/10/17 600,000 $600,719
Citigroup, Inc., 1.8%, 2/5/18 750,000 $751,341
Citigroup, Inc., Floating Rate Note, 11/15/16 750,000 $752,221
Citigroup, Inc., Floating Rate Note, 4/27/18 600,000 $597,318
Citigroup, Inc., Floating Rate Note, 5/15/18 620,000 $630,640
Citigroup, Inc., Floating Rate Note, 7/25/16 750,000 $753,441
Citigroup Commercial Mortgage Trust 2015-SHP2, Floating Rate Note, 7/15/27 (144A) 300,000 $294,101
Citigroup Commercial Mortgage Trust 2015-SSHP REMICS, Floating Rate Note, 9/15/27 (144A) 1,500,000 $1,454,036
Citigroup Mortgage Loan Trust, Inc., 7.0%, 10/25/19 7,340,000 $30,907
Citigroup Mortgage Loan Trust, Inc., Floating Rate Note, 10/25/35 1,471,464 $257
Citigroup Mortgage Loan Trust, Inc., Floating Rate Note, 11/25/34 900,000 $49,024
Citigroup Mortgage Loan Trust, Inc., Floating Rate Note, 3/26/35 1,750,000 $129,829
Citigroup Mortgage Loan Trust, Inc., Floating Rate Note, 5/25/35 (144A) 429,900 $283,273
Citigroup Mortgage Loan Trust 2006-SHL1, Floating Rate Note, 11/27/45 (144A) 4,965,000 $320,601
Citigroup Mortgage Loan Trust 2010-4 REMICS, 5.0%, 10/25/35 (144A) 2,735,000 $356,428
Citizens Bank NA, 2.5%, 3/14/19 600,000 $605,937
Citrus Re, Ltd., Floating Rate Note, 4/18/17 (Cat Bond) (144A) 250,000 $248,492
Citrus Re, Ltd., Floating Rate Note, 4/24/17 (Cat Bond) (144A) 600,000 $597,970
CNH Equipment Trust 2013-A, 0.69%, 6/15/18 450,000 $26,083
CNH Equipment Trust 2013-B, 0.99%, 11/15/18 170,000 $169,470
CNH Wholesale Master Note Trust, Floating Rate Note, 8/15/19 (144A) 525,000 $524,582
CNL Commercial Mortgage Loan Trust 2002-1, Floating Rate Note, 10/25/28 (144A) 8,975,000 $238,424
Collateralized Mortgage Obligation Trust 44, Floating Rate Note, 7/1/18 13,590,000 $20,833
Colony American Homes 2014-1, Floating Rate Note, 5/19/31 (144A) 700,000 $672,465
Colony American Homes 2014-2, Floating Rate Note, 7/19/31 (144A) 600,000 $576,148
Colony Mortgage Capital Series 2015-FL3, Ltd., Floating Rate Note, 9/5/32 (144A) 500,000 $500,246
COMM 2014-FL5 Mortgage Trust, Floating Rate Note, 10/17/31 (144A) 1,410,000 $1,384,315
COMM 2014-KYO Mortgage Trust, Floating Rate Note, 6/11/27 (144A) 1,630,000 $1,600,223
COMM 2014-PAT Mortgage Trust, Floating Rate Note, 8/13/27 (144A) 820,000 $792,768
COMM 2014-PAT Mortgage Trust REMICS, Floating Rate Note, 8/13/27 (144A) 400,000 $390,970
COMM 2014-SAVA Mortgage Trust, Floating Rate Note, 6/15/34 (144A) 1,110,000 $1,087,675
COMM 2014-TWC Mortgage Trust, Floating Rate Note, 2/13/32 (144A) 1,850,000 $1,808,537
Commonwealth Bank of Australia, Floating Rate Note, 3/13/17 (144A) 650,000 $649,895
Commonwealth Bank of Australia, Floating Rate Note, 9/8/17 (144A) 750,000 $748,023
Commonwealth Edison Co., 1.95%, 9/1/16 500,000 $502,541
ConAgra Foods, Inc., Floating Rate Note, 7/21/16 750,000 $750,937
Conn's Receivables Funding 2016-A LLC, 4.68%, 4/16/18 (144A) 600,000 $601,388
ConocoPhillips Co., 1.05%, 12/15/17 1,000,000 $988,625
Conseco Finance Home Equity Loan Trust 2002-C, Floating Rate Note, 4/15/32 2,875,000 $660,339
Consumer Credit Origination Loan Trust 2015-1, 2.82%, 3/15/21 (144A) 750,000 $279,050
Costco Wholesale Corp., 1.125%, 12/15/17 740,000 $745,690
Countrywide Asset-Backed Certificates, Floating Rate Note, 10/25/34 984,000 $123,351
Countrywide Asset-Backed Certificates, Floating Rate Note, 11/25/35 2,175,000 $46,556
Countrywide Asset-Backed Certificates, Floating Rate Note, 12/25/35 1,814,000 $353,470
Countrywide Asset-Backed Certificates, Floating Rate Note, 3/25/35 1,300,000 $381,499
Countrywide Asset-Backed Certificates, Floating Rate Note, 9/25/34 (144A) 8,600,000 $425,975
CPS Auto Receivables Trust 2013-A, 1.89%, 6/15/20 (144A) 690,000 $196,184
CPS Auto Receivables Trust 2013-B, 1.82%, 9/15/20 (144A) 192,000 $52,143
CPS Auto Receivables Trust 2014-A, 1.21%, 8/15/18 (144A) 200,000 $48,146
Credit Acceptance Auto Loan Trust 2013-2, 1.5%, 4/15/21 (144A) 1,000,000 $448,648
Credit Acceptance Auto Loan Trust 2014-2, 2.67%, 9/15/22 (144A) 1,000,000 $1,003,397
Credit Suisse Commercial Mortgage Trust Series 2006-C3 REMICS, Floating Rate Note, 6/15/38 950,000 $957,103
Credit Suisse Commercial Mortgage Trust Series 2007-C1, 5.361%, 2/15/40 1,300,000 $888,176
Credit Suisse Commercial Mortgage Trust Series 2007-C3, Floating Rate Note, 6/15/39 1,300,000 $969,427
Credit Suisse Commercial Mortgage Trust Series 2007-C4, Floating Rate Note, 9/15/39 700,000 $702,937
Credit Suisse Commercial Mortgage Trust Series 2007-C4 REMICS, Floating Rate Note, 9/15/39 800,000 $566,454
Credit Suisse First Boston Mortgage Securities Corp., 4.877%, 4/15/37 500,000 $159,578
Credit Suisse First Boston Mortgage Securities Corp., 5.5%, 6/25/33 200,000 $31,015
Credit Suisse First Boston Mortgage Securities Corp., 7.5%, 5/25/32 15,000,000 $259,174
Credit Suisse First Boston Mortgage Securities Corp., Floating Rate Note, 7/25/35 4,805,000 $408,971
Credit Suisse Mortgage Capital Certificates, Floating Rate Note, 10/27/36 (144A) 2,290,000 $118,588
Credit Suisse Mortgage Capital Certificates REMICS, Floating Rate Note, 7/27/36 (144A) 3,494,698 $215,898
CRG Issuer 2015-1, 4.07%, 7/11/22 (144A) 500,000 $500,546
Crowne Group LLC, Term Loan (First Lien), 9/29/20 295,500 $283,680
CSFB Mortgage-Backed Trust Series 2004-7, 5.25%, 10/25/19 1,196,000 $30,881
CSMC 2015-TWNI Trust, Floating Rate Note, 3/15/28 (144A) 400,000 $386,952
CSMC Trust 2015-DEAL, Floating Rate Note, 4/16/29 (144A) 900,000 $870,185
CSMC Trust 2015-SAND, Floating Rate Note, 8/15/30 (144A) 1,150,000 $1,120,262
CSMC Trust 2015-SAND, Floating Rate Note, 8/15/30 (144A) 750,000 $721,888
Daimler Finance North America LLC, 1.45%, 8/1/16 (144A) 1,000,000 $1,004,142
Daimler Finance North America LLC, Floating Rate Note, 3/10/17 (144A) 750,000 $747,145
Daimler Finance North America LLC, Floating Rate Note, 8/1/17 (144A) 617,000 $614,289
Darling Ingredients, Inc., Term B USD Loan, 12/19/20 514,500 $513,375
Dell Equipment Finance Trust 2014-1, 2.68%, 6/22/20 (144A) 750,000 $747,760
Delos Finance Sarl, Loan, 3/6/21 425,000 $426,594
Delta Air Lines, Inc., 2014 Term B-1 Loan, 10/18/18 97,727 $97,870
Diamond Resorts Owner Trust 2013-2, 2.62%, 5/20/26 (144A) 750,000 $254,077
Diamond Resorts Owner Trust 2014-1, 2.54%, 5/20/27 (144A) 500,000 $235,410
DigitalGlobe, Inc., Term Loan, 1/31/20 497,436 $496,400
Direct Capital Funding V LLC, 4.83%, 11/20/20 (144A) 750,000 $756,716
Dominion Resources, Inc. Virginia, 1.25%, 3/15/17 1,021,000 $1,021,279
DR Horton, Inc., 4.0%, 2/15/20 650,000 $672,822
Drug Royalty II LP 2, Floating Rate Note, 7/15/23 (144A) 700,000 $530,265
DT Auto Owner Trust 2014-1, 2.64%, 10/15/19 (144A) 35,000 $26,134
Duke Energy Carolinas LLC, 1.75%, 12/15/16 750,000 $759,382
Duke Energy Indiana LLC, Floating Rate Note, 7/11/16 303,000 $303,751
Duke Energy Progress LLC, Floating Rate Note, 11/20/17 440,000 $434,765
Duke Energy Progress LLC, Floating Rate Note, 3/6/17 411,000 $410,221
East Lane Re VI, Ltd., Floating Rate Note, 3/14/18 (Cat Bond) (144A) 500,000 $493,367
Eco Services Operations LLC, Initial Term Loan, 10/10/21 518,438 $505,477
Eden Re II, Ltd., 0.0%, 4/19/18 (Cat Bond) (144A) 7,000 $52,500
Eden Re II, Ltd., 0.0%, 4/23/19 (Cat Bond) (144A) 600,000 $606,000
Electricite de France SA, Floating Rate Note, 1/20/17 (144A) 750,000 $749,824
Ellington Loan Acquisition Trust 2007-1, Floating Rate Note, 5/26/37 (144A) 550,000 $192,331
Emdeon, Inc., Term B-3 Loan, 11/2/18 394,000 $391,045
Enbridge, Inc., Floating Rate Note, 10/1/16 1,000,000 $993,376
Endo Luxembourg Finance I Co Sarl, 2015 Incremental Term B Loan, 6/24/22 243,390 $240,043
Energy Transfer Equity LP, Loan (2015), 12/2/19 278,824 $251,638
Energy Transfer Partners LP, 2.5%, 6/15/18 750,000 $731,496
Entercom Radio LLC, Term B-2 Loan, 11/23/18 453,432 $452,487
Enterprise Products Operating LLC, 1.65%, 5/7/18 750,000 $752,225
Envision Healthcare Corp., Tranche B-2 Term Loan, 10/28/22 498,750 $499,810
EQTY 2014-INNS Mortgage Trust, Floating Rate Note, 5/8/31 (144A) 1,020,000 $985,040
EQTY 2014-INNS Mortgage Trust REMICS, Floating Rate Note, 5/8/31 (144A) 540,000 $520,559
Equity One Mortgage Pass-Through Trust 2003-1, Floating Rate Note, 8/25/33 11,389,000 $209,033
Equity One Mortgage Pass-Through Trust 2004-1, Floating Rate Note, 4/25/34 1,840,000 $344,618
Equity One Mortgage Pass-Through Trust 2004-2, Floating Rate Note, 7/25/34 1,925,000 $493,169
Evergreen Skills Lux Sarl, Initial Term Loan (First Lien), 4/23/21 197,000 $158,913
Exelon Corp., 1.55%, 6/9/17 750,000 $752,422
Exeter Automobile Receivables Trust 2014-2, 1.06%, 8/15/18 (144A) 400,000 $55,052
Express Scripts Holding Co., 2.25%, 6/15/19 750,000 $760,424
Exxon Mobil Corp., Floating Rate Note, 2/28/18 1,000,000 $1,004,019
Fannie Mae, 2.0%, 11/1/23 2,236,000 $1,467,444
Fannie Mae, 2.5%, 3/1/28 2,075,000 $1,477,441
Fannie Mae, 2.5%, 3/25/24 1,500,000 $234,623
Fannie Mae, 2.5%, 6/1/23 526,320 $313,477
Fannie Mae, 3.0%, 10/1/27 2,000,000 $1,058,435
Fannie Mae, 3.0%, 11/1/27 2,000,000 $1,259,716
Fannie Mae, 3.0%, 11/25/18 6,300,000 $515,850
Fannie Mae, 3.0%, 5/1/21 2,775,000 $692,664
Fannie Mae, 3.0%, 6/25/22 7,135,000 $2,611,431
Fannie Mae, 3.5%, 10/25/23 2,280,000 $162,821
Fannie Mae, 3.5%, 8/25/25 15,710,000 $729,818
Fannie Mae, 4.0%, 12/1/19 3,570,319 $419,778
Fannie Mae, 4.0%, 8/25/28 2,600,000 $103,052
Fannie Mae, 4.5%, 1/1/41 580,000 $248,350
Fannie Mae, 4.5%, 5/1/39 1,350,000 $399,313
Fannie Mae, 4.5%, 5/1/39 2,100,000 $672,138
Fannie Mae, 4.5%, 9/25/35 4,690,000 $212,135
Fannie Mae, 5.0%, 10/1/41 1,736,000 $570,119
Fannie Mae, 5.0%, 11/1/20 3,800,000 $179,274
