Pioneer Short Term Income Fund

Top 10 Portfolio Holdings as of 2/28/2014
Default: sorted by market value

Security Name Par / Shares Market Value
A10 Securitization 2013-1 LLC, 2.4%, 11/15/25 (144A) 642,000 $642,278
A10 Term Asset Financing 2013-2 LLC, 2.62%, 11/15/27 (144A) 1,085,000 $1,087,955
ABN AMRO Bank NV, 1.375%, 1/22/16 (144A) 500,000 $505,733
ABN AMRO Bank NV, Floating Rate Note, 10/28/16 (144A) 750,000 $754,442
ACA CLO 2006-2, Ltd., Floating Rate Note, 1/20/21 (144A) 250,000 $243,347
Accredited Mortgage Loan Trust 2005-2, Floating Rate Note, 7/25/35 240,000 $230,349
ACE Securities Corp Home Equity Loan Trust Series 2006-ASAP2, Floating Rate Note, 3/25/36 300,000 $64,552
ACE Securities Corp Manufactured Housing Trust Series 2003-MH1, Floating Rate Note, 8/15/30 (144A) 425,000 $87,209
Acosta, Inc., 3/2/18 248,750 $250,538
Activision Blizzard, Inc., 7/26/20 450,000 $451,887
Adjustable Rate Mortgage Trust 2005-2, Floating Rate Note, 6/25/35 345,151 $293,546
Adjustable Rate Mortgage Trust 2005-5, Floating Rate Note, 9/25/35 3,300,000 $310,188
Aegis Asset Backed Securities Trust 2005-5, Floating Rate Note, 12/25/35 1,000,000 $300,922
Aegis Asset Backed Securities Trust Mortgage Pass-Through Ctfs Ser 2005-4, Floating Rate Note, 10/25 239,000 $159,149
Aegis Asset Backed Securities Trust Mortgage Pass- Through Ctfs Series 2004-3, Floating Rate Note, 9 881,754 $182,785
Aegis Asset Backed Securities Trust Mortgage Pass- Through Ctfs Series 2004-3, Floating Rate Note, 9 12,500,000 $556,106
AES Corp. Virginia, 6/1/18 330,831 $332,991
Aflac, Inc., 3.45%, 8/15/15 500,000 $522,298
Agilent Technologies, Inc., 5.5%, 9/14/15 620,000 $680,336
Albertsons LLC, 3/21/19 650,000 $656,338
Allegion US Holding Co, Inc., 12/26/20 500,000 $500,938
Alliant Techsystems, Inc., 10/22/20 250,000 $251,594
Allied Security Holdings LLC, Delayed Draw Term Loan (First Lien), 2/12/21 511,570 $511,890
Ally Master Owner Trust, Floating Rate Note, 8/15/17 1,500,000 $1,514,096
Altair Re, Floating Rate Note, 4/30/16 (Cat Bond) 112,497 $124,950
Altera Corp., 2.5%, 11/15/18 500,000 $508,991
Alternative Loan Trust 2003-14T1, Floating Rate Note, 8/25/18 3,200,000 $157,893
Alternative Loan Trust 2003-J1, 4.75%, 10/25/33 4,300,000 $243,575
Alternative Loan Trust 2004-18CB, Floating Rate Note, 9/25/34 19,958,000 $202,147
Alternative Loan Trust 2004-4CB, 4.25%, 4/25/34 4,541,000 $298,781
Alternative Loan Trust 2005-J4, Floating Rate Note, 7/25/35 1,322,801 $1,274,668
Altrl Flt% 30jun16 210,000 $212,394
AMC Entertainment, Inc., 4/30/20 249,372 $250,092
America Movil SAB de CV, Floating Rate Note, 9/12/16 1,000,000 $1,016,172
American Credit Acceptance Receivables Trust, 1.64%, 11/15/16 (144A) 350,000 $135,321
American Credit Acceptance Receivables Trust 2013-2, 1.32%, 2/15/17 (144A) 280,000 $196,694
American Credit Acceptance Receivables Trust 2014-1, 1.14%, 12/1/19 (144A) 520,000 $486,265
American Electric Power Co, Inc., 1.65%, 12/15/17 500,000 $501,814
American Express Centurion Bank, Floating Rate Note, 11/13/15 1,300,000 $1,306,704
American Express Credit Account Master Trust, 0.59%, 5/15/18 1,100,000 $1,101,687
American Express Credit Corp., 1.3%, 7/29/16 500,000 $505,727
American Express Credit Corp., 5.125%, 8/25/14 553,000 $565,903
American Express Credit Corp., Floating Rate Note, 6/24/14 500,000 $502,282
American Home Mortgage Investment Trust 2004-3, 5.01%, 10/25/34 (Step) 4,000,000 $407,865
American Home Mortgage Investment Trust 2005-1, Floating Rate Note, 6/25/45 1,500,000 $229,584
American Honda Finance Corp., 1.125%, 10/7/16 500,000 $506,289
American Honda Finance Corp., 1.85%, 9/19/14 (144A) 200,000 $203,457
American Honda Finance Corp., Floating Rate Note, 5/26/16 (144A) 175,000 $175,803
AmeriCredit Automobile Receivables Trust 2010-2, 6.24%, 6/8/16 567,000 $584,580
AmeriCredit Automobile Receivables Trust 2011-3, 4.04%, 7/10/17 100,000 $104,482
AmeriCredit Automobile Receivables Trust 2012-4, 3.82%, 2/10/20 500,000 $513,462
AmeriCredit Automobile Receivables Trust 2013-1, 1.57%, 1/8/19 150,000 $149,215
AmeriCredit Automobile Receivables Trust 2013-4, 0.74%, 11/8/16 500,000 $500,962
AmeriCredit Automobile Receivables Trust 2013-4, 3.31%, 10/8/19 500,000 $510,880
Ameriquest Mortgage Securities Inc Asset-Backed Pass-Through Ctfs Ser 2003-11, Floating Rate Note, 1 14,558,685 $677,122
Ameriquest Mortgage Securities Inc Asset-Backed Pass-Through Ctfs Ser 2004-R11, Floating Rate Note, 5,800,000 $261,836
Ameriquest Mortgage Securities Inc Asset-Backed Pass-Through Ctfs Ser 2005-R1, Floating Rate Note, 3 592,188 $390,613
Ameriquest Mortgage Securities Inc Asset Backed Pass-Through Ctfs Ser 2005-R11, Floating Rate Note, 962,222 $746,780
Ameriquest Mortgage Securities Inc Asset-Backed Pass-Through Ctfs Ser 2005-R6, Floating Rate Note, 8 2,840,000 $51,470
Ameriquest Mortgage Securities Inc Asset-Backed Pass-Through Ctfs Ser 2005-R9, 4.627277%, 11/25/35 ( 590,000 $568,985
Ameriquest Mort Sec Inc Asset Backed Pass Thr Cert 03 AR3, Floating Rate Note, 6/25/33 155,851 $114,752
Amgen, Inc., 2.5%, 11/15/16 500,000 $522,816
AMRESCO Residential Securities Corp Mortgage Loan Trust 1997-3, Floating Rate Note, 9/25/27 8,300,000 $210,364
Anheuser-Busch Companies LLC, 5.0%, 1/15/15 225,000 $235,254
Anheuser-Busch InBev Finance, Inc., Floating Rate Note, 1/27/17 500,000 $500,343
Anheuser-Busch InBev Worldwide, Inc., 1.5%, 7/14/14 500,000 $503,008
Anheuser-Busch InBev Worldwide, Inc., 4.125%, 1/15/15 430,000 $445,962
ANZ New Zealand Int'l, Ltd. London, 1.125%, 3/24/16 (144A) 1,000,000 $1,008,706
Apple, Inc., Floating Rate Note, 5/3/16 400,000 $400,019
ARC Properties Operating Partnership LP, 2.0%, 2/6/17 (144A) 500,000 $501,033
ARI Fleet Lease Trust 2012-A, Floating Rate Note, 3/15/20 (144A) 810,000 $275,303
ARI Fleet Lease Trust 2013-A, 0.7%, 12/15/15 (144A) 260,000 $260,182
Armor Re, Ltd., Floating Rate Note, 5/14/14 (Cat Bond) (144A) 2,385,000 $2,392,324
Arysta Lifescience SPC LLC, 5/29/20 299,248 $301,680
Ascentium Equipment Receivables LLC, 1.83%, 9/15/19 (144A) 822,000 $315,618
ASG Resecuritization Trust 2010-3, Floating Rate Note, 12/28/45 (144A) 1,642,839 $866,852
Asset Backed Securities Corp Home Equity Loan Trust Series 2003-HE1, Floating Rate Note, 1/15/33 3,082,000 $855,195
Asset Backed Securities Corp Home Equity Loan Trust Series 2005-HE3, Floating Rate Note, 4/25/35 159,800 $145,224
Asset Backed Securities Corp Home Equity Loan Trust Series AEG 2006-HE1, Floating Rate Note, 1/25/36 311,384 $65,320
Assurant, Inc., 2.5%, 3/15/18 300,000 $304,125
Astoria Financial Corp., 5.0%, 6/19/17 325,000 $355,676
AT&T, Inc., 0.875%, 2/13/15 500,000 $502,334
Atlantic Power LP, Term Loan B, 2/20/21 1,175,000 $1,183,078
Atlas IX Capital, Ltd., Floating Rate Note, 1/17/19 (Cat Bond) (144A) 500,000 $513,468
Atlas Reinsurance VII, Ltd., Floating Rate Note, 1/7/16 (Cat Bond) (144A) 250,000 $265,744
AutoTrader.com, Inc., 12/15/16 243,125 $244,341
Avis Budget Rental Car Funding AESOP LLC, 2.09%, 4/20/15 (144A) 500,000 $167,038
AXIS Equipment Finance Receivables II LLC, 3.81%, 12/20/16 400,000 $400,621
Banc of America Alternative Loan Trust 2003-10, Floating Rate Note, 12/25/33 2,600,000 $229,625
Banc of America Alternative Loan Trust 2004-2, 5.5%, 3/25/19 954,266 $143,245
Banc of America Alternative Loan Trust 2004-4, 5.25%, 5/25/34 1,363,000 $196,961
Banc of America Funding 2003-3 Trust, 5.5%, 10/25/33 617,825 $159,258
Banc of America Funding 2004-B Trust, Floating Rate Note, 12/20/34 6,667,000 $602,387
Banc of America Large Loan Trust 2007-BMB1, Floating Rate Note, 8/15/29 (144A) 650,000 $646,043
Banc of America Merrill Lynch Commercial Mortgage, Inc., Floating Rate Note, 6/10/39 437,572 $171,185
Banc of America Merrill Lynch Commercial Mortgage, Inc., Floating Rate Note, 7/10/43 645,000 $668,126
Banc of America Mortgage 2003-F Trust, Floating Rate Note, 7/25/33 5,619,027 $326,619
Banc of America Mortgage 2003-H Trust, Floating Rate Note, 9/25/33 13,410,000 $1,218,282
Banc of America Mortgage Trust 2004-7, 4.5%, 8/25/19 181,000 $18,230
Banco Nacional de Desenvolvimento Economico e Social, 3.375%, 9/26/16 (144A) 1,000,000 $1,033,281
Bank of America Corp., 1.25%, 1/11/16 575,000 $579,835
Bank of America Corp., 1.35%, 11/21/16 500,000 $502,864
Bank of America Corp., 3.7%, 9/1/15 500,000 $530,324
Bank of America Corp., 5.45%, 7/15/14 450,000 $460,087
Bank of America Corp., Floating Rate Note, 3/22/16 2,000,000 $2,016,999
Bank of America NA, 1.25%, 2/14/17 500,000 $500,787
Bank of Montreal, 0.8%, 11/6/15 500,000 $503,973
Bank of Nova Scotia, 1.1%, 12/13/16 500,000 $503,575
Bank of Nova Scotia, 1.375%, 7/15/16 500,000 $507,878
Bank of Nova Scotia, 1.45%, 4/25/18 500,000 $496,476
Bank of Nova Scotia, Floating Rate Note, 1/12/15 1,000,000 $1,010,665
Banque PSA Finance SA, 3.375%, 4/4/14 (144A) 500,000 $506,826
Barclays Bank Plc, Floating Rate Note, 2/17/17 229,000 $229,649
Baxter International, Inc., 0.95%, 6/1/16 500,000 $503,010
Bayview Commercial Asset Trust, 3.855%, 9/25/37 (Step) (144A) 3,000,000 $98,835
Bayview Commercial Asset Trust, 4.17207%, 7/25/37 (Step) (144A) 4,500,000 $45,066
Bayview Commercial Asset Trust, Floating Rate Note, 1/25/35 (144A) 4,600,000 $801,260
Bayview Financial Acquisition Trust, Floating Rate Note, 5/28/44 7,600,000 $231,347
Bayview Financial Acquisition Trust, Floating Rate Note, 8/28/44 29,040,588 $207,753
Bayview Financial Asset Trust 2003-A, Floating Rate Note, 2/25/33 (144A) 7,852,000 $279,368
Bayview Financial Mortgage Pass-Through Trust 2005-C, Floating Rate Note, 6/28/44 750,000 $718,916
Bayview Financial Mortgage Pass-Through Trust 2006-A, Floating Rate Note, 2/28/41 1,639,000 $306,544
Bayview Financial Mortgage Pass-Through Trust 2006-B, Floating Rate Note, 4/28/36 603,000 $55,096
Bayview Financial Mortgage Pass-Through Trust 2006-B, Floating Rate Note, 4/28/36 1,207,803 $393,455
Bayview Financial Mortgage Pass-Through Trust Series 2005-B, Floating Rate Note, 4/28/39 425,000 $416,858
Bayview Opportunity Master Fund Trust IIB LP, 3.9496%, 1/28/34 (Step) 695,000 $697,837
BB&T Corp., 1.6%, 8/15/17 103,000 $103,964
BB&T Corp., 2.05%, 4/28/14 500,000 $504,060
BB&T Corp., 5.7%, 4/30/14 500,000 $513,658
BB&T Corp., Floating Rate Note, 4/28/14 1,875,000 $1,878,177
BBVA US Senior SAU, 3.25%, 5/16/14 500,000 $507,153
BCAP LLC 2009-RR13-I Trust, Floating Rate Note, 9/26/35 (144A) 2,765,000 $946,917
BCAP LLC 2013-RR3 Trust, Floating Rate Note, 5/26/36 (144A) 500,000 $440,539
BCMSC Trust 1998-A, 6.65%, 4/15/28 2,750,000 $149,520
Bear Stearns ALT-A Trust 2004-11, Floating Rate Note, 11/25/34 7,155,000 $451,831
Bear Stearns ALT-A Trust 2004-12, Floating Rate Note, 1/25/35 8,440,000 $1,209,601
Bear Stearns ALT-A Trust 2004-12, Floating Rate Note, 1/25/35 5,395,000 $698,867
Bear Stearns ALT-A Trust 2004-12, Floating Rate Note, 1/25/35 1,585,000 $228,314
Bear Stearns ALT-A Trust 2004-13, Floating Rate Note, 11/25/34 1,905,000 $110,372
Bear Stearns ALT-A Trust 2004-4, Floating Rate Note, 6/25/34 10,699,000 $944,748
Bear Stearns ARM Trust 2003-3, Floating Rate Note, 5/25/33 9,158,341 $321,035
Bear Stearns ARM Trust 2004-10, Floating Rate Note, 1/25/35 720,000 $129,197
Bear Stearns ARM Trust 2004-3, Floating Rate Note, 7/25/34 2,481,203 $102,904
Bear Stearns ARM Trust 2004-9, Floating Rate Note, 11/25/34 1,014,658 $144,071
Bear Stearns Asset Backed Securities I Trust 2005-FR1, Floating Rate Note, 6/25/35 1,526,722 $688,277
Bear Stearns Asset Backed Securities I Trust 2005-HE6, Floating Rate Note, 6/25/35 1,350,000 $96,613
Bear Stearns Asset Backed Securities I Trust 2005-HE8, Floating Rate Note, 8/25/35 1,233,951 $232,310
Bear Stearns Asset Backed Securities Trust, Floating Rate Note, 2/25/35 5,848,300 $421,902
Bear Stearns Asset Backed Securities Trust 2003-SD2, Floating Rate Note, 6/25/43 3,896,100 $320,364
Bear Stearns Asset Backed Securities Trust 2004-2, Floating Rate Note, 8/25/34 389,000 $75,591
Bear Stearns Asset Backed Securities Trust 2006-SD2, Floating Rate Note, 6/25/36 412,000 $275,233
Bear Stearns Commercial Mortgage Securities Trust 2005-PWR7, Floating Rate Note, 2/11/41 150,000 $152,691
Bear Stearns Commercial Mortgage Securities Trust 2005-PWR8, 4.75%, 6/11/41 415,000 $432,171
Bear Stearns Commercial Mortgage Securities Trust 2005-PWR9, Floating Rate Note, 9/11/42 1,160,000 $1,216,481
Bear Stearns Mortgage Securities, Inc., Floating Rate Note, 6/25/30 731,690 $152,418
