Validus 8-K Results of Operations and Financial Condition

Validus Holdings, Ltd. September 30, 2016 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
88579YAU5	3M CO SENIOR CORP BND			1	1FE	6,196,714	6,217,897.29	6,200,000.00	6,196,735	21,162.29		21.00		—	—		1.6250	1.6361	Mar-Sep	3,358.33	—	9142016	9192021
88579YAP6	3M CO SENIOR CORP BND MTN				1FE	4,167,568.5	4,193,700.42	4,175,000.00	4,170,379.18	23,321.24		1,838.76		—	—		1.3750	1.4358	Feb-Aug	8,610.94	57,406.27	8042015	8072018
BRSTBY9Y7	A. SCHULMAN INC SENIOR SECURED TERM LOAN				3FE	143,390.04	143,569.72	143,749.41	143,453.35	116.37		85.92		—	—		—	0.0359	M-J-S-D	—	5,444.78	5112015	6012022
03763KAB2	AASET_14-1 ABS_14-1 A			2	1Z	3,039,054.74	2,948,581.72	3,028,846.15	3,037,288.75	(88,707.03	)	(1,024.78	)	—	—		5.2500	5.2579	Monthly	7,067.31	120,733.2	2262015	12152029
BRT28HQ50	ABACUS INNOVATIONS CORP SENIOR SECURED T			1	3FE	1,029,798.22	1,037,541.07	1,032,379.17	1,029,834.66	7,706.41		36.44		—	—		—	0.0354	M-J-S-D	—	5,091.11	6092016	8162023
G0054BMY6	ABBEY NATIONAL TREASURY SERVIC SENIOR CO		D		1FE	1,038,015.04	854,834.28	640,000.00	1,001,379.03	1,856.34		(19,680.25	)	—	(148,401.08	)	4.1250	1.3560	September	1,597.24	40,628.28	5062015	9142017
002824AU4	ABBOTT LABORATORIES				1FE	2,412,386	2,341,845.58	2,150,000.00	2,320,862.97	20,982.61		(49,610.03	)	—	—		5.1250	1.8571	Apr-Oct	55,093.75	55,093.75		4012019
00287YAJ8	ABBVIE INC SENIOR CORP BND				2FE	150,356.49	150,635.21	150,000.00	150,173.13	462.08		(2,790.94	)	—	—		1.7500	1.6435	May-Nov	1,057.29	87,336.28	7172015	11062017
00287YAL3	ABBVIE INC SENIOR CORP BND				2FE	982,080	1,025,705.18	1,000,000.00	985,024.67	40,680.51		1,647.29		—	—		2.9000	3.1721	May-Nov	11,680.56	14,500	5212015	11062022
00287YAN9	ABBVIE INC SENIOR CORP BND				2FE	4,601,763.5	4,617,599.19	4,600,000.00	4,602,552.79	15,046.4		293.32		—	—		1.8000	1.4790	May-Nov	31,510	45,092.5	6202016	5142018
00287YAT6	ABBVIE INC SENIOR CORP BND			1	2FE	4,381,960	4,483,284.87	4,400,000.00	4,386,713.17	96,571.7		4,103.83		—	—		2.5000	2.5879	May-Nov	41,861.1	119,583.33	5052015	5142020
00287YAU3	ABBVIE INC SENIOR CORP BND			1	2FE	4,931,404.4	4,977,515.46	4,940,000.00	4,932,034.77	45,480.69		630.37		—	—		2.3000	2.3370	May-Nov	43,869.94	—	5092016	5142021
BRSXK39C4	ABN AMRO BANK NV					729,467.25	689,572.78	500,000.00	729,188.22	24,703.92		(289.47	)	—	(64,319.35	)	2.3750	1.9297	Jun-Dec	4,888.99	5,620.3		12072021
00084UAA0	ACASL_14-1A SENIOR ABS 14-1A A 144A		F	2	1FE	745,050	750,900	750,000.00	746,613.37	4,286.63		701.19		—	—		2.1891	2.3318	J-A-J-O	3,420.47	11,553.69	1232015	7182026
00432CCM1	ACCESS GROUP INC ACCSS_05-2 ABS 05-2			2		816,489.49	833,293.54	838,500.12	830,671.09	2,622.45		5,505.04		—	—		0.9910	1.8127	F-M-A-N	923.28	5,695.95	8082012	11222024
00452PAN7	ACIS_15-6A MEZZANIN ABS 15-6A C 144A		F	2	1FE	495,000	492,553.05	500,000.00	495,868.77	(3,315.72	)	433.61		—	—		4.1265	4.2991	F-M-A-N	3,496.06	14,776.26	3042015	5012027
00452PAG2	ACIS_15-6A MEZZANIN ABS 15-6A B1 144A		F	2	1FE	2,238,750	2,241,111.83	2,250,000.00	2,240,927.26	184.57		1,100.99		—	—		3.2365	3.3267	F-M-A-N	12,339.16	51,307.51	3042015	5012027
00485YAA7	ACORN RE LTD SENIOR CORP BND 144A		F			5,541,500	5,655,925	5,500,000.00	5,528,645.03	127,279.97		(12,676.56	)	—	—		4.6522	4.2567	Monthly	8,528.98	396,157.69	11202015	7172018
BRST137M4	ACOSTA HOLDCO INC SENIOR SECURED TERM LO			2	4FE	983,590.35	944,578.42	996,040.86	984,583.89	(40,005.47	)	1,043.03		—	—		—	0.2287	M-J-S-D	—	11,199.83	4142016	9262021
BRSUVD142	ACTAGRO LLC SENIOR SECURED TERM LOAN					6,333,333.34	6,285,833.34	6,333,333.34	6,333,333.34	(47,500	)	—		—	—		—	—	M-J-S-D	—	198,532.96	7102015	12302016
00507UAD3	ACTAVIS FUNDING SCS SENIOR CORP BND		F		2FE	9,707,707.38	9,899,932.02	9,715,000.00	9,710,664.16	189,267.86		1,150.95		—	—		2.4500	2.4679	Jun-Dec	70,082.93	119,008.75	11132014	6152019
00507UAP6	ACTAVIS FUNDING SCS SENIOR CORP BND		F	1	2FE	949,952.5	980,966.1	950,000.00	949,966.5	30,999.6		7.16		—	—		3.0000	3.0011	Mar-Sep	1,504.16	41,143.75	3032015	3122020
942683AG8	ACTAVIS INC SENIOR CORP BND				2FE	248,442.5	250,655.98	250,000.00	249,470.5	1,185.48		388.92		—	—		1.8750	2.0901	Apr-Oct	2,343.75	2,343.75	9272012	10012017
006897AG7	ADPK_13-1A				1FE	2,504,750	2,501,990.75	2,500,000.00	2,503,645.28	(1,654.53	)	(538.13	)	—	—		3.6801	3.6626	J-A-J-O	19,933.88	67,032.5		4152024
BRSM9GPX8	ADS WASTE HOLDINGS INC SENIOR SECURED TE			2	4FE	4,524,256.25	4,528,780.51	4,524,256.25	4,524,256.25	4,524.26		—		—	—		—	—	F-M-A-N	—	155,006.21	4012014	10092019
BRSNZFA49	ADVANTAGE SALES & MARKETING IN SENIOR SE			2	4FE	1,802,993.18	1,788,242.53	1,809,504.21	1,804,588.43	(16,345.9	)	793.19		—	—		—	0.0558	M-J-S-D	—	58,718.28	8072015	7232021
05377RBM5	AESOP_13-1A ABS 13-1A C144A			2	2FE	2,063,125	2,030,023.8	2,000,000.00	2,034,914.65	(4,890.85	)	(14,259.72	)	—	—		4.4200	3.4204	Monthly	2,701.11	66,300.03	3252015	9202019
05377RBY9	AESOP_15-1A SUB ABS 15-1A B 144A			2	2FE	1,999,207.2	2,014,532.2	2,000,000.00	1,999,424.33	15,107.87		100.76		—	—		3.2200	3.2494	Monthly	1,967.78	48,300.03	1222015	7202021

BRT2Q5SH8	AFFINITY GAMING LLC SECURED TERM NOTES		1	4FE	648,605.61	651,288.7	651,831.68	648,682.37	2,606.33		82.45		—	—	—	0.0707	M-J-S-D	—	7,714.52		9302016	7012023
13974MAB2	AFIN_16-2 ABS 16-2		2		814,976.12	815,555.91	815,000.00	814,977.68	578.23		1.56		—	—	1.3200	1.3247	Monthly	328.72	1,793		7122016	1202019
02640FAG3	AGFMT_10-1 WHOLE CMO 10-1 144A		2		1,922,964.87	1,824,360.14	1,816,259.62	1,816,272.29	8,087.85		(52,941.66	)	—	—	5.6500	3.0722	Monthly	8,551.56	146,549.51		10152014	3252058
00432CAZ4	AGSL_03-1 ABS 03-1-2003-1		2	1FE	360,500	377,466.32	400,000.00	381,925.89	(4,459.57	)	3,743.95		—	—	1.9420	2.9995	Monthly	382.03	4,655.61		3292010	12262035
00432CBB6	AGSL_03-1 ABS_03-1-2003-1		2	1FE	311,937.5	325,887.38	350,000.00	329,828.57	(3,941.19	)	3,587.10		—	—	1.3900	2.3852	Monthly	93.05	3,242.07		3292010	12262035
00432CBP5	AGSL_03-1 ABS_04-1-2004-1		2	1FE	435,625	453,721.6	500,000.00	464,158.52	(10,436.92	)	4,311.55		—	—	1.9470	3.1612	Monthly	531.97	4,710.28		3292010	12272032
02665VAA1	AH4R_14-SFR1 SENIOR CMBS _14-SFR1-A 144A		2	1FE	1,188,105.01	1,184,379.23	1,188,105.01	1,188,105.01	(3,725.78	)	—		—	—	1.5250	1.5287	Monthly	704.61	13,783.97		5132014	6172031
903724AK8	AID-UKRAINE AGENCY BND	F		1FE	4,285,000	4,356,109.58	4,285,000.00	4,285,000	71,109.58		—		—	—	1.8440	1.8440	May-Nov	29,630.78	39,507.7		5142014	5162019
BRSZ793R4	AIM AEROSPACE SENIOR SECURED TERM LOAN				4,089,718.06	4,079,493.76	4,089,718.06	4,089,718.06	(10,224.3	)	—		—	—	—	—	M-J-S-D	—	232,092.59		2022016	2022022
001406AA5	AIM_15-1A			1FE	3,104,166.66	3,122,962.39	3,104,166.66	3,104,145.82	18,816.57		(7.13	)	—	—	4.2130	4.2496	Monthly	5,812.38	101,375.31			2152040
BRT57K0A4	AIR CANADA SENIOR SECURED TERM LOAN	A	1	3FE	433,717.95	436,442.31	435,897.44	433,717.95	2,724.36		—		—	—	3.5000	3.5986	M-J-S-D	—	—		9232016	9212023
00913RAA4	AIR LIQUIDE FINANCE SENIOR CORP BND 144A	F		1FE	3,990,400	4,003,344.12	4,000,000.00	3,990,434.72	12,909.4		34.72		—	—	1.3750	1.4571	Mar-Sep	611.11	—		9222016	9272019
00913RAB2	AIR LIQUIDE FINANCE SENIOR CORP BND 144A	F	1	1FE	3,650,292.1	3,664,167.64	3,670,000.00	3,650,333.74	13,833.9		41.64		—	—	1.7500	1.8630	Mar-Sep	713.61	—		9222016	9272021
BRSSM5ZR6	AIR MEDICAL GROUP HOLDINGS INC SENIOR SE		2	4FE	1,497,708.32	1,487,948.83	1,501,461.99	1,498,447.95	(10,499.12	)	431.33		—	—	—	0.0356	M-J-S-D	—	49,131.46		4152015	4282022
009349AF8	AIRCRAFT LEASE SECURITISATION			1FE	59,261.64	61,027.21	61,411.03	61,411.03	(383.82	)	318.37		—	—	0.7857	0.7869	Monthly	33.39	957.6			5102032
009363AR3	AIRGAS INC			1FE	3,569,966.76	3,753,979	3,572,000.00	3,570,388.62	183,590.38		289.97		—	—	3.0500	3.0625	Feb-Aug	18,157.67	111,277.73			8012020
BRSR05RF7	AIRXCEL, INC. REVOLVE LOAN				6,228,606.51	6,166,320.44	6,228,606.51	6,228,606.51	(62,286.07	)	—		—	—	—	—	May-Nov	—	231,723.73		4082015	11182019
00973XAA8	AKIBARE RE LTD SENIOR CORP BND 144A	F			540,000	550,832.4	540,000.00	540,000	10,832.4		—		—	—	3.2537	3.2665	J-A-J-O	4,490.04	4,740.89		3082016	4072020
011395AB6	ALAMO RE LTD				1,667,000	1,729,529.17	1,667,000.00	1,667,000	62,529.17		—		—	—	—	—	M-J-S-D	—	89,394.5			6072018
011395AC4	ALAMO RE LTD				1,300,000	1,364,922	1,300,000.00	1,300,000	64,922		—		—	—	—	—	M-J-S-D	—	84,648.74			6072019
BRT22KUB1	ALBERTSONS INC SENIOR DECURED TERM NOTES		1	3FE	1,630,235.92	1,658,496.54	1,645,129.86	1,630,360.27	28,136.27		161.68		—	—	—	0.1429	M-J-S-D	—	3,619.72		9212016	12212022
BRT22F0Z2	ALBERTSONS INC SENIOR SECURED TERM LOAN		1	3FE	282,210.63	285,148.08	282,604.64	282,221.68	2,926.4		231.83		—	—	—	0.0185	M-J-S-D	—	7,154.96		6282016	6222023
BRT22KXR3	ALBERTSONS INC SENIOR SECURED TERM LOAN		1	3FE	634,571.46	645,336.12	641,806.19	634,678.41	10,657.71		125.09		—	—	—	0.2249	M-J-S-D	—	3,217.08		9212016	8252021
BRSTV33U7	ALERE INC SENIOR SECURED TERM NOTES		2		1,447,906.14	1,438,430.51	1,451,534.97	1,448,383.91	(9,953.4	)	364.09		—	—	—	0.0375	M-J-S-D	—	47,287.65		3282016	6202022
BRSV8NG22	ALION SCIENCE AND TECHNOLOGY C SENIOR SE			4FE	781,361.84	757,149.05	785,288.28	782,050.22	(24,901.17	)	524.78		—	—	—	0.0834	M-J-S-D	—	34,245.3		8122015	8192021
BRSZHRXS8	ALLEN EDMONDS CORPORATION SECURED TERM L				4,851,978.3	4,827,718.41	4,851,978.30	4,851,978.3	(24,259.89	)	—		—	—	—	—	M-J-S-D	—	188,242.23		2162016	2162022
02007LAC6	ALLYA_16-3 ABS_16-3 A3		2	1FE	1,999,805.8	2,010,000	2,000,000.00	1,999,830.37	10,169.63		24.57		—	—	1.4400	1.4482	Monthly	1,280	8,400		5232016	8172020
02079KAC1	ALPHABET INC CLASS A SENIOR CORP BND		1	1FE	685,433	687,081.73	700,000.00	685,620.89	1,460.84		187.89		—	—	1.9980	2.2310	Feb-Aug	2,020.2	—		8022016	8152026
BRSUTL2G9	ALTICE US FIN I CORP SECURED TERM LOAN			3FE	1,990,000	1,998,955	1,990,000.00	1,990,000	8,955		—		—	—	—	—	M-J-S-D	—	32,348.08		3182016	12142022
02209SAL7	ALTRIA GROUP INC CORP BND			1FE	1,576,568	1,581,746.43	1,400,000.00	1,564,486.92	17,259.51		(12,081.08	)	—	—	4.7500	2.0569	May-Nov	26,969.45	(3,325	)	5182016	5052021
02209SAT0	ALTRIA GROUP INC SENIOR CORP BND		1	1FE	2,997,570	3,105,765.15	3,000,000.00	2,998,491.05	107,274.1		326.95		—	—	2.6250	2.6411	Jan-Jul	16,843.75	78,750		11102014	1142020
BRSJ1HUF4	AMC ENTERTAINMENT INC. SENIOR SECURED TE		2	3FE	245,658.04	248,501.89	246,783.29	245,687.47	2,814.42		581.87		—	—	—	0.0707	M-J-S-D	—	24,489.86		8012016	12152022
03065EAD7	AMCAR_13-5 BAS_13-5 A3		2	1FE	25,689.48	25,692.54	25,692.99	25,692.22	0.32		7.89		—	—	0.9000	0.9069	Monthly	14.77	1,052.21		11052013	9102018
03062AAD8	AMCAR_14-3 ABS _14-3-A3		2	1FE	663,863	663,881.46	663,881.46	663,863.53	17.93		1.47		—	—	1.1500	1.1531	Monthly	487.77	7,336.15		8202014	6102019

03065NAD7	AMCAR_15-3 SENIOR ABS 15-3		2	1FE	499,927.5	501,699.98	500,000.00	499,958.91	1,741.07		32.08		—	—		1.5400	1.5507	Monthly	491.95	9,368.26	8042015	3082020
BRSTDEM57	AMERICAN AIRLINES GROUP INC SENIOR SECUR		2	3FE	3,161,560.96	3,175,603.08	3,171,144.45	3,163,144.51	12,458.57		1,704.86		—	—		—	0.0665	M-J-S-D	—	78,521.5	1042016	6272020
023770AB6	AMERICAN AIRLINES INC.			2FE	3,633,046.77	3,533,137.98	3,633,046.77	3,633,046.77	(99,908.79	)	—		—	—		3.7000	3.6983	May-Nov	56,009.47	70,971.67		11012024
BRT193FT2	AMERICAN AIRLINES INC. SENIOR SECURED TE		1	3FE	518,954.25	523,937.78	522,875.82	519,155.04	4,782.74		200.79		—	—		—	0.1072	M-J-S-D	—	3,355.12	4282016	4282023
025816BJ7	AMERICAN EXPRESS COMPANY			2FE	5,783,750	5,807,500	5,750,000.00	5,772,279.11	35,220.89		(4,857.30	)	—	—		5.2000	5.1962	May-Nov	112,955.55	337,494.44		12312049
0258M0DJ5	AMERICAN EXPRESS CREDIT CORPOR SENIOR CO			1FE	304,584	303,466.62	300,000.00	302,765.69	700.93		(1,116.65	)	—	—		2.1250	1.6090	Jan-Jul	1,133.33	6,375	7072015	7272018
0258M0DR7	AMERICAN EXPRESS CREDIT CORPOR SENIOR CO			1FE	3,465,350.2	3,474,702.19	3,470,000.00	3,468,462.78	6,239.41		1,161.68		—	—		1.5500	1.5960	Mar-Sep	1,344.64	53,785	9182014	9222017
0258M0DT3	AMERICAN EXPRESS CREDIT CORPOR SENIOR CO		1	1FE	1,990,620	2,042,791.9	2,000,000.00	1,992,360.68	50,431.22		1,486.74		—	—		2.3750	2.4851	May-Nov	16,493.06	26,333.14	11102015	5262020
0258M0DX4	AMERICAN EXPRESS CREDIT CORPOR SENIOR CO		1	1FE	1,766,499.35	1,785,123.36	1,735,000.00	1,765,714.78	19,408.58		(817.34	)	—	—		2.6000	1.7630	Mar-Sep	2,130.19	20,915.56	8162016	9142020
02665WAW1	AMERICAN HONDA FINANCE CORPORA SENIOR CO			1FE	249,210	251,407	250,000.00	249,522.98	1,884.02		196.58		—	—		1.6000	1.7092	Jan-Jul	866.67	3,988.89	7152015	7132018
02665WBE0	AMERICAN HONDA FINANCE CORPORA SENIOR CO			1FE	1,923,075	1,912,110.91	1,925,000.00	1,923,214.07	(11,103.16	)	139.07		—	—		1.2000	1.2341	Jan-Jul	5,069.17	—	7072016	7122019
03027XAL4	AMERICAN TOWER CORPORATION SENIOR CORP B			2FE	5,492,190	5,496,423.18	5,500,000.00	5,492,193.05	4,230.13		3.05		—	—		2.2500	2.2789	Jan-Jul	343.76	—	9282016	1152022
031162BD1	AMGEN INC			2FE	726,110	743,174.39	700,000.00	720,395.88	22,778.51		(3,578.14	)	—	—		3.4500	2.6770	Apr-Oct	12,075	12,075		10012020
031162BU3	AMGEN INC			2FE	258,098.68	263,753.4	259,000.00	258,365.55	5,387.85		337.00		—	—		2.2000	2.2961	May-Nov	2,041.78	7,004.56		5222019
031162BW9	AMGEN INC			2FE	1,693,728.75	1,716,867.45	1,695,000.00	1,694,075.17	22,792.28		184.27		—	—		2.1250	2.1409	May-Nov	15,007.81	18,009.38		5012020
031162CG3	AMGEN INC			2FE	4,265,345.7	4,245,546.34	4,270,000.00	4,265,449.97	(19,903.63	)	104.27		—	—		1.8500	1.8729	Feb-Aug	9,216.09	—		8192021
032511BJ5	ANADARKO PETROLEUM CORPORATION			2FE	509,000	496,372.49	500,000.00	507,622.63	(11,250.14	)	(662.03	)	—	—		3.4500	3.2208	Jan-Jul	3,641.67	17,250		7152024
BRSUA8MG6	ANCHOR GLASS CONTAINERS CORP SENIOR SECU			4FE	1,181,060.59	1,193,227.28	1,186,995.56	1,181,963.27	11,264.01		748.88		—	—		—	0.0729	M-J-S-D	—	39,056.84	5092016	7012022
034863AF7	ANGLO AMERICAN CAPITAL PLC			3FE	3,043,380	3,000,000	3,000,000.00	3,017,914.38	(17,914.38	)	(13,294.59	)	—	—		2.6250	2.0121	Mar-Sep	875	78,750		9272017
035242AC0	ANHEUSER-BUSCH INBEV FINANCE I			2FE	982,460	1,000,771.2	1,000,000.00	993,000.99	7,770.21		5,315.39		—	—		1.2500	1.8001	Jan-Jul	2,569.44	36,259.72		1172018
035242AE6	ANHEUSER-BUSCH INBEV FINANCE I			1FE	2,452,521.5	2,487,696.19	2,450,000.00	2,454,060.42	33,635.77		6.00		—	—		2.1500	2.1919	Feb-Aug	8,779.17	44,021.25		2012019
035242AG1	ANHEUSER-BUSCH INBEV FINANCE I			1FE	5,058,011.2	5,107,787.25	5,060,000.00	5,058,625.68	49,161.57		1,723.09		—	—		1.9000	1.7130	Feb-Aug	16,023.33	71,638.44		2012019
035242AJ5	ANHEUSER-BUSCH INBEV FINANCE I			1FE	4,735,132.5	4,898,026.53	4,750,000.00	4,737,053.34	160,973.19		2,454.51		—	—		2.6500	2.7171	Feb-Aug	20,979.17	90,195.7		2012021
035242AL0	ANHEUSER-BUSCH INBEV FINANCE I			2FE	1,892,799	2,003,909.44	1,900,000.00	1,893,436.73	110,472.71		1,052.67		—	—		3.3000	3.3610	Feb-Aug	10,450	60,857.5		2012023
B6399CCD7	ANHEUSER-BUSCH INBEV NV CORP BND	D		1FE	495,109.3	432,223.65	320,000.00	484,614.17	576.77		(17,778.46	)	—	(52,967.29	)	6.5000	0.8701	June	7,402.52	918.16	4262016	6232017
03523TAN8	ANHEUSER-BUSCH INBEV WORLDWIDE CORP BND			2FE	2,255,260	2,227,726.74	2,000,000.00	2,223,184.13	4,542.61		(32,075.87	)	—	—		5.3750	1.8600	Jan-Jul	22,694.44	29,861.11	3312016	1152020
03523TBN7	ANHEUSER-BUSCH INBEV WORLDWIDE SENIOR CO			2FE	7,802,464	7,838,537.25	7,825,000.00	7,821,340.2	17,197.05		2,832.64		—	—		1.3750	1.4349	Jan-Jul	22,714.23	161,963.55	12282012	7152017
03523TBP2	ANHEUSER-BUSCH INBEV WORLDWIDE SENIOR CO			2FE	4,176,868.75	4,401,371.19	4,325,000.00	4,191,164.85	210,206.34		14,296.10		—	—		2.5000	3.0880	Jan-Jul	22,826.39	50,758.68	1212016	7152022
00182EAW9	ANZ NATIONAL INTERNATIONAL LTD SENIOR CO	F			999,880	1,002,803.8	1,000,000.00	999,939.27	2,864.53		29.75		—	—		1.7500	1.7541	Mar-Sep	97.22	17,500	3242015	3292018
00182EBB4	ANZ NATIONAL INTERNATIONAL LTD SENIOR CO	F		1FE	2,850,000	2,857,757.7	2,850,000.00	2,850,000	7,757.7		—		—	—		1.7245	1.7245	J-A-J-O	8,873.99	—	7212016	7282021
037401AC0	AOZORA RE LTD			3FE	250,000	252,492.5	250,000.00	250,000	2,492.5		—		—	—		3.1137	3.1254	J-A-J-O	1,989.28	1,852.1		4072023
03765LAA0	APID_15-20A ABS 15-20A A1 144A	F	2		5,000,000	5,008,718.5	5,000,000.00	5,000,000	8,718.5		—		—	—		2.2291	2.2349	J-A-J-O	23,219.79	79,347.17	1152015	1162027
037833AJ9	APPLE INC			1FE	5,380,074	5,390,707.2	5,400,000.00	5,393,549.33	(2,842.13	)	4,034.04		—	—		1.0000	1.0760	May-Nov	22,200	53,591.11		5032018
037833AQ3	APPLE INC			1FE	1,519,260	1,532,229.65	1,500,000.00	1,511,255	20,974.65		(3,896.74	)	—	—		2.1000	1.8030	May-Nov	12,687.5	24,616.67		5062019

037833AR1	APPLE INC			1FE	3,149,972	3,264,939.62	3,100,000.00	3,139,842.64	125,096.98		(6,209.54	)	—	—		2.8500	2.5519	May-Nov	35,585.42	46,296.67		5062021
037833BQ2	APPLE INC			1FE	5,523,056.35	5,556,137.1	5,495,000.00	5,517,777.27	38,359.83		(5,279.08	)	—	—		1.7000	1.7058	Feb-Aug	9,860.47	44,162.23		2222019
037833BS8	APPLE INC			1FE	2,065,246.5	2,079,326.56	2,025,000.00	2,062,651.67	16,674.89		(2,594.83	)	—	—		2.2500	1.5100	Feb-Aug	4,809.38	13,045.31		2232021
037833BZ2	APPLE INC			1FE	508,607.7	510,133.08	510,000.00	508,627.18	1,505.9		19.48		—	—		2.4500	2.4810	Feb-Aug	1,978.38	—		8042026
037833CB4	APPLE INC			1FE	5,894,100	5,872,721.88	5,900,000.00	5,894,406.6	(21,684.72	)	306.60		—	—		1.1000	1.1340	Feb-Aug	10,275.84	—		8022019
039483AY8	ARCHER-DANIELS-MIDLAND COMPANY			1FE	2,179,988.75	1,915,094.93	1,805,000.00	1,907,871.79	7,223.14		(51,954.79	)	—	—		5.4500	1.4780	Mar-Sep	4,372.11	98,372.5		3152018
BRSV1F5E2	ARDENT LEGACY ACQUISITIONS INC SENIOR SE			4FE	958,793.5	963,635.88	968,478.27	960,634.94	3,000.94		1,281.89		—	—		—	0.1661	M-J-S-D	—	48,154.32	7302015	7302021
04013YAU6	ARES_12-2A MEZZANIN ABS _12-2A CR 144A	F	2	1FE	996,000	997,810	1,000,000.00	996,267.01	1,542.99		267.01		—	—		3.3671	3.4698	J-A-J-O	7,575.98	14,399.23	5232016	10122023
BRST927R7	ARIA ENERGY OPERATING LLC SENIOR SECURED		2	4FE	814,237.61	794,704.13	822,462.23	815,491.11	(20,786.98	)	2,344.42		—	—		—	0.1485	F-M-A-N	—	35,931.43	5182015	5272022
040484JY4	ARIZONA BRD REGENTS UNIV ARIZ			1FE	1,654,640.8	1,736,830.4	1,420,000.00	1,606,557.66	130,272.74		(18,357.56	)	—	—		5.0000	2.8691	Feb-Aug	11,833.33	71,000		8012027
04048RMV5	ARIZONA BRD REGENTS UNIV ARIZ MUNITAX BN				1,315,000	1,324,980.85	1,315,000.00	1,315,000	9,980.85		—		—	—		1.5590	1.5590	Jan-Jul	5,125.21	20,500.86	3052015	7012018
04048RMW3	ARIZONA BRD REGENTS UNIV ARIZ MUNITAX BN				1,750,000	1,775,742.5	1,750,000.00	1,750,000	25,742.5		—		—	—		2.0480	2.0480	Jan-Jul	8,960	35,840	3052015	7012019
04048RMX1	ARIZONA BRD REGENTS UNIV ARIZ MUNITAX BN			1FE	2,030,000	2,092,950.3	2,030,000.00	2,030,000	62,950.3		—		—	—		2.3480	2.3480	Jan-Jul	11,916.1	47,664.4	3052015	7012020
04057PJL3	ARIZONA SCH FACS BRD CTFS PART MUNITAX B			1FE	2,175,000	2,186,462.25	2,175,000.00	2,175,000	11,462.25		—		—	—		1.4740	1.4740	Mar-Sep	2,671.63	32,059.5	6042014	9012017
040688NL3	ARIZONA WTR INFRASTRUCTURE FIN			1FE	1,575,519.05	1,571,836.9	1,570,000.00	1,572,061.2	(224.3	)	(1,525.14	)	—	—		1.4130	1.2805	Apr-Oct	11,092.05	11,092.05		10012017
045167CB7	ASIAN DEVELOPMENT BANK			1FE	5,105,000	5,093,399.8	5,000,000.00	5,084,955.19	8,444.61		(20,044.81	)	—	—		1.8750	1.0392	Apr-Oct	41,145.83	4,925.56		10232018
BRT52L1F5	ASPEN MERGER SUB INC SENIOR SECURED TERM		1	4FE	252,253.53	255,004.22	253,521.13	252,253.53	2,750.69		—		—	—		5.2500	5.3698	M-J-S-D	—	—	9262016	9272023
BRSUW3MP3	ASURION LLC SENIOR SECURED TERM LOAN			4FE	1,296,342.2	1,307,742.2	1,302,856.49	1,297,398.84	10,343.36		817.67		—	—		—	0.0709	M-J-S-D	—	50,043.28	7302015	8042022
00206RAR3	AT&T INC CORP BND			2FE	2,375,900.5	2,357,937.44	2,150,000.00	2,305,559.31	52,378.13		(50,569.57	)	—	—		5.8000	2.6330	Feb-Aug	15,933.89	137,991.67	12232015	2152019
00206RAT9	AT&T INC CORP BND	O		1FE	517,103.96	400,995.69	300,000.00	482,101.78	1,944.99		(20,657.39	)	—	(83,051.08	)	5.8750	1.0976	April	9,785.21	17,393.28	12102014	4282017
00206RCC4	AT&T INC SENIOR CORP BND			2FE	5,173,691.25	5,213,567.64	5,125,000.00	5,164,142.66	49,424.98		(6,815.34	)	—	—		2.3000	1.6401	Mar-Sep	6,548.61	85,155.91	5032016	3112019
00206RCL4	AT&T INC SENIOR CORP BND		1	2FE	599,694	610,694.77	600,000.00	599,787.29	10,907.48		40.28		—	—		2.4500	2.4600	Jun-Dec	3,715.83	7,350	4232015	6302020
00206RCM2	AT&T INC SENIOR CORP BND		1	2FE	1,014,200	1,028,866.42	1,000,000.00	1,013,272.9	15,593.52		(927.10	)	—	—		3.0000	2.7395	Jun-Dec	7,583.33	5,250	4222016	6302022
00206RCN0	AT&T INC SENIOR CORP BND		1	2FE	1,794,672	1,845,315.86	1,800,000.00	1,795,329.82	49,986.04		344.46		—	—		3.4000	3.4350	May-Nov	23,120	30,600	9292015	5152025
00206RCR1	AT&T INC SENIOR CORP BND		1	2FE	5,300,719	5,448,616.88	5,300,000.00	5,300,751.48	147,865.4		32.48		—	—		2.8000	2.8380	Feb-Aug	18,137.77	75,164.44	3082016	2172021
047870CY4	ATLANTA GA (CITY OF)			1FE	6,949,070	7,359,904.5	5,710,000.00	6,793,440	566,464.5		(59,435.56	)	—	—		5.5000	3.4279	May-Nov	130,854.17	157,025		11012027
049382AD6	ATLAS IX CAPITAL DAC				1,000,000	1,040,330	1,000,000.00	1,000,000	40,330		—		—	—		8.0061	8.0860	J-A-J-O	20,460.03	81,404.63		1082020
049382AC8	ATLAS IX CAPITAL LTD				1,000,000	1,018,500	1,000,000.00	1,000,000	18,500		—		—	—		7.4811	7.5515	J-A-J-O	19,118.37	55,953.97		1072019
05178RAA3	AURORA MILITARY HOUSING MUNI BND 144A		2	1FE	953,739	958,500	900,000.00	937,925.89	20,574.11		(10,981.06	)	—	—		5.3200	4.2156	Jun-Dec	14,098	26,600	12082005	12152020
BRSVLF005	AURORA PARTS AND ACCESSORIES L				5,938,872.53	5,923,875.37	5,998,861.13	5,949,739.75	(25,864.38	)	8,093.51		—	—		—	0.1663	M-J-S-D	—	250,016.86		8172021
0523966K9	AUSTIN TX (CITY OF)			1FE	315,677.25	319,164.3	315,000.00	315,337.62	3,826.68		(128.72	)	—	—		1.7580	1.7009	Mar-Sep	461.48	5,537.7		9012018
0523966L7	AUSTIN TX (CITY OF)			1FE	201,750	205,328	200,000.00	201,058.21	4,269.79		(261.84	)	—	—		2.1080	1.9206	Mar-Sep	351.33	4,216		9012019
0523966M5	AUSTIN TX (CITY OF)			1FE	386,563.1	399,891.8	385,000.00	386,060.27	13,831.53		(191.73	)	—	—		2.3840	2.3101	Mar-Sep	764.87	9,178.4		9012020
05253JAC5	AUSTRALIA & NEW ZEALAND BANKIN SENIOR CO			1FE	774,550.5	775,251	775,000.00	774,850.59	400.41		67.78		—	—		1.4500	1.4621	May-Nov	4,245.28	11,237.5	5092013	5152018

05253JAH4	AUSTRALIA & NEW ZEALAND BANKIN SENIOR CO			2FE	8,391,180	8,415,015.84	8,400,000.00	8,396,156.86	18,858.98		2,200.19		—	—		1.5000	1.5359		Jan-Jul	26,250	126,000		1122015	1162018
05253JAJ0	AUSTRALIA & NEW ZEALAND BANKIN SENIOR CO			1FE	4,995,800	5,046,878.45	5,000,000.00	4,996,999.49	49,878.96		1,027.00		—	—		2.0000	2.0290		May-Nov	37,500	50,000		11092015	11162018
05253JAN1	AUSTRALIA & NEW ZEALAND BANKIN SENIOR CO			1FE	2,799,748	2,795,694.64	2,800,000.00	2,799,765.45	(4,070.81	)	17.45		—	—		1.6000	1.6031		Jan-Jul	9,457.78	—		7112016	7152019
05254HAA2	AUSTRALIA AND NEW ZEALAND BANK CAPSEC CO	F	1	2FE	1,610,000	1,777,134.1	1,610,000.00	1,610,000	167,134.1		—		—	—		6.7500	6.7495		Jun-Dec	31,998.75	—		6072016	12312049
053015AD5	AUTOMATIC DATA PROCESSING INC			1FE	537,521.18	554,286.29	538,000.00	537,616.78	16,669.51		95.12		—	—		2.2500	2.2689		Mar-Sep	538	22,740.38			9152020
05329WAL6	AUTONATION INC CORP BND		1	2FE	4,599,908	4,728,506.75	4,600,000.00	4,599,908	128,598.75		—		—	—		3.3500	3.3511		Jan-Jul	32,532.23	125,848.33		2242016	1152021
053332AU6	AUTOZONE INC			2FE	219,846	220,541.26	220,000.00	219,868.39	672.87		22.39		—	—		1.6250	1.6490		Apr-Oct	1,588.89	—			4212019
BRT3V9LV8	AVAGO TECHNOLOGIES CAYMAN FINA SENIOR SE	F		2FE	439,274.89	448,572.96	443,445.40	439,379.81	9,193.15		343.94		—	—		—	0.1433		M-J-S-D	—	6,832.71		0	2012023
BRSC7W2L8	AWAS AVIATION SERVICES INC			2FE	708,002.87	712,450.12	711,560.67	707,942.82	4,507.3		167.05		—	—		4.0000	4.3323		M-J-S-D	—	16,416.36			6112018
BRSU5BES8	AWP INC SENIOR SECURED REVOLVE LOAN				130,307.26	128,678.41	130,307.26	130,307.26	(1,628.85	)	(965.80	)	—	—		—	—		M-J-S-D	—	925.34		9162016	6052020
BRSU5BEP4	AWP INC SENIOR SECURED TERM LOAN				3,692,744.73	3,646,585.42	3,692,744.73	3,692,744.73	(46,159.31	)	—		—	—		—	—		M-J-S-D	—	151,560.03		6092015	6052021
04280PAA5	AWPT_14-2A ABS 14-2A 144A	F	2		1,089,550	1,098,008.34	1,100,000.00	1,093,101.13	4,907.21		1,595.35		—	—		2.3454	2.5641		M-J-S-D	1,361.66	17,490.81		1232015	3122026
055065AA4	AZZURRO RE I LTD				1,408,562.5	1,411,083.8	1,250,000.00	1,408,562.5	6,333.8		—		—	(3,812.5	)	2.1500	2.1557		J-A-J-O	6,124.32	28,539.71			1162019
BRSWL65W8	B&G FOODS INC TERM NOTES			3FE	2,357,435.22	2,379,943.39	2,369,281.62	2,358,918.59	21,024.8		3,271.98		—	—		—	0.0710		M-J-S-D	—	72,961.98		10222015	11022022
BRSQHT1U4	B/E AEROSPACE INC SENIOR SECURED TERM NO		2	3FE	1,154,834.1	1,169,826.07	1,160,637.30	1,156,264.96	13,561.11		628.51		—	—		—	0.0715		M-J-S-D	—	35,618.29		11212014	12162021
05522RCU0	BACCT ABS 15-A2 A		2	1FE	4,374,475.22	4,389,874.83	4,375,000.00	4,374,646.05	15,228.78		89.53		—	—		1.3600	1.3667		Monthly	2,644.44	44,624.97		4222015	9152020
059513AE1	BACM				2,781,186.38	2,537,172.83	2,486,912.23	2,550,089.06	(12,916.23	)	(135,184.96	)	—	—		5.7455	(1.7744	)	Monthly	12,305.72	217,271.64			2102051
059513AF8	BACM				1,210,891.68	1,112,611.62	1,087,830.83	1,116,261.78	(3,650.16	)	(83,464.69	)	—	—		5.7740	(1.8655	)	Monthly	5,234.28	117,353.06			2102051
06054AAX7	BACM_15-UBS7 LCF SENIOR CMBS_2015-UBS7 A		2		3,425,469.71	3,662,168.63	3,325,000.00	3,417,360.73	244,807.9		(7,158.58	)	—	—		3.7050	3.3400		Monthly	10,265.94	92,393.46		12092015	9152048
06054MAB9	BACM_16-UB10 SENIOR CMBS_16-UB10 A2		2		3,089,985.6	3,114,167.7	3,000,000.00	3,084,127.47	30,040.23		(5,858.13	)	—	—		2.7230	2.0534		Monthly	6,807.5	19,061		5202016	6152049
BRSHC6N35	BAKERCORP INTERNATIONAL INC SENIOR SECUR		2	4FE	1,138,943.4	975,695.23	1,138,943.40	1,138,943.4	(163,248.17	)	—		—	—		—	—		M-J-S-D	—	36,895.92		2062013	2072020
059165EG1	BALTIMORE GAS & ELECTRIC CO			1FE	149,550	148,863.13	150,000.00	149,554.75	(691.62	)	4.75		—	—		2.4000	2.4340		Feb-Aug	430.01	—			8152026
N1R20NHE2	BANK NEDERLANDSE GEMEENTEN BANK NEDERLAN	D		1FE	601,707.2	601,275.96	450,000.00	601,640.62	(1,153.06	)	(66.58	)	—	788.4		1.8750	0.4628		December	8,953.92	(8,852.48	)	9262016	12072018
62944BBJ2	BANK NEDERLANDSE GEMEENTEN SENIOR CORP B	F			2,082,562.04	2,087,084.22	2,084,000.00	2,082,811.89	4,272.33		554.41		—	—		1.1250	1.1600		May-Nov	8,068.25	10,003.13		5182016	5252018
BRSYWHG22	BANK NEDERLANDSE GEMEENTEN SENIOR CORP B	D			1,761,774.02	1,646,721.51	1,250,000.00	1,762,163.47	21,195.2		568.81		—	(136,637.15	)	1.1250	1.0840		March	10,409.8	2,840.25		7262016	3072019
060505EG5	BANK OF AMERICA CORP			3FE	4,862,500	4,918,750	5,000,000.00	4,862,500	56,250		—		—	—		5.1250	5.2699		Jun-Dec	74,027.78	128,125
060505EH3	BANK OF AMERICA CORP			3FE	4,876,597	5,014,660	4,816,000.00	4,869,231.12	145,428.88		(3,878.87	)	—	—		6.2500	6.2495		Mar-Sep	21,738.89	301,000			12312049
060505EN0	BANK OF AMERICA CORP			3FE	1,428,637.5	1,433,801.25	1,377,000.00	1,422,814.82	10,986.43		(3,105.59	)	—	—		6.1000	5.6009		Mar-Sep	3,266.55	123,985.89			12312049
06051GEQ8	BANK OF AMERICA CORP CORP BND			2FE	2,692,116	2,732,049	2,700,000.00	2,699,183.34	32,865.66		1,253.36		—	—		3.8750	3.9399		Mar-Sep	2,615.63	104,625		3192012	3222017
U5904RYZ0	BANK OF AMERICA CORP CORP BND	O		1FE	1,484,207.44	1,215,910.3	850,000.00	1,406,302.57	10,851.95		(63,758.60	)	—	(201,244.23	)	7.7500	1.8070		April	36,104.2	109,569.32		1062016	4302018
06050TME9	BANK OF AMERICA CORP SENIOR CORP BND			1FE	4,704,215	4,751,285.04	4,700,000.00	4,703,542.87	47,742.17		(672.13	)	—	—		2.0500	2.0500		Jun-Dec	30,510.83	44,160.42		4252016	12072018
06051GEX3	BANK OF AMERICA CORP SENIOR CORP BND			2FE	3,958,929	3,976,091.85	3,900,000.00	3,929,818.75	46,273.1		(10,056.12	)	—	—		2.6000	2.2552		Jan-Jul	21,406.67	119,513.33		2242016	1152019
06051GFD6	BANK OF AMERICA CORP SENIOR CORP BND MTN			2FE	1,017,280	1,021,271.13	1,000,000.00	1,014,895.49	6,375.64		(2,593.91	)	—	—		2.6500	2.0359		Apr-Oct	13,250	3,018.05		4272016	4012019
06051GFT1	BANK OF AMERICA CORP SENIOR CORP BND MTN			2FE	5,730,710.75	5,833,604.74	5,725,000.00	5,730,353.11	103,251.63		(417.05	)	—	—		2.6250	2.4519		Apr-Oct	67,626.57	61,067.72		4272016	10192020

U5904QAC9	BANK OF AMERICA CORP SUB COROP BND	O		2FE	548,143.24	540,056.25	360,000.00	545,614.02	4,430.18		(2,529.22	)	—	(9,987.95	)	5.5000	2.4407	November	22,065.97	(17,086.62	)	7262016	11222021
06051GFL8	BANK OF AMERICA CORP SUB CORP BND			2FE	2,028,700	2,104,204.4	2,000,000.00	2,025,678.89	78,525.51		(1,523.83	)	—	—		4.2500	4.0930	Apr-Oct	37,541.67	42,500		3122015	10222026
06051GFP9	BANK OF AMERICA CORP SUB CORP BND MTN			2FE	1,495,575	1,548,733.98	1,500,000.00	1,496,111.98	52,622		351.99		—	—		3.9500	3.9861	Apr-Oct	26,333.33	35,550		4162015	4212025
063679ZT4	BANK OF MONTREAL			1FE	2,196,150	2,205,504.4	2,200,000.00	2,199,735.41	5,768.99		(6,351.66	)	—	—		1.9500	1.9869	Jan-Jul	7,269.17	65,024.38			1302017
06367XF30	BANK OF MONTREAL SECURED LOCAL BND 144A	A		1FE	1,003,160	1,001,320.04	1,000,000.00	1,003,105.46	(1,785.42	)	(54.54	)	—	—		1.7500	1.6809	Jun-Dec	5,152.78	(3,597.22	)	8242016	6152021
06366RHA6	BANK OF MONTREAL SENIOR CORP BND MTN	A		1FE	130,209.3	130,109.86	130,000.00	130,093.43	16.43		(126.12	)	—	—		1.4000	1.3232	Mar-Sep	101.11	3,372.06		7162015	9112017
06366RMS1	BANK OF MONTREAL SENIOR CORP BND MTN	A	1	1FE	249,595	250,251.05	250,000.00	249,774.54	476.51		108.97		—	—		1.4500	1.5102	Apr-Oct	1,731.94	1,812.5		7072015	4092018
06367THQ6	BANK OF MONTREAL SENIOR CORP BND MTN	A		1FE	7,947,363.2	7,934,055.84	7,955,000.00	7,947,872.14	(13,816.3	)	508.94		—	—		1.5000	1.5329	Jan-Jul	24,196.46	—		7132016	7182019
06367THR4	BANK OF MONTREAL SENIOR CORP BND MTN	A		1FE	3,000,000	3,006,029.88	3,000,000.00	3,000,000	6,029.88		—		—	—		1.3291	1.3291	J-A-J-O	8,306.88	—		7132016	7182019
064058AD2	BANK OF NEW YORK MELLON CORP/T			2FE	8,274,550	8,430,156.25	8,275,000.00	8,274,550	155,606.25		—		—	—		4.9500	4.9515	Jun-Dec	114,919.07	167,268.75
064058AF7	BANK OF NEW YORK MELLON CORP/T			2FE	5,870,000	5,781,950	5,870,000.00	5,870,000	(88,050	)	—		—	—		4.6250	4.6250	Mar-Sep	45,247.93	—
06406HCA5	BANK OF NEW YORK MELLON CORP/T CORP BND		1	1FE	1,497,285	1,504,530	1,500,000.00	1,499,835.05	4,694.95		417.58		—	—		2.4000	2.4379	Jan-Jul	7,400	36,000		11172011	1172017
06406FAA1	BANK OF NEW YORK MELLON CORP/T SENIOR CO		1	1FE	855,270	871,931.45	850,000.00	854,761.68	17,169.77		(508.32	)	—	—		2.5000	2.3668	Apr-Oct	13,104.17	(1,711.81	)	3152016	4152021
06406HCE7	BANK OF NEW YORK MELLON CORP/T SENIOR CO		1	1FE	299,634	300,587.76	300,000.00	299,809.37	778.39		107.28		—	—		1.3000	1.3489	Jan-Jul	715	3,900		7072015	1252018
06406HCK3	BANK OF NEW YORK MELLON CORP/T SENIOR CO			1FE	7,000,000	7,005,179.3	7,000,000.00	7,000,000	5,179.3		—		—	—		1.2751	1.2751	M-J-S-D	6,198.45	68,877.58		6022014	3062018
06406HCU1	BANK OF NEW YORK MELLON CORP/T SENIOR CO		1	1FE	1,996,120	2,035,429.08	2,000,000.00	1,997,923.41	37,505.67		570.99		—	—		2.2000	2.2410	May-Nov	16,622.22	22,000		5022014	5152019
06406HCW7	BANK OF NEW YORK MELLON CORP/T SENIOR CO		1	1FE	1,007,930	1,021,579.59	1,000,000.00	1,006,126.88	15,452.71		(1,514.54	)	—	—		2.3000	2.0766	Mar-Sep	1,277.78	23,000		11102015	9112019
06406HCZ0	BANK OF NEW YORK MELLON CORP/T SENIOR CO		1	1FE	1,397,455	1,423,689.62	1,400,000.00	1,398,229.49	25,460.13		373.52		—	—		2.1500	2.1888	Feb-Aug	3,093.61	30,100		3092015	2242020
06406HDB2	BANK OF NEW YORK MELLON CORP/T SENIOR CO		1	1FE	1,999,820	2,008,006.74	2,000,000.00	1,999,898.52	8,108.22		45.43		—	—		1.6000	1.6031	May-Nov	11,466.67	16,000		5222015	5222018
06406HCR8	BANK OF NEW YORK MELLON/THE SENIOR CORP		1	1FE	7,491,675	7,627,649.7	7,500,000.00	7,495,954.78	131,694.92		1,203.62		—	—		2.2000	2.2230	Mar-Sep	12,375	165,000		1282014	3042019
064159GM2	BANK OF NOVA SCOTIA			1FE	3,998,120	4,017,164.32	4,000,000.00	3,998,926.92	18,237.4		464.75		—	—		1.7000	1.7161	Jun-Dec	20,777.78	34,000			6112018
064159HB5	BANK OF NOVA SCOTIA			2FE	1,172,906.16	1,240,264.22	1,173,000.00	1,172,912.18	67,352.04		6.62		—	—		4.5000	4.5010	Jun-Dec	15,395.63	33,965.63			12162025
064159HC3	BANK OF NOVA SCOTIA			1FE	1,523,185.25	1,539,808.23	1,525,000.00	1,523,606.58	16,201.65		421.33		—	—		1.9500	1.9911	Jan-Jul	6,277.91	14,868.75			1152019
06415CAE9	BANK OF NOVA SCOTIA SECURED LOCAL BND 14	A		1FE	899,010	902,982.6	900,000.00	899,902.14	3,080.46		(19,021.79	)	—	—		1.7500	1.7731	Mar-Sep	393.75	88,613.19		3152012	3222017
06538PAB8	BANK OF TOKYO-MITSUBISHI UFJ L SENIOR CO	F		1FE	1,667,000	1,676,351.82	1,667,000.00	1,667,000	9,351.82		—		—	—		1.8758	1.8758	M-J-S-D	1,476.6	28,481.9		9082015	9142018
06739GBP3	BARCLAYS BANK PLC CORP BND	F		2FE	6,019,695	5,923,951.77	5,500,000.00	5,853,533.49	70,418.28		(60,371.09	)	—	—		5.1400	3.4210	Apr-Oct	131,141.39	141,350		8192014	10142020
06742LAM5	BARCLAYS DRYROCK ISSUANCE TRUS SENIOR AB		2	1FE	3,379,497.06	3,393,614.64	3,380,000.00	3,379,528.39	14,086.25		31.33		—	—		1.5200	1.5331	Monthly	2,283.37	5,993.87		7272016	5162022
06738EAD7	BARCLAYS PLC SENIOR CORP BND	F		2FE	916,761.6	923,901.25	920,000.00	917,934.52	5,966.73		471.76		—	—		2.7500	2.8261	May-Nov	10,049.72	12,650		11032014	11082019
06738EAF2	BARCLAYS PLC SENIOR CORP BND	F		2FE	1,299,883	1,299,819.69	1,300,000.00	1,299,942.25	(122.56	)	29.39		—	—		2.0000	2.0031	Mar-Sep	1,083.33	29,222.22		3092015	3162018
06738EAL9	BARCLAYS PLC SENIOR CORP BND	F		2FE	2,898,405	2,937,763.37	2,900,000.00	2,898,619.41	39,143.96		214.41		—	—		3.2500	3.2620	Jan-Jul	20,682.64	47,125		1052016	1122021
BRSTM9RG9	BASS PRO GROUP LLC SENIOR SECURED TERM L		2	4FE	1,407,814.96	1,406,932.84	1,411,343.29	1,408,689.3	(1,756.46	)	565.19		—	—		—	0.0505	M-J-S-D	—	53,010.55		5292015	6052020
05530QAG5	BAT INTL FIN PLC SENIOR CORP BND 144A	F		1FE	3,854,843.1	3,850,528.34	3,730,000.00	3,852,654.58	(2,126.24	)	(2,188.52	)	—	—		2.7500	1.8280	Jun-Dec	30,202.64	(23,079.38	)	8312016	6152020
BRT31LED2	BAT INTL FIN PLC SENIOR CORP BND EMTN	D	1	1FE	1,656,658.39	1,652,661.2	1,235,000.00	1,656,060.94	10,349.45		(597.45	)	—	(13,749.19	)	1.7500	1.2212	July	6,768.68	(3,569.16	)	9262016	7052021
07177MAG8	BAXALTA INC SENIOR CORP BND			2FE	3,868,411.49	3,885,708.3	3,870,000.00	3,868,677.45	17,030.85		265.96		—	—		2.0000	2.0181	Jun-Dec	21,285	4,085		6032016	6222018

