Pioneer Short Term Income Fund

Top 10 Portfolio Holdings as of 5/29/2015
Default: sorted by market value

Security Name Par / Shares Market Value
14112z Zero% 01feb19 1,000,000 $1,056,700
17079z Zero% 31mar18 250,000 $252,825
321 Henderson Receivables I LLC, Floating Rate Note, 6/15/41 (144A) 2,000,000 $632,421
77 Energy 1st Lien Tl-B L + 3% 17jun21 347,375 $326,822
A10 Securitization 2013-1 LLC, 2.4%, 11/17/25 (144A) 642,000 $143,943
A10 Term Asset Financing 2013-2 LLC, 2.62%, 11/15/27 (144A) 1,085,000 $852,207
Abbey National Treasury Services Plc London, Floating Rate Note, 9/29/17 750,000 $748,628
ABN AMRO Bank NV, 1.375%, 1/22/16 (144A) 500,000 $504,174
ABN AMRO Bank NV, Floating Rate Note, 10/28/16 (144A) 750,000 $755,384
ACAS CLO 2007-1, Ltd., Floating Rate Note, 4/20/21 500,000 $306,477
Accredited Mortgage Loan Trust 2005-2, Floating Rate Note, 7/25/35 240,000 $234,837
ACE Securities Corp Manufactured Housing Trust Series 2003-MH1, Floating Rate Note, 8/15/30 (144A) 425,000 $29,066
ACIS CLO 2014-4, Ltd., Floating Rate Note, 5/1/26 (144A) 700,000 $175,551
ACRE Commercial Mortgage Trust 2014-FL2, Floating Rate Note, 8/15/31 (144A) 700,000 $699,087
Activision Blizzard, Inc., Term Loan, 7/26/20 573,304 $576,573
Adjustable Rate Mortgage Trust 2005-5, Floating Rate Note, 9/25/35 3,300,000 $255,981
Aecom Technology Corp 1st Lien Tl-B L + 3% 17sep21 319,103 $322,544
Aegis Asset Backed Securities Trust Mortgage Pass-Through Ctfs Ser 2005-4, Floating Rate Note, 10/25 239,000 $111,696
Aegis Asset Backed Securities Trust Mortgage Pass- Through Ctfs Series 2004-3, Floating Rate Note, 9 881,754 $127,050
Aegis Asset Backed Securities Trust Mortgage Pass- Through Ctfs Series 2004-3, Floating Rate Note, 9 12,500,000 $392,379
Aflac, Inc., 3.45%, 8/15/15 500,000 $507,774
Aircastle, Ltd., 6.75%, 4/15/17 1,100,000 $1,191,988
Alamo Re, Ltd., Floating Rate Note, 6/7/17 (Cat Bond) (144A) 250,000 $254,820
Alamo Re, Ltd., Floating Rate Note, 6/7/18 (Cat Bond) (144A) 350,000 $350,035
Albertsons LLC, Term B-2 Loan, 3/21/19 646,754 $651,039
Ally Financial, Inc., 3.6%, 5/21/18 500,000 $503,100
Altera Corp., 2.5%, 11/15/18 500,000 $510,996
Alterna Funding I LLC, 1.639%, 2/15/21 (144A) 400,000 $286,441
Alternative Loan Trust 2003-14T1, Floating Rate Note, 8/25/18 3,200,000 $110,844
Alternative Loan Trust 2003-J1, 4.75%, 10/25/33 4,300,000 $156,744
Alternative Loan Trust 2004-4CB, 4.25%, 4/25/34 4,541,000 $84,841
Alternative Loan Trust 2004-6CB, Floating Rate Note, 4/25/34 4,791,000 $308,719
Altria Group, Inc., 4.125%, 9/11/15 310,000 $315,897
Altrl Zero% 30jun16 218,850 $127,021
Altrl Zero% 30jun17 500,000 $512,350
AMC Entertainment, Inc., Initial Term Loan, 4/30/20 246,231 $247,153
America Movil SAB de CV, Floating Rate Note, 9/12/16 1,000,000 $1,005,749
American Airlines Inc 1st Lien Tl-B L + 3% 10oct21 750,000 $753,375
American Credit Acceptance Receivables Trust 2013-1, 1.45%, 4/16/18 (144A) 41,000 $5,689
American Credit Acceptance Receivables Trust 2013-2, 1.32%, 2/15/17 (144A) 280,000 $6,880
American Credit Acceptance Receivables Trust 2014-1, 1.14%, 3/12/18 (144A) 520,000 $90,771
American Credit Acceptance Receivables Trust 2014-2, 0.99%, 10/10/17 (144A) 500,000 $141,903
American Credit Acceptance Receivables Trust 2014-3, 0.99%, 8/10/18 (144A) 410,000 $194,279
American Electric Power Co, Inc., 1.65%, 12/15/17 500,000 $504,906
American Express Credit Account Secured Note Trust 2012-4, Floating Rate Note, 5/15/20 (144A) 760,000 $763,933
American Express Credit Corp., 1.3%, 7/29/16 500,000 $504,852
American Express Credit Corp., Floating Rate Note, 6/12/15 200,000 $200,674
American Express Credit Corp., Floating Rate Note, 9/22/17 1,000,000 $999,014
American Home Mortgage Investment Trust 2004-3, 5.01%, 10/25/34 (Step) 4,000,000 $25,071
American Homes 4 Rent 2014-SFR1, Floating Rate Note, 6/19/31 (144A) 665,000 $661,645
American Honda Finance Corp., 1.125%, 10/7/16 500,000 $503,359
American Honda Finance Corp., 1.2%, 7/14/17 750,000 $754,937
American Honda Finance Corp., Floating Rate Note, 12/11/17 750,000 $752,855
American Honda Finance Corp., Floating Rate Note, 5/26/16 (144A) 1,675,000 $1,680,510
AmeriCredit Automobile Receivables Trust 2012-4, 3.82%, 2/10/20 (144A) 500,000 $514,452
AmeriCredit Automobile Receivables Trust 2013-1, 1.57%, 1/8/19 150,000 $150,340
AmeriCredit Automobile Receivables Trust 2013-4, 3.31%, 10/8/19 550,000 $566,488
AmeriCredit Automobile Receivables Trust 2014-2, Floating Rate Note, 10/10/17 380,000 $230,177
Ameriquest Mortgage Securities Inc Asset-Backed Pass-Through Ctfs Ser 2003-AR3, Floating Rate Note, 155,851 $63,919
Ameriquest Mortgage Securities Inc Asset-Backed Pass-Through Ctfs Ser 2005-R1, Floating Rate Note, 3 592,188 $252,071
Ameriquest Mortgage Securities Inc Asset Backed Pass-Through Ctfs Ser 2005-R11, Floating Rate Note, 962,222 $557,194
Ameriquest Mortgage Securities Inc Asset-Backed Pass-Through Ctfs Ser 2005-R9, 4.83954%, 11/25/35 (S 590,000 $454,501
Amgen, Inc., 2.5%, 11/15/16 500,000 $510,719
AMRESCO Residential Securities Corp Mortgage Loan Trust 1997-3, Floating Rate Note, 9/25/27 8,940,000 $136,050
Anheuser-Busch InBev Finance, Inc., Floating Rate Note, 1/27/17 500,000 $499,533
ANZ New Zealand Int'l, Ltd. London, 1.125%, 3/24/16 (144A) 1,000,000 $1,006,110
Aon Corp., 3.125%, 5/27/16 750,000 $766,558
Apple, Inc., Floating Rate Note, 5/3/16 400,000 $400,391
Appvion, Inc., Term Commitment, 6/28/19 498,731 $465,275
ARI Fleet Lease Trust 2012-A, Floating Rate Note, 3/15/20 (144A) 810,000 $94,564
Arlington Flt% 01aug15 250,000 $284,625
Ascentium Equipment Receivables 2014-1 LLC, 1.04%, 1/10/17 (144A) 400,000 $250,788
Ascentium Equipment Receivables 2014-1 LLC, 3.1%, 6/10/21 (144A) 700,000 $713,262
Ascentium Equipment Receivables 2015-1 LLC, 3.24%, 1/10/22 (144A) 510,000 $513,519
ASG Resecuritization Trust 2010-3, Floating Rate Note, 12/29/45 (144A) 1,642,839 $655,581
Asset Backed Securities Corp Home Equity Loan Trust Series 2003-HE1, Floating Rate Note, 1/15/33 3,082,000 $554,016
Asset Backed Securities Corp Home Equity Loan Trust Series 2004-HE6, Floating Rate Note, 9/25/34 7,075,000 $460,000
Asset Backed Securities Corp Home Equity Loan Trust Series 2005-HE3, Floating Rate Note, 4/25/35 159,800 $99,535
Asset Backed Securities Corp Home Equity Loan Trust Series AEG 2006-HE1, Floating Rate Note, 1/25/36 311,384 $50,121
Assurant, Inc., 2.5%, 3/15/18 300,000 $306,502
Atlantic Power LP, Term Loan, 2/20/21 1,159,809 $1,165,608
Atlas IX Capital, Ltd., Floating Rate Note, 1/17/19 (Cat Bond) (144A) 500,000 $510,587
Atlas Reinsurance VII, Ltd., Floating Rate Note, 1/7/16 (Cat Bond) (144A) 250,000 $254,693
Avago Technologies Ltd 1st Lien Tl-B L + 3% 16apr21 341,089 $342,194
Axis Equipment Finance Receivables III LLC, 3.41%, 4/20/20 (144A) 300,000 $299,741
AXIS Equipment Finance Receivables II LLC, 3.81%, 12/20/16 400,000 $402,845
AXIS Equipment Finance Receivables II LLC, 4.94%, 7/20/18 (144A) 700,000 $719,687
BAMLL Commercial Mortgage Securities Trust 2014-FL1, Floating Rate Note, 12/17/31 (144A) 800,000 $803,258
BAMLL Commercial Mortgage Securities Trust 2014-ICTS, Floating Rate Note, 6/15/28 (144A) 580,000 $579,676
BAMLL Commercial Mortgage Securities Trust 2014-INLD REMICS, Floating Rate Note, 12/17/29 (144A) 930,000 $936,977
Banc of America Alternative Loan Trust 2003-10, Floating Rate Note, 12/25/33 2,600,000 $87,011
Banc of America Alternative Loan Trust 2004-2, 5.5%, 3/25/19 3,370 $3,450
Banc of America Alternative Loan Trust 2004-4, 5.25%, 5/25/19 2,946 $3,034
Banc of America Commercial Mortgage Trust 2006-1, Floating Rate Note, 9/10/45 1,750,000 $1,787,265
Banc of America Commercial Mortgage Trust 2006-1, Floating Rate Note, 9/10/45 1,450,000 $1,432,177
Banc of America Commercial Mortgage Trust 2006-1, Floating Rate Note, 9/10/45 1,000,000 $1,025,053
Banc of America Commercial Mortgage Trust 2006-4 REMICS, 5.634%, 7/10/46 1,960,000 $1,771,730
Banc of America Funding 2003-3 Trust, 5.5%, 10/25/33 617,825 $102,592
Banc of America Funding 2004-B Trust, Floating Rate Note, 12/20/34 6,667,000 $415,854
Banc of America Merrill Lynch Commercial Mortgage, Inc., 4.933%, 7/10/45 800,000 $278,193
Banc of America Merrill Lynch Commercial Mortgage, Inc., Floating Rate Note, 10/10/45 1,370,000 $768,284
Banc of America Merrill Lynch Commercial Mortgage, Inc., Floating Rate Note, 9/10/47 1,780,000 $1,407,304
Banc of America Mortgage 2003-F Trust, Floating Rate Note, 7/25/33 6,462,027 $259,386
Banc of America Mortgage 2003-H Trust, Floating Rate Note, 9/25/33 13,410,000 $1,027,225
Banc of America Mortgage 2004-D Trust, Floating Rate Note, 5/25/34 4,920,000 $486,559
Banc of America Mortgage Trust 2004-7, 4.5%, 8/25/19 181,000 $10,667
Banco Nacional de Desenvolvimento Economico e Social, 3.375%, 9/26/16 (144A) 1,000,000 $1,019,844
Bank of America Corp., 1.25%, 1/11/16 575,000 $579,148
Bank of America Corp., 1.35%, 11/21/16 500,000 $501,215
Bank of America Corp., 3.7%, 9/1/15 500,000 $508,315
Bank of America Corp., Floating Rate Note, 8/25/17 408,000 $408,112
Bank of America NA, 1.25%, 2/14/17 500,000 $502,374
Bank of Montreal, 0.8%, 11/6/15 1,135,000 $1,137,527
Barclays Bank Plc, Floating Rate Note, 2/17/17 229,000 $229,632
Barclays Dryrock Issuance Trust, Floating Rate Note, 3/16/20 500,000 $499,687
Baxter International, Inc., 0.95%, 6/1/16 500,000 $503,127
Bayer US Finance LLC, 1.5%, 10/6/17 (144A) 750,000 $756,928
Bayview Commercial Asset Trust 2004-1, Floating Rate Note, 4/25/34 (144A) 4,150,000 $356,255
Bayview Commercial Asset Trust 2004-3, Floating Rate Note, 1/25/35 (144A) 4,600,000 $644,826
Bayview Commercial Asset Trust 2007-2, 0.0%, 7/27/37 (Step) (144A) 4,500,000 $0
Bayview Commercial Asset Trust 2007-4, 3.491129%, 9/25/37 (Step) (144A) 3,000,000 $49,901
Bayview Financial Acquisition Trust, Floating Rate Note, 5/28/44 7,600,000 $22,173
Bayview Financial Asset Trust 2003-A, Floating Rate Note, 2/25/33 (144A) 7,852,000 $178,057
Bayview Financial Mortgage Pass-Through Trust 2005-C, Floating Rate Note, 6/28/44 1,650,000 $1,339,319
Bayview Financial Mortgage Pass-Through Trust 2006-A, Floating Rate Note, 2/28/41 1,639,000 $26,171
Bayview Financial Mortgage Pass-Through Trust 2006-B, Floating Rate Note, 4/28/36 603,000 $30,924
Bayview Financial Mortgage Pass-Through Trust 2006-B, Floating Rate Note, 4/28/36 1,207,803 $220,696
Bayview Financial Mortgage Pass-Through Trust Series 2005-B, Floating Rate Note, 4/28/39 425,000 $326,591
Bayview Opportunity Master Fund IIA Trust 2012-4NPL Series III, Floating Rate Note, 2/28/35 (144A) 400,000 $382,537
Bayview Opportunity Master Fund IIa Trust 2014-20NPL, 3.475%, 8/28/44 (Step) (144A) 420,000 $313,199
Bayview Opportunity Master Fund Trust IIIa 2014-12RPL, 3.6225%, 7/28/19 (Step) (144A) 465,000 $232,484
BB&T Corp., 1.6%, 8/15/17 103,000 $104,217
Bbb Industries Llc 1st Lien Tl L + 5% 20oct21 533,333 $538,333
BBCMS Trust 2014-BXO REMICS, Floating Rate Note, 8/16/27 (144A) 180,000 $179,774
BBCMS Trust 2015-SLP, Floating Rate Note, 2/15/28 (144A) 750,000 $751,310
BCAP LLC 2009-RR13-I Trust, Floating Rate Note, 9/26/35 (144A) 2,765,000 $612,668
BCAP LLC 2013-RR3 Trust, Floating Rate Note, 5/28/36 (144A) 500,000 $351,105
BCAP LLC 2013-RR7 Trust, Floating Rate Note, 12/27/34 420,000 $321,013
BCMSC Trust 1998-A, 6.65%, 4/15/28 2,750,000 $1,425
Bear Stearns ALT-A Trust 2004-11, Floating Rate Note, 11/25/34 7,155,000 $343,129
Bear Stearns ALT-A Trust 2004-12, Floating Rate Note, 1/25/35 8,440,000 $942,257
Bear Stearns ALT-A Trust 2004-12, Floating Rate Note, 1/25/35 4,956,000 $563,221
Bear Stearns ALT-A Trust 2004-12, Floating Rate Note, 1/25/35 9,210,000 $988,044
Bear Stearns ALT-A Trust 2004-12, Floating Rate Note, 1/25/35 3,280,000 $342,657
Bear Stearns ALT-A Trust 2004-13, Floating Rate Note, 11/25/34 2,473,000 $118,498
Bear Stearns ALT-A Trust 2004-4, Floating Rate Note, 6/25/34 10,699,000 $789,702
Bear Stearns ARM Trust 2003-3, Floating Rate Note, 5/25/33 9,158,341 $252,403
Bear Stearns ARM Trust 2004-10 REMICS, Floating Rate Note, 1/25/35 720,000 $85,941
Bear Stearns ARM Trust 2004-3, Floating Rate Note, 7/25/34 2,481,203 $80,901
Bear Stearns Asset Backed Securities I Trust 2005-FR1, Floating Rate Note, 6/25/35 1,526,722 $455,292
Bear Stearns Asset Backed Securities Trust, Floating Rate Note, 2/25/35 5,848,300 $15,623
Bear Stearns Asset Backed Securities Trust 2004-2, Floating Rate Note, 8/25/34 389,000 $54,707
Bear Stearns Asset Backed Securities Trust 2006-SD2, Floating Rate Note, 6/25/36 412,000 $192,243
Bear Stearns Commercial Mortgage Securities Trust 2005-PWR10, Floating Rate Note, 12/11/40 1,240,000 $926,400