Fannie Mae, 5.0%, 6/25/34 1,270,000 $73,689
Fannie Mae, 5.5%, 12/1/35 1,000,000 $49,613
Fannie Mae, 5.5%, 8/1/37 2,000,000 $261,025
Fannie Mae, 6.0%, 10/1/22 2,473,454 $430,968
Fannie Mae, 6.0%, 2/1/34 1,400,000 $37,009
Fannie Mae, 6.0%, 4/1/38 483,000 $27,376
Fannie Mae, 6.5%, 4/1/29 9,050,000 $257,462
Fannie Mae, 6.5%, 6/1/16 700,000 $54
Fannie Mae, 6.5%, 7/1/32 723,471 $6,391
Fannie Mae, 6.5%, 8/1/17 667,089 $7,177
Fannie Mae, 7.0%, 1/1/36 1,000,000 $15,707
Fannie Mae, 7.0%, 7/1/17 3,768,412 $14,972
Fannie Mae, Floating Rate Note, 1/1/25 7,000,000 $50,248
Fannie Mae, Floating Rate Note, 10/1/29 10,892,567 $79,762
Fannie Mae, Floating Rate Note, 10/1/29 4,831,796 $97,687
Fannie Mae, Floating Rate Note, 10/1/36 1,877,185 $301,494
Fannie Mae, Floating Rate Note, 11/1/24 7,000,000 $80,764
Fannie Mae, Floating Rate Note, 11/1/25 700,000 $1,661
Fannie Mae, Floating Rate Note, 11/1/40 9,368,434 $29,600
Fannie Mae, Floating Rate Note, 11/25/32 29,460,000 $857,058
Fannie Mae, Floating Rate Note, 12/1/28 1,112,489 $49,225
Fannie Mae, Floating Rate Note, 12/1/36 6,500,000 $180,272
Fannie Mae, Floating Rate Note, 2/1/27 4,000,000 $6,613
Fannie Mae, Floating Rate Note, 2/1/33 380,000 $1,017
Fannie Mae, Floating Rate Note, 4/1/28 400,000 $3,002
Fannie Mae, Floating Rate Note, 4/1/29 400,000 $2,689
Fannie Mae, Floating Rate Note, 7/1/36 500,000 $43,147
Fannie Mae Connecticut Avenue Securities, Floating Rate Note, 10/25/23 1,244,000 $670,227
Fannie Mae Connecticut Avenue Securities, Floating Rate Note, 5/25/24 1,020,000 $635,143
Fannie Mae Connecticut Avenue Securities, Floating Rate Note, 7/25/24 1,540,000 $847,819
Fannie Mae Connecticut Avenue Securities, Floating Rate Note, 9/25/28 500,000 $500,624
Fannie Mae Trust 2005-W4, Floating Rate Note, 6/25/45 1,600,000 $209,145
Fannie Mae Whole Loan, Floating Rate Note, 11/25/46 4,252,000 $543,736
FCA US LLC, Term Loan B, 5/24/17 520,309 $520,819
FCA US LLC, Tranche B Term Loan, 12/29/18 345,386 $345,299
FDIC 2010-R1 Trust, 2.184%, 5/25/50 (144A) 2,410,000 $605,857
Federal Home Loan Banks, 2.9%, 4/20/17 1,370,000 $182,864
Federal Home Loan Mortgage Corp., 2.5%, 10/1/27 1,247,958 $808,042
Federal Home Loan Mortgage Corp., 2.75%, 11/15/25 1,000,000 $330,132
Federal Home Loan Mortgage Corp., 3.0%, 1/15/30 893,000 $331,757
Federal Home Loan Mortgage Corp., 3.0%, 12/15/24 7,415,000 $902,216
Federal Home Loan Mortgage Corp., 3.0%, 6/15/38 2,000,000 $143,650
Federal Home Loan Mortgage Corp., 3.5%, 8/15/28 500,000 $101,660
Federal Home Loan Mortgage Corp., 4.0%, 1/15/34 5,000,000 $182,191
Federal Home Loan Mortgage Corp., 4.0%, 5/1/24 2,400,000 $157,127
Federal Home Loan Mortgage Corp., 4.5%, 7/1/19 1,381,464 $90,664
Federal Home Loan Mortgage Corp., 4.5%, 7/1/19 1,467,130 $90,345
Federal Home Loan Mortgage Corp., 5.0%, 12/1/39 265,000 $88,434
Federal Home Loan Mortgage Corp., 5.0%, 2/1/21 1,000,000 $50,342
Federal Home Loan Mortgage Corp., 5.5%, 8/1/23 1,563,938 $35,426
Federal Home Loan Mortgage Corp., 6.0%, 1/15/28 5,000,000 $197,776
Federal Home Loan Mortgage Corp., 6.5%, 7/1/16 2,000,000 $834
Federal Home Loan Mortgage Corp., Floating Rate Note, 1/1/28 500,000 $3,497
Federal Home Loan Mortgage Corp., Floating Rate Note, 1/15/33 41,300,000 $1,282,476
Federal Home Loan Mortgage Corp., Floating Rate Note, 1/15/35 1,635,000 $154,215
Federal Home Loan Mortgage Corp., Floating Rate Note, 10/1/31 19,044,336 $320,574
Federal Home Loan Mortgage Corp., Floating Rate Note, 11/1/31 1,399,950 $5,086
Federal Home Loan Mortgage Corp., Floating Rate Note, 11/15/36 2,046,908 $68,098
Federal Home Loan Mortgage Corp., Floating Rate Note, 12/1/31 49,986,196 $251,679
Federal Home Loan Mortgage Corp., Floating Rate Note, 2/17/32 12,638,000 $265,935
Federal Home Loan Mortgage Corp., Floating Rate Note, 3/15/30 1,147,667 $314,523
Federal Home Loan Mortgage Corp., Floating Rate Note, 3/15/32 33,450,000 $278,930
Federal Home Loan Mortgage Corp., Floating Rate Note, 4/1/25 13,000,000 $15,949
Federal Home Loan Mortgage Corp., Floating Rate Note, 4/1/29 160,000 $1,953
Federal Home Loan Mortgage Corp., Floating Rate Note, 4/15/33 22,025,143 $792,191
Federal Home Loan Mortgage Corp., Floating Rate Note, 4/15/36 4,003,000 $477,460
Federal Home Loan Mortgage Corp., Floating Rate Note, 5/1/25 588,110 $4,579
Federal Home Loan Mortgage Corp., Floating Rate Note, 7/1/18 2,100,000 $2,040
Federal Home Loan Mortgage Corp., Floating Rate Note, 7/15/19 1,500,000 $44,640
Federal Home Loan Mortgage Corp., Floating Rate Note, 7/15/28 52,559,000 $274,968
Federal Home Loan Mortgage Corp., Floating Rate Note, 7/15/31 49,927,842 $427,526
Federal Home Loan Mortgage Corp., Floating Rate Note, 8/1/31 12,000,000 $86,112
Federal Home Loan Mortgage Corp., Floating Rate Note, 8/1/31 500,000 $854
Federal Home Loan Mortgage Corp., Floating Rate Note, 8/15/19 6,831,666 $102,581
Federal Home Loan Mortgage Corp. REMICS, 3.5%, 10/15/18 500,000 $43,932
Federal Home Loan Mortgage Corp. REMICS, 3.5%, 6/15/28 1,119,000 $11,047
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 1/15/36 400,312 $53,236
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 1/15/37 16,831,292 $702,460
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 10/15/20 9,083,556 $53,673
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 10/15/37 3,873,000 $192,276
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 11/15/36 600,000 $75,508
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 11/15/36 1,229,000 $157,697
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 11/15/37 3,358,000 $367,056
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/32 2,900,000 $129,637
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/32 1,931,288 $88,906
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/35 2,232,000 $275,717
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/39 666,000 $216,726
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/30 586,107 $187,193
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/32 15,205,000 $186,890
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/33 20,000,000 $204,794
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/36 1,133,000 $153,937
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/39 288,000 $105,855
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/41 1,878,046 $236,932
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/42 350,000 $151,738
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 3/15/32 15,667,000 $128,790
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 3/15/32 35,466,000 $226,801
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 3/15/38 2,600,000 $422,576
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 3/15/41 3,243,333 $467,205
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 4/15/27 22,817,000 $191,097
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 4/15/28 16,175,365 $187,106
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 4/15/36 728,000 $98,869
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 4/15/41 2,446,437 $298,510
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 5/15/36 2,159,000 $102,895
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 5/15/41 638,000 $75,292
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 6/15/36 1,288,000 $86,979
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 6/15/41 1,220,000 $228,891
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 7/15/23 835,000 $124,874
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 7/15/36 3,107,000 $175,256
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 8/15/18 600,000 $55,560
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 8/15/25 970,000 $210,475
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 8/15/26 370,000 $96,070
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 8/15/35 462,000 $68,211
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 8/15/36 5,044,000 $173,263
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 9/15/26 385,000 $174,003
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 9/15/33 2,647,000 $94,598
Federal National Mortgage Association, 1.233%, 3/25/18 500,000 $372,360
Federal National Mortgage Association, 2.0%, 8/1/23 2,390,000 $1,548,297
Federal National Mortgage Association, 2.5%, 4/25/36 635,000 $132,935
Federal National Mortgage Association, 2.5%, 9/1/22 3,000,000 $1,426,474
Federal National Mortgage Association, 2.75%, 6/25/20 1,750,000 $237,660
Federal National Mortgage Association, 3.0%, 12/1/21 2,000,000 $622,466
Federal National Mortgage Association, 3.0%, 6/25/39 5,000,000 $289,035
Federal National Mortgage Association, 3.5%, 7/25/24 1,250,000 $104,438
Federal National Mortgage Association, 4.0%, 1/1/20 7,280,000 $697,106
Federal National Mortgage Association, 4.0%, 10/1/20 4,317,004 $782,558
Federal National Mortgage Association, 4.0%, 3/1/21 4,071,760 $797,608
Federal National Mortgage Association, 4.0%, 8/1/19 2,761,217 $245,342
Federal National Mortgage Association, Floating Rate Note, 10/18/32 11,398,000 $274,994
Federal National Mortgage Association, Floating Rate Note, 11/25/27 15,797,000 $395,751
Federal National Mortgage Association, Floating Rate Note, 2/25/23 77,000,000 $295,193
Federal National Mortgage Association, Floating Rate Note, 3/25/18 8,811,000 $113,382
Federal National Mortgage Association, Floating Rate Note, 3/25/36 2,108,510 $331,740
Federal National Mortgage Association, Floating Rate Note, 4/25/33 36,000,000 $720,955
Federal National Mortgage Association, Floating Rate Note, 4/25/35 1,250,000 $198,673