07177MAD5	BAXALTA INC SENIOR CORP BND 144A		1	2FE	3,749,014	3,845,651.14	3,750,000.00	3,749,125.15	96,525.99		268.58		—	—		2.8750	2.8816		Jun-Dec	29,348.96	55,262.29		6032016	6232020
072863AA1	BAYLOR SCOTT & WHITE HOLDINGS			1FE	750,000	751,940.26	750,000.00	750,000	1,940.26		—		—	—		2.1230	2.1210		May-Nov	6,015.16	7,961.26			11152020
05531FAN3	BB&T CORP SENIOR CORP BND MTN		1	1FE	787,675.2	788,610.82	780,000.00	783,638.68	4,972.14		(1,667.40	)	—	—		2.0500	1.7532		Jun-Dec	4,530.5	7,995		11262014	6192018
05531GAA9	BB&T CORP SUB CORP BND MTN		1	1FE	425,524	430,273.62	400,000.00	420,238.24	10,035.38		(2,560.19	)	—	—		3.9500	2.9289		Mar-Sep	395.01	15,800		3042015	3222022
06742LAG8	BCLDRY_14-5 SENIOR ABS2014-5 A		2	1FE	3,394,476.57	3,406,391.58	3,395,000.00	3,394,757.62	11,633.96		158.64		—	—		1.4800	1.4910		Monthly	2,233.16	37,684.53		6012015	9152020
07388VAE8	BEAR STEARNS COMMERCIAL MORTGA CMBS_07-T		2		3,028,531.37	2,758,835.72	2,733,794.17	2,771,469.37	(12,633.65	)	(96,843.56	)	—	—		5.4710	(0.9750	)	Monthly	12,463.82	158,538.1		4162014	1122045
075887BB4	BECTON DICKINSON AND COMPANY			2FE	1,249,587.5	1,250,737.5	1,250,000.00	1,249,991.14	746.36		63.93		—	—		1.7500	1.7569		May-Nov	8,689.24	10,937.5			11082016
075887BE8	BECTON DICKINSON AND COMPANY			2FE	4,395,855.87	4,521,054.7	4,385,000.00	4,392,115.24	128,939.46		(1,581.27	)	—	—		2.6750	2.6235		Jun-Dec	34,537.96	58,649.37			12152019
BRSSLJ0J3	BENDON INC SENIOR SECURED TERM NOTES				501,579.43	456,437.28	501,579.43	501,579.43	(45,142.15	)	—		—	—		—	—		M-J-S-D	—	20,293.54		1282016	3302021
BRSSLJ0T1	BENDON INC SENIOR SECURED TERM NOTES				6,019,917.64	5,417,925.88	6,019,917.64	6,019,917.64	(601,991.76	)	—		—	—		—	—		M-J-S-D	—	253,708.69		4142015	3302021
59562VAX5	BERKSHIRE HATHAWAY ENERGY CO SENIOR CORP		1	1FE	1,506,105	1,518,648.72	1,500,000.00	1,504,044.84	14,603.88		(1,443.29	)	—	—		2.0000	1.8649		May-Nov	11,333.34	15,000		8282015	11152018
BRSHBHS86	BERRY PLASTICS CORP SENIOR SECURED TERM		2	3FE	688,638.62	689,069.02	688,638.62	688,638.62	430.4		1,548.24		—	—		—	—		F-M-A-N	—	149,580.06		10012015	2082020
BRT2CNQ86	BERRY PLASTICS CORP SENIOR SECURED TERM		1	3FE	229,806.44	231,336.64	230,846.09	229,854.27	1,482.37		102.70		—	—		—	0.0707		M-J-S-D	—	1,834.4		6172016	10012022
BRT5C0FT5	BESTOP INC SENIOR SECURED TERM LOAN				2,407,500	2,395,462.5	2,407,500.00	2,407,500	(12,037.5	)	—		—	—		—	—		M-J-S-D	—	—		9202016	7302021
BRSV3DL15	BESTOP INC SENIOR SECURED TERM NOTES				3,990,000	3,910,200	3,990,000.00	3,990,000	(79,800	)	—		—	—		—	—		M-J-S-D	—	194,798.86		7302015	12302049
G1163HET9	BG ENERGY CAPITAL PLC CORP BND EMTN	D		1FE	1,266,440.7	1,091,064.5	800,000.00	1,220,093.8	5,140.07		(21,421.82	)	—	(134,169.36	)	5.1250	1.3059		December	43,509.41	(14,622.56	)	7262016	12072017
095560AJ7	BHILL_13-1A			1FE	672,468.75	669,779.15	675,000.00	672,990.34	(3,211.19	)	257.83		—	—		3.6801	3.7587		J-A-J-O	5,382.15	18,098.77			1152026
055451AP3	BHP BILLITON FINANCE (USA) LTD			1FE	6,706,708	6,733,339	6,725,000.00	6,723,493.26	9,845.74		2,823.25		—	—		1.6250	1.6819		Feb-Aug	11,231.69	109,281.26			2242017
055451AU2	BHP BILLITON FINANCE (USA) LTD			1FE	544,060	547,222.03	500,000.00	536,637.93	10,584.1		(3,518.70	)	—	—		3.8500	2.6940		Mar-Sep	53.47	19,250			9302023
09062XAC7	BIOGEN IDEC INC SENIOR CORP BND			2FE	4,943,836.1	5,104,229.4	4,911,000.00	4,940,233.85	163,995.55		(3,642.27	)	—	—		2.9000	2.7039		Mar-Sep	6,329.73	105,130.81		3222016	9152020
BRSR5ULA4	BIOTELEMETRY INC REVOLVE LOAN				2,485,714.28	2,448,428.56	2,485,714.28	2,485,714.28	(37,285.72	)	—		—	—		—	—		Jun-Dec	—	6,714.29		5132016	12302019
BRSR5UKB3	BIOTELEMETRY INC TERM NOTES				3,964,285.71	3,944,464.28	3,964,285.71	3,964,285.71	(19,821.43	)	—		—	—		—	—		M-J-S-D	—	179,613.09		1022015	12302019
095538AA2	BLUE HALO RE LTD				1,000,000	1,039,710	1,000,000.00	1,000,000	39,710		—		—	—		14.2384	14.4887		M-J-S-D	6,328.18	35,669.29			6212019
095538AB0	BLUE HALO RE LTD				400,000	415,488	400,000.00	400,000	15,488		—		—	—		20.0442	20.5403		M-J-S-D	3,563.42	20,081.6			6212019
095538AC8	BLUE HALO RE LTD				1,500,000	1,533,585	1,500,000.00	1,500,000	33,585		—		—	—		—	—		M-J-S-D	—	21,551.24			7262019
BRSZ4WWJ2	BLUEPAY PROCESSING LLC SENIOR SECURED CO				2,192,738.44	2,181,774.75	2,192,738.44	2,192,738.44	(10,963.69	)	—		—	—		—	—		M-J-S-D	—	82,682.45		1292016	12042021
BRSK4S5S4	BMC SOFTWARE FINANCE INC SENIOR SECURED		2	4FE	3,645,770.3	3,518,769.28	3,654,280.99	3,649,191.23	(130,421.95	)	1,163.79		—	—		—	0.0348		F-M-A-N	—	139,805.8		7162014	9102020
BRSL762A9	BMW FIN N.V.				1,543,559.25	1,313,125.85	1,000,000.00	1,533,401.04	6,969.81		(5,472.80	)	—	(227,245	)	1.7500	1.2546		November	19,626.97	—			11202017
N1430ZAT2	BMW FIN N.V. CORP BND EMTN	D		1FE	2,365,254.6	2,236,577.93	1,630,000.00	2,350,038.69	15,014.44		(15,215.91	)	—	(128,475.19	)	3.3750	1.1214		December	57,012.79	(31,175.18	)	9262016	12142018
05565EAD7	BMW US CAPITAL LLC SENIOR CORP BND 144A			1FE	3,943,264.2	3,952,183.18	3,945,000.00	3,943,532.55	8,650.63		352.08		—	—		1.5000	1.5151		Apr-Oct	27,943.75	8,715		4042016	4112019
05565EAF2	BMW US CAPITAL LLC SENIOR CORP BND 144A		1	1FE	359,096.4	362,396.15	360,000.00	359,177.95	3,218.2		81.55		—	—		2.0000	2.0531		Apr-Oct	3,400	—		4042016	4112021
05565EAK1	BMW US CAPITAL LLC SENIOR CORP BND 144A			1FE	2,621,718.75	2,624,515.53	2,625,000.00	2,621,766.28	2,749.25		47.53		—	—		1.4500	1.4928		Mar-Sep	1,691.67	—		9082016	9132019
05565EAM7	BMW US CAPITAL LLC SENIOR CORP BND 144A		1	1FE	1,894,129	1,897,274.49	1,900,000.00	1,894,163.38	3,111.11		34.38		—	—		2.2500	2.2980		Mar-Sep	1,900	—		9082016	9152023
05582QAD9	BMW VEHICLE OWNER TRUST BMWOT_ SENIOR AB		2	1FE	2,999,986.5	3,000,697.2	3,000,000.00	2,999,985.19	712.01		(1.31	)	—	—		1.1600	1.1626		Monthly	580	6,283.33		7122016	11252020

09658UAD1	BMWOT_14-A ABS 14-A-A4		2	1FE	974,895.38	979,192.5	975,000.00	974,939.72	4,252.78		15.81		—	—		1.5000	1.5071	Monthly	243.75	10,968.75		10082014	2252021
F105C9MT2	BNP PARIBAS SA SENIOR CORP BND EMTN	D			635,964.49	631,806.12	490,000.00	635,981.38	(3,110.47	)	16.89		—	(1,064.79	)	1.1250	1.1659	August	902.44	(343.88	)	9262016	8162022
097023BE4	BOEING CO			1FE	1,970,180	1,993,922.43	2,000,000.00	1,988,518.01	5,404.42		5,208.83		—	—		0.9500	1.1759	May-Nov	7,177.77	9,500			5152018
097023BG9	BOEING CO			1FE	807,568	822,703.36	800,000.00	805,887.36	16,816		(819.04	)	—	—		2.3500	2.1950	Apr-Oct	7,885.56	9,400			10302021
097023BM6	BOEING CO			1FE	376,858.82	381,655.46	382,000.00	377,767.47	3,887.99		742.34		—	—		1.6500	1.9338	Apr-Oct	2,643.76	3,169.01			10302020
10011AAA1	BOSPHORUS LTD SENIOR CORP BND 144A	F			1,080,000	1,090,735.2	1,080,000.00	1,080,000	10,735.2		—		—	—		4.0357	4.0564	M-J-S-D	2,784.63	43,260.67		8112015	8172018
102022AX8	BOURBONNAIS ILL MUNI BND REV		1	1FE	1,236,560.5	1,186,604.5	1,150,000.00	1,180,971.23	5,633.27		(21,014.16	)	—	—		4.3750	1.8538	May-Nov	20,963.54	25,156.25		7272007	11012018
BRSK5A7F8	BOYD GAMING CORPORATION SENIOR SECURED T		2	3FE	1,097,205.51	1,108,057.79	1,104,605.89	1,099,650.65	8,407.14		10,645.17		—	—		—	0.1352	F-M-A-N	—	87,805.96		10012015	8142020
05565QBT4	BP CAPITAL MARKETS PLC CORP BND	F		1FE	4,773,490	4,754,607.5	4,750,000.00	4,750,415.16	4,192.34		(3,670.40	)	—	—		2.2480	2.1432	May-Nov	44,491.67	53,390		12052014	11012016
G1279MKC9	BP CAPITAL MARKETS PLC CORP BND MTN	D		1FE	1,468,608.73	1,467,670.09	1,050,000.00	1,467,645.22	(3,599.71	)	(963.51	)	—	3,624.58		4.3250	0.6922	December	47,708.44	(46,419.83	)	9262016	12102018
05565QBY3	BP CAPITAL MARKETS PLC SENIOR CORP BND	F		1FE	2,125,000	2,131,715	2,125,000.00	2,125,000	6,715		—		—	—		1.8460	1.8460	May-Nov	15,908.93	64,153.63		5022012	5052017
05565QCF3	BP CAPITAL MARKETS PLC SENIOR CORP BND	F		1FE	2,500,000	2,506,272.5	2,500,000.00	2,500,000	6,272.5		—		—	—		1.3165	1.3165	F-M-A-N	4,754.03	19,789.03		5072013	5102018
05565QCZ9	BP CAPITAL MARKETS PLC SENIOR CORP BND	F		1FE	875,000	913,909.77	875,000.00	875,000	38,909.77		—		—	—		3.0620	3.0620	Mar-Sep	1,041.93	26,792.5		3122015	3172022
05565QDC9	BP CAPITAL MARKETS PLC SENIOR CORP BND	F		1FE	2,600,000	2,606,534.92	2,600,000.00	2,600,000	6,534.92		—		—	—		1.6760	1.6760	May-Nov	17,793.53	—		4282016	5032019
BRT410JH2	BP CAPITAL MARKETS PLC SENIOR CORP BND E	D	1	1FE	422,223.75	417,937.58	325,000.00	422,223.75	(4,237.42	)	—		—	(48.75	)	1.1770	1.1762	Feb-Aug	675.14	—		8092016	8122023
07330NAD7	BRANCH BKG & TR CO SENIOR CORP BND		1	1FE	3,804,378.11	3,804,612.53	3,737,000.00	3,772,209.68	32,402.85		(13,284.05	)	—	—		2.3000	1.8025	Apr-Oct	39,632.96	42,975.5		11262014	10152018
07330NAL9	BRANCH BKG & TR CO SENIOR CORP BND		1	1FE	1,852,941.5	1,851,079.48	1,850,000.00	1,852,660.89	(1,581.41	)	(280.61	)	—	—		1.4500	1.3919	May-Nov	10,506.46	(3,055.07	)	6162016	5102019
10620NCG1	BRAZOS HIGHER EDUCATION AUTHOR ABS 11-1		2	1FE	2,002,417.1	2,013,550.4	2,029,768.33	2,019,899.63	(6,349.23	)	3,892.78		—	—		1.6254	1.8572	F-M-A-N	3,390.91	23,702.03		3102011	2252030
110122AV0	BRISTOL-MYERS SQUIBB CO SENIOR CORP BND			1FE	7,465,480	7,593,209.27	7,500,000.00	7,476,414.29	116,794.98		7,087.90		—	—		1.7500	1.8890	Mar-Sep	10,937.5	131,250		11122015	3012019
111013AM0	BRITISH SKY BROADCASTING GRP P SENIOR CO	F		2FE	5,111,910.15	5,195,093.99	5,115,000.00	5,113,076.31	82,017.68		491.65		—	—		2.6250	2.6570	Mar-Sep	5,594.54	134,268.78		11172015	9162019
11102AAA9	BRITISH TELECOMMUNICATIONS PLC CORP BND	F		2FE	1,121,760	1,057,767	1,000,000.00	1,051,743.58	6,023.42		(29,593.45	)	—	—		5.9500	1.8639	Jan-Jul	12,561.11	59,500		12112014	1152018
111021AK7	BRITISH TELECOMMUNICATIONS PLC SENIOR CO	F		2FE	425,110.5	432,813.05	425,000.00	425,067.91	7,745.14		(20.74	)	—	—		2.3500	2.3430	Feb-Aug	1,303.92	9,987.5		12112014	2142019
G1582KAR3	BRITISH TELECOMMUNICATIONS PLC SENIOR LO	D		2FE	1,777,041.92	1,353,113.48	1,000,000.00	1,638,949.55	8,778.94		(64,276.26	)	—	(294,615.01	)	6.6250	1.3435	June	23,577.74	108,325.32		12102014	6232017
114894HA9	BROWARD CNTY FLA MUNITAX BND REV		2	1FE	2,299,520	2,203,320	2,000,000.00	2,222,949.8	(19,629.8	)	(29,353.45	)	—	—		6.9000	4.3924	Apr-Oct	69,000	69,000		5242001	10012021
115637AN0	BROWN-FORMAN CORPORATION SENIOR CORP BND			1FE	1,295,697	1,296,523.67	1,300,000.00	1,298,890.58	(2,366.91	)	639.38		—	—		1.0000	1.0669	Jan-Jul	2,744.44	13,000		12102012	1152018
07387AAW5	BSARM CMO_05-3 2A1		2		604,856.7	576,949.39	616,218.20	606,310.53	(29,361.14	)	(3,005.17	)	—	—		3.1539	3.5376	Monthly	1,619.57	15,244.15		8102007	6252035
07384M3D2	BSARM_04-10 CMO 04-9 22A1		2	2FE	455,383.39	455,882.76	464,203.23	456,446.97	(564.21	)	1,462.94		—	—		3.4955	3.9742	Monthly	1,352.17	12,658.6		8132007	11252034
07388YAE2	BSCMS CMBS 07-PW16 A4		2		666,162.9	604,362.61	595,120.39	603,267.99	1,094.62		(51,171.11	)	—	—		5.7172	0.2311	Monthly	2,930.75	101,117.75		4242014	6112040
G1658KAC5	BSKYB FINANCE UK PLC CORP BND	D		2FE	2,456,890.12	2,183,202.9	1,600,000.00	2,390,392.43	9,835.83		(50,881.31	)	—	(217,025.36	)	5.7500	1.3663	October	113,304.05	(32,286.38	)	9262016	10202017
BRSG4MWQ0	BSN MEDICAL SENIOR SECURED TERM NOTE	E	2		1,569,941.31	1,561,862.42	1,577,638.81	1,574,359.54	(12,497.12	)	845.76		—	—		—	0.0706	J-A-J-O	—	48,205.62		10292012	8282019
12189TAY0	BURLINGTON NORTHERN SANTA FE R CORP BND			2FE	2,363,882.3	2,282,560.75	2,225,000.00	2,281,361.99	1,198.76		(71,535.77	)	—	—		5.6500	1.2824	May-Nov	52,380.2	62,856.25		11172015	5012017
12189LAY7	BURLINGTON NORTHERN SANTA FE R SENIOR CO		1	1FE	503,523.94	555,090.38	505,000.00	503,667.36	51,423.02		96.22		—	—		3.6500	3.6847	Mar-Sep	1,536.03	18,995.71		8142015	9012025
12765JAA6	CAELUS RE IV LTD CORP BND 144A	F			750,000	778,657.5	750,000.00	750,000	28,657.5		—		—	—		5.7747	5.8148	J-A-J-O	11,068.13	14,445.2		2162016	3062020
12800UAL4	CAISSE CENTRALE DESJARDINS SECURED LOCAL	A		1FE	2,699,352	2,705,945.4	2,700,000.00	2,699,942.13	6,003.27		99.51		—	—		1.6000	1.6050	Mar-Sep	3,000	43,200		2282012	3062017

13066YTY5	CALIFORNIA ST DEPT WTR RES MUNITAX BND R		2	1FE	9,260,000	9,302,503.4	9,260,000.00	9,260,000	42,503.4		—		—	—	1.7130	1.7130	May-Nov	1,321.87		—		9142016	5012021
BRSJ7A0J8	CALPINE CONSTRUCTION FINANCE C SENIOR SE			3FE	6,494,549.64	6,485,550.9	6,547,754.57	6,513,333.57	(27,782.67	)	4,954.97		—	—	—	0.0992	M-J-S-D	—		160,249.96		10012015	1312022
BRT4V9ZP4	CAMELOT FINANCE LP / CAMELOT C SENIOR SE		1	4FE	972,312.69	977,504.56	977,198.69	972,312.69	5,191.87		—		—	—	5.2500	4.8650	M-J-S-D	—		—		9162016	9152023
BRSLAJ886	CAMPING WORLD INC SENIOR SECURED TERM NO				300,722.43	301,968.96	301,780.35	300,885.16	1,083.8		176.51		—	—	—	0.0864	M-J-S-D	(2.85	)	12,966.04		9202016	2202020
135087C77	CANADA GOVERNMENT CORP BND	A		1	2,903,898	2,948,400.98	2,900,000.00	2,903,657.52	44,743.46		(1,123.66	)	—	—	1.6250	1.6581	Feb-Aug	4,450.69		47,125		10082015	2272019
135087E42	CANADA GOVERNMENT CORP BND	A		1	1,002,490	1,004,199.98	1,000,000.00	1,001,364.54	2,835.44		(687.24	)	—	—	1.1250	1.0310	Mar-Sep	375		11,250		7022015	3192018
13976AAB6	CAPITAL AUTO RECEIVABLES ASSET SENIOR AB		2		539,972.68	540,183.49	540,000.00	539,973.19	210.3		0.51		—	—	1.3600	1.3679	Monthly	204		—		9122016	4222019
140420NB2	CAPITAL ONE BANK USA NA SUB CORP BND			2FE	755,565	768,072.57	750,000.00	754,626.82	13,445.75		(484.44	)	—	—	3.3750	3.2670	Feb-Aug	3,234.38		25,312.5		3262015	2152023
14042E3Y4	CAPITAL ONE FIN CORP SENIOR CORP BND		1	2FE	9,380,512.5	9,657,721.31	9,375,000.00	9,380,412.96	277,308.35		(835.83	)	—	—	2.9500	2.9950	Jan-Jul	52,239.58		276,562.5		3052015	7232021
14042E5V8	CAPITAL ONE FIN CORP SENIOR CORP BND		1	2FE	10,595,013.65	10,642,831.49	10,515,000.00	10,585,214.03	57,617.46		(10,322.33	)	—	—	2.3500	1.6130	Feb-Aug	30,201.42		119,483.47		6282016	8172018
14040HBH7	CAPITAL ONE FINANCIAL CORP CAPSEC CORP B		1	3FE	3,596,443.75	3,668,087.5	3,605,000.00	3,596,443.75	71,643.75		—		—	—	5.5500	5.5661	Jun-Dec	66,692.5		31,688.19		6172016
14040HAY1	CAPITAL ONE FINANCIAL CORP CORP BND			2FE	722,701.5	721,383.56	650,000.00	719,331.82	2,051.74		(3,369.68	)	—	—	4.7500	2.4140	Jan-Jul	6,518.05		1,101.74		7192016	7152021
14041NFG1	CAPITAL ONE MASTER TRUST SENIOR ABS 2016		2	1FE	1,199,643.6	1,199,640.01	1,200,000.00	1,199,656.12	(16.11	)	12.52		—	—	1.6600	1.6765	Monthly	1,992		—		8182016	6172024
14041NFE6	CAPITAL ONE MULTI-ASSET EXECUT ABS 16-A3		2	1FE	4,444,968.89	4,450,334.13	4,445,000.00	4,444,949.03	5,385.1		(19.86	)	—	—	1.3400	1.3414	Monthly	2,647.24		8,107.2		7182016	4152022
14041NFF3	CAPITAL ONE MULTI-ASSET EXECUT ABS 2016-		2	1FE	4,583,893.64	4,581,790.5	4,585,000.00	4,583,957.45	(2,166.95	)	63.81		—	—	1.3300	1.3479	Monthly	6,098.05		—		8182016	6152022
14041NFA4	CAPITAL ONE MULTI-ASSET EXECUT SENIOR AB		2	1FE	3,999,926.4	4,021,523.2	4,000,000.00	3,999,949.76	21,573.44		35.74		—	—	1.4500	1.4550	Monthly	2,577.78		92,558.3		10192015	8162021
14313TAC3	CARMAX AUTO OWNER TRUST CARMX_ ABS _14-3		2	1FE	867,084.82	867,587.17	867,153.59	867,123.44	463.73		23.39		—	—	1.1600	1.1653	Monthly	447.07		9,810.27		8062014	6172019
14314EAC5	CARMAX AUTO OWNER TRUST CARMX_ SENIOR AB		2		4,249,365.05	4,255,949.96	4,250,000.00	4,249,403.86	6,546.1		38.81		—	—	1.3900	1.3990	Monthly	2,625.56		9,025.35		7142016	5172021
14313RAD5	CARMX_14-2 SENIOR ABS_14-2-A4		2	1FE	1,999,666.6	2,011,199.96	2,000,000.00	1,999,862.59	11,337.37		62.51		—	—	1.6100	1.6197	Monthly	1,431.11		24,149.97		5072014	10152019
14313TAD1	CARMX_14-3 ABS_14-3-A4		2	1FE	2,291,414.06	2,314,277.91	2,295,000.00	2,293,317.27	20,960.64		700.37		—	—	1.7300	1.7798	Monthly	1,764.6		29,777.67		9232014	2182020
14313VAC8	CARMX_15-3 SENIOR ABS 15-3 A3		2	1FE	1,199,924.29	1,206,960.03	1,200,000.00	1,199,945.04	7,014.99		13.62		—	—	1.6300	1.6372	Monthly	869.33		14,670		8062015	5152020
14313VAD6	CARMX_15-3 SENIOR ABS 15-3 A4		2	1FE	249,946.4	253,525.01	250,000.00	249,960.39	3,564.62		9.20		—	—	1.9800	1.9935	Monthly	220		3,712.5		8062015	2162021
14314MAD5	CARMX_16-2 SENIOR ABS_16-2 A4		2	1FE	1,259,581.18	1,268,190.02	1,260,000.00	1,259,625.38	8,564.64		44.20		—	—	1.6800	1.6944	Monthly	940.8		8,526		4122016	9152021
BRSWNA5P2	CARR MANAGEMENT INC SENIOR SECURED TERM				4,046,399.99	4,026,066.33	4,066,733.67	4,050,159.45	(24,093.12	)	4,451.29		—	—	—	0.0992	M-J-S-D	—		200,814.48		10152015	10222020
BRSS9F410	CASCADE DRILLING L.P. SENIOR SECURED TE				4,347,013.31	4,325,278.24	4,347,013.31	4,347,013.31	(21,735.07	)	—		—	—	—	—	M-J-S-D	—		188,881.22		3092015	2202021
BRSS9F6W0	CASCADE DRILLING L.P. SENIOR SECURED TE				765,395.93	761,568.96	765,395.94	765,395.93	(3,826.97	)	—		—	—	—	—	M-J-S-D	—		(64,952.69	)	9152016	2202020
BRT4DFYL0	CASCADE DRILLING L.P. TERM LOAN				1,680,566.49	1,672,163.66	1,680,566.49	1,680,566.49	(8,402.83	)	—		—	—	—	—	F-M-A-N	—		16,805.66		8192016	2202021
14855GAB7	CASTLELAKE AIRCRAFT SECU TRUST ABS_14-1		2	1FE	576,928.95	568,318.06	574,058.65	576,270.86	(7,952.8	)	(1,887.83	)	—	—	5.2500	5.0865	Monthly	1,339.47		31,323.14		1052015	2152029
BRSN5MWG6	CATALENT PHARMA SOLUTIONS INC SENIOR SEC		2	4FE	3,864,391.62	3,907,004.77	3,883,810.65	3,870,706.78	36,297.99		2,243.63		—	—	—	0.0721	M-J-S-D	—		123,740.6		10012015	5202021
14912L6J5	CATERPILLAR INC CORP BND MTN			1FE	3,971,720	4,047,330.92	4,000,000.00	3,977,792.07	69,538.85		4,640.34		—	—	2.0000	2.1689	Mar-Sep	5,777.78		80,000		10062015	3052020
14912L6M8	CATERPILLAR INC SENIOR CORP BND			1FE	2,997,210	3,024,332.88	3,000,000.00	2,998,015.91	26,316.97		683.56		—	—	1.8000	1.8320	May-Nov	20,700		27,000		11092015	11132018
14912L5T4	CATERPILLAR INC SENIOR CORP BND MTN			1FE	1,016,550	1,020,705.72	1,000,000.00	1,008,289.66	12,416.06		(3,124.00	)	—	—	2.4500	2.0101	Mar-Sep	1,701.39		24,500		9032013	9062018
14912L6L0	CATERPILLAR INC SENIOR CORP BND MTN			1FE	2,899,739	2,919,053.38	2,900,000.00	2,899,849.85	19,203.53		64.51		—	—	1.7000	1.7031	Jun-Dec	14,379.17		24,650		6112015	6162018
12479RAB3	CAUTO_14-1A ABS_14-1A A 144A		2	1FE	2,998,196.46	3,002,190.6	3,000,000.00	2,998,386.75	3,803.85		94.23		—	—	3.6600	3.6980	Monthly	4,880		82,350		10102014	10152044

BRT3WC3F5	CAVIUM INC SR SECURED TERM NOTE		1	3FE	117,857.14	119,940.48	119,047.62	117,878.29	2,062.19		21.15		—	—	—	0.1657	M-J-S-D	—	297.62	8102016	8162022
124857AL7	CBS CORP SENIOR CORP BND		1	2FE	1,973,560	2,022,911.84	2,000,000.00	1,984,039.16	38,872.68		3,977.99		—	—	2.3000	2.5902	Feb-Aug	5,877.78	46,000	9032014	8152019
BRSLW9ZY7	CBS OUTDOOR AMERICAS CAPITAL L SENIOR SE		2	3FE	1,815,325.32	1,820,633.89	1,819,875.00	1,817,035.26	3,598.63		780.37		—	—	—	0.0355	M-J-S-D	—	54,174.24	1172014	2012021
17119YAC1	CCART_14-BA ABS _14-BA-A3 144A		2	1FE	1,382,215.06	1,383,639.01	1,382,477.73	1,382,400.89	1,238.12		169.79		—	—	1.2700	1.2819	Monthly	780.33	21,739.24	9182014	5152019
17305EFU4	CCCIT_14-A8 SENIOR ABS 2014-A8 A8		2	1FE	12,541,783.29	12,604,907.75	12,490,000.00	12,524,315.3	80,592.45		(16,514.57	)	—	—	1.7300	1.5212	Apr-Oct	103,236.79	121,109.61	12102015	4092020
12532LAU9	CCMS_16-RNDB SENIOR CMBS_16-RNDB AFL		2	1FE	5,016,793.54	5,042,122.83	5,016,793.54	5,016,793.54	25,329.29		—		—	—	2.1743	2.1841	Monthly	4,847.96	89,588.25	3212016	2152033
15136WAG9	CECLO_13-20A MEZZANINE ABS 2013-20A B1 1	F	2	1FE	490,825	498,829.1	500,000.00	491,050.72	7,778.38		225.72		—	—	2.7145	3.1293	J-A-J-O	2,563.69	879.37	6282016	1252026
BRT1UYWP9	CENGAGE LEARNING INC SECURED TERM NOTES		1	4FE	3,429,730.19	3,454,695.26	3,459,639.09	3,430,487.08	24,208.18		843.59		—	—	—	0.1216	M-J-S-D	—	22,608.81	7072016	6072023
15672NAA2	CERB_14-1A ABS_14-1A-A 144A		2		1,131,394.89	1,130,596.35	1,131,394.89	1,131,394.89	(798.54	)	—		—	—	2.5801	2.5852	J-A-J-O	6,324.74	27,657.4	11202014	10152023
15672NAC8	CERB_14-1A MEZZANIN ABS _14-1A-B 144A		2		991,577.3	1,000,511.7	1,000,000.00	996,022.27	4,489.43		1,559.85		—	—	3.3801	3.6594	J-A-J-O	7,323.55	24,529.67	11202014	10152023
15672TAE1	CERB_2015-1A ABS_2015-1A B 144A		2	1FE	496,000	499,968.25	500,000.00	496,278.77	3,689.48		278.77		—	—	3.7301	3.9551	J-A-J-O	3,937.33	1,941.36	5262016	11062025
15672LAD0	CERBERUS ONSHORE II CLO LLC CE MEZZANIN		2	1FE	497,000	493,529.25	500,000.00	497,333.37	(3,804.12	)	333.37		—	—	4.6801	4.9311	J-A-J-O	5,070.11	2,892.72	5252016	10152023
156792GT4	CERRITOS CALIF CMNTY COLLEGE D MUNI BND			1FE	500,000	511,765	500,000.00	500,000	11,765		—		—	—	2.1650	2.1650	Feb-Aug	1,804.17	10,825	11052014	8012019
17324DAU8	CGCMT_15-P1 LCF SENIOR CMBS 15-P1		2	1FM	1,029,952.4	1,095,780.03	1,000,000.00	1,026,830.56	68,949.47		(2,101.96	)	—	—	3.7170	3.3607	Monthly	3,097.5	27,877.5	8062015	9152048
29429CAD7	CGCMT_16-P3 LCF SENIOR CMBS_16-P3 A4		2		3,604,769	3,724,311.5	3,500,000.00	3,600,094.1	124,217.4		(4,674.90	)	—	—	3.3290	2.9706	Monthly	9,709.58	44,664.06	3292016	4152049
12532LAA3	CGGS COMMERCIAL MORTGAGE TRUST SENIOR C		2	1FE	5,813,806.75	5,894,854.52	5,800,000.00	5,812,059.48	82,795.04		(1,747.27	)	—	—	2.7570	1.4765	Monthly	13,325.5	57,391.55	9022016	2102033
14310KAC5	CGMS_13-4 SENIOR ABS 13-4 A1 144A	F	2	1FE	1,489,350	1,498,676.55	1,500,000.00	1,493,113.94	5,562.61		1,629.67		—	—	2.1501	2.3183	J-A-J-O	6,987.83	22,751.99	1232015	10152025
14311DAC0	CGMS_15-1A ABS_15-1A A 144A	F	2	1FE	4,987,000	4,995,000	5,000,000.00	4,990,376.25	4,623.75		1,604.68		—	—	2.2256	2.2793	J-A-J-O	22,565.11	78,179.09	2052015	4202027
161571FU3	CHAIT_13-A1 ABS 13-A1		2	1FE	3,165,795.7	3,202,667.94	3,195,000.00	3,183,137.6	19,530.34		6,375.37		—	—	1.3000	1.5788	Monthly	1,846	31,151.25	9042014	2182020
161571FW9	CHAIT_13-A3 ABS 13-A3		2		960,000	961,152.03	960,000.00	960,000	1,152.03		—		—	—	0.8043	0.8056	Monthly	343.16	5,312.46	4122013	4152020
161571GT5	CHAIT_15-A2 ABS_15-A2 A		2	1FE	6,229,695.35	6,269,248.81	6,230,000.00	6,229,853.11	39,395.7		86.96		—	—	1.5900	1.5970	Monthly	4,402.54	85,500.04	3062015	2182020
808513AK1	CHARLES SCHWAB CORPORATIO SENIOR CORP BN		1	1FE	668,795.03	671,161.26	669,000.00	668,881.42	2,279.84		41.84		—	—	1.5000	1.5087	Mar-Sep	585.38	10,035	3042015	3102018
808513AL9	CHARLES SCHWAB CORPORATIO SENIOR CORP BN		1	1FE	318,656	331,622.16	320,000.00	318,839.65	12,782.51		89.12		—	—	3.0000	3.0490	Mar-Sep	560	9,600	3032015	3102025
BRSJ315T5	CHARTER COMMUNICATION OPER LLC SENIOR SE		2	2FE	2,058,546.1	2,090,435.04	2,087,245.73	2,068,270.9	22,164.14		4,384.41		—	—	—	0.2114	J-A-J-O	—	100,736.48	7102014	1032021
BRT215AC5	CHARTER COMMUNICATION OPER LLC TERM NOTE		1	2FE	689,826.97	695,411.49	691,378.68	689,905.46	5,506.03		86.29		—	—	—	0.0333	M-J-S-D	—	8,969.3	5312016	1242023
161571GH1	CHASE ISSUANCE TRUST ABS 13-A9 A		2	1FE	700,000	703,290.01	700,000.00	700,000	3,290.01		—		—	—	0.9443	0.9461	Monthly	293.78	9,862.13	12102013	11162020
161571HE7	CHASE ISSUANCE TRUST ABS 16-A4		2	1FE	15,102,478.98	15,151,825.21	15,105,000.00	15,102,582.44	49,242.77		103.46		—	—	1.4900	1.4990	Monthly	10,002.86	30,008.6	7202016	7152022
161571FQ2	CHASE ISSUANCE TRUST CHAIT_12- ABS 12-A7		2	1FE	5,000,000	5,078,500	5,000,000.00	5,000,000	78,500		—		—	—	2.1600	2.1697	Monthly	4,800	81,000	1302015	9162024
161571HC1	CHASE ISSUANCE TRUST CHAIT_16- CHAIT_16-		2	1FE	9,999,976	10,033,000.2	10,000,000.00	9,999,903.67	33,096.53		(72.33	)	—	—	1.3700	1.3715	Monthly	6,088.89	33,488.9	6072016	6152021
161630BD9	CHASE MORTGAGE FINANCE CORPORA CMO_07-A1		2	1FE	1,649,352.97	1,490,396.77	1,633,717.76	1,647,000.95	(156,604.18	)	(12,557.04	)	—	—	2.7931	2.5572	Monthly	3,802.59	35,998	1182008	3252037
BRST4R1R3	CHEMOURS COMPANY LLC SENIOR SECURED TERM		2	3FE	1,847,785.26	1,854,417.3	1,875,516.86	1,852,054.1	2,363.2		3,171.06		—	—	—	0.2207	M-J-S-D	—	53,808.81	9182015	5122022
166430AA6	CHEST_14-1A ABS _14-1A-A 144A		2	1FE	2,499,000	2,499,864.65	2,499,000.00	2,499,000	864.65		—		—	—	4.5000	4.5246	M-J-S-D	4,998	93,082.5	12112014	12152034
166764AG5	CHEVRON CORP SENIOR CORP BND		1	1FE	4,070,440	4,110,494.08	4,000,000.00	4,056,073.34	54,420.74		(11,058.63	)	—	—	2.4270	2.0248	Jun-Dec	26,157.67	48,540	10062015	6242020
166764AV2	CHEVRON CORP SENIOR CORP BND			1FE	2,380,000	2,388,536.42	2,380,000.00	2,380,000	8,536.42		—		—	—	1.3650	1.3650	Mar-Sep	2,617.01	32,487	2242015	3022018

166764AY6	CHEVRON CORP SENIOR CORP BND		1	1FE	975,000	1,000,612.19	975,000.00	975,000	25,612.19		—		—	—		2.4190	2.4165	May-Nov	8,778.96	11,792.63		11092015	11172020
166764BH2	CHEVRON CORP SENIOR CORP BND			1FE	1,750,000	1,753,791.01	1,750,000.00	1,750,000	3,791.01		—		—	—		1.5610	1.5610	May-Nov	10,244.06	—		5092016	5162019
BRT1ZYMR1	CHG HEALTHCARE SERVICES INC SENIOR SECUR		1	4FE	772,853.24	780,759.64	776,736.92	773,008.7	7,750.94		174.98		—	—		—	0.0710	M-J-S-D	—	7,304.38		5262016	6072023
BRSUZA516	CHI OVERHEAD DOORS INC SENIOR SECURED TE				400,573.56	400,406.08	401,577.48	400,734.64	(328.56	)	115.67		—	—		—	0.0356	M-J-S-D	—	14,252.85		7282015	7292022
BRSR021B1	CHIEF POWER FINANCE LLC SENIOR SECURED T			4FE	3,362,419.74	2,768,052.62	3,396,383.58	3,372,146.72	(604,094.1	)	4,499.61		—	—		—	0.1662	M-J-S-D	—	150,071.49		10012015	12312020
170016XW4	CHIPPEWA VALLEY MICH SCHS MUNI BND GO		1	1FE	6,265,211	6,449,312	5,450,000.00	6,093,459.66	355,852.34		(65,407.00	)	—	—		5.0000	3.0097	May-Nov	113,541.67	136,250		9162013	5012027
BRSM3VKC2	CHRYSLER GROUP LLC SENIOR SECURED TERM N		2	2FE	1,719,902.13	1,729,471.36	1,728,544.86	1,724,528.36	4,943		5,131.02		—	—		—	0.1020	F-M-A-N	—	66,597.38		10012015	12312018
BRSTEHXK4	CHS/COMMUNITY HEALTH SYSTEMS I SENIOR SE		2	3FE	660,686.01	658,074.16	671,599.50	661,688.96	(3,614.8	)	1,058.21		—	—		—	0.4515	M-J-S-D	—	6,384.36		5202016	12312019
12548CAD9	CIFC FUNDING 2014-II LTD CIFC_ MEZZANIN	F	2	1FE	1,918,000	1,984,217	2,000,000.00	1,937,110.53	47,106.47		7,341.15		—	—		3.6754	4.3331	F-M-A-N	7,759.26	51,839.26		10232014	5262026
12549BAC2	CIFC_13-2A ABS _13-2A-A1L 144A	F	2	1FE	977,000	995,270.9	1,000,000.00	986,410.52	8,860.38		4,175.02		—	—		1.8291	2.4095	J-A-J-O	3,810.63	12,674.92		12232014	4212025
12549FAN9	CIFC_13-4A MEZZANIN ABS_13-4A C2 144A	F	2	1FE	1,003,500	1,000,218.9	1,000,000.00	1,003,388.29	(3,169.39	)	(111.71	)	—	—		4.0793	3.9671	F-M-A-N	3,739.39	(217.59	)	8262016	11272024
BRSKAX1N1	CINCINNATI BELL INC SENIOR SECURED TERM		2		2,696,855.84	2,711,380.9	2,710,250.72	2,702,300.25	9,080.65		1,615.18		—	—		—	0.0734	M-J-S-D	—	82,735.6		11202014	9102020
17275RAR3	CISCO SYSTEMS INC SENIOR CORP BND			1FE	500,100	509,583.97	500,000.00	500,057.95	9,526.02		(17.33	)	—	—		2.1250	2.1201	Mar-Sep	885.42	10,625		2242014	3012019
17275RAT9	CISCO SYSTEMS INC SENIOR CORP BND			1FE	3,499,790	3,505,005.35	3,500,000.00	3,499,970.01	5,035.34		52.74		—	—		1.1000	1.1020	Mar-Sep	2,994.44	38,500		9182014	3032017
17275RAU6	CISCO SYSTEMS INC SENIOR CORP BND			1FE	6,552,698	6,600,744.62	6,550,000.00	6,551,886.5	48,858.12		(815.81	)	—	—		1.6500	1.6559	Jun-Dec	31,822.08	54,037.5		11122015	6152018
17275RBA9	CISCO SYSTEMS INC SENIOR CORP BND			1FE	3,300,000	3,318,431.49	3,300,000.00	3,300,000	18,431.49		—		—	—		1.4000	1.4000	Feb-Aug	4,235	22,843.33		2222016	2282018
17275RBD3	CISCO SYSTEMS INC SENIOR CORP BND			1FE	394,241.6	403,970.53	395,000.00	394,326.22	9,644.31		84.62		—	—		2.2000	2.2409	Feb-Aug	796.59	4,296.72		2222016	2282021
17275RBG6	CISCO SYSTEMS INC SENIOR CORP BND			1FE	10,987,790	11,023,498.53	11,000,000.00	10,987,911.48	35,587.05		121.48		—	—		1.4000	1.4379	Mar-Sep	4,705.56	—		9132016	9202019
17305EFS9	CITIBANK CREDIT CARD MASTER TR ABS_14-A6		2	1FE	4,866,375	4,903,680.19	4,800,000.00	4,845,408.79	58,271.4		(11,887.16	)	—	—		2.1500	1.8001	Jan-Jul	21,786.67	103,200		5272015	7152021
17318UAB0	CITIGROUP COMMERCIAL MORTGAGE CMBS_12-GC		2		6,058,828.12	6,012,504	6,000,000.00	6,023,341.78	(10,837.78	)	(12,324.92	)	—	—		1.8130	1.5296	Monthly	9,065	81,585		8072014	9102045
17322VAR7	CITIGROUP COMMERCIAL MORTGAGE SENIOR CMB		2		3,316,556.2	3,319,304.8	3,220,000.00	3,272,294.82	47,009.98		(15,403.38	)	—	—		2.8510	2.1692	Monthly	7,650.18	68,851.62		7172014	7102047
172967GR6	CITIGROUP INC CAPSEC CORP BND		1	3FE	5,661,875	5,932,500	6,000,000.00	5,668,387.74	264,112.26		2,479.23		—	—		5.3500	5.6274	May-Nov	121,266.67	160,500		11252014	12312049
172967KD2	CITIGROUP INC CAPSEC CORP BND		1	3FE	3,420,000	3,556,800	3,420,000.00	3,420,000	136,800		—		—	—		6.1250	6.1246	May-Nov	79,135	105,901.25		11052015	12312049
U17406BD7	CITIGROUP INC CORP BND	O		2FE	1,152,668.76	1,047,859.46	750,000.00	1,136,033.18	16,474.92		(16,635.58	)	—	(104,648.64	)	5.1250	2.3504	December	40,107.95	(9,627.14	)	7262016	12122018
U17406FZ4	CITIGROUP INC CORP BND	O		1FE	1,122,469.36	926,295.93	650,000.00	1,062,892.53	7,461.2		(35,842.13	)	—	(144,057.79	)	7.6250	1.6532	April	31,926.27	96,912.56		7262016	4032018
172967HC8	CITIGROUP INC SENIOR CORP BND			2FE	2,033,660	2,031,922.6	2,000,000.00	2,016,225.83	15,696.77		(5,930.18	)	—	—		2.5000	2.0809	Mar-Sep	694.44	50,000		7012014	9262018
172967HU8	CITIGROUP INC SENIOR CORP BND			2FE	1,989,140	2,038,607.34	2,000,000.00	1,993,504.82	45,102.52		1,675.51		—	—		2.5000	2.6200	Jan-Jul	8,611.11	61,250		9102014	7292019
172967JJ1	CITIGROUP INC SENIOR CORP BND			2FE	2,487,500	2,531,404.88	2,500,000.00	2,491,294.85	40,110.03		4,231.34		—	—		2.4000	2.5081	Feb-Aug	7,166.67	213,926		3052015	2182020
172967JN2	CITIGROUP INC SENIOR CORP BND			2FE	6,504,315.75	6,531,081.36	6,525,000.00	6,514,030.66	17,050.7		5,118.18		—	—		1.7000	1.8090	Apr-Oct	47,451.25	55,462.5		4222015	4272018
172967JW2	CITIGROUP INC SENIOR CORP BND			1FE	199,948	201,723.72	200,000.00	199,967.91	1,755.81		12.80		—	—		2.1500	2.1590	Jan-Jul	728.61	4,300		7232015	7302018
172967KB6	CITIGROUP INC SENIOR CORP BND			2FE	993,750	1,020,417.18	1,000,000.00	994,804.08	25,613.1		1,146.69		—	—		2.6500	2.7860	Apr-Oct	11,409.72	23,481.94		11102015	10262020
172967KS9	CITIGROUP INC SENIOR CORP BND			2FE	1,219,365.6	1,228,378.57	1,220,000.00	1,219,429.53	8,949.04		63.93		—	—		2.0500	2.0680	Jun-Dec	7,780.89	—		6022016	6072019
172967KW0	CITIGROUP INC SENIOR CORP BND			2FE	10,000,000	10,050,399	10,000,000.00	10,000,000	50,399		—		—	—		1.9491	1.9491	F-M-A-N	32,485	—		7262016	8022021
172967KX8	CITIGROUP INC SENIOR CORP BND		1	2FE	5,981,040	6,028,320	6,000,000.00	5,981,276.97	47,043.03		236.97		—	—		2.2554	2.3037	M-J-S-D	13,532.64	—		8192016	9012023

172967GK1	CITIGROUP INC SUB CORP BND			2FE	5,661,425	5,793,547.87	5,500,000.00	5,622,963.78	170,584.09		(14,045.50	)	—	—	4.0500	3.6210	Jan-Jul	37,743.75	222,750	8192014	7302022
172967KJ9	CITIGROUP INC SUB CORP BND			2FE	998,020	1,066,456.53	1,000,000.00	998,108.81	68,347.72		88.81		—	—	4.6000	4.6250	Mar-Sep	2,811.11	23,000	3012016	3092026
17401QAD3	CITIZENS BANK NA SENIOR CORP BND MTN		1	2FE	4,999,450	5,081,270.2	5,000,000.00	4,999,547.29	81,722.91		97.29		—	—	2.5000	2.5038	Mar-Sep	5,902.78	62,500	3092016	3142019
177510AC8	CITRUS RE LTD CORP BND 144A	F			1,000,000	1,024,400	1,000,000.00	1,000,000	24,400		—		—	—	5.1901	5.2232	J-A-J-O	10,812.79	37,895.36	4012015	4092018
177510AD6	CITRUS RE LTD CORP BND 144A	F			650,000	663,695.5	650,000.00	650,000	13,695.5		—		—	—	6.6201	6.6739	J-A-J-O	8,964.77	31,680.69	4012015	4092018
177510AE4	CITRUS RE LTD CORP BND 144A	F			250,000	255,975	250,000.00	250,000	5,975		—		—	—	—	—	J-A-J-O	—	18,154.8	4012015	4092018
177510AF1	CITRUS RE LTD CORP BND 144A	F			250,000	257,830	250,000.00	250,000	7,830		—		—	—	7.8095	7.8877	J-A-J-O	4,067.43	7,703.06	2192016	2252019
177510AG9	CITRUS RE LTD CORP BND 144A	F			250,000	258,467.5	250,000.00	250,000	8,467.5		—		—	—	10.8001	10.9498	J-A-J-O	5,625.07	10,723.88	2192016	2252019
73723RSH7	CITY OF PORTSMOUTH VA MUNITAX BND GO				2,250,000	2,254,905	2,250,000.00	2,250,000	4,905		—		—	—	1.4180	1.4180	Feb-Aug	5,317.5	31,905	9292015	2012017
411707AA0	CKE RESAURANT HOLDINGS INC HNG ABS_13-1A		2	2FE	487,333.3	475,025.15	473,750.00	476,913.91	(1,888.76	)	(8,802.98	)	—	—	4.4740	4.3054	M-J-S-D	647.64	16,022.52	2252015	3202043
180848DS9	CLARK CNTY NEV ARPT REV MUNITAX BND GO		1	1FE	4,625,530	4,429,521.7	3,910,000.00	4,352,734.78	76,786.92		(103,245.76	)	—	—	5.8600	2.0521	May-Nov	95,469.17	114,563	6102009	11012020
125634AJ4	CLI FUNDING LLC CLIF_13-2A ABS 13-2A 144		2	1FE	373,575.91	376,709.46	386,760.00	373,916.1	2,793.36		798.21		—	—	3.2200	4.2307	Monthly	449.72	2,173.24	7142016	6182028
125634AQ8	CLIF_14-2A ABS_14-2A A 144A		2	1FE	2,825,094.15	2,741,626.1	2,826,225.49	2,825,276.93	(83,650.83	)	165.96		—	—	3.3800	3.4114	Monthly	3,449.57	75,372.75	10092014	10182029
12594DAB4	CNH EQUIPMENT TRUST CNH_16-B ABS_16-B A2		2		1,964,990.57	1,967,264.27	1,965,000.00	1,964,992.75	2,271.52		2.18		—	—	1.3100	1.3140	Monthly	1,144.07	7,507.95	5242016	10152019
12618SAC1	CNH_13-D ABS 13-D A3		2	1FE	192,108.36	192,022.02	192,116.16	192,112.37	(90.35	)	3.75		—	—	0.7700	0.7725	Monthly	65.75	2,110.68	11142013	10152018
12623PAD8	CNH_14-B ABS_14-B A4		2	1FE	6,770,795.12	6,818,992.78	6,785,000.00	6,778,834.77	40,158.01		2,957.84		—	—	1.6100	1.6243	Monthly	4,855.05	81,928.89	9162014	5172021
12632XAD0	CNH_14-C ABS 14-C		2	1FE	3,743,709.85	3,768,967.96	3,745,000.00	3,744,291.98	24,675.98		219.73		—	—	1.6500	1.6642	Monthly	2,746.33	46,344.42	10162014	9152021
12592WAD0	CNH_15-A SENIOR ABS 15-A A4		2	1FE	1,064,890.41	1,077,700.66	1,065,000.00	1,064,923.21	12,777.45		18.85		—	—	1.8500	1.8593	Monthly	875.67	14,776.92	2252015	4152021
12594DAE8	CNHET_16-B SENIOR ABS_16-B A4		2	1FE	419,847.34	425,556.59	420,000.00	419,857.12	5,699.47		9.78		—	—	1.9700	1.9860	Monthly	367.73	2,413.25	5242016	11152021
12634GAA1	CNOOC FINANCE (2015) AUSTRALIA SENIOR CO	F		1FE	1,994,320	2,037,312.78	2,000,000.00	1,995,840.75	41,472.03		816.59		—	—	2.6250	2.6861	May-Nov	21,291.67	26,250	4282015	5052020
BRSYJ0CL6	CNT HOLDINGS III CORP SENIOR SECURED TER		1	4FE	439,950.88	445,172.51	444,394.82	440,379.04	4,793.47		450.50		—	—	—	0.1418	M-J-S-D	—	16,007.8	1152016	1222023
191216BD1	COCA-COLA COMPANY (THE) SENIOR CORP BND			1FE	4,994,250	5,000,350.5	5,000,000.00	4,999,836.95	513.55		1,445.63		—	—	0.7500	0.7889	May-Nov	15,625	18,750	9182014	11012016
191216BV1	COCA-COLA COMPANY (THE) SENIOR CORP BND			1FE	5,995,800	6,012,288.18	6,000,000.00	5,996,262.33	16,025.85		462.33		—	—	1.3750	1.3989	May-Nov	27,729.16	—	5252016	5302019
191216BW9	COCA-COLA COMPANY (THE) SENIOR CORP BND			1FE	1,999,640	2,045,369.12	2,000,000.00	1,999,651.24	45,717.88		11.24		—	—	2.5500	2.5520	Jun-Dec	17,141.67	—	5252016	6012026
19416QEB2	COLGATE-PALMOLIVE CO SENIOR CORP BND MTN			1FE	1,890,937	1,901,207.07	1,900,000.00	1,897,078.13	4,128.94		1,363.91		—	—	0.9000	0.9981	May-Nov	7,125	8,550	4292013	5012018
19416QEC0	COLGATE-PALMOLIVE CO SENIOR CORP BND MTN			1FE	483,565	505,942.96	500,000.00	485,227.9	20,715.06		1,528.74		—	—	2.1000	2.5910	May-Nov	4,375	5,250	12032015	5012023
19624HAA6	COLNY_14-1 SENIOR CMBS _14-1-A		2	1FE	2,005,831.32	2,000,318.29	2,005,835.34	2,003,440.98	(3,122.69	)	153.51		—	—	2.5432	2.4292	Monthly	4,251.03	46,841.78	10232014	4202050
196479WD7	COLORADO HOUSING & FINANCE AUT MUNITAX B			1FE	770,000	784,730.1	770,000.00	770,000	14,730.1		—		—	—	2.0240	2.0240	May-Nov	6,493.67	8,956.2	10232014	5012019
196479WE5	COLORADO HOUSING & FINANCE AUT MUNITAX B			1FE	845,000	865,550.4	845,000.00	845,000	20,550.4		—		—	—	2.1440	2.1440	May-Nov	7,548.67	10,398.4	10232014	11012019
198280AB5	COLUMBIA PIPELINE GROUP INC SENIOR CORP			2FE	769,875.23	776,154.04	770,000.00	769,902.36	6,251.68		27.13		—	—	2.4500	2.4578	Jun-Dec	6,288.33	943.25	5132016	6012018
198280AD1	COLUMBIA PIPELINE GROUP INC SENIOR CORP		1	2FE	2,995,594.53	3,087,626.73	3,000,000.00	2,996,021.26	91,605.47		426.73		—	—	3.3000	3.3387	Jun-Dec	33,000	4,950	5132016	6012020
20030NBD2	COMCAST CORPORATION SENIOR CORP BND			1FE	2,006,540	2,123,119.66	2,000,000.00	2,005,583.64	117,536.02		(652.14	)	—	—	3.1250	3.0720	Jan-Jul	13,194.44	62,500	8072015	7152022
20030NBS9	COMCAST CORPORATION SENIOR CORP BND		1	1FE	1,028,610	1,055,741.27	1,000,000.00	1,027,327.6	28,413.67		(1,948.71	)	—	—	3.1500	2.8099	Mar-Sep	2,625	21,525	3222016	3012026
20030NBV2	COMCAST CORPORATION SENIOR CORP BND		1	1FE	174,826.75	173,430.3	175,000.00	174,832.79	(1,402.49	)	6.04		—	—	1.6250	1.6440	Jan-Jul	568.75	—	7122016	1152022