Bear Stearns Commercial Mortgage Securities Trust 2005-PWR7, Floating Rate Note, 2/11/41 550,000 $552,406
Bear Stearns Commercial Mortgage Securities Trust 2005-PWR8, 4.75%, 6/11/41 415,000 $416,554
Bear Stearns Commercial Mortgage Securities Trust 2005-PWR9, 4.871%, 9/11/42 2,280,000 $1,058,903
Bear Stearns Commercial Mortgage Securities Trust 2005-PWR9, Floating Rate Note, 9/11/42 1,160,000 $1,175,466
Bear Stearns Commercial Mortgage Securities Trust 2005-TOP20, Floating Rate Note, 10/12/42 1,905,000 $1,381,474
Bear Stearns Commercial Mortgage Securities Trust 2006-PWR14, 5.171%, 12/11/38 790,000 $174,980
Bear Stearns Commercial Mortgage Securities Trust 2006-TOP22, Floating Rate Note, 4/12/38 1,150,000 $1,026,956
Bear Stearns Mortgage Securities, Inc., Floating Rate Note, 6/25/30 731,690 $105,841
Bear Stearns Structured Products Trust 2007-EMX1, Floating Rate Note, 3/25/37 (144A) 1,130,000 $197,816
Becton Dickinson and Co., 1.45%, 5/15/17 750,000 $752,164
Becton Dickinson and Co., 1.8%, 12/15/17 750,000 $761,459
Belden Finance 2013 LP, Initial Term Loan, 9/9/20 246,250 $246,712
Bella Vista Mortgage Trust 2004-1, Floating Rate Note, 11/20/34 12,618,000 $314,739
Berkshire Hathaway Finance Corp., Floating Rate Note, 1/10/17 1,000,000 $1,001,683
Berkshire Hathaway Finance Corp., Floating Rate Note, 8/14/17 1,000,000 $1,000,018
BHP Billiton Finance USA, Ltd., Floating Rate Note, 9/30/16 500,000 $500,710
BLCP Hotel Trust, Floating Rate Note, 8/15/29 (144A) 1,610,000 $1,593,351
Blue Danube II, Ltd., Floating Rate Note, 5/23/18 (Cat Bond) (144A) 800,000 $799,222
Boca Hotel Portfolio Trust 2013-BOCA, Floating Rate Note, 8/17/26 (144A) 430,000 $430,393
Boston Scientific Corp., 2.65%, 10/1/18 500,000 $510,962
BPCE SA, Floating Rate Note, 4/25/16 550,000 $555,341
Branch Banking & Trust Co., 1.35%, 10/1/17 500,000 $502,691
Branch Banking & Trust Co., 2.3%, 10/15/18 500,000 $513,233
Branch Banking & Trust Co., Floating Rate Note, 5/23/17 250,000 $248,816
Branch Banking & Trust Co., Floating Rate Note, 9/13/16 500,000 $499,199
Bright Horizons Family Solutions, Inc., Term B Loan, 1/30/20 394,957 $396,315
Bway Holding Co 1st Lien Tl-B L + 4.5% 08aug20 99,250 $100,007
Caelus Re, Ltd., Floating Rate Note, 3/7/16 (Cat Bond) (144A) 500,000 $498,021
Caelus Re 2013, Ltd., Floating Rate Note, 4/7/20 (Cat Bond) (144A) 750,000 $767,998
California Republic Auto Receivables Trust 2012-1, 1.18%, 8/15/17 (144A) 329,000 $43,669
Calpine Construction Finance Co LP, Term B-2 Loan, 1/3/22 666,545 $660,713
Calpine Corp., Term Loan (10/12), 10/9/19 748,082 $750,471
Canadian Natural Resources, Ltd., Floating Rate Note, 3/30/16 277,000 $276,901
Capella Healthcare Inc 1st Lien Tl-B L + 4.25% 31dec21 104,738 $105,523
Capital Auto Receivables Asset Trust 2013-1, 1.74%, 10/22/18 413,000 $414,862
Capital Auto Receivables Asset Trust 2013-1, 2.19%, 9/20/21 125,000 $125,988
Capital One Financial Corp., 1.0%, 11/6/15 975,000 $977,019
Capital One Multi-Asset Execution Trust, Floating Rate Note, 2/15/19 300,000 $300,096
Capital One NA, 1.65%, 2/5/18 750,000 $750,825
Capital One NA, Floating Rate Note, 3/22/16 700,000 $701,574
CarMax Auto Owner Trust 2013-3, 2.15%, 5/15/19 540,000 $546,076
Carrington Mortgage Loan Trust Series 2005-NC1, Floating Rate Note, 2/26/35 3,586,373 $394,410
Carrington Mortgage Loan Trust Series 2006-OPT1, Floating Rate Note, 12/25/35 5,047,000 $923,019
Castle Garden Funding, Floating Rate Note, 10/27/20 (144A) 2,000,000 $294,117
Caterpillar Financial Services Corp., 1.0%, 11/25/16 1,000,000 $1,004,009
Caterpillar Financial Services Corp., 1.35%, 9/6/16 1,125,000 $1,138,391
CD 2005-CD1 Commercial Mortgage Trust, Floating Rate Note, 7/15/44 940,000 $618,966
CD 2006-CD2 Mortgage Trust, Floating Rate Note, 1/15/46 2,084,000 $2,001,537
CDC Mortgage Capital Trust 2002-HE1, Floating Rate Note, 1/25/33 19,484,513 $343,814
CDGJ Commercial Mortgage Trust 2014-BXCH, Floating Rate Note, 12/15/27 (144A) 1,340,000 $1,344,492
Cendant Mortgage Corp., 6.25%, 3/25/32 (144A) 4,100,000 $388,866
Cent CLO 16 LP, 2.52%, 8/1/24 (144A) 1,000,000 $1,004,191
Centerpoint Energy Transition Bond Co II LLC, 5.17%, 8/1/19 720,000 $531,788
Centex Home Equity Loan Trust 2005-B, 4.893%, 3/25/33 (Step) 3,300,000 $148,813
CeramTec Acquisition Corp., Initial Dollar Term B-2 Loan, 8/30/20 20,744 $20,835
CeramTec GmbH, Dollar Term B-3 Loan, 8/30/20 61,556 $61,825
CeramTec Service GmbH, Initial Dollar Term B-1 Loan, 8/30/20 204,460 $205,355
CGBAM Commercial Mortgage Trust 2014-HD, Floating Rate Note, 2/18/31 (144A) 310,000 $309,687
CG-CCRE Commercial Mortgage Trust 2014-FL1, Floating Rate Note, 6/16/31 (144A) 1,630,000 $1,628,455
CGWF Commercial Mortgage Trust 2013-RKWH REMICS, Floating Rate Note, 11/15/30 (144A) 1,720,000 $1,723,216
Chase Funding Trust Series 2003-3, Floating Rate Note, 4/25/33 13,029,694 $92,860
Chase Funding Trust Series 2003-6, 4.277%, 11/27/34 (Step) 1,680,000 $219,528
Chase Issuance Trust, 0.59%, 8/15/17 300,000 $300,132
Chase Issuance Trust, Floating Rate Note, 4/16/18 750,000 $750,266
Chase Issuance Trust, Floating Rate Note, 8/15/17 750,000 $750,079
Chase Mortgage Finance Trust Series 2005-S1, 5.5%, 5/25/35 4,068,000 $46,602
Chesapeake Funding LLC, Floating Rate Note, 5/7/24 (144A) 200,000 $76,905
Chesapeake Funding LLC, Floating Rate Note, 5/7/24 (144A) 250,000 $250,802
CHL Mortgage Pass-Through Trust 2004-14, Floating Rate Note, 8/25/34 1,810,000 $178,381
CHS, Incremental 2018 Term F Loans, 12/31/18 99,374 $99,816
CHS, Incremental 2019 Term G Loan, 12/31/19 93,027 $93,177
CHS, Incremental 2021 Term H Loan, 1/27/21 171,168 $171,886
Ciena Corporation 1st Lien Tl-B L + 3% 08jul19 347,375 $348,895
Cinedigm Digital Funding I LLC, Term Loan, 2/28/18 116,761 $116,907
Citibank Credit Card Issuance Trust, 5.1%, 11/20/17 500,000 $511,789
Citicorp Mortgage Securities REMIC Pass-Through Certificates Trust Series 2005-4, 5.0%, 7/25/20 4,375,000 $107,382
Citicorp Mortgage Securities REMIC Pass-Through Certificates Trust Series 2005-7, 5.0%, 10/25/35 5,635,000 $375,798
Citigroup, Inc., 1.3%, 4/1/16 500,000 $502,828
Citigroup, Inc., 1.8%, 2/5/18 750,000 $754,499
Citigroup, Inc., Floating Rate Note, 11/15/16 750,000 $751,966
Citigroup, Inc., Floating Rate Note, 4/1/16 500,000 $502,344
Citigroup, Inc., Floating Rate Note, 7/25/16 750,000 $754,034
Citigroup Commercial Mortgage Trust 2015-SSHP REMICS, Floating Rate Note, 9/15/27 (144A) 1,250,000 $1,250,548
Citigroup Mortgage Loan Trust, Inc., 7.0%, 11/25/19 7,340,000 $64,854
Citigroup Mortgage Loan Trust, Inc., Floating Rate Note, 10/25/35 1,471,464 $8,681
Citigroup Mortgage Loan Trust, Inc., Floating Rate Note, 11/25/34 900,000 $55,066
Citigroup Mortgage Loan Trust, Inc., Floating Rate Note, 3/26/35 1,750,000 $151,887
Citigroup Mortgage Loan Trust, Inc., Floating Rate Note, 5/25/35 (144A) 429,900 $395,627
Citigroup Mortgage Loan Trust 2006-SHL1, Floating Rate Note, 11/27/45 (144A) 4,965,000 $439,337
Citigroup Mortgage Loan Trust 2010-4 REMICS, 5.0%, 10/25/35 (144A) 2,735,000 $670,434
Citigroup Mortgage Loan Trust 2010-7 REMICS, Floating Rate Note, 9/25/37 (144A) 1,905,250 $200,632
Citrus Re, Ltd., Floating Rate Note, 4/18/17 (Cat Bond) (144A) 250,000 $245,103
Citrus Re, Ltd., Floating Rate Note, 4/24/17 (Cat Bond) (144A) 600,000 $588,113
City of Pittsburgh Pennsylvania, 0.87%, 9/1/16 500,000 $501,958
CNH Equipment Trust 2012-C, 0.57%, 12/15/17 75,000 $28,273
CNH Equipment Trust 2013-A, 0.69%, 6/15/18 450,000 $238,384
CNH Wholesale Master Note Trust, Floating Rate Note, 8/15/19 (144A) 525,000 $525,859
CNL Commercial Mortgage Loan Trust 2002-1, Floating Rate Note, 10/25/28 (144A) 8,975,000 $273,391
CNL Commercial Mortgage Loan Trust 2003-1, Floating Rate Note, 5/15/31 (144A) 5,443,000 $370,985
CNL Commercial Mortgage Loan Trust 2003-2, Floating Rate Note, 10/25/30 (144A) 1,000,000 $77,957
Coca-Cola Enterprises, Inc., 2.125%, 9/15/15 189,000 $190,632
Collateralized Mortgage Obligation Trust 44, Floating Rate Note, 7/1/18 13,590,000 $36,150
Colony American Homes 2014-1, Floating Rate Note, 5/19/31 (144A) 700,000 $702,053
Colony American Homes 2014-2, Floating Rate Note, 7/19/31 (144A) 600,000 $602,918
COMM 2005-C6 Mortgage Trust, Floating Rate Note, 6/10/44 770,000 $264,608
COMM 2005-C6 Mortgage Trust, Floating Rate Note, 6/10/44 1,880,000 $1,892,859
COMM 2013-FL3 Mortgage Trust, Floating Rate Note, 10/13/28 (144A) 1,000,000 $793,241
COMM 2014-FL5 Mortgage Trust, Floating Rate Note, 10/17/31 (144A) 1,370,000 $1,367,179
COMM 2014-KYO Mortgage Trust, Floating Rate Note, 6/11/27 (144A) 1,630,000 $1,629,036
COMM 2014-PAT Mortgage Trust, Floating Rate Note, 8/13/27 (144A) 820,000 $817,447
COMM 2014-SAVA Mortgage Trust, Floating Rate Note, 6/15/34 (144A) 1,110,000 $1,108,962
COMM 2014-TWC Mortgage Trust, Floating Rate Note, 2/13/32 (144A) 1,850,000 $1,852,358
Commercial Mortgage Pass Through Certificates, Floating Rate Note, 11/19/26 (144A) 600,000 $206,243
Commercial Mortgage Pass Through Certificates, Floating Rate Note, 11/19/26 (144A) 850,000 $850,358
Commercial Mortgage Trust 2005-GG3, Floating Rate Note, 8/10/42 1,000,000 $128,857
Commercial Mortgage Trust 2005-GG5, Floating Rate Note, 4/10/37 2,075,000 $2,104,968
Commonwealth Bank of Australia, Floating Rate Note, 3/13/17 (144A) 650,000 $651,245
Commonwealth Bank of Australia, Floating Rate Note, 9/18/15 (144A) 460,000 $462,054
Commonwealth Bank of Australia, Floating Rate Note, 9/8/17 (144A) 750,000 $750,591
Commonwealth Edison Co., 1.95%, 9/1/16 500,000 $509,681
Compass Re II, Ltd., Floating Rate Note, 12/8/15 (Cat Bond) (144A) 250,000 $237,500
ConocoPhillips Co., 1.05%, 12/15/17 1,000,000 $1,000,660
Conseco Finance Corp., 7.55%, 4/15/32 (Step) 2,740,000 $117,008
Conseco Finance Home Equity Loan Trust 2002-C, Floating Rate Note, 4/15/32 2,875,000 $740,005
Consumer Credit Origination Loan Trust 2015-1, 2.82%, 3/15/21 (144A) 750,000 $638,718
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA New York, Floating Rate Note, 3/18/16 500,000 $502,236
Costco Wholesale Corp., 1.125%, 12/15/17 740,000 $743,873
Countrywide Asset-Backed Certificates, Floating Rate Note, 10/25/34 984,000 $171,664
Countrywide Asset-Backed Certificates, Floating Rate Note, 11/25/35 2,175,000 $69,692
Countrywide Asset-Backed Certificates, Floating Rate Note, 12/25/35 1,814,000 $359,740
Countrywide Asset-Backed Certificates, Floating Rate Note, 3/25/35 1,300,000 $381,203
Countrywide Asset-Backed Certificates, Floating Rate Note, 5/25/35 1,600,000 $45,955
Countrywide Asset-Backed Certificates, Floating Rate Note, 6/25/33 (144A) 900,000 $849,651
Countrywide Asset-Backed Certificates, Floating Rate Note, 9/25/34 (144A) 8,600,000 $444,019
CPS Auto Receivables Trust 2013-A, 1.89%, 6/15/20 (144A) 690,000 $310,039
CPS Auto Receivables Trust 2013-B, 1.82%, 9/15/20 (144A) 157,000 $66,045
CPS Auto Receivables Trust 2014-A, 1.21%, 8/15/18 200,000 $107,972
Credit Acceptance Auto Loan Trust 2012-2, 1.52%, 3/16/20 (144A) 400,000 $68,999
Credit Acceptance Auto Loan Trust 2013-2, 1.5%, 4/15/21 (144A) 1,000,000 $1,004,288
Credit Acceptance Auto Loan Trust 2014-2, 2.67%, 9/15/22 (144A) 1,000,000 $1,005,994
Credit Suisse Commercial Mortgage Trust Series 2006-C2 REMICS, Floating Rate Note, 3/15/39 1,970,000 $1,879,166
Credit Suisse Commercial Mortgage Trust Series 2007-C1, 5.361%, 2/15/40 1,300,000 $923,630
Credit Suisse First Boston Mortgage Securities Corp., 4.877%, 4/15/37 500,000 $392,994
Credit Suisse First Boston Mortgage Securities Corp., 5.25%, 10/25/19 1,196,000 $39,679
Credit Suisse First Boston Mortgage Securities Corp., 5.5%, 6/25/33 200,000 $37,708
Credit Suisse First Boston Mortgage Securities Corp., 7.5%, 5/25/32 15,000,000 $292,154
Credit Suisse First Boston Mortgage Securities Corp., Floating Rate Note, 12/17/40 2,730,000 $1,647,111
Credit Suisse First Boston Mortgage Securities Corp., Floating Rate Note, 7/25/35 3,555,000 $384,963
Credit Suisse First Boston Mortgage Securities Corp., Floating Rate Note, 8/15/38 1,900,440 $195,491
Credit Suisse Mortgage Capital Certificates, Floating Rate Note, 3/15/28 (144A) 400,000 $400,466
Credit Suisse Mortgage Capital Certificates REMICS, Floating Rate Note, 7/27/36 (144A) 3,494,698 $512,496
Crown Castle 1st Lien Term-B2 L + 2.5% 31jan21 348,237 $348,119
Crowne Group Llc 1st Lien Tl-B L + 5% 29sep20 298,500 $297,754
CSMC Series 2014-ICE, Floating Rate Note, 4/15/27 (144A) 1,950,000 $1,943,962
CSMC Trust 2014-SURF, Floating Rate Note, 2/15/29 (144A) 700,000 $698,731
CWABS Asset-Backed Certificates Trust 2005-1, Floating Rate Note, 2/25/33 244,000 $14,238