Federal National Mortgage Association, Floating Rate Note, 6/25/32 21,270,000 $459,192
Federal National Mortgage Association, Floating Rate Note, 6/25/36 7,000,000 $590,627
Federal National Mortgage Association, Floating Rate Note, 8/25/35 2,868,000 $271,704
Federal National Mortgage Association, Floating Rate Note, 9/25/22 3,000,000 $80,113
Federal National Mortgage Association 2004-T2, Floating Rate Note, 7/25/43 6,750,000 $799,215
Federal National Mortgage Association REMICS, 1.5%, 11/25/20 745,000 $106,550
Federal National Mortgage Association REMICS, 1.75%, 12/25/22 1,000,000 $204,454
Federal National Mortgage Association REMICS, 3.0%, 1/25/21 4,450,000 $449,514
Federal National Mortgage Association REMICS, 3.0%, 4/25/40 1,110,000 $88,517
Federal National Mortgage Association REMICS, 3.5%, 10/25/39 490,000 $211,792
Federal National Mortgage Association REMICS, 5.0%, 9/25/39 110,000 $5,955
Federal National Mortgage Association REMICS, 6.0%, 6/25/29 685,000 $93,893
Federal National Mortgage Association REMICS, Floating Rate Note, 1/18/32 4,920,043 $54,317
Federal National Mortgage Association REMICS, Floating Rate Note, 1/25/33 2,782,000 $70,417
Federal National Mortgage Association REMICS, Floating Rate Note, 10/25/35 1,878,000 $137,717
Federal National Mortgage Association REMICS, Floating Rate Note, 10/25/36 11,844,000 $339,952
Federal National Mortgage Association REMICS, Floating Rate Note, 10/25/38 1,808,000 $137,080
Federal National Mortgage Association REMICS, Floating Rate Note, 10/27/37 1,458,920 $832,376
Federal National Mortgage Association REMICS, Floating Rate Note, 11/18/32 24,329,000 $350,045
Federal National Mortgage Association REMICS, Floating Rate Note, 11/25/36 2,248,000 $237,565
Federal National Mortgage Association REMICS, Floating Rate Note, 11/25/39 2,750,000 $316,352
Federal National Mortgage Association REMICS, Floating Rate Note, 12/18/32 18,035,000 $221,840
Federal National Mortgage Association REMICS, Floating Rate Note, 12/25/23 9,600,000 $491,204
Federal National Mortgage Association REMICS, Floating Rate Note, 12/25/31 4,375,000 $103,334
Federal National Mortgage Association REMICS, Floating Rate Note, 12/25/32 34,313,143 $537,026
Federal National Mortgage Association REMICS, Floating Rate Note, 12/25/37 5,672,000 $127,635
Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/33 4,696,499 $173,120
Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/35 603,000 $162,437
Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/37 4,308,000 $114,809
Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/37 1,940,000 $146,609
Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/38 624,000 $69,398
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/24 4,129,409 $124,776
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/34 4,612,000 $243,701
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/34 763,500 $155,264
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/35 1,278,000 $162,466
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/36 11,585,646 $1,012,573
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/37 960,000 $96,805
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/37 11,268,506 $193,308
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/37 4,100,000 $162,243
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/37 9,250,000 $210,239
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/45 6,100,000 $717,044
Federal National Mortgage Association REMICS, Floating Rate Note, 4/25/32 50,000,000 $475,993
Federal National Mortgage Association REMICS, Floating Rate Note, 4/25/32 10,133,000 $474,325
Federal National Mortgage Association REMICS, Floating Rate Note, 4/25/34 644,866 $55,277
Federal National Mortgage Association REMICS, Floating Rate Note, 4/25/36 1,737,000 $237,888
Federal National Mortgage Association REMICS, Floating Rate Note, 5/18/32 31,809,000 $499,336
Federal National Mortgage Association REMICS, Floating Rate Note, 5/25/17 20,000,000 $4,590
Federal National Mortgage Association REMICS, Floating Rate Note, 5/25/33 4,068,000 $76,215
Federal National Mortgage Association REMICS, Floating Rate Note, 5/25/36 6,641,000 $110,975
Federal National Mortgage Association REMICS, Floating Rate Note, 5/25/37 6,826,000 $137,773
Federal National Mortgage Association REMICS, Floating Rate Note, 5/25/40 761,373 $221,882
Federal National Mortgage Association REMICS, Floating Rate Note, 6/25/36 2,317,493 $167,370
Federal National Mortgage Association REMICS, Floating Rate Note, 6/25/37 2,134,162 $196,506
Federal National Mortgage Association REMICS, Floating Rate Note, 6/25/37 1,010,000 $70,191
Federal National Mortgage Association REMICS, Floating Rate Note, 6/25/37 4,600,000 $222,602
Federal National Mortgage Association REMICS, Floating Rate Note, 6/25/38 2,355,000 $78,483
Federal National Mortgage Association REMICS, Floating Rate Note, 7/25/34 1,642,000 $84,343
Federal National Mortgage Association REMICS, Floating Rate Note, 7/25/35 4,702,000 $365,065
Federal National Mortgage Association REMICS, Floating Rate Note, 7/25/35 750,000 $130,337
Federal National Mortgage Association REMICS, Floating Rate Note, 7/25/38 6,812,000 $301,779
Federal National Mortgage Association REMICS, Floating Rate Note, 8/25/40 1,922,000 $574,694
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/33 4,915,594 $386,547
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/36 1,275,000 $123,762
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/36 3,447,000 $125,046
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/37 679,000 $63,686
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/37 3,700,000 $260,281
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/37 2,706,000 $237,474
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/39 683,053 $68,475
FHLMC Structured Pass Through Securities, Floating Rate Note, 12/25/29 12,000,000 $168,635
Fieldstone Mortgage Investment Trust Series 2005-1, Floating Rate Note, 3/25/35 311,000 $27,736
Fifth Third Bancorp, Floating Rate Note, 12/20/16 1,440,000 $1,435,471
Fifth Third Bank Cincinnati Ohio, 1.15%, 11/18/16 750,000 $754,395
Fifth Third Bank Cincinnati Ohio, 1.35%, 6/1/17 485,000 $487,019
First Franklin Mortgage Loan Trust 2002-FFA, Floating Rate Note, 9/25/32 5,500,000 $173,340
First Franklin Mortgage Loan Trust 2003-FFC, Floating Rate Note, 11/25/32 8,000,000 $319,262
First Franklin Mortgage Loan Trust 2005-FFH3, Floating Rate Note, 9/25/35 1,100,000 $249,432
First Horizon Mortgage Pass-Through Trust 2004-AR1, Floating Rate Note, 2/25/34 1,500,000 $54,271
First Investors Auto Owner Trust 2013-1, 1.81%, 10/15/18 (144A) 55,000 $55,028
First Investors Auto Owner Trust 2013-1, 2.02%, 1/15/19 (144A) 200,000 $199,247
First Investors Auto Owner Trust 2013-2, 1.23%, 3/15/19 (144A) 1,070,000 $127,187
First Investors Auto Owner Trust 2013-3, 2.32%, 10/15/19 (144A) 300,000 $300,520
Flagship Credit Auto Trust 2013-1, 5.38%, 7/15/20 (144A) 700,000 $692,352
Flt% 15jun16 250,000 $252,650
Flt% 31mar19 600,000 $600,000
Fly Funding II Sarl, Loan, 8/9/19 355,000 $352,837
FMG Resources August 2006 Pty, Ltd., Loan, 6/30/19 53,950 $45,722
FNA 2015-1 Trust, 3.24%, 12/10/23 (144A) 750,000 $604,469
Foothill CLO, Ltd., Floating Rate Note, 2/22/21 (144A) 500,000 $29,598
Ford Credit Auto Owner Trust 2013-D, 1.54%, 3/15/19 100,000 $100,270
Ford Credit Floorplan Master Owner Trust A, 1.92%, 1/15/19 1,065,000 $1,070,657
Ford Motor Credit Co LLC, 1.7%, 5/9/16 500,000 $503,688
Ford Motor Credit Co LLC, 1.724%, 12/6/17 700,000 $698,695
Ford Motor Credit Co LLC, 2.375%, 1/16/18 250,000 $251,683
Ford Motor Credit Co LLC, 2.875%, 10/1/18 1,000,000 $1,032,549
Ford Motor Credit Co LLC, Floating Rate Note, 3/27/17 500,000 $497,682
Ford Motor Credit Co LLC, Floating Rate Note, 9/8/17 750,000 $741,116
Fosse Master Issuer Plc, Floating Rate Note, 10/18/54 (144A) 100,000 $54,779
Four Corners CLO II, Ltd., Floating Rate Note, 1/26/20 (144A) 553,000 $519,156
Freddie Mac, 1.4%, 7/15/23 1,250,000 $690,843
Freddie Mac, 2.0%, 11/15/20 1,500,000 $219,155
Freddie Mac, 2.0%, 2/15/25 8,900,000 $1,824,777
Freddie Mac, 2.0%, 8/15/20 1,130,000 $214,631
Freddie Mac, 3.0%, 2/15/24 1,000,000 $200,648
Freddie Mac, 3.5%, 10/15/28 8,520,000 $994,956
Freddie Mac, 4.0%, 5/15/37 600,000 $300,067
Freddie Mac, 4.5%, 11/15/24 8,412,372 $213,762
Freddie Mac, 4.5%, 2/15/20 40,325,969 $628,846
Freddie Mac, 4.5%, 3/15/19 875,000 $279,474
Freddie Mac, 5.0%, 10/15/26 1,205,000 $709,623
Freddie Mac, 5.5%, 12/15/22 600,000 $346,019
Freddie Mac REMICS, Floating Rate Note, 2/15/32 14,441,000 $667,851
Freddie Mac Strips, Floating Rate Note, 12/15/36 2,327,000 $92,188
Freddie Mac Strips, Floating Rate Note, 8/15/36 6,894,664 $229,299
Freddie Mac Structured Agency Credit Risk Debt Notes, Floating Rate Note, 11/25/23 750,000 $370,498
Freddie Mac Structured Agency Credit Risk Debt Notes, Floating Rate Note, 2/25/24 485,000 $320,043
Freddie Mac Structured Agency Credit Risk Debt Notes, Floating Rate Note, 7/25/28 700,000 $705,763
FREMF Mortgage Trust 2011-K703, Floating Rate Note, 7/25/44 (144A) 1,000,000 $1,046,288
FREMF Mortgage Trust 2012-K501, Floating Rate Note, 11/26/46 (144A) 409,000 $411,814
FREMF Mortgage Trust 2014-KF04 REMICS, Floating Rate Note, 6/25/21 (144A) 1,850,000 $1,270,516
FREMF Mortgage Trust 2014-KF05 REMICS, Floating Rate Note, 9/25/21 (144A) 700,000 $655,136
FREMF Mortgage Trust 2014-KS02 REMICS, Floating Rate Note, 8/25/23 (144A) 1,050,000 $1,021,787
GAHR Commercial Mortgage Trust 2015-NRF, Floating Rate Note, 12/15/16 (144A) 470,000 $462,069