12626BAE4	COMM MORTGAGE TRUST COMM_13-CR PAC SENIO		2		3,107,671.88	3,094,060.87	2,870,000.00	3,094,138.78	(77.91	)	(13,533.10	)	—	—	3.7950	1.8970	Monthly	9,076.38	20,270.59	6212016	8102046
12626BAB0	COMM MORTGAGE TRUST COMM_13-CR PRELCF SE		2	1FM	1,043,710.94	1,022,780.7	1,000,000.00	1,022,492.32	288.38		(10,646.16	)	—	—	2.9720	1.5127	Monthly	2,476.66	22,289.94	3252015	8102046
12591RAX8	COMM MORTGAGE TRUST COMM_14-CR CMBS 14-C		2		2,807,496.48	2,787,560.2	2,710,000.00	2,765,794.9	21,765.3		(28,586.69	)	—	—	2.9280	1.9026	Monthly	6,612.4	59,511.6	2272015	2102047
12632QAX1	COMM MORTGAGE TRUST COMM_14-CR SENIOR CM		2		7,209,485.92	7,661,920.07	7,000,000.00	7,164,438.19	497,481.88		(15,486.62	)	—	—	3.8280	3.4704	Monthly	22,330	200,970	6192014	7152047
12592RBF5	COMM MORTGAGE TRUST COMM_14-CR SUPSEN SE		2	1FM	1,812,207.04	1,888,109.97	1,750,000.00	1,802,888.75	85,221.22		(4,524.76	)	—	—	3.5280	3.1009	Monthly	5,145	46,305	3062015	12102047
12592XAZ9	COMM MORTGAGE TRUST COMM_15-CR PRELCF SE		2		1,601,627.13	1,612,628.32	1,555,000.00	1,586,628.86	25,999.46		(7,478.42	)	—	—	2.8560	2.1731	Monthly	3,700.9	33,308.1	3182015	3102048
200474BC7	COMM MORTGAGE TRUST COMM_15-LC LCF SENIO		2	1FE	1,503,713.19	1,540,168.56	1,460,000.00	1,496,833.83	43,334.73		(3,124.69	)	—	—	3.1830	2.8351	Monthly	3,872.65	34,853.85	1262015	2102048
12624BAC0	COMM_12-CCRE1 LCF SENIOR CMBS_12-CR1 A3		2		6,476,250	6,415,620.12	6,000,000.00	6,466,602.22	(50,982.1	)	(9,647.78	)	—	—	3.3910	0.5707	Monthly	16,954.99	2,825.83	8232016	5152045
126192AD5	COMM_12-LC4 SENIOR CMBS 12-LC4		2		1,815,214.84	1,809,156.96	1,700,000.00	1,808,285.51	871.45		(6,929.33	)	—	—	3.2880	1.7119	Monthly	4,658	10,868.67	6162016	12102044
12630BAX6	COMM_13-CR13 PRELCF SENIOR CMBS 13-CR13		2	1FM	1,049,023.44	1,031,012.2	1,000,000.00	1,026,873.98	4,138.22		(12,272.40	)	—	—	3.0390	1.4642	Monthly	2,532.5	22,792.5	4142015	12102018
12624XAB4	COMM_13-CR6 CMBS_13-CR6 A2		2		1,358,975.39	1,352,249.56	1,345,000.00	1,349,888.23	2,361.33		(4,109.91	)	—	—	2.1220	1.7839	Monthly	2,378.41	21,405.69	9112014	3102046
12625UBA0	COMM_13-CR9 PAC SENIOR CMBS 2013-CR9 ASB		2		2,382,617.19	2,380,488.04	2,200,000.00	2,371,916.78	8,571.26		(10,700.41	)	—	—	3.8340	1.8989	Monthly	7,029	15,932.4	6202016	7102045
12626GAF0	COMM_13-LC13 LCF CMBS_13-LC13 A5		2		1,174,185.55	1,203,913.97	1,075,000.00	1,154,417.92	49,496.05		(8,185.18	)	—	—	4.2050	2.9660	Monthly	3,766.98	33,902.82	12012014	8102046
12591VAB7	COMM_14-CCRE16 SENIOR SENIOR CMBS 14-CCR		2		5,149,950.85	5,152,058.5	5,000,000.00	5,071,101.35	80,957.15		(27,658.19	)	—	—	3.0420	2.3625	Monthly	12,675	130,975	3282014	4102047
12592GAZ6	COMM_14-CCRE19 SENIOR CMBS _14-CCRE19-A2		2	1FM	1,045,429.68	1,032,358.4	1,000,000.00	1,032,246.5	111.9		(5,235.66	)	—	—	2.9650	2.0158	Monthly	2,470.84	22,237.56	3252015	8102047
12630DAW4	COMM_14-CR14 PAC SENIOR CMBS 2014-CR14 A		2	1FE	4,311,792.18	4,267,194.2	3,970,000.00	4,299,343.33	(32,149.13	)	(12,448.85	)	—	—	3.7430	1.7760	Monthly	12,383.09	13,208.63	7262016	2102047
12591VAE1	COMM_14-CR16 LCF SENIOR CMBS_14-CR16 A4		2		1,623,144.14	1,633,713.91	1,470,000.00	1,597,414.04	36,299.87		(11,815.13	)	—	—	4.0510	2.7364	Monthly	4,962.47	44,662.23	2052015	4102047
12631DAX1	COMM_14-CR17 SENIOR CMBS_14-CR17-A2		2		4,588,620.24	4,602,211.91	4,455,000.00	4,517,616.48	84,595.43		(25,899.99	)	—	—	3.0120	2.3012	Monthly	11,182.05	100,638.45	4292014	5102047
12632QAT0	COMM_14-CR18 SENIOR CMBS_14-CR18 A2		2		3,295,997.06	3,280,980.48	3,200,000.00	3,250,809.12	30,171.36		(14,967.15	)	—	—	2.9240	2.2552	Monthly	7,797.33	70,175.97	6192014	7152047
12591TAB2	COMM_14-LC15 PRELCF SENIOR CMBS_14-LC15		2	1FM	1,041,445.31	1,029,125	1,000,000.00	1,029,195.12	(70.12	)	(4,455.76	)	—	—	2.8400	1.9311	Monthly	2,366.67	21,300.03	4152015	4102047
12592MBG4	COMM_14-LC17 PAC CMBS_14-LC17 ASB		2	1FM	1,776,500	1,817,232.07	1,700,000.00	1,764,195	53,037.07		(8,918.49	)	—	—	3.6200	2.8183	Monthly	5,128.33	46,154.97	9152015	10102047
12592EAA6	COMM_14-PAT SENIOR CMBS _14-PAT 144A		2		1,095,000	1,088,814.78	1,095,000.00	1,095,000	(6,185.22	)	—		—	—	1.3250	1.3287	Monthly	725.44	10,338.75	9182014	8132027
12593JBF2	COMM_15-CCRE24 LCF SENIOR CMBS 2015-CR24		2		2,055,312.5	2,179,342.2	2,000,000.00	2,051,033.65	128,308.55		(3,970.43	)	—	—	3.6960	3.3623	Monthly	6,160	55,440	12072015	8102048
12593JBB1	COMM_15-CCRE24 SENIOR SENIOR CMBS 15-CCR		2		692,036.72	701,426.15	670,000.00	689,215.16	12,210.99		(2,821.56	)	—	—	3.0220	2.2187	Monthly	1,687.28	9,786.23	3022016	8102055
12592XBD7	COMM_15-CR22 LCF SENIOR CMBS 15-CR22 A5		2	1FM	2,085,588.48	2,144,839.48	2,025,000.00	2,076,939.43	67,900.05		(4,305.23	)	—	—	3.3090	2.9608	Monthly	5,583.94	50,255.46	3182015	3102048
12592XBE5	COMM_15-CR22 SUB CMBS 15-CR22 XA		2,4	1FE	2,403,762.63	1,957,648.88	34,034,584.47	1,996,882.04	(39,233.16	)	(214,718.14	)	—	—	1.0179	3.9444	Monthly	32,800.84	281,727.06	3192015	3102048
12593AAX3	COMM_15-CR23 PRELCF SENIOR CMBS 15-CR23		2	1FM	2,574,896.33	2,594,425.5	2,500,000.00	2,560,318.92	34,106.58		(4,670.79	)	—	—	2.8520	2.3743	Monthly	5,941.67	53,475.03	5062015	5102048
12629NAF2	COMM_15-DC1 LCF SENIOR CMBS 15-DC1 A5		2		4,687,921.88	4,814,946.42	4,550,000.00	4,667,714.8	147,231.62		(9,892.89	)	—	—	3.3500	2.9938	Monthly	12,702.07	114,318.63	3112015	2102048
12629NAB1	COMM_15-DC1 PRELCF SENIOR CMBS 15-DC1 A2		2		1,931,205.02	1,936,425.02	1,875,000.00	1,915,151.55	21,273.47		(7,636.08	)	—	—	2.8700	2.2767	Monthly	4,484.38	40,359.42	2242015	2102048
12636FBF9	COMM_15-LC23 CMBS 15-LC23 144A		2		3,305,108.99	3,330,339.44	3,155,000.00	3,288,746.06	41,593.38		(16,362.93	)	—	—	3.2210	2.1072	Monthly	8,468.55	42,907.33	3232016	10102053
12635WAE7	COMM_16-787S SENIOR CMBS 16-787S-B		2	1FE	686,529.27	719,306.87	667,000.00	685,394.67	33,912.2		(1,134.60	)	—	—	3.8319	3.2381	Monthly	1,540.62	12,403.14	2192016	2102036
12635WAA5	COMM_16-787S SENIOR CMBS_16-787S A		2	1FE	1,716,879.72	1,793,155.89	1,667,000.00	1,714,310.87	78,845.02		(2,568.85	)	—	—	3.5450	3.1971	Monthly	3,447.22	28,070.22	2192016	2102036
2027A0HW2	COMMONWEALTH BANK AUSTRALIA SENIOR CORP	F		1FE	2,247,862.5	2,245,426.61	2,250,000.00	2,247,890.7	(2,464.09	)	28.20		—	—	2.0000	2.0201	Mar-Sep	3,125	—	8292016	9062021
20271RAL4	COMMONWEALTH BANK OF AUSTRALIA CORP BOND			1FE	339,741.6	341,532.35	340,000.00	339,818.82	1,713.53		63.33		—	—	1.7500	1.7761	May-Nov	2,462.64	2,975	10262015	11022018

20271RAJ9	COMMONWEALTH BANK OF AUSTRALIA SENIOR CO			1FE	12,284,849.55	12,337,820.04	12,300,000.00	12,292,498.39	45,321.65		3,803.04		—	—		1.6250	1.6679	Mar-Sep	10,548.96	199,875	9292015	3122018
20271RAN0	COMMONWEALTH BANK OF AUSTRALIA SENIOR CO			1FE	2,132,224.5	2,158,225.17	2,135,000.00	2,132,715.37	25,509.8		490.87		—	—		2.0500	2.0949	Mar-Sep	1,945.22	21,883.75	3082016	3152019
20281PCA8	COMMONWEALTH FING AUTH PA MUNITAX BND RE			1FE	564,185	536,600	500,000.00	529,771.26	6,828.74		(13,041.89	)	—	—		5.7920	2.1352	Jun-Dec	9,653.33	14,480	4302009	6012018
20281PCB6	COMMONWEALTH FING AUTH PA MUNITAX BND RE			1FE	2,254,340	2,223,380	2,000,000.00	2,149,515.21	73,864.79		(39,942.55	)	—	—		5.8920	2.9552	Jun-Dec	39,280	58,920	4302009	6012019
BRSWYJ431	COMMSCOPE INC. SENIOR SECURED TERM LOAN			3FE	270,432.03	272,677.46	271,067.86	270,499.51	2,177.95		72.31		—	—		—	0.0331	M-J-S-D	—	7,940.55	1042016	12292022
BRSTEGNQ4	COMMUNITY HLTH SYST INC SECURED TERM LOA		2	3FE	490,009.47	489,261.36	498,737.37	490,212.81	(951.45	)	225.44		—	—		—	0.3934	M-J-S-D	—	2,196.46	7072016	1272021
BRSR05TD0	COMPONENT HARDWARE GROUP INC SENIOR SECU				2,997,647.06	2,937,694.12	2,997,647.06	2,997,647.06	(59,952.94	)	—		—	—		—	—	J-A-J-O	—	130,630.8	11242014	7012019
20772JKM3	CONNECTICUT (STATE OF) MUNITAX BND GO			1FE	2,273,043.5	2,313,038	2,275,000.00	2,273,783.9	39,254.1		288.86		—	—		1.8960	1.9142	Apr-Oct	19,889.57	21,567	10282014	10152019
20772JQK1	CONNECTICUT (STATE OF) MUNITAX BND GO			1FE	2,556,975	2,548,075	2,500,000.00	2,527,884.55	20,190.45		(10,946.06	)	—	—		2.1720	1.5650	Feb-Aug	6,938.33	54,300	9232014	8152018
20774YYL5	CONNECTICUT ST HEALTH & EDL FA MUNI BND		1	1FE	572,285	599,630	500,000.00	568,942.45	30,687.55		(3,342.55	)	—	—		5.0000	3.3206	Jun-Dec	8,333.34	5,555.55	3082016	12012045
20826FAE6	CONOCOPHILLIPS CO SENIOR CORP BND		1	1FE	2,467,452	2,664,312.48	2,600,000.00	2,479,357.29	184,955.19		12,411.53		—	—		2.8750	3.1997	May-Nov	28,238.89	16,004.17	4062016	11152021
20826FAJ5	CONOCOPHILLIPS CO SENIOR CORP BND		1	1FE	3,996,240	4,034,924.64	4,000,000.00	3,997,228.07	37,696.57		(862.73	)	—	—		2.2000	2.2200	May-Nov	33,244.44	117,019.21	9162015	5152020
20826FAL0	CONOCOPHILLIPS CO SENIOR CORP BND			1FE	6,609,206.8	6,593,162.81	6,610,000.00	6,609,563.89	(16,401.08	)	197.72		—	—		1.5000	1.5041	May-Nov	37,456.67	49,575	5132015	5152018
20826FAS5	CONOCOPHILLIPS CO SENIOR CORP BND		1	1FE	994,502.5	1,073,498.58	995,000.00	994,561.1	78,937.48		85.22		—	—		4.2000	4.2110	Mar-Sep	1,857.33	33,569.67	3032016	3152021
BRT544PN8	CONSOLIDATED COMMUNICATIONS IN SENIOR SE			3FE	368,641.31	371,875	369,565.22	368,641.31	3,233.69		—		—	—		—	0.0366	M-J-S-D	—	—	9292016	9292023
209111EV1	CONSOLIDATED EDISON INC CORP BND			1FE	2,385,140	2,241,660.16	2,000,000.00	2,204,626.86	37,033.3		(68,461.14	)	—	—		7.1250	2.2584	Jun-Dec	47,500	71,250	12022008	12012018
BRSB93KD0	CONVATEC INC TERM LOAN		2	4FE	234,863.43	235,893.53	235,452.06	235,008.73	884.8		96.82		—	—		—	0.0502	M-J-S-D	—	7,650.13	6092015	6152020
216871AC7	COOPER US INC CORP BND			2FE	3,765,604.6	3,377,099.2	3,260,000.00	3,372,811.49	4,287.71		(111,737.43	)	—	—		6.1000	1.3845	Jan-Jul	49,715	198,860	4012015	7012017
21870LAA4	CORE_15-CALW LCF SENIOR CMBS 15-CALW A 1		2		13,855,162.91	13,980,091.82	13,280,000.00	13,818,905.61	161,186.21		(25,101.57	)	—	—		3.0400	1.9146	Monthly	33,642.66	107,413.3	4012015	2102034
219350BA2	CORNING INC SENIOR CORP BND			2FE	7,313,223.05	7,371,050.45	7,378,000.00	7,329,599.76	41,450.69		16,093.06		—	—		1.5000	1.7802	May-Nov	43,960.58	28,396.68	3222016	5082018
219868BW5	CORP ANDINA DE FOMENTO SENIOR CORP BND	F		1FE	3,124,718.75	3,157,156.22	3,125,000.00	3,124,754.53	32,401.69		35.78		—	—		2.0000	2.0031	May-Nov	24,479.17	—	5042016	5102019
BRSTZUYC9	CORPORATE VISIONS INC SENIOR SECURED TER				3,120,229.52	2,710,502.42	3,151,747.00	3,121,407.77	(410,905.35	)	4,398.33		—	—		—	0.0287	F-M-A-N	—	153,154.13	6022015	12312049
22160KAE5	COSTCO WHOLESALE CORPORATION SENIOR CORP			1FE	1,024,795	1,028,254.69	1,025,000.00	1,024,949.96	3,304.73		51.36		—	—		1.1250	1.1291	Jun-Dec	3,395.32	12,000.01	11282012	12152017
BRSWRS8X9	COTY INC TERM NOTES			3FE	826,252.2	831,095.96	830,404.23	826,790.25	4,305.71		467.17		—	—		—	0.0710	M-J-S-D	—	24,500.43	10222015	10212022
G2479P4N2	COVENTRY BLDG SOC SECURED CORP BND	D		1FE	2,068,212.46	1,936,717.81	1,405,000.00	2,030,936.15	1,884.92		(16,554.23	)	—	(96,103.27	)	4.6250	0.7236	April	38,158.22	3,118.84	9272016	4192018
BRSSLXJJ2	CPM HOLDINGS INC SENIOR SECURED TERM NOT				958,594.09	971,907.92	968,276.88	960,541.29	11,366.63		1,117.48		—	—		—	0.1439	M-J-S-D	—	44,441.46	4022015	4012022
224287AA0	CRANBERRY RE LTD	F		4FE	975,000	1,003,119	975,000.00	975,000	28,119		—		—	—		3.8600	3.7588	J-A-J-O	8,154.25	58,947.85	4232015	7062021
225313AF2	CREDIT AGRICOLE SA SUB CORP BND 144A	F		2FE	535,073.28	550,144.45	538,000.00	535,444.38	14,700.07		226.46		—	—		4.3750	4.4430	Mar-Sep	915.35	30,861.98	3092015	3172025
22532LAL8	CREDIT AGRICOLE SA/LONDON SENIOR CORP BN	F		1FE	3,994,960	4,075,532.52	4,000,000.00	3,997,362.63	78,169.89		745.83		—	—		2.5000	2.5270	Apr-Oct	46,111.11	50,000	4092014	4152019
225433AN1	CREDIT SUISSE GROUP FUNDING GU SENIOR CO	F		2FE	3,500,000	3,613,624	3,500,000.00	3,500,000	113,624		—		—	—		2.9691	2.9800	J-A-J-O	21,649.69	25,859.11	4132016	4162021
BRT3UFG90	CREDIT SUISSE GROUP FUNDING GU SENIOR CO	D		2FE	590,698.11	578,313.44	450,000.00	590,749.18	(2,861.35	)	51.07		—	(9,574.4	)	2.7500	2.8050	August	2,378.24	—	8012016	8082025
22546QAT4	CREDIT SUISSE NEW YORK NY SENIOR CORP BN			1FE	1,382,290.22	1,382,721.27	1,382,000.00	1,382,183.63	537.64		(48.99	)	—	—		1.7500	1.7398	Jan-Jul	4,165.19	65,747.5	11102015	1292018
22546QAV9	CREDIT SUISSE NEW YORK NY SENIOR CORP BN			1FE	1,145,767	1,149,472	1,150,000.00	1,147,645.01	1,826.99		1,098.18		—	—		1.7000	1.8020	Apr-Oct	8,363.06	9,775	8072015	4272018
14889KAE2	CRMN_15-1A MEZZANIN ABS 15-1A 144A	F	2		742,800	741,308.78	750,000.00	744,030.98	(2,722.2	)	602.13		—	—		3.8016	3.9594	J-A-J-O	5,623.2	20,691.86	3312015	4222027

BRSL3FE10	CROSBY US ACQUISITION CORP SENIOR SECURE			4FE	2,000,845.84	1,666,536.78	2,003,350.00	2,001,851.68	(335,314.9	)	284.70		—	—		—	0.0178	J-A-J-O	—	60,921.08		12192013	11232020
BRSH9LJ56	CROSSMARK HOLDINGS INC SENIOR SECURED TE		2	4FE	2,556,794.26	1,638,943.02	2,560,848.47	2,557,048.43	(918,105.41	)	942.68		—	—		—	0.0455	M-J-S-D	—	88,163.86		9042013	12202019
126281AX2	CSAIL COMMERCIAL MORTGAGE TRUS PRELCF SE		2		3,108,538.03	3,139,499.88	3,025,000.00	3,088,888.7	50,611.18		(15,953.93	)	—	—		2.9699	2.2729	Monthly	7,486.62	62,116.34		6012015	4152050
126281AZ7	CSAIL_15-C1 LCF SENIOR CMBS_15-C1 A4		2	1FM	3,270,230.95	3,417,884.48	3,175,000.00	3,256,074.75	161,809.73		(6,946.98	)	—	—		3.5050	3.1426	Monthly	9,273.65	83,462.85		3062015	4152050
BRSRYJ4P3	CSDVRS LLC SENIOR SECURED TERM NOTES				5,847,439.61	5,613,542.03	5,847,439.61	5,847,439.61	(233,897.58	)	—		—	—		—	—	M-J-S-D	—	385,717.04		2202015	5052020
22541QFV9	CSFB_03-17 WHOLE LOAN__03-17-1A4		2	1FM	297,409.48	293,360.56	292,311.57	297,119.11	(3,758.55	)	(1,362.41	)	—	—		5.5000	4.8485	Monthly	1,339.76	13,587		6192003	6252033
126408GM9	CSX CORPORATION CORP BND			2FE	3,984,295.81	3,729,911.86	3,491,000.00	3,715,643.76	14,268.1		(113,107.61	)	—	—		6.2500	1.7533	Mar-Sep	9,697.22	218,187.5		12112014	3152018
BRSLMULK6	CUMULUS MED INC. SENIOR SECURED TERM NOT		2	4FE	5,232,901.29	3,673,399.7	5,279,139.82	5,247,716.06	(1,574,316.36	)	5,533.69		—	—		—	0.1412	M-J-S-D	—	170,765.5		9302014	12232020
BRSVA6HU3	CUSTOM WINDOW SYSTEMS INC SENIOR SECURED				200,256.42	192,246.15	200,256.42	200,256.42	(8,010.27	)	—		—	—		—	—	M-J-S-D	—	26,169.98		4052016	7312019
BRSVA6N02	CUSTOM WINDOW SYSTEMS INC SENIOR SECURED				4,019,495.68	3,858,715.85	4,019,495.68	4,019,495.68	(160,779.83	)	—		—	—		—	—	M-J-S-D	—	142,471.62		6082016	7312019
126650CE8	CVS HEALTH CORP SENIOR CORP BND		1	2FE	6,286,554.55	6,338,651.79	6,220,000.00	6,279,695.38	58,956.41		(6,260.78	)	—	—		2.2500	1.4580	Feb-Aug	19,048.78	99,473.43		6162016	8122019
126650CJ7	CVS HEALTH CORP SENIOR CORP BND		1	2FE	3,243,399.6	3,351,637.9	3,235,000.00	3,241,635.2	110,002.7		(1,195.17	)	—	—		2.8000	2.4263	Jan-Jul	17,864.39	158,830		9212015	7202020
126650CT5	CVS HEALTH CORP SENIOR CORP BND		1	2FE	7,035,316.55	7,126,361.68	7,055,000.00	7,036,627.53	89,734.15		1,572.04		—	—		2.1250	2.1840	Jun-Dec	52,471.57	10,548.86		5162016	6012021
12668AZL2	CWALT_05-73CB CMO_05-64CB 1A		2		183,836.5	174,412.82	187,408.98	183,860.37	(9,447.55	)	5,643.03		—	—		5.5000	5.9290	Monthly	858.96	8,362.77		1022008	12252035
12543RBB4	CWHL_07-3 WHOLE LOAN_07-3-A26		2	1FM	1,540,178.04	1,424,556.09	1,650,426.53	1,540,178.04	(115,621.95	)	67,548.51		—	—		6.0000	8.0240	Monthly	8,252.13	80,195.98		12312009	4252037
D1668RML8	DAIMLER AG SENIOR CORP BND EMTN	D		1FE	825,838.42	682,112.41	520,000.00	819,819.59	3,522.13		(2,518.19	)	—	(141,229.32	)	1.7500	1.3224	November	10,593.59	—		12102014	11082017
D1668RNA1	DAIMLER AG SENIOR CORP BND EMTN	D		1FE	593,813.37	587,223.33	450,000.00	593,399.58	(50.34	)	(413.79	)	—	(6,125.91	)	1.2500	0.8446	December	6,089.06	(4,841.37	)	7262016	12012017
233851BF0	DAIMLER FINANCE NORTH AMERICA SENIOR COR			1FE	5,002,681	5,020,662.64	5,020,000.00	5,015,108.51	5,554.13		4,349.08		—	—		1.3750	1.4930	Feb-Aug	11,504.16	69,025		7242014	8012017
233851BP8	DAIMLER FINANCE NORTH AMERICA SENIOR COR			1FE	1,673,593	1,679,461.36	1,675,000.00	1,674,325.41	5,135.95		348.84		—	—		1.6500	1.6788	Mar-Sep	2,226.36	27,637.5		2232015	3022018
233851CD4	DAIMLER FINANCE NORTH AMERICA SENIOR COR			1FE	5,000,000	5,009,735	5,000,000.00	5,000,000	9,735		—		—	—		1.3964	1.3964	J-A-J-O	16,872.56	—		6302016	7052019
233851CH5	DAIMLER FINANCE NORTH AMERICA SENIOR COR			1FE	2,259,141.2	2,255,538.7	2,260,000.00	2,259,180	(3,641.3	)	38.80		—	—		2.0000	2.0080	Jan-Jul	10,672.22	—		6302016	7062021
BRSP6FWM2	DAIMLER FINANCE NORTH AMERICA SENIOR COR			1FE	1,788,807.25	1,795,180.56	1,795,000.00	1,793,250.95	1,929.61		1,555.10		—	—		1.3750	1.4930	Feb-Aug	4,113.54	24,681.26		7242014	8012017
BRSTB5SJ2	DAIMLER FINANCE NORTH AMERICA SENIOR COR			1FE	3,495,520	3,507,678.44	3,500,000.00	3,497,537.72	10,140.72		1,108.48		—	—		1.6500	1.6939	May-Nov	21,335.42	28,875		5112015	5182018
N3114MAG8	DAIMLER INTERNATIONAL FINANCE SENIOR COR	D		1FE	1,339,498.57	1,335,499.78	960,000.00	1,339,212.99	(5,468.13	)	(285.58	)	—	1,754.92		3.5000	0.6531	June	13,990.76	(13,614.19	)	9262016	6062019
235308QJ5	DALLAS TEX INDPT SCH DIST MUNITAX BND GO			1FE	6,936,930	6,766,200	6,300,000.00	6,687,028.19	79,171.81		(119,367.45	)	—	—		4.2500	1.6002	Feb-Aug	34,212.51	267,750		2252015	2152019
2354167B4	DALLAS TEX MUNITAX BND REV			1FE	1,750,000	1,782,340	1,750,000.00	1,750,000	32,340		—		—	—		1.9600	1.9600	Apr-Oct	17,150	17,150		3112015	10012019
2354167C2	DALLAS TEX MUNITAX BND REV			1FE	1,500,000	1,545,210	1,500,000.00	1,500,000	45,210		—		—	—		2.2100	2.2100	Apr-Oct	16,575	16,575		3112015	10012020
235851AN2	DANAHER CORPORATION SENIOR CORP BND			1FE	4,915,902.74	4,958,731.02	4,917,000.00	4,916,598.75	42,132.27		223.65		—	—		1.6500	1.6710	Mar-Sep	3,605.79	75,401.33		1142016	9152018
235851AP7	DANAHER CORPORATION SENIOR CORP BND		1	1FE	1,411,561.55	1,455,007.61	1,415,000.00	1,412,245.6	42,762.01		683.15		—	—		2.4000	2.4519	Mar-Sep	1,509.33	64,190.67		9102015	9152020
23636AAF8	DANSKE BK A/S SENIOR COPR BND 144A	F		1FE	2,796,416	2,798,686.22	2,800,000.00	2,796,490.33	2,195.89		74.33		—	—		1.6500	1.6940	Mar-Sep	2,951.67	—		8312016	9062019
23636AAE1	DANSKE BK A/S SENIOR CORP BND 144A	F		1FE	1,839,576.8	1,905,156.09	1,840,000.00	1,839,621.19	65,534.9		44.39		—	—		2.8000	2.8050	Mar-Sep	3,005.33	25,760		3072016	3102021
23312LAS7	DBJPM_16-C1 LCF SENIOR CMBS 16-C1		2		2,059,982.6	2,127,144.6	2,000,000.00	2,057,524.02	69,620.58		(2,458.58	)	—	—		3.2760	2.9321	Monthly	5,460	24,024		3312016	5102049
254683BJ3	DCENT_14-3 ABS_14-A3 A3		2	1FE	1,029,736.32	1,031,442	1,030,000.00	1,029,893.72	1,548.28		49.49		—	—		1.2200	1.2297	Monthly	558.49	9,424.53		4282014	10152019
254683BP9	DCENT_15-A2 SENIOR ABS 15-A2 A		2	1FE	2,099,363.7	2,133,180.04	2,100,000.00	2,099,538.4	33,641.64		93.31		—	—		1.9000	1.9140	Monthly	1,773.33	29,925		4222015	10172022

Z91S44T73	DELAMARE CARDS MTN ISSUER PLC ABS 15-1A1	D	2	1FE	991,250	840,001.6	650,000.00	991,250	(4,348.4	)	—		—	(146,900	)	0.9171	0.9180		Monthly	253.89	8,632.55	5062015	4192020
246343JR9	DELAWARE RIV JT TOLL BRDG COMM MUNITAX B			1FE	2,203,944.6	2,220,364.9	2,210,000.00	2,207,129.93	13,234.97		1,197.50		—	—		2.1840	2.2601		Jan-Jul	12,066.6	48,266.4	10182012	7012018
BRT21A357	DELL INTERNATIONAL LLC SENIOR SECURED TE			2FE	3,297,128.12	3,331,646.91	3,313,696.61	3,297,276.9	34,370.01		148.78		—	—		—	0.0706		M-J-S-D	—	19,767.12	6022016	9072023
BRSP9DPN0	DELTA 2 (LUX) SARL				3,530,276.1	3,550,233.69	3,548,016.18	3,535,536.5	14,697.19		1,935.61		—	—		—	0.0720		M-J-S-D	—	128,270.64		7302021
BRSM6R0M8	DELTA AIR LINES INC SENIOR SECURED TERM		2	2FE	2,631,469.36	2,656,476.44	2,651,687.49	2,642,414.09	14,062.35		3,492.07		—	—		—	0.1689		F-M-A-N	—	66,091.1	4302014	10182018
249218AR9	DENVER CO PUB SCHS CTFS MUNITAX BND REV			1FE	1,491,330	1,510,050	1,500,000.00	1,495,384.75	14,665.25		1,527.38		—	—		1.6440	1.7870		Jun-Dec	7,261	12,330	4182013	12152018
249670AA8	DEPOSITORY TRUST & CLEARING CO CAPSEC CO		1	1FE	1,750,000	1,802,500	1,750,000.00	1,750,000	52,500		—		—	—		4.8750	4.8727		Jun-Dec	25,119.79	42,656.26	5192015	12292049
25156PAS2	DEUTSCHE TELEKOM INTERNATIONAL SENIOR CO	F		2FE	3,996,280	3,998,102.72	4,000,000.00	3,996,320.32	1,782.4		40.32		—	—		1.5000	1.5318		Mar-Sep	2,000	—	9132016	9192019
BRSP09RB2	DEXIA CREDIT LOCAL SA			1FE	2,798,284.18	2,361,956.11	1,800,000.00	2,791,960.27	13,629		(6,323.91	)	—	(443,633.16	)	1.8750	1.3164		July	9,128.59	13,219.59		7172017
25215BAA1	DEXIA CREDIT LOCAL/NEW YORK SENIOR CORP			1	4,986,350	4,999,945	5,000,000.00	4,999,785.11	159.89		3,454.43		—	—		1.2500	1.3432		Apr-Oct	28,298.61	31,250	12052014	10182016
BRT1UYV70	DFUND_16-1 ABS_16-1 A1B	D	2		870,870	782,016.59	600,000.00	870,870	2,616.59		—		—	(91,470	)	1.4368	1.4390		J-A-J-O	3,896.47	—	5202016	4172063
25243YAR0	DIAGEO CAPITAL PLC SENIOR CORP BND	F		1FE	2,638,340	2,656,307	2,650,000.00	2,648,524.91	7,782.09		(745.55	)	—	—		1.5000	1.5919		May-Nov	15,458.33	39,541.67	5082012	5112017
25243YAT6	DIAGEO CAPITAL PLC SENIOR CORP BND	F		1FE	2,485,750	2,492,816.93	2,500,000.00	2,495,411.89	(2,594.96	)	2,147.41		—	—		1.1250	1.2429		Apr-Oct	11,875	14,062.5	4242013	4292018
25272KAA1	DIAMOND 1 FINANCE CORPORATION/ SR SECURE		1	2FE	6,918,270	7,112,440.36	6,920,000.00	6,918,454.01	193,986.35		184.01		—	—		3.4800	3.4888		Jun-Dec	80,272	—	5172016	6012019
BRT0QFE77	DIEBOLD INCORPORATED SR SECURED TERM NOT		1	3FE	2,618,859.27	2,648,764.73	2,633,948.76	2,618,260.24	30,504.49		(599.03	)	—	—		—	(0.0602	)	M-J-S-D	—	44,450.88	5132016	11062023
BRSR4UG37	DISA HOLDINGS A/S SENIOR SECURED TERM NO	R			229,211.49	228,065.43	229,211.49	229,211.49	(1,146.06	)	—		—	—		—	—		M-J-S-D	—	10,958.9	12312015	12092020
BRSR4UG78	DISA HOLDINGS ACQUISITION SUBS SENIOR SE				5,442,077.82	5,387,657.04	5,442,077.82	5,442,077.82	(54,420.78	)	—		—	—		—	—		M-J-S-D	—	228,976.27	12242014	12092020
254683BB0	DISCOVER CARD MASTER TRUST ABS 13		2		5,950,000	5,962,494.94	5,950,000.00	5,950,000	12,494.94		—		—	—		0.8243	0.8257		Monthly	2,179.76	34,610.29	2062013	8172020
254683BL8	DISCOVER CARD MASTER TRUST SENIOR ABS _1		2	1FE	2,499,783.5	2,508,000	2,500,000.00	2,499,860.57	8,139.43		29.74		—	—		1.3900	1.3957		Monthly	1,544.44	27,583.3	10082014	4152020
254683BK0	DISCOVER CARD MASTER TRUST SENIOR ABS_14		2	1FE	3,213,966.8	3,222,764.93	3,150,000.00	3,206,052.42	16,712.51		(7,914.38	)	—	—		2.1200	1.5302		Monthly	2,968	23,982.5	6152016	12152021
254845GB0	DISTRICT COLUMBIA WTR & SWR AU MUNI BND		1	1FE	569,945	540,755	500,000.00	535,434.68	5,320.32		(13,005.01	)	—	—		5.0000	1.3945		Apr-Oct	12,500	12,500	1282009	10012024
25476FHE1	DISTRICT OF COLUMBIA MUNI BND GO			1FE	5,731,050	5,342,300	5,000,000.00	5,335,131.65	7,168.35		(148,885.83	)	—	—		5.0000	0.9369		Jun-Dec	83,333.33	125,000	8132008	6012018
25476FLG1	DISTRICT OF COLUMBIA MUNITAX BND GO				1,083,200	1,024,560	1,000,000.00	1,023,934.97	625.03		(126,089.86	)	—	—		4.6130	1.0003		Jun-Dec	15,376.67	167,093.12	1272015	6012017
233046AC5	DNKN_15-1A ABS 15-1A A2I 144A		2	2FE	1,477,500	1,485,183	1,477,500.00	1,477,500	7,683		—		—	—		3.2620	3.2743		F-M-A-N	5,488.99	36,330.53	1222015	2202045
233046AD3	DNKN_15-1A ABS 15-1A A2II 144A		2	2FE	1,477,500	1,510,417.22	1,477,500.00	1,477,500	32,917.22		—		—	—		3.9800	3.9992		F-M-A-N	6,697.18	44,327.25	1222015	2202045
25746UBU2	DOMINION RESOURCES INC CAPSEC CORP BND			2FE	3,283,247.2	3,343,952.87	3,280,000.00	3,282,864.1	61,088.77		(383.10	)	—	—		2.9620	2.9285		Jan-Jul	24,288.42	9,665.76	5232016	7012019
25746UBE8	DOMINION RESOURCES INC CORP BND			2FE	563,170	539,417.19	500,000.00	537,077.86	2,339.33		(15,910.09	)	—	—		6.4000	1.9549		Jun-Dec	9,422.22	16,000	7012015	6152018
25746UCD9	DOMINION RESOURCES INC SENIOR CORP BND			2FE	5,498,580	5,529,504.09	5,500,000.00	5,499,186.65	30,317.44		349.15		—	—		1.9000	1.9081		Jun-Dec	30,769.44	52,250	6242015	6152018
25746UCH0	DOMINION RESOURCES INC SENIOR CORP BND			2FE	3,999,640	3,993,671.28	4,000,000.00	3,999,656.37	(5,985.09	)	16.37		—	—		1.6000	1.6030		Feb-Aug	9,244.44	—	8042016	8152019
BRT5CF7G9	DONNELLEY FINANCIAL SOLUTIONS SENIOR SEC			3FE	382,692.31	385,576.92	384,615.39	382,692.31	2,884.61		—		—	—		—	0.0732		M-J-S-D	—	—	9262016	9262023
06742LAE3	DROCK_14-3 ABS_14-3 A		2	1FE	9,042,500.87	9,306,400.4	9,045,000.00	9,043,259.61	263,140.79		271.02		—	—		2.4100	2.4266		Monthly	9,688.2	163,488.33	9122014	7152022
06742LAH6	DROCK_15-1 ABS 15-1 A		2	1FE	1,574,279.92	1,606,972.49	1,575,000.00	1,574,438.95	32,533.54		77.60		—	—		2.2000	2.2176		Monthly	1,540	25,987.5	3052015	12152022
26249MAA5	DRSLF_15-37A ABS 15-37A A 144A	F	2		5,000,000	5,007,500	5,000,000.00	5,000,000	7,500		—		—	—		2.1801	2.1855		J-A-J-O	23,617.75	76,981.64	1292015	4152027
233331AY3	DTE ENERGY COMPANY SENIOR CORP BND		1	2FE	449,536.5	448,955.96	450,000.00	449,536.5	(580.54	)	—		—	—		2.8500	2.8620		Apr-Oct	—	—	9292016	10012026

BRSV5TM33	DTZ US BORROWER LLC SENIOR SECURED TERM				3,087,801.82	3,096,854.2	3,103,318.41	3,090,306.89	6,547.31		2,025.48		—	—	—	0.0813	M-J-S-D	—	102,577.34		8122015	11042021
BRST2JC18	DUBOIS CHEMICALS INC SENIOR SECURED TERM				3,578,134.08	3,596,205.45	3,614,276.83	3,592,254.87	3,950.58		7,646.28		—	—	—	0.2718	M-J-S-D	—	137,787.02		4132015	12202018
BRSZ77AH2	DUBOIS CHEMICALS INC SENIOR SECURED TERM				2,736,250	2,722,568.75	2,736,250.00	2,736,250	(13,681.25	)	—		—	—	—	—	M-J-S-D	—	122,619.44		1152016	12202018
26442CAD6	DUKE ENERGY CORP CORP BND			1FE	2,177,940	2,113,536.52	2,000,000.00	2,110,362.8	3,173.72		(52,805.18	)	—	—	5.1000	1.4589	Apr-Oct	47,033.33	51,000		10132015	4152018
26442CAJ3	DUKE ENERGY CORP CORP BND			1FE	1,114,270	1,100,789.34	1,000,000.00	1,083,106.16	17,683.18		(16,085.52	)	—	—	4.3000	1.9630	Jun-Dec	12,661.11	21,500		4102015	6152020
26441CAK1	DUKE ENERGY CORP SENIOR CORP BND		1	2FE	2,310,146.8	2,305,155.29	2,280,000.00	2,297,185.18	7,970.11		(7,782.33	)	—	—	2.1000	1.6274	Jun-Dec	14,098	23,940		10132015	6152018
26441CAR6	DUKE ENERGY CORP SENIOR CORP BND		1	2FE	1,584,841.5	1,574,368.31	1,585,000.00	1,584,845.36	(10,477.05	)	3.86		—	—	1.8000	1.8020	Mar-Sep	3,883.25	—		8092016	9012021
341099CK3	DUKE ENERGY FLORIDA LLC SECURED CORP BND			1FE	360,821.5	348,709.36	325,000.00	346,511.06	2,198.3		(9,258.73	)	—	—	5.6500	1.6939	Jun-Dec	5,406.74	9,181.25		7292015	6152018
29100XAA3	EAFL_13-1 ABS 13- 1 A 144A	F	2	1FE	2,323,676.07	2,368,341.5	2,300,669.38	2,317,864.61	50,476.89		(5,651.12	)	—	—	4.6500	4.3194	Monthly	4,754.72	83,415.76		12102014	10152038
27332QAB0	EAST LANE RE VI LTD SENIOR CORP BND 144A	F		3	1,875,000	1,924,706.25	1,875,000.00	1,875,000	49,706.25		—		—	—	3.3900	3.4041	M-J-S-D	4,060.94	52,356.65		3022015	3132020
277432AM2	EASTMAN CHEMICAL COMPANY SENIOR CORP BND			2FE	423,572	427,898.5	425,000.00	424,799	3,099.5		6,352.35		—	—	2.4000	2.4720	Jun-Dec	3,400	10,593.34		5292012	6012017
278062AB0	EATON CORPORATION SENIOR CORP BND			2FE	2,684,069.42	2,677,592.34	2,675,000.00	2,679,228.08	(1,635.74	)	(2,011.85	)	—	—	1.5000	1.2202	May-Nov	16,607.3	40,910.42		5152015	11022017
26827EAC9	ECAF I A-2 2015-1 ABS 2015-1A A2 144A	F	2	1FE	491,869.06	491,532.55	495,585.95	492,408.17	(875.62	)	534.54		—	—	4.9470	5.2366	Monthly	1,089.63	18,442.05		11302015	7152040
BRSAC1000	EDEN RE LTD				12,375,000	12,375,000	12,375,000.00	12,375,000	—		—		—	—	15.0213	—	M-J-S-D	—	—		12122014	12312016
281379AA5	EDUSA_10-1 ABS 10-1-A1 144A		2	1FE	200,013.9	198,676.13	200,013.90	200,013.9	(1,337.77	)	—		—	—	1.5645	1.5675	J-A-J-O	591.07	2,593.53		2232010	7252023
29372EBE7	EFF_14-2 ABS_14-2 A2 144A		2	1FE	546,110.79	545,308.42	546,198.73	546,171.91	(863.49	)	53.03		—	—	1.0500	1.0599	Monthly	175.24	6,257.24		8062014	3202020
26971HAA0	EGLE_14-1A ABS_14-1A A1 144A	F	2	1FE	2,812,053.63	2,779,981.88	2,812,500.00	2,812,074.48	(32,092.6	)	153.23		—	—	2.5700	2.5849	Monthly	3,212.5	64,250.01		12122014	12152039
283695BP8	EL PASO NATURAL GAS COMPANY CORP BND			2FE	1,925,592.5	1,824,547	1,790,000.00	1,822,334.97	2,212.03		(44,233.21	)	—	—	5.9500	2.5481	Apr-Oct	49,110.64	53,252.5		9292015	4152017
BRSUM53S4	ELDORADO RESORTS INC SENIOR SECURED TERM			3FE	229,689.9	230,555.57	230,844.13	229,882.02	673.55		132.12		—	—	—	0.0708	M-J-S-D	—	7,518.56		7162015	7252022
268317AJ3	ELECTRICITE DE FRANCE SA SENIOR CORP BND	F		1FE	4,863,518.4	4,983,683.15	4,920,000.00	4,893,110.19	90,572.96		8,435.39		—	—	2.1500	2.3950	Jan-Jul	20,274.5	105,780		9162015	1222019
BRSLX7XX4	ELECTRICITE DE FRANCE SA SENIOR CORP BND	F		1FE	3,163,264	3,239,943.81	3,200,000.00	3,182,510.7	57,433.11		5,486.44		—	—	2.1500	2.3950	Jan-Jul	13,186.67	68,800		1132014	1222019
532457BK3	ELI LILLY AND COMPANY SENIOR CORP BND			1FE	719,366.4	721,922.51	720,000.00	719,696.48	2,226.03		157.95		—	—	1.2500	1.2801	Mar-Sep	750	9,000		2242015	3012018
268648AP7	EMC CORP/ MASSACHUSETTS SENIOR CORP BND			3FE	2,299,121	2,261,826.9	2,300,000.00	2,299,694.55	(37,867.65	)	137.01		—	—	1.8750	1.8871	Jun-Dec	14,375	22,781.26		4022014	6012018
BRSP2R5D0	EMERALD PERFORMANCE MATERIALS SENIOR SEC			4FE	100,079.38	100,959.46	100,582.28	100,230.32	729.14		57.76		—	—	—	0.0716	M-J-S-D	—	3,462.82		7232014	7302021
BRSMKZQ95	EMPIRE GENERATING CO LLC SENIOR SECURED			4FE	989,094.59	849,222.63	999,085.45	992,631.69	(143,409.06	)	1,723.41		—	—	—	0.1438	M-J-S-D	—	32,380.3		3132014	3122021
BRSMKZQU8	EMPIRE GENERATING CO LLC SENIOR SECURED			4FE	78,681.63	67,554.93	79,476.39	78,963.01	(11,408.08	)	86.35		—	—	—	0.1438	M-J-S-D	—	2,457.15		3132014	3122021
BL1731738	ENDO LUXEMBOURG FINANCE I COMP SENIOR SE	F		3FE	1,296,880.39	1,296,880.38	1,300,130.71	1,297,349.31	(468.93	)	456.60		—	—	—	0.0353	M-J-S-D	—	(203.29	)	6242015	9262022
29270CR31	ENERGY NORTHWEST MUNI BND REV		1	1FE	629,845	642,525	500,000.00	624,701.48	17,823.52		(5,143.52	)	—	—	5.0000	2.1506	Jan-Jul	6,250	4,930.56		3292016	7012027
29270CYL3	ENERGY NORTHWEST MUNITAX BND REV			1FE	1,524,255	1,526,655	1,500,000.00	1,511,507.14	15,147.86		(4,833.09	)	—	—	2.1470	1.7001	Jan-Jul	8,051.25	32,205		8162012	7012018
29270CYM1	ENERGY NORTHWEST MUNITAX BND REV		2	1FE	1,201,090.8	1,212,288.71	1,190,000.00	1,197,349.82	14,938.89		(1,938.85	)	—	—	2.1970	1.9651	Jan-Jul	6,536.08	26,144.3		4092015	7012019
BRSRV2LL3	ENERGY TRANSFER EQUITY LP SENIOR SECURED		2	3FE	583,841.46	608,841.46	609,756.10	586,157.19	22,684.27		2,315.73		—	—	—	1.2320	F-M-A-N	—	5,355.82		5112016	12022019
29273RAX7	ENERGY TRANSFER PARTNERS LP SENIOR CORP		1	2FE	917,705.7	928,685.85	890,000.00	911,249.92	17,435.93		(3,849.60	)	—	—	4.1500	3.4753	Apr-Oct	18,467.5	18,467.5		6182015	10012020
29358QAC3	ENSCO PLC SENIOR CORP BND	F	1	3FE	1,062,347	934,375	1,300,000.00	1,079,562.73	(145,187.73	)	14,901.23		—	—	4.5000	7.3401	Apr-Oct	29,250	29,250		11162015	10012024
BRSMRYMN4	ENTEGRIS, INC. SENIOR SECURED TERM NOTES			3FE	730,065.15	736,485.33	733,733.83	731,314.88	5,170.45		939.31		—	—	—	0.0711	M-J-S-D	—	22,687.53		3252014	4302021

