Pioneer Short Term Income Fund

Top 10 Portfolio Holdings as of 2/27/2015
Default: sorted by market value

Security Name Par / Shares Market Value
14112z Zero% 01feb19 1,000,000 $1,027,100
321 Henderson Receivables I LLC, Floating Rate Note, 6/15/41 (144A) 2,000,000 $659,518
77 Energy 1st Lien Tl-B L + 3% 17jun21 348,250 $318,649
A10 Securitization 2013-1 LLC, 2.4%, 11/17/25 (144A) 642,000 $184,714
A10 Term Asset Financing 2013-2 LLC, 2.62%, 11/15/27 (144A) 1,085,000 $1,024,416
Abbey National Treasury Services Plc London, Floating Rate Note, 9/29/17 750,000 $748,746
ABN AMRO Bank NV, 1.375%, 1/22/16 (144A) 500,000 $502,875
ABN AMRO Bank NV, Floating Rate Note, 10/28/16 (144A) 750,000 $755,752
ACA CLO 2006-2, Ltd., Floating Rate Note, 1/20/21 (144A) 500,000 $492,804
ACAS CLO 2007-1, Ltd., Floating Rate Note, 4/20/21 500,000 $366,746
Accredited Mortgage Loan Trust 2005-2, Floating Rate Note, 7/25/35 240,000 $235,431
Acer 3.24% 10jan22 15-1a-D 510,000 $509,965
ACE Securities Corp Manufactured Housing Trust Series 2003-MH1, Floating Rate Note, 8/15/30 (144A) 425,000 $38,484
ACIS CLO 2014-4, Ltd., Floating Rate Note, 5/1/26 (144A) 700,000 $350,747
ACRE Commercial Mortgage Trust 2014-FL2, Floating Rate Note, 8/15/31 (144A) 700,000 $698,999
Activision Blizzard, Inc., Term Loan, 7/26/20 573,304 $574,986
Adjustable Rate Mortgage Trust 2005-2, Floating Rate Note, 6/25/35 345,151 $247,858
Adjustable Rate Mortgage Trust 2005-5, Floating Rate Note, 9/25/35 3,300,000 $275,696
Aecom Technology Corp 1st Lien Tl-B L + 3% 17sep21 319,903 $321,983
Aegis Asset Backed Securities Trust Mortgage Pass-Through Ctfs Ser 2005-4, Floating Rate Note, 10/25 239,000 $118,778
Aegis Asset Backed Securities Trust Mortgage Pass- Through Ctfs Series 2004-3, Floating Rate Note, 9 12,500,000 $438,606
Aegis Asset Backed Securities Trust Mortgage Pass- Through Ctfs Series 2004-3, Floating Rate Note, 9 881,754 $143,494
Aflac, Inc., 3.45%, 8/15/15 500,000 $507,284
Aircastle, Ltd., 6.75%, 4/15/17 1,100,000 $1,218,800
Alamo Re, Ltd., Floating Rate Note, 6/7/17 (Cat Bond) (144A) 250,000 $261,926
Albertsons LLC, Term B-2 Loan, 3/21/19 646,754 $650,219
Altera Corp., 2.5%, 11/15/18 500,000 $515,466
Alterna Funding I LLC, 1.639%, 2/15/21 (144A) 400,000 $321,863
Alternative Loan Trust 2003-14T1, Floating Rate Note, 8/25/18 3,200,000 $119,482
Alternative Loan Trust 2003-J1, 4.75%, 10/25/33 4,300,000 $175,183
Alternative Loan Trust 2004-4CB, 4.25%, 4/25/34 4,541,000 $121,536
Alternative Loan Trust 2004-6CB, Floating Rate Note, 4/25/34 4,791,000 $325,943
Altria Group, Inc., 4.125%, 9/11/15 310,000 $321,684
Altrl Zero% 30jun16 218,850 $156,587
Altrl Zero% 30jun17 300,000 $302,910
AMC Entertainment, Inc., Initial Term Loan, 4/30/20 246,859 $246,859
America Movil SAB de CV, Floating Rate Note, 9/12/16 1,000,000 $1,010,173
American Airlines Inc 1st Lien Tl-B L + 3.5% 08oct21 750,000 $755,450
American Credit Acceptance Receivables Trust, 1.64%, 11/15/16 (144A) 378,000 $16,843
American Credit Acceptance Receivables Trust 2013-1, 1.45%, 4/16/18 (144A) 41,000 $8,576
American Credit Acceptance Receivables Trust 2013-2, 1.32%, 2/15/17 (144A) 280,000 $37,321
American Credit Acceptance Receivables Trust 2014-1, 1.14%, 3/12/18 (144A) 520,000 $161,580
American Credit Acceptance Receivables Trust 2014-2, 0.99%, 10/10/17 (144A) 500,000 $220,168
American Credit Acceptance Receivables Trust 2014-3, 0.99%, 8/10/18 (144A) 410,000 $267,457
American Electric Power Co, Inc., 1.65%, 12/15/17 500,000 $504,202
American Express Credit Account Secured Note Trust 2012-4, Floating Rate Note, 5/15/20 (144A) 760,000 $765,133
American Express Credit Corp., 1.3%, 7/29/16 500,000 $503,229
American Express Credit Corp., Floating Rate Note, 6/12/15 200,000 $201,163
American Express Credit Corp., Floating Rate Note, 9/22/17 1,000,000 $998,254
American Home Mortgage Investment Trust 2004-3, 5.01%, 10/25/34 (Step) 4,000,000 $91,206
American Homes 4 Rent 2014-SFR1, Floating Rate Note, 6/19/31 (144A) 665,000 $657,358
American Honda Finance Corp., 1.125%, 10/7/16 500,000 $505,024
American Honda Finance Corp., 1.2%, 7/14/17 750,000 $752,768
American Honda Finance Corp., Floating Rate Note, 12/11/17 750,000 $751,528
American Honda Finance Corp., Floating Rate Note, 5/26/16 (144A) 1,675,000 $1,679,908
AmeriCredit Automobile Receivables Trust 2010-4, 6.4%, 4/9/18 (144A) 100,000 $100,439
AmeriCredit Automobile Receivables Trust 2011-3, 4.04%, 7/10/17 100,000 $101,858
AmeriCredit Automobile Receivables Trust 2011-5, 2.45%, 12/8/16 500,000 $84,652
AmeriCredit Automobile Receivables Trust 2012-4, 3.82%, 2/10/20 (144A) 500,000 $513,913
AmeriCredit Automobile Receivables Trust 2013-1, 1.57%, 1/8/19 150,000 $149,883
AmeriCredit Automobile Receivables Trust 2013-4, 0.74%, 11/8/16 500,000 $73,549
AmeriCredit Automobile Receivables Trust 2013-4, 3.31%, 10/8/19 550,000 $564,854
AmeriCredit Automobile Receivables Trust 2014-2, Floating Rate Note, 10/10/17 380,000 $314,485
Ameriquest Mortgage Securities Inc Asset-Backed Pass-Through Ctfs Ser 2005-R1, Floating Rate Note, 3 592,188 $283,300
Ameriquest Mortgage Securities Inc Asset Backed Pass-Through Ctfs Ser 2005-R11, Floating Rate Note, 962,222 $601,359
Ameriquest Mortgage Securities Inc Asset-Backed Pass-Through Ctfs Ser 2005-R9, 4.88361%, 11/25/35 (S 590,000 $470,455
Ameriquest Mort Sec Inc Asset Backed Pass Thr Cert 03 AR3, Floating Rate Note, 6/25/33 155,851 $75,744
Amgen, Inc., 2.5%, 11/15/16 500,000 $515,769
AMRESCO Residential Securities Corp Mortgage Loan Trust 1997-3, Floating Rate Note, 9/25/27 8,940,000 $176,309
Anheuser-Busch InBev Finance, Inc., Floating Rate Note, 1/27/17 500,000 $499,146
ANZ New Zealand Int'l, Ltd. London, 1.125%, 3/24/16 (144A) 1,000,000 $1,008,900
Apple, Inc., Floating Rate Note, 5/3/16 400,000 $400,186
Appvion, Inc., Term Commitment, 6/28/19 500,000 $490,625
ARI Fleet Lease Trust 2012-A, Floating Rate Note, 3/15/20 (144A) 810,000 $121,628
Arlington Flt% 01aug15 250,000 $275,925
Armor Re, Ltd., Floating Rate Note, 12/15/16 (Cat Bond) (144A) 300,000 $302,547
Ascentium Equipment Receivables 2012-1 LLC, 1.83%, 9/15/19 (144A) 822,000 $29,130
Ascentium Equipment Receivables 2014-1 LLC, 1.04%, 1/10/17 (144A) 400,000 $339,778
Ascentium Equipment Receivables 2014-1 LLC, 3.1%, 6/10/21 (144A) 700,000 $707,738
ASG Resecuritization Trust 2010-3, Floating Rate Note, 12/29/45 (144A) 1,642,839 $688,411
Asset Backed Securities Corp Home Equity Loan Trust Series 2003-HE1, Floating Rate Note, 1/15/33 3,082,000 $615,348
Asset Backed Securities Corp Home Equity Loan Trust Series 2004-HE6, Floating Rate Note, 9/25/34 7,075,000 $479,660
Asset Backed Securities Corp Home Equity Loan Trust Series 2005-HE3, Floating Rate Note, 4/25/35 159,800 $107,183
Asset Backed Securities Corp Home Equity Loan Trust Series AEG 2006-HE1, Floating Rate Note, 1/25/36 311,384 $52,830
Assurant, Inc., 2.5%, 3/15/18 300,000 $307,337
Atlantic Power LP, Term Loan, 2/20/21 1,207,355 $1,213,391
Atlas IX Capital, Ltd., Floating Rate Note, 1/17/19 (Cat Bond) (144A) 500,000 $514,475
Atlas Reinsurance VII, Ltd., Floating Rate Note, 1/7/16 (Cat Bond) (144A) 250,000 $258,498
Avago Technologies Ltd 1st Lien Tl-B L + 3% 16apr21 393,025 $393,977
AXIS Equipment Finance Receivables II LLC, 3.81%, 12/20/16 400,000 $401,849
AXIS Equipment Finance Receivables II LLC, 4.94%, 7/20/18 (144A) 700,000 $707,851
BAMLL Commercial Mortgage Securities Trust 2014-FL1, Floating Rate Note, 12/15/31 800,000 $803,586
BAMLL Commercial Mortgage Securities Trust 2014-ICTS, Floating Rate Note, 6/15/28 (144A) 580,000 $579,901
Banc of America Alternative Loan Trust 2003-10, Floating Rate Note, 12/25/33 2,600,000 $113,548
Banc of America Alternative Loan Trust 2004-2, 5.5%, 3/25/19 954,266 $90,769
Banc of America Alternative Loan Trust 2004-4, 5.25%, 5/25/19 1,363,000 $140,872
Banc of America Commercial Mortgage Trust 2006-1, Floating Rate Note, 9/10/45 1,750,000 $1,810,924
Banc of America Commercial Mortgage Trust 2006-1, Floating Rate Note, 9/10/45 1,000,000 $1,031,263
Banc of America Commercial Mortgage Trust 2006-1, Floating Rate Note, 9/10/45 1,450,000 $1,483,925
Banc of America Commercial Mortgage Trust 2006-4 REMICS, 5.634%, 7/10/46 1,960,000 $1,888,529
Banc of America Funding 2003-3 Trust, 5.5%, 10/25/33 617,825 $113,966
Banc of America Funding 2004-B Trust, Floating Rate Note, 12/20/34 6,667,000 $471,327
Banc of America Merrill Lynch Commercial Mortgage, Inc., 4.933%, 7/10/45 800,000 $777,270
Banc of America Merrill Lynch Commercial Mortgage, Inc., Floating Rate Note, 10/10/45 1,370,000 $1,121,457
Banc of America Merrill Lynch Commercial Mortgage, Inc., Floating Rate Note, 9/10/47 1,780,000 $1,502,343
Banc of America Mortgage 2003-F Trust, Floating Rate Note, 7/25/33 5,619,027 $244,859
Banc of America Mortgage 2003-H Trust, Floating Rate Note, 9/25/33 13,410,000 $1,049,704
Banc of America Mortgage 2004-D Trust, Floating Rate Note, 5/25/34 4,920,000 $507,624
Banc of America Mortgage Trust 2004-7, 4.5%, 8/25/19 181,000 $11,998
Banco Nacional de Desenvolvimento Economico e Social, 3.375%, 9/26/16 (144A) 1,000,000 $1,020,781
Bank of America Corp., 1.25%, 1/11/16 575,000 $577,565
Bank of America Corp., 1.35%, 11/21/16 500,000 $501,970
Bank of America Corp., 3.7%, 9/1/15 500,000 $516,377
Bank of America Corp., 4.5%, 4/1/15 210,000 $214,571
Bank of America Corp., Floating Rate Note, 8/25/17 408,000 $407,412
Bank of America NA, 1.25%, 2/14/17 500,000 $500,500
Bank of Montreal, 0.8%, 11/6/15 1,135,000 $1,140,630
Barclays Bank Plc, Floating Rate Note, 2/17/17 229,000 $229,753
Barclays Dryrock Issuance Trust, Floating Rate Note, 3/16/20 500,000 $499,669
Baxter International, Inc., 0.95%, 6/1/16 500,000 $501,504
Bayer US Finance LLC, 1.5%, 10/6/17 (144A) 750,000 $758,493
Bayview Commercial Asset Trust 2004-1, Floating Rate Note, 4/25/34 (144A) 4,150,000 $387,425
Bayview Commercial Asset Trust 2004-3, Floating Rate Note, 1/25/35 (144A) 4,600,000 $676,498
Bayview Commercial Asset Trust 2007-2, 0.0%, 7/27/37 (Step) (144A) 4,500,000 $0
Bayview Commercial Asset Trust 2007-4, 3.49686%, 9/25/37 (Step) (144A) 3,000,000 $64,620
Bayview Financial Acquisition Trust, Floating Rate Note, 5/28/44 7,600,000 $65,784
Bayview Financial Asset Trust 2003-A, Floating Rate Note, 2/25/33 (144A) 7,852,000 $203,289
Bayview Financial Mortgage Pass-Through Trust 2005-C, Floating Rate Note, 6/28/44 1,650,000 $1,557,849
Bayview Financial Mortgage Pass-Through Trust 2006-A, Floating Rate Note, 2/28/41 1,639,000 $103,517
Bayview Financial Mortgage Pass-Through Trust 2006-B, Floating Rate Note, 4/28/36 1,207,803 $250,540
Bayview Financial Mortgage Pass-Through Trust 2006-B, Floating Rate Note, 4/28/36 603,000 $35,105
Bayview Financial Mortgage Pass-Through Trust Series 2005-B, Floating Rate Note, 4/28/39 425,000 $389,924
Bayview Opportunity Master Fund IIa Trust 2012-4NPL, 3.9496%, 1/30/34 (Step) (144A) 695,000 $340,727
Bayview Opportunity Master Fund IIa Trust 2014-20NPL, Floating Rate Note, 8/28/44 (144A) 420,000 $363,068
Bayview Opportunity Master Fund Trust IIIa 2014-12RPL, 3.6225%, 7/28/19 (Step) (144A) 465,000 $264,138
BB&T Corp., 1.6%, 8/15/17 103,000 $103,793
Bbb Industries Llc 1st Lien Tl L + 5% 20oct21 533,333 $530,667
BCAP LLC 2009-RR13-I Trust, Floating Rate Note, 9/26/35 (144A) 2,765,000 $659,974
BCAP LLC 2013-RR3 Trust, Floating Rate Note, 5/28/36 (144A) 500,000 $359,052
BCAP LLC 2013-RR7 Trust, Floating Rate Note, 12/27/34 420,000 $337,717
BCMSC Trust 1998-A, 6.65%, 4/15/28 2,750,000 $31,269
Bear Stearns ALT-A Trust 2004-11, Floating Rate Note, 11/25/34 7,155,000 $358,466
Bear Stearns ALT-A Trust 2004-12, Floating Rate Note, 1/25/35 4,956,000 $591,721
Bear Stearns ALT-A Trust 2004-12, Floating Rate Note, 1/25/35 3,280,000 $344,348
Bear Stearns ALT-A Trust 2004-12, Floating Rate Note, 1/25/35 9,210,000 $1,040,805
Bear Stearns ALT-A Trust 2004-12, Floating Rate Note, 1/25/35 8,440,000 $1,003,104
Bear Stearns ALT-A Trust 2004-13, Floating Rate Note, 11/25/34 1,905,000 $95,659
Bear Stearns ALT-A Trust 2004-4, Floating Rate Note, 6/25/34 10,699,000 $816,070
Bear Stearns ARM Trust 2003-3, Floating Rate Note, 5/25/33 9,158,341 $265,304
Bear Stearns ARM Trust 2004-10 REMICS, Floating Rate Note, 1/25/35 720,000 $94,374
Bear Stearns ARM Trust 2004-3, Floating Rate Note, 7/25/34 2,481,203 $86,194
Bear Stearns Asset Backed Securities I Trust 2005-FR1, Floating Rate Note, 6/25/35 1,526,722 $507,885
Bear Stearns Asset Backed Securities Trust, Floating Rate Note, 2/25/35 5,848,300 $79,548
Bear Stearns Asset Backed Securities Trust 2004-2, Floating Rate Note, 8/25/34 389,000 $59,023
Bear Stearns Asset Backed Securities Trust 2006-SD2, Floating Rate Note, 6/25/36 412,000 $212,375
Bear Stearns Commercial Mortgage Securities Trust 2005-PWR10, Floating Rate Note, 12/11/40 1,240,000 $982,045
Bear Stearns Commercial Mortgage Securities Trust 2005-PWR7, Floating Rate Note, 2/11/41 550,000 $552,687
Bear Stearns Commercial Mortgage Securities Trust 2005-PWR8, 4.75%, 6/11/41 415,000 $419,926
