8-K

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

___________

FORM 8-K

___________

CURRENT REPORT

Pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934

Date of Report (Date of earliest event reported): July 27, 2017

Commission file number 001-33606

___________

VALIDUS HOLDINGS, LTD.

(Exact name of registrant as specified in its charter)

BERMUDA	98-0501001
(State or other jurisdiction of	(I.R.S. Employer
incorporation or organization)	Identification No.)

29 Richmond Road, Pembroke, Bermuda HM 08

(Address of principal executive offices)

Registrant's telephone number, including area code: (441) 278-9000

Not Applicable

(Former name or former address, if changed since last report)

Indicate by check mark whether the registrant is an emerging growth company as defined in as defined in Rule 405 of the Securities Act of 1933 (§230.405 of this chapter) or Rule 12b-2 of the Securities Exchange Act of 1934 (§240.12b-2 of this chapter).

Emerging growth company o

If an emerging growth company, indicate by check mark if the registrant has elected not to use the extended transition period for complying with any new or revised financial accounting standards provided pursuant to Section 13(a) of the Exchange Act.  o

Check the appropriate box below if the Form 8-K filing is intended to simultaneously satisfy the filing obligation of the registrant under any of the following provisions:

oWritten communications pursuant to Rule 425 under the securities Act (17 CFR 230.425)

oSoliciting material pursuant to Rule 14a-12 under the Exchange Act (17 CFR 240.14a-12)

oPre-commencement communications pursuant to Rule 14d-2(b) under the Exchange Act (17 CFR 240.14d-2(b))

oPre-commencement communications pursuant to Rule 13e-4(c) under the Exchange Act (17 CFR 240.13e-4(c))

Item 2.02 Results of Operations and Financial Condition.

On July 27, 2017, Validus Holdings, Ltd. released information regarding its U.S. GAAP basis investment portfolio in a Schedule D - Part 1 format. A copy of this release is attached to this Current Report on Form 8-K as Exhibit 99.1 and is incorporated herein by reference.

The information in this Current Report on Form 8-K, including the information set forth in Exhibit 99.1, shall not be deemed “filed” for purposes of Section 18 of the Securities Exchange Act of 1934, as amended (the “Exchange Act”), or incorporated by reference in any filing under the Securities Act of 1933, as amended, or the Exchange Act, except as shall be expressly set forth by specific reference in such a filing.

Item 9.01. Financial Statements and Exhibits.

(d) Exhibits. The following exhibits are filed herewith:

Exhibit No.		Description
	99.1	Release regarding U.S. GAAP investment portfolio in a Schedule D - Part 1 format dated July 27, 2017.

SIGNATURES

     Pursuant to the requirements of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on its behalf by the undersigned hereunto duly authorized.

Date: July 27, 2017

VALIDUS HOLDINGS, LTD.       (Registrant)
By:	/s/ Jeffrey D. Sangster
Name:	Jeffrey D. Sangster
Title:	Executive Vice President and Chief Financial Officer

EX-99.1

Validus Holdings, Ltd. June 30, 2017 GAAP fixed maturity portfolio in Schedule D format
										CHANGE IN BOOK/ADJUSTED CARRYING VALUE							INTEREST						DATES
1	2	3	4	5	6	7	8	9	10	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
BRSTBY9Y7	A. SCHULMAN INC SENIOR SECURED TERM LOAN				3FE	142,158.48	142,692.90	142,514.76	142,259.94	432.96		27.27		—	—		—	0.0359	M-J-S-D	—	2,972.92		20150511	20220601
03763KAB2	AASET_14-1 ABS_14-1 A			4	1Z	2,517,631.33	2,518,583.68	2,509,174.28	2,515,047.39	3,536.29		(2,012.86	)	—	—		5.1250	5.0245	Monthly	5,715.34	69,708.03		20141121	20291215
BRT28HQ50	ABACUS INNOVATIONS CORP SENIOR SECURED T				3FE	1,024,649.24	1,033,894.18	1,027,217.27	1,024,960.58	8,933.60		194.66		—	—		—	0.0354	M-J-S-D	—	17,405.45		20160609	20230816
002824AU4	ABBOTT LABORATORIES CORP BND				2FE	2,412,386.00	2,261,885.89	2,150,000.00	2,270,483.96	(8,598.07	)	(33,422.78	)	—	—		5.1250	1.8571	Apr-Oct	27,546.88	55,093.75		20150504	20190401
002824BJ8	ABBOTT LABORATORIES SENIOR CORP BND				2FE	2,326,947.77	2,334,963.13	2,330,000.00	2,327,508.96	7,454.17		561.19		—	—		2.0000	2.0902	Mar-Sep	13,721.11	(906.11	)	20170322	20180915
002824BC3	ABBOTT LABORATORIES SENIOR CORP BND				2FE	6,596,529.06	6,652,456.53	6,603,000.00	6,597,806.13	54,650.40		1,274.36		—	—		2.3500	2.3840	May-Nov	16,810.13	99,826.76		20161117	20191122
00287YAL3	ABBVIE INC SENIOR CORP BND				2FE	982,080.00	1,009,580.00	1,000,000.00	986,716.02	22,863.98		1,125.99		—	—		2.9000	3.1721	May-Nov	4,430.56	14,500.00		20150521	20221106
00287YAN9	ABBVIE INC SENIOR CORP BND				2FE	4,249,677.50	4,255,312.50	4,250,000.00	4,250,410.52	4,901.98		(261.39	)	—	—		1.8000	1.4790	May-Nov	9,987.50	39,230.00		20150505	20180514
00287YAT6	ABBVIE INC SENIOR CORP BND			2	2FE	4,182,780.00	4,245,989.74	4,200,000.00	4,189,849.58	56,140.16		1,756.48		—	—		2.5000	2.5879	May-Nov	13,708.32	55,333.33		20150505	20200514
00287YAU3	ABBVIE INC SENIOR CORP BND			2	2FE	5,372,341.40	5,373,883.67	5,390,000.00	5,375,337.68	(1,454.01	)	1,785.81		—	—		2.3000	2.3370	May-Nov	16,184.98	61,985.00		20160509	20210514
BRSXK39C4	ABN AMRO BANK NV SENIOR CORP BND EMTN		B			729,467.25	686,070.00	500,000.00	727,026.94	23,400.95		(1,436.66	)	—	(64,357.90	)	2.3750	2.4641	Jun-Dec	1,011.48	7,486.89		20151130	20211207
N04899AK1	ABN AMRO BANK NV SENIOR CORP BND EMTN		B		1FE	673,949.91	688,719.85	500,000.00	659,993.99	(4,103.16	)	(13,305.86	)	—	32,829.02		4.8750	0.5218	Jan-Jul	14,519.00	15,080.81		20161221	20190116
BRT6UXYC7	ABN AMRO BANK NV SENIOR CORP BOND		B		1FE	1,462,592.69	1,562,418.63	1,200,000.00	1,462,319.19	1,437.81		(273.50	)	—	98,661.63		0.7965	0.6944	F-M-A-N	1,054.46	1,139.38		20170424	20181130
000823AA2	ABPCI_17-1A ABS 17-1A 144A		D	4		2,000,000.00	2,004,294.60	2,000,000.00	2,000,000.00	4,294.60		—		—	—		—	—	J-A-J-O	—	—		20170602	20290720
553204AB4	ACASC_14-1A SUB ABS 14-1A-BR 144A		D	4		850,000.00	850,477.79	850,000.00	850,000.00	477.79		—		—	—		2.7584	2.7677	J-A-J-O	4,819.61	2,741.77		20170213	20260718
00432CCM1	ACCESS GROUP INC ACCSS_05-2 ABS 05-2			4		540,621.79	555,142.48	555,195.67	552,126.62	3,015.86		2,505.70		—	—		1.3517	2.2142	F-M-A-N	833.85	4,002.90		20120808	20241122
00100VAG5	ACIS_14-4A SUB ABS_14-4A C 144A		D	4	1FE	237,625.00	248,505.85	250,000.00	238,550.14	9,955.71		866.82		—	—		3.7196	4.6339	F-M-A-N	1,575.65	4,410.29		20161215	20260501
00452PAN7	ACIS_15-6A MEZZANIN ABS 15-6A C 144A		D	4	1FE	495,000.00	499,984.50	500,000.00	496,269.36	3,715.14		264.60		—	—		4.5396	4.7061	F-M-A-N	3,846.02	10,881.98		20150304	20270501
00452PAG2	ACIS_15-6A MEZZANIN ABS 15-6A B1 144A		D	4	1FE	2,238,750.00	2,257,896.60	2,250,000.00	2,241,977.59	15,919.01		687.80		—	—		3.6496	3.7380	F-M-A-N	13,913.95	38,900.79		20150304	20270501
00485YAA7	ACORN RE LTD SENIOR CORP BND 144A		D			5,541,500.00	5,585,525.00	5,500,000.00	5,516,979.31	68,545.69		(7,778.06	)	—	—		4.8271	4.4307	Monthly	8,849.70	125,087.09		20150702	20180717
BRST137M4	ACOSTA HOLDCO INC SENIOR SECURED TERM LO			4	4FE	971,027.18	883,066.37	983,318.66	973,694.43	(90,628.06	)	1,229.86		—	—		—	0.2287	M-J-S-D	—	28,342.09		20160414	20210926
BRT6PK3X9	ACTAGRO LLC SENIOR SECURED TERM NOTES					5,897,666.68	5,838,690.01	5,897,666.68	5,897,666.68	(58,976.67	)	—		—	—		—	—	M-J-S-D	—	161,461.42		20161101	20200710
00507UAD3	ACTAVIS FUNDING SCS SENIOR CORP BND		D		2FE	8,308,549.80	8,361,896.85	8,315,000.00	8,312,199.29	49,697.56		692.88		—	—		2.4500	2.4637	Jun-Dec	9,054.11	103,859.58		20141113	20190615
00507UAP6	ACTAVIS FUNDING SCS SENIOR CORP BND		D	2	2FE	949,952.50	970,063.92	950,000.00	949,973.50	20,090.42		4.64		—	—		3.0000	3.0011	Mar-Sep	8,629.16	14,250.00		20150303	20200312
BRT63CM02	ADS WASTE HOLDINGS INC SENIOR SECURED TE				4FE	2,067,568.87	2,079,507.31	2,070,265.65	2,066,648.26	12,859.05		(828.78	)	—	—		—	0.0356	M-J-S-D	—	38,284.81		20161028	20231110
BRSNZFA49	ADVANTAGE SALES & MARKETING IN SENIOR SE			4	4FE	1,789,189.72	1,722,931.90	1,795,655.97	1,791,531.23	(68,599.33	)	526.35		—	—		—	0.0356	M-J-S-D	—	51,582.07		20140711	20210723
05377RBM5	AESOP_13-1A ABS 13-1A C144A			4	2FE	2,063,125.00	2,024,617.80	2,000,000.00	2,020,286.85	4,330.95		(9,792.92	)	—	—		4.4200	3.4204	Monthly	2,701.11	44,200.02		20150325	20190920
05377RBY9	AESOP_15-1A SUB ABS 15-1A B 144A			4	2FE	1,999,207.20	1,983,087.60	2,000,000.00	1,999,526.89	(16,439.29	)	68.78		—	—		3.2200	3.2493	Monthly	1,967.78	32,200.02		20150122	20210720

BRT2Q5SH8	AFFINITY GAMING LLC SECURED TERM NOTES			4FE	437,965.10	442,366.77	440,165.94	438,274.03	4,092.74		343.58		—	—	—	0.0707	M-J-S-D	—	17,762.22	20160616	20230701
13974MAB2	AFIN_16-2 ABS 16-2		4	1FE	370,427.78	370,272.90	370,438.63	370,434.44	(161.54	)	13.47		—	—	1.3200	1.3254	Monthly	149.41	4,321.46	20160712	20190120
00432CAZ4	AGSL_03-1 ABS 03-1-2003-1		4	1FE	360,500.00	375,364.00	400,000.00	382,758.89	(7,394.89	)	85.86		—	—	2.6170	3.6737	Monthly	516.23	3,616.39	20100329	20351226
00432CBB6	AGSL_03-1 ABS_03-1-2003-1		4	1FE	311,937.50	322,868.00	350,000.00	328,996.61	(6,128.61	)	(1,226.88	)	—	—	2.7160	3.7321	Monthly	78.13	3,591.74	20100329	20351226
00432CBP5	AGSL_03-1 ABS_04-1-2004-1		4	1FE	435,625.00	475,625.00	500,000.00	466,754.74	8,870.26		1,177.77		—	—	2.6720	3.9480	Monthly	934.88	4,477.08	20100329	20321227
903724AK8	AID-UKRAINE AGENCY BND	D		1FE	4,285,000.00	4,286,260.41	4,285,000.00	4,285,000.00	1,260.41		—		—	—	1.8440	1.8440	May-Nov	9,876.93	39,507.70	20140514	20190516
BRSZ793R4	AIM AEROSPACE SENIOR SECURED TERM LOAN				4,011,570.59	4,001,541.66	4,011,570.59	4,011,570.59	(10,028.93	)	—		—	—	—	—	M-J-S-D	—	108,328.91	20160202	20220202
001406AA5	AIM_15-1A ABS 15-1A A1 144A	D	4	1FE	2,916,666.66	2,887,499.99	2,916,666.66	2,916,647.24	(29,147.25	)	0.93		—	—	4.2130	4.2496	Monthly	5,461.30	62,975.57	20150213	20400215
00900AAN8	AIMCO_14-AA ABS_14-AA-C1R 144A	D	4	1FE	2,000,000.00	1,995,630.00	2,000,000.00	2,000,000.00	(4,370.00	)	—		—	—	3.4284	3.4429	J-A-J-O	8,190.04	—	20170511	20260720
BRTAX2BY0	AIR CANADA SENIOR SECURED TERM LOAN	A		3FE	325,437.48	328,047.70	326,923.08	325,456.07	2,591.63		18.59		—	—	—	0.0718	F-M-A-N	—	—	20170602	20231006
00913RAA4	AIR LIQUIDE FINANCE SENIOR CORP BND 144A	D		1FE	3,990,400.00	3,950,880.12	4,000,000.00	3,992,796.79	(41,916.67	)	1,563.49		—	—	1.3750	1.4571	Mar-Sep	14,361.11	27,500.00	20160922	20190927
00913RAB2	AIR LIQUIDE FINANCE SENIOR CORP BND 144A	D	2	1FE	5,804,158.10	5,710,629.74	5,870,000.00	5,807,690.54	(97,060.80	)	2,533.14		—	—	1.7500	1.8630	Mar-Sep	26,822.64	24,519.44	20160922	20210927
BRSSM5ZR6	AIR MEDICAL GROUP HOLDINGS INC SENIOR SE		4	4FE	1,486,333.27	1,460,629.79	1,490,058.44	1,487,468.20	(26,838.41	)	280.39		—	—	—	0.0356	M-J-S-D	—	43,360.81	20150415	20220428
00973XAA8	AKIBARE RE LTD SENIOR CORP BND 144A	D			540,000.00	551,383.20	540,000.00	540,000.00	11,383.20		—		—	—	3.7588	3.7760	J-A-J-O	5,017.97	9,751.79	20160308	20200407
011395AD2	ALAMO RE LTD CORP BND 144A	D			6,800,000.00	6,821,080.00	6,800,000.00	6,800,000.00	21,080.00		—		—	—	0.5000	0.5003	M-J-S-D	3,022.22	6,807.64	20170523	20200608
011395AC4	ALAMO RE LTD CORP BOND 144A	D			1,300,000.00	1,342,250.00	1,300,000.00	1,300,000.00	42,250.00		—		—	—	5.6100	5.5682	M-J-S-D	3,038.75	33,591.06	20150506	20190607
011395AB6	ALAMO RE LTD CORP BOND 144A	D			1,667,000.00	1,687,837.50	1,667,000.00	1,667,000.00	20,837.50		—		—	—	5.8520	5.7853	M-J-S-D	4,064.68	52,115.71	20150506	20180607
013051DV6	ALBERTA PROVINCE OF SENIOR CORP BND	A		1FE	8,647,004.80	8,668,251.43	8,650,000.00	8,647,440.07	20,811.36		435.27		—	—	1.9000	1.9519	Jun-Dec	11,413.17	41,034.72	20170207	20191206
BRTAET271	ALBERTSONS COMPANIES LLC SENIOR SECURED		2	3FE	1,628,021.77	1,621,636.63	1,641,017.04	1,628,047.56	(6,410.93	)	25.79		—	—	—	0.1450	M-J-S-D	—	—	20170627	20221221
BRTAET3H8	ALBERTSONS COMPANIES LLC SENIOR SECURED		2	3FE	258,144.90	255,312.88	258,434.77	258,145.43	(2,832.55	)	0.53		—	—	—	0.0359	M-J-S-D	—	—	20170627	20230622
BRTAESUK3	ALBERTSONS COMPANIES LLC SENIOR SECURED		2	3FE	585,578.13	583,180.24	591,160.91	585,592.72	(2,412.48	)	14.59		—	—	—	0.2282	M-J-S-D	—	195.57	20170627	20210825
BRSTV33U7	ALERE INC SENIOR SECURED TERM NOTES		4		1,436,909.38	1,441,635.70	1,440,510.66	1,437,791.72	3,843.98		286.11		—	—	—	0.0360	M-J-S-D	—	36,545.28	20150611	20220620
BRSV8NG22	ALION SCIENCE AND TECHNOLOGY C SENIOR SE			4FE	775,427.45	778,349.91	779,324.07	776,601.77	1,748.14		341.23		—	—	—	0.0834	M-J-S-D	—	21,781.55	20150812	20210819
BRT999T75	ALIX PARTNERS LLP SENIOR SECURED TERM LO		2	4FE	574,042.07	577,782.69	575,480.77	574,090.43	3,692.26		55.35		—	—	—	0.0353	M-J-S-D	—	6,051.45	20170328	20240404
02007LAC6	ALLYA_16-3 ABS_16-3 A3		4	1FE	1,999,805.80	1,996,950.98	2,000,000.00	1,999,885.49	(2,934.51	)	37.29		—	—	1.4400	1.4481	Monthly	1,280.00	14,400.00	20160523	20200817
02079KAC1	ALPHABET INC CLASS A SENIOR CORP BND		2	1FE	685,433.00	655,577.99	700,000.00	686,605.32	(31,027.33	)	656.58		—	—	1.9980	2.2310	Feb-Aug	5,283.60	7,226.10	20160802	20260815
BRT97VDT7	ALTICE FINANCING SA SENIOR SECURED TERM	D	2	3FE	654,098.36	653,142.29	655,737.70	654,135.43	(993.14	)	37.07		—	—	—	0.0300	M-J-S-D	—	—	20170322	20250715
BRT9TRW61	ALTICE US FIN I CORP SENIOR FSECURED TER		2	3FE	476,206.20	477,864.49	478,582.36	476,230.07	1,634.42		23.87		—	—	—	0.0602	M-J-S-D	—	1,352.85	20170601	20250728
BRT91EHN0	ALTICE US FIN I CORP SENIOR SECURED TERM			3FE	1,904,757.80	1,895,186.16	1,914,329.45	1,904,920.50	(9,734.34	)	179.45		—	—	—	0.0603	M-J-S-D	—	5,411.40	20170315	20250720
02209SAL7	ALTRIA GROUP INC CORP BND			1FE	1,576,568.00	1,526,378.11	1,400,000.00	1,538,685.09	(12,306.98	)	(17,159.64	)	—	—	4.7500	2.0569	May-Nov	10,344.45	33,250.00	20160518	20210505
02209SAT0	ALTRIA GROUP INC SENIOR CORP BND		2	1FE	2,997,570.00	3,044,279.95	3,000,000.00	2,998,823.72	45,456.23		222.59		—	—	2.6250	2.6411	Jan-Jul	36,531.24	39,375.00	20141110	20200114
BRSSA2UL4	ALVOGEN PHARMA US INC ALVOGEN PHARMA US				1,161,263.98	1,152,954.50	1,171,502.91	1,161,593.79	(8,639.29	)	373.23		—	—	—	0.1763	M-J-S-D	—	11,215.69	20170427	20220401
BRT65YBE4	AMC ENTERTAINMENT HOLDINGS INC SENIOR SE			3FE	569,660.07	571,801.65	571,087.79	569,771.56	2,030.09		104.45		—	—	—	0.0352	M-J-S-D	—	9,811.27	20161031	20231215
BRSJ1HUF4	AMC ENTERTAINMENT INC. SENIOR SECURED TE		4	3FE	243,801.67	245,356.83	244,918.43	243,961.65	1,395.18		92.00		—	—	—	0.0707	M-J-S-D	—	4,593.92	20160801	20221215

03062AAD8	AMCAR_14-3 ABS _14-3-A3		4	1FE	89,715.73	89,701.33	89,718.23	89,716.23	(14.90	)	7.66		—	—	1.1500	1.1532	Monthly	65.92	1,714.61		20140820	20190610
03065NAD7	AMCAR_15-3 SENIOR ABS 15-3		4	1FE	88,573.04	88,575.25	88,585.88	88,581.88	(6.63	)	7.69		—	—	1.5400	1.5508	Monthly	87.16	2,512.57		20150804	20200308
023770AB6	AMERICAN AIRLINES INC. SECURED CORP BND		4	2FE	3,226,910.74	3,202,708.92	3,226,910.74	3,226,910.74	(24,201.82	)	—		—	—	3.7000	3.6983	May-Nov	19,899.30	63,453.89		20150302	20241101
BRT69HBX5	AMERICAN AIRLINES INC. SENIOR SECURED TE			3FE	514,244.96	518,150.21	517,647.06	514,381.16	3,769.05		170.56		—	—	—	0.1072	M-J-S-D	—	4,653.16		20170403	20230428
BRT92SWL5	AMERICAN AIRLINES INC. SENIOR SECURED TE		2	3FE	3,132,339.45	3,135,107.80	3,139,031.59	3,132,692.53	2,415.27		421.54		—	—	—	0.0665	M-J-S-D	—	15,943.47		20170501	20200627
BRT72E1D2	AMERICAN AIRLINES INC. SENIOR SECURED TE			3FE	2,223,143.72	2,228,715.51	2,228,715.51	2,223,550.78	5,164.73		413.24		—	—	—	0.0354	M-J-S-D	—	37,150.31		20161209	20231214
BRT8ZN953	AMERICAN AXLE & MANUFACTURING, SENIOR SE		2	3FE	655,480.90	652,688.12	657,123.71	655,527.95	(2,839.83	)	63.64		—	—	—	0.0354	M-J-S-D	—	4,079.55		20170310	20240406
025816BJ7	AMERICAN EXPRESS COMPANY CAPSEC CORP BND		2	2FE	5,783,750.00	5,978,275.00	5,750,000.00	5,767,230.81	211,044.19		(3,371.59	)	—	—	5.2000	5.1938	May-Nov	38,205.55	149,500.00		20141105	20491231
0258M0EE5	AMERICAN EXPRESS CREDIT CORPOR SENIOR CO		2	1FE	998,960.00	1,005,469.90	1,000,000.00	999,069.94	6,399.96		109.94		—	—	2.2000	2.2360	Mar-Sep	7,211.12	—		20170228	20200303
0258M0EC9	AMERICAN EXPRESS CREDIT CORPOR SENIOR CO		2	1FE	2,322,233.25	2,311,096.50	2,325,000.00	2,322,838.65	(11,742.15	)	450.84		—	—	1.7000	1.7409	Apr-Oct	6,697.29	19,762.50		20161026	20191030
0258M0DJ5	AMERICAN EXPRESS CREDIT CORPOR SENIOR CO			1FE	152,292.00	150,562.50	150,000.00	150,818.99	(256.49	)	(627.70	)	—	—	2.1250	1.6090	Jan-Jul	1,363.54	4,028.65		20150707	20180727
0258M0DX4	AMERICAN EXPRESS CREDIT CORPOR SENIOR CO		2	1FE	1,766,499.35	1,759,029.67	1,735,000.00	1,759,924.64	(894.97	)	(3,832.86	)	—	—	2.6000	1.7630	Mar-Sep	13,407.69	22,555.00		20150909	20200914
0258M0EK1	AMERICAN EXPRESS CREDIT CORPOR SENIOR CO		2	1FE	8,296,597.00	8,298,672.08	8,300,000.00	8,296,865.94	1,806.14		268.94		—	—	1.8750	1.8960	May-Nov	25,072.92	—		20170427	20190503
02665WAH4	AMERICAN HONDA FINANCE CORPORA CORP BND			1FE	4,752,173.00	4,740,373.05	4,700,000.00	4,741,604.13	(1,231.08	)	(9,474.44	)	—	—	2.2500	1.8191	Feb-Aug	39,950.00	52,875.00		20161128	20190815
02665WBM2	AMERICAN HONDA FINANCE CORPORA SENIOR CO			1FE	1,004,510.00	1,002,339.94	1,000,000.00	1,004,401.28	(2,061.34	)	(108.72	)	—	—	2.0000	1.8270	Feb-Aug	7,500.00	(6,111.11	)	20170601	20200214
02665WBP5	AMERICAN HONDA FINANCE CORPORA SENIOR CO			1FE	1,073,228.40	1,093,888.83	1,080,000.00	1,073,555.29	20,333.54		326.89		—	—	2.9000	3.0000	Feb-Aug	11,745.00	—		20170213	20240216
02665WAW1	AMERICAN HONDA FINANCE CORPORA SENIOR CO			1FE	249,210.00	250,040.00	250,000.00	249,721.73	318.27		132.80		—	—	1.6000	1.7092	Jan-Jul	1,866.67	2,000.00		20150715	20180713
03027XAL4	AMERICAN TOWER CORPORATION SENIOR CORP B			2FE	3,994,320.00	3,911,520.08	4,000,000.00	3,995,034.25	(83,514.17	)	667.45		—	—	2.2500	2.2789	Jan-Jul	41,500.00	48,937.51		20160928	20220115
03065GAD2	AMERICREDIT AUTOMOBILE RECEIVA ABS_17-2-		4	1FE	829,865.70	830,366.65	830,000.00	829,871.48	495.17		5.78		—	—	1.9800	1.9944	Monthly	593.45	1,460.80		20170509	20211220
031162BD1	AMGEN INC CORP BND			2FE	726,110.00	726,635.05	700,000.00	716,737.70	9,897.35		(2,428.60	)	—	—	3.4500	2.6770	Apr-Oct	6,037.50	12,075.00		20150714	20201001
031162BU3	AMGEN INC SENIOR CORP BND		2	2FE	761,263.68	763,569.16	759,000.00	760,948.99	2,620.17		(533.21	)	—	—	2.2000	2.2961	May-Nov	1,808.95	8,349.00		20150805	20190522
031162BW9	AMGEN INC SENIOR CORP BND		2	2FE	1,693,728.75	1,697,135.82	1,695,000.00	1,694,262.97	2,872.85		124.81		—	—	2.1250	2.1409	May-Nov	6,003.13	18,009.38		20150428	20200501
031162CM0	AMGEN INC SENIOR CORP BND			2FE	424,766.25	427,095.26	425,000.00	424,776.75	2,318.51		10.50		—	—	2.2000	2.2191	May-Nov	1,298.60	—		20170508	20200511
031162CG3	AMGEN INC SENIOR CORP BND		2	2FE	1,068,833.70	1,047,166.16	1,070,000.00	1,069,027.81	(21,861.65	)	138.88		—	—	1.8500	1.8729	Feb-Aug	7,258.18	33,988.62		20160810	20210819
031162CH1	AMGEN INC SENIOR CORP BND		2	2FE	498,713.25	509,801.26	525,000.00	500,784.87	9,016.39		1,780.11		—	—	2.2500	3.0809	Feb-Aug	4,331.25	5,906.25		20161129	20230819
032511BJ5	ANADARKO PETROLEUM CORPORATION SENIOR CO		2	3FE	509,000.00	491,064.99	500,000.00	506,947.80	(15,882.81	)	(451.81	)	—	—	3.4500	3.2208	Jan-Jul	7,954.17	8,625.00		20150224	20240715
033287AV5	ANCHC_14-4A ABS_14-4A-A2R 144A	D	4	1FE	1,000,000.00	1,002,555.90	1,000,000.00	1,000,000.00	2,555.90		—		—	—	2.8518	2.8618	J-A-J-O	5,069.83	—		20170425	20260728
BRT6SZN03	ANCHOR GLASS CONTAINERS CORP SECURED TER			4FE	275,166.17	277,862.53	276,548.92	275,274.37	2,588.16		104.81		—	—	—	0.0708	M-J-S-D	—	6,025.56		20161122	20231207
035242AL0	ANHEUSER-BUSCH INBEV FINANCE I SENIOR CO		2	2FE	1,370,817.00	1,388,812.39	1,350,000.00	1,369,002.90	19,809.49		(1,461.87	)	—	—	3.3000	3.0168	Feb-Aug	18,562.50	67,054.16		20161129	20230201
035242AE6	ANHEUSER-BUSCH INBEV FINANCE I SENIOR CO			1FE	2,452,521.50	2,464,552.86	2,450,000.00	2,452,769.83	11,783.03		(860.93	)	—	—	2.1500	2.1919	Feb-Aug	21,947.92	26,337.50		20140122	20190201
035242AP1	ANHEUSER-BUSCH INBEV FINANCE I SENIOR CO		2	2FE	2,023,465.80	2,074,359.62	2,014,000.00	2,023,251.86	51,107.76		(213.94	)	—	—	3.6500	3.5838	Feb-Aug	30,629.58	(10,822.45	)	20170321	20260201
035242AJ5	ANHEUSER-BUSCH INBEV FINANCE I SENIOR CO		2	1FE	4,735,132.50	4,808,757.50	4,750,000.00	4,739,182.30	69,575.20		1,423.29		—	—	2.6500	2.7171	Feb-Aug	52,447.92	62,937.50		20160113	20210201
035242AC0	ANHEUSER-BUSCH INBEV FINANCE I SENIOR CO			2FE	982,460.00	998,540.00	1,000,000.00	997,035.31	1,504.69		2,695.58		—	—	1.2500	1.8001	Jan-Jul	5,694.44	6,250.00		20140930	20180117
035242AG1	ANHEUSER-BUSCH INBEV FINANCE I SENIOR CO			1FE	10,216,387.70	10,232,564.20	10,210,000.00	10,215,153.84	17,410.36		(1,571.81	)	—	—	1.9000	1.7130	Feb-Aug	80,829.17	96,995.00		20160113	20190201

03523TAN8	ANHEUSER-BUSCH INBEV WORLDWIDE CORP BND			2FE	2,255,260.00	2,166,179.96	2,000,000.00	2,173,525.42	(7,345.46	)	(33,186.19	)	—	—	5.3750	1.8600	Jan-Jul	49,569.44	53,750.00	20160331	20200115
03523TBN7	ANHEUSER-BUSCH INBEV WORLDWIDE SENIOR CO			2FE	4,362,400.00	4,374,562.50	4,375,000.00	4,374,899.32	(336.82	)	1,299.33		—	—	1.3750	1.4349	Jan-Jul	27,738.72	30,078.13	20120711	20170715
03523TBP2	ANHEUSER-BUSCH INBEV WORLDWIDE SENIOR CO			2FE	4,176,868.75	4,316,739.16	4,325,000.00	4,207,172.71	109,566.45		10,717.71		—	—	2.5000	3.0880	Jan-Jul	49,857.64	54,062.50	20160121	20220715
00182EAW9	ANZ NATIONAL INTERNATIONAL LTD SENIOR CO	D		1FE	999,880.00	999,877.00	1,000,000.00	999,969.57	(92.57	)	20.06		—	—	1.7500	1.7541	Mar-Sep	4,472.22	8,750.00	20150324	20180329
00182EBB4	ANZ NATIONAL INTERNATIONAL LTD SENIOR CO	D		1FE	2,850,000.00	2,878,961.70	2,850,000.00	2,850,000.00	28,961.70		—		—	—	2.1818	2.1818	J-A-J-O	11,054.36	28,405.00	20160721	20210728
037401AC0	AOZORA RE LTD CORP BND 144A	D		3FE	250,000.00	254,100.00	250,000.00	250,000.00	4,100.00		—		—	—	3.4588	3.4735	J-A-J-O	2,137.72	4,135.55	20160329	20230407
037401AD8	AOZORA RE LTD SENIOR CORP BND 144A	D			20,550,000.00	20,755,294.50	20,550,000.00	20,550,000.00	205,294.50		—		—	—	0.5000	0.5000	J-A-J-O	26,829.17	—	20170321	20210407
000366AA2	APOLLO AVIATION SECURITIZATION ABS 17-1A		4		1,999,989.80	2,003,108.20	2,000,000.00	1,999,987.64	3,120.56		(2.16	)	—	—	3.9670	3.9995	Monthly	5,509.72	—	20170525	20420516
037833AJ9	APPLE INC CORP BND			1FE	1,245,387.50	1,245,512.50	1,250,000.00	1,249,208.28	(3,695.78	)	1,257.57		—	—	1.0000	1.0760	May-Nov	2,013.89	23,588.89	20130430	20180503
037833CN8	APPLE INC SENIOR CORP BND			1FE	4,000,000.00	4,042,039.80	4,000,000.00	4,000,000.00	42,039.80		—		—	—	1.6804	1.6804	F-M-A-N	9,895.63	24,758.81	20170202	20220209
037833AR1	APPLE INC SENIOR CORP BND			1FE	3,149,972.00	3,181,932.94	3,100,000.00	3,133,654.19	48,278.75		(4,116.95	)	—	—	2.8500	2.5519	May-Nov	13,497.92	44,175.00	20150622	20210506
037833BQ2	APPLE INC SENIOR CORP BND			1FE	4,209,995.20	4,201,019.70	4,190,000.00	4,201,216.98	(197.28	)	(3,483.79	)	—	—	1.7000	1.7058	Feb-Aug	25,326.22	44,673.88	20160216	20190222
037833AQ3	APPLE INC SENIOR CORP BND			1FE	606,576.00	605,627.98	600,000.00	605,024.26	603.72		(1,324.52	)	—	—	2.1000	1.6380	May-Nov	1,925.00	6,300.00	20161128	20190506
037833BZ2	APPLE INC SENIOR CORP BND		2	1FE	468,716.90	450,137.81	470,000.00	468,820.61	(18,682.80	)	59.38		—	—	2.4500	2.4810	Feb-Aug	4,701.96	6,372.72	20160728	20260804
037833CB4	APPLE INC SENIOR CORP BND			1FE	5,894,100.00	5,838,227.18	5,900,000.00	5,895,865.45	(57,638.27	)	972.52		—	—	1.1000	1.1340	Feb-Aug	26,500.84	32,450.00	20160728	20190802
037833BS8	APPLE INC SENIOR CORP BND		2	1FE	1,736,705.00	1,711,168.97	1,700,000.00	1,730,620.95	(19,451.98	)	(4,180.30	)	—	—	2.2500	1.5100	Feb-Aug	13,600.00	19,125.00	20160824	20210223
037833CT5	APPLE INC SENIOR CORP BND			1FE	1,500,000.00	1,498,814.98	1,500,000.00	1,500,000.00	(1,185.02	)	—		—	—	1.2520	1.2520	F-M-A-N	2,660.51	—	20170504	20200511
BRT8ZREK5	ARAMARK SERVICES INC SENIOR SECURED TERM		2	3FE	286,515.95	287,948.53	286,515.95	286,515.95	1,432.58		—		—	—	—	—	M-J-S-D	—	2,389.62	20170309	20240328
039483AY8	ARCHER-DANIELS-MIDLAND COMPANY CORP BND			1FE	2,179,988.75	1,853,554.50	1,805,000.00	1,855,174.19	(1,619.69	)	(34,875.00	)	—	—	5.4500	1.4780	Mar-Sep	28,965.24	49,186.25	20120925	20180315
BRSV1F5E2	ARDENT LEGACY ACQUISITIONS INC SENIOR SE			4FE	946,687.53	957,445.32	956,250.01	949,700.80	7,744.52		867.62		—	—	—	0.1661	M-J-S-D	—	32,062.24	20150730	20210730
00191YAP9	ARES_15-1R MEZZANINE ABS_15-1A B2R 144A	D	4		500,000.00	501,310.20	500,000.00	500,000.00	1,310.20		—		—	—	4.0181	4.0381	M-J-S-D	1,450.97	8,744.88	20161214	20251205
BRST927R7	ARIA ENERGY OPERATING LLC SENIOR SECURED		4	4FE	727,529.76	732,122.75	734,878.54	729,470.60	2,652.15		1,096.05		—	—	—	0.1485	F-M-A-N	—	25,521.70	20150518	20220527
040484JY4	ARIZONA BRD REGENTS UNIV ARIZ MUNI BND R		2	1FE	1,654,640.80	1,669,479.80	1,420,000.00	1,587,853.44	81,626.36		(12,507.06	)	—	—	5.0000	2.8691	Feb-Aug	29,583.33	35,500.00	20140930	20270801
04048RMW3	ARIZONA BRD REGENTS UNIV ARIZ MUNITAX BN				1,750,000.00	1,750,280.00	1,750,000.00	1,750,000.00	280.00		—		—	—	2.0480	2.0480	Jan-Jul	17,920.00	17,920.00	20150305	20190701
04048RMX1	ARIZONA BRD REGENTS UNIV ARIZ MUNITAX BN			1FE	200,000.00	202,166.00	200,000.00	200,000.00	2,166.00		—		—	—	2.3480	2.3480	Jan-Jul	2,348.00	33,261.38	20150305	20200701
04048RMV5	ARIZONA BRD REGENTS UNIV ARIZ MUNITAX BN			1FE	1,315,000.00	1,315,433.95	1,315,000.00	1,315,000.00	433.95		—		—	—	1.5590	1.5590	Jan-Jul	10,250.43	10,250.43	20150305	20180701
04057PJL3	ARIZONA SCH FACS BRD CTFS PART MUNITAX B			1FE	2,175,000.00	2,177,044.50	2,175,000.00	2,175,000.00	2,044.50		—		—	—	1.4740	1.4740	Mar-Sep	10,686.50	16,029.75	20140604	20170901
040688NL3	ARIZONA WTR INFRASTRUCTURE FIN MUNITAX B			1FE	1,575,519.05	1,570,172.70	1,570,000.00	1,570,519.77	(347.07	)	(1,022.13	)	—	—	1.4130	1.2805	Apr-Oct	5,546.03	11,092.05	20150115	20171001
BRTAGK286	ASHLAND INC. SENIOR SECURED TERM LOAN		2	3FE	199,203.19	199,950.20	199,203.19	199,203.19	747.01		—		—	—	—	—	M-J-S-D	—	—	20170525	20240517
045167CB7	ASIAN DEVELOPMENT BANK SENIOR CORP BND	D		1FE	5,105,000.00	5,027,400.00	5,000,000.00	5,054,283.55	(26,883.55	)	(20,352.03	)	—	—	1.8750	1.0392	Apr-Oct	17,708.33	46,900.00	20160330	20181023
045167EA7	ASIAN DEVELOPMENT BANK SENIOR CORP BND	D			6,984,390.00	6,962,479.79	7,000,000.00	6,984,627.58	(22,147.79	)	237.58		—	—	1.7500	1.8080	Jun-Dec	7,826.39	—	20170531	20210608
BRT84JAE5	ASURION LLC SENIOR SECURED TERM LOAN		2	3FE	1,268,499.32	1,279,101.28	1,273,529.59	1,268,876.34	10,224.94		479.68		—	—	—	0.0709	M-J-S-D	—	22,815.55	20170131	20220804
00206RCM2	AT&T INC SENIOR CORP BND		2	2FE	507,100.00	500,445.03	500,000.00	505,795.61	(5,350.58	)	(638.42	)	—	—	3.0000	2.7395	Jun-Dec	41.67	8,583.33	20160422	20220630
00206RDQ2	AT&T INC SENIOR CORP BND		2	2FE	3,997,600.00	4,129,320.08	4,000,000.00	3,997,748.35	131,571.73		171.91		—	—	4.2500	4.2570	Mar-Sep	67,055.56	16,940.97	20170131	20270301

00206RCR1	AT&T INC SENIOR CORP BND		2	2FE	3,803,374.00	3,831,540.35	3,800,000.00	3,802,538.84	29,001.51		(341.41	)	—	—	2.8000	2.8380	Feb-Aug	39,604.44	73,383.33	20160129	20210217
00206RCN0	AT&T INC SENIOR CORP BND		2	2FE	1,794,672.00	1,766,573.96	1,800,000.00	1,795,683.88	(29,109.92	)	236.04		—	—	3.4000	3.4350	May-Nov	7,820.00	30,600.00	20150423	20250515
00206RCL4	AT&T INC SENIOR CORP BND		2	2FE	4,014,416.00	4,020,079.96	4,000,000.00	4,014,329.50	5,750.46		(193.43	)	—	—	2.4500	2.4600	Jun-Dec	272.22	11,283.61	20150423	20200630
00206RCC4	AT&T INC SENIOR CORP BND			2FE	5,173,691.25	5,154,879.16	5,125,000.00	5,152,317.19	2,561.97		(7,827.49	)	—	—	2.3000	1.6401	Mar-Sep	36,017.36	58,937.50	20140930	20190311
BRT7H2514	ATKORE INTERNATIONAL INC SECURED TERM LO			4FE	594,344.79	599,062.01	595,834.38	594,448.94	4,613.07		116.45		—	—	—	0.0354	M-J-S-D	—	12,490.99	20161215	20231222
047870CY4	ATLANTA GA (CITY OF) MUNI BND REV		4	1FE	4,515,070.00	4,647,183.10	3,710,000.00	4,374,204.18	272,978.92		(33,384.86	)	—	—	5.5000	3.4279	May-Nov	34,008.33	147,552.78	20140930	20271101
049382AD6	ATLAS IX CAPITAL DAC SENIOR CORP BND 144	D			1,000,000.00	1,049,920.00	1,000,000.00	1,000,000.00	49,920.00		—		—	—	8.5076	0.5079	J-A-J-O	1,254.92	41,578.33	20151223	20200108
049382AC8	ATLAS IX CAPITAL LTD CORP BND 144A	D			1,000,000.00	1,018,700.00	1,000,000.00	1,000,000.00	18,700.00		—		—	—	8.5926	8.6781	J-A-J-O	21,242.84	42,083.62	20150205	20190107
04941MAG0	ATLASF_5 SUB ABS_14-1A C 144A	D	4	1FE	750,000.00	753,703.58	750,000.00	751,349.45	2,354.13		894.77		—	—	3.8084	4.1972	J-A-J-O	5,950.69	13,653.02	20161007	20260716
05178RAA3	AURORA MILITARY HOUSING MUNI BND 144A		4	1FE	741,797.00	731,500.00	700,000.00	724,621.50	6,878.50		(7,240.57	)	—	—	5.3200	4.2156	Jun-Dec	1,655.11	21,280.00	20140930	20201215
BRSVLF005	AURORA PARTS AND ACCESSORIES L SENIOR SE				5,893,881.07	5,878,997.52	5,953,415.21	5,912,112.49	(33,114.97	)	5,291.10		—	—	—	0.1663	M-J-S-D	—	170,050.66	20150817	20210817
0523966M5	AUSTIN TX (CITY OF) MUNITAX BND GO			1FE	386,563.10	391,056.05	385,000.00	385,864.85	5,191.20		(129.42	)	—	—	2.3840	2.3101	Mar-Sep	3,059.47	4,589.20	20140930	20200901
0523966K9	AUSTIN TX (CITY OF) MUNITAX BND GO			1FE	315,677.25	316,105.65	315,000.00	315,207.03	898.62		(86.42	)	—	—	1.7580	1.7009	Mar-Sep	1,845.90	2,768.85	20140930	20180901
0523966L7	AUSTIN TX (CITY OF) MUNITAX BND GO			1FE	201,750.00	202,054.00	200,000.00	200,792.14	1,261.86		(176.13	)	—	—	2.1080	1.9206	Mar-Sep	1,405.33	2,108.00	20140930	20190901
05253JAH4	AUSTRALIA & NEW ZEALAND BANKIN SENIOR CO			2FE	3,396,430.00	3,399,388.00	3,400,000.00	3,399,343.68	44.32		1,283.93		—	—	1.5000	1.5359	Jan-Jul	23,375.00	89,025.00	20150112	20180116
05253JAC5	AUSTRALIA & NEW ZEALAND BANKIN SENIOR CO			1FE	774,550.50	773,938.25	775,000.00	774,919.24	(980.99	)	45.66		—	—	1.4500	1.4621	May-Nov	1,435.90	5,618.75	20130509	20180515
05253JAN1	AUSTRALIA & NEW ZEALAND BANKIN SENIOR CO			1FE	2,799,748.00	2,781,379.97	2,800,000.00	2,799,827.45	(18,447.48	)	41.41		—	—	1.6000	1.6031	Jan-Jul	20,657.78	22,400.00	20160711	20190715
05253JAR2	AUSTRALIA & NEW ZEALAND BANKIN SENIOR CO			1FE	1,709,837.85	1,711,793.02	1,715,000.00	1,710,006.53	1,786.49		168.68		—	—	2.1250	2.2220	Feb-Aug	4,251.77	—	20170515	20200819
05253JAJ0	AUSTRALIA & NEW ZEALAND BANKIN SENIOR CO			1FE	4,995,800.00	5,016,200.00	5,000,000.00	4,998,044.07	18,155.93		695.26		—	—	2.0000	2.0290	May-Nov	12,500.00	50,000.00	20151109	20181116
05254HAA2	AUSTRALIA AND NEW ZEALAND BANK CAPSEC CO	D	2	2FE	1,610,000.00	1,782,270.00	1,610,000.00	1,610,000.00	172,270.00		—		—	—	6.7500	6.7495	Jun-Dec	4,830.00	54,337.50	20160607	20491231
053015AD5	AUTOMATIC DATA PROCESSING, INC SENIOR CO		2	1FE	537,521.18	544,305.34	538,000.00	537,686.82	6,618.52		46.39		—	—	2.2500	2.2689	Mar-Sep	3,564.25	6,052.50	20150908	20200915
05329WAL6	AUTONATION INC CORP BND		2	2FE	4,599,908.00	4,681,373.86	4,600,000.00	4,599,908.00	81,465.86		—		—	—	3.3500	3.3511	Jan-Jul	71,057.22	77,050.00	20150916	20210115
053332AU6	AUTOZONE INC SENIOR CORP BND		2	2FE	219,846.00	218,684.84	220,000.00	219,906.41	(1,221.57	)	25.25		—	—	1.6250	1.6490	Apr-Oct	695.14	1,787.51	20160418	20190421
00248PAP1	AVOCE_14-1A ABS 14-1A-A1A 144A	D	4		1,000,000.00	999,686.90	1,000,000.00	1,000,000.00	(313.10	)	—		—	—	2.3080	2.1029	J-A-J-O	5,641.78	788.37	20170316	20260715
00248PAQ9	AVOCE_14-1A ABS 14-1A-A2R 144A	D	4	1FE	1,000,000.00	999,953.10	1,000,000.00	1,000,000.00	(46.90	)	—		—	—	2.7020	2.5533	J-A-J-O	6,604.89	929.20	20170316	20260715
BRT7ZNFV1	AVOLON TLB BORROWER 1 LUXEMBOU SENIOR SE	D	2	3FE	1,162,043.79	1,177,038.25	1,167,883.21	1,162,341.96	14,696.29		348.56		—	—	—	0.0993	M-J-S-D	—	12,974.44	20170120	20220321
BRSC7W2L8	AWAS AVIATION SERVICES INC TERM NOTES		4	2FE	624,178.59	627,707.22	627,315.15	625,943.45	1,763.77		869.78		—	—	—	0.2285	M-J-S-D	—	14,323.35	20160318	20180611
BRSU5BES8	AWP INC SENIOR SECURED REVOLVE LOAN				130,307.24	127,609.87	130,307.24	130,307.24	(2,697.37	)	—		—	—	—	—	M-J-S-D	—	4,777.84	20160901	20200605
BRSU5BEP4	AWP INC SENIOR SECURED TERM LOAN				3,664,769.40	3,618,959.78	3,664,769.40	3,664,769.40	(45,809.62	)	—		—	—	—	—	M-J-S-D	—	102,291.31	20150609	20210605
04280PAA5	AWPT_14-2A ABS 14-2A 144A	D	4		1,089,550.00	1,100,005.39	1,100,000.00	1,094,571.61	5,433.78		929.84		—	—	2.7281	2.9463	M-J-S-D	1,583.82	14,104.70	20150123	20260312
055065AA4	AZZURRO RE I LTD CORP BND 144A	B			1,408,562.50	1,444,605.41	1,250,000.00	1,408,562.50	5,759.78		—		—	30,296.46	2.1500	2.1557	J-A-J-O	6,215.60	14,753.76	20150612	20190116
BRT9E7NA2	B&G FOODS INC SENIOR SECURED TERM LOAN		2	3FE	2,359,904.93	2,379,012.26	2,369,281.62	2,360,188.81	18,823.45		283.88		—	—	—	0.0710	M-J-S-D	—	13,547.81	20170501	20221102
06759YAC9	BABSN_16-3A ABS 16-3A 144A	D	4		2,000,000.00	1,982,036.20	2,000,000.00	2,000,000.00	(17,963.80	)	—		—	—	3.0584	3.0695	J-A-J-O	13,083.33	20,358.74	20161028	20280115
05522RCU0	BACCT ABS 15-A2 A		4	1FE	1,374,835.07	1,373,924.75	1,375,000.00	1,374,917.38	(992.63	)	35.37		—	—	1.3600	1.3667	Monthly	831.11	18,983.31	20150422	20200915

05522RCW6	BACCT_16-A1 SENIOR ABS_17-A1 A1		4	1FE	3,064,118.51	3,074,023.70	3,065,000.00	3,064,179.35	9,844.35		60.84		—	—		1.9500	1.9661	Monthly	2,656.34	12,451.57		20170323	20220815
06054AAX7	BACM_15-UBS7 LCF SENIOR CMBS_2015-UBS7 A		4	1FM	3,425,469.71	3,479,498.45	3,325,000.00	3,410,438.92	69,059.53		(4,497.50	)	—	—		3.7050	3.3563	Monthly	10,265.94	61,595.64		20150914	20480915
BRSHC6N35	BAKERCORP INTERNATIONAL INC SENIOR SECUR		4	4FE	1,130,159.78	1,076,477.19	1,130,159.78	1,130,159.78	(53,682.59	)	—		—	—		—	—	M-J-S-D	—	23,976.14		20130206	20200207
059165EG1	BALTIMORE GAS & ELECTRIC CO SENIOR CORP		2	1FE	149,550.00	141,519.00	150,000.00	149,584.75	(8,065.75	)	20.09		—	—		2.4000	2.4340	Feb-Aug	1,360.01	1,770.00		20160815	20260815
05964HAA3	BANCO SANTANDER SA SENIOR CORP BND	D		2FE	6,000,000.00	6,182,280.13	6,000,000.00	6,000,000.00	182,280.13		—		—	—		2.7176	2.7176	J-A-J-O	36,687.74	—		20170404	20220411
BRSYWHG22	BANK NEDERLANDSE GEMEENTEN SENIOR CORP B	B			2,263,767.40	2,158,654.24	1,650,000.00	2,262,015.39	8,512.06		(1,899.54	)	—	(111,873.21	)	1.1250	1.1981	March	7,662.92	25,239.35		20160126	20190307
N6520YLT3	BANK NEDERLANDSE GEMEENTEN SENIOR CORP B	B		1FE	347,569.00	360,096.13	275,000.00	347,429.03	1,386.21		(139.97	)	—	11,280.88		1.1250	1.0120	May	418.38	1,130.36		20170131	20210524
62944BBJ2	BANK NEDERLANDSE GEMEENTEN SENIOR CORP B	D			2,082,562.04	2,078,494.07	2,084,000.00	2,083,349.36	(4,855.29	)	357.67		—	—		1.1250	1.1600	May-Nov	2,344.50	11,722.50		20160518	20180525
N1R20N4H9	BANK NEDERLANDSE GEMEENTEN SENIOR CORP B	B		1FE	1,867,306.53	1,950,507.37	1,480,000.00	1,863,627.17	(2,089.83	)	(3,679.36	)	—	88,970.04		1.3750	0.7348	December	14,773.87	(6,038.07	)	20170308	20191209
060505EN0	BANK OF AMERICA CORP CAPSEC CORP BND		2	3FE	1,428,637.50	1,494,045.00	1,377,000.00	1,419,559.62	74,485.38		(2,162.98	)	—	—		6.1000	5.6009	Mar-Sep	24,265.80	41,998.50		20150415	20491231
060505EH3	BANK OF AMERICA CORP CAPSEC CORP BND		2	3FE	4,876,597.00	5,231,380.00	4,816,000.00	4,865,167.82	366,212.18		(2,701.22	)	—	—		6.2500	6.2495	Mar-Sep	96,988.90	150,500.00		20140902	20491231
U5904RYZ0	BANK OF AMERICA CORP CORP BND			1FE	1,687,064.32	1,371,111.08	1,000,000.00	1,547,131.64	7,580.99		(43,120.68	)	—	(183,601.55	)	7.7500	1.8136	April	17,099.87	110,885.07		20150615	20180430
U0662KCL3	BANK OF AMERICA CORP CORP BND			1FE	698,740.52	715,616.69	500,000.00	689,377.64	(2,278.92	)	(9,362.88	)	—	28,517.97		5.5000	1.0883	Jun-Dec	2,635.17	9,517.89		20170221	20191204
06051GEX3	BANK OF AMERICA CORP SENIOR CORP BND			2FE	959,794.50	958,654.45	950,000.00	957,152.29	1,502.16		(2,269.44	)	—	—		2.6000	2.1001	Jan-Jul	11,389.44	12,350.00		20161128	20190115
06051GGK9	BANK OF AMERICA CORP SENIOR CORP BND		2	2FE	11,829,847.50	11,852,268.97	11,820,000.00	11,829,772.10	22,496.87		(75.40	)	—	—		2.8810	2.8810	Apr-Oct	63,377.21	2,600.90		20170419	20230424
06051GFX2	BANK OF AMERICA CORP SENIOR CORP BND			2FE	2,487,284.00	2,408,256.05	2,400,000.00	2,481,650.44	(73,394.39	)	(3,986.63	)	—	—		3.5000	3.0510	Apr-Oct	16,800.00	42,000.00		20161012	20260419
06050TME9	BANK OF AMERICA CORP SENIOR CORP BND			1FE	4,704,215.00	4,720,303.96	4,700,000.00	4,702,342.92	17,961.04		(798.42	)	—	—		2.0500	2.0500	Jun-Dec	6,423.33	48,175.00		20151203	20181207
06051GGF0	BANK OF AMERICA CORP SENIOR CORP BND		2	3FE	3,000,000.00	3,054,359.88	3,000,000.00	3,000,000.00	54,359.88		—		—	—		3.8240	3.8240	Jan-Jul	51,305.33	18,110.89		20170117	20280120
06051GFT1	BANK OF AMERICA CORP SENIOR CORP BND MTN			2FE	2,281,849.25	2,294,860.95	2,275,000.00	2,280,169.93	14,691.02		(652.44	)	—	—		2.6250	2.4519	Apr-Oct	11,943.75	85,082.82		20151014	20201019
06051GFZ7	BANK OF AMERICA CORP SENIOR CORP BND MTN		2	2FE	3,822,468.00	3,846,219.08	3,900,000.00	3,830,019.55	16,199.53		6,072.28		—	—		2.5030	2.8701	Apr-Oct	18,981.08	48,808.50		20161115	20221021
06051GFD6	BANK OF AMERICA CORP SENIOR CORP BND MTN			2FE	8,172,080.00	8,088,640.16	8,000,000.00	8,124,583.84	(35,943.68	)	(43,338.99	)	—	—		2.6500	1.7430	Apr-Oct	53,000.00	153,552.78		20161020	20190401
U5904QAC9	BANK OF AMERICA CORP SUB COROP BND			2FE	748,402.32	750,015.35	500,000.00	733,589.10	16,440.32		(8,980.08	)	—	(14.07	)	5.5000	2.6526	November	21,628.40	—		20160701	20211122
060505EG5	BANK OF AMERICA CORP SUB CORP BND		2	3FE	4,862,500.00	5,100,000.00	5,000,000.00	4,862,500.00	237,500.00		—		—	—		5.1250	5.2699	Jun-Dec	9,965.27	128,125.00		20140801	0
06051GFL8	BANK OF AMERICA CORP SUB CORP BND			2FE	1,014,350.00	1,029,240.04	1,000,000.00	1,012,052.62	17,187.42		(974.41	)	—	—		4.2500	4.0930	Apr-Oct	8,145.83	47,694.44		20150312	20261022
G0R18RAN4	BANK OF ENGLAND SENIOR GOVT BND MTN	D			3,114,283.55	3,118,021.55	3,115,000.00	3,114,357.83	3,663.72		74.28		—	—		1.7500	1.7579	Mar-Sep	17,413.72	—		20170227	20200306
06367XF30	BANK OF MONTREAL SECURED LOCAL BND 144A	A		1FE	1,003,160.00	981,640.01	1,000,000.00	1,002,632.96	(20,992.95	)	(318.61	)	—	—		1.7500	1.6809	Jun-Dec	777.78	8,750.00		20160824	20210615
06367TPX2	BANK OF MONTREAL SENIOR CORP BND	A		1FE	294,873.15	295,548.72	295,000.00	294,895.90	652.82		20.48		—	—		2.1000	2.1149	Jun-Dec	326.96	3,097.50		20161207	20191212
06367TYL8	BANK OF MONTREAL SENIOR CORP BND	A		1FE	199,982.00	200,268.01	200,000.00	199,982.26	285.75		0.26		—	—		2.1000	2.1031	Jun-Dec	186.67	—		20170612	20200615
06367THQ6	BANK OF MONTREAL SENIOR CORP BND MTN	A		1FE	7,048,227.20	6,990,023.59	7,055,000.00	7,050,345.62	(60,322.03	)	1,117.22		—	—		1.5000	1.5329	Jan-Jul	47,915.21	59,212.50		20160713	20190718
06367THR4	BANK OF MONTREAL SENIOR CORP BND MTN	A		1FE	3,000,000.00	3,022,949.97	3,000,000.00	3,000,000.00	22,949.97		—		—	—		1.8084	1.8084	J-A-J-O	11,152.05	24,295.71		20160713	20190718
064058AF7	BANK OF NEW YORK MELLON CORP/T CAPSEC CO		2	2FE	8,886,875.00	9,057,425.00	8,990,000.00	8,886,875.00	170,550.00		—		—	—		4.6250	4.7558	Mar-Sep	116,651.49	162,575.16		20160725	0
06406HCW7	BANK OF NEW YORK MELLON CORP/T SENIOR CO		2	1FE	1,007,930.00	1,009,709.93	1,000,000.00	1,004,544.79	5,165.14		(1,047.87	)	—	—		2.3000	2.0766	Mar-Sep	7,027.78	11,500.00		20151110	20190911
06406HCR8	BANK OF NEW YORK MELLON CORP/T SENIOR CO		2	1FE	11,412,207.00	11,432,514.17	11,350,000.00	11,396,946.00	35,568.17		(14,391.76	)	—	—		2.2000	2.2230	Mar-Sep	81,152.50	124,850.00		20140128	20190304
06406HCK3	BANK OF NEW YORK MELLON CORP/T SENIOR CO			1FE	6,000,000.00	6,015,840.00	6,000,000.00	6,000,000.00	15,840.00		—		—	—		1.6625	1.6625	M-J-S-D	6,927.08	47,181.96		20140602	20180306

06406HCU1	BANK OF NEW YORK MELLON CORP/T SENIOR CO		2	1FE	1,996,120.00	2,013,959.96	2,000,000.00	1,998,505.13	15,454.83		387.24		—	—		2.2000	2.2410	May-Nov	5,622.22	22,000.00		20140502	20190515
06406HDB2	BANK OF NEW YORK MELLON CORP/T SENIOR CO		2	1FE	1,999,820.00	2,000,320.00	2,000,000.00	1,999,944.57	375.43		30.65		—	—		1.6000	1.6031	May-Nov	3,466.67	16,000.00		20150522	20180522
06406HCE7	BANK OF NEW YORK MELLON CORP/T SENIOR CO		2	1FE	299,634.00	299,727.00	300,000.00	299,917.51	(190.51	)	72.18		—	—		1.3000	1.3489	Jan-Jul	1,690.00	1,950.00		20150707	20180125
06406FAA1	BANK OF NEW YORK MELLON CORP/T SENIOR CO		2	1FE	855,270.00	856,893.41	850,000.00	854,000.62	2,892.79		(507.57	)	—	—		2.5000	2.3668	Apr-Oct	4,486.11	10,625.00		20160315	20210415
06406GAA9	BANK OF NEW YORK MELLON CORP/T SUB CORP		2	1FE	69,923.00	67,572.40	70,000.00	69,926.60	(2,354.20	)	2.68		—	—		3.0000	3.0110	Apr-Oct	355.84	1,050.00		20161024	20281030
064159HC3	BANK OF NOVA SCOTIA SENIOR CORP BND	A		1FE	1,523,185.25	1,527,973.75	1,525,000.00	1,524,055.86	3,917.89		300.31		—	—		1.9500	1.9911	Jan-Jul	13,712.29	14,868.75		20160112	20190115
G40096AY8	BANK OF SCOTLAND PLC CORP BND	B		1FE	699,866.71	716,669.42	500,000.00	684,244.07	6,028.31		(13,401.41	)	—	26,397.04		6.3750	1.8090	August	36,228.53	—		20161130	20190816
06538PAB8	BANK OF TOKYO-MITSUBISHI UFJ L SENIOR CO	D		1FE	1,067,000.00	1,074,533.12	1,067,000.00	1,067,000.00	7,533.12		—		—	—		2.2617	2.2617	M-J-S-D	1,139.57	15,904.99		20150908	20180914
06739GBP3	BARCLAYS BANK PLC CORP BND	D		2FE	6,019,695.00	5,888,134.95	5,500,000.00	5,791,483.66	96,651.29		(41,251.47	)	—	—		5.1400	3.4210	Apr-Oct	60,466.39	141,350.00		20140819	20201014
06742LAM5	BARCLAYS DRYROCK ISSUANCE TRUS SENIOR AB		4	1FE	1,599,761.92	1,589,688.86	1,600,000.00	1,599,834.53	(10,145.67	)	40.83		—	—		1.5200	1.5300	Monthly	1,080.88	13,663.07		20160727	20220516
06738EAU9	BARCLAYS PLC SENIOR CORP BND	D	2	2FE	400,000.00	411,760.01	400,000.00	400,000.00	11,760.01		—		—	—		4.3370	4.3370	Jan-Jul	8,240.30	—		20170103	20280110
06738EAL9	BARCLAYS PLC SENIOR CORP BND	D		2FE	2,148,817.50	2,184,916.03	2,150,000.00	2,149,145.51	35,770.52		150.77		—	—		3.2500	3.2620	Jan-Jul	32,802.43	57,958.33		20160105	20210112
06738EAD7	BARCLAYS PLC SENIOR CORP BND	D		2FE	2,230,320.60	2,239,402.65	2,220,000.00	2,231,323.73	8,078.92		(331.30	)	—	—		2.7500	2.8261	May-Nov	8,987.91	11,756.25		20141103	20191108
06738EAS4	BARCLAYS PLC SENIOR CORP BND	D	2	2FE	7,716,260.00	7,885,710.36	7,690,000.00	7,716,131.60	169,578.76		(128.40	)	—	—		3.6840	3.0610	Jan-Jul	134,567.32	(16,578.00	)	20170103	20230110
G0809LEB1	BARCLAYS PLC SENIOR CORP BND EMTN	B		3FE	545,733.16	603,687.21	450,000.00	545,874.61	21,580.79		157.84		—	36,231.80		3.1250	3.1710	January	8,257.45	897.93		20170110	20240117
BRT6JNXZ2	BASS PRO GROUP LLC SENIOR SECURED TERM L		2	1FE	3,064,273.39	2,999,432.58	3,090,490.80	3,066,032.94	(66,600.36	)	1,759.55		—	—		—	0.1427	M-J-S-D	—	90,765.44		20161115	20231215
05530QAG5	BAT INTL FIN PLC SENIOR CORP BND 144A	D		2FE	3,854,843.10	3,777,370.89	3,730,000.00	3,828,530.46	(51,159.57	)	(16,051.43	)	—	—		2.7500	1.8280	Jun-Dec	4,558.89	51,287.50		20160831	20200615
BRT31LED2	BAT INTL FIN PLC SENIOR CORP BND EMTN	B	2	1FE	1,342,925.07	1,314,237.09	1,000,000.00	1,336,270.90	(17,122.02	)	(3,995.81	)	—	(4,911.80	)	1.7500	1.7700	July	22,482.50	3,193.12		20160630	20210705
07177MAG8	BAXALTA INC SENIOR CORP BND			2FE	3,868,411.49	3,876,192.00	3,870,000.00	3,869,245.93	6,946.07		378.70		—	—		2.0000	2.0208	Jun-Dec	1,935.00	38,700.00		20160603	20180622
07177MAD5	BAXALTA INC SENIOR CORP BND 144A		2	2FE	3,749,014.00	3,808,237.54	3,750,000.00	3,749,293.37	58,944.17		112.21		—	—		2.8750	2.8816	Jun-Dec	2,395.83	53,906.25		20160603	20200623
072863AA1	BAYLOR SCOTT & WHITE HOLDINGS MUNITAX BN		2	1FE	750,000.00	747,094.50	750,000.00	750,000.00	(2,905.50	)	—		—	—		2.1230	2.1210	May-Nov	2,034.55	7,961.26		20150415	20201115
05531FAW3	BB&T CORP SENIOR CORP BND			1FE	1,350,000.00	1,356,750.00	1,350,000.00	1,350,000.00	6,750.00		—		—	—		1.8156	1.8156	Jun-Dec	1,089.34	10,472.79		20161222	20200615
05531FAN3	BB&T CORP SENIOR CORP BND MTN		2	1FE	682,651.84	678,548.52	676,000.00	677,690.67	857.85		(994.62	)	—	—		2.0500	1.7532	Jun-Dec	461.93	7,148.12		20141126	20180619
05531GAA9	BB&T CORP SUB CORP BND MTN		2	1FE	425,524.00	422,535.98	400,000.00	417,608.89	4,927.09		(1,742.65	)	—	—		3.9500	2.9289	Mar-Sep	4,345.01	7,900.00		20150304	20220322
075887BT5	BECTON DICKINSON AND COMPANY SENIOR CORP		2	2FE	4,000,000.00	4,000,520.31	4,000,000.00	4,000,000.00	520.31		—		—	—		2.8940	2.8940	Jun-Dec	8,038.90	—		20170522	20220606
075887BR9	BECTON DICKINSON AND COMPANY SENIOR CORP			2FE	175,000.00	175,260.75	175,000.00	175,000.00	260.75		—		—	—		2.4040	2.4040	Jun-Dec	292.15	—		20170522	20200605
BRTB6GDJ8	BELMOND INTERFIN LTD SENIOR SECURED TERM	C	2	4FE	1,308,807.70	1,313,740.39	1,315,384.62	1,308,807.70	4,932.69		—		—	—		—	0.0731	M-J-S-D	—	—		20170627	20240630
081653CH8	BEND ORE MUNI BND REV		2	1FE	585,160.00	585,850.00	500,000.00	581,555.36	4,294.64		(3,604.64	)	—	—		5.0000	2.9101	Jun-Dec	2,083.33	9,305.56		20170111	20361201
BRSSLJ0J3	BENDON INC SENIOR SECURED TERM NOTES				349,746.63	324,820.18	349,746.63	349,746.63	(24,926.45	)	—		—	—		—	—	M-J-S-D	—	26,098.98		20150414	20210330
BRSSLJ0T1	BENDON INC SENIOR SECURED TERM NOTES				5,312,971.58	5,047,323.00	5,312,971.58	5,312,971.58	(265,648.58	)	—		—	—		—	—	M-J-S-D	—	198,680.22		20150414	20210330
59562VAX5	BERKSHIRE HATHAWAY ENERGY CO SENIOR CORP		2	1FE	1,506,105.00	1,502,205.15	1,500,000.00	1,502,577.94	(372.79	)	(1,040.08	)	—	—		2.0000	1.8649	May-Nov	3,833.34	15,000.00		20150828	20181115
BRT8HNCY6	BERRY PLASTICS CORP SECURED TERM LOAN		2	3FE	584,909.56	584,543.99	584,909.56	584,909.56	(365.57	)	—		—	—		—	—	M-J-S-D	—	4,883.67		20170301	20200208
BRT8142J9	BERRY PLASTICS CORP SENIOR SECURED TERM			3FE	205,683.70	206,556.60	206,479.17	205,702.27	854.33		42.04		—	—		—	0.0707	M-J-S-D	—	1,040.59		20170516	20221001
BRT7YSH15	BERRY PLASTICS CORP SENIOR SECURED TERM		2	3FE	433,277.03	433,277.03	433,277.03	433,277.03	—		—		—	—		—	—	M-J-S-D	—	5,630.08		20170113	20240119

BRT5C0FT5	BESTOP INC SENIOR SECURED TERM LOAN				2,314,563.43	2,302,990.61	2,314,563.43	2,314,563.43	(11,572.82	)	—		—	—		—	—	M-J-S-D	—	65,779.84		20160920	20210730
BRSV3DL15	BESTOP INC SENIOR SECURED TERM NOTES				3,717,075.01	3,679,904.26	3,717,075.01	3,717,075.01	(37,170.75	)	—		—	—		—	—	M-J-S-D	—	134,837.39		20150730	20210730
G1R42CEP6	BG ENERGY CAPITAL PLC CORP BND	B	2	2FE	781,047.29	796,274.53	600,000.00	762,305.73	2,445.71		(16,529.05	)	—	31,523.09		6.5000	2.1144	November	29,562.68	—		20161130	20721130
G1163HET9	BG ENERGY CAPITAL PLC CORP BND EMTN	B		1FE	1,266,440.70	1,058,458.55	800,000.00	1,187,324.79	2,062.43		(21,807.43	)	—	(130,928.67	)	5.1250	1.6792	December	30,057.34	—		20141210	20171207
055451AU2	BHP BILLITON FINANCE (USA) LTD SENIOR CO	D		1FE	544,060.00	531,910.02	500,000.00	533,027.25	(1,117.23	)	(2,392.63	)	—	—		3.8500	2.6940	Mar-Sep	4,865.97	9,625.00		20150224	20230930
09062XAC7	BIOGEN IDEC INC SENIOR CORP BND			2FE	5,156,144.10	5,214,702.17	5,111,000.00	5,147,448.83	67,253.34		(6,169.09	)	—	—		2.9000	2.3969	Mar-Sep	43,642.25	85,073.12		20150910	20200915
BRSR5ULA4	BIOTELEMETRY INC REVOLVE LOAN				514,285.71	506,571.42	514,285.71	514,285.71	(7,714.29	)	—		—	—		—	—	M-J-S-D	—	13,099.74		20160513	20191230
BRSR5UKB3	BIOTELEMETRY INC TERM NOTES				3,803,571.45	3,784,553.59	3,803,571.45	3,803,571.45	(19,017.86	)	—		—	—		—	—	M-J-S-D	—	98,214.23		20150102	20191230
095538AC8	BLUE HALO RE LTD SENIOR CORP BND 144A	D			1,500,000.00	1,539,855.00	1,500,000.00	1,500,000.00	39,855.00		—		—	—		9.2920	9.4027	M-J-S-D	6,194.64	66,052.07		20160718	20190726
095538AA2	BLUE HALO RE LTD UNSEC CORP BND 144A	D			1,000,000.00	1,004,120.00	1,000,000.00	1,000,000.00	4,120.00		—		—	—		15.0420	15.3213	M-J-S-D	6,685.32	73,048.23		20160610	20190621
095538AB0	BLUE HALO RE LTD UNSEC CORP BND 144A	D			400,000.00	397,216.00	400,000.00	400,000.00	(2,784.00	)	—		—	—		20.7920	21.3257	M-J-S-D	3,696.35	40,890.22		20160610	20190621
09626QAS6	BLUEMOUNTAIN CLO LTD BLUEM_14- ABS _14-2	D	4		500,000.00	500,154.55	500,000.00	500,000.00	154.55		—		—	—		—	—	J-A-J-O	—	—		20170626	20260720
BRSZ4WWJ2	BLUEPAY PROCESSING LLC SENIOR SECURED CO				2,176,210.24	2,165,329.19	2,176,210.24	2,176,210.24	(10,881.05	)	—		—	—		—	—	M-J-S-D	—	61,014.58		20160129	20211204
BRT9DBXR6	BMC SOFTWARE FINANCE INC SENIOR SECURED		2	4FE	3,159,930.34	3,168,166.29	3,163,658.08	3,160,046.21	8,120.08		141.26		—	—		—	0.0892	M-J-S-D	—	27,932.01		20170501	20220910
N1430ZAT2	BMW FIN N.V. CORP BND EMTN	B		1FE	3,370,452.30	3,224,724.42	2,400,000.00	3,309,847.65	608.17		(33,098.28	)	—	(85,731.39	)	3.3750	1.5841	December	57,363.76	(6,305.48	)	20160106	20181214
05565EAK1	BMW US CAPITAL LLC SENIOR CORP BND 144A			1FE	2,621,718.75	2,606,703.77	2,625,000.00	2,622,574.32	(15,870.55	)	534.76		—	—		1.4500	1.4928	Mar-Sep	11,207.29	19,031.25		20160908	20190913
05565EAM7	BMW US CAPITAL LLC SENIOR CORP BND 144A		2	1FE	947,064.50	922,250.52	950,000.00	947,374.43	(25,123.91	)	193.89		—	—		2.2500	2.2980	Mar-Sep	6,293.75	10,687.50		20160908	20230915
05565EAF2	BMW US CAPITAL LLC SENIOR CORP BND 144A		2	1FE	359,096.40	356,911.19	360,000.00	359,308.79	(2,397.60	)	86.87		—	—		2.0000	2.0531	Apr-Oct	1,600.00	3,600.00		20160404	20210411
05565EAD7	BMW US CAPITAL LLC SENIOR CORP BND 144A			1FE	444,804.20	443,398.00	445,000.00	444,882.88	(1,484.88	)	259.58		—	—		1.5000	1.5151	Apr-Oct	1,483.33	38,629.17		20160404	20190411
05582QAD9	BMW VEHICLE OWNER TRUST BMWOT_ SENIOR AB		4	1FE	2,999,986.50	2,979,061.89	3,000,000.00	2,999,976.46	(20,914.57	)	(5.27	)	—	—		1.1600	1.1624	Monthly	580.00	17,400.00		20160712	20201125
09658UAD1	BMWOT_14-A ABS 14-A-A4		4	1FE	974,895.38	974,853.76	975,000.00	974,959.51	(105.75	)	12.04		—	—		1.5000	1.5072	Monthly	243.75	7,312.50		20141008	20210225
05582QAE7	BMWOT_16-A SENIOR ABS 16-A		4	1FE	2,396,960.94	2,393,301.39	2,425,000.00	2,397,909.42	(4,608.03	)	948.48		—	—		1.3700	1.8075	Monthly	553.71	2,214.83		20170525	20221225
05581KAB7	BNP PARIBAS SA SENIOR CORP BND 144A	D		1FE	822,492.00	857,414.19	825,000.00	822,640.36	34,773.83		209.47		—	—		3.8000	3.8493	Jan-Jul	14,978.33	7,053.74		20170103	20240110
F105C9MT2	BNP PARIBAS SA SENIOR CORP BND EMTN	B			760,505.74	752,274.66	590,000.00	760,828.11	(9,537.09	)	238.60		—	983.64		1.1250	1.1570	August	7,535.21	(996.34	)	20160808	20220816
097023AZ8	BOEING CO CORP BND			1FE	1,078,660.00	1,075,739.97	1,000,000.00	1,077,950.88	(2,210.91	)	(709.12	)	—	—		4.8750	1.8172	Feb-Aug	18,416.67	(17,197.92	)	20170619	20200215
097023BM6	BOEING CO SENIOR CORP BND		2	1FE	376,858.82	378,153.24	382,000.00	378,519.80	(366.56	)	499.83		—	—		1.6500	1.9049	Apr-Oct	1,068.01	3,151.50		20151027	20201030
097023BE4	BOEING CO SENIOR CORP BND			1FE	486,695.00	498,140.00	500,000.00	496,724.97	1,415.03		2,958.91		—	—		0.9500	1.7101	May-Nov	606.94	8,959.03		20140930	20180515
097023BG9	BOEING CO SENIOR CORP BND			1FE	555,203.00	554,059.00	550,000.00	553,473.28	585.72		(457.47	)	—	—		2.3500	2.1950	Apr-Oct	2,190.07	8,763.54		20150304	20211030
09785EAA9	BONANZA RE LTD SENIOR CORP BND 144A	D			250,000.00	249,325.00	250,000.00	250,000.00	(675.00	)	—		—	—		4.7032	4.7488	Monthly	979.84	5,917.13		20161128	20191231
09785EAB7	BONANZA RE LTD SENIOR CORP BND 144A	D			250,000.00	249,250.00	250,000.00	250,000.00	(750.00	)	—		—	—		5.9532	6.0264	Monthly	1,240.25	7,505.67		20161128	20191231
10011AAA1	BOSPHORUS LTD SENIOR CORP BND 144A	D			1,080,000.00	1,096,556.40	1,080,000.00	1,080,000.00	16,556.40		—		—	—		4.4682	4.4936	M-J-S-D	3,083.07	23,704.56		20150811	20180817
102022AX8	BOURBONNAIS ILL MUNI BND REV		2	1FE	1,236,560.50	1,163,524.00	1,150,000.00	1,159,601.83	3,922.17		(14,197.32	)	—	—		4.3750	1.8538	May-Nov	8,385.42	25,156.25		20140930	20181101
BRT8YDGX7	BOYD GAMING CORPORATION SENIOR SECURED T		2	3FE	722,236.25	722,881.21	722,236.25	722,236.25	644.96		—		—	—		—	—	M-J-S-D	—	5,391.30		20170309	20230915
G1279MKC9	BP CAPITAL MARKETS PLC CORP BND MTN	B		1FE	1,468,608.73	1,429,485.96	1,050,000.00	1,431,290.62	(5,284.14	)	(24,166.32	)	—	3,479.48		4.3250	0.6869	December	32,807.33	—		20160920	20181210

05565QCZ9	BP CAPITAL MARKETS PLC SENIOR CORP BND	D		1FE	875,000.00	893,296.28	875,000.00	875,000.00	18,296.28		—		—	—		3.0620	3.0620	Mar-Sep	7,740.06	13,396.25		20150312	20220317
05565QCX4	BP CAPITAL MARKETS PLC SENIOR CORP BND	D		1FE	962,706.85	963,222.55	955,000.00	961,758.42	1,464.13		(948.43	)	—	—		2.3150	2.0361	Feb-Aug	8,474.83	(61.42	)	20170208	20200213
05565QDC9	BP CAPITAL MARKETS PLC SENIOR CORP BND	D		1FE	2,600,000.00	2,590,639.97	2,600,000.00	2,600,000.00	(9,360.03	)	—		—	—		1.6760	1.6760	May-Nov	7,020.58	21,788.00		20160428	20190503
05565QCF3	BP CAPITAL MARKETS PLC SENIOR CORP BND	D		1FE	1,250,000.00	1,254,208.75	1,250,000.00	1,250,000.00	4,208.75		—		—	—		1.6946	1.6946	F-M-A-N	3,059.62	13,826.77		20130507	20180510
BRT9DG661	BRACKET HOLDING CORP SENIOR SECURED TERM				5,400,527.34	5,400,527.34	5,400,527.34	5,400,527.34	—		—		—	—		—	—	M-J-S-D	—	54,140.63		20170314	20230406
BRT9DG8T9	BRACKET HOLDING CORP SENIOR SECURED TERM				371,250.00	368,205.75	371,250.00	371,250.00	(3,044.25	)	—		—	—		—	—	M-J-S-D	—	7,734.38		20170314	20220406
07330NAD7	BRANCH BANKING AND TRUST COMPA SENIOR CO		2	1FE	3,804,378.11	3,760,206.40	3,737,000.00	3,758,733.53	1,472.87		(8,946.09	)	—	—		2.3000	1.8025	Apr-Oct	18,145.21	42,975.50		20141126	20181015
07330NAN5	BRANCH BANKING AND TRUST COMPA SENIOR CO		2		4,647,685.74	4,666,274.90	4,650,000.00	4,647,941.56	18,333.34		255.82		—	—		2.1000	2.1029	Jan-Jul	42,043.75	(5,045.25	)	20170123	20200115
07330NAL9	BRANCH BANKING AND TRUST COMPA SENIOR CO		2	1FE	450,715.50	446,859.01	450,000.00	450,458.05	(3,599.04	)	(136.95	)	—	—		1.4500	1.3919	May-Nov	924.38	6,420.28		20160616	20190510
10620NCG1	BRAZOS HIGHER EDUCATION AUTHOR ABS 11-1		4	1FE	1,658,263.63	1,678,241.42	1,680,914.02	1,674,075.82	4,165.60		1,922.70		—	—		1.9887	2.2252	F-M-A-N	3,435.64	16,637.32		20110310	20300225
110122AV0	BRISTOL-MYERS SQUIBB CO SENIOR CORP BND			1FE	7,465,480.00	7,517,999.27	7,500,000.00	7,483,608.34	34,390.93		4,762.04		—	—		1.7500	1.8890	Mar-Sep	43,750.00	65,625.00		20150720	20190301
BRSQK8KF8	BRITISH SKY BROADCASTING GRP P SENIOR CO	B		2FE	923,806.47	956,575.06	700,000.00	915,672.19	763.11		(6,353.94	)	—	40,139.76		2.8750	1.3202	November	15,684.82	—		20161109	20201124
111013AM0	BRITISH SKY BROADCASTING GRP P SENIOR CO	D		2FE	5,111,910.15	5,151,623.57	5,115,000.00	5,113,548.94	38,074.63		313.19		—	—		2.6250	2.6570	Mar-Sep	39,161.71	67,134.39		20140909	20190916
11102AAA9	BRITISH TELECOMMUNICATIONS PLC CORP BND	D		2FE	1,121,760.00	1,022,280.00	1,000,000.00	1,021,793.09	486.91		(20,015.59	)	—	—		5.9500	1.8639	Jan-Jul	27,436.11	29,750.00		20141211	20180115
111021AK7	BRITISH TELECOMMUNICATIONS PLC SENIOR CO	D		2FE	425,110.50	427,447.98	425,000.00	425,046.88	2,401.10		(14.04	)	—	—		2.3500	2.3430	Feb-Aug	3,800.80	4,993.75		20141211	20190214
G15820AM8	BRITISH TELECOMMUNICATIONS PLC SENIOR LO	B		2FE	846,137.57	857,140.47	550,000.00	845,561.33	(5,115.68	)	(576.24	)	—	16,694.83		8.6250	0.9260	March	16,260.55	(15,274.33	)	20170623	20200326
11134LAE9	BROADCOM CORPORATION/BROADCOM SENIOR COR		2	2FE	779,188.80	799,874.32	780,000.00	779,232.78	20,641.54		43.98		—	—		3.6250	3.6420	Jan-Jul	12,723.75	—		20170111	20240115
11134LAA7	BROADCOM CORPORATION/BROADCOM SENIOR COR			2FE	12,007,800.90	12,059,311.06	12,035,000.00	12,011,759.52	47,551.54		3,958.62		—	—		2.3750	2.4539	Jan-Jul	128,624.06	—		20170111	20200115
115637AN0	BROWN-FORMAN CORPORATION SENIOR CORP BND			1FE	1,295,697.00	1,296,518.60	1,300,000.00	1,299,534.14	(3,015.54	)	429.56		—	—		1.0000	1.0669	Jan-Jul	5,994.44	6,500.00		20121210	20180115
07387AAW5	BSARM CMO_05-3 2A1		4	1FM	468,913.31	461,523.38	477,721.28	470,144.79	(8,621.41	)	(2,540.16	)	—	—		3.6132	3.9680	Monthly	1,438.41	9,028.40		20070810	20350625
07384M3D2	BSARM_04-10 CMO 04-9 22A1		4	2FE	362,251.86	371,913.30	369,267.94	363,171.49	8,741.81		1,074.10		—	—		3.6231	4.0335	Monthly	1,114.92	7,216.60		20070813	20341125
G1658KAC5	BSKYB FINANCE UK PLC CORP BND	B		2FE	2,456,890.12	2,108,162.81	1,600,000.00	2,316,605.58	2,370.45		(48,976.90	)	—	(210,813.23	)	5.7500	1.6383	October	83,161.28	—		20150506	20171020
119798AA4	BUFFALO RE LTD SENIOR CORP BND 144A	D			500,000.00	502,305.00	500,000.00	500,000.00	2,305.00		—		—	—		4.6649	4.6649	Monthly	1,554.96	4,293.63		20170307	20200407
119798AB2	BUFFALO RE LTD SENIOR CORP BND 144A	D			250,000.00	249,450.00	250,000.00	250,000.00	(550.00	)	—		—	—		7.8482	7.8482	Monthly	1,308.04	3,777.02		20170307	20200407
BRT87HRY4	BUMP_8 ABS 8-A	B	4		629,050.00	651,338.99	500,000.00	629,050.00	1,863.99		—		—	20,425.00		0.7811	0.7817	Monthly	152.87	1,832.52		20170131	20271120
BRT8LGB19	BURGER KING NEWCO SENIOR SECURED TERM LO	A	2	4FE	965,729.43	966,535.89	968,149.80	965,818.26	717.63		106.01		—	—		—	0.0364	M-J-S-D	—	8,733.85		20170303	20240216
12189LAY7	BURLINGTON NORTHERN SANTA FE R SENIOR CO		2	1FE	503,523.94	531,406.44	505,000.00	503,763.34	27,643.10		63.67		—	—		3.6500	3.6761	Mar-Sep	6,144.16	9,216.25		20150813	20250901
12232KAA8	BURNH_16-1A ABS 16-1A-A 144A	D	4	1FE	1,498,050.00	1,525,078.20	1,500,000.00	1,498,276.47	26,801.73		185.29		—	—		2.5862	2.6147	J-A-J-O	7,758.66	17,362.27		20161007	20291020
12232KAC4	BURNH_16-1A ABS 16-1A-B 144A	D	4		500,000.00	498,107.70	500,000.00	500,000.00	(1,892.30	)	—		—	—		2.9562	2.9655	J-A-J-O	2,956.22	6,691.86		20161007	20291020
22530LAA4	CAALT_17-1 SENIOR ABS 17-1 144A		4		3,209,823.77	3,219,726.33	3,210,000.00	3,209,826.76	9,899.57		2.99		—	—		2.5600	2.5743	Monthly	3,652.27	25,565.87		20170214	20251015
22533YAA3	CAALT_17-2 ABS_17-2-A 144A		4	1FE	1,639,864.70	1,639,864.70	1,640,000.00	1,639,864.56	0.14		(0.14	)	—	—		2.5500	2.5648	Monthly	232.34	—		20170620	20260217
BRT9NFF39	CABLE ONE INC SENIOR SECURED TERM LOAN		2	2FE	314,666.04	315,847.51	315,059.86	314,675.12	1,172.39		11.14		—	—		—	0.0176	M-J-S-D	—	—		20170412	20240501
12765JAA6	CAELUS RE IV LTD CORP BND 144A	D			750,000.00	782,940.00	750,000.00	750,000.00	32,940.00		—		—	—		5.8497	5.8909	J-A-J-O	10,846.28	21,884.99		20160216	20200306
12765KAD7	CAELUS RE V LTD SENIOR CORP BND	D			750,000.00	752,415.00	750,000.00	750,000.00	2,415.00		—		—	—		1.3738	1.3761	J-A-J-O	1,659.96	—		20170427	20200605