29372EAZ1	ENTERPRISE FLEET FINANCING LLC AB_13-2-A		2	1FE	234,865.65	234,903.4	234,882.25	234,877.93	25.47		10.27		—	—		1.5100	1.5164	Monthly	108.37	3,344.5		8072013	3202019
29379VAU7	ENTERPRISE PRODUCTS OPERATING CORP BND			2FE	778,230	812,267.82	750,000.00	773,339.92	38,927.9		(2,934.53	)	—	—		4.0500	3.4110	Feb-Aug	3,881.25	30,375		6222015	2152022
29379VAF0	ENTERPRISE PRODUCTS OPERATING CORP BND			2FE	4,390,960	4,410,831	4,000,000.00	4,298,378.51	112,452.49		(63,738.28	)	—	—		5.2500	2.8850	Jan-Jul	35,583.33	233,041.67		8192015	1312020
29379VBG7	ENTERPRISE PRODUCTS OPERATING SENIOR COR			2FE	789,059.9	789,878.49	790,000.00	789,492.65	385.84		209.56		—	—		1.6500	1.6908	May-Nov	5,214	13,438.33		5042015	5072018
BRSJGG5M3	ENTRAVISION COMMUN CORP SENIOR SECURED T		2	4FE	932,407.4	928,910.87	932,407.40	932,407.4	(3,496.53	)	(0.01	)	—	—		—	—	M-J-S-D	—	6,631.68		10012015	5312020
BRSBYALT0	ENVISION HEALTHCARE CORP TERM LOAN		2	4FE	4,005,691.62	4,029,200.4	4,025,846.86	4,020,392.45	8,807.95		2,533.89		—	—		—	0.0960	F-M-A-N	—	126,137.77		10012015	5252018
BRSX1BQV6	ENVISION HEALTHCARE CORP SECURED TERM LO			3FE	946,517.18	958,916.57	956,077.97	947,614.46	11,302.11		1,112.16		—	—		—	0.1443	J-A-J-O	—	38,154.65		11062015	10282022
BRSTFAHT7	EPICOR SOFTWARE CORP SENIOR SECURED TERM		2	4FE	1,327,172.14	1,316,615.62	1,339,498.27	1,328,416.73	(11,801.11	)	1,046.51		—	—		—	0.1428	F-M-A-N	—	60,064.79		3302016	6012022
294429AK1	EQUIFAX INC SENIOR CORP BND		1	2FE	2,074,004	2,084,571.73	2,075,000.00	2,074,082.4	10,489.33		78.40		—	—		2.3000	2.3100	Jun-Dec	18,427.15	—		5052016	6012021
BRT40M978	ESH HOSPITALITY INC SECURED TERM NOTE		1	4FE	246,016.49	248,842.34	247,252.75	246,027.62	2,814.72		11.13		—	—		—	0.0709	M-J-S-D	—	566.62		8172016	8302023
298785GU4	EUROPEAN INVESTMENT BANK SENIOR CORP BND	F		1FE	15,071,250	15,068,400.15	15,000,000.00	15,051,324.44	17,075.71		(19,925.56	)	—	—		1.2500	1.0367	May-Nov	70,833.33	48,958.33		2082016	5152018
30014LAA2	EVERGLADES RE II LTD CORP BND 144A	F	1	3FE	1,000,000	1,019,790	1,000,000.00	1,000,000	19,790		—		—	—		5.1500	5.1820	M-J-S-D	3,576.39	74,803.27		4302015	5032018
BRSVRWCF6	EVESTMENT INC SENIOR SECURED TERM NOTES				4,739,048.92	4,727,201.3	4,739,048.92	4,739,048.92	(11,847.62	)	—		—	—		—	—	M-J-S-D	—	202,914.78		9142015	8282021
300569GY0	EWING TWP N J SCH DIST MUNITAX BND GO			1FE	1,477,604.7	1,500,577.65	1,485,000.00	1,481,241.5	19,336.15		1,373.01		—	—		1.5960	1.7253	Apr-Oct	11,850.3	11,850.3		3082013	10012018
BRSL2KC12	EXCELITAS TECHNOLOGIES COR SENIOR SECURE			4FE	4,014,041.48	3,973,495.59	4,054,587.34	4,030,554.38	(57,058.79	)	4,614.91		—	—		—	0.1434	M-J-S-D	—	188,149.92		12052013	11022020
30161NAG6	EXELON CORPORATION SENIOR CORP BND			2FE	1,973,965.55	1,975,651.75	1,975,000.00	1,974,642.32	1,009.43		384.88		—	—		1.5500	1.5848	Jun-Dec	9,523.89	15,306.25		7152015	6092017
30161NAH4	EXELON CORPORATION SENIOR CORP BND		1	2FE	5,562,196.45	5,693,639.03	5,510,000.00	5,556,614.93	137,024.1		(5,161.49	)	—	—		2.8500	2.0893	Jun-Dec	46,238.1	59,399.93		5122016	6152020
30161MAP8	EXELON GENERATION CO LLC SENIOR CORP BND		1	2FE	1,129,785.3	1,163,395.92	1,130,000.00	1,129,856.4	33,539.52		30.90		—	—		2.9500	2.9541	Jan-Jul	7,037.39	33,335		1082015	1152020
BRSPRVAJ5	EXGEN TEXAS POWER LLC SENIOR SECURED TE		2	4FE	1,293,233.34	1,064,631.5	1,306,296.32	1,296,977.82	(232,346.32	)	1,483.03		—	—		—	0.1420	M-J-S-D	—	57,459.83		9162014	9182021
30216BGH9	EXPORT DEVELOPMENT CANADA SENIOR CORP BN	A		1FE	2,496,025	2,496,775.05	2,500,000.00	2,496,222.89	552.16		197.89		—	—		0.8750	0.9552	Feb-Aug	2,187.5	—		8182016	8272018
30216BGJ5	EXPORT DEVELOPMENT CANADA SENIOR CORP BN	A		1FE	9,581,758.9	9,582,910.39	9,595,000.00	9,581,963.62	946.77		204.72		—	—		1.0000	1.0469	Mar-Sep	4,530.96	—		9072016	9132019
BRSRYEAL6	EXPRESS OIL CHANGE LLC SENIOR SECURED TE				5,468,928.27	5,446,584.65	5,473,954.43	5,470,988.76	(24,404.11	)	1,781.44		—	—		—	0.0429	J-A-J-O	—	288,165.79		5022016	12292017
30231GAB8	EXXON MOBIL CORP SENIOR CORP BND			1FE	5,000,000	5,001,050.2	5,000,000.00	5,000,000	1,050.2		—		—	—		0.8903	0.8903	M-J-S-D	1,978.4	24,435.59		9182014	3152017
30231GAD4	EXXON MOBIL CORP SENIOR CORP BND		1	1FE	1,550,000	1,567,777.01	1,550,000.00	1,550,000	17,777.01		—		—	—		1.8190	1.8190	Mar-Sep	1,253.09	33,247.28		3172014	3152019
30231GAJ1	EXXON MOBIL CORP SENIOR CORP BND		1	1FE	2,009,320	2,045,191.96	2,000,000.00	2,008,021.19	37,170.77		(1,044.41	)	—	—		2.3970	2.3159	Mar-Sep	3,329.17	47,940		10202015	3062022
30231GAP7	EXXON MOBIL CORP SENIOR CORP BND			1FE	8,757,914.5	8,829,131.33	8,750,000.00	8,757,638.47	71,492.86		(276.03	)	—	—		1.7080	1.7080	Mar-Sep	12,454.17	72,148.77		8242016	3012019
BRSQFMP35	FCE BANK PLC				900,909.42	852,778.54	630,000.00	900,055.6	22,832.22		(853.82	)	—	(70,109.29	)	2.7590	2.2888	November	19,926.13	(8,406.78	)		11132019
BRT21UC12	FCE BANK PLC SENIOR CORP BND EMTN	D		2FE	595,506.95	590,731.69	430,000.00	594,706.09	8,906.71		(800.86	)	—	(12,881.11	)	2.7270	1.9376	June	5,007.84	648.42		7262016	6032022
34960JAJ4	FCO_15-6A MEZZANIN ABS 15-6A		2		1,971,400	1,965,849.6	2,000,000.00	1,977,029.71	(11,180.11	)	2,586.38		—	—		4.4954	4.7239	M-J-S-D	5,244.68	65,311.52		3192015	3312027
31428XAZ9	FEDERAL EXPRESS CORP SENIOR CORP BND			2FE	2,441,713.35	2,487,746.16	2,440,000.00	2,441,715.57	46,030.59		(363.90	)	—	—		2.3000	2.2445	Feb-Aug	9,353.34	56,120		11122015	2012020
3133EF6L6	FEDERAL FARM CREDIT BANKS FUND SENIOR AG		1	1FE	2,000,000	2,003,692	2,000,000.00	2,000,000	3,692		—		—	—		2.0700	2.0700	May-Nov	16,330	—		5052016	5092023
3133EGEV3	FEDERAL FARM CREDIT BANKS FUND SENIOR AG		1	1	1,000,000	998,909.99	1,000,000.00	1,000,000	(1,090.01	)	—		—	—		1.6200	1.6200	Jun-Dec	4,815	(270	)	6172016	6142021
3130A0C65	FEDERAL HOME LOAN BANKS AGENCY BND			1	2,243,565	2,251,485.23	2,250,000.00	2,249,499.16	1,986.07		1,764.10		—	—		0.6250	0.7179	Jun-Dec	3,632.82	10,392.36		11142013	12282016
3130A4GJ5	FEDERAL HOME LOAN BANKS AGENCY BND			1	5,087,658.6	5,117,282.56	5,090,000.00	5,088,821.16	28,461.4		556.29		—	—		1.1250	1.1400	Apr-Oct	24,813.76	28,631.26		2262015	4252018

3130A8PK3	FEDERAL HOME LOAN BANKS AGENCY BND		1FE	3,792,096	3,785,142.04	3,800,000.00	3,792,962.15	(7,820.11	)	866.15		—	—	0.6250	0.7260	Feb-Aug	3,496.53	1,913.18		7072016	8072018
3130A8Y72	FEDERAL HOME LOAN BANKS AGENCY BND		1	3,792,704	3,786,357.96	3,800,000.00	3,793,085.19	(6,727.23	)	381.19		—	—	0.8750	0.9391	Feb-Aug	5,356.94	—		8032016	8052019
313379EE5	FEDERAL HOME LOAN BANKS AGENCY BND		1	10,062,900	10,180,600	10,000,000.00	10,042,253.57	138,346.43		(11,420.54	)	—	—	1.6250	1.4649	Jun-Dec	48,298.61	81,250		5202015	6142019
313379RB7	FEDERAL HOME LOAN BANKS AGENCY BND		1	5,664,725	5,629,470.22	5,500,000.00	5,657,804.94	(28,334.72	)	(6,920.06	)	—	—	1.8750	1.2437	Jun-Dec	31,510.42	(9,739.58	)	7142016	6112021
3133XQSE3	FEDERAL HOME LOAN BANKS AGENCY BND		1	541,545	525,099.99	500,000.00	523,464.14	1,635.85		(11,221.86	)	—	—	4.1100	1.0428	Apr-Oct	9,304.58	10,275		7152015	4182018
3130A6LZ8	FEDERAL HOME LOAN BANKS SENIOR AGENCY BN		1	2,993,490	2,992,980	3,000,000.00	2,996,590.29	(3,610.29	)	2,373.48		—	—	0.6250	0.7320	Apr-Oct	8,072.91	9,375		10082015	10262017
3130A8QS5	FEDERAL HOME LOAN BANKS SENIOR AGENCY BN		1FE	4,971,350	4,970,000.1	5,000,000.00	4,972,531.62	(2,531.52	)	1,181.62		—	—	1.1250	1.2436	Jan-Jul	12,031.25	(156.25	)	7142016	7142021
313379DT3	FEDERAL HOME LOAN BANKS SENIOR AGENCY BN		1	1,515,185.39	1,510,290.08	1,500,000.00	1,513,211.37	(2,921.29	)	(1,974.02	)	—	—	1.2500	0.7232	Jun-Dec	5,885.42	(1,145.83	)	6292016	6082018
BRSMTTCL8	FEDERAL-MOGUL HOLDINGS CORP SENIOR SECUR	2	4FE	3,645,392.18	3,523,042.14	3,653,660.50	3,648,276.67	(125,234.53	)	994.62		—	—	—	0.0320	M-J-S-D	—	132,543.8		4142015	4152021
BRSP9DQP4	FERRO CORP SENIOR SECURED TERM NOTES			359,674.12	362,385.19	361,481.49	360,220.59	2,164.6		507.47		—	—	—	0.0714	M-J-S-D	—	11,319.55		7302014	7302021
3134G72P5	FHLMC AGENCY BND	1	1	2,000,000	1,998,939.98	2,000,000.00	2,000,000	(1,060.02	)	—		—	—	1.2000	1.1964	Apr-Oct	10,133.33	12,000		10162015	10292018
3134GAFY5	FHLMC AGENCY BND	1	1FE	500,000	500,135	500,000.00	500,000	135		—		—	—	1.3000	1.2883	Feb-Aug	559.72	—		8232016	8282019
3137EADV8	FHLMC AGENCY BND		1	1,099,142	1,100,539	1,100,000.00	1,099,682.27	856.73		874.94		—	—	0.7500	0.7870	Jan-Jul	1,764.58	31,631.25		5282015	7142017
3137EADZ9	FHLMC AGENCY BND		1	999,670	1,004,820.02	1,000,000.00	999,727.73	5,092.29		57.73		—	—	1.1250	1.1359	Apr-Oct	5,937.5	—		3182016	4152019
31398QHE0	FHLMC AGENCY CMBS_ _K007-A1	2	1	2,596,841.95	2,507,596.42	2,482,711.70	2,528,989.94	(21,393.52	)	(47,768.11	)	—	—	3.3420	0.6604	Monthly	6,914.35	91,010.9		6102010	12252019
31398WV35	FHLMC AGENCY CMO 3654	2	1	26,007.73	24,968.22	24,235.51	24,733.28	234.94		(735.17	)	—	—	5.0000	1.3984	Monthly	100.98	1,210.6		2012012	11152028
3137APVD9	FHLMC AGENCY CMO_ _40-54-AE	2	1	1,463,615.15	1,484,195.31	1,491,855.99	1,466,760.37	17,434.94		6,296.64		—	—	1.5000	1.9915	Monthly	1,864.82	18,638.87		5162012	4152027
31395HJ43	FHLMC AGENCY CMO_2877-AL	2	1	510,113.07	512,078.91	473,001.38	504,915.6	7,163.31		(9,923.60	)	—	—	5.0000	1.9508	Monthly	1,970.84	20,074.56		8122005	10152024
3137A0MS1	FHLMC AGENCY CMO_3688-JA	2	1	180,496.95	177,169.41	175,284.00	176,916.89	252.52		(6,689.70	)	—	—	3.5000	1.0436	Monthly	511.25	8,345.41		7142010	1152030
3137A2QN4	FHLMC AGENCY CMO_37-60-NA	2	1	272,864.37	270,728.82	266,586.26	269,266.83	1,461.99		(4,702.28	)	—	—	3.0000	0.9729	Monthly	666.47	8,366.61		8202013	10152037
3137ALG60	FHLMC AGENCY CMO_4004-AE	2	1	1,464,547.97	1,476,598.24	1,478,833.50	1,466,016.39	10,581.85		2,607.87		—	—	1.7500	1.9993	Monthly	2,156.63	21,189.14		3132012	2152027
30262SAR9	FHLMC AGNECY CMBS 15-K42 B 144A	2		4,123,750	4,147,202	4,000,000.00	4,104,512.04	42,689.96		(8,914.01	)	—	—	3.9845	3.6069	Monthly	13,281.63	117,780.26		2042015	12252024
3133TJP56	FHLMC CMO AGENCY CMO_2130 QS	2	1	593,857.36	672,175.51	585,622.04	591,569.33	80,606.18		(890.42	)	—	—	6.0000	5.6524	Monthly	2,928.11	27,947.07		2062007	3152029
3137AAGA5	FHLMC CMO_3857 GL	2	1	557,337.41	561,532.18	541,135.80	555,501.48	6,030.7		(5,098.64	)	—	—	3.0000	1.8080	Monthly	1,352.84	14,138.5		7122011	5152040
3137ACNE5	FHLMC CMO_3879 MF	2	1	194,948.51	193,755.51	194,189.95	194,745.97	(990.46	)	(209.53	)	—	—	0.8743	0.7310	Monthly	75.46	1,297.64		11052013	9152038
3137ARH58	FHLMC CMO_4057 CD	2	1	2,691,168.9	2,755,896.97	2,776,920.20	2,707,339.49	48,557.48		26,668.25		—	—	2.0000	3.4423	Monthly	4,628.2	46,522.49		9052013	4152039
3137B7TL3	FHLMC CMO_4306 A	2	1	3,603,224.48	3,652,926.65	3,489,241.45	3,579,325.79	73,600.86		(26,836.55	)	—	—	3.5000	2.5756	Monthly	10,176.95	99,535.03		2202014	3152041
3137AUDW6	FHLMC PAC AGENCY CMO 4105-MG	2	1	476,270.59	479,643.81	460,999.96	474,427.72	5,216.09		(2,743.93	)	—	—	3.0000	1.7786	Monthly	1,152.5	11,213.06		11062014	11152040
3128JLHB8	FHLMC POOL # 1B1225	2	1	28,404.17	30,150.25	28,845.50	28,435.94	1,714.31		47.73		—	—	2.7590	3.1333	Monthly	66.32	563.06		4022007	9012033
3128JMW45	FHLMC POOL # 1B2566	2	1	40,519.23	42,290.6	40,837.75	40,539.27	1,751.33		87.88		—	—	2.6910	2.8134	Monthly	91.58	920.71		4022007	11012034
3128JMXM4	FHLMC POOL # 1B2583	2	1	873,386.87	918,652	883,083.15	874,241.18	44,410.82		369.28		—	—	2.7330	2.9179	Monthly	2,011.23	18,304.47		9172008	10012034
3128JMY68	FHLMC POOL # 1B2632	2	1	60,508.18	65,769.09	60,983.88	60,535.1	5,233.99		48.80		—	—	2.7850	2.9130	Monthly	141.53	1,367.25		4032007	11012034
3128JMZG5	FHLMC POOL # 1B2642	2	1	67,581.4	70,467.83	68,112.69	67,616	2,851.83		63.94		—	—	2.7750	2.8910	Monthly	157.51	1,514.65		4022007	11012034
3128JNAL9	FHLMC POOL # 1B2810	2	1	81,082.04	83,991.79	81,925.87	81,133.34	2,858.45		265.65		—	—	2.7760	2.9797	Monthly	189.52	1,961.8		4022007	2012035

3128NCB37	FHLMC POOL # 1G0058	2	1	96,087.47	102,537.23	96,313.20	96,077.78	6,459.45		67.55		—	—	2.7040	2.6969	Monthly	217.03	2,284.21	9172008	1012035
3128NCD68	FHLMC POOL # 1G0125	2	1	760,179.5	821,606.65	776,436.13	761,593.17	60,013.48		2,278.39		—	—	2.7000	3.1703	Monthly	1,746.98	16,103.62	12132005	3012035
3128NCMS0	FHLMC POOL # 1G0369	2	1	137,222.17	142,393.53	136,539.47	137,112.12	5,281.41		(90.87	)	—	—	2.5940	2.4250	Monthly	295.15	2,910.13	8272008	10012035
3128QJLG9	FHLMC POOL # 1G1227	2	1	150,290	153,258.1	147,343.16	149,895.28	3,362.82		(211.61	)	—	—	2.6460	2.2216	Monthly	324.89	3,011.79	1042008	10012036
3128QJRN8	FHLMC POOL # 1G1393	2	1	749,763.03	745,979.19	719,653.80	746,949.84	(970.65	)	(4,414.95	)	—	—	2.7720	1.9340	Monthly	1,662.4	15,896.26	3092012	12012036
3128QJ3B0	FHLMC POOL # 1G1694	2	1	928,329.54	984,956.11	942,279.70	929,260.19	55,695.92		991.90		—	—	2.7660	3.0531	Monthly	2,171.95	18,750.86	8102007	4012037
31326KNP8	FHLMC POOL # 2B4898	2	1	472,513.76	473,091.42	459,727.61	472,392.37	699.05		(1,215.22	)	—	—	2.9640	1.7220	Monthly	1,135.53	8,537.07	1202016	11012045
31342AZE2	FHLMC POOL # 780741	2	1	282,662.67	291,572.16	273,972.62	281,738.36	9,833.8		(1,480.66	)	—	—	2.7630	1.8778	Monthly	630.82	5,642.86	11162009	7012033
31342A6F1	FHLMC POOL # 780870	2	1	169,321.3	183,524.87	171,952.16	169,530.94	13,993.93		450.36		—	—	2.7080	3.0555	Monthly	388.04	3,547.81	2222012	9012033
31349SJK0	FHLMC POOL # 781166	2	1	345,934.96	375,556.73	351,663.22	346,555.46	29,001.27		902.22		—	—	2.6740	2.9783	Monthly	783.62	7,409.02	1092006	1012034
31349UCW6	FHLMC POOL # 782785	2	1	85,405.19	90,912.89	86,076.60	85,454.06	5,458.83		77.85		—	—	2.4570	2.5681	Monthly	176.24	1,686.24	4022007	10012034
31349UEJ3	FHLMC POOL # 782837	2	1	132,571.05	142,590.76	133,613.22	132,637.15	9,953.61		262.34		—	—	2.6230	2.7477	Monthly	292.06	2,986.26	4022007	11012034
31349UJL3	FHLMC POOL # 782967	2	1	50,320.16	53,319.5	51,078.36	50,380.24	2,939.26		138.79		—	—	2.6580	2.9642	Monthly	113.14	1,094.61	9302008	1012035
31349ULB2	FHLMC POOL # 783022	2	1	128,105.57	137,344.18	129,249.46	128,170.96	9,173.22		241.43		—	—	2.9320	3.0861	Monthly	315.8	3,011.78	4022007	2012035
31295NXK9	FHLMC POOL # 789682	2	1	23,138.46	24,664.04	23,272.10	23,147.79	1,516.25		21.15		—	—	2.7430	2.8074	Monthly	53.2	447.05	8102006	9012032
3128JRJS6	FHLMC POOL # 847473	2	1	922,540.33	986,112.02	926,303.47	922,612.87	63,499.15		577.57		—	—	2.5910	2.6277	Monthly	2,000.04	19,075.31	9262007	12012035
3128JRKQ8	FHLMC POOL # 847503	2	1	489,352.75	528,475.1	501,057.15	490,077.12	38,397.98		1,341.99		—	—	2.8900	3.5476	Monthly	1,206.71	10,571.76	5312006	12012035
3128JRPZ3	FHLMC POOL # 847640	2	1	172,669.3	185,405.17	173,615.53	172,695.73	12,709.44		158.82		—	—	2.8620	2.9367	Monthly	414.07	3,869.49	11132006	5012036
3128JRP26	FHLMC POOL # 847641	2	1	274,451.24	285,184.57	276,664.54	274,641.74	10,542.83		364.16		—	—	2.6140	2.7282	Monthly	602.67	6,136.01	2222012	12012033
3128JR6Z4	FHLMC POOL # 848088	2	1	3,962,628.84	4,003,707.75	3,771,126.32	3,947,086.8	56,620.95		(33,841.63	)	—	—	2.7280	1.4323	Monthly	8,573.03	81,536.04	3082011	4012035
31300L3D5	FHLMC POOL # 848896	2	1	1,044,680.48	1,030,853.98	993,160.29	1,043,626.91	(12,772.93	)	(17,814.54	)	—	—	2.9270	0.4183	Monthly	2,422.48	26,483.94	4222013	5012042
31300MZV8	FHLMC POOL # 849756	2	1	9,152,527.17	9,215,328.33	8,996,148.78	9,149,992.24	65,336.09		(38,148.86	)	—	—	2.7100	1.8269	Monthly	20,316.3	207,926.92	12092015	7012045
3128KWBZ5	FHLMC POOL # A65456	2	1	8,493.55	9,594.2	8,174.26	8,467.87	1,126.33		(83.75	)	—	—	6.0000	5.0673	Monthly	40.87	407.94	2042009	9012037
3128KWFX6	FHLMC POOL # A65582	2	1	13,209.2	14,920.91	12,712.62	13,168.71	1,752.2		(198.16	)	—	—	6.0000	5.0871	Monthly	63.56	674.6	2042009	9012037
3128KWFY4	FHLMC POOL # A65583	2	1	16,080.61	18,164.41	15,476.08	16,030.18	2,134.23		(93.51	)	—	—	6.0000	5.1113	Monthly	77.38	764.68	2042009	9012037
3128KWNV1	FHLMC POOL # A65804	2	1	236,076.71	273,203.85	233,396.26	235,830.55	37,373.3		(1,086.55	)	—	—	6.0000	5.7191	Monthly	1,166.98	14,441.63	11022007	9012037
3128KWNX7	FHLMC POOL # A65806	2	1	516,706.89	597,968.05	510,840.19	516,200.8	81,767.25		(989.02	)	—	—	6.0000	5.7001	Monthly	2,554.2	25,568.46	11022007	9012037
3128KWTK9	FHLMC POOL # A65954	2	1	15,469.95	17,474.6	14,888.36	15,414.25	2,060.35		(168.00	)	—	—	6.0000	5.2279	Monthly	74.44	737.81	2042009	9012037
3128KWTP8	FHLMC POOL # A65958	2	1	13,740.04	15,520.57	13,223.53	13,696.96	1,823.61		(87.31	)	—	—	6.0000	5.1112	Monthly	66.12	628.2	2042009	9012037
3128KWTZ6	FHLMC POOL # A65968	2	1	13,355.9	15,086.61	12,853.79	13,315.58	1,771.03		(64.46	)	—	—	6.0000	5.0690	Monthly	64.27	644.56	2042009	9012037
3128KWT29	FHLMC POOL # A65969	2	1	14,517.36	16,398.57	13,971.58	14,473.91	1,924.66		(52.96	)	—	—	6.0000	5.0642	Monthly	69.86	656.53	2042009	9012037
3128KW5Q2	FHLMC POOL # A66255	2	1	86,218.38	98,684.52	85,239.46	86,111.79	12,572.73		(1,036.74	)	—	—	6.0000	5.7711	Monthly	426.2	6,504.26	11022007	9012037
3128KYXE4	FHLMC POOL # A67877	2	1	16,373.17	18,494.87	15,757.63	16,318.98	2,175.89		(103.23	)	—	—	6.0000	5.1204	Monthly	78.79	767.09	2042009	4012037
312929CM2	FHLMC POOL # A82776	2	1	5,232.12	5,908.49	5,035.43	5,216.05	692.44		(27.02	)	—	—	6.0000	5.1878	Monthly	25.18	242.06	2042009	1012039

312930LH1	FHLMC POOL # A83928	2	1	12,473.23	14,085.67	12,004.31	12,436.36	1,649.31		(114.12	)	—	—	6.0000	5.1637	Monthly	60.02	617.8		2042009	1012039
312930LQ1	FHLMC POOL # A83935	2	1	18,464.42	20,851.37	17,770.28	18,406.29	2,445.08		(207.25	)	—	—	6.0000	5.2184	Monthly	88.85	903.7		2042009	1012039
312930RC6	FHLMC POOL # A84083	2	1	13,354.81	15,085.5	12,852.75	13,306.66	1,778.84		(123.11	)	—	—	6.0000	5.3082	Monthly	64.26	675.46		2042009	1012039
312930RV4	FHLMC POOL # A84100	2	1	7,682.33	8,675.44	7,393.52	7,658.26	1,017.18		(54.21	)	—	—	6.0000	5.2049	Monthly	36.97	348.5		2042009	1012039
312930TB6	FHLMC POOL # A84146	2	1	8,623.1	9,740.63	8,298.95	8,596.38	1,144.25		(8.61	)	—	—	6.0000	5.1998	Monthly	41.49	376.64		2042009	1012039
312942NF8	FHLMC POOL # A93990	2	1	8,979,740.9	9,042,995.9	8,397,186.12	8,968,570.68	74,425.22		(109,415.88	)	—	—	4.0000	2.0829	Monthly	27,990.62	205,399.48		2032016	9012040
31292KJH1	FHLMC POOL # C02964	2	1	1,233.73	1,393.61	1,187.36	1,229.84	163.77		(5.98	)	—	—	6.0000	5.0959	Monthly	5.94	57.66		2042009	7012037
31292SA91	FHLMC POOL # C09032	2	1	898,825.43	932,576.73	883,027.50	898,388.74	34,187.99		(1,775.94	)	—	—	3.5000	3.1328	Monthly	2,575.5	24,814.71		9122014	2012043
3128M4HY2	FHLMC POOL # G02647	2	1	253,736.12	288,576.46	257,232.88	253,929.43	34,647.03		811.66		—	—	5.5000	5.9461	Monthly	1,178.98	11,930.45		4092007	2012037
3128M4ZG1	FHLMC POOL # G03143	2	1	2,074.79	2,343.65	1,996.79	2,068.23	275.42		(12.61	)	—	—	6.0000	5.0967	Monthly	9.98	97.84		2042009	7012037
3128M5HK9	FHLMC POOL # G03534	2	1	2,729,404.58	3,068,474.32	2,655,950.88	2,723,039.98	345,434.34		(13,494.58	)	—	—	6.5000	5.8430	Monthly	14,386.41	143,634.71		11062007	10012037
3128M6UB2	FHLMC POOL # G04778	2	1	48,039.78	54,250	46,233.78	47,890.86	6,359.14		(326.16	)	—	—	6.0000	5.1581	Monthly	231.17	2,309.89		2042009	7012038
3128M7AZ9	FHLMC POOL # G05124	2	1	115,410.42	130,329.76	111,071.67	115,060.41	15,269.35		(809.49	)	—	—	6.0000	5.1741	Monthly	555.36	5,499.9		2042009	12012038
3128M92M3	FHLMC POOL # G07680	2	1	3,374,223.85	3,465,860.22	3,192,170.38	3,369,284.12	96,576.1		(22,156.41	)	—	—	4.0000	2.9214	Monthly	10,640.57	102,178.58		8122014	4012044
3128MABS7	FHLMC POOL # G07849	2	1	8,024,228.87	8,154,212.99	7,614,926.57	8,020,139.09	134,073.9		(20,015.64	)	—	—	3.5000	2.6844	Monthly	22,210.2	59,054.1		5252016	5012044
3128MJS68	FHLMC POOL # G08540	2	1	1,105,336.4	1,125,213.17	1,080,187.82	1,105,003.91	20,209.26		(1,785.99	)	—	—	3.0000	2.5839	Monthly	2,700.47	12,839.96		3302016	8012043
3128MJUH1	FHLMC POOL # G08583	2	1	361,800.41	362,901.32	331,736.81	361,310.03	1,591.29		(3,929.53	)	—	—	4.5000	1.8476	Monthly	1,244.01	4,828.25		5092016	4012044
3128MJUW8	FHLMC POOL # G08596	2	1	2,891,908.31	2,917,846.84	2,667,273.85	2,887,729.05	30,117.79		(57,272.01	)	—	—	4.5000	2.0493	Monthly	10,002.28	104,446.57		8152014	7012044
3128MJU32	FHLMC POOL # G08601	2	1	1,235,518.7	1,239,010.13	1,156,125.40	1,234,652.64	4,357.49		(18,980.24	)	—	—	4.0000	1.6742	Monthly	3,853.75	39,757.39		3232015	8012044
3128MJU81	FHLMC POOL # G08606	2	1	3,315,463.53	3,392,539.59	3,165,592.50	3,311,987.1	80,552.49		(36,531.13	)	—	—	4.0000	2.3271	Monthly	10,551.98	109,517.66		9182014	9012044
3128MJV23	FHLMC POOL # G08632	2	1	3,883,877.05	3,912,176.23	3,709,169.17	3,880,979.39	31,196.84		(28,749.28	)	—	—	3.5000	2.2789	Monthly	10,818.41	107,545.18		3232015	3012045
3128MJWP1	FHLMC POOL # G08653	2	1	2,876,552.42	2,929,140.23	2,818,422.45	2,875,750.17	53,390.06		(4,238.52	)	—	—	3.0000	2.5184	Monthly	7,046.06	40,663.54		3032016	7012045
3128MJW89	FHLMC POOL # G08670	2	1	1,459,983.65	1,494,280.78	1,437,798.86	1,459,580.85	34,699.93		(2,359.55	)	—	—	3.0000	2.5899	Monthly	3,594.5	34,493.21		10272015	10012045
3128MJW97	FHLMC POOL # G08671	2	1	4,186,134.94	4,252,457.77	4,031,793.14	4,182,481.98	69,975.79		(22,146.47	)	—	—	3.5000	2.3279	Monthly	11,759.39	115,400.59		11032015	10012045
3128MJXA3	FHLMC POOL # G08672	2	1	68,232.16	68,507.73	63,880.75	68,158.98	348.75		(458.64	)	—	—	4.0000	1.7887	Monthly	212.94	807.97		5122016	10012045
3128MJXE5	FHLMC POOL # G08676	2	1	1,837,254.58	1,879,800.16	1,782,255.29	1,836,166.82	43,633.34		(6,958.23	)	—	—	3.5000	2.5788	Monthly	5,198.25	50,590.67		11172015	11012045
3128MJXJ4	FHLMC POOL # G08680	2	1	6,311,651.76	6,573,666.59	6,325,190.33	6,311,716.7	261,949.89		1,140.14		—	—	3.0000	3.0358	Monthly	15,812.98	150,793.86		12172015	12012045
3128MJXR6	FHLMC POOL # G08687	2	1	3,837,576.45	3,872,009.86	3,671,087.08	3,834,847.66	37,162.2		(16,570.39	)	—	—	3.5000	2.0476	Monthly	10,707.34	63,017.8		2162016	1012046
3128MJXX3	FHLMC POOL # G08693	2	1	3,171,051.67	3,200,302.89	3,032,232.29	3,167,667.38	32,635.51		(19,277.48	)	—	—	3.5000	2.0566	Monthly	10,452.01	73,416.82		3032016	3012046
3128MJYB0	FHLMC POOL # G08705	2	1	4,112,482.32	4,118,621.81	3,962,943.14	4,111,582.02	7,039.79		(900.30	)	—	—	3.0000	2.4381	Monthly	9,907.36	(4,293.19	)	8242016	5012046
3128MJYH7	FHLMC POOL # G08711	2	1	2,799,091.07	2,810,842.24	2,663,224.98	2,798,625.59	12,216.65		(2,341.58	)	—	—	3.5000	2.1605	Monthly	7,767.74	16,463.03		6232016	6012046
3128MBBR7	FHLMC POOL # G12548	2	1	258,913.69	269,653.57	258,348.56	258,453.66	11,199.91		(107.02	)	—	—	5.5000	5.4201	Monthly	1,184.1	12,449.23		3302007	1012022
3128MBU70	FHLMC POOL # G13106	2	1	280,406.31	268,988.15	261,451.11	273,719.96	(4,731.81	)	(7,826.26	)	—	—	5.0000	1.9758	Monthly	1,089.38	12,158.15		7172013	10012020
3128MCRQ0	FHLMC POOL # G13895	2	1	574,589.59	543,172.78	533,726.19	554,302.18	(11,129.4	)	(21,038.67	)	—	—	5.0000	1.8417	Monthly	2,223.86	27,708.95		11102011	11012019

3128MDCL5	FHLMC POOL # G14375	2	1	105,494.95	103,393.65	99,129.01	104,680.59	(1,286.94	)	(1,571.63	)	—	—	4.0000	1.9901	Monthly	330.43	3,374.8		12132013	7012026
3128MDM91	FHLMC POOL # G14684	2	1	1,109,508.36	1,109,010.76	1,055,026.15	1,093,620.8	15,389.96		(16,820.37	)	—	—	3.0000	1.5224	Monthly	2,637.57	27,913.72		2132013	2012023
3128MDNM1	FHLMC POOL # G14696	2	1	427,557.57	418,017.15	385,078.58	417,629.74	387.41		(12,978.83	)	—	—	6.0000	2.8048	Monthly	1,925.39	20,126.55		3012013	3012024
3128MDVW0	FHLMC POOL # G14929	2	1	524,531.43	514,189.33	489,091.42	520,762.2	(6,572.87	)	(6,382.49	)	—	—	4.0000	2.1023	Monthly	1,630.3	16,203.6		11192013	10012028
3128MD3A9	FHLMC POOL # G15093	2	1	445,828.83	455,895.66	429,908.77	444,846.65	11,049.01		(2,609.12	)	—	—	3.0000	2.1211	Monthly	1,074.77	10,398.27		7132015	4012029
3128MD5G4	FHLMC POOL # G15147	2	1	2,359,658.4	2,410,631.99	2,275,911.96	2,352,066.76	58,565.23		(11,971.86	)	—	—	3.0000	2.1523	Monthly	5,689.79	54,886.66		8132014	8012029
3128MEHM6	FHLMC POOL # G15436	2	1	1,452,969.07	1,475,158.44	1,391,024.98	1,450,147.56	25,010.88		(9,228.83	)	—	—	3.0000	2.0121	Monthly	3,477.56	33,495.2		9212015	6012030
3128MMUS0	FHLMC POOL # G18592	2	1	4,890,224.3	4,917,457.92	4,679,990.34	4,885,758.38	31,699.54		(17,680.46	)	—	—	3.0000	1.5938	Monthly	11,699.98	53,974.66		3302016	3012031
31335ACR7	FHLMC POOL # G60080	2	1	2,751,057.62	2,812,419.69	2,666,480.19	2,749,216.91	63,202.78		(7,393.82	)	—	—	3.5000	2.9739	Monthly	7,777.23	73,370.54		6082015	6012045
31335ACS5	FHLMC POOL # G60081	2	1	2,723,632.06	2,794,262.16	2,553,654.45	2,720,213.78	74,048.38		(20,178.30	)	—	—	4.0000	2.6947	Monthly	8,512.18	81,901.58		6082015	6012045
31335AHP6	FHLMC POOL # G60238	2.00	1	4,840,440.88	5,003,892.1	4,671,817.46	4,838,544.12	165,347.98		(13,299.53	)	—	—	3.5000	2.9094	Monthly	13,626.13	127,938.39		12212015	10012045
3128MTB72	FHLMC POOL # H00962	2	1	33,010.96	36,776.33	32,376.09	32,961.27	3,815.06		(5.84	)	—	—	6.5000	5.9498	Monthly	175.37	1,578.33		10312007	7012037
3128MTEE4	FHLMC POOL # H01033	2	1	368,896.58	410,974.46	361,801.86	368,135.94	42,838.52		(4,434.99	)	—	—	6.5000	6.1141	Monthly	1,959.76	22,415.87		10312007	7012037
3128MTF29	FHLMC POOL # H01085	2	1	99,894.67	111,289.05	97,973.45	99,670.49	11,618.56		(75.92	)	—	—	6.5000	6.1483	Monthly	530.69	4,846.71		10312007	7012037
3128PVWH9	FHLMC POOL # J16048	2	1	1,639,056.4	1,640,409.17	1,551,539.87	1,619,245.51	21,163.66		(15,330.47	)	—	—	4.0000	2.6387	Monthly	5,171.8	50,500.92		8022011	7012026
3128PV4J6	FHLMC POOL # J16225	2	1	1,297,583.34	1,298,654.27	1,228,299.57	1,282,829.28	15,824.99		(12,534.58	)	—	—	4.0000	2.5610	Monthly	4,094.33	40,915.39		8022011	8012026
31307MPM2	FHLMC POOL # J31328	2	1	319,160.85	321,780.3	306,241.30	318,519.43	3,260.87		(1,660.51	)	—	—	3.0000	2.0494	Monthly	765.59	7,299.22		9022015	4012030
31307MRM0	FHLMC POOL # J31392	2	1	293,794.46	296,205.69	281,901.71	293,185.36	3,020.33		(1,437.64	)	—	—	3.0000	2.0845	Monthly	704.75	6,738.93		9022015	4012030
31307MR40	FHLMC POOL # J31407	2	1	392,672.27	395,124.93	376,044.06	391,947.31	3,177.62		(1,920.12	)	—	—	3.0000	1.9503	Monthly	940.11	8,931.69		9212015	4012030
31307MSH0	FHLMC POOL # J31420	2	1	167,188.65	170,159.15	160,420.88	166,846.33	3,312.82		(918.45	)	—	—	3.0000	2.0706	Monthly	401.05	3,810.15		9022015	4012030
31307MSY3	FHLMC POOL # J31435	2	1	369,434.71	372,466.79	354,480.10	368,699.17	3,767.62		(1,939.45	)	—	—	3.0000	2.0386	Monthly	886.2	8,462.43		9022015	4012030
31307NN34	FHLMC POOL # J32210	2	1	510,456.61	519,526.17	489,793.49	509,422.95	10,103.22		(2,016.44	)	—	—	3.0000	2.0936	Monthly	1,224.48	11,369.83		9022015	7012030
31307NPD0	FHLMC POOL # J32220	2	1	93,388.95	95,048.25	89,608.60	93,198.22	1,850.03		(583.91	)	—	—	3.0000	2.1034	Monthly	224.02	2,171.21		9022015	7012030
3132GLQP2	FHLMC POOL # Q05262	2	1	2,565,405	2,623,035.11	2,479,026.43	2,560,892.99	62,142.12		(10,760.38	)	—	—	3.5000	2.7429	Monthly	7,230.49	70,707.07		2032012	12012041
3132GMDN9	FHLMC POOL # Q05809	2	1	3,551,331.09	3,613,590.96	3,355,258.19	3,545,639.86	67,951.1		(29,647.50	)	—	—	4.0000	2.6600	Monthly	11,184.2	108,978.11		6272014	1012042
3132GSEB1	FHLMC POOL # Q07030	2	1	559,668.99	562,902.51	533,494.42	559,636.8	3,265.71		(2,131.72	)	—	—	3.5000	2.5928	Monthly	1,556.03	7,647.61		3312016	3012042
3132JMGH6	FHLMC POOL # Q20200	2	1	5,766,710.47	5,849,680.27	5,520,859.69	5,762,756.94	86,923.33		(24,243.98	)	—	—	3.5000	2.5626	Monthly	16,102.51	112,895.95		1282016	7012043
3132M55C2	FHLMC POOL # Q25643	2	1	1,693,464.82	1,713,420.69	1,564,401.68	1,690,397.8	23,022.89		(19,575.97	)	—	—	4.0000	2.3949	Monthly	5,214.67	51,642.85		1222015	4012044
3132M92R4	FHLMC POOL # Q29184	2	1	2,143,245.6	2,162,558.6	2,006,402.70	2,140,418.59	22,140.01		(28,102.82	)	—	—	4.0000	1.6560	Monthly	6,688	68,264.71		12112014	10012044
3132QLQT3	FHLMC POOL # Q30465	2	1	2,541,056.65	2,599,092.55	2,437,829.78	2,538,708.23	60,384.32		(7,746.72	)	—	—	3.5000	2.6705	Monthly	7,110.33	66,888.2		12112014	12012044
3132QNGH6	FHLMC POOL # Q31999	2	1	2,007,574.24	2,014,222.2	1,909,702.03	2,005,610.73	8,611.47		(11,564.05	)	—	—	3.5000	2.0995	Monthly	5,569.96	53,511.5		4152015	3012045
3132QNP37	FHLMC POOL # Q32241	2	1	2,145,822.87	2,159,136.36	2,047,096.44	2,143,991.12	15,145.24		(12,228.91	)	—	—	3.5000	2.3109	Monthly	5,970.7	52,850.06		2162016	3012045
3132QRMV9	FHLMC POOL # Q34871	2	1	1,079,310.97	1,071,734.41	1,016,120.95	1,079,310.97	(7,576.56	)	—		—	—	3.5000	3.0207	Monthly	1,185.47	(1,185.47	)	9232016	7012045
3132WF2X6	FHLMC POOL # Q42589	2	1	8,295,155.97	8,301,914.71	7,988,112.88	8,294,449.22	7,465.49		(706.75	)	—	—	3.0000	2.7223	Monthly	19,970.28	(8,653.8	)	8162016	8012046

3137B6U82	FHLMC SENIOR AGENCY CMO 4286 MP		2	1	3,503,533.91	3,489,190.88	3,226,740.10	3,490,577.07	(1,386.19	)	(42,062.35	)	—	—		4.0000	2.4903	Monthly	10,755.8	104,129.01		4222015	12152043
3137B8MW4	FHLMC SENIOR AGENCY CMO_4322-DN		2	1	3,869,330.17	3,837,534.21	3,606,190.93	3,804,568.71	32,965.5		(54,344.36	)	—	—		4.0000	1.7300	Monthly	12,020.64	118,006.49		8202014	5152043
3137BDJQ0	FHLMC SENIOR AGENCY CMO_4384-HN		2	1	825,788.01	828,517.46	782,563.60	814,242.31	14,275.15		(9,908.38	)	—	—		3.5000	1.6774	Monthly	2,282.48	22,105.87		10072014	6152040
3137A47K7	FHLMC SENIOR CMO_3778 M		2	1	163,418.03	162,804	150,399.11	160,946.4	1,857.6		(2,624.88	)	—	—		4.5000	0.7170	Monthly	564	5,530.03		1132014	8152039
02R0306A6	FHLMC TBA MBS		2	1	2,584,375	2,598,242.19	2,500,000.00	2,584,375	13,867.19		—		—	—		3.0000	2.7494	Monthly	2,500	(2,500	)	9132016	10012046
3137EADP1	FHLMC UNSECURED AGENCY BND			1	14,877,000	14,993,250.3	15,000,000.00	14,964,666.63	28,583.67		18,215.58		—	—		0.8750	1.0410	Mar-Sep	8,750	131,250		2012013	3072018
31395EC47	FHLMC_2839 CMO_2839 TS		2	1	301,165.97	288,036.68	280,317.36	290,066.83	(2,030.15	)	(10,679.56	)	—	—		5.0000	1.3126	Monthly	1,167.99	14,534.47		3072013	8152019
31397JAB0	FHLMC_3346A AGNECY CMO_3335-AF		2	1	66,186.36	66,030.22	66,181.18	66,182.67	(152.45	)	(2.48	)	—	—		0.6743	0.6712	Monthly	19.83	393.34		7222011	10152020
31398Q4P9	FHLMC_3674 SENIOR AGENCY CMO 3674 HJ		2	1	1,115,461.74	1,123,826.39	998,455.26	1,103,381.17	20,445.22		(21,461.61	)	—	—		5.5000	2.4903	Monthly	4,576.25	45,169.64		11202013	4152040
3137B36J2	FHLMC_K029 AGENCY CMO K029		2	1	5,348,910.48	5,323,909.9	4,877,430.00	5,342,075.7	(18,165.8	)	(6,834.78	)	—	—		3.3200	1.6606	Monthly	13,494.21	1,690.89		8242016	2252023
3137BPVZ9	FHMS_K055 AGCYSEN SENIOR CMBS_K055 A1		2	1	3,215,673.51	3,260,603.24	3,152,747.81	3,213,445.91	47,157.33		(2,731.61	)	—	—		2.2630	1.7817	Monthly	5,945.56	13,735.5		6082016	4252025
3137BPWG0	FHMS_KJ05 LCF SENIOR AGENCY CMBS_KJ05 A2		2	1	786,285.21	786,136.36	770,886.00	785,493.31	643.05		(791.90	)	—	—		2.1580	1.7260	Monthly	1,386.31	2,865.04		6172016	10252021
3137BDKF2	FHR AGENCY CMO_4384 LA		2	1	3,620,712.12	3,622,797.32	3,438,064.94	3,593,246	29,551.32		(32,452.99	)	—	—		3.5000	1.3629	Monthly	10,027.69	97,458.3		8272014	9152040
31283AKB5	FHSTR CMO_282 150		2	1	2,940,277.97	2,997,949.83	3,006,603.65	2,947,697.02	50,252.81		12,830.43		—	—		1.5000	2.0187	Monthly	3,758.25	36,892.81		10172012	10152027
316773CR9	FIFTH THIRD BANK CAPSEC CORP BND		1	3FE	7,895,000	7,800,000	8,000,000.00	7,897,981.94	(97,981.94	)	901.29		—	—		4.9000	4.9359	Mar-Sep	1,088.89	392,000		11242014	12312049
31677QBC2	FIFTH THIRD BANK SENIOR CORP BND		1	1FE	4,342,897.5	4,539,183.46	4,350,000.00	4,345,260.5	193,922.96		640.80		—	—		2.8750	2.9560	Apr-Oct	62,531.25	62,531.25		3132015	10012021
31677QBF5	FIFTH THIRD BANK SENIOR CORP BND		1	1FE	2,349,459.5	2,389,449.52	2,350,000.00	2,349,554.85	39,894.67		95.35		—	—		2.3000	2.3080	Mar-Sep	2,402.22	27,025		3102016	3152019
31677QBG3	FIFTH THIRD BANK SENIOR CORP BND		1	1FE	909,317.5	924,282.62	910,000.00	909,356.12	14,926.5		38.62		—	—		2.2500	2.2660	Jun-Dec	6,085.63	—		6092016	6142021
31677QBH1	FIFTH THIRD BANK SENIOR CORP BND		1	1FE	4,517,488.5	4,524,843.98	4,525,000.00	4,517,515.59	7,328.39		27.09		—	—		1.6250	1.6820	Mar-Sep	817.01	—		9222016	9272019
31677AAB0	FIFTH THIRD BANK SUB CORP BND		1	2FE	879,128.8	936,505.45	880,000.00	879,168.15	57,337.3		39.35		—	—		3.8500	3.8620	Mar-Sep	1,505.78	16,940		3102016	3152026
31970LAA2	FIRST COAST RE 2016 LTD CORP BND 144A	F	1		500,000	510,000	500,000.00	500,000	10,000		—		—	—		4.2892	4.2892	M-J-S-D	1,429.72	5,295.97		5252016	6072019
BRSU8ETX2	FIRST DATA CORPORATION SENIOR SECURED TE			3FE	4,492,111.12	4,546,741.35	4,522,244.35	4,494,975.14	51,766.21		2,638.76		—	—		—	0.1021	M-J-S-D	—	104,088.67		6022016	7082022
33766QAA5	FIRSTENERGY OHIO PIRB SPECIAL ABS_13-1 A		2	1FE	26,320.79	26,267.55	26,320.82	26,319.81	(52.26	)	0.24		—	—		0.6790	0.6787	Jan-Jul	37.73	709.19		6122013	1152019
BRSFEV6K3	FLY FUNDING II SARL			4FE	2,502,437.79	2,509,959.41	2,511,529.12	2,505,675.44	4,283.97		1,711.75		—	—		—	0.0806	F-M-A-N	—	67,836.75			8092019
BRSHZJ755	FLYING FORTRESS INC SENIOR SECURED TERM		2	3FE	1,063,095.24	1,069,747.9	1,064,425.77	1,063,459.49	6,288.41		202.46		—	—		—	0.0250	J-A-J-O	—	28,355.12		5012015	4302020
30249UAA9	FMC TECHNOLOGIES INC SENIOR CORP BND			2FE	349,184.5	347,448.5	350,000.00	349,831.29	(2,382.79	)	123.97		—	—		2.0000	2.0489	Apr-Oct	3,500	3,500		9182012	10012017
BRSL7M1V9	FMG RESOURCES (AUGUST 2006) PT SENIOR SE	F		2FE	3,389,270.49	3,409,583.13	3,413,850.44	3,401,829.87	7,753.26		13,964.77		—	—		—	0.1267	M-J-S-D	—	181,421.58		11152013	6302019
30254WAE9	FMS WERTMANAGEMENT LT GTD SENIOR CORP BN	F		1FE	866,722.56	868,872.72	867,000.00	866,913.17	1,959.55		106.71		—	—		1.1250	1.1359	Mar-Sep	704.44	15,519.39		8272014	9052017
30254WAJ8	FMS WERTMANAGEMENT LT GTD SENIOR CORP BN	F		1FE	3,975,320	4,000,599.96	4,000,000.00	3,976,730.35	23,869.61		1,410.35		—	—		1.3750	1.5041	Jun-Dec	16,194.44	—		6082016	6082021
30254WAK5	FMS WERTMANAGEMENT LT GTD SENIOR CORP BN	F			13,152,124.7	13,167,728	13,210,000.00	13,153,770.41	13,957.59		1,645.71		—	—		1.0000	1.1099	Feb-Aug	16,145.54	(3,805.55	)	9012016	8162019
BRSMSHXX6	FMS WERTMANAGEMENT LT GTD SENIOR CORP BN	D		1FE	669,166.8	668,811.52	500,000.00	669,090.53	(1,155.8	)	(76.27	)	—	876.79		1.8750	0.4211	December	9,948.79	(9,836.09	)	9262016	12072018
BRSTSH835	FMS WERTMANAGEMENT LT GTD SENIOR CORP BN	D			2,377,639.35	2,095,070.02	1,600,000.00	2,377,697.73	16,314.22		(72.36	)	—	(298,941.94	)	1.0000	0.9892	April	9,908	12,667.12		1182016	4102018
D2R6L0P26	FMS WERTMANAGEMENT LT GTD SENIOR CORP BN	D		1FE	1,857,555.59	1,722,391.59	1,300,000.00	1,856,122.37	23,612.3		(2,233.47	)	—	(157,343.08	)	1.2500	1.0088	March	11,971.27	304.87		7262016	3082019
3138E9KT6	FNMA			1	65,040.62	65,564.04	62,351.71	64,573.33	990.71		(411.47	)	—	—		3.0000	1.8179	Monthly	155.88	1,531.41			3012027

