EX-99.1 2 a20141231scheduledexh991.htm EXHIBIT 99.1 2014.12.31 Schedule D Exh 99.1


Validus Holdings, Ltd. December 31, 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
88579YAD3
3M CO CORP BND
 
 
 
 
5,032,167

5,116,785.72

5,075,000.00

5,059,718.59

57,067.13

8,599.05

—

—

1.375

1.5511

Mar-Sep
             17,832.99
69,781.26

9262011
9292016
03763KAB2
AASET_14-1 ABS_14-1 A
 
 
2
 
3,000,000

2,992,500

3,000,000.00

3,000,000

(7,500
)
—

—

—

5.125

5.1790

Monthly
0
—

11212014
12152029
BRSLX0WL6
ABBEY NATIONAL TREASURY SERVIC SECURED LOCAL BND EMTN
 
D
 
 
1,455,929.03

1,390,540.12

890,000.00

1,456,603.98

(66,063.86
)
834.03

—

(70,282.94
)
0.85563

0.9056

J-A-J-O
0
14,541.68

1132014
1202017
00287YAJ8
ABBVIE INC SENIOR CORP BND
 
 
 
 
3,992,851.97

3,996,868.89

4,000,000.00

3,995,172.89

1,696

1,639.40

—

—

1.75

1.7937

May-Nov
             10,694.45
70,000

8092013
11062017
00084DAH3
ABN AMRO BANK NV SENIOR CORP BND 144A
 
F
 
 
5,000,000

5,035,699.45

5,000,000.00

5,000,000

35,699.45

—

—

—

1.0331

1.0331

J-A-J-O
              9,085.56
52,348.18

10232013
10282016
BRSMDQNY1
ACCELLENT INC
 
 
 
 
3,858,583.25

3,784,614.21

3,858,583.25

3,858,583.25

(73,969.04
)
—

—

—

—

—

M-J-S-D
0
112,680.55

 
 
00432CCM1
ACCESS GROUP INC ACCSS_05-2 ABS 05-2
 
 
2
 
1,506,034.45

1,537,290.36

1,546,633.58

1,522,744.98

14,545.38

16,614.14

—

—

0.4129

1.2884

F-M-A-N
                  909.89
7,396.52

8082012
11222024
00507UAD3
ACTAVIS FUNDING SCS SENIOR CORP BND
 
F
 
 
9,707,707.38

9,571,033.9

9,715,000.00

9,708,009.85

(136,975.95
)
448.03

—

—

2.45

2.4679

Jun-Dec
0
40,072.45

11132014
6152019
942683AG8
ACTAVIS INC SENIOR CORP BND
 
 
 
 
248,442.5

248,647.16

250,000.00

248,571.67

75.49

129.17

—

—

1.875

2.0901

Apr-Oct
0
1,171.88

9272012
10012017
BRSM9GPX8
ADS WASTE HOLDINGS INC SENIOR SECURED TERM NOTE
 
 
2
 
8,740,117.25

8,510,689.17

8,740,117.25

8,740,117.25

(229,428.08
)
—

—

—

—

—

F-M-A-N
0
253,785.56

4012014
10092019
00101JAE6
ADT CORP SENIOR CORP BND
 
 
 
 
3,984,328.45

3,870,000

4,000,000.00

3,985,249.7

(115,249.7
)
1,231.09

—

—

2.25

2.2358

Jan-Jul
            56,025.00
84,075

4302013
7152017
BRSP16455
ADVANTAGE SALES & MARKETING IN
 
 
 
 
40,493.64

40,214.9

40,544.32

40,495.47

(280.57
)
1.83

—

—

—

0.0181

M-J-S-D
0
328.87

 
 
BRSHXEJA4
AFFINIA GROUP SENIOR SECURED TERM LOAN
 
 
2
 
397,468.88

394,734.85

397,966.34

397,563.39

(2,828.54
)
1,043.42

—

—

—

0.0188

M-J-S-D
0
43,638.96

6052013
4272020
02640FAG3
AGFMT_10-1 WHOLE CMO 10-1 144A
 
 
2
 
4,129,125

4,105,292.1

3,900,000.00

4,097,472.97

7,819.13

(31,652.03
)
—

—

5.65

1.4342

Monthly
0
43,457.92

10152014
3252058
00432CAZ4
AGSL_03-1 ABS 03-1-2003-1
 
 
2
 
360,500

390,711.6

400,000.00

374,984.95

15,726.65

5,901.04

—

—

1.6518857

2.6374

Monthly
                  565.75
4,562.32

3292010
12262035
00432CBB6
AGSL_03-1 ABS_03-1-2003-1
 
 
2
 
311,937.5

344,629.6

350,000.00

323,577.87

21,051.73

4,738.42

—

—

1.621

2.5700

Monthly
                   303.71
4,314.78

3292010
12262035
00432CBP5
AGSL_03-1 ABS_04-1-2004-1
 
 
2
 
435,625

491,727

500,000.00

454,823.29

36,903.71

7,562.01

—

—

1.5947893

2.7128

Monthly
                  694.79
6,811.18

3292010
12272032
02665VAA1
AH4R_14-SFR1 SENIOR CMBS _14-SFR1-A 144A
 
 
2
 
1,580,763.08

1,560,050.35

1,580,763.08

1,580,763.08

(20,712.73
)
—

—

—

1.25

1.2533

Monthly
0
12,427.21

5132014
6172031
BRSHLJUD7
AI CHEM & CY SCA
 
 
 
 
340,171.44

338,745.8

341,880.85

340,625.77

(1,879.97
)
700.93

—

—

—

0.0763

J-A-J-O
0
28,204.1

 
 
L0001UAC3
AI CHEM & CY US ACQUICO INC SENIOR SECURED TERM NOTES
 
E
2
 
176,498.59

175,758.89

177,385.52

176,734.32

(975.43
)
363.69

—

—

—

0.0763

M-J-S-D
0
14,633.78

3122013
10032019
903724AK8
AID-UKRAINE AGENCY BND
 
F
 
 
4,285,000

4,317,137.5

4,285,000.00

4,285,000

32,137.5

—

—

—

1.844

1.8440

May-Nov
0
49,384.63

5142014
5162019
009158AQ9
AIR PRODUCTS AND CHEMICALS INC
 
 
 
 
1,544,936.3

1,511,540.72

1,490,000.00

1,515,932.37

(4,391.65
)
(16,155.28
)
—

—

2

0.8929

Feb-Aug
             12,333.89
29,800

 
 
009349AF8
AIRCRAFT LEASE SECURITISATION
 
 
 
 
684,572.07

697,873.33

709,401.10

698,108.18

(234.85
)
25,302.37

—

—

0.417

3.5640

Monthly
                  354.68
3,926.44

 
 
BRSR05RF7
AIRXCEL, INC. REVOLVE LOAN
 
 
 
 
6,796,875

6,762,890.63

6,796,875.00

6,796,875

(33,984.37
)
—

—

—

—

—

May-Nov
0
88,876.95

11192014
11182019
010392FH6
ALABAMA POWER COMPANY
 
 
 
 
3,345,913

3,348,693.5

3,350,000.00

3,348,921.82

(228.32
)
3,290.22

—

—

0.55

0.5911

Apr-Oct
              9,666.25
44,466.74

 
 
010606AM3
ALABAMA ST PUB HEALTH CARE AUT
 
 
 
 
1,520,981.2

1,509,836.8

1,480,000.00

1,509,573.39

263.41

(11,407.81
)
—

—

4

0.9670

Mar-Sep
0
14,800

 
 
010606AP6
ALABAMA ST PUB HEALTH CARE AUT
 
 
 
 
1,715,752.75

1,704,764.75

1,675,000.00

1,704,424.63

340.12

(11,328.12
)
—

—

4.125

1.4505

Mar-Sep
0
17,273.44

 
 
BRSCE52V7
ALERE INC SENIOR SECURED TERM LOAN
 
 
 
 
6,171,224.93

6,170,789

6,210,911.49

6,188,545.81

(17,756.81
)
7,217.76

—

—

—

0.1425

M-J-S-D
0
238,935.43

7012014
6302017
01609WAB8
ALIBABA GROUP HOLDING LTD SENIOR CORP BND 144A
 
F
1
 
4,983,640

4,923,465.35

5,000,000.00

4,983,929.95

(60,464.6
)
324.11

—

—

2.5

2.5702

May-Nov
0
12,650

11212014
11282019
018490AP7
ALLERGAN INC/UNITED STATES
 
 
 
 
2,912,580

2,905,208.82

3,000,000.00

2,918,861.13

(13,652.31
)
6,674.49

—

—

1.35

2.2301

Mar-Sep
              6,757.50
23,385

 
 
BRSJKR5A0
ALLFLEX HOLDINGS SENIOR SECURED TERM LOAN
 
R
 
 
1,379,709.29

1,363,477.5

1,386,000.00

1,380,460.26

(16,982.76
)
782.75

—

—

—

0.0712

M-J-S-D
0
44,873.32

4012014
7172020
BRSHFDW29
ALLIANCE LAUNDRY SYST LLC SENIOR SECURED TERM NOTES
 
 
2
 
395,507.94

394,040.4

397,184.11

395,876.89

(1,836.49
)
654.99

—

—

—

0.0825

M-J-S-D
0
31,277.5

11202013
12102018
BRSM7G8J0
ALLIED SECURITY HOLDINGS LLC SENIOR SECURED TERM NOTES
 
 
 
 
1,878,825.55

1,860,537.69

1,888,266.89

1,879,953.93

(19,416.24
)
1,196.24

—

—

—

0.0711

M-J-S-D
0
64,330.12

2122014
2122021
BRSKDJZL6
ALLISON TRANSMISSION INC SENIOR SECURED TERM NOTES
 
 
 
 
1,471,078.69

1,459,516.41

1,472,667.33

1,471,416.49

(11,900.08
)
3,430.44

—

—

—

0.0180

M-J-S-D
0
145,329.22

9302013
8232019
02005TAD9
ALLYA _11-1 ABS_11-1 A4
 
 
2
 
416,043.09

416,355.31

416,080.70

416,037.04

318.27

201.48

—

—

2.23

2.2418

Monthly
               4,459.19
50,712.05

2042011
3152016
02006VAC5
ALLYA _14-3 SENIOR ABS _14-3-A3
 
 
2
 
4,584,215.05

4,575,637.43

4,585,000.00

4,584,231.22

(8,593.79
)
16.17

—

—

1.28

1.2931

Monthly
0
2,282.31

12102014
6172019
02005YAE6
ALLYA_12-1 ABS_12-1 A3
 
 
2
 
20,570.09

20,464.11

20,459.00

20,467.89

(3.78
)
(1,699.50
)
—

—

0.93

0.4966

Monthly
                  296.59
3,155.39

2222013
2162016
02005EAC4
ALLYA_12-3 ABS 12-3
 
 
2
 
887,263.01

888,154.84

887,294.16

887,282.77

872.07

51.50

—

—

0.85

0.8524

Monthly
                1,133.33
16,126.71

5222012
8152016
02006MAC5
ALLYA_13-2 ABS 13-2 A3
 
 
2
 
984,961.19

985,064.85

985,000.00

984,975.68

89.17

13.20

—

—

0.79

0.7926

Monthly
                  345.85
7,781.52

10232013
1152018
02006WAC3
ALLYA_14_2 ABS_14_2-A3
 
 
2
 
7,498,624.5

7,503,759.38

7,500,000.00

7,498,761.78

4,997.6

137.28

—

—

1.25

1.2604

Monthly
0
25,260.42

9172014
4152019
00164BAG2
ALM_7R-2 MEZZANIN ABS 7R-2 144A
 
F
2
 
952,000

965,000

1,000,000.00

953,349.62

11,650.38

1,349.62

—

—

3.6828

4.6158

J-A-J-O
0
7,365.58

10162014
4242024
BRSJ9AL38
ALPHA NATURAL RESOURCES INC SENIOR SECURED TERM LOAN
 
 
2
 
2,424,417

2,058,927

2,436,600.00

2,427,210.59

(368,283.59
)
1,850.70

—

—

—

0.0706

M-J-S-D
0
91,306.87

5202013
5222020
021441AD2
ALTERA CORPORATION
 
 
 
 
1,397,858

1,403,907.16

1,400,000.00

1,398,966.01

4,941.15

758.87

—

—

1.75

1.7820

May-Nov
              6,540.62
43,996.7

 
 
02209SAT0
ALTRIA GROUP INC SENIOR CORP BND
 
 
1
 
4,246,557.5

4,247,582.09

4,250,000.00

4,246,570.98

1,011.11

13.48

—

—

2.625

2.6411

Jan-Jul
0
14,565.09

11102014
1142020
023135AK2
AMAZON.COM INC
 
 
 
 
3,041,704

3,047,285.5

3,050,000.00

3,047,478.33

(192.83
)
2,772.41

—

—

0.65

0.7420

May-Nov
               1,872.36
19,825

 
 
BRSJ1HUF4
AMC ENTERTAINMENT INC. SENIOR SECURED TERM LOAN
 
 
2
 
3,773,168.42

3,730,613.91

3,782,625.00

3,775,397.7

(44,783.79
)
1,441.38

—

—

—

0.0354

M-J-S-D
0
135,081.25

4232013
4302020
03065EAD7
AMCAR_13-5 BAS_13-5 A3
 
 
2
 
439,939.85

439,466.58

440,000.00

439,965.91

(499.33
)
23.96

—

—

0.9

0.9070

Monthly
                  242.00
3,971

11052013
9102018
03062AAD8
AMCAR_14-3 ABS _14-3-A3
 
 
2
 
869,975.81

866,334.46

870,000.00

869,976.73

(3,642.27
)
0.92

—

—

1.15

1.1530

Monthly
0
3,446.17

8202014
6102019
BRSJQMFE6
AMERICAN AIRLINES GROUP INC SENIOR SECURED TERM LOAN
 
 
 
 
3,203,415.04

3,191,286.49

3,219,456.74

3,206,913.49

(15,627
)
5,829.14

—

—

—

0.0858

M-J-S-D
0
231,132.14

9302013
6272019
025537AF8
AMERICAN ELECTRIC POWER COMPAN
 
 
 
 
499,995

497,020.72

500,000.00

499,999.19

(2,978.47
)
4.19

—

—

1.65

1.6501

Jun-Dec
0
2,062.5

 
 
BRSNZFZ18
AMERICAN ENERGY MARCELLUS LLC SENIOR SECURED TERM NOTES
 
 
1
 
217,486.33

193,077.59

218,579.23

217,554.41

(24,476.82
)
68.08

—

—

—

0.0829

M-J-S-D
0
2,486.33

7092014
8042020
025816BJ7
AMERICAN EXPRESS COMPANY
 
 
 
 
15,463,750

15,568,870

15,430,000.00

15,463,250.43

105,619.57

(499.57
)
—

—

5.2

5.1962

May-Nov
0
104,567.66

 
 
02582JGW4
AMERICAN EXPRESS CREDIT ACCOUN ABS 14-4 A
 
 
2
 
3,864,693.12

3,853,904.13

3,865,000.00

3,864,703.74

(10,799.61
)
10.62

—

—

1.43

1.4370

Monthly
0
6,448.11

11122014
6152020
0258M0DK2
AMERICAN EXPRESS CREDIT CORPOR SENIOR CORP BND
 
 
 
 
995,980

996,744.23

1,000,000.00

996,202.86

541.37

635.95

—

—

2.125

2.2199

Mar-Sep
0
28,305

3132014
3182019
0258M0DR7
AMERICAN EXPRESS CREDIT CORPOR SENIOR CORP BND
 
 
 
 
3,465,350.2

3,467,273.16

3,470,000.00

3,465,770

1,503.16

419.80

—

—

1.55

1.5960

Mar-Sep
0
14,641.47

9182014
9222017
0258M0DD8
AMERICAN EXPRESS CREDIT CORPOR SENIOR CORP BND MTN
 
 
 
 
1,027,420

1,020,678.56

1,000,000.00

1,024,619.63

(3,941.07
)
(2,800.37
)
—

—

2.375

1.2501

Mar-Sep
0
5,937.5

3212012
3242017
0258M0DP1
AMERICAN EXPRESS CREDIT CORPOR SENIOR CORP BND MTN
 
 
 
 
992,210

997,547.07

1,000,000.00

992,600.26

4,946.81

390.26

—

—

2.25

2.4201

Feb-Aug
0
5,625

8122014
8152019
02665WAH4
AMERICAN HONDA FINANCE CORPORA CORP BND MTN
 
 
 
 
4,990,750

5,009,585.2

5,000,000.00

4,991,202.96

18,382.24

452.96

—

—

2.25

2.2903

Feb-Aug
0
28,125

9092014
8152019
02666QM26
AMERICAN HONDA FINANCE CORPORA SENIOR CORP BND 144A
 
 
 
 
1,992,800

1,991,145.32

2,000,000.00

1,993,332.61

(2,187.29
)
532.61

—

—

1.6

1.7099

Feb-Aug
0
8,000

2122013
2162018
02666QM59
AMERICAN HONDA FINANCE CORPORA SENIOR CORP BND 144A
 
 
 
 
5,000,000

5,009,450.15

5,000,000.00

5,000,000

9,450.15

—

—

—

0.60935

0.6094

F-M-A-N
              3,058.00
30,823.2

5222013
5262016
03027XAC4
AMERICAN TOWER CORPORATION SENIOR CORP BND
 
 
 
 
510,810

508,350.72

500,000.00

510,227.57

(1,876.85
)
(582.43
)
—

—

3.4

2.8701

Feb-Aug
0
4,250

8142013
2152019
03064JAC9
AMERICREDIT AUTOMOBILE RECEIVA ABS 13-2
 
 
2
 
644,871.19

644,851.65

645,000.00

644,964.42

(112.77
)
56.49

—

—

0.65

0.6594

Monthly
                  267.85
4,192.56

4032013
12082017
031162BU3
AMGEN INC
 
 
 
 
1,988,620

1,984,556.58

2,000,000.00

1,989,041.13

(4,484.55
)
421.13

—

—

2.2

2.3321

May-Nov
0
7,455.56

 
 
031162BF6
AMGEN INC
 
 
 
 
5,114,950

5,074,895.1

5,000,000.00

5,097,927.1

(23,032
)
(17,022.90
)
—

—

2.3

0.9399

Jun-Dec
0
28,750

 
 
02005ACC0
AMOT 2013-2 ABS 12-1
 
 
2
 
2,499,806.75

2,502,300

2,500,000.00

2,499,705.09

2,594.91

(158.52
)
—

—

1.44

1.4430

Monthly
               1,600.00
36,000

2152012
2152017
02587UAB6
AMXCA_12-5 ABS 12-5
 
 
2
 
1,149,890.64

1,150,540.5

1,150,000.00

1,149,970.41

570.09

37.29

—

—

0.59

0.5940

Monthly
                   301.56
6,785.04

11012012
5152018
02582JGJ3
AMXCA_13-3 ABS_13-3 A
 
 
2
 
5,459,374.29

5,457,009.51

5,460,000.00

5,459,500.19

(2,490.68
)
107.17

—

—

0.98

0.9841

Monthly
               2,378.13
53,508

11052013
5152019
02582JGD6
AMXCA-12 ABS_
 
 
2
 
12,068,322.28

12,044,146.12

12,035,000.00

12,049,962.85

(5,816.73
)
(18,359.43
)
—

—

0.68

0.4761

Monthly
0
61,377.81

3282014
3152018
034863AM2
ANGLO AMERICAN CAPITAL PLC
 
 
 
 
1,743,367.5

1,756,596.28

1,750,000.00

1,743,960.64

12,635.64

593.14

—

—

4.125

4.1880

Apr-Oct
0
51,333.33

 
 
034863AE0
ANGLO AMERICAN CAPITAL PLC
 
 
 
 
4,989,050

5,054,214.5

5,000,000.00

4,994,891.88

59,322.62

2,172.27

—

—

2.625

2.6720

Apr-Oct
            32,083.33
131,250

 
 
035242AC0
ANHEUSER-BUSCH INBEV FINANCE I
 
 
 
 
5,128,055.1

5,149,995.5

5,210,000.00

5,137,095.53

12,899.97

9,040.43

—

—

1.25

1.6183

Jan-Jul
0
27,355.89

 
 
035242AE6
ANHEUSER-BUSCH INBEV FINANCE I
 
 
 
 
9,729,785

9,766,633.6

9,750,000.00

9,733,029.03

33,604.57

5,967.50

—

—

2.15

2.1919

Feb-Aug
0
334,490.29

 
 
03523TAT5
ANHEUSER-BUSCH INBEV WORLDWIDE CORP BND
 
 
 
 
5,807,754

5,447,034

5,400,000.00

5,446,720.12

313.88

(169,633.50
)
—

—

3.625

0.5879

Apr-Oct
             43,238.19
204,434.9

10092012
4152015
03523TBN7
ANHEUSER-BUSCH INBEV WORLDWIDE SENIOR CORP BND
 
 
 
 
12,760,736.5

12,774,019.53

12,775,000.00

12,771,834.01

2,185.52

2,688.70

—

—

1.375

1.2503

Jan-Jul
             97,164.77
155,655.74

7152014
7152017
00182EAT6
ANZ NATIONAL INTERNATIONAL LTD SENIOR CORP BND 144A
 
F
 
 
5,000,000

5,004,239.6

5,000,000.00

5,000,000

4,239.6

—

—

—

0.7531

0.7531

J-A-J-O
0
31,744.72

2202014
4272017
037833AQ3
APPLE INC
 
 
 
 
5,064,200

5,040,236.3

5,000,000.00

5,061,788.17

(21,551.87
)
(2,411.83
)
—

—

2.1

1.8030

May-Nov
0
18,375

 
 
037833AJ9
APPLE INC
 
 
 
 
14,864,945.2

14,646,273.96

14,920,000.00

14,882,932.6

(236,658.64
)
13,082.22

—

—

1

1.0760

May-Nov
            32,093.33
180,033.33

 
 
037833AG5
APPLE INC
 
 
 
 
15,260,000

15,270,223.28

15,260,000.00

15,260,000

10,223.28

—

—

—

0.48235

0.4824

F-M-A-N
             12,304.65
74,854.72

 
 
BRS9PGQM2
ARAMARK CORPORATION LOAN TERM
 
 
2
 
216,407.28

214,489.07

215,973.89

216,116.66

(1,627.59
)
(91.15
)
—

—

—

(0.0416
)
J-A-J-O
0
9,939.27

11012011
7262016
039483AY8
ARCHER-DANIELS-MIDLAND COMPANY
 
 
 
 
2,747,631.25

2,537,785.48

2,275,000.00

2,556,519.03

(18,733.55
)
(85,255.54
)
—

—

5.45

1.4780

Mar-Sep
            36,507.43
123,987.5

 
 
BRSG9SY49
ARDENT MEDICAL SENIOR SECURED TERM LOAN
 
 
2
 
1,632,482.7

1,650,522.45

1,648,972.42

1,638,442.67

12,079.78

4,975.39

—

—

—

0.1805

F-M-A-N
0
126,210.85

11192012
7022018
00205BAA6
ARI FLEET LEASE TRUST ARIFL_12 ABS 12-B 144A
 
 
2
 
2,388,866.55

2,387,958.73

2,388,866.55

2,388,866.55

(907.82
)
—

—

—

0.4608

0.4612

Monthly
                  873.46
14,786.82

10162012
1152021
040484EV5
ARIZONA BRD REGENTS UNIV ARIZ
 
 
 
 
1,275,987.5

1,272,312.5

1,250,000.00

1,273,548

(1,235.5
)
(2,439.50
)
—

—

1.94

1.1467

Jun-Dec
0
6,062.5

 
 
040484JY4
ARIZONA BRD REGENTS UNIV ARIZ
 
 
 
 
1,654,640.8

1,680,740.4

1,420,000.00

1,648,766.04

31,974.36

(5,874.76
)
—

—

5

2.8691

Feb-Aug
0
17,750

 
 
04057PJL3
ARIZONA SCH FACS BRD CTFS PART MUNITAX BND REV
 
 
 
 
2,175,000

2,187,288.75

2,175,000.00

2,175,000

12,288.75

—

—

—

1.474

1.4740

Mar-Sep
0
17,098.4

6042014
9012017
040688ME0
ARIZONA WTR INFRASTRUCTURE FIN
 
 
 
 
2,509,725

2,508,575

2,500,000.00

2,508,910.89

(335.89
)
(814.11
)
—

—

1.413

1.2805

Apr-Oct
0
8,831.25

 
 
041036BU7
ARKANSAS RIVER PWR AUTH COLO
 
 
 
 
1,437,603.3

1,428,061.5

1,395,000.00

1,426,806.54

1,254.96

(10,796.76
)
—

—

5.25

2.1550

Apr-Oct
0
18,309.38

 
 
045167CQ4
ASIAN DEVELOPMENT BANK
 
 
 
 
702,479.78

702,444.62

703,000.00

702,562.92

(118.3
)
83.14

—

—

0.75

0.7810

Feb-Aug
0
2,050.42

 
 
045167CH4
ASIAN DEVELOPMENT BANK
 
 
 
 
750,000

749,880.01

750,000.00

750,000

(119.99
)
—

—

—

0.1695

0.1695

Monthly
                       6.96
1,298.68

 
 
046353AF5
ASTRAZENECA PLC
 
 
 
 
1,978,460

1,977,172.24

2,000,000.00

1,979,523.5

(2,351.26
)
1,063.50

—

—

1.95

2.1799

Mar-Sep
0
9,750

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

6,788,849.5

6,625,000.00

6,645,090.1

143,759.4

(14,206.52
)
—

—

2.95

2.7229

May-Nov
            24,972.57
195,437.5

2222012
5152016
00206RAT9
AT&T INC CORP BND
 
O
 
 
948,023.93

941,669.49

550,000.00

946,108.92

(4,439.43
)
(1,915.01
)
—

(6,088.96
)
5.875

1.6103

April
0
2,778.6

12102014
4282017
00206RBR2
AT&T INC CORP BND
 
 
 
 
3,024,157.25

3,020,716

3,025,000.00

3,025,030.08

(4,314.08
)
93.17

—

—

0.9

0.9220

Feb-Aug
              12,162.50
31,656.25

2072013
2122016
00206RCC4
AT&T INC SENIOR CORP BND
 
 
 
 
3,010,080

2,999,239.89

3,000,000.00

3,009,532.75

(10,292.86
)
(547.25
)
—

—

2.3

2.2201

Mar-Sep
0
17,250

3052014
3112019
047870CY4
ATLANTA GA (CITY OF)
 
 
 
 
6,949,070

7,026,155

5,710,000.00

6,929,958.89

96,196.11

(19,111.11
)
—

—

5.5

3.4279

May-Nov
0
78,512.5

 
 
05178RAA3
AURORA MILITARY HOUSING MUNI BND 144A
 
 
2
 
1,165,681

1,165,681

1,100,000.00

1,163,371.93

2,309.07

(8,280.07
)
—

—

5.32

4.2156

Jun-Dec
0
15,723.56

12082005
12152020
05252EAB9
AUST & NZ BANK GROUP LOCAL BND 144A
 
F
 
 
3,093,738

3,113,311.4

3,100,000.00

3,098,430.69

14,880.71

3,042.75

—

—

1

1.0670

Apr-Oct
                  15,111.11
46,308.33

9042012
10062015
052409BV0
AUSTIN TEX CONVENTION ENTERPRI
 
 
 
 
1,642,268.25

1,632,046.5

1,575,000.00

1,628,852.34

3,194.16

(13,415.91
)
—

—

5.25

1.7850

Jan-Jul
0
20,671.87

 
 
052476L48
AUSTIN TX (CITY OF)
 
 
 
 
72,048.2

71,213.1

70,000.00

71,213.46

(0.36
)
(834.74
)
—

—

5

0.3097

May-Nov
0
875

 
 
0523966L7
AUSTIN TX (CITY OF)
 
 
 
 
201,750

202,112

200,000.00

201,663.34

448.66

(86.66
)
—

—

2.108

1.9206

Mar-Sep
0
1,042.29

 
 
0523966K9
AUSTIN TX (CITY OF)
 
 
 
 
315,677.25

313,749.45

315,000.00

315,635.08

(1,885.63
)
(42.17
)
—

—

1.758

1.7009

Mar-Sep
0
1,369.04

 
 
0523966M5
AUSTIN TX (CITY OF)
 
 
 
 
386,563.1

389,908.75

385,000.00

386,501.56

3,407.19

(61.54
)
—

—

2.384

2.3101

Mar-Sep
0
2,269.11

 
 
052476J25
AUSTIN TX (CITY OF)
 
 
 
 
1,463,054.4

1,445,758.8

1,420,000.00

1,445,503.35

255.45

(17,551.05
)
—

—

5

0.1446

May-Nov
0
17,750

 
 
05253JAC5
AUSTRALIA & NEW ZEALAND BANKIN SENIOR CORP BND
 
F
 
 
774,550.5

766,259.55

775,000.00

774,693.47

(8,433.92
)
88.10

—

—

1.45

1.4621

May-Nov
               1,435.90
11,237.5

5092013
5152018
05253JAB7
AUSTRALIA & NEW ZEALAND BANKIN SENIOR CORP BND
 
R
 
 
2,896,839

2,905,518.99

2,900,000.00

2,898,815.94

6,703.05

2,784.83

—

—

0.9

0.9369

Feb-Aug
            30,927.50
69,075

2062013
2122016
BRSJL0RC0
AUXILIUM PHARMACEUTICALS INC SENIOR SECURED TERM LOAN
 
 
 
 
6,912,971.02

6,957,253.86

6,963,033.18

6,928,305.7

28,948.16

17,250.82

—

—

—

0.1498

M-J-S-D
0
537,225.76

9242013
4152018
BRSQHT1U4
B/E AEROSPACE INC SENIOR SECURED TERM NOTES
 
 
1
 
1,230,927.83

1,234,639.17

1,237,113.40

1,230,927.83

3,711.34

—

—

—

—

0.0725

M-J-S-D
0
—

11212014
12162021
06052YAC3
BAAT_12-1 ABS 12-1
 
 
2
 
787,612.79

787,743.28

787,640.89

787,622.69

120.59

107.38

—

—

0.78

0.7822

Monthly
               1,883.56
22,765.65

4112012
6152016
059513AE1
BACM
 
 
 
 
7,518,555

7,323,724.76

6,718,520.26

7,332,398.68

(8,673.92
)
(201,032.83
)
—

—

5.75365

(1.6718
)
Monthly
0
266,603.49

 
 
059513AF8
BACM_07-4
 
 
 
 
3,104,320.14

3,043,226.27

2,790,389.19

3,053,528.11

(10,301.84
)
(52,186.21
)
—

—

5.774

(1.8655
)
Monthly
0
69,798.26

 
 
BRSHC6N35
BAKERCORP INTERNATIONAL INC SENIOR SECURED TERM LOAN
 
 
2
 
1,159,438.51

1,069,582.03

1,159,438.51

1,159,438.51

(89,856.48
)
—

—

—

—

—

M-J-S-D
0
50,275.41

2062013
2072020
05921PAE9
BALTIMORE MD CONVENTION CTR HO MUNI BND REV
 
 
 
 
2,088,657.45

2,079,245.1

1,965,000.00

2,072,341.04

6,904.06

(16,316.41
)
—

—

5

1.6548

Mar-Sep
0
24,562.5

1272006
9012016
62944BAL8
BANK NEDERLANDSE GEMEENTEN SENIOR CORP BND 144A
 
F
 
 
3,973,040

3,994,119.88

4,000,000.00

3,977,900.27

16,219.61

7,213.26

—

—

1.375

1.5520

Mar-Sep
0
59,086.81

4082014
3192018
06052YAD1
BANK OF AMERICA AUTO TRUST BAA ABS 12-1
 
 
2
 
4,998,468

5,011,600.1

5,000,000.00

4,999,668.65

11,931.45

449.22

—

—

1.03

1.0413

Monthly
              2,288.89
51,500.04

4112012
12152016
060505EH3
BANK OF AMERICA CORP
 
 
 
 
2,685,000

2,658,150

2,685,000.00

2,685,000

(26,850
)
—

—

—

6.25

6.2495

Mar-Sep
0
54,072.93

 
 
060505EG5
BANK OF AMERICA CORP
 
 
 
 
8,772,500

8,730,000

9,000,000.00

8,773,582.85

(43,582.85
)
1,082.85

—

—

5.125

5.2971

Jun-Dec
0
122,003.47

 
 
06051GEG0
BANK OF AMERICA CORP CORP BND
 
 
 
 
4,145,930.76

4,112,408

4,000,000.00

4,098,776.11

13,631.89

(98,751.58
)
—

—

3.625

1.5515

Mar-Sep
               52,361.11
177,927.09

6022014
3172016
06051GEQ8
BANK OF AMERICA CORP CORP BND
 
 
 
 
7,577,808

7,962,796.87

7,600,000.00

7,589,611.79

373,185.08

(33,912.59
)
—

—

3.875

3.9399

Mar-Sep
           120,415.64
368,168.05

3192012
3222017
06050TLR1
BANK OF AMERICA CORP SENIOR CORP BND
 
 
 
 
2,498,150

2,488,356.2

2,500,000.00

2,498,841.14

(10,484.94
)
610.54

—

—

1.125

1.1502

May-Nov
               3,671.88
28,125

11062013
11142016
06050TLT7
BANK OF AMERICA CORP SENIOR CORP BND
 
 
 
 
4,995,600

4,986,522.3

5,000,000.00

4,996,874.32

(10,352.02
)
2,113.23

—

—

1.25

1.2800

Feb-Aug
0
92,187.49

2112014
2142017
06051GEX3
BANK OF AMERICA CORP SENIOR CORP BND
 
 
 
 
5,075,550

5,033,256.55

5,000,000.00

5,066,189.18

(32,932.63
)
(10,577.20
)
—

—

2.6

2.2552

Jan-Jul
0
109,156.67

5202014
1152019
06050TLU4
BANK OF AMERICA CORP SENIOR CORP BND
 
 
 
 
5,750,000

5,733,095.06

5,750,000.00

5,750,000

(16,904.94
)
—

—

—

0.7032

0.7032

F-M-A-N
0
35,974.39

2112014
2142017
06051GFD6
BANK OF AMERICA CORP SENIOR CORP BND MTN
 
 
 
 
5,998,320

6,041,753.1

6,000,000.00

5,998,559.24

43,193.86

239.24

—

—

2.65

2.6560

Apr-Oct
0
119,250

3272014
4012019
06051GFL8
BANK OF AMERICA CORP SUB CORP BND
 
 
 
 
3,209,423.25

3,202,982.41

3,225,000.00

3,209,619.34

(6,636.93
)
196.09

—

—

4.25

4.3020

Apr-Oct
0
26,270.31

10172014
10222026
U0662KFC0
BANK OF AMERICA CORP SUB CORP BND EMTN
 
O
 
 
1,251,157.14

1,240,575.32

750,000.00

1,248,653.59

(8,078.27
)
(2,726.09
)
—

(8,589.19
)
5.25

1.9168

May-Nov
0
4,462.93

12042014
11092016
063679ZT4
BANK OF MONTREAL
 
 
 
 
3,271,560

3,306,062.21

3,250,000.00

3,270,173.69

35,888.52

(2,821.04
)
—

—

1.95

1.9869

Jan-Jul
              17,994.17
49,952.5

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

3,309,282.15

3,250,000.00

3,317,218.87

(7,936.72
)
(42,201.09
)
—

—

2.3

0.9721

Jan-Jul
             31,768.75
74,750

10152013
7282016
06406HCA5
BANK OF NEW YORK MELLON CORP/T CORP BND MTN
 
 
1
 
1,497,285

1,528,101.99

1,500,000.00

1,498,872.74

29,229.25

531.68

—

—

2.4

2.4379

Jan-Jul
             16,400.00
36,000

11172011
1172017
06406HCC1
BANK OF NEW YORK MELLON CORP/T CORP BND MTN
 
 
1
 
3,652,183.5

3,652,226.5

3,650,000.00

3,650,044.09

2,182.41

(1,673.91
)
—

—

1.2

1.2310

Feb-Aug
            32,750.00
73,481.66

7192013
2202015
06406HCG2
BANK OF NEW YORK MELLON CORP/T SENIOR CORP BND MTN
 
 
1
 
3,597,876

3,594,616.2

3,600,000.00

3,599,163.8

(4,547.6
)
708.50

—

—

0.7

0.7200

Mar-Sep
               8,190.00
25,200

3042013
3042016
06406HCK3
BANK OF NEW YORK MELLON CORP/T SENIOR CORP BND MTN
 
 
 
 
15,000,000

15,066,598.95

15,000,000.00

15,000,000

66,598.95

—

—

—

0.67535

0.6754

M-J-S-D
               7,879.16
107,647.23

6022014
3062018
06406HCU1
BANK OF NEW YORK MELLON/THE SENIOR CORP BND
 
 
1
 
1,996,120

1,999,505.62

2,000,000.00

1,996,604.9

2,900.72

484.90

—

—

2.2

2.2410

May-Nov
0
28,600

5022014
5152019
06406HCR8
BANK OF NEW YORK MELLON/THE SENIOR CORP BND MTN
 
 
1
 
7,491,675

7,512,806.48

7,500,000.00

7,493,174.34

19,632.14

1,499.34

—

—

2.2

2.2230

Mar-Sep
0
149,875

1282014
3042019
064159AM8
BANK OF NOVA SCOTIA
 
 
 
 
1,497,000

1,538,386.01

1,500,000.00

1,498,735.4

39,650.61

599.14

—

—

2.55

2.5929

Jan-Jul
             17,956.25
38,250

 
 
064159DA1
BANK OF NOVA SCOTIA
 
 
 
 
3,498,985

3,494,074.08

3,500,000.00

3,499,337.21

(5,263.13
)
465.75

—

—

1.1

1.1099

Jun-Dec
              4,675.00
53,777.78

 
 
064159BZ8
BANK OF NOVA SCOTIA
 
 
 
 
3,949,040

3,944,155.28

4,000,000.00

3,952,756.02

(8,600.74
)
3,716.02

—

—

1.45

1.8190

Apr-Oct
0
15,305.55

 
 
064159BW5
BANK OF NOVA SCOTIA
 
 
 
 
6,000,000

6,016,739.94

6,000,000.00

6,000,000

16,739.94

—

—

—

0.6406

0.6406

M-J-S-D
                1,714.27
38,637.74

 
 
06415CAA7
BANK OF NOVA SCOTIA CORP BND 144A
 
A
 
 
1,140,524

1,121,791.11

1,100,000.00

1,115,678.3

6,112.81

(9,707.09
)
—

—

2.15

1.2416

Feb-Aug
              9,722.78
23,650

5242012
8032016
06415CAD1
BANK OF NOVA SCOTIA SECURED CORP BND 144A
 
A
 
 
4,200,824.8

4,204,970

4,200,000.00

4,200,064.42

4,905.58

(297.71
)
—

—

1.05

1.0428

Mar-Sep
              12,372.51
44,100

4122012
3202015
06415CAE9
BANK OF NOVA SCOTIA SECURED LOCAL BND 144A
 
A
 
 
6,272,140

6,277,809.81

6,200,000.00

6,263,324.2

14,485.61

(9,652.73
)
—

—

1.75

1.7731

Mar-Sep
             10,587.50
63,000

8202014
3222017
G089B6CD0
BARCLAYS BANK PLC - GTD SENIOR CORP BND EMTN
 
D
 
 
2,679,360.59

2,688,100.22

1,700,000.00

2,687,572.58

527.64

1,178.20

—

(43,745.86
)
1.5

1.6120

April
              36,611.66
51,548.55

3282012
4042017
06739FGF2
BARCLAYS BANK PLC CORP BND
 
F
 
 
5,638,250

5,323,504.65

5,000,000.00

5,311,213.38

12,291.27

(177,644.00
)
—

—

5

1.3290

Mar-Sep
            68,750.00
250,000

2212013
9222016
06739GBP3
BARCLAYS BANK PLC CORP BND
 
F
 
 
6,019,695

5,987,704.53

5,500,000.00

5,992,180.75

(4,476.22
)
(27,514.25
)
—

—

5.14

3.4210

Apr-Oct
0
101,300.83

8192014
10142020
G079E0AA9
BARCLAYS BANK PLC LOCAL BND
 
D
1
 
1,166,817.2

1,157,518.59

680,000.00

1,164,897.12

(7,378.53
)
(2,080.08
)
—

(8,013.05
)
6.75

3.5055

January
0
5,133.42

12042014
1162023
06739FHT1
BARCLAYS BANK PLC SENIOR CORP BND
 
F
 
 
4,454,777.25

4,506,448.07

4,455,000.00

4,454,813.79

51,634.28

48.53

—

—

2.5

2.5011

Feb-Aug
0
127,928.13

2122014
2202019
06738EAD7
BARCLAYS PLC SENIOR CORP BND
 
F
 
 
916,761.6

918,490.48

920,000.00

916,848.71

1,641.77

87.11

—

—

2.75

2.8261

May-Nov
0
3,584.17

11032014
11082019
069643BE3
BARTOW CNTY GA DEV AUTH
 
 
 
 
1,037,520

1,032,650

1,000,000.00

1,037,308.45

(4,658.45
)
(211.55
)
—

—

2.7

2.5162

Feb-Aug
0
6,817.81

 
 
D06216BG5
BASF SE CORP BND
 
D
 
 
1,209,815.55

1,205,791.73

700,000.00

1,207,748.4

(1,956.67
)
(2,067.15
)
—

(1,778.89
)
5.875

1.1097

March
0
2,639.13

12152014
3312017
G08820EL5
BAT INTL FIN PLC SENIOR CORP BND EMTN
 
F
 
 
2,841,307.5

2,850,826.79

2,850,000.00

2,846,390.47

4,436.32

2,878.82

—

—

1.125

1.2250

March
             24,581.25
32,062.5

3202013
3292016
BRSMUD4Q9
BAUER PERFORMANCE SPORTS LTD
 
 
 
 
364,593.69

362,534.38

366,425.82

364,771.89

(2,237.51
)
1,565.97

—

—

—

0.0709

M-J-S-D
0
18,186.28

 
 
071813BH1
BAXTER INTERNATIONAL INC.
 
 
 
 
499,135

499,171.64

500,000.00

499,551.74

(380.1
)
313.02

—

—

0.95

1.0140

Jun-Dec
                  395.83
4,750

 
 
071813BD0
BAXTER INTERNATIONAL INC.
 
 
 
 
1,633,570.4

1,628,471.79

1,610,000.00

1,631,002.36

(2,530.57
)
(2,568.04
)
—

—

1.85

1.2001

Jan-Jul
0
7,446.25

 
 
071813BJ7
BAXTER INTERNATIONAL INC.
 
 
 
 
1,999,800

1,991,396.48

2,000,000.00

1,999,861.56

(8,465.08
)
38.47

—

—

1.85

1.8521

Jun-Dec
               1,644.44
37,000

 
 
07274EAD5
BAYER US FINANCE LLC SENIOR CORP BND 144A
 
 
 
 
995,420

1,003,083.72

1,000,000.00

995,622.27

7,461.45

202.27

—

—

2.375

2.4729

Apr-Oct
0
5,475.69

10012014
10082019
07274EAB9
BAYER US FINANCE LLC SENIOR CORP BND 144A
 
 
 
 
2,373,408.75

2,373,189.66

2,375,000.00

2,373,530.19

(340.53
)
121.44

—

—

1.5

1.5230

Apr-Oct
0
8,213.54

10012014
10062017
07274EAC7
BAYER US FINANCE LLC SENIOR CORP BND 144A
 
 
 
 
3,000,000

2,995,079.97

3,000,000.00

3,000,000

(4,920.03
)
—

—

—

0.5103

0.5103

J-A-J-O
0
3,614.63

10012014
10062017
07274EAF0
BAYER US FINANCE LLC SENIOR CORP BND 144A
 
 
 
 
4,997,500

5,044,031.9

5,000,000.00

4,997,575.55

46,456.35

75.55

—

—

3

3.0080

Apr-Oct
0
34,583.33

10012014
10082021
BRSNUZ2R8
BAYONNE ENERGY CENTER LLC SENIOR SECURED TERM NOTES
 
 
 
 
204,556.1

203,014.22

205,584.02

204,605.18

(1,590.96
)
81.23

—

—

—

0.0720

M-J-S-D
0
3,744.6

6242014
8192021
05531FAN3
BB&T CORP SENIOR CORP BND MTN
 
 
1
 
787,675.2

782,385.2

780,000.00

787,497.72

(5,112.52
)
(177.48
)
—

—

2.05

1.7532

Jun-Dec
0
1,288.09

11262014
6192018
06742LAG8
BCLDRY_14-5 SENIOR ABS2014-5 A
 
 
2
 
3,394,367.51

3,381,929.18

3,395,000.00

3,394,388.1

(12,458.92
)
20.59

—

—

1.48

1.4910

Monthly
0
4,885.03

11202014
9152020
07388VAE8
BEAR STEARNS COMMERCIAL MORTGA CMBS_07-T26 A4
 
 
2
 
5,449,250.81

5,268,615.5

4,918,928.80

5,290,998.81

(22,383.31
)
(166,992.49
)
—

—

5.471

(0.1873
)
Monthly
0
188,560.21

4162014
1122045
075887BB4
BECTON DICKINSON AND COMPANY
 
 
 
 
1,249,587.5

1,260,761.36

1,250,000.00

1,249,843.12

10,918.24

82.69

—

—

1.75

1.7569

May-Nov
              3,220.49
21,875

 
 
075887BD0
BECTON DICKINSON AND COMPANY
 
 
 
 
3,030,000

3,036,248.56

3,030,000.00

3,030,000

6,248.56

—

—

—

1.8

1.8000

Jun-Dec
0
2,424

 
 
075887BE8
BECTON DICKINSON AND COMPANY
 
 
 
 
4,646,121.47

4,684,227.41

4,635,000.00

4,646,023.45

38,203.96

(98.02
)
—

—

2.675

2.6234

Jun-Dec
0
5,510.49

 
 
084664BS9
BERKSHIRE HATHAWAY FINANC CORP
 
 
 
 
3,038,700

3,022,395.39

3,000,000.00

3,034,998.97

(12,603.58
)
(3,701.03
)
—

—

1.6

1.0999

May-Nov
0
12,000

 
 
084670BD9
BERKSHIRE HATHAWAY INC
 
 
 
 
1,018,370

1,014,765.4

1,000,000.00

1,016,411.25

(1,645.85
)
(1,958.75
)
—

—

1.9

1.1002

Jan-Jul
0
4,750

 
 
BRSLNCKT7
BERRY PLASTICS CORP SENIOR SECURED TERM NOTES
 
 
 
 
4,014,760.85

3,921,689.93

4,018,557.25

4,015,275.54

(93,585.61
)
2,150.57

—

—

—

0.0134

M-J-S-D
0
267,019.3

2052014
1062021
BRSHBHS86
BERRY PLASTICS CORP SENIOR SECURED TERM NOTES
 
 
2
 
10,042,622.98

9,763,035.2

10,057,622.98

10,045,667.63

(282,632.43
)
2,330.17

—

—

—

0.0229

J-A-J-O
0
371,223.08

9112013
2082020
05541VAD8
BG ENERGY CAPITAL PLC CORP BND 144A
 
F
 
 
515,455

511,833.61

500,000.00

513,538.98

(1,705.37
)
(572.24
)
—

—

2.875

1.3351

Apr-Oct
             26,098.61
119,320.49

10062011
10152016
05541VAC0
BG ENERGY CAPITAL PLC CORP BND 144A
 
F
 
 
1,021,200

1,014,186.48

1,000,000.00

1,016,683.53

(2,497.05
)
(4,516.47
)
—

—

2.5

0.7098

Jun-Dec
0
6,250

12022010
12092015
G1163HET9
BG ENERGY CAPITAL PLC CORP BND EMTN
 
D
 
 
1,242,168.15

1,232,569.32

720,000.00

1,240,143.35

(7,574.03
)
(2,024.80
)
—

(7,981.29
)
5.125

1.6792

December
0
3,173.1

12102014
12072017
055451AP3
BHP BILLITON FINANCE (USA) LTD
 
 
 
 
6,706,708

6,779,759.12

6,725,000.00

6,716,959.96

62,799.16

3,648.43

—

—

1.625

1.6819

Feb-Aug
            38,552.00
109,281.26

 
 
BRSMDF7M9
BIG HEART PET BRANDS SENIOR SECURED TERM NOTES
 
 
 
 
4,035,156.82

3,908,949.33

4,061,246.05

4,038,426.17

(129,476.84
)
3,269.35

—

—

—

0.1060

M-J-S-D
0
109,274.59

3312014
3082020
BRSK4S5S4
BMC SOFTWARE FINANCE INC SENIOR SECURED TERM NOTES
 
 
2
 
4,706,289.75

4,611,412.06

4,725,097.92

4,708,992.83

(97,580.77
)
4,657.43

—

—

—

0.0590

F-M-A-N
0
59,960.33

7162014
9102020
BRSQJTZG6
BMW US CAPITAL LLC SENIOR CORP BND EMTN
 
O
 
 
1,419,294.36

1,424,780.3

900,000.00

1,419,183.21

5,597.09

(111.15
)
—

(2,090.31
)
2

1.7802

November
0
1,121.96

12152014
11202019
05579UAD5
BMWLT_14-1 ABS _14-1-A4
 
 
2
 
12,299,729.4

12,280,511.02

12,300,000.00

12,299,709.43

(19,198.41
)
(19.97
)
—

—

0.99

0.9918

Monthly
0
86,253.75

4092014
8212017
05578XAC2
BMWOT_13-A ABS 13-A A3
 
 
2
 
1,684,962.09

1,684,881.98

1,685,000.00

1,684,969.98

(88
)
7.47

—

—

0.67

0.6714

Monthly
                    188.16
11,289.48

10292013
11272017
09658UAD1
BMWOT_14-A ABS 14-A-A4
 
 
2
 
1,999,785.4

1,993,139.96

2,000,000.00

1,999,795.55

(6,655.59
)
10.15

—

—

1.5

1.5071

Monthly
0
6,333.33

10082014
2252021
05948XYC9
BOAMS WHOLE CMO 03-J-2A1
 
 
2
 
30,504.67

30,960.29

30,947.08

30,548.44

411.85

64.80

—

—

2.78037

3.0481

Monthly
                    83.53
921.04

11302007
11252033
097014AN4
BOEING CAPITAL CORPORATION
 
 
 
 
1,024,600

1,018,246.15

1,000,000.00

1,021,150.67

(2,904.52
)
(3,449.33
)
—

—

2.125

0.7402

Feb-Aug
0
5,312.5

 
 
097023BE4
BOEING CO
 
 
 
 
1,970,180

1,949,149.16

2,000,000.00

1,976,443.48

(27,294.32
)
4,140.70

—

—

0.95

1.1759

May-Nov
               1,820.83
15,437.5

 
 
102022AX8
BOURBONNAIS ILL MUNI BND REV
 
 
1
 
1,236,560.5

1,225,371

1,150,000.00

1,229,605.02

(4,234.02
)
(6,955.48
)
—

—

4.375

1.8538

May-Nov
0
12,578.13

7272007
11012018
BRSK5A7F8
BOYD GAMING CORPORATION SENIOR SECURED TERM LOAN
 
 
 
 
3,367,500.8

3,335,921.72

3,389,406.55

3,368,866.45

(32,944.73
)
1,457.23

—

—

—

0.1083

F-M-A-N
0
58,066.42

11142014
8142020
05565QBT4
BP CAPITAL MARKETS PLC CORP BND
 
F
 
 
4,773,490

4,833,186.99

4,750,000.00

4,758,900.34

74,286.65

(4,720.50
)
—

—

2.248

2.1431

May-Nov
             17,796.67
106,780

12052014
11012016
05565QCC0
BP CAPITAL MARKETS PLC SENIOR CORP BND
 
F
 
 
498,865

494,820.83

500,000.00

498,958.31

(4,137.48
)
11,316.29

—

—

1.375

1.4500

May-Nov
             16,805.55
69,399.31

11012012
11062017
05565QCE6
BP CAPITAL MARKETS PLC SENIOR CORP BND
 
F
 
 
1,105,638.75

1,103,127.85

1,125,000.00

1,106,970.68

(3,842.83
)
4,544.29

—

—

1.375

1.8699

May-Nov
              18,018.23
85,049.49

5072013
5102018
05565QCF3
BP CAPITAL MARKETS PLC SENIOR CORP BND
 
F
 
 
2,500,000

2,471,704.7

2,500,000.00

2,500,000

(28,295.3
)
—

—

—

0.7416

0.7416

F-M-A-N
              3,593.02
24,446.27

5072013
5102018
05565QBY3
BP CAPITAL MARKETS PLC SENIOR CORP BND
 
F
 
 
5,700,000

5,741,374.47

5,700,000.00

5,700,000

41,374.47

—

—

—

1.846

1.8460

May-Nov
             16,367.87
105,222

5022012
5052017
07330NAG0
BRANCH BKG & TR CO CORP BND
 
 
1
 
499,335

498,223.65

500,000.00

499,575.14

(1,351.49
)
218.72

—

—

1.05

1.0950

Jun-Dec
                   510.42
5,250

11192013
12012016
07330NAC9
BRANCH BKG & TR CO SENIOR CORP BND
 
 
1
 
999,640

1,003,495.1

1,000,000.00

999,794.61

3,700.49

118.42

—

—

1.45

1.4619

Apr-Oct
                  4,511.11
14,500

9042013
10032016
07330NAD7
BRANCH BKG & TR CO SENIOR CORP BND
 
 
1
 
4,385,673.24

4,356,071.25

4,308,000.00

4,384,027.76

(27,956.51
)
(1,645.48
)
—

—

2.3

1.8025

Apr-Oct
0
7,981.76

11262014
10152018
10620NCG1
BRAZOS HIGHER EDUCATION AUTHOR ABS 11-1 A2
 
 
2
 
3,009,607.83

3,068,959.66

3,050,716.38

3,028,974.01

39,985.65

8,610.53

—

—

1.03285

1.2451

F-M-A-N
              3,969.27
35,621.4

3102011
2252030
110122AS7
BRISTOL-MYERS SQUIBB CO SENIOR CORP BND
 
 
 
 
1,976,960

1,979,577.64

2,000,000.00

1,978,979.22

598.42

2,019.22

—

—

0.875

1.2899

Feb-Aug
0
4,375

7262012
8012017
110122AV0
BRISTOL-MYERS SQUIBB CO SENIOR CORP BND
 
 
 
 
4,977,000

4,958,934.8

5,000,000.00

4,981,832.86

(22,898.06
)
4,145.21

—

—

1.75

1.8411

Mar-Sep
             14,826.39
87,500

10242013
3012019
111013AM0
BRITISH SKY BROADCASTING GRP P SENIOR CORP BND 144A
 
F
 
 
2,461,327.15

2,461,589.45

2,465,000.00

2,461,531.61

57.84

219.96

—

—

2.625

2.6570

Mar-Sep
0
20,330.98

9092014
9162019
BRSQK8KF8
BRITISH SKY BROADCASTING GRP P SENIOR CORP BND EMTN
 
D
 
 
2,267,062.81

2,303,818.29

1,450,000.00

2,267,095.76

36,722.53

37.69

—

(8,185.24
)
2.875

2.8709

November
0
7,768.03

11172014
11242020
11102AAA9
BRITISH TELECOMMUNICATIONS PLC CORP BND
 
F
 
 
1,121,760

1,115,075.07

1,000,000.00

1,120,118.41

(5,043.34
)
(1,641.59
)
—

—

5.95

1.8639

Jan-Jul
0
2,479.17

12112014
1152018
111021AK7
BRITISH TELECOMMUNICATIONS PLC SENIOR CORP BND
 
F
 
 
425,110.5

423,735.88

425,000.00

425,110.5

(1,374.62
)
303.13

—

—

2.35

2.3430

Feb-Aug
0
38,760.32

12112014
2142019
G1582KAR3
BRITISH TELECOMMUNICATIONS PLC SENIOR LOCAL BND EMTN
 
D
 
 
3,334,641.6

3,175,384.7

1,820,000.00

3,292,926.4

(117,541.7
)
(50,126.55
)
—

(130,577.51
)
6.625

1.8442

June
0
76,451.96

12102014
6232017
114894GU6
BROWARD CNTY FLA MUNITAX BND REV
 
 
 
 
2,120,240

2,089,360

2,000,000.00

2,089,660.49

(300.49
)
(30,579.51
)
—

—

6.8

0.7699

Apr-Oct
0
34,000

5242001
10012015
114894HA9
BROWARD CNTY FLA MUNITAX BND REV
 
 
2
 
5,748,800

5,701,700

5,000,000.00

5,725,177.43

(23,477.43
)
(23,622.57
)
—

—

6.9

4.3924

Apr-Oct
0
86,250

5242001
10012021
115637AN0
BROWN-FORMAN CORPORATION SENIOR CORP BND
 
 
 
 
1,295,697

1,276,978.34

1,300,000.00

1,297,406.86

(20,428.52
)
835.41

—

—

1

1.0669

Jan-Jul
              5,994.44
13,000

12102012
1152018
07387AAW5
BSARM CMO_05-3 2A1
 
 
2
 
887,950.74

835,612.02

904,629.85

889,644.7

(54,032.68
)
(7,847.27
)
—

—

2.61711

2.9430

Monthly
               2,312.50
25,191.93

8102007
6252035
07384M3D2
BSARM_04-10 CMO 04-9 22A1
 
 
2
 
689,323

704,214.06

702,673.80

690,622.66

13,591.4

2,378.18

—

—

3.012935

3.3894

Monthly
               2,127.62
24,219.15

8132007
11252034
07387JAF3
BSCMS PAC SENIOR CMBS 06-PW12 A1A
 
 
2
 
491,972.47

476,683.09

453,577.83

478,242.16

(1,559.07
)
(15,561.18
)
—

—

5.697096

(2.6471
)
Monthly
0
19,551.53

4232014
9112038
07388YAE2
BSCMS_07-PW16 CMBS 07-PW16 A4
 
 
2
 
4,005,351.57

3,855,959.29

3,575,000.00

3,897,736

(41,776.71
)
(107,615.57
)
—

—

5.70723

1.1687

Monthly
0
142,251.39

4242014
6112040
BRSG4MWQ0
BSN MEDICAL SENIOR SECURED TERM NOTE
 
E
2
 
2,067,501.74

2,072,444.71

2,077,638.81

2,070,723.65

1,721.06

1,572.10

—

—

—

0.0706

J-A-J-O
0
84,461.25

10292012
8282019
G1698AAB1
BUPA FINANCE PLC LOCAL BND EMTN
 
D
 
 
802,257.24

798,311.01

470,000.00

800,484.76

(2,173.75
)
(1,772.48
)
—

(1,179.03
)
7.5

1.4020

Jan-Jul
0
2,243.66

12152014
7042016
G1698AAD7
BUPA FINANCE PLC SENIOR CORP BND
 
D
 
 
425,123.01

415,488.3

255,000.00

425,281.58

(9,793.28
)
215.62

—

(29,660.48
)
3.375

3.4620

Jun-Dec
0
10,580.59

6102014
6172021
126802BS5
CABMT_12-2A ABS_11-2A A2
 
 
2
 
18,603,606.06

18,501,994.68

18,445,000.00

18,515,124.06

(13,129.38
)
(47,941.85
)
—

—

0.7608

0.7620

Monthly
              6,293.43
141,154.5

3072013
6172019
12800UAL4
CAISSE CENTRALE DESJARDINS SECURED LOCAL BND 144A
 
A
 
 
2,699,352

2,726,297.98

2,700,000.00

2,699,711.57

26,586.41

129.20

—

—

1.6

1.6050

Mar-Sep
             13,800.00
43,200

2282012
3062017
BRSKJS6N8
CAISSE D'AMORT DETTE SOCIALE SENIOR CORP BND
 
F
 
 
4,986,800

5,041,526.25

5,000,000.00

4,992,401.16

49,125.09

4,358.08

—

—

1.25

1.3401

Mar-Sep
             17,708.33
62,500

9102013
9192016
12802DAJ5
CAISSE D'AMORT DETTE SOCIALE SENIOR CORP BND 144A
 
F
 
 
5,992,324.3

6,028,560.36

6,000,000.00

5,994,000.99

34,559.37

(1,766.96
)
—

—

1.125

1.1738

Jan-Jul
0
89,305

6022014
1302017
13063A2V5
CALIFORNIA STATE OF MUNI BND GO
 
 
1
 
5,639,950

5,658,750

5,000,000.00

5,599,096.65

59,653.35

(40,853.35
)
—

—

5

1.5499

Feb-Aug
0
62,500

6252008
8012028
BRSJ3EEC4
CALPINE CONSTRUCTION FINANCE C SENIOR SECURED TERM LOAN
 
 
2
 
3,114,643.86

3,006,653.94

3,122,450.00

3,116,403.03

(109,749.09
)
1,203.42

—

—

—

0.0358

J-A-J-O
0
95,574.84

5022013
5032020
BRSJ7A0J8
CALPINE CONSTRUCTION FINANCE C SENIOR SECURED TERM LOAN
 
 
 
 
6,612,280.57

6,446,425.84

6,665,831.69

6,619,880.68

(173,454.84
)
6,094.28

—

—

—

0.0962

M-J-S-D
0
210,056.39

2252014
1312022
135087C77
CANADA GOVERNMENT CORP BND
 
A
 
 
2,396,208

2,408,712.17

2,400,000.00

2,396,827.47

11,884.7

619.47

—

—

1.625

1.6581

Feb-Aug
0
32,933.33

2202014
2272019
427028AA3
CANADA GOVERNMENT GOVT BND
 
A
 
 
251,847.5

250,380

250,000.00

250,876.93

(496.93
)
(202.61
)
—

—

0.875

0.7080

Feb-Aug
                8,491.15
16,554.51

8082012
2142017
136069FV8
CANADIAN IMPERIAL BANK OF COMM SENIOR CORP BND
 
A
 
 
2,250,000

2,259,292.55

2,250,000.00

2,250,000

9,292.55

—

—

—

0.75075

0.7508

J-A-J-O
              3,999.95
19,627.63

7152013
7182016
136375BU5
CANADIAN NTL RAIL CO CORP BND
 
A
1
 
3,721,350

3,773,701.88

3,750,000.00

3,738,723.72

34,978.16

(12,117.52
)
—

—

1.45

1.6070

Jun-Dec
                5,381.10
101,806.12

11072011
12152016
14042E3Y4
CAPITAL ONE BANK USA NA / CAPI SENIOR CORP BND
 
 
 
 
6,855,612.5

6,823,975.13

6,875,000.00

6,856,707.56

(32,732.43
)
1,150.46

—

—

2.95

2.9950

Jan-Jul
0
92,873.79

7212014
7232021
14041NDT5
CAPITAL ONE MULTI-ASSET EXECUT ABS 07-A5 A5
 
 
2
 
3,064,754.69

3,061,575.6

3,085,000.00

3,066,804.24

(5,228.64
)
2,049.55

—

—

0.2008

0.4173

Monthly
0
1,870.89

9082014
7152020
BRSMQYER5
CAPITAL SAFETY NORTH AMERICA H SENIOR SECURED TERM NOTES
 
 
 
 
4,085,649.16

3,978,266.65

4,090,762.62

4,086,053.88

(107,787.23
)
930.36

—

—

—

0.0182

M-J-S-D
0
90,935.24

3262014
3292021
BRSFJDVV6
CAPSUGEL HEALTHCARE LTD TERM LOAN
 
 
2
 
1,979,074.32

1,953,530.8

1,994,029.54

1,979,342.83

(25,812.03
)
313.29

—

—

—

0.2036

F-M-A-N
0
5,773.23

11192014
8012018
14149YAZ1
CARDINAL HEALTH INC SENIOR CORP BND
 
 
 
 
2,991,790

2,990,930.79

3,000,000.00

2,991,973.83

(1,043.04
)
183.83

—

—

2.4

2.4587

May-Nov
0
8,400

11102014
11152019
14313LAC0
CARMX_13-1 ABS 13-1
 
 
2
 
4,258,817.36

4,256,816.8

4,258,946.40

4,258,887.06

(2,070.26
)
50.02

—

—

0.6

0.6016

Monthly
               1,280.00
28,523.79

2062013
10162017
14313MAB0
CARMX_13-2 ABS_13-2 A2
 
 
2
 
276,659.84

276,649.28

276,667.81

276,660.86

(11.58
)
39.20

—

—

0.42

0.4220

Monthly
                  475.97
5,761.96

5082013
6152016
14313RAD5
CARMX_14-2 SENIOR ABS_14-2-A4
 
 
2
 
1,999,666.6

1,998,929.6

2,000,000.00

1,999,717.51

(787.91
)
50.91

—

—

1.61

1.6197

Monthly
0
20,303.87

5072014
10152019
14313TAC3
CARMX_14-3 ABS _14-3-A3
 
 
2
 
1,199,904.84

1,197,616.51

1,200,000.00

1,199,916.23

(2,299.72
)
11.39

—

—

1.16

1.1654

Monthly
0
5,336

8062014
6152019
14313TAD1
CARMX_14-3 ABS_14-3-A4
 
 
2
 
2,291,414.06

2,291,245.1

2,295,000.00

2,291,659.43

(414.33
)
245.37

—

—

1.73

1.7797

Monthly
0
10,477.33

9232014
1152020
BRSN5MWG6
CATALENT PHARMA SOLUTIONS INC SENIOR SECURED TERM LOAN
 
 
1
 
5,426,063.31

5,422,654.98

5,453,329.96

5,428,051.31

(5,396.33
)
2,120.43

—

—

—

0.0718

M-J-S-D
0
116,515.86

11242014
5202021
14912L4S7
CATERPILLAR INC SENIOR CORP BND MTN
 
 
 
 
1,029,560

1,023,235

1,000,000.00

1,024,550.71

(1,315.71
)
(5,009.29
)
—

—

2.65

0.6698

Apr-Oct
0
6,625

3232011
4012016
14912L5T4
CATERPILLAR INC SENIOR CORP BND MTN
 
 
 
 
1,016,550

1,019,474.18

1,000,000.00

1,015,511.11

3,963.07

(1,590.26
)
—

—

2.45

2.0101

Mar-Sep
0
9,774.82

9032013
9062018
14912L5N7
CATERPILLAR INC SENIOR CORP BND MTN
 
 
 
 
2,896,404

2,899,065.04

2,900,000.00

2,898,650.62

414.42

1,162.09

—

—

0.7

0.7406

Feb-Aug
               7,048.61
20,300

2252013
2262016
14912L5M9
CATERPILLAR INC SENIOR CORP BND MTN
 
 
 
 
5,000,000

5,005,400.1

5,000,000.00

5,000,000

5,400.1

—

—

—

0.47435

0.4744

F-M-A-N
              2,383.00
23,979.44

2252013
2262016
12479RAB3
CAUTO_14-1A ABS_14-1A A 144A
 
 
2
 
2,998,196.46

2,986,155

3,000,000.00

2,998,204.28

(12,049.28
)
7.82

—

—

3.66

3.6926

Monthly
0
22,875.01

10102014
10152044
124857AL7
CBS CORP SENIOR CORP BND
 
 
1
 
1,973,560

1,973,487.4

2,000,000.00

1,974,866.93

(1,379.53
)
1,306.93

—

—

2.3

2.5902

Feb-Aug
0
11,500

9032014
8152019
BRSLW9ZY7
CBS OUTDOOR AMERICAS CAPITAL L SENIOR SECURED TERM LOAN
 
 
 
 
2,104,725

2,066,291.35

2,110,000.00

2,105,381.58

(39,090.23
)
656.58

—

—

—

0.0355

M-J-S-D
0
44,661.65

1172014
1312021
17119RAD4
CCART_13-AA ABS_13-AA A4 144A
 
 
2
 
884,992.92

888,725.83

885,000.00

884,989.32

3,736.51

(2.80
)
—

—

1.34

1.3434

Monthly
                  527.07
11,859

10162013
12172018
17119RAC6
CCART_13-AA BAS_13-AA A3 144A
 
 
2
 
3,089,639.09

3,096,458.1

3,090,000.00

3,089,823.39

6,634.71

154.44

—

—

0.91

0.9169

Monthly
               1,249.73
28,119

10162013
4162018
17119VAC7
CCART_13-B ABS_13-B A3 144A
 
 
2
 
2,081,033.95

2,079,334.44

2,080,000.00

2,080,791.81

(1,457.37
)
(247.32
)
—

—

0.85

0.8581

Monthly
                   351.34
11,271.93

8262014
5152018
17119VAD5
CCART_13-B ABS_13-BA A4 144A
 
 
2
 
1,474,731.41

1,470,943.72

1,475,000.00

1,474,812.16

(3,868.44
)
71.66

—

—

1.27

1.2784

Monthly
                  780.52
18,784.51

11062013
3152019
17119YAC1
CCART_14-BA ABS _14-BA-A3 144A
 
 
2
 
6,428,778.3

6,436,751.69

6,430,000.00

6,428,907.52

7,844.17

129.22

—

—

1.27

1.2812

Monthly
0
21,776.26

9182014
5152019
17305EFC4
CCCIT ABS 13-A3 A3
 
 
2
 
12,642,449.5

12,676,240.11

12,645,000.00

12,643,616.25

32,623.86

858.60

—

—

1.11

1.1170

Jan-Jul
            55,753.92
140,359.49

8012013
7232018
17305EDY8
CCCIT_13-A1 ABS_07-A8 A8
 
 
2
 
3,122,148.44

2,996,175.61

2,700,000.00

3,004,836.17

(8,660.56
)
(109,235.54
)
—

—

5.65

1.4013

Mar-Sep
            42,798.75
152,550

12032013
9202019
17305EFK6
CCCIT_13-A10 ABS 13-A10 A10
 
 
2
 
11,385,664.06

11,377,009.96

11,375,000.00

11,381,394.75

(4,384.79
)
(4,269.31
)
—

—

0.73

0.6768

Feb-Aug
0
62,278.12

3262014
2072018
17305EFL4
CCCIT_13-A12 SENIOR ABS 13-A12 A12
 
 
2
 
500,000

499,629.1

500,000.00

500,000

(370.9
)
—

—

—

0.46185

0.4621

F-M-A-N
                     91.94
2,313.35

12112013
11072018
17305EFE0
CCCIT_13-A6 ABS 13-A6 A6
 
 
2
 
3,922,182.81

3,909,480

3,890,000.00

3,914,737.5

(5,257.5
)
(7,310.26
)
—

—

1.32

0.9122

Mar-Sep
              3,240.42
25,258.2

8262014
9072018
17305EFQ3
CCCIT_14-A4 ABS _14-A4-A4
 
 
2
 
1,059,785.77

1,057,711.49

1,060,000.00

1,059,826.42

(2,114.93
)
40.65

—

—

1.23

1.2370

Apr-Oct
0
8,510.92

4292014
4242019
17305EFU4
CCCIT_14-A8 SENIOR ABS 2014-A8 A8
 
 
2
 
3,989,440.6

3,994,209.73

3,990,000.00

3,989,443.14

4,766.59

2.54

—

—

1.73

1.7339

Apr-Oct
0
18,598.94

9172014
4092020
BRSJ28TC2
CEDAR BAY GENERATING CO LP SENIOR SECURED TERM NOTES
 
 
 
 
2,238,498.7

2,244,151.49

2,261,109.81

2,243,807.95

343.54

6,816.61

—

—

—

0.1427

M-J-S-D
0
159,927.56

4152013
4232020
151020AG9
CELGENE CORPORATION SENIOR CORP BND
 
 
 
 
4,034,680

4,014,461.68

4,000,000.00

4,031,708.15

(17,246.47
)
(2,971.85
)
—

—

1.9

1.5900

Feb-Aug
0
19,000

8082012
8152017
BRSDYT4C1
CEQUEL COMMUNICATIONS LLC TERM LOAN
 
 
2
 
1,494,487.65

1,500,459.96

1,520,947.12

1,503,735.56

(3,275.6
)
10,784.65

—

—

—

0.2717

M-J-S-D
0
213,984.03

10312012
2142019
15672NAA2
CERB_14-1A ABS_14-1A-A 144A
 
 
2
 
2,000,000

1,996,943.36

2,000,000.00

2,000,000

(3,056.64
)
—

—

—

2.1311

2.1344

J-A-J-O
0
3,196.65

11202014
10152023
15672NAC8
CERB_14-1A MEZZANIN ABS _14-1A-B 144A
 
 
2
 
991,577.3

987,502.82

1,000,000.00

991,704.19

(4,201.37
)
126.89

—

—

2.9311

3.1475

J-A-J-O
0
2,210.93

11202014
10152023
156792GT4
CERRITOS CALIF CMNTY COLLEGE D MUNI BND
 
 
 
 
500,000

502,385

500,000.00

500,000

2,385

—

—

—

2.165

2.1650

Feb-Aug
0
4,510.42

11052014
8012019
165182BA3
CF_09-2A ABS 12-1A 144A
 
 
2
 
1,094,854.56

1,097,504.07

1,094,854.56

1,094,854.56

2,649.51

—

—

—

0.9072

0.9089

Monthly
               1,400.30
18,041.31

5102012
11072023
17322FAA9
CGCMT_14-388G SENIOR CMBS_14-388G A 144A
 
 
2
 
490,000

490,466.48

490,000.00

490,000

466.48

—

—

—

0.911

0.9127

Monthly
0
2,411.86

6052014
6152033
17322VAR7
CGCMT_14-GC23 SENIOR CMBS_14-GC23 A2
 
 
2
 
3,316,556.2

3,298,085.09

3,220,000.00

3,309,036.02

(10,950.93
)
(7,520.18
)
—

—

2.851

2.2119

Monthly
0
36,720.87

7172014
7102047
161571FR0
CHAIT_12-8 ABS 12-8
 
 
2
 
5,000,828.5

4,997,549.8

5,000,000.00

5,000,231.38

(2,681.58
)
(291.99
)
—

—

0.54

0.5347

Monthly
               1,200.00
27,000

12062012
10162017
161571FU3
CHAIT_13-A1 ABS 13-A1
 
 
2
 
4,954,296.87

4,951,709.36

5,000,000.00

4,958,337.03

(6,627.67
)
4,040.16

—

—

1.3

1.5788

Monthly
0
20,222.24

9042014
2182020
161571FW9
CHAIT_13-A3 ABS 13-A3
 
 
2
 
3,405,000

3,401,633.74

3,405,000.00

3,405,000

(3,366.26
)
—

—

—

0.4408

0.4412

Monthly
                  675.86
15,006.83

4122013
4152020
161571FX7
CHAIT_13-A5 ABS_13-A5 A
 
 
2
 
2,249,976.15

2,249,685

2,250,000.00

2,249,995.44

(310.44
)
12.09

—

—

0.47

0.4710

Monthly
                  470.00
10,575

5162013
5152017
161571GH1
CHAIT_13-A9 ABS 13-A9 A
 
 
2
 
1,500,000

1,504,067

1,500,000.00

1,500,000

4,067

—

—

—

0.5808

0.5815

Monthly
                  466.57
8,739.82

12102013
11152020
BRSJ315T5
CHARTER COMMUNICATION OPER LLC SENIOR SECURED TERM NOTES
 
 
2
 
5,123,932.59

5,072,178.45

5,163,599.99

5,127,625.63

(55,447.18
)
3,877.54

—

—

—

0.1145

J-A-J-O
0
170,547.28

7102014
1032021
161630BD9
CHASE CMO_07-A1 11M1
 
 
2
 
2,172,503.7

1,984,454.11

2,151,909.23

2,169,999.82

(185,545.71
)
(20,505.36
)
—

—

2.47937

2.2896

Monthly
              5,558.97
57,095.93

1182008
3252037
161571GC2
CHASE ISSUANCE TRUST ABS 13-A8
 
 
2
 
1,999,543.4

1,998,557.58

2,000,000.00

1,999,677.85

(1,120.27
)
114.28

—

—

1.01

1.0181

Monthly
                  897.78
20,199.96

10252013
10152018
161571FJ8
CHASE ISSUANCE TRUST CHAIT_12- ABS_12-A3 A3
 
 
2
 
7,028,437.5

7,009,310.21

7,000,000.00

7,010,764.01

(1,453.8
)
(27,628.84
)
—

—

0.79

0.4525

Monthly
0
64,845.83

3272014
6152017
161571GJ7
CHASE ISSUANCE TRUST CHAIT_14- ABS 14-A1 A
 
 
2
 
11,497,919.65

11,496,979.18

11,500,000.00

11,498,332.98

(1,353.8
)
413.33

—

—

1.15

1.1568

Monthly
0
122,698.58

1162014
1152019
161571GQ1
CHASE ISSUANCE TRUST SENIOR ABS 14-A7 A
 
 
2
 
1,599,812.32

1,593,170.66

1,600,000.00

1,599,819.45

(6,648.79
)
7.13

—

—

1.38

1.3880

Monthly
0
2,698.66

11072014
11152019
166430AA6
CHEST_14-1A ABS _14-1A-A 144A
 
 
2
 
3,000,000

2,999,340.09

3,000,000.00

3,000,000

(659.91
)
—

—

—

4.5

4.5232

M-J-S-D
0
5,625

12112014
12152034
166764AN0
CHEVRON CORP SENIOR CORP BND
 
 
1
 
500,000

500,383.91

500,000.00

500,000

383.91

—

—

—

2.193

2.1930

May-Nov
0
1,309.71

11102014
11152019
166764AC4
CHEVRON CORP SENIOR CORP BND
 
 
 
 
865,000

866,791.94

865,000.00

865,000

1,791.94

—

—

—

0.889

0.8890

Jun-Dec
                   726.01
34,620.27

6172013
6242016
166764AA8
CHEVRON CORP SENIOR CORP BND
 
 
1
 
990,820

992,124.71

1,000,000.00

991,545.04

579.67

725.04

—

—

1.104

1.4000

Jun-Dec
0
2,760

11282012
12052017
166764AL4
CHEVRON CORP SENIOR CORP BND
 
 
 
 
2,250,000

2,249,720.01

2,250,000.00

2,250,000

(279.99
)
—

—

—

1.345

1.3450

May-Nov
0
3,614.69

11102014
11152017
167485Q87
CHICAGO (CITY OF) MUNI BND GO
 
 
1
 
3,248,430

3,215,220

3,000,000.00

3,229,891.53

(14,671.53
)
(18,538.47
)
—

—

5

2.3400

Jan-Jul
0
37,500

10262007
1012020
BRSR021B1
CHIEF POWER FINANCE LLC SENIOR SECURED TERM NOTES
 
 
 
 
3,771,428.57

3,790,476.19

3,809,523.81

3,771,428.57

19,047.62

—

—

—

—

0.1709

M-J-S-D
0
—

12162014
12312020
170016XW4
CHIPPEWA VALLEY MICH SCHS MUNI BND GO
 
 
1
 
6,265,211

6,387,073

5,450,000.00

6,243,994.56

143,078.44

(21,216.44
)
—

—

5

3.0097

May-Nov
0
68,125

9162013
5012027
BRSM3VKC2
CHRYSLER GROUP LLC SENIOR SECURED TERM NOTES
 
 
 
 
4,955,385.29

4,942,934.59

4,980,286.74

4,959,726

(16,791.41
)
4,528.87

—

—

—

0.1020

F-M-A-N
0
100,900.46

2052014
12312018
171340AJ1
CHURCH & DWIGHT CO INC SENIOR CORP BND
 
 
1
 
1,998,780

1,997,569.74

2,000,000.00

1,998,791.53

(1,221.79
)
11.53

—

—

2.45

2.4629

Jun-Dec
0
2,994.44

12042014
12152019
12549BAC2
CIFC_13-2A ABS _13-2A-A1L 144A
 
 
2
 
977,000

976,271.97

1,000,000.00

977,043.58

(771.61
)
43.58

—

—

1.38075

1.9524

J-A-J-O
0
191.77

12232014
7182025
12548CAD9
CIFC_14-2A MEZZANIN ABS _14-2A-A3L 144A
 
F
1
 
1,918,000

1,904,037.02

2,000,000.00

1,919,936.58

(15,899.56
)
1,936.58

—

—

3.0829

3.7423

F-M-A-N
0
11,786.56

10232014
5262026
BRSKAX1N1
CINCINNATI BELL INC SENIOR SECURED TERM NOTES
 
E
 
 
3,241,635.37

3,234,703.37

3,259,146.98

3,244,326.55

(9,623.18
)
2,239.33

—

—

—

0.0789

M-J-S-D
0
91,649.99

11202014
9102020
17275RAR3
CISCO SYSTEMS INC SENIOR CORP BND
 
 
 
 
500,100

501,365.32

500,000.00

500,096.54

1,268.78

(3.46
)
—

—

2.125

2.1201

Mar-Sep
0
2,656.25

2242014
3012019
17275RAQ5
CISCO SYSTEMS INC SENIOR CORP BND
 
 
 
 
3,500,000

3,517,079.69

3,500,000.00

3,500,000

17,079.69

—

—

—

0.7336

0.7336

M-J-S-D
0
21,648.17

2242014
3012019
17275RAT9
CISCO SYSTEMS INC SENIOR CORP BND
 
 
 
 
3,499,790

3,497,793.53

3,500,000.00

3,499,847.53

(2,054
)
73.55

—

—

1.1

1.1020

Mar-Sep
0
40,806.94

9182014
3032017
17305EDL6
CITIBANK CREDIT CARD ISSUANCE ABS_06-A8 A8
 
 
2
 
2,588,682.81

2,607,688.96

2,620,000.00

2,607,893.42

(204.46
)
5,582.58

—

—

0.2706

0.4829

J-A-J-O
               1,609.90
7,248.41

7062011
12172018
17318UAB0
CITIGROUP COMMERCIAL MORTGAGE CMBS_12-GC8 A2
 
 
2
 
9,088,242.19

9,054,720.18

9,000,000.00

9,075,646.47

(20,926.29
)
(12,595.72
)
—

—

1.813

1.4409

Monthly
0
63,001.79

8072014
9102045
172967HZ7
CITIGROUP INC CAPSEC CORP BND
 
 
1
 
2,053,000

2,053,000

2,053,000.00

2,053,000

—

—

—

—

5.8

5.7954

May-Nov
0
20,507.19

10222014
12312049
172967GR6
CITIGROUP INC CAPSEC CORP BND
 
 
1
 
9,970,625

9,686,250

10,500,000.00

9,972,477.58

(286,227.58
)
1,852.58

—

—

5.35

5.6274

May-Nov
0
146,679.17

11252014
12312049
U17406FZ4
CITIGROUP INC CORP BND
 
O
 
 
1,580,154.19

1,568,104.76

850,000.00

1,576,215.66

(8,110.9
)
(3,938.53
)
—

(10,144.19
)
7.625

1.8106

April
0
5,573.34

12102014
4032018
172967FD8
CITIGROUP INC CORP BND
 
 
 
 
2,652,105

2,536,800

2,500,000.00

2,514,701.45

22,098.55

(53,506.51
)
—

—

4.75

3.1829

May-Nov
              25,231.21
164,258.17

5242011
5192015
172967HY0
CITIGROUP INC SENIOR CORP BND
 
 
 
 
1,597,760

1,590,640.86

1,600,000.00

1,598,038.44

(7,397.58
)
1,093.86

—

—

1.55

1.5980

Feb-Aug
0
37,165.56

8072014
8142017
172967HC8
CITIGROUP INC SENIOR CORP BND
 
 
 
 
2,033,660

2,017,357.78

2,000,000.00

2,029,943.7

(12,585.92
)
(3,716.30
)
—

—

2.5

2.0809

Mar-Sep
0
24,166.66

7012014
9262018
172967HU8
CITIGROUP INC SENIOR CORP BND
 
 
 
 
2,983,710

3,001,779.1

3,000,000.00

2,984,556.78

17,222.32

846.78

—

—

2.5

2.6200

Jan-Jul
0
18,750

9102014
7292019
172967JD4
CITIGROUP INC SENIOR CORP BND
 
 
 
 
5,000,000

5,001,250.1

5,000,000.00

5,000,000

1,250.1

—

—

—

0.9329

0.9329

F-M-A-N
0
4,794.07

11182014
11242017
172967JE2
CITIGROUP INC SENIOR CORP BND
 
 
 
 
5,758,848

5,739,089.53

5,760,000.00

5,758,886.15

(19,796.62
)
38.15

—

—

1.85

1.8569

May-Nov
0
10,656

11182014
11242017
172967GK1
CITIGROUP INC SUB CORP BND
 
 
 
 
10,802,675

10,787,011.62

10,500,000.00

10,788,833.8

(1,822.18
)
(13,841.20
)
—

—

4.05

3.6210

Jan-Jul
0
181,631.26

8192014
7302022
73723RSH7
CITY OF PORTSMOUTH VA MUNITAX BND GO
 
 
 
 
2,250,000

2,263,905

2,250,000.00

2,250,000

13,905

—

—

—

1.418

1.4180

Feb-Aug
             16,307.00
31,905

6052013
2012017
791638XK0
CITY OF ST LOUIS MO MUNI BND REV
 
 
1
 
1,835,993.2

1,813,616.4

1,660,000.00

1,820,074.49

(6,458.09
)
(15,918.71
)
—

—

5

1.0801

Jan-Jul
0
20,750

1112007
7012018
180848DS9
CLARK CNTY NEV ARPT REV MUNITAX BND GO
 
 
1
 
4,625,530

4,594,015.4

3,910,000.00

4,591,451.31

2,564.09

(34,078.69
)
—

—

5.86

2.0521

May-Nov
0
57,281.5

6102009
11012020
125634AQ8
CLIF_14-2A ABS_14-2A A 144A
 
 
1
 
3,440,288.98

3,419,846.4

3,441,666.67

3,440,307.02

(20,460.62
)
41.40

—

—

3.38

3.4114

Monthly
0
23,178.04

10092014
10182029
12591FAC0
CNH EQUIPMENT TRUST CNH_13-A ABS_13-A A3
 
 
2
 
5,073,444.97

5,072,482.18

5,073,445.98

5,073,410.31

(928.13
)
(24.18
)
—

—

0.69

0.6906

Monthly
               1,979.54
42,116.03

2132013
6152018
12591AAC1
CNH_12-B ABS 12-B
 
 
2
 
800,989.04

801,634.12

801,017.31

801,006.88

627.24

39.61

—

—

0.86

0.8625

Monthly
                  802.67
11,473.66

6122012
9152017
12613SAC6
CNH_13-C ABS_13-C A3
 
 
2
 
3,154,634.97

3,160,426.51

3,155,000.00

3,154,786.28

5,640.23

121.42

—

—

1.02

1.0259

Monthly
               1,430.27
32,181

8202013
8152018
12618SAC1
CNH_13-D ABS 13-D A3
 
 
2
 
749,969.55

748,867.49

750,000.00

749,978.69

(1,111.2
)
8.42

—

—

0.77

0.7724

Monthly
                  256.67
5,775

11142013
10152018
12591BAC9
CNH_14-A ABS 14-A A3
 
 
2
 
2,864,964.19

2,857,207.11

2,865,000.00

2,864,966.34

(7,759.23
)
2.15

—

—

0.84

0.8416

Monthly
0
20,790.35

2122014
5152019
12591BAD7
CNH_14-A ABS 14-A A4
 
 
2
 
999,951.7

995,350.04

1,000,000.00

999,957.21

(4,607.17
)
5.51

—

—

1.5

1.5054

Monthly
0
12,958.34

2122014
5152020
12623PAD8
CNH_14-B ABS_14-B A4
 
 
2
 
11,904,022

11,855,751.07

11,920,000.00

11,905,142.31

(49,391.24
)
1,120.31

—

—

1.61

1.6225

Monthly
0
98,202.87

9162014
5172021
12632XAD0
CNH_14-C ABS 14-C
 
 
2
 
7,177,526.49

7,124,714.22

7,180,000.00

7,177,610.04

(52,895.82
)
83.55

—

—

1.65

1.6626

Monthly
0
22,377.68

10162014
9152021
12625GAA2
CNOOC FINANCE (2013) LTD SENIOR CORP BND
 
F
 
 
1,367,170.56

1,366,066.52

1,372,000.00

1,369,799.21

(3,732.69
)
5,388.27

—

—

1.125

1.2449

May-Nov
                9,810.13
52,026.09

5022013
5092016
191216AU4
COCA-COLA COMPANY (THE) CORP BND
 
 
 
 
5,077,760.96

5,078,587.35

5,000,000.00

5,055,779.95

22,807.4

(13,030.16
)
—

—

1.8

1.5454

Mar-Sep
            29,400.00
55,735

12142011
9012016
191216BA7
COCA-COLA COMPANY (THE) SENIOR CORP BND
 
 
 
 
492,870

493,849.83

500,000.00

493,378.05

471.78

508.05

—

—

1.15

1.5700

Apr-Oct
0
1,437.5

2282013
4012018
191216BC3
COCA-COLA COMPANY (THE) SENIOR CORP BND
 
 
 
 
3,000,000

3,001,050.12

3,000,000.00

3,000,000

1,050.12

—

—

—

0.33235

0.3324

F-M-A-N
               1,737.99
10,175.71

10292013
11012016
191216BD1
COCA-COLA COMPANY (THE) SENIOR CORP BND
 
 
 
 
6,991,950

6,976,119.08

7,000,000.00

6,995,063.5

(18,944.42
)
2,665.77

—

—

0.75

0.7889

May-Nov
              8,750.00
52,500

9182014
11012016
19416QEF3
COLGATE-PALMOLIVE CO SENIOR CORP BND
 
 
 
 
993,190

992,913.44

1,000,000.00

993,569.08

(655.64
)
379.08

—

—

1.75

1.9100

Mar-Sep
0
4,375

2262014
3152019
19416QEB2
COLGATE-PALMOLIVE CO SENIOR CORP BND MTN
 
 
 
 
1,890,937

1,862,496.33

1,900,000.00

1,893,908.44

(31,412.11
)
1,789.55

—

—

0.9

0.9981

May-Nov
              2,850.00
17,100

4292013
5012018
19624HAA6
COLNY_14-1 SENIOR CMBS _14-1-A
 
 
2
 
3,930,992.39

3,912,445.94

3,931,000.26

3,930,943.61

(18,497.67
)
(48.65
)
—

—

2.5432

2.5391

Monthly
0
17,114.43

10232014
4202050
196479WD7
COLORADO HOUSING & FINANCE AUT MUNITAX BND REV
 
 
 
 
1,000,000

996,740

1,000,000.00

1,000,000

(3,260
)
—

—

—

2.024

2.0240

May-Nov
0
3,092.22

10232014
5012019
196479WE5
COLORADO HOUSING & FINANCE AUT MUNITAX BND REV
 
 
 
 
1,100,000

1,097,151

1,100,000.00

1,100,000

(2,849
)
—

—

—

2.144

2.1440

May-Nov
0
3,603.11

10232014
11012019
19648CAE1
COLORADO HOUSING & FINANCE AUT MUNITAX BND REV
 
 
 
 
5,030,400

5,063,850

5,000,000.00

5,010,915.37

52,934.63

(7,834.21
)
—

—

1.6

1.4385

May-Nov
             10,222.22
80,000

6212012
5152016
1995072R4
COLUMBUS OHIO CITY SCH DIST MUNITAX BND GO
 
 
 
 
3,000,000

3,023,790

3,000,000.00

3,000,000

23,790

—

—

—

2.286

2.2860

Jun-Dec
0
4,000.5

11072014
12012019
20030NAJ0
COMCAST CORPORATION CORP BND
 
 
 
 
2,304,900

2,087,080

2,000,000.00

2,086,386.88

693.12

(169,622.35
)
—

—

5.85

0.8559

May-Nov
            29,900.00
200,850

10032012
11152015
14041NEK3
COMET_13-A1 ABS 13-A1
 
 
2
 
10,273,447.45

10,266,209.12

10,275,000.00

10,274,450.97

(8,241.85
)
524.94

—

—

0.63

0.6360

Monthly
              2,877.00
64,732.56

1232013
11152018
14041NEM9
COMET_13-A3-A3 ABS 13-A3-A3
 
 
2
 
4,479,465.54

4,463,513.78

4,480,000.00

4,479,662.47

(16,148.69
)
180.11

—

—

0.96

0.9660

Monthly
                 1,911.46
43,008

11142013
9162019
14041NEP2
COMET_14-A2 ABS _14-A2-A2
 
 
2
 
8,699,445.16

8,700,191.14

8,700,000.00

8,699,497.32

693.82

52.16

—

—

1.26

1.2650

Monthly
0
39,469.5

12192014
1152020
14041NET4
COMET_14-A5 SENIOR ABS _14-A5-A
 
 
2
 
2,269,392.55

2,269,600.28

2,270,000.00

2,269,435.88

164.4

43.33

—

—

1.48

1.4940

Monthly
0
7,185.81

10062014
7152020
20047QAE5
COMM CMBS 06-C7 A4
 
 
2
 
5,023,603.21

4,864,003.22

4,640,560.15

4,882,518.37

(18,515.15
)
(160,599.34
)
—

—

5.75591

(2.2794
)
Monthly
0
205,824.77

6022014
6102046
12626GAB9
COMM MORTGAGE TRUST COMM_13-LC PRELCF SENIOR CMBS _13-LC13-A2
 
 
2
 
7,780,917.42

7,742,945.46

7,478,000.00

7,769,904.6

(26,959.14
)
(11,012.82
)
—

—

3.009

1.8997

Monthly
0
31,876.87

11052014
8102046
12624XAB4
COMM_13-CR6 CMBS_13-CR6 A2
 
 
2
 
1,358,975.39

1,357,400.86

1,345,000.00

1,357,861.45

(460.59
)
(1,113.94
)
—

—

2.122

1.8256

Monthly
0
8,324.44

9112014
3102046
12626GAF0
COMM_13-LC13 LCF CMBS_13-LC13 A5
 
 
2
 
2,410,630.24

2,407,130.78

2,207,000.00

2,408,991.27

(1,860.49
)
(1,638.97
)
—

—

4.205

2.9608

Monthly
0
6,960.33

12012014
8102046
12591VAB7
COMM_14-CCRE16 SENIOR SENIOR CMBS 14-CCRE16
 
 
2
 
10,295,555.12

10,319,999.7

10,000,000.00

10,256,574.02

63,425.68

(43,327.73
)
—

—

3.042

2.3899

Monthly
0
221,390

6022014
4102047
12631DAX1
COMM_14-CR17 SENIOR CMBS_14-CR17-A2
 
 
2
 
4,588,620.24

4,609,009.39

4,455,000.00

4,571,335.18

37,674.21

(17,285.06
)
—

—

3.012

2.3430

Monthly
0
84,983.58

4292014
5102047
12632QAT0
COMM_14-CR18 SENIOR CMBS_14-CR18 A2
 
 
2
 
3,295,997.06

3,284,543.94

3,200,000.00

3,285,889.06

(1,345.12
)
(10,108.00
)
—

—

2.924

2.2496

Monthly
0
47,823.62

6192014
7152047
12632QAX1
COMM_14-CR18 SENIOR CMBS_14-CR18 A5
 
 
2
 
7,209,485.92

7,416,010.07

7,000,000.00

7,199,657.17

216,352.9

(9,828.75
)
—

—

3.828

3.4717

Monthly
0
136,957.33

6192014
7152047
12592MBF6
COMM_14-LC17 SENIOR CMBS_14-LC17 A2
 
 
2
 
7,209,813.23

7,282,450.28

7,000,000.00

7,198,485.4

83,964.88

(11,327.83
)
—

—

3.164

2.4691

Monthly
0
56,600.46

9182014
10102047
12592EAA6
COMM_14-PAT SENIOR CMBS _14-PAT 144A
 
 
2
 
1,095,000

1,094,657.81

1,095,000.00

1,095,000

(342.19
)
—

—

—

0.9608

0.9627

Monthly
0
2,702.25

9182014
8132027
20271RAG5
COMMONWEALTH BANK AUSTRALIA SENIOR CORP BND
 
F
 
 
2,497,875

2,490,855.23

2,500,000.00

2,498,096.27

(7,241.04
)
221.27

—

—

1.4

1.4290

Mar-Sep
0
10,986.11

9032014
9082017
20271RAA8
COMMONWEALTH BANK OF AUSTRALIA SENIOR CORP BND
 
E
 
 
2,149,183

2,156,471.5

2,150,000.00

2,149,942.97

6,528.53

276.57

—

—

1.95

1.9631

Mar-Sep
              12,228.13
41,925

3052012
3162015
20271RAE0
COMMONWEALTH BANK OF AUSTRALIA SENIOR CORP BND
 
 
 
 
4,991,350

4,980,058.65

5,000,000.00

4,993,638.87

(13,580.22
)
2,288.87

—

—

1.125

1.1839

Mar-Sep
0
45,000

3052014
3132017
202795HH6
COMMONWEALTH EDISON COMPANY SECURED CORP BND
 
 
 
 
3,126,706.5

2,882,433

2,850,000.00

2,878,405.29

4,027.71

(98,789.00
)
—

—

4.7

1.1909

Apr-Oct
            28,278.33
133,950

6142012
4152015
20281PCA8
COMMONWEALTH FING AUTH PA MUNITAX BND REV
 
 
 
 
564,185

560,135

500,000.00

559,900.85

234.15

(4,284.15
)
—

—

5.792

2.1352

Jun-Dec
0
7,240

4302009
6012018
20281PCB6
COMMONWEALTH FING AUTH PA MUNITAX BND REV
 
 
 
 
2,254,340

2,254,280

2,000,000.00

2,241,416.71

12,863.29

(12,923.29
)
—

—

5.892

2.9552

Jun-Dec
0
29,460

4302009
6012019
BRSR05TD0
COMPONENT HARDWARE GROUP INC SENIOR SECURED TERM NOTES
 
 
 
 
3,058,823.53

3,028,235.29

3,058,823.53

3,058,823.53

(30,588.24
)
—

—

—

—

—

J-A-J-O
0
30,588.24

11242014
7012019
20772G2G2
CONNECTICUT (STATE OF) MUNI BND GO
 
 
 
 
3,410,100

3,370,680

3,000,000.00

3,379,813.43

(9,133.43
)
(30,286.57
)
—

—

5

0.8800

Feb-Aug
0
37,500

2202009
2152018
20772JKM3
CONNECTICUT (STATE OF) MUNITAX BND GO
 
 
 
 
2,273,043.5

2,268,129.5

2,275,000.00

2,273,110.66

(4,981.16
)
67.16

—

—

1.896

1.9142

Apr-Oct
0
7,189

10282014
10152019
20772JQK1
CONNECTICUT (STATE OF) MUNITAX BND GO
 
 
 
 
2,556,975

2,536,450

2,500,000.00

2,553,224.2

(16,774.2
)
(3,750.80
)
—

—

2.172

1.5650

Feb-Aug
0
14,329.16

9232014
8152018
20775BN77
CONNECTICUT ST HSG FIN AUTH MUNI BND REV
 
 
1
 
1,072,050

1,078,050

1,000,000.00

1,070,075.12

7,974.88

(1,974.88
)
—

—

4.1

3.0900

May-Nov
0
10,250

10112013
11152028
20825TAA5
CONOCO INC CORP BND
 
G
 
 
5,679,205.4

5,397,745.41

5,005,000.00

5,413,042.59

(15,297.18
)
(225,337.59
)
—

—

5.625

1.0110

Apr-Oct
            59,434.38
281,531.26

11262013
10152016
20826FAB2
CONOCOPHILLIPS CO SENIOR CORP BND
 
 
1
 
4,876,363.57

4,803,658.01

4,885,000.00

4,877,553.05

(73,895.04
)
3,048.82

—

—

1.05

1.1013

Jun-Dec
               3,212.99
66,284.17

6022014
12152017
209111EV1
CONSOLIDATED EDISON CO OF NEW CORP BND
 
 
 
 
2,385,140

2,375,158.54

2,000,000.00

2,362,690.06

12,468.48

(22,449.94
)
—

—

7.125

2.2584

Jun-Dec
0
35,625

12022008
12012018
213187CB1
COOK CNTY ILL CMNTY COLLEGE DI MUNI BND GO
 
 
1
 
578,110

590,610

500,000.00

576,258.49

14,351.51

(1,851.51
)
—

—

5.25

3.2643

Jun-Dec
0
6,562.5

10092013
12012026
213187CC9
COOK CNTY ILL CMNTY COLLEGE DI MUNI BND GO
 
 
1
 
575,865

589,285

500,000.00

574,072.08

15,212.92

(1,792.92
)
—

—

5.25

3.3167

Jun-Dec
0
6,562.5

10092013
12012027
216871AF0
COOPER US INC CORP BND
 
 
 
 
1,020,060

1,014,924

1,000,000.00

1,016,142.82

(1,218.82
)
(3,917.18
)
—

—

2.375

0.8102

Jan-Jul
0
5,937.5

12022010
1152016
216871AC7
COOPER US INC CORP BND
 
 
 
 
2,372,660

2,210,453.04

2,000,000.00

2,225,231.58

(14,778.54
)
(87,772.08
)
—

—

6.1

1.4939

Jan-Jul
             61,000.00
122,000

4182013
7012017
22160KAE5
COSTCO WHOLESALE CORPORATION SENIOR CORP BND
 
 
 
 
4,874,750

4,864,206.28

4,900,000.00

4,876,855.77

(12,649.49
)
2,102.05

—

—

1.125

1.1291

Jun-Dec
              2,287.50
51,797.68

11282012
12152017
G2551TAP3
COVENTRY BLDG SOC LOCAL BND EMTN
 
D
 
 
1,220,911.03

1,171,283.73

750,000.00

1,212,436.47

(41,152.74
)
(7,547.51
)
—

(42,650.21
)
2.15713

1.8837

F-M-A-N
               4,521.50
33,209.01

5102012
2102015
22532LAL8
CREDIT AGRICOLE SA/LONDON SENIOR CORP BND 144A
 
F
 
 
3,994,960

4,031,450.2

4,000,000.00

3,995,642.58

35,807.62

682.58

—

—

2.5

2.5270

Apr-Oct
0
71,111.11

4092014
4152019
225436AA2
CREDIT SUISSE GROUP CCN CORP BND 144A
 
F
1
 
4,143,306

4,091,220

4,284,000.00

4,144,146.65

(52,926.65
)
840.65

—

—

6.25

6.4865

Jun-Dec
0
105,427.1

8062014
12312049
22546QAN7
CREDIT SUISSE NEW YORK NY SENIOR CORP BND
 
 
 
 
4,989,700

4,988,295.35

5,000,000.00

4,990,862.49

(2,567.14
)
1,164.51

—

—

2.3

2.3439

May-Nov
0
68,163.06

5222014
5282019
22546QAR8
CREDIT SUISSE NEW YORK NY SENIOR CORP BND
 
 
 
 
4,970,000

4,976,757.8

5,000,000.00

4,970,680.62

6,077.18

680.62

—

—

3

3.0960

Apr-Oct
0
25,833.33

10242014
10292021
BRSQP4874
CREGANNA-TACTX MEDICAL
 
 
 
 
354,464.29

357,366.07

357,142.86

354,464.29

2,901.78

—

—

—

—

0.1095

M-J-S-D
0
—

 
 
BRSL3FE10
CROSBY US ACQUISITION CORP SENIOR SECURED TERM NOTES
 
 
 
 
2,041,994.32

1,921,877

2,044,550.00

2,042,375.8

(120,498.8
)
387.58

—

—

—

0.0178

J-A-J-O
0
76,271.52

12192013
11232020
BRSH9LJ56
CROSSMARK HOLDINGS INC SENIOR SECURED TERM LOAN
 
 
2
 
2,603,122.36

2,557,425.35

2,607,409.39

2,601,377.68

(43,952.33
)
1,326.87

—

—

—

0.0459

M-J-S-D
0
119,718.84

9042013
12202019
BRSJ078E5
CSC HOLDINGS LLC SENIOR SECURED TERM LOAN
 
 
2
 
8,108,004.29

7,991,217.77

8,146,863.60

8,117,396.49

(126,178.72
)
31,426.83

—

—

—

0.0675

M-J-S-D
0
290,034.21

5012013
4172020
22541QFV9
CSFB_03-17 WHOLE LOAN__03-17-1A4
 
 
2
 
496,965.06

493,679.77

488,446.55

496,710.81

(3,031.04
)
(980.48
)
—

—

5.5

4.8820

Monthly
0
6,809.05

6192003
6252033
12648CAA4
CSMC_14-SURF SENIOR CMBS_14-SURF A 144A
 
 
2
 
7,779,712.5

7,766,464.66

7,770,000.00

7,774,389.44

(7,924.78
)
(5,323.06
)
—

—

1.01

0.9134

Monthly
0
55,151.85

4172014
2152029
126408GM9
CSX CORPORATION CORP BND
 
 
 
 
3,984,295.81

3,957,559.02

3,491,000.00

3,977,739.3

(20,180.28
)
(6,556.51
)
—

—

6.25

1.7533

Mar-Sep
0
9,091.15

12112014
3152018
BRSLMULK6
CUMULUS MED INC. SENIOR SECURED TERM NOTES
 
 
2
 
5,232,901.29

5,136,154.32

5,279,139.82

5,234,798.99

(98,644.67
)
8,780.13

—

—

—

0.1412

Mar-Sep
0
179,032.35

9302014
12232020
126650CA6
CVS HEALTH CORP CORP BND
 
 
 
 
299,886

299,498.11

300,000.00

299,926.35

(428.24
)
64.12

—

—

1.2

1.2129

Jun-Dec
              5,945.33
6,182.67

12022013
12052016
126650BE9
CVS HEALTH CORP CORP BND
 
 
 
 
2,334,389.12

2,142,181.79

1,988,000.00

2,149,978.14

(7,796.35
)
(98,503.41
)
—

—

6.125

1.0460

Feb-Aug
              46,000.11
121,765

2112013
8152016
126650CE8
CVS HEALTH CORP SENIOR CORP BND
 
 
1
 
3,390,582

3,388,721.32

3,400,000.00

3,390,635.79

(1,914.47
)
53.79

—

—

2.25

2.3131

Feb-Aug
0
1,700

12182014
8122019
12668AZL2
CWALT_05-73CB CMO_05-64CB 1A
 
 
2
 
251,933.84

242,901.01

256,829.65

251,844.84

(8,943.83
)
(3,288.48
)
—

—

5.5

5.9256

Monthly
                 1,351.18
15,088.23

1022008
12252035
12543RBB4
CWHL_07-3 WHOLE LOAN_07-3-A26
 
 
2
 
2,118,060.62

2,127,536.52

2,269,674.91

2,118,060.62

9,475.9

(3,730.92
)
—

—

6

7.7779

Monthly
0
34,432.56

12312009
4252037
232760VV7
CYPRESS-FAIRBANKS TEX INDPT SC MUNI BND GO
 
 
 
 
1,064,120

1,053,230

1,000,000.00

1,052,355.92

874.08

(11,764.08
)
—

—

5

0.3224

Feb-Aug
0
12,500

3172006
2152016
BRSN8X546
DAIMLER AG UNSEC CORP BND
 
D
 
 
1,540,012.53

1,441,013.71

915,000.00

1,540,177.26

(99,163.55
)
201.44

—

(114,095.68
)
1.625

1.6419

December
0
18,795.9

5092014
12022016
BRSP6FWM2
DAIMLER FINANCE NORTH AMERICA
 
 
 
 
1,788,807.25

1,786,168.35

1,795,000.00

1,789,649.61

(3,481.26
)
842.36

—

—

1.375

1.4930

Feb-Aug
0
10,283.85

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

5,118,407.9

5,000,000.00

5,115,745.79

2,662.11

(66,902.04
)
—

—

2.625

1.2456

Mar-Sep
            38,645.84
131,250

4082013
9152016
233851AH7
DAIMLER FINANCE NORTH AMERICA CORP BND 144A
 
 
 
 
514,930

511,834.22

500,000.00

512,988.74

(1,154.52
)
(1,941.26
)
—

—

2.625

1.0798

Mar-Sep
0
3,281.25

9072011
9152016
233851BF0
DAIMLER FINANCE NORTH AMERICA SENIOR CORP BND
 
 
 
 
7,224,987.5

7,207,158.38

7,250,000.00

7,228,389.79

(21,231.41
)
3,766.98

—

—

1.375

1.4930

Feb-Aug
0
45,967.01

7242014
8012017
233851AY0
DAIMLER FINANCE NORTH AMERICA SENIOR CORP BND 144A
 
 
 
 
1,000,000

1,005,329.97

1,000,000.00

1,000,000

5,329.97

—

—

—

0.91235

0.9124

F-M-A-N
              5,389.27
31,120.52

7242013
8012016
233851BA1
DAIMLER FINANCE NORTH AMERICA SENIOR CORP BND 144A
 
 
 
 
1,014,510

1,011,996.61

1,000,000.00

1,013,597.88

(1,601.27
)
(912.12
)
—

—

2.375

1.9800

Feb-Aug
0
5,937.5

7242013
8012018
233851AK0
DAIMLER FINANCE NORTH AMERICA SENIOR CORP BND 144A
 
 
 
 
3,112,230

3,094,509.9

3,000,000.00

3,099,949.85

(5,439.95
)
(12,280.15
)
—

—

2.95

1.2798

Jan-Jul
0
22,125

1042012
1112017
233851AZ7
DAIMLER FINANCE NORTH AMERICA SENIOR CORP BND 144A
 
 
 
 
4,994,750

5,022,824.5

5,000,000.00

4,997,199

25,625.5

1,734.81

—

—

1.45

1.4859

Feb-Aug
            30,208.33
72,500

7242013
8012016
D1668RML8
DAIMLERCHRYSLER AG SENIOR CORP BND EMTN
 
D
 
 
825,838.42

822,033.48

520,000.00

825,656.9

(3,623.42
)
(181.52
)
—

(5,313.75
)
1.75

1.3224

November
0
782.53

12102014
11082017
235851AL6
DANAHER CORPORATION CORP BND
 
 
 
 
3,874,580

3,890,508.71

3,825,000.00

3,868,910.37

21,598.34

(6,965.33
)
—

—

2.3

2.3341

Jun-Dec
              2,044.45
63,480

6202011
6232016
BRSNJTYP4
DAVITA HEALTHCARE PARTNERS INC SENIOR SECURED TERM NOTES
 
 
2
 
1,211,039.76

1,207,443.16

1,217,125.39

1,211,360.57

(3,917.41
)
351.39

—

—

—

0.0723

M-J-S-D
0
3,914.76

6192014
6242021
254683AT2
DCENT ABS 12-A1
 
 
2
 
652,082.03

650,312

650,000.00

650,170.94

141.06

(1,439.59
)
—

—

0.81

0.5882

Monthly
                  234.00
5,265

8282013
8152017
254683AC9
DCENT_07-A1 ABS 07-A1 A1
 
 
2
 
5,448,691.41

4,996,518.53

4,500,000.00

4,968,062.51

28,456.02

(167,586.36
)
—

—

5.65

1.7190

Monthly
              11,300.00
254,250

1262012
3162020
254683AV7
DCENT_12-A3 ABS 12-A3
 
 
2
 
8,579,026.56

8,551,808.67

8,539,000.00

8,552,297.84

(489.17
)
(37,034.04
)
—

—

0.86

0.4416

Monthly
0
76,313.78

3272014
11152017
254683BB0
DCENT_13 ABS 13
 
 
2
 
8,500,000

8,497,338.57

8,500,000.00

8,500,000

(2,661.43
)
—

—

—

0.4608

0.4612

Monthly
                1,762.71
39,188.59

2062013
8172020
254683BJ3
DCENT_14-3 ABS_14-A3 A3
 
 
2
 
1,029,736.32

1,028,338.92

1,030,000.00

1,029,564.32

(1,225.4
)
(172.00
)
—

—

1.22

1.1979

Monthly
0
8,272.64

4282014
10152019
23311VAE7
DCP MIDSTREAM PARTNERS LP SENIOR CORP BND
 
 
1
 
1,192,920

1,164,392.76

1,200,000.00

1,193,991.13

(29,598.37
)
1,071.13

—

—

2.7

2.8260

Apr-Oct
0
25,920

3102014
4012019
23311VAC1
DCP MIDSTREAM PARTNERS LP SENIOR CORP BND
 
 
1
 
2,956,525.25

2,964,234.16

2,975,000.00

2,963,965.18

268.98

3,596.61

—

—

2.5

2.6331

Jun-Dec
               6,197.92
74,375

11192012
12012017
2417218L6
DE SOTO TEX INDPT SCH DIST MUNI BND GO
 
 
1
 
1,547,355.15

1,528,866.9

1,485,000.00

1,529,355.8

(488.9
)
(17,999.35
)
—

—

5

0.1945

Feb-Aug
0
18,562.5

9122013
8152016
2417218C6
DE SOTO TEX INDPT SCH DIST MUNI BND GO
 
 
1
 
2,131,503.5

2,106,718.1

2,045,000.00

2,106,531.05

187.05

(24,972.45
)
—

—

5

0.1602

Feb-Aug
0
25,562.5

9122013
8152016
246343JQ1
DELAWARE RIV JT TOLL BRDG COMM MUNITAX BND REV
 
 
 
 
1,402,009.6

1,398,896

1,390,000.00

1,400,938.58

(2,042.58
)
(1,071.02
)
—

—

1.842

1.5200

Jan-Jul
0
6,400.95

10122012
7012017
246343JR9
DELAWARE RIV JT TOLL BRDG COMM MUNITAX BND REV
 
 
 
 
2,203,944.6

2,206,596.6

2,210,000.00

2,204,368.33

2,228.27

423.73

—

—

2.184

2.2601

Jan-Jul
0
12,066.6

10182012
7012018
BRSP9DPN0
DELTA 2 (LUX) SARL
 
 
 
 
3,530,276.1

3,473,365.92

3,548,016.18

3,531,024.08

(57,658.16
)
1,078.63

—

—

—

0.0720

M-J-S-D
0
66,472.52

 
 
BRSM6R0M8
DELTA AIR LINES INC SENIOR SECURED TERM NOTES
 
 
2
 
2,679,314.29

2,654,096.19

2,699,899.99

2,682,407.27

(28,311.08
)
3,250.51

—

—

—

0.1689

F-M-A-N
0
22,597.19

4302014
10182018
249218AR9
DENVER CO PUB SCHS CTFS MUNITAX BND REV
 
 
 
 
1,491,330

1,485,165

1,500,000.00

1,491,850.08

(6,685.08
)
520.08

—

—

1.644

1.7870

Jun-Dec
0
6,165

4182013
12152018
251129X56
DETROIT MI CITY SCH DIST MUNI BND GO
 
 
1
 
3,076,620

3,045,000

3,000,000.00

3,043,355.74

1,644.26

(33,264.26
)
—

—

5

0.6267

May-Nov
0
37,500

7212005
5012016
251093B58
DETROIT MICH MUNITAX BND GO
 
 
1
 
1,792,239.93

1,817,200.49

1,976,292.00

1,799,391.8

17,808.69

102,489.80

—

—

4.96

7.0300

Apr-Oct
0
34,238.08

6242005
4012020
25152RWY5
DEUTSCHE BK LDN SENIOR CORP BND
 
F
 
 
3,998,600

3,980,227.36

4,000,000.00

3,998,870.22

(18,642.86
)
279.93

—

—

1.35

1.3619

May-Nov
0
32,775

5222014
5302017
25215BAA1
DEXIA CREDIT LOCAL/NEW YORK SENIOR CORP BND 144A
 
E
 
 
4,986,350

5,021,749.9

5,000,000.00

4,991,773.54

29,976.36

7,699.81

—

—

1.25

1.3432

Apr-Oct
            25,347.22
107,118.06

12052014
10182016
25243YAT6
DIAGEO CAPITAL PLC SENIOR CORP BND
 
F
 
 
2,485,750

2,439,428.9

2,500,000.00

2,490,429.07

(51,000.17
)
2,803.20

—

—

1.125

1.2429

Apr-Oct
              4,843.75
28,125

4242013
4292018
25243YAS8
DIAGEO CAPITAL PLC SENIOR CORP BND
 
F
 
 
3,995,304.03

3,980,360.8

4,000,000.00

3,996,737.7

(16,376.9
)
3,498.93

—

—

0.625

0.6870

Apr-Oct
              7,534.72
35,781.26

6022014
4292016
25243YAR0
DIAGEO CAPITAL PLC SENIOR CORP BND
 
F
 
 
8,395,470

8,413,944

8,400,000.00

8,405,948.49

7,995.51

(10,849.98
)
—

—

1.5

1.5919

May-Nov
             19,583.33
148,416.67

5082012
5112017
25459HAV7
DIRECTV HOLDINGS LLC CORP BND
 
 
 
 
5,665,268.75

5,644,527.85

5,525,000.00

5,571,648.47

72,879.38

(40,833.32
)
—

—

3.125

2.8696

Feb-Aug
            65,225.69
172,656.26

2212013
2152016
25459HBE4
DIRECTV HOLDINGS LLC SENIOR CORP BND
 
 
 
 
4,533,818.6

4,584,608.82

4,500,000.00

4,531,181.18

53,427.64

(3,656.40
)
—

—

2.4

2.4217

Mar-Sep
             21,200.00
82,400

9122014
3152017
25459HAY1
DIRECTV HOLDINGS LLC SENIOR CORP BND
 
 
 
 
6,374,886.65

6,106,468.81

5,947,000.00

6,096,915.14

9,553.67

(184,631.79
)
—

—

3.5

1.3081

Mar-Sep
          102,025.00
302,538.64

10162012
3012016
BRSR4UG37
DISA HOLDINGS A/S
 
 
 
 
123,441.49

122,824.28

123,441.49

123,441.49

(617.21
)
—

—

—

—

—

M-J-S-D
0
9,550.48

 
 
BRSR4UG78
DISA HOLDINGS A/S SENIOR SECURED TERM NOTES
 
F
 
 
5,524,952.1

5,497,327.34

5,524,952.10

5,524,952.1

(27,624.76
)
—

—

—

—

—

M-J-S-D
0
55,249.52

12242014
12092020
254683BA2
DISCOVER CARD MASTER TRUST DCE ABS_13-A2
 
 
2
 
11,553,284.09

11,547,169.86

11,555,000.00

11,554,215.63

(7,045.77
)
496.53

—

—

0.69

0.6954

Monthly
              3,543.53
79,729.56

2062013
8152018
254683BL8
DISCOVER CARD MASTER TRUST SENIOR ABS _14-A5-A
 
 
2
 
2,499,783.5

2,492,546.08

2,500,000.00

2,499,791.28

(7,245.2
)
7.78

—

—

1.39

1.3957

Monthly
0
7,239.58

10082014
4152020
254683BH7
DISCOVER CARD MASTER TRUST SENIOR ABS_14-A2 A2
 
 
2
 
3,084,517.97

3,079,090.87

3,085,000.00

3,084,578.4

(5,487.53
)
60.43

—

—

0.4321

0.4387

F-M-A-N
0
4,155.56

9082014
8152019
254845GB0
DISTRICT COLUMBIA WTR & SWR AU MUNI BND REV
 
 
1
 
569,945

573,515

500,000.00

565,588.07

7,926.93

(4,356.93
)
—

—

5

1.3945

Apr-Oct
0
6,250

1282009
10012024
25476FDH8
DISTRICT OF COLUMBIA MUNI BND GO
 
 
1
 
4,436,600

4,406,200

4,000,000.00

4,395,404.02

10,795.98

(41,195.98
)
—

—

5

0.8551

Jun-Dec
0
50,000

6012007
6012022
25476FHE1
DISTRICT OF COLUMBIA MUNI BND GO
 
 
 
 
5,731,050

5,664,050

5,000,000.00

5,681,159.21

(17,109.21
)
(49,890.79
)
—

—

5

0.9369

Jun-Dec
0
62,500

8132008
6012018
25600WAA8
DNB BOLIGKREDITT AS CORP BND 144A
 
F
 
 
7,245,487.51

7,283,748.01

7,200,000.00

7,209,260.53

74,487.48

(14,212.44
)
—

—

2.1

1.8589

Apr-Oct
              43,119.99
174,580

11142012
10142015
25600WAB6
DNB BOLIGKREDITT AS CORP BND 144A
 
F
 
 
8,395,963

8,397,702.9

8,200,000.00

8,265,920.77

131,782.13

(52,097.47
)
—

—

2.9

2.2379

Mar-Sep
               60,771.11
237,800

6122012
3292016
257375AD7
DOMINION GAS HOLDINGS LLC CORP BND
 
 
 
 
4,998,666.59

4,981,189.75

5,000,000.00

4,998,919.92

(17,730.17
)
253.33

—

—

1.05

1.0619

May-Nov
0
21,145.83

8062014
11012016
25746UBN8
DOMINION RESOURCES INC CORP BND
 
 
 
 
1,015,910

1,011,878.51

1,000,000.00

1,013,785.75

(1,907.24
)
(2,124.25
)
—

—

1.95

1.0902

Feb-Aug
0
4,875

8102011
8152016
26138EAM1
DR PEPPER SNAPPLE GROUP INC CORP BND
 
 
 
 
1,423,418.25

1,453,983.08

1,425,000.00

1,424,654

29,329.08

323.67

—

—

2.9

2.9239

Jan-Jul
             19,055.42
41,325

1062011
1152016
BRSJRLR20
DRILLSHIPS FINANCING HOLDING I
 
 
 
 
2,054,893.22

1,606,031.3

2,034,547.75

2,047,718.78

(441,687.48
)
(7,328.97
)
—

—

—

(0.4151
)
J-A-J-O
0
76,297.23

 
 
BRSP0NVA8
DRILLSHIPS OCEAN VENTURES INC
 
 
 
 
2,188,421.08

1,790,526.34

2,210,526.34

2,189,700

(399,173.66
)
1,334.32

—

—

—

0.1422

M-J-S-D
0
27,762.38

 
 
06742LAE3
DROCK_14-3 ABS_14-3 A
 
 
2
 
9,042,500.87

9,152,166.42

9,045,000.00

9,042,630.78

109,535.64

129.91

—

—

2.41

2.4266

Monthly
0
63,578.79

9122014
7152022
BRSCC0RV3
DUCOMMUN INC TERM LOAN
 
 
 
 
206,336.86

208,942.13

208,421.08

207,550.82

1,391.31

926.16

—

—

—

0.1660

M-J-S-D
0
11,785.43

6172011
6272017
264399EM4
DUKE ENERGY CORP CORP BND
 
 
 
 
3,852,877.8

3,461,539.8

3,345,000.00

3,452,666.29

8,873.51

(177,032.04
)
—

—

5.3

0.9649

Apr-Oct
            67,508.75
220,053.06

3012012
10012015
26442CAL8
DUKE ENERGY CORP CORP BND
 
 
 
 
507,730

503,961.76

500,000.00

506,848.35

(2,886.59
)
(881.65
)
—

—

1.75

1.0398

Jun-Dec
0
2,187.5

12052011
12152016
26441CAH8
DUKE ENERGY CORP SENIOR CORP BND
 
 
 
 
1,003,500

999,405.44

1,000,000.00

1,003,201.4

(3,795.96
)
(298.60
)
—

—

1.625

1.5000

Feb-Aug
0
4,062.5

8132012
8152017
263901AE0
DUKE ENERGY INDIANA INC SECURED CORP BND
 
 
 
 
585,000

585,265.15

585,000.00

585,000

265.15

—

—

—

0.58

0.5800

J-A-J-O
                  793.64
3,462.2

7082013
7112016
26483EAE0
DUN & BRADSTREET CORPORATION ( CORP BND
 
 
 
 
511,080

505,835

500,000.00

508,580.07

(2,745.07
)
(2,499.93
)
—

—

2.875

0.8904

May-Nov
0
3,593.75

11172010
11152015
BRSM7U4Z7
DUNKIN BRANDS INC SENIOR SECURED TERM NOTES
 
 
 
 
1,058,035.71

1,045,987.5

1,071,428.57

1,058,796.68

(12,809.18
)
760.97

—

—

—

0.1918

F-M-A-N
0
14,915.34

7142014
2052021
BRSGEJ3J4
E_CARAT_12 ABS CARAT
 
D
2
 
136,779.37

132,961.78

85,090.90

136,779.37

(3,817.59
)
(0.01
)
—

(4,101.38
)
1.3

1.3023

Monthly
                   187.76
3,611.41

12102012
6182020
29100XAA3
EAFL_13-1 ABS 13- 1 A 144A
 
F
2
 
2,809,062.49

2,809,062.49

2,781,249.99

2,809,001.89

60.6

(60.60
)
—

—

4.65

4.5953

Monthly
0
5,029.43

12102014
10152038
BRSK82AW2
EAGLE PARENT INC SENIOR SECURED TERM LOAN
 
 
 
 
6,225,460.84

6,199,132.33

6,265,705.45

6,232,786.53

(33,654.2
)
8,427.32

—

—

—

0.1540

M-J-S-D
0
195,434.98

4012014
5162018
277432AM2
EASTMAN CHEMICAL COMPANY SENIOR CORP BND
 
 
 
 
822,228

837,079.55

825,000.00

823,615.38

13,464.17

549.86

—

—

2.4

2.4720

Jun-Dec
               1,650.00
19,800

5292012
6012017
278062AB0
EATON CORPORATION SENIOR CORP BND
 
 
 
 
1,173,959.42

1,166,639.76

1,175,000.00

1,174,254.05

(7,614.29
)
256.40

—

—

1.5

1.5230

May-Nov
              2,888.55
17,625

11082013
11022017
278642AB9
EBAY INC. CORP BND
 
 
 
 
5,067,250

5,035,650.5

5,000,000.00

5,050,742.56

(15,092.06
)
(29,239.07
)
—

—

1.625

0.3305

Apr-Oct
             20,782.31
77,820.34

10272010
10152015
278642AG8
EBAY INC. SENIOR CORP BND
 
 
 
 
3,968,331.5

3,892,997.99

3,925,000.00

3,948,620.95

(55,622.96
)
(13,010.62
)
—

—

1.35

1.0169

Jan-Jul
             39,217.52
77,196.56

10242012
7152017
278642AH6
EBAY INC. SENIOR CORP BND
 
 
1
 
4,936,500

4,934,096.15

5,000,000.00

4,939,687.15

(5,591
)
3,230.56

—

—

2.2

2.4799

Feb-Aug
0
30,066.67

7242014
8012019
Z91J3YBQ5
ECARA_3
 
 
 
 
674,877.43

628,087.51

402,707.54

674,877.43

(46,789.92
)
—

—

(46,955.7
)
0.97538

0.9774

Monthly
0
7,430.04

 
 
281379AA5
EDUSA_10-1 ABS 10-1-A1 144A
 
 
2
 
389,768.77

389,741.88

389,768.77

389,768.77

(26.89
)
—

—

—

1.0836

1.0851

J-A-J-O
               1,080.54
4,968.12

2232010
7252023
28176EAC2
EDWARDS LIFESCIECE CORP SENIOR CORP BND
 
 
 
 
4,323,992.5

4,288,858.69

4,250,000.00

4,319,530.48

(30,671.79
)
(4,462.02
)
—

—

2.875

2.4201

Apr-Oct
0
30,546.88

9032014
10152018
29372EAT5
EFF_12-2 SENIOR ABS 12-2 A3 144A
 
 
2
 
660,592.97

660,508.22

660,000.00

660,223.6

284.62

(351.53
)
—

—

0.93

0.8805

Monthly
                   187.55
6,138

11202013
4202018
29372EBE7
EFF_14-2 ABS_14-2 A2 144A
 
 
2
 
1,334,785.07

1,333,638.34

1,335,000.00

1,334,821.87

(1,183.53
)
36.80

—

—

1.05

1.0598

Monthly
0
5,373.39

8062014
3202020
26971HAA0
EGLE_14-1A ABS_14-1A A1 144A
 
F
2
 
4,999,206.5

4,994,000

5,000,000.00

4,999,204.88

(5,204.88
)
(1.62
)
—

—

2.57

2.5849

Monthly
0
4,283.33

12122014
12152039
263534CF4
EI DU PONT DE NEMOURS & CO CORP BND
 
 
 
 
5,142,300

5,119,225

5,000,000.00

5,118,206.3

1,018.7

(24,093.70
)
—

—

2.75

0.8402

Apr-Oct
0
34,375

3222011
4012016
28336LBR9
EL PASO LLC CORP BND
 
 
 
 
2,428,386.4

2,419,124.22

2,140,000.00

2,428,386.4

(9,262.18
)
—

—

—

7.25

3.0493

Jun-Dec
0
—

12312014
6012018
283695BP8
EL PASO NATURAL GAS COMPANY CORP BND
 
 
 
 
1,925,592.5

1,931,488.69

1,790,000.00

1,924,336.28

7,152.41

(1,256.22
)
—

—

5.95

2.5481

Apr-Oct
0
2,070.93

12192014
4152017
28140DAA1
ELAB_12-1 ABS 12-1
 
 
2
 
111,974.31

111,978.34

111,974.31

111,974.31

4.03

0.22

—

—

0.6195

0.6202

Monthly
                  269.23
8,649.85

9192012
6252022
BRSLX7XX4
ELECTRICITE DE FRANCE SA SENIOR CORP BND
 
F
 
 
3,163,264

3,198,259.01

3,200,000.00

3,169,863.66

28,395.35

6,599.66

—

—

2.15

2.3950

Jan-Jul
0
64,786.67

1132014
1222019
268317AJ3
ELECTRICITE DE FRANCE SA SENIOR CORP BND 144A
 
F
 
 
4,863,518.4

4,928,354.16

4,920,000.00

4,873,665.38

54,688.78

17,336.85

—

—

2.15

2.3950

Jan-Jul
0
170,260.89

1132014
1222019
532457BF4
ELI LILLY AND COMPANY SENIOR CORP BND
 
 
 
 
996,180

999,748.31

1,000,000.00

996,393.09

3,355.22

213.09

—

—

1.95

2.0400

Mar-Sep
0
4,875

2202014
3152019
268648AP7
EMC CORP/ MASSACHUSETTS SENIOR CORP BND
 
 
 
 
3,498,725

3,479,180.57

3,500,000.00

3,499,105.84

(19,925.27
)
257.60

—

—

1.875

1.8871

Jun-Dec
               3,125.00
58,125

4022014
6012018
BRSP2R5D0
EMERALD PERFORMANCE MATERIALS SENIOR SECURED TERM NOTES
 
 
 
 
104,052.28

102,451.24

104,575.16

104,076.88

(1,625.64
)
24.60

—

—

—

0.0715

M-J-S-D
0
1,542.46

7232014
8012021
BRSMKZQU8
EMPIRE GENERATING CO LLC
 
 
 
 
78,681.63

78,284.24

79,476.39

78,761.78

(477.54
)
80.15

—

—

—

0.1438

M-J-S-D
0
2,943.93

 
 
BRSMKZQ95
EMPIRE GENERATING CO LLC SENIOR SECURED TERM LOAN
 
 
 
 
1,119,311.72

1,113,658.63

1,130,617.90

1,120,451.99

(6,793.36
)
1,225.71

—

—

—

0.1438

M-J-S-D
0
42,081.81

3132014
3122021
BRSLJ8BU8
ENDO LUXEMBOURG FINANCE I COMP
 
 
 
 
143,192.93

140,674.47

143,912.50

143,274.87

(2,600.4
)
87.37

—

—

—

0.0710

M-J-S-D
0
3,913.01

 
 
29270CYL3
ENERGY NORTHWEST MUNITAX BND REV
 
 
 
 
3,048,510

3,042,300

3,000,000.00

3,045,370.24

(3,070.24
)
(3,139.76
)
—

—

2.147

1.7001

Jan-Jul
0
16,102.5

8162012
7012018
29358QAB5
ENSCO PLC CORP BND
 
F
 
 
1,029,690

1,019,270

1,000,000.00

1,024,494.71

(5,224.71
)
(5,195.29
)
—

—

3.25

1.1901

Mar-Sep
0
8,125

3082011
3152016
BRSMRYMN4
ENTEGRIS, INC. SENIOR SECURED TERM NOTES
 
 
 
 
1,082,617.38

1,065,844.98

1,088,057.68

1,083,102.85

(17,257.87
)
1,564.73

—

—

—

0.0711

M-J-S-D
0
27,897.26

3252014
4302021
29372EAZ1
ENTERPRISE FLEET FINANCING LLC AB_13-2-A3 144A
 
 
2
 
299,978.79

301,760.99

300,000.00

299,984.42

1,776.57

2.84

—

—

1.51

1.5162

Monthly
                   138.42
4,530

8072013
3202019
29372EAY4
ENTERPRISE FLEET FINANCING LLC ABS _13-2-A2 144A
 
 
2
 
1,945,683.2

1,949,723.88

1,945,987.56

1,945,835.3

3,888.58

177.21

—

—

1.06

1.0695

Monthly
                    842.11
25,661.08

8072013
3202019
293791AR0
ENTERPRISE PRODUCTS OPERATING CORP BND
 
 
 
 
2,162,160

2,012,780

2,000,000.00

2,013,689.41

(909.41
)
(121,858.54
)
—

—

5

0.7839

Mar-Sep
            66,666.66
146,111.11

3192013
3012015
29379VBD4
ENTERPRISE PRODUCTS OPERATING SENIOR CORP BND
 
 
1
 
4,999,050

4,947,334.65

5,000,000.00

4,999,089.49

(51,754.84
)
39.49

—

—

2.55

2.5541

Apr-Oct
0
27,270.83

10022014
10152019
BRSJGG5M3
ENTRAVISION COMMUN CORP SENIOR SECURED TERM LOAN
 
 
 
 
2,644,350.01

2,578,241.26

2,644,350.01

2,644,350.01

(66,108.75
)
—

—

—

—

—

M-J-S-D
0
110,173.98

8012013
5312020
BRSBYALT0
ENVISION HEALTHCARE CORP TERM LOAN
 
 
2
 
5,572,243.91

5,572,243.79

5,600,245.02

5,585,181.63

(12,937.84
)
4,607.27

—

—

—

0.0782

F-M-A-N
0
228,384.18

6252012
5252018
295407YA2
ERIE PA MUNITAX BND GO
 
 
 