12765KAC9	CAELUS RE V LTD UNSEC CORP BND	D			500,000.00	501,790.00	500,000.00	500,000.00	1,790.00		—		—	—	1.3738	1.3761	J-A-J-O	1,106.64	—		20170427	20200605
12765KAA3	CAELUS RE V LTD UNSEC CORP BND 144A	D			750,000.00	751,297.50	750,000.00	750,000.00	1,297.50		—		—	—	1.3738	1.3761	J-A-J-O	1,659.96	—		20170427	20200605
12765KAB1	CAELUS RE V LTD UNSEC CORP BND 144A	D			1,250,000.00	1,254,537.50	1,250,000.00	1,250,000.00	4,537.50		—		—	—	1.3738	1.3762	J-A-J-O	2,766.60	—		20170427	20200605
12802DAS5	CAISSE D'AMORT DETTE SOCIALE SENIOR CORP	D		1FE	999,830.00	1,001,800.08	1,000,000.00	999,855.84	1,944.24		25.84		—	—	1.8750	1.8809	Jan-Jul	8,750.00	—		20170105	20200113
13066YTY5	CALIFORNIA ST DEPT WTR RES MUNITAX BND R		4	1FE	9,116,039.32	8,975,196.52	9,116,039.32	9,116,039.32	(140,842.80	)	—		—	—	1.7130	1.7130	May-Nov	26,026.29	93,852.43		20160914	20210501
13063DAB4	CALIFORNIA STATE OF MUNITAX BND GO			1FE	3,300,000.00	3,296,964.00	3,300,000.00	3,300,000.00	(3,036.00	)	—		—	—	1.5930	1.5930	Apr-Oct	9,345.60	—		20170421	20190401
13063DAD0	CALIFORNIA STATE OF MUNITAX BND GO			1FE	1,775,000.00	1,782,738.94	1,775,000.00	1,775,000.00	7,738.94		—		—	—	2.3670	2.3670	Apr-Oct	7,469.20	—		20170421	20220401
13068LYR0	CALIFORNIA STATE PUB WKS BRD MUNI BND GO			1FE	50,096.40	48,584.00	40,000.00	49,251.35	(667.35	)	(587.51	)	—	—	5.0000	1.6400	May-Nov	333.33	1,100.00		20161006	20241101
13077DAW2	CALIFORNIA STATE UNIVERSITY MUNI BND REV		2	1FE	579,575.00	592,570.00	500,000.00	578,623.67	13,946.33		(951.33	)	—	—	5.0000	3.1289	May-Nov	7,777.78	(4,236.11	)	20170505	20371101
BRSJ7A0J8	CALPINE CONSTRUCTION FINANCE C SENIOR SE			3FE	6,197,431.39	6,214,593.69	6,248,441.51	6,220,019.25	(5,425.56	)	3,249.24		—	—	—	0.0286	M-J-S-D	—	108,482.39		20130502	20220131
BRT9CGNZ9	CAMELOT FINANCE LP / CAMELOT C SENIOR SE		2	4FE	966,130.76	975,500.89	970,647.65	966,294.23	9,206.66		171.22		—	—	—	0.0708	J-A-J-O	—	10,367.02		20170406	20231003
135087C77	CANADA GOVERNMENT CORP BND	A		1FE	2,903,898.00	2,910,584.94	2,900,000.00	2,902,529.07	8,055.87		(751.80	)	—	—	1.6250	1.6581	Feb-Aug	16,231.94	23,562.50		20140220	20190227
136385AW1	CANADIAN NATURAL RESOURCES LTD SENIOR CO	A	2	2FE	4,653,149.80	4,620,622.95	4,660,000.00	4,653,227.14	(32,604.19	)	77.34		—	—	2.9500	2.9735	May-Nov	11,837.69	—		20170523	20230115
13976AAB6	CAPITAL AUTO RECEIVABLES ASSET SENIOR AB		4		311,964.64	311,840.69	311,980.43	311,972.04	(131.35	)	13.61		—	—	1.3600	1.3675	Monthly	129.65	3,212.06		20160912	20190422
140420NB2	CAPITAL ONE BANK USA NA SUB CORP BND			2FE	755,565.00	755,864.99	750,000.00	754,131.84	1,733.15		(330.88	)	—	—	3.3750	3.2670	Feb-Aug	9,562.50	12,656.25		20150326	20230215
14042E3Y4	CAPITAL ONE FIN CORP SENIOR CORP BND		2	2FE	11,307,150.50	11,356,968.92	11,275,000.00	11,305,833.31	51,135.61		(934.35	)	—	—	2.9500	2.9950	Jan-Jul	145,979.93	117,106.81		20140721	20210723
14042RBT7	CAPITAL ONE FIN CORP SENIOR CORP BND			2FE	640,523.00	638,111.49	650,000.00	640,634.49	(2,523.00	)	111.49		—	—	2.2500	2.6140	Mar-Sep	4,387.50	(3,615.63	)	20170607	20210913
14042E5V8	CAPITAL ONE FIN CORP SENIOR CORP BND		2	2FE	9,072,873.65	9,051,330.45	9,015,000.00	9,044,730.44	6,600.01		(13,939.23	)	—	—	2.3500	2.3879	Feb-Aug	78,856.21	119,536.67		20150813	20180817
14042E4A5	CAPITAL ONE FIN CORP SENIOR CORP BND		2	2FE	1,759,457.50	1,754,287.41	1,750,000.00	1,757,908.04	(3,620.63	)	(1,418.36	)	—	—	2.4000	2.1773	Mar-Sep	13,533.33	8,866.67		20161128	20190905
14040HBH7	CAPITAL ONE FINANCIAL CORP CAPSEC CORP B		2	3FE	3,596,443.75	3,780,743.75	3,605,000.00	3,596,443.75	184,300.00		—		—	—	5.5500	5.5589	Jun-Dec	16,673.14	100,038.75		20150511	0
14040HBL8	CAPITAL ONE FINANCIAL CORP SENIOR CORP B		2	2FE	873,741.20	876,681.52	870,000.00	873,741.36	2,940.16		0.16		—	—	3.0500	2.7799	Mar-Sep	8,255.33	(3,054.24	)	20170306	20220309
14041NFG1	CAPITAL ONE MASTER TRUST SENIOR ABS 2016		4	1FE	1,199,643.60	1,178,807.56	1,200,000.00	1,199,694.23	(20,886.67	)	29.26		—	—	1.6600	1.6711	Monthly	885.33	9,960.00		20160818	20240617
14041NFE6	CAPITAL ONE MULTI-ASSET EXECUT ABS 16-A3		4	1FE	4,444,968.89	4,411,436.96	4,445,000.00	4,444,872.64	(33,435.68	)	(51.01	)	—	—	1.3400	1.3414	Monthly	2,647.24	29,781.48		20160718	20220415
14041NFF3	CAPITAL ONE MULTI-ASSET EXECUT ABS 2016-		4	1FE	4,583,893.64	4,544,682.90	4,585,000.00	4,584,207.45	(39,524.55	)	183.53		—	—	1.3300	1.3420	Monthly	2,710.24	30,490.26		20160818	20220615
14041NFA4	CAPITAL ONE MULTI-ASSET EXECUT SENIOR AB		4	1FE	3,999,926.40	3,991,966.80	4,000,000.00	3,999,967.93	(8,001.13	)	12.17		—	—	1.4500	1.4550	Monthly	2,577.78	28,999.98		20151019	20210816
14149YBG2	CARDINAL HEALTH INC SENIOR CORP BND			2FE	2,500,000.00	2,505,500.02	2,500,000.00	2,500,000.00	5,500.02		—		—	—	1.9916	1.9916	M-J-S-D	2,627.80	—		20170601	20220615
14313TAC3	CARMAX AUTO OWNER TRUST CARMX_ ABS _14-3		4	1FE	356,592.46	356,349.73	356,620.75	356,612.08	(262.35	)	13.83		—	—	1.1600	1.1653	Monthly	183.86	3,170.85		20140806	20190617
14314EAC5	CARMAX AUTO OWNER TRUST CARMX_ SENIOR AB		4		4,249,365.05	4,224,045.46	4,250,000.00	4,249,555.24	(25,509.78	)	101.45		—	—	1.3900	1.3990	Monthly	2,625.56	29,537.52		20160714	20210517
14313RAD5	CARMX_14-2 SENIOR ABS_14-2-A4		4	1FE	1,999,666.60	2,000,180.06	2,000,000.00	1,999,918.01	262.05		41.23		—	—	1.6100	1.6196	Monthly	1,431.11	16,099.98		20140507	20191015
14313TAD1	CARMX_14-3 ABS_14-3-A4		4	1FE	2,291,414.06	2,297,256.26	2,295,000.00	2,294,043.85	3,212.41		485.52		—	—	1.7300	1.7798	Monthly	1,764.60	19,851.78		20140923	20200218
14313VAC8	CARMX_15-3 SENIOR ABS 15-3 A3		4	1FE	849,946.37	850,306.02	850,000.00	849,969.85	336.17		7.60		—	—	1.6300	1.6371	Monthly	615.77	8,432.98		20150806	20200515
14313VAD6	CARMX_15-3 SENIOR ABS 15-3 A4		4	1FE	249,946.40	250,693.07	250,000.00	249,969.91	723.16		6.37		—	—	1.9800	1.9935	Monthly	220.00	2,475.00		20150806	20210216
14314MAD5	CARMX_16-2 SENIOR ABS_16-2 A4		4	1FE	199,933.52	198,563.00	200,000.00	199,952.25	(1,389.25	)	9.12		—	—	1.6800	1.6943	Monthly	149.33	2,718.80		20160412	20210915
BRTAG2M01	CARR MANAGEMENT INC SENIOR SECURED TERM				904,379.51	902,118.56	904,379.51	904,379.51	(2,260.95	)	—		—	—	—	—	M-J-S-D	—	8,747.87		20170516	20201022

BRSWNA5P2	CARR MANAGEMENT INC SENIOR SECURED TERM				4,034,466.06	4,014,192.37	4,054,739.77	4,041,253.51	(27,061.14	)	2,061.02		—	—	—	0.0992	M-J-S-D	—	119,501.59		20151015	20201022
BRSS9F410	CASCADE DRILLING L.P. SENIOR SECURED TE				4,263,323.85	4,242,007.23	4,263,323.85	4,263,323.85	(21,316.62	)	—		—	—	—	—	M-J-S-D	—	119,773.46		20150309	20210220
BRSS9F6W0	CASCADE DRILLING L.P. SENIOR SECURED TE				870,967.76	863,843.27	870,967.77	870,967.76	(7,124.49	)	—		—	—	—	—	M-J-S-D	—	27,008.15		20160705	20200220
BRT4DFYL0	CASCADE DRILLING L.P. TERM LOAN				1,649,129.02	1,640,883.37	1,649,129.02	1,649,129.02	(8,245.65	)	—		—	—	—	—	F-M-A-N	—	50,938.99		20160819	20210220
BRSN5MWG6	CATALENT PHARMA SOLUTIONS INC SENIOR SEC		4	3FE	3,338,965.33	3,383,009.44	3,355,744.02	3,346,235.59	36,773.85		1,274.96		—	—	—	0.0714	M-J-S-D	—	64,029.70		20140508	20210520
14912L6J5	CATERPILLAR FINANCIAL SERVICES CORP BND			1FE	3,971,720.00	3,993,160.08	4,000,000.00	3,982,506.12	10,653.96		3,121.55		—	—	2.0000	2.1689	Mar-Sep	25,777.78	40,000.00		20151006	20200305
14912L6M8	CATERPILLAR FINANCIAL SERVICES SENIOR CO			1FE	2,997,210.00	3,003,480.00	3,000,000.00	2,998,710.30	4,769.70		461.91		—	—	1.8000	1.8320	May-Nov	7,200.00	27,000.00		20151109	20181113
14912L5T4	CATERPILLAR FINANCIAL SERVICES SENIOR CO			1FE	1,016,550.00	1,008,750.00	1,000,000.00	1,005,110.94	3,639.06		(2,104.55	)	—	—	2.4500	2.0101	Mar-Sep	7,826.39	12,250.00		20140930	20180906
14912L6L0	CATERPILLAR FINANCIAL SERVICES SENIOR CO			1FE	899,919.00	900,998.91	900,000.00	899,973.66	1,025.25		41.79		—	—	1.7000	1.7031	Jun-Dec	637.50	25,122.22		20150611	20180616
14912L6W6	CATERPILLAR FINANCIAL SERVICES SENIOR CO			1FE	1,399,160.00	1,403,513.89	1,400,000.00	1,399,272.49	4,241.40		112.49		—	—	1.9000	1.9308	Mar-Sep	7,241.11	—		20170320	20190322
12479RAB3	CAUTO_14-1A ABS_14-1A A 144A		4	1FE	2,998,196.46	3,010,084.80	3,000,000.00	2,998,482.31	11,602.49		63.82		—	—	3.6600	3.6980	Monthly	4,880.00	54,900.00		20141010	20441015
124857AL7	CBS CORP SENIOR CORP BND		2	2FE	1,973,560.00	2,007,519.98	2,000,000.00	1,988,083.42	19,436.56		2,701.25		—	—	2.3000	2.5902	Feb-Aug	17,377.78	23,000.00		20140930	20190815
17119YAC1	CCART_14-BA ABS _14-BA-A3 144A		4	1FE	56,711.75	56,716.49	56,722.53	56,720.42	(3.93	)	38.20		—	—	1.2700	1.2811	Monthly	32.02	3,421.06		20140918	20190515
17305EGB5	CCCIT ABS 17-A3-A3		4	1FE	9,517,665.72	9,512,012.76	9,500,000.00	9,517,227.30	(5,214.54	)	(438.42	)	—	—	1.9200	1.7893	Apr-Oct	40,533.34	(14,560.00	)	20170404	20220407
17305EFU4	CCCIT_14-A8 SENIOR ABS 2014-A8 A8		4	1FE	3,499,244.22	3,497,462.56	3,490,000.00	3,493,118.45	4,344.11		(9,888.05	)	—	—	1.7300	1.5212	Apr-Oct	13,752.54	132,258.49		20140917	20200409
12515GAD9	CD_17-CD3 SUPSEN SENIOR CMBS 17-CD3		4	1FE	1,071,164.22	1,082,619.20	1,040,000.00	1,070,131.80	12,487.40		(1,032.42	)	—	—	3.6310	3.2928	Monthly	3,146.87	11,204.15		20170127	20500210
15136WAX2	CECLO_13-20A MEZZANIN ABS 13-20A 144A	D	4		500,000.00	498,497.65	500,000.00	500,000.00	(1,502.35	)	—		—	—	2.7862	2.7956	J-A-J-O	2,592.73	—		20170417	20260125
15137EAW3	CECLO_14-21A MEZZANIN ABS 14-21A-BR 144A	D	4		250,000.00	249,576.03	250,000.00	250,000.00	(423.97	)	—		—	—	3.5704	3.5859	J-A-J-O	1,611.63	1,145.78		20170217	20260727
BRT1UYWP9	CENGAGE LEARNING INC SECURED TERM NOTES			4FE	3,109,167.14	2,959,531.36	3,135,927.27	3,112,749.27	(153,217.91	)	2,723.42		—	—	—	0.1444	M-J-S-D	—	92,010.46		20160527	20230607
BRTAASDK6	CENTURYLINK INC SENIOR SECURED TERM LOAN		2	3FE	1,644,905.53	1,634,277.29	1,653,171.39	1,644,914.45	(10,637.16	)	8.92		—	—	—	0.0651	M-J-S-D	—	—		20170519	20250131
15672NAA2	CERB_14-1A ABS_14-1A-A 144A		4		368,256.37	368,310.80	368,256.37	368,256.37	54.43		—		—	—	3.0584	3.0690	J-A-J-O	2,346.44	13,146.11		20141120	20231015
15672NAC8	CERB_14-1A MEZZANIN ABS _14-1A-B 144A		4		991,577.30	1,000,509.70	1,000,000.00	998,448.15	2,061.55		1,592.51		—	—	3.8584	4.1642	J-A-J-O	8,038.42	18,560.24		20141120	20231015
15673BAA7	CERB_16-3A ABS 16-3A 144A	D	4		1,000,000.00	996,867.70	1,000,000.00	1,000,000.00	(3,132.30	)	—		—	—	3.8336	3.7049	J-A-J-O	7,684.25	11,898.34		20161209	20280115
15672TAE1	CERB_2015-1A ABS_2015-1A B 144A		4	1FE	496,000.00	499,973.05	500,000.00	496,809.54	3,163.51		310.82		—	—	4.2084	4.4161	J-A-J-O	4,325.34	10,175.19		20160526	20251106
15672LAD0	CERBERUS ONSHORE II CLO LLC CE MEZZANIN		4	1FE	497,000.00	497,564.00	500,000.00	498,321.58	(757.58	)	646.52		—	—	5.1584	5.4610	J-A-J-O	5,373.38	12,584.29		20160525	20231015
156792GT4	CERRITOS CALIF CMNTY COLLEGE D MUNI BND			1FE	500,000.00	504,295.00	500,000.00	500,000.00	4,295.00		—		—	—	2.1650	2.1650	Feb-Aug	4,510.42	5,412.50		20141105	20190801
165183AF1	CFII_16-2 SENIOR ABS 2016-2A A1 144A		4	1FE	436,455.72	437,384.21	437,909.71	436,995.27	388.94		571.93		—	—	1.8800	2.1522	Monthly	365.90	4,276.98		20161220	20280615
165183AL8	CFII_17-2A SENIOR ABS 17-2A 144A		4	1FE	1,749,907.43	1,748,402.25	1,750,000.00	1,749,908.07	(1,505.82	)	0.64		—	—	1.9900	1.9988	Monthly	2,998.81	—		20170523	20290515
17324DAU8	CGCMT_15-P1 LCF SENIOR CMBS 15-P1		4	1FM	1,029,952.40	1,047,160.03	1,000,000.00	1,025,448.06	21,711.97		(667.94	)	—	—	3.7170	3.4006	Monthly	3,097.50	18,585.00		20150806	20480915
29429CAD7	CGCMT_16-P3 LCF SENIOR CMBS_16-P3 A4		4		3,604,769.00	3,565,238.26	3,500,000.00	3,592,651.94	(27,413.68	)	(4,914.28	)	—	—	3.3290	2.9751	Monthly	9,709.58	58,257.48		20160329	20490415
125283AA9	CGDB_17-BIO MBS_17BIO-A 144A		4	1FE	4,000,000.00	4,007,500.00	4,000,000.00	4,000,000.00	7,500.00		—		—	—	1.8000	1.8009	Monthly	3,200.00	—		20170601	20300515
12532LAA3	CGGS COMMERCIAL MORTGAGE TRUST SENIOR C		4	1FM	10,034,164.46	9,997,492.33	9,978,100.64	10,015,346.70	(17,854.37	)	(15,373.46	)	—	—	2.7570	0.4071	Monthly	22,924.68	77,077.44		20160321	20330210
14309YAQ7	CGMS_12-4A SENIOR ABS 12-4AR-BR 144A	D	4		1,500,000.00	1,510,181.25	1,500,000.00	1,500,000.00	10,181.25		—		—	—	3.0562	3.0676	J-A-J-O	9,168.66	21,644.58		20161014	20290120
14309YAY0	CGMS_12-4AR ABS-12-4AR-C1 144A	D	4		2,000,000.00	2,012,127.20	2,000,000.00	2,000,000.00	12,127.20		—		—	—	3.7562	3.7733	J-A-J-O	15,024.88	35,937.22		20161014	20290120

14310KAC5	CGMS_13-4 SENIOR ABS 13-4 A1 144A	D	4	1FE	1,489,350.00	1,500,061.05	1,500,000.00	1,494,978.53	5,082.52		1,167.01		—	—	2.6284	2.8059	J-A-J-O	8,213.88	18,357.72	20150123	20251015
14310MAQ0	CGMS_14-1A MEZZANIN ABS 14-1A 144A	D	4		2,500,000.00	2,501,806.75	2,500,000.00	2,500,000.00	1,806.75		—		—	—	2.9584	2.9690	J-A-J-O	15,408.54	35,871.20	20161201	20250417
14311DAC0	CGMS_15-1A ABS_15-1A A 144A	D	4	1FE	4,987,000.00	5,009,086.00	5,000,000.00	4,991,864.69	17,221.31		949.30		—	—	2.6862	2.7423	J-A-J-O	26,862.20	62,811.41	20150205	20270420
125354AA8	CGRBS COMMERCIAL MORTGAGE TRUS CMBS_13-V		4	1FM	1,032,226.56	1,034,363.20	1,000,000.00	1,029,380.26	4,982.94		(2,414.48	)	—	—	3.3690	2.8057	Monthly	2,807.50	16,845.00	20161129	20350313
BRT87NQ89	CH HOLD CORP SECURED TERM LOAN		2	4FE	184,486.43	185,411.17	184,948.80	184,504.68	906.49		19.41		—	—	—	0.0360	M-J-S-D	—	2,072.19	20170126	20240201
BRT87NQJ5	CH HOLD CORP SENIOR SECURED TERM LOAN		2	4FE	18,541.23	18,587.58	18,541.23	18,541.23	46.35		—		—	—	—	—	M-J-S-D	—	—	20170430	20240201
161571GT5	CHAIT_15-A2 ABS_15-A2 A		4	1FE	489,976.04	490,439.78	490,000.00	489,994.68	445.10		4.17		—	—	1.5900	1.5970	Monthly	346.27	3,895.50	20150306	20200218
808513AP0	CHARLES SCHWAB CORPORATIO JR SUB CORP BN		2		2,270,000.00	2,315,400.00	2,270,000.00	2,270,000.00	45,400.00		—		—	—	4.6250	4.6235	Mar-Sep	34,995.83	35,287.47	20161024	20491231
808513AL9	CHARLES SCHWAB CORPORATIO SENIOR CORP BN		2	1FE	318,656.00	319,251.20	320,000.00	318,931.11	320.09		60.63		—	—	3.0000	3.0490	Mar-Sep	2,960.00	4,800.00	20150303	20250310
808513AK1	CHARLES SCHWAB CORPORATIO SENIOR CORP BN		2	1FE	668,795.03	669,234.15	669,000.00	668,923.70	310.45		5.98		—	—	1.5000	1.5431	Mar-Sep	3,094.13	5,017.50	20150303	20180310
BRT7JZEA9	CHARTER COMMUNICATION OPER LLC SECURED T			2FE	684,764.71	688,454.29	686,167.29	684,862.39	3,591.90		108.33		—	—	—	0.0287	M-J-S-D	—	12,216.87	20170103	20240115
BRT85LB65	CHARTER COMMUNICATION OPER LLC SENIOR SE		2	2FE	2,054,057.38	2,075,955.32	2,071,065.53	2,055,529.81	20,425.51		1,561.01		—	—	—	0.2115	J-A-J-O	—	20,818.50	20170301	20210103
BRTA4VZ30	CHARTER NEX US HOLDINGS INC SENIOR SECUR		2	4FE	399,665.27	401,506.14	401,673.64	399,699.00	1,807.14		33.73		—	—	—	0.0707	M-J-S-D	—	2,006.85	20170512	20240516
161571FW9	CHASE ISSUANCE TRUST ABS 13-A3		4	1FE	960,000.00	961,382.37	960,000.00	960,000.00	1,382.37		—		—	—	1.4389	1.4432	Monthly	613.93	5,509.13	20130412	20200415
161571GH1	CHASE ISSUANCE TRUST ABS 13-A9 A		4	1FE	700,000.00	702,839.75	700,000.00	700,000.00	2,839.75		—		—	—	1.5789	1.5841	Monthly	491.21	4,512.52	20131210	20201116
161571HE7	CHASE ISSUANCE TRUST ABS 16-A4		4	1FE	14,053,480.38	13,930,919.34	14,105,000.00	14,055,366.22	(124,446.88	)	1,832.76		—	—	1.4900	1.8249	Monthly	9,340.64	111,704.44	20160720	20220715
161571FQ2	CHASE ISSUANCE TRUST CHAIT_12- ABS 12-A7		4	1FE	4,000,000.00	3,967,054.44	4,000,000.00	4,000,000.00	(32,945.56	)	—		—	—	2.1600	2.1697	Monthly	3,840.00	53,400.00	20150130	20240916
161571HC1	CHASE ISSUANCE TRUST CHAIT_16- CHAIT_16-		4	1FE	9,999,976.00	9,933,705.10	10,000,000.00	9,999,722.31	(66,017.21	)	(121.09	)	—	—	1.3700	1.3715	Monthly	6,088.89	68,500.02	20160607	20210615
161571GQ1	CHASE ISSUANCE TRUST SENIOR ABS 14-A7 A		4	1FE	1,040,650.00	1,040,083.23	1,040,000.00	1,040,275.58	(192.35	)	(368.30	)	—	—	1.3800	1.3121	Monthly	637.87	7,176.00	20161222	20191115
161630BD9	CHASE MORTGAGE FINANCE CORPORA CMO_07-A1		4	1FE	1,367,414.08	1,316,744.68	1,354,451.53	1,365,290.60	(48,545.92	)	(544.01	)	—	—	3.3279	3.1208	Monthly	3,756.19	23,230.53	20080118	20370325
BRT97MXU2	CHEMOURS COMPANY LLC SENIOR SECURED TERM		2	3FE	2,030,647.20	2,053,369.29	2,047,609.36	2,031,450.76	21,918.53		846.07		—	—	—	0.0710	M-J-S-D	—	11,875.43	20170403	20220512
166430AA6	CHEST_14-1A ABS _14-1A-A 144A		4	1FE	2,349,000.00	2,355,201.36	2,349,000.00	2,349,000.00	6,201.36		—		—	—	4.5000	4.5229	M-J-S-D	4,698.00	54,438.75	20141211	20341215
166764BH2	CHEVRON CORP SENIOR CORP BND			1FE	1,750,000.00	1,744,679.98	1,750,000.00	1,750,000.00	(5,320.02	)	—		—	—	1.5610	1.5610	May-Nov	3,414.69	13,658.75	20160509	20190516
166764BP4	CHEVRON CORP SENIOR CORP BND			1FE	1,000,000.00	1,002,630.00	1,000,000.00	1,000,000.00	2,630.00		—		—	—	1.9910	1.9910	Mar-Sep	6,526.06	—	20170228	20200303
166764BN9	CHEVRON CORP SENIOR CORP BND		2	1FE	5,200,000.00	5,247,424.16	5,200,000.00	5,200,000.00	47,424.16		—		—	—	2.4980	2.4980	Mar-Sep	42,577.02	—	20170228	20220303
166764BT6	CHEVRON CORP SENIOR CORP BND		2	1FE	2,000,000.00	2,015,959.94	2,000,000.00	2,000,000.00	15,959.94		—		—	—	2.8950	2.8950	Mar-Sep	18,978.33	—	20170228	20240303
166764BL3	CHEVRON CORP SENIOR CORP BND		2	1FE	516,450.00	496,660.00	500,000.00	515,323.76	(18,663.76	)	(786.00	)	—	—	2.9540	2.5559	May-Nov	1,846.25	7,385.00	20161006	20260516
166764AG5	CHEVRON CORP SENIOR CORP BND		2	1FE	4,070,440.00	4,049,639.60	4,000,000.00	4,044,785.05	4,854.55		(7,934.00	)	—	—	2.4270	2.0236	Jun-Dec	1,887.67	48,540.00	20151006	20200624
166764AV2	CHEVRON CORP SENIOR CORP BND			1FE	2,380,000.00	2,379,476.40	2,380,000.00	2,380,000.00	(523.60	)	—		—	—	1.3650	1.3650	Mar-Sep	10,738.76	16,243.50	20150224	20180302
166764AY6	CHEVRON CORP SENIOR CORP BND		2	1FE	975,000.00	987,187.58	975,000.00	975,000.00	12,187.58		—		—	—	2.4190	2.4165	May-Nov	2,882.64	11,792.63	20151109	20201117
BRTAG0FQ6	CHG HEALTHCARE SERVICES INC SENIOR SECUR		2	4FE	767,560.31	776,783.99	770,882.12	767,595.12	9,188.87		43.22		—	—	—	0.0710	M-J-S-D	—	4,336.83	20170608	20230607
BRSUZA516	CHI OVERHEAD DOORS INC SENIOR SECURED TE				397,353.23	396,357.33	398,349.08	397,620.22	(1,262.89	)	75.53		—	—	—	0.0356	M-J-S-D	—	8,737.90	20150728	20220729
BRSR021B1	CHIEF POWER FINANCE LLC SENIOR SECURED T			4FE	3,336,752.40	2,291,910.74	3,370,456.98	3,350,623.43	(1,058,712.69	)	2,971.43		—	—	—	0.1662	M-J-S-D	—	116,500.31	20141216	20201231
Q2410NAA9	CHORUS LTD CORP BND EMTN	B		2FE	417,431.61	435,910.29	295,000.00	405,854.10	2,120.95		(8,240.68	)	—	27,935.24	6.7500	1.7990	April	6,094.30	24,199.66	20161017	20200406

BRSTEHXK4	CHS/COMMUNITY HEALTH SYSTEMS I SENIOR SE		4	3FE	550,104.90	558,318.31	559,191.77	552,828.57	5,489.74		2,783.82		—	—		—	0.4515	M-J-S-D	—	12,898.54		20160520	20191231
221347AJ6	CHT_16-CSMO SUB CMBS_16-CSMO C 144A		4		300,000.00	302,723.61	300,000.00	300,000.00	2,723.61		—		—	—		3.8090	3.8392	Monthly	507.85	5,320.80		20161104	20331115
12549BAC2	CIFC_13-2A ABS _13-2A-A1L 144A	D	4	1FE	977,000.00	1,000,719.90	1,000,000.00	990,483.64	10,236.26		2,714.65		—	—		2.3084	2.8983	J-A-J-O	4,745.13	10,624.97		20141223	20250421
12549CAW6	CIFC_13-3A ABS 13-3A-BR 144A	D	4		1,000,000.00	1,001,516.70	1,000,000.00	1,000,000.00	1,516.70		—		—	—		3.2032	3.2139	J-A-J-O	6,050.43	2,749.72		20170310	20251024
12549VAS3	CIFC_14-4 SENIOR ABS 14-4-A1R 144A	D	4	1FE	1,000,000.00	1,001,404.60	1,000,000.00	1,000,000.00	1,404.60		—		—	—		2.5384	2.5450	J-A-J-O	5,288.42	6,007.93		20161221	20261017
17180TAA0	CIFC_16-1A SENIOR ABS 16-1A 144A	D	4		3,500,000.00	3,510,010.00	3,500,000.00	3,500,000.00	10,010.00		—		—	—		2.6357	2.6440	J-A-J-O	18,193.44	28,705.78		20161209	20281021
BRSKAX1N1	CINCINNATI BELL INC SENIOR SECURED TERM		4		1,628,692.12	1,642,185.32	1,634,015.24	1,631,262.80	10,922.52		4,690.92		—	—		—	0.1061	M-J-S-D	—	27,959.82		20130911	20200910
17275RBD3	CISCO SYSTEMS INC SENIOR CORP BND			1FE	394,241.60	397,105.34	395,000.00	394,435.91	2,669.43		73.18		—	—		2.2000	2.2409	Feb-Aug	2,920.81	4,345.00		20160222	20210228
17275RBG6	CISCO SYSTEMS INC SENIOR CORP BND			1FE	10,278,537.00	10,221,719.79	10,300,000.00	10,283,457.56	(61,737.77	)	3,635.27		—	—		1.4000	1.4379	Mar-Sep	40,456.12	73,391.11		20160913	20190920
17275RAU6	CISCO SYSTEMS INC SENIOR CORP BND			1FE	4,553,038.00	4,559,100.00	4,550,000.00	4,551,173.98	7,926.02		(554.66	)	—	—		1.6500	1.6559	Jun-Dec	3,336.66	53,464.58		20150610	20180615
17305EFS9	CITIBANK CREDIT CARD MASTER TR ABS_14-A6		4	1FE	5,419,640.63	5,394,658.59	5,350,000.00	5,386,049.98	8,608.61		(8,641.96	)	—	—		2.1500	1.8001	Jan-Jul	53,039.31	57,512.50		20150527	20210715
17325FAE8	CITIBANK NA - (LT) GTD SENIOR CORP BND		2	1FE	4,273,161.75	4,278,334.29	4,275,000.00	4,273,192.73	5,141.56		30.98		—	—		2.1000	2.1149	Jun-Dec	4,738.13	—		20170606	20200612
17325FAC2	CITIBANK NA - (LT) GTD SENIOR CORP BND			1FE	1,500,000.00	1,500,525.06	1,500,000.00	1,500,000.00	525.06		—		—	—		1.4037	1.4037	F-M-A-N	3,099.89	—		20170503	20181109
17318UAB0	CITIGROUP COMMERCIAL MORTGAGE CMBS_12-GC		4	1FM	536,239.60	531,033.74	531,033.00	533,399.32	(2,365.58	)	(16,740.90	)	—	—		1.8130	1.6099	Monthly	802.30	48,119.94		20140807	20450910
17322VAR7	CITIGROUP COMMERCIAL MORTGAGE SENIOR CMB		4	1FE	3,035,178.38	2,987,509.45	2,946,814.03	2,995,466.10	(7,956.65	)	1,637.60		—	—		2.8510	2.3004	Monthly	7,001.14	47,887.93		20140717	20470710
172967KD2	CITIGROUP INC CAPSEC CORP BND		2	3FE	3,420,000.00	3,667,950.00	3,420,000.00	3,420,000.00	247,950.00		—		—	—		6.1250	6.1246	May-Nov	26,766.25	104,737.50		20151105	20491231
172967GR6	CITIGROUP INC CAPSEC CORP BND		2	3FE	5,661,875.00	6,142,500.00	6,000,000.00	5,670,960.61	471,539.39		1,719.99		—	—		5.3500	5.6274	May-Nov	41,016.67	160,500.00		20140820	20491231
U17406BD7	CITIGROUP INC CORP BND			2FE	1,484,867.35	1,369,403.75	1,000,000.00	1,441,234.37	14,787.11		(19,736.07	)	—	(86,617.72	)	5.1250	2.4937	December	36,659.75	—		20160106	20181212
U17406FZ4	CITIGROUP INC CORP BND			1FE	1,122,469.36	886,030.76	650,000.00	1,020,483.94	4,069.73		(28,192.82	)	—	(138,522.90	)	7.6250	1.8106	April	15,697.95	69,187.00		20141210	20180403
172967LC3	CITIGROUP INC SENIOR CORP BND		2	2FE	4,693,749.70	4,722,026.53	4,680,000.00	4,694,190.07	27,836.46		378.81		—	—		2.9000	2.6391	Jun-Dec	8,671.00	40,407.47		20161201	20211208
172967JN2	CITIGROUP INC SENIOR CORP BND			2FE	6,504,315.75	6,519,519.00	6,525,000.00	6,519,221.70	297.30		3,447.87		—	—		1.7000	1.8090	Apr-Oct	19,720.00	55,462.50		20150422	20180427
172967KW0	CITIGROUP INC SENIOR CORP BND			2FE	6,000,000.00	6,091,560.07	6,000,000.00	6,000,000.00	91,560.07		—		—	—		2.3596	2.3596	F-M-A-N	23,595.60	111,415.82		20160726	20210802
172967JW2	CITIGROUP INC SENIOR CORP BND			1FE	199,948.00	200,664.00	200,000.00	199,980.89	683.11		8.67		—	—		2.1500	2.1590	Jan-Jul	1,803.61	2,150.00		20150723	20180730
172967HU8	CITIGROUP INC SENIOR CORP BND			2FE	994,570.00	1,008,450.01	1,000,000.00	997,589.57	10,860.44		559.69		—	—		2.5000	2.6200	Jan-Jul	10,555.56	12,500.00		20140930	20190729
172967LF6	CITIGROUP INC SENIOR CORP BND		2	2FE	109,956.00	110,642.39	110,000.00	109,962.76	679.63		6.76		—	—		2.4500	2.4639	Jan-Jul	1,280.13	—		20170104	20200110
172967LL3	CITIGROUP INC SENIOR CORP BND		2	2FE	4,014,484.50	4,025,607.26	4,030,000.00	4,014,702.02	10,905.24		217.52		—	—		2.2794	2.3385	F-M-A-N	11,482.68	(1,786.19	)	20170519	20240517
172967HC8	CITIGROUP INC SENIOR CORP BND			2FE	2,033,660.00	2,013,640.00	2,000,000.00	2,010,174.03	3,465.97		(4,007.96	)	—	—		2.5000	2.0809	Mar-Sep	13,194.44	25,000.00		20140701	20180926
172967HD6	CITIGROUP INC SENIOR CORP BND			2FE	670,624.50	678,327.01	650,000.00	669,057.56	9,269.45		(1,326.84	)	—	—		3.8750	3.3560	Apr-Oct	4,617.72	12,593.75		20161123	20231025
172967KS9	CITIGROUP INC SENIOR CORP BND			2FE	1,219,365.60	1,220,610.13	1,220,000.00	1,219,585.32	1,024.81		103.89		—	—		2.0500	2.0680	Jun-Dec	1,667.33	12,505.00		20160602	20190607
172967GK1	CITIGROUP INC SUB CORP BND			2FE	5,661,425.00	5,745,410.33	5,500,000.00	5,608,576.51	136,833.82		(9,631.44	)	—	—		4.0500	3.6210	Jan-Jul	93,431.25	111,375.00		20140819	20220730
17401QAG6	CITIZENS BANK NA SENIOR CORP BND		2	2FE	249,762.50	249,862.50	250,000.00	249,787.80	74.70		25.30		—	—		2.2500	2.2829	Mar-Sep	1,859.38	—		20170227	20200302
177510AC8	CITRUS RE LTD CORP BND 144A	D			1,000,000.00	1,005,880.00	1,000,000.00	1,000,000.00	5,880.00		—		—	—		6.1259	6.1719	J-A-J-O	12,592.05	27,766.79		20150401	20180409
177510AE4	CITRUS RE LTD CORP BND 144A	D			250,000.00	251,497.50	250,000.00	250,000.00	1,497.50		—		—	—		10.3067	10.4368	J-A-J-O	5,296.51	11,885.24		20150401	20180409
177510AG9	CITRUS RE LTD CORP BND 144A	D			250,000.00	253,555.00	250,000.00	250,000.00	3,555.00		—		—	—		11.4859	11.6552	J-A-J-O	5,902.46	13,736.62		20160219	20190225

177510AF1	CITRUS RE LTD CORP BND 144A	D			250,000.00	255,595.00	250,000.00	250,000.00	5,595.00		—		—	—	8.4859	8.5783	J-A-J-O	4,360.79	9,944.95	20160219	20190225
177510AD6	CITRUS RE LTD CORP BND 144A	D			650,000.00	657,377.50	650,000.00	650,000.00	7,377.50		—		—	—	7.9459	8.0232	J-A-J-O	10,616.56	24,061.99	20150401	20180409
177510AH7	CITRUS RE LTD SENIOR CORP BND 144A	D			500,000.00	501,975.00	500,000.00	500,000.00	1,975.00		—		—	—	7.2338	7.2107	Jan-Jul	10,850.70	—	20170306	20200318
BRT9LLQM4	CITYCENTER HOLDINGS LLC SENIOR SECURED T		2	4FE	880,242.46	885,613.27	884,665.79	880,358.40	5,254.87		115.94		—	—	—	0.0708	M-J-S-D	—	4,984.32	20170410	20240418
411707AA0	CKE RESAURANT HOLDINGS INC HNG ABS_13-1A		4	2FE	469,074.85	455,104.60	456,000.46	458,747.08	(3,642.48	)	(303.13	)	—	—	4.4740	4.2985	M-J-S-D	623.38	10,446.06	20150225	20430320
180848DS9	CLARK CNTY NEV ARPT REV MUNITAX BND GO		2	1FE	4,625,530.00	4,252,203.20	3,910,000.00	4,247,583.40	4,619.80		(69,875.43	)	—	—	5.8600	2.0521	May-Nov	38,187.67	114,563.00	20140930	20201101
BRTA7RJA8	CLARK EQUIP CO SENIOR SECURED TERM LOAN		2	4FE	287,165.14	288,334.81	287,884.85	287,173.61	1,161.20		15.94		—	—	—	0.0354	M-J-S-D	—	—	20170512	20240518
BRTB5RN13	CLEAN HARBORS, INC. SENIOR SECURED TERM		2	2FE	570,000.00	572,142.86	571,428.57	570,000.00	2,142.86		—		—	—	—	0.0365	M-J-S-D	—	—	20170628	20240628
125634AJ4	CLI FUNDING LLC CLIF_13-2A ABS 13-2A 144		4	1FE	327,018.97	335,516.10	338,560.00	328,412.05	7,104.05		1,760.90		—	—	3.2200	4.2098	Monthly	393.67	5,739.02	20160711	20280618
125634AQ8	CLIF_14-2A ABS_14-2A A 144A		4	1FE	2,541,250.62	2,540,032.60	2,542,268.27	2,541,486.85	(1,454.25	)	114.27		—	—	3.3800	3.4113	Monthly	3,102.98	44,846.38	20141009	20291018
12594DAB4	CNH EQUIPMENT TRUST CNH_16-B ABS_16-B A2		4	1FE	1,040,610.33	1,039,672.52	1,040,615.32	1,040,602.96	(930.44	)	(6.87	)	—	—	1.3100	1.3124	Monthly	605.87	10,121.17	20160524	20191015
12623PAD8	CNH_14-B ABS_14-B A4		4	1FE	6,770,795.12	6,787,510.66	6,785,000.00	6,781,432.29	6,078.37		1,611.77		—	—	1.6100	1.6240	Monthly	4,855.05	54,619.26	20140603	20210517
12632XAD0	CNH_14-C ABS 14-C		4	1FE	3,743,709.85	3,744,213.40	3,745,000.00	3,744,500.28	(286.88	)	140.88		—	—	1.6500	1.6640	Monthly	2,746.33	30,896.28	20141016	20210915
12592WAD0	CNH_15-A SENIOR ABS 15-A A4		4	1FE	1,064,890.41	1,067,486.88	1,065,000.00	1,064,938.80	2,548.08		9.84		—	—	1.8500	1.8593	Monthly	875.67	9,851.28	20150225	20210415
12636WAD8	CNH_17-A SENIOR ABS_17-A A3		4	1FE	809,978.54	814,487.41	810,000.00	809,977.77	4,509.64		(0.77	)	—	—	2.0700	2.0788	Monthly	745.20	3,865.73	20170315	20220516
12594DAE8	CNHET_16-B SENIOR ABS_16-B A4		4	1FE	419,847.34	421,734.61	420,000.00	419,882.74	1,851.87		16.96		—	—	1.9700	1.9866	Monthly	367.73	4,137.00	20160524	20211115
12634GAA1	CNOOC FINANCE (2015) AUSTRALIA SENIOR CO	D		1FE	1,994,320.00	2,005,339.82	2,000,000.00	1,996,676.16	8,663.66		555.79		—	—	2.6250	2.6861	May-Nov	8,166.67	26,250.00	20150428	20200505
BRT84JAH8	CNT HOLDINGS III CORP		2	4FE	437,336.19	440,326.60	441,061.85	437,546.36	2,780.24		228.89		—	—	—	0.1418	M-J-S-D	—	8,297.37	20170301	20230122
191216BV1	COCA-COLA COMPANY (THE) SENIOR CORP BND			1FE	5,995,800.00	5,974,740.12	6,000,000.00	5,997,298.68	(22,558.56	)	689.04		—	—	1.3750	1.3989	May-Nov	7,104.17	41,250.00	20160525	20190530
19416QEC0	COLGATE-PALMOLIVE CO SENIOR CORP BND MTN			1FE	483,565.00	489,599.99	500,000.00	486,787.66	2,812.33		1,037.12		—	—	2.1000	2.5910	May-Nov	1,750.00	5,250.00	20151203	20230501
19416QEB2	COLGATE-PALMOLIVE CO SENIOR CORP BND MTN			1FE	1,890,937.00	1,892,096.00	1,900,000.00	1,898,455.99	(6,359.99	)	914.54		—	—	0.9000	0.9981	May-Nov	2,850.00	8,550.00	20130429	20180501
19624HAA6	COLNY_14-1 SENIOR CMBS _14-1-A		4	1FE	907,066.80	903,789.11	907,068.62	905,946.36	(2,157.25	)	(755.04	)	—	—	2.5432	2.4613	Monthly	1,922.38	17,486.07	20141023	20500420
196479WE5	COLORADO HOUSING & FINANCE AUT MUNITAX B			1FE	805,000.00	811,601.00	805,000.00	805,000.00	6,601.00		—		—	—	2.1440	2.1440	May-Nov	2,876.53	9,058.40	20141023	20191101
196479WD7	COLORADO HOUSING & FINANCE AUT MUNITAX B			1FE	735,000.00	739,196.85	735,000.00	735,000.00	4,196.85		—		—	—	2.0240	2.0240	May-Nov	2,479.40	7,792.40	20141023	20190501
198280AD1	COLUMBIA PIPELINE GROUP INC SENIOR CORP		2	2FE	1,997,063.02	2,048,540.04	2,000,000.00	1,997,863.12	50,676.92		498.36		—	—	3.3000	3.3387	Jun-Dec	5,500.00	50,600.00	20160513	20200601
198280AB5	COLUMBIA PIPELINE GROUP INC SENIOR CORP			2FE	769,875.23	773,534.30	770,000.00	769,945.73	3,588.57		28.87		—	—	2.4500	2.4578	Jun-Dec	1,572.08	9,432.50	20160513	20180601
BRT83C0C6	COLUMBUS MCKINNON CORP SECURED TERM LOAN		2	4FE	171,378.23	173,531.22	172,239.42	171,428.04	2,103.18		105.62		—	—	—	0.0707	M-J-S-D	—	3,200.05	20170120	20240131
20030NBD2	COMCAST CORPORATION SENIOR CORP BND			1FE	2,006,540.00	2,069,259.94	2,000,000.00	2,004,915.51	64,344.43		(447.32	)	—	—	3.1250	3.0720	Jan-Jul	28,819.44	31,250.00	20150807	20220715
20030NBV2	COMCAST CORPORATION SENIOR CORP BND		2	1FE	1,659,166.75	1,627,078.25	1,675,000.00	1,661,200.62	(34,122.37	)	1,451.90		—	—	1.6250	1.6440	Jan-Jul	12,550.86	13,306.95	20160712	20220115
12626BAE4	COMM MORTGAGE TRUST COMM_13-CR PAC SENIO		4		3,107,671.88	3,027,591.61	2,870,000.00	3,055,291.29	(27,699.68	)	(26,228.10	)	—	—	3.7950	1.8713	Monthly	9,076.38	54,458.28	20160621	20460810
12626BAB0	COMM MORTGAGE TRUST COMM_13-CR PRELCF SE		4	1FM	1,043,710.94	1,014,039.30	1,000,000.00	1,025,702.40	(11,663.10	)	6,786.68		—	—	2.9720	2.1065	Monthly	2,476.66	14,859.96	20150325	20460810
12591RAX8	COMM MORTGAGE TRUST COMM_14-CR CMBS 14-C		4		2,807,496.48	2,748,048.37	2,710,000.00	2,771,105.98	(23,057.61	)	12,633.32		—	—	2.9280	2.2922	Monthly	6,612.40	39,674.40	20150227	20470210
12632QAX1	COMM MORTGAGE TRUST COMM_14-CR SENIOR CM		4		7,209,485.92	7,349,439.79	7,000,000.00	7,149,871.88	199,567.91		(9,367.80	)	—	—	3.8280	3.4755	Monthly	22,330.00	133,980.00	20140619	20470715
12592RBF5	COMM MORTGAGE TRUST COMM_14-CR SUPSEN SE		4	1FM	1,812,207.04	1,806,752.43	1,750,000.00	1,796,310.03	10,442.40		(5,039.71	)	—	—	3.5280	3.0557	Monthly	5,145.00	30,870.00	20150306	20471210

12592XAZ9	COMM MORTGAGE TRUST COMM_15-CR PRELCF SE		4	1FM	1,601,627.13	1,585,244.75	1,555,000.00	1,584,691.84	552.91		1,638.40		—	—	2.8560	2.3276	Monthly	3,700.90	22,205.40	20150318	20480310
200474BC7	COMM MORTGAGE TRUST COMM_15-LC LCF SENIO		4	1FE	1,503,713.19	1,477,651.40	1,460,000.00	1,493,760.72	(16,109.32	)	(2,008.51	)	—	—	3.1830	2.8390	Monthly	3,872.65	23,235.90	20150126	20480210
12624BAC0	COMM_12-CCRE1 LCF SENIOR CMBS_12-CR1 A3		4		6,131,200.57	5,897,824.56	5,680,324.80	6,035,477.96	(137,653.40	)	(67,004.65	)	—	—	3.3910	0.7424	Monthly	16,051.67	98,496.59	20160823	20450515
126192AD5	COMM_12-LC4 SENIOR CMBS 12-LC4		4		811,507.81	785,102.81	760,000.00	799,618.44	(14,515.63	)	(5,747.69	)	—	—	3.2880	1.6694	Monthly	2,082.40	12,494.40	20160616	20441210
12630BAX6	COMM_13-CR13 PRELCF SENIOR CMBS 13-CR13		4	1FM	1,049,023.44	1,016,309.40	1,000,000.00	1,017,779.78	(1,470.38	)	(7,468.07	)	—	—	3.0390	1.5729	Monthly	2,532.50	15,195.00	20150414	20181210
12624XAB4	COMM_13-CR6 CMBS_13-CR6 A2		4	1FM	1,104,001.42	1,094,560.29	1,092,648.12	1,096,152.63	(1,592.34	)	(1,656.58	)	—	—	2.1220	1.8580	Monthly	1,932.17	14,723.08	20140911	20460310
12625KAE5	COMM_13-CR8 SENIOR CMBS 13-CR8		4	1FM	30,725.39	31,323.00	30,000.00	30,667.83	655.17		(54.80	)	—	—	3.6120	3.1905	Monthly	90.30	541.80	20161219	20460610
12625UBA0	COMM_13-CR9 PAC SENIOR CMBS 2013-CR9 ASB		4		2,382,617.19	2,324,717.98	2,200,000.00	2,341,896.50	(17,178.52	)	(20,143.84	)	—	—	3.8340	1.8885	Monthly	7,029.00	42,174.00	20160620	20450710
12626GAF0	COMM_13-LC13 LCF CMBS_13-LC13 A5		4	1FM	1,174,185.55	1,156,248.49	1,075,000.00	1,146,146.94	10,101.55		(5,479.94	)	—	—	4.2050	2.9714	Monthly	3,766.98	22,601.88	20141201	20460810
12591VAB7	COMM_14-CCRE16 SENIOR SENIOR CMBS 14-CCR		4	1FM	5,149,950.85	5,085,497.50	5,000,000.00	5,050,103.40	35,394.10		(17,469.89	)	—	—	3.0420	2.3848	Monthly	12,675.00	76,050.00	20140328	20470410
12592GAZ6	COMM_14-CCRE19 SENIOR CMBS _14-CCRE19-A2		4	1FM	1,045,429.68	1,016,585.80	1,000,000.00	1,029,939.64	(13,353.84	)	3,575.22		—	—	2.9650	2.2023	Monthly	2,470.84	14,825.04	20150325	20470810
12630DAW4	COMM_14-CR14 PAC SENIOR CMBS 2014-CR14 A		4	1FE	4,311,792.18	4,182,593.62	3,970,000.00	4,245,960.28	(63,366.66	)	(35,524.14	)	—	—	3.7430	1.8083	Monthly	12,383.09	74,298.57	20160726	20470210
12591VAE1	COMM_14-CR16 LCF SENIOR CMBS_14-CR16 A4		4		1,623,144.14	1,565,917.53	1,470,000.00	1,585,657.10	(19,739.57	)	(7,737.50	)	—	—	4.0510	2.7462	Monthly	4,962.47	29,774.82	20150205	20470410
12632QAT0	COMM_14-CR18 SENIOR CMBS_14-CR18 A2		4		3,295,997.06	3,259,388.16	3,200,000.00	3,250,022.87	9,365.29		(4,504.17	)	—	—	2.9240	2.4008	Monthly	7,797.33	46,783.98	20140619	20470715
12591TAB2	COMM_14-LC15 PRELCF SENIOR CMBS_14-LC15		4	1FM	1,041,445.31	1,013,702.20	1,000,000.00	1,026,365.57	(12,663.37	)	(1,176.95	)	—	—	2.8400	2.0899	Monthly	2,366.67	14,200.02	20150415	20470410
12592MBG4	COMM_14-LC17 PAC CMBS_14-LC17 ASB		4	1FM	1,776,500.00	1,782,738.95	1,700,000.00	1,755,060.94	27,678.01		(6,110.63	)	—	—	3.6200	2.8182	Monthly	5,128.33	30,769.98	20150915	20471010
12592EAA6	COMM_14-PAT SENIOR CMBS _14-PAT 144A		4		1,095,000.00	1,095,343.72	1,095,000.00	1,095,000.00	343.72		—		—	—	1.9590	1.9670	Monthly	1,072.55	9,173.83	20140918	20270813
12593JBF2	COMM_15-CCRE24 LCF SENIOR CMBS 2015-CR24		4	1FM	3,135,625.00	3,123,414.78	3,000,000.00	3,121,398.10	2,016.68		(10,331.54	)	—	—	3.6960	3.3659	Monthly	9,240.00	73,817.33	20151207	20480810
12592XBD7	COMM_15-CR22 LCF SENIOR CMBS 15-CR22 A5		4	1FM	1,055,668.24	1,042,373.75	1,025,000.00	1,049,123.90	(6,750.15	)	(2,567.31	)	—	—	3.3090	2.9637	Monthly	2,826.44	33,411.73	20150318	20480310
12592XBE5	COMM_15-CR22 SUB CMBS 15-CR22 XA		4,6	1FE	2,377,385.26	1,741,786.76	33,661,110.50	1,773,926.79	(32,140.03	)	(151,882.78	)	—	—	0.9981	3.9809	Monthly	31,893.90	200,229.79	20150319	20480310
12629NAF2	COMM_15-DC1 LCF SENIOR CMBS 15-DC1 A5		4	1FM	4,687,921.88	4,619,068.92	4,550,000.00	4,658,597.06	(39,528.14	)	(5,753.95	)	—	—	3.3500	3.0034	Monthly	12,702.07	76,212.48	20150311	20480210
12629NAB1	COMM_15-DC1 PRELCF SENIOR CMBS 15-DC1 A2		4		1,931,205.02	1,903,368.75	1,875,000.00	1,907,879.49	(4,510.74	)	(4,668.84	)	—	—	2.8700	2.2893	Monthly	4,484.38	26,906.28	20150224	20480210
12636FBF9	COMM_15-LC23 CMBS 15-LC23 144A		4	1FM	3,305,108.99	3,243,153.54	3,155,000.00	3,274,472.25	(31,318.71	)	(6,088.19	)	—	—	3.2210	2.3561	Monthly	8,468.55	50,811.30	20160323	20481010
12635WAE7	COMM_16-787S SENIOR CMBS 16-787S-B		4	1FM	686,529.27	691,634.04	667,000.00	683,859.88	7,774.16		(1,067.27	)	—	—	3.8319	3.3127	Monthly	2,200.88	12,921.32	20160219	20360210
12635WAA5	COMM_16-787S SENIOR CMBS_16-787S A		4	1FM	1,716,879.72	1,715,743.91	1,667,000.00	1,710,993.53	4,750.38		(2,384.03	)	—	—	3.5450	3.2034	Monthly	4,924.60	29,547.60	20160219	20360210
2027A0HW2	COMMONWEALTH BANK AUSTRALIA SENIOR CORP	D		1FE	2,247,862.50	2,209,139.96	2,250,000.00	2,248,197.87	(39,057.91	)	203.36		—	—	2.0000	2.0201	Mar-Sep	14,375.00	22,500.00	20160829	20210906
20271RAL4	COMMONWEALTH BANK OF AUSTRALIA CORP BOND			1FE	339,741.60	339,741.60	340,000.00	339,883.19	(141.59	)	42.77		—	—	1.7500	1.7761	May-Nov	975.14	2,975.00	20151026	20181102
20271RAN0	COMMONWEALTH BANK OF AUSTRALIA SENIOR CO			1FE	2,132,224.50	2,139,654.19	2,135,000.00	2,133,400.51	6,253.68		453.70		—	—	2.0500	2.0949	Mar-Sep	12,887.10	21,883.75	20160308	20190315
20271RAF7	COMMONWEALTH BANK OF AUSTRALIA SENIOR CO			1FE	648,063.75	648,760.40	645,000.00	647,476.87	1,283.53		(586.88	)	—	—	2.2500	2.0191	Mar-Sep	4,353.75	1,693.12	20170127	20190313
20271RAJ9	COMMONWEALTH BANK OF AUSTRALIA SENIOR CO			1FE	2,796,724.55	2,800,812.28	2,800,000.00	2,799,175.79	1,636.49		2,447.28		—	—	1.6250	1.6679	Mar-Sep	13,776.39	142,390.63	20150304	20180312
20281PCB6	COMMONWEALTH FING AUTH PA MUNITAX BND RE			1FE	2,254,340.00	2,135,260.00	2,000,000.00	2,108,718.76	26,541.24		(27,183.15	)	—	—	5.8920	2.9552	Jun-Dec	9,820.00	58,920.00	20140930	20190601
20281PCA8	COMMONWEALTH FING AUTH PA MUNITAX BND RE			1FE	564,185.00	517,405.00	500,000.00	516,528.12	876.88		(8,814.21	)	—	—	5.7920	2.1352	Jun-Dec	2,413.33	14,480.00	20140930	20180601
BRSWYJ431	COMMSCOPE INC. SENIOR SECURED TERM LOAN			3FE	239,564.54	240,327.83	240,127.80	239,684.54	643.29		100.80		—	—	—	0.0331	M-J-S-D	—	4,222.68	20160104	20221229
BRSTEGNQ4	COMMUNITY HLTH SYST INC SECURED TERM LOA		4	3FE	1,612,429.84	1,639,675.81	1,642,785.60	1,615,525.13	24,150.68		6,872.47		—	—	—	0.3934	M-J-S-D	—	20,626.75	20160707	20210127

BRSR05TD0	COMPONENT HARDWARE GROUP INC SENIOR SECU				2,974,705.88	2,915,211.76	2,974,705.88	2,974,705.88	(59,494.12	)	—		—	—		—	—	J-A-J-O	—	83,932.90		20141124	20190701
20772JKM3	CONNECTICUT (STATE OF) MUNITAX BND GO			1FE	2,273,043.50	2,257,482.50	2,275,000.00	2,274,077.22	(16,594.72	)	194.74		—	—		1.8960	1.9142	Apr-Oct	9,106.07	21,567.00		20141028	20191015
20772JQK1	CONNECTICUT (STATE OF) MUNITAX BND GO			1FE	2,556,975.00	2,507,925.00	2,500,000.00	2,516,840.15	(8,915.15	)	(7,367.41	)	—	—		2.1720	1.5650	Feb-Aug	20,513.33	27,150.00		20140923	20180815
20772JQN5	CONNECTICUT (STATE OF) MUNITAX BND GO			1FE	544,240.00	518,270.00	500,000.00	538,495.84	(20,225.84	)	(4,480.84	)	—	—		3.5170	1.5812	Feb-Aug	6,643.22	8,792.50		20161107	20210815
20774YYL5	CONNECTICUT ST HEALTH & EDL FA MUNI BND		2	1FE	572,285.00	567,680.00	500,000.00	564,353.36	3,326.64		(3,059.29	)	—	—		5.0000	3.3206	Jun-Dec	2,083.34	12,500.00		20160308	20451201
20826FAJ5	CONOCOPHILLIPS CO SENIOR CORP BND		2	1FE	3,996,240.00	4,009,799.80	4,000,000.00	3,997,784.04	12,015.76		370.09		—	—		2.2000	2.2200	May-Nov	11,244.44	44,000.00		20150513	20200515
20826FAE6	CONOCOPHILLIPS CO SENIOR CORP BND		2	1FE	893,900.00	1,016,279.91	1,000,000.00	916,337.67	99,942.24		10,031.30		—	—		2.8750	5.0310	May-Nov	3,673.61	36,991.67		20160222	20211115
20826FAL0	CONOCOPHILLIPS CO SENIOR CORP BND			1FE	6,609,206.80	6,597,573.20	6,610,000.00	6,609,764.24	(12,191.04	)	133.24		—	—		1.5000	1.5041	May-Nov	12,669.17	49,575.00		20150513	20180515
20826FAS5	CONOCOPHILLIPS CO SENIOR CORP BND		2	1FE	994,502.50	1,056,918.85	995,000.00	994,629.41	62,289.44		45.32		—	—		4.2000	4.2110	Mar-Sep	12,304.83	20,895.00		20160303	20210315
BRTA843Z0	CONSOLIDATED CONTAINER CO LLC SENIOR SEC				950,000.00	957,142.85	952,380.95	950,035.37	7,107.48		35.37		—	—		—	0.0353	M-J-S-D	—	5,281.82		20170510	20240522
209111EV1	CONSOLIDATED EDISON INC CORP BND			1FE	2,385,140.00	2,142,960.06	2,000,000.00	2,135,048.16	7,911.90		(46,317.15	)	—	—		7.1250	2.2584	Jun-Dec	11,875.00	71,250.00		20140930	20181201
216871AC7	COOPER US INC CORP BND			2FE	3,489,017.10	3,010,003.01	3,010,000.00	3,010,000.00	3.01		(73,126.22	)	—	—		6.1000	1.4271	Jan-Jul	91,805.00	104,216.81		20130418	20170701
21870LAA4	CORE_15-CALW LCF SENIOR CMBS 15-CALW A 1		4	1FM	21,084,089.98	20,808,691.36	20,280,000.00	20,999,261.21	(190,569.85	)	(54,282.44	)	—	—		3.0400	2.0120	Monthly	51,375.99	214,015.94		20150331	20340210
21870PAA5	CORE_15-TEXW LCF SENIOR CMBS 15-TEXW A 1		4	1FM	1,671,500.00	1,641,472.04	1,600,000.00	1,662,380.66	(20,908.62	)	(6,179.70	)	—	—		3.0770	2.1855	Monthly	4,102.66	24,615.96		20161012	20340210
219350BA2	CORNING INC SENIOR CORP BND			2FE	5,349,667.35	5,395,327.74	5,403,000.00	5,381,726.48	13,601.26		12,315.45		—	—		1.5000	1.5318	May-Nov	11,931.62	45,295.42		20150505	20180508
219868BW5	CORP ANDINA DE FOMENTO SENIOR CORP BND	D		1FE	1,874,831.25	1,880,512.33	1,875,000.00	1,874,894.29	5,618.04		27.65		—	—		2.0000	2.0031	May-Nov	5,312.50	18,750.00		20160504	20190510
BRSTZUYC9	CORPORATE VISIONS INC SENIOR SECURED TER				2,987,541.09	2,640,503.50	3,017,718.29	2,997,861.78	(357,358.28	)	9,827.16		—	—		—	0.1663	F-M-A-N	—	86,908.93		20150602	20210529
BRSTZV1D1	CORPORATE VISIONS INC SENIOR SECURED TER				140,674.50	117,340.82	140,674.50	140,674.50	(23,333.68	)	—		—	—		—	—	F-M-A-N	—	3,072.94		20161108	20210528
22160KAJ4	COSTCO WHOLESALE CORPORATION SENIOR CORP		2	1FE	5,989,500.00	6,002,639.95	6,000,000.00	5,989,801.99	12,837.96		362.62		—	—		2.1500	2.1959	May-Nov	15,408.33	2,986.11		20170509	20210518
BRT67M737	COTY INC SECURED TERM LOAN			3FE	820,639.52	826,236.64	824,176.20	821,030.30	5,206.34		316.86		—	—		—	0.0708	M-J-S-D	—	14,423.47		20161101	20221027
G2479P4N2	COVENTRY BLDG SOC SECURED CORP BND	B		1FE	2,068,212.46	1,881,180.76	1,405,000.00	1,975,734.40	(694.05	)	(36,634.26	)	—	(93,859.58	)	4.6250	1.1573	April	16,881.48	87,161.48		20150109	20180419
BRT9WZ4D5	COVENTRY BLDG SOC SENIOR CORP BND	B			390,767.48	394,014.63	305,000.00	390,834.96	(894.21	)	67.48		—	4,073.88		1.0000	1.1149	May-Nov	613.65	—		20170426	20200505
BRSSLXJJ2	CPM HOLDINGS INC SENIOR SECURED TERM NOT				953,606.11	972,870.91	963,238.52	956,573.97	16,296.94		699.29		—	—		—	0.1433	M-J-S-D	—	26,856.01		20150402	20220411
12593CAE1	CPPIB CAPITAL INC SENIOR CORP BND 144A	A		1FE	5,250,338.12	5,247,105.96	5,300,000.00	5,252,868.38	(5,762.42	)	2,530.26		—	—		1.2500	1.6002	Mar-Sep	18,586.80	(12,243.05	)	20170313	20190920
224287AA0	CRANBERRY RE LTD	D		4FE	975,000.00	990,229.50	975,000.00	975,000.00	15,229.50		—		—	—		4.9113	4.6569	J-A-J-O	10,242.00	20,678.42		20150423	20180706
224287AB8	CRANBERRY RE LTD CORP BND 144A	D			10,000,000.00	10,010,500.00	10,000,000.00	10,000,000.00	10,500.00		—		—	—		0.5000	0.5000	Monthly	2,638.89	—		20170605	20200713
BRT8GP371	CREATIVE ARTISTS AGENCY LLC SECURED TERM		2	4FE	829,456.86	836,213.10	831,535.71	829,538.46	6,674.64		107.13		—	—		—	0.0358	M-J-S-D	—	10,354.29		20170210	20240215
22532LAL8	CREDIT AGRICOLE SA/LONDON SENIOR CORP BN	D		1FE	3,994,960.00	4,040,960.40	4,000,000.00	3,998,123.73	42,836.67		505.59		—	—		2.5000	2.5270	Apr-Oct	21,111.11	50,000.00		20140409	20190415
22535WAB3	CREDIT AGRICOLE SA/LONDON SENIOR LOCAL B	D		2FE	609,102.00	626,964.02	600,000.00	609,023.32	17,940.70		(109.37	)	—	—		4.1250	3.9341	Jan-Jul	11,756.25	(7,390.63	)	20170510	20270110
225433AH4	CREDIT SUISSE GROUP FUNDING GU CORP BND	D		2FE	551,397.00	570,765.25	550,000.00	551,291.55	19,473.70		(93.92	)	—	—		3.8000	3.7499	Mar-Sep	6,153.89	10,450.00		20161129	20220915
225401AB4	CREDIT SUISSE GROUP SENIOR CORP BND 144A	D	2	2FE	3,500,000.00	3,586,729.62	3,500,000.00	3,500,000.00	86,729.62		—		—	—		3.5740	3.5740	Jan-Jul	59,765.22	49,986.37		20170104	20230109
22546QAV9	CREDIT SUISSE NEW YORK NY SENIOR CORP BN			1FE	248,395.00	249,920.00	250,000.00	249,504.78	415.22		295.24		—	—		1.7000	1.9441	Apr-Oct	755.56	2,125.00		20150807	20180427
22546QAT4	CREDIT SUISSE NEW YORK NY SENIOR CORP BN			1FE	1,382,290.22	1,382,663.36	1,382,000.00	1,382,080.46	582.90		(68.89	)	—	—		1.7500	1.7398	Jan-Jul	10,211.44	12,092.50		20151110	20180129
14889KAE2	CRMN_15-1A MEZZANIN ABS 15-1A 144A	D	4		742,800.00	757,177.50	750,000.00	744,626.21	12,551.29		392.85		—	—		4.2532	4.4127	J-A-J-O	6,025.32	15,399.85		20150331	20270422

22845RAC7	CRNPT_13-2A ABS 13-2A A2L 144A	D	4		250,550.00	249,853.50	250,000.00	250,480.87	(627.37	)	(69.13	)	—	—		3.0884	3.0312	J-A-J-O	1,672.91	1,743.19		20170113	20231231
BRSL3FE10	CROSBY US ACQUISITION CORP SENIOR SECURE			4FE	1,985,415.16	1,799,049.50	1,987,900.00	1,986,681.25	(187,631.75	)	184.94		—	—		—	0.0178	J-A-J-O	—	40,436.13		20131219	20201123
3137BUQZ4	CS7468 AGCYSEN AGENCY CMO		4		4,333,258.07	4,347,051.54	4,180,411.76	4,326,626.27	20,425.27		(18,316.74	)	—	—		3.5000	2.7662	Monthly	12,192.87	50,709.57		20170106	20430515
126281AX2	CSAIL COMMERCIAL MORTGAGE TRUS PRELCF SE		4	1FM	2,488,428.66	2,471,814.87	2,425,000.00	2,468,632.70	3,182.17		1,103.07		—	—		2.9699	2.4570	Monthly	6,001.68	41,949.88		20150306	20500415
126281AZ7	CSAIL_15-C1 LCF SENIOR CMBS_15-C1 A4		4	1FM	3,280,627.58	3,280,003.33	3,175,000.00	3,267,368.32	12,635.01		(2,420.69	)	—	—		3.5050	2.9589	Monthly	9,273.64	55,544.53		20150306	20500415
12595BAB7	CSAIL_17-C8 CMBS_17-C8-A2		4	1FE	5,149,998.50	5,127,400.00	5,000,000.00	5,149,827.56	(22,427.56	)	(170.94	)	—	—		2.9855	2.3090	Monthly	12,439.63	(11,610.31	)	20170621	20500615
BRT92S154	CSC HOLDINGS LLC SENIOR SECURED TERM LOA		2	3FE	3,577,179.51	3,577,164.89	3,589,502.01	3,577,387.33	(222.44	)	207.82		—	—		—	0.0604	M-J-S-D	—	9,039.20		20170315	20250715
22541QFV9	CSFB_03-17 WHOLE LOAN__03-17-1A4		4	1FM	268,949.04	265,179.71	264,338.98	268,622.08	(3,442.37	)	(357.50	)	—	—		5.5000	4.8812	Monthly	1,211.55	7,801.08		20140930	20330625
225470XD0	CSMC_06-0MA SUB SENIOR CMBS 06-0MA 144A		4	1FE	650,976.56	639,360.18	600,000.00	642,172.97	(2,812.79	)	(6,914.41	)	—	—		5.5380	2.9518	Monthly	2,769.00	16,614.00		20161115	20230515
46645NAA1	CSMC_11-7R SENIOR CMBS_16-ATRM A 144A		4	1FM	403,906.25	400,880.00	400,000.00	403,219.28	(2,339.28	)	96.80		—	—		2.9615	2.7080	Monthly	987.18	5,923.08		20161012	20281005
BRSVA6HU3	CUSTOM WINDOW SYSTEMS INC SENIOR SECURED				413,295.19	391,212.81	413,295.19	413,295.19	(22,082.38	)	—		—	—		—	—	M-J-S-D	—	10,894.33		20151218	20190731
BRSVA6N02	CUSTOM WINDOW SYSTEMS INC SENIOR SECURED				3,870,131.44	3,715,326.18	3,870,131.44	3,870,131.44	(154,805.26	)	—		—	—		—	—	M-J-S-D	—	109,336.65		20150731	20190731
126650CE8	CVS HEALTH CORP SENIOR CORP BND		2	2FE	7,546,311.30	7,538,471.14	7,495,000.00	7,531,603.86	6,867.28		(8,317.73	)	—	—		2.2500	2.3131	Feb-Aug	65,112.84	86,415.63		20141218	20190812
126650CJ7	CVS HEALTH CORP SENIOR CORP BND		2	2FE	2,244,139.60	2,275,475.62	2,235,000.00	2,240,776.43	34,699.19		(1,003.53	)	—	—		2.8000	2.4263	Jan-Jul	27,987.17	46,748.33		20150713	20200720
126650CT5	CVS HEALTH CORP SENIOR CORP BND		2	2FE	2,443,164.50	2,422,658.07	2,450,000.00	2,444,602.72	(21,944.65	)	699.20		—	—		2.1250	2.1840	Jun-Dec	4,338.55	35,003.47		20160516	20210601
12668AZL2	CWALT_05-73CB CMO_05-64CB 1A		4	4FM	158,668.81	159,002.48	161,752.22	158,725.82	276.66		(1,849.52	)	—	—		5.5000	5.9272	Monthly	741.36	4,697.59		20080102	20351225
BRT6D2NM4	CWGS GROUP LLC SENIOR SECURED TERM LOAN			4FE	1,496,914.12	1,509,772.12	1,503,757.09	1,497,452.13	12,319.99		493.88		—	—		—	0.0713	M-J-S-D	—	32,068.79		20161103	20231108
BRSNKBKE1	DAIMLER AG CORP BND EMTN	B			430,167.41	450,786.89	330,000.00	428,867.03	(1,532.71	)	(1,300.38	)	—	23,452.57		2.7500	1.0959	December	6,749.82	(4,284.25	)	20170418	20201204
BRT7BQ0B0	DAIMLER AG SENIOR CORP BND	B			567,346.51	583,394.52	450,000.00	567,819.26	1,164.63		443.36		—	14,410.63		1.0000	1.1590	December	3,090.79	—		20161212	20191220
D1668RML8	DAIMLER AG SENIOR CORP BND EMTN	B		1FE	825,838.42	677,733.11	520,000.00	817,275.92	1,274.35		(1,690.18	)	—	(140,817.16	)	1.7500	1.3224	November	7,610.42	—		20141210	20171108
233851CN2	DAIMLER FINANCE NORTH AMERICA SENIOR COR				1,000,230.00	1,003,409.96	1,000,000.00	1,000,217.44	3,192.52		(12.56	)	—	—		2.3000	2.2910	Jan-Jul	11,180.56	(3,897.22	)	20170302	20200106
233851CF9	DAIMLER FINANCE NORTH AMERICA SENIOR COR			1FE	1,981,220.00	1,981,239.92	2,000,000.00	1,981,672.98	(433.06	)	452.98		—	—		1.5000	1.9669	Jan-Jul	14,666.67	(13,166.67	)	20170608	20190705
BRSTB5SJ2	DAIMLER FINANCE NORTH AMERICA SENIOR COR			1FE	3,495,520.00	3,495,660.00	3,500,000.00	3,498,662.21	(3,002.21	)	748.29		—	—		1.6500	1.6939	May-Nov	6,897.92	28,875.00		20150511	20180518
233851CH5	DAIMLER FINANCE NORTH AMERICA SENIOR COR			1FE	4,268,634.60	4,252,752.93	4,330,000.00	4,274,459.03	(21,706.10	)	8,531.35		—	—		2.0000	2.3639	Jan-Jul	42,097.22	77,173.33		20160630	20210706
233851CD4	DAIMLER FINANCE NORTH AMERICA SENIOR COR			1FE	3,333,000.00	3,360,240.61	3,333,000.00	3,333,000.00	27,240.61		—		—	—		1.8898	1.8898	J-A-J-O	15,222.11	28,098.17		20160630	20190705
233851CM4	DAIMLER FINANCE NORTH AMERICA SENIOR COR			1FE	699,006.00	694,715.02	700,000.00	699,223.28	(4,508.26	)	161.71		—	—		1.7500	1.7988	Apr-Oct	2,075.69	6,125.00		20161026	20191030
233851CW2	DAIMLER FINANCE NORTH AMERICA SENIOR COR			1FE	1,500,000.00	1,500,135.05	1,500,000.00	1,500,000.00	135.05		—		—	—		1.4212	1.4212	F-M-A-N	3,375.40	—		20170502	20181105
233851BP8	DAIMLER FINANCE NORTH AMERICA SENIOR COR			1FE	1,673,593.00	1,675,482.40	1,675,000.00	1,674,679.28	803.12		234.20		—	—		1.6500	1.6788	Mar-Sep	9,135.73	13,818.75		20150223	20180302
233851CU6	DAIMLER FINANCE NORTH AMERICA SENIOR COR			1FE	263,934.70	269,118.10	265,000.00	263,978.41	5,139.69		43.71		—	—		3.4500	3.4980	Jan-Jul	4,444.27	—		20170103	20270106
N3114MAG8	DAIMLER INTERNATIONAL FINANCE SENIOR COR	B		1FE	886,022.49	862,829.60	635,000.00	868,632.24	(6,907.43	)	(13,374.09	)	—	1,104.79		3.5000	0.6531	June	1,977.34	39,748.47		20160926	20190606
235308QJ5	DALLAS TEX INDPT SCH DIST MUNITAX BND GO			1FE	6,936,930.00	6,596,226.00	6,300,000.00	6,566,556.89	29,669.11		(80,366.53	)	—	—		4.2500	1.6002	Feb-Aug	101,150.01	133,875.00		20150225	20190215
2354167B4	DALLAS TEX MUNITAX BND REV			1FE	1,750,000.00	1,759,380.00	1,750,000.00	1,750,000.00	9,380.00		—		—	—		1.9600	1.9600	Apr-Oct	8,575.00	17,150.00		20150311	20191001
2354167C2	DALLAS TEX MUNITAX BND REV			1FE	1,500,000.00	1,513,965.00	1,500,000.00	1,500,000.00	13,965.00		—		—	—		2.2100	2.2100	Apr-Oct	8,287.50	16,575.00		20150311	20201001
235851AN2	DANAHER CORPORATION SENIOR CORP BND			1FE	3,723,299.66	3,722,627.70	3,723,000.00	3,723,319.87	(692.17	)	8.02		—	—		1.6500	1.6960	Mar-Sep	18,087.57	41,737.85		20150910	20180915

23636TAD2	DANONE SA SENIOR CORP BND 144A	D	2	2FE	950,000.00	928,587.02	950,000.00	950,000.00	(21,412.98	)	—		—	—		2.5890	2.5872	May-Nov	4,030.93	12,297.75		20161026	20231102
23636TAB6	DANONE SA SENIOR CORP BND 144A	D		2FE	5,125,000.00	5,079,079.80	5,125,000.00	5,125,000.00	(45,920.20	)	—		—	—		1.6910	1.6910	Apr-Oct	14,684.69	42,850.41		20161026	20191030
23636AAF8	DANSKE BK A/S SENIOR COPR BND 144A	D		1FE	2,796,416.00	2,774,324.00	2,800,000.00	2,797,370.29	(23,046.29	)	582.63		—	—		1.6500	1.6940	Mar-Sep	14,758.33	22,843.33		20160831	20190906
23636AAE1	DANSKE BK A/S SENIOR CORP BND 144A	D		1FE	1,839,576.80	1,867,121.58	1,840,000.00	1,839,681.87	27,439.71		40.21		—	—		2.8000	2.8050	Mar-Sep	15,885.33	25,760.00		20160307	20210310
23636AAK7	DANSKE BK A/S SENIOR CORP BND 144A	D		1FE	1,008,838.50	1,010,767.56	1,010,000.00	1,008,948.46	1,819.10		109.96		—	—		2.2000	2.2357	Mar-Sep	7,344.94	—		20170223	20200302
23636BAK5	DANSKE BK A/S SENIOR CORP BND MTN	D			1,797,930.00	1,802,178.00	1,800,000.00	1,798,150.61	4,027.39		220.61		—	—		2.2000	2.2398	Mar-Sep	13,090.00	—		20170223	20200302
233062AA6	DBCG_17-BBG CMBS 17-BBG-A 144A		4	1FE	6,410,000.00	6,419,294.50	6,410,000.00	6,410,000.00	9,294.50		—		—	—		1.8000	1.8067	Monthly	641.00	—		20170614	20340615
23312LAS7	DBJPM_16-C1 LCF SENIOR CMBS 16-C1		4	1FE	2,059,982.60	2,030,226.80	2,000,000.00	2,053,249.98	(23,023.18	)	(2,670.14	)	—	—		3.2760	2.9279	Monthly	5,460.00	32,760.00		20160331	20490510
23312JAB9	DBJPM_17-C6 CMBS_17-C6-A2		4		4,119,989.40	4,086,545.20	4,000,000.00	4,119,859.12	(33,313.92	)	(130.28	)	—	—		2.9170	2.2705	Monthly	9,723.33	(9,075.11	)	20170614	20500610
254683BP9	DCENT_15-A2 SENIOR ABS 15-A2 A		4	1FE	2,099,363.70	2,102,284.70	2,100,000.00	2,099,633.59	2,651.11		63.69		—	—		1.9000	1.9140	Monthly	1,773.33	19,950.00		20150422	20221017
254683BV6	DCENT_16-A4 ABS 16-A4		4	1FE	1,999,687.50	1,983,835.44	2,000,000.00	1,999,744.24	(15,908.80	)	39.69		—	—		1.3900	1.3982	Monthly	1,235.55	13,900.02		20161006	20220315
Z91S44T73	DELAMARE CARDS MTN ISSUER PLC ABS 15-1A1	B	4	1FE	991,250.00	846,186.09	650,000.00	991,250.00	1,868.59		—		—	(146,932.50	)	0.9016	0.9033	Monthly	250.28	3,696.56		20150506	20200419
BRT8FBZ11	DELL INTERNATIONAL LLC SECURED TERM LOAN		2	2FE	3,434,518.59	3,460,829.34	3,449,126.45	3,435,171.92	25,657.42		784.63		—	—		—	0.0706	M-J-S-D	—	40,477.02		20170317	20230907
BRSP9DPN0	DELTA 2 (LUX) SARL SENIOR SECURED TERM N	D	4		3,530,276.10	3,549,126.71	3,548,016.18	3,535,541.18	13,585.53		(645.47	)	—	—		—	0.0527	M-J-S-D	—	138,130.34		20140730	20240201
BRSM6R0M8	DELTA AIR LINES INC SENIOR SECURED TERM		4	2FE	2,610,964.39	2,640,891.33	2,631,024.99	2,625,182.80	15,708.53		2,290.86		—	—		—	0.1689	F-M-A-N	—	53,259.14		20140430	20181018
249670AA8	DEPOSITORY TRUST & CLEARING CO CAPSEC CO		2	1FE	1,750,000.00	1,822,187.50	1,750,000.00	1,750,000.00	72,187.50		—		—	—		4.8750	4.8727	Jun-Dec	3,791.67	38,433.29		20150519	20491231
23312JAG8	DEUTSCHE BANK COMMERCIAL MORTG CMBS_17-C		4	1	999,485.74	993,444.37	13,150,000.00	1,005,227.37	(11,783.00	)	5,741.63		—	—		1.0440	156.3666	J-A-J-O	11,440.50	(10,677.80	)	20170615	20500610
25156PAW3	DEUTSCHE TELEKOM INTERNATIONAL SENIOR CO	D		2FE	974,415.00	976,833.04	975,000.00	974,500.03	2,333.01		85.03		—	—		2.2250	2.2459	Jan-Jul	9,762.19	—		20170109	20200117
25156PAS2	DEUTSCHE TELEKOM INTERNATIONAL SENIOR CO	D		2FE	2,997,210.00	2,960,159.91	3,000,000.00	2,997,925.99	(37,766.08	)	484.13		—	—		1.5000	1.5318	Mar-Sep	12,750.00	28,208.33		20160913	20190919
BRSP09RB2	DEXIA CREDIT LOCAL SA SENIOR CORP BND	B		1FE	2,798,284.18	2,339,395.96	1,800,000.00	2,780,586.59	725.31		(7,540.78	)	—	(441,915.94	)	1.8750	1.3164	July	41,917.83	—		20160430	20170717
BRT1UYV70	DFUND_16-1 ABS_16-1 A1B	B	4		657,433.45	592,408.46	452,949.43	657,433.45	4,049.80		—		—	(69,074.79	)	1.1056	1.1069	J-A-J-O	1,318.76	3,664.48		20160520	20630417
25272KAA1	DIAMOND 1 FINANCE CORPORATION/ SR SECURE			2FE	6,918,270.00	7,083,519.54	6,920,000.00	6,918,873.68	164,645.86		279.82		—	—		3.4800	3.4888	Jun-Dec	20,068.00	120,408.00		20160517	20190601
BRT9RA7G6	DIEBOLD INCORPORATED SR SECURED TERM NOT			3FE	1,243,492.80	1,254,638.35	1,250,470.53	1,243,648.05	10,990.30		158.67		—	—		—	0.1323	M-J-S-D	—	4,047.17		20170509	20231106
BRT7L2220	DIGITALGLOBE INC SECURED TERM LOAN			3FE	1,859,717.85	1,865,931.80	1,864,378.77	1,860,052.45	5,879.35		350.70		—	—		—	0.0350	M-J-S-D	—	34,795.20		20161220	20240115
BRSR4UG37	DISA HOLDINGS A/S SENIOR SECURED TERM NO	C			71,628.59	70,862.16	71,628.59	71,628.59	(766.43	)	—		—	—		—	—	M-J-S-D	—	1,991.67		20151231	20201209
BRTASU3H0	DISA HOLDINGS ACQUISITION SUBS SECURED T				509,648.65	508,374.53	509,648.65	509,648.65	(1,274.12	)	—		—	—		—	—	M-J-S-D	—	2,625.00		20170601	20201212
BRSR4UG78	DISA HOLDINGS ACQUISITION SUBS SENIOR SE				5,242,722.33	5,216,508.72	5,242,722.33	5,242,722.33	(26,213.61	)	—		—	—		—	—	M-J-S-D	—	150,746.01		20141224	20201209
254683BB0	DISCOVER CARD MASTER TRUST ABS 13		4		3,950,000.00	3,954,679.96	3,950,000.00	3,950,000.00	4,679.96		—		—	—		1.4589	1.4633	Monthly	2,561.16	24,461.45		20130206	20200817
254683BK0	DISCOVER CARD MASTER TRUST SENIOR ABS_14		4	1FE	1,289,489.07	1,269,194.11	1,260,000.00	1,279,177.99	(9,983.88	)	(4,998.88	)	—	—		2.1200	1.2516	Monthly	1,187.20	15,693.30		20160413	20211215
25470DAM1	DISCOVERY COMMUNICATIONS LLC SENIOR CORP		2	2FE	114,782.65	116,201.75	115,000.00	114,790.82	1,410.93		8.17		—	—		3.8000	3.8310	Mar-Sep	1,311.00	—		20170228	20240313
254845GB0	DISTRICT COLUMBIA WTR & SWR AU MUNI BND		2	1FE	569,945.00	525,120.00	500,000.00	522,278.41	2,841.59		(8,724.83	)	—	—		5.0000	1.3945	Apr-Oct	6,250.00	12,500.00		20140930	20241001
25476FHE1	DISTRICT OF COLUMBIA MUNI BND GO			1FE	5,731,050.00	5,185,850.00	5,000,000.00	5,185,239.21	610.79		(99,599.60	)	—	—		5.0000	0.9369	Jun-Dec	20,833.33	125,000.00		20140930	20180601
254764JW4	DISTRICT OF COLUMBIA MUNI BND REV		2	1FE	1,142,230.00	1,155,410.00	1,000,000.00	1,135,947.41	19,462.59		(6,282.59	)	—	—		5.0000	3.1701	Jan-Jul	23,055.56	(277.77	)	20170111	20320715
233046AC5	DNKN_15-1A ABS 15-1A A2I 144A		4	2FE	1,466,250.00	1,475,032.84	1,466,250.00	1,466,250.00	8,782.84		—		—	—		3.2620	3.2726	F-M-A-N	5,447.20	24,006.28		20150122	20450220