3138E9L40	FNMA		1	1,538,219.76	1,550,598.57	1,474,626.48	1,527,116.89	23,481.68		(9,194.01	)	—	—	3.0000	1.8528	Monthly	3,686.57	36,219.63		5012027
3140E1S38	FNMA		1	8,613,257.53	8,908,336.54	8,318,220.64	8,611,565.3	296,771.24		(16,539.44	)	—	—	3.5000	2.8657	Monthly	24,261.47	224,633.95		10012045
3136AGJ60	FNMA AGCYS SENIOR CMBS_13-M13 A2	2	1	680,773.44	678,632.18	650,000.00	680,252.24	(1,620.06	)	(521.20	)	—	—	2.5405	1.0932	Monthly	1,421.36	236.9	8232016	4252023
3135G0E58	FNMA AGENCY BND		1	5,491,090	5,532,010.06	5,500,000.00	5,494,124.59	37,885.47		2,110.96		—	—	1.1250	1.1779	Apr-Oct	27,843.75	30,937.5	8272015	10192018
3135G0WJ8	FNMA AGENCY BND		1	1,995,720	2,002,940.22	2,000,000.00	1,998,602.16	4,338.06		631.92		—	—	0.8750	0.9181	May-Nov	6,319.45	8,750	4112013	5212018
3135G0ZB2	FNMA AGENCY BND		1	249,127.5	250,265	250,000.00	249,843.47	421.53		3,550.01		—	—	0.7500	0.8640	Apr-Oct	838.54	32,843.75	3062014	4202017
31398SVZ3	FNMA AGENCY CMO _10-139-MA	2	1	1,477,442.33	1,445,120	1,445,199.92	1,476,038.37	(30,918.37	)	(5,482.69	)	—	—	2.5000	1.9566	Monthly	3,010.83	29,408.94	11092010	12252040
31398SZN6	FNMA AGENCY CMO _10-141-G	2	1	8,041,236.5	8,171,823.79	7,733,120.02	7,978,491.23	193,332.56		(25,871.14	)	—	—	3.5000	1.6603	Monthly	22,554.92	203,494.26	7212014	5252030
3136A1PM1	FNMA AGENCY CMO__11-96-PA	2	1	2,209,713.83	2,184,638.01	2,164,900.40	2,201,000.52	(16,362.51	)	(14,832.30	)	—	—	2.5000	1.3355	Monthly	4,510.21	47,503.56	9062011	3252040
3136ABTM5	FNMA AGENCY CMO__13-7-CT	2	1	204,616.7	207,152.27	205,228.28	204,865.75	2,286.52		3,896.40		—	—	2.0000	2.1493	Monthly	342.05	13,942.72	1032013	2252043
31398GEH8	FNMA AGENCY CMO_09-100-MA	2	1	385,385.01	385,273.12	371,996.85	384,248.85	1,024.27		(4,490.89	)	—	—	3.0000	1.6875	Monthly	929.99	9,937.97	11132009	11252039
31397NLS2	FNMA AGENCY CMO_09-11 LC	2	1	427,810.06	425,518.39	401,935.46	424,317.44	1,200.95		(6,817.38	)	—	—	4.5000	1.9724	Monthly	1,507.25	15,307.44	2072014	3252049
31398MU53	FNMA AGENCY CMO_10-29-PA	2	1	45,973.44	45,023.96	44,696.47	44,975.31	48.65		(1,774.81	)	—	—	4.5000	1.8241	Monthly	167.61	3,007.98	3162010	10252038
31398MAY2	FNMA AGENCY CMO_10-9 MC	2	1	827,921.04	777,430.64	738,596.98	772,475.82	4,954.82		(20,031.92	)	—	—	5.0000	1.4527	Monthly	3,077.49	29,780.66	5212014	4252036
31392ER28	FNMA CMO_02-64 PG	2	1	641,718.6	657,613.81	582,549.10	638,876.03	18,737.78		(9,634.24	)	—	—	5.5000	2.9785	Monthly	2,670.02	26,090.5	9182002	10252032
31394DA42	FNMA CMO_05-48 AR	2	1	34,634.44	36,249.87	34,387.29	34,404.15	1,845.72		(48.34	)	—	—	5.5000	5.2497	Monthly	157.61	1,732.41	12202007	2252035
3136A9FV5	FNMA CMO_12-111 LB	2	1	583,863.45	598,308.19	565,058.24	583,440.4	14,867.79		(134.72	)	—	—	3.5000	2.5557	Monthly	1,648.09	14,832.81	2282014	5252041
3136ABFX6	FNMA CMO_12-146 NA	2	1	1,625,591.96	1,675,061.74	1,651,420.17	1,626,887.44	48,174.3		3,946.97		—	—	2.0000	2.2937	Monthly	2,752.37	27,007.39	12052012	9252042
3136AEXL6	FNMA CMO_13-64 KA	2	1	2,082,780.93	2,166,312.1	2,154,014.19	2,089,120.01	77,192.09		10,437.23		—	—	2.0000	2.7519	Monthly	3,590.02	34,804.3	5232013	2252033
31371NAC9	FNMA POOL # 256603	2	1	188,760.99	196,129.24	188,584.16	188,420.4	7,708.84		(2.68	)	—	—	5.5000	5.4142	Monthly	864.34	8,842.03	7172008	2012022
31371NE35	FNMA POOL # 256754	2	1	73,006.74	71,629.9	68,874.30	71,377.25	252.65		(1,045.28	)	—	—	5.5000	3.6114	Monthly	315.67	3,216.63	9292009	6012022
31385W2S7	FNMA POOL # 555285	2	1	1,058,392.17	1,113,859.7	960,537.42	1,048,018.27	65,841.43		(17,378.34	)	—	—	6.0000	3.5611	Monthly	4,802.69	47,448.95	1052011	3012033
31385XAZ0	FNMA POOL # 555424	2	1	1,112,090.07	1,156,644.23	1,021,657.42	1,103,730.24	52,913.99		(17,658.16	)	—	—	5.5000	3.3574	Monthly	4,682.6	46,562.26	1252012	5012033
31385XEW3	FNMA POOL # 555549	2	1	22,686.06	23,737.07	22,871.89	22,762.4	974.67		107.09		—	—	5.0000	5.2427	Monthly	95.29	1,233.67	12142007	6012018
31385XK48	FNMA POOL # 555715	2	1	41,215.5	43,770.51	41,583.49	41,260.06	2,510.45		52.64		—	—	2.7400	2.8978	Monthly	94.95	880.65	4022007	7012033
31400EGH7	FNMA POOL # 685200	2	1	20,023.45	20,951.1	20,187.47	20,093.85	857.25		111.09		—	—	5.0000	5.2472	Monthly	84.12	1,143.38	12142007	3012018
31400PG58	FNMA POOL # 693320	2	1	43,925.2	47,178.61	44,311.20	43,973.95	3,204.66		62.81		—	—	2.6640	2.8269	Monthly	98.37	994.11	8102006	1012033
31400QJ87	FNMA POOL # 694287	2	1	5,275.91	5,657.42	5,322.99	5,281.09	376.33		7.49		—	—	2.7250	2.9002	Monthly	12.09	116.6	4022007	3012033
31400SA33	FNMA POOL # 695826	2	1	10,357.22	10,837.05	10,442.06	10,392.96	444.09		43.18		—	—	5.0000	5.2482	Monthly	43.51	541.94	12142007	4012018
31401A3C9	FNMA POOL # 702895	2	1	21,373.4	22,363.62	21,548.50	21,447.35	916.27		102.35		—	—	5.0000	5.2467	Monthly	89.79	1,175.95	12142007	4012018
31401DVW8	FNMA POOL # 705429	2	1	73,270.54	79,140.94	74,124.74	73,377.93	5,763.01		43.87		—	—	2.7890	3.0181	Monthly	172.28	1,513.37	8102006	4012033
31401MKS9	FNMA POOL # 712305	2	1	538,695.1	530,525.28	505,817.00	535,466.96	(4,941.68	)	(6,207.20	)	—	—	3.0500	1.6009	Monthly	1,285.62	11,503.37	2232012	5012033
31402DQB9	FNMA POOL # 725950	2	1	50,224.52	52,091.1	50,683.82	50,384.11	1,706.99		186.31		—	—	5.0000	5.2573	Monthly	211.18	2,444.67	7172008	11012019
31402HD32	FNMA POOL # 729222	2	1	657,128.18	709,609.72	664,392.35	657,771.51	51,838.21		1,599.66		—	—	2.7050	2.9471	Monthly	1,497.65	14,068.45	9172008	7012035

31402QYX3	FNMA POOL # 735226	2	1	273,900.42	275,261.09	247,035.32	273,267.45	1,993.64		(5,436.00	)	—	—	5.0000	2.1061	Monthly	1,029.31	8,559.72	1042016	2012035
31402RB81	FNMA POOL # 735463	2	1	72,512.67	76,950.4	73,112.45	72,569.62	4,380.78		42.34		—	—	2.7770	2.9412	Monthly	169.19	1,518.46	9282006	3012035
31402RF87	FNMA POOL # 735591	2	1	2,092,871.35	2,247,043.43	2,016,627.52	2,086,083.3	160,960.13		(15,472.75	)	—	—	5.0000	4.0003	Monthly	8,402.62	84,512.6	4302010	6012035
31402YSV7	FNMA POOL # 742232	2	1	1,866.31	2,011.42	1,895.32	1,868.48	142.94		1.30		—	—	3.3750	3.8193	Monthly	5.33	43.41	4022007	9012033
31403C2L4	FNMA POOL # 745179	2	1	70,726.48	74,003.15	71,305.85	70,930.26	3,072.89		390.60		—	—	5.0000	5.2372	Monthly	297.1	3,957	12142007	4012019
31403DCE7	FNMA POOL # 745369	2	1	77,919.46	80,738.91	78,557.70	78,123.96	2,614.95		309.42		—	—	5.0000	5.2246	Monthly	327.32	3,959.77	12142007	12012019
31403DCZ0	FNMA POOL # 745388	2	1	164,140.49	171,744.84	165,485.02	164,652.71	7,092.13		704.39		—	—	5.0000	5.2383	Monthly	689.52	8,566.54	12142007	11012018
31403H3P3	FNMA POOL # 749706	2	1	169,756.42	180,730.61	171,891.63	170,003.52	10,727.09		100.52		—	—	2.8980	3.1519	Monthly	415.12	3,504.22	5152006	11012033
31403KDB6	FNMA POOL # 750798	2	1	3,661.68	3,956.36	3,718.60	3,668.79	287.57		2.74		—	—	2.6990	2.9966	Monthly	8.36	71.82	4022007	12012033
31403VBR9	FNMA POOL # 758848	2	1	44,652.6	46,721.31	45,018.40	44,789.29	1,932.02		161.77		—	—	5.0000	5.2322	Monthly	187.58	2,199.24	12142007	1012019
31404CLB4	FNMA POOL # 764522	2	1	4,972.19	5,333.19	5,072.85	4,981.33	351.86		84.22		—	—	2.8080	3.3220	Monthly	11.87	167.03	9302008	6012034
31404LRF9	FNMA POOL # 771886	2	1	46,706.99	49,946.82	47,487.95	46,801.38	3,145.44		194.55		—	—	2.5410	2.8890	Monthly	100.56	961.87	8102006	2012034
31404NBP0	FNMA POOL # 773246	2	1	57,747.07	61,091.35	58,230.37	57,786.84	3,304.51		77.92		—	—	2.5040	2.6831	Monthly	121.51	1,179.15	4022007	2012035
31404VGA0	FNMA POOL # 779693	2	1	245,260.96	252,732.66	247,582.02	245,506.49	7,226.17		963.87		—	—	2.8970	3.0787	Monthly	597.7	6,472.48	2242006	7012034
31405PAG5	FNMA POOL # 794807	2	1	74,471.11	78,604.05	74,268.37	74,428.07	4,175.98		(22.02	)	—	—	2.6690	2.5902	Monthly	165.18	1,293.46	6302007	10012034
31405UMM8	FNMA POOL # 799664	2	1	25,320.49	26,225.56	25,519.56	25,340.39	885.17		84.88		—	—	2.6900	2.8316	Monthly	57.19	632.56	4022007	10012034
31405UR84	FNMA POOL # 799811	2	1	90,728.6	92,749.2	90,491.52	90,677.67	2,071.53		(10.57	)	—	—	2.2660	2.1955	Monthly	170.88	1,564.62	6302007	11012034
31405UTZ2	FNMA POOL # 799868	2	1	8,325.5	8,826.82	8,390.94	8,332.1	494.72		3.22		—	—	2.3920	2.5366	Monthly	16.73	152.66	4022007	11012034
31406BB90	FNMA POOL # 804764	2	1	97,311.32	102,287.46	98,076.29	97,384.19	4,903.27		141.06		—	—	2.5000	2.6475	Monthly	204.33	2,043.11	4022007	1012035
31406BEZ9	FNMA POOL # 804852	2	1	74,604.41	78,396.95	75,190.92	74,661.47	3,735.48		78.21		—	—	2.5060	2.6519	Monthly	157.02	1,517.7	4022007	12012034
31406BJF8	FNMA POOL # 804962	2	1	88,107.61	94,362.04	88,800.24	88,172.78	6,189.26		111.55		—	—	2.5170	2.6657	Monthly	186.26	1,784.43	4022007	1012035
31406BQQ6	FNMA POOL # 805163	2	1	116,994.9	122,423.13	117,974.13	117,086.83	5,336.3		229.72		—	—	2.5520	2.7135	Monthly	250.89	2,542.35	4022007	1012035
31406DG67	FNMA POOL # 806721	2	1	166,933.64	176,066.09	168,245.98	167,065.32	9,000.77		209.40		—	—	2.6050	2.7466	Monthly	365.23	3,463.7	4022007	11012034
31406GLK3	FNMA POOL # 809530	2	1	28,004.73	30,092.27	28,203.07	28,028.38	2,063.89		7.49		—	—	2.4070	2.5204	Monthly	56.57	514.21	9282006	2012035
31406MYP5	FNMA POOL # 814418	2	1	65,576.73	69,113.79	66,162.25	65,634.64	3,479.15		195.49		—	—	2.4670	2.6353	Monthly	136.02	1,340.65	4022007	3012035
31406PKU2	FNMA POOL # 815807	2	1	140,303.13	147,108.91	141,642.06	140,458.62	6,650.29		222.42		—	—	2.4370	2.6105	Monthly	287.53	2,704.38	9282006	2012035
31406TLC3	FNMA POOL # 819423	2	1	185,657.52	197,074.16	187,315.30	185,789.29	11,284.87		284.39		—	—	3.0380	3.2252	Monthly	474.22	4,416.65	4022007	4012035
31406TTE1	FNMA POOL # 819649	2	1	1,449,750.36	1,442,491.75	1,401,571.35	1,444,251.12	(1,759.37	)	(10,118.99	)	—	—	2.5670	1.8430	Monthly	2,999.36	29,486.14	12042009	3012035
31406VHE9	FNMA POOL # 821129	2	1	79,646.69	84,274.44	80,357.86	79,693.51	4,580.93		60.68		—	—	2.7540	2.9767	Monthly	184.42	1,582.12	4022007	5012035
31407D5R2	FNMA POOL # 828056	2	1	345,471.71	356,050.86	339,683.71	344,784.28	11,266.58		(648.86	)	—	—	2.9990	2.5918	Monthly	848.92	7,197.78	2202009	6012035
31407E6W8	FNMA POOL # 828985	2	1	186,305.23	205,464.2	192,719.17	186,818.46	18,645.74		210.39		—	—	2.6490	3.6191	Monthly	425.43	3,599.48	3162006	8012035
31407GC22	FNMA POOL # 829989	2	1	451,301.44	470,531.6	455,590.38	451,681.39	18,850.21		1,367.56		—	—	2.8340	3.0345	Monthly	1,075.95	10,530.1	1202006	4012035
31408C6D3	FNMA POOL # 847868	2	1	431,769.94	456,377.87	436,406.75	432,283.79	24,094.08		1,493.48		—	—	2.6530	2.8427	Monthly	964.82	8,410.06	5122006	11012035
31409UBQ7	FNMA POOL # 878547	2	1	377,643.08	408,280.78	380,691.58	377,870.74	30,410.04		1,065.29		—	—	2.8620	3.0317	Monthly	907.95	9,060.06	5042006	3012036

31410FU60	FNMA POOL # 888105	2	1	67,882.75	71,027.64	68,438.80	68,038.81	2,988.83		331.24		—	—	5.0000	5.2274	Monthly	285.16	3,604.03	12142007	8012020
31410GAG8	FNMA POOL # 888407	2	1	3,676,509.47	3,699,200.54	3,323,867.85	3,670,948.45	28,252.09		(82,336.78	)	—	—	5.0000	2.1326	Monthly	13,849.45	139,248.43	12212015	9012036
31410GC35	FNMA POOL # 888490	2	1	109,939.86	114,200.82	110,188.92	109,948.12	4,252.7		81.14		—	—	2.4970	2.5221	Monthly	229.28	2,254.29	6182007	5012035
31410GC50	FNMA POOL # 888492	2	1	61,900.41	65,983.45	61,782.83	61,860.77	4,122.68		(19.58	)	—	—	2.8210	2.7677	Monthly	145.29	1,312.13	6182007	5012033
31410GDC4	FNMA POOL # 888499	2	1	426,865.4	450,477.97	429,263.75	427,109.53	23,368.44		317.86		—	—	2.7550	2.8460	Monthly	985.52	8,759.39	2222012	8012033
31410GDF7	FNMA POOL # 888502	2	1	50,640.85	54,422.4	51,299.09	50,733.99	3,688.41		173.88		—	—	2.3800	2.6080	Monthly	101.74	966.26	6182007	6012033
31410GDL4	FNMA POOL # 888507	2	1	215,478.42	228,072.71	219,250.35	215,865.29	12,207.42		756.75		—	—	2.6210	2.9873	Monthly	478.88	4,850.33	6182007	2012035
31410GDM2	FNMA POOL # 888508	2	1	286,021.6	303,077.97	290,020.48	286,422.34	16,655.63		479.07		—	—	2.7500	3.0560	Monthly	664.63	6,225.21	6182007	3012034
31410GDQ3	FNMA POOL # 888511	2	1	35,823.26	37,857.21	36,148.66	35,854	2,003.21		96.74		—	—	2.5340	2.7279	Monthly	76.33	799.6	6182007	12012033
31410GDS9	FNMA POOL # 888513	2	1	61,096.23	65,160.05	61,416.15	61,121.42	4,038.63		85.10		—	—	2.7710	2.8654	Monthly	141.82	1,436.89	6182007	2012034
31410GDX8	FNMA POOL # 888518	2	1	72,783.86	76,421.81	73,017.67	72,795.71	3,626.1		20.12		—	—	2.7250	2.7708	Monthly	165.87	1,515.75	6182007	4012035
31410GDY6	FNMA POOL # 888519	2	1	32,204.26	34,881.99	32,757.26	32,258.32	2,623.67		127.16		—	—	2.5170	2.8941	Monthly	68.68	714.92	6182007	1012035
31410GDZ3	FNMA POOL # 888520	2	1	451,225.21	474,192.33	454,101.17	451,525.86	22,666.47		335.97		—	—	2.8430	2.9507	Monthly	1,075.84	8,930.65	6182007	7012033
31410GD83	FNMA POOL # 888527	2	1	12,245.72	13,374.02	12,476.39	12,271.71	1,102.31		53.01		—	—	2.8530	3.2420	Monthly	29.66	278.09	6182007	4012034
31410GPR8	FNMA POOL # 888832	2	1	1,078,967.66	1,199,912.96	1,037,624.80	1,075,716.72	124,196.24		(9,451.33	)	—	—	6.5000	5.4251	Monthly	5,620.47	56,529.06	1252008	11012037
31410G4F7	FNMA POOL # 889222	2	1	637,077.94	641,281.7	576,215.21	635,787.41	5,494.29		(13,077.06	)	—	—	5.0000	2.1361	Monthly	2,400.9	20,200.11	1042016	12012036
31410LK84	FNMA POOL # 890519	2	1	802,620.48	839,459.78	732,934.44	800,456.75	39,003.03		(17,918.67	)	—	—	6.0000	3.0902	Monthly	3,664.67	37,659.17	10232013	10012040
31411DA33	FNMA POOL # 904626	2	1	373,945.74	386,097.28	372,172.10	373,692.3	12,404.98		(344.28	)	—	—	2.6050	2.4761	Monthly	807.92	8,161.99	12132006	12012036
31411GUY6	FNMA POOL # 907899	2	1	1,077,947.81	1,115,868.75	1,069,094.38	1,076,722.22	39,146.53		(1,011.43	)	—	—	2.6130	2.4243	Monthly	2,327.95	22,527.03	12142006	1012037
31411KCZ4	FNMA POOL # 910088	2	1	1,002,136.36	1,147,394.49	992,828.61	1,001,219.15	146,175.34		(1,435.58	)	—	—	6.0000	5.7146	Monthly	4,964.14	47,678.46	3292007	3012037
31411LEA5	FNMA POOL # 911029	2	1	58,515.26	57,411.69	55,203.07	57,186.3	225.39		(1,333.15	)	—	—	5.5000	3.6929	Monthly	253.01	2,567.59	9292009	7012022
31411WPJ0	FNMA POOL # 916725	2	1	660,317.52	655,004.16	624,044.88	658,252.05	(3,247.89	)	(4,371.57	)	—	—	2.8230	1.2762	Monthly	1,468.07	13,146.84	2142012	10012036
31412LMG2	FNMA POOL # 928359	2	1	57,141.92	56,064.26	53,907.47	55,826.24	238.02		(776.02	)	—	—	5.5000	3.6564	Monthly	247.08	2,555.23	9292009	5012022
31412LQN3	FNMA POOL # 928461	2	1	121,116.19	118,834.25	114,262.71	118,426.96	407.29		(1,630.70	)	—	—	5.5000	3.5991	Monthly	523.7	5,578.69	9292009	6012022
31412LVF4	FNMA POOL # 928614	2	1	712,591.08	697,404.42	670,575.33	696,717.68	686.74		(7,606.90	)	—	—	5.5000	3.5111	Monthly	3,073.47	30,325.5	10212009	8012022
31412SRH0	FNMA POOL # 933488	2	1	207,710.82	205,428.84	197,878.72	204,253.67	1,175.17		(2,431.29	)	—	—	5.0000	3.4376	Monthly	824.49	8,481.89	9292009	3012023
31414ARA2	FNMA POOL # 960481	2	1	429,728.09	424,065.74	409,386.70	422,421.07	1,644.67		(3,731.61	)	—	—	5.0000	3.3964	Monthly	1,705.78	17,183.13	9292009	12012022
31414CRJ9	FNMA POOL # 962289	2	1	560,361.45	554,205.14	533,836.46	551,019.67	3,185.47		(4,014.82	)	—	—	5.0000	3.4410	Monthly	2,224.32	21,604.11	9292009	3012023
31414GD22	FNMA POOL # 965521	2	1	56,568.32	55,501.48	53,366.34	55,419.77	81.71		(1,451.38	)	—	—	5.5000	3.5836	Monthly	244.6	2,741.58	9292009	12012022
31414NB45	FNMA POOL # 970859	2	1	555,444.52	548,525.71	528,365.76	546,889.05	1,636.66		(6,022.47	)	—	—	5.0000	3.4366	Monthly	2,201.52	22,360.45	10212009	12012023
31414RB79	FNMA POOL # 973562	2	1	497,596.52	496,936.84	469,430.69	488,201.92	8,734.92		(6,887.13	)	—	—	5.5000	3.5078	Monthly	2,151.56	21,676.96	9292009	3012023
31415MDG7	FNMA POOL # 984003	2	1	846,907.28	985,995.52	872,397.66	848,327.59	137,667.93		3,523.11		—	—	5.5000	6.2632	Monthly	3,998.49	39,530.54	7252008	6012038
31415MFS9	FNMA POOL # 984077	2	1	363,572.35	359,578.02	346,362.46	357,417.07	2,160.95		(3,540.63	)	—	—	5.0000	3.5507	Monthly	1,443.18	14,478.91	9292009	6012023
31416BLV8	FNMA POOL # 995040	2	1	245,796.97	242,735.24	233,814.00	241,613.27	1,121.97		(2,855.71	)	—	—	5.0000	3.4739	Monthly	974.23	10,013.7	10212009	6012023

31416BSE9	FNMA POOL # 995217	2	1	523,580.47	513,265.36	493,520.08	514,108.24	(842.88	)	(8,108.92	)	—	—	5.5000	3.6451	Monthly	2,261.96	23,632.26		10212009	12012023
31416BSX7	FNMA POOL # 995234	2	1	395,385.9	382,158.02	368,229.00	381,083.97	1,074.05		(15,860.01	)	—	—	5.0000	1.7705	Monthly	1,534.29	20,222.13		11102011	7012019
31416B4M7	FNMA POOL # 995528	2	1	553,695.74	550,625.57	532,960.26	545,176.01	5,449.56		(5,099.51	)	—	—	5.0000	3.6050	Monthly	2,220.67	22,981.47		3202009	12012021
31416B4N5	FNMA POOL # 995529	2	1	1,121,759.07	1,123,625.82	1,080,400.02	1,105,494.95	18,130.87		(11,200.12	)	—	—	5.5000	4.2982	Monthly	4,951.83	52,908.72		2272009	11012022
31416B4P0	FNMA POOL # 995530	2	1	575,186.35	572,087.05	551,572.17	564,683.09	7,403.96		(6,066.96	)	—	—	5.5000	4.1348	Monthly	2,528.04	26,838.23		3202009	12012021
31416B7J1	FNMA POOL # 995597	2	1	63,692.9	62,491.69	60,087.64	62,595.14	(103.45	)	(918.49	)	—	—	5.5000	3.6758	Monthly	275.4	2,860.6		9292009	3012024
31416CME3	FNMA POOL # 995957	2	1	1,187,231.42	1,171,354.75	1,128,303.99	1,169,874.07	1,480.68		(14,220.56	)	—	—	5.0000	3.4294	Monthly	4,701.27	48,536.36		9282009	6012024
31416MZC1	FNMA POOL # AA4338	2	1	1,033,322.88	1,050,995.64	960,393.05	1,029,878.84	21,116.8		(21,268.12	)	—	—	4.5000	2.9351	Monthly	3,601.47	36,821.78		3212013	4012039
31416PM61	FNMA POOL # AA5780	2	1	1,466,229.37	1,477,573.14	1,350,196.83	1,463,859.56	13,713.58		(25,614.96	)	—	—	4.5000	2.0052	Monthly	5,063.24	37,482.39		1222016	4012039
31416RQU0	FNMA POOL # AA7666	2	1	314,225.41	317,418.47	285,700.05	313,861.11	3,557.36		(2,796.35	)	—	—	4.5000	2.5006	Monthly	1,071.38	2,937.05		5262016	6012039
31416TL49	FNMA POOL # AA9346	2	1	4,437,068.67	4,877,198.86	4,389,838.88	4,432,894.43	444,304.43		(7,788.97	)	—	—	4.5000	4.2415	Monthly	16,461.89	163,294.82		2022010	8012039
31417AP60	FNMA POOL # AB4044	2	1	3,836,107.6	3,990,492.52	3,724,376.31	3,831,619.84	158,872.68		(14,237.28	)	—	—	3.5000	3.0045	Monthly	10,862.77	105,819.29		6272014	12012041
31417CS30	FNMA POOL # AB5937	2	1	423,488.43	427,623.7	404,949.34	422,961.48	4,662.22		(2,186.35	)	—	—	3.5000	2.7124	Monthly	1,181.1	11,345.8		2192015	8012042
31417C7C3	FNMA POOL # AB6290	2	1	4,052,000.97	4,085,833.49	3,885,646.72	4,045,961.4	39,872.09		(28,102.59	)	—	—	3.0000	1.7188	Monthly	9,714.12	57,001.26		3072016	9012027
31417EJA0	FNMA POOL # AB7456	2	1	211,929.09	213,575.42	202,439.73	211,878.57	1,696.85		(50.52	)	—	—	3.0000	2.3710	Monthly	506.1	(219.31	)	9082016	1012043
31417EWF4	FNMA POOL # AB7845	2	1	108,445.21	109,274.98	103,759.81	108,403.84	871.14		(174.32	)	—	—	3.0000	2.3538	Monthly	259.4	414.65		6282016	2012043
31417FQC5	FNMA POOL # AB8550	2	1	1,628,600.28	1,635,169.48	1,573,823.83	1,619,427.88	15,741.6		(8,775.19	)	—	—	2.5000	1.7434	Monthly	3,278.8	32,052.68		3132013	3012028
31417FX94	FNMA POOL # AB8803	2	1	13,830.45	13,709.44	13,045.69	13,716.7	(7.26	)	(124.04	)	—	—	3.0000	1.5533	Monthly	32.61	312.31		4292013	3012028
31417F2Y3	FNMA POOL # AB8890	2	1	17,244.38	17,093.48	16,265.89	17,101.76	(8.28	)	(182.06	)	—	—	3.0000	1.5785	Monthly	40.66	405.39		4292013	4012028
31417G5T9	FNMA POOL # AB9857	2	1	9,234,429.34	9,670,840.34	9,218,584.91	9,233,868.1	436,972.24		(1,878.37	)	—	—	3.0000	2.9649	Monthly	23,046.46	218,478.54		12152015	7012043
31417G5V4	FNMA POOL # AB9859	2	1	71,901.57	72,451.72	68,795.04	71,874.74	576.98		(60.72	)	—	—	3.0000	2.3700	Monthly	171.99	270.9		6282016	7012043
31417WKV2	FNMA POOL # AC9307	2	1	884,702.73	898,253.1	817,277.34	883,558.1	14,695		(15,462.59	)	—	—	4.5000	2.5829	Monthly	3,064.79	25,024.7		1042016	9012041
31419ALC9	FNMA POOL # AE0322	2	1	472,901.78	448,214.22	436,105.40	460,507.77	(12,293.55	)	(16,219.32	)	—	—	5.0000	1.7134	Monthly	1,817.11	20,835.69		2262013	5012021
31419BBT1	FNMA POOL # AE0949	2	1	2,192,331.99	2,229,693.37	2,067,932.90	2,186,841.17	42,852.2		(20,063.57	)	—	—	4.0000	2.4640	Monthly	6,893.11	68,296.15		5022012	2012041
3138A7Q76	FNMA POOL # AH5877	2	1	447,349.56	438,868.89	417,352.36	443,085.09	(4,216.2	)	(6,230.86	)	—	—	4.0000	1.8371	Monthly	1,391.17	13,969.34		12172013	2012026
3138A9YZ1	FNMA POOL # AH7927	2	1	1,101,747.86	1,123,895.32	1,064,329.97	1,094,582.81	29,312.51		(7,476.41	)	—	—	3.5000	2.4315	Monthly	3,104.3	31,269.91		8032011	8012026
3138AP6W3	FNMA POOL # AI9884	2	1	2,715,743.97	2,758,917.19	2,503,350.35	2,710,880.2	48,036.99		(34,689.91	)	—	—	4.5000	2.1972	Monthly	9,387.56	93,129.28		8152014	9012041
3138ECD91	FNMA POOL # AK7327	2	1	2,696,199.94	2,720,916.71	2,524,236.32	2,691,937.68	28,979.03		(51,716.97	)	—	—	4.0000	2.5630	Monthly	8,414.12	91,759.18		12012015	3012037
3138EGHT4	FNMA POOL # AL0241	2	1	2,986,090.89	3,009,002.3	2,798,298.81	2,976,421.91	32,580.39		(22,779.12	)	—	—	4.0000	2.6719	Monthly	9,327.67	89,818.3		2272013	4012041
3138EJPG7	FNMA POOL # AL2222	2	1	563,286.87	558,945.11	531,559.41	557,406.17	1,538.94		(5,007.28	)	—	—	3.0000	1.6386	Monthly	1,328.9	13,047.28		8072012	8012027
3138EJRA8	FNMA POOL # AL2280	2	1	2,104,512.47	2,143,707.92	1,950,456.85	2,101,095.73	42,612.19		(36,023.87	)	—	—	4.5000	2.3090	Monthly	7,314.21	74,006.12		9152014	9012042
3138EJ3G1	FNMA POOL # AL2598	2	1	987,831.64	990,857.04	917,712.66	986,904.24	3,952.8		(4,865.65	)	—	—	4.0000	1.9158	Monthly	3,059.04	4,959.39		6132016	10012042
3138EKVP7	FNMA POOL # AL3321	2	1	3,881,141.63	3,986,328.32	3,772,677.15	3,877,684.54	108,643.78		(14,258.93	)	—	—	3.5000	2.9279	Monthly	11,003.64	106,248.25		6272014	2012043
3138ELZ63	FNMA POOL # AL4364	2	1	1,111,540.24	1,108,165.94	1,050,946.60	1,110,461.9	(2,295.96	)	(10,461.42	)	—	—	3.5880	1.1306	Monthly	3,142.33	31,443.33		2102014	9012042

3138EMCW9	FNMA POOL # AL4584	2	1	223,086.67	215,141.77	207,764.08	221,185.03	(6,043.26	)	(4,724.32	)	—	—	4.5000	2.3525	Monthly	779.12	8,113.55		12122013	1012027
3138EMFX4	FNMA POOL # AL4681	2	1	868,308	871,555.72	812,927.32	868,165.29	3,390.43		(142.71	)	—	—	3.5000	2.9447	Monthly	2,371.04	(1,027.45	)	9082016	12012043
3138ENXH7	FNMA POOL # AL6079	2	1	4,482,166.72	4,568,184.37	4,232,826.75	4,475,337.5	92,846.87		(15,329.42	)	—	—	3.5000	2.5914	Monthly	12,345.75	114,333.63		1122015	11012044
3138ENZV4	FNMA POOL # AL6155	2	1	2,670,022.56	2,704,172.41	2,487,719.37	2,666,814.43	37,357.98		(24,149.15	)	—	—	4.0000	2.2907	Monthly	8,292.4	80,804.62		3162015	11012044
3138EN7C7	FNMA POOL # AL6290	2	1	8,750,456.46	8,876,474.79	8,286,907.56	8,727,489.87	148,984.92		(105,360.68	)	—	—	3.5000	1.9903	Monthly	24,170.14	240,717.68		12022015	12012027
3138EP4F8	FNMA POOL # AL7121	2	1	4,775,659.58	4,850,902.39	4,656,340.86	4,774,067.07	76,835.32		(8,521.93	)	—	—	3.0000	2.5332	Monthly	11,640.85	55,503.07		3302016	1012044
3138EQD41	FNMA POOL # AL7322	2	1	1,753,627.67	1,783,078.04	1,697,658.02	1,751,780.7	31,297.34		(6,839.31	)	—	—	3.0000	2.1451	Monthly	4,244.15	32,956.87		1042016	6012030
3138EQJ78	FNMA POOL # AL7485	2	1	8,468,273.36	8,359,122.47	7,960,774.01	8,448,903.16	(89,780.69	)	(124,435.42	)	—	—	4.0000	2.0597	Monthly	26,535.91	267,874.7		12022015	4012029
3138ETCE4	FNMA POOL # AL8168	2	1	1,554,659.35	1,565,921.35	1,452,316.41	1,554,187.78	11,733.57		(10,891.98	)	—	—	4.0000	2.1746	Monthly	4,841.06	25,496.77		3242016	11012042
3138LURE7	FNMA POOL # AO4084	2	1	918,447.5	912,671.41	864,675.50	909,151.5	3,519.91		(11,025.08	)	—	—	3.5000	2.0500	Monthly	2,521.97	25,030.42		1242013	5012027
3138LYPM3	FNMA POOL # AO7627	2	1	961,344.01	974,041.1	926,317.63	957,526.72	16,514.38		(3,809.92	)	—	—	3.0000	1.9854	Monthly	2,315.79	21,776.61		8152014	6012027
3138M0AK6	FNMA POOL # AO8109	2	1	8,369,115.33	8,531,680.46	8,060,547.50	8,363,257.71	168,422.75		(41,691.97	)	—	—	3.5000	2.6352	Monthly	23,509.93	230,508.07		11052015	8012042
3138M8DS9	FNMA POOL # AP4612	2	1	2,085,218.02	2,101,689.6	1,952,222.86	2,082,695.99	18,993.61		(15,916.87	)	—	—	4.0000	2.7738	Monthly	6,507.41	64,050.83		12012015	7012042
3138M8YB3	FNMA POOL # AP5205	2	1	3,902,369.86	3,908,718.56	3,762,453.59	3,879,106.31	29,612.25		(20,499.42	)	—	—	2.5000	1.5556	Monthly	7,838.44	77,063.64		9062012	9012027
3138MFFQ5	FNMA POOL # AQ0174	2	1	63,069.99	63,664.47	60,345.04	63,045.47	619		(98.89	)	—	—	3.0000	2.3309	Monthly	150.86	240.95		6282016	11012042
3138MLTD6	FNMA POOL # AQ5047	2	1	66,356.93	66,982.38	63,489.96	66,331.3	651.08		(62.98	)	—	—	3.0000	2.3368	Monthly	158.72	250.19		6282016	12012042
3138MRLL3	FNMA POOL # AQ9330	2	1	1,931,322.97	1,937,206.92	1,830,231.27	1,927,915.26	9,291.66		(15,031.70	)	—	—	3.5000	2.3380	Monthly	5,338.17	52,681.41		2252013	1012043
3138NXER4	FNMA POOL # AR1043	2	1	147,686.06	147,246.84	141,305.25	147,628.74	(381.9	)	(281.26	)	—	—	3.0000	2.3195	Monthly	353.26	569.98		6282016	2012043
3138NXH75	FNMA POOL # AR1153	2	1	104,462.95	105,447.57	99,949.60	104,422.82	1,024.75		(121.98	)	—	—	3.0000	2.3455	Monthly	249.87	396.15		6282016	1012043
3138W4AB7	FNMA POOL # AR6301	2	1	15,936.77	15,797.27	15,032.44	15,805.74	(8.47	)	(162.23	)	—	—	3.0000	1.5530	Monthly	37.58	376.7		4292013	3012028
3138W5LP1	FNMA POOL # AR7533	2	1	220,499.04	222,186.19	210,972.32	220,414.36	1,771.83		(324.49	)	—	—	3.0000	2.3344	Monthly	527.43	839.06		6282016	3012043
3138W9AS9	FNMA POOL # AS0016	2	1	4,318,783.91	4,497,132.84	4,316,760.42	4,318,615.94	178,516.9		(285.28	)	—	—	3.0000	2.9720	Monthly	10,791.9	102,985.57		11122015	7012043
3138W9A26	FNMA POOL # AS0024	2	1	3,113,315.44	3,185,973.49	3,017,143.98	3,112,444.52	73,528.97		(13,877.02	)	—	—	3.5000	2.7955	Monthly	8,800	85,257		12222015	7012043
3138W9GM6	FNMA POOL # AS0203	2	1	1,745,901.73	1,794,816.43	1,710,882.10	1,744,824.8	49,991.63		(3,968.87	)	—	—	3.0000	2.7111	Monthly	4,277.2	40,867.82		3162015	8012043
3138W9KP4	FNMA POOL # AS0301	2	1	3,239,354.11	3,367,341.91	3,232,283.50	3,239,220.1	128,121.81		(730.06	)	—	—	3.0000	2.9420	Monthly	8,080.71	76,558.93		12222015	8012043
3138W9LM0	FNMA POOL # AS0331	2	1	1,908,750.22	2,014,952.08	1,934,135.75	1,909,395.86	105,556.22		2,115.30		—	—	3.0000	3.2137	Monthly	4,835.34	45,610.33		9092014	8012043
3138W9VQ0	FNMA POOL # AS0622	2	1	1,448,349.66	1,471,843.39	1,390,972.04	1,441,115.74	30,727.65		(9,022.04	)	—	—	3.0000	2.0343	Monthly	3,477.43	33,859.42		10232013	10012028
3138WAJB4	FNMA POOL # AS1157	2	1	3,676,084.25	3,734,172.92	3,553,381.56	3,663,797.09	70,375.83		(25,597.40	)	—	—	3.0000	1.8624	Monthly	8,883.45	90,159.9		11262013	11012028
3138WAWT0	FNMA POOL # AS1557	2	1	3,759,509.58	3,849,480.38	3,541,486.80	3,753,807.19	95,673.19		(35,314.05	)	—	—	4.0000	2.5849	Monthly	11,804.96	116,535.9		6272014	1012044
3138WCAD5	FNMA POOL # AS2703	2	1	3,785,790.58	3,876,023.27	3,566,768.70	3,780,292.88	95,730.39		(40,370.78	)	—	—	4.0000	2.5286	Monthly	11,889.23	119,999.53		6272014	6012044
3138WCAV5	FNMA POOL # AS2719	2	1	5,427,248.2	5,544,691.97	5,100,872.11	5,420,173.05	124,518.92		(60,848.54	)	—	—	4.0000	2.5321	Monthly	17,002.91	168,992.14		8152014	6012044
3138WCFK4	FNMA POOL # AS2869	2	1	745,680.76	763,961.54	721,881.25	743,469.91	20,491.63		(3,706.32	)	—	—	3.0000	2.2326	Monthly	1,804.7	17,475.27		9122014	7012029
3138WCPT4	FNMA POOL # AS3133	2	1	3,374,246.61	3,510,242.55	3,278,952.09	3,371,604.5	138,638.05		(9,743.79	)	—	—	3.5000	2.9586	Monthly	9,563.61	91,624.38		8132014	8012044
3138WCZ63	FNMA POOL # AS3464	2	1	1,990,218.2	2,020,129.9	1,904,230.30	1,983,267.5	36,862.4		(14,301.92	)	—	—	3.0000	2.0013	Monthly	4,760.58	46,223.77		11242014	10012029

3138WDKR1	FNMA POOL # AS3903	2	1	2,654,795.95	2,661,041.98	2,480,393.30	2,651,351.36	9,690.62		(44,172.43	)	—	—	4.0000	1.5033	Monthly	8,267.98	86,045.95		4132015	11012044
3138WDUJ8	FNMA POOL # AS4184	2	1	5,064,711.83	5,129,041.32	4,780,848.93	5,061,308.76	67,732.56		(136,048.07	)	—	—	4.0000	1.7013	Monthly	15,936.16	282,788.17		12172015	1012045
3138WD2K6	FNMA POOL # AS4377	2	1	4,120,961.11	4,064,175.15	3,785,927.99	4,120,961.11	(56,785.96	)	—		—	—	4.0000	3.3017	Monthly	5,047.9	(5,047.9	)	9222016	2012045
3138WD3H2	FNMA POOL # AS4399	2	1	400,917.03	408,348.64	392,875.25	400,758.14	7,590.5		(1,481.36	)	—	—	3.0000	2.4213	Monthly	982.19	9,956.26		2112015	2012045
3138WD4J7	FNMA POOL # AS4424	2	1	1,540,292.18	1,572,017.83	1,451,394.28	1,538,352.63	33,665.2		(13,729.39	)	—	—	4.0000	1.8104	Monthly	4,837.98	48,024.62		12092015	2012045
3138WEF79	FNMA POOL # AS4689	2	1	2,726,657.5	2,796,767.27	2,691,333.74	2,724,927.47	71,839.8		(4,865.54	)	—	—	2.5000	2.1933	Monthly	5,606.95	53,409.68		11062015	3012030
3138WEKK4	FNMA POOL # AS4797	2	1	4,144,770.63	4,151,396.17	3,935,395.31	4,140,409.63	10,986.54		(26,317.57	)	—	—	3.5000	2.4422	Monthly	11,478.24	111,172.44		4102015	4012045
3138WEW88	FNMA POOL # AS5170	2	1	2,321,655.8	2,407,083.86	2,294,055.05	2,321,091.3	85,992.56		(1,327.94	)	—	—	3.0000	2.8204	Monthly	5,735.14	52,706.28		11032015	6012045
3138WE3P2	FNMA POOL # AS5305	2	1	3,591,902.97	3,649,263.65	3,470,437.65	3,586,909.03	62,354.62		(15,575.88	)	—	—	3.0000	2.1460	Monthly	8,676.1	82,115.81		11122015	7012030
3138WFHS8	FNMA POOL # AS5640	2	1	1,985,998.49	2,014,507.36	1,888,336.10	1,984,763.21	29,744.15		(6,665.07	)	—	—	3.5000	2.5468	Monthly	5,507.65	31,703.84		2182016	8012045
3138WFPA8	FNMA POOL # AS5816	2	1	2,087,124.99	2,107,926.29	1,995,757.37	2,085,575.82	22,350.47		(8,243.41	)	—	—	3.5000	2.4434	Monthly	5,820.96	55,459.91		10212015	9012045
3138WFU79	FNMA POOL # AS6005	2	1	2,770,225.03	2,824,909.51	2,637,720.55	2,769,571.07	55,338.44		(3,483.36	)	—	—	3.5000	2.4842	Monthly	7,693.35	39,268.67		3292016	10012045
3138WFX68	FNMA POOL # AS6100	2	1	3,248,362.41	3,359,140.19	3,136,620.30	3,247,684.19	111,456		(6,247.43	)	—	—	3.5000	2.8827	Monthly	9,148.47	84,877.74		12282015	11012045
3138WFYQ3	FNMA POOL # AS6118	2	1	2,284,478.27	2,313,915.2	2,203,566.10	2,281,487.11	32,428.09		(12,645.25	)	—	—	3.0000	2.0974	Monthly	5,508.91	53,652.9		12112015	11012030
3138WFZU3	FNMA POOL # AS6154	2	1	9,333,287.84	9,447,160.5	8,994,585.48	9,320,406.97	126,753.53		(45,726.08	)	—	—	3.0000	2.1147	Monthly	22,486.47	215,784.38		12022015	11012030
3138WF6E1	FNMA POOL # AS6268	2	1	2,309,708.03	2,380,285.56	2,289,673.40	2,308,960.49	71,325.07		(2,464.68	)	—	—	2.5000	2.2923	Monthly	4,770.15	45,162.91		12232015	12012030
3138WGDX9	FNMA POOL # AS6417	2	1	5,855,705.32	5,898,725.73	5,616,141.78	5,848,220.71	50,505.02		(21,440.22	)	—	—	3.0000	2.0129	Monthly	14,040.36	94,028.04		1282016	12012030
3138WGUC6	FNMA POOL # AS6878	2	1	1,591,007.9	1,608,872.43	1,520,903.74	1,589,580.38	19,292.05		(5,073.36	)	—	—	3.0000	1.9531	Monthly	3,802.26	19,689.03		3242016	3012031
3138WGZP2	FNMA POOL # AS7049	2	1	492,779.21	495,688.06	478,390.13	492,415.97	3,272.09		(1,013.22	)	—	—	2.5000	1.8684	Monthly	996.65	4,548.04		4122016	4012031
3138WHBR2	FNMA POOL # AS7247	2	1	2,255,524.9	2,258,769.41	2,104,126.43	2,252,484.51	6,284.9		(8,811.29	)	—	—	4.0000	1.8289	Monthly	7,013.75	20,235.74		6022016	5012046
3138WHGL0	FNMA POOL # AS7402	2	1	4,526,766.89	4,527,525.94	4,213,702.01	4,525,677.55	1,848.39		(7,523.94	)	—	—	4.0000	1.8657	Monthly	14,045.67	29,891.3		6232016	6012046
3138WMPS4	FNMA POOL # AT0432	2	1	3,897,466.66	4,060,636.48	3,897,771.19	3,897,336.11	163,300.37		(39.32	)	—	—	3.0000	2.9876	Monthly	9,744.43	93,435.41		11122015	3012043
3138WNBH1	FNMA POOL # AT0939	2	1	99,979	100,743.99	95,659.38	99,940.38	803.61		(130.03	)	—	—	3.0000	2.3198	Monthly	239.15	379.75		6282016	4012043
3138WNBL2	FNMA POOL # AT0942	2	1	4,207,750.25	4,407,292.29	4,201,185.91	4,207,364.43	199,927.86		(935.89	)	—	—	3.0000	2.9650	Monthly	10,502.96	101,114.5		6082015	4012043
3138WPG24	FNMA POOL # AT2016	2	1	1,699,302.37	1,725,024.48	1,655,836.65	1,698,675.22	26,349.26		(4,025.79	)	—	—	3.0000	2.4559	Monthly	4,139.59	24,076.07		2232016	4012043
3138WPLC6	FNMA POOL # AT2122	2	1	11,107.57	11,010.37	10,477.30	11,011.82	(1.45	)	(203.99	)	—	—	3.0000	1.6242	Monthly	26.19	263.81		4292013	3012028
3138WQAV4	FNMA POOL # AT2719	2	1	8,980,361.41	9,434,111.76	8,957,966.50	8,979,705.02	454,406.74		(2,881.92	)	—	—	3.0000	2.9525	Monthly	22,394.91	214,370.72		12152015	5012043
3138WQAW2	FNMA POOL # AT2720	2	1	240,535.46	247,862.74	236,271.48	240,404.5	7,458.24		(1,467.61	)	—	—	3.0000	2.7258	Monthly	590.68	23,018.75		3112015	5012043
3138WZTZ5	FNMA POOL # AU0567	2	1	1,855,753.33	1,918,514.15	1,790,025.81	1,854,789.55	63,724.6		(30,482.83	)	—	—	3.5000	2.9181	Monthly	5,220.91	194,161.08		12172015	8012043
3138X1ZV1	FNMA POOL # AU2555	2	1	193,721.74	196,684.02	188,795.36	193,651.37	3,032.65		(598.96	)	—	—	3.0000	2.5626	Monthly	471.99	2,802.07		2232016	7012043
3138X3EG3	FNMA POOL # AU3734	2	1	123,383.69	124,327.77	118,052.87	123,337.72	990.05		(136.19	)	—	—	3.0000	2.3679	Monthly	295.13	467.73		6282016	8012043
3138X3EP3	FNMA POOL # AU3741	2	1	3,994,674.64	4,159,866.91	3,881,268.83	3,990,446.5	169,420.41		(15,926.85	)	—	—	3.5000	3.0406	Monthly	11,320.37	133,919.93		6272014	8012043
3138X3XM9	FNMA POOL # AU4283	2	1	1,928,600.38	1,959,856.02	1,828,598.90	1,926,979.62	32,876.4		(8,439.49	)	—	—	3.5000	2.6370	Monthly	5,333.41	27,257.75		3302016	9012043
3138X4HN3	FNMA POOL # AU4736	2	1	1,840,215.25	1,917,060.85	1,820,305.64	1,839,509.57	77,551.28		(2,140.12	)	—	—	3.0000	2.8423	Monthly	4,550.77	43,454.47		3062015	9012043

3138X9U23	FNMA POOL # AU9600	2	1	1,380,536.3	1,405,495.85	1,325,049.84	1,373,404.15	32,091.7		(6,224.85	)	—	—	3.0000	2.0407	Monthly	3,312.63	31,505.26	10232013	10012028
3138XSFZ5	FNMA POOL # AW2883	2	1	3,989,593.65	4,132,362.77	3,774,896.40	3,983,557.12	148,805.65		(27,182.52	)	—	—	4.0000	2.7710	Monthly	12,582.99	122,214.35	6052014	4012044
3138XYQJ6	FNMA POOL # AW8556	2	1	4,267,639.17	4,465,509.99	4,137,689.85	4,263,542.34	201,967.65		(13,315.08	)	—	—	3.5000	2.9987	Monthly	12,068.26	114,869.68	8132014	8012044
3138Y17A7	FNMA POOL # AX0888	2	1	966,395.84	972,930.52	906,881.73	965,291.84	7,638.68		(7,679.53	)	—	—	4.0000	2.3250	Monthly	3,022.94	29,373.71	8042015	10012044
3138Y6YG3	FNMA POOL # AX5210	2	1	2,627,553.42	2,704,964.85	2,442,106.00	2,623,447.49	81,517.36		(17,099.87	)	—	—	4.0000	2.6618	Monthly	8,140.36	76,794.39	3172015	10012044
3138Y7HK1	FNMA POOL # AX5633	2	1	227,159.39	228,057.98	220,760.77	227,096.4	961.58		(865.49	)	—	—	2.9390	1.5203	Monthly	540.68	4,253.4	1202016	10012045
3138Y7HZ8	FNMA POOL # AX5647	2	1	445,336.72	448,071.83	433,747.54	445,235.21	2,836.62		(1,822.28	)	—	—	2.8910	1.8583	Monthly	1,044.97	8,177.58	1202016	11012045
3138Y8CM0	FNMA POOL # AX6375	2	1	1,840,002.09	1,856,577.45	1,759,978.06	1,837,981.38	18,596.07		(5,238.14	)	—	—	3.5000	2.7656	Monthly	5,133.27	47,882.64	3062015	2012045
3138YGAP7	FNMA POOL # AY2713	2	1	596,402.71	598,788.03	557,792.98	596,151.47	2,636.56		(12,413.85	)	—	—	4.0000	1.9052	Monthly	1,859.31	19,473.78	3272015	2012045
3138YKH55	FNMA POOL # AY5651	2	1	2,373,968.47	2,414,748.85	2,299,591.06	2,371,655.92	43,092.93		(8,876.91	)	—	—	3.0000	2.1959	Monthly	5,748.98	54,540.05	12232015	6012030
3138YMJM2	FNMA POOL # AY7467	2	1	737,804.96	741,763.01	703,168.42	737,495.27	4,267.74		(6,047.67	)	—	—	3.5000	2.3102	Monthly	2,050.91	20,621.94	3272015	4012045
3138YR5T1	FNMA POOL # AZ0857	2	1	7,691,720.39	8,066,363.13	7,709,790.23	7,691,755.22	374,607.91		903.83		—	—	3.0000	3.0239	Monthly	19,274.48	178,429.96	7172015	7012045
3138YTLY8	FNMA POOL # AZ2142	2	1	1,927,895.22	1,941,635.16	1,840,610.14	1,926,398.77	15,236.39		(9,714.17	)	—	—	3.5000	2.3819	Monthly	5,368.45	51,452.02	10222015	7012045
3138YVEY1	FNMA POOL # AZ3750	2	1	5,055,506.95	5,146,192.46	4,918,705.45	5,053,727.96	92,464.5		(3,527.09	)	—	—	3.0000	2.5996	Monthly	12,296.76	68,983.1	2232016	1012046
3140EUEE5	FNMA POOL # BC0132	2	1	2,278,875.94	2,332,643.46	2,252,131.88	2,277,841.93	54,801.53		(3,731.03	)	—	—	2.5000	2.1782	Monthly	4,691.94	45,248.65	12102015	12012030
3140EUEF2	FNMA POOL # BC0133	2	1	4,768,869.29	4,840,532.74	4,609,690.90	4,763,867.89	76,664.85		(16,927.63	)	—	—	3.0000	1.8527	Monthly	11,524.23	109,269.74	12102015	12012030
3140EUFH7	FNMA POOL # BC0167	2	1	7,495,319.96	7,644,367.69	7,165,590.84	7,492,853.84	151,513.85		(20,154.97	)	—	—	3.5000	2.6537	Monthly	20,899.62	152,183.68	1262016	1012046
3140EUKN8	FNMA POOL # BC0300	2	1	999,846.47	998,999.32	947,020.49	999,799.35	(800.03	)	(1,260.31	)	—	—	3.5000	3.0745	Monthly	2,762.14	—	8262016	3012046
3140EULG2	FNMA POOL # BC0326	2	1	5,512,030.66	5,643,499.26	5,349,862.94	5,510,132.37	133,366.89		(14,602.39	)	—	—	3.5000	2.5576	Monthly	15,603.77	148,511.9	12162015	12012045
3140EU6X2	FNMA POOL # BC0885	2	1	1,000,412.85	1,000,100.3	962,203.91	1,000,258.68	(158.38	)	(380.11	)	—	—	3.0000	2.7059	Monthly	2,405.51	1,152.25	8262016	5012046
3140F9EZ4	FNMA POOL # BD1951	2	1	5,136,187.46	5,158,525.65	4,930,493.45	5,134,546.26	23,979.39		(1,984.28	)	—	—	3.0000	2.3972	Monthly	12,326.23	8,231.2	7152016	7012046
31417Y5D5	FNMA POOL # MA0843	2	1	1,044,811.79	1,047,210.38	952,806.42	1,043,686.88	3,523.5		(4,241.15	)	—	—	4.5000	2.1184	Monthly	3,573.02	5,715.21	6132016	9012041
31418AMK1	FNMA POOL # MA1261	2	1	420,151.84	421,185.03	399,401.66	414,495.55	6,689.48		(5,666.76	)	—	—	3.0000	1.2488	Monthly	998.5	10,319.16	2132013	11012022
31418AX52	FNMA POOL # MA1599	2	1	2,209,946.15	2,212,075.78	2,123,353.15	2,209,517.42	2,558.36		(1,480.50	)	—	—	3.0000	2.6684	Monthly	5,308.38	2,328.24	8152016	9012043
31418BDN3	FNMA POOL # MA1908	2	1	5,761,307.06	5,820,220.59	5,319,919.94	5,756,493.83	63,726.76		(81,466.45	)	—	—	4.5000	2.0687	Monthly	19,949.7	197,694.67	12172015	5012044
31418B3S3	FNMA POOL # MA2608	2	1	1,735,289.4	1,763,069.39	1,696,262.12	1,734,533.67	28,535.72		(1,913.74	)	—	—	3.0000	2.4738	Monthly	4,240.66	17,192.86	4272016	5012046
3138ATD31	FNMA POOL# AJ1921	2	1	316,969	326,465.38	297,035.17	316,074.35	10,391.03		(3,660.69	)	—	—	4.5000	2.9537	Monthly	1,113.88	11,218.95	9202011	9012041
3138EBG33	FNMA POOL#AK6517	2	1	872,897.04	883,071.04	835,058.46	865,234.86	17,836.18		(6,164.61	)	—	—	3.0000	1.9495	Monthly	2,087.65	20,544.78	4242012	3012027
3135G0E33	FNMA SENIOR AGENCY BND		1	4,990,850	5,028,699.5	5,000,000.00	4,994,662.05	34,037.45		2,189.90		—	—	1.1250	1.1851	Jan-Jul	11,093.75	56,250	6042015	7202018
3135G0H63	FNMA SENIOR AGENCY BND		1	1,748,915	1,770,142.52	1,750,000.00	1,749,167.8	20,974.72		118.18		—	—	1.3750	1.3959	Jan-Jul	4,210.94	14,296.17	1062016	1282019
3135G0N33	FNMA SENIOR AGENCY BND		1FE	1,497,480	1,495,965.05	1,500,000.00	1,497,615.37	(1,650.32	)	135.37		—	—	0.8750	0.9319	Feb-Aug	2,151.04	—	7292016	8022019
3135G0N82	FNMA SENIOR AGENCY BND		1	1,722,993.5	1,725,778.74	1,730,000.00	1,723,152.43	2,626.31		175.38		—	—	1.2500	1.3341	Feb-Aug	2,522.92	256.94	8172016	8172021
3136ALY88	FNMA SENIOR AGENCY CMO _14-83-P	2	1	5,145,142.49	5,208,579.06	4,979,421.12	5,137,885.47	70,693.59		(22,246.58	)	—	—	3.0000	2.3432	Monthly	12,448.55	98,440.86	1122016	6252043
3136ATLK8	FNMA SENIOR AGENCY CMO 2016-48 UP	2	1FE	2,073,301.16	2,027,563.56	1,956,809.82	2,071,740.08	(44,176.52	)	(4,132.24	)	—	—	3.0000	2.1610	Monthly	4,892.02	5,279.18	7062016	4252046