 
3,129,047

3,119,468

3,100,000.00

3,122,808.6

(3,340.6
)
(6,238.40
)
—

—

6.65

5.7696

May-Nov
0
51,537.5

12212001
11152015
L0594VKM1
EUROPEAN INVESTMENT BANK CORP BND EMTN
 
D
 
 
3,265,258.05

3,261,178.77

1,850,000.00

3,261,295.85

(117.08
)
(23,002.50
)
—

(4,803.55
)
4.75

1.2383

October
              7,482.30
38,958.14

12152014
10152018
L0593NQJ1
EUROPEAN INVESTMENT BANK SENIOR CORP BND
 
D
 
 
2,407,935.08

2,400,522.51

1,280,000.00

2,401,740.79

(1,218.28
)
(6,194.29
)
—

(3,537.51
)
8.75

0.9913

August
0
6,801.42

12152014
8252017
298785GH3
EUROPEAN INVESTMENT BANK SENIOR CORP BND
 
F
 
 
9,955,000

10,109,300.2

10,000,000.00

9,961,490.96

147,809.24

6,490.96

—

—

1.875

1.9710

Mar-Sep
0
137,500

4022014
3152019
298785FN1
EUROPEAN INVESTMENT BANK SENIOR CORP BND
 
F
 
 
15,606,900

15,404,700

15,000,000.00

15,390,942.14

13,757.86

(215,957.86
)
—

—

2.5

0.5910

May-Nov
0
285,416.67

3242014
5162016
299227L63
EVANSTON ILL MUNI BND GO
 
 
1
 
1,541,552

1,528,645.75

1,475,000.00

1,528,196.15

449.6

(13,355.85
)
—

—

4.5

0.8699

Jan-Jul
0
16,593.75

12192006
1012018
299227L55
EVANSTON ILL MUNI BND GO
 
 
1
 
1,562,992.6

1,548,102.4

1,495,000.00

1,549,324.03

(1,221.63
)
(13,668.57
)
—

—

4.25

0.5999

Jan-Jul
0
15,884.37

12192006
1012017
300141AC2
EVERGLADES RE LTD CORP BND 144A
 
F
 
 
4,020,000

4,195,920

4,000,000.00

4,017,477.78

178,442.22

(2,522.22
)
—

—

7.515

7.3788

M-J-S-D
0
862,852.2

7252014
4282017
300569GY0
EWING TWP N J SCH DIST MUNITAX BND GO
 
 
 
 
1,477,604.7

1,469,778.75

1,485,000.00

1,478,062.98

(8,284.23
)
458.28

—

—

1.596

1.7253

Apr-Oct
0
5,925.15

3082013
10012018
BRSL2KC12
EXCELITAS TECHNOLOGIES COR SENIOR SECURED TERM NOTES
 
 
 
 
4,086,459.77

4,100,205.12

4,127,737.13

4,092,850.94

7,354.18

9,161.99

—

—

—

0.1436

M-J-S-D
0
339,612.51

12052013
10302020
BRSPRVAJ5
EXGEN TEXAS POWER LLC SENIOR SECURED TERM LOAN
 
 
1
 
1,316,333.34

1,319,657.41

1,329,629.63

1,316,821.5

2,835.91

525.20

—

—

—

0.1420

M-J-S-D
0
19,805.56

9162014
9182021
30219GAD0
EXPRESS SCRIPTS HOLDING CO SENIOR CORP BND
 
 
 
 
4,067,024.68

4,195,661.78

4,100,000.00

4,082,430.61

113,231.17

7,921.18

—

—

2.65

2.8596

Feb-Aug
             41,045.56
108,650

1142013
2152017
30219GAH1
EXPRESS SCRIPTS HOLDING CO SENIOR CORP BND
 
 
 
 
7,990,555.5

7,963,592.91

8,050,000.00

7,994,306.37

(30,713.46
)
3,799.03

—

—

2.25

2.3010

Jun-Dec
0
81,125

7222014
6152019
30231GAD4
EXXON MOBIL CORP SENIOR CORP BND
 
 
1
 
2,050,000

2,040,337.45

2,050,000.00

2,050,000

(9,662.55
)
—

—

—

1.819

1.8190

Mar-Sep
0
29,106.53

3172014
3152019
30231GAA0
EXXON MOBIL CORP SENIOR CORP BND
 
 
 
 
2,905,046

2,915,394.3

2,900,000.00

2,904,355.51

11,038.79

(851.80
)
—

—

0.921

0.8520

Mar-Sep
0
11,543.19

8202014
3152017
30231GAB8
EXXON MOBIL CORP SENIOR CORP BND
 
 
 
 
5,000,000

4,996,450.05

5,000,000.00

5,000,000

(3,549.95
)
—

—

—

0.2806

0.2806

M-J-S-D
0
10,906.21

9182014
3152017
31398SKX0
FANNIE MAE FNMA_10-142 AGENCY CMO 10-142 FM
 
 
2
 
738,401.74

738,735.39

736,560.32

738,405.14

330.25

(763.75
)
—

—

0.6395

0.5708

Monthly
                   107.23
5,373.73

8152013
12252040
G3401LAB1
FCE BANK PLC SENIOR LOCAL BND EMTN
 
D
 
 
1,193,355.47

1,178,722.23

710,000.00

1,190,472.37

(11,750.14
)
(3,217.13
)
—

(10,031.01
)
4.825

1.6157

February
0
5,105.32

11272014
2152017
G33365SX9
FCE BANK PLC SENIOR LOCAL BND EMTN
 
D
 
 
1,652,000.81

1,528,659.9

950,000.00

1,604,784.03

(76,124.13
)
(59,017.84
)
—

(78,504.18
)
5.125

1.5879

November
0
87,765.72

2072014
11162015
3133EDRU8
FEDERAL FARM CREDIT BANKS AGENCY BND
 
 
1
 
2,986,380

3,009,107.4

3,000,000.00

2,987,078.21

22,029.19

698.21

—

—

1.95

2.0486

Feb-Aug
0
14,625

9122014
8052019
3133EDZ96
FEDERAL FARM CREDIT BANKS AGENCY BND
 
 
1
 
4,741,204.5

4,706,885.63

4,750,000.00

4,741,615.31

(34,729.68
)
410.81

—

—

1.6

1.6480

Apr-Oct
0
14,355.57

10162014
10232018
BRSMTTCL8
FEDERAL-MOGUL HOLDINGS CORP SENIOR SECURED TERM LOAN
 
 
1
 
1,696,023.35

1,695,597.21

1,704,546.08

1,696,861.35

(1,264.14
)
1,947.11

—

—

—

0.0709

M-J-S-D
0
119,801.19

4032014
4152021
BRSP9DQP4
FERRO CORP SENIOR SECURED TERM NOTES
 
 
 
 
441,116.67

437,237.5

443,333.33

441,227.72

(3,990.22
)
116.61

—

—

—

0.0714

M-J-S-D
0
6,696.29

7302014
7312021
313383V81
FHLB AGENCY BND
 
 
 
 
1,499,940

1,501,740

1,500,000.00

1,499,980.65

1,759.35

29.34

—

—

0.375

0.3770

Feb-Aug
                1,921.88
5,625

8082013
8282015
3130A1CD8
FHLB AGENCY BND
 
 
1
 
2,019,500

2,010,699.92

2,000,000.00

2,010,087.59

612.33

(9,412.41
)
—

—

1.125

0.4392

Mar-Sep
0
15,437.5

4232014
9282016
313382K85
FHLB AGENCY BND
 
 
 
 
2,997,150

3,001,380.3

3,000,000.00

2,998,845.74

2,534.56

949.04

—

—

0.45

0.4819

Mar-Sep
              3,862.50
13,500

3132013
3182016
3130A0C65
FHLB AGENCY BND
 
 
 
 
3,841,645

3,843,416.59

3,850,000.00

3,844,628.71

(1,212.12
)
2,995.89

—

—

0.625

0.7179

Jun-Dec
                  263.03
29,270.84

12032013
12282016
3130A3HF4
FHLB AGENCY BND
 
 
 
 
4,985,969.52

4,984,849.96

5,000,000.00

4,986,073.43

(1,223.47
)
103.91

—

—

1.125

1.2217

Jun-Dec
0
1,093.76

12232014
12082017
3130A3J70
FHLB AGENCY BND
 
 
 
 
9,996,000

9,993,399.81

10,000,000.00

9,996,244.5

(2,844.69
)
244.50

—

—

0.625

0.6450

May-Nov
0
7,638.88

11142014
11232016
313370SZ2
FHLB UNSEC AGENCY BND
 
 
 
 
11,244,219.1

11,240,842.89

10,900,000.00

11,208,847.03

31,995.86

(35,567.68
)
—

—

2.25

1.1865

Mar-Sep
0
76,056.25

9112014
9082017
3137EADQ9
FHLMC AGENCY BND
 
 
 
 
2,949,823

2,948,082.5

2,950,000.00

2,949,922.86

(1,840.36
)
86.90

—

—

0.5

0.5019

May-Nov
               3,518.00
22,824.31

3062013
5132016
3137EADH9
FHLMC AGENCY BND
 
 
 
 
4,502,205

4,505,355.14

4,500,000.00

4,501,953.18

3,401.96

(251.82
)
—

—

1

0.9823

Jun-Dec
0
15,250

8282014
6292017
3134G3J76
FHLMC AGENCY BND
 
 
 
 
7,002,107

7,011,479.3

7,000,000.00

7,000,479.94

10,999.36

(712.49
)
—

—

0.45

0.4398

Mar-Sep
             10,237.50
31,500

9142012
9042015
3137EACH0
FHLMC AGENCY BND
 
 
 
 
8,563,258.24

8,022,400

8,000,000.00

8,018,449.93

3,950.07

(173,664.93
)
—

—

2.875

0.6913

Feb-Aug
            90,722.22
230,000

11022011
2092015
31398QHE0
FHLMC AGENCY CMBS_ _K007-A1
 
 
2
 
3,681,564.04

3,663,694.22

3,519,760.65

3,671,229.01

(7,534.79
)
(13,659.97
)
—

—

3.342

1.0764

Monthly
0
29,609.64

6102010
12252019
31398JZR7
FHLMC AGENCY CMBS_K004-A1
 
 
2
 
1,222,963.4

1,218,427.18

1,163,729.56

1,219,593.87

(1,166.69
)
(6,042.35
)
—

—

3.413

1.1782

Monthly
0
10,079.32

10072009
5252019
31398WV35
FHLMC AGENCY CMO 3654
 
 
2
 
70,760.6

69,719.16

65,938.82

68,753.11

966.05

(1,833.08
)
—

—

5

1.6039

Monthly
                   389.18
3,902.66

2012012
11152028
3137APVD9
FHLMC AGENCY CMO_ _40-54-AE
 
 
2
 
2,235,632.61

2,224,726.43

2,278,769.73

2,236,260

(11,533.57
)
2,593.00

—

—

1.5

1.9394

Monthly
0
8,681.83

5162012
4152027
31395PE73
FHLMC AGENCY CMO__2943-VC
 
 
2
 
996,250.75

987,741.88

974,557.10

992,330

(4,588.12
)
(9,721.14
)
—

—

5

1.2170

Monthly
0
13,211.42

8122005
3152025
3137AVCQ8
FHLMC AGENCY CMO__4120-GP
 
 
2
 
2,232,829.09

2,314,292.85

2,478,965.58

2,235,414.1

78,878.75

8,981.46

—

—

1.5

3.6742

Monthly
0
9,372.78

1152013
10152032
31393PLP7
FHLMC AGENCY CMO_2602-WC
 
 
2
 
478,440.16

475,326.95

453,291.54

476,745.8

(1,418.85
)
(5,126.29
)
—

—

5

0.8868

Monthly
0
5,917.56

2162005
4152018
31395HJ43
FHLMC AGENCY CMO_2877-AL
 
 
2
 
839,182.89

841,313.41

778,130.75

838,109.13

3,204.28

(5,443.49
)
—

—

5

2.0502

Monthly
0
9,962.62

8122005
10152024
31396CLF5
FHLMC AGENCY CMO_3054 DW
 
 
2
 
4,107.69

4,138.03

4,123.15

4,113.91

24.12

44.14

—

—

5.5

5.6498

Monthly
                     98.31
630.24

6172008
5152034
3137A0MS1
FHLMC AGENCY CMO_3688-JA
 
 
2
 
907,083.04

908,331.25

880,885.50

905,716.26

2,614.99

(5,715.16
)
—

—

3.5

1.7899

Monthly
0
8,104.2

7142010
1152030
3137A3QQ5
FHLMC AGENCY CMO_37 62-PQ
 
 
2
 
879,270.91

847,247.63

839,752.17

879,045.67

(31,798.04
)
(3,304.45
)
—

—

4

2.8613

Monthly
0
8,506.58

12012010
11152040
3137A2QN4
FHLMC AGENCY CMO_37-60-NA
 
 
2
 
748,221.85

748,182.37

731,006.64

747,361.65

820.72

(2,033.79
)
—

—

3

1.4558

Monthly
0
5,600.45

8202013
10152037
3137ALG60
FHLMC AGENCY CMO_4004-AE
 
 
2
 
2,030,176.43

1,997,671.96

2,049,979.23

2,030,435.2

(32,763.24
)
1,067.42

—

—

1.75

1.9825

Monthly
0
9,092.31

3132012
2152027
3133TJP56
FHLMC CMO AGENCY CMO_2130 QS
 
 
2
 
830,908.82

894,909.86

819,386.21

828,329.42

66,580.44

(4,047.27
)
—

—

6

5.6570

Monthly
              5,349.30
55,260.77

2062007
3152029
31395EBR7
FHLMC CMO_2839 TC
 
 
2
 
2,868,738.68

2,869,302.11

2,721,892.57

2,861,172.37

8,129.74

(22,272.38
)
—

—

5

1.6571

Monthly
0
35,197.01

5192005
8152019
31395EC47
FHLMC CMO_2839 TS
 
 
2
 
852,705.27

836,658.72

793,675.63

836,635.9

22.82

(33,842.42
)
—

—

5

1.4771

Monthly
               4,912.07
48,116.88

3072013
8152019
31395KJS3
FHLMC CMO_2902 DE
 
 
2
 
3,487,380.24

3,495,459.01

3,293,430.13

3,479,035.1

16,423.91

(25,534.36
)
—

—

5

1.7748

Monthly
0
42,337.15

2182005
12152019
31397Y5H0
FHLMC CMO_3484 DA
 
 
2
 
56,898.79

54,767.23

54,693.94

54,682.8

84.43

(4,969.59
)
—

—

5

3.0972

Monthly
              2,359.42
13,594.12

6012009
9152022
31398QNB9
FHLMC CMO_3676 CA
 
 
2
 
112,443.65

112,484.7

110,039.30

112,095.83

388.87

(842.16
)
—

—

4

1.0632

Monthly
0
1,179.6

6082010
7152024
3137A22H3
FHLMC CMO_3745 BP
 
 
2
 
1,631,780.04

1,609,561.03

1,552,907.85

1,630,237.98

(20,676.95
)
(6,922.74
)
—

—

3.5

1.6560

Monthly
0
13,894.67

10132010
8152025
3137AAGA5
FHLMC CMO_3857 GL
 
 
2
 
996,266.46

989,502.1

967,305.34

995,937.18

(6,435.08
)
(2,436.34
)
—

—

3

1.9065

Monthly
0
7,406.56

7122011
5152040
3137ARH58
FHLMC CMO_4057 CD
 
 
2
 
3,845,600.05

3,853,528.39

3,968,136.10

3,847,281.98

6,246.41

5,921.31

—

—

2

2.7269

Monthly
0
20,034.82

9052013
4152039
3137AYWS6
FHLMC CMO_41-70 JA
 
 
2
 
1,710,348.39

1,732,260.43

1,752,962.92

1,711,309.77

20,950.66

1,894.47

—

—

2

2.5007

Monthly
0
8,811.64

3072013
11152032
3137B2BP4
FHLMC CMO_42-3 BN
 
 
2
 
1,926,417.89

1,952,017.65

1,953,136.80

1,926,834.11

25,183.54

416.22

—

—

3

3.2780

Monthly
0
14,648.52

5232013
4152033
3137B7TL3
FHLMC CMO_4306 A
 
 
2
 
4,785,206.73

4,830,298.56

4,633,833.30

4,781,858.43

48,440.13

(6,195.70
)
—

—

3.5

2.9140

Monthly
0
40,777.88

2202014
3152041
3137AUDW6
FHLMC PAC AGENCY CMO 4105-MG
 
 
2
 
637,694.88

625,430.15

617,248.52

637,047.64

(11,617.49
)
(773.21
)
—

—

3

2.1664

Monthly
0
2,526.45

11062014
11152040
3128JLHB8
FHLMC POOL # 1B1225
 
 
2
 
38,846.52

41,276.5

39,450.08

38,877.01

2,399.49

122.27

—

—

2.25

2.6830

Monthly
                    94.88
1,048.47

4022007
9012033
3128JMW45
FHLMC POOL # 1B2566
 
 
2
 
60,708.13

65,978.34

61,185.37

60,730.84

5,247.5

46.33

—

—

2.4

2.5361

Monthly
                    143.41
1,612.63

4022007
11012034
3128JMXM4
FHLMC POOL # 1B2583
 
 
2
 
1,136,982.36

1,215,817.58

1,149,605.03

1,137,838.19

77,979.39

1,893.72

—

—

2.4

2.6021

Monthly
              2,828.57
31,636.93

9172008
10012034
3128JMY68
FHLMC POOL # 1B2632
 
 
2
 
71,515.92

78,199.8

72,078.14

71,540.51

6,659.29

47.70

—

—

2.488

2.6286

Monthly
                   167.09
1,914.77

4032007
11012034
3128JMZG5
FHLMC POOL # 1B2642
 
 
2
 
108,517.81

116,832.77

109,370.92

108,560.71

8,272.06

100.35

—

—

2.407

2.5373

Monthly
                  260.34
2,931.75

4022007
11012034
3128JNAL9
FHLMC POOL # 1B2810
 
 
2
 
137,176.58

149,406.42

138,604.19

137,244

12,162.42

142.57

—

—

2.524

2.7374

Monthly
                  355.73
3,702.26

4022007
2012035
3128NCB37
FHLMC POOL # 1G0058
 
 
2
 
147,235.61

158,074.17

147,581.51

147,228.28

10,845.89

75.17

—

—

2.449

2.4460

Monthly
                  390.63
4,005.12

9172008
1012035
3128NCD68
FHLMC POOL # 1G0125
 
 
2
 
1,271,682.31

1,392,022.27

1,298,877.55

1,273,684.17

118,338.1

3,496.89

—

—

2.332

2.7905

Monthly
              3,287.90
33,214.17

12132005
3012035
3128NCMS0
FHLMC POOL # 1G0369
 
 
2
 
219,237.01

231,765.03

218,146.27

219,119.85

12,645.18

(58.96
)
—

—

2.23

2.0606

Monthly
                  484.56
5,509.48

8272008
10012035
3128QJLG9
FHLMC POOL # 1G1227
 
 
2
 
178,140.19

186,656.75

174,647.28

177,788.68

8,868.07

(269.53
)
—

—

2.378

1.9597

Monthly
                  407.79
4,625.57

1042008
10012036
3128QJRN8
FHLMC POOL # 1G1393
 
 
2
 
988,685.84

1,016,133.71

948,981.84

986,366.08

29,767.63

(8,357.53
)
—

—

2.539

1.6805

Monthly
              2,685.53
25,918.72

3092012
12012036
3128QJ3B0
FHLMC POOL # 1G1694
 
 
2
 
1,164,508.44

1,260,661.38

1,182,007.71

1,165,492.69

95,168.69

1,095.10

—

—

2.159

2.4499

Monthly
              2,590.93
27,371.15

8102007
4012037
31342AZE2
FHLMC POOL # 780741
 
 
2
 
362,175.04

374,549.61

351,040.48

361,544.51

13,005.1

(2,074.26
)
—

—

2.375

1.2640

Monthly
                  829.58
8,718.29

11162009
7012033
31342A6F1
FHLMC POOL # 780870
 
 
2
 
234,505.71

253,959.92

238,149.38

234,682.36

19,277.56

824.98

—

—

2.36

2.8008

Monthly
                   583.19
6,214.33

2222012
9012033
31349SJK0
FHLMC POOL # 781166
 
 
2
 
524,465.06

565,284.32

533,149.57

525,070.61

40,213.71

1,350.29

—

—

2.355

2.7252

Monthly
               1,273.37
13,594.56

1092006
1012034
31349UCW6
FHLMC POOL # 782785
 
 
2
 
114,568.76

122,870.9

115,469.44

114,617.89

8,253.01

164.95

—

—

2.232

2.3628

Monthly
                  256.82
2,832.71

4022007
10012034
31349UEJ3
FHLMC POOL # 782837
 
 
2
 
192,914.91

208,572.82

194,431.49

192,982.68

15,590.14

328.42

—

—

2.375

2.5191

Monthly
                   476.17
5,168.15

4022007
11012034
31349UJL3
FHLMC POOL # 782967
 
 
2
 
68,861.68

74,868.61

69,899.25

68,921.69

5,946.92

140.51

—

—

2.375

2.7184

Monthly
                   164.48
1,783.72

9302008
1012035
31349ULB2
FHLMC POOL # 783022
 
 
2
 
208,514.33

225,395.16

210,376.18

208,598.6

16,796.56

328.25

—

—

2.375

2.5520

Monthly
                  503.57
5,470.27

4022007
2012035
31295NXK9
FHLMC POOL # 789682
 
 
2
 
28,110.3

30,586.99

28,272.64

28,118.39

2,468.6

7.04

—

—

2.352

2.4381

Monthly
                    57.84
678.42

8102006
9012032
3128JRJS6
FHLMC POOL # 847473
 
 
2
 
1,337,928.57

1,434,068.15

1,343,386.10

1,338,023.71

96,044.44

869.32

—

—

2.353

2.3969

Monthly
              3,078.85
34,183.42

9262007
12012035
3128JRKQ8
FHLMC POOL # 847503
 
 
2
 
643,180.44

698,784.24

658,564.10

643,951.48

54,832.76

2,213.35

—

—

2.286

2.9682

Monthly
                1,594.19
16,652.73

5312006
12012035
3128JRPZ3
FHLMC POOL # 847640
 
 
2
 
256,391.29

277,015.12

257,796.29

256,435.51

20,579.61

193.17

—

—

2.374

2.4552

Monthly
                  644.79
6,691.75

11132006
5012036
3128JRP26
FHLMC POOL # 847641
 
 
2
 
389,618.69

420,569.62

392,760.76

389,815.34

30,754.28

479.67

—

—

2.365

2.4948

Monthly
                  932.28
9,954.24

2222012
12012033
3128JR6Z4
FHLMC POOL # 848088
 
 
2
 
5,584,223.37

5,691,980.3

5,314,353.85

5,571,319.37

120,660.93

(48,448.92
)
—

—

2.37

0.9620

Monthly
              12,716.74
137,426.51

3082011
4012035
31300L3D5
FHLMC POOL # 848896
 
 
2
 
1,807,990.92

1,798,424.96

1,718,826.78

1,806,662.7

(8,237.74
)
(22,771.60
)
—

—

2.949

1.3133

Monthly
               5,324.81
56,770.04

4222013
5012042
3128KWBZ5
FHLMC POOL # A65456
 
 
2
 
11,196.7

12,510.04

10,775.77

11,172.3

1,337.74

(116.06
)
—

—

6

5.0304

Monthly
                    68.36
732.49

2042009
9012037
3128KWFX6
FHLMC POOL # A65582
 
 
2
 
23,885.11

26,686.77

22,987.17

23,831.73

2,855.04

(273.08
)
—

—

6

5.0667

Monthly
                   149.00
1,504.78

2042009
9012037
3128KWFY4
FHLMC POOL # A65583
 
 
2
 
24,359.04

27,216.31

23,443.30

24,305.69

2,910.62

(255.49
)
—

—

6

5.0490

Monthly
                    149.10
1,632.15

2042009
9012037
3128KWNV1
FHLMC POOL # A65804
 
 
2
 
347,405.12

397,607.66

343,460.68

347,135.07

50,472.59

(5,436.00
)
—

—

6

5.7075

Monthly
               4,156.52
27,307.89

11022007
9012037
3128KWNX7
FHLMC POOL # A65806
 
 
2
 
877,983.73

1,004,858.71

868,015.12

877,315.54

127,543.17

(3,240.86
)
—

—

6

5.7032

Monthly
                5,719.21
63,312.29

11022007
9012037
3128KWTK9
FHLMC POOL # A65954
 
 
2
 
28,470.41

31,809.89

27,400.07

28,403.06

3,406.83

(325.41
)
—

—

6

5.1308

Monthly
                    177.10
1,862.52

2042009
9012037
3128KWTP8
FHLMC POOL # A65958
 
 
2
 
19,076.05

21,313.65

18,358.93

19,034.35

2,279.3

(348.11
)
—

—

6

5.0468

Monthly
                   136.32
1,316.09

2042009
9012037
3128KWTZ6
FHLMC POOL # A65968
 
 
2
 
21,296.73

23,794.76

20,496.08

21,250.7

2,544.06

(215.13
)
—

—

6

5.0253

Monthly
                   129.23
1,360.31

2042009
9012037
3128KWT29
FHLMC POOL # A65969
 
 
2
 
17,211.56

19,230.43

16,564.51

17,174.52

2,055.91

(242.62
)
—

—

6

5.0246

Monthly
                    113.65
1,085.19

2042009
9012037
3128KW5Q2
FHLMC POOL # A66255
 
 
2
 
358,013.11

402,778.52

353,948.25

357,714.48

45,064.04

(3,089.83
)
—

—

6

5.7336

Monthly
               3,127.59
31,038.19

11022007
9012037
3128KYXE4
FHLMC POOL # A67877
 
 
2
 
22,172.75

24,773.57

21,339.20

22,120.2

2,653.37

(97.38
)
—

—

6

5.0881

Monthly
                    117.32
1,372.15

2042009
4012037
312929CM2
FHLMC POOL # A82776
 
 
2
 
8,018.46

8,956.19

7,717.00

8,000.78

955.41

(66.52
)
—

—

6

5.1576

Monthly
                    46.57
472.03

2042009
1012039
312930LH1
FHLMC POOL # A83928
 
 
2
 
17,198.56

19,209.89

16,551.99

17,161.7

2,048.19

(68.40
)
—

—

6

5.1403

Monthly
                    90.38
1,041.91

2042009
1012039
312930LQ1
FHLMC POOL # A83935
 
 
2
 
36,379.63

40,634.17

35,011.98

36,296.26

4,337.91

(341.81
)
—

—

6

5.2048

Monthly
                   217.07
2,279.99

2042009
1012039
312930RC6
FHLMC POOL # A84083
 
 
2
 
20,772.15

23,219.36

19,991.25

20,717.07

2,502.29

(123.42
)
—

—

6

5.3063

Monthly
                    114.07
1,265.52

2042009
1012039
312930RV4
FHLMC POOL # A84100
 
 
2
 
10,649.95

11,895.46

10,249.59

10,625.53

1,269.93

(66.10
)
—

—

6

5.1938

Monthly
                    58.89
626.63

2042009
1012039
312930TB6
FHLMC POOL # A84146
 
 
2
 
10,996.8

12,292.37

10,583.40

10,973.33

1,319.04

(70.40
)
—

—

6

5.1334

Monthly
                      61.21
641.02

2042009
1012039
31292KJH1
FHLMC POOL # C02964
 
 
2
 
1,559.74

1,742.7

1,501.11

1,556.25

186.45

(12.89
)
—

—

6

5.0465

Monthly
                       9.07
99.84

2042009
7012037
31292SA91
FHLMC POOL # C09032
 
 
2
 
1,152,777.78

1,179,051.89

1,132,516.35

1,152,600.64

26,451.25

(638.10
)
—

—

3.5

3.2147

Monthly
0
11,562.28

9122014
2012043
3128M4HY2
FHLMC POOL # G02647
 
 
2
 
451,724.28

510,709.59

457,949.52

451,988.1

58,721.49

2,873.95

—

—

5.5

5.9681

Monthly
                3,091.51
29,819.64

4092007
2012037
3128M4ZG1
FHLMC POOL # G03143
 
 
2
 
2,931.38

3,275.2

2,821.16

2,924.7

350.5

(27.81
)
—

—

6

5.0655

Monthly
                     17.52
185.86

2042009
7012037
3128M5HK9
FHLMC POOL # G03534
 
 
2
 
4,540,342.44

5,073,479.34

4,418,152.83

4,532,662.36

540,816.98

(38,267.13
)
—

—

6.5

5.8002

Monthly
             31,229.99
323,632.97

11062007
10012037
3128M6UB2
FHLMC POOL # G04778
 
 
2
 
71,136.38

79,455.66

68,462.08

70,978.11

8,477.55

(599.21
)
—

—

6

5.1260

Monthly
                   415.28
4,510.66

2042009
7012038
3128M7AZ9
FHLMC POOL # G05124
 
 
2
 
177,712.52

198,495.71

171,031.60

177,327

21,168.71

(1,871.31
)
—

—

6

5.1394

Monthly
               1,087.60
11,456.76

2042009
12012038
3128M92M3
FHLMC POOL # G07680
 
 
2
 
4,277,334.75

4,334,136.42

4,046,554.67

4,275,116.62

59,019.8

(10,744.87
)
—

—

4

3.1222

Monthly
0
62,252.55

8122014
4012044
3128MJUW8
FHLMC POOL # G08596
 
 
2
 
4,623,811.65

4,625,028.19

4,264,648.31

4,620,664.84

4,363.35

(12,742.55
)
—

—

4.5

2.4278

Monthly
0
70,796.22

8152014
7012044
3128MJU81
FHLMC POOL # G08606
 
 
2
 
5,173,353.46

5,269,081.49

4,939,499.05

5,171,181.8

97,899.69

(4,389.14
)
—

—

4

3.0825

Monthly
0
42,422.65

9182014
9012044
3128MBBR7
FHLMC POOL # G12548
 
 
2
 
487,661.05

518,021.9

486,596.64

487,068.22

30,953.68

(382.72
)
—

—

5.5

5.4092

Monthly
              3,065.68
30,970.72

3302007
1012022
3128MBU70
FHLMC POOL # G13106
 
 
2
 
608,128.6

599,690.05

567,019.67

601,718.86

(2,028.81
)
(22,086.08
)
—

—

5

2.1440

Monthly
              3,428.90
33,860

7172013
10012020
3128MCRQ0
FHLMC POOL # G13895
 
 
2
 
1,693,629.43

1,655,580.4

1,573,182.63

1,656,566.86

(986.46
)
(66,993.42
)
—

—

5

2.1195

Monthly
             10,244.48
98,211.55

11102011
11012019
3128MDCL5
FHLMC POOL # G14375
 
 
2
 
175,621.25

176,167.23

165,023.64

175,079.67

1,087.56

(3,374.55
)
—

—

4

2.0520

Monthly
                  704.66
7,431.51

12132013
7012026
3128MDM91
FHLMC POOL # G14684
 
 
2
 
1,842,081.29

1,819,273.22

1,751,626.22

1,828,720.34

(9,447.12
)
(23,905.39
)
—

—

3

1.5574

Monthly
              5,262.55
57,595.25

2132013
2012023
3128MDNM1
FHLMC POOL # G14696
 
 
2
 
812,230

799,575.68

731,532.77

802,861.69

(3,286.01
)
(37,548.03
)
—

—

6

2.8535

Monthly
               5,173.63
51,914.27

3012013
3012024
3128MDVW0
FHLMC POOL # G14929
 
 
2
 
751,682.71

751,830.98

700,895.21

749,534.18

2,296.8

(13,035.81
)
—

—

4

2.1436

Monthly
              2,860.65
30,873.84

11192013
10012028
3128MD5G4
FHLMC POOL # G15147
 
 
2
 
3,031,367.35

3,046,423.07

2,923,781.34

3,029,096.26

17,326.81

(4,605.79
)
—

—

3

2.2502

Monthly
0
32,708.82

8132014
8012029
3128MTB72
FHLMC POOL # H00962
 
 
2
 
44,958.1

49,776.78

44,093.46

44,907.01

4,869.77

(1,932.79
)
—

—

6.5

5.9293

Monthly
                  792.77
5,865.13

10312007
7012037
3128MTEE4
FHLMC POOL # H01033
 
 
2
 
818,661.95

906,407.31

802,917.25

817,403.6

89,003.71

(29,985.65
)
—

—

6.5

6.1055

Monthly
             12,858.63
96,799.48

10312007
7012037
3128MTF29
FHLMC POOL # H01085
 
 
2
 
105,811.46

117,152.47

103,776.46

105,638.99

11,513.48

(123.80
)
—

—

6.5

6.1304

Monthly
                  577.35
6,835.41

10312007
7012037
3128PVWH9
FHLMC POOL # J16048
 
 
2
 
5,896,056.54

6,003,971.72

5,581,239.77

5,849,528.83

154,442.89

(66,321.01
)
—

—

4

2.7019

Monthly
             21,860.57
240,186.99

8022011
7012026
3128PV4J6
FHLMC POOL # J16225
 
 
2
 
1,845,778.25

1,879,561.4

1,747,223.89

1,831,894.88

47,666.52

(23,783.91
)
—

—

4

2.6507

Monthly
              7,038.82
76,213.93

8022011
8012026
31306YAL5
FHLMC POOL # J20911
 
 
2
 
1,603,888.16

1,602,221.52

1,524,676.47

1,591,937.7

10,283.82

(26,263.63
)
—

—

3

1.4730

Monthly
              4,850.74
50,607.42

2132013
10012022
3132GLQP2
FHLMC POOL # Q05262
 
 
2
 
3,461,491.3

3,482,297.41

3,344,941.02

3,456,636.38

25,661.03

(12,791.94
)
—

—

3.5

2.9085

Monthly
               10,711.04
122,675.38

2032012
12012041
3132GMDN9
FHLMC POOL # Q05809
 
 
2
 
4,946,766.75

4,986,174.65

4,673,650.31

4,943,467.63

42,707.02

(16,592.35
)
—

—

4

2.9983

Monthly
0
88,262.32

6272014
1012042
3132M92R4
FHLMC POOL # Q29184
 
 
2
 
2,962,893.66

2,965,720.8

2,773,717.47

2,961,344.54

4,376.26

(1,549.12
)
—

—

4

2.5001

Monthly
0
4,622.87

12112014
10012044
3132QLQT3
FHLMC POOL # Q30465
 
 
2
 
2,918,562.5

2,919,869.1

2,800,000.00

2,917,956.3

1,912.8

(606.20
)
—

—

3.5

2.8741

Monthly
0
4,083.34

12112014
12012044
3137B8MW4
FHLMC SENIOR AGENCY CMO_4322-DN
 
 
2
 
5,115,003.8

5,060,859.7

4,767,150.78

5,095,379.79

(34,520.09
)
(35,059.72
)
—

—

4

2.0928

Monthly
0
67,933.8

8202014
5152043
3137BDJQ0
FHLMC SENIOR AGENCY CMO_4384-HN
 
 
2
 
1,038,068.67

1,042,109.48

983,732.81

1,036,185.18

5,924.3

(2,503.22
)
—

—

3.5

2.1289

Monthly
0
7,786.72

10072014
6152040
3137A47K7
FHLMC SENIOR CMO_3778 M
 
 
2
 
228,849.42

228,884.5

210,617.83

227,534.75

1,349.75

(4,456.79
)
—

—

4.5

2.2626

Monthly
0
9,854.14

1132014
8152039
3134G3W55
FHLMC UNSECURED AGENCY BND
 
 
 
 
249,972.5

250,382.53

250,000.00

249,991.62

390.91

9.32

—

—

0.45

0.4538

May-Nov
                    115.63
1,125

12182012
11242015
3134G42Q0
FHLMC UNSECURED AGENCY BND
 
 
1
 
247,725

249,527.49

250,000.00

248,648.84

878.65

735.92

—

—

0.6

0.9012

Apr-Oct
                  275.00
1,500

9272013
10252016
3137EADP1
FHLMC UNSECURED AGENCY BND
 
 
 
 
14,877,000

14,827,349.85

15,000,000.00

14,922,343.58

(94,993.73
)
23,900.74

—

—

0.875

1.0410

Mar-Sep
             41,562.50
131,250

2012013
3072018
31397JAB0
FHLMC_3346A AGNECY CMO_3335-AF
 
 
2
 
190,262.27

190,593.08

190,247.40

190,256.55

336.53

(7.66
)
—

—

0.3108

0.3076

Monthly
                      41.12
726.94

7222011
10152020
31398Q4P9
FHLMC_3674 SENIOR AGENCY CMO 3674 HJ
 
 
2
 
1,640,324.31

1,634,269.93

1,468,262.32

1,633,496.99

772.94

(43,712.20
)
—

—

5.5

2.5453

Monthly
              8,227.38
89,973.51

11202013
4152040
3137A63Z3
FHLMC_3792 AGENCY CMO 3792
 
 
2
 
1,907,123.61

1,903,147.87

1,894,101.64

1,904,843.88

(1,696.01
)
(5,788.04
)
—

—

0.5608

0.3818

Monthly
                  953.04
15,283.14

11092012
11152040
3137ACNE5
FHLMC_3879 CMO_3879 MF
 
 
2
 
317,358.4

316,981.81

316,123.53

317,232.13

(250.32
)
(426.30
)
—

—

0.5108

0.3726

Monthly
                    90.66
1,790.96

11052013
9152038
3137BDKF2
FHR AGENCY CMO_4384 LA
 
 
2
 
4,647,044.46

4,629,508.7

4,412,623.82

4,642,197.51

(12,688.81
)
(9,488.81
)
—

—

3.5

2.1037

Monthly
0
39,312.29

8272014
9152040
31283AKB5
FHSTR_282 CMO_282 150
 
 
2
 
3,969,509.85

3,793,220.33

4,059,052.55

3,971,064.53

(177,844.2
)
4,699.60

—

—

1.5

1.9692

Monthly
0
15,417.56

10172012
10152027
316773CR9
FIFTH THIRD BANK CAPSEC CORP BND
 
 
1
 
7,895,000

7,760,000

8,000,000.00

7,895,638.75

(135,638.75
)
638.75

—

—

4.9

4.9359

Mar-Sep
0
88,336.12

11242014
12312049
31677QBC2
FIFTH THIRD BANK SENIOR CORP BND
 
 
1
 
2,835,322.5

2,842,843.48

2,850,000.00

2,835,938.34

6,905.14

615.84

—

—

2.875

2.9560

Apr-Oct
0
26,402.08

9022014
10012021
BRSNJVR77
FIFTH THIRD PROCESSING SOLUTIO SENIOR SECURED TERM NOTES
 
 
 
 
522,440.65

520,637.04

525,065.97

522,610.13

(1,973.09
)
182.68

—

—

—

0.0716

M-J-S-D
0
8,017.24

9122014
6132021
BRSP22SV0
FIRST DATA CORPORATION SENIOR SECURED TERM LOAN
 
 
 
 
1,977,500

1,961,000

2,000,000.00

1,978,916.13

(17,916.13
)
1,416.13

—

—

—

0.2803

M-J-S-D
0
20,692.46

7312014
9242018
337158AE9
FIRST TENNESSEE BANK NA SUB CORP BND
 
 
 
 
2,112,740

2,066,760.1

2,000,000.00

2,093,746.22

(26,986.12
)
(18,993.78
)
—

—

5.65

1.8300

Apr-Oct
0
28,250

3232006
4012016
33766QAA5
FIRSTENERGY OHIO PIRB SPECIAL ABS_13-1 A1
 
 
2
 
237,603.68

237,535.02

237,603.92

237,602.67

(67.65
)
0.19

—

—

0.679

0.6787

Jan-Jul
                1,801.24
2,157.02

6122013
1152019
337738AK4
FISERV INC CORP BND
 
 
 
 
789,567.5

769,910.49

750,000.00

768,628.74

1,281.75

(12,603.14
)
—

—

3.125

1.4052

Jun-Dec
                1,041.66
23,437.5

8062013
6152016
BRSFEV6K3
FLY FUNDING II SARL
 
 
 
 
1,980,536.24

1,977,428.94

1,985,500.00

1,981,416.86

(3,987.92
)
1,141.86

—

—

—

0.0441

F-M-A-N
0
79,455.91

 
 
30249UAA9
FMC TECHNOLOGIES INC SENIOR CORP BND
 
 
 
 
349,184.5

346,021

350,000.00

349,544.74

(3,523.74
)
159.52

—

—

2

2.0489

Apr-Oct
               1,750.00
7,000

9182012
10012017
30254WAE9
FMS WERTMANAGEMENT LT GTD SENIOR CORP BND
 
F
 
 
1,366,562.56

1,367,287.12

1,367,000.00

1,366,609.42

677.7

46.86

—

—

1.125

1.1359

Mar-Sep
0
4,955.38

8272014
9052017
30254WAF6
FMS WERTMANAGEMENT LT GTD SENIOR CORP BND
 
F
 
 
6,039,409.86

6,020,425.59

6,046,000.00

6,039,903.08

(19,477.49
)
493.22

—

—

0.625

0.6740

Jan-Jul
0
6,402.89

10222014
1302017
BRSF8V463
FMS WERTMANAGEMENT LT GTD SENIOR CORP BND EMTN
 
D
 
 
467,008.77

469,510.07

300,000.00

468,126.57

1,383.5

432.33

—

(779.29
)
1

1.0980

December
              2,504.20
20,409.01

7162012
12012015
3138E9KT6
FNMA
 
 
 
 
89,056.16

88,792.56

85,374.39

88,631.91

160.65

(1,707.52
)
—

—

3

1.9824

Monthly
                  308.43
2,991.86

 
 
3138E9L40
FNMA
 
 
 
 
2,180,269.17

2,173,815.79

2,090,132.21

2,169,962.85

3,852.94

(19,284.43
)
—

—

3

1.9985

Monthly
               6,153.82
67,561.8

 
 
3135G0CM3
FNMA AGENCY BND
 
 
 
 
1,775,714.5

1,769,039.95

1,750,000.00

1,765,017.34

4,022.61

(8,555.13
)
—

—

1.25

0.7519

Mar-Sep
               5,651.04
21,875

10012013
9282016
3135G0NR0
FNMA AGENCY BND
 
 
1
 
249,762.5

248,540

250,000.00

249,828.47

(1,288.47
)
65.97

—

—

1.1

1.1263

Feb-Aug
0
2,169.44

3142014
8282017
3135G0WJ8
FNMA AGENCY BND
 
 
 
 
1,995,720

1,971,640.02

2,000,000.00

1,997,133.57

(25,493.55
)
829.54

—

—

0.875

0.9181

May-Nov
               1,944.44
17,500

4112013
5212018
3135G0UM3
FNMA AGENCY BND
 
 
1
 
2,499,125

2,501,050

2,500,000.00

2,499,662.34

1,387.66

291.43

—

—

0.52

0.5318

Feb-Aug
               4,513.89
13,000

2052013
2262016
31359MZC0
FNMA AGENCY BND
 
 
 
 
5,904,904.9

5,472,038

5,300,000.00

5,394,870.78

77,167.22

(118,646.88
)
—

—

4.375

2.0647

Apr-Oct
             48,951.39
231,875

7162010
10152015
3135G0VA8
FNMA AGENCY BND
 
 
 
 
6,742,305

6,750,878.18

6,750,000.00

6,746,922.28

3,955.9

2,461.35

—

—

0.5

0.5369

Mar-Sep
               8,531.25
33,750

2142013
3302016
3135G0ZB2
FNMA AGENCY BND
 
 
 
 
6,726,442.5

6,733,327.37

6,750,000.00

6,732,522.62

804.75

6,080.12

—

—

0.75

0.8640

Apr-Oct
0
40,921.87

3062014
4202017
31398SVZ3
FNMA AGENCY CMO _10-139-MA
 
 
2
 
2,151,430.72

2,079,566.95

2,104,479.78

2,151,176.15

(71,609.2
)
(2,762.41
)
—

—

2.5

1.9548

Monthly
0
13,355.85

11092010
12252040
31398SZN6
FNMA AGENCY CMO _10-141-G
 
 
2
 
8,129,156.72

8,083,702.03

7,817,671.38

8,116,768.34

(33,066.31
)
(64,592.81
)
—

—

3.5

1.9600

Monthly
0
124,130.26

7212014
5252030
3136ALUX7
FNMA AGENCY CMO 2014-70 KP
 
 
2
 
5,147,612.17

5,161,852.06

4,885,041.20

5,141,619.66

20,232.4

(12,171.54
)
—

—

3.5

2.2241

Monthly
0
29,149.27

10242014
3252044
3136A1PM1
FNMA AGENCY CMO__11-96-PA
 
 
2
 
3,337,584.39

3,277,457.5

3,269,897.50

3,336,241.81

(58,784.31
)
(4,310.42
)
—

—

2.5

1.5310

Monthly
0
20,753.43

9062011
3252040
3136A5BT2
FNMA AGENCY CMO__12-40-DE
 
 
2
 
2,050,007.04

2,125,577.93

2,110,211.37

2,051,172.12

74,405.81

3,536.85

—

—

2

2.9621

Monthly
0
10,723.04

3132012
6252030
3136ABTM5
FNMA AGENCY CMO__13-7-CT
 
 
2
 
2,925,046.18

2,963,049.88

2,933,788.86

2,925,128.95

37,920.93

898.67

—

—

2

2.0438

Monthly
0
14,688.92

1032013
2252043
31394BPP3
FNMA AGENCY CMO_04-88 HA
 
 
2
 
4,048.99

4,010.27

3,915.61

3,925.27

85

(75.81
)
—

—

6.5

5.1941

Monthly
                    55.56
427.83

1142008
7252034
31398GEH8
FNMA AGENCY CMO_09-100-MA
 
 
2
 
718,817.05

716,215.82

693,845.55

718,579.29

(2,363.47
)
(2,495.74
)
—

—

3

1.5439

Monthly
0
5,365.19

11132009
11252039
31397NLS2
FNMA AGENCY CMO_09-11 LC
 
 
2
 
839,849.35

832,963.83

789,054.00

837,256.72

(4,292.89
)
(25,510.87
)
—

—

4.5

1.8391

Monthly
0
37,893.85

2072014
3252049
31397N4N2
FNMA AGENCY CMO_09-41-LG
 
 
2
 
2,677,700

2,656,877.5

2,500,000.00

2,664,972.48

(8,094.98
)
(12,727.52
)
—

—

4

1.8595

Monthly
0
24,999.99

6162009
6252024
31398MU53
FNMA AGENCY CMO_10-29-PA
 
 
2
 
292,776.17

294,763.26

284,643.89

292,253.38

2,509.88

(1,477.55
)
—

—

4.5

2.4876

Monthly
0
3,322.71

3162010
10252038
31398PTG4
FNMA AGENCY CMO_10-42-EP
 
 
2
 
301,672.73

299,157.35

287,438.76

301,054.37

(1,897.02
)
(2,591.91
)
—

—

4.5

1.0980

Monthly
0
3,343.33

5042010
11252039
31398MAY2
FNMA AGENCY CMO_10-9 MC
 
 
2
 
896,750

869,179.2

800,000.00

881,298.59

(12,119.39
)
(15,451.41
)
—

—

5

1.5740

Monthly
0
23,777.75

5212014
4252036
31398S6U2
FNMA AGENCY CMO_11-7-CA
 
 
2
 
127,289.58

126,973.32

125,897.15

126,784.51

188.81

(904.28
)
—

—

3.5

(0.0732
)
Monthly
0
1,192.85

1252011
5252024
31398T6X4
FNMA CMO 10-113 FA
 
 
2
 
2,296,728.86

2,310,909.99

2,298,459.24

2,297,104.9

13,805.09

130.50

—

—

0.5695

0.5907

Monthly
                  273.39
14,423.64

9032013
10252040
31392ER28
FNMA CMO_02-64 PG
 
 
2
 
948,160.82

933,473.23

860,735.88

947,629.68

(14,156.45
)
(7,090.70
)
—

—

5.5

2.9766

Monthly
0
12,199.31

9182002
10252032
31393ERS0
FNMA CMO_03-83 PG
 
 
2
 
568,898.25

563,809.23

540,849.78

567,260.76

(3,451.53
)
(4,121.39
)
—

—

5

1.4285

Monthly
0
6,944.18

8222005
6252023
31394DA42
FNMA CMO_05-48 AR
 
 
2
 
73,461.54

78,417.89

72,937.31

73,107.26

5,310.63

(172.74
)
—

—

5.5

5.2516

Monthly
                  486.86
4,803.51

12202007
2252035
31394EZX9
FNMA CMO_05-65 WL
 
 
2
 
828,589.57

807,277.78

796,003.19

806,257.9

1,019.88

(29,181.45
)
—

—

5.5

2.0955

Monthly
               8,814.74
70,870.81

11162012
7252034
31397MTX5
FNMA CMO_08-81 KA
 
 
2
 
113,766.19

114,438.53

114,158.61

113,777.17

661.36

2,020.70

—

—

5

5.0569

Monthly
              2,976.89
18,776.3

7292008
10252022
31397NE68
FNMA CMO_09-31 B
 
 
2
 
4,140,927.43

4,115,118.15

3,865,979.00

4,124,391.77

(9,273.62
)
(16,535.66
)
—

—

4

2.1617

Monthly
0
38,659.8

6102009
5252024
31396QAW9
FNMA CMO_09-37 HB
 
 
2
 
2,059,941.77

2,040,765.91

1,918,545.00

2,050,570.1

(9,804.19
)
(9,371.67
)
—

—

4

1.9313

Monthly
0
19,185.45

6162009
4252019
31398RUW3
FNMA CMO_10-62 EN
 
 
2
 
60,744.57

59,713.94

59,361.45

60,268.64

(554.7
)
(3,413.30
)
—

—

5

(2.0268
)
Monthly
0
1,110.12

5012010
12252038
3136A3SM4
FNMA CMO_12-11 GA
 
 
2
 
2,131,006.18

2,102,171.39

2,129,600.65

2,130,987.58

(28,816.19
)
(114.16
)
—

—

2

1.9598

Monthly
0
10,824.06

1102012
5252040
3136A9FV5
FNMA CMO_12-111 LB
 
 
2
 
815,337.36

817,630.42

789,076.88

815,235.34

2,395.08

(2,423.54
)
—

—

3.5

2.6333

Monthly
0
7,115.71

2282014
5252041
3136ABFX6
FNMA CMO_12-146 NA
 
 
2
 
2,251,613.83

2,269,215.28

2,287,388.58

2,252,023.03

17,192.25

1,828.70

—

—

2

2.3375

Monthly
0
11,587.63

12052012
9252042
3136A75R9
FNMA CMO_12-96 CG
 
 
2
 
4,006,466.78

4,057,289.32

4,134,939.35

4,008,281.9

49,007.42

6,200.25

—

—

2

2.7465

Monthly
0
20,896.79

2132013
4252039
3136AHYJ3
FNMA CMO_13-135 GB
 
 
2
 
4,588,662.01

4,634,075.59

4,612,856.45

4,589,066.9

45,008.69

1,015.76

—

—

2.5

2.6004

Monthly
0
29,028.87

12182013
7252032
3136ADCQ0
FNMA CMO_13-23 CB
 
 
2
 
4,186,368.32

4,179,191.23

4,277,172.70

4,187,634.55

(8,443.32
)
3,772.24

—

—

2

2.3777

Monthly
0
21,580.57

2142013
3252033
3136ADSY6
FNMA CMO_13-35 KL
 
 
2
 
2,492,027.41

2,555,841.73

2,642,743.05

2,494,384.22

61,457.51

5,980.71

—

—

2

3.0951

Monthly
0
13,308.17

5142013
4252033
3136AELV7
FNMA CMO_13-62 AH
 
 
2
 
2,522,651.11

2,536,633.48

2,659,257.15

2,524,998.12

11,635.36

5,316.39

—

—

1.75

2.7283

Monthly
0
11,718.64

5092013
6252033
3136AEXL6
FNMA CMO_13-64 KA
 
 
2
 
2,597,628.15

2,618,735.74

2,686,469.70

2,599,135.76

19,599.98

3,936.86

—

—

2

2.7083

Monthly
0
13,548.12

5232013
2252033
3136AFR30
FNMA CMO_13-81 JB
 
 
2
 
2,454,603.98

2,460,586.82

2,411,462.91

2,453,447.89

7,138.93

(2,907.63
)
—

—

2.75

2.3454

Monthly
0
16,801.94

11132013
12252042
3136AGBS0
FNMA CMO_13-96 DE
 
 
2
 
4,544,023.06

4,505,767.27

4,415,488.20

4,539,815.43

(34,048.16
)
(7,513.71
)
—

—

3

2.0694

Monthly
0
33,378.62

8202013
6252031
3136AH2M1
FNMA CMO_14-3 BL
 
 
2
 
4,352,043.87

4,343,225.97

4,301,416.20

4,350,138.39

(6,912.42
)
(4,069.67
)
—

—

2.5

2.1652

Monthly
0
27,260.83

1082014
6252043
01F050619
FNMA FNMA TBA
 
 
2
 
4,426,875

4,419,375

4,000,000.00

4,426,875

(7,500
)
—

—

—

5

—

Monthly
0
—

12082014
1142045
01F040610
FNMA FNMA TBA
 
 
2
 
6,283,500

6,298,250

5,900,000.00

6,283,500

14,750

—

—

—

4

—

Monthly
0
—

12092014
1142045
31371NAC9
FNMA POOL # 256603
 
 
2
 
328,353.11

356,151.29

328,045.55

327,950.11

28,201.18

(158.11
)
—

—

5.5

5.4092

Monthly
               1,979.75
20,726.15

7172008
2012022
31371NE35
FNMA POOL # 256754
 
 
2
 
136,139.99

139,437.71

128,433.96

134,197.38

5,240.33

(2,310.03
)
—

—

5.5

3.4781

Monthly
                   738.61
7,710.33

9292009
6012022
31385W2S7
FNMA POOL # 555285
 
 
2
 
1,571,300.12

1,635,722.55

1,426,023.96

1,561,214.41

74,508.14

(44,581.38
)
—

—

6

3.5030

Monthly
               9,186.87
95,697.87

1052011
3012033
31385XAZ0
FNMA POOL # 555424
 
 
2
 
1,743,984.36

1,801,728.74

1,602,167.50

1,736,008.26

65,720.48

(43,915.37
)
—

—

5.5

3.3179

Monthly
              9,526.72
98,881.02

1252012
5012033
31385XEW3
FNMA POOL # 555549
 
 
2
 
75,327.78

80,018.47

75,944.84

75,514.48

4,503.99

303.84

—

—

5

5.2199

Monthly
                  495.06
4,736.03

12142007
6012018
31385XK48
FNMA POOL # 555715
 
 
2
 
62,259.12

66,017.53

62,815.01

62,300.13

3,717.4

123.04

—

—

2.345

2.5413

Monthly
                    151.59
1,665.88

4022007
7012033
31400EGH7
FNMA POOL # 685200
 
 
2
 
71,710.71

76,176.15

72,298.13

71,894.33

4,281.82

273.94

—

—

5

5.2250

Monthly
                  462.50
4,415.67

12142007
3012018
31400PG58
FNMA POOL # 693320
 
 
2
 
53,262.3

56,945.6

53,730.34

53,298.57

3,647.03

39.42

—

—

2.29

2.4995

Monthly
                    117.50
1,304.15

8102006
1012033
31400QJ87
FNMA POOL # 694287
 
 
2
 
7,606.59

8,204.88

7,674.50

7,611.64

593.24

10.96

—

—

2.224

2.4269

Monthly
                     18.03
187.33

4022007
3012033
31400SA33
FNMA POOL # 695826
 
 
2
 
32,196.48

34,201.36

32,460.22

32,276.75

1,924.61

144.27

—

—

5

5.2284

Monthly
                   221.77
2,058.32

12142007
4012018
31401A3C9
FNMA POOL # 702895
 
 
2
 
72,364.01

76,870.16

72,956.81

72,548.22

4,321.94

308.83

—

—

5

5.2216

Monthly
                  487.04
4,616.8

12142007
4012018
31401DVW8
FNMA POOL # 705429
 
 
2
 
89,350.44

95,822.11

90,392.08

89,432.52

6,389.59

293.00

—

—

2.335

2.6242

Monthly
                  228.99
2,520.02

8102006
4012033
31401MKS9
FNMA POOL # 712305
 
 
2
 
728,986.53

730,639.12

684,494.38

726,619.33

4,019.79

(12,114.76
)
—

—

2.425

0.8531

Monthly
               1,837.36
18,666.68

2232012
5012033
31402DQB9
FNMA POOL # 725950
 
 
2
 
120,984.85

129,280.91

122,091.28

121,266.19

8,014.72

489.50

—

—

5

5.2408

Monthly
                  749.22
7,304.75

7172008
11012019
31402HD32
FNMA POOL # 729222
 
 
2
 
844,652.69

908,554.14

853,989.82

845,245.59

63,308.55

1,804.39

—

—

2.33

2.5985

Monthly
              2,036.58
20,428.72

9172008
7012035
31402RB81
FNMA POOL # 735463
 
 
2
 
90,885.89

97,667.66

91,637.65

90,948.34

6,719.32

51.34

—

—

2.278

2.4380

Monthly
                  208.75
2,214.45

9282006
3012035
31402RF87
FNMA POOL # 735591
 
 
2
 
3,320,431.74

3,544,065.94

3,199,467.52

3,312,808.64

231,257.3

(36,383.13
)
—

—

5

3.9985

Monthly
              17,187.27
180,274.26

4302010
6012035
31402YSV7
FNMA POOL # 742232
 
 
2
 
5,223.11

5,683.85

5,304.25

5,227

456.85

27.46

—

—

2.625

3.1732

Monthly
                     15.75
156.86

4022007
9012033
31403C2L4
FNMA POOL # 745179
 
 
2
 
246,055.33

261,377.28

248,070.92

246,588.95

14,788.33

1,074.90

—

—

5

5.2135

Monthly
               1,657.62
15,673.96

12142007
4012019
31403DCE7
FNMA POOL # 745369
 
 
2
 
206,598.45

220,556.48

208,290.79

207,012.14

13,544.34

728.78

—

—

5

5.2040

Monthly
               1,280.64
12,623.22

12142007
12012019
31403DCZ0
FNMA POOL # 745388
 
 
2
 
485,744.45

515,991.86

489,723.44

486,873.93

29,117.93

1,822.04

—

—

5

5.2155

Monthly
              3,093.27
29,986.19

12142007
11012018
31403H3P3
FNMA POOL # 749706
 
 
2
 
418,128.09

446,354.52

423,387.36

418,573.11

27,781.41

972.79

—

—

2.309

2.5871

Monthly
               1,054.76
11,511.41

5152006
11012033
31403KDB6
FNMA POOL # 750798
 
 
2
 
3,933.74

4,220.85

3,994.86

3,938.53

282.32

0.61

—

—

2.199

2.5587

Monthly
                       7.60
89.41

4022007
12012033
31403VBR9
FNMA POOL # 758848
 
 
2
 
119,928.47

127,396.47

120,910.90

120,202

7,194.47

298.50

—

—

5

5.2124

Monthly
                  654.98
6,867.5

12142007
1012019
31404CLB4
FNMA POOL # 764522
 
 
2
 
18,538.64

20,423.84

18,913.98

18,562.71

1,861.13

15.05

—

—

2.397

2.9982

Monthly
                    39.54
463.17

9302008
6012034
31404LRF9
FNMA POOL # 771886
 
 
2
 
68,444.74

74,117.44

69,589.17

68,537.06

5,580.38

9.91

—

—

2.243

2.6519

Monthly
                   143.52
1,625.6

8102006
2012034
31404NBP0
FNMA POOL # 773246
 
 
2
 
82,863.36

88,079.55

83,556.86

82,906.91

5,172.64

93.99

—

—

2.217

2.4023

Monthly
                   195.93
2,012.49

4022007
2012035
31404VGA0
FNMA POOL # 779693
 
 
2
 
375,449.62

398,920.89

379,002.75

375,753.89

23,167

1,041.54

—

—

2.112

2.3026

Monthly
               1,005.48
9,600.13

2242006
7012034
31405PAG5
FNMA POOL # 794807
 
 
2
 
104,960.21

111,328.52

104,674.46

104,918.55

6,409.97

(23.14
)
—

—

1.943

1.8683

Monthly
                   216.70
2,348.93

6302007
10012034
31405UMM8
FNMA POOL # 799664
 
 
2
 
43,789.91

46,457.73

44,134.17

43,817.43

2,640.3

50.66

—

—

2.117

2.2630

Monthly
                    94.36
1,051.72

4022007
10012034
31405UR84
FNMA POOL # 799811
 
 
2
 
133,572.72

139,809

133,223.70

133,516.43

6,292.57

9.99

—

—

1.924

1.8578

Monthly
                  229.82
2,676.77

6302007
11012034
31405UTZ2
FNMA POOL # 799868
 
 
2
 
9,155.27

9,732.85

9,227.23

9,160.74

572.11

22.31

—

—

2.002

2.1553

Monthly
                     21.76
225.08

4022007
11012034
31406BB90
FNMA POOL # 804764
 
 
2
 
135,622.32

144,980.64

136,688.47

135,700.22

9,280.42

116.63

—

—

2.124

2.2779

Monthly
                  286.73
3,254.71

4022007
1012035
31406BEZ9
FNMA POOL # 804852
 
 
2
 
115,786.08

123,633.04

116,696.33

115,853.95

7,779.09

189.23

—

—

2.131

2.2832

Monthly
                   264.41
2,859.89

4022007
12012034
31406BJF8
FNMA POOL # 804962
 
 
2
 
129,681

139,570.62

130,700.46

129,754.63

9,815.99

154.68

—

—

2.151

2.3058

Monthly
                  294.65
3,063.18

4022007
1012035
31406BQQ6
FNMA POOL # 805163
 
 
2
 
164,420.39

173,753.77

165,796.54

164,519.73

9,234.04

280.30

—

—

2.187

2.3543

Monthly
                   410.44
4,070.32

4022007
1012035
31406DG67
FNMA POOL # 806721
 
 
2
 
238,405.17

254,127.58

240,279.36

238,544.96

15,582.62

253.66

—

—

2.295

2.4450

Monthly
                  570.64
6,276.47

4022007
11012034
31406GLK3
FNMA POOL # 809530
 
 
2
 
38,627.94

41,796.16

38,901.51

38,652.05

3,144.11

73.58

—

—

2.161

2.2860

Monthly
                   102.48
944.48

9282006
2012035
31406MYP5
FNMA POOL # 814418
 
 
2
 
102,118.16

108,099.39

103,029.97

102,189.66

5,909.73

123.78

—

—

1.975

2.1472

Monthly
                  226.47
2,176.24

4022007
3012035
31406PKU2
FNMA POOL # 815807
 
 
2
 
222,739.33

237,454.09

224,864.94

222,939.94

14,514.15

189.29

—

—

2.131

2.3059

Monthly
                  505.64
5,031.37

9282006
2012035
31406TLC3
FNMA POOL # 819423
 
 
2
 
256,267.3

278,233.53

258,555.55

256,419.31

21,814.22

325.71

—

—

2.435

2.6207

Monthly
                   671.65
6,846.01

4022007
4012035
31406TTE1
FNMA POOL # 819649
 
 
2
 
2,188,025.45

2,235,640.73

2,115,311.61

2,182,339.18

53,301.55

(7,175.99
)
—

—

2.14

1.4028

Monthly
                4,751.01
48,909.71

12042009
3012035
31406VHE9
FNMA POOL # 821129
 
 
2
 
134,897.78

143,898.36

136,102.29

134,963.82

8,934.54

284.77

—

—

2.207

2.4287

Monthly
                  354.96
3,488.08

4022007
5012035
31407D5R2
FNMA POOL # 828056
 
 
2
 
469,159.69

485,629.36

461,299.44

468,471.36

17,158

(1,472.74
)
—

—

2.25

1.8512

Monthly
                 1,168.13
11,538.81

2202009
6012035
31407E6W8
FNMA POOL # 828985
 
 
2
 
233,962.94

258,047.67

242,017.59

234,442.76

23,604.91

1,479.96

—

—

2.243

3.2776

Monthly
                  550.85
5,948.66

3162006
8012035
31407GC22
FNMA POOL # 829989
 
 
2
 
800,848.11

868,272.66

808,458.98

801,385.91

66,886.75

74.81

—

—

2.341

2.5482

Monthly
               1,790.05
19,515.32

1202006
4012035
31408C6D3
FNMA POOL # 847868
 
 
2
 
1,059,498.89

1,126,636.01

1,070,876.95

1,060,584.84

66,051.17

1,954.33

—

—

2.009

2.1938

Monthly
              2,340.88
22,644.56

5122006
11012035
31409UBQ7
FNMA POOL # 878547
 
 
2
 
777,084.86

845,037.24

783,357.85

777,472.78

67,564.46

825.10

—

—

2.362

2.5342

Monthly
               2,016.09
19,873.74

5042006
3012036
31410FU60
FNMA POOL # 888105
 
 
2
 
207,701.51

220,635.13

209,402.91

208,070.87

12,564.26

814.58

—

—

5

5.2047

Monthly
               1,327.84
12,862.6

12142007
8012020
31410GC35
FNMA POOL # 888490
 
 
2
 
180,265.63

190,280.57

180,674.00

180,281.61

9,998.96

37.24

—

—

2.014

2.0412

Monthly
                   371.79
3,826.74

6182007
5012035
31410GC50
FNMA POOL # 888492
 
 
2
 
74,791.95

79,272.01

74,649.87

74,766.39

4,505.62

(12.74
)
—

—

2.34

2.2700

Monthly
                   170.33
1,863.61

6182007
5012033
31410GDC4
FNMA POOL # 888499
 
 
2
 
618,761.46

654,629.97

622,238.00

618,999.43

35,630.54

633.12

—

—

2.345

2.4522

Monthly
                1,443.31
15,892.38

2222012
8012033
31410GDF7
FNMA POOL # 888502
 
 
2
 
79,361.49

85,697.53

80,393.05

79,462.84

6,234.69

234.25

—

—

1.79

2.0480

Monthly
                   152.26
1,617.85

6182007
6012033
31410GDL4
FNMA POOL # 888507
 
 
2
 
309,993.86

328,651.62

315,420.29

310,379.54

18,272.08

945.69

—

—

2.319

2.7223

Monthly
                  770.82
8,087.81

6182007
2012035
31410GDM2
FNMA POOL # 888508
 
 
2
 
371,569.49

401,179.72

376,764.43

371,933.35

29,246.37

1,130.04

—

—

2.287

2.6259

Monthly
                  972.38
9,537.16

6182007
3012034
31410GDQ3
FNMA POOL # 888511
 
 
2
 
52,584.66

55,795.79

53,062.30

52,615.08

3,180.71

116.54

—

—

2.27

2.4903

Monthly
                   127.30
1,340.06

6182007
12012033
31410GDS9
FNMA POOL # 888513
 
 
2
 
94,580.04

102,192.28

95,075.30

94,605.07

7,587.21

66.54

—

—

2.413

2.5286

Monthly
                  223.32
2,446.39

6182007
2012034
31410GDX8
FNMA POOL # 888518
 
 
2
 
84,402.8

89,035.23

84,673.96

84,415.15

4,620.08

18.28

—

—

2.292

2.3405

Monthly
                   194.33
2,012.94

6182007
4012035
31410GDY6
FNMA POOL # 888519
 
 
2
 
44,863.95

48,814.54

45,634.36

44,920.23

3,894.31

131.07

—

—

2.179

2.5698

Monthly
                   102.57
1,088.53

6182007
1012035
31410GDZ3
FNMA POOL # 888520
 
 
2
 
625,769.15

665,925.11

629,757.60

626,077.87

39,847.24

277.04

—

—

2.078

2.2015

Monthly
                1,307.15
14,223.87

6182007
7012033
31410GD83
FNMA POOL # 888527
 
 
2
 
19,691.12

21,577.67

20,062.03

19,713.16

1,864.51

55.15

—

—

2.423

2.9679

Monthly
                    47.37
523.84

6182007
4012034
31410GFD0
FNMA POOL # 888564
 
 
2
 
3,858,787.41

3,983,864.13

3,744,123.63

3,821,087.2

162,776.93

(45,852.68
)
—

—

5

4.0197

Monthly
             21,584.62
218,576.29

2262009
10012021
31410GPR8
FNMA POOL # 888832
 
 
2
 
1,781,914.87

1,959,724.8

1,713,637.12

1,778,052.18

181,672.62

(31,805.65
)
—

—

6.5

5.3337

Monthly
             13,649.54
131,225.93

1252008
11012037
31410LK84
FNMA POOL # 890519
 
 
2
 
1,392,365.47

1,439,916.31

1,271,475.92

1,389,823.83

50,092.48

(50,098.63
)
—

—

6

2.7255

Monthly
               9,173.23
89,599.62

10232013
10012040
31411DA33
FNMA POOL # 904626
 
 
2
 
498,570.96

530,799.85

496,206.21

498,308

32,491.85

(277.34
)
—

—

2.355

2.2304

Monthly
               1,226.23
13,222.1

12132006
12012036
31411GUY6
FNMA POOL # 907899
 
 
2
 
1,262,846.69

1,312,007.42

1,252,474.63

1,261,826.99

50,180.43

(1,083.58
)
—

—

2.4

2.1982

Monthly
               2,915.50
31,646.82

12142006
1012037
31411KCZ4
FNMA POOL # 910088
 
 
2
 
1,656,701.11

1,868,757.3

1,641,313.80

1,655,673.62

213,083.68

(7,610.47
)
—

—

6

5.6884

Monthly
             12,094.96
117,632.1

3292007
3012037
31411LEA5
FNMA POOL # 911029
 
 
2
 
138,239.81

141,588.39

130,414.92

136,198.09

5,390.3

(2,358.19
)
—

—

5.5

3.5867

Monthly
                  746.89
7,742.52

9292009
7012022
31411WPJ0
FNMA POOL # 916725
 
 
2
 
879,172.84

887,521.06

830,878.04

877,754

9,767.06

(8,683.60
)
—

—

2.411

0.5295

Monthly
               1,988.75
21,708.19

2142012
10012036
31412LMG2
FNMA POOL # 928359
 
 
2
 
126,281.2

129,340.11

119,133.21

124,465.5

4,874.61

(1,895.76
)
—

—

5.5

3.4612

Monthly
                  659.77
7,160.5

9292009
5012022
31412LQN3
FNMA POOL # 928461
 
 
2
 
202,980.72

207,897.53

191,491.26

200,114.55

7,782.98

(3,716.88
)
—

—

5.5

3.4532

Monthly
                  1,116.81
11,761.07

9292009
6012022
31412LVF4
FNMA POOL # 928614
 
 
2
 
1,203,805.69

1,229,883.47

1,132,826.99

1,187,119.53

42,763.94

(23,004.29
)
—

—

5.5

3.3347

Monthly
              6,625.42
69,004.5

10212009
8012022
31412SRH0
FNMA POOL # 933488
 
 
2
 
377,553.01

384,542.85

359,681.34

373,441.83

11,101.02

(7,171.03
)
—

—

5

3.3735

Monthly
               2,051.62
20,683.86

9292009
3012023
31414ARA2
FNMA POOL # 960481
 
 
2
 
744,897.34

755,306.47

709,637.25

736,941.39

18,365.08

(12,310.01
)
—

—

5

3.2613

Monthly
               3,871.26
40,354.08

9292009
12012022
31414CRJ9
FNMA POOL # 962289
 
 
2
 
872,668.43

888,824.62

831,360.22

863,293.52

25,531.1

(15,979.25
)
—

—

5

3.3497

Monthly
              4,690.06
47,987.29

9292009
3012023
31414GD22
FNMA POOL # 965521
 
 
2
 
111,219.55

113,913.64

104,924.12

109,816.92

4,096.72

(2,257.10
)
—

—

5.5

3.3957

Monthly
                  634.95
6,583.01

9292009
12012022
31414NB45
FNMA POOL # 970859
 
 
2
 
935,837.82

951,746.78

890,214.33

926,920.03

24,826.75

(21,910.46
)
—

—

5

3.2903

Monthly
              5,380.36
51,792.76

10212009
12012023
31414RB79
FNMA POOL # 973562
 
 
2
 
719,167.3

740,813.25

678,459.72

710,750.45

30,062.8

(12,949.88
)
—

—

5.5

3.3261

Monthly
              4,028.88
41,505.04

9292009
3012023
31415MDG7
FNMA POOL # 984003
 
 
2
 
1,201,577.18

1,385,081.81

1,237,742.47

1,203,065.91

182,015.9

7,731.74

—

—

5.5

6.2890

Monthly
              6,856.39
75,141.05

7252008
6012038
31415MFS9
FNMA POOL # 984077
 
 
2
 
570,529.87

581,092.41

543,523.55

564,183.81

16,908.6

(8,353.89
)
—

—

5

3.4813

Monthly
               2,853.41
30,163.27

9292009
6012023
31416BLV8
FNMA POOL # 995040
 
 
2
 
425,886.74

433,126.7

405,124.14

421,208.2

11,918.5

(7,862.40
)
—

—

5

3.3893

Monthly
               2,254.17
23,034.63

10212009
6012023
31416BSE9
FNMA POOL # 995217
 
 
2
 
956,636.68

978,968.68

901,713.19

945,924.57

33,044.11

(21,266.40
)
—

—

5.5

3.4600

Monthly
              5,586.43
57,086.38

10212009
12012023
31416BSX7
FNMA POOL # 995234
 
 
2
 
1,365,280.3

1,339,709.41

1,271,506.68

1,334,885.28

4,824.13

(54,200.28
)
—

—

5

2.0566

Monthly
              8,434.86
79,850.2

11102011
7012019
31416B4M7
FNMA POOL # 995528
 
 
2
 
1,031,978.51

1,053,339.18

993,331.69

1,022,206.19

31,132.99

(17,578.95
)
—

—

5

3.4497

Monthly
               6,203.61
60,418.78

3202009
12012021
31416B4N5
FNMA POOL # 995529
 
 
2
 
2,015,533.25

2,107,537.61

1,941,220.89

1,996,409.36

111,128.25

(29,885.08
)
—

—

5.5

4.2109

Monthly
              12,170.65
124,202.26

2272009
11012022
31416B4P0
FNMA POOL # 995530
 
 
2
 
1,080,748.31

1,102,533.44

1,036,378.37

1,067,618.88

34,914.56

(18,936.48
)
—

—

5.5

4.0723

Monthly
                6,618.10
66,158.9

3202009
12012021
31416B7J1
FNMA POOL # 995597
 
 
2
 
113,778.58

116,534.63

107,338.28

112,534.98

3,999.65

(2,654.23
)
—

—

5.5

3.5364

Monthly
                  679.88
6,849.89

9292009
3012024
31416CME3
FNMA POOL # 995957
 
 
2
 
2,033,605.77

2,066,256.99

1,932,669.09

2,015,049.47

51,207.52

(39,425.94
)
—

—

5

3.3035

Monthly
              10,915.93
110,560.27

9282009
6012024
31416MZC1
FNMA POOL # AA4338
 
 
2
 
1,826,355.47

1,842,783.65

1,697,454.98

1,823,104.4

19,679.25

(22,213.01
)
—

—

4.5

3.0355

Monthly
              7,374.89
81,516.98

3212013
4012039
31416TL49
FNMA POOL # AA9346
 
 
2
 
6,513,600.77

7,053,328.49

6,444,267.54

6,508,614.74

544,713.75

(12,494.66
)
—

—

4.5

4.2769

Monthly
            28,202.40
314,410.62

2022010
8012039
31417AP60
FNMA POOL # AB4044
 
 
2
 
4,893,348.37

4,964,013.09

4,750,823.68

4,891,486.4

72,526.69

(8,703.46
)
—

—

3.5

3.0826

Monthly
0
78,858.46

6272014
12012041
31417FQC5
FNMA POOL # AB8550
 
 
2
 
2,168,150.36

2,135,375.03

2,095,226.65

2,161,713.46

(26,338.43
)
(11,489.73
)
—

—

2.5

1.7916

Monthly
               4,862.18
55,405.07

3132013
3012028
31417FX94
FNMA POOL # AB8803
 
 
2
 
19,027.03

18,666.25

17,947.38

18,945.77

(279.52
)
(296.81
)
—

—

3

1.6758

Monthly
                    55.55
590.55

4292013
3012028
31417F2Y3
FNMA POOL # AB8890
 
 
2
 
23,815.65

23,364.07

22,464.28

23,711.59

(347.52
)
(258.58
)
—

—

3

1.7238

Monthly
                     64.61
717.72

4292013
4012028
31419ALC9
FNMA POOL # AE0322
 
 
2
 
1,104,087.79

1,078,136.79

1,018,178.95

1,089,509.69

(11,372.9
)
(43,037.28
)
—

—

5

1.9071

Monthly
                6,114.70
60,643.73

2262013
5012021
31419BBT1
FNMA POOL # AE0949
 
 
2
 
3,143,407.59

3,166,817.44

2,965,041.81

3,137,360.22

29,457.22

(26,044.00
)
—

—

4

2.7809

Monthly
              11,235.96
126,445.46

5022012
2012041
3138A7Q76
FNMA POOL # AH5877
 
 
2
 
668,460.8

669,371.68

623,636.89

665,962.02

3,409.66

(10,051.59
)
—

—

4

1.9529

Monthly
              2,449.37
27,039.57

12172013
2012026
3138A9YZ1
FNMA POOL # AH7927
 
 
2
 
1,772,546.4

1,813,018.78

1,712,346.68

1,764,686.54

48,332.24

(14,888.08
)
—

—

3.5

2.5325

Monthly
               6,071.62
65,143.04

8032011
8012026
3138AP6W3
FNMA POOL # AI9884
 
 
2
 
4,559,251.01

4,602,368.5

4,202,679.86

4,556,099.33

46,269.17

(18,978.58
)
—

—

4.5

2.8076

Monthly
0
70,873.28

8152014
9012041
3138EGHT4
FNMA POOL # AL0241
 
 
2
 
4,032,733.37

4,036,083.71

3,779,119.07

4,024,188.87

11,894.84

(38,178.97
)
—

—

4

2.8898

Monthly
             14,363.70
162,790.33

2272013
4012041
3138EJPG7
FNMA POOL # AL2222
 
 
2
 
774,890.07

760,521.09

731,243.94

770,092.66

(9,571.57
)
(7,958.34
)
—

—

3

1.7238

Monthly
                2,091.41
23,455.1

8072012
8012027
3138EJRA8
FNMA POOL # AL2280
 
 
2
 
3,402,012.66

3,426,118.22

3,152,976.76

3,399,569.32

26,548.9

(13,091.19
)
—

—

4.5

2.5550

Monthly
0
41,434.15

9152014
9012042
3138EKVP7
FNMA POOL # AL3321
 
 
2
 
4,912,873.91

4,983,736.59

4,775,576.08

4,911,193.76

72,542.83

(6,757.76
)
—

—

3.5

3.0713

Monthly
0
78,788.35

6272014
2012043
3138ELZ63
FNMA POOL # AL4364
 
 
2
 
4,376,482.18

4,368,166.24

4,137,906.05

4,374,030.63

(5,864.39
)
(38,431.55
)
—

—

3.645

2.0981

Monthly
0
138,816.11

2102014
9012042
3138EMCW9
FNMA POOL # AL4584
 
 
2
 
397,333.46

391,880.06

370,042.82

396,166.47

(4,286.41
)
(10,656.66
)
—

—

4.5

2.2436

Monthly
               1,875.00
19,186.56

12122013
1012027
3138LURE7
FNMA POOL # AO4084
 
 
2
 
1,356,462.65

1,351,471.08

1,277,046.34

1,349,361.5

2,109.58

(19,100.32
)
—

—

3.5

2.1095

Monthly
              4,459.62
48,362.06

1242013
5012027
3138LYPM3
FNMA POOL # AO7627
 
 
2
 
1,203,340.55

1,205,920.4

1,159,497.08

1,202,364.59

3,555.81

(1,993.09
)
—

—

3

2.0713

Monthly
0
10,230.06

8152014
6012027
3138M5GL7
FNMA POOL # AP2002
 
 
2
 
615,445.04

615,396.02

576,867.07

610,299.96

5,096.06

(11,435.45
)
—

—

3.5

1.3359

Monthly
                2,071.15
22,240.62

5132013
8012022
3138M8YB3
FNMA POOL # AP5205
 
 
2
 
5,337,308.32

5,250,814.41

5,145,943.53

5,316,956.76

(66,142.35
)
(30,417.23
)
—

—

2.5

1.6975

Monthly
               11,962.16
135,823.74

9062012
9012027
3138MBWZ5
FNMA POOL # AP7863
 
 
2
 
706,808.5

706,752.17

662,503.56

700,959.65

5,792.52

(12,613.24
)
—

—

3.5

1.3529

Monthly
               2,356.41
25,807.91

5132013
9012022
3138MRLL3
FNMA POOL # AQ9330
 
 
2
 
2,570,384.1

2,542,169.1

2,435,841.87

2,567,324.31

(25,155.21
)
(16,609.95
)
—

—

3.5

2.5852

Monthly
               7,884.21
90,577.98

2252013
1012043
3138W4AB7
FNMA POOL # AR6301
 
 
2
 
21,575.79

21,166.68

20,351.52

21,484.07

(317.39
)
(254.78
)
—

—

3

1.6696

Monthly
                    59.50
656.69

4292013
3012028
3138W9LM0
FNMA POOL # AS0331
 
 
2
 
2,219,129.28

2,278,165.23

2,248,642.71

2,219,359.61

58,805.62

760.19

—

—

3

3.1661

Monthly
0
20,754.32

9092014
8012043
3138W9VQ0
FNMA POOL # AS0622
 
 
2
 
1,959,429.14

1,962,632.11

1,881,804.67

1,955,209.18

7,422.93

(12,041.43
)
—

—

3

2.1195

Monthly
              5,234.68
59,729.2

10232013
10012028
3138WAJB4
FNMA POOL # AS1157
 
 
2
 
5,405,479.86

5,434,336.96

5,225,052.24

5,395,954.67

38,382.29

(32,978.14
)
—

—

3

2.0742

Monthly
             14,905.99
167,822.07

11262013
11012028
3138WAWT0
FNMA POOL # AS1557
 
 
2
 
5,036,807.26

5,085,255.38

4,744,711.00

5,033,522.94

51,732.44

(12,404.95
)
—

—

4

3.0343

Monthly
0
89,308.59

6272014
1012044
3138WCAD5
FNMA POOL # AS2703
 
 
2
 
5,132,076.27

5,182,203.5

4,835,166.80

5,128,790.74

53,412.76

(11,633.00
)
—

—

4

3.0267

Monthly
0
90,902.15

6272014
6012044
3138WCAV5
FNMA POOL # AS2719
 
 
2
 
7,254,155.79

7,307,261.19

6,817,915.72

7,250,696.22

56,564.97

(17,748.70
)
—

—

4

2.9412

Monthly
0
101,521.68

8152014
6012044
3138WCFK4
FNMA POOL # AS2869
 
 
2
 
987,927.21

997,500.76

956,396.03

987,324.29

10,176.47

(1,377.39
)
—

—

3

2.3086

Monthly
0
8,450.3

9122014
7012029
3138WCPT4
FNMA POOL # AS3133
 
 
2
 
4,046,539.66

4,114,474.44

3,932,258.40

4,045,503.15

68,971.29

(2,544.32
)
—

—

3.5

3.1007

Monthly
0
51,075.16

8132014
8012044
3138WCZ63
FNMA POOL # AS3464
 
 
2
 
2,564,131.16

2,561,940.88

2,453,347.20

2,563,545.44

(1,604.56
)
(1,418.76
)
—

—

3

2.0779

Monthly
0
6,751.32

11242014
10012029
3138WDER8
FNMA POOL # AS3743
 
 
2
 
7,060,291.61

7,075,890.75

6,933,537.87

7,059,283.31

16,607.44

(1,008.30
)
—

—

2.5

2.1204

Monthly
0
7,222.43

12112014
11012029
3138WPLC6
FNMA POOL # AT2122
 
 
2
 
25,100.43

24,624.48

23,676.15

24,990.79

(366.31
)
(500.50
)
—

—

3

1.7094

Monthly
                    77.89
825.98

4292013
3012028
3138X3EP3
FNMA POOL # AU3741
 
 
2
 
4,948,634.8

5,030,303.12

4,808,146.78

4,946,936.73

83,366.39

(6,443.16
)
—

—

3.5

3.0957

Monthly
0
79,243.03

6272014
8012043
3138X9U23
FNMA POOL # AU9600
 
 
2
 
1,777,141.46

1,781,008.66

1,705,714.66

1,773,293.39

7,715.27

(8,566.41
)
—

—

3

2.0984

Monthly
              4,594.64
53,069.75

10232013
10012028
3138XSFZ5
FNMA POOL # AW2883
 
 
2
 
5,087,209.32

5,171,861.86

4,813,444.65

5,083,699.18

88,162.68

(13,236.29
)
—

—

4

3.0608

Monthly
0
108,126.23

6052014
4012044
3138XYQJ6
FNMA POOL # AW8556
 
 
2
 
5,090,146.09

5,179,161.89

4,935,151.50

5,088,750.24

90,411.65

(3,432.51
)
—

—

3.5

3.0668

Monthly
0
64,141.22

8132014
8012044
31418AMK1
FNMA POOL # MA1261
 
 
2
 
695,818.97

701,892.22

661,454.34

691,120.3

10,771.92

(9,962.94
)
—

—

3

1.2999

Monthly
               2,039.01
22,182.8

2132013
11012022
3138ATD31
FNMA POOL# AJ1921
 
 
2
 
461,863.34

470,312.09

432,817.26

460,942.98

9,369.11

(4,181.87
)
—

—

4.5

3.0819

Monthly
               1,837.64
20,596.17

9202011
9012041
3138EBG33
FNMA POOL#AK6517
 
 
2
 
1,289,922.84

1,286,094.75

1,234,006.91

1,282,935.04

3,159.71

(10,770.51
)
—

—

3

2.0219

Monthly
               3,559.10
39,455.89

4242012
3012027
01F030413
FNMA TBA MBS
 
 
2
 
5,185,937.5

5,195,312.5

5,000,000.00

5,185,937.5

9,375

—

—

—

3

—

Monthly
0
—

12112014
1202045
01F042616
FNMA TBA MBS
 
 
2
 
5,417,187.5

5,428,125

5,000,000.00

5,417,187.5

10,937.5

—

—

—

4.5

—

Monthly
0
—

12082014
1142045
01F030611
FNMA TBA MBS
 
 
2
 
9,064,687.5

9,109,606.5

9,000,000.00

9,064,687.5

44,919

—

—

—

3

2.9424

Monthly
0
—

12092014
1012043
01F032617
FNMA TBA MBS
 
 
2
 
10,390,625

10,428,125

10,000,000.00

10,390,625

37,500

—

—

—

3.5

—

Monthly
0
—

12092014
1142045
3135G0XP3
FNMA UNSEC AGENCY BND
 
 
 
 
1,743,962.5

1,745,922.47

1,750,000.00

1,747,076.94

(1,154.47
)
1,922.94

—

—

0.375

0.4861

Jan-Jul
              3,208.34
6,562.5

5152013
7052016
3135G0SB0
FNMA UNSECURED AGENCY BND
 
 
 
 
14,971,672.35

15,000,900

15,000,000.00

14,990,388.39

10,511.61

9,868.50

—

—

0.375

0.4413

Jun-Dec
               1,562.50
56,250

2052013
12212015
3136A7QW5
FNMA_12-86 AGENCY CMO 12-86
 
 
2
 
326,862.66

324,300.41

323,026.72

323,917.89

382.52

(3,295.11
)
—

—

2

1.1248

Monthly
               1,508.47
11,781.47

9062012
3252041
3136A7TE2
FNMA_12-91 AGENCY CMO 12-91
 
 
2
 
3,576,402.95

3,671,857.05

3,710,384.95

3,577,049.69

94,807.36

6,929.76

—

—

2

3.0164

Monthly
0
18,872.52

8012012
4252042
3136AFA95
FNMA_13-81 AGENCY CMO 13-81 UF
 
 
2
 
1,745,822.58

1,743,782.31

1,747,187.58

1,745,977.26

(2,194.95
)
259.75

—

—

0.4195

0.4321

Monthly
                     134.11
7,512.79

8132013
2252043
3136A9LX4
FNR_12-114 AGENCY CMO_12-114-DB
 
 
2
 
3,155,733.94

3,205,898.36

3,289,038.68

3,157,762.22

48,136.14

6,734.43

—

—

1.75

2.7122

Monthly
0
14,563.93

1112013
8252039
34529PAD7
FORD CREDIT AUTO OWNER TRUST F ABS_11-A A4
 
 
2
 
43,820.67

43,534.17

43,496.15

43,542.82

(8.65
)
(2,041.47
)
—

—

1.65

0.8839

Monthly
                  283.66
3,322.64

7172013
5152016
34528QDL5
FORD CREDIT FLOORPLAN MASTER O ABS _14-4-A1
 
 
2
 
2,219,364.64

2,216,048.38

2,220,000.00

2,219,436.87

(3,388.49
)
72.23

—

—

1.4

1.4140

Monthly
0
10,791.67

8192014
8152019
345397VP5
FORD MOTOR CREDIT COMPANY LLC CORP BND
 
 
 
 
2,262,520

2,230,785.06

2,000,000.00

2,240,023.38

(9,238.32
)
(22,496.62
)
—

—

6.625

1.9101

Feb-Aug
0
33,125

9212012
8152017
345397WN9
FORD MOTOR CREDIT COMPANY LLC SENIOR CORP BND
 
 
 
 
2,497,650

2,488,028.52

2,500,000.00

2,498,499.78

(10,471.26
)
1,261.00

—

—

1.5

1.5299

Jan-Jul
              8,554.58
61,793.75

11062013
1172017
345397WR0
FORD MOTOR CREDIT COMPANY LLC SENIOR CORP BND
 
 
 
 
3,500,000

3,459,886.68

3,500,000.00

3,500,000

(40,113.32
)
—

—

—

1.724

1.7240

Jun-Dec
0
34,360.27

6032014
12062017
345397WD1
FORD MOTOR CREDIT COMPANY LLC SENIOR CORP BND
 
 
 
 
4,141,960

4,102,834.76

4,000,000.00

4,128,866.52

(26,031.76
)
(13,093.48
)
—

—

3

1.6501

Jun-Dec
0
30,000

11282012
6122017
345397WT6
FORD MOTOR CREDIT COMPANY LLC SENIOR CORP BND
 
 
 
 
4,000,000

3,965,065.32

4,000,000.00

4,000,000

(34,934.68
)
—

—

—

1.684

1.6840

Mar-Sep
0
21,143.56

9032014
9082017
345397WM1
FORD MOTOR CREDIT COMPANY LLC SENIOR CORP BND MTN
 
 
 
 
4,750,000

4,748,954.87

4,750,000.00

4,750,000

(1,045.13
)
—

—

—

1.0081

1.0081

J-A-J-O
               9,327.10
55,285.75

11062013
1172017
34528QBP8
FORDF ABS 12-2
 
 
2
 
5,463,393.55

5,434,017.5

5,375,000.00

5,452,626.25

(18,608.75
)
(10,767.30
)
—

—

1.92

1.2040

Monthly
0
29,526.67

9152014
1152019
34529UAD6
FORDO_12-A ABS 12-A
 
 
2
 
2,339,403.3

2,348,868.6

2,340,000.00

2,339,863.42

9,005.18

158.89

—

—

1.15

1.1597

Monthly
                1,196.00
26,910

1182012
6152017
34529WAC4
FORDO_12-B ABS_12-B A3
 
 
2
 
603,439.43

603,240.84

602,921.29

602,986.47

254.37

(566.10
)
—

—

0.72

0.6807

Monthly
                  685.25
9,534.88

6222012
12152016
34530EAC1
FORDO_13-B ABS_13-B A3
 
 
2
 
2,295,023.86

2,294,392.11

2,295,142.75

2,295,093.23

(701.12
)
51.80

—

—

0.57

0.5726

Monthly
                  639.67
14,296.88

5142013
10152017
34530DAB5
FORDO_13-C ABS 13-C A2
 
 
2
 
31,030.45

31,030.57

31,030.57

31,029.66

0.91

2.53

—

—

0.55

0.5496

Monthly
                      116.11
1,365.81

7232013
4152016
34530DAC3
FORDO_13-C ABS 13-C A3
 
 
2
 
3,564,398.94

3,569,278.11

3,565,000.00

3,564,750.22

4,527.89

250.39

—

—

0.82

0.8285

Monthly
               1,299.24
29,232.96

7232013
12152017
34530GAD4
FORDO_13-D ABS 13-D A3
 
 
2
 
4,784,780.36

4,776,800.62

4,785,000.00

4,784,865.4

(8,064.78
)
80.23

—

—

0.67

0.6726

Monthly
               1,424.88
32,059.44

11192013
4152018
34530HAC4
FORDO_14-A ABS_14-A A3
 
 
2
 
7,249,962.8

7,243,052.69

7,250,000.00

7,249,976.77

(6,924.08
)
13.97

—

—

0.79

0.7974

Monthly
0
43,620.01

3262014
5152018
34530KAB9
FORDO_14-B ABS _14-B-A3
 
 
2
 
5,602,296.61

5,608,468.94

5,605,000.00

5,602,646.89

5,822.05

350.28

—

—

0.9

0.9013

Monthly
0
24,335.88

9122014
10152018
34530PAE2
FORDO_14-C ABS 2014-C A4
 
 
2
 
1,879,577.38

1,873,885.62

1,880,000.00

1,879,588.06

(5,702.44
)
10.68

—

—

1.56

1.5716

Monthly
0
2,932.8

11182014
2152020
345838AE6
FOREST LABORATORIES INC. SENIOR CORP BND 144A
 
 
 
 
1,237,731.84

1,208,021.72

1,128,000.00

1,231,141.22

(23,119.5
)
(10,376.86
)
—

—

4.875

3.2174

Feb-Aug
0
37,797.5

7212014
2152021
349425YA0
FORT WORTH TEX MUNITAX BND GO
 
 
1
 
2,188,307.55

2,162,782.05

2,145,000.00

2,161,810.17

971.88

(26,497.38
)
—

—

5.25

0.4261

Mar-Sep
0
28,153.12

10152007
3012025
BRSL7M1V9
FORTESCUE METALS SENIOR SECURED TERM NOTES
 
F
 
 
7,553,590.87

6,939,203.93

7,611,906.14

7,565,256.61

(626,052.68
)
11,019.15

—

—

—

0.1349

M-J-S-D
0
203,792.62

11152013
6302019
BRSL40CC0
FORTIUS RE LTD CORP BND 144A
 
F
 
 
5,000,000

5,000,000

5,000,000.00

5,000,000

—

—

—

—

6.5

6.5000

M-J-S-D
                  659.72
276,112.56

10152013
6302017
BRSNK4RC4
FOSSM_14-1 ABS _14-1X-A2
 
D
2
 
1,516,227.3

1,406,125.4

903,000.00

1,516,227.3

(110,101.9
)
—

—

(108,224.55
)
0.95781

0.9590

J-A-J-O
0
9,574.56

6052014
10182054
354613AH4
FRANKLIN RESOURCES INC SENIOR CORP BND
 
 
 
 
1,541,552.5

1,541,635.07

1,550,000.00

1,545,335.06

(3,699.99
)
2,701.26

—

—

1.375

1.4891

Mar-Sep
              11,538.53
34,371.19

9192012
9152017
3137A2H95
FREDDIE MAC FHLMC_3766 CMO_37-66 FA
 
 
2
 
19,367.56

19,356.17

19,349.42

19,356.25

(0.08
)
(44.53
)
—

—

0.5108

0.4195

Monthly
                     15.66
201.96

6182013
6152028
35671DBK0
FREEPORT-MCMORAN INC SENIOR CORP BND
 
 
 
 
1,588,950.6

1,585,626.15

1,590,000.00

1,588,995.65

(3,369.5
)
45.05

—

—

2.3

2.3229

May-Nov
0
4,774.42

11102014
11142017
35671DAW5
FREEPORT-MCMORAN INC SENIOR CORP BND
 
 
 
 
3,345,980

3,353,537.54

3,350,000.00

3,348,234.12

5,303.42

789.10

—

—

2.15

2.1751

Mar-Sep
            24,008.34
72,025

2082012
3012017
35671DBD6
FREEPORT-MCMORAN INC SENIOR CORP BND
 
 
 
 
4,271,905.91

4,211,293.35

4,270,000.00

4,271,856.76

(60,563.41
)
(80.37
)
—

—

2.375

2.3769

Mar-Sep
            26,363.82
92,506.25

10102013
3152018
BRSHBDMR9
FREESCALE SEMICONDUCTOR INC SENIOR SECURED TERM NOTES
 
 
2
 
3,171,280.48

3,150,323.68

3,217,685.93

3,180,849.68

(30,526
)
7,994.90

—

—

—

0.2197

F-M-A-N
0
183,000.25

9042013
2282020
30290FAE2
FREMF SUB CMBS_12-K707 B 144A
 
 
2
 
1,039,335.94

1,034,810.03

1,000,000.00

1,037,308.83

(2,498.8
)
(2,027.11
)
—

—

3.88275

2.8391

Monthly
0
8,369.06

10082014
1252047
358802U79
FRISCO TEX INDPT SCH DIST MUNI BND GO
 
 
1
 
2,164,620

2,144,720

2,000,000.00

2,150,374.7

(5,654.7
)
(14,245.30
)
—

—

4.1

1.1794

Feb-Aug
0
20,500

2132007
8152019
302644EL9
FSU FINL ASSISTANCE INC FLA MUNITAX BND REV
 
 
 
 
920,061

927,306

900,000.00

918,397.91

8,908.09

(1,663.09
)
—

—

2.84

2.0705

Apr-Oct
0
6,390

2152012
10012017
359900XB8
FULTON CNTY GA DEV AUTH REV MUNI BND REV
 
 
2
 
2,210,380

2,184,080

2,000,000.00

2,200,668.95

(16,588.95
)
(9,711.05
)
—

—

5.491

3.2309

May-Nov
0
27,455

6242009
11012019
39153VBJ2
GALC_13-1 ABS 13-1 144A
 
 
2
 
1,527,245.77

1,528,609.88

1,527,372.69

1,527,335.73

1,274.15

57.83

—

—

0.78

0.7845

Monthly
                   615.33
13,696.65

2052013
6152016
BRSNN37V3
GATES GLOBAL LLC SENIOR SECURED TERM NOTES
 
 
1
 
2,071,850.91

2,030,748.82

2,080,152.44

2,072,300.26

(41,551.44
)
501.48

—

—

—

0.0572

M-J-S-D
0
38,253.79

7162014
7052021
36159JBW0
GE CAPITAL CREDIT CARD MASTER ABS 10-1 A
 
 
2
 
12,356,718.75

12,076,080.36

12,000,000.00

12,076,971.84

(891.48
)
(279,746.91
)
—

—

3.69

0.5599

Monthly
0
330,870

3282014
3152018
G3775BCT0
GE CAPITAL UK FUNDING CORP BND EMTN
 
D
 
 
2,054,040.03

1,958,004.19

1,210,000.00

2,014,434.94

(56,430.75
)
(45,264.73
)
—

(61,626.09
)
4.625

1.2337

January
              62,118.88
66,897.48

12102014
1182016
36830NAC3
GEEMT_13-1 ABS 13-1 A3
 
 
2
 
2,894,934.58

2,903,077.03

2,895,000.00

2,894,957.8

8,119.23

17.83

—

—

0.95

0.9525

Monthly
                  687.57
27,502.56

9172013
3222017
36162RAC2
GEEST_12-1A ABS 12-1A 144A
 
 
2
 
60,944.7

60,977.76

60,957.03

60,956.73

21.03

198.27

—

—

1.04

1.0510

Monthly
                  866.67
19,504.11

5222012
9212015
BRSP6WS08
GEMINI HDPE LLC SENIOR SECURED TERM NOTES
 
 
 
 
924,703.29

899,146.17

929,350.05

924,947.56

(25,801.39
)
255.90

—

—

—

0.0710

M-J-S-D
0
8,850.93

8082014
8062021
369550AQ1
GENERAL DYNAMICS CORP CORP BND
 
 
 
 
1,149,579.4

1,114,325.75

1,090,000.00

1,114,787.5

(461.75
)
(15,962.51
)
—

—

2.25

0.7599

Jan-Jul
              11,308.75
24,525

10182012
7152016
369550AV0
GENERAL DYNAMICS CORP SENIOR CORP BND
 
 
 
 
11,867,110.88

11,819,367.68

11,963,000.00

11,895,883.07

(76,515.39
)
24,340.77

—

—

1

1.1281

May-Nov
              18,480.51
112,518.88

2212013
11152017
36962G4D3
GENERAL ELECTRIC CAPITAL CORP CORP BND MTN
 
 
 
 
261,337.5

290,435.96

250,000.00

256,089.14

34,346.82

(19,308.60
)
—

—

6

5.3950

Feb-Aug
              6,000.00
49,300

10292009
8072019
U36963R70
GENERAL ELECTRIC CAPITAL CORP CORP BND
 
O
 
 
803,536.82

796,844.78

450,000.00

801,220.38

(4,375.6
)
(2,546.46
)
—

(6,093.8
)
6.25

1.5899

December
0
3,581.76

12032014
12152017
36962G4T8
GENERAL ELECTRIC CAPITAL CORP CORP BND
 
 
 
 
2,878,200

3,041,490

3,000,000.00

2,977,133.06

64,356.94

63,104.12

—

—

2.25

3.1630

May-Nov
            24,537.50
163,903.13

1062011
11092015
36962G5C4
GENERAL ELECTRIC CAPITAL CORP CORP BND
 
 
 
 
5,168,150

5,131,050

5,000,000.00

5,141,667.3

(10,617.3
)
(26,482.70
)
—

—

2.95

0.8401

May-Nov
0
36,875

5042011
5092016
36962G7A6
GENERAL ELECTRIC CAPITAL CORP CORP BND MTN
 
 
 
 
320,000

322,179.17

320,000.00

320,000

2,179.17

—

—

—

0.88

0.8800

J-A-J-O
                   619.56
2,866.32

7092013
7122016
36962G5M2
GENERAL ELECTRIC CAPITAL CORP CORP BND MTN
 
 
 
 
1,223,726

1,225,183.75

1,225,000.00

1,224,990.51

193.24

574.76

—

—

2.15

2.1860

Jan-Jul
              16,949.16
34,916.6

1042012
1092015
36962G5N0
GENERAL ELECTRIC CAPITAL CORP CORP BND MTN
 
 
 
 
5,190,150

5,173,452

5,000,000.00

5,169,281.29

4,170.71

(20,868.71
)
—

—

2.9

1.1999

Jan-Jul
0
36,250

1042012
1092017
36962G6N9
GENERAL ELECTRIC CAPITAL CORP SECURED CORP BND
 
 
 
 
2,000,000

2,009,140.02

2,000,000.00

2,000,000

9,140.02

—

—

—

0.83885

0.8389

M-J-S-D
                  983.03
16,944.13

12052012
12112015
36962G5W0
GENERAL ELECTRIC CAPITAL CORP SENIOR CORP BND MTN
 
 
 
 
2,055,620

2,045,157.48

2,000,000.00

2,050,160.52

(5,003.04
)
(5,459.48
)
—

—

2.3

1.1998

Apr-Oct
0
11,500

4242012
4272017
36962G5S9
GENERAL ELECTRIC CAPITAL CORP SENIOR CORP BND MTN
 
 
 
 
3,359,720

3,321,736.44

3,250,000.00

3,332,347.09

(10,610.65
)
(27,372.91
)
—

—

2.45

1.2790

Mar-Sep
0
59,055.21

9182014
3152017
36962G6R0
GENERAL ELECTRIC CAPITAL CORP SENIOR CORP BND MTN
 
 
 
 
3,256,512.93

3,279,329

3,267,000.00

3,263,398.9

15,930.1

(112.29
)
—

—

1

1.1091

Jan-Jul
            49,338.64
74,975.55

1032013
1082016
36962G7F5
GENERAL ELECTRIC CAPITAL CORP SENIOR CORP BND MTN
 
 
 
 
5,000,000

5,001,950.05

5,000,000.00

5,000,000

1,950.05

—

—

—

0.74

0.7400

J-A-J-O
0
36,332.12

12052014
1142019
369604BC6
GENERAL ELECTRIC CO CORP BND
 
 
 
 
308,510.1

299,089.95

270,000.00

297,912.84

1,177.11

(9,233.76
)
—

—

5.25

1.6209

Jun-Dec
                  984.38
14,175

11052013
12062017
369604BE2
GENERAL ELECTRIC CO SENIOR CORP BND
 
 
 
 
2,199,406

2,205,808

2,200,000.00

2,199,846.29

5,961.71

246.95

—

—

0.85

0.8591

Apr-Oct
               5,372.71
23,288.82

10012012
10092015
BRSFZ6AM6
GENERAL NUTRITION CENTERS INC SENIOR SECURED TERM LOAN
 
 
2
 
6,442,614.86

6,307,910.05

6,466,865.61

6,447,419.5

(139,509.45
)
5,348.75

—

—

—

0.0712

J-A-J-O
0
251,472.69

12202013
3042019
372546AR2
GEORGE WASHINGTON UNIV D C UNSEC MUNITAX BND REV
 
 
 
 
3,886,305.5

3,881,223.5

3,850,000.00

3,883,217.58

(1,994.08
)
(3,087.92
)
—

—

1.827

1.4998

Mar-Sep
0
17,584.88

6192012
9152017
626207UT9
GEORGIA MUNICIPAL ELEC AUTH MUNI BND REV
 
 
 
 
2,854,725

2,818,000

2,500,000.00

2,827,526.96

(9,526.96
)
(27,198.04
)
—

—

5.25

0.8201

Jan-Jul
0
32,812.5

7112008
1012018
373334JV4
GEORGIA POWER COMPANY CORP BND
 
 
 
 
3,399,082

3,479,855.8

3,400,000.00

3,399,748.15

80,107.65

189.45

—

—

3

3.0059

Apr-Oct
             21,533.33
102,000

4122011
4152016
37331NAF8
GEORGIA-PACIFIC LLC SENIOR CORP BND 144A
 
 
1
 
7,000,000

6,988,068.64

7,000,000.00

7,000,000

(11,931.36
)
—

—

—

2.539

2.5390

May-Nov
0
27,153.2

11032014
11152019
375558AT0
GILEAD SCIENCES INC CORP BND
 
 
 
 
1,041,020

1,036,335.37

1,000,000.00

1,036,262.39

72.98

(4,757.61
)
—

—

3.05

1.1301

Jun-Dec
0
7,625

12062011
12012016
375558AY9
GILEAD SCIENCES INC SENIOR CORP BND
 
 
 
 
698,404

701,099.89

700,000.00

698,431.42

2,668.47

27.42

—

—

2.35

2.3960

Feb-Aug
0
2,010.56

11122014
2012020
377372AG2
GLAXOSMITHKLINE CAPITAL INC SENIOR CORP BND
 
 
 
 
1,597,920

1,598,492

1,600,000.00

1,599,155.68

(663.68
)
1,677.19

—

—

0.7

0.7439

Mar-Sep
               9,212.78
27,241.66

3132013
3182016
377373AC9
GLAXOSMITHKLINE CAPITAL PLC SENIOR CORP BND
 
F
 
 
11,310,583

11,357,899.29

11,300,000.00

11,319,155.33

38,743.96

1,314.71

—

—

1.5

1.5750

May-Nov
              13,912.49
113,250

5032012
5082017
378272AD0
GLENCORE FUNDING LLC SENIOR CORP BND 144A
 
 
 
 
2,636,803

2,602,313.86

2,650,000.00

2,640,305.74

(37,991.88
)
2,248.89

—

—

2.5

2.5960

Jan-Jul
             30,548.61
66,250

5222013
1152019
BRSQQJLY6
GLOBAL CASH ACCESS
 
 
 
 
2,322,200.39

2,314,349.7

2,357,563.85

2,322,200.39

(7,850.69
)
—

—

—

—

0.2564

M-J-S-D
0
—

 
 
G3900TAA2
GNK HOLDINGS PLC SENIOR CORP BND
 
D
 
 
650,117.77

649,060.3

350,000.00

649,287.52

(227.22
)
(830.25
)
—

(956.33
)
6.75

2.5388

October
0
1,434.67

12152014
10282019
36297A3K7
GNMA
 
 
2
 
369,065.94

379,207.9

353,437.38

366,581.42

12,626.48

(2,089.53
)
—

—

5

3.1138

Monthly
               1,595.09
18,351.59

3262009
1152024
38378NEK5
GNMA AGENCY CMBS _13-156-AD
 
 
2
 
1,943,399.7

1,953,322.8

1,963,026.04

1,944,036.48

9,286.32

721.97

—

—

2.76126

3.0388

Monthly
0
13,570.83

10112013
4162052
38376JDT8
GNMA AGENCY CMO 09-106-ME
 
 
2
 
644,115.56

640,074.58

618,360.84

642,226.46

(2,151.88
)
(4,253.62
)
—

—

3.5

1.0019

Monthly
0
5,568.26

3162010
1202039
38377JZM8
GNMA AGENCY CMO _10-125-MJ
 
 
2
 
2,320,429.61

2,329,492.41

2,233,867.25

2,315,024.59

14,467.82

(11,950.11
)
—

—

3.5

1.5886

Monthly
0
20,018.09

9172010
4202039
38377JEA7
GNMA AGENCY CMO 10-109 CH
 
 
2
 
453,702.46

452,112.44

441,090.04

451,240.13

872.31

(6,664.17
)
—

—

3

1.2198

Monthly
                1,517.84
15,643.02

9262013
12202037
38376VDX2
GNMA AGENCY CMO 10-20 ND
 
 
2
 
890,021.66

882,650.37

867,924.30

888,474.13

(5,823.76
)
(5,307.72
)
—

—

3

0.6843

Monthly
0
6,851.76

2192010
12202038
38376WSP1
GNMA AGENCY CMO 10-24
 
 
2
 
190,945.69

191,137.19

189,700.78

190,802.14

335.05

(431.73
)
—

—

0.68545

0.4468

Monthly
                     52.12
1,487.91

12052012
12202038
38376YC58
GNMA AGENCY CMO 10-47
 
 
2
 
1,141,086.55

1,116,042.31

1,105,168.56

1,115,782.74

259.57

(31,606.94
)
—

—

3

1.0429

Monthly
               5,660.12
50,116.02

3212012
11162030
38374YGV9
GNMA AGENCY CMO 10-86
 
 
2
 
1,114,471.75

1,081,615.74

1,056,684.33

1,080,499

1,116.74

(40,645.51
)
—

—

3.5

0.0754

Monthly
               4,991.44
48,258.59

2152012
1202036
38374TKX1
GNMA AGENCY CMO__09-15-NH
 
 
2
 
208,599.9

203,766.82

198,679.82

208,323.96

(4,557.14
)
(1,348.34
)
—

—

4

1.2815

Monthly
0
2,058.31

2042010
12202038
38376FGH9
GNMA AGENCY CMO__09-61-AE
 
 
2
 
620,032.58

619,717.52

612,959.03

617,496.49

2,221.03

(4,978.52
)
—

—

4

1.4142

Monthly
0
6,812.62

9232009
3202034
38376FNL2
GNMA AGENCY CMO__09-66-UG
 
 
2
 
803,391.91

809,571.15

760,427.75

801,364.23

8,206.92

(5,686.26
)
—

—

4.5

2.2117

Monthly
0
8,777.09

3222010
7202038
38377LN38
GNMA AGENCY CMO__10-130-LG
 
 
2
 
2,372,972.09

2,379,086.16

2,289,916.80

2,368,196.73

10,889.43

(12,653.56
)
—

—

3.5

1.7700

Monthly
0
20,652.06

10122010
11162038
38378FWR7
GNMA AGENCY CMO__13-28-ME
 
 
2
 
3,885,101.98

3,854,920.98

4,032,196.50

3,890,806.97

(35,885.99
)
12,019.82

—

—

1.75

2.7272

Monthly
0
17,896.86

2142013
11202042
38374B4M2
GNMA AGENCY CMO_03-77-TK
 
 
2
 
1,216,644.46

1,212,818.83

1,104,714.76

1,215,820.1

(3,001.27
)
(5,928.28
)
—

—

5

2.9329

Monthly
0
14,027.41

7032008
9152033
38376CD97
GNMA AGENCY CMO_09-76-UG
 
 
2
 
538,111.37

535,857.59

513,621.87

536,857.72

(1,000.13
)
(3,591.55
)
—

—

4

1.9473

Monthly
0
5,291.66

6092010
8202038
38377MSG2
GNMA AGENCY CMO_2010-144 PA
 
 
2
 
1,451,959.23

1,458,814.5

1,421,371.32

1,450,656.34

8,158.16

(3,529.15
)
—

—

3

2.1576

Monthly
0
10,988.61

11092010
9162040
3837H1U41
GNMA AGENCY CMO_99-2-E
 
 
2
 
181,894

181,978.97

159,119.96

181,510.57

468.4

(655.96
)
—

—

6.5

3.1774

Monthly
0
1,734.11

11252014
1202029
38373MUZ1
GNMA CMBS_06-32 C
 
 
2
 
5,679,584.09

5,706,546.54

5,408,715.61

5,673,234.98

33,311.56

(10,419.83
)
—

—

5.32318

4.6637

Monthly
0
72,721.84

7112008
11162038
38375PXQ9
GNMA CMO 08-11 FB
 
 
2
 
883,070.73

890,168.17

879,864.08

882,973.61

7,194.56

(1,407.50
)
—

—

0.76545

0.6771

Monthly
                  295.30
8,039.53

12032012
2202038
38373YW34
GNMA CMO_03-1 PE
 
 
2
 
719,592.38

709,453.22

692,461.73

717,126.48

(7,673.26
)
(6,882.48
)
—

—

5.5

2.0021

Monthly
0
9,955.03

1282003
7162032
38374HEH9
GNMA CMO_04-46 QE
 
 
2
 
423,250.95

421,211.86

409,702.10

421,681.24

(469.38
)
(3,977.17
)
—

—

5.5

1.8793

Monthly
0
5,961.17

10182005
5202033
38374D2N8
GNMA CMO_08-36 AN
 
 
2
 
963,083.41

950,112.65

921,610.91

948,698.63

1,414.02

(39,101.84
)
—

—

4.25

1.3181

Monthly
              5,559.56
51,463.08

10162013
10162022
38376EX34
GNMA CMO_09-109 NH
 
 
2
 
884,706.65

883,548.51

852,827.94

881,745.33

1,803.18

(6,685.62
)
—

—

4

1.4743

Monthly
0
8,840.12

11182009
7202037
38376PPV6
GNMA CMO_09-118 AC
 
 
2
 
1,894,658.75

1,869,835.95

1,830,995.05

1,891,973.08

(22,137.13
)
(7,775.68
)
—

—

3

1.7252

Monthly
0
14,078.16

1252010
10202038
38376CJH3
GNMA CMO_09-75 GC
 
 
2
 
142,980.46

142,865.93

142,447.70

142,602.05

263.88

(939.97
)
—

—

4

1.9368

Monthly
0
1,884.23

9242009
7202030
38376KG21
GNMA CMO_09-91 UE
 
 
2
 
1,136,471.33

1,136,775.38

1,101,637.55

1,131,933.35

4,842.03

(9,897.77
)
—

—

4

1.1569

Monthly
0
11,539.89

10282009
4202037
38376KJJ1
GNMA CMO_09-93 EM
 
 
2
 
99,770.71

99,420.59

99,184.53

99,352.93

67.66

(1,153.92
)
—

—

4

1.5340

Monthly
0
1,384.43

11182009
5202035
38377KKN9
GNMA CMO_10-115 QJ
 
 
2
 
1,727,429.02

1,701,033.59

1,650,436.17

1,723,750.58

(22,716.99
)
(8,855.37
)
—

—

3.5

1.6324

Monthly
0
14,754.22

9172010
11202038
38376TFQ0
GNMA CMO_10-2 PK
 
 
2
 
916,943.53

914,706.76

885,148.98

913,780.96

925.8

(6,884.45
)
—

—

4

1.4263

Monthly
0
9,183.74

3092010
6202037
38377GYS2
GNMA CMO_10-68 YE
 
 
2
 
2,131,020.3

2,129,123.86

2,074,874.20

2,128,844.18

279.68

(6,567.23
)
—

—

3

2.0519

Monthly
0
15,942.31

8102010
5202039
38377WW91
GNMA CMO_11-106 ME
 
 
2
 
1,571,198.03

1,555,098.8

1,526,427.90

1,565,854.95

(10,756.15
)
(13,476.48
)
—

—

3

0.4758

Monthly
0
12,228.96

7132011
6202038
38377QQX8
GNMA CMO_11-22 HE
 
 
2
 
732,306.8

721,374.51

711,875.95

727,958.41

(6,583.9
)
(10,534.89
)
—

—

3.5

(0.4787
)
Monthly
0
6,920.65

2012011
1202037
38378DAA3
GNMA CMO_12-17 CA
 
 
2
 
2,953,086.03

2,945,215.6

2,829,060.05

2,944,657.73

557.87

(15,910.96
)
—

—

3.5

1.1349

Monthly
0
25,260.37

1252012
9202040
36202EVH9
GNMA GNMA II 30YR SF - JUMBO-CONFOR
 
 
2
 
91,323.07

90,140.9

82,432.70

91,301.99

(1,161.09
)
(2,368.41
)
—

—

6

0.1756

Monthly
0
1,336.02

11012008
8202038
36202E4Z9
GNMA GNMA II 30YR SF - JUMBO-CONFOR
 
 
2
 
270,337.41

268,447.38

252,041.70

270,287.09

(1,839.71
)
(156.26
)
—

—

4.5

2.4098

Monthly
0
2,840.81

7212009
5202039
38375JCJ2
GNMA GNMA_06-68 D
 
 
2
 
2,151,560

2,200,018

2,000,000.00

2,141,618.43

58,399.57

(9,941.57
)
—

—

5.305

3.1218

Monthly
0
26,525.01

3122009
12162037
36202FZV1
GNMA POOL # 005256
 
 
2
 
3,123,743.44

3,090,978.25

2,913,430.20

3,101,526.15

(10,547.9
)
(70,501.81
)
—

—

3.5

1.5373

Monthly
               11,100.54
115,426.64

1182012
12202026
36202KME2
GNMA POOL # 008457
 
 
2
 
308,616.12

310,916.52

304,336.40

307,487.32

3,429.2

(884.86
)
—

—

1.625

1.2908

Monthly
                  475.49
5,338.7

3182009
7202024
36225CD29
GNMA POOL # 080120
 
 
2
 
290,268.77

297,011.57

287,305.92

289,720.68

7,290.89

(616.82
)
—

—

1.625

1.3869

Monthly
                   453.31
4,984.04

3182009
10202027
36225C6Y7
GNMA POOL # 080886
 
 
2
 
6,327,603.57

6,447,221.37

6,173,271.76

6,317,322.48

129,898.89

(22,768.75
)
—

—

1.625

1.0684

Monthly
               9,681.09
107,582.26

3022011
4202034
36225DAS3
GNMA POOL # 080916
 
 
2
 
221,523.75

231,785.32

222,601.98

221,604.94

10,180.38

136.92

—

—

1.625

1.7186

Monthly
                  348.37
3,880.21

4172008
5202034
36225DJA3
GNMA POOL # 081156
 
 
2
 
603,842.15

629,334.51

602,148.65

603,640.57

25,693.94

(146.92
)
—

—

1.625

1.5585

Monthly
                    914.14
10,309.08

3182009
11202034
36225DJZ8
GNMA POOL # 081179
 
 
2
 
582,981.92

590,200.81

581,346.90

582,795.4

7,405.41

(167.64
)
—

—

1.625

1.5563

Monthly
                   897.21
10,102.03

3182009
12202034
36225DLE2
GNMA POOL # 081224
 
 
2
 
336,863.26

352,014.29

338,449.76

336,982.66

15,031.63

232.38

—

—

1.625

1.7040

Monthly
                  536.05
5,895.07

3182009
1202035
36225EVZ2
GNMA POOL # 082431
 
 
2
 
1,702,957.55

1,734,096.16

1,681,933.37

1,699,433.71

34,662.45

(4,732.20
)
—

—

1.625

1.5340

Monthly
              3,420.06
30,104.41

10282009
12202039
36225EWE8
GNMA POOL # 082444
 
 
2
 
207,930.34

209,720.86

203,603.76

207,669.85

2,051.01

(3,014.14
)
—

—

3.75

3.3389

Monthly
               1,086.06
9,841.68

11032009
12202039
36204J4C7
GNMA POOL # 371719
 
 
2
 
162,672.49

169,319.17

153,103.52

159,782.55

9,536.62

(3,308.44
)
—

—

6.5

5.2353

Monthly
                1,108.28
11,540.34

9112008
4152024
36204SV60
GNMA POOL # 378737
 
 
2
 
143,397.71

148,434.56

134,962.54

140,883.89

7,550.67

(2,741.56
)
—

—

6.5

5.1550

Monthly
                  968.23
9,338.63

9112008
1152024
36205BKY7
GNMA POOL # 385611
 
 
2
 
253,488.53

263,845.87

238,577.43

248,990.05

14,855.82

(4,441.27
)
—

—

6.5

5.2334

Monthly
                1,634.71
17,324.05

9112008
4152024
36210BZH1
GNMA POOL # 487744
 
 
2
 
379,122.56

384,762.29

358,614.30

375,754.84

9,007.45

(6,550.46
)
—

—

5

2.9296

Monthly
                 1,941.17
19,945.52

9292009
3152024
36210BZJ7
GNMA POOL # 487745
 
 
2
 
245,689.61

249,344.43

232,399.28

243,370.75

5,973.68

(3,881.90
)
—

—

5

3.0432

Monthly
                1,207.01
12,660.18

9292009
3152024
36210B4N2
GNMA POOL # 487829
 
 
2
 
206,247.92

213,632.29

199,273.35

204,666.54

8,965.75

(2,504.27
)
—

—

4.5

3.5109

Monthly
                  990.95
9,944.47

3262009
4152024
36210B4Q5
GNMA POOL # 487831
 
 
2
 
81,832.38

83,049.69

77,405.73

81,069.39

1,980.3

(1,174.35
)
—

—

5

3.0468

Monthly
                   397.91
4,348.31

9292009
4152024
36210B4R3
GNMA POOL # 487832
 
 
2
 
231,995.74

238,192.78

222,005.48

230,090.53

8,102.25

(5,727.11
)
—

—

5

3.4831

Monthly
               1,474.34
14,054.78

3262009
4152024
36211V6Q8
GNMA POOL # 524779
 
 
2
 
171,256.37

175,962.53

164,004.32

169,799.12

6,163.41

(1,789.70
)
—

—

5

3.5286

Monthly
                  822.53
8,861.56

3262009
1152024
36201YER3
GNMA POOL # 606844
 
 
2
 
724,011.07

772,235.17

690,948.13

721,269.77

50,965.4

(8,209.51
)
—

—

5

4.0195

Monthly
              3,575.72
38,142.42

4232010
9152033
36290SJB8
GNMA POOL # 615958
 
 
2
 
4,070,131.56

4,341,230.17

3,884,263.47

4,052,636.33

288,593.84

(27,668.71
)
—

—

5

4.1216

Monthly
             18,306.29
205,081.07

4232010
9152033
36292DWW8
GNMA POOL # 646061
 
 
2
 
103,811.89

112,466.18

99,549.92

103,525.88

8,940.3

(1,894.53
)
—

—

6.5

5.4959

Monthly
                  787.36
7,889.6

1312008
11152037
36295KAT0
GNMA POOL # 672418
 
 
2
 
62,813.15

68,049.57

60,234.37

62,653.18

5,396.39

(344.63
)
—

—

6.5

5.3950

Monthly
                  370.26
4,026.21

1312008
12152037
36295PZJ4
GNMA POOL # 676745
 
 
2
 
87,043.41

89,140.98

83,357.46

86,169.09

2,971.89

(1,285.60
)
—

—

5

3.5803

Monthly
                   454.41
4,585.12

3262009
3152023
36295P4L3
GNMA POOL # 676827
 
 
2
 
257,215.1

263,255.84

246,175.65

254,946.05

8,309.79

(1,831.48
)
—

—

5

3.3643

Monthly
                 1,121.03
12,838.66

3262009
5152023
36295QJE1
GNMA POOL # 677161
 
 
2
 
273,690.96

278,888.31

260,793.88

270,953.48

7,934.83

(14,284.51
)
—

—

5

3.3992

Monthly
              2,326.29
16,982.75

4272009
8152023
36295TVQ4
GNMA POOL # 680223
 
 
2
 
22,149.1

23,995.57

21,239.78

22,101.09

1,894.48

(2,083.40
)
—

—

6.5

4.9814

Monthly
                  393.72
3,162.78

1312008
1152038
36296DR67
GNMA POOL # 688209
 
 
2
 
21,743.52

22,151.48

20,714.28

21,467.58

683.9

(240.82
)
—

—

5

3.7607

Monthly
                   100.94
1,116.91

7292009
7152023
36296E5H5
GNMA POOL # 689448
 
 
2
 
172,890.14

177,056.43

165,568.91

171,438.55

5,617.88

(4,071.20
)
—

—

5

3.3713

Monthly
               1,079.62
10,164.59

3262009
7152023
36296TPY3
GNMA POOL # 700739
 
 
2
 
248,016.61

252,398.54

234,895.50

245,391.55

7,006.99

(4,366.43
)
—

—

5.5

3.5305

Monthly
               1,399.49
15,121.93

6032009
10152023
36296UC73
GNMA POOL # 701294
 
 
2
 
183,837.78

188,692.01

175,868.72

182,257.76

6,434.25

(2,609.78
)
—

—

5

3.4724

Monthly
                   950.16
10,002.21

3272009
1152024
36296URS1
GNMA POOL # 701697
 
 
2
 
255,132.04

258,927.32

241,330.92

252,416.51

6,510.81

(6,825.72
)
—

—

5

3.2343

Monthly
               1,473.42
13,769.24

9292009
2152024
36296UUL2
GNMA POOL # 701787
 
 
2
 
215,475.64

223,065.84

207,906.55

213,926.17

9,139.67

(1,121.21
)
—

—

5

3.8482

Monthly
                   941.46
10,812.91

6112009
3152024
36296U3C2
GNMA POOL # 701995
 
 
2
 
70,192.22

71,883.69

67,219.84

69,575.42

2,308.27

(3,364.60
)
—

—

5

3.5791

Monthly
                  635.06
6,064.48

3262009
1152024
36296XHH0
GNMA POOL # 704132
 
 
2
 
85,625.18

86,612.86

80,993.37

84,768.4

1,844.46

(728.53
)
—

—

5

3.0723

Monthly
                  367.95
4,218.15

9292009
12152023
36296XLY8
GNMA POOL # 704243
 
 
2
 
383,163.38

396,660.43

369,703.85

380,491.54

16,168.89

(1,993.70
)
—

—

5

3.7744

Monthly
               1,677.84
19,247.76

6112009
1152024
36296XWP5
GNMA POOL # 704554
 
 
2
 
1,345,955.37

1,394,207.82

1,299,459.10

1,337,270.47

56,937.35

(12,073.59
)
—

—

5

3.8002

Monthly
               6,631.39
70,896.58

6112009
6152024
36297AKF9
GNMA POOL # 705994
 
 
2
 
311,705.28

316,342.14

294,843.90

309,114.29

7,227.85

(6,657.96
)
—

—

5

2.7413

Monthly
               1,669.79
16,879.37

9292009
1152024
36297DFF9
GNMA POOL # 708566
 
 
2
 
831,750.57

844,123.51

786,757.87

823,568.91

20,554.6

(27,138.88
)
—

—

5

3.1437

Monthly
              5,206.69
54,711.95

9292009
4152024
36297DTR8
GNMA POOL # 708960
 
 
2
 
139,747

143,587.25

133,829.23

138,341.42

5,245.83

(13,680.30
)
—

—

5

3.8126

Monthly
               1,997.92
14,291.67

3262009
3152024
36297G2R0
GNMA POOL # 711884
 
 
2
 
872,329.19

885,305.75

825,141.41

864,045.97

21,259.78

(34,772.85
)
—

—

5

3.0802

Monthly
               6,021.36
47,670.48

9292009
4152024
36297JJ54
GNMA POOL # 713184
 
 
2
 
797,626.28

809,491.55

754,479.46

789,412.59

20,078.96

(21,680.02
)
—

—

5

3.2244

Monthly
              4,645.62
47,023.27

9292009
4152024
36297KZF1
GNMA POOL # 714542
 
 
2
 
294,863.89

305,158.55

284,420.33

292,776.57

12,381.98

(2,737.78
)
—

—

5

3.8573

Monthly
               1,456.66
15,274.49

6112009
6152024
3620A2KC9
GNMA POOL # 716791
 
 
2
 
778,049.86

789,623.92

735,962.01

770,832.32

18,791.6

(11,997.92
)
—

—

5

3.0375

Monthly
               3,860.61
40,536.52

9292009
4152024
3620A5FJ3
GNMA POOL # 719369
 
 
2
 
462,219.47

463,726.94

433,055.87

457,827.15

5,899.79

(13,041.69
)
—

—

4.5

2.4217

Monthly
              2,303.92
24,427.7

8312010
4152025
3620A6AC1
GNMA POOL # 720103
 
 
2
 
498,921.26

544,012.8

490,340.31

498,123.51

45,889.29

(1,824.94
)
—

—

4.5

4.2634

Monthly
              2,205.69
24,146.51

6182009
6152039
3620A6DZ7
GNMA POOL # 720220
 
 
2
 
895,096.94

914,358.35

852,219.63

886,519.76

27,838.59

(10,835.88
)
—

—

5

3.5429

Monthly
              4,345.34
47,792.71

7292009
7152024
3620ADCM2
GNMA POOL # 726476
 
 
2
 
4,433,961.57

4,512,329.79

4,209,040.95

4,390,865.43

121,464.36

(69,395.01
)
—

—

4.5

2.9816

Monthly
            20,429.58
215,520.33

12082009
11152024
3620ASPY9
GNMA POOL # 738539
 
 
2
 
3,157,599.24

3,160,328.23

2,939,437.80

3,150,359.16

9,969.07

(50,812.32
)
—

—

4

2.4686

Monthly
              12,075.71
131,248.89

10032011
7152041
36225BPY8
GNMA POOL # 781339
 
 
2
 
192,485.74

199,145.43

174,392.50

190,087.99

9,057.44

(3,319.67
)
—

—

8

6.0211

Monthly
                1,351.47
14,940.39

3072008
9152031
36241KBP2
GNMA POOL # 781846
 
 
2
 
2,688,495.22

3,017,443.06

2,603,869.44

2,684,373.77

333,069.29

(14,198.84
)
—

—

6.5

5.2957

Monthly
              17,010.83
184,935.86

8152008
9152034
36241KEC8
GNMA POOL # 781931
 
 
2
 
1,784,064.74

1,980,861.23

1,727,907.72

1,781,488.66

199,372.57

(9,883.72
)
—

—

6.5

5.2992

Monthly
               11,351.20
122,840.65

8152008
5152035
36241KEH7
GNMA POOL # 781936
 
 
2
 
1,040,249.67

1,105,743.75

1,006,135.42

1,037,465.18

68,278.57

(7,499.26
)
—

—

4.5

3.8834

Monthly
              4,556.63
50,253.73

6032010
6152035
36241KGU6
GNMA POOL # 782011
 
 
2
 
94,524.7

102,881.74

92,501.19

94,348.58

8,533.16

(508.70
)
—

—

5

4.5999

Monthly
                  478.08
5,155.8

7142009
12152035
36241KKB3
GNMA POOL # 782090
 
 
2
 
2,078,313.23

2,286,569.8

1,999,579.80

2,070,166.49

216,403.31

(18,316.25
)
—

—

6.5

5.8293

Monthly
             13,233.64
144,562.98

11302007
5152036
36241LHQ2
GNMA POOL # 782939
 
 
2
 
3,206,195.8

3,421,387.97

3,059,780.51

3,195,923.55

225,464.42

(33,533.82
)
—

—

5

4.1275

Monthly
             15,574.70
169,737.18

4232010
9152036
36241LN36
GNMA POOL # 783110
 
 
2
 
672,500.25

698,127.16

621,068.04

669,319.08

28,808.08

(19,574.17
)
—

—

5.5

3.8900

Monthly
              3,903.57
39,923.95

9232010
4152036
36179MEL0
GNMA POOL # MA0139
 
 
2
 
3,542,352.93

3,517,967.47

3,343,320.85

3,523,756.32

(5,788.85
)
(45,291.64
)
—

—

3

1.4485

Monthly
               10,016.12
109,689.25

6192012
6202027
36179MK82
GNMA POOL # MA0319
 
 
2
 
165,824.63

161,906.22

150,942.62

165,373.81

(3,467.59
)
(3,392.98
)
—

—

4

2.3905

Monthly
                    612.61
6,633.67

10042012
8202042
36179MNJ5
GNMA POOL # MA0393
 
 
2
 
2,019,648.53

1,975,647.75

1,841,865.33

2,014,882.7

(39,234.95
)
(42,663.81
)
—

—

4

2.3433

Monthly
              7,549.03
81,346.14

10182012
9202042
36179MQN3
GNMA POOL # MA0461
 
 
2
 
1,782,039.45

1,716,196.63

1,674,259.04

1,778,274.86

(62,078.23
)
(13,481.75
)
—

—

3

2.1192

Monthly
              4,648.37
53,055.66

10312012
10202042
38376P6D7
GNMA_09-126 CMO 09-127 PL
 
 
2
 
1,222,530.01

1,223,338.66

1,151,917.47

1,221,265.33

2,073.33

(6,717.64
)
—

—

4.25

2.0720

Monthly
0
12,536.06

2112010
10202038
38375XRK2
GNR_08-69 AGENCYCMO _ 08-69-QD
 
 
2
 
1,774,288.08

1,704,372.68

1,583,874.66

1,767,880.21

(63,507.53
)
(22,982.33
)
—

—

5.75

1.7810

Monthly
0
23,441.2

10272008
7202038
38377VAN6
GNR_11-51 AGENC CMO__11-51-WA
 
 
2
 
407,563.29

404,769.48

398,832.85

404,655.52

113.96

(7,334.44
)
—

—

4

(0.6648
)
Monthly
0
4,713.14

4082011
8202034
38173XAA6
GOCAP_2014-21A ABS _2014-21A-A 144A
 
 
2
 
4,000,000

3,989,747.31

4,000,000.00

4,000,000

(10,252.69
)
—

—

—

2.1316

2.1358

J-A-J-O
0
8,763.24

11072014
10252026
380881BX9
GOLDEN CREDIT CARD TRUST GCCT_ ABS_13-1A A 144A
 
A
2
 
1,100,000

1,099,623.8

1,100,000.00

1,100,000

(376.2
)
—

—

—

0.4108

0.4111

Monthly
                  203.67
4,514.26

2212013
2152018
38148BAA6
GOLDMAN SACHS GROUP INC/THE CAPSEC CORP BND
 
 
1
 
9,515,450

9,367,750

9,275,000.00

9,499,792.96

(132,042.96
)
(15,657.04
)
—

—

5.7

5.0837

May-Nov
0
191,464.58

11252014
12312049
38141GEA8
GOLDMAN SACHS GROUP INC/THE CORP BND
 
 
 
 
2,039,860

2,002,260

2,000,000.00

2,000,359.13

1,900.87

(11,009.50
)
—

—

5.125

4.6420

Jan-Jul
           102,208.16
112,429.7

5182010
1152015
38141GEG5
GOLDMAN SACHS GROUP INC/THE CORP BND
 
 
 
 
2,488,200

2,494,425

2,500,000.00

2,493,934.33

490.67

4,914.41

—

—

0.6971

0.8943

M-J-S-D
                   434.91
17,377.77

10292013
3222016
38141GES9
GOLDMAN SACHS GROUP INC/THE CORP BND
 
 
 
 
6,077,662.5

5,991,536.88

5,250,000.00

6,059,534.87

(67,997.99
)
(18,127.63
)
—

—

5.95

4.2960

Jan-Jul
0
111,934.37

8192014
1152027
BRS0Z5DU0
GOLDMAN SACHS GROUP INC/THE CORP BND MTN
 
O
 
 
2,490,297.79

2,265,331.26

1,400,000.00

2,418,378.34

(153,047.08
)
(87,981.09
)
—

(158,621.38
)
5.25

1.4985

December
0
126,672.59

2212014
12152015
38141GGT5
GOLDMAN SACHS GROUP INC/THE SENIOR CORP BND
 
 
 
 
1,374,023.75

1,386,343.75

1,375,000.00

1,374,885.76

11,457.99

(3,460.26
)
—

—

3.3

3.3251

May-Nov
              8,639.59
52,937.5

4302012
5032015
38148FAB5
GOLDMAN SACHS GROUP INC/THE SENIOR CORP BND
 
 
 
 
3,567,671.25

3,556,323.38

3,575,000.00

3,567,937.06

(11,613.68
)
265.81

—

—

2.55

2.5940

Apr-Oct
0
17,219.58

10202014
10232019
38145XAA1
GOLDMAN SACHS GROUP INC/THE SENIOR CORP BND
 
 
 
 
15,566,845.2

15,589,097.71

15,530,000.00

15,567,258.8

21,838.91

413.60

—

—

2.625

2.3570

Jan-Jul
0
283,093.86

11252014
1312019
38141EB32
GOLDMAN SACHS GROUP INC/THE SENIOR CORP BND MTN
 
 
 
 
2,017,500

2,010,479.8

2,000,000.00

2,005,764.78

4,715.02

(6,385.60
)
—

—

1.6

1.2740

May-Nov
              3,377.78
32,000

2212013
11232015
38141EC49
GOLDMAN SACHS GROUP INC/THE SENIOR CORP BND MTN
 
 
 
 
4,000,000

3,994,079.88

4,000,000.00

4,000,000

(5,920.12
)
—

—

—

1.03882

1.0388

M-J-S-D
0
—

12112014
12152017
38259PAC6
GOOGLE CORP BND
 
 
 
 
5,122,300

5,099,430

5,000,000.00

5,103,331.11

(3,901.11
)
(41,992.20
)
—

—

2.125

0.6199

May-Nov
              4,958.33
67,291.67

10112011
5192016
38373ANL6
GOVERNMENT NATIONAL MORTGAGE A AGENCY CMO _09-65-AF
 
 
2
 
741,666.56

743,685.96

704,852.13

741,221.72

2,464.24

(2,671.26
)
—

—

4

2.3050

Monthly
0
7,182.69

1252011
7202039
385064NP1
GRANBURY TEX INDPT SCH DIST MUNI BND GO
 
 
1
 
3,495,494.7

3,455,888.65

3,365,000.00

3,456,192.92

(304.27
)
(39,301.78
)
—

—

5

0.3504

Feb-Aug
0
42,062.5

10242007
8012024
BRSNKX0T2
GRAY TELEVISION INC.
 