233046AD3	DNKN_15-1A ABS 15-1A A2II 144A		4	2FE	1,466,250.00	1,503,404.78	1,466,250.00	1,466,250.00	37,154.78		—		—	—	3.9800	3.9986	F-M-A-N	6,646.19	29,290.31		20150122	20450220
25746UBU2	DOMINION RESOURCES INC CAPSEC CORP BND			2FE	3,283,247.20	3,325,395.54	3,280,000.00	3,282,110.84	43,284.70		(504.00	)	—	—	2.9620	2.9285	Jan-Jul	48,576.80	48,576.80		20160523	20190701
25746UBE8	DOMINION RESOURCES INC CORP BND			2FE	563,170.00	521,855.00	500,000.00	520,951.10	903.90		(10,737.96	)	—	—	6.4000	1.9549	Jun-Dec	1,422.22	16,000.00		20150701	20180615
25746UCQ0	DOMINION RESOURCES INC SENIOR CORP BND			2FE	244,830.95	244,473.26	245,000.00	244,870.04	(396.78	)	39.09		—	—	1.8750	1.9101	Jan-Jul	2,156.51	—		20170109	20190115
25746UCD9	DOMINION RESOURCES INC SENIOR CORP BND			2FE	5,498,580.00	5,511,769.45	5,500,000.00	5,499,540.48	12,228.97		235.59		—	—	1.9000	1.9121	Jun-Dec	4,644.44	52,250.00		20150609	20180615
25746UCH0	DOMINION RESOURCES INC SENIOR CORP BND			2FE	2,999,730.00	2,974,259.94	3,000,000.00	2,999,810.88	(25,550.94	)	45.02		—	—	1.6000	1.6030	Feb-Aug	18,133.33	31,333.33		20160804	20190815
25746UCT4	DOMINION RESOURCES INC SUB CORP BND			2FE	825,849.75	829,157.92	825,000.00	825,814.77	3,343.15		(34.98	)	—	—	2.5790	2.5446	Jan-Jul	5,319.19	(1,615.63	)	20170515	20200701
BRT5CF7G9	DONNELLEY FINANCIAL SOLUTIONS SENIOR SEC			3FE	253,670.34	257,282.14	254,945.06	253,801.83	3,480.31		634.09		—	—	—	0.0709	M-J-S-D	—	6,545.17		20160926	20230929
06742LAE3	DROCK_14-3 ABS_14-3 A		4	1FE	9,042,500.87	9,156,410.43	9,045,000.00	9,043,539.81	112,870.62		187.70		—	—	2.4100	2.4266	Monthly	9,688.20	108,992.22		20140912	20220715
06742LAH6	DROCK_15-1 ABS 15-1 A		4	1FE	1,574,279.92	1,584,984.70	1,575,000.00	1,574,474.67	10,510.03		43.50		—	—	2.2000	2.2164	Monthly	1,540.00	17,325.00		20150305	20221215
26249MAA5	DRSLF_15-37A ABS 15-37A A 144A	D	4		5,000,000.00	4,996,932.00	5,000,000.00	5,000,000.00	(3,068.00	)	—		—	—	2.6584	2.6669	J-A-J-O	27,692.08	62,283.61		20150129	20270415
Z923YQXD7	DRVRUK_4 SENIOR ABS 4	B	4		706,677.88	755,523.59	579,434.14	706,677.88	2,867.61		—		—	45,978.10	0.8209	0.8223	Monthly	84.64	3,450.96		20161021	20250325
233331AY3	DTE ENERGY COMPANY SENIOR CORP BND		2	2FE	449,536.50	427,864.50	450,000.00	449,565.52	(21,701.02	)	19.72		—	—	2.8500	2.8620	Apr-Oct	3,206.25	6,270.00		20160929	20261001
BRSV5TM33	DTZ US BORROWER LLC SENIOR SECURED TERM			4FE	3,064,350.18	3,078,594.00	3,079,748.91	3,068,728.08	9,865.92		1,317.07		—	—	—	0.0813	M-J-S-D	—	66,520.54		20150812	20211104
26442CAD6	DUKE ENERGY CORP CORP BND			1FE	2,177,940.00	2,053,200.00	2,000,000.00	2,056,932.73	(3,732.73	)	(35,456.44	)	—	—	5.1000	1.4589	Apr-Oct	21,533.33	51,000.00		20151013	20180415
26441CAK1	DUKE ENERGY CORP SENIOR CORP BND		2	2FE	2,310,146.80	2,288,550.00	2,280,000.00	2,289,314.66	(764.66	)	(5,677.93	)	—	—	2.1000	1.6099	Jun-Dec	2,128.00	23,940.00		20150218	20180615
26441CAR6	DUKE ENERGY CORP SENIOR CORP BND		2	2FE	1,359,864.00	1,327,006.36	1,360,000.00	1,359,892.22	(32,885.86	)	16.06		—	—	1.8000	1.8020	Mar-Sep	8,160.00	15,984.50		20160809	20210901
341099CK3	DUKE ENERGY FLORIDA LLC SECURED CORP BND			1FE	360,821.50	337,454.00	325,000.00	337,143.08	310.92		(6,235.22	)	—	—	5.6500	1.6939	Jun-Dec	816.11	9,181.25		20150729	20180615
BRT8MUTQ3	DUKE FINANCE LLC SECURED TERM LOAN				308,601.56	315,615.23	311,718.75	308,749.23	6,866.00		155.48		—	—	—	0.1424	M-J-S-D	—	6,365.95		20170215	20240216
N3033QAJ1	E.ON INTERNATIONAL FINANCE BV CORP BND	B		2FE	1,766,697.85	1,805,121.76	1,250,000.00	1,726,945.32	(7,724.23	)	(37,869.52	)	—	85,900.67	6.0000	0.9218	October	65,125.44	—		20161221	20191030
29100XAA3	EAFL_13-1 ABS 13- 1 A 144A	D	2	1FE	2,190,471.70	2,221,323.74	2,168,783.87	2,182,097.51	39,226.23		(2,551.21	)	—	—	4.6500	4.3192	Monthly	4,482.15	51,616.69		20141210	20381015
27332QAB0	EAST LANE RE VI LTD SENIOR CORP BND 144A	D		3	938,000.00	944,800.50	938,000.00	938,000.00	6,800.50		—		—	—	4.3759	4.3994	M-J-S-D	2,622.36	18,223.74		20150302	20200313
278062AB0	EATON CORPORATION SENIOR CORP BND			2FE	2,034,645.06	2,025,101.25	2,025,000.00	2,026,365.50	(1,264.25	)	(1,937.82	)	—	—	1.5000	1.2202	May-Nov	4,978.13	21,389.58		20131108	20171102
278642AR4	EBAY INC. SENIOR CORP BND			2FE	1,858,121.40	1,860,018.59	1,860,000.00	1,858,162.99	1,855.60		41.59		—	—	2.1500	2.1850	Jun-Dec	2,777.07	—		20170530	20200605
278642AT0	EBAY INC. SENIOR CORP BND			2FE	2,007,560.00	2,009,120.02	2,000,000.00	2,007,473.14	1,646.88		(86.86	)	—	—	1.9756	1.9058	J-A-J-O	2,743.89	—		20170531	20230130
26827EAC9	ECAF I A-2 2015-1 ABS 2015-1A A2 144A	D	4	1FE	478,981.19	476,571.08	482,600.69	479,889.31	(3,318.23	)	335.86		—	—	4.9470	5.2364	Monthly	1,061.08	12,072.17		20151130	20400615
BRSAC1000	EDEN RE LTD				12,251,250.00	12,297,087.95	12,251,250.00	12,251,250.00	45,837.85		—		—	—	—	—	M-J-S-	—	—		10/21/4670	20171231
281379AA5	EDUSA_10-1 ABS 10-1-A1 144A		4	1FE	139,227.04	139,296.81	139,227.04	139,227.04	69.77		—		—	—	2.0062	2.0112	J-A-J-O	519.85	1,515.67		20100223	20230725
29372EBE7	EFF_14-2 ABS_14-2 A2 144A		4	1FE	115,202.77	115,115.31	115,221.32	115,218.61	(103.30	)	12.67		—	—	1.0500	1.0594	Monthly	36.97	1,556.31		20140806	20200320
26971HAA0	EGLE_14-1A ABS_14-1A A1 144A	D	4	1FE	1,874,702.40	1,863,107.25	1,875,000.00	1,874,724.23	(11,616.98	)	98.95		—	—	2.5700	2.5849	Monthly	2,141.67	28,778.67		20141212	20391215
263534CL1	EI DU PONT DE NEMOURS & CO SENIOR CORP B			1FE	6,014,162.35	6,042,455.14	6,020,000.00	6,014,474.83	27,980.31		413.05		—	—	2.2000	2.2382	May-Nov	21,705.45	5,863.61		20170427	20200501
BRT8Z1J76	ELDORADO RESORTS INC SENIOR SECURED TERM		2	3FE	1,949,651.51	1,933,501.40	1,949,339.79	1,949,361.07	(15,859.67	)	(291.22	)	—	—	—	—	M-J-S-D	—	4,971.14		20170316	20240417
BRSLX7XX4	ELECTRICITE DE FRANCE SA SENIOR CORP BND	D		1FE	3,163,264.00	3,207,638.40	3,200,000.00	3,188,082.87	19,555.53		3,725.49		—	—	2.1500	2.3950	Jan-Jul	30,386.67	34,400.00		20140113	20190122
268317AJ3	ELECTRICITE DE FRANCE SA SENIOR CORP BND	D		1FE	4,863,518.40	4,935,104.35	4,920,000.00	4,901,677.40	33,426.95		5,727.93		—	—	2.1500	2.3950	Jan-Jul	46,719.50	52,890.00		20140113	20190122

532457BK3	ELI LILLY AND COMPANY SENIOR CORP BND			1FE	719,366.40	719,316.00	720,000.00	719,856.19	(540.19	)	105.65		—	—	1.2500	1.2801		Mar-Sep	3,000.00	4,500.00		20150224	20180301
268648AP7	EMC CORP/ MASSACHUSETTS SENIOR CORP BND			3FE	2,299,121.00	2,287,110.80	2,300,000.00	2,299,830.58	(12,719.78	)	90.52		—	—	1.8750	1.8871		Jun-Dec	3,593.75	21,562.50		20130603	20180601
BRSP2R5D0	EMERALD PERFORMANCE MATERIALS SENIOR SEC			4FE	99,983.50	101,038.59	100,485.92	100,188.67	849.92		36.25		—	—	—	0.0716		M-J-S-D	—	2,290.89		20140723	20210730
BRSMKZQ95	EMPIRE GENERATING CO LLC SENIOR SECURED			4FE	693,776.63	671,001.14	700,784.48	697,017.04	(26,015.90	)	1,796.78		—	—	—	0.1438		M-J-S-D	—	26,521.18		20140313	20210312
BRSMKZQU8	EMPIRE GENERATING CO LLC SENIOR SECURED			4FE	68,583.08	66,331.61	69,275.83	68,903.41	(2,571.80	)	60.08		—	—	—	0.1438		M-J-S-D	—	2,161.83		20140313	20210312
BRT9PEXH9	ENDO LUXEMBOURG FINANCE I COMP SECURED T	D	2	3FE	1,366,716.99	1,382,814.03	1,373,584.91	1,366,859.55	15,954.48		142.56		—	—	—	0.0709		M-J-S-D	—	10,487.89		20170412	20240429
T36792DD7	ENEL S.P.A. SENIOR CORP BND EMTN	B		2FE	1,393,937.93	1,424,566.39	1,000,000.00	1,362,112.93	490.60		(27,797.00	)	—	61,962.86	6.2500	1.2790		June	2,446.65	67,057.95		20161129	20190620
29270CR31	ENERGY NORTHWEST MUNI BND REV		2	1FE	629,845.00	615,625.00	500,000.00	616,012.21	(387.21	)	(5,813.46	)	—	—	5.0000	2.1506		Jan-Jul	12,500.00	12,500.00		20160329	20270701
29270CYM1	ENERGY NORTHWEST MUNITAX BND REV		4	1FE	1,201,090.80	1,198,651.30	1,190,000.00	1,195,385.53	3,265.77		(1,313.79	)	—	—	2.1970	1.9651		Jan-Jul	13,072.15	13,072.15		20150409	20190701
BRT88XE06	ENERGY TRANSFER EQUITY LP SECURED TERM L		2	3FE	3,169,205.64	3,156,357.35	3,176,208.66	3,169,524.70	(13,167.35	)	319.06		—	—	—	0.0353		M-J-S-D	—	34,995.27		20170131	20240202
29273RAX7	ENERGY TRANSFER PARTNERS LP SENIOR CORP		2	2FE	917,705.70	924,318.43	890,000.00	907,289.24	17,029.19		(2,631.48	)	—	—	4.1500	3.4753		Apr-Oct	9,233.75	18,467.50		20150618	20201001
BRT93NQJ7	ENTEGRIS, INC. SENIOR SECURED TERM NOTES		2	3FE	519,610.24	523,745.22	521,139.52	519,701.59	4,043.63		299.30		—	—	—	0.0711		M-J-S-D	—	5,120.08		20170403	20210430
29372EBV9	ENTERPRISE FLEET FINANCING LLC SENIOR AB		4	1FE	729,979.93	731,211.80	730,000.00	729,979.62	1,232.18		(0.31	)	—	—	2.1300	2.1395		Monthly	475.11	6,046.84		20170124	20220720
29379VAU7	ENTERPRISE PRODUCTS OPERATING CORP BND			2FE	778,230.00	793,559.99	750,000.00	770,338.43	23,221.56		(2,006.80	)	—	—	4.0500	3.4110		Feb-Aug	11,475.00	15,187.50		20150622	20220215
29379VAF0	ENTERPRISE PRODUCTS OPERATING CORP BND			2FE	2,195,480.00	2,147,599.94	2,000,000.00	2,116,898.33	30,701.61		(39,350.70	)	—	—	5.2500	2.8850		Jan-Jul	44,041.67	140,000.00		20150819	20200131
29379VBK8	ENTERPRISE PRODUCTS OPERATING SENIOR COR		2	2FE	540,734.25	530,207.99	525,000.00	538,350.49	(8,142.50	)	(1,706.69	)	—	—	2.8500	2.1329		Apr-Oct	3,158.75	7,481.25		20161018	20210415
29379VBG7	ENTERPRISE PRODUCTS OPERATING SENIOR COR			2FE	789,059.90	789,368.00	790,000.00	789,728.76	(360.76	)	156.94		—	—	1.6500	1.6908		May-Nov	1,955.26	6,517.50		20150504	20180507
29379VAZ6	ENTERPRISE PRODUCTS OPERATING SENIOR COR		2	2FE	1,125,575.00	1,129,568.04	1,100,000.00	1,125,045.73	4,522.31		(529.27	)	—	—	3.3500	2.8959		Mar-Sep	10,850.28	(6,141.67	)	20170510	20230315
BRSJGG5M3	ENTRAVISION COMMUN CORP SENIOR SECURED T		4	4FE	1,873,471.77	1,868,524.51	1,869,693.07	1,872,877.51	(4,353.00	)	(835.53	)	—	—	—	(0.1068	)	M-J-S-D	—	33,939.03		20130801	20200531
BRT6N2WB7	ENVISION HEALTHCARE CORP SENIOR SECURED		2	3FE	3,704,053.85	3,752,198.15	3,740,975.23	3,706,996.24	45,201.91		2,793.47		—	—	—	0.1420		M-J-S-D	—	76,345.69		20161117	20231201
BRSTFAHT7	EPICOR SOFTWARE CORP SENIOR SECURED TERM		4	4FE	1,304,688.94	1,315,076.79	1,316,958.72	1,307,356.41	7,720.38		944.58		—	—	—	0.0354		M-J-S-D	—	31,680.17		20150521	20220601
294429AK1	EQUIFAX INC SENIOR CORP BND		2	2FE	2,074,004.00	2,059,022.56	2,075,000.00	2,074,230.24	(15,207.68	)	92.78		—	—	2.3000	2.3100		Jun-Dec	3,977.09	23,862.50		20160505	20210601
BRT8G3MZ7	ESH HOSPITALITY INC SENIOR SECURED TERM		2	4FE	244,258.06	246,102.55	245,401.44	244,316.71	1,785.84		64.39		—	—	—	0.0709		M-J-S-D	—	2,855.75		20170301	20230830
29874QDC5	EUROPEAN BK RECONSTR AND DEVLP SENIOR CO	D		1FE	2,494,750.00	2,492,625.05	2,500,000.00	2,495,015.36	(2,390.31	)	265.36		—	—	1.6250	1.6971		May-Nov	6,319.45	—		20170425	20200505
298785GU4	EUROPEAN INVESTMENT BANK SENIOR CORP BND	D		1FE	9,042,750.00	8,991,000.00	9,000,000.00	9,016,619.87	(25,619.87	)	(14,326.69	)	—	—	1.2500	1.0367		May-Nov	14,375.00	95,208.33		20160208	20180515
298785HL3	EUROPEAN INVESTMENT BANK SENIOR CORP BND	D			5,986,740.00	5,969,760.12	6,000,000.00	5,987,131.25	(17,371.13	)	391.25		—	—	1.6250	1.6960		Feb-Aug	10,020.83	—		20170517	20200814
30014LAB0	EVERGLADES RE II LTD SENIOR CORP BND	D			2,250,000.00	2,270,407.50	2,250,000.00	2,250,000.00	20,407.50		—		—	—	5.8738	5.9166		F-M-A-N	19,457.04	—		20170427	20230508
BRSVRWCF6	EVESTMENT INC SENIOR SECURED TERM NOTES				4,592,859.49	4,581,377.34	4,592,859.49	4,592,859.49	(11,482.15	)	—		—	—	—	—		M-J-S-D	—	121,729.56		20150914	20210828
300569GY0	EWING TWP N J SCH DIST MUNITAX BND GO			1FE	1,477,604.70	1,487,257.20	1,485,000.00	1,482,634.27	4,622.93		923.90		—	—	1.5960	1.7253		Apr-Oct	5,925.15	11,850.30		20140930	20181001
BRSL2KC12	EXCELITAS TECHNOLOGIES COR SENIOR SECURE			4FE	2,987,535.42	3,010,168.25	3,017,712.53	3,003,088.26	7,079.99		2,739.29		—	—	—	0.1434		M-J-S-D	—	108,433.14		20131205	20201102
30161NAW1	EXELON CORPORATION JRSUB CORP BND		2	2FE	401,212.00	409,152.04	400,000.00	401,151.17	8,000.87		(259.53	)	—	—	3.4970	3.4303		Jun-Dec	1,165.67	13,133.17		20170329	20220601
30161NAH4	EXELON CORPORATION SENIOR CORP BND		2	2FE	5,562,196.45	5,596,396.42	5,510,000.00	5,547,280.78	49,115.64		(6,216.95	)	—	—	2.8500	2.0788		Jun-Dec	6,979.34	78,517.50		20150608	20200615
30161MAP8	EXELON GENERATION CO LLC SENIOR CORP BND		2	2FE	7,234,185.30	7,238,732.07	7,130,000.00	7,223,675.24	15,056.83		(8,756.84	)	—	—	2.9500	2.2094		Jan-Jul	96,987.80	22,813.33		20150108	20200115
BRSPRVAJ5	EXGEN TEXAS POWER LLC SENIOR SECURED TE		4	4FE	1,296,324.51	783,390.09	1,309,287.78	1,301,348.49	(517,958.40	)	885.90		—	—	—	0.1420		M-J-S-D	—	51,432.06		20140916	20210918

30216BGJ5	EXPORT DEVELOPMENT CANADA SENIOR CORP BN	A		1FE	9,581,758.90	9,478,900.59	9,595,000.00	9,585,236.62	(106,336.03	)	2,165.18		—	—		1.0000	1.0469	Mar-Sep	28,785.00	47,708.46	20160907	20190913
30216BGN6	EXPORT DEVELOPMENT CANADA SENIOR CORP BN	A			5,289,983.00	5,298,463.06	5,300,000.00	5,291,456.16	7,006.90		1,473.16		—	—		1.6250	1.6900	Jan-Jul	38,756.26	—	20170111	20200117
30216BGH9	EXPORT DEVELOPMENT CANADA SENIOR CORP BN	A		1FE	2,496,025.00	2,484,225.00	2,500,000.00	2,497,697.34	(13,472.34	)	982.23		—	—		0.8750	0.9552	Feb-Aug	7,534.72	11,059.03	20160818	20180827
30231GAD4	EXXON MOBIL CORP SENIOR CORP BND		2	1FE	1,550,000.00	1,555,672.95	1,550,000.00	1,550,000.00	5,672.95		—		—	—		1.8190	1.8190	Mar-Sep	8,301.71	14,097.25	20140317	20190315
30231GAP7	EXXON MOBIL CORP SENIOR CORP BND			1FE	6,757,914.50	6,766,199.33	6,750,000.00	6,755,294.15	10,905.18		(1,550.47	)	—	—		1.7080	1.7080	Mar-Sep	38,430.00	76,622.78	20160229	20190301
34530UAA9	FCAOT_16-REV1 SENIOR ABS 16-1-A 144A		4	1FE	2,013,750.00	2,010,645.00	2,000,000.00	2,002,520.15	8,124.85		(17,486.09	)	—	—		2.3100	1.2623	Monthly	2,053.33	67,310.83	20161115	20270815
G33365TQ3	FCE BANK PLC SENIOR CORP BND EMTN	B			900,909.42	844,100.54	630,000.00	897,240.62	16,906.98		(1,877.04	)	—	(70,047.06	)	2.7590	2.5418	November	14,227.20	—	20160128	20191113
34960JAJ4	FCO_15-6A MEZZANIN ABS 15-6A		4		1,971,400.00	1,996,505.80	2,000,000.00	1,979,339.90	17,165.90		1,560.86		—	—		4.8781	5.1172	M-J-S-D	5,149.12	47,369.64	20150319	20270331
31428XBM7	FEDERAL EXPRESS CORP SENIOR CORP BND		2	2FE	234,055.30	235,700.30	235,000.00	234,099.45	1,600.85		44.15		—	—		3.3000	3.3460	Mar-Sep	3,769.80	—	20170103	20270315
31428XAZ9	FEDERAL EXPRESS CORP SENIOR CORP BND			2FE	2,441,713.35	2,458,104.73	2,440,000.00	2,441,339.36	16,765.37		(251.18	)	—	—		2.3000	2.3379	Feb-Aug	23,383.34	28,060.00	20150106	20200201
3133EGEV3	FEDERAL FARM CREDIT BANKS FUND SENIOR AG			1	1,000,000.00	988,511.00	1,000,000.00	1,000,000.00	(11,489.00	)	—		—	—		1.6200	1.6200	Jun-Dec	765.00	8,100.00	20160617	20210614
3133EF6L6	FEDERAL FARM CREDIT BANKS FUND SENIOR AG			1	2,000,000.00	1,970,062.00	2,000,000.00	2,000,000.00	(29,938.00	)	—		—	—		2.0700	2.0700	May-Nov	5,980.00	20,700.00	20160505	20230509
313379EE5	FEDERAL HOME LOAN BANKS AGENCY BND			1	10,062,900.00	10,033,899.70	10,000,000.00	10,030,716.24	3,183.46		(7,676.15	)	—	—		1.6250	1.4649	Jun-Dec	7,673.61	81,250.00	20150520	20190614
3133XQSE3	FEDERAL HOME LOAN BANKS AGENCY BND			1	541,545.00	511,070.00	500,000.00	512,148.40	(1,078.40	)	(7,507.06	)	—	—		4.1100	1.0428	Apr-Oct	4,167.08	10,275.00	20150715	20180418
3130A8PK3	FEDERAL HOME LOAN BANKS AGENCY BND			1	1,796,256.00	1,786,086.00	1,800,000.00	1,798,009.01	(11,923.01	)	1,823.36		—	—		0.6250	0.7260	Feb-Aug	4,500.00	16,458.33	20160707	20180807
3130A8Y72	FEDERAL HOME LOAN BANKS AGENCY BND			1FE	3,792,704.00	3,750,942.00	3,800,000.00	3,794,885.96	(43,943.96	)	1,195.36		—	—		0.8750	0.9391	Feb-Aug	13,484.72	16,717.36	20160803	20190805
313379RB7	FEDERAL HOME LOAN BANKS AGENCY BND			1	5,664,725.00	5,517,490.06	5,500,000.00	5,633,280.66	(115,790.60	)	(16,330.68	)	—	—		1.8750	1.2437	Jun-Dec	5,729.17	51,562.50	20160714	20210611
313379DT3	FEDERAL HOME LOAN BANKS SENIOR AGENCY BN			1	1,515,185.39	1,499,280.00	1,500,000.00	1,507,366.47	(8,086.47	)	(3,886.12	)	—	—		1.2500	0.7232	Jun-Dec	1,197.92	9,375.00	20160629	20180608
3130AAKQ0	FEDERAL HOME LOAN BANKS SENIOR AGENCY BN			1FE	3,998,000.00	4,000,948.00	4,000,000.00	3,998,122.45	2,825.55		122.45		—	—		2.7800	2.7879	Jan-Jul	52,202.23	—	20170105	20240112
BRSMTTCL8	FEDERAL-MOGUL HOLDINGS CORP SENIOR SECUR		4	4FE	2,848,125.07	2,861,681.27	2,854,544.91	2,851,052.48	10,628.79		1,564.28		—	—		—	0.0709	M-J-S-D	—	93,214.76	20140403	20210415
BRT8H03L4	FERRO CORP SENIOR SECURED TERM NOTE			3FE	651,379.81	655,461.14	653,012.34	651,450.73	4,010.41		75.01		—	—		—	0.0356	M-J-S-D	—	7,009.25	20170208	20240214
3134GAFY5	FHLMC AGENCY BND		2	1	500,000.00	497,869.99	500,000.00	500,000.00	(2,130.01	)	—		—	—		1.3000	1.2872	Feb-Aug	5,434.72	3,213.88	20160823	20190828
3137EADZ9	FHLMC AGENCY BND			1	999,670.00	995,179.98	1,000,000.00	999,807.48	(4,627.50	)	52.69		—	—		1.1250	1.1359	Apr-Oct	2,375.00	5,625.00	20160318	20190415
31398QHE0	FHLMC AGENCY CMBS_ _K007-A1		4	1	220,776.44	212,215.50	211,073.40	212,870.02	(654.52	)	(29,452.86	)	—	—		3.3420	0.6604	Monthly	587.84	12,630.33	20140930	20191225
31398WV35	FHLMC AGENCY CMO 3654		4	1	12,924.57	12,231.48	12,043.87	12,218.13	13.35		(209.27	)	—	—		5.0000	1.9818	Monthly	50.18	410.65	20120201	20281115
31395HJ43	FHLMC AGENCY CMO_2877-AL		4	1	407,116.21	398,923.28	377,497.75	400,976.52	(2,053.24	)	(5,524.46	)	—	—		5.0000	2.0412	Monthly	1,572.91	10,364.83	20140930	20241015
3137A2QN4	FHLMC AGENCY CMO_37-60-NA		4	1	139,437.67	137,410.64	136,229.46	137,463.19	(52.55	)	(622.93	)	—	—		3.0000	1.6939	Monthly	340.57	2,542.26	20140930	20371015
30262SAR9	FHLMC AGNECY CMBS 15-K42 B 144A		4	1FM	4,123,750.00	4,065,855.20	4,000,000.00	4,095,374.19	(29,518.99	)	(6,113.44	)	—	—		3.9843	3.6067	Monthly	13,280.87	77,930.20	20150204	20241225
3133TJP56	FHLMC CMO AGENCY CMO_2130 QS		4	1	487,492.50	532,239.65	480,732.18	485,375.85	46,863.80		(868.41	)	—	—		6.0000	5.6697	Monthly	2,403.66	15,565.21	20070206	20290315
3137AAGA5	FHLMC CMO_3857 GL		4	1	432,946.14	429,505.48	420,360.54	431,041.53	(1,536.05	)	(2,287.98	)	—	—		3.0000	2.1468	Monthly	1,050.90	6,921.34	20140930	20400515
3137ACNE5	FHLMC CMO_3879 MF		4	1	157,842.21	157,706.87	157,228.03	157,679.13	27.74		(62.85	)	—	—		1.5089	1.4032	Monthly	105.44	1,014.66	20131105	20380915
3137BWQU1	FHLMC CMO_4664A LC		4	1	1,724,316.86	1,727,323.57	1,660,991.55	1,722,214.18	5,109.39		(5,496.12	)	—	—		3.5000	2.5050	Monthly	4,844.56	9,967.66	20170317	20400915
3137BW4F8	FHLMC CMO_46-69 KD		4	1	4,546,975.57	4,575,357.87	4,318,243.61	4,541,433.55	33,924.32		(15,169.44	)	—	—		4.0000	2.9765	Monthly	14,394.15	29,435.49	20170307	20430315
3137AUDW6	FHLMC PAC AGENCY CMO 4105-MG		4	1	416,670.33	409,791.58	403,310.66	414,917.42	(5,125.84	)	(1,264.41	)	—	—		3.0000	2.2584	Monthly	1,008.28	6,413.03	20141106	20401115

3128JLHB8	FHLMC POOL # 1B1225	4	1	24,299.33	25,819.04	24,676.87	24,328.33	1,490.71		35.12		—	—	3.0000	3.3745	Monthly	61.69	396.83	20070402	20330901
3128JMW45	FHLMC POOL # 1B2566	4	1	25,498.16	26,339.51	25,698.60	25,509.52	829.99		47.27		—	—	3.2300	3.3475	Monthly	69.17	475.48	20070402	20341101
3128JMXM4	FHLMC POOL # 1B2583	4	1	719,661.26	756,824.88	727,650.89	720,330.99	36,493.89		375.75		—	—	3.2610	3.1859	Monthly	1,977.39	12,373.80	20060119	20341001
3128JMY68	FHLMC POOL # 1B2632	4	1	41,564.89	45,100.95	41,891.66	41,580.46	3,520.49		113.30		—	—	3.3890	3.5134	Monthly	118.31	821.30	20070403	20341101
3128JMZG5	FHLMC POOL # 1B2642	4	1	51,946.60	53,753.96	52,354.97	51,970.00	1,783.96		93.13		—	—	3.3300	3.4425	Monthly	145.29	1,018.25	20070402	20341101
3128JNAL9	FHLMC POOL # 1B2810	4	1	61,674.76	64,831.99	62,316.63	61,709.26	3,122.73		113.89		—	—	3.5170	3.7179	Monthly	182.64	1,160.36	20070402	20350201
3128NCB37	FHLMC POOL # 1G0058	4	1	71,297.54	76,037.55	71,465.03	71,283.10	4,754.45		31.28		—	—	3.4280	3.4071	Monthly	204.15	1,329.28	20080917	20350101
3128NCD68	FHLMC POOL # 1G0125	4	1	603,209.66	651,823.38	616,109.45	604,313.05	47,510.33		2,033.38		—	—	3.3540	3.8364	Monthly	1,722.03	11,012.22	20051213	20350301
3128NCMS0	FHLMC POOL # 1G0369	4	1	133,334.00	139,940.90	132,670.64	133,213.02	6,727.88		(11.91	)	—	—	3.2080	3.0160	Monthly	354.67	2,152.13	20080827	20351001
3128QJLG9	FHLMC POOL # 1G1227	4	1	142,813.86	146,445.81	140,013.60	142,411.58	4,034.23		(51.71	)	—	—	3.1410	2.6870	Monthly	366.49	2,223.60	20080104	20361001
3128QJRN8	FHLMC POOL # 1G1393	4	1	620,086.39	634,095.01	595,184.76	617,511.15	16,583.86		(1,749.50	)	—	—	3.5370	3.3133	Monthly	1,754.31	10,550.57	20070330	20361201
3128QJ3B0	FHLMC POOL # 1G1694	4	1	590,017.02	630,980.74	598,883.31	590,592.04	40,388.70		1,794.74		—	—	3.4000	3.6895	Monthly	1,696.84	9,048.96	20070810	20370401
31326KNP8	FHLMC POOL # 2B4898	4	1	366,590.55	357,594.48	356,670.67	366,462.66	(8,868.18	)	(1,197.16	)	—	—	2.9270	2.0317	Monthly	869.98	5,525.50	20160120	20451101
31342AZE2	FHLMC POOL # 780741	4	1	259,483.70	266,818.74	251,506.26	258,574.15	8,244.59		(542.60	)	—	—	2.8050	1.8667	Monthly	587.90	3,643.59	20091116	20330701
31342A6F1	FHLMC POOL # 780870	4	1	143,793.85	153,798.51	146,028.07	143,980.54	9,817.97		185.49		—	—	2.7870	3.1487	Monthly	339.15	2,148.28	20070402	20330901
31349SJK0	FHLMC POOL # 781166	4	1	306,679.21	331,579.08	311,757.44	307,235.77	24,343.31		287.81		—	—	2.9550	3.2702	Monthly	767.70	4,674.33	20060109	20340101
31349UCW6	FHLMC POOL # 782785	4	1	70,465.63	75,550.65	71,019.59	70,510.30	5,040.35		60.05		—	—	2.6190	2.7328	Monthly	155.00	1,002.04	20070402	20341001
31349UEJ3	FHLMC POOL # 782837	4	1	103,405.06	110,035.78	104,217.94	103,455.39	6,580.39		117.61		—	—	2.8440	2.9711	Monthly	247.00	1,623.78	20070402	20341101
31349UJL3	FHLMC POOL # 782967	4	1	41,171.12	43,445.02	41,791.46	41,220.77	2,224.25		82.16		—	—	2.9500	3.2697	Monthly	102.74	654.16	20080930	20350101
31349ULB2	FHLMC POOL # 783022	4	1	107,261.32	114,434.29	108,219.09	107,315.83	7,118.46		99.13		—	—	3.0890	3.2486	Monthly	278.57	1,768.98	20070402	20350201
31295NXK9	FHLMC POOL # 789682	4	1	18,601.35	19,644.83	18,708.78	18,608.90	1,035.93		22.72		—	—	2.8080	2.8743	Monthly	43.78	275.29	20060810	20320901
3128JRJS6	FHLMC POOL # 847473	4	1	776,523.59	826,477.83	779,691.10	776,564.43	49,913.40		422.15		—	—	2.8290	2.8626	Monthly	1,838.12	11,817.32	20070926	20351201
3128JRKQ8	FHLMC POOL # 847503	4	1	415,085.58	448,207.89	425,013.65	415,768.41	32,439.48		1,121.64		—	—	3.2140	3.8464	Monthly	1,138.33	6,908.48	20060531	20351201
3128JRPZ3	FHLMC POOL # 847640	4	1	140,651.21	151,053.46	141,421.97	140,663.92	10,389.54		73.42		—	—	3.4940	3.5575	Monthly	411.77	2,373.78	20061113	20360501
3128JRP26	FHLMC POOL # 847641	4	1	202,527.93	212,200.57	204,161.20	202,651.74	9,548.83		192.66		—	—	3.2950	3.4030	Monthly	560.59	3,636.60	20061113	20331201
3128JR6Z4	FHLMC POOL # 848088	4	1	3,232,701.57	3,249,028.30	3,076,474.36	3,219,015.98	30,012.32		(20,715.60	)	—	—	2.9730	1.5844	Monthly	7,621.97	48,127.17	20110113	20350401
31300L3D5	FHLMC POOL # 848896	4	1	798,100.67	787,241.48	758,740.98	797,115.70	(9,874.22	)	(7,393.47	)	—	—	2.9160	0.7607	Monthly	1,843.74	12,250.60	20130422	20420501
31300MZV8	FHLMC POOL # 849756	4	1	7,858,907.93	7,898,260.30	7,724,632.11	7,856,508.27	41,752.03		(9,047.15	)	—	—	2.6960	2.1157	Monthly	17,354.68	107,877.69	20151209	20450701
3128KWBZ5	FHLMC POOL # A65456	4	1	8,280.33	9,104.81	7,969.05	8,248.26	856.55		(9.16	)	—	—	6.0000	5.1830	Monthly	39.85	241.41	20090204	20370901
3128KWFX6	FHLMC POOL # A65582	4	1	8,044.76	8,845.79	7,742.34	8,013.12	832.67		(96.13	)	—	—	6.0000	5.2001	Monthly	38.71	288.76	20090204	20370901
3128KWFY4	FHLMC POOL # A65583	4	1	13,331.35	14,658.75	12,830.18	13,279.93	1,378.82		(65.94	)	—	—	6.0000	5.1872	Monthly	64.15	423.27	20090204	20370901
3128KWNV1	FHLMC POOL # A65804	4	1	151,855.93	171,024.39	150,131.73	151,637.63	19,386.76		(867.35	)	—	—	6.0000	5.7824	Monthly	750.66	6,919.67	20071102	20370901
3128KWNX7	FHLMC POOL # A65806	4	1	343,586.42	386,956.68	339,685.33	343,162.54	43,794.14		(1,836.72	)	—	—	6.0000	5.7419	Monthly	1,698.43	12,670.66	20071102	20370901
3128KWTK9	FHLMC POOL # A65954	4	1	14,185.42	15,597.85	13,652.13	14,122.70	1,475.15		(47.27	)	—	—	6.0000	5.2912	Monthly	68.26	441.03	20090204	20370901

3128KWTP8	FHLMC POOL # A65958	4	1	11,103.08	12,208.62	10,685.68	11,059.00	1,149.62		(91.83	)	—	—	6.0000	5.2099	Monthly	53.43	369.47	20090204	20370901
3128KWTZ6	FHLMC POOL # A65968	4	1	11,791.10	12,965.13	11,347.82	11,745.21	1,219.92		(13.47	)	—	—	6.0000	5.1893	Monthly	56.74	344.19	20090204	20370901
3128KWT29	FHLMC POOL # A65969	4	1	11,872.33	13,054.44	11,425.99	11,827.35	1,227.09		(59.83	)	—	—	6.0000	5.1701	Monthly	57.13	385.30	20090204	20370901
3128KYXE4	FHLMC POOL # A67877	4	1	12,250.88	13,470.69	11,790.32	12,198.93	1,271.76		(57.71	)	—	—	6.0000	5.2270	Monthly	58.95	386.62	20090204	20370401
312929CM2	FHLMC POOL # A82776	4	1	3,869.49	4,255.37	3,724.01	3,854.05	401.32		(18.36	)	—	—	6.0000	5.2958	Monthly	18.62	119.89	20090204	20390101
312930LH1	FHLMC POOL # A83928	4	1	11,805.86	12,983.24	11,362.04	11,763.96	1,219.28		(23.92	)	—	—	6.0000	5.2172	Monthly	56.81	354.82	20090204	20390101
312930LQ1	FHLMC POOL # A83935	4	1	15,293.42	16,818.62	14,718.50	15,235.34	1,583.28		(110.04	)	—	—	6.0000	5.2704	Monthly	73.59	495.34	20090204	20390101
312930RC6	FHLMC POOL # A84083	4	1	10,927.93	12,005.58	10,517.11	10,880.16	1,125.42		(11.65	)	—	—	6.0000	5.3577	Monthly	52.59	318.48	20090204	20390101
312930RV4	FHLMC POOL # A84100	4	1	7,561.32	8,315.40	7,277.07	7,531.85	783.55		(6.29	)	—	—	6.0000	5.2808	Monthly	36.39	219.69	20090204	20390101
312930TB6	FHLMC POOL # A84146	4	1	7,480.10	8,217.75	7,198.90	7,451.22	766.53		(41.17	)	—	—	6.0000	5.2770	Monthly	35.99	246.50	20090204	20390101
312942NF8	FHLMC POOL # A93990	4	1	7,341,297.56	7,252,263.48	6,865,035.72	7,327,111.50	(74,848.02	)	(56,575.02	)	—	—	4.0000	2.7478	Monthly	22,883.45	144,907.12	20160203	20400901
31292KJH1	FHLMC POOL # C02964	4	1	1,042.77	1,146.60	1,003.57	1,038.52	108.08		(6.32	)	—	—	6.0000	5.2126	Monthly	5.02	32.56	20090204	20370701
31292SA91	FHLMC POOL # C09032	4	1	809,863.17	820,811.37	795,628.86	809,158.09	11,653.28		(1,035.30	)	—	—	3.5000	3.2395	Monthly	2,320.58	14,369.58	20140912	20430201
3128M4HY2	FHLMC POOL # G02647	4	1	197,948.71	221,755.82	200,676.64	198,180.62	23,575.20		491.21		—	—	5.5000	5.8366	Monthly	919.77	6,109.86	20070409	20370201
3128M4ZG1	FHLMC POOL # G03143	4	1	1,792.65	1,971.15	1,725.26	1,785.45	185.70		(5.94	)	—	—	6.0000	5.2007	Monthly	8.63	54.08	20090204	20370701
3128M5HK9	FHLMC POOL # G03534	4	1	2,306,639.19	2,519,588.65	2,244,562.94	2,300,127.29	219,461.36		(8,670.88	)	—	—	6.5000	5.8982	Monthly	12,158.05	79,302.70	20071106	20371001
3128M6UB2	FHLMC POOL # G04778	4	1	40,212.14	44,222.41	38,700.42	40,055.83	4,166.58		(197.21	)	—	—	6.0000	5.2450	Monthly	193.50	1,238.85	20090204	20380701
3128M7AZ9	FHLMC POOL # G05124	4	1	93,691.44	103,035.03	90,169.19	93,339.29	9,695.74		(424.16	)	—	—	6.0000	5.2506	Monthly	450.85	2,897.16	20090204	20381201
3128M92M3	FHLMC POOL # G07680	4	1	2,959,839.96	2,966,314.31	2,800,144.21	2,952,736.04	13,578.27		(13,293.53	)	—	—	4.0000	3.1649	Monthly	9,333.81	58,292.68	20140812	20440401
3128MABS7	FHLMC POOL # G07849	4	1	7,264,735.33	7,121,931.74	6,894,173.49	7,256,406.13	(134,474.39	)	(26,515.30	)	—	—	3.5000	2.7620	Monthly	20,108.01	125,130.21	20160525	20440501
3128MJS68	FHLMC POOL # G08540	4	1	1,014,027.03	994,289.38	990,955.92	1,013,367.72	(19,078.34	)	(1,435.22	)	—	—	3.0000	2.7005	Monthly	2,477.39	15,312.20	20160330	20430801
3128MJUH1	FHLMC POOL # G08583	4	1	280,690.67	275,747.71	257,366.83	280,230.80	(4,483.09	)	(3,996.38	)	—	—	4.5000	2.6882	Monthly	965.12	6,304.58	20160509	20440401
3128MJUW8	FHLMC POOL # G08596	4	1	2,434,222.02	2,405,484.77	2,245,139.20	2,428,658.45	(23,173.68	)	(19,590.80	)	—	—	4.5000	2.7887	Monthly	8,419.28	53,249.29	20140815	20440701
3128MJU32	FHLMC POOL # G08601	4	1	991,513.70	976,700.63	927,799.94	989,917.68	(13,217.05	)	(8,127.09	)	—	—	4.0000	2.7259	Monthly	3,092.67	19,679.80	20150323	20440801
3128MJU81	FHLMC POOL # G08606	4	1	2,672,981.72	2,686,667.17	2,552,153.20	2,668,982.10	17,685.07		(15,248.54	)	—	—	4.0000	3.1032	Monthly	8,507.18	54,296.75	20140918	20440901
3128MJV23	FHLMC POOL # G08632	4	1	3,323,515.08	3,262,788.75	3,174,013.86	3,318,716.40	(55,927.65	)	(12,992.47	)	—	—	3.5000	2.7997	Monthly	9,257.55	57,845.09	20150319	20450301
3128MJWP1	FHLMC POOL # G08653	4	1	2,639,185.82	2,586,983.46	2,585,852.61	2,637,838.06	(50,854.60	)	(2,866.59	)	—	—	3.0000	2.7218	Monthly	6,464.63	39,802.44	20160303	20450701
3128MJW89	FHLMC POOL # G08670	4	1	1,323,337.10	1,303,798.62	1,303,228.69	1,322,743.04	(18,944.42	)	(1,133.22	)	—	—	3.0000	2.7818	Monthly	3,258.08	20,095.69	20151027	20451001
3128MJW97	FHLMC POOL # G08671	4	1	1,267,640.92	1,255,050.90	1,220,903.12	1,266,337.16	(11,286.26	)	(3,395.87	)	—	—	3.5000	2.8832	Monthly	3,560.96	22,126.12	20151103	20451001
3128MJXA3	FHLMC POOL # G08672	4	1	941,926.54	949,687.86	902,349.62	941,519.42	8,168.44		(4,112.11	)	—	—	4.0000	2.7126	Monthly	3,007.83	19,041.95	20160512	20451001
3128MJXE5	FHLMC POOL # G08676	4	1	1,609,877.10	1,605,363.70	1,561,684.51	1,608,642.08	(3,278.38	)	(3,386.87	)	—	—	3.5000	3.0052	Monthly	4,554.91	28,287.76	20151117	20451101
3128MJXJ4	FHLMC POOL # G08680	4	1	4,811,528.10	4,822,688.59	4,820,580.45	4,811,607.09	11,081.50		423.29		—	—	3.0000	3.0518	Monthly	12,051.46	74,050.31	20151216	20451201
3128MJXR6	FHLMC POOL # G08687	4	1	—	—	—	—	—		(9,118.22	)	—	—	3.5000	—	Monthly	5,639.31	62,114.28	20160216	20460101
3128MJXX3	FHLMC POOL # G08693	4	1	2,699,498.95	2,653,572.33	2,581,322.78	2,696,626.82	(43,054.49	)	(7,345.22	)	—	—	3.5000	2.7458	Monthly	7,528.86	46,641.35	20160303	20460301

3128MJX62	FHLMC POOL # G08700	4	1	530,320.47	529,181.24	493,249.68	530,104.27	(923.03	)	(3,287.72	)	—	—	4.5000	2.8843	Monthly	1,849.69	7,969.45		20170123	20460301
3128MJYB0	FHLMC POOL # G08705	4	1	1,941,256.90	1,871,486.48	1,870,668.40	1,940,080.42	(68,593.94	)	(4,225.39	)	—	—	3.0000	2.4865	Monthly	4,676.67	45,863.63		20160824	20460501
3128MJYH7	FHLMC POOL # G08711	4	1	2,555,068.54	2,499,090.57	2,431,047.14	2,553,492.61	(54,402.04	)	(8,003.69	)	—	—	3.5000	2.6840	Monthly	7,090.55	43,973.58		20160623	20460601
3128MJYJ3	FHLMC POOL # G08712	4	1	7,772,360.03	7,624,394.16	7,241,417.05	7,766,160.22	(141,766.06	)	(43,785.83	)	—	—	4.0000	2.6988	Monthly	24,138.06	151,162.36		20161014	20460601
3128MJYM6	FHLMC POOL # G08715	4	1	3,516,346.87	3,454,441.09	3,452,931.06	3,515,398.51	(60,957.42	)	(3,184.35	)	—	—	3.0000	2.5990	Monthly	8,632.32	49,385.40		20161102	20460801
3128MBBR7	FHLMC POOL # G12548	4	1	191,906.39	196,576.47	191,487.52	191,489.54	5,086.93		(57.52	)	—	—	5.5000	5.4365	Monthly	877.65	5,968.43		20070330	20220101
3128MBU70	FHLMC POOL # G13106	4	1	175,705.55	167,028.70	163,828.02	170,432.24	(3,403.54	)	(3,559.32	)	—	—	5.0000	1.8648	Monthly	682.62	4,990.30		20130717	20201001
3128MCRQ0	FHLMC POOL # G13895	4	1	269,614.83	253,437.45	250,440.48	258,353.08	(4,915.63	)	(7,327.62	)	—	—	5.0000	1.6596	Monthly	1,043.50	8,694.15		20111110	20191101
3128MDCL5	FHLMC POOL # G14375	4	1	84,362.80	82,976.51	79,272.05	83,375.47	(398.96	)	(894.73	)	—	—	4.0000	2.3048	Monthly	264.24	1,726.05		20131213	20260701
3128MDM91	FHLMC POOL # G14684	4	1	825,067.35	807,163.76	784,552.56	810,276.52	(3,112.76	)	(8,931.03	)	—	—	3.0000	1.5497	Monthly	1,961.38	13,660.54		20130213	20230201
3128MDNM1	FHLMC POOL # G14696	4	1	324,921.07	313,973.21	292,639.29	315,701.83	(1,728.62	)	(5,683.33	)	—	—	6.0000	2.7304	Monthly	1,463.20	9,718.41		20130301	20240301
3128MDVW0	FHLMC POOL # G14929	4	1	444,740.63	441,184.72	414,691.70	439,948.08	1,236.64		(3,888.74	)	—	—	4.0000	2.3688	Monthly	1,382.30	8,770.61		20131119	20281001
3128MD3A9	FHLMC POOL # G15093	4	1	395,156.34	392,543.00	381,045.75	393,719.38	(1,176.38	)	(1,487.69	)	—	—	3.0000	2.1591	Monthly	952.61	5,994.50		20150713	20290401
3128MD5G4	FHLMC POOL # G15147	4	1	2,038,145.33	2,023,349.38	1,965,809.70	2,028,565.78	(5,216.40	)	(8,426.94	)	—	—	3.0000	2.2113	Monthly	4,914.52	31,272.36		20140813	20290801
3128MEHM6	FHLMC POOL # G15436	4	1	1,266,893.62	1,249,489.19	1,212,882.44	1,262,498.57	(13,009.38	)	(5,968.88	)	—	—	3.0000	2.0457	Monthly	3,032.21	19,215.02		20150921	20300601
3128MEXR7	FHLMC POOL # G15888	4	1	2,649,901.92	2,597,965.82	2,525,595.25	2,644,182.83	(46,217.01	)	(17,255.29	)	—	—	3.0000	1.8419	Monthly	6,313.98	40,075.07		20161013	20290101
3128MMUS0	FHLMC POOL # G18592	4	1	2,138,122.56	2,102,544.25	2,046,203.25	2,133,131.89	(30,587.64	)	(9,176.18	)	—	—	3.0000	1.9973	Monthly	5,115.51	38,284.81		20160330	20310301
3128MMVH3	FHLMC POOL # G18615	4	1	4,316,558.21	4,221,689.09	4,108,562.25	4,309,521.94	(87,832.85	)	(18,651.07	)	—	—	3.0000	1.9383	Monthly	10,271.40	64,070.80		20161017	20311001
3132J4AF6	FHLMC POOL # G30705	4	1	5,201,220.89	5,178,579.51	4,974,269.83	5,198,744.93	(20,165.42	)	(5,277.95	)	—	—	3.5000	2.8990	Monthly	14,508.29	9,791.61		20170504	20330501
31335ACR7	FHLMC POOL # G60080	4	1	2,492,431.45	2,483,373.44	2,415,805.11	2,489,702.21	(6,328.77	)	(5,277.63	)	—	—	3.5000	3.0672	Monthly	7,046.10	43,844.81		20150608	20450601
31335ACS5	FHLMC POOL # G60081	4	1	2,395,254.50	2,385,432.28	2,245,770.42	2,390,343.72	(4,911.44	)	(13,402.07	)	—	—	4.0000	3.0297	Monthly	7,485.90	47,062.14		20150608	20450601
31335AHP6	FHLMC POOL # G60238	4	1	4,435,053.36	4,422,209.91	4,280,552.18	4,431,223.91	(9,014.00	)	(10,201.17	)	—	—	3.5000	3.0151	Monthly	12,484.95	77,500.47		20151221	20451001
31335AU55	FHLMC POOL # G60604	4	1	7,234,814.18	7,189,973.22	6,968,068.00	7,234,136.12	(44,162.90	)	(678.06	)	—	—	3.5000	3.2028	Monthly	20,323.53	(8,129.41	)	20170605	20451001
31335BA71	FHLMC POOL # G60930	4	1	15,147,961.97	15,170,602.57	15,168,107.11	15,147,955.14	22,647.43		134.00		—	—	3.0000	3.0201	Monthly	37,920.27	25,456.91		20170503	20470401
3132XCRX5	FHLMC POOL # G67702	4	1	10,009,552.09	9,957,000.99	9,371,143.00	10,008,104.97	(51,103.98	)	(1,447.12	)	—	—	4.0000	3.4784	Monthly	31,237.14	(12,494.86	)	20170605	20470101
3128MTB72	FHLMC POOL # H00962	4	1	9,853.43	10,649.14	9,663.93	9,835.04	814.10		(409.15	)	—	—	6.5000	6.0157	Monthly	52.35	929.20		20071031	20370701
3128MTEE4	FHLMC POOL # H01033	4	1	44,245.54	47,818.55	43,394.60	44,135.83	3,682.72		(3,219.96	)	—	—	6.5000	6.1451	Monthly	235.05	4,113.57		20071031	20370701
3128MTF29	FHLMC POOL # H01085	4	1	98,242.59	106,176.06	96,353.14	97,975.34	8,200.72		(46.45	)	—	—	6.5000	6.1799	Monthly	521.91	3,155.18		20071031	20370701
3128PVWH9	FHLMC POOL # J16048	4	1	1,370,602.18	1,384,166.07	1,297,419.62	1,350,077.33	34,088.74		(9,905.19	)	—	—	4.0000	2.7203	Monthly	4,324.73	28,269.91		20110802	20260701
3128PV4J6	FHLMC POOL # J16225	4	1	1,112,960.53	1,123,974.71	1,053,534.59	1,096,768.86	27,205.85		(6,204.08	)	—	—	4.0000	2.6926	Monthly	3,511.78	21,987.46		20110802	20260801
31307MPM2	FHLMC POOL # J31328	4	1	298,447.19	294,251.05	286,366.12	297,427.14	(3,176.09	)	(849.61	)	—	—	3.0000	2.0701	Monthly	715.91	4,408.62		20150902	20300401
31307MRM0	FHLMC POOL # J31392	4	1	263,588.26	259,882.21	252,918.25	262,652.73	(2,770.52	)	(1,192.14	)	—	—	3.0000	2.1073	Monthly	632.29	3,981.88		20150902	20300401
31307MR40	FHLMC POOL # J31407	4	1	339,653.73	334,226.79	325,270.65	338,499.07	(4,272.28	)	(1,784.22	)	—	—	3.0000	2.0174	Monthly	813.18	5,144.02		20150921	20300401
31307MSH0	FHLMC POOL # J31420	4	1	145,743.21	144,078.68	139,843.55	145,231.65	(1,152.97	)	(563.51	)	—	—	3.0000	2.0965	Monthly	349.61	2,197.22		20150902	20300401

31307MSY3	FHLMC POOL # J31435	4	1	328,376.54	323,759.63	315,083.98	327,243.31	(3,483.68	)	(1,296.11	)	—	—	3.0000	2.0800	Monthly	787.71	4,944.05		20150902	20300401
31307NN34	FHLMC POOL # J32210	4	1	459,229.71	453,984.92	440,640.23	457,642.53	(3,657.61	)	(1,996.52	)	—	—	3.0000	2.1142	Monthly	1,101.61	6,883.13		20150902	20300701
31307NPD0	FHLMC POOL # J32220	4	1	84,306.98	83,344.14	80,894.28	84,011.01	(666.87	)	(365.38	)	—	—	3.0000	2.1295	Monthly	202.24	1,281.42		20150902	20300701
31307SDG5	FHLMC POOL # J35503	4	1	3,645,254.97	3,546,762.19	3,521,985.48	3,640,675.70	(93,913.51	)	(8,398.91	)	—	—	2.5000	1.8172	Monthly	7,337.47	45,344.65		20161013	20311001
3132GLQP2	FHLMC POOL # Q05262	4	1	2,202,602.32	2,197,328.18	2,128,439.53	2,196,310.21	1,017.97		(7,000.81	)	—	—	3.5000	2.9750	Monthly	6,207.95	38,707.67		20120203	20411201
3132GMDN9	FHLMC POOL # Q05809	4	1	3,085,768.52	3,080,021.45	2,915,399.84	3,077,041.32	2,980.13		(15,204.00	)	—	—	4.0000	3.0887	Monthly	9,718.00	60,577.69		20140627	20420101
3132GSEB1	FHLMC POOL # Q07030	4	1	501,609.59	491,899.05	478,150.34	501,131.94	(9,232.89	)	(1,279.22	)	—	—	3.5000	2.8067	Monthly	1,394.61	8,587.84		20160331	20420301
3132JMGH6	FHLMC POOL # Q20200	4	1	5,203,648.31	5,122,618.95	4,981,802.43	5,197,603.25	(74,984.30	)	(12,400.67	)	—	—	3.5000	2.8012	Monthly	14,530.26	89,810.60		20160128	20430701
3132M55C2	FHLMC POOL # Q25643	4	1	1,443,866.54	1,418,425.25	1,333,825.90	1,439,478.89	(21,053.64	)	(8,935.22	)	—	—	4.0000	2.8123	Monthly	4,446.09	27,615.57		20150122	20440401
3132M92R4	FHLMC POOL # Q29184	4	1	1,770,899.78	1,745,619.20	1,657,830.58	1,767,695.86	(22,076.66	)	(12,577.52	)	—	—	4.0000	2.5770	Monthly	5,526.10	35,142.31		20141211	20441001
3132QLQT3	FHLMC POOL # Q30465	4	1	2,257,996.32	2,235,204.21	2,166,268.39	2,254,198.94	(18,994.73	)	(8,274.16	)	—	—	3.5000	2.9177	Monthly	6,318.29	39,558.72		20141211	20441201
3132QNGH6	FHLMC POOL # Q31999	4	1	1,750,975.00	1,712,198.37	1,665,612.39	1,748,141.01	(35,942.64	)	(7,116.63	)	—	—	3.5000	2.7206	Monthly	4,858.04	30,248.14		20150415	20450301
3132QNP37	FHLMC POOL # Q32241	4	1	1,773,989.26	1,739,704.79	1,692,370.41	1,771,633.96	(31,929.17	)	(8,997.92	)	—	—	3.5000	2.6657	Monthly	4,936.08	31,247.18		20150330	20450301
3132QRMV9	FHLMC POOL # Q34871	4	1	991,353.87	959,417.53	933,313.43	990,423.71	(31,006.18	)	(3,817.33	)	—	—	3.5000	2.6500	Monthly	2,722.16	16,929.10		20160923	20450701
3132WF2X6	FHLMC POOL # Q42589	4	1	7,891,011.95	7,602,251.33	7,598,928.16	7,886,178.10	(283,926.77	)	(12,674.89	)	—	—	3.0000	2.4962	Monthly	18,997.32	115,772.16		20160816	20460801
3132WF7E3	FHLMC POOL # Q42692	4	1	5,434,526.87	5,297,581.69	5,124,645.93	5,431,059.66	(133,477.97	)	(17,438.45	)	—	—	3.5000	2.6867	Monthly	14,946.88	92,831.67		20161021	20460901
3132WHBR5	FHLMC POOL # Q43647	4	1	2,683,485.54	2,614,659.12	2,529,166.86	2,681,788.51	(67,129.39	)	(5,304.22	)	—	—	3.5000	2.6690	Monthly	7,376.74	44,903.49		20161021	20461001
3132L5UN1	FHLMC POOL # V80589	4	1	1,747,169.23	1,740,580.43	1,622,679.29	1,746,484.93	(5,904.50	)	(3,192.12	)	—	—	4.5000	3.8440	Monthly	6,085.05	4,138.42		20170505	20431001
3137EAEE5	FHLMC SENIOR AGENCY BND		1FE	11,287,796.00	11,289,830.46	11,300,000.00	11,289,599.45	231.01		1,803.45		—	—	1.5000	1.5365	Jan-Jul	77,687.50	—		20170112	20200117
31398Q5U7	FHLMC SENIOR AGENCY CMO 3669	4	1FE	723,983.70	717,255.61	694,989.61	721,042.84	(3,787.23	)	(9,404.17	)	—	—	4.5000	2.7251	Monthly	2,606.21	17,987.75		20161205	20380515
3137B6U82	FHLMC SENIOR AGENCY CMO 4286 MP	4	1	3,058,662.61	2,967,897.67	2,817,015.50	3,044,496.46	(76,598.79	)	(23,784.52	)	—	—	4.0000	2.4292	Monthly	9,390.05	59,402.71		20150422	20431215
3137BRN76	FHLMC SENIOR AGENCY CMO_16-4604 FB	4	1	776,494.39	777,735.19	775,585.50	776,480.23	1,254.96		(137.88	)	—	—	1.5589	1.5357	Monthly	537.36	4,021.47		20170126	20460815
3137B8MW4	FHLMC SENIOR AGENCY CMO_4322-DN	4	1	3,145,229.26	3,073,476.81	2,931,333.51	3,105,959.63	(32,482.82	)	(14,632.66	)	—	—	4.0000	2.5273	Monthly	9,771.11	62,639.30		20140820	20430515
3137BDJQ0	FHLMC SENIOR AGENCY CMO_4384-HN	4	1	709,638.16	703,149.96	672,493.41	699,284.99	3,864.97		(4,789.73	)	—	—	3.5000	2.0979	Monthly	1,961.44	12,505.48		20141007	20400615
3137BSZE6	FHLMC SENIOR AGENCY CMO_4631 GP	4	1	1,030,358.84	1,002,988.96	962,109.23	1,026,893.94	(23,904.98	)	(4,962.59	)	—	—	3.5000	2.1580	Monthly	2,806.15	17,193.77		20161102	20460315
3137A47K7	FHLMC SENIOR CMO_3778 M	4	1	136,459.34	133,613.81	125,588.11	134,440.29	(826.48	)	(1,173.08	)	—	—	4.5000	2.1783	Monthly	470.96	3,049.29		20140113	20390815
02R032687	FHLMC TBA MBS	4	1	410,578.13	410,216.00	400,000.00	410,578.13	(362.13	)	—		—	—	3.5000	3.3048	Monthly	505.56	(505.56	)	20170629	20470801
02R030673	FHLMC TBA MBS	4	1	10,037,890.63	9,979,810.00	10,000,000.00	10,037,890.63	(58,080.63	)	—		—	—	3.0000	2.9797	Monthly	10,000.00	(10,000.00	)	20170608	20470701
02R032679	FHLMC TBA MBS	4	1	1,239,287.18	1,232,820.00	1,200,000.00	1,239,287.18	(6,467.18	)	—		—	—	3.5000	2.3159	Monthly	1,400.00	(1,400.00	)	20170601	20470701
3137EADP1	FHLMC UNSECURED AGENCY BND		1	14,877,000.00	14,961,300.00	15,000,000.00	14,983,063.71	(21,763.71	)	12,167.73		—	—	0.8750	1.0410	Mar-Sep	41,562.50	65,625.00		20130201	20180307
31395EC47	FHLMC_2839 CMO_2839 TS	4	1	147,775.18	140,456.77	137,545.25	141,205.71	(748.94	)	(3,784.48	)	—	—	5.0000	1.2807	Monthly	573.11	4,762.94		20130307	20190815
31397JAB0	FHLMC_3346A AGNECY CMO_3335-AF	4	1	31,300.30	31,302.04	31,297.84	31,298.15	3.89		(0.67	)	—	—	1.3089	1.3079	Monthly	18.21	216.53		20110722	20201015
31398Q4P9	FHLMC_3674 SENIOR AGENCY CMO 3674 HJ	4	1	934,576.77	924,087.17	836,544.24	919,619.42	4,467.75		(14,700.36	)	—	—	5.5000	2.8519	Monthly	3,834.16	24,652.19		20131120	20400415
3137B36J2	FHLMC_K029 AGENCY CMO K029	4	1	5,348,910.48	5,121,009.01	4,877,430.00	5,287,487.62	(166,478.61	)	(36,319.20	)	—	—	3.3200	1.6706	Monthly	13,494.21	80,965.26		20160823	20230225

31283AM31	FHLS_30-2 AGENCY CMO_302 305		4	1	3,054,523.62	2,988,435.74	2,909,936.17	3,048,912.27	(60,476.53	)	(13,255.26	)	—	—		3.5000	2.2539	Monthly	8,487.32	26,350.15	20170224	20280215
3137BPVZ9	FHMS_K055 AGCYSEN SENIOR CMBS_K055 A1		4	1	3,130,464.50	3,057,174.94	3,069,206.16	3,122,823.51	(65,648.57	)	(4,718.65	)	—	—		2.2630	1.7816	Monthly	5,788.01	35,113.65	20160608	20250425
3137BVZ82	FHMS_K063 LCF SENIOR CMBS_K063 A2		4	1	1,039,973.98	1,059,919.73	1,009,707.00	1,039,168.74	20,750.99		(805.24	)	—	—		3.4300	3.0623	Monthly	2,886.08	6,637.98	20170307	20270125
3137BXQX3	FHMS_K064 SENIOR CMBS_K064 A1		4	1FE	9,927,194.56	9,938,018.72	9,732,763.17	9,923,556.25	14,462.47		(3,982.67	)	—	—		2.8910	2.4282	Monthly	23,447.86	12,527.67	20170503	20261025
3137BPWG0	FHMS_KJ05 LCF SENIOR AGENCY CMBS_KJ05 A2		4	1	786,285.21	764,348.89	770,886.00	783,008.64	(18,659.75	)	(1,706.69	)	—	—		2.1580	1.7082	Monthly	1,386.31	8,317.86	20160617	20211025
3137BDKF2	FHR AGENCY CMO_4384 LA		4	1	3,116,031.37	3,066,171.61	2,958,842.84	3,081,557.37	(15,385.76	)	(21,996.18	)	—	—		3.5000	2.0664	Monthly	8,629.96	54,987.67	20140827	20400915
316773CR9	FIFTH THIRD BANK CAPSEC CORP BND		2	3FE	7,895,000.00	8,100,000.00	8,000,000.00	7,898,911.52	201,088.48		611.98		—	—		4.9000	4.9359	Mar-Sep	99,088.89	196,000.00	20140908	20491231
31677QBH1	FIFTH THIRD BANK SENIOR CORP BND		2	1FE	6,497,848.50	6,459,423.95	6,525,000.00	6,500,089.34	(40,665.39	)	1,590.66		—	—		1.6250	1.6820	Mar-Sep	27,685.94	29,723.96	20160922	20190927
31677QBF5	FIFTH THIRD BANK SENIOR CORP BND		2	1FE	1,513,320.00	1,508,024.94	1,500,000.00	1,509,870.01	(1,845.07	)	(2,911.49	)	—	—		2.3000	1.8867	Mar-Sep	10,158.34	43,524.31	20161128	20190315
316773CT5	FIFTH THIRD BANK SENIOR CORP BND		2	2FE	2,072,440.00	2,036,540.06	2,000,000.00	2,059,831.33	(23,291.27	)	(9,710.75	)	—	—		2.8750	1.8383	Jan-Jul	24,597.22	28,750.00	20161102	20200727
316773CU2	FIFTH THIRD BANK SENIOR CORP BND		2	2FE	699,804.00	698,277.99	700,000.00	699,805.62	(1,527.63	)	1.62		—	—		2.6000	2.6060	Jun-Dec	808.89	—	20170612	20220615
31677QBG3	FIFTH THIRD BANK SENIOR CORP BND		2	1FE	404,696.25	403,416.45	405,000.00	404,757.03	(1,340.58	)	62.03		—	—		2.2500	2.2660	Jun-Dec	430.31	10,269.06	20160609	20210614
31683VAN0	FIG_13-2A ABS 13-2A 144A		4		2,000,000.00	1,996,546.80	2,000,000.00	2,000,000.00	(3,453.20	)	—		—	—		—	—	Monthly	—	—	20170606	20270620
31970LAA2	FIRST COAST RE 2016 LTD CORP BND 144A	D	2		500,000.00	504,035.00	500,000.00	500,000.00	4,035.00		—		—	—		4.9961	4.9961	M-J-S-D	1,665.35	11,076.05	20160525	20190607
31970LAB0	FIRST COAST RE 2017-1 LTD CORP BND 144A	D	2		2,500,000.00	2,502,800.00	2,500,000.00	2,500,000.00	2,800.00		—		—	—		5.0525	5.0801	M-J-S-D	23,508.18	—	20170410	20250607
BRTAX8AJ1	FIRST DATA CORPORATION SENIOR SECURED TE		2	3FE	4,224,960.58	4,239,231.62	4,246,901.53	4,225,161.29	14,070.33		200.71		—	—		—	0.1124	M-J-S-D	—	4,749.26	20170609	20220708
BRT9RS082	FIRST DATA CORPORATION SENIOR SECURED TE		2	3FE	212,234.05	212,632.98	212,765.96	212,247.56	385.42		13.51		—	—		—	0.0353	M-J-S-D	—	1,245.45	20170421	20240426
BRTABZ2C9	FLASH DUTCH 2 BV AND US COATIN SENIOR SE	D	2	3FE	396,854.30	398,394.04	397,350.99	396,854.30	1,539.74		—		—	—		—	0.0180	M-J-S-D	—	—	20170522	20240601
BRT79CE86	FLEX ACQUISITION COMPANY INC SENIOR SECU		2	4FE	672,297.30	678,040.54	675,675.68	672,507.79	5,532.75		214.04		—	—		—	0.0713	M-J-S-D	—	5,716.65	20161216	20231229
341271AA2	FLORIDA ST MUNITAX BND REV			1FE	1,012,860.00	1,004,690.02	1,000,000.00	1,010,050.26	(5,360.24	)	(2,461.37	)	—	—		2.1630	1.6501	Jan-Jul	10,815.00	10,815.00	20161130	20190701
BRSFEV6K3	FLY FUNDING II SARL SENIOR SECURED TERM	D	4	4FE	3,109,480.33	3,123,348.29	3,119,448.98	3,112,603.59	10,744.70		(413.18	)	—	—		—	0.0305	F-M-A-N	—	53,985.43	20131115	20220209
BRSHZJ755	FLYING FORTRESS INC SENIOR SECURED TERM		4	3FE	1,063,095.24	1,068,195.97	1,064,425.77	1,063,470.60	4,725.37		(56.88	)	—	—		—	0.0166	J-A-J-O	—	18,700.77	20150501	20221030
D2R6L0P26	FMS WERTMANAGEMENT LT GTD SENIOR CORP BN	B		1FE	3,116,214.12	3,018,815.41	2,300,000.00	3,106,576.31	7,162.67		(6,891.93	)	—	(94,923.55	)	1.2500	0.8783	March	11,766.18	38,499.63	20160216	20190308
30254WAJ8	FMS WERTMANAGEMENT LT GTD SENIOR CORP BN	D		1FE	3,975,320.00	3,916,600.04	4,000,000.00	3,980,336.86	(63,736.82	)	2,400.33		—	—		1.3750	1.5041	Jun-Dec	3,513.89	27,500.00	20160608	20210608
BRSMSHXX6	FMS WERTMANAGEMENT LT GTD SENIOR CORP BN	B		1FE	669,166.80	661,800.35	500,000.00	662,110.84	(1,152.61	)	(4,636.01	)	—	842.12		1.8750	0.4211	December	6,872.87	—	20160926	20181207
BRT7W6393	FMS WERTMANAGEMENT LT GTD SENIOR CORP BN	B		1FE	2,848,400.73	2,987,240.23	2,300,000.00	2,849,564.84	6,773.01		1,164.11		—	130,902.38		0.6250	0.7138	March	5,985.41	2,592.26	20170105	20200306
BRSTSH835	FMS WERTMANAGEMENT LT GTD SENIOR CORP BN	B			2,377,639.35	2,086,092.92	1,600,000.00	2,377,551.70	7,591.53		(96.86	)	—	(299,050.32	)	1.0000	1.0635	April	4,669.10	22,569.60	20151030	20180410
30254WAK5	FMS WERTMANAGEMENT LT GTD SENIOR CORP BN	D		1FE	12,060,661.55	11,959,443.78	12,115,000.00	12,075,760.29	(116,316.51	)	9,071.76		—	—		1.0000	1.1099	Feb-Aug	45,431.25	64,466.38	20160810	20190816
3136AGJ60	FNMA AGCYS SENIOR CMBS_13-M13 A2		4	1	680,773.44	657,658.76	650,000.00	676,590.75	(18,931.99	)	(2,588.76	)	—	—		2.5383	1.7871	Monthly	1,420.43	8,342.25	20160823	20230425
3136AWQL4	FNMA AGCYSEN AGENCY CMO_17-3 G		4	1	2,975,867.16	2,972,132.31	2,900,632.02	2,973,909.15	(1,776.84	)	(3,383.85	)	—	—		3.0000	2.3169	Monthly	7,251.57	5,172.30	20170505	20400725
3135G0E58	FNMA AGENCY BND			1	499,190.00	498,465.00	500,000.00	499,659.59	(1,194.59	)	1,328.67		—	—		1.1250	1.1779	Apr-Oct	1,125.00	40,312.50	20150827	20181019
3135G0WJ8	FNMA AGENCY BND			1FE	698,502.00	697,627.00	700,000.00	699,733.80	(2,106.80	)	389.10		—	—		0.8750	0.9181	May-Nov	680.56	9,287.16	20130411	20180521
31398SVZ3	FNMA AGENCY CMO _10-139-MA		4	1	1,241,600.37	1,184,677.88	1,214,504.78	1,239,723.15	(55,045.27	)	(3,547.33	)	—	—		2.5000	2.0226	Monthly	2,530.22	16,103.81	20140930	20401225
31398SZN6	FNMA AGENCY CMO _10-141-G		4	1	8,010,011.44	7,939,302.11	7,703,091.44	7,927,546.94	11,755.17		(14,469.68	)	—	—		3.5000	2.1867	Monthly	22,467.35	134,945.52	20140721	20300525

3136A1PM1	FNMA AGENCY CMO__11-96-PA	4	1	1,606,871.93	1,591,816.42	1,574,284.25	1,599,451.63	(7,635.21	)	(6,489.94	)	—	—	2.5000	1.6960	Monthly	3,279.76	22,054.92		20140930	20400325
31398GEH8	FNMA AGENCY CMO_09-100-MA	4	1	296,590.47	292,502.00	286,287.00	295,329.01	(2,827.01	)	(1,828.32	)	—	—	3.0000	1.8906	Monthly	715.72	4,699.22		20140930	20391125
31397NLS2	FNMA AGENCY CMO_09-11 LC	4	1	330,470.79	325,191.31	310,483.41	326,577.85	(1,386.54	)	(3,649.40	)	—	—	4.5000	2.2328	Monthly	1,164.31	7,515.40		20140207	20490325
31398MAY2	FNMA AGENCY CMO_10-9 MC	4	1	608,885.12	560,953.52	543,192.75	565,274.44	(4,320.92	)	(6,851.21	)	—	—	5.0000	1.6597	Monthly	2,263.30	15,591.33		20140521	20360425
31392ER28	FNMA CMO_02-64 PG	4	1	534,071.08	540,438.22	484,827.18	530,126.15	10,312.07		(7,748.56	)	—	—	5.5000	3.2954	Monthly	2,222.12	14,435.70		20140930	20321025
31394DA42	FNMA CMO_05-48 AR	4	1	23,231.52	23,905.72	23,065.74	23,057.50	848.22		(14.40	)	—	—	5.5000	5.2479	Monthly	105.72	748.45		20071220	20350225
3136A9FV5	FNMA CMO_12-111 LB	4	1	568,907.75	563,983.40	550,584.22	567,992.10	(4,008.70	)	(863.48	)	—	—	3.5000	2.8559	Monthly	1,605.87	9,842.20		20140930	20410525
3136ABFX6	FNMA CMO_12-146 NA	4	1	1,413,083.46	1,417,325.46	1,435,535.22	1,415,175.47	2,149.99		2,542.05		—	—	2.0000	2.3001	Monthly	2,392.56	15,210.47		20140930	20420925
3140FCUA4	FNMA FNMA 15YR	4	1	1,967,331.74	1,962,514.82	1,911,480.66	1,966,285.39	(3,770.57	)	(3,246.37	)	—	—	3.0000	2.3104	Monthly	4,778.70	12,206.87		20170228	20320201
3138L1UA5	FNMA MULTI MBS	4	1	2,295,476.95	2,280,039.19	2,273,453.00	2,295,138.60	(15,099.41	)	(338.35	)	—	—	2.3200	1.9359	Monthly	4,395.34	(146.51	)	20170530	20221201
31371NAC9	FNMA POOL # 256603	4	1	146,614.82	150,227.39	146,477.47	146,300.80	3,926.59		2.97		—	—	5.5000	5.4214	Monthly	671.36	4,549.63		20080717	20220201
31371NE35	FNMA POOL # 256754	4	1	56,808.52	54,964.98	53,592.96	55,300.15	(335.17	)	(540.67	)	—	—	5.5000	3.6888	Monthly	245.63	1,625.06		20090929	20220601
31385W2S7	FNMA POOL # 555285	4	1	896,097.19	901,732.31	813,247.58	884,139.08	17,593.23		(10,222.44	)	—	—	6.0000	3.9139	Monthly	4,066.24	26,036.27		20110105	20330301
31385XAZ0	FNMA POOL # 555424	4	1	911,658.92	932,169.05	837,524.88	902,064.49	30,104.56		(10,858.18	)	—	—	5.5000	3.6829	Monthly	3,838.66	24,774.28		20120125	20330501
31385XEW3	FNMA POOL # 555549	4	1	8,923.88	9,097.71	8,996.98	8,958.41	139.30		43.27		—	—	5.0000	5.2555	Monthly	37.50	348.22		20071214	20180601
31385XK48	FNMA POOL # 555715	4	1	33,669.63	35,626.47	33,970.24	33,706.68	1,919.79		37.68		—	—	3.0150	3.1804	Monthly	85.35	513.75		20070402	20330701
31400EGH7	FNMA POOL # 685200	4	1	7,997.01	8,152.79	8,062.52	8,029.55	123.24		35.75		—	—	5.0000	5.2592	Monthly	33.60	305.51		20071214	20180301
31400PG58	FNMA POOL # 693320	4	1	42,251.47	45,265.73	42,622.76	42,298.52	2,967.21		6.59		—	—	2.9290	3.1013	Monthly	104.04	625.22		20060810	20330101
31400QJ87	FNMA POOL # 694287	4	1	4,177.64	4,479.57	4,214.93	4,181.74	297.83		7.93		—	—	3.3320	3.5125	Monthly	11.70	77.42		20070402	20330301
31400SA33	FNMA POOL # 695826	4	1	4,733.15	4,825.34	4,771.92	4,752.05	73.29		19.57		—	—	5.0000	5.2598	Monthly	19.88	169.59		20071214	20180401
31401A3C9	FNMA POOL # 702895	4	1	7,590.35	7,738.20	7,652.52	7,620.59	117.61		45.30		—	—	5.0000	5.2622	Monthly	31.89	321.74		20071214	20180401
31401DVW8	FNMA POOL # 705429	4	1	62,036.13	66,593.55	62,759.36	62,129.13	4,464.42		102.60		—	—	3.0440	3.2846	Monthly	159.20	1,031.15		20060810	20330401
31401MKS9	FNMA POOL # 712305	4	1	468,547.68	462,113.34	439,950.88	465,328.45	(3,215.11	)	(3,191.92	)	—	—	3.6750	2.1688	Monthly	1,347.35	7,438.24		20120214	20330501
31402DQB9	FNMA POOL # 725950	4	1	29,572.89	30,371.83	29,843.34	29,679.45	692.38		85.74		—	—	5.0000	5.2681	Monthly	124.35	942.05		20080717	20191101
31402HD32	FNMA POOL # 729222	4	1	610,748.65	663,560.77	617,500.11	611,353.37	52,207.40		368.99		—	—	2.8010	2.8302	Monthly	1,441.35	8,694.95		20060120	20350701
31402QYX3	FNMA POOL # 735226	4	1	226,486.19	224,602.47	204,271.65	225,513.18	(910.71	)	(3,333.04	)	—	—	5.0000	2.7334	Monthly	851.13	5,484.40		20160104	20350201
31402RB81	FNMA POOL # 735463	4	1	67,518.49	72,133.11	68,076.97	67,569.10	4,564.01		6.86		—	—	3.4030	3.5741	Monthly	193.00	1,077.60		20060928	20350301
31402RF87	FNMA POOL # 735591	4	1	1,727,487.69	1,830,225.28	1,664,554.88	1,718,955.77	111,269.51		(9,146.55	)	—	—	5.0000	4.3217	Monthly	6,935.64	44,566.95		20100401	20350601
31402YSV7	FNMA POOL # 742232	4	1	1,807.68	1,946.34	1,835.79	1,809.93	136.41		0.56		—	—	3.6250	4.0784	Monthly	5.55	32.54		20070402	20330901
31403C2L4	FNMA POOL # 745179	4	1	26,238.20	26,749.31	26,453.13	26,324.26	425.05		150.99		—	—	5.0000	5.2492	Monthly	110.23	1,054.27		20071214	20190401
31403DCE7	FNMA POOL # 745369	4	1	39,601.01	40,632.39	39,925.37	39,717.80	914.59		140.91		—	—	5.0000	5.2363	Monthly	166.36	1,345.59		20071214	20191201
31403DCZ0	FNMA POOL # 745388	4	1	74,041.38	75,483.69	74,647.88	74,305.58	1,178.11		299.92		—	—	5.0000	5.2503	Monthly	311.03	2,663.36		20071214	20181101
31403H3P3	FNMA POOL # 749706	4	1	164,228.24	174,816.85	166,293.90	164,479.85	10,337.00		48.34		—	—	3.2240	3.4831	Monthly	446.78	2,716.14		20060515	20331101
31403KDB6	FNMA POOL # 750798	4	1	3,547.74	3,810.50	3,602.87	3,554.94	255.56		1.22		—	—	3.1990	3.5044	Monthly	9.60	56.82		20070402	20331201