3136ASUM6	FNMA SENIOR AGENCY CMO_16-32F EA		2	1	1,922,808	1,912,290.27	1,824,728.83	1,917,447.25	(5,156.98	)	(14,790.99	)	—	—	3.5000	1.9167	Monthly	5,322.13	16,812.89	5112016	8252042
3136ARSK5	FNMA SENIOR AGENCY CMO_16-8 CP		2	1	501,332.37	502,181.22	469,082.92	499,082.97	3,098.25		(3,481.80	)	—	—	3.5000	1.7967	Monthly	1,368.16	5,460.97	4292016	10252044
3136AMM71	FNMA SUB CMBS_15-M4 X2		2,4	1	901,505.84	690,366.53	26,737,665.52	738,425.96	(48,059.43	)	(119,717.48	)	—	—	0.5680	3.1062	Monthly	14,755.62	127,935.11	3132015	7252022
31398SKX0	FNMA_10-142 AGENCY CMO 10-142 FM		2	1	351,565.78	350,481.65	350,689.05	351,548.34	(1,066.69	)	(186.54	)	—	—	0.9953	0.9323	Monthly	58.17	2,692.12	8152013	12252040
3136AFA95	FNMA_13-81 AGENCY CMO 13-81 UF		2	1	1,155,330.08	1,148,698.46	1,156,233.40	1,155,518.36	(6,819.9	)	136.64		—	—	0.7753	0.7894	Monthly	149.4	6,541.99	8132013	2252043
3136A9LX4	FNR AGENCY CMO_12-114-DB		2	1	2,063,218.48	2,146,033.24	2,150,373.12	2,079,890.9	66,142.34		28,415.37		—	—	1.7500	3.5748	Monthly	3,135.96	32,053.12	1112013	8252039
BRSY82PM8	FOCUSVISION WORLDWIDE INC SECURED TERM L				3,344,322.48	3,327,600.87	3,344,322.48	3,344,322.48	(16,721.61	)	—		—	—	—	—	M-J-S-D	—	139,587.44	12282015	12122022
BRSY82QB1	FOCUSVISION WORLDWIDE INC SECURED TERM L				280,799.54	279,395.54	280,799.54	280,799.54	(1,404	)	—		—	—	—	—	M-J-S-D	—	7,614.2	7062016	12112020
34528QDL5	FORD CREDIT FLOORPLAN MASTER O ABS _14-4		2	1FE	1,024,706.65	1,027,746.98	1,025,000.00	1,024,912.21	2,834.77		74.26		—	—	1.4000	1.4140	Monthly	637.78	10,762.47	8192014	8152019
34528QDF8	FORD CREDIT FLOORPLAN MASTER O ABS 14-1		2	1FE	500,761.72	500,385.02	500,000.00	500,152.85	232.17		(303.98	)	—	—	0.9243	0.8453	Monthly	205.4	3,191.76	3302015	2152019
345397VP5	FORD MOTOR CREDIT COMPANY LLC CORP BND			2FE	1,583,764	1,460,508	1,400,000.00	1,456,803.11	3,704.89		(48,118.65	)	—	—	6.6250	1.9101	Feb-Aug	11,851.39	92,750	9212012	8152017
345397XN8	FORD MOTOR CREDIT COMPANY LLC CORP BND			2FE	1,500,000	1,520,382.15	1,500,000.00	1,500,000	20,382.15		—		—	—	2.5510	2.5510	Apr-Oct	18,707.33	18,813.63	10052015	10052018
345397WN9	FORD MOTOR CREDIT COMPANY LLC SENIOR COR			2FE	299,718	300,251.97	300,000.00	299,973.84	278.13		300.99		—	—	1.5000	1.5299	Jan-Jul	925	31,520.84	11062013	1172017
345397WR0	FORD MOTOR CREDIT COMPANY LLC SENIOR COR			2FE	1,750,000	1,749,263.43	1,750,000.00	1,750,000	(736.57	)	—		—	—	1.7240	1.7240	Jun-Dec	9,637.64	35,617.36	6032014	12062017
345397WT6	FORD MOTOR CREDIT COMPANY LLC SENIOR COR			2FE	1,750,000	1,751,201.03	1,750,000.00	1,750,000	1,201.03		—		—	—	1.6840	1.6840	Mar-Sep	1,882.8	48,941.25	9032014	9082017
345397XF5	FORD MOTOR CREDIT COMPANY LLC SENIOR COR			2FE	3,646,180.5	3,676,259.45	3,650,000.00	3,647,487.62	28,771.83		756.52		—	—	2.4590	2.4590	Mar-Sep	997.27	83,394.25	6202016	3272020
345397XH1	FORD MOTOR CREDIT COMPANY LLC SENIOR COR			2FE	2,000,000	2,015,046.54	2,000,000.00	2,000,000	15,046.54		—		—	—	2.2400	2.2400	Jun-Dec	13,191.11	22,400	6112015	6152018
345397XK4	FORD MOTOR CREDIT COMPANY LLC SENIOR COR			2FE	6,500,000	6,693,072.88	6,500,000.00	6,500,000	193,072.88		—		—	—	3.1570	3.1570	Feb-Aug	32,490.79	205,205	7302015	8042020
345397XT5	FORD MOTOR CREDIT COMPANY LLC SENIOR COR			2FE	220,000	225,087.47	220,000.00	220,000	5,087.47		—		—	—	2.9430	2.9430	Jan-Jul	1,492.76	3,237.3	1052016	1082019
345397XW8	FORD MOTOR CREDIT COMPANY LLC SENIOR COR			2FE	665,000	684,267.97	665,000.00	665,000	19,267.97		—		—	—	3.3360	3.3360	Mar-Sep	801.1	11,092.2	3152016	3182021
345397XY4	FORD MOTOR CREDIT COMPANY LLC SENIOR COR			2FE	1,965,000	1,968,177.8	1,965,000.00	1,965,000	3,177.8		—		—	—	2.0210	2.0210	May-Nov	15,766.89	33,458.78	4292016	5032019
345397XZ1	FORD MOTOR CREDIT COMPANY LLC SENIOR COR			2FE	1,400,000	1,410,270.89	1,400,000.00	1,400,000	10,270.89		—		—	—	3.0960	3.0960	May-Nov	17,698.8	—	4292016	5042023
345397YC1	FORD MOTOR CREDIT COMPANY LLC SENIOR COR			2FE	2,050,000	2,051,435	2,050,000.00	2,050,000	1,435		—		—	—	1.6476	1.6509	F-M-A-N	4,691.09	—	8082016	8122019
345397YD9	FORD MOTOR CREDIT COMPANY LLC SENIOR COR			2FE	2,445,000	2,439,601.19	2,445,000.00	2,445,000	(5,398.81	)	—		—	—	1.8970	1.8970	Feb-Aug	6,313.07	—	8082016	8122019
34528QBP8	FORDF ABS 12-2		2	1FE	1,402,694.53	1,383,919.16	1,380,000.00	1,382,773.63	1,145.53		(7,419.90	)	—	—	1.9200	1.2026	Monthly	1,177.6	19,872	9152014	1152019
34530HAC4	FORDO_14-A ABS_14-A A3		2		50,095.02	50,092.45	50,102.47	50,100.96	(8.51	)	6.05		—	—	0.7900	0.7973	Monthly	17.59	678.03	1142014	5152018
34530KAB9	FORDO_14-B ABS _14-B-A3		2	1FE	412,333.42	413,478.48	413,561.19	413,306.17	172.31		774.21		—	—	0.9000	1.0461	Monthly	165.42	4,616.65	9122014	10152018
34530PAE2	FORDO_14-C ABS 2014-C A4		2	1FE	464,895.47	468,069.02	465,000.00	464,944.21	3,124.81		19.90		—	—	1.5600	1.5711	Monthly	322.4	5,440.5	11182014	2152020
34532EAE5	FORDO_16B SENIOR ABS 16B A4		2	1FE	922,847.71	927,245.79	923,000.00	922,864.4	4,381.39		16.69		—	—	1.5200	1.5294	Monthly	623.54	5,417.01	4192016	8152021
345838AE6	FOREST LABORATORIES INC. SENIOR CORP BND			2FE	1,237,731.84	1,248,459.56	1,128,000.00	1,203,682.36	44,777.2		(11,956.36	)	—	—	4.8750	3.2174	Feb-Aug	7,026.5	54,990	7212014	2152021
BRSL40CC0	FORTIUS RE LTD CORP BND 144A	F			1,000,000	1,000,000	1,000,000.00	1,000,000	—		—		—	—	6.6100	6.6100	M-J-S-D	183.61	52,835.83	10152013	6302017
34959JAB4	FORTIVE CORP SENIOR CORP BND 144A		1	2FE	1,999,540	2,020,720.68	2,000,000.00	1,999,562.67	21,158.01		22.67		—	—	2.3500	2.3550	Jun-Dec	13,186.11	—	6062016	6152021
354613AH4	FRANKLIN RESOURCES INC SENIOR CORP BND			1FE	397,820	400,626.61	400,000.00	399,568.56	1,058.05		1,202.21		—	—	1.3750	1.4891	Mar-Sep	244.45	20,917.19	9192012	9152017
30291WAN4	FREMF SENIOR CMBS 14-K36 144A		2		2,163,906.25	2,190,460	2,000,000.00	2,134,120.94	56,339.06		(13,580.10	)	—	—	4.4990	3.3713	Monthly	7,498.33	66,569.57	1162015	12252046

30290FAE2	FREMF_12-K707 SUB CMBS_12-K707 B 144A		2	1	1,039,335.94	1,039,359.1	1,000,000.00	1,020,323.11	19,035.99		(7,385.92	)	—	—		4.0193	2.9718	Monthly	3,349.44	29,691.08		10082014	1252047
30291YAJ9	FREMF_14-K716 SUB CMBS 14-K716 B 144A		2	1	3,159,492.19	3,151,307.1	3,000,000.00	3,121,008.67	30,298.43		(18,639.17	)	—	—		4.0841	3.1317	Monthly	10,210.13	90,585.44		1302015	8252047
31679NAA2	FSSLF_15-1A ABS 15-1A A 144A		2	1FE	3,985,600	3,951,869.6	4,000,000.00	3,989,636.23	(37,766.63	)	1,750.07		—	—		2.6956	2.7740	J-A-J-O	21,864.31	76,852.16		1292015	1202027
31679NAE4	FSSLF_15-1A MEZZANIN ABS 15-1A C1 144A		2		242,607.08	244,055.08	250,000.00	244,154.35	(99.27	)	695.47		—	—		4.4456	4.9630	J-A-J-O	2,253.67	8,133.13		1292015	1202027
302644EL9	FSU FINL ASSISTANCE INC FLA MUNITAX BND			1FE	920,061	914,616	900,000.00	906,819.21	7,796.79		(5,009.66	)	—	—		2.8400	2.0705	Apr-Oct	12,780	12,780		2152012	10012017
359900XB8	FULTON CNTY GA DEV AUTH REV MUNI BND REV		2	1FE	1,812,511.6	1,736,038.4	1,640,000.00	1,747,960.28	(11,921.88	)	(24,613.44	)	—	—		5.4910	3.2309	May-Nov	37,521.83	45,026.2		6242009	11012019
36319QAA0	GALAXY CLO LTD GALXY_15-19A ABS 15-19A A	E	2	1FE	4,992,450	5,005,358.5	5,000,000.00	4,994,632.09	10,726.41		980.29		—	—		2.2645	2.3000	J-A-J-O	21,386.94	78,697.3		1292015	1242027
36354TAE2	GALILEO RE LTD CORP BND 144A	F			500,000	509,530	500,000.00	500,000	9,530		—		—	—		7.0000	7.0613	J-A-J-O	7,972.22	16,388.66		1202016	1082019
36354TAC6	GALILEO RE LTD SENIOR CORP BND 144A	F			600,000	621,408	600,000.00	600,000	21,408		—		—	—		13.5000	13.7285	J-A-J-O	18,450	37,649.73		1202016	1082019
36354TAD4	GALILEO RE LTD SENIOR CORP BND 144A	F			500,000	517,005	500,000.00	500,000	17,005		—		—	—		9.0000	9.1015	J-A-J-O	10,250	20,999.78		1202016	1082019
36354TAB8	GALILEO RE LTD UNSEC CORP BND 144A	F			1,200,000	1,241,628	1,200,000.00	1,200,000	41,628		—		—	—		13.8102	14.0452	J-A-J-O	38,553.85	285,900.82		1292015	1082018
BRSWRS7S1	GALLERIA CO TERM NOTES			3FE	1,660,808.46	1,674,370.34	1,669,154.23	1,661,598.7	12,771.64		790.24		—	—		—	0.0708	M-J-S-D	—	37,799.39		10222015	1262023
36319GAC8	GALXY_18A MEZZANIN ABS 2014-18A C1 144A	F	2	1FE	483,750	497,248.55	500,000.00	484,340.06	12,908.49		590.06		—	—		3.6801	4.7154	J-A-J-O	3,986.78	806.3		6242016	10152026
BRSL7EJM8	GARDA WORLD SEC			4FE	524,534.11	524,288.86	530,925.43	524,801.13	(512.27	)	273.32		—	—		—	0.2798	M-J-S-D	—	2,957.29			11062020
C3602DAH7	GARDA WORLD SEC SENIOR SECURED TERM NOTE	A	2	3FE	2,413,654.74	2,407,289.16	2,437,761.18	2,414,723.78	(7,434.62	)	1,098.85		—	—		—	0.2281	J-A-J-O	—	16,138.55		7112016	11062020
36655QAC8	GARR_15-1A SENIOR ABS_15-1A A2 144A	F	2	1FE	495,800	501,096.35	500,000.00	496,330.41	4,765.94		415.56		—	—		3.3254	3.4764	F-M-A-N	1,708.91	11,648.97		10202015	5252027
BRSU1MK36	GARRETSON RESOLUTION GROUP INC SENIOR SE				6,197,150.74	6,150,672.11	6,197,150.74	6,197,150.74	(46,478.63	)	—		—	—		—	—	M-J-S-D	—	480,154.24		5292015	5212021
BRSNN37V3	GATES GLOBAL LLC SENIOR SECURED TERM NOT		2	4FE	3,958,345.75	3,891,832.52	3,955,399.75	3,950,511.32	(58,678.8	)	1,475.99		—	—		—	0.0256	M-J-S-D	—	129,094.41		4162015	7062021
380881CP5	GCCT_15-2A SENIOR ABS 15-2A A 144A	A	2	1FE	1,499,754.15	1,520,494.05	1,500,000.00	1,499,822.46	20,671.59		35.54		—	—		2.0200	2.0319	Monthly	1,346.67	22,725		4222015	4152022
87165LAP6	GE CAPITAL CREDIT CARD MASTER SENIOR ABS		2	1FE	1,099,851.83	1,108,327.04	1,100,000.00	1,099,865.9	8,461.14		14.70		—	—		1.7400	1.7478	Monthly	850.67	22,281.66		9252015	9152021
87165LAT8	GE CAPITAL CREDIT CARD MASTER SENIOR ABS		2	1FE	1,799,983.44	1,848,438.03	1,800,000.00	1,799,987.4	48,450.63		1.50		—	—		2.3800	2.3919	Monthly	1,904	32,130		9252015	9152023
36164QMS4	GE CAPITAL INTERNATIONAL FUNDI SENIOR CO	F		1FE	1,229,150.58	1,256,947.85	1,224,000.00	1,228,899.63	28,048.22		(250.95	)	—	—		2.3420	2.2397	May-Nov	10,829.41	(4,220.28	)	7082016	11152020
G3R03C2M9	GE CAPITAL UK FUNDING SENIOR CORP BND	D		1FE	2,088,625.61	2,083,943.19	1,460,000.00	2,087,294.23	(8,405.33	)	(1,331.38	)	—	5,054.29		4.3750	0.6775	July	14,094.15	(12,448.29	)	9262016	7312019
U36964MA6	GE CAPITAL UK FUNDING SENIOR CORP BND EM	D		1FE	1,222,625.8	1,007,312.17	700,000.00	1,176,693.02	17,591.75		(37,824.72	)	—	(186,972.59	)	6.7500	1.8238	August	9,416.87	72,972.9		10302015	8062018
BRSP6WS08	GEMINI HDPE LLC SENIOR SECURED TERM NOTE		2	3FE	908,495.91	917,626.57	913,061.26	909,881.22	7,745.35		519.33		—	—		—	0.0710	M-J-S-D	—	33,056.88		7242014	8062021
36159JDH1	GEMNT_12-6 ABS 12-6		2	1FE	12,317,777.35	12,324,369.99	12,300,000.00	12,315,515.57	8,854.42		(2,261.78	)	—	—		1.3600	1.2176	Monthly	7,434.67	13,940		8102016	8172020
369550AV0	GENERAL DYNAMICS CORP SENIOR CORP BND			1FE	1,410,357.88	1,413,635.15	1,413,000.00	1,412,477.44	1,157.71		4,353.89		—	—		1.0000	1.1281	May-Nov	5,338	45,481.67		10262015	11152017
369550AW8	GENERAL DYNAMICS CORP SENIOR CORP BND		1	1FE	2,989,411.6	2,981,649.45	3,010,000.00	2,989,784.96	(8,135.51	)	373.36		—	—		1.8750	1.9800	Feb-Aug	7,681.78	—		8092016	8152023
36962G6P4	GENERAL ELECTRIC CAPITAL CORP SECURED CO			1FE	1,016,150	1,022,531.36	1,000,000.00	1,012,566.68	9,964.68		(2,850.36	)	—	—		2.1000	1.6941	Jun-Dec	6,416.67	10,500		10162015	12112019
36962G7F5	GENERAL ELECTRIC CAPITAL CORP SENIOR COR			1FE	5,000,000	5,025,935	5,000,000.00	5,000,000	25,935		—		—	—		1.1834	1.1834	J-A-J-O	12,983.98	39,345.86		12052014	1142019
36962G4D3	GENERAL ELECTRIC CO CORP BND MTN			1FE	75,265.2	81,228.07	72,000.00	73,136.37	8,091.7		(271.68	)	—	—		6.0000	5.3950	Feb-Aug	648	4,320		10292009	8072019
369604BC6	GENERAL ELECTRIC CO CORP BND			1FE	328,608	314,523.9	300,000.00	314,138.85	385.05		(15,211.17	)	—	—		5.2500	1.2151	Jun-Dec	5,031.25	18,309.38		7072015	12062017
36962G2T0	GENERAL ELECTRIC CO SENIOR CORP BND MTN			1FE	1,138,210	1,139,448.55	1,000,000.00	1,115,088.97	24,359.58		(22,789.44	)	—	—		5.5500	2.2001	May-Nov	22,662.5	27,750		12222015	5042020
36962G5J9	GENERAL ELECTRIC CO SENIOR CORP BND MTN			1FE	406,000.64	408,037.08	358,000.00	395,725.45	12,311.63		(5,216.77	)	—	—		4.6500	2.4180	Apr-Oct	7,583.63	8,323.5		3312015	10172021

37045XBB1	GENERAL MOTORS FINANCIAL CO IN CORP BND			2FE	5,131,530.9	5,221,306.51	5,130,000.00	5,130,985.67	90,320.84		(296.56	)	—	—		3.1000	3.0837		Jan-Jul	33,572.99	120,156	10082015	1152019
37045XAV8	GENERAL MOTORS FINANCIAL CO IN SENIOR CO				3,347,119	3,368,036.61	3,350,000.00	3,348,509.93	19,526.68		711.33		—	—		2.4000	2.4299		Apr-Oct	38,190	40,200	4072015	4102018
37045XAW6	GENERAL MOTORS FINANCIAL CO IN SENIOR CO		1	2FE	1,930,360	2,025,128.32	2,000,000.00	1,938,909.46	86,218.86		7,321.19		—	—		3.4500	4.0730		Apr-Oct	32,775	34,500	11102015	4102022
37331NAF8	GEORGIA-PACIFIC LLC SENIOR CORP BND 144A		1	2FE	7,000,000	7,157,231.34	7,000,000.00	7,000,000	157,231.34		—		—	—		2.5390	2.5390		May-Nov	67,142.45	88,865	11032014	11152019
BRT5DJJU6	GFL ENVIRONMENTAL INC SENIOR SECURED TER	A		3FE	576,811.6	578,504.35	579,710.15	576,811.6	1,692.75		—		—	—		—	0.0708		M-J-S-D	—	—	9272016	9272023
G4097TAB1	GFUND_16-2 ABS 16-2 A1B	D	2		662,952	600,742.81	460,000.00	662,952	3,202.81		—		—	(65,412	)	1.5042	1.5016		J-A-J-O	3,570.68	—	4222016	7242058
375558AV5	GILEAD SCIENCES INC SENIOR CORP BND			1FE	2,362,410.45	2,357,617.45	2,325,000.00	2,356,368.48	1,248.97		(9,583.98	)	—	—		2.0500	1.5200		Apr-Oct	23,831.25	13,539.96	6202016	4012019
375558AY9	GILEAD SCIENCES INC SENIOR CORP BND			1FE	698,404	715,972.22	700,000.00	698,973.64	16,998.58		219.96		—	—		2.3500	2.3960		Feb-Aug	2,741.67	16,450	11122014	2012020
375558BB8	GILEAD SCIENCES INC SENIOR CORP BND			1FE	598,560	618,240.65	600,000.00	598,843.21	19,397.44		907.97		—	—		2.5500	2.6021		Mar-Sep	1,275	82,882.08	9162015	9012020
375558BE2	GILEAD SCIENCES INC SENIOR CORP BND			1FE	250,121.5	252,321.45	250,000.00	250,079.17	2,242.28		(210.77	)	—	—		1.8500	1.8332		Mar-Sep	346.88	46,216.6	9102015	9042018
375558BH5	GILEAD SCIENCES INC SENIOR CORP BND		1	1FE	1,701,061.45	1,710,747.5	1,705,000.00	1,701,081.84	9,665.66		20.39		—	—		1.9500	1.9951		Mar-Sep	1,015.9	—	9152016	3012022
375558BL6	GILEAD SCIENCES INC SENIOR CORP BND		1	1FE	119,575.2	121,176.89	120,000.00	119,576.85	1,600.04		1.65		—	—		2.5000	2.5561		Mar-Sep	91.67	—	9152016	9012023
BRSQQJLY6	GLOBAL CASH ACCESS SENIOR SECURED TERM L			4FE	2,171,933.54	2,114,052.04	2,205,008.65	2,181,238.26	(67,186.22	)	5,542.37		—	—		—	0.2537		M-J-S-D	—	95,697.04	11252014	12182020
37952UAB9	GLOBAL SC FINANCE SRL SEACO_13 ABS_13-1A	F	2	1FE	313,325.52	318,520.56	329,166.67	313,889.94	4,630.62		1,165.98		—	—		2.9800	4.5272		Monthly	381.47	2,174.99	6242016	4172028
36297A3K7	GNMA		2	1	105,184.55	106,200.89	100,730.38	104,019.64	2,181.25		(3,461.93	)	—	—		5.0000	3.3264		Monthly	419.71	6,149.73	3262009	1152024
38378NEK5	GNMA AGENCY CMBS _13-156-AD		2	1	1,595,413.04	1,659,024.78	1,611,525.08	1,596,715.73	62,309.05		1,821.88		—	—		2.7613	3.0298		Monthly	3,708.2	35,653.02	10112013	4162052
38376JDT8	GNMA AGENCY CMO 09-106-ME		2	1	268,457.89	263,266.62	257,723.70	264,832.06	(1,565.44	)	(6,248.45	)	—	—		3.5000	1.1404		Monthly	751.69	8,736.11	3162010	1202039
38377JEA7	GNMA AGENCY CMO 10-109 CH		2	1	147,074.89	144,811.25	142,986.39	144,308.12	503.13		(2,557.92	)	—	—		3.0000	0.8041		Monthly	357.47	4,613.77	9262013	12202037
38376WSP1	GNMA AGENCY CMO 10-24		2	1	91,308.1	91,197.55	90,712.80	91,101.49	96.06		(244.08	)	—	—		1.0518	0.7393		Monthly	29.15	802.92	12052012	12202038
38376FNL2	GNMA AGENCY CMO__09-66-UG		2	1	320,607.97	314,687	303,462.35	314,436.22	250.78		(10,687.65	)	—	—		4.5000	0.8567		Monthly	1,137.98	13,345.13	3222010	7202038
38378FWR7	GNMA AGENCY CMO__13-28-ME		2	1	2,248,545.6	2,358,908.3	2,333,678.20	2,269,816.04	89,092.26		31,134.17		—	—		1.7500	3.9014		Monthly	3,403.28	35,767.6	2142013	11202042
38374B4M2	GNMA AGENCY CMO_03-77-TK		2	1	847,286.61	857,199.46	769,337.36	842,634.96	14,564.5		(16,267.26	)	—	—		5.0000	2.9917		Monthly	3,205.57	31,834.01	7032008	9152033
38377MSG2	GNMA AGENCY CMO_2010-144 PA		2	1	748,265.48	750,889.98	732,502.05	744,273.46	6,616.52		(7,509.44	)	—	—		3.0000	1.6651		Monthly	1,831.26	20,333.2	11092010	9162040
3837H1U41	GNMA AGENCY CMO_99-2-E		2	1	136,981.02	140,649.38	119,830.31	135,061.52	5,587.86		(3,084.22	)	—	—		6.5000	3.2514		Monthly	649.08	6,280.33	11252014	1202029
38375XRK2	GNMA AGENCYCMO _ 08-69-QD		2	1	1,088,732.15	1,045,136.89	971,891.37	1,076,984.27	(31,847.38	)	(31,115.17	)	—	—		5.7500	2.2495		Monthly	4,656.98	47,336.02	10272008	7202038
38373MUZ1	GNMA CMBS_06-32 C		2	1	1,888,056.05	1,844,842.63	1,798,011.62	1,848,339.6	(3,496.97	)	(21,900.67	)	—	—		5.3020	2.5573		Monthly	7,944.21	76,123.31	7112008	11162038
38375PXQ9	GNMA CMO 08-11 FB		2	1	515,035.4	517,130.22	513,165.15	514,910	2,220.22		(545.97	)	—	—		1.1318	1.0587		Monthly	177.46	4,609.12	12032012	2202038
38376P6D7	GNMA CMO 09-127 PL		2	1	571,531.98	562,337.88	538,520.67	562,880.68	(542.8	)	(16,324.14	)	—	—		4.2500	1.0171		Monthly	1,907.26	21,222.51	2112010	10202038
38374D2N8	GNMA CMO_08-36 AN		2	1	76,621.8	73,429.87	73,322.31	73,560.86	(130.99	)	(6,030.61	)	—	—		4.2500	1.2044		Monthly	259.68	7,861.93	10162013	10162022
38376EX34	GNMA CMO_09-109 NH		2	1	178,074.97	173,616.21	171,658.38	173,471.74	144.47		(7,797.28	)	—	—		4.0000	0.5311		Monthly	572.19	9,440.91	11182009	7202037
38377KKN9	GNMA CMO_10-115 QJ		2	1	907,809.73	894,323.59	867,347.94	893,816.7	506.89		(18,128.54	)	—	—		3.5000	0.4845		Monthly	2,529.76	26,980.6	9172010	11202038
38376TFQ0	GNMA CMO_10-2 PK		2	1	162,859.21	158,662.01	157,212.15	158,492.92	169.09		(7,634.44	)	—	—		4.0000	0.4589		Monthly	524.04	9,236.94	3092010	6202037
38377GYS2	GNMA CMO_10-68 YE		2	1	1,063,128.95	1,068,796.44	1,035,118.65	1,056,782.28	12,014.16		(12,493.61	)	—	—		3.0000	1.6286		Monthly	2,587.8	28,239.87	8102010	5202039
36202E4Z9	GNMA GNMA II 30YR SF - JUMBO-CONFOR		2	1	98,435.19	96,792.99	91,773.39	98,382.16	(1,589.17	)	(118.73	)	—	—		4.5000	(0.1197	)	Monthly	344.15	3,130.77	7212009	5202039

36202EVH9	GNMA GNMA II 30YR SF - JUMBO-CONFOR	2	1	47,241.8	47,116.17	42,642.75	47,205.65	(89.48	)	(1,281.83	)	—	—	6.0000	(1.0908	)	Monthly	213.21	2,240.69	11012008	8202038
38375JCJ2	GNMA GNMA_06-68 D	2	1	1,303,028.41	1,281,507.82	1,211,240.60	1,261,965.07	19,542.75		(46,262.18	)	—	—	5.3050	2.6068		Monthly	5,354.69	58,947.13	3122009	12162037
36202FZV1	GNMA POOL # 005256	2	1	2,067,789.79	2,035,197.62	1,928,571.06	2,043,082.54	(7,884.92	)	(26,543.08	)	—	—	3.5000	1.5076		Monthly	5,625	56,228.37	1182012	12202026
36202KME2	GNMA POOL # 008457	2	1	224,661.9	225,837.98	221,546.40	223,549.81	2,288.17		(452.74	)	—	—	1.8750	1.5221		Monthly	346.17	3,387.01	3182009	7202024
36225CD29	GNMA POOL # 080120	2	1	225,808.74	230,512.91	223,503.84	225,239.35	5,273.56		(274.02	)	—	—	2.0000	1.7439		Monthly	372.51	3,513.49	3182009	10202027
36225C6Y7	GNMA POOL # 080886	2	1	5,032,511.77	5,042,917.83	4,909,767.58	5,021,263.73	21,654.1		(12,721.11	)	—	—	2.1250	1.5051		Monthly	8,694.38	71,318.9	3022011	4202034
36225DAS3	GNMA POOL # 080916	2	1	172,036.83	179,792.32	172,874.18	172,107.9	7,684.42		98.84		—	—	2.1250	2.2245		Monthly	306.13	2,538.53	4172008	5202034
36225DJA3	GNMA POOL # 081156	2	1	420,992.01	434,345.56	419,811.34	420,810.21	13,535.35		(178.77	)	—	—	2.0000	1.9245		Monthly	699.69	6,711.22	3182009	11202034
36225DJZ8	GNMA POOL # 081179	2	1	440,934.56	457,164.15	439,697.95	440,753.62	16,410.53		(162.47	)	—	—	2.0000	1.9213		Monthly	732.83	6,968.63	3182009	12202034
36225DLE2	GNMA POOL # 081224	2	1	243,730.03	254,073.79	244,877.91	243,828.11	10,245.68		217.23		—	—	2.0000	2.0870		Monthly	408.13	3,899.44	3182009	1202035
36225EVZ2	GNMA POOL # 082431	2	1	1,185,930.86	1,207,022.96	1,171,289.73	1,184,898.99	22,123.97		(87.96	)	—	—	2.0000	1.7035		Monthly	1,952.15	18,653.3	10282009	12202039
36225EWE8	GNMA POOL # 082444	2	1	186,096.11	191,987.48	182,223.84	185,645.41	6,342.07		(378.74	)	—	—	2.0000	1.6931		Monthly	303.71	3,010.17	11032009	12202039
36204J4C7	GNMA POOL # 371719	2	1	115,821.23	121,601.36	109,008.21	112,957.9	8,643.46		(1,398.41	)	—	—	6.5000	5.2904		Monthly	590.46	5,978.74	9112008	4152024
36204SV60	GNMA POOL # 378737	2	1	116,108.83	120,590.52	109,278.88	113,229.38	7,361.14		(800.37	)	—	—	6.5000	5.2339		Monthly	591.93	5,638.98	9112008	1152024
36205BKY7	GNMA POOL # 385611	2	1	171,727.33	180,297.48	161,625.70	167,501.93	12,795.55		(1,044.38	)	—	—	6.5000	5.2810		Monthly	875.47	8,252.05	9112008	4152024
36210BZH1	GNMA POOL # 487744	2	1	282,090.82	281,322.62	266,831.41	277,949.98	3,372.64		(2,356.93	)	—	—	5.0000	3.1063		Monthly	1,111.8	10,852.24	9292009	3152024
36210BZJ7	GNMA POOL # 487745	2	1	167,568.96	167,112.64	158,504.50	164,923.75	2,188.89		(1,616.99	)	—	—	5.0000	3.2557		Monthly	660.44	6,691.62	9292009	3152024
36210B4N2	GNMA POOL # 487829	2	1	105,991.23	107,139.1	102,406.97	104,728.98	2,410.12		(721.72	)	—	—	4.5000	3.6165		Monthly	384.03	3,820.75	3262009	4152024
36210B4Q5	GNMA POOL # 487831	2	1	47,047.25	46,919.12	44,502.27	46,357.33	561.79		(888.76	)	—	—	5.0000	3.1332		Monthly	185.43	2,068.28	9292009	4152024
36210B4R3	GNMA POOL # 487832	2	1	123,250.82	124,348.68	117,943.36	121,625.58	2,723.1		(1,065.93	)	—	—	5.0000	3.6553		Monthly	491.43	5,156.59	3262009	4152024
36211V6Q8	GNMA POOL # 524779	2	1	116,644.25	117,771.33	111,704.81	115,099.85	2,671.48		(627.77	)	—	—	5.0000	3.6477		Monthly	465.44	4,440.63	3262009	1152024
36201YER3	GNMA POOL # 606844	2	1	494,221.97	534,691.74	471,652.64	491,468.53	43,223.21		(2,633.13	)	—	—	5.0000	4.0193		Monthly	1,965.22	18,406.99	4232010	9152033
36290SJB8	GNMA POOL # 615958	2	1	531,791.64	575,337.85	507,506.65	528,435.56	46,902.29		(10,088.23	)	—	—	5.0000	4.1250		Monthly	2,114.61	53,426.42	4232010	9152033
36291FS41	GNMA POOL # 627039	2	1	986,157.08	1,000,706.02	953,960.91	985,833.1	14,872.92		(1,823.06	)	—	—	3.0000	2.4186		Monthly	2,384.9	15,390.86	2032016	1152046
36292DWW8	GNMA POOL # 646061	2	1	59,414.44	66,379.92	56,975.20	59,167.12	7,212.8		(626.03	)	—	—	6.5000	5.6496		Monthly	308.62	3,497.4	1312008	11152037
36295KAT0	GNMA POOL # 672418	2	1	39,871.64	44,546.01	38,234.72	39,736.35	4,809.66		(823.94	)	—	—	6.5000	5.4458		Monthly	207.1	2,472.86	1312008	12152037
36295PZJ4	GNMA POOL # 676745	2	1	50,495.01	50,738.76	48,356.74	49,747.45	991.31		(433.74	)	—	—	5.0000	3.6111		Monthly	201.49	2,006.11	3262009	3152023
36295P4L3	GNMA POOL # 676827	2	1	134,617.6	135,186.5	128,839.93	132,758.11	2,428.39		(648.73	)	—	—	5.0000	3.4879		Monthly	536.83	5,085.12	3262009	5152023
36295QJE1	GNMA POOL # 677161	2	1	151,259.04	151,231.1	144,131.30	148,618.84	2,612.26		(1,974.54	)	—	—	5.0000	3.7117		Monthly	600.55	6,335.17	4272009	8152023
36295TVQ4	GNMA POOL # 680223	2	1	17,128.29	19,136.35	16,425.11	17,080.51	2,055.84		(156.63	)	—	—	6.5000	5.1347		Monthly	88.97	854.44	1312008	1152038
36296DR67	GNMA POOL # 688209	2	1	14,831.23	14,825.17	14,129.18	14,540.67	284.5		(135.30	)	—	—	5.0000	3.8947		Monthly	58.87	590.62	7292009	7152023
36296E5H5	GNMA POOL # 689448	2	1	103,251.01	103,749.44	98,878.74	101,895.24	1,854.2		(776.50	)	—	—	5.0000	3.4897		Monthly	411.99	4,169.62	3262009	7152023
36296TPY3	GNMA POOL # 700739	2	1	156,947.72	157,492.18	148,644.54	154,349.48	3,142.7		(969.55	)	—	—	5.5000	3.7121		Monthly	681.29	6,436.75	6032009	10152023
36296UC73	GNMA POOL # 701294	2	1	132,002.58	133,138.6	126,280.50	130,272.03	2,866.57		(682.30	)	—	—	5.0000	3.5580		Monthly	526.17	4,984.52	3272009	1152024

36296URS1	GNMA POOL # 701697	2	1	191,705.02	191,182.94	181,334.92	188,418.26	2,764.68		(1,191.83	)	—	—	5.0000	3.3942	Monthly	755.56	7,169.49	9292009	2152024
36296UUL2	GNMA POOL # 701787	2	1	179,692.63	182,796.54	173,380.51	177,657.95	5,138.59		(674.06	)	—	—	5.0000	3.9587	Monthly	722.42	6,824.9	6112009	3152024
36296XHH0	GNMA POOL # 704132	2	1	55,099.55	54,686.33	52,118.99	54,256.75	429.58		(305.46	)	—	—	5.0000	3.1040	Monthly	217.16	2,049.77	9292009	12152023
36296XLY8	GNMA POOL # 704243	2	1	257,208.32	261,651.18	248,173.27	254,335.66	7,315.52		(997.69	)	—	—	5.0000	3.9049	Monthly	1,034.06	9,755.07	6112009	1152024
36296XWP5	GNMA POOL # 704554	2	1	782,720.06	796,720.73	755,680.85	775,011.18	21,709.55		(7,628.89	)	—	—	5.0000	3.8620	Monthly	3,148.67	33,154.8	6112009	6152024
36297AKF9	GNMA POOL # 705994	2	1	182,843.59	182,345.67	172,952.86	180,125.82	2,219.85		(2,194.83	)	—	—	5.0000	3.0730	Monthly	720.64	7,254.42	9292009	1152024
36297DFF9	GNMA POOL # 708566	2	1	472,148.91	470,863.11	446,608.48	464,695.84	6,167.27		(7,091.90	)	—	—	5.0000	3.2826	Monthly	1,860.87	19,726.09	9292009	4152024
36297DTR8	GNMA POOL # 708960	2	1	73,374.34	74,083.37	70,267.26	72,251.47	1,831.9		(331.10	)	—	—	5.0000	3.9195	Monthly	292.78	2,756.62	3262009	3152024
36297G2R0	GNMA POOL # 711884	2	1	612,323.65	610,656.12	579,200.61	602,292.65	8,363.47		(7,971.59	)	—	—	5.0000	3.3559	Monthly	2,413.34	23,816.84	9292009	4152024
36297JJ54	GNMA POOL # 713184	2	1	518,269.9	516,858.48	490,234.58	508,896.48	7,962		(4,607.72	)	—	—	5.0000	3.5459	Monthly	2,042.64	19,622.02	9292009	4152024
36297KZF1	GNMA POOL # 714542	2	1	224,002.31	227,802.9	216,068.55	221,614.46	6,188.44		(1,462.80	)	—	—	5.0000	3.9089	Monthly	900.29	9,122.49	6112009	6152024
3620A2KC9	GNMA POOL # 716791	2	1	428,181.57	427,015.5	405,019.51	421,670.5	5,345		(5,522.77	)	—	—	5.0000	3.2074	Monthly	1,687.58	16,954.72	9292009	4152024
3620A5FJ3	GNMA POOL # 719369	2	1	391,160.96	383,814.84	366,480.76	385,527.15	(1,712.31	)	(2,134.60	)	—	—	4.5000	2.3856	Monthly	1,374.3	12,918.7	8312010	4152025
3620A6AC1	GNMA POOL # 720103	2	1	352,872.93	390,408.43	346,803.87	352,176.78	38,231.65		(818.58	)	—	—	4.5000	4.2362	Monthly	1,300.52	12,526.78	6182009	6152039
3620A6DZ7	GNMA POOL # 720220	2	1	516,577.31	518,542.66	491,832.01	508,548.18	9,994.48		(6,147.97	)	—	—	5.0000	3.7123	Monthly	2,049.3	21,089.77	7292009	7152024
3620ADCM2	GNMA POOL # 726476	2	1	2,984,768.55	2,964,287.82	2,833,360.83	2,941,445.58	22,842.24		(24,047.66	)	—	—	4.5000	3.0150	Monthly	10,625.11	103,664.64	12082009	11152024
3620ASPY9	GNMA POOL # 738539	2	1	2,000,302.9	2,017,516.42	1,862,100.12	1,994,455.82	23,060.6		(29,796.50	)	—	—	4.0000	2.1494	Monthly	6,206.99	63,081.43	10032011	7152041
36225BPY8	GNMA POOL # 781339	2	1	147,686.75	160,605.82	133,804.50	145,092.5	15,513.32		(1,503.61	)	—	—	8.0000	6.1020	Monthly	892.03	8,490.22	3072008	9152031
36241KBP2	GNMA POOL # 781846	2	1	537,311.2	613,101.51	520,398.27	536,069.12	77,032.39		(3,802.20	)	—	—	6.5000	5.4217	Monthly	2,818.83	50,454.35	8152008	9152034
36241KEC8	GNMA POOL # 781931	2	1	1,316,151.73	1,480,995.4	1,274,723.20	1,313,303.31	167,692.09		(5,608.34	)	—	—	6.5000	5.4253	Monthly	6,904.75	66,624.08	8152008	5152035
36241KEH7	GNMA POOL # 781936	2	1	660,954.47	709,453.37	639,278.93	658,503.81	50,949.56		(3,674.26	)	—	—	4.5000	3.8533	Monthly	2,397.29	23,923.27	6032010	6152035
36241KGU6	GNMA POOL # 782011	2	1	64,926.52	71,778.61	63,536.63	64,761.31	7,017.3		(206.74	)	—	—	5.0000	4.5899	Monthly	264.74	2,606.89	7142009	12152035
36241KKB3	GNMA POOL # 782090	2	1	1,484,363.46	1,658,635.43	1,428,130.80	1,476,569.58	182,065.85		(9,065.22	)	—	—	6.5000	5.8430	Monthly	7,735.71	76,114.59	11302007	5152036
36241LHQ2	GNMA POOL # 782939	2	1	503,554.76	540,002.88	480,559.23	501,258.05	38,744.83		(6,960.03	)	—	—	5.0000	4.1074	Monthly	2,002.33	42,327.9	4232010	9152036
36241LN36	GNMA POOL # 783110	2	1	482,270.33	506,886.32	445,386.72	478,517.23	28,369.09		(5,469.62	)	—	—	5.5000	4.0016	Monthly	2,041.36	19,817.09	9232010	4152036
36179MEL0	GNMA POOL # MA0139	2	1	2,375,295.57	2,365,576.13	2,241,836.25	2,353,878.64	11,697.49		(25,174.61	)	—	—	3.0000	1.3848	Monthly	5,604.59	56,107.71	6192012	6202027
36179MK82	GNMA POOL # MA0319	2	1	104,935.11	103,015.38	95,517.67	104,532.47	(1,517.09	)	(1,797.19	)	—	—	4.0000	2.0170	Monthly	318.39	3,173	10042012	8202042
36179MNJ5	GNMA POOL # MA0393	2	1	1,330,368.77	1,308,496.23	1,213,260.66	1,325,814.05	(17,317.82	)	(23,836.36	)	—	—	4.0000	2.0001	Monthly	4,044.2	40,984.64	10182012	9202042
36179MQN3	GNMA POOL # MA0461	2	1	1,319,342.89	1,304,105.96	1,239,547.04	1,315,620.63	(11,514.67	)	(11,263.75	)	—	—	3.0000	1.8305	Monthly	3,098.87	30,404.82	10312012	10202042
36179Q3H2	GNMA POOL # MA2600	2	1	2,269,171.68	2,315,633.29	2,208,439.10	2,268,283.98	47,349.31		(11,746.08	)	—	—	3.0000	2.1502	Monthly	5,521.1	55,186.76	3262015	2202045
36179Q6P1	GNMA POOL # MA2678	2	1	1,744,025.1	1,762,680.33	1,658,262.15	1,742,795.94	19,884.39		(20,637.81	)	—	—	3.5000	2.0149	Monthly	4,836.6	50,028.36	3232015	3202045
36179RD63	GNMA POOL # MA2825	2	1	1,768,486.65	1,833,272.26	1,748,407.30	1,768,130.87	65,141.39		(3,011.03	)	—	—	3.0000	2.6668	Monthly	4,371.01	42,782.9	6162015	5202045
36179RJD2	GNMA POOL # MA2960	2	1	576,067.12	581,408.05	554,493.79	575,903.72	5,504.33		(1,559.92	)	—	—	3.0000	1.9757	Monthly	1,386.23	4,717.48	5092016	7202045
36179RJE0	GNMA POOL # MA2961	2	1	356,655.13	358,129.11	336,914.15	356,501.35	1,627.76		(2,247.66	)	—	—	3.5000	1.8300	Monthly	982.67	3,407.87	5092016	7202045