Daimler Finance North America LLC, 1.45%, 8/1/16 (144A) 1,000,000 $1,010,958
Daimler Finance North America LLC, Floating Rate Note, 3/10/17 (144A) 750,000 $751,715
Daimler Finance North America LLC, Floating Rate Note, 8/1/17 (144A) 617,000 $616,198
Darling Ingredients, Inc., Term B USD Loan, 12/19/20 519,750 $520,725
DCP Midstream Operating LP, 3.25%, 10/1/15 500,000 $502,723
Del Coronado Trust 2013-DEL, Floating Rate Note, 3/16/26 (144A) 399,000 $398,966
Del Coronado Trust 2013-DEL, Floating Rate Note, 3/16/26 (144A) 300,000 $299,880
Dell Equipment Finance Trust 2014-1, 2.68%, 6/22/20 (144A) 750,000 $753,716
DELOS FINANCE SARL, Loan, 2/27/21 425,000 $425,974
Delta Air Lines, Inc., 2014 Term B-1 Loan, 10/18/18 98,737 $98,907
Diamond Resorts Owner Trust 2013-2, 2.62%, 5/20/26 (144A) 750,000 $367,797
Direct Capital Funding V LLC, 1.673%, 12/20/17 (144A) 175,000 $6,447
Direct Capital Funding V LLC, 4.83%, 11/20/20 (144A) 750,000 $763,131
Discover Card Execution Note Trust, Floating Rate Note, 10/15/18 600,000 $600,050
DR Horton, Inc., 4.0%, 2/15/20 650,000 $661,339
Drug Royalty II LP 2, Floating Rate Note, 7/15/23 (144A) 700,000 $646,109
Duke Energy Carolinas LLC, 1.75%, 12/15/16 750,000 $767,279
Duke Energy Florida, Inc., 0.65%, 11/15/15 695,000 $695,803
Duke Energy Indiana, Inc., Floating Rate Note, 7/11/16 303,000 $303,665
Duke Energy Progress, Inc., Floating Rate Note, 3/6/17 411,000 $410,884
East Lane Re VI, Ltd., Floating Rate Note, 3/13/20 (Cat Bond) (144A) 350,000 $344,470
East Lane Re VI, Ltd., Floating Rate Note, 3/14/18 (Cat Bond) (144A) 500,000 $495,058
Eco Services Operations Llc 1st Lien Tl-B L + 3.75% 10oct21 523,688 $523,688
Eden Re II, Ltd., 0.0%, 4/19/18 (Cat Bond) (144A) 700,000 $710,500
Electricite de France SA, Floating Rate Note, 1/20/17 (144A) 750,000 $751,446
Ellington Loan Acquisition Trust 2007-1, Floating Rate Note, 5/26/37 (144A) 550,000 $408,840
Emdeon Inc 1st Lien Tl-B3 L + 2.5% 02nov18 398,000 $399,368
Enbridge, Inc., Floating Rate Note, 10/1/16 500,000 $501,483
Encore Credit Receivables Trust 2005-3, Floating Rate Note, 10/25/35 1,000,000 $103,626
Endo Luxembourg Finance I 1st Lien Tl-B L + 2.5% 05nov20 495,000 $496,135
Energy Transfer Equity 1st Lien Tl-B L + 3.25% 02dec19 278,824 $279,434
Entercom Radio LLC, Term B-2 Loan, 11/23/18 498,565 $500,356
Enterprise Products Operating LLC, 1.65%, 5/7/18 750,000 $751,740
Enterprise Products Operating LLC, 3.2%, 2/1/16 1,000,000 $1,025,834
EQTY 2014-INNS Mortgage Trust, Floating Rate Note, 5/8/31 (144A) 1,020,000 $1,010,328
EQTY 2014-INNS Mortgage Trust REMICS, Floating Rate Note, 5/8/31 (144A) 540,000 $535,962
Equity One Mortgage Pass-Through Trust 2003-1, Floating Rate Note, 8/25/33 11,389,000 $315,624
Equity One Mortgage Pass-Through Trust 2004-1, Floating Rate Note, 4/25/34 1,840,000 $467,670
Equity One Mortgage Pass-Through Trust 2004-2, Floating Rate Note, 7/25/34 1,925,000 $495,770
Evergreen Skills Lux Sarl, Initial Term Loan (First Lien), 4/23/21 198,500 $196,019
Ew Scripps 1st Lien Termloan L + 2.9717% 26nov20 275,000 $276,203
Exeter Automobile Receivables Trust 2014-2, 1.06%, 8/15/18 400,000 $190,289
Express Scripts Holding Co., 2.25%, 6/15/19 750,000 $757,082
Express Scripts Holding Co., 3.125%, 5/15/16 1,000,000 $1,021,190
Extended Stay America Trust 2013-ESH, 1.2783%, 12/5/31 (144A) 723,000 $719,288
Extended Stay America Trust 2013-ESH, Floating Rate Note, 12/5/31 (144A) 200,000 $199,396
Extended Stay America Trust 2013-ESH, Floating Rate Note, 12/5/31 (144A) 200,000 $199,760
Fannie Mae, 2.0%, 11/1/23 2,236,000 $1,752,465
Fannie Mae, 2.5%, 3/1/28 1,500,000 $1,209,385
Fannie Mae, 2.5%, 6/1/23 526,320 $384,307
Fannie Mae, 3.0%, 10/1/27 2,000,000 $1,240,067
Fannie Mae, 3.0%, 11/1/27 2,000,000 $1,476,528
Fannie Mae, 3.0%, 5/1/21 2,775,000 $957,932
Fannie Mae, 4.0%, 12/1/19 3,570,319 $594,341
Fannie Mae, 4.5%, 1/1/41 580,000 $279,708
Fannie Mae, 4.5%, 5/1/39 1,350,000 $471,360
Fannie Mae, 4.5%, 5/1/39 2,100,000 $806,076
Fannie Mae, 5.0%, 10/1/41 1,736,000 $711,788
Fannie Mae, 5.0%, 11/1/20 3,800,000 $237,751
Fannie Mae, 5.0%, 7/1/15 1,000,000 $296
Fannie Mae, 5.5%, 12/1/35 1,000,000 $60,809
Fannie Mae, 5.5%, 8/1/37 2,000,000 $334,982
Fannie Mae, 6.0%, 10/1/22 973,454 $245,979
Fannie Mae, 6.0%, 2/1/34 1,400,000 $38,022
Fannie Mae, 6.0%, 4/1/38 483,000 $34,982
Fannie Mae, 6.5%, 4/1/29 9,050,000 $292,794
Fannie Mae, 6.5%, 6/1/16 700,000 $1,019
Fannie Mae, 6.5%, 7/1/32 723,471 $7,612
Fannie Mae, 6.5%, 8/1/17 667,089 $13,055
Fannie Mae, 7.0%, 1/1/36 1,000,000 $22,323
Fannie Mae, 7.0%, 7/1/17 3,768,412 $34,105
Fannie Mae, Floating Rate Note, 1/1/25 7,000,000 $54,860
Fannie Mae, Floating Rate Note, 10/1/29 10,892,567 $83,771
Fannie Mae, Floating Rate Note, 10/1/29 4,831,796 $103,449
Fannie Mae, Floating Rate Note, 10/1/36 1,877,185 $310,483
Fannie Mae, Floating Rate Note, 11/1/24 7,000,000 $87,563
Fannie Mae, Floating Rate Note, 11/1/25 700,000 $2,327
Fannie Mae, Floating Rate Note, 11/1/40 9,368,434 $31,292
Fannie Mae, Floating Rate Note, 12/1/28 1,112,489 $52,134
Fannie Mae, Floating Rate Note, 12/1/36 6,500,000 $226,398
Fannie Mae, Floating Rate Note, 2/1/27 4,000,000 $11,332
Fannie Mae, Floating Rate Note, 2/1/33 380,000 $1,356
Fannie Mae, Floating Rate Note, 4/1/28 400,000 $3,171
Fannie Mae, Floating Rate Note, 4/1/29 400,000 $2,836
Fannie Mae, Floating Rate Note, 7/1/36 500,000 $52,528
Fannie Mae Connecticut Avenue Securities, Floating Rate Note, 10/25/23 1,244,000 $920,204
Fannie Mae Connecticut Avenue Securities, Floating Rate Note, 5/25/24 1,020,000 $834,473
Fannie Mae Connecticut Avenue Securities, Floating Rate Note, 7/25/24 1,540,000 $1,240,915
Fannie Mae Trust 2005-W4, Floating Rate Note, 6/25/45 1,600,000 $232,640
Fannie Mae Whole Loan, Floating Rate Note, 11/25/46 4,252,000 $663,980
FCA US LLC, Term Loan B, 5/24/17 895,125 $897,680
FCA US LLC, Tranche B Term Loan, 12/29/18 594,000 $595,361
FDIC 2010-R1 Trust, 2.184%, 5/25/50 (144A) 2,060,000 $672,340
Federal Home Loan Banks, 2.9%, 4/20/17 1,370,000 $230,217
Federal Home Loan Mortgage Corp., 2.5%, 10/1/27 1,247,958 $918,021
Federal Home Loan Mortgage Corp., 2.75%, 11/15/25 1,000,000 $411,498
Federal Home Loan Mortgage Corp., 3.0%, 1/15/30 893,000 $412,558
Federal Home Loan Mortgage Corp., 3.0%, 6/15/38 2,000,000 $321,265
Federal Home Loan Mortgage Corp., 3.5%, 8/15/28 500,000 $142,054
Federal Home Loan Mortgage Corp., 4.0%, 1/15/34 5,000,000 $259,242
Federal Home Loan Mortgage Corp., 4.0%, 5/1/24 2,400,000 $211,096
Federal Home Loan Mortgage Corp., 4.0%, 5/15/37 1,753,000 $1,937
Federal Home Loan Mortgage Corp., 4.5%, 7/1/19 1,467,130 $139,325
Federal Home Loan Mortgage Corp., 4.5%, 7/1/19 1,381,464 $168,816
Federal Home Loan Mortgage Corp., 5.0%, 12/1/39 265,000 $113,689
Federal Home Loan Mortgage Corp., 5.0%, 2/1/21 1,000,000 $70,471
Federal Home Loan Mortgage Corp., 5.5%, 8/1/23 1,563,938 $49,104
Federal Home Loan Mortgage Corp., 6.5%, 7/1/16 2,000,000 $4,701
Federal Home Loan Mortgage Corp., Floating Rate Note, 1/1/28 500,000 $2,555
Federal Home Loan Mortgage Corp., Floating Rate Note, 1/15/33 40,000,000 $1,540,774
Federal Home Loan Mortgage Corp., Floating Rate Note, 1/15/35 1,635,000 $207,372
Federal Home Loan Mortgage Corp., Floating Rate Note, 10/1/31 19,044,336 $333,508
Federal Home Loan Mortgage Corp., Floating Rate Note, 11/1/31 1,399,950 $6,207
Federal Home Loan Mortgage Corp., Floating Rate Note, 11/15/36 2,046,908 $93,262
Federal Home Loan Mortgage Corp., Floating Rate Note, 12/1/31 49,986,196 $262,532
Federal Home Loan Mortgage Corp., Floating Rate Note, 2/17/32 12,638,000 $319,094
Federal Home Loan Mortgage Corp., Floating Rate Note, 3/15/30 1,147,667 $413,900
Federal Home Loan Mortgage Corp., Floating Rate Note, 3/15/32 33,450,000 $355,686
Federal Home Loan Mortgage Corp., Floating Rate Note, 4/1/25 13,000,000 $17,327
Federal Home Loan Mortgage Corp., Floating Rate Note, 4/1/29 160,000 $2,017
Federal Home Loan Mortgage Corp., Floating Rate Note, 4/15/33 22,025,143 $874,766
Federal Home Loan Mortgage Corp., Floating Rate Note, 4/15/36 4,003,000 $578,218
Federal Home Loan Mortgage Corp., Floating Rate Note, 5/1/25 588,110 $5,574
Federal Home Loan Mortgage Corp., Floating Rate Note, 7/1/18 2,100,000 $3,463
Federal Home Loan Mortgage Corp., Floating Rate Note, 7/15/19 1,500,000 $78,380
Federal Home Loan Mortgage Corp., Floating Rate Note, 7/15/28 52,559,000 $336,481
Federal Home Loan Mortgage Corp., Floating Rate Note, 7/15/31 49,927,842 $491,371
Federal Home Loan Mortgage Corp., Floating Rate Note, 8/1/31 500,000 $888
Federal Home Loan Mortgage Corp., Floating Rate Note, 8/1/31 12,000,000 $90,624
Federal Home Loan Mortgage Corp., Floating Rate Note, 8/15/19 6,831,666 $169,271
Federal Home Loan Mortgage Corp. REMICS, 3.5%, 10/15/18 500,000 $72,931
Federal Home Loan Mortgage Corp. REMICS, 3.5%, 6/15/28 1,119,000 $82,489
Federal Home Loan Mortgage Corp. REMICS, 5.5%, 10/15/35 1,625,000 $29,161
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 1/15/36 400,312 $69,906
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 1/15/37 16,831,292 $921,360
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 10/15/20 9,083,556 $127,816
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 10/15/37 3,873,000 $251,906
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 11/15/36 600,000 $91,523
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 11/15/36 1,229,000 $201,443
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 11/15/37 3,358,000 $480,722
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/32 1,931,288 $132,757
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/32 2,900,000 $198,808
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/35 2,232,000 $327,934
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/39 666,000 $242,345
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/30 586,107 $237,991
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/32 15,205,000 $224,833
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/33 20,000,000 $259,719
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/36 1,133,000 $186,529
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/37 2,840,000 $140,255
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/39 288,000 $133,945
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/41 1,878,046 $317,599
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/42 350,000 $187,128
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 3/15/32 35,466,000 $286,793
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 3/15/32 15,667,000 $163,324
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 3/15/38 2,600,000 $695,964
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 3/15/41 3,243,333 $630,529
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 4/15/27 22,817,000 $225,781
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 4/15/28 16,175,365 $228,083
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 4/15/36 728,000 $129,565
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 4/15/41 2,446,437 $429,037
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 5/15/36 2,159,000 $135,628
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 5/15/36 4,000,000 $149,808
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 5/15/41 638,000 $99,355
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 6/15/36 1,288,000 $112,499
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 6/15/41 1,220,000 $285,340
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 7/15/23 835,000 $161,327
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 7/15/36 3,107,000 $214,118
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 8/15/18 600,000 $89,674
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 8/15/25 970,000 $269,380
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 8/15/26 370,000 $120,085
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 8/15/35 462,000 $85,135
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 8/15/36 5,044,000 $228,342
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 9/15/26 385,000 $208,671
Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 9/15/33 2,647,000 $154,319
Federal National Mortgage Association, 2.0%, 8/1/23 1,465,000 $1,121,823
Federal National Mortgage Association, 2.5%, 4/25/36 635,000 $187,035
Federal National Mortgage Association, 2.5%, 9/1/22 2,000,000 $1,187,800
Federal National Mortgage Association, 2.75%, 6/25/20 1,750,000 $378,989
Federal National Mortgage Association, 3.0%, 12/1/21 2,000,000 $817,664