31403VBR9	FNMA POOL # 758848	4	1	23,540.11	23,998.68	23,732.95	23,622.42	376.26		64.73		—	—	5.0000	5.2415	Monthly	98.90	744.94	20071214	20190101
31404CLB4	FNMA POOL # 764522	4	1	4,745.81	5,104.81	4,841.89	4,754.90	349.91		2.59		—	—	3.1490	3.6889	Monthly	12.71	70.63	20080930	20340601
31404LRF9	FNMA POOL # 771886	4	1	27,768.26	28,921.04	28,232.56	27,825.56	1,095.48		270.21		—	—	3.2540	3.6128	Monthly	76.56	693.61	20060810	20340201
31404NBP0	FNMA POOL # 773246	4	1	47,633.18	50,477.80	48,031.83	47,663.74	2,814.06		45.64		—	—	3.2560	3.4446	Monthly	130.33	815.21	20070402	20350201
31404VGA0	FNMA POOL # 779693	4	1	211,663.62	222,026.46	213,666.74	211,878.57	10,147.89		30.54		—	—	3.4190	3.6048	Monthly	608.77	3,160.04	20060224	20340701
31405PAG5	FNMA POOL # 794807	4	1	63,498.28	67,029.01	63,325.43	63,457.70	3,571.31		(14.55	)	—	—	2.7290	2.6486	Monthly	144.00	896.62	20070630	20341001
31405UMM8	FNMA POOL # 799664	4	1	24,397.07	25,836.37	24,588.88	24,416.44	1,419.93		5.05		—	—	3.0180	3.1652	Monthly	61.84	376.53	20070402	20341001
31405UR84	FNMA POOL # 799811	4	1	69,391.58	72,910.42	69,210.26	69,345.92	3,564.50		(42.01	)	—	—	2.9380	2.8620	Monthly	169.45	1,283.82	20070630	20341101
31405UTZ2	FNMA POOL # 799868	4	1	7,726.08	8,179.07	7,786.81	7,732.21	446.86		3.69		—	—	3.0000	3.1466	Monthly	19.47	119.71	20070402	20341101
31406BB90	FNMA POOL # 804764	4	1	85,265.43	90,336.43	85,935.71	85,325.87	5,010.56		59.94		—	—	3.2640	3.4173	Monthly	233.75	1,485.24	20070402	20350101
31406BEZ9	FNMA POOL # 804852	4	1	63,333.95	67,354.71	63,831.86	63,380.84	3,973.87		41.40		—	—	3.1920	3.3425	Monthly	169.79	1,046.93	20070402	20341201
31406BJF8	FNMA POOL # 804962	4	1	68,352.31	73,119.84	68,889.64	68,401.30	4,718.54		103.39		—	—	3.2050	3.3581	Monthly	183.99	1,209.17	20070402	20350101
31406BQQ6	FNMA POOL # 805163	4	1	101,009.03	106,629.98	101,854.47	101,085.66	5,544.32		65.41		—	—	3.1980	3.3664	Monthly	271.44	1,667.88	20070402	20350101
31406DG67	FNMA POOL # 806721	4	1	143,770.34	153,460.05	144,900.59	143,883.20	9,576.85		117.52		—	—	3.1740	3.3192	Monthly	383.26	2,440.06	20070402	20341101
31406GLK3	FNMA POOL # 809530	4	1	24,031.01	25,833.61	24,201.21	24,049.65	1,783.96		21.11		—	—	3.1790	3.2987	Monthly	64.11	392.22	20060928	20350201
31406MYP5	FNMA POOL # 814418	4	1	51,368.95	54,188.15	51,827.61	51,413.34	2,774.81		91.40		—	—	3.1100	3.2848	Monthly	134.32	827.81	20070402	20350301
31406PKU2	FNMA POOL # 815807	4	1	99,912.38	103,942.13	100,865.86	100,020.08	3,922.05		318.47		—	—	3.1530	3.3333	Monthly	265.03	1,898.62	20060928	20350201
31406TLC3	FNMA POOL # 819423	4	1	142,394.01	148,809.85	143,665.49	142,493.59	6,316.26		237.33		—	—	3.5600	3.7551	Monthly	426.21	2,696.62	20070402	20350401
31406TTE1	FNMA POOL # 819649	4	1	1,065,464.07	1,076,662.45	1,030,055.89	1,061,161.71	15,500.74		(7,592.38	)	—	—	3.2280	2.4508	Monthly	2,770.85	16,569.93	20091204	20350301
31406VHE9	FNMA POOL # 821129	4	1	65,482.44	68,861.63	66,067.14	65,519.73	3,341.90		88.64		—	—	3.3750	3.6062	Monthly	185.81	1,092.44	20070402	20350501
31407D5R2	FNMA POOL # 828056	4	1	314,221.18	324,171.21	308,956.75	313,559.31	10,611.90		(262.90	)	—	—	3.5180	3.1591	Monthly	905.75	4,748.07	20080131	20350601
31407E6W8	FNMA POOL # 828985	4	1	171,918.40	188,893.38	177,837.03	172,389.56	16,503.82		363.61		—	—	2.8480	3.9067	Monthly	422.07	2,416.47	20060316	20350801
31407GC22	FNMA POOL # 829989	4	1	316,711.27	341,907.93	319,721.15	316,976.00	24,931.93		455.37		—	—	3.4770	3.6820	Monthly	926.39	5,767.31	20060120	20350401
31408C6D3	FNMA POOL # 847868	4	1	419,466.46	443,777.28	423,971.15	419,983.21	23,794.07		85.30		—	—	2.7880	2.9856	Monthly	985.03	5,979.47	20060512	20351101
31409UBQ7	FNMA POOL # 878547	4	1	320,213.48	346,275.10	322,798.38	320,391.40	25,883.70		369.73		—	—	3.4870	3.6680	Monthly	938.00	5,719.66	20060504	20360301
31410FU60	FNMA POOL # 888105	4	1	29,824.94	30,405.91	30,069.24	29,901.44	504.47		143.71		—	—	5.0000	5.2403	Monthly	125.29	1,094.19	20071214	20200801
31410GAG8	FNMA POOL # 888407	4	1	3,030,313.68	3,004,761.30	2,739,653.55	3,020,375.18	(15,613.88	)	(41,507.35	)	—	—	5.0000	2.7752	Monthly	11,415.22	73,340.77	20151221	20360901
31410GC35	FNMA POOL # 888490	4	1	87,403.65	91,309.27	87,601.65	87,405.44	3,903.83		21.63		—	—	3.1450	3.1692	Monthly	229.59	1,351.56	20070618	20350501
31410GC50	FNMA POOL # 888492	4	1	53,775.73	56,658.25	53,673.58	53,737.90	2,920.35		(10.68	)	—	—	3.0600	3.0030	Monthly	136.87	825.36	20070618	20330501
31410GDC4	FNMA POOL # 888499	4	1	389,011.23	409,101.56	391,196.90	389,233.34	19,868.22		131.04		—	—	3.0320	3.1265	Monthly	988.42	5,721.87	20070618	20330801
31410GDF7	FNMA POOL # 888502	4	1	44,019.88	47,255.74	44,592.07	44,105.43	3,150.31		47.34		—	—	2.7680	3.0004	Monthly	102.86	627.57	20070618	20330601
31410GDL4	FNMA POOL # 888507	4	1	180,385.24	190,318.13	183,542.87	180,717.10	9,601.03		271.62		—	—	2.8810	3.2684	Monthly	440.66	2,803.97	20070618	20350201
31410GDM2	FNMA POOL # 888508	4	1	261,672.75	280,723.01	265,331.19	262,053.29	18,669.72		228.68		—	—	3.3090	3.6222	Monthly	731.65	4,313.14	20070618	20340301
31410GDQ3	FNMA POOL # 888511	4	1	29,681.74	31,318.09	29,951.36	29,707.26	1,610.83		43.39		—	—	3.1700	3.3677	Monthly	79.12	517.13	20070618	20331201

31410GDS9	FNMA POOL # 888513	4	1	54,916.39	58,925.59	55,203.95	54,939.08	3,986.51		10.85		—	—	3.0270	3.1241	Monthly	139.25	850.92	20070618	20340201
31410GDX8	FNMA POOL # 888518	4	1	61,590.86	64,645.86	61,788.72	61,597.88	3,047.98		25.14		—	—	3.3640	3.4103	Monthly	173.21	1,065.79	20070618	20350401
31410GDY6	FNMA POOL # 888519	4	1	27,123.87	29,339.33	27,589.62	27,169.61	2,169.72		70.87		—	—	3.1990	3.5946	Monthly	73.55	492.70	20070618	20350101
31410GDZ3	FNMA POOL # 888520	4	1	345,602.44	359,845.63	347,805.19	345,837.14	14,008.49		421.97		—	—	3.2280	3.3374	Monthly	935.60	5,557.91	20070618	20330701
31410GD83	FNMA POOL # 888527	4	1	10,372.48	11,275.84	10,567.86	10,395.35	880.49		28.31		—	—	3.0640	3.4728	Monthly	26.98	166.84	20070618	20340401
31410GPR8	FNMA POOL # 888832	4	1	893,971.28	962,902.71	859,716.96	890,620.73	72,281.98		(4,929.54	)	—	—	6.5000	5.5401	Monthly	4,656.80	30,498.72	20080125	20371101
31410G4F7	FNMA POOL # 889222	4	1	519,030.58	514,872.19	469,445.42	517,218.50	(2,346.31	)	(7,436.18	)	—	—	5.0000	2.7779	Monthly	1,956.02	12,637.92	20160104	20361201
31410LK84	FNMA POOL # 890519	4	1	644,143.33	658,032.82	588,216.77	641,779.15	16,253.67		(8,755.32	)	—	—	6.0000	3.7120	Monthly	2,941.08	19,283.82	20131023	20401001
31411DA33	FNMA POOL # 904626	4	1	291,686.08	306,278.07	290,302.60	291,468.53	14,809.54		(93.90	)	—	—	3.3550	3.2143	Monthly	811.64	5,220.00	20061213	20361201
31411GUY6	FNMA POOL # 907899	4	1	777,547.71	802,556.02	771,161.53	776,648.41	25,907.61		(1,350.63	)	—	—	2.8890	2.6810	Monthly	1,856.57	13,051.09	20061214	20370101
31411KCZ4	FNMA POOL # 910088	4	1	854,535.63	960,488.74	846,598.77	853,513.16	106,975.58		(635.34	)	—	—	6.0000	5.7536	Monthly	4,232.99	26,293.86	20070329	20370301
31411LEA5	FNMA POOL # 911029	4	1	43,526.66	42,114.12	41,062.88	42,354.38	(240.26	)	(529.55	)	—	—	5.5000	3.7684	Monthly	188.20	1,377.34	20090929	20220701
31411WPJ0	FNMA POOL # 916725	4	1	563,124.69	556,616.28	532,191.07	561,144.77	(4,528.49	)	(2,369.16	)	—	—	3.0320	1.4100	Monthly	1,344.67	8,140.36	20120214	20361001
31412LMG2	FNMA POOL # 928359	4	1	43,710.87	42,292.36	41,236.67	42,505.54	(213.18	)	(355.07	)	—	—	5.5000	3.7600	Monthly	189.00	1,277.14	20090929	20220501
31412LQN3	FNMA POOL # 928461	4	1	103,584.83	100,225.16	97,723.38	100,822.04	(596.88	)	(688.08	)	—	—	5.5000	3.7035	Monthly	447.90	2,887.86	20090929	20220601
31412LVF4	FNMA POOL # 928614	4	1	552,317.11	533,057.40	519,751.42	537,577.04	(4,519.64	)	(5,898.00	)	—	—	5.5000	3.6022	Monthly	2,382.19	16,474.14	20091021	20220801
31412SRH0	FNMA POOL # 933488	4	1	168,569.97	165,993.80	160,590.62	165,151.42	842.38		(1,195.81	)	—	—	5.0000	3.5471	Monthly	669.13	4,449.80	20090929	20230301
31414ARA2	FNMA POOL # 960481	4	1	336,101.37	331,662.62	320,191.84	329,074.43	2,588.19		(2,763.38	)	—	—	5.0000	3.5273	Monthly	1,334.13	9,116.80	20090929	20221201
31414CRJ9	FNMA POOL # 962289	4	1	421,209.87	414,772.75	401,271.69	412,619.70	2,153.05		(3,538.62	)	—	—	5.0000	3.5594	Monthly	1,671.97	11,152.18	20090929	20230301
31414GD22	FNMA POOL # 965521	4	1	32,482.39	31,428.27	30,643.77	31,672.09	(243.82	)	(367.57	)	—	—	5.5000	3.7394	Monthly	140.45	970.67	20090929	20221201
31414NB45	FNMA POOL # 970859	4	1	437,932.40	430,598.74	416,582.53	429,356.04	1,242.70		(3,652.80	)	—	—	5.0000	3.6200	Monthly	1,735.76	11,637.05	20091021	20231201
31414RB79	FNMA POOL # 973562	4	1	430,076.15	422,448.04	405,732.23	419,767.54	2,680.50		(3,092.42	)	—	—	5.5000	3.7392	Monthly	1,859.61	11,973.29	20090929	20230301
31415MDG7	FNMA POOL # 984003	4	1	771,959.00	884,626.39	795,193.57	773,648.84	110,977.55		2,218.79		—	—	5.5000	6.1669	Monthly	3,644.64	23,712.56	20080725	20380601
31415MFS9	FNMA POOL # 984077	4	1	291,096.81	286,648.13	277,317.59	285,177.57	1,470.56		(2,194.53	)	—	—	5.0000	3.6344	Monthly	1,155.49	7,670.45	20090929	20230601
31416BLV8	FNMA POOL # 995040	4	1	196,069.77	192,786.36	186,511.07	192,001.61	784.75		(1,545.86	)	—	—	5.0000	3.5842	Monthly	777.13	5,210.92	20091021	20230601
31416BSE9	FNMA POOL # 995217	4	1	402,591.56	389,192.40	379,477.52	393,633.10	(4,440.70	)	(4,031.44	)	—	—	5.5000	3.7384	Monthly	1,739.28	11,629.98	20090929	20231201
31416BSX7	FNMA POOL # 995234	4	1	145,067.19	136,616.02	135,103.32	138,812.65	(2,196.63	)	(5,482.00	)	—	—	5.0000	1.6034	Monthly	562.93	5,455.04	20111110	20190701
31416B4M7	FNMA POOL # 995528	4	1	400,066.37	394,730.30	385,084.17	392,147.33	2,582.97		(3,210.26	)	—	—	5.0000	3.8203	Monthly	1,604.52	11,123.80	20090320	20211201
31416B4N5	FNMA POOL # 995529	4	1	865,079.78	854,514.52	833,184.45	850,017.90	4,496.62		(5,011.23	)	—	—	5.5000	4.3760	Monthly	3,818.77	25,599.01	20090227	20221101
31416B4P0	FNMA POOL # 995530	4	1	429,334.12	423,611.42	411,707.87	420,258.50	3,352.92		(2,457.85	)	—	—	5.5000	4.1444	Monthly	1,886.99	12,604.23	20090320	20211201
31416B7J1	FNMA POOL # 995597	4	1	48,881.23	47,294.92	46,114.36	47,834.90	(539.98	)	(483.29	)	—	—	5.5000	3.8382	Monthly	211.36	1,413.16	20090929	20240301
31416CME3	FNMA POOL # 995957	4	1	951,631.76	934,827.27	904,398.17	934,047.31	779.96		(7,428.19	)	—	—	5.0000	3.5932	Monthly	3,768.33	24,696.93	20090928	20240601
31416MZC1	FNMA POOL # AA4338	4	1	884,825.48	886,395.23	822,376.28	880,042.43	6,352.80		(8,995.75	)	—	—	4.5000	3.2504	Monthly	3,083.91	20,142.78	20130321	20390401
31416PM61	FNMA POOL # AA5780	4	1	1,116,268.88	1,107,951.67	1,027,931.04	1,113,482.53	(5,530.86	)	(17,037.89	)	—	—	4.5000	2.8028	Monthly	3,854.74	25,422.82	20160122	20390401

31416TL49	FNMA POOL # AA9346	4	1	3,716,112.09	3,984,628.82	3,676,556.42	3,710,814.19	273,814.63		(4,968.12	)	—	—	4.5000	4.3152	Monthly	13,787.09	87,724.83	20100202	20390801
31417AP60	FNMA POOL # AB4044	4	1	3,377,424.86	3,393,357.73	3,279,053.24	3,371,344.60	22,013.13		(7,384.39	)	—	—	3.5000	3.0782	Monthly	9,563.91	59,577.97	20140627	20411201
31417CS30	FNMA POOL # AB5937	4	1	380,932.56	374,643.29	364,256.44	380,124.63	(5,481.34	)	(1,241.67	)	—	—	3.5000	2.8731	Monthly	1,062.41	6,583.91	20150219	20420801
31417C7C3	FNMA POOL # AB6290	4	1	3,379,701.17	3,332,840.78	3,240,948.08	3,367,702.71	(34,861.93	)	(20,264.51	)	—	—	3.0000	1.8887	Monthly	8,102.37	51,721.90	20160307	20270901
31417EJA0	FNMA POOL # AB7456	4	1	198,078.26	190,898.10	189,209.08	197,896.78	(6,998.68	)	(471.29	)	—	—	3.0000	2.3508	Monthly	473.02	2,906.67	20160908	20430101
31417EWF4	FNMA POOL # AB7845	4	1	99,816.29	96,236.75	95,503.70	99,715.20	(3,478.45	)	(268.97	)	—	—	3.0000	2.3730	Monthly	238.76	1,479.03	20160628	20430201
31417FQC5	FNMA POOL # AB8550	4	1	1,424,846.96	1,391,972.20	1,376,923.55	1,414,644.06	(22,671.86	)	(4,773.60	)	—	—	2.5000	1.7687	Monthly	2,868.59	18,083.64	20130313	20280301
31417FX94	FNMA POOL # AB8803	4	1	13,006.46	12,614.28	12,268.46	12,857.44	(243.16	)	(52.88	)	—	—	3.0000	1.7209	Monthly	30.67	188.59	20130429	20280301
31417F2Y3	FNMA POOL # AB8890	4	1	14,783.17	14,337.40	13,944.34	14,613.56	(276.16	)	(92.84	)	—	—	3.0000	1.7385	Monthly	34.86	220.93	20130429	20280401
31417G5T9	FNMA POOL # AB9857	4	1	8,491,074.90	8,528,419.54	8,476,505.93	8,490,115.15	38,304.39		(994.29	)	—	—	3.0000	2.9681	Monthly	21,191.27	130,982.12	20151215	20430701
31417G5V4	FNMA POOL # AB9859	4	1	67,691.02	65,263.52	64,766.40	67,623.21	(2,359.69	)	(118.11	)	—	—	3.0000	2.3894	Monthly	161.92	986.85	20160628	20430701
31417WKV2	FNMA POOL # AC9307	4	1	724,896.27	721,260.47	669,650.12	723,225.30	(1,964.83	)	(8,596.80	)	—	—	4.5000	3.1479	Monthly	2,511.19	15,757.24	20160104	20410901
31419ALC9	FNMA POOL # AE0322	4	1	290,039.07	272,207.76	267,471.20	280,689.40	(8,481.64	)	(6,947.72	)	—	—	5.0000	1.5975	Monthly	1,114.46	8,236.90	20130226	20210501
31419BBT1	FNMA POOL # AE0949	4	1	1,861,299.84	1,854,106.45	1,755,684.46	1,852,656.02	1,450.43		(12,117.92	)	—	—	4.0000	3.0419	Monthly	5,852.28	36,835.05	20120502	20410201
3138A7Q76	FNMA POOL # AH5877	4	1	367,045.86	363,987.60	342,433.44	361,964.84	2,022.76		(3,780.05	)	—	—	4.0000	2.0773	Monthly	1,141.45	7,312.87	20131217	20260201
3138A9YZ1	FNMA POOL # AH7927	4	1	901,586.48	906,952.77	870,966.53	893,207.74	13,745.03		(4,341.67	)	—	—	3.5000	2.6348	Monthly	2,540.32	16,098.13	20110803	20260801
3138AP6W3	FNMA POOL # AI9884	4	1	2,119,015.15	2,102,644.27	1,953,290.66	2,112,285.48	(9,641.21	)	(20,625.50	)	—	—	4.5000	2.8967	Monthly	7,324.84	46,334.23	20140815	20410901
3138ECD91	FNMA POOL # AK7327	4	1	2,426,221.99	2,397,995.73	2,271,477.57	2,419,153.13	(21,157.40	)	(17,582.08	)	—	—	4.0000	2.8249	Monthly	7,571.59	48,453.84	20151201	20370301
3138EGHT4	FNMA POOL # AL0241	4	1	2,687,249.59	2,653,089.41	2,518,251.33	2,673,737.79	(20,648.38	)	(8,379.71	)	—	—	4.0000	3.0115	Monthly	8,394.17	51,508.04	20130227	20410401
3138EJPG7	FNMA POOL # AL2222	4	1	479,080.11	464,914.20	452,095.64	472,701.30	(7,787.10	)	(3,348.49	)	—	—	3.0000	1.7220	Monthly	1,130.24	7,244.46	20120807	20270801
3138EJRA8	FNMA POOL # AL2280	4	1	1,653,816.85	1,650,883.54	1,532,753.29	1,649,220.60	1,662.94		(20,460.69	)	—	—	4.5000	3.0263	Monthly	5,747.82	37,444.32	20140915	20420901
3138EJ3G1	FNMA POOL # AL2598	4	1	870,944.94	851,861.74	809,122.91	869,741.88	(17,880.14	)	(5,471.13	)	—	—	4.0000	2.5511	Monthly	2,697.08	17,048.20	20160613	20421001
3138EKVP7	FNMA POOL # AL3321	4	1	3,367,268.39	3,365,977.03	3,273,164.89	3,362,414.22	3,562.81		(9,195.69	)	—	—	3.5000	3.0552	Monthly	9,546.73	60,483.54	20140627	20430201
3138ELZ63	FNMA POOL # AL4364	4	1	937,452.03	917,936.61	886,348.49	936,245.11	(18,308.50	)	(6,406.33	)	—	—	3.4980	1.5233	Monthly	2,583.71	16,716.95	20140210	20420901
3138EMCW9	FNMA POOL # AL4584	4	1	172,998.70	166,038.00	161,116.39	170,903.93	(4,865.93	)	(2,251.20	)	—	—	4.5000	2.5243	Monthly	604.19	3,995.36	20131212	20270101
3138EMFX4	FNMA POOL # AL4681	4	1	788,268.30	763,500.08	737,992.56	787,325.36	(23,825.28	)	(3,328.00	)	—	—	3.5000	2.5469	Monthly	2,152.47	13,385.48	20160908	20431201
3138ENXH7	FNMA POOL # AL6079	4	1	4,006,987.80	3,923,397.17	3,784,081.70	3,997,410.29	(74,013.12	)	(15,664.06	)	—	—	3.5000	2.7093	Monthly	11,036.91	68,399.19	20150112	20441101
3138EN7C7	FNMA POOL # AL6290	4	1	7,361,931.37	7,296,428.45	6,971,938.56	7,324,577.46	(28,149.01	)	(55,813.46	)	—	—	3.5000	2.0760	Monthly	20,334.82	130,267.77	20151202	20271201
3138EP4F8	FNMA POOL # AL7121	4	1	4,348,222.41	4,256,835.53	4,239,583.10	4,345,173.23	(88,337.70	)	(6,787.08	)	—	—	3.0000	2.6542	Monthly	10,598.96	65,531.99	20160330	20440101
3138EQD41	FNMA POOL # AL7322	4	1	159,570.52	158,579.54	154,477.60	159,207.26	(627.72	)	(1,310.48	)	—	—	3.0000	2.2549	Monthly	386.19	6,075.75	20160104	20300601
3138EQJ78	FNMA POOL # AL7485	4	1	6,771,879.42	6,671,185.53	6,366,044.10	6,740,483.20	(69,297.67	)	(74,270.09	)	—	—	4.0000	2.3671	Monthly	21,220.14	139,198.21	20151202	20290401
3138EQRF1	FNMA POOL # AL7685	4	1	6,851,312.00	6,763,676.50	6,195,851.32	6,845,308.88	(81,632.38	)	(24,974.17	)	—	—	4.5000	2.9100	Monthly	23,234.45	44,408.62	20161027	20450801
3138ETXE1	FNMA POOL # AL8776	4	1	4,809,847.45	4,799,185.93	4,669,754.80	4,808,320.12	(9,134.19	)	(8,779.95	)	—	—	3.5000	2.9970	Monthly	13,620.12	84,291.62	20161118	20460701
3138ERDM9	FNMA POOL # AL9107	4	1	6,615,703.75	6,593,765.64	6,145,211.02	6,613,370.69	(19,605.05	)	(10,717.33	)	—	—	4.5000	3.8817	Monthly	23,044.54	15,636.81	20170505	20460301

3138ESC89	FNMA POOL # AL9994	4	1	978,031.20	980,440.30	973,316.69	977,966.26	2,474.04		(103.28	)	—	—	2.5000	2.4211	Monthly	2,027.74	1,022.11	20170504	20320401
3138LURE7	FNMA POOL # AO4084	4	1	756,439.47	741,854.90	712,152.50	746,480.90	(4,626.00	)	(6,531.50	)	—	—	3.5000	2.1276	Monthly	2,077.11	13,698.75	20130124	20270501
3138LYPM3	FNMA POOL # AO7627	4	1	847,623.12	839,897.67	816,740.11	842,530.71	(2,633.04	)	(3,320.43	)	—	—	3.0000	2.0844	Monthly	2,041.85	12,738.60	20140815	20270601
3138M0AK6	FNMA POOL # AO8109	4	1	7,299,680.05	7,255,920.98	7,030,542.12	7,290,548.14	(34,627.16	)	(12,821.62	)	—	—	3.5000	2.9065	Monthly	20,505.76	126,130.25	20151105	20420801
3138M8DS9	FNMA POOL # AP4612	4	1	2,015,310.02	1,986,889.75	1,886,773.59	2,011,096.91	(24,207.16	)	(4,194.58	)	—	—	4.0000	2.9580	Monthly	6,289.25	38,251.20	20151201	20420701
3138MFFQ5	FNMA POOL # AQ0174	4	1	59,622.61	57,555.83	57,046.59	59,563.12	(2,007.29	)	(123.38	)	—	—	3.0000	2.3446	Monthly	142.62	876.13	20160628	20421101
3138MLTD6	FNMA POOL # AQ5047	4	1	61,544.78	59,411.38	58,885.72	61,483.14	(2,071.76	)	(137.42	)	—	—	3.0000	2.3549	Monthly	147.21	903.40	20160628	20421201
3138MRLL3	FNMA POOL # AQ9330	4	1	1,652,995.61	1,616,689.05	1,566,472.47	1,647,381.60	(30,692.55	)	(8,238.81	)	—	—	3.5000	2.6849	Monthly	4,568.88	28,538.36	20130225	20430101
3138NXER4	FNMA POOL # AR1043	4	1	136,227.48	130,890.45	130,341.73	136,094.87	(5,204.42	)	(417.17	)	—	—	3.0000	2.3377	Monthly	325.85	2,037.30	20160628	20430201
3138NXH75	FNMA POOL # AR1153	4	1	97,668.94	94,283.33	93,449.13	97,570.46	(3,287.13	)	(229.79	)	—	—	3.0000	2.3632	Monthly	233.62	1,438.56	20160628	20430101
3138W4AB7	FNMA POOL # AR6301	4	1	13,335.79	12,933.63	12,579.05	13,183.59	(249.96	)	(91.38	)	—	—	3.0000	1.7153	Monthly	31.45	199.07	20130429	20280301
3138W5LP1	FNMA POOL # AR7533	4	1	201,348.43	194,127.83	192,649.13	201,149.86	(7,022.03	)	(711.59	)	—	—	3.0000	2.3554	Monthly	481.62	3,032.64	20160628	20430301
3138W9AS9	FNMA POOL # AS0016	4	1	3,942,039.17	3,956,226.29	3,940,192.19	3,941,722.12	14,504.17		(208.37	)	—	—	3.0000	2.9855	Monthly	9,850.49	61,062.00	20151112	20430701
3138W9A26	FNMA POOL # AS0024	4	1	2,773,735.52	2,772,297.89	2,688,053.80	2,771,390.70	907.19		(5,809.25	)	—	—	3.5000	3.0331	Monthly	7,840.16	48,616.48	20151222	20430701
3138W9GM6	FNMA POOL # AS0203	4	1	1,128,495.73	1,112,632.89	1,105,860.15	1,127,403.96	(14,771.07	)	(1,542.91	)	—	—	3.0000	2.7312	Monthly	2,764.65	21,637.28	20150316	20430801
3138W9KP4	FNMA POOL # AS0301	4	1	2,996,618.56	3,002,245.51	2,990,077.78	2,996,261.13	5,984.38		(455.58	)	—	—	3.0000	2.9639	Monthly	7,475.19	46,008.69	20151222	20430801
3138W9LM0	FNMA POOL # AS0331	4	1	1,739,561.35	1,769,869.82	1,762,696.75	1,740,596.41	29,273.41		1,534.62		—	—	3.0000	3.1619	Monthly	4,406.74	27,254.77	20140909	20430801
3138W9VQ0	FNMA POOL # AS0622	4	1	1,255,721.00	1,240,901.52	1,205,974.53	1,246,995.67	(6,094.15	)	(6,559.29	)	—	—	3.0000	2.1153	Monthly	3,014.93	19,377.76	20131023	20281001
3138WAJB4	FNMA POOL # AS1157	4	1	3,027,422.56	3,008,859.92	2,926,371.31	3,010,561.48	(1,701.56	)	(13,536.95	)	—	—	3.0000	2.1932	Monthly	7,315.92	46,072.32	20131126	20281101
3138WAWT0	FNMA POOL # AS1557	4	1	3,176,833.86	3,170,692.46	2,992,601.80	3,168,315.50	2,376.96		(20,167.26	)	—	—	4.0000	3.0644	Monthly	9,975.34	63,133.16	20140627	20440101
3138WCAD5	FNMA POOL # AS2703	4	1	3,116,604.03	3,105,824.45	2,936,297.05	3,108,715.94	(2,891.49	)	(20,510.17	)	—	—	4.0000	3.0441	Monthly	9,787.66	62,367.39	20140627	20440601
3138WCAV5	FNMA POOL # AS2719	4	1	4,555,312.68	4,528,557.23	4,281,371.81	4,544,006.70	(15,449.47	)	(28,105.91	)	—	—	4.0000	3.0141	Monthly	14,271.24	90,323.75	20140815	20440601
3138WCFK4	FNMA POOL # AS2869	4	1	660,860.77	658,294.60	639,768.41	657,980.99	313.61		(2,100.02	)	—	—	3.0000	2.2866	Monthly	1,599.42	10,076.21	20140912	20290701
3138WCPT4	FNMA POOL # AS3133	4	1	2,999,179.06	3,008,949.85	2,914,477.09	2,995,019.46	13,930.39		(7,697.47	)	—	—	3.5000	3.0983	Monthly	8,500.56	53,162.57	20140813	20440801
3138WCZ63	FNMA POOL # AS3464	4	1	1,737,579.73	1,712,795.77	1,662,507.15	1,728,514.91	(15,719.14	)	(7,916.46	)	—	—	3.0000	2.0393	Monthly	4,156.27	26,244.73	20141124	20291001
3138WDKR1	FNMA POOL # AS3903	4	1	2,032,349.51	1,998,247.58	1,898,837.49	2,028,574.96	(30,327.38	)	(18,340.74	)	—	—	4.0000	2.6750	Monthly	6,329.46	40,510.90	20150413	20441101
3138WDUJ8	FNMA POOL # AS4184	4	1	2,734,055.78	2,716,534.11	2,580,819.60	2,731,498.26	(14,964.15	)	(26,673.15	)	—	—	4.0000	2.6334	Monthly	8,602.73	66,907.60	20151217	20450101
3138WD2K6	FNMA POOL # AS4377	4	1	3,551,938.71	3,464,140.74	3,263,166.98	3,547,383.57	(83,242.83	)	(26,108.57	)	—	—	4.0000	2.6797	Monthly	10,877.22	68,646.39	20160921	20450201
3138WD3H2	FNMA POOL # AS4399	4	1	351,385.09	344,711.15	344,336.84	351,111.89	(6,400.74	)	(441.98	)	—	—	3.0000	2.6894	Monthly	860.84	5,320.09	20150211	20450201
3138WD4J7	FNMA POOL # AS4424	4	1	1,209,950.20	1,201,431.26	1,140,117.96	1,208,367.85	(6,936.59	)	(11,783.80	)	—	—	4.0000	2.5771	Monthly	3,800.40	24,704.35	20151209	20450201
3138WEF79	FNMA POOL # AS4689	4	1	2,434,862.63	2,420,101.25	2,403,319.07	2,432,025.49	(11,924.24	)	(3,341.47	)	—	—	2.5000	2.2036	Monthly	5,006.92	31,575.13	20151106	20300301
3138WEKK4	FNMA POOL # AS4797	4	1	3,666,557.04	3,577,859.02	3,481,338.93	3,659,902.40	(82,043.38	)	(14,302.56	)	—	—	3.5000	2.7267	Monthly	10,153.91	63,242.22	20150410	20450401
3138WEW88	FNMA POOL # AS5170	4	1	2,206,908.31	2,194,697.96	2,180,671.74	2,206,024.39	(11,326.43	)	(1,256.89	)	—	—	3.0000	2.8254	Monthly	5,451.68	33,606.15	20151103	20450601
3138WE3P2	FNMA POOL # AS5305	4	1	3,072,971.28	3,048,189.23	2,969,054.37	3,064,619.02	(16,429.79	)	(11,136.45	)	—	—	3.0000	2.2426	Monthly	7,422.64	46,706.76	20151112	20300701

3138WFHF6	FNMA POOL # AS5629	4	1	10,783,207.54	10,673,574.58	10,385,633.00	10,782,151.15	(108,576.57	)	(1,056.39	)	—	—	3.5000	3.1942	Monthly	30,291.43	(12,116.57	)	20170607	20450801
3138WFPA8	FNMA POOL # AS5816	4	1	1,861,438.49	1,830,720.06	1,779,950.70	1,859,139.16	(28,419.10	)	(6,437.94	)	—	—	3.5000	2.8248	Monthly	5,191.52	32,368.69		20151021	20450901
3138WFRN8	FNMA POOL # AS5892	4	1	9,586,392.37	9,588,491.48	9,329,822.25	9,584,936.49	3,554.99		(3,707.34	)	—	—	3.5000	3.2820	Monthly	27,211.98	18,300.51		20170503	20451001
3138WFU79	FNMA POOL # AS6005	4	1	2,692,410.81	2,648,963.93	2,563,628.32	2,689,880.36	(40,916.43	)	(3,741.80	)	—	—	3.5000	2.8110	Monthly	7,477.25	45,219.61		20160329	20451001
3138WFX68	FNMA POOL # AS6100	4	1	2,981,544.15	2,972,576.66	2,878,980.44	2,979,409.17	(6,832.51	)	(6,993.10	)	—	—	3.5000	3.0089	Monthly	8,397.03	52,160.43		20151228	20451101
3138WFYQ3	FNMA POOL # AS6118	4	1	2,056,214.62	2,036,855.46	1,983,387.16	2,050,803.38	(13,947.92	)	(7,207.01	)	—	—	3.0000	2.2083	Monthly	4,958.46	31,322.64		20151211	20301101
3138WFZU3	FNMA POOL # AS6154	4	1	8,234,394.57	8,146,289.03	7,935,570.75	8,211,924.04	(65,635.01	)	(29,188.80	)	—	—	3.0000	2.2004	Monthly	19,838.93	124,636.13		20151202	20301101
3138WF6E1	FNMA POOL # AS6268	4	1	2,068,005.77	2,065,022.82	2,050,067.70	2,066,617.52	(1,594.70	)	(1,625.50	)	—	—	2.5000	2.2983	Monthly	4,270.97	26,536.65		20151223	20301201
3138WGDX9	FNMA POOL # AS6417	4	1	5,105,603.90	5,026,753.80	4,896,727.86	5,091,494.99	(64,741.19	)	(22,872.56	)	—	—	3.0000	2.1008	Monthly	12,241.82	77,710.00		20160128	20301201
3138WGUC6	FNMA POOL # AS6878	4	1	918,437.66	902,939.32	877,968.78	916,159.87	(13,220.55	)	(3,393.15	)	—	—	3.0000	2.0351	Monthly	2,194.92	18,363.02		20160324	20310301
3138WGYN8	FNMA POOL # AS7016	4	1	6,633,566.82	6,474,188.80	6,296,600.32	6,629,326.41	(155,137.61	)	(20,972.77	)	—	—	3.5000	2.5428	Monthly	18,365.09	113,455.27		20161013	20460401
3138WGZP2	FNMA POOL # AS7049	4	1	454,344.58	443,626.49	441,077.78	453,530.36	(9,903.87	)	(1,001.03	)	—	—	2.5000	1.8933	Monthly	918.91	5,705.30		20160412	20310401
3138WG6K5	FNMA POOL # AS7173	4	1	9,780,826.15	9,543,863.27	9,286,397.98	9,773,528.45	(229,665.18	)	(25,308.65	)	—	—	3.5000	2.6007	Monthly	27,085.32	167,589.79		20161011	20460501
3138WHGL0	FNMA POOL # AS7402	4	1	3,955,029.59	3,875,446.58	3,681,505.25	3,951,692.06	(76,245.48	)	(20,305.63	)	—	—	4.0000	2.7602	Monthly	12,271.69	76,214.45		20160623	20460601
3138WMPS4	FNMA POOL # AT0432	4	1	3,604,431.13	3,619,381.68	3,604,712.76	3,604,201.70	15,179.98		(49.74	)	—	—	3.0000	2.9925	Monthly	9,011.78	55,415.62		20151112	20430301
3138WNBH1	FNMA POOL # AT0939	4	1	87,258.22	84,129.02	83,488.20	87,174.12	(3,045.10	)	(401.95	)	—	—	3.0000	2.3382	Monthly	208.72	1,327.79		20160628	20430401
3138WNBL2	FNMA POOL # AT0942	4	1	3,840,853.12	3,858,347.42	3,834,861.16	3,840,316.87	18,030.55		(420.28	)	—	—	3.0000	2.9678	Monthly	9,587.15	58,983.37		20150608	20430401
3138WPLC6	FNMA POOL # AT2122	4	1	10,154.99	9,848.77	9,578.76	10,041.10	(192.33	)	(47.34	)	—	—	3.0000	1.6904	Monthly	23.95	148.80		20130429	20280301
3138WQAV4	FNMA POOL # AT2719	4	1	8,159,960.37	8,202,087.65	8,139,611.34	8,158,872.14	43,215.51		(1,566.14	)	—	—	3.0000	2.9553	Monthly	20,349.03	126,530.92		20151215	20430501
3138WQAW2	FNMA POOL # AT2720	4	1	217,656.26	215,107.23	213,797.84	217,472.02	(2,364.79	)	(309.68	)	—	—	3.0000	2.7479	Monthly	534.49	3,345.91		20150311	20430501
3138WZTZ5	FNMA POOL # AU0567	4	1	1,699,343.91	1,694,781.86	1,639,156.15	1,697,522.74	(2,740.88	)	(3,743.41	)	—	—	3.5000	2.9901	Monthly	4,780.87	29,396.05		20151217	20430801
3138X3EG3	FNMA POOL # AU3734	4	1	112,392.01	108,361.50	107,536.10	112,280.18	(3,918.68	)	(397.69	)	—	—	3.0000	2.3886	Monthly	268.84	1,680.52		20160628	20430801
3138X3EP3	FNMA POOL # AU3741	4	1	3,597,717.10	3,614,205.15	3,495,580.61	3,591,909.76	22,295.39		(7,996.18	)	—	—	3.5000	3.1060	Monthly	10,195.45	63,659.22		20140627	20430801
3138X3XM9	FNMA POOL # AU4283	4	1	886,240.00	868,802.45	840,286.83	884,859.25	(16,056.80	)	(5,095.48	)	—	—	3.5000	2.7683	Monthly	2,450.84	24,235.00		20160330	20430901
3138X4HN3	FNMA POOL # AU4736	4	1	1,250,493.38	1,246,458.51	1,236,964.08	1,249,793.05	(3,334.54	)	(537.74	)	—	—	3.0000	2.8466	Monthly	3,092.41	23,787.98		20150306	20430901
3138X6NW1	FNMA POOL # AU6704	4		304,385.82	308,723.87	290,583.13	304,237.15	4,486.72		(518.60	)	—	—	4.0000	3.1831	Monthly	968.61	2,551.64		20170309	20431001
3138X9U23	FNMA POOL # AU9600	4	1	1,171,969.47	1,158,839.20	1,124,865.73	1,163,993.40	(5,154.20	)	(5,341.34	)	—	—	3.0000	2.0684	Monthly	2,812.16	17,703.88		20131023	20281001
3138XSFZ5	FNMA POOL # AW2883	4	1	3,427,429.90	3,440,425.63	3,242,985.10	3,419,091.35	21,334.28		(20,389.57	)	—	—	4.0000	3.1028	Monthly	10,809.95	68,553.19		20140605	20440401
3138XYQJ6	FNMA POOL # AW8556	4	1	3,800,296.47	3,820,229.82	3,684,577.70	3,794,674.86	25,554.96		(10,110.48	)	—	—	3.5000	3.0651	Monthly	10,746.68	67,653.16		20140813	20440801
3138Y17A7	FNMA POOL # AX0888	4	1	804,776.74	795,565.00	755,215.73	803,234.57	(7,669.57	)	(6,599.57	)	—	—	4.0000	2.9966	Monthly	2,517.39	16,240.69		20150804	20441001
3138Y6YG3	FNMA POOL # AX5210	4	1	1,671,584.56	1,658,910.30	1,553,607.49	1,667,389.36	(8,479.06	)	(11,795.51	)	—	—	4.0000	2.8735	Monthly	5,178.69	41,482.71		20150317	20441001
3138Y7HK1	FNMA POOL # AX5633	4	1	158,924.52	159,098.40	154,447.93	158,870.84	227.56		(804.47	)	—	—	2.9300	1.9243	Monthly	377.11	2,581.14		20160120	20451001
3138Y7HZ8	FNMA POOL # AX5647	4	1	408,148.55	400,949.97	397,527.13	408,015.48	(7,065.51	)	(595.69	)	—	—	2.9100	2.0971	Monthly	964.00	6,028.96		20160120	20451101
3138Y8CM0	FNMA POOL # AX6375	4	1	1,167,048.36	1,147,241.14	1,116,291.95	1,165,023.95	(17,782.81	)	(4,413.01	)	—	—	3.5000	2.8701	Monthly	3,255.86	26,246.23		20150306	20450201

3138YGAP7	FNMA POOL # AY2713	4	1	465,812.96	458,442.84	435,657.32	465,234.90	(6,792.06	)	(5,336.57	)	—	—	4.0000	2.6173	Monthly	1,452.19	9,735.49		20150327	20450201
3138YKH55	FNMA POOL # AY5651	4	1	2,147,836.22	2,136,631.09	2,080,543.63	2,143,091.66	(6,460.57	)	(6,498.42	)	—	—	3.0000	2.2773	Monthly	5,201.36	32,549.73		20151223	20300601
3138YMJM2	FNMA POOL # AY7467	4	1	646,640.45	633,370.12	616,283.66	645,772.20	(12,402.08	)	(2,566.67	)	—	—	3.5000	2.7538	Monthly	1,797.49	11,253.85		20150327	20450401
3138YR5T1	FNMA POOL # AZ0857	4	1	7,106,544.18	7,144,994.24	7,123,239.31	7,106,609.96	38,384.28		848.12		—	—	3.0000	3.0233	Monthly	17,808.10	110,237.23		20150717	20450701
3138YTLY8	FNMA POOL # AZ2142	4	1	1,700,496.33	1,668,518.43	1,623,506.71	1,698,490.47	(29,972.04	)	(4,932.47	)	—	—	3.5000	2.7033	Monthly	4,735.23	29,420.80		20151022	20450701
3138YVEY1	FNMA POOL # AZ3750	4	1	4,696,556.23	4,583,423.42	4,569,467.90	4,693,217.60	(109,794.18	)	(8,269.15	)	—	—	3.0000	2.6415	Monthly	11,423.67	70,985.25		20160223	20460101
3140E1S38	FNMA POOL # AZ8637	4	1	8,485,049.91	8,460,806.33	8,194,404.61	8,479,124.85	(18,318.52	)	(5,753.73	)	—	—	3.5000	3.0027	Monthly	23,900.34	144,262.24		20151228	20451001
3140EUEE5	FNMA POOL # BC0132	4	1	2,037,841.92	2,031,012.48	2,013,926.55	2,035,875.74	(4,863.26	)	(2,179.73	)	—	—	2.5000	2.2396	Monthly	4,195.68	26,105.69		20151210	20301201
3140EUEF2	FNMA POOL # BC0133	4	1	4,214,291.12	4,183,440.88	4,073,623.80	4,204,368.90	(20,928.02	)	(13,955.26	)	—	—	3.0000	2.2161	Monthly	10,184.06	63,425.71		20151210	20301201
3140EUFH7	FNMA POOL # BC0167	4	1	7,079,996.67	6,980,053.64	6,768,538.16	7,073,258.14	(93,204.50	)	(16,978.77	)	—	—	3.5000	2.8612	Monthly	19,741.57	121,441.97		20160126	20460101
3140EUKN8	FNMA POOL # BC0300	4	1	1,255,985.19	1,223,917.77	1,190,909.45	1,255,355.30	(31,437.53	)	(3,654.74	)	—	—	3.5000	2.5597	Monthly	3,473.48	21,466.78		20160826	20460301
3140EULG2	FNMA POOL # BC0326	4	1	5,204,616.34	5,209,021.57	5,068,497.54	5,202,000.17	7,021.40		(8,288.67	)	—	—	3.5000	3.0038	Monthly	14,783.12	91,225.91		20151216	20451201
3140EU2B4	FNMA POOL # BC0769	4	1	8,139,857.69	7,980,745.34	7,584,086.40	8,133,116.58	(152,371.24	)	(53,861.66	)	—	—	4.0000	2.6884	Monthly	25,280.29	160,224.74		20161014	20451201
3140EU6X2	FNMA POOL # BC0885	4	1	946,520.95	909,736.30	910,370.29	945,909.10	(36,172.80	)	(1,424.18	)	—	—	3.0000	2.4652	Monthly	2,275.92	13,899.03		20160804	20460501
3140EVCA3	FNMA POOL # BC0964	4	1	7,740,336.06	7,543,737.90	7,336,811.45	7,734,405.40	(190,667.50	)	(22,193.96	)	—	—	3.5000	2.5736	Monthly	21,399.03	132,437.88		20161011	20460601
3140F0HF4	FNMA POOL # BC4729	4	1	11,040,707.07	10,683,790.57	10,687,518.00	11,035,770.51	(351,979.94	)	(9,021.87	)	—	—	3.0000	2.5113	Monthly	26,718.80	162,211.11		20161012	20461001
3140F0JX3	FNMA POOL # BC4777	4	1	2,705,902.13	2,638,970.45	2,623,905.09	2,703,057.80	(64,087.35	)	(5,980.90	)	—	—	2.5000	1.8787	Monthly	5,466.47	33,783.99		20161104	20311001
3140F9EZ4	FNMA POOL # BD1951	4	1	4,882,807.23	4,701,575.88	4,687,260.60	4,879,041.39	(177,465.51	)	(10,484.65	)	—	—	3.0000	2.4542	Monthly	11,718.16	72,293.93		20160715	20460701
3140F9WZ4	FNMA POOL # BD2463	4	1	2,496,922.56	2,484,881.30	2,470,672.00	2,496,922.56	(12,041.26	)	—		—	—	2.5000	2.3351	Monthly	2,916.77	(2,916.77	)	20170626	20320101
3140FE3K8	FNMA POOL # BD7101	4	1	993,326.18	992,205.72	966,446.88	992,957.47	(751.75	)	(950.92	)	—	—	3.0000	2.3490	Monthly	2,416.12	3,432.81		20170403	20320301
3140FPDW6	FNMA POOL # BE3716	4	1	18,965,557.44	18,908,570.54	18,019,532.00	18,965,557.44	(56,986.90	)	—		—	—	3.5000	2.7512	Monthly	29,782.29	(29,782.29	)	20170620	20320601
3140FTJT9	FNMA POOL # BE7473	4	1	908,752.79	900,979.64	899,337.84	908,740.33	(7,760.69	)	(12.46	)	—	—	3.0000	2.9222	Monthly	2,248.34	(1,648.79	)	20170620	20470201
3140J5FG9	FNMA POOL # BM1066	4	1	7,085,262.37	7,062,112.23	6,713,899.78	7,084,042.62	(21,930.39	)	(6,099.21	)	—	—	4.0000	3.5708	Monthly	22,379.67	5,290.54		20170519	20470201
31417Y5D5	FNMA POOL # MA0843	4	1	870,653.24	855,177.00	793,984.15	869,006.64	(13,829.64	)	(9,332.39	)	—	—	4.5000	2.8346	Monthly	2,977.44	18,920.40		20160613	20410901
31418AMK1	FNMA POOL # MA1261	4	1	330,928.80	324,014.34	314,585.11	325,295.56	(1,281.22	)	(2,747.08	)	—	—	3.0000	1.2775	Monthly	786.46	5,182.22		20130213	20221101
31418AX52	FNMA POOL # MA1599	4	1	2,104,221.71	2,029,998.67	2,021,771.34	2,102,501.83	(72,503.16	)	(2,712.86	)	—	—	3.0000	2.4684	Monthly	5,054.43	30,737.72		20160815	20430901
31418BDN3	FNMA POOL # MA1908	4	1	4,612,871.84	4,570,378.52	4,259,469.01	4,606,372.75	(35,994.23	)	(44,885.90	)	—	—	4.5000	2.7816	Monthly	15,973.01	102,336.49		20151217	20440501
31418B3S3	FNMA POOL # MA2608	4	1	1,614,028.54	1,576,629.71	1,577,728.46	1,613,088.15	(36,458.44	)	(1,666.59	)	—	—	3.0000	2.6736	Monthly	3,944.32	24,181.13		20160427	20460501
31418B6M3	FNMA POOL # MA2675	4	1	1,709,975.59	1,699,873.25	1,690,169.00	1,709,880.74	(10,007.49	)	(94.85	)	—	—	2.5000	2.3142	Monthly	3,521.19	(2,112.71	)	20170608	20310701
31418CEF7	FNMA POOL # MA2833	4	1	18,924,473.61	18,777,305.20	18,790,391.02	18,923,671.75	(146,366.55	)	(335.47	)	—	—	3.0000	3.1443	Monthly	46,975.99	7,827.94		20161213	20461201
31418CJU9	FNMA POOL # MA2974	4	1	5,271,397.48	5,262,331.34	4,894,076.28	5,271,397.48	(9,066.14	)	—		—	—	4.5000	3.8951	Monthly	7,341.12	(7,341.12	)	20170614	20470401
3138ATD31	FNMA POOL# AJ1921	4	1	266,814.67	269,305.35	250,035.00	265,470.66	3,834.69		(1,972.15	)	—	—	4.5000	3.4216	Monthly	937.63	5,908.83		20110920	20410901
3138EBG33	FNMA POOL#AK6517	4	1	712,852.29	701,254.34	681,951.38	704,970.38	(3,716.04	)	(5,182.95	)	—	—	3.0000	2.0091	Monthly	1,704.88	11,393.82		20120424	20270301
3136AVGY9	FNMA PRELCF SENIOR CMBS_17-M2 A1	4	1	1,998,844.66	2,014,171.78	1,984,994.54	1,997,942.50	16,229.28		(1,006.84	)	—	—	2.7843	2.7018	Monthly	4,759.00	14,638.45		20170215	20260925

3135G0N33	FNMA SENIOR AGENCY BND		1	1,497,480.00		1,482,225.03	1,500,000.00	1,498,238.46		(16,013.43	)	415.52		—	—	0.8750	0.9319	Feb-Aug	5,432.29	6,562.50		20160729	20190802
3135G0H63	FNMA SENIOR AGENCY BND		1	1,748,915.00		1,749,282.50	1,750,000.00	1,749,433.06		(150.56	)	177.05		—	—	1.3750	1.3959	Jan-Jul	10,226.57	12,031.25		20160106	20190128
3136ALY88	FNMA SENIOR AGENCY CMO _14-83-P	4	1	4,611,375.85		4,556,773.60	4,462,846.74	4,598,039.32		(41,265.72	)	(16,042.50	)	—	—	3.0000	2.2593	Monthly	11,157.12	69,910.45		20160112	20430625
3136ATLK8	FNMA SENIOR AGENCY CMO 2016-48 UP	4	1FE	1,874,790.64		1,804,636.18	1,769,452.90	1,867,385.86		(62,749.68	)	(10,741.16	)	—	—	3.0000	2.0767	Monthly	4,423.64	27,619.62		20160706	20460425
3136ASUM6	FNMA SENIOR AGENCY CMO_16-32F EA	4	1	1,595,209.98		1,560,508.20	1,513,841.03	1,584,882.03		(24,373.83	)	(12,429.27	)	—	—	3.5000	2.2491	Monthly	4,415.37	28,318.92		20160511	20420825
3136ARSK5	FNMA SENIOR AGENCY CMO_16-8 CP	4	1	459,607.45		454,216.86	430,042.05	456,502.04		(2,285.18	)	(2,099.21	)	—	—	3.5000	2.3240	Monthly	1,254.29	7,788.32		20160429	20441025
3136ATKP8	FNMA SENIOR AGENCY_16-49 LA	4	1	1,424,476.25		1,428,021.44	1,371,956.05	1,422,157.07		5,864.37		(4,464.25	)	—	—	3.5000	2.5759	Monthly	4,001.54	16,826.96		20170124	20430125
3136AMM71	FNMA SUB CMBS_15-M4 X2	4,6	1	894,739.72		616,300.35	26,536,989.67	638,920.11		(22,619.76	)	(71,837.85	)	—	—	0.5599	2.7919	Monthly	14,438.12	79,021.58		20150313	20220725
01F030470	FNMA TBA MBS	4	1	2,894,976.57		2,873,108.00	2,800,000.00	2,894,976.57		(21,868.57	)	—		—	—	3.0000	2.0400	Monthly	3,966.66	(3,966.66	)	20170607	20320701
01F032674	FNMA TBA MBS	4	1	6,716,328.13		6,675,760.00	6,500,000.00	6,716,328.13		(40,568.13	)	—		—	—	3.5000	2.3560	Monthly	7,583.33	(7,583.33	)	20170606	20470701
01F040677	FNMA TBA MBS	4	1	7,387,968.75		7,357,840.00	7,000,000.00	7,387,968.75		(30,128.75	)	—		—	—	4.0000	1.5835	Monthly	9,333.34	(9,333.34	)	20170602	20470701
01F040669	FNMA TBA MBS	4	1	(19,296.87	)	—	—	(18,878.34	)	18,878.34		418.53		—	—	4.0000	1.4397	Monthly	—	—		20170524	20470601
01F022477	FNMA TBA MBS	4	1	6,047,748.43		6,031,260.00	6,000,000.00	6,047,748.43		(16,488.43	)	—		—	—	2.5000	2.2732	Monthly	7,083.34	(7,083.34	)	20170614	20320701
01F030678	FNMA TBA MBS	4	1	3,019,687.50		2,996,103.00	3,000,000.00	3,019,687.50		(23,584.50	)	—		—	—	3.0000	2.8489	Monthly	3,000.00	(3,000.00	)	20170616	20470701
31398SKX0	FNMA_10-142 AGENCY CMO 10-142 FM	4	1	287,134.83		287,332.24	286,418.79	287,110.55		221.69		(123.58	)	—	—	1.6861	1.6303	Monthly	80.49	2,119.60		20130815	20401225
3136AFA95	FNMA_13-81 AGENCY CMO 13-81 UF	4	1	1,004,818.21		1,003,468.75	1,005,603.85	1,005,003.61		(1,534.86	)	76.19		—	—	1.4661	1.4831	Monthly	245.72	6,022.52		20130813	20430225
BRTAG8MM0	FOCUS FINANCIAL PARTNERS LLC SENIOR SECU	2	4FE	503,329.73		507,529.23	503,959.68	503,329.73		4,199.50		—		—	—	—	0.0183	M-J-S-D	—	—		20170522	20240522
BRSY82QB1	FOCUSVISION WORLDWIDE INC SECURED TERM L			374,399.39		369,457.33	374,399.39	374,399.39		(4,942.06	)	—		—	—	—	—	M-J-S-D	—	11,655.97		20151211	20201211
BRSY82PM8	FOCUSVISION WORLDWIDE INC SECURED TERM L			3,319,050.51		3,302,455.26	3,319,050.51	3,319,050.51		(16,595.25	)	—		—	—	—	—	M-J-S-D	—	96,944.59		20151228	20221212
34528QDL5	FORD CREDIT FLOORPLAN MASTER O ABS _14-4	4	1FE	1,024,706.65		1,024,989.76	1,025,000.00	1,024,964.94		24.82		27.74		—	—	1.4000	1.4132	Monthly	637.78	7,174.98		20140819	20190815
34528QFD1	FORD CREDIT FLOORPLAN MASTER O SENIOR AB	4	1FE	999,801.10		1,000,895.61	1,000,000.00	999,837.50		1,058.11		33.40		—	—	1.9500	1.9649	Monthly	866.67	9,858.33		20161206	20211115
34528QFJ8	FORD CREDIT FLOORPLAN MASTER O SENIOR AB	4	1FE	2,749,527.82		2,750,344.50	2,750,000.00	2,749,539.00		805.50		11.18		—	—	2.0700	2.0849	Monthly	2,530.00	2,371.88		20170524	20220515
345397VP5	FORD MOTOR CREDIT COMPANY LLC CORP BND		2FE	1,583,764.00		1,407,462.00	1,400,000.00	1,408,127.85		(665.85	)	(32,483.88	)	—	—	6.6250	1.9101	Feb-Aug	35,038.89	46,375.00		20140930	20170815
345397YE7	FORD MOTOR CREDIT COMPANY LLC SENIOR COR		2FE	1,695,000.00		1,706,627.79	1,695,000.00	1,695,000.00		11,627.79		—		—	—	2.6810	2.6810	Jan-Jul	21,711.63	—		20170104	20200109
345397YM9	FORD MOTOR CREDIT COMPANY LLC SENIOR COR		2FE	1,914,736.00		1,915,076.41	1,915,000.00	1,914,738.18		338.23		2.18		—	—	2.4250	2.4250	Jun-Dec	2,450.92	(269.44	)	20170607	20200612
345397XK4	FORD MOTOR CREDIT COMPANY LLC SENIOR COR		2FE	2,000,000.00		2,038,899.84	2,000,000.00	2,000,000.00		38,899.84		—		—	—	3.1570	3.1570	Feb-Aug	25,782.16	31,570.00		20150730	20200804
345397XQ1	FORD MOTOR CREDIT COMPANY LLC SENIOR COR		2FE	507,765.00		508,095.02	500,000.00	507,165.57		929.45		(599.43	)	—	—	3.2000	2.7719	Jan-Jul	7,377.78	(2,311.11	)	20170302	20210115
345397WT6	FORD MOTOR CREDIT COMPANY LLC SENIOR COR		2FE	500,000.00		499,865.00	500,000.00	500,000.00		(135.00	)	—		—	—	1.6840	1.6840	Mar-Sep	2,642.94	20,231.39		20140903	20170908
345397YN7	FORD MOTOR CREDIT COMPANY LLC SENIOR COR			2,300,000.00		2,300,022.98	2,300,000.00	2,300,000.00		22.98		—		—	—	2.0181	2.0181	M-J-S-D	2,449.76	4,479.08		20170607	20200612
345397XF5	FORD MOTOR CREDIT COMPANY LLC SENIOR COR		2FE	3,646,180.50		3,652,481.75	3,650,000.00	3,648,003.68		4,478.07		342.17		—	—	2.4590	2.4590	Mar-Sep	23,435.64	44,876.75		20150324	20200327
345397XZ1	FORD MOTOR CREDIT COMPANY LLC SENIOR COR		2FE	1,400,000.00		1,382,066.03	1,400,000.00	1,400,000.00		(17,933.97	)	—		—	—	3.0960	3.0960	May-Nov	6,862.80	21,672.00		20160429	20230504
345397YD9	FORD MOTOR CREDIT COMPANY LLC SENIOR COR		2FE	2,245,000.00		2,228,409.50	2,245,000.00	2,245,000.00		(16,590.50	)	—		—	—	1.8970	1.8970	Feb-Aug	16,443.58	24,455.50		20160808	20190812
345397XW8	FORD MOTOR CREDIT COMPANY LLC SENIOR COR		2FE	665,000.00		678,140.39	665,000.00	665,000.00		13,140.39		—		—	—	3.3360	3.3360	Mar-Sep	6,347.20	11,092.20		20160315	20210318
345397XY4	FORD MOTOR CREDIT COMPANY LLC SENIOR COR		2FE	1,965,000.00		1,959,380.04	1,965,000.00	1,965,000.00		(5,619.96	)	—		—	—	2.0210	2.0210	May-Nov	6,398.15	19,856.33		20160429	20190503

345397XT5	FORD MOTOR CREDIT COMPANY LLC SENIOR COR			2FE	220,000.00	222,745.60	220,000.00	220,000.00	2,745.60		—		—	—	2.9430	2.9430	Jan-Jul	3,111.41	3,237.30		20160105	20190108
34530KAB9	FORDO_14-B ABS _14-B-A3		4	1FE	54,863.72	55,010.94	55,027.09	55,008.52	2.42		118.09		—	—	0.9000	1.0332	Monthly	22.01	819.09		20140912	20181015
34530PAE2	FORDO_14-C ABS 2014-C A4		4	1FE	464,895.47	465,029.09	465,000.00	464,963.05	66.04		13.28		—	—	1.5600	1.5709	Monthly	322.40	3,627.00		20141118	20200215
34532EAE5	FORDO_16B SENIOR ABS 16B A4		4	1FE	922,847.71	917,224.28	923,000.00	922,887.99	(5,663.71	)	13.56		—	—	1.5200	1.5288	Monthly	623.54	7,014.84		20160419	20210815
34531EAE6	FORDO_17-A SENIOR ABS 17-A-A4		4	1FE	739,877.46	739,759.49	740,000.00	739,890.09	(130.60	)	12.63		—	—	1.9200	1.9321	Monthly	631.47	5,525.33		20170118	20220415
34531EAD8	FORDO_17-A SENIOR ABS 17-A-A-A3		4		2,709,989.97	2,708,116.66	2,710,000.00	2,709,979.81	(1,863.15	)	(10.16	)	—	—	1.6700	1.6750	Monthly	2,011.42	17,599.96		20170118	20210615
345838AE6	FOREST LABORATORIES INC. SENIOR CORP BND		2	2FE	576,072.00	563,288.24	525,000.00	553,563.32	9,724.92		(8,362.74	)	—	—	4.8750	3.1606	Feb-Aug	9,668.75	36,068.91		20140721	20210215
BRT9PU3E3	FORTERRA FINANCE LLC SENIOR SECURED TERM		2	4FE	1,579,705.79	1,493,807.77	1,585,783.20	1,579,854.50	(86,046.73	)	164.02		—	—	—	0.0709	M-J-S-D	—	10,665.74		20170504	20231025
BRSL40CC0	FORTIUS RE LTD CORP BND 144A	D			1,000,000.00	1,000,000.00	1,000,000.00	1,000,000.00	—		—		—	—	7.6061	7.6785	M-J-S-D	211.28	36,828.10		20131015	20170630
34959JAF5	FORTIVE CORP FORTIVE CORP		2	2FE	1,999,625.02	1,987,879.94	2,000,000.00	1,999,627.93	(11,747.99	)	2.91		—	—	2.3500	2.3549	Jun-Dec	2,088.89	(652.77	)	20170620	20210615
34960YAJ1	FORTRESS CREDIT OPPORTUNITIES ABS 16-7A-		4		1,000,000.00	994,294.80	1,000,000.00	1,000,000.00	(5,705.20	)	—		—	—	5.1956	5.2263	M-J-S-D	2,309.14	25,268.94		20161202	20281215
354613AH4	FRANKLIN RESOURCES INC SENIOR CORP BND			1FE	397,820.00	399,984.00	400,000.00	399,906.45	77.55		223.61		—	—	1.3750	1.4891	Mar-Sep	1,619.44	2,750.00		20120919	20170915
30291WAN4	FREMF SENIOR CMBS 14-K36 144A		4	1FM	2,163,906.25	2,144,737.40	2,000,000.00	2,121,065.88	23,671.52		(8,450.76	)	—	—	4.4999	3.4051	Monthly	7,499.75	44,062.99		20150116	20461225
30290FAE2	FREMF_12-K707 SUB CMBS_12-K707 B 144A		4	1	1,039,335.94	1,022,078.30	1,000,000.00	1,012,761.96	9,316.34		(5,062.22	)	—	—	4.0194	2.9668	Monthly	3,349.52	19,643.68		20141008	20470125
30291YAJ9	FREMF_14-K716 SUB CMBS 14-K716 B 144A		4	1	3,159,492.19	3,105,814.20	3,000,000.00	3,101,950.09	3,864.11		(12,749.00	)	—	—	4.0829	3.1305	Monthly	10,207.13	59,923.86		20150130	20470825
31679NAA2	FSSLF_15-1A ABS 15-1A A 144A		4	1FE	3,985,600.00	4,005,385.60	4,000,000.00	3,991,099.60	14,286.00		941.34		—	—	3.1562	3.2347	J-A-J-O	25,249.76	59,753.57		20150129	20270120
31679NAE4	FSSLF_15-1A MEZZANIN ABS 15-1A C1 144A		4		242,607.08	247,508.68	250,000.00	244,827.95	2,680.73		435.72		—	—	4.9062	5.3771	J-A-J-O	2,453.11	5,946.40		20150129	20270120
359900XB8	FULTON CNTY GA DEV AUTH REV MUNI BND REV		4	1FE	1,398,065.35	1,319,357.05	1,265,000.00	1,328,762.87	(9,405.82	)	(12,982.59	)	—	—	5.4910	3.2309	May-Nov	11,576.86	34,730.57		20140930	20191101
36319GAT1	GALAXY CLO LTD GALXY_14-18A ABS 14-18A-C	D	4		500,000.00	499,540.40	500,000.00	500,000.00	(459.60	)	—		—	—	3.3084	3.3211	J-A-J-O	3,446.29	749.22		20170317	20261015
36319QAA0	GALAXY CLO LTD GALXY_15-19A ABS 15-19A A		4	1FE	4,992,450.00	5,015,149.00	5,000,000.00	4,995,564.40	19,584.60		593.21		—	—	2.7032	2.7410	J-A-J-O	25,529.94	63,490.74		20150129	20270124
363543AA7	GALILEI RE LTD SENIOR CORP BND 144A	D			250,000.00	250,037.50	250,000.00	250,000.00	37.50		—		—	—	14.2277	14.2277	J-A-J-O	8,101.87	9,760.76		20161221	20200108
363543AH2	GALILEI RE LTD SENIOR CORP BND 144A	D			250,000.00	252,855.00	250,000.00	250,000.00	2,855.00		—		—	—	7.2616	7.3276	J-A-J-O	4,084.63	4,425.35		20161221	20210108
363543AD1	GALILEI RE LTD SENIOR CORP BND 144A	D			250,000.00	251,092.50	250,000.00	250,000.00	1,092.50		—		—	—	6.2277	6.2277	J-A-J-O	3,546.31	4,260.76		20161221	20200108
363543AG4	GALILEI RE LTD SENIOR CORP BND 144A	D			250,000.00	250,670.00	250,000.00	250,000.00	670.00		—		—	—	9.0116	9.0116	J-A-J-O	10,681.10	5,506.94		20161221	20210108
363543AK5	GALILEI RE LTD SENIOR CORP BND 144A	D			250,000.00	250,792.50	250,000.00	250,000.00	792.50		—		—	—	5.5116	5.5116	J-A-J-O	3,138.53	3,343.75		20161221	20210108
363543AJ8	GALILEI RE LTD SENIOR CORP BND 144A	D			250,000.00	250,987.50	250,000.00	250,000.00	987.50		—		—	—	6.2616	6.2616	J-A-J-O	3,565.61	3,807.29		20161221	20210108
363543AB5	GALILEI RE LTD SENIOR CORP BND 144A	D			250,000.00	250,610.00	250,000.00	250,000.00	610.00		—		—	—	8.9777	8.9777	J-A-J-O	5,112.28	6,151.39		20161221	20200108
363543AC3	GALILEI RE LTD SENIOR CORP BND 144A	D			250,000.00	251,880.00	250,000.00	250,000.00	1,880.00		—		—	—	7.2277	7.2277	J-A-J-O	4,115.76	4,948.26		20161221	20200108
363543AF6	GALILEI RE LTD SENIOR CORP BND 144A	D			250,000.00	250,892.50	250,000.00	250,000.00	892.50		—		—	—	14.2616	14.2616	J-A-J-O	8,121.17	8,751.74		20161221	20210108
363543AE9	GALILEI RE LTD SENIOR CORP BND 144A	D			250,000.00	250,740.00	250,000.00	250,000.00	740.00		—		—	—	5.4777	5.4777	J-A-J-O	3,119.23	3,745.14		20161221	20200108
36354TAE2	GALILEO RE LTD CORP BND 144A	D			500,000.00	503,610.00	500,000.00	500,000.00	3,610.00		—		—	—	7.7161	7.7906	J-A-J-O	8,680.59	18,062.74		20160120	20190108
36354TAC6	GALILEO RE LTD SENIOR CORP BND 144A	D			600,000.00	609,636.00	600,000.00	600,000.00	9,636.00		—		—	—	14.2361	14.4900	J-A-J-O	19,218.67	41,313.97		20160120	20190108
36354TAD4	GALILEO RE LTD SENIOR CORP BND 144A	D			500,000.00	506,990.00	500,000.00	500,000.00	6,990.00		—		—	—	9.7161	9.8343	J-A-J-O	10,930.56	23,090.53		20160120	20190108
36354TAB8	GALILEO RE LTD UNSEC CORP BND 144A	D			1,200,000.00	1,213,908.00	1,200,000.00	1,200,000.00	13,908.00		—		—	—	14.3267	14.5849	J-A-J-O	39,159.71	83,416.05		20150129	20180108

BRSWRS7S1	GALLERIA CO TERM NOTES			3FE	1,660,808.46	1,676,456.78	1,669,154.23	1,662,490.61	13,966.17		591.40		—	—		—	0.0708	M-J-S-D	—	33,504.80		20151022	20230126
BRT9VKJ01	GARDA WORLD SEC SENIOR SECURED TERM NOTE	A	4	3FE	2,523,507.70	2,558,556.42	2,548,997.68	2,523,816.05	34,740.37		308.35		—	—		—	0.1419	M-J-S-D	—	14,987.39		20170503	20240524
36655QAC8	GARR_15-1A SENIOR ABS_15-1A A2 144A	D	4	1FE	495,800.00	500,040.25	500,000.00	496,766.25	3,274.00		295.57		—	—		3.6887	3.8467	F-M-A-N	1,895.57	8,770.60		20151020	20270525
BRSU1MK36	GARRETSON RESOLUTION GROUP INC SENIOR SE				6,048,835.79	6,003,469.52	6,048,835.79	6,048,835.79	(45,366.27	)	—		—	—		—	—	M-J-S-D	—	360,195.56		20150529	20210521
BRT9JHHN4	GATES GLOBAL LLC SENIOR SECURED TERM NOT		2	4FE	3,497,712.09	3,503,090.45	3,501,630.27	3,497,840.58	5,249.87		138.31		—	—		—	0.0177	M-J-S-D	—	39,211.34		20170330	20240401
380881CP5	GCCT_15-2A SENIOR ABS 15-2A A 144A	A	4	1FE	1,499,754.15	1,502,709.75	1,500,000.00	1,499,859.00	2,850.75		24.47		—	—		2.0200	2.0319	Monthly	1,346.67	15,150.00		20150422	20220415
87165LAP6	GE CAPITAL CREDIT CARD MASTER SENIOR ABS		4	1FE	1,099,851.83	1,100,759.00	1,100,000.00	1,099,876.36	882.64		7.01		—	—		1.7400	1.7477	Monthly	850.67	9,570.00		20150925	20210915
87165LAT8	GE CAPITAL CREDIT CARD MASTER SENIOR ABS		4	1FE	1,799,983.44	1,815,498.00	1,800,000.00	1,799,989.72	15,508.28		1.61		—	—		2.3800	2.3919	Monthly	1,904.00	21,420.00		20150925	20230915
G3R03C2M9	GE CAPITAL UK FUNDING SENIOR CORP BND	B		1FE	2,088,625.61	2,027,912.45	1,460,000.00	2,036,044.37	(12,983.74	)	(33,978.85	)	—	4,851.81		4.3750	0.6900	July	76,150.94	—		20160920	20190731
U36964MA6	GE CAPITAL UK FUNDING SENIOR CORP BND EM	B		1FE	1,630,444.38	1,380,086.44	1,000,000.00	1,534,443.58	6,856.65		(36,589.99	)	—	(161,213.79	)	6.7500	1.8238	August	79,031.33	—		20151030	20180806
BRSP6WS08	GEMINI HDPE LLC SENIOR SECURED TERM NOTE		4	3FE	901,549.89	910,044.45	906,080.35	903,410.63	6,633.82		337.61		—	—		—	0.0710	M-J-S-D	—	19,846.30		20140724	20210806
369550AW8	GENERAL DYNAMICS CORP SENIOR CORP BND		2	1FE	506,511.60	491,283.01	510,000.00	506,926.10	(15,643.09	)	1,082.57		—	—		1.8750	1.9800	Feb-Aug	3,612.50	40,407.82		20160809	20230815
36962G6P4	GENERAL ELECTRIC CAPITAL CORP SECURED CO			1FE	1,016,150.00	1,007,539.98	1,000,000.00	1,009,682.34	(2,142.36	)	(1,919.44	)	—	—		2.1000	1.6941	Jun-Dec	1,166.67	10,500.00		20151016	20191211
36962G7F5	GENERAL ELECTRIC CAPITAL CORP SENIOR COR			1FE	5,000,000.00	5,014,325.00	5,000,000.00	5,000,000.00	14,325.00		—		—	—		1.6684	1.6684	J-A-J-O	17,147.86	36,880.74		20140108	20190114
36962G2T0	GENERAL ELECTRIC CO SENIOR CORP BND MTN			1FE	1,138,210.00	1,099,349.98	1,000,000.00	1,091,794.33	7,555.65		(15,487.43	)	—	—		5.5500	2.2001	May-Nov	8,787.50	27,750.00		20151222	20200504
36962G5J9	GENERAL ELECTRIC CO SENIOR CORP BND MTN			1FE	406,000.64	393,882.32	358,000.00	390,407.01	3,475.31		(3,532.95	)	—	—		4.6500	2.4180	Apr-Oct	3,421.88	8,323.50		20150331	20211017
37045XBB1	GENERAL MOTORS FINANCIAL CO IN CORP BND			2FE	5,131,530.90	5,200,691.30	5,130,000.00	5,130,670.32	70,020.98		(211.10	)	—	—		3.1000	3.1159	Jan-Jul	73,330.49	79,515.00		20151007	20190115
37045XBV7	GENERAL MOTORS FINANCIAL CO IN SENIOR CO			2FE	3,849,603.00	3,872,810.01	3,855,000.00	3,849,978.41	22,831.60		375.41		—	—		2.6500	2.6989	Apr-Oct	22,134.13	—		20170410	20200413
37045XBY1	GENERAL MOTORS FINANCIAL CO IN SENIOR CO		2	2FE	1,632,220.50	1,638,760.55	1,635,000.00	1,632,221.92	6,538.63		1.42		—	—		3.1500	3.1871	Jun-Dec	143.08	—		20170627	20220630
3733844A1	GEORGIA ST MUNI BND GO			1FE	1,530,912.50	1,562,450.00	1,250,000.00	1,523,489.90	38,960.10		(7,422.60	)	—	—		5.0000	2.1900	Feb-Aug	26,041.67	(9,895.83	)	20170323	20260201
37331NAF8	GEORGIA-PACIFIC LLC SENIOR CORP BND 144A		2	1FE	4,300,000.00	4,334,056.00	4,300,000.00	4,300,000.00	34,056.00		—		—	—		2.5390	2.5390	May-Nov	13,950.39	91,262.94		20141103	20191115
BRT5DJJU6	GFL ENVIRONMENTAL INC SENIOR SECURED TER	A		3FE	484,410.81	487,453.60	486,845.04	484,667.22	2,786.38		184.38		—	—		—	0.0708	M-J-S-D	—	9,445.73		20160927	20230927
G4097TAB1	GFUND_16-2 ABS 16-2 A1B	B	4		449,702.88	408,039.83	312,033.64	449,702.88	2,723.73		—		—	(44,386.78	)	1.1340	1.1343	J-A-J-O	856.29	2,660.87		20160422	20580724
375558AV5	GILEAD SCIENCES INC SENIOR CORP BND			1FE	2,362,410.45	2,332,370.27	2,325,000.00	2,347,091.06	(14,720.79	)	(6,152.98	)	—	—		2.0500	1.5200	Apr-Oct	11,915.63	23,831.25		20160317	20190401
375558BE2	GILEAD SCIENCES INC SENIOR CORP BND			1FE	250,121.50	250,485.00	250,000.00	250,048.69	436.31		(20.17	)	—	—		1.8500	1.8539	Mar-Sep	1,503.13	2,312.50		20150909	20180904
375558BL6	GILEAD SCIENCES INC SENIOR CORP BND		2	1FE	530,613.95	536,688.75	545,000.00	531,753.35	4,935.40		965.98		—	—		2.5000	2.5561	Mar-Sep	4,541.67	6,093.41		20160915	20230901
375558AY9	GILEAD SCIENCES INC SENIOR CORP BND			1FE	1,000,246.00	1,008,409.96	1,000,000.00	1,000,713.53	7,696.43		(131.27	)	—	—		2.3500	2.3960	Feb-Aug	9,791.67	11,750.00		20141112	20200201
375558BB8	GILEAD SCIENCES INC SENIOR CORP BND			1FE	598,560.00	608,256.00	600,000.00	599,055.44	9,200.56		140.60		—	—		2.5500	2.6021	Mar-Sep	5,100.00	7,650.00		20150916	20200901
375558BH5	GILEAD SCIENCES INC SENIOR CORP BND		2	1FE	1,701,061.45	1,671,258.12	1,705,000.00	1,701,592.47	(30,334.35	)	340.00		—	—		1.9500	1.9951	Mar-Sep	11,082.50	14,869.02		20160915	20220301
38137FAE2	GLD11_2015-11A ABS_15-11A BR 144A	D	4		2,500,000.00	2,486,332.00	2,500,000.00	2,500,000.00	(13,668.00	)	—		—	—		3.0584	3.0700	J-A-J-O	15,716.98	28,504.31		20161107	20270418
BRT5WL6Q3	GLDR_16-UKA SENIOR ABS 16-UKA		4		956,139.25	1,016,316.16	781,000.00	956,139.25	1,836.21		—		—	58,340.70		0.7211	0.7221	Monthly	220.46	3,556.37		20161020	20240920
BRTA1ADZ2	GLOBAL CASH ACCESS SENIOR SECURED TERM L			4FE	2,581,621.63	2,610,001.31	2,594,594.60	2,581,874.98	28,126.33		253.35		—	—		—	0.0707	M-J-S-D	—	19,635.31		20170501	20240509
37952UAB9	GLOBAL SC FINANCE SRL SEACO_13 ABS_13-1A	D	4	1FE	277,630.20	288,126.24	291,666.67	279,580.09	8,546.15		2,087.57		—	—		2.9800	4.5270	Monthly	338.01	4,563.12		20160624	20280417
37952UAC7	GLOBAL SC FINANCE SRL SEACO_13 ABS_13-2A	D	4	1FE	312,148.11	313,982.56	316,500.00	312,382.12	1,600.44		463.17		—	—		3.6700	4.1295	Monthly	451.72	3,863.42		20170215	20281117

38013MAE6	GMALT 2017-2 ABS	4	1FE	699,711.00	698,422.69	700,000.00	699,715.39	(1,292.70	)	4.39		—	—	2.1800	2.1970	Monthly	720.61	—	20170607	20210621
36254AAD6	GMCAR_17-1A ABS_17-1A A3 144A	4	1FE	1,019,850.26	1,019,521.11	1,020,000.00	1,019,862.50	(341.39	)	12.24		—	—	1.7800	1.7924	Monthly	756.51	3,227.73	20170403	20211018
38378NEK5	GNMA AGENCY CMBS _13-156-AD	4	1	1,441,308.90	1,454,977.14	1,455,864.64	1,442,812.56	12,164.58		2,014.61		—	—	2.7613	3.0291	Monthly	3,350.02	20,978.84	20140930	20520416
38376JDT8	GNMA AGENCY CMO 09-106-ME	4	1	160,963.43	156,153.07	154,527.36	158,107.38	(1,954.31	)	(2,233.20	)	—	—	3.5000	1.4985	Monthly	450.70	3,355.15	20140930	20390120
38377JEA7	GNMA AGENCY CMO 10-109 CH	4	1	59,102.11	57,726.46	57,459.14	57,799.05	(72.59	)	(509.57	)	—	—	3.0000	1.3107	Monthly	143.65	1,271.46	20130926	20371220
38376WSP1	GNMA AGENCY CMO 10-24	4	1	62,934.08	62,863.95	62,523.79	62,781.73	82.22		(79.05	)	—	—	1.7322	1.5034	Monthly	33.09	502.32	20121205	20381220
38376FNL2	GNMA AGENCY CMO__09-66-UG	4	1	192,919.21	187,333.61	182,602.20	188,571.34	(1,237.73	)	(2,973.63	)	—	—	4.5000	1.8020	Monthly	684.76	5,068.29	20140930	20380720
38378FWR7	GNMA AGENCY CMO__13-28-ME	4	1	1,753,613.23	1,779,025.09	1,820,007.10	1,762,025.19	16,999.90		3,081.24		—	—	1.7500	2.6737	Monthly	2,654.18	17,154.18	20140930	20421120
38374B4M2	GNMA AGENCY CMO_03-77-TK	4	1	769,620.67	764,581.09	698,816.58	763,085.34	1,495.75		(7,129.82	)	—	—	5.0000	3.1540	Monthly	2,911.74	18,336.46	20140930	20330915
38377MSG2	GNMA AGENCY CMO_2010-144 PA	4	1	547,580.42	547,223.69	536,044.74	544,510.81	2,712.88		(1,904.18	)	—	—	3.0000	2.1641	Monthly	1,340.11	8,969.74	20140930	20400916
38375XRK2	GNMA AGENCYCMO _ 08-69-QD	4	1	855,273.02	812,416.91	763,486.65	842,466.00	(30,049.09	)	(17,635.53	)	—	—	5.7500	2.7212	Monthly	3,658.37	24,221.74	20140930	20380720
38373MUZ1	GNMA CMBS_06-32 C	4	1	1,732,295.64	1,683,474.35	1,649,679.67	1,684,325.15	(850.80	)	(11,415.11	)	—	—	5.3023	2.6293	Monthly	7,289.22	45,280.09	20140930	20381116
38375PXQ9	GNMA CMO 08-11 FB	4	1	429,363.05	431,358.52	427,803.89	429,211.53	2,146.99		(216.36	)	—	—	1.8122	1.7750	Monthly	236.89	3,370.34	20100308	20380220
38376P6D7	GNMA CMO 09-127 PL	4	1	386,111.58	376,186.45	363,810.03	379,273.28	(3,086.83	)	(5,317.47	)	—	—	4.2500	1.9109	Monthly	1,288.49	9,005.60	20140930	20381020
38377KKN9	GNMA CMO_10-115 QJ	4	1	680,363.36	662,196.53	650,039.04	669,171.36	(6,974.83	)	(3,877.94	)	—	—	3.5000	1.4888	Monthly	1,895.95	12,622.94	20140930	20381120
38377GYS2	GNMA CMO_10-68 YE	4	1	763,146.14	759,320.61	743,039.50	757,969.61	1,351.00		(4,023.36	)	—	—	3.0000	2.0341	Monthly	1,857.60	12,647.77	20140930	20390520
38375JCJ2	GNMA GNMA_06-68 D	4	1	685,339.40	657,079.36	637,062.78	655,716.81	1,362.55		(12,199.39	)	—	—	5.3050	2.3578	Monthly	2,816.35	18,940.42	20140930	20371216
36202EVH9	GNMA POOL # 004216	4	1	36,742.53	35,868.65	33,165.60	36,691.98	(823.33	)	(648.77	)	—	—	6.0000	0.8367	Monthly	165.83	1,085.12	20140930	20380820
36202E4Z9	GNMA POOL # 004440	4	1	66,420.08	64,335.76	61,924.96	66,318.75	(1,982.99	)	(118.17	)	—	—	4.5000	2.1988	Monthly	232.22	1,404.96	20140930	20390520
36202FZV1	GNMA POOL # 005256	4	1	1,726,205.84	1,684,264.40	1,609,985.06	1,698,475.93	(14,211.53	)	(15,277.47	)	—	—	3.5000	1.7372	Monthly	4,695.79	30,004.95	20120118	20261220
36202KME2	GNMA POOL # 008457	4	1	192,214.33	195,099.65	189,548.80	191,116.98	3,982.67		(268.22	)	—	—	2.1250	1.7738	Monthly	335.66	2,154.87	20090318	20240720
36225CD29	GNMA POOL # 080120	4	1	194,206.67	197,512.94	192,224.34	193,633.65	3,879.29		(206.77	)	—	—	2.2500	1.9980	Monthly	360.42	2,241.95	20090318	20271020
36225C6Y7	GNMA POOL # 080886	4	1	4,428,933.60	4,453,399.95	4,320,910.84	4,417,904.03	35,495.92		(9,683.73	)	—	—	2.1250	1.4797	Monthly	7,651.61	48,250.71	20110302	20340420
36225DAS3	GNMA POOL # 080916	4	1	152,965.69	159,497.30	153,710.23	153,033.36	6,463.94		55.67		—	—	2.1250	2.2284	Monthly	272.20	1,709.97	20080417	20340520
36225DJA3	GNMA POOL # 081156	4	1	348,701.20	358,074.19	347,723.30	348,535.42	9,538.77		(91.04	)	—	—	2.2500	2.1692	Monthly	651.98	4,034.22	20090318	20341120
36225DJZ8	GNMA POOL # 081179	4	1	376,141.81	388,677.70	375,086.92	375,970.75	12,706.95		(122.54	)	—	—	2.2500	2.1662	Monthly	703.29	4,414.50	20090318	20341220
36225DLE2	GNMA POOL # 081224	4	1	208,899.37	216,991.17	209,883.24	208,982.98	8,008.19		109.42		—	—	2.3750	2.4659	Monthly	415.40	2,358.85	20090318	20350120
36225EVZ2	GNMA POOL # 082431	4	1	997,642.91	1,021,156.31	985,326.32	996,723.25	24,433.06		(1,620.54	)	—	—	2.2500	1.9320	Monthly	1,847.49	11,850.66	20091028	20391220
36225EWE8	GNMA POOL # 082444	4	1	166,207.46	170,866.69	162,749.03	165,758.59	5,108.10		(234.93	)	—	—	2.2500	1.9383	Monthly	305.15	1,843.88	20091103	20391220
36204J4C7	GNMA POOL # 371719	4	1	104,516.66	105,797.49	98,368.62	101,547.90	4,249.59		(495.34	)	—	—	6.5000	5.3478	Monthly	532.83	3,333.68	20080911	20240415
36204SV60	GNMA POOL # 378737	4	1	103,327.03	103,922.75	97,248.96	100,361.13	3,561.62		(534.50	)	—	—	6.5000	5.3058	Monthly	526.77	3,314.16	20080911	20240115
36205BKY7	GNMA POOL # 385611	4	1	151,321.73	153,176.14	142,420.44	147,031.03	6,145.11		(870.70	)	—	—	6.5000	5.3440	Monthly	771.44	4,943.44	20080911	20240415
36210BZH1	GNMA POOL # 487744	4	1	236,413.28	236,450.73	223,624.75	231,732.19	4,718.54		(2,251.52	)	—	—	5.0000	3.4208	Monthly	931.77	5,883.95	20090929	20240315
36210BZJ7	GNMA POOL # 487745	4	1	117,900.45	117,919.14	111,522.76	115,377.26	2,541.88		(1,276.77	)	—	—	5.0000	3.5830	Monthly	464.68	3,087.83	20090929	20240315