36179RNY1	GNMA POOL # MA3107		2	1	2,313,950.53	2,321,406.51	2,149,076.09	2,311,469.24	9,937.27		(71,797.45	)	—	—		4.5000	1.5608	Monthly	8,059.03	90,575.03		11102015	9202045
36179RQ36	GNMA POOL # MA3174		2	1	384,349.3	385,553.15	359,677.69	384,116.29	1,436.86		(4,665.46	)	—	—		4.0000	1.3581	Monthly	1,198.93	4,292.42		5092016	10202045
36179RVB2	GNMA POOL # MA3310		2	1	1,843,866.48	1,875,571.16	1,764,465.52	1,842,975.26	32,595.9		(11,296.69	)	—	—		3.5000	2.1099	Monthly	5,146.36	41,181.27		1042016	12202045
36179RXE4	GNMA POOL # MA3377		2	1	1,363,128.86	1,371,408.87	1,279,370.10	1,362,189.98	9,218.89		(15,146.04	)	—	—		4.0000	1.4997	Monthly	4,264.56	29,956.83		1222016	1202046
36179SB97	GNMA POOL # MA3664		2	1	7,220,668.73	7,209,550.74	6,725,699.29	7,215,420.95	(5,870.21	)	(25,457.34	)	—	—		4.0000	1.3359	Monthly	22,419	53,768.25		6082016	5202046
36179SCA3	GNMA POOL # MA3665		2	1	1,709,121.21	1,717,120.15	1,589,649.14	1,707,900.12	9,220.03		(31,618.38	)	—	—		4.5000	1.8456	Monthly	5,961.18	15,794.93		5262016	5202046
36179SEG8	GNMA POOL # MA3735		2	1	2,355,756.39	2,378,134.22	2,268,046.77	2,355,446.33	22,687.89		(1,545.75	)	—	—		3.0000	1.9954	Monthly	5,670.12	12,026.43		6232016	6202046
36179SEH6	GNMA POOL # MA3736		2	1	10,418,665.08	10,453,201.24	9,833,640.30	10,413,430.88	39,770.36		(15,131.30	)	—	—		3.5000	1.7460	Monthly	28,681.45	67,775.03		6082016	6202046
38174GAE4	GOCAP_15-24A MEZZANIN ABS 15-24A C 144A	F	2	1FE	1,500,000	1,492,615.35	1,500,000.00	1,500,000	(7,384.65	)	—		—	—		4.5276	4.5525	F-M-A-N	10,753.05	48,844.67		3312015	2052027
38173XAA6	GOCAP_2014-21A ABS _2014-21A-A 144A	F	2		4,000,000	3,963,822	4,000,000.00	4,000,000	(36,178	)	—		—	—		2.6145	2.6224	J-A-J-O	19,754	73,574.51		11072014	10252026
38173QAC7	GOLCP_17 SENIOR ABS 2013-17A A2 144A	F	2	1FE	244,375	246,044.73	250,000.00	244,808.65	1,236.08		433.65		—	—		3.1145	3.6454	J-A-J-O	1,470.74	1,603.44		5052016	10272025
380956AD4	GOLDCORP INC SENIOR CORP BND	A	1	2FE	4,361,985	4,678,029.32	4,500,000.00	4,381,384.82	296,644.5		11,790.64		—	—		3.7000	4.1700	Mar-Sep	7,400	166,500		2242016	3152023
BRSM10BL2	GOLDMAN SACHS GROUP INC/THE			1FE	329,457.87	325,409.22	220,000.00	329,059.13	375.11		(710.19	)	—	(4,025.02	)	4.2500	2.5842	Jan-Jul	2,112.29	388.5			1292026
38148BAA6	GOLDMAN SACHS GROUP INC/THE CAPSEC CORP		1	3FE	7,181,300	7,087,500	7,000,000.00	7,104,129.11	(16,629.11	)	(27,446.72	)	—	—		5.7000	5.0837	May-Nov	156,275	199,500		7152014	12312049
38148BAB4	GOLDMAN SACHS GROUP INC/THE CAPSEC CORP		1	3FE	3,445,000	3,479,450	3,445,000.00	3,445,000	34,450		—		—	—		5.3750	5.3750	May-Nov	72,524.42	92,584.38		4162015
38141GES9	GOLDMAN SACHS GROUP INC/THE CORP BND			2FE	6,077,662.5	6,151,252.28	5,250,000.00	5,965,927.37	185,324.91		(41,008.91	)	—	—		5.9500	4.2960	Jan-Jul	65,945.83	312,375		8192014	1152027
38141GVP6	GOLDMAN SACHS GROUP INC/THE SENIOR CORP		1	1FE	7,794,988	7,980,785.59	7,800,000.00	7,796,027.76	184,757.83		641.49		—	—		2.7500	2.7940	Mar-Sep	9,533.33	214,500		10162015	9152020
38141GVT8	GOLDMAN SACHS GROUP INC/THE SENIOR CORP		1	1FE	54,847.1	55,404.49	55,000.00	54,868.66	535.83		21.56		—	—		2.0000	2.0961	Apr-Oct	476.67	—		4202016	4252019
38143U8F1	GOLDMAN SACHS GROUP INC/THE SENIOR CORP		1	1FE	1,092,440.6	1,118,623.14	1,090,000.00	1,092,199.19	26,423.95		(241.41	)	—	—		2.8750	2.9109	Feb-Aug	3,133.75	14,107.47		3152016	2252021
38145GAG5	GOLDMAN SACHS GROUP INC/THE SENIOR CORP		1	2FE	2,047,888.5	2,046,664.4	2,050,000.00	2,047,890.35	(1,225.95	)	1.85		—	—		2.3500	2.3709	May-Nov	535.28	—		9222016	11152021
38145XAA1	GOLDMAN SACHS GROUP INC/THE SENIOR CORP			1FE	6,807,750	6,892,562.03	6,750,000.00	6,781,306.24	111,255.79		(9,721.40	)	—	—		2.6250	2.3570	Jan-Jul	30,023.45	177,187.5		11252014	1312019
38148FAB5	GOLDMAN SACHS GROUP INC/THE SENIOR CORP			1FE	1,477,071.5	1,479,786.67	1,450,000.00	1,474,891.82	4,894.85		(2,179.68	)	—	—		2.5500	1.9691	Apr-Oct	16,227.92	(5,957.08	)	6162016	10232019
38148LAA4	GOLDMAN SACHS GROUP INC/THE SENIOR CORP		1	1FE	3,370,897.5	3,387,951.29	3,325,000.00	3,365,693.52	22,257.77		(4,221.91	)	—	—		2.6000	2.1760	Apr-Oct	37,941.95	9,025.97		6082016	4232020
38148LAC0	GOLDMAN SACHS GROUP INC/THE SENIOR CORP		1	1FE	1,937,940	2,055,670.79	2,000,000.00	1,944,933.04	110,737.75		4,160.47		—	—		3.5000	3.8910	Jan-Jul	13,222.23	70,000		6232015	1232025
38148LAD8	GOLDMAN SACHS GROUP INC/THE SENIOR CORP			1FE	2,000,000	2,003,340	2,000,000.00	2,000,000	3,340		—		—	—		1.4810	1.4810	F-M-A-N	3,291.11	18,501.82		5192015	5222017
38148LAE6	GOLDMAN SACHS GROUP INC/THE SENIOR CORP		1	1FE	4,705,071.5	4,888,539.04	4,675,000.00	4,701,498.18	187,040.86		(2,048.71	)	—	—		3.7500	3.6591	May-Nov	62,820.31	87,656.25		5272015	5222025
38141GVR2	GOLDMAN SACHS GROUP INC/THE SUB CORP BND			2FE	707,016	750,470.66	712,000.00	707,401.27	43,069.39		305.91		—	—		4.2500	4.3370	Apr-Oct	13,448.89	15,130		10162015	10212025
BRSNKX0T2	GRAY TELEVISION INC. SENIOR SECURED TERM		2	3FE	1,971,862.12	1,997,345.31	1,989,387.76	1,974,729.46	22,615.85		2,158.14		—	—		—	0.0561	M-J-S-D	—	58,933.73		12182015	6132021
BRSHB4QM6	GREENEDEN US HOLDINGS II LLC SENIOR SECU			4FE	2,247,623.16	2,262,658.48	2,275,457.93	2,260,000.87	2,657.61		3,541.49		—	—		—	0.2000	F-M-A-N	—	69,633.34		1162014	2082020
39055TAC2	GRTLK_15-1A ABS 15-1A 144A	F	2	1FE	450,000	442,440.36	450,000.00	450,000	(7,559.64	)	—		—	—		3.3801	3.3939	J-A-J-O	3,295.6	11,038.36		7202015	7152026
BRSUW2BS1	GRUDEN ACQUISITION INC SENIOR SECURED TE			4FE	903,902.05	813,359.37	913,032.37	905,320.84	(91,961.47	)	1,045.14		—	—		—	0.1423	M-J-S-D	—	40,305.72		7312015	8182022
40053RAA0	GRX_15-1A ABS 15-1A		2		2,066,069.15	1,984,521.4	2,066,069.15	2,066,069.15	(81,547.75	)	—		—	—		3.7500	3.7650	J-A-J-O	16,356.38	67,987.06		2252015	7152023
36248GAB6	GS MORTGAGE SECURITIES TRUST G SENIOR CM		2		5,454,217.19	5,371,065.23	5,220,000.00	5,320,344.13	50,721.1		(80,248.82	)	—	—		3.0330	1.6499	Monthly	13,193.55	118,741.95		10292014	11102046
36250GAM7	GS MORTGAGE SECURITIES TRUST G SENIOR CM		2		2,789,181.05	2,807,390.72	2,720,575.00	2,780,049.13	27,341.59		(9,131.92	)	—	—		2.7260	2.0123	Monthly	6,180.24	32,505.85		3032016	5102050

36251FAT3	GS MORTGAGE SECURITIES TRUST G SUPSEN SE		2		1,735,260.15	1,746,366.57	1,690,000.00	1,724,296.54	22,070.03		(7,844.64	)	—	—	2.8980	2.2500		Monthly	4,081.35	34,639.15		4062016	2102048
36191YBB3	GSMS_11-GC5 CMBS_11-GC5 A4		2		4,733,705.48	4,711,137.08	4,350,000.00	4,729,825.79	(18,688.71	)	(3,879.69	)	—	—	3.7070	1.7724		Monthly	13,437.89	(5,375.16	)	9082016	8102044
36192KAR8	GSMS_12-GCJ7 PRELCF SENIOR CMBS_12-GCJ7		2		266,877.27	261,913.41	261,174.29	261,981.67	(68.26	)	(4,175.07	)	—	—	2.3180	0.9778		Monthly	504.5	8,233.84		1292015	5102045
36192CAF2	GSMS_13-GC10 PAC SENIOR CMBS_13-GC10 AAB		2		256,488.28	257,610	250,000.00	256,249.26	1,360.74		(239.02	)	—	—	2.5640	1.9888		Monthly	534.17	477.2		8242016	2102046
36250GAP0	GSMS_15-GC30 LCF SENIOR CMBS_15-GC30 A4		2		3,709,994.08	3,842,803.43	3,602,000.00	3,696,523.27	146,280.16		(7,582.95	)	—	—	3.3820	3.0338		Monthly	10,151.64	91,364.76		5152015	5102050
36250PAB1	GSMSCII_15-GC32 SENIOR CMBS_15-GC32 A2		2	1FE	5,149,852.5	5,227,558.5	5,000,000.00	5,114,796.1	112,762.4		(25,619.74	)	—	—	3.0620	2.4012		Monthly	12,758.33	114,824.97		7162015	7102048
406216BG5	HALLIBURTON COMPANY SENIOR CORP BND		1	2FE	1,336,234.6	1,390,447.52	1,340,000.00	1,336,515.23	53,932.29		239.19		—	—	3.8000	3.8341		May-Nov	19,236.44	25,742.89		11052015	11152025
406373A$6	HALO_06-1R WHOLE CMO 06-1R 144A		2	1FM	48,390.61	48,737.73	48,890.27	48,390.61	347.12		9,205.24		—	—	6.0000	6.7544		Monthly	244.45	25,312.16		12312011	8252036
BRSJ5PGL5	HARLAND CLARKE HOLDINGS CORP SENIOR SECU		2	4FE	1,134,220.36	1,142,252.77	1,155,736.75	1,137,382.27	4,870.5		11,333.02		—	—	—	0.9654		M-J-S-D	—	33,892.8		7082016	5222018
BRSM3XJP1	HARLAND CLARKE HOLDINGS CORP SENIOR SECU			4FE	546,690.35	537,532.85	549,437.51	548,009.3	(10,476.45	)	412.72		—	—	—	0.0903		M-J-S-D	—	26,280.12		1282014	8042019
BRT2N0U22	HARLAND CLARKE HOLDINGS CORP SENIOR SECU			4FE	2,037,000	2,055,375	2,100,000.00	2,041,830.06	13,544.94		6,445.44		—	—	—	0.8536		M-J-S-D	—	41,461.54		6142016	12312019
41283LAG0	HARLEY-DAVIDSON FINANCIAL SENIOR CORP BN			1FE	4,824,421	4,892,286.89	4,825,000.00	4,824,567.1	67,719.79		146.10		—	—	2.2500	2.2540		Jan-Jul	22,918.75	56,392.19		1052016	1152019
BRSYDKXU5	HARLEY-DAVIDSON FINANCIAL SENIOR CORP BN			1FE	1,999,760	2,025,600	2,000,000.00	1,999,820.56	25,779.44		60.56		—	—	2.2500	2.2540		Jan-Jul	9,500	23,375		1052016	1152019
43814GAC4	HAROT ABS_14-2-A3		2	1FE	361,672.1	362,206.58	362,351.52	362,213.65	(7.07	)	458.27		—	—	0.7700	0.8578		Monthly	100.75	3,605.19		7242014	3192018
43813JAD7	HAROT_14-1 SENIOR ABS_14-1 A4		2	1FE	1,396,281.25	1,400,700	1,400,000.00	1,399,049.54	1,650.46		1,528.30		—	—	1.0400	1.1738		Monthly	404.44	12,581.09		3162015	2212020
43814GAD2	HAROT_14-2 SENIOR ABS 14-2 A4		2	1FE	500,351.56	500,600.02	500,000.00	500,116.94	483.08		(372.24	)	—	—	1.1800	1.1560		Monthly	213.06	17,749.2		10282014	5182020
43814QAD0	HAROT_16-2 SENIOR ABS_16-2 A4		2	1FE	785,988.13	792,759.61	786,000.00	785,987.71	6,771.9		(0.42	)	—	—	1.6200	1.6255		Monthly	565.92	3,713.85		5242016	8152022
438124AC3	HAROT_16-3 SENIOR ABS 2016-3 A3		2	1FE	3,129,564.61	3,128,747.97	3,130,000.00	3,129,583.7	(835.73	)	19.09		—	—	1.1600	1.1686		Monthly	3,832.51	2,521.39		8152016	5182020
413875AP0	HARRIS CORPORATION SENIOR CORP BND			2FE	6,494,300	6,534,080.48	6,500,000.00	6,496,719.31	37,361.17		1,525.49		—	—	1.9990	2.0416		Apr-Oct	55,583.31	64,967.5		7222015	4272018
415690MD5	HARRISONBURG VA REDEV & HSG AU MUNI BND		1	4FE	847,484.3	847,974.4	845,000.00	845,000	2,974.4		—		—	—	7.0000	7.0000		Feb-Aug	9,858.33	71,225		6272001	8012020
44890YAE6	HART SENIOR ABS 15-B A4		2	1FE	1,204,732.25	1,210,542.99	1,205,000.00	1,204,825.11	5,717.88		48.86		—	—	1.4800	1.4902		Monthly	792.62	13,375.53		4152015	6152021
44890RAC5	HART_14-A ABS 14-A A3		2	1FE	224,275.14	224,443.55	224,555.83	224,509.99	(66.44	)	222.26		—	—	0.7900	0.8552		Monthly	78.84	2,584.44		7242014	7162018
44890UAD6	HART_14-B ABS _14-B-A4		2	1FE	3,273,351.45	3,278,712.94	3,265,000.00	3,268,358.36	10,354.58		(1,942.91	)	—	—	1.4600	1.3411		Monthly	2,118.62	45,752.69		10172014	11152019
44890WAC4	HART_15-A ABS 15-A A3		2	1FE	7,241,264.55	7,243,142.49	7,242,318.31	7,241,911.86	1,230.63		316.39		—	—	1.0500	1.0581		Monthly	3,379.75	62,816.15		1142015	4152019
44930UAD8	HART_16-A SENIOR ABS_16-A A3		2	1FE	1,639,681.84	1,651,152	1,640,000.00	1,639,735.12	11,416.88		53.28		—	—	1.5600	1.5719		Monthly	1,137.07	11,726		3222016	9152020
BRSZRX6W5	HCA INC SENIOR SECURED TERM LOAN		1	3FE	850,543.68	862,001.93	852,675.36	850,704.88	11,297.05		171.92		—	—	—	0.0353		M-J-S-D	—	16,976.76		3082016	3172023
BRSQTPNS0	HEALTHPLAN HOLDINGS INC SENIOR SECURED T				5,715,296.05	5,672,431.33	5,715,296.05	5,715,296.05	(42,864.72	)	—		—	—	—	—		M-J-S-D	—	232,299.83		11282014	11122019
429827AN8	HEF_04-1 ABS 04-1 A13 144A		2	1FE	164,000	174,518.2	200,000.00	176,188.05	(1,669.85	)	2,591.39		—	—	0.1556	1.2019		Monthly	18.75	2,011.66		9102009	1012044
429827AQ1	HEF_04-1 ABS 04-1 A15 144A			1FE	246,000	261,639.48	300,000.00	253,429.92	8,209.56		557.57		—	—	1.8993	2.7187		Monthly	420.35	3,069.39		9102009	1012044
429827AB4	HEF_04-1 ABS 04-1 A2 144A		2	1FE	164,000	174,427	200,000.00	178,443.15	(4,016.15	)	1,844.39		—	—	1.9517	3.4960		Monthly	29.04	2,298.34		9102009	1012044
429827AF5	HEF_04-1 ABS 04-1 A6 144A		2	1FE	164,000	173,914.88	200,000.00	176,116.74	(2,201.86	)	1,335.91		—	—	1.9267	3.3009		Monthly	231.63	1,716.25		9102009	1012044
423012AB9	HEINEKEN N.V. SENIOR CORP BND 144A	F		2FE	3,655,642.02	3,688,045.6	3,680,000.00	3,673,767.8	14,277.8		6,921.30		—	—	1.4000	1.4691		Apr-Oct	25,760	60,273.5		7162015	10012017
4252005H1	HENDERSON NEV MUNI BND GO		1	1FE	2,787,406	2,928,318.7	2,410,000.00	2,520,363.99	407,954.71		(99,514.57	)	—	—	5.0000	(0.4777	)	Jun-Dec	40,166.67	60,250		9172013	6012028
427866AS7	HERSHEY COMPANY THE CORP BND			1FE	1,321,912.75	1,325,755.12	1,325,000.00	1,324,945.74	809.38		480.25		—	—	1.5000	1.5490		May-Nov	8,281.25	9,937.5		11082011	11012016
427866AV0	HERSHEY COMPANY THE SENIOR CORP BND			1FE	999,740	1,008,203.89	1,000,000.00	999,834.9	8,368.99		64.20		—	—	1.6000	1.6089		Feb-Aug	1,777.78	16,000		8182015	8212018

BRT2CVMF6	HERTZ CORPORATION (THE) SENIOR SECURED T		1	3FE	1,003,030.5	1,011,649.02	1,005,544.36	1,003,120.91	8,528.11		96.71		—	—		—	0.0353	M-J-S-D	—	8,918.58		6172016	6302023
42806DAJ8	HERTZ_15-3A ABS_15-3A B 144A		2		2,499,756.75	2,565,925	2,500,000.00	2,499,797.6	66,127.4		33.33		—	—		3.7100	3.7408	Monthly	1,545.83	69,562.53		9302015	9252021
42824CAC3	HEWLETT PACKARD ENTERPRISE CO CORP BND 1			2FE	3,527,312.8	3,570,432.07	3,505,000.00	3,523,743.1	46,688.97		(3,785.64	)	—	—		2.8500	2.5442	Apr-Oct	48,836.34	30,615.73		4152016	10052018
429827AE8	HIGHER EDUCATION FUNDING HEF_0 ABS 04-1		2	1FE	164,000	174,522.6	200,000.00	175,000.45	(477.85	)	(304.98	)	—	—		4.2012	5.9649	Monthly	490.14	2,024.69		9102009	1012044
429827AJ7	HIGHER EDUCATION FUNDING HEF_0 ABS 04-1		2	1FE	164,224	174,673.62	200,000.00	175,896.28	(1,222.66	)	1,260.01		—	—		1.9237	3.2619	Monthly	284.61	1,903.4		9102009	1012044
429827AK4	HIGHER EDUCATION FUNDING HEF_0 ABS_04-1		2	1FE	164,196	174,673.62	200,000.00	175,769.85	(1,096.23	)	1,336.62		—	—		1.7841	3.0862	Monthly	155.99	2,230.48		9102009	1012044
BRSKM1X29	HILTON WORLDWIDE FINANCE LLC SENIOR SECU		2	2FE	2,632,921.5	2,653,712.34	2,646,152.28	2,638,440.08	15,272.26		1,419.57		—	—		—	0.0707	M-J-S-D	—	77,121.58		10312013	10262020
40538FAJ2	HLAF_14-C-1 SENIOR ABS 14-C-1 144A	F	2	1	478,000	488,823.95	500,000.00	482,487.33	6,336.62		1,984.47		—	—		3.7016	4.3952	J-A-J-O	3,650.19	13,414.01		1282015	10222025
437076BB7	HOME DEPOT INC SENIOR CORP BND		1	1FE	307,867.56	306,388.21	300,000.00	304,791.6	1,596.61		(1,891.91	)	—	—		2.2500	1.3768	Mar-Sep	393.76	6,750		7082015	9102018
437076BG6	HOME DEPOT INC SENIOR CORP BND		1	1FE	1,494,480	1,555,451.09	1,500,000.00	1,495,451.91	59,999.18		551.38		—	—		2.6250	2.6830	Jun-Dec	13,125	19,687.5		5282015	6012022
437076BL5	HOME DEPOT INC SENIOR CORP BND		1	1FE	398,576	406,568.54	400,000.00	398,750.52	7,818.02		174.52		—	—		2.0000	2.0731	Apr-Oct	5,088.88	—		2032016	4012021
BRSY03M62	HOME FRANCHISE CONCEPTS LLC SENIOR SECUR				6,418,750	6,402,703.13	6,418,750.00	6,418,750	(16,046.87	)	—		—	—		—	—	M-J-S-D	—	245,196.43		11302015	11302021
43814QAC2	HONDA AUTO RECEIVABLES OWNER T ABS_16-2		2		2,999,941.8	3,010,800.03	3,000,000.00	2,999,942.32	10,857.71		0.52		—	—		1.3900	1.3942	Monthly	1,853.33	12,162.5		5242016	4152020
438516AX4	HONEYWELL INTERNATIONAL INC CORP BND			1FE	275,045	264,865.04	250,000.00	263,634.59	1,230.45		(7,085.95	)	—	—		5.3000	1.3991	Mar-Sep	1,104.17	13,250		7132015	3012018
438516AZ9	HONEYWELL INTERNATIONAL INC CORP BND			1FE	2,872,791.36	2,818,055.66	2,592,000.00	2,788,080.52	29,975.14		(60,375.76	)	—	—		5.0000	1.7309	Feb-Aug	16,560	129,600		9082015	2152019
438516BA3	HONEYWELL INTERNATIONAL INC CORP BND			1FE	1,126,518.6	1,131,887.78	1,020,000.00	1,103,749.52	28,138.26		(13,360.48	)	—	—		4.2500	2.2850	Mar-Sep	3,612.5	43,350		6162015	3012021
438670Q20	HONOLULU HAWAII CITY & CNTY MUNITAX BND			1FE	1,500,000	1,507,590	1,500,000.00	1,500,000	7,590		—		—	—		1.2590	1.2590	May-Nov	7,868.75	9,442.5		9292015	11012017
BRSPKZWC4	HOPLON II INSURANCE LTD CORP BND	D			11,608,077.94	10,134,428.4	9,000,000.00	11,604,563.71	11,083.23		(3,514.23	)	—	(1,481,218.54	)	6.3100	6.2454	J-A-J-O	150,687.54	398,209.13		3182016	1082018
BRST7Y914	HOUGHTON MIFFLIN HARCOURT PUBL SENIOR SE		2	4FE	1,146,960.1	1,144,558.99	1,152,723.73	1,148,205.99	(3,647	)	766.32		—	—		—	0.0832	M-J-S-D	—	35,271.41		5112015	5282021
4424356L2	HOUSTON TEX MUNI BND REV		1	1FE	452,780.27	433,355.45	415,000.00	434,309.42	(953.97	)	(12,783.10	)	—	—		5.0000	0.8256	May-Nov	7,838.89	10,375		8312015	11152021
4424356Y4	HOUSTON TEX MUNI BND REV		1	1FE	147,289.97	140,165.1	135,000.00	141,281.38	(1,116.28	)	(4,158.36	)	—	—		5.0000	0.8256	May-Nov	2,550	3,375		8312015	11152021
44256PCM3	HOWARD CNTY MD MUNI BND GO			1FE	1,161,540	1,136,080	1,000,000.00	1,123,087.03	12,992.97		(26,692.04	)	—	—		5.0000	1.2601	Feb-Aug	6,388.89	50,000		8272015	2152020
44266RAC1	HOWARD HUGHES MEDICAL IN MUNITAX BND REV			1FE	1,011,949.5	1,034,753.98	950,000.00	1,007,018.37	27,735.61		(4,931.13	)	—	—		3.5000	2.5480	Mar-Sep	2,770.83	19,211.11		1292016	9012023
G463NBBT9	HSBC BANK PLC SENIOR CORP BND	F			3,693,081	3,691,075.12	3,700,000.00	3,697,697.2	(6,622.08	)	1,043.67		—	—		1.5000	1.5390	May-Nov	20,966.67	27,750		5082013	5152018
40428HPJ5	HSBC BANK USA INC SENIOR CORP BND			1FE	938,383.2	955,214.75	940,000.00	939,333.9	15,880.85		242.21		—	—		2.6250	2.6620	Mar-Sep	479.79	24,675.02		9172013	9242018
404280AR0	HSBC HOLDINGS PLC CAPSEC CORP BND	F	1	2FE	5,585,000	5,520,828.35	5,585,000.00	5,585,000	(64,171.65	)	—		—	—		5.6250	5.6250	Jan-Jul	64,576.57	314,156.28		9102014
404280BC2	HSBC HOLDINGS PLC CAPSEC CORP BND	F	1	2FE	210,000	219,993.9	210,000.00	210,000	9,993.9		—		—	—		6.8750	6.8745	Jun-Dec	4,812.5	3,403.13		5242016	12312049
404280AN9	HSBC HOLDINGS PLC SENIOR CORP BND	F		1FE	785,947.5	796,212.33	750,000.00	781,446.23	14,766.1		(3,858.36	)	—	—		4.0000	3.1630	Mar-Sep	83.33	30,000		11102015	3302022
404280AY5	HSBC HOLDINGS PLC SENIOR CORP BND	F		1FE	4,319,593.75	4,392,062.72	4,325,000.00	4,319,948.07	72,114.65		444.75		—	—		2.9500	2.9771	May-Nov	44,655.63	11,283.75		5182016	5252021
404280BG3	HSBC HOLDINGS PLC SENIOR CORP BND	F		1FE	4,200,000	4,220,958.04	4,200,000.00	4,200,000	20,958.04		—		—	—		—	2.3579	J-A-J-O	—	—		9282016	1052022
404280AP4	HSBC HOLDINGS PLC SUB CORP BND	F		1FE	1,810,567.5	1,785,061.55	1,750,000.00	1,798,514.37	(13,452.82	)	(24,321.96	)	—	—		4.2500	3.8191	Mar-Sep	3,512.15	439,019.1		6272014	3142024
404280AU3	HSBC HOLDINGS PLC SUB CORP BND	F		1FE	2,975,400	3,069,705.52	3,000,000.00	2,977,659.68	92,045.84		1,524.36		—	—		4.2500	4.3520	Feb-Aug	15,229.16	127,500		8102015	8182025
G463CFAA4	HSBC HOLDINGS PLC SUB CORP BND	D	1	1FE	1,434,428	1,151,635.74	850,000.00	1,359,424.95	6,357.36		(31,349.98	)	—	(214,146.57	)	6.3750	2.6980	October	67,120.1	(6,492.82	)	7262016	10182022
40428HPK2	HSBC USA INC SENIOR CORP BND				1,500,000	1,500,889.5	1,500,000.00	1,500,000	889.5		—		—	—		1.7367	1.7367	M-J-S-D	361.82	49,571.11		9172013	9242018

40428HPN6	HSBC USA INC SENIOR CORP BND			1FE	299,817	303,503.68	300,000.00	299,883.4	3,620.28		26.74		—	—		2.3750	2.3880	May-Nov	2,731.25	3,562.5	11052014	11132019
40428HPR7	HSBC USA INC SENIOR CORP BND			1FE	991,760	1,008,106.08	1,000,000.00	993,373.94	14,732.14		1,654.01		—	—		2.3500	2.5531	Mar-Sep	1,697.22	39,670.94	11122015	3052020
C4426EAH7	HUDSONS BAY CO SECURED TERM LOAN	A	2	4FE	705,393.88	711,242.62	708,938.57	705,894.42	5,348.2		379.94		—	—		—	0.0708	F-M-A-N	—	8,805.71	8142015	9302022
BRT0EZ7R0	HUNTSMAN INTL LLC SECURED TERM LOAN		1	3FE	608,536.92	615,799.6	611,594.88	608,732.85	7,066.75		211.31		—	—		—	0.0711	M-J-S-D	—	12,758.79	3242016	4012023
C4438BAC0	HUSKY INJECTION MOLDING SYS LT SENIOR SE	A	2	4FE	374,108.2	374,930.84	375,988.12	374,700.41	230.43		214.61		—	—		—	0.0713	M-J-S-D	—	12,224.11	6262014	6302021
BRSSNVRZ9	HVFII_15-1 ABS_15-1 B		2		2,999,848.2	3,051,171	3,000,000.00	2,999,861.29	51,309.71		(6.19	)	—	—		3.5200	3.5459	Monthly	1,760	79,200	4072015	5252021
44421LAA0	HY_16-10HY LCF SENIOR CMBS 16-10HY 144A		2	1FE	2,059,851.84	2,031,428.2	2,000,000.00	2,059,279.69	(27,851.49	)	(572.15	)	—	—		2.8350	2.5004	Monthly	4,725	1,260	8082016	8102038
44891AAE7	HYUNDAI CAPITAL AMERICA SENIOR CORP BND			2FE	6,995,170	7,139,881	7,000,000.00	6,996,006.7	143,874.3		1,089.22		—	—		2.5000	2.5240	Mar-Sep	6,319.44	115,833.33	3142016	3182019
44891AAG2	HYUNDAI CAPITAL AMERICA SENIOR CORP BND			1FE	2,997,870	3,017,124	3,000,000.00	2,998,074.04	19,049.96		244.06		—	—		2.0000	2.0239	Jan-Jul	18,000	4,222.22	6072016	7012019
452227FG1	ILLINOIS ST SALES TAX REV MUNITAX BND RE			1FE	4,100,000	4,125,707	4,100,000.00	4,100,000	25,707		—		—	—		1.5600	1.5600	Jun-Dec	18,832.67	31,980	9292015	6152017
G4721VAY0	IMPERIAL TOBACCO FIN PLC CORP BND	D		2FE	705,322.77	576,598.72	400,000.00	673,812.37	12,983.29		(17,572.96	)	—	(110,196.95	)	6.2500	2.2024	December	26,796.32	—	10302015	12042018
BRSMHGLN5	IMS HEALTH INCORPORATED IMS HEALTH INCOR		2	3FE	4,386,029.87	4,409,503.5	4,394,855.45	4,389,200.73	20,302.77		983.25		—	—		—	0.0310	M-J-S-D	—	117,320.78	10012015	3172021
454795DQ5	IN HLTH CLARIAN MUNI BND REV		1	1FE	405,442	390,188.65	365,000.00	383,226.91	6,961.74		(8,406.78	)	—	—		5.2500	2.0303	May-Nov	7,984.38	9,581.25	4102008	11012024
454795DR3	IN HLTH CLARIAN MUNI BND REV		1	1FE	381,825.5	374,153.5	350,000.00	364,420.5	9,733		(6,609.03	)	—	—		5.2500	2.5784	May-Nov	7,656.25	9,187.5	4102008	11012025
45505UAH1	INDIANA ST FINANCE AUTHORITY MUNI BND RE			1FE	2,301,800	2,160,120	2,000,000.00	2,155,786.67	4,333.33		(54,975.23	)	—	—		5.0000	1.2040	May-Nov	41,666.67	50,000	3202008	11012018
BRT53G306	INEOS STYROLUTION US HOLDING L SENIOR SE				87,665.2	88,259.92	88,105.73	87,665.2	594.72		—		—	—		4.7500	4.8655	M-J-S-D	—	—	9152016	9302021
BRSTTYU57	INEOS US FINANCE LLC SENIOR SECURED TERM			3FE	4,190,031.43	4,238,062.21	4,230,130.72	4,196,181.45	41,880.76		6,445.70		—	—		—	0.2393	M-J-S-D	—	99,462.94	8012016	12152020
BRSJFKKC0	INFOR US INC SENIOR SECURED TERM NOTES		2	4FE	989,244.14	979,969.98	989,244.14	989,244.14	(9,274.16	)	—		—	—		—	—	F-M-A-N	—	28,721.2	5242013	6032020
BRSLNXDD4	INFOR US INC SENIOR SECURED TERM NOTES		2	4FE	1,347,313.53	1,347,863.65	1,358,537.68	1,351,376.09	(3,512.44	)	1,557.58		—	—		—	0.1419	M-J-S-D	—	39,443.81	7312014	6032020
N4R203EJ2	ING BANK NV SENIOR BND CORP EMTN	D		1FE	868,563.04	654,012.27	500,000.00	822,870.27	1,462.91		(12,694.04	)	—	(170,320.91	)	3.8750	1.7603	December	19,460.6	—	1022014	12232016
449786BD3	ING BANK NV SENIOR CORP BND 144A	F			387,336.95	392,537.95	385,000.00	386,831.56	5,706.39		(434.09	)	—	—		2.5000	2.3349	Apr-Oct	4,812.5	4,812.5	11132015	10012019
449786BG6	ING BANK NV SENIOR CORP BND 144A	F		1FE	5,000,000	5,002,615	5,000,000.00	5,000,000	2,615		—		—	—		1.4270	1.4270	F-M-A-N	9,315.14	—	8082016	8152019
44987CAB4	ING BANK NV SENIOR CORP BND 144A	F		1FE	3,529,556.1	3,547,205.23	3,535,000.00	3,532,315.93	14,889.3		1,347.28		—	—		1.8000	1.8530	Mar-Sep	2,651.25	63,630	3102015	3162018
44987DAN6	ING BANK NV SENIOR CORP BND EMTN	F			3,249,057.5	3,297,320	3,250,000.00	3,249,217.79	48,102.21		160.29		—	—		2.3000	2.3101	Mar-Sep	1,868.75	37,375	3152016	3222019
44987CAE8	ING BANK NV SENIOR CORP BND MTN 144A	F		1FE	2,748,322.5	2,769,755.15	2,750,000.00	2,748,938.2	20,816.95		412.85		—	—		2.0500	2.0711	Feb-Aug	6,890.28	56,375	8102015	8172018
N6088VDF2	ING BANK NV SUB CORP BND	D	1	1FE	1,397,050.51	1,112,471.6	800,000.00	1,331,900.72	1,199.82		(40,556.29	)	—	(220,628.94	)	6.8750	2.5260	May	24,467.47	102,825.59	6122015	5292023
45687AAL6	INGERSOLL-RAND GLOBAL HOLDING SENIOR COR			2FE	2,989,816.8	3,044,758.09	2,964,000.00	2,977,291.94	67,466.15		(4,193.74	)	—	—		2.8750	2.6714	Jan-Jul	17,989.84	85,215	6162014	1152019
456873AA6	INGERSOLL-RAND LUXEMBOURG FINA SENIOR CO	F	1	2FE	1,502,730	1,524,232.19	1,500,000.00	1,501,815.31	22,416.88		(362.62	)	—	—		2.6250	2.5889	May-Nov	16,406.25	19,687.5	10242014	5012020
458140AQ3	INTEL CORPORATION SENIOR CORP BND			1FE	2,023,096.5	2,093,724.73	2,025,000.00	2,023,522.91	70,201.82		394.47		—	—		2.4500	2.4701	Jan-Jul	8,544.38	97,183.34	9292015	7292020
458140AW0	INTEL CORPORATION SENIOR CORP BND		1	1FE	4,991,200	5,016,717.9	5,000,000.00	4,991,820.82	24,897.08		620.82		—	—		1.7000	1.7369	May-Nov	31,166.67	—	5122016	5192021
4581X0BV9	INTER AMERICAN DEV BK CORP BND	F		1FE	2,009,980	2,003,040	2,000,000.00	2,001,569.22	1,470.78		(2,558.69	)	—	—		1.1250	0.9520	Mar-Sep	1,000	22,500	9162015	3152017
458182DT6	INTER-AMERICAN DEV BANK CORP BND	F		1	2,050,000	2,049,446.5	2,050,000.00	2,050,000	(553.5	)	—		—	—		0.8754	0.8754	M-J-S-D	947.17	9,744.13	9052013	9122018
45818WAT3	INTER-AMERICAN DEV BANK CORP BND EMTN	F			5,000,000	4,993,600.1	5,000,000.00	5,000,000	(6,399.9	)	—		—	—		0.8471	0.8471	M-J-S-D	1,294.2	22,955.79	6132014	6202018
459200HC8	INTERNATIONAL BUSINESS MACHINE CORP BND			1FE	2,588,482	2,604,082	2,600,000.00	2,599,174.42	4,907.58		2,027.06		—	—		1.2500	1.3419	Feb-Aug	4,965.27	39,460.94	2222012	2062017

459200HE4	INTERNATIONAL BUSINESS MACHINE SENIOR CO				248,777.5	253,651.56	250,000.00	249,154.44	4,497.12		233.40		—	—		1.8750	2.0081		May-Nov	1,770.83	2,343.75		7142015	5152019
459200HK0	INTERNATIONAL BUSINESS MACHINE SENIOR CO			1FE	1,149,710.1	1,159,185.84	1,155,000.00	1,153,533.48	5,652.36		801.67		—	—		1.2500	1.3450		Feb-Aug	2,125.52	14,437.5		2052013	2082018
459200HZ7	INTERNATIONAL BUSINESS MACHINE SENIOR CO			1FE	1,545,272.5	1,553,007.78	1,550,000.00	1,547,855.06	5,152.72		1,178.74		—	—		1.1250	1.2289		Feb-Aug	2,664.06	17,437.5		2032015	2062018
459200JE2	INTERNATIONAL BUSINESS MACHINE SENIOR CO			1FE	4,997,950	5,067,385.85	5,000,000.00	4,998,399.34	68,986.51		449.34		—	—		1.8000	1.8121		May-Nov	55,500	—		2162016	5172019
45950VCP9	INTERNATIONAL FINANCE CO CORP BND	F			251,581.68	252,010.05	252,000.00	251,982.8	27.25		105.09		—	—		0.6250	0.6810		May-Nov	595	787.5		11052013	11152016
459058FK4	INTL BANK FOR RECONSTR & DEVP SENIOR COR	F		1FE	7,698,383	7,659,190.08	7,700,000.00	7,698,485	(39,294.92	)	102.00		—	—		0.8750	0.8820		Feb-Aug	8,609.02	5,988.89		7062016	8152019
G4804LAA4	INTRCONT HOTELS LOCAL BND	D		2FE	1,192,373.75	851,950.67	650,000.00	1,086,352.1	1,181.17		(32,550.81	)	—	(235,582.59	)	6.0000	1.8820		December	41,110.16	—		4032014	12092016
BRSQUAGJ9	ION MEDIA NETWORKS INC SENIOR SECURED TE				2,313,927	2,363,052.43	2,349,348.68	2,318,301.24	44,751.19		5,240.90		—	—		—	0.3114		M-J-S-D	—	68,379.18		3182016	12182020
46603BAB5	IVYH_14-9A MEZZANIN ABS_14-9A-B1 144A	F	2		3,938,672.8	3,899,714	4,000,000.00	3,955,458.8	(55,744.8	)	6,209.59		—	—		3.1291	3.3807		J-A-J-O	26,075.83	90,133.02		10012014	10182025
BRSKL00G7	JBS USA LLC SENIOR SECURED TERM NOTES			3FE	1,158,180	1,160,362.5	1,164,000.00	1,160,688.98	(326.48	)	655.91		—	—		—	0.0708		M-J-S-D	—	33,805.06		9272013	9182020
47787UAD5	JDOT_15-A SENIOR ABS 15-A A3		2	1FE	2,029,840.93	2,035,097.75	2,030,000.00	2,029,918.8	5,178.95		36.08		—	—		1.3200	1.3263		Monthly	1,190.93	20,097		6012015	6172019
473240EC9	JEFFERSON CNTY MO SCH DIST NO MUNITAX BN			1FE	312,726	302,613	300,000.00	302,219.94	393.06		(3,952.67	)	—	—		3.0000	1.2152		Mar-Sep	750	9,000		9212012	3012017
476576HQ9	JERSEY CITY N J MUNITAX BND GO			1FE	2,225,000	2,283,873.5	2,225,000.00	2,225,000	58,873.5		—		—	—		2.5250	2.5250		Mar-Sep	4,681.77	56,181.26		11212014	9012019
24422ERN1	JOHN DEERE CAPITAL CORP SENIOR CORP BND			1FE	2,449,289.5	2,456,296.5	2,450,000.00	2,449,934.42	6,362.08		167.14		—	—		1.4000	1.4059		Mar-Sep	1,524.45	59,132.5		2222012	3152017
24422ESF7	JOHN DEERE CAPITAL CORP SENIOR CORP BND			1FE	1,012,020	1,012,749.4	1,000,000.00	1,008,509.05	4,240.35		(3,337.37	)	—	—		1.9500	1.5549		Jun-Dec	5,850	12,864.58		10212015	12132018
24422EST7	JOHN DEERE CAPITAL CORP SENIOR CORP BND			1FE	2,578,710	2,583,961.07	2,580,000.00	2,579,438.68	4,522.39		321.87		—	—		1.3500	1.3671		Jan-Jul	7,256.25	34,830		1132015	1162018
24422ESX8	JOHN DEERE CAPITAL CORP SENIOR CORP BND			1FE	2,399,088	2,412,660.65	2,400,000.00	2,399,452.2	13,208.45		225.98		—	—		1.6000	1.6130		Jan-Jul	8,320	38,293.33		7092015	7132018
24422ETH2	JOHN DEERE CAPITAL CORP SENIOR CORP BND			1FE	1,699,711	1,739,944.53	1,700,000.00	1,699,718.85	40,225.68		7.85		—	—		2.6500	2.6519		Jun-Dec	13,890.42	—		6072016	6102026
24422ETJ8	JOHN DEERE CAPITAL CORP SENIOR CORP BND			1FE	1,596,768	1,590,731.81	1,600,000.00	1,596,827.33	(6,095.52	)	59.33		—	—		1.2500	1.3169		Apr-Oct	1,222.22	—		9062016	10092019
478111AA5	JOHNS HOPKINS HEALTH SYSTEM CO SENIOR CO			1FE	244,815	251,576.25	250,000.00	247,634.25	3,942		1,066.21		—	—		1.4240	2.0200		May-Nov	1,344.89	1,780		5012013	5152018
478115AC2	JOHNS HOPKINS UNIVERSITY CORP BND			1FE	1,750,000	1,762,888.75	1,750,000.00	1,750,000	12,888.75		—		—	—		1.4770	1.4770		Jan-Jul	6,461.88	25,847.5		2102015	7012018
478160AW4	JOHNSON & JOHNSON CORP BND			1FE	122,861.25	132,390.63	125,000.00	124,085.51	8,305.12		162.15		—	—		2.9500	3.1500		Mar-Sep	307.29	3,687.5		8122010	9012020
478160BL7	JOHNSON & JOHNSON SENIOR CORP BND			1FE	1,298,973	1,303,459.17	1,300,000.00	1,299,606.15	3,853.02		357.35		—	—		1.1250	1.1519		May-Nov	5,281.25	13,355.63		11182014	11212017
478160BM5	JOHNSON & JOHNSON SENIOR CORP BND			1FE	462,388.5	459,067.09	450,000.00	462,053.93	(2,986.84	)	(334.57	)	—	—		1.8750	1.0159		Jun-Dec	2,718.75	(1,968.75	)	8242016	12052019
478160BR4	JOHNSON & JOHNSON SENIOR CORP BND			1FE	6,589,209.2	6,589,774.23	6,590,000.00	6,589,360.82	413.41		163.37		—	—		1.1250	1.1291		Mar-Sep	6,178.14	40,440.02		2252016	3012019
418097AD3	JORDAN (HASHEMITE KINGDOM OF) AGENCY BND	F		1FE	10,000,000	10,240,390	10,000,000.00	10,000,000	240,390		—		—	—		1.9450	1.9450		Jun-Dec	52,947.23	97,250.01		6232014	6232019
46630JAC3	JP MORGAN CHASE COMMERCIAL MOR CMBS 07-		2		2,385,084.33	2,188,064.02	2,171,883.42	2,201,955.2	(13,891.18	)	(161,500.50	)	—	—		5.4200	(0.9819	)	Monthly	9,809.67	214,871.82		4082014	1152049
46641BAE3	JP MORGAN CHASE COMMERCIAL MOR PAC SENIO		2	1FE	1,217,724.61	1,215,258.78	1,125,000.00	1,214,360.39	898.39		(3,364.22	)	—	—		3.6744	1.7960		Monthly	3,444.75	3,674.39		7262016	12172046
46644FAE1	JPMBB COMMERCIAL MORTGAGE SECU PAC SENIO		2		4,059,062.5	4,192,839.96	4,000,000.00	4,053,976.75	138,863.21		(5,085.75	)	—	—		3.0420	2.7897		Monthly	10,140	58,136		3042016	10152048
46640LAB8	JPMBB COMMERCIAL MORTGAGE SECU SENIOR CM		2		2,209,382.81	2,204,649.49	2,140,000.00	2,170,929.52	33,719.97		(10,053.06	)	—	—		3.0193	2.0924		Monthly	5,384.42	48,459.78		9162014	8152046
46642EAY2	JPMBB LCF SENIOR CMBS _14-C21-A5		2	1FM	2,133,984.38	2,189,440	2,000,000.00	2,112,872.67	76,567.33		(10,329.46	)	—	—		3.7748	2.9232		Monthly	6,291.33	56,621.97		3112015	8152047
46641WAT4	JPMBB_14-C19 PRELCF SENIOR CMBS_14-C19 A		2		1,910,646.29	1,921,115.54	1,855,000.00	1,879,084.72	42,030.82		(9,756.53	)	—	—		3.0456	2.2833		Monthly	4,707.99	42,371.91		4292014	4152047
46643ABF9	JPMBB_14-C23 SENIOR CMBS 14-C23-ASB		2		5,734,531.25	5,802,289.1	5,350,000.00	5,712,394.82	89,894.28		(22,136.43	)	—	—		3.6570	2.3024		Monthly	16,304.13	51,086.28		5242016	9152047
46644FAB7	JPMBB_15-C28 SENIOR CMBS 15-C28 A2		2	1FM	3,089,994	3,107,602.2	3,000,000.00	3,063,523.05	44,079.15		(13,789.04	)	—	—		2.7733	2.1126		Monthly	6,933.25	62,399.25		4022015	10152048

46590JAW7	JPMBB_15-C36 PRELCF SENIOR CMBS_15-C36 A	2	1FM	3,089,976	3,243,607.2	3,000,000.00	3,082,395	161,212.2		(6,175.67	)	—	—	3.5982	3.2483	Monthly	8,995.5	80,959.5		10192015	11152048
12625CAL7	JPMCC SUB CMBS 13-WWP 144A	2		1,033,281.25	1,025,392.9	1,000,000.00	1,033,267.92	(7,875.02	)	(13.33	)	—	—	3.5442	2.9794	Monthly	2,953.5	(2,855.05	)	9272016	3102031
46634SAC9	JPMCC_12-C6 SENIOR CMBS 12-C6	2	1FE	853,693.75	850,079.52	790,000.00	848,112.23	1,967.29		(9,392.00	)	—	—	3.5074	0.8946	Monthly	2,309.04	10,574.83		6162016	5152045
46639EAB7	JPMCC_12-LC9 PRELCF SENIOR CMBS_12-LC9-A	2		999,194.17	1,000,173.98	997,868.87	997,650.27	2,523.71		(568.60	)	—	—	1.6769	1.5888	Monthly	1,394.44	14,761.68		10072014	12152047
46641BAB9	JPMCC_13-C16 SENIOR CMBS 13-C16	2		3,294,496.81	3,253,130.12	3,165,733.09	3,215,357.51	37,772.61		(68,132.93	)	—	—	3.0700	1.4517	Monthly	8,099	111,878.98		10302014	12152046
46642CBE9	JPMCC_14-C20 SENIOR CMBS 14-C20-A2	2		10,321,083.75	10,326,575.95	10,000,000.00	10,226,369.94	100,206.01		(47,160.10	)	—	—	2.8716	1.6172	Monthly	23,930	155,943.83		5112016	7152047
46590KAB0	JPMCC_15-JP1 SENIOR CMBS_15-JP1 A2	2	1FM	1,905,492.6	1,953,019.66	1,850,000.00	1,897,061.28	55,958.38		(8,418.83	)	—	—	3.1438	2.4812	Monthly	4,846.7	43,620.3		12152015	1152049
46644RAZ8	JPMCCMSC_15-C29 SENIOR CMBS 15-C29	2	1FM	2,059,986	2,164,200	2,000,000.00	2,052,956.42	111,243.58		(4,187.09	)	—	—	3.6108	3.2569	Monthly	6,018	54,162		6042015	5152048
46590LAR3	JPMDB_16-C2 SUPSEN SENIOR CMBS_16-C2 A2	2	1FE	999,100	1,006,152.58	970,000.00	996,911.16	9,241.42		(2,188.84	)	—	—	2.6619	1.9760	Monthly	2,151.7	7,028.88		5042016	6152049
466247E74	JPMMT CMO_06-A1 2A2	2	NR*Z*	46,097.17	40,209.2	46,061.17	46,073.78	(5,864.58	)	(313.79	)	—	—	2.9340	2.8977	Monthly	112.62	1,090.96		2062008	2252036
46643DAE7	JPMMT_14-OAK4 WHOLE CMO 14-OAK4	2		1,720,819.53	1,745,500.83	1,698,526.38	1,707,498.39	38,002.44		(14,779.21	)	—	—	3.5000	2.5921	Monthly	4,954.04	52,964.94		10072014	9252044
48127FAA1	JPMORGAN CHASE & CO CAPSEC CORP BND	1	2FE	7,726,875	7,692,750	7,800,000.00	7,729,160.44	(36,410.44	)	615.87		—	—	5.0000	5.0462	Jan-Jul	97,500	375,375		6172016	12312049
46625HJG6	JPMORGAN CHASE & CO CORP BND		1FE	7,239,770	7,291,489.58	7,250,000.00	7,248,567.28	42,922.3		784.10		—	—	1.8000	1.6989	Jan-Jul	23,925	130,500		11252014	1252018
46623EKG3	JPMORGAN CHASE & CO SENIOR CORP BND	1	1FE	2,585,000	2,594,657.28	2,585,000.00	2,585,000	9,657.28		—		—	—	2.2950	2.2950	Feb-Aug	8,734.07	—		8032016	8152021
46625HJF8	JPMORGAN CHASE & CO SENIOR CORP BND		1FE	8,620,000	8,675,254.11	8,620,000.00	8,620,000	55,254.11		—		—	—	1.6145	1.6145	J-A-J-O	26,287.64	93,184.73		1172013	1252018
46625HJH4	JPMORGAN CHASE & CO SENIOR CORP BND		1FE	2,609,958	2,706,153.63	2,600,000.00	2,608,419.28	97,734.35		(894.85	)	—	—	3.2000	3.1431	Jan-Jul	15,253.33	83,200		5152015	1252023
46625HJR2	JPMORGAN CHASE & CO SENIOR CORP BND		1FE	1,518,345	1,525,340.66	1,500,000.00	1,511,061.09	14,279.57		(3,466.77	)	—	—	2.3500	2.2230	Jan-Jul	6,168.75	35,250		7132015	1282019
46625HKC3	JPMORGAN CHASE & CO SENIOR CORP BND	1	1FE	722,172.5	738,903.45	725,000.00	722,580.94	16,322.51		203.47		—	—	3.1250	3.1710	Jan-Jul	4,279.52	27,740.89		2252015	1232025
46625HLW8	JPMORGAN CHASE & CO SENIOR CORP BND	1	1FE	4,243,656	4,317,106.67	4,200,000.00	4,237,148.77	79,957.9		(4,646.70	)	—	—	2.7500	1.9612	Jun-Dec	31,441.67	46,872.22		6162016	6232020
46625HNX4	JPMORGAN CHASE & CO SENIOR CORP BND	1	1FE	299,691	305,569.47	300,000.00	299,745.16	5,824.31		43.97		—	—	2.5500	2.5721	Apr-Oct	3,230	3,825		10222015	10292020
46625HQJ2	JPMORGAN CHASE & CO SENIOR CORP BND	1	1FE	798,320	814,389.41	800,000.00	798,496.63	15,892.78		188.86		—	—	2.5500	2.5661	Mar-Sep	1,700	10,748.96		3152016	3012021
46625HQU7	JPMORGAN CHASE & CO SENIOR CORP BND	1	1FE	7,295,328	7,338,169.15	7,300,000.00	7,296,121.89	42,047.26		793.89		—	—	1.8500	1.8721	Mar-Sep	3,376.26	67,149.87		3182016	3222019
46625HRU6	JPMORGAN CHASE & CO SENIOR CORP BND	1	1FE	5,000,000	5,040,700.56	5,000,000.00	5,000,000	40,700.56		—		—	—	1.9334	1.9334	M-J-S-D	6,444.8	22,771.92		5312016	6072021
46623EKD0	JPMORGAN CHASE & CO SENIOR CORP BND MTN	1	1FE	501,405	501,912.31	500,000.00	500,711.09	1,201.22		(1,449.45	)	—	—	1.7000	1.5921	Mar-Sep	708.33	37,211.11		5222015	3012018
46625HJQ4	JPMORGAN CHASE & CO SUB CORP BND	1	3FE	3,187,500	3,345,000	3,000,000.00	3,158,253.5	186,746.5		(12,735.27	)	—	—	6.7500	5.8548	Feb-Aug	33,750	202,500		12112014	12312049
46625HJY7	JPMORGAN CHASE & CO SUB CORP BND		2FE	3,148,383.75	3,323,498.23	3,165,000.00	3,151,295.71	172,202.52		1,083.72		—	—	3.8750	3.9390	Mar-Sep	7,154.22	122,643.76		9032014	9102024
48125LRG9	JPMORGAN CHASE BANK NA SENIOR CORP BND		1FE	2,697,246	2,705,758.75	2,700,000.00	2,697,265.86	8,492.89		19.86		—	—	1.6500	1.6850	Mar-Sep	990	—		9202016	9232019
48125LRJ3	JPMORGAN CHASE BANK NA SENIOR CORP BND	1	1FE	2,000,000	2,001,320.2	2,000,000.00	2,000,000	1,320.2		—		—	—	1.4533	1.4533	M-J-S-D	645.92	—		9202016	9232019
BRSZLU5D0	KAR AUCTION SERVICES INC SENIOR SECURED	1	3FE	295,515.01	302,417.82	298,500.01	295,740.51	6,677.31		240.50		—	—	—	0.1423	M-J-S-D	—	6,788.74		3042016	3092023
487836BF4	KELLOGG COMPANY CORP BND		2FE	253,590	250,252.5	250,000.00	250,217.37	35.13		(1,270.41	)	—	—	1.8750	1.1902	May-Nov	1,744.79	2,343.75		11142011	11172016
487836BH0	KELLOGG COMPANY SENIOR CORP BND		2FE	3,027,000	3,009,180	3,000,000.00	3,006,534.03	2,645.97		(7,722.61	)	—	—	1.7500	1.4001	May-Nov	19,541.66	26,250		5152012	5172017
491674BE6	KENTUCKY UTILITIES COMPANY CORP BND	1	1FE	783,795	790,300.66	750,000.00	776,305.47	13,995.19		(4,883.93	)	—	—	3.2500	2.2866	May-Nov	10,156.25	12,187.5		9292015	11012020
49327M2F0	KEY BANK NATIONAL ASSOCIATION SENIOR COR		1FE	499,780	512,478.95	500,000.00	499,860.69	12,618.26		31.00		—	—	2.5000	2.5091	Jun-Dec	3,680.56	6,250		11182014	12152019
49327M2P8	KEY BANK NATIONAL ASSOCIATION SENIOR COR		1FE	5,999,534.8	5,977,164.44	5,985,000.00	5,999,056.78	(21,892.34	)	(478.02	)	—	—	1.6000	1.5212	Feb-Aug	10,374	(666.67	)	8222016	8222019