Federal National Mortgage Association, 3.0%, 6/25/39 5,000,000 $461,395
Federal National Mortgage Association, 3.5%, 1/25/24 7,225,000 $140,457
Federal National Mortgage Association, 3.5%, 3/25/28 2,344,102 $137,104
Federal National Mortgage Association, 3.5%, 7/25/24 1,250,000 $215,886
Federal National Mortgage Association, 4.0%, 1/1/20 7,280,000 $1,031,374
Federal National Mortgage Association, 4.0%, 10/1/20 4,317,004 $1,074,346
Federal National Mortgage Association, 4.0%, 3/1/21 4,071,760 $1,071,494
Federal National Mortgage Association, 4.0%, 8/1/19 2,761,217 $369,539
Federal National Mortgage Association, 4.5%, 10/25/38 5,000,000 $35,119
Federal National Mortgage Association, 4.5%, 6/25/40 4,200,000 $1,017,591
Federal National Mortgage Association, 4.5%, 8/25/27 4,509,000 $26,342
Federal National Mortgage Association, 5.0%, 7/25/32 7,363,000 $123,810
Federal National Mortgage Association, Floating Rate Note, 10/18/32 11,398,000 $340,451
Federal National Mortgage Association, Floating Rate Note, 11/25/27 15,797,000 $475,668
Federal National Mortgage Association, Floating Rate Note, 2/25/23 77,000,000 $354,400
Federal National Mortgage Association, Floating Rate Note, 3/25/18 8,811,000 $201,094
Federal National Mortgage Association, Floating Rate Note, 3/25/36 2,108,510 $410,360
Federal National Mortgage Association, Floating Rate Note, 4/25/33 36,000,000 $868,128
Federal National Mortgage Association, Floating Rate Note, 4/25/35 1,250,000 $216,871
Federal National Mortgage Association, Floating Rate Note, 6/25/32 21,270,000 $535,591
Federal National Mortgage Association, Floating Rate Note, 6/25/36 7,000,000 $717,665
Federal National Mortgage Association, Floating Rate Note, 8/25/35 2,868,000 $318,062
Federal National Mortgage Association, Floating Rate Note, 9/25/22 3,000,000 $108,402
Federal National Mortgage Association 2004-T2, Floating Rate Note, 7/25/43 6,750,000 $902,790
Federal National Mortgage Association 2006-48-T, 5.5%, 12/25/34 1,716,418 $202,369
Federal National Mortgage Association REMICS, 1.5%, 11/25/20 745,000 $149,373
Federal National Mortgage Association REMICS, 1.75%, 12/25/22 1,000,000 $261,567
Federal National Mortgage Association REMICS, 3.0%, 1/25/21 4,450,000 $680,615
Federal National Mortgage Association REMICS, 3.0%, 4/25/40 1,110,000 $139,436
Federal National Mortgage Association REMICS, 3.5%, 10/25/39 490,000 $270,939
Federal National Mortgage Association REMICS, 4.0%, 5/25/29 2,000,000 $1,339,438
Federal National Mortgage Association REMICS, 5.0%, 9/25/39 110,000 $13,220
Federal National Mortgage Association REMICS, 6.0%, 6/25/29 685,000 $118,329
Federal National Mortgage Association REMICS, Floating Rate Note, 1/18/32 4,920,043 $67,036
Federal National Mortgage Association REMICS, Floating Rate Note, 1/25/24 51,985,111 $150,847
Federal National Mortgage Association REMICS, Floating Rate Note, 1/25/33 2,782,000 $87,484
Federal National Mortgage Association REMICS, Floating Rate Note, 1/25/34 10,970,000 $1,561,667
Federal National Mortgage Association REMICS, Floating Rate Note, 10/25/35 1,878,000 $170,972
Federal National Mortgage Association REMICS, Floating Rate Note, 10/25/36 11,844,000 $403,246
Federal National Mortgage Association REMICS, Floating Rate Note, 10/25/38 1,808,000 $173,890
Federal National Mortgage Association REMICS, Floating Rate Note, 10/27/37 1,375,920 $1,248,784
Federal National Mortgage Association REMICS, Floating Rate Note, 11/18/32 24,329,000 $419,369
Federal National Mortgage Association REMICS, Floating Rate Note, 11/25/36 2,248,000 $285,405
Federal National Mortgage Association REMICS, Floating Rate Note, 11/25/39 2,750,000 $426,206
Federal National Mortgage Association REMICS, Floating Rate Note, 12/18/32 16,085,000 $232,427
Federal National Mortgage Association REMICS, Floating Rate Note, 12/25/31 4,375,000 $131,181
Federal National Mortgage Association REMICS, Floating Rate Note, 12/25/32 34,313,143 $646,682
Federal National Mortgage Association REMICS, Floating Rate Note, 12/25/37 5,672,000 $163,959
Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/33 4,696,499 $199,162
Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/35 603,000 $182,253
Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/37 1,940,000 $169,888
Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/37 4,308,000 $155,659
Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/38 624,000 $131,132
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/24 4,129,409 $147,888
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/34 763,500 $186,643
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/34 4,612,000 $277,292
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/35 1,278,000 $216,333
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/36 11,585,646 $1,206,301
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/37 9,250,000 $240,857
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/37 4,100,000 $224,515
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/37 960,000 $123,676
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/37 11,268,506 $241,941
Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/45 6,100,000 $875,157
Federal National Mortgage Association REMICS, Floating Rate Note, 4/25/32 10,133,000 $563,494
Federal National Mortgage Association REMICS, Floating Rate Note, 4/25/32 50,000,000 $585,193
Federal National Mortgage Association REMICS, Floating Rate Note, 4/25/34 644,866 $69,072
Federal National Mortgage Association REMICS, Floating Rate Note, 4/25/36 1,737,000 $301,862
Federal National Mortgage Association REMICS, Floating Rate Note, 5/18/32 31,809,000 $590,778
Federal National Mortgage Association REMICS, Floating Rate Note, 5/25/17 20,000,000 $75,630
Federal National Mortgage Association REMICS, Floating Rate Note, 5/25/33 4,068,000 $97,751
Federal National Mortgage Association REMICS, Floating Rate Note, 5/25/36 6,641,000 $175,894
Federal National Mortgage Association REMICS, Floating Rate Note, 5/25/37 6,826,000 $218,778
Federal National Mortgage Association REMICS, Floating Rate Note, 5/25/40 761,373 $292,900
Federal National Mortgage Association REMICS, Floating Rate Note, 6/25/36 2,317,493 $212,003
Federal National Mortgage Association REMICS, Floating Rate Note, 6/25/37 2,134,162 $243,967
Federal National Mortgage Association REMICS, Floating Rate Note, 6/25/37 1,010,000 $86,222
Federal National Mortgage Association REMICS, Floating Rate Note, 6/25/37 4,600,000 $282,376
Federal National Mortgage Association REMICS, Floating Rate Note, 6/25/38 2,355,000 $127,892
Federal National Mortgage Association REMICS, Floating Rate Note, 7/25/34 1,642,000 $103,179
Federal National Mortgage Association REMICS, Floating Rate Note, 7/25/35 750,000 $151,738
Federal National Mortgage Association REMICS, Floating Rate Note, 7/25/35 3,227,000 $332,870
Federal National Mortgage Association REMICS, Floating Rate Note, 7/25/38 6,812,000 $341,609
Federal National Mortgage Association REMICS, Floating Rate Note, 8/25/36 4,040,000 $415,224
Federal National Mortgage Association REMICS, Floating Rate Note, 8/25/40 692,000 $289,695
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/33 4,915,594 $477,257
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/36 1,275,000 $155,255
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/36 3,447,000 $199,260
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/37 679,000 $79,032
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/37 2,706,000 $293,565
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/37 2,524,000 $100,459
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/37 3,700,000 $317,549
Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/39 683,053 $94,392
FHLMC Structured Pass Through Securities, Floating Rate Note, 12/25/29 12,000,000 $179,044
Fieldstone Mortgage Investment Trust Series 2005-1, Floating Rate Note, 3/25/35 311,000 $85,766
Fieldwood Energy LLC, Closing Date Loan, 9/25/18 986,241 $959,859
Fifth Third Bancorp, Floating Rate Note, 12/20/16 730,000 $727,087
Fifth Third Bank Cincinnati Ohio, 1.15%, 11/18/16 750,000 $751,631
Fifth Third Bank Cincinnati Ohio, Floating Rate Note, 2/26/16 500,000 $501,614
First Franklin Mortgage Loan Trust 2002-FFA, Floating Rate Note, 9/25/32 5,500,000 $246,392
First Franklin Mortgage Loan Trust 2003-FFC, Floating Rate Note, 11/25/32 8,000,000 $386,651
First Franklin Mortgage Loan Trust 2005-FFH3, Floating Rate Note, 9/25/35 1,100,000 $426,927
First Horizon Mortgage Pass-Through Trust 2004-AR1, Floating Rate Note, 2/25/34 1,500,000 $58,182
First Horizon Mortgage Pass-Through Trust 2004-AR5, Floating Rate Note, 10/25/34 940,000 $49,062
First Investors Auto Owner Trust 2012-2, 1.47%, 5/15/18 (144A) 200,000 $24,168
First Investors Auto Owner Trust 2013-1, 1.81%, 10/15/18 (144A) 55,000 $55,265
First Investors Auto Owner Trust 2013-1, 2.02%, 1/15/19 (144A) 200,000 $200,268
First Investors Auto Owner Trust 2013-2, 1.23%, 3/15/19 (144A) 1,048,000 $371,104
First Investors Auto Owner Trust 2013-3, 2.32%, 10/15/19 (144A) 300,000 $303,133
First NLC Trust 2005-2, Floating Rate Note, 9/25/35 3,362,996 $452,837
Flagstar Home Equity Loan Trust 2005-1, Floating Rate Note, 6/25/18 (144A) 4,800,000 $190,505
Flt% 15jun16 250,000 $241,225
Fly Funding II Sarl, Loan, 8/8/18 370,000 $371,311
FMG Resources August 2006 Pty, Ltd., Loan, 6/30/19 73,828 $66,989
Foothill CLO, Ltd., Floating Rate Note, 2/22/21 (144A) 500,000 $174,404
Ford Credit Auto Owner Trust 2013-D, 1.54%, 3/15/19 100,000 $100,262
Ford Credit Auto Owner Trust 2014-A, 0.48%, 11/15/16 260,000 $35,893
Ford Motor Credit Co LLC, 1.7%, 5/9/16 500,000 $503,387
Ford Motor Credit Co LLC, 1.724%, 12/6/17 700,000 $704,429
Ford Motor Credit Co LLC, 2.375%, 1/16/18 250,000 $255,680
Ford Motor Credit Co LLC, 2.875%, 10/1/18 1,000,000 $1,029,169
Ford Motor Credit Co LLC, Floating Rate Note, 9/8/17 750,000 $746,695
Fore CLO, Ltd., Floating Rate Note, 7/20/19 (144A) 250,000 $48,865
Foresight Energy LLC, Term Loan, 8/21/20 67,011 $66,676
Fosse Master Issuer Plc, Floating Rate Note, 10/18/54 100,000 $76,914
Four Corners CLO II, Ltd., Floating Rate Note, 1/26/20 (144A) 553,000 $535,676
Freddie Mac REMICS, Floating Rate Note, 2/15/32 14,441,000 $816,454
Freddie Mac Strips, Floating Rate Note, 12/15/36 2,327,000 $122,434
Freddie Mac Strips, Floating Rate Note, 8/15/36 6,894,664 $303,879
Freddie Mac Structured Agency Credit Risk Debt Notes, Floating Rate Note, 10/25/24 700,000 $414,415
Freddie Mac Structured Agency Credit Risk Debt Notes, Floating Rate Note, 11/25/23 750,000 $526,824
Freddie Mac Structured Agency Credit Risk Debt Notes, Floating Rate Note, 2/25/24 485,000 $432,052
Freddie Mac Structured Agency Credit Risk Debt Notes, Floating Rate Note, 8/25/24 1,430,000 $682,866
FREMF Mortgage Trust 2012-K501, Floating Rate Note, 11/26/46 (144A) 409,000 $419,432
Fresenius US Finance I, Inc., Tranche B Term Loan, 8/7/19 492,500 $492,090
Gale Force 3 Clo, Ltd., Floating Rate Note, 4/19/21 (144A) 500,000 $268,214
Galileo Re, Ltd., Floating Rate Note, 1/9/19 (Cat Bond) (144A) 500,000 $513,897
Garda World Security Corp., Term B Delayed Draw Loan, 11/8/20 122,246 $122,246
Garda World Security Corp., Term B Loan, 11/1/20 477,869 $477,869
Gator Re, Ltd., Floating Rate Note, 1/9/17 (Cat Bond) (144A) 600,000 $547,341
GATX Corp., 1.25%, 3/4/17 750,000 $749,830
GCAT 2015-1 LLC, 3.625%, 5/26/20 (Step) (144A) 300,000 $300,000
Gci Holdings Inc 1st Lien Tl-B L + 3.75% 22dec21 375,000 $378,750
GE Business Loan Trust 2003-1, Floating Rate Note, 4/15/31 (144A) 10,972,000 $372,733
GE Business Loan Trust 2003-2 REMICS, Floating Rate Note, 11/15/31 (144A) 1,409,576 $121,769
GE Business Loan Trust 2004-2, Floating Rate Note, 12/15/32 (144A) 2,833,274 $343,138
GE Business Loan Trust 2005-1, Floating Rate Note, 6/15/33 (144A) 1,692,482 $687,973
GE Business Loan Trust 2006-2, Floating Rate Note, 11/15/34 (144A) 1,920,423 $637,680
GE Business Loan Trust 2007-1, Floating Rate Note, 4/16/35 (144A) 1,550,000 $585,983
GE Capital Commercial Mortgage Corp., Floating Rate Note, 7/10/45 490,000 $115,174
GE Capital Commercial Mortgage Corp., Floating Rate Note, 7/10/45 (144A) 500,000 $503,565
GE Dealer Floorplan Master Note Trust, Floating Rate Note, 10/20/17 256,000 $256,067
General Electric Capital Corp., Floating Rate Note, 5/15/17 750,000 $752,433
General Electric Capital Corp., Floating Rate Note, 7/12/16 296,000 $298,482
General Electric Capital Corp., Floating Rate Note, 8/1/17 500,000 $508,324
General Mills, Inc., 0.875%, 1/29/16 250,000 $251,031