Bear Stearns Structured Products Trust 2007-EMX1, Floating Rate Note, 3/25/37 (144A) 1,130,000 $268,006
Belden Finance 2013 LP, 9/9/20 249,375 $250,500
Bella Vista Mortgage Trust 2004-1, Floating Rate Note, 11/20/34 12,618,000 $378,589
Berkshire Hathaway Finance Corp., Floating Rate Note, 1/10/17 1,000,000 $1,001,973
BHP Billiton Finance USA, Ltd., Floating Rate Note, 9/30/16 500,000 $501,192
Blue Danube II, Ltd., Floating Rate Note, 5/23/16 (Cat Bond) (144A) 250,000 $254,849
BMW Vehicle Lease Trust 2013-1, 0.4%, 1/20/15 370,000 $209,827
BMW Vehicle Owner Trust 2011-A, 0.76%, 8/25/15 100,000 $23,665
Boca Hotel Portfolio Trust 2013-BOCA, Floating Rate Note, 8/15/26 (144A) 430,000 $431,078
Bombardier, Inc., 4.25%, 1/15/16 (144A) 360,000 $376,355
Bosphorus 1 Re, Ltd., Floating Rate Note, 5/3/16 (Cat Bond) (144A) 250,000 $251,169
Boston Scientific Corp., 2.65%, 10/1/18 500,000 $514,581
BPCE SA, Floating Rate Note, 4/25/16 550,000 $557,501
Branch Banking & Trust Co., 2.3%, 10/15/18 500,000 $512,462
Branch Banking & Trust Co., Floating Rate Note, 9/13/16 250,000 $248,875
Bright Horizons Family Solutions, Inc., 1/30/20 299,244 $301,052
Britax US Holdings, Inc., 10/7/20 299,250 $302,149
Bush Truck Leasing LLC, 5.0%, 9/25/18 (144A) 100,000 $15,929
BWAY Holding Co., 8/6/17 193,050 $194,468
Cabela's Master Credit Card Trust, Floating Rate Note, 1/16/18 (144A) 507,900 $513,345
Caelus Re, Ltd., Floating Rate Note, 3/7/16 (Cat Bond) (144A) 250,000 $255,001
Caelus Re 2013, Ltd., Floating Rate Note, 4/7/17 (Cat Bond) (144A) 750,000 $786,327
California Republic Auto Receivables Trust 2012-1, 1.18%, 8/15/17 (144A) 329,000 $158,173
Calpine Construction Finance Co LP, Term B-2 Loan, 1/3/22 675,000 $667,969
CAM Mortgage Trust, 3.3515%, 12/15/53 (Step) (144A) 660,000 $628,295
Campbell Soup Co., Floating Rate Note, 8/1/14 735,000 $736,034
Canadian National Railway Co., Floating Rate Note, 11/6/15 730,000 $730,694
Canadian Natural Resources, Ltd., 1.45%, 11/14/14 430,000 $434,872
Capital Auto Receivables Asset Trust/ Ally, 1.74%, 10/22/18 413,000 $411,332
Capital Auto Receivables Asset Trust/ Ally, 2.19%, 9/20/21 125,000 $123,840
Capital One Financial Corp., 1.0%, 11/6/15 475,000 $477,810
Capital One Financial Corp., 2.125%, 7/15/14 1,559,000 $1,572,696
Capital One Financial Corp., 2.15%, 3/23/15 1,000,000 $1,026,313
Capital One Financial Corp., Floating Rate Note, 11/6/15 750,000 $752,877
Capital One Multi-Asset Execution Trust, Floating Rate Note, 8/15/18 1,000,000 $998,594
Cardinal Health, Inc., 4.0%, 6/15/15 500,000 $525,136
CarMax Auto Owner Trust 2012-1, 0.89%, 9/15/16 745,000 $570,852
Carrington Mortgage Loan Trust Series 2005-NC1, Floating Rate Note, 2/25/35 1,496,373 $515,500
Carrington Mortgage Loan Trust Series 2006-OPT1, Floating Rate Note, 2/25/36 5,047,000 $1,153,097
Caterpillar Financial Services Corp., 1.35%, 9/6/16 1,125,000 $1,148,376
CDC Mortgage Capital Trust 2002-HE1, Floating Rate Note, 1/25/33 19,484,513 $457,531
Cendant Mortgage Corp., 6.25%, 3/25/32 (144A) 4,100,000 $600,389
Centerpoint Energy Transition Bond Co II LLC, 5.17%, 8/1/19 720,000 $774,024
CeramTec Acquisition Corp., 8/30/20 21,008 $21,100
CeramTec GmbH, 8/30/20 64,893 $65,177
CeramTec Service GmbH, 8/30/20 213,884 $214,819
Chase Funding Trust Series 2003-3, Floating Rate Note, 4/25/33 13,029,694 $135,730
Chase Mortgage Finance Trust Series 2005-S1, 5.5%, 5/25/35 4,068,000 $129,658
Chesapeake Funding LLC, Floating Rate Note, 11/7/23 (144A) 600,000 $403,830
Chesapeake Funding LLC, Floating Rate Note, 5/7/24 (144A) 200,000 $176,161
CHL Mortgage Pass-Through Trust 2002-J4, 5.5%, 10/25/32 10,625,000 $755,464
CHL Mortgage Pass-Through Trust 2004-14, Floating Rate Note, 8/25/34 1,250,000 $192,763
CHL Mortgage Pass-Through Trust 2004-29, Floating Rate Note, 2/25/35 16,087,000 $891,344
CHL Mortgage Pass-Through Trust 2004-9, 5.25%, 6/25/34 999,000 $371,047
CHL Mortgage Pass-Through Trust 2005-19, 5.5%, 8/25/35 1,610,000 $133,681
Chrysler Group LLC, 5/24/17 906,750 $909,662
Chrysler Group LLC, Tranche B Term Loan, 12/29/18 600,000 $599,250
CHS, 1/25/17 100,378 $101,067
CHS, 2021 Term D Loan, 1/27/21 267,540 $270,278
Cinedigm Digital Funding I LLC, 2/28/18 196,457 $197,194
Cisco Systems, Inc., Floating Rate Note, 9/3/15 500,000 $500,224
Citibank Credit Card Issuance Trust, 4.85%, 3/10/17 700,000 $747,960
Citibank Credit Card Issuance Trust, Floating Rate Note, 2/7/18 369,000 $369,684
Citibank Credit Card Issuance Trust, Floating Rate Note, 4/24/17 540,000 $539,957
Citicorp Mortgage Securities REMIC Pass-Through Certificates Trust Series 2005-7, 5.0%, 10/25/35 5,635,000 $625,640
Citigroup, Inc., 1.3%, 4/1/16 500,000 $505,516
Citigroup, Inc., 5.0%, 9/15/14 1,500,000 $1,569,722
Citigroup, Inc., Floating Rate Note, 11/15/16 750,000 $753,913
Citigroup, Inc., Floating Rate Note, 11/5/14 907,000 $907,484
Citigroup, Inc., Floating Rate Note, 4/1/16 500,000 $503,842
Citigroup, Inc., Floating Rate Note, 7/25/16 750,000 $759,190
Citigroup Commercial Mortgage Trust 2004-C1, Floating Rate Note, 4/15/40 877,340 $397,697
Citigroup Commercial Mortgage Trust 2007-FL3, Floating Rate Note, 4/15/22 (144A) 580,444 $577,009
Citigroup Mortgage Loan Trust, Inc., 7.0%, 9/25/33 7,340,000 $125,992
Citigroup Mortgage Loan Trust, Inc., Floating Rate Note, 11/25/34 900,000 $72,447
Citigroup Mortgage Loan Trust, Inc., Floating Rate Note, 11/25/35 1,471,464 $29,430
Citigroup Mortgage Loan Trust, Inc., Floating Rate Note, 4/25/35 1,750,000 $184,530
Citigroup Mortgage Loan Trust 2006-SHL1, Floating Rate Note, 11/25/45 (144A) 3,365,000 $436,951
Citigroup Mortgage Loan Trust 2010-7, Floating Rate Note, 9/25/37 (144A) 1,905,250 $611,234
CNH Wholesale Master Note Trust, Floating Rate Note, 8/15/19 (144A) 425,000 $425,624
CNL Commercial Mortgage Loan Trust 2002-1, Floating Rate Note, 10/25/28 (144A) 8,975,000 $329,997
CNL Commercial Mortgage Loan Trust 2003-1, Floating Rate Note, 5/15/31 (144A) 5,443,000 $564,482
CNL Commercial Mortgage Loan Trust 2003-2, Floating Rate Note, 10/25/30 (144A) 1,000,000 $103,118
Coca-Cola Enterprises, Inc., 2.125%, 9/15/15 189,000 $194,660
Collateralized Mortgage Obligation Trust 44, Floating Rate Note, 7/1/18 13,590,000 $63,489
Combine Re, Ltd., Floating Rate Note, 1/7/15 (Cat Bond) (144A) 1,000,000 $1,023,550
Combine Re, Ltd., Floating Rate Note, 1/7/15 (Cat Bond) (144A) 400,000 $429,480
COMM 2004-LNB3 Mortgage Trust, Floating Rate Note, 7/10/37 302,000 $138,493
COMM 2006-FL12 Mortgage Trust, Floating Rate Note, 12/15/20 (144A) 3,410,000 $826,766
COMM 2006-FL12 Mortgage Trust, Floating Rate Note, 12/15/20 (144A) 785,000 $507,609
COMM 2007-FL14 Mortgage Trust, Floating Rate Note, 6/15/22 (144A) 650,000 $145,454
COMM 2013-FL3 Mortgage Trust, Floating Rate Note, 10/13/28 (144A) 1,000,000 $1,005,589
Commercial Mortgage Pass Through Certificates, Floating Rate Note, 11/17/26 (144A) 600,000 $563,678
Commercial Mortgage Pass Through Certificates, Floating Rate Note, 2/13/32 (144A) 870,000 $870,741
Commercial Mortgage Trust 2005-GG3, Floating Rate Note, 8/10/42 1,000,000 $1,030,766
Commercial Mortgage Trust 2005-GG3, Floating Rate Note, 8/10/42 485,000 $497,124
Commonwealth Edison Co., 1.95%, 9/1/16 500,000 $517,078
Compass Re, Ltd., Floating Rate Note, 1/8/15 (Cat Bond) (144A) 375,000 $395,774
ConocoPhillips Co., 1.05%, 12/15/17 700,000 $695,737
Conseco Finance Corp., 7.55%, 4/15/32 (Step) 2,740,000 $348,608
Conseco Finance Corp., Floating Rate Note, 11/15/32 800,000 $23,919
Conseco Finance Home Equity Loan Trust 2002-C, Floating Rate Note, 5/15/32 2,875,000 $878,306
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA Netherlands, Floating Rate Note, 3/18/16 500,000 $503,877
Countrywide Asset-Backed Certificates, Floating Rate Note, 1/25/36 330,000 $95,649
Countrywide Asset-Backed Certificates, Floating Rate Note, 11/25/34 4,839,000 $149,300
Countrywide Asset-Backed Certificates, Floating Rate Note, 11/25/35 (144A) 2,175,000 $114,688
Countrywide Asset-Backed Certificates, Floating Rate Note, 2/25/33 244,000 $70,672
Countrywide Asset-Backed Certificates, Floating Rate Note, 2/25/36 1,814,000 $355,258
Countrywide Asset-Backed Certificates, Floating Rate Note, 5/25/35 1,300,000 $380,471
Countrywide Asset-Backed Certificates, Floating Rate Note, 5/25/36 1,600,000 $191,021
Countrywide Asset-Backed Certificates, Floating Rate Note, 6/25/36 284,000 $73,309
Countrywide Asset-Backed Certificates, Floating Rate Note, 7/25/35 1,554,000 $344,478
Countrywide Asset-Backed Certificates, Floating Rate Note, 9/25/34 (144A) 8,600,000 $610,480
County of Power Idaho, 5.625%, 10/1/14 1,000,000 $1,023,828
CPS Auto Receivables Trust 2013-A, 1.89%, 6/15/20 (144A) 690,000 $551,721
CPS Auto Receivables Trust 2013-B, 1.82%, 9/15/20 (144A) 157,000 $113,401
Credit Acceptance Auto Loan Trust 2013-2, 1.5%, 4/15/21 (144A) 1,000,000 $1,002,770
Credit Suisse Commercial Mortgage Trust Series 2007-C1, 5.361%, 2/15/40 1,300,000 $1,070,381
Credit Suisse First Boston Mortgage Securities Corp., 4.691%, 10/15/39 156,230 $47,680
Credit Suisse First Boston Mortgage Securities Corp., 4.829%, 11/15/37 204,829 $202,940
Credit Suisse First Boston Mortgage Securities Corp., 4.832%, 4/15/37 1,040,000 $1,078,370
Credit Suisse First Boston Mortgage Securities Corp., 4.877%, 4/15/37 500,000 $507,426
Credit Suisse First Boston Mortgage Securities Corp., 5.25%, 10/25/19 1,196,000 $78,676
Credit Suisse First Boston Mortgage Securities Corp., 5.5%, 6/25/33 200,000 $54,063
Credit Suisse First Boston Mortgage Securities Corp., 5.5%, 8/25/34 18,567,000 $139,346
Credit Suisse First Boston Mortgage Securities Corp., 7.5%, 5/25/32 15,000,000 $329,436
Credit Suisse First Boston Mortgage Securities Corp., Floating Rate Note, 11/25/33 1,400,000 $91,365
Credit Suisse First Boston Mortgage Securities Corp., Floating Rate Note, 12/25/33 700,000 $50,256
Credit Suisse First Boston Mortgage Securities Corp., Floating Rate Note, 2/15/38 855,000 $783,800
Credit Suisse First Boston Mortgage Securities Corp., Floating Rate Note, 7/15/36 1,170,000 $546,535
Credit Suisse First Boston Mortgage Securities Corp., Floating Rate Note, 8/15/38 960,440 $1,008,248
Credit Suisse Mortgage Capital Certificates, Floating Rate Note, 10/15/21 (144A) 875,000 $321,932
Credit Suisse Mortgage Capital Certificates, Floating Rate Note, 7/27/36 (144A) 3,494,698 $929,235
Credit Suisse New York NY, 5.5%, 5/1/14 1,500,000 $1,539,946
Cronos Containers Program, Ltd., 3.81%, 9/18/27 (144A) 250,000 $217,008
Crown Castle Towers LLC, 3.214%, 8/15/15 (144A) 500,000 $510,389
CSMC Trust 2010-16, Floating Rate Note, 6/25/50 (144A) 600,000 $431,552
Daimler Finance North America LLC, 1.3%, 7/31/15 (144A) 1,000,000 $1,009,403
Daimler Finance North America LLC, 1.45%, 8/1/16 (144A) 1,000,000 $1,010,555
Darling International, Inc., Term B USD Loan, 12/19/20 525,000 $525,315
De Flt% 25feb16 500,000 $500,000
Del Coronado Trust 2013-DEL, Floating Rate Note, 3/15/26 (144A) 300,000 $299,599
Del Coronado Trust 2013-DEL, Floating Rate Note, 3/15/26 (144A) 399,000 $396,706
Delos Finance Sarl Tl-B L + 2.75% 27feb21 425,000 $427,059
Delta Air Lines, Inc., 2014 Term B-1 Loan, 10/18/18 100,000 $100,500
Deutsche Telekom International Finance BV, 4.875%, 7/8/14 1,000,000 $1,022,139
Devon Energy Corp., Floating Rate Note, 12/15/15 1,000,000 $1,004,043
Diamond Resorts Owner Trust 2013-2, 2.62%, 3/1/24 750,000 $657,966
Digital Realty Trust LP, 4.5%, 7/15/15 650,000 $678,776
Direct Capital Funding V LLC, 1.673%, 12/20/17 (144A) 175,000 $82,341
Direct Capital Funding V LLC, 4.83%, 11/20/20 (144A) 750,000 $752,794
Discovery Communications LLC, 3.7%, 6/1/15 750,000 $784,967
Dominion Resources, Inc. Virginia, 1.8%, 3/15/14 580,000 $585,053
Dryrock Issuance Trust, Floating Rate Note, 8/15/17 700,000 $699,673
DT Auto Owner Trust 2011-1, 4.89%, 1/17/17 (144A) 325,000 $212,658
DT Auto Owner Trust 2013-1, 1.67%, 2/15/19 (144A) 629,000 $633,080
Duke Energy Florida, Inc., 0.65%, 11/15/15 500,000 $502,175
Duke Energy Indiana, Inc., Floating Rate Note, 7/11/16 303,000 $303,325
East Lane Re, Ltd., Floating Rate Note, 3/13/15 (Cat Bond) (144A) 500,000 $523,327
Electricite de France, Floating Rate Note, 1/20/17 (144A) 750,000 $750,819
Ellington Loan Acquisition Trust 2007-1, Floating Rate Note, 5/28/37 (144A) 550,000 $525,831
Embarcadero Reinsurance, Ltd., Floating Rate Note, 2/4/16 (Cat Bond) (144A) 250,000 $254,499