Gale Force 3 Clo, Ltd., Floating Rate Note, 4/19/21 (144A) 500,000 $195,337
Gale Force 3 Clo, Ltd., Floating Rate Note, 4/19/21 (144A) 750,000 $662,536
Galileo Re, Ltd., Floating Rate Note, 1/9/17 (Cat Bond) (144A) 500,000 $514,075
Garda World Security Corp., Term B Delayed Draw Loan, 11/8/20 121,315 $116,841
Garda World Security Corp., Term B Loan, 11/1/20 474,230 $456,743
Gator Re, Ltd., Floating Rate Note, 1/9/17 (Cat Bond) (144A) 600,000 $589,741
GATX Corp., 1.25%, 3/4/17 750,000 $745,447
GCAT 2015-1 LLC, 3.625%, 5/26/20 (Step) (144A) 300,000 $206,457
GCI Holdings, Inc., New Term B Loan, 2/2/22 371,250 $371,714
GE Capital International Funding Co., 0.964%, 4/15/16 (144A) 814,000 $817,423
General Electric Co., Floating Rate Note, 5/15/17 750,000 $751,933
Georgia Power Co., Floating Rate Note, 8/15/16 500,000 $500,622
Gilead Sciences, Inc., 1.85%, 9/4/18 750,000 $764,265
GLC Trust 2013-1, 3.0%, 7/15/21 (144A) 1,000,000 $323,737
Glencore Funding LLC, Floating Rate Note, 5/27/16 (144A) 1,000,000 $997,606
Global Container Assets 2013-1, Ltd., 2.2%, 11/6/28 (144A) 750,000 $197,301
Global Mortgage Securitization, Ltd., 5.25%, 4/25/32 795,156 $178,904
Global Mortgage Securitization, Ltd., Floating Rate Note, 4/25/32 10,483,000 $621,699
GMACM Mortgage Loan Trust 2004-AR1, Floating Rate Note, 6/25/34 2,100,000 $194,605
GMAT 2013-1 Trust, 3.9669%, 8/25/53 (Step) 1,505,000 $672,993
GMAT 2015-1 Trust, 4.25%, 9/25/20 (Step) (144A) 1,000,000 $867,529
GO Financial Auto Securitization Trust 2015-2, 3.27%, 11/15/18 (144A) 750,000 $558,248
Golden State RE II, Ltd., Floating Rate Note, 1/8/19 (Cat Bond) (144A) 750,000 $742,150
Government National Mortgage Association, 3.0%, 12/20/38 1,000,000 $67,253
Government National Mortgage Association, 3.0%, 4/20/41 300,000 $202,763
Government National Mortgage Association, 3.5%, 5/20/39 1,550,000 $481,507
Government National Mortgage Association, 3.5%, 8/20/38 1,115,000 $192,766
Government National Mortgage Association, 4.5%, 7/20/21 1,660,000 $904,001
Government National Mortgage Association, 5.0%, 4/20/36 850,000 $55,755
Government National Mortgage Association, Floating Rate Note, 1/16/35 2,563,000 $216,178
Government National Mortgage Association, Floating Rate Note, 1/16/40 2,000,000 $531,706
Government National Mortgage Association, Floating Rate Note, 12/16/26 48,900,000 $692,669
Government National Mortgage Association, Floating Rate Note, 2/16/30 14,415,492 $166,061
Government National Mortgage Association, Floating Rate Note, 2/20/35 2,059,000 $209,404
Government National Mortgage Association, Floating Rate Note, 2/20/38 2,477,000 $156,240
Government National Mortgage Association, Floating Rate Note, 4/16/31 12,627,242 $213,097
Government National Mortgage Association, Floating Rate Note, 4/16/32 10,000,000 $117,007
Government National Mortgage Association, Floating Rate Note, 4/16/32 37,883,000 $558,799
Government National Mortgage Association, Floating Rate Note, 5/16/33 15,642,835 $589,543
Government National Mortgage Association, Floating Rate Note, 6/16/32 35,000,000 $640,273
Government National Mortgage Association, Floating Rate Note, 8/20/40 1,000,000 $385,616
Government National Mortgage Association I, 5.0%, 8/15/19 1,347,915 $231,269
Government National Mortgage Association I, 6.0%, 11/15/36 2,000,000 $130,149
Government National Mortgage Association I, 6.0%, 12/15/31 1,500,000 $60,635
Government National Mortgage Association I, 6.0%, 3/15/17 10,311,138 $46,763
Government National Mortgage Association I, 6.5%, 10/15/37 400,000 $33,434
Government National Mortgage Association I, 6.5%, 5/15/31 3,183,996 $30,315
Government National Mortgage Association I, 6.5%, 7/15/35 328,670 $8,175
Government National Mortgage Association I, 7.5%, 10/15/36 1,000,000 $60,139
Government National Mortgage Association II, 6.0%, 10/20/21 3,113,223 $210,865
Government National Mortgage Association II, 6.0%, 11/20/22 1,986,670 $171,225
Government National Mortgage Association II, 6.0%, 4/20/22 1,262,566 $150,909
Government National Mortgage Association II, 6.0%, 8/20/19 2,911,151 $89,718
Government National Mortgage Association REMICS, 2.0%, 1/16/46 3,000,000 $2,306,163
Government National Mortgage Association REMICS, 4.0%, 9/20/37 4,000,000 $1,744,005
GP Portfolio Trust 2014-GGP, Floating Rate Note, 2/16/27 (144A) 1,000,000 $980,603
Granite Acquisition, Inc., Term B Loan (First Lien), 10/15/21 945,881 $885,976
Granite Acquisition, Inc., Term C Loan (First Lien), 10/15/21 42,146 $39,476
Gray Television, Inc., Initial Term Loan, 6/10/21 801,032 $800,231
Green Tree Agency Advance Funding Trust I Series 2015-T1, 2.3019%, 10/15/46 (144A) 300,000 $299,923
GSAA Home Equity Trust 2004-6, Floating Rate Note, 6/25/34 15,032,940 $299,901
GSAA Trust, Floating Rate Note, 6/25/35 1,900,000 $23,630
GSAA Trust, Floating Rate Note, 6/25/35 440,000 $244,915
GSAMP Trust 2005-HE1, Floating Rate Note, 12/25/34 1,210,753 $90,117
GSAMP Trust 2006-SEA1, Floating Rate Note, 5/25/36 (144A) 5,518,315 $179,539
GS Caltex Corp., 3.25%, 10/1/18 (144A) 500,000 $520,046
GS Mortgage Securities Corp Trust 2016-ICE2, Floating Rate Note, 2/15/33 (144A) 1,000,000 $1,001,375
GS Mortgage Securities Trust 2007-GG10 REMICS, Floating Rate Note, 8/10/45 1,000,000 $910,181
GS Mortgage Securities Trust 2014-GSFL, Floating Rate Note, 7/15/31 (144A) 495,000 $493,807
GSRPM Mortgage Loan Trust 2003-2, Floating Rate Note, 6/25/33 393,823 $195,410
GSRPM Mortgage Loan Trust 2006-1, Floating Rate Note, 3/25/35 (144A) 1,201,850 $128,188
GSRPM Mortgage Loan Trust 2006-2, Floating Rate Note, 9/25/36 (144A) 1,226,000 $114,046
GTP Acquisition Partners I LLC, 2.35%, 6/15/45 (144A) 1,000,000 $985,064
Halyard Health, Inc., Term Loan, 10/3/21 260,788 $260,545
HarborView Mortgage Loan Trust 2004-1, Floating Rate Note, 4/19/34 3,987,000 $148,617
Hertz Fleet Lease Funding LP, Floating Rate Note, 12/10/27 (144A) 600,000 $597,734
Hertz Fleet Lease Funding LP, Floating Rate Note, 4/10/28 (144A) 300,000 $169,480
Hess Corp., 1.3%, 6/15/17 750,000 $744,034
Hilton Grand Vacations Trust 2014-A, 2.07%, 11/25/26 (144A) 750,000 $452,317
Hilton USA Trust 2013-HLF, Floating Rate Note, 11/5/30 (144A) 1,290,000 $1,165,379
Hilton Worldwide Finance LLC, Initial Term Loan, 9/23/20 322,434 $322,918
Holmes Master Issuer Plc, Floating Rate Note, 10/15/54 (144A) 250,000 $257,897
HomeBanc Mortgage Trust 2004-2, Floating Rate Note, 12/25/34 5,547,000 $545,244
Home Equity Asset Trust 2006-4, Floating Rate Note, 8/25/36 253,896 $32,723
Home Equity Asset Trust 2006-8, Floating Rate Note, 3/25/37 1,394,318 $168,188
Home Equity Mortgage Trust, 5.821%, 4/25/35 (Step) 1,000,000 $195,206
Home Loan Trust 2003-HI1, 5.77%, 4/25/28 (Step) 1,500,000 $55,474
Home Partners of America 2016-1 Trust, Floating Rate Note, 3/18/33 (144A) 400,000 $385,864
Homestar Mortgage Acceptance Corp., Floating Rate Note, 1/25/35 3,700,000 $26,787
Homestar Mortgage Acceptance Corp., Floating Rate Note, 3/25/34 25,588,000 $1,122,588
Homestar Mortgage Acceptance Corp., Floating Rate Note, 6/25/34 3,670,962 $203,958
Homestar Mortgage Acceptance Corp., Floating Rate Note, 7/25/34 2,600,000 $151,320
Homestar Mortgage Acceptance Corp. REMICS, Floating Rate Note, 9/25/34 1,510,000 $304,796
Honda Auto Receivables 2013-2 Owner Trust, 0.53%, 2/16/17 285,000 $17,988
Horizon Funding Trust 2013-1, 3.0%, 5/15/18 (144A) 585,000 $56,386
HSBC Home Equity Loan Trust USA 2006-3, Floating Rate Note, 3/20/36 1,905,000 $730,778
HSBC USA, Inc., Floating Rate Note, 6/23/17 750,000 $746,576
HSI Asset Securitization Corp Trust 2006-OPT1, Floating Rate Note, 12/25/35 450,623 $76,746
Huntsman International LLC, 2014-1 Incremental Term Loan, 9/30/21 543,125 $540,070
Hyundai Auto Receivables Trust 2014-B, 2.1%, 11/15/19 500,000 $498,410
Hyundai Capital America, 1.875%, 8/9/16 (144A) 500,000 $502,271
Hyundai Capital America, 3.75%, 4/6/16 (144A) 1,375,000 $1,400,185
Ibis Re II, Ltd., Floating Rate Note, 6/28/16 (Cat Bond) (144A) 1,000,000 $1,007,867
Ibis Re II, Ltd., Floating Rate Note, 6/28/16 (Cat Bond) (144A) 250,000 $252,475
ICBCIL Finance Co, Ltd., Floating Rate Note, 11/13/18 (144A) 750,000 $753,617
Impac CMB Trust Series 2004-4, Floating Rate Note, 9/25/34 14,479,489 $496,782
Impac CMB Trust Series 2004-4, Floating Rate Note, 9/25/34 32,445,000 $1,108,814
Impac CMB Trust Series 2004-6, Floating Rate Note, 10/25/34 2,344,000 $94,779
Impac CMB Trust Series 2004-8, Floating Rate Note, 8/25/34 590,000 $61,383
Impac CMB Trust Series 2005-4, Floating Rate Note, 5/25/35 6,960,000 $607,632
Impac Secured Assets CMN Owner Trust, Floating Rate Note, 2/25/35 4,622,000 $780,253
Impac Secured Assets Trust 2006-5, Floating Rate Note, 12/25/36 2,600,000 $433,195
IndyMac INDX Mortgage Loan Trust 2004-AR6, Floating Rate Note, 10/25/34 1,275,000 $106,728
ING Bank NV, Floating Rate Note, 3/22/19 (144A) 600,000 $600,285
Intel Corp., 1.35%, 12/15/17 700,000 $708,469
Invitation Homes 2013-SFR1 Trust, Floating Rate Note, 12/19/30 (144A) 750,000 $725,230
Invitation Homes 2014-SFR2 Trust, Floating Rate Note, 9/18/31 (144A) 600,000 $585,516
Inwood Park CDO, Ltd., Floating Rate Note, 1/20/21 (144A) 1,000,000 $171,282
Irwin Home Equity Loan Trust 2005-1, 5.32%, 6/25/35 (Step) 900,000 $27,177
Irwin Whole Loan Home Equity Trust 2003-C, Floating Rate Note, 6/25/28 3,923,500 $184,042
Irwin Whole Loan Home Equity Trust 2003-C, Floating Rate Note, 6/25/28 2,350,000 $319,722
Irwin Whole Loan Home Equity Trust 2003-D, Floating Rate Note, 11/25/28 2,250,000 $102,362
Irwin Whole Loan Home Equity Trust 2005-B, Floating Rate Note, 12/25/29 1,775,000 $556,744