Bear Stearns Commercial Mortgage Securities Trust 2005-PWR9, 4.871%, 9/11/42 2,280,000 $1,731,410
Bear Stearns Commercial Mortgage Securities Trust 2005-PWR9, Floating Rate Note, 9/11/42 1,160,000 $1,186,169
Bear Stearns Commercial Mortgage Securities Trust 2005-TOP20, Floating Rate Note, 10/12/42 1,905,000 $1,827,696
Bear Stearns Commercial Mortgage Securities Trust 2006-PWR14, 5.171%, 12/11/38 790,000 $227,293
Bear Stearns Commercial Mortgage Securities Trust 2006-TOP22, Floating Rate Note, 4/12/38 1,150,000 $1,093,509
Bear Stearns Mortgage Securities, Inc., Floating Rate Note, 6/25/30 731,690 $112,470
Bear Stearns Structured Products Trust 2007-EMX1, Floating Rate Note, 3/25/37 (144A) 1,130,000 $213,259
Becton Dickinson and Co., 1.8%, 12/15/17 750,000 $759,185
Belden Finance 2013 LP, Initial Term Loan, 9/9/20 246,875 $246,875
Bella Vista Mortgage Trust 2004-1, Floating Rate Note, 11/20/34 12,618,000 $321,964
Berkshire Hathaway Finance Corp., Floating Rate Note, 1/10/17 1,000,000 $1,000,352
Berkshire Hathaway Finance Corp., Floating Rate Note, 8/14/17 1,000,000 $999,002
BHP Billiton Finance USA, Ltd., Floating Rate Note, 9/30/16 500,000 $500,347
BLCP Hotel Trust, Floating Rate Note, 8/15/29 (144A) 1,610,000 $1,592,118
Blue Danube, Ltd., Floating Rate Note, 4/10/15 (Cat Bond) (144A) 650,000 $662,765
Blue Danube II, Ltd., Floating Rate Note, 5/23/18 (Cat Bond) (144A) 800,000 $802,411
Boca Hotel Portfolio Trust 2013-BOCA, Floating Rate Note, 8/17/26 (144A) 430,000 $430,438
Boston Scientific Corp., 2.65%, 10/1/18 500,000 $512,376
BPCE SA, Floating Rate Note, 4/25/16 550,000 $556,391
Branch Banking & Trust Co., 1.35%, 10/1/17 500,000 $504,738
Branch Banking & Trust Co., 2.3%, 10/15/18 500,000 $514,441
Branch Banking & Trust Co., Floating Rate Note, 5/23/17 250,000 $248,887
Branch Banking & Trust Co., Floating Rate Note, 9/13/16 500,000 $498,252
Bright Horizons Family Solutions, Inc., Term B Loan, 1/30/20 395,967 $396,339
Burger King Corp 1st Lien Tl-B L + 3.5% 25sep21 700,000 $703,986
Bush Truck Leasing LLC, 5.0%, 9/25/18 (144A) 100,000 $782
Bway Holding Co 1st Lien Tl-B L + 4.5% 08aug20 99,500 $100,013
Caelus Re, Ltd., Floating Rate Note, 3/7/16 (Cat Bond) (144A) 500,000 $510,225
Caelus Re 2013, Ltd., Floating Rate Note, 4/7/20 (Cat Bond) (144A) 750,000 $791,263
California Republic Auto Receivables Trust 2012-1, 1.18%, 8/15/17 (144A) 329,000 $69,434
Calpine Construction Finance Co LP, Term B-2 Loan, 1/3/22 668,236 $660,997
Calpine Corp., Term Loan (3/11), 4/1/18 750,000 $750,563
CAM Mortgage Trust 2014-2, 2.6%, 12/15/53 (Step) (144A) 610,000 $116,239
Canadian Natural Resources, Ltd., Floating Rate Note, 3/30/16 277,000 $276,858
Capella Healthcare Inc 1st Lien Tl-B L + 4.25% 31dec21 105,000 $105,525
Capital Auto Receivables Asset Trust 2013-1, 1.74%, 10/22/18 413,000 $414,539
Capital Auto Receivables Asset Trust 2013-1, 2.19%, 9/20/21 125,000 $125,253
Capital One Financial Corp., 1.0%, 11/6/15 975,000 $979,405
Capital One Multi-Asset Execution Trust, Floating Rate Note, 2/15/19 300,000 $300,077
Capital One NA, Floating Rate Note, 3/22/16 700,000 $701,573
CareFusion Corp., 1.45%, 5/15/17 750,000 $754,274
CarMax Auto Owner Trust 2013-3, 2.15%, 5/15/19 540,000 $544,471
Carrington Mortgage Loan Trust Series 2005-NC1, Floating Rate Note, 2/26/35 3,586,373 $565,911
Carrington Mortgage Loan Trust Series 2006-OPT1, Floating Rate Note, 12/25/35 5,047,000 $978,329
Castle Garden Funding, Floating Rate Note, 10/27/20 (144A) 2,000,000 $329,711
Caterpillar Financial Services Corp., 1.0%, 11/25/16 1,000,000 $1,006,796
Caterpillar Financial Services Corp., 1.35%, 9/6/16 1,125,000 $1,142,833
Ccolt 2.82% 15mar21 15-1-A 750,000 $751,251
CD 2005-CD1 Commercial Mortgage Trust, Floating Rate Note, 7/15/44 940,000 $884,934
CD 2006-CD2 Mortgage Trust, Floating Rate Note, 1/15/46 2,084,000 $2,070,741
CDC Mortgage Capital Trust 2002-HE1, Floating Rate Note, 1/25/33 19,484,513 $352,102
CDGJ Commercial Mortgage Trust 2014-BXCH, Floating Rate Note, 12/15/27 (144A) 1,340,000 $1,342,765
Cendant Mortgage Corp., 6.25%, 3/25/32 (144A) 4,100,000 $509,909
Cent CLO 16 LP, 2.52%, 8/1/24 (144A) 1,000,000 $997,936
Centerpoint Energy Transition Bond Co II LLC, 5.17%, 8/1/19 720,000 $530,140
Centex Home Equity Loan Trust 2005-B, 4.893%, 3/25/33 (Step) 3,300,000 $406,141
CeramTec Acquisition Corp., Initial Dollar Term B-2 Loan, 8/30/20 20,797 $20,784
CeramTec GmbH, Dollar Term B-3 Loan, 8/30/20 61,556 $61,518
CeramTec Service GmbH, Initial Dollar Term B-1 Loan, 8/30/20 207,635 $207,505
CGBAM Commercial Mortgage Trust 2014-HD, Floating Rate Note, 2/18/31 (144A) 310,000 $309,314
CG-CCRE Commercial Mortgage Trust 2014-FL1, Floating Rate Note, 6/16/31 (144A) 1,630,000 $1,628,700
CGWF Commercial Mortgage Trust 2013-RKWH REMICS, Floating Rate Note, 11/15/30 (144A) 1,720,000 $1,724,307
Charter Communications 1st Lien Tl-B L + 3.5% 12aug21 360,000 $363,100
Chase Funding Trust Series 2003-3, Floating Rate Note, 4/25/33 13,029,694 $99,626
Chase Funding Trust Series 2003-6, 4.277%, 11/27/34 (Step) 1,680,000 $231,307
Chase Issuance Trust, 0.59%, 8/15/17 300,000 $300,218
Chase Issuance Trust, Floating Rate Note, 4/16/18 750,000 $749,930
Chase Issuance Trust, Floating Rate Note, 8/15/17 750,000 $749,756
Chase Mortgage Finance Trust Series 2005-S1, 5.5%, 5/25/35 4,068,000 $61,443
Chesapeake Funding LLC, Floating Rate Note, 5/7/24 (144A) 250,000 $251,180
Chesapeake Funding LLC, Floating Rate Note, 5/7/24 (144A) 200,000 $96,677
CHL Mortgage Pass-Through Trust 2004-14, Floating Rate Note, 8/25/34 1,810,000 $199,803
CHS, 2017 Term E Loan, 1/25/17 99,374 $99,506
CHS, 2021 Term D Loan, 1/27/21 264,864 $265,913
Ciena Corporation 1st Lien Tl-B L + 3% 08jul19 348,250 $348,250
Cinedigm Digital Funding I LLC, Term Loan, 2/28/18 133,810 $133,977
Citibank Credit Card Issuance Trust, 4.85%, 3/10/17 500,000 $512,314
Citibank Credit Card Issuance Trust, 5.1%, 11/20/17 500,000 $523,339
Citicorp Mortgage Securities REMIC Pass-Through Certificates Trust Series 2005-4, 5.0%, 7/25/20 4,375,000 $136,694
Citicorp Mortgage Securities REMIC Pass-Through Certificates Trust Series 2005-7, 5.0%, 10/25/35 5,635,000 $380,683
Citigroup, Inc., 1.3%, 4/1/16 500,000 $504,208
Citigroup, Inc., 1.8%, 2/5/18 750,000 $750,065
Citigroup, Inc., Floating Rate Note, 11/15/16 750,000 $753,678
Citigroup, Inc., Floating Rate Note, 4/1/16 500,000 $502,520
Citigroup, Inc., Floating Rate Note, 7/25/16 750,000 $755,527
Citigroup Commercial Mortgage Trust 2007-FL3, Floating Rate Note, 4/15/22 (144A) 580,444 $577,466
Citigroup Mortgage Loan Trust, Inc., 7.0%, 11/25/19 7,340,000 $76,797
Citigroup Mortgage Loan Trust, Inc., Floating Rate Note, 10/25/35 1,471,464 $13,350
Citigroup Mortgage Loan Trust, Inc., Floating Rate Note, 11/25/34 900,000 $56,313
Citigroup Mortgage Loan Trust, Inc., Floating Rate Note, 3/26/35 1,750,000 $149,308
Citigroup Mortgage Loan Trust, Inc., Floating Rate Note, 5/25/35 (144A) 429,900 $417,922
Citigroup Mortgage Loan Trust 2006-SHL1, Floating Rate Note, 11/27/45 (144A) 4,965,000 $481,355
Citigroup Mortgage Loan Trust 2010-4 REMICS, 5.0%, 10/25/35 (144A) 2,735,000 $748,850
Citigroup Mortgage Loan Trust 2010-7 REMICS, Floating Rate Note, 9/25/37 (144A) 1,905,250 $240,311
Citrus Re, Ltd., Floating Rate Note, 4/18/17 (Cat Bond) (144A) 250,000 $250,194
Citrus Re, Ltd., Floating Rate Note, 4/24/17 (Cat Bond) (144A) 600,000 $599,808
City of Pittsburgh Pennsylvania, 0.87%, 9/1/16 500,000 $500,135
CNH Equipment Trust 2012-C, 0.57%, 12/15/17 75,000 $34,002
CNH Equipment Trust 2013-A, 0.69%, 6/15/18 450,000 $275,950
CNH Wholesale Master Note Trust, Floating Rate Note, 8/15/19 (144A) 525,000 $526,308
CNL Commercial Mortgage Loan Trust 2002-1, Floating Rate Note, 10/25/28 (144A) 8,975,000 $277,398
CNL Commercial Mortgage Loan Trust 2003-1, Floating Rate Note, 5/15/31 (144A) 5,443,000 $416,525
CNL Commercial Mortgage Loan Trust 2003-2, Floating Rate Note, 10/25/30 (144A) 1,000,000 $82,711
Coca-Cola Enterprises, Inc., 2.125%, 9/15/15 189,000 $192,387
Cof 1.65% 05feb18 750,000 $749,770
Collateralized Mortgage Obligation Trust 44, Floating Rate Note, 7/1/18 13,590,000 $42,180
Colony American Homes 2014-1, Floating Rate Note, 5/19/31 (144A) 700,000 $688,440
Colony American Homes 2014-2, Floating Rate Note, 7/19/31 (144A) 600,000 $591,736
COMM 2005-C6 Mortgage Trust, Floating Rate Note, 6/10/44 1,880,000 $1,908,478
COMM 2005-C6 Mortgage Trust, Floating Rate Note, 6/10/44 770,000 $616,495
COMM 2013-FL3 Mortgage Trust, Floating Rate Note, 10/13/28 (144A) 1,000,000 $798,117
COMM 2014-FL5 Mortgage Trust, Floating Rate Note, 10/15/31 (144A) 1,370,000 $1,366,689
COMM 2014-KYO Mortgage Trust, Floating Rate Note, 6/11/27 (144A) 1,630,000 $1,628,496
COMM 2014-PAT Mortgage Trust, Floating Rate Note, 8/13/27 (144A) 820,000 $817,125
COMM 2014-SAVA Mortgage Trust, Floating Rate Note, 6/15/34 (144A) 1,110,000 $1,107,923
COMM 2014-TWC Mortgage Trust, Floating Rate Note, 2/13/32 (144A) 1,850,000 $1,851,257
Commercial Mortgage Pass Through Certificates, Floating Rate Note, 11/19/26 (144A) 600,000 $224,685
Commercial Mortgage Trust 2005-GG3, Floating Rate Note, 8/10/42 1,000,000 $533,179
Commercial Mortgage Trust 2005-GG5, Floating Rate Note, 4/10/37 2,075,000 $2,122,716
Commonwealth Bank of Australia, Floating Rate Note, 3/13/17 (144A) 650,000 $651,212
Commonwealth Bank of Australia, Floating Rate Note, 9/18/15 (144A) 460,000 $462,854
Commonwealth Bank of Australia, Floating Rate Note, 9/8/17 (144A) 750,000 $750,497
Commonwealth Edison Co., 1.95%, 9/1/16 500,000 $513,620
ConocoPhillips Co., 1.05%, 12/15/17 1,000,000 $997,620
Conseco Finance Corp., 7.55%, 4/15/32 (Step) 2,740,000 $163,377
Conseco Finance Home Equity Loan Trust 2002-C, Floating Rate Note, 4/15/32 2,875,000 $775,265
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA New York, Floating Rate Note, 3/18/16 500,000 $502,596
Costco Wholesale Corp., 1.125%, 12/15/17 740,000 $743,303
Countrywide Asset-Backed Certificates, Floating Rate Note, 10/25/34 984,000 $184,617
Countrywide Asset-Backed Certificates, Floating Rate Note, 11/25/35 2,175,000 $71,800
Countrywide Asset-Backed Certificates, Floating Rate Note, 12/25/35 1,814,000 $360,459
Countrywide Asset-Backed Certificates, Floating Rate Note, 3/25/35 1,300,000 $381,440
Countrywide Asset-Backed Certificates, Floating Rate Note, 5/25/35 1,600,000 $70,646
Countrywide Asset-Backed Certificates, Floating Rate Note, 6/25/33 (144A) 900,000 $867,121
Countrywide Asset-Backed Certificates, Floating Rate Note, 9/25/34 (144A) 8,600,000 $486,045
Covidien International Finance SA, 1.35%, 5/29/15 750,000 $754,154
CPS Auto Receivables Trust 2013-A, 1.89%, 6/15/20 (144A) 690,000 $354,934
CPS Auto Receivables Trust 2013-B, 1.82%, 9/15/20 (144A) 157,000 $75,504
CPS Auto Receivables Trust 2014-A, 1.21%, 8/15/18 200,000 $130,059
Credit Acceptance Auto Loan Trust 2012-2, 1.52%, 3/16/20 (144A) 400,000 $197,125
Credit Acceptance Auto Loan Trust 2013-2, 1.5%, 4/15/21 (144A) 1,000,000 $1,003,298
Credit Acceptance Auto Loan Trust 2014-2, 2.67%, 9/15/22 (144A) 1,000,000 $1,003,300
Credit Suisse Commercial Mortgage Trust Series 2006-C2 REMICS, Floating Rate Note, 3/15/39 1,970,000 $1,948,678
Credit Suisse Commercial Mortgage Trust Series 2007-C1, 5.361%, 2/15/40 1,300,000 $929,926
Credit Suisse First Boston Mortgage Securities Corp., 4.832%, 4/15/37 1,265,143 $442,798
Credit Suisse First Boston Mortgage Securities Corp., 4.877%, 4/15/37 500,000 $504,199
Credit Suisse First Boston Mortgage Securities Corp., 5.25%, 10/25/19 1,196,000 $41,749
Credit Suisse First Boston Mortgage Securities Corp., 5.5%, 6/25/33 200,000 $38,637
Credit Suisse First Boston Mortgage Securities Corp., 7.5%, 5/25/32 15,000,000 $302,629
Credit Suisse First Boston Mortgage Securities Corp., Floating Rate Note, 11/25/33 1,400,000 $72,127
Credit Suisse First Boston Mortgage Securities Corp., Floating Rate Note, 12/17/40 2,730,000 $1,841,899
Credit Suisse First Boston Mortgage Securities Corp., Floating Rate Note, 7/25/35 3,555,000 $391,495
Credit Suisse First Boston Mortgage Securities Corp., Floating Rate Note, 8/15/38 1,900,440 $1,103,244
Credit Suisse Mortgage Capital Certificates REMICS, Floating Rate Note, 7/27/36 (144A) 3,494,698 $646,430
Crown Americas Llc 1st Lien Tl-B L + 3.25% 20oct21 350,000 $353,910
Crown Castle 1st Lien Term-B2 L + 2.5% 31jan21 349,118 $348,507
Crown Castle Towers LLC, 3.214%, 8/15/15 (144A) 500,000 $505,257
Crowne Group Llc 1st Lien Tl-B L + 5% 29sep20 299,250 $294,761
CSMC Series 2014-ICE, Floating Rate Note, 4/15/27 (144A) 1,950,000 $1,942,479
CSMC Trust 2010-16, Floating Rate Note, 6/25/50 (144A) 600,000 $18,650
CSMC Trust 2014-SURF, Floating Rate Note, 2/15/29 (144A) 700,000 $697,739
CWABS Asset-Backed Certificates Trust 2005-1, Floating Rate Note, 2/25/33 244,000 $28,195
Daimler Finance North America LLC, 1.45%, 8/1/16 (144A) 1,000,000 $1,008,135
Daimler Finance North America LLC, Floating Rate Note, 3/10/17 (144A) 750,000 $751,739
