EX-99.1 2 a20140930scheduledexh991.htm EXHIBIT 99.1 2014.09.30 Schedule D Exh 99.1


Validus Holdings, Ltd. September 30, 2014 GAAP fixed maturity portfolio in Schedule D format
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
1
2
Codes
6
7
 
9
10
 CHANGE IN BOOK/ADJUSTED CARRYING VALUE
INTEREST
DATES
 
 
3
4
5
 
 
8
 
 
11
12
13
14
15
16
17
18
19
20
21
 
 
 
FOREIGN
BOND
NAIC
 
 GAAP FAIR
 
 GAAP
 
 CURRENT YEAR
 
 TOTAL FX CHG
INTEREST
EFFECTIVE
HOW
 ACCRUED
 GROSS REC'D
 
 
CUSIP
DESCRIPTION
*
CODE
CHAR
DESIG
 ACTUAL COST
 MARKET VALUE
 PAR VALUE
 BOOK VALUE
 UGL
 AMORTIZATION
 IMPAIRMENTS
 IN B/A. C.V.
RATE
RATE OF
PAID
 INTEREST
 DURING YEAR
 ACQUIRED
MATURITY
00432CCM1
ACCESS GROUP INC ACCSS_05-2 ABS 05-2
 
 
2
 
1,618,003.35

1,650,576.1

1,661,620.90

1,634,129.6

16,446.5

13,011.44

—

—

0.415

1.29

FMAN
                 766.00
5,688.51

8,082,012

11222024
03979GAL9
ARDEN REALTY LP SENIOR CORP BND
 
 
1
 
3,226,650

3,022,770

3,000,000.00

3,011,249.24

11,520.76

(48,997.15
)
—

—

5.25

3.007

MS
             13,125.01
118,125.01

11,272,012

3012015
28140DAA1
ELAB_12-1 ABS 12-1
 
 
2
 
733,057.12

732,856.99

733,057.12

733,057.12

(200.13
)
0.22

—

—

0.605

0.605

MON
                    73.86
7,928.91

9,192,012

6252022
458182DT6
INTER-AMERICAN DEV BANK CORP BND
 
 E
 
 
2,050,000

2,059,716.98

2,050,000.00

2,050,000

9,716.98

—

—

—

0.265

0.286

MJSD
                 286.28
13,980.66

9,052,013

9122018
45818WAT3
INTER-AMERICAN DEV BANK CORP BND EMTN
 
 E
 
 
6,000,000

6,000,000

6,000,000.00

6,000,000

—

—

—

—

0.223

0.221

MJSD
                 334.66
3,814.66

6,132,014

6202018
45950VCP9
INTERNATIONAL FINANCE CO CORP BND
 
 E
 
 
4,027,303.56

4,025,286.44

4,034,000.00

4,029,248.99

(3,962.55
)
1,658.08

—

—

0.625

0.681

MN
             9,524.73
18,929.55

11,052,013

11152016
742651DB5
PRIVATE EXPORT FUNDING CORPORA SECURED A
 
 
 
 
1,646,955

1,578,300

1,500,000.00

1,530,858.31

47,441.69

(19,997.57
)
—

—

4.95

3.07

MN
          28,050.00
55,687.5

11,272,012

11152015
742651DH2
PRIVATE EXPORT FUNDING CORPORA AGENCY BN
 
 
 
 
4,868,226

4,604,554.46

4,600,000.00

4,604,481.17

73.29

(87,482.77
)
—

—

3.05

0.497

AO
          64,693.88
105,225

6,262,012

10152014
912828D31
UNITED STATES TREASURY GOVT BND
 
 
 
 
2,150,235.11

2,151,096.5

2,150,000.00

2,150,224.22

872.28

(10.89
)
—

—

0.084

0.091

JAJO
                 342.70
708.68

9,022,014

4302016
912828D56
UNITED STATES TREASURY GOVT BND
 
 
 
 
9,820,312.5

9,883,599.9

10,000,000.00

9,820,843.89

62,756.01

531.39

—

—

2.375

2.582

FA
          30,332.88
7,744.56

9,172,014

8152024
912828D80
UNITED STATES TREASURY GOVT BND
 
 
 
 
1,986,250

1,986,360.02

2,000,000.00

1,986,287.29

72.73

37.29

—

—

1.625

1.771

FA
              2,783.15
448.9

9,232,014

8312019
912828NF3
UNITED STATES TREASURY GOVT BND
 
 
 
 
2,559,683.99

2,483,344.5

2,450,000.00

2,479,595.47

3,749.03

(67,107.87
)
—

—

2.125

0.302

MN
17496.41
78,917.08

12,112,012

5312015
912828NZ9
UNITED STATES TREASURY GOVT BND
 
 
 
 
7,449,129.93

7,379,862

7,300,000.00

7,352,907.86

26,954.14

(40,758.50
)
—

—

1.25

0.52

MS
252.07
70,852.54

8,282,013

9302015
912828PE4
UNITED STATES TREASURY GOVT BND
 
 
 
 
11,229,673.57

11,128,920

11,000,000.00

11,107,463.97

21,456.03

(74,019.11
)
—

—

1.25

0.344

AO
57540.76
102,741.04

11,262,013

10312015
912828QF0
UNITED STATES TREASURY GOVT BND
 
 
 
 
7,555,218.75

7,380,504.29

7,200,000.00

7,374,624.97

5,879.32

(90,915.08
)
—

—

2

0.459

AO
60260.87
119,205.39

2,012,013

4302016
912828QX1
UNITED STATES TREASURY GOVT BND
 
 
 
 
68,538,985.82

68,088,144.68

66,900,000.00

67,515,079.19

573,065.49

(249,415.23
)
—

—

1.5

0.992

JJ
169067.93
754,961.2

8,162,011

7312016
912828RE2
UNITED STATES TREASURY GOVT BND
 
 
 
 
17,324,320.31

17,392,344.17

17,400,000.00

17,340,324.17

52,020

17,008.39

—

—

1.5

1.591

FA
20908.84
259,100.74

2,272,014

8312018
912828RF9
UNITED STATES TREASURY GOVT BND
 
 
 
 
66,123,749.09

66,083,584.22

65,550,000.00

65,900,496.87

183,087.35

(131,566.53
)
—

—

1

0.718

FA
56133.98
473,546.4

8,272,014

8312016
912828RH5
UNITED STATES TREASURY GOVT BND
 
 
 
 
2,209,474.22

2,186,293.98

2,200,000.00

2,207,744.61

(21,450.63
)
(4,784.86
)
—

—

1.375

1.284

MS
83.1
76,991.1

11,222,013

9302018
912828RM4
UNITED STATES TREASURY GOVT BND
 
 
 
 
41,127,164.02

41,191,207.19

40,900,000.00

41,027,431.58

163,775.61

(103,594.29
)
—

—

1

0.848

AO
171157.6
439,244.07

11,262,013

10312016
912828RU6
UNITED STATES TREASURY GOVT BND
 
 
 
 
13,666,191.87

13,600,812.5

13,550,000.00

13,617,950.21

(17,137.71
)
(18,914.08
)
—

—

0.875

0.641

MN
39844.78
159,705.1

5,032,013

11302016
912828SC5
UNITED STATES TREASURY GOVT BND
 
 
 
 
13,627,718.99

13,625,430.5

13,600,000.00

13,614,061.87

11,368.63

(4,999.55
)
—

—

0.875

0.83

JJ
20048.91
91,152.18

11,222,013

1312017




912828SD3
UNITED STATES TREASURY GOVT BND
 
 
 
 
4,431,919.09

4,424,895.05

4,500,000.00

4,441,472.89

(16,577.84
)
9,208.10

—

—

1.25

1.562

JJ
9476.9
39,571.26

2,202,014

1312019
912828SE1
UNITED STATES TREASURY GOVT BND
 
 
 
 
16,179,790.77

16,262,187.5

16,250,000.00

16,241,244.39

20,943.11

32,453.72

—

—

0.25

0.395

FA
5188.51
57,144.96

2,222,012

2152015
912828SJ0
UNITED STATES TREASURY GOVT BND
 
 
 
 
3,003,642.86

3,003,119.88

3,000,000.00

3,002,587.17

532.71

(787.30
)
—

—

0.875

0.839

FA
2247.93
19,578.73

9,272,013

2282017
912828SM3
UNITED STATES TREASURY GOVT BND
 
 
 
 
200,664.73

200,602.01

200,000.00

200,559.17

42.84

(2,010.18
)
—

—

1

0.887

MS
5.49
42,581.71

4,082,014

3312017
912828SP6
UNITED STATES TREASURY GOVT BND
 
 
 
 
2,854,796.65

2,854,816.79

2,850,000.00

2,851,017.04

3,799.75

(2,224.10
)
—

—

0.375

0.309

AO
4934.94
13,403.86

9,272,012

4152015
912828SS0
UNITED STATES TREASURY GOVT BOND
 
 
 
 
11,585,839.31

11,488,040.46

11,500,000.00

11,553,987.15

(65,946.69
)
(12,955.44
)
—

—

0.875

0.691

AO
42109.38
104,517.75

3,132,013

4302017
912828SY7
UNITED STATES TREASURY GOVT BND
 
 
 
 
16,601,962

16,603,939.67

16,750,000.00

16,611,903.81

(7,964.14
)
13,868.51

—

—

0.625

0.939

MN
35181.87
28,678.18

9,102,014

5312017
912828TB6
UNITED STATES TREASURY GOVT BND
 
 
 
 
2,515,195.88

2,483,374.98

2,500,000.00

2,508,476.44

(25,101.46
)
419.99

—

—

0.75

0.625

JD
4738.45
27,750.09

7,132,012

6302017
912828TD2
UNITED STATES TREASURY GOVT BND
 
 
 
 
7,980,339.3

8,010,640

8,000,000.00

7,994,607.47

16,032.53

8,008.17

—

—

0.25

0.336

JJ
4239.13
27,074.39

3,112,013

7152015
912828TG5
UNITED STATES TREASURY GOVT BND
 
 
 
 
2,184,108.93

2,166,648.02

2,200,000.00

2,190,938.4

(24,290.38
)
15,637.66

—

—

0.5

0.647

JJ
1853.26
24,399.19

7,302,012

7312017
912828TK6
UNITED STATES TREASURY GOVT BND
 
 
 
 
5,754,501.85

5,757,187.5

5,750,000.00

5,753,434.84

3,752.66

(1,084.47
)
—

—

0.25

0.181

FA
1835.94
3,964.74

6,232,014

8152015
912828TM2
UNITED STATES TREASURY GOVT BND
 
 
 
 
5,623,835.51

5,624,475.18

5,700,000.00

5,640,390.28

(15,915.1
)
28,665.63

—

—

0.625

0.989

FA
3050.76
44,098.56

12,272,013

8312017
912828TP5
UNITED STATES TREASURY GOVT BND
 
 
 
 
8,842,204.59

8,861,416.5

8,850,000.00

8,846,146.61

15,269.89

3,336.40

—

—

0.25

0.296

MS
977.9
18,016.26

12,192,013

9152015
912828TS9
UNITED STATES TREASURY GOVT BND
 
 
 
 
32,970,187.13

32,830,861.73

33,320,000.00

33,021,167.1

(190,305.37
)
42,795.41

—

—

0.625

0.929

MS
572.12
113,846.68

7,232,014

9302017
912828TW0
UNITED STATES TREASURY GOVT BND
 
 
 
 
16,793,663.04

16,785,120

17,000,000.00

16,795,465.04

(10,345.04
)
26,044.15

—

—

0.75

1.148

AO
53355.98
59,115.07

9,302,014

10312017
912828UA6
UNITED STATES TREASURY GOVT BND
 
 
 
 
10,003,939.76

9,819,699.9

10,000,000.00

10,002,511.54

(182,811.64
)
7,555.78

—

—

0.625

0.617

MN
21004.1
68,880.82

11,302,012

11302017
912828UE8
UNITED STATES TREASURY GOVT BND
 
 
 
 
11,476,840.52

11,317,034.66

11,500,000.00

11,479,434.11

(162,399.45
)
5,543.61

—

—

0.75

0.806

JD
21796.87
164,215.4

6,022,014

12312017
912828UG3
UNITED STATES TREASURY GOVT BND
 
 
 
 
28,611,645.88

28,641,470

28,600,000.00

28,612,094.56

29,375.44

(1,048.24
)
—

—

0.375

0.342

JJ
22732.34
58,401.4

9,022,014

1152016
912828UR9
UNITED STATES TREASURY GOVT BND
 
 
 
 
17,810,989.47

17,736,841.06

18,080,000.00

17,838,425.34

(101,584.28
)
38,537.19

—

—

0.75

1.15

FA
11612.15
112,715.92

6,022,014

2282018
912828UU2
UNITED STATES TREASURY GOVT BND
 
 
 
 
1,374,625

1,371,230

1,400,000.00

1,376,276.88

(5,046.88
)
3,262.13

—

—

0.75

1.247

MS
28.85
5,155.9

7,012,014

3312018
912828UZ1
UNITED STATES TREASURY GOVT BND
 
 
 
 
19,793,203.12

19,472,200

20,000,000.00

19,849,556.36

(377,356.36
)
69,364.32

—

—

0.625

0.839

AO
52309.78
159,271.68

5,292,013

4302018
912828VC1
UNITED STATES TREASURY GOVT BND
 
 
 
 
24,339,815.36

24,432,869.51

24,500,000.00

24,391,081.49

41,788.02

52,027.38

—

—

0.25

0.525

MN
23135.18
45,987.92

9,022,014

5152016
912828VE7
UNITED STATES TREASURY GOVT BND
 
 
 
 
8,863,945.31

8,866,080.09

9,000,000.00

8,897,940.05

(31,859.96
)
31,715.46

—

—

1

1.318

MN
30245.9
127,676.65

6,252,013

5312018
912828VG2
UNITED STATES TREASURY GOVT BND
 
 
 
 
18,504,426.98

18,511,643.47

18,495,000.00

18,503,165.94

8,477.53

(6,383.84
)
—

—

0.5

0.474

JD
27280.88
126,043.22

9,022,014

6152016
912828VL1
UNITED STATES TREASURY GOVT BND
 
 
 
 
7,031,195.32

7,015,959.79

7,000,000.00

7,026,243.32

(10,283.53
)
(6,938.01
)
—

—

0.625

0.414

JJ
9273.1
20,781.67

5,302,014

7152016
912828VQ0
UNITED STATES TREASURY GOVT BND
 
 
 
 
22,504,342.08

22,457,278.39

22,548,600.00

22,501,672.55

(44,394.16
)
42,994.61

—

—

1.375

1.431

JJ
52235.55
419,738.32

9,182,014

7312018
912828VW7
UNITED STATES TREASURY GOVT BND
 
 
 
 
3,022,265.4

3,016,289.97

3,000,000.00

3,014,820.18

1,469.79

(5,603.27
)
—

—

0.875

0.62

MS
1160.22
19,578.73

11,222,013

9152016




912828WB2
UNITED STATES TREASURY GOVT BND
 
 
 
 
3,543,091.17

3,549,865.14

3,546,000.00

3,544,409.72

5,455.42

2,469.06

—

—

0.25

0.292

AO
3709.81
12,227.59

11,222,013

10312015
912828WD8
UNITED STATES TREASURY GOVT BND
 
 
 
 
5,059,177.24

5,035,995.15

5,100,000.00

5,066,253.33

(30,258.18
)
8,724.62

—

—

1.25

1.417

AO
26677.99
97,092.38

11,082,013

10312018
912828WK2
UNITED STATES TREASURY GOVT BND
 
 
 
 
5,448,178.24

5,451,098.67

5,450,000.00

5,448,743.11

2,355.56

564.87

—

—

0.06

0.107

JAJO
643.41
2,817.55

9,022,014

1312016
912828WM8
UNITED STATES TREASURY GOVT BND
 
 
 
 
14,976,579.3

14,984,249.55

15,000,000.00

14,979,285.12

4,964.43

3,516.92

—

—

0.375

0.458

MN
18903.69
15,923.92

7,212,014

5312016
912828WR7
UNITED STATES TREASURY GOVT BND
 
 
 
 
8,004,687.5

7,964,320.08

8,000,000.00

8,004,585.3

(40,265.22
)
(123.07
)
—

—

2.125

2.116

JD
42961.96
39,497.29

7,212,014

6302021
912828WT3
UNITED STATES TREASURY GOVT BND
 
 
 
 
4,332,886.72

4,335,035.91

4,350,000.00

4,333,839.55

1,196.36

2,135.12

—

—

0.875

1.01

JJ
8067.6
14,485.06

7,312,014

7152017
912828WY2
UNITED STATES TREASURY GOVT BND
 
 
 
 
7,082,031.25

7,023,659.79

7,000,000.00

7,080,989.25

(57,329.46
)
(1,594.90
)
—

—

2.25

2.067

JJ
26535.33
22,928

8,222,014

7312021
29372EAY4
ENTERPRISE FLEET FINANCING LLC ABS _13-2
 
 
2
 
2,237,115.63

2,244,714.89

2,237,465.57

2,237,272.2

7,442.69

136.10

—

—

1.06

1.07

MON
724.69
20,090.48

8,072,013

3202019
20772JQK1
CONNECTICUT (STATE OF) MUNITAX BND GO
 
 
 
 
2,556,975

2,572,800

2,500,000.00

2,556,781.66

16,018.34

(193.34
)
—

—

2.172

1.565

FA
6938.33
754.16

9,232,014

8152018
419791YG7
HAWAII ST MUNI BND GO
 
 
 
 
2,007,940

2,018,260

2,000,000.00

2,000,569.68

17,690.32

(1,261.94
)
—

—

3

2.914

FA
10000
45,000

2,102,010

2012015
4521518V8
ILLINOIS ST MUNI BND GO
 
 
 
 
2,300,000

2,321,965

2,300,000.00

2,300,000

21,965

—

—

—

4.421

4.421

JJ
25420.75
76,262.25

12,282,012

1012015
57583PEM7
MASSACHUSETTS ST MUNITAX BND REV
 
 
 
 
4,625,000

4,764,998.75

4,625,000.00

4,625,000

139,998.75

—

—

—

2.983

2.983

JD
40622.66
103,472.82

12,152,010

12152015
29372EAZ1
ENTERPRISE FLEET FINANCING LLC AB_13-2-A
 
 
2
 
299,978.79

302,099.99

300,000.00

299,985.02

2,114.97

3.44

—

—

1.51

1.517

MON
138.42
3,397.5

8,072,013

3202019
34529UAD6
FORDO_12-A ABS 12-A
 
 
2
 
2,339,403.3

2,352,214.8

2,340,000.00

2,339,823.57

12,391.23

119.04

—

—

1.15

1.16

MON
1196
20,182.5

1,182,012

6152017
34529XAD0
FCALT_12-B ABS 12-B
 
 
2
 
1,620,834.39

1,618,818.81

1,618,495.16

1,618,730.64

88.17

(3,855.96
)
—

—

0.57

0.478

MON
410.02
24,562.43

2,012,013

9152015
34530DAB5
FORDO_13-C ABS 13-C A2
 
 
2
 
131,397.18

131,444.99

131,397.68

131,396.8

48.19

2.56

—

—

0.55

0.55

MON
32.12
1,259.04

7,232,013

4152016
34530DAC3
FORDO_13-C ABS 13-C A3
 
 
2
 
3,564,398.94

3,571,706.69

3,565,000.00

3,564,672.48

7,034.21

172.65

—

—

0.82

0.828

MON
1299.24
21,924.72

7,232,013

12152017
36162RAC2
GEEST_12-1A ABS 12-1A 144A
 
 
2
 
968,905.13

970,118.77

969,101.18

969,078.8

1,039.97

176.19

—

—

1.04

1.051

MON
279.96
18,067.9

5,222,012

9212015
39153VBJ2
GALC_13-1 ABS 13-1 144A
 
 
2
 
1,774,852.5

1,777,183.27

1,775,000.00

1,774,948

2,235.27

42.79

—

—

0.78

0.785

MON
615.33
10,383.75

2,052,013

6152016
438670Q20
HONOLULU HAWAII CITY & CNTY MUNITAX BND
 
 
 
 
1,500,000

1,503,540

1,500,000.00

1,500,000

3,540

—

—

—

1.259

1.259

MN
7868.75
14,163.75

10,262,012

11012017
73723RSH7
CITY OF PORTSMOUTH VA MUNITAX BND GO
 
 
 
 
2,250,000

2,277,000

2,250,000.00

2,250,000

27,000

—

—

—

1.418

1.418

FA
5317.5
23,928.75

6,052,013

2012017
76541VKB2
RICHMOND VA MUNITAX BND GO
 
 
 
 
1,500,000

1,516,650

1,500,000.00

1,500,000

16,650

—

—

—

1.207

1.207

JJ
3822.17
13,578.75

6,142,012

7152016
76541VKC0
RICHMOND VA MUNITAX BND GO
 
 
 
 
5,000,000

5,090,550

5,000,000.00

5,000,000

90,550

—

—

—

1.507

1.507

JJ
15907.22
56,512.49

6,142,012

7152017
43812XAB1
HAROT_13-3 ABS 13-3 A2
 
 
2
 
227,773.17

227,863.13

227,776.57

227,773.28

89.85

2.73

—

—

0.54

0.541

MON
54.67
1,624.31

7,172,013

1152016
06052YAC3
BAAT_12-1 ABS 12-1
 
 
2
 
1,742,507.5

1,743,545.56

1,742,569.72

1,742,532.67

1,012.89

88.53

—

—

0.78

0.782

MON
604.1
20,367.69

4,112,012

6152016
44921SAC6
HALST_13-A ABS 13-A 144A
 
 
2
 
19,225.58

19,226.96

19,226.17

19,225.94

1.02

53.21

—

—

0.51

0.512

MON
4.36
6,780.92

2,272,013

9152015
36179MEL0
GNMA POOL # MA0139
 
 
2
 
3,712,381.63

3,654,598.59

3,503,796.25

3,694,858.27

(40,259.68
)
(34,665.09
)
—

—

3

1.452

MON
8759.49
84,218.66

6,192,012

6202027




36179MK82
GNMA POOL # MA0319
 
 
2
 
174,698.6

168,900.45

159,020.19

174,253.6

(5,353.15
)
(2,590.76
)
—

—

4

2.463

MON
530.07
5,097.05

10,042,012

8202042
36179MNJ5
GNMA POOL # MA0393
 
 
2
 
2,134,563.19

2,067,614.79

1,946,664.42

2,129,879.77

(62,264.98
)
(32,465.83
)
—

—

4

2.407

MON
6488.88
62,588.69

10,182,012

9202042
36179MQN3
GNMA POOL # MA0461
 
 
2
 
1,840,452.57

1,744,903.75

1,729,139.24

1,836,836.29

(91,932.54
)
(9,800.52
)
—

—

3

2.159

MON
4322.85
40,360.25

10,312,012

10202042
36201YER3
GNMA POOL # 606844
 
 
2
 
757,266.15

805,122.66

722,684.56

754,392.11

50,730.55

(6,823.60
)
—

—

5

4.074

MON
3011.19
29,374

4,232,010

9152033
36202FZV1
GNMA POOL # 005256
 
 
2
 
3,335,815.31

3,287,073.06

3,111,223.83

3,314,653.63

(27,580.57
)
(55,167.96
)
—

—

3.5

1.503

MON
9074.4
89,314.49

1,182,012

12202026
36202KME2
GNMA POOL # 008457
 
 
2
 
326,139.12

328,964.47

321,616.40

324,978.12

3,986.35

(674.06
)
—

—

1.625

1.301

MON
435.52
4,078.75

3,182,009

7202024
36204J4C7
GNMA POOL # 371719
 
 
2
 
167,337.11

174,100.81

157,493.75

164,474.93

9,625.88

(3,006.29
)
—

—

6.5

5.253

MON
853.09
9,031.56

9,112,008

4152024
36204SV60
GNMA POOL # 378737
 
 
2
 
147,024.44

152,810.68

138,375.92

144,552.07

8,258.61

(2,486.76
)
—

—

6.5

5.168

MON
749.54
7,126.92

9,112,008

1152024
36205BKY7
GNMA POOL # 385611
 
 
2
 
281,180.96

292,546.17

264,640.90

276,392.94

16,153.23

(3,101.85
)
—

—

6.5

5.245

MON
1433.47
13,410.56

9,112,008

4152024
3620A2KC9
GNMA POOL # 716791
 
 
2
 
796,986.3

806,199.34

753,874.10

790,146.31

16,053.03

(10,596.02
)
—

—

5

3.016

MON
3141.14
31,261.71

9,292,009

4152024
3620A5FJ3
GNMA POOL # 719369
 
 
2
 
471,922.36

471,883.7

442,146.56

467,895.38

3,988.32

(12,064.15
)
—

—

4.5

2.345

MON
1658.05
19,521.37

8,312,010

4152025
3620A6AC1
GNMA POOL # 720103
 
 
2
 
518,557.35

561,321.64

509,638.67

517,757.21

43,564.43

(1,489.60
)
—

—

4.5

4.267

MON
1911.15
18,558.77

6,182,009

6152039
3620A6DZ7
GNMA POOL # 720220
 
 
2
 
998,729.64

1,016,887.75

950,888.08

989,788.23

27,099.52

(6,235.86
)
—

—

5

3.533

MON
3962.03
37,058.45

7,292,009

7152024
3620ADCM2
GNMA POOL # 726476
 
 
2
 
4,717,450.63

4,784,817.79

4,478,149.51

4,674,436.85

110,380.94

(54,932.15
)
—

—

4.5

2.978

MON
16793.06
167,180.07

12,082,009

11152024
3620ASPY9
GNMA POOL # 738539
 
 
2
 
3,379,918.79

3,346,249.65

3,146,397.09

3,371,980.43

(25,730.78
)
(36,150.34
)
—

—

4

2.618

MON
10487.99
101,145.2

10,032,011

7152041
36210B4N2
GNMA POOL # 487829
 
 
2
 
211,499.13

218,340.88

204,346.99

209,997.32

8,343.56

(2,247.13
)
—

—

4.5

3.488

MON
766.3
7,684.5

3,262,009

4152024
36210B4Q5
GNMA POOL # 487831
 
 
2
 
83,653.67

84,620.7

79,128.51

82,925.79

1,694.91

(1,040.73
)
—

—

5

3.041

MON
329.7
3,373.67

9,292,009

4152024
36210B4R3
GNMA POOL # 487832
 
 
2
 
262,419.9

268,549.33

251,119.51

260,422.45

8,126.88

(4,509.22
)
—

—

5

3.454

MON
1046.33
11,260.14

3,262,009

4152024
36210BZH1
GNMA POOL # 487744
 
 
2
 
387,324.67

391,802.09

366,372.73

384,166.92

7,635.17

(5,896.81
)
—

—

5

2.894

MON
1526.55
15,430.56

9,292,009

3152024
36210BZJ7
GNMA POOL # 487745
 
 
2
 
258,425.11

261,412.48

244,445.87

256,126.99

5,285.49

(3,172.25
)
—

—

5

3.054

MON
1018.52
9,714.29

9,292,009

3152024
36211V6Q8
GNMA POOL # 524779
 
 
2
 
175,708.26

179,946.89

168,267.69

174,323.31

5,623.58

(1,528.88
)
—

—

5

3.5

MON
701.12
6,793.69

3,262,009

1152024
36225BPY8
GNMA POOL # 781339
 
 
2
 
201,144.93

207,651.94

182,237.75

198,739.97

8,911.97

(2,512.94
)
—

—

8

6.033

MON
1214.92
11,415.51

3,072,008

9152031
36225C6Y7
GNMA POOL # 080886
 
 
2
 
6,542,576.01

6,630,409.29

6,383,000.98

6,532,693.42

97,715.87

(17,127.03
)
—

—

1.625

1.068

MON
8643.65
82,312.79

3,022,011

4202034
36225CD29
GNMA POOL # 080120
 
 
2
 
297,961.28

305,296.99

294,919.92

297,410.08

7,886.91

(541.42
)
—

—

1.625

1.395

MON
399.37
3,806.48

3,182,009

10202027
36225DAS3
GNMA POOL # 080916
 
 
2
 
228,644.75

239,478.34

229,757.64

228,726.32

10,752.02

102.64

—

—

1.625

1.717

MON
311.13
2,964.9

4,172,008

5202034
36225DJA3
GNMA POOL # 081156
 
 
2
 
620,470.37

646,777.38

618,730.23

620,266.46

26,510.92

(102.61
)
—

—

1.625

1.561

MON
837.86
7,832.21

3,182,009

11202034
36225DJZ8
GNMA POOL # 081179
 
 
2
 
605,547.21

610,587.86

603,848.90

605,357.31

5,230.55

(107.73
)
—

—

1.625

1.558

MON
817.71
7,707.07

3,182,009

12202034




36225DLE2
GNMA POOL # 081224
 
 
2
 
347,201.96

363,101.98

348,837.15

347,322.3

15,779.68

184.63

—

—

1.625

1.702

MON
472.39
4,508.55

3,182,009

1202035
36225EVZ2
GNMA POOL # 082431
 
 
2
 
1,783,285.81

1,817,908.2

1,761,269.92

1,779,781.02

38,127.18

(3,721.44
)
—

—

1.625

1.534

MON
2385.05
23,151.33

10,282,009

12202039
36225EWE8
GNMA POOL # 082444
 
 
2
 
244,899.5

248,713.13

239,803.67

244,611.93

4,101.2

(2,271.97
)
—

—

3.75

3.335

MON
749.39
7,887.69

11,032,009

12202039
36241KBP2
GNMA POOL # 781846
 
 
2
 
2,826,884.58

3,159,179.53

2,737,902.72

2,822,643.1

336,536.43

(9,962.79
)
—

—

6.5

5.329

MON
14830.3
141,947.58

8,152,008

9152034
36241KEC8
GNMA POOL # 781931
 
 
2
 
1,865,941.96

2,062,705.11

1,807,207.70

1,863,304.39

199,400.72

(7,367.97
)
—

—

6.5

5.333

MON
9789.04
94,299.92

8,152,008

5152035
36241KEH7
GNMA POOL # 781936
 
 
2
 
1,117,998.34

1,180,732.15

1,081,334.38

1,115,025.52

65,706.63

(5,137.88
)
—

—

4.5

3.915

MON
4055
38,643.89

6,032,010

6152035
36241KGU6
GNMA POOL # 782011
 
 
2
 
99,467.79

107,992.15

97,338.46

99,288.71

8,703.44

(405.84
)
—

—

5

4.608

MON
405.58
3,982.23

7,142,009

12152035
36241KKB3
GNMA POOL # 782090
 
 
2
 
2,219,355.58

2,429,156.87

2,135,279.00

2,211,087.62

218,069.25

(13,094.32
)
—

—

6.5

5.823

MON
11566.09
111,397.3

11,302,007

5152036
36241LHQ2
GNMA POOL # 782939
 
 
2
 
3,432,678.91

3,647,316.31

3,275,920.95

3,421,664.75

225,651.56

(23,933.06
)
—

—

5

4.174

MON
13649.67
130,522.72

4,232,010

9152036
36241LN36
GNMA POOL # 783110
 
 
2
 
734,776.88

764,811.32

678,581.80

731,484.99

33,326.33

(14,922.02
)
—

—

5.5

3.91

MON
3110.17
31,130.7

9,232,010

4152036
36290SJB8
GNMA POOL # 615958
 
 
2
 
4,114,195.7

4,374,198.17

3,926,315.37

4,096,934.86

277,263.31

(25,422.08
)
—

—

5

4.151

MON
16359.65
156,349.84

4,232,010

9152033
36292DWW8
GNMA POOL # 646061
 
 
2
 
113,829.76

122,941.22

109,156.50

113,524.18

9,417.04

(1,502.81
)
—

—

6.5

5.512

MON
591.26
6,268.54

1,312,008

11152037
36295KAT0
GNMA POOL # 672418
 
 
2
 
63,132.22

68,185.62

60,540.34

62,975.55

5,210.07

(328.23
)
—

—

6.5

5.413

MON
327.93
3,045.67

1,312,008

12152037
36295P4L3
GNMA POOL # 676827
 
 
2
 
263,297.45

268,850.51

251,996.95

261,146.79

7,703.72

(1,452.04
)
—

—

5

3.334

MON
1049.99
9,737.21

3,262,009

5152023
36295PZJ4
GNMA POOL # 676745
 
 
2
 
89,508.72

91,451.22

85,718.37

88,664.11

2,787.11

(1,151.49
)
—

—

5

3.574

MON
357.16
3,533.29

3,262,009

3152023
36295QJE1
GNMA POOL # 677161
 
 
2
 
319,340.04

324,642.89

304,291.85

316,353.89

8,289

(12,382.07
)
—

—

5

3.39

MON
1267.88
13,516.09

4,272,009

8152023
36295TVQ4
GNMA POOL # 680223
 
 
2
 
40,978.47

44,258.58

39,296.11

40,891.6

3,366.98

(1,349.22
)
—

—

6.5

5.019

MON
212.85
2,753.6

1,312,008

1152038
36296DR67
GNMA POOL # 688209
 
 
2
 
22,677.91

23,049.35

21,604.44

22,408.56

640.79

(190.00
)
—

—

5

3.749

MON
90.02
854.26

7,292,009

7152023
36296E5H5
GNMA POOL # 689448
 
 
2
 
190,104.9

194,230.5

182,054.68

188,655.32

5,575.18

(3,340.20
)
—

—

5

3.306

MON
758.56
8,026.66

3,262,009

7152023
36296TPY3
GNMA POOL # 700739
 
 
2
 
288,104.32

293,581.07

272,862.40

285,357.65

8,223.42

(2,367.23
)
—

—

5.5

3.418

MON
1250.62
11,782.62

6,032,009

10152023
36296U3C2
GNMA POOL # 701995
 
 
2
 
71,811.4

73,369.83

68,770.46

71,215.46

2,154.37

(3,275.18
)
—

—

5

3.58

MON
286.54
5,217.75

3,262,009

1152024
36296UC73
GNMA POOL # 701294
 
 
2
 
191,304.34

195,714.17

183,011.62

189,786.79

5,927.38

(2,223.65
)
—

—

5

3.437

MON
762.55
7,773.36

3,272,009

1152024
36296URS1
GNMA POOL # 701697
 
 
2
 
261,339.52

264,360.57

247,202.62

258,813.51

5,547.06

(6,300.42
)
—

—

5

3.178

MON
1030.01
10,728.16

9,292,009

2152024
36296UUL2
GNMA POOL # 701787
 
 
2
 
220,247.32

227,260.64

212,510.61

218,765.44

8,495.2

(886.00
)
—

—

5

3.839

MON
885.46
8,194.83

6,112,009

3152024
36296XHH0
GNMA POOL # 704132
 
 
2
 
87,561.27

88,364.05

82,824.73

86,761.9

1,602.15

(566.39
)
—

—

5

3.024

MON
345.1
3,198.08

9,292,009

12152023
36296XLY8
GNMA POOL # 704243
 
 
2
 
391,901.05

404,380.33

378,134.59

389,347.43

15,032.9

(1,568.55
)
—

—

5

3.764

MON
1575.56
14,591.2

6,112,009

1152024
36296XWP5
GNMA POOL # 704554
 
 
2
 
1,376,577.22

1,421,268.55

1,329,023.11

1,368,251.79

53,016.76

(10,656.28
)
—

—

5

3.793

MON
5537.6
54,529.81

6,112,009

6152024




36297A3K7
GNMA
 
 
2
 
376,890.5

385,982.23

360,930.60

374,618.56

11,363.67

(1,545.61
)
—

—

5

3.009

MON
1503.88
13,902.3

3,262,009

1152024
36297AKF9
GNMA POOL # 705994
 
 
2
 
340,787.04

344,726.51

322,352.52

338,020.57

6,705.94

(5,260.30
)
—

—

5

2.829

MON
1343.14
13,122.14

9,292,009

1152024
36297DFF9
GNMA POOL # 708566
 
 
2
 
1,072,896.27

1,085,298.83

1,014,859.03

1,063,377.87

21,920.96

(15,431.08
)
—

—

5

3.076

MON
4228.58
43,555.83

9,292,009

4152024
36297DTR8
GNMA POOL # 708960
 
 
2
 
262,103.82

268,426.54

251,004.70

259,797.73

8,628.81

(9,399.46
)
—

—

5

3.704

MON
1045.85
12,607.11

3,262,009

3152024
36297G2R0
GNMA POOL # 711884
 
 
2
 
897,343.81

907,716.99

848,802.89

889,640.64

18,076.35

(32,839.66
)
—

—

5

3.016

MON
3536.68
37,253.69

9,292,009

4152024
36297JJ54
GNMA POOL # 713184
 
 
2
 
977,590.35

988,891.14

924,708.55

968,242.45

20,648.69

(13,079.25
)
—

—

5

3.207

MON
3852.95
36,262.98

9,292,009

4152024
36297KZF1
GNMA POOL # 714542
 
 
2
 
300,931.63

310,420.57

290,273.16

298,921.64

11,498.93

(2,445.54
)
—

—

5

3.858

MON
1209.47
11,694.78

6,112,009

6152024
38374D2N8
GNMA CMO_08-36 AN
 
 
2
 
1,121,082.42

1,111,426.09

1,072,806.14

1,107,858.63

3,567.46

(31,137.07
)
—

—

4.25

1.307

MON
3799.53
41,164.49

10,162,013

10162022
38374YGV9
GNMA AGENCY CMO 10-86
 
 
2
 
1,293,525.82

1,256,546.4

1,226,454.12

1,259,561.45

(3,015.05
)
(31,352.85
)
—

—

3.5

0.205

MON
3577.16
38,537.95

2,152,012

1202036
38375PXQ9
GNMA CMO 08-11 FB
 
 
2
 
966,302.59

973,374.8

962,793.70

966,204.27

7,170.53

(1,106.46
)
—

—

0.754

0.666

MON
221.67
6,288.42

12,032,012

2202038
38376CUM9
GNMA CMO_09-79 PA
 
 
2
 
115,802.91

109,024.26

108,982.96

109,403.1

(378.84
)
(63,616.10
)
—

—

4.5

(0.151
)
MON
408.69
73,580.02

8,022,011

9202032
38376JSV7
GNMA AGENCY CMO 09-103
 
 
2
 
148,749.75

141,883.68

141,540.05

142,030.33

(146.65
)
(11,255.25
)
—

—

4.5

0.14

MON
530.78
13,429.73

2,062,012

12202032
38376WSP1
GNMA AGENCY CMO 10-24
 
 
2
 
205,400.84

205,004.46

204,061.69

205,278.09

(273.63
)
(316.69
)
—

—

0.674

0.461

MON
41.99
1,154.3

12,052,012

12202038
38376YC58
GNMA AGENCY CMO 10-47
 
 
2
 
1,495,381.13

1,471,404.34

1,448,311.02

1,466,693.5

4,710.84

(23,838.64
)
—

—

3

1.12

MON
3620.78
41,055.51

3,212,012

11162030
38377JEA7
GNMA AGENCY CMO 10-109 CH
 
 
2
 
497,680.57

499,527.52

483,845.60

495,768.36

3,759.16

(4,891.50
)
—

—

3

1.384

MON
1209.61
12,234.06

9,262,013

12202037
47787BAD7
JDOT_12-A ABS 12-A
 
 
2
 
3,999,112.4

4,015,119.92

4,000,000.00

3,999,702.97

15,416.95

172.96

—

—

0.99

0.998

MON
1760
29,700

2,222,012

6152018
58768WAC3
MBART_13-1 ABS 13-1
 
 
2
 
2,604,904.14

2,608,714.36

2,605,000.00

2,604,940.54

3,773.82

23.10

—

—

0.78

0.782

MON
903.07
15,239.25

7,232,013

8152017
65475UAC6
NAROT_12-A ABS 12-A
 
 
2
 
996,557.49

997,797.19

996,690.86

996,661.47

1,135.72

89.86

—

—

0.73

0.736

MON
323.37
9,198.98

2,152,012

5162016
73328WAC5
PILOT_12-1 ABS 12-1 144A
 
 
2
 
572,661.3

572,722.36

572,756.71

572,734.21

(11.85
)
81.31

—

—

0.54

0.549

MON
85.91
5,108.99

10,102,012

12212015
784423AF2
SLCLT_04-1 ABS 04-1
 
 
2
 
983,750

990,629

1,000,000.00

988,016

2,613

2,480.03

—

—

0.394

0.714

FMAN
513.87
2,974.19

5,202,013

5152023
04057PJL3
ARIZONA SCH FACS BRD CTFS PART MUNITAX B
 
 
 
 
2,175,000

2,184,483

2,175,000.00

2,175,000

9,483

—

—

—

1.474

1.474

MS
2671.63
9,083.53

6,042,014

9012017
19648CAE1
COLORADO HOUSING & FINANCE AUT MUNITAX B
 
 
 
 
5,030,400

5,070,650

5,000,000.00

5,012,901.22

57,748.78

(5,848.36
)
—

—

1.6

1.438

MN
30222.22
60,000

6,212,012

5152016
3130A0C65
FHLB AGENCY BND
 
 
 
 
3,841,645

3,839,373.96

3,850,000.00

3,843,955.61

(4,581.65
)
2,322.79

—

—

0.625

0.696

JD
6216.16
23,255.22

12,032,013

12282016
3130A1CD8
FHLB AGENCY BND
 
 
1
 
2,019,500

2,014,299.92

2,000,000.00

2,013,558.29

741.63

(5,941.71
)
—

—

1.125

0.439

MS
187.5
9,812.5

4,232,014

9282016
3130A2JA5
FHLB AGENCY BND
 
 
1
 
5,000,000

5,002,080

5,000,000.00

5,000,000

2,080

—

—

—

0.784

0.785

MON
871.11
7,412.77

6,272,014

7232019
31331KHV5
FED FARM CR BKS AGENCY BND
 
 
 
 
1,348,758.5

1,350,847.03

1,350,000.00

1,349,657.9

1,189.13

164.32

—

—

0.224

0.274

MON
92.19
2,304.19

6,272,013

4202016
313370SZ2
FHLB UNSEC AGENCY BND
 
 
 
 
11,347,333

11,330,109.89

11,000,000.00

11,340,690.23

(10,580.34
)
(6,642.77
)
—

—

2.25

1.174

MS
15812.5
14,437.5

9,112,014

9082017




313382K85
FHLB AGENCY BND
 
 
 
 
2,997,150

3,001,349.94

3,000,000.00

2,998,604.02

2,745.92

707.32

—

—

0.45

0.482

MS
487.5
10,125

3,132,013

3182016
313383V81
FHLB AGENCY BND
 
 
 
 
1,499,940

1,502,505

1,500,000.00

1,499,973.3

2,531.7

21.99

—

—

0.375

0.377

FA
515.63
4,218.75

8,082,013

8282015
3133ECUQ5
FED FARM CR BKS AGENCY BND
 
 
 
 
1,499,805

1,500,840

1,500,000.00

1,499,898.55

941.45

58.18

—

—

0.163

0.207

MON
81.5
1,880.03

7,152,013

1192016
3134G3J76
FHLMC AGENCY BND
 
 
 
 
7,002,107

7,016,240

7,000,000.00

7,000,661.35

15,578.65

(531.08
)
—

—

0.45

0.44

MS
2362.5
23,625

9,142,012

9042015
3134G3W55
FHLMC UNSECURED AGENCY BND
 
 
 
 
249,972.5

250,467.48

250,000.00

249,989.27

478.21

6.97

—

—

0.45

0.454

MN
396.88
843.75

12,182,012

11242015
3134G42Q0
FHLMC UNSECURED AGENCY BND
 
 
1
 
247,725

249,365.01

250,000.00

248,462.38

902.63

549.46

—

—

0.6

0.901

AO
650
1,125

9,272,013

10252016
3134G54G7
FHLMC AGENCY BND
 
 
1
 
3,499,650

3,492,720

3,500,000.00

3,499,698.22

(6,978.22
)
48.22

—

—

1

1.003

AO
14680.56
14,680.56

4,282,014

4282017
3134G55K7
FHLMC AGENCY BND
 
 
1
 
5,000,000

4,993,349.85

5,000,000.00

5,000,000

(6,650.15
)
—

—

—

1.05

1.048

AO
20270.83
20,270.83

5,072,014

4282017
31359MZC0
FNMA AGENCY BND
 
 
 
 
5,904,904.9

5,527,105

5,300,000.00

5,425,117.38

101,987.62

(88,400.28
)
—

—

4.375

2.065

AO
106920.14
173,906.25

7,162,010

10152015
3135G0CM3
FNMA AGENCY BND
 
 
 
 
1,775,714.5

1,770,212.48

1,750,000.00

1,767,199.64

3,012.84

(6,372.83
)
—

—

1.25

0.752

MS
182.29
16,406.25

10,012,013

9282016
3135G0NR0
FNMA AGENCY BND
 
 
1
 
249,762.5

247,882.5

250,000.00

249,812.59

(1,930.09
)
50.09

—

—

1.1

1.126

FA
252.08
1,481.94

3,142,014

8282017
3135G0SB0
FNMA UNSECURED AGENCY BND
 
 
 
 
14,971,672.35

15,014,851.5

15,000,000.00

14,987,903.09

26,948.41

7,383.20

—

—

0.375

0.441

JD
15625
42,187.5

2,052,013

12212015
3135G0UM3
FNMA AGENCY BND
 
 
1
 
2,499,125

2,502,075.25

2,500,000.00

2,499,589.33

2,485.92

218.42

—

—

0.52

0.532

FA
1263.89
9,750

2,052,013

2262016
3135G0VA8
FNMA AGENCY BND
 
 
 
 
6,742,305

6,757,694.87

6,750,000.00

6,746,295.09

11,399.78

1,834.16

—

—

0.5

0.537

MS
93.75
25,312.5

2,142,013

3302016
3135G0WJ8
FNMA AGENCY BND
 
 
 
 
1,995,720

1,957,780

2,000,000.00

1,996,923.96

(39,143.96
)
619.93

—

—

0.875

0.918

MN
6319.45
13,125.01

4,112,013

5212018
3135G0WW9
FNMA AGENCY BND
 
 
1
 
2,999,980.3

2,997,450.03

3,000,000.00

2,999,983.94

(2,533.91
)
7.81

—

—

0.52

0.52

MN
5676.67
11,700

6,022,014

5202016
3135G0XP3
FNMA UNSEC AGENCY BND
 
 
 
 
1,743,962.5

1,744,767.43

1,750,000.00

1,746,595.61

(1,828.18
)
1,441.61

—

—

0.375

0.486

JJ
1567.71
4,921.87

5,152,013

7052016
3135G0YG2
FNMA UNSECURED AGENCY BND
 
 
 
 
349,790

349,999.53

350,000.00

349,872.15

127.38

52.54

—

—

0.165

0.216

MON
9.6
437.79

7,302,013

7252016
3135G0ZB2
FNMA AGENCY BND
 
 
 
 
6,726,442.5

6,715,980.14

6,750,000.00

6,730,623.33

(14,643.19
)
4,180.83

—

—

0.75

0.864

AO
22640.62
28,265.62

3,062,014

4202017
3137EACH0
FHLMC AGENCY BND
 
 
 
 
8,563,258.24

8,079,120

8,000,000.00

8,061,972.85

17,147.15

(130,142.01
)
—

—

2.875

0.691

FA
33222.22
172,500

11,022,011

2092015
3137EACY3
FHLMC AGENCY BND
 
 
 
 
5,000,300

5,005,250

5,000,000.00

5,000,015.23

5,234.77

(76.08
)
—

—

0.75

0.748

MN
13125
28,125

11,282,011

11252014
3137EADH9
FHLMC AGENCY BND
 
 
 
 
4,502,205

4,498,020.05

4,500,000.00

4,502,138.61

(4,118.56
)
(66.39
)
—

—

1

0.982

JD
11500
4,000

8,282,014

6292017
3137EADP1
FHLMC UNSECURED AGENCY BND
 
 
 
 
14,877,000

14,740,499.55

15,000,000.00

14,916,242.24

(175,742.69
)
17,799.40

—

—

0.875

1.041

MS
8750
98,437.5

2,012,013

3072018
3137EADQ9
FHLMC AGENCY BND
 
 
 
 
2,949,823

2,951,710.97

2,950,000.00

2,949,908.66

1,802.31

72.70

—

—

0.5

0.502

MN
5654.17
19,136.81

3,062,013

5132016
452227FG1
ILLINOIS ST SALES TAX REV MUNITAX BND RE
 
 
 
 
4,100,000

4,143,337

4,100,000.00

4,100,000

43,337

—

—

—

1.56

1.56

JD
18832.67
47,970

5,102,012

6152017
59261EAE9
METROPOLITAN TRANS AUTH N Y MUNITAX BND
 
 
 
 
16,629,940

16,620,698.3

16,645,000.00

16,629,981.16

(9,282.86
)
41.16

—

—

1.848

1.868

JJ
40158.85
41,236.85

9,232,014

7012019
646136K83
NEW JERSEY ST TRANSN TR FD AUT MUNITAX B
 
 
 
 
5,050,000

4,941,677.66

5,050,000.00

5,050,000

(108,322.34
)
—

—

—

1.758

1.758

JD
26140.48
66,584.25

4,172,013

12152018




70922PAE2
PA TURNPIKE-E MUNITAX BND REV
 
 
 
 
4,500,000

4,520,205

4,500,000.00

4,500,000

20,205

—

—

—

1.699

1.699

JD
2973.25
2,973.25

9,112,014

12012018
745190WA2
PUERTO RICO COMWLTH HWY & TRAN MUNI BND
 
 
1
 
53,825.5

51,812

50,000.00

51,758.8

53.2

(1,755.29
)
—

—

5

0.3

JJ
625
625

11,072,013

7012045
74529JNP6
PUERTO RICO SALES TAX FING COR MUNI BND
 
 
1
 
985,000

950,110

1,000,000.00

986,047.21

(35,937.21
)
1,047.21

—

—

5

5.219

FA
8333.33
35,833.33

1,082,014

8012022
854403AC6
LELAND STANFORD JR UNIV CALIF MUNI BND R
 
 
 
 
4,157,579

4,129,607.85

3,700,000.00

4,157,579

(27,971.15
)
—

—

—

4.75

1.915

MN
74205.56
—

9,302,014

5012019
880591EQ1
TN VLY AUTHORITY SENIOR AGENCY BND
 
 
 
 
2,552,790.6

2,568,437.17

2,565,000.00

2,555,156.12

13,281.05

3,415.17

—

—

1.75

1.849

AO
20698.12
65,545.86

9,242,013

10152018
880591ER9
TN VLY AUTHORITY AGENCY BND
 
 
 