36210B4N2	GNMA POOL # 487829	4	1	81,807.44	82,617.22	79,040.99	80,575.94	2,041.28		(589.55	)	—	—	4.5000	3.7496	Monthly	296.40	2,110.22	20090326	20240415
36210B4Q5	GNMA POOL # 487831	4	1	43,058.88	43,065.68	40,729.64	42,199.54	866.14		(261.26	)	—	—	5.0000	3.4638	Monthly	169.71	1,055.52	20090929	20240415
36210B4R3	GNMA POOL # 487832	4	1	102,098.16	103,305.25	97,701.58	100,293.25	3,012.00		(535.42	)	—	—	5.0000	3.9185	Monthly	407.09	2,564.06	20090326	20240415
36211V6Q8	GNMA POOL # 524779	4	1	103,188.73	104,486.84	98,819.08	101,368.43	3,118.41		(566.70	)	—	—	5.0000	3.9030	Monthly	411.75	2,598.18	20090326	20240115
36201YER3	GNMA POOL # 606844	4	1	358,941.96	374,164.63	342,550.38	356,114.23	18,050.40		(3,369.19	)	—	—	5.0000	4.1943	Monthly	1,427.29	9,587.20	20100423	20330915
36290SJB8	GNMA POOL # 615958	4	1	418,889.72	436,654.77	399,760.55	415,359.39	21,295.38		(3,195.83	)	—	—	5.0000	4.2480	Monthly	1,665.67	11,003.66	20100423	20330915
36291FS41	GNMA POOL # 627039	4	1	955,822.00	936,373.55	924,616.21	955,128.12	(18,754.57	)	(597.09	)	—	—	3.0000	2.5258	Monthly	2,311.54	13,954.27	20160203	20460115
36292DWW8	GNMA POOL # 646061	4	1	47,395.24	49,967.44	45,449.43	47,147.69	2,819.75		(297.92	)	—	—	6.5000	5.7483	Monthly	246.18	1,557.90	20080131	20371115
36295KAT0	GNMA POOL # 672418	4	1	39,196.34	41,323.58	37,587.14	39,020.41	2,303.17		(46.28	)	—	—	6.5000	5.6284	Monthly	203.60	1,229.89	20080131	20371215
36295PZJ4	GNMA POOL # 676745	4	1	45,314.04	45,675.62	43,395.15	44,432.90	1,242.72		(232.41	)	—	—	5.0000	3.8651	Monthly	180.81	1,133.59	20090326	20230315
36295P4L3	GNMA POOL # 676827	4	1	121,383.60	122,279.02	116,173.92	119,130.74	3,148.28		(625.43	)	—	—	5.0000	3.7820	Monthly	484.06	3,028.86	20090326	20230515
36295QJE1	GNMA POOL # 677161	4	1	127,183.85	127,559.32	121,190.59	124,448.92	3,110.40		(811.90	)	—	—	5.0000	3.8550	Monthly	504.96	3,272.32	20090427	20230815
36295TVQ4	GNMA POOL # 680223	4	1	16,261.44	17,143.99	15,593.85	16,204.41	939.58		(30.64	)	—	—	6.5000	5.3666	Monthly	84.47	517.27	20080131	20380115
36296DR67	GNMA POOL # 688209	4	1	11,659.28	11,691.09	11,107.38	11,391.08	300.01		(82.75	)	—	—	5.0000	3.9598	Monthly	46.28	307.38	20090729	20230715
36296E5H5	GNMA POOL # 689448	4	1	91,827.97	92,560.75	87,939.41	90,170.29	2,390.46		(526.24	)	—	—	5.0000	3.8172	Monthly	366.41	2,306.55	20090326	20230715
36296TPY3	GNMA POOL # 700739	4	1	126,915.66	126,040.65	120,201.29	124,127.21	1,913.44		(1,075.14	)	—	—	5.5000	4.0446	Monthly	550.92	3,640.66	20090603	20231015
36296UC73	GNMA POOL # 701294	4	1	119,951.17	121,333.05	114,751.49	117,884.86	3,448.19		(570.14	)	—	—	5.0000	3.7951	Monthly	478.13	2,982.40	20090327	20240115
36296URS1	GNMA POOL # 701697	4	1	154,105.33	154,129.72	145,769.14	150,655.84	3,473.88		(1,651.81	)	—	—	5.0000	3.6508	Monthly	607.37	4,061.15	20090929	20240215
36296UUL2	GNMA POOL # 701787	4	1	163,004.01	166,298.79	157,278.12	160,604.41	5,694.38		(634.58	)	—	—	5.0000	4.1314	Monthly	655.33	4,090.69	20090611	20240315
36296XHH0	GNMA POOL # 704132	4	1	27,410.48	27,290.28	25,927.74	26,815.98	474.30		(1,099.31	)	—	—	5.0000	3.5349	Monthly	108.03	951.16	20090929	20231215
36296XLY8	GNMA POOL # 704243	4	1	234,639.57	239,382.30	226,397.30	231,170.29	8,212.01		(945.84	)	—	—	5.0000	4.1055	Monthly	943.32	5,873.79	20090611	20240115
36296XWP5	GNMA POOL # 704554	4	1	712,342.58	727,179.52	687,734.57	703,007.93	24,171.59		(2,721.20	)	—	—	5.0000	4.0587	Monthly	2,865.56	17,869.92	20090611	20240615
36297AKF9	GNMA POOL # 705994	4	1	154,449.67	154,474.12	146,094.86	151,313.33	3,160.79		(1,310.78	)	—	—	5.0000	3.4202	Monthly	608.73	3,957.90	20090929	20240115
36297A3K7	GNMA POOL # 706502	4	1	96,260.75	97,471.68	92,184.45	94,742.59	2,729.09		(518.06	)	—	—	5.0000	3.7081	Monthly	384.10	2,388.57	20090326	20240115
36297DFF9	GNMA POOL # 708566	4	1	365,357.66	365,415.52	345,594.01	357,641.72	7,773.80		(4,639.82	)	—	—	5.0000	3.5804	Monthly	1,439.98	10,501.37	20090929	20240415
36297DTR8	GNMA POOL # 708960	4	1	67,050.97	67,894.52	64,211.67	65,784.47	2,110.05		(270.71	)	—	—	5.0000	4.0515	Monthly	267.55	1,664.64	20090326	20240315
36297G2R0	GNMA POOL # 711884	4	1	500,304.36	500,383.58	473,240.89	489,489.15	10,894.43		(4,877.62	)	—	—	5.0000	3.6276	Monthly	1,971.84	13,253.70	20090929	20240415
36297JJ54	GNMA POOL # 713184	4	1	308,097.56	308,146.33	291,431.31	301,227.36	6,918.97		(5,090.80	)	—	—	5.0000	3.6898	Monthly	1,214.30	9,437.19	20090929	20240415
36297KZF1	GNMA POOL # 714542	4	1	205,516.60	209,607.47	198,237.57	202,636.84	6,970.63		(771.49	)	—	—	5.0000	4.0932	Monthly	825.99	5,131.16	20090611	20240615
3620A2KC9	GNMA POOL # 716791	4	1	218,937.64	218,972.30	207,094.42	214,383.80	4,588.50		(3,659.52	)	—	—	5.0000	3.5493	Monthly	862.89	6,307.78	20090929	20240415
3620A5FJ3	GNMA POOL # 719369	4	1	358,004.34	350,523.18	335,416.15	350,726.45	(203.27	)	(2,372.39	)	—	—	4.5000	2.8073	Monthly	1,257.81	7,807.55	20100831	20250415
3620A6AC1	GNMA POOL # 720103	4	1	288,714.65	310,335.65	283,749.06	287,966.40	22,369.25		(840.74	)	—	—	4.5000	4.2380	Monthly	1,064.06	7,041.62	20090618	20390615
3620A6DZ7	GNMA POOL # 720220	4	1	442,275.66	445,241.12	421,089.57	433,585.49	11,655.63		(2,278.69	)	—	—	5.0000	3.8809	Monthly	1,754.54	10,924.25	20090729	20240715
3620ADCM2	GNMA POOL # 726476	4	1	2,635,484.78	2,614,989.34	2,501,795.10	2,585,980.75	29,008.59		(16,337.85	)	—	—	4.5000	3.2277	Monthly	9,381.73	59,343.30	20091208	20241115

3620ASPY9	GNMA POOL # 738539		4	1	1,628,867.80	1,598,188.70	1,516,327.81	1,620,324.89	(22,136.19	)	(17,137.58	)	—	—	4.0000	2.7578	Monthly	5,054.43	32,129.97		20111003	20410715
36225BPY8	GNMA POOL # 781339		4	1	133,630.21	141,301.89	121,069.25	130,833.93	10,467.96		(963.69	)	—	—	8.0000	6.2190	Monthly	807.13	5,030.96		20080307	20310915
36241KBP2	GNMA POOL # 781846		4	1	466,866.08	501,635.36	452,170.53	465,378.23	36,257.13		(1,658.91	)	—	—	6.5000	5.6059	Monthly	2,449.26	15,594.31		20080815	20340915
36241KEC8	GNMA POOL # 781931		4	1	1,137,091.99	1,223,317.47	1,101,299.72	1,133,702.89	89,614.58		(4,068.93	)	—	—	6.5000	5.6098	Monthly	5,965.37	38,001.02		20080815	20350515
36241KEH7	GNMA POOL # 781936		4	1	557,300.44	581,851.96	539,024.18	554,331.78	27,520.18		(1,370.42	)	—	—	4.5000	3.9820	Monthly	2,021.34	12,411.52		20100603	20350615
36241KGU6	GNMA POOL # 782011		4	1	55,471.60	59,727.18	54,284.12	55,279.97	4,447.21		(154.02	)	—	—	5.0000	4.6591	Monthly	226.18	1,443.34		20090714	20351215
36241KKB3	GNMA POOL # 782090		4	1	1,283,454.34	1,371,158.62	1,234,832.79	1,275,235.87	95,922.75		(5,543.05	)	—	—	6.5000	5.9052	Monthly	6,688.68	43,002.34		20071130	20360515
36241LHQ2	GNMA POOL # 782939		4	1	437,976.15	457,174.44	417,975.35	435,161.58	22,012.86		(2,108.97	)	—	—	5.0000	4.2590	Monthly	1,741.56	10,970.81		20100423	20360915
36241LN36	GNMA POOL # 783110		4	1	400,805.42	410,576.86	370,152.18	396,619.74	13,957.12		(5,068.56	)	—	—	5.5000	4.1880	Monthly	1,696.53	11,096.01		20100923	20360415
36179MEL0	GNMA POOL # MA0139		4	1	1,987,514.18	1,931,505.52	1,875,842.90	1,963,006.14	(31,500.62	)	(15,652.40	)	—	—	3.0000	1.5780	Monthly	4,689.61	30,180.78		20120619	20270620
36179MK82	GNMA POOL # MA0319		4	1	88,092.15	85,077.76	80,186.28	87,505.89	(2,428.13	)	(1,060.01	)	—	—	4.0000	2.5929	Monthly	267.29	1,709.51		20121004	20420820
36179MNJ5	GNMA POOL # MA0393		4	1	1,110,040.42	1,074,080.51	1,012,327.11	1,103,519.77	(29,439.26	)	(12,983.02	)	—	—	4.0000	2.5238	Monthly	3,374.43	21,551.50		20121018	20420920
36179MQN3	GNMA POOL # MA0461		4	1	1,147,010.00	1,094,371.83	1,077,637.10	1,141,184.54	(46,812.71	)	(7,303.69	)	—	—	3.0000	2.1856	Monthly	2,694.09	16,949.84		20121031	20421020
36179Q3H2	GNMA POOL # MA2600		4	1	1,929,693.55	1,900,217.38	1,878,046.83	1,928,049.50	(27,832.12	)	(5,467.11	)	—	—	3.0000	2.5618	Monthly	4,695.11	29,657.08		20150326	20450220
36179Q6P1	GNMA POOL # MA2678		4	1	1,413,357.83	1,393,695.16	1,343,855.56	1,411,242.13	(17,546.97	)	(8,904.58	)	—	—	3.5000	2.6767	Monthly	3,919.59	25,059.03		20150323	20450320
36179RD63	GNMA POOL # MA2825		4	1	1,538,930.17	1,539,418.19	1,521,457.22	1,538,317.60	1,100.59		(1,608.87	)	—	—	3.0000	2.8266	Monthly	3,803.65	23,882.00		20150616	20450520
36179RJD2	GNMA POOL # MA2960		4	1	511,867.26	498,514.51	492,698.16	511,515.80	(13,001.29	)	(1,439.85	)	—	—	3.0000	2.4176	Monthly	1,231.74	7,680.53		20160509	20450720
36179RJE0	GNMA POOL # MA2961		4	1	298,406.21	292,343.78	281,889.35	298,128.29	(5,784.51	)	(1,697.17	)	—	—	3.5000	2.5611	Monthly	822.18	5,194.00		20160509	20450720
36179RNY1	GNMA POOL # MA3107		4	1	1,730,170.48	1,709,410.91	1,606,891.75	1,727,955.18	(18,544.27	)	(22,540.10	)	—	—	4.5000	2.7571	Monthly	6,025.84	39,609.77		20151110	20450920
36179RQ36	GNMA POOL # MA3174		4	1	292,302.44	288,312.77	273,539.37	292,044.70	(3,731.93	)	(3,120.91	)	—	—	4.0000	2.6407	Monthly	911.79	5,948.94		20160509	20451020
36179RVB2	GNMA POOL # MA3310		4	1	1,560,859.32	1,549,040.13	1,493,645.28	1,559,508.23	(10,468.10	)	(6,110.63	)	—	—	3.5000	2.7408	Monthly	4,356.47	27,328.15		20160104	20451220
36179SB97	GNMA POOL # MA3664		4	1	5,565,233.54	5,461,890.92	5,183,742.49	5,560,068.40	(98,177.48	)	(79,961.62	)	—	—	4.0000	2.5498	Monthly	17,279.14	114,345.97		20160608	20460520
36179SCA3	GNMA POOL # MA3665		4	1	1,166,074.90	1,154,421.84	1,084,563.20	1,165,013.05	(10,591.21	)	(23,878.56	)	—	—	4.5000	2.9781	Monthly	4,067.11	27,856.58		20160526	20460520
36179SEG8	GNMA POOL # MA3735		4	1	2,157,298.57	2,101,496.90	2,076,977.95	2,156,130.51	(54,633.61	)	(4,570.60	)	—	—	3.0000	2.4246	Monthly	5,192.44	32,023.15		20160623	20460620
36179SEH6	GNMA POOL # MA3736		4	1	9,309,930.66	9,109,177.22	8,787,163.10	9,302,144.40	(192,967.18	)	(39,539.63	)	—	—	3.5000	2.4818	Monthly	25,629.23	159,951.47		20160608	20460620
36179S5L7	GNMA POOL # MA4451		4	1	1,035,731.68	1,034,636.55	997,844.76	1,035,573.22	(936.67	)	(240.29	)	—	—	3.5000	3.2101	Monthly	2,910.38	1,263.89		20170509	20470520
38378XF63	GNMA SENIOR CMBS 14-168		4		2,365,222.47	2,354,431.39	2,263,371.00	2,362,014.98	(7,583.59	)	(3,207.49	)	—	—	3.3791	1.5551	Monthly	6,373.50	(212.45	)	20170530	20370116
38172XAL3	GOCAP_13-16A MEZZANIN ABS 13-16A 144A	D	4		250,000.00	250,157.50	250,000.00	250,000.00	157.50		—		—	—	—	—	Apr-Oct	—	—		20170623	20290725
38174GAE4	GOCAP_15-24A MEZZANIN ABS 15-24A C 144A	D	4	1FE	1,500,000.00	1,498,175.10	1,500,000.00	1,500,000.00	(1,824.90	)	—		—	—	4.9212	4.9507	F-M-A-N	11,687.90	35,099.29		20150331	20270205
38173XAA6	GOCAP_2014-21A ABS _2014-21A-A 144A	D	4		4,000,000.00	3,999,666.80	4,000,000.00	4,000,000.00	(333.20	)	—		—	—	3.0562	3.0671	J-A-J-O	22,751.86	57,814.87		20141107	20261025
38173QAC7	GOLCP_17 SENIOR ABS 2013-17A A2 144A	D	4	1FE	244,375.00	246,797.18	250,000.00	245,537.11	1,260.07		506.94		—	—	3.5562	4.0615	J-A-J-O	1,654.63	4,245.37		20160505	20251027
380956AD4	GOLDCORP INC SENIOR CORP BND	A	2	2FE	1,976,820.00	2,067,740.03	2,000,000.00	1,987,132.32	80,607.71		2,475.68		—	—	3.7000	4.1700	Mar-Sep	21,788.88	23,433.33		20150706	20230315
38148BAA6	GOLDMAN SACHS GROUP INC/THE CAPSEC CORP		2	3FE	7,181,300.00	7,288,750.00	7,000,000.00	7,075,554.60	213,195.40		(19,074.47	)	—	—	5.7000	5.0837	May-Nov	56,525.00	199,500.00		20140715	20491231
38148BAB4	GOLDMAN SACHS GROUP INC/THE CAPSEC CORP		2	3FE	1,965,000.00	2,087,812.50	1,965,000.00	1,965,000.00	122,812.50		—		—	—	5.3750	5.3750	May-Nov	14,962.65	52,809.38		20150416	0

38141GES9	GOLDMAN SACHS GROUP INC/THE CORP BND			2FE	3,220,582.30	3,240,612.73	2,782,000.00	3,139,013.00	101,599.73		(26,607.57	)	—	—	5.9500	4.2960	Jan-Jul	76,327.26	214,517.99		20140819	20270115
38148FAB5	GOLDMAN SACHS GROUP INC/THE SENIOR CORP			1FE	2,183,602.50	2,171,306.43	2,150,000.00	2,174,192.34	(2,885.91	)	(5,046.81	)	—	—	2.5500	1.9691	Apr-Oct	10,355.84	27,412.50		20160616	20191023
38145XAA1	GOLDMAN SACHS GROUP INC/THE SENIOR CORP			1FE	6,807,750.00	6,815,272.71	6,750,000.00	6,771,438.55	43,834.16		(6,593.82	)	—	—	2.6250	2.3570	Jan-Jul	74,320.32	88,593.75		20140128	20190131
38141GWJ9	GOLDMAN SACHS GROUP INC/THE SENIOR CORP		2	1FE	5,880,000.00	5,883,704.63	5,880,000.00	5,880,000.00	3,704.63		—		—	—	2.9080	2.9080	Jun-Dec	12,349.32	—		20170531	20230605
38143U8F1	GOLDMAN SACHS GROUP INC/THE SENIOR CORP		2	1FE	1,092,440.60	1,101,913.72	1,090,000.00	1,091,838.06	10,075.66		(241.57	)	—	—	2.8750	2.9109	Feb-Aug	10,968.13	15,668.75		20160222	20210225
38145GAG5	GOLDMAN SACHS GROUP INC/THE SENIOR CORP		2	1FE	174,819.75	172,663.75	175,000.00	174,848.61	(2,184.86	)	231.93		—	—	2.3500	2.3709	May-Nov	525.50	34,305.10		20160922	20211115
38148LAA4	GOLDMAN SACHS GROUP INC/THE SENIOR CORP		2	1FE	2,538,225.00	2,522,225.00	2,500,000.00	2,527,944.83	(5,719.83	)	(5,539.01	)	—	—	2.6000	2.1760	Apr-Oct	12,277.78	45,727.50		20160608	20200423
38141GVP6	GOLDMAN SACHS GROUP INC/THE SENIOR CORP		2	1FE	4,801,108.00	4,856,496.10	4,800,000.00	4,800,691.52	55,804.58		305.73		—	—	2.7500	2.7940	Mar-Sep	38,866.66	123,291.67		20150908	20200915
38148LAE6	GOLDMAN SACHS GROUP INC/THE SENIOR CORP		2	1FE	4,705,071.50	4,777,662.96	4,675,000.00	4,699,381.78	78,281.18		(1,411.67	)	—	—	3.7500	3.6591	May-Nov	18,992.19	87,656.25		20150519	20250522
38141GRD8	GOLDMAN SACHS GROUP INC/THE SENIOR CORP			1FE	2,068,860.00	2,063,519.90	2,000,000.00	2,068,405.30	(4,885.40	)	(454.70	)	—	—	3.6250	2.9530	Jan-Jul	32,020.83	(29,000.00	)	20170613	20230122
386442WH6	GRAND RIVER DAM AUTH OKLA MUNI BND REV			1FE	60,557.00	59,267.00	50,000.00	59,592.44	(325.44	)	(765.11	)	—	—	5.0000	1.5903	Jun-Dec	208.34	1,250.00		20161026	20230601
BRT8C2871	GRAY TELEVISION INC. SECURED TERM LOAN			3FE	1,374,913.88	1,385,251.57	1,378,359.78	1,375,079.58	10,171.99		183.02		—	—	—	0.0356	M-J-S-D	—	12,130.95		20170203	20240207
BRT83PRJ3	GRIFOLS WORLDWIDE OPERATIONS U SECURED T		2	3FE	1,294,764.45	1,296,434.28	1,295,199.95	1,294,818.96	1,615.32		57.82		—	—	—	0.0312	M-J-S-D	—	5,507.90		20170124	20250131
39055TAC2	GRTLK_15-1A ABS 15-1A 144A	D	4	1FE	450,000.00	445,225.77	450,000.00	450,000.00	(4,774.23	)	—		—	—	3.8584	3.8769	J-A-J-O	3,617.29	8,305.57		20150720	20260715
40053RAA0	GRX_15-1A ABS 15-1A		4		1,537,614.10	1,477,236.91	1,537,614.10	1,537,614.10	(60,377.19	)	—		—	—	3.7500	3.7546	J-A-J-O	12,172.78	34,273.07		20150225	20230715
36248GAB6	GS MORTGAGE SECURITIES TRUST G SENIOR CM		4	1FM	1,037,086.72	1,001,680.53	987,775.13	1,017,144.83	(15,464.30	)	50,040.96		—	—	3.0330	2.0224	Monthly	2,496.60	79,019.12		20150406	20461110
36251FAT3	GS MORTGAGE SECURITIES TRUST G SUPSEN SE		4	1FM	1,735,260.15	1,720,438.08	1,690,000.00	1,716,490.66	3,947.42		(5,218.55	)	—	—	2.8980	2.2975	Monthly	4,081.35	24,488.10		20150710	20480210
36191YBB3	GSMS_11-GC5 CMBS_11-GC5 A4		4	1FM	4,733,705.48	4,571,197.46	4,350,000.00	4,659,285.45	(88,087.99	)	(47,368.91	)	—	—	3.7070	1.7502	Monthly	13,437.89	80,627.22		20160908	20440810
36192CAF2	GSMS_13-GC10 PAC SENIOR CMBS_13-GC10 AAB		4		256,488.28	252,542.50	250,000.00	255,003.71	(2,461.21	)	(832.99	)	—	—	2.5640	1.9880	Monthly	534.17	3,205.02		20160622	20460210
36253TAK0	GSMS_14-GSFL CMBS_14-GSFL 144A		4		900,000.00	894,401.46	900,000.00	900,000.00	(5,598.54	)	—		—	—	3.4089	3.4327	Monthly	1,363.56	12,219.60		20170105	20310715
36250GAP0	GSMS_15-GC30 LCF SENIOR CMBS_15-GC30 A4		4	1FM	1,238,038.00	1,226,163.08	1,202,000.00	1,231,379.20	(5,216.12	)	(3,569.74	)	—	—	3.3820	3.0504	Monthly	3,387.64	60,909.84		20150515	20500510
39808FAN8	GWOLF_14-1A ABS_14-1A-BR 144A	D	4	1FE	2,000,000.00	1,992,358.00	2,000,000.00	2,000,000.00	(7,642.00	)	—		—	—	—	3.3368	J-A-J-O	—	—		20170619	20260422
406216BG5	HALLIBURTON COMPANY SENIOR CORP BND		2	2FE	1,336,234.60	1,372,816.56	1,340,000.00	1,336,758.45	36,058.11		162.23		—	—	3.8000	3.8341	May-Nov	6,506.44	25,460.00		20151105	20251115
BRT8D2SV5	HARLAND CLARKE HOLDINGS CORP SECURED TER		2	4FE	1,454,666.92	1,467,855.21	1,468,222.26	1,455,568.63	12,286.58		1,068.31		—	—	—	0.2006	M-J-S-D	—	32,375.99		20170203	20220209
BRT2N0U22	HARLAND CLARKE HOLDINGS CORP SENIOR SECU			3FE	1,841,728.01	1,903,435.39	1,898,688.67	1,852,131.21	51,304.18		5,780.98		—	—	—	0.5440	M-J-S-D	—	76,959.62		20160614	20211231
BRSYDKXU5	HARLEY-DAVIDSON FINANCIAL SENIOR CORP BN			1FE	1,999,760.00	2,005,240.00	2,000,000.00	1,999,878.29	5,361.71		38.60		—	—	2.2500	2.2540	Jan-Jul	20,750.00	22,500.00		20160105	20190115
41283LAG0	HARLEY-DAVIDSON FINANCIAL SENIOR CORP BN			1FE	3,624,565.00	3,635,476.29	3,625,000.00	3,624,779.41	10,696.88		69.97		—	—	2.2500	2.2540	Jan-Jul	37,609.38	40,781.25		20160105	20190115
43814GAC4	HAROT ABS_14-2-A3		4	1FE	13,191.21	13,212.19	13,215.99	13,213.60	(1.41	)	62.21		—	—	0.7700	0.8517	Monthly	3.67	533.20		20140724	20180319
43814GAD2	HAROT_14-2 SENIOR ABS 14-2 A4		4	1FE	500,351.56	499,875.60	500,000.00	500,027.75	(152.15	)	(56.08	)	—	—	1.1800	1.1568	Monthly	213.06	2,950.02		20141028	20200518
43814QAD0	HAROT_16-2 SENIOR ABS_16-2 A4		4	1FE	785,988.13	783,149.23	786,000.00	785,991.83	(2,842.60	)	4.07		—	—	1.6200	1.6259	Monthly	565.92	6,366.60		20160524	20220815
438124AC3	HAROT_16-3 SENIOR ABS 2016-3 A3		4	1FE	3,129,564.61	3,112,022.18	3,130,000.00	3,129,713.13	(17,690.95	)	87.44		—	—	1.1600	1.1685	Monthly	1,311.12	18,154.02		20160815	20200518
43814RAD8	HAROT_16-4 SENIOR ABS_16-4 A4		4	1FE	409,897.87	405,374.58	410,000.00	409,918.23	(4,543.65	)	15.01		—	—	1.3600	1.3715	Monthly	201.36	2,788.02		20161018	20230118
415690MD5	HARRISONBURG VA REDEV & HSG AU MUNI BND		2	4FE	717,102.10	717,109.25	715,000.00	715,000.00	2,109.25		—		—	—	7.0000	7.0000	Feb-Aug	20,854.17	29,575.00		20140930	20200801
44890UAD6	HART_14-B ABS _14-B-A4		4	1FE	3,273,351.45	3,265,195.81	3,265,000.00	3,266,383.00	(1,187.19	)	(1,313.39	)	—	—	1.4600	1.3409	Monthly	2,118.62	23,834.46		20140507	20191115

44930UAD8	HART_16-A SENIOR ABS_16-A A3		4	1FE	469,908.82	469,622.02	470,000.00	469,947.15	(325.13	)	16.40		—	—		1.5600	1.5719	Monthly	325.87	4,730.70	20160322	20200915
BRT92SWZ4	HCA INC SENIOR SECURED TERM LOAN			3FE	725,676.00	728,821.54	727,205.69	725,719.32	3,102.22		64.88		—	—		—	0.0358	M-J-S-D	—	5,076.15	20170501	20230317
429827AN8	HEF_04-1 ABS 04-1 A13 144A		4	1FE	164,000.00	181,196.14	200,000.00	177,594.61	3,601.53		901.85		—	—		0.1556	1.2058	Monthly	3.41	1,372.46	20090910	20440101
429827AQ1	HEF_04-1 ABS 04-1 A15 144A			1FE	246,000.00	260,043.69	300,000.00	255,986.40	4,057.29		1,771.30		—	—		2.0209	1.4852	Monthly	180.20	2,361.00	20090910	20440101
429827AB4	HEF_04-1 ABS 04-1 A2 144A		4	1FE	164,000.00	187,290.28	200,000.00	180,944.76	6,345.52		2,051.39		—	—		0.9100	2.3286	Monthly	59.84	1,402.23	20090910	20440101
429827AF5	HEF_04-1 ABS 04-1 A6 144A		4	1FE	164,000.00	183,910.58	200,000.00	178,381.57	5,529.01		1,826.97		—	—		0.9680	2.2202	Monthly	90.17	1,397.85	20090910	20440101
427866AV0	HERSHEY COMPANY THE SENIOR CORP BND			1FE	999,740.00	1,001,130.00	1,000,000.00	999,899.68	1,230.32		43.20		—	—		1.6000	1.6089	Feb-Aug	5,777.78	8,000.00	20150818	20180821
42806DAJ8	HERTZ_15-3A ABS_15-3A B 144A		4		2,499,756.75	2,504,818.25	2,500,000.00	2,499,834.01	4,984.24		25.06		—	—		3.7100	3.7408	Monthly	1,545.83	46,375.02	20150930	20210925
42824CAU3	HEWLETT PACKARD ENTERPRISE CO SENIOR COR			2FE	3,521,569.48	3,544,711.65	3,505,000.00	3,516,971.50	27,740.15		(4,548.47	)	—	—		3.1000	3.1421	Apr-Oct	25,956.47	51,942.13	20161230	20181005
429827AJ7	HIGHER EDUCATION FUNDING HEF_0 ABS 04-1		4	1FE	164,224.00	182,706.62	200,000.00	178,207.84	4,498.78		1,843.57		—	—		1.1670	2.1050	Monthly	44.19	1,454.65	20090910	20440101
429827AE8	HIGHER EDUCATION FUNDING HEF_0 ABS 04-1		4	1FE	164,000.00	185,103.50	200,000.00	178,329.24	6,774.26		1,157.49		—	—		1.9860	3.4238	Monthly	10.88	1,791.77	20090910	20440101
429827AK4	HIGHER EDUCATION FUNDING HEF_0 ABS_04-1		4	1FE	164,196.00	182,706.62	200,000.00	177,903.50	4,803.12		1,877.90		—	—		0.9100	2.1021	Monthly	34.90	1,931.44	20090910	20440101
BRT3X6466	HILTON WORLDWIDE FINANCE LLC TERM NOTES			3FE	1,974,526.68	1,984,876.97	1,979,652.67	1,974,753.61	10,123.36		239.78		—	—		—	0.0387	M-J-S-D	—	16,824.14	20170316	20231025
40538FAJ2	HLAF_14-C-1 SENIOR ABS 14-C-1 144A	D	4	1	478,000.00	498,677.70	500,000.00	484,425.14	14,252.56		1,270.87		—	—		4.1532	4.8273	J-A-J-O	3,922.44	10,013.79	20150128	20251022
40390AAA9	HMH_17-NSS CMBS_17-NSS-A 144A		4		858,496.94	858,566.41	850,000.00	858,483.35	83.06		(13.59	)	—	—		3.0622	2.8554	Monthly	2,169.06	—	20170609	20310707
437076BQ4	HOME DEPOT INC SENIOR CORP BND			1FE	3,857,761.20	3,859,073.53	3,860,000.00	3,857,813.01	1,260.52		51.81		—	—		1.8000	1.8200	Jun-Dec	5,018.00	—	20170524	20200605
437076BL5	HOME DEPOT INC SENIOR CORP BND		2	1FE	398,576.00	399,116.00	400,000.00	398,950.60	165.40		132.77		—	—		2.0000	2.0731	Apr-Oct	2,000.00	4,000.00	20160203	20210401
437076BG6	HOME DEPOT INC SENIOR CORP BND		2	1FE	1,494,480.00	1,522,710.12	1,500,000.00	1,496,013.99	26,696.13		374.38		—	—		2.6250	2.6830	Jun-Dec	3,281.26	19,687.50	20150528	20220601
BRSY03M62	HOME FRANCHISE CONCEPTS LLC SENIOR SECUR				4,890,383.49	4,878,157.53	4,890,383.49	4,890,383.49	(12,225.96	)	—		—	—		—	—	M-J-S-D	—	153,743.43	20151130	20211130
43814QAC2	HONDA AUTO RECEIVABLES OWNER T ABS_16-2		4		1,399,972.84	1,396,579.90	1,400,000.00	1,399,973.78	(3,393.88	)	0.77		—	—		1.3900	1.3941	Monthly	864.89	10,965.58	20160524	20200415
43814MAD9	HONDA AUTO RECEIVABLES OWNER T SENIOR AB		4	1FE	3,000,703.13	2,996,843.25	3,000,000.00	3,000,667.86	(3,824.61	)	(35.27	)	—	—		1.5600	1.5453	Monthly	1,690.00	1,170.00	20170606	20211018
438516BA3	HONEYWELL INTERNATIONAL INC CORP BND			1FE	1,126,518.60	1,095,969.50	1,020,000.00	1,090,134.26	5,835.24		(9,016.56	)	—	—		4.2500	2.2850	Mar-Sep	14,450.00	21,675.00	20150616	20210301
438516BJ4	HONEYWELL INTERNATIONAL INC SENIOR CORP			1FE	2,747,827.50	2,727,422.53	2,750,000.00	2,748,304.47	(20,881.94	)	371.93		—	—		1.4000	1.4270	Apr-Oct	6,523.61	23,138.89	20161024	20191030
438670Q20	HONOLULU HAWAII CITY & CNTY MUNITAX BND			1FE	1,500,000.00	1,500,225.00	1,500,000.00	1,500,000.00	225.00		—		—	—		1.2590	1.2590	May-Nov	3,147.50	9,442.50	20150601	20171101
BRSPKZWC4	HOPLON II INSURANCE LTD CORP BND	B			11,608,077.94	10,297,848.67	9,000,000.00	11,599,275.57	12,997.22		(3,521.89	)	—	(1,314,424.12	)	7.3061	7.3061	J-A-J-O	170,824.79	313,170.24	20140808	20180108
BRST7Y914	HOUGHTON MIFFLIN HARCOURT PUBL SENIOR SE		4	4FE	1,138,249.00	1,085,817.49	1,143,968.86	1,140,204.23	(54,386.74	)	498.25		—	—		—	0.0832	M-J-S-D	—	23,265.40	20150511	20210528
4424356L2	HOUSTON TEX MUNI BND REV		2	1FE	452,780.27	421,349.50	415,000.00	421,422.81	(73.31	)	(8,563.48	)	—	—		5.0000	0.8256	May-Nov	2,651.39	10,375.00	20150831	20211115
4424356Y4	HOUSTON TEX MUNI BND REV		2	1FE	147,289.97	136,867.05	135,000.00	137,089.35	(222.30	)	(2,785.71	)	—	—		5.0000	0.8256	May-Nov	862.50	3,375.00	20150831	20211115
44266RAC1	HOWARD HUGHES MEDICAL IN MUNITAX BND REV			1FE	1,011,949.50	1,002,791.50	950,000.00	1,001,315.53	1,475.97		(3,777.76	)	—	—		3.5000	2.5480	Mar-Sep	11,083.33	16,625.00	20160129	20230901
G463NBBT9	HSBC BANK PLC SENIOR CORP BND	D			1,996,260.00	1,997,374.00	2,000,000.00	1,999,327.00	(1,953.00	)	685.78		—	—		1.5000	1.5390	May-Nov	3,833.33	30,300.00	20130508	20180515
40428HPJ5	HSBC BANK USA INC SENIOR CORP BND			1FE	938,383.20	948,770.29	940,000.00	939,582.17	9,188.12		164.51		—	—		2.6250	2.6620	Mar-Sep	6,648.54	12,337.51	20130917	20180924
404280BC2	HSBC HOLDINGS PLC CAPSEC CORP BND	D	2	2FE	210,000.00	227,104.50	210,000.00	210,000.00	17,104.50		—		—	—		6.8750	6.8745	Jun-Dec	1,203.13	7,218.75	20160524	20491231
404280AR0	HSBC HOLDINGS PLC CAPSEC CORP BND	D	2	2FE	5,585,000.00	5,706,641.30	5,585,000.00	5,585,000.00	121,641.30		—		—	—		5.6250	5.6250	Jan-Jul	143,115.64	157,078.14	20140910	0
404280BL2	HSBC HOLDINGS PLC CAPSEC CORP BND	D	2	2FE	1,625,000.00	1,682,573.75	1,625,000.00	1,625,000.00	57,573.75		—		—	—		6.0000	5.9997	May-Nov	10,562.50	2,000.00	20170515	20491231

404280AY5	HSBC HOLDINGS PLC SENIOR CORP BND	D		1FE	5,060,118.75	5,086,505.55	5,025,000.00	5,060,446.47	26,059.08		49.53		—	—		2.9500	2.9771	May-Nov	14,823.75	30,712.78		20160518	20210525
404280AN9	HSBC HOLDINGS PLC SENIOR CORP BND	D		1FE	785,947.50	790,252.42	750,000.00	777,463.85	12,788.57		(2,639.99	)	—	—		4.0000	3.1630	Mar-Sep	7,583.33	15,000.00		20151110	20220330
404280BG3	HSBC HOLDINGS PLC SENIOR CORP BND	D		1FE	2,820,000.00	2,903,471.97	2,820,000.00	2,820,000.00	83,471.97		—		—	—		2.6498	2.6498	J-A-J-O	18,058.59	45,989.10		20160928	20220105
404280BJ7	HSBC HOLDINGS PLC SENIOR CORP BND	D	2	1FE	2,200,000.00	2,244,286.00	2,200,000.00	2,200,000.00	44,286.00		—		—	—		3.2620	3.2620	Mar-Sep	21,529.20	7,520.72		20170306	20230313
G463CFAA4	HSBC HOLDINGS PLC SUB CORP BND	B	2	1FE	2,439,929.61	2,172,501.67	1,650,000.00	2,310,001.17	4,188.10		(42,893.16	)	—	(141,687.60	)	6.3750	2.7081	October	95,830.47	(10,083.99	)	20141125	20221018
40428HPN6	HSBC USA INC SENIOR CORP BND			1FE	299,817.00	302,280.03	300,000.00	299,910.86	2,369.17		18.19		—	—		2.3750	2.3880	May-Nov	910.42	3,582.29		20141105	20191113
C4426EAH7	HUDSONS BAY CO SECURED TERM LOAN	A	4	4FE	705,393.88	669,356.40	708,938.57	706,273.18	(36,916.78	)	251.14		—	—		—	0.0708	F-M-A-N	—	—		20150814	20220930
446438RU9	HUNTINGTON NATIONAL BANK THE SENIOR CORP		2	1FE	1,799,892.00	1,808,099.80	1,800,000.00	1,799,902.73	8,197.07		10.73		—	—		2.3750	2.3771	Mar-Sep	13,181.25	—		20170307	20200310
BRT6KYD05	HUNTSMAN INTL LLC SENIOR SECURED TERM LO			3FE	604,225.36	608,904.81	607,007.91	604,493.16	4,411.65		235.10		—	—		—	0.0711	F-M-A-N	—	11,399.13		20161115	20230401
C4438BAC0	HUSKY INJECTION MOLDING SYS LT SENIOR SE	A	4	4FE	342,165.39	345,432.27	343,884.79	342,892.30	2,539.97		226.97		—	—		—	0.0713	M-J-S-D	—	—		20140626	20210630
BRSSNVRZ9	HVFII_15-1 ABS_15-1 B		4		2,999,848.20	3,006,307.20	3,000,000.00	2,999,854.39	6,452.81		7.91		—	—		3.5200	3.5456	Monthly	1,760.00	52,800.00		20150407	20210525
44421LAA0	HY_16-10HY LCF SENIOR CMBS 16-10HY 144A		4	1FM	1,622,133.33	1,536,822.00	1,575,000.00	1,618,443.65	(81,621.65	)	(1,180.56	)	—	—		2.8350	2.5004	Monthly	3,720.94	22,325.64		20160808	20380810
44891AAM9	HYUNDAI CAPITAL AMERICA CORP BND 144A			2FE	454,517.70	454,049.51	455,000.00	454,539.07	(489.56	)	21.37		—	—		3.1000	3.1231	Apr-Oct	3,369.53	—		20170329	20220405
44891AAG2	HYUNDAI CAPITAL AMERICA SENIOR CORP BND			1FE	1,998,580.00	1,983,244.00	2,000,000.00	1,999,066.31	(15,822.31	)	326.95		—	—		2.0000	2.0239	Jan-Jul	20,000.00	41,722.22		20160607	20190701
44891AAL1	HYUNDAI CAPITAL AMERICA SENIOR CORP BND			2FE	1,497,900.00	1,496,287.50	1,500,000.00	1,498,060.80	(1,773.30	)	160.80		—	—		2.5500	2.5989	Apr-Oct	9,137.50	—		20170329	20200403
44920UAJ7	HYUNDAI CAPITAL SERVICES INC SENIOR CORP	D		2FE	851,580.00	850,614.71	855,000.00	851,782.79	(1,168.08	)	202.79		—	—		3.0000	3.0869	Mar-Sep	8,193.76	—		20170227	20220306
BRT9YGS72	IASIS HELTHCARE CORP SENIOR SECURED TERM		2	4FE	2,801,387.00	2,818,322.25	2,804,300.74	2,801,508.96	16,813.29		129.26		—	—		—	0.0503	M-J-S-D	—	23,369.17		20170504	20210216
G4721VAY0	IMPERIAL TOBACCO FIN PLC CORP BND	B		2FE	705,322.77	556,315.40	400,000.00	655,969.16	7,645.85		(11,898.02	)	—	(107,299.61	)	6.2500	2.1865	December	18,594.54	—		20141215	20181204
G4721V112	IMPERIAL TOBACCO FIN PLC SENIOR LOCAL BN	B			1,440,504.56	1,462,566.14	1,000,000.00	1,405,248.30	(6,675.51	)	(34,260.19	)	—	63,993.34		7.7500	1.0139	June	1,930.62	63,972.57		20161221	20190624
BRT8V42S6	IMS HEALTH INCORPORATED SENIOR SECURED T		2	3FE	2,900,087.69	2,921,162.82	2,903,619.15	2,900,173.73	20,989.09		95.66		—	—		—	0.0133	M-J-S-D	—	15,329.21		20170501	20240307
454795DQ5	IN HLTH CLARIAN MUNI BND REV		2	1FE	405,442.00	378,118.10	365,000.00	374,666.42	3,451.68		(5,688.50	)	—	—		5.2500	2.0303	May-Nov	3,193.75	9,581.25		20140930	20241101
454795DR3	IN HLTH CLARIAN MUNI BND REV		2	1FE	381,825.50	362,579.00	350,000.00	357,662.22	4,916.78		(4,493.64	)	—	—		5.2500	2.5784	May-Nov	3,062.50	9,187.50		20140930	20251101
BRTB5VN55	INC RESEARCH HOLDINGS INC SENIOR SECURED		2	3FE	1,001,187.68	1,003,693.78	1,002,440.73	1,001,187.68	2,506.10		—		—	—		—	0.0182	M-J-S-D	—	—		20170628	20240630
45505UAH1	INDIANA ST FINANCE AUTHORITY MUNI BND RE			1FE	2,301,800.00	2,102,860.00	2,000,000.00	2,100,161.42	2,698.58		(36,929.43	)	—	—		5.0000	1.2040	May-Nov	16,666.67	50,000.00		20140930	20181101
BRT9J8CW9	INEOS STYROLUTION US HOLDING L TERM LOAN				87,279.73	88,104.09	87,665.76	87,286.79	817.30		8.03		—	—		—	0.0633	M-J-S-D	—	876.42		20170516	20240329
BRT8W9FP6	INEOS US FINANCE LLC SENIOR SECURED TERM			3FE	4,167,964.70	4,206,151.46	4,198,279.69	4,169,940.93	36,210.53		2,128.59		—	—		—	0.4093	M-J-S-D	—	52,794.56		20170301	20220331
BRT8EKLA7	INFOR US INC SECURED TERM LOAN		2	4FE	1,760,790.37	1,754,544.54	1,766,532.23	1,761,246.38	(6,701.84	)	470.40		—	—		—	0.0429	J-A-J-O	—	31,648.87		20170206	20220201
449786BD3	ING BANK NV SENIOR CORP BND 144A	D			387,336.95	387,814.36	385,000.00	386,385.94	1,428.42		(295.76	)	—	—		2.5000	2.3349	Apr-Oct	2,406.25	4,812.50		20151113	20191001
449786BG6	ING BANK NV SENIOR CORP BND 144A	D		1FE	5,000,000.00	5,016,090.00	5,000,000.00	5,000,000.00	16,090.00		—		—	—		1.7918	1.7918	F-M-A-N	11,696.34	39,750.36		20160808	20190815
44987CAB4	ING BANK NV SENIOR CORP BND 144A	D		1FE	3,529,556.10	3,534,586.41	3,535,000.00	3,533,686.71	899.70		907.52		—	—		1.8000	1.8530	Mar-Sep	18,558.75	31,815.00		20150310	20180316
44987DAN6	ING BANK NV SENIOR CORP BND EMTN	D			3,249,057.50	3,266,055.00	3,250,000.00	3,249,450.19	16,604.81		153.94		—	—		2.3000	2.3101	Mar-Sep	20,556.25	37,375.00		20160315	20190322
44987CAE8	ING BANK NV SENIOR CORP BND MTN 144A	D		1FE	2,748,322.50	2,755,775.00	2,750,000.00	2,749,356.32	6,418.68		279.07		—	—		2.0500	2.0711	Feb-Aug	20,984.03	28,187.50		20150810	20180817
N6088VDF2	ING BANK NV SUB CORP BND	B	2	1FE	1,927,642.68	1,632,936.02	1,200,000.00	1,811,144.47	10,329.58		(37,805.01	)	—	(188,538.03	)	6.8750	2.5568	May	9,688.74	114,422.00		20150612	20230529
456837AH6	ING GROEP NV SENIOR CORP BND	D		1FE	1,023,657.25	1,065,426.00	1,025,000.00	1,023,685.53	41,740.47		28.28		—	—		3.9500	3.9660	Mar-Sep	10,346.81	—		20170321	20270329

456837AG8	ING GROEP NV SENIOR CORP BND	D		1FE	2,694,789.00	2,751,110.95	2,700,000.00	2,695,036.65	56,074.30		247.65		—	—	3.1500	3.1921	Mar-Sep	21,735.00	—		20170321	20220329
45687AAL6	INGERSOLL-RAND GLOBAL HOLDING SENIOR COR			2FE	4,047,361.60	4,063,339.09	4,004,000.00	4,029,887.54	33,451.55		(3,537.42	)	—	—	2.8750	2.7986	Jan-Jul	53,080.80	30,730.56		20140616	20190115
456873AA6	INGERSOLL-RAND LUXEMBOURG FINA SENIOR CO	D	2	2FE	1,502,730.00	1,514,100.03	1,500,000.00	1,501,443.51	12,656.52		(247.22	)	—	—	2.6250	2.5889	May-Nov	6,562.50	19,687.50		20141024	20200501
45833UAB7	INTEGRITY RE LTD SENIOR CORP BND	D			250,000.00	250,407.50	250,000.00	250,000.00	407.50		—		—	—	15.5154	15.5154	Monthly	2,047.18	1,469.30		20170421	20200610
45833UAA9	INTEGRITY RE LTD SENIOR CORP BND 144A	D			1,000,000.00	1,001,200.00	1,000,000.00	1,000,000.00	1,200.00		—		—	—	0.5000	0.5000	Monthly	263.89	2,439.72		20170421	20200610
45833UAC5	INTEGRITY RE LTD SENIOR CORP BND 144A	D			1,500,000.00	1,504,080.00	1,500,000.00	1,500,000.00	4,080.00		—		—	—	0.5000	0.5000	Monthly	395.83	4,003.33		20170421	20200610
45833UAD3	INTEGRITY RE LTD SENIOR CORP BND 144A	D			500,000.00	500,375.00	500,000.00	500,000.00	375.00		—		—	—	0.5000	0.5000	Monthly	145.83	1,372.63		20170421	20200610
458140AQ3	INTEL CORPORATION SENIOR CORP BND			1FE	2,023,096.50	2,057,521.56	2,025,000.00	2,023,801.09	33,720.47		185.94		—	—	2.4500	2.4701	Jan-Jul	20,947.50	24,806.25		20150722	20200729
458140AZ3	INTEL CORPORATION SENIOR CORP BND			1FE	1,499,430.00	1,500,390.01	1,500,000.00	1,499,455.73	934.28		25.73		—	—	1.8500	1.8631	May-Nov	3,854.16	—		20170508	20200511
458140AW0	INTEL CORPORATION SENIOR CORP BND		2	1FE	4,991,200.00	4,927,000.05	5,000,000.00	4,993,100.85	(66,100.80	)	851.93		—	—	1.7000	1.7369	May-Nov	9,916.67	42,500.00		20160512	20210519
458182DT6	INTER-AMERICAN DEV BANK CORP BND	D		1	2,050,000.00	2,050,368.96	2,050,000.00	2,050,000.00	368.96		—		—	—	1.2581	1.2581	M-J-S-D	1,361.20	11,059.66		20130905	20180912
45818WAT3	INTER-AMERICAN DEV BANK CORP BND EMTN	D			5,000,000.00	4,999,350.00	5,000,000.00	5,000,000.00	(650.00	)	—		—	—	1.2636	1.2636	M-J-S-D	1,930.44	26,931.04		20140613	20180620
45818WBP0	INTER-AMERICAN DEV BANK CORP BND GMTN	D		1FE	7,000,000.00	6,996,499.79	7,000,000.00	7,000,000.00	(3,500.21	)	—		—	—	1.2749	1.2749	J-A-J-O	2,726.76	—		20170613	20220715
BRSYNGK60	INTER-AMERICAN DEV BANK SENIOR CORP BND	B		1FE	1,017,150.31	1,052,720.21	800,000.00	1,014,810.73	(4,494.69	)	(2,339.58	)	—	42,404.17	1.1250	0.4139	December	6,277.67	(2,275.08	)	20170227	20191217
459200HZ7	INTERNATIONAL BUSINESS MACHINE SENIOR CO			1FE	1,545,272.50	1,547,380.50	1,550,000.00	1,549,041.82	(1,661.32	)	791.62		—	—	1.1250	1.2289	Feb-Aug	7,023.44	8,718.75		20150203	20180206
459200HS3	INTERNATIONAL BUSINESS MACHINE SENIOR CO			1FE	2,701,021.77	2,749,593.46	2,000,000.00	2,700,368.30	(20,838.11	)	(653.47	)	—	70,063.27	2.7500	0.8014	December	37,580.58	(35,676.27	)	20170622	20201221
459200JN2	INTERNATIONAL BUSINESS MACHINE SENIOR CO			1FE	2,597,504.00	2,601,274.11	2,600,000.00	2,597,851.73	3,422.38		347.73		—	—	1.9000	1.9331	Jan-Jul	21,132.22	—		20170124	20200127
459200HE4	INTERNATIONAL BUSINESS MACHINE SENIOR CO				248,777.50	250,687.51	250,000.00	249,391.83	1,295.68		157.98		—	—	1.8750	2.0081	May-Nov	598.96	2,343.75		20150714	20190515
459200HK0	INTERNATIONAL BUSINESS MACHINE SENIOR CO			1FE	1,149,710.10	1,154,283.90	1,155,000.00	1,154,341.24	(57.34	)	538.85		—	—	1.2500	1.3450	Feb-Aug	5,734.89	7,218.75		20130205	20180208
459200JE2	INTERNATIONAL BUSINESS MACHINE SENIOR CO			1FE	4,997,950.00	5,009,049.60	5,000,000.00	4,998,884.86	10,164.74		289.53		—	—	1.8000	1.8121	May-Nov	11,000.00	45,000.00		20160216	20190517
459058FK4	INTL BANK FOR RECONSTR & DEVP SENIOR COR	D		1FE	7,698,383.00	7,590,043.92	7,700,000.00	7,698,875.87	(108,831.95	)	260.52		—	—	0.8750	0.8820	Feb-Aug	25,452.77	33,722.00		20160706	20190815
BRTAEYBE5	ION MEDIA NETWORKS INC SENIOR SECURED TE		2	4FE	3,754,995.58	3,800,238.85	3,786,041.19	3,755,687.27	44,551.58		691.69		—	—	—	—	M-J-S-D	—	—		20170517	20201218
46603BAB5	IVYH_14-9A MEZZANIN ABS_14-9A-B1 144A	D	4		3,938,672.80	4,007,832.40	4,000,000.00	3,961,001.44	46,830.96		3,609.23		—	—	3.6084	3.8368	J-A-J-O	29,669.40	68,794.27		20141001	20251018
BRTAQ6708	JAGUAR HOLDING COMPANY II SENIOR SECURED		2	4FE	1,781,270.68	1,787,978.34	1,788,257.32	1,781,387.74	6,590.60		134.89		—	—	—	0.0708	M-J-S-D	—	5,856.98		20170530	20220818
BRT88VS96	JBS USA LUX SA SENIOR SECURED TERM LOAN	D	2	3FE	2,676,517.94	2,599,568.05	2,676,517.94	2,676,517.94	(76,949.89	)	—		—	—	—	—	M-J-S-D	—	40,671.67		20170130	20221030
47787UAD5	JDOT_15-A SENIOR ABS 15-A A3		4	1FE	697,456.17	697,262.61	697,511.62	697,491.85	(229.24	)	18.89		—	—	1.3200	1.3262	Monthly	409.21	6,508.28		20150303	20190617
476576HQ9	JERSEY CITY N J MUNITAX BND GO			1FE	2,225,000.00	2,248,206.75	2,225,000.00	2,225,000.00	23,206.75		—		—	—	2.5250	2.5250	Mar-Sep	18,727.08	28,090.63		20141121	20190901
47760QAA1	JIMMY JOHNS FUNDING LLC JIMMY_ ABS_17-1A		4	2FE	400,000.00	399,175.44	400,000.00	400,000.00	(824.56	)	—		—	—	3.6100	3.6259	J-A-J-O	—	—		20170627	20470730
N4715WAH5	JLL/DELTA DUTCH NEWCO BV SENIOR SECURED	D	2	4FE	992,636.59	995,921.59	994,884.92	992,690.35	3,231.24		53.76		—	—	—	0.0320	M-J-S-D	—	8,645.59		20170501	20240422
24422ESX8	JOHN DEERE CAPITAL CORP SENIOR CORP BND			1FE	1,599,392.00	1,601,200.00	1,600,000.00	1,599,787.03	1,412.97		141.99		—	—	1.6000	1.6130	Jan-Jul	11,946.67	23,857.78		20150709	20180713
24422ETJ8	JOHN DEERE CAPITAL CORP SENIOR CORP BND			1FE	1,596,768.00	1,579,920.04	1,600,000.00	1,597,609.66	(17,689.62	)	518.11		—	—	1.2500	1.3169	Apr-Oct	4,555.56	11,666.67		20160906	20191009
24422ETM1	JOHN DEERE CAPITAL CORP SENIOR CORP BND			1FE	2,998,050.00	3,000,929.70	3,000,000.00	2,998,559.34	2,370.36		509.34		—	—	1.6500	1.6878	Apr-Oct	10,450.00	13,612.50		20170103	20181015
24422ESF7	JOHN DEERE CAPITAL CORP SENIOR CORP BND			1FE	1,012,020.00	1,003,849.95	1,000,000.00	1,005,645.80	(1,795.85	)	(1,905.18	)	—	—	1.9500	1.5549	Jun-Dec	975.00	9,750.00		20151021	20181213
24422ETQ2	JOHN DEERE CAPITAL CORP SENIOR CORP BND			1FE	284,777.70	287,137.53	285,000.00	284,798.79	2,338.74		21.09		—	—	2.2000	2.2271	Mar-Sep	1,846.17	—		20170310	20200313

478111AA5	JOHNS HOPKINS HEALTH SYSTEM CO SENIOR CO			1FE	244,815.00	250,207.00	250,000.00	248,718.72	1,488.28		721.72		—	—	1.4240	2.0200	May-Nov	454.89	1,780.00		20140930	20180515
478115AC2	JOHNS HOPKINS UNIVERSITY CORP BND			1FE	1,750,000.00	1,748,486.25	1,750,000.00	1,750,000.00	(1,513.75	)	—		—	—	1.4770	1.4770	Jan-Jul	12,923.75	12,923.75		20150210	20180701
478160AW4	JOHNSON & JOHNSON CORP BND			1FE	122,861.25	129,346.26	125,000.00	124,251.84	5,094.42		110.26		—	—	2.9500	3.1500	Mar-Sep	1,229.17	1,843.75		20100812	20200901
478160BM5	JOHNSON & JOHNSON SENIOR CORP BND			1FE	462,388.50	452,664.01	450,000.00	459,251.99	(6,587.98	)	(1,864.76	)	—	—	1.8750	1.0159	Jun-Dec	609.38	4,218.75		20160824	20191205
478160BR4	JOHNSON & JOHNSON SENIOR CORP BND			1FE	5,464,344.20	5,433,576.40	5,465,000.00	5,464,632.61	(31,056.21	)	110.55		—	—	1.1250	1.1291	Mar-Sep	20,493.75	33,543.14		20160225	20190301
418097AD3	JORDAN (HASHEMITE KINGDOM OF) AGENCY BND	D		1FE	10,000,000.00	10,063,820.00	10,000,000.00	10,000,000.00	63,820.00		—		—	—	1.9450	1.9450	Jun-Dec	4,322.23	97,250.01		20140623	20190623
46641BAE3	JP MORGAN CHASE COMMERCIAL MOR PAC SENIO		4	1FE	1,217,724.61	1,179,123.72	1,125,000.00	1,199,589.10	(20,465.38	)	(9,869.48	)	—	—	3.6744	1.7960	Monthly	3,444.75	20,668.50		20160726	20461217
46644FAE1	JPMBB COMMERCIAL MORTGAGE SECU PAC SENIO		4		4,059,062.50	4,094,760.12	4,000,000.00	4,047,060.26	47,699.86		(4,626.95	)	—	—	3.0420	2.7897	Monthly	10,140.00	60,840.00		20160304	20481015
46640LAB8	JPMBB COMMERCIAL MORTGAGE SECU SENIOR CM		4		1,678,437.83	1,651,447.71	1,625,728.67	1,652,702.15	(1,254.44	)	888.98		—	—	3.0193	2.3733	Monthly	4,090.47	36,054.75		20140916	20460815
46642EAY2	JPMBB LCF SENIOR CMBS _14-C21-A5		4	1FM	2,133,984.38	2,102,259.98	2,000,000.00	2,102,420.54	(160.56	)	(6,805.47	)	—	—	3.7748	2.9265	Monthly	6,291.33	37,747.98		20150311	20470815
46641WAT4	JPMBB_14-C19 PRELCF SENIOR CMBS_14-C19 A		4		1,910,646.29	1,890,715.24	1,855,000.00	1,884,937.12	5,778.12		2,428.26		—	—	3.0456	2.5512	Monthly	4,707.99	28,247.94		20140429	20470415
46643ABF9	JPMBB_14-C23 SENIOR CMBS 14-C23-ASB		4	1FM	5,734,531.25	5,629,216.60	5,350,000.00	5,664,154.78	(34,938.18	)	(32,064.98	)	—	—	3.6570	2.3113	Monthly	16,304.13	97,824.78		20160524	20470915
46644FAB7	JPMBB_15-C28 SENIOR CMBS 15-C28 A2		4	1FM	3,089,994.00	3,050,101.20	3,000,000.00	3,057,710.35	(7,609.15	)	(1,111.93	)	—	—	2.7733	2.2342	Monthly	6,933.25	41,599.50		20150402	20481015
46590JAW7	JPMBB_15-C36 PRELCF SENIOR CMBS_15-C36 A		4	1FM	3,089,976.00	3,101,097.00	3,000,000.00	3,076,064.07	25,032.93		(4,237.49	)	—	—	3.5982	3.2483	Monthly	8,995.50	53,973.00		20151019	20481115
12625CAL7	JPMCC SUB CMBS 13-WWP 144A		4		1,033,281.25	1,010,298.70	1,000,000.00	1,029,589.57	(19,290.87	)	(2,444.61	)	—	—	3.5442	2.9865	Monthly	2,953.50	17,721.00		20160927	20310310
46634SAC9	JPMCC_12-C6 SENIOR CMBS 12-C6		4	1FE	744,705.17	718,686.60	689,143.02	731,069.73	(12,383.13	)	(11,293.92	)	—	—	3.5074	0.8936	Monthly	2,014.25	15,260.06		20160616	20450515
46639EAB7	JPMCC_12-LC9 PRELCF SENIOR CMBS_12-LC9-A		4	1FM	427,091.26	426,499.20	426,524.78	426,669.64	(170.44	)	452.23		—	—	1.6769	1.6322	Monthly	596.03	6,223.22		20141007	20471215
46642CBE9	JPMCC_14-C20 SENIOR CMBS 14-C20-A2		4	1FM	10,321,083.75	10,167,183.35	10,000,000.00	10,195,347.01	(28,163.66	)	(26,339.19	)	—	—	2.8716	1.9581	Monthly	23,930.00	143,580.00		20140612	20470715
46590KAB0	JPMCC_15-JP1 SENIOR CMBS_15-JP1 A2		4	1FM	1,905,492.60	1,902,819.16	1,850,000.00	1,888,536.29	14,282.87		(5,700.76	)	—	—	3.1438	2.4812	Monthly	4,846.70	29,080.20		20151215	20490115
46647TAP3	JPMCC_17-JP5 PRELCF SENIOR CMBS_17-JP5 A		4	1FE	5,192,968.75	5,181,133.00	5,000,000.00	5,192,288.12	(11,155.12	)	(680.63	)	—	—	3.2397	2.9804	Monthly	13,498.75	—		20170526	20500315
46644RAZ8	JPMCCMSC_15-C29 SENIOR CMBS 15-C29		4	1FM	2,059,986.00	2,072,170.60	2,000,000.00	2,048,598.65	23,571.95		(2,921.53	)	—	—	3.6108	3.2566	Monthly	6,018.00	36,108.00		20150604	20480515
46590LAR3	JPMDB_16-C2 SUPSEN SENIOR CMBS_16-C2 A2		4	1FM	999,100.00	982,343.54	970,000.00	992,244.28	(9,900.74	)	(3,118.94	)	—	—	2.6619	1.9760	Monthly	2,151.70	12,910.20		20160504	20490615
46648HAF0	JPMMT 2017-2 SENIOR RMBS_2017-2 A6 144A		4	1FE	4,294,492.20	4,285,275.00	4,250,000.00	4,293,325.75	(8,050.75	)	22,203.06		—	—	3.0000	2.5659	Monthly	10,625.00	—		20170522	20470525
466247E74	JPMMT CMO_06-A1 2A2		4	NR*Z*	37,635.93	35,107.85	37,606.54	37,615.56	(2,507.71	)	(223.57	)	—	—	3.3172	3.2864	Monthly	103.96	674.73		20080206	20360225
46643DAE7	JPMMT_14-OAK4 WHOLE CMO 14-OAK4		4		1,278,010.05	1,279,832.86	1,261,453.48	1,273,607.41	6,225.45		1,823.57		—	—	3.5000	3.1609	Monthly	3,679.24	24,143.00		20141007	20440925
46648CAB0	JPMMT_17-1 RMBS_17-1 A2 144A		4	1FE	834,101.79	839,701.48	828,663.68	833,651.43	6,050.05		(590.38	)	—	—	3.5000	3.3476	Monthly	2,416.94	7,606.19		20170217	20470125
46648CAD6	JPMMT_17-1 RMBS_17-1 A4 144A		4	1FE	2,342,455.92	2,360,775.36	2,302,521.56	2,338,366.07	22,409.29		(5,797.84	)	—	—	3.5000	2.6162	Monthly	6,715.69	21,343.32		20170217	20470125
46648HAN3	JPMMT_17-2 RMBS_17-2-A13 144A		4	1FE	2,014,531.25	2,009,062.00	2,000,000.00	2,014,398.04	(5,336.04	)	8,114.85		—	—	3.5000	3.3002	Monthly	5,833.33	—		20170522	20470525
48127FAA1	JPMORGAN CHASE & CO CAPSEC CORP BND		2	2FE	5,724,375.00	5,916,000.00	5,800,000.00	5,726,740.85	189,259.15		468.44		—	—	5.0000	5.0354	Jan-Jul	145,000.00	209,236.11		20140715	20491231
46625HKK5	JPMORGAN CHASE & CO CAPSEC CORP BND		2	3FE	2,433,000.00	2,508,000.00	2,400,000.00	2,433,000.00	75,000.00		—		—	—	5.3000	5.2281	May-Nov	21,200.00	63,600.00		20161011	0
46625HJH4	JPMORGAN CHASE & CO SENIOR CORP BND			1FE	510,535.00	509,765.02	500,000.00	510,493.63	(728.61	)	(215.18	)	—	—	3.2000	2.7901	Jan-Jul	6,933.33	41,306.67		20170619	20230125
46625HQU7	JPMORGAN CHASE & CO SENIOR CORP BND		2	1FE	6,395,904.00	6,394,175.81	6,400,000.00	6,397,613.88	(3,438.07	)	761.02		—	—	1.8500	1.8721	Mar-Sep	32,560.01	71,687.50		20160318	20190322
46625HKA7	JPMORGAN CHASE & CO SENIOR CORP BND		2	1FE	2,516,175.00	2,507,449.93	2,500,000.00	2,515,094.30	(7,644.37	)	(1,080.70	)	—	—	2.2500	1.9991	Jan-Jul	24,687.50	(14,218.75	)	20170419	20200123
46625HLW8	JPMORGAN CHASE & CO SENIOR CORP BND		2	1FE	4,243,656.00	4,270,349.79	4,200,000.00	4,229,592.95	40,756.84		(5,005.27	)	—	—	2.7500	1.9599	Jun-Dec	2,566.67	57,750.00		20150618	20200623

46625HQJ2	JPMORGAN CHASE & CO SENIOR CORP BND		2	1FE	798,320.00	803,551.95	800,000.00	798,739.62	4,812.33		160.97		—	—	2.5500	2.5661	Mar-Sep	6,800.00	10,200.00	20160225	20210301
46625HRU6	JPMORGAN CHASE & CO SENIOR CORP BND		2	1FE	2,700,000.00	2,741,472.09	2,700,000.00	2,700,000.00	41,472.09		—		—	—	2.3196	2.3196	M-J-S-D	4,175.21	33,464.78	20160531	20210607
46647PAC0	JPMORGAN CHASE & CO SENIOR CORP BND		2	1FE	5,000,000.00	4,995,150.00	5,000,000.00	5,000,000.00	(4,850.00	)	—		—	—	1.7710	1.7710	M-J-S-D	5,411.39	21,162.80	20170302	20210309
46625HJF8	JPMORGAN CHASE & CO SENIOR CORP BND			1FE	4,000,000.00	4,017,200.00	4,000,000.00	4,000,000.00	17,200.00		—		—	—	2.0562	2.0562	J-A-J-O	15,307.42	68,826.06	20130117	20180125
46625HJR2	JPMORGAN CHASE & CO SENIOR CORP BND			1FE	1,518,345.00	1,511,235.02	1,500,000.00	1,507,551.27	3,683.75		(2,344.48	)	—	—	2.3500	2.2230	Jan-Jul	14,981.25	17,625.00	20150204	20190128
48128BAB7	JPMORGAN CHASE & CO SENIOR CORP BND		2	1FE	229,993.10	232,242.50	230,000.00	229,998.85	2,243.65		60.93		—	—	2.9720	2.9721	Jan-Jul	3,854.52	39,626.67	20161201	20230115
46625HNX4	JPMORGAN CHASE & CO SENIOR CORP BND		2	1FE	299,691.00	302,418.00	300,000.00	299,790.02	2,627.98		29.82		—	—	2.5500	2.5721	Apr-Oct	1,317.50	3,825.00	20151022	20201029
46625HRV4	JPMORGAN CHASE & CO SENIOR CORP BND		2	1FE	588,720.00	579,060.01	600,000.00	589,346.67	(10,286.66	)	498.14		—	—	2.9500	3.1730	Apr-Oct	4,425.00	8,850.00	20161110	20261001
46625HKC3	JPMORGAN CHASE & CO SENIOR CORP BND		2	1FE	722,172.50	720,650.01	725,000.00	722,773.87	(2,123.86	)	129.12		—	—	3.1250	3.1710	Jan-Jul	9,943.58	11,328.13	20150225	20250123
46623EKD0	JPMORGAN CHASE & CO SENIOR CORP BND MTN		2	1FE	501,405.00	500,240.00	500,000.00	500,314.95	(74.95	)	(262.14	)	—	—	1.7000	1.5921	Mar-Sep	2,833.33	4,250.00	20150522	20180301
46625HRX0	JPMORGAN CHASE & CO SUB CORP BND		2	2FE	3,294,291.00	3,266,538.00	3,300,000.00	3,294,602.41	(28,064.41	)	264.37		—	—	3.6250	3.6440	Jun-Dec	9,968.75	64,796.88	20161110	20271201
46625HJY7	JPMORGAN CHASE & CO SUB CORP BND			2FE	3,148,383.75	3,268,970.38	3,165,000.00	3,152,415.69	116,554.69		(216.18	)	—	—	3.8750	3.9390	Mar-Sep	37,815.16	84,550.35	20140903	20240910
46625HJQ4	JPMORGAN CHASE & CO SUB CORP BND		2	3FE	3,187,500.00	3,408,750.00	3,000,000.00	3,145,001.20	263,748.80		(8,897.20	)	—	—	6.7500	5.8548	Feb-Aug	84,375.01	101,250.00	20141211	20491231
48125LRG9	JPMORGAN CHASE BANK NA SENIOR CORP BND		2	1FE	2,697,246.00	2,684,798.89	2,700,000.00	2,697,941.74	(13,142.85	)	447.43		—	—	1.6500	1.6850	Mar-Sep	12,127.50	22,275.00	20160920	20190923
BRTAC2U55	KAR AUCTION SERVICES INC SENIOR SECURED		2	3FE	231,398.40	234,500.01	233,333.34	231,425.83	3,074.18		27.43		—	—	—	0.1423	M-J-S-D	—	692.71	20170601	20230309
491674BE6	KENTUCKY UTILITIES COMPANY CORP BND		2	1FE	783,795.00	771,472.49	750,000.00	771,321.90	150.59		(3,802.48	)	—	—	3.2500	2.2866	May-Nov	4,062.50	12,187.50	20150731	20201101
49327M2F0	KEY BANK NATIONAL ASSOCIATION SENIOR COR			1FE	499,780.00	505,389.98	500,000.00	499,892.23	5,497.75		21.02		—	—	2.5000	2.5091	Jun-Dec	555.56	6,250.00	20141118	20191215
49327M2P8	KEY BANK NATIONAL ASSOCIATION SENIOR COR			1FE	6,395,002.80	6,330,982.85	6,385,000.00	6,391,898.95	(60,916.10	)	(1,572.79	)	—	—	1.6000	1.6110	Feb-Aug	36,607.33	51,080.00	20160817	20190822
49327M2Q6	KEY BANK NATIONAL ASSOCIATION SENIOR COR			1FE	992,860.00	1,001,820.00	1,000,000.00	993,660.16	8,159.84		676.59		—	—	2.5000	2.6539	May-Nov	2,708.33	12,500.00	20161123	20211122
BRSP750D8	KEY SAFETY SYSTEMS INC SENIOR SECURED TE		4		1,175,640.88	1,182,982.58	1,179,664.18	1,177,184.50	5,798.08		294.63		—	—	—	0.0712	M-J-S-D	—	32,374.58	20140725	20210829
493267AK4	KEYCORP CAPSEC CORP BND		2	3FE	3,300,000.00	3,361,875.00	3,300,000.00	3,300,000.00	61,875.00		—		—	—	5.0000	5.0000	M-J-S-D	7,333.33	82,500.00	20160906	20491231
BRT1YUAX0	KFC HOLDING CO/PIZZA HUT HOLDI SENIOR SE			3FE	1,402,301.70	1,414,045.79	1,409,348.43	1,403,283.17	10,762.62		711.20		—	—	—	0.0714	M-J-S-D	—	45,605.11	20160602	20230616
49407QAE8	KILIMANJARO II RE LTD CORP BND 144A	D			1,000,000.00	1,007,870.00	1,000,000.00	1,000,000.00	7,870.00		—		—	—	8.6682	8.7619	J-A-J-O	19,021.93	—	20170406	20220421
49407QAF5	KILIMANJARO II RE LTD CORP BND 144A	D			2,250,000.00	2,281,410.00	2,250,000.00	2,250,000.00	31,410.00		—		—	—	7.4560	7.5253	J-A-J-O	36,814.00	—	20170406	20220421
49407QAC2	KILIMANJARO II RE LTD SENIOR CORP BND 14	D			4,000,000.00	4,058,440.00	4,000,000.00	4,000,000.00	58,440.00		—		—	—	7.1168	7.1800	J-A-J-O	62,469.71	—	20170406	20210420
49407QAA6	KILIMANJARO II RE LTD SENIOR CORP BND 14	D			2,000,000.00	2,006,440.00	2,000,000.00	2,000,000.00	6,440.00		—		—	—	11.1168	11.2710	J-A-J-O	48,790.41	—	20170406	20210420
49407QAB4	KILIMANJARO II RE LTD SENIOR CORP BND 14	D			5,500,000.00	5,564,735.00	5,500,000.00	5,500,000.00	64,735.00		—		—	—	8.6168	8.7095	J-A-J-O	104,000.01	—	20170406	20210420
49407QAD0	KILIMANJARO II RE LTD SENIOR CORP BND 14	D			750,000.00	753,000.00	750,000.00	750,000.00	3,000.00		—		—	—	11.1168	11.2708	J-A-J-O	18,296.40	—	20170406	20220421
494074AG2	KILIMANJARO RE LIMITED CORP BND 144A	D			500,000.00	508,525.00	500,000.00	500,000.00	8,525.00		—		—	—	7.5475	7.6197	J-A-J-O	9,211.31	17,751.37	20151110	20191206
494074AF4	KILIMANJARO RE LIMITED CORP BND 144A	D			500,000.00	510,585.00	500,000.00	500,000.00	10,585.00		—		—	—	10.0475	10.1756	J-A-J-O	12,266.87	24,030.28	20151110	20191206
494074AE7	KILIMANJARO RE LIMITED CORP BND 144A	D		3	10,616,900.00	10,860,318.00	10,675,000.00	10,642,334.64	217,983.36		6,210.19		—	—	4.5025	4.4584	J-A-J-O	118,825.35	217,087.79	20141107	20191125
494368BT9	KIMBERLY-CLARK CORPORATION SENIOR CORP B			1FE	2,104,873.70	2,100,242.74	2,105,000.00	2,104,929.47	(4,686.73	)	24.07		—	—	1.4000	1.4021	Feb-Aug	11,133.11	20,127.92	20160217	20190215
494550AY2	KINDER MORGAN ENERGY PARTNERS CORP BND			2FE	1,418,083.00	1,330,836.00	1,300,000.00	1,331,138.54	(302.54	)	(24,570.17	)	—	—	5.9500	2.0931	Feb-Aug	29,221.11	38,675.00	20150528	20180215
494550BE5	KINDER MORGAN ENERGY PARTNERS CORP BND			2FE	1,076,880.00	1,076,650.01	1,000,000.00	1,060,960.73	15,689.28		(8,862.10	)	—	—	5.3000	3.2810	Mar-Sep	15,605.56	26,500.00	20160803	20200915

494550BM7	KINDER MORGAN ENERGY PARTNERS SENIOR COR		2	2FE	994,820.00	1,004,509.90	1,000,000.00	996,203.78	8,306.12		301.58		—	—		3.4500	3.5250	Feb-Aug	13,033.34	17,250.00		20150224	20230215
28336LBR9	KINDER MORGAN HOLDCO LLC CORP BND			2FE	2,428,386.40	2,240,237.60	2,140,000.00	2,220,731.92	19,505.68		(42,785.73	)	—	—		7.2500	3.0493	Jun-Dec	12,929.17	77,575.00		20141231	20180601
49456BAD3	KINDER MORGAN HOLDCO LLC SENIOR CORP BND			2FE	2,582,053.10	2,586,473.19	2,585,000.00	2,584,581.29	1,891.90		493.41		—	—		2.0000	2.0391	Jun-Dec	4,308.33	25,850.00		20141124	20171201
BRT8DY6Q0	KINETIC CONCEPTS INC / KCI USA TERM LOAN		2	4FE	1,729,402.66	1,725,714.16	1,738,024.59	1,729,818.75	(4,104.59	)	416.09		—	—		—	0.0710	M-J-S-D	—	29,659.15		20170301	20240126
496026KV6	KINGS LOC SCH DIST OHIO MUNITAX BND GO			1FE	1,250,394.50	1,202,885.80	1,165,000.00	1,194,807.57	8,078.23		(10,256.35	)	—	—		3.7500	1.9121	Jun-Dec	3,640.63	21,843.75		20140930	20181201
482485AL3	KKR_13-2A ABS 13-2A	D	4		1,000,000.00	1,000,509.50	1,000,000.00	1,000,000.00	509.50		—		—	—		3.3290	3.3408	J-A-J-O	6,288.11	16,645.00		20160715	20260123
482485AC3	KKR_13-2A ABS 13-2A 144A	D	4	1FE	1,516,800.00	1,600,313.44	1,600,000.00	1,548,888.79	51,424.65		5,584.72		—	—		2.9532	3.7869	J-A-J-O	8,925.14	22,337.47		20141016	20260123
48251BAA8	KKR_16--16 ABS 16--16 144A	D	4		2,500,000.00	2,499,428.25	2,500,000.00	2,500,000.00	(571.75	)	—		—	—		2.4012	2.4072	J-A-J-O	33,016.78	—		20161122	20290120
BRT5WX0L4	KLOCKNER PENTAPLAST OF AMERICA SENIOR S				354,802.39	355,525.91	355,414.67	354,907.07	618.84		90.72		—	—		—	0.0506	M-J-S-D	—	7,777.94		20161201	20200428
BRSYEDRW3	KOMMUNEKREDIT SENIOR CORP BND	D			5,631,863.50	5,643,897.89	5,650,000.00	5,640,578.47	3,319.42		2,993.35		—	—		1.5000	1.6040	January	39,079.17	84,750.00		20160106	20190115
K5813LQ91	KOMMUNEKREDIT SENIOR CORP BND EMTN	D			1,345,261.50	1,350,094.65	1,350,000.00	1,345,988.26	4,106.39		726.76		—	—		1.7500	1.8629	January	11,156.25	—		20170104	20200110
BRT616035	KP GERMANY ERSTE GMBH SENIOR SECURED TER	D			151,624.96	151,934.14	151,886.60	151,669.52	264.62		38.69		—	—		—	0.0499	M-J-S-D	—	3,323.91		20161201	20200428
50076QAX4	KRAFT FOODS GROUP INC SENIOR CORP BND			2FE	829,047.50	785,430.00	750,000.00	784,258.69	1,171.31		(14,627.54	)	—	—		6.1250	2.1040	Feb-Aug	16,333.33	22,968.75		20150708	20180823
50076QAU0	KRAFT FOODS GROUP INC SENIOR CORP BND			2FE	1,494,018.00	1,455,003.00	1,350,000.00	1,447,866.64	7,136.36		(28,424.06	)	—	—		5.3750	2.4890	Feb-Aug	28,420.31	76,325.00		20160310	20200210
423074AS2	KRAFT HEINZ FOODS CO SECURED CORP BND 14		2	2FE	1,210,375.00	1,231,649.98	1,150,000.00	1,198,894.69	32,755.29		(16,788.41	)	—	—		4.8750	4.0199	Feb-Aug	21,179.17	141,957.29		20151216	20250215
50077LAH9	KRAFT HEINZ FOODS CO SENIOR CORP BND		2	2FE	3,972,275.00	3,954,873.20	3,900,000.00	3,971,080.81	(16,207.61	)	(1,194.19	)	—	—		2.8000	2.1512	Jan-Jul	54,296.66	(48,618.88	)	20170601	20200702
50077LAJ5	KRAFT HEINZ FOODS CO SENIOR CORP BND		2	2FE	997,993.99	1,031,110.08	1,000,000.00	998,282.66	32,827.42		156.71		—	—		3.5000	3.5375	Jan-Jul	16,138.89	17,500.00		20160822	20220715
BRSUVV3T5	KREDITANSTALT FUER WIEDERAUFBA SENIOR CO	B			2,376,399.34	2,404,105.73	1,800,000.00	2,376,257.12	(11,671.99	)	(142.22	)	—	39,520.59		1.6250	0.4794	June	2,706.44	(2,457.39	)	20170627	20200605
500769GL2	KREDITANSTALT FUER WIEDERAUFBA SENIOR CO	D		1FE	647,790.00	649,012.00	650,000.00	649,553.67	(541.67	)	432.64		—	—		1.0000	1.1214	Jan-Jul	2,798.61	11,934.14		20150317	20180126
500769GV0	KREDITANSTALT FUER WIEDERAUFBA SENIOR CO	D			7,880,171.00	7,899,842.08	7,900,000.00	7,889,558.87	10,283.21		3,200.58		—	—		1.5000	1.5840	Feb-Aug	47,729.17	59,250.00		20160105	20190206
500769GA6	KREDITANSTALT FUER WIEDERAUFBA SENIOR CO	D		1FE	6,031,560.00	6,036,540.06	6,000,000.00	6,024,436.18	12,103.88		(6,753.52	)	—	—		1.8750	1.6381	Apr-Oct	28,125.00	56,250.00		20161219	20190401
D3S97E4M2	KREDITANSTALT FUER WIEDERAUFBA SENIOR CO	B		1FE	8,722,318.72	8,883,120.24	6,750,000.00	8,699,790.44	6,860.39		(20,093.83	)	—	176,469.42		1.1250	0.9810	December	51,346.32	(2,928.25	)	20160422	20191223
500769FG4	KREDITANSTALT FUER WIEDERAUFBA SENIOR CO	D		1FE	6,859,842.00	6,896,136.00	6,900,000.00	6,898,276.03	(2,140.03	)	4,746.67		—	—		0.8750	1.0150	Mar-Sep	19,454.17	30,187.50		20130529	20170905
500769HC1	KREDITANSTALT FUER WIEDERAUFBA SENIOR CO	D		1FE	12,282,657.00	12,201,846.37	12,300,000.00	12,286,700.55	(84,854.18	)	2,869.87		—	—		1.2500	1.2990	Mar-Sep	38,864.59	68,760.41		20161012	20190930
48274MAR0	KVK CLO LTD KVK_14-2A ABS 14-2A-CR 144A		4		500,000.00	497,646.30	500,000.00	500,000.00	(2,353.70	)	—		—	—		3.7084	3.7251	J-A-J-O	3,862.96	—		20170404	20260715
491552ZL2	KY ST TPK AUTH ECONOMIC MUNI BND REV		2	1FE	2,344,460.00	2,316,360.00	2,000,000.00	2,244,985.94	71,374.06		(18,648.38	)	—	—		5.0000	2.7700	Jan-Jul	50,000.00	50,000.00		20140930	20280701
BRSMB8NV9	LA QUINTA INTERMEDIATE HOLDING SENIOR SE		4	4FE	712,839.18	741,233.11	738,693.48	719,803.19	21,429.92		2,599.46		—	—		—	0.6755	F-M-A-N	—	14,437.65		20160120	20210414
50540RAR3	LABORATORY CORP OF AMER HLDGS SENIOR COR			2FE	2,147,592.00	2,165,974.41	2,150,000.00	2,148,716.68	17,257.73		237.63		—	—		2.6250	2.6490	Feb-Aug	23,515.63	28,218.75		20150121	20200201
BRTB39945	LAN_17-1X ABS_17-1X-1A	B	4		1,266,100.00	1,299,079.90	1,000,000.00	1,266,100.00	129.90		—		—	32,850.00		—	—	F-M-A-N	—	—		20170622	20691222
BRT3JTAJ7	LAN_2016-1 RMBS_2016 1A	B	4		651,622.75	645,479.79	493,000.00	651,622.75	5,097.44		—		—	(11,240.40	)	1.3037	1.3040	F-M-A-N	914.92	4,511.22		20160721	20541222
BRT8779Y6	LANDESBANK BADEN-WUERTTEMBERG SECURED CO	D			2,995,590.00	3,007,319.88	3,000,000.00	2,996,185.09	11,134.79		595.09		—	—		2.1250	2.1644	January	26,739.58	—		20170124	20200131
BRT589W47	LANDRYS INC SENIOR SECURED TERM LOAN			4FE	699,357.68	700,236.27	702,872.04	699,708.32	527.95		301.19		—	—		—	0.0711	M-J-S-D	—	14,451.86		20160921	20231004
BRSRYHP25	LAZER SPOT INC SENIOR SECURED REVOLVE NO				38,942.31	38,358.18	38,942.31	38,942.31	(584.13	)	—		—	—		—	—	F-M-A-N	—	4,339.84		20160712	20210209
BRSRYF745	LAZER SPOT INC SENIOR SECURED TERM NOTES				2,829,976.98	2,787,527.33	2,829,976.98	2,829,976.98	(42,449.65	)	—		—	—		—	—	F-M-A-N	—	81,055.82		20150224	20210209