Enbridge, Inc., Floating Rate Note, 10/1/16 500,000 $502,127
Endo Luxembourg Finance I 1st Lien Tl-B L + 2.5% 05nov20 500,000 $500,313
Equity One Mortgage Pass-Through Trust 2003-1, Floating Rate Note, 8/25/33 11,389,000 $436,167
Equity One Mortgage Pass-Through Trust 2004-1, Floating Rate Note, 4/25/34 1,840,000 $472,915
Equity One Mortgage Pass-Through Trust 2004-2, Floating Rate Note, 7/25/34 1,925,000 $499,040
Equity One Mortgage Pass-Through Trust 2004-3, Floating Rate Note, 7/25/34 3,011,000 $183,578
Everglades Re, Ltd., Floating Rate Note, 4/30/14 (Cat Bond) (144A) 1,850,000 $1,921,592
Export-Import Bank of Korea, 1.25%, 11/20/15 500,000 $505,857
Export-Import Bank of Korea, Floating Rate Note, 9/17/16 1,000,000 $1,004,751
Express Scripts Holding Co., 2.1%, 2/12/15 492,000 $499,409
Express Scripts Holding Co., 2.75%, 11/21/14 400,000 $409,501
Express Scripts Holding Co., 3.125%, 5/15/16 1,000,000 $1,055,083
Extended Stay America Trust 2013-ESH, 1.2783%, 12/5/31 (144A) 723,000 $710,105
Extended Stay America Trust 2013-ESH, Floating Rate Note, 12/5/31 (144A) 200,000 $200,177
Extended Stay America Trust 2013-ESH, Floating Rate Note, 12/5/31 (144A) 200,000 $200,397
Fannie Mae, 4.5%, 1/1/41 580,000 $337,865
Fannie Mae, 4.5%, 5/1/39 2,100,000 $985,347
Fannie Mae, 4.5%, 5/1/39 1,350,000 $575,170
Fannie Mae, 5.0%, 10/1/41 1,736,000 $930,191
Fannie Mae, 5.0%, 7/1/15 1,000,000 $32,571
Fannie Mae, 5.5%, 12/1/35 1,000,000 $97,477
Fannie Mae, 5.5%, 8/1/37 2,000,000 $458,728
Fannie Mae, 6.0%, 10/1/22 973,454 $381,115
Fannie Mae, 6.0%, 2/1/34 1,400,000 $51,917
Fannie Mae, 6.0%, 4/1/38 483,000 $55,197
Fannie Mae, 6.5%, 4/1/29 9,050,000 $360,697
Fannie Mae, 6.5%, 6/1/14 1,000,000 $55
Fannie Mae, 6.5%, 6/1/15 3,819,656 $3,745
Fannie Mae, 6.5%, 6/1/16 700,000 $3,335
Fannie Mae, 6.5%, 7/1/32 723,471 $9,750
Fannie Mae, 6.5%, 8/1/14 234,988 $85
Fannie Mae, 6.5%, 8/1/17 667,089 $23,963
Fannie Mae, 7.0%, 1/1/36 1,000,000 $39,736
Fannie Mae, 7.0%, 10/1/19 19,053,741 $172,025
Fannie Mae, 7.0%, 7/1/17 3,768,412 $63,193
Fannie Mae, Floating Rate Note, 1/1/25 7,000,000 $60,871
Fannie Mae, Floating Rate Note, 10/1/29 10,892,567 $92,448
Fannie Mae, Floating Rate Note, 10/1/29 4,831,796 $115,372
Fannie Mae, Floating Rate Note, 10/1/36 1,877,185 $337,434
Fannie Mae, Floating Rate Note, 11/1/24 7,000,000 $94,873
Fannie Mae, Floating Rate Note, 11/1/25 700,000 $4,145
Fannie Mae, Floating Rate Note, 11/1/40 9,368,434 $121,908
Fannie Mae, Floating Rate Note, 12/1/28 1,112,489 $57,851
Fannie Mae, Floating Rate Note, 12/1/36 6,500,000 $302,845
Fannie Mae, Floating Rate Note, 2/1/27 4,000,000 $18,417
Fannie Mae, Floating Rate Note, 2/1/33 380,000 $1,852
Fannie Mae, Floating Rate Note, 4/1/28 400,000 $3,667
Fannie Mae, Floating Rate Note, 4/1/29 400,000 $3,151
Fannie Mae, Floating Rate Note, 7/1/36 500,000 $66,602
Fannie Mae Connecticut Avenue Securities, Floating Rate Note, 10/25/23 544,000 $523,757
Fannie Mae Grantor Trust 2001-T1, Floating Rate Note, 10/25/40 51,205,518 $3,580,621
Fannie Mae Trust 2005-W4, Floating Rate Note, 6/25/35 1,600,000 $282,500
Fannie Mae Whole Loan, Floating Rate Note, 11/25/46 2,000,000 $424,512
FDIC 2010-R1 Trust, 2.184%, 5/25/50 (144A) 2,060,000 $923,947
Federal Home Loan Banks, 2.9%, 4/20/17 1,370,000 $312,981
Federal Home Loan Banks, Floating Rate Note, 6/11/14 5,000,000 $5,004,662
Federal Home Loan Mortgage Corp., 3.5%, 8/15/28 500,000 $207,420
Federal Home Loan Mortgage Corp., 4.0%, 1/15/34 5,000,000 $413,801
Federal Home Loan Mortgage Corp., 4.0%, 5/1/24 2,400,000 $307,946
Federal Home Loan Mortgage Corp., 4.0%, 5/15/37 1,753,000 $236,805
Federal Home Loan Mortgage Corp., 4.5%, 7/1/19 1,381,464 $244,853
Federal Home Loan Mortgage Corp., 4.5%, 7/1/19 1,467,130 $271,907
Federal Home Loan Mortgage Corp., 5.0%, 12/1/39 265,000 $130,351
Federal Home Loan Mortgage Corp., 5.0%, 2/1/21 1,000,000 $103,596
Federal Home Loan Mortgage Corp., 5.0%, 4/15/32 3,500,000 $388,262
Federal Home Loan Mortgage Corp., 5.5%, 8/1/23 1,563,938 $86,470
Federal Home Loan Mortgage Corp., 5.75%, 2/15/34 1,034,000 $208,036
Federal Home Loan Mortgage Corp., 6.5%, 7/1/16 2,000,000 $13,580
Federal Home Loan Mortgage Corp., Floating Rate Note, 1/1/28 500,000 $5,159
Federal Home Loan Mortgage Corp., Floating Rate Note, 1/15/33 40,000,000 $2,132,040
Federal Home Loan Mortgage Corp., Floating Rate Note, 10/1/31 19,044,336 $451,062
Federal Home Loan Mortgage Corp., Floating Rate Note, 10/24/16 1,000,000 $1,003,316
Federal Home Loan Mortgage Corp., Floating Rate Note, 11/1/31 1,399,950 $7,090
Federal Home Loan Mortgage Corp., Floating Rate Note, 11/15/36 2,046,908 $127,856
Federal Home Loan Mortgage Corp., Floating Rate Note, 12/1/31 49,986,196 $279,126
Federal Home Loan Mortgage Corp., Floating Rate Note, 4/1/25 13,000,000 $18,838
Federal Home Loan Mortgage Corp., Floating Rate Note, 4/1/29 160,000 $2,073
Federal Home Loan Mortgage Corp., Floating Rate Note, 4/15/36 4,003,000 $847,782
Federal Home Loan Mortgage Corp., Floating Rate Note, 5/1/25 588,110 $6,998
Federal Home Loan Mortgage Corp., Floating Rate Note, 7/1/18 2,100,000 $5,811
Federal Home Loan Mortgage Corp., Floating Rate Note, 8/1/31 12,000,000 $115,052
Federal Home Loan Mortgage Corp., Floating Rate Note, 8/1/31 500,000 $1,531
Federal Home Loan Mortgage Corp. REMICS, 3.5%, 10/15/18 500,000 $131,446
Federal Home Loan Mortgage Corp. REMICS, 3.5%, 6/15/28 1,119,000 $216,958
Federal Home Loan Mortgage Corp. REMICS, 4.0%, 12/15/22 890,000 $44,181
Federal Home Loan Mortgage Corp. REMICS, 4.0%, 6/15/22 2,000,000 $43,279
Federal Home Loan Mortgage Corp. REMICS, 5.0%, 6/15/34 401,000 $84,687
Federal Home Loan Mortgage Corp. REMICS, 5.5%, 10/15/35 1,625,000 $133,762
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 1/15/36 400,312 $103,109
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 1/15/37 16,831,292 $1,313,017
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 1/15/41 511,570 $401,871
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 10/15/20 9,083,556 $247,001
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 10/15/35 1,645,000 $265,028
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 10/15/37 3,873,000 $358,550
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 11/15/36 600,000 $131,509
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 11/15/36 994,698 $68,371
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 11/15/36 1,229,000 $282,328
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 11/15/37 405,330 $268,471
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 11/15/37 3,358,000 $675,417
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/32 862,000 $93,147
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/32 1,931,288 $208,510
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/34 1,800,000 $151,919
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/35 2,232,000 $441,219
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/36 6,932,100 $706,618
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/39 666,000 $312,607
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/30 586,107 $311,618
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/32 15,205,000 $305,533
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/33 20,000,000 $335,493
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/36 909,000 $200,145
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/37 2,840,000 $220,588
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/39 288,000 $178,594
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/41 1,878,046 $486,543
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/42 350,000 $231,787
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 3/15/32 35,466,000 $394,415
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 3/15/32 13,417,000 $197,433
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 3/15/37 2,300,000 $307,029
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 3/15/38 1,005,000 $434,628
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 3/15/41 3,243,333 $991,825
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 4/15/27 22,817,000 $298,828
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 4/15/28 10,000,000 $179,053
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 4/15/36 728,000 $184,594
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 4/15/41 2,446,437 $611,291
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 5/15/36 4,000,000 $450,072
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 5/15/36 2,159,000 $196,304
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 5/15/41 638,000 $153,208
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 6/15/36 1,288,000 $154,585
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 6/15/40 337,000 $294,556
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 6/15/41 1,220,000 $394,500
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 7/15/23 835,000 $236,909
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 7/15/36 3,107,000 $303,765
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 8/15/18 600,000 $152,647
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 8/15/25 970,000 $371,181
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 8/15/25 8,280,485 $829,973
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 8/15/26 370,000 $162,329
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 8/15/31 781,000 $448,393
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 8/15/35 462,000 $113,485
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 8/15/36 5,044,000 $359,843
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 9/15/26 385,000 $259,325
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 9/15/33 2,647,000 $265,179
Federal National Mortgage Association, 2.5%, 4/25/36 635,000 $274,950
Federal National Mortgage Association, 2.5%, 9/1/22 2,000,000 $1,565,723
Federal National Mortgage Association, 3.0%, 12/1/21 2,000,000 $1,154,782
Federal National Mortgage Association, 3.0%, 6/25/39 2,000,000 $386,233
Federal National Mortgage Association, 3.5%, 1/25/24 7,225,000 $822,847
Federal National Mortgage Association, 3.5%, 3/25/28 2,344,102 $408,003
Federal National Mortgage Association, 3.5%, 7/25/24 1,250,000 $374,806
Federal National Mortgage Association, 4.0%, 1/1/20 7,280,000 $1,643,361
Federal National Mortgage Association, 4.0%, 10/1/20 4,317,004 $1,650,019
Federal National Mortgage Association, 4.0%, 3/1/21 4,071,760 $1,670,702
Federal National Mortgage Association, 4.5%, 3/25/37 6,000,000 $311,095
Federal National Mortgage Association, 4.5%, 6/25/40 4,200,000 $1,345,927
Federal National Mortgage Association, 5.0%, 6/25/32 15,427,000 $511,416
Federal National Mortgage Association, 5.0%, 7/25/32 7,363,000 $452,065
Federal National Mortgage Association, 5.0%, 8/25/22 9,200,000 $418,168
Federal National Mortgage Association, Floating Rate Note, 10/25/40 750,000 $585,968
Federal National Mortgage Association, Floating Rate Note, 2/25/23 77,000,000 $461,202
Federal National Mortgage Association, Floating Rate Note, 3/25/36 2,108,510 $580,979
Federal National Mortgage Association, Floating Rate Note, 4/25/33 36,000,000 $1,181,094
Federal National Mortgage Association, Floating Rate Note, 4/25/45 1,250,000 $261,332
Federal National Mortgage Association, Floating Rate Note, 6/25/36 7,000,000 $967,917
Federal National Mortgage Association, Floating Rate Note, 6/25/36 6,118,000 $1,241,266
Federal National Mortgage Association, Floating Rate Note, 7/25/42 11,000,000 $1,033,427
Federal National Mortgage Association, Floating Rate Note, 8/25/35 2,868,000 $424,218
Federal National Mortgage Association 2004-T2, Floating Rate Note, 7/25/43 6,750,000 $1,062,219
Federal National Mortgage Association 2006-48-T, 5.5%, 12/25/34 1,716,418 $877,201
Federal National Mortgage Association REMICS, 1.5%, 11/25/20 745,000 $226,693
Federal National Mortgage Association REMICS, 1.75%, 12/25/22 1,000,000 $387,291
Federal National Mortgage Association REMICS, 3.0%, 1/25/21 1,000,000 $259,147
Federal National Mortgage Association REMICS, 3.0%, 4/25/40 1,110,000 $227,622
Federal National Mortgage Association REMICS, 3.5%, 10/25/39 490,000 $336,993
Federal National Mortgage Association REMICS, 4.0%, 5/25/29 2,000,000 $2,147,627
Federal National Mortgage Association REMICS, 4.0%, 6/25/37 900,000 $83,739