Georgia Power Co., Floating Rate Note, 3/15/16 827,000 $827,772
Georgia Power Co., Floating Rate Note, 8/15/16 500,000 $499,629
GLC Trust 2013-1, 3.0%, 7/15/21 (144A) 1,000,000 $643,644
Glencore Funding LLC, Floating Rate Note, 5/27/16 (144A) 1,000,000 $1,003,081
Global Container Assets 2013-1, Ltd., 2.2%, 11/6/28 (144A) 750,000 $381,091
Global Mortgage Securitization, Ltd., 5.25%, 4/25/32 795,156 $214,368
Global Mortgage Securitization, Ltd., Floating Rate Note, 4/25/32 8,633,000 $674,824
GMAC Commercial Mortgage Securities Inc Series 2004-C2 Trust, Floating Rate Note, 8/10/38 1,465,000 $9,991
GMAC Commercial Mortgage Securities Inc Series 2006-C1 Trust, Floating Rate Note, 11/10/45 2,370,000 $1,463,253
GMACM Mortgage Loan Trust 2004-AR1, Floating Rate Note, 6/25/34 2,100,000 $193,939
GMAT 2013-1 Trust, 3.9669%, 8/25/53 (Step) 1,505,000 $959,351
Golden State RE II, Ltd., Floating Rate Note, 1/8/19 (Cat Bond) (144A) 750,000 $749,850
Government National Mortgage Association, 3.0%, 12/20/38 1,000,000 $110,004
Government National Mortgage Association, 3.0%, 12/20/38 5,000,000 $1,015,104
Government National Mortgage Association, 3.0%, 4/20/41 300,000 $235,417
Government National Mortgage Association, 3.5%, 5/20/39 1,025,000 $471,587
Government National Mortgage Association, 3.5%, 8/20/38 1,115,000 $314,298
Government National Mortgage Association, 5.0%, 4/20/36 850,000 $88,528
Government National Mortgage Association, 5.0%, 9/20/31 6,000,000 $302,666
Government National Mortgage Association, 5.25%, 5/20/31 14,313,000 $68,312
Government National Mortgage Association, Floating Rate Note, 1/16/35 2,563,000 $253,629
Government National Mortgage Association, Floating Rate Note, 1/16/40 2,000,000 $618,070
Government National Mortgage Association, Floating Rate Note, 2/16/30 14,415,492 $200,614
Government National Mortgage Association, Floating Rate Note, 2/20/35 2,059,000 $251,933
Government National Mortgage Association, Floating Rate Note, 2/20/38 2,477,000 $190,497
Government National Mortgage Association, Floating Rate Note, 4/16/31 12,627,242 $243,634
Government National Mortgage Association, Floating Rate Note, 4/16/32 10,000,000 $133,989
Government National Mortgage Association, Floating Rate Note, 4/16/32 33,333,000 $574,520
Government National Mortgage Association, Floating Rate Note, 8/20/35 1,177,000 $51,824
Government National Mortgage Association, Floating Rate Note, 8/20/40 1,000,000 $498,399
Government National Mortgage Association, Floating Rate Note, 9/20/33 704,000 $32,829
Government National Mortgage Association I, 5.0%, 8/15/19 1,347,915 $310,513
Government National Mortgage Association I, 6.0%, 11/15/36 2,000,000 $181,661
Government National Mortgage Association I, 6.0%, 12/15/31 1,500,000 $63,894
Government National Mortgage Association I, 6.0%, 3/15/17 10,311,138 $115,340
Government National Mortgage Association I, 6.5%, 10/15/37 400,000 $39,158
Government National Mortgage Association I, 6.5%, 5/15/31 3,183,996 $38,867
Government National Mortgage Association I, 6.5%, 7/15/35 328,670 $8,311
Government National Mortgage Association I, 7.5%, 10/15/36 1,000,000 $61,071
Government National Mortgage Association II, 6.0%, 10/20/21 3,113,223 $370,864
Government National Mortgage Association II, 6.0%, 11/20/22 1,986,670 $244,242
Government National Mortgage Association II, 6.0%, 4/20/22 1,262,566 $174,321
Government National Mortgage Association II, 6.0%, 8/20/19 2,911,151 $126,565
Government National Mortgage Association REMICS, 2.0%, 1/16/46 3,000,000 $2,916,146
Government National Mortgage Association REMICS, 4.0%, 9/20/37 4,000,000 $2,544,095
GP Portfolio Trust 2014-GGP, Floating Rate Note, 2/16/27 (144A) 1,000,000 $1,000,702
Gracechurch Card Funding Plc, Floating Rate Note, 6/15/17 (144A) 300,000 $300,158
Gray Television Inc. 1st Lien Tl L + 3% 10jun21 801,032 $803,619
GreenPoint Mortgage Funding Trust 2005-HE1, Floating Rate Note, 9/25/34 297,570 $25,498
GSAA Home Equity Trust 2004-6, Floating Rate Note, 6/25/34 15,032,940 $345,805
GSAA Home Equity Trust 2005-11, Floating Rate Note, 10/25/35 1,022,000 $16,852
GSAA Trust, Floating Rate Note, 6/25/35 440,000 $291,007
GSAA Trust, Floating Rate Note, 6/25/35 1,900,000 $394,098
GSAMP Trust 2005-HE1, Floating Rate Note, 12/25/34 1,210,753 $89,420
GSAMP Trust 2006-SEA1, Floating Rate Note, 5/25/36 (144A) 5,518,315 $335,786
GS Caltex Corp., 3.25%, 10/1/18 (144A) 500,000 $514,762
GS Mortgage Securities Trust 2006-GG6 REMICS, Floating Rate Note, 4/10/38 1,020,000 $1,033,231
GS Mortgage Securities Trust 2014-GSFL, Floating Rate Note, 7/15/31 (144A) 495,000 $496,400
GSR Mortgage Loan Trust 2003-9, Floating Rate Note, 8/25/33 4,000,000 $245,112
GSR Mortgage Loan Trust 2004-7, Floating Rate Note, 6/25/34 4,189,737 $463,205
GSRPM Mortgage Loan Trust 2003-2, Floating Rate Note, 6/25/33 393,823 $208,353
GSRPM Mortgage Loan Trust 2006-1, Floating Rate Note, 3/25/35 (144A) 1,201,850 $155,634
GSRPM Mortgage Loan Trust 2006-2, Floating Rate Note, 9/25/36 (144A) 1,226,000 $148,553
GTP Acquisition Partners I LLC, 2.35%, 6/15/20 (144A) 1,000,000 $1,003,161
Halyard Health Inc 1st Lien Tl-B L + 3.25% 03oct21 260,788 $263,592
HarborView Mortgage Loan Trust 2004-1, Floating Rate Note, 4/19/34 3,987,000 $171,668
Harley-Davidson Financial Services, Inc., 1.15%, 9/15/15 (144A) 700,000 $702,922
Harley-Davidson Financial Services, Inc., 3.875%, 3/15/16 (144A) 175,000 $180,811
Health Care Real Estate Investment Trust, Inc., 2.25%, 3/15/18 500,000 $508,968
Hertz Fleet Lease Funding LP, Floating Rate Note, 4/10/28 (144A) 300,000 $286,339
Hess Corp., 1.3%, 6/15/17 750,000 $749,964
Hilton Grand Vacations Trust 2014-A, 2.07%, 11/25/26 (144A) 750,000 $586,798
Hilton USA Trust 2013-HLF, Floating Rate Note, 11/5/30 (144A) 985,000 $971,907
Hilton USA Trust 2013-HLF, Floating Rate Note, 11/5/30 (144A) 500,000 $493,816
Hilton Worldwide Finance LLC, Initial Term Loan, 9/23/20 358,684 $359,705
HLSS Servicer Advance Receivables Trust, 1.4953%, 1/16/46 (144A) 1,706,000 $1,705,428
HLSS Servicer Advance Receivables Trust, 1.7436%, 1/16/46 (144A) 250,000 $250,244
HLSS Servicer Advance Receivables Trust, 4.94%, 10/15/45 (144A) 350,000 $350,803
Holmes Master Issuer Plc, Floating Rate Note, 10/15/54 (144A) 250,000 $261,252
HomeBanc Mortgage Trust 2005-2, Floating Rate Note, 5/25/25 6,015,011 $125,855
Home Equity Asset Trust 2006-4, Floating Rate Note, 8/25/36 253,896 $55,447
Home Equity Asset Trust 2006-8, Floating Rate Note, 3/25/37 1,394,318 $309,066
Home Equity Mortgage Trust, 5.821%, 4/25/35 (Step) 1,000,000 $245,903
Home Equity Mortgage Trust 2005-2, Floating Rate Note, 7/25/35 1,113,955 $93,652
Home Loan Trust 2003-HI1, 5.77%, 4/25/28 (Step) 1,500,000 $81,610
Homestar Mortgage Acceptance Corp., Floating Rate Note, 1/25/35 3,700,000 $268,395
Homestar Mortgage Acceptance Corp., Floating Rate Note, 3/25/34 25,588,000 $1,393,903
Homestar Mortgage Acceptance Corp., Floating Rate Note, 6/25/34 3,670,962 $276,393
Homestar Mortgage Acceptance Corp., Floating Rate Note, 7/25/34 2,600,000 $203,572
Honda Auto Receivables 2013-2 Owner Trust, 0.53%, 2/16/17 285,000 $180,031
Horizon Funding Trust 2013-1, 3.0%, 5/15/18 (144A) 585,000 $166,915
HSBC Bank Middle East, Ltd., 3.0%, 10/21/15 750,000 $757,150
HSBC Bank Plc, 3.5%, 6/28/15 (144A) 750,000 $763,023
HSBC Home Equity Loan Trust USA 2006-3, Floating Rate Note, 3/20/36 1,905,000 $1,278,354
HSBC USA, Inc., Floating Rate Note, 6/23/17 750,000 $748,594
HSI Asset Securitization Corp Trust 2006-OPT1, Floating Rate Note, 12/25/35 450,623 $122,670
Huntsman International LLC, 2014-1 Incremental Term Loan, 9/30/21 548,625 $551,197
Hyundai Auto Receivables Trust 2014-B, 2.1%, 11/15/19 500,000 $501,355
Hyundai Capital America, 1.875%, 8/9/16 (144A) 500,000 $507,483
Hyundai Capital America, 3.75%, 4/6/16 (144A) 1,375,000 $1,412,523
Ibis Re II, Ltd., Floating Rate Note, 6/28/16 (144A) 250,000 $250,525
Ibis Re II, Ltd., Floating Rate Note, 6/28/16 (Cat Bond) (144A) 500,000 $501,472
Impac CMB Trust Series 2004-4, Floating Rate Note, 9/25/34 32,445,000 $1,297,520
Impac CMB Trust Series 2004-4, Floating Rate Note, 9/25/34 14,479,489 $579,229
Impac CMB Trust Series 2004-6, Floating Rate Note, 10/25/34 2,125,000 $102,165
Impac CMB Trust Series 2004-8, Floating Rate Note, 8/25/34 590,000 $62,871
Impac CMB Trust Series 2005-4, Floating Rate Note, 5/25/35 3,189,000 $310,125
Impac Secured Assets CMN Owner Trust, Floating Rate Note, 2/25/35 4,622,000 $1,150,589
Impac Secured Assets Trust 2006-1, Floating Rate Note, 5/25/36 1,300,000 $403,846
Impac Secured Assets Trust 2006-2, Floating Rate Note, 8/25/36 1,173,000 $216,528
Impac Secured Assets Trust 2006-5, Floating Rate Note, 12/25/36 2,600,000 $514,668
IndyMac INDX Mortgage Loan Trust 2004-AR6, Floating Rate Note, 10/25/34 675,000 $67,892
Intel Corp., 1.35%, 12/15/17 700,000 $708,488
International Equipment Solutions LLC, Initial Loan, 8/16/19 29,113 $29,204
Intesa Sanpaolo S.p.A., 3.125%, 1/15/16 500,000 $511,881
Intesa Sanpaolo S.p.A., 3.625%, 8/12/15 (144A) 1,375,000 $1,396,960
Invitation Homes 2013-SFR1 Trust, Floating Rate Note, 12/19/30 (144A) 750,000 $752,060
Invitation Homes 2014-SFR2 Trust, Floating Rate Note, 9/18/31 (144A) 600,000 $602,177
Inwood Park CDO, Ltd., Floating Rate Note, 1/20/21 (144A) 1,000,000 $239,466
Irwin Home Equity Loan Trust 2005-1, 5.32%, 6/25/35 (Step) 900,000 $81,112
Irwin Whole Loan Home Equity Trust 2003-C, Floating Rate Note, 6/25/28 2,350,000 $466,081
Irwin Whole Loan Home Equity Trust 2003-C, Floating Rate Note, 6/25/28 1,923,500 $112,220
Irwin Whole Loan Home Equity Trust 2003-D, Floating Rate Note, 11/25/28 2,250,000 $178,596
Irwin Whole Loan Home Equity Trust 2005-B, Floating Rate Note, 12/25/29 1,775,000 $851,591
IXIS Real Estate Capital Trust 2005-HE4, Floating Rate Note, 2/25/36 250,000 $34,086
Jarden Corp., Tranche B1 Term Loan, 9/30/20 246,250 $247,770
JBS USA LLC, Incremental Term Loan, 9/18/20 197,000 $197,369
John Deere Capital Corp., 1.05%, 10/11/16 1,098,000 $1,105,174
John Deere Capital Corp., 1.05%, 12/15/16 750,000 $756,904
John Deere Capital Corp., Floating Rate Note, 10/11/16 1,090,000 $1,093,306
Johnson Controls, Inc., 1.4%, 11/2/17 700,000 $700,322
JPMorgan Chase & Co., 1.1%, 10/15/15 492,000 $493,189
JPMorgan Chase & Co., 3.4%, 6/24/15 265,000 $269,367
JPMorgan Chase & Co., Floating Rate Note, 2/15/17 500,000 $501,157
JPMorgan Chase & Co., Floating Rate Note, 2/25/21 500,000 $498,811
JPMorgan Chase & Co., Floating Rate Note, 2/26/16 320,000 $320,776
JP Morgan Chase Commercial Mortgage Securities Trust 2004-LN2, Floating Rate Note, 7/15/41 637,677 $70,292
JP Morgan Chase Commercial Mortgage Securities Trust 2005-LDP2, 4.78%, 7/15/42 1,150,000 $479,372
JP Morgan Chase Commercial Mortgage Securities Trust 2005-LDP3, Floating Rate Note, 8/15/42 800,000 $805,206
JP Morgan Chase Commercial Mortgage Securities Trust 2005-LDP3 REMICS, Floating Rate Note, 8/15/42 440,000 $140,214
JP Morgan Chase Commercial Mortgage Securities Trust 2005-LDP4, Floating Rate Note, 10/15/42 500,000 $504,851
JP Morgan Chase Commercial Mortgage Securities Trust 2005-LDP5, Floating Rate Note, 12/15/44 1,920,000 $1,277,072
JP Morgan Chase Commercial Mortgage Securities Trust 2006-FL2, Floating Rate Note, 11/15/18 (144A) 550,000 $177,627
JP Morgan Chase Commercial Mortgage Securities Trust 2006-FL2, Floating Rate Note, 11/15/18 (144A) 2,550,000 $479,329
JP Morgan Chase Commercial Mortgage Securities Trust 2006-LDP6, Floating Rate Note, 4/15/43 500,000 $514,539
JP Morgan Chase Commercial Mortgage Securities Trust 2006-LDP9, Floating Rate Note, 5/15/47 250,000 $91,366
JP Morgan Chase Commercial Mortgage Securities Trust 2007-CIBC19, Floating Rate Note, 2/12/49 475,000 $4,932
JP Morgan Chase Commercial Mortgage Securities Trust 2014-BXH, Floating Rate Note, 4/15/27 (144A) 1,670,000 $1,670,287
JP Morgan Chase Commercial Mortgage Securities Trust 2014-CBM, Floating Rate Note, 10/15/29 (144A) 510,000 $512,673
JP Morgan Chase Commercial Mortgage Securities Trust 2014-FBLU, Floating Rate Note, 12/15/28 (144A) 945,000 $946,859
JP Morgan Chase Commercial Mortgage Securities Trust 2014-FBLU REMICS, Floating Rate Note, 12/15/28 1,030,000 $1,031,501
JP Morgan Chase Commercial Mortgage Securities Trust 2014-FL4, Floating Rate Note, 12/16/30 (144A) 410,000 $410,651
JP Morgan Chase Commercial Mortgage Securities Trust 2014-FL5, Floating Rate Note, 7/15/31 (144A) 490,000 $488,996
JP Morgan Chase Commercial Mortgage Securities Trust 2014-FL5 REMICS, Floating Rate Note, 7/15/31 (1 650,000 $648,110