IXIS Real Estate Capital Trust 2005-HE4, Floating Rate Note, 2/25/36 250,000 $20,851
JBS USA LLC, Incremental Term Loan, 9/18/20 195,500 $194,645
John Deere Capital Corp., 1.05%, 10/11/16 1,098,000 $1,104,868
John Deere Capital Corp., 1.05%, 12/15/16 750,000 $753,538
John Deere Capital Corp., Floating Rate Note, 10/11/16 1,090,000 $1,093,387
Johnson Controls, Inc., 1.4%, 11/2/17 700,000 $703,194
JPMorgan Chase & Co., Floating Rate Note, 2/15/17 500,000 $501,086
JPMorgan Chase & Co., Floating Rate Note, 2/25/21 500,000 $490,254
JPMorgan Chase Bank NA, Floating Rate Note, 6/13/16 610,000 $610,344
JP Morgan Chase Commercial Mortgage Securities Trust 2004-LN2, Floating Rate Note, 7/15/41 (144A) 637,677 $69,678
JP Morgan Chase Commercial Mortgage Securities Trust 2006-LDP6, Floating Rate Note, 4/15/43 500,000 $382,888
JP Morgan Chase Commercial Mortgage Securities Trust 2006-LDP9, Floating Rate Note, 5/15/47 250,000 $83,757
JP Morgan Chase Commercial Mortgage Securities Trust 2007-CIBC18, 5.44%, 6/12/47 800,000 $729,168
JP Morgan Chase Commercial Mortgage Securities Trust 2010-C2, 3.6159%, 11/15/43 (144A) 1,200,000 $1,231,498
JP Morgan Chase Commercial Mortgage Securities Trust 2014-BXH, Floating Rate Note, 4/15/27 (144A) 1,670,000 $1,642,428
JP Morgan Chase Commercial Mortgage Securities Trust 2014-CBM, Floating Rate Note, 10/15/29 (144A) 700,000 $679,504
JP Morgan Chase Commercial Mortgage Securities Trust 2014-FL4, Floating Rate Note, 12/16/30 (144A) 410,000 $339,124
JP Morgan Chase Commercial Mortgage Securities Trust 2014-FL5, Floating Rate Note, 7/15/31 (144A) 490,000 $484,423
JP Morgan Chase Commercial Mortgage Securities Trust 2014-FL5 REMICS, Floating Rate Note, 7/15/31 (1 650,000 $636,142
JP Morgan Chase Commercial Mortgage Securities Trust 2014-FL6, Floating Rate Note, 11/17/31 (144A) 1,170,000 $1,085,148
JP Morgan Chase Commercial Mortgage Securities Trust 2014-INN, Floating Rate Note, 6/15/29 (144A) 650,000 $622,092
JP Morgan Chase Commercial Mortgage Securities Trust 2014-INN, Floating Rate Note, 6/15/29 (144A) 900,000 $879,106
JP Morgan Chase Commercial Mortgage Securities Trust 2014-PHH, Floating Rate Note, 8/16/27 (144A) 1,100,000 $1,075,575
JP Morgan Chase Commercial Mortgage Securities Trust 2015-COSMO, Floating Rate Note, 1/15/32 (144A) 1,200,000 $1,169,517
JP Morgan Chase Commercial Mortgage Securities Trust 2015-FL7, Floating Rate Note, 5/15/28 (144A) 850,000 $833,313
JP Morgan Chase Commercial Mortgage Securities Trust 2015-SGP, Floating Rate Note, 7/15/36 (144A) 500,000 $496,191
JP Morgan Mortgage Acquisition Trust 2006-ACC1, Floating Rate Note, 5/25/36 704,088 $94,116
JP Morgan Mortgage Trust 2004-A1, Floating Rate Note, 2/25/34 3,584,000 $234,985
JP Morgan Mortgage Trust 2004-S1, 5.0%, 9/25/34 3,504,124 $106,594
JP Morgan Mortgage Trust 2005-A3, Floating Rate Note, 6/25/35 6,041,179 $419,470
JP Morgan Mortgage Trust 2006-S3, 6.0%, 8/25/36 1,036,158 $69
JP Morgan Seasoned Mortgage Trust 2014-1, Floating Rate Note, 5/25/33 (144A) 1,475,000 $1,227,461
Kane Sac Zero% 15jun16 100,000 $99,980
Kane Zero% 29apr16 800,000 $21,600
KeyBank NA Cleveland Ohio, 1.1%, 11/25/16 500,000 $502,255
KeyBank NA Cleveland Ohio, 1.65%, 2/1/18 1,000,000 $1,003,366
KeyBank NA Cleveland Ohio, 2.35%, 3/8/19 600,000 $606,338
Kilimanjaro Re, Ltd., Floating Rate Note, 11/25/19 (Cat Bond) (144A) 750,000 $748,934
Kilimanjaro Re, Ltd., Floating Rate Note, 12/6/19 (Cat Bond) (144A) 250,000 $257,853
Kilimanjaro Re, Ltd., Floating Rate Note, 12/6/19 (Cat Bond) (144A) 250,000 $255,850
Kilimanjaro Re, Ltd., Floating Rate Note, 4/30/18 (Cat Bond) (144A) 350,000 $351,671
Kilimanjaro Re, Ltd., Floating Rate Note, 4/30/18 (Cat Bond) (144A) 650,000 $656,115
Kinder Morgan, Inc. Delaware, 2.0%, 12/1/17 700,000 $697,166
Kindred Healthcare, Inc., New Term Loan, 4/10/21 271,545 $264,417
Kinetic Concepts, Inc., Dollar Term E-1 Loan, 5/4/18 740,530 $737,406
Kizuna Re II, Ltd., Floating Rate Note, 4/6/18 (Cat Bond) (144A) 450,000 $450,759
KKR Financial CLO 2007-1, Ltd., Floating Rate Note, 5/15/21 (144A) 375,000 $369,258
L-3 Communications Corp., 1.5%, 5/28/17 586,000 $586,995
La Hipotecaria Panamanian Mortgage Trust 2007-1, Floating Rate Note, 12/23/36 (144A) 1,400,000 $532,335
Lanark Master Issuer Plc, Floating Rate Note, 12/22/54 (144A) 250,000 $198,758
LB-UBS Commercial Mortgage Trust 2004-C1, 4.568%, 1/15/31 275,000 $16,331
LB-UBS Commercial Mortgage Trust 2006-C4, Floating Rate Note, 6/15/38 1,250,000 $1,251,333
LCM X LP, Floating Rate Note, 4/15/22 (144A) 500,000 $435,342
Leaf Receivables Funding 8 LLC, 2.67%, 9/15/20 (144A) 311,966 $72,471
Lehman ABS Manufactured Housing Contract Trust 2002-A, Floating Rate Note, 6/15/33 19,804,000 $546,475
Lehman Brothers Small Balance Commercial, Floating Rate Note, 4/25/31 (144A) 2,843,000 $252,500
Lehman Brothers Small Balance Commercial, Floating Rate Note, 4/25/31 (144A) 3,723,496 $276,622
Lehman Brothers Small Balance Commercial Mortgage Trust 2007-3, Floating Rate Note, 10/25/37 (144A) 885,400 $117,174
Lehman Brothers Small Balance Commercial Mortgage Trust 2007-3, Floating Rate Note, 10/25/37 (144A) 466,904 $185,998
Level 3 Financing, Inc., Tranche B-II 2022 Term Loan, 5/31/22 225,000 $224,883
Live Nation Entertainment, Inc., Term B-1 Loan, 8/17/20 505,050 $506,102
Longpoint Re, Ltd. III, Floating Rate Note, 5/18/16 (Cat Bond) (144A) 2,000,000 $2,009,467
Longpoint Re, Ltd. III, Floating Rate Note, 5/23/18 (Cat Bond) (144A) 750,000 $760,347
LPL Holdings, Inc., 2021 Tranche B Term Loan, 3/29/21 144,788 $140,444
LSTAR Securities Investment, Ltd. 2015-8, Floating Rate Note, 8/3/20 (144A) 650,000 $589,132
LSTAR Securities Investment 2016-1, Floating Rate Note, 1/1/21 (144A) 1,350,000 $1,295,787
LSTAR Securities Investment Trust 2014-2, Floating Rate Note, 11/1/19 (144A) 1,851,000 $1,491,745
LSTAR Securities Investment Trust 2015-1, Floating Rate Note, 1/2/20 (144A) 1,150,000 $1,019,910
LSTAR Securities Investment Trust 2015-3, Floating Rate Note, 3/2/20 (144A) 1,150,000 $1,017,883
LSTAR Securities Investment Trust 2015-4, Floating Rate Note, 4/1/20 (144A) 1,000,000 $867,657
LSTAR Securities Investment Trust 2015-5, Floating Rate Note, 4/1/20 (144A) 1,275,000 $799,698
LSTAR Securities Investment Trust 2015-7, Floating Rate Note, 7/1/17 (144A) 1,000,000 $897,673
MacDermid, Inc., Tranche B-3 Term Loan, 6/7/20 497,500 $481,759
MacDermid, Inc., Tranche B Term Loan (First Lien), 6/7/20 1,232,262 $1,193,498
MA FinanceCo LLC, Initial Tranche B Term Loan, 10/7/21 349,941 $350,116
Mallinckrodt International Finance SA, Initial Term B Loan, 3/6/21 294,000 $284,760
Manufacturers & Traders Trust Co., Floating Rate Note, 1/30/17 500,000 $500,183
Manufacturers & Traders Trust Co., Floating Rate Note, 7/25/17 1,000,000 $998,777
Marriott Vacation Club Owner Trust 2012-1, 3.5%, 5/20/30 (144A) 845,000 $312,282
Massachusetts Port Authority, 5.0%, 7/1/16 475,000 $486,096
MASTR Alternative Loan Trust 2005-1, Floating Rate Note, 2/25/35 6,760,000 $308,681
Mastr Asset Backed Securities Trust 2006-AB1 REMICS, Floating Rate Note, 2/25/36 3,670,545 $391,950
Mastr Asset Backed Securities Trust 2006-NC1, Floating Rate Note, 1/25/36 1,567,646 $21,919
MASTR Asset Securitization Trust 2003-6, Floating Rate Note, 7/25/18 2,444,000 $35,271
Mastr Specialized Loan Trust, Floating Rate Note, 1/25/36 (144A) 3,644,114 $217,167
McKesson Corp., 1.292%, 3/10/17 1,200,000 $1,203,086
Mediacom Illinois LLC, Tranche F Term Loan, 3/31/18 392,000 $385,998
Medtronic, Inc., Floating Rate Note, 3/15/20 620,000 $618,826
Merna Re V, Ltd., Floating Rate Note, 4/7/17 (Cat Bond) (144A) 650,000 $650,462
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-A, Floating Rate Note, 3/25/28 10,213,000 $240,071
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-A, Floating Rate Note, 3/25/28 15,000,000 $482,494
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-B, Floating Rate Note, 4/25/28 9,700,000 $347,365
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-C, Floating Rate Note, 6/25/28 9,455,006 $260,775
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-C REMICS, Floating Rate Note, 6/25/28 13,450,000 $494,606
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-E, Floating Rate Note, 10/25/28 8,393,000 $306,134
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-G, Floating Rate Note, 1/25/29 3,592,000 $40,373
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-G, Floating Rate Note, 1/25/29 3,360,000 $149,971
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-H, Floating Rate Note, 1/25/29 6,910,000 $311,781
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-A REMICS, Floating Rate Note, 4/25/29 14,857,948 $597,427
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-C, Floating Rate Note, 7/25/29 11,317,000 $438,024
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-E, Floating Rate Note, 11/25/29 13,874,000 $502,382
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-G, Floating Rate Note, 1/25/30 5,058,000 $221,499
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-G, Floating Rate Note, 1/25/30 17,199,975 $502,388
Merrill Lynch Mortgage Investors Trust Series MLCC 2005-A, Floating Rate Note, 3/25/30 7,567,883 $340,824
Merrill Lynch Mortgage Trust 2005-CKI1, Floating Rate Note, 11/12/37 550,000 $277,590
Merrill Lynch Mortgage Trust 2006-C2, Floating Rate Note, 8/12/43 1,150,000 $1,161,245
Merrill Lynch Mortgage Trust 2007-C1, Floating Rate Note, 6/12/50 1,000,000 $1,034,345
MetroCat Re, Ltd., Floating Rate Note, 8/5/16 (Cat Bond) (144A) 400,000 $405,250