 
4,947,000

4,971,300.15

5,000,000.00

4,947,024.98

24,275.17

24.98

—

—

2.875

2.999

MS
798.61
798.61

9,242,014

9152024
882117V27
TEXAS A & M UNIVERSITY MUNITAX BND REV
 
 
 
 
1,000,000

1,011,470

1,000,000.00

1,000,000

11,470

—

—

—

1.239

1.239

JJ
3097.5
9,292.5

6,262,012

7012016
91412GUW3
UNIVERSITY CALIFORNIA MUNITAX BND REV
 
 
 
 
2,600,000

2,634,242

2,600,000.00

2,600,000

34,242

—

—

—

2.364

2.364

MN
29195.4
29,195.4

4,042,014

5152019
914455KX7
UNIVERSITY MICH UNIV REVS MUNITAX BND RE
 
 
 
 
3,500,000

3,525,900

3,500,000.00

3,500,000

25,900

—

—

—

1.754

1.754

AO
30695
46,042.5

10,282,010

4012015
914713G63
UNIVERSITY N C CHAPEL HILL MUNITAX BND R
 
 
 
 
1,000,000

1,013,010

1,000,000.00

1,000,000

13,010

—

—

—

1.225

1.225

JD
4083.33
9,187.5

6,282,012

12012016
914713J94
UNIVERSITY N C CHAPEL HILL MUNITAX BND R
 
 
 
 
1,000,000

1,000,400

1,000,000.00

1,000,000

400

—

—

—

0.759

0.759

JD
0
—

9,252,014

12012016
914713K27
UNIVERSITY N C CHAPEL HILL MUNITAX BND R
 
 
 