Federal National Mortgage Association REMICS, 5.0%, 9/25/39 110,000 $25,982
Federal National Mortgage Association REMICS, 5.5%, 5/25/30 890,000 $22,761
Federal National Mortgage Association REMICS, 6.0%, 3/25/35 1,000,000 $114,685
Federal National Mortgage Association REMICS, 6.0%, 6/25/29 685,000 $151,353
Federal National Mortgage Association REMICS, Floating Rate Note, 1/18/32 4,920,043 $90,518
Federal National Mortgage Association REMICS, Floating Rate Note, 1/25/24 51,985,111 $456,151
Federal National Mortgage Association REMICS, Floating Rate Note, 1/25/33 2,782,000 $121,186
Federal National Mortgage Association REMICS, Floating Rate Note, 1/25/34 10,970,000 $2,005,660
Federal National Mortgage Association REMICS, Floating Rate Note, 10/25/35 1,878,000 $230,595
Federal National Mortgage Association REMICS, Floating Rate Note, 10/25/36 11,844,000 $560,657
Federal National Mortgage Association REMICS, Floating Rate Note, 10/25/38 1,808,000 $255,552
Federal National Mortgage Association REMICS, Floating Rate Note, 10/27/37 1,375,920 $1,372,261
Federal National Mortgage Association REMICS, Floating Rate Note, 11/18/32 24,329,000 $559,560
Federal National Mortgage Association REMICS, Floating Rate Note, 11/25/36 1,048,000 $177,139
Federal National Mortgage Association REMICS, Floating Rate Note, 11/25/39 2,750,000 $625,478
Federal National Mortgage Association REMICS, Floating Rate Note, 11/25/40 4,714,000 $2,224,021
Federal National Mortgage Association REMICS, Floating Rate Note, 12/18/32 6,330,000 $119,460
Federal National Mortgage Association REMICS, Floating Rate Note, 12/25/31 4,375,000 $210,430
Federal National Mortgage Association REMICS, Floating Rate Note, 12/25/32 34,313,143 $897,287
Federal National Mortgage Association REMICS, Floating Rate Note, 12/25/36 1,500,000 $376,619
Federal National Mortgage Association REMICS, Floating Rate Note, 12/25/37 5,672,000 $253,217
Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/33 4,696,499 $303,824
Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/35 603,000 $228,011
Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/37 4,308,000 $259,892
Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/37 1,940,000 $255,407
Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/38 624,000 $219,702
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/24 4,129,409 $193,418
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/34 4,612,000 $325,063
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/34 763,500 $263,120
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/35 1,871,000 $390,372
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/35 1,278,000 $341,680
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/36 11,585,646 $1,924,187
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/37 960,000 $170,800
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/37 8,873,506 $269,855
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/37 4,100,000 $355,826
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/37 9,250,000 $405,220
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/45 4,100,000 $742,916
Federal National Mortgage Association REMICS, Floating Rate Note, 4/25/32 50,000,000 $774,519
Federal National Mortgage Association REMICS, Floating Rate Note, 4/25/32 10,133,000 $694,394
Federal National Mortgage Association REMICS, Floating Rate Note, 4/25/34 644,866 $95,650
Federal National Mortgage Association REMICS, Floating Rate Note, 4/25/36 1,737,000 $402,348
Federal National Mortgage Association REMICS, Floating Rate Note, 4/25/37 944,568 $225,602
Federal National Mortgage Association REMICS, Floating Rate Note, 5/18/32 31,809,000 $812,321
Federal National Mortgage Association REMICS, Floating Rate Note, 5/25/17 20,000,000 $231,272
Federal National Mortgage Association REMICS, Floating Rate Note, 5/25/33 4,068,000 $124,457
Federal National Mortgage Association REMICS, Floating Rate Note, 5/25/36 6,641,000 $297,175
Federal National Mortgage Association REMICS, Floating Rate Note, 5/25/37 6,826,000 $310,930
Federal National Mortgage Association REMICS, Floating Rate Note, 5/25/40 761,373 $407,655
Federal National Mortgage Association REMICS, Floating Rate Note, 5/25/41 4,124,300 $1,302,353
Federal National Mortgage Association REMICS, Floating Rate Note, 6/25/35 7,977,000 $733,628
Federal National Mortgage Association REMICS, Floating Rate Note, 6/25/36 2,317,493 $297,052
Federal National Mortgage Association REMICS, Floating Rate Note, 6/25/36 730,000 $219,845
Federal National Mortgage Association REMICS, Floating Rate Note, 6/25/37 2,134,162 $334,268
Federal National Mortgage Association REMICS, Floating Rate Note, 6/25/37 4,600,000 $431,662
Federal National Mortgage Association REMICS, Floating Rate Note, 6/25/37 3,542,500 $655,542
Federal National Mortgage Association REMICS, Floating Rate Note, 6/25/37 1,010,000 $119,993
Federal National Mortgage Association REMICS, Floating Rate Note, 6/25/38 2,355,000 $243,553
Federal National Mortgage Association REMICS, Floating Rate Note, 7/25/34 1,642,000 $127,122
Federal National Mortgage Association REMICS, Floating Rate Note, 7/25/35 774,000 $112,573
Federal National Mortgage Association REMICS, Floating Rate Note, 7/25/35 750,000 $189,781
Federal National Mortgage Association REMICS, Floating Rate Note, 7/25/36 3,269,017 $167,493
Federal National Mortgage Association REMICS, Floating Rate Note, 7/25/38 6,812,000 $447,295
Federal National Mortgage Association REMICS, Floating Rate Note, 8/25/36 4,040,000 $563,311
Federal National Mortgage Association REMICS, Floating Rate Note, 8/25/40 692,000 $395,204
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/33 4,915,594 $656,463
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/36 1,275,000 $222,919
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/36 3,447,000 $304,554
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/37 2,706,000 $404,266
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/37 679,000 $108,286
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/37 2,524,000 $132,543
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/37 3,700,000 $431,027
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/39 683,053 $137,515
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/41 750,000 $526,570
FHLMC Structured Pass Through Securities, Floating Rate Note, 12/25/29 12,000,000 $206,958
Fieldstone Mortgage Investment Trust Series 2005-1, Floating Rate Note, 3/25/35 311,000 $152,811
Fieldwood Energy LLC, 9/25/18 998,750 $1,003,016
Fifth Third Bancorp, Floating Rate Note, 12/20/16 730,000 $724,354
Fifth Third Bank Cincinnati Ohio, 1.15%, 11/18/16 750,000 $755,903
Fifth Third Bank Cincinnati Ohio, Floating Rate Note, 2/26/16 500,000 $500,735
First Franklin Mortgage Loan Trust 2002-FFA, Floating Rate Note, 9/25/32 5,500,000 $372,962
First Franklin Mortgage Loan Trust 2003-FFC, Floating Rate Note, 11/25/32 8,000,000 $471,670
First Franklin Mortgage Loan Trust 2005-FFH3, Floating Rate Note, 9/25/35 700,000 $444,120
First Horizon Mortgage Pass-Through Trust 2004-AR1, Floating Rate Note, 2/25/34 1,500,000 $61,685
First Horizon Mortgage Pass-Through Trust 2004-AR5, Floating Rate Note, 10/25/34 940,000 $69,163
First Investors Auto Owner Trust 2012-2, 1.47%, 5/15/18 (144A) 200,000 $100,974
First Investors Auto Owner Trust 2013-1, 2.02%, 1/15/19 (144A) 200,000 $197,563
First Investors Auto Owner Trust 2013-2, 1.23%, 3/15/19 (144A) 148,000 $131,814
First NLC Trust 2005-2, Floating Rate Note, 9/25/35 3,362,996 $1,824,532
Fly Funding II Sarl, 8/8/18 395,000 $401,254
FMG Resources August 2006 Pty, Ltd., Loan, 6/30/19 98,753 $99,863
Ford Credit Auto Owner Trust 2013-C, 0.55%, 4/15/16 385,000 $333,012
Ford Motor Credit Co LLC, 2.375%, 1/16/18 250,000 $254,193
Ford Motor Credit Co LLC, 2.75%, 5/15/15 500,000 $515,762
Ford Motor Credit Co LLC, 2.875%, 10/1/18 500,000 $519,235
Ford Motor Credit Co LLC, 3.875%, 1/15/15 200,000 $206,514
Foresight Energy LLC, 8/21/20 249,375 $252,180
Fosse Master Issuer Plc, Floating Rate Note, 10/18/54 (144A) 100,000 $102,295
Foundation Re III, Ltd., Floating Rate Note, 2/25/15 (Cat Bond) (144A) 500,000 $511,969
Four Corners CLO II, Ltd., Floating Rate Note, 1/26/20 (144A) 553,000 $524,699
Franklin Resources, Inc., 3.125%, 5/20/15 300,000 $311,863
Freddie Mac REMICS, Floating Rate Note, 2/15/32 14,441,000 $1,164,996
Freddie Mac Strips, Floating Rate Note, 12/15/36 2,327,000 $197,464
Freddie Mac Strips, Floating Rate Note, 8/15/36 6,894,664 $478,372
FREMF Mortgage Trust 2012-K501, Floating Rate Note, 11/25/46 (144A) 409,000 $421,757
Fremont Home Loan Trust 2005-2, Floating Rate Note, 6/25/35 1,700,000 $92,684
Fresenius US Finance I, Inc., 8/7/19 498,750 $499,062
Galileo Re, Ltd., Floating Rate Note, 1/9/19 (Cat Bond) (144A) 500,000 $525,642
Garda World Security Corp., Term B Delayed Draw Loan, 11/8/20 123,797 $124,339
Garda World Security Corp., Term B Loan, 11/1/20 483,933 $486,051
GATX Corp., 1.25%, 3/4/17 750,000 $750,313
GE Business Loan Trust 2003-1, Floating Rate Note, 4/15/31 (144A) 4,997,000 $271,733
GE Business Loan Trust 2003-2, Floating Rate Note, 11/15/31 (144A) 1,409,576 $197,944
GE Business Loan Trust 2004-1, Floating Rate Note, 5/15/32 (144A) 2,236,203 $288,126
GE Business Loan Trust 2004-2, Floating Rate Note, 12/15/32 (144A) 2,533,274 $643,392
GE Business Loan Trust 2005-1, Floating Rate Note, 6/15/33 (144A) 1,192,482 $755,415
GE Business Loan Trust 2006-2, Floating Rate Note, 11/15/34 (144A) 1,520,423 $646,827
GE Business Loan Trust 2007-1, Floating Rate Note, 4/16/35 (144A) 1,150,000 $529,913
GE Capital Commercial Mortgage Corp., Floating Rate Note, 7/10/45 (144A) 500,000 $503,658
GE Dealer Floorplan Master Note Trust, Floating Rate Note, 10/20/17 256,000 $256,611
GE Dealer Floorplan Master Note Trust, Floating Rate Note, 4/20/18 670,000 $671,996
GE Dealer Floorplan Master Note Trust, Floating Rate Note, 6/20/17 980,000 $983,044
GE Equipment Small Ticket LLC Series 2013-1, 0.73%, 1/25/16 (144A) 200,000 $200,323
GE Equipment Transportation LLC Series 2013-2, 0.61%, 6/24/16 480,000 $480,418
General Electric Capital Corp., 1.625%, 7/2/15 485,000 $494,100
General Electric Capital Corp., Floating Rate Note, 1/14/16 750,000 $751,149
General Electric Capital Corp., Floating Rate Note, 1/8/16 215,000 $216,812
General Electric Capital Corp., Floating Rate Note, 4/24/14 500,000 $500,843
General Electric Capital Corp., Floating Rate Note, 4/7/14 500,000 $500,945
General Electric Capital Corp., Floating Rate Note, 5/11/16 350,000 $349,568
General Electric Capital Corp., Floating Rate Note, 8/1/17 500,000 $500,790
General Electric Co., 0.85%, 10/9/15 1,000,000 $1,009,455
General Mills, Inc., 0.875%, 1/29/16 250,000 $250,899
General Mills, Inc., Floating Rate Note, 1/28/16 565,000 $565,222
Gentiva Health Services, Inc., 10/10/19 250,000 $252,813
Genworth Holdings, Inc., 5.75%, 6/15/14 500,000 $513,024
Georgia Power Co., Floating Rate Note, 3/15/16 350,000 $350,057
Georgia Power Co., Floating Rate Note, 8/15/16 500,000 $500,484
Glencore Funding LLC, 6.0%, 4/15/14 (144A) 1,000,000 $1,028,644
Glencore Funding LLC, Floating Rate Note, 5/27/16 (144A) 1,000,000 $997,291
Global Container Assets 2013-1, Ltd., 2.2%, 11/5/28 (144A) 750,000 $668,959
Global Mortgage Securitization, Ltd., 5.25%, 4/25/32 (144A) 795,156 $279,747
Global Mortgage Securitization, Ltd., Floating Rate Note, 4/25/32 8,278,000 $950,176
Global SC Finance II SRL, 4.11%, 7/19/27 (144A) 250,000 $213,055
GMAC Commercial Mortgage Securities Inc Series 2004-C2 Trust, Floating Rate Note, 8/10/38 1,465,000 $1,162,007
GMAC Commercial Mortgage Securities Inc Series 2005-C1 Trust, 4.697%, 5/10/43 1,019,000 $1,055,887
GMACM Mortgage Loan Trust 2003-AR1, Floating Rate Note, 10/19/33 1,226,000 $190,602
GMACM Mortgage Loan Trust 2004-AR1, Floating Rate Note, 6/25/34 1,700,000 $174,753
GMAT 2013-1 Trust, 3.9669%, 8/25/53 (Step) 630,000 $627,001
Government National Mortgage Association, 3.0%, 12/20/38 5,000,000 $1,863,299
Government National Mortgage Association, 3.0%, 12/20/38 1,000,000 $211,413
Government National Mortgage Association, 3.0%, 4/20/41 300,000 $289,175
Government National Mortgage Association, 3.5%, 2/20/33 1,500,000 $255,223
Government National Mortgage Association, 3.5%, 5/20/39 1,025,000 $700,159