 
 
 
985,612.12

976,313

989,387.76

985,760.81

(9,447.81
)
452.38

—

—

—

0.0561

M-J-S-D
0
5,975.85

 
 
391577LQ4
GREATER ARIZ DEV AUTH INFRASTR MUNI BND REV
 
 
1
 
1,170,038.7

1,162,757.5

1,090,000.00

1,159,137.21

3,620.29

(10,901.49
)
—

—

5

0.9553

Feb-Aug
0
13,625

1252007
8012022
BRSHB4QM6
GREENEDEN US HOLDINGS II LLC SENIOR SECURED TERM LOAN
 
 
 
 
2,288,526.57

2,279,075.98

2,316,722.72

2,292,983.79

(13,907.81
)
4,855.96

—

—

—

0.2002

F-M-A-N
0
118,293.67

1162014
2082020
G4123EAC0
GRIFOLS WORLDWIDE OPERATIONS U SECURED TERM LOAN
 
 
1
 
4,725,915.73

4,773,652.26

4,773,652.26

4,730,499.66

43,152.6

4,944.65

—

—

—

0.1455

M-J-S-D
0
87,386.87

3072014
2272021
36248GAB6
GSMS_13-GC16 SENIOR CMBS 13-GC16
 
 
2
 
4,404,295.31

4,379,051.67

4,220,000.00

4,398,095.09

(19,043.42
)
(6,200.22
)
—

—

3.033

2.0408

Monthly
0
20,621.03

10292014
11102046
362341RT8
GSR_05-6F WHOLE CMO 05-AR6 1A1
 
 
2
 
103,002.99

104,997.06

104,027.01

103,201.49

1,795.57

231.97

—

—

2.65506

2.8997

Monthly
                  286.50
3,034

11212007
9252035
406216BC4
HALLIBURTON COMPANY SENIOR CORP BND
 
 
1
 
499,645

495,614.02

500,000.00

499,741.02

(4,127
)
68.91

—

—

2

2.0151

Feb-Aug
              4,055.56
10,000

7292013
8012018
406373A$6
HALO_06-1R WHOLE CMO 06-1R 144A
 
 
2
 
2,219,437.74

2,218,563.22

2,242,354.60

2,219,437.74

(874.52
)
2,802.67

—

—

6

6.8289

Monthly
0
34,989.77

12312011
8252036
G4273QAJ6
HAMMERSON PLC CORP BND
 
D
 
 
2,026,061.6

2,007,206.06

1,200,000.00

2,021,492.3

(14,286.24
)
(4,946.24
)
—

(13,905.36
)
5.25

1.4307

December
0
7,020.94

12042014
12152016
BRSM3XJP1
HARLAND CLARKE HOLDINGS CORP SENIOR SECURED TERM NOTES
 
 
 
 
572,373.77

573,739.98

575,250.01

572,836.11

903.87

536.10

—

—

—

0.0903

M-J-S-D
0
27,944.95

1282014
8042019
41283LAB1
HARLEY-DAVIDSON FINANCIAL CORP BND 144A
 
 
 
 
2,056,720

2,052,761.84

2,000,000.00

2,050,888.44

1,873.4

(5,831.56
)
—

—

2.7

1.5201

Mar-Sep
0
13,500

2142012
3152017
41283YAC1
HARLEY-DAVIDSON MOTORCYCLE TRU ABS 13-1 A3
 
 
2
 
1,540,248.25

1,540,298.74

1,540,252.56

1,540,244.52

54.22

0.43

—

—

0.65

0.6507

Monthly
                  508.45
11,302.34

4162013
7162018
43814EAC9
HAROT 2013-2 ABS 13-2 A3
 
 
2
 
4,504,576.53

4,502,071.75

4,505,000.00

4,504,846.48

(2,774.73
)
158.86

—

—

0.53

0.5343

Monthly
                  994.86
23,876.52

4172013
2162017
43814GAC4
HAROT ABS_14-2-A3
 
 
2
 
868,368.75

865,400.29

870,000.00

868,686.78

(3,286.49
)
318.03

—

—

0.77

0.8596

Monthly
0
2,828.47

7242014
3192018
43813UAC4
HAROT_12-3 ABS 12-1
 
 
2
 
430,404.08

430,627.9

430,429.91

430,421.58

206.32

53.18

—

—

0.77

0.7732

Monthly
                   786.19
9,887.7

2142012
1152016
43812XAB1
HAROT_13-3 ABS 13-3 A2
 
 
2
 
101,464.25

101,470.84

101,465.77

101,464.16

6.68

4.41

—

—

0.54

0.5412

Monthly
                    114.00
1,841.34

7172013
1152016
43812XAC9
HAROT_13-3 ABS 13-3 A3
 
 
2
 
3,464,437.28

3,467,979.87

3,465,000.00

3,464,769.44

3,210.43

231.41

—

—

0.77

0.7780

Monthly
                1,185.80
26,680.56

7172013
5152017
43814GAD2
HAROT_14-2 SENIOR ABS 14-2 A4
 
 
2
 
2,001,406.25

1,987,973.02

2,000,000.00

2,001,379.95

(13,406.93
)
(26.30
)
—

—

1.18

1.1548

Monthly
0
3,933.34

10282014
5182020
413893BG2
HARRIS COUNTY HOUSTON TEX SPOR MUNITAX BND REV
 
 
1
 
1,289,858.1

1,296,230.7

1,290,000.00

1,289,994.41

6,236.29

181.96

—

—

6.75

6.7502

May-Nov
0
25,192.5

12182002
11152017
415690MD5
HARRISONBURG VA REDEV & HSG AU MUNI BND REV
 
 
1
 
1,298,807.3

1,298,962.7

1,295,000.00

1,295,000

3,962.7

(3,807.30
)
—

—

7

6.8428

Feb-Aug
0
22,662.5

6272001
8012020
44890QAC7
HART_13-C ABS 13-C A3
 
 
2
 
2,324,162.5

2,326,625.18

2,320,000.00

2,323,005.75

3,619.43

(1,113.34
)
—

—

1.01

1.0194

Monthly
                  673.33
18,646.86

7242014
2152018
44890RAC5
HART_14-A ABS 14-A A3
 
 
2
 
2,288,787.15

2,283,167.15

2,290,000.00

2,289,080.81

(5,913.66
)
293.66

—

—

0.79

0.7982

Monthly
0
13,518.62

7242014
7162018
44890UAD6
HART_14-B ABS _14-B-A4
 
 
2
 
10,532,832.89

10,450,434.33

10,500,000.00

10,530,920.77

(80,486.44
)
(1,912.12
)
—

—

1.46

1.4647

Monthly
0
42,198.01

10172014
11152019
419791YG7
HAWAII ST MUNI BND GO
 
 
 
 
2,007,940

2,004,640

2,000,000.00

2,000,143.58

4,496.42

(1,688.04
)
—

—

3

2.9135

Feb-Aug
            25,000.00
60,000

2102010
2012015
BRSQTPNS0
HEALTHPLAN HOLDINGS INC SENIOR SECURED TERM NOTES
 
 
 
 
5,921,052.63

5,891,447.37

5,921,052.63

5,921,052.63

(29,605.26
)
—

—

—

—

—

M-J-S-D
0
69,078.95

11282014
11122019
429827AN8
HEF_04-1 ABS 04-1 A13 144A
 
 
2
 
164,000

203,476.6

200,000.00

171,703.28

31,773.32

(255.72
)
—

—

1.7130701

2.9247

Monthly
                    56.80
2,560.31

9102009
1012044
429827AQ1
HEF_04-1 ABS 04-1 A15 144A
 
 
 
 
246,000

305,511

300,000.00

252,856.25

52,654.75

1,158.30

—

—

1.5699993

2.3600

F-M-A-N
                   261.73
4,039.13

9102009
1012044
429827AB4
HEF_04-1 ABS 04-1 A2 144A
 
 
2
 
164,000

203,711.2

200,000.00

174,061.46

29,649.74

(2,218.23
)
—

—

1.6399998

3.0694

Monthly
                    46.33
2,396.93

9102009
1012044
429827AF5
HEF_04-1 ABS 04-1 A6 144A
 
 
2
 
164,000

200,463

200,000.00

172,636.98

27,826.02

(2,921.23
)
—

—

1.6319997

2.9129

Monthly
                    54.80
2,381.05

9102009
1012044
423012AC7
HEINEKEN N.V. SENIOR CORP BND 144A
 
F
 
 
2,299,083.33

2,298,680.74

2,300,000.00

2,299,818.18

(1,137.44
)
245.65

—

—

0.8

0.8208

Apr-Oct
              4,250.00
18,349.44

1092014
10012015
423012AB9
HEINEKEN N.V. SENIOR CORP BND 144A
 
F
 
 
5,987,624.98

5,956,093.95

6,025,000.00

5,999,229.48

(43,135.53
)
9,094.01

—

—

1.4

1.5314

Apr-Oct
             21,087.50
84,350

11052013
10012017
4252005H1
HENDERSON NEV MUNI BND GO
 
 
1
 
2,787,406

2,818,856.5

2,410,000.00

2,753,310.33

65,546.17

(34,095.67
)
—

—

5

(0.4777
)
Jun-Dec
0
30,125

9172013
6012028
427866AS7
HERSHEY COMPANY THE CORP BND
 
 
 
 
1,321,912.75

1,337,530.95

1,325,000.00

1,323,832.61

13,698.34

623.77

—

—

1.5

1.5490

May-Nov
               3,312.50
19,875

11082011
11012016
BRSHYLWT1
HERTZ CORPORATION (THE) SENIOR SECURED TERM NOTES
 
 
2
 
5,798,267.86

5,719,348.62

5,860,979.18

5,817,024.79

(97,676.17
)
17,104.09

—

—

—

0.2317

M-J-S-D
0
179,326.05

8012013
3112018
428236BU6
HEWLETT-PACKARD COMPANY CORP BND
 
 
 
 
1,045,500

1,032,747.65

1,000,000.00

1,040,276.59

(7,528.94
)
(5,223.41
)
—

—

3.3

1.1901

Jun-Dec
0
8,250

12062011
12092016
428236BE2
HEWLETT-PACKARD COMPANY CORP BND
 
 
 
 
3,054,060

3,029,232.9

3,000,000.00

3,042,329.2

(13,096.3
)
(11,730.80
)
—

—

2.2

0.6504

Jun-Dec
0
16,500

11292010
12012015
428236BZ5
HEWLETT-PACKARD COMPANY SENIOR CORP BND
 
 
 
 
500,000

491,445.01

500,000.00

500,000

(8,554.99
)
—

—

—

1.17

1.1700

J-A-J-O
0
5,735.43

1092014
1142019
428236BW2
HEWLETT-PACKARD COMPANY UNSEC CORP BND
 
 
 
 
1,874,718.75

1,907,968.43

1,875,000.00

1,874,858.43

33,110

49.95

—

—

2.6

2.6029

Mar-Sep
              14,354.17
48,750

3072012
9152017
BRSR060V9
HIGH PERFORMANCE HOLDINGS INC SENIOR SECURED TERM NOTES
 
 
 
 
6,408,720.54

6,344,633.33

6,408,720.54

6,408,720.54

(64,087.21
)
—

—

—

—

—

M-J-S-D
0
75,000

12122014
12082019
429827AE8
HIGHER EDUCATION FUNDING HEF_0 ABS 04-1 144A
 
 
2
 
164,000

195,409.6

200,000.00

173,085.85

22,323.75

894.67

—

—

1.379

2.6856

Monthly
                   194.02
2,446.33

9102009
1012044
429827AJ7
HIGHER EDUCATION FUNDING HEF_0 ABS 04-1 A9 144A
 
 
2
 
164,224

206,077

200,000.00

172,559.54

33,517.46

1,006.59

—

—

1.7582154

3.0348

Monthly
                   281.46
2,411.71

9102009
1012044
429827AK4
HIGHER EDUCATION FUNDING HEF_0 ABS_04-1 A10
 
 
2
 
164,196

187,067.4

200,000.00

172,367.46

14,699.94

531.22

—

—

1.6569996

2.9049

Monthly
                  264.58
2,321.37

9102009
1012044
BRSKM1X29
HILTON WORLDWIDE FINANCE LLC SENIOR SECURED TERM NOTES
 
 
 
 
3,115,883.44

3,100,867.71

3,131,541.16

3,118,497.83

(17,630.12
)
6,266.65

—

—

—

0.0707

M-J-S-D
0
179,775.68

10312013
10262020
43813EAD8
HONDA AUTO RECEIVABLES OWNER T ABS 12-2
 
 
2
 
1,599,694.08

1,603,440

1,600,000.00

1,599,954.92

3,485.08

98.08

—

—

0.91

0.9179

Monthly
                   647.10
14,559.96

4182012
5152018
43814CAD1
HONDA AUTO RECEIVABLES OWNER T ABS 13-1
 
 
2
 
6,989,335.94

6,991,544.28

7,000,000.00

6,993,448.45

(1,904.17
)
4,112.51

—

—

0.62

0.7002

Monthly
0
32,550.03

3272014
3212019
438670QB0
HONOLULU HAWAII CITY & CNTY MUNI BND GO
 
 
1
 
724,262.5

719,394

650,000.00

717,518.03

1,875.97

(6,744.47
)
—

—

5

0.7953

Jan-Jul
0
8,125

1072009
7012024
438670Q20
HONOLULU HAWAII CITY & CNTY MUNITAX BND GO
 
 
 
 
1,500,000

1,499,085

1,500,000.00

1,500,000

(915
)
—

—

—

1.259

1.2590

May-Nov
               3,147.50
18,885

10262012
11012017
BRSPKZWC4
HOPLON II INSURANCE LTD CORP BND
 
D
 
 
9,054,787.5

8,193,566.19

6,750,000.00

9,054,787.5

(861,221.31
)
—

—

(886,950
)
6.525349

6.5253

J-A-J-O
0
184,882.1

8082014
1082018
442331GP3
HOUSTON TEX MUNI BND GO
 
 
1
 
1,239,749.55

1,224,865.8

1,215,000.00

1,224,606.73

259.07

(15,142.82
)
—

—

5

0.1402

Mar-Sep
0
15,187.5

10192005
3012016
442435KD4
HOUSTON TEX MUNI BND REV
 
 
1
 
620,647.5

617,298

550,000.00

614,954.89

2,343.11

(5,692.61
)
—

—

5

0.8274

May-Nov
0
6,875

6202007
11152021
442435KC6
HOUSTON TEX MUNI BND REV
 
 
1
 
1,147,650.35

1,140,697.6

1,015,000.00

1,136,951.09

3,746.51

(10,699.26
)
—

—

5

0.7598

May-Nov
0
12,687.5

6202007
11152020
44328MAL8
HSBC BANK PLC CORP BND 144A
 
F
 
 
3,123,450

3,083,028

3,000,000.00

3,059,948.26

23,079.74

(57,140.43
)
—

—

3.1

1.6448

May-Nov
             14,337.50
126,195.83

6242013
5242016
G463NBBT9
HSBC BANK PLC SENIOR CORP BND
 
F
 
 
3,693,081

3,652,362.13

3,700,000.00

3,695,278.87

(42,916.74
)
1,354.72

—

—

1.5

1.5390

May-Nov
               7,091.67
55,500

5082013
5152018
44328MBU7
HSBC BANK PLC SENIOR CORP BND 144A
 
F
 
 
1,611,987.2

1,606,384.03

1,600,000.00

1,609,817.05

(3,433.02
)
(2,170.15
)
—

—

0.8721

0.6902

F-M-A-N
0
10,677.81

3282014
5152018
44328MBT0
HSBC BANK PLC SENIOR CORP BND 144A
 
F
 
 
5,739,247.5

5,677,778.85

5,750,000.00

5,742,663.11

(64,884.26
)
8,339.34

—

—

1.5

1.5390

May-Nov
             20,604.17
98,124.99

5082013
5152018
G463AQPM0
HSBC BANK PLC SENIOR LOCAL BND EMTN
 
D
 
 
1,557,432.87

1,564,722.54

1,000,000.00

1,557,278.59

7,443.95

(137.73
)
—

2,157.76

0.95525

0.9462

F-M-A-N
               1,792.78
15,494.49

11132013
5162016
40428HPJ5
HSBC BANK USA INC SENIOR CORP BND
 
 
 
 
938,383.2

960,799.39

940,000.00

938,775.19

22,024.2

308.73

—

—

2.625

2.6620

Mar-Sep
               6,748.13
24,675.02

9172013
9242018
40428HPK2
HSBC BANK USA INC SENIOR CORP BND
 
 
 
 
6,250,000

6,312,502.94

6,250,000.00

6,250,000

62,502.94

—

—

—

1.1351

1.1351

M-J-S-D
                1,567.15
70,790.2

9172013
9242018
404280AR0
HSBC HOLDINGS PLC CAPSEC CORP BND
 
F
1
 
8,765,000

8,807,510.25

8,765,000.00

8,765,000

42,510.25

—

—

—

5.625

5.6250

Jan-Jul
0
142,431.25

9102014
1019999
404280AP4
HSBC HOLDINGS PLC SUB CORP BND
 
F
 
 
10,881,445

10,885,164.78

10,500,000.00

10,867,680.82

17,483.96

(13,764.18
)
—

—

4.25

3.7740

Mar-Sep
0
189,420.13

8192014
3142024
G463CFAA4
HSBC HOLDINGS PLC SUB LOCAL BND EMTN
 
D
1
 
2,421,694.03

2,388,583.89

1,400,000.00

2,414,598.36

(26,014.47
)
(8,058.66
)
—

(20,345.58
)
6.375

2.7081

October
0
15,284.21

11252014
10182022
40428HPN6
HSBC USA INC SENIOR CORP BND
 
 
 
 
299,817

299,434.57

300,000.00

299,821.65

(387.08
)
4.65

—

—

2.375

2.3878

May-Nov
0
969.79

11052014
11132019
40428HPH9
HSBC USA INC SENIOR CORP BND
 
 
 
 
2,991,420

2,989,286.04

3,000,000.00

2,994,779.48

(5,493.44
)
2,514.23

—

—

1.625

1.6839

Jan-Jul
             45,357.81
73,995.73

12132012
1162018
C4438BAC0
HUSKY INJECTION MOLDING SYS LT SENIOR SECURED TERM NOTES
 
A
1
 
382,268.97

377,626.04

384,189.92

382,390.08

(4,764.04
)
128.44

—

—

—

0.0713

M-J-S-D
0
7,969.31

6262014
6302021
448814JB0
HYDRO-QUEBEC SENIOR CORP BND
 
A
 
 
2,040,560

2,039,239.8

2,000,000.00

2,034,683.55

4,556.25

(5,876.45
)
—

—

2

0.8300

Jun-Dec
0
10,000

6232011
6302016
4488148U0
HYDRO-QUEBEC SENIOR CORP BND
 
A
 
 
4,994,200

5,029,299.95

5,000,000.00

4,997,091.03

32,208.92

1,152.29

—

—

1.375

1.3991

Jun-Dec
               2,291.67
68,750

6122012
6192017
44890HAC7
HYUNDAI AUTO RECEIVABLES TRUST ABS 12-B
 
 
2
 
901,943.38

902,403.81

902,097.10

902,073.92

329.89

296.77

—

—

0.62

0.6285

Monthly
                1,365.10
17,324.76

7102012
9152016
44890LAB0
HYUNDAI AUTO RECEIVABLES TRUST ABS_13-B A2
 
 
2
 
52,606.2

52,611.19

52,606.45

52,604.95

6.24

2.08

—

—

0.53

0.5297

Monthly
                    120.13
1,632.74

6192013
3152016
44890LAC8
HYUNDAI AUTO RECEIVABLES TRUST ABS_13-B A3
 
 
2
 
1,424,920.44

1,425,996.28

1,425,000.00

1,424,973.51

1,022.77

13.47

—

—

0.71

0.7192

Monthly
                  449.67
10,117.56

11052013
9152017
44920UAC2
HYUNDAI CAP SVC CORP BND 144A
 
F
 
 
2,982,210

3,130,610.46

3,000,000.00

2,994,470.67

136,139.79

3,325.85

—

—

4.375

4.4979

Jan-Jul
             56,145.83
131,250

1202011
7272016
44923QAB0
HYUNDAI CAPITAL AMERICA CORP BND 144A
 
 
 
 
1,991,020

2,095,696.42

2,000,000.00

1,995,779.22

99,917.2

1,617.40

—

—

4

4.0920

Jun-Dec
                   5,111.11
80,000

12012011
6082017
45200FJS9
ILLINOIS FIN MUNI BND REV
 
 
1
 
6,044,274

6,031,638

5,400,000.00

6,000,214.86

31,423.14

(44,059.14
)
—

—

5

1.5987

May-Nov
0
67,500

5302008
5152019
4521518V8
ILLINOIS ST MUNI BND GO
 
 
 
 
900,000

900,000

900,000.00

900,000

—

—

—

—

4.421

4.4210

Jan-Jul
             50,841.50
97,900.59

1082010
1012015
452227FG1
ILLINOIS ST SALES TAX REV MUNITAX BND REV
 
 
 
 
4,100,000

4,136,203

4,100,000.00

4,100,000

36,203

—

—

—

1.56

1.5600

Jun-Dec
              2,842.67
63,960

5102012
6152017
G4721VAY0
IMPERIAL TOBACCO FIN PLC CORP BND
 
D
 
 
1,223,468.18

1,221,065.06

680,000.00

1,221,847.88

(782.82
)
(1,620.30
)
—

(1,799.65
)
6.25

2.1865

December
0
2,727.35

12152014
12042018
BRSMHGLN5
IMS HEALTH INCORPORATED IMS HEALTH INCORPORATED
 
 
 
 
7,126,887.39

6,994,550.49

7,138,826.18

7,128,177.63

(133,627.14
)
1,290.24

—

—

—

0.0237

M-J-S-D
0
175,976.76

4012014
3172021
454795DR3
IN HLTH CLARIAN MUNI BND REV
 
 
1
 
381,825.5

385,917

350,000.00

379,662.71

6,254.29

(2,162.79
)
—

—

5.25

2.5784

May-Nov
0
4,593.75

4102008
11012025
454795DQ5
IN HLTH CLARIAN MUNI BND REV
 
 
1
 
405,442

404,281.3

365,000.00

402,666.43

1,614.87

(2,775.57
)
—

—

5.25

2.0303

May-Nov
0
4,790.62

4102008
11012024
45505UAH1
INDIANA ST FINANCE AUTHORITY MUNI BND REV
 
 
 
 
2,301,800

2,273,080

2,000,000.00

2,283,419.06

(10,339.06
)
(18,380.94
)
—

—

5

1.2040

May-Nov
0
25,000

3202008
11012018
45506DCD5
INDIANA ST FINANCE AUTHORITY MUNI BND REV
 
 
1
 
2,909,805

2,938,314

2,550,000.00

2,899,429.48

38,884.52

(10,375.52
)
—

—

5

2.9500

Jan-Jul
0
31,875

9172013
7012028
4551677N0
INDIANA UNIV REVS MUNI BND REV
 
 
1
 
255,040.8

252,063.35

235,000.00

252,296.97

(233.62
)
(2,743.83
)
—

—

5

0.3369

Feb-Aug
0
2,937.5

1302013
8012017
4551677Q3
INDIANA UNIV REVS MUNI BND REV
 
 
1
 
828,127.8

820,125.9

765,000.00

819,495.1

630.8

(8,632.70
)
—

—

5

0.4801

Feb-Aug
0
9,562.5

1302013
8012017
455167Q66
INDIANA UNIV REVS MUNI BND REV
 
 
 
 
1,085,090

1,072,630

1,000,000.00

1,073,441.08

(811.08
)
(11,648.92
)
—

—

5

0.3467

Feb-Aug
0
12,500

6082006
8012016
BRSEKNUF1
INEOS US FINANCE LLC SENIOR SEC TERM NOTES
 
 
2
 
3,031,619.14

2,961,615.96

3,046,068.20

3,035,794.44

(74,178.48
)
3,205.86

—

—

—

0.0997

J-A-J-O
0
117,654.63

9122013
5042018
BRSJFKKC0
INFOR US INC SENIOR SECURED TERM NOTES
 
 
 
 
1,024,909.63

995,730.45

1,024,909.63

1,024,909.63

(29,179.18
)
—

—

—

—

—

F-M-A-N
0
39,562.9

5242013
6032020
BRSLNXDD4
INFOR US INC SENIOR SECURED TERM NOTES
 
 
 
 
3,153,078.93

3,083,260.7

3,171,100.18

3,154,131.47

(70,870.77
)
1,113.70

—

—

—

0.0975

M-J-S-D
0
52,522.36

7312014
6032020
449786AR3
ING BANK NV CORP BND 144A
 
F
 
 
3,714,234.75

3,754,847.09

3,725,000.00

3,722,323

32,524.09

3,608.29

—

—

2

2.0999

Mar-Sep
             19,866.67
74,500

9182012
9252015
N4R203EJ2
ING BANK NV SENIOR BND CORP EMTN
 
D
 
 
1,215,988.25

1,144,706.13

700,000.00

1,193,124.97

(48,418.84
)
(32,226.98
)
—

(57,396.44
)
3.875

1.7603

December
0
62,554.93

1022014
12232016
449786AX0
ING BANK NV SENIOR CORP BND 144A
 
F
 
 
748,440

752,167.95

750,000.00

749,378.79

2,789.16

518.62

—

—

1.375

1.4461

Mar-Sep
              3,265.63
10,312.5

2282013
3072016
449786AW2
ING BANK NV SENIOR CORP BND 144A
 
F
 
 
1,120,000

1,125,790.38

1,120,000.00

1,120,000

5,790.38

—

—

—

1.18535

1.1854

M-J-S-D
                6,181.76
55,160.73

2282013
3072016
45687AAL6
INGERSOLL-RAND GLOBAL HOLDING SENIOR CORP BND
 
R
 
 
2,989,816.8

3,004,606.42

2,964,000.00

2,986,948.56

17,657.86

(3,027.61
)
—

—

2.875

2.6712

Jan-Jul
0
53,505.34

6162014
1152019
456873AA6
INGERSOLL-RAND LUXEMBOURG FINA SENIOR CORP BND
 
F
1
 
3,005,460

2,976,152.58

3,000,000.00

3,005,296.4

(29,143.82
)
(163.60
)
—

—

2.625

2.5889

May-Nov
0
13,562.5

10242014
5012020
458140AH3
INTEL CORPORATION CORP BND
 
 
 
 
3,064,200

3,050,454.93

3,000,000.00

3,056,062.67

(5,607.74
)
(8,056.75
)
—

—

1.95

0.8698

Apr-Oct
              8,775.00
19,792.5

10182011
10012016
4581X0BV9
INTER AMERICAN DEV BK CORP BND
 
F
 
 
4,019,960

4,023,240.04

4,000,000.00

4,015,035.93

8,204.11

(9,384.77
)
—

—

1.125

0.9520

Mar-Sep
0
62,656.25

4042014
3152017
458182DT6
INTER-AMERICAN DEV BANK CORP BND
 
E
 
 
2,050,000

2,059,020.04

2,050,000.00

2,050,000

9,020.04

—

—

—

0.2699

0.2699

M-J-S-D
               1,079.85
15,374.58

9052013
9122018
45818WAT3
INTER-AMERICAN DEV BANK CORP BND EMTN
 
E
 
 
6,000,000

5,985,899.94

6,000,000.00

6,000,000

(14,100.06
)
—

—

—

0.2371

0.2371

M-J-S-D
0
7,263.53

6132014
6202018
459200HB0
INTERNATIONAL BUSINESS MACHINE CORP BND
 
 
 
 
4,127,963.5

4,150,871.5

4,150,000.00

4,149,211.29

1,660.21

8,041.59

—

—

0.55

0.7450

Feb-Aug
               9,193.40
22,825

5012012
2062015
459200HC8
INTERNATIONAL BUSINESS MACHINE CORP BND
 
 
 
 
4,823,078.55

4,842,035.93

4,830,000.00

4,829,927.28

12,108.65

1,442.55

—

—

1.25

1.3419

Feb-Aug
              16,488.71
50,710.94

1132014
2062017
459200GU9
INTERNATIONAL BUSINESS MACHINE CORP BND
 
 
 
 
5,098,200

5,071,575

5,000,000.00

5,078,595.75

(7,020.75
)
(19,604.25
)
—

—

2

0.4398

Jan-Jul
0
25,000

6152011
1052016
459200HK0
INTERNATIONAL BUSINESS MACHINE SENIOR CORP BND
 
 
 
 
1,149,710.1

1,142,253.17

1,155,000.00

1,151,675.48

(9,422.31
)
1,042.27

—

—

1.25

1.3450

Feb-Aug
              5,734.89
14,437.5

2052013
2082018
459200HD6
INTERNATIONAL BUSINESS MACHINE SENIOR CORP BND
 
 
 
 
4,542,447

4,556,324.5

4,550,000.00

4,549,086.75

7,237.75

2,530.63

—

—

0.75

0.8061

May-Nov
              4,739.58
34,125

5082012
5112015
45950VCP9
INTERNATIONAL FINANCE CO CORP BND
 
E
 
 
670,884.48

670,891.2

672,000.00

671,301.98

(410.78
)
2,106.07

—

—

0.625

0.6810

May-Nov
               3,221.60
24,026.97

11052013
11152016
G4804LAA4
INTRCONT HOTELS LOCAL BND
 
D
 
 
2,017,729.6

1,855,234.31

1,100,000.00

1,965,721.77

(110,487.46
)
(64,440.57
)
—

(117,857.97
)
6

1.8847

December
0
99,217.56

4032014
12092016
462466AW3
IOWA FIN AUTH REV MUNI BND REV
 
 
 
 
814,490

809,426.1

790,000.00

809,225.02

201.08

(5,264.98
)
—

—

5

2.2955

Jun-Dec
0
9,875

9152006
12012015
46247NAK1
IOWA FIN AUTH REV MUNI BND REV
 
 
 
 
1,081,300

1,071,610

1,000,000.00

1,073,137.69

(1,527.69
)
(8,162.31
)
—

—

5

1.6697

Apr-Oct
0
12,500

3222007
4012017
462466AY9
IOWA FIN AUTH REV MUNI BND REV
 
 
1
 
1,136,968.1

1,129,000.2

1,090,000.00

1,131,636.79

(2,636.59
)
(5,331.31
)
—

—

5

2.9334

Jun-Dec
0
13,625

9152006
12012017
46603BAB5
IVYH_14-9A MEZZANIN ABS_14-9A-B1 144A
 
F
2
 
3,938,672.8

3,927,207.34

4,000,000.00

3,940,458.35

(13,251.01
)
1,785.55

—

—

2.6851

2.9465

J-A-J-O
0
23,569.21

10012014
10182025
BRSKL00G7
JBS USA LLC SENIOR SECURED TERM NOTES
 
 
 
 
1,182,060

1,167,210

1,188,000.00

1,183,132.5

(15,922.5
)
906.98

—

—

—

0.0708

M-J-S-D
0
45,354.99

9272013
9182020
47787BAD7
JDOT_12-A ABS 12-A
 
 
2
 
3,999,112.4

4,006,919.88

4,000,000.00

3,999,764.71

7,155.17

234.70

—

—

0.99

0.9979

Monthly
               1,760.00
39,600

2222012
6152018
477879AC4
JDOT_13-B ABS_13-B A3
 
 
2
 
4,724,355.98

4,734,875.25

4,725,000.00

4,724,692.13

10,183.12

259.81

—

—

0.87

0.8770

Monthly
               1,827.00
41,107.56

8272013
8152017
473240EC9
JEFFERSON CNTY MO SCH DIST NO MUNITAX BND GO
 
 
 
 
312,726

311,148

300,000.00

311,393.37

(245.37
)
(1,332.63
)
—

—

3

1.2152

Mar-Sep
0
2,250

9212012
3012017
476576HQ9
JERSEY CITY N J MUNITAX BND GO
 
 
 
 
2,225,000

2,230,940.75

2,225,000.00

2,225,000

5,940.75

—

—

—

2.525

2.5250

Mar-Sep
0
3,277.24

11212014
9012019
24422ESB6
JOHN DEERE CAPITAL CORP CORP BND MTN
 
 
 
 
5,976,760

5,936,801.16

6,000,000.00

5,981,699.26

(44,898.1
)
3,121.39

—

—

1.3

1.3479

Mar-Sep
             19,680.56
68,250

3062013
3122018
24422ESK6
JOHN DEERE CAPITAL CORP SENIOR CORP BND MTN
 
 
 
 
1,989,880

1,994,719.4

2,000,000.00

1,990,449.51

4,269.89

569.51

—

—

1.95

2.0700

Mar-Sep
0
9,750

2252014
3042019
24422ERN1
JOHN DEERE CAPITAL CORP SENIOR CORP BND MTN
 
 
 
 
4,923,571.75

4,936,928.1

4,925,000.00

4,924,370.88

12,557.22

377.32

—

—

1.4

1.4059

Mar-Sep
            42,355.83
93,500.55

2222012
3152017
24422ESS9
JOHN DEERE CAPITAL CORP SENIOR CORP BND MTN
 
 
 
 
5,043,750

5,023,067.1

5,000,000.00

5,042,195

(19,127.9
)
(1,555.00
)
—

—

2.3

2.1102

Mar-Sep
0
23,575

10232014
9162019
24422ERZ4
JOHN DEERE CAPITAL CORP UNSECURED CORP BND MTN
 
 
 
 
634,326.9

635,480.76

635,000.00

634,760.81

719.95

224.47

—

—

0.75

0.7859

Jan-Jul
               2,103.44
4,762.5

1172013
1222016
478111AA5
JOHNS HOPKINS HEALTH SYSTEM CO SENIOR CORP BND
 
 
 
 
244,815

248,286.09

250,000.00

245,169.52

3,116.57

354.52

—

—

1.424

2.0200

May-Nov
0
890

5012013
5152018
478160AW4
JOHNSON & JOHNSON CORP BND
 
 
 
 
122,861.25

129,994.1

125,000.00

123,712.63

6,281.47

204.62

—

—

2.95

3.1500

Mar-Sep
                1,229.17
3,687.5

8122010
9012020
478160BF0
JOHNSON & JOHNSON SENIOR CORP BND
 
 
 
 
1,997,580

1,994,028.48

2,000,000.00

1,998,446.05

(4,417.57
)
806.13

—

—

0.7

0.7411

May-Nov
                   1,011.11
13,999.99

12022013
11282016
478160BL7
JOHNSON & JOHNSON SENIOR CORP BND
 
 
 
 
2,647,906.5

2,634,793.11

2,650,000.00

2,647,984.41

(13,191.3
)
77.91

—

—

1.125

1.1519

May-Nov
0
3,312.5

11182014
11212017
478160BE3
JOHNSON & JOHNSON SENIOR CORP BND
 
 
 
 
5,000,000

5,003,650.3

5,000,000.00

5,000,000

3,650.3

—

—

—

0.3056

0.3056

F-M-A-N
                1,167.38
15,461.79

12022013
11282016
418097AD3
JORDAN (HASHEMITE KINGDOM OF) AGENCY BND
 
F
 
 
10,000,000

10,050,000

10,000,000.00

10,000,000

50,000

—

—

—

1.945

1.9450

Jun-Dec
0
114,538.9

6232014
6232019
46630JAC3
JP MORGAN CHASE COMMERCIAL MOR CMBS 07-LDPX A3
 
 
2
 
7,801,628.75

7,584,352.24

7,104,247.01

7,614,439.58

(30,087.34
)
(230,455.29
)
—

—

5.42

(0.9819
)
Monthly
0
282,540.85

4082014
1152049
46640LAB8
JPMBB COMMERCIAL MORTGAGE SECU SENIOR CMBS_13-C14 A2
 
 
2
 
2,209,382.81

2,217,211.24

2,140,000.00

2,203,172.63

14,038.61

(6,210.18
)
—

—

3.0193

1.9399

Monthly
0
18,307.03

9162014
8152046
46641WAT4
JPMBB_14-C19 PRELCF SENIOR CMBS_14-C19 A2
 
 
2
 
1,910,646.29

1,921,761.43

1,855,000.00

1,902,469.05

19,292.38

(8,177.24
)
—

—

3.0456

2.2687

Monthly
0
34,525.26

4292014
4152047
46643ABB8
JPMBB_14-C23 SENIOR SENIOR CMBS _14-C23-A2
 
 
2
 
7,209,986

7,285,810

7,000,000.00

7,199,574.26

86,235.74

(10,411.74
)
—

—

3.1813

2.5286

Monthly
0
56,291.32

9172014
9152047
46639EAB7
JPMCC_12-LC9 PRELCF SENIOR CMBS_12-LC9-A2
 
 
2
 
1,131,500.78

1,131,435.09

1,130,000.00

1,131,348.75

86.34

(152.03
)
—

—

1.6769

1.6195

Monthly
0
4,263.52

10072014
12152047
46641BAB9
JPMCC_13-C16 SENIOR CMBS 13-C16
 
 
2
 
4,500,916.02

4,482,732.88

4,325,000.00

4,493,033.33

(10,300.45
)
(7,882.69
)
—

—

3.07

1.8505

Monthly
0
21,023.1

10302014
12152046
46642CBE9
JPMCC_14-C20 SENIOR CMBS 14-C20-A2
 
 
2
 
7,209,986

7,199,080.14

7,000,000.00

7,187,729.58

11,350.56

(22,256.42
)
—

—

2.8716

2.2074

Monthly
0
104,972.94

6122014
7152047
46641KAA1
JPMCC_14-FBLU SENIOR CMBS 14-FBLU A 144A
 
 
2
 
5,004,687.5

5,000,720

5,000,000.00

5,003,318.82

(2,598.82
)
(1,368.68
)
—

—

1.111

1.0739

Monthly
0
39,097.07

4152014
12152028
4.66247E+79
JPMMT
 
 
 
 
65,403.38

59,005.87

65,352.30

65,374.64

(6,368.77
)
(862.32
)
—

—

2.65045

2.6216

Monthly
                     171.41
1,866.08

 
 
46643DAE7
JPMMT_14-OAK4 WHOLE CMO 14-OAK4
 
 
2
 
3,789,439.65

3,812,618.59

3,740,347.59

3,787,328.39

25,290.2

(5,519.20
)
—

—

3.5

3.1650

Monthly
0
30,488.01

10072014
9252044
48127FAA1
JPMORGAN CHASE & CO CAPSEC CORP BND
 
 
1
 
7,439,250

7,350,000

7,500,000.00

7,440,268.26

(90,268.26
)
1,018.26

—

—

5

5.0463

Jan-Jul
0
157,291.68

8132014
12312049
46625HCE8
JPMORGAN CHASE & CO CORP BND
 
 
 
 
182,024.5

176,120

175,000.00

175,235.48

884.52

(1,422.05
)
—

—

4.75

3.9082

Mar-Sep
              2,770.83
8,312.5

10292009
3012015
46625HHX1
JPMORGAN CHASE & CO CORP BND
 
 
 
 
6,416,840

6,160,956

6,000,000.00

6,162,226.88

(1,270.88
)
(150,513.32
)
—

—

3.45

1.0599

Mar-Sep
            80,500.00
225,879.17

3082013
3012016
46625HJA9
JPMORGAN CHASE & CO CORP BND
 
 
 
 
8,363,137.2

8,255,214.86

8,025,000.00

8,226,423.79

28,791.07

(131,201.92
)
—

—

3.15

2.6291

Jan-Jul
          123,585.00
252,787.5

6022014
7052016
46625HJG6
JPMORGAN CHASE & CO CORP BND
 
 
 
 
8,769,467

8,760,380.58

8,775,000.00

8,776,340.7

(15,960.12
)
5,431.15

—

—

1.8

1.6989

Jan-Jul
             15,600.00
46,162.5

11252014
1252018
U4806JAC7
JPMORGAN CHASE & CO CORP BND EMTN
 
O
 
 
1,133,880.69

1,124,331.52

680,000.00

1,131,885.25

(7,553.73
)
(2,161.72
)
—

(7,785.97
)
4.25

1.2873

Jan-Jul
0
3,205.8

12042014
1252017
48127HAA7
JPMORGAN CHASE & CO SENIOR CORP BND
 
 
 
 
2,394,912

2,375,487.86

2,400,000.00

2,395,100.66

(19,612.8
)
188.66

—

—

2.2

2.2451

Apr-Oct
0
10,120

10152014
10222019
46625HJL5
JPMORGAN CHASE & CO SENIOR CORP BND
 
 
 
 
3,227,387.2

3,224,610.71

3,265,000.00

3,236,255.33

(11,644.62
)
8,238.83

—

—

1.625

1.8959

May-Nov
             13,527.68
54,229.87

11262013
5152018
46623EJU4
JPMORGAN CHASE & CO SENIOR CORP BND
 
 
 
 
4,144,978.5

4,149,843.13

4,150,000.00

4,148,051.23

1,791.9

2,269.92

—

—

1.125

1.1662

Feb-Aug
            27,929.69
63,562.5

2212013
2262016
48126EAA5
JPMORGAN CHASE & CO SENIOR CORP BND
 
 
 
 
4,529,045

4,542,618.02

4,500,000.00

4,525,113.42

17,504.6

(17,411.17
)
—

—

2

2.0380

Feb-Aug
            37,777.78
110,083.33

4012014
8152017
46625HJF8
JPMORGAN CHASE & CO SENIOR CORP BND
 
 
 
 
11,620,000

11,711,217.46

11,620,000.00

11,620,000

91,217.46

(17,144.80
)
—

—

1.1336

1.1336

J-A-J-O
             32,081.24
207,975.54

1172013
1252018
46623EJP5
JPMORGAN CHASE & CO SENIOR CORP BND MTN
 
 
 
 
3,372,637.5

3,384,146.25

3,375,000.00

3,374,826.06

9,320.19

800.17

—

—

1.875

1.8991

Mar-Sep
              17,753.91
63,281.26

3142012
3202015
46625HJQ4
JPMORGAN CHASE & CO SUB CORP BND
 
 
1
 
3,187,500

3,131,250

3,000,000.00

3,186,925.81

(55,675.81
)
(574.19
)
—

—

6.75

5.8548

Feb-Aug
0
8,437.51

12112014
12312049
46625HJY7
JPMORGAN CHASE & CO SUB CORP BND
 
 
 
 
6,630,008.75

6,654,642.86

6,665,000.00

6,630,910.56

23,732.3

901.81

—

—

3.875

3.9390

Mar-Sep
0
79,632.86

9032014
9102024
48121CJN7
JPMORGAN CHASE BANK NA CORP BND
 
 
 
 
5,424,650

5,319,784.3

5,000,000.00

5,361,486.61

(41,702.31
)
(63,163.39
)
—

—

5.875

0.8402

Jun-Dec
0
73,437.5

1182012
6132016
BRS2RYU09
JPMORGAN CHASE BANK NA SUB CORP BND
 
O
 
 
1,258,281.25

1,246,058.94

750,000.00

1,255,365.79

(9,306.85
)
(3,174.62
)
—

(8,635.36
)
5.375

1.4883

September
0
4,531.62

12042014
9282016
BRSNZFA49
KARMAN BUYER CORP SENIOR SECURED TERM NOTES
 
 
1
 
1,213,288.4

1,206,446.55

1,216,329.22

1,213,455.01

(7,008.46
)
166.61

—

—

—

0.0356

M-J-S-D
0
11,062.88

11212014
7232021
487684H62
KELLER TEX MUNI BND GO
 
 
1
 
2,451,018.2

2,424,387.7

2,410,000.00

2,423,375.5

1,012.2

(27,642.70
)
—

—

5

0.4508

Feb-Aug
0
30,125

8262005
8152016
487836BF4
KELLOGG COMPANY CORP BND
 
 
 
 
253,590

252,992.06

250,000.00

253,166.03

(173.97
)
(423.97
)
—

—

1.875

1.1902

May-Nov
0
1,171.88

11142011
11172016
487836BH0
KELLOGG COMPANY SENIOR CORP BND
 
 
 
 
3,027,000

3,017,575.62

3,000,000.00

3,024,439.9

(6,864.28
)
(2,560.10
)
—

—

1.75

1.4001

May-Nov
0
13,125

5152012
5172017
49327M2F0
KEY BANK NATIONAL ASSOCIATION SENIOR CORP BND
 
 
 
 
499,780

501,707.31

500,000.00

499,782.56

1,924.75

2.56

—

—

2.5

2.5091

Jun-Dec
0
1,284.72

11182014
12152019
BRSP750D8
KEY SAFETY SYSTEMS INC SENIOR SECURED TERM LOAN
 
 
 
 
1,155,289.7

1,153,414.7

1,159,210.75

1,155,431.11

(2,016.41
)
343.78

—

—

—

0.0483

M-J-S-D
0
(432.17
)
8072014
8292021
494074AE7
KILIMANJARO RE LIMITED CORP BND 144A
 
F
 
 
16,750,000

16,712,982.5

16,750,000.00

16,750,000

(37,017.5
)
—

—

—

3.75

3.7678

J-A-J-O
0
76,770.83

11072014
11252019
49456BAD3
KINDER MORGAN HOLDCO LLC SENIOR CORP BND
 
 
 
 
2,582,053.1

2,564,711.22

2,585,000.00

2,582,145.04

(17,433.82
)
175.99

—

—

2

2.0391

Jun-Dec
0
9,187.5

11242014
12012017
49456BAE1
KINDER MORGAN HOLDCO LLC SENIOR CORP BND
 
 
1
 
7,285,024

7,194,432.15

7,295,000.00

7,285,187.28

(90,755.13
)
163.28

—

—

3.05

3.0939

Jun-Dec
0
16,496.67

12102014
12012019
BRSM2E0G4
KINETIC CONCEPTS INC / KCI USA SENIOR SECURED TERM LOAN
 
 
 
 
245,643.76

243,111.17

245,643.76

245,643.76

(2,532.59
)
—

—

—

—

—

M-J-S-D
0
4,410.94

4302014
11042016
496026KV6
KINGS LOC SCH DIST OHIO MUNITAX BND GO
 
 
 
 
1,250,394.5

1,243,078.3

1,165,000.00

1,245,387.08

(2,308.78
)
(5,007.42
)
—

—

3.75

1.9121

Jun-Dec
0
10,921.88

2212013
12012018
482485AC3
KKR_13-2A ABS 13-2A 144A
 
F
2
 
1,516,800

1,523,590.82

1,600,000.00

1,519,240.14

4,350.68

2,440.14

—

—

2.0306

2.9593

J-A-J-O
0
6,498.14

10162014
1232026
BRSF9BJL7
KLOECKNER HOLDINGS GP S.A. TERM LOAN
 
E
 
 
307,842.5

314,321.33

314,125.00

311,301.49

3,019.84

2,170.85

—

—

—

0.4520

M-J-S-D
0
17,907.56

7162012
12212016
499512S77
KNOX CNTY TENN MUNITAX BND GO
 
 
1
 
1,236,862

1,227,738.6

1,210,000.00

1,225,205.48

2,533.12

(11,656.52
)
—

—

4.85

1.0394

May-Nov
0
14,671.25

5032005
5012016
50048MBM1
KOMMUNALBANKEN AS CORP BND 144A
 
F
 
 
398,900

399,631.99

400,000.00

399,305.03

326.96

363.94

—

—

0.75

0.8430

May-Nov
                  333.33
3,000

11132013
11212016
50048MAT7
KOMMUNALBANKEN AS SENIOR GOVT BND
 
F
 
 
1,096,205

1,094,951

1,100,000.00

1,097,901.54

(2,950.54
)
753.01

—

—

1

1.0710

Mar-Sep
              2,902.78
11,000

9192012
9262017
BRSJZMYE5
KOMMUNEKREDIT CORP BND EMTN
 
F
 
 
9,988,500

10,035,600.3

10,000,000.00

9,993,930.7

41,669.6

3,816.52

—

—

0.875

0.9120

July
             36,701.39
87,543.05

7232013
7292016
50065WAE6
KOREA NATIONAL OIL CORP SENIOR CORP BND 144A
 
F
 
 
5,054,795

5,048,864.1

5,000,000.00

5,051,801.72

(2,937.62
)
(2,993.28
)
—

—

2.75

2.4801

Jan-Jul
0
34,375

1162014
1232019
50076QAY2
KRAFT FOODS GROUP INC CORP BND
 
 
 
 
3,718,985.96

3,788,836.7

3,725,000.00

3,721,623.96

67,212.74

1,338.58

—

—

2.25

2.2886

Jun-Dec
               6,053.13
83,812.5

1162013
6052017
D40859GT7
KREDITANSTALT FUER WIEDERAUFBA CORP BND GOVT GUAR
 
D
 
 
3,325,845.87

3,061,521.62

1,750,000.00

3,117,165.94

(55,644.32
)
(150,274.63
)
—

(66,615.59
)
5.625

1.0755

August
             68,089.13
195,950.03

11132013
8252017
BRSDR1PS2
KREDITANSTALT FUER WIEDERAUFBA CORP BND GOVT GUAR
 
D
 
 
3,183,652.29

3,159,223.56

2,000,000.00

3,174,600.16

(15,376.6
)
(9,761.18
)
—

(52,559.6
)
1.75

1.6341

January
            65,308.98
69,609.61

3202012
1222016
D4085B7T2
KREDITANSTALT FUER WIEDERAUFBA CORP BND GOVT GUAR
 
D
 
 
4,941,552.5

4,654,718.88

2,840,000.00

4,704,407.86

(49,688.98
)
(129,823.06
)
—

(108,835.7
)
3.75

1.4519

September
            66,729.87
210,048.08

11132013
9072016
500769GB4
KREDITANSTALT FUER WIEDERAUFBA SENIOR CORP BND
 
F
 
 
3,485,930

3,491,110.07

3,500,000.00

3,489,099.33

2,010.74

3,919.86

—

—

0.75

0.8928

Mar-Sep
0
20,947.91

5062014
3172017
500769FG4
KREDITANSTALT FUER WIEDERAUFBA SENIOR CORP BND
 
F
 
 
6,859,842

6,867,087.21

6,900,000.00

6,874,579.34

(7,492.13
)
12,207.56

—

—

0.875

1.0150

Mar-Sep
             27,912.50
79,114.59

12052014
9052017
500769FP4
KREDITANSTALT FUER WIEDERAUFBA SENIOR CORP BND
 
F
 
 
9,967,900

10,005,300

10,000,000.00

9,986,699.2

18,600.8

10,531.26

—

—

0.5

0.6031

Apr-Oct
             15,000.00
58,402.78

2202013
4192016
501044CW9
KROGER CO (THE) SENIOR CORP BND
 
 
1
 
1,001,180

998,616.18

1,000,000.00

1,001,117.81

(2,501.63
)
(62.19
)
—

—

2.3

2.2673

Jan-Jul
0
5,750

1162014
1152019
491552ZL2
KY ST TPK AUTH ECONOMIC MUNI BND REV
 
 
1
 
2,344,460

2,361,440

2,000,000.00

2,335,714.84

25,725.16

(8,745.16
)
—

—

5

2.7700

Jan-Jul
0
25,000

9132013
7012028
502413BC0
L-3 COMMUNICATIONS CORP SENIOR CORP BND
 
 
 
 
2,738,017.4

2,708,054.94

2,740,000.00

2,738,402.73

(30,347.79
)
385.33

—

—

1.5

1.5248

May-Nov
0
24,317.5

5132014
5282017
50540RAH5
LABORATORY CORP OF AMER HLDGS CORP BND
 
 
 
 
1,032,190

1,022,968

1,000,000.00

1,027,182.09

(4,214.09
)
(5,007.91
)
—

—

3.125

1.1199

May-Nov
0
7,812.5

11162010
5152016
515110BL7
LANDWIRTSCHAFTLICHE RENTENBANK SENIOR CORP BND
 
F
 
 
4,966,950

5,056,850.45

5,000,000.00

4,968,054.74

88,795.71

1,104.74

—

—

2.25

2.3530

Apr-Oct
0
28,125

9242014
10012021
516408HL8
LANSING MICH CMNTY COLLEGE MUNI BND GO
 
 
1
 
3,393,450

3,415,500

3,000,000.00

3,381,696.36

33,803.64

(11,753.64
)
—

—

5

3.0500

May-Nov
0
37,500

12132013
5012029
52109RBM2
LBUBS CMBS 07-C7
 
 
2
 
11,038,519

10,734,097.88

9,770,261.77

10,772,496.51

(38,398.63
)
(288,341.01
)
—

—

5.866

(1.5387
)
Monthly
0
423,942.37

6022014
9152045
52206AAB6
LEASEPLAN CORPORATION NV CORP BND 144A
 
F
 
 
4,981,330.69

4,935,106.3

5,000,000.00

4,983,993.04

(48,886.74
)
4,530.53

—

—

2.5

2.5998

May-Nov
             15,625.00
125,000

6022014
5162018
52349HAM5
LEE CNTY FLA HSG FIN AUTH SING MUNITAX BND REV
 
 
1
 
180,651.6

180,649.8

180,000.00

180,000

649.8

(742.10
)
—

—

7.02

7.0200

Jun-Dec
0
3,451.5

6152001
12012017
52349HAN3
LEE CNTY FLA HSG FIN AUTH SING MUNITAX BND REV
 
 
1
 
200,552

200,590

200,000.00

200,000

590

(552.00
)
—

—

7.27

7.2700

Jun-Dec
0
3,635

6152001
12012021
854403AC6
LELAND STANFORD JR UNIV CALIF MUNI BND REV
 
 
 
 
4,157,579

4,127,420.11

3,700,000.00

4,133,965.05

(6,544.94
)
(23,613.95
)
—

—

4.75

1.9151

May-Nov
0
42,961.11

9302014
5012019
BRSLAZMP6
LESLIES POOLMART, INC. SENIOR SECURED TERM NOTES
 
 
 
 
2,266,707.8

2,220,899.86

2,274,929.43

2,268,219.91

(47,320.05
)
1,493.80

—

—

—

0.0608

M-J-S-D
0
24,771.44

12022013
10162019
BRSK5UM00
LEVEL 3 FINANCING INC SENIOR SECURED TERM NOTES
 
 
2
 
962,682.64

964,548.6

970,000.00

963,617.57

931.03

934.93

—

—

—

0.1421

M-J-S-D
0
19,453.14

4302014
8012019
BRSHY9H24
LINDE AG SENIOR CORP BND EMTN
 
F
 
 
2,990,820

2,981,250

3,000,000.00

2,993,876.94

(12,626.94
)
1,799.13

—

—

1.5

1.5580

April
             31,625.00
45,000

4102013
4182018
BRSK7RBA5
LIVE NATION ENTERTAINMENT INC SENIOR SECURED TERM NOTES
 
 
 
 
2,024,375

2,009,192.19

2,024,375.00

2,024,375

(15,182.81
)
—

—

—

—

—

F-M-A-N
0
72,290.11

8262013
8172020
G4S15PP89
LLOYDS BANK PLC CORP BND EMTN
 
D
1
 
1,145,701.13

1,131,547.87

630,000.00

1,140,724.11

(9,176.24
)
(5,363.85
)
—

(7,846.77
)
10.75

2.5929

December
0
7,555.17

12042014
12162021
BRSLUXX69
LLOYDS BANK PLC CORP BND EMTN
 
D
 
 
1,400,039.37

1,335,844.79

855,000.00

1,400,700.04

(64,855.25
)
811.87

—

(68,886.19
)
0.80438

0.8543

J-A-J-O
0
13,221.37

1072014
1162017
G5577Y5Y2
LLOYDS TSB BANK PLC - LT GTD SENIOR LOCAL BND EMTN
 
D
 
 
3,206,722.93

3,162,782.7

2,000,000.00

3,213,698.65

(50,915.95
)
(183.45
)
—

(99,606.77
)
1.5

1.5564

May
             39,212.90
61,029.76

11132013
5022017
539830AX7
LOCKHEED MARTIN CORPORATION CORP BND
 
 
 
 
1,022,350

1,017,298.74

1,000,000.00

1,019,441.54

(2,142.8
)
(2,908.46
)
—

—

2.125

0.9700

Mar-Sep
0
5,312.5

9062011
9152016
G29330DW7
LONDON POWER NETWORKS PLC LOCAL BND
 
D
 
 
2,638,967.81

2,537,968.46

1,513,000.00

2,606,389.38

(68,420.92
)
(45,307.28
)
—

(101,749.83
)
5.375

1.9608

November
              6,597.68
106,315.21

11272014
11112016
546398PF9
LOUISIANA PUB FACS AUTH REV MUNI BND REV
 
 
1
 
1,443,685.5

1,437,282.45

1,395,000.00

1,436,871.67

410.78

(6,813.83
)
—

—

5

2.9399

Jan-Jul
0
17,437.5

10202006
7012018
546456BD5
LOUISIANA ST CITIZENS PPTY INS MUNI BND REV
 
 
1
 
2,235,513

2,222,724

2,100,000.00

2,215,015.63

7,708.37

(20,497.37
)
—

—

5

1.0880

Jun-Dec
0
26,250

8282007
6012021
546850AU2
LOUISVILLE KY REGL ARPT AUTH A MUNI BND REV
 
 
 
 
1,116,550

1,104,940

1,000,000.00

1,105,988.09

(1,048.09
)
(10,561.91
)
—

—

5.25

0.9499

Jan-Jul
0
13,125

7112008
7012017
548661CS4
LOWES COMPANIES INC CORP BND
 
 
1
 
5,942,665

5,901,348.28

5,825,000.00

5,922,095.87

(20,747.59
)
(20,569.13
)
—

—

2.125

0.7300

Apr-Oct
0
30,945.32

11232011
4152016
5491873Z3
LUBBOCK TEX MUNI BND GO
 
 
1
 
1,070,750

1,065,460

1,000,000.00

1,063,319.68

2,140.32

(7,430.32
)
—

—

4.25

1.2182

Feb-Aug
0
10,625

1122007
2152020
502441AA6
LVMH MOET HENNESSY LOUIS VUITT SENIOR CORP BND 144A
 
F
 
 
3,041,246.5

3,023,824.21

3,050,000.00

3,045,545.94

(21,721.73
)
1,735.83

—

—

1.625

1.6851

Jun-Dec
                  275.34
49,562.52

6262012
6292017
54008PAA1
LWCLO_14-1A ABS _14-1A-A1 144A
 
 
2
 
498,500

498,567.93

500,000.00

498,500

67.93

—

—

—

1.60285

1.6706

J-A-J-O
0
—

12302014
1252024
575718AC5
MA INSTITUTE OF TECH CORP BND
 
 
 
 
1,018,330

1,004,555.16

1,000,000.00

1,017,623.27

(13,068.11
)
(706.73
)
—

—

2.051

1.6431

Jan-Jul
0
3,817.13

10212014
7012019
BRSPBCHQ1
MACDERMID INCORPORATED SENIOR SECURED TERM NOTES
 
 
1
 
289,538.41

287,792.45

290,993.38

289,538.41

(1,745.96
)
—

—

—

—

0.0911

M-J-S-D
0
—

8042014
6072020
BRSJFJJX9
MACDERMID INCORPORATED SENIOR SECURED TERM NOTES
 
 
2
 
1,949,291.92

1,920,089.8

1,954,906.69

1,950,220.49

(30,130.69
)
681.63

—

—

—

0.0435

F-M-A-N
0
74,650.28

8042014
6072020
55608PAA2
MACQUARIE BANK LTD CORP BND 144A
 
F
 
 
5,996,040

6,423,847.02

6,000,000.00

5,998,184.47

425,662.55

784.61

—

—

5

5.0151

Feb-Aug
          107,500.00
300,000

2142012
2222017
56040PAT5
MAINE EDL LN AUTH MUNI BND REV
 
 
 
 
2,757,620.25

2,728,737

2,475,000.00

2,741,281.2

(12,544.2
)
(26,616.15
)
—

—

5.5

2.5919

Jun-Dec
0
34,565.97

9032014
12012018
560427KM7
MAINE HEALTH & HIGHER EDL FACS MUNI BND REV
 
 
1
 
175,719.25

175,715.75

175,000.00

175,000

715.75

(719.25
)
—

—

5.25

3.5632

Jan-Jul
0
2,296.87

7312010
7012021
563469TU9
MANITOBA PROVINCE OF CORP BND
 
A
 
 
10,161,200

10,049,290.5

10,000,000.00

10,095,936.69

(46,646.19
)
(41,994.74
)
—

—

1.3

0.8690

Apr-Oct
             31,777.78
130,000

6062013
4032017
55279HAF7
MANUFACTURERS AND TRADERS TRUS SENIOR CORP BND
 
 
1
 
7,797,036

7,768,832.61

7,800,000.00

7,797,458.04

(28,625.43
)
422.04

—

—

1.4

1.4130

Jan-Jul
0
47,320.01

7222014
7252017
570850KA4
MARLBORO TWP N J BRD ED MUNITAX BND GO
 
 
 
 
1,492,545

1,483,185

1,500,000.00

1,493,038.38

(9,853.38
)
493.38

—

—

1.526

1.6616

Jan-Jul
0
5,722.5

3062013
7152018
574192L81
MARYLAND ST MUNI BND GO
 
 
1
 
1,096,404.5

1,082,268.5

950,000.00

1,086,772.38

(4,503.88
)
(9,632.12
)
—

—

5

0.8599

Jan-Jul
0
11,875

9302008
7152023
575577KX8
MASSACHUSETTS BAY TRANSN AUTH MUNI BND REV
 
 
1
 
865,012.5

854,040

750,000.00

857,387.84

(3,347.84
)
(7,624.66
)
—

—

5

0.8400

Jan-Jul
0
9,375

11072008
7012019
57587AAY4
MASSACHUSETTS ST HSG FIN AGY MUNI BND REV
 
 
1
 
3,691,136.65

3,728,747.15

3,515,000.00

3,687,055.61

41,691.54

(4,081.04
)
—

—

4

3.3600

Jun-Dec
0
35,150

2262014
12012029
57587ABR8
MASSACHUSETTS ST HSG FIN AGY MUNITAX BND REV
 
 
 
 
497,465

501,590

500,000.00

497,591.37

3,998.63

126.37

—

—

2.608

2.7134

Jun-Dec
0
3,260

2262014
12012019
57583PEM7
MASSACHUSETTS ST MUNITAX BND REV
 
 
 
 
4,625,000

4,737,202.5

4,625,000.00

4,625,000

112,202.5

—

—

—

2.983

2.9830

Jun-Dec
                6,131.72
137,963.76

12152010
12152015
576049CK4
MASSACHUSETTS ST WTR RES AUTH MUNI BND REV
 
 
2
 
2,481,766.7

2,453,186.9

2,185,000.00

2,467,349.08

(14,162.18
)
(14,417.62
)
—

—

6.5

3.4026

Jan-Jul
0
35,506.25

10292008
7152019
55274QAD7
MASTR_06-2 RMBS_06-2-1A4
 
 
2
 
817,990.14

790,513.85

847,693.31

817,990.14

(27,476.29
)
(6,054.69
)
—

—

6

6.9961

Monthly
0
12,868.75

12312009
6252036
577081AZ5
MATTEL INC SENIOR CORP BND
 
 
 
 
4,982,650

4,967,989.35

5,000,000.00

4,983,617.22

(15,627.87
)
967.22

—

—

2.35

2.4299

May-Nov
0
29,375

9082014
5062019
57772KAC5
MAXIM INTEG PROD INC SENIOR CORP BND
 
 
 
 
502,925

500,801.09

500,000.00

502,758.42

(1,957.33
)
(166.58
)
—

—

2.5

2.3500

May-Nov
0
3,125

11142013
11152018
58768EAF6
MBALT_14-A ABS _14-A-A4
 
 
2
 
7,999,290.4

7,998,873.92

8,000,000.00

7,999,495.79

(621.87
)
205.39

—

—

0.9

0.9053

Monthly
0
52,400

4012014
12162019
58768WAC3
MBART_13-1 ABS 13-1
 
 
2
 
2,604,904.14

2,608,673.02

2,605,000.00

2,604,948.43

3,724.59

30.99

—

—

0.78

0.7825

Monthly
                  903.07
20,319

7232013
8152017
BRSFHP193
MCC IOWA LLC TERM LOAN
 
 
 
 
2,859,187.5

2,878,747.28

2,932,500.00

2,881,980.26

(3,232.98
)
10,508.90

—

—

—

0.3394

F-M-A-N
0
118,049.08

8152012
1202020
56577AAC6
MCLO_14-7A ABS _14-7A-A2 144A
 
F
2
 
3,976,000

3,999,572.14

4,000,000.00

3,976,350.17

23,221.97

350.17

—

—

2.882

2.9871

J-A-J-O
0
13,449.33

10302014
10282025
BRSGV88K1
MEDASSETS INC SENIOR SECURED TERM LOAN
 
 
2
 
216,694.41

217,101.66

217,783.32

217,011.13

90.53

223.03

—

—

—

0.0708

M-J-S-D
0
9,046.15

12112012
12132019
BRSNN0P72
MEDIACOM BROADBAND GROUP SENIOR SECURED TERM NOTES
 
 
1
 
529,340

520,493.79

530,666.67

529,428.13

(8,934.34
)
94.79

—

—

—

0.0355

M-J-S-D
0
8,653.87

6182014
6302021
BRSJD2Z02
MEDIACOM BROADBAND LLC TL E SENIOR SECURED TERM LOAN
 
 
2
 
3,678,975

3,573,204.47

3,678,975.00

3,678,975

(105,770.53
)
—

—

—

—

—

F-M-A-N
0
124,297.75

5232013
1292021
BRSM16718
MEDIACOM LLC SENIOR SECURED TERM NOTES
 
 
 
 
2,371,094.91

2,332,468.05

2,377,037.50

2,372,166.44

(39,698.39
)
1,116.44

—

—

—

0.0623

M-J-S-D
0
45,180.6

1312014
3312018
584853LJ2
MEDINA OHIO CITY SCH DIST MUNITAX BND GO
 
 
 
 
1,391,684.45

1,377,753.65

1,235,000.00

1,382,470.87

(4,717.22
)
(9,213.58
)
—

—

5

1.8254

Jun-Dec
0
15,437.5

1242013
12012018
585055AU0
MEDTRONIC INC CORP BND
 
 
 
 
3,611,445

3,568,890.5

3,500,000.00

3,580,396.54

(11,506.04
)
(23,649.50
)
—

—

2.625

0.8329

Mar-Sep
              3,864.58
32,812.5

2252013
3152016
585055BA3
MEDTRONIC INC SENIOR CORP BND
 
 
 
 
3,444,825

3,406,116.69

3,450,000.00

3,446,609.07

(40,492.38
)
1,013.70

—

—

1.375

1.4061

Apr-Oct
              11,859.39
47,437.5

3192013
4012018
585055BB1
MEDTRONIC INC SENIOR CORP BND
 
 
 
 
3,496,395

3,476,002.91

3,500,000.00

3,497,400.91

(21,398
)
1,005.91

—

—

0.875

0.9099

Feb-Aug
0
25,861.11

2202014
2272017
585055BF2
MEDTRONIC INC SENIOR CORP BND 144A
 
 
 
 
2,996,970

3,016,684.35

3,000,000.00

2,996,990.18

19,694.17

20.18

—

—

2.5

2.5210

Mar-Sep
0
4,375

12012014
3152020
585055BK1
MEDTRONIC INC SENIOR CORP BND 144A
 
 
 
 
7,466,147.5

7,442,645.88

7,475,000.00

7,466,298.01

(23,652.13
)
150.51

—

—

1.5

1.5299

Mar-Sep
0
6,540.65

12022014
3152018
58933YAB1
MERCK & CO INC CORP BND
 
 
 
 
2,041,340

2,033,536

2,000,000.00

2,033,258.33

277.67

(8,081.67
)
—

—

2.25

0.6402

Jan-Jul
0
11,250

12072010
1152016
58933YAH8
MERCK & CO INC SENIOR CORP BND
 
 
 
 
752,364

751,267.55

750,000.00

751,781.48

(513.93
)
(521.29
)
—

—

0.5921

0.5221

F-M-A-N
                  548.58
4,501.84

11142013
5182018
58933YAD7
MERCK & CO INC SENIOR CORP BND
 
 
 
 
861,049.2

858,490.7

860,000.00

860,587.84

(2,097.14
)
(273.80
)
—

—

0.7

0.6501

May-Nov
              2,658.83
17,658.66

11262013
5182016
58933YAG0
MERCK & CO INC SENIOR CORP BND
 
 
 
 
6,185,321.45

6,148,138.99

6,205,000.00

6,189,935.39

(41,796.4
)
3,036.36

—

—

1.3

1.3480

May-Nov
              8,858.60
75,790

5152013
5182018
59022CCS0
MERRILL LYNCH & CO. INC. CORP BND
 
 
 
 
5,552,250

5,405,801.4

5,000,000.00

5,456,461.5

(50,660.1
)
(95,788.50
)
—

—

5.7

1.6939

May-Nov
0
142,500

6262014
5022017
59261EAE9
METROPOLITAN TRANS AUTH N Y MUNITAX BND REV
 
 
 
 
16,629,940

16,650,659.3

16,645,000.00

16,630,738.56

19,920.74

798.56

—

—

1.848

1.9034

Jan-Jul
0
118,136.75

9232014
7012019
BRSGGZLV9
MGM RESORTS INTERNATIONAL SENIOR SECURED TERM LOAN
 
 
2
 
1,038,481.48

1,019,240.89

1,043,700.00

1,039,967.47

(20,726.58
)
795.15

—

—

—

0.0711

M-J-S-D
0
37,272.14

12132012
12202019
59334DHN7
MIAMI DADE CNTY FLA MUNI BND REV
 
 
1
 
1,146,570

1,175,580

1,000,000.00

1,142,935.75

32,644.25

(3,634.25
)
—

—

5

3.1200

Apr-Oct
0
12,500

9172013
10012028
59333AJR3
MIAMI-DADE CNTY FLA EDL FACS A MUNI BND REV
 
 
1
 
1,601,595

1,587,690

1,500,000.00

1,584,382.02

3,307.98

(17,212.98
)
—

—

5.25

0.7109

Apr-Oct
0
19,687.5

5012008
4012021
BRSH5BNL2
MICHAELS STORES INC SENIOR SECURED TERM LOAN
 
 
2
 
4,476,626.02

4,399,202.77

4,476,626.02

4,476,626.02

(77,423.25
)
—

—

—

—

—

J-A-J-O
0
207,623.85

1242013
1282020
BRSNLD7H4
MICHAELS STORES INC SENIOR SECURED TERM NOTES
 
 
 
 
530,603.36

525,715.94

533,269.71

530,831.72

(5,115.78
)
235.04

—

—

—

0.0890

M-J-S-D
0
4,930.25

6062014
1282020
59455THZ8
MICHIGAN MUN BD AUTH REV MUNI BND REV
 
 
1
 
6,235,352

6,164,964.4

5,960,000.00

6,165,255.04

(290.64
)
(70,096.96
)
—

—

5

0.3796

Apr-Oct
0
74,500

3062008
10012024
5946142G3
MICHIGAN ST BLDG AUTH MUNI BND REV
 
 
 
 
3,419,970

3,375,030

3,000,000.00

3,385,013.48

(9,983.48
)
(34,956.52
)
—

—

5.5

0.8296

Apr-Oct
0
41,250

11072008
10152017
5946103D7
MICHIGAN STATE OF MUNI BND GO
 
 
1
 
2,308,400

2,308,000

2,000,000.00

2,289,672.56

18,327.44

(18,727.44
)
—

—

5.25

1.3575

May-Nov
0
26,250

10292008
11012022
BRSMTEQ36
MICROSEMI CORPORATION SENIOR SECURED TERM NOTES
 
 
1
 
1,434,164.2

1,418,853.1

1,440,913.49

1,435,025.45

(16,172.35
)
1,532.69

—

—

—

0.0786

M-J-S-D
0
53,565.78

4012014
2192020
594918AK0
MICROSOFT CORP CORP BND
 
 
 
 
1,028,220

1,021,652

1,000,000.00

1,022,977.31

(1,325.31
)
(5,242.69
)
—

—

2.5

0.4101

Feb-Aug
0
6,250

2032011
2082016
594918AV6
MICROSOFT CORP SENIOR CORP BND
 
 
 
 
646,249.5

650,219.89

650,000.00

647,026.16

3,193.73

2,404.34

—

—

1.625

1.7460

Jun-Dec
              9,490.45
35,782.5

12032013
12062018
594918AS3
MICROSOFT CORP SENIOR CORP BND
 
 
 
 
2,093,680.15

2,066,715.13

2,095,000.00

2,094,112.69

(27,397.56
)
714.28

—

—

1

1.0130

May-Nov
              11,883.34
57,593.61

4252013
5012018
595620AJ4
MIDAMERICAN ENERGY CO SECURED CORP BND
 
 
1
 
839,529.6

852,026.04

840,000.00

839,633.47

12,392.57

81.40

—

—

2.4

2.4110

Mar-Sep
               5,712.00
20,160

9122013
3152019
602245ZF2
MILWAUKEE CNTY WIS ARPT REV MUNITAX BND GO
 
 
 
 
2,044,940

2,021,240

2,000,000.00

2,042,293.36

(21,053.36
)
(2,646.64
)
—

—

2.126

1.5669

Jun-Dec
0
10,630

6212013
12012018
603827MT0
MINNEAPOLIS & ST PAUL MINN MET MUNI BND REV
 
 
1
 
2,182,440

2,168,840

2,000,000.00

2,162,177.18

6,662.82

(20,262.82
)
—

—

5

0.8999

Jan-Jul
0
25,000

8282007
1012023
605417BX1
MISS PWR CO SENIOR CORP BND
 
 
 
 
511,665

509,712.98

500,000.00

510,217.18

(504.2
)
(1,447.82
)
—

—

2.35

1.1898

Apr-Oct
0
2,937.5

10112011
10152016
BRSKQD5K0
MISSION BROADCASTING INC. SECURED TERM LOAN
 
 
 
 
1,437,210.45

1,427,027.82

1,437,210.45

1,437,210.45

(10,182.63
)
—

—

—

—

—

M-J-S-D
0
46,921.75

12172013
10012020
60534TGQ2
MISSISSIPPI DEV BK MUNI BND REV
 
 
1
 
2,274,260

2,290,240

2,000,000.00

2,265,717.03

24,522.97

(8,542.97
)
—

—

5

2.8899

Jan-Jul
0
25,000

9112013
1012027
60636YGX3
MISSOURI ST HSG DEV COMMN MUNITAX BND REV
 
 
 
 
351,792

351,288

350,000.00

351,631.83

(343.83
)
(160.17
)
—

—

1.45

1.2600

Jan-Jul
0
1,268.75

10172012
7012017
60636YGY1
MISSOURI ST HSG DEV COMMN MUNITAX BND REV
 
 
 
 
552,601.5

550,478.5

550,000.00

552,408.15

(1,929.65
)
(193.35
)
—

—

1.7

1.5501

Jan-Jul
0
2,337.5

10172012
1012018
60687VAE5
MLCFC CMBS_06-3 A4
 
 
2
 
5,818,772.86

5,729,565.48

5,439,323.25

5,733,728.58

(4,163.1
)
(89,586.04
)
—

—

5.414

(1.9460
)
Monthly
0
109,300.32

8142014
7122046
60687VAF2
MLCFC_06-3 PAC SENIOR CMBS 06-3 A1A
 
 
2
 
2,512,640.33

2,489,036.32

2,347,062.43

2,488,209.64

826.68

(24,939.75
)
—

—

5.409

(2.2780
)
Monthly
0
32,124.67

9252014
7122046
607167DZ3
MOBILE ALA INDL DEV BRD POLLUT MUNI BND REV
 
 
1
 
714,777

711,417

700,000.00

713,270.09

(1,853.09
)
(1,506.91
)
—

—

1.65

0.7861

Jun-Dec
0
2,887.5

3142012
6012034
BRSHTM755
MONEYGRAM INTL INC SENIOR SEC TERM NOTES
 
 
1
 
2,594,719.08

2,427,394.25

2,622,792.27

2,597,089.92

(169,695.67
)
2,370.84

—

—

—

0.1846

M-J-S-D
0
78,632.73

7152014
3272020
611662BM8
MONSANTO COMPANY CORP BND
 
 
 
 
1,030,280

1,022,632

1,000,000.00

1,025,274.72

(2,642.72
)
(5,005.28
)
—

—

2.75

0.7703

Apr-Oct
0
6,875

4122011
4152016
61166WAS0
MONSANTO COMPANY SENIOR CORP BND
 
 
 
 
2,999,700

2,983,123.17

3,000,000.00

2,999,739.87

(16,616.7
)
39.87

—

—

2.125

2.1270

Jan-Jul
0
31,875

6262014
7152019
61166WAT8
MONSANTO COMPANY SENIOR CORP BND
 
 
 
 
2,994,450

2,979,433.83

3,000,000.00

2,994,829.14

(15,395.31
)
379.14

—

—

2.75

2.7790

Jan-Jul
0
41,250

6262014
7152021
61762TAB2
MORGAN STANLEY BAML TRUST MSBA SUB CMBS 13-C11 A2
 
 
2
 
8,656,964.85

8,623,201.75

8,300,000.00

8,643,119.52

(19,917.77
)
(13,845.33
)
—

—

3.085

1.8349

Monthly
0
36,274.48

11052014
8152046
61754JAF5
MORGAN STANLEY CAPITAL I CMBS 07-T27 A4
 
 
2
 
4,242,893.56

4,109,162.89

3,775,000.00

4,099,194.19

9,968.7

(143,699.37
)
—

—

5.65072

0.2497

Monthly
0
153,375.44

4112014
6112042
61761JQK8
MORGAN STANLEY CAPSEC CORP BND
 
 
1
 
7,042,700

7,017,500

7,000,000.00

7,039,295.1

(21,795.1
)
(3,404.90
)
—

—

5.45

5.3091

Jan-Jul
0
172,734.71

7152014
12292049
U6176TBG2
MORGAN STANLEY CORP BND
 
O
 
 
1,198,165.7

1,187,111.79

700,000.00

1,194,929.59

(7,817.8
)
(3,552.54
)
—

(9,088.22
)
5.75

1.5643

February
0
5,135.49

12032014
2142017
6174467N3
MORGAN STANLEY CORP BND
 
 
 
 
2,400,983.75

2,415,945

2,375,000.00

2,378,308.92

37,636.08

(5,740.01
)
—

—

4

3.7471

Jan-Jul
             41,430.56
95,000

10152010
7242015
U6176MAW3
MORGAN STANLEY CORP BND MTN
 
O
 
 
2,090,454.05

1,903,409.73

1,180,000.00

2,030,788.7

(127,378.97
)
(73,561.71
)
—

(130,067.02
)
5.125

1.4448

November
0
104,916.15

2202014
11302015
61744YAD0
MORGAN STANLEY CORP BND MTN
 
 
 
 
2,272,680

2,221,566.46

2,000,000.00

2,237,442.66

(15,876.2
)
(35,237.34
)
—

—

5.95

1.8489

Jun-Dec
0
54,211.11

7142014
12282017
61747YDT9
MORGAN STANLEY SENIOR CORP BND
 
 
 
 
2,192,640

2,132,166.9

2,000,000.00

2,106,761.79

25,405.11

(46,363.57
)
—

—

4.75

2.2710

Mar-Sep
             26,125.00
95,000

2132013
3222017
6174467U7
MORGAN STANLEY SENIOR CORP BND
 
 
 
 
2,997,870

2,998,911.66

3,000,000.00

2,998,563.66

348

832.12

—

—

2.125

2.1400

Apr-Oct
              31,166.67
128,680.55

4222013
4252018
61746BDR4
MORGAN STANLEY SENIOR CORP BND
 
 
 
 
3,484,775

3,484,817.81

3,500,000.00

3,486,042.7

(1,224.89
)
1,458.86

—

—

2.375

2.4680

Jan-Jul
0
41,925.35

7172014
7232019
61761JVN6
MORGAN STANLEY SENIOR CORP BND
 
 
 
 
4,183,000

4,184,045.84

4,183,000.00

4,183,000

1,045.84

—

—

—

1.007098

1.0071

J-A-J-O
0
3,159.51

12022014
1052018
61761JVM8
MORGAN STANLEY SENIOR CORP BND
 
 
 
 
4,859,745.8

4,857,239.21

4,865,000.00

4,859,838.77

(2,599.56
)
92.97

—

—

1.875

1.9109

Jan-Jul
0
6,588.02

12022014
1052018
6174467X1
MORGAN STANLEY SUB CORP BND
 
 
 
 
5,373,150

5,313,460.91

5,000,000.00

5,360,391.68

(46,930.77
)
(12,758.32
)
—

—

5

4.1700

May-Nov
0
124,305.56

6272014
11242025
6174824M3
MORGAN STANLEY SUB CORP BND
 
 
 
 
5,929,440

5,861,042

5,500,000.00

5,913,419.26

(52,377.26
)
(16,020.74
)
—

—

4.875

3.7580

May-Nov
0
96,078.12

8192014
11012022
BRSMMQ6V6
MPH ACQUISITION HOLDINGS LLC SENIOR SECURED TERM LOAN
 
 
2
 
942,789.24

921,759.6

945,152.11

943,044

(21,284.4
)
491.06

—

—

—

0.0352

M-J-S-D
0
30,164.9

3212014
3312021
61746REV9
MSAC ABS 04-H1
 
 
2
 
941,018.19

911,667.12

939,550.15

940,434.49

(28,767.37
)
(52.13
)
—

—

0.9095

0.8991

Monthly
                    141.65
8,525.14

11252014
1252034
61763MAB6
MSBAM_14-C16 SENIOR CMBS_14-C16 A2
 
 
2
 
1,905,424.71

1,891,828.54

1,850,000.00

1,899,410.3

(7,581.76
)
(6,014.41
)
—

—

2.849

2.1878

Monthly
0
28,256.55

6052014
6152047
61763UAV4
MSBAM_14-C17 SUPSEN SENIOR CMBS 14-C17-A2
 
 
2
 
4,067,425.78

4,041,959.96

3,900,000.00

4,062,783.29

(20,823.33
)
(4,642.49
)
—

—

3.119

2.2922

Monthly
0
19,597.72

10292014
8152047
61764PBR2
MSBAM_14-C19 PRELCF SENIOR CMBS_14-C19-A2
 
 
2
 
5,011,792.66

5,019,133.02

4,866,000.00

5,011,526.06

7,606.96

(266.60
)
—

—

3.101

2.8659

Monthly
0
5,029.83

12092014
12152047
61751XAE0
MSC CMBS 07-T25 A3
 
 
2
 
5,809,301.84

5,632,633.4

5,276,471.56

5,642,472.83

(9,839.43
)
(176,273.74
)
—

—

5.514

(1.8446
)
Monthly
0
183,831.25

5222014
11122049
61751NAF9
MSC_07-HQ11 CMBS 07-HQ11 A4
 
 
2
 
5,796,591.61

5,628,981.71

5,277,500.00

5,678,676.2

(49,694.49
)
(117,915.41
)
—

—

5.447

0.9431

Monthly
0
169,285.26

5282014
2122044
61745MVW0
MSM_04-1 MSM_04-1
 
 
2
 
245,323.58

244,460.48

239,946.37

244,828.04

(367.56
)
(1,276.78
)
—

—

5

3.7273

Monthly
0
3,141.67

3092006
11252018
BRSQGX3A8
MUELLER WATER PRODUCTS INC SENIOR SECURED TERM NOTES
 
 
1
 
982,716.05

988,686.42

987,654.32

982,716.05

5,970.37

—

—

—

—

0.0730

M-J-S-D
0
—

11192014
11252021
628530AL1
MYLAN INC/PA CORP BND 144A
 
 
1
 
3,206,500

2,952,812.5

2,750,000.00

2,948,094.04

4,718.46

(219,568.58
)
—

—

7.875

1.6848

Jan-Jul
         208,796.88
289,406.25

5302013
7152020
62983QAD5
NAKAMA RE LTD UNSEC CORP BND 144A
 
F
 
 
1,000,000

1,002,020

1,000,000.00

1,000,000

2,020

—

—

—

2.125011

2.1306

J-A-J-O
0
767.37

12122014
1162019
62983QAE3
NAKAMA RE LTD UNSEC CORP BND 144A
 
F
 
 
1,250,000

1,254,237.5

1,250,000.00

1,250,000

4,237.5

—

—

—

2.875011

2.8852

J-A-J-O
0
1,297.75

12122014
1162020
65475UAC6
NAROT_12-A ABS 12-A
 
 
2
 
622,795.91

623,265.42

622,879.26

622,865.38

400.04

105.37

—

—

0.73

0.7360

Monthly
                  792.46
10,655.13

2152012
5162016
65477LAB6
NAROT_13-B ABS 13-B A2
 
 
2
 
66,682.26

66,687.24

66,682.57

66,681.64

5.6

1.06

—

—

0.52

0.5202

Monthly
                     71.64
1,085.05

7242013
4152016
65477MAC2
NAROT_13-C SENIOR ABS_13-C A3
 
 
2
 
4,729,020.42

4,713,313.36

4,730,000.00

4,729,427.11

(16,113.75
)
385.30

—

—

0.67

0.6792

Monthly
                1,760.61
31,691.05

12042013
8152018
65477MAD0
NAROT_13-C SENIOR ABS_13-C A4
 
 
2
 
3,089,600.16

3,074,698.76

3,090,000.00

3,089,694.35

(14,995.59
)
88.02

—

—

1.3

1.3066

Monthly
               2,231.66
40,170.02

12042013
6152020
6325C0CU3
NATIONAL AUSTRALIA BNK LIMITED SENIOR CORP BND 144A
 
F
 
 
1,999,700

1,996,979.52

2,000,000.00

1,999,778.23

(2,798.71
)
78.23

—

—

1.25

1.2551

Mar-Sep
0
19,722.22

3112014
3172017
63307EAB3
NATIONAL BK OF CANADA CORP BND 144A
 
A
 
 
1,025,660

1,022,019.96

1,000,000.00

1,022,484.42

(464.46
)
(3,175.58
)
—

—

2.2

0.9349

Apr-Oct
0
5,500

10122011
10192016
63307AAA3
NATIONAL BK OF CANADA SENIOR CORP BND MTN
 
A
1
 
3,166,513

3,139,350.6

3,170,000.00

3,167,982.73

(28,632.13
)
1,847.75

—

—

1.45

1.4729

May-Nov
            25,382.25
123,801.8

11022012
11072017
BRSJ6L8K4
NATIONAL CNEMDIA SENIOR SECURED TERM NOTES
 
 
2
 
1,366,621.35

1,310,546.88

1,375,000.00

1,368,315.46

(57,768.58
)
1,441.48

—

—

—

0.0980

F-M-A-N
0
42,662.5

10182013
11262019
637432MN2
NATIONAL RURAL UTILITIES COOP CORP BND
 
 
 
 
1,031,830

1,026,329

1,000,000.00

1,026,099.61

229.39

(5,730.39
)
—

—

3.05

0.7903

Mar-Sep
0
7,625

2142011
3012016
637432NB7
NATIONAL RURAL UTILITIES COOP SECURED CORP BND
 
 
1
 
998,640

993,773.5

1,000,000.00

998,675.04

(4,901.54
)
41.24

—

—

2.3

2.3289

May-Nov
0
3,753.48

11042014
11152019
637432MX0
NATIONAL RURAL UTILITIES COOP SENIOR CORP BND
 
 
1
 
2,933,737.95

2,919,500.29

2,935,000.00

2,933,963.15

(14,462.86
)
278.40

—

—

2.15

2.1591

Feb-Aug
0
72,105.92

1212014
2012019
63743HEG3
NATIONAL RURAL UTILITIES COOP SENIOR CORP BND MTN
 
 
 
 
6,000,000

6,002,350.5

6,000,000.00

6,000,000

2,350.5

—

—

—

0.4856

0.4859

F-M-A-N
               2,681.80
29,341.23

6022014
5272016
63946CAD0
NBCUNIVERSAL ENTERPRISE INC SENIOR CORP BND 144A
 
 
 
 
712,310.4

711,735.04

720,000.00

712,409.65

(674.61
)
99.25

—

—

1.974

2.2330

Apr-Oct
0
789.6

12082014
4152019
63946CAB4
NBCUNIVERSAL ENTERPRISE INC SENIOR CORP BND 144A
 
 
 
 
6,760,694.5

6,806,160.07

6,750,000.00

6,758,089.9

48,070.17

(1,907.87
)
—

—

0.9156

0.9006

J-A-J-O
             12,574.80
61,215.22

5012014
4152018
62888XAC8
NCUA CMBS_10-C1 A-PT
 
 
2
 
3,935,121.25

4,032,206.17

3,942,938.06

3,940,868.59

91,337.58

1,968.22

—

—

2.65

2.7254

Monthly
               1,260.24
107,529.29

9072011
10292020
62889AAA1
NCUA GUARANTEED NOTES AGENCY ABS 10-A1 A
 
 
2
 
1,230,423.78

1,231,814.16

1,230,423.78

1,230,423.78

1,390.38

—

—

—

0.5117

0.5121

Monthly
                  484.76
6,990.47

6102011
12072020
62888VAA6
NCUA GUARANTEED NOTES AGENCY CMO_10-R1 1A
 
 
2
 
853,612.78

858,737.02

853,612.78

853,612.78

5,124.24

—

—

—

0.6072

0.6080

Monthly
                  444.38
5,672.67

6102011
10072020
62888VAB4
NCUA GUARANTEED NOTES AGENCY CMO_10-R1 2A
 
 
2
 
131,690.3

132,496.74

131,702.18

131,697.03

799.71

9.48

—

—

1.84

1.8502

Monthly
                  394.37
3,662.11

9072011
10072020
62889GAA8
NCUA GUARANTEED NOTES CMO 11-R5 1A
 
 
2
 
1,466,945.77

1,469,577.47

1,466,945.77

1,466,945.77

2,631.7

—

—

—

0.537

0.5365

Monthly
                  874.49
9,508.45

6102011
4062020
62889JAA2
NCUA GUARANTEED NOTES CMO_11-R6 1A
 
 
2
 
732,782.66

733,075.77

732,782.66

732,782.66

293.11

—

—

—

0.533

0.5336

Monthly
                  503.74
5,037.41

6102011
5072020
N6S779BG4
NEDERLANDSE WATERSCHAPSBANK NV CORP BND EMTN
 
F
 
 
6,994,610

7,016,659.23

7,000,000.00

6,997,763.28

18,895.95

1,788.10

—

—

0.75

0.7759

Mar-Sep
              13,416.67
52,500

3192013
3292016
BRSMK3RL8
NEIMAN MARCUS GROUP INC. THE SENIOR SECURED TERM NOTES
 
 
 
 
2,482,489.05

2,440,268.96

2,487,468.68

2,482,783.95

(42,514.99
)
302.73

—

—

—

0.0319

M-J-S-D
0
2,547.35

7312014
10252020
U64107AF9
NESTLE HLDGS, INC. CORP BND EMTN
 
 
 
 
1,013,000

999,430.01

1,000,000.00

1,007,727.58

(8,297.57
)
(3,075.54
)
—

—

1.375

1.0533

June
              7,256.94
13,750

4092013
6212017
BRSH5LE30
NETWORK RAIL INFRA FIN
 
 
 
 
2,340,423.68

2,345,228.79

1,500,000.00

2,340,417.82

4,810.97

(5.86
)
—

4,813.04

1

0.9035

December
0
63.96

 
 
G6459FAE2
NETWORK RAIL INFRA FIN LOCAL BND EMTN GOVT GUAR
 
D
 
 
4,034,271.27

3,643,943.93

2,250,000.00

3,714,542.84

(70,598.91
)
(169,532.87
)
—

(86,260.6
)
4.875

1.0498

November
             21,273.94
219,317.09

11132013
11272015
64127WAJ2
NETWORK RAIL INFRA FIN UNSECURED CORP BND 144A
 
F
 
 
3,470,915

3,461,674.97

3,500,000.00

3,476,115.32

(14,440.35
)
6,373.00

—

—

0.75

1.0020

Apr-Oct
0
19,489.59

5202014
10032017
641423BM9
NEVADA POWER COMPANY SECURED CORP BND
 
 
 
 
950,936.4

909,103.11

860,000.00

910,547.84

(1,444.73
)
(40,388.56
)
—

—

5.95

1.0152

Mar-Sep
0
49,464.33

1082014
3152016
645771XB7
NEW JERSEY BLDG AUTH MUNITAX BND REV
 
 
 
 
690,125.2

687,412

680,000.00

689,458.99

(2,046.99
)
(666.21
)
—

—

2.303

1.8850

Jun-Dec
0
3,915.1

11152013
6152018
64603RSQ1
NEW JERSEY ECONOMIC DEVELOPMEN MUNITAX BND REV
 
 
2
 
3,789,131.15

3,770,112.85

3,535,000.00

3,782,928.93

(12,816.08
)
(6,202.22
)
—

—

6.076

5.0179

Mar-Sep
0
53,696.65

4232008
3012023
646136DW8
NEW JERSEY ST TRANSN TR FD AUT MUNI BND REV
 
 
 
 
812,857.95

807,521.1

705,000.00

807,867.34

(346.24
)
(4,990.61
)
—

—

5.25

2.1303

Jun-Dec
0
9,253.12

5242006
12152019
646136BU4
NEW JERSEY ST TRANSN TR FD AUT MUNI BND REV
 
 
1
 
1,551,705

1,532,970

1,500,000.00

1,533,094.88

(124.88
)
(18,610.12
)
—

—

5

0.1296

Jun-Dec
0
18,750

10132005
6152016
646136K83
NEW JERSEY ST TRANSN TR FD AUT MUNITAX BND REV
 
 
 
 
5,050,000

4,891,631.9

5,050,000.00

5,050,000

(158,368.1
)
—

—

—

1.758

1.7580

Jun-Dec
              3,945.73
88,779

4172013
12152018
64763FKL2
NEW ORLEANS LA GO MUNI BND GO
 
 
1
 
8,060,805

7,982,928

7,650,000.00

7,971,640.17

11,287.83

(89,164.83
)
—

—

5.25

0.6330

Jun-Dec
0
100,406.25

3062008
12012019
64966HMQ0
NEW YORK N Y MUNI BND GO
 
 
 
 
3,089,280

3,065,640

3,000,000.00

3,066,554.12

(914.12
)
(22,725.88
)
—

—

3.397

0.4199

Apr-Oct
0
25,477.5

9302009
10012015
64972FYE0
NEW YORK NY CITY MUN WTR FIN MUNI BND REV
 
 
1
 
2,323,000

2,303,560

2,000,000.00

2,301,115.09

2,444.91

(21,884.91
)
—

—

5.25

0.8192

Jun-Dec
0
26,250

12052008
6152023
64972HKE1
NEW YORK NY CITY TRANSITIONAL MUNI BND REV
 
 
1
 
1,144,760

1,144,120

1,000,000.00

1,135,278.2

8,841.8

(9,481.80
)
—

—

5

1.0917

Jan-Jul
0
12,500

10312008
7152019
64972HKH4
NEW YORK NY CITY TRANSITIONAL MUNI BND REV
 
 
1
 
3,442,770

3,442,110

3,000,000.00

3,413,857.2

28,252.8

(28,912.80
)
—

—

5.25

1.2517

Jan-Jul
0
39,375

10312008
7152022
64971QWF6
NEW YORK NY CITY TRANSITIONAL MUNITAX BND REV
 
 
 
 
2,004,020

1,993,200

2,000,000.00

2,003,775.61

(10,575.61
)
(244.39
)
—

—

1.8

1.7454

Feb-Aug
0
9,000

8082012
8012018
64966F5S9
NEW YORK NY MUNI BND GO
 
 
1
 
25,115.5

25,113.75

25,000.00

25,082.04

31.71

(33.46
)
—

—

5.75

5.1683

Feb-Aug
0
359.38

7212014
8012016
64966KEB5
NEW YORK NY MUNI BND GO
 
 
1
 
5,804,500

5,837,900

5,000,000.00

5,782,938.52

54,961.48

(21,561.48
)
—

—

5

2.8201

Feb-Aug
0
62,500

9122013
8012028
649907XR8
NEW YORK ST DORM AUTH MUNI BND REV
 
 
 
 
3,053,370

3,018,750

3,000,000.00

3,050,234.46

(31,484.46
)
(3,135.54
)
—

—

2.05

1.6069

Jun-Dec
0
15,375

12052013
12012018
649845GF5
NEW YORK ST ENERGY RESH & DEV MUNI BND REV
 
 
1
 
4,781,250

4,712,500

5,000,000.00

4,783,914.27

(71,414.27
)
2,664.27

—

—

0.464

0.7019

At Mat
0
5,499.71

1212005
4012034
649883XV2
NEW YORK ST MTG AGY MUNI BND REV
 
 
1
 
2,089,020

2,112,680

2,000,000.00

2,086,885.69

25,794.31

(2,134.31
)
—

—

4.45

3.8600

Apr-Oct
0
22,250

2132014
10012029
650035C48
NEW YORK ST URBAN DEV CORP MUNI BND REV
 
 
1
 
5,854,450

5,930,100

5,000,000.00

5,831,256.43

98,843.57

(23,193.57
)
—

—

5

2.7241

Mar-Sep
0
62,500

9112013
3152028
650367DT9
NEWARK N J MUNI BND GO
 
 
 
 
2,670,665.6

2,640,420.1

2,410,000.00

2,648,110.91

(7,690.81
)
(22,554.69
)
—

—

5

1.2173

Mar-Sep
0
30,125

6192008
9012017
651229AP1
NEWELL RUBBERMAID INC SENIOR CORP BND
 
 
1
 
4,355,116.8

4,353,740.7

4,360,000.00

4,355,205.72

(1,465.02
)
88.92

—

—

2.875

2.8989

Jun-Dec
0
14,624.17

11142014
12012019
BRSKQ8AG4
NEXSTAR BROADCASTING GROUP INC NEXSTAR BROADCASTING GROUP INC
 
 
 
 
1,629,819.31

1,618,272.05

1,629,819.31

1,629,819.31

(11,547.26
)
—

—

—

—

—

M-J-S-D
0
71,355.34

1312014
9242020
G65016AG5
NEXT PLC LOCAL BND
 
D
 
 
1,188,131.34

1,177,603.18

700,000.00

1,185,473.07

(7,869.89
)
(2,658.27
)
—

(7,629.45
)
5.875

1.3338

October
0
3,536.41

12102014
10122016
302570BC9
NEXTERA ENERGY CAPITAL HOLDING CORP BND
 
 
 
 
688,830.5

598,902.51

563,000.00

585,451.66

13,450.85

(177,104.85
)
—

—

7.875

3.5810

Jun-Dec
              21,175.00
356,940.07

2172010
12152015
62888UAA8
NGN_10-R2 AGENCY CMO_10-R2 1A
 
 
2
 
2,316,214

2,322,618.34

2,316,214.00

2,316,214

6,404.34

—

—

—

0.5272

0.5278

Monthly
                 1,115.38
13,728.63

6102011
11062017
62888YAA0
NGN_11-R1 CMO_11-R1 IA
 
 
2
 
2,716,517.66

2,730,447.92

2,715,401.88

2,716,076.9

14,371.02

(235.61
)
—

—

0.6072

0.5969

Monthly
               1,390.23
18,083.64

6102011
1082020
62889EAA3
NGN_11-R3 NGN_11-R3 1A
 
 
2
 
6,002,879.59

5,990,955.31

5,995,151.91

6,000,759.68

(9,804.37
)
(2,148.42
)
—

—

0.5585

0.4820

Monthly
              2,473.02
36,839.23

6152012
3112020
62889FAA0
NGN_11-R4 CMO_11R4-1A
 
 
2
 
1,948,511.41

1,953,634.05

1,948,511.41

1,948,511.41

5,122.64

—

—

—

0.537

0.5376

Monthly
               1,063.67
12,317.19

6102011
3062020
65477LAC4
NISSAN AUTO RECEIVABLES OWNER ABS 13-B-A3
 
 
2
 
3,744,185.47

3,747,146.03

3,745,000.00

3,744,630.11

2,515.92

314.35

—

—

0.84

0.8500

Monthly
                1,398.14
31,458

7242013
11152017
654740AH2
NISSAN MOTOR ACCEPTANCE CORP SENIOR CORP BND 144A
 
 
 
 
1,002,980

1,003,314.06

1,000,000.00

1,002,819.45

494.61

(160.55
)
—

—

2.35

2.2787

Mar-Sep
0
5,875

2252014
3042019
645918TG8
NJ ST EDA PENSION MUNI BND REV
 
 
 
 
3,356,340

3,334,950

3,000,000.00

3,331,693.58

3,256.42

(24,646.42
)
—

—

5

1.5796

May-Nov
0
37,500

8072008
5012018
645918S53
NJ ST EDA PENSION MUNITAX BND REV
 
 
 
 
1,985,660

1,998,780

2,000,000.00

1,986,896.45

11,883.55

1,236.45

—

—

1.651

1.9045

Mar-Sep
0
8,255

9192012
9012017
65474VAG6
NMOTR_13-A SENIOR ABS 13-A
 
 
2
 
1,680,000

1,678,084.83

1,680,000.00

1,680,000

(1,915.17
)
—

—

—

0.4608

0.4612

Monthly
                  348.39
7,745.64

2202013
2152018
65504LAH0
NOBLE HOLDING INTERNATIONAL LT SENIOR CORP BND
 
F
 
 
505,725

476,392.18

500,000.00

505,140.07

(28,747.89
)
(584.93
)
—

—

2.5

2.0200

Mar-Sep
0
3,125

2072012
3152017
62951MAY6
NOMURA ASSET ACCEPTANCE CORPOR WHOLE CMO 04-R3 A1 144A
 
 
2
 
663,417.27

674,509.64

656,645.60

662,411.82

12,097.82

(731.00
)
—

—

6.5

6.2974

Monthly
               3,915.60
43,921.76

10032007
2252035
65557CAM5
NORDEA BANK AB JR SUB CORP BND 144A
 
F
1
 
14,980,000

14,774,025

14,980,000.00

14,980,000

(205,975
)
—

—

—

5.5

5.5000

Mar-Sep
0
224,283.88

9162014
1019999
65557HAE2
NORDEA BANK AB SENIOR CORP BND
 
F
 
 
4,989,850

5,000,594.1

5,000,000.00

4,995,339.42

5,254.68

3,378.00

—

—

0.875

0.9439

May-Nov
              5,833.33
43,750

5072013
5132016
65557DAK7
NORDEA BANK AB SENIOR CORP BND
 
F
 
 
5,974,200

6,050,981.58

6,000,000.00

5,977,847.92

73,133.66

3,647.92

—

—

2.375

2.4669

Apr-Oct
0
105,687.5

3312014
4042019
W6314JBT7
NORDEA BANK AB SENIOR CORP BND EMTN
 
D
 
 
2,012,821.43

1,995,065.75

1,275,000.00

2,012,875.78

(17,810.03
)
(1,109.75
)
—

(24,383.03
)
1.00525

0.9840

F-M-A-N
              3,324.04
26,548.96

11132013
2152016
65562QAW5
NORDIC INVESTMENT BANK CORP BND
 
F
 
 
2,980,170

3,038,819.73

3,000,000.00

2,980,843.75

57,975.98

673.75

—

—

2.25

2.3530

Mar-Sep
0
17,062.5

12052014
9302021
659414LY0
NORTH FOREST INDPT SCH DIST TE MUNI BND GO
 
 
 
 
1,415,180.1

1,403,552.25

1,335,000.00

1,404,440.37

(888.12
)
(10,739.73
)
—

—

4

0.7672

Feb-Aug
0
13,350

3272006
8152016
662858FR5
NORTH TEXAS TOLLWAY AUTHORITY MUNI BND REV
 
 
1
 
2,310,520

2,272,600

2,000,000.00

2,292,644.17

(20,044.17
)
(17,875.83
)
—

—

5.25

1.4699

Jan-Jul
0
26,250

8042009
1012020
BRSHM2RV7
NOVELIS INC/GA SENIOR SECURED TERM NOTES
 
G
2
 
1,401,465.26

1,401,709.4

1,415,153.36

1,407,085.52

(5,376.12
)
8,954.03

—

—

—

0.2574

F-M-A-N
0
97,679.36

6192013
3102017
65251QAA9
NSCDN_14-1A ABS2014-1A A1 144A
 
 
2
 
2,500,000

2,501,161.6

2,500,000.00

2,500,000

1,161.6

—

—

—

—

1.9972

J-A-J-O
0
—

12162014
1252027
BRSGCCH31
NSG HOLDINGS SENIOR SECURED TERM LOAN
 
 
2
 
1,640,837.44

1,635,625.7

1,652,147.18

1,644,095.31

(8,469.61
)
1,815.68

—

—

—

0.0974

M-J-S-D
0
61,853.36

10072013
12112019
654624AE5
NTT CORP SENIOR CORP BND
 
F
 
 
4,459,748.5

4,435,669.04

4,450,000.00

4,455,067.35

(19,398.31
)
(1,948.33
)
—

—

1.4

1.3543

Jan-Jul
            28,208.05
62,300

7232012
7182017
67400LAC2
OAKTA_14-A2 MEZZANIN ABS 14-A2-B 144A
 
F
2
 
3,930,000

3,920,400

4,000,000.00

3,930,353.53

(9,953.53
)
353.53

—

—

2.53435

2.8291

F-M-A-N
0
3,942.32

12042014
11152025
674599BZ7
OCCIDENTAL PETROLEUM CORPORATI CORP BND
 
 
 
 
2,045,360

2,032,714

2,000,000.00

2,036,841.76

(4,127.76
)
(8,518.24
)
—

—

2.5

0.7898

Feb-Aug
0
12,500

12132010
2012016
674599CD5
OCCIDENTAL PETROLEUM CORPORATI SENIOR CORP BND
 
 
1
 
494,780

491,184.58

500,000.00

495,162.24

(3,977.66
)
382.24

—

—

1.5

1.8201

Feb-Aug
0
1,875

6192012
2152018
67107KAC0
OCP_14-7A ABS_14-7A-A2A 144A
 
F
2
 
3,850,000

3,866,359.86

4,000,000.00

3,853,581.18

12,778.68

3,581.18

—

—

2.33235

3.4140

J-A-J-O
0
9,588.55

10312014
10202026
67756AVS8
OHIO ST HIGHER EDL FAC REV MUNI BND REV
 
 
1
 
440,307

439,641.45

435,000.00

439,481.93

159.52

(825.07
)
—

—

4.375

3.5751

May-Nov
0
4,757.82

6152006
5012017
67756BXS4
OHIO ST MUNI BND REV
 
 
1
 
3,487,140

3,458,460

3,000,000.00

3,458,271.98

188.02

(28,868.02
)
—

—

5.5

1.4701

Jun-Dec
0
41,250

3112009
12012024
67868UBY8
OKLAHOMA CNTY OKLA FIN AUTH MUNITAX BND REV
 
 
 
 
1,145,250

1,144,060

1,000,000.00

1,138,203.47

5,856.53

(7,046.53
)
—

—

6.3

3.0936

Mar-Sep
0
15,750

7012009
9012019
6824544G5
ONEIDA CNTY N Y MUNITAX BND GO
 
 
 
 
1,532,874

1,541,092

1,400,000.00

1,527,728.27

13,363.73

(5,145.73
)
—

—

5.387

3.5700

Feb-Aug
0
18,854.5

8042009
8012020
68268NAK9
ONEOK PARTNERS LP SENIOR CORP BND
 
 
1
 
2,663,267.75

2,705,493.69

2,665,000.00

2,663,697.98

41,795.71

329.62

—

—

3.2

3.2141

Mar-Sep
            25,820.89
85,280

9092013
9152018
68323ABL7
ONTARIO PROVINCE OF SENIOR CORP BND
 
A
 
 
2,939,850

2,967,030.03

3,000,000.00

2,942,924.99

24,105.04

3,074.99

—

—

1.65

2.0740

Mar-Sep
0
13,062.5

9232014
9272019
683234C63
ONTARIO PROVINCE OF SENIOR CORP BND
 
A
 
 
3,987,000

4,026,199.96

4,000,000.00

3,987,527.64

38,672.32

770.26

—

—

2.5

2.5510

Mar-Sep
0
44,722.23

9042014
9102021
68323AAQ7
ONTARIO PROVINCE OF SENIOR CORP BND
 
A
 
 
5,049,059

5,009,466

4,900,000.00

5,003,255.15

6,210.85

(37,970.54
)
—

—

2.3

0.7354

May-Nov
               6,190.83
61,908.33

9232014
5102016
683235AA3
ONTARIO PROVINCE OF SENIOR CORP BND
 
A
 
 
5,051,700

5,060,800.15

5,000,000.00

5,042,845.55

17,954.6

(8,854.45
)
—

—

2

1.7619

Mar-Sep
0
80,000

3102014
9272018
68389XBA2
ORACLE CORPORATION SENIOR CORP BND
 
 
 
 
2,995,650

3,022,184.82

3,000,000.00

2,995,922.44

26,262.38

358.63

—

—

2.8

2.8230

Jan-Jul
0
53,122.23

6302014
7082021
68389XAR6
ORACLE CORPORATION SENIOR CORP BND
 
 
 
 
3,350,000

3,373,952.37

3,350,000.00

3,350,000

23,952.37

—

—

—

0.8106

0.8106

J-A-J-O
              5,977.96
27,609.25

7092013
1152019
68389XAN5
ORACLE CORPORATION SENIOR CORP BND
 
 
 
 
7,571,479.3

7,532,249.81

7,590,000.00

7,576,993.78

(44,743.97
)
8,889.21

—

—

1.2

1.2360

Apr-Oct
             29,361.33
91,580

10182012
10152017
F4113NCA5
ORANGE SA CORP BND
 
D
 
 
1,679,109.21

1,660,592.5

900,000.00

1,671,969.7

(11,377.2
)
(7,977.59
)
—

(14,088.14
)
8

1.6740

December
0
10,732.24

11272014
12202017
L7256GAD9
OXEA FINANCE & CY SCA SENIOR SECURED TERM NOTES
 
F
2
 
2,325,621.38

2,238,192

2,331,450.00

2,326,888.96

(88,696.96
)
958.92

—

—

—

0.0383

F-M-A-N
0
98,595.9

6062013
1152020
69144VAA1
OXFIN_14-1A ABS _14-1A-A 144A
 
 
1
 
2,750,000

2,735,425

2,750,000.00

2,750,000

(14,575
)
—

—

—

3.475

3.4990

Monthly
0
9,556.25

11202014
12152022
70922PAE2
PA TURNPIKE-E MUNITAX BND REV
 
 
 
 
4,500,000

4,465,980

4,500,000.00

4,500,000

(34,020
)
—

—

—

1.699

1.6990

Jun-Dec
0
22,087

9112014
12012018
69371RL20
PACCAR FINANCIAL CORP SENIOR CORP BND MTN
 
 
 
 
2,906,042.4

2,910,697.24

2,910,000.00

2,908,533.14

2,164.1

1,318.02

—

—

0.8

0.8460

Feb-Aug
              9,247.33
23,280

2052013
2082016
69371RL79
PACCAR INC CORP BND MTN
 
 
 
 
3,850,000

3,872,470.76

3,850,000.00

3,850,000

22,470.76

—

—

—

0.83535

0.8354

M-J-S-D
               2,340.81
32,725.78

12032013
12062018
694308GL5
PACIFIC GAS AND ELECTRIC CO CORP BND
 
 
 
 
645,360.2

646,054.92

580,000.00

644,111.3

1,943.62

(1,248.90
)
—

—

5.625

1.7160

May-Nov
0
1,812.5

12082014
11302017
BRSQNU464
PACKERS HOLDINGS LLC SENIOR SECURED TERM LOAN
 
 
1
 
110,940.76

111,358.88

111,498.25

110,940.76

418.12

—

—

—

—

0.0730

M-J-S-D
0
—

11252014
12022021
709132AK0
PENNSYLVANIA ST HIGHER EDL FAC MUNI BND REV
 
 
1
 
868,208

854,800

800,000.00

862,105.31

(7,305.31
)
(6,102.69
)
—

—

5

1.8099

Jan-Jul
0
10,000

2282007
7012018
70917N5A8
PENNSYLVANIA ST HIGHER EDL FAC MUNI BND REV
 
 
1
 
1,812,096

1,797,347.2

1,760,000.00

1,794,666.83

2,680.37

(17,429.17
)
—

—

5

1.0401

Jan-Jul
0
22,000

6022005
7012016
70917N5C4
PENNSYLVANIA ST HIGHER EDL FAC MUNI BND REV
 
 
1
 
1,990,595.2

1,973,697.8

1,940,000.00

1,973,699.23

(1.43
)
(16,895.97
)
—

—

5

1.4998

Jan-Jul
0
24,250

6022005
7012018
709193LV6
PENNSYLVANIA ST INDL DEV AUTH MUNI BND REV
 
 
1
 
286,887.65

283,193.05

245,000.00

284,111.75

(918.7
)
(2,775.90
)
—

—

5.5

0.8601

Jan-Jul
0
3,368.75

5082012
7012023
709193LW4
PENNSYLVANIA ST INDL DEV AUTH MUNI BND REV
 
 
1
 
1,953,086.85

1,950,963.3

1,755,000.00

1,940,346.12

10,617.18

(12,740.73
)
—

—

5.5

2.3397

Jan-Jul
0
24,131.25

5082012
7012023
709599AR5
PENSKE TRUCK LEASING CO SENIOR CORP BND 144A
 
 
1
 
1,049,044.5

1,054,487.45

1,050,000.00

1,049,044.5

5,442.95

—

—

—

3.05

3.0691

Jan-Jul
0
1,779.17

12082014
1092020
709599AQ7
PENSKE TRUCK LEASING CO SENIOR CORP BND 144A
 
 
1
 
1,354,620.6

1,334,943.99

1,355,000.00

1,354,658.45

(19,714.46
)
37.85

—

—

2.5

2.5060

Jun-Dec
0
18,254.87

6122014
6152019
709599AJ3
PENSKE TRUCK LEASING CO SENIOR CORP BND 144A
 
 
 
 
1,539,795

1,520,037

1,500,000.00

1,515,892.8

4,144.2

(10,218.15
)
—

—

2.5

1.6059

Mar-Sep
            62,569.45
200,347.22

2212013
3152016
71338QAA4
PEPPERDINE UNIVERSITY SENIOR CORP BND
 
 
 
 
1,929,098.4

1,962,334.63

1,704,000.00

1,918,062.22

44,272.41

(11,036.18
)
—

—

5.45

2.5299

Feb-Aug
0
23,217

2022012
8012019
713448BJ6
PEPSICO INC CORP BND
 
 
 
 
264,146.85

261,759.55

215,000.00

261,201.18

558.37

(2,945.67
)
—

—

7.9

2.0401

May-Nov
0
4,246.25

10212008
11012018
713448BT4
PEPSICO INC CORP BND
 
 
 
 
1,283,537.5

1,278,678.75

1,250,000.00

1,278,264.07

414.68

(5,273.43
)
—

—

2.5

0.8200

May-Nov
0
7,812.5

1242012
5102016
713448CE6
PEPSICO INC SENIOR CORP BND
 
 
 
 
1,799,370

1,797,358.86

1,800,000.00

1,799,728.53

(2,369.67
)
233.85

—

—

0.7

0.7132

Feb-Aug
              4,375.00
12,600

2252013
2262016
713448CF3
PEPSICO INC SENIOR CORP BND
 
 
 
 
6,675,000

6,682,676.12

6,675,000.00

6,675,000

7,676.12

(147.71
)
—

—

0.44435

0.4444

F-M-A-N
               3,092.71
31,103.64

2252013
2262016
714294AB1
PERRIGO CO LTD SENIOR CORP BND
 
F
 
 
699,493.02

697,091.53

700,000.00

699,554.03

(2,462.5
)
61.01

—

—

1.3

1.3350

May-Nov
0
2,224.44

10032014
11082016
BRSHD5L53
PETCO ANIMAL SUPPLIES INC SENIOR SECURED TERM NOTES
 
 
2
 
1,810,083.37

1,835,726.22

1,852,715.62

1,823,898.3

11,827.92

9,941.29

—

—

—

0.5313

M-J-S-D
0
109,912.96

8012013
11242017
71647NAB5
PETROBRAS INT BRASPETRO BV SENIOR CORP BND
 
F
 
 
4,669,544

4,171,648.37

4,700,000.00

4,677,864.72

(506,216.35
)
5,092.27

—

—

3

3.1251

Jan-Jul
            86,558.33
141,000.01

5132013
1152019
71647NAD1
PETROBRAS INT BRASPETRO BV SENIOR CORP BND
 
F
 
 
4,978,710

4,764,977.5

5,029,000.00

4,996,778.67

(231,801.17
)
18,068.67

—

—

1.85185

2.3175

F-M-A-N
0
75,010.11

3212014
5202016
71645WAT8
PETROBRAS INTL FINANCE CORP BND
 
F
 
 
797,304

788,799.52

800,000.00

799,377.88

(10,578.36
)
558.33

—

—

3.875

3.9499

Jan-Jul
                13,261.11
31,000

1202011
1272016
71645WAV3
PETROBRAS INTL FINANCE CORP BND
 
F
 
 
1,790,982

1,796,457.24

1,800,000.00

1,799,694.69

(3,237.45
)
3,088.36

—

—

2.875

3.0510

Feb-Aug
            20,843.75
51,750

2012012
2062015
717081DG5
PFIZER INC SENIOR CORP BND
 
 
 
 
1,973,854.5

1,958,554.57

1,975,000.00

1,974,207.55

(15,652.98
)
221.89

—

—

1.5

1.5120

Jun-Dec
                1,316.67
29,625

5282013
6152018
717081DL4
PFIZER INC SENIOR CORP BND
 
 
 
 
2,495,275

2,510,811.63

2,500,000.00

2,495,843.34

14,968.29

568.34

—

—

2.1

2.1401

May-Nov
0
32,958.34

5122014
5152019
717081DP5
PFIZER INC SENIOR CORP BND
 
 
 
 
3,000,000

2,997,780.09

3,000,000.00

3,000,000

(2,219.91
)
—

—

—

0.3821

0.3821

F-M-A-N
0
8,637.05

5122014
5152017
717081DF7
PFIZER INC SENIOR CORP BND
 
 
 
 
5,000,000

5,003,600.3

5,000,000.00

5,000,000

3,600.3

—

—

—

0.5406

0.5406

M-J-S-D
                1,930.14
42,323.65

5282013
6152018
69331CAF5
PG&E CORP SENIOR CORP BND
 
 
1
 
500,605

498,889.77

500,000.00

500,573.92

(1,684.15
)
(15.17
)
—

—

2.4

2.3704

Mar-Sep
0
4,376.67

2242014
3012019
BRSM7GBC1
PHARMACEUTICAL RSRCE INC SENIOR SECURED TERM NOTES
 
 
 
 
3,419,574.91

3,332,967.17

3,418,427.87

3,419,781.92

(86,814.75
)
912.57

—

—

—

(0.0083
)
M-J-S-D
0
165,531.93

2202014
9302019
BRSM2A4U7
PHARMEDIUM HLTH SENIOR SECURED TERM NOTES
 
 
 
 
330,160.34

322,971.47

331,819.44

330,373.53

(7,402.06
)
304.09

—

—

—

0.0709

M-J-S-D
0
12,012.48

1232014
1282021
71722TAF1
PHEAA_04-1 ABS_04-1-A2
 
 
2
 
452,730

485,600.5

500,000.00

476,117.97

9,482.53

2,669.28

—

—

1.65

2.8396

Monthly
                  457.26
6,171.61

3092010
4252044
71722TAG9
PHEAA_04-1 ABS_04-1-A3
 
 
2
 
1,177,098

1,287,382.2

1,300,000.00

1,225,672.88

61,709.32

5,832.08

—

—

1.634

2.6235

Monthly
                   530.19
15,658.94

3092010
4252044
718172BN8
PHILIP MORRIS INTERNATIONAL IN SENIOR CORP BND
 
 
 
 
3,325,728.7

3,313,679.95

3,335,000.00

3,326,165.52

(12,485.57
)
436.82

—

—

1.25

1.3450

May-Nov
0
5,905.73

11032014
11092017
718172AX7
PHILIP MORRIS INTERNATIONAL IN SENIOR CORP BND
 
 
 
 
3,645,000

3,645,182.14

3,645,000.00

3,645,000

182.14

—

—

—

0.28435

0.2844

F-M-A-N
                 1,101.98
10,596.39

2262013
2262015
718172BF5
PHILIP MORRIS INTERNATIONAL IN SENIOR CORP BND
 
 
 
 
5,605,986.5

5,617,059.65

5,650,000.00

5,615,365.5

1,694.15

12,185.51

—

—

1.875

2.0339

Jan-Jul
             25,201.82
154,569.02

11042013
1152019
718546AJ3
PHILLIPS 66 CORP BND
 
 
 
 
1,674,798.35

1,719,599.79

1,675,000.00

1,674,912.05

44,687.74

35.94

—

—

2.95

2.9523

May-Nov
              8,235.42
49,412.5

1242013
5012017
718546AE4
PHILLIPS 66 SENIOR CORP BND
 
 
 
 
124,958.79

125,245.01

125,000.00

124,996.64

248.37

334.27

—

—

1.95

1.9656

Mar-Sep
            20,577.92
43,036.77

1242013
3052015
71883MDU5
PHOENIX ARIZ CIVIC IMPT CORP MUNI BND REV
 
 
1
 
1,130,520

1,123,330

1,000,000.00

1,121,964.51

1,365.49

(8,555.49
)
—

—

5

1.4159

Jan-Jul
0
12,500

5302008
7012024
720175FR4
PIEDMONT MUN PWR AGY S C ELEC MUNI BND REV
 
 
 
 
1,247,100

1,239,650

1,000,000.00

1,237,739.81

1,910.19

(9,360.19
)
—

—

6.25

2.0224

Jan-Jul
0
15,625

1302001
1012021
73328WAC5
PILOT_12-1 ABS 12-1 144A
 
 
2
 
134,048.8

134,064.83

134,071.13

134,065.73

(0.9
)
98.41

—

—

0.54

0.5490

Monthly
                  262.50
5,607.36

10102012
12212015
BRSJ0MJU4
PINACLE FOOD FIN SECURED TERM LOAN
 
 
 
 
7,973,197.64

7,786,857.34

8,004,458.54

7,979,021.48

(192,164.14
)
8,090.54

—

—

—

0.0589

M-J-S-D
0
365,217.82

10182013
4292020
BRSJYB2V7
PINNACLE ENTERTAINMENT INC SENIOR SECURED TERM NOTES
 
 
 
 
1,415,160.46

1,405,830.39

1,422,271.85

1,416,517.74

(10,687.35
)
3,726.18

—

—

—

0.0712

F-M-A-N
0
64,699.83

9032013
8132020
72650RBG6
PLAINS ALL AMERICAN PIPELINE L SENIOR CORP BND
 
 
1
 
2,994,390

2,974,303.2

3,000,000.00

2,994,449.91

(20,146.71
)
59.91

—

—

2.6

2.6400

Jun-Dec
0
4,766.67

12022014
12152019
69349LAL2
PNC BANK NATIONAL ASSOCIATION SENIOR CORP BND
 
 
1
 
1,849,392

1,847,114.05

1,850,000.00

1,849,702.1

(2,588.05
)
223.17

—

—

0.5526

0.5607

J-A-J-O
               4,801.28
15,643.4

3142014
4292016
69353RDY1
PNC BANK NATIONAL ASSOCIATION SENIOR CORP BND
 
 
1
 
2,499,525

2,493,202.6

2,500,000.00

2,499,567.31

(6,364.71
)
42.31

—

—

1.5

1.5061

Apr-Oct
0
10,729.16

9152014
10182017
69353RDZ8
PNC BANK NATIONAL ASSOCIATION SENIOR CORP BND
 
 
1
 
2,519,300

2,510,388.58

2,500,000.00

2,518,672.5

(8,283.92
)
(627.50
)
—

—

2.4

2.2319

Apr-Oct
0
10,166.67

10272014
10182019
69349LAP3
PNC BANK NATIONAL ASSOCIATION SENIOR CORP BND
 
 
1
 
2,596,620

2,599,185.71

2,600,000.00

2,597,936.79

1,248.92

1,110.16

—

—

1.15

1.1939

May-Nov
              5,564.72
29,900

10212013
11012016
69353RCG1
PNC BANK NATIONAL ASSOCIATION SENIOR CORP BND
 
 
1
 
3,005,460

2,989,336.41

3,000,000.00

3,004,073.79

(14,737.38
)
(1,386.21
)
—

—

1.125

1.0560

Jan-Jul
0
23,343.75

4162014
1272017
69349LAJ7
PNC BANK NATIONAL ASSOCIATION SENIOR CORP BND
 
 
 
 
3,155,000

3,156,984.15

3,155,000.00

3,155,000

1,984.15

—

—

—

0.5431

0.5431

J-A-J-O
              5,596.33
26,915.1

1232013
1282016
69353RCH9
PNC BANK NATIONAL ASSOCIATION SENIOR CORP BND
 
 
1
 
3,249,925

3,255,447.33

3,250,000.00

3,250,152.41

5,294.92

227.41

—

—

2.2

2.2421

Jan-Jul
0
36,437.5

1232014
1282019
69349LAN8
PNC BANK NATIONAL ASSOCIATION SENIOR CORP BND
 
 
1
 
4,695,676

4,717,234.86

4,700,000.00

4,697,558.13

19,676.73

1,390.97

—

—

1.3

1.3301

Apr-Oct
             21,724.45
61,099.99

8202013
10032016
69349LAH1
PNC BANK NATIONAL ASSOCIATION SENIOR CORP BND
 
 
1
 
6,438,647.6

6,442,666.16

6,440,000.00

6,439,512.42

3,153.74

450.52

—

—

0.8

0.8071

Jan-Jul
             21,896.00
51,520

1232013
1282016
73358WGY4
PORT AUTH NY & NJ MUNI BND REV
 
 
1
 
2,773,939

2,782,416

2,450,000.00

2,764,028.04

18,387.96

(9,910.96
)
—

—

5

3.0175

Apr-Oct
0
30,625

1172014
10012028
73358WUA0
PORT AUTH NY & NJ MUNITAX BND REV
 
 
 
 
2,000,000

1,988,180

2,000,000.00

2,000,000

(11,820
)
—

—

—

2.529

2.5290

Apr-Oct
0
9,835

10082014
10152020
73674NBG5
PORTLAND ORE SWR SYS REV MUNITAX BND REV
 
 
 
 
509,363.2

508,373.4

505,000.00

508,973.41

(600.01
)
(389.79
)
—

—

2.772

2.4396

Jun-Dec
0
3,499.65

6282012
6152017
69353UAB7
PPL WEM HOLDINGS PLC CORP BND 144A
 
F
 
 
3,397,355

3,348,254

3,250,000.00

3,299,315.16

48,938.84

(35,904.62
)
—

—

3.9

2.7311

May-Nov
              21,125.00
126,750

3092012
5012016
74005PBE3
PRAXAIR INC SENIOR CORP BND
 
 
 
 
3,998,570.51

3,998,726

4,000,000.00

3,999,056.18

(330.18
)
1,613.09

—

—

0.75

0.7709

Feb-Aug
            27,489.58
58,472.92

9182014
2212016
74041NAB1
PREFERRED TERM SECURITIES LTD SENIOR COP BND 144A
 
F
 
 
2,011,890

1,994,730

3,000,000.00

2,021,125.33

(26,395.33
)
9,235.33

—

—

1.1226

3.4487

M-J-S-D
0
8,550.6

12092003
12242033
74043CAC1
PREFERRED TERM SECURITIES XXIV PREFTS_24
 
F
2
 
551,820.28

550,484.62

1,043,651.87

550,808.15

(323.53
)
(1,012.13
)
—

—

0.8206

7.9138

M-J-S-D
0
2,169.2

12222014
3222037
74042WAC8
PREFTS_18 PREFTS_18
 
E
2
 
915,901.67

849,164.67

1,461,607.40

915,901.67

(66,737
)
3,022.88

—

—

1.0021

6.3486

M-J-S-D
0
3,701.1

3312012
9232035
74042HAC1
PREFTS_19 PREFTS_19
 
 
2
 
844,215.99

817,061.95

1,444,363.44

844,215.99

(27,154.04
)
18,135.09

—

—

0.8471

6.9575

M-J-S-D
0
3,167.29

3312012
12222035
74042CAE8
PREFTS_1A44 PREFTS_1A44
 
F
2
 
1,707,913.57

1,650,946.97

2,854,038.25

1,711,804.74

(60,857.77
)
5,967.27

—

—

0.8471

6.0962

M-J-S-D
0
6,103.76

11022007
3222038
74112WAC3
PRESTIGE AUTO RECEIVABLES TRUS ABS_13-1 A2 144A
 
 
2
 
238,669

238,993.98

238,693.23

238,683.98

310

35.91

—

—

1.09

1.0984

Monthly
                   307.51
4,714.23

4032013
2152018
74041EAC9
PRETSL_04 PRETSL_04
 
F
2
 
1,276,124.67

1,344,237.83

2,129,890.56

1,273,461.56

70,776.27

(2,663.11
)
—

—

1.2521

7.4357

M-J-S-D
0
6,707.89

12232014
3232035
74153WBZ1
PRICOA GLOBAL FUND SECURED CORP BND 144A
 
 
 
 
985,230

986,673.43

1,000,000.00

986,233.05

440.38

1,003.05

—

—

1.6

2.0200

May-Nov
0
4,000

5212013
5292018
89837LAA3
PRINCETON UNIVERSITY MUNI BND REV
 
 
 
 
1,525,670.4

1,499,750.99

1,340,000.00

1,517,616.94

(17,865.95
)
(8,053.46
)
—

—

4.95

1.6422

Mar-Sep
0
12,713.25

10172014
3012019
742651DB5
PRIVATE EXPORT FUNDING CORPORA SECURED AGENCY BND
 
 
 
 
1,646,955

1,559,850

1,500,000.00

1,524,012.46

35,837.54

(26,843.42
)
—

—

4.95

3.0700

May-Nov
              9,487.50
74,250

11272012
11152015
742741AA9
PROCTER & GAMBLE COMPANY CORP BND
 
 
2
 
780,957.22

751,968.2

606,960.00

761,901.4

(9,933.2
)
(28,495.86
)
—

—

9.36

4.4633

Jan-Jul
0
50,200.38

2142014
1012021
742718DS5
PROCTER & GAMBLE COMPANY CORP BND
 
 
 
 
1,016,610

1,011,120

1,000,000.00

1,012,852.65

(1,732.65
)
(3,757.35
)
—

—

1.8

0.3196

May-Nov
0
4,500

11152010
11152015
742718DV8
PROCTER & GAMBLE COMPANY CORP BND
 
 
 
 
2,039,800

2,020,646.06

2,000,000.00

2,024,136.64

(3,490.58
)
(12,564.71
)
—

—

1.45

0.6709

Feb-Aug
             10,626.89
24,182.78

3052013
8152016
742718EG0
PROCTER & GAMBLE COMPANY SENIOR CORP BND
 
 
 
 
499,240

498,252.18

500,000.00

499,263.67

(1,011.49
)
55.68

—

—

1.9

1.9321

May-Nov
0
3,636.39

10272014
11012019
742718ED7
PROCTER & GAMBLE COMPANY SENIOR CORP BND
 
 
 
 
2,999,730

2,991,356.04

3,000,000.00

2,999,833.71

(8,477.67
)
89.43

—

—

0.75

0.7530

May-Nov
              3,562.50
22,500

10302013
11042016
341099CQ0
PROGRESS ENERGY FLORIDA SECURED CORP BND
 
 
 
 
2,668,622.81

2,672,148.53

2,671,000.00

2,670,302.31

1,846.22

(672.61
)
—

—

0.65

0.6802

May-Nov
              3,962.58
30,442.75

11152012
11152015
743263AL9
PROGRESS ENERGY INC CORP BND
 
 
 