 
500,000

501,730

500,000.00

500,000

1,730

—

—

—

1.317

1.317

JD
0
—

9,252,014

12012017
78446VAA7
SLMA_12-A ABS 12-A 144A
 
 
2
 
3,589,162.99

3,630,751.45

3,586,813.06

3,588,840.48

41,910.97

(608.46
)
—

—

1.554

1.517

MON
2476.66
46,851.9

5,132,014

8152025
01F0304A3
FNMA TBA MBS
 
 
2
 
5,146,093.75

5,149,218.75

5,000,000.00

5,146,093.75

3,125

—

—

—

3

2.475

MON
7916.67
—

9,172,014

10012026
01F0306A1
FNMA TBA MBS
 
 
2
 
4,892,187.5

4,929,687.5

5,000,000.00

4,892,187.5

37,500

—

—

—

3

3.185

MON
5416.67
—

9,172,014

10012042
01F0326A7
FNMA TBA MBS
 
 
2
 
10,212,500

10,223,437.5

10,000,000.00

10,212,500

10,937.5

—

—

—

3.5

3.005

MON
12638.89
—

9,092,014

10012040
01F0406A0
FNMA TBA MBS
 
 
2
 
4,642,000

4,637,875

4,400,000.00

4,642,000

(4,125
)
—

—

—

4

3.497

MON
6355.56
—

9,082,014

10012039
01F0426A6
FNMA TBA MBS
 
 
2
 
5,371,875

5,395,312.5

5,000,000.00

5,371,875

23,437.5

—

—

—

4.5

1.307

MON
8125
—

9,172,014

10012037
30250GAA6
SSGN_10-S1 CMO_10-S1-1A 144A
 
 
2
 
378,770.24

378,926.3

378,770.24

378,770.24

156.06

(0.01
)
—

—

0.703

0.704

MON
14.78
2,398.02

3,052,010

2252048
3128JLHB8
FHLMC POOL # 1B1225
 
 
2
 
42,537.22

45,721.01

43,198.13

42,570.42

3,150.59

67.63

—

—

2.313

2.728

MON
83.26
825.66

4,022,007

9012033
3128JMW45
FHLMC POOL # 1B2566
 
 
2
 
61,286.78

66,235.59

61,768.57

61,309.59

4,926

41.88

—

—

2.525

2.652

MON
129.97
1,242.26

4,022,007

11012034
3128JMXM4
FHLMC POOL # 1B2583
 
 
2
 
1,265,317.83

1,372,318.76

1,279,365.27

1,266,277.49

106,041.27

572.78

—

—

2.521

2.71

MON
2687.73
24,645.48

9,172,008

10012034
3128JMY68
FHLMC POOL # 1B2632
 
 
2
 
74,767.32

81,841.38

75,355.10

74,793.47

7,047.91

23.70

—

—

2.521

2.654

MON
158.31
1,463.07

4,032,007

11012034
3128JMZG5
FHLMC POOL # 1B2642
 
 
2
 
111,583.22

120,621.86

112,460.43

111,627.19

8,994.67

77.32

—

—

2.511

2.633

MON
235.32
2,255.21

4,022,007

11012034
3128JNAL9
FHLMC POOL # 1B2810
 
 
2
 
138,622.28

148,993.2

140,064.93

138,692.86

10,300.34

130.69

—

—

2.526

2.727

MON
294.84
2,824.51

4,022,007

2012035
3128JR6Z4
FHLMC POOL # 848088
 
 
2
 
5,815,557.51

5,887,601.98

5,534,508.27

5,802,077

85,524.98

(37,845.71
)
—

—

2.37

1.053

MON
10930.65
105,592.45

3,082,011

4012035
3128JRJS6
FHLMC POOL # 847473
 
 
2
 
1,380,274.06

1,481,361.49

1,385,904.31

1,380,375.28

100,986.21

702.68

—

—

2.353

2.395

MON
2717.53
26,180.09

9,262,007

12012035




3128JRKQ8
FHLMC POOL # 847503
 
 
2
 
662,367.72

720,088.08

678,210.30

663,173.62

56,914.46

1,789.29

—

—

2.296

2.945

MON
1297.64
12,868.38

5,312,006

12012035
3128JRP26
FHLMC POOL # 847641
 
 
2
 
394,879.95

419,450.83

398,064.45

395,081.65

24,369.18

442.29

—

—

2.365

2.49

MON
784.52
7,622.44

2,222,012

12012033
3128JRPZ3
FHLMC POOL # 847640
 
 
2
 
264,931.79

286,448.29

266,383.58

264,977.98

21,470.31

148.35

—

—

2.376

2.454

MON
527.44
5,150.93

11,132,006

5012036
3128KW5Q2
FHLMC POOL # A66255
 
 
2
 
535,163.5

600,945.81

529,087.27

534,720.58

66,225.23

(1,222.75
)
—

—

6

5.745

MON
2645.44
24,852.82

11,022,007

9012037
3128KWBZ5
FHLMC POOL # A65456
 
 
2
 
11,272.26

12,564.13

10,848.49

11,247.91

1,316.22

(113.17
)
—

—

6

5.071

MON
54.24
570.46

2,042,009

9012037
3128KWFX6
FHLMC POOL # A65582
 
 
2
 
25,458.89

28,376.64

24,501.79

25,404.42

2,972.22

(215.01
)
—

—

6

5.069

MON
122.51
1,159.25

2,042,009

9012037
3128KWFY4
FHLMC POOL # A65583
 
 
2
 
25,698.39

28,643.61

24,732.30

25,642.34

3,001.27

(207.84
)
—

—

6

5.093

MON
123.66
1,279.8

2,042,009

9012037
3128KWNV1
FHLMC POOL # A65804
 
 
2
 
350,904.44

400,607.36

346,920.27

350,635.16

49,972.2

(5,395.50
)
—

—

6

5.718

MON
1734.6
22,138.62

11,022,007

9012037
3128KWNX7
FHLMC POOL # A65806
 
 
2
 
973,875.08

1,111,817.04

962,817.73

973,126.47

138,690.57

(2,232.54
)
—

—

6

5.722

MON
4814.09
49,818.82

11,022,007

9012037
3128KWT29
FHLMC POOL # A65969
 
 
2
 
17,327.32

19,313.14

16,675.92

17,290.75

2,022.39

(237.80
)
—

—

6

5.054

MON
83.38
836.17

2,042,009

9012037
3128KWTK9
FHLMC POOL # A65954
 
 
2
 
31,148.6

34,718.4

29,977.58

31,076.88

3,641.52

(229.10
)
—

—

6

5.149

MON
149.89
1,439.64

2,042,009

9012037
3128KWTP8
FHLMC POOL # A65958
 
 
2
 
23,094.46

25,741.26

22,226.27

23,045.15

2,696.11

(204.65
)
—

—

6

5.071

MON
111.13
1,028.32

2,042,009

9012037
3128KWTZ6
FHLMC POOL # A65968
 
 
2
 
22,956.06

25,586.95

22,093.03

22,907.62

2,679.33

(155.16
)
—

—

6

5.049

MON
110.47
1,052.26

2,042,009

9012037
3128KYXE4
FHLMC POOL # A67877
 
 
2
 
23,700.88

26,417.16

22,809.88

23,645.71

2,771.45

(42.55
)
—

—

6

5.116

MON
114.05
1,038.39

2,042,009

4012037
3128M4HY2
FHLMC POOL # G02647
 
 
2
 
491,602.47

553,860.38

498,377.28

491,885.08

61,975.3

2,343.17

—

—

5.5

5.957

MON
2284.23
23,349.89

4,092,007

2012037
3128M4ZG1
FHLMC POOL # G03143
 
 
2
 
3,033.07

3,380.65

2,919.02

3,026.3

354.35

(24.07
)
—

—

6

5.092

MON
14.6
143.17

2,042,009

7012037
3128M5HK9
FHLMC POOL # G03534
 
 
2
 
4,725,475.32

5,274,017.52

4,598,303.42

4,717,713.68

556,303.84

(33,366.40
)
—

—

6.5

5.809

MON
24907.48
250,682.08

11,062,007

10012037
3128M6UB2
FHLMC POOL # G04778
 
 
2
 
75,084.95

83,703.24

72,262.20

74,921.72

8,781.52

(455.72
)
—

—

6

5.148

MON
361.31
3,466.36

2,042,009

7012038
3128M7AZ9
FHLMC POOL # G05124
 
 
2
 
189,405.12

211,145.18

182,284.63

189,002.65

22,142.53

(1,448.69
)
—

—

6

5.163

MON
911.42
8,838.97

2,042,009

12012038
3128M92M3
FHLMC POOL # G07680
 
 
2
 
4,410,852.49

4,408,283.05

4,172,868.58

4,409,283.38

(1,000.33
)
(2,892.02
)
—

—

4

3.122

MON
13909.56
21,369.23

8,122,014

4012044
3128MBBR7
FHLMC POOL # G12548
 
 
2
 
529,043.3

562,742.88

527,888.56

528,430.61

34,312.27

(312.25
)
—

—

5.5

5.409

MON
2419.49
24,096.67

3,302,007

1012022
3128MBU70
FHLMC POOL # G13106
 
 
2
 
666,353.89

658,957.49

621,308.98

660,518.52

(1,561.03
)
(17,575.73
)
—

—

5

2.168

MON
2588.79
26,540.64

7,172,013

10012020
3128MCRQ0
FHLMC POOL # G13895
 
 
2
 
1,903,658.85

1,866,160.57

1,768,275.27

1,865,452.14

708.43

(53,200.78
)
—

—

5

2.146

MON
7367.81
77,682.68

11,102,011

11012019
3128MD5G4
FHLMC POOL # G15147
 
 
2
 
3,080,080.42

3,065,701.33

2,970,765.54

3,078,962.48

(13,261.15
)
(1,723.77
)
—

—

3

2.25

MON
7426.91
10,663.07

8,132,014

8012029
3128MDCL5
FHLMC POOL # G14375
 
 
2
 
186,575.38

186,468.83

175,316.76

186,107.07

361.76

(2,640.27
)
—

—

4

2.117

MON
584.39
5,745.62

12,132,013

7012026
3128MDM91
FHLMC POOL # G14684
 
 
2
 
1,925,357.81

1,884,265.36

1,830,813.46

1,913,205.02

(28,939.66
)
(18,607.95
)
—

—

3

1.567

MON
4577.03
44,255.55

2,132,013

2012023
3128MDNM1
FHLMC POOL # G14696
 
 
2
 
895,134.47

881,330.89

806,200.46

886,210.5

(4,879.61
)
(28,866.91
)
—

—

6

2.856

MON
4031
40,555.81

3,012,013

3012024




3128MDVW0
FHLMC POOL # G14929
 
 
2
 
780,967.99

776,058.4

728,201.82

779,109.62

(3,051.22
)
(10,766.98
)
—

—

4

2.243

MON
2427.34
23,772.77

11,192,013

10012028
3128MJU81
FHLMC POOL # G08606
 
 
2
 
5,236,718.75

5,269,082.25

5,000,000.00

5,236,718.75

32,363.5

—

—

—

4

3.083

MON
7222.22
—

9,182,014

9012044
3128MJUW8
FHLMC POOL # G08596
 
 
2
 
4,729,878.09

4,708,741.68

4,362,475.83

4,727,343.34

(18,601.66
)
(3,891.57
)
—

—

4.5

2.539

MON
16359.28
22,379.83

8,152,014

7012044
3128MTB72
FHLMC POOL # H00962
 
 
2
 
66,253.85

73,273.43

64,979.65

66,193.72

7,079.71

(1,532.27
)
—

—

6.5

5.644

MON
351.97
5,148.61

10,312,007

7012037
3128MTEE4
FHLMC POOL # H01033
 
 
2
 
1,124,488.97

1,243,628.13

1,102,862.53

1,122,990.86

120,637.27

(24,343.67
)
—

—

6.5

6.057

MON
5973.84
83,751.52

10,312,007

7012037
3128MTF29
FHLMC POOL # H01085
 
 
2
 
106,550.92

117,839.94

104,501.70

106,381.04

11,458.9

(106.99
)
—

—

6.5

6.139

MON
566.05
5,143.79

10,312,007

7012037
3128NCB37
FHLMC POOL # 1G0058
 
 
2
 
158,572.72

170,363.23

158,945.25

158,564.61

11,798.62

47.76

—

—

2.458

2.456

MON
325.57
3,087.17

9,172,008

1012035
3128NCD68
FHLMC POOL # 1G0125
 
 
2
 
1,314,854.53

1,422,186.42

1,342,973.02

1,316,975.93

105,210.49

2,693.18

—

—

2.35

2.785

MON
2629.99
25,543.64

12,132,005

3012035
3128NCMS0
FHLMC POOL # 1G0369
 
 
2
 
237,964.36

253,016.74

236,780.46

237,833.81

15,182.93

20.81

—

—

2.355

2.191

MON
464.68
4,235.68

8,272,008

10012035
3128PV4J6
FHLMC POOL # J16225
 
 
2
 
1,953,270.63

1,976,144.16

1,848,976.77

1,939,419.4

36,724.76

(18,012.27
)
—

—

4

2.684

MON
6163.26
58,412.71

8,022,011

8012026
3128PVWH9
FHLMC POOL # J16048
 
 
2
 
6,170,370.23

6,242,627.64

5,840,906.62

6,124,654.16

117,973.48

(50,862.53
)
—

—

4

2.728

MON
19469.7
183,959.52

8,022,011

7012026
3128QJ3B0
FHLMC POOL # 1G1694
 
 
2
 
1,173,619.91

1,265,168.14

1,191,256.10

1,174,557.19

90,610.95

911.21

—

—

2.159

2.453

MON
2143.27
20,974.89

8,102,007

4012037
3128QJLG9
FHLMC POOL # 1G1227
 
 
2
 
189,108.62

198,998.98

185,400.64

188,737.44

10,261.54

(74.13
)
—

—

2.499

2.091

MON
386.1
3,564.39

1,042,008

10012036
3128QJRN8
FHLMC POOL # 1G1393
 
 
2
 
1,039,001.26

1,063,170.82

997,276.68

1,036,665.68

26,505.14

(6,352.77
)
—

—

2.539

1.71

MON
2110.07
19,706.35

3,092,012

12012036
312929CM2
FHLMC POOL # A82776
 
 
2
 
8,103.8

9,033.94

7,799.13

8,086.28

947.66

(63.15
)
—

—

6

5.181

MON
39
355.86

2,042,009

1012039
31292KJH1
FHLMC POOL # C02964
 
 
2
 
1,672.14

1,863.78

1,609.28

1,668.47

195.31

(8.84
)
—

—

6

5.075

MON
8.05
76.63

2,042,009

7012037
31292SA91
FHLMC POOL # C09032
 
 
2
 
1,179,004.4

1,183,278.33

1,158,282.01

1,178,875.41

4,402.92

(128.99
)
—

—

3.5

3.175

MON
3378.32
1,576.55

9,122,014

2012043
312930LH1
FHLMC POOL # A83928
 
 
2
 
17,312.04

19,299.11

16,661.20

17,275.98

2,023.13

(63.33
)
—

—

6

5.157

MON
83.31
793.11

2,042,009

1012039
312930LQ1
FHLMC POOL # A83935
 
 
2
 
37,447.23

41,745.45

36,039.44

37,363.73

4,381.72

(301.80
)
—

—

6

5.221

MON
180.2
1,745.52

2,042,009

1012039
312930RC6
FHLMC POOL # A84083
 
 
2
 
21,997

24,524.79

21,170.05

21,939.94

2,584.85

(79.35
)
—

—

6

5.324

MON
105.85
959.77

2,042,009

1012039
312930RV4
FHLMC POOL # A84100
 
 
2
 
10,696.49

11,924.26

10,294.38

10,672.45

1,251.81

(63.97
)
—

—

6

5.216

MON
51.47
472.66

2,042,009

1012039
312930TB6
FHLMC POOL # A84146
 
 
2
 
11,046.52

12,315.95

10,631.25

11,023.4

1,292.55

(68.18
)
—

—

6

5.158

MON
53.16
482.02

2,042,009

1012039
31295NXK9
FHLMC POOL # 789682
 
 
2
 
28,421.44

30,279.85

28,585.58

28,429.71

1,850.14

5.42

—

—

2.352

2.435

MON
56.03
511.59

8,102,006

9012032
31300L3D5
FHLMC POOL # 848896
 
 
2
 
1,893,945.47

1,889,896.07

1,800,542.34

1,892,651.38

(2,755.31
)
(18,498.48
)
—

—

2.945

1.428

MON
4418.83
43,879.12

4,222,013

5012042
31306YAL5
FHLMC POOL # J20911
 
 
2
 
1,656,403.28

1,642,195.5

1,574,598.01

1,645,656.75

(3,461.25
)
(22,466.12
)
—

—

3

1.485

MON
3936.5
39,046.18

2,132,013

10012022
3132GLQP2
FHLMC POOL # Q05262
 
 
2
 
3,550,205.14

3,504,537.16

3,430,667.81

3,545,268.77

(40,731.61
)
(9,886.34
)
—

—

3.5

2.959

MON
10006.11
93,160.59

2,032,012

12012041
3132GMDN9
FHLMC POOL # Q05809
 
 
2
 
5,035,011.32

5,011,456.69

4,757,022.80

5,032,535.84

(21,079.15
)
(10,896.63
)
—

—

4

2.998

MON
15856.75
41,258.41

6,272,014

1012042




3133TJP56
FHLMC CMO AGENCY CMO_2130 QS
 
 
2
 
870,826.69

941,833.77

858,750.52

868,189.56

73,644.21

(3,551.44
)
—

—

6

5.665

MON
4293.75
42,798.23

2,062,007

3152029
31342A6F1
FHLMC POOL # 780870
 
 
2
 
247,315.12

268,232.81

251,157.82

247,505.02

20,727.79

639.20

—

—

2.361

2.769

MON
494.15
4,795.52

2,222,012

9012033
31342AZE2
FHLMC POOL # 780741
 
 
2
 
365,967.66

375,985.19

354,716.50

365,331.96

10,653.23

(1,962.83
)
—

—

2.375

1.318

MON
702.04
6,626.95

11,162,009

7012033
31349SJK0
FHLMC POOL # 781166
 
 
2
 
559,736.06

609,445.95

569,004.61

560,401.44

49,044.51

826.08

—

—

2.355

2.706

MON
1116.67
10,416.99

1,092,006

1012034
31349UCW6
FHLMC POOL # 782785
 
 
2
 
120,088.5

128,064.47

121,032.58

120,140.53

7,923.94

124.45

—

—

2.232

2.358

MON
225.12
2,183.87

4,022,007

10012034
31349UEJ3
FHLMC POOL # 782837
 
 
2
 
208,794.28

225,805.17

210,435.69

208,869.65

16,935.52

211.19

—

—

2.375

2.512

MON
416.49
3,994.43

4,022,007

11012034
31349UJL3
FHLMC POOL # 782967
 
 
2
 
72,189.73

78,647.48

73,277.44

72,253.32

6,394.16

93.95

—

—

2.375

2.697

MON
145.03
1,361.02

9,302,008

1012035
31349ULB2
FHLMC POOL # 783022
 
 
2
 
216,434.95

232,346.14

218,367.52

216,525.65

15,820.49

263.96

—

—

2.375

2.542

MON
432.19
4,205.38

4,022,007

2012035
3136A7QW5
FNMA_12-86 AGENCY CMO 12-86
 
 
2
 
436,068.97

433,867.68

430,951.43

432,669.14

1,198.54

(2,468.57
)
—

—

2

1.165

MON
718.25
9,986.31

9,062,012

3252041
3136AFA95
FNMA_13-81 AGENCY CMO 13-81 UF
 
 
2
 
1,800,703.16

1,797,605.78

1,802,111.06

1,800,836.06

(3,230.28
)
195.07

—

—

0.405

0.417

MON
121.5
5,710.56

8,132,013

2252043
31371NAC9
FNMA POOL # 256603
 
 
2
 
350,990.23

383,267.91

350,661.47

350,582.52

32,685.39

(141.62
)
—

—

5.5

5.409

MON
1607.2
16,070.79

7,172,008

2012022
31371NE35
FNMA POOL # 256754
 
 
2
 
140,666.82

145,044.16

132,704.56

138,770.42

6,273.74

(2,007.59
)
—

—

5.5

3.493

MON
608.23
5,924.78

9,292,009

6012022
3137A2H95
FREDDIE MAC FHLMC_3766 CMO_37-66 FA
 
 
2
 
27,670.36

27,660.65

27,644.45

27,658.36

2.29

(37.45
)
—

—

0.504

0.421

MON
6.19
173.01

6,182,013

6152028
3137A47K7
FHLMC SENIOR CMO_3778 M
 
 
2
 
239,490.11

238,961.7

220,410.82

238,445.34

516.36

(3,339.19
)
—

—

4.5

2.261

MON
826.54
7,449.21

1,132,014

8152039
3137A63Z3
FHLMC_3792 AGENCY CMO 3792
 
 
2
 
2,061,703.73

2,052,745.35

2,047,626.28

2,059,457.02

(6,711.67
)
(4,699.54
)
—

—

0.554

0.375

MON
503.81
12,551.57

11,092,012

11152040
3137ACNE5
FHLMC_3879 CMO_3879 MF
 
 
2
 
334,778.69

333,892.89

333,476.04

334,675.8

(782.91
)
(335.14
)
—

—

0.504

0.367

MON
74.64
1,382.05

11,052,013

9152038
3137B8MW4
FHLMC_4322 SENIOR AGENCY CMO_4322-DN
 
 
2
 
5,284,747.62

5,209,799.78

4,925,350.92

5,276,729.14

(66,929.36
)
(11,910.51
)
—

—

4

2.218

MON
16417.83
19,736.97

8,202,014

5152043
3137BDKF2
FHR AGENCY CMO_4384 LA
 
 
2
 
4,739,062.5

4,725,211.5

4,500,000.00

4,738,763.22

(13,551.72
)
(299.28
)
—

—

3.5

1.05

MON
13125
437.5

8,272,014

9152040
31385W2S7
FNMA POOL # 555285
 
 
2
 
1,655,478.17

1,717,776.46

1,502,419.24

1,645,351.04

72,425.42

(36,840.03
)
—

—

6

3.549

MON
7512.1
73,990.4

1,052,011

3012033
31385XAZ0
FNMA POOL # 555424
 
 
2
 
1,851,153.8

1,910,691.27

1,700,622.16

1,843,166.67

67,524.6

(35,211.62
)
—

—

5.5

3.381

MON
7794.52
76,418.75

1,252,012

5012033
31385XEW3
FNMA POOL # 555549
 
 
2
 
84,803.41

90,341.81

85,498.09

85,002.71

5,339.1

238.82

—

—

5

5.22

MON
356.24
3,749.19

12,142,007

6012018
31385XK48
FNMA POOL # 555715
 
 
2
 
66,177.86

70,250.35

66,768.74

66,222.11

4,028.24

91.29

—

—

2.347

2.534

MON
130.59
1,295.38

4,022,007

7012033
3138A7Q76
FNMA POOL # AH5877
 
 
2
 
695,637.7

692,220.33

648,991.44

693,566.6

(1,346.27
)
(7,801.56
)
—

—

4

2.008

MON
2163.31
20,728.4

12,172,013

2012026
3138A9YZ1
FNMA POOL # AH7927
 
 
2
 
1,864,949.57

1,898,559.59

1,801,611.63

1,857,032.24

41,527.35

(11,807.33
)
—

—

3.5

2.571

MON
5254.7
49,997.03

8,032,011

8012026
3138AP6W3
FNMA POOL # AI9884
 
 
2
 
4,751,158.57

4,760,300.01

4,379,578.68

4,748,867.57

11,432.44

(3,109.16
)
—

—

4.5

2.808

MON
16423.43
22,458.61

8,152,014

9012041
3138ATD31
FNMA POOL# AJ1921
 
 
2
 
477,636.45

483,428.14

447,598.41

476,657.51

6,770.63

(3,248.49
)
—

—

4.5

3.215

MON
1678.49
15,675.41

9,202,011

9012041
3138EBG33
FNMA POOL#AK6517
 
 
2
 
1,330,900.43

1,314,245.79

1,273,208.19

1,324,263.07

(10,017.28
)
(8,643.76
)
—

—

3

2.042

MON
3183.02
30,118.03

4,242,012

3012027




3138EGHT4
FNMA POOL # AL0241
 
 
2
 
4,255,535.38

4,207,366.19

3,987,909.29

4,247,117.33

(39,751.14
)
(24,040.73
)
—

—

4

2.972

MON
13293.03
124,275.16

2,272,013

4012041
3138EJPG7
FNMA POOL # AL2222
 
 
2
 
802,307.83

780,512.4

757,117.38

797,777.43

(17,265.03
)
(6,147.01
)
—

—

3

1.75

MON
1892.79
17,898.72

8,072,012

8012027
3138EJRA8
FNMA POOL # AL2280
 
 
2
 
3,547,470.2

3,567,565.4

3,287,786.45

3,545,699.51

21,865.89

(1,770.69
)
—

—

4.5

2.801

MON
12329.2
5,342.65

9,152,014

9012042
3138EKVP7
FNMA POOL # AL3321
 
 
2
 
5,005,701.55

4,979,593.28

4,865,809.52

5,004,525.21

(24,931.93
)
(3,659.75
)
—

—

3.5

3.071

MON
14191.95
36,723.64

6,272,014

2012043
3138ELZ63
FNMA POOL # AL4364
 
 
2
 
4,586,442.76

4,502,479.17

4,336,421.00

4,584,286.34

(81,807.17
)
(26,690.79
)
—

—

3.66

2.217

MON
13226.08
100,741.9

2,102,014

9012042
3138EMCW9
FNMA POOL # AL4584
 
 
2
 
426,252.14

422,243.55

396,975.23

425,271.83

(3,028.28
)
(8,483.71
)
—

—

4.5

2.273

MON
1488.66
14,924.44

12,122,013

1012027
3138LURE7
FNMA POOL # AO4084
 
 
2
 
1,421,258.64

1,409,325.22

1,338,048.74

1,414,699.37

(5,374.15
)
(14,764.85
)
—

—

3.5

2.135

MON
3902.64
37,071.75

1,242,013

5012027
3138LYPM3
FNMA POOL # AO7627
 
 
2
 
1,231,256.61

1,223,055.79

1,186,396.01

1,230,832.53

(7,776.74
)
(424.08
)
—

—

3

2.071

MON
2965.99
1,483

8,152,014

6012027
3138M5GL7
FNMA POOL # AP2002
 
 
2
 
647,124.23

644,312.84

606,560.51

642,518.9

1,793.94

(8,909.95
)
—

—

3.5

1.342

MON
1769.13
17,083.82

5,132,013

8012022
3138M8HY2
FNMA POOL # AP4746
 
 
2
 
2,113,701.57

2,073,016.61

2,008,286.24

2,110,599.84

(37,583.23
)
(17,226.48
)
—

—

3

1.837

MON
5020.72
47,933.66

6,022,014

8012027
3138M8YB3
FNMA POOL # AP5205
 
 
2
 
5,498,852.96

5,343,275.41

5,301,696.12

5,479,585.6

(136,310.19
)
(23,540.98
)
—

—

2.5

1.724

MON
11045.2
103,387.82

9,062,012

9012027
3138MBWZ5
FNMA POOL # AP7863
 
 
2
 
753,213.18

749,940.86

705,999.45

747,904.55

2,036.31

(9,164.23
)
—

—

3.5

1.36

MON
2059.17
19,830.38

5,132,013

9012022
3138MRLL3
FNMA POOL # AQ9330
 
 
2
 
2,661,030.68

2,580,552.15

2,521,743.72

2,658,022.57

(77,470.42
)
(11,813.54
)
—

—

3.5

2.653

MON
7355.09
68,972.22

2,252,013

1012043
3138W4AB7
FNMA POOL # AR6301
 
 
2
 
22,011.61

21,405.71

20,762.61

21,929.9

(524.19
)
(220.04
)
—

—

3

1.703

MON
51.91
502.95

4,292,013

3012028
3138W9LM0
FNMA POOL # AS0331
 
 
2
 
2,258,969.65

2,259,332.55

2,289,012.94

2,259,115.23

217.32

145.58

—

—

3

3.175

MON
5722.53
3,815.02

9,092,014

8012043
3138W9VQ0
FNMA POOL # AS0622
 
 
2
 
2,029,721

2,012,944.11

1,949,311.87

2,026,163.68

(13,219.57
)
(8,594.13
)
—

—

3

2.146

MON
4873.28
45,470.61

10,232,013

10012028
3138WAJB4
FNMA POOL # AS1157
 
 
2
 
5,638,584.95

5,619,195.59

5,450,376.60

5,630,071.38

(10,875.79
)
(24,185.79
)
—

—

3

2.139

MON
13625.95
128,144.28

11,262,013

11012028
3138WAWT0
FNMA POOL # AS1557
 
 
2
 
5,129,498.49

5,106,647.9

4,832,026.85

5,127,074.53

(20,426.63
)
(6,169.21
)
—

—

4

3.034

MON
16106.76
41,566.34

6,272,014

1012044
3138WCAD5
FNMA POOL # AS2703
 
 
2
 
5,223,689.9

5,201,185.25

4,921,480.25

5,221,234.23

(20,048.98
)
(5,502.96
)
—

—

4

3.027

MON
16404.94
42,282.34

6,272,014

6012044
3138WCAV5
FNMA POOL # AS2719
 
 
2
 
7,480,103.37

7,429,830.82

7,030,275.58

7,477,787.53

(47,956.71
)
(3,017.25
)
—

—

4

2.941

MON
23434.25
32,040.21

8,152,014

6012044
3138WCFK4
FNMA POOL # AS2869
 
 
2
 
1,012,192.73

1,011,972.83

979,887.08

1,011,944.9

27.93

(247.83
)
—

—

3

2.326

MON
2449.72
1,224.86

9,122,014

7012029
3138WCPT4
FNMA POOL # AS3133
 
 
2
 
4,082,931.74

4,070,973.11

3,967,622.71

4,082,320.04

(11,346.93
)
(1,091.74
)
—

—

3.5

3.101

MON
11572.23
16,607.74

8,132,014

8012044
3138WPLC6
FNMA POOL # AT2122
 
 
2
 
27,696.94

26,934.52

26,125.32

27,591.49

(656.97
)
(348.97
)
—

—

3

1.74

MON
65.31
637.77

4,292,013

3012028
3138X3EP3
FNMA POOL # AU3741
 
 
2
 
5,044,663.28

5,028,654.74

4,901,449.07

5,043,528.34

(14,873.6
)
(3,153.84
)
—

—

3.5

3.111

MON
14295.9
36,903.14

6,272,014

8012043
3138X9U23
FNMA POOL # AU9600
 
 
2
 
1,806,929.3

1,793,005.11

1,734,305.26

1,803,780.71

(10,775.6
)
(6,669.69
)
—

—

3

2.113

MON
4335.76
40,202.82

10,232,013

10012028
3138XSFZ5
FNMA POOL # AW2883
 
 
2
 
5,189,338.27

5,198,419.36

4,910,077.60

5,186,647.06

11,772.3

(6,921.36
)
—

—

4

3.137

MON
16366.93
59,697.75

6,052,014

4012044
3138XYQJ6
FNMA POOL # AW8556
 
 
2
 
5,143,156.77

5,135,004.94

4,986,548.00

5,142,342.87

(7,337.93
)
(1,236.38
)
—

—

3.5

3.08

MON
14544.1
20,863.54

8,132,014

8012044




31394BPP3
FNMA AGENCY CMO_04-88 HA
 
 
2
 
5,418.53

5,402.21

5,240.04

5,260.94

141.27

(64.57
)
—

—

6.5

5.194

MON
28.38
357.21

1,142,008

7252034
31394DA42
FNMA CMO_05-48 AR
 
 
2
 
80,822.06

86,645.75

80,245.30

80,450.9

6,194.85

(137.09
)
—

—

5.5

5.252

MON
367.79
3,767.67

12,202,007

2252035
31394EZX9
FNMA CMO_05-65 WL
 
 
2
 
1,090,369.01

1,069,263.72

1,047,487.50

1,064,939.8

4,323.92

(21,983.86
)
—

—

5.5

2.109

MON
4800.98
58,800.98

11,162,012

7252034
31395EC47
FHLMC CMO_2839 TS
 
 
2
 
938,100.41

924,911.32

873,159.18

922,842.75

2,068.57

(27,119.12
)
—

—

5

1.498

MON
3638.16
37,853.8

3,072,013

8152019
31396CLF5
FHLMC AGENCY CMO_3054 DW
 
 
2
 
7,661.79

7,747.68

7,690.63

7,672.63

75.05

35.38

—

—

5.5

5.65

MON
35.25
557.6

6,172,008

5152034
31396UWM8
FHLMC AGENCY CMO 3184 FA
 
 
2
 
47,502.24

47,557.53

47,554.25

47,550.75

6.78

66.58

—

—

0.304

0.365

MON
6.42
472.51

4,232,010

2152033
31397JAB0
FHLMC_3346A AGNECY CMO_3335-AF
 
 
2
 
213,113.93

213,500.67

213,097.28

213,107.99

392.68

(6.10
)
—

—

0.304

0.3

MON
28.75
573.44

7,222,011

10152020
31397MTX5
FNMA CMO_08-81 KA
 
 
2
 
245,568.45

247,987.14

246,415.50

245,590.42

2,396.72

1,577.06

—

—

5

5.057

MON
1026.73
16,814.28

7,292,008

10252022
31397NLS2
FNMA AGENCY CMO_09-11 LC
 
 
2
 
942,750.33

938,785.08

885,731.37

940,370.18

(1,585.1
)
(19,074.78
)
—

—

4.5

1.87

MON
3321.5
28,668.59

2,072,014

3252049
31397Y5H0
FHLMC CMO_3484 DA
 
 
2
 
149,859.69

144,832.89

144,052.56

144,404.21

428.68

(4,606.80
)
—

—

5

3.062

MON
600.22
12,541.7

6,012,009

9152022
31398MAY2
FNMA AGENCY CMO_10-9 MC
 
 
2
 
896,750

883,020

800,000.00

887,846.5

(4,826.5
)
(8,903.50
)
—

—

5

1.585

MON
3333.33
13,777.76

5,212,014

4252036
31398Q4P9
FHLMC_3674 SENIOR AGENCY CMO 3674 HJ
 
 
2
 
1,737,931.33

1,736,510.25

1,555,630.83

1,732,055.44

4,454.81

(32,522.26
)
—

—

5.5

2.652

MON
7129.98
69,400.4

11,202,013

4152040
31398SKX0
FANNIE MAE FNMA_10-142 AGENCY CMO 10-142
 
 
2
 
800,409.62

799,411.57

798,413.56

800,417.63

(1,006.06
)
(604.50
)
—

—

0.625

0.556

MON
83.11
4,176.49

8,152,013

12252040
31398SZN6
FNMA AGENCY CMO _10-141-G
 
 
2
 
8,539,434.53

8,463,865.19

8,212,228.55

8,533,191.34

(69,326.15
)
(42,726.98
)
—

—

3.5

2.078

MON
23952.34
55,692.36

7,212,014

5252030
31398T6X4
FNMA CMO 10-113 FA
 
 
2
 
2,425,406.38

2,441,556.81

2,427,233.71

2,425,789.72

15,767.09

40.85

—

—

0.555

0.568

MON
224.32
11,131.04

9,032,013

10252040
31398WV35
FHLMC AGENCY CMO 3654
 
 
2
 
76,739.16

76,017.47

71,509.98

74,784.93

1,232.54

(1,372.42
)
—

—

5

1.659

MON
297.96
3,056.83

2,012,012

11152028
31400EGH7
FNMA POOL # 685200
 
 
2
 
79,900.29

85,118.45

80,554.79

80,094.15

5,024.3

217.10

—

—

5

5.225

MON
335.64
3,478.47

12,142,007

3012018
31400PG58
FNMA POOL # 693320
 
 
2
 
56,681.49

60,847.63

57,179.58

56,721.25

4,126.38

12.86

—

—

2.279

2.476

MON
108.59
990.88

8,102,006

1012033
31400QJ87
FNMA POOL # 694287
 
 
2
 
8,332.87

8,996.64

8,407.27

8,338.51

658.13

5.06

—

—

2.228

2.421

MON
15.61
144.48

4,022,007

3012033
31400SA33
FNMA POOL # 695826
 
 
2
 
36,091.89

38,449

36,387.54

36,177.09

2,271.91

117.29

—

—

5

5.228

MON
151.61
1,639.69

12,142,007

4012018
31401A3C9
FNMA POOL # 702895
 
 
2
 
82,072.45

87,432.51

82,744.77

82,270.53

5,161.98

243.18

—

—

5

5.222

MON
344.77
3,668.68

12,142,007

4012018
31401DVW8
FNMA POOL # 705429
 
 
2
 
107,853.42

116,379.97

109,110.76

107,953.61

8,426.36

95.41

—

—

2.335

2.611

MON
212.31
1,977.15

8,102,006

4012033
31401MKS9
FNMA POOL # 712305
 
 
2
 
752,385.11

745,847.4

706,464.88

750,157.64

(4,310.24
)
(10,546.95
)
—

—

2.425

0.854

MON
1427.65
14,471.82

2,232,012

5012033
31402DQB9
FNMA POOL # 725950
 
 
2
 
132,592.28

142,083.75

133,804.86

132,886.06

9,197.69

395.79

—

—

5

5.239

MON
557.52
5,730.02

7,172,008

11012019
31402HD32
FNMA POOL # 729222
 
 
2
 
852,698.71

918,023.6

862,124.79

853,321.98

64,701.62

1,745.81

—

—

2.33

2.582

MON
1673.96
15,438.4

9,172,008

7012035
31402RB81
FNMA POOL # 735463
 
 
2
 
91,913.31

98,393.21

92,673.56

91,977.64

6,415.57

44.73

—

—

2.278

2.43

MON
175.93
1,690.48

9,282,006

3012035
31402RF87
FNMA POOL # 735591
 
 
2
 
3,542,605.27

3,770,154.7

3,413,547.20

3,534,552.7

235,602

(28,718.75
)
—

—

5

4.057

MON
14223.11
139,447.52

4,302,010

6012035




31402YSV7
FNMA POOL # 742232
 
 
2
 
5,299.25

5,710.43

5,381.58

5,303.22

407.21

26.35

—

—

2.625

3.149

MON
11.77
121.9

4,022,007

9012033
31403C2L4
FNMA POOL # 745179
 
 
2
 
280,366.17

298,676.51

282,662.82

280,942.99

17,733.52

837.04

—

—

5

5.214

MON
1177.76
12,435.97

12,142,007

4012019
31403DCE7
FNMA POOL # 745369
 
 
2
 
229,794.26

246,011.11

231,676.62

230,231.33

15,779.78

562.14

—

—

5

5.204

MON
965.32
9,933.09

12,142,007

12012019
31403DCZ0
FNMA POOL # 745388
 
 
2
 
541,541.78

576,909.1

545,977.83

542,736.34

34,172.76

1,430.06

—

—

5

5.216

MON
2274.9
23,635.46

12,142,007

11012018
31403H3P3
FNMA POOL # 749706
 
 
2
 
463,135.02

494,780.5

468,960.39

463,630.05

31,150.45

456.70

—

—

2.349

2.617

MON
917.99
8,983.39

5,152,006

11012033
31403KDB6
FNMA POOL # 750798
 
 
2
 
3,971.95

4,222.13

4,033.67

3,976.84

245.29

0.11

—

—

2.199

2.543

MON
7.39
67.38

4,022,007

12012033
31403VBR9
FNMA POOL # 758848
 
 
2
 
128,387.2

136,772.01

129,438.91

128,665.1

8,106.91

233.59

—

—

5

5.212

MON
539.34
5,320.45

12,142,007

1012019
31404CLB4
FNMA POOL # 764522
 
 
2
 
18,762.6

20,419.67

19,142.47

18,787.01

1,632.66

10.86

—

—

2.397

2.962

MON
38.24
349.37

9,302,008

6012034
31404LRF9
FNMA POOL # 771886
 
 
2
 
69,112.25

74,580.07

70,267.84

69,205.88

5,374.19

0.06

—

—

2.304

2.696

MON
134.91
1,229.68

8,102,006

2012034
31404NBP0
FNMA POOL # 773246
 
 
2
 
85,667.63

92,425.2

86,384.60

85,713.61

6,711.59

72.95

—

—

2.254

2.429

MON
162.26
1,536.39

4,022,007

2012035
31404VGA0
FNMA POOL # 779693
 
 
2
 
379,616.34

400,313.87

383,208.91

379,935.11

20,378.76

1,016.60

—

—

2.112

2.291

MON
674.45
7,591.63

2,242,006

7012034
31405PAG5
FNMA POOL # 794807
 
 
2
 
109,353.44

116,085.86

109,055.73

109,311.83

6,774.03

(11.13
)
—

—

1.955

1.88

MON
177.67
1,833.46

6,302,007

10012034
31405UMM8
FNMA POOL # 799664
 
 
2
 
45,288.52

47,976.6

45,644.56

45,316.54

2,660.06

39.38

—

—

2.201

2.343

MON
83.72
817.3

4,022,007

10012034
31405UR84
FNMA POOL # 799811
 
 
2
 
135,009.03

142,404.95

134,656.25

134,954.08

7,450.87

15.09

—

—

1.986

1.919

MON
222.86
2,033.64

6,302,007

11012034
31405UTZ2
FNMA POOL # 799868
 
 
2
 
9,270.13

9,868.35

9,342.99

9,275.62

592.73

21.43

—

—

2.119

2.266

MON
16.5
178.69

4,022,007

11012034
31406BB90
FNMA POOL # 804764
 
 
2
 
138,226.74

147,760.81

139,313.36

138,306.04

9,454.77

97.56

—

—

2.247

2.394

MON
260.86
2,493.61

4,022,007

1012035
31406BEZ9
FNMA POOL # 804852
 
 
2
 
121,195.09

129,401.28

122,147.86

121,266.42

8,134.86

150.17

—

—

2.214

2.359

MON
225.36
2,217.03

4,022,007

12012034
31406BJF8
FNMA POOL # 804962
 
 
2
 
132,729.69

142,978.92

133,773.12

132,805.73

10,173.19

133.12

—

—

2.222

2.369

MON
247.7
2,338.88

4,022,007

1012035
31406BQQ6
FNMA POOL # 805163
 
 
2
 
175,900.3

187,903.86

177,372.53

176,008.57

11,895.29

193.15

—

—

2.212

2.371

MON
326.96
3,150.02

4,022,007

1012035
31406DG67
FNMA POOL # 806721
 
 
2
 
250,095.16

265,722.04

252,061.25

250,242.38

15,479.66

169.19

—

—

2.404

2.547

MON
504.75
4,860.25

4,022,007

11012034
31406GLK3
FNMA POOL # 809530
 
 
2
 
39,027.23

42,258.31

39,303.62

39,051.82

3,206.49

71.24

—

—

2.187

2.306

MON
71.63
731.89

9,282,006

2012035
31406MYP5
FNMA POOL # 814418
 
 
2
 
103,223.52

109,329.18

104,145.20

103,296.71

6,032.47

115.60

—

—

1.984

2.149

MON
172.19
1,664.12

4,022,007

3012035
31406PKU2
FNMA POOL # 815807
 
 
2
 
223,004.28

237,782.3

225,132.42

223,207.43

14,574.87

189.30

—

—

2.131

2.298

MON
399.8
3,832.95

9,282,006

2012035
31406TLC3
FNMA POOL # 819423
 
 
2
 
260,908.98

279,792.55

263,238.67

261,067.03

18,725.52

290.31

—

—

2.435

2.612

MON
534.16
5,261.66

4,022,007

4012035
31406TTE1
FNMA POOL # 819649
 
 
2
 
2,247,698.77

2,296,102.8

2,173,001.83

2,241,850.79

54,252.01

(5,354.60
)
—

—

2.14

1.44

MON
3875.19
37,587.83

12,042,009

3012035
31406VHE9
FNMA POOL # 821129
 
 
2
 
139,383.69

145,711.78

140,628.25

139,453.58

6,258.2

248.57

—

—

2.207

2.417

MON
258.64
2,734.72

4,022,007

5012035
31407D5R2
FNMA POOL # 828056
 
 
2
 
482,544.03

499,688.17

474,459.55

481,830.77

17,857.4

(1,273.44
)
—

—

2.25

1.871

MON
889.61
8,934.69

2,202,009

6012035




31407E6W8
FNMA POOL # 828985
 
 
2
 
246,767.58

273,245.98

255,263.06

247,289.58

25,956.4

1,081.31

—

—

2.243

3.214

MON
477.13
4,587.34

3,162,006

8012035
31407GC22
FNMA POOL # 829989
 
 
2
 
808,433.19

873,119.34

816,116.14

808,987.37

64,131.97

19.11

—

—

2.341

2.539

MON
1592.11
14,768.85

1,202,006

4012035
31408C6D3
FNMA POOL # 847868
 
 
2
 
1,060,235.57

1,127,178.08

1,071,621.55

1,061,328.84

65,849.24

1,953.73

—

—

2.03

2.208

MON
1812.83
17,264.87

5,122,006

11012035
31409UBQ7
FNMA POOL # 878547
 
 
2
 
783,846.2

853,017.17

790,173.77

784,245.81

68,771.36

782.21

—

—

2.362

2.526

MON
1555.33
15,234.57

5,042,006

3012036
31410FU60
FNMA POOL # 888105
 
 
2
 
232,298.73

247,469.84

234,201.62

232,690.93

14,778.91

635.93

—

—

5

5.205

MON
975.84
10,140.9

12,142,007

8012020
31410GC35
FNMA POOL # 888490
 
 
2
 
182,043.01

193,567.43

182,455.40

182,059.41

11,508.02

33.64

—

—

2.023

2.049

MON
307.59
2,911.34

6,182,007

5012035
31410GC50
FNMA POOL # 888492
 
 
2
 
77,329.61

82,341.48

77,182.70

77,302.97

5,038.51

(8.99
)
—

—

2.34

2.273

MON
150.51
1,418.58

6,182,007

5012033
31410GD83
FNMA POOL # 888527
 
 
2
 
20,332.03

22,305.81

20,715.02

20,355.22

1,950.59

44.22

—

—

2.423

2.939

MON
41.83
400.85

6,182,007

4012034
31410GDC4
FNMA POOL # 888499
 
 
2
 
646,139.64

684,245.56

649,770.00

646,377.75

37,867.81

479.44

—

—

2.345

2.452

MON
1269.76
12,184.91

2,222,012

8012033
31410GDF7
FNMA POOL # 888502
 
 
2
 
83,528.65

90,253.04

84,614.38

83,637

6,616.04

187.08

—

—

1.789

2.035

MON
126.22
1,248.06

6,182,007

6012033
31410GDL4
FNMA POOL # 888507
 
 
2
 
330,716.74

350,920.14

336,505.93

331,138.59

19,781.55

619.10

—

—

2.319

2.7

MON
650.3
6,239.25

6,182,007

2012035
31410GDM2
FNMA POOL # 888508
 
 
2
 
379,231.54

403,440.26

384,533.61

379,607.43

23,832.83

1,034.94

—

—

2.292

2.615

MON
734.46
7,367.19

6,182,007

3012034
31410GDQ3
FNMA POOL # 888511
 
 
2
 
55,679.51

59,114.77

56,185.26

55,711.92

3,402.85

90.42

—

—

2.288

2.499

MON
107.13
1,028.91

6,182,007

12012033
31410GDS9
FNMA POOL # 888513
 
 
2
 
98,344.04

106,178.5

98,859.01

98,370.56

7,807.94

48.32

—

—

2.413

2.523

MON
198.79
1,866.24

6,182,007

2012034
31410GDX8
FNMA POOL # 888518
 
 
2
 
85,287.7

90,018.5

85,561.71

85,300.31

4,718.19

15.69

—

—

2.299

2.346

MON
163.92
1,525.07

6,182,007

4012035
31410GDY6
FNMA POOL # 888519
 
 
2
 
45,396.43

49,453.34

46,175.98

45,454.06

3,999.28

123.28

—

—

2.254

2.626

MON
86.73
833.52

6,182,007

1012035
31410GDZ3
FNMA POOL # 888520
 
 
2
 
633,693.82

679,143.08

637,732.79

634,010.75

45,132.33

234.73

—

—

2.078

2.196

MON
1104.34
10,938.4

6,182,007

7012033
31410GFD0
FNMA POOL # 888564
 
 
2
 
4,193,006.05

4,340,909.31

4,068,410.97

4,154,240.52

186,668.79

(36,986.70
)
—

—

5

4.022

MON
16951.71
170,445.72

2,262,009

10012021
31410GPR8
FNMA POOL # 888832
 
 
2
 
1,913,020.03

2,094,850.27

1,839,718.72

1,909,001.61

185,848.66

(26,937.82
)
—

—

6.5

5.344

MON
9965.14
102,818.16

1,252,008

11012037