BRSVAW935	LAZER SPOT MERGER SUB, INC SENIOR SECURE				382,123.75	376,391.89	382,123.75	382,123.75	(5,731.86	)	—		—	—	—	—	M-J-S-D	—	7,969.56		20150817	20210209
52109RBM2	LBUBS CMBS 07-C7		4	1FM	1,368,864.30	1,222,222.11	1,214,582.41	1,230,163.24	(7,941.13	)	(35,003.73	)	—	—	5.8660	0.4068	Monthly	3,958.19	49,682.93		20140327	20450915
55820NAE1	LCMLT_05-HE1 ABS 16-24A 144A		4	1FE	2,481,750.00	2,506,298.00	2,500,000.00	2,483,095.04	23,202.96		1,262.44		—	—	3.4162	3.5229	J-A-J-O	45,786.84	—		20161122	20280120
52349HAN3	LEE CNTY FLA HSG FIN AUTH SING MUNITAX B		2	1FE	190,524.40	190,533.90	190,000.00	190,000.00	533.90		—		—	—	7.2700	7.2700	Jun-Dec	1,151.08	6,906.50		20140930	20211201
52349HAM5	LEE CNTY FLA HSG FIN AUTH SING MUNITAX B		4	1FE	60,217.20	60,207.60	60,000.00	60,000.00	207.60		—		—	—	7.0200	7.0200	Jun-Dec	351.00	3,159.00		20140930	20171201
854403AC6	LELAND STANFORD JR UNIV CALIF MUNI BND R			1FE	4,157,579.00	3,909,013.38	3,700,000.00	3,888,120.35	20,893.03		(49,889.66	)	—	—	4.7500	1.9151	May-Nov	29,291.67	87,875.00		20140930	20190501
526107AD9	LENNOX INTL INC. SENIOR CORP BND		2	2FE	466,733.81	465,505.60	467,000.00	466,759.89	(1,254.29	)	31.01		—	—	3.0000	3.0089	May-Nov	1,790.17	12,633.16		20161025	20231115
BRT8KLG22	LEVEL 3 FINANCING INC SECURED TERM LOAN		2	3FE	1,416,203.71	1,422,415.12	1,419,753.09	1,416,327.75	6,087.37		124.04		—	—	—	0.0358	M-J-S-D	—	9,973.10		20170217	20240222
BRTB63CS8	LION II RE DAC SENIOR CORP BOND	B			835,725.00	864,445.08	750,000.00	835,725.00	1,137.70		—		—	27,569.04	2.7270	2.7270	Jan-Jul	129.60	—		20170621	20210715
BRT5NPGB6	LIONS GATE ENTERTAINMENT CORP SENIOR SEC	A	2	3FE	1,967,854.01	1,971,302.07	1,964,426.57	1,968,149.03	3,153.04		2,565.72		—	—	—	0.0708	M-J-S-D	—	32,084.75		20161013	20231208
BRSSFUR31	LLOYDS BANK PLC SECURED LOCAL BND	B			753,654.45	799,816.77	600,000.00	752,407.45	5,490.00		(1,247.00	)	—	41,919.32	1.7500	1.3257	March	3,437.78	2,371.47		20170119	20220331
BRT7Y5WB6	LLOYDS BANK PLC SECURED LOCAL BND	B		1FE	971,520.00	1,042,568.44	800,000.00	971,520.00	3,408.44		—		—	67,640.00	0.6356	0.6334	J-A-J-O	1,339.00	1,634.27		20170109	20200116
BRSNXV8E7	LLOYDS BANK PLC SENIOR CORP BND EMTN	B		1FE	1,791,349.03	1,800,127.67	1,350,000.00	1,769,867.09	(106.81	)	(16,553.16	)	—	30,367.40	2.7500	0.9938	Jun-Dec	2,898.67	25,991.49		20160920	20181209
53944YAC7	LLOYDS TSB GROUP PLC SENIOR CORP BND	D		2FE	1,210,856.85	1,224,331.08	1,215,000.00	1,211,221.96	13,109.12		365.11		—	—	3.0000	3.0741	Jan-Jul	17,212.50	—		20170104	20220111
50208XAA0	LMC_15-CRE1 SENIOR CMBS 15-CRE1 A 144A		4		4,000,000.00	4,050,000.00	4,000,000.00	4,000,000.00	50,000.00		—		—	—	2.9656	2.9836	Monthly	3,954.08	53,278.91		20150128	20320222
539830BF5	LOCKHEED MARTIN CORPORATION SENIOR CORP		2	2FE	2,996,095.20	2,960,149.77	2,920,000.00	2,978,230.22	(18,080.45	)	(8,638.88	)	—	—	2.5000	1.8760	May-Nov	7,705.55	36,500.00		20160607	20201123
539830BJ7	LOCKHEED MARTIN CORPORATION SENIOR CORP			2FE	109,811.90	110,216.69	110,000.00	109,911.29	305.40		31.16		—	—	1.8500	1.9089	May-Nov	214.81	1,017.50		20151116	20181123
539830AT6	LOCKHEED MARTIN CORPORATION SENIOR CORP			2FE	1,446,437.20	1,423,034.05	1,352,000.00	1,428,966.57	(5,932.52	)	(15,937.76	)	—	—	4.2500	1.7879	May-Nov	7,342.11	30,034.51		20161207	20191115
542799AC5	LONGPOINT RE III LTD CORP BND 144A	D			1,550,000.00	1,563,609.00	1,550,000.00	1,550,000.00	13,609.00		—		—	—	3.5000	3.5151	F-M-A-N	6,781.25	32,215.08		20150507	20180523
546415S50	LOUISIANA STATE OF MUNITAX BND GO			1FE	4,779,355.00	4,754,275.00	4,750,000.00	4,756,028.93	(1,753.93	)	(5,099.50	)	—	—	1.5000	1.2817	Feb-Aug	29,687.50	35,625.00		20150304	20180201
54714CBC0	LOVE FIELD AIRPORT MODERNIZATI MUNI BND		2	1FE	1,455,862.50	1,490,725.00	1,250,000.00	1,451,055.98	39,669.02		(4,806.52	)	—	—	5.0000	3.0104	May-Nov	10,416.67	5,729.16		20170323	20271101
54910TAA0	LSTAR_17-5 PRELCF SENIOR CMBS 17-5 144A		4	1FE	428,404.74	429,616.31	428,412.48	428,417.43	1,198.88		12.69		—	—	2.4170	2.3984	Monthly	862.88	1,729.26		20170324	20500310
BRTADDMC4	LTI HOLDINGS INC SENIOR SECURED TERM LOA				1,602,517.99	1,602,517.99	1,618,705.04	1,602,751.88	(233.89	)	233.89		—	—	—	0.1420	M-J-S-D	—	5,687.95		20170517	20240516
BRT97WJM4	LUMILEDS HOLDING BV SENIOR SECURED TERM	D	2	4FE	547,067.63	557,376.70	549,816.72	547,082.73	10,293.97		15.10		—	—	—	0.0732	M-J-S-D	—	—		20170317	20240630
575718AC5	MA INSTITUTE OF TECH CORP BND			1FE	1,018,330.00	1,012,202.00	1,000,000.00	1,007,992.98	4,209.02		(1,957.71	)	—	—	2.0510	1.6431	Jan-Jul	10,255.00	10,255.00		20141021	20190701
BRT9D4G34	MACDERMID INCORPORATED SENIOR SECURED TE		2	4FE	1,071,785.73	1,078,534.10	1,076,739.18	1,071,921.05	6,613.05		147.73		—	—	—	0.0745	M-J-S-D	—	8,795.63		20170501	20230607
56040PAT5	MAINE EDL LN AUTH MUNI BND REV			1FE	2,161,528.60	2,030,326.40	1,940,000.00	2,018,029.25	12,297.15		(37,202.61	)	—	—	5.5000	2.5919	Jun-Dec	8,891.67	57,184.72		20140930	20181201
560427KM7	MAINE HEALTH & HIGHER EDL FACS MUNI BND		2	1FE	130,534.30	130,113.10	130,000.00	130,004.89	108.21		(378.89	)	—	—	5.2500	5.0858	Jan-Jul	3,412.50	3,412.50		20140930	20210701
562013AA0	MANATEE RE LTD CORP BND 144A	D			680,000.00	675,913.20	680,000.00	680,000.00	(4,086.80	)	—		—	—	6.3112	6.3326	M-J-S-D	238.42	19,144.80		20150323	20171222
563469UH6	MANITOBA PROVINCE OF SENIOR CORP BND	A			3,008,460.00	3,011,399.70	3,000,000.00	3,007,486.99	3,912.71		(973.01	)	—	—	2.0500	1.9740	May-Nov	5,295.83	23,745.83		20170106	20201130
563469TV7	MANITOBA PROVINCE OF UNSEC CORP BND	A		1FE	4,515,975.00	4,504,455.32	4,500,000.00	4,510,857.65	(6,402.33	)	(2,760.32	)	—	—	1.7500	1.6518	May-Nov	6,781.25	39,375.00		20160316	20190530
55279HAJ9	MANUFACTURERS AND TRADERS TRUS SENIOR CO		2	1FE	246,135.00	250,194.99	250,000.00	247,460.78	2,734.21		468.43		—	—	2.1000	2.5061	Feb-Aug	2,114.58	2,625.00		20160122	20200206
565849AK2	MARATHON OIL CORP SENIOR CORP BND		2	2FE	3,724,583.00	3,658,145.93	3,800,000.00	3,725,372.67	(67,226.74	)	789.67		—	—	2.8000	3.2630	May-Nov	17,733.33	(11,172.78	)	20170601	20221101
BRSX2BJ50	MARCO INC SENIOR SECURED TERM LOAN				3,622,903.57	3,595,731.79	3,622,903.57	3,622,903.57	(27,171.78	)	—		—	—	—	—	M-J-S-D	—	102,206.95		20151030	20211029

BRSX2BJ84	MARCO INC SENIOR SECURED TERM NOTES				1,213,749.13	1,204,646.01	1,213,749.13	1,213,749.13	(9,103.12	)	—		—	—	—	—		M-J-S-D	—	32,406.86		20160125	20201030
BRTAS4MZ7	MARKET TRACK LLC SECURED TERM LOAN				6,617,647.06	6,617,647.06	6,617,647.06	6,617,647.06	—		—		—	—	—	—		M-J-S-D	—	—		20170605	20240531
571903AR4	MARRIOTT INTERNATIONAL INC SENIOR CORP B		2	2FE	3,689,698.35	3,652,537.20	3,705,000.00	3,692,487.09	(39,949.89	)	1,303.98		—	—	2.3000	2.3789		Jan-Jul	39,293.57	50,892.31		20160607	20220115
575831CJ9	MASSACHUSETTS ST COLLEGE BLDG MUNI BND R		2	1FE	1,103,611.60	1,061,096.40	910,000.00	1,078,078.47	(16,982.07	)	(9,645.96	)	—	—	5.0000	2.3996		May-Nov	7,583.33	22,750.00		20160225	20310501
57584XXT3	MASSACHUSETTS ST DEV FIN AGY MUNI BND RE			1FE	51,497.60	49,728.80	40,000.00	50,632.12	(903.32	)	(620.00	)	—	—	5.0000	1.4805		Jan-Jul	922.23	472.23		20161006	20250715
57587ABR8	MASSACHUSETTS ST HSG FIN AGY MUNITAX BND			1FE	497,465.00	504,950.00	500,000.00	498,775.23	6,174.77		241.94		—	—	2.6080	2.7134		Jun-Dec	1,086.67	6,520.00		20140930	20191201
57586NWY3	MASSACHUSETTS ST HSG FIN AGY MUNITAX BND			1FE	700,000.00	700,427.00	700,000.00	700,000.00	427.00		—		—	—	1.8500	1.8500		Jun-Dec	1,079.17	7,807.00		20150318	20180601
576049CK4	MASSACHUSETTS ST WTR RES AUTH MUNI BND R		4	1FE	1,425,454.10	1,305,174.90	1,255,000.00	1,330,928.13	(25,753.23	)	(17,818.49	)	—	—	6.5000	3.4026		Jan-Jul	37,615.14	40,787.50		20140930	20190715
BRT9MSWG4	MAXLINEAR INC SECURED TERM LOAN		2	3FE	417,000.73	418,572.34	419,096.21	417,031.12	1,541.22		30.39		—	—	—	0.0709		M-J-S-D	—	731.02		20170413	20240513
BRSJD2Z02	MCC IOWA LLC SENIOR SECURED TERM LOAN		4	3FE	3,106,507.98	3,114,478.61	3,100,912.12	3,105,881.45	8,597.16		(655.67	)	—	—	—	—		F-M-A-N	—	59,491.95		20130523	20210129
58013MEE0	MCDONALDS CORP CORP BND			2FE	1,072,930.00	1,024,360.00	1,000,000.00	1,022,454.06	1,905.94		(16,437.60	)	—	—	5.3500	1.9500		Mar-Sep	17,833.33	26,750.00		20151215	20180301
58013MEW0	MCDONALDS CORP SENIOR CORP BND			2FE	179,911.80	180,939.60	180,000.00	179,957.02	982.58		14.85		—	—	2.1000	2.1170		Jun-Dec	252.00	2,067.63		20151202	20181207
58013MEX8	MCDONALDS CORP SENIOR CORP BND		2	2FE	1,014,270.00	1,019,000.09	1,000,000.00	1,013,108.57	5,891.52		(1,074.66	)	—	—	2.7500	2.3418		Jun-Dec	1,680.56	14,892.78		20170302	20201209
58013MET7	MCDONALDS CORP SENIOR CORP BND MTN		2	2FE	3,257,260.00	3,216,416.26	3,200,000.00	3,246,124.20	(29,707.94	)	(8,291.35	)	—	—	2.2000	1.6727		May-Nov	6,844.45	36,715.56		20160620	20200526
BRT195N68	MCGRAW-HILL GLOBAL EDUCATION H SENIOR SE			3FE	1,372,360.66	1,357,188.86	1,379,256.97	1,373,671.57	(16,482.71	)	601.60		—	—	—	0.0826		M-J-S-D	—	35,048.09		20160502	20220504
56576VAQ0	MCLO _14-6A ABS_14-6A BR 144A	D	4		1,000,000.00	995,943.50	1,000,000.00	1,000,000.00	(4,056.50	)	—		—	—	3.5318	3.5452		F-M-A-N	4,610.94	—		20170503	20250513
56577AAL6	MCLO_14-7A ABS_14-7A-A2R 144A	D	4	1FE	4,000,000.00	4,009,028.80	4,000,000.00	4,000,000.00	9,028.80		—		—	—	2.8218	2.8315		J-A-J-O	20,065.99	—		20170412	20251028
59980AAA5	MCMLT_17-2 RMBS_17-2-A1 144A		4	1FE	504,627.70	504,627.50	500,000.00	504,539.83	87.67		(87.87	)	—	—	2.7500	2.1051		Monthly	1,145.83	(763.89	)	20170612	20590725
BRT851X81	MEDIACOM LLC SENIOR SECURED TERM LOAN		2	3FE	2,376,155.99	2,375,998.98	2,364,178.09	2,366,272.62	9,726.36		(11,431.89	)	—	—	—	(1.5400	)	M-J-S-D	—	30,874.04		20170120	20240215
585055BG0	MEDTRONIC INC SENIOR CORP BND			1FE	11,307,550.95	11,194,676.34	11,035,000.00	11,223,806.34	(29,130.00	)	(33,563.82	)	—	—	2.5000	1.9491		Mar-Sep	81,229.85	137,937.50		20160307	20200315
585055BR6	MEDTRONIC INC SENIOR CORP BND			1FE	519,650.00	517,329.98	500,000.00	515,670.85	1,659.13		(1,547.23	)	—	—	3.1500	2.4409		Mar-Sep	4,637.50	7,875.00		20160315	20220315
585055BA3	MEDTRONIC INC SENIOR CORP BND			1FE	1,148,275.00	1,148,850.00	1,150,000.00	1,149,733.98	(883.98	)	331.79		—	—	1.3750	1.4061		Apr-Oct	3,953.14	23,103.82		20130319	20180401
585055BS4	MEDTRONIC INC SENIOR CORP BND			1FE	777,493.21	779,744.97	750,000.00	772,818.62	6,926.35		(1,291.99	)	—	—	3.5000	3.0539		Mar-Sep	7,729.17	13,125.00		20150902	20250315
BRT8482F5	MEG ENERGY CORP SECURED TERM LOAN	A	2	3FE	2,095,290.98	2,038,934.64	2,099,289.20	2,095,529.80	(56,595.16	)	238.82		—	—	—	0.0357		M-J-S-D	—	23,017.09		20170123	20231231
58769BAE4	MERCEDES-BENZ AUTO RECEIVABLES SENIOR AB		4	1FE	2,769,384.51	2,738,265.00	2,770,000.00	2,769,498.44	(31,233.44	)	73.06		—	—	1.4600	1.4699		Monthly	1,797.42	21,532.53		20160909	20221215
58769BAF1	MERCEDES-BENZ AUTO RECEIVABLES SENIOR AB		4	1FE	1,190,468.47	1,189,352.35	1,190,517.63	1,190,489.17	(1,136.82	)	29.53		—	—	1.1100	1.1153		Monthly	587.32	9,024.85		20160909	20190315
58933YAG0	MERCK & CO INC SENIOR CORP BND			1FE	2,578,421.15	2,582,234.05	2,585,000.00	2,583,648.55	(1,414.50	)	1,238.64		—	—	1.3000	1.3480		May-Nov	4,013.93	33,493.42		20130515	20180518
58933YAS4	MERCK & CO INC SENIOR CORP BND			1FE	1,133,285.35	1,137,122.31	1,135,000.00	1,134,067.34	3,054.97		226.79		—	—	1.8500	1.9030		Feb-Aug	8,224.02	17,148.47		20150227	20200210
59012UAA3	MERNA REINSURANCE LTD CORP BND 144A	D			3,625,000.00	3,628,153.75	3,625,000.00	3,625,000.00	3,153.75		—		—	—	3.0000	3.0112		M-J-S-D	302.08	44,397.08		20150316	20180409
59165HAB5	METROCAT RE LTD CORP BND	D			3,000,000.00	3,007,740.00	3,000,000.00	3,000,000.00	7,740.00		—		—	—	—	—		J-A-J-O	—	—		20170515	20200508
59261EAE9	METROPOLITAN TRANS AUTH N Y MUNITAX BND			1FE	16,629,940.00	16,722,732.15	16,645,000.00	16,638,511.28	84,220.87		1,584.12		—	—	1.8480	1.9034		Jan-Jul	153,799.80	153,799.80		20140808	20190701
BRT0NP404	MGM RESORTS INTERNATIONAL SENIOR SECURED			3FE	861,902.35	864,710.55	864,062.50	862,265.86	2,444.69		166.33		—	—	—	0.0353		M-J-S-D	—	16,311.52		20160407	20230425
62405QAJ2	MHAWK_13-1A ABS_13-1A C	D	4	1FE	1,203,125.00	1,244,135.87	1,250,000.00	1,221,479.81	22,656.06		3,213.97		—	—	3.8762	4.5115		J-A-J-O	9,690.55	23,222.99		20150211	20240120
59334DHN7	MIAMI DADE CNTY FLA MUNI BND REV		2	1FE	1,146,570.00	1,176,280.00	1,000,000.00	1,106,012.11	70,267.89		(7,564.91	)	—	—	5.0000	3.1200		Apr-Oct	12,500.00	25,000.00		20140930	20281001

BRT56C9J5	MICHAELS STORES INC SENIOR SECURED TERM			3FE	1,998,714.82	1,994,286.02	2,000,000.02	1,998,866.87	(4,580.85	)	103.86		—	—	—	—	M-J-S-D	—	78,627.13		20160930	20230130
5946103D7	MICHIGAN STATE OF MUNI BND GO		2	1FE	2,308,400.00	2,113,500.00	2,000,000.00	2,102,562.27	10,937.73		(37,762.95	)	—	—	5.2500	1.3575	May-Nov	17,500.00	52,500.00		20140930	20221101
5946106P7	MICHIGAN STATE OF MUNI BND GO			1FE	1,652,295.00	1,580,670.00	1,500,000.00	1,579,675.40	994.60		(16,582.44	)	—	—	3.9900	1.6602	May-Nov	9,975.00	29,925.00		20150408	20191101
BRSY0Y6K1	MICROSEMI CORPORATION SECURED TERM NOTES			3FE	683,765.41	706,381.13	704,912.80	688,053.73	18,327.40		2,974.96		—	—	—	0.4308	M-J-S-D	—	11,204.55		20151217	20230115
594918BG8	MICROSOFT CORP SENIOR CORP BND		2	1FE	563,794.00	551,677.50	550,000.00	561,026.86	(9,349.36	)	(1,674.25	)	—	—	2.0000	1.3661	May-Nov	1,772.22	5,500.00		20160824	20201103
594918AV6	MICROSOFT CORP SENIOR CORP BND			1FE	646,249.50	651,527.51	650,000.00	648,892.78	2,634.73		377.94		—	—	1.6250	1.7460	Jun-Dec	733.51	5,281.25		20131203	20181206
594918BA1	MICROSOFT CORP SENIOR CORP BND		2	1FE	1,749,422.50	1,762,320.04	1,750,000.00	1,749,614.82	12,705.22		42.46		—	—	2.3750	2.3801	Feb-Aug	16,047.74	25,814.93		20150303	20220212
594918AS3	MICROSOFT CORP SENIOR CORP BND			1FE	2,093,680.15	2,088,735.95	2,095,000.00	2,094,775.06	(6,039.11	)	133.23		—	—	1.0000	1.0130	May-Nov	3,491.67	10,475.00		20130425	20180501
594918BN3	MICROSOFT CORP SENIOR CORP BND			1FE	4,295,571.00	4,252,184.00	4,300,000.00	4,296,877.00	(44,693.00	)	838.80		—	—	1.1000	1.1350	Feb-Aug	18,788.61	33,870.83		20160801	20190808
594918BV5	MICROSOFT CORP SENIOR CORP BOND			1FE	3,572,604.75	3,583,937.78	3,575,000.00	3,572,917.15	11,020.63		312.40		—	—	1.8500	1.8731	Feb-Aug	26,638.72	—		20170130	20200206
595620AJ4	MIDAMERICAN ENERGY CO SECURED CORP BND		2	1FE	839,529.60	848,736.08	840,000.00	839,846.71	8,889.37		43.33		—	—	2.4000	2.4110	Mar-Sep	5,936.00	10,080.00		20130912	20190315
BRT8HK330	MINERALS TECHNOLOGIES INC. SENIOR SECURE			3FE	353,043.27	356,140.15	353,928.10	353,089.66	3,050.49		108.38		—	—	—	0.0353	M-J-S-D	—	4,391.59		20170210	20240214
BRT5EW481	MISSION BROADCASTING INC. SENIOR SECURED		2	3FE	54,146.52	54,367.07	54,282.23	54,153.40	213.67		7.81		—	—	—	0.0358	M-J-S-D	—	1,083.01		20160926	20240117
60636YGY1	MISSOURI ST HSG DEV COMMN MUNITAX BND RE			1FE	527,483.25	525,015.75	525,000.00	525,390.55	(374.80	)	(387.54	)	—	—	1.7000	1.5501	Jan-Jul	4,462.50	4,462.50		20140930	20180101
606822AA2	MITSUBISHI TOKYO FINANCIAL GRP SENIOR CO	D		1FE	1,093,720.32	1,113,546.85	1,096,000.00	1,094,295.06	19,251.79		215.98		—	—	2.9500	2.9951	Mar-Sep	10,777.33	16,166.00		20160223	20210301
60687YAF6	MIZUHO FINANCIAL GROUP INC SENIOR CORP B	D		1FE	5,023,089.50	5,069,649.90	5,000,000.00	5,022,778.24	46,871.66		(311.26	)	—	—	2.3764	2.3764	M-J-S-D	5,941.10	48,770.48		20160907	20210913
BRT5HV7S3	MOHEGAN TRIBAL GAMING SENIOR SECURED TER			4FE	2,504,364.39	2,555,741.82	2,529,661.02	2,506,820.21	48,921.61		1,851.03		—	—	—	0.1423	M-J-S-D	—	70,909.55		20160930	20231013
60871RAF7	MOLSON COORS BREWING CO SENIOR CORP BND		2	2FE	1,074,591.50	1,056,509.99	1,075,000.00	1,074,670.38	(18,160.39	)	39.20		—	—	2.1000	2.1080	Jan-Jul	10,409.58	11,789.17		20160628	20210715
60871RAE0	MOLSON COORS BREWING CO SENIOR CORP BND			2FE	3,148,425.00	3,111,381.06	3,150,000.00	3,148,932.64	(37,551.58	)	257.23		—	—	1.4500	1.4669	Jan-Jul	21,061.25	23,852.50		20160628	20190715
60920LAA2	MONDELEZ INTERNATIONAL HOLDING SENIOR CO	D	2	2FE	2,744,060.00	2,721,922.39	2,750,000.00	2,745,371.00	(23,448.61	)	964.86		—	—	1.6250	1.6992	Apr-Oct	7,820.32	22,343.75		20161019	20191028
BRSHTM755	MONEYGRAM INTL INC SENIOR SEC TERM NOTES		4		3,384,133.75	3,463,984.63	3,468,320.02	3,414,163.55	49,821.08		9,947.00		—	—	—	—	M-J-S-D	—	76,109.35		20130327	20200327
61765TAF0	MORGAN STANLEY BAML TRUST MSBA LCF SENIO		4		3,889,746.10	3,899,812.61	3,750,000.00	3,887,498.61	12,314.00		(2,247.49	)	—	—	3.6350	3.1139	Monthly	11,359.36	7,951.53		20170505	20481015
61763KBA1	MORGAN STANLEY BAML TRUST MSBA SENIOR CM		4	1FM	399,726.56	400,012.49	375,000.00	394,497.64	5,514.85		(1,309.72	)	—	—	4.0510	3.1483	Monthly	1,265.93	7,595.58		20150730	20470415
61764PBR2	MORGAN STANLEY BAML TRUST MSBM PRELCF SE		4	1FM	3,392,734.40	3,335,787.65	3,250,000.00	3,356,843.46	(21,055.81	)	2,481.56		—	—	3.1010	2.3126	Monthly	8,398.54	50,391.30		20150325	20471215
61761JQK8	MORGAN STANLEY CAPSEC CORP BND		2	3FE	7,295,765.00	7,503,750.00	7,250,000.00	7,270,506.50	233,243.50		(4,699.54	)	—	—	5.4500	5.3091	Jan-Jul	182,196.53	197,562.50		20140715	20491231
61747WAL3	MORGAN STANLEY CORP BND			1FE	2,254,140.00	2,216,020.07	2,000,000.00	2,175,443.36	40,576.71		(19,967.92	)	—	—	5.5000	3.1869	Jan-Jul	46,750.00	55,000.00		20150623	20210728
6174466Q7	MORGAN STANLEY CORP BND MTN			1FE	112,513.00	103,459.00	100,000.00	103,526.31	(67.31	)	(2,302.18	)	—	—	6.6250	1.8731	Apr-Oct	1,656.25	3,312.50		20150709	20180401
61744YAG3	MORGAN STANLEY SENIOR CORP BND		2	1FE	3,960,952.00	3,983,007.62	3,960,000.00	3,960,948.69	22,058.93		(3.31	)	—	—	2.3732	2.3732	F-M-A-N	17,751.30	(777.87	)	20170419	20240508
6174467U7	MORGAN STANLEY SENIOR CORP BND			1FE	5,225,152.33	5,223,870.68	5,207,000.00	5,216,968.83	6,901.85		(5,998.63	)	—	—	2.1250	1.5458	Apr-Oct	20,285.60	55,324.38		20130422	20180425
BRT8XRTR6	MORGAN STANLEY SENIOR CORP BND				851,116.29	907,568.77	700,000.00	851,303.12	5,279.84		186.83		—	50,985.80	2.6250	2.6980	March	7,454.73	—		20170306	20270309
61746BDR4	MORGAN STANLEY SENIOR CORP BND			1FE	954,579.00	956,307.94	950,000.00	953,600.25	2,707.69		(843.38	)	—	—	2.3750	2.1859	Jan-Jul	9,902.43	11,281.25		20161128	20190723
61746BDM5	MORGAN STANLEY SENIOR CORP BND			1FE	8,140,060.00	8,065,999.76	8,000,000.00	8,096,298.18	(30,298.42	)	(30,181.06	)	—	—	2.5000	1.7145	Jan-Jul	87,222.22	100,000.00		20160616	20190124
61746BEH5	MORGAN STANLEY SENIOR CORP BND		2	1FE	2,030,000.00	2,037,917.14	2,030,000.00	2,030,000.00	7,917.14		—		—	—	1.9818	1.9867	F-M-A-N	5,140.52	9,035.46		20170214	20200214
61746BEF9	MORGAN STANLEY SENIOR CORP BND			1FE	247,497.50	251,972.50	250,000.00	247,590.85	4,381.65		93.35		—	—	3.6250	3.7459	Jan-Jul	4,052.95	—		20170117	20270120

61746BED4	MORGAN STANLEY SENIOR CORP BND			1FE	4,113,870.15	4,125,613.68	4,135,000.00	4,116,348.74	9,264.94		1,984.80		—	—		2.6250	2.7350	May-Nov	13,266.46	54,271.88	20161114	20211117
61747YDW2	MORGAN STANLEY SENIOR CORP BND			1FE	1,913,646.00	1,919,037.98	1,900,000.00	1,907,592.28	11,445.70		(1,419.29	)	—	—		2.6500	2.5911	Jan-Jul	21,538.61	25,175.00	20150225	20200127
61761JB32	MORGAN STANLEY SENIOR CORP BND			1FE	3,700,554.00	3,757,722.29	3,705,000.00	3,702,294.08	55,428.21		432.90		—	—		2.8000	2.8259	Jun-Dec	4,322.49	51,870.00	20150611	20200616
61746BEA0	MORGAN STANLEY SENIOR CORP BND			1FE	448,488.00	449,266.49	450,000.00	448,831.92	434.57		144.11		—	—		2.5000	2.5720	Apr-Oct	2,187.50	5,625.00	20160418	20210421
6174468B8	MORGAN STANLEY SENIOR CORP BND			1FE	989,237.70	994,257.00	990,000.00	989,680.12	4,576.88		108.48		—	—		2.2000	2.2230	Jun-Dec	1,452.00	10,890.00	20150603	20181207
61761J3R8	MORGAN STANLEY SENIOR CORP BND MTN			1FE	1,890,660.00	1,844,709.92	1,900,000.00	1,891,440.76	(46,730.84	)	406.37		—	—		3.1250	3.2050	Jan-Jul	25,399.30	30,017.35	20160720	20260727
6174824M3	MORGAN STANLEY SUB CORP BND			2FE	5,929,440.00	5,967,609.51	5,500,000.00	5,794,413.65	173,195.86		(24,586.41	)	—	—		4.8750	3.7580	May-Nov	44,687.50	134,062.50	20140819	20221101
6174467X1	MORGAN STANLEY SUB CORP BND			2FE	1,091,287.28	1,066,839.99	983,000.00	1,072,064.77	(5,224.78	)	(8,359.95	)	—	—		5.0000	3.7330	May-Nov	5,051.53	51,254.73	20150408	20251124
BRSJV1000	MORGAN'S POINT LIMITED				25,000,000.00	25,000,000.00	25,000,000.00	25,000,000.00	—		—		—	—		6.0000	—	NOV	—	—	20151112	20171231
BRSRP3A63	MOTOR_15 -1X ABS 2015-1X A2		4	1FE	490,258.68	414,606.85	318,950.41	490,258.68	306.21		—		—	(75,958.04	)	0.7309	0.7320	Monthly	41.49	2,183.03	20150220	20220625
G632A6AD0	MOTOR_16-1 ABS_16-1-A	B	4	1FE	2,276,126.72	2,283,708.78	1,735,000.00	2,275,386.12	6,657.31		(740.60	)	—	1,665.35		1.3000	0.9120	Monthly	401.34	2,566.69	20170523	20251125
61746REV9	MSAC ABS 04-H1		4	1FE	941,018.19	933,088.02	939,550.15	940,344.40	(7,256.38	)	(11.11	)	—	—		1.9561	1.9515	Monthly	255.26	7,674.21	20060323	20340125
61762DAU5	MSBAM_13-C9 SENIOR CMBS 13-C9 AAB		4		9,567,471.88	9,365,952.60	9,220,000.00	9,493,511.11	(127,558.51	)	(41,963.07	)	—	—		2.6570	1.7282	Monthly	20,414.62	122,487.66	20160726	20460515
61763KAY0	MSBAM_14-C15 PAC SENIOR CMBS_14-C15 ASB		4		1,177,343.75	1,158,025.02	1,100,000.00	1,161,177.83	(3,152.81	)	(6,981.21	)	—	—		3.6540	2.1668	Monthly	3,349.51	20,097.06	20160503	20470415
61763UAV4	MSBAM_14-C17 SUPSEN SENIOR CMBS 14-C17-A		4		1,042,343.75	1,021,630.02	1,000,000.00	1,029,717.66	(8,087.64	)	18,126.73		—	—		3.1190	2.3284	Monthly	2,599.17	76,415.52	20150922	20470815
61764RBF4	MSBAM_15-C20 SENIOR CMBS 15-C20 A4		4		5,149,631.00	5,074,044.00	5,000,000.00	5,114,508.39	(40,464.39	)	(7,158.89	)	—	—		3.2490	2.8960	Monthly	13,537.50	81,225.00	20150123	20480215
61765LAR1	MSBAM_15-C24 SUPSEN SENIOR CMBS 15-C24 A		4	1FE	4,480,472.60	4,455,339.17	4,350,000.00	4,431,178.65	24,160.52		(13,152.45	)	—	—		3.0880	2.4429	Monthly	11,194.00	67,164.00	20150724	20480515
61690VAZ1	MSBAM_15-C26 LCF SENIOR CMBS 15-C26		4	1FM	978,475.21	980,875.29	950,000.00	974,029.14	6,846.15		(1,320.34	)	—	—		3.5310	3.1738	Monthly	2,795.38	16,772.28	20151028	20481015
61760VAP8	MSC_12-C4 CMBS_12-C4 A4		4	1FE	5,541,596.09	5,335,969.91	5,180,000.00	5,482,133.03	(146,163.12	)	(37,753.46	)	—	—		3.2440	1.6378	Monthly	14,003.26	84,019.56	20160826	20450315
61763QAA9	MSC_14-CPT SENIOR CMBS_14-CPT A 144A		4	1FM	4,746,994.53	4,725,187.24	4,555,000.00	4,739,104.38	(13,917.14	)	(7,160.43	)	—	—		3.3500	2.2457	Monthly	12,716.05	16,419.21	20161129	20290713
61691BAA9	MSCBB_16-MART LCF SENIOR CMBS_16-MART A		4	1FM	3,499,986.00	3,461,917.55	3,500,000.00	3,499,611.49	(37,693.94	)	(1.91	)	—	—		2.2004	2.1948	Monthly	6,417.83	38,506.98	20160915	20310913
BRT3Q0CM3	MSHC INC SENIOR SECURED TERM NOTES				3,599,704.35	3,554,708.05	3,599,704.35	3,599,704.35	(44,996.30	)	—		—	—		—	—	J-A-J-O	—	110,942.54	20160719	20210716
BRT3Q1LF6	MSHC INC SENIOR SECURED TERM NOTES				234,618.77	229,762.16	234,618.77	234,618.77	(4,856.61	)	—		—	—		—	—	J-A-J-O	—	932.02	20170629	20491231
61745MVW0	MSM_04-1 MSM_04-1		4	1FM	31,153.66	30,597.19	30,470.80	30,599.57	(2.38	)	(298.16	)	—	—		5.0000	3.7688	Monthly	126.96	1,134.19	20140930	20181125
61974QAC0	MTL6_15 LCF SEN CMBS 15 MT6 A2A2 144A		4	1FM	1,500,000.00	1,497,459.60	1,500,000.00	1,500,000.00	(2,540.40	)	—		—	—		2.6050	2.6127	Monthly	3,256.26	19,537.56	20150226	20300205
BRTB146C3	NAB HOLDINGS LLC SECURED TERM LOAN			4FE	931,908.09	937,368.41	936,591.04	931,908.09	5,460.32		—		—	—		—	0.0732	M-J-S-D	—	—	20170615	20240614
62983QAJ2	NAKAMA RE LTD CORP BND 144A	D			250,000.00	255,807.50	250,000.00	250,000.00	5,807.50		—		—	—		4.2963	4.3192	J-A-J-O	2,625.50	5,241.99	20160921	20211013
62983QAH6	NAKAMA RE LTD CORP BND 144A	D			500,000.00	508,450.00	500,000.00	500,000.00	8,450.00		—		—	—		3.2463	3.2593	J-A-J-O	3,967.68	7,874.40	20160921	20211013
62983QAF0	NAKAMA RE LTD SENIOR CORP BND 144A	D			14,250,000.00	14,374,545.00	14,250,000.00	14,250,000.00	124,545.00		—		—	—		3.8711	3.8895	J-A-J-O	136,373.90	226,705.46	20151214	20210114
62983QAG8	NAKAMA RE LTD SENIOR CORP BND 144A	D			500,000.00	518,535.00	500,000.00	500,000.00	18,535.00		—		—	—		4.0475	4.0603	J-A-J-O	5,003.12	8,904.79	20151214	20210114
62983QAD5	NAKAMA RE LTD UNSEC CORP BND 144A	D			1,000,000.00	1,002,840.00	1,000,000.00	1,000,000.00	2,840.00		—		—	—		2.9050	2.9154	J-A-J-O	7,181.81	12,117.49	20141212	20190116
62983QAE3	NAKAMA RE LTD UNSEC CORP BND 144A	D			1,250,000.00	1,282,350.00	1,250,000.00	1,250,000.00	32,350.00		—		—	—		3.6725	3.6890	J-A-J-O	11,348.95	19,886.44	20141212	20200116
65478VAE7	NAROT_16-B SENIOR ABS_16-B A4		4	1FE	859,998.54	853,272.33	860,000.00	859,991.24	(6,718.91	)	(2.92	)	—	—		1.5400	1.5442	Monthly	588.62	6,622.02	20160418	20221015
63254AAQ1	NATIONAL AUSTRALIA BANK LIMITE SENIOR CO	C		1FE	971,607.00	963,036.78	975,000.00	972,687.23	(9,650.45	)	558.38		—	—		1.3750	1.4941	Jan-Jul	6,293.49	6,703.13	20160705	20190712

63254AAM0	NATIONAL AUSTRALIA BANK LIMITE SENIOR CO	C			2,992,530.00	3,005,489.97	3,000,000.00	2,996,117.93	9,372.04		1,236.01		—	—		2.0000	2.0861	Jan-Jul	27,833.33	30,000.00		20160106	20190114
63254AAV0	NATIONAL AUSTRALIA BANK LIMITE SENIOR CO	C		1FE	2,969,674.75	2,973,215.06	2,975,000.00	2,969,862.49	3,352.57		187.74		—	—		2.1250	2.1870	May-Nov	6,848.70	—		20170516	20200522
63253WAJ0	NATIONAL AUSTRALIA BANK LTD SECURED LOCA	D		1FE	2,993,130.00	3,004,259.93	3,000,000.00	2,993,866.28	10,393.65		646.99		—	—		2.4000	2.4489	Jun-Dec	4,800.00	36,000.00		20161130	20211207
63307A2C8	NATIONAL BK OF CANADA SENIOR CORP BND	A		1FE	1,648,894.50	1,654,125.13	1,650,000.00	1,649,455.70	4,669.43		182.33		—	—		2.1000	2.1232	Jun-Dec	1,636.25	17,325.00		20151207	20181214
BRT4Z4YN7	NATIONAL GRID GAS FINANCE PLC SENIOR COR	B			339,834.48	335,811.69	260,000.00	339,457.19	(4,077.25	)	(76.11	)	—	431.74		1.1250	0.9673	September	2,935.45	5,812.83		20160926	20210922
637432NC5	NATIONAL RURAL UTILITIES COOP SECURED CO		2	1FE	1,995,840.00	2,005,299.98	2,000,000.00	1,997,807.71	7,492.27		412.16		—	—		2.0000	2.0440	Jan-Jul	17,111.11	20,000.00		20150120	20200127
637432NB7	NATIONAL RURAL UTILITIES COOP SECURED CO		2	1FE	998,640.00	1,006,620.03	1,000,000.00	999,336.84	7,283.19		134.65		—	—		2.3000	2.3289	May-Nov	2,938.89	11,500.00		20141104	20191115
637432NM3	NATIONAL RURAL UTILITIES COOP SECURED CO		2	1FE	2,149,398.00	2,159,266.50	2,150,000.00	2,149,418.87	9,847.63		20.87		—	—		2.4000	2.4060	Apr-Oct	9,460.00	—		20170418	20220425
637432NF8	NATIONAL RURAL UTILITIES COOP SENIOR SEC		2	1FE	513,959.70	515,442.89	515,000.00	514,295.05	1,147.84		100.54		—	—		2.3000	2.3429	May-Nov	1,974.17	5,922.50		20151020	20201101
G6S17B5H5	NATIONWIDE BUILDING SOCIETY SECURED LOCA	B			738,868.00	679,959.28	520,000.00	738,868.00	4,505.28		—		—	(63,414.00	)	0.8088	0.8088	J-A-J-O	1,002.75	2,767.25		20160413	20190425
G63983JV6	NATIONWIDE BUILDING SOCIETY SENIOR CORP	B		1FE	1,402,964.42	1,428,372.32	1,000,000.00	1,371,465.09	(3,633.70	)	(28,448.26	)	—	60,540.91		5.6250	1.0046	Mar-Sep	22,634.56	34,988.91		20161130	20190909
BRSWNA846	NAVEX GLOBAL INC SENIOR SECURED TERM LOA				7,294,080.72	7,395,387.38	7,367,758.29	7,312,254.94	83,132.44		5,613.65		—	—		—	0.1443	M-J-S-D	—	208,148.77		20151009	20220831
63939CAB3	NAVSL_14-AA ABS _14-AA-A2A 144A		4	1FE	362,255.22	366,882.99	363,390.81	362,329.59	4,553.40		204.30		—	—		2.7400	2.8402	Monthly	442.53	5,335.73		20161215	20290215
63939EAB9	NAVSL_15-AA SENIOR ABS 15-AA A2A 144A		4	1FE	325,755.42	326,706.41	325,875.44	325,797.86	908.55		7.12		—	—		2.6500	2.6707	Monthly	383.81	4,372.50		20150113	20281215
63946CAC2	NBCUNIVERSAL ENTERPRISE INC SENIOR CORP			1FE	1,003,750.00	1,001,346.00	1,000,000.00	1,001,343.70	2.30		(836.67	)	—	—		1.6620	1.4901	Apr-Oct	3,508.67	8,310.00		20160119	20180415
63946CAB4	NBCUNIVERSAL ENTERPRISE INC SENIOR CORP			1FE	1,000,750.00	1,005,260.01	1,000,000.00	1,000,121.99	5,138.02		(959.64	)	—	—		1.8434	1.8280	J-A-J-O	3,942.91	40,728.48		20130320	20180415
63946BAD2	NBCUNIVERSAL MEDIA LLC CORP BND			1FE	3,918,880.00	3,810,834.90	3,500,000.00	3,835,002.87	(24,167.97	)	(57,138.90	)	—	—		5.1500	1.6941	Apr-Oct	30,542.36	90,125.00		20160616	20200430
63946BAH3	NBCUNIVERSAL MEDIA LLC SENIOR CORP BND			1FE	715,225.00	710,479.06	700,000.00	715,170.52	(4,691.46	)	(54.48	)	—	—		2.8750	2.4540	Jan-Jul	9,279.86	(8,832.64	)	20170620	20230115
BRT8JED31	NBTY INC SENIOR SECURED TERM LOAN		2	4FE	359,183.23	360,958.73	360,778.34	359,269.31	1,689.42		94.10		—	—		—	0.0707	M-J-S-D	—	6,287.94		20170301	20230505
62886XAE6	NCF DEALER FLOORPLAN MASTER TR ABS_16-1A		4	1FE	992,187.50	994,383.70	1,000,000.00	994,362.74	20.96		1,559.36		—	—		4.4622	4.8483	Monthly	1,363.46	20,882.14		20161017	20220321
63874EAA8	NCMS_17-75B LCF SENIOR CMBS_17-75B A 144		4		1,390,494.60	1,399,545.00	1,350,000.00	1,390,145.56	9,399.44		(349.04	)	—	—		3.8581	3.5186	Monthly	3,761.64	1,446.79		20170510	20270409
62889AAA1	NCUA GUARANTEED NOTES AGENCY ABS 10-A1 A		4	1	639,083.86	639,466.16	639,083.86	639,083.86	382.30		—		—	—		0.8539	1.3479	Monthly	572.66	4,092.92		20101210	20201207
BRSZNN0E7	NEDERLANDSE WATERSCHAPSBANK NV SENIOR CO	B			2,014,956.60	2,064,865.82	1,580,000.00	2,014,060.50	(5,587.17	)	(896.10	)	—	56,392.49		1.0000	0.6506	December	11,470.61	(8,539.43	)	20170222	20191209
G6459BAC5	NETWORK RAIL INFRA FIN LOCAL BND EMTN GO	B		1FE	2,157,843.65	2,181,881.00	1,500,000.00	2,157,415.70	(11,415.65	)	(427.95	)	—	35,880.95		4.6250	0.4708	July	85,176.87	(83,297.72	)	20170627	20200721
64128QAK1	NEUB_14-18A MEZZANIN ABS 14-18A 144A	D	4		2,500,000.00	2,476,435.75	2,500,000.00	2,500,000.00	(23,564.25	)	—		—	—		3.0318	3.0430	F-M-A-N	9,895.39	35,621.48		20161108	20271114
644682D29	NEW HAMPSHIRE ST MUNITAX BND GO			1FE	2,580,441.00	2,401,441.50	2,350,000.00	2,400,796.02	645.48		(37,351.04	)	—	—		4.3750	1.1188	Mar-Sep	34,270.83	51,406.25		20150202	20180301
645771ZT6	NEW JERSEY BLDG AUTH MUNITAX BND REV			2FE	667,904.12	663,949.30	665,000.00	667,629.44	(3,680.14	)	(274.68	)	—	—		2.3030	1.8838	Jun-Dec	680.66	893.38		20170524	20180615
645771ZR0	NEW JERSEY BLDG AUTH MUNITAX BND REV			1FE	15,065.51	15,138.00	15,000.00	15,059.31	78.69		(6.20	)	—	—		2.3030	1.8837	Jun-Dec	15.35	20.16		20170524	20180615
646136K83	NEW JERSEY ST TRANSN TR FD AUT MUNITAX B			1FE	5,050,000.00	5,000,207.00	5,050,000.00	5,050,000.00	(49,793.00	)	—		—	—		1.7580	1.7580	Jun-Dec	3,945.73	44,389.50		20130417	20181215
649322AC8	NEW YORK PRESBYTERIAN HOSP SENIOR CORP			1FE	149,995.50	145,189.36	150,000.00	150,000.52	(4,811.16	)	0.84		—	—		3.5630	3.5630	Feb-Aug	2,226.88	3,162.16		20160621	20360801
64972HKE1	NEW YORK NY CITY TRANSITIONAL MUNI BND R		2	1FE	1,144,760.00	1,042,890.00	1,000,000.00	1,040,251.97	2,638.03		(19,192.60	)	—	—		5.0000	1.0917	Jan-Jul	23,055.56	25,000.00		20140930	20190715
64972HKH4	NEW YORK NY CITY TRANSITIONAL MUNI BND R		2	1FE	3,442,770.00	3,135,780.00	3,000,000.00	3,123,384.81	12,395.19		(58,760.14	)	—	—		5.2500	1.2517	Jan-Jul	72,625.00	78,750.00		20140930	20220715
64966KEB5	NEW YORK NY MUNI BND GO		2	1FE	5,804,500.00	5,765,650.00	5,000,000.00	5,559,610.55	206,039.45		(45,833.10	)	—	—		5.0000	2.8201	Feb-Aug	104,166.67	125,000.00		20140930	20280801
649907XR8	NEW YORK ST DORM AUTH MUNI BND REV			1FE	3,053,370.00	3,026,580.00	3,000,000.00	3,018,558.27	8,021.73		(6,403.98	)	—	—		2.0500	1.6069	Jun-Dec	5,125.00	30,750.00		20140930	20181201

64986DAQ8	NEW YORK ST ENVIRONMENTAL FACS MUNI BND		2	1FE	602,785.00	602,435.00	500,000.00	598,417.32	4,017.68		(4,367.68	)	—	—	5.0000	2.5300	Jun-Dec	1,111.12	10,138.88	20170113	20310615
649883XV2	NEW YORK ST MTG AGY MUNI BND REV		2	1FE	898,278.60	877,440.80	860,000.00	887,940.14	(10,499.34	)	(1,943.95	)	—	—	4.4500	3.8600	Apr-Oct	9,567.50	19,135.00	20140930	20291001
649791CH1	NEW YORK ST MUNITAX BND GO			1FE	811,747.50	762,735.00	750,000.00	764,457.16	(1,722.16	)	(10,626.78	)	—	—	4.0900	1.1850	Mar-Sep	10,225.00	15,337.50	20150407	20180301
650035C48	NEW YORK ST URBAN DEV CORP MUNI BND REV		2	1FE	5,269,005.00	5,300,730.00	4,500,000.00	5,037,827.26	262,902.74		(42,874.90	)	—	—	5.0000	2.7241	Mar-Sep	66,250.00	112,500.00	20140930	20280315
650035K72	NEW YORK ST URBAN DEV CORP MUNITAX BND R			1FE	2,006,600.00	2,004,680.00	2,000,000.00	2,001,521.35	3,158.65		(3,194.61	)	—	—	1.4400	1.3314	Mar-Sep	8,480.00	64,380.00	20150202	20180315
6500354S4	NEW YORK ST URBAN DEV CORP MUNITAX BND R		4	1FE	8,994,690.00	8,995,680.28	9,000,000.00	8,994,955.30	724.98		265.30		—	—	2.1000	2.1126	Mar-Sep	51,450.00	—	20170317	20220315
651229AU0	NEWELL RUBBERMAID INC SENIOR CORP BND		2	2FE	1,497,525.00	1,536,360.06	1,500,000.00	1,498,109.16	38,250.90		295.30		—	—	3.1500	3.1859	Apr-Oct	11,812.50	45,500.00	20160318	20210401
651229AP1	NEWELL RUBBERMAID INC SENIOR CORP BND		2	2FE	4,355,116.80	4,431,852.59	4,360,000.00	4,357,582.02	74,270.57		476.35		—	—	2.8750	2.8989	Jun-Dec	10,445.83	62,675.01	20141114	20191201
651229AT3	NEWELL RUBBERMAID INC SENIOR CORP BND			2FE	1,786,028.03	1,785,348.54	1,767,000.00	1,781,150.68	4,197.86		(8,013.61	)	—	—	2.6000	2.6080	Mar-Sep	11,740.73	121,713.37	20160318	20190329
651229AR7	NEWELL RUBBERMAID INC SENIOR CORP BND			2FE	699,979.00	701,141.07	700,000.00	699,990.40	1,150.67		3.63		—	—	2.1500	2.1511	Apr-Oct	3,177.22	7,525.00	20151014	20181015
BRT5CGDN5	NEXSTAR BROADCASTING INC SENIOR SECURED		2	3FE	548,000.17	550,232.27	549,373.60	548,069.87	2,162.40		142.15		—	—	—	0.0358	M-J-S-D	—	11,544.38	20160926	20240117
62888UAA8	NGN_10-R2 AGENCY CMO_10-R2 1A		4	1	504,590.51	504,831.60	504,590.51	504,590.51	241.09		—		—	—	1.4542	1.3655	Monthly	458.06	3,370.51	20101110	20171106
62888YAA0	NGN_11-R1 CMO_11-R1 IA		4	1	715,203.60	715,712.80	714,927.73	715,018.83	693.97		(30.01	)	—	—	1.5342	1.4460	Monthly	658.50	4,991.85	20110120	20200108
62889EAA3	NGN_11-R3 NGN_11-R3 1A		4	1	3,350,776.10	3,345,883.28	3,346,462.56	3,348,346.69	(2,463.41	)	(634.21	)	—	—	1.6161	1.5362	Monthly	2,603.77	22,939.77	20110224	20200311
62889FAA0	NGN_11-R4 CMO_11R4-1A		4	1	86,319.07	86,333.23	86,319.07	86,319.07	14.16		—		—	—	1.6033	1.4687	Monthly	87.77	1,009.81	20110325	20200306
65478UAD1	NISSAN AUTO RECEIVABLES OWNER SENIOR ABS		4	1FE	4,990,039.06	4,983,720.00	5,000,000.00	4,990,790.36	(7,070.36	)	751.30		—	—	1.3400	1.4787	Monthly	2,977.78	2,605.55	20170525	20201015
654740AT6	NISSAN MOTOR ACCEPTANCE CORP SENIOR CORP			1FE	839,949.60	842,057.96	840,000.00	839,957.23	2,100.73		7.63		—	—	2.2500	2.2521	Jan-Jul	8,820.00	—	20170110	20200113
654740AS8	NISSAN MOTOR ACCEPTANCE CORP SENIOR CORP			1FE	334,363.50	326,581.45	335,000.00	334,460.86	(7,879.41	)	60.67		—	—	1.9000	1.9401	Mar-Sep	1,891.82	3,182.50	20160907	20210914
65157QBJ4	NMRK_14-2A ABS 14-2A-CR 144A	D	4		750,000.00	748,115.10	750,000.00	750,000.00	(1,884.90	)	—		—	—	3.7464	—	M-J-S-D	—	—	20170302	20260630
BRSRG6TU3	NOMACORC SENIOR SECURED REVOLVE LOAN				600,000.00	483,000.01	600,000.00	600,000.00	(116,999.99	)	—		—	—	—	—	J-A-J-O	—	32,001.08	20160405	20200105
BRSRG6UY3	NOMACORC SENIOR SECURED TERM LOAN				5,849,999.99	4,826,249.99	5,849,999.99	5,849,999.99	(1,023,750.00	)	—		—	—	—	—	J-A-J-O	—	138,429.18	20150109	20210105
62951MAY6	NOMURA ASSET ACCEPTANCE CORPOR WHOLE CMO		4	1FE	517,713.15	501,379.37	512,428.72	516,581.81	(15,202.44	)	(294.02	)	—	—	6.5000	6.3103	Monthly	2,775.66	15,380.33	20071003	20350225
65557CAM5	NORDEA BANK AB JR SUB CORP BND 144A	D	2	2FE	5,750,000.00	5,843,322.50	5,750,000.00	5,750,000.00	93,322.50		—		—	—	5.5000	5.5000	Mar-Sep	86,090.27	158,125.00	20140916	0
65557DAK7	NORDEA BANK AB SENIOR CORP BND	D		1FE	5,974,200.00	6,044,058.00	6,000,000.00	5,990,561.92	53,496.08		2,588.54		—	—	2.3750	2.4669	Apr-Oct	34,437.50	71,250.00	20140331	20190404
W57996JD8	NORDEA BANK AB SENIOR CORP BND EMTN	B		1FE	1,548,517.03	1,603,089.74	1,200,000.00	1,538,980.58	(4,208.49	)	(9,621.77	)	—	67,317.65	2.1250	0.8780	November	20,872.18	—	20161130	20191113
65557CAR4	NORDEA BANK AB SENIOR CORP BND MTN 144A	D		1FE	1,102,398.00	1,109,206.89	1,100,000.00	1,101,935.45	7,271.44		(288.13	)	—	—	2.5000	2.5510	Mar-Sep	7,944.44	13,750.00	20150909	20200917
65562QAW5	NORDIC INVESTMENT BANK CORP BND	D		1FE	2,980,170.00	3,033,750.00	3,000,000.00	2,987,585.16	46,164.84		1,370.74		—	—	2.2500	2.3530	Mar-Sep	17,062.50	33,750.00	20140923	20210930
658256Z54	NORTH CAROLINA ST MUNI BND GO			1FE	652,100.00	627,750.00	500,000.00	634,078.16	(6,328.16	)	(6,877.32	)	—	—	5.0000	1.7406	Jun-Dec	2,083.34	12,500.00	20160224	20260601
665859AQ7	NORTHERN TRUST COMPANY CAPSEC CORP BND		2		8,649,350.00	8,746,600.00	8,660,000.00	8,649,350.00	97,250.00		—		—	—	4.6000	4.6000	Apr-Oct	99,590.00	257,827.44	20160801	0
666807BF8	NORTHROP GRUMMAN CORP SENIOR CORP BND			2FE	1,071,625.63	1,074,158.84	1,073,000.00	1,072,548.23	1,610.61		241.43		—	—	1.7500	1.7672	Jun-Dec	1,564.80	9,388.75	20150710	20180601
666842AA7	NORTHSHORE RE II LTD SENIOR CORP BOND 14	D			1,400,000.00	1,400,112.00	1,400,000.00	1,400,000.00	112.00		—		—	—	8.2920	8.3773	J-A-J-O	644.93	—	20170626	20200706
BRT2GMJC3	NRG ENERGY INC SENIOR SECURED TERM LOAN			3FE	2,057,180.66	2,062,349.43	2,067,518.23	2,058,591.54	3,757.89		821.37		—	—	—	0.0711	M-J-S-D	—	35,269.14	20160614	20230630
BRT85FSR4	NRW BANK SENIOR CORP BND	D			4,984,450.00	5,002,949.90	5,000,000.00	4,986,608.07	16,341.83		2,158.07		—	—	1.8750	1.9731	January	40,104.17	—	20170119	20200127
64829JAA1	NRZT_17-1A ABS 17-1A 144A		4	1FE	1,896,372.25	1,915,242.71	1,842,225.02	1,895,045.55	20,197.16		(5,964.07	)	—	—	4.0000	3.5075	Monthly	6,140.75	17,448.84	20170306	20570225

65251QAA9	NSCDN_14-1A ABS2014-1A A1 144A		4		2,500,000.00	2,503,199.00	2,500,000.00	2,500,000.00	3,199.00		—		—	—	3.0062	2.8525	J-A-J-O	13,987.27	35,502.35		20141216	20270125
65251PAC7	NSLP_14-1A ABS_14-1A B1 144A		4	1FE	487,100.00	491,072.55	500,000.00	490,234.62	837.93		717.98		—	—	3.7562	4.2442	J-A-J-O	3,495.37	8,996.30		20151021	20250725
BRT97UVK8	NUMERICABLE GROUP SA SENIOR SECURED TERM	D	2		906,706.14	900,700.52	908,978.59	906,752.03	(6,051.51	)	45.89		—	—	—	0.0299	M-J-S-D	—	—		20170322	20250731
BRT5TA9A3	NUMERICABLE GROUP SA SENIOR SECURED TERM	D			1,251,066.18	1,251,066.18	1,254,201.68	1,251,292.97	(226.79	)	206.51		—	—	—	0.0304	M-J-S-D	—	22,079.07		20161014	20250114
67066GAD6	NVIDIA CORPORATION SENIOR CORP BND		2	2FE	1,117,782.40	1,108,038.39	1,120,000.00	1,118,117.17	(10,078.78	)	210.15		—	—	2.2000	2.2421	Mar-Sep	7,186.67	12,320.00		20160913	20210916
65251UAC6	NWSCLF_16-1A ABS 16-1A 144A		4	1FE	250,000.00	250,353.25	250,000.00	250,000.00	353.25		—		—	—	4.9387	4.9661	F-M-A-N	1,268.96	5,956.49		20160212	20280225
65251TAC9	NWSTR_15-1A ABS_15-1A B 144A		4	1FE	2,000,000.00	1,999,865.40	2,000,000.00	2,000,000.00	(134.60	)	—		—	—	3.9562	3.9749	J-A-J-O	15,824.88	37,965.67		20150311	20270120
65251TAE5	NWSTR_15-1A ABS_15-1A C 144A		4	1FE	1,000,000.00	999,924.80	1,000,000.00	1,000,000.00	(75.20	)	—		—	—	5.0062	5.0366	J-A-J-O	10,012.44	24,291.18		20150311	20270120
BRST0A6G3	NXTC_15-1A MEZZANIN ABS 15-1A 144A		4		1,000,000.00	980,308.90	1,000,000.00	1,000,000.00	(19,691.10	)	—		—	—	4.8057	4.8336	J-A-J-O	9,477.85	23,297.51		20150423	20270421
BRTAX2CY9	OAK LEAF RE LTD CORP BND 144A	D			5,000,000.00	5,022,854.50	5,000,000.00	5,000,000.00	22,854.50		—		—	—	—	—	At Mat	—	—		20170606	20180609
67389MAE1	OAKS_15-1 RMBS_15-1 A5 144A		4		884,711.53	869,882.38	883,055.81	884,242.67	(14,360.29	)	97.93		—	—	3.5000	3.4334	Monthly	2,575.58	16,184.06		20151006	20460425
67400LAJ7	OAKTA_14-A2 MEZZANIN ABS_14-A2 BR 144A	D	4		4,000,000.00	4,007,428.00	4,000,000.00	4,000,000.00	7,428.00		—		—	—	2.8818	2.8919	F-M-A-N	15,049.30	—		20170428	20251115
67401DAC9	OAKTA_15-A1 MEZZANIN ABS_15-A1 B 144A	D	4	1FE	1,488,150.00	1,501,666.35	1,500,000.00	1,490,627.59	11,038.76		717.08		—	—	3.7584	3.9152	J-A-J-O	11,588.52	26,935.35		20151217	20271018
67089NAV4	OCP_12-2A SENIOR ABS_12-2A CR 144A	D	4	1FE	500,000.00	500,443.60	500,000.00	500,000.00	443.60		—		—	—	4.0217	4.0415	F-M-A-N	2,234.29	9,633.36		20161108	20251122
67107KAC0	OCP_14-7A ABS_14-7A-A2A 144A	D	4	1FE	3,850,000.00	3,999,920.00	4,000,000.00	3,904,447.51	95,472.49		9,161.90		—	—	3.2562	3.8005	J-A-J-O	26,049.76	61,775.79		20141031	20261020
67110DAE7	OCP_16-11A ABS 2016-11A A2A 144A	D	4	1FE	1,745,625.00	1,749,889.40	1,750,000.00	1,746,470.16	3,419.24		361.87		—	—	3.5665	3.6298	J-A-J-O	11,442.52	29,699.56		20160422	20280426
67590BAE0	OCT16_13-1A MEZZANIN ABS 13-1A C1 144A	D	4	1FE	499,687.50	499,981.50	500,000.00	499,745.11	236.39		29.73		—	—	3.9084	3.9407	J-A-J-O	4,071.29	9,354.79		20160808	20250717
67590LAU2	OCTAGON INVESTMENT PARTNERS XI MEZZANIN	D	4		500,000.00	497,491.00	500,000.00	500,000.00	(2,509.00	)	—		—	—	3.2584	3.2716	J-A-J-O	3,394.21	1,065.45		20170308	20260415
676167BS7	OESTERREICHISCHE KONTROLLBANK SENIOR COR	D			2,989,440.00	2,972,910.00	3,000,000.00	2,993,549.16	(20,639.16	)	1,734.48		—	—	1.1250	1.2449	Apr-Oct	6,093.75	16,875.00		20160419	20190426
67091HAK7	OHALF_12-1A MEZZANIN ABS 12-1A 144A	D	4	1FE	2,500,000.00	2,531,049.25	2,500,000.00	2,500,000.00	31,049.25		—		—	—	3.0032	3.0141	J-A-J-O	14,181.64	28,027.18		20161118	20270123
67756DJK3	OHIO ST HIGHER EDL FAC REV MUNI BND REV			1FE	59,914.50	58,424.50	50,000.00	58,987.70	(563.20	)	(787.56	)	—	—	5.0000	1.5301	Jun-Dec	208.34	1,256.95		20161026	20221201
677522HS6	OHIO ST MUNI BND GO			1FE	1,233,070.00	1,185,980.00	1,000,000.00	1,189,591.39	(3,611.39	)	(16,573.12	)	—	—	5.0000	1.3807	Jun-Dec	2,222.22	25,000.00		20160226	20221215
67756BXS4	OHIO ST MUNI BND REV		2	1FE	2,905,950.00	2,650,500.00	2,500,000.00	2,640,849.72	9,650.28		(48,666.20	)	—	—	5.5000	1.4701	Jun-Dec	11,458.33	68,750.00		20140930	20241201
68217FAA0	OMNICOM GROUP INC SENIOR CORP BND		2	2FE	849,209.50	855,949.97	850,000.00	849,298.71	6,651.26		33.39		—	—	3.6000	3.6110	Apr-Oct	6,460.00	15,300.00		20160328	20260415
6824544G5	ONEIDA CNTY N Y MUNITAX BND GO			1FE	1,532,874.00	1,494,948.00	1,400,000.00	1,473,687.89	21,260.11		(11,172.66	)	—	—	5.3870	3.5700	Feb-Aug	31,424.17	37,709.00		20140930	20200801
6832348K7	ONTARIO PROVINCE OF CORP BND	A		1FE	8,985,228.00	8,958,432.25	8,400,000.00	8,979,148.08	(20,715.83	)	(6,079.92	)	—	—	4.4000	1.8493	Apr-Oct	79,053.32	(67,760.00	)	20170615	20200414
68323ADY7	ONTARIO PROVINCE OF SENIOR CORP BND	A		1FE	2,972,730.00	2,973,869.94	3,000,000.00	2,979,175.95	(5,306.01	)	5,173.15		—	—	1.2500	1.6109	Jun-Dec	1,458.33	18,750.00		20161115	20190617
68323ABL7	ONTARIO PROVINCE OF SENIOR CORP BND	A		1FE	7,448,715.00	7,478,324.93	7,500,000.00	7,478,884.60	(559.67	)	4,374.14		—	—	1.6500	1.6626	Mar-Sep	32,312.50	26,812.50		20140923	20190927
68323ADH4	ONTARIO PROVINCE OF SENIOR CORP BND	A		1FE	6,018,099.25	6,019,276.20	6,025,000.00	6,018,866.66	409.54		767.41		—	—	1.8750	1.8740	May-Nov	12,552.09	(5,351.57	)	20170215	20200521
68389XAK1	ORACLE CORPORATION CORP BND			1FE	1,059,200.00	1,057,119.98	1,000,000.00	1,053,787.73	3,332.25		(5,412.27	)	—	—	3.8750	2.0401	Jan-Jul	17,868.06	(5,597.22	)	20170302	20200715
68389XAX3	ORACLE CORPORATION SENIOR CORP BND			1FE	506,630.00	506,129.99	500,000.00	505,306.55	823.44		(1,130.33	)	—	—	2.2500	1.7709	Apr-Oct	2,593.75	5,625.00		20161128	20191008
68389XAR6	ORACLE CORPORATION SENIOR CORP BND			1FE	2,350,000.00	2,368,094.93	2,350,000.00	2,350,000.00	18,094.93		—		—	—	1.7384	1.7384	J-A-J-O	8,738.08	18,197.27		20130709	20190115
68389XAQ8	ORACLE CORPORATION SENIOR CORP BND			1FE	1,019,460.00	1,011,689.99	1,000,000.00	1,008,475.28	3,214.71		(2,700.68	)	—	—	2.3750	1.8139	Jan-Jul	10,951.39	11,875.00		20150604	20190115
68389XAU9	ORACLE CORPORATION SENIOR CORP BND		2	1FE	1,098,436.50	1,091,170.48	1,050,000.00	1,087,250.04	3,920.44		(2,475.67	)	—	—	3.4000	2.8209	Jan-Jul	17,155.84	17,850.00		20150303	20240708

68428TCP0	ORANGE CNTY CALIF SANTN DIST MUNI BND RE		2	1FE	549,301.50	538,744.50	450,000.00	537,945.03	799.47		(4,562.29	)	—	—		5.0000	2.4608	Feb-Aug	9,375.00	11,250.00	20160303	20320201
F4113NCA5	ORANGE SA CORP BND	B		2FE	1,463,442.33	1,073,901.19	800,000.00	1,287,749.43	4,191.96		(38,698.68	)	—	(218,040.19	)	8.0000	1.6740	December	43,957.89	—	20141127	20171220
BRSVBJ4B0	OSMOSE HOLDINGS INC SENIOR SECURED TERM				644,895.44	650,566.62	648,136.11	645,731.88	4,834.74		277.68		—	—		—	0.0713	M-J-S-D	—	16,006.47	20150818	20220822
69144VAA1	OXFIN_14-1A ABS _14-1A-A 144A		4	1FE	1,864,045.16	1,859,819.00	1,864,045.16	1,864,045.16	(4,226.16	)	—		—	—		3.4750	3.4988	Monthly	2,878.91	37,276.18	20141120	20221215
67108BAN5	OZLM FUNDING LTD ABS- 2012-2A BR 144A	D	4		500,000.00	499,946.55	500,000.00	500,000.00	(53.45	)	—		—	—		3.9196	3.9383	J-A-J-O	3,320.74	9,386.05	20161006	20271030
67111DAC0	OZLM_16-15A ABS 16-15A 144A	D	4		2,000,000.00	1,993,848.20	2,000,000.00	2,000,000.00	(6,151.80	)	—		—	—		2.8662	2.8751	J-A-J-O	30,732.25	—	20161122	20290120
67108BAL9	OZLMF_12-2A ABS 12-2A-A2AR 144A	D	4		1,500,000.00	1,500,537.30	1,500,000.00	1,500,000.00	537.30		—		—	—		3.1696	3.1793	J-A-J-O	8,188.03	22,470.67	20161006	20271030
67108EAL3	OZLMF_13-3A ABS_13-3A A1R 144A	D	4		3,000,000.00	3,018,308.40	3,000,000.00	3,000,000.00	18,308.40		—		—	—		2.7032	2.7123	J-A-J-O	15,317.96	36,612.46	20161208	20290122
709224KW8	PA TURNPIKE-E MUNI BND REV		2	1FE	1,108,680.00	1,127,190.00	1,000,000.00	1,103,937.43	23,252.57		(4,742.57	)	—	—		5.0000	3.5601	Jun-Dec	4,166.67	18,611.11	20170111	20401201
70922PAE2	PA TURNPIKE-E MUNITAX BND REV			1FE	4,500,000.00	4,517,505.00	4,500,000.00	4,500,000.00	17,505.00		—		—	—		1.6990	1.6990	Jun-Dec	6,371.25	38,227.50	20140911	20181201
69371RL79	PACCAR FINANCIAL CORP CORP BND MTN			1FE	3,850,000.00	3,873,562.00	3,850,000.00	3,850,000.00	23,562.00		—		—	—		1.8225	1.8225	M-J-S-D	4,872.66	31,610.11	20131203	20181206
69371RM45	PACCAR FINANCIAL CORP SENIOR CORP BND			1FE	1,049,013.00	1,050,105.00	1,050,000.00	1,049,769.18	335.82		338.53		—	—		1.4500	1.4822	Mar-Sep	4,736.67	22,837.50	20150303	20180309
69371RN36	PACCAR FINANCIAL CORP SENIOR CORP BND			1FE	2,500,000.00	2,461,305.00	2,500,000.00	2,500,000.00	(38,695.00	)	—		—	—		1.2000	1.2000	Feb-Aug	11,583.34	15,083.34	20160804	20190812
69371RN28	PACCAR FINANCIAL CORP SENIOR CORP BND MT			1FE	294,825.95	292,533.80	295,000.00	294,891.37	(2,357.57	)	28.64		—	—		1.3000	1.3201	May-Nov	543.29	1,917.50	20160505	20190510
69371RM52	PACCAR FINANCIAL CORP SENIOR CORP BND MT			1FE	848,878.00	849,422.00	850,000.00	849,665.80	(243.80	)	1,254.25		—	—		1.4000	1.4451	May-Nov	1,421.39	48,402.08	20150511	20180518
N6803F7R2	PACCAR FINANCIAL EUROPE BV SENIOR CORP B	B			942,231.81	790,354.00	605,000.00	943,421.37	5,044.89		355.09		—	(158,112.26	)	1.5130	1.5130	May	1,075.00	13,379.89	20150518	20180529
BRSJA8RE1	PACIFIC DRILLING SA SENIOR SECURED TERM	D	4	4FE	2,444,150.32	1,497,094.59	3,607,456.84	3,139,226.04	(1,642,131.45	)	235,069.61		—	—		—	10.0133	M-J-S-D	—	87,704.66	20150820	20180603
694308GL5	PACIFIC GAS AND ELECTRIC CO CORP BND			1FE	645,360.20	589,512.00	580,000.00	589,284.91	227.09		(11,128.52	)	—	—		5.6250	1.7160	May-Nov	2,809.38	16,312.50	20141208	20171130
695114CM8	PACIFICORP CORP BND		2	1FE	1,562,060.50	1,510,966.64	1,430,000.00	1,530,314.87	(19,348.23	)	(13,910.83	)	—	—		3.8500	1.8820	Jun-Dec	2,446.89	27,527.50	20160405	20210615
695114CK2	PACIFICORP CORP BND			1FE	4,465,800.00	4,218,360.00	4,000,000.00	4,213,134.49	5,225.51		(67,811.59	)	—	—		5.5000	1.9670	Jan-Jul	101,444.45	110,000.00	20150807	20190115
69834LAA8	PANDA RE LTD CORP BND	D			15,000,000.00	15,063,450.00	15,000,000.00	15,000,000.00	63,450.00		—		—	—		4.8475	4.8757	J-A-J-O	183,799.83	317,616.89	20150626	20180709
BRSAC1100	PANGEA RE				13,962,651.00	14,202,016.60	13,962,651.00	13,962,651.00	239,365.60		—		—	—		—	—	M-J-S-	—	—	10/21/4670	20171231
69640GAA3	PCT_16-PLSD LCF SENIOR CMBS_16-PLSD A 14		4	1FM	5,000,000.00	5,024,133.50	5,000,000.00	5,000,000.00	24,133.50		—		—	—		2.7130	2.7217	Monthly	8,289.66	67,824.54	20160420	20330413
40168PAA6	PDFNI_16-A ABS_16-A-1		4	1FE	6,962,617.00	7,193,079.62	6,962,617.00	6,962,617.00	230,462.62		—		—	—		3.9084	3.9272	J-A-J-O	60,473.11	131,821.06	20160412	20270412
40168PAB4	PDFNI_16-A ABS_16-A-2		4	1FE	3,551,401.00	3,668,952.38	3,551,401.00	3,551,401.00	117,551.38		—		—	—		3.9084	3.9272	J-A-J-O	30,845.34	67,237.58	20160708	20270412
40168PAC2	PDFNI_16-A ABS_16-A-3		4	1FE	3,037,383.00	3,137,920.38	3,037,383.00	3,037,383.00	100,537.38		—		—	—		3.9084	3.9270	J-A-J-O	26,380.89	57,505.82	20160830	20270412
40168PAD0	PDFNI_16-A ABS_16-A-4			1FE	2,803,739.00	2,896,542.76	2,803,739.00	2,803,739.00	92,803.76		—		—	—		—	—	At Mat	—	—	20170511	20270412
40168PAE8	PDFNI_16-A ABS_16-A-5			1FE	3,503,017.00	3,618,966.86	3,503,017.00	3,503,017.00	115,949.86		—		—	—		—	—	Jun-Dec	—	—	20170609	20270412
40168PAH1	PDFNI_16-B ABS_16-B-1		4	2AM	2,336,449.00	2,399,416.30	2,336,449.00	2,336,449.00	62,967.30		—		—	—		4.2834	4.3060	J-A-J-O	22,240.04	49,121.38	20160412	20270412
40168PAJ7	PDFNI_16-B ABS_16-B-2		4	2AM	1,168,224.00	1,199,707.64	1,168,224.00	1,168,224.00	31,483.64		—		—	—		4.2834	4.3060	J-A-J-O	11,120.01	24,560.70	20160708	20270412
40168PAK4	PDFNI_16-B ABS_16-B-3		4	2AM	1,168,224.00	1,199,707.64	1,168,224.00	1,168,224.00	31,483.64		—		—	—		4.2834	4.3057	J-A-J-O	11,120.01	24,560.70	20160830	20270412
40168PAL2	PDFNI_16-B ABS_16-B-4			2FE	1,168,225.00	1,199,708.67	1,168,225.00	1,168,225.00	31,483.67		—		—	—		3.0000	3.0000	Apr-Oct	7,690.82	—	20170511	20270412
40168PAM0	PDFNI_16-B ABS_16-B-5			2FE	1,619,871.00	1,663,526.52	1,619,871.00	1,619,871.00	43,655.52		—		—	—		—	—	Jun-Dec	—	—	20170609	20270412
40168PAQ1	PDFNI_16-C ABS_16-C-1		4	3AM	2,030,165.24	2,118,680.44	2,030,165.24	2,030,165.24	88,515.20		—		—	—		3.0000	3.0111	J-A-J-O	13,534.43	31,868.72	20160412	20270412

40168PAR9	PDFNI_16-C ABS_16-C-2		4	3AM	955,773.40	997,445.12	955,773.40	955,773.40	41,671.72		—		—	—	3.0000	3.0111	J-A-J-O	6,371.82	15,001.31	20160708	20270412
40168PAS7	PDFNI_16-C ABS_16-C-3		4	3AM	750,967.03	783,709.20	750,967.03	750,967.03	32,742.17		1,889.03		—	—	3.0000	3.0109	J-A-J-O	5,006.45	12,663.72	20160830	20270412
40168PAT5	PDFNI_16-C ABS_16-C-4			3FE	350,465.00	365,745.28	350,465.00	350,465.00	15,280.28		—		—	—	3.0000	3.0000	Apr-Oct	2,307.22	—	20170511	20270412
40168PAU2	PDFNI_16-C ABS_16-C-5			3FE	844,039.00	880,839.10	844,039.00	844,039.00	36,800.10		—		—	—	3.0000	3.0001	Jun-Dec	1,547.40	—	20170609	20270412
40168PAX6	PDFNI_16-D ABS_16-D-1		4	4AM	937,888.75	960,022.92	937,888.75	937,888.75	22,134.17		—		—	—	3.0000	3.0111	J-A-J-O	6,252.59	14,961.30	20160412	20270412
40168PAY4	PDFNI_16-D ABS_16-D-2		4	4AM	457,342.76	468,136.05	457,342.76	457,342.76	10,793.29		—		—	—	3.0000	3.0111	J-A-J-O	3,048.96	7,293.32	20160708	20270412
40168PAZ1	PDFNI_16-D ABS_16-D-3		4	4AM	378,293.83	387,221.56	378,293.83	378,293.83	8,927.73		—		—	—	3.0000	3.0109	J-A-J-O	2,521.96	6,032.72	20160830	20270412
40168PBA5	PDFNI_16-D ABS_16-D-4			4FE	373,833.00	382,655.47	373,833.00	373,833.00	8,822.47		—		—	—	3.0000	3.0000	Apr-Oct	2,461.07	—	20170511	20270412
40168PBB3	PDFNI_16-D ABS_16-D-5			4FE	390,301.00	399,512.10	390,301.00	390,301.00	9,211.10		—		—	—	3.0000	3.0001	Jun-Dec	715.55	—	20170609	20270412
693304AP2	PECO ENERGY CO SECURED CORP BND		2	1FE	359,969.30	367,513.61	370,000.00	362,537.16	4,976.45		655.30		—	—	2.3750	2.7940	Mar-Sep	2,587.43	4,393.75	20150707	20220915
705870AA1	PELICAN III RE LTD CORP BND	D			680,000.00	682,420.80	680,000.00	680,000.00	2,420.80		—		—	—	4.5361	4.5625	M-J-S-D	1,970.66	20,109.84	20150407	20180416
705809AA9	PELICAN IV RE LTD SENIOR CORP BND 144A	D			1,500,000.00	1,502,700.00	1,500,000.00	1,500,000.00	2,700.00		—		—	—	3.6649	3.6649	Monthly	3,970.30	5,211.25	20170410	20200505
BRTAYZQ38	PENN ENGINEERING & MANUFACTURI SENIOR SE			4FE	220,171.73	220,998.40	220,447.28	220,171.83	826.57		0.10		—	—	—	0.0177	M-J-S-D	—	—	20170613	20240627
BRT81L2X0	PENN NTL GAMING INC SENIOR SECURED TERM			3FE	244,607.27	246,670.57	245,836.45	244,674.13	1,996.44		73.33		—	—	—	0.0713	M-J-S-D	—	3,385.32	20170113	20240119
709132AK0	PENNSYLVANIA ST HIGHER EDL FAC MUNI BND		2	1FE	868,208.00	800,096.00	800,000.00	800,000.00	96.00		(12,645.86	)	—	—	5.0000	1.8099	Jan-Jul	20,000.00	20,000.00	20140930	20180701
70932JAA2	PENNUNION RE LTD SENIOR CORP BND 144A	D		3FE	1,250,000.00	1,257,562.50	1,250,000.00	1,250,000.00	7,562.50		—		—	—	5.4824	5.4824	M-J-S-D	4,568.69	31,700.88	20151005	20181207
709599AS3	PENSKE TRUCK LEASING CO SENIOR CORP BND		2	2FE	3,914,266.76	4,088,657.52	3,988,000.00	3,933,215.70	155,441.82		5,288.55		—	—	3.3750	3.6720	Feb-Aug	56,081.25	93,922.51	20150917	20220201
709599AK0	PENSKE TRUCK LEASING CO SENIOR CORP BND			2FE	308,928.00	303,528.00	300,000.00	302,428.31	1,099.69		(1,681.02	)	—	—	3.3750	2.2129	Mar-Sep	2,981.25	5,062.50	20150715	20180315
709599AV6	PENSKE TRUCK LEASING CO SENIOR CORP BND		2	2FE	1,454,812.05	1,499,530.19	1,465,000.00	1,457,591.85	41,938.34		910.42		—	—	3.3000	3.4421	Apr-Oct	12,086.25	24,172.50	20151210	20210401
709599AW4	PENSKE TRUCK LEASING CO SENIOR CORP BND		2	2FE	194,405.25	190,216.64	195,000.00	194,440.70	(4,224.06	)	27.93		—	—	3.4000	3.4361	May-Nov	847.17	3,554.42	20161026	20261115
709599AQ7	PENSKE TRUCK LEASING CO SENIOR CORP BND		2	2FE	2,600,508.10	2,621,229.17	2,605,000.00	2,602,596.13	18,633.04		591.76		—	—	2.5000	2.5060	Jun-Dec	2,894.44	32,562.50	20140612	20190615
709599AL8	PENSKE TRUCK LEASING CO SENIOR CORP BND			2FE	609,582.00	605,861.94	600,000.00	604,926.09	935.85		(2,318.58	)	—	—	2.8750	2.0760	Jan-Jul	7,858.33	8,625.00	20160623	20180717
713448CX4	PEPSICO INC SENIOR CORP BND		2	1FE	999,810.00	1,034,180.07	1,000,000.00	999,859.04	34,321.03		12.80		—	—	3.1000	3.1030	Jan-Jul	14,122.22	15,500.00	20150714	20220717
713448DL9	PEPSICO INC SENIOR CORP BND		2	1FE	59,919.60	58,788.00	60,000.00	59,931.00	(1,143.00	)	335.20		—	—	1.7000	1.7281	Apr-Oct	240.83	46,410.00	20161003	20211006
713448CR7	PEPSICO INC SENIOR CORP BND			1FE	964,884.20	963,793.75	965,000.00	964,967.52	(1,173.77	)	30.01		—	—	1.2500	1.2541	Apr-Oct	2,043.92	10,718.75	20150427	20180430
713448DJ4	PEPSICO INC SENIOR CORP BND			1FE	1,699,745.00	1,685,261.05	1,700,000.00	1,699,806.34	(14,545.29	)	41.50		—	—	1.3500	1.3551	Apr-Oct	5,546.25	11,347.50	20161003	20191004
713448CW6	PEPSICO INC SENIOR CORP BND			1FE	2,999,040.00	2,999,850.00	3,000,000.00	2,999,978.60	(128.60	)	241.58		—	—	1.1250	1.1412	Jan-Jul	15,375.00	16,875.00	20150714	20170717
713448DE5	PEPSICO INC SENIOR CORP BND			1FE	594,827.45	593,643.41	595,000.00	594,904.25	(1,260.84	)	28.54		—	—	1.5000	1.5100	Feb-Aug	3,198.13	4,462.50	20160219	20190222
717081DF7	PFIZER INC SENIOR CORP BND			1FE	3,999,999.00	4,008,759.08	3,999,999.00	3,999,999.00	8,760.08		—		—	—	1.5456	1.5456	M-J-S-D	2,747.66	27,264.65	20130528	20180615
717081EB5	PFIZER INC SENIOR CORP BND			1FE	3,722,318.00	3,728,724.66	3,725,000.00	3,722,857.17	5,867.49		455.43		—	—	1.7000	1.7240	Jun-Dec	2,814.44	35,884.16	20161114	20191215
717081DL4	PFIZER INC SENIOR CORP BND			1FE	2,495,275.00	2,522,250.18	2,500,000.00	2,498,172.03	24,078.15		474.09		—	—	2.1000	2.1401	May-Nov	6,708.34	26,250.00	20140512	20190515
717081DG5	PFIZER INC SENIOR CORP BND			1FE	250,240.00	250,195.00	250,000.00	250,080.54	114.46		66.27		—	—	1.5000	1.4659	Jun-Dec	166.67	17,064.58	20150715	20180615
717081DZ3	PFIZER INC SENIOR CORP BND			1FE	699,363.00	701,392.98	700,000.00	699,441.67	1,951.31		69.15		—	—	2.2000	2.2189	Jun-Dec	684.45	8,726.67	20161114	20211215
69331CAF5	PG&E CORP SENIOR CORP BND		2	2FE	500,605.00	502,174.99	500,000.00	500,232.54	1,942.45		(69.69	)	—	—	2.4000	2.3704	Mar-Sep	4,000.00	6,000.00	20140930	20190301