 
550,055

524,222.5

500,000.00

524,021.43

201.07

(22,922.79
)
—

—

5.625

0.9621

Jan-Jul
             12,968.75
28,125

11062013
1152016
BRSE9C0N4
PROTECTION ONE, INC. SENIOR SECURED TERM LOAN
 
 
2
 
1,486,498.93

1,492,010.99

1,499,508.53

1,491,542.02

468.97

2,040.64

—

—

—

0.1244

M-J-S-D
0
65,638.19

12132013
3212019
1107098Z8
PROVINCE OF BRITISH COLUMBIA CORP BND
 
A
 
 
1,966,310

1,939,292

1,900,000.00

1,933,996.42

5,295.58

(24,398.22
)
—

—

2.1

0.7921

May-Nov
             13,545.00
60,316.66

8302013
5182016
1107098W5
PROVINCE OF BRITISH COLUMBIA CORP BND
 
A
 
 
2,360,025

2,276,077.5

2,250,000.00

2,274,875.44

1,202.06

(177,869.07
)
—

—

2.85

0.4061

Jun-Dec
            20,583.34
239,874.99

6062013
6152015
11070TAA6
PROVINCE OF BRITISH COLUMBIA SENIOR CORP BND
 
A
 
 
1,007,824

1,005,520.02

1,000,000.00

1,007,396.06

(1,876.04
)
(427.94
)
—

—

1.2

0.8765

Apr-Oct
0
1,600

11072014
4252017
69362BAZ5
PSEG POWER LLC SENIOR CORP BND
 
 
1
 
49,925

50,580.52

50,000.00

49,941.49

639.03

14.45

—

—

2.45

2.4819

May-Nov
                   180.35
1,225

11052013
11152018
74456QBE5
PUBLIC SERVICE ELECTRIC AND GA SECURED CORP BND MTN
 
 
1
 
1,099,692

1,118,851.45

1,100,000.00

1,099,769.94

19,081.51

169.38

—

—

2.3

2.3059

Mar-Sep
              27,159.17
72,168.9

9092013
9152018
745190WA2
PUERTO RICO COMWLTH HWY & TRAN MUNI BND REV
 
 
1
 
53,825.5

51,211.5

50,000.00

51,173.12

38.38

(2,340.97
)
—

—

5

0.3005

Jan-Jul
               1,250.00
1,250

11072013
7012045
74529JNP6
PUERTO RICO SALES TAX FING COR MUNI BND REV
 
 
1
 
985,000

952,250

1,000,000.00

986,410.26

(34,160.26
)
1,410.26

—

—

5

5.2193

Feb-Aug
0
48,333.33

1082014
8012022
BRSK6KJF2
QUEBECOR MEDIA INC. SENIOR SECURED TERM NOTES
 
A
 
 
2,948,937.5

2,855,109.38

2,962,500.00

2,951,506.71

(96,397.33
)
2,091.17

—

—

—

0.0651

M-J-S-D
0
98,773.58

9162013
8172020
74834LAU4
QUEST DIAGNOSTICS INC SENIOR CORP BND
 
 
 
 
4,522,815

4,522,233.91

4,500,000.00

4,521,588.07

645.84

(1,226.93
)
—

—

2.7

2.5800

Apr-Oct
0
30,375

8262014
4012019
74977RCE2
RABOBANK NEDERLAND NV CORP BND 144A
 
F
 
 
899,379

904,587.75

900,000.00

899,974.59

4,613.16

175.56

—

—

3.2

3.2150

Mar-Sep
             15,644.44
38,631.12

3042010
3112015
N7277KAG6
RABOBANK NEDERLAND NV CORP BND MTN
 
D
 
 
1,669,345.87

1,528,524.03

960,000.00

1,630,848.25

(102,324.22
)
(47,621.45
)
—

(104,451.82
)
4

1.1091

September
0
66,474.89

2202014
9102015
N7278SAC7
RABOBANK NEDERLAND NV SENIOR CORP BND
 
D
 
 
1,584,765.11

1,574,952.77

960,000.00

1,582,852.19

(7,899.42
)
(2,107.75
)
—

(12,038.62
)
3.25

1.4507

November
0
3,973.19

12032014
11012017
21688AAA0
RABOBANK NEDERLAND NV SENIOR CORP BND
 
 
 
 
1,988,560

2,011,854.24

2,000,000.00

1,990,663.87

21,190.37

4,040.55

—

—

2.25

2.3720

Jan-Jul
0
83,375

1072014
1142019
74977EPY3
RABOBANK NEDERLAND NV SENIOR CORP BND
 
F
 
 
2,900,000

2,908,671.12

2,900,000.00

2,900,000

8,671.12

(4,389.83
)
—

—

0.7226

0.7226

M-J-S-D
              4,293.93
89,154.67

3122013
3182016
G7457KAB7
REED ELSEVIER INVESTMENTS PLC CORP BND
 
D
 
 
1,905,076.86

1,888,824.23

1,050,000.00

1,898,946.68

(10,122.45
)
(6,720.97
)
—

(14,442.73
)
7

1.6865

December
0
9,364.49

12032014
12112017
75887HAL6
REGT5_14-1A ABS_14-1A A2B2 144A
 
F
2
 
3,000,000

3,031,750.26

3,000,000.00

3,000,000

31,750.26

—

—

—

3.3826

3.3643

J-A-J-O
0
15,785.47

10082014
10252026
BRSMPYBS7
RENT-A-CENTER, INC/TX SENIOR SECURED TERM LOAN
 
 
 
 
2,604,809.08

2,565,540.61

2,617,898.58

2,606,188.71

(40,648.1
)
1,478.54

—

—

—

0.0711

M-J-S-D
0
73,170.93

3142014
3192021
76111XYJ6
RESIDENTIAL ASSET MORTGAGE PR CMO_05-SA4 2A2
 
 
2
 
667,677.19

642,853.44

691,893.46

671,989.68

(29,136.24
)
(2,262.26
)
—

—

2.779509

3.4226

Monthly
              2,097.93
21,681.35

8162007
9252035
76117QAC6
RESIDENTIAL REINSURANCE 2014 L SENIOR CORP BND 144A
 
F
 
 
500,000

500,015

500,000.00

500,000

15

—

—

—

—

—

Mar-Sep
0
—

11202014
12062018
761713AV8
REYNOLDS AMERICAN INC SENIOR CORP BND
 
 
 
 
399,436

399,676

400,000.00

399,842.75

(166.75
)
324.92

—

—

1.05

1.0979

Apr-Oct
               1,334.38
7,252.29

10242012
10302015
BRSNJBVT8
RHP HOTEL PROPERTIES LP SENIOR SECURED TERM LOAN
 
 
 
 
492,229.24

493,462.9

493,462.90

492,313.05

1,149.85

86.90

—

—

—

0.0381

M-J-S-D
0
7,564.9

6052014
1152021
BRSR063T1
RICHELIEU FOODS INC
 
 
 
 
124,229.95

122,987.65

124,229.95

124,229.95

(1,242.3
)
—

—

—

—

—

F-M-A-N
0
22,183.92

 
 
BRSR06452
RICHELIEU FOODS INC SENIOR SECURED TERM NOTES
 
 
 
 
5,028,355.11

4,978,071.56

5,028,355.11

5,028,355.11

(50,283.55
)
—

—

—

—

—

J-A-J-O
0
75,425.33

11232014
5212019
76541VKB2
RICHMOND VA MUNITAX BND GO
 
 
 
 
1,500,000

1,512,090

1,500,000.00

1,500,000

12,090

—

—

—

1.207

1.2070

Jan-Jul
              8,348.42
18,105

6142012
7152016
76541VKC0
RICHMOND VA MUNITAX BND GO
 
 
 
 
5,000,000

5,043,400

5,000,000.00

5,000,000

43,400

—

—

—

1.507

1.5070

Jan-Jul
            34,744.73
75,350

6142012
7152017
767201AJ5
RIO TINTO FINANCE (USA) LTD CORP BND
 
F
 
 
1,298,947

1,311,427

1,300,000.00

1,299,817.45

11,609.55

215.19

—

—

1.875

1.8921

May-Nov
              3,994.79
24,375

10282010
11022015
767201AM8
RIO TINTO FINANCE (USA) LTD CORP BND
 
F
 
 
4,651,892.5

4,712,000.88

4,625,000.00

4,639,179.63

72,821.25

(10,180.90
)
—

—

2.5

2.6060

May-Nov
              13,168.40
115,625

2212013
5202016
76720AAJ5
RIO TINTO FINANCE (USA) PLC CORP BND
 
F
 
 
2,125,000

2,132,713.9

2,125,000.00

2,125,000

7,713.9

—

—

—

1.0826

1.0826

M-J-S-D
                  959.66
23,180.07

6142013
6172016
76720AAB2
RIO TINTO FINANCE (USA) PLC SENIOR CORP BND
 
F
1
 
4,019,848

4,069,856.57

4,025,000.00

4,022,647.9

47,208.67

1,025.42

—

—

2

2.0270

Mar-Sep
             22,137.50
80,500

3192012
3222017
769047GX3
RIVERSIDE CALIF MUNITAX BND REV
 
 
 
 
1,103,470

1,093,020

1,000,000.00

1,094,502.06

(1,482.06
)
(8,967.94
)
—

—

5.61

1.8474

Feb-Aug
0
14,025

8072009
8012017
771196BB7
ROCHE HOLDINGS INC SENIOR CORP BND 144A
 
 
1
 
2,991,690

3,039,471.36

3,000,000.00

2,991,970.08

47,501.28

280.08

—

—

2.875

2.9190

Mar-Sep
0
22,041.67

9222014
9292021
776696AF3
ROPER IND, INC. SENIOR CORP BND
 
 
 
 
1,737,330

1,732,519.9

1,750,000.00

1,738,108.13

(5,588.23
)
778.13

—

—

2.05

2.2401

Apr-Oct
0
8,968.75

5302013
10012018
78008TLB8
ROYAL BANK OF CANADA CORP BND MTN
 
A
 
 
517,250

510,004.39

500,000.00

510,612.68

(608.29
)
(6,637.32
)
—

—

2.3

0.9191

Jan-Jul
0
11,276.39

1032014
7202016
78011DAE4
ROYAL BANK OF CANADA SECURED LOCAL BND
 
A
 
 
1,199,400

1,204,811.92

1,200,000.00

1,199,685.72

5,126.2

198.23

—

—

1.125

1.1420

Jan-Jul
              6,075.00
13,350

7162013
7222016
78011DAC8
ROYAL BANK OF CANADA SECURED LOCAL BND
 
A
 
 
1,992,400

1,987,680.06

2,000,000.00

1,993,047.49

(5,367.43
)
647.49

—

—

1.2

1.3309

Mar-Sep
0
6,000

9122012
9192017
BRSNFTGX1
ROYAL BANK OF CANADA SENIOR CORP BND EMTN
 
T
 
 
1,749,849.92

1,637,888.98

1,050,000.00

1,750,333.7

(112,444.72
)
590.20

—

(116,664.47
)
0.95275

1.0028

M-J-S-D
0
11,535.87

5282014
6042019
78008SE28
ROYAL BANK OF CANADA SENIOR CORP BND MTN
 
A
 
 
3,000,000

3,005,189.91

3,000,000.00

3,000,000

5,189.91

—

—

—

0.60535

0.6054

M-J-S-D
               5,177.36
53,181

3052013
3082016
78008SVD5
ROYAL BANK OF CANADA SENIOR CORP BND MTN
 
A
 
 
4,094,875

4,077,474.27

4,100,000.00

4,096,841.26

(19,366.99
)
1,007.34

—

—

1.5

1.5260

Jan-Jul
             28,187.50
61,500

1072013
1162018
783186QV4
RUTGERS UNIVERSITY NEW JERSEY MUNITAX BND REV
 
 
 
 
1,152,610.5

1,151,069.5

1,150,000.00

1,152,438.1

(1,368.6
)
(172.40
)
—

—

2.009

1.9430

May-Nov
0
5,775.87

6142013
5012018
78355HJT7
RYDER SYSTEM INC. SENIOR CORP BND MTN
 
 
1
 
1,018,640

1,012,495.73

1,000,000.00

1,017,250.48

(4,754.75
)
(1,389.52
)
—

—

2.5

1.9205

Mar-Sep
0
6,180.56

8152012
3012018
BRSQRAFX3
SABLE INTERNATIONAL FINANCE LI SENIOR SECURED TERM LOAN
 
F
 
 
468,160.37

471,108.49

471,698.11

468,160.37

2,948.12

—

—

—

—

0.4246

M-J-S-D
0
—

11252014
11252016
78573AAG5
SABMILLER HOLDINGS INC SENIOR CORP BND 144A
 
 
 
 
3,000,000

3,009,510.03

3,000,000.00

3,000,000

9,510.03

—

—

—

0.92235

0.9224

F-M-A-N
               4,737.16
28,121.45

8062013
8012018
78573AAB6
SABMILLER HOLDINGS INC SENIOR CORP BND 144A
 
 
 
 
4,164,208

4,132,869.4

4,050,000.00

4,136,246.43

(3,377.03
)
(26,365.08
)
—

—

2.45

1.3641

Jan-Jul
             23,159.30
62,475

12092013
1152017
78572MAF2
SABMILLER PLC CORP BND 144A
 
F
 
 
3,491,297.4

3,410,734.05

2,980,000.00

3,436,426.21

(25,692.16
)
(54,871.19
)
—

—

6.5

2.0081

Jan-Jul
0
85,547.22

7212014
7152018
BRSKM5SR1
SABRE INC SENIOR SECURED TERM NOTES
 
 
 
 
1,801,800

1,775,340.57

1,801,800.00

1,801,800

(26,459.43
)
—

—

—

—

—

M-J-S-D
0
80,085.75

10042013
2192019
BRSHCGRY1
SABRE INC SENIOR SECURED TERM NOTES
 
 
2
 
5,242,372.35

5,187,788.47

5,268,715.95

5,250,479.81

(62,691.34
)
4,629.56

—

—

—

0.0827

F-M-A-N
0
230,689.17

2152013
2192019
786134UZ7
SACRAMENTO SATN MUNITAX BND REV
 
 
 
 
2,485,000

2,499,263.9

2,485,000.00

2,485,000

14,263.9

—

—

—

2.239

2.2390

Jun-Dec
0
6,491.24

11062014
12012019
786514BP3
SAFEWAY INC CORP BND
 
 
 
 
1,160,302

1,169,385.47

1,100,000.00

1,155,320.03

14,065.44

(4,981.97
)
—

—

6.35

4.3002

Feb-Aug
0
22,962.5

12062012
8152017
796253W99
SAN ANTONIO TX MUNI BND REV
 
 
1
 
50,813.5

50,203

50,000.00

50,203.38

(0.38
)
(610.12
)
—

—

5

0.1555

Feb-Aug
0
625

6302010
2012025
796253X23
SAN ANTONIO TX MUNI BND REV
 
 
1
 
965,456.5

953,857

950,000.00

953,864.13

(7.13
)
(11,592.37
)
—

—

5

0.1555

Feb-Aug
0
11,875

6302010
2012025
797669UG1
SAN FRANCISCO CALIF BAY AREA R MUNITAX BND REV
 
 
 
 
572,473.8

571,972.2

570,000.00

572,252.52

(280.32
)
(221.28
)
—

—

1.341

1.1801

Jan-Jul
0
1,910.92

9212012
7012017
797646KB1
SAN FRANCISCO CALIF CITY & CNT MUNI BND GO
 
 
1
 
1,587,036.5

1,567,895.05

1,535,000.00

1,568,310.97

(415.92
)
(18,725.53
)
—

—

5

0.2077

Jun-Dec
0
19,187.5

8122008
6152023
79772LDA8
SAN FRANCISCO CALIF ST BLDG AU MUNI BND REV
 
 
1
 
4,211,080

4,168,320

4,000,000.00

4,165,228.17

3,091.83

(45,851.83
)
—

—

5

0.4693

Jun-Dec
0
50,000

1252008
12012020
79854RAJ0
SAN LUIS ARIZ CIVIC IMPT CORP MUNI BND REV
 
 
1
 
874,947.15

871,604.1

855,000.00

868,272.52

3,331.58

(6,674.63
)
—

—

4.1

0.9801

Jan-Jul
0
8,763.75

10142005
7012017
79854RAK7
SAN LUIS ARIZ CIVIC IMPT CORP MUNI BND REV
 
 
1
 
923,733.5

922,692.75

905,000.00

917,474.5

5,218.25

(6,259.00
)
—

—

4.125

1.3496

Jan-Jul
0
9,332.82

10142005
7012018
79854RAL5
SAN LUIS ARIZ CIVIC IMPT CORP MUNI BND REV
 
 
1
 
1,013,954.75

1,014,860.2

995,000.00

1,007,630.05

7,230.15

(6,324.70
)
—

—

4.2

1.6405

Jan-Jul
0
10,447.5

10142005
7012019
801060AB0
SANOFI SENIOR CORP BND
 
F
 
 
9,323,050.7

9,265,917.2

9,370,000.00

9,336,784.75

(70,867.55
)
12,288.14

—

—

1.25

1.3411

Apr-Oct
              39,417.19
171,263.54

4032013
4102018
802385MG6
SANTA MONICA CALIF CMNTY COLLE MUNITAX BND GO
 
 
 
 
3,421,699.2

3,420,701.6

3,440,000.00

3,422,884.41

(2,182.81
)
1,185.21

—

—

1.864

2.0085

Feb-Aug
0
16,030.4

6062013
8012018
BRSM3U3W9
SBA COMMUNICATIONS CORPORATION SENIOR SECURED TERM NOTES
 
 
 
 
5,481,747.07

5,398,073.99

5,495,397.48

5,483,218.12

(85,144.13
)
1,540.09

—

—

—

0.0351

J-A-J-O
0
131,267.8

3312014
3242021
83164JU46
SBA PRIME FLTR SBA PRIME FLTR
 
 
2
 
1,455,928.8

1,524,209.54

1,438,323.72

1,455,619.8

68,589.74

(666.77
)
—

—

2.35

2.1475

Monthly
0
8,514.02

11172009
4252031
78403DAG5
SBA TOWER TRUST SECURED CORP BND 144A
 
 
1
 
4,000,000

4,010,480.04

4,000,000.00

4,000,000

10,480.04

—

—

—

2.898

2.9152

Monthly
0
24,472

10072014
10152044
82735LAA1
SBY_14-1 ABS_14-1 A 144A
 
 
2
 
1,190,022.89

1,171,903.6

1,190,022.89

1,190,022.89

(18,119.29
)
—

—

—

1.1654

1.1615

Monthly
0
5,430.94

7302014
9172031
806854AA3
SCHLUMBERGER GER INV CORP BND 144A
 
F
 
 
1,503,915

1,522,765.52

1,500,000.00

1,502,265.21

20,500.31

(1,320.87
)
—

—

1.95

1.9869

Mar-Sep
              8,693.76
29,250

3222013
9142016
80685PAC2
SCHLUMBERGER NORGE AS CORP BND 144A
 
F
 
 
698,775

709,434.77

700,000.00

699,570.26

9,864.51

551.96

—

—

1.95

1.9869

Mar-Sep
               9,418.23
30,635.31

9072011
9142016
80685PAD0
SCHLUMBERGER NORGE AS SENIOR CORP BND 144A
 
F
 
 
1,368,739.6

1,359,307.12

1,370,000.00

1,369,339.11

(10,031.99
)
250.02

—

—

1.25

1.2690

Feb-Aug
               7,135.42
17,125

7242012
8012017
80705TAA4
SCHOL_11-A ABS 11-A A 144A
 
 
2
 
1,589,658.97

1,630,988.64

1,621,664.12

1,593,099.56

37,889.08

5,592.01

—

—

1.1331

1.2636

J-A-J-O
              4,085.94
20,541.34

3222011
10282043
80705WAA7
SCHOL_12-B ABS 12-B 144A
 
 
2
 
304,312.68

305,577.66

305,186.11

304,776.74

800.92

507.18

—

—

0.5695

0.7047

Monthly
                      15.21
2,258.47

9192012
10282025
80705XAA5
SCHOL_13-A ABS 13-A 144A
 
 
2
 
1,649,700.84

1,641,404.71

1,657,567.65

1,650,112.36

(8,707.65
)
3,923.70

—

—

0.8195

0.8530

Monthly
                    113.86
16,488.42

3122013
1302045
G79314AG8
SCOTTISH POWER UK PLC CORP BND
 
D
 
 
1,525,102.18

1,511,271.24

850,000.00

1,520,502.62

(9,231.38
)
(4,599.56
)
—

(9,785.63
)
8.375

1.6438

February
0
5,896.24

12102014
2202017
811065AB7
SCRIPPS NETWORKS INTERACTIVE I SENIOR CORP BND
 
 
1
 
1,931,172.5

1,933,793.38

1,930,000.00

1,931,190.12

2,603.26

17.62

—

—

2.75

2.8271

May-Nov
0
4,675.76

12042014
11152019
811065AA9
SCRIPPS NETWORKS INTERACTIVE I SENIOR CORP BND
 
 
 
 
3,101,760

3,076,250.61

3,000,000.00

3,090,157.22

(13,906.61
)
(11,602.78
)
—

—

2.7

1.1398

Jun-Dec
0
20,250

11292011
12152016
80281CAD7
SDART_13-5 ABS 13-5 A2A
 
 
2
 
304,996.49

305,170.8

305,000.00

304,996.74

174.06

0.21

—

—

0.82

0.8215

Monthly
                      111.16
2,501.04

11142013
2152018
80283JAC2
SDART_13-A ABS 13-A A3 144A
 
 
2
 
3,456,269.77

3,461,501.46

3,456,524.17

3,456,411.58

5,089.88

106.62

—

—

1.02

1.0254

Monthly
               1,586.67
35,680.29

8152013
1162018
80283XAD9
SDART_14-3 ABS 14-3 A3
 
 
2
 
774,991.48

772,215.61

775,000.00

774,991.73

(2,776.12
)
0.25

—

—

0.81

0.8114

Monthly
0
3,365.46

6112014
7162018
BRSM9G9V0
SEADRILL OPERATING LP SENIOR SECURED TERM NOTE
 
F
1
 
827,592.8

657,243.11

840,195.73

828,367.07

(171,123.96
)
837.93

—

—

—

0.2276

M-J-S-D
0
13,802.65

6182014
2212021
BRSJ9AUR5
SEAWORLD PARKS & ENTERTAINMENT SENIOR SECURED TERM LOAN
 
 
2
 
3,033,705.66

2,900,715.43

3,050,173.96

3,036,530.27

(135,814.84
)
2,686.95

—

—

—

0.0822

M-J-S-D
0
114,014.13

1022014
5142020
BRSJ0VL80
SEMINOLE TRIBE OF FLORIDA SENIOR SECURED TERM NOTES
 
 
 
 
2,984,825

2,977,362.94

2,984,825.00

2,984,825

(7,462.06
)
—

—

—

—

—

M-J-S-D
0
93,434.19

4122013
4292020
816851AS8
SEMPRA ENERGY SENIOR CORP BND
 
 
 
 
1,019,580

1,015,413.67

1,000,000.00

1,017,610.96

(2,197.29
)
(1,969.04
)
—

—

2.3

1.5000

Apr-Oct
0
5,750

3202012
4012017
BRSH8YLF4
SESAC HOLDCO II LLC SENIOR SECURED TERM NOTES
 
 
 
 
650,327.28

652,098.55

655,784.06

651,825.75

272.8

970.47

—

—

—

0.1454

F-M-A-N
0
30,592.27

4082014
2082019
8.21686E+86
SHELBY CNTY TENN
 
 
 
 
228,887.1

226,184.4

195,000.00

227,003.8

(819.4
)
(1,883.30
)
—

—

5

1.0395

Apr-Oct
0
2,437.5

 
 
821697YN3
SHELBY CNTY TENN HEALTH EDL & MUNI BND REV
 
 
1
 
5,647,650

5,605,150

5,000,000.00

5,600,057.78

5,092.22

(47,592.22
)
—

—

5.25

1.3600

Mar-Sep
0
65,625

5212008
9012021
821686H39
SHELBY CNTY TENN MUNI BND GO
 
 
1
 
931,232.05

923,351.1

805,000.00

924,266.61

(915.51
)
(6,965.44
)
—

—

5

1.3948

Apr-Oct
0
10,062.5

10182011
4012020
822582AQ5
SHELL INTERNATIONAL FINANCE BV CORP BND
 
F
 
 
6,148,980

6,077,220

6,000,000.00

6,022,027.11

55,192.89

(44,786.18
)
—

—

3.1

2.3406

Jun-Dec
               1,550.00
186,000

2142012
6282015
822582BC5
SHELL INTERNATIONAL FINANCE BV SENIOR CORP BND
 
F
 
 
274,000

274,095.91

274,000.00

274,000

95.91

—

—

—

0.4421

0.4421

F-M-A-N
                     161.19
1,239.21

11122013
11152016
822582AZ5
SHELL INTERNATIONAL FINANCE BV SENIOR CORP BND
 
F
 
 
499,380

498,261.26

500,000.00

499,611.5

(1,350.24
)
204.98

—

—

0.9

0.9420

May-Nov
                  575.00
4,500

11122013
11152016
822582AR3
SHELL INTERNATIONAL FINANCE BV SENIOR CORP BND
 
F
 
 
993,640

992,656.86

1,000,000.00

994,188.83

(1,531.97
)
548.83

—

—

1.125

1.3499

Feb-Aug
0
2,812.5

8142012
8212017
BRSR1R5H8
SHELL: ATLAS_14-1 ABS 14-1
 
 
2
 
4,000,000

4,009,197.76

4,000,000.00

4,000,000

9,197.76

—

—

—

4.88

4.9276

Monthly
0
—

12182014
12152020
N7993YBH6
SIEMENS FINANCIERINGSMAATSCHAP CORP BND
 
D
1
 
2,027,509.64

2,001,563.93

1,220,000.00

2,022,950.71

(21,386.78
)
(4,971.62
)
—

(15,661.5
)
6.125

2.7317

September
0
9,547.95

12102014
9142066
826239EQ4
SIERRA CALIF JT CMNTY COLLEGE MUNI BND GO
 
 
1
 
1,366,855.5

1,379,931

1,150,000.00

1,361,353.11

18,577.89

(5,502.39
)
—

—

5

2.5974

Feb-Aug
0
14,375

9132013
8012027
BRSHAG9G2
SILVER II BORROWER SCA SENOIR SECURED TERM LOAN
 
R
1
 
3,310,532.26

3,089,140.42

3,310,532.26

3,310,532.26

(221,391.84
)
—

—

—

—

—

F-M-A-N
0
138,685.47

8212013
12132019
G8162ZAD4
SILVERSTONE MASTER ISSUER PLC ABS_09-1 A3
 
D
1
 
833,161.5

848,125.71

510,000.00

833,161.5

14,964.21

—

—

(37,944
)
5.063

5.0593

Apr-Oct
              8,252.97
42,542.8

10272009
1212055
828807CA3
SIMON PROPERTY GROUP LP CORP BND
 
 
1
 
405,007.68

402,149.98

308,000.00

403,933.84

(1,783.86
)
(1,073.84
)
—

—

10.35

2.1730

Apr-Oct
0
1,416.8

12112014
4012019
828807CQ8
SIMON PROPERTY GROUP LP SENIOR CORP BND
 
 
1
 
7,358,478.9

7,394,427.1

7,369,000.00

7,360,693.85

33,733.25

2,214.95

—

—

2.2

2.2401

Feb-Aug
0
145,472.56

1132014
2012019
784423AF2
SLCLT_04-1 ABS 04-1
 
 
2
 
983,750

988,837

1,000,000.00

988,812.07

24.93

3,276.10

—

—

0.3921

0.7127

F-M-A-N
                   523.01
3,978.1

5202013
5152023
78446XAA3
SLM STUDENT LOAN TRUST ABS 12-B 144A
 
 
2
 
254,646.72

255,443.77

254,646.72

254,646.72

797.05

—

—

—

1.2608

1.2641

Monthly
                  292.06
4,876.1

4042012
1182022
78446XAB1
SLM STUDENT LOAN TRUST ABS_12-B A2 144A
 
 
2
 
999,897.3

1,038,892

1,000,000.00

999,928

38,964

12.67

—

—

3.48

3.5066

Monthly
               1,546.67
34,800

4042012
10152030
78442GSC1
SLM STUDENT LOAN TRUST SLMA_06 ABS_06-3-A4
 
 
2
 
128,096.45

128,084.53

128,298.79

128,198.28

(113.75
)
106.01

—

—

0.3141

0.3869

J-A-J-O
                    110.56
486.66

11302012
7252019
78446JAA4
SLM STUDENT LOAN TRUST SLMA_11 ABS 11-2
 
 
2
 
4,334,811.94

4,357,406.31

4,343,231.30

4,337,534.73

19,871.58

3,123.81

—

—

0.7695

0.8051

Monthly
                1,041.90
52,180.58

5182011
11252027
78446TAC8
SLM STUDENT LOAN TRUST SLMA_11 SENIOR ABS_11-C A2B 144A
 
 
2
 
502,508.79

499,038

465,000.00

499,039.13

(1.13
)
(3,469.66
)
—

—

4.54

2.5185

Monthly
0
8,561.69

7312014
10172044
78447FAB9
SLM STUDENT LOAN TRUST SLMA_12 ABS_12-E A2A 144A
 
 
2
 
816,500

799,168.03

800,000.00

810,874.92

(11,706.89
)
(3,188.07
)
—

—

2.09

1.6708

Monthly
                    743.11
16,719.96

3192013
6152045
78447VAA6
SLM STUDENT LOAN TRUST SLMA_13 ABS 13-B 144A
 
 
2
 
1,858,246.99

1,861,313.12

1,858,246.99

1,858,246.99

3,066.13

—

—

—

0.8108

0.8122

Monthly
                   916.68
17,225.69

4252013
7152022
78447CAA8
SLM_12-D ABS 12-D 144A
 
 
2
 
361,976.83

363,468.19

361,976.83

361,976.83

1,491.36

—

—

—

1.2108

1.2138

Monthly
                  320.62
5,799.4

7232012
6152023
78448DAA5
SLMA _14-A SENIOR ABS _14-A-A1 144A
 
 
2
 
1,016,142.54

1,011,856.99

1,012,464.45

1,015,715.84

(3,858.85
)
(905.57
)
—

—

0.7608

0.5433

Monthly
0
3,296.32

8052014
7152022
78442GHZ2
SLMA ABS 03-10A A1D 144A
 
 
2
 
100,000

100,238.8

100,000.00

100,000

238.8

101.13

—

—

0.305

0.3037

Monthly
                   461.94
2,537.07

9232011
12152016
78442GJB3
SLMA ABS 03-10A A1F 144A
 
 
2
 
25,000

24,950

25,000.00

25,000

(50
)
—

—

—

—

—

Monthly
                    35.42
2,792.97

11072011
12152016
784442AC9
SLMA ABS 08_2 A3
 
 
2
 
1,484,824.22

1,506,136.22

1,500,000.00

1,490,534.32

15,601.9

2,095.54

—

—

0.9841

1.1312

J-A-J-O
              2,800.33
14,967.34

3272012
4252023
78444YAD7
SLMA ABS 08-5 A4
 
 
2
 
2,457,718.75

2,460,898.14

2,350,000.00

2,409,903.35

50,994.79

(12,013.61
)
—

—

1.9341

1.3963

J-A-J-O
               8,604.12
46,083.9

1112011
7252023
78442GQP4
SLMA ABS_05-8 A3
 
 
2
 
2,328,754.82

2,365,431.82

2,371,247.43

2,360,796.26

4,635.56

15,394.03

—

—

0.3441

0.8159

J-A-J-O
              2,399.20
10,321.74

6132011
10252024
78445XAA4
SLMA_10-1 ABS 10-1A
 
 
2
 
2,850,268.41

2,835,702.71

2,844,555.05

2,849,918.4

(14,215.69
)
(1,998.51
)
—

—

0.5695

0.4817

Monthly
                   331.03
17,836.87

6022014
3252025
78446JAB2
SLMA_11-2 ABS 11-2
 
 
2
 
6,575,000

6,574,997.96

6,575,000.00

6,575,000

(2.04
)
—

—

—

1.3695

1.3733

Monthly
               1,495.37
90,326.64

5182011
10252034
78447AAA2
SLMA_12-3 ABS_12-3 A
 
 
2
 
1,419,867.96

1,428,629.26

1,419,867.96

1,419,867.96

8,761.3

—

—

—

0.8195

0.8209

Monthly
                   218.30
12,398.7

4242012
12262025
78447EAB2
SLMA_12-5 ABS 12-5
 
 
2
 
5,048,844.6

5,057,211.87

5,057,212.27

5,054,266.23

2,945.64

1,787.11

—

—

0.4695

0.5152

Monthly
                   410.40
24,386.83

7102012
6252019
78447GAB7
SLMA_12-6 ABS 12-6
 
 
2
 
950,820.03

949,786.34

950,522.99

950,763.68

(977.34
)
(117.04
)
—

—

0.4495

0.4221

Monthly
0
1,954.19

7292014
9252019
78447KAB8
SLMA_12-7 ABS 12-7
 
 
2
 
3,997,370

3,998,697.8

4,000,000.00

3,999,015.93

(318.13
)
672.74

—

—

0.4495

0.4691

Monthly
                  296.40
17,638.88

11022012
9252019
78446VAA7
SLMA_12-A ABS 12-A 144A
 
 
2
 
3,252,105.86

3,274,854.87

3,249,976.61

3,251,637.08

23,217.79

(975.41
)
—

—

1.5608

1.5659

Monthly
              3,039.02
60,415.69

5132014
8152025
78447FAA1
SLMA_12-E ABS 12-E 144A
 
 
2
 
1,643,811.93

1,648,239.93

1,643,572.24

1,643,732.37

4,507.56

(177.02
)
—

—

0.9108

0.9125

Monthly
                  975.92
18,473.62

11212013
10162023
78448AAA1
SLMA_13-4 ABS 13-4
 
 
2
 
636,092.57

637,708.23

636,092.57

636,092.57

1,615.66

—

—

—

0.7195

0.7206

Monthly
                    86.77
4,903.61

8062013
6252027
78448BAA9
SLMA_13-5 ABS 13-5 A1
 
 
2
 
212,606.86

212,600.49

212,606.86

212,606.86

(6.37
)
—

—

—

0.4162

0.4165

Monthly
                     41.46
1,770.12

9112013
5252018
78448CAF6
SLMA_13-6 ABS 13-6 A2
 
 
2
 
550,000

550,021.99

550,000.00

550,000

21.99

—

—

—

0.6695

0.6704

Monthly
                     61.28
4,142.02

11062013
2252021
78447RAB3
SLMA_13-A ABS 13-A 144A
 
 
2
 
459,870.23

454,797.41

460,000.00

459,911.51

(5,114.1
)
23.57

—

—

1.77

1.7817

Monthly
                   361.87
8,142

2272013
5172027
78447RAA5
SLMA_13-A ABS 13-A 144A
 
 
2
 
469,500.69

470,572.47

470,088.29

469,672.51

899.96

342.49

—

—

0.7608

0.8282

Monthly
                   212.52
4,180.81

11212013
8152022
78447RAC1
SLMA_13-A ABS 13-A 144A
 
 
2
 
2,425,000

2,440,835.25

2,425,000.00

2,425,000

15,835.25

—

—

—

1.2108

1.2138

Monthly
                 1,311.23
29,619.51

2272013
5172027
78447VAB4
SLMA_13-B ABS_13-B-A2A
 
 
2
 
804,859.37

791,025.2

805,000.00

804,893.53

(13,868.33
)
20.34

—

—

1.85

1.8599

Monthly
                   661.89
14,892.6

4252013
6172030
78447VAC2
SLMA_13-B ABS_13-B-A2B
 
 
2
 
615,000

620,965.51

615,000.00

615,000

5,965.51

—

—

—

1.2608

1.2641

Monthly
                  346.20
7,823.54

4252013
5152030
BRSL51FK6
SNADY CREEK ENERGY ASSOC LP SENIOR SECURED TERM NOTES
 
 
 
 
2,322,501.08

2,292,740.38

2,334,171.93

2,324,277.53

(31,537.15
)
4,460.68

—

—

—

0.0715

F-M-A-N
0
240,978.15

12122013
11092020
BRSM2T5A9
SNL FINANCIAL LC SENIOR SECURED TERM NOTES
 
 
 
 
3,811,002.87

3,791,598.39

3,832,297.39

3,815,221.03

(23,622.64
)
5,292.59

—

—

—

0.1155

M-J-S-D
0
88,809.31

1212014
10232018
83367TBH1
SOCIETE GENERALE SA CAPSEC CORP BND 144A
 
F
1
 
3,870,000

3,650,000

4,000,000.00

3,870,577.07

(220,577.07
)
577.07

—

—

6

6.2277

Jan-Jul
0
79,333.34

8272014
12312049
83703EJY2
SOUTH CAROLINA JOBS-ECONOMIC D MUNI BND REV
 
 
1
 
993,750

995,820

1,000,000.00

994,522.32

1,297.68

772.32

—

—

5

5.3181

May-Nov
0
12,500

1062006
11012016
842400GB3
SOUTHERN CALIFORNIA EDISON CO. SECURED CORP BND
 
 
 
 
4,405,808

4,374,504.07

4,400,000.00

4,404,560.44

(30,056.37
)
(1,269.80
)
—

—

1.125

1.0799

May-Nov
0
39,962.5

5062014
5012017
842808AF4
SOUTHERN ELEC SENIOR CORP BND 144A
 
 
 
 
3,333,899.45

3,315,234.86

3,335,000.00

3,334,140.59

(18,905.73
)
220.90

—

—

2.2

2.2069

Jun-Dec
              7,948.42
73,370

11182013
12012018
84650WAD8
SPAREBNK 1 BOLIG LOCAL BND 144A
 
F
 
 
5,486,580

5,621,824.4

5,500,000.00

5,493,363.37

128,461.03

2,553.82

—

—

2.3

2.3501

Jun-Dec
                   351.38
126,500

3292012
6302017
84650WAE6
SPAREBNK 1 BOLIG SECURED LOCAL BND 144A
 
F
 
 
5,854,157

5,790,083.07

5,900,000.00

5,867,468.82

(77,385.75
)
6,323.29

—

—

1.75

1.8690

May-Nov
              13,193.06
103,250

11072012
11152019
84650WAB2
SPAREBNK 1 BOLIG SECURED LOCAL BND 144A
 
F
 
 
7,999,374.1

7,991,724

7,800,000.00

7,881,695.09

110,028.91

(57,581.86
)
—

—

2.625

1.8621

May-Nov
             19,337.50
204,750

12062012
5272016
84861CAA3
SPMF 2014-4A SENIOR CMBS _14-4A A1
 
 
2
 
3,992,636

3,998,706.36

4,000,000.00

3,992,611.94

6,094.42

(24.06
)
—

—

3.5

3.5253

Monthly
0
13,611.11

11212014
1202045
78467MAA1
SRER_11-RS ABS_11-RS A1B1 144A
 
F
2
 
2,965,852.5

2,952,592.09

3,099,834.22

2,986,646.38

(34,054.29
)
23,169.35

—

—

0.4072

7.1023

Monthly
0
2,875.26

11132014
5092046
85571XAL1
SRTP _14-STAR ABS _14-STAR -B
 
 
2
 
2,000,000

2,009,052

2,000,000.00

2,000,000

9,052

—

—

—

1.8108

1.8176

Monthly
0
6,023.41

11072014
11152027
30250GAA6
SSGN_10-S1 CMO_10-S1-1A 144A
 
 
2
 
336,603.3

336,730.54

336,603.30

336,603.3

127.24

(0.01
)
—

—

0.7195

0.7203

Monthly
                    20.50
3,076.86

3052010
2252048
790849AH6
ST JUDE MEDICAL INC CORP BND
 
 
 
 
3,075,420

3,047,073

3,000,000.00

3,040,761.28

6,311.72

(28,115.09
)
—

—

2.5

1.2489

Jan-Jul
            23,055.56
56,250

9192013
1152016
86789MAR8
STA_05-1F STA_05-1F
 
 
2
 
1,601,723.32

1,644,185.2

1,841,844.60

1,605,103.24

39,081.96

(3,876.22
)
—

—

5.75

8.9435

Monthly
0
26,672.57

12312008
12252035
W86201RD9
STADSHYPOTEK AB SECURED LOCAL BND
 
D
 
 
2,045,447.75

2,029,023.31

1,300,000.00

2,045,714.83

(16,691.52
)
382.40

—

(18,953.3
)
0.78525

0.7971

F-M-A-N
              2,533.88
20,337.11

11132013
2152016
855030AL6
STAPLES INC SENIOR CORP BND
 
 
1
 
4,970,658

4,902,887.18

4,900,000.00

4,965,327.01

(62,439.83
)
(5,330.99
)
—

—

2.75

2.2799

Jan-Jul
0
33,687.5

2212013
1122018
BRSJH5B15
STAR WEST GENERATION LLC SENIOR SECURED TERM NOTES
 
 
2
 
824,139.9

819,591.6

827,870.30

824,781.31

(5,189.71
)
2,024.39

—

—

—

0.0709

M-J-S-D
0
(845.06
)
12022013
3132020
855244AF6
STARBUCKS CORP SENIOR CORP BND
 
 
1
 
498,600

497,199.37

500,000.00

498,687.6

(1,488.23
)
87.60

—

—

2

2.0700

Jun-Dec
0
2,500

12022013
12052018
BRSJ08S50
STARWOOD PROPERTY TRUST INC SECURED TERM LOAN
 
 
 
 
3,401,999.74

3,341,533.49

3,414,082.74

3,403,954.47

(62,420.98
)
2,068.25

—

—

—

0.0553

M-J-S-D
0
113,331.01

3192014
4172020
857477AK9
STATE STREET CORP SENIOR CORP BND
 
 
 
 
4,051,931.5

4,014,451.42

4,075,000.00

4,057,280.84

(42,829.42
)
4,967.75

—

—

1.35

1.3699

May-Nov
              5,606.25
54,765

1062014
5152018
85771PAR3
STATOILHYDRO ASA SENIOR CORP BND
 
F
 
 
3,297,594

3,287,075.13

3,300,000.00

3,298,383.28

(11,308.15
)
1,064.65

—

—

1.95

1.9800

May-Nov
             13,780.00
84,879.17

11052013
11082018
85771PAD4
STATOILHYDRO ASA SENIOR CORP BND
 
F
 
 
4,124,260

4,047,963.56

4,000,000.00

4,071,775.56

(23,812
)
(30,929.58
)
—

—

1.8

0.7928

May-Nov
              11,400.00
96,150

4112013
11232016
85771PAJ1
STATOILHYDRO ASA SENIOR CORP BND
 
F
 
 
10,202,467.5

10,021,046.98

10,250,000.00

10,213,213.87

(192,166.89
)
8,337.67

—

—

1.15

1.1950

May-Nov
             13,224.99
113,043.4

4292014
5152018
BRSMDLA59
STENA INTERNATIONAL SARL
 
 
 
 
1,840,137.48

1,644,971.39

1,858,724.73

1,842,221.87

(197,250.48
)
2,224.85

—

—

—

0.1426

M-J-S-D
0
59,160.8

 
 
8628113T1
STRATFORD REC CO LLC MUNITAX BND GO
 
 
 
 
782,955

777,922.5

750,000.00

780,878.65

(2,956.15
)
(2,076.35
)
—

—

2.989

1.8094

Feb-Aug
0
5,604.37

10182013
8152018
BRSM7GLZ9
STS OPERATING
 
 
 
 
798,547.84

790,522.23

802,560.64

799,024.65

(8,502.42
)
507.14

—

—

—

0.0712

M-J-S-D
0
26,855.58

 
 
864425AB9
SUBURBAN HOSP HEALTHCARE SYS I MUNITAX BND REV
 
 
2
 
258,912.36

254,943.36

252,000.00

257,689.17

(2,745.81
)
(1,223.19
)
—

—

7.705

5.5970

Feb-Aug
0
4,854.15

3232005
2152016
BRSMQX4D9
SUNGARD AVAILABILITY SERVICES SENIOR SECURED TERM NOTES
 
 
1
 
1,739,051.54

1,559,269.75

1,741,228.08

1,739,224.85

(179,955.1
)
184.27

—

—

—

0.0268

M-J-S-D
0
47,612.89

7112014
3292019
BRSHJ8GU2
SUNGARD DATA SYSTEMS INC SENIOR SECURED TERM LOAN
 
 
2
 
2,057,452.86

2,047,139.81

2,062,609.38

2,058,761.59

(11,621.78
)
3,810.18

—

—

—

0.0355

J-A-J-O
0
240,426.96

3072013
3082020
W91297AA4
SVENSKA HANDELSBANKEN AB CORP BND
 
D
 
 
1,604,081.6

1,590,237.26

960,000.00

1,600,428.56

(10,191.3
)
(3,653.04
)
—

(10,300.01
)
5.5

0.9820

May
0
4,540.36

12102014
5262016
W94232CA6
SWEDBANK AB SENIOR CORP BND
 
F
 
 
4,991,550

5,037,578.7

5,000,000.00

4,992,909.11

44,669.59

1,359.11

—

—

2.375

2.4111

Feb-Aug
0
100,277.78

2202014
2272019
87020DAL8
SWEDEN KINGDOM CORP BND MTN 144A
 
F
 
 
2,695,518

2,714,714.95

2,700,000.00

2,697,364.37

17,350.58

1,388.40

—

—

1

1.0529

May-Nov
              3,450.00
27,000

8222013
11152016
87165LAA9
SYNCT_14-1 SENIOR ABS _14-1-A
 
 
2
 
904,748.95

901,696.77

905,000.00

904,757.96

(3,061.19
)
9.01

—

—

1.61

1.6250

Monthly
0
1,659.42

11142014
11152020
BRSEM91J4
SYNIVERSE HLDGS SENIOR SEC TERM NOTES
 
 
 
 
2,812,674.91

2,766,507.27

2,841,085.77

2,823,505.86

(56,998.59
)
4,063.69

—

—

—

0.1421

J-A-J-O
0
117,747.22

4202012
4232019
871829AS6
SYSCO CORP SENIOR CORP BND
 
 
1
 
2,995,920

3,015,062.49

3,000,000.00

2,996,113.32

18,949.17

193.32

—

—

2.35

2.3790

Apr-Oct
0
17,429.17

9232014
10022019
871829AT4
SYSCO CORP SENIOR CORP BND
 
 
1
 
7,045,090

7,089,701.36

7,000,000.00

7,045,095.54

44,605.82

5.54

—

—

3

2.8906

Apr-Oct
0
32,916.67

12152014
10022021
874060AB2
TAKEDA PHARMACEUTICAL CO LTD UNSECURED CORP BND 144A
 
F
 
 
6,819,922.5

6,777,322.99

6,750,000.00

6,786,412.34

(9,089.35
)
(16,155.10
)
—

—

1.625

1.3759

Mar-Sep
             41,076.39
132,888.89

3192013
3172017
89236PAD5
TAOT_12-A ABS 12-A
 
 
2
 
749,928.68

751,687.49

750,000.00

749,979.47

1,708.02

20.21

—

—

0.99

0.9946

Monthly
                  330.00
7,425

4112012
8152017
89231NAC7
TAOT_12-B ABS 12-B
 
 
2
 
1,757,041.06

1,757,155.46

1,757,208.18

1,757,168.37

(12.91
)
144.39

—

—

0.46

0.4644

Monthly
                   817.78
14,476.68

9182012
7152016
89236VAC4
TAOT_13-B ABS 13-B A3
 
 
2
 
764,963.51

766,430.52

765,000.00

764,980.88

1,449.64

14.97

—

—

0.89

0.8935

Monthly
                  302.60
6,808.44

9112013
7172017
89231MAC9
TAOT_14-A ABS_14-A A3
 
 
2
 
3,744,307.92

3,735,025.49

3,745,000.00

3,744,543.45

(9,517.96
)
235.53

—

—

0.67

0.6791

Monthly
0
19,655.02

3112014
12152017
89231RAD6
TAOT_14-B SENIOR ABS _14-B-A4
 
 
2
 
9,998,335

9,994,815.8

10,000,000.00

9,998,583.37

(3,767.57
)
248.37

—

—

1.31

1.3185

Monthly
0
70,230.57

6102014
9162019
89190AAD2
TAOT_14-C ABS _14-C-A4
 
 
2
 
2,499,252.75

2,495,411.3

2,500,000.00

2,499,298.45

(3,887.15
)
45.70

—

—

1.44

1.4535

Monthly
0
7,600

10072014
4152020
87609FAA6
TAR HEEL RE LTD UNSEC CORP BND 144A
 
F
 
 
7,000,000

7,385,770

7,000,000.00

7,000,000

385,770

—

—

—

8.5325

8.6252

M-J-S-D
             19,963.47
603,133.74

4022013
5092016
87638TAJ2
TARRANT CNTY TEX CULTURAL ED F MUNI BND REV
 
 
1
 
1,095,910

1,091,210

1,000,000.00

1,085,802.77

5,407.23

(10,107.23
)
—

—

5

0.9084

Feb-Aug
0
12,500

4262007
2152018
BRSE99EZ9
TELESAT CANADA / TELESAT LLC SENIOR SECURED TERM LOAN
 
A
2
 
4,828,874.72

4,786,540.37

4,840,977.16

4,832,350.16

(45,809.79
)
2,638.18

—

—

—

0.0415

M-J-S-D
0
213,775.67

3272013
3282019
87970UAE6
TELOS_14-6A ABS _14-6A-B1 144A
 
F
2
 
2,405,585

2,413,437.08

2,500,000.00

2,406,644.23

6,792.85

1,059.23

—

—

2.3326

2.9893

J-A-J-O
0
4,697.6

10302014
1172027
Z91GFLXY5
TEMSE_1 ABS 1 A
 
D
2
 
649,017.8

631,955.98

404,485.87

649,017.8

(17,061.82
)
—

—

(18,323.21
)
1.40475

1.4087

Monthly
                  435.87
13,586.54

11072013
11212021
BRSPDEXA2
TEREX CORP
 
 
 
 
804,045.46

796,653.88

806,060.61

804,134.12

(7,480.24
)
93.71

—

—

—

0.0358

M-J-S-D
0
8,641.97

 
 
BRSQPSFE8
TERRA-GEN FINANCE CO LLC SENIOR SECURED TERM NOTES
 
 
1
 
710,714.28

707,142.85

714,285.71

710,714.28

(3,571.43
)
—

—

—

—

0.0728

M-J-S-D
0
—

11262014
12092021
88165FAC6
TEVA PHARMACEUTICAL FIN CO. BV CORP BND
 
F
 
 
1,026,840

1,018,469.14

1,000,000.00

1,023,635.75

(5,166.61
)
(3,349.00
)
—

—

2.4

1.1099

May-Nov
              8,500.00
28,166.67

11072011
11102016
88166CAA6
TEVA PHARMACEUTICAL FINANCE II CORP BND
 
F
 
 
3,995,040

4,038,140.8

4,000,000.00

3,999,517.88

38,622.92

1,041.40

—

—

3

3.0270

Jun-Dec
              5,333.33
120,000

6152010
6152015
882117V27
TEXAS A & M UNIVERSITY MUNITAX BND REV
 
 
 
 
1,000,000

1,008,930

1,000,000.00

1,000,000

8,930

—

—

—

1.239

1.2390

Jan-Jul
               6,195.00
12,390

6262012
7012016
88224LAC2
TEXAS CHILDRENS HEALTH PLAN (T MUNITAX BND N/A
 
 
 
 
1,500,000

1,498,050

1,500,000.00

1,500,000

(1,950
)
—

—

—

1.305

1.3050

Apr-Oct
0
815.63

12092014
10012017
88224LAE8
TEXAS CHILDRENS HEALTH PLAN (T MUNITAX BND N/A
 
 
 
 
2,000,000

2,000,000

2,000,000.00

2,000,000

—

—

—

—

2.075

2.0750

Apr-Oct
0
1,729.16

12092014
10012019
882508AR5
TEXAS INSTRUMENTS INCORPORATED CORP BND
 
 
 
 
514,270

510,205

500,000.00

512,045.61

(1,840.61
)
(2,224.39
)
—

—

2.375

0.6100

May-Nov
0
2,968.75

5162011
5162016
882508AX2
TEXAS INSTRUMENTS INCORPORATED SENIOR CORP BND
 
 
 
 
2,320,396.5

2,309,691.8

2,325,000.00

2,321,621.96

(11,930.16
)
1,225.46

—

—

0.875

0.9421

Mar-Sep
0
16,331.51

3052014
3122017
882508AV6
TEXAS INSTRUMENTS INCORPORATED SENIOR CORP BND
 
 
 
 
2,470,300

2,443,033.99

2,500,000.00

2,477,106.95

(34,072.96
)
4,444.74

—

—

1

1.1929

May-Nov
              3,333.33
21,250

5012013
5012018
882723JE0
TEXAS ST MUNI BND GO
 
 
1
 
38,880.1

38,448.9

35,000.00

38,486.08

(37.18
)
(394.02
)
—

—

5

0.5349

Apr-Oct
0
437.5

6072007
4012019
882723JY6
TEXAS ST MUNI BND GO
 
 
1
 
1,071,169.3

1,060,091.1

965,000.00

1,060,391.27

(300.17
)
(10,778.03
)
—

—

5

0.5666

Apr-Oct
0
12,062.5

6072007
4012019
882722AY7
TEXAS ST MUNI BND GO
 
 
 
 
2,726,575

2,693,100

2,500,000.00

2,695,543.77

(2,443.77
)
(31,031.23
)
—

—

5.25

0.2967

Feb-Aug
0
32,812.5

12042008
8012016
882806AT9
TEXAS TECH UNIV MUNI BND REV
 
 
1
 
2,263,420

2,263,220

2,000,000.00

2,248,785.09

14,434.91

(14,634.91
)
—

—

5

1.8515

Feb-Aug
0
25,000

2032009
2152024
88283LEJ1
TEXAS TRANSN COMMN ST HWY FD MUNI BND REV
 
 
1
 
1,105,800

1,096,950

1,000,000.00

1,095,076.7

1,873.3

(10,723.30
)
—

—

5

0.7265

Apr-Oct
0
12,500

9262007
4012019
63902HAA7
THE NATURE CONSESRVANCY MUNI BND REV
 
 
 
 
3,437,400

3,404,580

3,000,000.00

3,415,821.49

(11,241.49
)
(21,578.51
)
—

—

6.3

2.9854

Jan-Jul
0
47,250

6182009
7012019
883556AY8
THERMO FISHER SCIENTIFIC INC CORP BND
 
 
 
 
516,180

511,675

500,000.00

513,268.85

(1,593.85
)
(2,911.15
)
—

—

3.2

0.9002

Mar-Sep
0
4,000

2142011
3012016
883556BA9
THERMO FISHER SCIENTIFIC INC CORP BND
 
 
 
 
1,158,759

1,167,510.15

1,150,000.00

1,158,189.11

9,321.04

(1,091.39
)
—

—

2.25

2.2871

Feb-Aug
              5,525.00
17,437.5

8092011
8152016
883556BB7
THERMO FISHER SCIENTIFIC INC SENIOR CORP BND
 
 
 
 
5,003,150

4,966,389.1

5,000,000.00

5,002,954.63

(36,565.53
)
(195.37
)
—

—

1.85

1.8299

Jan-Jul
0
23,125

8162012
1152018
883556BE1
THERMO FISHER SCIENTIFIC INC SENIOR CORP BND
 
 
 
 
6,824,023.1

6,774,222.44

6,810,000.00

6,823,185.62

(48,963.18
)
(718.15
)
—

—

2.4

2.4130

Feb-Aug
              2,933.33
34,881.67

12162014
2012019
87247CAA1
TICP_14-2A ABS _14-2A-A1A 144A
 
F
1
 
3,720,000

3,712,919.16

3,750,000.00

3,720,146.79

(7,227.63
)
146.79

—

—

1.6811

1.8334

J-A-J-O
0
1,752.7

12172014
7202026
BRSN1NQ83
TIME INC (USA) SENIOR SECURED TERM LOAN
 
 
 
 
2,207,870.68

2,210,658.4

2,230,172.41

2,209,682.3

976.1

1,923.68

—

—

—

0.1441

M-J-S-D
0
45,230.63

4172014
4242021
88732JAS7
TIME WARNER CABLE INC CORP BND
 
 
 
 
1,069,630.2

1,062,747.96

870,000.00

1,067,094.94

(4,346.98
)
(2,535.26
)
—

—

8.25

2.5829

Apr-Oct
0
3,987.5

12082014
4012019
88732JAL2
TIME WARNER CABLE INC CORP BND
 
 
 
 
1,542,151

1,491,774.4

1,300,000.00

1,509,977.93

(18,203.53
)
(32,173.07
)
—

—

6.75

1.9531

Jan-Jul
0
48,993.75

6052014
7012018
88732JAX6
TIME WARNER CABLE INC CORP BND
 
 
1
 
4,156,840

4,261,987.32

4,000,000.00

4,138,618.15

123,369.17

(18,221.85
)
—

—

4.125

3.4666

Feb-Aug
0
143,000

2132014
2152021
880591ER9
TN VLY AUTHORITY AGENCY BND
 
 
 
 
4,947,000

5,104,299.95

5,000,000.00

4,948,174.03

156,125.92

1,174.03

—

—

2.875

2.9990

Mar-Sep
0
36,736.11

9242014
9152024
880591EQ1
TN VLY AUTHORITY SENIOR AGENCY BND
 
 
 
 
2,552,790.6

2,585,442.98

2,565,000.00

2,555,751.48

29,691.5

4,010.53

—

—

1.75

1.8491

Apr-Oct
            22,860.93
76,767.74

9242013
10152018
891145RB2
TORONTO-DOMINION BANK/THE CORP BND 144A
 
A
 
 
5,065,250

5,059,700

5,000,000.00

5,056,746.73

2,953.27

(8,503.27
)
—

—

1.625

0.9498

Mar-Sep
0
20,312.5

12212011
9142016
891145TN4
TORONTO-DOMINION BANK/THE SECURED LOCAL BND 144A
 
A
 
 
5,138,450

5,139,167.49

5,100,000.00

5,135,143.51

4,023.98

(5,220.70
)
—

—

1.5

1.5710

Mar-Sep
              7,200.00
43,395.83

8132014
3132017
89114QAQ1
TORONTO-DOMINION BANK/THE SENIOR CORP BND MTN
 
A
 
 
472,724.75

472,773.15

475,000.00

472,779.31

(6.16
)
1,493.82

—

—

1.125

1.3290

May-Nov
0
15,578.12

12082014
5022017
89114QAG3
TORONTO-DOMINION BANK/THE SENIOR CORP BND MTN
 
A
 
 
2,938,030.2

2,902,505.77

2,940,000.00

2,938,674.1

(36,168.33
)
386.60

—

—

1.4

1.4139

Apr-Oct
              6,974.33
41,160

4232013
4302018
89114QAV0
TORONTO-DOMINION BANK/THE SENIOR CORP BND MTN
 
A
 
 
3,393,914

3,391,276.38

3,400,000.00

3,394,096

(2,819.62
)
182.00

—

—

2.25

2.2881

May-Nov
0
11,900

10302014
11052019
89153UAD3
TOTAL CAPITAL CANADA LTD SENIOR CORP BND
 
A
 
 
2,502,892

2,504,400.08

2,500,000.00

2,501,667.66

2,732.42

(1,224.34
)
—

—

0.6106

0.5469

J-A-J-O
              2,702.27
14,794.31

3252014
1152016
89153VAA7
TOTAL CAPITAL INTERNATIONAL SA CORP BND
 
F
 
 
4,318,693

4,343,138.52

4,325,000.00

4,326,023.73

17,114.79

2,035.22

—

—

1.5

1.5911

Feb-Aug
             18,564.59
53,625

2142012
2172017
89153VAC3
TOTAL CAPITAL INTERNATIONAL SA CORP BND
 
F
 
 
5,739,247.5

5,778,181.04

5,750,000.00

5,744,541.1

33,639.94

2,133.37

—

—

1.55

1.5891

Jun-Dec
                   742.71
89,125

6212012
6282017
89153VAF6
TOTAL CAPITAL INTERNATIONAL SA SENIOR CORP BND
 
F
 
 
199,452

199,686.76

200,000.00

199,702.98

(16.22
)
181.44

—

—

1

1.0931

Feb-Aug
                  772.22
2,000

8052013
8122016
89153VAJ8
TOTAL CAPITAL INTERNATIONAL SA SENIOR CORP BND
 
F
 
 
399,120

398,011.84

400,000.00

399,400.35

(1,388.51
)
280.35

—

—

1

1.0751

Jan-Jul
0
3,844.44

1082014
1102017
89153VAD1
TOTAL CAPITAL INTERNATIONAL SA SENIOR CORP BND
 
F
 
 
2,173,434

2,175,505.25

2,175,000.00

2,174,494.11

1,011.14

471.20

—

—

0.75

0.7720

Jan-Jul
              7,068.75
16,312.5

9182012
1252016
89153VAK5
TOTAL CAPITAL INTERNATIONAL SA TOTAL CAPITAL INTERNATIONAL SA
 
F
 
 
1,998,760

2,001,455.54

2,000,000.00

1,998,854.88

2,600.66

94.88

—

—

2.125

2.1399

Jan-Jul
0
10,625

1082014
1102019
89152UAA0
TOTAL CAPITAL S.A. CORP BND
 
F
 
 
5,126,400

5,094,800

5,000,000.00

5,094,325.81

474.19

(32,074.19
)
—

—

3.125

0.5996

Apr-Oct
0
39,062.5

9252009
10022015
89152UAE2
TOTAL CAPITAL S.A. CORP BND
 
F
 
 
3,074,370

3,052,845

3,000,000.00

3,061,315.3

(8,470.3
)
(13,054.70
)
—

—

2.3

0.5902

Mar-Sep
0
17,250

9082010
3152016
F9208ZKB2
TOTAL CAPITAL S.A. CORP BND MTN
 
D
 
 
1,654,432.94

1,643,299.7

970,000.00

1,652,040.86

(8,741.16
)
(2,392.08
)
—

(10,632.18
)
4.25

1.2673

December
0
3,545.01

12102014
12082017
89152UAG7
TOTAL CAPITAL S.A. SENIOR CORP BND
 
F
 
 
5,998,320

6,039,290.34

6,000,000.00

5,998,765.89

40,524.45

324.82

—

—

2.125

2.1310

Feb-Aug
             49,229.17
127,500

8052013
8102018
BRSM7GUN6
TOWER AUTOMOTIVE HOLDINGS USA SENIOR SECURED TERM NOTES
 
 
 
 
500,781.32

492,653.98

500,156.32

500,734.75

(8,080.77
)
(46.57
)
—

—

—

(0.0215
)
M-J-S-D
0
7,689.54

7092014
4232020
89236RAC3
TOYOTA AUTO RECEIVABLES OWNER ABS_13-A A3
 
 
2
 
3,627,319.97

3,627,886.39

3,627,347.89

3,627,320.94

565.45

3.58

—

—

0.55

0.5507

Monthly
                  949.67
21,304.58

4092013
1172017
89236RAD1
TOYOTA AUTO RECEIVABLES OWNER ABS_13-A A4
 
 
2
 
764,782.82

763,010.87

765,000.00

764,893.76

(1,882.89
)
65.24

—

—

0.69

0.6997

Monthly
                  234.60
5,278.56

4092013
11152018
89236TBD6
TOYOTA MOTOR CREDIT CORP CORP BND
 
 
1
 
2,991,000

2,981,658.12

3,000,000.00

2,992,960.09

(11,301.97
)
1,960.09

—

—

0.75

0.8592

M-J-S-D
0
29,057.29

7232014
3052017
89233P5E2
TOYOTA MOTOR CREDIT CORP CORP BND MTN
 
 
 
 
4,636,515

4,578,339.74

4,500,000.00

4,583,257.5

(4,917.76
)
(30,536.65
)
—

—

2

0.8630

Mar-Sep
            35,333.33
109,972.22

4052013
9152016
89236TAL9
TOYOTA MOTOR CREDIT CORP SENIOR CORP BND
 
 
 
 
4,997,950

4,998,077

5,000,000.00

4,999,053.87

(976.87
)
681.24

—

—

0.8

0.8139

May-Nov
              4,888.90
40,000

5142013
5172016
89236TBP9
TOYOTA MOTOR CREDIT CORP SENIOR CORP BND
 
 
 
 
4,989,750

4,999,765

5,000,000.00

4,990,320.4

9,444.6

570.40

—

—

2.125

2.1699

Jan-Jul
0
26,562.5

7152014
7182019
89236TBH7
TOYOTA MOTOR CREDIT CORP SENIOR CORP BND MTN
 
 
 
 
1,499,205

1,494,946.86

1,500,000.00

1,499,369.01

(4,422.15
)
164.01

—

—

1.125

1.1430

May-Nov
0
10,546.88

5132014
5162017
89236TBB0
TOYOTA MOTOR CREDIT CORP SENIOR CORP BND MTN
 
 
 
 
5,495,325

5,522,100.82

5,500,000.00

5,496,181.86

25,918.96

856.86

—

—

2.1

2.1180

Jan-Jul
0
110,366.67

1142014
1172019
89233P6D3
TOYOTA MOTOR CREDIT CORP SENIOR CORP BND MTN
 
 
 
 
5,883,808

5,862,705.13

5,800,000.00

5,873,017.81

(10,312.68
)
(19,248.62
)
—

—

1.75

1.1119

May-Nov
              4,739.58
67,049.32

2052014
5222017
BRSJ5FFE4
TPF GENERATION HOLDINGS LLC SENIOR SECURED TERM LOAN
 
 
1
 
490,037.5

448,175

492,500.00

490,891.73

(42,716.73
)
557.67

—

—

—

0.1078

J-A-J-O
0
23,898.76

5062013
12312017
89267XAF5
TRADEWYND RE LTD CORP BND 144A
 
F
 
 
500,000

499,900

500,000.00

500,000

(100
)
—

—

—

0.750011

0.7507

J-A-J-O
0
145.84

12052014
1082018
89267XAG3
TRADEWYND RE LTD CORP BND 144A
 
F
 
 
500,000

501,325

500,000.00

500,000

1,325

—

—

—

0.770279

0.7710

J-A-J-O
0
149.78

12052014
1082016
89267XAH1
TRADEWYND RE LTD CORP BND 144A
 
F
 
 
19,250,000

19,261,550

19,250,000.00

19,250,000

11,550

—

—

—

0.775349

0.7761

J-A-J-O
0
5,804.35

12052014
1082018
89289YAB6
TRAMLINE RE II LTD CORP BND 144A
 
F
 
 
1,000,000

1,006,490

1,000,000.00

1,000,000

6,490

—

—

—

9.775349

9.7753

J-A-J-O
0
2,715.37

12042014
1042019
893526DL4
TRANSCANADA PIPELINES LIMITED SENIOR CORP BND
 
A
 
 
1,394,806

1,400,378

1,400,000.00

1,399,709.45

668.55

3,373.11

—

—

0.875

1.0008

Mar-Sep
               8,460.16
23,703.4

2282012
3022015
BRSNBE338
TRANSDIGM INC SENIOR SECURED TERM LOAN
 
 
1
 
3,968,731.21

3,930,978.6

3,987,481.21

3,968,802.65

(37,824.05
)
71.44

—

—

—

0.0720

M-J-S-D
0
27,973.55

11142014
6042021
893830BB4
TRANSOCEAN INC CORP BND
 
F
 
 
3,723,969.59

3,134,790

3,426,000.00

3,710,367.67

(575,577.67
)
(40,657.41
)
—

—

6.375

4.9494

Jun-Dec
             14,095.83
249,814.83

9172014
12152021
BRSMMP9T0
TRANSUNION LLC SENIOR SECURED TERM LOAN
 
 
1
 
2,419,218.74

2,397,997.53

2,425,281.95

2,419,808.38

(21,810.85
)
635.45

—

—

—

0.0355

M-J-S-D
0
66,604.63

3212014
4092021
BRSL5JDW3
TRIBUNE COMPANY SENIOR SECURED TERM NOTES
 
 
 
 
9,460,229.59

9,368,377.64

9,483,939.44

9,463,495.74

(95,118.1
)
5,268.80

—

—

—

0.0355

M-J-S-D
0
385,107.44

11212013
12272020
BRSEQLBQ6
TRICORBRAUN INC SENIOR SECURED TERM LOAN
 
 
 
 
2,422,493.34

2,403,210.78

2,434,666.67

2,427,854.6

(24,643.82
)
2,037.67

—

—

—

0.0828

M-J-S-D
0
100,902.48

4302012
5032018
872882AC9
TSMC GLOBAL LTD SENIOR CORP BND 144A
 
F
 
 
5,711,170.95

5,604,643.35

5,715,000.00

5,712,474.03

(107,830.68
)
750.12

—

—

1.625

1.6390

Apr-Oct
             22,701.25
92,868.76

3272013
4032018
898711Q33
TUCSON ARIZ CTFS PARTN MUNITAX BND GO
 
 
 
 
506,550

505,230

500,000.00

505,965.81

(735.81
)
(584.19
)
—

—

2.139

1.6499

Jan-Jul
0
2,673.75

3222012
7012017
8987968N0
TUCSON ARIZ CTFS PARTN MUNITAX BND REV
 
 
 
 
2,350,846

2,326,171

2,350,000.00

2,350,805.34

(24,634.34
)
(40.66
)
—

—

1.48

1.4699

Jan-Jul
0
8,695

5222013
7012018
BRSG6Z2D1
TURBF_12-3 SENIOR ABS 12-3
 
D
2
 
73,070.55

71,716.85

45,982.35

73,070.55

(1,353.7
)
(0.02
)
—

(1,372.57
)
1.10381

1.1062

Monthly
                  205.53
3,393.56

11132012
11202019
BRSL4ZHF1
TURBF_13-4 SENIOR ABS 13-4 A
 
D
2
 
1,031,320.02

1,006,238.71

644,796.66

1,031,320.02

(25,081.31
)
(288.98
)
—

(25,920.83
)
1.08538

1.0878

Monthly
                  567.94
17,280.94

11082013
1202021
BRSPQCUZ0
TURBF_5 ABS 5 A
 
D
2
 
1,427,140

1,372,455.59

880,000.00

1,427,140

(54,684.41
)
—

—

(55,000
)
0.97381

0.9758

Monthly
0
4,610

9162014
8202021
902133AQ0
TYCO ELECTRONICS GROUP SA SENIOR CORP BND
 
F
1
 
1,634,149.8

1,627,515.69

1,635,000.00

1,634,217.62

(6,701.93
)
67.82

—

—

2.35

2.3611

Feb-Aug
0
16,116.11

7282014
8012019
902494AW3
TYSON FOODS INC SENIOR CORP BND
 
 
1
 
1,998,680

2,015,699.92

2,000,000.00

1,998,781.93

16,917.99

101.93

—

—

2.65

2.6641

Feb-Aug
0
21,052.78

8052014
8152019
BRSPC8H22
UAL_12-2A SENIOR SECURED TERM LOAN
 
 
1
 
3,375,000

3,387,784.09

3,409,090.91

3,376,215.46

11,568.63

1,215.46

—

—

—

0.1425

M-J-S-D
0
26,278.41

8062014
9152021
90261XHC9
UBS AG (STAMFORD BRANCH) SENIOR CORP BND MTN
 
 
 
 
3,887,442

3,875,641.38

3,900,000.00

3,889,007.1

(13,365.72
)
2,826.35

—

—

1.375

1.4851

Feb-Aug
0
36,830.9

8112014
8142017
G918UHAA3
UBS AG JERSEY BRANCH CORP BND EMTN
 
D
1
 
822,265.02

819,885.61

450,000.00

820,810.87

(925.26
)
(1,572.65
)
—

(5,646.17
)
6.375

2.7631

November
0
3,202.89

12042014
11192024
G916E2AB6
UBS AG, LONDON BRANCH CORP BND EMTN
 
D
 
 
2,009,790.42

1,988,508.56

1,180,000.00

2,002,736.49

(14,227.93
)
(7,760.21
)
—

(15,232.12
)
6.375

1.1107

July
0
9,618.49

12032014
7202016
90349CAB0
UBS AG, LONDON BRANCH SENIOR CORP BND 144A
 
F
 
 
1,994,860

1,997,960.06

2,000,000.00

1,997,879.48

80.58

1,713.25

—

—

0.75

0.8371

Mar-Sep
               4,041.67
15,000

3212013
3242016
90264AAA7
UBS PD FD TST IV CORP BND
 
 
1
 
5,206,250

5,162,550.35

5,000,000.00

5,206,250

(43,699.65
)
—

—

—

6.243

5.9957

May-Nov
0
40,752.91

11102014
1019999
90270YBD0
UBSBB_13-C5 PRELCF SENIOR CMBS_13-C5-A2
 
 
2
 
1,368,685.5

1,365,644.88

1,355,000.00

1,368,002.44

(2,357.56
)
(683.06
)
—

—

2.1365

1.9330

Monthly
0
7,639.45

9232014
3102046
904764AL1
UNILEVER CAPITAL CORP SENIOR CORP BND
 
 
 
 
523,330

511,418

500,000.00

511,566.96

(148.96
)
(23,666.94
)
—

—

2.75

0.6522

Feb-Aug
             14,002.09
32,633.33

11062013
2102016
904764AQ0
UNILEVER CAPITAL CORP SENIOR CORP BND
 
 
 
 
2,616,071.25

2,648,452.21

2,625,000.00

2,619,797.58

28,654.63

9,143.11

—

—

2.2

2.4240

Mar-Sep
             48,315.97
113,529.17

9112013
3062019
904764AP2
UNILEVER CAPITAL CORP SENIOR CORP BND
 
 
 
 
5,065,740

5,062,912.06

5,125,000.00

5,085,296.21

(22,384.15
)
22,742.85

—

—

0.85

1.0940

Feb-Aug
              31,310.69
63,627.81

7302012
8022017
BRSMNJ591
UNILEVER PLC SENIOR CORP BND EMTN
 
D
 
 
629,791.5

607,621.4

380,000.00

630,091.06

(22,469.66
)
373.55

—

(39,220.82
)
2

2.0630

December
0
12,116.23

3192014
12192018
907818DA3
UNION PACIFIC CORPORATION CORP BND
 
 
 
 
1,999,631.7

1,987,162.47

1,749,000.00

1,983,834.11

3,328.36

(15,797.59
)
—

—

5.7

1.8501

Feb-Aug
0
24,923.25

12052012
8152018
G9T44MEB4
UNITED KINGDOM GILT GOVT BND
 
D
 
 
5,144,272.79

4,969,604.18

3,160,000.00

5,146,311.69

(176,707.51
)
40,651.31

—

(232,705.66
)
1

1.1072

Mar-Sep
              10,448.13
110,514.7

10242014
9072017
G92451GE0
UNITED KINGDOM GILT GOVT BND
 
D
 
 
13,203,783.91

12,912,012.81

8,075,000.00

13,186,797.54

(274,784.73
)
(55,804.78
)
—

(325,140.1
)
1.75

0.6968

Jan-Jul
           128,126.96
132,557.89

12152014
1222017
G92450YY8
UNITED KINGDOM GILT GOVT BND
 
D
 
 
19,015,291.88

18,900,954.07

11,440,000.00

18,972,896.45

(71,942.38
)
(824,323.83
)
—

(93,046.23
)
4

0.5026

Mar-Sep
         759,668.82
1,055,914.87

12152014
9072016
912828TB6
UNITED STATES TREASURY GOVT BND
 
 
 
 
905,440.52

896,481

900,000.00

902,758.38

(6,277.38
)
60.94

—

—

0.75

0.6259

Jun-Dec
                   134.67
29,959.64

7132012
6302017
912828A34
UNITED STATES TREASURY GOVT BND
 
 
 
 
986,480

992,659.99

1,000,000.00

987,286.84

5,373.15

806.84

—

—

1.25

1.5865

May-Nov
0
3,148.08

12052013
11302018
912828SD3
UNITED STATES TREASURY GOVT BND
 
 
 
 
1,479,731.59

1,485,585.02

1,500,000.00

1,483,155.48

2,429.54

10,600.70

—

—

1.25

1.5349

Jan-Jul
             15,692.93
45,889.2

2202014
1312019
912828TD2
UNITED STATES TREASURY GOVT BND
 
 
 
 
1,997,194.2

2,001,280

2,000,000.00

1,999,354.63

1,925.37

9,027.65

—

—

0.25

0.3101

Jan-Jul
             18,478.26
30,240.15

3112013
7152015
912828TG5
UNITED STATES TREASURY GOVT BND
 
 
 
 
2,184,108.93

2,174,568.04

2,200,000.00

2,191,731.64

(17,163.6
)
16,430.90

—

—

0.5

0.6470

Jan-Jul
             15,065.22
27,149.19

7302012
7312017
912828SC5
UNITED STATES TREASURY GOVT BND
 
 
 
 
2,405,806.47

2,407,224.07

2,400,000.00

2,403,261.55

3,962.52

(5,567.94
)
—

—

0.875

0.8346

Jan-Jul
             68,107.33
100,396.74

11222013
1312017
912828UU2
UNITED STATES TREASURY GOVT BND
 
 
 
 
2,555,361.39

2,559,985.98

2,600,000.00

2,558,711.95

1,274.03

4,960.81

—

—

0.75

1.2510

Mar-Sep
0
7,834.46

12302014
3312018
912828SJ0
UNITED STATES TREASURY GOVT BND
 
 
 
 
3,003,642.86

3,007,500.24

3,000,000.00

3,002,317.19

5,183.05

(1,057.28
)
—

—

0.875

0.8388

Feb-Aug
               8,919.20
26,250

9272013
2282017
912828TC4
UNITED STATES TREASURY GOVT BND
 
 
 
 
2,896,890

2,927,219.91

3,000,000.00

2,902,179.44

25,040.47

5,861.92

—

—

1

1.7572

Jun-Dec
0
8,274.83

5062014
6302019
912828UB4
UNITED STATES TREASURY GOVT BND
 
 
 
 
2,875,320

2,909,880.05

3,000,000.00

2,881,212.27

28,667.78

5,892.27

—

—

1

1.8470

May-Nov
0
7,555.39

5062014
11302019
912828VW7
UNITED STATES TREASURY GOVT BND
 
 
 
 
3,022,265.4

3,014,880.06

3,000,000.00

3,012,903.54

1,976.52

(7,519.91
)
—

—

0.875

0.6205

Mar-Sep
               7,831.49
26,250

11222013
9152016
912828WB2
UNITED STATES TREASURY GOVT BND
 
 
 
 
3,543,091.17

3,546,354.6

3,546,000.00

3,544,781.05

1,573.55

2,840.39

—

—

0.25

0.2916

Apr-Oct
              5,585.99
14,468.59

11222013
10312015
912828TH3
UNITED STATES TREASURY GOVT BND
 
 
 
 
3,747,053.43

3,778,865.89

3,900,000.00

3,754,283.41

24,582.48

7,229.98

—

—

0.875

1.7267

Jan-Jul
0
8,067.59

10032014
7312019
912828RP7
UNITED STATES TREASURY GOVT BND
 
 
 
 
4,029,080

4,051,239.92

4,000,000.00

4,027,329.49

23,910.43

(1,750.51
)
—

—

1.75

1.5654

Apr-Oct
0
17,695.46

4022013
10312018
912828VG2
UNITED STATES TREASURY GOVT BND
 
 
 
 
4,492,291.53

4,492,649.01

4,490,000.00

4,491,759.96

889.05

(6,816.74
)
—

—

0.5

0.4728

Jun-Dec
0
134,255.71

9022014
6152016
912828SE1
UNITED STATES TREASURY GOVT BND
 
 
 
 
4,977,946.44

5,000,850

5,000,000.00

4,999,096.6

1,753.4

36,564.94

—

—

0.25

0.3980

Feb-Aug
             47,970.10
64,184.72

2222012
2152015
912828WD8
UNITED STATES TREASURY GOVT BND
 
 
 
 
5,059,177.24

5,067,105.15

5,100,000.00

5,068,288.82

(1,183.67
)
10,760.11

—

—

1.25

1.4174

Apr-Oct
              23,271.41
113,207.9

11082013
10312018
912828TM2
UNITED STATES TREASURY GOVT BND
 
 
 
 
5,623,835.51

5,644,139.83

5,700,000.00

5,645,514.42

(1,374.59
)
33,789.77

—

—

0.625

0.7006

Feb-Aug
             18,475.48
53,152.43

12272013
8312017
912828QF0
UNITED STATES TREASURY GOVT BND
 
 
 
 
8,580,178.75

8,369,658

8,200,000.00

8,367,735.57

1,922.43

(122,764.48
)
—

—

2

0.4590

Apr-Oct
             27,403.31
160,663.34

5042011
4302016
912828RE2
UNITED STATES TREASURY GOVT BND
 
 
 
 
8,370,140.62

8,439,732

8,400,000.00

8,378,235.9

61,496.1

19,963.17

—

—

1.5

1.5729

Feb-Aug
           141,573.04
321,702.96

2272014
8312018
912828VE7
UNITED STATES TREASURY GOVT BND
 
 
 
 
8,863,945.31

8,911,080.09

9,000,000.00

8,904,782.56

6,297.53

38,557.97

—

—

1

1.3176

May-Nov
             20,921.84
150,342.84

6252013
5312018
912828RH5
UNITED STATES TREASURY GOVT BND
 
 
 
 
9,186,523.44

9,190,984

9,200,000.00

9,185,524.28

5,459.72

(4,054.41
)
—

—

1.375

1.2843

Mar-Sep
            93,974.08
98,235.62

10092013
9302018
912828WT3
UNITED STATES TREASURY GOVT BND
 
 
 
 
10,312,506.18

10,334,681.69

10,350,000.00

10,315,021.11

19,660.58

3,697.22

—

—

0.875

1.0126

Jan-Jul
0
24,856.66

12242014
7152017
912828G46
UNITED STATES TREASURY GOVT BND
 
 
 
 
11,639,533.2

11,620,875

11,650,000.00

11,639,880.84

(19,005.84
)
463.15

—

—

0.5

0.5457

May-Nov
0
5,116.76

12042014
11302016
912828VC1
UNITED STATES TREASURY GOVT BND
 
 
 
 
12,169,530.17

12,193,948.5

12,225,000.00

12,189,703.29

4,245.21

66,562.58

—

—

0.25

0.7056

May-Nov
              7,790.05
59,914.2

9022014
5152016
912828UE8
UNITED STATES TREASURY GOVT BND
 
 
 
 
13,559,058.67

13,452,304.14

13,600,000.00

13,563,428.71

(111,124.57
)
7,621.32

—

—

0.75

0.8534

Jun-Dec
                   621.55
187,402.75

11282014
12312017
912828WM8
UNITED STATES TREASURY GOVT BND
 
 
 
 
14,976,579.3

14,988,300

15,000,000.00

14,982,412.59

5,887.41

6,644.39

—

—

0.375

0.4584

May-Nov
0
30,090.28

7212014
5312016
912828TR1
UNITED STATES TREASURY GOVT BND
 
 
 
 
15,037,978.16

15,050,056.19

15,475,000.00

15,046,836.1

3,220.09

10,352.38

—

—

1

1.6080

Mar-Sep
0
18,383.93

11242014
9302019
912828UZ1
UNITED STATES TREASURY GOVT BND
 
 
 
 
15,851,250

15,673,759.84

16,000,000.00

15,899,506.51

(225,746.67
)
77,730.56

—

—

0.625

0.8167

Apr-Oct
              41,961.33
186,769.51

5102013
4302018
912828SY7
UNITED STATES TREASURY GOVT BND
 
 
 
 
16,601,962

16,653,184.5

16,750,000.00

16,624,828.07

28,356.43

26,792.77

—

—

0.625

0.9390

May-Nov
0
55,043.36

9102014
5312017
912828TW0
UNITED STATES TREASURY GOVT BND
 
 
 
 
16,793,663.04

16,857,880.17

17,000,000.00

16,812,015.18

45,864.99

42,594.29

—

—

0.75

1.1572

Apr-Oct
              8,477.90
91,346.1

9302014
10312017
912828UR9
UNITED STATES TREASURY GOVT BND
 
 
 
 
17,810,989.47

17,827,784.55

18,080,000.00

17,856,085.5

(28,300.95
)
56,197.35

—

—

0.75

1.1839

Feb-Aug
             35,931.63
147,177.81

6022014
2282018
912828WF3
UNITED STATES TREASURY GOVT BND
 
 
 
 
18,968,117.56

18,947,725.82

18,950,000.00

18,966,940.96

(19,215.14
)
(1,466.19
)
—

—

0.625

0.5796

May-Nov
              6,248.27
17,924.62

11142014
11152016
912828VQ0
UNITED STATES TREASURY GOVT BND
 
 
 
 
19,507,979.77

19,541,951.02

19,523,600.00

19,506,385.67

35,565.35

45,575.24

—

—

1.375

1.2913

Jan-Jul
          249,841.98
492,956.95

12302014
7312018
912828TS9
UNITED STATES TREASURY GOVT BND
 
 
 
 
19,392,155.88

19,403,198.42

19,620,000.00

19,439,382.35

(36,183.93
)
62,605.59

—

—

0.625

1.0265

Mar-Sep
             30,819.02
151,347.36

7232014
9302017
912828RM4
UNITED STATES TREASURY GOVT BND
 
 
 
 
20,654,595.78

20,746,465.79

20,600,000.00

20,621,540.34

124,925.45

(111,188.71
)
—

—

1

0.9422

Apr-Oct
           153,201.66
506,054.39

9062013
10312016
912828UA6
UNITED STATES TREASURY GOVT BND
 
 
 
 
20,647,856.64

20,623,284.62

20,900,000.00

20,655,418.89

(32,134.27
)
15,083.69

—

—

0.625

1.0404

May-Nov
              8,752.75
83,455.88

12112014
11302017
912828UJ7
UNITED STATES TREASURY GOVT BND
 
 
 
 
26,833,580.52

26,776,439.19

27,000,000.00

26,837,984.06

(61,544.87
)
41,408.86

—

—

0.875

1.0712

Jan-Jul
            62,248.64
105,399.82

12152014
1312018
912828RU6
UNITED STATES TREASURY GOVT BND
 
 
 
 
28,754,693.63

28,673,904.15

28,550,000.00

28,692,804.29

(18,900.14
)
(32,561.76
)
—

—

0.875

0.6410

May-Nov
              26,115.39
207,199.42

11122014
11302016
912828SM3
UNITED STATES TREASURY GOVT BND
 
 
 
 
29,364,216.48

29,326,725.08

29,200,000.00

29,358,957.03

(32,231.95
)
(7,164.07
)
—

—

1

0.6901

Mar-Sep
            33,853.02
60,436.12

12302014
3312017
912828WA4
UNITED STATES TREASURY GOVT BND
 
 
 
 
40,006,317.2

40,010,800

40,000,000.00

40,006,225.19

4,574.81

(92.01
)
—

—

0.625

0.6162

Apr-Oct
0
6,868.13

12192014
10152016
912828RF9
UNITED STATES TREASURY GOVT BND
 
 
 
 
50,388,892.13

50,309,140.5

49,950,000.00

50,202,391.52

106,748.98

(172,688.05
)
—

—

1

0.8164

Feb-Aug
          210,832.86
610,504.96

8272014
8312016
912828QX1
UNITED STATES TREASURY GOVT BND
 
 
 
 
68,538,985.82

67,908,849.33

66,900,000.00

67,431,795.89

477,053.44

(332,698.53
)
—

—

1.5

0.9942

Jan-Jul
         429,358.69
1,005,836.2

8162011
7312016
912828SS0
UNITED STATES TREASURY GOVT BOND
 
 
 
 
11,585,839.31

11,512,536.04

11,500,000.00

11,548,741.06

(36,205.02
)
(18,201.53
)
—

—

0.875

0.6912

Apr-Oct
              17,234.12
129,954.99

3132013
4302017
913017BX6
UNITED TECHNOLOGIES CORPORATN SENIOR CORP BND
 
 
 
 
2,800,000

2,804,900.08

2,800,000.00

2,800,000

4,900.08

(20,481.28
)
—

—

0.7336

0.7336

M-J-S-D
               4,912.55
57,107.02

5242012
6012015
913017BU2
UNITED TECHNOLOGIES CORPORATN SENIOR CORP BND
 
 
 
 
9,706,645.1

9,846,880.93

9,715,000.00

9,710,870.96

136,009.97

 
 
 
 
 
 
 
 
 
 
91324PBY7
UNITEDHEALTH GROUP INCORPORATE SENIOR CORP BND
 
 
 
 
499,700

499,615.29

500,000.00

499,725.66

(110.37
)
25.66

—

—

1.4

1.4202

Apr-Oct
0
1,750

10172012
10152017
91412GUW3
UNIVERSITY CALIFORNIA MUNITAX BND REV
 
 
 
 
2,600,000

2,649,270

2,600,000.00

2,600,000

49,270

—

—

—

2.364

2.3640

May-Nov
0
44,561.4

4042014
5152019
914353UQ8
UNIVERSITY ILL MUNI BND REV
 
 
1
 
1,062,290

1,053,810

1,000,000.00

1,051,742.22

2,067.78

(10,547.78
)
—

—

5

0.8209

Apr-Oct
0
12,500

9142006
4012017
914353ZH3
UNIVERSITY ILL MUNI BND REV
 
 
1
 
5,689,300

5,717,950

5,000,000.00

5,671,071.54

46,878.46

(18,228.46
)
—

—

5

3.1400

Apr-Oct
0
62,500

9112013
4012028
914440LQ3
UNIVERSITY MASS BLDG AUTH MUNITAX BND REV
 
 
 
 
995,610

982,870

1,000,000.00

995,879.72

(13,009.72
)
269.72

—

—

1.333

1.4439

May-Nov
0
3,332.5

3082013
11012018
914455KX7
UNIVERSITY MICH UNIV REVS MUNITAX BND REV
 
 
 
 
3,500,000

3,513,125

3,500,000.00

3,500,000

13,125

—

—

—

1.754

1.7540

Apr-Oct
             15,347.50
61,390

10282010
4012015
914713K27
UNIVERSITY N C CHAPEL HILL MUNITAX BND REV
 
 
 
 
500,000

500,950

500,000.00

500,000

950

—

—

—

1.317

1.3170

Jun-Dec
0
1,499.92

9252014
12012017
914713G63
UNIVERSITY N C CHAPEL HILL MUNITAX BND REV
 
 
 
 
1,000,000

1,006,030

1,000,000.00

1,000,000

6,030

—

—

—

1.225

1.2250

Jun-Dec
               1,020.83
12,250

6282012
12012016
914713J94
UNIVERSITY N C CHAPEL HILL MUNITAX BND REV
 
 
 
 
1,000,000

997,200

1,000,000.00

1,000,000

(2,800
)
—

—

—

0.759

0.7590

Jun-Dec
0
1,728.83

9252014
12012016
914682AM1
UNIVERSITY N MEX UNIV REVS MUNITAX BND REV
 
 
1
 
1,465,970.7

1,478,410.95

1,455,000.00

1,455,000

23,410.95

(10,970.70
)
—

—

7.8

7.8000

Jun-Dec
0
28,372.5

1222001
6302020
91523NFB7
UNIVERSITY OF WASHINGTON MUNI BND REV
 
 
1
 
390,540.5

389,070.5

350,000.00

387,345.94

1,724.56

(3,194.56
)
—

—

5

1.2599

Jun-Dec
0
4,375

12052008
12012021
BRSJE18C7
UNIVISION COMMUNICATIONS INC SENIOR SECURED TERM LOAN
 
 
 
 
6,177,938.28

6,065,376.95

6,189,160.15

6,180,445.45

(115,068.5
)
1,673.92

—

—

—

0.0268

M-J-S-D
0
252,555.72

6052013
3012020
BRSM1V101
UNIVISION COMMUNICATIONS INC SENIOR SECURED TERM NOTES
 
 
 
 
1,932,851.91

1,925,664.86

1,964,964.15

1,936,904.77

(11,239.91
)
4,116.76

—

—

—

0.2744

M-J-S-D
0
53,735.35

4012014
3012020
90323WAA8
URSA RE LTD CORP BND 144A
 
F
 
 
1,250,000

1,249,787.5

1,250,000.00

1,250,000

(212.5
)
—

—

—

3.510139

3.7854

M-J-S-D
0
3,726.52

11142014
12072017
90323WAB6
URSA RE LTD CORP BND 144A
 
F
 
 
1,250,000

1,251,962.5

1,250,000.00

1,250,000

1,962.5

—

—

—

—

—

M-J-S-D
0
—

11142014
12072017
BRSLYQE12
US AIRWAYS INC SENIOR SECURED TERM NOTES
 
 
 
 
4,604,685.88

4,538,682.45

4,622,888.36

4,607,304.22

(68,621.77
)
2,819.75

—

—

—

0.0758

M-J-S-D
0
52,698.85

4062014
5232019
91159HHF0
US BANCORP SENIOR CORP BND MTN
 
 
1
 
1,350,000

1,354,603.45

1,350,000.00

1,350,000

4,603.45

—

—

—

0.7221

0.7221

F-M-A-N
               1,500.88
9,882.53

11042013
11152018
91159HHE3
US BANCORP SENIOR CORP BND MTN
 
 
1
 
4,993,800

5,007,994.85

5,000,000.00

4,995,177.77

12,817.08

1,203.32

—

—

1.95

1.9760

May-Nov
             14,625.00
97,500

11042013
11152018
90331HMH3
US BANK NA/CINCINNATI OH SENIOR CORP BND
 
 
1
 
3,997,760

3,981,645.52

4,000,000.00

3,997,987.02

(16,341.5
)
227.02

—

—

1.375

1.3941

Mar-Sep
0
16,805.56

9082014
9112017
90331HMJ9
US BANK NA/CINCINNATI OH SENIOR CORP BND
 
 
1
 
6,000,000

5,996,520.06

6,000,000.00

6,000,000

(3,479.94
)
—

—

—

0.43885

0.4389

M-J-S-D
0
8,127.41

9082014
9112017
90331HMC4
US BANK NA/CINCINNATI OH SENIOR CORP BND
 
 
1
 
6,249,062.5

6,224,497.82

6,250,000.00

6,249,347.14

(24,849.32
)
330.62

—

—

1.1

1.1051

Jan-Jul
0
73,447.91

1272014
1302017
90331HML4
US BANK NATIONAL ASSOCIATION SENIOR CORP BND
 
 
1
 
13,702,656.5

13,633,125.57

13,715,000.00

13,703,076.49

(69,950.92
)
419.99

—

—

2.125

2.1441

Apr-Oct
0
51,002.66

10232014
10282019
BRSLNVTL3
US RENAL CARE INC
 
 
 
 
2,495,770.86

2,483,256.04

2,517,876.85

2,499,553.85

(16,297.81
)
4,036.74

—

—

—

0.1599

M-J-S-D
0
131,941.61

 
 
91802RAT6
UTILITY DEBT SECURITIZATION AU MUNITAX BND REV
 
 
 
 
1,986,780

2,017,280

2,000,000.00

1,987,360.7

29,919.3

580.70

—

—

2.042

2.1474

Jun-Dec
0
10,210

12122013
6152021
92867MAC4
VALET_13-1 ABS 13-1
 
 
2
 
5,527,056.79

5,522,341.22

5,527,371.29

5,527,239.05

(4,897.83
)
104.75

—

—

0.56

0.5624

Monthly
                  973.62
31,836.26

2212013
8212017
92867PAC7
VALET_13-2 ABS_13-2 A3
 
 
2
 
4,044,066.83

4,032,368.32

4,045,000.00

4,044,462.81

(12,094.49
)
371.40

—

—

0.7

0.7098

Monthly
                   865.18
28,314.96

11062013
4202018
92867PAD5
VALET_13-2 ABS_13-2 A4
 
 
2
 
5,279,070.19

5,257,237.97

5,280,000.00

5,279,320.46

(22,082.49
)
239.81

—

—

1.16

1.1672

Monthly
                1,871.46
61,247.88

11062013
3202020
92867RAC3
VALET_14-1 ABS_14-1 A3
 
 
2
 
4,484,116.46

4,460,133.9

4,485,000.00

4,484,328.4

(24,194.5
)
211.94

—

—

0.91

0.9190

Monthly
0
27,322.41

4232014
10222018
922764AA3
VENTERRA RE LTD CORP BND 144A
 
F
 
 
7,500,000

7,650,825

7,500,000.00

7,500,000

150,825

—

—

—

3.75

3.7675

M-J-S-D
                  793.93
285,925.9

12202013
1092017
92329JAE9
VENTR_12-12A ABS_ 12-12A C1
 
F
2
 
1,165,800

1,147,666.17

1,200,000.00

1,167,001.7

(19,335.53
)
1,201.70

—

—

3.0856

3.6234

F-M-A-N
0
8,849.71

10022014
2282024
BRSNY4KA0
VERIFONE INC SENIOR SECURED TERM NOTES
 
 
 
 
425,362.51

422,333.67

427,500.01

425,498.41

(3,164.74
)
141.26

—

—

—

0.0710

M-J-S-D
0
6,698.74

7012014
7082021
92343VBD5
VERIZON COMMUNICATIONS INC CORP BND
 
 
 
 
5,817,062.96

5,789,630.81

5,710,000.00

5,795,607.99

(5,977.18
)
(16,738.58
)
—

—

2

1.0311

May-Nov
              2,366.67
39,200

4112013
11012016
BRSNJTYY5
VERIZON COMMUNICATIONS INC SENIOR CORP BND
 
O
 
 
679,528.55

678,916.16

400,000.00

679,278.77

(362.61
)
(249.78
)
—

(4,371.69
)
4.073

3.0357

June
0
1,400.99

12102014
6182024
92343VBL7
VERIZON COMMUNICATIONS INC SENIOR CORP BND
 
 
 
 
1,500,000

1,527,195.06

1,500,000.00

1,500,000

27,195.06

—

—

—

1.7706

1.7706

M-J-S-D
               1,674.36
37,488.51

9112013
9152016
92343VBQ6
VERIZON COMMUNICATIONS INC SENIOR CORP BND
 
 
 
 
1,669,099.99

1,698,432.49

1,564,000.00

1,660,265.54

38,166.95

(76,394.07
)
—

—

4.5

3.3065

Mar-Sep
          132,522.38
359,978

6022014
9152020
92343VBF0
VERIZON COMMUNICATIONS INC SENIOR CORP BND
 
 
 
 
2,245,230

2,215,913.53

2,250,000.00

2,247,256.16

(31,342.63
)
948.17

—

—

1.1

1.1439

May-Nov
                4,125.01
24,750

11022012
11012017
92343VCG7
VERIZON COMMUNICATIONS INC SENIOR CORP BND 144A
 
 
 
 
9,255,200

9,164,318.72

9,200,000.00

9,251,794.46

(87,475.74
)
(3,405.54
)
—

—

2.625

2.5075

Feb-Aug
0
87,208.33

8212014
2212020
BRSHX96A9
VERTAFORE INC SENIOR SECURED TERM NOTES
 
 
 
 
2,846,719.35

2,829,065.06

2,852,599.00

2,848,297.77

(19,232.71
)
903.16

—

—

—

0.0313

M-J-S-D
0
123,158.71

4032013
10032019
BRSHKZ9A2
VEYANCE TECHNOLOGIES INC SENIOR SECURED TERM LOAN
 
 
 
 
4,522,791.67

4,585,927.1

4,591,666.68

4,550,175.03

35,752.07

19,814.60

—

—

—

0.3310

M-J-S-D
0
266,222.97

3062013
9152017
92553PAH5
VIACOM INC CORP BND
 
 
 
 
513,455

509,812.13

500,000.00

511,923.52

(2,111.39
)
(1,531.48
)
—

—

2.5

1.2601

Jun-Dec
0
3,125

12072011
12152016
92553PAV4
VIACOM INC SENIOR CORP BND
 
 
 
 
1,002,560

987,720.03

1,000,000.00

1,002,421.21

(14,701.18
)
(138.79
)
—

—

2.2

2.1401

Apr-Oct
0
5,500

3042014
4012019
92553PAY8
VIACOM INC SENIOR CORP BND
 
 
1
 
999,860

1,006,536.25

1,000,000.00

999,861.48

6,674.77

1.48

—

—

2.75

2.7530

Jun-Dec
0
1,604.17

12032014
12152019
BRSHC8K00
VIRGIN MEDIA INV
 
 
 
 
5,318,750

5,233,470.2

5,320,000.00

5,318,986.3

(85,516.1
)
733.91

—

—

—

0.0035

Apr-Oct
0
249,615.16

 
 
927781GU2
VIRGINIA COLLEGE BLDG AUTH VA MUNI BND REV
 
 
1
 
6,594,258.3

6,572,763.05

6,055,000.00

6,547,697.12

25,065.93

(46,561.18
)
—

—

4.5

1.3768

Mar-Sep
0
68,118.75

9162013
9012027
927804FM1
VIRGINIA ELECTRIC AND POWER CO SENIOR CORP BND
 
 
1
 
4,008,660

3,929,408.56

4,000,000.00

4,005,447.35

(76,038.79
)
(1,082.89
)
—

—

1.2

1.1526

Jan-Jul
            33,200.00
65,133.33

12052014
1152018
92812QWJ2
VIRGINIA ST HSG DEV AUTH MUNITAX BND REV
 
 
1
 
3,439,440

3,395,160

3,000,000.00

3,406,815.81

(11,655.81
)
(32,624.19
)
—

—

6.32

1.7784

May-Nov
0
47,400

3252009
11012019
92817SJX7
VIRGINIA ST PUB SCH AUTH MUNI BND REV
 
 
 
 
749,495.5

739,271

650,000.00

743,068.5

(3,797.5
)
(6,427.00
)
—

—

5

0.9287

Feb-Aug
0
8,125

11262008
8012018
G93882GC9
VODAFONE GROUP PLC SENIOR CORP BND
 
D
 
 
1,231,712.67

1,223,388.75

710,000.00

1,229,590.21

(6,201.46
)
(2,122.46
)
—

(7,913.38
)
5.375

1.7090

December
0
3,281.66

12102014
12052017
92857WBB5
VODAFONE GROUP PLC SENIOR CORP BND
 
F
 
 
5,000,000

4,998,849.85

5,000,000.00

5,000,000

(1,150.15
)
—

—

—

0.61685

0.6169

F-M-A-N
              6,787.63
49,993.79

2112013
2192016
92857WAY6
VODAFONE GROUP PLC SENIOR CORP BND
 
F
 
 
8,789,750.97

8,718,796.78

8,867,000.00

8,800,570.31

(81,773.53
)
7,861.87

—

—

1.25

1.3141

Mar-Sep
             12,755.73
63,962.5

9202012
9262017
92867TAD7
VOLKSWAGEN AUTO LOAN ENHANCED ABS _14-2-A4
 
 
2
 
4,299,269

4,262,499.66

4,300,000.00

4,299,304.85

(36,805.19
)
35.85

—

—

1.39

1.3987

Monthly
0
11,455.92

10152014
5202021
BRSESZBW0
VOLKSWAGEN FIN SERV N.V.
 
 
 
 
1,223,462.35

1,179,830

750,000.00

1,209,738.13

(29,908.13
)
(11,091.12
)
—

(33,472.82
)
2

1.2709

Apr-Oct
               5,891.85
30,942.21

 
 
928668AF9
VOLKSWAGEN GROUP OF AMERICA FI SENIOR CORP BND 144A
 
 
 
 
2,997,990

2,988,268.2

3,000,000.00

2,998,066.17

(9,797.97
)
76.17

—

—

1.6

1.6230

May-Nov
0
5,466.67

11122014
11202017
928670AF5
VOLKSWAGEN INTERNATIONAL FINAN SENIOR CORP BND 144A
 
F
 
 
1,030,330

1,023,502

1,000,000.00

1,025,194.62

(1,692.62
)
(5,135.38
)
—

—

2.875

0.8397

Apr-Oct
0
7,187.5

3232011
4012016
928670AX6
VOLKSWAGEN INTERNATIONAL FINAN SENIOR CORP BND 144A
 
F
 
 
1,004,140

999,582.75

1,000,000.00

1,003,904.5

(4,321.75
)
(235.50
)
—

—

2.125

2.0200

May-Nov
0
5,312.5

11132013
11202018
928670AP3
VOLKSWAGEN INTERNATIONAL FINAN SENIOR CORP BND 144A
 
F
1
 
5,199,948

5,179,664.88

5,200,000.00

5,199,982.76

(20,317.88
)
168.01

—

—

1.6

1.6001

May-Nov
              3,799.33
23,765.34

12062012
11202017
928670AW8
VOLKSWAGEN INTERNATIONAL FINAN SENIOR CORP BND 144A
 
F
 
 
5,347,646

5,333,829.42

5,350,000.00

5,348,513.56

(14,684.14
)
1,427.78

—

—

1.125

1.1400

May-Nov
            22,229.69
110,218.76

11132013
11182016
928904FR7
VOLUSIA CNTY FLA HSG FIN AUTH MUNITAX BND REV
 
 
1
 
541,571.4

541,674

540,000.00

541,027.62

646.38

(543.78
)
—

—

7.45

6.9753

Jun-Dec
0
10,057.5

5172001
12012021
U9291NAP0
VW CREDIT INC SENIOR CORP BND EMTN
 
 
 
 
4,590,450

4,555,079.6

4,500,000.00

4,546,387.62

8,691.98

(25,605.49
)
—

—

1.875

1.2813

October
              18,281.25
84,375

4032013
10132016
928667AD6
VWMT_14-1A ABS_14-1A-A2 144A
 
 
2
 
3,819,901.45

3,815,836.17

3,820,000.00

3,819,913.25

(4,077.08
)
11.80

—

—

1.4

1.4050

Monthly
0
19,609.37

8122014
7222019
BRSM3TBY9
VWR FUNDING INC SENIOR SECURED TERM LOAN
 
 
 
 
1,397,080.4

1,398,289.11

1,406,488.94

1,399,760.99

(1,471.88
)
4,660.97

—

—

—

0.2099

J-A-J-O
0
73,727.84

2062014
4032017
931427AF5
WALGREENS BOOTS ALLIANCE INC SENIOR CORP BND
 
 
1
 
2,991,810

3,022,409.58

3,000,000.00

2,991,937.39

30,472.19

127.39

—

—

3.3

3.3441

May-Nov
0
11,825

11062014
11182021
931427AE8
WALGREENS BOOTS ALLIANCE INC SENIOR CORP BND
 
 
 
 
4,074,410.4

4,065,405.07

4,080,000.00

4,074,631.84

(9,226.77
)
221.44

—

—

1.75

1.7972

May-Nov
0
8,528.34

11062014
11172017
932117JZ8
WALL TWP N J SCH DIST MUNITAX BND GO
 
 
 
 
382,363.6

382,105.2

380,000.00

382,035.31

69.89

(328.29
)
—

—

1.866

1.5123

Jan-Jul
0
1,772.7

6082012
7152016
932117KA1
WALL TWP N J SCH DIST MUNITAX BND GO
 
 
 
 
391,778.4

391,068.6

390,000.00

391,624.58

(555.98
)
(153.82
)
—

—

2.116

1.9469

Jan-Jul
0
2,063.1

6082012
7152017
931142CR2
WAL-MART STORES INC CORP BND
 
 
 
 
993,090

1,006,000.1

1,000,000.00

999,634.76

6,365.34

1,455.40

—

—

2.875

3.0250

Apr-Oct
               7,187.50
28,750

3242010
4012015
931142DC4
WAL-MART STORES INC CORP BND
 
 
 
 
1,034,960

1,026,526

1,000,000.00

1,029,172.76

(2,646.76
)
(21,719.06
)
—

—

2.8

0.5202

Apr-Oct
              9,753.33
28,303.34

4112011
4152016
931142CX9
WAL-MART STORES INC CORP BND
 
 
 
 
1,665,938.25

1,689,070

1,675,000.00

1,673,477.08

15,592.92

1,846.77

—

—

1.5

1.6131

Apr-Oct
              4,606.25
25,125

10182010
10252015
931142BY8
WAL-MART STORES INC CORP BND
 
 
 
 
4,448,840

4,080,560

4,000,000.00

4,080,961.86

(401.86
)
(161,387.38
)
—

—

4.5

0.4429

Jan-Jul
            90,000.00
180,000

9132012
7012015
931142DE0
WAL-MART STORES INC SENIOR CORP BND
 
 
 
 
4,351,907.95

4,347,916.16

4,355,000.00

4,353,679.3

(5,763.14
)
1,028.91

—

—

0.6

0.6239

Apr-Oct
              5,806.67
26,130

4042013
4112016
931142DF7
WAL-MART STORES INC SENIOR CORP BND
 
 
 
 
7,484,930

7,403,379.83

7,500,000.00

7,487,721.89

(84,342.06
)
1,879.91

—

—

1.125

1.1440

Apr-Oct
             17,500.00
80,156.25

4042013
4112018
25468PCS3
WALT DISNEY COMPANY (THE) CORP BND MTN
 
 
 
 
2,498,525

2,507,101.05

2,500,000.00

2,498,684.46

8,416.59

159.46

—

—

1.125

1.1501

Feb-Aug
0
7,031.25

3162012
2152017
25468PDA1
WALT DISNEY COMPANY (THE) SENIOR CORP BND MTN
 
 
 
 
2,997,000

2,986,598.73

3,000,000.00

2,997,339.5

(10,740.77
)
396.83

—

—

1.85

1.8710

May-Nov
0
37,668.06

5282014
5302019
25468PCV6
WALT DISNEY COMPANY (THE) SENIOR CORP BND MTN
 
 
 
 
3,102,781.25

3,104,558.94

3,125,000.00

3,111,887.82

(7,328.88
)
10,605.87

—

—

1.1

1.2470

Jun-Dec
               8,318.75
87,505

11272012
12012017
9292274U7
WAMU_03-S4 WAMU_03-S4
 
 
2
 
648,125.14

662,493.14

638,975.03

647,702.82

14,790.32

(1,496.15
)
—

—

5.5

4.7419

Monthly
0
9,000.71

7182003
6252033
92922F3N6
WAMU_05-A12 CMO_05-AR12 1A8
 
 
2
 
2,292,443.33

2,243,625.7

2,315,964.86

2,294,286.89

(50,661.19
)
3,323.88

—

—

2.33108

2.5358

Monthly
               5,183.94
57,415.22

1102008
10252035
93730PAG1
WASHINGTON BIOMEDICAL RESEARCH MUNITAX BND REV
 
 
 
 
1,281,226.5

1,284,550

1,150,000.00

1,274,643.55

9,906.45

(6,582.95
)
—

—

4.881

2.3300

Jan-Jul
0
14,032.87

2122013
7012019
93877MBR6
WASHINGTON DC CONVENTION CTR MUNI BND REV
 
 
1
 
3,248,430

3,226,140

3,000,000.00

3,216,929.95

9,210.05

(31,500.05
)
—

—

5

0.8226

Apr-Oct
0
37,500

1252007
10012017
93974A6V1
WASHINGTON STATE MUNI BND GO
 
 
1
 
4,697,211.2

4,640,000

4,640,000.00

4,640,000

—

(57,211.20
)
—

—

5

0.1193

Jan-Jul
0
58,000

5202008
1012026
939720LL0
WASHINGTON STATE MUNITAX BND REV
 
 
 
 
587,188.8

592,954.45

605,000.00

588,097.59

4,856.86

908.79

—

—

1.45

2.1040

Jan-Jul
0
2,193.12

8152013
7012019
92978PAF6
WBCMT_06-C29 PAC SENIOR CMBS 06-C29 A1A
 
 
2
 
12,672,971.19

12,291,675.96

11,527,087.54

12,337,879.04

(46,203.08
)
(388,946.85
)
—

—

5.297

(2.0544
)
Monthly
0
475,835.04

6022014
11152048
BRSJARVG9
WCA WASTE SENIOR SECURED TERM LOAN
 
 
 
 
1,023,737.61

1,005,089.65

1,019,769.22

1,018,184.58

(13,094.93
)
563.80

—

—

—

0.0475

M-J-S-D
0
41,785.45

5302013
3232018
949746RG8
WELLS FARGO & COMPANY CAPSEC CORP BND
 
 
1
 
3,543,750

3,535,000

3,500,000.00

3,543,595.5

(8,595.5
)
(2,461.06
)
—

—

5.9

5.7275

Jun-Dec
0
76,454.17

12112014
12312049
94974BEU0
WELLS FARGO & COMPANY CORP BND
 
 
 
 
1,897,625

1,917,081

1,900,000.00

1,899,855.78

17,225.22

98.84

—

—

3.625

3.6521

Apr-Oct
            42,472.92
121,875.52

3232010
4152015
949746PM7
WELLS FARGO & COMPANY CORP BND
 
 
1
 
6,615,000

6,622,500

6,000,000.00

6,584,367.05

38,132.95

(30,632.95
)
—

—

7.98

4.6672

Mar-Sep
0
85,120

10222014
3292049
94974BFG0
WELLS FARGO & COMPANY SENIOR CORP BND
 
 
 
 
498,860

496,958.7

500,000.00

499,127.66

(2,168.96
)
267.66

—

—

1.5

1.5590

Jan-Jul
0
7,208.33

1102014
1162018
94974BGB0
WELLS FARGO & COMPANY SENIOR CORP BND
 
 
 
 
1,498,515

1,494,905.78

1,500,000.00

1,498,668.14

(3,762.36
)
201.50

—

—

1.4

1.4339

Mar-Sep
0
8,633.34

9022014
9082017
94974BFU9
WELLS FARGO & COMPANY SENIOR CORP BND
 
 
 
 
3,093,428

3,092,225.64

3,100,000.00

3,094,300.51

(2,074.87
)
872.51

—

—

2.125

2.1700

Apr-Oct
0
45,563.55

4142014
4222019
94974BFM7
WELLS FARGO & COMPANY SENIOR CORP BND
 
 
 
 
4,000,000

4,012,319.96

4,000,000.00

4,000,000

12,319.96

—

—

—

0.76075

0.7608

J-A-J-O
              7,334.48
32,632.84

7222013
7202016
94974BFK1
WELLS FARGO & COMPANY SENIOR CORP BND
 
 
 
 
5,000,000

5,008,199.7

5,000,000.00

5,000,000

8,199.7

—

—

—

0.8606

0.8606

J-A-J-O
              8,444.72
43,698.99

4162013
4232018
94974BFE5
WELLS FARGO & COMPANY SENIOR CORP BND
 
 
 
 
7,359,612

7,337,157

7,300,000.00

7,312,971.65

24,185.35

(31,362.85
)
—

—

1.5

1.5669

Jan-Jul
            93,945.00
167,606.5

2132013
7012015
94974BFJ4
WELLS FARGO & COMPANY SRSUB CORP BND MTN
 
 
 
 
1,972,740

2,007,857.06

2,000,000.00

1,973,474.8

34,382.26

734.80

—

—

3.45

3.6401

Feb-Aug
0
17,058.33

9292014
2132023
949746RE3
WELLS FARGO & COMPANY SUB CORP BND
 
 
 
 
3,579,452

3,606,509.44

3,400,000.00

3,575,485.77

31,023.67

(3,966.23
)
—

—

4.48

3.8000

Jan-Jul
0
38,080

11262013
1162024
94974BFY1
WELLS FARGO & COMPANY SUB CORP BND MTN
 
 
 
 
5,085,850

5,071,112.05

5,000,000.00

5,083,120.86

(12,008.81
)
(2,729.14
)
—

—

4.1

3.9180

Jun-Dec
0
101,930.56

6272014
6032026
BRSMB8L58
WESCO AIRCRAFT SENIOR SECURED TERM NOTES
 
 
 
 
978,195.11

967,653.17

980,646.74

978,471.29

(10,818.12
)
375.49

—

—

—

0.0355

F-M-A-N
0
26,231.72

2242014
2282021
BRSLBEQ11
WESTERN REFINING INC SENIOR SECURED TERM NOTES
 
 
 
 
554,400

540,540

554,400.00

554,400

(13,860
)
—

—

—

—

—

F-M-A-N
0
24,039.48

12172013
11122020
960895VY3
WESTMORELAND CNTY PA MUNITAX BND GO
 
 
 
 
244,617.8

244,683.95

245,000.00

244,649.23

34.72

31.43

—

—

1.442

1.4924

Jun-Dec
0
883.23

5222013
12012017
960895VZ0
WESTMORELAND CNTY PA MUNITAX BND GO
 
 
 
 
575,742.8

573,904.2

580,000.00

575,998.51

(2,094.31
)
255.71

—

—

1.642

1.8254

Jun-Dec
0
2,380.9

5222013
12012018
96122WAB6
WESTPAC BANKING CORP SECURED LOCAL BND 144A
 
F
 
 
3,817,922.64

3,767,994.47

3,752,000.00

3,768,261.31

(266.84
)
(33,744.51
)
—

—

1.375

0.5751

Jan-Jul
            27,692.65
58,437.99

4262013
7172015
961214CH4
WESTPAC BANKING CORP SENIOR CORP BND
 
F
 
 
1,618,299

1,613,962.32

1,620,000.00

1,618,642.15

(4,679.83
)
343.15

—

—

1.2

1.2358

May-Nov
0
11,880

5142014
5192017
961214CK7
WESTPAC BANKING CORP SENIOR CORP BND
 
F
 
 
2,249,865

2,243,648.52

2,250,000.00

2,249,868.76

(6,220.24
)
3.76

—

—

1.5

1.5021

Jun-Dec
0
2,812.5

11172014
12012017
961214BZ5
WESTPAC BANKING CORP SENIOR CORP BND MTN
 
F
 
 
1,999,420

1,999,054.88

2,000,000.00

1,999,642.21

(587.33
)
114.33

—

—

1.6

1.6061

Jan-Jul
             15,022.22
32,000

1072013
1122018
949781AC2
WFMBS CMO 05-AR1 2A1
 
 
2
 
339,127.41

340,252.24

347,600.16

339,940.18

312.06

2,378.59

—

—

2.61

3.1534

Monthly
                   975.19
10,308.79

5272008
2252035
949781AA6
WFMBS CMO 05-AR1 1A1
 
 
2
 
1,488,161.58

1,531,855.34

1,524,533.01

1,492,891.4

38,963.94

7,713.10

—

—

2.6106

3.0961

Monthly
              4,063.79
44,234.64

12052006
2252035
94982BAG5
WFMBS CMO 05-AR8 3A2
 
 
2
 
392,038.11

406,703.61

398,830.69

393,356

13,347.61

1,111.64

—

—

2.597782

2.9273

Monthly
               1,043.82
11,208.17

12152005
6252035
949797AA2
WFMBS WHOLE CMO 07-15 A1
 
 
2
 
137,515.49

135,946.59

136,650.75

137,413.51

(1,466.92
)
(212.01
)
—

—

6

5.7542

Monthly
                   861.45
9,225.26

1172008
11252037
94980RAC1
WFMBS_04-Z CMO 04-Z-2A1
 
 
2
 
113,552.07

115,162.91

114,554.40

113,679.81

1,483.1

232.41

—

—

2.61478

2.7692

Monthly
                    311.40
3,337.14

1142008
12252034
94981NAH8
WFMBS_05-AR4 CMO 05-AR4 2A2
 
 
2
 
1,088,778.88

1,132,723.66

1,120,241.92

1,094,184.61

38,539.05

7,268.39

—

—

2.60937

3.3133

Monthly
               3,126.60
32,441.99

7192006
4252035
94984FAE9
WFMBS_06-11 RMBS__06-11-A5
 
 
2
 
1,713,246.91

1,769,490.15

1,827,443.88

1,713,246.91

56,243.24

(10,234.79
)
—

—

6

8.3766

Monthly
0
28,379.22

12312009
9252036
981464DG2
WFNMT_12-C ABS 12-C
 
 
2
 
3,188,784.29

3,212,451.22

3,190,000.00

3,189,240.37

23,210.85

190.55

—

—

2.23

2.2469

Monthly
                3,161.65
71,136.96

7132012
8152022
981464DX5
WFNMT_13-B ABS 13-B
 
 
2
 
2,210,123.46

2,211,464.54

2,210,000.00

2,210,068.53

1,396.01

(49.75
)
—

—

0.91

0.8977

Monthly
                  657.22
17,464.05

6252014
3162020
981464EN6
WFNMT_14-C SENIOR ABS 14-C
 
 
2
 
719,834.4

718,243.18

720,000.00

719,841.14

(1,597.96
)
6.74

—

—

1.54

1.5515

Monthly
0
1,663.2

11032014
8152021
92937EAB0
WF-RBS COMMERCIAL MORTGAGE TRU PRELCF SENIOR CMBS 13-C11 A2
 
 
2
 
1,470,037.5

1,472,147.21

1,460,000.00

1,469,077.73

3,069.48

(959.77
)
—

—

2.029

1.7809

Monthly
0
8,064.16

9182014
3152045
92930RAB8
WFRBS_12-C9 SENIOR CMBS 12-C9
 
 
2
 
1,436,021.48

1,429,616.96

1,425,000.00

1,435,113.22

(5,496.26
)
(908.26
)
—

—

1.829

1.5194

Monthly
0
5,502.25

10092014
11152045
92938EAF0
WFRBS_13-C16 PRELCF SENIOR CMBS_13-C16 A2
 
 
2
 
6,303,750

6,256,799.94

6,000,000.00

6,278,015.56

(21,215.62
)
(25,734.44
)
—

—

3.223

2.1420

Monthly
0
84,335.16

7212014
9152046
92938GAB4
WFRBS_13-C17 SENIOR CMBS_13-C17 A2
 
 
2
 
7,276,171.88

7,204,399.87

7,000,000.00

7,264,107.78

(59,707.91
)
(12,064.10
)
—

—

2.921

1.8532

Monthly
0
35,214.25

10242014
12152046
92890KAX3
WFRBS_14-C22 SENIOR CMBS_14-C22-A2
 
 
2
 
2,059,998.01

2,057,760

2,000,000.00

2,057,298.09

461.91

(2,699.92
)
—

—

2.976

2.3865

Monthly
0
15,210.67

9052014
9152057
92939KAE8
WFRBS_14-C24 LCF SENIOR CMBS _14-C24-A5
 
 
2
 
3,097,226.2

3,131,779.2

3,008,000.00

3,096,235.09

35,544.11

(991.11
)
—

—

3.607

3.2533

Monthly
0
12,959.54

10282014
11152047
92939LAB2
WFRBS_14-C25 PRELCF SENIOR CMBS _14-C25-A2
 
 
2
 
5,664,840.5

5,640,596.5

5,500,000.00

5,664,442.25

(23,845.75
)
(398.25
)
—

—

2.932

2.7276

Monthly
0
8,510.94

11182014
11152047
9698714J8
WILLIAMSON CNTY TENN MUNITAX BND GO
 
 
 
 
418,676

415,100

400,000.00

417,345.59

(2,245.59
)
(1,330.41
)
—

—

2.95

1.5747

Apr-Oct
0
2,950

3272013
4012018
97652QAC3
WIN_14-2 WHOLE CMO 14-2
 
 
2
 
3,862,390.1

3,894,237.92

3,810,002.57

3,860,790.08

33,447.84

(4,212.49
)
—

—

3.5

3.1855

Monthly
0
22,993.21

10082014
9202044
BRSH2DJN2
WINDSTREAM CORP SENIOR SECURED TERM LOAN
 
 
2
 
2,675,400

2,650,879.96

2,675,400.00

2,675,400

(24,520.04
)
—

—

—

—

—

J-A-J-O
0
103,761.52

1102013
1232020
976656CF3
WISCONSIN ELECTRIC POWER COMPA SENIOR CORP BND
 
 
1
 
2,500,000

2,485,062.6

2,500,000.00

2,500,000

(14,937.4
)
—

—

—

1.7

1.7000

Jun-Dec
               1,888.89
42,500

6102013
6152018
976826BG1
WISCONSIN POWER AND LIGHT COMP SENIOR CORP BND
 
 
 
 
560,420

556,815.23

500,000.00

557,401.01

(585.78
)
(3,018.99
)
—

—

5

2.3200

Jan-Jul
0
6,250

7072009
7152019
977100AU0
WISCONSIN ST MUNITAX BND REV
 
 
 
 
2,243,300

2,203,240

2,000,000.00

2,232,200.69

(28,960.69
)
(11,099.31
)
—

—

5.05

1.4661

May-Nov
0
16,272.22

10292014
5012018
982526AT2
WM WRIGLEY JR CO SENIOR CORP BND 144A
 
 
 
 
279,097.5

276,658.93

275,000.00

278,339.09

(1,680.16
)
(758.41
)
—

—

2

1.5550

Apr-Oct
0
3,575

5022014
10202017
982526AR6
WM WRIGLEY JR CO SENIOR CORP BND 144A
 
 
 
 
1,005,540

1,002,165.07

1,000,000.00

1,003,376.52

(1,211.45
)
(1,841.72
)
—

—

1.4

1.2100

Apr-Oct
              2,722.22
14,000

10242013
10212016
982526AU9
WM WRIGLEY JR CO SENIOR CORP BND 144A
 
 
1
 
3,347,450.5

3,345,142

3,325,000.00

3,345,818.42

(676.42
)
(934.13
)
—

—

2.4

2.1759

Apr-Oct
             18,666.67
82,653.33

9262014
10212018
93934FEN8
WMALT_05-5 CMO 05-9-2A2
 
 
2
 
2,568,814.8

2,604,070.31

2,803,617.81

2,594,464.14

9,606.17

(25,980.83
)
—

—

5.5

7.2378

Monthly
              15,237.13
168,319.89

12172007
11252035
BRSJ883L4
WMG ACQUISITION CORP SENIOR SECURED TERM LOAN
 
 
2
 
2,966,657.1

2,862,824.11

2,966,657.10

2,966,657.1

(103,832.99
)
—

—

—

—

—

F-M-A-N
0
114,314.8

9062013
7012020
98158PAC2
WOART_11-B ABS_11-B A3
 
 
2
 
27,832.62

27,841.67

27,832.68

27,832.14

9.53

2.08

—

—

0.96

0.9614

Monthly
                    85.57
1,025.96

11022011
8152016
66859TAC3
WOODS_14-14A MEZZANIN ABS 14-14A-B 144A
 
F
2
 
2,942,475

2,936,723.94

3,000,000.00

2,942,718.86

(5,994.92
)
243.86

—

—

2.69185

2.9473

F-M-A-N
0
3,364.81

11172014
11122025
BRSP8QSG4
WSCFP_14 SENIOR CMBS 14
 
D
2
 
1,785,379.5

1,731,200.19

1,110,000.00

1,785,379.5

(54,179.31
)
—

—

(54,612
)
1.450659

1.4525

F-M-A-N
0
5,199.12

10072014
11042019
95168QAG5
WSTC_13-1A MEZZANIN ABS _13-1A-B 144A
 
F
1
 
479,500

478,055.27

500,000.00

479,813.86

(1,758.59
)
313.86

—

—

3.13185

3.8129

F-M-A-N
0
1,957.41

11122014
11072025
984121CF8
XEROX CORPORATION SENIOR CORP BND
 
 
 
 
1,298,375

1,331,331.94

1,300,000.00

1,299,255.09

32,076.85

322.79

—

—

2.95

2.9771

Mar-Sep
               11,291.94
38,350

3082012
3152017
983919AG6
XILINX, INC. SENIOR CORP BND
 
 
 
 
1,989,540

1,997,494.21

2,000,000.00

1,991,150.09

6,344.12

1,610.09

—

—

2.125

2.2359

Mar-Sep
0
34,118.05

3052014
3152019
98417EAU4
XSTRATA FINANCE (CANADA) LTD SENIOR CORP BND 144A
 
A
 
 
4,128,053.2

4,176,480.62

4,135,000.00

4,130,976.8

45,503.82

1,358.02

—

—

2.7

2.7362

Apr-Oct
            20,468.25
111,645

10182012
10252017
G9853MHT3
YORKSHIRE BUILDING SOCIETY LOCAL BND
 
D
 
 
1,390,156.29

1,381,442.73

800,000.00

1,349,135.79

32,306.94

(23,116.43
)
—

(47,458.92
)
4.75

3.2980

April
             53,139.63
77,230.5

5102012
4122018
988505EC3
YUMA & LA PAZ CNTYS ARIZ CMNTY MUNI BND GO
 
 
1
 
1,036,470

1,024,230

1,000,000.00

1,024,229.78

0.22

(12,240.22
)
—

—

5

0.1504

Jan-Jul
0
12,500

10302007
7012024
98954RAC4
ZIGG_14-1A SENIOR ABS _14-1A-B1 144A
 
F
2
 
2,899,800

2,899,800

3,000,000.00

2,900,834.74

(1,034.74
)
1,034.74

—

—

2.3326

2.8583

J-A-J-O
0
5,831.5

11042014
10172026
BRSM4TRW5
ZIGGO BV
 
 
 
 
2,382,978.72

2,323,142.12

2,382,978.72

2,382,978.72

(59,836.6
)
—

—

—

—

—

Apr-Oct
0
40,449.7

 
 
BRSM4TPX5
ZIGGO BV
 
 
 
 
3,697,361.7

3,605,018.77

3,697,872.34

3,697,382.06

(92,363.29
)
20.36

—

—

—

0.0019

Apr-Oct
0
59,416.75

 
 
BRSM4TSP9
ZIGGO BV
 
 
 
 
3,919,148.98

3,820,739.15

3,919,148.98

3,919,148.98

(98,409.83
)
—

—

—

—

—

J-A-J-O
0
71,919.07

 
 
98978VAG8
ZOETIS INC SENIOR CORP BAND
 
 
 
 
5,462,050

5,491,067.62

5,500,000.00

5,464,868.92

26,198.7

2,818.92

—

—

1.875

2.0899

Feb-Aug
0
25,781.25

2072013
2012018
TOTAL
 
 
 
 
 
 
5,532,731,477.51

 
5,534,493,699.82

(1,762,222.31
)
 
 
(4,170,244.57
)
 
 
 
 
 
 
 




















009349AF8
AIRCRAFT LEASE SECURITISATION
 
 
 
 
684,572.07

697,873.33

709,401.10

698,108.18

(234.85
)
25,302.37

—

—

0.417

3.5640

Monthly
                  354.68
3,926.44

 
 
BRSR05RF7
AIRXCEL, INC. REVOLVE LOAN
 
 
 
 
6,796,875

6,762,890.63

6,796,875.00

6,796,875

(33,984.37
)
—

—

—

—

—

May-Nov
0
88,876.95

11192014
11182019
010392FH6
ALABAMA POWER COMPANY
 
 
 
 
3,345,913

3,348,693.5

3,350,000.00

3,348,921.82

(228.32
)
3,290.22

—

—

0.55

0.5911

Apr-Oct
              9,666.25
44,466.74

 
 
010606AM3
ALABAMA ST PUB HEALTH CARE AUT
 
 
 
 
1,520,981.2

1,509,836.8

1,480,000.00

1,509,573.39

263.41

(11,407.81
)
—

—

4

0.9670

Mar-Sep
0
14,800

 
 
010606AP6
ALABAMA ST PUB HEALTH CARE AUT
 
 
 
 
1,715,752.75

1,704,764.75

1,675,000.00

1,704,424.63

340.12

(11,328.12
)
—

—

4.125

1.4505

Mar-Sep
0
17,273.44

 
 
BRSCE52V7
ALERE INC SENIOR SECURED TERM LOAN
 
 
 
 
6,171,224.93

6,170,789

6,210,911.49

6,188,545.81

(17,756.81
)
7,217.76

—

—

—

0.1425

M-J-S-D
0
238,935.43

7012014
6302017
01609WAB8
ALIBABA GROUP HOLDING LTD SENIOR CORP BND 144A
 
F
1
 
4,983,640

4,923,465.35

5,000,000.00

4,983,929.95

(60,464.6
)
324.11

—

—

2.5

2.5702

May-Nov
0
12,650

11212014
11282019
018490AP7
ALLERGAN INC/UNITED STATES
 
 
 
 
2,912,580

2,905,208.82

3,000,000.00

2,918,861.13

(13,652.31
)
6,674.49

—

—

1.35

2.2301

Mar-Sep
              6,757.50
23,385

 
 
BRSJKR5A0
ALLFLEX HOLDINGS SENIOR SECURED TERM LOAN
 
R
 
 
1,379,709.29

1,363,477.5

1,386,000.00

1,380,460.26

(16,982.76
)
782.75

—

—

—

0.0712

M-J-S-D
0
44,873.32

4012014
7172020
BRSHFDW29
ALLIANCE LAUNDRY SYST LLC SENIOR SECURED TERM NOTES
 
 
2
 
395,507.94

394,040.4

397,184.11

395,876.89

(1,836.49
)
654.99

—

—

—

0.0825

M-J-S-D
0
31,277.5

11202013
12102018
BRSM7G8J0
ALLIED SECURITY HOLDINGS LLC SENIOR SECURED TERM NOTES
 
 
 
 
1,878,825.55

1,860,537.69

1,888,266.89

1,879,953.93

(19,416.24
)
1,196.24

—

—

—

0.0711

M-J-S-D
0
64,330.12

2122014
2122021
BRSKDJZL6
ALLISON TRANSMISSION INC SENIOR SECURED TERM NOTES
 
 
 
 
1,471,078.69

1,459,516.41

1,472,667.33

1,471,416.49

(11,900.08
)
3,430.44

—

—

—

0.0180

M-J-S-D
0
145,329.22

9302013
8232019
02005TAD9
ALLYA _11-1 ABS_11-1 A4
 
 
2
 
416,043.09

416,355.31

416,080.70

416,037.04

318.27

201.48

—

—

2.23

2.2418

Monthly
               4,459.19
50,712.05

2042011
3152016
02006VAC5
ALLYA _14-3 SENIOR ABS _14-3-A3
 
 
2
 
4,584,215.05

4,575,637.43

4,585,000.00

4,584,231.22

(8,593.79
)
16.17

—

—

1.28

1.2931

Monthly
0
2,282.31

12102014
6172019
02005YAE6
ALLYA_12-1 ABS_12-1 A3
 
 
2
 
20,570.09

20,464.11

20,459.00

20,467.89

(3.78
)
(1,699.50
)
—

—

0.93

0.4966

Monthly
                  296.59
3,155.39

2222013
2162016
02005EAC4
ALLYA_12-3 ABS 12-3
 
 
2
 
887,263.01

888,154.84

887,294.16

887,282.77

872.07

51.50

—

—

0.85

0.8524

Monthly
                1,133.33
16,126.71

5222012
8152016
02006MAC5
ALLYA_13-2 ABS 13-2 A3
 
 
2
 
984,961.19

985,064.85

985,000.00

984,975.68

89.17

13.20

—

—

0.79

0.7926

Monthly
                  345.85
7,781.52

10232013
1152018
02006WAC3
ALLYA_14_2 ABS_14_2-A3
 
 
2
 
7,498,624.5

7,503,759.38

7,500,000.00

7,498,761.78

4,997.6

137.28

—

—

1.25

1.2604

Monthly
0
25,260.42

9172014
4152019
00164BAG2
ALM_7R-2 MEZZANIN ABS 7R-2 144A
 
F
2
 
952,000

965,000

1,000,000.00

953,349.62

11,650.38

1,349.62

—

—

3.6828

4.6158

J-A-J-O
0
7,365.58

10162014
4242024
BRSJ9AL38
ALPHA NATURAL RESOURCES INC SENIOR SECURED TERM LOAN
 
 
2
 
2,424,417

2,058,927

2,436,600.00

2,427,210.59

(368,283.59
)
1,850.70

—

—

—

0.0706

M-J-S-D
0
91,306.87

5202013
5222020
021441AD2
ALTERA CORPORATION
 
 
 