Daimler Finance North America LLC, Floating Rate Note, 8/1/17 (144A) 617,000 $614,147
Darling Ingredients, Inc., Term B USD Loan, 12/19/20 521,063 $521,384
Del Coronado Trust 2013-DEL, Floating Rate Note, 3/16/26 (144A) 300,000 $300,161
Del Coronado Trust 2013-DEL, Floating Rate Note, 3/16/26 (144A) 399,000 $399,236
Dell Equipment Finance Trust 2014-1, 2.68%, 6/22/20 (144A) 750,000 $752,525
DELOS FINANCE SARL, Loan, 2/27/21 425,000 $425,930
Delta Air Lines, Inc., 2014 Term B-1 Loan, 10/18/18 98,990 $99,114
Dhi 4% 15feb20 650,000 $658,089
Diamond Resorts Owner Trust 2013-2, 2.62%, 5/20/26 (144A) 750,000 $407,349
Digital Realty Trust LP, 4.5%, 7/15/15 650,000 $656,423
Direct Capital Funding V LLC, 1.673%, 12/20/17 (144A) 175,000 $18,022
Direct Capital Funding V LLC, 4.83%, 11/20/20 (144A) 750,000 $764,201
Discover Card Execution Note Trust, Floating Rate Note, 10/15/18 600,000 $599,549
Discovery Communications LLC, 3.7%, 6/1/15 750,000 $762,392
Drug Royalty II LP 2, Floating Rate Note, 7/15/23 (144A) 700,000 $668,363
DT Auto Owner Trust 2013-1, 1.67%, 2/15/19 (144A) 629,000 $86,199
Dubai Electricity & Water Authority, 8.5%, 4/22/15 (144A) 1,375,000 $1,432,720
Duke Energy Carolinas LLC, 1.75%, 12/15/16 750,000 $765,025
Duke Energy Florida, Inc., 0.65%, 11/15/15 695,000 $696,524
Duke Energy Indiana, Inc., Floating Rate Note, 7/11/16 303,000 $303,578
Duke Energy Progress, Inc., Floating Rate Note, 3/6/17 411,000 $411,248
East Lane Re, Ltd., Floating Rate Note, 3/13/15 (Cat Bond) (144A) 500,000 $507,219
East Lane Re VI, Ltd., Floating Rate Note, 3/14/18 (Cat Bond) (144A) 500,000 $500,670
Eco Services Operations Llc 1st Lien Tl-B L + 3.75% 10oct21 525,000 $526,969
Eden Re II, Ltd., 0.0%, 4/19/18 (Cat Bond) (144A) 700,000 $702,800
Electricite de France SA, Floating Rate Note, 1/20/17 (144A) 750,000 $751,512
Ellington Loan Acquisition Trust 2007-1, Floating Rate Note, 5/26/37 (144A) 550,000 $464,926
Emdeon Inc 1st Lien Tl-B3 L + 2.5% 02nov18 399,000 $398,252
Enbridge, Inc., Floating Rate Note, 10/1/16 500,000 $498,543
Encore Credit Receivables Trust 2005-3, Floating Rate Note, 10/25/35 1,000,000 $201,255
Endo Luxembourg Finance I 1st Lien Tl-B L + 2.5% 05nov20 496,250 $496,327
Enterprise Products Operating LLC, 3.2%, 2/1/16 1,000,000 $1,023,668
Enterprise Products Operating LLC, 3.7%, 6/1/15 1,010,000 $1,027,095
EQTY 2014-INNS Mortgage Trust, Floating Rate Note, 5/8/31 (144A) 1,020,000 $1,008,652
EQTY 2014-INNS Mortgage Trust REMICS, Floating Rate Note, 5/8/31 (144A) 540,000 $535,116
Equity One Mortgage Pass-Through Trust 2003-1, Floating Rate Note, 8/25/33 11,389,000 $345,497
Equity One Mortgage Pass-Through Trust 2004-1, Floating Rate Note, 4/25/34 1,840,000 $468,776
Equity One Mortgage Pass-Through Trust 2004-2, Floating Rate Note, 7/25/34 1,925,000 $496,601
Evergreen Skills Lux Sarl, Initial Term Loan (First Lien), 4/23/21 199,000 $196,612
Exeter Automobile Receivables Trust 2014-2, 1.06%, 8/15/18 400,000 $246,783
Express Scripts Holding Co., 2.25%, 6/15/19 750,000 $753,865
Express Scripts Holding Co., 3.125%, 5/15/16 1,000,000 $1,034,679
Extended Stay America Trust 2013-ESH, 1.2783%, 12/5/31 (144A) 723,000 $718,637
Extended Stay America Trust 2013-ESH, Floating Rate Note, 12/5/31 (144A) 200,000 $199,241
Extended Stay America Trust 2013-ESH, Floating Rate Note, 12/5/31 (144A) 200,000 $199,627
Fannie Mae, 2.0%, 11/1/23 2,236,000 $1,837,687
Fannie Mae, 2.5%, 3/1/28 1,500,000 $1,251,807
Fannie Mae, 2.5%, 6/1/23 526,320 $402,741
Fannie Mae, 3.0%, 10/1/27 2,000,000 $1,299,361
Fannie Mae, 3.0%, 11/1/27 2,000,000 $1,536,151
Fannie Mae, 3.0%, 5/1/21 2,775,000 $1,049,210
Fannie Mae, 4.0%, 12/1/19 3,570,319 $652,451
Fannie Mae, 4.5%, 1/1/41 580,000 $284,706
Fannie Mae, 4.5%, 5/1/39 2,100,000 $845,622
Fannie Mae, 4.5%, 5/1/39 1,350,000 $500,935
Fannie Mae, 5.0%, 10/1/41 1,736,000 $769,655
Fannie Mae, 5.0%, 11/1/20 3,800,000 $253,751
Fannie Mae, 5.0%, 7/1/15 1,000,000 $5,084
Fannie Mae, 5.5%, 12/1/35 1,000,000 $65,352
Fannie Mae, 5.5%, 8/1/37 2,000,000 $355,499
Fannie Mae, 6.0%, 10/1/22 973,454 $268,494
Fannie Mae, 6.0%, 2/1/34 1,400,000 $38,107
Fannie Mae, 6.0%, 4/1/38 483,000 $36,547
Fannie Mae, 6.5%, 4/1/29 9,050,000 $299,453
Fannie Mae, 6.5%, 6/1/16 700,000 $1,398
Fannie Mae, 6.5%, 7/1/32 723,471 $8,052
Fannie Mae, 6.5%, 8/1/17 667,089 $16,392
Fannie Mae, 7.0%, 1/1/36 1,000,000 $22,539
Fannie Mae, 7.0%, 7/1/17 3,768,412 $39,801
Fannie Mae, Floating Rate Note, 1/1/25 7,000,000 $56,126
Fannie Mae, Floating Rate Note, 10/1/29 4,831,796 $104,898
Fannie Mae, Floating Rate Note, 10/1/29 10,892,567 $84,965
Fannie Mae, Floating Rate Note, 10/1/36 1,877,185 $313,125
Fannie Mae, Floating Rate Note, 11/1/24 7,000,000 $89,352
Fannie Mae, Floating Rate Note, 11/1/25 700,000 $2,410
Fannie Mae, Floating Rate Note, 11/1/40 9,368,434 $114,033
Fannie Mae, Floating Rate Note, 12/1/28 1,112,489 $52,981
Fannie Mae, Floating Rate Note, 12/1/36 6,500,000 $238,678
Fannie Mae, Floating Rate Note, 2/1/27 4,000,000 $12,811
Fannie Mae, Floating Rate Note, 2/1/33 380,000 $1,370
Fannie Mae, Floating Rate Note, 4/1/28 400,000 $3,222
Fannie Mae, Floating Rate Note, 4/1/29 400,000 $2,883
Fannie Mae, Floating Rate Note, 7/1/36 500,000 $53,089
Fannie Mae Connecticut Avenue Securities, Floating Rate Note, 10/25/23 1,244,000 $985,453
Fannie Mae Connecticut Avenue Securities, Floating Rate Note, 5/25/24 1,020,000 $882,399
Fannie Mae Connecticut Avenue Securities, Floating Rate Note, 7/25/24 1,540,000 $1,346,237
Fannie Mae Trust 2005-W4, Floating Rate Note, 6/25/45 1,600,000 $236,668
Fannie Mae Whole Loan, Floating Rate Note, 11/25/46 4,252,000 $707,256
FCA US LLC, Term Loan B, 5/24/17 897,450 $897,170
FCA US LLC, Tranche B Term Loan, 12/29/18 595,500 $595,202
FDIC 2010-R1 Trust, 2.184%, 5/25/50 (144A) 2,060,000 $720,064
Federal Home Loan Banks, 2.9%, 4/20/17 1,370,000 $245,657
Federal Home Loan Mortgage Corp., 2.5%, 10/1/27 1,247,958 $958,901
Federal Home Loan Mortgage Corp., 2.75%, 11/15/25 1,000,000 $435,345
Federal Home Loan Mortgage Corp., 3.0%, 1/15/30 893,000 $452,723
Federal Home Loan Mortgage Corp., 3.5%, 8/15/28 500,000 $161,257
Federal Home Loan Mortgage Corp., 4.0%, 1/15/34 5,000,000 $286,865
Federal Home Loan Mortgage Corp., 4.0%, 5/1/24 2,400,000 $231,700
Federal Home Loan Mortgage Corp., 4.0%, 5/15/37 1,753,000 $133,144
Federal Home Loan Mortgage Corp., 4.5%, 7/1/19 1,381,464 $178,929
Federal Home Loan Mortgage Corp., 4.5%, 7/1/19 1,467,130 $156,520
Federal Home Loan Mortgage Corp., 5.0%, 12/1/39 265,000 $117,107
Federal Home Loan Mortgage Corp., 5.0%, 2/1/21 1,000,000 $79,957
Federal Home Loan Mortgage Corp., 5.0%, 4/15/32 3,500,000 $46,049
Federal Home Loan Mortgage Corp., 5.5%, 8/1/23 1,563,938 $57,904
Federal Home Loan Mortgage Corp., 6.5%, 7/1/16 2,000,000 $6,194
Federal Home Loan Mortgage Corp., Floating Rate Note, 1/1/28 500,000 $5,364
Federal Home Loan Mortgage Corp., Floating Rate Note, 1/15/33 40,000,000 $1,654,102
Federal Home Loan Mortgage Corp., Floating Rate Note, 1/15/35 1,635,000 $218,476
Federal Home Loan Mortgage Corp., Floating Rate Note, 10/1/31 19,044,336 $337,539
Federal Home Loan Mortgage Corp., Floating Rate Note, 11/1/31 1,399,950 $6,622
Federal Home Loan Mortgage Corp., Floating Rate Note, 11/15/36 2,046,908 $100,740
Federal Home Loan Mortgage Corp., Floating Rate Note, 12/1/31 49,986,196 $265,833
Federal Home Loan Mortgage Corp., Floating Rate Note, 2/17/32 12,638,000 $330,249
Federal Home Loan Mortgage Corp., Floating Rate Note, 3/15/30 1,147,667 $455,336
Federal Home Loan Mortgage Corp., Floating Rate Note, 3/15/32 33,450,000 $379,903
Federal Home Loan Mortgage Corp., Floating Rate Note, 4/1/25 13,000,000 $17,686
Federal Home Loan Mortgage Corp., Floating Rate Note, 4/1/29 160,000 $2,020
Federal Home Loan Mortgage Corp., Floating Rate Note, 4/15/33 22,025,143 $907,306
Federal Home Loan Mortgage Corp., Floating Rate Note, 4/15/36 4,003,000 $624,434
Federal Home Loan Mortgage Corp., Floating Rate Note, 5/1/25 588,110 $5,893
Federal Home Loan Mortgage Corp., Floating Rate Note, 7/1/18 2,100,000 $4,015
Federal Home Loan Mortgage Corp., Floating Rate Note, 7/15/19 1,500,000 $90,879
Federal Home Loan Mortgage Corp., Floating Rate Note, 7/15/28 52,559,000 $358,818
Federal Home Loan Mortgage Corp., Floating Rate Note, 7/15/31 49,927,842 $513,465
Federal Home Loan Mortgage Corp., Floating Rate Note, 8/1/31 12,000,000 $91,991
Federal Home Loan Mortgage Corp., Floating Rate Note, 8/1/31 500,000 $899
Federal Home Loan Mortgage Corp., Floating Rate Note, 8/15/19 6,831,666 $203,836
Federal Home Loan Mortgage Corp. REMICS, 3.5%, 10/15/18 500,000 $83,024
Federal Home Loan Mortgage Corp. REMICS, 3.5%, 6/15/28 1,119,000 $111,635
Federal Home Loan Mortgage Corp. REMICS, 5.5%, 10/15/35 1,625,000 $46,084
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 1/15/36 400,312 $77,943
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 1/15/37 16,831,292 $995,104
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 10/15/20 9,083,556 $147,919
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 10/15/37 3,873,000 $256,447
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 11/15/36 600,000 $98,323
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 11/15/36 1,229,000 $215,767
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 11/15/37 3,358,000 $520,519
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/32 1,931,288 $144,846
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/32 2,900,000 $216,208
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/35 2,232,000 $350,339
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/39 666,000 $261,913
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/30 586,107 $258,627
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/32 15,205,000 $239,819
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/33 20,000,000 $268,522
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/36 1,133,000 $196,723
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/37 2,840,000 $163,952
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/39 288,000 $142,492
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/41 1,878,046 $344,106
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/42 350,000 $196,295
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 3/15/32 35,466,000 $310,011
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 3/15/32 15,667,000 $174,511
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 3/15/38 2,600,000 $821,261
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 3/15/41 3,243,333 $692,054
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 4/15/27 22,817,000 $237,145
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 4/15/28 16,175,365 $239,884
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 4/15/36 728,000 $138,137
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 4/15/41 2,446,437 $466,547
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 5/15/36 4,000,000 $206,907
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 5/15/36 2,159,000 $146,630
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 5/15/41 638,000 $108,128
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 6/15/36 1,288,000 $129,993
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 6/15/41 1,220,000 $307,048
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 7/15/23 835,000 $172,164
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 7/15/36 3,107,000 $230,579
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 8/15/18 600,000 $103,920
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 8/15/25 970,000 $288,249
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 8/15/26 370,000 $128,839
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 8/15/35 462,000 $89,671
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 8/15/36 5,044,000 $250,280
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 9/15/26 385,000 $219,819
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 9/15/33 2,647,000 $177,210
Federal National Mortgage Association, 2.0%, 8/1/23 1,465,000 $1,179,318
Federal National Mortgage Association, 2.5%, 4/25/36 635,000 $215,052
Federal National Mortgage Association, 2.5%, 9/1/22 2,000,000 $1,264,937
Federal National Mortgage Association, 2.75%, 6/25/20 1,750,000 $427,742
Federal National Mortgage Association, 3.0%, 12/1/21 2,000,000 $889,407
Federal National Mortgage Association, 3.0%, 6/25/39 5,000,000 $529,090
Federal National Mortgage Association, 3.5%, 1/25/24 7,225,000 $256,659
Federal National Mortgage Association, 3.5%, 3/25/28 2,344,102 $200,776
Federal National Mortgage Association, 3.5%, 7/25/24 1,250,000 $245,839
Federal National Mortgage Association, 4.0%, 1/1/20 7,280,000 $1,145,888
Federal National Mortgage Association, 4.0%, 10/1/20 4,317,004 $1,174,298
Federal National Mortgage Association, 4.0%, 3/1/21 4,071,760 $1,196,653
Federal National Mortgage Association, 4.0%, 8/1/19 2,761,217 $413,740
Federal National Mortgage Association, 4.5%, 10/25/38 5,000,000 $144,464