Government National Mortgage Association, 4.5%, 5/20/33 390,000 $16,652
Government National Mortgage Association, 5.0%, 1/20/16 3,500,000 $755,733
Government National Mortgage Association, 5.0%, 4/20/36 850,000 $155,428
Government National Mortgage Association, 5.0%, 5/20/35 2,100,000 $384,902
Government National Mortgage Association, 5.0%, 7/20/31 3,300,000 $250,013
Government National Mortgage Association, 5.75%, 8/20/36 1,900,000 $106,688
Government National Mortgage Association, Floating Rate Note, 1/16/35 2,563,000 $320,682
Government National Mortgage Association, Floating Rate Note, 1/16/40 2,000,000 $837,373
Government National Mortgage Association, Floating Rate Note, 1/20/34 1,775,000 $286,349
Government National Mortgage Association, Floating Rate Note, 10/16/43 3,500,000 $103,634
Government National Mortgage Association, Floating Rate Note, 2/16/30 14,415,492 $246,156
Government National Mortgage Association, Floating Rate Note, 2/16/52 18,000,000 $359,684
Government National Mortgage Association, Floating Rate Note, 2/16/53 2,000,000 $158,067
Government National Mortgage Association, Floating Rate Note, 2/20/35 2,059,000 $323,046
Government National Mortgage Association, Floating Rate Note, 2/20/38 2,477,000 $282,344
Government National Mortgage Association, Floating Rate Note, 3/16/53 1,200,000 $91,068
Government National Mortgage Association, Floating Rate Note, 4/16/31 12,627,242 $287,760
Government National Mortgage Association, Floating Rate Note, 4/16/32 33,333,000 $700,645
Government National Mortgage Association, Floating Rate Note, 4/16/32 10,000,000 $162,855
Government National Mortgage Association, Floating Rate Note, 8/16/52 2,000,000 $137,463
Government National Mortgage Association, Floating Rate Note, 8/20/35 1,177,000 $230,769
Government National Mortgage Association, Floating Rate Note, 8/20/40 1,000,000 $744,744
Government National Mortgage Association, Floating Rate Note, 9/16/52 1,800,000 $146,160
Government National Mortgage Association, Floating Rate Note, 9/20/33 704,000 $147,421
Government National Mortgage Association I, 5.0%, 8/15/19 1,347,915 $438,986
Government National Mortgage Association I, 6.0%, 11/15/36 2,000,000 $216,863
Government National Mortgage Association I, 6.0%, 12/15/31 1,500,000 $73,694
Government National Mortgage Association I, 6.0%, 3/15/17 10,311,138 $313,694
Government National Mortgage Association I, 6.5%, 10/15/37 400,000 $63,100
Government National Mortgage Association I, 6.5%, 5/15/31 3,183,996 $45,594
Government National Mortgage Association I, 6.5%, 7/15/35 328,670 $21,741
Government National Mortgage Association I, 7.5%, 10/15/36 1,000,000 $61,713
Government National Mortgage Association I, 7.5%, 6/15/14 1,200,000 $3,142
Government National Mortgage Association II, 6.0%, 10/20/21 3,113,223 $736,594
Government National Mortgage Association II, 6.0%, 11/20/22 1,986,670 $340,446
Government National Mortgage Association II, 6.0%, 4/20/22 1,262,566 $246,794
Government National Mortgage Association II, 6.0%, 8/20/19 2,911,151 $206,749
Government National Mortgage Association REMICS, 4.0%, 9/20/37 4,000,000 $3,456,293
Gracechurch Card Funding Plc, Floating Rate Note, 2/15/17 (144A) 330,000 $331,450
Gracechurch Card Funding Plc, Floating Rate Note, 5/15/19 (144A) 500,000 $500,397
Gracechurch Card Funding Plc, Floating Rate Note, 6/15/17 (144A) 300,000 $301,412
Gray Television, Inc., 10/12/19 250,000 $252,110
GreenPoint Mortgage Funding Trust 2005-HE1, Floating Rate Note, 9/25/34 297,570 $260,746
GreenPoint Mortgage Funding Trust 2005-HE4, Floating Rate Note, 7/25/30 7,877,220 $83,757
GSAA Home Equity Trust 2004-6, Floating Rate Note, 6/25/34 15,032,940 $555,172
GSAA Home Equity Trust 2005-11, Floating Rate Note, 10/25/35 1,022,000 $261,859
GSAA Trust, Floating Rate Note, 6/25/35 440,000 $357,106
GSAMP Trust 2004-HE2, Floating Rate Note, 9/25/34 36,804,858 $322,920
GSAMP Trust 2005-HE1, Floating Rate Note, 12/25/34 1,210,753 $154,558
GSAMP Trust 2005-HE2, Floating Rate Note, 3/25/35 290,000 $35,972
GSAMP Trust 2006-SEA1, Floating Rate Note, 5/25/36 (144A) 5,518,315 $649,640
GS Caltex Corp., 3.25%, 10/1/18 (144A) 500,000 $512,887
GS Mortgage Securities Corp II, Floating Rate Note, 11/8/29 (144A) 400,000 $400,137
GS Mortgage Securities Corp II Series 2005-GG4, 4.782%, 7/10/39 105,000 $108,168
GSR Mortgage Loan Trust 2003-9, Floating Rate Note, 8/25/33 4,000,000 $357,780
GSR Mortgage Loan Trust 2004-7, Floating Rate Note, 6/25/34 4,189,737 $551,228
GSR Mortgage Loan Trust 2005-1F, 6.0%, 2/25/35 700,000 $465,815
GSRPM Mortgage Loan Trust 2003-2, Floating Rate Note, 6/25/33 393,823 $260,190
GSRPM Mortgage Loan Trust 2006-1, Floating Rate Note, 3/25/35 (144A) 1,201,850 $202,571
GSRPM Mortgage Loan Trust 2006-2, Floating Rate Note, 9/25/36 (144A) 1,226,000 $211,553
GTP Acquisition Partners I LLC, 4.347%, 6/15/16 (144A) 500,000 $526,737
GTP Towers Issuer LLC, 4.436%, 2/15/15 (144A) 550,000 $564,755
GTP Towers Issuer LLC, 8.112%, 2/15/15 (144A) 1,070,000 $1,107,607
HarborView Mortgage Loan Trust 2004-1, Floating Rate Note, 4/19/34 3,987,000 $180,177
Harley-Davidson Financial Services, Inc., 3.875%, 3/15/16 (144A) 175,000 $188,073
Harley-Davidson Motorcycle Trust 2012-1, 0.68%, 4/15/17 500,000 $459,232
Hartford Life Global Funding Trusts, Floating Rate Note, 6/16/14 500,000 $500,378
Health Care Real Estate Investment Trust, Inc., 2.25%, 3/15/18 500,000 $509,195
Hercules Capital Funding Trust 2012-1, 3.32%, 12/16/17 (144A) 250,000 $144,963
Hewlett-Packard Co., 2.625%, 12/9/14 470,000 $480,114
Hilton USA Trust 2013-HLF, Floating Rate Note, 11/5/30 (144A) 500,000 $502,701
Hilton USA Trust 2013-HLF, Floating Rate Note, 11/5/30 (144A) 175,000 $175,524
Hilton Worldwide Finance LLC, 9/23/20 457,895 $460,154
HLSS Servicer Advance Receivables Trust, 1.2437%, 1/17/45 1,250,000 $1,251,155
HLSS Servicer Advance Receivables Trust, 1.4953%, 1/16/46 (144A) 1,045,000 $1,043,604
HLSS Servicer Advance Receivables Trust, 1.7436%, 1/16/46 (144A) 250,000 $249,444
HLSS Servicer Advance Receivables Trust, 4.94%, 10/15/45 (144A) 350,000 $359,098
Holmes Master Issuer Plc, Floating Rate Note, 10/15/54 (144A) 250,000 $255,897
Hologic, Inc., 8/1/19 498,413 $499,534
HomeBanc Mortgage Trust 2005-2, Floating Rate Note, 5/25/25 6,015,011 $288,848
Home Equity Asset Trust 2005-3, Floating Rate Note, 8/25/35 250,000 $44,776
Home Equity Asset Trust 2006-3, Floating Rate Note, 7/25/36 765,000 $2,964
Home Equity Asset Trust 2006-4, Floating Rate Note, 8/25/36 253,896 $86,849
Home Equity Asset Trust 2006-8, Floating Rate Note, 3/25/37 1,394,318 $654,555
Home Equity Mortgage Trust, 5.821%, 4/25/35 (Step) 1,000,000 $316,878
Home Equity Mortgage Trust, Floating Rate Note, 7/25/35 1,113,955 $661,234
Home Loan Trust 2003-HI1, 5.27%, 4/25/28 (Step) 1,500,000 $122,910
Homestar Mortgage Acceptance Corp., Floating Rate Note, 1/25/35 3,700,000 $643,128
Homestar Mortgage Acceptance Corp., Floating Rate Note, 3/25/34 16,068,000 $1,045,439
Homestar Mortgage Acceptance Corp., Floating Rate Note, 6/25/34 3,670,962 $387,408
Homestar Mortgage Acceptance Corp., Floating Rate Note, 7/25/34 2,600,000 $274,474
Honda Auto Receivables 2011-2 Owner Trust, 1.55%, 8/18/17 350,000 $352,341
Honda Auto Receivables 2012-2 Owner Trust, 0.7%, 2/16/16 350,000 $308,512
Honda Auto Receivables 2013-1 Owner Trust, 0.35%, 6/22/15 500,000 $259,820
Horizon Funding Trust 2013-1, 3.0%, 5/15/18 (144A) 585,000 $504,271
HSBC Bank Middle East, Ltd., 3.0%, 10/21/15 750,000 $775,075
HSBC Home Equity Loan Trust 2005-3, Floating Rate Note, 1/20/35 2,127,000 $323,914
HSBC Home Equity Loan Trust USA 2006-3, Floating Rate Note, 3/20/36 1,005,000 $975,203
HSI Asset Securitization Corp Trust 2006-OPT1, Floating Rate Note, 12/25/35 350,623 $135,206
Hyperion Insurance Group, Ltd., 10/4/19 400,000 $399,500
Hyundai Capital America, 1.875%, 8/9/16 (144A) 500,000 $507,956
Hyundai Capital Auto Funding VIII, Ltd., Floating Rate Note, 9/20/16 (144A) 800,000 $235,754
Hyundai Motor Manufacturing Czech sro, 4.5%, 4/15/15 (144A) 1,000,000 $1,055,507
Iberdrola Finance Ireland, Ltd., 3.8%, 9/11/14 (144A) 1,000,000 $1,033,113
Ibis Re II, Ltd., Floating Rate Note, 6/28/16 (Cat Bond) (144A) 250,000 $254,772
Impac CMB Trust Series 2003-11, Floating Rate Note, 10/25/33 34,000,000 $1,061,070
Impac CMB Trust Series 2004-4, Floating Rate Note, 9/25/34 29,845,000 $1,331,589
Impac CMB Trust Series 2004-4, Floating Rate Note, 9/25/34 14,479,489 $641,338
Impac CMB Trust Series 2004-5, Floating Rate Note, 10/25/34 5,941,000 $387,350
Impac CMB Trust Series 2004-6, Floating Rate Note, 10/25/34 1,410,000 $86,707
Impac CMB Trust Series 2004-6, Floating Rate Note, 10/25/34 23,599,271 $1,431,414
Impac CMB Trust Series 2004-7, Floating Rate Note, 11/25/34 1,233,000 $88,455
Impac CMB Trust Series 2004-8, Floating Rate Note, 8/25/34 590,000 $91,020
Impac Secured Assets Trust 2006-1, Floating Rate Note, 5/25/36 1,300,000 $498,520
Impac Secured Assets Trust 2006-2, Floating Rate Note, 8/25/36 503,000 $163,294
Impac Secured Assets Trust 2006-5, Floating Rate Note, 12/25/36 600,000 $167,296
IndyMac INDX Mortgage Loan Trust 2004-AR6, Floating Rate Note, 10/25/34 675,000 $82,863
Intel Corp., 1.35%, 12/15/17 700,000 $701,842
International Bank for Reconstruction & Development, 0.58%, 11/30/16 3,000,000 $2,996,148
International Equipment Solutions LLC, 8/16/19 150,000 $150,656
Intesa Sanpaolo S.p.A., 3.125%, 1/15/16 500,000 $515,082
Invitation Homes 2013-SFR1 Trust, Floating Rate Note, 12/17/15 750,000 $748,657
Irwin Home Equity Loan Trust 2005-1, 5.32%, 6/25/35 (Step) 900,000 $180,179
Irwin Whole Loan Home Equity Trust 2003-C, Floating Rate Note, 6/25/28 1,923,500 $164,912
Irwin Whole Loan Home Equity Trust 2003-C, Floating Rate Note, 6/25/28 1,050,000 $334,004
Irwin Whole Loan Home Equity Trust 2003-D, Floating Rate Note, 11/25/28 2,250,000 $243,041
IXIS Real Estate Capital Trust 2005-HE4, Floating Rate Note, 2/25/36 250,000 $59,124
Jackson National Life Global Funding, Floating Rate Note, 3/17/14 (144A) 500,000 $500,485
Jackson National Life Global Funding, Floating Rate Note, 9/30/15 (144A) 1,000,000 $1,004,612
Jarden Corp., 9/30/20 249,375 $250,101
JBS USA LLC, 9/18/20 199,500 $199,168
Jefferies Resecuritization Trust 2009-R2, Floating Rate Note, 5/26/37 (144A) 300,000 $84,606
JobsOhio Beverage System, 0.872%, 1/1/15 500,000 $503,087
John Deere Capital Corp., 1.05%, 10/11/16 598,000 $603,273
John Deere Capital Corp., 2.95%, 3/9/15 950,000 $988,402
John Deere Capital Corp., Floating Rate Note, 10/11/16 1,090,000 $1,093,025
Johnson & Johnson, Floating Rate Note, 5/15/14 434,000 $434,131
Johnston Re, Ltd., Floating Rate Note, 5/8/14 (Cat Bond) (144A) 750,000 $767,338
Johnston Re, Ltd., Floating Rate Note, 5/8/14 (Cat Bond) (144A) 1,550,000 $1,590,317
JPMorgan Chase & Co., 1.875%, 3/20/15 823,000 $841,152
JPMorgan Chase & Co., 3.4%, 6/24/15 265,000 $276,130
JPMorgan Chase & Co., Floating Rate Note, 2/15/17 500,000 $501,139
JPMorgan Chase & Co., Floating Rate Note, 2/25/21 500,000 $505,333
JPMorgan Chase & Co., Floating Rate Note, 3/31/16 500,000 $496,816
JP Morgan Chase Commercial Mortgage Securities Corp., 4.878%, 1/15/42 1,100,000 $1,126,699
JP Morgan Chase Commercial Mortgage Securities Corp., Floating Rate Note, 10/15/25 (144A) 650,000 $652,022
JP Morgan Chase Commercial Mortgage Securities Corp., Floating Rate Note, 12/15/28 945,000 $946,126
JP Morgan Chase Commercial Mortgage Securities Corp Commercial Mortgage Pass-Thr, Floating Rate Note 232,380 $41,219
JP Morgan Chase Commercial Mortgage Securities Trust 2004-LN2, Floating Rate Note, 7/15/41 (144A) 637,677 $334,034
JP Morgan Chase Commercial Mortgage Securities Trust 2005-CIBC11, Floating Rate Note, 8/12/37 580,000 $595,373
JP Morgan Chase Commercial Mortgage Securities Trust 2005-LDP1, Floating Rate Note, 3/15/46 985,000 $1,012,136
JP Morgan Chase Commercial Mortgage Securities Trust 2006-CIBC17, 5.45%, 12/12/43 435,000 $85,684
JP Morgan Chase Commercial Mortgage Securities Trust 2006-FL2, Floating Rate Note, 11/15/18 (144A) 2,387,390 $435,944
JP Morgan Chase Commercial Mortgage Securities Trust 2006-FL2, Floating Rate Note, 11/15/18 (144A) 550,000 $174,440
JP Morgan Chase Commercial Mortgage Securities Trust 2006-LDP9, Floating Rate Note, 5/15/47 250,000 $125,308
JP Morgan Chase Commercial Mortgage Securities Trust 2007-CIBC19, Floating Rate Note, 2/12/49 475,000 $296,321