Metropolitan Life Global Funding I, Floating Rate Note, 7/15/16 (144A) 300,000 $301,126
MGM Resorts International, Term B Loan, 12/20/19 338,625 $338,343
Micron Semiconductor Asia Pte, Ltd., 1.258%, 1/15/19 500,000 $299,925
Milacron LLC, Term Loan, 9/28/20 326,836 $325,201
ML-CFC Commercial Mortgage Trust 2006-2, Floating Rate Note, 6/12/46 800,000 $807,840
Monsanto Co., 1.15%, 6/30/17 1,000,000 $1,000,932
Morgan Stanley, Floating Rate Note, 1/5/18 750,000 $749,871
Morgan Stanley, Floating Rate Note, 11/9/18 275,000 $282,492
Morgan Stanley, Floating Rate Note, 2/1/19 500,000 $506,551
Morgan Stanley, Floating Rate Note, 6/6/16 500,000 $498,940
Morgan Stanley ABS Capital I Inc Trust 2004-SD3, Floating Rate Note, 6/25/34 (144A) 13,470,000 $150,764
Morgan Stanley ABS Capital I Inc Trust 2005-NC2, Floating Rate Note, 3/25/35 627,000 $214,405
Morgan Stanley Capital I Trust 2006-HQ9, Floating Rate Note, 7/12/44 600,000 $605,345
Morgan Stanley Capital I Trust 2006-TOP23, Floating Rate Note, 8/12/41 650,000 $216,855
Morgan Stanley Capital I Trust 2007-HQ13, 5.569%, 12/15/44 500,000 $472,237
Morgan Stanley Capital I Trust 2007-TOP27 REMICS, Floating Rate Note, 6/11/42 1,000,000 $1,018,357
Morgan Stanley Capital I Trust 2015-XLF1, Floating Rate Note, 8/14/31 (144A) 500,000 $494,264
Morgan Stanley Capital I Trust 2015-XLF1, Floating Rate Note, 8/17/26 (144A) 600,000 $600,903
Morgan Stanley Home Equity Loan Trust 2005-4, Floating Rate Note, 9/25/35 1,558,243 $495,867
Morgan Stanley Mortgage Loan Trust 2005-5AR, Floating Rate Note, 9/25/35 16,044,000 $743,850
Morgan Stanley Mortgage Loan Trust 2005-6AR, Floating Rate Note, 11/25/35 4,441,000 $427,317
Morgan Stanley Mortgage Loan Trust 2005-6AR, Floating Rate Note, 11/25/35 3,786,000 $184,161
MortgageIT Trust 2004-1, Floating Rate Note, 11/25/34 6,767,000 $692,804
MortgageIT Trust 2004-2, Floating Rate Note, 12/25/34 5,310,000 $568,202
MPG Holdco I, Inc., Tranche B-1 Term Loan (2015), 10/20/21 464,190 $458,968
MUFG Union Bank NA, 2.625%, 9/26/18 1,000,000 $1,018,202
MUFG Union Bank NA, Floating Rate Note, 9/26/16 1,450,000 $1,452,895
MVW Owner Trust 2014-1, 2.7%, 9/22/31 (144A) 750,000 $517,157
Mythen Re, Ltd. Series 2012-2 Class A, Floating Rate Note, 1/5/17 (Cat Bond) (144A) 500,000 $520,543
National City Bank Cleveland Ohio, Floating Rate Note, 12/15/16 250,000 $249,488
National Oilwell Varco, Inc., 1.35%, 12/1/17 775,000 $761,599
National Rural Utilities Cooperative Finance Corp., Floating Rate Note, 11/23/16 500,000 $500,568
Nations Equipment Finance Funding III LLC, 3.61%, 2/22/21 (144A) 500,000 $425,683
Nations Equipment Finance Funding II LLC, 3.276%, 1/22/19 (144A) 500,000 $469,984
Navios Maritime Partners LP, Term Loan, 6/27/18 432,596 $382,848
Navistar, Inc., Tranche B Term Loan, 8/17/17 399,000 $365,417
Navitas Equipment Receivables LLC 2013-1, 3.63%, 2/15/17 650,000 $651,574
Navitas Equipment Receivables LLC 2015-1, 3.4%, 11/15/18 (144A) 500,000 $498,925
NCF Dealer Floorplan Master Trust, Floating Rate Note, 10/20/20 (144A) 750,000 $750,483
NCUA Guaranteed Notes Trust REMICS, Floating Rate Note, 3/9/21 800,000 $266,991
New Century Home Equity Loan Trust, Floating Rate Note, 8/25/34 2,500,000 $113,918
New Century Home Equity Loan Trust 2005-1, Floating Rate Note, 3/25/35 2,101,000 $333,000
NewStar Commercial Lease Funding 2015-1 LLC, 3.27%, 4/15/19 (144A) 1,200,000 $752,558
NewStar Commercial Loan Trust 2007-1, Floating Rate Note, 9/30/22 (144A) 10,500,000 $529,403
New York Life Global Funding, 1.125%, 3/1/17 (144A) 800,000 $802,854
New York Life Global Funding, 1.45%, 12/15/17 (144A) 750,000 $754,203
New York Life Global Funding, Floating Rate Note, 5/23/16 (144A) 1,050,000 $1,052,502
NextEra Energy Capital Holdings, Inc., 2.056%, 9/1/17 750,000 $755,336
NextEra Energy Capital Holdings, Inc., 2.3%, 4/1/19 600,000 $603,512
Nissan Motor Acceptance Corp., 2.65%, 9/26/18 (144A) 1,000,000 $1,022,375
Nissan Motor Acceptance Corp., Floating Rate Note, 3/3/17 (144A) 500,000 $500,664
NN, Inc., Initial Term Loan, 10/2/22 497,500 $490,038
Nomura Asset Acceptance Corp Alternative Loan Trust Series 2003-A3, 5.5%, 8/25/33 (Step) 3,120,000 $148,317
Nomura Resecuritization Trust 2014-1R, Floating Rate Note, 10/26/36 (144A) 700,000 $342,321
Nord Anglia Education Finance LLC, Initial Term Loan, 3/21/21 742,443 $729,451
Nordea Bank AB, 3.125%, 3/20/17 (144A) 600,000 $611,900
Nordea Bank AB, Floating Rate Note, 5/13/16 (144A) 250,000 $250,464
Nordea Bank Finland Plc New York, Floating Rate Note, 6/13/16 1,000,000 $1,000,991
North American Development Bank, 2.3%, 10/10/18 650,000 $673,303
Northshore Re, Ltd., Floating Rate Note, 7/5/16 (Cat Bond) (144A) 500,000 $511,863
NorthStar 2013-1, Floating Rate Note, 8/27/29 (144A) 778,000 $156,020
NovaStar Mortgage Funding Trust Series 2004-3, Floating Rate Note, 12/25/34 560,000 $527,006
NovaStar Mortgage Funding Trust Series 2004-4, Floating Rate Note, 3/25/35 1,457,000 $1,437,745
Nsany Cp Zero% 05apr16 Usd 700,000 $699,957
NSG Holdings LLC, New Term Loan, 12/11/19 179,872 $175,375
NSTAR Electric Co., Floating Rate Note, 5/17/16 341,000 $341,361
NYSE Holdings LLC, 2.0%, 10/5/17 150,000 $152,683
Ocwen Master Advance Receivables Trust, 2.532%, 11/15/46 (144A) 800,000 $799,900
On Assignment, Inc., Initial Term B Loan, 6/5/22 109,869 $110,235
OneMain Financial Issuance Trust 2015-1, 3.19%, 3/18/26 (144A) 300,000 $297,370
ONEOK Partners LP, 6.15%, 10/1/16 720,000 $761,079
On Semiconductor Corporation 1st Lien Tl-B L + 4.5% 31mar23 200,000 $200,700
Ooredoo International Finance, Ltd., 3.375%, 10/14/16 (144A) 500,000 $512,365
Opteum Mortgage Acceptance Corp Trust 2005-4, Floating Rate Note, 11/25/35 7,136,000 $982,487
Opteum Mortgage Acceptance Corp Trust 2005-4, Floating Rate Note, 11/25/35 7,189,000 $1,015,936
Option One Mortgage Loan Trust 2005-4 Asset-Backed Certificates Series 2005-4, Floating Rate Note, 1 5,875,000 $268,598
Option One Woodbridge Loan Trust 2002-1, Floating Rate Note, 3/25/32 (144A) 1,370,736 $87,769
Oracle Corp., 2.25%, 10/8/19 300,000 $312,742
Oracle Corp., 2.375%, 1/15/19 500,000 $520,824
Oracle Corp., Floating Rate Note, 7/7/17 575,000 $576,863
Orange Lake Timeshare Trust 2012-A, 4.87%, 3/10/27 (144A) 600,000 $180,446
ORES 2014-LV3 LLC, 3.0%, 3/27/24 (144A) 1,050,000 $208,309
ORES NPL 2013-LV2 LLC, 3.081%, 9/25/25 (144A) 430,000 $14,343
Oscar US Funding Trust 2014-1, 1.0%, 8/15/17 (144A) 700,000 $150,261
Oscar US Funding Trust IV, Floating Rate Note, 7/15/20 (144A) 500,000 $500,089
Outfront Media Capital LLC, Term Loan, 1/15/21 328,125 $327,031
PACCAR Financial Corp., Floating Rate Note, 6/6/17 485,000 $484,843
Pangaea Zero% 01jul18 700,000 $12,600
Park Place Securities Inc Asset-Backed Pass-Through Certificates Series 2004-MHQ, Floating Rate Note 1,330,000 $835,923
Park Place Securities Inc Asset-Backed Pass-Through Ctfs Ser 2005-WHQ4, Floating Rate Note, 9/25/35 1,793,831 $296,037
Party City Holdings, Inc., Term Loan, 8/6/22 498,750 $495,477
PennUnion Re, Ltd., Floating Rate Note, 12/7/18 (Cat Bond) (144A) 500,000 $501,963
Perrigo Co Plc, 2.3%, 11/8/18 605,000 $609,945
Pfizer, Inc., Floating Rate Note, 5/15/17 750,000 $748,436
PFS Financing Corp., Floating Rate Note, 2/15/19 (144A) 575,000 $573,150
PFS Financing Corp., Floating Rate Note, 2/18/20 (144A) 750,000 $749,814
PFS Tax Lien Trust 2014-1, 1.44%, 5/15/29 600,000 $263,795
Phillips 66, 2.95%, 5/1/17 750,000 $773,042
PNC Bank NA, 1.125%, 1/27/17 450,000 $451,385
PNC Bank NA, 1.3%, 10/3/16 550,000 $554,617
PNC Bank NA, 1.6%, 6/1/18 600,000 $604,938
PNC Bank NA, 5.25%, 1/15/17 490,000 $510,790
PNC Bank NA, Floating Rate Note, 8/1/17 750,000 $747,980
Popular ABS Mortgage Pass-Through Trust 2004-4, 4.708383%, 9/25/34 (Step) 1,415,000 $367,314
Post Holdings, Inc., Series A Incremental Term Loan, 5/23/21 177,902 $178,550
Precision Castparts Corp., 1.25%, 1/15/18 500,000 $501,675
Prestige Brands, Inc., Term B-3 Loan, 9/3/21 254,177 $254,733
Pretium Mortgage Credit Partners LLC, 4.375%, 2/27/31 (Step) (144A) 750,000 $748,793
Pricoa Global Funding I, Floating Rate Note, 6/24/16 (144A) 500,000 $500,155
Principal Life Global Funding II, 1.2%, 5/19/17 (144A) 750,000 $753,954
Principal Life Global Funding II, Floating Rate Note, 12/1/17 (144A) 750,000 $750,252
Principal Life Global Funding II, Floating Rate Note, 5/27/16 (144A) 390,000 $390,619
Private Export Funding Corp., 2.125%, 7/15/16 500,000 $504,583
Progreso Receivables Funding II LLC, 3.5%, 7/8/19 (144A) 1,370,000 $1,375,012
Progreso Receivables Funding IV LLC, 3.0%, 7/8/20 (144A) 350,000 $348,760
Progress Residential 2014-SFR1 Trust, Floating Rate Note, 10/17/31 (144A) 1,000,000 $969,252
PSEG Power LLC, 2.75%, 9/15/16 500,000 $504,607
PURCHASING POWER FUNDING 2015-A LLC, 3.5%, 12/15/19 (144A) 750,000 $563,198
PVH Corp., Tranche B Term Loan, 2/13/20 236,267 $238,145
Quebecor Media, Inc., Facility B-1 Tranche, 8/17/20 196,474 $194,345
Queen City Re, Floating Rate Note, 1/6/17 (Cat Bond) (144A) 500,000 $493,060
Queen Street VII Re, Ltd., Floating Rate Note, 4/8/16 (Cat Bond) (144A) 500,000 $510,983
Queen Street XI RE Dac, Floating Rate Note, 6/7/19 (Cat Bond) (144A) 250,000 $251,095
Queen Street X RE, Ltd., Floating Rate Note, 6/8/18 (Cat Bond) (144A) 500,000 $499,699
Quest Trust REMICS, Floating Rate Note, 3/25/34 (144A) 24,804,330 $608,247
RAAC Series 2004-SP2 Trust, 6.0%, 1/25/32 11,000,000 $326,531
RAAC Series 2005-RP1 Trust, Floating Rate Note, 7/25/37 (144A) 583,530 $137,157
RAAC Series 2006-RP2 Trust, Floating Rate Note, 2/25/37 (144A) 4,099,889 $254,114