JP Morgan Chase Commercial Mortgage Securities Trust 2014-FL6, Floating Rate Note, 11/17/31 (144A) 1,170,000 $1,169,938
JP Morgan Chase Commercial Mortgage Securities Trust 2014-INN, Floating Rate Note, 6/15/29 (144A) 650,000 $647,933
JP Morgan Chase Commercial Mortgage Securities Trust 2014-INN, Floating Rate Note, 6/15/29 (144A) 900,000 $898,289
JP Morgan Chase Commercial Mortgage Securities Trust 2014-PHH, Floating Rate Note, 8/16/27 (144A) 1,100,000 $1,099,776
JP Morgan Chase Commercial Mortgage Securities Trust 2015-COSMO, Floating Rate Note, 1/15/32 (144A) 700,000 $702,540
JP Morgan Mortgage Acquisition Trust 2006-ACC1, Floating Rate Note, 5/25/36 704,088 $166,304
JP Morgan Mortgage Trust 2004-A1, Floating Rate Note, 2/25/34 3,584,000 $311,623
JP Morgan Mortgage Trust 2004-S1, 5.0%, 9/25/34 3,504,124 $157,790
JP Morgan Mortgage Trust 2005-A3, Floating Rate Note, 6/25/35 6,041,179 $535,620
JP Morgan Mortgage Trust 2006-S3, 6.0%, 8/25/36 1,036,158 $464
Kane Flt% 12jun15 600,000 $599,580
Kane Ilw Zero% 02feb16 250,000 $237,225
Kane Sac, Ltd., 0.0%, 1/7/16 (Cat Bond) 210,250 $211,743
Kane Sac, Ltd., 0.0%, 1/7/16 (Cat Bond) 444,667 $446,757
Kane Sac, Ltd., 0.0%, 1/7/16 (Cat Bond) 458,833 $460,393
Kane Sac, Ltd., 0.0%, 1/7/16 (Cat Bond) 685,125 $689,784
Kane Zero% 29apr16 800,000 $834,240
KeyBank NA Cleveland Ohio, 1.1%, 11/25/16 500,000 $500,658
KeyBank NA Cleveland Ohio, 1.65%, 2/1/18 1,000,000 $1,008,558
KeyCorp, 3.75%, 8/13/15 931,000 $947,054
Kilimanjaro Re, Ltd., Floating Rate Note, 11/25/19 (Cat Bond) (144A) 750,000 $746,138
Kilimanjaro Re, Ltd., Floating Rate Note, 4/30/18 (Cat Bond) (144A) 350,000 $351,969
Kilimanjaro Re, Ltd., Floating Rate Note, 4/30/18 (Cat Bond) (144A) 650,000 $652,307
Kinder Morgan, Inc. Delaware, 2.0%, 12/1/17 700,000 $708,754
Kindred Healthcare 1st Lien Tl-B L + 3% 10apr21 274,309 $276,023
Kinetic Concepts, Inc., Dollar Term E-1 Loan, 5/4/18 748,106 $754,496
Kizuna Re II, Ltd., Floating Rate Note, 4/6/18 (Cat Bond) (144A) 450,000 $452,121
KKR Financial CLO 2007-1, Ltd., Floating Rate Note, 5/15/21 (144A) 375,000 $371,342
L-3 Communications Corp., 1.5%, 5/28/17 586,000 $581,320
La Hipotecaria Panamanian Mortgage Trust 2007-1, Floating Rate Note, 12/23/36 (144A) 1,400,000 $624,952
Lanark Master Issuer Plc, Floating Rate Note, 12/22/54 (144A) 250,000 $226,672
LB-UBS Commercial Mortgage Trust 2004-C1, 4.568%, 1/15/31 275,000 $29,370
LB-UBS Commercial Mortgage Trust 2005-C7 REMICS, Floating Rate Note, 11/15/30 2,455,809 $61,277
LB-UBS Commercial Mortgage Trust 2006-C1 REMICS, 5.156%, 2/15/31 1,615,000 $1,396,352
Leaf Receivables Funding 8 LLC, 1.55%, 11/15/17 (144A) 195,000 $98,533
Leaf Receivables Funding 8 LLC, 2.67%, 9/15/20 (144A) 311,966 $313,968
Lehman ABS Manufactured Housing Contract Trust 2002-A, Floating Rate Note, 6/15/33 19,804,000 $759,739
Lehman Brothers Small Balance Commercial, Floating Rate Note, 2/25/30 (144A) 4,631,000 $586,390
Lehman Brothers Small Balance Commercial, Floating Rate Note, 4/25/31 (144A) 3,723,496 $436,458
Lehman Brothers Small Balance Commercial, Floating Rate Note, 4/25/31 (144A) 2,843,000 $435,669
Lehman Brothers Small Balance Commercial, Floating Rate Note, 9/25/30 (144A) 3,264,773 $496,138
Lehman Brothers Small Balance Commercial Mortgage Trust 2007-3, Floating Rate Note, 10/25/37 (144A) 466,904 $290,734
Lehman Brothers Small Balance Commercial Mortgage Trust 2007-3, Floating Rate Note, 10/25/37 (144A) 885,400 $187,078
Level 3 Financing Inc 1st Lien Tl-B2 L + 2.75% 31may22 225,000 $224,494
Lincoln National Corp., 4.3%, 6/15/15 250,000 $255,289
Live Nation Entertainment, Inc., Term B-1 Loan, 8/17/20 510,230 $511,395
Longpoint Re, Ltd., Floating Rate Note, 6/12/15 (Cat Bond) (144A) 900,000 $912,360
Longpoint Re, Ltd. III, Floating Rate Note, 5/18/16 (Cat Bond) (144A) 500,000 $502,075
Longpoint Re, Ltd. III, Floating Rate Note, 5/24/21 (Cat Bond) (144A) 250,000 $249,275
LPL Holdings, Inc., 2013 Incremental Tranche B Term Loan, 3/29/19 145,530 $145,756
LSTAR Securities Investment Trust 2015-5, Floating Rate Note, 4/1/20 (144A) 1,275,000 $1,251,730
MacDermid, Inc., Tranche B Term Loan (First Lien), 6/7/20 1,244,934 $1,252,714
Madison Avenue Manufactured Housing Contract Trust 2002-A, Floating Rate Note, 3/25/32 1,100,000 $204,628
MALLINCKRODT INTERNATIONAL FINANCE SA, Initial Term B Loan, 3/6/21 297,000 $297,162
Manufacturers & Traders Trust Co., Floating Rate Note, 1/30/17 500,000 $500,302
Manufacturers & Traders Trust Co., Floating Rate Note, 7/25/17 1,000,000 $996,237
Marathon Oil Corp., 0.9%, 11/1/15 1,496,000 $1,496,637
Marriott Vacation Club Owner Trust 2012-1, 3.5%, 5/20/30 (144A) 845,000 $389,548
Massachusetts Development Finance Agency, Floating Rate Note, 2/15/36 250,000 $256,746
Massachusetts Port Authority, 5.0%, 7/1/16 475,000 $506,955
MASTR Alternative Loan Trust 2005-1, Floating Rate Note, 2/25/35 6,760,000 $484,412
Mastr Asset Backed Securities Trust 2005-WMC1, Floating Rate Note, 3/25/35 215,000 $38,582
Mastr Asset Backed Securities Trust 2006-AB1 REMICS, Floating Rate Note, 2/25/36 3,670,545 $556,080
Mastr Asset Backed Securities Trust 2006-NC1, Floating Rate Note, 1/25/36 1,567,646 $138,577
MASTR Asset Securitization Trust 2003-6, Floating Rate Note, 7/25/18 2,444,000 $57,459
Mastr Specialized Loan Trust, Floating Rate Note, 1/25/36 (144A) 3,644,114 $266,911
McKesson Corp., Floating Rate Note, 9/10/15 235,000 $235,415
Mediacom Illinois LLC, Tranche F Term Loan, 3/31/18 396,000 $395,670
Medtronic, Inc., 4.75%, 9/15/15 460,000 $470,504
Merna Re V, Ltd., Floating Rate Note, 4/7/17 (Cat Bond) (144A) 650,000 $649,054
Merrill Lynch Mortgage Investors Trust Series 2005-2, Floating Rate Note, 10/25/35 1,543,473 $352,283
Merrill Lynch Mortgage Investors Trust Series 2005-A3, Floating Rate Note, 4/25/35 10,415,000 $1,119,789
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-A, Floating Rate Note, 3/25/28 15,000,000 $618,234
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-A, Floating Rate Note, 3/25/28 10,213,000 $309,731
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-B, Floating Rate Note, 4/25/28 9,700,000 $416,476
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-C, Floating Rate Note, 6/25/28 9,455,006 $304,922
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-C REMICS, Floating Rate Note, 6/25/28 10,150,000 $444,313
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-E, Floating Rate Note, 10/25/28 8,393,000 $362,988
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-G, Floating Rate Note, 1/25/29 3,592,000 $50,249
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-H, Floating Rate Note, 1/25/29 6,910,000 $352,325
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-A REMICS, Floating Rate Note, 4/25/29 9,857,948 $485,497
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-C, Floating Rate Note, 7/25/29 10,014,000 $438,797
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-E, Floating Rate Note, 11/25/29 9,305,000 $473,207
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-G, Floating Rate Note, 1/25/30 16,956,975 $663,483
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-G, Floating Rate Note, 1/25/30 3,771,000 $225,228
Merrill Lynch Mortgage Investors Trust Series MLCC 2005-A, Floating Rate Note, 3/25/30 7,567,883 $419,030
Merrill Lynch Mortgage Trust 2005-CIP1, Floating Rate Note, 7/12/38 630,000 $79,830
Merrill Lynch Mortgage Trust 2005-CKI1, Floating Rate Note, 11/12/37 2,360,000 $1,176,803
Merrill Lynch Mortgage Trust 2005-LC1, Floating Rate Note, 1/12/44 1,670,000 $1,442,791
MetroCat Re, Ltd., Floating Rate Note, 8/5/16 (Cat Bond) (144A) 400,000 $404,870
Metropolitan Life Global Funding I, Floating Rate Note, 7/15/16 (144A) 300,000 $301,781
Metropolitan Life Insurance Co., 7.7%, 11/1/15 (144A) 1,250,000 $1,290,878
MGM Resorts International, Term B Loan, 12/20/19 342,125 $342,339
Micro Focus Us Inc 1st Lien Tl-B L + 4.25% 07oct21 352,941 $354,391
Micron Semiconductor Asia Pte, Ltd., 1.258%, 1/15/19 500,000 $401,855
Milacron Llc 1st Lien Tl-B L + 3.5% 28sep20 495,000 $498,094
ML-CFC Commercial Mortgage Trust 2006-1, Floating Rate Note, 2/12/39 1,600,000 $1,470,046
Monsanto Co., 1.15%, 6/30/17 1,000,000 $1,001,595
Morgan Stanley, Floating Rate Note, 1/5/18 750,000 $754,266
Morgan Stanley, Floating Rate Note, 11/9/18 275,000 $289,915
Morgan Stanley, Floating Rate Note, 2/25/16 500,000 $503,605
Morgan Stanley, Floating Rate Note, 6/6/16 500,000 $503,825
Morgan Stanley ABS Capital I Inc Trust 2004-SD3, Floating Rate Note, 6/25/34 (144A) 13,470,000 $415,778
Morgan Stanley ABS Capital I Inc Trust 2005-NC2, Floating Rate Note, 3/25/35 627,000 $355,917
Morgan Stanley ABS Capital I Inc Trust 2005-WMC5, Floating Rate Note, 6/25/35 820,000 $102,461
Morgan Stanley Capital I Trust 2005-HQ6 REMICS, Floating Rate Note, 8/13/42 1,250,000 $137,384
Morgan Stanley Capital I Trust 2005-IQ10, Floating Rate Note, 9/15/42 915,000 $126,301
Morgan Stanley Capital I Trust 2005-TOP19, 4.89%, 6/12/47 1,940,000 $156,324
Morgan Stanley Capital I Trust 2006-HQ9, Floating Rate Note, 7/12/44 600,000 $628,542
Morgan Stanley Capital I Trust 2006-TOP21, Floating Rate Note, 10/12/52 1,435,000 $1,451,469
Morgan Stanley Capital I Trust 2006-TOP23, Floating Rate Note, 8/12/41 650,000 $608,193
Morgan Stanley Capital I Trust 2015-XLF1, Floating Rate Note, 8/14/31 (144A) 500,000 $501,009
Morgan Stanley Dean Witter Capital I Trust 2001-TOP3, 6.79%, 7/15/33 460,000 $59,747
Morgan Stanley Home Equity Loan Trust 2005-4, Floating Rate Note, 9/25/35 1,558,243 $592,463
Morgan Stanley Mortgage Loan Trust 2005-5AR, Floating Rate Note, 9/25/35 9,387,000 $684,792
Morgan Stanley Mortgage Loan Trust 2005-6AR, Floating Rate Note, 11/25/35 3,786,000 $342,949
Morgan Stanley Mortgage Loan Trust 2005-6AR, Floating Rate Note, 11/25/35 2,941,000 $393,133
MortgageIT Trust 2004-1, Floating Rate Note, 11/25/34 4,767,000 $571,936
MortgageIT Trust 2004-2, Floating Rate Note, 12/25/34 5,310,000 $741,060
Motor 2013-1 Plc, Floating Rate Note, 2/25/21 (144A) 466,000 $15,538
Mpg Holdco I Inc 1st Lien Tl-B L + 3.5% 13oct21 488,341 $490,067
MRFC Mortgage Pass-Through Trust Series 1999-TBC2 REMICS, Floating Rate Note, 6/15/30 3,714,390 $196,347
MUFG Union Bank NA, 2.625%, 9/26/18 1,000,000 $1,031,401
MUFG Union Bank NA, Floating Rate Note, 9/26/16 1,450,000 $1,459,122
MVW Owner Trust 2014-1, 2.7%, 9/20/31 (144A) 750,000 $644,817
Mythen Re, Ltd. Series 2012-2 Class A, Floating Rate Note, 1/5/17 (Cat Bond) (144A) 500,000 $526,069
Mythen Re, Ltd. Series 2013-1 Class B, Floating Rate Note, 7/9/15 (Cat Bond) (144A) 700,000 $709,574
National City Bank Cleveland Ohio, Floating Rate Note, 12/15/16 250,000 $249,610
National Oilwell Varco, Inc., 1.35%, 12/1/17 775,000 $776,583
National Rural Utilities Cooperative Finance Corp., Floating Rate Note, 11/23/16 500,000 $500,429
Nations Equipment Finance Funding II LLC, 3.276%, 1/22/19 (144A) 500,000 $479,099
Navios Maritime Partners LP, Term Loan, 6/27/18 435,775 $437,772
Navistar, Inc., Tranche B Term Loan, 8/17/17 400,000 $402,500
Navitas Equipment Receivables LLC 2013-1, 3.63%, 2/15/17 650,000 $652,765
Navitas Equipment Receivables LLC 2015-1, 3.4%, 11/15/18 (144A) 500,000 $501,647
NCF Dealer Floorplan Master Trust, Floating Rate Note, 10/20/20 (144A) 750,000 $750,419
NCUA Guaranteed Notes Trust REMICS, 1.6%, 10/29/20 500,000 $100,988
NCUA Guaranteed Notes Trust REMICS, Floating Rate Note, 3/2/21 800,000 $336,463
New Century Home Equity Loan Trust 2005-1, Floating Rate Note, 3/25/35 2,101,000 $332,003
NewStar Commercial Loan Trust 2007-1, Floating Rate Note, 9/30/22 (144A) 500,000 $197,319
New York Life Global Funding, 1.125%, 3/1/17 (144A) 500,000 $502,758
New York Life Global Funding, 1.45%, 12/15/17 (144A) 750,000 $758,855
New York Life Global Funding, Floating Rate Note, 10/29/15 (144A) 750,000 $750,010
New York Life Global Funding, Floating Rate Note, 5/23/16 (144A) 1,050,000 $1,053,738
Nissan Auto Lease Trust 2013-B, Floating Rate Note, 1/15/16 240,000 $13,283
Nissan Motor Acceptance Corp., 2.65%, 9/26/18 (144A) 1,000,000 $1,033,233
Nissan Motor Acceptance Corp., Floating Rate Note, 3/3/17 (144A) 500,000 $502,928
Nn Inc 1st Lien Tl-B L + 5% 18jul21 389,286 $391,714
Nomura Asset Acceptance Corp Alternative Loan Trust Series 2003-A3, 5.5%, 8/25/33 (Step) 3,120,000 $182,119
Nord Anglia Education Finance Llc 1st Lien Tl-B L + 3.5% 21mar21 748,111 $751,384
Nordea Bank AB, Floating Rate Note, 5/13/16 (144A) 250,000 $251,039
Nordea Bank Finland Plc New York, Floating Rate Note, 6/13/16 1,000,000 $1,001,165
North American Development Bank, 2.3%, 10/10/18 650,000 $664,337