JP Morgan Chase Commercial Mortgage Securities Trust 2013-ALC, Floating Rate Note, 7/17/26 (144A) 412,000 $416,189
JP Morgan Chase Commercial Mortgage Securities Trust 2013-FL3, Floating Rate Note, 4/15/28 (144A) 300,000 $299,561
JP Morgan Chase Commercial Mortgage Securities Trust 2013-INN, Floating Rate Note, 10/15/30 (144A) 770,000 $771,578
JP Morgan Chase Commercial Mortgage Securities Trust 2013-JWRZ, Floating Rate Note, 4/15/30 (144A) 1,550,000 $1,540,011
JP Morgan Mortgage Acquisition Trust 2006-ACC1, Floating Rate Note, 5/25/36 604,088 $221,349
JP Morgan Mortgage Trust 2003-A1, Floating Rate Note, 10/25/33 4,585,389 $587,703
JP Morgan Mortgage Trust 2004-A1, Floating Rate Note, 2/25/34 3,584,000 $378,522
JP Morgan Mortgage Trust 2004-A5, Floating Rate Note, 12/25/34 245,000 $201,874
JP Morgan Mortgage Trust 2004-S1, 5.0%, 9/25/34 2,489,124 $185,915
JP Morgan Mortgage Trust 2005-A3, Floating Rate Note, 6/25/35 6,041,179 $839,590
JP Morgan Mortgage Trust 2005-A4, Floating Rate Note, 7/25/35 1,935,000 $345,620
JP Morgan Mortgage Trust 2006-S3, 6.0%, 8/25/36 1,036,158 $1,807
KeyBank NA Cleveland Ohio, 1.1%, 11/25/16 500,000 $503,477
KeyBank NA Cleveland Ohio, 1.65%, 2/1/18 1,000,000 $1,000,555
KeyBank NA Cleveland Ohio, 5.8%, 7/1/14 1,025,000 $1,052,534
KeyCorp, 3.75%, 8/13/15 931,000 $972,566
KKR Financial CLO 2007-1 Corp., Floating Rate Note, 5/15/21 (144A) 375,000 $364,186
Lanark Master Issuer Plc, Floating Rate Note, 12/22/54 (144A) 250,000 $248,799
Lanark Master Issuer Plc, Floating Rate Note, 12/22/54 (144A) 800,000 $733,895
Las Vegas Sands LLC, Term B Loan, 12/19/20 250,000 $249,844
LB-UBS Commercial Mortgage Trust 2002-C4, Floating Rate Note, 10/15/35 (144A) 650,000 $57,176
LB-UBS Commercial Mortgage Trust 2004-C1, 4.568%, 1/15/31 275,000 $36,956
LB-UBS Commercial Mortgage Trust 2004-C6, Floating Rate Note, 8/15/29 1,910,977 $962,339
LB-UBS Commercial Mortgage Trust 2005-C2, Floating Rate Note, 4/15/30 930,000 $967,997
LB-UBS Commercial Mortgage Trust 2005-C7, Floating Rate Note, 11/15/30 (144A) 1,135,809 $1,196,190
LB-UBS Commercial Mortgage Trust 2008-C1, Floating Rate Note, 4/15/41 210,000 $128,900
Leaf Receivables Funding 8 LLC, 1.55%, 11/15/17 (144A) 195,000 $196,345
Lehman ABS Manufactured Housing Contract Trust 2002-A, Floating Rate Note, 6/15/33 19,804,000 $1,093,662
Lehman Brothers Small Balance Commercial, Floating Rate Note, 2/25/30 (144A) 1,425,000 $225,130
Lehman Brothers Small Balance Commercial, Floating Rate Note, 4/25/31 (144A) 2,843,000 $606,684
Lehman Brothers Small Balance Commercial, Floating Rate Note, 4/25/31 (144A) 3,723,496 $769,097
Lehman Brothers Small Balance Commercial, Floating Rate Note, 9/25/30 (144A) 3,264,773 $600,452
Lehman Brothers Small Balance Commercial, Floating Rate Note, 9/25/30 (144A) 750,000 $201,199
Lehman Brothers Small Balance Commercial Mortgage Trust 2007-3, Floating Rate Note, 10/25/37 (144A) 785,400 $252,636
Lehman Brothers Small Balance Commercial Mortgage Trust 2007-3, Floating Rate Note, 10/25/37 (144A) 466,904 $446,714
Liberty Mutual Group, Inc., 5.75%, 3/15/14 (144A) 350,000 $359,764
Liberty Mutual Group, Inc., 7.3%, 6/15/14 (144A) 410,000 $423,357
Lincoln National Corp., 4.3%, 6/15/15 250,000 $263,514
Live Nation Entertainment, Inc., 8/17/20 516,705 $518,316
Loma Reinsurance, Ltd. Bermuda, Floating Rate Note, 1/8/18 (Cat Bond) (144A) 250,000 $255,250
Longpoint Re, Ltd., Floating Rate Note, 6/12/15 (Cat Bond) (144A) 500,000 $526,817
Longpoint Re, Ltd. III, Floating Rate Note, 5/18/16 (Cat Bond) (144A) 250,000 $255,028
LPL Holdings, Inc., 3/29/19 147,386 $147,724
Mack-Cali Realty LP, 5.125%, 1/15/15 1,000,000 $1,041,594
Madison Avenue Manufactured Housing Contract Trust 2002-A, Floating Rate Note, 3/25/32 550,000 $374,296
Manufacturers & Traders Trust Co., Floating Rate Note, 1/30/17 500,000 $499,902
Marathon Oil Corp., 0.9%, 11/1/15 651,000 $655,034
Marriott Vacation Club Owner Trust 2012-1, 3.5%, 5/20/30 (144A) 845,000 $550,981
Massachusetts Development Finance Agency, Floating Rate Note, 2/15/36 250,000 $263,028
Massachusetts Port Authority, 5.0%, 7/1/14 300,000 $306,568
Massachusetts Port Authority, 5.0%, 7/1/16 475,000 $517,291
MassMutual Global Funding II, 2.875%, 4/21/14 (144A) 500,000 $506,846
MassMutual Global Funding II, Floating Rate Note, 12/11/15 (144A) 750,000 $750,530
MASTR Alternative Loan Trust 2004-13, 4.5%, 1/25/15 2,000,000 $9,619
MASTR Alternative Loan Trust 2005-1, Floating Rate Note, 2/25/35 6,760,000 $775,709
Mastr Asset Backed Securities Trust 2005-WF1, Floating Rate Note, 6/25/35 51,000 $13,595
Mastr Asset Backed Securities Trust 2005-WMC1, Floating Rate Note, 3/25/35 215,000 $90,193
Mastr Asset Backed Securities Trust 2006-AB1, Floating Rate Note, 2/25/36 3,670,545 $795,599
Mastr Asset Backed Securities Trust 2006-NC1, Floating Rate Note, 1/25/36 1,567,646 $287,572
MASTR Asset Securitization Trust 2003-6, Floating Rate Note, 7/25/18 2,444,000 $100,407
MASTR Seasoned Securitization Trust 2005-1, Floating Rate Note, 9/25/32 2,500,000 $180,784
Mastr Specialized Loan Trust, Floating Rate Note, 1/25/36 (144A) 3,644,114 $343,328
Mediacom Illinois LLC, 3/31/18 400,000 $399,000
Merrill Lynch Mortgage Investors Trust Series 2005-2, Floating Rate Note, 10/25/35 1,543,473 $435,868
Merrill Lynch Mortgage Investors Trust Series 2005-A3, Floating Rate Note, 4/25/35 10,415,000 $1,360,701
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-A, Floating Rate Note, 3/25/28 10,213,000 $466,509
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-A, Floating Rate Note, 3/25/28 15,000,000 $847,029
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-C, Floating Rate Note, 6/25/28 9,455,006 $403,298
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-C, Floating Rate Note, 6/25/28 8,105,000 $415,645
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-E, Floating Rate Note, 10/25/28 8,393,000 $516,203
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-G, Floating Rate Note, 1/25/29 3,592,000 $54,291
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-H, Floating Rate Note, 1/25/29 6,366,000 $413,957
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-A, Floating Rate Note, 4/25/29 4,158,948 $287,277
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-B, Floating Rate Note, 5/25/29 3,321,150 $223,734
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-C, Floating Rate Note, 7/25/29 10,014,000 $659,762
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-E, Floating Rate Note, 11/25/29 5,394,465 $409,112
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-G, Floating Rate Note, 1/25/30 3,400,000 $271,578
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-G, Floating Rate Note, 1/25/30 9,901,975 $546,704
Merrill Lynch Mortgage Investors Trust Series MLCC 2005-A, Floating Rate Note, 3/25/30 7,273,883 $574,579
Merrill Lynch Mortgage Investors Trust Series MLMI 2005-A2, Floating Rate Note, 2/25/35 500,000 $120,083
Merrill Lynch Mortgage Trust 2004-KEY2, Floating Rate Note, 8/12/39 410,390 $419,111
Merrill Lynch Mortgage Trust 2004-KEY2, Floating Rate Note, 8/12/39 375,000 $365,038
Metaldyne LLC, 12/18/18 748,111 $753,722
MetLife Institutional Funding II, Floating Rate Note, 1/6/15 (144A) 500,000 $502,597
Metropolitan Life Global Funding I, 5.125%, 6/10/14 (144A) 230,000 $235,624
Metropolitan Life Global Funding I, Floating Rate Note, 7/15/16 (144A) 300,000 $302,341
Metropolitan Life Insurance Co., 7.7%, 11/1/15 (144A) 1,250,000 $1,408,187
MGM Resorts International, 12/20/19 346,500 $346,608
Micron Semiconductor Asia Pte, Ltd., 1.258%, 1/15/19 500,000 $499,279
Morgan Stanley, Floating Rate Note, 11/9/18 275,000 $280,265
Morgan Stanley, Floating Rate Note, 2/25/16 500,000 $507,478
Morgan Stanley, Floating Rate Note, 6/6/16 500,000 $498,896
Morgan Stanley ABS Capital I Inc Trust 2004-SD3, Floating Rate Note, 6/25/34 (144A) 13,470,000 $745,750
Morgan Stanley ABS Capital I Inc Trust 2005-NC2, Floating Rate Note, 3/25/35 627,000 $384,514
Morgan Stanley ABS Capital I Inc Trust 2005-WMC5, Floating Rate Note, 6/25/35 820,000 $460,433
Morgan Stanley Capital I, Inc., Floating Rate Note, 10/15/20 (144A) 425,000 $414,884
Morgan Stanley Capital I Trust 2004-HQ4, 4.97%, 4/14/40 1,474,144 $961,415
Morgan Stanley Capital I Trust 2004-IQ8, Floating Rate Note, 6/15/40 1,000,000 $452,491
Morgan Stanley Capital I Trust 2005-HQ6, 4.989%, 8/13/42 1,215,000 $1,269,431
Morgan Stanley Capital I Trust 2005-HQ6, Floating Rate Note, 8/13/42 900,000 $941,103
Morgan Stanley Capital I Trust 2005-IQ10, Floating Rate Note, 9/15/42 915,000 $887,314
Morgan Stanley Capital I Trust 2005-TOP17, 4.78%, 12/13/41 660,000 $628,667
Morgan Stanley Dean Witter Capital I Trust 2001-TOP3, 6.79%, 7/15/33 460,000 $289,316
Morgan Stanley Home Equity Loan Trust 2005-4, Floating Rate Note, 9/25/35 1,009,263 $490,834
Morgan Stanley Mortgage Loan Trust 2005-5AR, Floating Rate Note, 9/25/35 6,547,000 $673,422
Morgan Stanley Mortgage Loan Trust 2005-6AR, Floating Rate Note, 11/25/35 3,786,000 $559,077
Morgan Stanley Mortgage Loan Trust 2005-6AR, Floating Rate Note, 11/25/35 2,941,000 $559,908
Morgan Stanley Re-REMIC Trust 2010-R9, 5.0%, 11/26/36 (144A) 700,000 $709,448
MortgageIT Trust 2004-1, Floating Rate Note, 11/25/34 3,200,000 $467,022
Motor 2013-1 Plc, Floating Rate Note, 2/25/21 (144A) 466,000 $395,998
MRFC Mortgage Pass-Through Trust Series 1999-TBC2, Floating Rate Note, 6/15/30 3,714,390 $270,847
Mythen Re, Ltd., Floating Rate Note, 5/7/15 (Cat Bond) (144A) 500,000 $531,657
Mythen Re, Ltd., Floating Rate Note, 5/7/15 (Cat Bond) (144A) 500,000 $533,604
Mythen Re, Ltd. Series 2012-2 Class A, Floating Rate Note, 1/5/17 (Cat Bond) (144A) 750,000 $810,936
Mythen Re, Ltd. Series 2013-1 Class B, Floating Rate Note, 7/9/15 (Cat Bond) (144A) 250,000 $262,958
National Australia Bank, Ltd., Floating Rate Note, 7/25/14 (144A) 750,000 $753,724
National City Bank Cleveland Ohio, Floating Rate Note, 12/15/16 250,000 $248,257
National Rural Utilities Cooperative Finance Corp., Floating Rate Note, 11/23/16 500,000 $500,712
National Rural Utilities Cooperative Finance Corp., Floating Rate Note, 4/4/14 930,000 $930,930
Nationstar Agency Advance Funding Trust 2013-T1A, 0.997%, 2/15/45 (144A) 550,000 $548,852
Nationstar Mortgage Advance Receivables Trust 2013-T2, 1.679%, 6/20/46 (144A) 464,000 $459,212
Nationstar Mortgage Advance Receivables Trust 2013-T2, 2.19%, 6/20/46 (144A) 160,000 $159,726
Nationstar Mortgage Loan Trust 2013-A, Floating Rate Note, 12/25/52 (144A) 600,000 $570,942
Navios Maritime Partners LP, 6/27/18 463,838 $472,728
Navistar, Inc., 8/17/17 400,000 $406,417
Navistar Financial Dealer Note Master Trust, Floating Rate Note, 1/25/18 (144A) 510,000 $510,141
Navitas Equipment Receivables LLC 2013-1, 3.63%, 2/15/17 650,000 $651,331
NBCUniversal Enterprise, Inc., Floating Rate Note, 4/15/16 (144A) 871,000 $874,186
NBCUniversal Media LLC, 2.1%, 4/1/14 1,224,000 $1,236,329
NCUA Guaranteed Notes Trust, Floating Rate Note, 11/6/17 1,000,000 $452,727
NCUA Guaranteed Notes Trust REMICS, 1.6%, 10/29/20 500,000 $272,838
NCUA Guaranteed Notes Trust REMICS, Floating Rate Note, 3/9/21 800,000 $444,260
New Century Home Equity Loan Trust 2005-1, Floating Rate Note, 3/25/35 2,101,000 $326,879
New Century Home Equity Loan Trust 2005-2, Floating Rate Note, 6/25/35 6,300,000 $82,708
New Century Home Equity Loan Trust 2005-4, Floating Rate Note, 9/25/35 12,900,000 $71,517
New York Life Global Funding, 1.125%, 3/1/17 (144A) 500,000 $501,297
New York Life Global Funding, Floating Rate Note, 5/23/16 (144A) 1,050,000 $1,056,462
Nissan Auto Lease Trust 2013-B, Floating Rate Note, 1/15/16 240,000 $240,248
Nissan Motor Acceptance Corp., 2.65%, 9/26/18 (144A) 1,000,000 $1,031,183
Nissan Motor Acceptance Corp., 4.5%, 1/30/15 (144A) 100,000 $103,881
Nissan Motor Acceptance Corp., Floating Rate Note, 3/3/17 (144A) 500,000 $499,250
Nomura Asset Acceptance Corp Alternative Loan Trust Series 2003-A3, 5.5%, 8/25/33 (Step) 3,120,000 $226,099
Norcraft Companies LP, Initial Loan, 11/12/20 250,000 $251,875
Nordea Bank AB, Floating Rate Note, 5/13/16 (144A) 250,000 $251,023
North American Development Bank, 2.3%, 10/10/18 1,000,000 $1,005,208
Northshore Re, Ltd., Floating Rate Note, 7/5/16 (Cat Bond) (144A) 500,000 $526,141
NorthStar 2012-1 Mortgage Trust, Floating Rate Note, 8/25/29 (144A) 490,818 $376,684