RAIT 2014-FL2 Trust, Floating Rate Note, 5/15/31 (144A) 1,500,000 $1,477,708
RAIT 2014-FL3 Trust, Floating Rate Note, 12/15/31 (144A) 1,150,000 $688,539
RALI Series 2002-QS16 Trust, Floating Rate Note, 10/25/17 11,475,000 $83,076
RALI Series 2003-QS11 Trust, Floating Rate Note, 6/25/33 13,610,000 $477,651
RALI Series 2003-QS14 Trust, 5.0%, 7/25/18 600,000 $17,730
RALI Series 2003-QS15 Trust, 5.5%, 8/25/33 250,000 $98,871
RALI Series 2003-QS9 Trust, Floating Rate Note, 5/25/18 11,040,000 $189,565
RALI Series 2004-QS5 Trust, 4.75%, 4/25/34 6,125,000 $148,717
RALI Series 2004-QS5 Trust, Floating Rate Note, 4/25/34 14,790,618 $360,656
RALI Series 2005-QA1 Trust, Floating Rate Note, 1/25/35 8,661,000 $641,655
RAMP Series 2003-RS9 Trust, Floating Rate Note, 10/25/33 5,091,956 $165,563
RAMP Series 2004-RS11 Trust, Floating Rate Note, 11/25/34 1,085,000 $164,399
RAMP Series 2004-SL4 Trust, Floating Rate Note, 5/25/18 13,780,000 $24,434
RAMP Series 2005-RS6 Trust, Floating Rate Note, 6/25/35 278,355 $23,991
Raymond James Financial, Inc., 4.25%, 4/15/16 2,108,000 $2,151,295
RBSHD 2013-1 Trust, 4.6853%, 10/25/47 (Step) (144A) 850,000 $316,189
Reckitt Benckiser Treasury Services Plc, 2.125%, 9/21/18 (144A) 500,000 $504,405
Regatta Funding, Ltd., Floating Rate Note, 6/15/20 (144A) 500,000 $9,932
Rent-A-Center, Inc., Term Loan (2014), 2/6/21 159,729 $153,240
Residential Asset Securitization Trust 2003-A2, Floating Rate Note, 5/25/33 34,300,000 $998,311
Residential Reinsurance 2012, Ltd., Floating Rate Note, 12/6/16 (Cat Bond) (144A) 1,150,000 $1,152,444
Residential Reinsurance 2012, Ltd., Floating Rate Note, 12/6/16 (Cat Bond) (144A) 250,000 $251,873
Residential Reinsurance 2012, Ltd., Floating Rate Note, 12/6/16 (Cat Bond) (144A) 250,000 $256,364
Residential Reinsurance 2012, Ltd., Floating Rate Note, 6/6/16 (Cat Bond) (144A) 250,000 $252,464
Residential Reinsurance 2013, Ltd., Floating Rate Note, 6/6/17 (Cat Bond) (144A) 250,000 $259,781
Residential Reinsurance 2014, Ltd., Floating Rate Note, 6/6/18 (Cat Bond) (144A) 250,000 $249,782
RESI Finance LP 2003-CB1, Floating Rate Note, 7/9/35 4,982,000 $942,886
Resi Flt% 12dec45 A1 500,000 $314,759
Resource Capital Corp 2014-CRE2, Ltd., Floating Rate Note, 4/15/32 (144A) 1,480,000 $1,045,772
Resource Capital Corp CRE Notes 2013, Ltd., Floating Rate Note, 12/15/28 (144A) 1,000,000 $39,145
Reynolds American, Inc., 3.5%, 8/4/16 750,000 $758,839
RFSC Series 2004-RP1 Trust, Floating Rate Note, 11/25/42 250,000 $86,011
Rialto Capital Management LLC, 2.85%, 5/15/24 (144A) 700,000 $94,556
Rio Tinto Finance USA Plc, Floating Rate Note, 6/17/16 560,000 $560,298
Royal Bank of Canada, 1.45%, 9/9/16 1,000,000 $1,003,629
Royal Bank of Canada, Floating Rate Note, 1/23/17 550,000 $550,818
Royal Bank of Canada, Floating Rate Note, 6/16/17 1,000,000 $998,101
RREF 2014-LT6 LLC, 2.75%, 9/15/24 (144A) 1,280,000 $180,107
RREF 2015-LT7 LLC, 3.0%, 12/25/32 (144A) 700,000 $446,564
Sanders Re, Ltd., Floating Rate Note, 5/5/17 (Cat Bond) (144A) 750,000 $755,333
Sanders Re, Ltd., Floating Rate Note, 5/5/17 (Cat Bond) (144A) 750,000 $750,635
Sanders Re, Ltd., Floating Rate Note, 6/7/17 (Cat Bond) (144A) 650,000 $652,799
Santander Drive Auto Receivables Trust 2012-5, 2.7%, 8/15/18 125,000 $66,304
SASCO Mortgage Loan Trust 2005-GEL1, Floating Rate Note, 12/25/34 510,000 $235,038
Saxon Asset Securities Trust 2005-3, Floating Rate Note, 11/25/35 471,000 $271,748
Saxon Asset Securities Trust 2005-4, Floating Rate Note, 11/25/37 9,516,000 $202,810
SBA Senior Finance II LLC, Incremental Tranche B-1 Term Loan, 3/31/21 196,500 $195,972
Schaeffler (Aka Ina Beteiligungsge 1st Lien Tl-B L + 3.5% 15may20 169,231 $169,971
Scientific Games International, Inc., Initial Term B-2 Loan, 9/17/21 913,438 $888,175
Seadrill Operating LP, Initial Term Loan, 2/14/21 830,875 $370,431
Sector Re V, Ltd., 0.0%, 12/1/19 (Cat Bond) (144A) 1,889 $13,223
Sector Re V, Ltd., 0.0%, 12/1/20 (Cat Bond) (144A) 250,000 $255,175
Sector Re V, Ltd., 0.0%, 3/1/20 (Cat Bond) (144A) 300,000 $339,780
Sector Re V, Ltd., 0.0%, 3/30/19 (Cat Bond) (144A) 516 $4,230
Selene Non-Performing Loans LLC, 2.9814%, 5/25/54 (Step) (144A) 1,020,000 $445,574
Sensata Technologies BV, Sixth Amendment Term Loan, 10/14/21 640,282 $638,615
Sequoia Mortgage Trust 2003-5, Floating Rate Note, 9/20/33 22,606,000 $829,830
Sequoia Mortgage Trust 2004-10, Floating Rate Note, 11/20/34 1,990,836 $154,563
Sequoia Mortgage Trust 2004-7, Floating Rate Note, 8/20/34 5,250,000 $174,987
Sequoia Mortgage Trust 2005-1, Floating Rate Note, 2/20/35 8,223,000 $530,636
Sequoia Mortgage Trust 2013-8, Floating Rate Note, 6/25/43 414,000 $264,092
Sequoia Mortgage Trust 2013-8, Floating Rate Note, 6/25/43 160,000 $120,180
Shell International Finance BV, Floating Rate Note, 11/15/16 750,000 $750,659
Sierra Timeshare 2012-2 Receivables Funding LLC, 2.38%, 3/20/29 (144A) 1,500,000 $231,034
Sierra Timeshare 2012-3 Receivables Funding LLC, 1.87%, 8/20/29 (144A) 1,400,000 $269,426
Sierra Timeshare 2013-1 Receivables Funding LLC, 2.39%, 11/20/29 (144A) 500,000 $102,569
Sierra Timeshare 2013-2 Receivables Funding LLC, 2.92%, 11/20/25 (144A) 400,000 $90,987
Sierra Timeshare 2013-2 Receivables Funding LLC, 4.75%, 11/20/25 (144A) 900,000 $200,354
Silver Bay Realty 2014-1 Trust, Floating Rate Note, 9/18/31 (144A) 750,000 $708,050
SilverLeaf Finance XVII LLC, 2.71%, 3/16/26 (144A) 750,000 $225,999
Silverstone Master Issuer Plc, Floating Rate Note, 1/21/55 (144A) 290,000 $294,483
Silverton RE, Ltd., 0.0%, 9/16/16 (Cat Bond) (144A) 250,000 $1,150
Silverton RE, Ltd., 0.0%, 9/18/17 (Cat Bond) (144A) 400,000 $16,480
Silverton RE, Ltd., 0.0%, 9/18/18 (Cat Bond) (144A) 250,000 $257,050
Sinclair Television Group, Inc., New Tranche B Term Loan, 4/19/20 433,841 $431,468
Skopos Auto Receivables Trust 2015-2, 3.55%, 2/17/20 (144A) 500,000 $418,581
Small Business Administration Participation Certificates, 2.24%, 4/15/43 (144A) 630,000 $626,108
SNAAC Auto Receivables Trust 2013-1, 4.56%, 4/15/20 (144A) 450,000 $451,412
Soundview Home Loan Trust 2005-OPT4, Floating Rate Note, 12/25/35 815,490 $143,998
Southwire Co., Initial Term Loan, 1/31/21 397,146 $377,785
Specialty Underwriting & Residential Finance Trust Series 2006-BC1, Floating Rate Note, 12/25/36 790,207 $766,122
SpringCastle America Funding LLC, 2.7%, 5/25/23 (144A) 1,020,000 $539,582
Springleaf Funding Trust 2014-A, 2.41%, 12/15/22 (144A) 1,000,000 $950,621
Starbucks Corp., 0.875%, 12/5/16 605,000 $607,253
Starwood Property Trust, Inc., Term Loan, 4/17/20 194,975 $193,391
Sterigenics-Nordion Holdings LLC, Initial Term Loan, 4/27/22 298,500 $294,769
Steward Health Care System LLC, Term Loan, 4/10/20 293,233 $282,970
STORE Master Funding LLC, 5.77%, 8/20/42 (144A) 344,000 $343,977
Structured Adjustable Rate Mortgage Loan Trust, Floating Rate Note, 11/25/34 18,180,000 $740,252
Structured Adjustable Rate Mortgage Loan Trust, Floating Rate Note, 3/25/34 2,600,000 $113,039
Structured Asset Investment Loan Trust 2005-6, Floating Rate Note, 7/25/35 719,331 $403,555
Structured Asset Mortgage Investments II Trust 2004-AR8, Floating Rate Note, 5/19/35 24,300,000 $963,745
Structured Asset Mortgage Investments II Trust 2005-AR2, Floating Rate Note, 5/25/45 5,000,000 $422,245
Structured Asset Mortgage Investments II Trust 2005-F1 REMICS, Floating Rate Note, 8/26/35 6,100,000 $68,317
Structured Asset Mortgage Investments Trust 2002-AR5, Floating Rate Note, 5/19/33 7,644,000 $310,842
Structured Asset Securities Corp Mortgage Loan Trust 2005-2XS, 4.65%, 2/25/35 (Step) 1,000,000 $43,945
Structured Asset Securities Corp Mortgage Pass-Through Ctfs Ser 2003-24A, Floating Rate Note, 7/25/3 7,700,000 $695,860
Structured Asset Securities Corp Mortgage Pass Through Ctfs Series 2003-35, Floating Rate Note, 12/2 5,293,000 $135,262
Sumitomo Mitsui Banking Corp., Floating Rate Note, 1/10/17 750,000 $751,034
Sumitomo Mitsui Banking Corp., Floating Rate Note, 7/19/16 300,000 $301,164
Sumitomo Mitsui Trust Bank, Ltd., Floating Rate Note, 9/16/16 (144A) 500,000 $501,332
Sunset Mortgage Loan Co 2014-NPL2 LLC, 3.721%, 11/16/44 (Step) (144A) 850,000 $384,531
SunTrust Bank, 1.35%, 2/15/17 500,000 $501,203
SunTrust Bank, Floating Rate Note, 2/15/17 805,000 $804,142
SunTrust Banks, Inc., 3.5%, 1/20/17 500,000 $511,273
Svenska Handelsbanken AB, Floating Rate Note, 9/23/16 1,250,000 $1,251,791
SVO 2012-A VOI Mortgage LLC, 2.0%, 9/20/29 (144A) 1,600,000 $556,729
SWAY Residential 2014-1 Trust, Floating Rate Note, 1/20/32 (144A) 700,000 $682,918
Syniverse Holdings, Inc., Tranche B Term Loan, 4/23/19 925,000 $693,750
TAL Advantage V LLC, 1.7%, 5/20/39 (144A) 400,000 $210,234
Tar Heel Re, Ltd., Floating Rate Note, 5/9/16 (Cat Bond) (144A) 1,150,000 $1,159,404
Terex Corp., U.S. Term Loan, 8/13/21 254,457 $248,732
Terex Corporation 1st Lien Tl-B L + 3.75% 15dec22 255,103 $250,639
Terwin Mortgage Trust Series TMTS 2003-8HE, Floating Rate Note, 12/25/34 5,234,000 $158,537
Terwin Mortgage Trust Series TMTS 2005-10HE, Floating Rate Note, 6/25/36 199,992 $73,180
Terwin Mortgage Trust Series TMTS 2005-14HE, 4.8492%, 8/25/36 (Step) 630,000 $97,061
Texas Instruments, Inc., 0.875%, 3/12/17 500,000 $500,440
The Bank of New York Mellon Corp., 1.969%, 6/20/17 (Step) 750,000 $761,308
The Bank of Nova Scotia, 1.1%, 12/13/16 500,000 $502,275
The Bank of Nova Scotia, 1.375%, 7/15/16 500,000 $502,398
The Bank of Nova Scotia, 1.45%, 4/25/18 500,000 $503,259
The Bank of Tokyo-Mitsubishi UFJ, Ltd., 1.55%, 9/9/16 (144A) 1,000,000 $1,002,998
The Bank of Tokyo-Mitsubishi UFJ, Ltd., 2.7%, 9/9/18 (144A) 305,000 $312,182