 
1,397,858

1,403,907.16

1,400,000.00

1,398,966.01

4,941.15

758.87

—

—

1.75

1.7820

May-Nov
              6,540.62
43,996.7

 
 
02209SAT0
ALTRIA GROUP INC SENIOR CORP BND
 
 
1
 
4,246,557.5

4,247,582.09

4,250,000.00

4,246,570.98

1,011.11

13.48

—

—

2.625

2.6411

Jan-Jul
0
14,565.09

11102014
1142020
023135AK2
AMAZON.COM INC
 
 
 
 
3,041,704

3,047,285.5

3,050,000.00

3,047,478.33

(192.83
)
2,772.41

—

—

0.65

0.7420

May-Nov
               1,872.36
19,825

 
 
BRSJ1HUF4
AMC ENTERTAINMENT INC. SENIOR SECURED TERM LOAN
 
 
2
 
3,773,168.42

3,730,613.91

3,782,625.00

3,775,397.7

(44,783.79
)
1,441.38

—

—

—

0.0354

M-J-S-D
0
135,081.25

4232013
4302020
03065EAD7
AMCAR_13-5 BAS_13-5 A3
 
 
2
 
439,939.85

439,466.58

440,000.00

439,965.91

(499.33
)
23.96

—

—

0.9

0.9070

Monthly
                  242.00
3,971

11052013
9102018
03062AAD8
AMCAR_14-3 ABS _14-3-A3
 
 
2
 
869,975.81

866,334.46

870,000.00

869,976.73

(3,642.27
)
0.92

—

—

1.15

1.1530

Monthly
0
3,446.17

8202014
6102019
BRSJQMFE6
AMERICAN AIRLINES GROUP INC SENIOR SECURED TERM LOAN
 
 
 
 
3,203,415.04

3,191,286.49

3,219,456.74

3,206,913.49

(15,627
)
5,829.14

—

—

—

0.0858

M-J-S-D
0
231,132.14

9302013
6272019




025537AF8
AMERICAN ELECTRIC POWER COMPAN
 
 
 
 
499,995

497,020.72

500,000.00

499,999.19

(2,978.47
)
4.19

—

—

1.65

1.6501

Jun-Dec
0
2,062.5

 
 
BRSNZFZ18
AMERICAN ENERGY MARCELLUS LLC SENIOR SECURED TERM NOTES
 
 
1
 
217,486.33

193,077.59

218,579.23

217,554.41

(24,476.82
)
68.08

—

—

—

0.0829

M-J-S-D
0
2,486.33

7092014
8042020
025816BJ7
AMERICAN EXPRESS COMPANY
 
 
 
 
15,463,750

15,568,870

15,430,000.00

15,463,250.43

105,619.57

(499.57
)
—

—

5.2

5.1962

May-Nov
0
104,567.66

 
 
02582JGW4
AMERICAN EXPRESS CREDIT ACCOUN ABS 14-4 A
 
 
2
 
3,864,693.12

3,853,904.13

3,865,000.00

3,864,703.74

(10,799.61
)
10.62

—

—

1.43

1.4370

Monthly
0
6,448.11

11122014
6152020
0258M0DK2
AMERICAN EXPRESS CREDIT CORPOR SENIOR CORP BND
 
 
 
 
995,980

996,744.23

1,000,000.00

996,202.86

541.37

635.95

—

—

2.125

2.2199

Mar-Sep
0
28,305

3132014
3182019
0258M0DR7
AMERICAN EXPRESS CREDIT CORPOR SENIOR CORP BND
 
 
 
 
3,465,350.2

3,467,273.16

3,470,000.00

3,465,770

1,503.16

419.80

—

—

1.55

1.5960

Mar-Sep
0
14,641.47

9182014
9222017
0258M0DD8
AMERICAN EXPRESS CREDIT CORPOR SENIOR CORP BND MTN
 
 
 
 
1,027,420

1,020,678.56

1,000,000.00

1,024,619.63

(3,941.07
)
(2,800.37
)
—

—

2.375

1.2501

Mar-Sep
0
5,937.5

3212012
3242017
0258M0DP1
AMERICAN EXPRESS CREDIT CORPOR SENIOR CORP BND MTN
 
 
 
 
992,210

997,547.07

1,000,000.00

992,600.26

4,946.81

390.26

—

—

2.25

2.4201

Feb-Aug
0
5,625

8122014
8152019
02665WAH4
AMERICAN HONDA FINANCE CORPORA CORP BND MTN
 
 
 
 
4,990,750

5,009,585.2

5,000,000.00

4,991,202.96

18,382.24

452.96

—

—

2.25

2.2903

Feb-Aug
0
28,125

9092014
8152019
02666QM26
AMERICAN HONDA FINANCE CORPORA SENIOR CORP BND 144A
 
 
 
 
1,992,800

1,991,145.32

2,000,000.00

1,993,332.61

(2,187.29
)
532.61

—

—

1.6

1.7099

Feb-Aug
0
8,000

2122013
2162018
02666QM59
AMERICAN HONDA FINANCE CORPORA SENIOR CORP BND 144A
 
 
 
 
5,000,000

5,009,450.15

5,000,000.00

5,000,000

9,450.15

—

—

—

0.60935

0.6094

F-M-A-N
              3,058.00
30,823.2

5222013
5262016
03027XAC4
AMERICAN TOWER CORPORATION SENIOR CORP BND
 
 
 
 
510,810

508,350.72

500,000.00

510,227.57

(1,876.85
)
(582.43
)
—

—

3.4

2.8701

Feb-Aug
0
4,250

8142013
2152019
03064JAC9
AMERICREDIT AUTOMOBILE RECEIVA ABS 13-2
 
 
2
 
644,871.19

644,851.65

645,000.00

644,964.42

(112.77
)
56.49

—

—

0.65

0.6594

Monthly
                  267.85
4,192.56

4032013
12082017
031162BU3
AMGEN INC
 
 
 
 
1,988,620

1,984,556.58

2,000,000.00

1,989,041.13

(4,484.55
)
421.13

—

—

2.2

2.3321

May-Nov
0
7,455.56

 
 
031162BF6
AMGEN INC
 
 
 
 
5,114,950

5,074,895.1

5,000,000.00

5,097,927.1

(23,032
)
(17,022.90
)
—

—

2.3

0.9399

Jun-Dec
0
28,750

 
 
02005ACC0
AMOT 2013-2 ABS 12-1
 
 
2
 
2,499,806.75

2,502,300

2,500,000.00

2,499,705.09

2,594.91

(158.52
)
—

—

1.44

1.4430

Monthly
               1,600.00
36,000

2152012
2152017
02587UAB6
AMXCA_12-5 ABS 12-5
 
 
2
 
1,149,890.64

1,150,540.5

1,150,000.00

1,149,970.41

570.09

37.29

—

—

0.59

0.5940

Monthly
                   301.56
6,785.04

11012012
5152018
02582JGJ3
AMXCA_13-3 ABS_13-3 A
 
 
2
 
5,459,374.29

5,457,009.51

5,460,000.00

5,459,500.19

(2,490.68
)
107.17

—

—

0.98

0.9841

Monthly
               2,378.13
53,508

11052013
5152019
02582JGD6
AMXCA-12 ABS_
 
 
2
 
12,068,322.28

12,044,146.12

12,035,000.00

12,049,962.85

(5,816.73
)
(18,359.43
)
—

—

0.68

0.4761

Monthly
0
61,377.81

3282014
3152018
034863AM2
ANGLO AMERICAN CAPITAL PLC
 
 
 
 
1,743,367.5

1,756,596.28

1,750,000.00

1,743,960.64

12,635.64

593.14

—

—

4.125

4.1880

Apr-Oct
0
51,333.33

 
 
034863AE0
ANGLO AMERICAN CAPITAL PLC
 
 
 
 
4,989,050

5,054,214.5

5,000,000.00

4,994,891.88

59,322.62

2,172.27

—

—

2.625

2.6720

Apr-Oct
            32,083.33
131,250

 
 
035242AC0
ANHEUSER-BUSCH INBEV FINANCE I
 
 
 
 
5,128,055.1

5,149,995.5

5,210,000.00

5,137,095.53

12,899.97

9,040.43

—

—

1.25

1.6183

Jan-Jul
0
27,355.89

 
 
035242AE6
ANHEUSER-BUSCH INBEV FINANCE I
 
 
 
 
9,729,785

9,766,633.6

9,750,000.00

9,733,029.03

33,604.57

5,967.50

—

—

2.15

2.1919

Feb-Aug
0
334,490.29

 
 
03523TAT5
ANHEUSER-BUSCH INBEV WORLDWIDE CORP BND
 
 
 
 
5,807,754

5,447,034

5,400,000.00

5,446,720.12

313.88

(169,633.50
)
—

—

3.625

0.5879

Apr-Oct
             43,238.19
204,434.9

10092012
4152015
03523TBN7
ANHEUSER-BUSCH INBEV WORLDWIDE SENIOR CORP BND
 
 
 
 
12,760,736.5

12,774,019.53

12,775,000.00

12,771,834.01

2,185.52

2,688.70

—

—

1.375

1.2503

Jan-Jul
             97,164.77
155,655.74

7152014
7152017
00182EAT6
ANZ NATIONAL INTERNATIONAL LTD SENIOR CORP BND 144A
 
F
 
 
5,000,000

5,004,239.6

5,000,000.00

5,000,000

4,239.6

—

—

—

0.7531

0.7531

J-A-J-O
0
31,744.72

2202014
4272017
037833AQ3
APPLE INC
 
 
 
 
5,064,200

5,040,236.3

5,000,000.00

5,061,788.17

(21,551.87
)
(2,411.83
)
—

—

2.1

1.8030

May-Nov
0
18,375

 
 




037833AJ9
APPLE INC
 
 
 
 
14,864,945.2

14,646,273.96

14,920,000.00

14,882,932.6

(236,658.64
)
13,082.22

—

—

1

1.0760

May-Nov
            32,093.33
180,033.33

 
 
037833AG5
APPLE INC
 
 
 
 
15,260,000

15,270,223.28

15,260,000.00

15,260,000

10,223.28

—

—

—

0.48235

0.4824

F-M-A-N
             12,304.65
74,854.72

 
 
BRS9PGQM2
ARAMARK CORPORATION LOAN TERM
 
 
2
 
216,407.28

214,489.07

215,973.89

216,116.66

(1,627.59
)
(91.15
)
—

—

—

(0.0416
)
J-A-J-O
0
9,939.27

11012011
7262016
039483AY8
ARCHER-DANIELS-MIDLAND COMPANY
 
 
 
 
2,747,631.25

2,537,785.48

2,275,000.00

2,556,519.03

(18,733.55
)
(85,255.54
)
—

—

5.45

1.4780

Mar-Sep
            36,507.43
123,987.5

 
 
BRSG9SY49
ARDENT MEDICAL SENIOR SECURED TERM LOAN
 
 
2
 
1,632,482.7

1,650,522.45

1,648,972.42

1,638,442.67

12,079.78

4,975.39

—

—

—

0.1805

F-M-A-N
0
126,210.85

11192012
7022018
00205BAA6
ARI FLEET LEASE TRUST ARIFL_12 ABS 12-B 144A
 
 
2
 
2,388,866.55

2,387,958.73

2,388,866.55

2,388,866.55

(907.82
)
—

—

—

0.4608

0.4612

Monthly
                  873.46
14,786.82

10162012
1152021
040484EV5
ARIZONA BRD REGENTS UNIV ARIZ
 
 
 
 
1,275,987.5

1,272,312.5

1,250,000.00

1,273,548

(1,235.5
)
(2,439.50
)
—

—

1.94

1.1467

Jun-Dec
0
6,062.5

 
 
040484JY4
ARIZONA BRD REGENTS UNIV ARIZ
 
 
 
 
1,654,640.8

1,680,740.4

1,420,000.00

1,648,766.04

31,974.36

(5,874.76
)
—

—

5

2.8691

Feb-Aug
0
17,750

 
 
04057PJL3
ARIZONA SCH FACS BRD CTFS PART MUNITAX BND REV
 
 
 
 
2,175,000

2,187,288.75

2,175,000.00

2,175,000

12,288.75

—

—

—

1.474

1.4740

Mar-Sep
0
17,098.4

6042014
9012017
040688ME0
ARIZONA WTR INFRASTRUCTURE FIN
 
 
 
 
2,509,725

2,508,575

2,500,000.00

2,508,910.89

(335.89
)
(814.11
)
—

—

1.413

1.2805

Apr-Oct
0
8,831.25

 
 
041036BU7
ARKANSAS RIVER PWR AUTH COLO
 
 
 
 
1,437,603.3

1,428,061.5

1,395,000.00

1,426,806.54

1,254.96

(10,796.76
)
—

—

5.25

2.1550

Apr-Oct
0
18,309.38

 
 
045167CQ4
ASIAN DEVELOPMENT BANK
 
 
 
 
702,479.78

702,444.62

703,000.00

702,562.92

(118.3
)
83.14

—

—

0.75

0.7810

Feb-Aug
0
2,050.42

 
 
045167CH4
ASIAN DEVELOPMENT BANK
 
 
 
 
750,000

749,880.01

750,000.00

750,000

(119.99
)
—

—

—

0.1695

0.1695

Monthly
                       6.96
1,298.68

 
 
046353AF5
ASTRAZENECA PLC
 
 
 
 
1,978,460

1,977,172.24

2,000,000.00

1,979,523.5

(2,351.26
)
1,063.50

—

—

1.95

2.1799

Mar-Sep
0
9,750

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

6,788,849.5

6,625,000.00

6,645,090.1

143,759.4

(14,206.52
)
—

—

2.95

2.7229

May-Nov
            24,972.57
195,437.5

2222012
5152016
00206RAT9
AT&T INC CORP BND
 
O
 
 
948,023.93

941,669.49

550,000.00

946,108.92

(4,439.43
)
(1,915.01
)
—

(6,088.96
)
5.875

1.6103

April
0
2,778.6

12102014
4282017
00206RBR2
AT&T INC CORP BND
 
 
 
 
3,024,157.25

3,020,716

3,025,000.00

3,025,030.08

(4,314.08
)
93.17

—

—

0.9

0.9220

Feb-Aug
              12,162.50
31,656.25

2072013
2122016
00206RCC4
AT&T INC SENIOR CORP BND
 
 
 
 
3,010,080

2,999,239.89

3,000,000.00

3,009,532.75

(10,292.86
)
(547.25
)
—

—

2.3

2.2201

Mar-Sep
0
17,250

3052014
3112019
047870CY4
ATLANTA GA (CITY OF)
 
 
 
 
6,949,070

7,026,155

5,710,000.00

6,929,958.89

96,196.11

(19,111.11
)
—

—

5.5

3.4279

May-Nov
0
78,512.5

 
 
05178RAA3
AURORA MILITARY HOUSING MUNI BND 144A
 
 
2
 
1,165,681

1,165,681

1,100,000.00

1,163,371.93

2,309.07

(8,280.07
)
—

—

5.32

4.2156

Jun-Dec
0
15,723.56

12082005
12152020
05252EAB9
AUST & NZ BANK GROUP LOCAL BND 144A
 
F
 
 
3,093,738

3,113,311.4

3,100,000.00

3,098,430.69

14,880.71

3,042.75

—

—

1

1.0670

Apr-Oct
                  15,111.11
46,308.33

9042012
10062015
052409BV0
AUSTIN TEX CONVENTION ENTERPRI
 
 
 
 
1,642,268.25

1,632,046.5

1,575,000.00

1,628,852.34

3,194.16

(13,415.91
)
—

—

5.25

1.7850

Jan-Jul
0
20,671.87

 
 
052476L48
AUSTIN TX (CITY OF)
 
 
 
 
72,048.2

71,213.1

70,000.00

71,213.46

(0.36
)
(834.74
)
—

—

5

0.3097

May-Nov
0
875

 
 
0523966L7
AUSTIN TX (CITY OF)
 
 
 
 
201,750

202,112

200,000.00

201,663.34

448.66

(86.66
)
—

—

2.108

1.9206

Mar-Sep
0
1,042.29

 
 
0523966K9
AUSTIN TX (CITY OF)
 
 
 
 
315,677.25

313,749.45

315,000.00

315,635.08

(1,885.63
)
(42.17
)
—

—

1.758

1.7009

Mar-Sep
0
1,369.04

 
 
0523966M5
AUSTIN TX (CITY OF)
 
 
 
 
386,563.1

389,908.75

385,000.00

386,501.56

3,407.19

(61.54
)
—

—

2.384

2.3101

Mar-Sep
0
2,269.11

 
 
052476J25
AUSTIN TX (CITY OF)
 
 
 
 
1,463,054.4

1,445,758.8

1,420,000.00

1,445,503.35

255.45

(17,551.05
)
—

—

5

0.1446

May-Nov
0
17,750

 
 




05253JAC5
AUSTRALIA & NEW ZEALAND BANKIN SENIOR CORP BND
 
F
 
 
774,550.5

766,259.55

775,000.00

774,693.47

(8,433.92
)
88.10

—

—

1.45

1.4621

May-Nov
               1,435.90
11,237.5

5092013
5152018
05253JAB7
AUSTRALIA & NEW ZEALAND BANKIN SENIOR CORP BND
 
R
 
 
2,896,839

2,905,518.99

2,900,000.00

2,898,815.94

6,703.05

2,784.83

—

—

0.9

0.9369

Feb-Aug
            30,927.50
69,075

2062013
2122016
BRSJL0RC0
AUXILIUM PHARMACEUTICALS INC SENIOR SECURED TERM LOAN
 
 
 
 
6,912,971.02

6,957,253.86

6,963,033.18

6,928,305.7

28,948.16

17,250.82

—

—

—

0.1498

M-J-S-D
0
537,225.76

9242013
4152018
BRSQHT1U4
B/E AEROSPACE INC SENIOR SECURED TERM NOTES
 
 
1
 
1,230,927.83

1,234,639.17

1,237,113.40

1,230,927.83

3,711.34

—

—

—

—

0.0725

M-J-S-D
0
—

11212014
12162021
06052YAC3
BAAT_12-1 ABS 12-1
 
 
2
 
787,612.79

787,743.28

787,640.89

787,622.69

120.59

107.38

—

—

0.78

0.7822

Monthly
               1,883.56
22,765.65

4112012
6152016
059513AE1
BACM
 
 
 
 
7,518,555

7,323,724.76

6,718,520.26

7,332,398.68

(8,673.92
)
(201,032.83
)
—

—

5.75365

(1.6718
)
Monthly
0
266,603.49

 
 
059513AF8
BACM_07-4
 
 
 
 
3,104,320.14

3,043,226.27

2,790,389.19

3,053,528.11

(10,301.84
)
(52,186.21
)
—

—

5.774

(1.8655
)
Monthly
0
69,798.26

 
 
BRSHC6N35
BAKERCORP INTERNATIONAL INC SENIOR SECURED TERM LOAN
 
 
2
 
1,159,438.51

1,069,582.03

1,159,438.51

1,159,438.51

(89,856.48
)
—

—

—

—

—

M-J-S-D
0
50,275.41

2062013
2072020
05921PAE9
BALTIMORE MD CONVENTION CTR HO MUNI BND REV
 
 
 
 
2,088,657.45

2,079,245.1

1,965,000.00

2,072,341.04

6,904.06

(16,316.41
)
—

—

5

1.6548

Mar-Sep
0
24,562.5

1272006
9012016
62944BAL8
BANK NEDERLANDSE GEMEENTEN SENIOR CORP BND 144A
 
F
 
 
3,973,040

3,994,119.88

4,000,000.00

3,977,900.27

16,219.61

7,213.26

—

—

1.375

1.5520

Mar-Sep
0
59,086.81

4082014
3192018
06052YAD1
BANK OF AMERICA AUTO TRUST BAA ABS 12-1
 
 
2
 
4,998,468

5,011,600.1

5,000,000.00

4,999,668.65

11,931.45

449.22

—

—

1.03

1.0413

Monthly
              2,288.89
51,500.04

4112012
12152016
060505EH3
BANK OF AMERICA CORP
 
 
 
 
2,685,000

2,658,150

2,685,000.00

2,685,000

(26,850
)
—

—

—

6.25

6.2495

Mar-Sep
0
54,072.93

 
 
060505EG5
BANK OF AMERICA CORP
 
 
 
 
8,772,500

8,730,000

9,000,000.00

8,773,582.85

(43,582.85
)
1,082.85

—

—

5.125

5.2971

Jun-Dec
0
122,003.47

 
 
06051GEG0
BANK OF AMERICA CORP CORP BND
 
 
 
 
4,145,930.76

4,112,408

4,000,000.00

4,098,776.11

13,631.89

(98,751.58
)
—

—

3.625

1.5515

Mar-Sep
               52,361.11
177,927.09

6022014
3172016
06051GEQ8
BANK OF AMERICA CORP CORP BND
 
 
 
 
7,577,808

7,962,796.87

7,600,000.00

7,589,611.79

373,185.08

(33,912.59
)
—

—

3.875

3.9399

Mar-Sep
           120,415.64
368,168.05

3192012
3222017
06050TLR1
BANK OF AMERICA CORP SENIOR CORP BND
 
 
 
 
2,498,150

2,488,356.2

2,500,000.00

2,498,841.14

(10,484.94
)
610.54

—

—

1.125

1.1502

May-Nov
               3,671.88
28,125

11062013
11142016
06050TLT7
BANK OF AMERICA CORP SENIOR CORP BND
 
 
 
 
4,995,600

4,986,522.3

5,000,000.00

4,996,874.32

(10,352.02
)
2,113.23

—

—

1.25

1.2800

Feb-Aug
0
92,187.49

2112014
2142017
06051GEX3
BANK OF AMERICA CORP SENIOR CORP BND
 
 
 
 
5,075,550

5,033,256.55

5,000,000.00

5,066,189.18

(32,932.63
)
(10,577.20
)
—

—

2.6

2.2552

Jan-Jul
0
109,156.67

5202014
1152019
06050TLU4
BANK OF AMERICA CORP SENIOR CORP BND
 
 
 
 
5,750,000

5,733,095.06

5,750,000.00

5,750,000

(16,904.94
)
—

—

—

0.7032

0.7032

F-M-A-N
0
35,974.39

2112014
2142017
06051GFD6
BANK OF AMERICA CORP SENIOR CORP BND MTN
 
 
 
 
5,998,320

6,041,753.1

6,000,000.00

5,998,559.24

43,193.86

239.24

—

—

2.65

2.6560

Apr-Oct
0
119,250

3272014
4012019
06051GFL8
BANK OF AMERICA CORP SUB CORP BND
 
 
 
 
3,209,423.25

3,202,982.41

3,225,000.00

3,209,619.34

(6,636.93
)
196.09

—

—

4.25

4.3020

Apr-Oct
0
26,270.31

10172014
10222026
U0662KFC0
BANK OF AMERICA CORP SUB CORP BND EMTN
 
O
 
 
1,251,157.14

1,240,575.32

750,000.00

1,248,653.59

(8,078.27
)
(2,726.09
)
—

(8,589.19
)
5.25

1.9168

May-Nov
0
4,462.93

12042014
11092016
063679ZT4
BANK OF MONTREAL
 
 
 
 
3,271,560

3,306,062.21

3,250,000.00

3,270,173.69

35,888.52

(2,821.04
)
—

—

1.95

1.9869

Jan-Jul
              17,994.17
49,952.5

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

3,309,282.15

3,250,000.00

3,317,218.87

(7,936.72
)
(42,201.09
)
—

—

2.3

0.9721

Jan-Jul
             31,768.75
74,750

10152013
7282016
06406HCA5
BANK OF NEW YORK MELLON CORP/T CORP BND MTN
 
 
1
 
1,497,285

1,528,101.99

1,500,000.00

1,498,872.74

29,229.25

531.68

—

—

2.4

2.4379

Jan-Jul
             16,400.00
36,000

11172011
1172017
06406HCC1
BANK OF NEW YORK MELLON CORP/T CORP BND MTN
 
 
1
 
3,652,183.5

3,652,226.5

3,650,000.00

3,650,044.09

2,182.41

(1,673.91
)
—

—

1.2

1.2310

Feb-Aug
            32,750.00
73,481.66

7192013
2202015
06406HCG2
BANK OF NEW YORK MELLON CORP/T SENIOR CORP BND MTN
 
 
1
 
3,597,876

3,594,616.2

3,600,000.00

3,599,163.8

(4,547.6
)
708.50

—

—

0.7

0.7200

Mar-Sep
               8,190.00
25,200

3042013
3042016




06406HCK3
BANK OF NEW YORK MELLON CORP/T SENIOR CORP BND MTN
 
 
 
 
15,000,000

15,066,598.95

15,000,000.00

15,000,000

66,598.95

—

—

—

0.67535

0.6754

M-J-S-D
               7,879.16
107,647.23

6022014
3062018
06406HCU1
BANK OF NEW YORK MELLON/THE SENIOR CORP BND
 
 
1
 
1,996,120

1,999,505.62

2,000,000.00

1,996,604.9

2,900.72

484.90

—

—

2.2

2.2410

May-Nov
0
28,600

5022014
5152019
06406HCR8
BANK OF NEW YORK MELLON/THE SENIOR CORP BND MTN
 
 
1
 
7,491,675

7,512,806.48

7,500,000.00

7,493,174.34

19,632.14

1,499.34

—

—

2.2

2.2230

Mar-Sep
0
149,875

1282014
3042019
064159AM8
BANK OF NOVA SCOTIA
 
 
 
 
1,497,000

1,538,386.01

1,500,000.00

1,498,735.4

39,650.61

599.14

—

—

2.55

2.5929

Jan-Jul
             17,956.25
38,250

 
 
064159DA1
BANK OF NOVA SCOTIA
 
 
 
 
3,498,985

3,494,074.08

3,500,000.00

3,499,337.21

(5,263.13
)
465.75

—

—

1.1

1.1099

Jun-Dec
              4,675.00
53,777.78

 
 
064159BZ8
BANK OF NOVA SCOTIA
 
 
 
 
3,949,040

3,944,155.28

4,000,000.00

3,952,756.02

(8,600.74
)
3,716.02

—

—

1.45

1.8190

Apr-Oct
0
15,305.55

 
 
064159BW5
BANK OF NOVA SCOTIA
 
 
 
 
6,000,000

6,016,739.94

6,000,000.00

6,000,000

16,739.94

—

—

—

0.6406

0.6406

M-J-S-D
                1,714.27
38,637.74

 
 
06415CAA7
BANK OF NOVA SCOTIA CORP BND 144A
 
A
 
 
1,140,524

1,121,791.11

1,100,000.00

1,115,678.3

6,112.81

(9,707.09
)
—

—

2.15

1.2416

Feb-Aug
              9,722.78
23,650

5242012
8032016
06415CAD1
BANK OF NOVA SCOTIA SECURED CORP BND 144A
 
A
 
 
4,200,824.8

4,204,970

4,200,000.00

4,200,064.42

4,905.58

(297.71
)
—

—

1.05

1.0428

Mar-Sep
              12,372.51
44,100

4122012
3202015
06415CAE9
BANK OF NOVA SCOTIA SECURED LOCAL BND 144A
 
A
 
 
6,272,140

6,277,809.81

6,200,000.00

6,263,324.2

14,485.61

(9,652.73
)
—

—

1.75

1.7731

Mar-Sep
             10,587.50
63,000

8202014
3222017
G089B6CD0
BARCLAYS BANK PLC - GTD SENIOR CORP BND EMTN
 
D
 
 
2,679,360.59

2,688,100.22

1,700,000.00

2,687,572.58

527.64

1,178.20

—

(43,745.86
)
1.5

1.6120

April
              36,611.66
51,548.55

3282012
4042017
06739FGF2
BARCLAYS BANK PLC CORP BND
 
F
 
 
5,638,250

5,323,504.65

5,000,000.00

5,311,213.38

12,291.27

(177,644.00
)
—

—

5

1.3290

Mar-Sep
            68,750.00
250,000

2212013
9222016
06739GBP3
BARCLAYS BANK PLC CORP BND
 
F
 
 
6,019,695

5,987,704.53

5,500,000.00

5,992,180.75

(4,476.22
)
(27,514.25
)
—

—

5.14

3.4210

Apr-Oct
0
101,300.83

8192014
10142020
G079E0AA9
BARCLAYS BANK PLC LOCAL BND
 
D
1
 
1,166,817.2

1,157,518.59

680,000.00

1,164,897.12

(7,378.53
)
(2,080.08
)
—

(8,013.05
)
6.75

3.5055

January
0
5,133.42

12042014
1162023
06739FHT1
BARCLAYS BANK PLC SENIOR CORP BND
 
F
 
 
4,454,777.25

4,506,448.07

4,455,000.00

4,454,813.79

51,634.28

48.53

—

—

2.5

2.5011

Feb-Aug
0
127,928.13

2122014
2202019
06738EAD7
BARCLAYS PLC SENIOR CORP BND
 
F
 
 
916,761.6

918,490.48

920,000.00

916,848.71

1,641.77

87.11

—

—

2.75

2.8261

May-Nov
0
3,584.17

11032014
11082019
069643BE3
BARTOW CNTY GA DEV AUTH
 
 
 
 
1,037,520

1,032,650

1,000,000.00

1,037,308.45

(4,658.45
)
(211.55
)
—

—

2.7

2.5162

Feb-Aug
0
6,817.81

 
 
D06216BG5
BASF SE CORP BND
 
D
 
 
1,209,815.55

1,205,791.73

700,000.00

1,207,748.4

(1,956.67
)
(2,067.15
)
—

(1,778.89
)
5.875

1.1097

March
0
2,639.13

12152014
3312017
G08820EL5
BAT INTL FIN PLC SENIOR CORP BND EMTN
 
F
 
 
2,841,307.5

2,850,826.79

2,850,000.00

2,846,390.47

4,436.32

2,878.82

—

—

1.125

1.2250

March
             24,581.25
32,062.5

3202013
3292016
BRSMUD4Q9
BAUER PERFORMANCE SPORTS LTD
 
 
 
 
364,593.69

362,534.38

366,425.82

364,771.89

(2,237.51
)
1,565.97

—

—

—

0.0709

M-J-S-D
0
18,186.28

 
 
071813BH1
BAXTER INTERNATIONAL INC.
 
 
 
 
499,135

499,171.64

500,000.00

499,551.74

(380.1
)
313.02

—

—

0.95

1.0140

Jun-Dec
                  395.83
4,750

 
 
071813BD0
BAXTER INTERNATIONAL INC.
 
 
 
 
1,633,570.4

1,628,471.79

1,610,000.00

1,631,002.36

(2,530.57
)
(2,568.04
)
—

—

1.85

1.2001

Jan-Jul
0
7,446.25

 
 
071813BJ7
BAXTER INTERNATIONAL INC.
 
 
 
 
1,999,800

1,991,396.48

2,000,000.00

1,999,861.56

(8,465.08
)
38.47

—

—

1.85

1.8521

Jun-Dec
               1,644.44
37,000

 
 
07274EAD5
BAYER US FINANCE LLC SENIOR CORP BND 144A
 
 
 
 
995,420

1,003,083.72

1,000,000.00

995,622.27

7,461.45

202.27

—

—

2.375

2.4729

Apr-Oct
0
5,475.69

10012014
10082019
07274EAB9
BAYER US FINANCE LLC SENIOR CORP BND 144A
 
 
 
 
2,373,408.75

2,373,189.66

2,375,000.00

2,373,530.19

(340.53
)
121.44

—

—

1.5

1.5230

Apr-Oct
0
8,213.54

10012014
10062017
07274EAC7
BAYER US FINANCE LLC SENIOR CORP BND 144A
 
 
 
 
3,000,000

2,995,079.97

3,000,000.00

3,000,000

(4,920.03
)
—

—

—

0.5103

0.5103

J-A-J-O
0
3,614.63

10012014
10062017
07274EAF0
BAYER US FINANCE LLC SENIOR CORP BND 144A
 
 
 
 
4,997,500

5,044,031.9

5,000,000.00

4,997,575.55

46,456.35

75.55

—

—

3

3.0080

Apr-Oct
0
34,583.33

10012014
10082021




BRSNUZ2R8
BAYONNE ENERGY CENTER LLC SENIOR SECURED TERM NOTES
 
 
 
 
204,556.1

203,014.22

205,584.02

204,605.18

(1,590.96
)
81.23

—

—

—

0.0720

M-J-S-D
0
3,744.6

6242014
8192021
05531FAN3
BB&T CORP SENIOR CORP BND MTN
 
 
1
 
787,675.2

782,385.2

780,000.00

787,497.72

(5,112.52
)
(177.48
)
—

—

2.05

1.7532

Jun-Dec
0
1,288.09

11262014
6192018
06742LAG8
BCLDRY_14-5 SENIOR ABS2014-5 A
 
 
2
 
3,394,367.51

3,381,929.18

3,395,000.00

3,394,388.1

(12,458.92
)
20.59

—

—

1.48

1.4910

Monthly
0
4,885.03

11202014
9152020
07388VAE8
BEAR STEARNS COMMERCIAL MORTGA CMBS_07-T26 A4
 
 
2
 
5,449,250.81

5,268,615.5

4,918,928.80

5,290,998.81

(22,383.31
)
(166,992.49
)
—

—

5.471

(0.1873
)
Monthly
0
188,560.21

4162014
1122045
075887BB4
BECTON DICKINSON AND COMPANY
 
 
 
 
1,249,587.5

1,260,761.36

1,250,000.00

1,249,843.12

10,918.24

82.69

—

—

1.75

1.7569

May-Nov
              3,220.49
21,875

 
 
075887BD0
BECTON DICKINSON AND COMPANY
 
 
 
 
3,030,000

3,036,248.56

3,030,000.00

3,030,000

6,248.56

—

—

—

1.8

1.8000

Jun-Dec
0
2,424

 
 
075887BE8
BECTON DICKINSON AND COMPANY
 
 
 
 
4,646,121.47

4,684,227.41

4,635,000.00

4,646,023.45

38,203.96

(98.02
)
—

—

2.675

2.6234

Jun-Dec
0
5,510.49

 
 
084664BS9
BERKSHIRE HATHAWAY FINANC CORP
 
 
 
 
3,038,700

3,022,395.39

3,000,000.00

3,034,998.97

(12,603.58
)
(3,701.03
)
—

—

1.6

1.0999

May-Nov
0
12,000

 
 
084670BD9
BERKSHIRE HATHAWAY INC
 
 
 
 
1,018,370

1,014,765.4

1,000,000.00

1,016,411.25

(1,645.85
)
(1,958.75
)
—

—

1.9

1.1002

Jan-Jul
0
4,750

 
 
BRSLNCKT7
BERRY PLASTICS CORP SENIOR SECURED TERM NOTES
 
 
 
 
4,014,760.85

3,921,689.93

4,018,557.25

4,015,275.54

(93,585.61
)
2,150.57

—

—

—

0.0134

M-J-S-D
0
267,019.3

2052014
1062021
BRSHBHS86
BERRY PLASTICS CORP SENIOR SECURED TERM NOTES
 
 
2
 
10,042,622.98

9,763,035.2

10,057,622.98

10,045,667.63

(282,632.43
)
2,330.17

—

—

—

0.0229

J-A-J-O
0
371,223.08

9112013
2082020
05541VAD8
BG ENERGY CAPITAL PLC CORP BND 144A
 
F
 
 
515,455

511,833.61

500,000.00

513,538.98

(1,705.37
)
(572.24
)
—

—

2.875

1.3351

Apr-Oct
             26,098.61
119,320.49

10062011
10152016
05541VAC0
BG ENERGY CAPITAL PLC CORP BND 144A
 
F
 
 
1,021,200

1,014,186.48

1,000,000.00

1,016,683.53

(2,497.05
)
(4,516.47
)
—

—

2.5

0.7098

Jun-Dec
0
6,250

12022010
12092015
G1163HET9
BG ENERGY CAPITAL PLC CORP BND EMTN
 
D
 
 
1,242,168.15

1,232,569.32

720,000.00

1,240,143.35

(7,574.03
)
(2,024.80
)
—

(7,981.29
)
5.125

1.6792

December
0
3,173.1

12102014
12072017
055451AP3
BHP BILLITON FINANCE (USA) LTD
 
 
 
 
6,706,708

6,779,759.12

6,725,000.00

6,716,959.96

62,799.16

3,648.43

—

—

1.625

1.6819

Feb-Aug
            38,552.00
109,281.26

 
 
BRSMDF7M9
BIG HEART PET BRANDS SENIOR SECURED TERM NOTES
 
 
 
 
4,035,156.82

3,908,949.33

4,061,246.05

4,038,426.17

(129,476.84
)
3,269.35

—

—

—

0.1060

M-J-S-D
0
109,274.59

3312014
3082020
BRSK4S5S4
BMC SOFTWARE FINANCE INC SENIOR SECURED TERM NOTES
 
 
2
 
4,706,289.75

4,611,412.06

4,725,097.92

4,708,992.83

(97,580.77
)
4,657.43

—

—

—

0.0590

F-M-A-N
0
59,960.33

7162014
9102020
BRSQJTZG6
BMW US CAPITAL LLC SENIOR CORP BND EMTN
 
O
 
 
1,419,294.36

1,424,780.3

900,000.00

1,419,183.21

5,597.09

(111.15
)
—

(2,090.31
)
2

1.7802

November
0
1,121.96

12152014
11202019
05579UAD5
BMWLT_14-1 ABS _14-1-A4
 
 
2
 
12,299,729.4

12,280,511.02

12,300,000.00

12,299,709.43

(19,198.41
)
(19.97
)
—

—

0.99

0.9918

Monthly
0
86,253.75

4092014
8212017
05578XAC2
BMWOT_13-A ABS 13-A A3
 
 
2
 
1,684,962.09

1,684,881.98

1,685,000.00

1,684,969.98

(88
)
7.47

—

—

0.67

0.6714

Monthly
                    188.16
11,289.48

10292013
11272017
09658UAD1
BMWOT_14-A ABS 14-A-A4
 
 
2
 
1,999,785.4

1,993,139.96

2,000,000.00

1,999,795.55

(6,655.59
)
10.15

—

—

1.5

1.5071

Monthly
0
6,333.33

10082014
2252021
05948XYC9
BOAMS WHOLE CMO 03-J-2A1
 
 
2
 
30,504.67

30,960.29

30,947.08

30,548.44

411.85

64.80

—

—

2.78037

3.0481

Monthly
                    83.53
921.04

11302007
11252033
097014AN4
BOEING CAPITAL CORPORATION
 
 
 
 
1,024,600

1,018,246.15

1,000,000.00

1,021,150.67

(2,904.52
)
(3,449.33
)
—

—

2.125

0.7402

Feb-Aug
0
5,312.5

 
 
097023BE4
BOEING CO
 
 
 
 
1,970,180

1,949,149.16

2,000,000.00

1,976,443.48

(27,294.32
)
4,140.70

—

—

0.95

1.1759

May-Nov
               1,820.83
15,437.5

 
 
102022AX8
BOURBONNAIS ILL MUNI BND REV
 
 
1
 
1,236,560.5

1,225,371

1,150,000.00

1,229,605.02

(4,234.02
)
(6,955.48
)
—

—

4.375

1.8538

May-Nov
0
12,578.13

7272007
11012018
BRSK5A7F8
BOYD GAMING CORPORATION SENIOR SECURED TERM LOAN
 
 
 
 
3,367,500.8

3,335,921.72

3,389,406.55

3,368,866.45

(32,944.73
)
1,457.23

—

—

—

0.1083

F-M-A-N
0
58,066.42

11142014
8142020
05565QBT4
BP CAPITAL MARKETS PLC CORP BND
 
F
 
 
4,773,490

4,833,186.99

4,750,000.00

4,758,900.34

74,286.65

(4,720.50
)
—

—

2.248

2.1431

May-Nov
             17,796.67
106,780

12052014
11012016




05565QCC0
BP CAPITAL MARKETS PLC SENIOR CORP BND
 
F
 
 
498,865

494,820.83

500,000.00

498,958.31

(4,137.48
)
11,316.29

—

—

1.375

1.4500

May-Nov
             16,805.55
69,399.31

11012012
11062017
05565QCE6
BP CAPITAL MARKETS PLC SENIOR CORP BND
 
F
 
 
1,105,638.75

1,103,127.85

1,125,000.00

1,106,970.68

(3,842.83
)
4,544.29

—

—

1.375

1.8699

May-Nov
              18,018.23
85,049.49

5072013
5102018
05565QCF3
BP CAPITAL MARKETS PLC SENIOR CORP BND
 
F
 
 
2,500,000

2,471,704.7

2,500,000.00

2,500,000

(28,295.3
)
—

—

—

0.7416

0.7416

F-M-A-N
              3,593.02
24,446.27

5072013
5102018
05565QBY3
BP CAPITAL MARKETS PLC SENIOR CORP BND
 
F
 
 
5,700,000

5,741,374.47

5,700,000.00

5,700,000

41,374.47

—

—

—

1.846

1.8460

May-Nov
             16,367.87
105,222

5022012
5052017
07330NAG0
BRANCH BKG & TR CO CORP BND
 
 
1
 
499,335

498,223.65

500,000.00

499,575.14

(1,351.49
)
218.72

—

—

1.05

1.0950

Jun-Dec
                   510.42
5,250

11192013
12012016
07330NAC9
BRANCH BKG & TR CO SENIOR CORP BND
 
 
1
 
999,640

1,003,495.1

1,000,000.00

999,794.61

3,700.49

118.42

—

—

1.45

1.4619

Apr-Oct
                  4,511.11
14,500

9042013
10032016
07330NAD7
BRANCH BKG & TR CO SENIOR CORP BND
 
 
1
 
4,385,673.24

4,356,071.25

4,308,000.00

4,384,027.76

(27,956.51
)
(1,645.48
)
—

—

2.3

1.8025

Apr-Oct
0
7,981.76

11262014
10152018
10620NCG1
BRAZOS HIGHER EDUCATION AUTHOR ABS 11-1 A2
 
 
2
 
3,009,607.83

3,068,959.66

3,050,716.38

3,028,974.01

39,985.65

8,610.53

—

—

1.03285

1.2451

F-M-A-N
              3,969.27
35,621.4

3102011
2252030
110122AS7
BRISTOL-MYERS SQUIBB CO SENIOR CORP BND
 
 
 
 
1,976,960

1,979,577.64

2,000,000.00

1,978,979.22

598.42

2,019.22

—

—

0.875

1.2899

Feb-Aug
0
4,375

7262012
8012017
110122AV0
BRISTOL-MYERS SQUIBB CO SENIOR CORP BND
 
 
 
 
4,977,000

4,958,934.8

5,000,000.00

4,981,832.86

(22,898.06
)
4,145.21

—

—

1.75

1.8411

Mar-Sep
             14,826.39
87,500

10242013
3012019
111013AM0
BRITISH SKY BROADCASTING GRP P SENIOR CORP BND 144A
 
F
 
 
2,461,327.15

2,461,589.45

2,465,000.00

2,461,531.61

57.84

219.96

—

—

2.625

2.6570

Mar-Sep
0
20,330.98

9092014
9162019
BRSQK8KF8
BRITISH SKY BROADCASTING GRP P SENIOR CORP BND EMTN
 
D
 
 
2,267,062.81

2,303,818.29

1,450,000.00

2,267,095.76

36,722.53

37.69

—

(8,185.24
)
2.875

2.8709

November
0
7,768.03

11172014
11242020
11102AAA9
BRITISH TELECOMMUNICATIONS PLC CORP BND
 
F
 
 
1,121,760

1,115,075.07

1,000,000.00

1,120,118.41

(5,043.34
)
(1,641.59
)
—

—

5.95

1.8639

Jan-Jul
0
2,479.17

12112014
1152018
111021AK7
BRITISH TELECOMMUNICATIONS PLC SENIOR CORP BND
 
F
 
 
425,110.5

423,735.88

425,000.00

425,110.5

(1,374.62
)
303.13

—

—

2.35

2.3430

Feb-Aug
0
38,760.32

12112014
2142019
G1582KAR3
BRITISH TELECOMMUNICATIONS PLC SENIOR LOCAL BND EMTN
 
D
 
 
3,334,641.6

3,175,384.7

1,820,000.00

3,292,926.4

(117,541.7
)
(50,126.55
)
—

(130,577.51
)
6.625

1.8442

June
0
76,451.96

12102014
6232017
114894GU6
BROWARD CNTY FLA MUNITAX BND REV
 
 
 
 
2,120,240

2,089,360

2,000,000.00

2,089,660.49

(300.49
)
(30,579.51
)
—

—

6.8

0.7699

Apr-Oct
0
34,000

5242001
10012015
114894HA9
BROWARD CNTY FLA MUNITAX BND REV
 
 
2
 
5,748,800

5,701,700

5,000,000.00

5,725,177.43

(23,477.43
)
(23,622.57
)
—

—

6.9

4.3924

Apr-Oct
0
86,250

5242001
10012021
115637AN0
BROWN-FORMAN CORPORATION SENIOR CORP BND
 
 
 
 
1,295,697

1,276,978.34

1,300,000.00

1,297,406.86

(20,428.52
)
835.41

—

—

1

1.0669

Jan-Jul
              5,994.44
13,000

12102012
1152018
07387AAW5
BSARM CMO_05-3 2A1
 
 
2
 
887,950.74

835,612.02

904,629.85

889,644.7

(54,032.68
)
(7,847.27
)
—

—

2.61711

2.9430

Monthly
               2,312.50
25,191.93

8102007
6252035
07384M3D2
BSARM_04-10 CMO 04-9 22A1
 
 
2
 
689,323

704,214.06

702,673.80

690,622.66

13,591.4

2,378.18

—

—

3.012935

3.3894

Monthly
               2,127.62
24,219.15

8132007
11252034
07387JAF3
BSCMS PAC SENIOR CMBS 06-PW12 A1A
 
 
2
 
491,972.47

476,683.09

453,577.83

478,242.16

(1,559.07
)
(15,561.18
)
—

—

5.697096

(2.6471
)
Monthly
0
19,551.53

4232014
9112038
07388YAE2
BSCMS_07-PW16 CMBS 07-PW16 A4
 
 
2
 
4,005,351.57

3,855,959.29

3,575,000.00

3,897,736

(41,776.71
)
(107,615.57
)
—

—

5.70723

1.1687

Monthly
0
142,251.39

4242014
6112040
BRSG4MWQ0
BSN MEDICAL SENIOR SECURED TERM NOTE
 
E
2
 
2,067,501.74

2,072,444.71

2,077,638.81

2,070,723.65

1,721.06

1,572.10

—

—

—

0.0706

J-A-J-O
0
84,461.25

10292012
8282019
G1698AAB1
BUPA FINANCE PLC LOCAL BND EMTN
 
D
 
 
802,257.24

798,311.01

470,000.00

800,484.76

(2,173.75
)
(1,772.48
)
—

(1,179.03
)
7.5

1.4020

Jan-Jul
0
2,243.66

12152014
7042016
G1698AAD7
BUPA FINANCE PLC SENIOR CORP BND
 
D
 
 
425,123.01

415,488.3

255,000.00

425,281.58

(9,793.28
)
215.62

—

(29,660.48
)
3.375

3.4620

Jun-Dec
0
10,580.59

6102014
6172021
126802BS5
CABMT_12-2A ABS_11-2A A2
 
 
2
 
18,603,606.06

18,501,994.68

18,445,000.00

18,515,124.06

(13,129.38
)
(47,941.85
)
—

—

0.7608

0.7620

Monthly
              6,293.43
141,154.5

3072013
6172019
12800UAL4
CAISSE CENTRALE DESJARDINS SECURED LOCAL BND 144A
 
A
 
 
2,699,352

2,726,297.98

2,700,000.00

2,699,711.57

26,586.41

129.20

—

—

1.6

1.6050

Mar-Sep
             13,800.00
43,200

2282012
3062017




BRSKJS6N8
CAISSE D'AMORT DETTE SOCIALE SENIOR CORP BND
 
F
 
 
4,986,800

5,041,526.25

5,000,000.00

4,992,401.16

49,125.09

4,358.08

—

—

1.25

1.3401

Mar-Sep
             17,708.33
62,500

9102013
9192016
12802DAJ5
CAISSE D'AMORT DETTE SOCIALE SENIOR CORP BND 144A
 
F
 
 
5,992,324.3

6,028,560.36

6,000,000.00

5,994,000.99

34,559.37

(1,766.96
)
—

—

1.125

1.1738

Jan-Jul
0
89,305

6022014
1302017
13063A2V5
CALIFORNIA STATE OF MUNI BND GO
 
 
1
 
5,639,950

5,658,750

5,000,000.00

5,599,096.65

59,653.35

(40,853.35
)
—

—

5

1.5499

Feb-Aug
0
62,500

6252008
8012028
BRSJ3EEC4
CALPINE CONSTRUCTION FINANCE C SENIOR SECURED TERM LOAN
 
 
2
 
3,114,643.86

3,006,653.94

3,122,450.00

3,116,403.03

(109,749.09
)
1,203.42

—

—

—

0.0358

J-A-J-O
0
95,574.84

5022013
5032020
BRSJ7A0J8
CALPINE CONSTRUCTION FINANCE C SENIOR SECURED TERM LOAN
 
 
 
 
6,612,280.57

6,446,425.84

6,665,831.69

6,619,880.68

(173,454.84
)
6,094.28

—

—

—

0.0962

M-J-S-D
0
210,056.39

2252014
1312022
135087C77
CANADA GOVERNMENT CORP BND
 
A
 
 
2,396,208

2,408,712.17

2,400,000.00

2,396,827.47

11,884.7

619.47

—

—

1.625

1.6581

Feb-Aug
0
32,933.33

2202014
2272019
427028AA3
CANADA GOVERNMENT GOVT BND
 
A
 
 
251,847.5

250,380

250,000.00

250,876.93

(496.93
)
(202.61
)
—

—

0.875

0.7080

Feb-Aug
                8,491.15
16,554.51

8082012
2142017
136069FV8
CANADIAN IMPERIAL BANK OF COMM SENIOR CORP BND
 
A
 
 
2,250,000

2,259,292.55

2,250,000.00

2,250,000

9,292.55

—

—

—

0.75075

0.7508

J-A-J-O
              3,999.95
19,627.63

7152013
7182016
136375BU5
CANADIAN NTL RAIL CO CORP BND
 
A
1
 
3,721,350

3,773,701.88

3,750,000.00

3,738,723.72

34,978.16

(12,117.52
)
—

—

1.45

1.6070

Jun-Dec
                5,381.10
101,806.12

11072011
12152016
14042E3Y4
CAPITAL ONE BANK USA NA / CAPI SENIOR CORP BND
 
 
 
 
6,855,612.5

6,823,975.13

6,875,000.00

6,856,707.56

(32,732.43
)
1,150.46

—

—

2.95

2.9950

Jan-Jul
0
92,873.79

7212014
7232021
14041NDT5
CAPITAL ONE MULTI-ASSET EXECUT ABS 07-A5 A5
 
 
2
 
3,064,754.69

3,061,575.6

3,085,000.00

3,066,804.24

(5,228.64
)
2,049.55

—

—

0.2008

0.4173

Monthly
0
1,870.89

9082014
7152020
BRSMQYER5
CAPITAL SAFETY NORTH AMERICA H SENIOR SECURED TERM NOTES
 
 
 
 
4,085,649.16

3,978,266.65

4,090,762.62

4,086,053.88

(107,787.23
)
930.36

—

—

—

0.0182

M-J-S-D
0
90,935.24

3262014
3292021
BRSFJDVV6
CAPSUGEL HEALTHCARE LTD TERM LOAN
 
 
2
 
1,979,074.32

1,953,530.8

1,994,029.54

1,979,342.83

(25,812.03
)
313.29

—

—

—

0.2036

F-M-A-N
0
5,773.23

11192014
8012018
14149YAZ1
CARDINAL HEALTH INC SENIOR CORP BND
 
 
 
 
2,991,790

2,990,930.79

3,000,000.00

2,991,973.83

(1,043.04
)
183.83

—

—

2.4

2.4587

May-Nov
0
8,400

11102014
11152019
14313LAC0
CARMX_13-1 ABS 13-1
 
 
2
 
4,258,817.36

4,256,816.8

4,258,946.40

4,258,887.06

(2,070.26
)
50.02

—

—

0.6

0.6016

Monthly
               1,280.00
28,523.79

2062013
10162017
14313MAB0
CARMX_13-2 ABS_13-2 A2
 
 
2
 
276,659.84

276,649.28

276,667.81

276,660.86

(11.58
)
39.20

—

—

0.42

0.4220

Monthly
                  475.97
5,761.96

5082013
6152016
14313RAD5
CARMX_14-2 SENIOR ABS_14-2-A4
 
 
2
 
1,999,666.6

1,998,929.6

2,000,000.00

1,999,717.51

(787.91
)
50.91

—

—

1.61

1.6197

Monthly
0
20,303.87

5072014
10152019
14313TAC3
CARMX_14-3 ABS _14-3-A3
 
 
2
 
1,199,904.84

1,197,616.51

1,200,000.00

1,199,916.23

(2,299.72
)
11.39

—

—

1.16

1.1654

Monthly
0
5,336

8062014
6152019
14313TAD1
CARMX_14-3 ABS_14-3-A4
 
 
2
 
2,291,414.06

2,291,245.1

2,295,000.00

2,291,659.43

(414.33
)
245.37

—

—

1.73

1.7797

Monthly
0
10,477.33

9232014
1152020
BRSN5MWG6
CATALENT PHARMA SOLUTIONS INC SENIOR SECURED TERM LOAN
 
 
1
 
5,426,063.31

5,422,654.98

5,453,329.96

5,428,051.31

(5,396.33
)
2,120.43

—

—

—

0.0718

M-J-S-D
0
116,515.86

11242014
5202021
14912L4S7
CATERPILLAR INC SENIOR CORP BND MTN
 
 
 
 
1,029,560

1,023,235

1,000,000.00

1,024,550.71

(1,315.71
)
(5,009.29
)
—

—

2.65

0.6698

Apr-Oct
0
6,625

3232011
4012016
14912L5T4
CATERPILLAR INC SENIOR CORP BND MTN
 
 
 
 
1,016,550

1,019,474.18

1,000,000.00

1,015,511.11

3,963.07

(1,590.26
)
—

—

2.45

2.0101

Mar-Sep
0
9,774.82

9032013
9062018
14912L5N7
CATERPILLAR INC SENIOR CORP BND MTN
 
 
 
 
2,896,404

2,899,065.04

2,900,000.00

2,898,650.62

414.42

1,162.09

—

—

0.7

0.7406

Feb-Aug
               7,048.61
20,300

2252013
2262016
14912L5M9
CATERPILLAR INC SENIOR CORP BND MTN
 
 
 
 
5,000,000

5,005,400.1

5,000,000.00

5,000,000

5,400.1

—

—

—

0.47435

0.4744

F-M-A-N
              2,383.00
23,979.44

2252013
2262016
12479RAB3
CAUTO_14-1A ABS_14-1A A 144A
 
 
2
 
2,998,196.46

2,986,155

3,000,000.00

2,998,204.28

(12,049.28
)
7.82

—

—

3.66

3.6926

Monthly
0
22,875.01

10102014
10152044
124857AL7
CBS CORP SENIOR CORP BND
 
 
1
 
1,973,560

1,973,487.4

2,000,000.00

1,974,866.93

(1,379.53
)
1,306.93

—

—

2.3

2.5902

Feb-Aug
0
11,500

9032014
8152019
BRSLW9ZY7
CBS OUTDOOR AMERICAS CAPITAL L SENIOR SECURED TERM LOAN
 
 
 
 
2,104,725

2,066,291.35

2,110,000.00

2,105,381.58

(39,090.23
)
656.58

—

—

—

0.0355

M-J-S-D
0
44,661.65

1172014
1312021




17119RAD4
CCART_13-AA ABS_13-AA A4 144A
 
 
2
 
884,992.92

888,725.83

885,000.00

884,989.32

3,736.51

(2.80
)
—

—

1.34

1.3434

Monthly
                  527.07
11,859

10162013
12172018
17119RAC6
CCART_13-AA BAS_13-AA A3 144A
 
 
2
 
3,089,639.09

3,096,458.1

3,090,000.00

3,089,823.39

6,634.71

154.44

—

—

0.91

0.9169

Monthly
               1,249.73
28,119

10162013
4162018
17119VAC7
CCART_13-B ABS_13-B A3 144A
 
 
2
 
2,081,033.95

2,079,334.44

2,080,000.00

2,080,791.81

(1,457.37
)
(247.32
)
—

—

0.85

0.8581

Monthly
                   351.34
11,271.93

8262014
5152018
17119VAD5
CCART_13-B ABS_13-BA A4 144A
 
 
2
 
1,474,731.41

1,470,943.72

1,475,000.00

1,474,812.16

(3,868.44
)
71.66

—

—

1.27

1.2784

Monthly
                  780.52
18,784.51

11062013
3152019
17119YAC1
CCART_14-BA ABS _14-BA-A3 144A
 
 
2
 
6,428,778.3

6,436,751.69

6,430,000.00

6,428,907.52

7,844.17

129.22

—

—

1.27

1.2812

Monthly
0
21,776.26

9182014
5152019
17305EFC4
CCCIT ABS 13-A3 A3
 
 
2
 
12,642,449.5

12,676,240.11

12,645,000.00

12,643,616.25

32,623.86

858.60

—

—

1.11

1.1170

Jan-Jul
            55,753.92
140,359.49

8012013
7232018
17305EDY8
CCCIT_13-A1 ABS_07-A8 A8
 
 
2
 
3,122,148.44

2,996,175.61

2,700,000.00

3,004,836.17

(8,660.56
)
(109,235.54
)
—

—

5.65

1.4013

Mar-Sep
            42,798.75
152,550

12032013
9202019
17305EFK6
CCCIT_13-A10 ABS 13-A10 A10
 
 
2
 
11,385,664.06

11,377,009.96

11,375,000.00

11,381,394.75

(4,384.79
)
(4,269.31
)
—

—

0.73

0.6768

Feb-Aug
0
62,278.12

3262014
2072018
17305EFL4
CCCIT_13-A12 SENIOR ABS 13-A12 A12
 
 
2
 
500,000

499,629.1

500,000.00

500,000

(370.9
)
—

—

—

0.46185

0.4621

F-M-A-N
                     91.94
2,313.35

12112013
11072018
17305EFE0
CCCIT_13-A6 ABS 13-A6 A6
 
 
2
 
3,922,182.81

3,909,480

3,890,000.00

3,914,737.5

(5,257.5
)
(7,310.26
)
—

—

1.32

0.9122

Mar-Sep
              3,240.42
25,258.2

8262014
9072018
17305EFQ3
CCCIT_14-A4 ABS _14-A4-A4
 
 
2
 
1,059,785.77

1,057,711.49

1,060,000.00

1,059,826.42

(2,114.93
)
40.65

—

—

1.23

1.2370

Apr-Oct
0
8,510.92

4292014
4242019
17305EFU4
CCCIT_14-A8 SENIOR ABS 2014-A8 A8
 
 
2
 
3,989,440.6

3,994,209.73

3,990,000.00

3,989,443.14

4,766.59

2.54

—

—

1.73

1.7339

Apr-Oct
0
18,598.94

9172014
4092020
BRSJ28TC2
CEDAR BAY GENERATING CO LP SENIOR SECURED TERM NOTES
 
 
 
 
2,238,498.7

2,244,151.49

2,261,109.81

2,243,807.95

343.54

6,816.61

—

—

—

0.1427

M-J-S-D
0
159,927.56

4152013
4232020
151020AG9
CELGENE CORPORATION SENIOR CORP BND
 
 
 
 
4,034,680

4,014,461.68

4,000,000.00

4,031,708.15

(17,246.47
)
(2,971.85
)
—

—

1.9

1.5900

Feb-Aug
0
19,000

8082012
8152017
BRSDYT4C1
CEQUEL COMMUNICATIONS LLC TERM LOAN
 
 
2
 
1,494,487.65

1,500,459.96

1,520,947.12

1,503,735.56

(3,275.6
)
10,784.65

—

—

—

0.2717

M-J-S-D
0
213,984.03

10312012
2142019
15672NAA2
CERB_14-1A ABS_14-1A-A 144A
 
 
2
 
2,000,000

1,996,943.36

2,000,000.00

2,000,000

(3,056.64
)
—

—

—

2.1311

2.1344

J-A-J-O
0
3,196.65

11202014
10152023
15672NAC8
CERB_14-1A MEZZANIN ABS _14-1A-B 144A
 
 
2
 
991,577.3

987,502.82

1,000,000.00

991,704.19

(4,201.37
)
126.89

—

—

2.9311

3.1475

J-A-J-O
0
2,210.93

11202014
10152023
156792GT4
CERRITOS CALIF CMNTY COLLEGE D MUNI BND
 
 
 
 
500,000

502,385

500,000.00

500,000

2,385

—

—

—

2.165

2.1650

Feb-Aug
0
4,510.42

11052014
8012019
165182BA3
CF_09-2A ABS 12-1A 144A
 
 
2
 
1,094,854.56

1,097,504.07

1,094,854.56

1,094,854.56

2,649.51

—

—

—

0.9072

0.9089

Monthly
               1,400.30
18,041.31

5102012
11072023
17322FAA9
CGCMT_14-388G SENIOR CMBS_14-388G A 144A
 
 
2
 
490,000

490,466.48

490,000.00

490,000

466.48

—

—

—

0.911

0.9127

Monthly
0
2,411.86

6052014
6152033
17322VAR7
CGCMT_14-GC23 SENIOR CMBS_14-GC23 A2
 
 
2
 
3,316,556.2

3,298,085.09

3,220,000.00

3,309,036.02

(10,950.93
)
(7,520.18
)
—

—

2.851

2.2119

Monthly
0
36,720.87

7172014
7102047
161571FR0
CHAIT_12-8 ABS 12-8
 
 
2
 
5,000,828.5

4,997,549.8

5,000,000.00

5,000,231.38

(2,681.58
)
(291.99
)
—

—

0.54

0.5347

Monthly
               1,200.00
27,000

12062012
10162017
161571FU3
CHAIT_13-A1 ABS 13-A1
 
 
2
 
4,954,296.87

4,951,709.36

5,000,000.00

4,958,337.03

(6,627.67
)
4,040.16

—

—

1.3

1.5788

Monthly
0
20,222.24

9042014
2182020
161571FW9
CHAIT_13-A3 ABS 13-A3
 
 
2
 
3,405,000

3,401,633.74

3,405,000.00

3,405,000

(3,366.26
)
—

—

—

0.4408

0.4412

Monthly
                  675.86
15,006.83

4122013
4152020
161571FX7
CHAIT_13-A5 ABS_13-A5 A
 
 
2
 
2,249,976.15

2,249,685

2,250,000.00

2,249,995.44

(310.44
)
12.09

—

—

0.47

0.4710

Monthly
                  470.00
10,575

5162013
5152017
161571GH1
CHAIT_13-A9 ABS 13-A9 A
 
 
2
 
1,500,000

1,504,067

1,500,000.00

1,500,000

4,067

—

—

—

0.5808

0.5815

Monthly
                  466.57
8,739.82

12102013
11152020
BRSJ315T5
CHARTER COMMUNICATION OPER LLC SENIOR SECURED TERM NOTES
 
 
2
 
5,123,932.59

5,072,178.45

5,163,599.99

5,127,625.63

(55,447.18
)
3,877.54

—

—

—

0.1145

J-A-J-O
0
170,547.28

7102014
1032021




161630BD9
CHASE CMO_07-A1 11M1
 
 
2
 
2,172,503.7

1,984,454.11

2,151,909.23

2,169,999.82

(185,545.71
)
(20,505.36
)
—

—

2.47937

2.2896

Monthly
              5,558.97
57,095.93

1182008
3252037
161571GC2
CHASE ISSUANCE TRUST ABS 13-A8
 
 
2
 
1,999,543.4

1,998,557.58

2,000,000.00

1,999,677.85

(1,120.27
)
114.28

—

—

1.01

1.0181

Monthly
                  897.78
20,199.96

10252013
10152018
161571FJ8
CHASE ISSUANCE TRUST CHAIT_12- ABS_12-A3 A3
 
 
2
 
7,028,437.5

7,009,310.21

7,000,000.00

7,010,764.01

(1,453.8
)
(27,628.84
)
—

—

0.79

0.4525

Monthly
0
64,845.83

3272014
6152017
161571GJ7
CHASE ISSUANCE TRUST CHAIT_14- ABS 14-A1 A
 
 
2
 
11,497,919.65

11,496,979.18

11,500,000.00

11,498,332.98

(1,353.8
)
413.33

—

—

1.15

1.1568

Monthly
0
122,698.58

1162014
1152019
161571GQ1
CHASE ISSUANCE TRUST SENIOR ABS 14-A7 A
 
 
2
 
1,599,812.32

1,593,170.66

1,600,000.00

1,599,819.45

(6,648.79
)
7.13

—

—

1.38

1.3880

Monthly
0
2,698.66

11072014
11152019
166430AA6
CHEST_14-1A ABS _14-1A-A 144A
 
 
2
 
3,000,000

2,999,340.09

3,000,000.00

3,000,000

(659.91
)
—

—

—

4.5

4.5232

M-J-S-D
0
5,625

12112014
12152034
166764AN0
CHEVRON CORP SENIOR CORP BND
 
 
1
 
500,000

500,383.91

500,000.00

500,000

383.91

—

—

—

2.193

2.1930

May-Nov
0
1,309.71

11102014
11152019
166764AC4
CHEVRON CORP SENIOR CORP BND
 
 
 
 
865,000

866,791.94

865,000.00

865,000

1,791.94

—

—

—

0.889

0.8890

Jun-Dec
                   726.01
34,620.27

6172013
6242016
166764AA8
CHEVRON CORP SENIOR CORP BND
 
 
1
 
990,820

992,124.71

1,000,000.00

991,545.04

579.67

725.04

—

—

1.104

1.4000

Jun-Dec
0
2,760

11282012
12052017
166764AL4
CHEVRON CORP SENIOR CORP BND
 
 
 
 
2,250,000

2,249,720.01

2,250,000.00

2,250,000

(279.99
)
—

—

—

1.345

1.3450

May-Nov
0
3,614.69

11102014
11152017
167485Q87
CHICAGO (CITY OF) MUNI BND GO
 
 
1
 
3,248,430

3,215,220

3,000,000.00

3,229,891.53

(14,671.53
)
(18,538.47
)
—

—

5

2.3400

Jan-Jul
0
37,500

10262007
1012020
BRSR021B1
CHIEF POWER FINANCE LLC SENIOR SECURED TERM NOTES
 
 
 
 
3,771,428.57

3,790,476.19

3,809,523.81

3,771,428.57

19,047.62

—

—

—

—

0.1709

M-J-S-D
0
—

12162014
12312020
170016XW4
CHIPPEWA VALLEY MICH SCHS MUNI BND GO
 
 
1
 
6,265,211

6,387,073

5,450,000.00

6,243,994.56

143,078.44

(21,216.44
)
—

—

5

3.0097

May-Nov
0
68,125

9162013
5012027
BRSM3VKC2
CHRYSLER GROUP LLC SENIOR SECURED TERM NOTES
 
 
 
 
4,955,385.29

4,942,934.59

4,980,286.74

4,959,726

(16,791.41
)
4,528.87

—

—

—

0.1020

F-M-A-N
0
100,900.46

2052014
12312018
171340AJ1
CHURCH & DWIGHT CO INC SENIOR CORP BND
 
 
1
 
1,998,780

1,997,569.74

2,000,000.00

1,998,791.53

(1,221.79
)
11.53

—

—

2.45

2.4629

Jun-Dec
0
2,994.44

12042014
12152019
12549BAC2
CIFC_13-2A ABS _13-2A-A1L 144A
 
 
2
 
977,000

976,271.97

1,000,000.00

977,043.58

(771.61
)
43.58

—

—

1.38075

1.9524

J-A-J-O
0
191.77

12232014
7182025
12548CAD9
CIFC_14-2A MEZZANIN ABS _14-2A-A3L 144A
 
F
1
 
1,918,000

1,904,037.02

2,000,000.00

1,919,936.58

(15,899.56
)
1,936.58

—

—

3.0829

3.7423

F-M-A-N
0
11,786.56

10232014
5262026
BRSKAX1N1
CINCINNATI BELL INC SENIOR SECURED TERM NOTES
 
E
 
 
3,241,635.37

3,234,703.37

3,259,146.98

3,244,326.55

(9,623.18
)
2,239.33

—

—

—

0.0789

M-J-S-D
0
91,649.99

11202014
9102020
17275RAR3
CISCO SYSTEMS INC SENIOR CORP BND
 
 
 
 
500,100

501,365.32

500,000.00

500,096.54

1,268.78

(3.46
)
—

—

2.125

2.1201

Mar-Sep
0
2,656.25

2242014
3012019
17275RAQ5
CISCO SYSTEMS INC SENIOR CORP BND
 
 
 
 
3,500,000

3,517,079.69

3,500,000.00

3,500,000

17,079.69

—

—

—

0.7336

0.7336

M-J-S-D
0
21,648.17

2242014
3012019
17275RAT9
CISCO SYSTEMS INC SENIOR CORP BND
 
 
 
 
3,499,790

3,497,793.53

3,500,000.00

3,499,847.53

(2,054
)
73.55

—

—

1.1

1.1020

Mar-Sep
0
40,806.94

9182014
3032017
17305EDL6
CITIBANK CREDIT CARD ISSUANCE ABS_06-A8 A8
 
 
2
 
2,588,682.81

2,607,688.96

2,620,000.00

2,607,893.42

(204.46
)
5,582.58

—

—

0.2706

0.4829

J-A-J-O
               1,609.90
7,248.41

7062011
12172018
17318UAB0
CITIGROUP COMMERCIAL MORTGAGE CMBS_12-GC8 A2
 
 
2
 
9,088,242.19

9,054,720.18

9,000,000.00

9,075,646.47

(20,926.29
)
(12,595.72
)
—

—

1.813

1.4409

Monthly
0
63,001.79

8072014
9102045
172967HZ7
CITIGROUP INC CAPSEC CORP BND
 
 
1
 
2,053,000

2,053,000

2,053,000.00

2,053,000

—

—

—

—

5.8

5.7954

May-Nov
0
20,507.19

10222014
12312049
172967GR6
CITIGROUP INC CAPSEC CORP BND
 
 
1
 
9,970,625

9,686,250

10,500,000.00

9,972,477.58

(286,227.58
)
1,852.58

—

—

5.35

5.6274

May-Nov
0
146,679.17

11252014
12312049
U17406FZ4
CITIGROUP INC CORP BND
 
O
 
 
1,580,154.19

1,568,104.76

850,000.00

1,576,215.66

(8,110.9
)
(3,938.53
)
—

(10,144.19
)
7.625

1.8106

April
0
5,573.34

12102014
4032018
172967FD8
CITIGROUP INC CORP BND
 
 
 
 
2,652,105

2,536,800

2,500,000.00

2,514,701.45

22,098.55

(53,506.51
)
—

—

4.75

3.1829

May-Nov
              25,231.21
164,258.17

5242011
5192015




172967HY0
CITIGROUP INC SENIOR CORP BND
 
 
 
 
1,597,760

1,590,640.86

1,600,000.00

1,598,038.44

(7,397.58
)
1,093.86

—

—

1.55

1.5980

Feb-Aug
0
37,165.56

8072014
8142017
172967HC8
CITIGROUP INC SENIOR CORP BND
 
 
 
 
2,033,660

2,017,357.78

2,000,000.00

2,029,943.7

(12,585.92
)
(3,716.30
)
—

—

2.5

2.0809

Mar-Sep
0
24,166.66

7012014
9262018
172967HU8
CITIGROUP INC SENIOR CORP BND
 
 
 
 
2,983,710

3,001,779.1

3,000,000.00

2,984,556.78

17,222.32

846.78

—

—

2.5

2.6200

Jan-Jul
0
18,750

9102014
7292019
172967JD4
CITIGROUP INC SENIOR CORP BND
 
 
 
 
5,000,000

5,001,250.1

5,000,000.00

5,000,000

1,250.1

—

—

—

0.9329

0.9329

F-M-A-N
0
4,794.07

11182014
11242017
172967JE2
CITIGROUP INC SENIOR CORP BND
 
 
 
 
5,758,848

5,739,089.53

5,760,000.00

5,758,886.15

(19,796.62
)
38.15

—

—

1.85

1.8569

May-Nov
0
10,656

11182014
11242017
172967GK1
CITIGROUP INC SUB CORP BND
 
 
 
 
10,802,675

10,787,011.62

10,500,000.00

10,788,833.8

(1,822.18
)
(13,841.20
)
—

—

4.05

3.6210

Jan-Jul
0
181,631.26

8192014
7302022
73723RSH7
CITY OF PORTSMOUTH VA MUNITAX BND GO
 
 
 
 
2,250,000

2,263,905

2,250,000.00

2,250,000

13,905

—

—

—

1.418

1.4180

Feb-Aug
             16,307.00
31,905

6052013
2012017
791638XK0
CITY OF ST LOUIS MO MUNI BND REV
 
 
1
 
1,835,993.2

1,813,616.4

1,660,000.00

1,820,074.49

(6,458.09
)
(15,918.71
)
—

—

5

1.0801

Jan-Jul
0
20,750

1112007
7012018
180848DS9
CLARK CNTY NEV ARPT REV MUNITAX BND GO
 
 
1
 
4,625,530

4,594,015.4

3,910,000.00

4,591,451.31

2,564.09

(34,078.69
)
—

—

5.86

2.0521

May-Nov
0
57,281.5

6102009
11012020
125634AQ8
CLIF_14-2A ABS_14-2A A 144A
 
 
1
 
3,440,288.98

3,419,846.4

3,441,666.67

3,440,307.02

(20,460.62
)
41.40

—

—

3.38

3.4114

Monthly
0
23,178.04

10092014
10182029
12591FAC0
CNH EQUIPMENT TRUST CNH_13-A ABS_13-A A3
 
 
2
 
5,073,444.97

5,072,482.18

5,073,445.98

5,073,410.31

(928.13
)
(24.18
)
—

—

0.69

0.6906

Monthly
               1,979.54
42,116.03

2132013
6152018
12591AAC1
CNH_12-B ABS 12-B
 
 
2
 
800,989.04

801,634.12

801,017.31

801,006.88

627.24

39.61

—

—

0.86

0.8625

Monthly
                  802.67
11,473.66

6122012
9152017
12613SAC6
CNH_13-C ABS_13-C A3
 
 
2
 
3,154,634.97

3,160,426.51

3,155,000.00

3,154,786.28

5,640.23

121.42

—

—

1.02

1.0259

Monthly
               1,430.27
32,181

8202013
8152018
12618SAC1
CNH_13-D ABS 13-D A3
 
 
2
 
749,969.55

748,867.49

750,000.00

749,978.69

(1,111.2
)
8.42

—

—

0.77

0.7724

Monthly
                  256.67
5,775

11142013
10152018
12591BAC9
CNH_14-A ABS 14-A A3
 
 
2
 
2,864,964.19

2,857,207.11

2,865,000.00

2,864,966.34

(7,759.23
)
2.15

—

—

0.84

0.8416

Monthly
0
20,790.35

2122014
5152019
12591BAD7
CNH_14-A ABS 14-A A4
 
 
2
 
999,951.7

995,350.04

1,000,000.00

999,957.21

(4,607.17
)
5.51

—

—

1.5

1.5054

Monthly
0
12,958.34

2122014
5152020
12623PAD8
CNH_14-B ABS_14-B A4
 
 
2
 
11,904,022

11,855,751.07

11,920,000.00

11,905,142.31

(49,391.24
)
1,120.31

—

—

1.61

1.6225

Monthly
0
98,202.87

9162014
5172021
12632XAD0
CNH_14-C ABS 14-C
 
 
2
 
7,177,526.49

7,124,714.22

7,180,000.00

7,177,610.04

(52,895.82
)
83.55

—

—

1.65

1.6626

Monthly
0
22,377.68

10162014
9152021
12625GAA2
CNOOC FINANCE (2013) LTD SENIOR CORP BND
 
F
 
 
1,367,170.56

1,366,066.52

1,372,000.00

1,369,799.21

(3,732.69
)
5,388.27

—

—

1.125

1.2449

May-Nov
                9,810.13
52,026.09

5022013
5092016
191216AU4
COCA-COLA COMPANY (THE) CORP BND
 
 
 
 
5,077,760.96

5,078,587.35

5,000,000.00

5,055,779.95

22,807.4

(13,030.16
)
—

—

1.8

1.5454

Mar-Sep
            29,400.00
55,735

12142011
9012016
191216BA7
COCA-COLA COMPANY (THE) SENIOR CORP BND
 
 
 
 
492,870

493,849.83

500,000.00

493,378.05

471.78

508.05

—

—

1.15

1.5700

Apr-Oct
0
1,437.5

2282013
4012018
191216BC3
COCA-COLA COMPANY (THE) SENIOR CORP BND
 
 
 
 
3,000,000

3,001,050.12

3,000,000.00

3,000,000

1,050.12

—

—

—

0.33235

0.3324

F-M-A-N
               1,737.99
10,175.71

10292013
11012016
191216BD1
COCA-COLA COMPANY (THE) SENIOR CORP BND
 
 
 
 
6,991,950

6,976,119.08

7,000,000.00

6,995,063.5

(18,944.42
)
2,665.77

—

—

0.75

0.7889

May-Nov
              8,750.00
52,500

9182014
11012016
19416QEF3
COLGATE-PALMOLIVE CO SENIOR CORP BND
 
 
 
 
993,190

992,913.44

1,000,000.00

993,569.08

(655.64
)
379.08

—

—

1.75

1.9100

Mar-Sep
0
4,375

2262014
3152019
19416QEB2
COLGATE-PALMOLIVE CO SENIOR CORP BND MTN
 
 
 
 
1,890,937

1,862,496.33

1,900,000.00

1,893,908.44

(31,412.11
)
1,789.55

—

—

0.9

0.9981

May-Nov
              2,850.00
17,100

4292013
5012018
19624HAA6
COLNY_14-1 SENIOR CMBS _14-1-A
 
 
2
 
3,930,992.39

3,912,445.94

3,931,000.26

3,930,943.61

(18,497.67
)
(48.65
)
—

—

2.5432

2.5391

Monthly
0
17,114.43

10232014
4202050
196479WD7
COLORADO HOUSING & FINANCE AUT MUNITAX BND REV
 
 
 
 
1,000,000

996,740

1,000,000.00

1,000,000

(3,260
)
—

—

—

2.024

2.0240

May-Nov
0
3,092.22

10232014
5012019




196479WE5
COLORADO HOUSING & FINANCE AUT MUNITAX BND REV
 
 
 
 
1,100,000

1,097,151

1,100,000.00

1,100,000

(2,849
)
—

—

—

2.144

2.1440

May-Nov
0
3,603.11

10232014
11012019
19648CAE1
COLORADO HOUSING & FINANCE AUT MUNITAX BND REV
 
 
 
 
5,030,400

5,063,850

5,000,000.00

5,010,915.37

52,934.63

(7,834.21
)
—

—

1.6

1.4385

May-Nov
             10,222.22
80,000

6212012
5152016
1995072R4
COLUMBUS OHIO CITY SCH DIST MUNITAX BND GO
 
 
 
 
3,000,000

3,023,790

3,000,000.00

3,000,000

23,790

—

—

—

2.286

2.2860

Jun-Dec
0
4,000.5

11072014
12012019
20030NAJ0
COMCAST CORPORATION CORP BND
 
 
 
 
2,304,900

2,087,080

2,000,000.00

2,086,386.88

693.12

(169,622.35
)
—

—

5.85

0.8559

May-Nov
            29,900.00
200,850

10032012
11152015
14041NEK3
COMET_13-A1 ABS 13-A1
 
 
2
 
10,273,447.45

10,266,209.12

10,275,000.00

10,274,450.97

(8,241.85
)
524.94

—

—

0.63

0.6360

Monthly
              2,877.00
64,732.56

1232013
11152018
14041NEM9
COMET_13-A3-A3 ABS 13-A3-A3
 
 
2
 
4,479,465.54

4,463,513.78

4,480,000.00

4,479,662.47

(16,148.69
)
180.11

—

—

0.96

0.9660

Monthly
                 1,911.46
43,008

11142013
9162019
14041NEP2
COMET_14-A2 ABS _14-A2-A2
 
 
2
 
8,699,445.16

8,700,191.14

8,700,000.00

8,699,497.32

693.82

52.16

—

—

1.26

1.2650

Monthly
0
39,469.5

12192014
1152020
14041NET4
COMET_14-A5 SENIOR ABS _14-A5-A
 
 
2
 
2,269,392.55

2,269,600.28

2,270,000.00

2,269,435.88

164.4

43.33

—

—

1.48

1.4940

Monthly
0
7,185.81

10062014
7152020
20047QAE5
COMM CMBS 06-C7 A4
 
 
2
 
5,023,603.21

4,864,003.22

4,640,560.15

4,882,518.37

(18,515.15
)
(160,599.34
)
—

—

5.75591

(2.2794
)
Monthly
0
205,824.77

6022014
6102046
12626GAB9
COMM MORTGAGE TRUST COMM_13-LC PRELCF SENIOR CMBS _13-LC13-A2
 
 
2
 
7,780,917.42

7,742,945.46

7,478,000.00

7,769,904.6

(26,959.14
)
(11,012.82
)
—

—

3.009

1.8997

Monthly
0
31,876.87

11052014
8102046
12624XAB4
COMM_13-CR6 CMBS_13-CR6 A2
 
 
2
 
1,358,975.39

1,357,400.86

1,345,000.00

1,357,861.45

(460.59
)
(1,113.94
)
—

—

2.122

1.8256

Monthly
0
8,324.44

9112014
3102046
12626GAF0
COMM_13-LC13 LCF CMBS_13-LC13 A5
 
 
2
 
2,410,630.24

2,407,130.78

2,207,000.00

2,408,991.27

(1,860.49
)
(1,638.97
)
—

—

4.205

2.9608

Monthly
0
6,960.33

12012014
8102046
12591VAB7
COMM_14-CCRE16 SENIOR SENIOR CMBS 14-CCRE16
 
 
2
 
10,295,555.12

10,319,999.7

10,000,000.00

10,256,574.02

63,425.68

(43,327.73
)
—

—

3.042

2.3899

Monthly
0
221,390

6022014
4102047
12631DAX1
COMM_14-CR17 SENIOR CMBS_14-CR17-A2
 
 
2
 
4,588,620.24

4,609,009.39

4,455,000.00

4,571,335.18

37,674.21

(17,285.06
)
—

—

3.012

2.3430

Monthly
0
84,983.58

4292014
5102047
12632QAT0
COMM_14-CR18 SENIOR CMBS_14-CR18 A2
 
 
2
 
3,295,997.06

3,284,543.94

3,200,000.00

3,285,889.06

(1,345.12
)
(10,108.00
)
—

—

2.924

2.2496

Monthly
0
47,823.62

6192014
7152047
12632QAX1
COMM_14-CR18 SENIOR CMBS_14-CR18 A5
 
 
2
 
7,209,485.92

7,416,010.07

7,000,000.00

7,199,657.17

216,352.9

(9,828.75
)
—

—

3.828

3.4717

Monthly
0
136,957.33

6192014
7152047
12592MBF6
COMM_14-LC17 SENIOR CMBS_14-LC17 A2
 
 
2
 
7,209,813.23

7,282,450.28

7,000,000.00

7,198,485.4

83,964.88

(11,327.83
)
—

—

3.164

2.4691

Monthly
0
56,600.46

9182014
10102047
12592EAA6
COMM_14-PAT SENIOR CMBS _14-PAT 144A
 
 
2
 
1,095,000

1,094,657.81

1,095,000.00

1,095,000

(342.19
)
—

—

—

0.9608

0.9627

Monthly
0
2,702.25

9182014
8132027
20271RAG5
COMMONWEALTH BANK AUSTRALIA SENIOR CORP BND
 
F
 
 
2,497,875

2,490,855.23

2,500,000.00

2,498,096.27

(7,241.04
)
221.27

—

—

1.4

1.4290

Mar-Sep
0
10,986.11

9032014
9082017
20271RAA8
COMMONWEALTH BANK OF AUSTRALIA SENIOR CORP BND
 
E
 
 
2,149,183

2,156,471.5

2,150,000.00

2,149,942.97

6,528.53

276.57

—

—

1.95

1.9631

Mar-Sep
              12,228.13
41,925

3052012
3162015
20271RAE0
COMMONWEALTH BANK OF AUSTRALIA SENIOR CORP BND
 
 
 
 
4,991,350

4,980,058.65

5,000,000.00

4,993,638.87

(13,580.22
)
2,288.87

—

—

1.125

1.1839

Mar-Sep
0
45,000

3052014
3132017
202795HH6
COMMONWEALTH EDISON COMPANY SECURED CORP BND
 
 
 
 
3,126,706.5

2,882,433

2,850,000.00

2,878,405.29

4,027.71

(98,789.00
)
—

—

4.7

1.1909

Apr-Oct
            28,278.33
133,950

6142012
4152015
20281PCA8
COMMONWEALTH FING AUTH PA MUNITAX BND REV
 
 
 
 
564,185

560,135

500,000.00

559,900.85

234.15

(4,284.15
)
—

—

5.792

2.1352

Jun-Dec
0
7,240

4302009
6012018
20281PCB6
COMMONWEALTH FING AUTH PA MUNITAX BND REV
 
 
 
 
2,254,340

2,254,280

2,000,000.00

2,241,416.71

12,863.29

(12,923.29
)
—

—

5.892

2.9552

Jun-Dec
0
29,460

4302009
6012019
BRSR05TD0
COMPONENT HARDWARE GROUP INC SENIOR SECURED TERM NOTES
 
 
 
 
3,058,823.53

3,028,235.29

3,058,823.53

3,058,823.53

(30,588.24
)
—

—

—

—

—

J-A-J-O
0
30,588.24

11242014
7012019
20772G2G2
CONNECTICUT (STATE OF) MUNI BND GO
 
 
 
 
3,410,100

3,370,680

3,000,000.00

3,379,813.43

(9,133.43
)
(30,286.57
)
—

—

5

0.8800

Feb-Aug
0
37,500

2202009
2152018
20772JKM3
CONNECTICUT (STATE OF) MUNITAX BND GO
 
 
 
 
2,273,043.5

2,268,129.5

2,275,000.00

2,273,110.66

(4,981.16
)
67.16

—

—

1.896

1.9142

Apr-Oct
0
7,189

10282014
10152019




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

2,536,450

2,500,000.00

2,553,224.2

(16,774.2
)
(3,750.80
)
—

—

2.172

1.5650

Feb-Aug
0
14,329.16

9232014
8152018
20775BN77
CONNECTICUT ST HSG FIN AUTH MUNI BND REV
 
 
1
 
1,072,050

1,078,050

1,000,000.00

1,070,075.12

7,974.88

(1,974.88
)
—

—

4.1

3.0900

May-Nov
0
10,250

10112013
11152028
20825TAA5
CONOCO INC CORP BND
 
G
 
 
5,679,205.4

5,397,745.41

5,005,000.00

5,413,042.59

(15,297.18
)
(225,337.59
)
—

—

5.625

1.0110

Apr-Oct
            59,434.38
281,531.26

11262013
10152016
20826FAB2
CONOCOPHILLIPS CO SENIOR CORP BND
 
 
1
 
4,876,363.57

4,803,658.01

4,885,000.00

4,877,553.05

(73,895.04
)
3,048.82

—

—

1.05

1.1013

Jun-Dec
               3,212.99
66,284.17

6022014
12152017
209111EV1
CONSOLIDATED EDISON CO OF NEW CORP BND
 
 
 
 
2,385,140

2,375,158.54

2,000,000.00

2,362,690.06

12,468.48

(22,449.94
)
—

—

7.125

2.2584

Jun-Dec
0
35,625

12022008
12012018
213187CB1
COOK CNTY ILL CMNTY COLLEGE DI MUNI BND GO
 
 
1
 
578,110

590,610

500,000.00

576,258.49

14,351.51

(1,851.51
)
—

—

5.25

3.2643

Jun-Dec
0
6,562.5

10092013
12012026
213187CC9
COOK CNTY ILL CMNTY COLLEGE DI MUNI BND GO
 
 
1
 
575,865

589,285

500,000.00

574,072.08

15,212.92

(1,792.92
)
—

—

5.25

3.3167

Jun-Dec
0
6,562.5

10092013
12012027
216871AF0
COOPER US INC CORP BND
 
 
 
 
1,020,060

1,014,924

1,000,000.00

1,016,142.82

(1,218.82
)
(3,917.18
)
—

—

2.375

0.8102

Jan-Jul
0
5,937.5

12022010
1152016
216871AC7
COOPER US INC CORP BND
 
 
 
 
2,372,660

2,210,453.04

2,000,000.00

2,225,231.58

(14,778.54
)
(87,772.08
)
—

—

6.1

1.4939

Jan-Jul
             61,000.00
122,000

4182013
7012017
22160KAE5
COSTCO WHOLESALE CORPORATION SENIOR CORP BND
 
 
 
 
4,874,750

4,864,206.28

4,900,000.00

4,876,855.77

(12,649.49
)
2,102.05

—

—

1.125

1.1291

Jun-Dec
              2,287.50
51,797.68

11282012
12152017
G2551TAP3
COVENTRY BLDG SOC LOCAL BND EMTN
 
D
 
 
1,220,911.03

1,171,283.73

750,000.00

1,212,436.47

(41,152.74
)
(7,547.51
)
—

(42,650.21
)
2.15713

1.8837

F-M-A-N
               4,521.50
33,209.01

5102012
2102015
22532LAL8
CREDIT AGRICOLE SA/LONDON SENIOR CORP BND 144A
 
F
 
 
3,994,960

4,031,450.2

4,000,000.00

3,995,642.58

35,807.62

682.58

—

—

2.5

2.5270

Apr-Oct
0
71,111.11

4092014
4152019
225436AA2
CREDIT SUISSE GROUP CCN CORP BND 144A
 
F
1
 
4,143,306

4,091,220

4,284,000.00

4,144,146.65

(52,926.65
)
840.65

—

—

6.25

6.4865

Jun-Dec
0
105,427.1

8062014
12312049
22546QAN7
CREDIT SUISSE NEW YORK NY SENIOR CORP BND
 
 
 
 
4,989,700

4,988,295.35

5,000,000.00

4,990,862.49

(2,567.14
)
1,164.51

—

—

2.3

2.3439

May-Nov
0
68,163.06

5222014
5282019
22546QAR8
CREDIT SUISSE NEW YORK NY SENIOR CORP BND
 
 
 
 
4,970,000

4,976,757.8

5,000,000.00

4,970,680.62

6,077.18

680.62

—

—

3

3.0960

Apr-Oct
0
25,833.33

10242014
10292021
BRSQP4874
CREGANNA-TACTX MEDICAL
 
 
 
 
354,464.29

357,366.07

357,142.86

354,464.29

2,901.78

—

—

—

—

0.1095

M-J-S-D
0
—

 
 
BRSL3FE10
CROSBY US ACQUISITION CORP SENIOR SECURED TERM NOTES
 
 
 
 
2,041,994.32

1,921,877

2,044,550.00

2,042,375.8

(120,498.8
)
387.58

—

—

—

0.0178

J-A-J-O
0
76,271.52

12192013
11232020
BRSH9LJ56
CROSSMARK HOLDINGS INC SENIOR SECURED TERM LOAN
 
 
2
 
2,603,122.36

2,557,425.35

2,607,409.39

2,601,377.68

(43,952.33
)
1,326.87

—

—

—

0.0459

M-J-S-D
0
119,718.84

9042013
12202019
BRSJ078E5
CSC HOLDINGS LLC SENIOR SECURED TERM LOAN
 
 
2
 
8,108,004.29

7,991,217.77

8,146,863.60

8,117,396.49

(126,178.72
)
31,426.83

—

—

—

0.0675

M-J-S-D
0
290,034.21

5012013
4172020
22541QFV9
CSFB_03-17 WHOLE LOAN__03-17-1A4
 
 
2
 
496,965.06

493,679.77

488,446.55

496,710.81

(3,031.04
)
(980.48
)
—

—

5.5

4.8820

Monthly
0
6,809.05

6192003
6252033
12648CAA4
CSMC_14-SURF SENIOR CMBS_14-SURF A 144A
 
 
2
 
7,779,712.5

7,766,464.66

7,770,000.00

7,774,389.44

(7,924.78
)
(5,323.06
)
—

—

1.01

0.9134

Monthly
0
55,151.85

4172014
2152029
126408GM9
CSX CORPORATION CORP BND
 
 
 
 
3,984,295.81

3,957,559.02

3,491,000.00

3,977,739.3

(20,180.28
)
(6,556.51
)
—

—

6.25

1.7533

Mar-Sep
0
9,091.15

12112014
3152018
BRSLMULK6
CUMULUS MED INC. SENIOR SECURED TERM NOTES
 
 
2
 
5,232,901.29

5,136,154.32

5,279,139.82

5,234,798.99

(98,644.67
)
8,780.13

—

—

—

0.1412

Mar-Sep
0
179,032.35

9302014
12232020
126650CA6
CVS HEALTH CORP CORP BND
 
 
 
 
299,886

299,498.11

300,000.00

299,926.35

(428.24
)
64.12

—

—

1.2

1.2129

Jun-Dec
              5,945.33
6,182.67

12022013
12052016
126650BE9
CVS HEALTH CORP CORP BND
 
 
 
 
2,334,389.12

2,142,181.79

1,988,000.00

2,149,978.14

(7,796.35
)
(98,503.41
)
—

—

6.125

1.0460

Feb-Aug
              46,000.11
121,765

2112013
8152016
126650CE8
CVS HEALTH CORP SENIOR CORP BND
 
 
1
 
3,390,582

3,388,721.32

3,400,000.00

3,390,635.79

(1,914.47
)
53.79

—

—

2.25

2.3131

Feb-Aug
0
1,700

12182014
8122019
12668AZL2
CWALT_05-73CB CMO_05-64CB 1A
 
 
2
 
251,933.84

242,901.01

256,829.65

251,844.84

(8,943.83
)
(3,288.48
)
—

—

5.5

5.9256

Monthly
                 1,351.18
15,088.23

1022008
12252035




12543RBB4
CWHL_07-3 WHOLE LOAN_07-3-A26
 
 
2
 
2,118,060.62

2,127,536.52

2,269,674.91

2,118,060.62

9,475.9

(3,730.92
)
—

—

6

7.7779

Monthly
0
34,432.56

12312009
4252037
232760VV7
CYPRESS-FAIRBANKS TEX INDPT SC MUNI BND GO
 
 
 
 
1,064,120

1,053,230

1,000,000.00

1,052,355.92

874.08

(11,764.08
)
—

—

5

0.3224

Feb-Aug
0
12,500

3172006
2152016
BRSN8X546
DAIMLER AG UNSEC CORP BND
 
D
 
 
1,540,012.53

1,441,013.71

915,000.00

1,540,177.26

(99,163.55
)
201.44

—

(114,095.68
)
1.625

1.6419

December
0
18,795.9

5092014
12022016
BRSP6FWM2
DAIMLER FINANCE NORTH AMERICA
 
 
 
 
1,788,807.25

1,786,168.35

1,795,000.00

1,789,649.61

(3,481.26
)
842.36

—

—

1.375

1.4930

Feb-Aug
0
10,283.85

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

5,118,407.9

5,000,000.00

5,115,745.79

2,662.11

(66,902.04
)
—

—

2.625

1.2456

Mar-Sep
            38,645.84
131,250

4082013
9152016
233851AH7
DAIMLER FINANCE NORTH AMERICA CORP BND 144A
 
 
 
 
514,930

511,834.22

500,000.00

512,988.74

(1,154.52
)
(1,941.26
)
—

—

2.625

1.0798

Mar-Sep
0
3,281.25

9072011
9152016
233851BF0
DAIMLER FINANCE NORTH AMERICA SENIOR CORP BND
 
 
 
 
7,224,987.5

7,207,158.38

7,250,000.00

7,228,389.79

(21,231.41
)
3,766.98

—

—

1.375

1.4930

Feb-Aug
0
45,967.01

7242014
8012017
233851AY0
DAIMLER FINANCE NORTH AMERICA SENIOR CORP BND 144A
 
 
 
 
1,000,000

1,005,329.97

1,000,000.00

1,000,000

5,329.97

—

—

—

0.91235

0.9124

F-M-A-N
              5,389.27
31,120.52

7242013
8012016
233851BA1
DAIMLER FINANCE NORTH AMERICA SENIOR CORP BND 144A
 
 
 
 
1,014,510

1,011,996.61

1,000,000.00

1,013,597.88

(1,601.27
)
(912.12
)
—

—

2.375

1.9800

Feb-Aug
0
5,937.5

7242013
8012018
233851AK0
DAIMLER FINANCE NORTH AMERICA SENIOR CORP BND 144A
 
 
 
 
3,112,230

3,094,509.9

3,000,000.00

3,099,949.85

(5,439.95
)
(12,280.15
)
—

—

2.95

1.2798

Jan-Jul
0
22,125

1042012
1112017
233851AZ7
DAIMLER FINANCE NORTH AMERICA SENIOR CORP BND 144A
 
 
 
 
4,994,750

5,022,824.5

5,000,000.00

4,997,199

25,625.5

1,734.81

—

—

1.45

1.4859

Feb-Aug
            30,208.33
72,500

7242013
8012016
D1668RML8
DAIMLERCHRYSLER AG SENIOR CORP BND EMTN
 
D
 
 
825,838.42

822,033.48

520,000.00

825,656.9

(3,623.42
)
(181.52
)
—

(5,313.75
)
1.75

1.3224

November
0
782.53

12102014
11082017
235851AL6
DANAHER CORPORATION CORP BND
 
 
 
 
3,874,580

3,890,508.71

3,825,000.00

3,868,910.37

21,598.34

(6,965.33
)
—

—

2.3

2.3341

Jun-Dec
              2,044.45
63,480

6202011
6232016
BRSNJTYP4
DAVITA HEALTHCARE PARTNERS INC SENIOR SECURED TERM NOTES
 
 
2
 
1,211,039.76

1,207,443.16

1,217,125.39

1,211,360.57

(3,917.41
)
351.39

—

—

—

0.0723

M-J-S-D
0
3,914.76

6192014
6242021
254683AT2
DCENT ABS 12-A1
 
 
2
 
652,082.03

650,312

650,000.00

650,170.94

141.06

(1,439.59
)
—

—

0.81

0.5882

Monthly
                  234.00
5,265

8282013
8152017
254683AC9
DCENT_07-A1 ABS 07-A1 A1
 
 
2
 
5,448,691.41

4,996,518.53

4,500,000.00

4,968,062.51

28,456.02

(167,586.36
)
—

—

5.65

1.7190

Monthly
              11,300.00
254,250

1262012
3162020
254683AV7
DCENT_12-A3 ABS 12-A3
 
 
2
 
8,579,026.56

8,551,808.67

8,539,000.00

8,552,297.84

(489.17
)
(37,034.04
)
—

—

0.86

0.4416

Monthly
0
76,313.78

3272014
11152017
254683BB0
DCENT_13 ABS 13
 
 
2
 
8,500,000

8,497,338.57

8,500,000.00

8,500,000

(2,661.43
)
—

—

—

0.4608

0.4612

Monthly
                1,762.71
39,188.59

2062013
8172020
254683BJ3
DCENT_14-3 ABS_14-A3 A3
 
 
2
 
1,029,736.32

1,028,338.92

1,030,000.00

1,029,564.32

(1,225.4
)
(172.00
)
—

—

1.22

1.1979

Monthly
0
8,272.64

4282014
10152019
23311VAE7
DCP MIDSTREAM PARTNERS LP SENIOR CORP BND
 
 
1
 
1,192,920

1,164,392.76

1,200,000.00

1,193,991.13

(29,598.37
)
1,071.13

—

—

2.7

2.8260

Apr-Oct
0
25,920

3102014
4012019
23311VAC1
DCP MIDSTREAM PARTNERS LP SENIOR CORP BND
 
 
1
 
2,956,525.25

2,964,234.16

2,975,000.00

2,963,965.18

268.98

3,596.61

—

—

2.5

2.6331

Jun-Dec
               6,197.92
74,375

11192012
12012017
2417218L6
DE SOTO TEX INDPT SCH DIST MUNI BND GO
 
 
1
 
1,547,355.15

1,528,866.9

1,485,000.00

1,529,355.8

(488.9
)
(17,999.35
)
—

—

5

0.1945

Feb-Aug
0
18,562.5

9122013
8152016
2417218C6
DE SOTO TEX INDPT SCH DIST MUNI BND GO
 
 
1
 
2,131,503.5

2,106,718.1

2,045,000.00

2,106,531.05

187.05

(24,972.45
)
—

—

5

0.1602

Feb-Aug
0
25,562.5

9122013
8152016
246343JQ1
DELAWARE RIV JT TOLL BRDG COMM MUNITAX BND REV
 
 
 
 
1,402,009.6

1,398,896

1,390,000.00

1,400,938.58

(2,042.58
)
(1,071.02
)
—

—

1.842

1.5200

Jan-Jul
0
6,400.95

10122012
7012017
246343JR9
DELAWARE RIV JT TOLL BRDG COMM MUNITAX BND REV
 
 
 
 
2,203,944.6

2,206,596.6

2,210,000.00

2,204,368.33

2,228.27

423.73

—

—

2.184

2.2601

Jan-Jul
0
12,066.6

10182012
7012018
BRSP9DPN0
DELTA 2 (LUX) SARL
 
 
 
 
3,530,276.1

3,473,365.92

3,548,016.18

3,531,024.08

(57,658.16
)
1,078.63

—

—

—

0.0720

M-J-S-D
0
66,472.52

 
 
BRSM6R0M8
DELTA AIR LINES INC SENIOR SECURED TERM NOTES
 
 
2
 
2,679,314.29

2,654,096.19

2,699,899.99

2,682,407.27

(28,311.08
)
3,250.51

—

—

—

0.1689

F-M-A-N
0
22,597.19

4302014
10182018




249218AR9
DENVER CO PUB SCHS CTFS MUNITAX BND REV
 
 
 
 
1,491,330

1,485,165

1,500,000.00

1,491,850.08

(6,685.08
)
520.08

—

—

1.644

1.7870

Jun-Dec
0
6,165

4182013
12152018
251129X56
DETROIT MI CITY SCH DIST MUNI BND GO
 
 
1
 
3,076,620

3,045,000

3,000,000.00

3,043,355.74

1,644.26

(33,264.26
)
—

—

5

0.6267

May-Nov
0
37,500

7212005
5012016
251093B58
DETROIT MICH MUNITAX BND GO
 
 
1
 
1,792,239.93

1,817,200.49

1,976,292.00

1,799,391.8

17,808.69

102,489.80

—

—

4.96

7.0300

Apr-Oct
0
34,238.08

6242005
4012020
25152RWY5
DEUTSCHE BK LDN SENIOR CORP BND
 
F
 
 
3,998,600

3,980,227.36

4,000,000.00

3,998,870.22

(18,642.86
)
279.93

—

—

1.35

1.3619

May-Nov
0
32,775

5222014
5302017
25215BAA1
DEXIA CREDIT LOCAL/NEW YORK SENIOR CORP BND 144A
 
E
 
 
4,986,350

5,021,749.9

5,000,000.00

4,991,773.54

29,976.36

7,699.81

—

—

1.25

1.3432

Apr-Oct
            25,347.22
107,118.06

12052014
10182016
25243YAT6
DIAGEO CAPITAL PLC SENIOR CORP BND
 
F
 
 
2,485,750

2,439,428.9

2,500,000.00

2,490,429.07

(51,000.17
)
2,803.20

—

—

1.125

1.2429

Apr-Oct
              4,843.75
28,125

4242013
4292018
25243YAS8
DIAGEO CAPITAL PLC SENIOR CORP BND
 
F
 
 
3,995,304.03

3,980,360.8

4,000,000.00

3,996,737.7

(16,376.9
)
3,498.93

—

—

0.625

0.6870

Apr-Oct
              7,534.72
35,781.26

6022014
4292016
25243YAR0
DIAGEO CAPITAL PLC SENIOR CORP BND
 
F
 
 
8,395,470

8,413,944

8,400,000.00

8,405,948.49

7,995.51

(10,849.98
)
—

—

1.5

1.5919

May-Nov
             19,583.33
148,416.67

5082012
5112017
25459HAV7
DIRECTV HOLDINGS LLC CORP BND
 
 
 
 
5,665,268.75

5,644,527.85

5,525,000.00

5,571,648.47

72,879.38

(40,833.32
)
—

—

3.125

2.8696

Feb-Aug
            65,225.69
172,656.26

2212013
2152016
25459HBE4
DIRECTV HOLDINGS LLC SENIOR CORP BND
 
 
 
 
4,533,818.6

4,584,608.82

4,500,000.00

4,531,181.18

53,427.64

(3,656.40
)
—

—

2.4

2.4217

Mar-Sep
             21,200.00
82,400

9122014
3152017
25459HAY1
DIRECTV HOLDINGS LLC SENIOR CORP BND
 
 
 
 
6,374,886.65

6,106,468.81

5,947,000.00

6,096,915.14

9,553.67

(184,631.79
)
—

—

3.5

1.3081

Mar-Sep
          102,025.00
302,538.64

10162012
3012016
BRSR4UG37
DISA HOLDINGS A/S
 
 
 
 
123,441.49

122,824.28

123,441.49

123,441.49

(617.21
)
—

—

—

—

—

M-J-S-D
0
9,550.48

 
 
BRSR4UG78
DISA HOLDINGS A/S SENIOR SECURED TERM NOTES
 
F
 
 
5,524,952.1

5,497,327.34

5,524,952.10

5,524,952.1

(27,624.76
)
—

—

—

—

—

M-J-S-D
0
55,249.52

12242014
12092020
254683BA2
DISCOVER CARD MASTER TRUST DCE ABS_13-A2
 
 
2
 
11,553,284.09

11,547,169.86

11,555,000.00

11,554,215.63

(7,045.77
)
496.53

—

—

0.69

0.6954

Monthly
              3,543.53
79,729.56

2062013
8152018
254683BL8
DISCOVER CARD MASTER TRUST SENIOR ABS _14-A5-A
 
 
2
 
2,499,783.5

2,492,546.08

2,500,000.00

2,499,791.28

(7,245.2
)
7.78

—

—

1.39

1.3957

Monthly
0
7,239.58

10082014
4152020
254683BH7
DISCOVER CARD MASTER TRUST SENIOR ABS_14-A2 A2
 
 
2
 
3,084,517.97

3,079,090.87

3,085,000.00

3,084,578.4

(5,487.53
)
60.43

—

—

0.4321

0.4387

F-M-A-N
0
4,155.56

9082014
8152019
254845GB0
DISTRICT COLUMBIA WTR & SWR AU MUNI BND REV
 
 
1
 
569,945

573,515

500,000.00

565,588.07

7,926.93

(4,356.93
)
—

—

5

1.3945

Apr-Oct
0
6,250

1282009
10012024
25476FDH8
DISTRICT OF COLUMBIA MUNI BND GO
 
 
1
 
4,436,600

4,406,200

4,000,000.00

4,395,404.02

10,795.98

(41,195.98
)
—

—

5

0.8551

Jun-Dec
0
50,000

6012007
6012022
25476FHE1
DISTRICT OF COLUMBIA MUNI BND GO
 
 
 
 
5,731,050

5,664,050

5,000,000.00

5,681,159.21

(17,109.21
)
(49,890.79
)
—

—

5

0.9369

Jun-Dec
0
62,500

8132008
6012018
25600WAA8
DNB BOLIGKREDITT AS CORP BND 144A
 
F
 
 
7,245,487.51

7,283,748.01

7,200,000.00

7,209,260.53

74,487.48

(14,212.44
)
—

—

2.1

1.8589

Apr-Oct
              43,119.99
174,580

11142012
10142015
25600WAB6
DNB BOLIGKREDITT AS CORP BND 144A
 
F
 
 
8,395,963

8,397,702.9

8,200,000.00

8,265,920.77

131,782.13

(52,097.47
)
—

—

2.9

2.2379

Mar-Sep
               60,771.11
237,800

6122012
3292016
257375AD7
DOMINION GAS HOLDINGS LLC CORP BND
 
 
 
 
4,998,666.59

4,981,189.75

5,000,000.00

4,998,919.92

(17,730.17
)
253.33

—

—

1.05

1.0619

May-Nov
0
21,145.83

8062014
11012016
25746UBN8
DOMINION RESOURCES INC CORP BND
 
 
 
 
1,015,910

1,011,878.51

1,000,000.00

1,013,785.75

(1,907.24
)
(2,124.25
)
—

—

1.95

1.0902

Feb-Aug
0
4,875

8102011
8152016
26138EAM1
DR PEPPER SNAPPLE GROUP INC CORP BND
 
 
 
 
1,423,418.25

1,453,983.08

1,425,000.00

1,424,654

29,329.08

323.67

—

—

2.9

2.9239

Jan-Jul
             19,055.42
41,325

1062011
1152016
BRSJRLR20
DRILLSHIPS FINANCING HOLDING I
 
 
 
 
2,054,893.22

1,606,031.3

2,034,547.75

2,047,718.78

(441,687.48
)
(7,328.97
)
—

—

—

(0.4151
)
J-A-J-O
0
76,297.23

 
 
BRSP0NVA8
DRILLSHIPS OCEAN VENTURES INC
 
 
 
 
2,188,421.08

1,790,526.34

2,210,526.34

2,189,700

(399,173.66
)
1,334.32

—

—

—

0.1422

M-J-S-D
0
27,762.38

 
 
06742LAE3
DROCK_14-3 ABS_14-3 A
 
 
2
 
9,042,500.87

9,152,166.42

9,045,000.00

9,042,630.78

109,535.64

129.91

—

—

2.41

2.4266

Monthly
0
63,578.79

9122014
7152022




BRSCC0RV3
DUCOMMUN INC TERM LOAN
 
 
 
 
206,336.86

208,942.13

208,421.08

207,550.82

1,391.31

926.16

—

—

—

0.1660

M-J-S-D
0
11,785.43

6172011
6272017
264399EM4
DUKE ENERGY CORP CORP BND
 
 
 
 
3,852,877.8

3,461,539.8

3,345,000.00

3,452,666.29

8,873.51

(177,032.04
)
—

—

5.3

0.9649

Apr-Oct
            67,508.75
220,053.06

3012012
10012015
26442CAL8
DUKE ENERGY CORP CORP BND
 
 
 
 
507,730

503,961.76

500,000.00

506,848.35

(2,886.59
)
(881.65
)
—

—

1.75

1.0398

Jun-Dec
0
2,187.5

12052011
12152016
26441CAH8
DUKE ENERGY CORP SENIOR CORP BND
 
 
 
 
1,003,500

999,405.44

1,000,000.00

1,003,201.4

(3,795.96
)
(298.60
)
—

—

1.625

1.5000

Feb-Aug
0
4,062.5

8132012
8152017
263901AE0
DUKE ENERGY INDIANA INC SECURED CORP BND
 
 
 
 
585,000

585,265.15

585,000.00

585,000

265.15

—

—

—

0.58

0.5800

J-A-J-O
                  793.64
3,462.2

7082013
7112016
26483EAE0
DUN & BRADSTREET CORPORATION ( CORP BND
 
 
 
 
511,080

505,835

500,000.00

508,580.07

(2,745.07
)
(2,499.93
)
—

—

2.875

0.8904

May-Nov
0
3,593.75

11172010
11152015
BRSM7U4Z7
DUNKIN BRANDS INC SENIOR SECURED TERM NOTES
 
 
 
 
1,058,035.71

1,045,987.5

1,071,428.57

1,058,796.68

(12,809.18
)
760.97

—

—

—

0.1918

F-M-A-N
0
14,915.34

7142014
2052021
BRSGEJ3J4
E_CARAT_12 ABS CARAT
 
D
2
 
136,779.37

132,961.78

85,090.90

136,779.37

(3,817.59
)
(0.01
)
—

(4,101.38
)
1.3

1.3023

Monthly
                   187.76
3,611.41

12102012
6182020
29100XAA3
EAFL_13-1 ABS 13- 1 A 144A
 
F
2
 
2,809,062.49

2,809,062.49

2,781,249.99

2,809,001.89

60.6

(60.60
)
—

—

4.65

4.5953

Monthly
0
5,029.43

12102014
10152038
BRSK82AW2
EAGLE PARENT INC SENIOR SECURED TERM LOAN
 
 
 
 
6,225,460.84

6,199,132.33

6,265,705.45

6,232,786.53

(33,654.2
)
8,427.32

—

—

—

0.1540

M-J-S-D
0
195,434.98

4012014
5162018
277432AM2
EASTMAN CHEMICAL COMPANY SENIOR CORP BND
 
 
 
 
822,228

837,079.55

825,000.00

823,615.38

13,464.17

549.86

—

—

2.4

2.4720

Jun-Dec
               1,650.00
19,800

5292012
6012017
278062AB0
EATON CORPORATION SENIOR CORP BND
 
 
 
 
1,173,959.42

1,166,639.76

1,175,000.00

1,174,254.05

(7,614.29
)
256.40

—

—

1.5

1.5230

May-Nov
              2,888.55
17,625

11082013
11022017
278642AB9
EBAY INC. CORP BND
 
 
 
 
5,067,250

5,035,650.5

5,000,000.00

5,050,742.56

(15,092.06
)
(29,239.07
)
—

—

1.625

0.3305

Apr-Oct
             20,782.31
77,820.34

10272010
10152015
278642AG8
EBAY INC. SENIOR CORP BND
 
 
 
 
3,968,331.5

3,892,997.99

3,925,000.00

3,948,620.95

(55,622.96
)
(13,010.62
)
—

—

1.35

1.0169

Jan-Jul
             39,217.52
77,196.56

10242012
7152017
278642AH6
EBAY INC. SENIOR CORP BND
 
 
1
 
4,936,500

4,934,096.15

5,000,000.00

4,939,687.15

(5,591
)
3,230.56

—

—

2.2

2.4799

Feb-Aug
0
30,066.67

7242014
8012019
Z91J3YBQ5
ECARA_3
 
 
 
 
674,877.43

628,087.51

402,707.54

674,877.43

(46,789.92
)
—

—

(46,955.7
)
0.97538

0.9774

Monthly
0
7,430.04

 
 
281379AA5
EDUSA_10-1 ABS 10-1-A1 144A
 
 
2
 
389,768.77

389,741.88

389,768.77

389,768.77

(26.89
)
—

—

—

1.0836

1.0851

J-A-J-O
               1,080.54
4,968.12

2232010
7252023
28176EAC2
EDWARDS LIFESCIECE CORP SENIOR CORP BND
 
 
 
 
4,323,992.5

4,288,858.69

4,250,000.00

4,319,530.48

(30,671.79
)
(4,462.02
)
—

—

2.875

2.4201

Apr-Oct
0
30,546.88

9032014
10152018
29372EAT5
EFF_12-2 SENIOR ABS 12-2 A3 144A
 
 
2
 
660,592.97

660,508.22

660,000.00

660,223.6

284.62

(351.53
)
—

—

0.93

0.8805

Monthly
                   187.55
6,138

11202013
4202018
29372EBE7
EFF_14-2 ABS_14-2 A2 144A
 
 
2
 
1,334,785.07

1,333,638.34

1,335,000.00

1,334,821.87

(1,183.53
)
36.80

—

—

1.05

1.0598

Monthly
0
5,373.39

8062014
3202020
26971HAA0
EGLE_14-1A ABS_14-1A A1 144A
 
F
2
 
4,999,206.5

4,994,000

5,000,000.00

4,999,204.88

(5,204.88
)
(1.62
)
—

—

2.57

2.5849

Monthly
0
4,283.33

12122014
12152039
263534CF4
EI DU PONT DE NEMOURS & CO CORP BND
 
 
 
 
5,142,300

5,119,225

5,000,000.00

5,118,206.3

1,018.7

(24,093.70
)
—

—

2.75

0.8402

Apr-Oct
0
34,375

3222011
4012016
28336LBR9
EL PASO LLC CORP BND
 
 
 
 
2,428,386.4

2,419,124.22

2,140,000.00

2,428,386.4

(9,262.18
)
—

—

—

7.25

3.0493

Jun-Dec
0
—

12312014
6012018
283695BP8
EL PASO NATURAL GAS COMPANY CORP BND
 
 
 
 
1,925,592.5

1,931,488.69

1,790,000.00

1,924,336.28

7,152.41

(1,256.22
)
—

—

5.95

2.5481

Apr-Oct
0
2,070.93

12192014
4152017
28140DAA1
ELAB_12-1 ABS 12-1
 
 
2
 
111,974.31

111,978.34

111,974.31

111,974.31

4.03

0.22

—

—

0.6195

0.6202

Monthly
                  269.23
8,649.85

9192012
6252022
BRSLX7XX4
ELECTRICITE DE FRANCE SA SENIOR CORP BND
 
F
 
 
3,163,264

3,198,259.01

3,200,000.00

3,169,863.66

28,395.35

6,599.66

—

—

2.15

2.3950

Jan-Jul
0
64,786.67

1132014
1222019
268317AJ3
ELECTRICITE DE FRANCE SA SENIOR CORP BND 144A
 
F
 
 
4,863,518.4

4,928,354.16

4,920,000.00

4,873,665.38

54,688.78

17,336.85

—

—

2.15

2.3950

Jan-Jul
0
170,260.89

1132014
1222019




532457BF4
ELI LILLY AND COMPANY SENIOR CORP BND
 
 
 
 
996,180

999,748.31

1,000,000.00

996,393.09

3,355.22

213.09

—

—

1.95

2.0400

Mar-Sep
0
4,875

2202014
3152019
268648AP7
EMC CORP/ MASSACHUSETTS SENIOR CORP BND
 
 
 
 
3,498,725

3,479,180.57

3,500,000.00

3,499,105.84

(19,925.27
)
257.60

—

—

1.875

1.8871

Jun-Dec
               3,125.00
58,125

4022014
6012018
BRSP2R5D0
EMERALD PERFORMANCE MATERIALS SENIOR SECURED TERM NOTES
 
 
 
 
104,052.28

102,451.24

104,575.16

104,076.88

(1,625.64
)
24.60

—

—

—

0.0715

M-J-S-D
0
1,542.46

7232014
8012021
BRSMKZQU8
EMPIRE GENERATING CO LLC
 
 
 
 
78,681.63

78,284.24

79,476.39

78,761.78

(477.54
)
80.15

—

—

—

0.1438

M-J-S-D
0
2,943.93

 
 
BRSMKZQ95
EMPIRE GENERATING CO LLC SENIOR SECURED TERM LOAN
 
 
 
 
1,119,311.72

1,113,658.63

1,130,617.90

1,120,451.99

(6,793.36
)
1,225.71

—

—

—

0.1438

M-J-S-D
0
42,081.81

3132014
3122021
BRSLJ8BU8
ENDO LUXEMBOURG FINANCE I COMP
 
 
 
 
143,192.93

140,674.47

143,912.50

143,274.87

(2,600.4
)
87.37

—

—

—

0.0710

M-J-S-D
0
3,913.01

 
 
29270CYL3
ENERGY NORTHWEST MUNITAX BND REV
 
 
 
 
3,048,510

3,042,300

3,000,000.00

3,045,370.24

(3,070.24
)
(3,139.76
)
—

—

2.147

1.7001

Jan-Jul
0
16,102.5

8162012
7012018
29358QAB5
ENSCO PLC CORP BND
 
F
 
 
1,029,690

1,019,270

1,000,000.00

1,024,494.71

(5,224.71
)
(5,195.29
)
—

—

3.25

1.1901

Mar-Sep
0
8,125

3082011
3152016
BRSMRYMN4
ENTEGRIS, INC. SENIOR SECURED TERM NOTES
 
 
 
 
1,082,617.38

1,065,844.98

1,088,057.68

1,083,102.85

(17,257.87
)
1,564.73

—

—

—

0.0711

M-J-S-D
0
27,897.26

3252014
4302021
29372EAZ1
ENTERPRISE FLEET FINANCING LLC AB_13-2-A3 144A
 
 
2
 
299,978.79

301,760.99

300,000.00

299,984.42

1,776.57

2.84

—

—

1.51

1.5162

Monthly
                   138.42
4,530

8072013
3202019
29372EAY4
ENTERPRISE FLEET FINANCING LLC ABS _13-2-A2 144A
 
 
2
 
1,945,683.2

1,949,723.88

1,945,987.56

1,945,835.3

3,888.58

177.21

—

—

1.06

1.0695

Monthly
                    842.11
25,661.08

8072013
3202019
293791AR0
ENTERPRISE PRODUCTS OPERATING CORP BND
 
 
 
 
2,162,160

2,012,780

2,000,000.00

2,013,689.41

(909.41
)
(121,858.54
)
—

—

5

0.7839

Mar-Sep
            66,666.66
146,111.11

3192013
3012015
29379VBD4
ENTERPRISE PRODUCTS OPERATING SENIOR CORP BND
 
 
1
 
4,999,050

4,947,334.65

5,000,000.00

4,999,089.49

(51,754.84
)
39.49

—

—

2.55

2.5541

Apr-Oct
0
27,270.83

10022014
10152019
BRSJGG5M3
ENTRAVISION COMMUN CORP SENIOR SECURED TERM LOAN
 
 
 
 
2,644,350.01

2,578,241.26

2,644,350.01

2,644,350.01

(66,108.75
)
—

—

—

—

—

M-J-S-D
0
110,173.98

8012013
5312020
BRSBYALT0
ENVISION HEALTHCARE CORP TERM LOAN
 
 
2
 
5,572,243.91

5,572,243.79

5,600,245.02

5,585,181.63

(12,937.84
)
4,607.27

—

—

—

0.0782

F-M-A-N
0
228,384.18

6252012
5252018
295407YA2
ERIE PA MUNITAX BND GO
 
 
 
 
3,129,047

3,119,468

3,100,000.00

3,122,808.6

(3,340.6
)
(6,238.40
)
—

—

6.65

5.7696

May-Nov
0
51,537.5

12212001
11152015
L0594VKM1
EUROPEAN INVESTMENT BANK CORP BND EMTN
 
D
 
 
3,265,258.05

3,261,178.77

1,850,000.00

3,261,295.85

(117.08
)
(23,002.50
)
—

(4,803.55
)
4.75

1.2383

October
              7,482.30
38,958.14

12152014
10152018
L0593NQJ1
EUROPEAN INVESTMENT BANK SENIOR CORP BND
 
D
 
 
2,407,935.08

2,400,522.51

1,280,000.00

2,401,740.79

(1,218.28
)
(6,194.29
)
—

(3,537.51
)
8.75

0.9913

August
0
6,801.42

12152014
8252017
298785GH3
EUROPEAN INVESTMENT BANK SENIOR CORP BND
 
F
 
 
9,955,000

10,109,300.2

10,000,000.00

9,961,490.96

147,809.24

6,490.96

—

—

1.875

1.9710

Mar-Sep
0
137,500

4022014
3152019
298785FN1
EUROPEAN INVESTMENT BANK SENIOR CORP BND
 
F
 
 
15,606,900

15,404,700

15,000,000.00

15,390,942.14

13,757.86

(215,957.86
)
—

—

2.5

0.5910

May-Nov
0
285,416.67

3242014
5162016
299227L63
EVANSTON ILL MUNI BND GO
 
 
1
 
1,541,552

1,528,645.75

1,475,000.00

1,528,196.15

449.6

(13,355.85
)
—

—

4.5

0.8699

Jan-Jul
0
16,593.75

12192006
1012018
299227L55
EVANSTON ILL MUNI BND GO
 
 
1
 
1,562,992.6

1,548,102.4

1,495,000.00

1,549,324.03

(1,221.63
)
(13,668.57
)
—

—

4.25

0.5999

Jan-Jul
0
15,884.37

12192006
1012017
300141AC2
EVERGLADES RE LTD CORP BND 144A
 
F
 
 
4,020,000

4,195,920

4,000,000.00

4,017,477.78

178,442.22

(2,522.22
)
—

—

7.515

7.3788

M-J-S-D
0
862,852.2

7252014
4282017
300569GY0
EWING TWP N J SCH DIST MUNITAX BND GO
 
 
 
 
1,477,604.7

1,469,778.75

1,485,000.00

1,478,062.98

(8,284.23
)
458.28

—

—

1.596

1.7253

Apr-Oct
0
5,925.15

3082013
10012018
BRSL2KC12
EXCELITAS TECHNOLOGIES COR SENIOR SECURED TERM NOTES
 
 
 
 
4,086,459.77

4,100,205.12

4,127,737.13

4,092,850.94

7,354.18

9,161.99

—

—

—

0.1436

M-J-S-D
0
339,612.51

12052013
10302020
BRSPRVAJ5
EXGEN TEXAS POWER LLC SENIOR SECURED TERM LOAN
 
 
1
 
1,316,333.34

1,319,657.41

1,329,629.63

1,316,821.5

2,835.91

525.20

—

—

—

0.1420

M-J-S-D
0
19,805.56

9162014
9182021
30219GAD0
EXPRESS SCRIPTS HOLDING CO SENIOR CORP BND
 
 
 
 
4,067,024.68

4,195,661.78

4,100,000.00

4,082,430.61

113,231.17

7,921.18

—

—

2.65

2.8596

Feb-Aug
             41,045.56
108,650

1142013
2152017




30219GAH1
EXPRESS SCRIPTS HOLDING CO SENIOR CORP BND
 
 
 
 
7,990,555.5

7,963,592.91

8,050,000.00

7,994,306.37

(30,713.46
)
3,799.03

—

—

2.25

2.3010

Jun-Dec
0
81,125

7222014
6152019
30231GAD4
EXXON MOBIL CORP SENIOR CORP BND
 
 
1
 
2,050,000

2,040,337.45

2,050,000.00

2,050,000

(9,662.55
)
—

—

—

1.819

1.8190

Mar-Sep
0
29,106.53

3172014
3152019
30231GAA0
EXXON MOBIL CORP SENIOR CORP BND
 
 
 
 
2,905,046

2,915,394.3

2,900,000.00

2,904,355.51

11,038.79

(851.80
)
—

—

0.921

0.8520

Mar-Sep
0
11,543.19

8202014
3152017
30231GAB8
EXXON MOBIL CORP SENIOR CORP BND
 
 
 
 
5,000,000

4,996,450.05

5,000,000.00

5,000,000

(3,549.95
)
—

—

—

0.2806

0.2806

M-J-S-D
0
10,906.21

9182014
3152017
31398SKX0
FANNIE MAE FNMA_10-142 AGENCY CMO 10-142 FM
 
 
2
 
738,401.74

738,735.39

736,560.32

738,405.14

330.25

(763.75
)
—

—

0.6395

0.5708

Monthly
                   107.23
5,373.73

8152013
12252040
G3401LAB1
FCE BANK PLC SENIOR LOCAL BND EMTN
 
D
 
 
1,193,355.47

1,178,722.23

710,000.00

1,190,472.37

(11,750.14
)
(3,217.13
)
—

(10,031.01
)
4.825

1.6157

February
0
5,105.32

11272014
2152017
G33365SX9
FCE BANK PLC SENIOR LOCAL BND EMTN
 
D
 
 
1,652,000.81

1,528,659.9

950,000.00

1,604,784.03

(76,124.13
)
(59,017.84
)
—

(78,504.18
)
5.125

1.5879

November
0
87,765.72

2072014
11162015
3133EDRU8
FEDERAL FARM CREDIT BANKS AGENCY BND
 
 
1
 
2,986,380

3,009,107.4

3,000,000.00

2,987,078.21

22,029.19

698.21

—

—

1.95

2.0486

Feb-Aug
0
14,625

9122014
8052019
3133EDZ96
FEDERAL FARM CREDIT BANKS AGENCY BND
 
 
1
 
4,741,204.5

4,706,885.63

4,750,000.00

4,741,615.31

(34,729.68
)
410.81

—

—

1.6

1.6480

Apr-Oct
0
14,355.57

10162014
10232018
BRSMTTCL8
FEDERAL-MOGUL HOLDINGS CORP SENIOR SECURED TERM LOAN
 
 
1
 
1,696,023.35

1,695,597.21

1,704,546.08

1,696,861.35

(1,264.14
)
1,947.11

—

—

—

0.0709

M-J-S-D
0
119,801.19

4032014
4152021
BRSP9DQP4
FERRO CORP SENIOR SECURED TERM NOTES
 
 
 
 
441,116.67

437,237.5

443,333.33

441,227.72

(3,990.22
)
116.61

—

—

—

0.0714

M-J-S-D
0
6,696.29

7302014
7312021
313383V81
FHLB AGENCY BND
 
 
 
 
1,499,940

1,501,740

1,500,000.00

1,499,980.65

1,759.35

29.34

—

—

0.375

0.3770

Feb-Aug
                1,921.88
5,625

8082013
8282015
3130A1CD8
FHLB AGENCY BND
 
 
1
 
2,019,500

2,010,699.92

2,000,000.00

2,010,087.59

612.33

(9,412.41
)
—

—

1.125

0.4392

Mar-Sep
0
15,437.5

4232014
9282016
313382K85
FHLB AGENCY BND
 
 
 
 
2,997,150

3,001,380.3

3,000,000.00

2,998,845.74

2,534.56

949.04

—

—

0.45

0.4819

Mar-Sep
              3,862.50
13,500

3132013
3182016
3130A0C65
FHLB AGENCY BND
 
 
 
 
3,841,645

3,843,416.59

3,850,000.00

3,844,628.71

(1,212.12
)
2,995.89

—

—

0.625

0.7179

Jun-Dec
                  263.03
29,270.84

12032013
12282016
3130A3HF4
FHLB AGENCY BND
 
 
 
 
4,985,969.52

4,984,849.96

5,000,000.00

4,986,073.43

(1,223.47
)
103.91

—

—

1.125

1.2217

Jun-Dec
0
1,093.76

12232014
12082017
3130A3J70
FHLB AGENCY BND
 
 
 
 
9,996,000

9,993,399.81

10,000,000.00

9,996,244.5

(2,844.69
)
244.50

—

—

0.625

0.6450

May-Nov
0
7,638.88

11142014
11232016
313370SZ2
FHLB UNSEC AGENCY BND
 
 
 
 
11,244,219.1

11,240,842.89

10,900,000.00

11,208,847.03

31,995.86

(35,567.68
)
—

—

2.25

1.1865

Mar-Sep
0
76,056.25

9112014
9082017
3137EADQ9
FHLMC AGENCY BND
 
 
 
 
2,949,823

2,948,082.5

2,950,000.00

2,949,922.86

(1,840.36
)
86.90

—

—

0.5

0.5019

May-Nov
               3,518.00
22,824.31

3062013
5132016
3137EADH9
FHLMC AGENCY BND
 
 
 
 
4,502,205

4,505,355.14

4,500,000.00

4,501,953.18

3,401.96

(251.82
)
—

—

1

0.9823

Jun-Dec
0
15,250

8282014
6292017
3134G3J76
FHLMC AGENCY BND
 
 
 
 
7,002,107

7,011,479.3

7,000,000.00

7,000,479.94

10,999.36

(712.49
)
—

—

0.45

0.4398

Mar-Sep
             10,237.50
31,500

9142012
9042015
3137EACH0
FHLMC AGENCY BND
 
 
 