31410LK84
FNMA POOL # 890519
 
 
2
 
1,493,446.85

1,539,158.15

1,363,781.10

1,490,912.82

48,245.33

(41,314.82
)
—

—

6

2.791

MON
6818.91
70,090.7

10,232,013

10012040
31411DA33
FNMA POOL # 904626
 
 
2
 
502,718.49

535,628.85

500,334.07

502,451.45

33,177.4

(261.75
)
—

—

2.48

2.359

MON
1034.02
10,190.49

12,132,006

12012036
31411GUY6
FNMA POOL # 907899
 
 
2
 
1,263,142.53

1,310,941.51

1,252,768.04

1,262,110.19

48,831.32

(1,093.79
)
—

—

2.4

2.207

MON
2505.54
24,131.55

12,142,006

1012037
31411KCZ4
FNMA POOL # 910088
 
 
2
 
1,764,634.93

1,984,192.82

1,748,245.14

1,763,570.48

220,622.34

(6,644.95
)
—

—

6

5.693

MON
8741.23
92,463.54

3,292,007

3012037
31411LEA5
FNMA POOL # 911029
 
 
2
 
142,310.56

146,739.03

134,255.24

140,328.27

6,410.76

(2,068.33
)
—

—

5.5

3.595

MON
615.34
5,931.64

9,292,009

7012022
31411WPJ0
FNMA POOL # 916725
 
 
2
 
915,261.05

926,245.01

864,983.86

913,819.98

12,425.03

(6,723.44
)
—

—

2.411

0.653

MON
1737.9
16,632.66

2,142,012

10012036
31412LMG2
FNMA POOL # 928359
 
 
2
 
135,068.86

139,272

127,423.46

133,246.96

6,025.04

(1,404.55
)
—

—

5.5

3.46

MON
584.02
5,464.69

9,292,009

5012022
31412LQN3
FNMA POOL # 928461
 
 
2
 
215,450.94

222,155.45

203,255.62

212,598.54

9,556.91

(2,997.25
)
—

—

5.5

3.451

MON
931.59
9,050.5

9,292,009

6012022




31412LVF4
FNMA POOL # 928614
 
 
2
 
1,244,414.52

1,279,931.36

1,171,041.45

1,228,303.44

51,627.92

(20,034.84
)
—

—

5.5

3.328

MON
5367.27
53,251.83

10,212,009

8012022
31412SRH0
FNMA POOL # 933488
 
 
2
 
400,158.64

408,657.46

381,216.92

396,052.8

12,604.66

(6,095.64
)
—

—

5

3.379

MON
1588.4
16,117.38

9,292,009

3012023
31414ARA2
FNMA POOL # 960481
 
 
2
 
788,851.91

799,474.13

751,511.20

780,986.55

18,487.58

(10,138.80
)
—

—

5

3.252

MON
3131.3
31,309.96

9,292,009

12012022
31414CRJ9
FNMA POOL # 962289
 
 
2
 
953,044.3

973,285.66

907,931.46

943,422.11

29,863.55

(12,421.90
)
—

—

5

3.351

MON
3783.05
37,248.31

9,292,009

3012023
31414GD22
FNMA POOL # 965521
 
 
2
 
114,490.25

118,053.02

108,009.68

113,135.65

4,917.37

(2,023.93
)
—

—

5.5

3.396

MON
495.04
5,126.07

9,292,009

12012022
31414NB45
FNMA POOL # 970859
 
 
2
 
989,532.85

1,009,047.17

941,291.65

980,764.45

28,282.72

(19,143.36
)
—

—

5

3.277

MON
3922.05
40,396.18

10,212,009

12012023
31414RB79
FNMA POOL # 973562
 
 
2
 
738,995.64

759,899.91

697,165.70

730,861.18

29,038.73

(11,545.13
)
—

—

5.5

3.333

MON
3195.34
32,090.29

9,292,009

3012023
31415MDG7
FNMA POOL # 984003
 
 
2
 
1,258,908.09

1,445,168.66

1,296,798.93

1,260,455.46

184,713.2

6,064.83

—

—

5.5

6.261

MON
5943.66
58,092.66

7,252,008

6012038
31415MFS9
FNMA POOL # 984077
 
 
2
 
596,506.75

609,175.74

568,270.80

590,245.42

18,930.32

(7,039.53
)
—

—

5

3.487

MON
2367.8
23,264.44

9,292,009

6012023
31416B4M7
FNMA POOL # 995528
 
 
2
 
1,173,059.24

1,197,332.78

1,129,129.05

1,162,587.34

34,745.44

(12,995.16
)
—

—

5

3.457

MON
4704.7
47,410.45

3,202,009

12012021
31416B4N5
FNMA POOL # 995529
 
 
2
 
2,203,908.53

2,320,026.62

2,122,650.81

2,184,206.06

135,820.56

(23,518.30
)
—

—

5.5

4.209

MON
9728.82
96,766

2,272,009

11012022
31416B4P0
FNMA POOL # 995530
 
 
2
 
1,168,428.24

1,221,730.05

1,120,458.62

1,155,150.69

66,579.36

(15,484.92
)
—

—

5.5

4.061

MON
5135.44
51,527.1

3,202,009

12012021
31416B7J1
FNMA POOL # 995597
 
 
2
 
123,163.71

126,996.37

116,192.18

121,904.22

5,092.15

(2,138.89
)
—

—

5.5

3.528

MON
532.55
5,337.65

9,292,009

3012024
31416BLV8
FNMA POOL # 995040
 
 
2
 
454,678.39

463,644.99

432,512.15

449,965.46

13,679.53

(6,493.15
)
—

—

5

3.398

MON
1802.13
17,844.83

10,212,009

6012023
31416BSE9
FNMA POOL # 995217
 
 
2
 
1,034,647.67

1,065,929.02

975,245.32

1,023,804.45

42,124.57

(16,918.65
)
—

—

5.5

3.454

MON
4469.88
44,381.32

10,212,009

12012023
31416BSX7
FNMA POOL # 995234
 
 
2
 
1,539,565.65

1,515,051.57

1,433,821.32

1,508,071.68

6,979.89

(43,328.52
)
—

—

5

2.093

MON
5974.26
63,305.8

11,102,011

7012019
31416CME3
FNMA POOL # 995957
 
 
2
 
2,164,618.14

2,205,257.42

2,057,178.75

2,145,949.41

59,308.01

(33,035.66
)
—

—

5

3.316

MON
8571.58
85,938.06

9,282,009

6012024
31416MZC1
FNMA POOL # AA4338
 
 
2
 
1,901,837

1,907,487.14

1,767,609.17

1,898,653.83

8,833.31

(16,817.77
)
—

—

4.5

3.143

MON
6628.53
62,066.92

3,212,013

4012039
31416TL49
FNMA POOL # AA9346
 
 
2
 
6,820,796.84

7,331,440.64

6,748,193.70

6,815,432.11

516,008.53

(9,603.45
)
—

—

4.5

4.295

MON
25305.72
240,731.27

2,022,010

8012039
31417AP60
FNMA POOL # AB4044
 
 
2
 
5,026,616.03

5,000,504.25

4,880,209.75

5,025,379.33

(24,875.08
)
(4,196.60
)
—

—

3.5

3.083

MON
14233.95
36,859.58

6,272,014

12012041
31417F2Y3
FNMA POOL # AB8890
 
 
2
 
24,474.44

23,800.74

23,085.69

24,380.65

(579.91
)
(210.93
)
—

—

3

1.763

MON
57.71
547.41

4,292,013

4012028
31417FQC5
FNMA POOL # AB8550
 
 
2
 
2,244,169.6

2,183,039.87

2,168,689.05

2,238,337.1

(55,297.23
)
(8,328.49
)
—

—

2.5

1.803

MON
4518.1
42,159.9

3,132,013

3012028
31417FX94
FNMA POOL # AB8803
 
 
2
 
20,212.75

19,656.36

19,065.82

20,136.48

(480.12
)
(224.54
)
—

—

3

1.727

MON
47.66
451.12

4,292,013

3012028
31418AMK1
FNMA POOL # MA1261
 
 
2
 
742,347.04

735,280.92

705,684.51

737,987.39

(2,706.47
)
(7,326.02
)
—

—

3

1.311

MON
1764.21
17,104.62

2,132,013

11012022
31419ALC9
FNMA POOL # AE0322
 
 
2
 
1,212,341.66

1,187,184.05

1,118,009.60

1,198,497.44

(11,313.39
)
(33,880.18
)
—

—

5

1.922

MON
4658.37
47,525.26

2,262,013

5012021
31419BBT1
FNMA POOL # AE0949
 
 
2
 
3,257,644.96

3,240,992.07

3,072,797.02

3,251,321.52

(10,329.45
)
(19,837.91
)
—

—

4

2.916

MON
10242.66
96,450.89

5,022,012

2012041
62888UAA8
NGN_10-R2 AGENCY CMO_10-R2 1A
 
 
2
 
2,450,131

2,455,268.93

2,450,131.00

2,450,131

5,137.93

—

—

—

0.526

0.527

MON
932.37
10,547.12

6,102,011

11062017




62888VAA6
NCUA GUARANTEED NOTES AGENCY CMO_10-R1 1
 
 
2
 
887,060.42

891,632.33

887,060.42

887,060.42

4,571.91

—

—

—

0.606

0.607

MON
343.5
4,287.26

6,102,011

10072020
62888VAB4
NCUA GUARANTEED NOTES AGENCY CMO_10-R1 2
 
 
2
 
165,785.63

167,038.3

165,800.60

165,793.17

1,245.13

7.20

—

—

1.84

1.85

MON
228.8
3,000

9,072,011

10072020
62888YAA0
NGN_11-R1 CMO_11-R1 IA
 
 
2
 
2,807,216.51

2,819,585.91

2,806,063.49

2,806,793.26

12,792.65

(180.86
)
—

—

0.607

0.594

MON
1087.31
13,596.62

6,102,011

1082020
62889FAA0
NGN_11-R4 CMO_11R4-1A
 
 
2
 
2,124,331.95

2,129,243.41

2,124,331.95

2,124,331.95

4,911.46

—

—

—

0.537

0.537

MON
790.87
9,520.97

6,102,011

3062020
62889JAA2
NCUA GUARANTEED NOTES CMO_11-R6 1A
 
 
2
 
866,314.98

867,129.32

866,314.98

866,314.98

814.34

—

—

—

0.536

0.537

MON
347.51
3,975.43

6,102,011

5072020
78447EAB2
SLMA_12-5 ABS 12-5
 
 
2
 
5,291,230.62

5,300,000

5,300,000.00

5,296,630.49

3,369.51

1,363.64

—

—

0.455

0.501

MON
401.48
18,285.03

7,102,012

6252019
62888XAC8
NCUA CMBS_10-C1 A-PT
 
 
2
 
3,966,798.97

4,034,179.72

3,974,678.70

3,971,945.8

62,233.92

1,304.79

—

—

2.65

2.735

MON
1170.32
81,856.61

9,072,011

10292020
78447GAB7
SLMA_12-6 ABS 12-6
 
 
2
 
1,062,900.79

1,062,568.73

1,062,568.73

1,062,874.82

(306.09
)
(51.64
)
—

—

0.435

0.406

MON
76.95
822.65

7,292,014

9252019
10620NCG1
BRAZOS HIGHER EDUCATION AUTHOR ABS 11-1
 
 
2
 
3,170,876.05

3,245,429.28

3,214,187.38

3,190,437.66

54,991.62

6,603.18

—

—

1.038

1.251

FMAN
3430.32
27,312.56

3,102,011

2252030
62889AAA1
NCUA GUARANTEED NOTES AGENCY ABS 10-A1 A
 
 
2
 
1,279,098.15

1,280,530.74

1,279,098.15

1,279,098.15

1,432.59

—

—

—

0.504

0.504

MON
433.62
5,418.8

6,102,011

12072020
78447RAA5
SLMA_13-A ABS 13-A 144A
 
 
2
 
507,813.35

509,333.63

508,448.91

507,963.59

1,370.04

272.95

—

—

0.754

0.824

MON
170.3
3,237.55

11,212,013

8152022
06052YAD1
BANK OF AMERICA AUTO TRUST BAA ABS 12-1
 
 
2
 
4,998,468

5,018,700.05

5,000,000.00

4,999,556.05

19,144

336.62

—

—

1.03

1.041

MON
2288.9
38,625.03

4,112,012

12152016
78448AAA1
SLMA_13-4 ABS 13-4
 
 
2
 
659,934.71

659,908.33

659,934.71

659,934.71

(26.38
)
—

—

—

0.705

0.706

MON
77.49
3,731.49

8,062,013

6252027
38376GZ29
GNMA CMBS_11-096 AB
 
 
2
 
675,596.09

670,014.06

668,907.02

670,088.66

(74.6
)
(6,418.66
)
—

—

2.161

1.591

MON
1204.31
28,202.31

7,072,011

11162036
80283JAC2
SDART_13-A ABS 13-A A3 144A
 
 
2
 
3,499,742.4

3,507,524.86

3,500,000.00

3,499,871.06

7,653.8

90.27

—

—

1.02

1.026

MON
1586.67
26,775

8,152,013

1162018
80705WAA7
SCHOL_12-B ABS 12-B 144A
 
 
2
 
351,033.35

352,318.29

352,040.88

351,508.54

809.75

384.21

—

—

0.552

0.687

MON
10.78
1,789.26

9,192,012

10282025
BRSM3TBY9
VWR FUNDING INC SENIOR SECURED TERM LOAN
 
 
 
 
1,897,355.86

1,882,083.16

1,910,133.47

1,899,977.65

(17,894.49
)
3,442.25

—

—

—

(0.039
)
JAJO
0
57,107.45

2,062,014

4032017
BRSP6FWM2
DAIMLER FINANCE NORTH AMERICA SENIOR COR
 
 
 
 
1,788,807.25

1,788,997.84

1,795,000.00

1,789,143.09

(145.25
)
335.84

—

—

1.375

1.493

FA
4113.54
4,113.54

7,242,014

8012017
BRSM16718
MEDIACOM LLC SENIOR SECURED TERM NOTES
 
 
 
 
2,377,067.44

2,328,417.98

2,383,025.00

2,377,762.96

(49,344.98
)
725.46

—

—

—

0.062

MJSD
0
29,169.35

1,312,014

3312018
BRSJL0RC0
AUXILIUM PHARMACEUTICALS INC SENIOR SECU
 
 
 
 
7,008,745

7,068,599.29

7,059,774.57

7,021,674.52

46,924.77

13,846.85

—

—

—

0.151

MJSD
5077.78
428,927.26

9,242,013

4152018
BRSK82AW2
EAGLE PARENT INC SENIOR SECURED TERM LOA
 
 
 
 
6,263,732.2

6,239,586.32

6,304,204.42

6,268,633.57

(29,047.25
)
5,775.39

—

—

—

0.154

MJSD
0
131,026.23

4,012,014

5162018
BRSLDR5F2
QUINTILES TRANSNATIONAL CORP. SENIOR SEC
 
 
 
 
2,550,180.61

2,517,028.26

2,550,180.61

2,550,180.61

(33,152.35
)
—

—

—

—

—

MJSD
0
70,571.96

11,252,013

6082018
BRSP22SV0
FIRST DATA CORPORATION SENIOR SECURED TE
 
 
 
 
1,977,500

1,961,460

2,000,000.00

1,977,500

(16,040
)
—

—

—

—

0.28

MJSD
-9931.17
—

7,312,014

9242018
BRSM6R0M8
DELTA AIR LINES INC SENIOR SECURED TERM
 
 
2
 
2,686,149.28

2,649,268.26

2,706,787.49

2,688,090.08

(38,821.82
)
2,045.82

—

—

—

0.169

FMAN
0
52.85

4,302,014

10182018
BRSMH46C3
METALDYNE LLC SENIOR SECURED TERM LOAN
 
 
 
 
997,850.94

1,000,150.37

1,001,778.26

998,267.58

1,882.79

475.24

—

—

—

0.082

FMAN
0
222.82

4,012,014

12182018
BRSM3VKC2
CHRYSLER GROUP LLC/CG CO-ISSUE SENIOR SE
 
 
 
 
4,967,867.37

4,913,270.77

4,992,831.54

4,970,922.99

(57,652.22
)
3,181.06

—

—

—

0.102

FMAN
0
59,335.96

2,052,014

12312018
BRSKM5SR1
SABRE INC SENIOR SECURED TERM NOTES
 
 
 
 
1,801,800

1,781,529.75

1,801,800.00

1,801,800

(20,270.25
)
—

—

—

—

—

MJSD
0
60,466.15

10,042,013

2192019




BRSMQX4D9
SUNGARD AVAILABILITY SERVICES SENIOR SEC
 
 
1
 
1,743,432.02

1,619,929.83

1,745,614.04

1,743,486.48

(123,556.65
)
59.94

—

—

—

0.027

MJSD
0
20,846.81

7,112,014

3292019
BRSLYQE12
US AIRWAYS INC SENIOR SECURED TERM NOTES
 
 
 
 
4,604,685.88

4,520,329.58

4,622,888.36

4,606,411.83

(86,082.25
)
1,927.36

—

—

—

0.076

MJSD
0
11,349.68

4,062,014

5232019
BRSJQMFE6
AMR CORPORATION SENIOR SECURED TERM LOAN
 
 
 
 
3,211,545.54

3,178,406.62

3,227,627.95

3,214,348.04

(35,941.42
)
5,092.48

—

—

—

0.086

MJSD
0
200,200.71

9,302,013

6272019
BRSLNVTL3
US RENAL CARE INC US RENAL CARE INC
 
 
2
 
2,507,916.31

2,505,633.8

2,530,138.19

2,510,695.99

(5,062.19
)
2,917.54

—

—

—

0.16

MJSD
-4.87
104,566.14

9,122,014

7032019
BRSM3XJP1
HARLAND CLARKE HOLDINGS CORP SENIOR SECU
 
 
 
 
576,042.83

583,279.54

578,937.51

576,375.15

6,904.39

387.64

—

—

—

0.09

MJSD
0
18,893.54

1,282,014

8042019
BRSKDJZL6
ALLISON TRANSMISSION INC SENIOR SECURED
 
 
 
 
3,954,916.57

3,940,519.19

3,976,386.19

3,958,554.36

(18,035.17
)
2,957.72

—

—

—

0.09

MJSD
0
119,090.4

9,302,013

8232019
BRSM7GBC1
PHARMACEUTICAL RSRCE INC SENIOR SECURED
 
 
 
 
3,428,137.98

3,364,036.62

3,427,060.26

3,428,425.41

(64,388.79
)
923.67

—

—

—

(0.602
)
MJSD
0
130,499.76

2,202,014

9302019
BRSM9GPX8
ADS WASTE ESCROW SENIOR SECURED TERM NOT
 
 
2
 
8,837,562.81

8,621,042.52

8,837,562.81

8,837,562.81

(216,520.29
)
—

—

—

—

—

FMAN
0
169,107.87

4,012,014

10092019
BRSLAZMP6
LESLIES POOLMART, INC. SENIOR SECURED TE
 
 
 
 
2,272,500.6

2,250,104.86

2,280,746.69

2,273,663.87

(23,559.01
)
1,120.50

—

—

—

0.061

MJSD
0
—

12,022,013

10162019
BRSL8SVP5
MCJUNKIN RED MAN CORP SENIOR SECURED TER
 
 
 
 
1,910,700

1,913,881.32

1,910,700.00

1,910,700

3,181.32

—

—

—

—

—

FMAN
0
75,155.39

12,042,013

11082019
BRSNLD7H4
MICHAELS STORES INC SENIOR SECURED TERM
 
 
1
 
531,933.18

529,853.56

534,606.21

532,041.06

(2,187.5
)
107.88

—

—

—

0.089

MJSD
0
—

6,062,014

1282020
BRSMTEQ36
MICROSEMI CORPORATION SENIOR SECURED TER
 
 
1
 
2,426,832.27

2,418,029.93

2,440,913.49

2,428,025.87

(9,995.94
)
1,193.60

—

—

—

0.097

MJSD
0
40,325.92

4,012,014

2192020
BRSJE18C7
UNIVISION COMMUN INC. SENIOR SECURED TER
 
 
 
 
6,194,278.13

6,095,228.27

6,205,500.00

6,196,363.02

(101,134.75
)
1,251.64

—

—

—

0.086

MJSD
0
189,143.5

4,012,014

3012020
BRSMDF7M9
BIG HEART PET BRANDS SENIOR SECURED TERM
 
 
 
 
4,045,386.66

3,922,195.23

4,071,475.89

4,047,564.67

(125,369.44
)
2,178.01

—

—

—

0.106

MJSD
0
72,857.5

3,312,014

3082020
BRSJ08S50
STARWOOD PROPERTY TRUST INC SECURED TERM
 
 
 
 
3,410,643.53

3,377,846.11

3,422,769.97

3,412,122.57

(34,276.46
)
1,549.12

—

—

—

0.055

MJSD
0
82,716.23

3,192,014

4172020
BRSM7GUN6
TOWER AUTOMOTIVE HOLDINGS USA SENIOR SEC
 
 
 
 
1,003,300.61

989,721.04

1,002,675.61

1,003,281.5

(13,560.46
)
(19.11
)
—

—

—

(0.011
)
MJSD
0
1,485.26

7,092,014

4232020
BRSJGG5M3
ENTRAVISION COMMUN CORP SENIOR SECURED T
 
 
 
 
2,651,212.5

2,591,560.22

2,651,212.50

2,651,212.5

(59,652.28
)
—

—

—

—

—

MJSD
0
86,520.86

8,012,013

5312020
BRSJFKKC0
INFOR US INC SENIOR SECURED TERM NOTES
 
 
 
 
1,027,554.73

1,006,202.14

1,027,554.73

1,027,554.73

(21,352.59
)
—

—

—

—

0.074

MJSD
0
29,715.5

7,312,014

6032020
BRSPBCHQ1
MACDERMID INCORPORATED SENIOR SECURED TE
 
 
2
 
289,538.41

288,083.45

290,993.38

289,538.41

(1,454.96
)
—

—

—

—

0.043

FMAN
0
—

8,042,014

6072020
BRSJFJJX9
MACDERMID INCORPORATED SENIOR SECURED TE
 
 
2
 
1,664,702.8

1,644,676.31

1,668,875.00

1,665,442.3

(20,765.99
)
480.16

 
—

 
 
 
0
55,060.65

 
 
BRSNZFZ18
AMERICAN ENERGY MARCELLUS LLC SENIOR SEC
 
 
1
 
217,486.33

217,349.72

218,579.23

217,508.35

(158.63
)
22.02

—

—

—

0.083

MJSD
0
—

7,092,014

8042020
BRSJYB2V7
PINNACLE ENTERTAINMENT INC. SENIOR SECUR
 
 
 
 
1,501,544.55

1,491,644.95

1,509,090.03

1,502,711.39

(11,066.44
)
3,101.65

—

—

—

0.071

FMAN
0
50,466.89

9,032,013

8132020
BRSK5A7F8
BOYD GAMING CORP SENIOR SECURED TERM LOA
 
 
 
 
1,428,840.72

1,418,408.04

1,436,020.84

1,429,976.78

(11,568.74
)
1,077.13

—

—

—

0.071

FMAN
0
44,047.73

8,232,013

8142020
BRSK7RBA5
LIVE NATION ENTERTAINMENT INC SENIOR SEC
 
 
 
 
2,029,500

2,008,565.71

2,029,500.00

2,029,500

(20,934.29
)
—

—

—

—

—

FMAN
0
54,137.36

8,262,013

8172020
BRSKAX1N1
CINCINNATI BELL INC SENIOR SECURED TERM
 
 
 
 
2,861,879.91

2,856,892.5

2,878,481.11

2,863,998.08

(7,105.58
)
1,604.44

—

—

—

0.084

MJSD
0
57,344.08

7,312,014

9102020
BRSK4S5S4
BMC SOFTWARE INC BMC SOFTWARE INC
 
 
2
 
4,718,536.6

4,666,401.73

4,737,463.69

4,720,542.76

(54,141.03
)
3,841.59

—

—

—

0.059

FMAN
0
(573.93
)
7,162,014

9102020
BRSKL00G7
JBS USA LLC SENIOR SECURED TERM NOTES
 
 
 
 
1,182,060

1,176,120

1,188,000.00

1,182,918.39

(6,798.39
)
692.87

—

—

—

0.071

MJSD
0
34,089.99

9,272,013

9182020




BRSKQ8AG4
NEXSTAR BROADCASTING GROUP INC NEXSTAR B
 
 
 
 
1,633,072.08

1,602,451.98

1,633,072.08

1,633,072.08

(30,620.1
)
—

—

—

—

—

MJSD
0
56,368.45

1,312,014

9242020
BRSKQD5K0
MISSION BROADCASTING INC. SECURED TERM L
 
 
 
 
1,440,078.85

1,413,077.38

1,440,078.85

1,440,078.85

(27,001.47
)
—

—

—

—

—

MJSD
0
32,457.58

12,172,013

10012020
BRSMK3RL8
NEIMAN MARCUS GROUP INC. THE SENIOR SECU
 
 
 
 
2,488,746.88

2,455,118.86

2,493,734.34

2,488,839.43

(33,720.57
)
92.55

—

—

—

0.032

MJSD
0
2,508.15

7,312,014

10252020
BRSKM1X29
HILTON WORLDWIDE FINANCE LLC SENIOR SECU
 
 
 
 
3,302,836.45

3,272,397.25

3,319,433.62

3,305,010.41

(32,613.16
)
4,886.77

—

—

—

0.071

MJSD
0
149,610.25

10,312,013

10262020
BRSL2KC12
EXCELITAS TECHNOLOGIES COR SENIOR SECURE
 
 
1
 
4,096,805.24

4,141,621.8

4,138,187.10

4,101,707.93

39,913.87

7,182.67

—

—

—

0.144

MJSD
0
280,462.51

12,052,013

10302020
BRSL51FK6
SNADY CREEK ENERGY ASSOC LP SENIOR SECUR
 
 
1
 
4,312,501.08

4,329,664.39

4,334,171.93

4,315,011.2

14,653.19

3,869.97

—

—

—

0.072

FMAN
0
202,707.34

12,122,013

11092020
BRSLBEQ11
WESTERN REFINING INC SENIOR SECURED TERM
 
 
1
 
555,800

554,585.58

555,800.00

555,800

(1,214.42
)
—

—

—

—

—

FMAN
0
18,002.87

12,172,013

11122020
BRSL3FE10
CROSBY US ACQUISITION CORP SENIOR SECURE
 
 
 
 
2,041,994.32

1,957,656.63

2,044,550.00

2,042,282.95

(84,626.32
)
294.73

—

—

—

0.018

JAJO
0
56,431.32

12,192,013

11232020
BRSLR8JD9
ION MEDIA NETWORKS INC SENIOR ECURED TER
 
 
 
 
908,534.5

909,675.88

913,100.00

909,013.91

661.97

513.91

—

—

—

0.071

MJSD
0
33,901.03

12,172,013

12182020
BRSL5JDW3
TRIBUNE COMPANY SENIOR SECURED TERM NOTE
 
 
1
 
9,460,229.59

9,372,835.09

9,483,939.44

9,462,637.1

(89,802.01
)
4,410.16

—

—

—

0.036

MJSD
0
288,160.51

11,212,013

12272020
BRSLNYFT5
DARLING INTL INC. SENIOR SECURED TERM LO
 
 
 
 
1,627,720.5

1,634,867.78

1,631,800.00

1,628,133.27

6,734.51

433.27

—

—

—

0.035

MJSD
0
38,016.22

12,182,013

1062021
BRSLNCKT7
BERRY PLASTICS CORP SENIOR SECURED TERM
 
 
 
 
6,402,993.06

6,280,126.75

6,412,775.00

6,403,965.54

(123,838.79
)
1,053.04

—

—

—

0.022

MJSD
0
162,572.66

2,052,014

1062021
BRSNJBVT8
RHP HOTEL PROPERTIES LP SENIOR SECURED T
 
 
1
 
492,229.24

490,995.59

493,462.90

492,265.16

(1,269.57
)
39.01

—

—

—

0.038

MJSD
0
2,885.74

6,052,014

1152021
BRSKGJPN0
FREESCALE SEMICONDUCTOR INC SENIOR SECUR
 
 
 
 
997,481.11

995,536.02

997,481.11

997,481.11

(1,945.09
)
—

—

—

—

—

MJSD
-7535.05
—

7,312,014

1152021
BRSM2A4U7
PHARMEDIUM HLTH SENIOR SECURED TERM NOTE
 
 
 
 
338,673.12

334,418.44

340,375.00

338,830.46

(4,412.02
)
205.46

—

—

—

0.071

MJSD
0
9,427.23

1,232,014

1282021
BRSM1V929
LEONARDO ACQUISITION CORP SENIOR SECURED
 
 
2
 
1,081,838.62

1,070,993.13

1,084,550.00

1,082,050.27

(11,057.14
)
225.27

—

—

—

0.036

MJSD
0
25,063.1

1,272,014

1292021
BRSLW9ZY7
CBS OUTDOOR AMERICAS CAPITAL L SENIOR SE
 
 
 
 
2,104,725

2,082,527.8

2,110,000.00

2,105,190.4

(22,662.6
)
465.40

—

—

—

0.094

MJSD
0
28,484.99

1,312,014

1312021
BRSLY7M07
W R GRACE & CO - CONN SENIOR SECURED TER
 
 
2
 
2,080,619.62

2,073,319.2

2,085,834.21

2,081,069.41

(7,750.21
)
750.14

—

—

—

0.036

MJSD
0
25,143.44

1,242,014

2032021
BRSM7U4Z7
DUNKIN BRANDS INC SENIOR SECURED TERM NO
 
 
 
 
1,058,035.71

1,044,476.78

1,071,428.57

1,058,278.05

(13,801.27
)
242.34

—

—

—

0.192

FMAN
0
5,916.45

7,142,014

2052021
BRSMB8L58
WESCO AIRCRAFT SENIOR SECURED TERM NOTES
 
 
 
 
978,195.11

969,923.37

980,646.74

978,382.44

(8,459.07
)
286.64

—

—

—

0.036

FMAN
0
18,175.46

2,242,014

2282021
BRSMKZQ95
EMPIRE GENERATING CO LLC SENIOR SECURED
 
 
 
 
1,122,131.14

1,123,547.97

1,133,465.80

1,122,861.72

686.25

787.54

—

—

—

0.034

MJSD
0
26,874.48

3,132,014

3122021
BRSMKZQU8
EMPIRE GENERATING CO LLC SENIOR SECURED
 
 
 
 
78,681.63

78,780.97

79,476.39

78,732.85

48.12

51.22

 
—

 
 
 
0
1,877.62

 
 
BRSMHGLN5
IMS HEALTH INCORPORATED IMS HEALTH INCOR
 
 
 
 
7,144,869.32

7,022,617.96

7,156,808.11

7,145,727.87

(123,109.91
)
858.55

—

—

—

0.024

MJSD
0
112,049.92

4,012,014

3172021
BRSMPYBS7
RENT-A-CENTER, INC/TX SENIOR SECURED TER
 
 
 
 
2,611,370.31

2,598,247.85

2,624,492.78

2,612,278.54

(14,030.69
)
974.17

—

—

—

0.071

MJSD
0
48,019.54

3,142,014

3192021
BRSM3U3W9
SBA COMMUNICATIONS CORPORATION SENIOR SE
 
 
 
 
5,495,520.08

5,404,750.48

5,509,205.01

5,496,501.41

(91,750.93
)
1,015.85

—

—

—

0.035

JAJO
0
85,510.8

3,312,014

3242021
BRSMQYER5
CAPITAL SAFETY NORTH AMERICA H SENIOR SE
 
 
 
 
4,225,645.81

4,131,507.52

4,230,934.48

4,225,867.91

(94,360.39
)
572.53

—

—

—

0.018

MJSD
0
50,388.78

3,262,014

3292021
BRSMMQ6V6
MPH ACQUISITION HOLDINGS LLC SENIOR SECU
 
 
2
 
999,356.57

980,155.9

1,001,861.22

999,536.6

(19,380.7
)
274.55

—

—

—

0.035

MJSD
0
20,699.86

3,212,014

3312021




BRSMTVUT6
COOPER STANDARD AUTO SENIOR SECURED TERM
 
 
 
 
865,950.5

861,960.17

870,302.01

866,224.18

(4,264.01
)
284.59

—

—

—

0.071

MJSD
0
15,413.86

3,282,014

4042021
BRSMMP9T0
TRANSUNION LLC SENIOR SECURED TERM LOAN
 
 
1
 
2,425,312.5

2,397,351.51

2,431,390.98

2,425,683.43

(28,331.92
)
401.47

—

—

—

0.036

MJSD
0
41,750.41

3,212,014

4092021
BRSMTTCL8
FEDERAL-MOGUL HOLDINGS CORP SENIOR SECUR
 
 
1
 
3,699,533.55

3,691,632.54

3,718,124.17

3,700,691.37

(9,058.83
)
1,431.28

—

—

—

0.071

MJSD
0
85,229.48

4,032,014

4152021
BRSN1NQ83
TIME INC (USA) SENIOR SECURED TERM LOAN
 
 
 
 
2,213,418.1

2,216,212.82

2,235,775.86

2,214,419.02

1,793.8

1,056.95

—

—

—

0.144

MJSD
0
21,189.74

4,172,014

4242021
BRSMRYMN4
ENTEGRIS, INC. SENIOR SECURED TERM NOTES
 
 
 
 
1,223,638.27

1,211,340.4

1,229,787.21

1,223,964.57

(12,624.17
)
696.92

—

—

—

0.071

MJSD
0
16,959.51

3,252,014

4302021
BRSN5MWG6
CATALENT PHARMA SOLUTIONS INC SENIOR SEC
 
 
1
 
5,076,199.92

5,081,505.69

5,101,708.46

5,077,256.87

4,248.82

1,120.88

—

—

—

0.071

MJSD
0
58,816.68

5,082,014

5202021
BRSND58U0
UTEX IND SENIOR SECURED TERM NOTES
 
 
 
 
736,453.34

738,766.32

740,154.11

736,574.14

2,192.18

130.08

—

—

—

0.072

MJSD
0
8,347.58

5,162,014

5212021
BRSNBGXW6
POST HOLDINGS INC SENIOR SECURED TERM NO
 
 
1
 
334,823.5

334,271.63

336,506.03

334,891.59

(619.96
)
72.31

—

—

—

0.071

MJSD
0
2,600.4

5,282,014

6022021
BRSNBE338
TRANSDIGM INC SENIOR SECURED TERM LOAN
 
 
1
 
997,500

981,500.1

997,500.00

997,500

(15,999.9
)
—

—

—

—

—

MJSD
0
7,531.09

7,092,014

6042021
BRSNM4S56
SWIFT TRANSPORTATION CO LLC SENIOR SECUR
 
 
 
 
618,173.88

617,402.33

619,723.19

618,216.39

(814.06
)
46.40

—

—

—

0.036

MJSD
0
3,048.97

6,062,014

6092021
BRSNKX0T2
GRAY TELEVISION INC. SENIOR SECURED TERM
 
 
1
 
1,104,445.33

1,093,276.67

1,108,518.80

1,104,489.31

(11,212.64
)
49.84

—

—

—

0.054

MJSD
0
—

9,122,014

6132021
BRSNJVR77
FIFTH THIRD PROCESSING SOLUTIO SENIOR SE
 
 
1
 
523,753.31

523,640.13

526,385.23

523,827.31

(187.18
)
80.60

—

—

—

0.072

MJSD
0
3,025.36

6,112,014

6142021
BRSNJTYP4
DAVITA HEALTHCARE PARTNERS INC SENIOR SE
 
 
1
 
1,214,082.57

1,208,518.54

1,220,183.49

1,214,180.03

(5,661.49
)
112.75

—

—

—

0.072

MJSD
0
—

6,192,014

6242021
BRSNN0P72
MEDIACOM BROADBAND GROUP SENIOR SECURED
 
 
1
 
530,670

529,228.28

532,000.00

530,710.25

(1,481.97
)
43.58

—

—

—

0.035

MJSD
0
3,555.53

6,182,014

6302021
BRSNN37V3
GATES GLOBAL LLC SENIOR SECURED TERM NOT
 
 
1
 
2,077,012.19

2,051,040.73

2,085,365.85

2,077,159.97

(26,119.24
)
147.78

—

—

—

0.057

MJSD
0
15,604.4

7,162,014

7052021
BRSNY4KA0
VERIFONE INC SENIOR SECURED TERM NOTES
 
 
 
 
425,362.51

426,166.21

427,500.01

425,421.23

744.98

64.08

—

—

—

0.071

MJSD
0
2,874.99

7,012,014

7082021
BRSNZFA49
KARMAN BUYER CORP SENIOR SECURED TERM NO
 
 
1
 
1,213,288.4

1,197,111.22

1,216,329.22

1,213,344.73

(16,233.51
)
56.33

—

—

—

0.036

MJSD
0
—

7,112,014

7232021
BRSP9DQP4
FERRO CORP SENIOR SECURED TERM NOTES
 
 
 
 
442,222.22

441,111.11

444,444.44

442,252.9

(1,141.79
)
30.68

—

—

—

0.071

MJSD
0
69.14

7,302,014

7312021
BRSP2R5D0
EMERALD PERFORMANCE MATERIALS SENIOR SEC
 
 
 
 
104,052.28

103,869.28

104,575.16

104,057.86

(188.58
)
5.58

—

—

—

0.072

MJSD
0
339.86

7,232,014

8012021
BRSP4SGF9
SOUTHCROSS ENERGY PARTNERS LP SENIOR SEC
 
 
1
 
160,082.65

160,937.76

160,887.08

160,087.44

850.32

6.81

—

—

—

0.072

MJSD
0
1.14

7,292,014

8042021
BRSP6WS08
GEMINI HDPE LLC SENIOR SECURED TERM NOTE
 
 
 
 
927,018.63

927,018.63

931,677.02

927,095.38

(76.75
)
76.75

—

—

—

0.055

MJSD
0
—

8,082,014

8062021
BRSNUZ2R8
BAYONNE ENERGY CENTER LLC SENIOR SECURED
 
 
 
 
210,713.8

211,442.29

211,772.66

210,725.99

716.3

13.40

—

—

—

0.072

MJSD
0
742.04

6,242,014

8192021
BRSPDTF35
ALBERTSONS INC SENIOR SECURED TERM NOTES
 
 
1
 
2,069,327.74

2,093,844.54

2,100,840.34

2,069,561.79

24,282.75

234.05

—

—

—

0.214

MJSD
0
—

8,112,014

8252021
BRSP750D8
KEY SAFETY SYSTEMS INC SENIOR SECURED TE
 
 
 
 
2,740,671.93

2,748,430.89

2,752,559.73

2,740,711.83

7,719.06

39.90

—

—

—

0.062

MJSD
0
—

8,072,014

8292021
BRSPC8H22
UAL_12-2A SENIOR SECURED TERM LOAN
 
 
1
 
3,375,000

3,376,414.77

3,409,090.91

3,375,000

1,414.77

—

—

—

—

0.142

MJSD
0
—

8,062,014

9152021
BRSPRVAJ5
EXGEN TEXAS POWER LLC SENIOR SECURED TE
 
 
1
 
1,320,000

1,323,333.33

1,333,333.33

1,320,010.42

3,322.91

10.42

—

—

—

0.142

MJSD
0
—

9,162,014

9182021
BRSPX9JD1
BERLIN PACKAGING LLC SENIOR SECURED TERM
 
 
 
 
800,268.12

804,289.57

804,289.57

800,268.12

4,021.45

—

—

—

—

0.073

MJSD
0
—

9,242,014

9242021




BRSPDFCP9
ACOSTA HOLDCO INC SENIOR SECURED TERM NO
 
 
1
 
675,170.09

680,272.13

680,272.13

675,170.09

5,102.04

—

—

—

—

0.106

MJSD
0
—

8,142,014

9262021
BRSPRV5X0
FLEETCOR TECHNOLOGIES OPERATIN SENIOR SE
 
 
1
 
306,153.85

307,692.31

307,692.31

306,153.85

1,538.46

—

—

—

—

0.073

MJSD
0
—

9,302,014

9302021
BRSPVYNA9
TPF II POWER LLC SENIOR SECURED TERM NOT
 
 
1
 
1,288,961.04

1,298,155.85

1,298,701.30

1,288,961.04

9,194.81

—

—

—

—

0.11

MJSD
0
—

9,242,014

10012021
00101JAE6
ADT CORP SENIOR CORP BND
 
 
 
 
3,001,658.45

2,925,000

3,000,000.00

3,001,146.41

(76,146.41
)
(202.20
)
—

—

2.25

1.94

JJ
14250
61,575

4,302,013

7152017
00206RAW2
AT&T INC CORP BND
 
 
 
 
6,694,297.5

6,835,932.78

6,625,000.00

6,648,708.51

187,224.27

(10,588.11
)
—

—

2.95

2.723

MN
73831.95
146,578.13

2,222,012

5152016
00206RBR2
AT&T INC CORP BND
 
 
 
 
3,499,335

3,498,726.7

3,500,000.00

3,499,728.27

(1,001.57
)
147.85

—

—

0.9

0.906

FA
4287.5
23,625

4,232,013

2122016
00206RBS0
AT&T INC SENIOR CORP BND
 
 
 
 
3,000,000

3,006,900.09

3,000,000.00

3,000,000

6,900.09

—

—

—

0.62

0.677

FMAN
2583.75
14,022.97

2,072,013

2122016
00287YAJ8
ABBVIE INC SENIOR CORP BND
 
 
 
 
3,992,851.97

3,987,049.24

4,000,000.00

3,994,755.93

(7,706.69
)
1,222.44

—

—

1.75

1.906

MN
28194.45
52,500

8,092,013

11062017
02209SAK9
ALTRIA GROUP INC CORP BND
 
 
 
 
355,810.5

343,502.15

333,000.00

342,807.53

694.62

(46,709.76
)
—

—

4.125

0.985

MS
763.13
60,223.88

6,202,013

9112015
0258M0DG1
AMERICAN EXPRESS CREDIT CORPOR SENIOR CO
 
 
 
 
4,998,850

5,028,284.05

5,000,000.00

4,999,294.8

28,989.25

284.93

—

—

1.3

1.308

JJ
11194.44
48,750

7,242,013

7292016
0258M0DR7
AMERICAN EXPRESS CREDIT CORPOR SENIOR CO
 
 
 
 
3,465,350.2

3,472,223.82

3,470,000.00

3,465,383.78

6,840.04

33.58

—

—

1.55

1.596

MS
1195.22
1,195.22

9,182,014

9222017
02666QM59
AMERICAN HONDA FINANCE CORPORA SENIOR CO
 
 
 
 
5,000,000

5,023,699.95

5,000,000.00

5,000,000

23,699.95

—

—

—

0.61

0.648

FMAN
3049.5
23,032.78

5,222,013

5262016
03523TAT5
ANHEUSER-BUSCH INBEV WORLDWIDE CORP BND
 
 
 
 
6,070,199

5,746,954

5,650,000.00

5,741,743.51

5,210.49

(126,905.60
)
—

—

3.625

0.599

AO
94441.32
153,609.38

6,262,013

4152015
03523TBN7
ANHEUSER-BUSCH INBEV WORLDWIDE SENIOR CO
 
 
 
 
12,760,736.5

12,735,682.39

12,775,000.00

12,771,530.56

(35,848.17
)
2,385.25

—

—

1.375

1.385

JJ
37082.98
111,741.66

7,152,014

7152017
06050TLR1
BANK OF AMERICA CORP SENIOR CORP BND
 
 
 
 
2,498,150

2,491,564

2,500,000.00

2,498,686.51

(7,122.51
)
455.91

—

—

1.125

1.15

MN
10703.13
21,093.75

11,062,013

11142016
06050TLT7
BANK OF AMERICA CORP SENIOR CORP BND
 
 
 
 
4,995,600

4,975,861

5,000,000.00

4,996,511.15

(20,650.15
)
1,750.06

—

—

1.25

1.28

FA
8159.72
76,562.49

2,112,014

2142017
06050TLU4
BANK OF AMERICA CORP SENIOR CORP BND
 
 
 
 
5,750,000

5,760,810.23

5,750,000.00

5,750,000

10,810.23

—

—

—

0.703

0.706

FMAN
5390.43
25,641.95

2,112,014

2142017
06051GEG0
BANK OF AMERICA CORP CORP BND
 
 
 
 
5,182,413.45

5,179,754.65

5,000,000.00

5,149,215.06

30,539.59

(74,909.54
)
—

—

3.625

1.551

MS
7048.61
135,937.5

6,022,014

3172016
06051GEQ8
BANK OF AMERICA CORP CORP BND
 
 
 
 
7,577,808

8,010,720.19

7,600,000.00

7,588,474.53

422,245.66

(35,049.85
)
—

—

3.875

3.94

MS
7362.51
294,543.05

3,192,012

3222017
06051GEX3
BANK OF AMERICA CORP SENIOR CORP BND
 
 
 
 
5,075,550

4,973,662.55

5,000,000.00

5,070,085.93

(96,423.38
)
(6,680.45
)
—

—

2.6

2.255

JJ
27444.44
76,656.67

5,202,014

1152019
06051GFD6
BANK OF AMERICA CORP SENIOR CORP BND MTN
 
 
 
 
5,998,320

5,979,689.94

6,000,000.00

5,998,478.2

(18,788.26
)
158.20

—

—

2.65

2.656

AO
79500
79,500

3,272,014

4012019
06406HBX6
BANK OF NEW YORK MELLON CORP/T CORP BND
 
 
 
 
3,367,975

3,326,986.16

3,250,000.00

3,327,801.2

(815.04
)
(31,618.76
)
—

—

2.3

0.972

JJ
13081.25
56,062.5

10,152,013

7282016
06406HCA5
BANK OF NEW YORK MELLON CORP/T CORP BND
 
 
1
 
1,497,285

1,534,303.89

1,500,000.00

1,498,738.87

35,565.02

397.81

—

—

2.4

2.438

JJ
7400
27,000

11,172,011

1172017
06406HCC1
BANK OF NEW YORK MELLON CORP/T CORP BND
 
 
1
 
3,652,183.5

3,658,322

3,650,000.00

3,650,653.76

7,668.24

(1,064.24
)
—

—

1.2

1.133

FA
4988.33
62,531.66

7,192,013

2202015
06406HCD9
BANK OF NEW YORK MELLON CORP/T SENIOR CO
 
 
1
 
2,651,775.5

2,654,213.77

2,650,000.00

2,650,674.69

3,539.08

(511.71
)
—

—

0.7

0.674

AO
8141.39
13,912.5

2,132,013

10232015
06406HCF4
BANK OF NEW YORK MELLON CORP/T SENIOR CO
 
 
 
 
5,175,000

5,185,608.85

5,175,000.00

5,175,000

10,608.85

(1,264.20
)
—

—

0.463

0.545

JAJO
4659.95
28,191.37

10,182,012

10232015
06406HCG2
BANK OF NEW YORK MELLON CORP/T SENIOR CO
 
 
1
 
3,597,876

3,591,513.32

3,600,000.00

3,598,983.19

(7,469.87
)
527.89

—

—

0.7

0.72

MS
1890
18,900

3,042,013

3042016




06406HCH0
BANK OF NEW YORK MELLON CORP/T SENIOR CO
 
 
 
 
600,000

600,503.95

600,000.00

600,000

503.95

—

—

—

0.463

0.49

MJSD
208.4
2,107.84

11,262,013

3042016
06406HCK3
BANK OF NEW YORK MELLON CORP/T SENIOR CO
 
 
 
 
15,000,000

15,057,149.55

15,000,000.00

15,000,000

57,149.55

—

—

—

0.673

0.704

MJSD
6450.55
81,822.57

6,022,014

3062018
06406HCR8
BANK OF NEW YORK MELLON/THE SENIOR CORP
 
 
1
 
7,491,675

7,484,089.88

7,500,000.00

7,492,777.98

(8,688.1
)
1,102.98

—

—

2.2

2.223

MS
12375
108,625

1,282,014

3042019
06406HCU1
BANK OF NEW YORK MELLON/THE SENIOR CORP
 
 
1
 
1,996,120

1,993,089.3

2,000,000.00

1,996,416.25

(3,326.95
)
296.25

—

—

2.2

2.241

MN
17600
17,600

5,022,014

5152019
07330NAC9
BRANCH BKG & TR CO SENIOR CORP BND
 
 
1
 
999,640

1,006,894.07

1,000,000.00

999,765.37

7,128.7

89.18

—

—

1.45

1.462

AO
7169.44
10,875

9,042,013

10032016
07330NAF2
BRANCH BKG & TR CO CORP BND
 
 
1
 
4,500,000

4,522,230.14

4,500,000.00

4,500,000

22,230.14

—

—

—

0.664

0.667

MJSD
2405.55
22,589.64

11,192,013

12012016
07330NAG0
BRANCH BKG & TR CO CORP BND
 
 
1
 
499,335

500,100

500,000.00

499,519.94

580.06

163.52

—

—

1.05

1.095

JD
1750
3,937.5

11,192,013

12012016
07385TAJ5
BEAR STEARNS CO INC CORP BND
 
 
 
 
325,959.9

301,869

300,000.00

300,684.94

1,184.06

(4,150.47
)
—

—

5.7

3.797

MN
6460
12,825

10,292,009

11152014
110122AV0
BRISTOL-MYERS SQUIBB CO SENIOR CORP BND
 
 
 
 
4,977,000

4,909,810.65

5,000,000.00

4,980,767.13

(70,956.48
)
3,079.48

—

—

1.75

1.841

MS
7291.67
65,625

10,242,013

3012019
115637AN0
BROWN-FORMAN CORPORATION SENIOR CORP BND
 
 
 
 
1,295,697

1,269,761.35

1,300,000.00

1,297,197.37

(27,436.02
)
625.92

—

—

1

1.067

JJ
2744.44
9,750

12,102,012

1152018
126650BE9
CVS CAREMARK CORP CORP BND
 
 
 
 
2,334,389.12

2,175,437.63

1,988,000.00

2,174,699.68

737.95

(73,781.87
)
—

—

6.125

1.046

FA
15558.86
91,323.75

2,112,013

8152016
126650CA6
CVS CAREMARK CORP CORP BND
 
 
 
 
299,886

300,405.88

300,000.00

299,916.85

489.03

54.62

—

—

1.2

1.213

JD
1160
5,282.67

12,022,013

12052016
14042E3Y4
CAPITAL ONE BANK USA NA / CAPI SENIOR CO
 
 
 