The Bank of Tokyo-Mitsubishi UFJ, Ltd., Floating Rate Note, 3/10/17 (144A) 500,000 $499,465
The Bank of Tokyo-Mitsubishi UFJ, Ltd., Floating Rate Note, 9/8/17 (144A) 500,000 $497,916
The Bear Stearns Companies LLC, Floating Rate Note, 11/21/16 1,500,000 $1,501,041
The Boeing Co., 0.95%, 5/15/18 1,050,000 $1,050,057
The Dayton Power & Light Co., 1.875%, 9/15/16 750,000 $753,699
The EW Scripps Co., Term Loan, 11/26/20 272,233 $270,872
The GEO Group, Inc., Term Loan, 4/3/20 488,693 $487,777
The Goldman Sachs Group, Inc., Floating Rate Note, 4/30/18 650,000 $654,818
The Goldman Sachs Group, Inc., Floating Rate Note, 5/22/17 587,000 $587,345
The Hartford Financial Services Group, Inc., 5.5%, 10/15/16 1,100,000 $1,152,151
The Home Depot, Inc., Floating Rate Note, 9/15/17 750,000 $752,981
The Huntington National Bank, 1.3%, 11/20/16 500,000 $502,386
The Huntington National Bank, Floating Rate Note, 4/24/17 500,000 $499,314
The Korea Development Bank, Floating Rate Note, 1/22/17 750,000 $751,828
Thermo Fisher Scientific, Inc., 1.3%, 2/1/17 600,000 $600,906
Thermo Fisher Scientific, Inc., 2.4%, 2/1/19 1,000,000 $1,015,794
The Toronto-Dominion Bank, 1.4%, 4/30/18 500,000 $502,553
The Toronto-Dominion Bank, Floating Rate Note, 5/2/17 500,000 $500,119
The Toronto-Dominion Bank, Floating Rate Note, 7/2/19 750,000 $740,901
The Toronto-Dominion Bank, Floating Rate Note, 9/9/16 500,000 $501,095
Thomson Reuters Corp., 0.875%, 5/23/16 250,000 $250,720
Thomson Reuters Corp., 1.3%, 2/23/17 500,000 $499,794
Thornburg Mortgage Securities Trust 2003-3, Floating Rate Note, 6/25/43 3,857,000 $96,974
Thornburg Mortgage Securities Trust 2004-1, Floating Rate Note, 3/25/44 20,000,000 $148,865
Thornburg Mortgage Securities Trust 2004-4, Floating Rate Note, 12/25/44 1,225,000 $157,533
Tidewater Auto Receivables Trust 2016-A, 2.3%, 9/15/19 (144A) 300,000 $300,283
TI Group Automotive Systems LLC, Initial US Term Loan, 6/25/22 467,638 $464,715
TimberStar Trust I REMICS, 5.668%, 10/15/36 (144A) 525,000 $535,255
TMS International Corp., Term B Loan, 10/2/20 144,699 $128,782
Total Capital International SA, 1.0%, 8/12/16 500,000 $500,203
Toyota Auto Receivables 2014-A Owner Trust, 0.67%, 12/15/17 870,000 $561,582
Toyota Motor Credit Corp., 1.125%, 5/16/17 750,000 $754,481
Toyota Motor Credit Corp., Floating Rate Note, 2/19/19 600,000 $603,692
TPF II Power LLC, Term Loan, 9/24/21 735,875 $721,618
Trade MAPS 1, Ltd., Floating Rate Note, 12/10/18 (144A) 250,000 $247,657
Tradewynd Re, Ltd., Floating Rate Note, 1/8/18 (Cat Bond) (144A) 250,000 $252,610
Trafigura Securitisation Finance Plc. 2014-1, Floating Rate Note, 4/16/18 (144A) 700,000 $689,638
TransCanada PipeLines, Ltd., 1.875%, 1/12/18 375,000 $376,014
TransCanada PipeLines, Ltd., Floating Rate Note, 6/30/16 690,000 $689,410
Tribune Media Co., Term B Loan, 12/27/20 547,609 $546,008
Tronox Pigments Holland BV, New Term Loan, 3/19/20 444,289 $414,485
TTX Co., 2.25%, 2/1/19 (144A) 500,000 $508,377
U.S. Residential Opportunity Fund IV Trust 2015-1, 3.7213%, 2/27/35 (144A) 1,000,000 $739,999
U.S. Treasury Bills, 0.0%, 8/18/16 3,000,000 $2,996,115
U.S. Treasury Notes, 0.5%, 7/31/16 12,000,000 $12,014,507
U.S. Treasury Notes, 0.5%, 8/31/16 23,000,000 $23,021,224
U.S. Treasury Notes, 0.625%, 6/30/17 12,500,000 $12,511,446
U.S. Treasury Notes, 0.875%, 1/15/18 4,000,000 $4,017,560
U.S. Treasury Notes, 1.0%, 3/31/17 3,050,000 $3,076,533
U.S. Treasury Notes, 3.25%, 3/31/17 1,550,000 $1,615,529
UBS AG, Floating Rate Note, 9/26/16 750,000 $750,761
Unifrax I LLC, New Term Dollar Loan, 11/28/18 400,601 $362,544
United Auto Credit Securitization Trust 2014-1, 2.38%, 10/15/18 (144A) 700,000 $696,404
United Auto Credit Securitization Trust 2016-1, 3.55%, 8/15/19 (144A) 500,000 $499,346
UnitedHealth Group, Inc., 1.875%, 11/15/16 500,000 $507,035
United States Treasury Floating Rate Note, Floating Rate Note, 10/31/17 10,000,000 $10,007,512
United Technologies Corp., 1.778%, 5/4/18 (Step) 500,000 $502,647
University of California, 0.966%, 5/15/17 500,000 $504,460
US Bancorp, Floating Rate Note, 4/25/19 750,000 $745,877
US Bank NA Cincinnati Ohio, Floating Rate Note, 1/29/18 1,450,000 $1,453,248
US Renal Care, Inc., Initial Term Loan (First Lien), 11/16/22 648,375 $647,565
US Residential Opportunity Fund III Trust 2015-1, 3.7213%, 1/29/35 (144A) 700,000 $491,676
Valeant Pharmaceuticals International, Inc., Series F-1 Tranche B Term Loan, 3/13/22 495,000 $468,549
Vantiv LLC, Term B Loan, 6/12/21 282,929 $283,311
Velocity Commercial Capital Loan Trust 2014-1, Floating Rate Note, 9/25/44 (144A) 800,000 $407,524
Velocity Commercial Capital Loan Trust 2015-1, Floating Rate Note, 6/25/45 (144A) 1,000,000 $845,356
Verint Systems, Inc., Tranche B Incremental Term Loan, 9/6/19 261,457 $262,013
Verizon Communications, Inc., Floating Rate Note, 9/15/16 2,515,000 $2,531,196
VFC 2014-2 LLC, 2.75%, 7/20/30 (144A) 1,060,000 $36,712
VFC 2015-3 LLC, 2.75%, 12/20/31 (144A) 800,000 $33,604
Virgin Media Investment Holdings, Ltd., F Facility, 6/30/23 235,662 $234,005
Vita Capital V, Ltd., Floating Rate Note, 1/15/17 (Cat Bond) (144A) 1,550,000 $1,579,093
Vita Capital V, Ltd., Floating Rate Note, 1/15/17 (Cat Bond) (144A) 750,000 $762,879
Vitality Re IV, Ltd., Floating Rate Note, 1/9/17 (Cat Bond) (144A) 500,000 $504,738
Vitality Re V, Ltd., Floating Rate Note, 1/7/19 (Cat Bond) (144A) 500,000 $496,062
Vitality Re VII, Ltd., Floating Rate Note, 1/7/20 (Cat Bond) (144A) 400,000 $399,680
Vitality Re VII, Ltd., Floating Rate Note, 1/7/20 (Cat Bond) (144A) 250,000 $249,825
Vizient, Inc., Initial Term Loan, 2/9/23 300,000 $302,375
Volkswagen Group of America Finance LLC, 1.65%, 5/22/18 (144A) 500,000 $495,949
Volkswagen Group of America Finance LLC, Floating Rate Note, 5/23/16 (144A) 1,000,000 $998,521
Volkswagen International Finance NV, 1.125%, 11/18/16 (144A) 750,000 $749,917
Volkswagen International Finance NV, 1.6%, 11/20/17 (144A) 500,000 $497,811
VOLT XIX LLC, 3.875%, 4/26/55 (Step) 800,000 $284,695
VOLT XXV LLC, 3.5%, 6/26/45 (Step) (144A) 400,000 $329,463
VOLT XXXIII LLC, 3.5%, 3/25/55 (Step) (144A) 700,000 $552,859
VOLT XXXIX LLC, 4.125%, 10/25/45 (Step) (144A) 1,300,000 $1,247,768
VOLT XXXVIII LLC, 3.875%, 9/25/45 (Step) (144A) 1,127,000 $1,012,282
VOLT XXXVII LLC, 3.625%, 7/25/45 (Step) (144A) 400,000 $362,021
VOLT XXXVI LLC, 3.625%, 7/25/45 (Step) (144A) 500,000 $422,730
Wachovia Bank Commercial Mortgage Trust Series 2006-C24, Floating Rate Note, 3/15/45 272,000 $30,330
Wachovia Bank Commercial Mortgage Trust Series 2006-C25, Floating Rate Note, 5/15/43 500,000 $499,941
Wachovia Corp., Floating Rate Note, 6/15/17 1,077,000 $1,073,336
Walgreens Boots Alliance, Inc., Floating Rate Note, 5/18/16 750,000 $751,071
WaMu Mortgage Pass-Through Certificates Series 2002-AR6 Trust, Floating Rate Note, 6/25/42 29,950,000 $298,463
WaMu Mortgage Pass-Through Certificates Series 2003-S10, 5.0%, 10/25/18 17,361,049 $306,728
WaMu Mortgage Pass-Through Certificates Series 2003-S12 Trust, 5.0%, 11/25/18 10,000,000 $220,523
Welk Resorts 2013-A LLC, 3.1%, 3/15/29 (144A) 750,000 $415,528
Wells Fargo & Co., 1.15%, 6/2/17 300,000 $300,015
Wells Fargo & Co., 1.25%, 7/20/16 500,000 $502,119
Wells Fargo & Co., Floating Rate Note, 4/23/18 575,000 $576,248
Wells Fargo Bank NA, Floating Rate Note, 5/16/16 250,000 $250,162
Wells Fargo Bank NA, Floating Rate Note, 9/7/17 580,000 $580,705
Wells Fargo Commercial Mortgage Trust 2014-TISH, Floating Rate Note, 1/15/27 (144A) 800,000 $771,335
Wells Fargo Commercial Mortgage Trust 2014-TISH REMICS, Floating Rate Note, 2/16/27 (144A) 1,250,000 $1,211,616
Wells Fargo Home Equity Asset-Backed Securities 2005-3 Trust, Floating Rate Note, 12/25/35 200,000 $16,796
Wells Fargo Mortgage Backed Securities 2005-4 Trust, Floating Rate Note, 4/25/35 7,173,466 $132,937
Welltower, Inc., 2.25%, 3/15/18 500,000 $503,251
Wesco Aircraft Hardware Corp., Tranche B Term Loan, 2/24/21 792,604 $750,992
WESCO Distribution, Inc., Tranche B-1 Loan, 12/12/19 61,163 $61,354
West Corp., Term B-11 Loan, 11/20/21 324,188 $324,998
Westgate Resorts 2012-A LLC, 2.25%, 8/20/25 (144A) 1,490,000 $406,055
Westgate Resorts 2012-A LLC, 3.75%, 8/20/25 (144A) 403,000 $109,888
Westgate Resorts 2014-1 LLC, 2.15%, 12/20/26 (144A) 1,000,000 $600,220
Westgate Resorts LLC, 2.5%, 3/20/25 (144A) 250,000 $28,201
Westlake Automobile Receivables Trust 2014-1, 1.24%, 11/15/19 (144A) 470,000 $100,047
Westlake Automobile Receivables Trust 2016-1, 3.29%, 9/15/21 (144A) 600,000 $600,757
Westpac Banking Corp., Floating Rate Note, 5/19/17 1,000,000 $1,000,328
Westwood CDO II, Ltd., Floating Rate Note, 4/25/22 (144A) 500,000 $215,218
WireCo WorldGroup, Inc., Term Loan, 2/15/17 412,780 $407,104
Wm Wrigley Jr Co., 2.0%, 10/20/17 (144A) 1,000,000 $1,013,072
WPX Energy, Inc., 7.5%, 8/1/20 800,000 $634,000
WR Grace & Co-Conn, U.S. Term Loan, 1/23/21 118,103 $117,247
Xylem, Inc. New York, 3.55%, 9/20/16 750,000 $751,482
Zebra Technologies Corp., Initial Term Loan, 9/30/21 444,318 $447,196
Zero% 01feb18 300,000 $306,990
Zero% 01feb18 300,000 $304,530
Zero% 30nov19 1,000,000 $1,083,100
Zero% 30nov20 800,000 $808,800
Zero% 30nov20 300,000 $307,470
Zero% 30nov20 600,000 $613,020
Zero% 30nov20 250,000 $253,800
Zero% 30nov20 600,000 $612,180
Zero% 31aug16 100,000 $112,670
Ziggo BV, US$ B1 Facility, 1/15/22 449,291 $444,518
Ziggo BV, US$ B2 Facility, 1/15/22 289,532 $286,456
Ziggo BV, US$ B3 Facility, 1/15/22 476,177 $471,117

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

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