 
8,563,258.24

8,022,400

8,000,000.00

8,018,449.93

3,950.07

(173,664.93
)
—

—

2.875

0.6913

Feb-Aug
            90,722.22
230,000

11022011
2092015
31398QHE0
FHLMC AGENCY CMBS_ _K007-A1
 
 
2
 
3,681,564.04

3,663,694.22

3,519,760.65

3,671,229.01

(7,534.79
)
(13,659.97
)
—

—

3.342

1.0764

Monthly
0
29,609.64

6102010
12252019
31398JZR7
FHLMC AGENCY CMBS_K004-A1
 
 
2
 
1,222,963.4

1,218,427.18

1,163,729.56

1,219,593.87

(1,166.69
)
(6,042.35
)
—

—

3.413

1.1782

Monthly
0
10,079.32

10072009
5252019
31398WV35
FHLMC AGENCY CMO 3654
 
 
2
 
70,760.6

69,719.16

65,938.82

68,753.11

966.05

(1,833.08
)
—

—

5

1.6039

Monthly
                   389.18
3,902.66

2012012
11152028
3137APVD9
FHLMC AGENCY CMO_ _40-54-AE
 
 
2
 
2,235,632.61

2,224,726.43

2,278,769.73

2,236,260

(11,533.57
)
2,593.00

—

—

1.5

1.9394

Monthly
0
8,681.83

5162012
4152027
31395PE73
FHLMC AGENCY CMO__2943-VC
 
 
2
 
996,250.75

987,741.88

974,557.10

992,330

(4,588.12
)
(9,721.14
)
—

—

5

1.2170

Monthly
0
13,211.42

8122005
3152025




3137AVCQ8
FHLMC AGENCY CMO__4120-GP
 
 
2
 
2,232,829.09

2,314,292.85

2,478,965.58

2,235,414.1

78,878.75

8,981.46

—

—

1.5

3.6742

Monthly
0
9,372.78

1152013
10152032
31393PLP7
FHLMC AGENCY CMO_2602-WC
 
 
2
 
478,440.16

475,326.95

453,291.54

476,745.8

(1,418.85
)
(5,126.29
)
—

—

5

0.8868

Monthly
0
5,917.56

2162005
4152018
31395HJ43
FHLMC AGENCY CMO_2877-AL
 
 
2
 
839,182.89

841,313.41

778,130.75

838,109.13

3,204.28

(5,443.49
)
—

—

5

2.0502

Monthly
0
9,962.62

8122005
10152024
31396CLF5
FHLMC AGENCY CMO_3054 DW
 
 
2
 
4,107.69

4,138.03

4,123.15

4,113.91

24.12

44.14

—

—

5.5

5.6498

Monthly
                     98.31
630.24

6172008
5152034
3137A0MS1
FHLMC AGENCY CMO_3688-JA
 
 
2
 
907,083.04

908,331.25

880,885.50

905,716.26

2,614.99

(5,715.16
)
—

—

3.5

1.7899

Monthly
0
8,104.2

7142010
1152030
3137A3QQ5
FHLMC AGENCY CMO_37 62-PQ
 
 
2
 
879,270.91

847,247.63

839,752.17

879,045.67

(31,798.04
)
(3,304.45
)
—

—

4

2.8613

Monthly
0
8,506.58

12012010
11152040
3137A2QN4
FHLMC AGENCY CMO_37-60-NA
 
 
2
 
748,221.85

748,182.37

731,006.64

747,361.65

820.72

(2,033.79
)
—

—

3

1.4558

Monthly
0
5,600.45

8202013
10152037
3137ALG60
FHLMC AGENCY CMO_4004-AE
 
 
2
 
2,030,176.43

1,997,671.96

2,049,979.23

2,030,435.2

(32,763.24
)
1,067.42

—

—

1.75

1.9825

Monthly
0
9,092.31

3132012
2152027
3133TJP56
FHLMC CMO AGENCY CMO_2130 QS
 
 
2
 
830,908.82

894,909.86

819,386.21

828,329.42

66,580.44

(4,047.27
)
—

—

6

5.6570

Monthly
              5,349.30
55,260.77

2062007
3152029
31395EBR7
FHLMC CMO_2839 TC
 
 
2
 
2,868,738.68

2,869,302.11

2,721,892.57

2,861,172.37

8,129.74

(22,272.38
)
—

—

5

1.6571

Monthly
0
35,197.01

5192005
8152019
31395EC47
FHLMC CMO_2839 TS
 
 
2
 
852,705.27

836,658.72

793,675.63

836,635.9

22.82

(33,842.42
)
—

—

5

1.4771

Monthly
               4,912.07
48,116.88

3072013
8152019
31395KJS3
FHLMC CMO_2902 DE
 
 
2
 
3,487,380.24

3,495,459.01

3,293,430.13

3,479,035.1

16,423.91

(25,534.36
)
—

—

5

1.7748

Monthly
0
42,337.15

2182005
12152019
31397Y5H0
FHLMC CMO_3484 DA
 
 
2
 
56,898.79

54,767.23

54,693.94

54,682.8

84.43

(4,969.59
)
—

—

5

3.0972

Monthly
              2,359.42
13,594.12

6012009
9152022
31398QNB9
FHLMC CMO_3676 CA
 
 
2
 
112,443.65

112,484.7

110,039.30

112,095.83

388.87

(842.16
)
—

—

4

1.0632

Monthly
0
1,179.6

6082010
7152024
3137A22H3
FHLMC CMO_3745 BP
 
 
2
 
1,631,780.04

1,609,561.03

1,552,907.85

1,630,237.98

(20,676.95
)
(6,922.74
)
—

—

3.5

1.6560

Monthly
0
13,894.67

10132010
8152025
3137AAGA5
FHLMC CMO_3857 GL
 
 
2
 
996,266.46

989,502.1

967,305.34

995,937.18

(6,435.08
)
(2,436.34
)
—

—

3

1.9065

Monthly
0
7,406.56

7122011
5152040
3137ARH58
FHLMC CMO_4057 CD
 
 
2
 
3,845,600.05

3,853,528.39

3,968,136.10

3,847,281.98

6,246.41

5,921.31

—

—

2

2.7269

Monthly
0
20,034.82

9052013
4152039
3137AYWS6
FHLMC CMO_41-70 JA
 
 
2
 
1,710,348.39

1,732,260.43

1,752,962.92

1,711,309.77

20,950.66

1,894.47

—

—

2

2.5007

Monthly
0
8,811.64

3072013
11152032
3137B2BP4
FHLMC CMO_42-3 BN
 
 
2
 
1,926,417.89

1,952,017.65

1,953,136.80

1,926,834.11

25,183.54

416.22

—

—

3

3.2780

Monthly
0
14,648.52

5232013
4152033
3137B7TL3
FHLMC CMO_4306 A
 
 
2
 
4,785,206.73

4,830,298.56

4,633,833.30

4,781,858.43

48,440.13

(6,195.70
)
—

—

3.5

2.9140

Monthly
0
40,777.88

2202014
3152041
3137AUDW6
FHLMC PAC AGENCY CMO 4105-MG
 
 
2
 
637,694.88

625,430.15

617,248.52

637,047.64

(11,617.49
)
(773.21
)
—

—

3

2.1664

Monthly
0
2,526.45

11062014
11152040
3128JLHB8
FHLMC POOL # 1B1225
 
 
2
 
38,846.52

41,276.5

39,450.08

38,877.01

2,399.49

122.27

—

—

2.25

2.6830

Monthly
                    94.88
1,048.47

4022007
9012033
3128JMW45
FHLMC POOL # 1B2566
 
 
2
 
60,708.13

65,978.34

61,185.37

60,730.84

5,247.5

46.33

—

—

2.4

2.5361

Monthly
                    143.41
1,612.63

4022007
11012034
3128JMXM4
FHLMC POOL # 1B2583
 
 
2
 
1,136,982.36

1,215,817.58

1,149,605.03

1,137,838.19

77,979.39

1,893.72

—

—

2.4

2.6021

Monthly
              2,828.57
31,636.93

9172008
10012034
3128JMY68
FHLMC POOL # 1B2632
 
 
2
 
71,515.92

78,199.8

72,078.14

71,540.51

6,659.29

47.70

—

—

2.488

2.6286

Monthly
                   167.09
1,914.77

4032007
11012034
3128JMZG5
FHLMC POOL # 1B2642
 
 
2
 
108,517.81

116,832.77

109,370.92

108,560.71

8,272.06

100.35

—

—

2.407

2.5373

Monthly
                  260.34
2,931.75

4022007
11012034
3128JNAL9
FHLMC POOL # 1B2810
 
 
2
 
137,176.58

149,406.42

138,604.19

137,244

12,162.42

142.57

—

—

2.524

2.7374

Monthly
                  355.73
3,702.26

4022007
2012035




3128NCB37
FHLMC POOL # 1G0058
 
 
2
 
147,235.61

158,074.17

147,581.51

147,228.28

10,845.89

75.17

—

—

2.449

2.4460

Monthly
                  390.63
4,005.12

9172008
1012035
3128NCD68
FHLMC POOL # 1G0125
 
 
2
 
1,271,682.31

1,392,022.27

1,298,877.55

1,273,684.17

118,338.1

3,496.89

—

—

2.332

2.7905

Monthly
              3,287.90
33,214.17

12132005
3012035
3128NCMS0
FHLMC POOL # 1G0369
 
 
2
 
219,237.01

231,765.03

218,146.27

219,119.85

12,645.18

(58.96
)
—

—

2.23

2.0606

Monthly
                  484.56
5,509.48

8272008
10012035
3128QJLG9
FHLMC POOL # 1G1227
 
 
2
 
178,140.19

186,656.75

174,647.28

177,788.68

8,868.07

(269.53
)
—

—

2.378

1.9597

Monthly
                  407.79
4,625.57

1042008
10012036
3128QJRN8
FHLMC POOL # 1G1393
 
 
2
 
988,685.84

1,016,133.71

948,981.84

986,366.08

29,767.63

(8,357.53
)
—

—

2.539

1.6805

Monthly
              2,685.53
25,918.72

3092012
12012036
3128QJ3B0
FHLMC POOL # 1G1694
 
 
2
 
1,164,508.44

1,260,661.38

1,182,007.71

1,165,492.69

95,168.69

1,095.10

—

—

2.159

2.4499

Monthly
              2,590.93
27,371.15

8102007
4012037
31342AZE2
FHLMC POOL # 780741
 
 
2
 
362,175.04

374,549.61

351,040.48

361,544.51

13,005.1

(2,074.26
)
—

—

2.375

1.2640

Monthly
                  829.58
8,718.29

11162009
7012033
31342A6F1
FHLMC POOL # 780870
 
 
2
 
234,505.71

253,959.92

238,149.38

234,682.36

19,277.56

824.98

—

—

2.36

2.8008

Monthly
                   583.19
6,214.33

2222012
9012033
31349SJK0
FHLMC POOL # 781166
 
 
2
 
524,465.06

565,284.32

533,149.57

525,070.61

40,213.71

1,350.29

—

—

2.355

2.7252

Monthly
               1,273.37
13,594.56

1092006
1012034
31349UCW6
FHLMC POOL # 782785
 
 
2
 
114,568.76

122,870.9

115,469.44

114,617.89

8,253.01

164.95

—

—

2.232

2.3628

Monthly
                  256.82
2,832.71

4022007
10012034
31349UEJ3
FHLMC POOL # 782837
 
 
2
 
192,914.91

208,572.82

194,431.49

192,982.68

15,590.14

328.42

—

—

2.375

2.5191

Monthly
                   476.17
5,168.15

4022007
11012034
31349UJL3
FHLMC POOL # 782967
 
 
2
 
68,861.68

74,868.61

69,899.25

68,921.69

5,946.92

140.51

—

—

2.375

2.7184

Monthly
                   164.48
1,783.72

9302008
1012035
31349ULB2
FHLMC POOL # 783022
 
 
2
 
208,514.33

225,395.16

210,376.18

208,598.6

16,796.56

328.25

—

—

2.375

2.5520

Monthly
                  503.57
5,470.27

4022007
2012035
31295NXK9
FHLMC POOL # 789682
 
 
2
 
28,110.3

30,586.99

28,272.64

28,118.39

2,468.6

7.04

—

—

2.352

2.4381

Monthly
                    57.84
678.42

8102006
9012032
3128JRJS6
FHLMC POOL # 847473
 
 
2
 
1,337,928.57

1,434,068.15

1,343,386.10

1,338,023.71

96,044.44

869.32

—

—

2.353

2.3969

Monthly
              3,078.85
34,183.42

9262007
12012035
3128JRKQ8
FHLMC POOL # 847503
 
 
2
 
643,180.44

698,784.24

658,564.10

643,951.48

54,832.76

2,213.35

—

—

2.286

2.9682

Monthly
                1,594.19
16,652.73

5312006
12012035
3128JRPZ3
FHLMC POOL # 847640
 
 
2
 
256,391.29

277,015.12

257,796.29

256,435.51

20,579.61

193.17

—

—

2.374

2.4552

Monthly
                  644.79
6,691.75

11132006
5012036
3128JRP26
FHLMC POOL # 847641
 
 
2
 
389,618.69

420,569.62

392,760.76

389,815.34

30,754.28

479.67

—

—

2.365

2.4948

Monthly
                  932.28
9,954.24

2222012
12012033
3128JR6Z4
FHLMC POOL # 848088
 
 
2
 
5,584,223.37

5,691,980.3

5,314,353.85

5,571,319.37

120,660.93

(48,448.92
)
—

—

2.37

0.9620

Monthly
              12,716.74
137,426.51

3082011
4012035
31300L3D5
FHLMC POOL # 848896
 
 
2
 
1,807,990.92

1,798,424.96

1,718,826.78

1,806,662.7

(8,237.74
)
(22,771.60
)
—

—

2.949

1.3133

Monthly
               5,324.81
56,770.04

4222013
5012042
3128KWBZ5
FHLMC POOL # A65456
 
 
2
 
11,196.7

12,510.04

10,775.77

11,172.3

1,337.74

(116.06
)
—

—

6

5.0304

Monthly
                    68.36
732.49

2042009
9012037
3128KWFX6
FHLMC POOL # A65582
 
 
2
 
23,885.11

26,686.77

22,987.17

23,831.73

2,855.04

(273.08
)
—

—

6

5.0667

Monthly
                   149.00
1,504.78

2042009
9012037
3128KWFY4
FHLMC POOL # A65583
 
 
2
 
24,359.04

27,216.31

23,443.30

24,305.69

2,910.62

(255.49
)
—

—

6

5.0490

Monthly
                    149.10
1,632.15

2042009
9012037
3128KWNV1
FHLMC POOL # A65804
 
 
2
 
347,405.12

397,607.66

343,460.68

347,135.07

50,472.59

(5,436.00
)
—

—

6

5.7075

Monthly
               4,156.52
27,307.89

11022007
9012037
3128KWNX7
FHLMC POOL # A65806
 
 
2
 
877,983.73

1,004,858.71

868,015.12

877,315.54

127,543.17

(3,240.86
)
—

—

6

5.7032

Monthly
                5,719.21
63,312.29

11022007
9012037
3128KWTK9
FHLMC POOL # A65954
 
 
2
 
28,470.41

31,809.89

27,400.07

28,403.06

3,406.83

(325.41
)
—

—

6

5.1308

Monthly
                    177.10
1,862.52

2042009
9012037
3128KWTP8
FHLMC POOL # A65958
 
 
2
 
19,076.05

21,313.65

18,358.93

19,034.35

2,279.3

(348.11
)
—

—

6

5.0468

Monthly
                   136.32
1,316.09

2042009
9012037




3128KWTZ6
FHLMC POOL # A65968
 
 
2
 
21,296.73

23,794.76

20,496.08

21,250.7

2,544.06

(215.13
)
—

—

6

5.0253

Monthly
                   129.23
1,360.31

2042009
9012037
3128KWT29
FHLMC POOL # A65969
 
 
2
 
17,211.56

19,230.43

16,564.51

17,174.52

2,055.91

(242.62
)
—

—

6

5.0246

Monthly
                    113.65
1,085.19

2042009
9012037
3128KW5Q2
FHLMC POOL # A66255
 
 
2
 
358,013.11

402,778.52

353,948.25

357,714.48

45,064.04

(3,089.83
)
—

—

6

5.7336

Monthly
               3,127.59
31,038.19

11022007
9012037
3128KYXE4
FHLMC POOL # A67877
 
 
2
 
22,172.75

24,773.57

21,339.20

22,120.2

2,653.37

(97.38
)
—

—

6

5.0881

Monthly
                    117.32
1,372.15

2042009
4012037
312929CM2
FHLMC POOL # A82776
 
 
2
 
8,018.46

8,956.19

7,717.00

8,000.78

955.41

(66.52
)
—

—

6

5.1576

Monthly
                    46.57
472.03

2042009
1012039
312930LH1
FHLMC POOL # A83928
 
 
2
 
17,198.56

19,209.89

16,551.99

17,161.7

2,048.19

(68.40
)
—

—

6

5.1403

Monthly
                    90.38
1,041.91

2042009
1012039
312930LQ1
FHLMC POOL # A83935
 
 
2
 
36,379.63

40,634.17

35,011.98

36,296.26

4,337.91

(341.81
)
—

—

6

5.2048

Monthly
                   217.07
2,279.99

2042009
1012039
312930RC6
FHLMC POOL # A84083
 
 
2
 
20,772.15

23,219.36

19,991.25

20,717.07

2,502.29

(123.42
)
—

—

6

5.3063

Monthly
                    114.07
1,265.52

2042009
1012039
312930RV4
FHLMC POOL # A84100
 
 
2
 
10,649.95

11,895.46

10,249.59

10,625.53

1,269.93

(66.10
)
—

—

6

5.1938

Monthly
                    58.89
626.63

2042009
1012039
312930TB6
FHLMC POOL # A84146
 
 
2
 
10,996.8

12,292.37

10,583.40

10,973.33

1,319.04

(70.40
)
—

—

6

5.1334

Monthly
                      61.21
641.02

2042009
1012039
31292KJH1
FHLMC POOL # C02964
 
 
2
 
1,559.74

1,742.7

1,501.11

1,556.25

186.45

(12.89
)
—

—

6

5.0465

Monthly
                       9.07
99.84

2042009
7012037
31292SA91
FHLMC POOL # C09032
 
 
2
 
1,152,777.78

1,179,051.89

1,132,516.35

1,152,600.64

26,451.25

(638.10
)
—

—

3.5

3.2147

Monthly
0
11,562.28

9122014
2012043
3128M4HY2
FHLMC POOL # G02647
 
 
2
 
451,724.28

510,709.59

457,949.52

451,988.1

58,721.49

2,873.95

—

—

5.5

5.9681

Monthly
                3,091.51
29,819.64

4092007
2012037
3128M4ZG1
FHLMC POOL # G03143
 
 
2
 
2,931.38

3,275.2

2,821.16

2,924.7

350.5

(27.81
)
—

—

6

5.0655

Monthly
                     17.52
185.86

2042009
7012037
3128M5HK9
FHLMC POOL # G03534
 
 
2
 
4,540,342.44

5,073,479.34

4,418,152.83

4,532,662.36

540,816.98

(38,267.13
)
—

—

6.5

5.8002

Monthly
             31,229.99
323,632.97

11062007
10012037
3128M6UB2
FHLMC POOL # G04778
 
 
2
 
71,136.38

79,455.66

68,462.08

70,978.11

8,477.55

(599.21
)
—

—

6

5.1260

Monthly
                   415.28
4,510.66

2042009
7012038
3128M7AZ9
FHLMC POOL # G05124
 
 
2
 
177,712.52

198,495.71

171,031.60

177,327

21,168.71

(1,871.31
)
—

—

6

5.1394

Monthly
               1,087.60
11,456.76

2042009
12012038
3128M92M3
FHLMC POOL # G07680
 
 
2
 
4,277,334.75

4,334,136.42

4,046,554.67

4,275,116.62

59,019.8

(10,744.87
)
—

—

4

3.1222

Monthly
0
62,252.55

8122014
4012044
3128MJUW8
FHLMC POOL # G08596
 
 
2
 
4,623,811.65

4,625,028.19

4,264,648.31

4,620,664.84

4,363.35

(12,742.55
)
—

—

4.5

2.4278

Monthly
0
70,796.22

8152014
7012044
3128MJU81
FHLMC POOL # G08606
 
 
2
 
5,173,353.46

5,269,081.49

4,939,499.05

5,171,181.8

97,899.69

(4,389.14
)
—

—

4

3.0825

Monthly
0
42,422.65

9182014
9012044
3128MBBR7
FHLMC POOL # G12548
 
 
2
 
487,661.05

518,021.9

486,596.64

487,068.22

30,953.68

(382.72
)
—

—

5.5

5.4092

Monthly
              3,065.68
30,970.72

3302007
1012022
3128MBU70
FHLMC POOL # G13106
 
 
2
 
608,128.6

599,690.05

567,019.67

601,718.86

(2,028.81
)
(22,086.08
)
—

—

5

2.1440

Monthly
              3,428.90
33,860

7172013
10012020
3128MCRQ0
FHLMC POOL # G13895
 
 
2
 
1,693,629.43

1,655,580.4

1,573,182.63

1,656,566.86

(986.46
)
(66,993.42
)
—

—

5

2.1195

Monthly
             10,244.48
98,211.55

11102011
11012019
3128MDCL5
FHLMC POOL # G14375
 
 
2
 
175,621.25

176,167.23

165,023.64

175,079.67

1,087.56

(3,374.55
)
—

—

4

2.0520

Monthly
                  704.66
7,431.51

12132013
7012026
3128MDM91
FHLMC POOL # G14684
 
 
2
 
1,842,081.29

1,819,273.22

1,751,626.22

1,828,720.34

(9,447.12
)
(23,905.39
)
—

—

3

1.5574

Monthly
              5,262.55
57,595.25

2132013
2012023
3128MDNM1
FHLMC POOL # G14696
 
 
2
 
812,230

799,575.68

731,532.77

802,861.69

(3,286.01
)
(37,548.03
)
—

—

6

2.8535

Monthly
               5,173.63
51,914.27

3012013
3012024
3128MDVW0
FHLMC POOL # G14929
 
 
2
 
751,682.71

751,830.98

700,895.21

749,534.18

2,296.8

(13,035.81
)
—

—

4

2.1436

Monthly
              2,860.65
30,873.84

11192013
10012028




3128MD5G4
FHLMC POOL # G15147
 
 
2
 
3,031,367.35

3,046,423.07

2,923,781.34

3,029,096.26

17,326.81

(4,605.79
)
—

—

3

2.2502

Monthly
0
32,708.82

8132014
8012029
3128MTB72
FHLMC POOL # H00962
 
 
2
 
44,958.1

49,776.78

44,093.46

44,907.01

4,869.77

(1,932.79
)
—

—

6.5

5.9293

Monthly
                  792.77
5,865.13

10312007
7012037
3128MTEE4
FHLMC POOL # H01033
 
 
2
 
818,661.95

906,407.31

802,917.25

817,403.6

89,003.71

(29,985.65
)
—

—

6.5

6.1055

Monthly
             12,858.63
96,799.48

10312007
7012037
3128MTF29
FHLMC POOL # H01085
 
 
2
 
105,811.46

117,152.47

103,776.46

105,638.99

11,513.48

(123.80
)
—

—

6.5

6.1304

Monthly
                  577.35
6,835.41

10312007
7012037
3128PVWH9
FHLMC POOL # J16048
 
 
2
 
5,896,056.54

6,003,971.72

5,581,239.77

5,849,528.83

154,442.89

(66,321.01
)
—

—

4

2.7019

Monthly
             21,860.57
240,186.99

8022011
7012026
3128PV4J6
FHLMC POOL # J16225
 
 
2
 
1,845,778.25

1,879,561.4

1,747,223.89

1,831,894.88

47,666.52

(23,783.91
)
—

—

4

2.6507

Monthly
              7,038.82
76,213.93

8022011
8012026
31306YAL5
FHLMC POOL # J20911
 
 
2
 
1,603,888.16

1,602,221.52

1,524,676.47

1,591,937.7

10,283.82

(26,263.63
)
—

—

3

1.4730

Monthly
              4,850.74
50,607.42

2132013
10012022
3132GLQP2
FHLMC POOL # Q05262
 
 
2
 
3,461,491.3

3,482,297.41

3,344,941.02

3,456,636.38

25,661.03

(12,791.94
)
—

—

3.5

2.9085

Monthly
               10,711.04
122,675.38

2032012
12012041
3132GMDN9
FHLMC POOL # Q05809
 
 
2
 
4,946,766.75

4,986,174.65

4,673,650.31

4,943,467.63

42,707.02

(16,592.35
)
—

—

4

2.9983

Monthly
0
88,262.32

6272014
1012042
3132M92R4
FHLMC POOL # Q29184
 
 
2
 
2,962,893.66

2,965,720.8

2,773,717.47

2,961,344.54

4,376.26

(1,549.12
)
—

—

4

2.5001

Monthly
0
4,622.87

12112014
10012044
3132QLQT3
FHLMC POOL # Q30465
 
 
2
 
2,918,562.5

2,919,869.1

2,800,000.00

2,917,956.3

1,912.8

(606.20
)
—

—

3.5

2.8741

Monthly
0
4,083.34

12112014
12012044
3137B8MW4
FHLMC SENIOR AGENCY CMO_4322-DN
 
 
2
 
5,115,003.8

5,060,859.7

4,767,150.78

5,095,379.79

(34,520.09
)
(35,059.72
)
—

—

4

2.0928

Monthly
0
67,933.8

8202014
5152043
3137BDJQ0
FHLMC SENIOR AGENCY CMO_4384-HN
 
 
2
 
1,038,068.67

1,042,109.48

983,732.81

1,036,185.18

5,924.3

(2,503.22
)
—

—

3.5

2.1289

Monthly
0
7,786.72

10072014
6152040
3137A47K7
FHLMC SENIOR CMO_3778 M
 
 
2
 
228,849.42

228,884.5

210,617.83

227,534.75

1,349.75

(4,456.79
)
—

—

4.5

2.2626

Monthly
0
9,854.14

1132014
8152039
3134G3W55
FHLMC UNSECURED AGENCY BND
 
 
 
 
249,972.5

250,382.53

250,000.00

249,991.62

390.91

9.32

—

—

0.45

0.4538

May-Nov
                    115.63
1,125

12182012
11242015
3134G42Q0
FHLMC UNSECURED AGENCY BND
 
 
1
 
247,725

249,527.49

250,000.00

248,648.84

878.65

735.92

—

—

0.6

0.9012

Apr-Oct
                  275.00
1,500

9272013
10252016
3137EADP1
FHLMC UNSECURED AGENCY BND
 
 
 
 
14,877,000

14,827,349.85

15,000,000.00

14,922,343.58

(94,993.73
)
23,900.74

—

—

0.875

1.0410

Mar-Sep
             41,562.50
131,250

2012013
3072018
31397JAB0
FHLMC_3346A AGNECY CMO_3335-AF
 
 
2
 
190,262.27

190,593.08

190,247.40

190,256.55

336.53

(7.66
)
—

—

0.3108

0.3076

Monthly
                      41.12
726.94

7222011
10152020
31398Q4P9
FHLMC_3674 SENIOR AGENCY CMO 3674 HJ
 
 
2
 
1,640,324.31

1,634,269.93

1,468,262.32

1,633,496.99

772.94

(43,712.20
)
—

—

5.5

2.5453

Monthly
              8,227.38
89,973.51

11202013
4152040
3137A63Z3
FHLMC_3792 AGENCY CMO 3792
 
 
2
 
1,907,123.61

1,903,147.87

1,894,101.64

1,904,843.88

(1,696.01
)
(5,788.04
)
—

—

0.5608

0.3818

Monthly
                  953.04
15,283.14

11092012
11152040
3137ACNE5
FHLMC_3879 CMO_3879 MF
 
 
2
 
317,358.4

316,981.81

316,123.53

317,232.13

(250.32
)
(426.30
)
—

—

0.5108

0.3726

Monthly
                    90.66
1,790.96

11052013
9152038
3137BDKF2
FHR AGENCY CMO_4384 LA
 
 
2
 
4,647,044.46

4,629,508.7

4,412,623.82

4,642,197.51

(12,688.81
)
(9,488.81
)
—

—

3.5

2.1037

Monthly
0
39,312.29

8272014
9152040
31283AKB5
FHSTR_282 CMO_282 150
 
 
2
 
3,969,509.85

3,793,220.33

4,059,052.55

3,971,064.53

(177,844.2
)
4,699.60

—

—

1.5

1.9692

Monthly
0
15,417.56

10172012
10152027
316773CR9
FIFTH THIRD BANK CAPSEC CORP BND
 
 
1
 
7,895,000

7,760,000

8,000,000.00

7,895,638.75

(135,638.75
)
638.75

—

—

4.9

4.9359

Mar-Sep
0
88,336.12

11242014
12312049
31677QBC2
FIFTH THIRD BANK SENIOR CORP BND
 
 
1
 
2,835,322.5

2,842,843.48

2,850,000.00

2,835,938.34

6,905.14

615.84

—

—

2.875

2.9560

Apr-Oct
0
26,402.08

9022014
10012021
BRSNJVR77
FIFTH THIRD PROCESSING SOLUTIO SENIOR SECURED TERM NOTES
 
 
 
 
522,440.65

520,637.04

525,065.97

522,610.13

(1,973.09
)
182.68

—

—

—

0.0716

M-J-S-D
0
8,017.24

9122014
6132021
BRSP22SV0
FIRST DATA CORPORATION SENIOR SECURED TERM LOAN
 
 
 
 
1,977,500

1,961,000

2,000,000.00

1,978,916.13

(17,916.13
)
1,416.13

—

—

—

0.2803

M-J-S-D
0
20,692.46

7312014
9242018




337158AE9
FIRST TENNESSEE BANK NA SUB CORP BND
 
 
 
 
2,112,740

2,066,760.1

2,000,000.00

2,093,746.22

(26,986.12
)
(18,993.78
)
—

—

5.65

1.8300

Apr-Oct
0
28,250

3232006
4012016
33766QAA5
FIRSTENERGY OHIO PIRB SPECIAL ABS_13-1 A1
 
 
2
 
237,603.68

237,535.02

237,603.92

237,602.67

(67.65
)
0.19

—

—

0.679

0.6787

Jan-Jul
                1,801.24
2,157.02

6122013
1152019
337738AK4
FISERV INC CORP BND
 
 
 
 
789,567.5

769,910.49

750,000.00

768,628.74

1,281.75

(12,603.14
)
—

—

3.125

1.4052

Jun-Dec
                1,041.66
23,437.5

8062013
6152016
BRSFEV6K3
FLY FUNDING II SARL
 
 
 
 
1,980,536.24

1,977,428.94

1,985,500.00

1,981,416.86

(3,987.92
)
1,141.86

—

—

—

0.0441

F-M-A-N
0
79,455.91

 
 
30249UAA9
FMC TECHNOLOGIES INC SENIOR CORP BND
 
 
 
 
349,184.5

346,021

350,000.00

349,544.74

(3,523.74
)
159.52

—

—

2

2.0489

Apr-Oct
               1,750.00
7,000

9182012
10012017
30254WAE9
FMS WERTMANAGEMENT LT GTD SENIOR CORP BND
 
F
 
 
1,366,562.56

1,367,287.12

1,367,000.00

1,366,609.42

677.7

46.86

—

—

1.125

1.1359

Mar-Sep
0
4,955.38

8272014
9052017
30254WAF6
FMS WERTMANAGEMENT LT GTD SENIOR CORP BND
 
F
 
 
6,039,409.86

6,020,425.59

6,046,000.00

6,039,903.08

(19,477.49
)
493.22

—

—

0.625

0.6740

Jan-Jul
0
6,402.89

10222014
1302017
BRSF8V463
FMS WERTMANAGEMENT LT GTD SENIOR CORP BND EMTN
 
D
 
 
467,008.77

469,510.07

300,000.00

468,126.57

1,383.5

432.33

—

(779.29
)
1

1.0980

December
              2,504.20
20,409.01

7162012
12012015
3138E9KT6
FNMA
 
 
 
 
89,056.16

88,792.56

85,374.39

88,631.91

160.65

(1,707.52
)
—

—

3

1.9824

Monthly
                  308.43
2,991.86

 
 
3138E9L40
FNMA
 
 
 
 
2,180,269.17

2,173,815.79

2,090,132.21

2,169,962.85

3,852.94

(19,284.43
)
—

—

3

1.9985

Monthly
               6,153.82
67,561.8

 
 
3135G0CM3
FNMA AGENCY BND
 
 
 
 
1,775,714.5

1,769,039.95

1,750,000.00

1,765,017.34

4,022.61

(8,555.13
)
—

—

1.25

0.7519

Mar-Sep
               5,651.04
21,875

10012013
9282016
3135G0NR0
FNMA AGENCY BND
 
 
1
 
249,762.5

248,540

250,000.00

249,828.47

(1,288.47
)
65.97

—

—

1.1

1.1263

Feb-Aug
0
2,169.44

3142014
8282017
3135G0WJ8
FNMA AGENCY BND
 
 
 
 
1,995,720

1,971,640.02

2,000,000.00

1,997,133.57

(25,493.55
)
829.54

—

—

0.875

0.9181

May-Nov
               1,944.44
17,500

4112013
5212018
3135G0UM3
FNMA AGENCY BND
 
 
1
 
2,499,125

2,501,050

2,500,000.00

2,499,662.34

1,387.66

291.43

—

—

0.52

0.5318

Feb-Aug
               4,513.89
13,000

2052013
2262016
31359MZC0
FNMA AGENCY BND
 
 
 
 
5,904,904.9

5,472,038

5,300,000.00

5,394,870.78

77,167.22

(118,646.88
)
—

—

4.375

2.0647

Apr-Oct
             48,951.39
231,875

7162010
10152015
3135G0VA8
FNMA AGENCY BND
 
 
 
 
6,742,305

6,750,878.18

6,750,000.00

6,746,922.28

3,955.9

2,461.35

—

—

0.5

0.5369

Mar-Sep
               8,531.25
33,750

2142013
3302016
3135G0ZB2
FNMA AGENCY BND
 
 
 
 
6,726,442.5

6,733,327.37

6,750,000.00

6,732,522.62

804.75

6,080.12

—

—

0.75

0.8640

Apr-Oct
0
40,921.87

3062014
4202017
31398SVZ3
FNMA AGENCY CMO _10-139-MA
 
 
2
 
2,151,430.72

2,079,566.95

2,104,479.78

2,151,176.15

(71,609.2
)
(2,762.41
)
—

—

2.5

1.9548

Monthly
0
13,355.85

11092010
12252040
31398SZN6
FNMA AGENCY CMO _10-141-G
 
 
2
 
8,129,156.72

8,083,702.03

7,817,671.38

8,116,768.34

(33,066.31
)
(64,592.81
)
—

—

3.5

1.9600

Monthly
0
124,130.26

7212014
5252030
3136ALUX7
FNMA AGENCY CMO 2014-70 KP
 
 
2
 
5,147,612.17

5,161,852.06

4,885,041.20

5,141,619.66

20,232.4

(12,171.54
)
—

—

3.5

2.2241

Monthly
0
29,149.27

10242014
3252044
3136A1PM1
FNMA AGENCY CMO__11-96-PA
 
 
2
 
3,337,584.39

3,277,457.5

3,269,897.50

3,336,241.81

(58,784.31
)
(4,310.42
)
—

—

2.5

1.5310

Monthly
0
20,753.43

9062011
3252040
3136A5BT2
FNMA AGENCY CMO__12-40-DE
 
 
2
 
2,050,007.04

2,125,577.93

2,110,211.37

2,051,172.12

74,405.81

3,536.85

—

—

2

2.9621

Monthly
0
10,723.04

3132012
6252030
3136ABTM5
FNMA AGENCY CMO__13-7-CT
 
 
2
 
2,925,046.18

2,963,049.88

2,933,788.86

2,925,128.95

37,920.93

898.67

—

—

2

2.0438

Monthly
0
14,688.92

1032013
2252043
31394BPP3
FNMA AGENCY CMO_04-88 HA
 
 
2
 
4,048.99

4,010.27

3,915.61

3,925.27

85

(75.81
)
—

—

6.5

5.1941

Monthly
                    55.56
427.83

1142008
7252034
31398GEH8
FNMA AGENCY CMO_09-100-MA
 
 
2
 
718,817.05

716,215.82

693,845.55

718,579.29

(2,363.47
)
(2,495.74
)
—

—

3

1.5439

Monthly
0
5,365.19

11132009
11252039
31397NLS2
FNMA AGENCY CMO_09-11 LC
 
 
2
 
839,849.35

832,963.83

789,054.00

837,256.72

(4,292.89
)
(25,510.87
)
—

—

4.5

1.8391

Monthly
0
37,893.85

2072014
3252049
31397N4N2
FNMA AGENCY CMO_09-41-LG
 
 
2
 
2,677,700

2,656,877.5

2,500,000.00

2,664,972.48

(8,094.98
)
(12,727.52
)
—

—

4

1.8595

Monthly
0
24,999.99

6162009
6252024




31398MU53
FNMA AGENCY CMO_10-29-PA
 
 
2
 
292,776.17

294,763.26

284,643.89

292,253.38

2,509.88

(1,477.55
)
—

—

4.5

2.4876

Monthly
0
3,322.71

3162010
10252038
31398PTG4
FNMA AGENCY CMO_10-42-EP
 
 
2
 
301,672.73

299,157.35

287,438.76

301,054.37

(1,897.02
)
(2,591.91
)
—

—

4.5

1.0980

Monthly
0
3,343.33

5042010
11252039
31398MAY2
FNMA AGENCY CMO_10-9 MC
 
 
2
 
896,750

869,179.2

800,000.00

881,298.59

(12,119.39
)
(15,451.41
)
—

—

5

1.5740

Monthly
0
23,777.75

5212014
4252036
31398S6U2
FNMA AGENCY CMO_11-7-CA
 
 
2
 
127,289.58

126,973.32

125,897.15

126,784.51

188.81

(904.28
)
—

—

3.5

(0.0732
)
Monthly
0
1,192.85

1252011
5252024
31398T6X4
FNMA CMO 10-113 FA
 
 
2
 
2,296,728.86

2,310,909.99

2,298,459.24

2,297,104.9

13,805.09

130.50

—

—

0.5695

0.5907

Monthly
                  273.39
14,423.64

9032013
10252040
31392ER28
FNMA CMO_02-64 PG
 
 
2
 
948,160.82

933,473.23

860,735.88

947,629.68

(14,156.45
)
(7,090.70
)
—

—

5.5

2.9766

Monthly
0
12,199.31

9182002
10252032
31393ERS0
FNMA CMO_03-83 PG
 
 
2
 
568,898.25

563,809.23

540,849.78

567,260.76

(3,451.53
)
(4,121.39
)
—

—

5

1.4285

Monthly
0
6,944.18

8222005
6252023
31394DA42
FNMA CMO_05-48 AR
 
 
2
 
73,461.54

78,417.89

72,937.31

73,107.26

5,310.63

(172.74
)
—

—

5.5

5.2516

Monthly
                  486.86
4,803.51

12202007
2252035
31394EZX9
FNMA CMO_05-65 WL
 
 
2
 
828,589.57

807,277.78

796,003.19

806,257.9

1,019.88

(29,181.45
)
—

—

5.5

2.0955

Monthly
               8,814.74
70,870.81

11162012
7252034
31397MTX5
FNMA CMO_08-81 KA
 
 
2
 
113,766.19

114,438.53

114,158.61

113,777.17

661.36

2,020.70

—

—

5

5.0569

Monthly
              2,976.89
18,776.3

7292008
10252022
31397NE68
FNMA CMO_09-31 B
 
 
2
 
4,140,927.43

4,115,118.15

3,865,979.00

4,124,391.77

(9,273.62
)
(16,535.66
)
—

—

4

2.1617

Monthly
0
38,659.8

6102009
5252024
31396QAW9
FNMA CMO_09-37 HB
 
 
2
 
2,059,941.77

2,040,765.91

1,918,545.00

2,050,570.1

(9,804.19
)
(9,371.67
)
—

—

4

1.9313

Monthly
0
19,185.45

6162009
4252019
31398RUW3
FNMA CMO_10-62 EN
 
 
2
 
60,744.57

59,713.94

59,361.45

60,268.64

(554.7
)
(3,413.30
)
—

—

5

(2.0268
)
Monthly
0
1,110.12

5012010
12252038
3136A3SM4
FNMA CMO_12-11 GA
 
 
2
 
2,131,006.18

2,102,171.39

2,129,600.65

2,130,987.58

(28,816.19
)
(114.16
)
—

—

2

1.9598

Monthly
0
10,824.06

1102012
5252040
3136A9FV5
FNMA CMO_12-111 LB
 
 
2
 
815,337.36

817,630.42

789,076.88

815,235.34

2,395.08

(2,423.54
)
—

—

3.5

2.6333

Monthly
0
7,115.71

2282014
5252041
3136ABFX6
FNMA CMO_12-146 NA
 
 
2
 
2,251,613.83

2,269,215.28

2,287,388.58

2,252,023.03

17,192.25

1,828.70

—

—

2

2.3375

Monthly
0
11,587.63

12052012
9252042
3136A75R9
FNMA CMO_12-96 CG
 
 
2
 
4,006,466.78

4,057,289.32

4,134,939.35

4,008,281.9

49,007.42

6,200.25

—

—

2

2.7465

Monthly
0
20,896.79

2132013
4252039
3136AHYJ3
FNMA CMO_13-135 GB
 
 
2
 
4,588,662.01

4,634,075.59

4,612,856.45

4,589,066.9

45,008.69

1,015.76

—

—

2.5

2.6004

Monthly
0
29,028.87

12182013
7252032
3136ADCQ0
FNMA CMO_13-23 CB
 
 
2
 
4,186,368.32

4,179,191.23

4,277,172.70

4,187,634.55

(8,443.32
)
3,772.24

—

—

2

2.3777

Monthly
0
21,580.57

2142013
3252033
3136ADSY6
FNMA CMO_13-35 KL
 
 
2
 
2,492,027.41

2,555,841.73

2,642,743.05

2,494,384.22

61,457.51

5,980.71

—

—

2

3.0951

Monthly
0
13,308.17

5142013
4252033
3136AELV7
FNMA CMO_13-62 AH
 
 
2
 
2,522,651.11

2,536,633.48

2,659,257.15

2,524,998.12

11,635.36

5,316.39

—

—

1.75

2.7283

Monthly
0
11,718.64

5092013
6252033
3136AEXL6
FNMA CMO_13-64 KA
 
 
2
 
2,597,628.15

2,618,735.74

2,686,469.70

2,599,135.76

19,599.98

3,936.86

—

—

2

2.7083

Monthly
0
13,548.12

5232013
2252033
3136AFR30
FNMA CMO_13-81 JB
 
 
2
 
2,454,603.98

2,460,586.82

2,411,462.91

2,453,447.89

7,138.93

(2,907.63
)
—

—

2.75

2.3454

Monthly
0
16,801.94

11132013
12252042
3136AGBS0
FNMA CMO_13-96 DE
 
 
2
 
4,544,023.06

4,505,767.27

4,415,488.20

4,539,815.43

(34,048.16
)
(7,513.71
)
—

—

3

2.0694

Monthly
0
33,378.62

8202013
6252031
3136AH2M1
FNMA CMO_14-3 BL
 
 
2
 
4,352,043.87

4,343,225.97

4,301,416.20

4,350,138.39

(6,912.42
)
(4,069.67
)
—

—

2.5

2.1652

Monthly
0
27,260.83

1082014
6252043
01F050619
FNMA FNMA TBA
 
 
2
 
4,426,875

4,419,375

4,000,000.00

4,426,875

(7,500
)
—

—

—

5

—

Monthly
0
—

12082014
1142045
01F040610
FNMA FNMA TBA
 
 
2
 
6,283,500

6,298,250

5,900,000.00

6,283,500

14,750

—

—

—

4

—

Monthly
0
—

12092014
1142045
31371NAC9
FNMA POOL # 256603
 
 
2
 
328,353.11

356,151.29

328,045.55

327,950.11

28,201.18

(158.11
)
—

—

5.5

5.4092

Monthly
               1,979.75
20,726.15

7172008
2012022
31371NE35
FNMA POOL # 256754
 
 
2
 
136,139.99

139,437.71

128,433.96

134,197.38

5,240.33

(2,310.03
)
—

—

5.5

3.4781

Monthly
                   738.61
7,710.33

9292009
6012022
31385W2S7
FNMA POOL # 555285
 
 
2
 
1,571,300.12

1,635,722.55

1,426,023.96

1,561,214.41

74,508.14

(44,581.38
)
—

—

6

3.5030

Monthly
               9,186.87
95,697.87

1052011
3012033
31385XAZ0
FNMA POOL # 555424
 
 
2
 
1,743,984.36

1,801,728.74

1,602,167.50

1,736,008.26

65,720.48

(43,915.37
)
—

—

5.5

3.3179

Monthly
              9,526.72
98,881.02

1252012
5012033
31385XEW3
FNMA POOL # 555549
 
 
2
 
75,327.78

80,018.47

75,944.84

75,514.48

4,503.99

303.84

—

—

5

5.2199

Monthly
                  495.06
4,736.03

12142007
6012018
31385XK48
FNMA POOL # 555715
 
 
2
 
62,259.12

66,017.53

62,815.01

62,300.13

3,717.4

123.04

—

—

2.345

2.5413

Monthly
                    151.59
1,665.88

4022007
7012033
31400EGH7
FNMA POOL # 685200
 
 
2
 
71,710.71

76,176.15

72,298.13

71,894.33

4,281.82

273.94

—

—

5

5.2250

Monthly
                  462.50
4,415.67

12142007
3012018
31400PG58
FNMA POOL # 693320
 
 
2
 
53,262.3

56,945.6

53,730.34

53,298.57

3,647.03

39.42

—

—

2.29

2.4995

Monthly
                    117.50
1,304.15

8102006
1012033
31400QJ87
FNMA POOL # 694287
 
 
2
 
7,606.59

8,204.88

7,674.50

7,611.64

593.24

10.96

—

—

2.224

2.4269

Monthly
                     18.03
187.33

4022007
3012033
31400SA33
FNMA POOL # 695826
 
 
2
 
32,196.48

34,201.36

32,460.22

32,276.75

1,924.61

144.27

—

—

5

5.2284

Monthly
                   221.77
2,058.32

12142007
4012018
31401A3C9
FNMA POOL # 702895
 
 
2
 
72,364.01

76,870.16

72,956.81

72,548.22

4,321.94

308.83

—

—

5

5.2216

Monthly
                  487.04
4,616.8

12142007
4012018
31401DVW8
FNMA POOL # 705429
 
 
2
 
89,350.44

95,822.11

90,392.08

89,432.52

6,389.59

293.00

—

—

2.335

2.6242

Monthly
                  228.99
2,520.02

8102006
4012033
31401MKS9
FNMA POOL # 712305
 
 
2
 
728,986.53

730,639.12

684,494.38

726,619.33

4,019.79

(12,114.76
)
—

—

2.425

0.8531

Monthly
               1,837.36
18,666.68

2232012
5012033
31402DQB9
FNMA POOL # 725950
 
 
2
 
120,984.85

129,280.91

122,091.28

121,266.19

8,014.72

489.50

—

—

5

5.2408

Monthly
                  749.22
7,304.75

7172008
11012019
31402HD32
FNMA POOL # 729222
 
 
2
 
844,652.69

908,554.14

853,989.82

845,245.59

63,308.55

1,804.39

—

—

2.33

2.5985

Monthly
              2,036.58
20,428.72

9172008
7012035
31402RB81
FNMA POOL # 735463
 
 
2
 
90,885.89

97,667.66

91,637.65

90,948.34

6,719.32

51.34

—

—

2.278

2.4380

Monthly
                  208.75
2,214.45

9282006
3012035
31402RF87
FNMA POOL # 735591
 
 
2
 
3,320,431.74

3,544,065.94

3,199,467.52

3,312,808.64

231,257.3

(36,383.13
)
—

—

5

3.9985

Monthly
              17,187.27
180,274.26

4302010
6012035
31402YSV7
FNMA POOL # 742232
 
 
2
 
5,223.11

5,683.85

5,304.25

5,227

456.85

27.46

—

—

2.625

3.1732

Monthly
                     15.75
156.86

4022007
9012033
31403C2L4
FNMA POOL # 745179
 
 
2
 
246,055.33

261,377.28

248,070.92

246,588.95

14,788.33

1,074.90

—

—

5

5.2135

Monthly
               1,657.62
15,673.96

12142007
4012019
31403DCE7
FNMA POOL # 745369
 
 
2
 
206,598.45

220,556.48

208,290.79

207,012.14

13,544.34

728.78

—

—

5

5.2040

Monthly
               1,280.64
12,623.22

12142007
12012019
31403DCZ0
FNMA POOL # 745388
 
 
2
 
485,744.45

515,991.86

489,723.44

486,873.93

29,117.93

1,822.04

—

—

5

5.2155

Monthly
              3,093.27
29,986.19

12142007
11012018
31403H3P3
FNMA POOL # 749706
 
 
2
 
418,128.09

446,354.52

423,387.36

418,573.11

27,781.41

972.79

—

—

2.309

2.5871

Monthly
               1,054.76
11,511.41

5152006
11012033
31403KDB6
FNMA POOL # 750798
 
 
2
 
3,933.74

4,220.85

3,994.86

3,938.53

282.32

0.61

—

—

2.199

2.5587

Monthly
                       7.60
89.41

4022007
12012033
31403VBR9
FNMA POOL # 758848
 
 
2
 
119,928.47

127,396.47

120,910.90

120,202

7,194.47

298.50

—

—

5

5.2124

Monthly
                  654.98
6,867.5

12142007
1012019
31404CLB4
FNMA POOL # 764522
 
 
2
 
18,538.64

20,423.84

18,913.98

18,562.71

1,861.13

15.05

—

—

2.397

2.9982

Monthly
                    39.54
463.17

9302008
6012034
31404LRF9
FNMA POOL # 771886
 
 
2
 
68,444.74

74,117.44

69,589.17

68,537.06

5,580.38

9.91

—

—

2.243

2.6519

Monthly
                   143.52
1,625.6

8102006
2012034
31404NBP0
FNMA POOL # 773246
 
 
2
 
82,863.36

88,079.55

83,556.86

82,906.91

5,172.64

93.99

—

—

2.217

2.4023

Monthly
                   195.93
2,012.49

4022007
2012035
31404VGA0
FNMA POOL # 779693
 
 
2
 
375,449.62

398,920.89

379,002.75

375,753.89

23,167

1,041.54

—

—

2.112

2.3026

Monthly
               1,005.48
9,600.13

2242006
7012034
31405PAG5
FNMA POOL # 794807
 
 
2
 
104,960.21

111,328.52

104,674.46

104,918.55

6,409.97

(23.14
)
—

—

1.943

1.8683

Monthly
                   216.70
2,348.93

6302007
10012034
31405UMM8
FNMA POOL # 799664
 
 
2
 
43,789.91

46,457.73

44,134.17

43,817.43

2,640.3

50.66

—

—

2.117

2.2630

Monthly
                    94.36
1,051.72

4022007
10012034
31405UR84
FNMA POOL # 799811
 
 
2
 
133,572.72

139,809

133,223.70

133,516.43

6,292.57

9.99

—

—

1.924

1.8578

Monthly
                  229.82
2,676.77

6302007
11012034
31405UTZ2
FNMA POOL # 799868
 
 
2
 
9,155.27

9,732.85

9,227.23

9,160.74

572.11

22.31

—

—

2.002

2.1553

Monthly
                     21.76
225.08

4022007
11012034
31406BB90
FNMA POOL # 804764
 
 
2
 
135,622.32

144,980.64

136,688.47

135,700.22

9,280.42

116.63

—

—

2.124

2.2779

Monthly
                  286.73
3,254.71

4022007
1012035
31406BEZ9
FNMA POOL # 804852
 
 
2
 
115,786.08

123,633.04

116,696.33

115,853.95

7,779.09

189.23

—

—

2.131

2.2832

Monthly
                   264.41
2,859.89

4022007
12012034
31406BJF8
FNMA POOL # 804962
 
 
2
 
129,681

139,570.62

130,700.46

129,754.63

9,815.99

154.68

—

—

2.151

2.3058

Monthly
                  294.65
3,063.18

4022007
1012035
31406BQQ6
FNMA POOL # 805163
 
 
2
 
164,420.39

173,753.77

165,796.54

164,519.73

9,234.04

280.30

—

—

2.187

2.3543

Monthly
                   410.44
4,070.32

4022007
1012035
31406DG67
FNMA POOL # 806721
 
 
2
 
238,405.17

254,127.58

240,279.36

238,544.96

15,582.62

253.66

—

—

2.295

2.4450

Monthly
                  570.64
6,276.47

4022007
11012034
31406GLK3
FNMA POOL # 809530
 
 
2
 
38,627.94

41,796.16

38,901.51

38,652.05

3,144.11

73.58

—

—

2.161

2.2860

Monthly
                   102.48
944.48

9282006
2012035
31406MYP5
FNMA POOL # 814418
 
 
2
 
102,118.16

108,099.39

103,029.97

102,189.66

5,909.73

123.78

—

—

1.975

2.1472

Monthly
                  226.47
2,176.24

4022007
3012035
31406PKU2
FNMA POOL # 815807
 
 
2
 
222,739.33

237,454.09

224,864.94

222,939.94

14,514.15

189.29

—

—

2.131

2.3059

Monthly
                  505.64
5,031.37

9282006
2012035
31406TLC3
FNMA POOL # 819423
 
 
2
 
256,267.3

278,233.53

258,555.55

256,419.31

21,814.22

325.71

—

—

2.435

2.6207

Monthly
                   671.65
6,846.01

4022007
4012035
31406TTE1
FNMA POOL # 819649
 
 
2
 
2,188,025.45

2,235,640.73

2,115,311.61

2,182,339.18

53,301.55

(7,175.99
)
—

—

2.14

1.4028

Monthly
                4,751.01
48,909.71

12042009
3012035
31406VHE9
FNMA POOL # 821129
 
 
2
 
134,897.78

143,898.36

136,102.29

134,963.82

8,934.54

284.77

—

—

2.207

2.4287

Monthly
                  354.96
3,488.08

4022007
5012035
31407D5R2
FNMA POOL # 828056
 
 
2
 
469,159.69

485,629.36

461,299.44

468,471.36

17,158

(1,472.74
)
—

—

2.25

1.8512

Monthly
                 1,168.13
11,538.81

2202009
6012035
31407E6W8
FNMA POOL # 828985
 
 
2
 
233,962.94

258,047.67

242,017.59

234,442.76

23,604.91

1,479.96

—

—

2.243

3.2776

Monthly
                  550.85
5,948.66

3162006
8012035
31407GC22
FNMA POOL # 829989
 
 
2
 
800,848.11

868,272.66

808,458.98

801,385.91

66,886.75

74.81

—

—

2.341

2.5482

Monthly
               1,790.05
19,515.32

1202006
4012035
31408C6D3
FNMA POOL # 847868
 
 
2
 
1,059,498.89

1,126,636.01

1,070,876.95

1,060,584.84

66,051.17

1,954.33

—

—

2.009

2.1938

Monthly
              2,340.88
22,644.56

5122006
11012035
31409UBQ7
FNMA POOL # 878547
 
 
2
 
777,084.86

845,037.24

783,357.85

777,472.78

67,564.46

825.10

—

—

2.362

2.5342

Monthly
               2,016.09
19,873.74

5042006
3012036
31410FU60
FNMA POOL # 888105
 
 
2
 
207,701.51

220,635.13

209,402.91

208,070.87

12,564.26

814.58

—

—

5

5.2047

Monthly
               1,327.84
12,862.6

12142007
8012020
31410GC35
FNMA POOL # 888490
 
 
2
 
180,265.63

190,280.57

180,674.00

180,281.61

9,998.96

37.24

—

—

2.014

2.0412

Monthly
                   371.79
3,826.74

6182007
5012035
31410GC50
FNMA POOL # 888492
 
 
2
 
74,791.95

79,272.01

74,649.87

74,766.39

4,505.62

(12.74
)
—

—

2.34

2.2700

Monthly
                   170.33
1,863.61

6182007
5012033
31410GDC4
FNMA POOL # 888499
 
 
2
 
618,761.46

654,629.97

622,238.00

618,999.43

35,630.54

633.12

—

—

2.345

2.4522

Monthly
                1,443.31
15,892.38

2222012
8012033
31410GDF7
FNMA POOL # 888502
 
 
2
 
79,361.49

85,697.53

80,393.05

79,462.84

6,234.69

234.25

—

—

1.79

2.0480

Monthly
                   152.26
1,617.85

6182007
6012033
31410GDL4
FNMA POOL # 888507
 
 
2
 
309,993.86

328,651.62

315,420.29

310,379.54

18,272.08

945.69

—

—

2.319

2.7223

Monthly
                  770.82
8,087.81

6182007
2012035
31410GDM2
FNMA POOL # 888508
 
 
2
 
371,569.49

401,179.72

376,764.43

371,933.35

29,246.37

1,130.04

—

—

2.287

2.6259

Monthly
                  972.38
9,537.16

6182007
3012034
31410GDQ3
FNMA POOL # 888511
 
 
2
 
52,584.66

55,795.79

53,062.30

52,615.08

3,180.71

116.54

—

—

2.27

2.4903

Monthly
                   127.30
1,340.06

6182007
12012033
31410GDS9
FNMA POOL # 888513
 
 
2
 
94,580.04

102,192.28

95,075.30

94,605.07

7,587.21

66.54

—

—

2.413

2.5286

Monthly
                  223.32
2,446.39

6182007
2012034
31410GDX8
FNMA POOL # 888518
 
 
2
 
84,402.8

89,035.23

84,673.96

84,415.15

4,620.08

18.28

—

—

2.292

2.3405

Monthly
                   194.33
2,012.94

6182007
4012035
31410GDY6
FNMA POOL # 888519
 
 
2
 
44,863.95

48,814.54

45,634.36

44,920.23

3,894.31

131.07

—

—

2.179

2.5698

Monthly
                   102.57
1,088.53

6182007
1012035
31410GDZ3
FNMA POOL # 888520
 
 
2
 
625,769.15

665,925.11

629,757.60

626,077.87

39,847.24

277.04

—

—

2.078

2.2015

Monthly
                1,307.15
14,223.87

6182007
7012033
31410GD83
FNMA POOL # 888527
 
 
2
 
19,691.12

21,577.67

20,062.03

19,713.16

1,864.51

55.15

—

—

2.423

2.9679

Monthly
                    47.37
523.84

6182007
4012034
31410GFD0
FNMA POOL # 888564
 
 
2
 
3,858,787.41

3,983,864.13

3,744,123.63

3,821,087.2

162,776.93

(45,852.68
)
—

—

5

4.0197

Monthly
             21,584.62
218,576.29

2262009
10012021
31410GPR8
FNMA POOL # 888832
 
 
2
 
1,781,914.87

1,959,724.8

1,713,637.12

1,778,052.18

181,672.62

(31,805.65
)
—

—

6.5

5.3337

Monthly
             13,649.54
131,225.93

1252008
11012037
31410LK84
FNMA POOL # 890519
 
 
2
 
1,392,365.47

1,439,916.31

1,271,475.92

1,389,823.83

50,092.48

(50,098.63
)
—

—

6

2.7255

Monthly
               9,173.23
89,599.62

10232013
10012040
31411DA33
FNMA POOL # 904626
 
 
2
 
498,570.96

530,799.85

496,206.21

498,308

32,491.85

(277.34
)
—

—

2.355

2.2304

Monthly
               1,226.23
13,222.1

12132006
12012036
31411GUY6
FNMA POOL # 907899
 
 
2
 
1,262,846.69

1,312,007.42

1,252,474.63

1,261,826.99

50,180.43

(1,083.58
)
—

—

2.4

2.1982

Monthly
               2,915.50
31,646.82

12142006
1012037
31411KCZ4
FNMA POOL # 910088
 
 
2
 
1,656,701.11

1,868,757.3

1,641,313.80

1,655,673.62

213,083.68

(7,610.47
)
—

—

6

5.6884

Monthly
             12,094.96
117,632.1

3292007
3012037
31411LEA5
FNMA POOL # 911029
 
 
2
 
138,239.81

141,588.39

130,414.92

136,198.09

5,390.3

(2,358.19
)
—

—

5.5

3.5867

Monthly
                  746.89
7,742.52

9292009
7012022
31411WPJ0
FNMA POOL # 916725
 
 
2
 
879,172.84

887,521.06

830,878.04

877,754

9,767.06

(8,683.60
)
—

—

2.411

0.5295

Monthly
               1,988.75
21,708.19

2142012
10012036
31412LMG2
FNMA POOL # 928359
 
 
2
 
126,281.2

129,340.11

119,133.21

124,465.5

4,874.61

(1,895.76
)
—

—

5.5

3.4612

Monthly
                  659.77
7,160.5

9292009
5012022
31412LQN3
FNMA POOL # 928461
 
 
2
 
202,980.72

207,897.53

191,491.26

200,114.55

7,782.98

(3,716.88
)
—

—

5.5

3.4532

Monthly
                  1,116.81
11,761.07

9292009
6012022
31412LVF4
FNMA POOL # 928614
 
 
2
 
1,203,805.69

1,229,883.47

1,132,826.99

1,187,119.53

42,763.94

(23,004.29
)
—

—

5.5

3.3347

Monthly
              6,625.42
69,004.5

10212009
8012022
31412SRH0
FNMA POOL # 933488
 
 
2
 
377,553.01

384,542.85

359,681.34

373,441.83

11,101.02

(7,171.03
)
—

—

5

3.3735

Monthly
               2,051.62
20,683.86

9292009
3012023
31414ARA2
FNMA POOL # 960481
 
 
2
 
744,897.34

755,306.47

709,637.25

736,941.39

18,365.08

(12,310.01
)
—

—

5

3.2613

Monthly
               3,871.26
40,354.08

9292009
12012022
31414CRJ9
FNMA POOL # 962289
 
 
2
 
872,668.43

888,824.62

831,360.22

863,293.52

25,531.1

(15,979.25
)
—

—

5

3.3497

Monthly
              4,690.06
47,987.29

9292009
3012023
31414GD22
FNMA POOL # 965521
 
 
2
 
111,219.55

113,913.64

104,924.12

109,816.92

4,096.72

(2,257.10
)
—

—

5.5

3.3957

Monthly
                  634.95
6,583.01

9292009
12012022
31414NB45
FNMA POOL # 970859
 
 
2
 
935,837.82

951,746.78

890,214.33

926,920.03

24,826.75

(21,910.46
)
—

—

5

3.2903

Monthly
              5,380.36
51,792.76

10212009
12012023
31414RB79
FNMA POOL # 973562
 
 
2
 
719,167.3

740,813.25

678,459.72

710,750.45

30,062.8

(12,949.88
)
—

—

5.5

3.3261

Monthly
              4,028.88
41,505.04

9292009
3012023
31415MDG7
FNMA POOL # 984003
 
 
2
 
1,201,577.18

1,385,081.81

1,237,742.47

1,203,065.91

182,015.9

7,731.74

—

—

5.5

6.2890

Monthly
              6,856.39
75,141.05

7252008
6012038
31415MFS9
FNMA POOL # 984077
 
 
2
 
570,529.87

581,092.41

543,523.55

564,183.81

16,908.6

(8,353.89
)
—

—

5

3.4813

Monthly
               2,853.41
30,163.27

9292009
6012023
31416BLV8
FNMA POOL # 995040
 
 
2
 
425,886.74

433,126.7

405,124.14

421,208.2

11,918.5

(7,862.40
)
—

—

5

3.3893

Monthly
               2,254.17
23,034.63

10212009
6012023
31416BSE9
FNMA POOL # 995217
 
 
2
 
956,636.68

978,968.68

901,713.19

945,924.57

33,044.11

(21,266.40
)
—

—

5.5

3.4600

Monthly
              5,586.43
57,086.38

10212009
12012023
31416BSX7
FNMA POOL # 995234
 
 
2
 
1,365,280.3

1,339,709.41

1,271,506.68

1,334,885.28

4,824.13

(54,200.28
)
—

—

5

2.0566

Monthly
              8,434.86
79,850.2

11102011
7012019
31416B4M7
FNMA POOL # 995528
 
 
2
 
1,031,978.51

1,053,339.18

993,331.69

1,022,206.19

31,132.99

(17,578.95
)
—

—

5

3.4497

Monthly
               6,203.61
60,418.78

3202009
12012021
31416B4N5
FNMA POOL # 995529
 
 
2
 
2,015,533.25

2,107,537.61

1,941,220.89

1,996,409.36

111,128.25

(29,885.08
)
—

—

5.5

4.2109

Monthly
              12,170.65
124,202.26

2272009
11012022
31416B4P0
FNMA POOL # 995530
 
 
2
 
1,080,748.31

1,102,533.44

1,036,378.37

1,067,618.88

34,914.56

(18,936.48
)
—

—

5.5

4.0723

Monthly
                6,618.10
66,158.9

3202009
12012021
31416B7J1
FNMA POOL # 995597
 
 
2
 
113,778.58

116,534.63

107,338.28

112,534.98

3,999.65

(2,654.23
)
—

—

5.5

3.5364

Monthly
                  679.88
6,849.89

9292009
3012024
31416CME3
FNMA POOL # 995957
 
 
2
 
2,033,605.77

2,066,256.99

1,932,669.09

2,015,049.47

51,207.52

(39,425.94
)
—

—

5

3.3035

Monthly
              10,915.93
110,560.27

9282009
6012024
31416MZC1
FNMA POOL # AA4338
 
 
2
 
1,826,355.47

1,842,783.65

1,697,454.98

1,823,104.4

19,679.25

(22,213.01
)
—

—

4.5

3.0355

Monthly
              7,374.89
81,516.98

3212013
4012039
31416TL49
FNMA POOL # AA9346
 
 
2
 
6,513,600.77

7,053,328.49

6,444,267.54

6,508,614.74

544,713.75

(12,494.66
)
—

—

4.5

4.2769

Monthly
            28,202.40
314,410.62

2022010
8012039
31417AP60
FNMA POOL # AB4044
 
 
2
 
4,893,348.37

4,964,013.09

4,750,823.68

4,891,486.4

72,526.69

(8,703.46
)
—

—

3.5

3.0826

Monthly
0
78,858.46

6272014
12012041
31417FQC5
FNMA POOL # AB8550
 
 
2
 
2,168,150.36

2,135,375.03

2,095,226.65

2,161,713.46

(26,338.43
)
(11,489.73
)
—

—

2.5

1.7916

Monthly
               4,862.18
55,405.07

3132013
3012028
31417FX94
FNMA POOL # AB8803
 
 
2
 
19,027.03

18,666.25

17,947.38

18,945.77

(279.52
)
(296.81
)
—

—

3

1.6758

Monthly
                    55.55
590.55

4292013
3012028
31417F2Y3
FNMA POOL # AB8890
 
 
2
 
23,815.65

23,364.07

22,464.28

23,711.59

(347.52
)
(258.58
)
—

—

3

1.7238

Monthly
                     64.61
717.72

4292013
4012028
31419ALC9
FNMA POOL # AE0322
 
 
2
 
1,104,087.79

1,078,136.79

1,018,178.95

1,089,509.69

(11,372.9
)
(43,037.28
)
—

—

5

1.9071

Monthly
                6,114.70
60,643.73

2262013
5012021
31419BBT1
FNMA POOL # AE0949
 
 
2
 
3,143,407.59

3,166,817.44

2,965,041.81

3,137,360.22

29,457.22

(26,044.00
)
—

—

4

2.7809

Monthly
              11,235.96
126,445.46

5022012
2012041
3138A7Q76
FNMA POOL # AH5877
 
 
2
 
668,460.8

669,371.68

623,636.89

665,962.02

3,409.66

(10,051.59
)
—

—

4

1.9529

Monthly
              2,449.37
27,039.57

12172013
2012026
3138A9YZ1
FNMA POOL # AH7927
 
 
2
 
1,772,546.4

1,813,018.78

1,712,346.68

1,764,686.54

48,332.24

(14,888.08
)
—

—

3.5

2.5325

Monthly
               6,071.62
65,143.04

8032011
8012026
3138AP6W3
FNMA POOL # AI9884
 
 
2
 
4,559,251.01

4,602,368.5

4,202,679.86

4,556,099.33

46,269.17

(18,978.58
)
—

—

4.5

2.8076

Monthly
0
70,873.28

8152014
9012041
3138EGHT4
FNMA POOL # AL0241
 
 
2
 
4,032,733.37

4,036,083.71

3,779,119.07

4,024,188.87

11,894.84

(38,178.97
)
—

—

4

2.8898

Monthly
             14,363.70
162,790.33

2272013
4012041
3138EJPG7
FNMA POOL # AL2222
 
 
2
 
774,890.07

760,521.09

731,243.94

770,092.66

(9,571.57
)
(7,958.34
)
—

—

3

1.7238

Monthly
                2,091.41
23,455.1

8072012
8012027
3138EJRA8
FNMA POOL # AL2280
 
 
2
 
3,402,012.66

3,426,118.22

3,152,976.76

3,399,569.32

26,548.9

(13,091.19
)
—

—

4.5

2.5550

Monthly
0
41,434.15

9152014
9012042
3138EKVP7
FNMA POOL # AL3321
 
 
2
 
4,912,873.91

4,983,736.59

4,775,576.08

4,911,193.76

72,542.83

(6,757.76
)
—

—

3.5

3.0713

Monthly
0
78,788.35

6272014
2012043
3138ELZ63
FNMA POOL # AL4364
 
 
2
 
4,376,482.18

4,368,166.24

4,137,906.05

4,374,030.63

(5,864.39
)
(38,431.55
)
—

—

3.645

2.0981

Monthly
0
138,816.11

2102014
9012042
3138EMCW9
FNMA POOL # AL4584
 
 
2
 
397,333.46

391,880.06

370,042.82

396,166.47

(4,286.41
)
(10,656.66
)
—

—

4.5

2.2436

Monthly
               1,875.00
19,186.56

12122013
1012027
3138LURE7
FNMA POOL # AO4084
 
 
2
 
1,356,462.65

1,351,471.08

1,277,046.34

1,349,361.5

2,109.58

(19,100.32
)
—

—

3.5

2.1095

Monthly
              4,459.62
48,362.06

1242013
5012027
3138LYPM3
FNMA POOL # AO7627
 
 
2
 
1,203,340.55

1,205,920.4

1,159,497.08

1,202,364.59

3,555.81

(1,993.09
)
—

—

3

2.0713

Monthly
0
10,230.06

8152014
6012027
3138M5GL7
FNMA POOL # AP2002
 
 
2
 
615,445.04

615,396.02

576,867.07

610,299.96

5,096.06

(11,435.45
)
—

—

3.5

1.3359

Monthly
                2,071.15
22,240.62

5132013
8012022
3138M8YB3
FNMA POOL # AP5205
 
 
2
 
5,337,308.32

5,250,814.41

5,145,943.53

5,316,956.76

(66,142.35
)
(30,417.23
)
—

—

2.5

1.6975

Monthly
               11,962.16
135,823.74

9062012
9012027
3138MBWZ5
FNMA POOL # AP7863
 
 
2
 
706,808.5

706,752.17

662,503.56

700,959.65

5,792.52

(12,613.24
)
—

—

3.5

1.3529

Monthly
               2,356.41
25,807.91

5132013
9012022
3138MRLL3
FNMA POOL # AQ9330
 
 
2
 
2,570,384.1

2,542,169.1

2,435,841.87

2,567,324.31

(25,155.21
)
(16,609.95
)
—

—

3.5

2.5852

Monthly
               7,884.21
90,577.98

2252013
1012043
3138W4AB7
FNMA POOL # AR6301
 
 
2
 
21,575.79

21,166.68

20,351.52

21,484.07

(317.39
)
(254.78
)
—

—

3

1.6696

Monthly
                    59.50
656.69

4292013
3012028
3138W9LM0
FNMA POOL # AS0331
 
 
2
 
2,219,129.28

2,278,165.23

2,248,642.71

2,219,359.61

58,805.62

760.19

—

—

3

3.1661

Monthly
0
20,754.32

9092014
8012043
3138W9VQ0
FNMA POOL # AS0622
 
 
2
 
1,959,429.14

1,962,632.11

1,881,804.67

1,955,209.18

7,422.93

(12,041.43
)
—

—

3

2.1195

Monthly
              5,234.68
59,729.2

10232013
10012028
3138WAJB4
FNMA POOL # AS1157
 
 
2
 
5,405,479.86

5,434,336.96

5,225,052.24

5,395,954.67

38,382.29

(32,978.14
)
—

—

3

2.0742

Monthly
             14,905.99
167,822.07

11262013
11012028
3138WAWT0
FNMA POOL # AS1557
 
 
2
 
5,036,807.26

5,085,255.38

4,744,711.00

5,033,522.94

51,732.44

(12,404.95
)
—

—

4

3.0343

Monthly
0
89,308.59

6272014
1012044
3138WCAD5
FNMA POOL # AS2703
 
 
2
 
5,132,076.27

5,182,203.5

4,835,166.80

5,128,790.74

53,412.76

(11,633.00
)
—

—

4

3.0267

Monthly
0
90,902.15

6272014
6012044
3138WCAV5
FNMA POOL # AS2719
 
 
2
 
7,254,155.79

7,307,261.19

6,817,915.72

7,250,696.22

56,564.97

(17,748.70
)
—

—

4

2.9412

Monthly
0
101,521.68

8152014
6012044
3138WCFK4
FNMA POOL # AS2869
 
 
2
 
987,927.21

997,500.76

956,396.03

987,324.29

10,176.47

(1,377.39
)
—

—

3

2.3086

Monthly
0
8,450.3

9122014
7012029
3138WCPT4
FNMA POOL # AS3133
 
 
2
 
4,046,539.66

4,114,474.44

3,932,258.40

4,045,503.15

68,971.29

(2,544.32
)
—

—

3.5

3.1007

Monthly
0
51,075.16

8132014
8012044
3138WCZ63
FNMA POOL # AS3464
 
 
2
 
2,564,131.16

2,561,940.88

2,453,347.20

2,563,545.44

(1,604.56
)
(1,418.76
)
—

—

3

2.0779

Monthly
0
6,751.32

11242014
10012029
3138WDER8
FNMA POOL # AS3743
 
 
2
 
7,060,291.61

7,075,890.75

6,933,537.87

7,059,283.31

16,607.44

(1,008.30
)
—

—

2.5

2.1204

Monthly
0
7,222.43

12112014
11012029
3138WPLC6
FNMA POOL # AT2122
 
 
2
 
25,100.43

24,624.48

23,676.15

24,990.79

(366.31
)
(500.50
)
—

—

3

1.7094

Monthly
                    77.89
825.98

4292013
3012028
3138X3EP3
FNMA POOL # AU3741
 
 
2
 
4,948,634.8

5,030,303.12

4,808,146.78

4,946,936.73

83,366.39

(6,443.16
)
—

—

3.5

3.0957

Monthly
0
79,243.03

6272014
8012043
3138X9U23
FNMA POOL # AU9600
 
 
2
 
1,777,141.46

1,781,008.66

1,705,714.66

1,773,293.39

7,715.27

(8,566.41
)
—

—

3

2.0984

Monthly
              4,594.64
53,069.75

10232013
10012028
3138XSFZ5
FNMA POOL # AW2883
 
 
2
 
5,087,209.32

5,171,861.86

4,813,444.65

5,083,699.18

88,162.68

(13,236.29
)
—

—

4

3.0608

Monthly
0
108,126.23

6052014
4012044
3138XYQJ6
FNMA POOL # AW8556
 
 
2
 
5,090,146.09

5,179,161.89

4,935,151.50

5,088,750.24

90,411.65

(3,432.51
)
—

—

3.5

3.0668

Monthly
0
64,141.22

8132014
8012044
31418AMK1
FNMA POOL # MA1261
 
 
2
 
695,818.97

701,892.22

661,454.34

691,120.3

10,771.92

(9,962.94
)
—

—

3

1.2999

Monthly
               2,039.01
22,182.8

2132013
11012022
3138ATD31
FNMA POOL# AJ1921
 
 
2
 
461,863.34

470,312.09

432,817.26

460,942.98

9,369.11

(4,181.87
)
—

—

4.5

3.0819

Monthly
               1,837.64
20,596.17

9202011
9012041
3138EBG33
FNMA POOL#AK6517
 
 
2
 
1,289,922.84

1,286,094.75

1,234,006.91

1,282,935.04

3,159.71

(10,770.51
)
—

—

3

2.0219

Monthly
               3,559.10
39,455.89

4242012
3012027
01F030413
FNMA TBA MBS
 
 
2
 
5,185,937.5

5,195,312.5

5,000,000.00

5,185,937.5

9,375

—

—

—

3

—

Monthly
0
—

12112014
1202045
01F042616
FNMA TBA MBS
 
 
2
 
5,417,187.5

5,428,125

5,000,000.00

5,417,187.5

10,937.5

—

—

—

4.5

—

Monthly
0
—

12082014
1142045
01F030611
FNMA TBA MBS
 
 
2
 
9,064,687.5

9,109,606.5

9,000,000.00

9,064,687.5

44,919

—

—

—

3

2.9424

Monthly
0
—

12092014
1012043
01F032617
FNMA TBA MBS
 
 
2
 
10,390,625

10,428,125

10,000,000.00

10,390,625

37,500

—

—

—

3.5

—

Monthly
0
—

12092014
1142045
3135G0XP3
FNMA UNSEC AGENCY BND
 
 
 
 
1,743,962.5

1,745,922.47

1,750,000.00

1,747,076.94

(1,154.47
)
1,922.94

—

—

0.375

0.4861

Jan-Jul
              3,208.34
6,562.5

5152013
7052016
3135G0SB0
FNMA UNSECURED AGENCY BND
 
 
 
 
14,971,672.35

15,000,900

15,000,000.00

14,990,388.39

10,511.61

9,868.50

—

—

0.375

0.4413

Jun-Dec
               1,562.50
56,250

2052013
12212015
3136A7QW5
FNMA_12-86 AGENCY CMO 12-86
 
 
2
 
326,862.66

324,300.41

323,026.72

323,917.89

382.52

(3,295.11
)
—

—

2

1.1248

Monthly
               1,508.47
11,781.47

9062012
3252041
3136A7TE2
FNMA_12-91 AGENCY CMO 12-91
 
 
2
 
3,576,402.95

3,671,857.05

3,710,384.95

3,577,049.69

94,807.36

6,929.76

—

—

2

3.0164

Monthly
0
18,872.52

8012012
4252042
3136AFA95
FNMA_13-81 AGENCY CMO 13-81 UF
 
 
2
 
1,745,822.58

1,743,782.31

1,747,187.58

1,745,977.26

(2,194.95
)
259.75

—

—

0.4195

0.4321

Monthly
                     134.11
7,512.79

8132013
2252043
3136A9LX4
FNR_12-114 AGENCY CMO_12-114-DB
 
 
2
 
3,155,733.94

3,205,898.36

3,289,038.68

3,157,762.22

48,136.14

6,734.43

—

—

1.75

2.7122

Monthly
0
14,563.93

1112013
8252039
34529PAD7
FORD CREDIT AUTO OWNER TRUST F ABS_11-A A4
 
 
2
 
43,820.67

43,534.17

43,496.15

43,542.82

(8.65
)
(2,041.47
)
—

—

1.65

0.8839

Monthly
                  283.66
3,322.64

7172013
5152016
34528QDL5
FORD CREDIT FLOORPLAN MASTER O ABS _14-4-A1
 
 
2
 
2,219,364.64

2,216,048.38

2,220,000.00

2,219,436.87

(3,388.49
)
72.23

—

—

1.4

1.4140

Monthly
0
10,791.67

8192014
8152019
345397VP5
FORD MOTOR CREDIT COMPANY LLC CORP BND
 
 
 
 
2,262,520

2,230,785.06

2,000,000.00

2,240,023.38

(9,238.32
)
(22,496.62
)
—

—

6.625

1.9101

Feb-Aug
0
33,125

9212012
8152017
345397WN9
FORD MOTOR CREDIT COMPANY LLC SENIOR CORP BND
 
 
 
 
2,497,650

2,488,028.52

2,500,000.00

2,498,499.78

(10,471.26
)
1,261.00

—

—

1.5

1.5299

Jan-Jul
              8,554.58
61,793.75

11062013
1172017
345397WR0
FORD MOTOR CREDIT COMPANY LLC SENIOR CORP BND
 
 
 
 
3,500,000

3,459,886.68

3,500,000.00

3,500,000

(40,113.32
)
—

—

—

1.724

1.7240

Jun-Dec
0
34,360.27

6032014
12062017
345397WD1
FORD MOTOR CREDIT COMPANY LLC SENIOR CORP BND
 
 
 
 
4,141,960

4,102,834.76

4,000,000.00

4,128,866.52

(26,031.76
)
(13,093.48
)
—

—

3

1.6501

Jun-Dec
0
30,000

11282012
6122017
345397WT6
FORD MOTOR CREDIT COMPANY LLC SENIOR CORP BND
 
 
 
 
4,000,000

3,965,065.32

4,000,000.00

4,000,000

(34,934.68
)
—

—

—

1.684

1.6840

Mar-Sep
0
21,143.56

9032014
9082017
345397WM1
FORD MOTOR CREDIT COMPANY LLC SENIOR CORP BND MTN
 
 
 
 
4,750,000

4,748,954.87

4,750,000.00

4,750,000

(1,045.13
)
—

—

—

1.0081

1.0081

J-A-J-O
               9,327.10
55,285.75

11062013
1172017
34528QBP8
FORDF ABS 12-2
 
 
2
 
5,463,393.55

5,434,017.5

5,375,000.00

5,452,626.25

(18,608.75
)
(10,767.30
)
—

—

1.92

1.2040

Monthly
0
29,526.67

9152014
1152019
34529UAD6
FORDO_12-A ABS 12-A
 
 
2
 
2,339,403.3

2,348,868.6

2,340,000.00

2,339,863.42

9,005.18

158.89

—

—

1.15

1.1597

Monthly
                1,196.00
26,910

1182012
6152017
34529WAC4
FORDO_12-B ABS_12-B A3
 
 
2
 
603,439.43

603,240.84

602,921.29

602,986.47

254.37

(566.10
)
—

—

0.72

0.6807

Monthly
                  685.25
9,534.88

6222012
12152016
34530EAC1
FORDO_13-B ABS_13-B A3
 
 
2
 
2,295,023.86

2,294,392.11

2,295,142.75

2,295,093.23

(701.12
)
51.80

—

—

0.57

0.5726

Monthly
                  639.67
14,296.88

5142013
10152017
34530DAB5
FORDO_13-C ABS 13-C A2
 
 
2
 
31,030.45

31,030.57

31,030.57

31,029.66

0.91

2.53

—

—

0.55

0.5496

Monthly
                      116.11
1,365.81

7232013
4152016
34530DAC3
FORDO_13-C ABS 13-C A3
 
 
2
 
3,564,398.94

3,569,278.11

3,565,000.00

3,564,750.22

4,527.89

250.39

—

—

0.82

0.8285

Monthly
               1,299.24
29,232.96

7232013
12152017
34530GAD4
FORDO_13-D ABS 13-D A3
 
 
2
 
4,784,780.36

4,776,800.62

4,785,000.00

4,784,865.4

(8,064.78
)
80.23

—

—

0.67

0.6726

Monthly
               1,424.88
32,059.44

11192013
4152018
34530HAC4
FORDO_14-A ABS_14-A A3
 
 
2
 
7,249,962.8

7,243,052.69

7,250,000.00

7,249,976.77

(6,924.08
)
13.97

—

—

0.79

0.7974

Monthly
0
43,620.01

3262014
5152018
34530KAB9
FORDO_14-B ABS _14-B-A3
 
 
2
 
5,602,296.61

5,608,468.94

5,605,000.00

5,602,646.89

5,822.05

350.28

—

—

0.9

0.9013

Monthly
0
24,335.88

9122014
10152018
34530PAE2
FORDO_14-C ABS 2014-C A4
 
 
2
 
1,879,577.38

1,873,885.62

1,880,000.00

1,879,588.06

(5,702.44
)
10.68

—

—

1.56

1.5716

Monthly
0
2,932.8

11182014
2152020
345838AE6
FOREST LABORATORIES INC. SENIOR CORP BND 144A
 
 
 
 
1,237,731.84

1,208,021.72

1,128,000.00

1,231,141.22

(23,119.5
)
(10,376.86
)
—

—

4.875

3.2174

Feb-Aug
0
37,797.5

7212014
2152021
349425YA0
FORT WORTH TEX MUNITAX BND GO
 
 
1
 
2,188,307.55

2,162,782.05

2,145,000.00

2,161,810.17

971.88

(26,497.38
)
—

—

5.25

0.4261

Mar-Sep
0
28,153.12

10152007
3012025
BRSL7M1V9
FORTESCUE METALS SENIOR SECURED TERM NOTES
 
F
 
 
7,553,590.87

6,939,203.93

7,611,906.14

7,565,256.61

(626,052.68
)
11,019.15

—

—

—

0.1349

M-J-S-D
0
203,792.62

11152013
6302019
BRSL40CC0
FORTIUS RE LTD CORP BND 144A
 
F
 
 
5,000,000

5,000,000

5,000,000.00

5,000,000

—

—

—

—

6.5

6.5000

M-J-S-D
                  659.72
276,112.56

10152013
6302017
BRSNK4RC4
FOSSM_14-1 ABS _14-1X-A2
 
D
2
 
1,516,227.3

1,406,125.4

903,000.00

1,516,227.3

(110,101.9
)
—

—

(108,224.55
)
0.95781

0.9590

J-A-J-O
0
9,574.56

6052014
10182054
354613AH4
FRANKLIN RESOURCES INC SENIOR CORP BND
 
 
 
 
1,541,552.5

1,541,635.07

1,550,000.00

1,545,335.06

(3,699.99
)
2,701.26

—

—

1.375

1.4891

Mar-Sep
              11,538.53
34,371.19

9192012
9152017
3137A2H95
FREDDIE MAC FHLMC_3766 CMO_37-66 FA
 
 
2
 
19,367.56

19,356.17

19,349.42

19,356.25

(0.08
)
(44.53
)
—

—

0.5108

0.4195

Monthly
                     15.66
201.96

6182013
6152028
35671DBK0
FREEPORT-MCMORAN INC SENIOR CORP BND
 
 
 
 
1,588,950.6

1,585,626.15

1,590,000.00

1,588,995.65

(3,369.5
)
45.05

—

—

2.3

2.3229

May-Nov
0
4,774.42

11102014
11142017
35671DAW5
FREEPORT-MCMORAN INC SENIOR CORP BND
 
 
 
 
3,345,980

3,353,537.54

3,350,000.00

3,348,234.12

5,303.42

789.10

—

—

2.15

2.1751

Mar-Sep
            24,008.34
72,025

2082012
3012017
35671DBD6
FREEPORT-MCMORAN INC SENIOR CORP BND
 
 
 
 
4,271,905.91

4,211,293.35

4,270,000.00

4,271,856.76

(60,563.41
)
(80.37
)
—

—

2.375

2.3769

Mar-Sep
            26,363.82
92,506.25

10102013
3152018
BRSHBDMR9
FREESCALE SEMICONDUCTOR INC SENIOR SECURED TERM NOTES
 
 
2
 
3,171,280.48

3,150,323.68

3,217,685.93

3,180,849.68

(30,526
)
7,994.90

—

—

—

0.2197

F-M-A-N
0
183,000.25

9042013
2282020
30290FAE2
FREMF SUB CMBS_12-K707 B 144A
 
 
2
 
1,039,335.94

1,034,810.03

1,000,000.00

1,037,308.83

(2,498.8
)
(2,027.11
)
—

—

3.88275

2.8391

Monthly
0
8,369.06

10082014
1252047
358802U79
FRISCO TEX INDPT SCH DIST MUNI BND GO
 
 
1
 
2,164,620

2,144,720

2,000,000.00

2,150,374.7

(5,654.7
)
(14,245.30
)
—

—

4.1

1.1794

Feb-Aug
0
20,500

2132007
8152019
302644EL9
FSU FINL ASSISTANCE INC FLA MUNITAX BND REV
 
 
 
 
920,061

927,306

900,000.00

918,397.91

8,908.09

(1,663.09
)
—

—

2.84

2.0705

Apr-Oct
0
6,390

2152012
10012017
359900XB8
FULTON CNTY GA DEV AUTH REV MUNI BND REV
 
 
2
 
2,210,380

2,184,080

2,000,000.00

2,200,668.95

(16,588.95
)
(9,711.05
)
—

—

5.491

3.2309

May-Nov
0
27,455

6242009
11012019
39153VBJ2
GALC_13-1 ABS 13-1 144A
 
 
2
 
1,527,245.77

1,528,609.88

1,527,372.69

1,527,335.73

1,274.15

57.83

—

—

0.78

0.7845

Monthly
                   615.33
13,696.65

2052013
6152016
BRSNN37V3
GATES GLOBAL LLC SENIOR SECURED TERM NOTES
 
 
1
 
2,071,850.91

2,030,748.82

2,080,152.44

2,072,300.26

(41,551.44
)
501.48

—

—

—

0.0572

M-J-S-D
0
38,253.79

7162014
7052021
36159JBW0
GE CAPITAL CREDIT CARD MASTER ABS 10-1 A
 
 
2
 
12,356,718.75

12,076,080.36

12,000,000.00

12,076,971.84

(891.48
)
(279,746.91
)
—

—

3.69

0.5599

Monthly
0
330,870

3282014
3152018
G3775BCT0
GE CAPITAL UK FUNDING CORP BND EMTN
 
D
 
 
2,054,040.03

1,958,004.19

1,210,000.00

2,014,434.94

(56,430.75
)
(45,264.73
)
—

(61,626.09
)
4.625

1.2337

January
              62,118.88
66,897.48

12102014
1182016
36830NAC3
GEEMT_13-1 ABS 13-1 A3
 
 
2
 
2,894,934.58

2,903,077.03

2,895,000.00

2,894,957.8

8,119.23

17.83

—

—

0.95

0.9525

Monthly
                  687.57
27,502.56

9172013
3222017
36162RAC2
GEEST_12-1A ABS 12-1A 144A
 
 
2
 
60,944.7

60,977.76

60,957.03

60,956.73

21.03

198.27

—

—

1.04

1.0510

Monthly
                  866.67
19,504.11

5222012
9212015
BRSP6WS08
GEMINI HDPE LLC SENIOR SECURED TERM NOTES
 
 
 
 
924,703.29

899,146.17

929,350.05

924,947.56

(25,801.39
)
255.90

—

—

—

0.0710

M-J-S-D
0
8,850.93

8082014
8062021
369550AQ1
GENERAL DYNAMICS CORP CORP BND
 
 
 
 
1,149,579.4

1,114,325.75

1,090,000.00

1,114,787.5

(461.75
)
(15,962.51
)
—

—

2.25

0.7599

Jan-Jul
              11,308.75
24,525

10182012
7152016
369550AV0
GENERAL DYNAMICS CORP SENIOR CORP BND
 
 
 
 
11,867,110.88

11,819,367.68

11,963,000.00

11,895,883.07

(76,515.39
)
24,340.77

—

—

1

1.1281

May-Nov
              18,480.51
112,518.88

2212013
11152017
36962G4D3
GENERAL ELECTRIC CAPITAL CORP CORP BND MTN
 
 
 
 
261,337.5

290,435.96

250,000.00

256,089.14

34,346.82

(19,308.60
)
—

—

6

5.3950

Feb-Aug
              6,000.00
49,300

10292009
8072019
U36963R70
GENERAL ELECTRIC CAPITAL CORP CORP BND
 
O
 
 
803,536.82

796,844.78

450,000.00

801,220.38

(4,375.6
)
(2,546.46
)
—

(6,093.8
)
6.25

1.5899

December
0
3,581.76

12032014
12152017
36962G4T8
GENERAL ELECTRIC CAPITAL CORP CORP BND
 
 
 
 
2,878,200

3,041,490

3,000,000.00

2,977,133.06

64,356.94

63,104.12

—

—

2.25

3.1630

May-Nov
            24,537.50
163,903.13

1062011
11092015
36962G5C4
GENERAL ELECTRIC CAPITAL CORP CORP BND
 
 
 
 
5,168,150

5,131,050

5,000,000.00

5,141,667.3

(10,617.3
)
(26,482.70
)
—

—

2.95

0.8401

May-Nov
0
36,875

5042011
5092016
36962G7A6
GENERAL ELECTRIC CAPITAL CORP CORP BND MTN
 
 
 
 
320,000

322,179.17

320,000.00

320,000

2,179.17

—

—

—

0.88

0.8800

J-A-J-O
                   619.56
2,866.32

7092013
7122016
36962G5M2
GENERAL ELECTRIC CAPITAL CORP CORP BND MTN
 
 
 
 
1,223,726

1,225,183.75

1,225,000.00

1,224,990.51

193.24

574.76

—

—

2.15

2.1860

Jan-Jul
              16,949.16
34,916.6

1042012
1092015
36962G5N0
GENERAL ELECTRIC CAPITAL CORP CORP BND MTN
 
 
 
 
5,190,150

5,173,452

5,000,000.00

5,169,281.29

4,170.71

(20,868.71
)
—

—

2.9

1.1999

Jan-Jul
0
36,250

1042012
1092017
36962G6N9
GENERAL ELECTRIC CAPITAL CORP SECURED CORP BND
 
 
 
 
2,000,000

2,009,140.02

2,000,000.00

2,000,000

9,140.02

—

—

—

0.83885

0.8389

M-J-S-D
                  983.03
16,944.13

12052012
12112015
36962G5W0
GENERAL ELECTRIC CAPITAL CORP SENIOR CORP BND MTN
 
 
 
 
2,055,620

2,045,157.48

2,000,000.00

2,050,160.52

(5,003.04
)
(5,459.48
)
—

—

2.3

1.1998

Apr-Oct
0
11,500

4242012
4272017
36962G5S9
GENERAL ELECTRIC CAPITAL CORP SENIOR CORP BND MTN
 
 
 
 
3,359,720

3,321,736.44

3,250,000.00

3,332,347.09

(10,610.65
)
(27,372.91
)
—

—

2.45

1.2790

Mar-Sep
0
59,055.21

9182014
3152017
36962G6R0
GENERAL ELECTRIC CAPITAL CORP SENIOR CORP BND MTN
 
 
 
 
3,256,512.93

3,279,329

3,267,000.00

3,263,398.9

15,930.1

(112.29
)
—

—

1

1.1091

Jan-Jul
            49,338.64
74,975.55

1032013
1082016
36962G7F5
GENERAL ELECTRIC CAPITAL CORP SENIOR CORP BND MTN
 
 
 
 
5,000,000

5,001,950.05

5,000,000.00

5,000,000

1,950.05

—

—

—

0.74

0.7400

J-A-J-O
0
36,332.12

12052014
1142019
369604BC6
GENERAL ELECTRIC CO CORP BND
 
 
 
 
308,510.1

299,089.95

270,000.00

297,912.84

1,177.11

(9,233.76
)
—

—

5.25

1.6209

Jun-Dec
                  984.38
14,175

11052013
12062017
369604BE2
GENERAL ELECTRIC CO SENIOR CORP BND
 
 
 
 
2,199,406

2,205,808

2,200,000.00

2,199,846.29

5,961.71

246.95

—

—

0.85

0.8591

Apr-Oct
               5,372.71
23,288.82

10012012
10092015
BRSFZ6AM6
GENERAL NUTRITION CENTERS INC SENIOR SECURED TERM LOAN
 
 
2
 
6,442,614.86

6,307,910.05

6,466,865.61

6,447,419.5

(139,509.45
)
5,348.75

—

—

—

0.0712

J-A-J-O
0
251,472.69

12202013
3042019
372546AR2
GEORGE WASHINGTON UNIV D C UNSEC MUNITAX BND REV
 
 
 
 
3,886,305.5

3,881,223.5

3,850,000.00

3,883,217.58

(1,994.08
)
(3,087.92
)
—

—

1.827

1.4998

Mar-Sep
0
17,584.88

6192012
9152017
626207UT9
GEORGIA MUNICIPAL ELEC AUTH MUNI BND REV
 
 
 
 
2,854,725

2,818,000

2,500,000.00

2,827,526.96

(9,526.96
)
(27,198.04
)
—

—

5.25

0.8201

Jan-Jul
0
32,812.5

7112008
1012018
373334JV4
GEORGIA POWER COMPANY CORP BND
 
 
 
 
3,399,082

3,479,855.8

3,400,000.00

3,399,748.15

80,107.65

189.45

—

—

3

3.0059

Apr-Oct
             21,533.33
102,000

4122011
4152016
37331NAF8
GEORGIA-PACIFIC LLC SENIOR CORP BND 144A
 
 
1
 
7,000,000

6,988,068.64

7,000,000.00

7,000,000

(11,931.36
)
—

—

—

2.539

2.5390

May-Nov
0
27,153.2

11032014
11152019
375558AT0
GILEAD SCIENCES INC CORP BND
 
 
 
 
1,041,020

1,036,335.37

1,000,000.00

1,036,262.39

72.98

(4,757.61
)
—

—

3.05

1.1301

Jun-Dec
0
7,625

12062011
12012016
375558AY9
GILEAD SCIENCES INC SENIOR CORP BND
 
 
 
 
698,404

701,099.89

700,000.00

698,431.42

2,668.47

27.42

—

—

2.35

2.3960

Feb-Aug
0
2,010.56

11122014
2012020
377372AG2
GLAXOSMITHKLINE CAPITAL INC SENIOR CORP BND
 
 
 
 
1,597,920

1,598,492

1,600,000.00

1,599,155.68

(663.68
)
1,677.19

—

—

0.7

0.7439

Mar-Sep
               9,212.78
27,241.66

3132013
3182016
377373AC9
GLAXOSMITHKLINE CAPITAL PLC SENIOR CORP BND
 
F
 
 
11,310,583

11,357,899.29

11,300,000.00

11,319,155.33

38,743.96

1,314.71

—

—

1.5

1.5750

May-Nov
              13,912.49
113,250

5032012
5082017
378272AD0
GLENCORE FUNDING LLC SENIOR CORP BND 144A
 
 
 
 
2,636,803

2,602,313.86

2,650,000.00

2,640,305.74

(37,991.88
)
2,248.89

—

—

2.5

2.5960

Jan-Jul
             30,548.61
66,250

5222013
1152019
BRSQQJLY6
GLOBAL CASH ACCESS
 
 
 
 
2,322,200.39

2,314,349.7

2,357,563.85

2,322,200.39

(7,850.69
)
—

—

—

—

0.2564

M-J-S-D
0
—

 
 
G3900TAA2
GNK HOLDINGS PLC SENIOR CORP BND
 
D
 
 
650,117.77

649,060.3

350,000.00

649,287.52

(227.22
)
(830.25
)
—

(956.33
)
6.75

2.5388

October
0
1,434.67

12152014
10282019
36297A3K7
GNMA
 
 
2
 
369,065.94

379,207.9

353,437.38

366,581.42

12,626.48

(2,089.53
)
—

—

5

3.1138

Monthly
               1,595.09
18,351.59

3262009
1152024
38378NEK5
GNMA AGENCY CMBS _13-156-AD
 
 
2
 
1,943,399.7

1,953,322.8

1,963,026.04

1,944,036.48

9,286.32

721.97

—

—

2.76126

3.0388

Monthly
0
13,570.83

10112013
4162052
38376JDT8
GNMA AGENCY CMO 09-106-ME
 
 
2
 
644,115.56

640,074.58

618,360.84

642,226.46

(2,151.88
)
(4,253.62
)
—

—

3.5

1.0019

Monthly
0
5,568.26

3162010
1202039
38377JZM8
GNMA AGENCY CMO _10-125-MJ
 
 
2
 
2,320,429.61

2,329,492.41

2,233,867.25

2,315,024.59

14,467.82

(11,950.11
)
—

—

3.5

1.5886

Monthly
0
20,018.09

9172010
4202039
38377JEA7
GNMA AGENCY CMO 10-109 CH
 
 
2
 
453,702.46

452,112.44

441,090.04

451,240.13

872.31

(6,664.17
)
—

—

3

1.2198

Monthly
                1,517.84
15,643.02

9262013
12202037
38376VDX2
GNMA AGENCY CMO 10-20 ND
 
 
2
 
890,021.66

882,650.37

867,924.30

888,474.13

(5,823.76
)
(5,307.72
)
—

—

3

0.6843

Monthly
0
6,851.76

2192010
12202038
38376WSP1
GNMA AGENCY CMO 10-24
 
 
2
 
190,945.69

191,137.19

189,700.78

190,802.14

335.05

(431.73
)
—

—

0.68545

0.4468

Monthly
                     52.12
1,487.91

12052012
12202038
38376YC58
GNMA AGENCY CMO 10-47
 
 
2
 
1,141,086.55

1,116,042.31

1,105,168.56

1,115,782.74

259.57

(31,606.94
)
—

—

3

1.0429

Monthly
               5,660.12
50,116.02

3212012
11162030
38374YGV9
GNMA AGENCY CMO 10-86
 
 
2
 
1,114,471.75

1,081,615.74

1,056,684.33

1,080,499

1,116.74

(40,645.51
)
—

—

3.5

0.0754

Monthly
               4,991.44
48,258.59

2152012
1202036
38374TKX1
GNMA AGENCY CMO__09-15-NH
 
 
2
 
208,599.9

203,766.82

198,679.82

208,323.96

(4,557.14
)
(1,348.34
)
—

—

4

1.2815

Monthly
0
2,058.31

2042010
12202038
38376FGH9
GNMA AGENCY CMO__09-61-AE
 
 
2
 
620,032.58

619,717.52

612,959.03

617,496.49

2,221.03

(4,978.52
)
—

—

4

1.4142

Monthly
0
6,812.62

9232009
3202034
38376FNL2
GNMA AGENCY CMO__09-66-UG
 
 
2
 
803,391.91

809,571.15

760,427.75

801,364.23

8,206.92

(5,686.26
)
—

—

4.5

2.2117

Monthly
0
8,777.09

3222010
7202038
38377LN38
GNMA AGENCY CMO__10-130-LG
 
 
2
 
2,372,972.09

2,379,086.16

2,289,916.80

2,368,196.73

10,889.43

(12,653.56
)
—

—

3.5

1.7700

Monthly
0
20,652.06

10122010
11162038
38378FWR7
GNMA AGENCY CMO__13-28-ME
 
 
2
 
3,885,101.98

3,854,920.98

4,032,196.50

3,890,806.97

(35,885.99
)
12,019.82

—

—

1.75

2.7272

Monthly
0
17,896.86

2142013
11202042
38374B4M2
GNMA AGENCY CMO_03-77-TK
 
 
2
 
1,216,644.46

1,212,818.83

1,104,714.76

1,215,820.1

(3,001.27
)
(5,928.28
)
—

—

5

2.9329

Monthly
0
14,027.41

7032008
9152033
38376CD97
GNMA AGENCY CMO_09-76-UG
 
 
2
 
538,111.37

535,857.59

513,621.87

536,857.72

(1,000.13
)
(3,591.55
)
—

—

4

1.9473

Monthly
0
5,291.66

6092010
8202038
38377MSG2
GNMA AGENCY CMO_2010-144 PA
 
 
2
 
1,451,959.23

1,458,814.5

1,421,371.32

1,450,656.34

8,158.16

(3,529.15
)
—

—

3

2.1576

Monthly
0
10,988.61

11092010
9162040
3837H1U41
GNMA AGENCY CMO_99-2-E
 
 
2
 
181,894

181,978.97

159,119.96

181,510.57

468.4

(655.96
)
—

—

6.5

3.1774

Monthly
0
1,734.11

11252014
1202029
38373MUZ1
GNMA CMBS_06-32 C
 
 
2
 
5,679,584.09

5,706,546.54

5,408,715.61

5,673,234.98

33,311.56

(10,419.83
)
—

—

5.32318

4.6637

Monthly
0
72,721.84

7112008
11162038
38375PXQ9
GNMA CMO 08-11 FB
 
 
2
 
883,070.73

890,168.17

879,864.08

882,973.61

7,194.56

(1,407.50
)
—

—

0.76545

0.6771

Monthly
                  295.30
8,039.53

12032012
2202038
38373YW34
GNMA CMO_03-1 PE
 
 
2
 
719,592.38

709,453.22

692,461.73

717,126.48

(7,673.26
)
(6,882.48
)
—

—

5.5

2.0021

Monthly
0
9,955.03

1282003
7162032
38374HEH9
GNMA CMO_04-46 QE
 
 
2
 
423,250.95

421,211.86

409,702.10

421,681.24

(469.38
)
(3,977.17
)
—

—

5.5

1.8793

Monthly
0
5,961.17

10182005
5202033
38374D2N8
GNMA CMO_08-36 AN
 
 
2
 
963,083.41

950,112.65

921,610.91

948,698.63

1,414.02

(39,101.84
)
—

—

4.25

1.3181

Monthly
              5,559.56
51,463.08

10162013
10162022
38376EX34
GNMA CMO_09-109 NH
 
 
2
 
884,706.65

883,548.51

852,827.94

881,745.33

1,803.18

(6,685.62
)
—

—

4

1.4743

Monthly
0
8,840.12

11182009
7202037
38376PPV6
GNMA CMO_09-118 AC
 
 
2
 
1,894,658.75

1,869,835.95

1,830,995.05

1,891,973.08

(22,137.13
)
(7,775.68
)
—

—

3

1.7252

Monthly
0
14,078.16

1252010
10202038
38376CJH3
GNMA CMO_09-75 GC
 
 
2
 
142,980.46

142,865.93

142,447.70

142,602.05

263.88

(939.97
)
—

—

4

1.9368

Monthly
0
1,884.23

9242009
7202030
38376KG21
GNMA CMO_09-91 UE
 
 
2
 
1,136,471.33

1,136,775.38

1,101,637.55

1,131,933.35

4,842.03

(9,897.77
)
—

—

4

1.1569

Monthly
0
11,539.89

10282009
4202037
38376KJJ1
GNMA CMO_09-93 EM
 
 
2
 
99,770.71

99,420.59

99,184.53

99,352.93

67.66

(1,153.92
)
—

—

4

1.5340

Monthly
0
1,384.43

11182009
5202035
38377KKN9
GNMA CMO_10-115 QJ
 
 
2
 
1,727,429.02

1,701,033.59

1,650,436.17

1,723,750.58

(22,716.99
)
(8,855.37
)
—

—

3.5

1.6324

Monthly
0
14,754.22

9172010
11202038
38376TFQ0
GNMA CMO_10-2 PK
 
 
2
 
916,943.53

914,706.76

885,148.98

913,780.96

925.8

(6,884.45
)
—

—

4

1.4263

Monthly
0
9,183.74

3092010
6202037
38377GYS2
GNMA CMO_10-68 YE
 
 
2
 
2,131,020.3

2,129,123.86

2,074,874.20

2,128,844.18

279.68

(6,567.23
)
—

—

3

2.0519

Monthly
0
15,942.31

8102010
5202039
38377WW91
GNMA CMO_11-106 ME
 
 
2
 
1,571,198.03

1,555,098.8

1,526,427.90

1,565,854.95

(10,756.15
)
(13,476.48
)
—

—

3

0.4758

Monthly
0
12,228.96

7132011
6202038
38377QQX8
GNMA CMO_11-22 HE
 
 
2
 
732,306.8

721,374.51

711,875.95

727,958.41

(6,583.9
)
(10,534.89
)
—

—

3.5

(0.4787
)
Monthly
0
6,920.65

2012011
1202037
38378DAA3
GNMA CMO_12-17 CA
 
 
2
 
2,953,086.03

2,945,215.6

2,829,060.05

2,944,657.73

557.87

(15,910.96
)
—

—

3.5

1.1349

Monthly
0
25,260.37

1252012
9202040
36202EVH9
GNMA GNMA II 30YR SF - JUMBO-CONFOR
 
 
2
 
91,323.07

90,140.9

82,432.70

91,301.99

(1,161.09
)
(2,368.41
)
—

—

6

0.1756

Monthly
0
1,336.02

11012008
8202038
36202E4Z9
GNMA GNMA II 30YR SF - JUMBO-CONFOR
 
 
2
 
270,337.41

268,447.38

252,041.70

270,287.09

(1,839.71
)
(156.26
)
—

—

4.5

2.4098

Monthly
0
2,840.81

7212009
5202039
38375JCJ2
GNMA GNMA_06-68 D
 
 
2
 
2,151,560

2,200,018

2,000,000.00

2,141,618.43

58,399.57

(9,941.57
)
—

—

5.305

3.1218

Monthly
0
26,525.01

3122009
12162037
36202FZV1
GNMA POOL # 005256
 
 
2
 
3,123,743.44

3,090,978.25

2,913,430.20

3,101,526.15

(10,547.9
)
(70,501.81
)
—

—

3.5

1.5373

Monthly
               11,100.54
115,426.64

1182012
12202026
36202KME2
GNMA POOL # 008457
 
 
2
 
308,616.12

310,916.52

304,336.40

307,487.32

3,429.2

(884.86
)
—

—

1.625

1.2908

Monthly
                  475.49
5,338.7

3182009
7202024
36225CD29
GNMA POOL # 080120
 
 
2
 
290,268.77

297,011.57

287,305.92

289,720.68

7,290.89

(616.82
)
—

—

1.625

1.3869

Monthly
                   453.31
4,984.04

3182009
10202027
36225C6Y7
GNMA POOL # 080886
 
 
2
 
6,327,603.57

6,447,221.37

6,173,271.76

6,317,322.48

129,898.89

(22,768.75
)
—

—

1.625

1.0684

Monthly
               9,681.09
107,582.26

3022011
4202034
36225DAS3
GNMA POOL # 080916
 
 
2
 
221,523.75

231,785.32

222,601.98

221,604.94

10,180.38

136.92

—

—

1.625

1.7186

Monthly
                  348.37
3,880.21

4172008
5202034
36225DJA3
GNMA POOL # 081156
 
 
2
 
603,842.15

629,334.51

602,148.65

603,640.57

25,693.94

(146.92
)
—

—

1.625

1.5585

Monthly
                    914.14
10,309.08

3182009
11202034
36225DJZ8
GNMA POOL # 081179
 
 
2
 
582,981.92

590,200.81

581,346.90

582,795.4

7,405.41

(167.64
)
—

—

1.625

1.5563

Monthly
                   897.21
10,102.03

3182009
12202034
36225DLE2
GNMA POOL # 081224
 
 
2
 
336,863.26

352,014.29

338,449.76

336,982.66

15,031.63

232.38

—

—

1.625

1.7040

Monthly
                  536.05
5,895.07

3182009
1202035
36225EVZ2
GNMA POOL # 082431
 
 
2
 
1,702,957.55

1,734,096.16

1,681,933.37

1,699,433.71

34,662.45

(4,732.20
)
—

—

1.625

1.5340

Monthly
              3,420.06
30,104.41

10282009
12202039
36225EWE8
GNMA POOL # 082444
 
 
2
 
207,930.34

209,720.86

203,603.76

207,669.85

2,051.01

(3,014.14
)
—

—

3.75

3.3389

Monthly
               1,086.06
9,841.68

11032009
12202039
36204J4C7
GNMA POOL # 371719
 
 
2
 
162,672.49

169,319.17

153,103.52

159,782.55

9,536.62

(3,308.44
)
—

—

6.5

5.2353

Monthly
                1,108.28
11,540.34

9112008
4152024
36204SV60
GNMA POOL # 378737
 
 
2
 
143,397.71

148,434.56

134,962.54

140,883.89

7,550.67

(2,741.56
)
—

—

6.5

5.1550

Monthly
                  968.23
9,338.63

9112008
1152024
36205BKY7
GNMA POOL # 385611
 
 
2
 
253,488.53

263,845.87

238,577.43

248,990.05

14,855.82

(4,441.27
)
—

—

6.5

5.2334

Monthly
                1,634.71
17,324.05

9112008
4152024
36210BZH1
GNMA POOL # 487744
 
 
2
 
379,122.56

384,762.29

358,614.30

375,754.84

9,007.45

(6,550.46
)
—

—

5

2.9296

Monthly
                 1,941.17
19,945.52

9292009
3152024
36210BZJ7
GNMA POOL # 487745
 
 
2
 
245,689.61

249,344.43

232,399.28

243,370.75

5,973.68

(3,881.90
)
—

—

5

3.0432

Monthly
                1,207.01
12,660.18

9292009
3152024
36210B4N2
GNMA POOL # 487829
 
 
2
 
206,247.92

213,632.29

199,273.35

204,666.54

8,965.75

(2,504.27
)
—

—

4.5

3.5109

Monthly
                  990.95
9,944.47

3262009
4152024
36210B4Q5
GNMA POOL # 487831
 
 
2
 
81,832.38

83,049.69

77,405.73

81,069.39

1,980.3

(1,174.35
)
—

—

5

3.0468

Monthly
                   397.91
4,348.31

9292009
4152024
36210B4R3
GNMA POOL # 487832
 
 
2
 
231,995.74

238,192.78

222,005.48

230,090.53

8,102.25

(5,727.11
)
—

—

5

3.4831

Monthly
               1,474.34
14,054.78

3262009
4152024
36211V6Q8
GNMA POOL # 524779
 
 
2
 
171,256.37

175,962.53

164,004.32

169,799.12

6,163.41

(1,789.70
)
—

—

5

3.5286

Monthly
                  822.53
8,861.56

3262009
1152024
36201YER3
GNMA POOL # 606844
 
 
2
 
724,011.07

772,235.17

690,948.13

721,269.77

50,965.4

(8,209.51
)
—

—

5

4.0195

Monthly
              3,575.72
38,142.42

4232010
9152033
36290SJB8
GNMA POOL # 615958
 
 
2
 
4,070,131.56

4,341,230.17

3,884,263.47

4,052,636.33

288,593.84

(27,668.71
)
—

—

5

4.1216

Monthly
             18,306.29
205,081.07

4232010
9152033
36292DWW8
GNMA POOL # 646061
 
 
2
 
103,811.89

112,466.18

99,549.92

103,525.88

8,940.3

(1,894.53
)
—

—

6.5

5.4959

Monthly
                  787.36
7,889.6

1312008
11152037
36295KAT0
GNMA POOL # 672418
 
 
2
 
62,813.15

68,049.57

60,234.37

62,653.18

5,396.39

(344.63
)
—

—

6.5

5.3950

Monthly
                  370.26
4,026.21

1312008
12152037
36295PZJ4
GNMA POOL # 676745
 
 
2
 
87,043.41

89,140.98

83,357.46

86,169.09

2,971.89

(1,285.60
)
—

—

5

3.5803

Monthly
                   454.41
4,585.12

3262009
3152023
36295P4L3
GNMA POOL # 676827
 
 
2
 
257,215.1

263,255.84

246,175.65

254,946.05

8,309.79

(1,831.48
)
—

—

5

3.3643

Monthly
                 1,121.03
12,838.66

3262009
5152023
36295QJE1
GNMA POOL # 677161
 
 
2
 
273,690.96

278,888.31

260,793.88

270,953.48

7,934.83

(14,284.51
)
—

—

5

3.3992

Monthly
              2,326.29
16,982.75

4272009
8152023
36295TVQ4
GNMA POOL # 680223
 
 
2
 
22,149.1

23,995.57

21,239.78

22,101.09

1,894.48

(2,083.40
)
—

—

6.5

4.9814

Monthly
                  393.72
3,162.78

1312008
1152038
36296DR67
GNMA POOL # 688209
 
 
2
 
21,743.52

22,151.48

20,714.28

21,467.58

683.9

(240.82
)
—

—

5

3.7607

Monthly
                   100.94
1,116.91

7292009
7152023
36296E5H5
GNMA POOL # 689448
 
 
2
 
172,890.14

177,056.43

165,568.91

171,438.55

5,617.88

(4,071.20
)
—

—

5

3.3713

Monthly
               1,079.62
10,164.59

3262009
7152023
36296TPY3
GNMA POOL # 700739
 
 
2
 
248,016.61

252,398.54

234,895.50

245,391.55

7,006.99

(4,366.43
)
—

—

5.5

3.5305

Monthly
               1,399.49
15,121.93

6032009
10152023
36296UC73
GNMA POOL # 701294
 
 
2
 
183,837.78

188,692.01

175,868.72

182,257.76

6,434.25

(2,609.78
)
—

—

5

3.4724

Monthly
                   950.16
10,002.21

3272009
1152024
36296URS1
GNMA POOL # 701697
 
 
2
 
255,132.04

258,927.32

241,330.92

252,416.51

6,510.81

(6,825.72
)
—

—

5

3.2343

Monthly
               1,473.42
13,769.24

9292009
2152024
36296UUL2
GNMA POOL # 701787
 
 
2
 
215,475.64

223,065.84

207,906.55

213,926.17

9,139.67

(1,121.21
)
—

—

5

3.8482

Monthly
                   941.46
10,812.91

6112009
3152024
36296U3C2
GNMA POOL # 701995
 
 
2
 
70,192.22

71,883.69

67,219.84

69,575.42

2,308.27

(3,364.60
)
—

—

5

3.5791

Monthly
                  635.06
6,064.48

3262009
1152024
36296XHH0
GNMA POOL # 704132
 
 
2
 
85,625.18

86,612.86

80,993.37

84,768.4

1,844.46

(728.53
)
—

—

5

3.0723

Monthly
                  367.95
4,218.15

9292009
12152023
36296XLY8
GNMA POOL # 704243
 
 
2
 
383,163.38

396,660.43

369,703.85

380,491.54

16,168.89

(1,993.70
)
—

—

5

3.7744

Monthly
               1,677.84
19,247.76

6112009
1152024
36296XWP5
GNMA POOL # 704554
 
 
2
 
1,345,955.37

1,394,207.82

1,299,459.10

1,337,270.47

56,937.35

(12,073.59
)
—

—

5

3.8002

Monthly
               6,631.39
70,896.58

6112009
6152024
36297AKF9
GNMA POOL # 705994
 
 
2
 
311,705.28

316,342.14

294,843.90

309,114.29

7,227.85

(6,657.96
)
—

—

5

2.7413

Monthly
               1,669.79
16,879.37

9292009
1152024
36297DFF9
GNMA POOL # 708566
 
 
2
 
831,750.57

844,123.51

786,757.87

823,568.91

20,554.6

(27,138.88
)
—

—

5

3.1437

Monthly
              5,206.69
54,711.95

9292009
4152024
36297DTR8
GNMA POOL # 708960
 
 
2
 
139,747

143,587.25

133,829.23

138,341.42

5,245.83

(13,680.30
)
—

—

5

3.8126

Monthly
               1,997.92
14,291.67

3262009
3152024
36297G2R0
GNMA POOL # 711884
 
 
2
 
872,329.19

885,305.75

825,141.41

864,045.97

21,259.78

(34,772.85
)
—

—

5

3.0802

Monthly
               6,021.36
47,670.48

9292009
4152024
36297JJ54
GNMA POOL # 713184
 
 
2
 
797,626.28

809,491.55

754,479.46

789,412.59

20,078.96

(21,680.02
)
—

—

5

3.2244

Monthly
              4,645.62
47,023.27

9292009
4152024
36297KZF1
GNMA POOL # 714542
 
 
2
 
294,863.89

305,158.55

284,420.33

292,776.57

12,381.98

(2,737.78
)
—

—

5

3.8573

Monthly
               1,456.66
15,274.49

6112009
6152024
3620A2KC9
GNMA POOL # 716791
 
 
2
 
778,049.86

789,623.92

735,962.01

770,832.32

18,791.6

(11,997.92
)
—

—

5

3.0375

Monthly
               3,860.61
40,536.52

9292009
4152024
3620A5FJ3
GNMA POOL # 719369
 
 
2
 
462,219.47

463,726.94

433,055.87

457,827.15

5,899.79

(13,041.69
)
—

—

4.5

2.4217

Monthly
              2,303.92
24,427.7

8312010
4152025
3620A6AC1
GNMA POOL # 720103
 
 
2
 
498,921.26

544,012.8

490,340.31

498,123.51

45,889.29

(1,824.94
)
—

—

4.5

4.2634

Monthly
              2,205.69
24,146.51

6182009
6152039
3620A6DZ7
GNMA POOL # 720220
 
 
2
 
895,096.94

914,358.35

852,219.63

886,519.76

27,838.59

(10,835.88
)
—

—

5

3.5429

Monthly
              4,345.34
47,792.71

7292009
7152024
3620ADCM2
GNMA POOL # 726476
 
 
2
 
4,433,961.57

4,512,329.79

4,209,040.95

4,390,865.43

121,464.36

(69,395.01
)
—

—

4.5

2.9816

Monthly
            20,429.58
215,520.33

12082009
11152024
3620ASPY9
GNMA POOL # 738539
 
 
2
 
3,157,599.24

3,160,328.23

2,939,437.80

3,150,359.16

9,969.07

(50,812.32
)
—

—

4

2.4686

Monthly
              12,075.71
131,248.89

10032011
7152041
36225BPY8
GNMA POOL # 781339
 
 
2
 
192,485.74

199,145.43

174,392.50

190,087.99

9,057.44

(3,319.67
)
—

—

8

6.0211

Monthly
                1,351.47
14,940.39

3072008
9152031
36241KBP2
GNMA POOL # 781846
 
 
2
 
2,688,495.22

3,017,443.06

2,603,869.44

2,684,373.77

333,069.29

(14,198.84
)
—

—

6.5

5.2957

Monthly
              17,010.83
184,935.86

8152008
9152034
36241KEC8
GNMA POOL # 781931
 
 
2
 
1,784,064.74

1,980,861.23

1,727,907.72

1,781,488.66

199,372.57

(9,883.72
)
—

—

6.5

5.2992

Monthly
               11,351.20
122,840.65

8152008
5152035
36241KEH7
GNMA POOL # 781936
 
 
2
 
1,040,249.67

1,105,743.75

1,006,135.42

1,037,465.18

68,278.57

(7,499.26
)
—

—

4.5

3.8834

Monthly
              4,556.63
50,253.73

6032010
6152035
36241KGU6
GNMA POOL # 782011
 
 
2
 
94,524.7

102,881.74

92,501.19

94,348.58

8,533.16

(508.70
)
—

—

5

4.5999

Monthly
                  478.08
5,155.8

7142009
12152035
36241KKB3
GNMA POOL # 782090
 
 
2
 
2,078,313.23

2,286,569.8

1,999,579.80

2,070,166.49

216,403.31

(18,316.25
)
—

—

6.5

5.8293

Monthly
             13,233.64
144,562.98

11302007
5152036
36241LHQ2
GNMA POOL # 782939
 
 
2
 
3,206,195.8

3,421,387.97

3,059,780.51

3,195,923.55

225,464.42

(33,533.82
)
—

—

5

4.1275

Monthly
             15,574.70
169,737.18

4232010
9152036
36241LN36
GNMA POOL # 783110
 
 
2
 
672,500.25

698,127.16

621,068.04

669,319.08

28,808.08

(19,574.17
)
—

—

5.5

3.8900

Monthly
              3,903.57
39,923.95

9232010
4152036
36179MEL0
GNMA POOL # MA0139
 
 
2
 
3,542,352.93

3,517,967.47

3,343,320.85

3,523,756.32

(5,788.85
)
(45,291.64
)
—

—

3

1.4485

Monthly
               10,016.12
109,689.25

6192012
6202027
36179MK82
GNMA POOL # MA0319
 
 
2
 
165,824.63

161,906.22

150,942.62

165,373.81

(3,467.59
)
(3,392.98
)
—

—

4

2.3905

Monthly
                    612.61
6,633.67

10042012
8202042
36179MNJ5
GNMA POOL # MA0393
 
 
2
 
2,019,648.53

1,975,647.75

1,841,865.33

2,014,882.7

(39,234.95
)
(42,663.81
)
—

—

4

2.3433

Monthly
              7,549.03
81,346.14

10182012
9202042
36179MQN3
GNMA POOL # MA0461
 
 
2
 
1,782,039.45

1,716,196.63

1,674,259.04

1,778,274.86

(62,078.23
)
(13,481.75
)
—

—

3

2.1192

Monthly
              4,648.37
53,055.66

10312012
10202042
38376P6D7
GNMA_09-126 CMO 09-127 PL
 
 
2
 
1,222,530.01

1,223,338.66

1,151,917.47

1,221,265.33

2,073.33

(6,717.64
)
—

—

4.25

2.0720

Monthly
0
12,536.06

2112010
10202038
38375XRK2
GNR_08-69 AGENCYCMO _ 08-69-QD
 
 
2
 
1,774,288.08

1,704,372.68

1,583,874.66

1,767,880.21

(63,507.53
)
(22,982.33
)
—

—

5.75

1.7810

Monthly
0
23,441.2

10272008
7202038
38377VAN6
GNR_11-51 AGENC CMO__11-51-WA
 
 
2
 
407,563.29

404,769.48

398,832.85

404,655.52

113.96

(7,334.44
)
—

—

4

(0.6648
)
Monthly
0
4,713.14

4082011
8202034
38173XAA6
GOCAP_2014-21A ABS _2014-21A-A 144A
 
 
2
 
4,000,000

3,989,747.31

4,000,000.00

4,000,000

(10,252.69
)
—

—

—

2.1316

2.1358

J-A-J-O
0
8,763.24

11072014
10252026
380881BX9
GOLDEN CREDIT CARD TRUST GCCT_ ABS_13-1A A 144A
 
A
2
 
1,100,000

1,099,623.8

1,100,000.00

1,100,000

(376.2
)
—

—

—

0.4108

0.4111

Monthly
                  203.67
4,514.26

2212013
2152018
38148BAA6
GOLDMAN SACHS GROUP INC/THE CAPSEC CORP BND
 
 
1
 
9,515,450

9,367,750

9,275,000.00

9,499,792.96

(132,042.96
)
(15,657.04
)
—

—

5.7

5.0837

May-Nov
0
191,464.58

11252014
12312049
38141GEA8
GOLDMAN SACHS GROUP INC/THE CORP BND
 
 
 
 
2,039,860

2,002,260

2,000,000.00

2,000,359.13

1,900.87

(11,009.50
)
—

—

5.125

4.6420

Jan-Jul
           102,208.16
112,429.7

5182010
1152015
38141GEG5
GOLDMAN SACHS GROUP INC/THE CORP BND
 
 
 
 
2,488,200

2,494,425

2,500,000.00

2,493,934.33

490.67

4,914.41

—

—

0.6971

0.8943

M-J-S-D
                   434.91
17,377.77

10292013
3222016
38141GES9
GOLDMAN SACHS GROUP INC/THE CORP BND
 
 
 
 
6,077,662.5

5,991,536.88

5,250,000.00

6,059,534.87

(67,997.99
)
(18,127.63
)
—

—

5.95

4.2960

Jan-Jul
0
111,934.37

8192014
1152027
BRS0Z5DU0
GOLDMAN SACHS GROUP INC/THE CORP BND MTN
 
O
 
 
2,490,297.79

2,265,331.26

1,400,000.00

2,418,378.34

(153,047.08
)
(87,981.09
)
—

(158,621.38
)
5.25

1.4985

December
0
126,672.59

2212014
12152015
38141GGT5
GOLDMAN SACHS GROUP INC/THE SENIOR CORP BND
 
 
 
 
1,374,023.75

1,386,343.75

1,375,000.00

1,374,885.76

11,457.99

(3,460.26
)
—

—

3.3

3.3251

May-Nov
              8,639.59
52,937.5

4302012
5032015
38148FAB5
GOLDMAN SACHS GROUP INC/THE SENIOR CORP BND
 
 
 
 
3,567,671.25

3,556,323.38

3,575,000.00

3,567,937.06

(11,613.68
)
265.81

—

—

2.55

2.5940

Apr-Oct
0
17,219.58

10202014
10232019
38145XAA1
GOLDMAN SACHS GROUP INC/THE SENIOR CORP BND
 
 
 
 
15,566,845.2

15,589,097.71

15,530,000.00

15,567,258.8

21,838.91

413.60

—

—

2.625

2.3570

Jan-Jul
0
283,093.86

11252014
1312019
38141EB32
GOLDMAN SACHS GROUP INC/THE SENIOR CORP BND MTN
 
 
 
 
2,017,500

2,010,479.8

2,000,000.00

2,005,764.78

4,715.02

(6,385.60
)
—

—

1.6

1.2740

May-Nov
              3,377.78
32,000

2212013
11232015
38141EC49
GOLDMAN SACHS GROUP INC/THE SENIOR CORP BND MTN
 
 
 
 
4,000,000

3,994,079.88

4,000,000.00

4,000,000

(5,920.12
)
—

—

—

1.03882

1.0388

M-J-S-D
0
—

12112014
12152017
38259PAC6
GOOGLE CORP BND
 
 
 
 
5,122,300

5,099,430

5,000,000.00

5,103,331.11

(3,901.11
)
(41,992.20
)
—

—

2.125

0.6199

May-Nov
              4,958.33
67,291.67

10112011
5192016
38373ANL6
GOVERNMENT NATIONAL MORTGAGE A AGENCY CMO _09-65-AF
 
 
2
 
741,666.56

743,685.96

704,852.13

741,221.72

2,464.24

(2,671.26
)
—

—

4

2.3050

Monthly
0
7,182.69

1252011
7202039
385064NP1
GRANBURY TEX INDPT SCH DIST MUNI BND GO
 
 
1
 
3,495,494.7

3,455,888.65

3,365,000.00

3,456,192.92

(304.27
)
(39,301.78
)
—

—

5

0.3504

Feb-Aug
0
42,062.5

10242007
8012024
BRSNKX0T2
GRAY TELEVISION INC.
 