71722TAF1	PHEAA_04-1 ABS_04-1-A2		4	1FE	452,730.00	496,385.00	500,000.00	488,682.88	7,702.12		(298.31	)	—	—	8.2960	10.1448	Monthly	1,610.58	6,099.48	20100309	20440425
71722TAG9	PHEAA_04-1 ABS_04-1-A3		4	1FE	1,177,098.00	1,237,912.00	1,300,000.00	1,252,362.15	(14,450.15	)	5,168.87		—	—	2.5400	3.5869	Monthly	1,651.00	12,098.69	20100309	20440425
717901BF8	PHILADELPHIA AUTHORITY FOR IND MUNI BND		2	1FE	298,667.50	295,300.00	250,000.00	298,643.55	(3,343.55	)	(23.95	)	—	—	5.0000	2.7601	Jan-Jul	69.45	—	20170602	20330701
718172AL3	PHILIP MORRIS INTERNATIONAL IN CORP BND			1FE	1,488,790.50	1,482,856.99	1,450,000.00	1,477,102.05	5,754.94		(2,906.70	)	—	—	2.9000	2.4350	May-Nov	5,373.05	21,025.00	20150331	20211115
718172AA7	PHILIP MORRIS INTERNATIONAL IN CORP BND			1FE	215,716.60	201,830.85	195,000.00	201,774.62	56.23		(3,813.99	)	—	—	5.6500	1.6670	May-Nov	1,377.19	5,508.75	20150727	20180516
718172BN8	PHILIP MORRIS INTERNATIONAL IN SENIOR CO			1FE	1,919,648.50	1,923,979.75	1,925,000.00	1,924,353.70	(373.95	)	899.17		—	—	1.2500	1.3449	May-Nov	3,475.70	12,031.25	20141103	20171109
718172BR9	PHILIP MORRIS INTERNATIONAL IN SENIOR CO			1FE	2,919,539.90	2,910,515.47	2,930,000.00	2,924,183.70	(13,668.23	)	1,724.24		—	—	1.3750	1.4971	Feb-Aug	14,100.62	20,143.76	20160218	20190225
718172BF5	PHILIP MORRIS INTERNATIONAL IN SENIOR CO			1FE	611,850.00	600,828.00	600,000.00	607,212.90	(6,384.90	)	(2,315.37	)	—	—	1.8750	1.0850	Jan-Jul	5,187.50	5,625.00	20160627	20190115
BRSSJC1F8	PHILLIPS & TEMRO INDUSTRIES IN SENIOR SE				3,018,288.92	2,339,173.91	3,018,288.92	3,018,288.92	(679,115.01	)	—		—	—	—	—	M-J-S-D	—	47,820.34	20150327	20210312
718546AP9	PHILLIPS 66 SENIOR CORP BND 144A		2	2FE	4,000,000.00	4,007,560.12	4,000,000.00	4,000,000.00	7,560.12		—		—	—	1.8841	1.8841	J-A-J-O	14,863.28	—	20170411	20200415
03328WAC2	PILOT_12-1 ABS 16-9A 144A	D	4		2,500,000.00	2,509,395.25	2,500,000.00	2,500,000.00	9,395.25		—		—	—	2.8326	2.8117	J-A-J-O	40,325.35	—	20161108	20290115
BRT88VA38	PINACLE FOOD FIN SENIOR SECURED TERM LOA		2	3FE	487,979.67	489,839.26	488,590.42	488,005.65	1,833.61		31.29		—	—	—	0.0179	M-J-S-D	—	3,518.94	20170130	20240202
72650RBF8	PLAINS ALL AMERICAN PIPELINE L SENIOR CO		2	2FE	724,942.50	731,287.48	750,000.00	729,608.94	1,678.54		1,178.42		—	—	3.6000	4.0320	May-Nov	4,500.00	13,500.00	20150622	20241101
72650RBD3	PLAINS ALL AMERICAN PIPELINE L SENIOR CO		2	2FE	523,505.00	502,245.03	500,000.00	517,543.68	(15,298.65	)	(1,301.35	)	—	—	3.8500	3.2040	Apr-Oct	4,063.89	9,625.00	20150224	20231015
72650RBG6	PLAINS ALL AMERICAN PIPELINE L SENIOR CO		2	2FE	2,994,390.00	3,009,659.97	3,000,000.00	2,997,165.67	12,494.30		551.67		—	—	2.6000	2.6400	Jun-Dec	3,466.67	39,000.00	20141202	20191215
BRSWYTMJ4	PLASKOLITE INC SENIOR SECURED TERM LOAN				6,407,463.00	6,423,481.66	6,407,463.00	6,407,463.00	16,018.66		—		—	—	—	—	M-J-S-D	—	86,373.44	20151103	20221103
BRT6UBG92	PLATFORM SPECIALTY PRODUCTS CO SENIOR SE				434,455.18	439,909.67	437,799.04	434,866.31	5,043.36		427.97		—	—	—	0.2256	M-J-S-D	—	8,253.89	20170131	20200607
69353RER5	PNC BANK NATIONAL ASSOCIATION SENIOR COR		2	1FE	699,916.00	700,833.00	700,000.00	699,969.92	863.08		37.80		—	—	1.8500	1.8541	Jan-Jul	5,791.53	30,291.18	20150716	20180720
69353REV6	PNC BANK NATIONAL ASSOCIATION SENIOR COR		2	1FE	959,030.40	960,979.17	960,000.00	959,451.22	1,527.95		158.51		—	—	1.9500	1.9848	Mar-Sep	6,084.00	9,360.00	20160301	20190304
69353RFC7	PNC BANK NATIONAL ASSOCIATION SENIOR COR		2	1FE	1,573,220.25	1,571,928.75	1,575,000.00	1,573,287.82	(1,359.07	)	67.57		—	—	2.0000	2.0390	May-Nov	3,675.00	—	20170516	20200519
69353RES3	PNC BANK NATIONAL ASSOCIATION SENIOR COR		2	1FE	249,825.00	253,142.51	250,000.00	249,890.38	3,252.13		17.09		—	—	2.6000	2.6150	Jan-Jul	2,888.89	3,250.00	20150716	20200721
69353REK0	PNC BANK NATIONAL ASSOCIATION SENIOR COR		2	1FE	703,353.00	698,845.00	700,000.00	702,651.74	(3,806.74	)	(154.73	)	—	—	2.9500	2.8940	Feb-Aug	7,342.22	10,325.00	20150225	20250223
69353REU8	PNC BANK NATIONAL ASSOCIATION SENIOR COR		2	1FE	308,544.00	302,072.98	300,000.00	306,557.97	(4,484.99	)	(1,052.32	)	—	—	2.4500	1.7575	May-Nov	1,143.33	7,618.82	20160616	20201105
69353RDZ8	PNC BANK NATIONAL ASSOCIATION SENIOR COR		2	1FE	2,518,130.00	2,521,825.23	2,500,000.00	2,509,285.66	12,539.57		(2,014.28	)	—	—	2.4000	2.2319	Apr-Oct	12,166.67	30,000.00	20141027	20191018
69353RCH9	PNC BANK NATIONAL ASSOCIATION SENIOR COR		2	1FE	1,247,525.00	1,256,175.04	1,250,000.00	1,249,190.80	6,984.24		(10.62	)	—	—	2.2000	2.2421	Jan-Jul	11,687.50	51,516.67	20140123	20190128
693475AQ8	PNC FINANCIAL SERVICES GROUP I CAPSEC CO		2		2,750,000.00	2,832,500.00	2,750,000.00	2,750,000.00	82,500.00		—		—	—	5.0000	5.0000	May-Nov	22,916.67	68,750.00	20161027	0
73358WAJ3	PORT AUTH NY & NJ MUNI BND REV			1FE	1,459,850.00	1,366,926.99	1,075,000.00	1,437,662.12	(70,735.13	)	(12,061.24	)	—	—	6.0400	2.8040	Jun-Dec	5,410.83	32,465.00	20160726	20291201
73358WUA0	PORT AUTH NY & NJ MUNITAX BND REV			1FE	2,000,000.00	2,028,560.00	2,000,000.00	2,000,000.00	28,560.00		—		—	—	2.5290	2.5290	Apr-Oct	10,678.00	25,290.00	20141008	20201015
BRTA7Y450	POST HOLDINGS INC SENIOR SECURED TERM LO		2	3FE	1,299,613.70	1,303,874.67	1,302,857.14	1,299,635.29	4,239.38		21.59		—	—	—	0.0364	M-J-S-D	—	2,007.19	20170517	20240524
BRT6KR459	PQ CORP SENIOR SECURED TERM NOTES			4FE	282,822.19	287,965.27	285,445.08	283,078.08	4,887.19		231.53		—	—	—	0.1536	M-J-S-D	—	7,642.48	20161201	20221104
74005PAZ7	PRAXAIR INC CORP BND			1FE	818,683.05	817,172.50	795,000.00	811,367.39	5,805.11		(1,832.92	)	—	—	3.0000	2.4770	Mar-Sep	7,950.00	11,925.00	20150622	20210901
BRT83EXB8	PRESTIGE BRANDS INC SENIOR SECURED TERM		2	4FE	852,943.20	858,134.39	855,080.90	853,070.38	5,064.01		281.86		—	—	—	0.0353	M-J-S-D	—	13,973.20	20170120	20240126
74153WBZ1	PRICOA GLOBAL FUND SECURED CORP BND 144A			1FE	985,230.00	998,692.00	1,000,000.00	996,231.88	2,460.12		2,035.29		—	—	1.6000	2.0200	May-Nov	1,422.22	8,000.00	20140930	20180529
BRT7F9QD2	PRIME SECURITY SERVICES BORROW SENIOR SE			3FE	4,072,893.82	4,092,607.19	4,091,146.65	4,074,569.14	18,038.05		1,706.55		—	—	—	0.0697	M-J-S-D	—	85,781.05	20161230	20220502

BRSQXTFG2	PRIMEDIA INC. SENIOR SECURED TERM NOTES			4FE	1,493,605.14	1,483,651.93	1,492,983.07	1,493,605.14	(9,953.21	)	(1.33	)	—	—		—	—	M-J-S-D	—	31,903.97		20170124	20211217
89837LAA3	PRINCETON UNIVERSITY MUNI BND REV			1FE	1,525,670.40	1,411,957.94	1,340,000.00	1,412,638.04	(680.10	)	(21,156.68	)	—	—		4.9500	1.6422	Mar-Sep	22,110.00	33,165.00		20141017	20190301
742741AA9	PROCTER & GAMBLE COMPANY CORP BND		4	1FE	536,013.84	477,253.82	416,590.00	473,808.40	3,445.42		(15,032.86	)	—	—		9.3600	1.8235	Jan-Jul	19,496.42	21,451.72		20140214	20210101
742718EB1	PROCTER & GAMBLE COMPANY SENIOR CORP BND			1FE	2,194,353.00	2,179,674.13	2,100,000.00	2,194,199.76	(14,525.63	)	(153.24	)	—	—		3.1000	2.3098	Feb-Aug	24,593.34	(23,870.00	)	20170622	20230815
69362BAZ5	PSEG POWER LLC SENIOR CORP BND		2	2FE	49,925.00	50,169.30	50,000.00	49,978.61	190.69		7.58		—	—		2.4500	2.4819	May-Nov	156.53	612.50		20131105	20181115
74456QBE5	PUBLIC SERVICE ELECTRIC AND GA SECURED C		2	1FE	1,099,692.00	1,108,811.00	1,100,000.00	1,099,922.89	8,888.11		31.06		—	—		2.3000	2.3059	Mar-Sep	7,449.45	12,650.00		20130909	20180915
74529JNP6	PUERTO RICO SALES TAX FING COR MUNI BND		2	5FE	985,000.00	600,630.00	1,000,000.00	990,315.98	(389,685.98	)	820.07		—	—		5.0000	5.2193	Feb-Aug	20,833.33	25,000.00		20140108	20220801
747525AP8	QUALCOMM INCORPORATED SENIOR CORP BND			1FE	5,011,288.60	5,033,997.70	5,010,000.00	5,011,245.93	22,751.77		(42.67	)	—	—		2.1000	2.1021	May-Nov	10,228.74	—		20170519	20200520
747525AR4	QUALCOMM INCORPORATED SENIOR CORP BND		2	1FE	259,581.40	259,165.40	260,000.00	259,585.15	(419.75	)	3.75		—	—		2.6000	2.6299	Jan-Jul	657.22	—		20170519	20230130
747525AD5	QUALCOMM INCORPORATED SENIOR CORP BND			1FE	2,872,817.50	2,897,223.84	2,875,000.00	2,873,711.21	23,512.63		214.14		—	—		2.2500	2.2670	May-Nov	7,367.20	32,343.75		20150513	20200520
747525AG8	QUALCOMM INCORPORATED SENIOR CORP BND			1FE	3,018,949.18	3,022,002.41	3,023,000.00	3,021,792.70	209.71		1,215.42		—	—		1.4000	1.4459	May-Nov	4,820.01	42,785.09		20150513	20180518
BRSK6KJF2	QUEBECOR MEDIA INC. SENIOR SECURED TERM	A		3FE	2,390,103.85	2,404,493.03	2,401,491.16	2,396,355.79	8,137.24		843.09		—	—		—	0.0711	M-J-S-D	—	42,315.37		20130903	20200817
74825FAB0	QUEEN STREET X RE LTD CORP BND 144A	D			680,000.00	682,550.00	680,000.00	680,000.00	2,550.00		—		—	—		6.0552	6.1008	M-J-S-D	1,258.14	21,412.54		20150325	20200608
74825WAA5	QUEEN STREET XI RE DAC CORP BND 144A	D			500,000.00	504,820.00	500,000.00	500,000.00	4,820.00		—		—	—		7.1626	7.2261	M-J-S-D	994.80	16,650.23		20151215	20190607
74825RAA6	QUEEN STREET XII RE DESIGNATED SENIOR CO	D			900,000.00	909,972.00	900,000.00	900,000.00	9,972.00		—		—	—		6.5227	6.5738	M-J-S-D	1,793.73	29,152.49		20160513	20200408
BRT69AJA2	QUIKRETE HOLDINGS INC SECURED TERM LOAN			4FE	2,487,772.16	2,492,736.57	2,498,635.86	2,488,569.75	4,166.82		800.43		—	—		—	0.0716	M-J-S-D	—	47,824.90		20161103	20231115
21685WBT3	RABOBANK NEDERLAND NV CORP BND	D		1FE	1,264,080.00	1,236,411.00	1,150,000.00	1,223,909.25	12,501.75		(9,936.61	)	—	—		4.5000	2.5821	Jan-Jul	24,437.50	25,875.00		20150604	20210111
21688AAA0	RABOBANK NEDERLAND NV SENIOR CORP BND			1FE	2,240,317.50	2,264,625.05	2,250,000.00	2,247,255.40	17,369.65		870.25		—	—		2.2500	2.0071	Jan-Jul	23,484.38	25,312.50		20140107	20190114
N7278SAC7	RABOBANK NEDERLAND NV SENIOR CORP BND	B		1FE	1,838,539.62	1,467,203.98	1,120,000.00	1,765,873.29	3,747.25		(15,329.50	)	—	(302,416.55	)	3.2500	1.4507	November	31,521.19	—		20141203	20171101
BRSS6M9H8	RABOBANK NEDERLAND NV SENIOR CORP BND EM	B			1,041,777.25	1,082,068.48	800,000.00	1,039,079.08	9,250.91		(2,698.17	)	—	33,738.48		2.2500	1.5282	March	6,405.78	3,040.12		20170131	20220323
21684AAF3	RABOBANK NEDERLAND NV SUB CORP BND	D		1FE	5,572,435.00	5,512,319.51	5,500,000.00	5,567,517.84	(55,198.33	)	(3,103.93	)	—	—		3.7500	3.5900	Jan-Jul	91,666.67	103,125.00		20160901	20260721
BRTAQM0P5	RACKSPACE HOSTING INC SENIOR SECURED TER		2	3	488,569.99	490,330.53	490,821.35	488,579.65	1,750.88		9.66		—	—		—	0.0712	M-J-S-D	—	—		20170621	20231103
74890EAA5	RAITF_17-FL7 CMBS_17-FL7-A 144A		4		250,000.00	250,000.00	250,000.00	250,000.00	—		—		—	—		2.1000	2.1072	Monthly	116.67	—		20170613	20370615
BRSN4HND5	RCI BANQUE SA SENIOR CORP BND EMTN	B			978,525.37	869,734.83	650,000.00	966,781.07	6,938.35		(5,411.28	)	—	(103,984.59	)	3.0000	1.7812	May	3,677.99	28,382.25		20160531	20190509
F7S02WAB2	RCI BANQUE SA SENIOR CORP BND EMTN	B		2FE	521,157.62	442,981.18	340,000.00	514,601.55	714.62		(1,353.86	)	—	(72,334.99	)	2.1250	1.5791	October	6,890.84	—		20150116	20171006
BRT84J840	REALOGY CORP SENIOR SECURED TERM LOAN		2	3FE	289,412.06	290,786.77	289,412.06	289,412.06	1,374.71		—		—	—		—	—	M-J-S-D	—	2,492.91		20170301	20220720
75625QAD1	RECKITT BENCKISER TSY SENIOR CORP BND 14	D	2	1FE	1,088,822.80	1,082,184.67	1,090,000.00	1,088,824.90	(6,640.23	)	2.10		—	—		2.7500	2.7671	Jun-Dec	416.32	—		20170621	20240626
75625QAC3	RECKITT BENCKISER TSY SENIOR CORP BND 14	D	2	1FE	4,560,708.90	4,542,311.86	4,565,000.00	4,560,719.93	(18,408.07	)	11.03		—	—		2.3750	2.3951	Jun-Dec	1,505.81	—		20170621	20220624
G7457KAB7	REED ELSEVIER INVESTMENTS PLC CORP BND	B		2FE	624,432.80	466,762.00	350,000.00	559,910.90	1,603.70		(14,070.12	)	—	(94,752.60	)	7.0000	1.6865	December	17,612.33	—		20141203	20171211
75886QAU7	REGT3_14-1A AGENCY ABS 14-1A 144A	D	4		250,000.00	248,877.38	250,000.00	250,000.00	(1,122.62	)	—		—	—		—	—	J-A-J-O	—	—		20170614	20260415
76111XYJ6	RESIDENTIAL FUNDING MORTGAGE S CMO_05-SA		4	1FM	335,429.48	342,577.39	347,595.31	338,706.93	3,870.46		2,467.19		—	—		3.4996	4.2085	Monthly	1,013.70	7,065.38		20070816	20350925
76117QAC6	RESIDENTIAL REINSURANCE 2014 L SENIOR CO	D			500,000.00	500,505.00	500,000.00	500,000.00	505.00		—		—	—		5.7824	5.7824	M-J-S-D	2,007.79	13,153.53		20141120	20181206
76118DAA8	RESIDENTIAL REINSURANCE 2015 L CORP BND	D			250,000.00	254,447.50	250,000.00	250,000.00	4,447.50		—		—	—		11.9661	11.9661	M-J-S-D	2,077.44	14,431.77		20150521	20190606
76118DAB6	RESIDENTIAL REINSURANCE 2015 L CORP BND	D			500,000.00	509,890.00	500,000.00	500,000.00	9,890.00		—		—	—		6.9361	6.9361	M-J-S-D	2,408.35	16,199.37		20150521	20190606

76118DAC4	RESIDENTIAL REINSURANCE 2015 L SENIOR CO	D			400,000.00	409,620.00	400,000.00	400,000.00	9,620.00		—		—	—	7.9461	7.9461	M-J-S-D	2,207.24	15,569.21	20151120	20191206
76118GAF0	RESIDENTIAL REINSURANCE 2016 L CORP BND	D		4FE	250,000.00	248,132.50	250,000.00	250,000.00	(1,867.50	)	—		—	—	3.5000	3.5000	M-J-S-D	607.64	5,202.19	20161103	20201206
76118GAE3	RESIDENTIAL REINSURANCE 2016 L CORP BND	D			250,000.00	250,850.00	250,000.00	250,000.00	850.00		—		—	—	6.3661	6.3661	M-J-S-D	1,105.22	7,474.76	20161103	20231206
76118GAD5	RESIDENTIAL REINSURANCE 2016 L CORP BND	D			230,625.00	239,017.50	250,000.00	233,499.03	5,518.47		2,312.29		—	—	—	2.0004	At Mat	—	—	20161103	20201206
76118GAA1	RESIDENTIAL REINSURANCE 2016 L SENIOR CO	D			250,000.00	254,617.50	250,000.00	250,000.00	4,617.50		—		—	—	12.5461	12.5461	M-J-S-D	2,178.13	15,071.01	20160428	20200606
76118GAB9	RESIDENTIAL REINSURANCE 2016 L SENIOR CO	D			383,000.00	383,505.56	383,000.00	383,000.00	505.56		—		—	—	5.7124	5.7124	M-J-S-D	1,519.35	10,018.91	20160428	20200606
76118GAC7	RESIDENTIAL REINSURANCE 2016 L SENIOR CO	D			500,000.00	499,630.00	500,000.00	500,000.00	(370.00	)	—		—	—	4.2461	4.2461	M-J-S-D	1,474.32	9,287.85	20160428	20230606
76118XAB2	RESIDENTIAL REINSURANCE 2017 L CORP BND	D			3,250,000.00	3,240,315.00	3,250,000.00	3,250,000.00	(9,685.00	)	—		—	—	0.5000	0.5000	M-J-S-D	2,663.19	—	20170419	20210606
76118XAC0	RESIDENTIAL REINSURANCE 2017 L CORP BND	D			2,250,000.00	2,247,322.50	2,250,000.00	2,250,000.00	(2,677.50	)	—		—	—	0.5000	0.5000	M-J-S-D	1,843.75	—	20170419	20210606
76118XAA4	RESIDENTIAL REINSURANCE 2017 L CORP BND	D			618,750.00	631,665.00	750,000.00	636,568.53	(4,903.53	)	17,818.53		—	—	—	18.4215	At Mat	—	—	20170419	20180606
76131VAA1	RETAIL PROPERTIES OF AME SENIOR CORP BND		2	2FE	1,458,055.90	1,404,672.77	1,465,000.00	1,459,419.93	(54,747.16	)	302.91		—	—	4.0000	4.0581	Mar-Sep	17,254.44	29,300.00	20150305	20250315
BRT7GHMF2	REXNORD CORP SENIOR SECURED TERM NOTES			4FE	1,457,208.07	1,460,860.22	1,460,860.22	1,457,495.83	3,364.39		289.56		—	—	—	0.0370	M-J-S-D	—	24,058.21	20161214	20230821
761713BG0	REYNOLDS AMERICAN INC SENIOR CORP BND		2	2FE	229,303.10	246,677.30	230,000.00	229,422.08	17,255.22		29.82		—	—	4.4500	4.4879	Jun-Dec	540.18	5,117.50	20150609	20250612
761713BE5	REYNOLDS AMERICAN INC SENIOR CORP BND			2FE	1,219,687.32	1,196,302.27	1,162,000.00	1,204,756.46	(8,454.19	)	(6,979.83	)	—	—	3.2500	1.8231	Jun-Dec	1,993.16	18,882.50	20150708	20200612
761713BF2	REYNOLDS AMERICAN INC SENIOR CORP BND			2FE	816,687.25	822,220.77	775,000.00	812,677.94	9,542.83		(3,492.58	)	—	—	4.0000	2.9371	Jun-Dec	1,636.11	15,500.00	20161130	20220612
761713BT2	REYNOLDS AMERICAN INC SENIOR CORP BND			2FE	3,534,030.00	3,371,880.12	3,000,000.00	3,393,954.92	(22,074.80	)	(66,780.80	)	—	—	6.8750	2.0789	May-Nov	34,375.00	103,125.00	20160608	20200501
761713BC9	REYNOLDS AMERICAN INC SENIOR CORP BND			2FE	5,952,596.85	5,951,306.42	5,925,000.00	5,935,380.59	15,925.83		(5,569.79	)	—	—	2.3000	2.3059	Jun-Dec	7,192.29	69,057.50	20150609	20180612
BRT88F4N6	REYNOLDS GROUP HOLDINGS INC SENIOR SECUR		2	4FE	1,729,091.97	1,734,209.59	1,731,126.46	1,729,206.39	5,003.20		124.64		—	—	—	0.0195	M-J-S-D	—	23,240.68	20170301	20230205
762232AL0	RHODE ISLAND ST COMM CORP REV MUNI BND R			1FE	50,189.60	48,646.00	40,000.00	49,536.58	(890.58	)	(476.92	)	—	—	5.0000	2.0699	Jun-Dec	88.89	1,272.23	20161006	20260615
BRT9RQSH6	RHP HOTEL PROPERTIES LP SENIOR SECURED T		2	3FE	241,327.30	241,628.96	241,327.30	241,327.30	301.66		—		—	—	—	—	M-J-S-D	—	2.54	20170419	20240511
BRSR063T1	RICHELIEU FOODS INC REVOLVE LOAN				491,004.22	479,612.91	491,004.22	491,004.22	(11,391.31	)	0.02		—	—	—	—	F-M-A-N	—	3,530.77	20170501	20190521
BRSR06452	RICHELIEU FOODS INC SENIOR SECURED TERM				4,280,025.39	4,215,825.01	4,280,025.39	4,280,025.39	(64,200.38	)	—		—	—	—	—	J-A-J-O	—	133,098.28	20141123	20190521
76541VKC0	RICHMOND VA MUNITAX BND GO			1FE	5,000,000.00	5,001,250.00	5,000,000.00	5,000,000.00	1,250.00		—		—	—	1.5070	1.5070	Jan-Jul	34,744.73	37,675.00	20120614	20170715
767201AS5	RIO TINTO FINANCE (USA) LTD SENIOR CORP	D	2	1FE	775,515.00	788,624.96	750,000.00	774,675.30	13,949.66		(839.70	)	—	—	3.7500	3.2619	Jun-Dec	1,250.00	7,421.87	20170307	20250615
76761RAA7	RISERVA CLO LTD RSRVA_16-3A LN1 ABS 2016		4	1FE	2,500,000.00	2,514,106.25	2,500,000.00	2,500,000.00	14,106.25		—		—	—	2.6184	2.6265	J-A-J-O	13,455.87	20,917.96	20161201	20281018
76870YAC6	RIVERFRONT RE LTD UNSEC CORP BND 144A	D			11,000,000.00	11,011,880.00	11,000,000.00	11,000,000.00	11,880.00		—		—	—	7.1493	7.2129	J-A-J-O	68,745.98	50,174.54	20170523	20210115
76870YAB8	RIVERFRONT RE LTD UNSEC CORP BND 144A	D			4,175,000.00	4,180,135.25	4,175,000.00	4,175,000.00	5,135.25		—		—	—	5.3993	5.4361	J-A-J-O	19,800.73	15,732.25	20170523	20210115
771196BB7	ROCHE HOLDINGS INC SENIOR CORP BND 144A		2	1FE	226,736.85	219,902.00	215,000.00	224,489.13	(4,587.13	)	(1,146.80	)	—	—	2.8750	1.7490	Mar-Sep	1,579.65	3,090.63	20160622	20210929
776743AC0	ROPER IND, INC. SENIOR CORP BND		2	2FE	3,779,251.10	3,799,783.04	3,770,000.00	3,779,485.72	20,297.32		205.82		—	—	2.8000	2.8340	Jun-Dec	4,691.55	38,618.22	20161208	20211215
777594YX4	ROSEMOUNT MN SCH DIST #196 MUNI BND GO		2	1FE	641,590.00	612,190.00	500,000.00	623,588.67	(11,398.67	)	(6,588.74	)	—	—	5.0000	1.8702	Feb-Aug	10,416.67	12,500.00	20160210	20270201
780082AC7	ROYAL BANK OF CANADA SECURED LOCAL BND	A		1FE	99,967.00	99,817.00	100,000.00	99,977.93	(160.93	)	5.68		—	—	2.1000	2.1070	Apr-Oct	449.17	2,537.50	20151006	20201014
780082AA1	ROYAL BANK OF CANADA SECURED LOCAL BND	A			1,516,575.00	1,494,090.05	1,500,000.00	1,512,629.62	(18,539.57	)	(2,364.61	)	—	—	1.8750	1.5429	Feb-Aug	11,406.25	14,062.50	20160825	20200205
78011DAG9	ROYAL BANK OF CANADA SECURED LOCAL BND	A		1FE	4,185,818.40	4,125,812.97	4,103,000.00	4,166,037.52	(40,224.55	)	(13,726.12	)	—	—	2.2000	1.5034	Mar-Sep	24,572.40	45,133.00	20160825	20190923
78012KZG5	ROYAL BANK OF CANADA SENIOR CORP BND	A		1FE	1,049,758.50	1,066,820.96	1,050,000.00	1,049,777.81	17,043.15		19.31		—	—	2.7500	2.7549	Feb-Aug	12,111.46	—	20170125	20220201

78012KC62	ROYAL BANK OF CANADA SENIOR CORP BND	A		1FE	569,589.60	570,735.29	570,000.00	569,632.17	1,103.12		42.57		—	—		2.1250	2.1500	Mar-Sep	3,869.27	—		20170228	20200302
BRSNFTGX1	ROYAL BANK OF CANADA SENIOR CORP BND EMT			1FE	1,166,566.62	910,974.42	700,000.00	1,168,308.95	2,573.30		285.12		—	(259,907.83	)	0.6929	0.7426	M-J-S-D	448.77	3,354.91		20140528	20190604
78012KRK5	ROYAL BANK OF CANADA SENIOR CORP BND MTN	A		1FE	1,278,255.10	1,273,666.25	1,285,000.00	1,279,787.38	(6,121.13	)	1,224.67		—	—		1.5000	1.9530	Jan-Jul	8,138.34	9,637.50		20160725	20190729
780097BE0	ROYAL BANK OF SCOTLAND PLC THE SENIOR CO	D	2	2FE	1,825,000.00	1,837,647.26	1,825,000.00	1,825,000.00	12,647.26		—		—	—		3.4980	3.4980	May-Nov	8,157.15	—		20170510	20230515
BRT92KNL2	RPI FINANCE TRUST SENIOR SECURED TERM LO		2	2FE	1,605,684.63	1,616,773.49	1,611,736.81	1,605,898.87	10,874.62		214.24		—	—		—	0.0412	M-J-S-D	—	11,398.81		20170316	20230327
78355HJX8	RYDER SYSTEM INC. SENIOR CORP BND MTN		2	2FE	2,387,011.85	2,401,408.90	2,385,000.00	2,387,452.94	13,955.96		(657.41	)	—	—		2.4500	2.5019	Mar-Sep	19,477.50	29,216.25		20150608	20190903
78355HJZ3	RYDER SYSTEM INC. SENIOR CORP BND MTN		2	2FE	443,776.25	446,299.40	445,000.00	444,280.85	2,018.55		119.86		—	—		2.5000	2.5589	May-Nov	1,545.14	5,562.50		20150504	20200511
78355HJV2	RYDER SYSTEM INC. SENIOR CORP BND MTN		2	2FE	1,261,947.50	1,257,962.63	1,250,000.00	1,255,298.83	2,663.80		(1,983.90	)	—	—		2.4500	2.1859	May-Nov	3,913.20	17,030.56		20150710	20181115
78409VAH7	S&P GLOBAL INC SENIOR CORP BND			2FE	69,944.13	70,465.49	70,000.00	69,969.18	496.31		13.38		—	—		2.5000	2.5400	Feb-Aug	661.11	875.00		20160729	20180815
BRT8K2HL1	SABRE INC SENIOR SECURED TERM LOAN		2	3FE	2,417,500.41	2,436,518.48	2,420,526.06	2,417,563.83	18,954.65		85.86		—	—		—	0.0182	M-J-S-D	—	14,051.49		20170216	20240222
786134UZ7	SACRAMENTO SATN MUNITAX BND REV			1FE	2,485,000.00	2,510,893.70	2,485,000.00	2,485,000.00	25,893.70		—		—	—		2.2390	2.2390	Jun-Dec	4,636.60	27,819.58		20141106	20191201
79574CBM4	SALT RIVER PROJ ARIZ AGRIC IMP MUNI BND			1FE	57,922.50	57,947.00	50,000.00	57,047.55	899.45		(749.85	)	—	—		5.0000	1.7307	Jan-Jul	1,250.00	208.34		20161118	20220101
79642B3N1	SAN ANTONIO TX MUNI BND REV			1FE	49,750.40	48,111.20	40,000.00	48,933.37	(822.17	)	(610.48	)	—	—		5.0000	1.5601	May-Nov	255.56	1,077.77		20161006	20240515
797272PD7	SAN DIEGO CA CMNTY COLLEGE MUNI BND GO			1FE	64,034.50	62,914.00	50,000.00	63,165.01	(251.01	)	(657.19	)	—	—		5.0000	1.8395	Feb-Aug	1,652.79	—		20161020	20260801
79765RL98	SAN FRANCISCO CALIF CITY & CNT MUNI BND			1FE	80,566.20	78,692.25	65,000.00	79,091.70	(399.45	)	(1,053.65	)	—	—		5.0000	1.4100	May-Nov	541.67	1,724.31		20161007	20231101
80000RAH5	SANDERS RE LTD CORP BND 144A	D			4,250,000.00	4,253,145.00	4,250,000.00	4,250,000.00	3,145.00		—		—	—		3.2500	3.2627	M-J-S-D	11,894.10	—		20170524	20200605
80000RAG7	SANDERS RE LTD SANDERS RE LTD 144a	D			1,750,000.00	1,746,797.50	1,750,000.00	1,750,000.00	(3,202.50	)	—		—	—		1.4764	1.4791	M-J-S-D	215.31	17,958.89		20170320	20211206
801060AB0	SANOFI SENIOR CORP BND	D		1FE	5,973,660.00	5,992,200.00	6,000,000.00	5,995,798.21	(3,598.21	)	3,868.72		—	—		1.2500	1.3411	Apr-Oct	16,875.00	62,512.85		20130403	20180410
G0054BFG3	SANTANDER UK PLC SECURED CORP BND	B		1FE	654,454.82	598,436.66	400,000.00	633,793.06	5,544.88		(9,856.44	)	—	(40,901.28	)	5.1250	2.1444	April	5,690.47	27,508.31		20151021	20210414
80283LAN3	SANTANDER UK PLC SENIOR CORP BND	D		1FE	623,966.76	627,993.73	625,000.00	624,260.22	3,733.51		197.08		—	—		2.3750	2.4204	Mar-Sep	4,329.43	15,585.94		20160601	20200316
G0054BMY6	SANTANDER UK PLC SENIOR CORP BND	B		1FE	632,540.41	509,894.69	390,000.00	598,083.06	465.19		(12,145.96	)	—	(88,653.56	)	4.1250	1.3560	September	16,602.98	9,422.29		20150506	20170914
80413TAA7	SAUDI ARABIA SENIOR CORP BND 144A	D		1FE	2,128,650.50	2,111,562.30	2,150,000.00	2,131,399.66	(19,837.36	)	2,007.90		—	—		2.3750	2.5880	Apr-Oct	9,219.62	25,531.25		20161019	20211026
BRSM3U3W9	SBA COMMUNICATIONS CORPORATION SENIOR SE		4	4FE	2,896,877.40	2,909,131.97	2,904,049.89	2,900,216.57	8,915.40		542.77		—	—		—	0.0349	J-A-J-O	—	46,799.88		20140205	20210324
83164JU46	SBA PRIME FLTR SBA PRIME FLTR		4	1	1,077,858.53	1,120,249.48	1,064,825.08	1,075,262.92	44,986.56		(890.11	)	—	—		3.1000	2.8811	Monthly	2,750.80	15,688.79		20140930	20310425
78403DAG5	SBA TOWER TRUST SECURED CORP BND 144A			1FE	4,000,000.00	4,021,070.80	4,000,000.00	4,000,000.00	21,070.80		—		—	—		2.8980	2.9152	Monthly	5,152.00	57,960.00		20141007	20441015
806854AH8	SCHLUMBERGER GER INV SENIOR CORP BND	D	2	1FE	2,092,180.00	2,101,599.88	2,000,000.00	2,087,693.24	13,906.64		(4,486.76	)	—	—		3.6500	2.8696	Jun-Dec	6,083.33	19,669.44		20170221	20231201
806851AE1	SCHLUMBERGER HOLDINGS CORP SENIOR CORP B		2	1FE	784,665.00	778,320.01	750,000.00	784,515.32	(6,195.31	)	(149.68	)	—	—		3.6250	2.6889	Jun-Dec	755.21	(75.52	)	20170619	20221221
BRSXWU816	SCHLUMBERGER HOLDINGS CORP SENIOR CORP B				3,999,520.00	4,021,520.00	4,000,000.00	3,999,760.19	21,759.81		79.11		—	—		2.3500	2.3542	Jun-Dec	2,611.11	47,000.00		20151210	20181221
80705TAA4	SCHOL_11-A ABS 11-A A 144A		4	1FE	1,025,538.18	1,035,451.80	1,046,185.68	1,031,973.94	3,477.86		1,786.34		—	—		2.0718	2.3106	J-A-J-O	3,853.27	10,527.89		20110322	20431028
80705XAA5	SCHOLAR FUNDING TRUST SCHOL_13 ABS 13-A		4		546,852.80	543,362.05	549,460.51	547,599.20	(4,237.15	)	315.09		—	—		1.8721	1.9525	Monthly	85.72	4,574.33		20130312	20450130
BRT8HD4H4	SCIENTIFIC GAMES INTERNATIONAL SENIOR SE		2	4FE	1,534,369.49	1,570,024.16	1,555,579.05	1,535,914.90	34,109.26		1,598.57		—	—		—	0.3781	M-J-S-D	—	23,883.03		20170228	20211001
811065AB7	SCRIPPS NETWORKS INTERACTIVE I SENIOR CO		2	2FE	685,610.00	687,541.21	680,000.00	682,739.24	4,801.97		(573.35	)	—	—		2.7500	2.5681	May-Nov	2,389.44	9,350.00		20141204	20191115
85815XAT0	SCTR_14-1A MEZZANIN ABS_14-1A CR 144A	D	4		500,000.00	502,381.40	500,000.00	500,000.00	2,381.40		—		—	—		3.7217	3.7388	F-M-A-N	2,067.62	4,484.16		20170130	20260821
80285CAD3	SDART_16-2 SENIOR ABS 2016-2 A2A		4	1FE	212,110.79	212,089.67	212,125.73	212,117.93	(28.26	)	24.31		—	—		1.3800	1.3888	Monthly	130.10	3,415.73		20160503	20190715

80285LAC5	SDART_17-2 SENIOR ABS 17-2-A3		4	4FE	499,937.00	499,609.72	500,000.00	499,937.62	(327.90	)	0.62		—	—	1.8700	1.8830		Monthly	415.56	389.58		20170524	20201215
BRSM9G9V0	SEADRILL OPERATING LP SENIOR SECURED TER	D	4	5FE	806,694.01	515,956.54	818,978.64	812,114.97	(296,158.43	)	988.80		—	—	—	0.2276		M-J-S-D	—	16,930.62		20140618	20210221
BRT9JCJJ2	SEAWORLD PARKS & ENTERTAINMENT SENIOR SE				2,971,542.53	2,970,287.31	2,979,332.56	2,971,763.03	(1,475.72	)	240.02		—	—	—	—		M-J-S-D	—	25,645.57		20170420	20240401
81618TAA8	SELECT INCOME REIT SENIOR CORP BND		2	2FE	2,939,857.97	2,962,655.50	2,950,000.00	2,947,720.71	14,934.79		1,911.40		—	—	2.8500	2.9842		Feb-Aug	35,031.25	42,037.50		20150601	20180201
BRTB6R8L5	SEMINOLE TRIBE OF FL INC SENIOR SECURED			2FE	1,417,905.82	1,427,168.52	1,425,030.98	1,417,905.82	9,262.70		—		—	—	—	0.0731		M-J-S-D	—	—		20170623	20240626
81745XAU1	SEQUOIA MORTGAGE TRUST SEMT_17 SUPSEN WH		2	1FE	607,593.75	607,593.72	600,000.00	607,591.34	2.38		(2.41	)	—	—	3.5000	3.4042		Monthly	1,750.00	(1,633.33	)	20170607	20470625
BRT5TABN2	SERTA SIMMONS HOLDING(AOT BEDD SENIOR SE			4FE	2,067,734.38	2,073,536.51	2,078,125.01	2,068,583.24	4,953.27		768.03		—	—	—	0.0714		M-J-S-D	—	40,018.75		20161021	20231108
BRT6A4ER2	SERVICEMASTER CO LLC SENIOR SECURED TERM		2	3FE	2,072,488.12	2,086,578.06	2,077,058.91	2,072,896.50	13,681.56		346.74		—	—	—	0.0354		M-J-S-D	—	35,741.47		20161104	20231108
81881VAW5	SHACK 2014-5A C1R ABS	D	4		1,000,000.00	996,207.00	1,000,000.00	1,000,000.00	(3,793.00	)	—		—	—	3.4293	—		F-M-A-N	—	—		20170426	20260507
81881LAQ0	SHACK 2014-6A CR ABS_14-6A-CR144A	D	4		500,000.00	500,510.40	500,000.00	500,000.00	510.40		—		—	—	3.4084	3.4225		J-A-J-O	3,550.46	—		20170407	20260717
822582AJ1	SHELL INTERNATIONAL FINANCE BV CORP BND	D		1FE	1,059,580.00	1,052,460.10	1,000,000.00	1,052,317.07	143.03		(7,262.93	)	—	—	4.3000	1.8878		Mar-Sep	11,825.00	1,791.67		20170302	20190922
822582BM3	SHELL INTERNATIONAL FINANCE BV SENIOR CO	D		1FE	9,967,100.00	9,997,300.00	10,000,000.00	9,984,892.70	12,407.30		5,446.90		—	—	1.6250	1.7380		May-Nov	23,020.83	81,250.00		20151105	20181110
822582BK7	SHELL INTERNATIONAL FINANCE BV SENIOR CO	D		1FE	886,499.28	887,405.04	888,000.00	887,728.16	(323.12	)	375.37		—	—	1.2500	1.3359		May-Nov	1,572.50	5,550.00		20151105	20171110
BRSR1R5H8	SHELL: ATLAS_14-1 ABS 14-1		4		3,396,000.00	3,400,245.00	3,396,000.00	3,396,000.00	4,245.00		—		—	—	4.8750	4.9224		Monthly	7,358.00	84,552.00		20141218	20201215
26250DAU7	SHELL: DRSLF_12-24RA ABS 12-24RA CR 144	D	4		1,500,000.00	1,496,847.90	1,500,000.00	1,500,000.00	(3,152.10	)	—		—	—	3.8796	3.8979		F-M-A-N	7,597.47	27,673.36		20150429	20231115
824348AU0	SHERWIN-WILLIAMS COMPANY (THE) SENIOR CO		2	2FE	5,653,029.40	5,629,605.68	5,630,000.00	5,652,777.57	(23,171.89	)	(245.93	)	—	—	2.7500	2.5686		Jun-Dec	19,353.14	(1,573.61	)	20170502	20220601
BRSXDXJR2	SHOES FOR CREWS LLC SECURED TERM LOAN			4FE	6,671,657.03	6,688,336.17	6,671,657.03	6,671,657.03	16,679.14		—		—	—	—	—		M-J-S-D	—	204,387.83		20151120	20221027
BRSXQ9KS7	SHOES FOR CREWS LLC SECURED TERM LOAN			4FE	232,558.08	231,232.50	232,558.08	232,558.08	(1,325.58	)	—		—	—	—	—		M-J-S-D	—	519.23		20170525	20211119
BRSNC4883	SI ORGANIZATION INC SENIOR SECURED TERM			4FE	728,166.40	742,156.90	733,447.21	729,671.92	12,484.98		800.92		—	—	—	0.2120		M-J-S-D	—	21,678.70		20160614	20191123
82620KAP8	SIEMENS FINANCIERINGSMAATSCHAP SENIOR CO	D			3,999,200.00	4,028,479.92	4,000,000.00	3,999,275.43	29,204.49		121.88		—	—	2.2000	2.2069		Mar-Sep	25,666.67	15,717.77		20170307	20200316
82620KAC7	SIEMENS FINANCIERINGSMAATSCHAP SENIOR CO	D		1FE	1,498,020.00	1,506,524.97	1,500,000.00	1,498,823.80	7,701.17		194.50		—	—	2.1500	2.1780		May-Nov	3,045.83	16,125.00		20150518	20200527
826239EQ4	SIERRA CALIF JT CMNTY COLLEGE MUNI BND G		2	1FE	1,366,855.50	1,356,379.00	1,150,000.00	1,304,591.67	51,787.33		(11,623.45	)	—	—	5.0000	2.5974		Feb-Aug	23,958.33	28,750.00		20140930	20270801
BRSMW4J57	SIGNODE INDUSTRIAL GROUP US IN SENIOR SE			4FE	121,674.54	121,976.89	122,282.60	121,743.23	233.66		113.07		—	—	—	0.1135		M-J-S-D	—	2,735.44		20170103	20210501
BRSHAG9G2	SILVER II BORROWER SCA SENOIR SECURED TE	C	4	4FE	3,193,307.55	3,165,366.11	3,193,307.55	3,193,307.55	(27,941.44	)	—		—	—	—	—		F-M-A-N	—	65,760.58		20130201	20191213
828428AC6	SILVERMORE CLO LTD SMORE_14-1A ABS_14-1A		4	1FE	959,000.00	1,004,335.10	1,000,000.00	969,965.54	34,369.56		3,025.87		—	—	3.2318	3.9551		F-M-A-N	4,219.27	15,190.07		20151005	20260515
828807CM7	SIMON PROPERTY GROUP LP SENIOR CORP BND		2	1FE	5,866,344.00	5,852,675.00	5,860,000.00	5,860,880.18	(8,205.18	)	(1,707.18	)	—	—	1.5000	1.4498		Feb-Aug	36,625.00	43,950.00		20150519	20180201
828807CQ8	SIMON PROPERTY GROUP LP SENIOR CORP BND		2	1FE	6,855,948.90	6,908,634.89	6,869,000.00	6,864,734.20	43,900.69		1,238.97		—	—	2.2000	2.2401		Feb-Aug	62,965.82	94,381.22		20140113	20190201
828807CR6	SIMON PROPERTY GROUP LP SENIOR CORP BND		2	1FE	840,720.00	830,935.98	800,000.00	830,892.06	43.92		(2,185.74	)	—	—	3.7500	3.0749		Feb-Aug	12,500.00	15,000.00		20150304	20240201
828807CU9	SIMON PROPERTY GROUP LP SENIOR CORP BND		2	1FE	599,658.00	606,371.98	600,000.00	599,782.51	6,589.47		32.43		—	—	2.5000	2.5120		Mar-Sep	5,000.00	7,500.00		20150810	20200901
BRT7L1Y35	SINCLAIR TELEVISION GROUP INC SECURED TE		2	3FE	957,687.52	954,109.59	954,109.59	956,088.59	(1,979.00	)	(1,616.89	)	—	—	—	(0.4006	)	M-J-S-D	—	13,059.44		20170106	20240103
BRSUDWG69	SIX FLAGS THEME PARKS INC SENIOR SECURED			3FE	1,010,988.88	1,021,757.55	1,013,522.68	1,011,688.50	10,069.05		181.72		—	—	—	0.0357		M-J-S-D	—	16,554.87		20150629	20220630
G817ATAC9	SKYLINE RE LTD SENIOR CORP BND	D			30,000,000.00	30,564,309.00	30,000,000.00	30,000,000.00	564,309.00		—		—	—	13.0419	13.2057		M-J-S-D	10,830.04	1,631,016.60		20170206	20200106
784423AF2	SLCLT_04-1 ABS 04-1		4		911,378.01	925,243.74	926,432.54	922,725.17	2,518.57		1,441.31		—	—	1.3418	1.6661		F-M-A-N	1,622.90	5,678.34		20130520	20230515
78446XAB1	SLM STUDENT LOAN TRUST ABS_12-B A2 144A		4	1FE	381,584.85	385,491.77	381,624.05	381,601.16	3,890.61		13.80		—	—	3.4800	3.5065		Monthly	590.25	8,659.38		20120404	20301015

78442GSC1	SLM STUDENT LOAN TRUST SLMA_06 ABS_06-3-		4	1FE	16,991.71	17,015.41	17,018.55	17,017.79	(2.38	)	6.51		—	—	1.2362	1.3043	J-A-J-O	39.16	157.81	20121130	20190725
78446JAA4	SLM STUDENT LOAN TRUST SLMA_11 ABS 11-2		4	1FE	930,006.81	934,343.21	931,813.12	931,049.78	3,293.43		233.77		—	—	1.8161	1.8615	Monthly	235.04	7,631.41	20110518	20271125
78446TAC8	SLM STUDENT LOAN TRUST SLMA_11 SENIOR AB		4	1FE	325,052.83	311,861.98	300,789.90	312,528.98	(667.00	)	(4,282.01	)	—	—	4.5400	2.5029	Monthly	606.93	7,630.94	20140731	20441017
78447FAB9	SLM STUDENT LOAN TRUST SLMA_12 ABS_12-E		4	1FE	833,606.37	821,992.87	821,401.47	823,799.69	(1,806.82	)	(1,599.96	)	—	—	2.0900	1.6709	Monthly	762.99	10,163.35	20130319	20450615
78447VAA6	SLM STUDENT LOAN TRUST SLMA_13 ABS 13-B		4	1FE	142,966.53	143,043.74	142,966.53	142,966.53	77.21		—		—	—	1.8089	1.8157	Monthly	114.93	2,733.56	20130425	20220715
78446JAB2	SLMA_11-2 ABS 11-2		4	1FE	775,000.00	789,953.66	775,000.00	775,000.00	14,953.66		—		—	—	2.4161	2.4282	Monthly	260.07	8,122.57	20110518	20341025
78447KAB8	SLMA_12-7 ABS 12-7		4	1FE	301,569.59	301,562.79	301,768.00	301,748.58	(185.79	)	40.16		—	—	1.4961	1.5185	Monthly	62.71	2,714.55	20121102	20190925
78448AAA1	SLMA_13-4 ABS 13-4		4		408,873.36	408,178.88	408,873.36	408,873.36	(694.48	)	—		—	—	1.7661	1.7726	Monthly	100.29	3,113.02	20130806	20430625
78448CAF6	SLMA_13-6 ABS 13-6 A2		4	1FE	73,004.44	73,051.32	73,004.44	73,004.44	46.88		—		—	—	1.7161	1.7221	Monthly	17.40	1,060.02	20131106	20210225
78447RAC1	SLMA_13-A ABS 13-A 144A		4	1FE	793,743.70	799,387.21	793,743.70	793,743.70	5,643.51		—		—	—	2.2089	2.2189	Monthly	779.25	22,804.02	20130227	20270517
78447RAB3	SLMA_13-A ABS 13-A 144A		4	1FE	456,273.87	457,114.61	456,402.63	456,366.34	748.27		12.35		—	—	1.7700	1.7815	Monthly	359.04	4,071.00	20130227	20270517
78447VAB4	SLMA_13-B ABS_13-B-A2A		4		804,859.37	806,118.95	805,000.00	804,941.37	1,177.58		11.16		—	—	1.8500	1.8598	Monthly	661.89	7,446.30	20130425	20300617
78447VAC2	SLMA_13-B ABS_13-B-A2B		4		615,000.00	621,580.50	615,000.00	615,000.00	6,580.50		—		—	—	2.2589	2.2695	Monthly	617.43	6,078.80	20130425	20300617
83191GAD1	SMART TRUST SMAT_16-2US ABS_16 2US A3A	D	4		1,524,683.41	1,506,343.15	1,525,000.00	1,524,732.54	(18,389.39	)	35.67		—	—	1.7100	1.7242	Monthly	1,231.44	13,038.78	20161006	20210315
78448MAD9	SMAT_15-1US ABS_15-1US A3A	D	4	1FE	782,463.71	781,664.30	782,501.58	782,478.59	(814.29	)	44.30		—	—	1.5000	1.5063	Monthly	554.27	9,511.56	20150310	20180914
78449GAB5	SMB PRIVATE EDUCATION LOAN TRU SENIOR AB		4		394,985.98	391,579.31	395,000.00	394,987.15	(3,407.84	)	0.18		—	—	2.4300	2.4424	Monthly	426.60	4,799.28	20160713	20320217
78449FAB7	SMB_16-A SENIOR ABS 16-A A2A 144A		4	1FE	679,710.80	682,704.43	680,000.00	679,754.02	2,950.41		19.50		—	—	2.7000	2.7219	Monthly	816.00	9,180.00	20160518	20310515
BRSRP6KZ1	SMI_15-1X-2A2 WHOLE CMO 15-1X-2A2	D	4		2,308,050.00	2,309,321.90	2,300,000.00	2,306,847.60	2,474.30		(1,202.40	)	—	—	1.7057	1.5670	J-A-J-O	7,737.11	6,811.30	20170209	20700121
BRSWD19K0	SMYTH COMPANIES LLC BANK LOAN				725,839.66	718,073.18	725,839.66	725,839.66	(7,766.48	)	—		—	—	—	—	J-A-J-O	—	16,590.39	20160816	20200925
BRSWD1953	SMYTH COMPANIES LLC TERM LOAN				2,940,176.43	2,932,825.99	2,940,176.43	2,940,176.43	(7,350.44	)	—		—	—	—	—	M-J-S-D	—	83,217.15	20150925	20200925
BRSL51FK6	SNADY CREEK ENERGY ASSOC LP SENIOR SECUR		4	3FE	2,102,160.92	1,589,825.21	2,112,724.53	2,107,582.61	(517,757.40	)	839.93		—	—	—	0.0715	F-M-A-N	—	54,398.43	20131212	20201109
83609NAA8	SNDPT_16-3A ABS 16-3A-A 144A	D	4		1,500,000.00	1,507,935.60	1,500,000.00	1,500,000.00	7,935.60		—		—	—	2.6832	2.6915	J-A-J-O	7,602.32	17,824.71	20161020	20290123
83609NAE0	SNDPT_16-3A MEZZANIN ABS 16-3A 144A	D	4		1,484,776.50	1,505,702.70	1,500,000.00	1,485,850.88	19,851.82		894.62		—	—	3.8032	3.9674	J-A-J-O	10,775.65	25,198.04	20161020	20290123
83367TBF5	SOCIETE GENERALE SA JRSUB CORP BND 144A	D	2	3FE	1,263,287.50	1,375,000.00	1,250,000.00	1,261,342.11	113,657.89		(1,220.31	)	—	—	7.8750	7.6942	Jun-Dec	3,554.69	94,062.50	20151110	20491231
83404LAC5	SOFI_16-D SENIOR ABS 16-D 144A		4		99,987.56	99,109.00	100,000.00	99,989.07	(880.07	)	0.65		—	—	2.3400	2.3529	Monthly	39.00	1,170.00	20160913	20330425
BRT8E4J40	SOFI_17-AX SENIOR ABS 17-AX		4		823,020.97	823,090.12	825,154.00	823,067.82	22.30		366.71		—	—	1.5500	1.5786	Monthly	213.16	5,351.45	20170202	20400325
83546DAD0	SONIC CAPITAL LLC SONIC_16-1A ABS 16-1A		4	1FE	763,217.07	744,491.65	745,625.00	745,625.00	(1,133.35	)	—		—	—	4.4720	4.4254	Monthly	1,018.86	16,672.20	20160720	20460520
842400GF4	SOUTHERN CALIFORNIA EDISON CO. SECURED C		4	1FE	3,267,857.16	3,224,950.06	3,267,857.16	3,267,857.16	(42,907.10	)	—		—	—	1.8450	1.8441	Feb-Aug	25,121.66	33,160.58	20150113	20220201
842587CU9	SOUTHERN COMPANY (THE) SENIOR CORP BND		2	2FE	359,694.00	357,937.21	360,000.00	359,745.61	(1,808.40	)	19.25		—	—	2.9500	2.9629	Jan-Jul	5,310.00	6,401.50	20160519	20230701
842587CQ8	SOUTHERN COMPANY (THE) SENIOR CORP BND			2FE	1,249,762.50	1,244,649.99	1,250,000.00	1,249,853.89	(5,203.90	)	36.55		—	—	1.8500	1.8560	Jan-Jul	11,562.50	26,317.28	20160519	20190701
842808AF4	SOUTHERN ELEC SENIOR CORP BND 144A			1FE	3,333,899.45	3,317,858.10	3,335,000.00	3,334,680.19	(16,822.09	)	109.73		—	—	2.2000	2.2069	Jun-Dec	6,114.17	36,685.00	20131118	20181201
843646AN0	SOUTHERN POWER COMPANY SENIOR CORP BND			2FE	2,398,608.00	2,401,896.00	2,400,000.00	2,399,712.28	2,183.72		339.29		—	—	1.8500	1.8789	Jun-Dec	3,700.00	22,200.00	20151112	20171201
843646AS9	SOUTHERN POWER COMPANY SENIOR CORP BND				2,379,405.00	2,366,743.42	2,380,000.00	2,379,539.56	(12,796.14	)	122.74		—	—	1.9500	1.9581	Jun-Dec	2,062.67	26,943.59	20161110	20191215
84650WAE6	SPAREBNK 1 BOLIG SECURED LOCAL BND 144A	D		1FE	5,854,157.00	5,866,075.18	5,900,000.00	5,883,787.19	(17,712.01	)	3,313.39		—	—	1.7500	1.8690	May-Nov	13,193.06	51,625.00	20121107	20191115

84763LAA2	SPECTRUM CAPITAL LTD SENIOR CORP BND 144				500,000.00	500,655.00	500,000.00	500,000.00	655.00		—		—	—		—	—	M-J-S-D	—	—		20170613	20210608
84763LAB0	SPECTRUM CAPITAL LTD SENIOR CORP BND 144				1,000,000.00	1,000,650.00	1,000,000.00	1,000,000.00	650.00		—		—	—		—	—	M-J-S-D	—	—		20170613	20210608
84861CAA3	SPMF 2014-4A SENIOR CMBS _14-4A A1		4	1FE	3,992,636.00	3,985,279.60	4,000,000.00	3,992,600.55	(7,320.95	)	(1.78	)	—	—		3.5014	3.5267	Monthly	11,671.33	70,027.98		20141121	20450120
BRT84AJN5	SPRINT COMMUNICATIONS INC SECURED TERM L		2	3FE	4,130,118.09	4,125,099.03	4,127,311.28	4,128,001.55	(2,902.52	)	(2,122.23	)	—	—		—	—	M-J-S-D	—	42,903.92		20170131	20240202
78467MAA1	SRER_11-RS ABS_11-RS A1B1 144A	D	4	2FE	188,304.48	194,898.04	196,811.10	196,811.10	(1,913.06	)	72.10		—	—		1.3387	—	Monthly	168.32	2,311.32		20141002	20460509
85571XAL1	SRTP _14-STAR ABS _14-STAR -B		4	1FE	2,000,000.00	1,960,181.60	2,000,000.00	2,000,000.00	(39,818.40	)	—		—	—		2.8090	2.8251	Monthly	2,496.89	25,350.28		20141107	20271115
BRT8SBWQ5	SS&C EUROPEAN HOLDINGS SARL SENIOR SECUR	D	2	3FE	31,294.91	31,523.06	31,416.46	31,302.42	220.64		84.18		—	—		—	0.0714	M-J-S-D	—	472.49		20170302	20220708
BRT8SB8K5	SS&C TECHNOLOGIES INC SSNC		2	3FE	516,034.69	519,719.07	517,961.63	516,081.77	3,637.30		100.74		—	—		—	0.0714	M-J-S-D	—	3,044.23		20170516	20220708
BRT8VTVR1	SSE PLC CAPSEC CORP BND	B	2		429,281.64	458,625.68	350,000.00	429,242.90	4,693.37		(38.74	)	—	24,689.41		3.6250	3.5992	September	4,831.25	—		20170302	20770916
BRSRUTM42	SSE PLC CAPSEC CORP BND	B	2		426,101.05	399,680.42	300,000.00	426,101.05	12,522.53		—		—	(38,943.16	)	3.8750	3.8842	September	12,162.98	9,184.47		20150224	0
G7885VDR7	SSE PLC SENIOR CORP BND	B		1FE	1,742,153.11	1,703,590.14	1,250,000.00	1,693,081.40	(5,898.99	)	(33,458.45	)	—	16,407.72		5.0000	0.7397	October	60,721.47	—		20160831	20181001
853254BD1	STANDARD CHARTERED PLC SENIOR CORP BND M	D		1FE	1,415,000.00	1,430,296.16	1,415,000.00	1,415,000.00	15,296.16		—		—	—		2.3084	2.3084	F-M-A-N	3,901.50	14,843.94		20160816	20190819
857477AQ6	STATE STREET CORP CAPSEC CORP BND		2	2FE	2,125,000.00	2,241,875.00	2,125,000.00	2,125,000.00	116,875.00		—		—	—		5.2500	5.2500	Mar-Sep	32,848.96	55,781.25		20150514	0
857477AG8	STATE STREET CORP SENIOR CORP BND			1FE	1,888,683.00	1,821,617.99	1,700,000.00	1,825,603.61	(3,985.62	)	(16,086.07	)	—	—		4.3750	2.2730	Mar-Sep	23,552.09	37,187.50		20150707	20210307
857477AK9	STATE STREET CORP SENIOR CORP BND			1FE	3,157,439.50	3,171,888.50	3,175,000.00	3,171,430.91	457.59		2,012.48		—	—		1.3500	1.3699	May-Nov	5,476.88	21,431.25		20130508	20180515
857477AN3	STATE STREET CORP SENIOR CORP BND			1FE	1,032,809.00	1,027,610.09	1,000,000.00	1,026,024.34	1,585.75		(1,546.82	)	—	—		3.3000	3.1490	Jun-Dec	1,375.00	16,500.00		20150225	20241216
BRT1X83J9	STATION CASINOS LLC SENIOR SECURED TERM			3FE	1,200,870.71	1,202,785.56	1,203,430.60	1,201,317.08	1,468.48		236.02		—	—		—	0.0710	M-J-S-D	—	22,419.35		20160525	20230608
85771PAJ1	STATOILHYDRO ASA SENIOR CORP BND	D		1FE	7,209,007.50	7,224,480.00	7,250,000.00	7,241,468.30	(16,988.30	)	4,837.86		—	—		1.1500	1.1950	May-Nov	10,653.46	46,575.00		20130508	20180515
85771PAR3	STATOILHYDRO ASA SENIOR CORP BND	D		1FE	798,864.00	802,104.00	800,000.00	799,681.53	2,422.47		115.02		—	—		1.9500	1.9800	May-Nov	2,296.67	7,800.00		20131105	20181108
BRT9973R3	STERIGENICS-NORDION HOLDINGS L SENOIR SE				1,637,597.31	1,634,065.25	1,640,216.06	1,637,672.09	(3,606.84	)	74.78		—	—		—	0.0359	M-J-S-D	—	15,277.55		20170501	20220515
86212TAA7	STORE MASTER FUNDING LLC STR_1 ABS_12-1A		4	1FE	2,156,161.43	2,046,256.20	2,040,430.77	2,148,981.55	(102,725.35	)	(2,603.35	)	—	—		5.7700	5.2962	Monthly	3,597.39	59,180.99		20150306	20420820
86213BAB3	STR_14-1A WHOLE CMO _14-1A-A2 144A		4	1FE	1,082,272.49	1,041,443.02	984,583.33	1,075,910.18	(34,467.16	)	(1,568.21	)	—	—		5.0000	4.1910	Monthly	1,504.22	24,651.05		20150123	20440420
86213CAA3	STR_15-1A ABS 15-1A A1 144A		4	1FE	1,483,432.14	1,502,523.90	1,483,750.01	1,483,451.39	19,072.51		4.39		—	—		3.7500	3.7808	Monthly	1,700.13	27,861.33		20150414	20450420
8628113T1	STRATFORD REC CO LLC MUNITAX BND GO			1FE	782,955.00	761,520.00	750,000.00	759,798.91	1,721.09		(4,278.72	)	—	—		2.9890	1.8094	Feb-Aug	8,468.83	11,208.75		20140930	20180815
863667AK7	STRYKER CORP SENIOR CORP BND			1FE	1,115,877.35	1,116,628.04	1,115,000.00	1,115,500.05	1,127.99		(143.65	)	—	—		2.0000	1.9279	Mar-Sep	6,999.72	11,150.00		20160303	20190308
BRSM7GLZ9	STS OPERATING SENIOR SECURED TERM NOTES		4	4FE	1,535,410.44	1,578,653.85	1,582,610.37	1,540,027.04	38,626.81		3,999.81		—	—		—	0.0712	M-J-S-D	—	43,261.47		20140211	20210212
86787EAS6	SUNTRUST BANK SENIOR CORP BND		2	1FE	5,000,000.00	5,027,300.26	5,000,000.00	5,000,000.00	27,300.26		—		—	—		1.7018	1.7018	J-A-J-O	14,654.22	18,681.10		20170125	20200131
00254EML3	SVENSK EXPORTKREDIT AB SENIOR CORP BND	D		1FE	4,987,250.00	4,938,299.95	5,000,000.00	4,990,531.24	(52,231.29	)	1,871.56		—	—		1.1250	1.2141	Feb-Aug	19,218.75	27,812.50		20160824	20190828
BRT92NYZ3	SVENSK EXPORTKREDIT AB SENIOR CORP BND E	B		2FE	2,553,892.31	2,581,438.15	2,000,000.00	2,553,894.69	(14,931.51	)	2.38		—	42,474.97		0.6250	0.6414	December	4,581.92	(4,419.44	)	20170627	20201207
W9T17AAL7	SVENSKA HANDELSBANKEN AB CORP BND EMTN	B		1FE	1,465,325.51	1,496,008.14	1,100,000.00	1,440,757.62	(3,234.33	)	(21,500.25	)	—	58,484.86		4.0000	0.8074	January	25,680.06	54,924.40		20161130	20190118
86960BAJ1	SVENSKA HANDELSBANKEN AB SENIOR CORP BND	D		1FE	1,021,690.00	1,006,049.96	1,000,000.00	1,016,292.81	(10,242.85	)	(2,399.34	)	—	—		2.4000	1.8810	Apr-Oct	6,000.00	12,000.00		20160511	20201001
86960BAN2	SVENSKA HANDELSBANKEN AB SENIOR CORP BND	D			4,987,150.00	4,950,049.95	5,000,000.00	4,990,586.07	(40,536.12	)	2,089.74		—	—		1.5000	1.5881	Mar-Sep	23,958.33	37,291.67		20160830	20190906
W94232CA6	SWEDBANK AB SENIOR CORP BND	D		1FE	4,991,550.00	5,030,610.00	5,000,000.00	4,997,087.09	33,522.91		852.24		—	—		2.3750	2.4111	Feb-Aug	40,902.78	59,375.00		20140220	20190227
87020DAR5	SWEDEN KINGDOM CORP BND 144A MTN	D			1,994,860.00	1,994,858.00	2,000,000.00	1,999,028.15	(4,170.15	)	860.62		—	—		0.8750	0.9621	Jan-Jul	7,680.56	8,750.00		20150115	20180123

87154GAC9	SYMP_16-18A MEZZANIN ABS 16-18A 144A	D	4		2,500,000.00	2,494,013.75	2,500,000.00	2,500,000.00	(5,986.25	)	—		—	—	2.7464	2.7544	J-A-J-O	38,335.03	—	20161116	20280123
87165LBB6	SYNCC_16-2 SENIOR ABS_16-2 A		4	1FE	6,019,536.00	6,007,635.38	6,010,000.00	6,019,323.08	(11,687.70	)	(210.14	)	—	—	2.2100	2.2186	Monthly	5,903.15	89,643.18	20160520	20240515
87165LBJ9	SYNCHRONY CREDIT CARD MASTER N SENIOR AB		4	1FE	3,979,559.42	3,952,636.91	3,980,000.00	3,979,629.84	(26,992.93	)	43.39		—	—	1.5800	1.5875	Monthly	2,794.85	31,441.98	20160914	20220915
87165LAA9	SYNCT_14-1 SENIOR ABS _14-1-A		4	1FE	904,748.95	905,515.84	905,000.00	904,967.77	548.07		42.71		—	—	1.6100	1.6250	Monthly	647.58	7,285.26	20141114	20201115
BRSEM91J4	SYNIVERSE HLDGS SENIOR SEC TERM NOTES		4	4FE	1,778,981.13	1,673,410.28	1,796,950.64	1,792,269.84	(118,859.56	)	1,286.86		—	—	—	0.1421	J-A-J-O	—	35,943.75	20120420	20190423
871829BB2	SYSCO CORP SENIOR CORP BND			2FE	3,473,088.75	3,474,096.47	3,475,000.00	3,473,871.33	225.14		312.88		—	—	1.9000	1.9190	Apr-Oct	16,506.25	33,012.50	20160322	20190401
89231RAD6	TAOT_14-B SENIOR ABS _14-B-A4		4	1FE	4,357,940.00	4,357,024.25	4,358,665.72	4,358,517.39	(1,493.14	)	182.03		—	—	1.3100	1.3183	Monthly	2,537.71	62,737.31	20140610	20190916
89238MAE8	TAOT_17-A SENIOR ABS 17-A-A4		4		4,499,045.55	4,526,771.63	4,500,000.00	4,499,115.61	27,656.02		82.49		—	—	2.1000	2.1150	Monthly	4,199.99	28,525.00	20170307	20220915
89190BAE8	TAOT_17-B SENIOR ABS_17-B A4		4	1FE	3,998,925.60	4,007,106.64	4,000,000.00	3,998,958.77	8,147.87		33.17		—	—	2.0500	2.0665	Monthly	3,644.45	6,377.77	20170509	20220915
00388WAD3	TAQA ABU DHABI NATIONAL SENIOR CORP BND	D		2FE	473,385.00	483,720.05	475,000.00	473,692.34	10,027.71		150.52		—	—	3.6250	3.7001	Jun-Dec	430.47	8,609.38	20160614	20210622
87612EAV8	TARGET CORPORATION CORP BND			1FE	493,092.00	474,907.52	450,000.00	474,998.41	(90.89	)	(5,522.77	)	—	—	3.8750	1.9821	Jan-Jul	8,040.63	23,189.19	20150303	20200715
87612EBB1	TARGET CORPORATION SENIOR CORP BND			1FE	5,864,292.45	5,799,977.73	5,735,000.00	5,804,667.11	(4,689.38	)	(17,085.26	)	—	—	2.3000	1.9049	Jun-Dec	1,832.01	65,952.50	20150807	20190626
87612EBE5	TARGET CORPORATION SENIOR CORP BND			1FE	599,946.00	569,111.98	600,000.00	599,952.83	(30,840.85	)	2.36		—	—	2.5000	2.5010	Apr-Oct	3,166.67	7,500.00	20160404	20260415
87231LAA9	TCENT_16-1A ABS 16-1A-A1 144A	D	4	1FE	2,000,000.00	2,014,496.40	2,000,000.00	2,000,000.00	14,496.40		—		—	—	2.6904	2.6991	J-A-J-O	10,533.35	18,657.29	20161202	20291221
87233GAG5	TCP WATERMAN CLO LLC TCP_16-1A ABS 16-1A	C	4	1FE	500,000.00	504,153.90	500,000.00	500,000.00	4,153.90		—		—	—	4.1312	4.1519	M-J-S-D	918.05	10,233.08	20161122	20281215
BRT7XL7J3	TEAM HLTH HLDGS SECURED TERM LOAN		2	4FE	1,477,154.34	1,470,490.48	1,480,856.48	1,477,320.88	(6,830.40	)	174.26		—	—	—	0.0354	M-J-S-D	—	17,664.28	20170112	20240206
BRSN4E4J0	TECHNIMARK LLC SECURED TERM LOAN				6,601,549.19	6,535,533.70	6,601,549.19	6,601,549.19	(66,015.49	)	—		—	—	—	—	M-J-S-D	—	153,522.92	20151223	20210425
BRT9GFWP9	TELENET FINANCING USD LLC SENIOR SECURED		2	3FE	2,301,923.08	2,307,692.31	2,307,692.31	2,302,027.67	5,664.64		104.59		—	—	—	0.0303	M-J-S-D	—	9,093.05	20170403	20250630
BRT8B6AF2	TELESAT CANADA SENIOR SECURED TERM LOAN	A	2	3FE	1,607,553.82	1,630,752.37	1,623,312.73	1,608,502.64	22,249.73		1,028.02		—	—	—	0.1417	F-M-A-N	—	29,230.76	20170201	20231117
87970UAW6	TELOS_14-6A-B1RTELOS_14-6A MEZZANIN ABS_	D	4		2,500,000.00	2,502,399.75	2,500,000.00	2,500,000.00	2,399.75		—		—	—	—	—	J-A-J-O	—	—	20170406	20270117
BRT9R6585	TEMPO ACQUISITION LLC SENIOR SECURED TER		2	4FE	1,133,544.31	1,141,139.62	1,139,240.51	1,133,662.46	7,477.16		118.15		—	—	—	0.0708	M-J-S-D	—	3,034.18	20170421	20240501
BRT88USE7	TEREX CORP SENIOR SECURED TERM LOAN		2	3FE	951,870.74	957,811.89	954,233.51	951,986.26	5,825.63		121.44		—	—	—	0.0354	M-J-S-D	—	11,593.32	20170112	20240131
BRSAC1300	TERRA BRASIS				4,877,500.00	4,939,231.82	4,877,500.00	4,877,500.00	61,731.82		—		—	—	—	—	M-J-S-	—	—	20170101	20171231
BRSQPSFE8	TERRA-GEN FINANCE CO LLC SENIOR SECURED		4	3FE	663,948.58	617,238.64	667,285.02	665,141.55	(47,902.91	)	250.95		—	—	—	0.0714	M-J-S-D	—	17,764.71	20141126	20211209
88167AAD3	TEVA PHARMACEUTICAL FINANCE NE SENIOR CO	D		2FE	622,912.50	608,806.23	625,000.00	623,170.76	(14,364.53	)	137.25		—	—	2.8000	2.8530	Jan-Jul	7,777.78	8,750.00	20160718	20230721
88167AAC5	TEVA PHARMACEUTICAL FINANCE NE SENIOR CO	D		2FE	2,161,427.75	2,124,081.52	2,165,000.00	2,162,072.85	(37,991.33	)	342.39		—	—	2.2000	2.2351	Jan-Jul	21,168.89	23,815.00	20160718	20210721
88167AAB7	TEVA PHARMACEUTICAL FINANCE NE SENIOR CO	D		2FE	3,039,726.40	3,012,396.89	3,040,000.00	3,039,810.41	(27,413.52	)	95.24		—	—	1.7000	1.7031	Jan-Jul	23,256.00	99,644.57	20160718	20190719
8821172X1	TEXAS A & M UNIV PERM UNIV FD MUNITAX BN			1FE	2,005,720.00	1,993,320.00	2,000,000.00	2,003,357.74	(10,037.74	)	(543.31	)	—	—	1.7500	1.6924	Jan-Jul	17,500.00	17,500.00	20150408	20200701
88224LAC2	TEXAS CHILDRENS HEALTH PLAN (T MUNITAX B				1,500,000.00	1,496,568.00	1,500,000.00	1,500,000.00	(3,432.00	)	—		—	—	1.3050	1.3050	Apr-Oct	4,893.75	9,787.50	20141209	20171001
88224LAE8	TEXAS CHILDRENS HEALTH PLAN (T MUNITAX B				2,000,000.00	1,984,982.00	2,000,000.00	2,000,000.00	(15,018.00	)	—		—	—	2.0750	2.0750	Apr-Oct	10,375.00	20,750.00	20141209	20191001
882508AU8	TEXAS INSTRUMENTS INCORPORATED SENIOR CO			1FE	295,140.00	299,303.99	300,000.00	297,441.11	1,862.88		594.04		—	—	1.6500	2.0690	Feb-Aug	2,035.00	2,475.00	20150710	20190803
882508AV6	TEXAS INSTRUMENTS INCORPORATED SENIOR CO			1FE	2,470,300.00	2,490,250.00	2,500,000.00	2,494,169.50	(3,919.50	)	3,444.85		—	—	1.0000	1.1929	May-Nov	4,166.66	12,500.00	20130501	20180501
882806AT9	TEXAS TECH UNIV MUNI BND REV		2	1FE	2,263,420.00	2,127,100.00	2,000,000.00	2,100,277.65	26,822.35		(30,154.64	)	—	—	5.0000	1.8515	Feb-Aug	37,777.78	50,000.00	20140930	20240215
882806EL2	TEXAS TECH UNIV MUNITAX BND REV			1FE	2,160,000.00	2,168,769.60	2,160,000.00	2,160,000.00	8,769.60		—		—	—	1.8040	1.8040	Feb-Aug	14,720.64	39,549.69	20150318	20190215

88283LKK1	TEXAS TRANSN COMMN ST HWY FD MUNI BND RE			1FE	64,343.50	62,444.00	50,000.00	63,479.38	(1,035.38	)	(662.57	)	—	—		5.0000	1.8203	Apr-Oct	625.00	1,076.39	20161102	20261001
88283LHW9	TEXAS TRANSN COMMN ST HWY FD MUNI BND RE			1FE	2,656,425.00	2,576,875.00	2,500,000.00	2,578,849.06	(1,974.06	)	(51,800.11	)	—	—		5.0000	0.7805	Apr-Oct	31,250.00	62,500.00	20160928	20180401
88283LHU3	TEXAS TRANSN COMMN ST HWY FD MUNITAX BND		4	1FE	128,262.00	117,999.99	100,000.00	126,668.05	(8,668.06	)	(3,091.16	)	—	—		5.1780	2.6930	Apr-Oct	1,294.50	17,173.70	20160726	20300401
88315FAE1	TEXTAINER MARINE CONTAINERS LT ABS_17-2-		4	1FE	1,599,715.20	1,599,715.20	1,600,000.00	1,599,714.67	0.53		(0.53	)	—	—		3.5200	3.5472	Monthly	469.33	—	20170622	20420620
BRT8V39S1	THE GEO GROUP INC SENIOR SECURED TERM LO		2	3FE	630,908.44	632,493.63	634,078.83	630,993.64	1,499.99		94.54		—	—		—	0.0715	M-J-S-D	—	2,295.86	20170316	20240322
883556AZ5	THERMO FISHER SCIENTIFIC INC CORP BND		2	2FE	2,896,523.00	2,917,179.94	2,800,000.00	2,872,899.25	44,280.69		(9,644.52	)	—	—		3.6000	2.9390	Feb-Aug	38,080.00	50,400.00	20160203	20210815
883556BN1	THERMO FISHER SCIENTIFIC INC SENIOR CORP		2	2FE	34,829.20	35,305.20	35,000.00	34,856.35	448.85		11.17		—	—		3.0000	3.0780	Apr-Oct	221.67	525.00	20160404	20230415
883556BE1	THERMO FISHER SCIENTIFIC INC SENIOR CORP			2FE	2,973,453.00	2,993,088.06	2,975,000.00	2,974,401.36	18,686.70		183.64		—	—		2.4000	2.4130	Feb-Aug	29,750.00	35,700.00	20141216	20190201
88428LAA0	THIRD POINT RE USA HOLDINGS IN SENIOR CO			2FE	3,950,000.00	3,989,500.00	3,950,000.00	3,950,000.00	39,500.00		—		—	—		7.0000	7.0000	Feb-Aug	104,387.50	500,004.17	20150210	20250213
87247CAN3	TICP_14-2A ABS_14-2A A1AR 144A	D	4	1FE	3,750,000.00	3,745,759.13	3,750,000.00	3,750,000.00	(4,240.87	)	—		—	—		2.3162	2.3214	J-A-J-O	17,371.65	—	20170329	20260720
87247CAS2	TICP_14-2A MEZZANIN ABS_14-2A BR 144A	D	4		500,000.00	498,728.60	500,000.00	500,000.00	(1,271.40	)	—		—	—		3.3562	3.3699	J-A-J-O	3,356.22	—	20170329	20260720
87247UAU7	TICP_14-3AR SENIOR ABS 14-3AR-B1R 144A	D	4		1,000,000.00	998,942.20	1,000,000.00	1,000,000.00	(1,057.80	)	—		—	—		2.3362	2.3430	J-A-J-O	4,672.44	730.59	20170320	20270120
BRSN1NQ83	TIME INC (USA) SENIOR SECURED TERM LOAN			3FE	2,104,847.23	2,126,108.36	2,126,108.36	2,114,274.95	11,833.41		1,902.88		—	—		—	0.1441	M-J-S-D	—	46,975.51	20140417	20210426
88732JAL2	TIME WARNER CABLE INC CORP BND			2FE	1,304,897.00	1,151,117.00	1,100,000.00	1,152,003.10	(886.10	)	(25,624.98	)	—	—		6.7500	1.9531	Jan-Jul	37,125.00	37,125.00	20140605	20180701
880591EQ1	TN VLY AUTHORITY SENIOR AGENCY BND			1	2,552,790.60	2,575,952.81	2,565,000.00	2,561,777.75	14,175.06		1,219.85		—	—		1.7500	1.8491	Apr-Oct	9,476.25	22,443.75	20130924	20181015
BRSWDXKE1	TOOLING ACQUISITION CO. TERM LOAN				797,011.02	787,048.38	797,011.02	797,011.02	(9,962.64	)	—		—	—		—	—	M-J-S-D	—	19,665.31	20170104	20210921
BRSWDXM82	TOOLING ACQUISITION CO. TERM LOAN				60,009.43	58,767.24	60,009.43	60,009.43	(1,242.19	)	—		—	—		—	—	M-J-S-D	—	5,797.34	20151102	20210921
BRSWDXMT6	TOOLING ACQUISITION CO. TERM LOAN				2,414,933.40	2,384,746.73	2,414,933.40	2,414,933.40	(30,186.67	)	—		—	—		—	—	M-J-S-D	—	68,951.18	20150921	20210921
8911457V0	TORONTO-DOMINION BANK/THE SECURED CORP B	A		1FE	4,592,870.00	4,603,680.10	4,600,000.00	4,594,638.58	9,041.52		726.79		—	—		2.2500	2.2830	Mar-Sep	30,475.01	57,750.00	20160307	20210315
89114QAV0	TORONTO-DOMINION BANK/THE SENIOR CORP BN	A		1FE	4,501,679.00	4,528,844.96	4,500,000.00	4,503,615.36	25,229.60		(557.44	)	—	—		2.2500	2.2881	May-Nov	15,750.00	48,906.26	20141030	20191105
89114QB64	TORONTO-DOMINION BANK/THE SENIOR CORP BN	A		1FE	204,797.05	205,284.95	205,000.00	204,927.01	357.94		33.87		—	—		1.7500	1.7840	Jan-Jul	1,574.51	1,793.75	20150716	20180723
89114QBJ6	TORONTO-DOMINION BANK/THE SENIOR CORP BN	A		1FE	6,216,885.75	6,164,244.12	6,225,000.00	6,218,637.27	(54,393.15	)	1,459.82		—	—		1.4500	1.4531	Feb-Aug	34,600.63	45,131.25	20160706	20190813
89141WAB8	TORREY PINES RE LTD CORP BND 144A	D			14,900,000.00	14,943,359.00	14,900,000.00	14,900,000.00	43,359.00		—		—	—		4.7641	4.7641	Monthly	43,379.41	29,899.34	20170427	20200609
89141WAC6	TORREY PINES RE LTD CORP BND 144A	D			800,000.00	800,936.00	800,000.00	800,000.00	936.00		—		—	—		7.2641	7.2641	Monthly	3,551.32	2,049.77	20170427	20200609
89141WAA0	TORREY PINES RE LTD CORP BND 144A	D			650,000.00	650,949.00	650,000.00	650,000.00	949.00		—		—	—		4.0141	4.0141	Monthly	1,594.47	1,196.00	20170427	20200609
F9208ZKR7	TOTAL CAPITAL S.A. CORP BND	B			592,544.66	569,193.98	420,000.00	576,578.30	(1,410.10	)	(8,585.64	)	—	(5,974.22	)	3.8750	0.6896	December	11,525.87	—	20160726	20181214
F9208ZKB2	TOTAL CAPITAL S.A. CORP BND MTN	B		1FE	1,654,432.94	1,279,595.63	970,000.00	1,541,896.53	3,368.85		(22,203.08	)	—	(265,669.75	)	4.2500	1.2673	December	30,075.59	—	20141210	20171208
BRT8X34E5	TOWER AUTOMOTIVE HOLDINGS USA SENIOR SEC				1,651,741.86	1,655,489.80	1,656,869.97	1,651,966.32	3,523.48		245.22		—	—		—	0.0709	M-J-S-D	—	15,287.31	20170301	20240307
BRT8JED49	TOWNSQUARE MEDIA INC SENIOR SECURED TERM			3FE	722,256.43	726,195.91	724,686.38	722,391.14	3,804.77		134.71		—	—		—	0.0712	M-J-S-D	—	11,460.92	20170321	20220401
89237WAD9	TOYOTA AUTO RECEIVABLES OWNER SENIOR ABS		4		1,334,964.22	1,326,282.86	1,335,000.00	1,334,970.69	(8,687.83	)	3.79		—	—		1.1400	1.1433	Monthly	676.40	7,609.50	20160801	20200817
89236TCU7	TOYOTA MOTOR CREDIT CORP SENIOR CORP BND			1FE	4,999,400.00	5,001,100.15	5,000,000.00	4,999,669.23	1,430.92		98.90		—	—		1.7000	1.7041	Feb-Aug	31,166.67	42,500.00	20160216	20190219
89236TDU6	TOYOTA MOTOR CREDIT CORP SENIOR CORP BND			1FE	1,469,323.80	1,470,132.34	1,470,000.00	1,469,368.86	763.48		45.06		—	—		1.9500	1.9659	Apr-Oct	5,892.26	—	20170411	20200417
89236TCX1	TOYOTA MOTOR CREDIT CORP SENIOR CORP BND			1FE	5,998,560.00	5,986,980.00	6,000,000.00	5,999,443.35	(12,463.35	)	358.30		—	—		1.2000	1.2122	Apr-Oct	17,000.00	36,000.00	20160405	20180406
89236TDE2	TOYOTA MOTOR CREDIT CORP SENIOR CORP BND			1FE	890,586.00	894,185.96	900,000.00	892,775.32	1,410.64		1,868.67		—	—		1.4000	1.8351	May-Nov	1,435.00	6,300.00	20161128	20190520