Federal National Mortgage Association, 4.5%, 6/25/40 4,200,000 $1,072,710
Federal National Mortgage Association, 4.5%, 8/25/27 4,509,000 $115,658
Federal National Mortgage Association, 5.0%, 6/25/32 18,817,000 $20,945
Federal National Mortgage Association, 5.0%, 7/25/32 7,363,000 $194,732
Federal National Mortgage Association, 5.0%, 8/25/22 9,200,000 $22,023
Federal National Mortgage Association, Floating Rate Note, 10/18/32 11,398,000 $366,324
Federal National Mortgage Association, Floating Rate Note, 11/25/27 15,797,000 $482,718
Federal National Mortgage Association, Floating Rate Note, 2/25/23 77,000,000 $375,724
Federal National Mortgage Association, Floating Rate Note, 3/25/18 8,811,000 $234,956
Federal National Mortgage Association, Floating Rate Note, 3/25/36 2,108,510 $435,988
Federal National Mortgage Association, Floating Rate Note, 4/25/33 36,000,000 $934,617
Federal National Mortgage Association, Floating Rate Note, 4/25/35 1,250,000 $224,032
Federal National Mortgage Association, Floating Rate Note, 6/25/32 21,270,000 $561,083
Federal National Mortgage Association, Floating Rate Note, 6/25/36 7,000,000 $760,263
Federal National Mortgage Association, Floating Rate Note, 7/25/27 1,402,000 $23,477
Federal National Mortgage Association, Floating Rate Note, 8/25/35 2,868,000 $332,622
Federal National Mortgage Association, Floating Rate Note, 9/25/22 3,000,000 $116,944
Federal National Mortgage Association 2004-T2, Floating Rate Note, 7/25/43 6,750,000 $922,083
Federal National Mortgage Association 2006-48-T, 5.5%, 12/25/34 1,716,418 $337,325
Federal National Mortgage Association REMICS, 1.5%, 11/25/20 745,000 $163,114
Federal National Mortgage Association REMICS, 1.75%, 12/25/22 1,000,000 $280,478
Federal National Mortgage Association REMICS, 3.0%, 1/25/21 4,450,000 $755,350
Federal National Mortgage Association REMICS, 3.0%, 4/25/40 1,110,000 $162,792
Federal National Mortgage Association REMICS, 3.5%, 10/25/39 490,000 $299,042
Federal National Mortgage Association REMICS, 4.0%, 5/25/29 2,000,000 $2,054,235
Federal National Mortgage Association REMICS, 4.0%, 6/25/37 900,000 $9,745
Federal National Mortgage Association REMICS, 5.0%, 9/25/39 110,000 $18,070
Federal National Mortgage Association REMICS, 6.0%, 6/25/29 685,000 $123,249
Federal National Mortgage Association REMICS, Floating Rate Note, 1/18/32 4,920,043 $71,270
Federal National Mortgage Association REMICS, Floating Rate Note, 1/25/24 51,985,111 $211,659
Federal National Mortgage Association REMICS, Floating Rate Note, 1/25/33 2,782,000 $93,590
Federal National Mortgage Association REMICS, Floating Rate Note, 1/25/34 10,970,000 $1,645,374
Federal National Mortgage Association REMICS, Floating Rate Note, 10/25/35 1,878,000 $181,012
Federal National Mortgage Association REMICS, Floating Rate Note, 10/25/36 11,844,000 $434,166
Federal National Mortgage Association REMICS, Floating Rate Note, 10/25/38 1,808,000 $185,110
Federal National Mortgage Association REMICS, Floating Rate Note, 10/27/37 1,375,920 $1,357,771
Federal National Mortgage Association REMICS, Floating Rate Note, 11/18/32 24,329,000 $441,110
Federal National Mortgage Association REMICS, Floating Rate Note, 11/25/36 2,248,000 $300,676
Federal National Mortgage Association REMICS, Floating Rate Note, 11/25/39 2,750,000 $467,911
Federal National Mortgage Association REMICS, Floating Rate Note, 12/18/32 16,085,000 $242,859
Federal National Mortgage Association REMICS, Floating Rate Note, 12/25/31 4,375,000 $154,782
Federal National Mortgage Association REMICS, Floating Rate Note, 12/25/32 34,313,143 $693,712
Federal National Mortgage Association REMICS, Floating Rate Note, 12/25/37 5,672,000 $177,738
Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/33 4,696,499 $221,031
Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/35 603,000 $187,448
Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/37 4,308,000 $172,952
Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/37 1,940,000 $182,559
Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/38 624,000 $154,649
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/24 4,129,409 $155,607
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/34 763,500 $197,143
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/34 4,612,000 $281,169
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/35 1,278,000 $242,303
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/35 4,100,000 $616,749
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/36 11,585,646 $1,288,322
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/37 960,000 $133,965
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/37 4,100,000 $243,901
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/37 9,250,000 $276,352
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/37 8,873,506 $222,956
Federal National Mortgage Association REMICS, Floating Rate Note, 4/25/32 10,133,000 $577,824
Federal National Mortgage Association REMICS, Floating Rate Note, 4/25/32 50,000,000 $605,519
Federal National Mortgage Association REMICS, Floating Rate Note, 4/25/34 644,866 $74,498
Federal National Mortgage Association REMICS, Floating Rate Note, 4/25/36 1,737,000 $321,023
Federal National Mortgage Association REMICS, Floating Rate Note, 5/18/32 31,809,000 $619,336
Federal National Mortgage Association REMICS, Floating Rate Note, 5/25/17 20,000,000 $101,400
Federal National Mortgage Association REMICS, Floating Rate Note, 5/25/33 4,068,000 $102,670
Federal National Mortgage Association REMICS, Floating Rate Note, 5/25/36 6,641,000 $190,916
Federal National Mortgage Association REMICS, Floating Rate Note, 5/25/37 6,826,000 $224,270
Federal National Mortgage Association REMICS, Floating Rate Note, 5/25/40 761,373 $321,892
Federal National Mortgage Association REMICS, Floating Rate Note, 6/25/36 2,317,493 $226,196
Federal National Mortgage Association REMICS, Floating Rate Note, 6/25/37 2,134,162 $260,306
Federal National Mortgage Association REMICS, Floating Rate Note, 6/25/37 1,010,000 $93,427
Federal National Mortgage Association REMICS, Floating Rate Note, 6/25/37 4,600,000 $305,138
Federal National Mortgage Association REMICS, Floating Rate Note, 6/25/38 2,355,000 $144,236
Federal National Mortgage Association REMICS, Floating Rate Note, 7/25/34 1,642,000 $108,690
Federal National Mortgage Association REMICS, Floating Rate Note, 7/25/35 750,000 $159,941
Federal National Mortgage Association REMICS, Floating Rate Note, 7/25/35 3,227,000 $360,602
Federal National Mortgage Association REMICS, Floating Rate Note, 7/25/38 6,812,000 $343,801
Federal National Mortgage Association REMICS, Floating Rate Note, 8/25/36 4,040,000 $441,021
Federal National Mortgage Association REMICS, Floating Rate Note, 8/25/40 692,000 $309,639
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/33 4,915,594 $509,909
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/36 3,447,000 $210,800
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/36 1,275,000 $165,468
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/37 2,524,000 $108,237
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/37 3,700,000 $338,875
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/37 679,000 $84,433
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/37 2,706,000 $311,203
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/39 683,053 $103,135
FHLMC Structured Pass Through Securities, Floating Rate Note, 12/25/29 12,000,000 $184,822
Fieldstone Mortgage Investment Trust Series 2005-1, Floating Rate Note, 3/25/35 311,000 $105,748
Fieldwood Energy LLC, Closing Date Loan, 9/25/18 988,743 $948,575
Fifth Third Bancorp, Floating Rate Note, 12/20/16 730,000 $725,869
Fifth Third Bank Cincinnati Ohio, 1.15%, 11/18/16 750,000 $753,749
Fifth Third Bank Cincinnati Ohio, Floating Rate Note, 2/26/16 500,000 $501,282
First Franklin Mortgage Loan Trust 2002-FFA, Floating Rate Note, 9/25/32 5,500,000 $266,009
First Franklin Mortgage Loan Trust 2003-FFC, Floating Rate Note, 11/25/32 8,000,000 $397,079
First Franklin Mortgage Loan Trust 2005-FFH3, Floating Rate Note, 9/25/35 1,100,000 $493,645
First Horizon Mortgage Pass-Through Trust 2004-AR1, Floating Rate Note, 2/25/34 1,500,000 $58,779
First Horizon Mortgage Pass-Through Trust 2004-AR5, Floating Rate Note, 10/25/34 940,000 $50,346
First Investors Auto Owner Trust 2012-2, 1.47%, 5/15/18 (144A) 200,000 $35,461
First Investors Auto Owner Trust 2013-1, 1.81%, 10/15/18 (144A) 55,000 $55,296
First Investors Auto Owner Trust 2013-1, 2.02%, 1/15/19 (144A) 200,000 $199,651
First Investors Auto Owner Trust 2013-2, 1.23%, 3/15/19 (144A) 1,048,000 $466,370
First Investors Auto Owner Trust 2013-3, 2.32%, 10/15/19 (144A) 300,000 $302,878
First NLC Trust 2005-2, Floating Rate Note, 9/25/35 3,362,996 $854,171
Flagstar Home Equity Loan Trust 2005-1, Floating Rate Note, 6/25/18 (144A) 4,800,000 $281,339
Fly Funding II Sarl, Loan, 8/8/18 375,000 $375,469
FMG Resources August 2006 Pty, Ltd., Loan, 6/30/19 97,763 $90,797
Foothill CLO, Ltd., Floating Rate Note, 2/22/21 (144A) 500,000 $216,501
Ford Credit Auto Owner Trust 2013-D, 1.54%, 3/15/19 100,000 $99,887
Ford Credit Auto Owner Trust 2014-A, 0.48%, 11/15/16 260,000 $88,697
Ford Motor Credit Co LLC, 1.7%, 5/9/16 500,000 $505,513
Ford Motor Credit Co LLC, 1.724%, 12/6/17 700,000 $703,509
Ford Motor Credit Co LLC, 2.375%, 1/16/18 250,000 $255,141
Ford Motor Credit Co LLC, 2.875%, 10/1/18 1,000,000 $1,043,005
Ford Motor Credit Co LLC, Floating Rate Note, 9/8/17 750,000 $744,999
Fore CLO, Ltd., Floating Rate Note, 7/20/19 (144A) 250,000 $53,419
Foresight Energy LLC, Term Loan, 8/21/20 67,011 $64,331
Fosse Master Issuer Plc, Floating Rate Note, 10/18/54 100,000 $84,917
Four Corners CLO II, Ltd., Floating Rate Note, 1/26/20 (144A) 553,000 $535,060
Franklin Resources, Inc., 3.125%, 5/20/15 940,000 $953,952
Freddie Mac REMICS, Floating Rate Note, 2/15/32 14,441,000 $907,059
Freddie Mac Strips, Floating Rate Note, 12/15/36 2,327,000 $134,904
Freddie Mac Strips, Floating Rate Note, 8/15/36 6,894,664 $332,857
Freddie Mac Structured Agency Credit Risk Debt Notes, Floating Rate Note, 10/25/24 700,000 $687,627
Freddie Mac Structured Agency Credit Risk Debt Notes, Floating Rate Note, 11/25/23 750,000 $570,709
Freddie Mac Structured Agency Credit Risk Debt Notes, Floating Rate Note, 2/25/24 485,000 $443,427
Freddie Mac Structured Agency Credit Risk Debt Notes, Floating Rate Note, 8/25/24 1,430,000 $1,380,326
FREMF Mortgage Trust 2012-K501, Floating Rate Note, 11/26/46 (144A) 409,000 $422,116
Fresenius US Finance I, Inc., Tranche B Term Loan, 8/7/19 493,750 $492,824
Gale Force 3 Clo, Ltd., Floating Rate Note, 4/19/21 (144A) 500,000 $296,679
Galileo Re, Ltd., Floating Rate Note, 1/9/19 (Cat Bond) (144A) 500,000 $519,892
Garda World Security Corp., Term B Delayed Draw Loan, 11/8/20 122,556 $121,560
Garda World Security Corp., Term B Loan, 11/1/20 479,082 $475,189
Gator Re, Ltd., Floating Rate Note, 1/9/17 (Cat Bond) (144A) 600,000 $540,545
GATX Corp., 1.25%, 3/4/17 750,000 $751,538
Gci Holdings Inc 1st Lien Tl-B L + 3.75% 22dec21 375,000 $376,249
GE Business Loan Trust 2003-1, Floating Rate Note, 4/15/31 (144A) 10,972,000 $452,415
GE Business Loan Trust 2003-2 REMICS, Floating Rate Note, 11/15/31 (144A) 1,409,576 $125,242
GE Business Loan Trust 2004-1, Floating Rate Note, 5/15/32 (144A) 4,436,203 $354,206
GE Business Loan Trust 2004-2, Floating Rate Note, 12/15/32 (144A) 2,833,274 $386,172
GE Business Loan Trust 2005-1, Floating Rate Note, 6/15/33 (144A) 1,692,482 $732,796
GE Business Loan Trust 2006-2, Floating Rate Note, 11/15/34 (144A) 1,920,423 $680,400
GE Business Loan Trust 2007-1, Floating Rate Note, 4/16/35 (144A) 1,550,000 $617,841
GE Capital Commercial Mortgage Corp., Floating Rate Note, 7/10/45 490,000 $493,334
GE Capital Commercial Mortgage Corp., Floating Rate Note, 7/10/45 (144A) 500,000 $505,532
GE Dealer Floorplan Master Note Trust, Floating Rate Note, 10/20/17 256,000 $256,173
GE Equipment Small Ticket LLC Series 2013-1, 0.73%, 1/25/16 (144A) 200,000 $40,526
General Electric Capital Corp., 1.625%, 7/2/15 1,235,000 $1,243,580
General Electric Capital Corp., Floating Rate Note, 5/15/17 750,000 $750,565
General Electric Capital Corp., Floating Rate Note, 7/12/16 296,000 $298,095
General Electric Capital Corp., Floating Rate Note, 8/1/17 500,000 $499,556
General Mills, Inc., 0.875%, 1/29/16 250,000 $250,864
Georgia Power Co., Floating Rate Note, 3/15/16 827,000 $827,449
Georgia Power Co., Floating Rate Note, 8/15/16 500,000 $499,863
GLC Trust 2013-1, 3.0%, 7/15/21 (144A) 1,000,000 $749,505
Glencore Funding LLC, Floating Rate Note, 5/27/16 (144A) 1,000,000 $1,007,268
Global Container Assets 2013-1, Ltd., 2.2%, 11/5/28 (144A) 750,000 $431,066
Global Mortgage Securitization, Ltd., 5.25%, 4/25/32 (144A) 795,156 $226,367
Global Mortgage Securitization, Ltd., Floating Rate Note, 4/25/32 (144A) 8,633,000 $732,305