 
 
 
985,612.12

976,313

989,387.76

985,760.81

(9,447.81
)
452.38

—

—

—

0.0561

M-J-S-D
0
5,975.85

 
 
391577LQ4
GREATER ARIZ DEV AUTH INFRASTR MUNI BND REV
 
 
1
 
1,170,038.7

1,162,757.5

1,090,000.00

1,159,137.21

3,620.29

(10,901.49
)
—

—

5

0.9553

Feb-Aug
0
13,625

1252007
8012022
BRSHB4QM6
GREENEDEN US HOLDINGS II LLC SENIOR SECURED TERM LOAN
 
 
 
 
2,288,526.57

2,279,075.98

2,316,722.72

2,292,983.79

(13,907.81
)
4,855.96

—

—

—

0.2002

F-M-A-N
0
118,293.67

1162014
2082020
G4123EAC0
GRIFOLS WORLDWIDE OPERATIONS U SECURED TERM LOAN
 
 
1
 
4,725,915.73

4,773,652.26

4,773,652.26

4,730,499.66

43,152.6

4,944.65

—

—

—

0.1455

M-J-S-D
0
87,386.87

3072014
2272021
36248GAB6
GSMS_13-GC16 SENIOR CMBS 13-GC16
 
 
2
 
4,404,295.31

4,379,051.67

4,220,000.00

4,398,095.09

(19,043.42
)
(6,200.22
)
—

—

3.033

2.0408

Monthly
0
20,621.03

10292014
11102046
362341RT8
GSR_05-6F WHOLE CMO 05-AR6 1A1
 
 
2
 
103,002.99

104,997.06

104,027.01

103,201.49

1,795.57

231.97

—

—

2.65506

2.8997

Monthly
                  286.50
3,034

11212007
9252035
406216BC4
HALLIBURTON COMPANY SENIOR CORP BND
 
 
1
 
499,645

495,614.02

500,000.00

499,741.02

(4,127
)
68.91

—

—

2

2.0151

Feb-Aug
              4,055.56
10,000

7292013
8012018
406373A$6
HALO_06-1R WHOLE CMO 06-1R 144A
 
 
2
 
2,219,437.74

2,218,563.22

2,242,354.60

2,219,437.74

(874.52
)
2,802.67

—

—

6

6.8289

Monthly
0
34,989.77

12312011
8252036
G4273QAJ6
HAMMERSON PLC CORP BND
 
D
 
 
2,026,061.6

2,007,206.06

1,200,000.00

2,021,492.3

(14,286.24
)
(4,946.24
)
—

(13,905.36
)
5.25

1.4307

December
0
7,020.94

12042014
12152016
BRSM3XJP1
HARLAND CLARKE HOLDINGS CORP SENIOR SECURED TERM NOTES
 
 
 
 
572,373.77

573,739.98

575,250.01

572,836.11

903.87

536.10

—

—

—

0.0903

M-J-S-D
0
27,944.95

1282014
8042019
41283LAB1
HARLEY-DAVIDSON FINANCIAL CORP BND 144A
 
 
 
 
2,056,720

2,052,761.84

2,000,000.00

2,050,888.44

1,873.4

(5,831.56
)
—

—

2.7

1.5201

Mar-Sep
0
13,500

2142012
3152017
41283YAC1
HARLEY-DAVIDSON MOTORCYCLE TRU ABS 13-1 A3
 
 
2
 
1,540,248.25

1,540,298.74

1,540,252.56

1,540,244.52

54.22

0.43

—

—

0.65

0.6507

Monthly
                  508.45
11,302.34

4162013
7162018
43814EAC9
HAROT 2013-2 ABS 13-2 A3
 
 
2
 
4,504,576.53

4,502,071.75

4,505,000.00

4,504,846.48

(2,774.73
)
158.86

—

—

0.53

0.5343

Monthly
                  994.86
23,876.52

4172013
2162017
43814GAC4
HAROT ABS_14-2-A3
 
 
2
 
868,368.75

865,400.29

870,000.00

868,686.78

(3,286.49
)
318.03

—

—

0.77

0.8596

Monthly
0
2,828.47

7242014
3192018
43813UAC4
HAROT_12-3 ABS 12-1
 
 
2
 
430,404.08

430,627.9

430,429.91

430,421.58

206.32

53.18

—

—

0.77

0.7732

Monthly
                   786.19
9,887.7

2142012
1152016
43812XAB1
HAROT_13-3 ABS 13-3 A2
 
 
2
 
101,464.25

101,470.84

101,465.77

101,464.16

6.68

4.41

—

—

0.54

0.5412

Monthly
                    114.00
1,841.34

7172013
1152016
43812XAC9
HAROT_13-3 ABS 13-3 A3
 
 
2
 
3,464,437.28

3,467,979.87

3,465,000.00

3,464,769.44

3,210.43

231.41

—

—

0.77

0.7780

Monthly
                1,185.80
26,680.56

7172013
5152017
43814GAD2
HAROT_14-2 SENIOR ABS 14-2 A4
 
 
2
 
2,001,406.25

1,987,973.02

2,000,000.00

2,001,379.95

(13,406.93
)
(26.30
)
—

—

1.18

1.1548

Monthly
0
3,933.34

10282014
5182020
413893BG2
HARRIS COUNTY HOUSTON TEX SPOR MUNITAX BND REV
 
 
1
 
1,289,858.1

1,296,230.7

1,290,000.00

1,289,994.41

6,236.29

181.96

—

—

6.75

6.7502

May-Nov
0
25,192.5

12182002
11152017
415690MD5
HARRISONBURG VA REDEV & HSG AU MUNI BND REV
 
 
1
 
1,298,807.3

1,298,962.7

1,295,000.00

1,295,000

3,962.7

(3,807.30
)
—

—

7

6.8428

Feb-Aug
0
22,662.5

6272001
8012020
44890QAC7
HART_13-C ABS 13-C A3
 
 
2
 
2,324,162.5

2,326,625.18

2,320,000.00

2,323,005.75

3,619.43

(1,113.34
)
—

—

1.01

1.0194

Monthly
                  673.33
18,646.86

7242014
2152018
44890RAC5
HART_14-A ABS 14-A A3
 
 
2
 
2,288,787.15

2,283,167.15

2,290,000.00

2,289,080.81

(5,913.66
)
293.66

—

—

0.79

0.7982

Monthly
0
13,518.62

7242014
7162018
44890UAD6
HART_14-B ABS _14-B-A4
 
 
2
 
10,532,832.89

10,450,434.33

10,500,000.00

10,530,920.77

(80,486.44
)
(1,912.12
)
—

—

1.46

1.4647

Monthly
0
42,198.01

10172014
11152019
419791YG7
HAWAII ST MUNI BND GO
 
 
 
 
2,007,940

2,004,640

2,000,000.00

2,000,143.58

4,496.42

(1,688.04
)
—

—

3

2.9135

Feb-Aug
            25,000.00
60,000

2102010
2012015
BRSQTPNS0
HEALTHPLAN HOLDINGS INC SENIOR SECURED TERM NOTES
 
 
 
 
5,921,052.63

5,891,447.37

5,921,052.63

5,921,052.63

(29,605.26
)
—

—

—

—

—

M-J-S-D
0
69,078.95

11282014
11122019
429827AN8
HEF_04-1 ABS 04-1 A13 144A
 
 
2
 
164,000

203,476.6

200,000.00

171,703.28

31,773.32

(255.72
)
—

—

1.7130701

2.9247

Monthly
                    56.80
2,560.31

9102009
1012044
429827AQ1
HEF_04-1 ABS 04-1 A15 144A
 
 
 
 
246,000

305,511

300,000.00

252,856.25

52,654.75

1,158.30

—

—

1.5699993

2.3600

F-M-A-N
                   261.73
4,039.13

9102009
1012044
429827AB4
HEF_04-1 ABS 04-1 A2 144A
 
 
2
 
164,000

203,711.2

200,000.00

174,061.46

29,649.74

(2,218.23
)
—

—

1.6399998

3.0694

Monthly
                    46.33
2,396.93

9102009
1012044
429827AF5
HEF_04-1 ABS 04-1 A6 144A
 
 
2
 
164,000

200,463

200,000.00

172,636.98

27,826.02

(2,921.23
)
—

—

1.6319997

2.9129

Monthly
                    54.80
2,381.05

9102009
1012044
423012AC7
HEINEKEN N.V. SENIOR CORP BND 144A
 
F
 
 
2,299,083.33

2,298,680.74

2,300,000.00

2,299,818.18

(1,137.44
)
245.65

—

—

0.8

0.8208

Apr-Oct
              4,250.00
18,349.44

1092014
10012015
423012AB9
HEINEKEN N.V. SENIOR CORP BND 144A
 
F
 
 
5,987,624.98

5,956,093.95

6,025,000.00

5,999,229.48

(43,135.53
)
9,094.01

—

—

1.4

1.5314

Apr-Oct
             21,087.50
84,350

11052013
10012017
4252005H1
HENDERSON NEV MUNI BND GO
 
 
1
 
2,787,406

2,818,856.5

2,410,000.00

2,753,310.33

65,546.17

(34,095.67
)
—

—

5

(0.4777
)
Jun-Dec
0
30,125

9172013
6012028
427866AS7
HERSHEY COMPANY THE CORP BND
 
 
 
 
1,321,912.75

1,337,530.95

1,325,000.00

1,323,832.61

13,698.34

623.77

—

—

1.5

1.5490

May-Nov
               3,312.50
19,875

11082011
11012016
BRSHYLWT1
HERTZ CORPORATION (THE) SENIOR SECURED TERM NOTES
 
 
2
 
5,798,267.86

5,719,348.62

5,860,979.18

5,817,024.79

(97,676.17
)
17,104.09

—

—

—

0.2317

M-J-S-D
0
179,326.05

8012013
3112018
428236BU6
HEWLETT-PACKARD COMPANY CORP BND
 
 
 
 
1,045,500

1,032,747.65

1,000,000.00

1,040,276.59

(7,528.94
)
(5,223.41
)
—

—

3.3

1.1901

Jun-Dec
0
8,250

12062011
12092016
428236BE2
HEWLETT-PACKARD COMPANY CORP BND
 
 
 
 
3,054,060

3,029,232.9

3,000,000.00

3,042,329.2

(13,096.3
)
(11,730.80
)
—

—

2.2

0.6504

Jun-Dec
0
16,500

11292010
12012015
428236BZ5
HEWLETT-PACKARD COMPANY SENIOR CORP BND
 
 
 
 
500,000

491,445.01

500,000.00

500,000

(8,554.99
)
—

—

—

1.17

1.1700

J-A-J-O
0
5,735.43

1092014
1142019
428236BW2
HEWLETT-PACKARD COMPANY UNSEC CORP BND
 
 
 
 
1,874,718.75

1,907,968.43

1,875,000.00

1,874,858.43

33,110

49.95

—

—

2.6

2.6029

Mar-Sep
              14,354.17
48,750

3072012
9152017
BRSR060V9
HIGH PERFORMANCE HOLDINGS INC SENIOR SECURED TERM NOTES
 
 
 
 
6,408,720.54

6,344,633.33

6,408,720.54

6,408,720.54

(64,087.21
)
—

—

—

—

—

M-J-S-D
0
75,000

12122014
12082019
429827AE8
HIGHER EDUCATION FUNDING HEF_0 ABS 04-1 144A
 
 
2
 
164,000

195,409.6

200,000.00

173,085.85

22,323.75

894.67

—

—

1.379

2.6856

Monthly
                   194.02
2,446.33

9102009
1012044
429827AJ7
HIGHER EDUCATION FUNDING HEF_0 ABS 04-1 A9 144A
 
 
2
 
164,224

206,077

200,000.00

172,559.54

33,517.46

1,006.59

—

—

1.7582154

3.0348

Monthly
                   281.46
2,411.71

9102009
1012044
429827AK4
HIGHER EDUCATION FUNDING HEF_0 ABS_04-1 A10
 
 
2
 
164,196

187,067.4

200,000.00

172,367.46

14,699.94

531.22

—

—

1.6569996

2.9049

Monthly
                  264.58
2,321.37

9102009
1012044
BRSKM1X29
HILTON WORLDWIDE FINANCE LLC SENIOR SECURED TERM NOTES
 
 
 
 
3,115,883.44

3,100,867.71

3,131,541.16

3,118,497.83

(17,630.12
)
6,266.65

—

—

—

0.0707

M-J-S-D
0
179,775.68

10312013
10262020
43813EAD8
HONDA AUTO RECEIVABLES OWNER T ABS 12-2
 
 
2
 
1,599,694.08

1,603,440

1,600,000.00

1,599,954.92

3,485.08

98.08

—

—

0.91

0.9179

Monthly
                   647.10
14,559.96

4182012
5152018
43814CAD1
HONDA AUTO RECEIVABLES OWNER T ABS 13-1
 
 
2
 
6,989,335.94

6,991,544.28

7,000,000.00

6,993,448.45

(1,904.17
)
4,112.51

—

—

0.62

0.7002

Monthly
0
32,550.03

3272014
3212019
438670QB0
HONOLULU HAWAII CITY & CNTY MUNI BND GO
 
 
1
 
724,262.5

719,394

650,000.00

717,518.03

1,875.97

(6,744.47
)
—

—

5

0.7953

Jan-Jul
0
8,125

1072009
7012024
438670Q20
HONOLULU HAWAII CITY & CNTY MUNITAX BND GO
 
 
 
 
1,500,000

1,499,085

1,500,000.00

1,500,000

(915
)
—

—

—

1.259

1.2590

May-Nov
               3,147.50
18,885

10262012
11012017
BRSPKZWC4
HOPLON II INSURANCE LTD CORP BND
 
D
 
 
9,054,787.5

8,193,566.19

6,750,000.00

9,054,787.5

(861,221.31
)
—

—

(886,950
)
6.525349

6.5253

J-A-J-O
0
184,882.1

8082014
1082018
442331GP3
HOUSTON TEX MUNI BND GO
 
 
1
 
1,239,749.55

1,224,865.8

1,215,000.00

1,224,606.73

259.07

(15,142.82
)
—

—

5

0.1402

Mar-Sep
0
15,187.5

10192005
3012016
442435KD4
HOUSTON TEX MUNI BND REV
 
 
1
 
620,647.5

617,298

550,000.00

614,954.89

2,343.11

(5,692.61
)
—

—

5

0.8274

May-Nov
0
6,875

6202007
11152021
442435KC6
HOUSTON TEX MUNI BND REV
 
 
1
 
1,147,650.35

1,140,697.6

1,015,000.00

1,136,951.09

3,746.51

(10,699.26
)
—

—

5

0.7598

May-Nov
0
12,687.5

6202007
11152020
44328MAL8
HSBC BANK PLC CORP BND 144A
 
F
 
 
3,123,450

3,083,028

3,000,000.00

3,059,948.26

23,079.74

(57,140.43
)
—

—

3.1

1.6448

May-Nov
             14,337.50
126,195.83

6242013
5242016
G463NBBT9
HSBC BANK PLC SENIOR CORP BND
 
F
 
 
3,693,081

3,652,362.13

3,700,000.00

3,695,278.87

(42,916.74
)
1,354.72

—

—

1.5

1.5390

May-Nov
               7,091.67
55,500

5082013
5152018
44328MBU7
HSBC BANK PLC SENIOR CORP BND 144A
 
F
 
 
1,611,987.2

1,606,384.03

1,600,000.00

1,609,817.05

(3,433.02
)
(2,170.15
)
—

—

0.8721

0.6902

F-M-A-N
0
10,677.81

3282014
5152018
44328MBT0
HSBC BANK PLC SENIOR CORP BND 144A
 
F
 
 
5,739,247.5

5,677,778.85

5,750,000.00

5,742,663.11

(64,884.26
)
8,339.34

—

—

1.5

1.5390

May-Nov
             20,604.17
98,124.99

5082013
5152018
G463AQPM0
HSBC BANK PLC SENIOR LOCAL BND EMTN
 
D
 
 
1,557,432.87

1,564,722.54

1,000,000.00

1,557,278.59

7,443.95

(137.73
)
—

2,157.76

0.95525

0.9462

F-M-A-N
               1,792.78
15,494.49

11132013
5162016
40428HPJ5
HSBC BANK USA INC SENIOR CORP BND
 
 
 
 
938,383.2

960,799.39

940,000.00

938,775.19

22,024.2

308.73

—

—

2.625

2.6620

Mar-Sep
               6,748.13
24,675.02

9172013
9242018
40428HPK2
HSBC BANK USA INC SENIOR CORP BND
 
 
 
 
6,250,000

6,312,502.94

6,250,000.00

6,250,000

62,502.94

—

—

—

1.1351

1.1351

M-J-S-D
                1,567.15
70,790.2

9172013
9242018
404280AR0
HSBC HOLDINGS PLC CAPSEC CORP BND
 
F
1
 
8,765,000

8,807,510.25

8,765,000.00

8,765,000

42,510.25

—

—

—

5.625

5.6250

Jan-Jul
0
142,431.25

9102014
1019999
404280AP4
HSBC HOLDINGS PLC SUB CORP BND
 
F
 
 
10,881,445

10,885,164.78

10,500,000.00

10,867,680.82

17,483.96

(13,764.18
)
—

—

4.25

3.7740

Mar-Sep
0
189,420.13

8192014
3142024
G463CFAA4
HSBC HOLDINGS PLC SUB LOCAL BND EMTN
 
D
1
 
2,421,694.03

2,388,583.89

1,400,000.00

2,414,598.36

(26,014.47
)
(8,058.66
)
—

(20,345.58
)
6.375

2.7081

October
0
15,284.21

11252014
10182022
40428HPN6
HSBC USA INC SENIOR CORP BND
 
 
 
 
299,817

299,434.57

300,000.00

299,821.65

(387.08
)
4.65

—

—

2.375

2.3878

May-Nov
0
969.79

11052014
11132019
40428HPH9
HSBC USA INC SENIOR CORP BND
 
 
 
 
2,991,420

2,989,286.04

3,000,000.00

2,994,779.48

(5,493.44
)
2,514.23

—

—

1.625

1.6839

Jan-Jul
             45,357.81
73,995.73

12132012
1162018
C4438BAC0
HUSKY INJECTION MOLDING SYS LT SENIOR SECURED TERM NOTES
 
A
1
 
382,268.97

377,626.04

384,189.92

382,390.08

(4,764.04
)
128.44

—

—

—

0.0713

M-J-S-D
0
7,969.31

6262014
6302021
448814JB0
HYDRO-QUEBEC SENIOR CORP BND
 
A
 
 
2,040,560

2,039,239.8

2,000,000.00

2,034,683.55

4,556.25

(5,876.45
)
—

—

2

0.8300

Jun-Dec
0
10,000

6232011
6302016
4488148U0
HYDRO-QUEBEC SENIOR CORP BND
 
A
 
 
4,994,200

5,029,299.95

5,000,000.00

4,997,091.03

32,208.92

1,152.29

—

—

1.375

1.3991

Jun-Dec
               2,291.67
68,750

6122012
6192017
44890HAC7
HYUNDAI AUTO RECEIVABLES TRUST ABS 12-B
 
 
2
 
901,943.38

902,403.81

902,097.10

902,073.92

329.89

296.77

—

—

0.62

0.6285

Monthly
                1,365.10
17,324.76

7102012
9152016
44890LAB0
HYUNDAI AUTO RECEIVABLES TRUST ABS_13-B A2
 
 
2
 
52,606.2

52,611.19

52,606.45

52,604.95

6.24

2.08

—

—

0.53

0.5297

Monthly
                    120.13
1,632.74

6192013
3152016
44890LAC8
HYUNDAI AUTO RECEIVABLES TRUST ABS_13-B A3
 
 
2
 
1,424,920.44

1,425,996.28

1,425,000.00

1,424,973.51

1,022.77

13.47

—

—

0.71

0.7192

Monthly
                  449.67
10,117.56

11052013
9152017
44920UAC2
HYUNDAI CAP SVC CORP BND 144A
 
F
 
 
2,982,210

3,130,610.46

3,000,000.00

2,994,470.67

136,139.79

3,325.85

—

—

4.375

4.4979

Jan-Jul
             56,145.83
131,250

1202011
7272016
44923QAB0
HYUNDAI CAPITAL AMERICA CORP BND 144A
 
 
 
 
1,991,020

2,095,696.42

2,000,000.00

1,995,779.22

99,917.2

1,617.40

—

—

4

4.0920

Jun-Dec
                   5,111.11
80,000

12012011
6082017
45200FJS9
ILLINOIS FIN MUNI BND REV
 
 
1
 
6,044,274

6,031,638

5,400,000.00

6,000,214.86

31,423.14

(44,059.14
)
—

—

5

1.5987

May-Nov
0
67,500

5302008
5152019
4521518V8
ILLINOIS ST MUNI BND GO
 
 
 
 
900,000

900,000

900,000.00

900,000

—

—

—

—

4.421

4.4210

Jan-Jul
             50,841.50
97,900.59

1082010
1012015
452227FG1
ILLINOIS ST SALES TAX REV MUNITAX BND REV
 
 
 
 
4,100,000

4,136,203

4,100,000.00

4,100,000

36,203

—

—

—

1.56

1.5600

Jun-Dec
              2,842.67
63,960

5102012
6152017
G4721VAY0
IMPERIAL TOBACCO FIN PLC CORP BND
 
D
 
 
1,223,468.18

1,221,065.06

680,000.00

1,221,847.88

(782.82
)
(1,620.30
)
—

(1,799.65
)
6.25

2.1865

December
0
2,727.35

12152014
12042018
BRSMHGLN5
IMS HEALTH INCORPORATED IMS HEALTH INCORPORATED
 
 
 
 
7,126,887.39

6,994,550.49

7,138,826.18

7,128,177.63

(133,627.14
)
1,290.24

—

—

—

0.0237

M-J-S-D
0
175,976.76

4012014
3172021
454795DR3
IN HLTH CLARIAN MUNI BND REV
 
 
1
 
381,825.5

385,917

350,000.00

379,662.71

6,254.29

(2,162.79
)
—

—

5.25

2.5784

May-Nov
0
4,593.75

4102008
11012025
454795DQ5
IN HLTH CLARIAN MUNI BND REV
 
 
1
 
405,442

404,281.3

365,000.00

402,666.43

1,614.87

(2,775.57
)
—

—

5.25

2.0303

May-Nov
0
4,790.62

4102008
11012024
45505UAH1
INDIANA ST FINANCE AUTHORITY MUNI BND REV
 
 
 
 
2,301,800

2,273,080

2,000,000.00

2,283,419.06

(10,339.06
)
(18,380.94
)
—

—

5

1.2040

May-Nov
0
25,000

3202008
11012018
45506DCD5
INDIANA ST FINANCE AUTHORITY MUNI BND REV
 
 
1
 
2,909,805

2,938,314

2,550,000.00

2,899,429.48

38,884.52

(10,375.52
)
—

—

5

2.9500

Jan-Jul
0
31,875

9172013
7012028
4551677N0
INDIANA UNIV REVS MUNI BND REV
 
 
1
 
255,040.8

252,063.35

235,000.00

252,296.97

(233.62
)
(2,743.83
)
—

—

5

0.3369

Feb-Aug
0
2,937.5

1302013
8012017
4551677Q3
INDIANA UNIV REVS MUNI BND REV
 
 
1
 
828,127.8

820,125.9

765,000.00

819,495.1

630.8

(8,632.70
)
—

—

5

0.4801

Feb-Aug
0
9,562.5

1302013
8012017
455167Q66
INDIANA UNIV REVS MUNI BND REV
 
 
 
 
1,085,090

1,072,630

1,000,000.00

1,073,441.08

(811.08
)
(11,648.92
)
—

—

5

0.3467

Feb-Aug
0
12,500

6082006
8012016
BRSEKNUF1
INEOS US FINANCE LLC SENIOR SEC TERM NOTES
 
 
2
 
3,031,619.14

2,961,615.96

3,046,068.20

3,035,794.44

(74,178.48
)
3,205.86

—

—

—

0.0997

J-A-J-O
0
117,654.63

9122013
5042018
BRSJFKKC0
INFOR US INC SENIOR SECURED TERM NOTES
 
 
 
 
1,024,909.63

995,730.45

1,024,909.63

1,024,909.63

(29,179.18
)
—

—

—

—

—

F-M-A-N
0
39,562.9

5242013
6032020
BRSLNXDD4
INFOR US INC SENIOR SECURED TERM NOTES
 
 
 
 
3,153,078.93

3,083,260.7

3,171,100.18

3,154,131.47

(70,870.77
)
1,113.70

—

—

—

0.0975

M-J-S-D
0
52,522.36

7312014
6032020
449786AR3
ING BANK NV CORP BND 144A
 
F
 
 
3,714,234.75

3,754,847.09

3,725,000.00

3,722,323

32,524.09

3,608.29

—

—

2

2.0999

Mar-Sep
             19,866.67
74,500

9182012
9252015
N4R203EJ2
ING BANK NV SENIOR BND CORP EMTN
 
D
 
 
1,215,988.25

1,144,706.13

700,000.00

1,193,124.97

(48,418.84
)
(32,226.98
)
—

(57,396.44
)
3.875

1.7603

December
0
62,554.93

1022014
12232016
449786AX0
ING BANK NV SENIOR CORP BND 144A
 
F
 
 
748,440

752,167.95

750,000.00

749,378.79

2,789.16

518.62

—

—

1.375

1.4461

Mar-Sep
              3,265.63
10,312.5

2282013
3072016
449786AW2
ING BANK NV SENIOR CORP BND 144A
 
F
 
 
1,120,000

1,125,790.38

1,120,000.00

1,120,000

5,790.38

—

—

—

1.18535

1.1854

M-J-S-D
                6,181.76
55,160.73

2282013
3072016
45687AAL6
INGERSOLL-RAND GLOBAL HOLDING SENIOR CORP BND
 
R
 
 
2,989,816.8

3,004,606.42

2,964,000.00

2,986,948.56

17,657.86

(3,027.61
)
—

—

2.875

2.6712

Jan-Jul
0
53,505.34

6162014
1152019
456873AA6
INGERSOLL-RAND LUXEMBOURG FINA SENIOR CORP BND
 
F
1
 
3,005,460

2,976,152.58

3,000,000.00

3,005,296.4

(29,143.82
)
(163.60
)
—

—

2.625

2.5889

May-Nov
0
13,562.5

10242014
5012020
458140AH3
INTEL CORPORATION CORP BND
 
 
 
 
3,064,200

3,050,454.93

3,000,000.00

3,056,062.67

(5,607.74
)
(8,056.75
)
—

—

1.95

0.8698

Apr-Oct
              8,775.00
19,792.5

10182011
10012016
4581X0BV9
INTER AMERICAN DEV BK CORP BND
 
F
 
 
4,019,960

4,023,240.04

4,000,000.00

4,015,035.93

8,204.11

(9,384.77
)
—

—

1.125

0.9520

Mar-Sep
0
62,656.25

4042014
3152017
458182DT6
INTER-AMERICAN DEV BANK CORP BND
 
E
 
 
2,050,000

2,059,020.04

2,050,000.00

2,050,000

9,020.04

—

—

—

0.2699

0.2699

M-J-S-D
               1,079.85
15,374.58

9052013
9122018
45818WAT3
INTER-AMERICAN DEV BANK CORP BND EMTN
 
E
 
 
6,000,000

5,985,899.94

6,000,000.00

6,000,000

(14,100.06
)
—

—

—

0.2371

0.2371

M-J-S-D
0
7,263.53

6132014
6202018
459200HB0
INTERNATIONAL BUSINESS MACHINE CORP BND
 
 
 
 
4,127,963.5

4,150,871.5

4,150,000.00

4,149,211.29

1,660.21

8,041.59

—

—

0.55

0.7450

Feb-Aug
               9,193.40
22,825

5012012
2062015
459200HC8
INTERNATIONAL BUSINESS MACHINE CORP BND
 
 
 
 
4,823,078.55

4,842,035.93

4,830,000.00

4,829,927.28

12,108.65

1,442.55

—

—

1.25

1.3419

Feb-Aug
              16,488.71
50,710.94

1132014
2062017
459200GU9
INTERNATIONAL BUSINESS MACHINE CORP BND
 
 
 
 
5,098,200

5,071,575

5,000,000.00

5,078,595.75

(7,020.75
)
(19,604.25
)
—

—

2

0.4398

Jan-Jul
0
25,000

6152011
1052016
459200HK0
INTERNATIONAL BUSINESS MACHINE SENIOR CORP BND
 
 
 
 
1,149,710.1

1,142,253.17

1,155,000.00

1,151,675.48

(9,422.31
)
1,042.27

—

—

1.25

1.3450

Feb-Aug
              5,734.89
14,437.5

2052013
2082018
459200HD6
INTERNATIONAL BUSINESS MACHINE SENIOR CORP BND
 
 
 
 
4,542,447

4,556,324.5

4,550,000.00

4,549,086.75

7,237.75

2,530.63

—

—

0.75

0.8061

May-Nov
              4,739.58
34,125

5082012
5112015
45950VCP9
INTERNATIONAL FINANCE CO CORP BND
 
E
 
 
670,884.48

670,891.2

672,000.00

671,301.98

(410.78
)
2,106.07

—

—

0.625

0.6810

May-Nov
               3,221.60
24,026.97

11052013
11152016
G4804LAA4
INTRCONT HOTELS LOCAL BND
 
D
 
 
2,017,729.6

1,855,234.31

1,100,000.00

1,965,721.77

(110,487.46
)
(64,440.57
)
—

(117,857.97
)
6

1.8847

December
0
99,217.56

4032014
12092016
462466AW3
IOWA FIN AUTH REV MUNI BND REV
 
 
 
 
814,490

809,426.1

790,000.00

809,225.02

201.08

(5,264.98
)
—

—

5

2.2955

Jun-Dec
0
9,875

9152006
12012015
46247NAK1
IOWA FIN AUTH REV MUNI BND REV
 
 
 
 
1,081,300

1,071,610

1,000,000.00

1,073,137.69

(1,527.69
)
(8,162.31
)
—

—

5

1.6697

Apr-Oct
0
12,500

3222007
4012017
462466AY9
IOWA FIN AUTH REV MUNI BND REV
 
 
1
 
1,136,968.1

1,129,000.2

1,090,000.00

1,131,636.79

(2,636.59
)
(5,331.31
)
—

—

5

2.9334

Jun-Dec
0
13,625

9152006
12012017
46603BAB5
IVYH_14-9A MEZZANIN ABS_14-9A-B1 144A
 
F
2
 
3,938,672.8

3,927,207.34

4,000,000.00

3,940,458.35

(13,251.01
)
1,785.55

—

—

2.6851

2.9465

J-A-J-O
0
23,569.21

10012014
10182025
BRSKL00G7
JBS USA LLC SENIOR SECURED TERM NOTES
 
 
 
 
1,182,060

1,167,210

1,188,000.00

1,183,132.5

(15,922.5
)
906.98

—

—

—

0.0708

M-J-S-D
0
45,354.99

9272013
9182020
47787BAD7
JDOT_12-A ABS 12-A
 
 
2
 
3,999,112.4

4,006,919.88

4,000,000.00

3,999,764.71

7,155.17

234.70

—

—

0.99

0.9979

Monthly
               1,760.00
39,600

2222012
6152018
477879AC4
JDOT_13-B ABS_13-B A3
 
 
2
 
4,724,355.98

4,734,875.25

4,725,000.00

4,724,692.13

10,183.12

259.81

—

—

0.87

0.8770

Monthly
               1,827.00
41,107.56

8272013
8152017
473240EC9
JEFFERSON CNTY MO SCH DIST NO MUNITAX BND GO
 
 
 
 
312,726

311,148

300,000.00

311,393.37

(245.37
)
(1,332.63
)
—

—

3

1.2152

Mar-Sep
0
2,250

9212012
3012017
476576HQ9
JERSEY CITY N J MUNITAX BND GO
 
 
 
 
2,225,000

2,230,940.75

2,225,000.00

2,225,000

5,940.75

—

—

—

2.525

2.5250

Mar-Sep
0
3,277.24

11212014
9012019
24422ESB6
JOHN DEERE CAPITAL CORP CORP BND MTN
 
 
 
 
5,976,760

5,936,801.16

6,000,000.00

5,981,699.26

(44,898.1
)
3,121.39

—

—

1.3

1.3479

Mar-Sep
             19,680.56
68,250

3062013
3122018
24422ESK6
JOHN DEERE CAPITAL CORP SENIOR CORP BND MTN
 
 
 
 
1,989,880

1,994,719.4

2,000,000.00

1,990,449.51

4,269.89

569.51

—

—

1.95

2.0700

Mar-Sep
0
9,750

2252014
3042019
24422ERN1
JOHN DEERE CAPITAL CORP SENIOR CORP BND MTN
 
 
 
 
4,923,571.75

4,936,928.1

4,925,000.00

4,924,370.88

12,557.22

377.32

—

—

1.4

1.4059

Mar-Sep
            42,355.83
93,500.55

2222012
3152017
24422ESS9
JOHN DEERE CAPITAL CORP SENIOR CORP BND MTN
 
 
 
 
5,043,750

5,023,067.1

5,000,000.00

5,042,195

(19,127.9
)
(1,555.00
)
—

—

2.3

2.1102

Mar-Sep
0
23,575

10232014
9162019
24422ERZ4
JOHN DEERE CAPITAL CORP UNSECURED CORP BND MTN
 
 
 
 
634,326.9

635,480.76

635,000.00

634,760.81

719.95

224.47

—

—

0.75

0.7859

Jan-Jul
               2,103.44
4,762.5

1172013
1222016
478111AA5
JOHNS HOPKINS HEALTH SYSTEM CO SENIOR CORP BND
 
 
 
 
244,815

248,286.09

250,000.00

245,169.52

3,116.57

354.52

—

—

1.424

2.0200

May-Nov
0
890

5012013
5152018
478160AW4
JOHNSON & JOHNSON CORP BND
 
 
 
 
122,861.25

129,994.1

125,000.00

123,712.63

6,281.47

204.62

—

—

2.95

3.1500

Mar-Sep
                1,229.17
3,687.5

8122010
9012020
478160BF0
JOHNSON & JOHNSON SENIOR CORP BND
 
 
 
 
1,997,580

1,994,028.48

2,000,000.00

1,998,446.05

(4,417.57
)
806.13

—

—

0.7

0.7411

May-Nov
                   1,011.11
13,999.99

12022013
11282016
478160BL7
JOHNSON & JOHNSON SENIOR CORP BND
 
 
 
 
2,647,906.5

2,634,793.11

2,650,000.00

2,647,984.41

(13,191.3
)
77.91

—

—

1.125

1.1519

May-Nov
0
3,312.5

11182014
11212017
478160BE3
JOHNSON & JOHNSON SENIOR CORP BND
 
 
 
 
5,000,000

5,003,650.3

5,000,000.00

5,000,000

3,650.3

—

—

—

0.3056

0.3056

F-M-A-N
                1,167.38
15,461.79

12022013
11282016
418097AD3
JORDAN (HASHEMITE KINGDOM OF) AGENCY BND
 
F
 
 
10,000,000

10,050,000

10,000,000.00

10,000,000

50,000

—

—

—

1.945

1.9450

Jun-Dec
0
114,538.9

6232014
6232019
46630JAC3
JP MORGAN CHASE COMMERCIAL MOR CMBS 07-LDPX A3
 
 
2
 
7,801,628.75

7,584,352.24

7,104,247.01

7,614,439.58

(30,087.34
)
(230,455.29
)
—

—

5.42

(0.9819
)
Monthly
0
282,540.85

4082014
1152049
46640LAB8
JPMBB COMMERCIAL MORTGAGE SECU SENIOR CMBS_13-C14 A2
 
 
2
 
2,209,382.81

2,217,211.24

2,140,000.00

2,203,172.63

14,038.61

(6,210.18
)
—

—

3.0193

1.9399

Monthly
0
18,307.03

9162014
8152046
46641WAT4
JPMBB_14-C19 PRELCF SENIOR CMBS_14-C19 A2
 
 
2
 
1,910,646.29

1,921,761.43

1,855,000.00

1,902,469.05

19,292.38

(8,177.24
)
—

—

3.0456

2.2687

Monthly
0
34,525.26

4292014
4152047
46643ABB8
JPMBB_14-C23 SENIOR SENIOR CMBS _14-C23-A2
 
 
2
 
7,209,986

7,285,810

7,000,000.00

7,199,574.26

86,235.74

(10,411.74
)
—

—

3.1813

2.5286

Monthly
0
56,291.32

9172014
9152047
46639EAB7
JPMCC_12-LC9 PRELCF SENIOR CMBS_12-LC9-A2
 
 
2
 
1,131,500.78

1,131,435.09

1,130,000.00

1,131,348.75

86.34

(152.03
)
—

—

1.6769

1.6195

Monthly
0
4,263.52

10072014
12152047
46641BAB9
JPMCC_13-C16 SENIOR CMBS 13-C16
 
 
2
 
4,500,916.02

4,482,732.88

4,325,000.00

4,493,033.33

(10,300.45
)
(7,882.69
)
—

—

3.07

1.8505

Monthly
0
21,023.1

10302014
12152046
46642CBE9
JPMCC_14-C20 SENIOR CMBS 14-C20-A2
 
 
2
 
7,209,986

7,199,080.14

7,000,000.00

7,187,729.58

11,350.56

(22,256.42
)
—

—

2.8716

2.2074

Monthly
0
104,972.94

6122014
7152047
46641KAA1
JPMCC_14-FBLU SENIOR CMBS 14-FBLU A 144A
 
 
2
 
5,004,687.5

5,000,720

5,000,000.00

5,003,318.82

(2,598.82
)
(1,368.68
)
—

—

1.111

1.0739

Monthly
0
39,097.07

4152014
12152028
4.66247E+79
JPMMT
 
 
 
 
65,403.38

59,005.87

65,352.30

65,374.64

(6,368.77
)
(862.32
)
—

—

2.65045

2.6216

Monthly
                     171.41
1,866.08

 
 
46643DAE7
JPMMT_14-OAK4 WHOLE CMO 14-OAK4
 
 
2
 
3,789,439.65

3,812,618.59

3,740,347.59

3,787,328.39

25,290.2

(5,519.20
)
—

—

3.5

3.1650

Monthly
0
30,488.01

10072014
9252044
48127FAA1
JPMORGAN CHASE & CO CAPSEC CORP BND
 
 
1
 
7,439,250

7,350,000

7,500,000.00

7,440,268.26

(90,268.26
)
1,018.26

—

—

5

5.0463

Jan-Jul
0
157,291.68

8132014
12312049
46625HCE8
JPMORGAN CHASE & CO CORP BND
 
 
 
 
182,024.5

176,120

175,000.00

175,235.48

884.52

(1,422.05
)
—

—

4.75

3.9082

Mar-Sep
              2,770.83
8,312.5

10292009
3012015
46625HHX1
JPMORGAN CHASE & CO CORP BND
 
 
 
 
6,416,840

6,160,956

6,000,000.00

6,162,226.88

(1,270.88
)
(150,513.32
)
—

—

3.45

1.0599

Mar-Sep
            80,500.00
225,879.17

3082013
3012016
46625HJA9
JPMORGAN CHASE & CO CORP BND
 
 
 
 
8,363,137.2

8,255,214.86

8,025,000.00

8,226,423.79

28,791.07

(131,201.92
)
—

—

3.15

2.6291

Jan-Jul
          123,585.00
252,787.5

6022014
7052016
46625HJG6
JPMORGAN CHASE & CO CORP BND
 
 
 
 
8,769,467

8,760,380.58

8,775,000.00

8,776,340.7

(15,960.12
)
5,431.15

—

—

1.8

1.6989

Jan-Jul
             15,600.00
46,162.5

11252014
1252018
U4806JAC7
JPMORGAN CHASE & CO CORP BND EMTN
 
O
 
 
1,133,880.69

1,124,331.52

680,000.00

1,131,885.25

(7,553.73
)
(2,161.72
)
—

(7,785.97
)
4.25

1.2873

Jan-Jul
0
3,205.8

12042014
1252017
48127HAA7
JPMORGAN CHASE & CO SENIOR CORP BND
 
 
 
 
2,394,912

2,375,487.86

2,400,000.00

2,395,100.66

(19,612.8
)
188.66

—

—

2.2

2.2451

Apr-Oct
0
10,120

10152014
10222019
46625HJL5
JPMORGAN CHASE & CO SENIOR CORP BND
 
 
 
 
3,227,387.2

3,224,610.71

3,265,000.00

3,236,255.33

(11,644.62
)
8,238.83

—

—

1.625

1.8959

May-Nov
             13,527.68
54,229.87

11262013
5152018
46623EJU4
JPMORGAN CHASE & CO SENIOR CORP BND
 
 
 
 
4,144,978.5

4,149,843.13

4,150,000.00

4,148,051.23

1,791.9

2,269.92

—

—

1.125

1.1662

Feb-Aug
            27,929.69
63,562.5

2212013
2262016
48126EAA5
JPMORGAN CHASE & CO SENIOR CORP BND
 
 
 
 
4,529,045

4,542,618.02

4,500,000.00

4,525,113.42

17,504.6

(17,411.17
)
—

—

2

2.0380

Feb-Aug
            37,777.78
110,083.33

4012014
8152017
46625HJF8
JPMORGAN CHASE & CO SENIOR CORP BND
 
 
 
 
11,620,000

11,711,217.46

11,620,000.00

11,620,000

91,217.46

(17,144.80
)
—

—

1.1336

1.1336

J-A-J-O
             32,081.24
207,975.54

1172013
1252018
46623EJP5
JPMORGAN CHASE & CO SENIOR CORP BND MTN
 
 
 
 
3,372,637.5

3,384,146.25

3,375,000.00

3,374,826.06

9,320.19

800.17

—

—

1.875

1.8991

Mar-Sep
              17,753.91
63,281.26

3142012
3202015
46625HJQ4
JPMORGAN CHASE & CO SUB CORP BND
 
 
1
 
3,187,500

3,131,250

3,000,000.00

3,186,925.81

(55,675.81
)
(574.19
)
—

—

6.75

5.8548

Feb-Aug
0
8,437.51

12112014
12312049
46625HJY7
JPMORGAN CHASE & CO SUB CORP BND
 
 
 
 
6,630,008.75

6,654,642.86

6,665,000.00

6,630,910.56

23,732.3

901.81

—

—

3.875

3.9390

Mar-Sep
0
79,632.86

9032014
9102024
48121CJN7
JPMORGAN CHASE BANK NA CORP BND
 
 
 
 
5,424,650

5,319,784.3

5,000,000.00

5,361,486.61

(41,702.31
)
(63,163.39
)
—

—

5.875

0.8402

Jun-Dec
0
73,437.5

1182012
6132016
BRS2RYU09
JPMORGAN CHASE BANK NA SUB CORP BND
 
O
 
 
1,258,281.25

1,246,058.94

750,000.00

1,255,365.79

(9,306.85
)
(3,174.62
)
—

(8,635.36
)
5.375

1.4883

September
0
4,531.62

12042014
9282016
BRSNZFA49
KARMAN BUYER CORP SENIOR SECURED TERM NOTES
 
 
1
 
1,213,288.4

1,206,446.55

1,216,329.22

1,213,455.01

(7,008.46
)
166.61

—

—

—

0.0356

M-J-S-D
0
11,062.88

11212014
7232021
487684H62
KELLER TEX MUNI BND GO
 
 
1
 
2,451,018.2

2,424,387.7

2,410,000.00

2,423,375.5

1,012.2

(27,642.70
)
—

—

5

0.4508

Feb-Aug
0
30,125

8262005
8152016
487836BF4
KELLOGG COMPANY CORP BND
 
 
 
 
253,590

252,992.06

250,000.00

253,166.03

(173.97
)
(423.97
)
—

—

1.875

1.1902

May-Nov
0
1,171.88

11142011
11172016
487836BH0
KELLOGG COMPANY SENIOR CORP BND
 
 
 
 
3,027,000

3,017,575.62

3,000,000.00

3,024,439.9

(6,864.28
)
(2,560.10
)
—

—

1.75

1.4001

May-Nov
0
13,125

5152012
5172017
49327M2F0
KEY BANK NATIONAL ASSOCIATION SENIOR CORP BND
 
 
 
 
499,780

501,707.31

500,000.00

499,782.56

1,924.75

2.56

—

—

2.5

2.5091

Jun-Dec
0
1,284.72

11182014
12152019
BRSP750D8
KEY SAFETY SYSTEMS INC SENIOR SECURED TERM LOAN
 
 
 
 
1,155,289.7

1,153,414.7

1,159,210.75

1,155,431.11

(2,016.41
)
343.78

—

—

—

0.0483

M-J-S-D
0
(432.17
)
8072014
8292021
494074AE7
KILIMANJARO RE LIMITED CORP BND 144A
 
F
 
 
16,750,000

16,712,982.5

16,750,000.00

16,750,000

(37,017.5
)
—

—

—

3.75

3.7678

J-A-J-O
0
76,770.83

11072014
11252019
49456BAD3
KINDER MORGAN HOLDCO LLC SENIOR CORP BND
 
 
 
 
2,582,053.1

2,564,711.22

2,585,000.00

2,582,145.04

(17,433.82
)
175.99

—

—

2

2.0391

Jun-Dec
0
9,187.5

11242014
12012017
49456BAE1
KINDER MORGAN HOLDCO LLC SENIOR CORP BND
 
 
1
 
7,285,024

7,194,432.15

7,295,000.00

7,285,187.28

(90,755.13
)
163.28

—

—

3.05

3.0939

Jun-Dec
0
16,496.67

12102014
12012019
BRSM2E0G4
KINETIC CONCEPTS INC / KCI USA SENIOR SECURED TERM LOAN
 
 
 
 
245,643.76

243,111.17

245,643.76

245,643.76

(2,532.59
)
—

—

—

—

—

M-J-S-D
0
4,410.94

4302014
11042016
496026KV6
KINGS LOC SCH DIST OHIO MUNITAX BND GO
 
 
 
 
1,250,394.5

1,243,078.3

1,165,000.00

1,245,387.08

(2,308.78
)
(5,007.42
)
—

—

3.75

1.9121

Jun-Dec
0
10,921.88

2212013
12012018
482485AC3
KKR_13-2A ABS 13-2A 144A
 
F
2
 
1,516,800

1,523,590.82

1,600,000.00

1,519,240.14

4,350.68

2,440.14

—

—

2.0306

2.9593

J-A-J-O
0
6,498.14

10162014
1232026
BRSF9BJL7
KLOECKNER HOLDINGS GP S.A. TERM LOAN
 
E
 
 
307,842.5

314,321.33

314,125.00

311,301.49

3,019.84

2,170.85

—

—

—

0.4520

M-J-S-D
0
17,907.56

7162012
12212016
499512S77
KNOX CNTY TENN MUNITAX BND GO
 
 
1
 
1,236,862

1,227,738.6

1,210,000.00

1,225,205.48

2,533.12

(11,656.52
)
—

—

4.85

1.0394

May-Nov
0
14,671.25

5032005
5012016
50048MBM1
KOMMUNALBANKEN AS CORP BND 144A
 
F
 
 
398,900

399,631.99

400,000.00

399,305.03

326.96

363.94

—

—

0.75

0.8430

May-Nov
                  333.33
3,000

11132013
11212016
50048MAT7
KOMMUNALBANKEN AS SENIOR GOVT BND
 
F
 
 
1,096,205

1,094,951

1,100,000.00

1,097,901.54

(2,950.54
)
753.01

—

—

1

1.0710

Mar-Sep
              2,902.78
11,000

9192012
9262017
BRSJZMYE5
KOMMUNEKREDIT CORP BND EMTN
 
F
 
 
9,988,500

10,035,600.3

10,000,000.00

9,993,930.7

41,669.6

3,816.52

—

—

0.875

0.9120

July
             36,701.39
87,543.05

7232013
7292016
50065WAE6
KOREA NATIONAL OIL CORP SENIOR CORP BND 144A
 
F
 
 
5,054,795

5,048,864.1

5,000,000.00

5,051,801.72

(2,937.62
)
(2,993.28
)
—

—

2.75

2.4801

Jan-Jul
0
34,375

1162014
1232019
50076QAY2
KRAFT FOODS GROUP INC CORP BND
 
 
 
 
3,718,985.96

3,788,836.7

3,725,000.00

3,721,623.96

67,212.74

1,338.58

—

—

2.25

2.2886

Jun-Dec
               6,053.13
83,812.5

1162013
6052017
D40859GT7
KREDITANSTALT FUER WIEDERAUFBA CORP BND GOVT GUAR
 
D
 
 
3,325,845.87

3,061,521.62

1,750,000.00

3,117,165.94

(55,644.32
)
(150,274.63
)
—

(66,615.59
)
5.625

1.0755

August
             68,089.13
195,950.03

11132013
8252017
BRSDR1PS2
KREDITANSTALT FUER WIEDERAUFBA CORP BND GOVT GUAR
 
D
 
 
3,183,652.29

3,159,223.56

2,000,000.00

3,174,600.16

(15,376.6
)
(9,761.18
)
—

(52,559.6
)
1.75

1.6341

January
            65,308.98
69,609.61

3202012
1222016
D4085B7T2
KREDITANSTALT FUER WIEDERAUFBA CORP BND GOVT GUAR
 
D
 
 
4,941,552.5

4,654,718.88

2,840,000.00

4,704,407.86

(49,688.98
)
(129,823.06
)
—

(108,835.7
)
3.75

1.4519

September
            66,729.87
210,048.08

11132013
9072016
500769GB4
KREDITANSTALT FUER WIEDERAUFBA SENIOR CORP BND
 
F
 
 
3,485,930

3,491,110.07

3,500,000.00

3,489,099.33

2,010.74

3,919.86

—

—

0.75

0.8928

Mar-Sep
0
20,947.91

5062014
3172017
500769FG4
KREDITANSTALT FUER WIEDERAUFBA SENIOR CORP BND
 
F
 
 
6,859,842

6,867,087.21

6,900,000.00

6,874,579.34

(7,492.13
)
12,207.56

—

—

0.875

1.0150

Mar-Sep
             27,912.50
79,114.59

12052014
9052017
500769FP4
KREDITANSTALT FUER WIEDERAUFBA SENIOR CORP BND
 
F
 
 
9,967,900

10,005,300

10,000,000.00

9,986,699.2

18,600.8

10,531.26

—

—

0.5

0.6031

Apr-Oct
             15,000.00
58,402.78

2202013
4192016
501044CW9
KROGER CO (THE) SENIOR CORP BND
 
 
1
 
1,001,180

998,616.18

1,000,000.00

1,001,117.81

(2,501.63
)
(62.19
)
—

—

2.3

2.2673

Jan-Jul
0
5,750

1162014
1152019
491552ZL2
KY ST TPK AUTH ECONOMIC MUNI BND REV
 
 
1
 
2,344,460

2,361,440

2,000,000.00

2,335,714.84

25,725.16

(8,745.16
)
—

—

5

2.7700

Jan-Jul
0
25,000

9132013
7012028
502413BC0
L-3 COMMUNICATIONS CORP SENIOR CORP BND
 
 
 
 
2,738,017.4

2,708,054.94

2,740,000.00

2,738,402.73

(30,347.79
)
385.33

—

—

1.5

1.5248

May-Nov
0
24,317.5

5132014
5282017
50540RAH5
LABORATORY CORP OF AMER HLDGS CORP BND
 
 
 
 
1,032,190

1,022,968

1,000,000.00

1,027,182.09

(4,214.09
)
(5,007.91
)
—

—

3.125

1.1199

May-Nov
0
7,812.5

11162010
5152016
515110BL7
LANDWIRTSCHAFTLICHE RENTENBANK SENIOR CORP BND
 
F
 
 
4,966,950

5,056,850.45

5,000,000.00

4,968,054.74

88,795.71

1,104.74

—

—

2.25

2.3530

Apr-Oct
0
28,125

9242014
10012021
516408HL8
LANSING MICH CMNTY COLLEGE MUNI BND GO
 
 
1
 
3,393,450

3,415,500

3,000,000.00

3,381,696.36

33,803.64

(11,753.64
)
—

—

5

3.0500

May-Nov
0
37,500

12132013
5012029
52109RBM2
LBUBS CMBS 07-C7
 
 
2
 
11,038,519

10,734,097.88

9,770,261.77

10,772,496.51

(38,398.63
)
(288,341.01
)
—

—

5.866

(1.5387
)
Monthly
0
423,942.37

6022014
9152045
52206AAB6
LEASEPLAN CORPORATION NV CORP BND 144A
 
F
 
 
4,981,330.69

4,935,106.3

5,000,000.00

4,983,993.04

(48,886.74
)
4,530.53

—

—

2.5

2.5998

May-Nov
             15,625.00
125,000

6022014
5162018
52349HAM5
LEE CNTY FLA HSG FIN AUTH SING MUNITAX BND REV
 
 
1
 
180,651.6

180,649.8

180,000.00

180,000

649.8

(742.10
)
—

—

7.02

7.0200

Jun-Dec
0
3,451.5

6152001
12012017
52349HAN3
LEE CNTY FLA HSG FIN AUTH SING MUNITAX BND REV
 
 
1
 
200,552

200,590

200,000.00

200,000

590

(552.00
)
—

—

7.27

7.2700

Jun-Dec
0
3,635

6152001
12012021
854403AC6
LELAND STANFORD JR UNIV CALIF MUNI BND REV
 
 
 
 
4,157,579

4,127,420.11

3,700,000.00

4,133,965.05

(6,544.94
)
(23,613.95
)
—

—

4.75

1.9151

May-Nov
0
42,961.11

9302014
5012019
BRSLAZMP6
LESLIES POOLMART, INC. SENIOR SECURED TERM NOTES
 
 
 
 
2,266,707.8

2,220,899.86

2,274,929.43

2,268,219.91

(47,320.05
)
1,493.80

—

—

—

0.0608

M-J-S-D
0
24,771.44

12022013
10162019
BRSK5UM00
LEVEL 3 FINANCING INC SENIOR SECURED TERM NOTES
 
 
2
 
962,682.64

964,548.6

970,000.00

963,617.57

931.03

934.93

—

—

—

0.1421

M-J-S-D
0
19,453.14

4302014
8012019
BRSHY9H24
LINDE AG SENIOR CORP BND EMTN
 
F
 
 
2,990,820

2,981,250

3,000,000.00

2,993,876.94

(12,626.94
)
1,799.13

—

—

1.5

1.5580

April
             31,625.00
45,000

4102013
4182018
BRSK7RBA5
LIVE NATION ENTERTAINMENT INC SENIOR SECURED TERM NOTES
 
 
 
 
2,024,375

2,009,192.19

2,024,375.00

2,024,375

(15,182.81
)
—

—

—

—

—

F-M-A-N
0
72,290.11

8262013
8172020
G4S15PP89
LLOYDS BANK PLC CORP BND EMTN
 
D
1
 
1,145,701.13

1,131,547.87

630,000.00

1,140,724.11

(9,176.24
)
(5,363.85
)
—

(7,846.77
)
10.75

2.5929

December
0
7,555.17

12042014
12162021
BRSLUXX69
LLOYDS BANK PLC CORP BND EMTN
 
D
 
 
1,400,039.37

1,335,844.79

855,000.00

1,400,700.04

(64,855.25
)
811.87

—

(68,886.19
)
0.80438

0.8543

J-A-J-O
0
13,221.37

1072014
1162017
G5577Y5Y2
LLOYDS TSB BANK PLC - LT GTD SENIOR LOCAL BND EMTN
 
D
 
 
3,206,722.93

3,162,782.7

2,000,000.00

3,213,698.65

(50,915.95
)
(183.45
)
—

(99,606.77
)
1.5

1.5564

May
             39,212.90
61,029.76

11132013
5022017
539830AX7
LOCKHEED MARTIN CORPORATION CORP BND
 
 
 
 
1,022,350

1,017,298.74

1,000,000.00

1,019,441.54

(2,142.8
)
(2,908.46
)
—

—

2.125

0.9700

Mar-Sep
0
5,312.5

9062011
9152016
G29330DW7
LONDON POWER NETWORKS PLC LOCAL BND
 
D
 
 
2,638,967.81

2,537,968.46

1,513,000.00

2,606,389.38

(68,420.92
)
(45,307.28
)
—

(101,749.83
)
5.375

1.9608

November
              6,597.68
106,315.21

11272014
11112016
546398PF9
LOUISIANA PUB FACS AUTH REV MUNI BND REV
 
 
1
 
1,443,685.5

1,437,282.45

1,395,000.00

1,436,871.67

410.78

(6,813.83
)
—

—

5

2.9399

Jan-Jul
0
17,437.5

10202006
7012018
546456BD5
LOUISIANA ST CITIZENS PPTY INS MUNI BND REV
 
 
1
 
2,235,513

2,222,724

2,100,000.00

2,215,015.63

7,708.37

(20,497.37
)
—

—

5

1.0880

Jun-Dec
0
26,250

8282007
6012021
546850AU2
LOUISVILLE KY REGL ARPT AUTH A MUNI BND REV
 
 
 
 
1,116,550

1,104,940

1,000,000.00

1,105,988.09

(1,048.09
)
(10,561.91
)
—

—

5.25

0.9499

Jan-Jul
0
13,125

7112008
7012017
548661CS4
LOWES COMPANIES INC CORP BND
 
 
1
 
5,942,665

5,901,348.28

5,825,000.00

5,922,095.87

(20,747.59
)
(20,569.13
)
—

—

2.125

0.7300

Apr-Oct
0
30,945.32

11232011
4152016
5491873Z3
LUBBOCK TEX MUNI BND GO
 
 
1
 
1,070,750

1,065,460

1,000,000.00

1,063,319.68

2,140.32

(7,430.32
)
—

—

4.25

1.2182

Feb-Aug
0
10,625

1122007
2152020
502441AA6
LVMH MOET HENNESSY LOUIS VUITT SENIOR CORP BND 144A
 
F
 
 
3,041,246.5

3,023,824.21

3,050,000.00

3,045,545.94

(21,721.73
)
1,735.83

—

—

1.625

1.6851

Jun-Dec
                  275.34
49,562.52

6262012
6292017
54008PAA1
LWCLO_14-1A ABS _14-1A-A1 144A
 
 
2
 
498,500

498,567.93

500,000.00

498,500

67.93

—

—

—

1.60285

1.6706

J-A-J-O
0
—

12302014
1252024
575718AC5
MA INSTITUTE OF TECH CORP BND
 
 
 
 
1,018,330

1,004,555.16

1,000,000.00

1,017,623.27

(13,068.11
)
(706.73
)
—

—

2.051

1.6431

Jan-Jul
0
3,817.13

10212014
7012019
BRSPBCHQ1
MACDERMID INCORPORATED SENIOR SECURED TERM NOTES
 
 
1
 
289,538.41

287,792.45

290,993.38

289,538.41

(1,745.96
)
—

—

—

—

0.0911

M-J-S-D
0
—

8042014
6072020
BRSJFJJX9
MACDERMID INCORPORATED SENIOR SECURED TERM NOTES
 
 
2
 
1,949,291.92

1,920,089.8

1,954,906.69

1,950,220.49

(30,130.69
)
681.63

—

—

—

0.0435

F-M-A-N
0
74,650.28

8042014
6072020
55608PAA2
MACQUARIE BANK LTD CORP BND 144A
 
F
 
 
5,996,040

6,423,847.02

6,000,000.00

5,998,184.47

425,662.55

784.61

—

—

5

5.0151

Feb-Aug
          107,500.00
300,000

2142012
2222017
56040PAT5
MAINE EDL LN AUTH MUNI BND REV
 
 
 
 
2,757,620.25

2,728,737

2,475,000.00

2,741,281.2

(12,544.2
)
(26,616.15
)
—

—

5.5

2.5919

Jun-Dec
0
34,565.97

9032014
12012018
560427KM7
MAINE HEALTH & HIGHER EDL FACS MUNI BND REV
 
 
1
 
175,719.25

175,715.75

175,000.00

175,000

715.75

(719.25
)
—

—

5.25

3.5632

Jan-Jul
0
2,296.87

7312010
7012021
563469TU9
MANITOBA PROVINCE OF CORP BND
 
A
 
 
10,161,200

10,049,290.5

10,000,000.00

10,095,936.69

(46,646.19
)
(41,994.74
)
—

—

1.3

0.8690

Apr-Oct
             31,777.78
130,000

6062013
4032017
55279HAF7
MANUFACTURERS AND TRADERS TRUS SENIOR CORP BND
 
 
1
 
7,797,036

7,768,832.61

7,800,000.00

7,797,458.04

(28,625.43
)
422.04

—

—

1.4

1.4130

Jan-Jul
0
47,320.01

7222014
7252017
570850KA4
MARLBORO TWP N J BRD ED MUNITAX BND GO
 
 
 
 
1,492,545

1,483,185

1,500,000.00

1,493,038.38

(9,853.38
)
493.38

—

—

1.526

1.6616

Jan-Jul
0
5,722.5

3062013
7152018
574192L81
MARYLAND ST MUNI BND GO
 
 
1
 
1,096,404.5

1,082,268.5

950,000.00

1,086,772.38

(4,503.88
)
(9,632.12
)
—

—

5

0.8599

Jan-Jul
0
11,875

9302008
7152023
575577KX8
MASSACHUSETTS BAY TRANSN AUTH MUNI BND REV
 
 
1
 
865,012.5

854,040

750,000.00

857,387.84

(3,347.84
)
(7,624.66
)
—

—

5

0.8400

Jan-Jul
0
9,375

11072008
7012019
57587AAY4
MASSACHUSETTS ST HSG FIN AGY MUNI BND REV
 
 
1
 
3,691,136.65

3,728,747.15

3,515,000.00

3,687,055.61

41,691.54

(4,081.04
)
—

—

4

3.3600

Jun-Dec
0
35,150

2262014
12012029
57587ABR8
MASSACHUSETTS ST HSG FIN AGY MUNITAX BND REV
 
 
 
 
497,465

501,590

500,000.00

497,591.37

3,998.63

126.37

—

—

2.608

2.7134

Jun-Dec
0
3,260

2262014
12012019
57583PEM7
MASSACHUSETTS ST MUNITAX BND REV
 
 
 
 
4,625,000

4,737,202.5

4,625,000.00

4,625,000

112,202.5

—

—

—

2.983

2.9830

Jun-Dec
                6,131.72
137,963.76

12152010
12152015
576049CK4
MASSACHUSETTS ST WTR RES AUTH MUNI BND REV
 
 
2
 
2,481,766.7

2,453,186.9

2,185,000.00

2,467,349.08

(14,162.18
)
(14,417.62
)
—

—

6.5

3.4026

Jan-Jul
0
35,506.25

10292008
7152019
55274QAD7
MASTR_06-2 RMBS_06-2-1A4
 
 
2
 
817,990.14

790,513.85

847,693.31

817,990.14

(27,476.29
)
(6,054.69
)
—

—

6

6.9961

Monthly
0
12,868.75

12312009
6252036
577081AZ5
MATTEL INC SENIOR CORP BND
 
 
 
 
4,982,650

4,967,989.35

5,000,000.00

4,983,617.22

(15,627.87
)
967.22

—

—

2.35

2.4299

May-Nov
0
29,375

9082014
5062019
57772KAC5
MAXIM INTEG PROD INC SENIOR CORP BND
 
 
 
 
502,925

500,801.09

500,000.00

502,758.42

(1,957.33
)
(166.58
)
—

—

2.5

2.3500

May-Nov
0
3,125

11142013
11152018
58768EAF6
MBALT_14-A ABS _14-A-A4
 
 
2
 
7,999,290.4

7,998,873.92

8,000,000.00

7,999,495.79

(621.87
)
205.39

—

—

0.9

0.9053

Monthly
0
52,400

4012014
12162019
58768WAC3
MBART_13-1 ABS 13-1
 
 
2
 
2,604,904.14

2,608,673.02

2,605,000.00

2,604,948.43

3,724.59

30.99

—

—

0.78

0.7825

Monthly
                  903.07
20,319

7232013
8152017
BRSFHP193
MCC IOWA LLC TERM LOAN
 
 
 
 
2,859,187.5

2,878,747.28

2,932,500.00

2,881,980.26

(3,232.98
)
10,508.90

—

—

—

0.3394

F-M-A-N
0
118,049.08

8152012
1202020
56577AAC6
MCLO_14-7A ABS _14-7A-A2 144A
 
F
2
 
3,976,000

3,999,572.14

4,000,000.00

3,976,350.17

23,221.97

350.17

—

—

2.882

2.9871

J-A-J-O
0
13,449.33

10302014
10282025
BRSGV88K1
MEDASSETS INC SENIOR SECURED TERM LOAN
 
 
2
 
216,694.41

217,101.66

217,783.32

217,011.13

90.53

223.03

—

—

—

0.0708

M-J-S-D
0
9,046.15

12112012
12132019
BRSNN0P72
MEDIACOM BROADBAND GROUP SENIOR SECURED TERM NOTES
 
 
1
 
529,340

520,493.79

530,666.67

529,428.13

(8,934.34
)
94.79

—

—

—

0.0355

M-J-S-D
0
8,653.87

6182014
6302021
BRSJD2Z02
MEDIACOM BROADBAND LLC TL E SENIOR SECURED TERM LOAN
 
 
2
 
3,678,975

3,573,204.47

3,678,975.00

3,678,975

(105,770.53
)
—

—

—

—

—

F-M-A-N
0
124,297.75

5232013
1292021
BRSM16718
MEDIACOM LLC SENIOR SECURED TERM NOTES
 
 
 
 
2,371,094.91

2,332,468.05

2,377,037.50

2,372,166.44

(39,698.39
)
1,116.44

—

—

—

0.0623

M-J-S-D
0
45,180.6

1312014
3312018
584853LJ2
MEDINA OHIO CITY SCH DIST MUNITAX BND GO
 
 
 
 
1,391,684.45

1,377,753.65

1,235,000.00

1,382,470.87

(4,717.22
)
(9,213.58
)
—

—

5

1.8254

Jun-Dec
0
15,437.5

1242013
12012018
585055AU0
MEDTRONIC INC CORP BND
 
 
 
 
3,611,445

3,568,890.5

3,500,000.00

3,580,396.54

(11,506.04
)
(23,649.50
)
—

—

2.625

0.8329

Mar-Sep
              3,864.58
32,812.5

2252013
3152016
585055BA3
MEDTRONIC INC SENIOR CORP BND
 
 
 
 
3,444,825

3,406,116.69

3,450,000.00

3,446,609.07

(40,492.38
)
1,013.70

—

—

1.375

1.4061

Apr-Oct
              11,859.39
47,437.5

3192013
4012018
585055BB1
MEDTRONIC INC SENIOR CORP BND
 
 
 
 
3,496,395

3,476,002.91

3,500,000.00

3,497,400.91

(21,398
)
1,005.91

—

—

0.875

0.9099

Feb-Aug
0
25,861.11

2202014
2272017
585055BF2
MEDTRONIC INC SENIOR CORP BND 144A
 
 
 
 
2,996,970

3,016,684.35

3,000,000.00

2,996,990.18

19,694.17

20.18

—

—

2.5

2.5210

Mar-Sep
0
4,375

12012014
3152020
585055BK1
MEDTRONIC INC SENIOR CORP BND 144A
 
 
 
 
7,466,147.5

7,442,645.88

7,475,000.00

7,466,298.01

(23,652.13
)
150.51

—

—

1.5

1.5299

Mar-Sep
0
6,540.65

12022014
3152018
58933YAB1
MERCK & CO INC CORP BND
 
 
 
 
2,041,340

2,033,536

2,000,000.00

2,033,258.33

277.67

(8,081.67
)
—

—

2.25

0.6402

Jan-Jul
0
11,250

12072010
1152016
58933YAH8
MERCK & CO INC SENIOR CORP BND
 
 
 
 
752,364

751,267.55

750,000.00

751,781.48

(513.93
)
(521.29
)
—

—

0.5921

0.5221

F-M-A-N
                  548.58
4,501.84

11142013
5182018
58933YAD7
MERCK & CO INC SENIOR CORP BND
 
 
 
 
861,049.2

858,490.7

860,000.00

860,587.84

(2,097.14
)
(273.80
)
—

—

0.7

0.6501

May-Nov
              2,658.83
17,658.66

11262013
5182016
58933YAG0
MERCK & CO INC SENIOR CORP BND
 
 
 
 
6,185,321.45

6,148,138.99

6,205,000.00

6,189,935.39

(41,796.4
)
3,036.36

—

—

1.3

1.3480

May-Nov
              8,858.60
75,790

5152013
5182018
59022CCS0
MERRILL LYNCH & CO. INC. CORP BND
 
 
 
 
5,552,250

5,405,801.4

5,000,000.00

5,456,461.5

(50,660.1
)
(95,788.50
)
—

—

5.7

1.6939

May-Nov
0
142,500

6262014
5022017
59261EAE9
METROPOLITAN TRANS AUTH N Y MUNITAX BND REV
 
 
 
 
16,629,940

16,650,659.3

16,645,000.00

16,630,738.56

19,920.74

798.56

—

—

1.848

1.9034

Jan-Jul
0
118,136.75

9232014
7012019
BRSGGZLV9
MGM RESORTS INTERNATIONAL SENIOR SECURED TERM LOAN
 
 
2
 
1,038,481.48

1,019,240.89

1,043,700.00

1,039,967.47

(20,726.58
)
795.15

—

—

—

0.0711

M-J-S-D
0
37,272.14

12132012
12202019
59334DHN7
MIAMI DADE CNTY FLA MUNI BND REV
 
 
1
 
1,146,570

1,175,580

1,000,000.00

1,142,935.75

32,644.25

(3,634.25
)
—

—

5

3.1200

Apr-Oct
0
12,500

9172013
10012028
59333AJR3
MIAMI-DADE CNTY FLA EDL FACS A MUNI BND REV
 
 
1
 
1,601,595

1,587,690

1,500,000.00

1,584,382.02

3,307.98

(17,212.98
)
—

—

5.25

0.7109

Apr-Oct
0
19,687.5

5012008
4012021
BRSH5BNL2
MICHAELS STORES INC SENIOR SECURED TERM LOAN
 
 
2
 
4,476,626.02

4,399,202.77

4,476,626.02

4,476,626.02

(77,423.25
)
—

—

—

—

—

J-A-J-O
0
207,623.85

1242013
1282020
BRSNLD7H4
MICHAELS STORES INC SENIOR SECURED TERM NOTES
 
 
 
 
530,603.36

525,715.94

533,269.71

530,831.72

(5,115.78
)
235.04

—

—

—

0.0890

M-J-S-D
0
4,930.25

6062014
1282020
59455THZ8
MICHIGAN MUN BD AUTH REV MUNI BND REV
 
 
1
 
6,235,352

6,164,964.4

5,960,000.00

6,165,255.04

(290.64
)
(70,096.96
)
—

—

5

0.3796

Apr-Oct
0
74,500

3062008
10012024
5946142G3
MICHIGAN ST BLDG AUTH MUNI BND REV
 
 
 
 
3,419,970

3,375,030

3,000,000.00

3,385,013.48

(9,983.48
)
(34,956.52
)
—

—

5.5

0.8296

Apr-Oct
0
41,250

11072008
10152017
5946103D7
MICHIGAN STATE OF MUNI BND GO
 
 
1
 
2,308,400

2,308,000

2,000,000.00

2,289,672.56

18,327.44

(18,727.44
)
—

—

5.25

1.3575

May-Nov
0
26,250

10292008
11012022
BRSMTEQ36
MICROSEMI CORPORATION SENIOR SECURED TERM NOTES
 
 
1
 
1,434,164.2

1,418,853.1

1,440,913.49

1,435,025.45

(16,172.35
)
1,532.69

—

—

—

0.0786

M-J-S-D
0
53,565.78

4012014
2192020
594918AK0
MICROSOFT CORP CORP BND
 
 
 
 
1,028,220

1,021,652

1,000,000.00

1,022,977.31

(1,325.31
)
(5,242.69
)
—

—

2.5

0.4101

Feb-Aug
0
6,250

2032011
2082016
594918AV6
MICROSOFT CORP SENIOR CORP BND
 
 
 
 
646,249.5

650,219.89

650,000.00

647,026.16

3,193.73

2,404.34

—

—

1.625

1.7460

Jun-Dec
              9,490.45
35,782.5

12032013
12062018
594918AS3
MICROSOFT CORP SENIOR CORP BND
 
 
 
 
2,093,680.15

2,066,715.13

2,095,000.00

2,094,112.69

(27,397.56
)
714.28

—

—

1

1.0130

May-Nov
              11,883.34
57,593.61

4252013
5012018
595620AJ4
MIDAMERICAN ENERGY CO SECURED CORP BND
 
 
1
 
839,529.6

852,026.04

840,000.00

839,633.47

12,392.57

81.40

—

—

2.4

2.4110

Mar-Sep
               5,712.00
20,160

9122013
3152019
602245ZF2
MILWAUKEE CNTY WIS ARPT REV MUNITAX BND GO
 
 
 
 
2,044,940

2,021,240

2,000,000.00

2,042,293.36

(21,053.36
)
(2,646.64
)
—

—

2.126

1.5669

Jun-Dec
0
10,630

6212013
12012018
603827MT0
MINNEAPOLIS & ST PAUL MINN MET MUNI BND REV
 
 
1
 
2,182,440

2,168,840

2,000,000.00

2,162,177.18

6,662.82

(20,262.82
)
—

—

5

0.8999

Jan-Jul
0
25,000

8282007
1012023
605417BX1
MISS PWR CO SENIOR CORP BND
 
 
 
 
511,665

509,712.98

500,000.00

510,217.18

(504.2
)
(1,447.82
)
—

—

2.35

1.1898

Apr-Oct
0
2,937.5

10112011
10152016
BRSKQD5K0
MISSION BROADCASTING INC. SECURED TERM LOAN
 
 
 
 
1,437,210.45

1,427,027.82

1,437,210.45

1,437,210.45

(10,182.63
)
—

—

—

—

—

M-J-S-D
0
46,921.75

12172013
10012020
60534TGQ2
MISSISSIPPI DEV BK MUNI BND REV
 
 
1
 
2,274,260

2,290,240

2,000,000.00

2,265,717.03

24,522.97

(8,542.97
)
—

—

5

2.8899

Jan-Jul
0
25,000

9112013
1012027
60636YGX3
MISSOURI ST HSG DEV COMMN MUNITAX BND REV
 
 
 
 
351,792

351,288

350,000.00

351,631.83

(343.83
)
(160.17
)
—

—

1.45

1.2600

Jan-Jul
0
1,268.75

10172012
7012017
60636YGY1
MISSOURI ST HSG DEV COMMN MUNITAX BND REV
 
 
 
 
552,601.5

550,478.5

550,000.00

552,408.15

(1,929.65
)
(193.35
)
—

—

1.7

1.5501

Jan-Jul
0
2,337.5

10172012
1012018
60687VAE5
MLCFC CMBS_06-3 A4
 
 
2
 
5,818,772.86

5,729,565.48

5,439,323.25

5,733,728.58

(4,163.1
)
(89,586.04
)
—

—

5.414

(1.9460
)
Monthly
0
109,300.32

8142014
7122046
60687VAF2
MLCFC_06-3 PAC SENIOR CMBS 06-3 A1A
 
 
2
 
2,512,640.33

2,489,036.32

2,347,062.43

2,488,209.64

826.68

(24,939.75
)
—

—

5.409

(2.2780
)
Monthly
0
32,124.67

9252014
7122046
607167DZ3
MOBILE ALA INDL DEV BRD POLLUT MUNI BND REV
 
 
1
 
714,777

711,417

700,000.00

713,270.09

(1,853.09
)
(1,506.91
)
—

—

1.65

0.7861

Jun-Dec
0
2,887.5

3142012
6012034
BRSHTM755
MONEYGRAM INTL INC SENIOR SEC TERM NOTES
 
 
1
 
2,594,719.08

2,427,394.25

2,622,792.27

2,597,089.92

(169,695.67
)
2,370.84

—

—

—

0.1846

M-J-S-D
0
78,632.73

7152014
3272020
611662BM8
MONSANTO COMPANY CORP BND
 
 
 
 
1,030,280

1,022,632

1,000,000.00

1,025,274.72

(2,642.72
)
(5,005.28
)
—

—

2.75

0.7703

Apr-Oct
0
6,875

4122011
4152016
61166WAS0
MONSANTO COMPANY SENIOR CORP BND
 
 
 
 
2,999,700

2,983,123.17

3,000,000.00

2,999,739.87

(16,616.7
)
39.87

—

—

2.125

2.1270

Jan-Jul
0
31,875

6262014
7152019
61166WAT8
MONSANTO COMPANY SENIOR CORP BND
 
 
 
 
2,994,450

2,979,433.83

3,000,000.00

2,994,829.14

(15,395.31
)
379.14

—

—

2.75

2.7790

Jan-Jul
0
41,250

6262014
7152021
61762TAB2
MORGAN STANLEY BAML TRUST MSBA SUB CMBS 13-C11 A2
 
 
2
 
8,656,964.85

8,623,201.75

8,300,000.00

8,643,119.52

(19,917.77
)
(13,845.33
)
—

—

3.085

1.8349

Monthly
0
36,274.48

11052014
8152046
61754JAF5
MORGAN STANLEY CAPITAL I CMBS 07-T27 A4
 
 
2
 
4,242,893.56

4,109,162.89

3,775,000.00

4,099,194.19

9,968.7

(143,699.37
)
—

—

5.65072

0.2497

Monthly
0
153,375.44

4112014
6112042
61761JQK8
MORGAN STANLEY CAPSEC CORP BND
 
 
1
 
7,042,700

7,017,500

7,000,000.00

7,039,295.1

(21,795.1
)
(3,404.90
)
—

—

5.45

5.3091

Jan-Jul
0
172,734.71

7152014
12292049
U6176TBG2
MORGAN STANLEY CORP BND
 
O
 
 
1,198,165.7

1,187,111.79

700,000.00

1,194,929.59

(7,817.8
)
(3,552.54
)
—

(9,088.22
)
5.75

1.5643

February
0
5,135.49

12032014
2142017
6174467N3
MORGAN STANLEY CORP BND
 
 
 
 
2,400,983.75

2,415,945

2,375,000.00

2,378,308.92

37,636.08

(5,740.01
)
—

—

4

3.7471

Jan-Jul
             41,430.56
95,000

10152010
7242015
U6176MAW3
MORGAN STANLEY CORP BND MTN
 
O
 
 
2,090,454.05

1,903,409.73

1,180,000.00

2,030,788.7

(127,378.97
)
(73,561.71
)
—

(130,067.02
)
5.125

1.4448

November
0
104,916.15

2202014
11302015
61744YAD0
MORGAN STANLEY CORP BND MTN
 
 
 
 
2,272,680

2,221,566.46

2,000,000.00

2,237,442.66

(15,876.2
)
(35,237.34
)
—

—

5.95

1.8489

Jun-Dec
0
54,211.11

7142014
12282017
61747YDT9
MORGAN STANLEY SENIOR CORP BND
 
 
 
 
2,192,640

2,132,166.9

2,000,000.00

2,106,761.79

25,405.11

(46,363.57
)
—

—

4.75

2.2710

Mar-Sep
             26,125.00
95,000

2132013
3222017
6174467U7
MORGAN STANLEY SENIOR CORP BND
 
 
 
 
2,997,870

2,998,911.66

3,000,000.00

2,998,563.66

348

832.12

—

—

2.125

2.1400

Apr-Oct
              31,166.67
128,680.55

4222013
4252018
61746BDR4
MORGAN STANLEY SENIOR CORP BND
 
 
 
 
3,484,775

3,484,817.81

3,500,000.00

3,486,042.7

(1,224.89
)
1,458.86

—

—

2.375

2.4680

Jan-Jul
0
41,925.35

7172014
7232019
61761JVN6
MORGAN STANLEY SENIOR CORP BND
 
 
 
 
4,183,000

4,184,045.84

4,183,000.00

4,183,000

1,045.84

—

—

—

1.007098

1.0071

J-A-J-O
0
3,159.51

12022014
1052018
61761JVM8
MORGAN STANLEY SENIOR CORP BND
 
 
 
 
4,859,745.8

4,857,239.21

4,865,000.00

4,859,838.77

(2,599.56
)
92.97

—

—

1.875

1.9109

Jan-Jul
0
6,588.02

12022014
1052018
6174467X1
MORGAN STANLEY SUB CORP BND
 
 
 
 
5,373,150

5,313,460.91

5,000,000.00

5,360,391.68

(46,930.77
)
(12,758.32
)
—

—

5

4.1700

May-Nov
0
124,305.56

6272014
11242025
6174824M3
MORGAN STANLEY SUB CORP BND
 
 
 
 
5,929,440

5,861,042

5,500,000.00

5,913,419.26

(52,377.26
)
(16,020.74
)
—

—

4.875

3.7580

May-Nov
0
96,078.12

8192014
11012022
BRSMMQ6V6
MPH ACQUISITION HOLDINGS LLC SENIOR SECURED TERM LOAN
 
 
2
 
942,789.24

921,759.6

945,152.11

943,044

(21,284.4
)
491.06

—

—

—

0.0352

M-J-S-D
0
30,164.9

3212014
3312021
61746REV9
MSAC ABS 04-H1
 
 
2
 
941,018.19

911,667.12

939,550.15

940,434.49

(28,767.37
)
(52.13
)
—

—

0.9095

0.8991

Monthly
                    141.65
8,525.14

11252014
1252034
61763MAB6
MSBAM_14-C16 SENIOR CMBS_14-C16 A2
 
 
2
 
1,905,424.71

1,891,828.54

1,850,000.00

1,899,410.3

(7,581.76
)
(6,014.41
)
—

—

2.849

2.1878

Monthly
0
28,256.55

6052014
6152047
61763UAV4
MSBAM_14-C17 SUPSEN SENIOR CMBS 14-C17-A2
 
 
2
 
4,067,425.78

4,041,959.96

3,900,000.00

4,062,783.29

(20,823.33
)
(4,642.49
)
—

—

3.119

2.2922

Monthly
0
19,597.72

10292014
8152047
61764PBR2
MSBAM_14-C19 PRELCF SENIOR CMBS_14-C19-A2
 
 
2
 
5,011,792.66

5,019,133.02

4,866,000.00

5,011,526.06

7,606.96

(266.60
)
—

—

3.101

2.8659

Monthly
0
5,029.83

12092014
12152047
61751XAE0
MSC CMBS 07-T25 A3
 
 
2
 
5,809,301.84

5,632,633.4

5,276,471.56

5,642,472.83

(9,839.43
)
(176,273.74
)
—

—

5.514

(1.8446
)
Monthly
0
183,831.25

5222014
11122049
61751NAF9
MSC_07-HQ11 CMBS 07-HQ11 A4
 
 
2
 
5,796,591.61

5,628,981.71

5,277,500.00

5,678,676.2

(49,694.49
)
(117,915.41
)
—

—

5.447

0.9431

Monthly
0
169,285.26

5282014
2122044
61745MVW0
MSM_04-1 MSM_04-1
 
 
2
 
245,323.58

244,460.48

239,946.37

244,828.04

(367.56
)
(1,276.78
)
—

—

5

3.7273

Monthly
0
3,141.67

3092006
11252018
BRSQGX3A8
MUELLER WATER PRODUCTS INC SENIOR SECURED TERM NOTES
 
 
1
 
982,716.05

988,686.42

987,654.32

982,716.05

5,970.37

—

—

—

—

0.0730

M-J-S-D
0
—

11192014
11252021
628530AL1
MYLAN INC/PA CORP BND 144A
 
 
1
 
3,206,500

2,952,812.5

2,750,000.00

2,948,094.04

4,718.46

(219,568.58
)
—

—

7.875

1.6848

Jan-Jul
         208,796.88
289,406.25

5302013
7152020
62983QAD5
NAKAMA RE LTD UNSEC CORP BND 144A
 
F
 
 
1,000,000

1,002,020

1,000,000.00

1,000,000

2,020

—

—

—

2.125011

2.1306

J-A-J-O
0
767.37

12122014
1162019
62983QAE3
NAKAMA RE LTD UNSEC CORP BND 144A
 
F
 
 
1,250,000

1,254,237.5

1,250,000.00

1,250,000

4,237.5

—

—

—

2.875011

2.8852

J-A-J-O
0
1,297.75

12122014
1162020
65475UAC6
NAROT_12-A ABS 12-A
 
 
2
 
622,795.91

623,265.42

622,879.26

622,865.38

400.04

105.37

—

—

0.73

0.7360

Monthly
                  792.46
10,655.13

2152012
5162016
65477LAB6
NAROT_13-B ABS 13-B A2
 
 
2
 
66,682.26

66,687.24

66,682.57

66,681.64

5.6

1.06

—

—

0.52

0.5202

Monthly
                     71.64
1,085.05

7242013
4152016
65477MAC2
NAROT_13-C SENIOR ABS_13-C A3
 
 
2
 
4,729,020.42

4,713,313.36

4,730,000.00

4,729,427.11

(16,113.75
)
385.30

—

—

0.67

0.6792

Monthly
                1,760.61
31,691.05

12042013
8152018
65477MAD0
NAROT_13-C SENIOR ABS_13-C A4
 
 
2
 
3,089,600.16

3,074,698.76

3,090,000.00

3,089,694.35

(14,995.59
)
88.02

—

—

1.3

1.3066

Monthly
               2,231.66
40,170.02

12042013
6152020
6325C0CU3
NATIONAL AUSTRALIA BNK LIMITED SENIOR CORP BND 144A
 
F
 
 
1,999,700

1,996,979.52

2,000,000.00

1,999,778.23

(2,798.71
)
78.23

—

—

1.25

1.2551

Mar-Sep
0
19,722.22

3112014
3172017
63307EAB3
NATIONAL BK OF CANADA CORP BND 144A
 
A
 
 
1,025,660

1,022,019.96

1,000,000.00

1,022,484.42

(464.46
)
(3,175.58
)
—

—

2.2

0.9349

Apr-Oct
0
5,500

10122011
10192016
63307AAA3
NATIONAL BK OF CANADA SENIOR CORP BND MTN
 
A
1
 
3,166,513

3,139,350.6

3,170,000.00

3,167,982.73

(28,632.13
)
1,847.75

—

—

1.45

1.4729

May-Nov
            25,382.25
123,801.8

11022012
11072017
BRSJ6L8K4
NATIONAL CNEMDIA SENIOR SECURED TERM NOTES
 
 
2
 
1,366,621.35

1,310,546.88

1,375,000.00

1,368,315.46

(57,768.58
)
1,441.48

—

—

—

0.0980

F-M-A-N
0
42,662.5

10182013
11262019
637432MN2
NATIONAL RURAL UTILITIES COOP CORP BND
 
 
 
 
1,031,830

1,026,329

1,000,000.00

1,026,099.61

229.39

(5,730.39
)
—

—

3.05

0.7903

Mar-Sep
0
7,625

2142011
3012016
637432NB7
NATIONAL RURAL UTILITIES COOP SECURED CORP BND
 
 
1
 
998,640

993,773.5

1,000,000.00

998,675.04

(4,901.54
)
41.24

—

—

2.3

2.3289

May-Nov
0
3,753.48

11042014
11152019
637432MX0
NATIONAL RURAL UTILITIES COOP SENIOR CORP BND
 
 
1
 
2,933,737.95

2,919,500.29

2,935,000.00

2,933,963.15

(14,462.86
)
278.40

—

—

2.15

2.1591

Feb-Aug
0
72,105.92

1212014
2012019
63743HEG3
NATIONAL RURAL UTILITIES COOP SENIOR CORP BND MTN
 
 
 
 
6,000,000

6,002,350.5

6,000,000.00

6,000,000

2,350.5

—

—

—

0.4856

0.4859

F-M-A-N
               2,681.80
29,341.23

6022014
5272016
63946CAD0
NBCUNIVERSAL ENTERPRISE INC SENIOR CORP BND 144A
 
 
 
 
712,310.4

711,735.04

720,000.00

712,409.65

(674.61
)
99.25

—

—

1.974

2.2330

Apr-Oct
0
789.6

12082014
4152019
63946CAB4
NBCUNIVERSAL ENTERPRISE INC SENIOR CORP BND 144A
 
 
 
 
6,760,694.5

6,806,160.07

6,750,000.00

6,758,089.9

48,070.17

(1,907.87
)
—

—

0.9156

0.9006

J-A-J-O
             12,574.80
61,215.22

5012014
4152018
62888XAC8
NCUA CMBS_10-C1 A-PT
 
 
2
 
3,935,121.25

4,032,206.17

3,942,938.06

3,940,868.59

91,337.58

1,968.22

—

—

2.65

2.7254

Monthly
               1,260.24
107,529.29

9072011
10292020
62889AAA1
NCUA GUARANTEED NOTES AGENCY ABS 10-A1 A
 
 
2
 
1,230,423.78

1,231,814.16

1,230,423.78

1,230,423.78

1,390.38

—

—

—

0.5117

0.5121

Monthly
                  484.76
6,990.47

6102011
12072020
62888VAA6
NCUA GUARANTEED NOTES AGENCY CMO_10-R1 1A
 
 
2
 
853,612.78

858,737.02

853,612.78

853,612.78

5,124.24

—

—

—

0.6072

0.6080

Monthly
                  444.38
5,672.67

6102011
10072020
62888VAB4
NCUA GUARANTEED NOTES AGENCY CMO_10-R1 2A
 
 
2
 
131,690.3

132,496.74

131,702.18

131,697.03

799.71

9.48

—

—

1.84

1.8502

Monthly
                  394.37
3,662.11

9072011
10072020
62889GAA8
NCUA GUARANTEED NOTES CMO 11-R5 1A
 
 
2
 
1,466,945.77

1,469,577.47

1,466,945.77

1,466,945.77

2,631.7

—

—

—

0.537

0.5365

Monthly
                  874.49
9,508.45

6102011
4062020
62889JAA2
NCUA GUARANTEED NOTES CMO_11-R6 1A
 
 
2
 
732,782.66

733,075.77

732,782.66

732,782.66

293.11

—

—

—

0.533

0.5336

Monthly
                  503.74
5,037.41

6102011
5072020
N6S779BG4
NEDERLANDSE WATERSCHAPSBANK NV CORP BND EMTN
 
F
 
 
6,994,610

7,016,659.23

7,000,000.00

6,997,763.28

18,895.95

1,788.10

—

—

0.75

0.7759

Mar-Sep
              13,416.67
52,500

3192013
3292016
BRSMK3RL8
NEIMAN MARCUS GROUP INC. THE SENIOR SECURED TERM NOTES
 
 
 
 
2,482,489.05

2,440,268.96

2,487,468.68

2,482,783.95

(42,514.99
)
302.73

—

—

—

0.0319

M-J-S-D
0
2,547.35

7312014
10252020
U64107AF9
NESTLE HLDGS, INC. CORP BND EMTN
 
 
 
 
1,013,000

999,430.01

1,000,000.00

1,007,727.58

(8,297.57
)
(3,075.54
)
—

—

1.375

1.0533

June
              7,256.94
13,750

4092013
6212017
BRSH5LE30
NETWORK RAIL INFRA FIN
 
 
 
 
2,340,423.68

2,345,228.79

1,500,000.00

2,340,417.82

4,810.97

(5.86
)
—

4,813.04

1

0.9035

December
0
63.96

 
 
G6459FAE2
NETWORK RAIL INFRA FIN LOCAL BND EMTN GOVT GUAR
 
D
 
 
4,034,271.27

3,643,943.93

2,250,000.00

3,714,542.84

(70,598.91
)
(169,532.87
)
—

(86,260.6
)
4.875

1.0498

November
             21,273.94
219,317.09

11132013
11272015
64127WAJ2
NETWORK RAIL INFRA FIN UNSECURED CORP BND 144A
 
F
 
 
3,470,915

3,461,674.97

3,500,000.00

3,476,115.32

(14,440.35
)
6,373.00

—

—

0.75

1.0020

Apr-Oct
0
19,489.59

5202014
10032017
641423BM9
NEVADA POWER COMPANY SECURED CORP BND
 
 
 
 
950,936.4

909,103.11

860,000.00

910,547.84

(1,444.73
)
(40,388.56
)
—

—

5.95

1.0152

Mar-Sep
0
49,464.33

1082014
3152016
645771XB7
NEW JERSEY BLDG AUTH MUNITAX BND REV
 
 
 
 
690,125.2

687,412

680,000.00

689,458.99

(2,046.99
)
(666.21
)
—

—

2.303

1.8850

Jun-Dec
0
3,915.1

11152013
6152018
64603RSQ1
NEW JERSEY ECONOMIC DEVELOPMEN MUNITAX BND REV
 
 
2
 
3,789,131.15

3,770,112.85

3,535,000.00

3,782,928.93

(12,816.08
)
(6,202.22
)
—

—

6.076

5.0179

Mar-Sep
0
53,696.65

4232008
3012023
646136DW8
NEW JERSEY ST TRANSN TR FD AUT MUNI BND REV
 
 
 
 
812,857.95

807,521.1

705,000.00

807,867.34

(346.24
)
(4,990.61
)
—

—

5.25

2.1303

Jun-Dec
0
9,253.12

5242006
12152019
646136BU4
NEW JERSEY ST TRANSN TR FD AUT MUNI BND REV
 
 
1
 
1,551,705

1,532,970

1,500,000.00

1,533,094.88

(124.88
)
(18,610.12
)
—

—

5

0.1296

Jun-Dec
0
18,750

10132005
6152016
646136K83
NEW JERSEY ST TRANSN TR FD AUT MUNITAX BND REV
 
 
 
 
5,050,000

4,891,631.9

5,050,000.00

5,050,000

(158,368.1
)
—

—

—

1.758

1.7580

Jun-Dec
              3,945.73
88,779

4172013
12152018
64763FKL2
NEW ORLEANS LA GO MUNI BND GO
 
 
1
 
8,060,805

7,982,928

7,650,000.00

7,971,640.17

11,287.83

(89,164.83
)
—

—

5.25

0.6330

Jun-Dec
0
100,406.25

3062008
12012019
64966HMQ0
NEW YORK N Y MUNI BND GO
 
 
 
 
3,089,280

3,065,640

3,000,000.00

3,066,554.12

(914.12
)
(22,725.88
)
—

—

3.397

0.4199

Apr-Oct
0
25,477.5

9302009
10012015
64972FYE0
NEW YORK NY CITY MUN WTR FIN MUNI BND REV
 
 
1
 
2,323,000

2,303,560

2,000,000.00

2,301,115.09

2,444.91

(21,884.91
)
—

—

5.25

0.8192

Jun-Dec
0
26,250

12052008
6152023
64972HKE1
NEW YORK NY CITY TRANSITIONAL MUNI BND REV
 
 
1
 
1,144,760

1,144,120

1,000,000.00

1,135,278.2

8,841.8

(9,481.80
)
—

—

5

1.0917

Jan-Jul
0
12,500

10312008
7152019
64972HKH4
NEW YORK NY CITY TRANSITIONAL MUNI BND REV
 
 
1
 
3,442,770

3,442,110

3,000,000.00

3,413,857.2

28,252.8

(28,912.80
)
—

—

5.25

1.2517

Jan-Jul
0
39,375

10312008
7152022
64971QWF6
NEW YORK NY CITY TRANSITIONAL MUNITAX BND REV
 
 
 
 
2,004,020

1,993,200

2,000,000.00

2,003,775.61

(10,575.61
)
(244.39
)
—

—

1.8

1.7454

Feb-Aug
0
9,000

8082012
8012018
64966F5S9
NEW YORK NY MUNI BND GO
 
 
1
 
25,115.5

25,113.75

25,000.00

25,082.04

31.71

(33.46
)
—

—

5.75

5.1683

Feb-Aug
0
359.38

7212014
8012016
64966KEB5
NEW YORK NY MUNI BND GO
 
 
1
 
5,804,500

5,837,900

5,000,000.00

5,782,938.52

54,961.48

(21,561.48
)
—

—

5

2.8201

Feb-Aug
0
62,500

9122013
8012028
649907XR8
NEW YORK ST DORM AUTH MUNI BND REV
 
 
 
 
3,053,370

3,018,750

3,000,000.00

3,050,234.46

(31,484.46
)
(3,135.54
)
—

—

2.05

1.6069

Jun-Dec
0
15,375

12052013
12012018
649845GF5
NEW YORK ST ENERGY RESH & DEV MUNI BND REV
 
 
1
 
4,781,250

4,712,500

5,000,000.00

4,783,914.27

(71,414.27
)
2,664.27

—

—

0.464

0.7019

At Mat
0
5,499.71

1212005
4012034
649883XV2
NEW YORK ST MTG AGY MUNI BND REV
 
 
1
 
2,089,020

2,112,680

2,000,000.00

2,086,885.69

25,794.31

(2,134.31
)
—

—

4.45

3.8600

Apr-Oct
0
22,250

2132014
10012029
650035C48
NEW YORK ST URBAN DEV CORP MUNI BND REV
 
 
1
 
5,854,450

5,930,100

5,000,000.00

5,831,256.43

98,843.57

(23,193.57
)
—

—

5

2.7241

Mar-Sep
0
62,500

9112013
3152028
650367DT9
NEWARK N J MUNI BND GO
 
 
 
 
2,670,665.6

2,640,420.1

2,410,000.00

2,648,110.91

(7,690.81
)
(22,554.69
)
—

—

5

1.2173

Mar-Sep
0
30,125

6192008
9012017
651229AP1
NEWELL RUBBERMAID INC SENIOR CORP BND
 
 
1
 
4,355,116.8

4,353,740.7

4,360,000.00

4,355,205.72

(1,465.02
)
88.92

—

—

2.875

2.8989

Jun-Dec
0
14,624.17

11142014
12012019
BRSKQ8AG4
NEXSTAR BROADCASTING GROUP INC NEXSTAR BROADCASTING GROUP INC
 
 
 
 
1,629,819.31

1,618,272.05

1,629,819.31

1,629,819.31

(11,547.26
)
—

—

—

—

—

M-J-S-D
0
71,355.34

1312014
9242020
G65016AG5
NEXT PLC LOCAL BND
 
D
 
 
1,188,131.34

1,177,603.18

700,000.00

1,185,473.07

(7,869.89
)
(2,658.27
)
—

(7,629.45
)
5.875

1.3338

October
0
3,536.41

12102014
10122016
302570BC9
NEXTERA ENERGY CAPITAL HOLDING CORP BND
 
 
 
 
688,830.5

598,902.51

563,000.00

585,451.66

13,450.85

(177,104.85
)
—

—

7.875

3.5810

Jun-Dec
              21,175.00
356,940.07

2172010
12152015
62888UAA8
NGN_10-R2 AGENCY CMO_10-R2 1A
 
 
2
 
2,316,214

2,322,618.34

2,316,214.00

2,316,214

6,404.34

—

—

—

0.5272

0.5278

Monthly
                 1,115.38
13,728.63

6102011
11062017
62888YAA0
NGN_11-R1 CMO_11-R1 IA
 
 
2
 
2,716,517.66

2,730,447.92

2,715,401.88

2,716,076.9

14,371.02

(235.61
)
—

—

0.6072

0.5969

Monthly
               1,390.23
18,083.64

6102011
1082020
62889EAA3
NGN_11-R3 NGN_11-R3 1A
 
 
2
 
6,002,879.59

5,990,955.31

5,995,151.91

6,000,759.68

(9,804.37
)
(2,148.42
)
—

—

0.5585

0.4820

Monthly
              2,473.02
36,839.23

6152012
3112020
62889FAA0
NGN_11-R4 CMO_11R4-1A
 
 
2
 
1,948,511.41

1,953,634.05

1,948,511.41

1,948,511.41

5,122.64

—

—

—

0.537

0.5376

Monthly
               1,063.67
12,317.19

6102011
3062020
65477LAC4
NISSAN AUTO RECEIVABLES OWNER ABS 13-B-A3
 
 
2
 
3,744,185.47

3,747,146.03

3,745,000.00

3,744,630.11

2,515.92

314.35

—

—

0.84

0.8500

Monthly
                1,398.14
31,458

7242013
11152017
654740AH2
NISSAN MOTOR ACCEPTANCE CORP SENIOR CORP BND 144A
 
 
 
 
1,002,980

1,003,314.06

1,000,000.00

1,002,819.45

494.61

(160.55
)
—

—

2.35

2.2787

Mar-Sep
0
5,875

2252014
3042019
645918TG8
NJ ST EDA PENSION MUNI BND REV
 
 
 
 
3,356,340

3,334,950

3,000,000.00

3,331,693.58

3,256.42

(24,646.42
)
—

—

5

1.5796

May-Nov
0
37,500

8072008
5012018
645918S53
NJ ST EDA PENSION MUNITAX BND REV
 
 
 
 
1,985,660

1,998,780

2,000,000.00

1,986,896.45

11,883.55

1,236.45

—

—

1.651

1.9045

Mar-Sep
0
8,255

9192012
9012017
65474VAG6
NMOTR_13-A SENIOR ABS 13-A
 
 
2
 
1,680,000

1,678,084.83

1,680,000.00

1,680,000

(1,915.17
)
—

—

—

0.4608

0.4612

Monthly
                  348.39
7,745.64

2202013
2152018
65504LAH0
NOBLE HOLDING INTERNATIONAL LT SENIOR CORP BND
 
F
 
 
505,725

476,392.18

500,000.00

505,140.07

(28,747.89
)
(584.93
)
—

—

2.5

2.0200

Mar-Sep
0
3,125

2072012
3152017
62951MAY6
NOMURA ASSET ACCEPTANCE CORPOR WHOLE CMO 04-R3 A1 144A
 
 
2
 
663,417.27

674,509.64

656,645.60

662,411.82

12,097.82

(731.00
)
—

—

6.5

6.2974

Monthly
               3,915.60
43,921.76

10032007
2252035
65557CAM5
NORDEA BANK AB JR SUB CORP BND 144A
 
F
1
 
14,980,000

14,774,025

14,980,000.00

14,980,000

(205,975
)
—

—

—

5.5

5.5000

Mar-Sep
0
224,283.88

9162014
1019999
65557HAE2
NORDEA BANK AB SENIOR CORP BND
 
F
 
 
4,989,850

5,000,594.1

5,000,000.00

4,995,339.42

5,254.68

3,378.00

—

—

0.875

0.9439

May-Nov
              5,833.33
43,750

5072013
5132016
65557DAK7
NORDEA BANK AB SENIOR CORP BND
 
F
 
 
5,974,200

6,050,981.58

6,000,000.00

5,977,847.92

73,133.66

3,647.92

—

—

2.375

2.4669

Apr-Oct
0
105,687.5

3312014
4042019
W6314JBT7
NORDEA BANK AB SENIOR CORP BND EMTN
 
D
 
 
2,012,821.43

1,995,065.75

1,275,000.00

2,012,875.78

(17,810.03
)
(1,109.75
)
—

(24,383.03
)
1.00525

0.9840

F-M-A-N
              3,324.04
26,548.96

11132013
2152016
65562QAW5
NORDIC INVESTMENT BANK CORP BND
 
F
 
 
2,980,170

3,038,819.73

3,000,000.00

2,980,843.75

57,975.98

673.75

—

—

2.25

2.3530

Mar-Sep
0
17,062.5

12052014
9302021
659414LY0
NORTH FOREST INDPT SCH DIST TE MUNI BND GO
 
 
 
 
1,415,180.1

1,403,552.25

1,335,000.00

1,404,440.37

(888.12
)
(10,739.73
)
—

—

4

0.7672

Feb-Aug
0
13,350

3272006
8152016
662858FR5
NORTH TEXAS TOLLWAY AUTHORITY MUNI BND REV
 
 
1
 
2,310,520

2,272,600

2,000,000.00

2,292,644.17

(20,044.17
)
(17,875.83
)
—

—

5.25

1.4699

Jan-Jul
0
26,250

8042009
1012020
BRSHM2RV7
NOVELIS INC/GA SENIOR SECURED TERM NOTES
 
G
2
 
1,401,465.26

1,401,709.4

1,415,153.36

1,407,085.52

(5,376.12
)
8,954.03

—

—

—

0.2574

F-M-A-N
0
97,679.36

6192013
3102017
65251QAA9
NSCDN_14-1A ABS2014-1A A1 144A
 
 
2
 
2,500,000

2,501,161.6

2,500,000.00

2,500,000

1,161.6

—

—

—

—

1.9972

J-A-J-O
0
—

12162014
1252027
BRSGCCH31
NSG HOLDINGS SENIOR SECURED TERM LOAN
 
 
2
 
1,640,837.44

1,635,625.7

1,652,147.18

1,644,095.31

(8,469.61
)
1,815.68

—

—

—

0.0974

M-J-S-D
0
61,853.36

10072013
12112019
654624AE5
NTT CORP SENIOR CORP BND
 
F
 
 
4,459,748.5

4,435,669.04

4,450,000.00

4,455,067.35

(19,398.31
)
(1,948.33
)
—

—

1.4

1.3543

Jan-Jul
            28,208.05
62,300

7232012
7182017
67400LAC2
OAKTA_14-A2 MEZZANIN ABS 14-A2-B 144A
 
F
2
 
3,930,000

3,920,400

4,000,000.00

3,930,353.53

(9,953.53
)
353.53

—

—

2.53435

2.8291

F-M-A-N
0
3,942.32

12042014
11152025
674599BZ7
OCCIDENTAL PETROLEUM CORPORATI CORP BND
 
 
 
 
2,045,360

2,032,714

2,000,000.00

2,036,841.76

(4,127.76
)
(8,518.24
)
—

—

2.5

0.7898

Feb-Aug
0
12,500

12132010
2012016
674599CD5
OCCIDENTAL PETROLEUM CORPORATI SENIOR CORP BND
 
 
1
 
494,780

491,184.58

500,000.00

495,162.24

(3,977.66
)
382.24

—

—

1.5

1.8201

Feb-Aug
0
1,875

6192012
2152018
67107KAC0
OCP_14-7A ABS_14-7A-A2A 144A
 
F
2
 
3,850,000

3,866,359.86

4,000,000.00

3,853,581.18

12,778.68

3,581.18

—

—

2.33235

3.4140

J-A-J-O
0
9,588.55

10312014
10202026
67756AVS8
OHIO ST HIGHER EDL FAC REV MUNI BND REV
 
 
1
 
440,307

439,641.45

435,000.00

439,481.93

159.52

(825.07
)
—

—

4.375

3.5751

May-Nov
0
4,757.82

6152006
5012017
67756BXS4
OHIO ST MUNI BND REV
 
 
1
 
3,487,140

3,458,460

3,000,000.00

3,458,271.98

188.02

(28,868.02
)
—

—

5.5

1.4701

Jun-Dec
0
41,250

3112009
12012024
67868UBY8
OKLAHOMA CNTY OKLA FIN AUTH MUNITAX BND REV
 
 
 
 
1,145,250

1,144,060

1,000,000.00

1,138,203.47

5,856.53

(7,046.53
)
—

—

6.3

3.0936

Mar-Sep
0
15,750

7012009
9012019
6824544G5
ONEIDA CNTY N Y MUNITAX BND GO
 
 
 
 
1,532,874

1,541,092

1,400,000.00

1,527,728.27

13,363.73

(5,145.73
)
—

—

5.387

3.5700

Feb-Aug
0
18,854.5

8042009
8012020
68268NAK9
ONEOK PARTNERS LP SENIOR CORP BND
 
 
1
 
2,663,267.75

2,705,493.69

2,665,000.00

2,663,697.98

41,795.71

329.62

—

—

3.2

3.2141

Mar-Sep
            25,820.89
85,280

9092013
9152018
68323ABL7
ONTARIO PROVINCE OF SENIOR CORP BND
 
A
 
 
2,939,850

2,967,030.03

3,000,000.00

2,942,924.99

24,105.04

3,074.99

—

—

1.65

2.0740

Mar-Sep
0
13,062.5

9232014
9272019
683234C63
ONTARIO PROVINCE OF SENIOR CORP BND
 
A
 
 
3,987,000

4,026,199.96

4,000,000.00

3,987,527.64

38,672.32

770.26

—

—

2.5

2.5510

Mar-Sep
0
44,722.23

9042014
9102021
68323AAQ7
ONTARIO PROVINCE OF SENIOR CORP BND
 
A
 
 
5,049,059

5,009,466

4,900,000.00

5,003,255.15

6,210.85

(37,970.54
)
—

—

2.3

0.7354

May-Nov
               6,190.83
61,908.33

9232014
5102016
683235AA3
ONTARIO PROVINCE OF SENIOR CORP BND
 
A
 
 
5,051,700

5,060,800.15

5,000,000.00

5,042,845.55

17,954.6

(8,854.45
)
—

—

2

1.7619

Mar-Sep
0
80,000

3102014
9272018
68389XBA2
ORACLE CORPORATION SENIOR CORP BND
 
 
 
 
2,995,650

3,022,184.82

3,000,000.00

2,995,922.44

26,262.38

358.63

—

—

2.8

2.8230

Jan-Jul
0
53,122.23

6302014
7082021
68389XAR6
ORACLE CORPORATION SENIOR CORP BND
 
 
 
 
3,350,000

3,373,952.37

3,350,000.00

3,350,000

23,952.37

—

—

—

0.8106

0.8106

J-A-J-O
              5,977.96
27,609.25

7092013
1152019
68389XAN5
ORACLE CORPORATION SENIOR CORP BND
 
 
 
 
7,571,479.3

7,532,249.81

7,590,000.00

7,576,993.78

(44,743.97
)
8,889.21

—

—

1.2

1.2360

Apr-Oct
             29,361.33
91,580

10182012
10152017
F4113NCA5
ORANGE SA CORP BND
 
D
 
 
1,679,109.21

1,660,592.5

900,000.00

1,671,969.7

(11,377.2
)
(7,977.59
)
—

(14,088.14
)
8

1.6740

December
0
10,732.24

11272014
12202017
L7256GAD9
OXEA FINANCE & CY SCA SENIOR SECURED TERM NOTES
 
F
2
 
2,325,621.38

2,238,192

2,331,450.00

2,326,888.96

(88,696.96
)
958.92

—

—

—

0.0383

F-M-A-N
0
98,595.9

6062013
1152020
69144VAA1
OXFIN_14-1A ABS _14-1A-A 144A
 
 
1
 
2,750,000

2,735,425

2,750,000.00

2,750,000

(14,575
)
—

—

—

3.475

3.4990

Monthly
0
9,556.25

11202014
12152022
70922PAE2
PA TURNPIKE-E MUNITAX BND REV
 
 
 
 
4,500,000

4,465,980

4,500,000.00

4,500,000

(34,020
)
—

—

—

1.699

1.6990

Jun-Dec
0
22,087

9112014
12012018
69371RL20
PACCAR FINANCIAL CORP SENIOR CORP BND MTN
 
 
 
 
2,906,042.4

2,910,697.24

2,910,000.00

2,908,533.14

2,164.1

1,318.02

—

—

0.8

0.8460

Feb-Aug
              9,247.33
23,280

2052013
2082016
69371RL79
PACCAR INC CORP BND MTN
 
 
 
 
3,850,000

3,872,470.76

3,850,000.00

3,850,000

22,470.76

—

—

—

0.83535

0.8354

M-J-S-D
               2,340.81
32,725.78

12032013
12062018
694308GL5
PACIFIC GAS AND ELECTRIC CO CORP BND
 
 
 
 
645,360.2

646,054.92

580,000.00

644,111.3

1,943.62

(1,248.90
)
—

—

5.625

1.7160

May-Nov
0
1,812.5

12082014
11302017
BRSQNU464
PACKERS HOLDINGS LLC SENIOR SECURED TERM LOAN
 
 
1
 
110,940.76

111,358.88

111,498.25

110,940.76

418.12

—

—

—

—

0.0730

M-J-S-D
0
—

11252014
12022021
709132AK0
PENNSYLVANIA ST HIGHER EDL FAC MUNI BND REV
 
 
1
 
868,208

854,800

800,000.00

862,105.31

(7,305.31
)
(6,102.69
)
—

—

5

1.8099

Jan-Jul
0
10,000

2282007
7012018
70917N5A8
PENNSYLVANIA ST HIGHER EDL FAC MUNI BND REV
 
 
1
 
1,812,096

1,797,347.2

1,760,000.00

1,794,666.83

2,680.37

(17,429.17
)
—

—

5

1.0401

Jan-Jul
0
22,000

6022005
7012016
70917N5C4
PENNSYLVANIA ST HIGHER EDL FAC MUNI BND REV
 
 
1
 
1,990,595.2

1,973,697.8

1,940,000.00

1,973,699.23

(1.43
)
(16,895.97
)
—

—

5

1.4998

Jan-Jul
0
24,250

6022005
7012018
709193LV6
PENNSYLVANIA ST INDL DEV AUTH MUNI BND REV
 
 
1
 
286,887.65

283,193.05

245,000.00

284,111.75

(918.7
)
(2,775.90
)
—

—

5.5

0.8601

Jan-Jul
0
3,368.75

5082012
7012023
709193LW4
PENNSYLVANIA ST INDL DEV AUTH MUNI BND REV
 
 
1
 
1,953,086.85

1,950,963.3

1,755,000.00

1,940,346.12

10,617.18

(12,740.73
)
—

—

5.5

2.3397

Jan-Jul
0
24,131.25

5082012
7012023
709599AR5
PENSKE TRUCK LEASING CO SENIOR CORP BND 144A
 
 
1
 
1,049,044.5

1,054,487.45

1,050,000.00

1,049,044.5

5,442.95

—

—

—

3.05

3.0691

Jan-Jul
0
1,779.17

12082014
1092020
709599AQ7
PENSKE TRUCK LEASING CO SENIOR CORP BND 144A
 
 
1
 
1,354,620.6

1,334,943.99

1,355,000.00

1,354,658.45

(19,714.46
)
37.85

—

—

2.5

2.5060

Jun-Dec
0
18,254.87

6122014
6152019
709599AJ3
PENSKE TRUCK LEASING CO SENIOR CORP BND 144A
 
 
 
 
1,539,795

1,520,037

1,500,000.00

1,515,892.8

4,144.2

(10,218.15
)
—

—

2.5

1.6059

Mar-Sep
            62,569.45
200,347.22

2212013
3152016
71338QAA4
PEPPERDINE UNIVERSITY SENIOR CORP BND
 
 
 
 
1,929,098.4

1,962,334.63

1,704,000.00

1,918,062.22

44,272.41

(11,036.18
)
—

—

5.45

2.5299

Feb-Aug
0
23,217

2022012
8012019
713448BJ6
PEPSICO INC CORP BND
 
 
 
 
264,146.85

261,759.55

215,000.00

261,201.18

558.37

(2,945.67
)
—

—

7.9

2.0401

May-Nov
0
4,246.25

10212008
11012018
713448BT4
PEPSICO INC CORP BND
 
 
 
 
1,283,537.5

1,278,678.75

1,250,000.00

1,278,264.07

414.68

(5,273.43
)
—

—

2.5

0.8200

May-Nov
0
7,812.5

1242012
5102016
713448CE6
PEPSICO INC SENIOR CORP BND
 
 
 
 
1,799,370

1,797,358.86

1,800,000.00

1,799,728.53

(2,369.67
)
233.85

—

—

0.7

0.7132

Feb-Aug
              4,375.00
12,600

2252013
2262016
713448CF3
PEPSICO INC SENIOR CORP BND
 
 
 
 
6,675,000

6,682,676.12

6,675,000.00

6,675,000

7,676.12

(147.71
)
—

—

0.44435

0.4444

F-M-A-N
               3,092.71
31,103.64

2252013
2262016
714294AB1
PERRIGO CO LTD SENIOR CORP BND
 
F
 
 
699,493.02

697,091.53

700,000.00

699,554.03

(2,462.5
)
61.01

—

—

1.3

1.3350

May-Nov
0
2,224.44

10032014
11082016
BRSHD5L53
PETCO ANIMAL SUPPLIES INC SENIOR SECURED TERM NOTES
 
 
2
 
1,810,083.37

1,835,726.22

1,852,715.62

1,823,898.3

11,827.92

9,941.29

—

—

—

0.5313

M-J-S-D
0
109,912.96

8012013
11242017
71647NAB5
PETROBRAS INT BRASPETRO BV SENIOR CORP BND
 
F
 
 
4,669,544

4,171,648.37

4,700,000.00

4,677,864.72

(506,216.35
)
5,092.27

—

—

3

3.1251

Jan-Jul
            86,558.33
141,000.01

5132013
1152019
71647NAD1
PETROBRAS INT BRASPETRO BV SENIOR CORP BND
 
F
 
 
4,978,710

4,764,977.5

5,029,000.00

4,996,778.67

(231,801.17
)
18,068.67

—

—

1.85185

2.3175

F-M-A-N
0
75,010.11

3212014
5202016
71645WAT8
PETROBRAS INTL FINANCE CORP BND
 
F
 
 
797,304

788,799.52

800,000.00

799,377.88

(10,578.36
)
558.33

—

—

3.875

3.9499

Jan-Jul
                13,261.11
31,000

1202011
1272016
71645WAV3
PETROBRAS INTL FINANCE CORP BND
 
F
 
 
1,790,982

1,796,457.24

1,800,000.00

1,799,694.69

(3,237.45
)
3,088.36

—

—

2.875

3.0510

Feb-Aug
            20,843.75
51,750

2012012
2062015
717081DG5
PFIZER INC SENIOR CORP BND
 
 
 
 
1,973,854.5

1,958,554.57

1,975,000.00

1,974,207.55

(15,652.98
)
221.89

—

—

1.5

1.5120

Jun-Dec
                1,316.67
29,625

5282013
6152018
717081DL4
PFIZER INC SENIOR CORP BND
 
 
 
 
2,495,275

2,510,811.63

2,500,000.00

2,495,843.34

14,968.29

568.34

—

—

2.1

2.1401

May-Nov
0
32,958.34

5122014
5152019
717081DP5
PFIZER INC SENIOR CORP BND
 
 
 
 
3,000,000

2,997,780.09

3,000,000.00

3,000,000

(2,219.91
)
—

—

—

0.3821

0.3821

F-M-A-N
0
8,637.05

5122014
5152017
717081DF7
PFIZER INC SENIOR CORP BND
 
 
 
 
5,000,000

5,003,600.3

5,000,000.00

5,000,000

3,600.3

—

—

—

0.5406

0.5406

M-J-S-D
                1,930.14
42,323.65

5282013
6152018
69331CAF5
PG&E CORP SENIOR CORP BND
 
 
1
 
500,605

498,889.77

500,000.00

500,573.92

(1,684.15
)
(15.17
)
—

—

2.4

2.3704

Mar-Sep
0
4,376.67

2242014
3012019
BRSM7GBC1
PHARMACEUTICAL RSRCE INC SENIOR SECURED TERM NOTES
 
 
 
 
3,419,574.91

3,332,967.17

3,418,427.87

3,419,781.92

(86,814.75
)
912.57

—

—

—

(0.0083
)
M-J-S-D
0
165,531.93

2202014
9302019
BRSM2A4U7
PHARMEDIUM HLTH SENIOR SECURED TERM NOTES
 
 
 
 
330,160.34

322,971.47

331,819.44

330,373.53

(7,402.06
)
304.09

—

—

—

0.0709

M-J-S-D
0
12,012.48

1232014
1282021
71722TAF1
PHEAA_04-1 ABS_04-1-A2
 
 
2
 
452,730

485,600.5

500,000.00

476,117.97

9,482.53

2,669.28

—

—

1.65

2.8396

Monthly
                  457.26
6,171.61

3092010
4252044
71722TAG9
PHEAA_04-1 ABS_04-1-A3
 
 
2
 
1,177,098

1,287,382.2

1,300,000.00

1,225,672.88

61,709.32

5,832.08

—

—

1.634

2.6235

Monthly
                   530.19
15,658.94

3092010
4252044
718172BN8
PHILIP MORRIS INTERNATIONAL IN SENIOR CORP BND
 
 
 
 
3,325,728.7

3,313,679.95

3,335,000.00

3,326,165.52

(12,485.57
)
436.82

—

—

1.25

1.3450

May-Nov
0
5,905.73

11032014
11092017
718172AX7
PHILIP MORRIS INTERNATIONAL IN SENIOR CORP BND
 
 
 
 
3,645,000

3,645,182.14

3,645,000.00

3,645,000

182.14

—

—

—

0.28435

0.2844

F-M-A-N
                 1,101.98
10,596.39

2262013
2262015
718172BF5
PHILIP MORRIS INTERNATIONAL IN SENIOR CORP BND
 
 
 
 
5,605,986.5

5,617,059.65

5,650,000.00

5,615,365.5

1,694.15

12,185.51

—

—

1.875

2.0339

Jan-Jul
             25,201.82
154,569.02

11042013
1152019
718546AJ3
PHILLIPS 66 CORP BND
 
 
 
 
1,674,798.35

1,719,599.79

1,675,000.00

1,674,912.05

44,687.74

35.94

—

—

2.95

2.9523

May-Nov
              8,235.42
49,412.5

1242013
5012017
718546AE4
PHILLIPS 66 SENIOR CORP BND
 
 
 
 
124,958.79

125,245.01

125,000.00

124,996.64

248.37

334.27

—

—

1.95

1.9656

Mar-Sep
            20,577.92
43,036.77

1242013
3052015
71883MDU5
PHOENIX ARIZ CIVIC IMPT CORP MUNI BND REV
 
 
1
 
1,130,520

1,123,330

1,000,000.00

1,121,964.51

1,365.49

(8,555.49
)
—

—

5

1.4159

Jan-Jul
0
12,500

5302008
7012024
720175FR4
PIEDMONT MUN PWR AGY S C ELEC MUNI BND REV
 
 
 
 
1,247,100

1,239,650

1,000,000.00

1,237,739.81

1,910.19

(9,360.19
)
—

—

6.25

2.0224

Jan-Jul
0
15,625

1302001
1012021
73328WAC5
PILOT_12-1 ABS 12-1 144A
 
 
2
 
134,048.8

134,064.83

134,071.13

134,065.73

(0.9
)
98.41

—

—

0.54

0.5490

Monthly
                  262.50
5,607.36

10102012
12212015
BRSJ0MJU4
PINACLE FOOD FIN SECURED TERM LOAN
 
 
 
 
7,973,197.64

7,786,857.34

8,004,458.54

7,979,021.48

(192,164.14
)
8,090.54

—

—

—

0.0589

M-J-S-D
0
365,217.82

10182013
4292020
BRSJYB2V7
PINNACLE ENTERTAINMENT INC SENIOR SECURED TERM NOTES
 
 
 
 
1,415,160.46

1,405,830.39

1,422,271.85

1,416,517.74

(10,687.35
)
3,726.18

—

—

—

0.0712

F-M-A-N
0
64,699.83

9032013
8132020
72650RBG6
PLAINS ALL AMERICAN PIPELINE L SENIOR CORP BND
 
 
1
 
2,994,390

2,974,303.2

3,000,000.00

2,994,449.91

(20,146.71
)
59.91

—

—

2.6

2.6400

Jun-Dec
0
4,766.67

12022014
12152019
69349LAL2
PNC BANK NATIONAL ASSOCIATION SENIOR CORP BND
 
 
1
 
1,849,392

1,847,114.05

1,850,000.00

1,849,702.1

(2,588.05
)
223.17

—

—

0.5526

0.5607

J-A-J-O
               4,801.28
15,643.4

3142014
4292016
69353RDY1
PNC BANK NATIONAL ASSOCIATION SENIOR CORP BND
 
 
1
 
2,499,525

2,493,202.6

2,500,000.00

2,499,567.31

(6,364.71
)
42.31

—

—

1.5

1.5061

Apr-Oct
0
10,729.16

9152014
10182017
69353RDZ8
PNC BANK NATIONAL ASSOCIATION SENIOR CORP BND
 
 
1
 
2,519,300

2,510,388.58

2,500,000.00

2,518,672.5

(8,283.92
)
(627.50
)
—

—

2.4

2.2319

Apr-Oct
0
10,166.67

10272014
10182019
69349LAP3
PNC BANK NATIONAL ASSOCIATION SENIOR CORP BND
 
 
1
 
2,596,620

2,599,185.71

2,600,000.00

2,597,936.79

1,248.92

1,110.16

—

—

1.15

1.1939

May-Nov
              5,564.72
29,900

10212013
11012016
69353RCG1
PNC BANK NATIONAL ASSOCIATION SENIOR CORP BND
 
 
1
 
3,005,460

2,989,336.41

3,000,000.00

3,004,073.79

(14,737.38
)
(1,386.21
)
—

—

1.125

1.0560

Jan-Jul
0
23,343.75

4162014
1272017
69349LAJ7
PNC BANK NATIONAL ASSOCIATION SENIOR CORP BND
 
 
 
 
3,155,000

3,156,984.15

3,155,000.00

3,155,000

1,984.15

—

—

—

0.5431

0.5431

J-A-J-O
              5,596.33
26,915.1

1232013
1282016
69353RCH9
PNC BANK NATIONAL ASSOCIATION SENIOR CORP BND
 
 
1
 
3,249,925

3,255,447.33

3,250,000.00

3,250,152.41

5,294.92

227.41

—

—

2.2

2.2421

Jan-Jul
0
36,437.5

1232014
1282019
69349LAN8
PNC BANK NATIONAL ASSOCIATION SENIOR CORP BND
 
 
1
 
4,695,676

4,717,234.86

4,700,000.00

4,697,558.13

19,676.73

1,390.97

—

—

1.3

1.3301

Apr-Oct
             21,724.45
61,099.99

8202013
10032016
69349LAH1
PNC BANK NATIONAL ASSOCIATION SENIOR CORP BND
 
 
1
 
6,438,647.6

6,442,666.16

6,440,000.00

6,439,512.42

3,153.74

450.52

—

—

0.8

0.8071

Jan-Jul
             21,896.00
51,520

1232013
1282016
73358WGY4
PORT AUTH NY & NJ MUNI BND REV
 
 
1
 
2,773,939

2,782,416

2,450,000.00

2,764,028.04

18,387.96

(9,910.96
)
—

—

5

3.0175

Apr-Oct
0
30,625

1172014
10012028
73358WUA0
PORT AUTH NY & NJ MUNITAX BND REV
 
 
 
 
2,000,000

1,988,180

2,000,000.00

2,000,000

(11,820
)
—

—

—

2.529

2.5290

Apr-Oct
0
9,835

10082014
10152020
73674NBG5
PORTLAND ORE SWR SYS REV MUNITAX BND REV
 
 
 
 
509,363.2

508,373.4

505,000.00

508,973.41

(600.01
)
(389.79
)
—

—

2.772

2.4396

Jun-Dec
0
3,499.65

6282012
6152017
69353UAB7
PPL WEM HOLDINGS PLC CORP BND 144A
 
F
 
 
3,397,355

3,348,254

3,250,000.00

3,299,315.16

48,938.84

(35,904.62
)
—

—

3.9

2.7311

May-Nov
              21,125.00
126,750

3092012
5012016
74005PBE3
PRAXAIR INC SENIOR CORP BND
 
 
 
 
3,998,570.51

3,998,726

4,000,000.00

3,999,056.18

(330.18
)
1,613.09

—

—

0.75

0.7709

Feb-Aug
            27,489.58
58,472.92

9182014
2212016
74041NAB1
PREFERRED TERM SECURITIES LTD SENIOR COP BND 144A
 
F
 
 
2,011,890

1,994,730

3,000,000.00

2,021,125.33

(26,395.33
)
9,235.33

—

—

1.1226

3.4487

M-J-S-D
0
8,550.6

12092003
12242033
74043CAC1
PREFERRED TERM SECURITIES XXIV PREFTS_24
 
F
2
 
551,820.28

550,484.62

1,043,651.87

550,808.15

(323.53
)
(1,012.13
)
—

—

0.8206

7.9138

M-J-S-D
0
2,169.2

12222014
3222037
74042WAC8
PREFTS_18 PREFTS_18
 
E
2
 
915,901.67

849,164.67

1,461,607.40

915,901.67

(66,737
)
3,022.88

—

—

1.0021

6.3486

M-J-S-D
0
3,701.1

3312012
9232035
74042HAC1
PREFTS_19 PREFTS_19
 
 
2
 
844,215.99

817,061.95

1,444,363.44

844,215.99

(27,154.04
)
18,135.09

—

—

0.8471

6.9575

M-J-S-D
0
3,167.29

3312012
12222035
74042CAE8
PREFTS_1A44 PREFTS_1A44
 
F
2
 
1,707,913.57

1,650,946.97

2,854,038.25

1,711,804.74

(60,857.77
)
5,967.27

—

—

0.8471

6.0962

M-J-S-D
0
6,103.76

11022007
3222038
74112WAC3
PRESTIGE AUTO RECEIVABLES TRUS ABS_13-1 A2 144A
 
 
2
 
238,669

238,993.98

238,693.23

238,683.98

310

35.91

—

—

1.09

1.0984

Monthly
                   307.51
4,714.23

4032013
2152018
74041EAC9
PRETSL_04 PRETSL_04
 
F
2
 
1,276,124.67

1,344,237.83

2,129,890.56

1,273,461.56

70,776.27

(2,663.11
)
—

—

1.2521

7.4357

M-J-S-D
0
6,707.89

12232014
3232035
74153WBZ1
PRICOA GLOBAL FUND SECURED CORP BND 144A
 
 
 
 
985,230

986,673.43

1,000,000.00

986,233.05

440.38

1,003.05

—

—

1.6

2.0200

May-Nov
0
4,000

5212013
5292018
89837LAA3
PRINCETON UNIVERSITY MUNI BND REV
 
 
 
 
1,525,670.4

1,499,750.99

1,340,000.00

1,517,616.94

(17,865.95
)
(8,053.46
)
—

—

4.95

1.6422

Mar-Sep
0
12,713.25

10172014
3012019
742651DB5
PRIVATE EXPORT FUNDING CORPORA SECURED AGENCY BND
 
 
 
 
1,646,955

1,559,850

1,500,000.00

1,524,012.46

35,837.54

(26,843.42
)
—

—

4.95

3.0700

May-Nov
              9,487.50
74,250

11272012
11152015
742741AA9
PROCTER & GAMBLE COMPANY CORP BND
 
 
2
 
780,957.22

751,968.2

606,960.00

761,901.4

(9,933.2
)
(28,495.86
)
—

—

9.36

4.4633

Jan-Jul
0
50,200.38

2142014
1012021
742718DS5
PROCTER & GAMBLE COMPANY CORP BND
 
 
 
 
1,016,610

1,011,120

1,000,000.00

1,012,852.65

(1,732.65
)
(3,757.35
)
—

—

1.8

0.3196

May-Nov
0
4,500

11152010
11152015
742718DV8
PROCTER & GAMBLE COMPANY CORP BND
 
 
 
 
2,039,800

2,020,646.06

2,000,000.00

2,024,136.64

(3,490.58
)
(12,564.71
)
—

—

1.45

0.6709

Feb-Aug
             10,626.89
24,182.78

3052013
8152016
742718EG0
PROCTER & GAMBLE COMPANY SENIOR CORP BND
 
 
 
 
499,240

498,252.18

500,000.00

499,263.67

(1,011.49
)
55.68

—

—

1.9

1.9321

May-Nov
0
3,636.39

10272014
11012019
742718ED7
PROCTER & GAMBLE COMPANY SENIOR CORP BND
 
 
 
 
2,999,730

2,991,356.04

3,000,000.00

2,999,833.71

(8,477.67
)
89.43

—

—

0.75

0.7530

May-Nov
              3,562.50
22,500

10302013
11042016
341099CQ0
PROGRESS ENERGY FLORIDA SECURED CORP BND
 
 
 
 
2,668,622.81

2,672,148.53

2,671,000.00

2,670,302.31

1,846.22

(672.61
)
—

—

0.65

0.6802

May-Nov
              3,962.58
30,442.75

11152012
11152015
743263AL9
PROGRESS ENERGY INC CORP BND
 
 
 
 
550,055

524,222.5

500,000.00

524,021.43

201.07

(22,922.79
)
—

—

5.625

0.9621

Jan-Jul
             12,968.75
28,125

11062013
1152016
BRSE9C0N4
PROTECTION ONE, INC. SENIOR SECURED TERM LOAN
 
 
2
 
1,486,498.93

1,492,010.99

1,499,508.53

1,491,542.02

468.97

2,040.64

—

—

—

0.1244

M-J-S-D
0
65,638.19

12132013
3212019
1107098Z8
PROVINCE OF BRITISH COLUMBIA CORP BND
 
A
 
 
1,966,310

1,939,292

1,900,000.00

1,933,996.42

5,295.58

(24,398.22
)
—

—

2.1

0.7921

May-Nov
             13,545.00
60,316.66

8302013
5182016
1107098W5
PROVINCE OF BRITISH COLUMBIA CORP BND
 
A
 
 
2,360,025

2,276,077.5

2,250,000.00

2,274,875.44

1,202.06

(177,869.07
)
—

—

2.85

0.4061

Jun-Dec
            20,583.34
239,874.99

6062013
6152015
11070TAA6
PROVINCE OF BRITISH COLUMBIA SENIOR CORP BND
 
A
 
 
1,007,824

1,005,520.02

1,000,000.00

1,007,396.06

(1,876.04
)
(427.94
)
—

—

1.2

0.8765

Apr-Oct
0
1,600

11072014
4252017
69362BAZ5
PSEG POWER LLC SENIOR CORP BND
 
 
1
 
49,925

50,580.52

50,000.00

49,941.49

639.03

14.45

—

—

2.45

2.4819

May-Nov
                   180.35
1,225

11052013
11152018
74456QBE5
PUBLIC SERVICE ELECTRIC AND GA SECURED CORP BND MTN
 
 
1
 
1,099,692

1,118,851.45

1,100,000.00

1,099,769.94

19,081.51

169.38

—

—

2.3

2.3059

Mar-Sep
              27,159.17
72,168.9

9092013
9152018
745190WA2
PUERTO RICO COMWLTH HWY & TRAN MUNI BND REV
 
 
1
 
53,825.5

51,211.5

50,000.00

51,173.12

38.38

(2,340.97
)
—

—

5

0.3005

Jan-Jul
               1,250.00
1,250

11072013
7012045
74529JNP6
PUERTO RICO SALES TAX FING COR MUNI BND REV
 
 
1
 
985,000

952,250

1,000,000.00

986,410.26

(34,160.26
)
1,410.26

—

—

5

5.2193

Feb-Aug
0
48,333.33

1082014
8012022
BRSK6KJF2
QUEBECOR MEDIA INC. SENIOR SECURED TERM NOTES
 
A
 
 
2,948,937.5

2,855,109.38

2,962,500.00

2,951,506.71

(96,397.33
)
2,091.17

—

—

—

0.0651

M-J-S-D
0
98,773.58

9162013
8172020
74834LAU4
QUEST DIAGNOSTICS INC SENIOR CORP BND
 
 
 
 
4,522,815

4,522,233.91

4,500,000.00

4,521,588.07

645.84

(1,226.93
)
—

—

2.7

2.5800

Apr-Oct
0
30,375

8262014
4012019
74977RCE2
RABOBANK NEDERLAND NV CORP BND 144A
 
F
 
 
899,379

904,587.75

900,000.00

899,974.59

4,613.16

175.56

—

—

3.2

3.2150

Mar-Sep
             15,644.44
38,631.12

3042010
3112015
N7277KAG6
RABOBANK NEDERLAND NV CORP BND MTN
 
D
 
 
1,669,345.87

1,528,524.03

960,000.00

1,630,848.25

(102,324.22
)
(47,621.45
)
—

(104,451.82
)
4

1.1091

September
0
66,474.89

2202014
9102015
N7278SAC7
RABOBANK NEDERLAND NV SENIOR CORP BND
 
D
 
 
1,584,765.11

1,574,952.77

960,000.00

1,582,852.19

(7,899.42
)
(2,107.75
)
—

(12,038.62
)
3.25

1.4507

November
0
3,973.19

12032014
11012017
21688AAA0
RABOBANK NEDERLAND NV SENIOR CORP BND
 
 
 
 
1,988,560

2,011,854.24

2,000,000.00

1,990,663.87

21,190.37

4,040.55

—

—

2.25

2.3720

Jan-Jul
0
83,375

1072014
1142019
74977EPY3
RABOBANK NEDERLAND NV SENIOR CORP BND
 
F
 
 
2,900,000

2,908,671.12

2,900,000.00

2,900,000

8,671.12

(4,389.83
)
—

—

0.7226

0.7226

M-J-S-D
              4,293.93
89,154.67

3122013
3182016
G7457KAB7
REED ELSEVIER INVESTMENTS PLC CORP BND
 
D
 
 
1,905,076.86

1,888,824.23

1,050,000.00

1,898,946.68

(10,122.45
)
(6,720.97
)
—

(14,442.73
)
7

1.6865

December
0
9,364.49

12032014
12112017
75887HAL6
REGT5_14-1A ABS_14-1A A2B2 144A
 
F
2
 
3,000,000

3,031,750.26

3,000,000.00

3,000,000

31,750.26

—

—

—

3.3826

3.3643

J-A-J-O
0
15,785.47

10082014
10252026
BRSMPYBS7
RENT-A-CENTER, INC/TX SENIOR SECURED TERM LOAN
 
 
 
 
2,604,809.08

2,565,540.61

2,617,898.58

2,606,188.71

(40,648.1
)
1,478.54

—

—

—

0.0711

M-J-S-D
0
73,170.93

3142014
3192021
76111XYJ6
RESIDENTIAL ASSET MORTGAGE PR CMO_05-SA4 2A2
 
 
2
 
667,677.19

642,853.44

691,893.46

671,989.68

(29,136.24
)
(2,262.26
)
—

—

2.779509

3.4226

Monthly
              2,097.93
21,681.35

8162007
9252035
76117QAC6
RESIDENTIAL REINSURANCE 2014 L SENIOR CORP BND 144A
 
F
 
 
500,000

500,015

500,000.00

500,000

15

—

—

—

—

—

Mar-Sep
0
—

11202014
12062018
761713AV8
REYNOLDS AMERICAN INC SENIOR CORP BND
 
 
 
 
399,436

399,676

400,000.00

399,842.75

(166.75
)
324.92

—

—

1.05

1.0979

Apr-Oct
               1,334.38
7,252.29

10242012
10302015
BRSNJBVT8
RHP HOTEL PROPERTIES LP SENIOR SECURED TERM LOAN
 
 
 
 
492,229.24

493,462.9

493,462.90

492,313.05

1,149.85

86.90

—

—

—

0.0381

M-J-S-D
0
7,564.9

6052014
1152021
BRSR063T1
RICHELIEU FOODS INC
 
 
 
 
124,229.95

122,987.65

124,229.95

124,229.95

(1,242.3
)
—

—

—

—

—

F-M-A-N
0
22,183.92

 
 
BRSR06452
RICHELIEU FOODS INC SENIOR SECURED TERM NOTES
 
 
 
 
5,028,355.11

4,978,071.56

5,028,355.11

5,028,355.11

(50,283.55
)
—

—

—

—

—

J-A-J-O
0
75,425.33

11232014
5212019
76541VKB2
RICHMOND VA MUNITAX BND GO
 
 
 
 
1,500,000

1,512,090

1,500,000.00

1,500,000

12,090

—

—

—

1.207

1.2070

Jan-Jul
              8,348.42
18,105

6142012
7152016
76541VKC0
RICHMOND VA MUNITAX BND GO
 
 
 
 
5,000,000

5,043,400

5,000,000.00

5,000,000

43,400

—

—

—

1.507

1.5070

Jan-Jul
            34,744.73
75,350

6142012
7152017
767201AJ5
RIO TINTO FINANCE (USA) LTD CORP BND
 
F
 
 
1,298,947

1,311,427

1,300,000.00

1,299,817.45

11,609.55

215.19

—

—

1.875

1.8921

May-Nov
              3,994.79
24,375

10282010
11022015
767201AM8
RIO TINTO FINANCE (USA) LTD CORP BND
 
F
 
 
4,651,892.5

4,712,000.88

4,625,000.00

4,639,179.63

72,821.25

(10,180.90
)
—

—

2.5

2.6060

May-Nov
              13,168.40
115,625

2212013
5202016
76720AAJ5
RIO TINTO FINANCE (USA) PLC CORP BND
 
F
 
 
2,125,000

2,132,713.9

2,125,000.00

2,125,000

7,713.9

—

—

—

1.0826

1.0826

M-J-S-D
                  959.66
23,180.07

6142013
6172016
76720AAB2
RIO TINTO FINANCE (USA) PLC SENIOR CORP BND
 
F
1
 
4,019,848

4,069,856.57

4,025,000.00

4,022,647.9

47,208.67

1,025.42

—

—

2

2.0270

Mar-Sep
             22,137.50
80,500

3192012
3222017
769047GX3
RIVERSIDE CALIF MUNITAX BND REV
 
 
 
 
1,103,470

1,093,020

1,000,000.00

1,094,502.06

(1,482.06
)
(8,967.94
)
—

—

5.61

1.8474

Feb-Aug
0
14,025

8072009
8012017
771196BB7
ROCHE HOLDINGS INC SENIOR CORP BND 144A
 
 
1
 
2,991,690

3,039,471.36

3,000,000.00

2,991,970.08

47,501.28

280.08

—

—

2.875

2.9190

Mar-Sep
0
22,041.67

9222014
9292021
776696AF3
ROPER IND, INC. SENIOR CORP BND
 
 
 
 
1,737,330

1,732,519.9

1,750,000.00

1,738,108.13

(5,588.23
)
778.13

—

—

2.05

2.2401

Apr-Oct
0
8,968.75

5302013
10012018
78008TLB8
ROYAL BANK OF CANADA CORP BND MTN
 
A
 
 
517,250

510,004.39

500,000.00

510,612.68

(608.29
)
(6,637.32
)
—

—

2.3

0.9191

Jan-Jul
0
11,276.39

1032014
7202016
78011DAE4
ROYAL BANK OF CANADA SECURED LOCAL BND
 
A
 
 
1,199,400

1,204,811.92

1,200,000.00

1,199,685.72

5,126.2

198.23

—

—

1.125

1.1420

Jan-Jul
              6,075.00
13,350

7162013
7222016
78011DAC8
ROYAL BANK OF CANADA SECURED LOCAL BND
 
A
 
 
1,992,400

1,987,680.06

2,000,000.00

1,993,047.49

(5,367.43
)
647.49

—

—

1.2

1.3309

Mar-Sep
0
6,000

9122012
9192017
BRSNFTGX1
ROYAL BANK OF CANADA SENIOR CORP BND EMTN
 
T
 
 
1,749,849.92

1,637,888.98

1,050,000.00

1,750,333.7

(112,444.72
)
590.20

—

(116,664.47
)
0.95275

1.0028

M-J-S-D
0
11,535.87

5282014
6042019
78008SE28
ROYAL BANK OF CANADA SENIOR CORP BND MTN
 
A
 
 
3,000,000

3,005,189.91

3,000,000.00

3,000,000

5,189.91

—

—

—

0.60535

0.6054

M-J-S-D
               5,177.36
53,181

3052013
3082016
78008SVD5
ROYAL BANK OF CANADA SENIOR CORP BND MTN
 
A
 
 
4,094,875

4,077,474.27

4,100,000.00

4,096,841.26

(19,366.99
)
1,007.34

—

—

1.5

1.5260

Jan-Jul
             28,187.50
61,500

1072013
1162018
783186QV4
RUTGERS UNIVERSITY NEW JERSEY MUNITAX BND REV
 
 
 