Northshore Re, Ltd., Floating Rate Note, 7/5/16 (Cat Bond) (144A) 500,000 $516,492
NorthStar 2013-1, Floating Rate Note, 8/27/29 (144A) 778,000 $567,255
NovaStar Mortgage Funding Trust Series 2004-3, Floating Rate Note, 12/25/34 560,000 $532,176
NovaStar Mortgage Funding Trust Series 2004-4, Floating Rate Note, 3/25/35 1,457,000 $1,432,926
NovaStar Mortgage Funding Trust Series 2004-4, Floating Rate Note, 3/25/35 300,000 $77,475
NSG Holdings LLC, New Term Loan, 12/11/19 191,883 $192,123
NSTAR Electric Co., Floating Rate Note, 5/17/16 341,000 $340,935
NYSE Holdings LLC, 2.0%, 10/5/17 150,000 $152,328
Oak Hill Advisors Residential Loan Trust 2014-NPL1, 2.8828%, 5/25/54 (Step) (144A) 520,000 $289,930
On Assignment, Inc., Initial Term B Loan, 5/15/20 171,522 $171,736
Ooredoo International Finance, Ltd., 3.375%, 10/14/16 (144A) 500,000 $514,542
Opteum Mortgage Acceptance Corp Trust 2005-4, Floating Rate Note, 11/25/35 7,189,000 $1,256,962
Option One Mortgage Loan Trust 2005-4 Asset-Backed Certificates Series 2005-4, Floating Rate Note, 1 5,875,000 $388,730
Option One Woodbridge Loan Trust 2002-1, Floating Rate Note, 3/25/32 (144A) 1,370,736 $187,632
Oracle Corp., 2.25%, 10/8/19 300,000 $305,236
Oracle Corp., 2.375%, 1/15/19 500,000 $516,463
Oracle Corp., Floating Rate Note, 7/7/17 575,000 $576,463
Orange Lake Timeshare Trust 2012-A, 4.87%, 3/10/27 (144A) 600,000 $251,908
Orbital ATK, Inc., Term B Loan, 10/22/20 197,252 $197,784
ORES 2014-LV3 LLC, 3.0%, 3/27/24 (144A) 550,000 $277,675
ORES NPL 2013-LV2 LLC, 3.081%, 9/25/25 (144A) 430,000 $124,586
Origen Manufactured Housing Contract Trust 2004-A, Floating Rate Note, 1/15/35 600,000 $233,402
Origen Manufactured Housing Contract Trust 2004-B, Floating Rate Note, 11/15/35 460,000 $353,468
Origen Manufactured Housing Contract Trust 2005-A, Floating Rate Note, 6/15/36 250,000 $222,380
Oscar US Funding Trust 2014-1, 1.0%, 8/15/17 (144A) 700,000 $641,703
Outfront Media Capital LLC, Term Loan, 1/15/21 350,000 $349,956
PACCAR Financial Corp., Floating Rate Note, 6/6/17 485,000 $485,808
Pangaea Zero% 01jul18 700,000 $775,040
Park Place Securities Inc Asset-Backed Pass-Through Certificates Series 2004-MHQ, Floating Rate Note 840,000 $721,961
Park Place Securities Inc Asset-Backed Pass-Through Ctfs Ser 2005-WHQ4, Floating Rate Note, 9/25/35 1,793,831 $456,177
Par Pharmaceutical Companies, Inc., Term B-2 Loan, 9/28/19 639,308 $640,174
Par Pharmaceutical Cos Inc 1st Lien Tl-B3 L + 3.25% 28sep19 498,750 $500,724
PARTY CITY HOLDINGS INC, 2014 Replacement Term Loan, 7/27/19 943,063 $946,094
People's Choice Home Loan Securities Trust Series 2005-3, Floating Rate Note, 8/25/35 109,980 $4,175
Pfizer, Inc., Floating Rate Note, 5/15/17 750,000 $749,912
PFS Financing Corp., Floating Rate Note, 2/15/18 (144A) 800,000 $799,975
PFS Financing Corp., Floating Rate Note, 2/15/19 (144A) 430,000 $429,174
PFS Tax Lien Trust 2014-1, 1.44%, 5/15/29 400,000 $260,501
PHH Mortgage Capital LLC, 6.0%, 12/25/27 (Step) (144A) 3,250,000 $121,202
Phillips 66, 2.95%, 5/1/17 750,000 $774,574
PNC Bank NA, 0.8%, 1/28/16 450,000 $451,973
PNC Bank NA, 1.125%, 1/27/17 450,000 $452,421
PNC Bank NA, 1.3%, 10/3/16 550,000 $553,961
PNC Bank NA, 1.6%, 6/1/18 600,000 $601,411
PNC Bank NA, Floating Rate Note, 1/28/16 500,000 $500,902
PNC Bank NA, Floating Rate Note, 8/1/17 750,000 $748,927
Polarpak, Inc., USD Term Loan (Canadian Borrower Portion), 6/7/20 156,766 $157,060
Polarpak, Inc., USD Term Loan (U.S. Borrower Portion), 6/7/20 81,881 $82,034
Popular ABS Mortgage Pass-Through Trust 2004-4, 4.76929%, 9/25/34 (Step) 1,415,000 $496,767
Popular ABS Mortgage Pass-Through Trust 2004-5, Floating Rate Note, 12/25/34 2,500,000 $162,122
Post Holdings Inc 1st Lien Tl-B L + 3% 23may21 750,000 $750,117
Precision Castparts Corp., 1.25%, 1/15/18 500,000 $501,116
Prestige Brands, Inc., Term B-3 Loan, 9/3/21 265,059 $265,887
Pricoa Global Funding I, Floating Rate Note, 6/24/16 (144A) 500,000 $500,510
Principal Life Global Funding II, 1.2%, 5/19/17 (144A) 750,000 $752,432
Principal Life Global Funding II, Floating Rate Note, 5/27/16 (144A) 390,000 $390,762
Progreso Receivables Funding II LLC, 3.5%, 7/8/19 (144A) 1,370,000 $1,373,920
Progreso Receivables Funding I LLC, 4.0%, 7/9/18 (144A) 1,000,000 $1,003,806
Progress Residential 2014-SFR1 Trust, Floating Rate Note, 10/17/31 (144A) 1,000,000 $1,007,227
Prudential Covered Trust 2012-1, 2.997%, 9/30/15 (144A) 500,000 $354,173
PSEG Power LLC, 2.75%, 9/15/16 500,000 $513,976
PVH Corp., Tranche B Term Loan, 2/13/20 317,061 $319,092
Quebecor Media, Inc., Facility B-1 Tranche, 8/17/20 197,985 $196,871
Queen City Re, Floating Rate Note, 1/6/19 (Cat Bond) (144A) 500,000 $497,175
Queen Street VII Re, Ltd., Floating Rate Note, 4/8/16 (Cat Bond) (144A) 500,000 $517,569
Queen Street X RE, Ltd., Floating Rate Note, 6/8/18 (Cat Bond) (144A) 250,000 $245,350
Quest Trust REMICS, Floating Rate Note, 3/25/34 (144A) 24,804,330 $861,203
RAAC Series 2004-SP2 Trust, 6.0%, 1/25/32 11,000,000 $384,579
RAAC Series 2005-RP1 Trust, Floating Rate Note, 7/25/37 (144A) 583,530 $264,342
RAAC Series 2005-RP2 Trust, Floating Rate Note, 6/25/35 (144A) 995,000 $67,868
RAAC Series 2006-RP2 Trust, Floating Rate Note, 2/25/37 (144A) 4,099,889 $333,196
RAIT 2014-FL2 Trust, Floating Rate Note, 5/15/31 (144A) 1,500,000 $1,486,235
RAIT 2014-FL3 Trust, Floating Rate Note, 12/15/31 (144A) 1,000,000 $987,006
RALI Series 2002-QS16 Trust, Floating Rate Note, 10/25/17 11,475,000 $145,411
RALI Series 2003-QR24 Trust REMICS, 4.0%, 7/25/33 950,000 $34,206
RALI Series 2003-QR24 Trust REMICS, 4.0%, 7/25/33 6,880,000 $750,713
RALI Series 2003-QS11 Trust, Floating Rate Note, 6/25/33 13,610,000 $567,740
RALI Series 2003-QS14 Trust, 5.0%, 7/25/18 600,000 $29,288
RALI Series 2003-QS15 Trust, 5.5%, 8/25/33 250,000 $140,320
RALI Series 2003-QS9 Trust, Floating Rate Note, 5/25/18 11,040,000 $331,290
RALI Series 2004-QR1 Trust, 5.25%, 10/25/34 21,545,000 $145,140
RALI Series 2004-QS5 Trust, 4.75%, 4/25/34 4,285,000 $182,054
RALI Series 2004-QS5 Trust, Floating Rate Note, 4/25/34 1,761,729 $74,606
RALI Series 2005-QA1 Trust, Floating Rate Note, 1/25/35 8,661,000 $818,072
RAMP Series 2003-RS9 Trust, Floating Rate Note, 10/25/33 5,091,956 $304,396
RAMP Series 2004-RS11 Trust, Floating Rate Note, 11/25/34 1,085,000 $258,503
RAMP Series 2004-SL4 Trust, Floating Rate Note, 5/25/18 13,780,000 $54,102
RAMP Series 2005-RS6 Trust, Floating Rate Note, 6/25/35 278,355 $107,400
Raymond James Financial, Inc., 4.25%, 4/15/16 2,108,000 $2,179,949
RBSSP Resecuritization Trust 2009-5, Floating Rate Note, 8/25/37 (144A) 2,550,000 $770,528
Reckitt Benckiser Treasury Services Plc, 2.125%, 9/21/18 (144A) 500,000 $507,853
Regatta Funding, Ltd., Floating Rate Note, 6/15/20 (144A) 500,000 $167,470
Remy International, Inc., Term B Loan 2013, 3/5/20 997,449 $1,001,189
RENT-A-CENTER, INC, Term Loan (2014), 2/6/21 544,500 $545,181
Residential Asset Securitization Trust 2003-A2, Floating Rate Note, 5/25/33 34,300,000 $1,212,499
Residential Asset Securitization Trust 2004-A9, 5.75%, 12/25/34 1,130,000 $360,624
Residential Reinsurance 2011, Ltd., Floating Rate Note, 12/6/16 (Cat Bond) (144A) 500,000 $510,373
Residential Reinsurance 2011, Ltd., Floating Rate Note, 6/6/15 (Cat Bond) (144A) 500,000 $510,675
Residential Reinsurance 2011, Ltd., Floating Rate Note, 6/6/17 (Cat Bond) (144A) 500,000 $510,304
Residential Reinsurance 2012, Ltd., Floating Rate Note, 12/6/16 (Cat Bond) (144A) 1,150,000 $1,177,226
Residential Reinsurance 2012, Ltd., Floating Rate Note, 12/6/16 (Cat Bond) (144A) 250,000 $270,528
Residential Reinsurance 2012, Ltd., Floating Rate Note, 12/6/16 (Cat Bond) (144A) 250,000 $258,624
Residential Reinsurance 2012, Ltd., Floating Rate Note, 6/6/16 (Cat Bond) (144A) 250,000 $266,408
Residential Reinsurance 2013, Ltd., Floating Rate Note, 6/6/17 (Cat Bond) (144A) 250,000 $265,089
Residential Reinsurance 2014, Ltd., Floating Rate Note, 6/6/18 (Cat Bond) (144A) 250,000 $253,565
RESI Finance LP 2003-CB1, Floating Rate Note, 7/9/35 2,382,000 $571,069
Resi Flt% 12dec45 A1 500,000 $424,119
Resource Capital Corp 2014-CRE2, Ltd., Floating Rate Note, 4/15/32 (144A) 1,480,000 $1,472,897
Resource Capital Corp CRE Notes 2013, Ltd., Floating Rate Note, 6/15/16 (144A) 1,000,000 $1,001,864
Restaurant Brands 1st Lien Tl-B L + 2.75% 12dec21 533,037 $535,036
RFMSI Series 2005-S5 Trust, 5.25%, 7/25/35 300,770 $143,283
RFSC Series 2004-RP1 Trust, Floating Rate Note, 11/25/42 250,000 $118,422
Rialto Capital Management LLC, 2.85%, 5/15/24 (144A) 700,000 $164,109
Rio Tinto Finance USA Plc, Floating Rate Note, 6/17/16 560,000 $562,872
Riverfront Re, Ltd., Floating Rate Note, 1/6/17 (Cat Bond) (144A) 320,000 $318,748
Royal Bank of Canada, 1.45%, 9/9/16 1,000,000 $1,012,132
Royal Bank of Canada, Floating Rate Note, 1/23/17 550,000 $551,496
Royal Bank of Canada, Floating Rate Note, 6/16/17 1,000,000 $1,001,276
RREF 2014-LT6 LLC, 2.75%, 9/15/24 (144A) 1,280,000 $554,984
Sanders Re, Ltd., Floating Rate Note, 5/5/17 (Cat Bond) (144A) 750,000 $742,598
Sanders Re, Ltd., Floating Rate Note, 5/5/17 (Cat Bond) (144A) 750,000 $743,233
Sanders Re, Ltd., Floating Rate Note, 6/7/17 (Cat Bond) (144A) 650,000 $650,168
Santander Drive Auto Receivables Trust 2012-5, 2.7%, 8/15/18 125,000 $126,736
SASCO Mortgage Loan Trust 2005-GEL1, Floating Rate Note, 12/25/34 510,000 $319,730
SASCO Mortgage Loan Trust 2005-GEL2, Floating Rate Note, 4/25/35 8,945,588 $104,496
Saxon Asset Securities Trust 2005-3, Floating Rate Note, 11/25/35 471,000 $402,797
Saxon Asset Securities Trust 2005-4, Floating Rate Note, 11/25/37 9,516,000 $357,848
SBA Senior Finance II LLC, Incremental Tranche B-1 Term Loan, 3/31/21 198,500 $198,045
Schaeffler (Aka Ina Beteiligungsge 1st Lien Tl-B L + 3.5% 15may20 500,000 $503,592
Scientific Games International Inc 1st Lien Tl-B2 L + 5% 17sep21 922,688 $927,590
Seadrill Operating LP, Initial Term Loan, 2/14/21 839,375 $691,610
Sector Re V, Ltd., 0.0%, 12/1/19 (Cat Bond) (144A) 250,000 $262,775
Sector Re V, Ltd., 0.0%, 3/30/19 (Cat Bond) (144A) 516 $70,038
Sector Re V, Ltd., 3/1/20 (Cat Bond) (144A) 300,000 $300,810
Selene Non-Performing Loans LLC, 2.9814%, 5/25/54 (Step) (144A) 1,020,000 $876,940
Senior Housing Properties Trust, 4.3%, 1/15/16 290,000 $298,038
Sensata Technologies 1st Lien L + 2.25% 14oct21 646,750 $649,378
Sequoia Mortgage Trust 2003-5, Floating Rate Note, 9/20/33 14,606,000 $596,584
Sequoia Mortgage Trust 2004-10, Floating Rate Note, 11/20/34 1,990,836 $196,832
Sequoia Mortgage Trust 2004-7, Floating Rate Note, 8/20/34 5,250,000 $213,785
Sequoia Mortgage Trust 2005-1, Floating Rate Note, 2/20/35 8,223,000 $698,837
Sequoia Mortgage Trust 2013-8, Floating Rate Note, 6/25/43 414,000 $320,776
Sequoia Mortgage Trust 2013-8, Floating Rate Note, 6/25/43 160,000 $134,407
Shell International Finance BV, Floating Rate Note, 11/15/16 750,000 $751,606
Sierra Timeshare 2012-2 Receivables Funding LLC, 2.38%, 3/20/29 (144A) 1,500,000 $340,628
Sierra Timeshare 2012-3 Receivables Funding LLC, 1.87%, 8/20/29 (144A) 1,400,000 $383,413
Sierra Timeshare 2013-1 Receivables Funding LLC, 2.39%, 11/20/29 (144A) 160,000 $47,714
Sierra Timeshare 2013-2 Receivables Funding LLC, 2.92%, 11/20/25 (144A) 270,000 $94,924
Sierra Timeshare 2013-2 Receivables Funding LLC, 4.75%, 11/20/25 (144A) 900,000 $322,221
Silver Bay Realty 2014-1 Trust, Floating Rate Note, 9/18/31 (144A) 750,000 $755,307
SilverLeaf Finance XVII LLC, 2.71%, 3/16/26 (144A) 750,000 $347,899
Silverstone Master Issuer Plc, Floating Rate Note, 1/21/55 (144A) 290,000 $296,577
Silverton RE, Ltd., 0.0%, 9/16/16 (Cat Bond) (144A) 250,000 $9,750
Silverton RE, Ltd., 0.0%, 9/18/17 (Cat Bond) (144A) 400,000 $435,880
Sinclair Television Group, Inc., New Tranche B Term Loan, 4/19/20 438,304 $437,959
Skandinaviska Enskilda Banken AB New York NY, Floating Rate Note, 9/21/15 750,000 $751,293
Small Business Administration Participation Certificates, 2.24%, 4/15/43 (144A) 630,000 $629,628
SMART ABS Series 2013-2US Trust, Floating Rate Note, 1/17/17 500,000 $290,150
SMART ABS Series 2014-1US Trust, Floating Rate Note, 7/14/16 750,000 $260,052
SNAAC Auto Receivables Trust, 4.38%, 6/15/17 (144A) 460,000 $94,636
Soundview Home Loan Trust 2005-3, Floating Rate Note, 6/25/35 600,000 $32,954
Soundview Home Loan Trust 2005-OPT4, Floating Rate Note, 12/25/35 815,490 $193,178
Southwire Co., Initial Term Loan, 1/31/21 401,198 $401,549
Specialty Underwriting & Residential Finance Trust Series 2006-BC1, Floating Rate Note, 12/25/36 790,207 $765,906
SpringCastle America Funding LLC, 2.7%, 5/25/23 1,020,000 $819,111