89236TDM4	TOYOTA MOTOR CREDIT CORP SENIOR CORP BND			1FE	4,998,250.00	5,001,599.90	5,000,000.00	4,998,662.81	2,937.09		412.81		—	—		1.7000	1.7179	Jan-Jul	40,611.11	—		20170104	20190109
89172YAC4	TPMT_16-3 ABS 16-3 M1 144A		4		2,001,152.00	2,017,982.60	2,000,000.00	2,001,037.60	16,945.00		(114.40	)	—	—		3.5000	3.4840	Monthly	5,833.33	6,999.99		20170420	20560425
89267XAH1	TRADEWYND RE LTD CORP BND 144A	D			875,000.00	883,102.50	875,000.00	875,000.00	8,102.50		—		—	—		7.4500	7.5175	J-A-J-O	16,115.80	34,067.80		20141205	20180108
89267XAF5	TRADEWYND RE LTD CORP BND 144A	D			500,000.00	502,235.00	500,000.00	500,000.00	2,235.00		—		—	—		5.7525	5.7927	J-A-J-O	7,110.73	14,196.92		20141205	20180108
89289YAB6	TRAMLINE RE II LTD CORP BND 144A	D			1,000,000.00	1,010,280.00	1,000,000.00	1,000,000.00	10,280.00		—		—	—		8.5759	8.6657	J-A-J-O	21,201.56	46,849.20		20141204	20190104
BRSTMLVU6	TRANS UNION LLC SENIOR SECURED TERM LOAN		4	3FE	2,483,731.47	2,503,952.56	2,489,726.26	2,484,915.84	19,036.72		140.56		—	—		—	0.0257	M-J-S-D	—	43,406.83		20160104	20230409
893526DK6	TRANSCANADA PIPELINES LIMITED CORP BND	A		1FE	535,870.00	523,704.99	500,000.00	521,890.85	1,814.14		(3,193.22	)	—	—		3.8000	2.3921	Apr-Oct	4,750.00	9,500.00		20150408	20201001
89352HAN9	TRANSCANADA PIPELINES LIMITED SENIOR COR	A		1FE	824,735.50	826,047.67	825,000.00	825,008.54	1,039.13		(8.54	)	—	—		1.8750	1.9840	Jan-Jul	7,261.72	7,734.38		20150107	20180112
89352HAS8	TRANSCANADA PIPELINES LIMITED SR CORP BN	A		1FE	2,542,783.50	2,597,200.45	2,550,000.00	2,546,161.97	51,038.48		1,205.77		—	—		3.1250	3.2261	Jan-Jul	36,744.79	39,843.75		20160122	20190115
89356BAA6	TRANSCANADA TRUST CAPSEC CORP BND	A	2	2FE	1,075,000.00	1,139,500.00	1,075,000.00	1,075,000.00	64,500.00		—		—	—		5.6250	5.6250	May-Nov	6,886.72	30,234.38		20150513	20750520
BRSNBE338	TRANSDIGM INC SENIOR SECURED TERM LOAN		4	4FE	3,868,639.38	3,884,863.67	3,887,293.22	3,875,920.66	8,943.01		1,498.38		—	—		—	—	M-J-S-D	—	85,964.30		20140709	20210604
89602N7Q1	TRIBOROUGH BRIDG & TUNL AUTH N MUNI BND		2	1FE	582,180.00	589,585.00	500,000.00	581,180.10	8,404.90		(999.90	)	—	—		5.0000	3.0800	May-Nov	3,194.44	347.23		20170505	20361115
BRSU975A2	TRIBUNE COMPANY SENIOR SECURED TERM LOAN		4	3FE	110,777.95	111,140.20	110,932.20	110,791.50	348.70		377.84		—	—		—	0.0358	M-J-S-D	—	7,031.14		20170228	20201227
BRT870V34	TRIBUNE COMPANY SENIOR SECURED TERM LOAN		2	3FE	1,380,685.80	1,390,839.01	1,382,628.96	1,380,800.03	10,038.98		120.75		—	—		—	0.0199	M-J-S-D	—	26,671.06		20170201	20240126
L9339LAB9	TRINSEO MATERIALS OPERATING SC SENIOR SE		4	3FE	558,600.00	564,550.01	560,000.01	559,026.25	5,523.76		116.41		—	—		—	0.0395	J-A-J-O	—	—		20150428	20211105
89837RAA0	TRUSTEES OF DARTMOUTH COLLEGE MUNITAX BN			1FE	339,666.00	317,545.50	300,000.00	317,923.83	(378.33	)	(4,555.87	)	—	—		4.7500	1.5751	Jun-Dec	1,187.50	7,125.00		20150130	20190601
872882AC9	TSMC GLOBAL LTD SENIOR CORP BND 144A	D		1FE	2,858,083.80	2,852,252.26	2,860,000.00	2,859,700.02	(7,447.76	)	364.33		—	—		1.6250	1.6390	Apr-Oct	11,360.56	54,811.03		20130327	20180403
BRT6TBA33	TURBF_7 ABS 7 A1	B	4		1,184,104.50	1,243,561.28	955,000.00	1,184,104.50	3,064.03		—		—	56,392.75		0.8511	0.8526	Monthly	318.16	5,759.32		20161123	20230620
902133AQ0	TYCO ELECTRONICS GROUP SA SENIOR CORP BN	D	2	1FE	1,634,149.80	1,644,358.74	1,635,000.00	1,634,633.73	9,725.01		84.95		—	—		2.3500	2.3611	Feb-Aug	16,009.38	19,211.25		20140728	20190801
90944WAA7	UACST_16-2 ABS 16-2-A 144A		4		531,343.30	531,417.90	531,349.41	531,345.77	72.13		8.14		—	—		1.6700	1.6744	Monthly	517.62	8,712.22		20160913	20180910
90261XHK1	UBS AG (STAMFORD BRANCH) SENIOR CORP BND			1FE	831,893.80	840,143.64	835,000.00	833,200.51	6,943.13		313.49		—	—		2.3500	2.4319	Mar-Sep	5,178.16	9,811.25		20150527	20200326
G918UHAA3	UBS AG JERSEY BRANCH CORP BND EMTN	B	2	2FE	574,419.18	502,277.26	350,000.00	545,814.75	8,700.76		(8,654.89	)	—	(52,238.25	)	6.3750	2.7631	November	17,627.90	—		20141204	20241119
G91979AA5	UBS AG, LONDON BRANCH CORP BND	B		1FE	1,387,520.50	1,356,713.52	1,000,000.00	1,333,292.74	(1,668.17	)	(37,019.15	)	—	25,088.95		6.6250	0.7573	April	19,097.24	84,467.10		20160726	20180411
BRTAQ3648	UBS AG, LONDON BRANCH SENIOR CORP BND	D	2		4,996,700.00	4,999,650.00	5,000,000.00	4,996,767.23	2,882.77		67.23		—	—		2.2000	2.2229	Jun-Dec	7,027.78	—		20170601	20200608
902674XE5	UBS AG, LONDON BRANCH SENIOR CORP BND 14	D	2	1FE	3,500,000.00	3,506,439.93	3,500,000.00	3,500,000.00	6,439.93		—		—	—		1.7990	1.7990	M-J-S-D	4,022.76	—		20170601	20200608
90351DAH0	UBS GROUP FUNDING JERSEY LTD SENIOR CORP	D		1FE	1,743,390.00	1,740,655.05	1,750,000.00	1,743,490.19	(2,835.14	)	72.48		—	—		2.6500	2.6619	Feb-Aug	19,322.92	(938.54	)	20160803	20220201
90351DAD9	UBS GROUP FUNDING JERSEY LTD SENIOR CORP	D		1FE	4,996,250.00	5,069,249.75	5,000,000.00	4,997,147.37	72,102.38		531.62		—	—		3.0000	3.0160	Apr-Oct	31,666.67	139,500.00		20160329	20210415
90270RBF0	UBSBB_12-C4 PAC SENIOR CMBS 2012-C4 AAB		4		515,097.66	505,159.99	500,000.00	511,041.71	(5,881.72	)	(2,035.96	)	—	—		2.4589	1.6096	Monthly	1,024.54	6,147.24		20160628	20451210
90270YBD0	UBSBB_13-C5 PRELCF SENIOR CMBS_13-C5-A2		4	1FM	1,368,685.50	1,358,178.42	1,355,000.00	1,358,908.21	(729.79	)	75.18		—	—		2.1365	1.8693	Monthly	2,412.46	14,474.76		20140923	20460310
90269GAC5	UBSCMT_12-C1 SENIOR CMBS 12-C1		4	1FE	3,825,158.34	3,739,313.97	3,592,247.29	3,786,261.13	(46,947.16	)	(22,031.64	)	—	—		3.4000	0.9623	Monthly	10,178.03	55,612.01		20160614	20450510
BRT9B1C02	UNIFRAX I LLC SECURED TERM LOAN		2	4FE	595,216.05	601,183.12	596,707.82	595,255.42	5,927.70		39.37		—	—		—	0.0355	M-J-S-D	—	5,359.95		20170331	20240404
904764AR8	UNILEVER CAPITAL CORP SENIOR CORP BND			1FE	546,815.50	552,320.99	550,000.00	547,997.07	4,323.92		311.70		—	—		2.1000	2.2230	Jan-Jul	4,844.58	5,775.00		20150728	20200730
904764AT4	UNILEVER CAPITAL CORP SENIOR CORP BND			1FE	416,656.80	405,757.80	420,000.00	417,256.53	(11,498.73	)	324.22		—	—		1.3750	1.5410	Jan-Jul	2,454.37	2,887.51		20160725	20210728
904764AQ0	UNILEVER CAPITAL CORP SENIOR CORP BND			1FE	1,606,361.25	1,638,585.10	1,625,000.00	1,619,037.78	19,547.32		1,708.87		—	—		2.2000	2.4240	Mar-Sep	11,420.14	17,875.00		20130903	20190306

BRT8AJMS4	UNILEVER PLC LOCAL CORP BOND	B		1FE	570,434.65	596,031.87	460,000.00	570,844.35	3,473.22		409.70		—	21,714.30		1.1250	1.3081	February	2,725.66	—		20170130	20220203
907818CZ9	UNION PACIFIC CORPORATION CORP BND			1FE	275,372.50	253,901.75	250,000.00	254,102.54	(200.79	)	(5,460.05	)	—	—		5.7500	1.3131	May-Nov	1,836.81	7,187.50		20150713	20171115
907818DA3	UNION PACIFIC CORPORATION CORP BND			1FE	1,999,631.70	1,826,130.90	1,749,000.00	1,823,554.83	2,576.07		(32,544.24	)	—	—		5.7000	1.8501	Feb-Aug	37,661.80	49,846.50		20140930	20180815
907818DD7	UNION PACIFIC CORPORATION CORP BND			1FE	708,215.55	676,778.60	615,000.00	679,099.93	(2,321.33	)	(11,787.37	)	—	—		6.1250	2.0261	Feb-Aug	14,230.42	18,834.38		20160330	20200215
907818EE4	UNION PACIFIC CORPORATION SENIOR CORP BN		2	1FE	3,247,400.00	3,269,954.95	3,250,000.00	3,248,421.92	21,533.03		254.21		—	—		2.2500	2.2670	Jun-Dec	2,437.50	36,562.50		20150616	20200619
907818DM7	UNION PACIFIC CORPORATION SENIOR CORP BN		2	1FE	1,812,164.25	1,759,672.54	1,725,000.00	1,797,499.75	(37,827.21	)	(6,803.92	)	—	—		2.9500	2.1042	Jan-Jul	23,464.79	25,443.75		20160504	20230115
907818EA2	UNION PACIFIC CORPORATION SENIOR CORP BN		2	1FE	1,006,336.49	997,165.01	1,000,000.00	1,002,984.33	(5,819.32	)	(993.41	)	—	—		1.8000	1.8449	Feb-Aug	7,500.00	9,000.00		20150126	20200201
BRT9AQWJ5	UNITED AIRLINES INC SENIOR SECURED TERM		2	3FE	2,784,898.49	2,791,860.74	2,784,898.49	2,784,898.49	6,962.25		—		—	—		—	—	M-J-S-D	—	4,010.65		20170327	20240401
G924504T2	UNITED KINGDOM GILT SENIOR GOVT BND	B		1FE	2,668,721.17	2,763,276.47	1,835,000.00	2,645,835.69	(15,177.20	)	(39,009.15	)	—	132,617.98		4.0000	0.4246	Mar-Sep	30,053.75	45,990.60		20170316	20220307
G92450K80	UNITED KINGDOM GILT SENIOR GOVT BND	B		1FE	5,656,869.68	4,623,281.24	3,449,215.00	5,315,512.21	8,184.84		(111,716.92	)	—	(700,415.81	)	5.0000	0.6342	Mar-Sep	70,614.34	115,065.82		20151215	20180307
G92450UG1	UNITED KINGDOM GILT SENIOR GOVT BND	B		1FE	2,646,791.44	2,707,190.41	1,865,000.00	2,624,965.43	(18,279.28	)	(26,094.04	)	—	100,504.25		4.7500	0.0860	Mar-Sep	36,272.30	54,511.36		20170413	20200307
G9T44MJU7	UNITED KINGDOM GILT SENIOR GOVT BND	B		1FE	1,294,325.12	1,334,073.61	980,000.00	1,289,087.31	(7,748.63	)	(5,922.92	)	—	52,734.92		2.0000	0.2242	Jan-Jul	11,252.78	(4,087.05	)	20170403	20200722
BRSZA9VG3	UNITED KINGDOM GILT SENIOR GOVT BND	B		1FE	848,213.44	867,367.37	650,000.00	847,394.66	(14,092.72	)	(1,524.18	)	—	34,065.43		1.5000	0.9910	Jan-Jul	5,597.68	1,586.26		20170411	20260722
G9T44MFU1	UNITED KINGDOM GILT SENIOR GOVT BND	B		1FE	11,147,997.29	11,781,362.06	8,981,000.00	11,067,287.56	(13,725.87	)	(58,826.62	)	—	727,800.38		1.2500	0.2014	Jan-Jul	64,452.31	106,433.52		20161013	20180722
911312AK2	UNITED PARCEL SERVICE INC CORP BND			1FE	1,565,228.00	1,479,967.97	1,400,000.00	1,484,796.42	(4,828.45	)	(23,588.71	)	—	—		5.1250	1.6030	Apr-Oct	17,937.50	35,875.00		20151013	20190401
912828WD8	UNITED STATES TREASURY GOVT BND			1	7,858,671.54	7,841,836.00	7,850,000.00	7,865,641.56	(23,805.56	)	(20,732.46	)	—	—		1.2500	1.4174	Apr-Oct	16,531.92	209,659.41		20131108	20181031
912828XE5	UNITED STATES TREASURY GOVT BND			1	11,495,957.03	11,484,819.54	11,500,000.00	11,496,021.20	(11,201.66	)	64.17		—	—		1.5000	1.5121	May-Nov	14,610.66	(6,598.36	)	20170613	20200531
912828WR7	UNITED STATES TREASURY GOVT BND			1	3,393,729.36	3,399,010.40	3,350,000.00	3,379,935.98	19,074.42		(3,591.00	)	—	—		2.1250	2.0093	Jun-Dec	193.44	35,593.75		20150608	20210630
912828D56	UNITED STATES TREASURY GOVT BND			1	1,001,720.75	1,015,400.09	1,000,000.00	1,001,317.46	14,082.63		(220.94	)	—	—		2.3750	2.3532	Feb-Aug	8,922.65	32,181.25		20150710	20240815
912828SX9	UNITED STATES TREASURY GOVT BND			1	20,036,752.35	19,910,400.40	20,000,000.00	20,021,422.95	(111,022.55	)	(6,038.14	)	—	—		1.1250	1.0687	May-Nov	19,565.22	112,500.00		20160202	20190531
912828TV2	UNITED STATES TREASURY GOVT BND			1	5,043,758.40	4,980,350.10	5,000,000.00	5,029,049.61	(48,699.51	)	(6,108.99	)	—	—		1.2500	0.9973	Apr-Oct	10,529.89	31,250.00		20160415	20191031
912828L32	UNITED STATES TREASURY GOVT BND			1	2,493,066.41	2,483,000.00	2,500,000.00	2,495,498.18	(12,498.18	)	791.86		—	—		1.3750	1.4334	Feb-Aug	11,489.47	22,175.61		20150922	20200831
912828UZ1	UNITED STATES TREASURY GOVT BND			1	5,792,615.49	5,794,593.50	5,825,000.00	5,815,026.40	(20,432.90	)	7,676.63		—	—		0.6250	0.9069	Apr-Oct	6,133.66	27,171.45		20150601	20180430
912828J84	UNITED STATES TREASURY GOVT BND			1	5,847,814.43	5,778,888.12	5,800,000.00	5,831,998.05	(53,109.93	)	(7,432.40	)	—	—		1.3750	1.1704	Mar-Sep	20,046.45	67,004.81		20160205	20200331
912828RH5	UNITED STATES TREASURY GOVT BND			1	27,850,785.99	27,693,816.24	27,675,000.00	27,758,166.68	(64,350.44	)	(45,726.65	)	—	—		1.3750	1.0559	Mar-Sep	95,652.65	312,958.02		20140930	20180930
912828UJ7	UNITED STATES TREASURY GOVT BND			1	21,431,168.94	21,460,870.00	21,500,000.00	21,484,699.14	(23,829.14	)	13,023.54		—	—		0.8750	0.9978	Jan-Jul	78,472.03	94,062.50		20150605	20180131
912828H94	UNITED STATES TREASURY GOVT BND			1	125,292.97	124,843.75	125,000.00	125,096.79	(253.04	)	(76.85	)	—	—		1.0000	0.8753	Feb-Aug	469.61	625.00		20160321	20180215
912828G38	UNITED STATES TREASURY GOVT BND			1	5,217,968.75	5,028,300.50	5,000,000.00	5,167,520.56	(139,220.06	)	(10,551.43	)	—	—		2.2500	1.7633	May-Nov	14,368.21	56,250.00		20150127	20241115
912828UL2	UNITED STATES TREASURY GOVT BND			1	4,969,539.65	4,987,200.15	5,000,000.00	4,972,824.95	14,375.20		3,285.30		—	—		1.3750	1.5906	Jan-Jul	28,677.49	(6,837.02	)	20170307	20200131
9128282B5	UNITED STATES TREASURY GOVT BND			1	4,992,578.15	4,932,899.85	5,000,000.00	4,994,722.09	(61,822.24	)	6,667.04		—	—		0.7500	0.8002	Feb-Aug	14,088.40	172,582.87		20160812	20190815
912828A34	UNITED STATES TREASURY GOVT BND			1	789,184.00	799,080.00	800,000.00	796,248.22	2,831.78		1,297.38		—	—		1.2500	1.5865	May-Nov	846.99	5,000.00		20140930	20181130
912828VA5	UNITED STATES TREASURY GOVT BND			1	6,662,878.52	6,676,762.58	6,750,000.00	6,673,883.81	2,878.77		8,741.42		—	—		1.1250	1.2520	Apr-Oct	12,793.82	19,272.62		20160202	20200430
912828VB3	UNITED STATES TREASURY GOVT BND			1	2,956,412.25	2,955,420.00	3,000,000.00	2,957,613.07	(2,193.07	)	1,200.82		—	—		1.7500	2.0063	May-Nov	6,705.16	2,465.47		20170427	20230515
912828G20	UNITED STATES TREASURY GOVT BND			1	1,505,334.55	1,498,920.00	1,500,000.00	1,500,946.28	(2,026.28	)	(1,262.22	)	—	—		0.8750	0.7049	May-Nov	1,676.29	6,562.50		20151001	20171115

912828S68	UNITED STATES TREASURY GOVT BND	1	11,990,193.02	11,931,120.00	12,000,000.00	11,991,860.22	(60,740.22	)	3,740.29		—	—	0.7500	0.7160	Jan-Jul	37,541.44	30,930.25		20160805	20180731
912828G87	UNITED STATES TREASURY GOVT BND	1	7,508,008.33	7,411,462.47	7,317,000.00	7,443,086.06	(31,623.59	)	(13,431.36	)	—	—	2.1250	1.7860	Jun-Dec	422.51	77,743.13		20150109	20211231
912828TM2	UNITED STATES TREASURY GOVT BND	1	1,993.05	1,998.72	2,000.00	1,999.75	(1.03	)	105.01		—	—	0.6250	0.7006	Feb-Aug	4.18	22,043.54		20121224	20170831
912828XA3	UNITED STATES TREASURY GOVT BND	1	2,000,018.32	1,995,400.00	2,000,000.00	2,000,244.38	(4,844.38	)	144.19		—	—	1.0000	0.7415	May-Nov	2,554.35	18,453.04		20150702	20180515
912828K58	UNITED STATES TREASURY GOVT BND	1	3,993,593.75	3,982,760.00	4,000,000.00	3,993,766.52	(11,006.52	)	172.77		—	—	1.3750	1.4313	Apr-Oct	9,266.30	(4,932.07	)	20170530	20200430
912828WW6	UNITED STATES TREASURY GOVT BND	1	6,039,375.00	6,028,020.18	6,000,000.00	6,038,190.03	(10,169.85	)	(1,184.97	)	—	—	1.6250	1.3141	Jan-Jul	40,669.89	(34,205.80	)	20170606	20190731
912828TS9	UNITED STATES TREASURY GOVT BND	1	1,969.07	1,997.78	2,000.00	1,998.02	(0.24	)	1,515.53		—	—	0.6250	1.0265	Mar-Sep	3.14	22,242.11		20131021	20170930
912828UR9	UNITED STATES TREASURY GOVT BND	1	1,863,354.49	1,869,356.25	1,875,000.00	1,873,292.64	(3,936.39	)	13,810.56		—	—	0.7500	0.8985	Feb-Aug	4,700.24	118,835.20		20130308	20180228
912828D72	UNITED STATES TREASURY GOVT BND	1	963,748.83	938,174.68	930,000.00	958,568.23	(20,393.55	)	(3,293.88	)	—	—	2.0000	1.2410	Feb-Aug	6,216.85	9,300.00		20160919	20210831
912828UB4	UNITED STATES TREASURY GOVT BND	1	2,467,983.00	2,547,936.68	2,575,000.00	2,523,718.61	24,218.07		10,269.53		—	—	1.0000	1.8470	May-Nov	2,181.00	12,875.00		20140930	20191130
912828WN6	UNITED STATES TREASURY GOVT BND	1	3,530,046.07	3,535,315.11	3,500,000.00	3,520,539.40	14,775.71		(2,869.68	)	—	—	2.0000	1.8247	May-Nov	5,928.96	39,879.12		20150217	20210531
912828XK1	UNITED STATES TREASURY GOVT BND	1	22,028,396.34	21,906,940.00	22,000,000.00	22,013,195.26	(106,255.26	)	(3,134.54	)	—	—	0.8750	0.8169	Jan-Jul	88,805.25	158,229.38		20160413	20180715
912828UQ1	UNITED STATES TREASURY GOVT BND	1	2,018,675.24	1,987,180.02	2,000,000.00	2,012,865.44	(25,685.42	)	(2,349.06	)	—	—	1.2500	1.0048	Feb-Aug	8,355.98	12,500.00		20160407	20200229
912828H37	UNITED STATES TREASURY GOVT BND	1	6,070,178.91	6,050,304.00	6,060,000.00	6,063,535.10	(13,231.10	)	(2,982.76	)	—	—	0.8750	0.7663	Jan-Jul	24,461.81	32,989.19		20160623	20180115
912828K82	UNITED STATES TREASURY GOVT BND	1	5,038,094.34	4,983,400.00	5,000,000.00	5,020,207.86	(36,807.86	)	(8,905.38	)	—	—	1.0000	0.6386	Feb-Aug	18,784.53	25,000.00		20160629	20180815
912828UE8	UNITED STATES TREASURY GOVT BND	1	499,043.81	498,935.00	500,000.00	499,527.25	(592.25	)	5,437.52		—	—	0.7500	0.9410	Jun-Dec	10.19	18,578.03		20161227	20171231
912828A42	UNITED STATES TREASURY GOVT BND	1	3,964,379.70	3,941,311.67	3,895,000.00	3,936,934.21	4,377.46		(5,903.64	)	—	—	2.0000	1.6743	May-Nov	6,598.09	38,950.00		20150223	20201130
912828TH3	UNITED STATES TREASURY GOVT BND	1	7,308,426.49	7,323,261.78	7,400,000.00	7,329,250.41	(5,988.63	)	15,261.13		—	—	0.8750	1.0020	Jan-Jul	27,008.97	31,184.18		20141003	20190731
912828TG5	UNITED STATES TREASURY GOVT BND	1	1,985.55	1,999.10	2,000.00	1,999.76	(0.66	)	1.47		—	—	0.5000	0.6471	Jan-Jul	4.17	5.00		20120730	20170731
912828RP7	UNITED STATES TREASURY GOVT BND	1	2,669,265.50	2,665,025.76	2,650,000.00	2,656,418.27	8,607.49		(2,522.59	)	—	—	1.7500	1.5654	Apr-Oct	7,813.19	25,793.16		20140930	20181031
912828VQ0	UNITED STATES TREASURY GOVT BND	1	1,505,604.38	1,501,850.30	1,500,500.00	1,501,846.41	3.89		(1,128.73	)	—	—	1.3750	1.2913	Jan-Jul	8,606.12	35,954.75		20140521	20180731
912828TJ9	UNITED STATES TREASURY GOVT BND	1	6,339,798.16	6,412,965.20	6,500,000.00	6,380,926.31	32,038.89		12,015.72		—	—	1.6250	2.0030	Feb-Aug	39,682.32	67,222.03		20150806	20220815
912828G95	UNITED STATES TREASURY GOVT BND	1	6,094,687.50	6,023,459.46	6,000,000.00	6,048,742.97	(25,283.51	)	(9,571.24	)	—	—	1.6250	1.2934	Jun-Dec	264.95	48,750.00		20150121	20191231
912828S27	UNITED STATES TREASURY SENIOR GOVT BND	1	1,391,924.23	1,366,540.01	1,400,000.00	1,391,729.81	(25,189.80	)	77.74		—	—	1.1250	1.0634	Jun-Dec	42.80	6,258.98		20160712	20210630
912828ST8	UNITED STATES TREASURY SENIOR GOVT BND	1	33,660,296.72	33,646,757.32	33,725,000.00	33,673,298.20	(26,540.88	)	12,634.65		—	—	1.2500	1.3359	Apr-Oct	71,024.13	187,411.05		20161221	20190430
912828P20	UNITED STATES TREASURY SENIOR GOVT BND	1	3,810,446.48	3,800,627.40	3,810,000.00	3,810,164.63	(9,537.23	)	(140.31	)	—	—	0.7500	0.7426	Jan-Jul	11,919.41	14,287.50		20160623	20180131
912828Q52	UNITED STATES TREASURY SENIOR GOVT BND	1	21,586,392.64	21,415,103.36	21,600,000.00	21,591,735.68	(176,632.32	)	2,341.80		—	—	0.8750	0.8843	Apr-Oct	39,762.29	96,951.92		20160426	20190415
912828R69	UNITED STATES TREASURY SENIOR GOVT BND	1	404,532.05	391,179.99	400,000.00	403,890.66	(12,710.67	)	(791.53	)	—	—	1.6250	1.4528	May-Nov	550.55	14,794.65		20160620	20230531
912828M56	UNITED STATES TREASURY SENIOR GOVT BND	1	1,844,718.75	1,800,557.84	1,800,000.00	1,838,726.91	(38,169.07	)	(2,108.99	)	—	—	2.2500	1.9700	May-Nov	5,172.55	20,250.00		20160120	20251115
912828N22	UNITED STATES TREASURY SENIOR GOVT BND	1	6,564,542.17	6,491,354.81	6,500,000.00	6,540,958.25	(49,603.44	)	(14,662.45	)	—	—	1.2500	0.8107	Jun-Dec	3,551.91	43,870.19		20160825	20181215
912828T83	UNITED STATES TREASURY SENIOR GOVT BND	1	2,084,007.43	2,084,103.00	2,100,000.00	2,088,633.72	(4,530.72	)	8,168.90		—	—	0.7500	1.1609	Apr-Oct	2,653.53	18,986.41		20161213	20181031
912828U24	UNITED STATES TREASURY SENIOR GOVT BND	1	1,189,302.73	1,194,693.51	1,225,000.00	1,191,230.95	3,462.56		10,068.72		—	—	2.0000	2.3291	May-Nov	3,129.08	111,904.70		20161121	20261115
912828Q37	UNITED STATES TREASURY SENIOR GOVT BND	1	263,291.99	260,651.35	265,000.00	263,671.59	(3,020.24	)	170.65		—	—	1.2500	1.3877	Mar-Sep	832.65	1,656.25		20160523	20210331
912828U81	UNITED STATES TREASURY SENIOR GOVT BND	1	5,007,812.50	5,036,600.10	5,000,000.00	5,007,186.60	29,413.50		(863.85	)	—	—	2.0000	1.9664	Jun-Dec	271.74	46,149.17		20170125	20211231

9128282A7	UNITED STATES TREASURY SENIOR GOVT BND		1	6,478,032.23	6,198,813.82	6,625,000.00	6,487,216.23	(288,402.41	)	6,972.52		—	—	1.5000	1.5745	Feb-Aug	37,334.26	59,317.26		20160826	20260815
912828TW0	UNITED STATES TREASURY SENIOR GOVT BND		1	3,394,610.04	3,395,784.00	3,400,000.00	3,399,399.44	(3,615.44	)	2,023.70		—	—	0.7500	1.1572	Apr-Oct	4,296.19	23,840.47		20140930	20171031
912828R85	UNITED STATES TREASURY SENIOR GOVT BND		1	39,241,526.73	38,862,511.98	39,240,000.00	39,213,797.04	(351,285.06	)	(10,976.95	)	—	—	0.8750	0.6534	Jun-Dec	15,009.83	136,893.75		20160616	20190615
912828R51	UNITED STATES TREASURY SENIOR GOVT BND		1	19,042,024.11	18,931,980.00	19,000,000.00	19,019,608.88	(87,628.88	)	(22,551.58	)	—	—	0.8750	0.7771	May-Nov	14,081.28	157,923.08		20160608	20180531
912828L57	UNITED STATES TREASURY SENIOR GOVT BND		1	1,775,501.55	1,734,284.95	1,750,000.00	1,770,535.06	(36,250.11	)	(2,285.81	)	—	—	1.7500	1.5165	Mar-Sep	7,698.09	22,622.28		20160229	20220930
912828XS4	UNITED STATES TREASURY SENIOR GOVT BND		1	33,477,060.03	33,423,286.34	33,500,000.00	33,477,958.06	(54,671.72	)	898.03		—	—	1.2500	1.2838	May-Nov	35,467.90	(2,424.87	)	20170525	20190531
912828V98	UNITED STATES TREASURY SENIOR GOVT BND		1	7,643,753.90	7,665,735.00	7,700,000.00	7,644,975.51	20,759.49		2,170.02		—	—	2.2500	2.3333	Feb-Aug	65,088.39	(6,168.85	)	20170405	20270215
912828X54	UNITED STATES TREASURY SENIOR GOVT BND		1	3,285,877.10	3,284,540.10	3,285,000.00	3,285,842.18	(1,302.08	)	(34.92	)	—	—	1.0725	1.0585	J-A-J-O	5,635.33	(2,811.82	)	20170531	20190430
912828M64	UNITED STATES TREASURY SENIOR GOVT BND		1	20,298,967.18	20,256,678.00	20,280,000.00	20,292,005.90	(35,327.90	)	(4,323.66	)	—	—	1.2500	1.2472	May-Nov	32,376.35	126,750.00		20151204	20181115
912828N63	UNITED STATES TREASURY SENIOR GOVT BND		1	21,121,880.04	20,927,549.79	21,000,000.00	21,064,600.90	(137,051.11	)	(20,771.60	)	—	—	1.1250	0.9140	Jan-Jul	108,988.26	118,125.00		20160205	20190115
912828S92	UNITED STATES TREASURY SENIOR GOVT BND		1	1,245,214.84	1,193,550.01	1,250,000.00	1,245,810.18	(52,260.17	)	329.09		—	—	1.2500	1.3075	Jan-Jul	6,517.61	7,812.50		20160804	20230731
912828W48	UNITED STATES TREASURY SENIOR GOVT BND		1	1,961,718.75	2,002,480.02	2,000,000.00	1,963,241.21	39,238.81		1,773.22		—	—	2.1250	2.4253	Feb-Aug	14,205.16	4,981.61		20170310	20240229
912810RX8	UNITED STATES TREASURY SENIOR GOVT BND		1	944,405.17	955,016.35	925,000.00	944,371.98	10,644.37		(33.19	)	—	—	3.0000	2.8948	May-Nov	3,544.17	(1,206.52	)	20170530	20470515
912828T91	UNITED STATES TREASURY SENIOR GOVT BND		1	5,686,357.43	5,722,602.39	5,875,000.00	5,701,644.91	20,957.48		19,170.03		—	—	1.6250	2.1256	Apr-Oct	16,084.41	87,081.74		20161121	20231031
912828S43	UNITED STATES TREASURY SENIOR GOVT BND		1	4,936,718.75	4,936,299.90	5,000,000.00	4,937,473.48	(1,173.58	)	754.73		—	—	0.7500	1.3741	Jan-Jul	17,299.72	(16,367.40	)	20170621	20190715
912828V56	UNITED STATES TREASURY SENIOR GOVT BND		1	3,497,955.10	3,487,574.90	3,500,000.00	3,498,359.40	(10,784.50	)	404.30		—	—	1.1250	1.1550	Jan-Jul	16,424.38	(978.94	)	20170208	20190131
912828R36	UNITED STATES TREASURY SENIOR GOVT BND		1	2,024,843.75	1,896,459.96	2,000,000.00	2,022,687.70	(126,227.74	)	(1,186.91	)	—	—	1.6250	1.4880	May-Nov	4,150.82	16,250.00		20160801	20260515
912828W89	UNITED STATES TREASURY SENIOR GOVT BND		1	7,172,437.50	7,204,536.29	7,200,000.00	7,173,763.28	30,773.01		1,325.78		—	—	1.8750	1.9557	Mar-Sep	33,934.43	—		20170330	20220331
912828R44	UNITED STATES TREASURY SENIOR GOVT BND		1	16,791,489.16	16,648,296.00	16,800,000.00	16,794,775.92	(146,479.92	)	1,387.35		—	—	0.8750	0.9574	May-Nov	18,774.46	74,213.05		20160511	20190515
912828U73	UNITED STATES TREASURY SENIOR GOVT BND		1	21,703,584.00	21,707,805.00	21,750,000.00	21,711,827.20	(4,022.20	)	9,428.06		—	—	1.3750	1.4458	Jun-Dec	13,073.78	167,436.47		20161214	20191215
913017BZ1	UNITED TECHNOLOGIES CORPORATN JR SUB COR		2FE	2,258,437.50	2,252,655.00	2,250,000.00	2,252,424.42	230.58		(1,409.92	)	—	—	1.7780	1.6499	Feb-Aug	16,668.75	20,628.50		20150429	20180504
913017CG2	UNITED TECHNOLOGIES CORPORATN SENIOR COR	2	1FE	608,639.70	601,533.20	610,000.00	608,813.27	(7,280.07	)	129.75		—	—	1.9500	1.9971	May-Nov	1,982.50	5,947.50		20161027	20211101
913017CM9	UNITED TECHNOLOGIES CORPORATN SENIOR COR		1FE	1,499,265.00	1,502,400.06	1,500,000.00	1,499,302.69	3,097.37		37.69		—	—	1.9000	1.9169	May-Nov	4,512.49	—		20170501	20200504
91324PCT7	UNITEDHEALTH GROUP INCORPORATE SENIOR CO		1FE	314,883.45	314,719.66	315,000.00	314,935.26	(215.60	)	19.48		—	—	1.7000	1.7129	Feb-Aug	2,023.00	2,677.50		20160222	20190215
BRTATCSJ8	UNITYMEDIA FINANCE LLC SECURED TERM LOAN	2	3FE	1,507,607.02	1,506,610.97	1,511,649.30	1,507,607.02	(996.05	)	—		—	—	—	0.0308	M-J-S-D	—	—		20170608	20250908
BRT83QZZ6	UNIVAR USA INC SENIOR SECURED TERM LOAN	2	4FE	2,278,634.55	2,283,027.80	2,282,076.18	2,278,959.59	4,068.21		342.01		—	—	—	0.0708	M-J-S-D	—	29,585.60		20170123	20220701
91412GYG4	UNIVERSITY CALIFORNIA MUNI BND REV		1FE	61,558.00	59,803.50	50,000.00	60,394.63	(591.13	)	(845.23	)	—	—	5.0000	1.3101	May-Nov	319.45	1,250.00		20161019	20230515
91412GTA3	UNIVERSITY CALIFORNIA MUNITAX BND REV		1FE	2,082,058.50	2,046,099.60	2,010,000.00	2,042,304.32	3,795.28		(8,422.26	)	—	—	2.5660	1.6901	May-Nov	6,590.35	25,788.30		20150206	20190515
91412GUW3	UNIVERSITY CALIFORNIA MUNITAX BND REV		1FE	2,600,000.00	2,637,050.00	2,600,000.00	2,600,000.00	37,050.00		—		—	—	2.3640	2.3640	May-Nov	7,853.73	30,732.00		20150601	20190515
914440LQ3	UNIVERSITY MASS BLDG AUTH MUNITAX BND R		1FE	995,610.00	999,020.00	1,000,000.00	998,539.63	480.37		537.28		—	—	1.3330	1.4439	May-Nov	2,221.67	6,665.00		20140930	20181101
914455PP9	UNIVERSITY MICH UNIV REVS MUNI BND REV		1FE	63,018.00	61,651.50	50,000.00	62,057.64	(406.14	)	(721.17	)	—	—	5.0000	1.6700	Apr-Oct	625.00	1,250.00		20161028	20250401
914682AM1	UNIVERSITY N MEX UNIV REVS MUNITAX BND R	2	1FE	816,107.40	826,750.80	810,000.00	810,000.00	16,750.80		—		—	—	7.8000	7.8000	Jun-Dec	175.50	40,560.00		20140930	20200630
91514AGB5	UNIVERSITY TEX UNIV REVS REF-F MUNI BND		1FE	58,596.50	57,336.00	50,000.00	57,555.65	(219.65	)	(886.74	)	—	—	5.0000	1.2308	Feb-Aug	944.45	520.84		20161026	20210815
BRT91H2F6	UNIVISION COMMUNICATIONS INC SENIOR SECU	2	4FE	6,021,000.76	5,911,453.63	6,025,946.62	6,021,192.32	(109,738.69	)	218.24		—	—	—	—	M-J-S-D	—	67,571.74		20170324	20240315

BRT8BM8S2	UPC FINANCING PARTNERSHIP SECURED TERM L		2	3FE	3,444,450.40	3,454,809.66	3,453,083.11	3,444,841.02	9,968.64		390.62		—	—	—	0.0302	J-A-J-O	—	50,013.54		20170202	20250415
90323WAF7	URSA RE LTD CORP BND 144A	D			7,250,000.00	7,262,615.00	7,250,000.00	7,250,000.00	12,615.00		—		—	—	6.0000	6.0189	F-M-A-N	53,630.14	—		20170510	20200527
90323WAB6	URSA RE LTD CORP BND 144A	D			2,499,375.00	2,500,475.00	2,500,000.00	2,499,511.60	963.40		136.60		—	—	5.0000	5.1166	M-J-S-D	10,273.98	35,560.56		20141114	20171207
90323WAE0	URSA RE LTD CORP BND 144A	D			6,250,000.00	6,257,812.50	6,250,000.00	6,250,000.00	7,812.50		—		—	—	3.5000	3.5086	F-M-A-N	—	—		20170510	20200527
90323WAA8	URSA RE LTD CORP BND 144A	D			1,250,000.00	1,252,200.00	1,250,000.00	1,250,000.00	2,200.00		—		—	—	4.4200	4.4406	M-J-S-D	4,541.10	24,227.46		20141114	20171207
90323WAC4	URSA RE LTD SENIOR CORP BND 144A	D			1,600,000.00	1,622,272.00	1,600,000.00	1,600,000.00	22,272.00		—		—	—	5.0000	5.0144	M-J-S-D	6,575.34	42,804.13		20150910	20180921
90323WAD2	URSA RE LTD SENIOR CORP BND 144A	D			750,000.00	753,712.50	750,000.00	750,000.00	3,712.50		—		—	—	4.0000	4.0165	M-J-S-D	2,465.75	16,302.04		20161121	20191210
BRSU0Q006	US ACUTE CARE SOLUTIONS LLC SENIOR SECUR				5,159,051.24	5,146,153.61	5,159,051.24	5,159,051.24	(12,897.63	)	—		—	—	—	—	M-J-S-D	—	239,202.04		20150519	20210515
902973AZ9	US BANCORP CAPSEC CORP BND		2		2,270,000.00	2,409,037.50	2,270,000.00	2,270,000.00	139,037.50		—		—	—	5.3000	5.3000	Apr-Oct	25,398.78	20,720.05		20170202	20491231
91159HHH6	US BANCORP SENIOR CORP BND MTN		2	1FE	1,262,787.50	1,260,299.96	1,250,000.00	1,257,074.24	3,225.72		(1,981.51	)	—	—	2.2000	1.8670	Apr-Oct	5,041.67	13,750.00		20160114	20190425
91159HHE3	US BANCORP SENIOR CORP BND MTN		2	1FE	4,993,800.00	5,025,350.50	5,000,000.00	4,998,248.37	27,102.13		624.13		—	—	1.9500	1.9760	May-Nov	12,458.33	48,750.00		20131104	20181115
90331HMH3	US BANK NATIONAL ASSOCIATION SENIOR CORP		2	1FE	3,997,760.00	4,000,120.40	4,000,000.00	3,999,851.36	269.04		375.01		—	—	1.3750	1.3941	Mar-Sep	16,805.56	27,500.00		20140908	20170911
90331HMQ3	US BANK NATIONAL ASSOCIATION SENIOR CORP		2	1FE	1,697,416.00	1,699,337.00	1,700,000.00	1,699,501.18	(164.18	)	473.62		—	—	1.3500	1.4020	Jan-Jul	9,881.25	21,262.50		20150122	20180126
90331HMY6	US BANK NATIONAL ASSOCIATION SENIOR CORP		2	1FE	249,305.00	248,527.51	250,000.00	249,574.84	(1,047.33	)	163.08		—	—	1.4000	1.4951	Apr-Oct	631.94	3,150.00		20160421	20190426
90331HNB5	US BANK NATIONAL ASSOCIATION SENIOR CORP		2	1FE	249,472.50	250,840.02	250,000.00	249,547.28	1,292.74		74.78		—	—	2.0000	2.0729	Jan-Jul	2,180.56	—		20170119	20200124
90331HML4	US BANK NATIONAL ASSOCIATION SENIOR CORP		2	1FE	7,738,737.50	7,797,742.83	7,745,000.00	7,742,024.25	55,718.58		653.24		—	—	2.1250	2.1441	Apr-Oct	28,801.73	91,498.97		20141023	20191028
BRSUR9351	USAGM HOLDCO LLC SENIOR SECURED TERM NOT			4FE	3,752,615.19	3,801,993.62	3,797,247.06	3,760,027.99	41,965.63		2,931.66		—	—	—	0.1419	M-J-S-D	—	73,220.74		20150727	20220728
90327CAD2	USAOT_15-1 SENIOR ABS_16-1 A4		4	1FE	425,977.21	421,360.25	426,000.00	425,981.28	(4,621.03	)	2.66		—	—	1.3900	1.3953	Monthly	263.18	2,960.70		20160912	20211115
90327CAB6	USAOT_16-1 ABS 16-1		4		623,723.25	623,220.51	623,738.84	623,727.64	(507.13	)	7.63		—	—	1.0700	1.0733	Monthly	296.62	5,004.86		20160912	20190315
BRTAY5C13	USIC HOLDINGS INC SENIOR SECURED TERM LO		2		723,263.39	725,860.66	724,954.47	723,274.80	2,585.86		15.66		—	—	—	0.0355	M-J-S-D	—	1,490.86		20170615	20231208
91802RCX5	UTILITY DEBT SECURITIZATION AU MUNI BND		2	1FE	587,810.00	600,210.00	500,000.00	586,618.62	13,591.38		(1,191.38	)	—	—	5.0000	2.7996	Jun-Dec	1,111.11	2,500.00		20170504	20331215
91802RAT6	UTILITY DEBT SECURITIZATION AU MUNITAX B			1FE	1,887,441.00	1,897,188.00	1,900,000.00	1,892,443.67	4,744.33		1,350.28		—	—	2.0420	2.1474	Jun-Dec	1,724.36	20,420.00		20140930	20210615
BRT8AT551	V SHIPS USA LLC SENIOR SECURED TERM LOAN			4FE	528,523.49	526,319.55	528,523.49	528,523.49	(2,203.94	)	—		—	—	—	—	M-J-S-D	—	6,208.32		20170127	20240117
BRSS0WHT7	VALEANT PHARMACEUTICALS INTERN SENIOR SE	A	4	3FE	440,488.05	455,370.68	449,477.58	442,814.67	12,556.01		1,029.85		—	—	—	0.3101	M-J-S-D	—	14,640.63		20151016	20220401
92329XAN8	VENTR_14-16A ABS 14_14 16A A3R 144A	D	4		1,000,000.00	999,988.90	1,000,000.00	1,000,000.00	(11.10	)	—		—	—	—	—	J-A-J-O	—	—		20170327	20260415
92329YAJ5	VENTR_14-17A MEZZANIN ABS 14-17A 144A		2		1,000,000.00	1,000,724.00	1,000,000.00	1,000,000.00	724.00		—		—	—	—	—	J-A-J-O	—	—		20170622	20260715
BRSNY4KA0	VERIFONE INC SENIOR SECURED TERM NOTES			3FE	414,701.80	417,306.68	416,785.70	415,580.98	1,725.70		151.78		—	—	—	0.0710	M-J-S-D	—	7,693.35		20140701	20210708
BRTATPUU1	VERITEXT CORP SENIOR SECURED TERM LOAN				5,940,048.64	5,910,348.40	5,940,048.64	5,940,048.64	(29,700.24	)	—		—	—	—	—	M-J-S-D	—	88,762.78		20170601	20210129
92343VDW1	VERIZON COMMUNICATIONS INC SENIOR CORP B			2FE	512,358.05	522,292.40	515,000.00	512,500.82	9,791.58		142.77		—	—	3.1250	3.2370	Mar-Sep	4,694.02	—		20170313	20220316
92343VDD3	VERIZON COMMUNICATIONS INC SENIOR CORP B			2FE	398,980.00	369,120.00	400,000.00	399,064.85	(29,944.85	)	46.17		—	—	2.6250	2.6540	Feb-Aug	3,966.67	5,658.33		20160727	20260815
92343VBQ6	VERIZON COMMUNICATIONS INC SENIOR CORP B			2FE	712,619.50	694,420.95	650,000.00	692,822.59	1,598.36		(10,676.15	)	—	—	4.5000	1.9890	Mar-Sep	8,612.50	54,116.00		20151016	20200915
92343VDF8	VERIZON COMMUNICATIONS INC SENIOR CORP B			2FE	2,499,775.00	2,471,450.05	2,500,000.00	2,499,845.21	(28,395.16	)	593.27		—	—	1.3750	1.3780	Feb-Aug	12,986.11	18,524.31		20160727	20190815
92343VBJ2	VERIZON COMMUNICATIONS INC SENIOR CORP B		2	2FE	710,829.00	686,973.00	700,000.00	709,601.28	(22,628.28	)	(883.09	)	—	—	2.4500	2.1639	May-Nov	2,858.34	8,575.00		20161018	20221101
92343VDM3	VERIZON COMMUNICATIONS INC SENIOR CORP B			2FE	20,246,839.20	20,259,837.31	20,137,000.00	20,239,378.62	20,458.69		(7,540.83	)	—	—	2.9460	3.2383	Mar-Sep	243,885.93	(36,921.89	)	20170203	20220315

92343VCN2	VERIZON COMMUNICATIONS INC SENIOR CORP B		2	2FE	1,033,370.00	1,013,600.01	1,000,000.00	1,026,399.43	(12,799.42	)	(3,959.08	)	—	—		3.0000	2.3319	May-Nov	5,000.00	23,750.00		20160426	20211101
92347XAA4	VERIZON OWNER TRUST VZOT_16-1A SENIOR AB		4	1FE	1,499,747.40	1,492,579.65	1,500,000.00	1,499,826.42	(7,246.77	)	40.92		—	—		1.4200	1.4299	Monthly	650.83	10,650.00		20160712	20210120
BRSX3CBW6	VERTICALSCOPE INC SECURED TERM LOAN				1,533,281.25	1,521,781.64	1,533,281.25	1,533,281.25	(11,499.61	)	—		—	—		—	—	M-J-S-D	—	39,967.92		20151221	20201022
BRSX3CBR7	VERTICALSCOPE INC SENIOR SECURED TERM LO	A			5,132,812.50	5,094,316.41	5,132,812.50	5,132,812.50	(38,496.09	)	—		—	—		—	—	M-J-S-D	—	134,138.06		20151021	20201022
92557UAN7	VIBR_15-3A MEZZANIN ABS 15-3A-A2R 144A	D	4		1,000,000.00	996,424.70	1,000,000.00	1,000,000.00	(3,575.30	)	—		—	—		3.2062	3.2189	J-A-J-O	6,412.44	10,224.39		20161201	20260420
92778UAQ3	VIRGINIA COMWLTH TRANSN BRD MUNI BND REV			1FE	61,664.50	60,346.00	50,000.00	60,695.96	(349.96	)	(747.44	)	—	—		5.0000	1.6207	Mar-Sep	736.11	875.00		20161026	20240315
927804FM1	VIRGINIA ELECTRIC AND POWER CO SENIOR CO		2	2FE	4,008,660.00	4,004,500.00	4,000,000.00	4,000,818.97	3,681.03		(1,087.49	)	—	—		1.2000	1.2540	Jan-Jul	22,133.33	24,000.00		20130103	20180115
BRT7CBGP4	VIRIGIN MEDIA SENIOR SECURED TERM NOTES			3FE	2,675,856.94	2,682,563.34	2,682,563.34	2,676,271.91	6,291.43		410.43		—	—		—	0.0305	M-J-S-D	—	45,068.56		20161215	20250131
92826CAA0	VISA INC SENIOR CORP BND			1FE	3,048,383.50	3,048,719.00	3,050,000.00	3,049,630.05	(911.05	)	517.06		—	—		1.2000	1.2269	Jun-Dec	1,728.33	24,700.00		20151209	20171214
92826CAC6	VISA INC SENIOR CORP BND		2	1FE	1,987,616.25	2,011,438.77	1,975,000.00	1,985,076.03	26,362.74		(907.98	)	—	—		2.8000	2.6189	Jun-Dec	2,611.40	30,667.78		20151209	20221214
92826CAB8	VISA INC SENIOR CORP BND		2	1FE	3,402,105.75	3,431,933.55	3,405,000.00	3,402,967.18	28,966.37		280.01		—	—		2.2000	2.2181	Jun-Dec	3,537.41	37,455.00		20151209	20201214
92867TAD7	VOLKSWAGEN AUTO LOAN ENHANCED ABS _14-2-		4	1FE	1,059,819.80	1,059,046.04	1,060,000.00	1,059,951.40	(905.36	)	32.22		—	—		1.3900	1.3988	Monthly	450.21	7,366.98		20141015	20210520
928667AD6	VOLKSWAGEN CREDIT AUTO MASTER ABS_14-1A-		4	1FE	3,819,901.45	3,819,656.08	3,820,000.00	3,819,964.74	(308.66	)	(15.71	)	—	—		1.4000	1.4047	Monthly	1,634.11	26,740.02		20140812	20190722
BRSK76500	VOLKSWAGEN FINANCIAL SERVICES CORP BND E	B		1FE	908,378.81	780,141.57	600,000.00	904,954.59	673.72		(338.24	)	—	(125,486.74	)	1.7500	1.0376	Feb-Aug	4,897.97	6,853.88		20150416	20170821
N9T99JBP9	VOLKSWAGEN FINANCIAL SERVICES SENIOR COR	B			762,332.32	787,415.28	600,000.00	761,560.22	(3,303.44	)	(772.10	)	—	29,158.50		1.7500	1.2130	April	2,802.52	(71.97	)	20170413	20200417
BRT9JFES0	VOLKSWAGEN FINANCIAL SERVICES SENIOR COR	B			1,097,053.70	1,143,302.10	880,000.00	1,097,103.10	1,134.85		49.40		—	45,064.14		1.5000	1.5161	April	3,758.06	—		20170405	20210412
91830XAE2	VOYA_12-3AR ABS 12-3AR CR 144A	D	4		4,000,000.00	3,999,848.00	4,000,000.00	4,000,000.00	(152.00	)	—		—	—		4.1084	4.1288	J-A-J-O	34,237.00	78,882.81		20150324	20221015
92915HAE3	VOYA_16-3A MEZZANIN ABS 16-3A 144A	D	4		1,500,000.00	1,500,872.40	1,500,000.00	1,500,000.00	872.40		—		—	—		3.5584	3.5731	J-A-J-O	10,971.86	23,984.78		20160928	20271018
929160AT6	VULCAN MATERIALS SENIOR CORP BND		2	2FE	1,875,524.49	1,928,813.37	1,883,000.00	1,875,708.88	53,104.49		226.72		—	—		3.9000	3.9480	Apr-Oct	21,827.11	5,027.75		20170309	20270401
931266AA8	WABR_16-BOCA LCF SENIOR CMBS_16-BOCA A 1		4		100,000.00	100,309.79	100,000.00	100,000.00	309.79		—		—	—		2.5090	2.5220	Monthly	111.51	1,115.84		20160712	20290615
931427AQ1	WALGREENS BOOTS ALLIANCE INC SENIOR CORP		2	2FE	214,458.20	214,561.40	215,000.00	214,508.24	53.16		23.20		—	—		3.4500	3.4801	Jun-Dec	618.13	3,708.75		20160526	20260601
932117KA1	WALL TWP N J SCH DIST MUNITAX BND GO			1FE	391,778.40	390,148.20	390,000.00	390,025.26	122.94		(325.86	)	—	—		2.1160	1.9469	Jan-Jul	3,805.27	4,126.20		20140930	20170715
25468PDF0	WALT DISNEY COMPANY (THE) CORP BND			1FE	453,917.10	464,568.64	455,000.00	454,086.63	10,482.01		56.74		—	—		3.1500	3.1780	Mar-Sep	4,140.50	10,288.69		20150914	20250917
25468PDE3	WALT DISNEY COMPANY (THE) CORP BOND			1FE	4,032,960.00	4,025,519.72	4,000,000.00	4,021,807.95	3,711.77		(3,242.29	)	—	—		2.1500	1.9740	Mar-Sep	24,844.44	43,000.00		20151006	20200917
25468PCW4	WALT DISNEY COMPANY (THE) SENIOR CORP BN			1FE	755,389.44	777,745.99	776,000.00	760,397.47	17,348.52		1,318.46		—	—		2.3500	2.7520	Jun-Dec	1,519.66	9,118.00		20150727	20221201
25468PDL7	WALT DISNEY COMPANY (THE) SENIOR CORP BN			1FE	1,868,700.00	1,845,581.25	1,875,000.00	1,870,715.98	(25,134.73	)	1,040.89		—	—		0.8750	0.9889	Jan-Jul	7,701.82	8,203.13		20160707	20190712
25468PDJ2	WALT DISNEY COMPANY (THE) SENIOR CORP BN			1FE	409,602.30	413,161.08	410,000.00	409,717.34	3,443.74		37.13		—	—		2.3000	2.3200	Feb-Aug	3,641.03	4,715.00		20160105	20210212
25468PDU7	WALT DISNEY COMPANY (THE) SENIOR CORP BN			2FE	1,698,028.00	1,698,334.00	1,700,000.00	1,698,071.88	262.12		43.88		—	—		1.8000	1.8400	Jun-Dec	2,125.00	—		20170601	20200605
92922F3N6	WAMU_05-A12 CMO_05-AR12 1A8		4	1FM	1,235,318.18	1,248,494.21	1,247,993.14	1,236,667.77	11,826.44		1,492.29		—	—		2.7869	2.9943	Monthly	2,898.40	18,681.54		20080110	20351025
93730PAG1	WASHINGTON BIOMEDICAL RESEARCH MUNITAX B			1FE	1,281,226.50	1,218,218.00	1,150,000.00	1,207,003.96	11,214.04		(13,843.09	)	—	—		4.8810	2.3300	Jan-Jul	28,065.75	28,065.75		20140930	20190701
93974CQX1	WASHINGTON STATE MUNITAX BND GO			1FE	4,875,697.20	4,658,403.60	4,440,000.00	4,650,058.19	8,345.41		(49,136.25	)	—	—		4.0190	1.7002	Feb-Aug	74,351.50	89,221.80		20150226	20190801
939720LK2	WASHINGTON STATE MUNITAX BND REV			1FE	2,685,609.00	2,686,095.00	2,700,000.00	2,695,398.05	(9,303.05	)	2,278.32		—	—		1.1500	1.3221	Jan-Jul	15,525.00	15,525.00		20150429	20180701
939720LL0	WASHINGTON STATE MUNITAX BND REV			1FE	587,188.80	601,442.60	605,000.00	597,290.98	4,151.62		1,877.36		—	—		1.4500	2.1040	Jan-Jul	4,386.25	4,386.25		20140930	20190701
949746RG8	WELLS FARGO & COMPANY CAPSEC CORP BND		2	2FE	3,543,750.00	3,745,000.00	3,500,000.00	3,543,750.00	201,250.00		—		—	—		5.9000	5.8272	Jun-Dec	9,177.78	103,250.00		20141211	0

949746PM7	WELLS FARGO & COMPANY CAPSEC CORP BND		2	2FE	4,726,975.00	4,513,125.00	4,350,000.00	4,445,245.43	67,879.57		(66,254.83	)	—	—		7.9800	5.0779	Mar-Sep	102,210.50	244,919.50		20141022	20491231
949746RN3	WELLS FARGO & COMPANY CAPSEC CORP BND		2	2FE	1,330,000.00	1,474,637.50	1,330,000.00	1,330,000.00	144,637.50		—		—	—		5.8750	5.8750	Jun-Dec	3,472.78	39,068.75		20150115	0
949746SH5	WELLS FARGO & COMPANY SENIOR CORP BND			1FE	592,062.00	584,322.00	600,000.00	592,499.87	(8,177.87	)	347.18		—	—		3.0000	3.1560	Apr-Oct	3,400.00	8,900.00		20161109	20261023
949746SA0	WELLS FARGO & COMPANY SENIOR CORP BND			1FE	7,520,027.10	7,506,123.66	7,610,000.00	7,529,398.64	(23,274.98	)	8,789.25		—	—		2.1000	2.1199	Jan-Jul	68,807.09	76,258.29		20160718	20210726
94974BFU9	WELLS FARGO & COMPANY SENIOR CORP BND			1FE	3,093,428.00	3,114,414.88	3,100,000.00	3,097,541.17	16,873.71		658.17		—	—		2.1250	2.1700	Apr-Oct	12,626.04	32,937.51		20140414	20190422
949746SK8	WELLS FARGO & COMPANY SENIOR CORP BND		2	1FE	5,000,000.00	5,061,700.46	5,000,000.00	5,000,000.00	61,700.46		—		—	—		3.0690	3.0690	Jan-Jul	66,921.26	4,859.25		20170117	20230124
BRT85NZX6	WELLS FARGO & COMPANY SENIOR CORP BND EM				606,035.00	652,956.34	495,000.00	606,251.54	13,811.44		216.54		—	32,893.37		2.1250	2.2130	December	5,802.24	—		20170120	20231220
BRT3H84K9	WELLS FARGO & COMPANY SENIOR CORP BND EM			1FE	295,778.54	289,527.79	225,000.00	295,745.23	(3,054.54	)	(17.84	)	—	(3,162.90	)	2.0000	2.0150	July	5,444.82	—		20160719	20250728
94974BGM6	WELLS FARGO & COMPANY SENIOR CORP BND MT			1FE	3,129,824.00	3,138,036.91	3,100,000.00	3,129,488.09	8,548.82		(505.59	)	—	—		2.6000	2.0930	Jan-Jul	35,598.33	(5,488.89	)	20150715	20200722
94988J5G8	WELLS FARGO BANK NA SENIOR CORP BND			1FE	7,489,650.00	7,527,000.08	7,500,000.00	7,491,540.51	35,459.57		2,352.97		—	—		2.1500	2.1972	Jun-Dec	11,197.92	117,563.18		20161201	20191206
94988J5E3	WELLS FARGO BANK NA SENIOR CORP BND			1FE	4,000,000.00	4,024,280.08	4,000,000.00	4,000,000.00	24,280.08		—		—	—		1.7920	1.7920	F-M-A-N	7,566.22	31,827.33		20160525	20190524
94988J5A1	WELLS FARGO BANK NA SENIOR CORP BND			1FE	1,949,434.50	1,951,189.50	1,950,000.00	1,949,838.14	1,351.36		143.54		—	—		1.6500	1.6650	Jan-Jul	14,210.63	16,087.50		20160122	20180122
94989EAB3	WELLS_15-LC20 SENIOR CMBS 15-LC20 A2		4	1FM	875,480.45	862,874.61	850,000.00	863,736.17	(861.56	)	(2,666.85	)	—	—		2.6780	2.0206	Monthly	1,896.92	11,381.52		20150325	20500415
95058XAB4	WENDYS FUNDING LLC WEN_15-1A ABS_15-1A A		4		2,456,250.00	2,517,975.56	2,456,250.00	2,456,250.00	61,725.56		—		—	—		4.0800	4.0980	M-J-S-D	4,454.00	50,298.75		20150519	20450615
BRT1KDNS0	WEST STAR AVIATION INC SECURED REVOLVE L				184,729.03	183,217.94	184,729.03	184,729.03	(1,511.09	)	—		—	—		—	—	M-J-S-D	—	5,197.06		20170104	20210428
BRT1KDPP4	WEST STAR AVIATION INC SENIOR SECURED TE				3,864,301.12	3,844,979.62	3,864,301.12	3,864,301.12	(19,321.50	)	—		—	—		—	—	M-J-S-D	—	71,568.03		20160428	20220428
960895VZ0	WESTMORELAND CNTY PA MUNITAX BND GO			1FE	575,742.80	580,661.20	580,000.00	578,517.80	2,143.40		510.42		—	—		1.6420	1.8254	Jun-Dec	793.63	4,761.80		20140930	20181201
961214CT8	WESTPAC BANKING CORP SENIOR CORP BND	D		1FE	1,164,965.05	1,158,697.35	1,165,000.00	1,164,978.05	(6,280.70	)	5.73		—	—		1.6500	1.6510	May-Nov	2,563.00	9,611.25		20160509	20190513
961214CY7	WESTPAC BANKING CORP SENIOR CORP BND	D		1FE	1,984,120.00	1,983,340.00	2,000,000.00	1,987,627.63	(4,287.63	)	5,307.12		—	—		1.6000	1.8970	Feb-Aug	11,733.33	41,777.78		20161115	20190819
961214CZ4	WESTPAC BANKING CORP SENIOR CORP BND	D		1FE	5,000,000.00	5,022,650.55	5,000,000.00	5,000,000.00	22,650.55		—		—	—		1.7384	1.7421	F-M-A-N	9,657.72	38,281.24		20160811	20190819
38174TAA4	WESTW_07-2A ABS 16-33A 144A	D	4		997,500.00	997,068.70	1,000,000.00	997,774.10	(705.40	)	243.91		—	—		3.6517	3.7102	F-M-A-N	4,057.47	17,497.28		20161101	20281121
94989KAV5	WFCM LCF SENIOR CMBS 15-C29 A4		4	1FM	2,151,110.34	2,156,547.50	2,075,000.00	2,149,839.93	6,707.57		(1,270.41	)	—	—		3.6370	3.1087	Monthly	6,288.98	4,402.27		20170505	20480615
94988HAD3	WFCM_12-LC5 SENIOR CMBS 12-LC5		4	1FM	2,286,210.94	2,268,202.46	2,250,000.00	2,271,186.55	(2,984.09	)	(4,308.95	)	—	—		2.5280	2.1298	Monthly	4,740.00	28,440.00		20150922	20451015
94988XAV8	WFCM_14-LC16 CMBS_14-LC16 ASB		4		5,758,345.31	5,670,983.62	5,430,000.00	5,694,959.45	(23,975.83	)	(28,858.12	)	—	—		3.4770	2.2924	Monthly	15,733.44	94,400.64		20160524	20500815
94989DAW9	WFCM_15-C27 SENIOR SENIOR CMBS 15-C27 A5		4	1FE	3,089,817.01	3,073,859.94	3,000,000.00	3,069,919.68	3,940.26		(4,374.55	)	—	—		3.4510	3.0962	Monthly	8,627.51	51,765.06		20150303	20480215
94989NBE6	WFCM_15-C30 LCF SENIOR CMBS 15-C30		4	1FM	1,210,178.33	1,220,927.70	1,175,000.00	1,203,895.31	17,032.39		(1,690.81	)	—	—		3.6640	3.3083	Monthly	3,587.67	21,526.02		20150727	20580915
94989WAS6	WFCM_15-C31 LCF SENIOR CMBS 15-C31		4	1FM	1,038,984.38	1,042,139.97	1,000,000.00	1,037,702.71	4,437.26		(1,281.67	)	—	—		3.6950	3.2023	Monthly	3,079.17	9,134.87		20170227	20481115
94989HAF7	WFCM_15-NXS1 PRELCF SENIOR CMBS 15-NXS1		4	1FM	1,023,593.75	1,012,819.98	1,000,000.00	1,015,615.53	(2,795.55	)	(683.11	)	—	—		2.6320	2.1432	Monthly	2,193.33	13,159.98		20150923	20480515
94989VAD1	WFCM_15-NXS3 LCF SENIOR CMBS_15-NXS3 A4		4		2,879,502.70	2,901,329.24	2,803,000.00	2,867,634.28	33,694.96		(3,550.71	)	—	—		3.6170	3.2653	Monthly	8,448.71	50,692.26		20150925	20570915
94989VAB5	WFCM_15-NXS3 PRELCF SENIOR CMBS_15-NXS3		4		1,029,972.00	1,018,340.00	1,000,000.00	1,022,149.60	(3,809.60	)	528.71		—	—		2.8480	2.3398	Monthly	2,373.33	14,239.98		20150925	20570915
95001FAZ8	WFCM_17-RC1 CMBS_17-RC1-AS		4		515,527.34	514,037.80	500,000.00	515,527.34	(1,489.54	)	—		—	—		3.8440	3.4643	Monthly	213.56	(213.56	)	20170629	20600115
94989YBB8	WFCMT_16-C32 SENIOR SUB CMBS_16-C32 AS		4		1,287,447.50	1,304,969.25	1,250,000.00	1,282,797.86	22,171.39		(1,723.07	)	—	—		3.9520	3.6006	Monthly	4,116.67	24,700.02		20160203	20590115
949781AA6	WFMBS CMO 05-AR1 1A1		4	NR*Z*	812,766.61	844,148.66	832,631.05	815,979.65	28,169.01		2,897.31		—	—		3.1160	3.7234	Monthly	2,162.08	14,225.46		20060718	20350225
94982BAG5	WFMBS CMO 05-AR8 3A2		4	1FM	200,466.29	209,083.81	203,939.64	201,227.96	7,855.85		494.37		—	—		3.3573	3.7196	Monthly	570.56	3,570.51		20051215	20350625

94981NAH8	WFMBS_05-AR4 CMO 05-AR4 2A2		4	1FM	513,852.20	530,307.10	528,701.28	517,546.65	12,760.45		2,697.53		—	—		3.3147	4.0428	Monthly	1,460.42	9,631.35	20060719	20350425
981464DG2	WFNMT_12-C ABS 12-C		4	1FE	1,399,466.46	1,408,821.82	1,400,000.00	1,399,882.92	8,938.90		44.45		—	—		2.2300	2.2469	Monthly	1,387.56	15,609.96	20120713	20220815
981464EN6	WFNMT_14-C SENIOR ABS 14-C		4		719,834.40	720,057.62	720,000.00	719,955.40	102.22		23.26		—	—		1.5400	1.5515	Monthly	492.80	5,544.00	20141103	20210815
92936JBB9	WF-RBS COMMERCIAL MORTGAGE TRU LCF SENIO		4	1FM	12,262,155.48	11,822,350.55	11,267,000.00	12,072,565.79	(250,215.24	)	(121,587.56	)	—	—		3.6670	1.5101	Monthly	34,430.07	206,580.48	20160825	20441115
92937EAB0	WF-RBS COMMERCIAL MORTGAGE TRU PRELCF SE		4	1FM	610,901.49	607,185.25	606,730.22	607,818.73	(633.48	)	(1,059.09	)	—	—		2.0290	1.8114	Monthly	1,025.88	9,965.24	20140918	20450315
92930RAB8	WFRBS_12-C9 SENIOR CMBS 12-C9		4		1,402,522.04	1,391,493.28	1,391,757.67	1,396,488.68	(4,995.40	)	3,816.99		—	—		1.8290	1.6617	Monthly	2,121.27	13,013.00	20141009	20451115
92938EAF0	WFRBS_13-C16 PRELCF SENIOR CMBS_13-C16 A		4		6,303,750.00	6,089,835.60	6,000,000.00	6,070,914.52	18,921.08		(40,542.48	)	—	—		3.2230	1.8472	Monthly	16,115.00	96,690.00	20140721	20460915
92939FAR0	WFRBS_14-C21 PRELCF SENIOR CMBS_14-C21 A		4	1FM	1,043,750.00	1,018,547.40	1,000,000.00	1,028,433.61	(9,886.21	)	3,197.32		—	—		2.9170	2.1575	Monthly	2,430.83	14,584.98	20150407	20470815
92939KAF5	WFRBS_14-C24 PAC SENIOR CMBS_14-C24 ASB		4		4,218,135.54	4,081,539.36	3,935,000.00	4,178,507.74	(96,968.38	)	(24,918.37	)	—	—		3.3240	1.9442	Monthly	10,899.95	65,399.70	20160907	20471115
9698714J8	WILLIAMSON CNTY TENN MUNITAX BND GO			1FE	418,676.00	404,652.00	400,000.00	404,090.38	561.62		(2,675.04	)	—	—		2.9500	1.5747	Apr-Oct	2,950.00	5,900.00	20140930	20180401
97652QAC3	WIN_14-2 WHOLE CMO 14-2		4		1,340,935.13	1,336,232.75	1,322,747.34	1,336,577.95	(345.20	)	1,915.74		—	—		3.5000	3.1597	Monthly	3,858.01	24,550.66	20141008	20440920
BRSZFPAC4	Window SENIOR SECURED TERM LOAN	C			602,216.69	588,245.26	602,216.69	602,216.69	(13,971.43	)	—		—	—		—	—	M-J-S-D	—	11,117.78	20161130	20210201
BRSZFPNX4	Window TERM NOTES	C			5,446,221.15	5,364,527.83	5,446,221.15	5,446,221.15	(81,693.32	)	—		—	—		—	—	M-J-S-D	—	181,888.58	20160201	20220201
88433BAJ6	WINDR_16-2A MEZZANIN ABS 16-2A 144A	D	4		2,408,350.00	2,478,522.90	2,450,000.00	2,411,787.22	66,735.68		2,619.38		—	—		3.6696	3.9505	F-M-A-N	15,233.77	42,604.95	20160927	20281107
BRT7UXAK3	WIREPATH HOME SYSTEMS LLC SENIOR SECURED				6,552,439.03	6,519,676.83	6,552,439.03	6,552,439.03	(32,762.20	)	—		—	—		—	—	M-J-S-D	—	260,724.38	20161221	20221221
976656CF3	WISCONSIN ELECTRIC POWER COMPA SENIOR CO		2	1FE	2,500,000.00	2,501,512.50	2,500,000.00	2,500,000.00	1,512.50		—		—	—		1.7000	1.7000	Jun-Dec	1,888.89	21,250.00	20130610	20180615
976826BG1	WISCONSIN POWER AND LIGHT COMP SENIOR CO			1FE	560,420.00	529,163.50	500,000.00	526,529.75	2,633.75		(6,311.10	)	—	—		5.0000	2.3200	Jan-Jul	11,527.78	12,500.00	20140930	20190715
97705MDE2	WISCONSIN ST MUNI BND GO		2	1FE	981,031.80	952,832.80	815,000.00	959,782.38	(6,949.58	)	(8,277.30	)	—	—		5.0000	2.4898	May-Nov	6,791.67	20,375.00	20160225	20330501
982526AT2	WM WRIGLEY JR CO SENIOR CORP BND 144A			2FE	252,277.50	250,405.50	250,000.00	250,310.45	95.05		(505.50	)	—	—		2.0000	1.5873	Apr-Oct	986.11	2,500.00	20150714	20171020
982526AU9	WM WRIGLEY JR CO SENIOR CORP BND 144A		2	2FE	7,106,932.00	7,045,150.00	7,000,000.00	7,037,875.94	7,274.06		(18,466.54	)	—	—		2.4000	2.1759	Apr-Oct	32,666.68	103,635.00	20131016	20181021
982526AQ8	WM WRIGLEY JR CO SENIOR CORP BND 144A		2	2FE	882,878.00	877,658.98	850,000.00	879,918.87	(2,259.89	)	(2,959.13	)	—	—		3.3750	2.2368	Apr-Oct	5,578.13	3,984.37	20170224	20201021
93934FEN8	WMALT_05-5 CMO 05-9-2A2		4	5FE	1,436,124.69	1,427,626.92	1,567,393.95	1,455,406.81	(27,779.89	)	(45,501.28	)	—	—		5.5000	7.2270	Monthly	7,183.89	39,195.79	20071217	20351125
BRTABAZ61	WMG ACQUISITION CORP SENIOR SECURED TERM		2	4FE	2,259,917.85	2,258,505.40	2,259,917.85	2,259,917.85	(1,412.45	)	—		—	—		—	—	M-J-S-D	—	6,830.48	20170522	20231101
98161PAB9	WOART_16-B ABS 16-B		4	1FE	2,024,825.81	2,021,826.55	2,025,018.18	2,024,922.32	(3,095.77	)	90.30		—	—		1.1000	1.1095	Monthly	990.01	13,624.99	20160907	20200115
66859JAE1	WOODS_12-9A MEZZANINE ABS 12-9A-B1 144A	D	4		500,937.50	499,972.05	500,000.00	500,770.82	(798.77	)	(116.66	)	—	—		3.4084	3.3695	J-A-J-O	3,503.12	8,093.73	20161014	20240118
66859NAG7	WOODS_14-11A-B1R MEZZANIN ABS_14-11A B1R	D	4	1FE	750,000.00	749,974.65	750,000.00	750,000.00	(25.35	)	—		—	—		2.7480	2.7246	J-A-J-O	4,293.75	—	20170316	20250415
66859QAG0	WOODS_14-12A MEZZANIN ABS_14-12A CR 144A	D	4		500,000.00	501,296.45	500,000.00	500,000.00	1,296.45		—		—	—		3.5812	3.5968	M-J-S-D	795.83	4,576.00	20170223	20250915
66859TAK5	WOODS_14-14A MEZZANIN ABS_14-14A BR 144A	D	4		3,000,000.00	3,003,615.60	3,000,000.00	3,000,000.00	3,615.60		—		—	—		2.8810	2.8911	F-M-A-N	12,004.17	20,047.28	20170203	20251112
981464FU9	WORLD FINANCIAL NETWORK CREDIT SENIOR AB		4		499,945.15	497,010.00	500,000.00	499,957.30	(2,947.30	)	9.11		—	—		1.7200	1.7300	Monthly	382.22	4,300.02	20161027	20230815
BRT8F3AZ1	WORLDWIDE EXPRESS INC SENIOR SECURED TER				5,130,000.00	5,164,217.10	5,130,000.00	5,130,000.00	34,217.10		—		—	—		—	—	M-J-S-D	—	81,850.54	20170203	20240202
BRT8TS7B8	WORLDWIDE EXPRESS OPERATIONS L SENIOR SE			4FE	57,142.86	56,992.00	57,142.86	57,142.86	(150.86	)	—		—	—		—	—	M-J-S-D	—	8,732.71	20170630	20220202
BRSP8QSG4	WSCFP_14 SENIOR CMBS 14	B	4		1,785,379.50	1,439,671.75	1,110,000.00	1,785,379.50	(2,162.75	)	—		—	(343,545.00	)	1.1831	1.1848	F-M-A-N	2,710.54	8,540.31	20141007	20191104
983919AG6	XILINX, INC. SENIOR CORP BND			1FE	1,989,540.00	2,008,580.02	2,000,000.00	1,996,306.46	12,273.56		1,046.13		—	—		2.1250	2.2359	Mar-Sep	12,513.89	21,250.00	20140305	20190315
98417EAU4	XSTRATA FINANCE (CANADA) LTD SENIOR CORP	A		2FE	2,231,245.20	2,237,795.99	2,235,000.00	2,234,747.18	3,048.81		392.49		—	—		2.7000	2.7362	Apr-Oct	11,063.25	30,172.50	20121018	20171025

G9853MHT3	YORKSHIRE BUILDING SOCIETY SECURED CORP	B		1FE	2,192,629.59	1,874,849.88	1,400,000.00	2,084,030.67	9,907.01		(31,851.17	)	—	(219,087.81	)	4.7500	3.2982	April	18,932.65	91,007.16	20120510	20180412
BRT7YGL81	ZAYO GROUP LLC/ZAYO CAPITAL IN SENIOR SE		2	3FE	248,060.90	249,148.89	248,682.61	248,095.73	1,053.16		317.71		—	—		—	0.0353	M-J-S-D	—	4,548.59	20170113	20240119
BRT82EVX3	ZENITH AMERICAN HOLDING INC SENIOR SECUR				5,495,476.97	5,454,260.89	5,495,476.97	5,495,476.97	(41,216.08	)	—		—	—		—	—	M-J-S-D	—	161,948.80	20170103	20191112
BRT86RYG4	ZIGGO SECURED FINANCE PARTNERS SENIOR SE		2	3FE	2,357,459.38	2,356,615.66	2,363,367.80	2,357,700.13	(1,084.47	)	240.75		—	—		—	0.0304	Monthly	—	23,698.31	20170125	20250415
						5,418,643,314.23		5,424,561,593.16	(1,569,524.12	)				(4,349,754.96	)

Validus Holdings, Ltd. June 30, 2017 GAAP short-term investments portfolio in Schedule D format
							CHANGE IN BOOK/ADJUSTED CARRYING VALUE								INTEREST
1	2	3	4	5	6	7	8		9		10	11	12	13	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
Barclays Term Deposit		S875996$0	20160825		20170825	7,263,171.58	—		—		—	—	7,263,172.00	7,263,172.00	—	—	—	—	At Mat	—		—
BG ENERGY CAPITAL PLC		G1163HET9	20161221		20171207	750,902.03	(1,001.25	)	(16,290.82	)	—	43,943.14	600,000.00	767,754.72	22,543.00	0	5.1250	0.4384	December	(1,253.71)		(1,253.71)
BNY Mellon USD LIQ Investor 97		DRFUNI$20	20150615		3152017	2,626,192,796.07	—		—		—	—	2,626,192,796.07	2,626,192,796.07	—	—	—	—	At Mat	—		—
BONY CASH RESERVE		S875996$0	20140924			26,781,658.62	—		—		—	—	26,781,658.62	26,781,658.62	—	—	0.0001	—	At Mat	801.49		—
BSKYB FINANCE UK PLC		G1658KAC5	20161221		20171020	502,609.69	(569.50	)	(12,473.84	)	—	25,000.51	400,000.00	515,703.77	20,790.32	—	5.7500	0.3068	October	—		—
CDN S/T INVT BLENDED ACCT		993252329	20161121			5,618,764.11	—		—		—	—	5,618,764.11	5,618,764.11	—	—	0.0006	—	At Mat	17,165.38		—
CITI-INSTITUTION LIQ FUND USD		B0A0ATCJ9	20170501			9,237,441.67	—		—		—	—	9,237,441.67	9,237,441.67	—	—	0.0006	—	At Mat	45,610.56		—
COCA-COLA COMPANY (THE)		19121AWD9	20160928		20170913	3,542,664.44	—		17,851.51		—	—	3,550,000.00	3,515,584.74	—	—	—	0.2055	At Mat	—		—
DAIMLER AG		D1668RML8	20161221		20171108	621,263.74	(499.81	)	(3,569.51	)	—	30,902.53	500,000.00	625,010.74	7,317.71	—	1.7500	0.3589	November	—		—
DREYFUS UNIVERSAL USD LIQ CLAS		BRS7813$2	20170330			88,209,811.95	—		—		—	—	88,209,811.95	88,209,811.95	—	—	—	—	At Mat	130,261.61		—
FMC TECHNOLOGIES INC		G87110AA3	20170329		20171001	349,980.61	(23.31	)	1.61		—	—	350,000.00	349,979.00	1,788.89	—	2.0000	0.2548	At Mat	(505.56	)	(505.56	)
GOLDMAN SACHS		GLDSCS$03	20170608			1,008,106.70	—		—		—	—	1,008,106.70	1,008,106.70	—	—	0.0001	—	At Mat	3,259.19		—
GOLDMAN SACHS USD LIQ RESERVE		BRS2F25Z3	20170227			19,155,770.71	—		—		—	—	19,155,770.71	19,155,770.71	—	—	—	—	At Mat	77,026.57		—
HSBC TERM DEPOSIT		BRS000000	20160825		20170825	954,497.00	—		—		—	—	954,497.00	954,497.00	—	—	—	—	At Mat	—		—
Institutional Cash Series PLC - US Treasury		H047783	20160321			62,622,615.00	—		—		—	—	62,622,615.00	62,622,615.00	—	—	—	—	At Mat	—		—
LVMH MOET HENNESSY LOUIS VUITT		F58485AV9	20170106		20171220	700,727.02	(482.57	)	(3,480.02	)	—	38,139.25	566,000.00	704,207.04	359.07	—	1.6250	0.4740	Jun-Dec	5,011.52		—
MIZUHO BANK LTD (NEW YORK BRAN		60689DM67	20161003		20171003	500,000.00	—		—		—	—	500,000.00	500,000.00	6,368.18	—	1.8496	0.2603	J-A-J-O	4,107.61		—
ORANGE SA		F4113NCA5	20161221		20171220	896,511.62	(1,441.81	)	(31,918.73	)	—	44,593.74	700,000.00	930,017.47	38,463.16	—	8.0000	0.4740	December	—		—
RCI BANQUE SA		F7S02WAB2	20161221		20171006	322,887.48	(198.04	)	(2,171.02	)	—	16,060.87	260,000.00	325,166.45	5,269.46	—	2.1250	0.2685	October	—		—
REED ELSEVIER INVESTMENTS PLC		G7457KAB7	20170221		20171211.00	833,439.43	(1,073.18	)	(17,795.87	)	—	35,477.47	650,000.00	851,235.30	32,708.63	—	7.0000	0.4493	December	(11,506.38	)	(11,506.38	)
SUMITOMO MITSUI TRUST BANK LTD		86564EHS8	20160927		20170927	2,400,000.00	—		—		—	—	2,400,000.00	2,400,000.00	31,099.44	—	—	0.2438	M-J-S-D	21,433.60		—
TORONTO DOMINION HOLDINGS USA,		89116EU35	20160929		20170703	2,349,835.60	—		14,784.41		—	—	2,350,000.00	2,327,479.17	—	—	—	0.0082	At Mat	—		—
UNITED STATES TREASURY		912828P20	20170328		20180131	1,871,858.83	(1,471.33	)	1,396.70		—	—	1,875,000.00	1,870,462.13	5,865.85	—	0.7500	0.5890	Jan-Jul	(2,214.26	)	(2,214.26	)
UNITED STATES TREASURY		912796LV9	20170628		20170928	997,551.13	—		54.89		—	—	1,000,000.00	997,496.24	—	—	—	0.2466	At Mat	—		—
UNITED STATES TREASURY		912796LG2	20170406		20170706	6,999,230.51	—		13,055.51		—	—	7,000,000.00	6,986,175.00	—	—	—	0.0164	At Mat	—		—
WESTERN ASSET INSTL GOV RSRVS		52470G783	20170615			442,360.25	—		—		—	—	442,360.25	442,360.25	—	—	—	—	At Mat	—		—
						2,871,126,455.79	(6,760.80	)	(40,555.18	)		234,117.51		2,871,153,265.85	172,573.71

Validus Holdings, Ltd. June 30, 2017 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
BRIDGE GROWTH PARTNERS (PARALLEL), LP			20140715	34,793,821.00	43,677,391.00	34,793,821.00	8,883,570.00		—	—	—	—		—	—
CENTURY CAPITAL PARTNERS IV LP			20150101	1,706,761.74	1,340,997.05	1,706,761.74	(365,764.69	)	—	—	—	—		—	—
CENTURY FOCUSED FUND III LP			20150101	9,635,142.67	12,547,350.37	9,635,142.67	2,912,207.70		—	—	—	—		—	—
CONNING CAPITAL PARTNERS VI			20150101	614,280.14	267,671.97	614,280.14	(346,608.17	)	—	—	—	—		—	—
CRESCENT MEZZANINE LLC			20160122	5,949,304.00	5,990,200.00	5,949,304.00	40,896.00		—	—	—	—		—	—
GOLDENTREE DISTRESSED DEBT FUN			20121130	11,291,828.76	18,304,485.28	11,291,828.76	7,012,656.52		—	—	—	—		—	—
GUARDIAN GROWTH EQUITY			20090904	1,917,716.10	3,940,133.16	1,917,716.10	2,022,417.06		—	—	—	—		—	—
GUGGENHEIM PARTNERS FUND LTD			20150101	9,620,264.26	9,620,264.26	9,620,264.26	—		—	—	—	—		—	—
GUGGENHEIM PARTNERS FUND LTD			20150101	20,443,061.33	20,443,061.33	20,443,061.33	—		—	—	—	—		—	—
GUGGENHEIM PARTNERS FUND LTD			20140630	126,283,559.56	126,283,559.00	126,283,559.56	(0.56	)	—	—	—	—		—	—
GUGGENHEIM PARTNERS FUND LTD			20150101	36,075,990.58	36,075,990.58	36,075,990.58	—		—	—	—	—		—	—
GUGGENHEIM PARTNERS FUND LTD			20160412	16,400,237.77	16,400,237.77	16,400,237.77	—		—	—	—	—		—	—
GUGGENHEIM PRIVATE DEBT FUND 2.0			20160515	12,571,677.87	12,571,677.87	12,571,677.87	—		—	—	—	—		—	—
GUGGENHEIM STRATEGY FUND I			20170314	8,039,438.71	8,045,841.21	8,039,438.71	6,402.50		—	—	—	—		—	—
HIGHBRIDGE MEZZANINE PARTNERS			20150101	5,942,985.86	7,009,882.59	5,942,985.86	1,066,896.73		—	—	—	—		—	—
LEAPFROG INVESTMENTS FINANCIAL			20121130	2,166,913.34	4,219,228.01	2,166,913.34	2,052,314.67		—	—	—	—		—	—
Lloyds CDN Blended			20131001	21,136,185.69	22,090,754.75	21,136,185.69	954,569.06		—	—	—	—		—	—
LLOYD'S OVERSEAS DEPOSITS			20131001	57,874,208.27	57,874,208.27	57,874,208.27	—		—	—	—	—		—	—
OFFSHORE MEZZANINE PARTNERS III, L.P.			20170227	3,577,931.29	3,577,931.29	3,577,931.29	—		—	—	—	—		—	—
PORT ADVISORS PRIVATE EQUITY I			20121130	9.32	2,989,008.75	9.32	2,988,999.43		—	—	—	—		—	—
PRUDENTIAL CAPITAL PARTNERS IV			20150101	7,450,902.52	7,475,979.15	7,450,902.52	25,076.63		—	—	—	—		—	—
PUBLIC PENSION CAPITAL, LLC			20140721	18,239,483.06	16,963,617.36	18,239,483.06	(1,275,865.70	)	—	—	—	—		—	—
SVG DIAMOND HOLDINGS II LTD			20121130	7.53	5,293,912.88	7.53	5,293,906.28		—	—	—	(0.93	)	—	—
VINTAGE VI LP			20150101	5,263,180.29	5,614,819.61	5,264,180.29	350,639.32		—	—	—	—		—	—
				416,994,891.66	448,618,203.51	416,995,891.66	31,622,312.78				—