 
6,855,612.5

6,764,369.08

6,875,000.00

6,856,081.81

(91,712.73
)
524.71

—

—

2.95

2.995

JJ
37745.66
42,170.66

7,212,014

7232021
14912L5M9
CATERPILLAR INC SENIOR CORP BND MTN
 
 
 
 
5,000,000

5,013,650.15

5,000,000.00

5,000,000

13,650.15

—

—

—

0.475

0.527

FMAN
2374.5
17,914.02

2,252,013

2262016
14912L5N7
CATERPILLAR INC SENIOR CORP BND MTN
 
 
 
 
2,896,404

2,900,532.73

2,900,000.00

2,898,359.23

2,173.5

870.70

—

—

0.7

0.741

FA
1973.61
15,225

2,252,013

2262016
166764AC4
CHEVRON CORP SENIOR CORP BND
 
 
 
 
4,200,000

4,210,967.51

4,200,000.00

4,200,000

10,967.51

—

—

—

0.889

0.889

JD
10060.51
28,003.51

6,172,013

6242016
17275RAG7
CISCO SYSTEMS INC CORP BND
 
 
 
 
3,989,840

4,012,920

4,000,000.00

3,999,723.02

13,196.98

1,610.28

—

—

2.9

2.955

MN
43177.78
87,000

11,092,009

11172014
17275RAQ5
CISCO SYSTEMS INC SENIOR CORP BND
 
 
 
 
3,500,000

3,525,900.18

3,500,000.00

3,500,000

25,900.18

—

—

—

0.734

0.734

MJSD
2139.67
15,157.85

2,242,014

3012019
17275RAT9
CISCO SYSTEMS INC SENIOR CORP BND
 
 
 
 
3,499,790

3,499,338.57

3,500,000.00

3,499,829.89

(491.32
)
55.91

—

—

1.1

1.102

MS
2994.44
31,181.94

9,182,014

3032017
172967FD8
CITIGROUP INC CORP BND
 
 
 
 
2,652,105

2,564,900

2,500,000.00

2,524,337.63

40,562.37

(43,870.33
)
—

—

4.75

3.183

MN
43541.67
134,570.67

5,242,011

5192015
172967FH9
CITIGROUP INC CORP BND
 
 
 
 
181,896.12

181,357.94

174,000.00

176,768.15

4,589.79

(36,331.33
)
—

—

4.587

3.229

JD
2350.07
131,094.92

5,162,012

12152015
172967GK1
CITIGROUP INC SUB CORP BND
 
 
 
 
10,802,675

10,641,293.26

10,500,000.00

10,797,029.16

(155,735.9
)
(5,645.84
)
—

—

4.05

3.631

JJ
72056.26
75,318.76

8,192,014

7302022
172967GR6
CITIGROUP INC CAPSEC CORP BND
 
 
1
 
6,702,500

6,527,500

7,000,000.00

6,703,085.41

(175,585.41
)
585.41

—

—

5.35

5.627

MN
141477.77
37,450

8,202,014

12312049
172967HC8
CITIGROUP INC SENIOR CORP BND
 
 
 
 
2,033,660

2,009,037.48

2,000,000.00

2,031,904.66

(22,867.18
)
(1,755.34
)
—

—

2.5

2.081

MS
694.44
11,666.66

7,012,014

9262018
172967HY0
CITIGROUP INC SENIOR CORP BND
 
 
 
 
8,587,960

8,550,138.83

8,600,000.00

8,588,473.12

(38,334.29
)
643.64

—

—

1.55

1.598

FA
17403.06
21,794.73

8,072,014

8142017
191216AU4
COCA-COLA COMPANY (THE) CORP BND
 
 
 
 
2,023,040.96

2,039,623.56

2,000,000.00

2,009,581.47

30,042.09

(4,508.64
)
—

—

1.8

1.649

MS
3000
33,235

12,142,011

9012016
191216BC3
COCA-COLA COMPANY (THE) SENIOR CORP BND
 
 
 
 
3,000,000

3,003,750

3,000,000.00

3,000,000

3,750

—

—

—

0.34

0.342

FMAN
1726.3
7,607.76

10,292,013

11012016




191216BD1
COCA-COLA COMPANY (THE) SENIOR CORP BND
 
 
 
 
6,991,950

6,987,477.42

7,000,000.00

6,994,387.54

(6,910.12
)
1,989.81

—

—

0.75

0.789

MN
21875
39,375

9,182,014

11012016
19416QDW7
COLGATE-PALMOLIVE CO CORP BND MTN
 
 
 
 
4,433,134.5

4,451,824.07

4,450,000.00

4,449,310.74

2,513.33

4,207.89

—

—

0.6

0.727

MN
10086.66
20,025

11,032,011

11152014
19416QEB2
COLGATE-PALMOLIVE CO SENIOR CORP BND MTN
 
 
 
 
1,890,937

1,851,878.85

1,900,000.00

1,893,454.27

(41,575.42
)
1,335.38

—

—

0.9

0.998

MN
7125
12,825

4,292,013

5012018
20030NAJ0
COMCAST CORP CORP BND
 
 
 
 
2,304,900

2,114,760

2,000,000.00

2,111,303.12

3,456.88

(144,706.11
)
—

—

5.85

0.856

MN
44200
171,600

10,032,012

11152015
20271RAA8
COMMONWEALTH BANK OF AUSTRALIA SENIOR CO
 
 E
 
 
2,149,183

2,165,050

2,150,000.00

2,149,872.05

15,177.95

205.65

—

—

1.95

1.963

MS
1746.88
31,443.75

3,052,012

3162015
20271RAE0
COMMONWEALTH BANK OF AUSTRALIA SENIOR CO
 
 E
 
 
4,991,350

4,975,622.55

5,000,000.00

4,992,912.58

(17,290.03
)
1,562.58

—

—

1.125

1.184

MS
2812.5
30,937.5

3,052,014

3132017
202795HH6
COMMONWEALTH EDISON COMPANY SECURED CORP
 
 
 
 
3,126,706.5

2,914,438.5

2,850,000.00

2,903,489.63

10,948.87

(73,704.66
)
—

—

4.7

1.191

AO
61765.83
100,462.5

6,142,012

4152015
20825CAT1
CONOCOPHILLIPS CORP BND
 
 
 
 
3,297,063

3,338,709

3,300,000.00

3,299,850.92

38,858.08

399.08

—

—

4.6

4.616

JJ
32046.67
119,152.78

5,182,009

1152015
20825TAA5
CONOCO INC CORP BND
 
 G
 
 
5,679,205.4

5,475,623.96

5,005,000.00

5,470,219.76

5,404.2

(168,160.42
)
—

—

5.625

1.006

AO
129817.19
211,148.44

11,262,013

10152016
20826FAB2
CONOCOPHILLIPS CO SENIOR CORP BND
 
 
1
 
4,876,363.57

4,815,243.62

4,885,000.00

4,876,945.8

(61,702.18
)
2,441.57

—

—

1.05

1.101

JD
14960.31
53,318.57

6,022,014

12152017
216871AC7
COOPER US INC CORP BND
 
 
 
 
2,372,660

2,229,218.44

2,000,000.00

2,247,256.26

(18,037.82
)
(65,747.40
)
—

—

6.1

1.494

JJ
30500
91,500

4,182,013

7012017
21688AAA0
RABOBANK NEDERLAND NV SENIOR CORP BND
 
 
 
 
1,988,560

2,012,169.8

2,000,000.00

1,990,115.31

22,054.49

3,491.99

—

—

2.25

2.372

JJ
9625
72,125

1,072,014

1142019
22160KAE5
COSTCO WHSLE CORP SENIOR CORP BND
 
 
 
 
1,899,620

1,878,487.87

1,900,000.00

1,899,755.94

(21,268.07
)
132.22

—

—

1.125

1.129

JD
6293.75
38,016.42

11,282,012

12152017
22546QAN7
CREDIT SUISSE NEW YORK NY SENIOR CORP BN
 
 
 
 
4,989,700

4,953,934.1

5,000,000.00

4,990,368.92

(36,434.82
)
670.94

—

—

2.3

2.344

MN
39291.67
39,413.06

5,222,014

5282019
23311VAC1
DCP MIDSTREAM PARTNERS LP SENIOR CORP BN
 
 
1
 
2,956,525.25

3,026,596.53

2,975,000.00

2,963,051.51

63,545.02

2,682.94

—

—

2.5

2.633

JD
24791.67
55,781.25

11,192,012

12012017
23311VAE7
DCP MIDSTREAM PARTNERS LP SENIOR CORP BN
 
 
1
 
1,192,920

1,202,973.91

1,200,000.00

1,193,654.39

9,319.52

734.39

—

—

2.7

2.826

AO
17820
17,820

3,102,014

4012019
233851AY0
DAIMLER FINANCE NORTH AMERICA SENIOR COR
 
 
 
 
3,450,000

3,482,119.5

3,450,000.00

3,450,000

32,119.5

—

—

—

0.92

0.945

FMAN
5375.83
23,923.18

7,242,013

8012016
233851AZ7
DAIMLER FINANCE NORTH AMERICA SENIOR COR
 
 
 
 
4,994,750

5,037,406.55

5,000,000.00

4,996,763.15

40,643.4

1,298.96

—

—

1.45

1.486

FA
12083.33
54,375

7,242,013

8012016
233851BF0
DAIMLER FINANCE NORTH AMERICA SENIOR COR
 
 
 
 
7,224,987.5

7,215,350.22

7,250,000.00

7,226,343.97

(10,993.75
)
1,721.16

—

—

1.375

1.493

FA
16614.57
21,045.13

7,242,014

8012017
235851AL6
DANAHER CORPORATION CORP BND
 
 
 
 
1,822,080

1,869,114.44

1,825,000.00

1,823,953.47

45,160.97

577.77

—

—

2.3

2.334

JD
11426.53
41,486.25

6,202,011

6232016
24422ERK7
JOHN DEERE CAPITAL CORP CORP BND MTN
 
 
 
 
505,585

500,819.95

500,000.00

500,699.28

120.67

(3,084.89
)
—

—

1.25

0.423

JD
2065.97
4,687.5

7,192,013

12022014
24422ERN1
JOHN DEERE CAPITAL CORP SENIOR CORP BND
 
 
 
 
4,923,571.75

4,941,868.08

4,925,000.00

4,924,299.41

17,568.67

305.85

—

—

1.4

1.406

MS
3064.44
76,263.05

2,222,012

3152017
24422ERZ4
JOHN DEERE CAPITAL CORP UNSECURED CORP B
 
 
 
 
634,326.9

636,348.3

635,000.00

634,704.56

1,643.74

168.22

—

—

0.75

0.786

JJ
912.82
3,571.88

1,172,013

1222016
24422ESB6
JOHN DEERE CAPITAL CORP CORP BND MTN
 
 
 
 
4,988,450

4,918,361.65

5,000,000.00

4,991,958.66

(73,597.01
)
1,690.79

—

—

1.3

1.348

MS
3430.56
48,750

3,062,013

3122018
24422ESQ3
JOHN DEERE CAPITAL CORP SENIOR CORP BND
 
 
 
 
3,000,000

2,999,993.25

3,000,000.00

3,000,000

(6.75
)
—

—

—

0.454

0.454

MJSD
605.47
681.15

9,102,014

12152017
25215BAA1
DEXIA CREDIT LOCAL/NEW YORK SENIOR CORP
 
 E
 
 
4,986,350

5,033,000.2

5,000,000.00

4,990,630.02

42,370.18

6,556.29

—

—

1.25

1.343

AO
28298.61
91,493.06

10,102,013

10182016
25459HAV7
DIRECTV HOLDINGS LLC CORP BND
 
 
 
 
5,665,268.75

5,687,888.05

5,525,000.00

5,581,921.72

105,966.33

(30,560.07
)
—

—

3.125

2.355

FA
22061.63
129,492.2

2,212,013

2152016




25459HAY1
DIRECTV HOLDINGS LLC SENIOR CORP BND
 
 
 
 
9,374,202.75

9,055,902.76

8,745,000.00

9,013,218.79

42,683.97

(139,187.48
)
—

—

3.5

1.308

MS
25506.25
229,556.25

10,162,012

3012016
25459HBE4
DIRECTV HOLDINGS LLC SENIOR CORP BND
 
 
 
 
4,533,818.6

4,599,694.08

4,500,000.00

4,534,725.43

64,968.65

(112.15
)
—

—

2.4

2.074

MS
4800
55,400

9,122,014

3152017
25468PCV6
WALT DISNEY COMPANY (THE) SENIOR CORP BN
 
 
 
 
7,024,696.75

6,992,562.66

7,075,000.00

7,042,800.46

(50,237.8
)
8,963.86

—

—

1.1

1.247

JD
25941.67
74,807.64

9,182,014

12012017
25468PDA1
WALT DISNEY COMPANY (THE) SENIOR CORP BN
 
 
 
 
2,997,000

2,960,172.96

3,000,000.00

2,997,192.7

(37,019.74
)
250.03

—

—

1.85

1.871

MN
18345.83
23,793.05

5,282,014

5302019
257375AD7
DOMINION GAS HOLDINGS LLC CORP BND
 
 
 
 
4,998,666.59

4,985,960.4

5,000,000.00

4,998,766.24

(12,805.84
)
99.65

—

—

1.05

1.038

MN
21875
8,020.83

8,062,014

11012016
26138EAM1
DR PEPPER SNAPPLE GROUP INC CORP BND
 
 
 
 
1,423,418.25

1,461,673.8

1,425,000.00

1,424,572.41

37,101.39

242.08

—

—

2.9

2.924

JJ
8724.17
30,993.75

1,062,011

1152016
263901AE0
DUKE ENERGY INDIANA INC SECURED CORP BND
 
 
 
 
585,000

585,208.77

585,000.00

585,000

208.77

—

—

—

0.584

0.619

JAJO
778.31
2,594.43

7,082,013

7112016
264399EM4
DUKE ENERGY CORP CORP BND
 
 
 
 
3,852,877.8

3,503,690.15

3,345,000.00

3,488,965.65

14,724.5

(140,732.68
)
—

—

5.3

0.965

AO
88642.5
175,731.81

3,012,012

10012015
268648AP7
EMC CORP SENIOR CORP BND
 
 
 
 
3,498,725

3,474,703.02

3,500,000.00

3,499,042.17

(24,339.15
)
193.93

—

—

1.875

1.883

JD
21875
41,718.75

4,022,014

6012018
277432AM2
EASTMAN CHEMICAL COMPANY SENIOR CORP BND
 
 
 
 
822,228

839,814.78

825,000.00

823,475.77

16,339.01

410.25

—

—

2.4

2.472

JD
6600
14,850

5,292,012

6012017
278062AB0
EATON CORPORATION SENIOR CORP BND
 
 
 
 
1,173,959.42

1,167,683.42

1,175,000.00

1,174,189.04

(6,505.62
)
191.39

—

—

1.5

1.523

MN
7294.8
13,218.75

11,082,013

11022017
278642AG8
EBAY INC. SENIOR CORP BND
 
 
 
 
5,442,698.9

5,360,643.9

5,375,000.00

5,415,439.43

(54,795.53
)
(10,614.77
)
—

—

1.35

1.075

JJ
15318.75
63,544.67

10,242,012

7152017
293791AN9
ENTERPRISE PRODUCTS OPERATING CORP BND
 
 
 
 
1,193,423

1,101,903

1,100,000.00

1,102,026.55

(123.55
)
(39,542.75
)
—

—

5.6

0.765

AO
28404.44
46,200

1,022,013

10152014
293791AR0
ENTERPRISE PRODUCTS OPERATING CORP BND
 
 
 
 
2,162,160

2,035,740

2,000,000.00

2,035,035.62

704.38

(100,512.33
)
—

—

5

0.784

MS
8333.33
121,111.11

3,192,013

3012015
30219GAD0
ARISTOTLE HOLDING INC SENIOR CORP BND
 
 
 
 
4,067,024.68

4,213,524.21

4,100,000.00

4,080,429.36

133,094.85

5,919.93

—

—

2.65

1.732

FA
13883.06
81,487.5

1,142,013

2152017
30219GAH1
ARISTOTLE HOLDING INC SENIOR CORP BND
 
 
 
 
4,489,155

4,434,411.96

4,500,000.00

4,489,818.65

(55,406.69
)
711.81

—

—

2.25

2.301

JD
32625
35,843.75

6,022,014

6152019
30231GAA0
EXXON MOBIL CORP SENIOR CORP BND
 
 
 
 
4,006,960

3,973,278.2

4,000,000.00

4,006,694.41

(33,416.21
)
(265.59
)
—

—

0.921

0.852

MS
1637.33
3,683.98

8,202,014

3152017
30231GAB8
EXXON MOBIL CORP SENIOR CORP BND
 
 
 
 
5,000,000

5,006,049.75

5,000,000.00

5,000,000

6,049.75

—

—

—

0.274

0.274

MJSD
609.11
7,388.47

9,182,014

3152017
30231GAD4
EXXON MOBIL CORP SENIOR CORP BND
 
 
1
 
2,050,000

2,047,247.94

2,050,000.00

2,050,000

(2,752.06
)
—

—

—

1.819

1.819

MS
1657.31
19,784.15

3,172,014

3152019
30249UAA9
FMC TECHNOLOGIES INC SENIOR CORP BND
 
 
 
 
349,184.5

350,936.15

350,000.00

349,504.01

1,432.14

118.79

—

—

2

2.049

AO
3500
5,250

9,182,012

10012017
302570BC9
NEXTERA ENERGY CAPITAL HOLDING CORP BND
 
 
 
 
917,625

811,268.25

750,000.00

787,617.91

23,650.34

(174,712.57
)
—

—

7.875

3.581

JD
17390.63
342,256.26

2,172,010

12152015
316773CR9
FIFTH THIRD BANK CAPSEC CORP BND
 
 
1
 
4,970,000

4,881,250

5,000,000.00

4,970,370.39

(89,120.39
)
370.39

—

—

4.9

4.936

MS
680.56
13,611.12

9,082,014

12312049
31677QBC2
FIFTH THIRD BANK SENIOR CORP BND
 
 
1
 
2,835,322.5

2,819,660.92

2,850,000.00

2,835,419.88

(15,758.96
)
97.38

—

—

2.875

2.956

AO
5917.71
5,917.71

9,022,014

10012021
337738AH1
FISERV INC CORP BND
 
 
 
 
1,540,407.22

1,533,352.5

1,500,000.00

1,530,433.3

2,919.2

(22,509.88
)
—

—

3.125

1.08

AO
23437.5
35,156.25

6,022,014

10012015
337738AK4
FISERV INC CORP BND
 
 
 
 
789,567.5

774,722.1

750,000.00

771,813

2,909.1

(9,418.88
)
—

—

3.125

1.392

JD
6901.04
17,578.13

8,062,013

6152016
341099CQ0
PROGRESS ENERGY FLORIDA SECURED CORP BND
 
 
 
 
4,772,675.81

4,767,974.23

4,771,000.00

4,771,834.47

(3,860.24
)
(553.72
)
—

—

0.65

0.634

MN
11715.46
23,258.63

3,212,013

11152015
345397WM1
FORD MOTOR CREDIT COMPANY LLC SENIOR COR
 
 
 
 
4,750,000

4,789,899.81

4,750,000.00

4,750,000

39,899.81

—

—

—

1.013

1.019

JAJO
10159.14
43,037.96

11,062,013

1172017




345397WN9
FORD MOTOR CREDIT COMPANY LLC SENIOR COR
 
 
 
 
4,186,061.4

4,189,233.11

4,190,000.00

4,187,183.7

2,049.41

980.25

—

—

1.5

1.53

JJ
12919.16
47,137.5

11,062,013

1172017
345397WR0
FORD MOTOR CREDIT COMPANY LLC SENIOR COR
 
 
 
 
3,500,000

3,474,847.5

3,500,000.00

3,500,000

(25,152.5
)
—

—

—

1.724

1.724

JD
19275.27
19,275.27

6,032,014

12062017
345397WT6
FORD MOTOR CREDIT COMPANY LLC SENIOR COR
 
 
 
 
4,000,000

3,985,879.52

4,000,000.00

4,000,000

(14,120.48
)
—

—

—

1.684

1.684

MS
4303.56
4,303.56

9,032,014

9082017
345838AE6
FOREST LABORATORIES INC. SENIOR CORP BND
 
 
 
 
2,194,560

2,119,571.38

2,000,000.00

2,189,609.49

(70,038.11
)
(4,950.51
)
—

—

4.875

3.217

FA
12458.33
18,145.83

7,212,014

2152021
354613AH4
FRANKLIN RESOURCES INC SENIOR CORP BND
 
 
 
 
1,541,552.5

1,541,841.31

1,550,000.00

1,544,905.21

(3,063.9
)
2,271.41

—

—

1.375

1.489

MS
947.23
29,043.08

9,192,012

9152017
35671DAW5
FREEPORT-MCMORAN COPPER & GOLD SENIOR CO
 
 
 
 
3,345,980

3,398,447.64

3,350,000.00

3,348,031.78

50,415.86

586.76

—

—

2.15

2.175

MS
6002.09
54,018.75

2,082,012

3012017
35671DBD6
FREEPORT-MCMORAN COPPER & GOLD SENIOR CO
 
 
 
 
3,769,675.91

3,773,033.61

3,770,000.00

3,769,769.26

3,264.35

62.13

—

—

2.375

3.045

MS
3979.44
67,153.12

10,102,013

3152018
369550AQ1
GENERAL DYNAMICS CORP CORP BND
 
 
 
 
1,149,579.4

1,118,860.65

1,090,000.00

1,118,786.84

73.81

(11,963.17
)
—

—

2.25

0.76

JJ
5177.5
18,393.75

10,182,012

7152016
369550AV0
GENERAL DYNAMICS CORP SENIOR CORP BND
 
 
 
 
8,899,150.88

8,800,400.7

8,963,000.00

8,922,100

(121,699.3
)
18,517.70

—

—

1

1.149

MN
33860.23
82,611.38

2,212,013

11152017
369604BC6
GENERAL ELECTRIC CO CORP BND
 
 
 
 
308,510.1

299,921.09

270,000.00

300,249.54

(328.45
)
(6,897.06
)
—

—

5.25

1.621

JD
4528.13
10,631.25

11,052,013

12062017
369604BE2
GENERAL ELECTRIC CO SENIOR CORP BND
 
 
 
 
2,774,250.75

2,783,849.21

2,775,000.00

2,774,742.65

9,106.56

186.77

—

—

0.85

0.859

AO
11269.58
17,690.62

12,282,012

10092015
36962G4D3
GENERAL ELECTRIC CAP CORP CORP BND MTN
 
 
 
 
261,337.5

291,457.48

250,000.00

256,378.92

35,078.56

(19,018.82
)
—

—

6

5.395

FA
2250
45,550

10,292,009

8072019
36962G4T8
GENERAL ELECTRIC CAP CORP CORP BND
 
 
 
 
7,243,470

7,679,746.76

7,550,000.00

7,475,702.19

204,044.57

48,801.35

—

—

2.25

3.162

MN
67006.26
127,406.26

2,222,012

11092015
36962G5M2
GENERAL ELECTRIC CAP CORP CORP BND MTN
 
 
 
 
1,648,284

1,658,216.84

1,650,000.00

1,649,840.31

8,376.53

437.31

—

—

2.15

2.186

JJ
8080.41
26,606.25

12,282,012

1092015
36962G5S9
GENERAL ELECTRIC CAP CORP SENIOR CORP BN
 
 
 
 
3,359,720

3,336,222.24

3,250,000.00

3,341,715.71

(5,493.47
)
(18,004.29
)
—

—

2.45

1.279

MS
3538.89
39,148.96

9,182,014

3152017
36962G6N9
GENERAL ELECTRIC CAP CORP SECURED CORP B
 
 
 
 
2,000,000

2,012,860.1

2,000,000.00

2,000,000

12,860.1

—

—

—

0.835

0.911

MJSD
927.33
12,673.43

12,052,012

12112015
36962G6R0
GENERAL ELECTRIC CAP CORP SENIOR CORP BN
 
 
 
 
3,256,512.93

3,279,906.28

3,267,000.00

3,262,522.6

17,383.68

(988.59
)
—

—

1

1.109

JJ
7532.25
66,808.05

1,032,013

1082016
36962G7A6
GENERAL ELECTRIC CAP CORP CORP BND MTN
 
 
 
 
320,000

322,774.39

320,000.00

320,000

2,774.39

—

—

—

0.884

0.919

JAJO
620.48
2,146.32

7,092,013

7122016
36962G7F5
GENERAL ELECTRIC CAP CORP SENIOR CORP BN
 
 
 
 
5,000,000

5,033,800.15

5,000,000.00

5,000,000

33,800.15

—

—

—

0.744

0.752

JAJO
8158.94
26,870.06

1,082,014

1142019
373334JV4
GEORGIA POWER COMPANY CORP BND
 
 
 
 
3,399,082

3,508,510.93

3,400,000.00

3,399,699.65

108,811.28

140.95

—

—

3

3.006

AO
47033.33
76,500

4,122,011

4152016
373334KB6
GEORGIA POWER COMPANY SENIOR CORP BND
 
 
 
 
800,308.8

799,969.5

800,000.00

800,000

(30.5
)
(164.35
)
—

—

0.554

0.541

MJSD
197.01
6,521.47

6,182,013

3152016
377372AG2
GLAXOSK CAP INC SENIOR CORP BND
 
 
 
 
4,594,020

4,600,884.4

4,600,000.00

4,597,065.07

3,819.33

1,482.68

—

—

0.7

0.744

MS
1162.78
24,150

3,132,013

3182016
378272AD0
GLENCORE FUNDING LLC SENIOR CORP BND 144
 
 
 
 
2,636,803

2,593,801.53

2,650,000.00

2,639,739.34

(45,937.81
)
1,682.49

—

—

2.5

2.596

JJ
13986.11
49,687.5

5,222,013

1152019
38141EA74
GOLDMAN SACHS GROUP INC CORP BND
 
 
 
 
606,066

615,228

600,000.00

601,182.83

14,045.17

(2,198.83
)
—

—

3.7

3.458

FA
3700
21,620.33

1,052,011

8012015
38141EB32
GOLDMAN SACHS GROUP INC SENIOR CORP BND
 
 
 
 
2,017,500

2,012,774.6

2,000,000.00

2,007,379.68

5,394.92

(4,770.70
)
—

—

1.6

1.274

MN
11377.78
24,000

2,212,013

11232015
38141GEA8
GOLDMAN SACHS GROUP INC CORP BND
 
 
 
 
2,039,860

2,026,140

2,000,000.00

2,002,719.12

23,420.88

(8,649.51
)
—

—

5.125

4.642

JJ
21638.89
86,804.7

5,182,010

1152015
38141GEG5
GOLDMAN SACHS GROUP INC CORP BND
 
 
 
 
2,488,200

2,505,400.08

2,500,000.00

2,492,691.83

12,708.25

3,671.91

—

—

0.683

0.897

MJSD
426.94
13,003.8

10,292,013

3222016




38141GES9
GOLDMAN SACHS GROUP INC CORP BND
 
 
 
 
6,077,662.5

5,894,179.25

5,250,000.00

6,072,169.28

(177,990.03
)
(5,493.22
)
—

—

5.95

4.296

JJ
65945.83
33,840.62

8,192,014

1152027
38141GGT5
GOLDMAN SACHS GROUP INC SENIOR CORP BND
 
 
 
 
1,631,678.75

1,650,317.5

1,625,000.00

1,627,268.84

23,048.66

(2,848.45
)
—

—

3.3

3.059

MN
22045.84
40,218.75

6,262,013

5032015
38141GVK7
GOLDMAN SACHS GROUP INC SENIOR CORP BND
 
 
 
 
4,350,000

4,445,047.41

4,350,000.00

4,350,000

95,047.41

—

—

—

1.436

1.476

JAJO
10892.42
58,110.57

4,252,013

4302018
38145XAA1
GOLDMAN SACHS GROUP INC SENIOR CORP BND
 
 
 
 
13,545,805.2

13,504,745.85

13,530,000.00

13,547,579.75

(42,833.9
)
1,774.55

—

—

2.625

2.593

JJ
60180.32
189,928.24

7,092,014

1312019
38259PAC6
GOOGLE CORP BND
 
 
 
 
2,065,620

2,047,621.92

2,000,000.00

2,039,721.26

7,900.66

(18,004.09
)
—

—

2.125

0.897

MN
15583.34
31,875.01

8,282,013

5192016
40428HPH9
HSBC BANK USA INC SENIOR CORP BND
 
 
 
 
2,991,420

2,990,849.07

3,000,000.00

2,994,362.56

(3,513.49
)
2,097.31

—

—

1.625

1.684

JJ
10156.25
61,808.23

12,132,012

1162018
40428HPJ5
HSBC BANK USA INC SENIOR CORP BND
 
 
 
 
938,383.2

956,567.69

940,000.00

938,695.74

17,871.95

229.28

—

—

2.625

2.662

MS
477.14
18,404.03

9,172,013

9242018
40428HPK2
HSBC BANK USA INC SENIOR CORP BND
 
 
 
 
6,250,000

6,369,372.44

6,250,000.00

6,250,000

119,372.44

—

—

—

1.116

1.13

MJSD
1355.76
52,944.5

9,172,013

9242018
406216BC4
HALLIBURTON COMPANY SENIOR CORP BND
 
 
1
 
499,645

501,791.23

500,000.00

499,723.65

2,067.58

51.54

—

—

2

2.015

FA
1666.67
7,500

7,292,013

8012018
41283LAA3
HARLEY-DAVIDSON FINANCIAL CORP BND 144A
 
 
 
 
2,329,200

2,347,015.28

2,250,000.00

2,277,543.3

69,471.98

(13,646.27
)
—

—

3.875

3.009

MS
3875
65,390.62

10,272,011

3152016
427866AS7
HERSHEY COMPANY THE CORP BND
 
 
 
 
1,321,912.75

1,334,877.86

1,325,000.00

1,323,673.94

11,203.92

465.10

—

—

1.5

1.549

MN
8281.25
14,906.25

11,082,011

11012016
428236BW2
HEWLETT-PACKARD CO UNSEC CORP BND
 
 
 
 
1,874,718.75

1,925,739.53

1,875,000.00

1,874,845.58

50,893.95

37.10

—

—

2.6

2.603

MS
2166.67
36,562.5

3,072,012

9152017
428236BZ5
HEWLETT-PACKARD CO SENIOR CORP BND
 
 
 
 
500,000

506,720.01

500,000.00

500,000

6,720.01

—

—

—

1.174

1.182

JAJO
1287.7
4,239.78

1,092,014

1142019
44923QAB0
HYUNDAI CAPITAL AMERICA CORP BND 144A
 
 
 
 
1,991,020

2,117,711.48

2,000,000.00

1,995,366.86

122,344.62

1,205.04

—

—

4

4.092

JD
25111.11
60,000

12,012,011

6082017
459200HB0
INTERNATIONAL BUSINESS MACHINE CORP BND
 
 
 
 
4,127,963.5

4,153,984

4,150,000.00

4,147,195.69

6,788.31

6,025.99

—

—

0.55

0.745

FA
3487.15
17,118.75

5,012,012

2062015
459200HC8
INTERNATIONAL BUSINESS MACHINE CORP BND
 
 
 
 
3,818,688.55

3,841,679.47

3,830,000.00

3,825,533.47

16,146

1,438.74

—

—

1.25

1.3

FA
7314.23
35,617.19

1,132,014

2062017
459200HD6
INTERNATIONAL BUSINESS MACHINE SENIOR CO
 
 
 
 
4,542,447

4,562,921.55

4,550,000.00

4,548,446.28

14,475.27

1,890.16

—

—

0.75

0.806

MN
13270.83
25,593.75

5,082,012

5112015
459200HK0
INTERNATIONAL BUSINESS MACHINE SENIOR CO
 
 
 
 
1,149,710.1

1,142,951.86

1,155,000.00

1,151,413.67

(8,461.81
)
780.46

—

—

1.25

1.345

FA
2125.52
10,828.13

2,052,013

2082018
459200HV6
INTERNATIONAL BUSINESS MACHINE SENIOR CO
 
 
 
 
700,000

700,280.06

700,000.00

700,000

280.06

—

—

—

0.308

0.304

FMAN
341.48
1,349.83

2,062,014

2052016
46623EJB6
JPMORGAN CHASE & CO SENIOR CORP BND
 
 
 
 
913,842

908,248.84

900,000.00

905,999.5

2,249.34

(4,573.90
)
—

—

1.358

0.738

MJSD
305.57
9,287.64

6,142,013

9222015
46623EJP5
JPMORGAN CHASE & CO SENIOR CORP BND MTN
 
 
 
 
3,372,637.5

3,396,465

3,375,000.00

3,374,620.91

21,844.09

595.02

—

—

1.875

1.899

MS
1933.59
47,460.94

3,142,012

3202015
46623EJU4
JPMORGAN CHASE & CO SENIOR CORP BND
 
 
 
 
4,144,978.5

4,159,698.14

4,150,000.00

4,147,631.57

12,066.57

1,850.26

—

—

1.125

1.166

FA
4539.07
51,890.63

2,212,013

2262016
46625HCE8
JPMORGAN CHASE & CO CORP BND
 
 
 
 
182,024.5

178,050.25

175,000.00

175,602.68

2,447.57

(1,054.85
)
—

—

4.75

3.908

MS
692.71
6,234.38

10,292,009

3012015
46625HHX1
JPMORGAN CHASE & CO CORP BND
 
 
 
 
6,416,840

6,207,377.04

6,000,000.00

6,197,427.34

9,949.7

(115,312.86
)
—

—

3.45

1.103

MS
17250
174,129.17

3,082,013

3012016
46625HJA9
JPMORGAN CHASE & CO CORP BND
 
 
 
 
8,363,137.2

8,302,968.58

8,025,000.00

8,259,325.47

43,643.11

(98,300.24
)
—

—

3.15

1.462

JJ
60388.13
189,590.63

6,022,014

7052016
46625HJF8
JPMORGAN CHASE & CO SENIOR CORP BND
 
 
 
 
17,326,163.65

17,556,444.7

17,245,000.00

17,312,369.17

244,075.53

(13,794.48
)
—

—

1.134

1.063

JAJO
36942.05
163,502.28

1,162,014

1252018
46625HJG6
JPMORGAN CHASE & CO CORP BND
 
 
 
 
1,973,600

1,988,449.4

2,000,000.00

1,979,495.45

8,953.95

4,452.90

—

—

1.8

2.122

JJ
             6,600.00
27,000

10,012,013

1252018




46625HJL5
JPMORGAN CHASE & CO SENIOR CORP BND
 
 
 
 
3,227,387.2

3,207,737.71

3,265,000.00

3,234,177.14

(26,439.43
)
6,160.64

—

—

1.625

1.896

MN
          20,043.47
40,965.8

11,262,013

5152018
46625HJY7
JPMORGAN CHASE & CO SUB CORP BND
 
 
 
 
6,630,008.75

6,544,131.76

6,665,000.00

6,630,176.34

(86,044.58
)
167.59

—

—

3.875

3.939

MS
           15,065.68
15,065.68

9,032,014

9102024
478160AW4
JOHNSON & JOHNSON CORP BND
 
 
 
 
122,861.25

129,255.66

125,000.00

123,659.96

5,595.7

151.95

—

—

2.95

3.15

MS
                 307.29
2,765.62

8,122,010

9012020
478160AY0
JOHNSON & JOHNSON SENIOR CORP BND
 
 
 
 
526,270

513,913.39

500,000.00

511,460.57

2,452.82

(5,238.69
)
—

—

2.15

0.726

MN
                4,061.11
8,062.5

8,132,012

5152016
478160BE3
JOHNSON & JOHNSON SENIOR CORP BND
 
 
 
 
5,000,000

5,008,649.85

5,000,000.00

5,000,000

8,649.85

—

—

—

0.308

0.311

FMAN
              1,454.92
11,536.77

12,022,013

11282016
478160BF0
JOHNSON & JOHNSON SENIOR CORP BND
 
 
 
 
1,997,580

1,996,291.2

2,000,000.00

1,998,242.66

(1,951.46
)
602.74

—

—

0.7

0.741

MN
             4,783.33
10,499.99

12,022,013

11282016
48126EAA5
JPMORGAN CHASE & CO SENIOR CORP BND
 
 
 
 
3,517,855

3,528,514.15

3,500,000.00

3,516,271.98

12,242.17

(15,062.61
)
—

—

2

1.832

FA
             8,944.44
87,583.33

4,012,014

8152017
50076QAY2
KRAFT FOODS GROUP INC CORP BND
 
 
 
 
3,718,985.96

3,789,375.83

3,725,000.00

3,721,284.46

68,091.37

999.08

—

—

2.25

1.396

JD
          27,006.25
62,859.37

1,162,013

6052017
502413BC0
L-3 COMMUNICATIONS CORP SENIOR CORP BND
 
 
 
 
2,738,017.4

2,709,742.15

2,740,000.00

2,738,239.27

(28,497.12
)
221.87

—

—

1.5

1.525

MN
           14,042.50
14,042.5

5,132,014

5282017
55279HAF7
MANUFACTURERS AND TRADERS TRUS SENIOR CO
 
 
1
 
7,797,036

7,781,121.28

7,800,000.00

7,797,215.36

(16,094.08
)
179.36

—

—

1.4

1.413

JJ
           20,020.01
20,020.01

7,222,014

7252017
581557BB0
MCKESSON CORP SENIOR CORP BND
 
 
 
 
1,250,000

1,245,638.38

1,250,000.00

1,250,000

(4,361.62
)
—

—

—

1.292

1.292

MS
                 942.09
9,995.06

3,052,014

3102017
585055AU0
MEDTRONIC INC CORP BND
 
 
 
 
526,905

512,907.64

500,000.00

512,938.63

(30.99
)
(6,567.41
)
—

—

2.625

0.833

MS
                 583.33
9,843.75

2,252,013

3152016
585055BA3
MEDTRONIC INC SENIOR CORP BND
 
 
 
 
3,444,825

3,395,810.03

3,450,000.00

3,446,351.07

(50,541.04
)
755.70

—

—

1.375

1.406

AO
           23,718.75
35,578.11

3,192,013

4012018
585055BB1
MEDTRONIC INC SENIOR CORP BND
 
 
 
 
3,496,395

3,471,631.13

3,500,000.00

3,497,102.54

(25,471.41
)
707.54

—

—

0.875

0.91

FA
             2,892.37
18,204.87

2,202,014

2272017
58933YAD7
MERCK & CO INC SENIOR CORP BND
 
 
 
 
861,049.2

859,626.73

860,000.00

860,694.73

(1,068
)
(166.91
)
—

—

0.7

0.65

MN
             2,224.05
16,153.66

11,262,013

5182016
58933YAG0
MERCK & CO INC SENIOR CORP BND
 
 
 
 
5,691,821.45

5,605,062.84

5,705,000.00

5,695,333.11

(90,270.27
)
1,934.08

—

—

1.3

1.348

MN
          27,399.85
55,623.75

5,152,013

5182018
58933YAH8
MERCK & CO INC SENIOR CORP BND
 
 
 
 
752,364

754,079.99

750,000.00

751,913.11

2,166.88

(389.66
)
—

—

0.591

0.528

FMAN
                  541.84
3,367.98

11,142,013

5182018
59022CCS0
MERRILL LYNCH & CO. INC. CORP BND
 
 
 
 
5,552,250

5,453,607.95

5,000,000.00

5,504,796.28

(51,188.33
)
(47,453.72
)
—

—

5.7

1.694

MN
         117,958.34
71,250

6,262,014

5022017
594918AS3
MICROSOFT CORP SENIOR CORP BND
 
 
 
 
2,093,680.15

2,054,949.29

2,095,000.00

2,094,046.55

(39,097.26
)
648.14

—

—

1

1.013

MN
              8,729.17
52,356.11

4,252,013

5012018
594918AV6
MICROSOFT CORP SENIOR CORP BND
 
 
 
 
646,249.5

644,902.73

650,000.00

646,842.58

(1,939.85
)
2,220.76

—

—

1.625

1.746

JD
              3,374.13
33,141.87

12,032,013

12062018
595620AJ4
MIDAMERICAN ENERGY CO SECURED CORP BND
 
 
1
 
839,529.6

849,407.37

840,000.00

839,612.42

9,794.95

60.35

—

—

2.4

2.411

MS
                 896.00
15,120

9,122,013

3152019
61166WAS0
MONSANTO COMPANY SENIOR CORP BND
 
 
 
 
2,999,700

2,976,200.64

3,000,000.00

2,999,718.29

(23,517.65
)
18.29

—

—

2.125

2.127

JJ
           15,937.50
15,937.5

6,262,014

7152019
61166WAT8
MONSANTO COMPANY SENIOR CORP BND
 
 
 
 
2,994,450

2,960,588.61

3,000,000.00

2,994,627.9

(34,039.29
)
177.90

—

—

2.75

2.779

JJ
          20,625.00
20,625

6,262,014

7152021
6174467N3
MORGAN STANLEY CORP BND
 
 
 
 
2,400,983.75

2,440,003.75

2,375,000.00

2,379,758.48

60,245.27

(4,290.45
)
—

—

4

3.747

JJ
           17,680.56
71,250

10,152,010

7242015
6174467U7
MORGAN STANLEY SENIOR CORP BND
 
 
 
 
2,997,870

2,989,191.27

3,000,000.00

2,998,458.18

(9,266.91
)
726.64

—

—

2.125

2.14

AO
          27,625.00
112,743.05

4,222,013

4252018
6174467X1
MORGAN STANLEY SUB CORP BND
 
 
 
 
5,373,150

5,226,495.35

5,000,000.00

5,366,879.4

(140,384.05
)
(6,270.60
)
—

—

5

4.17

MN
           88,194.45
61,805.56

6,272,014

11242025
61744YAD0
MORGAN STANLEY CORP BND MTN
 
 
 
 
2,272,680

2,239,484.26

2,000,000.00

2,256,745.76

(17,261.5
)
(15,934.24
)
—

—

5.95

1.849

JD
           30,741.67
24,461.11

7,142,014

12282017




61746BDH6
MORGAN STANLEY SENIOR CORP BND
 
 
 
 
854,845

861,517.53

850,000.00

852,417.69

9,099.84

(1,271.28
)
—

—

1.485

1.336

FMAN
              1,297.23
9,557.99

4,222,013

2252016
61746BDR4
MORGAN STANLEY SENIOR CORP BND
 
 
 
 
3,484,775

3,445,754.17

3,500,000.00

3,485,322.77

(39,568.6
)
738.93

—

—

2.375

2.468

JJ
            15,701.39
21,144.1

7,172,014

7232019
61747YDT9
MORGAN STANLEY SENIOR CORP BND
 
 
 
 
2,192,640

2,150,359.34

2,000,000.00

2,118,670.42

31,688.92

(34,454.94
)
—

—

4.75

2.271

MS
             2,375.00
71,250

2,132,013

3222017
6174824M3
MORGAN STANLEY SUB CORP BND
 
 
 
 
5,929,440

5,798,833.81

5,500,000.00

5,924,744.26

(125,910.45
)
(4,695.74
)
—

—

4.875

3.758

MN
           111,718.75
29,046.87

8,192,014

11012022
628530AL1
MYLAN INC/PA CORP BND 144A
 
 
1
 
3,206,500

3,025,000

2,750,000.00

2,989,494.73

35,505.27

(178,167.89
)
—

—

7.875

1.685

JJ
           45,718.75
235,265.62

5,302,013

7152020
63254AAB4
NATIONAL AUSTRALIA BANK LIMITE CORP BND
 
E
 
 
2,415,189.6

2,398,911.02

2,320,000.00

2,408,009.94

(9,098.92
)
(9,722.48
)
—

—

2.75

1.168

MS
             3,898.89
17,520.56

7,152,014

3092017
63254AAH1
NATIONAL AUSTRALIA BANK LIMITE SENIOR CO
 
E
 
 
320,000

322,198.36

320,000.00

320,000

2,198.36

—

—

—

0.784

0.816

JAJO
                 473.94
1,902.48

7,182,013

7252016
637432MX0
NATIONAL RURAL UTILITIES COOP SENIOR COR
 
 
1
 
2,933,737.95

2,919,247.71

2,935,000.00

2,933,902.63

(14,654.92
)
217.88

—

—

2.15

2.159

FA
            10,517.08
56,330.29

1,212,014

2012019
63743HEG3
NATIONAL RURAL UTILITIES COOP SENIOR COR
 
 
 
 
6,000,000

6,007,989.66

6,000,000.00

6,000,000

7,989.66

—

—

—

0.485

0.48

FMAN
             2,665.30
21,985.97

6,022,014

5272016
63946BAB6
NBCUNIVERSAL MEDIA LLC CORP BND
 
 
 
 
577,289.62

552,108.3

542,000.00

549,197.31

2,910.99

(9,210.11
)
—

—

3.65

1.34

AO
             8,297.87
14,837.25

6,072,012

4302015
63946CAB4
NBCUNIVERSAL ENTERPRISE INC SENIOR CORP
 
 
 
 
6,760,694.5

6,817,837.3

6,750,000.00

6,758,702.28

59,135.02

(1,295.49
)
—

—

0.919

0.924

JAJO
           13,434.53
45,413.25

5,012,014

4152018
641423BM9
NEVADA PWR CO SECURED CORP BND
 
 
 
 
950,936.4

920,778.39

860,000.00

921,171.01

(392.62
)
(29,765.39
)
—

—

5.95

1.015

MS
             2,274.22
36,671.83

1,082,014

3152016
66989HAC2
NOVARTIS CAPITAL CORP CORP BND
 
 
 
 
6,462,523.04

6,241,753.08

6,156,000.00

6,237,985.53

3,767.55

(109,984.88
)
—

—

2.9

0.527

AO
          77,856.30
243,299.86

7,182,013

4242015
68268NAK9
ONEOK PARTNERS LP SENIOR CORP BND
 
 
1
 
2,663,267.75

2,749,341.39

2,665,000.00

2,663,613.87

85,727.52

245.51

—

—

3.2

3.214

MS
             3,790.22
63,960

9,092,013

9152018
68389XAN5
ORACLE CORP SENIOR CORP BND
 
 
 
 
6,578,599.3

6,531,892.02

6,590,000.00

6,582,947.17

(51,055.15
)
7,722.60

—

—

1.2

1.236

AO
          36,464.66
68,810

10,182,012

10152017
68389XAR6
ORACLE CORP SENIOR CORP BND
 
 
 
 
3,350,000

3,384,035.97

3,350,000.00

3,350,000

34,035.97

—

—

—

0.814

0.851

JAJO
             5,905.38
20,665.7

7,092,013

1152019
68389XBA2
ORACLE CORP SENIOR CORP BND
 
 
 
 
2,995,650

2,975,312.58

3,000,000.00

2,995,780.83

(20,468.25
)
217.02

—

—

2.8

2.823

JJ
           19,366.67
32,122.23

6,302,014

7082021
693304AQ0
PECO ENERGY CO SECURED CORP BND
 
 
 
 
2,157,587.25

2,167,093.59

2,160,000.00

2,157,926.15

9,167.44

761.76

—

—

1.2

1.248

AO
            11,952.00
19,440

6,022,014

10152016
69349LAH1
PNC BANK NA SENIOR CORP BND
 
 
1
 
6,438,647.6

6,445,021.27

6,440,000.00

6,439,399.49

5,621.78

337.59

—

—

0.8

0.807

JJ
              9,016.00
38,640

1,232,013

1282016
69349LAJ7
PNC BANK NA SENIOR CORP BND
 
 
 
 
3,155,000

3,161,737.47

3,155,000.00

3,155,000

6,737.47

—

—

—

0.545

0.611

JAJO
               3,105.18
22,531.48

1,232,013

1282016
69349LAL2
PNC BANK NA SENIOR CORP BND
 
 
1
 
1,849,392

1,850,647.57

1,850,000.00

1,849,645.69

1,001.88

166.76

—

—

0.554

0.592

JAJO
              1,822.37
13,028.67

3,142,014

4292016
69349LAN8
PNC BANK NA SENIOR CORP BND
 
 
1
 
4,695,676

4,726,183.28

4,700,000.00

4,697,210.07

28,973.21

1,042.91

—

—

1.3

1.33

AO
           30,210.55
45,824.99

8,202,013

10032016
69349LAP3
PNC BANK NA SENIOR CORP BND
 
 
1
 
2,596,620

2,606,336.15

2,600,000.00

2,597,655.39

8,680.76

828.76

—

—

1.15

1.194

MN
           12,458.33
22,425

10,212,013

11012016
69353RCG1
PNC BANK NA SENIOR CORP BND
 
 
1
 
3,005,460

2,991,578.52

3,000,000.00

3,004,578.54

(13,000.02
)
(881.46
)
—

—

1.125

1.056

JJ
             6,000.00
14,906.25

4,162,014

1272017
69353RCH9
PNC BANK NA SENIOR CORP BND
 
 
1
 
1,247,525

1,250,473.6

1,250,000.00

1,247,844.31

2,629.29

319.31

—

—

2.2

2.242

JJ
              4,812.50
18,562.5

1,232,014

1282019
69353RDY1
PNC BANK NA SENIOR CORP BND
 
 
1
 
2,499,525

2,500,883.88

2,500,000.00

2,499,526.05

1,357.83

1.05

—

—

1.5

1.506

AO
               1,354.16
1,354.16

9,152,014

10182017
69362BAS1
PSEG POWER LLC CORP BND
 
 
 
 
1,099,885.31

1,077,635.19

1,000,000.00

1,034,838.38

42,796.81

(12,672.67
)
—

—

5.32

3.462

MS
             2,364.44
39,900

9,152,010

9152016




69362BAZ5
PSEG POWER LLC SENIOR CORP BND
 
 
1
 
49,925

50,075.45

50,000.00

49,937.86

137.59

10.82

—

—

2.45

2.482

MN
                 462.78
918.75

11,052,013

11152018
69371RL20
PACCAR FINANCIAL CORP SENIOR CORP BND M
 
 
 
 
2,906,042.4

2,910,513.03

2,910,000.00

2,908,202.65

2,310.38

987.53

—

—

0.8

0.846

FA
             3,427.33
17,460

2,052,013

2082016
69371RL38
PACCAR FINANCIAL CORP SENIOR CORP BND MT
 
 
 
 
518,031.08

519,202.08

518,000.00

518,016.56

1,185.52

(9.08
)
—

—

0.504

0.543

FMAN
                  391.76
15,638.41

7,112,013

2082016
69371RL46
PACCAR FINANCIAL CORP CORP BND MTN
 
 
 
 
4,146,835.4

4,150,881.46

4,150,000.00

4,147,545.17

3,336.29

1,413.98

—

—

0.75

0.787

MN
             11,671.88
34,052.08

6,022,014

5162016
69371RL79
PACCAR INC CORP BND MTN
 
 
 