Springleaf Funding Trust 2013-A, 2.58%, 9/15/21 (144A) 1,200,000 $807,013
Springleaf Funding Trust 2014-A, 2.41%, 12/15/22 (144A) 1,000,000 $1,002,456
Springleaf Mortgage Loan Trust 2012-2, Floating Rate Note, 10/25/57 (144A) 424,000 $153,733
Stanwich Mortgage Loan Trust, 2.9814%, 2/16/43 (144A) 1,325,000 $132,027
Starbucks Corp., 0.875%, 12/5/16 605,000 $608,012
Starwood Property Trust, Inc., Term Loan (First Lien), 4/17/20 196,985 $196,657
State of Ohio, 3.0%, 6/15/15 500,000 $507,507
Steward Health Care System LLC, Term Loan, 4/10/20 295,489 $294,196
St Jude Medical, Inc., 2.5%, 1/15/16 510,000 $520,156
STORE Master Funding LLC, 5.77%, 8/20/42 (144A) 344,000 $357,542
Structured Adjustable Rate Mortgage Loan Trust, Floating Rate Note, 11/25/34 1,259,000 $110,433
Structured Adjustable Rate Mortgage Loan Trust, Floating Rate Note, 11/25/34 18,180,000 $863,647
Structured Adjustable Rate Mortgage Loan Trust, Floating Rate Note, 3/25/34 2,600,000 $136,467
Structured Asset Investment Loan Trust 2005-6, Floating Rate Note, 7/25/35 719,331 $558,900
Structured Asset Mortgage Investments II Trust 2004-AR8, Floating Rate Note, 5/19/35 24,300,000 $1,180,228
Structured Asset Mortgage Investments II Trust 2005-AR2, Floating Rate Note, 5/25/45 5,000,000 $458,891
Structured Asset Mortgage Investments II Trust 2005-F1 REMICS, Floating Rate Note, 8/26/35 6,100,000 $103,564
Structured Asset Mortgage Investments Trust 2002-AR5, Floating Rate Note, 5/19/33 7,644,000 $353,960
Structured Asset Securities Corp Mor Cer Ser 2003-31A, Floating Rate Note, 10/25/33 1,500,000 $129,981
Structured Asset Securities Corp Mortgage Loan Trust 2005-2XS, 4.65%, 2/25/35 (Step) 1,000,000 $95,558
Structured Asset Securities Corp Mortgage Loan Trust 2005-WF4, Floating Rate Note, 11/25/35 475,000 $6,867
Structured Asset Securities Corp Mortgage Pass-Through Certificates Ser 2004-S4, Floating Rate Note, 500,000 $39,931
Structured Asset Securities Corp Mortgage Pass-Through Ctfs Ser 2003-24A, Floating Rate Note, 7/25/3 7,700,000 $898,447
Structured Asset Securities Corp Mortgage Pass Through Ctfs Series 2003-35, Floating Rate Note, 12/2 4,960,000 $257,982
Sumitomo Mitsui Banking Corp., Floating Rate Note, 1/10/17 750,000 $750,607
Sumitomo Mitsui Banking Corp., Floating Rate Note, 7/19/16 300,000 $301,329
Sumitomo Mitsui Trust Bank, Ltd., Floating Rate Note, 9/16/16 (144A) 500,000 $503,341
SunGard Data Systems, Inc., Tranche C Term Loan, 2/28/17 155,698 $156,209
Sunset Mortgage Loan Co 2014-NPL2 LLC, 3.721%, 11/16/44 (Step) (144A) 850,000 $715,856
SunTrust Bank, 1.35%, 2/15/17 500,000 $503,439
SunTrust Bank, Floating Rate Note, 2/15/17 805,000 $804,408
SunTrust Banks, Inc., 3.5%, 1/20/17 500,000 $523,489
Svenska Handelsbanken AB, Floating Rate Note, 9/23/16 1,000,000 $1,006,092
SVO 2012-A VOI Mortgage LLC, 2.0%, 9/20/29 (144A) 1,600,000 $714,653
SWAY Residential 2014-1 Trust, Floating Rate Note, 1/20/32 (144A) 700,000 $695,882
Syniverse Holdings, Inc., Tranche B Term Loan, 4/23/19 925,000 $884,531
TAL Advantage V LLC, 1.7%, 5/20/39 (144A) 400,000 $296,175
Tar Heel Re, Ltd., Floating Rate Note, 5/9/16 (Cat Bond) (144A) 250,000 $260,059
Telefonica Emisiones SAU, 3.992%, 2/16/16 500,000 $515,941
Terex Corp., U.S. Term Loan, 8/13/21 257,041 $257,844
Terwin Mortgage Trust Series TMTS 2003-8HE, Floating Rate Note, 12/25/34 5,234,000 $158,810
Terwin Mortgage Trust Series TMTS 2005-10HE, Floating Rate Note, 6/25/36 199,992 $126,248
Terwin Mortgage Trust Series TMTS 2005-14HE, 4.8492%, 8/25/36 (Step) 630,000 $120,641
Texas Instruments, Inc., 0.875%, 3/12/17 500,000 $501,900
Texas Municipal Gas Acquisition & Supply Corp III, 5.0%, 12/15/15 500,000 $521,998
The Bank of New York Mellon Corp., 1.969%, 6/20/17 (Step) 750,000 $770,019
The Bank of New York Mellon Corp., 2.95%, 6/18/15 750,000 $760,810
The Bank of Nova Scotia, 1.1%, 12/13/16 500,000 $503,640
The Bank of Nova Scotia, 1.375%, 7/15/16 500,000 $506,400
The Bank of Nova Scotia, 1.45%, 4/25/18 500,000 $500,765
The Bank of Tokyo-Mitsubishi UFJ, Ltd., 1.55%, 9/9/16 (144A) 1,000,000 $1,008,960
The Bank of Tokyo-Mitsubishi UFJ, Ltd., 2.7%, 9/9/18 (144A) 305,000 $315,326
The Bank of Tokyo-Mitsubishi UFJ, Ltd., Floating Rate Note, 3/10/17 (144A) 500,000 $500,422
The Bank of Tokyo-Mitsubishi UFJ, Ltd., Floating Rate Note, 9/8/17 (144A) 500,000 $499,095
The Bear Stearns Companies LLC, Floating Rate Note, 11/21/16 1,500,000 $1,499,511
The Boeing Co., 0.95%, 5/15/18 1,050,000 $1,039,477
The Charles Schwab Corp., 0.85%, 12/4/15 250,000 $251,603
The GEO Group, Inc., Term Loan, 4/3/20 492,462 $493,693
The Goldman Sachs Group, Inc., 1.6%, 11/23/15 2,125,000 $2,134,880
The Goldman Sachs Group, Inc., 3.7%, 8/1/15 340,000 $345,837
The Goldman Sachs Group, Inc., Floating Rate Note, 3/22/16 475,000 $475,432
The Goldman Sachs Group, Inc., Floating Rate Note, 7/22/15 700,000 $700,651
The Huntington National Bank, 1.3%, 11/20/16 500,000 $497,075
The Huntington National Bank, Floating Rate Note, 4/24/17 500,000 $499,072
The Korea Development Bank, Floating Rate Note, 1/22/17 750,000 $750,409
Thermo Fisher Scientific, Inc., 2.4%, 2/1/19 1,000,000 $1,015,363
The Toronto-Dominion Bank, 1.4%, 4/30/18 500,000 $500,643
The Toronto-Dominion Bank, Floating Rate Note, 5/2/17 500,000 $500,438
The Toronto-Dominion Bank, Floating Rate Note, 7/2/19 750,000 $749,352
The Toronto-Dominion Bank, Floating Rate Note, 9/9/16 500,000 $502,609
Thomson Reuters Corp., 0.875%, 5/23/16 250,000 $249,959
Thomson Reuters Corp., 1.3%, 2/23/17 500,000 $501,953
Thornburg Mortgage Securities Trust 2003-3, Floating Rate Note, 6/25/43 3,857,000 $117,205
Thornburg Mortgage Securities Trust 2004-1, Floating Rate Note, 3/25/44 20,000,000 $185,751
Thornburg Mortgage Securities Trust 2004-3, Floating Rate Note, 9/25/34 17,118,309 $1,264,273
Thornburg Mortgage Securities Trust 2004-4, Floating Rate Note, 12/25/44 1,225,000 $171,842
TI Group Automotive Systems LLC, Term Loan Facility, 7/1/21 223,872 $224,572
TimberStar Trust I REMICS, 5.668%, 10/15/36 (144A) 525,000 $555,122
TMS International Corp., Term B Loan, 10/2/20 146,199 $146,565
Total Capital International SA, 0.75%, 1/25/16 500,000 $502,356
Toyota Motor Credit Corp., 0.75%, 3/3/17 (Step) 3,150,000 $3,158,655
Toyota Motor Credit Corp., 1.125%, 5/16/17 750,000 $753,420
Tpf Ii Power Llc 1st Lien Tl-B L + 4.5% 24sep21 748,125 $759,934
Trade MAPS 1, Ltd., Floating Rate Note, 12/10/18 (144A) 250,000 $250,378
Tradewynd Re, Ltd., Floating Rate Note, 1/8/18 (Cat Bond) (144A) 250,000 $248,143
Trafigura Securitisation Finance Plc. 2014-1, Floating Rate Note, 4/16/18 (144A) 400,000 $400,376
TransCanada PipeLines, Ltd., 1.875%, 1/12/18 375,000 $381,672
TransCanada PipeLines, Ltd., Floating Rate Note, 6/30/16 690,000 $692,675
Tribune Media Co., Initial Term Loan, 11/20/20 806,849 $808,967
Tronox Pigments Holland BV, New Term Loan, 3/19/20 448,858 $451,074
U.S. Treasury Notes, 0.5%, 3/31/17 3,000,000 $2,999,259
U.S. Treasury Notes, 0.5%, 7/31/16 10,500,000 $10,533,949
U.S. Treasury Notes, 0.875%, 1/15/18 12,000,000 $12,052,866
Unifrax I LLC, New Term B Dollar Loan, 11/28/18 497,487 $497,487
United Auto Credit Securitization Trust 2014-1, 2.38%, 10/15/18 (144A) 700,000 $698,454
UnitedHealth Group, Inc., 1.875%, 11/15/16 500,000 $508,381
United Technologies Corp., 1.778%, 5/4/18 (Step) 500,000 $503,877
University of California, 0.966%, 5/15/17 500,000 $501,325
US Bancorp, 2.45%, 7/27/15 755,000 $763,772
US Renal Care, Inc., Tranche B-2 Term Loan (First Lien), 7/3/19 647,289 $649,312
Valeant Pharmaceuticals Internatio 1st Lien Tl-Bf1 L + 3.25% 13mar22 500,000 $502,046
Vantiv LLC, Term B Loan, 6/12/21 288,879 $290,502
Velocity Commercial Capital Loan Trust 2014-1, Floating Rate Note, 9/25/44 (144A) 800,000 $629,430
Ventas Realty LP, 3.125%, 11/30/15 500,000 $513,263
Vericrest Opportunity Loan Transferee 2014-NPL4 LLC, 3.125%, 4/27/54 (Step) (144A) 1,700,000 $1,085,078
Verint Systems, Inc., Tranche B Incremental Term Loan, 9/6/19 261,457 $262,568
Verizon Communications, Inc., 0.7%, 11/2/15 935,000 $935,486
Verizon Communications, Inc., Floating Rate Note, 9/15/16 1,285,000 $1,309,021
Vers 2015-A Zero% 31dec17 800,000 $829,520
VFC 2014-2 LLC, 2.75%, 7/20/30 (144A) 1,060,000 $550,861
VFC 2015-3 LLC, 2.75%, 12/20/31 (144A) 400,000 $363,434
Virgin Media Investment Holdings, Ltd., B Facility, 6/8/20 235,662 $235,534
Vita Capital V, Ltd., Floating Rate Note, 1/15/17 (Cat Bond) (144A) 750,000 $764,100
Vita Capital V, Ltd., Floating Rate Note, 1/15/17 (Cat Bond) (144A) 250,000 $255,054
Vitality Re IV, Ltd., Floating Rate Note, 1/9/17 (Cat Bond) (144A) 500,000 $511,392
Vitality Re V, Ltd., Floating Rate Note, 1/7/19 (Cat Bond) (144A) 500,000 $502,833
Vodafone Group Plc, Floating Rate Note, 2/19/16 275,000 $274,942
Volkswagen Group of America Finance LLC, 1.65%, 5/22/18 (144A) 500,000 $501,621
Volkswagen Group of America Finance LLC, Floating Rate Note, 5/23/16 (144A) 1,000,000 $1,000,735
Volkswagen International Finance NV, 1.125%, 11/18/16 (144A) 750,000 $752,112
Volkswagen International Finance NV, 1.15%, 11/20/15 (144A) 750,000 $752,671
Volkswagen International Finance NV, 1.6%, 11/20/17 (144A) 500,000 $502,983
VOLT XIX LLC, 3.875%, 4/26/55 (Step) 800,000 $520,043
VOLT XXXIII LLC, 3.5%, 3/25/55 (Step) (144A) 700,000 $694,679
Wachovia Bank Commercial Mortgage Trust Series 2005-C21, Floating Rate Note, 10/17/44 625,364 $402,806
Wachovia Bank Commercial Mortgage Trust Series 2005-C22 REMICS, Floating Rate Note, 12/15/44 1,000,000 $773,746
Wachovia Bank Commercial Mortgage Trust Series 2006-C23 REMICS, Floating Rate Note, 1/15/45 1,590,000 $1,241,787
Wachovia Bank Commercial Mortgage Trust Series 2006-C24, Floating Rate Note, 3/15/45 272,000 $278,275
Wachovia Bank Commercial Mortgage Trust Series 2006-C25, Floating Rate Note, 5/15/43 1,200,000 $988,892
Wachovia Corp., Floating Rate Note, 6/15/17 1,077,000 $1,074,552
Wachovia Mortgage Loan Trust Series 2005-WMC1, Floating Rate Note, 10/25/35 750,000 $77,698
Walgreens Boots Alliance, Inc., Floating Rate Note, 5/18/16 750,000 $751,205
WaMu Mortgage Pass-Through Certificates Series 2002-AR6 Trust, Floating Rate Note, 6/25/42 29,950,000 $348,054
WaMu Mortgage Pass-Through Certificates Series 2003-AR9 Trust, Floating Rate Note, 9/25/33 3,122,360 $1,075,622
WaMu Mortgage Pass-Through Certificates Series 2003-S10, 5.0%, 10/25/18 17,361,049 $469,550
Welk Resorts 2013-A LLC, 3.1%, 3/15/29 (144A) 750,000 $505,539
Wells Fargo & Co., 1.25%, 7/20/16 500,000 $504,079
Wells Fargo & Co., 1.5%, 7/1/15 1,050,000 $1,057,544
Wells Fargo & Co., Floating Rate Note, 4/23/18 575,000 $579,508
Wells Fargo & Co., Floating Rate Note, 6/26/15 585,000 $586,690
Wells Fargo Alternative Loan 2005-2 Trust, Floating Rate Note, 10/25/35 453,135 $450,886
Wells Fargo Bank NA, Floating Rate Note, 5/16/16 250,000 $249,679
Wells Fargo Commercial Mortgage Trust 2014-TISH REMICS, Floating Rate Note, 2/16/27 (144A) 1,250,000 $1,252,612
Wells Fargo Home Equity Asset-Backed Securities 2005-3 Trust, Floating Rate Note, 12/25/35 200,000 $47,127
Wells Fargo Mortgage Backed Securities 2005-4 Trust, Floating Rate Note, 4/25/35 7,173,466 $257,301
Wesco Aircraft Hardware Corp., Tranche B Term Loan, 2/24/21 850,938 $850,672
WESCO Distribution, Inc., Tranche B-1 Loan, 12/12/19 61,163 $61,392
Westgate Resorts 2012-A LLC, 2.25%, 8/20/25 (144A) 1,490,000 $657,236
Westgate Resorts 2012-A LLC, 3.75%, 8/20/25 (144A) 403,000 $178,655
Westgate Resorts 2014-1 LLC, 2.15%, 12/20/26 (144A) 1,000,000 $789,633
Westgate Resorts LLC, 2.5%, 3/20/25 (144A) 250,000 $74,834
Westgate Resorts LLC, 9.5%, 2/20/25 (144A) 1,800,000 $458,502
Westlake Automobile Receivables Trust 2013-1, 1.12%, 1/15/18 (144A) 150,000 $27,574
Westpac Banking Corp., Floating Rate Note, 5/19/17 1,000,000 $1,001,242
Westwood CDO II, Ltd., Floating Rate Note, 4/25/22 (144A) 500,000 $323,887
Wheelabrator 1st Lien Tl-B L + 4% 15oct21 955,460 $968,590
Wheelabrator 1st Lien Tl-C L + 4% 15oct21 42,146 $42,725
WireCo WorldGroup, Inc., Term Loan, 2/15/17 417,058 $418,622
Wm Wrigley Jr Co., 2.0%, 10/20/17 (144A) 1,000,000 $1,015,140
WR Grace & Co-Conn, Delayed Draw Term Loan, 1/23/21 72,115 $72,270
WR Grace & Co-Conn, U.S. Term Loan, 1/23/21 200,406 $200,835
Zebra Technologies Corporation 1st Lien Tl-B L + 4% 30sep21 481,818 $488,142
ZIGGO BV, (USD) TLB3, 1/15/22 476,177 $475,195
Ziggo Bv Us 1st Lien Tl-B1 L + 2.75% 15jan22 449,291 $448,365
Ziggo Bv Us 1st Lien Tl-B2 L + 2.75% 15jan22 289,532 $288,935
Zoetis, Inc., 1.15%, 2/1/16 500,000 $502,398

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