GMAC Commercial Mortgage Securities Inc Series 2004-C2 Trust, Floating Rate Note, 8/10/38 1,465,000 $10,990
GMAC Commercial Mortgage Securities Inc Series 2005-C1 Trust, 4.697%, 5/10/43 1,019,000 $94,234
GMAC Commercial Mortgage Securities Inc Series 2006-C1 Trust, Floating Rate Note, 11/10/45 2,370,000 $1,482,366
GMACM Mortgage Loan Trust 2004-AR1, Floating Rate Note, 6/25/34 2,100,000 $195,305
GMAT 2013-1 Trust, 3.9669%, 8/25/53 (Step) 1,505,000 $1,123,251
Golden State RE II, Ltd., Floating Rate Note, 1/8/19 (Cat Bond) (144A) 750,000 $751,483
Government National Mortgage Association, 3.0%, 12/20/38 5,000,000 $1,199,591
Government National Mortgage Association, 3.0%, 12/20/38 1,000,000 $122,929
Government National Mortgage Association, 3.0%, 4/20/41 300,000 $246,398
Government National Mortgage Association, 3.5%, 5/20/39 1,025,000 $524,622
Government National Mortgage Association, 3.5%, 8/20/38 1,115,000 $379,363
Government National Mortgage Association, 5.0%, 4/20/36 850,000 $99,210
Government National Mortgage Association, 5.0%, 5/20/35 2,100,000 $18,007
Government National Mortgage Association, 5.25%, 5/20/31 14,313,000 $216,774
Government National Mortgage Association, Floating Rate Note, 1/16/35 2,563,000 $264,685
Government National Mortgage Association, Floating Rate Note, 1/16/40 2,000,000 $655,028
Government National Mortgage Association, Floating Rate Note, 2/16/30 14,415,492 $213,008
Government National Mortgage Association, Floating Rate Note, 2/16/53 2,000,000 $132,934
Government National Mortgage Association, Floating Rate Note, 2/20/35 2,059,000 $263,470
Government National Mortgage Association, Floating Rate Note, 2/20/38 2,477,000 $202,739
Government National Mortgage Association, Floating Rate Note, 3/16/53 1,200,000 $74,549
Government National Mortgage Association, Floating Rate Note, 4/16/31 12,627,242 $254,352
Government National Mortgage Association, Floating Rate Note, 4/16/32 33,333,000 $595,982
Government National Mortgage Association, Floating Rate Note, 4/16/32 10,000,000 $140,459
Government National Mortgage Association, Floating Rate Note, 8/16/52 2,000,000 $99,157
Government National Mortgage Association, Floating Rate Note, 8/20/35 1,177,000 $94,024
Government National Mortgage Association, Floating Rate Note, 8/20/40 1,000,000 $548,457
Government National Mortgage Association, Floating Rate Note, 9/16/52 1,800,000 $119,983
Government National Mortgage Association, Floating Rate Note, 9/20/33 704,000 $52,260
Government National Mortgage Association I, 5.0%, 8/15/19 1,347,915 $327,793
Government National Mortgage Association I, 6.0%, 11/15/36 2,000,000 $181,951
Government National Mortgage Association I, 6.0%, 12/15/31 1,500,000 $64,211
Government National Mortgage Association I, 6.0%, 3/15/17 10,311,138 $152,659
Government National Mortgage Association I, 6.5%, 10/15/37 400,000 $39,424
Government National Mortgage Association I, 6.5%, 5/15/31 3,183,996 $40,423
Government National Mortgage Association I, 6.5%, 7/15/35 328,670 $8,371
Government National Mortgage Association I, 7.5%, 10/15/36 1,000,000 $61,324
Government National Mortgage Association II, 6.0%, 10/20/21 3,113,223 $394,640
Government National Mortgage Association II, 6.0%, 11/20/22 1,986,670 $249,197
Government National Mortgage Association II, 6.0%, 4/20/22 1,262,566 $182,534
Government National Mortgage Association II, 6.0%, 8/20/19 2,911,151 $149,930
Government National Mortgage Association REMICS, 2.0%, 1/16/46 3,000,000 $2,955,807
Government National Mortgage Association REMICS, 4.0%, 9/20/37 4,000,000 $2,707,249
GP Portfolio Trust 2014-GGP, Floating Rate Note, 2/16/27 (144A) 1,000,000 $1,000,066
Gracechurch Card Funding Plc, Floating Rate Note, 6/15/17 (144A) 300,000 $300,372
Gray Television Inc. 1st Lien Tl L + 3% 10jun21 801,032 $800,198
GreenPoint Mortgage Funding Trust 2005-HE1, Floating Rate Note, 9/25/34 297,570 $73,508
GSAA Home Equity Trust 2004-6, Floating Rate Note, 6/25/34 15,032,940 $378,199
GSAA Home Equity Trust 2005-11, Floating Rate Note, 10/25/35 1,022,000 $82,333
GSAA Trust, Floating Rate Note, 6/25/35 440,000 $302,283
GSAA Trust, Floating Rate Note, 6/25/35 1,900,000 $458,233
GSAMP Trust 2005-HE1, Floating Rate Note, 12/25/34 1,210,753 $89,179
GSAMP Trust 2006-SEA1, Floating Rate Note, 5/25/36 (144A) 5,518,315 $384,898
GS Caltex Corp., 3.25%, 10/1/18 (144A) 500,000 $515,508
GS Mortgage Securities Corp II Series 2005-GG4 REMICS, 4.782%, 7/10/39 1,145,000 $1,154,073
GS Mortgage Securities Trust 2006-GG6 REMICS, Floating Rate Note, 4/10/38 1,020,000 $1,045,103
GS Mortgage Securities Trust 2014-GSFL, Floating Rate Note, 7/15/31 (144A) 495,000 $496,376
GSR Mortgage Loan Trust 2003-9, Floating Rate Note, 8/25/33 4,000,000 $248,143
GSR Mortgage Loan Trust 2004-7, Floating Rate Note, 6/25/34 4,189,737 $502,169
GSRPM Mortgage Loan Trust 2003-2, Floating Rate Note, 6/25/33 393,823 $229,899
GSRPM Mortgage Loan Trust 2006-1, Floating Rate Note, 3/25/35 (144A) 1,201,850 $163,380
GSRPM Mortgage Loan Trust 2006-2, Floating Rate Note, 9/25/36 (144A) 1,226,000 $155,841
GTP Acquisition Partners I LLC, 4.347%, 6/15/41 (144A) 614,000 $625,719
Halyard Health Inc 1st Lien Tl-B L + 3.25% 03oct21 300,000 $302,672
HarborView Mortgage Loan Trust 2004-1, Floating Rate Note, 4/19/34 3,987,000 $173,780
Harley-Davidson Financial Services, Inc., 1.15%, 9/15/15 (144A) 700,000 $705,574
Harley-Davidson Financial Services, Inc., 3.875%, 3/15/16 (144A) 175,000 $183,678
Health Care Real Estate Investment Trust, Inc., 2.25%, 3/15/18 500,000 $509,246
Hercules Capital Funding Trust 2012-1, 3.32%, 12/16/17 (144A) 250,000 $29,327
Hertz Fleet Lease Funding LP, Floating Rate Note, 4/10/28 (144A) 300,000 $299,663
Hess Corp., 1.3%, 6/15/17 750,000 $741,919
Hilton Grand Vacations Trust 2014-A, 2.07%, 11/25/26 (144A) 750,000 $632,552
Hilton USA Trust 2013-HLF, Floating Rate Note, 11/5/30 (144A) 500,000 $493,554
Hilton USA Trust 2013-HLF, Floating Rate Note, 11/5/30 (144A) 175,000 $172,600
Hilton Worldwide Finance LLC, Initial Term Loan, 9/23/20 381,579 $381,877
HLSS Servicer Advance Receivables Trust, 1.4953%, 1/16/46 (144A) 1,706,000 $1,685,809
HLSS Servicer Advance Receivables Trust, 1.7436%, 1/16/46 (144A) 250,000 $250,244
HLSS Servicer Advance Receivables Trust, 4.94%, 10/15/45 (144A) 350,000 $350,803
Holmes Master Issuer Plc, Floating Rate Note, 10/15/54 (144A) 250,000 $262,167
Hologic, Inc., Refinancing Tranche B Term Loan, 8/1/19 362,187 $363,319
HomeBanc Mortgage Trust 2005-2, Floating Rate Note, 5/25/25 6,015,011 $190,667
Home Equity Asset Trust 2005-3, Floating Rate Note, 8/25/35 250,000 $1,223
Home Equity Asset Trust 2006-4, Floating Rate Note, 8/25/36 253,896 $61,657
Home Equity Asset Trust 2006-8, Floating Rate Note, 3/25/37 1,394,318 $350,935
Home Equity Mortgage Trust, 5.821%, 4/25/35 (Step) 1,000,000 $261,968
Home Equity Mortgage Trust 2005-2, Floating Rate Note, 7/25/35 1,113,955 $234,335
Home Loan Trust 2003-HI1, 5.77%, 4/25/28 (Step) 1,500,000 $89,723
Homestar Mortgage Acceptance Corp., Floating Rate Note, 1/25/35 3,700,000 $343,045
Homestar Mortgage Acceptance Corp., Floating Rate Note, 3/25/34 25,588,000 $1,410,396
Homestar Mortgage Acceptance Corp., Floating Rate Note, 6/25/34 3,670,962 $296,408
Homestar Mortgage Acceptance Corp., Floating Rate Note, 7/25/34 2,600,000 $218,161
Honda Auto Receivables 2012-2 Owner Trust, 0.7%, 2/16/16 350,000 $41,976
Honda Auto Receivables 2013-2 Owner Trust, 0.53%, 2/16/17 285,000 $241,391
Horizon Funding Trust 2013-1, 3.0%, 5/15/18 (144A) 585,000 $223,662
HSBC Bank Middle East, Ltd., 3.0%, 10/21/15 750,000 $766,525
HSBC Bank Plc, 3.5%, 6/28/15 (144A) 750,000 $761,928
HSBC Home Equity Loan Trust USA 2006-3, Floating Rate Note, 3/20/36 1,905,000 $1,466,917
HSBC USA, Inc., Floating Rate Note, 6/23/17 750,000 $749,875
HSI Asset Securitization Corp Trust 2006-OPT1, Floating Rate Note, 12/25/35 450,623 $131,240
Huntsman International LLC, 2014-1 Incremental Term Loan, 9/30/21 550,000 $552,400
Hyperion Insurance Group, Ltd., Term Loan, 10/4/19 396,000 $394,763
Hyundai Auto Receivables Trust 2014-B, 2.1%, 11/15/19 500,000 $501,021
Hyundai Capital America, 1.875%, 8/9/16 (144A) 500,000 $505,955
Hyundai Capital America, 3.75%, 4/6/16 (144A) 1,375,000 $1,433,077
Hyundai Capital Auto Funding VIII, Ltd., Floating Rate Note, 9/20/16 (144A) 1,200,000 $17,848
Ibis Re II, Ltd., Floating Rate Note, 6/28/16 (Cat Bond) (144A) 500,000 $506,600
Impac CMB Trust Series 2004-4, Floating Rate Note, 9/25/34 32,445,000 $1,323,994
Impac CMB Trust Series 2004-4, Floating Rate Note, 9/25/34 14,479,489 $591,045
Impac CMB Trust Series 2004-6, Floating Rate Note, 10/25/34 2,125,000 $107,621
Impac CMB Trust Series 2004-7, Floating Rate Note, 11/25/34 18,863,000 $1,184,711
Impac CMB Trust Series 2004-8, Floating Rate Note, 8/25/34 590,000 $66,863
Impac CMB Trust Series 2005-4, Floating Rate Note, 5/25/35 3,000,000 $289,769
Impac Secured Assets Trust 2006-1, Floating Rate Note, 5/25/36 1,300,000 $415,280
Impac Secured Assets Trust 2006-2, Floating Rate Note, 8/25/36 1,173,000 $227,187
Impac Secured Assets Trust 2006-5, Floating Rate Note, 12/25/36 2,600,000 $528,506
IndyMac INDX Mortgage Loan Trust 2004-AR6, Floating Rate Note, 10/25/34 675,000 $78,053
Intel Corp., 1.35%, 12/15/17 700,000 $706,033
International Equipment Solutions LLC, Initial Loan, 8/16/19 140,771 $141,123
Intesa Sanpaolo S.p.A., 3.125%, 1/15/16 500,000 $509,872
Intesa Sanpaolo S.p.A., 3.625%, 8/12/15 (144A) 1,375,000 $1,393,095
Invitation Homes 2013-SFR1 Trust, Floating Rate Note, 12/19/30 (144A) 750,000 $742,313
Invitation Homes 2014-SFR2 Trust, Floating Rate Note, 9/18/31 (144A) 600,000 $599,057
Inwood Park CDO, Ltd., Floating Rate Note, 1/20/21 (144A) 1,000,000 $283,811
Irwin Home Equity Loan Trust 2005-1, 5.32%, 6/25/35 (Step) 900,000 $104,497
Irwin Whole Loan Home Equity Trust 2003-C, Floating Rate Note, 6/25/28 2,350,000 $548,787
Irwin Whole Loan Home Equity Trust 2003-C, Floating Rate Note, 6/25/28 1,923,500 $127,301
Irwin Whole Loan Home Equity Trust 2003-D, Floating Rate Note, 11/25/28 2,250,000 $189,729
Irwin Whole Loan Home Equity Trust 2005-B, Floating Rate Note, 12/25/29 1,775,000 $919,726
IXIS Real Estate Capital Trust 2005-HE4, Floating Rate Note, 2/25/36 250,000 $37,903
Jarden Corp., Tranche B1 Term Loan, 9/30/20 246,875 $248,572
JBS USA LLC, Incremental Term Loan, 9/18/20 197,500 $197,378
John Deere Capital Corp., 1.05%, 10/11/16 1,098,000 $1,107,396
John Deere Capital Corp., 1.05%, 12/15/16 750,000 $754,591
John Deere Capital Corp., Floating Rate Note, 10/11/16 1,090,000 $1,093,893
Johnson Controls, Inc., 1.4%, 11/2/17 700,000 $699,448
JPMorgan Chase & Co., 1.1%, 10/15/15 492,000 $495,378
JPMorgan Chase & Co., 3.4%, 6/24/15 265,000 $269,009
JPMorgan Chase & Co., Floating Rate Note, 2/15/17 500,000 $501,074
JPMorgan Chase & Co., Floating Rate Note, 2/25/21 500,000 $499,730
JPMorgan Chase & Co., Floating Rate Note, 2/26/16 320,000 $320,949
JP Morgan Chase Commercial Mortgage Securities Trust 2004-LN2, Floating Rate Note, 7/15/41 637,677 $70,315
JP Morgan Chase Commercial Mortgage Securities Trust 2005-LDP2, 4.78%, 7/15/42 1,150,000 $1,159,494
JP Morgan Chase Commercial Mortgage Securities Trust 2005-LDP2 REMICS, 4.738%, 7/15/42 960,000 $556,936
JP Morgan Chase Commercial Mortgage Securities Trust 2005-LDP3, Floating Rate Note, 8/15/42 800,000 $814,180
JP Morgan Chase Commercial Mortgage Securities Trust 2005-LDP3 REMICS, Floating Rate Note, 8/15/42 440,000 $352,287
JP Morgan Chase Commercial Mortgage Securities Trust 2005-LDP4, Floating Rate Note, 10/15/42 500,000 $506,862
JP Morgan Chase Commercial Mortgage Securities Trust 2005-LDP5, Floating Rate Note, 12/15/44 1,920,000 $1,760,234
JP Morgan Chase Commercial Mortgage Securities Trust 2006-FL2, Floating Rate Note, 11/15/18 (144A) 2,550,000 $500,757
JP Morgan Chase Commercial Mortgage Securities Trust 2006-FL2, Floating Rate Note, 11/15/18 (144A) 550,000 $177,632
JP Morgan Chase Commercial Mortgage Securities Trust 2006-LDP6, Floating Rate Note, 4/15/43 500,000 $517,270
JP Morgan Chase Commercial Mortgage Securities Trust 2006-LDP9, Floating Rate Note, 5/15/47 250,000 $93,412
JP Morgan Chase Commercial Mortgage Securities Trust 2007-CIBC19, Floating Rate Note, 2/12/49 475,000 $4,934
JP Morgan Chase Commercial Mortgage Securities Trust 2013-JWRZ, Floating Rate Note, 4/15/30 (144A) 1,550,000 $1,550,128
JP Morgan Chase Commercial Mortgage Securities Trust 2014-BXH, Floating Rate Note, 4/15/27 (144A) 1,670,000 $1,669,141
JP Morgan Chase Commercial Mortgage Securities Trust 2014-FBLU, Floating Rate Note, 12/15/28 (144A) 945,000 $946,690
JP Morgan Chase Commercial Mortgage Securities Trust 2014-FBLU REMICS, Floating Rate Note, 12/15/28 1,030,000 $1,031,231
JP Morgan Chase Commercial Mortgage Securities Trust 2014-FL4, Floating Rate Note, 12/16/30 (144A) 410,000 $410,631
JP Morgan Chase Commercial Mortgage Securities Trust 2014-FL5, Floating Rate Note, 7/15/31 (144A) 490,000 $489,261