 
3,850,000

3,885,372.88

3,850,000.00

3,850,000

35,372.88

—

—

—

0.833

0.842

MJSD
             2,227.39
24,537.29

12,032,013

12062018
709599AJ3
PENSKE TRUCK LEASING CO SENIOR CORP BND
 
 
 
 
8,529,435

8,656,870.48

8,500,000.00

8,514,745.22

142,125.26

(7,443.55
)
—

—

2.5

2.377

MS
             9,444.45
159,375

2,212,013

3152016
709599AQ7
PENSKE TRUCK LEASING CO SENIOR CORP BND
 
 
1
 
1,354,620.6

1,340,680.86

1,355,000.00

1,354,640.78

(13,959.92
)
20.18

—

—

2.5

2.506

JD
               9,786.11
9,786.11

6,122,014

6152019
713448CE6
PEPSICO INC SENIOR CORP BND
 
 
 
 
1,799,370

1,800,581.76

1,800,000.00

1,799,669.9

911.86

175.22

—

—

0.7

0.713

FA
              1,225.00
9,450

2,252,013

2262016
713448CF3
PEPSICO INC SENIOR CORP BND
 
 
 
 
6,925,418.25

6,938,780.54

6,925,000.00

6,925,221.07

13,559.47

(117.19
)
—

—

0.445

0.494

FMAN
             3,080.94
23,236.82

6,272,013

2262016
717081DF7
PFIZER INC SENIOR CORP BND
 
 
 
 
8,000,000

8,009,359.12

8,000,000.00

8,000,000

9,359.12

—

—

—

0.534

0.575

MJSD
              1,899.02
32,457.13

5,282,013

6152018
717081DG5
PFIZER INC SENIOR CORP BND
 
 
 
 
1,973,854.5

1,955,206.91

1,975,000.00

1,974,151.47

(18,944.56
)
165.81

—

—

1.5

1.512

JD
             8,722.92
22,218.75

5,282,013

6152018
717081DL4
PFIZER INC SENIOR CORP BND
 
 
 
 
2,495,275

2,492,267.6

2,500,000.00

2,495,615.09

(3,347.49
)
340.09

—

—

2.1

2.14

MN
           19,833.34
19,833.34

5,122,014

5152019
717081DP5
PFIZER INC SENIOR CORP BND
 
 
 
 
3,600,000

3,595,247.86

3,600,000.00

3,600,000

(4,752.14
)
—

—

—

0.384

0.374

FMAN
              1,802.92
5,242.34

5,122,014

5152017
718172AX7
PHILIP MORRIS INTERNATIONAL IN SENIOR CO
 
 
 
 
3,645,000

3,645,328.16

3,645,000.00

3,645,000

328.16

—

—

—

0.285

0.337

FMAN
              1,038.46
7,911.94

2,262,013

2262015
718172BF5
PHILIP MORRIS INTERNATIONAL IN SENIOR CO
 
 
 
 
5,605,986.5

5,591,073.16

5,650,000.00

5,613,316.36

(22,243.2
)
10,136.37

—

—

1.875

2.034

JJ
          22,364.58
128,084.64

11,042,013

1152019
718546AE4
PHILLIPS 66 SENIOR CORP BND
 
 
 
 
124,958.79

125,709.99

125,000.00

124,991.74

718.25

329.37

—

—

1.95

0.894

MS
                  176.04
42,427.39

1,242,013

3052015
718546AJ3
PHILLIPS 66 CORP BND
 
 
 
 
1,674,798.35

1,738,994.06

1,675,000.00

1,674,902.85

64,091.21

26.74

—

—

2.95

1.542

MN
          20,588.54
37,059.37

1,242,013

5012017
74005PBE3
PRAXAIR INC SENIOR CORP BND
 
 
 
 
3,998,570.51

4,006,250

4,000,000.00

3,998,849.99

7,400.01

1,406.90

—

—

0.75

0.771

FA
             3,333.33
50,972.92

9,182,014

2212016
742718DV8
PROCTER & GAMBLE COMPANY CORP BND
 
 
 
 
1,026,420

1,012,112.88

1,000,000.00

1,014,470.72

(2,357.84
)
(8,850.63
)
—

—

1.45

0.671

FA
              1,852.78
16,932.78

3,052,013

8152016
742718ED7
PROCTER & GAMBLE COMPANY SENIOR CORP BND
 
 
 
 
2,999,730

2,986,563.72

3,000,000.00

2,999,811.05

(13,247.33
)
66.77

—

—

0.75

0.753

MN
              9,187.50
16,875

10,302,013

11042016
742741AA9
PROCTER & GAMBLE COMPANY CORP BND
 
 
2
 
780,957.22

755,971.62

606,960.00

767,478.28

(11,506.66
)
(22,918.98
)
—

—

9.36

4.463

JJ
           14,202.86
35,997.52

2,142,014

1012021
743263AL9
PROGRESS ENERGY INC CORP BND
 
 
 
 
550,055

530,354

500,000.00

529,766.69

587.31

(17,177.53
)
—

—

5.625

0.962

JJ
             5,937.50
21,093.75

11,062,013

1152016
74456QBE5
PUBLIC SERVICE ELECTRIC AND GA SECURED C
 
 
1
 
1,099,692

1,115,511.55

1,100,000.00

1,099,754.81

15,756.74

154.25

—

—

2.3

2.306

MS
               1,124.45
65,843.9

9,092,013

9152018
761713AV8
REYNOLDS AMERICAN INC SENIOR CORP BND
 
 
 
 
748,942.5

750,909.83

750,000.00

749,615.63

1,294.2

263.64

—

—

1.05

1.098

AO
              3,303.13
5,906.25

10,242,012

10302015
771196BA9
ROCHE HOLDINGS INC SENIOR CORP BND 144A
 
 
1
 
2,197,822

2,195,818.26

2,200,000.00

2,197,823.52

(2,005.26
)
1.52

—

—

2.25

2.271

MS
                 275.00
275

9,232,014

9302019
771196BB7
ROCHE HOLDINGS INC SENIOR CORP BND 144A
 
 
1
 
2,991,690

3,007,545.33

3,000,000.00

2,991,695.96

15,849.37

5.96

—

—

2.875

2.919

MS
                  479.17
479.17

9,222,014

9292021
771196BE1
ROCHE HOLDINGS INC SENIOR CORP BND 144A
 
 
1
 
2,194,434

2,216,711.49

2,200,000.00

2,194,435.32

22,276.17

1.32

—

—

3.35

3.38

MS
                 409.44
409.44

9,222,014

9302024




78355HJR1
RYDER SYSTEM INC. CORP BND MTN
 
 
 
 
1,871,662.5

1,966,212.69

1,875,000.00

1,873,440.29

92,772.4

412.40

—

—

3.5

3.533

JD
           21,875.00
49,218.75

5,172,011

6012017
78573AAB6
SABMILLER HOLDINGS INC SENIOR CORP BND 1
 
 
 
 
2,117,028

2,092,339.59

2,050,000.00

2,099,528.29

(7,188.7
)
(15,903.22
)
—

—

2.45

1.374

JJ
           10,603.05
37,668.75

12,092,013

1152017
78573AAG5
SABMILLER HOLDINGS INC SENIOR CORP BND 1
 
 
 
 
3,000,000

3,022,710.12

3,000,000.00

3,000,000

22,710.12

—

—

—

0.93

0.943

FMAN
             4,725.47
21,030.27

8,062,013

8012018
790849AH6
ST JUDE MEDICAL INC CORP BND
 
 
 
 
2,056,740

2,043,844

2,000,000.00

2,031,862.74

11,981.26

(18,333.63
)
—

—

2.5

1.249

JJ
           10,555.56
37,500

9,192,013

1152016
806605AJ0
MERCK & CO INC CORP BND
 
 
 
 
314,696.25

310,661.46

275,000.00

312,299.47

(1,638.01
)
(2,396.78
)
—

—

6

1.307

MS
                 733.33
3,208.33

7,162,014

9152017
828807CC9
SIMON PROPERTY GROUP LP CORP BND
 
 
1
 
1,819,877.5

1,755,022.68

1,750,000.00

1,755,394.63

(371.95
)
(57,934.71
)
—

—

4.2

0.536

FA
           12,250.00
66,651.67

9,242,013

2012015
828807CQ8
SIMON PROPERTY GROUP LP SENIOR CORP BND
 
 
1
 
6,855,948.9

6,868,882.61

6,869,000.00

6,857,686.21

11,196.4

1,737.31

—

—

2.2

2.24

FA
           25,186.33
104,943.06

1,132,014

2012019
842400GB3
SOUTHERN CAL EDISON SECURED CORP BND
 
 
 
 
4,405,808

4,385,178.82

4,400,000.00

4,405,048.6

(19,869.78
)
(781.64
)
—

—

1.125

1.08

MN
           19,525.00
27,587.5

5,062,014

5012017
842808AF4
SOUTHERN ELEC SENIOR CORP BND 144A
 
 
 
 
3,333,899.45

3,300,915.2

3,335,000.00

3,334,087.84

(33,172.64
)
168.15

—

—

2.2

2.207

JD
          24,456.67
55,027.5

11,182,013

12012018
857477AK9
STATE STREET BOSTON CORP SENIOR CORP BND
 
 
 
 
4,051,931.5

4,016,533.16

4,075,000.00

4,055,999.02

(39,465.86
)
3,685.93

—

—

1.35

1.482

MN
          20,782.50
41,011.87

1,062,014

5152018
863667AC5
STRYKER CORP CORP BND
 
 
 
 
517,415

510,494.65

500,000.00

512,186.56

(1,691.91
)
(9,762.34
)
—

—

2

0.768

MS
                    27.78
16,041.67

11,142,013

9302016
87165BAA1
SYNCHRONY FINANCIAL SENIOR CORP BND
 
 
1
 
1,998,260

2,003,629.16

2,000,000.00

1,998,337.3

5,291.86

77.30

—

—

1.875

1.905

FA
             5,208.33
5,208.33

8,062,014

8152017
87165BAC7
SYNCHRONY FINANCIAL SENIOR CORP BND
 
 
1
 
2,495,550

2,512,584.68

2,500,000.00

2,495,625.51

16,959.17

75.51

—

—

3.75

3.779

FA
           13,020.83
13,020.83

8,062,014

8152021
871829AR8
SYSCO CORP SENIOR CORP BND
 
 
 
 
2,998,860

3,007,220.07

3,000,000.00

2,998,860

8,360.07

—

—

—

1.45

1.463

AO
0
—

9,232,014

10022017
871829AS6
SYSCO CORP SENIOR CORP BND
 
 
1
 
2,995,920

3,002,752.98

3,000,000.00

2,995,920

6,832.98

—

—

—

2.35

2.379

AO
0
—

9,232,014

10022019
871829AT4
SYSCO CORP SENIOR CORP BND
 
 
1
 
3,991,240

4,016,193.24

4,000,000.00

3,991,240

24,953.24

—

—

—

3

3.035

AO
0
—

9,232,014

10022021
882508AV6
TEXAS INSTRUMENTS INCORPORATED SENIOR CO
 
 
 
 
1,981,400

1,954,910.75

2,000,000.00

1,986,503.88

(31,593.13
)
2,741.67

—

—

1

1.193

MN
             8,333.33
15,000

5,012,013

5012018
882508AX2
TEXAS INSTRUMENTS INCORPORATED SENIOR CO
 
 
 
 
2,320,396.5

2,310,289.59

2,325,000.00

2,321,234.73

(10,945.14
)
838.23

—

—

0.875

0.942

MS
              1,073.70
11,245.58

3,052,014

3122017
883556BA9
THERMO FISHER SCIENTIFIC INC CORP BND
 
 
 
 
648,869

662,269.08

650,000.00

649,561.16

12,707.92

170.66

—

—

2.25

2.287

FA
              1,868.75
10,968.75

8,092,011

8152016
883556BE1
THERMO FISHER SCIENTIFIC INC SENIOR CORP
 
 
 
 
3,850,570.1

3,830,162.95

3,835,000.00

3,850,525.73

(20,362.78
)
74.96

—

—

2.4

2.301

FA
           15,340.00
9,491.67

9,232,014

2012019
88579YAD3
3M CO CORP BND
 
 
 
 
5,032,167

5,135,980.74

5,075,000.00

5,057,516.61

78,464.13

6,397.07

—

—

1.375

1.551

MS
                 387.67
52,335.94

9,262,011

9292016
88732JAL2
TIME WARNER CABLE INC CORP BND
 
 
 
 
1,542,151

1,512,730.79

1,300,000.00

1,524,401.8

(11,671.01
)
(17,749.20
)
—

—

6.75

1.953

JJ
           21,937.50
27,056.25

6,052,014

7012018
88732JAX6
TIME WARNER CABLE INC CORP BND
 
 
1
 
4,156,840

4,247,990.72

4,000,000.00

4,143,927.54

104,063.18

(12,912.46
)
—

—

4.125

3.467

FA
           21,083.33
101,750

2,132,014

2152021
89233P5E2
TOYOTA MOTOR CREDIT CORP CORP BND MTN
 
 
 
 
2,595,875

2,553,833.78

2,500,000.00

2,555,007.6

(1,173.82
)
(18,146.55
)
—

—

2

0.863

MS
             2,222.22
87,472.22

4,052,013

9152016
89233P6D3
TOYOTA MOTOR CREDIT CORP SENIOR CORP BND
 
 
 
 
816,408

809,567.81

800,000.00

813,248.82

(3,681.01
)
(11,617.61
)
—

—

1.75

1.112

MN
              5,016.67
41,674.32

2,052,014

5222017
89236TAL9
TOYOTA MOTOR CREDIT CORP SENIOR CORP BND
 
 
 
 
4,997,950

5,005,101

5,000,000.00

4,998,881.65

6,219.35

509.02

—

—

0.8

0.814

MN
           14,888.90
30,000

5,142,013

5172016
89236TBB0
TOYOTA MOTOR CREDIT CORP SENIOR CORP BND
 
 
 
 
5,495,325

5,508,824.97

5,500,000.00

5,495,956.67

12,868.3

631.67

—

—

2.1

2.118

JJ
           23,741.67
81,491.67

1,142,014

1172019




89236TBD6
TOYOTA MOTOR CREDIT CORP CORP BND
 
 
1
 
5,991,000

5,960,639.23

6,000,000.00

5,992,147.84

(31,508.61
)
1,147.84

—

—

0.75

0.805

MJSD
             3,250.00
20,557.29

7,232,014

3052017
89236TBH7
TOYOTA MOTOR CREDIT CORP SENIOR CORP BND
 
 
 
 
1,499,205

1,493,709.99

1,500,000.00

1,499,302.97

(5,592.98
)
97.97

—

—

1.125

1.143

MN
              6,328.13
6,328.13

5,132,014

5162017
902494AW3
TYSON FOODS INC SENIOR CORP BND
 
 
1
 
1,998,680

2,001,727.14

2,000,000.00

1,998,714.47

3,012.67

34.47

—

—

2.65

2.664

FA
             7,802.78
7,802.78

8,052,014

8152019
90261XHC9
UBS AG (STAMFORD BRANCH) SENIOR CORP BND
 
 
 
 
8,871,342

8,837,115

8,900,000.00

8,872,566.56

(35,451.56
)
1,224.56

—

—

1.375

1.485

FA
           15,976.74
15,976.74

8,112,014

8142017
90331HMC4
US BANK NA/CINCINNATI OH SENIOR CORP BND
 
 
1
 
7,498,875

7,478,009.04

7,500,000.00

7,499,123.58

(21,114.54
)
248.58

—

—

1.1

1.105

JJ
            13,979.16
55,229.16

1,272,014

1302017
90331HMD2
US BANK NATIONAL ASSOCIATION SENIOR CORP
 
 
1
 
3,000,000

3,002,009.82

3,000,000.00

3,000,000

2,009.82

—

—

—

0.466

0.466

JAJO
             2,447.03
9,392.06

1,272,014

1302017
90331HMH3
US BANK NA/CINCINNATI OH SENIOR CORP BND
 
 
1
 
3,997,760

3,996,214.28

4,000,000.00

3,997,800.54

(1,586.26
)
40.54

—

—

1.375

1.394

MS
             3,055.56
3,055.56

9,082,014

9112017
90331HMJ9
US BANK NA/CINCINNATI OH SENIOR CORP BND
 
 
1
 
6,000,000

6,000,000

6,000,000.00

6,000,000

—

—

—

—

0.432

0.432

MJSD
               1,441.00
1,441

9,082,014

9112017
904764AL1
UNILEVER CAPITAL CORP SENIOR CORP BND
 
 
 
 
1,368,850

1,334,944

1,300,000.00

1,335,376.2

(432.2
)
(19,380.50
)
—

—

2.75

0.733

FA
             5,064.59
26,812.5

11,062,013

2102016
904764AP2
UNILEVER CAPITAL CORP SENIOR CORP BND
 
 
 
 
3,088,000

3,083,562.13

3,125,000.00

3,103,761.34

(20,199.21
)
18,947.98

—

—

0.85

1.094

FA
             4,353.30
52,737.19

7,302,012

8022017
904764AQ0
UNILEVER CAPITAL CORP SENIOR CORP BND
 
 
 
 
1,606,361.25

1,633,170.87

1,625,000.00

1,609,794.58

23,376.29

8,850.11

—

—

2.2

2.424

MS
             2,482.64
99,091.67

9,032,013

3062019
91159HHE3
US BANCORP SENIOR CORP BND MTN
 
 
1
 
4,993,800

4,982,160.95

5,000,000.00

4,994,876.11

(12,715.16
)
901.66

—

—

1.95

1.976

MN
          36,833.33
73,125

11,042,013

11152018
91159HHF0
US BANCORP SENIOR CORP BND MTN
 
 
1
 
1,350,000

1,360,449.03

1,350,000.00

1,350,000

10,449.03

—

—

—

0.724

0.728

FMAN
              1,275.35
7,388.65

11,042,013

11152018
913017BU2
UNITED TECH CORP SENIOR CORP BND
 
 
 
 
9,706,645.1

9,855,200.86

9,715,000.00

9,710,450.91

144,749.95

1,237.88

—

—

1.8

1.818

JD
          58,290.00
131,152.5

11,082,012

6012017
913017BX6
UNITED TECH CORP SENIOR CORP BND
 
 
 
 
8,033,289.74

8,001,124.57

7,976,000.00

7,990,494.71

10,629.86

(16,249.45
)
—

—

0.734

0.661

MJSD
              4,713.46
44,368.96

6,202,013

6012015
92343VAY0
VERIZON COMMUNICATIONS INC CORP BND
 
 
 
 
2,277,581

2,213,640.65

2,150,000.00

2,215,685.08

(2,044.43
)
(32,364.89
)
—

—

3

0.944

AO
          32,250.00
48,375

4,222,013

4012016
92343VBD5
VERIZON COMMUNICATIONS INC CORP BND
 
 
 
 
733,862.96

721,108.65

710,000.00

724,147.88

(3,039.23
)
(4,998.69
)
—

—

2

1.031

MN
              5,916.67
10,650

4,112,013

11012016
92343VBF0
VERIZON COMMUNICATIONS INC SENIOR CORP B
 
 
 
 
2,245,230

2,211,082.99

2,250,000.00

2,247,015.37

(35,932.38
)
707.38

—

—

1.1

1.144

MN
             10,312.51
18,562.5

11,022,012

11012017
92343VBL7
VERIZON COMMUNICATIONS INC SENIOR CORP B
 
 
 
 
2,125,000

2,178,592.57

2,125,000.00

2,125,000

53,592.57

—

—

—

1.764

1.782

MJSD
               1,666.10
28,547.02

9,112,013

9152016
92343VBQ6
VERIZON COMMUNICATIONS INC SENIOR CORP B
 
 
 
 
9,412,358.41

9,492,395.4

8,793,000.00

9,355,952.04

136,443.36

(67,409.24
)
—

—

4.5

3.307

MS
           17,586.00
318,888.75

6,022,014

9152020
92343VCG7
VERIZON COMMUNICATIONS INC SENIOR CORP B
 
 
 
 
9,255,200

9,078,790.28

9,200,000.00

9,254,150.16

(175,359.88
)
(1,049.84
)
—

—

2.625

2.712

FA
          26,833.33
26,833.33

8,212,014

2212020
92344GAW6
VERIZON COMMUNICATIONS INC CORP BND
 
 
 
 
5,970,030

5,723,008.5

5,500,000.00

5,586,775.28

136,233.22

(67,677.66
)
—

—

4.9

3.21

MS
            11,977.78
207,637.5

2,172,010

9152015
927804FM1
VIRGINIA ELECTRIC AND POWER CO SENIOR CO
 
 
1
 
4,008,660

3,934,946.6

4,000,000.00

4,005,903.27

(70,956.67
)
(626.97
)
—

—

1.2

1.153

JJ
            10,133.33
53,133.33

2,272,013

1152018
931142BY8
WAL-MART STORES INC CORP BND
 
 
 
 
4,448,840

4,125,720

4,000,000.00

4,121,353.34

4,366.66

(120,995.90
)
—

—

4.5

0.443

JJ
          45,000.00
135,000

9,132,012

7012015
931142CR2
WAL-MART STORES INC CORP BND
 
 
 
 
993,090

1,012,710

1,000,000.00

999,261.4

13,448.6

1,082.04

—

—

2.875

3.025

AO
           14,375.00
21,562.5

3,242,010

4012015
931142CX9
WAL-MART STORES INC CORP BND
 
 
 
 
1,665,938.25

1,693,930.85

1,675,000.00

1,673,007.73

20,923.12

1,377.42

—

—

1.5

1.613

AO
           10,887.50
18,843.75

10,182,010

10252015
931142DE0
WAL-MART STORES INC SENIOR CORP BND
 
 
 
 
4,351,907.95

4,349,267.17

4,355,000.00

4,353,418.65

(4,151.48
)
768.26

—

—

0.6

0.624

AO
            12,339.17
19,597.5

4,042,013

4112016




931142DF7
WAL-MART STORES INC SENIOR CORP BND
 
 
 
 
6,993,560

6,867,352.94

7,000,000.00

6,995,418.89

(128,065.95
)
946.91

—

—

1.125

1.144

AO
           37,187.50
59,062.5

4,042,013

4112018
949746RG8
WELLS FARGO & COMPANY CAPSEC CORP BND
 
 
1
 
6,210,000

6,082,500

6,000,000.00

6,208,550.16

(126,050.16
)
(1,449.84
)
—

—

5.9

5.432

JD
        156,350.00
42,283.33

8,132,014

12312049
94974BEU0
WELLS FARGO & COMPANY CORP BND
 
 
 
 
3,395,750

3,459,262

3,400,000.00

3,399,514.44

59,747.56

(103.46
)
—

—

3.625

3.651

AO
           56,831.95
94,385.94

1,052,012

4152015
94974BFE5
WELLS FARGO & COMPANY SENIOR CORP BND
 
 
 
 
10,278,879

10,310,787.75

10,225,000.00

10,242,982.1

67,805.65

(25,261.64
)
—

—

1.5

1.263

JJ
          38,343.75
131,944

2,132,013

7012015
94974BFG0
WELLS FARGO & COMPANY SENIOR CORP BND
 
 
 
 
498,860

495,532.15

500,000.00

499,057.84

(3,525.69
)
197.84

—

—

1.5

1.559

JJ
              1,562.50
5,333.33

1,102,014

1162018
94974BFJ4
WELLS FARGO & COMPANY SRSUB CORP BND MTN
 
 
 
 
1,972,740

1,958,783.56

2,000,000.00

1,972,740

(13,956.44
)
—

—

—

3.45

3.64

FA
              9,391.67
—

9,292,014

2132023
94974BFK1
WELLS FARGO & COMPANY SENIOR CORP BND
 
 
 
 
5,000,000

5,049,350.35

5,000,000.00

5,000,000

49,350.35

—

—

—

0.863

0.906

JAJO
              8,391.25
32,694.8

4,162,013

4232018
94974BFM7
WELLS FARGO & COMPANY SENIOR CORP BND
 
 
 
 
4,000,000

4,022,999.88

4,000,000.00

4,000,000

22,999.88

—

—

—

0.764

0.795

JAJO
              6,108.80
24,849.96

7,222,013

7202016
94974BFU9
WELLS FARGO & COMPANY SENIOR CORP BND
 
 
 
 
3,093,428

3,067,287.19

3,100,000.00

3,093,981.94

(26,694.75
)
553.94

—

—

2.125

2.17

AO
          29,094.79
29,094.79

4,142,014

4222019
94974BFY1
WELLS FARGO & COMPANY SUB CORP BND MTN
 
 
 
 
5,085,850

4,977,421.95

5,000,000.00

5,084,511.48

(107,089.53
)
(1,338.52
)
—

—

4.1

3.918

JD
           67,194.45
50,680.56

6,272,014

6032026
94974BGB0
WELLS FARGO & COMPANY SENIOR CORP BND
 
 
 
 
1,498,515

1,497,511.14

1,500,000.00

1,498,544.55

(1,033.41
)
77.91

—

—

1.4

1.434

MS
              1,283.34
3,383.34

9,022,014

9082017
976656CF3
WISCONSIN ELECTRIC POWER COMPA SENIOR CO
 
 
1
 
2,500,000

2,489,233.6

2,500,000.00

2,500,000

(10,766.4
)
—

—

—

1.7

1.7

JD
            12,513.89
31,875

6,102,013

6152018
982526AR6
WM WRIGLEY JR CO SENIOR CORP BND 144A
 
 
 
 
1,005,540

1,004,315.87

1,000,000.00

1,003,844.15

471.72

(1,374.09
)
—

—

1.4

1.21

AO
             6,222.22
10,500

10,242,013

10212016
982526AT2
WM WRIGLEY JR CO SENIOR CORP BND 144A
 
 
 
 
279,097.5

277,624.64

275,000.00

278,633.36

(1,008.72
)
(464.14
)
—

—

2

1.555

AO
             2,459.72
2,200

5,022,014

10202017
982526AU9
WM WRIGLEY JR CO SENIOR CORP BND 144A
 
 
1
 
3,347,450.5

3,348,847.97

3,325,000.00

3,347,167.13

1,680.84

414.58

—

—

2.4

2.223

AO
          35,466.67
62,703.33

9,262,014

10212018
983919AG6
XILINX, INC. SENIOR CORP BND
 
 
 
 
1,989,540

1,986,889.34

2,000,000.00

1,990,639.87

(3,750.53
)
1,099.87

—

—

2.125

2.236

MS
              1,888.89
23,493.05

3,052,014

3152019
984121CF8
XEROX CORPORATION SENIOR CORP BND
 
 
 
 
1,298,375

1,345,660.47

1,300,000.00

1,299,171.96

46,488.51

239.66

—

—

2.95

2.977

MS
              1,704.44
28,762.5

3,082,012

3152017
BRS0Z5DU0
GOLDMAN SACHS GROUP INC CORP BND MTN
 
O
 
 
3,077,296.56

2,929,434.4

1,730,000.00

3,014,938.83

(85,504.43
)
(62,357.73
)
—

(85,911.39
)
5.25

1.499

DEC
         120,417.28
90,105.34

2,212,014

12152015
BRS8R3U20
HUNTSMAN INTL LLC TERM LOAN
 
 
 
 
343,047.58

343,047.58

346,950.78

345,613.43

(2,565.85
)
570.68

—

—

—

0.218

FMAN
0
5,686.16

5,132,011

6302016
BRS9PGQM2
ARAMARK CORPORATION LOAN TERM
 
 
2
 
216,407.28

215,163.99

215,973.89

216,139.62

(975.63
)
(68.19
)
—

—

—

0.596

JAJO
0
7,924.01

11,012,011

7262016
BRSBWG6S8
DELTA AIR LINES INC TERM LOAN
 
 
2
 
4,284,833.84

4,302,267.32

4,347,547.02

4,319,081.35

(16,814.03
)
8,485.55

—

—

—

0.254

JAJO
0
127,115.33

2,292,012

4202017
BRSBYALT0
EMERGENCY MED(ENVISION HEALTH) TERM LOA
 
 
2
 
5,586,687.81

5,569,843.4

5,614,761.50

5,598,544.56

(28,701.16
)
3,453.72

—

—

—

0.078

FMAN
0
171,191.86

6,252,012

5252018
BRSCC0RV3
DUCOMMUN INC TERM LOAN
 
 
 
 
252,476.05

255,026.33

255,026.33

253,853.83

1,172.5

623.92

—

—

—

0.166

MJSD
0
10,050.8

6,172,011

6272017
BRSCDUPD8
TEAM HLTH INC. TERM LOAN
 
 
 
 
3,754,383.76

3,754,383.76

3,773,250.01

3,763,092.64

(8,708.88
)
2,119.66

—

—

—

0.071

MJSD
0
107,854.3

6,282,011

6292018
BRSCE52V7
ALERE INC SENIOR SECURED TERM LOAN
 
 
 
 
6,187,174.09

6,188,520.58

6,226,940.80

6,202,284.61

(13,764.03
)
4,927.25

—

—

—

0.142

MJSD
0
168,190.48

7,012,014

6302017
BRSDYT4C1
CEQUEL COMMUNICATIONS LLC TERM LOAN
 
 
2
 
3,514,166.3

3,506,400.42

3,561,026.57

3,529,936.83

(23,536.41
)
9,152.10

—

—

—

0.155

MJSD
0
182,312.69

10,312,012

2142019
BRSE9C0N4
PROTECTION ONE, INC. SENIOR SECURED TERM
 
 
2
 
1,490,283.29

1,498,021.14

1,503,350.52

1,494,873.24

3,147.9

1,529.87

—

—

—

0.125

MJSD
0
49,310.13

12,132,013

3212019




BRSEHTXV4
FREEDOM GROUP INC SENIOR SEC TERM NOTES
 
 
1
 
1,797,770.95

1,804,349.56

1,804,349.56

1,799,102.97

5,246.59

1,969.10

—

—

—

0.063

MJSD
0
140,143

12,122,013

4192019
BRSEKNUF1
INEOS US FINANCE LLC SENIOR SEC TERM NOT
 
 
2
 
3,039,284.89

2,996,728

3,053,772.47

3,042,696.52

(45,968.52
)
2,403.67

—

—

—

0.1

JAJO
0
88,389.31

9,122,013

5042018
BRSEM91J4
SYNIVERSE HLDGS SENIOR SEC TERM NOTES
 
 
 
 
2,812,674.91

2,795,813.07

2,841,085.77

2,822,481.04

(26,667.97
)
3,038.87

—

—

—

0.142

JAJO
0
88,705.01

4,202,012

4232019
BRSEQLBQ6
TRICORBRAUN INC SENIOR SECURED TERM LOAN
 
 
 
 
2,422,493.34

2,422,493.34

2,434,666.67

2,427,340.83

(4,847.49
)
1,523.90

—

—

—

0.083

MJSD
0
75,744.27

4,302,012

5032018
BRSF9BJL7
KLOECKNER HOLDINGS GP S.A. TERM LOAN
 
E
 
 
308,908.25

315,869.72

315,212.50

312,019.03

3,850.69

1,800.89

—

—

—

0.452

MJSD
0
14,068.17

7,162,012

12212016
BRSFHP193
MCC IOWA LLC TERM LOAN
 
 
 
 
2,866,500

2,873,850

2,940,000.00

2,886,848.41

(12,998.41
)
7,877.05

—

—

—

0.339

FMAN
0
77,515.75

8,152,012

1202020
BRSFWQSC8
TRANSTAR HOLDING COMPANY SENIOR SECURED
 
 
2
 
1,067,626.22

1,076,393.7

1,078,410.33

1,071,121.53

5,272.17

1,491.01

—

—

—

0.166

MJSD
0
49,585.74

10,022,012

10092018
BRSFZ6AM6
GENERAL NUTRITION CENTERS INC SENIOR SEC
 
 
2
 
6,448,061.72

6,310,557.01

6,472,332.97

6,451,696.62

(141,139.61
)
4,158.51

—

—

—

0.071

JAJO
0
197,716.37

12,202,013

3042019
BRSG4MWQ0
BSN MEDICAL SENIOR SECURED TERM NOTE
 
E
2
 
2,067,501.74

2,074,002.94

2,077,638.81

2,070,350.08

3,652.86

1,198.53

—

—

—

(0.059
)
JAJO
0
63,454.01

10,292,012

8282019
BRSG9SY49
ARDENT MEDICAL SENIOR SECURED TERM LOAN
 
 
2
 
1,636,962.45

1,662,451.11

1,653,497.42

1,642,181.28

20,269.83

4,189.00

—

—

—

0.181

FMAN
0
97,688.02

11,192,012

7022018
BRSGCCH31
NSG HOLDINGS SENIOR SECURED TERM LOAN
 
 
2
 
1,640,837.44

1,635,625.7

1,652,147.18

1,643,686.44

(8,060.74
)
1,406.81

—

—

—

0.097

MJSD
0
46,192.39

10,072,013

12112019
BRSGGZLV9
MGM RESORTS INTERNATIONAL SENIOR SECURED
 
 
2
 
1,041,130.67

1,029,688.71

1,046,362.50

1,042,431.02

(12,742.31
)
596.20

—

—

—

0.071

MJSD
0
27,913.01

12,132,012

12202019
BRSGV88K1
MEDASSETS INC SENIOR SECURED TERM LOAN
 
 
2
 
217,602.35

217,966.47

218,695.82

217,880.99

85.48

180.39

—

—

—

0.071

MJSD
0
6,810.59

12,112,012

12132019
BRSGZA7E7
TRANSFIRST HOLDINGS INC SENIOR SECURED T
 
 
 
 
2,293,695.55

2,303,113.6

2,316,864.19

2,300,166.17

2,947.43

3,299.44

—

—

—

0.22

MJSD
0
66,100.28

8,062,014

12272017
BRSH4GA51
AMERIFORGE GROUP INC SENIOR SECURED TERM
 
 
2
 
1,009,876.68

1,014,676.77

1,014,676.77

1,010,912.78

3,763.99

564.33

—

—

—

0.07

JAJO
0
35,643.92

6,062,014

12192019
BRSH5BNL2
MICHAELS STORES INC SENIOR SECURED TERM
 
 
2
 
4,487,988.01

4,408,505.74

4,487,988.01

4,487,988.01

(79,482.27
)
—

—

—

—

—

JAJO
0
164,758.18

1,242,013

1282020
BRSH8YLF4
SESAC HOLDCO II LLC SENIOR SECURED TERM
 
 
 
 
651,987.03

656,227.84

657,460.58

653,247.83

2,980.01

716.03

—

—

—

0.145

FMAN
0
22,918.46

4,082,014

2082019
BRSH9LJ56
CROSSMARK HOLDINGS INC SENIOR SECURED TE
 
 
2
 
2,609,740.66

2,574,850.04

2,614,060.95

2,607,698.56

(32,848.52
)
996.19

—

—

—

(0.622
)
MJSD
0
89,657.14

9,042,013

12202019
BRSHB4QM6
GREENEDEN US HOLDINGS II LLC SENIOR SECU
 
 
 
 
2,294,369.92

2,284,155.14

2,322,617.69

2,297,660.67

(13,505.53
)
3,637.87

—

—

—

—

MJSD
0
70,809.05

—

1252020
BRSHBDMR9
FREESCALE SEMICONDUCTOR INC SENIOR SECUR
 
 
2
 
3,179,324.7

3,180,311.33

3,225,811.40

3,187,128.27

(6,816.94
)
6,148.02

—

—

—

(0.427
)
FMAN
0
148,697.23

9,042,013

2282020
BRSHBHS86
BERRY PLASTICS CORP SENIOR SECURED TERM
 
 
2
 
10,068,214.9

9,840,965.66

10,083,214.90

10,070,671.96

(229,706.3
)
1,742.58

—

—

—

0.023

JAJO
0
279,932.1

9,112,013

2082020
BRSHC6N35
BAKERCORP INTERNATIONAL INC SENIOR SECUR
 
 
2
 
1,162,366.38

1,134,033.7

1,162,366.38

1,162,366.38

(28,332.68
)
—

—

—

—

—

MJSD
0
37,650.82

2,062,013

2072020
BRSHCGRY1
SABRE INC SENIOR SECURED TERM NOTES
 
 
2
 
5,255,745.75

5,224,950.79

5,282,156.55

5,262,762.02

(37,811.23
)
3,471.17

—

—

—

0.083

FMAN
0
176,693.79

2,152,013

2192019
BRSHD5L53
PETCO ANIMAL SUPPLIES, INC. SENIOR SECUR
 
 
2
 
1,814,904.03

1,844,268.27

1,857,540.40

1,826,252.49

18,015.78

7,470.70

—

—

—

0.529

MJSD
0
90,924.77

8,012,013

11242017
BRSHFDW29
ALLIANCE LAUNDRY SYST LLC SENIOR SECURED
 
 
2
 
701,266.93

698,076.81

704,238.90

701,773.18

(3,696.37
)
499.60

—

—

—

0.082

MJSD
0
23,575.04

11,202,013

12102018
BRSHH3U39
IASIS HELTHCARE CORP SENIOR SECURED TERM
 
 
2
 
5,106,329.08

5,198,642.54

5,207,860.45

5,137,202.92

61,439.62

15,629.53

—

—

—

0.375

FMAN
0
241,546.93

2,282,013

5032018
BRSM1V101
UNIVISION COMMUN INC. SENIOR SECURED TER
 
 
2
 
1,937,978.44

1,936,561.48

1,970,112.50

1,940,676.26

(4,114.78
)
2,739.90

—

—

—

—

FMAN
0
33,603.29

—

3012020




BRSHJ8GU2
SUNGARD DATA SYST INC. SENIOR SECURED TE
 
 
2
 
4,052,452.86

4,022,998.94

4,062,609.38

4,054,665.43

(31,666.49
)
3,524.30

—

—

—

0.036

JAJO
0
202,392.45

3,072,013

3062020
BRSHKZ9A2
VEYANCE TECHNOLOGIES INC SENIOR SECURED
 
 
 
 
4,544,680.56

4,611,005.22

4,613,888.90

4,568,333.38

42,671.84

15,750.73

—

—

—

0.331

MJSD
0
201,831.88

3,062,013

9152017
BRSHM2RV7
NOVELIS INC/GA SENIOR SECURED TERM NOTES
 
G
2
 
1,405,132.78

1,404,643.79

1,418,832.10

1,409,832.72

(5,188.93
)
8,022.49

—

—

—

0.257

FMAN
0
84,082.22

6,192,013

3102017
BRSHTM755
MONEYGRAM INTL INC SENIOR SEC TERM NOTES
 
 
1
 
2,601,392.85

2,587,565.5

2,629,466.04

2,602,540.08

(14,974.58
)
1,147.23

—

—

—

0.184

MJSD
0
50,073.81

7,152,014

3272020
BRSHU3AD4
DONCASTERS FINANCE US LLC SENIOR SECURED
 
 
2
 
749,963.7

752,448.38

756,225.73

750,406.17

2,042.21

762.50

—

—

—

0.138

MJSD
0
29,198.33

4,302,014

4092020
BRSHX96A9
VERTAFORE INC SENIOR SECURED TERM NOTES
 
 
 
 
2,846,719.35

2,837,152.18

2,852,599.00

2,848,070.09

(10,917.91
)
675.48

—

—

—

0.031

MJSD
0
92,176.32

4,032,013

10032019
BRSHXEJA4
AFFINIA GROUP SENIOR SECURED TERM LOAN
 
 
2
 
812,749.56

811,657.75

814,202.13

812,999.68

(1,341.93
)
977.92

—

—

—

0.026

MJSD
0
34,747.46

6,052,013

4252020
BRSHYLWT1
HDTFS INC SENIOR SECURED TERM NOTES
 
 
2
 
5,812,622.78

5,711,367.61

5,875,892.61

5,828,081.29

(116,713.68
)
13,247.16

—

—

—

0.184

MJSD
0
157,057.15

8,012,013

3112018
BRSJ078E5
CSC HLDGS LLC SENIOR SECURED TERM LOAN
 
 
2
 
8,128,578.22

7,950,611.03

8,167,540.92

8,136,591.99

(185,980.96
)
29,945.01

—

—

—

0.067

MJSD
0
234,621.48

5,012,013

4172020
BRSJ0MJU4
PINACLE FOOD FIN SENIOR SECURED TERM LOA
 
 
2
 
7,973,197.64

7,854,374.94

8,004,458.54

7,977,821.05

(123,446.11
)
6,890.11

—

—

—

—

MJSD
0
298,736.35

—

4292020
BRSJ0UC66
RANPAK CORP SENIOR SECURED TERM NOTES
 
 
 
 
1,361,175.11

1,371,223.18

1,368,015.18

1,362,780.72

8,442.46

918.24

—

—

—

0.083

MJSD
0
46,918.99

4,102,013

4232019
BRSJ0VL80
SEMINOLE TRIBE OF FLORIDA SENIOR SECURED
 
 
 
 
2,984,825

2,969,438.23

2,984,825.00

2,984,825

(15,386.77
)
—

—

—

—

—

MJSD
0
70,550.53

4,122,013

4292020
BRSJ1HUF4
AMC ENTERTAINMENT INC. SENIOR SECURED TE
 
 
2
 
3,782,769.36

3,753,531.13

3,792,250.00

3,784,662.1

(31,130.97
)
1,080.78

—

—

—

0.035

MJSD
0
101,161.68

4,232,013

4302020
BRSJ28TC2
CEDAR BAY GENERATING CO LP SENIOR SECURE
 
 
1
 
2,339,877.01

2,373,852.51

2,363,512.14

2,344,572.05

29,280.46

5,178.38

—

—

—

0.143

MJSD
0
122,194.18

4,152,013

4232020
BRSJ315T5
CHARTER COMMUNICATION OPER LLC SENIOR SE
 
 
2
 
7,132,005.42

6,975,865.46

7,176,705.57

7,135,068.57

(159,203.11
)
2,271.90

—

—

—

0.091

JAJO
0
123,919.56

7,102,014

1032021
BRSJ3EEC4
CALPINE CONSTRUCTION FINANCE C SENIOR SE
 
 
2
 
3,122,549.05

3,034,898.56

3,130,375.00

3,124,026.96

(89,128.4
)
902.35

—

—

—

0.036

JAJO
0
71,575.3

5,022,013

5032020
BRSJ5FFE4
TPF GENERATION HOLDINGS LLC SENIOR SECUR
 
 
1
 
492,525

481,592.93

495,000.00

493,247.75

(11,654.82
)
413.69

—

—

—

0.108

JAJO
0
17,890.01

5,062,013

12312017
BRSJ6L8K4
NATIONAL CNEMDIA SENIOR SECURED TERM NOT
 
 
2
 
1,366,621.35

1,324,152.5

1,375,000.00

1,367,972.8

(43,820.3
)
1,098.82

—

—

—

0.098

FMAN
0
32,437.09

10,182,013

11262019
BRSJ7A0J8
CALPINE CONSTRUCTION FINANCE C SENIOR SE
 
 
 
 
6,629,106.56

6,514,262.4

6,682,699.85

6,635,085.74

(120,823.34
)
4,431.18

—

—

—

0.096

MJSD
0
154,552.86

2,252,014

1312022
BRSJ883L4
WMG ACQUISITION CORP SENIOR SECURED TERM
 
 
2
 
2,995,362.66

2,897,084.81

2,995,362.66

2,995,362.66

(98,277.85
)
—

—

—

—

—

FMAN
0
85,609.24

9,062,013

7012020
BRSJ9AL38
ALPHA NATURAL RESOURCES INC SENIOR SECUR
 
 
2
 
2,430,586

2,190,373.26

2,442,800.00

2,432,947.53

(242,574.27
)
1,387.64

—

—

—

0.071

MJSD
0
69,457.38

5,202,013

5222020
BRSJ9AUR5
SEAWORLD PARKS & ENTERTAINMENT SENIOR SE
 
 
2
 
3,041,627.47

2,893,096.21

3,058,095.77

3,043,814.28

(150,718.07
)
2,049.15

—

—

—

0.082

MJSD
0
90,568.73

1,022,014

5142020
BRSJARVG9
WCA WASTE SENIOR SECURED TERM LOAN
 
 
 
 
1,026,337.82

1,021,542.17

1,022,390.75

1,020,667.34

874.83

425.03

—

—

—

(1.376
)
MJSD
0
31,322.12

5,302,013

3232018
BRSJD2Z02
MEDIACOM BROADBAND LLC TL E SENIOR SECUR
 
 
2
 
3,686,967.9

3,602,481.03

3,686,967.90

3,686,967.9

(84,486.87
)
—

—

—

—

—

FMAN
0
82,982.17

5,232,013

1292021
BRSJH5B15
STAR WEST GENERATION LLC SENIOR SECURED
 
 
2
 
2,764,239.44

2,759,396.85

2,776,751.55

2,765,889.57

(6,492.72
)
1,755.77

—

—

—

0.071

MJSD
0
(860.56
)
12,022,013

3132020
BRSK5UM00
LEVEL 3 FINANCING INC SENIOR SECURED TER
 
 
2
 
962,682.64

954,237.5

970,000.00

963,267.82

(9,030.32
)
585.18

—

—

—

0.142

MJSD
0
9,673.42

4,302,014

8012019
BRSLAS6T2
CHG HEALTHCARE SERVICES INC SENIOR SECUR
 
 
2
 
3,183,219.87

3,196,120.78

3,209,149.93

3,185,494.21

10,626.57

2,408.22

—

—

—

0.142

MJSD
0
41.08

4,032,014

11192019




BRSLMULK6
CUMULUS MED INC. SENIOR SECURED TERM NOT
 
 
2
 
5,370,328.93

5,334,239.59

5,417,781.79

5,370,349.87

(36,110.28
)
5,689.04

—

—

—

0.141

MS
0
120,189.22

9,302,014

12232020
BRSM2E0G4
KINETIC CONCEPTS INC / KCI USA SENIOR SE
 
 
 
 
246,264.07

243,597.03

246,264.07

246,264.07

(2,667.04
)
—

—

—

—

—

MJSD
0
2,208.24

4,302,014

11042016
BRSM2T5A9
SNL FINANCIAL LC SENIOR SECURED TERM NOT
 
 
 
 
3,811,002.87

3,832,297.39

3,832,297.39

3,814,095.52

18,201.87

4,167.08

—

—

—

0.115

MJSD
0
44,737.9

1,212,014

10232018
G4123EAC0
GRIFOLS WORLDWIDE OPERATIONS U SECURED T
 
 
1
 
4,737,819.8

4,708,675.03

4,785,676.57

4,740,653.15

(31,978.12
)
3,073.83

—

—

—

0.145

MJSD
0
48,803.38

3,072,014

2272021
L0001UAC3
AI CHEM & CY US ACQUICO INC SENIOR SECUR
 
E
2
 
346,907.06

347,562.52

348,650.31

347,302.69

259.83

297.91

—

—

—

0.076

MJSD
0
12,265.08

3,122,013

10032019
P8588FAE2
REGENT SEVEN SEAS CRUISES INC SENIOR SEC
 
 
 
 
2,246,531.24

2,235,298.58

2,246,531.24

2,246,531.24

(11,232.66
)
—

—

—

—

—

JAJO
0
29,835.85

2,062,014

12212018
U2339CAR9
DAIMLER FINANCE NORTH AMERICA CORP BND
 
 
 
 
5,230,800

5,143,456.6

5,000,000.00

5,132,843.98

10,612.62

(49,803.85
)
—

—

2.625

1.246

MS
             5,833.34
98,437.5

4,082,013

9152016
U6176MAW3
MORGAN STANLEY CORP BND MTN
 
O
 
 
2,604,209.71

2,482,718.47

1,470,000.00

2,552,021.92

(69,303.45
)
(52,187.79
)
—

(68,627.86
)
5.125

1.445

NOV
        104,876.97
74,961.24

2,202,014

11302015
U64107AF9
NESTLE HLDGS, INC. CORP BND EMTN
 
 
 
 
1,013,000

1,004,349.98

1,000,000.00

1,008,506.6

(4,156.62
)
(2,296.52
)
—

—

1.375

1.053

JUN
              3,819.44
10,312.5

4,092,013

6212017
U9291NAP0
VW CREDIT INC SENIOR CORP BND EMTN
 
 
 