NorthStar 2012-1 Mortgage Trust, Floating Rate Note, 8/25/29 (144A) 200,000 $202,702
NorthStar 2013-1, Floating Rate Note, 8/25/29 (144A) 778,000 $778,465
NovaStar Mortgage Funding Trust Series 2003-1, Floating Rate Note, 5/25/33 9,715,000 $290,084
NovaStar Mortgage Funding Trust Series 2004-3, Floating Rate Note, 12/25/34 560,000 $520,900
NovaStar Mortgage Funding Trust Series 2004-4, Floating Rate Note, 3/25/35 1,457,000 $1,437,282
NSG Holdings LLC, 12/11/19 198,166 $199,157
NSTAR Electric Co., Floating Rate Note, 5/17/16 341,000 $340,630
NYSE Euronext, 2.0%, 10/5/17 150,000 $154,532
On Assignment, Inc., 5/15/20 171,522 $171,592
Opteum Mortgage Acceptance Corp Asset Backed Pass-Through Certificates 2005-1, Floating Rate Note, 2 3,526,047 $53,009
Opteum Mortgage Acceptance Corp Asset Backed Pass-Through Certificates 2005-5, Floating Rate Note, 1 600,000 $97,445
Option One Mortgage Loan Trust 2005-4 Asset-Backed Certificates Series 2005-4, Floating Rate Note, 1 4,575,000 $504,173
Option One Woodbridge Loan Trust 2002-1, Floating Rate Note, 9/25/14 (144A) 1,370,736 $345,882
Oracle Corp., 2.375%, 1/15/19 500,000 $512,452
ORES NPL 2013-LV2 LLC, 3.081%, 9/25/25 (144A) 430,000 $351,093
Origen Manufactured Housing Contract Trust 2004-B, Floating Rate Note, 11/15/35 260,000 $249,838
Oxford Finance Funding Trust 2012-1, 3.9%, 3/15/17 (144A) 571,000 $165,400
PACCAR Financial Corp., Floating Rate Note, 6/5/14 1,055,000 $1,056,891
Pangaea Re, 0.0%, 10/1/15 (Cat Bond) 150,000 $163,929
Park Place Securities Inc Asset-Backed Pass-Through Certificates Series 2004-MHQ, Floating Rate Note 660,000 $644,313
Park Place Securities Inc Asset-Backed Pass-Through Ctfs Ser 2004-WCW2, Floating Rate Note, 10/25/34 1,076,819 $183,817
Park Place Securities Inc Asset-Backed Pass-Through Ctfs Ser 2005-WHQ4, Floating Rate Note, 9/25/35 1,293,831 $527,024
Par Pharmaceutical Companies, Inc., Term B-2 Loan, 9/28/19 650,000 $651,828
Party City Holdings Inc 1st Lien Tl-B L + 3% 27jul19 955,000 $955,000
Pelican Products, Inc., Repriced Term Loan (First Lien), 6/9/18 498,734 $503,255
Penarth Master Issuer Plc, Floating Rate Note, 3/18/14 (144A) 250,000 $250,135
Penn National Gaming, Inc., 10/25/20 460,000 $461,265
Penske Truck Leasing Co Lp, 2.5%, 7/11/14 (144A) 969,000 $978,769
People's Choice Home Loan Securities Trust Series 2005-3, Floating Rate Note, 8/25/35 109,980 $33,732
Pepper Residential Securities Trust, Floating Rate Note, 10/18/14 (144A) 500,000 $500,139
PFS Financing Corp., Floating Rate Note, 10/17/16 (144A) 700,000 $701,407
PFS Financing Corp., Floating Rate Note, 2/15/17 (144A) 750,000 $750,207
PHH Mortgage Capital LLC, 6.6%, 12/25/27 (Step) (144A) 1,000,000 $127,865
PNC Bank NA, 1.125%, 1/27/17 450,000 $450,965
PNC Bank NA, 1.3%, 10/3/16 550,000 $558,803
PNC Bank NA, Floating Rate Note, 1/28/16 500,000 $500,848
PNC Bank NA, Floating Rate Note, 4/29/16 500,000 $500,593
PNC Funding Corp., 5.4%, 6/10/14 190,000 $194,819
Polarpak, Inc., 6/7/20 157,375 $158,162
Polarpak, Inc., 6/7/20 88,000 $88,440
Popular ABS Mortgage Pass-Through Trust 2004-4, 4.930136%, 9/25/34 (Step) 1,325,000 $500,518
Precision Castparts Corp., 1.25%, 1/15/18 500,000 $494,794
Pricoa Global Funding I, Floating Rate Note, 6/24/16 (144A) 500,000 $497,125
Principal Life Global Funding II, Floating Rate Note, 5/27/16 (144A) 390,000 $390,617
Progreso Receivables Funding I LLC, 4.0%, 7/9/18 (144A) 1,000,000 $1,005,056
Prudential Covered Trust 2012-1, 2.997%, 9/30/15 (144A) 500,000 $443,017
Prudential Financial, Inc., 3.875%, 1/14/15 500,000 $516,965
PSEG Power LLC, 2.75%, 9/15/16 500,000 $528,697
PVH Corp., 2/13/20 78,498 $78,785
Qtel International Finance, Ltd., 3.375%, 10/14/16 (144A) 500,000 $533,322
Queen City Re, Floating Rate Note, 1/6/19 (Cat Bond) (144A) 500,000 $498,200
Queen Street II Capital, Ltd., Floating Rate Note, 4/9/14 (Cat Bond) (144A) 250,000 $254,498
Queen Street IV Capital, Ltd., Floating Rate Note, 4/9/15 (Cat Bond) (144A) 500,000 $521,346
Queen Street VIII Re, Ltd., Floating Rate Note, 6/8/16 (Cat Bond) (144A) 500,000 $517,110
Queen Street VII Re, Ltd., Floating Rate Note, 4/8/16 (Cat Bond) (144A) 500,000 $533,781
Queen Street V Re, Ltd., Floating Rate Note, 4/9/15 (Cat Bond) (144A) 500,000 $526,982
Quest Trust, Floating Rate Note, 3/25/34 (144A) 24,804,330 $1,184,018
RAAC Series 2004-SP2 Trust, 6.0%, 1/25/32 11,000,000 $523,077
RAAC Series 2005-RP1 Trust, Floating Rate Note, 7/25/37 (144A) 583,530 $416,337
RAAC Series 2005-RP2 Trust, Floating Rate Note, 6/25/35 (144A) 995,000 $430,614
RAAC Series 2006-RP2 Trust, Floating Rate Note, 2/25/37 (144A) 4,099,889 $483,231
RALI Series 2002-QS16 Trust, Floating Rate Note, 10/25/17 11,475,000 $281,939
RALI Series 2003-QR24 Trust, 4.0%, 7/25/33 6,880,000 $784,653
RALI Series 2003-QR24 Trust, 4.0%, 7/25/33 950,000 $477,890
RALI Series 2003-QS11 Trust, Floating Rate Note, 6/25/33 13,610,000 $741,148
RALI Series 2003-QS14 Trust, 5.0%, 7/25/18 600,000 $48,754
RALI Series 2003-QS15 Trust, 5.5%, 8/25/33 250,000 $205,978
RALI Series 2003-QS9 Trust, Floating Rate Note, 5/25/18 11,040,000 $594,381
RALI Series 2004-QR1 Trust, 5.25%, 10/25/34 21,545,000 $871,678
RALI Series 2004-QS16 Trust, 5.5%, 12/25/34 2,500,000 $203,864
RALI Series 2004-QS1 Trust, 4.25%, 1/25/34 14,997,000 $337,810
RALI Series 2004-QS1 Trust, Floating Rate Note, 1/25/34 2,884,000 $78,570
RALI Series 2004-QS5 Trust, 4.75%, 4/25/34 2,000,000 $149,601
RALI Series 2004-QS5 Trust, Floating Rate Note, 4/25/34 1,761,729 $128,530
RAMP Series 2003-RS9 Trust, Floating Rate Note, 10/25/33 5,091,956 $665,617
RAMP Series 2004-SL4 Trust, Floating Rate Note, 5/25/18 13,780,000 $115,055
RAMP Series 2005-RS5 Trust, Floating Rate Note, 5/25/35 360,000 $47,872
RAMP Series 2005-RS6 Trust, Floating Rate Note, 6/25/35 278,355 $232,914
RAMP Series 2005-RZ4 Trust, Floating Rate Note, 11/25/35 4,671,695 $203,457
RAMP Series 2006-RZ3 Trust, Floating Rate Note, 8/25/36 3,026,000 $923,944
RASC Series 2005-EMX2 Trust, Floating Rate Note, 7/25/35 40,280 $21,243
RASC Series 2005-KS7 Trust, Floating Rate Note, 8/25/35 1,450,000 $267,955
RASC Series 2006-KS1 Trust, Floating Rate Note, 2/25/36 1,200,000 $97,956
RASC Series 2007-KS3 Trust, Floating Rate Note, 4/25/37 350,000 $145,659
Ras Laffan Liquefied Natural Gas Co, Ltd. III, 5.5%, 9/30/14 (144A) 250,000 $262,142
Raymond James Financial, Inc., 4.25%, 4/15/16 283,000 $305,815
RBSSP Resecuritization Trust 2009-5, Floating Rate Note, 8/26/37 (144A) 2,550,000 $977,049
Reckitt Benckiser Treasury Services Plc, 2.125%, 9/21/18 (144A) 500,000 $506,461
Residential Asset Securitization Trust 2003-A2, Floating Rate Note, 5/25/33 34,300,000 $1,371,293
Residential Asset Securitization Trust 2004-A9, 5.75%, 12/25/34 870,000 $408,739
Residential Asset Securitization Trust 2005-A9, 5.5%, 7/25/35 1,050,000 $321,848
Residential Reinsurance 2011, Ltd., Floating Rate Note, 12/6/16 (Cat Bond) (144A) 250,000 $270,115
Residential Reinsurance 2011, Ltd., Floating Rate Note, 6/6/15 (Cat Bond) (144A) 500,000 $539,175
Residential Reinsurance 2012, Ltd., Floating Rate Note, 12/6/16 (Cat Bond) (144A) 1,150,000 $1,203,734
Residential Reinsurance 2012, Ltd., Floating Rate Note, 6/6/16 (Cat Bond) (144A) 250,000 $280,047
Residential Reinsurance 2013, Ltd., Floating Rate Note, 6/6/17 (Cat Bond) (144A) 250,000 $265,960
RESI Finance LP, Floating Rate Note, 9/10/35 (144A) 2,618,783 $504,809
Resimac MBS Trust, Floating Rate Note, 3/7/14 (144A) 400,000 $400,119
Resource Capital Corp CRE Notes 2013, Ltd., Floating Rate Note, 6/15/16 (144A) 1,000,000 $1,000,772
RFMSI Series 2005-S5 Trust, 5.25%, 7/25/35 300,770 $187,117
RFSC Series 2004-RP1 Trust, Floating Rate Note, 11/25/42 (144A) 250,000 $183,765
Rio Tinto Finance USA Plc, Floating Rate Note, 6/17/16 560,000 $566,071
Royal Bank of Canada, 1.45%, 9/9/16 1,000,000 $1,023,592
Royal Bank of Canada, Floating Rate Note, 1/23/17 550,000 $550,166
Royal Bank of Canada, Floating Rate Note, 12/16/15 750,000 $751,788
RREF 2013 LT2 LLC, 2.8331%, 5/22/28 (144A) 700,000 $343,857
SABMiller Holdings, Inc., 1.85%, 1/15/15 (144A) 500,000 $507,167
SACO I Trust 2005-8, Floating Rate Note, 11/25/35 3,250,775 $116,873
Sanders Re, Ltd., Floating Rate Note, 5/5/17 (Cat Bond) (144A) 750,000 $754,008
Sanders Re, Ltd., Floating Rate Note, 5/5/17 (Cat Bond) (144A) 750,000 $754,379
Santander Drive Auto Receivables Trust 2011-2, 2.66%, 1/15/16 285,000 $138,077
Santander Drive Auto Receivables Trust 2012-1, 3.78%, 11/15/17 500,000 $517,007
Santander Drive Auto Receivables Trust 2012-5, 0.83%, 12/15/16 750,000 $751,529
Santander Drive Auto Receivables Trust 2012-5, 2.7%, 8/15/18 125,000 $129,084
Santander Holdings USA, Inc. Pennsylvania, 3.0%, 9/24/15 2,269,000 $2,376,440
Santander Holdings USA, Inc. Pennsylvania, 3.45%, 8/27/18 600,000 $626,002
SASCO Mortgage Loan Trust 2005-GEL1, Floating Rate Note, 12/25/34 510,000 $401,941
SASCO Mortgage Loan Trust 2005-GEL2, Floating Rate Note, 4/25/35 8,945,588 $221,381
Saxon Asset Securities Trust 2005-3, Floating Rate Note, 11/25/35 471,000 $448,413
Saxon Asset Securities Trust 2005-4, Floating Rate Note, 11/25/37 9,516,000 $623,523
SBA Senior Finance II LLC, Incremental Tranche B-1- A Term Loan, 3/31/21 100,000 $100,013
Sba Senior Finance Ii Llc 1st Lien Dd L + 2.5% 31mar21 100,000 $100,013
SBI Home Equity Loan Trust 2006-1, Floating Rate Note, 8/25/36 (144A) 1,350,000 $481,341
Seadrill Operating LP, Initial Term Loan, 2/14/21 850,000 $854,857
Sector Re V, Ltd., 0.0%, 3/1/18 (Cat Bond) (144A) 250,000 $311,875
Sempra Energy, 2.0%, 3/15/14 1,050,000 $1,060,186
Senior Housing Properties Trust, 4.3%, 1/15/16 290,000 $303,738
Sequoia Mortgage Trust 2003-5, Floating Rate Note, 9/20/33 4,626,000 $245,957
Sequoia Mortgage Trust 2004-10, Floating Rate Note, 11/20/34 1,640,000 $181,609
Sequoia Mortgage Trust 2004-12, Floating Rate Note, 1/20/35 6,582,000 $756,192
Sequoia Mortgage Trust 2004-12, Floating Rate Note, 1/20/35 3,700,000 $281,848
Sequoia Mortgage Trust 2004-7, Floating Rate Note, 8/20/34 5,000,000 $327,681
Sequoia Mortgage Trust 2004-9, Floating Rate Note, 10/20/34 6,000,000 $656,225
Sequoia Mortgage Trust 2005-1, Floating Rate Note, 2/20/35 4,960,000 $492,978
Sequoia Mortgage Trust 2013-8, Floating Rate Note, 6/25/43 314,000 $280,309
Sequoia Mortgage Trust 2013-8, Floating Rate Note, 6/25/43 160,000 $142,391
Shell International Finance BV, Floating Rate Note, 11/15/16 750,000 $751,122
Sierra Timeshare 2012-2 Receivables Funding LLC, 2.38%, 3/20/29 (144A) 1,500,000 $607,140
Sierra Timeshare 2012-3 Receivables Funding LLC, 1.87%, 8/20/29 (144A) 1,400,000 $667,737
Sierra Timeshare 2013-1 Receivables Funding LLC, 2.39%, 11/20/29 (144A) 160,000 $87,842
Sierra Timeshare 2013-2 Receivables Funding LLC, 2.92%, 11/20/25 160,000 $111,373
SilverLeaf Finance XVII LLC, 2.71%, 3/16/26 (144A) 750,000 $668,515
Silverstone Master Issuer Plc, Floating Rate Note, 1/21/55 (144A) 290,000 $300,609
Silverton RE, Ltd., 0.0%, 9/16/16 (Cat Bond) (144A) 250,000 $256,425
Sinclair Television Group, Inc., 4/19/20 443,884 $443,382
Sirius International Group, Ltd., 6.375%, 3/20/17 (144A) 750,000 $865,943
SLM Student Loan Trust 2004-10, Floating Rate Note, 4/27/26 (144A) 380,000 $378,504
SMA Issuer I LLC, 3.5%, 8/20/25 (144A) 140,130 $30,733
SMART Trust/Australia, Floating Rate Note, 1/14/17 500,000 $500,171
SMART Trust/Australia, Floating Rate Note, 6/14/15 600,000 $232,820
SMART Trust/Australia, Floating Rate Note, 9/14/16 500,000 $499,529
SNAAC Auto Receivables Trust, 1.78%, 6/15/16 (144A) 1,300,000 $52,626
SNAAC Auto Receivables Trust, 4.38%, 6/15/17 (144A) 460,000 $470,618
SNAAC Auto Receivables Trust 2013-1, 1.14%, 7/16/18 (144A) 404,000 $191,525
Soundview Home Loan Trust 2005-3, Floating Rate Note, 6/25/35 600,000 $124,364
Soundview Home Loan Trust 2005-OPT4, Floating Rate Note, 12/25/35 815,490 $268,613
South Carolina State Public Service Authority, Floating Rate Note, 6/1/15 890,000 $894,616
Southern Pacific Secured Asset Corp., Floating Rate Note, 3/25/28 32,000,000 $344,061
Southwire Co., Initial Term Loan, 1/31/21 305,000 $305,381
Specialty Underwriting & Residential Finance Trust Series 2006-BC1, Floating Rate Note, 12/25/36 790,207 $746,540
Spirit AeroSystems, Inc., 4/18/19 245,625 $247,506
Springleaf Funding Trust 2013-A, 2.58%, 9/15/21 (144A) 1,200,000 $1,207,023
Springleaf Mortgage Loan Trust 2012-2, Floating Rate Note, 10/25/57 (144A) 424,000 $274,777