JP Morgan Chase Commercial Mortgage Securities Trust 2014-FL6, Floating Rate Note, 11/15/31 (144A) 1,170,000 $1,169,722
JP Morgan Chase Commercial Mortgage Securities Trust 2014-INN, Floating Rate Note, 6/15/29 (144A) 900,000 $898,200
JP Morgan Chase Commercial Mortgage Securities Trust 2014-INN, Floating Rate Note, 6/15/29 (144A) 650,000 $648,308
JP Morgan Chase Commercial Mortgage Securities Trust 2014-PHH, Floating Rate Note, 8/16/27 (144A) 1,100,000 $1,100,266
JP Morgan Mortgage Acquisition Trust 2006-ACC1, Floating Rate Note, 5/25/36 704,088 $175,620
JP Morgan Mortgage Trust 2003-A1, Floating Rate Note, 10/25/33 4,845,389 $556,959
JP Morgan Mortgage Trust 2004-A1, Floating Rate Note, 2/25/34 3,584,000 $315,371
JP Morgan Mortgage Trust 2004-A5, Floating Rate Note, 12/25/34 245,000 $174,289
JP Morgan Mortgage Trust 2004-S1, 5.0%, 9/25/34 3,504,124 $182,706
JP Morgan Mortgage Trust 2005-A3, Floating Rate Note, 6/25/35 6,041,179 $604,811
JP Morgan Mortgage Trust 2006-S3, 6.0%, 8/25/36 1,036,158 $705
Kane Flt% 12jun15 600,000 $580,860
Kane Ilw Zero% 02feb16 250,000 $231,850
Kane Sac, Ltd., 0.0%, 1/7/16 (Cat Bond) 685,125 $686,838
Kane Sac, Ltd., 0.0%, 1/7/16 (Cat Bond) 458,833 $459,338
Kane Sac, Ltd., 0.0%, 1/7/16 (Cat Bond) 210,250 $210,713
Kane Sac, Ltd., 0.0%, 1/7/16 (Cat Bond) 444,667 $445,334
Kane Zero% 29apr16 800,000 $819,280
KeyBank NA Cleveland Ohio, 1.1%, 11/25/16 500,000 $501,884
KeyBank NA Cleveland Ohio, 1.65%, 2/1/18 1,000,000 $1,003,844
KeyCorp, 3.75%, 8/13/15 931,000 $946,124
Kilimanjaro Re, Ltd., Floating Rate Note, 11/25/19 (Cat Bond) (144A) 750,000 $752,281
Kilimanjaro Re, Ltd., Floating Rate Note, 4/30/18 (Cat Bond) (144A) 650,000 $666,500
Kilimanjaro Re, Ltd., Floating Rate Note, 4/30/18 (Cat Bond) (144A) 350,000 $355,031
Kinder Morgan, Inc. Delaware, 2.0%, 12/1/17 700,000 $705,454
Kinetic Concepts, Inc., Dollar Term E-1 Loan, 5/4/18 750,000 $750,117
Kizuna Re II, Ltd., Floating Rate Note, 4/6/18 (Cat Bond) (144A) 450,000 $453,009
KKR Financial CLO 2007-1, Ltd., Floating Rate Note, 5/15/21 (144A) 375,000 $370,728
L-3 Communications Corp., 1.5%, 5/28/17 586,000 $582,803
La Hipotecaria Panamanian Mortgage Trust 2007-1, Floating Rate Note, 12/23/36 (144A) 1,400,000 $643,688
Lanark Master Issuer Plc, Floating Rate Note, 12/22/54 (144A) 250,000 $234,227
LB-UBS Commercial Mortgage Trust 2004-C1, 4.568%, 1/15/31 275,000 $30,471
LB-UBS Commercial Mortgage Trust 2005-C2 REMICS, Floating Rate Note, 4/15/30 1,455,000 $469,560
LB-UBS Commercial Mortgage Trust 2005-C3, 4.739%, 7/15/30 825,000 $390,097
LB-UBS Commercial Mortgage Trust 2005-C7 REMICS, Floating Rate Note, 11/15/30 2,455,809 $2,189,904
LB-UBS Commercial Mortgage Trust 2006-C1 REMICS, 5.156%, 2/15/31 1,615,000 $1,607,618
Leaf Receivables Funding 8 LLC, 1.55%, 11/15/17 (144A) 195,000 $155,568
Leaf Receivables Funding 8 LLC, 2.67%, 9/15/20 (144A) 311,966 $313,915
Lehman ABS Manufactured Housing Contract Trust 2002-A, Floating Rate Note, 6/15/33 19,804,000 $824,564
Lehman Brothers Small Balance Commercial, Floating Rate Note, 2/25/30 (144A) 4,631,000 $633,553
Lehman Brothers Small Balance Commercial, Floating Rate Note, 4/25/31 (144A) 2,843,000 $478,459
Lehman Brothers Small Balance Commercial, Floating Rate Note, 4/25/31 (144A) 3,723,496 $523,149
Lehman Brothers Small Balance Commercial, Floating Rate Note, 9/25/30 (144A) 3,264,773 $537,485
Lehman Brothers Small Balance Commercial Mortgage Trust 2007-3, Floating Rate Note, 10/25/37 (144A) 885,400 $205,627
Lehman Brothers Small Balance Commercial Mortgage Trust 2007-3, Floating Rate Note, 10/25/37 (144A) 466,904 $319,063
Level 3 Financing Inc 1st Lien Tl-B5 L + 3.5% 31jan22 225,000 $226,359
Lincoln National Corp., 4.3%, 6/15/15 250,000 $254,742
Live Nation Entertainment, Inc., Term B-1 Loan, 8/17/20 511,525 $509,121
Longpoint Re, Ltd., Floating Rate Note, 6/12/15 (Cat Bond) (144A) 900,000 $921,210
Longpoint Re, Ltd. III, Floating Rate Note, 5/18/16 (Cat Bond) (144A) 750,000 $758,340
LPL Holdings, Inc., 2013 Incremental Tranche B Term Loan, 3/29/19 145,901 $145,376
MacDermid, Inc., Tranche B Term Loan (First Lien), 6/7/20 748,101 $752,122
Madison Avenue Manufactured Housing Contract Trust 2002-A, Floating Rate Note, 3/25/32 1,100,000 $342,914
MALLINCKRODT INTERNATIONAL FINANCE SA, Initial Term B Loan, 3/6/21 297,750 $296,224
Manufacturers & Traders Trust Co., Floating Rate Note, 1/30/17 500,000 $499,730
Manufacturers & Traders Trust Co., Floating Rate Note, 7/25/17 1,000,000 $996,943
Marathon Oil Corp., 0.9%, 11/1/15 1,496,000 $1,499,845
Marriott Vacation Club Owner Trust 2012-1, 3.5%, 5/20/30 (144A) 845,000 $417,495
Massachusetts Development Finance Agency, Floating Rate Note, 2/15/36 250,000 $256,936
Massachusetts Port Authority, 5.0%, 7/1/16 475,000 $506,898
MASTR Alternative Loan Trust 2005-1, Floating Rate Note, 2/25/35 6,760,000 $514,688
Mastr Asset Backed Securities Trust 2005-WF1, Floating Rate Note, 6/25/35 51,000 $2,163
Mastr Asset Backed Securities Trust 2005-WMC1, Floating Rate Note, 3/25/35 215,000 $46,497
Mastr Asset Backed Securities Trust 2006-AB1 REMICS, Floating Rate Note, 2/25/36 3,670,545 $594,287
Mastr Asset Backed Securities Trust 2006-NC1, Floating Rate Note, 1/25/36 1,567,646 $166,809
MASTR Asset Securitization Trust 2003-6, Floating Rate Note, 7/25/18 2,444,000 $64,840
Mastr Specialized Loan Trust, Floating Rate Note, 1/25/36 (144A) 3,644,114 $278,998
McKesson Corp., Floating Rate Note, 9/10/15 235,000 $235,445
Mediacom Illinois LLC, Tranche F Term Loan, 3/31/18 397,000 $392,368
Merna Re V, Ltd., Floating Rate Note, 4/7/17 (Cat Bond) (144A) 650,000 $651,582
Merrill Lynch Mortgage Investors Trust Series 2005-2, Floating Rate Note, 10/25/35 1,543,473 $368,866
Merrill Lynch Mortgage Investors Trust Series 2005-A3, Floating Rate Note, 4/25/35 10,415,000 $1,180,156
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-A, Floating Rate Note, 3/25/28 10,213,000 $317,545
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-A, Floating Rate Note, 3/25/28 15,000,000 $640,375
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-B, Floating Rate Note, 4/25/28 9,700,000 $429,571
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-C, Floating Rate Note, 6/25/28 9,455,006 $337,793
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-C REMICS, Floating Rate Note, 6/25/28 10,150,000 $454,158
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-E, Floating Rate Note, 10/25/28 8,393,000 $379,003
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-G, Floating Rate Note, 1/25/29 3,592,000 $51,081
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-H, Floating Rate Note, 1/25/29 6,366,000 $337,507
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-A REMICS, Floating Rate Note, 4/25/29 9,673,948 $500,378
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-C, Floating Rate Note, 7/25/29 10,014,000 $465,506
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-G, Floating Rate Note, 1/25/30 3,400,000 $209,906
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-G, Floating Rate Note, 1/25/30 16,956,975 $679,731
Merrill Lynch Mortgage Investors Trust Series MLCC 2005-A, Floating Rate Note, 3/25/30 7,567,883 $449,840
Merrill Lynch Mortgage Trust 2005-CIP1, Floating Rate Note, 7/12/38 630,000 $636,185
Merrill Lynch Mortgage Trust 2005-CKI1, Floating Rate Note, 11/12/37 2,360,000 $1,747,504
Merrill Lynch Mortgage Trust 2005-LC1, Floating Rate Note, 1/12/44 1,670,000 $1,502,041
Merrill Lynch Mortgage Trust 2005-MCP1, Floating Rate Note, 6/12/43 470,000 $182,050
Metropolitan Life Global Funding I, Floating Rate Note, 7/15/16 (144A) 300,000 $301,887
Metropolitan Life Insurance Co., 7.7%, 11/1/15 (144A) 1,250,000 $1,336,780
MGM Resorts International, Term B Loan, 12/20/19 343,000 $342,185
Micro Focus Us Inc 1st Lien Tl-B L + 4.25% 07oct21 400,000 $394,833
Micron Semiconductor Asia Pte, Ltd., 1.258%, 1/15/19 500,000 $398,760
Milacron LLC, Term Loan, 3/28/20 496,250 $490,047
ML-CFC Commercial Mortgage Trust 2006-1, Floating Rate Note, 2/12/39 1,600,000 $1,507,750
Monsanto Co., 1.15%, 6/30/17 1,000,000 $1,004,498
Morgan Stanley, Floating Rate Note, 1/5/18 750,000 $752,794
Morgan Stanley, Floating Rate Note, 11/9/18 275,000 $291,135
Morgan Stanley, Floating Rate Note, 2/25/16 500,000 $504,341
Morgan Stanley, Floating Rate Note, 6/6/16 500,000 $503,653
Morgan Stanley ABS Capital I Inc Trust 2004-SD3, Floating Rate Note, 6/25/34 (144A) 13,470,000 $482,328
Morgan Stanley ABS Capital I Inc Trust 2005-NC2, Floating Rate Note, 3/25/35 627,000 $385,542
Morgan Stanley ABS Capital I Inc Trust 2005-WMC5, Floating Rate Note, 6/25/35 820,000 $191,590
Morgan Stanley Capital I Trust 2004-IQ8, Floating Rate Note, 6/15/40 1,200,000 $72,357
Morgan Stanley Capital I Trust 2005-HQ6, 4.989%, 8/13/42 1,815,000 $58,561
Morgan Stanley Capital I Trust 2005-HQ6 REMICS, Floating Rate Note, 8/13/42 1,250,000 $1,266,171
Morgan Stanley Capital I Trust 2005-IQ10, Floating Rate Note, 9/15/42 915,000 $642,914
Morgan Stanley Capital I Trust 2005-TOP19, 4.89%, 6/12/47 1,940,000 $1,140,593
Morgan Stanley Capital I Trust 2006-TOP21, Floating Rate Note, 10/12/52 1,435,000 $1,464,077
Morgan Stanley Dean Witter Capital I Trust 2001-TOP3, 6.79%, 7/15/33 460,000 $79,308
Morgan Stanley Home Equity Loan Trust 2005-4, Floating Rate Note, 9/25/35 1,558,243 $634,306
Morgan Stanley Mortgage Loan Trust 2005-5AR, Floating Rate Note, 9/25/35 9,387,000 $751,292
Morgan Stanley Mortgage Loan Trust 2005-6AR, Floating Rate Note, 11/25/35 2,941,000 $437,047
Morgan Stanley Mortgage Loan Trust 2005-6AR, Floating Rate Note, 11/25/35 3,786,000 $407,913
MortgageIT Trust 2004-1, Floating Rate Note, 11/25/34 3,200,000 $420,162
MortgageIT Trust 2004-2, Floating Rate Note, 12/25/34 5,310,000 $799,568
Motor 2013-1 Plc, Floating Rate Note, 2/25/21 (144A) 466,000 $89,396
Mpg Holdco I Inc 1st Lien Tl-B L + 3.5% 13oct21 587,900 $591,020
MRFC Mortgage Pass-Through Trust Series 1999-TBC2 REMICS, Floating Rate Note, 6/15/30 3,714,390 $207,701
MUFG Union Bank NA, 2.625%, 9/26/18 1,000,000 $1,037,589
MUFG Union Bank NA, Floating Rate Note, 9/26/16 1,450,000 $1,459,923
MVW Owner Trust 2014-1, 2.7%, 9/20/31 (144A) 750,000 $688,305
Mythen Re, Ltd., Floating Rate Note, 5/7/15 (Cat Bond) (144A) 1,750,000 $1,774,234
Mythen Re, Ltd., Floating Rate Note, 5/7/15 (Cat Bond) (144A) 500,000 $507,513
Mythen Re, Ltd. Series 2012-2 Class A, Floating Rate Note, 1/5/17 (Cat Bond) (144A) 500,000 $535,031
Mythen Re, Ltd. Series 2013-1 Class B, Floating Rate Note, 7/9/15 (Cat Bond) (144A) 700,000 $722,143
National City Bank Cleveland Ohio, Floating Rate Note, 12/15/16 250,000 $249,343
National Oilwell Varco, Inc., 1.35%, 12/1/17 775,000 $773,084
National Rural Utilities Cooperative Finance Corp., Floating Rate Note, 11/23/16 500,000 $500,525
Nations Equipment Finance Funding II LLC, 3.276%, 1/22/19 (144A) 500,000 $476,842
Navios Maritime Partners LP, Term Loan, 6/27/18 459,188 $460,048
Navistar, Inc., Tranche B Term Loan, 8/17/17 400,000 $402,747
Navitas Equipment Receivables LLC 2013-1, 3.63%, 2/15/17 650,000 $652,481
NCF Dealer Floorplan Master Trust, Floating Rate Note, 10/20/20 (144A) 750,000 $749,727
NCUA Guaranteed Notes Trust REMICS, 1.6%, 10/29/20 500,000 $174,631
NCUA Guaranteed Notes Trust REMICS, Floating Rate Note, 3/2/21 800,000 $355,363
New Century Home Equity Loan Trust 2005-1, Floating Rate Note, 3/25/35 2,101,000 $334,907
NewStar Commercial Loan Trust 2007-1, Floating Rate Note, 9/30/22 (144A) 500,000 $237,358
New York Life Global Funding, 1.125%, 3/1/17 (144A) 500,000 $504,057
New York Life Global Funding, 1.45%, 12/15/17 (144A) 750,000 $755,012
New York Life Global Funding, Floating Rate Note, 10/29/15 (144A) 750,000 $749,932
New York Life Global Funding, Floating Rate Note, 5/23/16 (144A) 1,050,000 $1,053,846
Nissan Auto Lease Trust 2013-B, Floating Rate Note, 1/15/16 240,000 $103,042
Nissan Motor Acceptance Corp., 2.65%, 9/26/18 (144A) 1,000,000 $1,040,504
Nissan Motor Acceptance Corp., Floating Rate Note, 3/3/17 (144A) 500,000 $502,446
Nn Inc 1st Lien Tl-B L + 5% 18jul21 394,286 $395,764
Nomura Asset Acceptance Corp Alternative Loan Trust Series 2003-A3, 5.5%, 8/25/33 (Step) 3,120,000 $202,180
Norcraft Companies LP, Initial Loan, 11/12/20 247,500 $247,500
Nordea Bank AB, Floating Rate Note, 5/13/16 (144A) 250,000 $250,921
Nordea Bank Finland Plc New York, Floating Rate Note, 6/13/16 1,000,000 $1,001,134
North American Development Bank, 2.3%, 10/10/18 650,000 $666,788
Northshore Re, Ltd., Floating Rate Note, 7/5/16 (Cat Bond) (144A) 500,000 $523,641
NorthStar 2012-1 Mortgage Trust, Floating Rate Note, 8/27/29 (144A) 200,000 $200,557
NorthStar 2013-1, Floating Rate Note, 8/27/29 (144A) 778,000 $735,866
NovaStar Mortgage Funding Trust Series 2004-3, Floating Rate Note, 12/25/34 560,000 $533,277
NovaStar Mortgage Funding Trust Series 2004-4, Floating Rate Note, 3/25/35 1,457,000 $1,432,134
NovaStar Mortgage Funding Trust Series 2004-4, Floating Rate Note, 3/25/35 300,000 $97,062
NSG Holdings LLC, New Term Loan, 12/11/19 192,370 $191,168