 
4,590,450

4,574,295.05

4,500,000.00

4,552,895.41

21,399.64

(19,097.70
)
—

—

1.875

1.281

OCT
           81,562.50
63,281.25

4,032,013

10132016
BRSNFTGX1
ROYAL BANK OF CANADA SENIOR CORP BND EMT
 
T
 
 
2,166,480.85

2,108,442.17

1,300,000.00

2,166,818.16

(58,375.99
)
337.31

—

(64,138.12
)
0.962

0.981

MJSD
               1,516.24
6,613.97

5,282,014

6042019
BRSK6KJF2
QUEBECOR MEDIA INC. SENIOR SECURED TERM
 
A
 
 
2,956,400

2,897,621.1

2,970,000.00

2,958,483.82

(60,862.72
)
1,568.28

—

—

—

0.065

MJSD
0
73,569.83

9,162,013

8172020
BRSPWL9Y0
BURGER KING NEWCO SENIOR SECURED TERM NO
 
A
1
 
1,351,228.39

1,357,370.34

1,364,877.16

1,351,228.39

6,141.95

—

—

—

—

0.147

MJSD
0
—

9,252,014

9242021
06366QW86
BANK OF MONTREAL CORP BND MTN
 
A
 
 
2,993,850

3,088,861.32

3,000,000.00

2,997,103.5

91,757.82

919.13

—

—

2.5

2.544

JJ
           16,666.67
56,250

1,062,012

1112017
06415CAA7
BANK OF NOVA SCOTIA TORONTO BR CORP BND
 
A
 
 
1,140,524

1,126,916.99

1,100,000.00

1,118,115.28

8,801.71

(7,270.11
)
—

—

2.15

1.242

FA
              3,810.28
17,737.5

5,242,012

8032016
06415CAD1
BANK OF NOVA SCOTIA TORONTO BR SECURED C
 
A
 
 
4,200,824.8

4,212,897.5

4,200,000.00

4,200,140.38

12,757.12

(221.75
)
—

—

1.05

1.043

MS
               1,347.51
33,075

4,122,012

3202015
06415CAE9
BANK OF NOVA SCOTIA TORONTO BR SECURED L
 
A
 
 
6,272,140

6,303,601.38

6,200,000.00

6,270,489.08

33,112.3

(2,487.85
)
—

—

1.75

1.281

MS
              2,712.50
35,875

8,202,014

3222017
12800UAL4
CAISSE CENTRALE DESJARDINS SECURED LOCAL
 
A
 
 
2,699,352

2,731,374.08

2,700,000.00

2,699,678.51

31,695.57

96.14

—

—

1.6

1.605

MS
             3,000.00
32,400

2,282,012

3062017
136069EH0
CANADIAN IMPERIAL BANK OF COMM CORP BND
 
A
 
 
2,234,372.73

2,204,586.38

2,200,000.00

2,202,579.61

2,006.77

(9,786.76
)
—

—

1.5

0.901

JD
              9,991.67
24,750

4,162,012

12122014
136069ET4
CANADIAN IMPERIAL BANK OF COMM SENIOR CO
 
A
 
 
3,024,092.5

3,035,944.15

3,025,000.00

3,024,694.75

11,249.4

(794.68
)
—

—

0.9

0.91

AO
            13,612.50
22,968.75

9,242,012

10012015
136069FV8
CANADIAN IMPERIAL BANK OF COMM SENIOR CO
 
A
 
 
2,575,000

2,590,192.21

2,575,000.00

2,575,000

15,192.21

—

—

—

0.754

0.786

JAJO
             4,042.75
14,826.14

7,152,013

7182016
136375BU5
CANADIAN NTL RAIL CO CORP BND
 
A
1
 
3,721,350

3,782,438.29

3,750,000.00

3,737,298.25

45,140.04

(13,542.99
)
—

—

1.45

1.607

JD
             16,010.41
88,212.37

11,072,011

12152016
63307AAA3
NATIONAL BK OF CANADA SENIOR CORP BND MT
 
A
1
 
3,166,513

3,144,458.26

3,170,000.00

3,167,807.84

(23,349.58
)
1,672.86

—

—

1.45

1.473

MN
           18,386.00
112,310.55

11,022,012

11072017
73755LAG2
POTASH CORP OF SASKATCHEWAN IN CORP BND
 
A
 
 
1,776,592.85

1,705,297.11

1,655,000.00

1,702,560.34

2,736.77

(35,297.42
)
—

—

3.75

0.85

MS
                  172.40
46,546.88

3,012,013

9302015
78008SE28
ROYAL BANK OF CANADA SENIOR CORP BND MTN
 
A
 
 
8,000,000

8,024,000.24

8,000,000.00

8,000,000

24,000.24

—

—

—

0.603

0.622

MJSD
              3,082.51
42,856.79

6,022,014

3082016
78008SVD5
ROYAL BANK OF CANADA SENIOR CORP BND MTN
 
A
 
 
4,094,875

4,071,163.43

4,100,000.00

4,096,588.31

(25,424.88
)
754.39

—

—

1.5

1.526

JJ
            12,812.50
46,125

1,072,013

1162018
78008TLB8
ROYAL BANK OF CANADA CORP BND MTN
 
A
 
 
517,250

511,972.51

500,000.00

512,307.5

(334.99
)
(4,942.50
)
—

—

2.3

0.919

JJ
             2,268.06
8,401.39

1,032,014

7202016




78010UNY9
ROYAL BANK OF CANADA SENIOR CORP BND
 
A
 
 
3,000,000

3,009,629.76

3,000,000.00

3,000,000

9,629.76

—

—

—

0.563

0.567

JAJO
             3,284.75
22,888.87

1,152,014

1232017
78011DAE4
ROYAL BANK OF CANADA SECURED LOCAL BND
 
A
 
 
1,199,400

1,206,264.04

1,200,000.00

1,199,635.81

6,628.23

148.32

—

—

1.125

1.142

JJ
             2,587.50
9,975

7,162,013

7222016
891145TN4
TORONTO-DOMINION BANK/THE SECURED LOCAL
 
A
 
 
5,138,450

5,145,033.57

5,100,000.00

5,139,166.03

5,867.54

(1,198.18
)
—

—

1.5

1.18

MS
             3,825.00
24,270.83

8,132,014

3132017
89114QAG3
TORONTO-DOMINION BANK/THE SENIOR CORP BN
 
A
 
 
2,938,030.2

2,891,296.84

2,940,000.00

2,938,575.98

(47,279.14
)
288.48

—

—

1.4

1.414

AO
           17,264.33
30,870

4,232,013

4302018
89153UAD3
TOTAL CAPITAL CANADA LTD SENIOR CORP BND
 
A
 
 
2,502,892

2,510,949.9

2,500,000.00

2,502,071.71

8,878.19

(820.29
)
—

—

0.614

0.606

JAJO
             3,323.66
10,890.34

3,252,014

1152016
893526DL4
TRANS-CANADA PIPELINES SENIOR CORP BND
 
A
 
 
2,914,148.25

2,929,153.5

2,925,000.00

2,923,462.13

5,691.37

2,716.58

—

—

0.875

1.001

MS
              2,061.72
19,195.32

2,282,012

3022015
98417EAU4
XSTRATA FINANCE CANADA LTD SENIOR CORP B
 
A
 
 
4,128,053.2

4,204,843.42

4,135,000.00

4,130,630

74,213.42

1,011.22

—

—

2.7

2.486

AO
          48,379.50
83,733.75

10,182,012

10252017
BRSE99EZ9
TELESAT CANADA / TELESAT LLC SENIOR SEC
 
A
2
 
4,841,161.95

4,778,481.64

4,853,295.19

4,844,132.38

(65,650.74
)
2,102.37

—

—

—

0.042

MJSD
0
170,365.64

3,272,013

3282019
C0456KAB7
ATLANTIC POWER LP SENIOR SECURED TERM NO
 
A
1
 
1,518,490.77

1,523,283.99

1,533,829.06

1,519,638.22

3,645.77

2,456.01

—

—

—

0.143

MJSD
0
40,249.45

2,202,014

2242021
C4438BAC0
HUSKY INJECTION MOLDING SYS LT SENIOR SE
 
A
2
 
382,268.97

379,268.45

384,189.92

382,320.44

(3,051.99
)
58.80

—

—

—

0.071

MJSD
0
3,796.58

6,262,014

6302021
BRSN8X546
DAIMLER AG UNSEC CORP BND
 
D
 
 
1,918,704.14

1,852,051.35

1,140,000.00

1,918,819.47

(66,768.12
)
115.33

—

(71,613.9
)
1.625

1.642

DEC
            11,367.35
11,367.35

5,092,014

12022016
BRSLUXX69
LLOYDS TSB BANK PLC CORP BND EMTN
 
D
 
 
1,735,721.32

1,721,532.38

1,060,000.00

1,736,325.68

(14,793.3
)
604.36

—

(19,852.5
)
0.804

0.819

JAJO
              3,153.76
9,877.54

1,072,014

1142017
BRSLX0WL6
ABBEY NATIONAL TREASURY SERVIC SECURED L
 
D
 
 
1,815,821.6

1,803,979.64

1,110,000.00

1,816,438.83

(12,459.19
)
617.23

—

(19,014.79
)
0.856

0.87

JAJO
              3,197.00
10,765.89

1,132,014

1202017
BRSL40CC0
FORTIUS RE LTD CORP BND 144A
 
F
 
 
5,000,000

5,000,902.78

5,000,000.00

5,000,000

902.78

—

—

—

6.5

4.75

MJSD
                 902.78
194,862.56

10,152,013

6302017
BRSPKZWC4
HOPLON II INSURANCE LTD CORP BND
 
D
 
 
9,054,787.5

8,514,440.41

6,750,000.00

9,054,787.5

(540,347.09
)
—

—

(527,850
)
6.525

6.525

JAJO
          65,650.72
65,650.72

8,082,014

1082018
BRSMNJ591
UNILEVER PLC SENIOR CORP BND EMTN
 
D
 
 
795,526.11

781,169.44

480,000.00

795,779.38

(14,609.94
)
253.27

—

(19,909.44
)
2

2.063

DEC
             8,265.47
8,265.47

3,192,014

12192018
BRSJKR5A0
ALLFLEX HOLDINGS SENIOR SECURED TERM LOA
 
R
 
 
1,379,709.29

1,375,313.94

1,386,000.00

1,380,208.98

(4,895.04
)
531.47

—

—

—

0.071

MJSD
0
29,788.83

4,012,014

7172020
BRSK6KJE5
MINIMAX GMBH & CO KG SENIOR SECURED TERM
 
F
 
 
2,203,397.2

2,219,086.72

2,214,469.55

2,204,993.21

14,093.51

1,488.78

—

—

—

0.072

MJSD
0
76,219.55

10,042,013

8142020
BRSM9G9V0
SEADRILL OPERATING LP SENIOR SECURED TER
 
F
1
 
829,682.68

803,886.71

842,317.44

829,976.31

(26,089.6
)
325.46

—

—

—

0.228

MJSD
0
5,192.29

6,182,014

2212021
00084DAH3
ABN AMRO BANK NV SENIOR CORP BND 144A
 
F
 
 
5,000,000

5,045,100

5,000,000.00

5,000,000

45,100

—

—

—

1.035

1.038

JAJO
             9,344.65
39,139.95

10,232,013

10282016
00182EAT6
ANZ NATIONAL INTERNATIONAL LTD SENIOR CO
 
F
 
 
5,000,000

5,004,787.75

5,000,000.00

5,000,000

4,787.75

—

—

—

0.755

0.715

JAJO
              6,712.00
22,114

2,202,014

4272017
00448MAA9
ACHMEA HYPOTHEEKBANK N.V. - LT CORP BND
 
F
 
 
176,911.5

177,391.73

177,000.00

176,998.3

393.43

14.10

—

—

3.2

3.211

MN
             2,328.53
4,248

10,262,009

11032014
00507UAC5
ACTAVIS FUNDING SCS SENIOR CORP BND 144A
 
F
 
 
13,201,197.3

12,886,358.14

13,215,000.00

13,201,928.97

(315,570.83
)
931.05

—

—

2.45

2.472

JD
            91,734.12
100,819.54

6,112,014

6152019
05252EAB9
AUST & NZ BANK GROUP LOCAL BND 144A
 
F
 
 
3,093,738

3,117,019.12

3,100,000.00

3,097,911.6

19,107.52

2,523.66

—

—

1

1.067

AO
           15,069.44
38,558.33

9,042,012

10062015
05253JAB7
AUSTRALIA & NEW ZEALAND BANKIN SENIOR CO
 
F
 
 
5,893,569

5,915,439.71

5,900,000.00

5,897,053.89

18,385.82

2,402.05

—

—

0.9

0.937

FA
             7,227.50
59,625

2,062,013

2122016
05253JAC5
AUSTRALIA & NEW ZEALAND BANKIN SENIOR CO
 
F
 
 
774,550.5

762,296.15

775,000.00

774,671.14

(12,374.99
)
65.77

—

—

1.45

1.462

MN
             4,245.28
8,428.13

5,092,013

5152018
05541VAD8
BG ENERGY CAPITAL PLC CORP BND 144A
 
F
 
 
4,292,819

4,444,032.54

4,300,000.00

4,296,955.14

147,077.4

1,071.66

—

—

2.875

2.911

AO
          57,004.86
92,718.75

10,062,011

10152016




05565QBN7
BP CAPITAL MARKETS PLC CORP BND
 
F
 
 
2,991,480

3,074,901

3,000,000.00

2,998,186.58

76,714.42

1,316.42

—

—

3.125

3.187

AO
          46,875.00
70,312.5

9,282,010

10012015
05565QBT4
BP CAPITAL MARKETS PLC CORP BND
 
F
 
 
4,773,490

4,860,329.72

4,750,000.00

4,760,103.71

100,226.01

(3,517.13
)
—

—

2.248

2.143

MN
           44,491.67
80,085

11,012,011

11012016
05565QBX5
BP CAPITAL MARKETS PLC CORP BND
 
F
 
 
1,499,910

1,503,615

1,500,000.00

1,499,994.54

3,620.46

24.70

—

—

1.7

1.702

JD
              8,216.67
20,617.22

12,012,011

12052014
05565QBY3
BP CAPITAL MARKETS PLC SENIOR CORP BND
 
F
 
 
5,700,000

5,764,837.33

5,700,000.00

5,700,000

64,837.33

—

—

—

1.846

1.846

MN
          42,673.37
78,916.5

5,022,012

5052017
05565QCF3
BP CAPITAL MARKETS PLC SENIOR CORP BND
 
F
 
 
2,500,000

2,507,204.6

2,500,000.00

2,500,000

7,204.6

—

—

—

0.743

0.785

FMAN
              2,631.82
19,704.11

5,072,013

5102018
05565QCR7
BP CAPITAL MARKETS PLC SENIOR CORP BND
 
F
 
 
3,075,000

3,053,161.9

3,075,000.00

3,075,000

(21,838.1
)
—

—

—

2.237

2.237

MN
           26,941.87
111,248.81

2,052,014

5102019
06739FGF2
BARCLAYS BANK PLC CORP BND
 
F
 
 
5,638,250

5,371,075.45

5,000,000.00

5,356,642.52

14,432.93

(132,214.86
)
—

—

5

1.329

MS
             6,250.00
187,500

2,212,013

9222016
06739FHT1
BARCLAYS BANK PLC SENIOR CORP BND
 
F
 
 
4,454,777.25

4,465,912.49

4,455,000.00

4,454,803.16

11,109.33

37.90

—

—

2.5

2.501

FA
           12,684.38
100,084.38

2,122,014

2202019
06739GBP3
BARCLAYS BANK PLC CORP BND
 
F
 
 
6,019,695

5,915,474.24

5,500,000.00

6,011,563.88

(96,089.64
)
(8,131.12
)
—

—

5.14

3.421

AO
           131,141.39
30,625.83

8,192,014

10142020
111013AM0
BRITISH SKY BROADCASTING GRP P SENIOR CO
 
F
 
 
2,461,327.15

2,470,064.59

2,465,000.00

2,461,355.82

8,708.77

44.17

—

—

2.625

2.657

MS
              2,696.10
4,154.43

9,092,014

9162019
20271RAG5
COMMONWEALTH BANK AUSTRALIA SENIOR CORP
 
F
 
 
2,497,875

2,492,992.03

2,500,000.00

2,497,919.25

(4,927.22
)
44.25

—

—

1.4

1.429

MS
               2,236.11
2,236.11

9,032,014

9082017
20271RAH3
COMMONWEALTH BANK AUSTRALIA SENIOR CORP
 
F
 
 
2,994,240

2,981,897.97

3,000,000.00

2,994,309.24

(12,411.27
)
135.47

—

—

2.3

2.341

MS
             4,408.33
8,625

9,032,014

9062019
22532LAL8
CREDIT AGRICOLE SA/LONDON SENIOR CORP BN
 
F
 
 
3,994,960

3,991,379.68

4,000,000.00

3,995,399.58

(4,019.9
)
439.58

—

—

2.5

2.527

AO
               46,111.11
46,111.11

4,092,014

4152019
225436AA2
CREDIT SUISSE GROUP CCN CORP BND 144A
 
F
1
 
4,143,306

4,144,770

4,284,000.00

4,143,627.13

1,142.87

321.13

—

—

6.25

6.487

JD
          76,606.26
38,489.6

8,062,014

12312049
25152RVR1
DEUTSCHE BK LDN SENIOR CORP BND
 
F
 
 
6,999,370

6,987,337.49

7,000,000.00

6,999,500.82

(12,163.33
)
218.90

—

—

1.4

1.403

FA
           13,066.67
104,300

2,062,014

2132017
25152RWY5
DEUTSCHE BK LDN SENIOR CORP BND
 
F
 
 
3,998,600

3,970,083.32

4,000,000.00

3,998,733.76

(28,650.44
)
143.47

—

—

1.35

1.36

MN
            18,150.00
19,275

5,222,014

5302017
25243YAR0
DIAGEO CAPITAL PLC SENIOR CORP BND
 
F
 
 
9,444,640

9,446,179.57

9,400,000.00

9,426,462.35

19,717.22

(7,464.07
)
—

—

1.5

1.389

MN
          54,833.33
105,750

9,252,012

5112017
25243YAS8
DIAGEO CAPITAL PLC SENIOR CORP BND
 
F
 
 
3,995,304.03

3,986,748.36

4,000,000.00

3,996,117.88

(9,369.52
)
2,879.11

—

—

0.625

0.687

AO
           10,555.56
29,531.26

6,022,014

4292016
25243YAT6
DIAGEO CAPITAL PLC SENIOR CORP BND
 
F
 
 
2,485,750

2,439,183.63

2,500,000.00

2,489,718.04

(50,534.41
)
2,092.17

—

—

1.125

1.243

AO
            11,875.00
21,093.75

4,242,013

4292018
25600WAA8
DNB BOLIGKREDITT AS CORP BND 144A
 
F
 
 
7,245,487.51

7,320,672.24

7,200,000.00

7,212,234.94

108,437.3

(11,238.03
)
—

—

2.1

1.933

AO
           70,139.99
136,780

11,142,012

10142015
25600WAB6
DNB BOLIGKREDITT AS CORP BND 144A
 
F
 
 
8,395,963

8,470,353.76

8,200,000.00

8,279,279.57

191,074.19

(38,738.67
)
—

—

2.9

2.237

MS
                 1,321.11
178,350

6,122,012

3292016
300141AC2
EVERGLADES RE LTD CORP BND 144A
 
F
 
 
19,020,000

19,713,640

19,000,000.00

19,019,189.07

694,450.93

(810.93
)
—

—

7.51

7.524

MJSD
         114,946.85
527,707.05

7,252,014

4282017
377373AC9
GLAXOSMITHKLINE CAPITAL PLC SENIOR CORP
 
F
 
 
6,277,383

6,337,306.27

6,300,000.00

6,287,997.67

49,308.6

3,357.05

—

—

1.5

1.575

MN
          37,537.49
70,875

5,022,012

5082017
404280AP4
HSBC HOLDINGS PLC SUB CORP BND
 
F
 
 
10,881,445

10,598,671.44

10,500,000.00

10,876,168.49

(277,497.05
)
(5,276.51
)
—

—

4.25

3.795

MS
            21,072.91
77,857.63

8,192,014

3142024
404280AR0
HSBC HOLDINGS PLC CAPSEC CORP BND
 
F
1
 
8,765,000

8,691,374

8,765,000.00

8,765,000

(73,626
)
—

—

—

5.625

5.625

JJ
            19,173.43
19,173.43

9,102,014

12312049
423012AB9
HEINEKEN N.V. SENIOR CORP BND 144A
 
F
 
 
5,987,624.98

5,979,717.36

6,025,000.00

5,996,913.96

(17,196.6
)
6,778.49

—

—

1.4

1.559

AO
           42,175.00
63,262.5

11,052,013

10012017
423012AC7
HEINEKEN N.V. SENIOR CORP BND 144A
 
F
 
 
2,299,083.33

2,301,446.71

2,300,000.00

2,299,756.95

1,689.76

184.42

—

—

0.8

0.811

AO
             9,200.00
13,749.44

1,092,014

10012015




44328MAL8
HSBC BANK PLC CORP BND 144A
 
F
 
 
3,123,450

3,104,310.15

3,000,000.00

3,070,618.95

33,691.2

(46,469.74
)
—

—

3.1

1.645

MN
          32,808.33
102,945.83

6,242,013

5242016
44328MBT0
HSBC BANK PLC SENIOR CORP BND 144A
 
F
 
 
5,739,247.5

5,647,917.26

5,750,000.00

5,742,129.25

(94,211.99
)
7,805.48

—

—

1.5

1.539

MN
          32,583.33
76,562.49

5,082,013

5152018
44328MBU7
HSBC BANK PLC SENIOR CORP BND 144A
 
F
 
 
1,611,987.2

1,613,792

1,600,000.00

1,610,542.05

3,249.95

(1,445.15
)
—

—

0.874

0.694

FMAN
              1,824.85
7,108.74

3,282,014

5152018
44920UAC2
HYUNDAI CAP SVC CORP BND 144A
 
F
 
 
2,982,210

3,154,683.3

3,000,000.00

2,993,627.34

161,055.96

2,482.52

—

—

4.375

4.498

JJ
          23,333.33
98,437.5

1,202,011

7272016
449786AR3
ING BANK NV CORP BND 144A
 
F
 
 
3,714,234.75

3,771,018.65

3,725,000.00

3,721,396.78

49,621.87

2,682.07

—

—

2

2.1

MS
               1,241.67
55,875

9,182,012

9252015
449786AW2
ING BANK NV SENIOR CORP BND 144A
 
F
 
 
1,120,000

1,130,919.98

1,120,000.00

1,120,000

10,919.98

—

—

—

1.183

1.231

MJSD
                 846.57
51,772.75

2,282,013

3072016
449786AX0
ING BANK NV SENIOR CORP BND 144A
 
F
 
 
748,440

753,171.56

750,000.00

749,246.17

3,925.39

386.00

—

—

1.375

1.446

MS
                 687.50
7,734.37

2,282,013

3072016
45687AAL6
INGERSOLL-RAND GLOBAL HOLDING SENIOR COR
 
R
 
 
2,989,816.8

3,011,238.98

2,964,000.00

2,988,289.42

22,949.56

(1,686.75
)
—

—

2.875

2.425

JJ
           17,989.84
32,201.6

6,162,014

1152019
4581X0BV9
INTER AMERICAN DEV BK CORP BND
 
F
 
 
4,019,960

4,019,800.12

4,000,000.00

4,016,752.92

3,047.2

(7,667.78
)
—

—

1.125

0.952

MS
             2,000.00
51,406.25

4,042,014

3152017
502441AA6
LVMH MOET HENNESSY LOUIS VUITT SENIOR CO
 
F
 
 
3,041,246.5

3,059,547.78

3,050,000.00

3,045,107.65

14,440.13

1,297.54

—

—

1.625

1.685

JD
           12,665.98
37,171.9

6,262,012

6292017
52206AAB6
LEASEPLAN CORPORATION NV CORP BND 144A
 
F
 
 
4,981,330.69

4,926,405.7

5,000,000.00

4,982,840.11

(56,434.41
)
3,377.60

—

—

2.5

2.6

MN
          46,875.00
93,750

6,022,014

5162018
55608PAA2
MACQUARIE BANK LTD CORP BND 144A
 
F
 
 
5,996,040

6,460,872.36

6,000,000.00

5,997,984.5

462,887.86

584.64

—

—

5

5.015

FA
          32,500.00
225,000

2,142,012

2222017
6325C0CU3
NATIONAL AUSTRALIA BNK LIMITED SENIOR CO
 
F
 
 
1,999,700

1,995,275.58

2,000,000.00

1,999,753.05

(4,477.47
)
53.05

—

—

1.25

1.255

MS
                 972.22
13,472.22

3,112,014

3172017
654624AE5
NTT CORP SENIOR CORP BND
 
F
 
 
4,459,748.5

4,436,875.31

4,450,000.00

4,455,556.16

(18,680.85
)
(1,459.52
)
—

—

1.4

1.354

JJ
           12,633.05
46,725

7,232,012

7182017
65557CAK9
NORDEA BANK AB SENIOR CORP BND 144A
 
F
 
 
3,000,000

3,005,219.88

3,000,000.00

3,000,000

5,219.88

—

—

—

0.592

0.59

JAJO
             4,243.38
11,607.3

3,312,014

4042017
65557CAM5
NORDEA BANK AB JR SUB CORP BND 144A
 
F
1
 
14,980,000

14,738,822

14,980,000.00

14,980,000

(241,178
)
—

—

—

5.5

5.5

MS
           18,308.88
18,308.88

9,162,014

12312049
65557DAK7
NORDEA BANK AB SENIOR CORP BND
 
F
 
 
5,974,200

6,016,585.44

6,000,000.00

5,976,600.01

39,985.43

2,400.01

—

—

2.375

2.467

AO
          70,062.50
70,062.5

3,312,014

4042019
65557HAE2
NORDEA BANK AB SENIOR CORP BND
 
F
 
 
4,989,850

5,000,949.8

5,000,000.00

4,994,484.39

6,465.41

2,522.97

—

—

0.875

0.944

MN
           16,770.83
32,812.5

5,072,013

5132016
69353UAB7
PPL WEM HOLDINGS PLC CORP BND 144A
 
F
 
 
3,397,355

3,379,013.4

3,250,000.00

3,308,492.45

70,520.95

(26,727.33
)
—

—

3.9

2.731

MN
           52,812.50
95,062.5

3,092,012

5012016
714294AA3
PERRIGO CO LTD SENIOR CORP BND 144A
 
F
 
 
699,279

698,454.5

700,000.00

699,491.73

(1,037.23
)
177.48

—

—

1.3

1.335

MN
              3,614.72
6,825

11,052,013

11082016
74977EPY3
RABOBANK NEDERLAND NV SENIOR CORP BND
 
F
 
 
9,530,721

9,573,768.09

9,525,000.00

9,528,160.8

45,607.29

(3,971.14
)
—

—

0.714

0.736

MJSD
             2,457.23
74,516.59

7,172,013

3182016
74977RCE2
RABOBANK NEDERLAND NV CORP BND 144A
 
F
 
 
899,379

911,009.32

900,000.00

899,940.7

11,068.62

141.67

—

—

3.2

3.215

MS
              1,600.00
31,431.12

3,042,010

3112015
767201AJ5
RIO TINTO FINANCE (USA) LTD CORP BND
 
F
 
 
1,298,947

1,313,145.6

1,300,000.00

1,299,762.65

13,382.95

160.39

—

—

1.875

1.892

MN
           10,088.54
18,281.25

10,282,010

11022015
767201AM8
RIO TINTO FINANCE (USA) LTD CORP BND
 
F
 
 
4,651,892.5

4,739,806.01

4,625,000.00

4,641,749.19

98,056.82

(7,611.34
)
—

—

2.5

2.271

MN
          42,074.65
86,718.75

2,212,013

5202016
76720AAB2
RIO TINTO FINANCE (USA) PLC SENIOR CORP
 
F
1
 
4,019,848

4,092,308.95

4,025,000.00

4,022,384.81

69,924.14

762.33

—

—

2

2.027

MS
              2,012.50
60,375

3,192,012

3222017
76720AAJ5
RIO TINTO FINANCE (USA) PLC CORP BND
 
F
 
 
2,125,000

2,144,996.29

2,125,000.00

2,125,000

19,996.29

—

—

—

1.075

1.113

MJSD
                 888.04
17,337.31

6,142,013

6172016
78572MAD7
SABMILLER PLC CORP BND 144A
 
F
 
 
6,725,979

6,210,350.76

5,700,000.00

6,140,299.32

70,051.44

(184,693.29
)
—

—

6.5

1.981

JJ
          92,625.00
277,875

10,042,012

7012016




78572MAF2
SABMILLER PLC CORP BND 144A
 
F
 
 
3,491,297.4

3,419,792.81

2,980,000.00

3,467,399.01

(47,606.2
)
(23,898.39
)
—

—

6.5

1.995

JJ
          40,892.22
37,122.22

7,212,014

7152018
801060AB0
SANOFI SA SENIOR CORP BND
 
F
 
 
12,813,500.7

12,655,075.12

12,870,000.00

12,829,782.61

(174,707.49
)
8,888.43

—

—

1.25

1.341

AO
           76,415.63
129,482.29

4,032,013

4102018
806854AA3
SCHLUMBERGER GER INV CORP BND 144A
 
F
 
 
1,503,915

1,529,925.61

1,500,000.00

1,502,601.98

27,323.63

(984.10
)
—

—

1.95

1.858

MS
               1,381.25
21,937.49

3,222,013

9142016
80685PAC2
SCHLUMBERGER NORGE AS CORP BND 144A
 
F
 
 
1,622,156.25

1,657,419.42

1,625,000.00

1,623,855.77

33,563.65

425.30

—

—

1.95

1.987

MS
              1,496.35
23,765.62

9,072,011

9142016
80685PAD0
SCHLUMBERGER NORGE AS SENIOR CORP BND 14
 
F
 
 
1,368,739.6

1,363,629.34

1,370,000.00

1,369,276.34

(5,647
)
187.25

—

—

1.25

1.269

FA
              2,854.17
12,843.75

7,242,012

8012017
822582AQ5
SHELL INTERNATIONAL FINANCE BV CORP BND
 
F
 
 
6,148,980

6,122,520

6,000,000.00

6,033,310.38

89,209.62

(33,502.91
)
—

—

3.1

2.338

JD
          48,050.00
139,500

2,142,012

6282015
822582AZ5
SHELL INTERNATIONAL FINANCE BV SENIOR CO
 
F
 
 
499,380

499,928.29

500,000.00

499,559.64

368.65

153.12

—

—

0.9

0.942

MN
              1,700.00
3,375

11,122,013

11152016
822582BC5
SHELL INTERNATIONAL FINANCE BV SENIOR CO
 
F
 
 
274,000

274,811.03

274,000.00

274,000

811.03

—

—

—

0.444

0.451

FMAN
                  158.69
929.11

11,122,013

11152016
830505AP8
SKANDINAVISKA ENSKILDA BANKEN SENIOR COR
 
F
 
 
4,971,250

4,963,225.95

5,000,000.00

4,979,783.6

(16,557.65
)
4,179.17

—

—

1.75

1.871

MS
              2,916.67
65,625

3,132,013

3192018
83367TBH1
SOCIETE GENERALE CAPSEC CORP BND 144A
 
F
1
 
3,870,000

3,670,000

4,000,000.00

3,870,138.31

(200,138.31
)
138.31

—

—

6

6.228

JJ
          42,666.67
19,333.34

8,272,014

12312049
84650WAB2
SPAREBNK 1 BOLIG SECURED LOCAL BND 144A
 
F
 
 
7,999,374.1

8,033,766.15

7,800,000.00

7,896,227.49

137,538.66

(43,049.46
)
—

—

2.625

1.86

MN
          70,525.00
153,562.5

12,062,012

5272016
84650WAD8
SPAREBNK 1 BOLIG LOCAL BND 144A
 
F
 
 
5,486,580

5,636,179.89

5,500,000.00

5,492,717.52

143,462.37

1,907.97

—

—

2.3

2.35

JD
           31,976.38
94,875

3,292,012

6302017
84650WAE6
SPAREBNK 1 BOLIG SECURED LOCAL BND 144A
 
F
 
 
5,854,157

5,757,809.76

5,900,000.00

5,865,863.39

(108,053.63
)
4,717.86

—

—

1.75

1.869

MN
          39,005.56
77,437.5

11,072,012

11152019
86960BAE2
SVENSKA HANDELSBANKEN AB SENIOR CORP BND
 
F
 
 
3,497,095

3,538,564.3

3,500,000.00

3,497,571

40,993.3

(47.49
)
—

—

2.5

2.517

JJ
            16,041.67
92,395.84

9,192,013

1252019
87020PAD9
SWEDBANK AB SENIOR CORP BND 144A
 
F
 
 
3,494,085

3,503,539.48

3,500,000.00

3,494,752.95

8,786.53

937.05

—

—

2.375

2.411

FA
             7,850.69
69,303.82

2,202,014

2272019
872882AC9
TSMC GLOBAL LTD SENIOR CORP BND 144A
 
F
 
 
5,711,170.95

5,610,644.32

5,715,000.00

5,712,282.93

(101,638.61
)
559.02

—

—

1.625

1.639

AO
           45,918.44
69,651.57

3,272,013

4032018
874060AB2
TAKEDA PHARMACEUTICAL CO LTD UNSECURED C
 
F
 
 
6,819,922.5

6,782,056.76

6,750,000.00

6,790,542.79

(8,486.03
)
(12,024.65
)
—

—

1.625

1.376

MS
             4,265.63
105,467.02

3,192,013

3172017
87609FAA6
TAR HEEL RE LTD UNSEC CORP BND 144A
 
F
 
 
7,000,000

7,403,550

7,000,000.00

7,000,000

403,550

—

—

—

1

8.592

MJSD
              1,750.00
437,953.18

4,022,013

5092016
88166CAA6
TEVA PHARMACEUTICAL FINANCE II CORP BND
 
F
 
 
3,995,040

4,070,411.24

4,000,000.00

3,999,253.51

71,157.73

777.03

—

—

3

3.027

JD
          35,333.33
90,000

6,152,010

6152015
89152UAG7
TOTAL CAPITAL S.A. SENIOR CORP BND
 
F
 
 
5,998,320

6,052,067.88

6,000,000.00

5,998,683.86

53,384.02

242.79

—

—

2.125

2.131

FA
           18,062.50
95,625

8,052,013

8102018
89153VAA7
TOTAL CAPITAL INTERNATIONAL SA CORP BND
 
F
 
 
3,310,503

3,350,811.68

3,325,000.00

3,317,963.8

32,847.88

2,165.29

—

—

1.5

1.591

FA
             6,095.84
37,406.25

2,142,012

2172017
89153VAC3
TOTAL CAPITAL INTERNATIONAL SA CORP BND
 
F
 
 
5,739,247.5

5,785,793.18

5,750,000.00

5,744,002.51

41,790.67

1,594.78

—

—

1.55

1.589

JD
          23,023.96
66,843.75

6,212,012

6282017
89153VAD1
TOTAL CAPITAL INTERNATIONAL SA SENIOR CO
 
F
 
 
2,173,434

2,177,651.76

2,175,000.00

2,174,376.02

3,275.74

353.11

—

—

0.75

0.772

JJ
             2,990.63
12,234.38

9,182,012

1252016
89153VAF6
TOTAL CAPITAL INTERNATIONAL SA SENIOR CO
 
F
 
 
199,452

200,491.26

200,000.00

199,657.44

833.82

135.90

—

—

1

1.093

FA
                 272.22
1,500

8,052,013

8122016
89153VAJ8
TOTAL CAPITAL INTERNATIONAL SA SENIOR CO
 
F
 
 
399,120

398,763.76

400,000.00

399,327.21

(563.45
)
207.21

—

—

1

1.075

JJ
                 900.00
2,844.44

1,082,014

1102017
893830BB4
TRANSOCEAN INC CORP BND
 
F
 
 
5,515,252

5,345,798.6

5,052,000.00

5,501,450.25

(155,651.65
)
(28,031.56
)
—

—

6.375

4.894

JD
          93,935.62
170,419.51

9,172,014

12152021
902133AQ0
TYCO ELECTRONICS GROUP SA SENIOR CORP BN
 
F
1
 
1,634,149.8

1,629,009.08

1,635,000.00

1,634,176.84

(5,167.76
)
27.04

—

—

2.35

2.361

FA
              6,510.49
6,510.49

7,282,014

8012019




90349CAB0
UBS AG, LONDON BRANCH SENIOR CORP BND 14
 
F
 
 
1,994,860

2,002,720.18

2,000,000.00

1,997,442.33

5,277.85

1,276.10

—

—

0.75

0.837

MS
                  291.67
11,250

3,212,013

3242016
922764AA3
VENTERRA RE LTD CORP BND 144A
 
F
 
 
7,500,000

7,705,575

7,500,000.00

7,500,000

205,575

—

—

—

3.75

3.767

MJSD
                  781.25
214,050.9

12,202,013

1092017
92857WAY6
VODAFONE GROUP PLC SENIOR CORP BND
 
F
 
 
3,855,050.97

3,810,110.51

3,867,000.00

3,859,769.78

(49,659.27
)
1,761.34

—

—

1.25

1.314

MS
                  671.35
36,253.12

9,192,012

9262017
92857WBB5
VODAFONE GROUP PLC SENIOR CORP BND
 
F
 
 
5,000,000

5,014,450.05

5,000,000.00

5,000,000

14,450.05

—

—

—

0.617

0.675

FMAN
             3,685.46
42,110.11

2,112,013

2192016
928670AW8
VOLKSWAGEN INTERNATIONAL FINAN SENIOR CO
 
F
 
 
10,345,833.09

10,345,243.97

10,350,000.00

10,346,747.43

(1,503.46
)
1,150.20

—

—

1.125

1.14

MN
            43,017.19
89,078.13

6,022,014

11182016
961214BX0
WESTPAC BANKING CORP SENIOR CORP BND
 
F
 
 
4,000,000

4,027,840.28

4,000,000.00

4,000,000

27,840.28

—

—

—

0.994

1.129

MJSD
                 662.73
30,234.61

9,182,012

9252015
961214BY8
WESTPAC BANKING CORP SENIOR CORP BND
 
F
 
 
4,539,773.25

4,560,219.39

4,545,000.00

4,542,747.34

17,472.05

1,307.59

—

—

0.95

0.989

JJ
             9,475.07
32,383.13

1,072,013

1122016
961214BZ5
WESTPAC BANKING CORP SENIOR CORP BND MTN
 
F
 
 
1,999,420

1,990,430.3

2,000,000.00

1,999,613.5

(9,183.2
)
85.62

—

—

1.6

1.606

JJ
             7,022.22
24,000

1,072,013

1122018
961214CH4
WESTPAC BANKING CORP SENIOR CORP BND
 
F
 
 
1,618,299

1,612,151.52

1,620,000.00

1,618,500.9

(6,349.38
)
201.90

—

—

1.2

1.236

MN
             7,020.00
7,020

5,142,014

5192017
96122WAB6
WESTPAC BANKING CORP SECURED LOCAL BND 1
 
F
 
 
3,817,922.64

3,778,797.31

3,752,000.00

3,775,721.77

3,075.54

(26,284.05
)
—

—

1.375

0.575

JJ
            10,604.61
45,540.49

4,262,013

7172015
9612EMAK5
WESTPAC BANKING CORP - GTD CORP BND 144A
 
F
 
 
309,540

301,420.24

300,000.00

301,277.17

143.07

(5,062.85
)
—

—

2.7

0.437

JD
             2,520.00
6,075

7,082,013

12092014
BRSESZBW0
VOLKSWAGEN FIN SERV N.V. CORP BND EMTN
 
D
 
 
1,553,957.45

1,553,019.72

950,000.00

1,540,258.61

12,761.11

(8,362.43
)
—

11,916.27

2

1.253

AO
           14,022.90
23,449.89

11,272,013

10232015
BRSGE3X31
DAIMLER AG CORP BND
 
D
 
 
1,527,067.45

1,542,263.11

950,000.00

1,527,281.78

14,981.33

(441.96
)
—

13,529.29

1.375

1.331

DEC
             17,343.11
16,049.72

11,252,013

12102015
BRSHAG9G2
SILVER II BORROWER SCA SENOIR SECURED TE
 
R
1
 
3,365,547.95

3,314,004.58

3,365,547.95

3,365,547.95

(51,543.37
)
—

—

—

—

—

FMAN
0
104,649.91

8,212,013

12132019
BRSHG9BV6
FIRTH RIXSON LTD SENIOR SECURED TERM NOT
 
F
 
 
491,250

491,250

491,250.00

491,250

—

—

—

—

—

—

MJSD
0
15,912.85

2,122,013

6302017
BRSHY9H24
LINDE AG SENIOR CORP BND EMTN
 
F
 
 
2,990,820

2,990,310.06

3,000,000.00

2,993,421.41

(3,111.35
)
1,343.60

—

—

1.5

1.558

APR
          20,375.00
33,750

4,102,013

4182018
BRSL7M1V9
FORTESCUE METALS SENIOR SECURED TERM NOT
 
F
1
 
7,572,706.65

7,482,788.55

7,631,176.78

7,581,789.9

(99,001.35
)
8,281.80

—

—

—

0.135

MJSD
0
179,005.76

11,152,013

6302019
G08820EL5
BAT INTL FIN PLC SENIOR CORP BND EMTN
 
F
 
 
2,841,307.5

2,860,430.91

2,850,000.00

2,845,663.01

14,767.9

2,151.36

—

—

1.125

1.225

MAR
           16,209.38
24,046.88

3,202,013

3292016
G089B6CD0
BARCLAYS BANK PLC - GTD SENIOR CORP BND
 
D
 
 
3,380,574.55

3,467,241.54

2,130,000.00

3,386,395.8

80,845.74

817.71

—

63,682.99

1.5

1.529

APR
           26,139.47
38,657.42

11,252,013

4042017
G1582KAR3
BRITISH TELECOMMUNICATIONS PLC SENIOR LO
 
D
 
 
1,685,535.81

1,596,915.66

880,000.00

1,661,056.18

(64,140.52
)
(24,479.63
)
—

(61,993.7
)
6.625

2.009

JUN
            27,166.21
37,925.36

5,092,014

6232017
G1698AAD7
BUPA FINANCE PLC SENIOR CORP BND
 
D
 
 
591,837.92

579,653.92

355,000.00

591,955.91

(12,301.99
)
117.99

—

(19,424.03
)
3.375

3.462

JD
               5,816.21
5,816.21

6,102,014

6172021
G2551TAP3
COVENTRY BLDG SOC LOCAL BND EMTN
 
D
 
 
1,551,796.79

1,548,680.3

950,000.00

1,540,440.39

8,239.91

(5,783.04
)
—

2,464.65

2.161

1.997

FMAN
              4,815.66
25,098.87

11,272,013

2102015
G29330DW7
LONDON POWER NETWORKS PLC LOCAL BND
 
D
 
 
1,835,630.43

1,785,453.88

1,024,000.00

1,809,033.28

(23,579.4
)
(29,520.62
)
—

(48,686.69
)
5.375

2.324

NOV
           80,714.67
79,102.55

3,042,014

11112016
G33365SX9
FCE BANK PLC SENIOR LOCAL BND EMTN
 
D
 
 
2,086,737.87

2,021,065.01

1,200,000.00

2,044,185.97

(23,120.96
)
(42,551.90
)
—

(22,817.77
)
5.125

1.588

NOV
            88,119.30
63,810.52

2,072,014

11162015
G3775BCT0
GE CAPITAL UK FUNDING CORP BND EMTN
 
D
 
 
1,502,882.04

1,453,183.14

860,000.00

1,466,608.84

(13,425.7
)
(32,947.53
)
—

(15,131.22
)
4.625

1.401

JAN
          45,875.20
48,909.76

11,292,013

1182016
G463AQPM0
HSBC BANK PLC SENIOR LOCAL BND EMTN
 
D
 
 
1,557,432.87

1,626,613.32

1,000,000.00

1,557,313.42

69,299.9

(102.90
)
—

64,065.63

0.961

0.9

FMAN
              1,936.40
11,583.04

11,132,013

5162016
G463NBBT9
HSBC BANK PLC SENIOR CORP BND
 
F
 
 
3,693,081

3,650,990.54

3,700,000.00

3,694,935.34

(43,944.8
)
1,011.19

—

—

1.5

1.539

MN
          20,966.67
41,625

5,082,013

5152018




G4804LAA4
INTRCONT HOTELS LOCAL BND
 
D
 
 
2,531,332.12

2,429,410.36

1,380,000.00

2,488,559.95

(59,149.59
)
(42,772.17
)
—

(56,336.54
)
6

1.885

DEC
          111,377.38
66,224.4

4,032,014

12092016
G87623JG3
TESCO PLC SENIOR CORP BND
 
F
 
 
1,020,620

1,002,139.1

1,000,000.00

1,002,218.22

(79.12
)
(9,325.83
)
—

—

2

0.746

JD
             6,444.44
15,000

4,032,013

12052014
G9853MHT3
YORKSHIRE BUILDING SOCIETY LOCAL BND
 
D
 
 
1,749,244.45

1,774,152.84

1,000,000.00

1,706,156.26

67,996.58

(17,486.26
)
—

2,797.43

4.75

3.078

APR
          37,286.62
58,009.02

11,272,013

4122018
L7256GAD9
OXEA FINANCE & CY SCA SENIOR SECURED TER
 
F
2
 
2,331,494.16

2,295,464.1

2,337,337.50

2,332,536.54

(37,072.44
)
719.00

—

—

—

0.038

FMAN
0
75,693.24

6,062,013

1152020
N4R203EJ2
ING BANK NV SENIOR BND CORP EMTN
 
D
 
 
1,737,126.06

1,695,405.97

1,000,000.00

1,712,730.24

(17,324.27
)
(24,395.82
)
—

(17,670.49
)
3.875

1.76

DEC
          49,040.53
47,448.08

1,022,014

12232016
N5945LAK1
NXP BV AND NXP FUNDING LLC SENIOR SECURE
 
F
2
 
1,490,610.83

1,474,713.47

1,496,221.66

1,490,755.02

(16,041.55
)
158.36

—

—

—

0.068

MJSD
0
9,220.74

7,142,014

1112020
N7277KAG6
RABOBANK NEDERLAND NV CORP BND MTN
 
D
 
 
2,086,682.34

1,998,577.78

1,200,000.00

2,052,951.89

(54,374.11
)
(33,730.45
)
—

(55,207.09
)
4

1.109

SEP
             4,459.24
47,618.75

2,202,014

9102015
W6314JBT7
NORDEA BANK AB SENIOR CORP BND EMTN
 
D
 
 
2,616,684.94

2,676,211.93

1,645,000.00

2,616,248.79

59,963.14

(852.93
)
—

52,109.43

1.01

0.924

FMAN
              3,568.31
20,045.44

11,272,013

2152016
W86201RD9
STADSHYPOTEK AB SECURED LOCAL BND
 
D
 
 
2,565,994.39

2,629,466.9

1,620,000.00

2,566,326.16

63,140.74

290.70

—

59,394.25

0.79

0.76

FMAN
             2,748.34
15,306.85

11,272,013

2152016
W94232CA6
SWEDBANK AB SENIOR CORP BND
 
F
 
 
4,991,550

5,009,302.8

5,000,000.00

4,992,504.21

16,798.59

954.21

—

—

2.375

2.411

FA
             11,215.28
70,590.28

2,202,014

2272019
80705XAA5
SCHOL_13-A ABS 13-A 144A
 
 
2
 
1,777,718.95

1,778,949.64

1,786,196.24

1,778,370.57

579.07

3,553.32

—

—

0.802

0.854

MON
                    79.53
12,927.06

3,122,013

1302045
05948XYC9
BOAMS WHOLE CMO 03-J-2A1
 
 
2
 
31,285.66

31,843.09

31,739.40

31,328.74

514.35

52.78

—

—

2.847

3.11

MON
                    75.30
705.63

11,302,007

11252033
07384M3D2
BSARM_04-10 CMO 04-9 22A1
 
 
2
 
735,596.94

756,518.33

749,843.97

736,934.04

19,584.29

1,519.39

—

—

3.034

3.398

MON
              1,895.63
18,812.15

8,132,007

11252034
07387AAW5
BSARM CMO_05-3 2A1
 
 
2
 
916,450.93

868,588.9

933,665.38

918,133.12

(49,544.22
)
(3,135.16
)
—

—

2.592

2.907

MON
              2,016.69
19,218.87

8,102,007

6252035
12668AZL2
CWALT_05-73CB CMO_05-64CB 1A
 
 
2
 
260,157.11

251,024.37

265,212.72

260,047.68

(9,023.31
)
(2,430.51
)
—

—

5.5

5.868

MON
               1,215.56
11,526.57

1,022,008

12252035
161630BD9
CHASE CMO_07-A1 11M1
 
 
2
 
2,243,590.15

2,038,293.57

2,222,321.82

2,241,096.69

(202,803.12
)
(14,509.44
)
—

—

2.473

2.288

MON
             4,580.54
43,576.84

1,182,008

3252037
362341RT8
GSR_05-6F WHOLE CMO 05-AR6 1A1
 
 
2
 
106,324.3

108,859.87

107,381.34

106,521.6

2,338.27

197.75

—

—

2.654

2.907

MON
                  237.51
2,332.72

11,212,007

9252035
466247E74
JPMMT CMO_06-A1 2A2
 
 
2
 
67,689.26

60,268.63

67,636.40

67,660.09

(7,391.46
)
(799.30
)
—

—

2.718

2.687

MON
                   153.19
1,430.74

2,062,008

2252036
61746REV9
MSAC ABS 04-H1
 
 
2
 
941,018.2

911,928.32

939,550.16

940,446.61

(28,518.29
)
(40.02
)
—

—

0.895

0.884

MON
                  140.07
6,376.44

3,232,006

1252034
62889EAA3
NGN_11-R3 NGN_11-R3 1A
 
 
2
 
6,268,929.45

6,272,128.83

6,260,859.28

6,266,950.91

5,177.92

(1,664.56
)
—

—

0.557

0.515

MON
              1,937.38
28,103.51

6,152,012

3112020
62889GAA8
NCUA GUARANTEED NOTES CMO 11-R5 1A
 
 
2
 
1,617,045.8

1,620,105.25

1,617,045.80

1,617,045.8

3,059.45

—

—

—

0.533

0.532

MON
                 554.68
7,346.19

6,102,011

4062020
62951MAY6
NOMURA ASSET ACCEPTANCE CORPOR WHOLE CMO
 
 
2
 
677,724.48

689,788.59

670,806.77

676,736.96

13,051.63

(567.03
)
—

—

6.5

6.294

MON
             3,633.54
33,523.89

10,032,007

2252035
76111XYJ6
RESIDENTIAL ASSET MORTGAGE PR CMO_05-SA4
 
 
2
 
672,821.67

651,468.47

697,224.53

676,979.82

(25,511.35
)
(2,305.93
)
—

—

2.783

3.4

MON
               1,617.04
16,863.5

8,162,007

9252035
92922F3N6
WAMU_05-A12 CMO_05-AR12 1A8
 
 
2
 
2,370,312.98

2,330,107.7

2,394,633.49

2,372,151.05

(42,043.35
)
2,519.41

—

—

2.328

2.526

MON
             4,646.39
43,795.37

1,102,008

10252035
93934FEN8
WMALT_05-5 CMO 05-9-2A2
 
 
2
 
2,730,777.67

2,791,291.43

2,980,384.93

2,757,198.29

34,093.14

(32,162.49
)
—

—

5.5

7.229

MON
            13,660.10
129,432.57

12,172,007

11252035
949781AA6
WFMBS CMO 05-AR1 1A1
 
 
2
 
1,590,869.76

1,643,234.36

1,629,751.43

1,595,799.54

47,434.82

5,402.82

—

—

2.61

3.063

MON
             3,544.76
34,080.89

12,052,006

2252035
949781AC2
WFMBS CMO 05-AR1 2A1
 
 
2
 
369,396.38

371,439.05

378,625.36

370,242.83

1,196.22

1,656.04

—

—

2.61

3.126

MON
                 823.66
7,977.41

5,272,008

2252035




949797AA2
WFMBS WHOLE CMO 07-15 A1
 
 
2
 
146,615.15

146,193.05

145,693.18

146,509.12

(316.07
)
(158.83
)
—

—

6

5.769

MON
                 728.47
7,124.32

1,172,008

11252037
94980RAC1
WFMBS_04-Z CMO 04-Z-2A1
 
 
2
 
119,431.44

122,636.11

120,485.68

119,562.1

3,074.01

183.43

—

—

2.615

2.768

MON
                 262.54
2,580.02

1,142,008

12252034
94981NAH8
WFMBS_05-AR4 CMO 05-AR4 2A2
 
 
2
 
1,148,734.26

1,200,782.82

1,181,929.86

1,154,231.02

46,551.8

5,626.86

—

—

2.61

3.244

MON
                2,571.11
24,995.49

7,192,006

4252035
94982BAG5
WFMBS CMO 05-AR8 3A2
 
 
2
 
408,159.46

422,081.03

415,231.37

409,513

12,568.03

867.97

—

—

2.599

2.923

MON
                  899.16
8,585.26

12,152,005

6252035
BRSNK4RC4
FOSSM_14-1 ABS _14-1X-A2
 
D
2
 
1,895,703.9

1,831,916.46

1,129,000.00

1,895,703.9

(63,787.44
)
—

—

(65,425.55
)
0.961

0.962

JAJO
             3,798.39
5,284.51

6,052,014

10182054
G8162ZAD4
SILVERSTONE MASTER ISSUER PLC ABS_09-1 A
 
D
1
 
833,161.5

882,432.86

510,000.00

833,161.5

49,271.36

—

—

(6,375
)
5.063

5.059

AO
           19,323.44
31,932.14

10,272,009

1212055
89236PAD5
TAOT_12-A ABS 12-A
 
 
2
 
749,928.68

753,180.03

750,000.00

749,974.7

3,205.33

15.44

—

—

0.99

0.995

MON
                 330.00
5,568.75

4,112,012

8152017
02665VAA1
AH4R_14-SFR1 SENIOR CMBS _14-SFR1-A 144A
 
 
2
 
1,587,881.55

1,578,336.79

1,587,881.55

1,587,881.55

(9,544.76
)
—

—

—

1.154

1.155

MON
                  712.36
7,306.48

5,132,014

6172031
07387JAF3
BSCMS PAC SENIOR CMBS 06-PW12 A1A
 
 
2
 
494,009.3

484,135.73

455,455.70

485,225.92

(1,090.19
)
(10,455.29
)
—

—

5.697

(2.629
)
MON
             2,233.04
13,083.92

4,232,014

9112038
07388VAE8
BEAR STEARNS COMMERCIAL MORTGA CMBS_07-T
 
 
2
 
5,539,062.5

5,414,500.05

5,000,000.00

5,432,820.82

(18,320.77
)
(106,241.68
)
—

—

5.471

0.6

MON
          22,795.83
120,817.9

4,162,014

1122045
07388YAE2
BSCMS_07-PW16 CMBS 07-PW16 A4
 
 
2
 
4,005,351.57

3,927,280.36

3,575,000.00

3,937,151.74

(9,871.38
)
(68,199.83
)
—

—

5.707

1.193

MON
           17,568.84
91,242.77

4,242,014

6112040
12591VAB7
COMM_14-CCRE16 SENIOR SENIOR CMBS 14-CCR
 
 
2
 
10,295,555.12

10,261,900.3

10,000,000.00

10,271,540.87

(9,640.57
)
(28,360.88
)
—

—

3.042

2.39

MON
          25,350.00
145,340

6,022,014

4102047
12592EAA6
COMM_14-PAT SENIOR CMBS _14-PAT 144A
 
 
2
 
1,095,000

1,095,684.38

1,095,000.00

1,095,000

684.38

—

—

—

0.95

0.937

MON
                    28.90
28.9

9,182,014

8132027
12592MBF6
COMM_14-LC17 SENIOR CMBS_14-LC17 A2
 
 
2
 
7,209,813.23

7,232,706.6

7,000,000.00

7,209,568.5

23,138.1

(244.73
)
—

—

3.164

2.47

MON
           18,456.67
1,230.45

9,182,014

10102047
12624XAB4
COMM_13-CR6 CMBS_13-CR6 A2
 
 
2
 
1,358,975.39

1,354,926.09

1,345,000.00

1,358,816.54

(3,890.45
)
(158.85
)
—

—

2.122

1.826

MON
              2,378.41
1,189.21

9,112,014

3102046
12631DAX1
COMM_14-CR17 SENIOR CMBS_14-CR17-A2
 
 
2
 
4,588,620.24

4,565,305.71

4,455,000.00

4,578,188.48

(12,882.77
)
(10,431.76
)
—

—

3.012

2.343

MON
             11,182.05
51,437.43

4,292,014

5102047
12632QAT0
COMM_14-CR18 SENIOR CMBS_14-CR18 A2
 
 
2
 
3,295,997.06

3,261,632.1

3,200,000.00

3,290,847.1

(29,215
)
(5,149.96
)
—

—

2.924

2.25

MON
             7,797.33
24,431.63

6,192,014

7152047
12632QAX1
COMM_14-CR18 SENIOR CMBS_14-CR18 A5
 
 
2
 
7,209,485.92

7,213,009.93

7,000,000.00

7,204,484

8,525.93

(5,001.92
)
—

—

3.828

3.472

MON
          22,330.00
69,967.33

6,192,014

7152047
12648CAA4
CSMC_14-SURF SENIOR CMBS_14-SURF A 144A
 
 
2
 
7,779,712.5

7,775,182.6

7,770,000.00

7,776,328.88

(1,146.28
)
(3,383.62
)
—

—

1.01

0.913

MON
             3,487.86
35,096.63

4,172,014

2152029
17318UAB0
CITIGROUP COMMERCIAL MORTGAGE CMBS_12-GC
 
 
2
 
9,088,242.19

9,048,869.91

9,000,000.00

9,083,809.16

(34,939.25
)
(4,433.03
)
—

—

1.813

1.441

MON
            13,597.51
22,209.26

8,072,014

9102045
17322FAA9
CGCMT_14-388G SENIOR CMBS_14-388G A 144A
 
 
2
 
490,000

490,600.74

490,000.00

490,000

600.74

—

—

—

0.905

0.907

MON
                  197.09
1,278.04

6,052,014

6152033
17322VAR7
CGCMT_14-GC23 SENIOR CMBS_14-GC23 A2
 
 
2
 
3,316,556.2

3,284,013.57

3,220,000.00

3,313,589.75

(29,576.18
)
(2,966.45
)
—

—

2.851

2.181

MON
              7,650.18
13,770.33

7,172,014

7102047
20047QAE5
COMM CMBS 06-C7 A4
 
 
2
 
5,062,459.98

4,957,088.11

4,676,454.14

4,969,800.73

(12,712.62
)
(109,210.97
)
—

—

5.756

(2.279
)
MON
            23,181.22
138,871.95

6,022,014

6102046
46630JAC3
JP MORGAN CHASE COMMERCIAL MOR CMBS 07-
 
 
2
 
7,839,374.21

7,691,147.35

7,138,618.43

7,711,847.8

(20,700.45
)
(167,418.49
)
—

—

5.42

(0.982
)
MON
          32,242.75
184,146.67

4,082,014

1152049
46640LAB8
JPMBB COMMERCIAL MORTGAGE SECU SENIOR CM
 
 
2
 
2,209,382.81

2,203,921.8

2,140,000.00

2,208,668.57

(4,746.77
)
(714.24
)
—

—

3.019

1.953

MON
             5,384.42
2,153.77

9,162,014

8152046
46641KAA1
JPMCC_14-FBLU SENIOR CMBS 14-FBLU A 144A
 
 
2
 
5,004,687.5

5,000,240

5,000,000.00

5,001,111.53

(871.53
)
(3,575.97
)
—

—

1.104

0.913

MON
             2,453.33
24,969.41

4,152,014

12152028
46641WAT4
JPMBB_14-C19 PRELCF SENIOR CMBS_14-C19 A
 
 
2
 
1,910,646.29

1,907,700.61

1,855,000.00

1,905,827.53

1,873.08

(4,818.76
)
—

—

3.046

2.269

MON
             4,707.99
20,401.29

4,292,014

4152047




46642CBE9
JPMCC_14-C20 SENIOR CMBS 14-C20-A2
 
 
2
 
7,209,986

7,139,790.14

7,000,000.00

7,198,414.63

(58,624.49
)
(11,571.37
)
—

—

2.872

2.207

MON
            16,751.00
54,719.94

6,122,014

7152047
46643ABB8
JPMBB_14-C23 SENIOR SENIOR CMBS _14-C23-
 
 
2
 
7,209,986

7,220,850

7,000,000.00

7,209,872.94

10,977.06

(113.06
)
—

—

3.181

2.534

MON
           18,557.58
618.58

9,172,014

9152047
52109RBM2
LBUBS CMBS 07-C7
 
 
2
 
11,057,091.92

10,828,984.6

9,786,700.77

10,884,085.77

(55,101.17
)
(193,190.75
)
—

—

5.866

(1.538
)
MON
           31,893.77
280,558.38

6,022,014

9152045
60687VAE5
MLCFC CMBS_06-3 A4
 
 
2
 
5,870,170.03

5,826,707.53

5,487,368.75

5,838,960.07

(12,252.54
)
(32,400.05
)
—

—

5.414

(1.643
)
MON
           24,757.18
35,463.73

8,142,014

7122046
60687VAF2
MLCFC_06-3 PAC SENIOR CMBS 06-3 A1A
 
 
2
 
2,520,365.1

2,519,054.08

2,354,278.14

2,519,873.59

(819.51
)
(491.51
)
—

—

5.409

(1.951
)
MON
             10,611.90
353.73

9,252,014

7122046
61751NAF9
MSC_07-HQ11 CMBS 07-HQ11 A4
 
 
2
 
5,796,591.61

5,681,334.3

5,277,500.00

5,737,068.29

(55,733.99
)
(59,523.32
)
—

—

5.447

1.096

MON
          23,955.46
97,418.88

5,282,014

2122044
61751XAE0
MSC CMBS 07-T25 A3
 
 
2
 
5,832,041.35

5,711,784.53

5,297,125.39

5,715,815.98

(4,031.45
)
(123,584.42
)
—

—

5.514

(1.758
)
MON
          24,340.29
111,146.34

5,222,014

11122049
61754JAF5
MORGAN STANLEY CAPITAL I CMBS 07-T27 A4
 
 
2
 
4,242,893.56

4,145,780.46

3,775,000.00

4,148,319.51

(2,539.05
)
(94,574.05
)
—

—

5.651

0.161

MON
           18,343.86
100,057.38

4,112,014

6112042
61763MAB6
MSBAM_14-C16 SENIOR CMBS_14-C16 A2
 
 
2
 
1,905,424.71

1,882,856.02

1,850,000.00

1,902,223.1

(19,367.08
)
(3,201.61
)
—

—

2.849

2.188

MON
              4,392.21
15,079.92

6,052,014

6152047
90270YBD0
UBSBB_13-C5 PRELCF SENIOR CMBS_13-C5-A2
 
 
2
 
1,368,685.5

1,361,722.16

1,355,000.00

1,368,649.71

(6,927.55
)
(35.79
)
—

—

2.137

1.933

MON
              2,412.46
402.07

9,232,014

3102046
92890KAX3
WFRBS_14-C22 SENIOR CMBS_14-C22-A2
 
 
2
 
2,059,998.01

2,047,500

2,000,000.00

2,059,931.46

(12,431.46
)
(66.55
)
—

—

2.976

2.316

MON
             4,960.00
330.67

9,052,014

9152057
92937EAB0
WF-RBS COMMERCIAL MORTGAGE TRU PRELCF SE
 
 
2
 
1,470,037.5

1,468,687.01

1,460,000.00

1,469,959.24

(1,272.23
)
(78.26
)
—

—

2.029

1.781

MON
             2,468.62
658.3

9,182,014

3152045
92938EAF0
WFRBS_13-C16 PRELCF SENIOR CMBS_13-C16 A
 
 
2
 
6,303,750

6,245,159.94

6,000,000.00

6,290,169.72

(45,009.78
)
(13,580.28
)
—

—

3.223

1.917

MON
             16,115.00
35,990.16

7,212,014

9152046
92978PAF6
WBCMT_06-C29 PAC SENIOR CMBS 06-C29 A1A
 
 
2
 
13,129,502.5

12,819,146.44

11,942,339.52

12,901,620.95

(82,474.51
)
(242,456.92
)
—

—

5.297

(2.055
)
MON
           52,715.47
293,708.48

6,022,014

11152048
92867PAC7
VALET_13-2 ABS_13-2 A3
 
 
2
 
4,044,066.83

4,026,030.41

4,045,000.00

4,044,375.1

(18,344.69
)
283.69

—

—

0.7

0.71

MON
                  865.18
21,236.22

11,062,013

4202018
00205BAA6
ARI FLEET LEASE TRUST ARIFL_12 ABS 12-B
 
 
2
 
2,757,237.28

2,755,858.57

2,757,237.28

2,757,237.28

(1,378.71
)
—

—

—

0.454

0.454

MON
                 555.85
11,806.35

10,162,012

1152021
00432CAZ4
AGSL_03-1 ABS 03-1-2003-1
 
 
2
 
360,500

385,170.4

400,000.00

374,517.75

10,652.65

5,433.84

—

—

1.627

2.634

MON
                 356.60
2,774.64

3,292,010

12262035
00432CBB6
AGSL_03-1 ABS_03-1-2003-1
 
 
2
 
311,937.5

342,475

350,000.00

323,025.02

19,449.98

4,185.57

—

—

1.626

2.582

MON
                  217.58
2,934.39

3,292,010

12262035
00432CBP5
AGSL_03-1 ABS_04-1-2004-1
 
 
2
 
435,625

488,350

500,000.00

453,883.16

34,466.84

6,621.88

—

—

1.627

2.755

MON
                 445.75
4,055.48

3,292,010

12272032
02005ACC0
AMOT 2013-2 ABS 12-1
 
 
2
 
2,499,806.75

2,508,700

2,500,000.00

2,499,887.54

8,812.46

23.93

—

—

1.44

1.446

MON
              1,600.00
27,000

2,152,012

2152017
02005EAC4
ALLYA_12-3 ABS 12-3
 
 
2
 
1,346,797.25

1,348,555.01

1,346,844.53

1,346,823.42

1,731.59

41.78

—

—

0.85

0.852

MON
                  508.81
13,783.55

5,222,012

8152016
02005TAD9
ALLYA _11-1 ABS_11-1 A4
 
 
2
 
1,228,076.44

1,230,287.65

1,228,187.47

1,228,133.51

2,154.14

191.18

—

—

2.23

2.242

MON
               1,217.27
46,293.67

2,042,011

3152016
02005YAE6
ALLYA_12-1 ABS_12-1 A3
 
 
2
 
164,689.66

163,911.66

163,800.28

163,923.59

(11.93
)
(1,585.08
)
—

—

0.93

0.467

MON
                    67.70
2,954.05

2,222,013

2162016
02006MAC5
ALLYA_13-2 ABS 13-2 A3
 
 
2
 
984,961.19

984,947.39

985,000.00

984,972.54

(25.15
)
10.06

—

—

0.79

0.793

MON
                 345.85
5,836.14

10,232,013

1152018
02006WAC3
ALLYA_14_2 ABS_14_2-A3
 
 
2
 
7,498,624.5

7,496,167.5

7,500,000.00

7,498,630.64

(2,463.14
)
6.14

—

—

1.25

1.258

MON
              1,822.92
1,822.92

9,172,014

4152019
02582JGD6
AMXCA-12 ABS_
 
 
2
 
12,068,322.28

12,058,829.06

12,035,000.00

12,056,089.88

2,739.18

(12,232.40
)
—

—

0.68

0.476

MON
             3,637.25
40,918.32

3,282,014

3152018
02582JGJ3
AMXCA_13-3 ABS_13-3 A
 
 
2
 
5,459,374.29

5,450,935.14

5,460,000.00

5,459,472.23

(8,537.09
)
79.21

—

—

0.98

0.984

MON
              2,378.13
40,131

11,052,013

5152019




02587UAB6
AMXCA_12-5 ABS 12-5
 
 
2
 
1,149,890.64

1,150,919.23

1,150,000.00

1,149,961.07

958.16

27.95

—

—

0.59

0.594

MON
                  301.56
5,088.78

11,012,012

5152018
03062AAD8
AMCAR_14-3 ABS _14-3-A3
 
 
2
 
869,975.81

868,085.26

870,000.00

869,976.16

(1,890.9
)
0.35

—

—

1.15

1.153

MON
                 944.92
944.92

8,202,014

6102019
03064JAC9
AMERICREDIT AUTOMOBILE RECEIVA ABS 13-2
 
 
2
 
644,871.19

645,232.2

645,000.00

644,950.82

281.38

42.89

—

—

0.65

0.659

MON
                 267.85
3,144.42

4,032,013

12082017
03065EAD7
AMCAR_13-5 BAS_13-5 A3
 
 
2
 
439,939.85

439,626.58

440,000.00

439,956.43

(329.85
)
14.48

—

—

0.9

0.91

MON
                 253.00
2,981

11,052,013

9102018
05578XAC2
BMWOT_13-A ABS 13-A A3
 
 
2
 
1,684,962.09

1,682,722.64

1,685,000.00

1,684,968.22

(2,245.58
)
5.71

—

—

0.67

0.671

MON
                   188.16
8,467.11

10,292,013

11272017
05579UAD5
BMWLT_14-1 ABS _14-1-A4
 
 
2
 
12,299,729.4

12,280,320.49

12,300,000.00

12,299,716.31

(19,395.82
)
(13.09
)
—

—

0.99

0.992

MON
             3,720.75
55,811.25

4,092,014

8212017
06742LAE3
DROCK_14-3 ABS_14-3 A
 
 
2
 
9,042,500.87

9,047,170.8

9,045,000.00

9,042,508.77

4,662.03

7.90

—

—

2.41

2.427

MON
              7,871.66
7,871.66

9,122,014

7152022
12591BAC9
CNH_14-A ABS 14-A A3
 
 
2
 
2,864,964.19

2,859,757.08

2,865,000.00

2,864,964.1

(5,207.02
)
(0.09
)
—

—

0.84

0.842

MON
              1,069.60
14,773.85

2,122,014

5152019
12591BAD7
CNH_14-A ABS 14-A A4
 
 
2
 
999,951.7

990,790.02

1,000,000.00

999,955.67

(9,165.65
)
3.97

—

—

1.5

1.505

MON
                 666.67
9,208.34

2,122,014

5152020
12591FAC0
CNH EQUIPMENT TRUST CNH_13-A ABS_13-A A3
 
 
2
 
5,344,998.93

5,349,864.11

5,345,000.00

5,344,972.08

4,892.03

(16.43
)
—

—

0.69

0.691

MON
               1,639.14
32,979.17

2,132,013

6152018
12613SAC6
CNH_13-C ABS_13-C A3
 
 
2
 
3,154,634.97

3,166,705.12

3,155,000.00

3,154,750.37

11,954.75

85.51

—

—

1.02

1.026

MON
              1,430.27
24,135.75

8,202,013

8152018
12623PAD8
CNH_14-B ABS_14-B A4
 
 
2
 
11,904,022

11,835,963.76

11,920,000.00

11,904,271.98

(68,308.22
)
249.98

—

—

1.61

1.642

MON
             8,529.43
50,224.86

9,162,014

5172021
12624FAC1
CNH_12-C ABS_12-C A3
 
 
2
 
2,261,090.79

2,262,836.28

2,261,276.00

2,261,212.97

1,623.31

227.57

—

—

0.57

0.574

MON
                 572.86
33,121.65

9,192,012

12152017
12625HAC6
CNH EQUIPMENT TRUST CNH_13-B ABS 13-B A3
 
 
2
 
854,875.77

855,820.81

855,000.00

854,942.03

878.78

40.04

—

—

0.69

0.697

MON
                 262.20
4,424.67

5,212,013

8152018
126802BS5
CABMT_12-2A ABS_11-2A A2
 
 
2
 
18,603,606.06

18,546,816.77

18,445,000.00

18,527,222.63

19,594.14

(35,843.28
)
—

—

0.754

0.495

MON
              6,177.85
105,566.86

3,072,013

6172019
14041NCQ2
CAPITAL ONE MULTI-ASSET EXECUT SENIOR AB
 
 
2
 
12,191,894.06

11,942,119.71

11,279,000.00

11,949,197.33

(7,077.62
)
(242,696.73
)
—

—

5.05

0.697

MON
           25,315.09
284,794.74

3,272,014

12172018
14041NDT5
CAPITAL ONE MULTI-ASSET EXECUT ABS 07-A5
 
 
2
 
3,064,754.69

3,062,977.42

3,085,000.00

3,065,120.52

(2,143.1
)
365.83

—

—

0.194

0.41

MON
                 265.45
332.29

9,082,014

7152020
14041NEM9
COMET_13-A3-A3 ABS 13-A3-A3
 
 
2
 
4,479,465.54

4,466,963.2

4,480,000.00

4,479,617.85

(12,654.65
)
135.49

—

—

0.96

0.966

MON
                1,911.46
32,256

11,142,013

9162019
14041NEP2
COMET_14-A2 ABS _14-A2-A2
 
 
2
 
4,199,796.72

4,195,459.76

4,200,000.00

4,199,828.74

(4,368.98
)
32.02

—

—

1.26

1.265

MON
             2,352.00
25,137

4,032,014

1152020
14313MAB0
CARMX_13-2 ABS_13-2 A2
 
 
2
 
788,214.67

788,308.33

788,237.37

788,224.97

83.36

33.75

—

—

0.42

0.422

MON
                   147.14
5,217.84

5,082,013

6152016
14313RAD5
CARMX_14-2 SENIOR ABS_14-2-A4
 
 
2
 
1,999,666.6

1,992,200.62

2,000,000.00

1,999,697.01

(7,496.39
)
30.41

—

—

1.61

1.62

MON
                 1,431.11
12,253.88

5,072,014

10152019
14313TAC3
CARMX_14-3 ABS _14-3-A3
 
 
2
 
1,199,904.84

1,197,019.32

1,200,000.00

1,199,908.68

(2,889.36
)
3.84

—

—

1.16

1.165

MON
                  618.67
1,856

8,062,014

5152019
14313TAD1
CARMX_14-3 ABS_14-3-A4
 
 
2
 
2,291,414.06

2,287,309.32

2,295,000.00

2,291,426.72

(4,117.4
)
12.66

—

—

1.73

1.779

MON
              1,764.60
551.44

9,232,014

1152020
161571FJ8
CHASE ISSUANCE TRUST CHAIT_12- ABS_12-A3
 
 
2
 
12,048,750

12,030,840.48

12,000,000.00

12,028,563.04

2,277.44

(20,186.96
)
—

—

0.79

0.452

MON
              4,213.33
47,400

3,272,014

6152017
161571FU3
CHAIT_13-A1 ABS 13-A1
 
 
2
 
4,954,296.87

4,923,088.84

5,000,000.00

4,955,088.57

(31,999.73
)
791.70

—

—

1.3

1.579

MON
             2,888.89
3,972.23

9,042,014

2182020
161571FX7
CHAIT_13-A5 ABS_13-A5 A
 
 
2
 
2,249,976.15

2,250,810.07

2,250,000.00

2,249,992.41

817.66

9.06

—

—

0.47

0.471

MON
                 470.00
7,931.25

5,162,013

5152017
161571GC2
CHASE ISSUANCE TRUST ABS 13-A8
 
 
2
 
1,999,543.4

1,998,686.38

2,000,000.00

1,999,648.89

(962.51
)
85.32

—

—

1.01

1.018

MON
                 897.78
15,149.97

10,252,013

10152018




161571GH1
CHAIT_13-A9 ABS 13-A9 A
 
 
2
 
1,500,000

1,504,960.56

1,500,000.00

1,500,000

4,960.56

—

—

—

0.574

0.574

MON
                 382.40
6,535.58

12,102,013

11152020
161571GJ7
CHASE ISSUANCE TRUST CHAIT_14- ABS 14-A1
 
 
2
 
11,497,919.65

11,504,059.62

11,500,000.00

11,498,220.41

5,839.21

300.76

—

—

1.15

1.157

MON
             5,877.78
89,636.09

1,162,014

1152019
165182BA3
CF_09-2A ABS 12-1A 144A
 
 
2
 
1,400,442.37

1,405,049.86

1,400,442.37

1,400,442.37

4,607.49

—

—

—

0.906

0.908

MON
                  810.72
15,216.54

5,102,012

11072023
17119RAC6
CCART_13-AA BAS_13-AA A3 144A
 
 
2
 
3,089,639.09

3,096,056.37

3,090,000.00

3,089,782.18

6,274.19

113.23

—

—

0.91

0.917

MON
              1,249.73
21,089.25

10,162,013

4162018
17119RAD4
CCART_13-AA ABS_13-AA A4 144A
 
 
2
 
884,992.92

890,071.03

885,000.00

884,987.66

5,083.37

(4.46
)
—

—

1.34

1.343

MON
                 527.07
8,894.25

10,162,013

12172018
17119VAC7
CCART_13-B ABS_13-B A3 144A
 
 
2
 
2,081,033.95

2,081,331.26

2,080,000.00

2,081,005.3

325.96

(33.83
)
—

—

0.85

0.813

MON
                 785.78
6,851.94

8,262,014

5152018
17119VAD5
CCART_13-B ABS_13-BA A4 144A
 
 
2
 
1,474,731.41

1,471,681.28

1,475,000.00

1,474,794.69

(3,113.41
)
54.19

—

—

1.27

1.278

MON
                 832.55
14,101.39

11,062,013

3152019
17119YAC1
CCART_14-BA ABS _14-BA-A3 144A
 
 
2
 
6,428,778.3

6,428,071

6,430,000.00

6,428,785.42

(714.42
)
7.12

—

—

1.27

1.281

MON
               1,361.02
1,361.02

9,182,014

5152019
17305EDL6
CITIBANK CREDIT CARD ISSUANCE ABS_06-A8
 
 
2
 
2,588,682.81

2,609,526.55

2,620,000.00

2,606,482.57

3,043.98

4,171.73

—

—

0.274

0.486

JAJO
               1,553.14
5,433.54

7,062,011

12172018
17305EDY8
CCCIT_13-A1 ABS_07-A8 A8
 
 
2
 
3,122,148.44

3,018,671.36

2,700,000.00

3,032,338.81

(13,667.45
)
(81,732.90
)
—

—

5.65

1.403

MS
              4,661.25
114,412.5

12,032,013

9202019
17305EFC4
CCCIT ABS 13-A3 A3
 
 
2
 
12,642,449.5

12,688,451.75

12,645,000.00

12,643,373.65

45,078.1

616.00

—

—

1.11

1.117

JJ
          26,902.24
105,269.62

8,012,013

7232018
17305EFE0
CCCIT_13-A6 ABS 13-A6 A6
 
 
2
 
3,922,182.81

3,913,622.18

3,890,000.00

3,918,387.65

(4,765.47
)
(3,660.11
)
—

—

1.32

0.938

MS
             3,423.20
12,421.2

8,262,014

9072018
17305EFK6
CCCIT_13-A10 ABS 13-A10 A10
 
 
2
 
11,385,664.06

11,380,746.88

11,375,000.00

11,382,889.36

(2,142.48
)
(2,774.70
)
—

—

0.73

0.677

FA
           12,455.63
41,518.75

3,262,014

2072018
17305EFL4
CCCIT_13-A12 SENIOR ABS 13-A12 A12
 
 
2
 
500,000

500,317.39

500,000.00

500,000

317.39

—

—

—

0.467

0.467

FMAN
                  356.81
1,720.51

12,112,013

11072018
17305EFQ3
CCCIT_14-A4 ABS _14-A4-A4
 
 
2
 
1,059,785.77

1,057,305.84

1,060,000.00

1,059,811.33

(2,505.49
)
25.56

—

—

1.23

1.237

AO
              5,251.42
5,251.42

4,292,014

4242019
17305EFU4
CCCIT_14-A8 SENIOR ABS 2014-A8 A8
 
 
2
 
3,989,440.6

3,982,219.5

3,990,000.00

3,989,436.83

(7,217.33
)
(3.77
)
—

—

1.73

1.733

AO
               1,342.19
1,342.19

9,172,014

4092020
17308BAN8
COMNI_09-A13 ABS_09-A17 A17 144A
 
 
2
 
1,265,548.83

1,176,633.91

1,170,000.00

1,177,682.1

(1,048.19
)
(33,864.90
)
—

—

4.9

0.89

MN
           21,658.00
42,997.5

8,132,013

11152018
254683AC9
DCENT_07-A1 ABS 07-A1 A1
 
 
2
 
5,448,691.41

5,033,381.09

4,500,000.00

5,010,228.16

23,152.93

(125,420.71
)
—

—

5.65

1.719

MON
            11,300.00
190,687.5

1,262,012

3162020
254683AT2
DCENT ABS 12-A1
 
 
2
 
652,082.03

651,150.5

650,000.00

650,528.27

622.23

(1,082.26
)
—

—

0.81

0.588

MON
                 234.00
3,948.75

8,282,013

8152017
254683AV7
DCENT_12-A3 ABS 12-A3
 
 
2
 
12,095,432.81

12,071,143.89

12,039,000.00

12,070,323.63

820.26

(25,109.18
)
—

—

0.86

0.442

MON
              4,601.57
51,767.7

3,272,014

11152017
254683BA2
DISCOVER CARD MASTER TRUST DCE ABS_13-A2
 
 
2
 
11,553,284.09

11,551,799.84

11,555,000.00

11,554,091.18

(2,291.34
)
372.08

—

—

0.69

0.695

MON
             3,543.53
59,797.17

2,062,013

8152018
254683BH7
DISCOVER CARD MASTER TRUST SENIOR ABS_14
 
 
2
 
3,084,517.97

3,085,728

3,085,000.00

3,084,528.68

1,199.32

10.71

—

—

0.434

0.44

FMAN
              1,746.38
743.14

9,082,014

8152019
254683BJ3
DCENT_14-3 ABS_14-A3 A3
 
 
2
 
1,029,736.32

1,027,041.2

1,030,000.00

1,029,762.6

(2,721.4
)
26.28

—

—

1.22

1.23

MON
                 558.49
5,131.13

4,282,014

10152019
281379AA5
EDUSA_10-1 ABS 10-1-A1 144A
 
 
2
 
423,003.12

427,618.08

423,003.12

423,003.12

4,614.96

—

—

—

1.084

1.086

JAJO
                 866.20
3,862.62

2,232,010

7252023
29372EAT5
EFF_12-2 SENIOR ABS 12-2 A3 144A
 
 
2
 
660,592.97

661,102.2

660,000.00

660,315.75

786.45

(259.38
)
—

—

0.93

0.882

MON
                  187.55
4,603.5

11,202,013

4202018
29372EBE7
EFF_14-2 ABS_14-2 A2 144A
 
 
2
 
1,334,785.07

1,334,319.11

1,335,000.00

1,334,796.17

(477.06
)
11.10

—

—

1.05

1.059

MON
                  428.31
1,869

8,062,014

3202020
33766QAA5
FIRSTENERGY OHIO PIRB SPECIAL ABS_13-1 A
 
 
2
 
237,603.68

237,582.53

237,603.92

237,602.6

(20.07
)
0.12

—

—

0.679

0.679

JJ
                 340.59
1,753.69

6,122,013

1152019




34528QBP8
FORDF ABS 12-2
 
 
2
 
5,463,393.55

5,460,086.25

5,375,000.00

5,462,035.94

(1,949.69
)
(1,357.61
)
—

—

1.92

1.204

MON
             4,586.67
3,726.67

9,152,014

1152019
34528QDL5
FORD CREDIT FLOORPLAN MASTER O ABS _14-4
 
 
2
 
2,219,364.64

2,208,522.64

2,220,000.00

2,219,384.24

(10,861.6
)
19.60

—

—

1.4

1.414

MON
               1,381.34
3,021.67

8,192,014

8152019
34529PAD7
FORD CREDIT AUTO OWNER TRUST F ABS_11-A
 
 
2
 
115,319.32

114,758.33

114,465.30

114,706.15

52.18

(1,847.29
)
—

—

1.65

0.884

MON
                    83.94
3,011.23

7,172,013

5152016
34529WAC4
FORDO_12-B ABS_12-B A3
 
 
2
 
933,837.95

934,034.48

933,036.13

933,182.62

851.86

(484.79
)
—

—

0.72

0.681

MON
                 298.57
8,175.18

6,222,012

12152016
34530EAC1
FORDO_13-B ABS_13-B A3
 
 
2
 
2,524,869.2

2,526,138.42

2,525,000.00

2,524,934.53

1,203.89

35.85

—

—

0.57

0.573

MON
                 639.67
10,794.42

5,142,013

10152017
34530EAD9
FORDO_13-B SENIOR ABS _13-B-A4
 
 
2
 
5,504,941.41

5,469,860.17

5,500,000.00

5,504,078.9

(34,218.73
)
(862.51
)
—

—

0.76

0.727

MON
              1,857.78
19,390.54

4,092,014

8152018
34530GAD4
FORDO_13-D ABS 13-D A3
 
 
2
 
4,784,780.36

4,783,762.07

4,785,000.00

4,784,844.12

(1,082.05
)
58.95

—

—

0.67

0.673

MON
              1,424.88
24,044.58

11,192,013

4152018
34530HAC4
FORDO_14-A ABS_14-A A3
 
 
2
 
7,249,962.8

7,262,397.36

7,250,000.00

7,249,972.9

12,424.46

10.10

—

—

0.79

0.79

MON
             2,545.56
29,301.28

3,262,014

5152018
34530KAB9
FORDO_14-B ABS _14-B-A3
 
 
2
 
5,602,296.61

5,589,323.6

5,605,000.00

5,602,338.46

(13,014.86
)
41.85

—

—

0.9

0.924

MON
             2,242.00
11,724.63

9,122,014

10152018
36159JBW0
GE CAPITAL CREDIT CARD MASTER ABS 10-1 A
 
 
2
 
12,356,718.75

12,173,879.64

12,000,000.00

12,170,697.02

3,182.62

(186,021.73
)
—

—

3.69

0.56

MON
           19,680.00
220,170

3,282,014

3152018
36830NAC3
GEEMT_13-1 ABS 13-1 A3
 
 
2
 
2,894,934.58

2,904,582.47

2,895,000.00

2,894,953.12

9,629.35

13.15

—

—

0.95

0.953

MON
                 687.57
20,626.92

9,172,013

3222017
41283YAC1
HARLEY-DAVIDSON MOTORCYCLE TRU ABS 13-1
 
 
2
 
1,759,995.08

1,762,270.36

1,760,000.00

1,759,989.86

2,280.5

(1.67
)
—

—

0.65

0.651

MON
                 508.45
8,579.97

4,162,013

7162018
429827AB4
HEF_04-1 ABS 04-1 A2 144A
 
 
2
 
164,000

195,662.4

200,000.00

176,119.39

19,543.01

(160.30
)
—

—

1.657

3.984

MON
                 257.76
1,605.81

9,102,009

1012044
429827AE8
HIGHER EDUCATION FUNDING HEF_0 ABS 04-1
 
 
2
 
164,000

187,211

200,000.00

173,646.46

13,564.54

1,455.28

—

—

0.056

1.2

MON
                        2.18
1,492.44

9,102,009

1012044
429827AF5
HEF_04-1 ABS 04-1 A6 144A
 
 
2
 
164,000

192,721.2

200,000.00

175,910.51

16,810.69

352.30

—

—

1.657

3.566

MON
                 239.35
1,835.59

9,102,009

1012044
429827AJ7
HIGHER EDUCATION FUNDING HEF_0 ABS 04-1
 
 
2
 
164,224

196,786.4

200,000.00

172,127.15

24,659.25

574.20

—

—

1.642

2.903

MON
                 272.06
1,645.72

9,102,009

1012044
429827AK4
HIGHER EDUCATION FUNDING HEF_0 ABS_04-1
 
 
2
 
164,196

183,699.8

200,000.00

171,961.34

11,738.46

125.10

—

—

1.655

4.08

MON
                  172.30
1,550.75

9,102,009

1012044
429827AN8
HEF_04-1 ABS 04-1 A13 144A
 
 
2
 
164,000

193,720.2

200,000.00

173,575.96

20,144.24

1,616.96

—

—

0.165

2.11

MON
                     18.99
1,348.98

9,102,009

1012044
429827AQ1
HEF_04-1 ABS 04-1 A15 144A
 
 
 