Standard Chartered Plc, 3.85%, 4/27/15 (144A) 500,000 $524,281
Standard Chartered Plc, Floating Rate Note, 5/12/14 (144A) 500,000 $501,350
Stanwich Mortgage Loan Trust, 2.9814%, 2/16/43 (144A) 1,325,000 $853,581
Starbucks Corp., 0.875%, 12/5/16 605,000 $605,766
Starwood Property Mortgage Trust 2013-FV1, Floating Rate Note, 8/11/28 (144A) 640,000 $640,484
Starwood Property Trust, Inc., 4/17/20 199,497 $199,539
State of Ohio, 3.0%, 6/15/15 500,000 $520,527
State Street Bank & Trust Co., Floating Rate Note, 12/8/15 550,000 $549,890
State Street Corp., 4.3%, 5/30/14 265,000 $270,427
State Street Corp., Floating Rate Note, 3/7/14 750,000 $751,026
Steward Health Care System LLC, 4/10/20 299,248 $299,061
St Jude Medical, Inc., 2.5%, 1/15/16 510,000 $527,081
STORE Master Funding LLC, 5.77%, 8/20/42 (144A) 344,000 $367,248
Structured Adjustable Rate Mortgage Loan Trust, Floating Rate Note, 11/25/34 750,000 $92,294
Structured Adjustable Rate Mortgage Loan Trust, Floating Rate Note, 3/25/34 2,600,000 $191,916
Structured Agency Credit Risk Debt Notes, Floating Rate Note, 11/25/23 750,000 $713,417
Structured Agency Credit Risk Debt Notes, Floating Rate Note, 2/25/24 485,000 $486,855
Structured Asset Investment Loan Trust 2005-6, Floating Rate Note, 7/25/35 719,331 $689,334
Structured Asset Mortgage Investments II Trust 2004-AR5, Floating Rate Note, 10/19/34 8,100,000 $409,764
Structured Asset Mortgage Investments II Trust 2005-AR2, Floating Rate Note, 5/25/45 5,000,000 $475,450
Structured Asset Mortgage Investments II Trust 2005-F1, Floating Rate Note, 8/26/35 6,100,000 $182,343
Structured Asset Mortgage Investments Trust 2002-AR5, Floating Rate Note, 5/19/33 7,644,000 $454,376
Structured Asset Sec Corp Mor Pass Thr Cer Ser 2003-35, Floating Rate Note, 12/25/33 4,960,000 $370,818
Structured Asset Securities Corp Mor Cer Ser 2003-31A, Floating Rate Note, 10/25/33 1,500,000 $203,689
Structured Asset Securities Corp Mortgage Loan Trust 2005-2XS, 4.65%, 2/25/35 (Step) 1,000,000 $278,202
Structured Asset Securities Corp Mortgage Loan Trust 2005-WF4, Floating Rate Note, 11/25/35 475,000 $106,586
Structured Asset Securities Corp Mortgage Loan Trust 2006-BC4, Floating Rate Note, 12/25/36 435,585 $57,865
Structured Asset Securities Corp Mortgage Pass-Through Certificates Ser 2004-S4, Floating Rate Note, 500,000 $205,243
Structured Asset Securities Corp Mortgage Pass-Through Ctfs Ser 2003-24A, Floating Rate Note, 7/25/3 7,700,000 $1,034,391
Sumitomo Mitsui Banking Corp., Floating Rate Note, 1/10/17 750,000 $752,606
Sumitomo Mitsui Banking Corp., Floating Rate Note, 7/19/16 300,000 $302,567
Sumitomo Mitsui Trust Bank, Ltd., Floating Rate Note, 9/16/16 (144A) 500,000 $504,436
SunGard Data Systems, Inc., 2/28/17 166,042 $167,001
SunTrust Bank, Floating Rate Note, 2/15/17 500,000 $500,196
SunTrust Bank, Floating Rate Note, 4/1/15 430,000 $429,568
SunTrust Banks, Inc., 3.5%, 1/20/17 500,000 $532,118
Svenska Handelsbanken AB, Floating Rate Note, 9/23/16 1,000,000 $1,005,914
Svenska Handelsbanken New York NY, Floating Rate Note, 1/16/15 200,000 $200,525
Svenska Handelsbanken New York NY, Floating Rate Note, 11/17/14 350,000 $350,259
SVO 2012-A VOI Mortgage LLC, 2.0%, 9/20/29 (144A) 1,600,000 $1,037,882
Swedbank Hypotek AB, Floating Rate Note, 3/28/14 (144A) 500,000 $500,743
Tar Heel Re, Ltd., Floating Rate Note, 5/9/16 (Cat Bond) (144A) 250,000 $270,416
TD Ameritrade Holding Corp., 4.15%, 12/1/14 500,000 $518,975
Telecom Italia Capital SA, 4.95%, 9/30/14 750,000 $779,634
Telefonica Emisiones SAU, 3.992%, 2/16/16 500,000 $526,376
Terex Corp., New U.S. Term Loan (2013), 4/28/17 259,634 $261,743
Terwin Mortgage Trust Series TMTS 2003-8HE, Floating Rate Note, 12/25/34 5,234,000 $159,695
Terwin Mortgage Trust Series TMTS 2005-10HE, Floating Rate Note, 6/25/36 199,992 $194,200
Terwin Mortgage Trust Series TMTS 2005-14HE, 4.8492%, 8/25/36 (Step) 630,000 $141,608
Texas Municipal Gas Acquisition & Supply Corp III, 5.0%, 12/15/15 500,000 $544,448
Textainer Marine Containers, Ltd., 4.21%, 4/15/27 (144A) 600,000 $492,485
Textainer Marine Containers, Ltd., Floating Rate Note, 5/15/20 (144A) 3,000,000 $373,508
The Bank of New York Mellon Corp., 1.7%, 11/24/14 1,000,000 $1,013,346
The Bank of New York Mellon Corp., 3.1%, 1/15/15 220,000 $226,106
The Bank of New York Mellon Corp., Floating Rate Note, 7/28/14 110,000 $110,156
The Bank of Tokyo-Mitsubishi UFJ, Ltd., 1.55%, 9/9/16 (144A) 1,000,000 $1,019,881
The Bear Stearns Companies LLC, Floating Rate Note, 11/21/16 1,500,000 $1,495,390
The Boeing Co., 0.95%, 5/15/18 1,050,000 $1,025,701
The Charles Schwab Corp., 0.85%, 12/4/15 250,000 $251,227
The Geo Group, Inc., 4/3/20 498,744 $501,394
The Goldman Sachs Group, Inc., 3.7%, 8/1/15 340,000 $354,530
The Goldman Sachs Group, Inc., 5.0%, 10/1/14 300,000 $313,927
The Goldman Sachs Group, Inc., Floating Rate Note, 1/12/15 500,000 $501,574
The Goldman Sachs Group, Inc., Floating Rate Note, 11/21/14 250,000 $251,261
The Goldman Sachs Group, Inc., Floating Rate Note, 3/22/16 475,000 $474,383
The Korea Development Bank, 1.0%, 1/22/16 1,000,000 $1,002,097
The Korea Development Bank, Floating Rate Note, 1/22/17 750,000 $751,651
The PNC Financial Services Group, Inc., Floating Rate Note, 2/21/49 (Perpetual) 600,000 $601,194
Thermo Fisher Scientific, Inc., 2.4%, 2/1/19 1,000,000 $1,007,519
The Toronto-Dominion Bank, 1.375%, 7/14/14 345,000 $347,031
The Toronto-Dominion Bank, 1.4%, 4/30/18 500,000 $496,103
The Toronto-Dominion Bank, Floating Rate Note, 5/1/15 1,000,000 $1,001,944
The Toronto-Dominion Bank, Floating Rate Note, 7/14/14 644,000 $645,175
The Toronto-Dominion Bank, Floating Rate Note, 9/9/16 500,000 $502,795
Thomson Reuters Corp., 0.875%, 5/23/16 250,000 $250,087
Thomson Reuters Corp., 1.3%, 2/23/17 500,000 $499,770
Thornburg Mortgage Securities Trust 2003-3, Floating Rate Note, 6/25/43 3,857,000 $144,065
Thornburg Mortgage Securities Trust 2004-1, Floating Rate Note, 3/25/44 4,537,000 $814,123
Thornburg Mortgage Securities Trust 2004-1, Floating Rate Note, 3/25/44 20,000,000 $261,463
Thornburg Mortgage Securities Trust 2004-1, Floating Rate Note, 3/25/44 1,950,000 $156,488
Thornburg Mortgage Securities Trust 2004-3, Floating Rate Note, 9/25/44 11,309,309 $1,155,842
TimberStar Trust 1, 5.668%, 10/15/36 (144A) 525,000 $574,478
TMS International Corp., 10/2/20 150,000 $151,594
TORONTO-DOMINION BANK, Floating Rate Note, 11/6/15 500,000 $500,639
Total Capital Canada, Ltd., Floating Rate Note, 1/15/16 1,115,000 $1,122,773
Toyota Motor Credit Corp., 0.75%, 3/5/17 (Step) 750,000 $749,599
Toyota Motor Credit Corp., Floating Rate Note, 5/17/16 1,075,000 $1,079,485
Tradewynd Re, Ltd., Floating Rate Note, 1/8/15 (Cat Bond) (144A) 250,000 $252,532
Trafigura Securitisation Finance Plc, Floating Rate Note, 10/15/15 (144A) 425,000 $431,992
Trafigura Securitisation Finance Plc, Floating Rate Note, 10/15/15 (144A) 487,000 $491,785
TransCanada PipeLines, Ltd., 0.75%, 1/15/16 650,000 $651,158
Tribune Co., Initial Term Loan, 11/20/20 875,000 $874,043
Trinity Rail Leasing LP, 2.266%, 1/15/43 (144A) 580,000 $500,497
Tyco Electronics Group SA, 1.6%, 2/3/15 640,000 $646,596
U.S. Treasury Notes, 0.25%, 10/15/15 1,000,000 $1,001,019
U.S. Treasury Notes, 0.375%, 2/15/16 7,500,000 $7,509,000
U.S. Treasury Notes, 1.5%, 8/31/18 7,500,000 $7,606,363
Union Bank NA, 2.625%, 9/26/18 1,000,000 $1,040,458
United Auto Credit Securitization Trust 2012-1, 1.87%, 9/15/15 (144A) 750,000 $750,707
United Auto Credit Securitization Trust 2013-1, 1.74%, 4/15/16 (144A) 825,000 $825,278
UnitedHealth Group, Inc., 1.875%, 11/15/16 500,000 $515,095
United Technologies Corp., Floating Rate Note, 6/1/15 500,000 $504,006
University of California, 0.966%, 5/15/17 500,000 $500,967
US Bancorp, 4.2%, 5/15/14 1,285,000 $1,310,714
US Bank NA Cincinnati Ohio, Floating Rate Note, 1/30/17 1,000,000 $1,001,244
Ventas Realty LP, 3.125%, 11/30/15 500,000 $524,343
Verint Systems, Inc., Tranche B Incremental Term Loan, 9/6/19 600,000 $602,025
Verizon Communications, Inc., 1.95%, 3/28/14 519,000 $523,850
Verizon Communications, Inc., 3.0%, 4/1/16 500,000 $528,332
Verizon Communications, Inc., Floating Rate Note, 9/15/16 535,000 $551,854
Vita Capital IV, Ltd., Floating Rate Note, 1/15/16 (Cat Bond) (144A) 250,000 $254,593
Vita Capital V, Ltd., Floating Rate Note, 1/15/17 (Cat Bond) (144A) 750,000 $765,392
Vitality Re IV, Ltd., Floating Rate Note, 1/9/17 (Cat Bond) (144A) 500,000 $512,715
Vitality Re V, Ltd., Floating Rate Note, 1/7/19 (Cat Bond) (144A) 500,000 $500,000
Vodafone Group Plc, Floating Rate Note, 2/19/16 275,000 $275,584
Volkswagen Auto Lease Trust, Floating Rate Note, 10/20/16 600,000 $600,082
Volkswagen International Finance NV, 1.125%, 11/18/16 (144A) 750,000 $753,752
Volkswagen International Finance NV, 1.6%, 11/20/17 (144A) 500,000 $504,474
Volkswagen International Finance NV, 1.875%, 4/1/14 (144A) 300,000 $302,674
Volt Flt% 25nov53 14-Npl2a1 475,000 $474,979
VOLT XVI LLC, 4.25%, 8/25/58 (Step) (144A) 609,438 $580,091
VOLT XV LLC, 3.22162%, 5/27/53 (Step) (144A) 300,000 $252,839
VOLT XX LLC, 3.625%, 2/1/39 (Step) (144A) 550,000 $550,841
Volvo Financial Equipment LLC, 0.54%, 11/15/16 (144A) 415,000 $414,999
Wachovia Bank Commercial Mortgage Trust Series 2005-C16, Floating Rate Note, 10/15/41 465,000 $477,164
Wachovia Bank Commercial Mortgage Trust Series 2005-C17, Floating Rate Note, 3/15/42 665,000 $676,374
Wachovia Bank Commercial Mortgage Trust Series 2005-C18, 4.935%, 4/15/42 1,506,334 $1,557,698
Wachovia Bank Commercial Mortgage Trust Series 2005-C21, Floating Rate Note, 10/15/44 625,364 $561,417
Wachovia Bank Commercial Mortgage Trust Series 2006-C24, Floating Rate Note, 3/15/45 272,000 $273,447
Wachovia Corp., 5.25%, 8/1/14 1,185,000 $1,213,688
Wachovia Mortgage Loan Trust Series 2005-WMC1, Floating Rate Note, 10/25/35 750,000 $194,921
Walgreen Co., Floating Rate Note, 3/13/14 1,746,000 $1,748,777
WaMu Mortgage Pass-Through Certificates Series 2002-AR6 Trust, Floating Rate Note, 6/25/42 29,950,000 $400,704
WaMu Mortgage Pass-Through Certificates Series 2003-AR9 Trust, Floating Rate Note, 9/25/33 2,917,360 $1,256,081
WaMu Mortgage Pass-Through Certificates Series 2003-S10, 5.0%, 10/25/18 17,361,049 $822,930
Welk Resorts 2013-A LLC, 3.1%, 3/15/29 (144A) 750,000 $715,342
Wells Fargo & Co., 1.25%, 7/20/16 500,000 $506,521
Wells Fargo & Co., 1.5%, 7/1/15 1,050,000 $1,066,926
Wells Fargo & Co., Floating Rate Note, 4/23/18 575,000 $579,290
Wells Fargo Alternative Loan 2005-2 Trust, Floating Rate Note, 10/25/35 453,135 $447,601
Wells Fargo Bank NA, Floating Rate Note, 5/16/16 250,000 $248,731
Wells Fargo Bank NA, Floating Rate Note, 6/16/14 750,000 $750,092
Wells Fargo Home Equity Asset-Backed Securities 2005-3 Trust, Floating Rate Note, 12/25/35 200,000 $84,248
Wells Fargo Mortgage Backed Securities 2005-9 Trust, 5.5%, 10/25/35 650,000 $68,807
Wells Fargo Mortgage Backed Securities 2005-AR6 Trust, Floating Rate Note, 4/25/35 3,371,000 $296,172
Wells Fargo Mortgage Backed Securities 2006-16 Trust, 5.0%, 11/25/36 550,000 $40,421
Wells Fargo Mortgage Backed Securities Trust, Floating Rate Note, 8/25/34 3,105,000 $221,204
Wesco Aircraft Hardware Corp 1st Lien Tl-B L + 2.5% 24feb21 875,000 $876,916
WESCO Distribution, Inc., 12/12/19 61,163 $61,392
Westgate Resorts 2012-2 LLC, 3.0%, 1/20/25 (144A) 350,000 $186,022
Westgate Resorts 2012-A LLC, 2.25%, 8/20/25 (144A) 290,000 $216,866
Westgate Resorts 2012-A LLC, 3.75%, 8/20/25 (144A) 403,000 $298,868
Westgate Resorts LLC, 2.5%, 3/20/25 (144A) 250,000 $154,117
Williams Partners LP, 3.8%, 2/15/15 750,000 $773,018
WMC Mortgage Loan Trust 1998-B, Floating Rate Note, 10/20/29 8,000,000 $287,354
Wm Wrigley Jr Co., 2.0%, 10/20/17 (144A) 1,000,000 $1,015,052
World Financial Network Credit Card Master Trust, Floating Rate Note, 2/15/19 750,000 $750,138
WR Grace & Co., Delayed Draw Term Loan, 1/23/21 72,296 $72,364
WR Grace & Co., U.S. Term Loan, 1/23/21 202,430 $202,620
XLIT, Ltd., 5.25%, 9/15/14 1,500,000 $1,572,772
Yale University, 2.9%, 10/15/14 848,000 $870,984
Ziggo Bv 1st Lien Tl-B1 L + 2.75% 15jan22 449,291 $447,817
Ziggo Bv 1st Lien Tl-B2 L + 2.75% 15jan22 289,532 $288,582
Ziggo Bv 1st Lien Tl-B3 L + 2.75% 15jan22 476,177 $474,614
Zoetis, Inc., 1.15%, 2/1/16 500,000 $502,784

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