NSTAR Electric Co., Floating Rate Note, 5/17/16 341,000 $340,695
NYSE Euronext Holdings LLC, 2.0%, 10/5/17 150,000 $153,347
Oak Hill Advisors Residential Loan Trust 2014-NPL1, 2.8828%, 5/25/54 (Step) (144A) 520,000 $343,735
On Assignment, Inc., Initial Term B Loan, 5/15/20 171,522 $170,611
Ooredoo International Finance, Ltd., 3.375%, 10/14/16 (144A) 500,000 $520,707
Opteum Mortgage Acceptance Corp Trust 2005-4, Floating Rate Note, 11/25/35 6,320,000 $1,144,623
Option One Mortgage Loan Trust 2005-4 Asset-Backed Certificates Series 2005-4, Floating Rate Note, 1 5,875,000 $431,707
Option One Woodbridge Loan Trust 2002-1, Floating Rate Note, 3/25/32 (144A) 1,370,736 $224,606
Oracle Corp., 2.25%, 10/8/19 300,000 $308,277
Oracle Corp., 2.375%, 1/15/19 500,000 $514,466
Oracle Corp., Floating Rate Note, 7/7/17 575,000 $575,769
Orange Lake Timeshare Trust 2012-A, 4.87%, 3/10/27 (144A) 600,000 $275,888
Orbital ATK, Inc., Term B Loan, 10/22/20 197,751 $198,205
ORES 2014-LV3 LLC, 3.0%, 3/27/24 (144A) 550,000 $334,337
ORES NPL 2013-LV2 LLC, 3.081%, 9/25/25 (144A) 430,000 $155,225
Origen Manufactured Housing Contract Trust 2004-A, Floating Rate Note, 1/15/35 600,000 $245,739
Origen Manufactured Housing Contract Trust 2004-B, Floating Rate Note, 11/15/35 460,000 $370,465
Origen Manufactured Housing Contract Trust 2005-A, Floating Rate Note, 6/15/36 250,000 $229,708
Oscar US Funding Trust 2014-1, 1.0%, 8/15/17 (144A) 700,000 $699,433
PACCAR Financial Corp., Floating Rate Note, 6/6/17 485,000 $484,823
Pangaea Zero% 01jul18 700,000 $756,700
Park Place Securities Inc Asset-Backed Pass-Through Certificates Series 2004-MHQ, Floating Rate Note 840,000 $760,176
Park Place Securities Inc Asset-Backed Pass-Through Ctfs Ser 2004-WCW2, Floating Rate Note, 10/25/34 1,076,819 $12,242
Park Place Securities Inc Asset-Backed Pass-Through Ctfs Ser 2005-WHQ4, Floating Rate Note, 9/25/35 1,793,831 $484,400
Par Pharmaceutical Companies, Inc., Term B-2 Loan, 9/28/19 640,927 $638,924
Par Pharmaceutical Cos Inc 1st Lien Tl-B3 L + 3.25% 28sep19 500,000 $500,158
PARTY CITY HOLDINGS INC, 2014 Replacement Term Loan, 7/27/19 945,450 $940,723
Pelican Re, Ltd., Floating Rate Note, 4/13/15 (Cat Bond) (144A) 500,000 $522,401
People's Choice Home Loan Securities Trust Series 2005-3, Floating Rate Note, 8/25/35 109,980 $9,734
Pfizer, Inc., Floating Rate Note, 5/15/17 750,000 $750,041
PFS Financing Corp., Floating Rate Note, 2/15/18 (144A) 800,000 $800,129
PFS Financing Corp., Floating Rate Note, 2/15/19 (144A) 430,000 $429,629
PFS Tax Lien Trust 2014-1, 1.44%, 5/15/29 400,000 $311,234
PHH Mortgage Capital LLC, 6.6%, 12/25/27 (Step) (144A) 3,250,000 $186,026
Phillips 66, 2.95%, 5/1/17 750,000 $784,134
PNC Bank NA, 1.125%, 1/27/17 450,000 $452,108
PNC Bank NA, 1.3%, 10/3/16 550,000 $556,052
PNC Bank NA, Floating Rate Note, 1/28/16 500,000 $500,901
PNC Bank NA, Floating Rate Note, 8/1/17 750,000 $748,747
Polarpak, Inc., USD Term Loan (Canadian Borrower Portion), 6/7/20 157,165 $156,380
Polarpak, Inc., USD Term Loan (U.S. Borrower Portion), 6/7/20 81,881 $81,471
Popular ABS Mortgage Pass-Through Trust 2004-4, 4.78636%, 9/25/34 (Step) 1,415,000 $494,612
Precision Castparts Corp., 1.25%, 1/15/18 500,000 $497,268
Prestige Brands, Inc., Term B-2 Loan, 8/18/21 335,000 $335,921
Pricoa Global Funding I, Floating Rate Note, 6/24/16 (144A) 500,000 $500,498
Principal Life Global Funding II, 1.2%, 5/19/17 (144A) 750,000 $753,387
Principal Life Global Funding II, Floating Rate Note, 5/27/16 (144A) 390,000 $391,519
Progreso Receivables Funding II LLC, 3.5%, 7/8/19 (144A) 1,370,000 $1,373,920
Progreso Receivables Funding I LLC, 4.0%, 7/9/18 (144A) 1,000,000 $1,008,806
Progress Residential 2014-SFR1 Trust, Floating Rate Note, 10/17/31 (144A) 1,000,000 $1,002,109
Prudential Covered Trust 2012-1, 2.997%, 9/30/15 (144A) 500,000 $383,993
PSEG Power LLC, 2.75%, 9/15/16 500,000 $518,992
PVH Corp., Tranche B Term Loan, 2/13/20 337,190 $339,368
Quebecor Media, Inc., Facility B-1 Tranche, 8/17/20 198,489 $194,891
Queen City Re, Floating Rate Note, 1/6/19 (Cat Bond) (144A) 500,000 $501,228
Queen Street IV Capital, Ltd., Floating Rate Note, 4/9/15 (Cat Bond) (144A) 750,000 $763,331
Queen Street VII Re, Ltd., Floating Rate Note, 4/8/16 (Cat Bond) (144A) 750,000 $787,187
Queen Street V Re, Ltd., Floating Rate Note, 4/9/15 (Cat Bond) (144A) 750,000 $765,519
Quest Trust REMICS, Floating Rate Note, 3/25/34 (144A) 24,804,330 $905,981
RAAC Series 2004-SP2 Trust, 6.0%, 1/25/32 11,000,000 $406,115
RAAC Series 2005-RP1 Trust, Floating Rate Note, 7/25/37 (144A) 583,530 $289,462
RAAC Series 2005-RP2 Trust, Floating Rate Note, 6/25/35 (144A) 995,000 $123,483
RAAC Series 2006-RP2 Trust, Floating Rate Note, 2/25/37 (144A) 4,099,889 $353,982
RAIT 2014-FL2 Trust, Floating Rate Note, 5/15/31 (144A) 1,500,000 $1,483,394
RAIT 2014-FL3 Trust, Floating Rate Note, 12/15/31 (144A) 1,000,000 $986,738
RALI Series 2002-QS16 Trust, Floating Rate Note, 10/25/17 11,475,000 $169,122
RALI Series 2003-QR24 Trust REMICS, 4.0%, 7/25/33 6,880,000 $757,420
RALI Series 2003-QR24 Trust REMICS, 4.0%, 7/25/33 950,000 $105,967
RALI Series 2003-QS11 Trust, Floating Rate Note, 6/25/33 13,610,000 $596,027
RALI Series 2003-QS14 Trust, 5.0%, 7/25/18 600,000 $33,002
RALI Series 2003-QS15 Trust, 5.5%, 8/25/33 250,000 $153,214
RALI Series 2003-QS9 Trust, Floating Rate Note, 5/25/18 11,040,000 $377,744
RALI Series 2004-QR1 Trust, 5.25%, 10/25/34 21,545,000 $215,292
RALI Series 2004-QS1 Trust, 4.25%, 1/25/34 14,997,000 $3,990
RALI Series 2004-QS1 Trust, Floating Rate Note, 1/25/34 2,884,000 $6,685
RALI Series 2004-QS5 Trust, 4.75%, 4/25/34 4,285,000 $201,374
RALI Series 2004-QS5 Trust, Floating Rate Note, 4/25/34 1,761,729 $82,242
RAMP Series 2003-RS9 Trust, Floating Rate Note, 10/25/33 5,091,956 $365,205
RAMP Series 2004-RS11 Trust, Floating Rate Note, 11/25/34 1,085,000 $284,704
RAMP Series 2004-SL4 Trust, Floating Rate Note, 5/25/18 13,780,000 $70,922
RAMP Series 2005-RS6 Trust, Floating Rate Note, 6/25/35 278,355 $133,812
RASC Series 2005-EMX2 Trust, Floating Rate Note, 7/25/35 40,280 $2,724
Raymond James Financial, Inc., 4.25%, 4/15/16 2,108,000 $2,227,386
RBS Greenwich Capital Mortgage Loan Trust, Floating Rate Note, 4/15/24 (144A) 250,000 $251,443
RBSSP Resecuritization Trust 2009-5, Floating Rate Note, 8/25/37 (144A) 2,550,000 $791,850
Reckitt Benckiser Treasury Services Plc, 2.125%, 9/21/18 (144A) 500,000 $509,632
Regatta Funding, Ltd., Floating Rate Note, 6/15/20 (144A) 500,000 $193,973
Remy International, Inc., Term B Loan 2013, 3/5/20 1,000,000 $1,001,250
RENT-A-CENTER, INC, Term Loan (2014), 2/6/21 545,875 $534,958
Residential Asset Securitization Trust 2003-A2, Floating Rate Note, 5/25/33 34,300,000 $1,268,067
Residential Asset Securitization Trust 2004-A9, 5.75%, 12/25/34 1,130,000 $403,267
Residential Reinsurance 2011, Ltd., Floating Rate Note, 12/6/16 (Cat Bond) (144A) 500,000 $517,487
Residential Reinsurance 2011, Ltd., Floating Rate Note, 6/6/15 (Cat Bond) (144A) 500,000 $518,575
Residential Reinsurance 2011, Ltd., Floating Rate Note, 6/6/17 (Cat Bond) (144A) 500,000 $519,810
Residential Reinsurance 2012, Ltd., Floating Rate Note, 12/6/16 (Cat Bond) (144A) 250,000 $261,839
Residential Reinsurance 2012, Ltd., Floating Rate Note, 12/6/16 (Cat Bond) (144A) 1,150,000 $1,190,451
Residential Reinsurance 2012, Ltd., Floating Rate Note, 12/6/16 (Cat Bond) (144A) 250,000 $277,249
Residential Reinsurance 2012, Ltd., Floating Rate Note, 6/6/16 (Cat Bond) (144A) 250,000 $269,847
Residential Reinsurance 2013, Ltd., Floating Rate Note, 6/6/17 (Cat Bond) (144A) 250,000 $269,907
Residential Reinsurance 2014, Ltd., Floating Rate Note, 6/6/18 (Cat Bond) (144A) 250,000 $254,266
RESI Finance LP 2003-CB1, Floating Rate Note, 7/9/35 2,245,000 $562,905
Resi Flt% 12dec45 A1 500,000 $451,312
Resource Capital Corp 2014-CRE2, Ltd., Floating Rate Note, 4/15/32 (144A) 1,480,000 $1,471,607
Resource Capital Corp CRE Notes 2013, Ltd., Floating Rate Note, 6/15/16 (144A) 1,000,000 $1,001,845
RFMSI Series 2005-S5 Trust, 5.25%, 7/25/35 300,770 $154,173
RFSC Series 2004-RP1 Trust, Floating Rate Note, 11/25/42 (144A) 250,000 $130,182
Rialto Capital Management LLC, 2.85%, 5/15/24 (144A) 700,000 $186,913
Rio Tinto Finance USA Plc, Floating Rate Note, 6/17/16 560,000 $562,607
Riverfront Re, Ltd., Floating Rate Note, 1/6/17 (Cat Bond) (144A) 320,000 $321,685
Royal Bank of Canada, 1.45%, 9/9/16 1,000,000 $1,015,806
Royal Bank of Canada, Floating Rate Note, 1/23/17 550,000 $551,245
Royal Bank of Canada, Floating Rate Note, 6/16/17 1,000,000 $999,409
RREF 2014-LT6 LLC, 2.75%, 9/15/24 (144A) 1,280,000 $690,954
Sanders Re, Ltd., Floating Rate Note, 5/5/17 (Cat Bond) (144A) 750,000 $754,092
Sanders Re, Ltd., Floating Rate Note, 5/5/17 (Cat Bond) (144A) 750,000 $750,552
Sanders Re, Ltd., Floating Rate Note, 6/7/17 (Cat Bond) (144A) 650,000 $659,257
Santander Drive Auto Receivables Trust 2011-2, 3.28%, 6/15/16 700,000 $78,153
Santander Drive Auto Receivables Trust 2012-5, 2.7%, 8/15/18 125,000 $127,076
SASCO Mortgage Loan Trust 2005-GEL1, Floating Rate Note, 12/25/34 510,000 $336,530
SASCO Mortgage Loan Trust 2005-GEL2, Floating Rate Note, 4/25/35 8,945,588 $122,099
Saxon Asset Securities Trust 2005-3, Floating Rate Note, 11/25/35 471,000 $433,560
Saxon Asset Securities Trust 2005-4, Floating Rate Note, 11/25/37 9,516,000 $394,725
SBA Senior Finance II LLC, Incremental Tranche B-1 Term Loan, 3/31/21 199,000 $198,046
SBI Home Equity Loan Trust 2006-1, Floating Rate Note, 8/25/36 (144A) 1,350,000 $393,082
Schaeffler (Aka Ina Beteiligungsge 1st Lien Tl-B L + 3.5% 15may20 500,000 $504,241
Scientific Games International Inc 1st Lien Tl-B2 L + 5% 17sep21 925,000 $924,943
Seadrill Operating LP, Initial Term Loan, 2/14/21 841,500 $682,967
Sector Re V, Ltd., 0.0%, 12/1/19 (Cat Bond) (144A) 250,000 $254,550
Sector Re V, Ltd., 0.0%, 3/1/18 (Cat Bond) (144A) 272 $4,609
Sector Re V, Ltd., 0.0%, 3/30/19 (Cat Bond) (144A) 300,000 $370,050
Selene Non-Performing Loans LLC, 2.9814%, 5/25/54 (Step) (144A) 1,020,000 $973,859
Senior Housing Properties Trust, 4.3%, 1/15/16 290,000 $297,068
Sensata Technologies Bv 1st Lien Tl-B2 L + 2.75% 08oct21 648,375 $652,265
Sequoia Mortgage Trust 2003-5, Floating Rate Note, 9/20/33 14,606,000 $646,251
Sequoia Mortgage Trust 2004-10, Floating Rate Note, 11/20/34 1,990,836 $200,386
Sequoia Mortgage Trust 2004-12 REMICS, Floating Rate Note, 1/20/35 3,700,000 $252,952
Sequoia Mortgage Trust 2004-7, Floating Rate Note, 8/20/34 5,000,000 $214,390
Sequoia Mortgage Trust 2004-9, Floating Rate Note, 10/20/34 6,000,000 $545,183
Sequoia Mortgage Trust 2005-1, Floating Rate Note, 2/20/35 4,960,000 $449,132
Sequoia Mortgage Trust 2013-8, Floating Rate Note, 6/25/43 414,000 $345,250
Sequoia Mortgage Trust 2013-8, Floating Rate Note, 6/25/43 160,000 $141,342
Shell International Finance BV, Floating Rate Note, 11/15/16 750,000 $751,608
Sierra Timeshare 2012-2 Receivables Funding LLC, 2.38%, 3/20/29 (144A) 1,500,000 $381,094
Sierra Timeshare 2012-3 Receivables Funding LLC, 1.87%, 8/20/29 (144A) 1,400,000 $424,574
Sierra Timeshare 2013-1 Receivables Funding LLC, 2.39%, 11/20/29 (144A) 160,000 $53,229
Sierra Timeshare 2013-2 Receivables Funding LLC, 2.92%, 11/20/25 (144A) 270,000 $108,430
Sierra Timeshare 2013-2 Receivables Funding LLC, 4.75%, 11/20/25 (144A) 900,000 $368,218
Silver Bay Realty 2014-1 Trust, Floating Rate Note, 9/18/31 (144A) 750,000 $745,740
SilverLeaf Finance XVII LLC, 2.71%, 3/16/26 (144A) 750,000 $401,735
Silverstone Master Issuer Plc, Floating Rate Note, 1/21/55 (144A) 290,000 $297,310
Silverton RE, Ltd., 0.0%, 9/16/16 (Cat Bond) (144A) 250,000 $34,425
Silverton RE, Ltd., 0.0%, 9/18/17 (Cat Bond) (144A) 400,000 $413,320
Sinclair Television Group, Inc., New Tranche B Term Loan, 4/19/20 439,420 $433,836
Sirius International Group, Ltd., 6.375%, 3/20/17 (144A) 750,000 $841,422
Skandinaviska Enskilda Banken AB New York NY, Floating Rate Note, 9/21/15 750,000 $751,584
SLM Student Loan Trust 2004-10, Floating Rate Note, 4/27/26 (144A) 380,000 $377,496
Small Business Administration Participation Certificates, 2.24%, 4/15/43 (144A) 630,000 $625,355
SMART Trust/Australia, Floating Rate Note, 1/17/17 500,000 $386,391
SMART Trust/Australia, Floating Rate Note, 8/15/16 750,000 $476,877
SNAAC Auto Receivables Trust, 4.38%, 6/15/17 (144A) 460,000 $217,723
SNAAC Auto Receivables Trust 2013-1, 1.14%, 7/16/18 (144A) 404,000 $19,080
Soundview Home Loan Trust 2005-3, Floating Rate Note, 6/25/35 600,000 $48,136
Soundview Home Loan Trust 2005-OPT4, Floating Rate Note, 12/25/35 815,490 $202,120
Southern Pacific Secured Asset Corp., Floating Rate Note, 3/25/28 32,000,000 $282,492
Southwire Co., Initial Term Loan, 1/31/21 402,211 $394,670
Specialty Underwriting & Residential Finance Trust Series 2006-BC1, Floating Rate Note, 12/25/36 790,207 $765,144
Spirit AeroSystems, Inc., Term Loan B, 9/30/20 530,236 $529,838
SpringCastle America Funding LLC, 2.7%, 5/25/23 1,020,000 $874,510