 
246,000

287,781.9

300,000.00

252,563.12

35,218.78

865.17

—

—

1.651

2.453

FMAN
                  162.84
2,808.88

9,102,009

1012044
43812XAC9
HAROT_13-3 ABS 13-3 A3
 
 
2
 
3,464,437.28

3,470,584.57

3,465,000.00

3,464,707.1

5,877.47

169.07

—

—

0.77

0.778

MON
               1,185.80
20,010.42

7,172,013

5152017
43813EAD8
HONDA AUTO RECEIVABLES OWNER T ABS 12-2
 
 
2
 
1,599,694.08

1,605,552

1,600,000.00

1,599,930.31

5,621.69

73.47

—

—

0.91

0.918

MON
                  647.10
10,919.97

4,182,012

5152018
43813UAC4
HAROT_12-3 ABS 12-1
 
 
2
 
807,118.41

808,191.93

807,166.84

807,152.23

1,039.7

46.90

—

—

0.77

0.773

MON
                 276.23
8,718.38

2,142,012

1152016
43814CAD1
HONDA AUTO RECEIVABLES OWNER T ABS 13-1
 
 
2
 
6,989,335.94

6,989,434.2

7,000,000.00

6,992,075.24

(2,641.04
)
2,739.30

—

—

0.62

0.7

MON
              1,205.56
21,700.02

3,272,014

3212019
43814EAC9
HAROT 2013-2 ABS 13-2 A3
 
 
2
 
4,504,576.53

4,498,422.7

4,505,000.00

4,504,813.83

(6,391.13
)
126.21

—

—

0.53

0.534

MON
                 994.86
17,907.39

4,172,013

2162017
43814GAC4
HAROT ABS_14-2-A3
 
 
2
 
868,368.75

867,015.15

870,000.00

868,498.16

(1,483.01
)
129.41

—

—

0.77

0.859

MON
                   241.91
1,153.72

7,242,014

3192018
44890FAC1
HYUNDAI AUTO LEASE SECURITIZAT ABS_12-A
 
 
2
 
661,825.29

662,136.18

661,895.91

661,880.92

255.26

107.93

—

—

0.92

0.926

MON
                 270.64
16,041.13

6,132,012

8172015
44890HAC7
HYUNDAI AUTO RECEIVABLES TRUST ABS 12-B
 
 
2
 
1,741,519.74

1,743,053.23

1,741,816.54

1,741,756.17

1,297.06

259.58

—

—

0.62

0.629

MON
                 479.97
15,317.64

7,102,012

9152016




44890JAB5
HART_13-A ABS 13-A
 
 
2
 
71,382.31

71,390.53

71,386.96

71,386.02

4.51

43.31

—

—

0.4

0.405

MON
                     12.69
2,486.71

1,242,013

12152015
44890LAB0
HYUNDAI AUTO RECEIVABLES TRUST ABS_13-B
 
 
2
 
173,960.39

174,022.08

173,961.19

173,958.91

63.17

1.30

—

—

0.53

0.53

MON
                    40.98
1,486.66

6,192,013

3152016
44890LAC8
HYUNDAI AUTO RECEIVABLES TRUST ABS_13-B
 
 
2
 
1,424,920.44

1,427,198.24

1,425,000.00

1,424,970.67

2,227.57

10.63

—

—

0.71

0.712

MON
                 449.67
7,588.17

11,052,013

9152017
44890QAC7
HART_13-C ABS 13-C A3
 
 
2
 
2,324,162.5

2,328,416.62

2,320,000.00

2,323,701.01

4,715.61

(418.08
)
—

—

1.01

0.89

MON
               1,041.42
12,788.85

7,242,014

2152018
44890RAC5
HART_14-A ABS 14-A A3
 
 
2
 
2,288,787.15

2,283,794.01

2,290,000.00

2,288,936.77

(5,142.76
)
149.62

—

—

0.79

0.817

MON
                 804.04
8,995.88

7,242,014

7162018
44890UAD6
HART_14-B ABS _14-B-A4
 
 
2
 
1,999,961.8

1,989,449.76

2,000,000.00

1,999,963.42

(10,513.66
)
1.62

—

—

1.46

1.465

MON
              1,297.78
11,112.21

5,072,014

11152019
477879AC4
JDOT_13-B ABS_13-B A3
 
 
2
 
4,724,355.98

4,736,292.65

4,725,000.00

4,724,623.57

11,669.08

191.25

—

—

0.87

0.877

MON
              1,827.00
30,830.67

8,272,013

8152017
58768EAF6
MBALT_14-A ABS _14-A-A4
 
 
2
 
7,999,290.4

8,003,131.12

8,000,000.00

7,999,444.14

3,686.98

153.74

—

—

0.9

0.906

MON
             3,200.00
34,400

4,012,014

12162019
65474VAG6
NMOTR_13-A SENIOR ABS 13-A
 
 
2
 
1,680,000

1,680,000

1,680,000.00

1,680,000

—

—

—

—

0.454

0.454

MON
                 338.69
5,791.37

2,202,013

2152018
65477LAB6
NAROT_13-B ABS 13-B A2
 
 
2
 
136,253.95

136,322.72

136,254.59

136,253.05

69.67

0.45

—

—

0.52

0.52

MON
                     31.49
955.91

7,242,013

4152016
65477LAC4
NISSAN AUTO RECEIVABLES OWNER ABS 13-B-A
 
 
2
 
3,744,185.47

3,751,259.28

3,745,000.00

3,744,551.31

6,707.97

235.55

—

—

0.84

0.85

MON
               1,398.14
23,593.5

7,242,013

11152017
65477MAC2
NAROT_13-C SENIOR ABS_13-C A3
 
 
2
 
4,729,020.42

4,713,015.29

4,730,000.00

4,729,330.51

(16,315.22
)
288.70

—

—

0.67

0.679

MON
              1,408.49
23,768.29

12,042,013

8152018
65477MAD0
NAROT_13-C SENIOR ABS_13-C A4
 
 
2
 
3,089,600.16

3,073,297.22

3,090,000.00

3,089,671.88

(16,374.66
)
65.55

—

—

1.3

1.307

MON
              1,785.34
30,127.52

12,042,013

6152020
71722TAF1
PHEAA_04-1 ABS_04-1-A2
 
 
2
 
452,730

482,049.5

500,000.00

477,043.2

5,006.3

3,594.51

—

—

1.651

2.943

MON
                  226.16
4,609.42

3,092,010

4252044
71722TAG9
PHEAA_04-1 ABS_04-1-A3
 
 
2
 
1,177,098

1,272,879.4

1,300,000.00

1,231,055.87

41,823.53

11,215.07

—

—

—

0.986

MON
0
13,199.09

3,092,010

4252044
74112WAC3
PRESTIGE AUTO RECEIVABLES TRUS ABS_13-1
 
 
2
 
326,960.07

327,572.05

326,993.27

326,977.93

594.12

29.82

—

—

1.09

1.098

MON
                   158.41
3,948.6

4,032,013

2152018
78442GHZ2
SLMA ABS 03-10A A1D 144A
 
 
2
 
100,000

100,253

100,000.00

100,000

253

101.13

—

—

0.305

0.305

MON
                      11.86
2,460.37

9,232,011

12152016
78442GJB3
SLMA ABS 03-10A A1F 144A
 
 
2
 
125,000

125,000

125,000.00

125,000

—

—

—

—

0.306

0.306

MON
                    22.53
2,773.13

12,262,013

12152016
78442GQP4
SLMA ABS_05-8 A3
 
 
2
 
2,675,753.7

2,718,134.69

2,724,577.98

2,710,954.36

7,180.33

12,221.58

—

—

0.344

0.81

JAJO
              1,770.89
8,148.74

6,132,011

10252024
78442GSC1
SLM STUDENT LOAN TRUST SLMA_06 ABS_06-3-
 
 
2
 
141,856.21

141,861.48

142,080.28

141,961.87

(100.39
)
88.11

—

—

0.314

0.391

JAJO
                    84.30
380.55

11,302,012

7252019
784442AC9
SLMA ABS 08_2 A3
 
 
2
 
1,484,824.22

1,506,545

1,500,000.00

1,490,005.04

16,539.96

1,566.26

—

—

0.984

1.131

JAJO
             2,788.28
11,194.95

3,272,012

4252023
78444YAD7
SLMA ABS 08-5 A4
 
 
2
 
2,457,718.75

2,451,257.69

2,350,000.00

2,412,949.62

38,308.07

(8,967.34
)
—

—

1.934

1.392

JAJO
             8,585.26
34,468.56

1,112,011

7252023
78445XAA4
SLMA_10-1 ABS 10-1A
 
 
2
 
2,992,080.81

2,976,653.02

2,986,083.19

2,991,871.51

(15,218.49
)
(1,573.54
)
—

—

0.555

0.512

MON
                 276.22
13,686.13

6,022,014

3252025
78446JAA4
SLM STUDENT LOAN TRUST SLMA_11 ABS 11-2
 
 
2
 
4,645,332.25

4,669,544.81

4,654,354.72

4,648,112.35

21,432.46

2,578.02

—

—

0.755

0.791

MON
                 585.67
43,444.29

5,182,011

11252027
78446JAB2
SLMA_11-2 ABS 11-2
 
 
2
 
6,575,000

6,574,997.96

6,575,000.00

6,575,000

(2.04
)
—

—

—

1.355

1.358

MON
               1,484.31
67,558.16

5,182,011

10252034
78446TAC8
SLM STUDENT LOAN TRUST SLMA_11 SENIOR AB
 
 
2
 
502,508.79

493,109.25

465,000.00

501,238.19

(8,128.94
)
(1,270.60
)
—

—

4.54

2.591

MON
                 938.27
3,283.94

7,312,014

10172044
78446XAA3
SLM STUDENT LOAN TRUST ABS 12-B 144A
 
 
2
 
317,859.65

318,956.27

317,859.65

317,859.65

1,096.62

—

—

—

1.254

1.257

MON
                   177.10
3,961.35

4,042,012

1182022




78446XAB1
SLM STUDENT LOAN TRUST ABS_12-B A2 144A
 
 
2
 
999,897.3

1,041,690

1,000,000.00

999,922.33

41,767.67

7.00

—

—

3.48

3.507

MON
              1,546.67
26,100

4,042,012

10152030
78447AAA2
SLMA_12-3 ABS_12-3 A
 
 
2
 
1,466,457.84

1,475,617.62

1,466,457.84

1,466,457.84

9,159.78

—

—

—

0.805

0.806

MON
                  196.62
9,420.68

4,242,012

12262025
78447CAA8
SLM_12-D ABS 12-D 144A
 
 
2
 
418,173.46

420,866.48

418,173.46

418,173.46

2,693.02

—

—

—

1.204

1.207

MON
                 223.69
4,600.64

7,232,012

6152023
78447FAA1
SLMA_12-E ABS 12-E 144A
 
 
2
 
1,829,839.66

1,836,598.47

1,829,572.85

1,829,769.57

6,828.9

(140.43
)
—

—

0.904

0.896

MON
                 734.77
14,463.59

11,212,013

10162023
78447FAB9
SLM STUDENT LOAN TRUST SLMA_12 ABS_12-E
 
 
2
 
816,500

792,968.8

800,000.00

811,592.64

(18,623.84
)
(2,470.35
)
—

—

2.09

1.664

MON
                   743.11
12,539.97

3,192,013

6152045
78447KAB8
SLMA_12-7 ABS 12-7
 
 
2
 
3,997,370

3,998,406.36

4,000,000.00

3,998,840.11

(433.75
)
496.92

—

—

0.435

0.454

MON
                 289.67
13,193.35

11,022,012

9252019
78447RAB3
SLMA_13-A ABS 13-A 144A
 
 
2
 
459,870.23

453,141.41

460,000.00

459,906.32

(6,764.91
)
18.38

—

—

1.77

1.782

MON
                  361.87
6,106.5

2,272,013

5172027
78447RAC1
SLMA_13-A ABS 13-A 144A
 
 
2
 
2,425,000

2,447,770.82

2,425,000.00

2,425,000

22,770.82

—

—

—

1.204

1.207

MON
               1,297.21
22,151.72

2,272,013

5172027
78447VAA6
SLM STUDENT LOAN TRUST SLMA_13 ABS 13-B
 
 
2
 
1,987,598.66

1,990,440.88

1,987,598.66

1,987,598.66

2,842.22

—

—

—

0.804

0.805

MON
                 709.88
13,274.59

4,252,013

7152022
78447VAB4
SLMA_13-B ABS_13-B-A2A
 
 
2
 
804,859.37

782,799.71

805,000.00

804,888.7

(22,088.99
)
15.51

—

—

1.85

1.86

MON
                  661.89
11,169.45

4,252,013

6172030
78447VAC2
SLMA_13-B ABS_13-B-A2B
 
 
2
 
615,000

619,926.17

615,000.00

615,000

4,926.17

—

—

—

1.254

1.257

MON
                 342.65
5,851.07

4,252,013

5152030
78448BAA9
SLMA_13-5 ABS 13-5 A1
 
 
2
 
311,703.16

311,718.74

311,703.16

311,703.16

15.58

—

—

—

0.415

0.415

MON
                     21.53
1,482.5

9,112,013

5252018
78448CAF6
SLMA_13-6 ABS 13-6 A2
 
 
2
 
550,000

551,402.48

550,000.00

550,000

1,402.48

—

—

—

0.655

0.655

MON
                    60.00
3,221.55

11,062,013

2252021
78448DAA5
SLMA _14-A SENIOR ABS _14-A-A1 144A
 
 
2
 
1,098,775.42

1,095,619.29

1,094,798.22

1,098,615.9

(2,996.61
)
(339.28
)
—

—

0.754

0.53

MON
                 366.68
1,261.67

8,052,014

7152022
80281CAD7
SDART_13-5 ABS 13-5 A2A
 
 
2
 
304,996.49

305,456.78

305,000.00

304,996.49

460.29

(0.04
)
—

—

0.82

0.821

MON
                     111.16
1,875.78

11,142,013

2152018
80283GAB0
SDART_13-3 ABS_13-3-A2
 
 
2
 
616,886.11

617,015.65

616,923.12

616,912.93

102.72

118.70

—

—

0.55

0.556

MON
                  150.80
8,437.53

5,082,013

9152016
80283HAB8
SDART_13-4 ABS 13-4 A2
 
 
2
 
212,082.33

212,210.32

212,100.02

212,094.59

115.73

50.28

—

—

0.89

0.899

MON
                    83.90
4,128.11

7,112,013

9152016
80283XAD9
SDART_14-3 ABS 14-3 A3
 
 
2
 
774,991.48

773,464.15

775,000.00

774,991.98

(1,527.83
)
0.50

—

—

0.81

0.812

MON
                 279.00
1,796.07

6,112,014

7162018
80705TAA4
SCHOL_11-A ABS 11-A A 144A
 
 
2
 
1,680,231.02

1,721,258.71

1,714,059.69

1,684,482.07

36,776.64

4,578.95

—

—

1.135

1.294

JAJO
              3,512.94
15,764.4

3,222,011

10282043
82735LAA1
SBY_14-1 ABS_14-1 A 144A
 
 
2
 
1,190,022.89

1,181,513.03

1,190,022.89

1,190,022.89

(8,509.86
)
—

—

—

1.154

1.156

MON
                 533.87
1,915.29

7,302,014

9172031
89231MAC9
TAOT_14-A ABS_14-A A3
 
 
2
 
3,744,307.92

3,735,325.2

3,745,000.00

3,744,468.03

(9,142.83
)
160.11

—

—

0.67

0.679

MON
                 1,115.18
13,382.14

3,112,014

12152017
89231NAC7
TAOT_12-B ABS 12-B
 
 
2
 
2,454,104

2,454,141.06

2,454,337.41

2,454,268.59

(127.53
)
115.38

—

—

0.46

0.464

MON
                  501.78
12,079.3

9,182,012

7152016
89231RAD6
TAOT_14-B SENIOR ABS _14-B-A4
 
 
2
 
9,998,335

9,965,673.8

10,000,000.00

9,998,465.96

(32,792.16
)
130.96

—

—

1.31

1.318

MON
             5,822.22
37,480.56

6,102,014

9162019
89236RAC3
TOYOTA AUTO RECEIVABLES OWNER ABS_13-A A
 
 
2
 
3,884,970.09

3,887,895.83

3,885,000.00

3,884,969.01

2,926.82

(0.46
)
—

—

0.55

0.551

MON
                 949.67
16,025.67

4,092,013

1172017
89236RAD1
TOYOTA AUTO RECEIVABLES OWNER ABS_13-A A
 
 
2
 
764,782.82

763,001.12

765,000.00

764,876.41

(1,875.29
)
47.89

—

—

0.69

0.7

MON
                 234.60
3,958.92

4,092,013

11152018
89236VAC4
TAOT_13-B ABS 13-B A3
 
 
2
 
764,963.51

767,195.05

765,000.00

764,977.47

2,217.58

11.56

—

—

0.89

0.893

MON
                 302.60
5,106.33

9,112,013

7172017
928667AD6
VWMT_14-1A ABS_14-1A-A2 144A
 
 
2
 
3,819,901.45

3,804,146.97

3,820,000.00

3,819,902.42

(15,755.45
)
0.97

—

—

1.4

1.404

MON
              1,337.00
5,942.25

8,122,014

7222019




92867KAC8
VWALT_12-A ABS_12-A A3
 
 
2
 
439,645.41

439,853.54

439,732.17

439,715.2

138.34

142.54

—

—

0.87

0.881

MON
                   116.90
11,083.9

6,132,012

7202015
92867MAB6
VALET_13-1 ABS_13-1 A2
 
 
2
 
1,159,257.33

1,159,402.68

1,159,333.15

1,159,312.6

90.08

143.76

—

—

0.37

0.375

MON
                   131.07
9,731.33

2,212,013

1202016
92867MAC4
VALET_13-1 ABS 13-1
 
 
2
 
5,689,676.24

5,684,438.99

5,690,000.00

5,689,836.76

(5,397.77
)
73.75

—

—

0.56

0.562

MON
                 973.62
23,898.06

2,212,013

8212017
92867PAD5
VALET_13-2 ABS_13-2 A4
 
 
2
 
5,279,070.19

5,245,574.4

5,280,000.00

5,279,275.52

(33,701.12
)
194.87

—

—

1.16

1.167

MON
               1,871.46
45,935.91

11,062,013

3202020
92867RAC3
VALET_14-1 ABS_14-1 A3
 
 
2
 
4,484,116.46

4,469,577.34

4,485,000.00

4,484,248.87

(14,671.53
)
132.41

—

—

0.91

0.919

MON
              1,247.08
17,119.02

4,232,014

10222018
981464DG2
WFNMT_12-C ABS 12-C
 
 
2
 
3,188,784.29

3,190,733.7

3,190,000.00

3,189,192.32

1,541.38

142.50

—

—

2.23

2.247

MON
               3,161.65
53,352.72

7,132,012

8152022
981464DX5
WFNMT_13-B ABS 13-B
 
 
2
 
2,210,123.46

2,206,615.49

2,210,000.00

2,210,090.98

(3,475.49
)
(27.30
)
—

—

0.91

0.908

MON
                 893.82
12,436.29

6,252,014

3162020
98158KAD1
WORLD OMNI AUTO RECEIVABLES TR ABS 11-A
 
 
2
 
1,771,163.49

1,775,528.66

1,771,242.31

1,771,178.17

4,350.49

89.65

—

—

1.91

1.918

MON
              1,503.59
45,578.55

3,022,011

4152016
98158PAC2
WOART_11-B ABS_11-B A3
 
 
2
 
63,315.36

63,403.49

63,315.48

63,314.43

89.06

1.57

—

—

0.96

0.961

MON
                     27.01
919.57

11,022,011

8152016
380881BX9
GOLDEN CREDIT CARD TRUST GCCT_ ABS_13-1A
 
A
2
 
1,100,000

1,099,539.1

1,100,000.00

1,100,000

(460.9
)
—

—

—

0.404

0.404

MON
                  197.32
3,375.23

2,212,013

2152018
BRSL4ZHF1
TURBF_13-4 SENIOR ABS 13-4 A
 
D
2
 
1,589,736.04

1,605,059.76

988,000.00

1,589,491.78

15,567.98

(227.37
)
—

12,664.73

1.089

1.072

MON
                 433.00
13,211.64

11,272,013

1202021
BRSPQCUZ0
TURBF_5 ABS 5 A
 
D
2
 
1,783,925

1,783,265

1,100,000.00

1,783,925

(660
)
—

—

(660
)
1

1.001

MON
                  390.81
390.81

9,162,014

8202021
Z91GFLXY5
TEMSE_1 ABS 1 A
 
D
2
 
787,503.26

797,818.58

490,793.84

787,503.26

10,315.32

—

—

8,147.17

1.409

1.412

MON
                 278.33
11,027.19

11,072,013

11212021
Z91J3YBQ5
ECARA_3 ABS 14 3 A
 
D
2
 
937,700.34

906,703.6

559,537.15

937,700.34

(30,996.74
)
—

—

(30,606.69
)
0.976

0.978

MON
                  318.88
5,419.44

2,282,014

3182022
BRSPKX0V2
DRIVER UK MASTER SA ABS _2-A
 
D
2
 
658,060

648,070.92

400,000.00

658,060

(9,989.08
)
—

—

(9,600
)
0.927

0.929

MON
                  100.27
100.27

9,032,014

1252023
Z918CTYG7
BUMP_12-5 ABS_12-5 A2
 
D
2
 
78,948.28

79,981.43

49,298.00

78,948.28

1,033.15

—

—

971.17

1.909

1.909

MON
                    37.88
4,714.83

4,022,012

6202022
620062AC3
MOTOR_12A ABS 12A 144A
 
F
2
 
182,533.33

182,620.4

182,533.33

182,533.33

87.07

—

—

—

1.286

1.289

MON
                     39.12
5,093.4

9,122,012

2252020
BRSG6Z2D1
TURBF_12-3 SENIOR ABS 12-3
 
D
2
 
169,203.36

172,668.25

106,477.48

169,203.36

3,464.89

(0.01
)
—

3,412.61

1.109

1.111

MON
                    47.52
3,046.59

11,132,012

11202019
BRSGEJ3J4
E_CARAT_12 ABS CARAT
 
D
2
 
198,722.65

200,919.96

123,626.02

198,722.65

2,197.31

(0.01
)
—

1,693.67

1.3

1.302

MON
                     95.12
3,074.58

12,102,012

6182020
12591AAC1
CNH_12-B ABS 12-B
 
 
2
 
973,467.94

975,196.23

973,502.30

973,486.82

1,709.41

34.56

—

—

0.86

0.862

MON
                 372.09
9,582.65

6,122,012

9152017
38148BAA6
GOLDMAN SACHS GROUP INC/THE CAPSEC CORP
 
 
1
 
7,181,300

7,210,000

7,000,000.00

7,181,300

28,700

—

—

—

5.7

5.084

MN
        169,575.00
80,908.33

7,152,014

12312049
48127FAA1
JPMORGAN CHASE & CO CAPSEC CORP BND
 
 
1
 
7,439,250

7,293,750

7,500,000.00

7,439,647.86

(145,897.86
)
397.86

—

—

5

5.048

JJ
         116,666.68
63,541.68

8,132,014

12312049
61761JQK8
MORGAN STANLEY CAPSEC CORP BND
 
 
1
 
7,042,700

6,930,000

7,000,000.00

7,041,170.84

(111,170.84
)
(1,529.16
)
—

—

5.45

5.309

JJ
          80,538.88
77,359.71

7,152,014

12292049
14041NEK3
COMET_13-A1 ABS 13-A1
 
 
2
 
10,273,447.45

10,267,312.86

10,275,000.00

10,274,319.42

(7,006.56
)
393.39

—

—

0.63

0.636

MON
             2,877.00
48,549.42

1,232,013

11152018
14313LAC0
CARMX_13-1 ABS 13-1
 
 
2
 
4,799,854.56

4,802,016

4,800,000.00

4,799,921.73

2,094.27

31.09

—

—

0.6

0.602

MON
              1,280.00
21,600

2,062,013

10162017
1107098W5
PROVINCE OF BRITISH COLUMBIA CORP BND
 
A
 
 
6,555,625

6,364,187.5

6,250,000.00

6,357,391.11

6,796.39

(154,507.22
)
—

—

2.85

0.406

JD
          52,447.92
212,760.41

6,062,013

6152015
1107098Z8
PROVINCE OF BRITISH COLUMBIA CORP BND
 
A
 
 
1,966,310

1,949,513.91

1,900,000.00

1,940,171.64

9,342.27

(18,223.00
)
—

—

2.1

0.792

MN
           14,740.83
50,341.66

8,302,013

5182016




135087C77
CANADA GOVERNMENT CORP BND
 
A
 
 
2,396,208

2,393,520.07

2,400,000.00

2,396,643.32

(3,123.25
)
435.32

—

—

1.625

1.658

FA
             3,683.33
23,183.33

2,202,014

2272019
427028AA3
CANADA GOVERNMENT GOVT BND
 
A
 
 
251,847.5

250,290.01

250,000.00

250,979.5

(689.49
)
(100.04
)
—

—

0.875

0.708

FA
                 285.59
16,007.63

8,082,012

2142017
4488148U0
HYDRO-QUEBEC SENIOR CORP BND
 
A
 
 
4,994,200

5,030,549.6

5,000,000.00

4,996,800

33,749.6

861.26

—

—

1.375

1.399

JD
            19,479.17
51,562.5

6,122,012

6192017
563469TU9
MANITOBA PROVINCE OF CORP BND
 
A
 
 
10,161,200

10,044,881.4

10,000,000.00

10,106,594.8

(61,713.4
)
(31,336.63
)
—

—

1.3

0.869

AO
          64,277.78
97,500

6,062,013

4032017
683234C63
ONTARIO PROVINCE OF SENIOR CORP BND
 
A
 
 
5,980,500

5,947,739.88

6,000,000.00

5,980,641.33

(32,901.45
)
141.33

—

—

2.5

2.551

MS
             8,333.33
8,333.33

9,042,014

9102021
683235AA3
ONTARIO PROVINCE OF SENIOR CORP BND
 
A
 
 
5,051,700

5,046,899.8

5,000,000.00

5,045,666.27

1,233.53

(6,033.73
)
—

—

2

1.762

MS
                   1,111.11
55,000

3,102,014

9272018
68323AAQ7
ONTARIO PROVINCE OF SENIOR CORP BND
 
A
 
 
5,049,059

5,034,406.8

4,900,000.00

5,022,356.15

12,050.65

(18,869.54
)
—

—

2.3

0.735

MN
           44,140.83
33,733.33

9,232,014

5102016
68323ABL7
ONTARIO PROVINCE OF SENIOR CORP BND
 
A
 
 
2,939,850

2,937,330.09

3,000,000.00

2,940,009.18

(2,679.09
)
159.18

—

—

1.65

2.074

MS
                 550.00
687.5

9,232,014

9272019
68323ABM5
ONTARIO PROVINCE OF SENIOR CORP BND
 
A
 
 
3,981,200

3,973,080.12

4,000,000.00

3,986,788.81

(13,708.69
)
3,147.84

—

—

1.1

1.21

AO
           19,066.67
33,000

5,292,013

10252017
BRSJZMYE5
KOMMUNEKREDIT CORP BND EMTN
 
F
 
 
9,988,500

10,038,600.2

10,000,000.00

9,992,963.54

45,636.66

2,849.36

—

—

0.875

0.912

JUL
           15,069.44
65,668.05

7,232,013

7292016
BRSKJS6N8
CAISSE D'AMORT DETTE SOCIALE SENIOR CORP
 
F
 
 
4,986,800

5,050,667

5,000,000.00

4,991,286.73

59,380.27

3,243.65

—

—

1.25

1.34

MS
             2,083.33
46,875

9,102,013

9192016
BRSLXE2K1
ELECTRICITE DE FRANCE SA SENIOR CORP BND
 
F
 
 
3,163,264

3,192,328.96

3,200,000.00

3,171,618.66

20,710.3

8,354.66

—

—

1.15

1.544

JJ
             7,257.78
25,453.34

1,132,014

1202017
12625GAA2
CNOOC FINANCE (2013) LTD SENIOR CORP BND
 
F
 
 
1,367,170.56

1,369,566.2

1,372,000.00

1,369,392.73

173.47

4,981.79

—

—

1.125

1.245

MN
             6,088.26
48,167.35

5,022,013

5092016
12802DAJ5
CAISSE D'AMORT DETTE SOCIALE SENIOR CORP
 
F
 
 
5,992,324.3

6,028,200.54

6,000,000.00

5,993,289.65

34,910.89

(2,478.30
)
—

—

1.125

1.174

JJ
            11,437.50
72,430

6,022,014

1302017
268317AJ3
ELECTRICITE DE FRANCE SA SENIOR CORP BND
 
F
 
 
4,863,518.4

4,897,740.79

4,920,000.00

4,870,958.13

26,782.66

14,629.60

—

—

2.15

2.395

JJ
          20,274.50
143,815.89

1,132,014

1222019
298785FN1
EUROPEAN INVESTMENT BANK SENIOR CORP BND
 
F
 
 
15,606,900

15,478,799.1

15,000,000.00

15,462,384.02

16,415.08

(144,515.98
)
—

—

2.5

0.591

MN
        140,625.00
191,666.67

3,242,014

5162016
298785GH3
EUROPEAN INVESTMENT BANK SENIOR CORP BND
 
F
 
 
9,955,000

10,041,001.1

10,000,000.00

9,959,258.15

81,742.95

4,258.15

—

—

1.875

1.971

MS
             8,333.33
90,625

4,022,014

3152019
30254WAE9
FMS WERTMANAGEMENT LT GTD SENIOR CORP BN
 
F
 
 
1,366,562.56

1,363,855.86

1,367,000.00

1,366,572.89

(2,717.03
)
10.33

—

—

1.125

1.136

MS
                1,110.69
1,110.69

8,272,014

9052017
418097AD3
JORDAN (HASHEMITE KINGDOM OF) AGENCY BND
 
F
 
 
10,000,000

10,037,500

10,000,000.00

10,000,000

37,500

—

—

—

1.945

1.945

JD
           51,326.39
65,913.89

6,232,014

6232019
50048MAT7
KOMMUNALBANKEN AS SENIOR GOVT BND
 
F
 
 
1,096,205

1,091,650.97

1,100,000.00

1,097,709.17

(6,058.2
)
560.64

—

—

1

1.071

MS
                  152.78
8,250

9,192,012

9262017
50048MBM1
KOMMUNALBANKEN AS CORP BND 144A
 
F
 
 
398,900

399,511.99

400,000.00

399,213.09

298.9

272.00

—

—

0.75

0.843

MN
              1,083.33
2,250

11,132,013

11212016
500769AX2
KREDITANSTALT FUER WIEDERAUFBA CORP BND
 
F
 
 
6,356,400.6

6,007,920

6,000,000.00

6,002,840.06

5,079.94

(55,197.02
)
—

—

4.125

2.87

AO
          114,125.00
185,625

8,312,009

10152014
500769FG4
KREDITANSTALT FUER WIEDERAUFBA SENIOR CO
 
F
 
 
6,859,842

6,845,558.93

6,900,000.00

6,872,197.47

(26,638.54
)
9,825.69

—

—

0.875

1.015

MS
             4,360.42
64,020.84

5,292,013

9052017
500769FP4
KREDITANSTALT FUER WIEDERAUFBA SENIOR CO
 
F
 
 
9,967,900

10,005,699.2

10,000,000.00

9,984,119.96

21,579.24

7,952.02

—

—

0.5

0.603

AO
          22,500.00
45,902.78

2,202,013

4192016
500769GB4
KREDITANSTALT FUER WIEDERAUFBA SENIOR CO
 
F
 
 
3,485,930

3,486,420

3,500,000.00

3,487,856.8

(1,436.8
)
2,677.33

—

—

0.75

0.893

MS
              1,020.83
14,385.41

5,062,014

3172017
515110BL7
LANDWIRTSCHAFTLICHE RENTENBANK SENIOR CO
 
F
 
 
4,966,950

4,968,500.15

5,000,000.00

4,966,950

1,550.15

—

—

—

2.25

2.353

AO
0
—

9,242,014

10012021
62944BAH7
BANK NEDERLANDSE GEMEENTEN UNSEC CORP BN
 
F
 
 
10,538,640

10,559,289.93

10,500,000.00

10,506,287

53,002.93

(11,239.64
)
—

—

1.375

1.249

MS
             3,208.33
125,125

3,222,013

3232015




62944BAL8
BANK NEDERLANDSE GEMEENTEN SENIOR CORP B
 
F
 
 
3,973,040

3,987,200

4,000,000.00

3,976,195.85

11,004.15

5,508.84

—

—

1.375

1.552

MS
              1,833.33
45,336.81

4,082,014

3192018
64127WAJ2
NETWORK RAIL INFRA FIN UNSECURED CORP BN
 
F
 
 
3,470,915

3,450,649.86

3,500,000.00

3,473,952.69

(23,302.83
)
4,210.37

—

—

0.75

1.002

AO
            12,979.17
12,927.09

5,202,014

10032017
65562QAW5
NORDIC INVESTMENT BANK CORP BND
 
F
 
 
2,980,170

2,984,940.03

3,000,000.00

2,980,177.24

4,762.79

7.24

—

—

2.25

2.353

MS
                  187.50
187.5

9,232,014

9302021
71645WAT8
PETROBRAS INTL FINANCE CORP BND
 
F
 
 
797,304

820,435.2

800,000.00

799,236.54

21,198.66

416.99

—

—

3.875

3.95

JJ
                 5,511.11
23,250

1,202,011

1272016
71645WAV3
PETROBRAS INTL FINANCE CORP BND
 
F
 
 
1,790,982

1,804,808.88

1,800,000.00

1,798,914.46

5,894.42

2,308.13

—

—

2.875

3.051

FA
             7,906.25
38,812.5

2,012,012

2062015
71647NAB5
PETROBRAS INT BRASPETRO BV SENIOR CORP B
 
F
 
 
4,669,544

4,583,136.47

4,700,000.00

4,676,586.64

(93,450.17
)
3,814.19

—

—

3

3.125

JJ
          29,766.67
105,750.01

5,132,013

1152019
71647NAD1
PETROBRAS INT BRASPETRO BV SENIOR CORP B
 
F
 
 
4,978,710

5,029,000

5,029,000.00

4,991,019.64

37,980.36

12,309.64

—

—

1.852

2.32

FMAN
           10,866.58
51,208.59

3,212,014

5202016
85771PAD4
STATOILHYDRO ASA SENIOR CORP BND
 
F
 
 
3,107,100

3,050,346.45

3,000,000.00

3,064,102.18

(13,755.73
)
(21,442.96
)
—

—

1.8

0.793

MN
           19,200.00
78,150

4,112,013

11232016
85771PAJ1
STATOILHYDRO ASA SENIOR CORP BND
 
F
 
 
10,202,467.5

10,038,389.69

10,250,000.00

10,210,539.48

(172,149.79
)
5,663.28

—

—

1.15

1.259

MN
          44,530.54
83,574.65

4,292,014

5152018
85771PAM4
STATOILHYDRO ASA SENIOR CORP BND
 
F
 
 
325,162.5

325,016.24

325,000.00

325,135.57

(119.33
)
(26.93
)
—

—

0.524

0.519

FMAN
                  222.17
1,258.39

1,022,014

5152018
85771PAR3
STATOILHYDRO ASA SENIOR CORP BND
 
F
 
 
2,796,024

2,799,928.85

2,800,000.00

2,796,708.88

3,219.97

960.25

—

—

1.95

1.98

MN
           21,688.34
68,791.67

11,052,013

11082018
87020DAL8
SWEDEN KINGDOM CORP BND MTN 144A
 
F
 
 
2,695,518

2,715,984.09

2,700,000.00

2,697,012.94

18,971.15

1,036.97

—

—

1

1.053

MN
           10,200.00
20,250

8,222,013

11152016
903724AK8
AID-UKRAINE AGENCY BND
 
F
 
 
4,285,000

4,220,725

4,285,000.00

4,285,000

(64,275
)
—

—

—

1.844

1.844

MN
          29,630.78
29,630.78

5,142,014

5162019
BRS9ND148
EUROPEAN INVESTMENT BANK CORP BND
 
D
 
 
2,866,739.77

3,001,338.1

1,805,000.00

2,819,511.31

181,826.79

(23,628.63
)
—

143,893.41

3

1.89

DEC
           72,294.61
74,189.72

11,132,013

12072015
BRSDR1PS2
KREDITANSTALT FUER WIEDERAUFBA CORP BND
 
D
 
 
3,986,239.13

4,066,231.69

2,480,000.00

3,971,753.94

94,477.75

(8,203.27
)
—

63,184.31

1.75

1.464

JAN
          49,690.52
53,677.41

11,292,013

1222016
BRSF8V463
FMS WERTMANAGEMENT LT GTD SENIOR CORP BN
 
D
 
 
631,578.74

649,475.95

400,000.00

632,263.87

17,212.08

394.94

—

16,074.66

1

1.014

DEC
              5,457.18
18,848.79

11,292,013

12012015
D40859GT7
KREDITANSTALT FUER WIEDERAUFBA CORP BND
 
D
 
 
4,137,676.58

3,956,243.73

2,180,000.00

3,935,439.93

20,803.8

(113,132.44
)
—

51,839.21

5.625

1.102

AUG
          20,334.29
146,785.5

11,272,013

8252017
D4085B7T2
KREDITANSTALT FUER WIEDERAUFBA CORP BND
 
D
 
 
6,158,497.52

6,014,578.09

3,530,000.00

5,921,137.04

93,441.05

(97,833.85
)
—

61,705.66

3.75

1.347

SEP
           14,205.54
157,444.64

11,292,013

9072016
G5577Y5Y2
LLOYDS TSB BANK PLC - LT GTD SENIOR LOCA
 
D
 
 
4,005,907.35

4,052,419.41

2,490,000.00

4,010,562.8

41,856.61

(205.72
)
—

26,855.95

1.5

1.487

MAY
          26,243.43
45,689.17

11,252,013

5022017
G6459FAE2
NETWORK RAIL INFRA FIN LOCAL BND EMTN GO
 
D
 
 
4,995,951.2

4,751,228.81

2,800,000.00

4,679,526.23

71,702.58

(127,888.60
)
—

61,617.58

4.875

0.982

NOV
         187,210.62
165,936.68

11,252,013

11272015
G9244PAB0
UNITED KINGDOM GILT GOVT BND
 
D
 
 
7,238,583.93

7,185,455.57

4,050,000.00

7,233,666.46

(48,210.89
)
(5,884.64
)
—

(65,724.36
)
3.75

1.798

MS
           16,357.34
12,814.87

9,302,014

9072019
G924502M9
UNITED KINGDOM GILT GOVT BND
 
D
 
 
16,618,999.28

16,026,204.18

8,810,000.00

16,459,076.49

(432,872.31
)
(269,699.88
)
—

(512,100.47
)
4.5

1.756

MS
          42,896.79
485,527.45

5,142,014

3072019
G92450YY8
UNITED KINGDOM GILT GOVT BND
 
D
 
 
22,870,687.25

22,235,077.38

12,930,725.00

22,708,512.59

(473,435.21
)
(763,092.47
)
—

(501,952.7
)
4

0.897

MS
          55,965.33
982,774.77

9,042,014

9072016
G92451CZ7
UNITED KINGDOM GILT GOVT BND
 
D
 
 
506,267.44

494,710.13

300,000.00

501,875.42

(7,165.29
)
(22,440.99
)
—

(7,682
)
2

0.757

JJ
               1,974.71
35,905.69

1,092,014

1222016
G92451GE0
UNITED KINGDOM GILT GOVT BND
 
D
 
 
5,640,124.69

5,440,206.53

3,300,000.00

5,625,029.67

(184,823.14
)
(29,345.97
)
—

(196,881.89
)
1.75

1.105

JJ
           19,006.54
80,717.03

4,242,014

1222017
G9T44MEB4
UNITED KINGDOM GILT GOVT BND
 
D
 
 
20,343,411.17

19,706,172.53

12,250,000.00

20,355,815.04

(649,642.51
)
23,723.36

—

(725,288.9
)
1

1.402

MS
           13,254.42
61,142.35

9,302,014

9072017
G9T44MFU1
UNITED KINGDOM GILT GOVT BND
 
D
 
 
41,883,128.9

41,221,289.09

25,710,000.00

41,981,331.85

(760,042.76
)
121,842.42

—

(970,475.34
)
1.25

1.687

JJ
        105,770.22
414,839.53

7,102,014

7222018




G9T44MGE6
UNITED KINGDOM GILT GOVT BND
 
D
 
 
2,612,939.96

2,613,656.93

1,620,000.00

2,613,054.89

602.04

687.41

—

(18,087.86
)
2.25

2.399

MS
             3,944.95
5,118.9

9,172,014

9072023
G9T44MHH8
UNITED KINGDOM GILT GOVT BND
 
D
 
 
10,094,114.05

9,829,556.08

6,070,000.00

10,095,548.24

(265,992.16
)
2,656.05

—

(307,731.08
)
1.75

1.867

JJ
          34,269.67
32,311.57

8,212,014

7222019
L0594VKM1
EUROPEAN INVESTMENT BANK CORP BND EMTN
 
D
 
 
837,356.42

813,001.67

450,000.00

820,990.04

(7,988.37
)
(14,843.92
)
—

(8,470.28
)
4.75

1.795

OCT
          33,670.35
26,188.05

11,292,013

10152018
N6S779BG4
NEDERLANDSE WATERSCHAPSBANK NV CORP BND
 
F
 
 
6,994,610

7,020,418.58

7,000,000.00

6,997,307.12

23,111.46

1,331.94

—

—

0.75

0.776

MS
                  291.67
39,375

3,192,013

3292016
161571FR0
CHAIT_12-8 ABS 12-8
 
 
2
 
5,000,828.5

4,999,877.15

5,000,000.00

5,000,304.52

(427.37
)
(218.85
)
—

—

0.54

0.535

MON
              1,200.00
20,250

12,062,012

10162017
009158AQ9
AIR PRODUCTS AND CHEMICALS INC CORP BND
 
 
 
 
1,544,936.3

1,517,395.83

1,490,000.00

1,519,983.32

(2,587.49
)
(12,104.33
)
 
—

 
 
 
             4,883.89
22,350

 
 
009349AF8
AIRCRAFT LEASE SECURITISATION ABS_07-1A G3 144A
 
 
 
 
813,220.49

825,861.21

842,715.52

825,902

(40.79
)
19,781.77

 
—

 
 
 
                 253.25
3,131.55

 
 
010392ER5
ALABAMA POWER COMPANY CORP BND
 
 
 
 
562,380

527,651.27

500,000.00

528,069.5

(418.23
)
(16,217.19
)
 
—

 
 
 
             5,488.89
19,500

 
 
010392FH6
ALABAMA POWER COMPANY SENIOR CORP BND
 
 
 
 
8,314,843.5

8,317,531.65

8,325,000.00

8,321,461.48

(3,929.83
)
2,533.74

 
—

 
 
 
              21,113.12
34,340.62

 
 
021441AD2
ALTERA CORPORATION SENIOR CORP BND
 
 
 
 
1,397,858

1,405,440.03

1,400,000.00

1,398,858.54

6,581.49

651.40

 
—

 
 
 
             9,255.55
37,871.7

 
 
023135AK2
AMAZON.COM INC SENIOR CORP BND
 
 
 
 
3,041,704

3,046,607.18

3,050,000.00

3,046,779.07

(171.89
)
2,073.15

 
—

 
 
 
              6,828.61
14,868.75

 
 
034863AE0
ANGLO AMERICAN CAPITAL PLC SENIOR CORP BND 144A
 
 
 
 
4,989,050

5,093,478.4

5,000,000.00

4,994,335.72

99,142.68

1,616.11

 
—

 
 
 
          64,895.83
98,437.5

 
 
034863AM2
ANGLO AMERICAN CAPITAL PLC SENIOR CORP BND 144A
 
 
 
 
1,743,367.5

1,757,996.71

1,750,000.00

1,743,748.53

14,248.18

381.03

 
—

 
 
 
          33,286.46
33,286.46

 
 
035242AC0
ANHEUSER-BUSCH INBEV FINANCE I SENIOR CORP BND
 
 
 
 
2,180,675.1

2,167,067.28

2,210,000.00

2,183,819.87

(16,752.59
)
3,144.77

 
—

 
 
 
             5,678.46
11,074.64

 
 
035242AE6
ANHEUSER-BUSCH INBEV FINANCE I SENIOR CORP BND
 
 
 
 
11,628,929.04

11,589,463.14

11,652,000.00

11,631,916.14

(42,453
)
4,687.97

 
—

 
 
 
           41,753.00
266,485.79

 
 
037833AG5
APPLE INC SENIOR CORP BND
 
 
 
 
15,260,000

15,282,126.54

15,260,000.00

15,260,000

22,126.54

—

 
—

 
 
 
             12,232.11
55,949.72

 
 
037833AJ9
APPLE INC CORP BND
 
 
 
 
14,864,945.2

14,552,496.83

14,920,000.00

14,880,178.48

(327,681.65
)
10,328.10

 
—

 
 
 
           61,337.77
142,733.33

 
 
039483AY8
ARCHER-DANIELS-MIDLAND COMPANY CORP BND
 
 
 
 
2,747,631.25

2,545,440.9

2,275,000.00

2,578,330.48

(32,889.58
)
(63,444.09
)
 
—

 
 
 
              5,510.56
92,990.63

 
 
045167CH4
ASIAN DEVELOPMENT BANK SENIOR CORP BND MTN
 
 
 
 
750,000

749,804.99

750,000.00

750,000

(195.01
)
—

 
—

 
 
 
                        6.31
998.88

 
 
045167CQ4
ASIAN DEVELOPMENT BANK SENIOR CORP BND MTN
 
 
 
 
702,479.78

701,931.44

703,000.00

702,509.43

(577.99
)
29.65

 
—

 
 
 
                 732.29
732.29

 
 
055451AP3
BHP BILLITON FINANCE LTD SENIOR CORP BND
 
 
 
 
6,706,708

6,799,039.56

6,725,000.00

6,716,041.8

82,997.76

2,730.27

 
—

 
 
 
             11,231.69
81,960.95

 
 
059513AE1
BACM CMBS 07-4 A4
 
 
 
 
7,374,407.96

7,232,684.85

6,586,184.81

7,251,343.21

(18,658.36
)
(135,167.50
)
 
—

 
 
 
          32,647.28
171,448.06

 
 
059513AF8
BACM_07-4 A1A SENIOR CMBS 07-4 A1A
 
 
 
 
2,955,224.74

2,919,158.12

2,654,890.29

2,931,885.96

(12,727.84
)
(23,855.73
)
 
—

 
 
 
           12,774.45
29,825.47

 
 
060505EG5
BANK OF AMERICA CORP SUB CORP BND
 
 
 
 
4,862,500

4,843,750

5,000,000.00

4,862,846.42

(19,096.42
)
346.42

 
—

 
 
 
           75,451.39
40,572.92

 
 
060505EH3
BANK OF AMERICA CORP CAPSEC CORP BND
 
 
 
 
2,685,000

2,658,150

2,685,000.00

2,685,000

(26,850
)
—

 
—

 
 
 
             12,119.79
12,119.79

 
 
063679ZT4
BANK OF MONTREAL CORP BND 144A
 
 
 
 
3,271,560

3,316,039.94

3,250,000.00

3,272,580.61

43,459.33

(414.12
)
 
—

 
 
 
           10,738.55
34,108.75

 
 
064159AM8
BANK OF NOVA SCOTIA TORONTO BR CORP BND
 
 
 
 
1,497,000

1,545,137.79

1,500,000.00

1,498,584.54

46,553.25

448.28

 
—

 
 
 
             8,393.75
28,687.5

 
 




064159BW5
BANK OF NOVA SCOTIA TORONTO BR SENIOR CORP BND
 
 
 
 
6,000,000

6,020,459.76

6,000,000.00

6,000,000

20,459.76

—

 
—

 
 
 
               1,681.60
28,887.13

 
 
064159BZ8
BANK OF NOVA SCOTIA TORONTO BR SENIOR CORP BND
 
 
 
 
3,949,040

3,939,494.32

4,000,000.00

3,949,234.47

(9,740.15
)
194.47

 
—

 
 
 
           25,133.33
805.55

 
 
064159DA1
BANK OF NOVA SCOTIA TORONTO BR SENIOR CORP BND
 
 
 
 
3,498,985

3,500,234.19

3,500,000.00

3,499,252.68

981.51

381.22

 
—

 
 
 
            11,550.00
44,152.78

 
 
071813BH1
BAXTER INTERNATIONAL INC. SENIOR CORP BND
 
 
 
 
499,135

500,603.49

500,000.00

499,472.64

1,130.85

233.92

 
—

 
 
 
              1,583.33
3,562.5

 
 
071813BJ7
BAXTER INTERNATIONAL INC. SENIOR CORP BND
 
 
 
 
1,999,800

1,987,865.44

2,000,000.00

1,999,851.83

(11,986.39
)
28.74

 
—

 
 
 
           10,894.44
27,750

 
 
073928S46
BEAR STEARNS CO INC CORP BND MTN
 
 
 
 
3,683,076.6

3,730,820.72

3,730,000.00

3,703,800.23

27,020.49

9,021.02

 
—

 
 
 
             2,652.49
17,608.13

 
 
075887BB4
BECTON DICKINSON CORP BND
 
 
 
 
1,249,587.5

1,268,754.58

1,250,000.00

1,249,822.11

18,932.47

61.68

 
—

 
 
 
             8,689.24
16,406.25

 
 
097023BE4
BOEING CO SENIOR CORP BND
 
 
 
 
1,483,485

1,455,454.56

1,500,000.00

1,488,018.9

(32,564.34
)
2,411.12

 
—

 
 
 
             5,383.33
10,687.5

 
 
12618SAC1
CNH_13-D ABS 13-D A3
 
 
 
 
749,969.55

749,062.5

750,000.00

749,976.04

(913.54
)
5.77

 
—

 
 
 
                 256.67
4,331.25

 
 
3138E9KT6
FNMA POOL # AK4805
 
 
 
 
93,642.66

92,545.21

89,771.27

93,221.3

(676.09
)
(1,515.01
)
 
—

 
 
 
                 224.43
2,340.77

 
 
3138E9L40
FNMA POOL # AK4846
 
 
 
 
2,240,069.78

2,213,817.33

2,147,460.54

2,230,101.31

(16,283.98
)
(16,474.30
)
 
—

 
 
 
             5,368.65
51,722.85

 
 
BRSFEV6K3
FLY FUNDING II SARL SENIOR SECURED TERM NOTES
 
 
 
 
2,006,595.93

2,015,648.25

2,011,625.00

2,007,261.98

8,386.27

861.98

 
—

 
 
 
0
56,573.68

 
 
BRSH2DJN2
WINDSTREAM CORP SENIOR SECURED TERM LOAN
 
 
 
 
2,682,225

2,655,402.75

2,682,225.00

2,682,225

(26,822.25
)
—

 
—

 
 
 
0
80,022

 
 
BRSHC8K00
VIRGIN MEDIA INV SENIOR SECURED TERM NOTES
 
 
 
 
5,318,750

5,188,808.8

5,320,000.00

5,318,939.34

(130,130.54
)
686.95

 
—

 
 
 
0
154,963.5

 
 
BRSHLJUD7
AI CHEM & CY SCA SENIOR SECURED TERM NOTES
 
 
 
 
668,605.08

669,868.39

671,964.92

669,367.59

500.8

574.14

 
—

 
 
 
0
23,638.87

 
 
BRSJRLR20
DRILLSHIPS FINANCING HOLDING I SENIOR SECURED TERM LOAN
 
 
 
 
2,060,095.48

1,960,660.18

2,039,698.50

2,055,084.2

(94,424.02
)
(5,114.30
)
 
—

 
 
 
0
45,021.86

 
 
BRSLJ8BU8
ENDO LUXEMBOURG FINANCE I COMP SENIOR SECURED TERM NOTES
 
 
 
 
143,553.62

142,832.25

144,275.00

143,609.7

(777.45
)
59.70

 
—

 
 
 
0
2,714.73

 
 
BRSLM7KD4
CROWN CASTLE OPERATING CO SENIOR SECURED TERM NOTES
 
 
 
 
3,207,500.19

3,201,385.02

3,237,581.18

3,210,349.06

(8,964.04
)
4,310.25

 
—

 
 
 
0
123,284.22

 
 
BRSLNXDD4
INFOR US INC SENIOR SECURED TERM NOTES
 
 
 
 
3,161,201.8

3,112,695.95

3,179,253.63

3,161,469.08

(48,773.13
)
297.86

 
—

 
 
 
0
22,054.51

 
 
BRSM4TPX5
ZIGGO BV SENIOR SECURED TERM NOTES
 
 
 
 
3,697,361.7

3,599,656.85

3,697,872.34

3,697,364.55

(97,707.7
)
2.85

 
—

 
 
 
0
8,734.04

 
 
BRSM4TRW5
ZIGGO BV SENIOR SECURED TERM NOTES
 
 
 
 
2,191,489.36

2,319,686.81

2,382,978.73

2,200,987.14

118,699.67

9,497.78

 
—

 
 
 
0
5,478.72

 
 
BRSM7G8J0
ALLIED SECURITY HOLDINGS LLC SENIOR SECURED TERM NOTES
 
 
 
 
1,883,327.47

1,866,765.55

1,892,791.43

1,884,116.18

(17,350.63
)
833.95

 
—

 
 
 
0
50,699.39

 
 
BRSM7GLZ9
STS OPERATING SENIOR SECURED TERM NOTES
 
 
 
 
802,570.76

803,579.02

806,603.78

802,903.96

675.06

343.31

 
—

 
 
 
0
17,072.57

 
 
BRSMDHA33
MALLINCKRODT INTERNATIONAL FIN SENIOR SECURED TERM NOTES
 
 
 
 
777,424.96

768,902.5

779,373.38

777,564.25

(8,661.75
)
149.09

 
—

 
 
 
0
13,766.2

 
 
BRSMDLA59
STENA INTERNATIONAL SARL SENIOR SECURED TERM NOTE
 
 
 
 
1,844,772.59

1,821,480.01

1,863,406.66

1,846,189.79

(24,709.78
)
1,510.84

 
—

 
 
 
0
40,112.64

 
 
BRSMDQNY1
ACCELLENT INC SECURED TERM LOAN
 
 
 
 
3,858,583.25

3,796,845.92

3,858,583.25

3,858,583.25

(61,737.33
)
—

 
—

 
 
 
0
68,766.14

 
 
BRSMUD4Q9
BAUER PERFORMANCE SPORTS LTD SENIOR SECURED TERM NOTES
 
 
 
 
663,093.69

660,597.93

666,425.82

663,297.54

(2,699.61
)
1,409.24

 
—

 
 
 
0
11,447.97

 
 




BRSMUD9X9
AVAGO TECHNOLOGIES FIN SENIOR SECURED TERM LOAN
 
 
 
 
3,987,500

3,959,077.5

3,990,000.00

3,987,542.79

(28,465.29
)
122.08

 
—

 
 
 
0
19,969.83

 
 
BRSP0NVA8
DRILLSHIPS OCEAN VENTURES INC SENIOR SECURED TERM NOTES
 
 
 
 
2,193,905.82

2,155,124.65

2,216,066.48

2,194,390.86

(39,266.21
)
485.04

 
—

 
 
 
0
—

 
 
BRSP9DPN0
DELTA 2 (LUX) SARL SENIOR SECURED TERM NOTES
 
 
 
 
3,530,276.1

3,509,573.42

3,548,016.18

3,531,874.89

(22,301.47
)
200.72

 
—

 
 
 
0
—

 
 
BRSPDEXA2
TEREX CORP SENIOR SECURED TERM NOTES
 
 
 
 
806,060.61

807,474.75

808,080.81

806,075.82

1,398.93

15.21

 
—

 
 
 
0
1,414.14

 
 
BRSPWNPV4
RANPAK CORP SENIOR SECURED TERM NOTES
 
 
 
 
171,612.9

171,899.35

172,043.01

171,612.9

286.45

—

 
—

 
 
 
0
—

 
 
161571FW9
CHAIT_13-A3 ABS 13-A3
 
 
2
 
3,405,000

3,397,739.65

3,405,000.00

3,405,000

(7,260.35
)
—

—

—

0.434

0.434

MON
                  656.18
11,221.43

4,122,013

4152020
254683BB0
DCENT_13 ABS 13
 
 
2
 
8,500,000

8,511,541.3

8,500,000.00

8,500,000

11,541.3

—

—

—

0.454

0.454

MON
               1,713.60
29,305.43

2,062,013

8172020
TOTAL
 
 
 
 
 
 
4,670,173,360.91



4,668,584,909.16

1,588,451.75

 
 
 
 
 
 
 
 
 
 

 




Validus Holdings, Ltd. September 30, 2014 GAAP short-term investments portfolio in Schedule D format
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
1
2
3
4
5
6
7
 CHANGE IN BOOK/ADJUSTED CARRYING VALUE
12
13
INTEREST
 
 
 
 
 
 
 
8
9
10
11
 
 
14
15
16
17
18
19
20
 
 
 
DATE
 
 
 GAAP
 
 CURRENT YEAR
 
 TOTAL FX CHG
PAR
ACTUAL
 ACCRUED
 NON-ADMITTED ACCRUED
 INTEREST
 EFFECTIVE RATE
 HOW
 GROSS REC'D
PAID FOR
DESCRIPTION
*
CUSIP
ACQUIRED
NAME OF VENDOR
 MATURITY DATE
 BOOK VALUE
 UGL
 AMORTIZATION
 IMPAIRMENTS
 IN B/A. C.V.
VALUE
COST
 INTEREST
 INTEREST
 RATE
 OF INTEREST
 PAID
 DURING YEAR
ACCRUED INT
UNITED STATES TREASURY TBILL CASH
 
912796EK1
6232014
DEUTSCHE BANK AG
12182014
2,499,788.73

—

300.06

—

—

2,500,000.00

2,499,517.92

—

—

0.039

0.04

MAT
—

—

UNITED STATES TREASURY GOVT BND
 
912828VD9
 
DEUTSCHE BANK AG
05312015
4,505,208.39

416.61

(599.95
)
—

—

4,500,000.00

4,505,808.34

3,780.74

—

0.25

0.11

FA
860.66

—

UNITED STATES TREASURY GOVT BND
 
912828TK6
 
DEUTSCHE BANK AG
08152015
4,775,834.42

128.08

(508.75
)
—

—

4,770,000.00

4,776,343.17

1,523.03

—

0.25

0.076

MN
907.34

—

DREYFUS UNIVERSAL LIQ PLUS # 9
 
BRS66C5N9
Multi
DIRECT
 
46,793,919.83

—

—

—

—

46,793,919.83

46,793,919.83

—

—

—

—

MAT
—

—

UNITED KINGDOM GILT GOVT BND
 
G924507Q5
Multi
MERRILL LYNCH PIERCE FNNR & SM
10/4/5245
1,309,329.96

(299.41
)
(7,402.48
)
—

(19,100.95
)
790,000.00

1,311,638.45

6,795.07

—

2.75

0.325

JJ
8,369.21

—

CDN S/T INVT BLENDED ACCT
 
993252329
Multi
DIRECT
 
2,734,709.77

—

—

—

—

2,734,709.77

2,734,709.77

—

—

 
1.026

 
430.53

—

CITI-INSTITUTION LIQ FUND USD
 
B0A0ATCJ9
Multi
 
 
17,592,282.64

—

—

 
—

17,592,282.64

17,592,282.64

—

 
 
 
 
4,734.54

 
DREYFUS UNIVERSAL USD LIQ FD
 
DRFUNI$20
Multi
 
 
154,615,709.04

—

—

 
—

154,615,709.04

154,615,709.04

—

 
 
 
 
13.01

 
BONY CASH RESERVE
 
S875996$0
Multi
 
 
710,629,372.74

—

—

 
—

710,629,372.74

710,629,372.74

—

 
 
 
 
—

 
ML INST LIQ FUND - AGENCY
 
BRS263RF1
Multi
 
 
579,066.04

—

0.03

 
3,453.94

359,325.16

579,066.04

—

 
 
 
 
17,862.68

 
DREYFUS INSTL RES MONEY #6542
 
BRS7B4Y98
Multi
 
 
3,548,292.62

—

—

 
—

3,548,292.62

3,548,292.62

—

 
 
 
 
10.88

 
GOLDMAN SACHS
 
GLDSCS$03
Multi
 
 
36,801,615.57

—

—

 
—

36,801,615.57

36,801,615.57

—

 
 
 
 
1,250.08

 
WESTERN AST INS CSH RES
 
52470G205
Multi
 
 
3,579,195.11

—

—

 
—

3,579,195.11

3,579,195.11

—

 
 
 
 
705.03

 
DREYFUS TREASURY PRIME CASH MANAGEMENT
 
261941108
Multi
 
 
695,032,664

—

—

 
—

695,032,664.00

695,032,664

—

 
 
 
 
—

—

 
 
 
 
 
 
1,684,996,988.86

245.28

(8,211.09
)
—

(15,647.01
)
1,684,247,086.48

1,685,000,135.24

12,098.84

 
 
 
 
 
 






Validus Holdings, Ltd. September 30, 2014 GAAP other investments portfolio in Schedule D format
 
 
 
 
 
 
 
 
 
 
 
 
 
 
1
2
3
4
5
6
7
8
9
10
11
12
13
14
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
FOREIGN
DATE
 ACTUAL
 GAAP FAIR
 GAAP
 
 
 
 CAP
 FX
INVESTMENT
ADDITIONAL
DESCRIPTION
*
CODE
ACQUIRED
 COST
 MARKET VALUE
 BOOK VALUE
 UGL
 AMORTIZATION
 IMPAIRMENTS
 INTEREST
 UGL
INCOME
INCOME
AIG SELECT HEDGE LTD
 
 
9/4/2009
1,880,974.61

2,043,260.79

1,880,974.61

162,286.18

—

—

—

—

—

—

AIG SELECT HEDGE LTD
 
 
9/4/2009
17.30

17.36

17.30

0.06

—

—

—

—

—

—

SVG DIAMOND HOLDINGS II LTD
 
 
11/30/2012
3,765,757.24

4,594,124.44

3,765,757.24

936,510.39

—

—

—

(108,143.19
)
—

—

PORT ADVISORS PRIVATE EQUITY I
 
 
11/30/2012
3,952,440.49

5,959,961

3,952,440.49

2,007,520.51

—

—

—

—

—

—

GOLDENTREE DISTRESSED DEBT FUN
 
 
11/30/2012
11,671,730.99

17,436,020.51

11,671,730.99

5,764,289.52

—

—

—

—

—

—

LEAPFROG INVESTMENTS FINANCIAL
 
 
11/30/2012
2,904,956.65

3,792,937.01

2,904,956.65

887,980.36

—

—

—

—

—

—

BUFFETS INC
 
 
7/18/2012
920,570.56

0.07

920,570.56

(920,570.49
)
—

—

—

—

—

—

GUGGENHEIM PARTNERS FUND LTD
 
 
6/1/2014
102,879,480.48

102,879,480

102,879,480.48

(0.48
)
—

—

—

—

—

—

PAULSON PARTNERS ENHANCED LP
 
 
4/1/2012
147,347,129.47

209,897,483.3

147,347,129.47

62,550,353.83

—

—

—

—

—

—

PAULSON PARTNERS ADVANTAGE PLUS LP
 
 
4/1/2012
112,969,536.87

100,542,319.4

112,969,536.87

(12,427,217.47
)
—

—

—

—

—

—

PAULSON PARTNERS GOLD FUND LP
 
 
4/1/2012
125,000,000

33,774,985.9

125,000,000

(91,225,014.1
)
—

—

—

—

—

—

PAULSON PARTNERS CREDIT OPPORTUNITIES LP
 
 
6/1/2012
148,383,375.75

181,680,589.6

148,383,375.75

33,297,213.85

—

—

—

—

—

—

GAIA PAULSON MERGER ARBITRAGE - SCHRODERS
 
 
7/1/2014
25,000,000

24,510,000

25,000,000

(490,000
)
 
 
 
 
 
 
LLOYD'S CANADIAN BLENDED ACCOUNT
 
 
10/1/2013
20,960,658.18

21,310,378.29

20,960,658.18

349,720.11

—

—

—

—

—

—

BRIDGE GROWTH PARTNERS (PARALLEL), LP
 
 
7/15/2014
410,000

410,000

410,000

—

 
 
 
 
 
 
PUBLIC PENSION CAPITAL, LLC
 
 
7/21/2014
262,162.73

262,162.73

262,162.73

 
 
 
 
 
 
 
GUARDIAN GROWTH EQUITY
 
 
9/4/2009
6,182,501.52

9,505,457.48

6,182,501.52

3,322,955.96

—

—

—

—

—

—

MFS MERIDIAN MID CAP GROWTH FUND
 
 
9/4/2009
17,203.14

34,306.14

17,203.14

17,103

—

—

—

—

—

—

Totals
 
 
 
714,508,495.98

718,633,484.02

714,508,495.98

4,233,131.23