 
1,152,610.5

1,151,069.5

1,150,000.00

1,152,438.1

(1,368.6
)
(172.40
)
—

—

2.009

1.9430

May-Nov
0
5,775.87

6142013
5012018
78355HJT7
RYDER SYSTEM INC. SENIOR CORP BND MTN
 
 
1
 
1,018,640

1,012,495.73

1,000,000.00

1,017,250.48

(4,754.75
)
(1,389.52
)
—

—

2.5

1.9205

Mar-Sep
0
6,180.56

8152012
3012018
BRSQRAFX3
SABLE INTERNATIONAL FINANCE LI SENIOR SECURED TERM LOAN
 
F
 
 
468,160.37

471,108.49

471,698.11

468,160.37

2,948.12

—

—

—

—

0.4246

M-J-S-D
0
—

11252014
11252016
78573AAG5
SABMILLER HOLDINGS INC SENIOR CORP BND 144A
 
 
 
 
3,000,000

3,009,510.03

3,000,000.00

3,000,000

9,510.03

—

—

—

0.92235

0.9224

F-M-A-N
               4,737.16
28,121.45

8062013
8012018
78573AAB6
SABMILLER HOLDINGS INC SENIOR CORP BND 144A
 
 
 
 
4,164,208

4,132,869.4

4,050,000.00

4,136,246.43

(3,377.03
)
(26,365.08
)
—

—

2.45

1.3641

Jan-Jul
             23,159.30
62,475

12092013
1152017
78572MAF2
SABMILLER PLC CORP BND 144A
 
F
 
 
3,491,297.4

3,410,734.05

2,980,000.00

3,436,426.21

(25,692.16
)
(54,871.19
)
—

—

6.5

2.0081

Jan-Jul
0
85,547.22

7212014
7152018
BRSKM5SR1
SABRE INC SENIOR SECURED TERM NOTES
 
 
 
 
1,801,800

1,775,340.57

1,801,800.00

1,801,800

(26,459.43
)
—

—

—

—

—

M-J-S-D
0
80,085.75

10042013
2192019
BRSHCGRY1
SABRE INC SENIOR SECURED TERM NOTES
 
 
2
 
5,242,372.35

5,187,788.47

5,268,715.95

5,250,479.81

(62,691.34
)
4,629.56

—

—

—

0.0827

F-M-A-N
0
230,689.17

2152013
2192019
786134UZ7
SACRAMENTO SATN MUNITAX BND REV
 
 
 
 
2,485,000

2,499,263.9

2,485,000.00

2,485,000

14,263.9

—

—

—

2.239

2.2390

Jun-Dec
0
6,491.24

11062014
12012019
786514BP3
SAFEWAY INC CORP BND
 
 
 
 
1,160,302

1,169,385.47

1,100,000.00

1,155,320.03

14,065.44

(4,981.97
)
—

—

6.35

4.3002

Feb-Aug
0
22,962.5

12062012
8152017
796253W99
SAN ANTONIO TX MUNI BND REV
 
 
1
 
50,813.5

50,203

50,000.00

50,203.38

(0.38
)
(610.12
)
—

—

5

0.1555

Feb-Aug
0
625

6302010
2012025
796253X23
SAN ANTONIO TX MUNI BND REV
 
 
1
 
965,456.5

953,857

950,000.00

953,864.13

(7.13
)
(11,592.37
)
—

—

5

0.1555

Feb-Aug
0
11,875

6302010
2012025
797669UG1
SAN FRANCISCO CALIF BAY AREA R MUNITAX BND REV
 
 
 
 
572,473.8

571,972.2

570,000.00

572,252.52

(280.32
)
(221.28
)
—

—

1.341

1.1801

Jan-Jul
0
1,910.92

9212012
7012017
797646KB1
SAN FRANCISCO CALIF CITY & CNT MUNI BND GO
 
 
1
 
1,587,036.5

1,567,895.05

1,535,000.00

1,568,310.97

(415.92
)
(18,725.53
)
—

—

5

0.2077

Jun-Dec
0
19,187.5

8122008
6152023
79772LDA8
SAN FRANCISCO CALIF ST BLDG AU MUNI BND REV
 
 
1
 
4,211,080

4,168,320

4,000,000.00

4,165,228.17

3,091.83

(45,851.83
)
—

—

5

0.4693

Jun-Dec
0
50,000

1252008
12012020
79854RAJ0
SAN LUIS ARIZ CIVIC IMPT CORP MUNI BND REV
 
 
1
 
874,947.15

871,604.1

855,000.00

868,272.52

3,331.58

(6,674.63
)
—

—

4.1

0.9801

Jan-Jul
0
8,763.75

10142005
7012017
79854RAK7
SAN LUIS ARIZ CIVIC IMPT CORP MUNI BND REV
 
 
1
 
923,733.5

922,692.75

905,000.00

917,474.5

5,218.25

(6,259.00
)
—

—

4.125

1.3496

Jan-Jul
0
9,332.82

10142005
7012018
79854RAL5
SAN LUIS ARIZ CIVIC IMPT CORP MUNI BND REV
 
 
1
 
1,013,954.75

1,014,860.2

995,000.00

1,007,630.05

7,230.15

(6,324.70
)
—

—

4.2

1.6405

Jan-Jul
0
10,447.5

10142005
7012019
801060AB0
SANOFI SENIOR CORP BND
 
F
 
 
9,323,050.7

9,265,917.2

9,370,000.00

9,336,784.75

(70,867.55
)
12,288.14

—

—

1.25

1.3411

Apr-Oct
              39,417.19
171,263.54

4032013
4102018
802385MG6
SANTA MONICA CALIF CMNTY COLLE MUNITAX BND GO
 
 
 
 
3,421,699.2

3,420,701.6

3,440,000.00

3,422,884.41

(2,182.81
)
1,185.21

—

—

1.864

2.0085

Feb-Aug
0
16,030.4

6062013
8012018
BRSM3U3W9
SBA COMMUNICATIONS CORPORATION SENIOR SECURED TERM NOTES
 
 
 
 
5,481,747.07

5,398,073.99

5,495,397.48

5,483,218.12

(85,144.13
)
1,540.09

—

—

—

0.0351

J-A-J-O
0
131,267.8

3312014
3242021
83164JU46
SBA PRIME FLTR SBA PRIME FLTR
 
 
2
 
1,455,928.8

1,524,209.54

1,438,323.72

1,455,619.8

68,589.74

(666.77
)
—

—

2.35

2.1475

Monthly
0
8,514.02

11172009
4252031
78403DAG5
SBA TOWER TRUST SECURED CORP BND 144A
 
 
1
 
4,000,000

4,010,480.04

4,000,000.00

4,000,000

10,480.04

—

—

—

2.898

2.9152

Monthly
0
24,472

10072014
10152044
82735LAA1
SBY_14-1 ABS_14-1 A 144A
 
 
2
 
1,190,022.89

1,171,903.6

1,190,022.89

1,190,022.89

(18,119.29
)
—

—

—

1.1654

1.1615

Monthly
0
5,430.94

7302014
9172031
806854AA3
SCHLUMBERGER GER INV CORP BND 144A
 
F
 
 
1,503,915

1,522,765.52

1,500,000.00

1,502,265.21

20,500.31

(1,320.87
)
—

—

1.95

1.9869

Mar-Sep
              8,693.76
29,250

3222013
9142016
80685PAC2
SCHLUMBERGER NORGE AS CORP BND 144A
 
F
 
 
698,775

709,434.77

700,000.00

699,570.26

9,864.51

551.96

—

—

1.95

1.9869

Mar-Sep
               9,418.23
30,635.31

9072011
9142016
80685PAD0
SCHLUMBERGER NORGE AS SENIOR CORP BND 144A
 
F
 
 
1,368,739.6

1,359,307.12

1,370,000.00

1,369,339.11

(10,031.99
)
250.02

—

—

1.25

1.2690

Feb-Aug
               7,135.42
17,125

7242012
8012017
80705TAA4
SCHOL_11-A ABS 11-A A 144A
 
 
2
 
1,589,658.97

1,630,988.64

1,621,664.12

1,593,099.56

37,889.08

5,592.01

—

—

1.1331

1.2636

J-A-J-O
              4,085.94
20,541.34

3222011
10282043
80705WAA7
SCHOL_12-B ABS 12-B 144A
 
 
2
 
304,312.68

305,577.66

305,186.11

304,776.74

800.92

507.18

—

—

0.5695

0.7047

Monthly
                      15.21
2,258.47

9192012
10282025
80705XAA5
SCHOL_13-A ABS 13-A 144A
 
 
2
 
1,649,700.84

1,641,404.71

1,657,567.65

1,650,112.36

(8,707.65
)
3,923.70

—

—

0.8195

0.8530

Monthly
                    113.86
16,488.42

3122013
1302045
G79314AG8
SCOTTISH POWER UK PLC CORP BND
 
D
 
 
1,525,102.18

1,511,271.24

850,000.00

1,520,502.62

(9,231.38
)
(4,599.56
)
—

(9,785.63
)
8.375

1.6438

February
0
5,896.24

12102014
2202017
811065AB7
SCRIPPS NETWORKS INTERACTIVE I SENIOR CORP BND
 
 
1
 
1,931,172.5

1,933,793.38

1,930,000.00

1,931,190.12

2,603.26

17.62

—

—

2.75

2.8271

May-Nov
0
4,675.76

12042014
11152019
811065AA9
SCRIPPS NETWORKS INTERACTIVE I SENIOR CORP BND
 
 
 
 
3,101,760

3,076,250.61

3,000,000.00

3,090,157.22

(13,906.61
)
(11,602.78
)
—

—

2.7

1.1398

Jun-Dec
0
20,250

11292011
12152016
80281CAD7
SDART_13-5 ABS 13-5 A2A
 
 
2
 
304,996.49

305,170.8

305,000.00

304,996.74

174.06

0.21

—

—

0.82

0.8215

Monthly
                      111.16
2,501.04

11142013
2152018
80283JAC2
SDART_13-A ABS 13-A A3 144A
 
 
2
 
3,456,269.77

3,461,501.46

3,456,524.17

3,456,411.58

5,089.88

106.62

—

—

1.02

1.0254

Monthly
               1,586.67
35,680.29

8152013
1162018
80283XAD9
SDART_14-3 ABS 14-3 A3
 
 
2
 
774,991.48

772,215.61

775,000.00

774,991.73

(2,776.12
)
0.25

—

—

0.81

0.8114

Monthly
0
3,365.46

6112014
7162018
BRSM9G9V0
SEADRILL OPERATING LP SENIOR SECURED TERM NOTE
 
F
1
 
827,592.8

657,243.11

840,195.73

828,367.07

(171,123.96
)
837.93

—

—

—

0.2276

M-J-S-D
0
13,802.65

6182014
2212021
BRSJ9AUR5
SEAWORLD PARKS & ENTERTAINMENT SENIOR SECURED TERM LOAN
 
 
2
 
3,033,705.66

2,900,715.43

3,050,173.96

3,036,530.27

(135,814.84
)
2,686.95

—

—

—

0.0822

M-J-S-D
0
114,014.13

1022014
5142020
BRSJ0VL80
SEMINOLE TRIBE OF FLORIDA SENIOR SECURED TERM NOTES
 
 
 
 
2,984,825

2,977,362.94

2,984,825.00

2,984,825

(7,462.06
)
—

—

—

—

—

M-J-S-D
0
93,434.19

4122013
4292020
816851AS8
SEMPRA ENERGY SENIOR CORP BND
 
 
 
 
1,019,580

1,015,413.67

1,000,000.00

1,017,610.96

(2,197.29
)
(1,969.04
)
—

—

2.3

1.5000

Apr-Oct
0
5,750

3202012
4012017
BRSH8YLF4
SESAC HOLDCO II LLC SENIOR SECURED TERM NOTES
 
 
 
 
650,327.28

652,098.55

655,784.06

651,825.75

272.8

970.47

—

—

—

0.1454

F-M-A-N
0
30,592.27

4082014
2082019
8.21686E+86
SHELBY CNTY TENN
 
 
 
 
228,887.1

226,184.4

195,000.00

227,003.8

(819.4
)
(1,883.30
)
—

—

5

1.0395

Apr-Oct
0
2,437.5

 
 
821697YN3
SHELBY CNTY TENN HEALTH EDL & MUNI BND REV
 
 
1
 
5,647,650

5,605,150

5,000,000.00

5,600,057.78

5,092.22

(47,592.22
)
—

—

5.25

1.3600

Mar-Sep
0
65,625

5212008
9012021
821686H39
SHELBY CNTY TENN MUNI BND GO
 
 
1
 
931,232.05

923,351.1

805,000.00

924,266.61

(915.51
)
(6,965.44
)
—

—

5

1.3948

Apr-Oct
0
10,062.5

10182011
4012020
822582AQ5
SHELL INTERNATIONAL FINANCE BV CORP BND
 
F
 
 
6,148,980

6,077,220

6,000,000.00

6,022,027.11

55,192.89

(44,786.18
)
—

—

3.1

2.3406

Jun-Dec
               1,550.00
186,000

2142012
6282015
822582BC5
SHELL INTERNATIONAL FINANCE BV SENIOR CORP BND
 
F
 
 
274,000

274,095.91

274,000.00

274,000

95.91

—

—

—

0.4421

0.4421

F-M-A-N
                     161.19
1,239.21

11122013
11152016
822582AZ5
SHELL INTERNATIONAL FINANCE BV SENIOR CORP BND
 
F
 
 
499,380

498,261.26

500,000.00

499,611.5

(1,350.24
)
204.98

—

—

0.9

0.9420

May-Nov
                  575.00
4,500

11122013
11152016
822582AR3
SHELL INTERNATIONAL FINANCE BV SENIOR CORP BND
 
F
 
 
993,640

992,656.86

1,000,000.00

994,188.83

(1,531.97
)
548.83

—

—

1.125

1.3499

Feb-Aug
0
2,812.5

8142012
8212017
BRSR1R5H8
SHELL: ATLAS_14-1 ABS 14-1
 
 
2
 
4,000,000

4,009,197.76

4,000,000.00

4,000,000

9,197.76

—

—

—

4.88

4.9276

Monthly
0
—

12182014
12152020
N7993YBH6
SIEMENS FINANCIERINGSMAATSCHAP CORP BND
 
D
1
 
2,027,509.64

2,001,563.93

1,220,000.00

2,022,950.71

(21,386.78
)
(4,971.62
)
—

(15,661.5
)
6.125

2.7317

September
0
9,547.95

12102014
9142066
826239EQ4
SIERRA CALIF JT CMNTY COLLEGE MUNI BND GO
 
 
1
 
1,366,855.5

1,379,931

1,150,000.00

1,361,353.11

18,577.89

(5,502.39
)
—

—

5

2.5974

Feb-Aug
0
14,375

9132013
8012027
BRSHAG9G2
SILVER II BORROWER SCA SENOIR SECURED TERM LOAN
 
R
1
 
3,310,532.26

3,089,140.42

3,310,532.26

3,310,532.26

(221,391.84
)
—

—

—

—

—

F-M-A-N
0
138,685.47

8212013
12132019
G8162ZAD4
SILVERSTONE MASTER ISSUER PLC ABS_09-1 A3
 
D
1
 
833,161.5

848,125.71

510,000.00

833,161.5

14,964.21

—

—

(37,944
)
5.063

5.0593

Apr-Oct
              8,252.97
42,542.8

10272009
1212055
828807CA3
SIMON PROPERTY GROUP LP CORP BND
 
 
1
 
405,007.68

402,149.98

308,000.00

403,933.84

(1,783.86
)
(1,073.84
)
—

—

10.35

2.1730

Apr-Oct
0
1,416.8

12112014
4012019
828807CQ8
SIMON PROPERTY GROUP LP SENIOR CORP BND
 
 
1
 
7,358,478.9

7,394,427.1

7,369,000.00

7,360,693.85

33,733.25

2,214.95

—

—

2.2

2.2401

Feb-Aug
0
145,472.56

1132014
2012019
784423AF2
SLCLT_04-1 ABS 04-1
 
 
2
 
983,750

988,837

1,000,000.00

988,812.07

24.93

3,276.10

—

—

0.3921

0.7127

F-M-A-N
                   523.01
3,978.1

5202013
5152023
78446XAA3
SLM STUDENT LOAN TRUST ABS 12-B 144A
 
 
2
 
254,646.72

255,443.77

254,646.72

254,646.72

797.05

—

—

—

1.2608

1.2641

Monthly
                  292.06
4,876.1

4042012
1182022
78446XAB1
SLM STUDENT LOAN TRUST ABS_12-B A2 144A
 
 
2
 
999,897.3

1,038,892

1,000,000.00

999,928

38,964

12.67

—

—

3.48

3.5066

Monthly
               1,546.67
34,800

4042012
10152030
78442GSC1
SLM STUDENT LOAN TRUST SLMA_06 ABS_06-3-A4
 
 
2
 
128,096.45

128,084.53

128,298.79

128,198.28

(113.75
)
106.01

—

—

0.3141

0.3869

J-A-J-O
                    110.56
486.66

11302012
7252019
78446JAA4
SLM STUDENT LOAN TRUST SLMA_11 ABS 11-2
 
 
2
 
4,334,811.94

4,357,406.31

4,343,231.30

4,337,534.73

19,871.58

3,123.81

—

—

0.7695

0.8051

Monthly
                1,041.90
52,180.58

5182011
11252027
78446TAC8
SLM STUDENT LOAN TRUST SLMA_11 SENIOR ABS_11-C A2B 144A
 
 
2
 
502,508.79

499,038

465,000.00

499,039.13

(1.13
)
(3,469.66
)
—

—

4.54

2.5185

Monthly
0
8,561.69

7312014
10172044
78447FAB9
SLM STUDENT LOAN TRUST SLMA_12 ABS_12-E A2A 144A
 
 
2
 
816,500

799,168.03

800,000.00

810,874.92

(11,706.89
)
(3,188.07
)
—

—

2.09

1.6708

Monthly
                    743.11
16,719.96

3192013
6152045
78447VAA6
SLM STUDENT LOAN TRUST SLMA_13 ABS 13-B 144A
 
 
2
 
1,858,246.99

1,861,313.12

1,858,246.99

1,858,246.99

3,066.13

—

—

—

0.8108

0.8122

Monthly
                   916.68
17,225.69

4252013
7152022
78447CAA8
SLM_12-D ABS 12-D 144A
 
 
2
 
361,976.83

363,468.19

361,976.83

361,976.83

1,491.36

—

—

—

1.2108

1.2138

Monthly
                  320.62
5,799.4

7232012
6152023
78448DAA5
SLMA _14-A SENIOR ABS _14-A-A1 144A
 
 
2
 
1,016,142.54

1,011,856.99

1,012,464.45

1,015,715.84

(3,858.85
)
(905.57
)
—

—

0.7608

0.5433

Monthly
0
3,296.32

8052014
7152022
78442GHZ2
SLMA ABS 03-10A A1D 144A
 
 
2
 
100,000

100,238.8

100,000.00

100,000

238.8

101.13

—

—

0.305

0.3037

Monthly
                   461.94
2,537.07

9232011
12152016
78442GJB3
SLMA ABS 03-10A A1F 144A
 
 
2
 
25,000

24,950

25,000.00

25,000

(50
)
—

—

—

—

—

Monthly
                    35.42
2,792.97

11072011
12152016
784442AC9
SLMA ABS 08_2 A3
 
 
2
 
1,484,824.22

1,506,136.22

1,500,000.00

1,490,534.32

15,601.9

2,095.54

—

—

0.9841

1.1312

J-A-J-O
              2,800.33
14,967.34

3272012
4252023
78444YAD7
SLMA ABS 08-5 A4
 
 
2
 
2,457,718.75

2,460,898.14

2,350,000.00

2,409,903.35

50,994.79

(12,013.61
)
—

—

1.9341

1.3963

J-A-J-O
               8,604.12
46,083.9

1112011
7252023
78442GQP4
SLMA ABS_05-8 A3
 
 
2
 
2,328,754.82

2,365,431.82

2,371,247.43

2,360,796.26

4,635.56

15,394.03

—

—

0.3441

0.8159

J-A-J-O
              2,399.20
10,321.74

6132011
10252024
78445XAA4
SLMA_10-1 ABS 10-1A
 
 
2
 
2,850,268.41

2,835,702.71

2,844,555.05

2,849,918.4

(14,215.69
)
(1,998.51
)
—

—

0.5695

0.4817

Monthly
                   331.03
17,836.87

6022014
3252025
78446JAB2
SLMA_11-2 ABS 11-2
 
 
2
 
6,575,000

6,574,997.96

6,575,000.00

6,575,000

(2.04
)
—

—

—

1.3695

1.3733

Monthly
               1,495.37
90,326.64

5182011
10252034
78447AAA2
SLMA_12-3 ABS_12-3 A
 
 
2
 
1,419,867.96

1,428,629.26

1,419,867.96

1,419,867.96

8,761.3

—

—

—

0.8195

0.8209

Monthly
                   218.30
12,398.7

4242012
12262025
78447EAB2
SLMA_12-5 ABS 12-5
 
 
2
 
5,048,844.6

5,057,211.87

5,057,212.27

5,054,266.23

2,945.64

1,787.11

—

—

0.4695

0.5152

Monthly
                   410.40
24,386.83

7102012
6252019
78447GAB7
SLMA_12-6 ABS 12-6
 
 
2
 
950,820.03

949,786.34

950,522.99

950,763.68

(977.34
)
(117.04
)
—

—

0.4495

0.4221

Monthly
0
1,954.19

7292014
9252019
78447KAB8
SLMA_12-7 ABS 12-7
 
 
2
 
3,997,370

3,998,697.8

4,000,000.00

3,999,015.93

(318.13
)
672.74

—

—

0.4495

0.4691

Monthly
                  296.40
17,638.88

11022012
9252019
78446VAA7
SLMA_12-A ABS 12-A 144A
 
 
2
 
3,252,105.86

3,274,854.87

3,249,976.61

3,251,637.08

23,217.79

(975.41
)
—

—

1.5608

1.5659

Monthly
              3,039.02
60,415.69

5132014
8152025
78447FAA1
SLMA_12-E ABS 12-E 144A
 
 
2
 
1,643,811.93

1,648,239.93

1,643,572.24

1,643,732.37

4,507.56

(177.02
)
—

—

0.9108

0.9125

Monthly
                  975.92
18,473.62

11212013
10162023
78448AAA1
SLMA_13-4 ABS 13-4
 
 
2
 
636,092.57

637,708.23

636,092.57

636,092.57

1,615.66

—

—

—

0.7195

0.7206

Monthly
                    86.77
4,903.61

8062013
6252027
78448BAA9
SLMA_13-5 ABS 13-5 A1
 
 
2
 
212,606.86

212,600.49

212,606.86

212,606.86

(6.37
)
—

—

—

0.4162

0.4165

Monthly
                     41.46
1,770.12

9112013
5252018
78448CAF6
SLMA_13-6 ABS 13-6 A2
 
 
2
 
550,000

550,021.99

550,000.00

550,000

21.99

—

—

—

0.6695

0.6704

Monthly
                     61.28
4,142.02

11062013
2252021
78447RAB3
SLMA_13-A ABS 13-A 144A
 
 
2
 
459,870.23

454,797.41

460,000.00

459,911.51

(5,114.1
)
23.57

—

—

1.77

1.7817

Monthly
                   361.87
8,142

2272013
5172027
78447RAA5
SLMA_13-A ABS 13-A 144A
 
 
2
 
469,500.69

470,572.47

470,088.29

469,672.51

899.96

342.49

—

—

0.7608

0.8282

Monthly
                   212.52
4,180.81

11212013
8152022
78447RAC1
SLMA_13-A ABS 13-A 144A
 
 
2
 
2,425,000

2,440,835.25

2,425,000.00

2,425,000

15,835.25

—

—

—

1.2108

1.2138

Monthly
                 1,311.23
29,619.51

2272013
5172027
78447VAB4
SLMA_13-B ABS_13-B-A2A
 
 
2
 
804,859.37

791,025.2

805,000.00

804,893.53

(13,868.33
)
20.34

—

—

1.85

1.8599

Monthly
                   661.89
14,892.6

4252013
6172030
78447VAC2
SLMA_13-B ABS_13-B-A2B
 
 
2
 
615,000

620,965.51

615,000.00

615,000

5,965.51

—

—

—

1.2608

1.2641

Monthly
                  346.20
7,823.54

4252013
5152030
BRSL51FK6
SNADY CREEK ENERGY ASSOC LP SENIOR SECURED TERM NOTES
 
 
 
 
2,322,501.08

2,292,740.38

2,334,171.93

2,324,277.53

(31,537.15
)
4,460.68

—

—

—

0.0715

F-M-A-N
0
240,978.15

12122013
11092020
BRSM2T5A9
SNL FINANCIAL LC SENIOR SECURED TERM NOTES
 
 
 
 
3,811,002.87

3,791,598.39

3,832,297.39

3,815,221.03

(23,622.64
)
5,292.59

—

—

—

0.1155

M-J-S-D
0
88,809.31

1212014
10232018
83367TBH1
SOCIETE GENERALE SA CAPSEC CORP BND 144A
 
F
1
 
3,870,000

3,650,000

4,000,000.00

3,870,577.07

(220,577.07
)
577.07

—

—

6

6.2277

Jan-Jul
0
79,333.34

8272014
12312049
83703EJY2
SOUTH CAROLINA JOBS-ECONOMIC D MUNI BND REV
 
 
1
 
993,750

995,820

1,000,000.00

994,522.32

1,297.68

772.32

—

—

5

5.3181

May-Nov
0
12,500

1062006
11012016
842400GB3
SOUTHERN CALIFORNIA EDISON CO. SECURED CORP BND
 
 
 
 
4,405,808

4,374,504.07

4,400,000.00

4,404,560.44

(30,056.37
)
(1,269.80
)
—

—

1.125

1.0799

May-Nov
0
39,962.5

5062014
5012017
842808AF4
SOUTHERN ELEC SENIOR CORP BND 144A
 
 
 
 
3,333,899.45

3,315,234.86

3,335,000.00

3,334,140.59

(18,905.73
)
220.90

—

—

2.2

2.2069

Jun-Dec
              7,948.42
73,370

11182013
12012018
84650WAD8
SPAREBNK 1 BOLIG LOCAL BND 144A
 
F
 
 
5,486,580

5,621,824.4

5,500,000.00

5,493,363.37

128,461.03

2,553.82

—

—

2.3

2.3501

Jun-Dec
                   351.38
126,500

3292012
6302017
84650WAE6
SPAREBNK 1 BOLIG SECURED LOCAL BND 144A
 
F
 
 
5,854,157

5,790,083.07

5,900,000.00

5,867,468.82

(77,385.75
)
6,323.29

—

—

1.75

1.8690

May-Nov
              13,193.06
103,250

11072012
11152019
84650WAB2
SPAREBNK 1 BOLIG SECURED LOCAL BND 144A
 
F
 
 
7,999,374.1

7,991,724

7,800,000.00

7,881,695.09

110,028.91

(57,581.86
)
—

—

2.625

1.8621

May-Nov
             19,337.50
204,750

12062012
5272016
84861CAA3
SPMF 2014-4A SENIOR CMBS _14-4A A1
 
 
2
 
3,992,636

3,998,706.36

4,000,000.00

3,992,611.94

6,094.42

(24.06
)
—

—

3.5

3.5253

Monthly
0
13,611.11

11212014
1202045
78467MAA1
SRER_11-RS ABS_11-RS A1B1 144A
 
F
2
 
2,965,852.5

2,952,592.09

3,099,834.22

2,986,646.38

(34,054.29
)
23,169.35

—

—

0.4072

7.1023

Monthly
0
2,875.26

11132014
5092046
85571XAL1
SRTP _14-STAR ABS _14-STAR -B
 
 
2
 
2,000,000

2,009,052

2,000,000.00

2,000,000

9,052

—

—

—

1.8108

1.8176

Monthly
0
6,023.41

11072014
11152027
30250GAA6
SSGN_10-S1 CMO_10-S1-1A 144A
 
 
2
 
336,603.3

336,730.54

336,603.30

336,603.3

127.24

(0.01
)
—

—

0.7195

0.7203

Monthly
                    20.50
3,076.86

3052010
2252048
790849AH6
ST JUDE MEDICAL INC CORP BND
 
 
 
 
3,075,420

3,047,073

3,000,000.00

3,040,761.28

6,311.72

(28,115.09
)
—

—

2.5

1.2489

Jan-Jul
            23,055.56
56,250

9192013
1152016
86789MAR8
STA_05-1F STA_05-1F
 
 
2
 
1,601,723.32

1,644,185.2

1,841,844.60

1,605,103.24

39,081.96

(3,876.22
)
—

—

5.75

8.9435

Monthly
0
26,672.57

12312008
12252035
W86201RD9
STADSHYPOTEK AB SECURED LOCAL BND
 
D
 
 
2,045,447.75

2,029,023.31

1,300,000.00

2,045,714.83

(16,691.52
)
382.40

—

(18,953.3
)
0.78525

0.7971

F-M-A-N
              2,533.88
20,337.11

11132013
2152016
855030AL6
STAPLES INC SENIOR CORP BND
 
 
1
 
4,970,658

4,902,887.18

4,900,000.00

4,965,327.01

(62,439.83
)
(5,330.99
)
—

—

2.75

2.2799

Jan-Jul
0
33,687.5

2212013
1122018
BRSJH5B15
STAR WEST GENERATION LLC SENIOR SECURED TERM NOTES
 
 
2
 
824,139.9

819,591.6

827,870.30

824,781.31

(5,189.71
)
2,024.39

—

—

—

0.0709

M-J-S-D
0
(845.06
)
12022013
3132020
855244AF6
STARBUCKS CORP SENIOR CORP BND
 
 
1
 
498,600

497,199.37

500,000.00

498,687.6

(1,488.23
)
87.60

—

—

2

2.0700

Jun-Dec
0
2,500

12022013
12052018
BRSJ08S50
STARWOOD PROPERTY TRUST INC SECURED TERM LOAN
 
 
 
 
3,401,999.74

3,341,533.49

3,414,082.74

3,403,954.47

(62,420.98
)
2,068.25

—

—

—

0.0553

M-J-S-D
0
113,331.01

3192014
4172020
857477AK9
STATE STREET CORP SENIOR CORP BND
 
 
 
 
4,051,931.5

4,014,451.42

4,075,000.00

4,057,280.84

(42,829.42
)
4,967.75

—

—

1.35

1.3699

May-Nov
              5,606.25
54,765

1062014
5152018
85771PAR3
STATOILHYDRO ASA SENIOR CORP BND
 
F
 
 
3,297,594

3,287,075.13

3,300,000.00

3,298,383.28

(11,308.15
)
1,064.65

—

—

1.95

1.9800

May-Nov
             13,780.00
84,879.17

11052013
11082018
85771PAD4
STATOILHYDRO ASA SENIOR CORP BND
 
F
 
 
4,124,260

4,047,963.56

4,000,000.00

4,071,775.56

(23,812
)
(30,929.58
)
—

—

1.8

0.7928

May-Nov
              11,400.00
96,150

4112013
11232016
85771PAJ1
STATOILHYDRO ASA SENIOR CORP BND
 
F
 
 
10,202,467.5

10,021,046.98

10,250,000.00

10,213,213.87

(192,166.89
)
8,337.67

—

—

1.15

1.1950

May-Nov
             13,224.99
113,043.4

4292014
5152018
BRSMDLA59
STENA INTERNATIONAL SARL
 
 
 
 
1,840,137.48

1,644,971.39

1,858,724.73

1,842,221.87

(197,250.48
)
2,224.85

—

—

—

0.1426

M-J-S-D
0
59,160.8

 
 
8628113T1
STRATFORD REC CO LLC MUNITAX BND GO
 
 
 
 
782,955

777,922.5

750,000.00

780,878.65

(2,956.15
)
(2,076.35
)
—

—

2.989

1.8094

Feb-Aug
0
5,604.37

10182013
8152018
BRSM7GLZ9
STS OPERATING
 
 
 
 
798,547.84

790,522.23

802,560.64

799,024.65

(8,502.42
)
507.14

—

—

—

0.0712

M-J-S-D
0
26,855.58

 
 
864425AB9
SUBURBAN HOSP HEALTHCARE SYS I MUNITAX BND REV
 
 
2
 
258,912.36

254,943.36

252,000.00

257,689.17

(2,745.81
)
(1,223.19
)
—

—

7.705

5.5970

Feb-Aug
0
4,854.15

3232005
2152016
BRSMQX4D9
SUNGARD AVAILABILITY SERVICES SENIOR SECURED TERM NOTES
 
 
1
 
1,739,051.54

1,559,269.75

1,741,228.08

1,739,224.85

(179,955.1
)
184.27

—

—

—

0.0268

M-J-S-D
0
47,612.89

7112014
3292019
BRSHJ8GU2
SUNGARD DATA SYSTEMS INC SENIOR SECURED TERM LOAN
 
 
2
 
2,057,452.86

2,047,139.81

2,062,609.38

2,058,761.59

(11,621.78
)
3,810.18

—

—

—

0.0355

J-A-J-O
0
240,426.96

3072013
3082020
W91297AA4
SVENSKA HANDELSBANKEN AB CORP BND
 
D
 
 
1,604,081.6

1,590,237.26

960,000.00

1,600,428.56

(10,191.3
)
(3,653.04
)
—

(10,300.01
)
5.5

0.9820

May
0
4,540.36

12102014
5262016
W94232CA6
SWEDBANK AB SENIOR CORP BND
 
F
 
 
4,991,550

5,037,578.7

5,000,000.00

4,992,909.11

44,669.59

1,359.11

—

—

2.375

2.4111

Feb-Aug
0
100,277.78

2202014
2272019
87020DAL8
SWEDEN KINGDOM CORP BND MTN 144A
 
F
 
 
2,695,518

2,714,714.95

2,700,000.00

2,697,364.37

17,350.58

1,388.40

—

—

1

1.0529

May-Nov
              3,450.00
27,000

8222013
11152016
87165LAA9
SYNCT_14-1 SENIOR ABS _14-1-A
 
 
2
 
904,748.95

901,696.77

905,000.00

904,757.96

(3,061.19
)
9.01

—

—

1.61

1.6250

Monthly
0
1,659.42

11142014
11152020
BRSEM91J4
SYNIVERSE HLDGS SENIOR SEC TERM NOTES
 
 
 
 
2,812,674.91

2,766,507.27

2,841,085.77

2,823,505.86

(56,998.59
)
4,063.69

—

—

—

0.1421

J-A-J-O
0
117,747.22

4202012
4232019
871829AS6
SYSCO CORP SENIOR CORP BND
 
 
1
 
2,995,920

3,015,062.49

3,000,000.00

2,996,113.32

18,949.17

193.32

—

—

2.35

2.3790

Apr-Oct
0
17,429.17

9232014
10022019
871829AT4
SYSCO CORP SENIOR CORP BND
 
 
1
 
7,045,090

7,089,701.36

7,000,000.00

7,045,095.54

44,605.82

5.54

—

—

3

2.8906

Apr-Oct
0
32,916.67

12152014
10022021
874060AB2
TAKEDA PHARMACEUTICAL CO LTD UNSECURED CORP BND 144A
 
F
 
 
6,819,922.5

6,777,322.99

6,750,000.00

6,786,412.34

(9,089.35
)
(16,155.10
)
—

—

1.625

1.3759

Mar-Sep
             41,076.39
132,888.89

3192013
3172017
89236PAD5
TAOT_12-A ABS 12-A
 
 
2
 
749,928.68

751,687.49

750,000.00

749,979.47

1,708.02

20.21

—

—

0.99

0.9946

Monthly
                  330.00
7,425

4112012
8152017
89231NAC7
TAOT_12-B ABS 12-B
 
 
2
 
1,757,041.06

1,757,155.46

1,757,208.18

1,757,168.37

(12.91
)
144.39

—

—

0.46

0.4644

Monthly
                   817.78
14,476.68

9182012
7152016
89236VAC4
TAOT_13-B ABS 13-B A3
 
 
2
 
764,963.51

766,430.52

765,000.00

764,980.88

1,449.64

14.97

—

—

0.89

0.8935

Monthly
                  302.60
6,808.44

9112013
7172017
89231MAC9
TAOT_14-A ABS_14-A A3
 
 
2
 
3,744,307.92

3,735,025.49

3,745,000.00

3,744,543.45

(9,517.96
)
235.53

—

—

0.67

0.6791

Monthly
0
19,655.02

3112014
12152017
89231RAD6
TAOT_14-B SENIOR ABS _14-B-A4
 
 
2
 
9,998,335

9,994,815.8

10,000,000.00

9,998,583.37

(3,767.57
)
248.37

—

—

1.31

1.3185

Monthly
0
70,230.57

6102014
9162019
89190AAD2
TAOT_14-C ABS _14-C-A4
 
 
2
 
2,499,252.75

2,495,411.3

2,500,000.00

2,499,298.45

(3,887.15
)
45.70

—

—

1.44

1.4535

Monthly
0
7,600

10072014
4152020
87609FAA6
TAR HEEL RE LTD UNSEC CORP BND 144A
 
F
 
 
7,000,000

7,385,770

7,000,000.00

7,000,000

385,770

—

—

—

8.5325

8.6252

M-J-S-D
             19,963.47
603,133.74

4022013
5092016
87638TAJ2
TARRANT CNTY TEX CULTURAL ED F MUNI BND REV
 
 
1
 
1,095,910

1,091,210

1,000,000.00

1,085,802.77

5,407.23

(10,107.23
)
—

—

5

0.9084

Feb-Aug
0
12,500

4262007
2152018
BRSE99EZ9
TELESAT CANADA / TELESAT LLC SENIOR SECURED TERM LOAN
 
A
2
 
4,828,874.72

4,786,540.37

4,840,977.16

4,832,350.16

(45,809.79
)
2,638.18

—

—

—

0.0415

M-J-S-D
0
213,775.67

3272013
3282019
87970UAE6
TELOS_14-6A ABS _14-6A-B1 144A
 
F
2
 
2,405,585

2,413,437.08

2,500,000.00

2,406,644.23

6,792.85

1,059.23

—

—

2.3326

2.9893

J-A-J-O
0
4,697.6

10302014
1172027
Z91GFLXY5
TEMSE_1 ABS 1 A
 
D
2
 
649,017.8

631,955.98

404,485.87

649,017.8

(17,061.82
)
—

—

(18,323.21
)
1.40475

1.4087

Monthly
                  435.87
13,586.54

11072013
11212021
BRSPDEXA2
TEREX CORP
 
 
 
 
804,045.46

796,653.88

806,060.61

804,134.12

(7,480.24
)
93.71

—

—

—

0.0358

M-J-S-D
0
8,641.97

 
 
BRSQPSFE8
TERRA-GEN FINANCE CO LLC SENIOR SECURED TERM NOTES
 
 
1
 
710,714.28

707,142.85

714,285.71

710,714.28

(3,571.43
)
—

—

—

—

0.0728

M-J-S-D
0
—

11262014
12092021
88165FAC6
TEVA PHARMACEUTICAL FIN CO. BV CORP BND
 
F
 
 
1,026,840

1,018,469.14

1,000,000.00

1,023,635.75

(5,166.61
)
(3,349.00
)
—

—

2.4

1.1099

May-Nov
              8,500.00
28,166.67

11072011
11102016
88166CAA6
TEVA PHARMACEUTICAL FINANCE II CORP BND
 
F
 
 
3,995,040

4,038,140.8

4,000,000.00

3,999,517.88

38,622.92

1,041.40

—

—

3

3.0270

Jun-Dec
              5,333.33
120,000

6152010
6152015
882117V27
TEXAS A & M UNIVERSITY MUNITAX BND REV
 
 
 
 
1,000,000

1,008,930

1,000,000.00

1,000,000

8,930

—

—

—

1.239

1.2390

Jan-Jul
               6,195.00
12,390

6262012
7012016
88224LAC2
TEXAS CHILDRENS HEALTH PLAN (T MUNITAX BND N/A
 
 
 
 
1,500,000

1,498,050

1,500,000.00

1,500,000

(1,950
)
—

—

—

1.305

1.3050

Apr-Oct
0
815.63

12092014
10012017
88224LAE8
TEXAS CHILDRENS HEALTH PLAN (T MUNITAX BND N/A
 
 
 
 
2,000,000

2,000,000

2,000,000.00

2,000,000

—

—

—

—

2.075

2.0750

Apr-Oct
0
1,729.16

12092014
10012019
882508AR5
TEXAS INSTRUMENTS INCORPORATED CORP BND
 
 
 
 
514,270

510,205

500,000.00

512,045.61

(1,840.61
)
(2,224.39
)
—

—

2.375

0.6100

May-Nov
0
2,968.75

5162011
5162016
882508AX2
TEXAS INSTRUMENTS INCORPORATED SENIOR CORP BND
 
 
 
 
2,320,396.5

2,309,691.8

2,325,000.00

2,321,621.96

(11,930.16
)
1,225.46

—

—

0.875

0.9421

Mar-Sep
0
16,331.51

3052014
3122017
882508AV6
TEXAS INSTRUMENTS INCORPORATED SENIOR CORP BND
 
 
 
 
2,470,300

2,443,033.99

2,500,000.00

2,477,106.95

(34,072.96
)
4,444.74

—

—

1

1.1929

May-Nov
              3,333.33
21,250

5012013
5012018
882723JE0
TEXAS ST MUNI BND GO
 
 
1
 
38,880.1

38,448.9

35,000.00

38,486.08

(37.18
)
(394.02
)
—

—

5

0.5349

Apr-Oct
0
437.5

6072007
4012019
882723JY6
TEXAS ST MUNI BND GO
 
 
1
 
1,071,169.3

1,060,091.1

965,000.00

1,060,391.27

(300.17
)
(10,778.03
)
—

—

5

0.5666

Apr-Oct
0
12,062.5

6072007
4012019
882722AY7
TEXAS ST MUNI BND GO
 
 
 
 
2,726,575

2,693,100

2,500,000.00

2,695,543.77

(2,443.77
)
(31,031.23
)
—

—

5.25

0.2967

Feb-Aug
0
32,812.5

12042008
8012016
882806AT9
TEXAS TECH UNIV MUNI BND REV
 
 
1
 
2,263,420

2,263,220

2,000,000.00

2,248,785.09

14,434.91

(14,634.91
)
—

—

5

1.8515

Feb-Aug
0
25,000

2032009
2152024
88283LEJ1
TEXAS TRANSN COMMN ST HWY FD MUNI BND REV
 
 
1
 
1,105,800

1,096,950

1,000,000.00

1,095,076.7

1,873.3

(10,723.30
)
—

—

5

0.7265

Apr-Oct
0
12,500

9262007
4012019
63902HAA7
THE NATURE CONSESRVANCY MUNI BND REV
 
 
 
 
3,437,400

3,404,580

3,000,000.00

3,415,821.49

(11,241.49
)
(21,578.51
)
—

—

6.3

2.9854

Jan-Jul
0
47,250

6182009
7012019
883556AY8
THERMO FISHER SCIENTIFIC INC CORP BND
 
 
 
 
516,180

511,675

500,000.00

513,268.85

(1,593.85
)
(2,911.15
)
—

—

3.2

0.9002

Mar-Sep
0
4,000

2142011
3012016
883556BA9
THERMO FISHER SCIENTIFIC INC CORP BND
 
 
 
 
1,158,759

1,167,510.15

1,150,000.00

1,158,189.11

9,321.04

(1,091.39
)
—

—

2.25

2.2871

Feb-Aug
              5,525.00
17,437.5

8092011
8152016
883556BB7
THERMO FISHER SCIENTIFIC INC SENIOR CORP BND
 
 
 
 
5,003,150

4,966,389.1

5,000,000.00

5,002,954.63

(36,565.53
)
(195.37
)
—

—

1.85

1.8299

Jan-Jul
0
23,125

8162012
1152018
883556BE1
THERMO FISHER SCIENTIFIC INC SENIOR CORP BND
 
 
 
 
6,824,023.1

6,774,222.44

6,810,000.00

6,823,185.62

(48,963.18
)
(718.15
)
—

—

2.4

2.4130

Feb-Aug
              2,933.33
34,881.67

12162014
2012019
87247CAA1
TICP_14-2A ABS _14-2A-A1A 144A
 
F
1
 
3,720,000

3,712,919.16

3,750,000.00

3,720,146.79

(7,227.63
)
146.79

—

—

1.6811

1.8334

J-A-J-O
0
1,752.7

12172014
7202026
BRSN1NQ83
TIME INC (USA) SENIOR SECURED TERM LOAN
 
 
 
 
2,207,870.68

2,210,658.4

2,230,172.41

2,209,682.3

976.1

1,923.68

—

—

—

0.1441

M-J-S-D
0
45,230.63

4172014
4242021
88732JAS7
TIME WARNER CABLE INC CORP BND
 
 
 
 
1,069,630.2

1,062,747.96

870,000.00

1,067,094.94

(4,346.98
)
(2,535.26
)
—

—

8.25

2.5829

Apr-Oct
0
3,987.5

12082014
4012019
88732JAL2
TIME WARNER CABLE INC CORP BND
 
 
 
 
1,542,151

1,491,774.4

1,300,000.00

1,509,977.93

(18,203.53
)
(32,173.07
)
—

—

6.75

1.9531

Jan-Jul
0
48,993.75

6052014
7012018
88732JAX6
TIME WARNER CABLE INC CORP BND
 
 
1
 
4,156,840

4,261,987.32

4,000,000.00

4,138,618.15

123,369.17

(18,221.85
)
—

—

4.125

3.4666

Feb-Aug
0
143,000

2132014
2152021
880591ER9
TN VLY AUTHORITY AGENCY BND
 
 
 
 
4,947,000

5,104,299.95

5,000,000.00

4,948,174.03

156,125.92

1,174.03

—

—

2.875

2.9990

Mar-Sep
0
36,736.11

9242014
9152024
880591EQ1
TN VLY AUTHORITY SENIOR AGENCY BND
 
 
 
 
2,552,790.6

2,585,442.98

2,565,000.00

2,555,751.48

29,691.5

4,010.53

—

—

1.75

1.8491

Apr-Oct
            22,860.93
76,767.74

9242013
10152018
891145RB2
TORONTO-DOMINION BANK/THE CORP BND 144A
 
A
 
 
5,065,250

5,059,700

5,000,000.00

5,056,746.73

2,953.27

(8,503.27
)
—

—

1.625

0.9498

Mar-Sep
0
20,312.5

12212011
9142016
891145TN4
TORONTO-DOMINION BANK/THE SECURED LOCAL BND 144A
 
A
 
 
5,138,450

5,139,167.49

5,100,000.00

5,135,143.51

4,023.98

(5,220.70
)
—

—

1.5

1.5710

Mar-Sep
              7,200.00
43,395.83

8132014
3132017
89114QAQ1
TORONTO-DOMINION BANK/THE SENIOR CORP BND MTN
 
A
 
 
472,724.75

472,773.15

475,000.00

472,779.31

(6.16
)
1,493.82

—

—

1.125

1.3290

May-Nov
0
15,578.12

12082014
5022017
89114QAG3
TORONTO-DOMINION BANK/THE SENIOR CORP BND MTN
 
A
 
 
2,938,030.2

2,902,505.77

2,940,000.00

2,938,674.1

(36,168.33
)
386.60

—

—

1.4

1.4139

Apr-Oct
              6,974.33
41,160

4232013
4302018
89114QAV0
TORONTO-DOMINION BANK/THE SENIOR CORP BND MTN
 
A
 
 
3,393,914

3,391,276.38

3,400,000.00

3,394,096

(2,819.62
)
182.00

—

—

2.25

2.2881

May-Nov
0
11,900

10302014
11052019
89153UAD3
TOTAL CAPITAL CANADA LTD SENIOR CORP BND
 
A
 
 
2,502,892

2,504,400.08

2,500,000.00

2,501,667.66

2,732.42

(1,224.34
)
—

—

0.6106

0.5469

J-A-J-O
              2,702.27
14,794.31

3252014
1152016
89153VAA7
TOTAL CAPITAL INTERNATIONAL SA CORP BND
 
F
 
 
4,318,693

4,343,138.52

4,325,000.00

4,326,023.73

17,114.79

2,035.22

—

—

1.5

1.5911

Feb-Aug
             18,564.59
53,625

2142012
2172017
89153VAC3
TOTAL CAPITAL INTERNATIONAL SA CORP BND
 
F
 
 
5,739,247.5

5,778,181.04

5,750,000.00

5,744,541.1

33,639.94

2,133.37

—

—

1.55

1.5891

Jun-Dec
                   742.71
89,125

6212012
6282017
89153VAF6
TOTAL CAPITAL INTERNATIONAL SA SENIOR CORP BND
 
F
 
 
199,452

199,686.76

200,000.00

199,702.98

(16.22
)
181.44

—

—

1

1.0931

Feb-Aug
                  772.22
2,000

8052013
8122016
89153VAJ8
TOTAL CAPITAL INTERNATIONAL SA SENIOR CORP BND
 
F
 
 
399,120

398,011.84

400,000.00

399,400.35

(1,388.51
)
280.35

—

—

1

1.0751

Jan-Jul
0
3,844.44

1082014
1102017
89153VAD1
TOTAL CAPITAL INTERNATIONAL SA SENIOR CORP BND
 
F
 
 
2,173,434

2,175,505.25

2,175,000.00

2,174,494.11

1,011.14

471.20

—

—

0.75

0.7720

Jan-Jul
              7,068.75
16,312.5

9182012
1252016
89153VAK5
TOTAL CAPITAL INTERNATIONAL SA TOTAL CAPITAL INTERNATIONAL SA
 
F
 
 
1,998,760

2,001,455.54

2,000,000.00

1,998,854.88

2,600.66

94.88

—

—

2.125

2.1399

Jan-Jul
0
10,625

1082014
1102019
89152UAA0
TOTAL CAPITAL S.A. CORP BND
 
F
 
 
5,126,400

5,094,800

5,000,000.00

5,094,325.81

474.19

(32,074.19
)
—

—

3.125

0.5996

Apr-Oct
0
39,062.5

9252009
10022015
89152UAE2
TOTAL CAPITAL S.A. CORP BND
 
F
 
 
3,074,370

3,052,845

3,000,000.00

3,061,315.3

(8,470.3
)
(13,054.70
)
—

—

2.3

0.5902

Mar-Sep
0
17,250

9082010
3152016
F9208ZKB2
TOTAL CAPITAL S.A. CORP BND MTN
 
D
 
 
1,654,432.94

1,643,299.7

970,000.00

1,652,040.86

(8,741.16
)
(2,392.08
)
—

(10,632.18
)
4.25

1.2673

December
0
3,545.01

12102014
12082017
89152UAG7
TOTAL CAPITAL S.A. SENIOR CORP BND
 
F
 
 
5,998,320

6,039,290.34

6,000,000.00

5,998,765.89

40,524.45

324.82

—

—

2.125

2.1310

Feb-Aug
             49,229.17
127,500

8052013
8102018
BRSM7GUN6
TOWER AUTOMOTIVE HOLDINGS USA SENIOR SECURED TERM NOTES
 
 
 
 
500,781.32

492,653.98

500,156.32

500,734.75

(8,080.77
)
(46.57
)
—

—

—

(0.0215
)
M-J-S-D
0
7,689.54

7092014
4232020
89236RAC3
TOYOTA AUTO RECEIVABLES OWNER ABS_13-A A3
 
 
2
 
3,627,319.97

3,627,886.39

3,627,347.89

3,627,320.94

565.45

3.58

—

—

0.55

0.5507

Monthly
                  949.67
21,304.58

4092013
1172017
89236RAD1
TOYOTA AUTO RECEIVABLES OWNER ABS_13-A A4
 
 
2
 
764,782.82

763,010.87

765,000.00

764,893.76

(1,882.89
)
65.24

—

—

0.69

0.6997

Monthly
                  234.60
5,278.56

4092013
11152018
89236TBD6
TOYOTA MOTOR CREDIT CORP CORP BND
 
 
1
 
2,991,000

2,981,658.12

3,000,000.00

2,992,960.09

(11,301.97
)
1,960.09

—

—

0.75

0.8592

M-J-S-D
0
29,057.29

7232014
3052017
89233P5E2
TOYOTA MOTOR CREDIT CORP CORP BND MTN
 
 
 
 
4,636,515

4,578,339.74

4,500,000.00

4,583,257.5

(4,917.76
)
(30,536.65
)
—

—

2

0.8630

Mar-Sep
            35,333.33
109,972.22

4052013
9152016
89236TAL9
TOYOTA MOTOR CREDIT CORP SENIOR CORP BND
 
 
 
 
4,997,950

4,998,077

5,000,000.00

4,999,053.87

(976.87
)
681.24

—

—

0.8

0.8139

May-Nov
              4,888.90
40,000

5142013
5172016
89236TBP9
TOYOTA MOTOR CREDIT CORP SENIOR CORP BND
 
 
 
 
4,989,750

4,999,765

5,000,000.00

4,990,320.4

9,444.6

570.40

—

—

2.125

2.1699

Jan-Jul
0
26,562.5

7152014
7182019
89236TBH7
TOYOTA MOTOR CREDIT CORP SENIOR CORP BND MTN
 
 
 
 
1,499,205

1,494,946.86

1,500,000.00

1,499,369.01

(4,422.15
)
164.01

—

—

1.125

1.1430

May-Nov
0
10,546.88

5132014
5162017
89236TBB0
TOYOTA MOTOR CREDIT CORP SENIOR CORP BND MTN
 
 
 
 
5,495,325

5,522,100.82

5,500,000.00

5,496,181.86

25,918.96

856.86

—

—

2.1

2.1180

Jan-Jul
0
110,366.67

1142014
1172019
89233P6D3
TOYOTA MOTOR CREDIT CORP SENIOR CORP BND MTN
 
 
 
 
5,883,808

5,862,705.13

5,800,000.00

5,873,017.81

(10,312.68
)
(19,248.62
)
—

—

1.75

1.1119

May-Nov
              4,739.58
67,049.32

2052014
5222017
BRSJ5FFE4
TPF GENERATION HOLDINGS LLC SENIOR SECURED TERM LOAN
 
 
1
 
490,037.5

448,175

492,500.00

490,891.73

(42,716.73
)
557.67

—

—

—

0.1078

J-A-J-O
0
23,898.76

5062013
12312017
89267XAF5
TRADEWYND RE LTD CORP BND 144A
 
F
 
 
500,000

499,900

500,000.00

500,000

(100
)
—

—

—

0.750011

0.7507

J-A-J-O
0
145.84

12052014
1082018
89267XAG3
TRADEWYND RE LTD CORP BND 144A
 
F
 
 
500,000

501,325

500,000.00

500,000

1,325

—

—

—

0.770279

0.7710

J-A-J-O
0
149.78

12052014
1082016
89267XAH1
TRADEWYND RE LTD CORP BND 144A
 
F
 
 
19,250,000

19,261,550

19,250,000.00

19,250,000

11,550

—

—

—

0.775349

0.7761

J-A-J-O
0
5,804.35

12052014
1082018
89289YAB6
TRAMLINE RE II LTD CORP BND 144A
 
F
 
 
1,000,000

1,006,490

1,000,000.00

1,000,000

6,490

—

—

—

9.775349

9.7753

J-A-J-O
0
2,715.37

12042014
1042019
893526DL4
TRANSCANADA PIPELINES LIMITED SENIOR CORP BND
 
A
 
 
1,394,806

1,400,378

1,400,000.00

1,399,709.45

668.55

3,373.11

—

—

0.875

1.0008

Mar-Sep
               8,460.16
23,703.4

2282012
3022015
BRSNBE338
TRANSDIGM INC SENIOR SECURED TERM LOAN
 
 
1
 
3,968,731.21

3,930,978.6

3,987,481.21

3,968,802.65

(37,824.05
)
71.44

—

—

—

0.0720

M-J-S-D
0
27,973.55

11142014
6042021
893830BB4
TRANSOCEAN INC CORP BND
 
F
 
 
3,723,969.59

3,134,790

3,426,000.00

3,710,367.67

(575,577.67
)
(40,657.41
)
—

—

6.375

4.9494

Jun-Dec
             14,095.83
249,814.83

9172014
12152021
BRSMMP9T0
TRANSUNION LLC SENIOR SECURED TERM LOAN
 
 
1
 
2,419,218.74

2,397,997.53

2,425,281.95

2,419,808.38

(21,810.85
)
635.45

—

—

—

0.0355

M-J-S-D
0
66,604.63

3212014
4092021
BRSL5JDW3
TRIBUNE COMPANY SENIOR SECURED TERM NOTES
 
 
 
 
9,460,229.59

9,368,377.64

9,483,939.44

9,463,495.74

(95,118.1
)
5,268.80

—

—

—

0.0355

M-J-S-D
0
385,107.44

11212013
12272020
BRSEQLBQ6
TRICORBRAUN INC SENIOR SECURED TERM LOAN
 
 
 
 
2,422,493.34

2,403,210.78

2,434,666.67

2,427,854.6

(24,643.82
)
2,037.67

—

—

—

0.0828

M-J-S-D
0
100,902.48

4302012
5032018
872882AC9
TSMC GLOBAL LTD SENIOR CORP BND 144A
 
F
 
 
5,711,170.95

5,604,643.35

5,715,000.00

5,712,474.03

(107,830.68
)
750.12

—

—

1.625

1.6390

Apr-Oct
             22,701.25
92,868.76

3272013
4032018
898711Q33
TUCSON ARIZ CTFS PARTN MUNITAX BND GO
 
 
 
 
506,550

505,230

500,000.00

505,965.81

(735.81
)
(584.19
)
—

—

2.139

1.6499

Jan-Jul
0
2,673.75

3222012
7012017
8987968N0
TUCSON ARIZ CTFS PARTN MUNITAX BND REV
 
 
 
 
2,350,846

2,326,171

2,350,000.00

2,350,805.34

(24,634.34
)
(40.66
)
—

—

1.48

1.4699

Jan-Jul
0
8,695

5222013
7012018
BRSG6Z2D1
TURBF_12-3 SENIOR ABS 12-3
 
D
2
 
73,070.55

71,716.85

45,982.35

73,070.55

(1,353.7
)
(0.02
)
—

(1,372.57
)
1.10381

1.1062

Monthly
                  205.53
3,393.56

11132012
11202019
BRSL4ZHF1
TURBF_13-4 SENIOR ABS 13-4 A
 
D
2
 
1,031,320.02

1,006,238.71

644,796.66

1,031,320.02

(25,081.31
)
(288.98
)
—

(25,920.83
)
1.08538

1.0878

Monthly
                  567.94
17,280.94

11082013
1202021
BRSPQCUZ0
TURBF_5 ABS 5 A
 
D
2
 
1,427,140

1,372,455.59

880,000.00

1,427,140

(54,684.41
)
—

—

(55,000
)
0.97381

0.9758

Monthly
0
4,610

9162014
8202021
902133AQ0
TYCO ELECTRONICS GROUP SA SENIOR CORP BND
 
F
1
 
1,634,149.8

1,627,515.69

1,635,000.00

1,634,217.62

(6,701.93
)
67.82

—

—

2.35

2.3611

Feb-Aug
0
16,116.11

7282014
8012019
902494AW3
TYSON FOODS INC SENIOR CORP BND
 
 
1
 
1,998,680

2,015,699.92

2,000,000.00

1,998,781.93

16,917.99

101.93

—

—

2.65

2.6641

Feb-Aug
0
21,052.78

8052014
8152019
BRSPC8H22
UAL_12-2A SENIOR SECURED TERM LOAN
 
 
1
 
3,375,000

3,387,784.09

3,409,090.91

3,376,215.46

11,568.63

1,215.46

—

—

—

0.1425

M-J-S-D
0
26,278.41

8062014
9152021
90261XHC9
UBS AG (STAMFORD BRANCH) SENIOR CORP BND MTN
 
 
 
 
3,887,442

3,875,641.38

3,900,000.00

3,889,007.1

(13,365.72
)
2,826.35

—

—

1.375

1.4851

Feb-Aug
0
36,830.9

8112014
8142017
G918UHAA3
UBS AG JERSEY BRANCH CORP BND EMTN
 
D
1
 
822,265.02

819,885.61

450,000.00

820,810.87

(925.26
)
(1,572.65
)
—

(5,646.17
)
6.375

2.7631

November
0
3,202.89

12042014
11192024
G916E2AB6
UBS AG, LONDON BRANCH CORP BND EMTN
 
D
 
 
2,009,790.42

1,988,508.56

1,180,000.00

2,002,736.49

(14,227.93
)
(7,760.21
)
—

(15,232.12
)
6.375

1.1107

July
0
9,618.49

12032014
7202016
90349CAB0
UBS AG, LONDON BRANCH SENIOR CORP BND 144A
 
F
 
 
1,994,860

1,997,960.06

2,000,000.00

1,997,879.48

80.58

1,713.25

—

—

0.75

0.8371

Mar-Sep
               4,041.67
15,000

3212013
3242016
90264AAA7
UBS PD FD TST IV CORP BND
 
 
1
 
5,206,250

5,162,550.35

5,000,000.00

5,206,250

(43,699.65
)
—

—

—

6.243

5.9957

May-Nov
0
40,752.91

11102014
1019999
90270YBD0
UBSBB_13-C5 PRELCF SENIOR CMBS_13-C5-A2
 
 
2
 
1,368,685.5

1,365,644.88

1,355,000.00

1,368,002.44

(2,357.56
)
(683.06
)
—

—

2.1365

1.9330

Monthly
0
7,639.45

9232014
3102046
904764AL1
UNILEVER CAPITAL CORP SENIOR CORP BND
 
 
 
 
523,330

511,418

500,000.00

511,566.96

(148.96
)
(23,666.94
)
—

—

2.75

0.6522

Feb-Aug
             14,002.09
32,633.33

11062013
2102016
904764AQ0
UNILEVER CAPITAL CORP SENIOR CORP BND
 
 
 
 
2,616,071.25

2,648,452.21

2,625,000.00

2,619,797.58

28,654.63

9,143.11

—

—

2.2

2.4240

Mar-Sep
             48,315.97
113,529.17

9112013
3062019
904764AP2
UNILEVER CAPITAL CORP SENIOR CORP BND
 
 
 
 
5,065,740

5,062,912.06

5,125,000.00

5,085,296.21

(22,384.15
)
22,742.85

—

—

0.85

1.0940

Feb-Aug
              31,310.69
63,627.81

7302012
8022017
BRSMNJ591
UNILEVER PLC SENIOR CORP BND EMTN
 
D
 
 
629,791.5

607,621.4

380,000.00

630,091.06

(22,469.66
)
373.55

—

(39,220.82
)
2

2.0630

December
0
12,116.23

3192014
12192018
907818DA3
UNION PACIFIC CORPORATION CORP BND
 
 
 
 
1,999,631.7

1,987,162.47

1,749,000.00

1,983,834.11

3,328.36

(15,797.59
)
—

—

5.7

1.8501

Feb-Aug
0
24,923.25

12052012
8152018
G9T44MEB4
UNITED KINGDOM GILT GOVT BND
 
D
 
 
5,144,272.79

4,969,604.18

3,160,000.00

5,146,311.69

(176,707.51
)
40,651.31

—

(232,705.66
)
1

1.1072

Mar-Sep
              10,448.13
110,514.7

10242014
9072017
G92451GE0
UNITED KINGDOM GILT GOVT BND
 
D
 
 
13,203,783.91

12,912,012.81

8,075,000.00

13,186,797.54

(274,784.73
)
(55,804.78
)
—

(325,140.1
)
1.75

0.6968

Jan-Jul
           128,126.96
132,557.89

12152014
1222017
G92450YY8
UNITED KINGDOM GILT GOVT BND
 
D
 
 
19,015,291.88

18,900,954.07

11,440,000.00

18,972,896.45

(71,942.38
)
(824,323.83
)
—

(93,046.23
)
4

0.5026

Mar-Sep
         759,668.82
1,055,914.87

12152014
9072016
912828TB6
UNITED STATES TREASURY GOVT BND
 
 
 
 
905,440.52

896,481

900,000.00

902,758.38

(6,277.38
)
60.94

—

—

0.75

0.6259

Jun-Dec
                   134.67
29,959.64

7132012
6302017
912828A34
UNITED STATES TREASURY GOVT BND
 
 
 
 
986,480

992,659.99

1,000,000.00

987,286.84

5,373.15

806.84

—

—

1.25

1.5865

May-Nov
0
3,148.08

12052013
11302018
912828SD3
UNITED STATES TREASURY GOVT BND
 
 
 
 
1,479,731.59

1,485,585.02

1,500,000.00

1,483,155.48

2,429.54

10,600.70

—

—

1.25

1.5349

Jan-Jul
             15,692.93
45,889.2

2202014
1312019
912828TD2
UNITED STATES TREASURY GOVT BND
 
 
 
 
1,997,194.2

2,001,280

2,000,000.00

1,999,354.63

1,925.37

9,027.65

—

—

0.25

0.3101

Jan-Jul
             18,478.26
30,240.15

3112013
7152015
912828TG5
UNITED STATES TREASURY GOVT BND
 
 
 
 
2,184,108.93

2,174,568.04

2,200,000.00

2,191,731.64

(17,163.6
)
16,430.90

—

—

0.5

0.6470

Jan-Jul
             15,065.22
27,149.19

7302012
7312017
912828SC5
UNITED STATES TREASURY GOVT BND
 
 
 
 
2,405,806.47

2,407,224.07

2,400,000.00

2,403,261.55

3,962.52

(5,567.94
)
—

—

0.875

0.8346

Jan-Jul
             68,107.33
100,396.74

11222013
1312017
912828UU2
UNITED STATES TREASURY GOVT BND
 
 
 
 
2,555,361.39

2,559,985.98

2,600,000.00

2,558,711.95

1,274.03

4,960.81

—

—

0.75

1.2510

Mar-Sep
0
7,834.46

12302014
3312018
912828SJ0
UNITED STATES TREASURY GOVT BND
 
 
 
 
3,003,642.86

3,007,500.24

3,000,000.00

3,002,317.19

5,183.05

(1,057.28
)
—

—

0.875

0.8388

Feb-Aug
               8,919.20
26,250

9272013
2282017
912828TC4
UNITED STATES TREASURY GOVT BND
 
 
 
 
2,896,890

2,927,219.91

3,000,000.00

2,902,179.44

25,040.47

5,861.92

—

—

1

1.7572

Jun-Dec
0
8,274.83

5062014
6302019
912828UB4
UNITED STATES TREASURY GOVT BND
 
 
 
 
2,875,320

2,909,880.05

3,000,000.00

2,881,212.27

28,667.78

5,892.27

—

—

1

1.8470

May-Nov
0
7,555.39

5062014
11302019
912828VW7
UNITED STATES TREASURY GOVT BND
 
 
 
 
3,022,265.4

3,014,880.06

3,000,000.00

3,012,903.54

1,976.52

(7,519.91
)
—

—

0.875

0.6205

Mar-Sep
               7,831.49
26,250

11222013
9152016
912828WB2
UNITED STATES TREASURY GOVT BND
 
 
 
 
3,543,091.17

3,546,354.6

3,546,000.00

3,544,781.05

1,573.55

2,840.39

—

—

0.25

0.2916

Apr-Oct
              5,585.99
14,468.59

11222013
10312015
912828TH3
UNITED STATES TREASURY GOVT BND
 
 
 
 
3,747,053.43

3,778,865.89

3,900,000.00

3,754,283.41

24,582.48

7,229.98

—

—

0.875

1.7267

Jan-Jul
0
8,067.59

10032014
7312019
912828RP7
UNITED STATES TREASURY GOVT BND
 
 
 
 
4,029,080

4,051,239.92

4,000,000.00

4,027,329.49

23,910.43

(1,750.51
)
—

—

1.75

1.5654

Apr-Oct
0
17,695.46

4022013
10312018
912828VG2
UNITED STATES TREASURY GOVT BND
 
 
 
 
4,492,291.53

4,492,649.01

4,490,000.00

4,491,759.96

889.05

(6,816.74
)
—

—

0.5

0.4728

Jun-Dec
0
134,255.71

9022014
6152016
912828SE1
UNITED STATES TREASURY GOVT BND
 
 
 
 
4,977,946.44

5,000,850

5,000,000.00

4,999,096.6

1,753.4

36,564.94

—

—

0.25

0.3980

Feb-Aug
             47,970.10
64,184.72

2222012
2152015
912828WD8
UNITED STATES TREASURY GOVT BND
 
 
 
 
5,059,177.24

5,067,105.15

5,100,000.00

5,068,288.82

(1,183.67
)
10,760.11

—

—

1.25

1.4174

Apr-Oct
              23,271.41
113,207.9

11082013
10312018
912828TM2
UNITED STATES TREASURY GOVT BND
 
 
 
 
5,623,835.51

5,644,139.83

5,700,000.00

5,645,514.42

(1,374.59
)
33,789.77

—

—

0.625

0.7006

Feb-Aug
             18,475.48
53,152.43

12272013
8312017
912828QF0
UNITED STATES TREASURY GOVT BND
 
 
 
 
8,580,178.75

8,369,658

8,200,000.00

8,367,735.57

1,922.43

(122,764.48
)
—

—

2

0.4590

Apr-Oct
             27,403.31
160,663.34

5042011
4302016
912828RE2
UNITED STATES TREASURY GOVT BND
 
 
 
 
8,370,140.62

8,439,732

8,400,000.00

8,378,235.9

61,496.1

19,963.17

—

—

1.5

1.5729

Feb-Aug
           141,573.04
321,702.96

2272014
8312018
912828VE7
UNITED STATES TREASURY GOVT BND
 
 
 
 
8,863,945.31

8,911,080.09

9,000,000.00

8,904,782.56

6,297.53

38,557.97

—

—

1

1.3176

May-Nov
             20,921.84
150,342.84

6252013
5312018
912828RH5
UNITED STATES TREASURY GOVT BND
 
 
 
 
9,186,523.44

9,190,984

9,200,000.00

9,185,524.28

5,459.72

(4,054.41
)
—

—

1.375

1.2843

Mar-Sep
            93,974.08
98,235.62

10092013
9302018
912828WT3
UNITED STATES TREASURY GOVT BND
 
 
 
 
10,312,506.18

10,334,681.69

10,350,000.00

10,315,021.11

19,660.58

3,697.22

—

—

0.875

1.0126

Jan-Jul
0
24,856.66

12242014
7152017
912828G46
UNITED STATES TREASURY GOVT BND
 
 
 
 
11,639,533.2

11,620,875

11,650,000.00

11,639,880.84

(19,005.84
)
463.15

—

—

0.5

0.5457

May-Nov
0
5,116.76

12042014
11302016
912828VC1
UNITED STATES TREASURY GOVT BND
 
 
 
 
12,169,530.17

12,193,948.5

12,225,000.00

12,189,703.29

4,245.21

66,562.58

—

—

0.25

0.7056

May-Nov
              7,790.05
59,914.2

9022014
5152016
912828UE8
UNITED STATES TREASURY GOVT BND
 
 
 
 
13,559,058.67

13,452,304.14

13,600,000.00

13,563,428.71

(111,124.57
)
7,621.32

—

—

0.75

0.8534

Jun-Dec
                   621.55
187,402.75

11282014
12312017
912828WM8
UNITED STATES TREASURY GOVT BND
 
 
 
 
14,976,579.3

14,988,300

15,000,000.00

14,982,412.59

5,887.41

6,644.39

—

—

0.375

0.4584

May-Nov
0
30,090.28

7212014
5312016
912828TR1
UNITED STATES TREASURY GOVT BND
 
 
 
 
15,037,978.16

15,050,056.19

15,475,000.00

15,046,836.1

3,220.09

10,352.38

—

—

1

1.6080

Mar-Sep
0
18,383.93

11242014
9302019
912828UZ1
UNITED STATES TREASURY GOVT BND
 
 
 
 
15,851,250

15,673,759.84

16,000,000.00

15,899,506.51

(225,746.67
)
77,730.56

—

—

0.625

0.8167

Apr-Oct
              41,961.33
186,769.51

5102013
4302018
912828SY7
UNITED STATES TREASURY GOVT BND
 
 
 
 
16,601,962

16,653,184.5

16,750,000.00

16,624,828.07

28,356.43

26,792.77

—

—

0.625

0.9390

May-Nov
0
55,043.36

9102014
5312017
912828TW0
UNITED STATES TREASURY GOVT BND
 
 
 
 
16,793,663.04

16,857,880.17

17,000,000.00

16,812,015.18

45,864.99

42,594.29

—

—

0.75

1.1572

Apr-Oct
              8,477.90
91,346.1

9302014
10312017
912828UR9
UNITED STATES TREASURY GOVT BND
 
 
 
 
17,810,989.47

17,827,784.55

18,080,000.00

17,856,085.5

(28,300.95
)
56,197.35

—

—

0.75

1.1839

Feb-Aug
             35,931.63
147,177.81

6022014
2282018
912828WF3
UNITED STATES TREASURY GOVT BND
 
 
 
 
18,968,117.56

18,947,725.82

18,950,000.00

18,966,940.96

(19,215.14
)
(1,466.19
)
—

—

0.625

0.5796

May-Nov
              6,248.27
17,924.62

11142014
11152016
912828VQ0
UNITED STATES TREASURY GOVT BND
 
 
 
 
19,507,979.77

19,541,951.02

19,523,600.00

19,506,385.67

35,565.35

45,575.24

—

—

1.375

1.2913

Jan-Jul
          249,841.98
492,956.95

12302014
7312018
912828TS9
UNITED STATES TREASURY GOVT BND
 
 
 
 
19,392,155.88

19,403,198.42

19,620,000.00

19,439,382.35

(36,183.93
)
62,605.59

—

—

0.625

1.0265

Mar-Sep
             30,819.02
151,347.36

7232014
9302017
912828RM4
UNITED STATES TREASURY GOVT BND
 
 
 
 
20,654,595.78

20,746,465.79

20,600,000.00

20,621,540.34

124,925.45

(111,188.71
)
—

—

1

0.9422

Apr-Oct
           153,201.66
506,054.39

9062013
10312016
912828UA6
UNITED STATES TREASURY GOVT BND
 
 
 
 
20,647,856.64

20,623,284.62

20,900,000.00

20,655,418.89

(32,134.27
)
15,083.69

—

—

0.625

1.0404

May-Nov
              8,752.75
83,455.88

12112014
11302017
912828UJ7
UNITED STATES TREASURY GOVT BND
 
 
 
 
26,833,580.52

26,776,439.19

27,000,000.00

26,837,984.06

(61,544.87
)
41,408.86

—

—

0.875

1.0712

Jan-Jul
            62,248.64
105,399.82

12152014
1312018
912828RU6
UNITED STATES TREASURY GOVT BND
 
 
 
 
28,754,693.63

28,673,904.15

28,550,000.00

28,692,804.29

(18,900.14
)
(32,561.76
)
—

—

0.875

0.6410

May-Nov
              26,115.39
207,199.42

11122014
11302016
912828SM3
UNITED STATES TREASURY GOVT BND
 
 
 
 
29,364,216.48

29,326,725.08

29,200,000.00

29,358,957.03

(32,231.95
)
(7,164.07
)
—

—

1

0.6901

Mar-Sep
            33,853.02
60,436.12

12302014
3312017
912828WA4
UNITED STATES TREASURY GOVT BND
 
 
 
 
40,006,317.2

40,010,800

40,000,000.00

40,006,225.19

4,574.81

(92.01
)
—

—

0.625

0.6162

Apr-Oct
0
6,868.13

12192014
10152016
912828RF9
UNITED STATES TREASURY GOVT BND
 
 
 
 
50,388,892.13

50,309,140.5

49,950,000.00

50,202,391.52

106,748.98

(172,688.05
)
—

—

1

0.8164

Feb-Aug
          210,832.86
610,504.96

8272014
8312016
912828QX1
UNITED STATES TREASURY GOVT BND
 
 
 
 
68,538,985.82

67,908,849.33

66,900,000.00

67,431,795.89

477,053.44

(332,698.53
)
—

—

1.5

0.9942

Jan-Jul
         429,358.69
1,005,836.2

8162011
7312016
912828SS0
UNITED STATES TREASURY GOVT BOND
 
 
 
 
11,585,839.31

11,512,536.04

11,500,000.00

11,548,741.06

(36,205.02
)
(18,201.53
)
—

—

0.875

0.6912

Apr-Oct
              17,234.12
129,954.99

3132013
4302017
913017BX6
UNITED TECHNOLOGIES CORPORATN SENIOR CORP BND
 
 
 
 
2,800,000

2,804,900.08

2,800,000.00

2,800,000

4,900.08

(20,481.28
)
—

—

0.7336

0.7336

M-J-S-D
               4,912.55
57,107.02

5242012
6012015
913017BU2
UNITED TECHNOLOGIES CORPORATN SENIOR CORP BND
 
 
 
 
9,706,645.1

9,846,880.93

9,715,000.00

9,710,870.96

136,009.97

 
 
 
 
 
 
 
 
 
 
91324PBY7
UNITEDHEALTH GROUP INCORPORATE SENIOR CORP BND
 
 
 
 
499,700

499,615.29

500,000.00

499,725.66

(110.37
)
25.66

—

—

1.4

1.4202

Apr-Oct
0
1,750

10172012
10152017
91412GUW3
UNIVERSITY CALIFORNIA MUNITAX BND REV
 
 
 
 
2,600,000

2,649,270

2,600,000.00

2,600,000

49,270

—

—

—

2.364

2.3640

May-Nov
0
44,561.4

4042014
5152019
914353UQ8
UNIVERSITY ILL MUNI BND REV
 
 
1
 
1,062,290

1,053,810

1,000,000.00

1,051,742.22

2,067.78

(10,547.78
)
—

—

5

0.8209

Apr-Oct
0
12,500

9142006
4012017
914353ZH3
UNIVERSITY ILL MUNI BND REV
 
 
1
 
5,689,300

5,717,950

5,000,000.00

5,671,071.54

46,878.46

(18,228.46
)
—

—

5

3.1400

Apr-Oct
0
62,500

9112013
4012028
914440LQ3
UNIVERSITY MASS BLDG AUTH MUNITAX BND REV
 
 
 
 
995,610

982,870

1,000,000.00

995,879.72

(13,009.72
)
269.72

—

—

1.333

1.4439

May-Nov
0
3,332.5

3082013
11012018
914455KX7
UNIVERSITY MICH UNIV REVS MUNITAX BND REV
 
 
 
 
3,500,000

3,513,125

3,500,000.00

3,500,000

13,125

—

—

—

1.754

1.7540

Apr-Oct
             15,347.50
61,390

10282010
4012015
914713K27
UNIVERSITY N C CHAPEL HILL MUNITAX BND REV
 
 
 
 
500,000

500,950

500,000.00

500,000

950

—

—

—

1.317

1.3170

Jun-Dec
0
1,499.92

9252014
12012017
914713G63
UNIVERSITY N C CHAPEL HILL MUNITAX BND REV
 
 
 
 
1,000,000

1,006,030

1,000,000.00

1,000,000

6,030

—

—

—

1.225

1.2250

Jun-Dec
               1,020.83
12,250

6282012
12012016
914713J94
UNIVERSITY N C CHAPEL HILL MUNITAX BND REV
 
 
 
 
1,000,000

997,200

1,000,000.00

1,000,000

(2,800
)
—

—

—

0.759

0.7590

Jun-Dec
0
1,728.83

9252014
12012016
914682AM1
UNIVERSITY N MEX UNIV REVS MUNITAX BND REV
 
 
1
 
1,465,970.7

1,478,410.95

1,455,000.00

1,455,000

23,410.95

(10,970.70
)
—

—

7.8

7.8000

Jun-Dec
0
28,372.5

1222001
6302020
91523NFB7
UNIVERSITY OF WASHINGTON MUNI BND REV
 
 
1
 
390,540.5

389,070.5

350,000.00

387,345.94

1,724.56

(3,194.56
)
—

—

5

1.2599

Jun-Dec
0
4,375

12052008
12012021
BRSJE18C7
UNIVISION COMMUNICATIONS INC SENIOR SECURED TERM LOAN
 
 
 
 
6,177,938.28

6,065,376.95

6,189,160.15

6,180,445.45

(115,068.5
)
1,673.92

—

—

—

0.0268

M-J-S-D
0
252,555.72

6052013
3012020
BRSM1V101
UNIVISION COMMUNICATIONS INC SENIOR SECURED TERM NOTES
 
 
 
 
1,932,851.91

1,925,664.86

1,964,964.15

1,936,904.77

(11,239.91
)
4,116.76

—

—

—

0.2744

M-J-S-D
0
53,735.35

4012014
3012020
90323WAA8
URSA RE LTD CORP BND 144A
 
F
 
 
1,250,000

1,249,787.5

1,250,000.00

1,250,000

(212.5
)
—

—

—

3.510139

3.7854

M-J-S-D
0
3,726.52

11142014
12072017
90323WAB6
URSA RE LTD CORP BND 144A
 
F
 
 
1,250,000

1,251,962.5

1,250,000.00

1,250,000

1,962.5

—

—

—

—

—

M-J-S-D
0
—

11142014
12072017
BRSLYQE12
US AIRWAYS INC SENIOR SECURED TERM NOTES
 
 
 
 
4,604,685.88

4,538,682.45

4,622,888.36

4,607,304.22

(68,621.77
)
2,819.75

—

—

—

0.0758

M-J-S-D
0
52,698.85

4062014
5232019
91159HHF0
US BANCORP SENIOR CORP BND MTN
 
 
1
 
1,350,000

1,354,603.45

1,350,000.00

1,350,000

4,603.45

—

—

—

0.7221

0.7221

F-M-A-N
               1,500.88
9,882.53

11042013
11152018
91159HHE3
US BANCORP SENIOR CORP BND MTN
 
 
1
 
4,993,800

5,007,994.85

5,000,000.00

4,995,177.77

12,817.08

1,203.32

—

—

1.95

1.9760

May-Nov
             14,625.00
97,500

11042013
11152018
90331HMH3
US BANK NA/CINCINNATI OH SENIOR CORP BND
 
 
1
 
3,997,760

3,981,645.52

4,000,000.00

3,997,987.02

(16,341.5
)
227.02

—

—

1.375

1.3941

Mar-Sep
0
16,805.56

9082014
9112017
90331HMJ9
US BANK NA/CINCINNATI OH SENIOR CORP BND
 
 
1
 
6,000,000

5,996,520.06

6,000,000.00

6,000,000

(3,479.94
)
—

—

—

0.43885

0.4389

M-J-S-D
0
8,127.41

9082014
9112017
90331HMC4
US BANK NA/CINCINNATI OH SENIOR CORP BND
 
 
1
 
6,249,062.5

6,224,497.82

6,250,000.00

6,249,347.14

(24,849.32
)
330.62

—

—

1.1

1.1051

Jan-Jul
0
73,447.91

1272014
1302017
90331HML4
US BANK NATIONAL ASSOCIATION SENIOR CORP BND
 
 
1
 
13,702,656.5

13,633,125.57

13,715,000.00

13,703,076.49

(69,950.92
)
419.99

—

—

2.125

2.1441

Apr-Oct
0
51,002.66

10232014
10282019
BRSLNVTL3
US RENAL CARE INC
 
 
 
 
2,495,770.86

2,483,256.04

2,517,876.85

2,499,553.85

(16,297.81
)
4,036.74

—

—

—

0.1599

M-J-S-D
0
131,941.61

 
 
91802RAT6
UTILITY DEBT SECURITIZATION AU MUNITAX BND REV
 
 
 
 
1,986,780

2,017,280

2,000,000.00

1,987,360.7

29,919.3

580.70

—

—

2.042

2.1474

Jun-Dec
0
10,210

12122013
6152021
92867MAC4
VALET_13-1 ABS 13-1
 
 
2
 
5,527,056.79

5,522,341.22

5,527,371.29

5,527,239.05

(4,897.83
)
104.75

—

—

0.56

0.5624

Monthly
                  973.62
31,836.26

2212013
8212017
92867PAC7
VALET_13-2 ABS_13-2 A3
 
 
2
 
4,044,066.83

4,032,368.32

4,045,000.00

4,044,462.81

(12,094.49
)
371.40

—

—

0.7

0.7098

Monthly
                   865.18
28,314.96

11062013
4202018
92867PAD5
VALET_13-2 ABS_13-2 A4
 
 
2
 
5,279,070.19

5,257,237.97

5,280,000.00

5,279,320.46

(22,082.49
)
239.81

—

—

1.16

1.1672

Monthly
                1,871.46
61,247.88

11062013
3202020
92867RAC3
VALET_14-1 ABS_14-1 A3
 
 
2
 
4,484,116.46

4,460,133.9

4,485,000.00

4,484,328.4

(24,194.5
)
211.94

—

—

0.91

0.9190

Monthly
0
27,322.41

4232014
10222018
922764AA3
VENTERRA RE LTD CORP BND 144A
 
F
 
 
7,500,000

7,650,825

7,500,000.00

7,500,000

150,825

—

—

—

3.75

3.7675

M-J-S-D
                  793.93
285,925.9

12202013
1092017
92329JAE9
VENTR_12-12A ABS_ 12-12A C1
 
F
2
 
1,165,800

1,147,666.17

1,200,000.00

1,167,001.7

(19,335.53
)
1,201.70

—

—

3.0856

3.6234

F-M-A-N
0
8,849.71

10022014
2282024
BRSNY4KA0
VERIFONE INC SENIOR SECURED TERM NOTES
 
 
 
 
425,362.51

422,333.67

427,500.01

425,498.41

(3,164.74
)
141.26

—

—

—

0.0710

M-J-S-D
0
6,698.74

7012014
7082021
92343VBD5
VERIZON COMMUNICATIONS INC CORP BND
 
 
 
 
5,817,062.96

5,789,630.81

5,710,000.00

5,795,607.99

(5,977.18
)
(16,738.58
)
—

—

2

1.0311

May-Nov
              2,366.67
39,200

4112013
11012016
BRSNJTYY5
VERIZON COMMUNICATIONS INC SENIOR CORP BND
 
O
 
 
679,528.55

678,916.16

400,000.00

679,278.77

(362.61
)
(249.78
)
—

(4,371.69
)
4.073

3.0357

June
0
1,400.99

12102014
6182024
92343VBL7
VERIZON COMMUNICATIONS INC SENIOR CORP BND
 
 
 
 
1,500,000

1,527,195.06

1,500,000.00

1,500,000

27,195.06

—

—

—

1.7706

1.7706

M-J-S-D
               1,674.36
37,488.51

9112013
9152016
92343VBQ6
VERIZON COMMUNICATIONS INC SENIOR CORP BND
 
 
 
 
1,669,099.99

1,698,432.49

1,564,000.00

1,660,265.54

38,166.95

(76,394.07
)
—

—

4.5

3.3065

Mar-Sep
          132,522.38
359,978

6022014
9152020
92343VBF0
VERIZON COMMUNICATIONS INC SENIOR CORP BND
 
 
 
 
2,245,230

2,215,913.53

2,250,000.00

2,247,256.16

(31,342.63
)
948.17

—

—

1.1

1.1439

May-Nov
                4,125.01
24,750

11022012
11012017
92343VCG7
VERIZON COMMUNICATIONS INC SENIOR CORP BND 144A
 
 
 
 
9,255,200

9,164,318.72

9,200,000.00

9,251,794.46

(87,475.74
)
(3,405.54
)
—

—

2.625

2.5075

Feb-Aug
0
87,208.33

8212014
2212020
BRSHX96A9
VERTAFORE INC SENIOR SECURED TERM NOTES
 
 
 
 
2,846,719.35

2,829,065.06

2,852,599.00

2,848,297.77

(19,232.71
)
903.16

—

—

—

0.0313

M-J-S-D
0
123,158.71

4032013
10032019
BRSHKZ9A2
VEYANCE TECHNOLOGIES INC SENIOR SECURED TERM LOAN
 
 
 
 
4,522,791.67

4,585,927.1

4,591,666.68

4,550,175.03

35,752.07

19,814.60

—

—

—

0.3310

M-J-S-D
0
266,222.97

3062013
9152017
92553PAH5
VIACOM INC CORP BND
 
 
 
 
513,455

509,812.13

500,000.00

511,923.52

(2,111.39
)
(1,531.48
)
—

—

2.5

1.2601

Jun-Dec
0
3,125

12072011
12152016
92553PAV4
VIACOM INC SENIOR CORP BND
 
 
 
 
1,002,560

987,720.03

1,000,000.00

1,002,421.21

(14,701.18
)
(138.79
)
—

—

2.2

2.1401

Apr-Oct
0
5,500

3042014
4012019
92553PAY8
VIACOM INC SENIOR CORP BND
 
 
1
 
999,860

1,006,536.25

1,000,000.00

999,861.48

6,674.77

1.48

—

—

2.75

2.7530

Jun-Dec
0
1,604.17

12032014
12152019
BRSHC8K00
VIRGIN MEDIA INV
 
 
 
 
5,318,750

5,233,470.2

5,320,000.00

5,318,986.3

(85,516.1
)
733.91

—

—

—

0.0035

Apr-Oct
0
249,615.16

 
 
927781GU2
VIRGINIA COLLEGE BLDG AUTH VA MUNI BND REV
 
 
1
 
6,594,258.3

6,572,763.05

6,055,000.00

6,547,697.12

25,065.93

(46,561.18
)
—

—

4.5

1.3768

Mar-Sep
0
68,118.75

9162013
9012027
927804FM1
VIRGINIA ELECTRIC AND POWER CO SENIOR CORP BND
 
 
1
 
4,008,660

3,929,408.56

4,000,000.00

4,005,447.35

(76,038.79
)
(1,082.89
)
—

—

1.2

1.1526

Jan-Jul
            33,200.00
65,133.33

12052014
1152018
92812QWJ2
VIRGINIA ST HSG DEV AUTH MUNITAX BND REV
 
 
1
 
3,439,440

3,395,160

3,000,000.00

3,406,815.81

(11,655.81
)
(32,624.19
)
—

—

6.32

1.7784

May-Nov
0
47,400

3252009
11012019
92817SJX7
VIRGINIA ST PUB SCH AUTH MUNI BND REV
 
 
 
 
749,495.5

739,271

650,000.00

743,068.5

(3,797.5
)
(6,427.00
)
—

—

5

0.9287

Feb-Aug
0
8,125

11262008
8012018
G93882GC9
VODAFONE GROUP PLC SENIOR CORP BND
 
D
 
 
1,231,712.67

1,223,388.75

710,000.00

1,229,590.21

(6,201.46
)
(2,122.46
)
—

(7,913.38
)
5.375

1.7090

December
0
3,281.66

12102014
12052017
92857WBB5
VODAFONE GROUP PLC SENIOR CORP BND
 
F
 
 
5,000,000

4,998,849.85

5,000,000.00

5,000,000

(1,150.15
)
—

—

—

0.61685

0.6169

F-M-A-N
              6,787.63
49,993.79

2112013
2192016
92857WAY6
VODAFONE GROUP PLC SENIOR CORP BND
 
F
 
 
8,789,750.97

8,718,796.78

8,867,000.00

8,800,570.31

(81,773.53
)
7,861.87

—

—

1.25

1.3141

Mar-Sep
             12,755.73
63,962.5

9202012
9262017
92867TAD7
VOLKSWAGEN AUTO LOAN ENHANCED ABS _14-2-A4
 
 
2
 
4,299,269

4,262,499.66

4,300,000.00

4,299,304.85

(36,805.19
)
35.85

—

—

1.39

1.3987

Monthly
0
11,455.92

10152014
5202021
BRSESZBW0
VOLKSWAGEN FIN SERV N.V.
 
 
 
 
1,223,462.35

1,179,830

750,000.00

1,209,738.13

(29,908.13
)
(11,091.12
)
—

(33,472.82
)
2

1.2709

Apr-Oct
               5,891.85
30,942.21

 
 
928668AF9
VOLKSWAGEN GROUP OF AMERICA FI SENIOR CORP BND 144A
 
 
 
 
2,997,990

2,988,268.2

3,000,000.00

2,998,066.17

(9,797.97
)
76.17

—

—

1.6

1.6230

May-Nov
0
5,466.67

11122014
11202017
928670AF5
VOLKSWAGEN INTERNATIONAL FINAN SENIOR CORP BND 144A
 
F
 
 
1,030,330

1,023,502

1,000,000.00

1,025,194.62

(1,692.62
)
(5,135.38
)
—

—

2.875

0.8397

Apr-Oct
0
7,187.5

3232011
4012016
928670AX6
VOLKSWAGEN INTERNATIONAL FINAN SENIOR CORP BND 144A
 
F
 
 
1,004,140

999,582.75

1,000,000.00

1,003,904.5

(4,321.75
)
(235.50
)
—

—

2.125

2.0200

May-Nov
0
5,312.5

11132013
11202018
928670AP3
VOLKSWAGEN INTERNATIONAL FINAN SENIOR CORP BND 144A
 
F
1
 
5,199,948

5,179,664.88

5,200,000.00

5,199,982.76

(20,317.88
)
168.01

—

—

1.6

1.6001

May-Nov
              3,799.33
23,765.34

12062012
11202017
928670AW8
VOLKSWAGEN INTERNATIONAL FINAN SENIOR CORP BND 144A
 
F
 
 
5,347,646

5,333,829.42

5,350,000.00

5,348,513.56

(14,684.14
)
1,427.78

—

—

1.125

1.1400

May-Nov
            22,229.69
110,218.76

11132013
11182016
928904FR7
VOLUSIA CNTY FLA HSG FIN AUTH MUNITAX BND REV
 
 
1
 
541,571.4

541,674

540,000.00

541,027.62

646.38

(543.78
)
—

—

7.45

6.9753

Jun-Dec
0
10,057.5

5172001
12012021
U9291NAP0
VW CREDIT INC SENIOR CORP BND EMTN
 
 
 
 
4,590,450

4,555,079.6

4,500,000.00

4,546,387.62

8,691.98

(25,605.49
)
—

—

1.875

1.2813

October
              18,281.25
84,375

4032013
10132016
928667AD6
VWMT_14-1A ABS_14-1A-A2 144A
 
 
2
 
3,819,901.45

3,815,836.17

3,820,000.00

3,819,913.25

(4,077.08
)
11.80

—

—

1.4

1.4050

Monthly
0
19,609.37

8122014
7222019
BRSM3TBY9
VWR FUNDING INC SENIOR SECURED TERM LOAN
 
 
 
 
1,397,080.4

1,398,289.11

1,406,488.94

1,399,760.99

(1,471.88
)
4,660.97

—

—

—

0.2099

J-A-J-O
0
73,727.84

2062014
4032017
931427AF5
WALGREENS BOOTS ALLIANCE INC SENIOR CORP BND
 
 
1
 
2,991,810

3,022,409.58

3,000,000.00

2,991,937.39

30,472.19

127.39

—

—

3.3

3.3441

May-Nov
0
11,825

11062014
11182021
931427AE8
WALGREENS BOOTS ALLIANCE INC SENIOR CORP BND
 
 
 
 
4,074,410.4

4,065,405.07

4,080,000.00

4,074,631.84

(9,226.77
)
221.44

—

—

1.75

1.7972

May-Nov
0
8,528.34

11062014
11172017
932117JZ8
WALL TWP N J SCH DIST MUNITAX BND GO
 
 
 
 
382,363.6

382,105.2

380,000.00

382,035.31

69.89

(328.29
)
—

—

1.866

1.5123

Jan-Jul
0
1,772.7

6082012
7152016
932117KA1
WALL TWP N J SCH DIST MUNITAX BND GO
 
 
 
 
391,778.4

391,068.6

390,000.00

391,624.58

(555.98
)
(153.82
)
—

—

2.116

1.9469

Jan-Jul
0
2,063.1

6082012
7152017
931142CR2
WAL-MART STORES INC CORP BND
 
 
 
 
993,090

1,006,000.1

1,000,000.00

999,634.76

6,365.34

1,455.40

—

—

2.875

3.0250

Apr-Oct
               7,187.50
28,750

3242010
4012015
931142DC4
WAL-MART STORES INC CORP BND
 
 
 
 
1,034,960

1,026,526

1,000,000.00

1,029,172.76

(2,646.76
)
(21,719.06
)
—

—

2.8

0.5202

Apr-Oct
              9,753.33
28,303.34

4112011
4152016
931142CX9
WAL-MART STORES INC CORP BND
 
 
 
 
1,665,938.25

1,689,070

1,675,000.00

1,673,477.08

15,592.92

1,846.77

—

—

1.5

1.6131

Apr-Oct
              4,606.25
25,125

10182010
10252015
931142BY8
WAL-MART STORES INC CORP BND
 
 
 
 
4,448,840

4,080,560

4,000,000.00

4,080,961.86

(401.86
)
(161,387.38
)
—

—

4.5

0.4429

Jan-Jul
            90,000.00
180,000

9132012
7012015
931142DE0
WAL-MART STORES INC SENIOR CORP BND
 
 
 
 
4,351,907.95

4,347,916.16

4,355,000.00

4,353,679.3

(5,763.14
)
1,028.91

—

—

0.6

0.6239

Apr-Oct
              5,806.67
26,130

4042013
4112016
931142DF7
WAL-MART STORES INC SENIOR CORP BND
 
 
 
 
7,484,930

7,403,379.83

7,500,000.00

7,487,721.89

(84,342.06
)
1,879.91

—

—

1.125

1.1440

Apr-Oct
             17,500.00
80,156.25

4042013
4112018
25468PCS3
WALT DISNEY COMPANY (THE) CORP BND MTN
 
 
 
 
2,498,525

2,507,101.05

2,500,000.00

2,498,684.46

8,416.59

159.46

—

—

1.125

1.1501

Feb-Aug
0
7,031.25

3162012
2152017
25468PDA1
WALT DISNEY COMPANY (THE) SENIOR CORP BND MTN
 
 
 
 
2,997,000

2,986,598.73

3,000,000.00

2,997,339.5

(10,740.77
)
396.83

—

—

1.85

1.8710

May-Nov
0
37,668.06

5282014
5302019
25468PCV6
WALT DISNEY COMPANY (THE) SENIOR CORP BND MTN
 
 
 
 
3,102,781.25

3,104,558.94

3,125,000.00

3,111,887.82

(7,328.88
)
10,605.87

—

—

1.1

1.2470

Jun-Dec
               8,318.75
87,505

11272012
12012017
9292274U7
WAMU_03-S4 WAMU_03-S4
 
 
2
 
648,125.14

662,493.14

638,975.03

647,702.82

14,790.32

(1,496.15
)
—

—

5.5

4.7419

Monthly
0
9,000.71

7182003
6252033
92922F3N6
WAMU_05-A12 CMO_05-AR12 1A8
 
 
2
 
2,292,443.33

2,243,625.7

2,315,964.86

2,294,286.89

(50,661.19
)
3,323.88

—

—

2.33108

2.5358

Monthly
               5,183.94
57,415.22

1102008
10252035
93730PAG1
WASHINGTON BIOMEDICAL RESEARCH MUNITAX BND REV
 
 
 
 
1,281,226.5

1,284,550

1,150,000.00

1,274,643.55

9,906.45

(6,582.95
)
—

—

4.881

2.3300

Jan-Jul
0
14,032.87

2122013
7012019
93877MBR6
WASHINGTON DC CONVENTION CTR MUNI BND REV
 
 
1
 
3,248,430

3,226,140

3,000,000.00

3,216,929.95

9,210.05

(31,500.05
)
—

—

5

0.8226

Apr-Oct
0
37,500

1252007
10012017
93974A6V1
WASHINGTON STATE MUNI BND GO
 
 
1
 
4,697,211.2

4,640,000

4,640,000.00

4,640,000

—

(57,211.20
)
—

—

5

0.1193

Jan-Jul
0
58,000

5202008
1012026
939720LL0
WASHINGTON STATE MUNITAX BND REV
 
 
 
 
587,188.8

592,954.45

605,000.00

588,097.59

4,856.86

908.79

—

—

1.45

2.1040

Jan-Jul
0
2,193.12

8152013
7012019
92978PAF6
WBCMT_06-C29 PAC SENIOR CMBS 06-C29 A1A
 
 
2
 
12,672,971.19

12,291,675.96

11,527,087.54

12,337,879.04

(46,203.08
)
(388,946.85
)
—

—

5.297

(2.0544
)
Monthly
0
475,835.04

6022014
11152048
BRSJARVG9
WCA WASTE SENIOR SECURED TERM LOAN
 
 
 
 
1,023,737.61

1,005,089.65

1,019,769.22

1,018,184.58

(13,094.93
)
563.80

—

—

—

0.0475

M-J-S-D
0
41,785.45

5302013
3232018
949746RG8
WELLS FARGO & COMPANY CAPSEC CORP BND
 
 
1
 
3,543,750

3,535,000

3,500,000.00

3,543,595.5

(8,595.5
)
(2,461.06
)
—

—

5.9

5.7275

Jun-Dec
0
76,454.17

12112014
12312049
94974BEU0
WELLS FARGO & COMPANY CORP BND
 
 
 
 
1,897,625

1,917,081

1,900,000.00

1,899,855.78

17,225.22

98.84

—

—

3.625

3.6521

Apr-Oct
            42,472.92
121,875.52

3232010
4152015
949746PM7
WELLS FARGO & COMPANY CORP BND
 
 
1
 
6,615,000

6,622,500

6,000,000.00

6,584,367.05

38,132.95

(30,632.95
)
—

—

7.98

4.6672

Mar-Sep
0
85,120

10222014
3292049
94974BFG0
WELLS FARGO & COMPANY SENIOR CORP BND
 
 
 
 
498,860

496,958.7

500,000.00

499,127.66

(2,168.96
)
267.66

—

—

1.5

1.5590

Jan-Jul
0
7,208.33

1102014
1162018
94974BGB0
WELLS FARGO & COMPANY SENIOR CORP BND
 
 
 
 
1,498,515

1,494,905.78

1,500,000.00

1,498,668.14

(3,762.36
)
201.50

—

—

1.4

1.4339

Mar-Sep
0
8,633.34

9022014
9082017
94974BFU9
WELLS FARGO & COMPANY SENIOR CORP BND
 
 
 
 
3,093,428

3,092,225.64

3,100,000.00

3,094,300.51

(2,074.87
)
872.51

—

—

2.125

2.1700

Apr-Oct
0
45,563.55

4142014
4222019
94974BFM7
WELLS FARGO & COMPANY SENIOR CORP BND
 
 
 
 
4,000,000

4,012,319.96

4,000,000.00

4,000,000

12,319.96

—

—

—

0.76075

0.7608

J-A-J-O
              7,334.48
32,632.84

7222013
7202016
94974BFK1
WELLS FARGO & COMPANY SENIOR CORP BND
 
 
 
 
5,000,000

5,008,199.7

5,000,000.00

5,000,000

8,199.7

—

—

—

0.8606

0.8606

J-A-J-O
              8,444.72
43,698.99

4162013
4232018
94974BFE5
WELLS FARGO & COMPANY SENIOR CORP BND
 
 
 
 
7,359,612

7,337,157

7,300,000.00

7,312,971.65

24,185.35

(31,362.85
)
—

—

1.5

1.5669

Jan-Jul
            93,945.00
167,606.5

2132013
7012015
94974BFJ4
WELLS FARGO & COMPANY SRSUB CORP BND MTN
 
 
 
 
1,972,740

2,007,857.06

2,000,000.00

1,973,474.8

34,382.26

734.80

—

—

3.45

3.6401

Feb-Aug
0
17,058.33

9292014
2132023
949746RE3
WELLS FARGO & COMPANY SUB CORP BND
 
 
 
 
3,579,452

3,606,509.44

3,400,000.00

3,575,485.77

31,023.67

(3,966.23
)
—

—

4.48

3.8000

Jan-Jul
0
38,080

11262013
1162024
94974BFY1
WELLS FARGO & COMPANY SUB CORP BND MTN
 
 
 
 
5,085,850

5,071,112.05

5,000,000.00

5,083,120.86

(12,008.81
)
(2,729.14
)
—

—

4.1

3.9180

Jun-Dec
0
101,930.56

6272014
6032026
BRSMB8L58
WESCO AIRCRAFT SENIOR SECURED TERM NOTES
 
 
 
 
978,195.11

967,653.17

980,646.74

978,471.29

(10,818.12
)
375.49

—

—

—

0.0355

F-M-A-N
0
26,231.72

2242014
2282021
BRSLBEQ11
WESTERN REFINING INC SENIOR SECURED TERM NOTES
 
 
 
 
554,400

540,540

554,400.00

554,400

(13,860
)
—

—

—

—

—

F-M-A-N
0
24,039.48

12172013
11122020
960895VY3
WESTMORELAND CNTY PA MUNITAX BND GO
 
 
 
 
244,617.8

244,683.95

245,000.00

244,649.23

34.72

31.43

—

—

1.442

1.4924

Jun-Dec
0
883.23

5222013
12012017
960895VZ0
WESTMORELAND CNTY PA MUNITAX BND GO
 
 
 
 
575,742.8

573,904.2

580,000.00

575,998.51

(2,094.31
)
255.71

—

—

1.642

1.8254

Jun-Dec
0
2,380.9

5222013
12012018
96122WAB6
WESTPAC BANKING CORP SECURED LOCAL BND 144A
 
F
 
 
3,817,922.64

3,767,994.47

3,752,000.00

3,768,261.31

(266.84
)
(33,744.51
)
—

—

1.375

0.5751

Jan-Jul
            27,692.65
58,437.99

4262013
7172015
961214CH4
WESTPAC BANKING CORP SENIOR CORP BND
 
F
 
 
1,618,299

1,613,962.32

1,620,000.00

1,618,642.15

(4,679.83
)
343.15

—

—

1.2

1.2358

May-Nov
0
11,880

5142014
5192017
961214CK7
WESTPAC BANKING CORP SENIOR CORP BND
 
F
 
 
2,249,865

2,243,648.52

2,250,000.00

2,249,868.76

(6,220.24
)
3.76

—

—

1.5

1.5021

Jun-Dec
0
2,812.5

11172014
12012017
961214BZ5
WESTPAC BANKING CORP SENIOR CORP BND MTN
 
F
 
 
1,999,420

1,999,054.88

2,000,000.00

1,999,642.21

(587.33
)
114.33

—

—

1.6

1.6061

Jan-Jul
             15,022.22
32,000

1072013
1122018
949781AC2
WFMBS CMO 05-AR1 2A1
 
 
2
 
339,127.41

340,252.24

347,600.16

339,940.18

312.06

2,378.59

—

—

2.61

3.1534

Monthly
                   975.19
10,308.79

5272008
2252035
949781AA6
WFMBS CMO 05-AR1 1A1
 
 
2
 
1,488,161.58

1,531,855.34

1,524,533.01

1,492,891.4

38,963.94

7,713.10

—

—

2.6106

3.0961

Monthly
              4,063.79
44,234.64

12052006
2252035
94982BAG5
WFMBS CMO 05-AR8 3A2
 
 
2
 
392,038.11

406,703.61

398,830.69

393,356

13,347.61

1,111.64

—

—

2.597782

2.9273

Monthly
               1,043.82
11,208.17

12152005
6252035
949797AA2
WFMBS WHOLE CMO 07-15 A1
 
 
2
 
137,515.49

135,946.59

136,650.75

137,413.51

(1,466.92
)
(212.01
)
—

—

6

5.7542

Monthly
                   861.45
9,225.26

1172008
11252037
94980RAC1
WFMBS_04-Z CMO 04-Z-2A1
 
 
2
 
113,552.07

115,162.91

114,554.40

113,679.81

1,483.1

232.41

—

—

2.61478

2.7692

Monthly
                    311.40
3,337.14

1142008
12252034
94981NAH8
WFMBS_05-AR4 CMO 05-AR4 2A2
 
 
2
 
1,088,778.88

1,132,723.66

1,120,241.92

1,094,184.61

38,539.05

7,268.39

—

—

2.60937

3.3133

Monthly
               3,126.60
32,441.99

7192006
4252035
94984FAE9
WFMBS_06-11 RMBS__06-11-A5
 
 
2
 
1,713,246.91

1,769,490.15

1,827,443.88

1,713,246.91

56,243.24

(10,234.79
)
—

—

6

8.3766

Monthly
0
28,379.22

12312009
9252036
981464DG2
WFNMT_12-C ABS 12-C
 
 
2
 
3,188,784.29

3,212,451.22

3,190,000.00

3,189,240.37

23,210.85

190.55

—

—

2.23

2.2469

Monthly
                3,161.65
71,136.96

7132012
8152022
981464DX5
WFNMT_13-B ABS 13-B
 
 
2
 
2,210,123.46

2,211,464.54

2,210,000.00

2,210,068.53

1,396.01

(49.75
)
—

—

0.91

0.8977

Monthly
                  657.22
17,464.05

6252014
3162020
981464EN6
WFNMT_14-C SENIOR ABS 14-C
 
 
2
 
719,834.4

718,243.18

720,000.00

719,841.14

(1,597.96
)
6.74

—

—

1.54

1.5515

Monthly
0
1,663.2

11032014
8152021
92937EAB0
WF-RBS COMMERCIAL MORTGAGE TRU PRELCF SENIOR CMBS 13-C11 A2
 
 
2
 
1,470,037.5

1,472,147.21

1,460,000.00

1,469,077.73

3,069.48

(959.77
)
—

—

2.029

1.7809

Monthly
0
8,064.16

9182014
3152045
92930RAB8
WFRBS_12-C9 SENIOR CMBS 12-C9
 
 
2
 
1,436,021.48

1,429,616.96

1,425,000.00

1,435,113.22

(5,496.26
)
(908.26
)
—

—

1.829

1.5194

Monthly
0
5,502.25

10092014
11152045
92938EAF0
WFRBS_13-C16 PRELCF SENIOR CMBS_13-C16 A2
 
 
2
 
6,303,750

6,256,799.94

6,000,000.00

6,278,015.56

(21,215.62
)
(25,734.44
)
—

—

3.223

2.1420

Monthly
0
84,335.16

7212014
9152046
92938GAB4
WFRBS_13-C17 SENIOR CMBS_13-C17 A2
 
 
2
 
7,276,171.88

7,204,399.87

7,000,000.00

7,264,107.78

(59,707.91
)
(12,064.10
)
—

—

2.921

1.8532

Monthly
0
35,214.25

10242014
12152046
92890KAX3
WFRBS_14-C22 SENIOR CMBS_14-C22-A2
 
 
2
 
2,059,998.01

2,057,760

2,000,000.00

2,057,298.09

461.91

(2,699.92
)
—

—

2.976

2.3865

Monthly
0
15,210.67

9052014
9152057
92939KAE8
WFRBS_14-C24 LCF SENIOR CMBS _14-C24-A5
 
 
2
 
3,097,226.2

3,131,779.2

3,008,000.00

3,096,235.09

35,544.11

(991.11
)
—

—

3.607

3.2533

Monthly
0
12,959.54

10282014
11152047
92939LAB2
WFRBS_14-C25 PRELCF SENIOR CMBS _14-C25-A2
 
 
2
 
5,664,840.5

5,640,596.5

5,500,000.00

5,664,442.25

(23,845.75
)
(398.25
)
—

—

2.932

2.7276

Monthly
0
8,510.94

11182014
11152047
9698714J8
WILLIAMSON CNTY TENN MUNITAX BND GO
 
 
 
 
418,676

415,100

400,000.00

417,345.59

(2,245.59
)
(1,330.41
)
—

—

2.95

1.5747

Apr-Oct
0
2,950

3272013
4012018
97652QAC3
WIN_14-2 WHOLE CMO 14-2
 
 
2
 
3,862,390.1

3,894,237.92

3,810,002.57

3,860,790.08

33,447.84

(4,212.49
)
—

—

3.5

3.1855

Monthly
0
22,993.21

10082014
9202044
BRSH2DJN2
WINDSTREAM CORP SENIOR SECURED TERM LOAN
 
 
2
 
2,675,400

2,650,879.96

2,675,400.00

2,675,400

(24,520.04
)
—

—

—

—

—

J-A-J-O
0
103,761.52

1102013
1232020
976656CF3
WISCONSIN ELECTRIC POWER COMPA SENIOR CORP BND
 
 
1
 
2,500,000

2,485,062.6

2,500,000.00

2,500,000

(14,937.4
)
—

—

—

1.7

1.7000

Jun-Dec
               1,888.89
42,500

6102013
6152018
976826BG1
WISCONSIN POWER AND LIGHT COMP SENIOR CORP BND
 
 
 
 
560,420

556,815.23

500,000.00

557,401.01

(585.78
)
(3,018.99
)
—

—

5

2.3200

Jan-Jul
0
6,250

7072009
7152019
977100AU0
WISCONSIN ST MUNITAX BND REV
 
 
 
 
2,243,300

2,203,240

2,000,000.00

2,232,200.69

(28,960.69
)
(11,099.31
)
—

—

5.05

1.4661

May-Nov
0
16,272.22

10292014
5012018
982526AT2
WM WRIGLEY JR CO SENIOR CORP BND 144A
 
 
 
 
279,097.5

276,658.93

275,000.00

278,339.09

(1,680.16
)
(758.41
)
—

—

2

1.5550

Apr-Oct
0
3,575

5022014
10202017
982526AR6
WM WRIGLEY JR CO SENIOR CORP BND 144A
 
 
 
 
1,005,540

1,002,165.07

1,000,000.00

1,003,376.52

(1,211.45
)
(1,841.72
)
—

—

1.4

1.2100

Apr-Oct
              2,722.22
14,000

10242013
10212016
982526AU9
WM WRIGLEY JR CO SENIOR CORP BND 144A
 
 
1
 
3,347,450.5

3,345,142

3,325,000.00

3,345,818.42

(676.42
)
(934.13
)
—

—

2.4

2.1759

Apr-Oct
             18,666.67
82,653.33

9262014
10212018
93934FEN8
WMALT_05-5 CMO 05-9-2A2
 
 
2
 
2,568,814.8

2,604,070.31

2,803,617.81

2,594,464.14

9,606.17

(25,980.83
)
—

—

5.5

7.2378

Monthly
              15,237.13
168,319.89

12172007
11252035
BRSJ883L4
WMG ACQUISITION CORP SENIOR SECURED TERM LOAN
 
 
2
 
2,966,657.1

2,862,824.11

2,966,657.10

2,966,657.1

(103,832.99
)
—

—

—

—

—

F-M-A-N
0
114,314.8

9062013
7012020
98158PAC2
WOART_11-B ABS_11-B A3
 
 
2
 
27,832.62

27,841.67

27,832.68

27,832.14

9.53

2.08

—

—

0.96

0.9614

Monthly
                    85.57
1,025.96

11022011
8152016
66859TAC3
WOODS_14-14A MEZZANIN ABS 14-14A-B 144A
 
F
2
 
2,942,475

2,936,723.94

3,000,000.00

2,942,718.86

(5,994.92
)
243.86

—

—

2.69185

2.9473

F-M-A-N
0
3,364.81

11172014
11122025
BRSP8QSG4
WSCFP_14 SENIOR CMBS 14
 
D
2
 
1,785,379.5

1,731,200.19

1,110,000.00

1,785,379.5

(54,179.31
)
—

—

(54,612
)
1.450659

1.4525

F-M-A-N
0
5,199.12

10072014
11042019
95168QAG5
WSTC_13-1A MEZZANIN ABS _13-1A-B 144A
 
F
1
 
479,500

478,055.27

500,000.00

479,813.86

(1,758.59
)
313.86

—

—

3.13185

3.8129

F-M-A-N
0
1,957.41

11122014
11072025
984121CF8
XEROX CORPORATION SENIOR CORP BND
 
 
 
 
1,298,375

1,331,331.94

1,300,000.00

1,299,255.09

32,076.85

322.79

—

—

2.95

2.9771

Mar-Sep
               11,291.94
38,350

3082012
3152017
983919AG6
XILINX, INC. SENIOR CORP BND
 
 
 
 
1,989,540

1,997,494.21

2,000,000.00

1,991,150.09

6,344.12

1,610.09

—

—

2.125

2.2359

Mar-Sep
0
34,118.05

3052014
3152019
98417EAU4
XSTRATA FINANCE (CANADA) LTD SENIOR CORP BND 144A
 
A
 
 
4,128,053.2

4,176,480.62

4,135,000.00

4,130,976.8

45,503.82

1,358.02

—

—

2.7

2.7362

Apr-Oct
            20,468.25
111,645

10182012
10252017
G9853MHT3
YORKSHIRE BUILDING SOCIETY LOCAL BND
 
D
 
 
1,390,156.29

1,381,442.73

800,000.00

1,349,135.79

32,306.94

(23,116.43
)
—

(47,458.92
)
4.75

3.2980

April
             53,139.63
77,230.5

5102012
4122018
988505EC3
YUMA & LA PAZ CNTYS ARIZ CMNTY MUNI BND GO
 
 
1
 
1,036,470

1,024,230

1,000,000.00

1,024,229.78

0.22

(12,240.22
)
—

—

5

0.1504

Jan-Jul
0
12,500

10302007
7012024
98954RAC4
ZIGG_14-1A SENIOR ABS _14-1A-B1 144A
 
F
2
 
2,899,800

2,899,800

3,000,000.00

2,900,834.74

(1,034.74
)
1,034.74

—

—

2.3326

2.8583

J-A-J-O
0
5,831.5

11042014
10172026
BRSM4TRW5
ZIGGO BV
 
 
 
 
2,382,978.72

2,323,142.12

2,382,978.72

2,382,978.72

(59,836.6
)
—

—

—

—

—

Apr-Oct
0
40,449.7

 
 
BRSM4TPX5
ZIGGO BV
 
 
 
 
3,697,361.7

3,605,018.77

3,697,872.34

3,697,382.06

(92,363.29
)
20.36

—

—

—

0.0019

Apr-Oct
0
59,416.75

 
 
BRSM4TSP9
ZIGGO BV
 
 
 
 
3,919,148.98

3,820,739.15

3,919,148.98

3,919,148.98

(98,409.83
)
—

—

—

—

—

J-A-J-O
0
71,919.07

 
 
98978VAG8
ZOETIS INC SENIOR CORP BAND
 
 
 
 
5,462,050

5,491,067.62

5,500,000.00

5,464,868.92

26,198.7

2,818.92

—

—

1.875

2.0899

Feb-Aug
0
25,781.25

2072013
2012018
TOTAL
 
 
 
 
 
 
5,532,731,477.51

 
5,534,493,699.82

(1,762,222.31
)
 
 
(4,170,244.57
)
 
 
 
 
 
 
 














































































































































































Validus Holdings, Ltd. December 31, 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
BERKSHIRE HATHAWAY INC CORP BND
 
084670AV0
20140930
 
20150211
2,006,131.64

(591.84
)
(13,908.36
)
 
—

2,000,000.00

2,020,040

24,888.89

 
3.2

0.115068493

Feb-Aug
16,000

24,888.89

CATERPILLAR INC CORP BND
 
14912L4M0
20140930
 
20150624
505,846.7

(376.7
)
(3,118.30
)
 
—

500,000.00

508,965

267.36

 
2.75

0.479452055

Jun-Dec
3,437.50

267.36

DISTRICT OF COLUMBIA HOUSING F MUNI BND REV
 
25476RAN2
20140930
 
20150701
1,022,390.19

(0.19
)
(11,289.81
)
 
—

1,000,000.00

1,033,680

25,000

 
5

0.498630137

Jan-Jul
12,500

25,000

GEORGE WASHINGTON UNIV D C UNSECURED CORP BND
 
372546AG6
20140930
 
20150915
2,545,341.78

9,802.87

(16,533.22
)
 
—

2,500,000.00

2,561,875

26,816.53

 
3.643

0.706849315

Mar-Sep
22,768.75

26,816.53

ILLINOIS STATE OF MUNI BND REV
 
4522265Q2
20140930
 
20150615
2,554,951.57

298.43

(30,898.43
)
 
—

2,500,000.00

2,585,850

5,555.56

 
5

0.454794521

Jun-Dec
31,250

5,555.56

INDIANA ST FINANCE AUTHORITY MUNI BND REV
 
455057DR7
20140930
 
20150701
608,475.22

1.53

(6,796.43
)
 
—

595,000.00

615,271.65

14,875

 
5

0.498630137

Jan-Jul
7,437.5

14,875

JOHN DEERE CAPITAL CORP CORP BND
 
24422ERS0
20140930
 
20150629
501,498.17

(178.17
)
(776.83
)
 
—

500,000.00

502,275

26.39

 
0.95

0.493150685

Jun-Dec
1,187.5

26.39

JOHN DEERE CAPITAL CORP CORP BND MTN
 
24422EQY8
20140930
 
20150309
1,004,932.88

(392.98
)
(6,847.12
)
 
—

1,000,000.00

1,011,780

9,177.78

 
2.95

0.18630137

Mar-Sep
7,375

9,177.78

JPMORGAN CHASE & CO SENIOR CORP BND MTN
 
46623EJP5
20140930
 
20150320
1,002,545.26

164.74

(3,034.74
)
 
—

1,000,000.00

1,005,580

5,260.42

 
1.875

0.216438356

Mar-Sep
4,687.5

5,260.42

MARYLAND ST MUNITAX BND REV
 
574195PF4
20140930
 
20150901
1,525,852.22

727.78

(9,997.78
)
 
—

1,500,000.00

1,535,850

14,595

 
2.919

0.668493151

Mar-Sep
10,946.25

14,595

MIAMI-DADE CNTY FLA EDL FACS A MUNITAX BND REV
 
59333AJX0
20140930
 
20150401
242,943.66

(73.26
)
(3,041.94
)
 
—

240,000.00

245,985.6

3,660

 
6.1

0.249315068

Apr-Oct
3,660

3,660

NEW MEXICO FIN AUTH MUNI BND REV
 
64711MM87
20140930
 
20150601
745,788.15

38.4

(6,616.65
)
 
—

735,000.00

752,404.8

2,296.88

 
3.75

0.416438356

Jun-Dec
6,890.63

2,296.88

NORTH FOREST INDPT SCH DIST TE MUNI BND GO
 
659414LX2
20140930
 
20150815
1,308,279.8

46.6

(11,464.20
)
 
—

1,280,000.00

1,319,744

19,342.22

 
4

0.621917808

Feb-Aug
12,800

19,342.22

NOVARTIS CAPITAL CORP CORP BND
 
66989HAC2
20140930
 
20150424
1,008,027.32

(697.22
)
(6,622.68
)
 
—

1,000,000.00

1,014,650

5,397.22

 
2.9

0.312328767

Apr-Oct
7,250

5,397.22

OHIO ST HIGHER EDL FAC REV MUNI BND REV
 
67756AVQ2
20140930
 
20150501
774,799.97

66.43

(3,654.63
)
 
—

770,000.00

778,454.6

6,416.67

 
5

0.331506849

May-Nov
9,625

6,416.67

ONTARIO PROVINCE OF CORP BND
 
6832348H4
20140930
 
20150205
3,007,161.33

(261.33
)
(19,028.67
)
 
—

3,000,000.00

3,026,190

35,891.67

 
2.95

0.098630137

Feb-Aug
22,125

35,891.67

PFIZER INC CORP BND
 
717081DA8
20140930
 
20150315
3,029,749.7

(2,239.4
)
(37,900.30
)
 
—

3,000,000.00

3,067,650

47,258.33

 
5.35

0.202739726

Mar-Sep
40,125

47,258.33

PHOENIX AZ MUNITAX BND GO
 
718814A22
20140930
 
20150701
1,298,262.27

(252.67
)
(9,219.33
)
 
—

1,280,000.00

1,307,481.6

20,083.2

 
3.138

0.498630137

Jan-Jul
10,041.6

20,083.2

PITTSBURGH PA MUNI BND GO
 
7252087Q9
20140930
 
20150301
3,026,410.26

109.74

(41,629.74
)
 
—

3,000,000.00

3,068,040

65,000

 
6.5

0.164383562

Mar-Sep
48,750

65,000

PRAXAIR INC CORP BND
 
74005PAV6
20140930
 
20150915
1,019,444.93

(834.93
)
(7,105.07
)
 
—

1,000,000.00

1,026,550

9,569.44

 
3.25

0.706849315

Mar-Sep
8,125

9,569.44

PROCTER & GAMBLE COMPANY CORP BND
 
742718DQ9
20140930
 
20150901
1,018,720.45

(1,140.45
)
(7,239.55
)
 
—

1,000,000.00

1,025,960

10,500

 
3.15

0.668493151

Mar-Sep
7,875

10,500

PURDUE UNIV IND MUNITAX BND REV
 
746189RA9
20140930
 
20150701
505,636.94

(51.94
)
(2,843.06
)
 
—

500,000.00

508,480

6,775

 
2.71

0.498630137

Jan-Jul
3,387.5

6,775





RHODE ISLAND ST HEALTH & EDL B MUNI BND REV
 
762243SC8
20140930
 
20150515
3,045,954.12

155.88

(31,565.88
)
 
—

3,000,000.00

3,077,520

19,166.67

 
5

0.369863014

May-Nov
37,500

19,166.67

SHELL INTERNATIONAL FINANCE BV CORP BND
 
822582AQ5
20140930
 
20150628
1,013,473.8

(603.8
)
(7,026.20
)
 
—

1,000,000.00

1,020,500

258.33

 
3.1

0.490410959

Jun-Dec
7,750

258.33

STRYKER CORP CORP BND
 
863667AA9
20140930
 
20150115
1,001,008.79

(398.79
)
(6,701.21
)
 
—

1,000,000.00

1,007,710

13,833.33

 
3

0.04109589

Jan-Jul
7,500

13,833.33

TAHLEQUAH OKLA EDL FACS AUTH MUNITAX BND REV
 
873789AC5
20140930
 
20150901
1,549,722.54

(301.74
)
(13,393.86
)
 
—

1,515,000.00

1,563,116.4

22,487.65

 
4.453

0.668493151

Mar-Sep
16,865.74

22,487.65

TORONTO-DOMINION BANK/THE CORP BND 144A
 
891145LV4
20140930
 
20150729
1,009,280.87

1,433.3

(4,079.13
)
 
—

1,000,000.00

1,013,360

9,288.89

 
2.2

0.575342466

Jan-Jul
5,500

9,288.89

TOYOTA MOTOR CREDIT CORP CORP BND MTN
 
89233P5Z5
20140930
 
20150217
2,001,812.86

(272.66
)
(3,587.14
)
 
—

2,000,000.00

2,005,400

7,444.44

 
1

0.131506849

Feb-Aug
5,000

7,444.44

TRINITY RIVER AUTH TEX MUNI BND REV
 
89657PCW1
20140930
 
20150201
1,004,050

(10
)
(12,150.00
)
 
—

1,000,000.00

1,016,200

20,833.33

 
5

0.087671233

Feb-Aug
12,500

20,833.33

TULSA CNTY OKLA INDL AUTH MULT MUNITAX BND REV
 
89952PBG9
20140930
 
20150901
1,022,880.41

(210.41
)
(8,829.59
)
 
—

1,000,000.00

1,031,710

14,460

 
4.338

0.668493151

Mar-Sep
10,845

14,460

UNITED STATES TREASURY GOVT BND
 
912828TT7
20141015
 
20151015
58,868,961.66

(64,257.66
)
(18,646.33
)
 
—

58,800,000.00

58,887,281.26

31,500

 
0.25

0.789041096

Apr-Oct
31,239.7

31,500

UNITED STATES TREASURY GOVT BND
 
912828NF3
20140930
 
20150531
4,840,444.77

(700.77
)
(24,979.23
)
 
—

4,800,000.00

4,865,424

8,967.01

 
2.125

0.41369863

May-Nov
25,688.35

8,967.01

UNIVERSITY ALA GEN REV MUNITAX BND REV
 
914026FE4
20140930
 
20150701
1,289,656.91

256.69

(9,921.39
)
 
—

1,270,000.00

1,299,578.3

21,717

 
3.42

0.498630137

Jan-Jul
10,858.5

21,717

WAL-MART STORES INC CORP BND
 
931142CR2
20140930
 
20150401
1,509,685.55

(685.4
)
(10,009.45
)
 
—

1,500,000.00

1,519,695

10,781.25

 
2.875

0.249315068

Apr-Oct
10,781.25

10,781.25

BBH OVERNIGHT DEPOSITS
 
BRS000000
20141231
 
20150101
55,211,431.32

—

—

 
 
55,211,432.32

55,211,432.32

—

 
 
 
At Mat
—

—

BNY MELLON USD LIQ INVESTOR 97 BNY MELLON USD LIQ INVESTOR 97
 
DRFUNI$20
20141219
 
0
50,938,196.65

—

—

 
—

50,938,196.65

50,938,196.65

—

 
0.0514

—

At Mat
17.22

—

BONY CASH RESERVE CASH RESERVE FUND
 
S875996$0
20141231
 
0
795,655,218.28

—

—

 
—

795,653,218.28

795,653,218.28

—

 
0.0001

—

At Mat
0.78

—

CDN S/T INVT BLENDED ACCT
 
993252329
20141106
 
0
2,061,398.19

—

—

 
—

2,061,398.19

2,061,398.19

—

 
 
—

At Mat
658.46

—

CITI-INSTITUTION LIQ FUND USD CASH RESERVE FUND
 
B0A0ATCJ9
20141124
 
0
24,784,847.01

—

—

 
—

24,784,847.01

24,784,847.01

—

 
0.0006

—

At Mat
7,341.33

—

ML INST LIQ FUND - AGENCY OPEN_END FUND
 
BRS263RF1
20141201
 
0
11,177,618.42

—

0.02

 
(85,980.49
)
7,113,444.24

11,177,618.42

—

 
0.0002

—

At Mat
20,485.84

—

THE DREYFUS FUND INC STIF FUND
 
BRS7BB2L0
20141118
 
0
2,285,819.75

—

—

 
—

2,285,819.75

2,285,819.75

—

 
—

—

At Mat
2.16

—

GOLDMAN SACHS LIQUID RESERVE
 
GLDSCS$03
20130522
 
0
13,669,215.14

—

—

 
—

13,669,215.14

13,669,215.14

—

 
0.0003

—

At Mat
1,846.07

—

WESTERN AST INS CSH RES CASH RESERVE FUND
 
52470G205
20141215
 
0
1,080,692.78

—

—

 
—

1,080,692.78

1,080,692.78

—

 
0.0002

—

At Mat
824.72

—

Totals
 
 
 
 
 
1,065,284,560.23

(61,429.92
)
(410,456.23
)

(85,980.49
)


1,065,692,690.75

539,391.46

 
 
 
 
 
 






Validus Holdings, Ltd. December 31, 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
1,649,200.58

1,774,574.92

1,649,200.58

125,374.34

—

—

—

—

—

—

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

4,880,282.91

3,765,757.24

1,376,704.14

—

—

—

(262,178.47
)
—

—

PORT ADVISORS PRIVATE EQUITY I
 
 
11/30/2012
3,571,936.48

5,932,582.25

3,571,936.48

2,360,645.77

—

—

—

—

—

—

GOLDENTREE DISTRESSED DEBT FUN
 
 
11/30/2012
11,670,730.99

18,634,158.82

11,671,730.99

6,962,427.83

—

—

—

—

—

—

LEAPFROG INVESTMENTS FINANCIAL
 
 
11/30/2012
1,555,881.4

2,805,826.76

1,555,881.4

1,249,945.36

—

—

—

—

—

—

BUFFETS INC
 
 
7/18/2012
920,570.56

0.07

920,570.56

(920,570.49
)
—

—

—

—

—

—

GUGGENHEIM PARTNERS FUND LTD
 
 
6/1/2014
104,786,925

104,786,925

104,786,925

—

—

—

—

—

—

—

GUGGENHEIM STRATEGY FUND II
 
 
10/2/2014
20,066,408.41

20,026,229.83

20,066,408.41

(40,178.58
)
—

—

—

—

—

—

GUGGENHEIM STRATEGY FUND I
 
 
10/2/2014
25,070,899.49

25,000,702.63

25,070,899.49

(70,196.86
)
—

—

—

—

—

—

VINTAGE VI LP
 
 
9/30/2014
3,744,616.81

3,721,107.96

3,744,616.81

(23,508.85
)
—

—

—

—

—

—

PRUDENTIAL CAPITAL PARTNERS IV
 
 
9/30/2014
4,464,446.53

4,464,446

4,464,446.53

(0.53
)
—

—

—

—

—

—

CONNING CAPITAL PARTNERS VI
 
 
9/30/2014
630,933.01

597,737

630,933.01

(33,196.01
)
—

—

—

—

—

—

CENTURY FOCUSED FUND III LP
 
 
9/30/2014
7,700,081.15

7,700,081.17

7,700,081.15

0.02

—

—

—

—

—

—

HIGHBRIDGE MEZZANINE PARTNERS
 
 
9/30/2014
5,538,994.36

5,538,994

5,538,994.36

(0.36
)
—

—

—

—

—

—

CENTURY CAPITAL PARTNERS IV LP
 
 
9/30/2014
1,890,325.85

1,597,869

1,890,325.85

(292,456.85
)
—

—

—

—

—

—

BANK OF AMERICA CORP
 
 
9/30/2014
3,764,000

3,658,000

3,764,000

(106,000
)
—

—

—

—

—

—

GOLDMAN SACHS GROUP INC/THE
 
 
9/30/2014
2,346,000

2,272,800

2,346,000

(73,200
)
—

—

—

 
—

—

BANK OF AMERICA CORP
 
 
9/30/2014
425,200

403,200

425,200

(22,000
)
—

—

—

 
—

—

PAULSON PARTNERS ENHANCED LP
 
 
4/1/2012
147,347,129.47

185,782,147

147,347,129.47

38,435,017.53

—

—

—

—

—

—

PAULSON PARTNERS ADVANTAGE PLUS LP
 
 
4/1/2012
112,969,536.87

73,799,842.9

112,969,536.87

(39,169,693.97
)
—

—

—

—

—

—

PAULSON PARTNERS GOLD FUND LP
 
 
4/1/2012
125,000,000

31,629,089

125,000,000

(93,370,911
)
—

—

—

—

—

—

PAULSON PARTNERS CREDIT OPPORTUNITIES LP
 
 
6/1/2012
148,383,375.75

163,777,825.6

148,383,375.75

15,394,449.85

—

—

—

—

—

—

GAIA PAULSON MERGER ARBITRAGE - SCHRODERS
 
 
7/1/2014
25,000,000

23,337,500

25,000,000

(1,662,500
)
—

—

—

—

—

—

LLOYD'S CANADIAN BLENDED ACCOUNT
 
 
10/1/2013
27,973,352

28,410,226

27,973,352

436,874

—

—

—

—

—

—

LLOYD'S OVERSEAS DEPOSITS
 
 
10/1/2013
66,608,402

66,608,402

66,608,402

—

—

—

—

—

—

—

BRIDGE GROWTH PARTNERS (PARALLEL), LP
 
 
7/15/2014
15,786,106

15,786,106

15,786,106

—

—

—

—

—

—

—

PUBLIC PENSION CAPITAL, LLC
 
 
7/21/2014
345,895.61

345,895.61

345,895.61

—

—

—

—

—

—

—





GUARDIAN GROWTH EQUITY
 
 
9/4/2009
6,182,501.52

9,702,122.43

6,182,501.52

3,519,620.91

—

—

—

—

—

—

MFS MERIDIAN MID CAP GROWTH FUND
 
 
9/4/2009
17,203.14

36,770.1

17,203.14

19,566.96

—

—

—

—

—

—

Totals
 
 
 
879,176,427.52

813,011,462.32

879,177,427.52

(65,903,786.73
)






(262,178.47
)