Springleaf Funding Trust 2013-A, 2.58%, 9/15/21 (144A) 1,200,000 $1,151,430
Springleaf Funding Trust 2014-A, 2.41%, 12/15/22 (144A) 1,000,000 $999,640
Springleaf Mortgage Loan Trust 2012-2, Floating Rate Note, 10/25/57 (144A) 424,000 $181,137
Standard Chartered Plc, 3.85%, 4/27/15 (144A) 500,000 $508,986
Stanwich Mortgage Loan Trust, 2.9814%, 2/16/43 (144A) 1,325,000 $245,226
Starbucks Corp., 0.875%, 12/5/16 605,000 $606,542
Starwood Property Mortgage Trust 2013-FV1, Floating Rate Note, 8/11/28 (144A) 640,000 $599,435
Starwood Property Trust, Inc., Term Loan (First Lien), 4/17/20 197,487 $195,019
State of Ohio, 3.0%, 6/15/15 500,000 $507,132
Steward Health Care System LLC, Term Loan, 4/10/20 296,241 $294,848
St Jude Medical, Inc., 2.5%, 1/15/16 510,000 $519,697
STORE Master Funding LLC, 5.77%, 8/20/42 (144A) 344,000 $360,032
Structured Adjustable Rate Mortgage Loan Trust, Floating Rate Note, 11/25/34 18,180,000 $877,624
Structured Adjustable Rate Mortgage Loan Trust, Floating Rate Note, 11/25/34 1,259,000 $122,022
Structured Adjustable Rate Mortgage Loan Trust, Floating Rate Note, 3/25/34 2,600,000 $142,783
Structured Asset Investment Loan Trust 2005-6, Floating Rate Note, 7/25/35 719,331 $604,371
Structured Asset Mortgage Investments II Trust 2004-AR5, Floating Rate Note, 10/19/34 8,100,000 $363,924
Structured Asset Mortgage Investments II Trust 2004-AR8, Floating Rate Note, 5/19/35 24,300,000 $1,237,143
Structured Asset Mortgage Investments II Trust 2005-AR2, Floating Rate Note, 5/25/45 5,000,000 $463,189
Structured Asset Mortgage Investments II Trust 2005-F1 REMICS, Floating Rate Note, 8/26/35 6,100,000 $120,569
Structured Asset Mortgage Investments Trust 2002-AR5, Floating Rate Note, 5/19/33 7,644,000 $371,347
Structured Asset Securities Corp Mor Cer Ser 2003-31A, Floating Rate Note, 10/25/33 1,500,000 $156,844
Structured Asset Securities Corp Mortgage Loan Trust 2005-2XS, 4.65%, 2/25/35 (Step) 1,000,000 $122,356
Structured Asset Securities Corp Mortgage Loan Trust 2005-WF4, Floating Rate Note, 11/25/35 475,000 $26,353
Structured Asset Securities Corp Mortgage Pass-Through Certificates Ser 2004-S4, Floating Rate Note, 500,000 $66,755
Structured Asset Securities Corp Mortgage Pass-Through Ctfs Ser 2003-24A, Floating Rate Note, 7/25/3 7,700,000 $910,493
Structured Asset Securities Corp Mortgage Pass Through Ctfs Series 2003-35, Floating Rate Note, 12/2 4,960,000 $273,935
Sumitomo Mitsui Banking Corp., Floating Rate Note, 1/10/17 750,000 $751,109
Sumitomo Mitsui Banking Corp., Floating Rate Note, 7/19/16 300,000 $301,495
Sumitomo Mitsui Trust Bank, Ltd., Floating Rate Note, 9/16/16 (144A) 500,000 $503,716
SunGard Data Systems, Inc., Tranche C Term Loan, 2/28/17 155,698 $155,924
Sunset Mortgage Loan Co 2014-NPL2 LLC, 3.721%, 11/16/44 (Step) (144A) 850,000 $821,989
SunTrust Bank, 1.35%, 2/15/17 500,000 $501,897
SunTrust Bank, Floating Rate Note, 2/15/17 805,000 $804,261
SunTrust Banks, Inc., 3.5%, 1/20/17 500,000 $523,007
Svenska Handelsbanken AB, Floating Rate Note, 9/23/16 1,000,000 $1,005,530
SVO 2012-A VOI Mortgage LLC, 2.0%, 9/20/29 (144A) 1,600,000 $765,144
SWAY Residential 2014-1 Trust, Floating Rate Note, 1/20/32 (144A) 700,000 $692,959
Syniverse Holdings, Inc., Tranche B Term Loan, 4/23/19 925,000 $910,354
TAL Advantage V LLC, 1.7%, 5/20/39 (144A) 400,000 $320,326
Tar Heel Re, Ltd., Floating Rate Note, 5/9/16 (Cat Bond) (144A) 250,000 $264,473
Telefonica Emisiones SAU, 3.992%, 2/16/16 500,000 $514,961
Terex Corp., U.S. Term Loan, 8/13/21 257,686 $258,894
Terwin Mortgage Trust Series TMTS 2003-8HE, Floating Rate Note, 12/25/34 5,234,000 $158,766
Terwin Mortgage Trust Series TMTS 2005-10HE, Floating Rate Note, 6/25/36 199,992 $140,242
Terwin Mortgage Trust Series TMTS 2005-14HE, 4.8492%, 8/25/36 (Step) 630,000 $124,748
Texas Instruments, Inc., 0.875%, 3/12/17 500,000 $501,328
Texas Municipal Gas Acquisition & Supply Corp III, 5.0%, 12/15/15 500,000 $521,248
The Bank of New York Mellon Corp., 1.969%, 6/20/17 (Step) 750,000 $767,146
The Bank of New York Mellon Corp., 2.95%, 6/18/15 750,000 $760,108
The Bank of New York Mellon Corp., Floating Rate Note, 10/23/15 595,000 $596,020
The Bank of Nova Scotia, 1.1%, 12/13/16 500,000 $502,399
The Bank of Nova Scotia, 1.375%, 7/15/16 500,000 $505,870
The Bank of Nova Scotia, 1.45%, 4/25/18 500,000 $498,989
The Bank of Tokyo-Mitsubishi UFJ, Ltd., 1.55%, 9/9/16 (144A) 1,000,000 $1,012,789
The Bank of Tokyo-Mitsubishi UFJ, Ltd., 2.7%, 9/9/18 (144A) 305,000 $316,064
The Bank of Tokyo-Mitsubishi UFJ, Ltd., Floating Rate Note, 3/10/17 (144A) 500,000 $500,327
The Bank of Tokyo-Mitsubishi UFJ, Ltd., Floating Rate Note, 9/8/17 (144A) 500,000 $498,886
The Bear Stearns Companies LLC, Floating Rate Note, 11/21/16 1,500,000 $1,498,561
The Boeing Co., 0.95%, 5/15/18 1,050,000 $1,038,830
The Charles Schwab Corp., 0.85%, 12/4/15 250,000 $251,161
The Geo Group, Inc., Term Loan, 4/3/20 493,719 $492,176
The Goldman Sachs Group, Inc., 1.6%, 11/23/15 2,125,000 $2,147,441
The Goldman Sachs Group, Inc., 3.7%, 8/1/15 340,000 $345,093
The Goldman Sachs Group, Inc., Floating Rate Note, 3/22/16 475,000 $475,491
The Goldman Sachs Group, Inc., Floating Rate Note, 7/22/15 700,000 $700,604
The Huntington National Bank, 1.3%, 11/20/16 500,000 $502,679
The Huntington National Bank, Floating Rate Note, 4/24/17 500,000 $499,615
The Korea Development Bank, Floating Rate Note, 1/22/17 750,000 $750,332
The PNC Financial Services Group, Inc., Floating Rate Note (Perpetual) 600,000 $602,098
Thermo Fisher Scientific, Inc., 2.4%, 2/1/19 1,000,000 $1,013,578
The Toronto-Dominion Bank, 1.4%, 4/30/18 500,000 $500,467
The Toronto-Dominion Bank, Floating Rate Note, 5/2/17 500,000 $500,032
The Toronto-Dominion Bank, Floating Rate Note, 7/2/19 750,000 $749,226
The Toronto-Dominion Bank, Floating Rate Note, 9/9/16 500,000 $502,828
Thomson Reuters Corp., 0.875%, 5/23/16 250,000 $250,221
Thomson Reuters Corp., 1.3%, 2/23/17 500,000 $500,352
Thornburg Mortgage Securities Trust 2003-3, Floating Rate Note, 6/25/43 3,857,000 $130,969
Thornburg Mortgage Securities Trust 2004-1, Floating Rate Note, 3/25/44 20,000,000 $189,890
Thornburg Mortgage Securities Trust 2004-3, Floating Rate Note, 9/25/34 11,534,309 $911,763
Thornburg Mortgage Securities Trust 2004-4, Floating Rate Note, 12/25/44 1,225,000 $190,643
TI Group Automotive Systems LLC, Term Loan Facility, 7/1/21 224,436 $224,623
TimberStar Trust I REMICS, 5.668%, 10/15/36 (144A) 525,000 $556,767
TMS International Corp., Term B Loan, 10/2/20 148,500 $141,075
Tnote 0.875% 15jan18 14,500,000 $14,473,852
Toyota Motor Credit Corp., 0.75%, 3/3/17 (Step) 3,150,000 $3,149,256
Toyota Motor Credit Corp., 1.125%, 5/16/17 750,000 $756,315
Tpf Ii Power Llc 1st Lien Tl-B L + 4.5% 24sep21 750,000 $759,375
Trade MAPS 1, Ltd., Floating Rate Note, 12/10/18 (144A) 250,000 $250,199
Tradewynd Re, Ltd., Floating Rate Note, 1/8/18 (Cat Bond) (144A) 250,000 $251,255
Trafigura Securitisation Finance Plc, Floating Rate Note, 10/15/15 (144A) 487,000 $488,492
Trafigura Securitisation Finance Plc, Floating Rate Note, 10/15/15 (144A) 525,000 $526,471
Trafigura Securitisation Finance Plc. 2014-1, Floating Rate Note, 4/16/18 (144A) 400,000 $400,322
TransCanada PipeLines, Ltd., 1.875%, 1/12/18 375,000 $378,689
TransCanada PipeLines, Ltd., Floating Rate Note, 6/30/16 690,000 $693,350
Tribune Media Co., Initial Term Loan, 11/20/20 806,849 $808,362
U.S. Treasury Notes, 0.5%, 11/30/16 7,000,000 $7,004,921
Unifrax I LLC, New Term B Dollar Loan, 11/28/18 498,744 $496,042
United Auto Credit Securitization Trust 2014-1, 2.38%, 10/15/18 (144A) 700,000 $695,954
UnitedHealth Group, Inc., 1.875%, 11/15/16 500,000 $511,303
United Technologies Corp., Floating Rate Note, 6/1/15 500,000 $501,485
University of California, 0.966%, 5/15/17 500,000 $500,897
US Bancorp, 2.45%, 7/27/15 755,000 $763,235
US Renal Care, Inc., Tranche B-2 Term Loan (First Lien), 7/3/19 648,932 $648,932
Vantiv LLC, Term B Loan, 6/12/21 289,729 $289,547
Velocity Commercial Capital Loan Trust 2014-1, Floating Rate Note, 9/25/44 (144A) 800,000 $726,599
Ventas Realty LP, 3.125%, 11/30/15 500,000 $512,889
Vericrest Opportunity Loan Transferee 2014-NPL4 LLC, 3.125%, 4/27/54 (Step) (144A) 1,700,000 $1,390,683
Verint Systems, Inc., Tranche B Incremental Term Loan, 9/6/19 261,457 $261,326
Verizon Communications, Inc., 0.7%, 11/2/15 935,000 $937,842
Verizon Communications, Inc., Floating Rate Note, 9/15/16 1,285,000 $1,311,883
Vers 2015-A Zero% 31dec17 800,000 $806,240
VFC 2014-2 LLC, 2.75%, 7/20/30 (144A) 1,060,000 $632,641
Vita Capital V, Ltd., Floating Rate Note, 1/15/17 (Cat Bond) (144A) 250,000 $256,231
Vita Capital V, Ltd., Floating Rate Note, 1/15/17 (Cat Bond) (144A) 750,000 $764,285
Vitality Re IV, Ltd., Floating Rate Note, 1/9/17 (Cat Bond) (144A) 500,000 $511,265
Vitality Re V, Ltd., Floating Rate Note, 1/7/19 (Cat Bond) (144A) 500,000 $502,484
Vodafone Group Plc, Floating Rate Note, 2/19/16 275,000 $275,156
Volkswagen Group of America Finance LLC, Floating Rate Note, 5/23/16 (144A) 1,000,000 $998,750
Volkswagen International Finance NV, 1.125%, 11/18/16 (144A) 750,000 $753,063
Volkswagen International Finance NV, 1.15%, 11/20/15 (144A) 750,000 $755,502
Volkswagen International Finance NV, 1.6%, 11/20/17 (144A) 500,000 $504,646
VOLT XIX LLC, 3.875%, 4/26/55 (Step) 800,000 $769,629
VOLT XXIII LLC, 3.625%, 11/25/53 (Step) 475,000 $273,531
VOLT XXIV LLC, 3.25%, 11/25/53 (Step) 600,000 $285,821
Wachovia Bank Commercial Mortgage Trust Series 2005-C20 REMICS, Floating Rate Note, 7/15/42 2,414,000 $1,400,694
Wachovia Bank Commercial Mortgage Trust Series 2005-C21, Floating Rate Note, 10/17/44 625,364 $447,540
Wachovia Bank Commercial Mortgage Trust Series 2005-C22 REMICS, Floating Rate Note, 12/15/44 1,000,000 $915,841
Wachovia Bank Commercial Mortgage Trust Series 2006-C23 REMICS, Floating Rate Note, 1/15/45 1,590,000 $1,268,488
Wachovia Bank Commercial Mortgage Trust Series 2006-C24, Floating Rate Note, 3/15/45 272,000 $278,039
Wachovia Bank Commercial Mortgage Trust Series 2006-C25, Floating Rate Note, 5/15/43 1,200,000 $1,011,224
Wachovia Corp., Floating Rate Note, 6/15/17 1,077,000 $1,075,730
Wachovia Mortgage Loan Trust Series 2005-WMC1, Floating Rate Note, 10/25/35 750,000 $97,137
Walgreen Co., 1.8%, 9/15/17 1,000,000 $1,018,995
Walgreens Boots Alliance, Inc., Floating Rate Note, 5/18/16 750,000 $751,375
WaMu Mortgage Pass-Through Certificates Series 2002-AR6 Trust, Floating Rate Note, 6/25/42 29,950,000 $356,417
WaMu Mortgage Pass-Through Certificates Series 2003-AR9 Trust, Floating Rate Note, 9/25/33 3,122,360 $1,150,870
WaMu Mortgage Pass-Through Certificates Series 2003-S10, 5.0%, 10/25/18 17,361,049 $530,869
WCP Wireless Site Funding, 6.829%, 11/15/15 (144A) 1,155,000 $1,184,520
Welk Resorts 2013-A LLC, 3.1%, 3/15/29 (144A) 750,000 $545,613
Wells Fargo & Co., 1.25%, 7/20/16 500,000 $503,592
Wells Fargo & Co., 1.5%, 7/1/15 1,050,000 $1,056,590
Wells Fargo & Co., Floating Rate Note, 4/23/18 575,000 $578,746
Wells Fargo & Co., Floating Rate Note, 6/26/15 585,000 $587,845
Wells Fargo Alternative Loan 2005-2 Trust, Floating Rate Note, 10/25/35 453,135 $450,390
Wells Fargo Bank NA, Floating Rate Note, 5/16/16 250,000 $249,619
Wells Fargo Commercial Mortgage Trust 2014-TISH, Floating Rate Note, 2/16/27 (144A) 690,000 $687,869
Wells Fargo Home Equity Asset-Backed Securities 2005-3 Trust, Floating Rate Note, 12/25/35 200,000 $56,093
Wells Fargo Mortgage Backed Securities 2005-4 Trust, Floating Rate Note, 4/25/35 7,173,466 $316,839
Wells Fargo Mortgage Backed Securities 2006-16 Trust, 5.0%, 11/25/36 550,000 $23,471
Wesco Aircraft Hardware Corp., Tranche B Term Loan, 2/24/21 853,125 $841,039
WESCO Distribution, Inc., Tranche B-1 Loan, 12/12/19 61,163 $61,182
Westgate Resorts 2012-A LLC, 2.25%, 8/20/25 (144A) 1,490,000 $739,274
Westgate Resorts 2012-A LLC, 3.75%, 8/20/25 (144A) 403,000 $201,609
Westgate Resorts 2014-1 LLC, 2.15%, 12/20/26 (144A) 1,000,000 $852,566
Westgate Resorts LLC, 2.5%, 3/20/25 (144A) 250,000 $89,056
Westgate Resorts LLC, 9.5%, 2/20/25 (144A) 1,800,000 $607,652
Westlake Automobile Receivables Trust 2013-1, 1.12%, 1/15/18 (144A) 150,000 $55,650
Westpac Banking Corp., Floating Rate Note, 5/19/17 1,000,000 $999,625
Westwood CDO II, Ltd., Floating Rate Note, 4/25/22 (144A) 500,000 $359,007
Wheelabrator 1st Lien Tl-B L + 4% 15oct21 957,854 $968,032
Wheelabrator 1st Lien Tl-C L + 4% 15oct21 42,146 $42,593
Wm Wrigley Jr Co., 2.0%, 10/20/17 (144A) 1,000,000 $1,014,987
WR Grace & Co-Conn, Delayed Draw Term Loan, 1/23/21 72,296 $72,401
WR Grace & Co-Conn, U.S. Term Loan, 1/23/21 200,912 $201,205
Zebra Technologies Corporation 1st Lien Tl-B L + 4% 30sep21 500,000 $506,036
ZIGGO BV, (USD) TLB3, 1/15/22 476,177 $472,733
Ziggo Bv 1st Lien Tl-B1 L + 2.75% 15jan22 449,291 $446,042
Ziggo Bv 1st Lien Tl-B2 L + 2.75% 15jan22 289,532 $287,438
Zoetis, Inc., 1.15%, 2/1/16 500,000 $501,037

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