BRSP750D8	KEY SAFETY SYSTEMS INC SENIOR SECURED TE		2		1,175,640.88	1,191,460.82	1,179,664.18	1,176,740.14	14,720.68		746.90		—	—		—	0.0498	M-J-S-D	—	52,236.45		8132015	8292021
493267AK4	KEYCORP CAPSEC CORP BND		1	3FE	3,300,000	3,242,250	3,300,000.00	3,300,000	(57,750	)	—		—	—		5.0000	5.0000	M-J-S-D	10,083.33	—		9062016	12312049
BRT1YUAX0	KFC HOLDING CO/PIZZA HUT HOLDI SENIOR SE		1	2FE	1,757,281.34	1,778,727.23	1,766,111.89	1,757,560.01	21,167.22		300.81		—	—		—	0.0714	M-J-S-D	—	10,840.61		6022016	6162023
494074AE7	KILIMANJARO RE LIMITED CORP BND 144A	F		3	10,616,900	10,845,463.29	10,675,000.00	10,632,963.94	212,499.35		7,870.25		—	—		4.0050	4.1827	J-A-J-O	109,258.63	817,882.98		6022015	11252019
494074AF4	KILIMANJARO RE LIMITED CORP BND 144A	F			500,000	520,885	500,000.00	500,000	20,885		—		—	—		9.2500	9.3586	J-A-J-O	11,305.56	27,569.58		11102015	12062019
494074AG2	KILIMANJARO RE LIMITED CORP BND 144A	F			500,000	516,295	500,000.00	500,000	16,295		—		—	—		6.7500	6.8078	J-A-J-O	8,250	20,196.09		11102015	12062019
494368BT9	KIMBERLY-CLARK CORPORATION SENIOR CORP B			1FE	2,749,835	2,764,336.21	2,750,000.00	2,749,866.15	14,470.06		31.15		—	—		1.4000	1.4021	Feb-Aug	4,919.44	18,501.39		2172016	2152019
494550AY2	KINDER MORGAN ENERGY PARTNERS CORP BND			2FE	1,418,083	1,368,049.8	1,300,000.00	1,367,945.98	103.82		(28,975.13	)	—	—		5.9500	2.0931	Feb-Aug	9,883.61	59,103.33		8182016	2152018
494550BE5	KINDER MORGAN ENERGY PARTNERS CORP BND			2FE	1,076,880	1,093,238.45	1,000,000.00	1,074,327.76	18,910.69		(2,552.24	)	—	—		5.3000	3.2810	Mar-Sep	2,355.56	5,447.22		8032016	9152020
494550BM7	KINDER MORGAN ENERGY PARTNERS SENIOR COR		1	2FE	994,820	996,746.6	1,000,000.00	995,752.78	993.82		440.60		—	—		3.4500	3.5250	Feb-Aug	4,408.34	34,500		2242015	2152023
28336LBR9	KINDER MORGAN HOLDCO LLC CORP BND			2FE	2,428,386.4	2,312,912.04	2,140,000.00	2,284,936.51	27,975.53		(62,818.72	)	—	—		7.2500	3.0493	Jun-Dec	51,716.67	77,575		2242016	6012018
49456BAD3	KINDER MORGAN HOLDCO LLC SENIOR CORP BND			2FE	2,582,053.1	2,586,175.66	2,585,000.00	2,583,839.86	2,335.8		730.66		—	—		2.0000	2.0391	Jun-Dec	17,233.33	25,850		9292015	12012017
BRSM103T4	KINETIC CONCEPTS INC / KCI USA SENIOR SE		2	3FE	2,857,437.16	2,899,989.28	2,878,401.27	2,863,615.75	36,373.53		6,029.51		—	—		—	0.3477	J-A-J-O	—	79,824.22		4142016	5042018
496026KV6	KINGS LOC SCH DIST OHIO MUNITAX BND GO			1FE	1,250,394.5	1,233,140.85	1,165,000.00	1,210,222.18	22,918.67		(15,204.56	)	—	—		3.7500	1.9121	Jun-Dec	14,562.5	21,843.75		2212013	12012018
482485AL3	KKR_13-2A ABS 13-2A	F	2		1,000,000	1,000,704.7	1,000,000.00	1,000,000	704.7		—		—	—		3.3290	3.3410	J-A-J-O	6,103.17	—		7152016	1232026
482485AC3	KKR_13-2A ABS 13-2A 144A	F	2	1FE	1,516,800	1,585,324.8	1,600,000.00	1,540,405.52	44,919.28		8,891.11		—	—		2.5145	3.3791	J-A-J-O	7,599.38	28,484.5		10162014	1232026
BRSSW6XL8	KLOCKNER PENTAPLAST OF AMERICA SENIOR SE		2	4FE	356,307.66	358,986.67	357,200.67	356,555.17	2,431.5		141.32		—	—		—	0.0499	J-A-J-O	—	13,662.18		4232015	4282020
50048MAT7	KOMMUNALBANKEN AS SENIOR GOVT BND	F			1,096,205	1,100,440.11	1,100,000.00	1,099,235.38	1,204.73		573.88		—	—		1.0000	1.0710	Mar-Sep	152.78	11,000		9192012	9262017
BRSYEDRW3	KOMMUNEKREDIT SENIOR CORP BND	F			5,631,863.5	5,698,590.06	5,650,000.00	5,636,089.69	62,500.37		4,226.19		—	—		1.5000	1.6040	January	60,266.67	—		1062016	1152019
BRSSWB4N5	KP GERMANY ERSTE GMBH SENIOR SECURED TER	F	2		152,268.23	153,413.09	152,649.84	152,373.99	1,039.1		60.39		—	—		—	0.0499	J-A-J-O	—	5,838.53		4232015	4282020
50076QAY2	KRAFT FOODS GROUP INC CORP BND			2FE	2,371,165.54	2,389,914.76	2,375,000.00	2,374,387.23	15,527.53		768.90		—	—		2.2500	2.2886	Jun-Dec	17,218.75	35,156.25		1162013	6052017
50076QAU0	KRAFT FOODS GROUP INC SENIOR CORP BND			2FE	2,490,030	2,507,557.48	2,250,000.00	2,457,954.85	49,602.63		(32,075.15	)	—	—		5.3750	2.4890	Feb-Aug	17,132.82	48,710.93		3102016	2102020
50076QAX4	KRAFT FOODS GROUP INC SENIOR CORP BND			2FE	829,047.5	813,661.14	750,000.00	806,181.43	7,479.71		(18,346.39	)	—	—		6.1250	2.1040	Feb-Aug	4,848.96	29,689.24		3012016	8232018
423074AS2	KRAFT HEINZ FOODS CO SECURED CORP BND 14		1	2FE	4,736,250	4,961,250	4,500,000.00	4,713,791.84	247,458.16		(21,655.46	)	—	—		4.8750	4.0199	Feb-Aug	28,031.25	219,375		12162015	2152025
50077LAG1	KRAFT HEINZ FOODS CO SENIOR CORP BND			2FE	3,345,795.4	3,382,358.55	3,350,000.00	3,346,045.39	36,313.16		249.99		—	—		2.0000	2.0685	Jan-Jul	16,563.89	(9,305.56	)	8222016	7022018
50077LAJ5	KRAFT HEINZ FOODS CO SENIOR CORP BND		1	2FE	997,993.99	1,060,587.62	1,000,000.00	998,033.98	62,553.64		39.99		—	—		3.5000	3.5375	Jan-Jul	7,388.89	(3,597.22	)	8222016	7152022
D40859GT7	KREDITANSTALT FUER WIEDERAUFBA CORP BND	D		1FE	3,325,845.87	2,380,070.02	1,750,000.00	2,901,005.09	14,932.77		(93,055.98	)	—	(535,867.84	)	5.6250	1.0760	August	12,787.04	154,497.66		11132013	8252017
500769FG4	KREDITANSTALT FUER WIEDERAUFBA SENIOR CO	F		1FE	6,859,842	6,902,967	6,900,000.00	6,891,098.76	11,868.24		7,109.33		—	—		0.8750	1.0150	Mar-Sep	4,360.42	60,375		12052014	9052017
500769GL2	KREDITANSTALT FUER WIEDERAUFBA SENIOR CO	F		1FE	13,253,121.64	13,280,374.53	13,263,000.00	13,258,837.86	21,536.67		2,139.74		—	—		1.0000	1.0069	Jan-Jul	23,947.08	160,642.27		10012015	1262018
500769GS7	KREDITANSTALT FUER WIEDERAUFBA SENIOR CO	F			7,577,771	7,619,456.31	7,600,000.00	7,585,714.58	33,741.73		5,720.23		—	—		1.1250	1.2342	Feb-Aug	13,062.51	90,487.51		9162015	8062018
500769GV0	KREDITANSTALT FUER WIEDERAUFBA SENIOR CO	F			7,880,171	7,982,950.87	7,900,000.00	7,884,762.95	98,187.92		4,591.95		—	—		1.5000	1.5840	Feb-Aug	18,104.17	67,150		1052016	2062019
D3S97E4M2	KREDITANSTALT FUER WIEDERAUFBA SENIOR CO	D		1FE	1,784,115.5	1,662,808.18	1,250,000.00	1,782,906.17	26,198.77		(1,249.57	)	—	(146,296.77	)	1.1250	0.8802	December	14,124.62	(7,532.4	)	7262016	12232019
501044DD0	KROGER CO (THE) SENIOR CORP BND MTN			2FE	3,668,201.7	3,670,391.99	3,670,000.00	3,668,201.7	2,190.29		—		—	—		1.5000	1.5168	Mar-Sep	—	—		9262016	9302019
48274LAD3	KVK CLO LTD 2014-1A ABS 14-1A C 144A	F	2	1FE	729,375	725,478.75	750,000.00	733,691.78	(8,213.03	)	2,075.75		—	—		3.7170	4.1862	F-M-A-N	3,639.56	19,532.93		3132015	5152026

48274MAD1	KVK_14-2A ABS 14-2A C 144A		F	2	1FE	476,250	489,482.25	500,000.00	481,232.84	8,249.41		2,278.72		—	—		3.6801	4.4478		J-A-J-O	3,986.78	13,406.5		1262015	7152026
491552ZL2	KY ST TPK AUTH ECONOMIC MUNI BND REV			1	1FE	2,344,460	2,406,600	2,000,000.00	2,272,831.13	133,768.87		(27,339.16	)	—	—		5.0000	2.7700		Jan-Jul	25,000	100,000		9132013	7012028
502413BC0	L-3 COMMUNICATIONS CORP SENIOR CORP BND				2FE	4,369,600.73	4,384,956.15	4,385,000.00	4,380,810.82	4,145.33		4,715.23		—	—		1.5000	1.8503		May-Nov	22,473.13	32,887.5		1052015	5282017
BRSMB8NV9	LA QUINTA INTERMEDIATE HOLDING SENIOR SE			2	4FE	720,113.06	741,567.22	746,231.16	723,439.22	18,128		3,458.06		—	—		—	0.6755		F-M-A-N	—	13,023.51		1202016	4142021
50540RAR3	LABORATORY CORP OF AMER HLDGS SENIOR COR				2FE	2,147,592	2,197,046.99	2,150,000.00	2,148,361.2	48,685.79		349.44		—	—		2.6250	2.6490		Feb-Aug	9,406.25	56,437.5		12232015	2012020
50585LAC5	LAETERE RE LTD CD CASH 144A		F		1	206,250	230,267.5	250,000.00	218,953.43	11,314.07		12,703.43		—	—		—	20.5832		Monthly	—	—		5262016	6062017
50585LAA9	LAETERE RE LTD CORP BND 144A	@	F			235,000	243,495	250,000.00	239,856.68	3,638.32		4,856.68		—	—		—	6.1797		At Mat	—	—		5262016	6062017
50585LAB7	LAETERE RE LTD CORP BND 144A	@	F			226,250	239,967.5	250,000.00	233,840.98	6,126.52		7,590.98		—	—		—	10.0634		At Mat	—	—		5262016	6062017
BRT3JTAJ7	LAN_2016-1 RMBS_2016 1A		D	2		766,615	756,682.31	580,000.00	766,615	3,262.31		—		—	(13,195	)	1.4987	1.4994		F-M-A-N	1,789.32	—		7212016	12222054
BRT589W47	LANDRYS INC SENIOR SECURED TERM LOAN				4FE	851,843.05	860,044.72	856,123.67	851,843.05	8,201.67		—		—	—		4.6133	4.7264		M-J-S-D	—	—		9212016	9212023
BRSRYHP25	LAZER SPOT INC SENIOR SECURED REVOLVE NO					66,758.24	65,756.86	66,758.24	66,758.24	(1,001.38	)	—		—	—		—	—		F-M-A-N	—	4,226.52		7252016	2092021
BRSRYF745	LAZER SPOT INC SENIOR SECURED TERM NOTES					2,893,302.19	2,849,902.66	2,893,302.19	2,893,302.19	(43,399.53	)	—		—	—		—	—		F-M-A-N	—	164,374.11		2242015	2092021
BRSVAW935	LAZER SPOT MERGER SUB, INC SENIOR SECURE					308,304.95	303,680.37	308,304.95	308,304.95	(4,624.58	)	—		—	—		—	—		M-J-S-D	—	3,839.9		9232016	2092021
52109RBM2	LBUBS CMBS 07-C7			2		2,104,071.84	1,933,948.79	1,866,926.22	1,934,832.89	(884.1	)	(198,979.69	)	—	—		5.8660	(1.5269	)	Monthly	6,084.11	322,508.24		6022014	9152045
BRSY6N033	LDISCOVERY LLC SECURED TERM LOAN					2,647,983.86	2,628,123.98	2,647,983.86	2,647,983.86	(19,859.88	)	—		—	—		—	—		M-J-S-D	—	116,390.19		12222015	12212021
52349HAM5	LEE CNTY FLA HSG FIN AUTH SING MUNITAX B			1	1FE	120,434.4	120,451.2	120,000.00	120,000	451.2		—		—	—		7.0200	7.0200		Jun-Dec	2,808	5,265		6152001	12012017
52349HAN3	LEE CNTY FLA HSG FIN AUTH SING MUNITAX B			1	1FE	190,524.4	190,640.3	190,000.00	190,000	640.3		—		—	—		7.2700	7.2700		Jun-Dec	4,604.33	6,906.5		6152001	12012021
G54404AK7	LEGAL & GEN GRP PLC CAPSEC CORP BND		D	1	2FE	1,611,530.25	1,320,693.3	1,000,000.00	1,537,867.49	(1,054.66	)	(33,019.87	)	—	(216,119.53	)	6.3850	3.3442		May-Nov	34,328.43	49,250.7		1162015	12312049
854403AC6	LELAND STANFORD JR UNIV CALIF MUNI BND R				1FE	4,157,579	4,020,616.62	3,700,000.00	3,963,207.72	57,408.9		(73,804.35	)	—	—		4.7500	1.9151		May-Nov	73,229.17	87,875		9302014	5012019
BRSK5UM00	LEVEL 3 FINANCING INC SENIOR SECURED TER			2	3FE	962,682.64	973,941.11	970,000.00	966,050.36	7,890.75		1,043.92		—	—		—	0.1421		M-J-S-D	—	29,391.46		4302014	8012019
BRSHY9H24	LINDE AG SENIOR CORP BND EMTN		F			2,990,820	3,010,560.15	3,000,000.00	2,997,090.17	13,469.98		1,389.50		—	—		1.5000	1.5580		April	20,375	45,000		4102013	4182018
BRSK7RBA5	LIVE NATION ENTERTAINMENT INC SENIOR SEC			2	3FE	1,494,861.3	1,499,532.74	1,494,861.30	1,494,861.3	4,671.44		—		—	—		—	—		F-M-A-N	—	40,026.33		8262013	8172020
G4S15PP89	LLOYDS BANK PLC CORP BND EMTN		D	1	3FE	1,145,701.13	833,919.03	630,000.00	1,005,425.89	2,067.67		(58,745.55	)	—	(173,574.53	)	10.7500	2.5929		December	69,706.8	—		12042014	12162021
BRSNXV8E7	LLOYDS BANK PLC SENIOR CORP BND EMTN		D		1FE	2,099,816.92	2,101,317.36	1,560,000.00	2,099,129.72	(2,963.83	)	(687.20	)	—	5,151.47		2.7500	0.9714		Jun-Dec	17,357.62	(16,217.18	)	9262016	12092018
50208XAA0	LMC_15-CRE1 SENIOR CMBS 15-CRE1 A 144A			2		4,000,000	3,944,000	4,000,000.00	4,000,000	(56,000	)	—		—	—		2.2963	2.3067		Monthly	2,296.33	66,767.33		1282015	2222032
539830BF5	LOCKHEED MARTIN CORPORATION SENIOR CORP			1	2FE	2,996,095.2	3,012,045.76	2,920,000.00	2,990,931.56	21,114.2		(5,163.64	)	—	—		2.5000	1.8760		May-Nov	25,955.55	(3,447.22	)	6072016	11232020
539830BJ7	LOCKHEED MARTIN CORPORATION SENIOR CORP				2FE	109,811.9	111,416.31	110,000.00	109,864.51	1,551.8		228.23		—	—		1.8500	1.9089		May-Nov	723.56	26,107.63		11162015	11232018
G29330DW7	LONDON POWER NETWORKS PLC LOCAL BND		D		2FE	1,317,715.93	1,004,751.04	770,000.00	1,223,958.6	(37.35	)	(48,060.05	)	—	(219,170.21	)	5.3750	1.1570		November	47,739.8	(15,507.15	)	11272014	11112016
542799AC5	LONGPOINT RE III LTD CORP BND 144A		F	1		1,750,000	1,792,840	1,750,000.00	1,750,000	42,840		—		—	—		3.7500	3.7674		F-M-A-N	8,203.13	51,978.81		5072015	5232018
BRSSM4ZS7	LONGVIEW POWER SENIOR SECURED TERM NOTES			2	4FE	1,137,600	999,709.09	1,149,090.91	1,140,368.72	(140,659.63	)	1,514.80		—	—		—	0.1658		M-J-S-D	—	62,436.04		4082015	4132021
546398PF9	LOUISIANA PUB FACS AUTH REV MUNI BND REV				1FE	1,443,685.5	1,398,878.1	1,395,000.00	1,395,000	3,878.1		(14,161.38	)	—	—		5.0000	5.0000		Jan-Jul	17,437.5	69,750		10202006	7012018
546415S50	LOUISIANA STATE OF MUNITAX BND GO				1FE	4,779,355	4,786,147.5	4,750,000.00	4,763,671.77	22,475.73		(7,586.81	)	—	—		1.5000	1.2817		Feb-Aug	11,875	71,250		3042015	2012018
BRSXC27R4	LPL HOLDINGS INC TL SENIOR SECURED TERM				3FE	154,146.68	156,871.5	155,703.72	154,330.7	2,540.8		1,222.69		—	—		—	0.1423		M-J-S-D	—	52,111.38		11182015	11212022
54910DAA5	LSTRZ_15-6 WHOLE CMO 15-6 A 144A			2		787,604.27	780,466.69	795,380.07	789,832.55	(9,365.86	)	2,173.41		—	—		2.5232	2.9811		Monthly	1,672.43	15,818.04		5202015	5012020
502441AA6	LVMH MOET HENNESSY LOUIS VUITT SENIOR CO		F			3,041,246.5	3,057,612.8	3,050,000.00	3,048,652.96	8,959.84		1,341.89		—	—		1.6250	1.6851		Jun-Dec	12,665.98	24,781.26		6262012	6292017

54008PAA1	LWCLO_14-1A ABS _14-1A-A1 144A	F	2	1FE	415,424.61	416,480.93	416,674.64	416,010.19	470.74		347.23		—	—	2.0845	2.1858	J-A-J-O	1,640.61	7,112.07		12302014	1252024
575718AC5	MA INSTITUTE OF TECH CORP BND			1FE	1,018,330	1,029,005	1,000,000.00	1,010,921.57	18,083.43		(2,896.80	)	—	—	2.0510	1.6431	Jan-Jul	5,127.5	20,510		10212014	7012019
BRSJFJJX9	MACDERMID INCORPORATED SENIOR SECURED TE		2	4FE	1,914,646.88	1,921,975.97	1,920,174.85	1,917,042.05	4,933.92		660.87		—	—	—	0.0437	F-M-A-N	—	80,795.29		8042014	6072020
55608PAA2	MACQUARIE BANK LTD CORP BND 144A	F		1FE	5,996,040	6,081,900	6,000,000.00	5,999,654.42	82,245.58		645.52		—	—	5.0000	5.0151	Feb-Aug	32,500	300,000		9292015	2222017
56040PAT5	MAINE EDL LN AUTH MUNI BND REV			1FE	2,484,643.7	2,392,121	2,230,000.00	2,365,739.43	26,381.57		(45,198.90	)	—	—	5.5000	2.5919	Jun-Dec	40,883.34	61,325		9032014	12012018
560427KM7	MAINE HEALTH & HIGHER EDL FACS MUNI BND		2	1FE	130,534.3	130,497.9	130,000.00	130,402.51	95.39		402.85		—	—	5.2500	5.1756	Jan-Jul	1,706.25	8,137.5		7312010	7012021
562013AA0	MANATEE RE LTD CORP BND 144A	F			680,000	685,882	680,000.00	680,000	5,882		—		—	—	5.0000	5.0093	M-J-S-D	188.89	26,543.42		3232015	12222017
563469TZ8	MANITOBA PROVINCE OF CORP BND	A		1FE	2,977,080	3,008,580.33	3,000,000.00	2,984,345.23	24,235.1		6,913.15		—	—	1.1250	1.4431	Jun-Dec	11,250	16,875		12152015	6012018
563469TV7	MANITOBA PROVINCE OF UNSEC CORP BND	A		1FE	3,009,090	3,046,980.06	3,000,000.00	3,007,642.82	39,337.24		(1,447.18	)	—	—	1.7500	1.6518	May-Nov	17,645.83	10,062.5		3162016	5302019
55279HAF7	MANUFACTURERS AND TRADERS TRUS SENIOR CO		1	1FE	6,047,701	6,058,652.11	6,050,000.00	6,049,365.95	9,286.16		733.44		—	—	1.4000	1.4130	Jan-Jul	15,528.34	112,466.67		7222014	7252017
55279HAJ9	MANUFACTURERS AND TRADERS TRUS SENIOR CO		1	1FE	246,135	252,259.68	250,000.00	246,759.71	5,499.97		624.71		—	—	2.1000	2.5061	Feb-Aug	802.08	2,756.25		1222016	2062020
BRSX2BJ50	MARCO INC SENIOR SECURED TERM LOAN				3,650,419.29	3,623,041.15	3,650,419.29	3,650,419.29	(27,378.14	)	—		—	—	—	—	M-J-S-D	—	136,853.31		10302015	10292021
BRSX2BJB7	MARCO INC SENIOR SECURED TERM LOAN				40,764.03	40,458.3	40,764.03	40,764.03	(305.73	)	—		—	—	—	—	M-J-S-D	—	3,447.85		9272016	10302020
BRSX2BJ84	MARCO INC SENIOR SECURED TERM NOTES				1,222,921.03	1,213,749.12	1,222,921.03	1,222,921.03	(9,171.91	)	—		—	—	—	—	M-J-S-D	—	10,490.39		8052016	10302020
BRT4ECA65	MARKET RE LTD				10,000,000	10,000,000	10,000,000.00	10,000,000	—		—		—	—	8.0000	8.0823	M-J-S-D	51,111.11	—			5302017
570850KA4	MARLBORO TWP N J BRD ED MUNITAX BND GO			1FE	1,492,545	1,510,665	1,500,000.00	1,496,432.63	14,232.37		1,466.32		—	—	1.5260	1.6616	Jan-Jul	4,832.33	22,890		3062013	7152018
571903AR4	MARRIOTT INTERNATIONAL INC SENIOR CORP B		1	2FE	3,689,698.35	3,724,246.37	3,705,000.00	3,690,492.37	33,754		794.02		—	—	2.3000	2.3789	Jan-Jul	26,274.63	—		6072016	1152022
574218A86	MARYLAND ST HEALTH & HIGHER ED MUNITAX B			1FE	400,000	410,404	400,000.00	400,000	10,404		—		—	—	2.0790	2.0790	Jan-Jul	2,079	5,751.9		10092015	7012021
575831CJ9	MASSACHUSETTS ST COLLEGE BLDG MUNI BND R		1	1FE	1,103,611.6	1,111,528.6	910,000.00	1,092,571.87	18,956.73		(11,039.73	)	—	—	5.0000	2.3996	May-Nov	27,300	(758.33	)	2252016	5012031
57586NWY3	MASSACHUSETTS ST HSG FIN AGY MUNITAX BND			1FE	1,395,000	1,396,185.75	1,395,000.00	1,395,000	1,185.75		—		—	—	1.8500	1.8500	Jun-Dec	8,602.5	13,582.09		3182015	6012018
57587ABR8	MASSACHUSETTS ST HSG FIN AGY MUNITAX BND			1FE	497,465	515,925	500,000.00	498,412.01	17,512.99		356.25		—	—	2.6080	2.7134	Jun-Dec	4,346.67	6,520		2262014	12012019
576049CK4	MASSACHUSETTS ST WTR RES AUTH MUNI BND R		2	1FE	1,425,454.1	1,350,743.95	1,255,000.00	1,357,529.09	(6,785.14	)	(75,171.27	)	—	—	6.5000	3.4026	Jan-Jul	17,221.39	112,775		10292008	7152019
577081BA9	MATTEL INC SENIOR CORP BND		1	2FE	329,610.6	330,838.97	330,000.00	329,621.41	1,217.56		10.81		—	—	2.3500	2.3750	Feb-Aug	1,206.33	—		8022016	8152021
BRSJD2Z02	MCC IOWA LLC SENIOR SECURED TERM LOAN		2	3FE	3,116,183.18	3,124,949	3,116,183.18	3,116,183.18	8,765.82		—		—	—	—	—	F-M-A-N	—	101,917.14		10012015	1292021
58013MEE0	MCDONALDS CORP CORP BND			2FE	1,072,930	1,057,245.64	1,000,000.00	1,047,284.66	9,960.98		(58,547.97	)	—	—	5.3500	1.9500	Mar-Sep	4,458.33	141,983.06		12152015	3012018
58013MEW0	MCDONALDS CORP SENIOR CORP BND			2FE	284,860.35	289,461.23	285,000.00	284,897.23	4,564		(107.35	)	—	—	2.1000	2.1170	Jun-Dec	1,895.25	17,094.59		12022015	12072018
58013MEX8	MCDONALDS CORP SENIOR CORP BND		1	2FE	658,779	684,080.64	660,000.00	658,966.04	25,114.6		265.47		—	—	2.7500	2.7899	Jun-Dec	5,646.67	18,799.31		12022015	12092020
58013MET7	MCDONALDS CORP SENIOR CORP BND MTN		1	2FE	407,780	407,965.58	400,000.00	407,244.25	721.33		(535.75	)	—	—	2.2000	1.6739	May-Nov	3,055.56	(660	)	6202016	5262020
55279EAE7	MCFCL_13-1A MEZZANIN ABS_13-1A C 144A		2	1FE	249,750	240,450.3	250,000.00	249,822.08	(9,371.78	)	36.58		—	—	4.2456	4.2867	J-A-J-O	2,152.28	7,752.57		5192015	4202023
BRT195N68	MCGRAW-HILL GLOBAL EDUCATION H SENIOR SE		1	4FE	1,382,757.34	1,395,959.56	1,389,705.88	1,383,211.24	12,748.32		471.31		—	—	—	0.0826	M-J-S-D	—	27,532.3		5022016	5042022
56577AAC6	MCLO_14-7A ABS _14-7A-A2 144A	F	2	1FE	3,976,000	3,999,806.8	4,000,000.00	3,981,910.39	17,896.41		2,296.61		—	—	3.3930	3.5001	J-A-J-O	24,505	96,675.09		10302014	10282025
585055BS4	MEDTRONIC INC MEDTRONIC INC			1FE	777,493.21	808,207.06	750,000.00	774,767.82	33,439.24		(1,897.86	)	—	—	3.5000	3.0539	Mar-Sep	1,166.67	26,250		9022015	3152025
585055BA3	MEDTRONIC INC SENIOR CORP BND			1FE	3,444,825	3,458,465.5	3,450,000.00	3,448,414.24	10,051.26		778.61		—	—	1.3750	1.4061	Apr-Oct	23,718.75	23,718.75		3192013	4012018
585055BB1	MEDTRONIC INC SENIOR CORP BND			1FE	2,996,910	2,999,700	3,000,000.00	2,999,578.22	121.78		777.48		—	—	0.8750	0.9099	Feb-Aug	2,479.17	26,250		2202014	2272017

585055BG0	MEDTRONIC INC SENIOR CORP BND			1FE	11,307,550.95	11,388,837.84	11,035,000.00	11,274,506.07	114,331.77		(33,044.88	)	—	—	2.5000	1.7477		Mar-Sep	12,261.1	129,477.44		5042016	3152020
585055BR6	MEDTRONIC INC SENIOR CORP BND			1FE	519,650	529,750.75	500,000.00	518,006.54	11,744.21		(1,643.46	)	—	—	3.1500	2.4409		Mar-Sep	700	7,743.75		3152016	3152022
58769BAE4	MERCEDES-BENZ AUTO RECEIVABLES SENIOR AB		2		4,309,042.32	4,320,775	4,310,000.00	4,309,052.21	11,722.79		9.89		—	—	1.4600	1.4701		Monthly	2,971.51	—		9092016	12152022
58769BAF1	MERCEDES-BENZ AUTO RECEIVABLES SENIOR AB		2	1FE	1,734,928.35	1,735,234.23	1,735,000.00	1,734,930.54	303.69		2.19		—	—	1.1100	1.1155		Monthly	909.43	—		9092016	3152019
58933YAG0	MERCK & CO INC SENIOR CORP BND			1FE	4,743,408.45	4,769,585.49	4,755,000.00	4,750,836.42	18,749.07		2,987.40		—	—	1.3000	1.3480		May-Nov	22,837.21	35,728.33		7172015	5182018
58933YAS4	MERCK & CO INC SENIOR CORP BND			1FE	1,592,567.45	1,621,435.56	1,595,000.00	1,593,309.76	28,125.8		363.14		—	—	1.8500	1.8880		Feb-Aug	4,180.24	29,507.5		5122015	2102020
59012UAA3	MERNA REINSURANCE LTD CORP BND 144A	F			3,625,000	3,640,188.75	3,625,000.00	3,625,000	15,188.75		—		—	—	2.2500	2.2563		M-J-S-D	226.56	73,943.08		3162015	4092018
59022CCS0	MERRILL LYNCH & CO. INC. CORP BND			2FE	1,943,287.5	1,791,895	1,750,000.00	1,790,753.62	1,141.38		(51,383.52	)	—	—	5.7000	1.6939		May-Nov	41,285.42	49,875		6262014	5022017
59163PHV8	METRO ORE MUNI BND GO			1FE	366,863.25	360,291.75	325,000.00	360,118.65	173.1		(6,744.60	)	—	—	5.0000	0.8897		Jun-Dec	8,440.97	—		3142016	6012019
59261EAE9	METROPOLITAN TRANS AUTH N Y MUNITAX BND			1FE	16,629,940	16,931,626.9	16,645,000.00	16,636,142.56	295,484.34		2,339.00		—	—	1.8480	1.9034		Jan-Jul	76,899.9	307,599.6		9232014	7012019
BRT0NP404	MGM RESORTS INTERNATIONAL SENIOR SECURED		1	4FE	868,448.44	877,971.33	870,625.00	868,582.31	9,389.02		144.81		—	—	—	0.0353		M-J-S-D	—	15,172.09		4072016	4252023
62405QAJ2	MHAWK_13-1A ABS_13-1A C	F	2	1FE	1,203,125	1,217,605.88	1,250,000.00	1,216,432.04	1,173.84		6,236.93		—	—	3.4156	4.2188		J-A-J-O	8,657.6	30,866.3		2112015	1202024
59334DHN7	MIAMI DADE CNTY FLA MUNI BND REV		1	1FE	1,146,570	1,207,460	1,000,000.00	1,117,402.83	90,057.17		(11,101.03	)	—	—	5.0000	3.1200		Apr-Oct	25,000	25,000		9172013	10012028
BRT56C9J5	MICHAELS STORES INC SENIOR SECURED TERM		1	3FE	3,428,983.37	3,443,135.64	3,430,272.12	3,428,983.93	14,151.71		0.56		—	—	—	0.0071		M-J-S-D	—	3,073.24		9302016	1302023
594615DN3	MICHIGAN ST BLDG AUTH MUNI BND REV			1Z	415,003.58	398,547.8	380,000.00	398,777.33	(229.53	)	(13,472.10	)	—	—	5.5000	0.7142		Apr-Oct	9,637.22	10,450		10302015	10152017
594615FZ4	MICHIGAN ST BLDG AUTH MUNI BND REV			6*	129,008.47	125,869.2	120,000.00	128,613.37	(2,744.17	)	(395.10	)	—	—	5.5000	(1.3375	)	Apr-Oct	3,043.33	—		9142016	10152017
594615GC4	MICHIGAN ST BLDG AUTH MUNI BND REV			1FE	2,624,942.96	2,616,300	2,500,000.00	2,619,544.8	(3,244.8	)	(5,398.16	)	—	—	5.5000	0.8661		Apr-Oct	63,402.78	(56,909.72	)	9142016	10152017
5946103D7	MICHIGAN STATE OF MUNI BND GO		1	1FE	2,308,400	2,180,400	2,000,000.00	2,159,433.3	20,966.7		(56,139.92	)	—	—	5.2500	1.3575		May-Nov	43,750	52,500		10292008	11012022
5946106P7	MICHIGAN STATE OF MUNI BND GO			1FE	1,652,295	1,629,735	1,500,000.00	1,604,640.17	25,094.83		(24,586.40	)	—	—	3.9900	1.6602		May-Nov	24,937.5	29,925		4142015	11012019
BRSY0Y6K1	MICROSEMI CORPORATION SECURED TERM NOTES		1	3FE	932,122.89	969,359.77	960,951.44	934,912.75	34,447.02		44,003.51		—	—	—	0.4308		M-J-S-D	—	74,042.84		12172015	1152023
594918AS3	MICROSOFT CORP SENIOR CORP BND			1FE	2,093,680.15	2,094,030.27	2,095,000.00	2,094,574.34	(544.07	)	198.67		—	—	1.0000	1.0130		May-Nov	8,729.17	10,475		4252013	5012018
594918AV6	MICROSOFT CORP SENIOR CORP BND			1FE	646,249.5	657,618.73	650,000.00	648,324.76	9,293.97		561.02		—	—	1.6250	1.7460		Jun-Dec	3,374.13	5,281.25		12032013	12062018
594918BA1	MICROSOFT CORP SENIOR CORP BND		1	1FE	2,099,307	2,162,334.79	2,100,000.00	2,099,467.51	62,867.28		69.22		—	—	2.3750	2.3801		Feb-Aug	6,788.54	49,875		3032015	2122022
594918BF0	MICROSOFT CORP SENIOR CORP BND			1FE	3,301,848	3,312,941.48	3,300,000.00	3,301,294.56	11,646.92		(376.69	)	—	—	1.3000	1.2809		May-Nov	17,636.67	45,819.94		10302015	11032018
594918BG8	MICROSOFT CORP SENIOR CORP BND		1	1FE	563,794	561,224.83	550,000.00	563,503.66	(2,278.83	)	(290.34	)	—	—	2.0000	1.3661		May-Nov	4,522.22	(3,544.44	)	8242016	11032020
594918BN3	MICROSOFT CORP SENIOR CORP BND			1FE	5,794,026	5,779,497	5,800,000.00	5,794,314.09	(14,817.09	)	288.09		—	—	1.1000	1.1350		Feb-Aug	9,392.78	—		8012016	8082019
595620AJ4	MIDAMERICAN ENERGY CO SECURED CORP BND		1	1FE	839,529.6	861,590.31	840,000.00	839,781.29	21,809.02		64.02		—	—	2.4000	2.4110		Mar-Sep	896	20,160		9122013	3152019
BRSKQD5K0	MISSION BROADCASTING INC. SECURED TERM L		2		1,140,265.54	1,138,871	1,140,265.54	1,140,265.54	(1,394.54	)	—		—	—	—	—		M-J-S-D	—	39,736.36		12172013	10012020
60636YGY1	MISSOURI ST HSG DEV COMMN MUNITAX BND RE			1FE	552,601.5	553,267	550,000.00	551,016.58	2,250.42		(601.22	)	—	—	1.7000	1.5501		Jan-Jul	2,337.5	9,350		10172012	1012018
606822AA2	MITSUBISHI TOKYO FINANCIAL GRP SENIOR CO	F		1FE	1,093,720.32	1,127,446.28	1,096,000.00	1,093,969.18	33,477.1		380.89		—	—	2.9500	2.9951		Mar-Sep	2,694.33	26,317.28		2232016	3012021
60687YAF6	MIZUHO FINANCIAL GROUP SENIOR CORP BND	F		1FE	5,000,000	5,003,250.1	5,000,000.00	5,000,000	3,250.1		—		—	—	1.9922	1.9922		M-J-S-D	4,980.56	—		9072016	9132021
BRT5HV7S3	MOHEGAN TRIBAL GAMING SENIOR SECURED TER			4FE	2,516,949.15	2,516,949.15	2,542,372.88	2,516,949.15	—		—		—	—	—	0.1469		M-J-S-D	—	—		9302016	9302023
60871RAE0	MOLSON COORS BREWING CO SENIOR CORP BND			2FE	3,148,425	3,139,155.79	3,150,000.00	3,148,544.1	(9,388.31	)	278.21		—	—	1.4500	1.4669		Jan-Jul	10,657.49	14,565.66		6282016	7152019
60871RAF7	MOLSON COORS BREWING CO SENIOR CORP BND		1	2FE	4,343,348.9	4,346,235.5	4,345,000.00	4,343,422.5	2,813		86.69		—	—	2.1000	2.1080		Jan-Jul	21,290.5	3,832.5		6282016	7152021

BRSHTM755	MONEYGRAM INTL INC SENIOR SEC TERM NOTES		2		3,486,928.21	3,455,488.08	3,571,563.90	3,502,574.07	(47,085.99	)	8,408.69		—	—		—	0.5467		M-J-S-D	—	98,595.82		7072016	3272020
BRSSLXJH6	MONITRON INTL SENIOR SECURED TERM NOTES				477,975.36	478,876.07	480,377.25	478,478.29	397.78		268.57		—	—		—	0.0708		M-J-S-D	—	16,494.42		4022015	4082022
61763KBA1	MORGAN STANLEY BAML TRUST MSBA SENIOR CM		2	1FM	399,726.56	419,122.5	375,000.00	396,517.75	22,604.75		(3,244.68	)	—	—		4.0510	3.1318		Monthly	1,265.93	19,610.69		7302015	4152047
61754JAF5	MORGAN STANLEY CAPITAL I CMBS 07-T27 A4		2		734,872.97	667,433.14	653,833.39	665,233.55	2,199.59		(61,154.99	)	—	—		5.6421	(0.2341	)	Monthly	3,170.03	131,966.56		4112014	6112042
61761JQK8	MORGAN STANLEY CAPSEC CORP BND		1	3FE	7,295,765	7,259,062.5	7,250,000.00	7,277,502.56	(18,440.06	)	(6,753.15	)	—	—		5.4500	5.3091		Jan-Jul	83,415.28	395,125		1132015	7292049
61747WAL3	MORGAN STANLEY CORP BND			1FE	2,254,140	2,281,462.4	2,000,000.00	2,205,285.37	76,177.03		(29,222.38	)	—	—		5.5000	3.1869		Jan-Jul	19,250	110,000		6232015	7282021
U6176TBG2	MORGAN STANLEY CORP BND	O		1FE	1,198,165.7	924,985.43	700,000.00	1,116,606.09	1,823.95		(33,863.13	)	—	(193,444.62	)	5.7500	1.5676		February	32,856.54	61,960.85		12032014	2142017
6174466Q7	MORGAN STANLEY CORP BND MTN			1FE	112,513	107,295.49	100,000.00	106,996.39	299.1		(5,483.41	)	—	—		6.6250	1.8731		Apr-Oct	3,312.5	8,833.33		7092015	4012018
617474AA9	MORGAN STANLEY CORP BND X		1		2,400,000	2,454,000	2,400,000.00	2,400,000	54,000		—		—	—		5.5500	5.5500		Jan-Jul	28,120	133,200		2012016
6174467U7	MORGAN STANLEY SENIOR CORP BND			1FE	5,225,152.33	5,252,378.12	5,207,000.00	5,226,010.49	26,367.63		(258.04	)	—	—		2.1250	2.1400		Apr-Oct	47,947.79	13,766.87		9092016	4252018
6174468B8	MORGAN STANLEY SENIOR CORP BND			1FE	989,237.7	1,001,205.26	990,000.00	989,517.19	11,688.07		160.38		—	—		2.2000	2.2230		Jun-Dec	6,897	10,890		6032015	12072018
61746BDM5	MORGAN STANLEY SENIOR CORP BND			1FE	1,019,450	1,018,833.54	1,000,000.00	1,017,399.85	1,433.69		(2,050.15	)	—	—		2.5000	1.7290		Jan-Jul	4,652.78	2,291.67		6162016	1242019
61746BEA0	MORGAN STANLEY SENIOR CORP BND			1FE	448,488	454,580.58	450,000.00	448,615.06	5,965.52		127.06		—	—		2.5000	2.5720		Apr-Oct	5,000	—		4182016	4212021
61747YDW2	MORGAN STANLEY SENIOR CORP BND			1FE	1,913,646	1,941,729.2	1,900,000.00	1,909,715.58	32,013.62		(4,575.42	)	—	—		2.6500	2.5911		Jan-Jul	8,951.11	193,229.17		12102015	1272020
61761J3R8	MORGAN STANLEY SENIOR CORP BND			1FE	1,489,800	1,511,105.81	1,500,000.00	1,489,960.77	21,145.04		160.77		—	—		3.1250	3.2050		Jan-Jul	8,593.75	—		7202016	7272026
61761JB32	MORGAN STANLEY SENIOR CORP BND			1FE	3,700,554	3,800,545.54	3,705,000.00	3,701,644.8	98,900.74		810.72		—	—		2.8000	2.8259		Jun-Dec	30,257.49	74,865		12232015	6162020
61761JVM8	MORGAN STANLEY SENIOR CORP BND			1FE	4,859,745.8	4,887,090.99	4,865,000.00	4,862,832.49	24,258.5		1,266.37		—	—		1.8750	1.9109		Jan-Jul	21,791.15	91,218.76		12232015	1052018
61761JVN6	MORGAN STANLEY SENIOR CORP BND			1FE	850,000	851,895.56	850,000.00	850,000	1,895.56		—		—	—		1.3934	1.3934		J-A-J-O	2,895.07	8,159.33		12022014	1052018
6174467X1	MORGAN STANLEY SUB CORP BND			2FE	2,220,320	2,215,352.48	2,000,000.00	2,194,820.71	20,531.77		(13,225.28	)	—	—		5.0000	3.7330		May-Nov	35,277.78	50,000		4082015	11242025
6174824M3	MORGAN STANLEY SUB CORP BND			2FE	5,929,440	6,039,433.62	5,500,000.00	5,831,342.9	208,090.72		(35,789.32	)	—	—		4.8750	3.7580		May-Nov	111,718.75	134,062.5		8192014	11012022
BRSJV1000	MORGAN'S POINT LIMITED				23,271,696	24,660,322.69	23,271,696.00	23,271,696	1,388,626.69		—		—	—		6.0000	—		NOV	680,000	—		11122015	1312016
BRSRP3A63	MOTOR_15 -1X ABS 2015-1X A2	O	2	1FE	1,149,328.9	970,621.58	747,725.52	1,149,328.9	(673.87	)	0.18		—	(178,033.45	)	0.7463	0.7474		Monthly	99.3	10,178.04		2202015	6252022
BRT1U4MN1	MPH ACQUISITION HOLDINGS LLC SENIOR SECU		1	4FE	241,665.25	245,785.46	242,879.65	241,719.77	4,065.69		356.36		—	—		—	0.0706		M-J-S-D	—	21,589.27		5252016	6072023
61746REV9	MSAC ABS 04-H1		2	1FE	941,018.19	893,772.82	939,550.15	940,359.75	(46,586.93	)	(55.37	)	—	—		1.2653	1.2566		Monthly	165.11	8,497.42		6272016	1252034
61762DAU5	MSBAM_13-C9 SENIOR CMBS 13-C9 AAB		2		9,567,471.88	9,562,799.78	9,220,000.00	9,556,323.7	6,476.08		(11,148.18	)	—	—		2.6570	1.7017		Monthly	20,414.62	13,143.29		9072016	5152046
61763KAY0	MSBAM_14-C15 PAC SENIOR CMBS_14-C15 ASB		2		1,177,343.75	1,182,521.99	1,100,000.00	1,171,765.47	10,756.52		(5,578.28	)	—	—		3.6540	2.1435		Monthly	3,349.51	12,322.14		6222016	4152047
61763UAV4	MSBAM_14-C17 SUPSEN SENIOR CMBS 14-C17-A		2		5,109,769.53	5,105,223.74	4,900,000.00	5,028,093.82	77,129.92		(43,341.72	)	—	—		3.1190	1.8999		Monthly	12,735.92	114,623.28		9222015	8152047
61764RBF4	MSBAM_15-C20 SENIOR CMBS 15-C20 A4		2		5,149,631	5,315,198.5	5,000,000.00	5,125,391.77	189,806.73		(11,406.50	)	—	—		3.2490	2.8931		Monthly	13,537.5	121,837.5		1232015	2152048
61765LAR1	MSBAM_15-C24 SUPSEN SENIOR CMBS 15-C24 A		2	1FE	4,480,472.6	4,569,163.88	4,350,000.00	4,450,848.04	118,315.84		(19,086.12	)	—	—		3.0880	2.4429		Monthly	11,194	100,746		7242015	5152048
61690VAZ1	MSBAM_15-C26 LCF SENIOR CMBS 15-C26		2	1FM	978,475.21	1,030,779.26	950,000.00	976,046.38	54,732.88		(2,077.59	)	—	—		3.5310	3.1682		Monthly	2,795.38	25,158.42		10282015	10152048
61763MAB6	MSBAM_C16 SENIOR CMBS_14-C16 A2		2		1,905,424.71	1,910,571.41	1,850,000.00	1,876,555.22	34,016.19		(12,147.00	)	—	—		2.8490	2.1257		Monthly	4,392.21	39,529.89		6052014	6152047
61751XAE0	MSC CMBS 07-T25 A3		2		100,565.27	91,671.86	91,435.95	92,727.79	(1,055.93	)	(91,971.76	)	—	—		5.5140	(1.0499	)	Monthly	420.15	133,401.68		5222014	11122049
61751NAF9	MSC_07-HQ11 CMBS 07-HQ11 A4		2		376,971.23	343,727.84	343,213.01	344,954.89	(1,227.05	)	(41,616.76	)	—	—		5.4470	2.1221		Monthly	1,557.9	78,005.66		5282014	2122044
61760VAP8	MSC_12-C4 CMBS_12-C4 A4		2		5,541,596.09	5,517,010.65	5,180,000.00	5,538,261.67	(21,251.02	)	(3,334.42	)	—	—		3.2440	1.6719		Monthly	14,003.26	(6,837.63	)	9222016	3152045

61691BAA9	MSCBB_16-MART LCF SENIOR CMBS_16-MART A		2	1FE	3,499,986	3,506,422.5	3,500,000.00	3,499,980.61	6,441.89		(5.39	)	—	—		2.2004	2.1948		Monthly	6,417.83	(5,562.12	)	9152016	9132031
BRT3Q0CM3	MSHC INC SENIOR SECURED TERM NOTES				3,626,906.13	3,581,569.8	3,626,906.13	3,626,906.13	(45,336.33	)	—		—	—		—	—		J-A-J-O	—	48,000		7192016	7162021
61745MVW0	MSM_04-1 MSM_04-1		2	1FM	73,952.79	73,028.32	72,331.82	73,008.85	19.47		(1,194.92	)	—	—		5.0000	3.5280		Monthly	301.38	3,871.98		3092006	11252018
61759LAA6	MSRR_10-GG10 CMBS_10-GG10 A4A 144A		2	1FE	623,937.09	587,049.27	580,765.38	591,401.92	(4,352.65	)	(14,707.44	)	—	—		5.9882	(0.2616	)	Monthly	2,898.14	26,487.94		1062015	8152045
61974QAC0	MTL6_15 LCF SEN CMBS 15 MT6 A2A2 144A		2		1,500,000	1,503,858.9	1,500,000.00	1,500,000	3,858.9		—		—	—		2.6050	2.6127		Monthly	3,256.26	29,306.34		2262015	2052030
BRSQGX3A8	MUELLER WATER PRODUCTS INC SENIOR SECURE		2	3FE	476,724.78	482,513.96	479,120.35	477,320.64	5,193.32		277.49		—	—		—	0.0721		M-J-S-D	—	14,660.65		11192014	11242021
62983QAH6	NAKAMA RE LTD CORP BND 144A	F			500,000	500,675	500,000.00	500,000	675		—		—	—		3.0797	3.0805		Jan-Jul	42.77	(2.2	)	9212016	10132021
62983QAJ2	NAKAMA RE LTD CORP BND 144A	F			250,000	250,410	250,000.00	250,000	410		—		—	—		4.1328	4.1344		Jan-Jul	28.7	(3.25	)	9212016	10132021
62983QAF0	NAKAMA RE LTD SENIOR CORP BND 144A	F			14,250,000	14,321,107.5	14,250,000.00	14,250,000	71,107.5		—		—	—		3.1904	3.2030		J-A-J-O	104,697.92	217,554.92		12142015	1142021
62983QAG8	NAKAMA RE LTD SENIOR CORP BND 144A	F			500,000	513,785	500,000.00	500,000	13,785		—		—	—		3.2500	3.2573		J-A-J-O	4,152.78	8,581.41		12142015	1142021
62983QAD5	NAKAMA RE LTD UNSEC CORP BND 144A	F			1,000,000	1,000,760	1,000,000.00	1,000,000	760		—		—	—		2.3850	2.3920		J-A-J-O	6,095	16,972.63		12122014	1162019
62983QAE3	NAKAMA RE LTD UNSEC CORP BND 144A	F			1,250,000	1,275,012.5	1,250,000.00	1,250,000	25,012.5		—		—	—		3.1904	3.2029		J-A-J-O	9,184.03	28,347.8		12122014	1162020
65478VAE7	NAROT_16-B SENIOR ABS_16-B A4		2	1FE	859,998.54	864,988.01	860,000.00	859,995.95	4,992.06		(2.59	)	—	—		1.5400	1.5443		Monthly	588.62	5,082.87		4182016	10152022
63254AAB4	NATIONAL AUSTRALIA BANK LIMITE CORP BND	R		1FE	4,134,360	4,028,920.4	4,000,000.00	4,031,229.2	(2,308.8	)	(60,779.78	)	—	—		2.7500	0.9639		Mar-Sep	6,722.22	139,638.89		4092015	3092017
63254AAK4	NATIONAL AUSTRALIA BANK LIMITE SENIOR CO	R			2,799,272	2,820,700.71	2,800,000.00	2,799,556.07	21,144.64		179.73		—	—		1.8750	1.8840		Jan-Jul	9,916.67	52,500		7162015	7232018
63254AAM0	NATIONAL AUSTRALIA BANK LIMITE SENIOR CO	R			2,992,530	3,029,074.86	3,000,000.00	2,994,269.13	34,805.73		1,739.13		—	—		2.0000	2.0861		Jan-Jul	12,833.33	30,000		1062016	1142019
63254AAQ1	NATIONAL AUSTRALIA BANK LIMITE SENIOR CO	R		1FE	971,607	967,305.97	975,000.00	971,851.33	(4,545.36	)	244.33		—	—		1.3750	1.4941		Jan-Jul	2,941.93	—		7052016	7122019
6325C0CU3	NATIONAL AUSTRALIA BANK LTD SENIOR CORP	F		1FE	1,999,700	1,999,944	2,000,000.00	1,999,953.14	(9.14	)	75.34		—	—		1.2500	1.2551		Mar-Sep	972.22	25,000		3112014	3172017
63307A2C8	NATIONAL BK OF CANADA SENIOR CORP BND	A		1FE	1,648,894.5	1,669,223.77	1,650,000.00	1,649,181.93	20,041.84		404.67		—	—		2.1000	2.1232		Jun-Dec	10,298.75	31,158.75		12072015	12142018
BRSJ6L8K4	NATIONAL CNEMDIA SENIOR SECURED TERM NOT		2	3FE	1,366,621.35	1,372,937.5	1,375,000.00	1,370,697.86	2,239.64		1,022.08		—	—		—	0.0980		F-M-A-N	—	33,596.21		10182013	11262019
BRT4Z4YN7	NATIONAL GRID GAS FINANCE PLC SENIOR COR	D			1,413,166.34	1,411,369.93	1,080,000.00	1,413,188.12	10,147.15		21.78		—	(11,965.35	)	1.1250	1.1476		September	389.17	(100.76	)	9262016	9222021
G9004JAK4	NATIONAL GRID GAS PLC SENIOR CORP BND	D		1FE	627,376.01	565,027.47	420,000.00	613,359.25	1,233.48		(14,016.76	)	—	(49,565.26	)	6.0000	1.0519		June	10,403.39	5,935.44		4052016	6072017
637432NB7	NATIONAL RURAL UTILITIES COOP SECURED CO		1	1FE	998,640	1,021,387.94	1,000,000.00	999,134.59	22,253.35		198.39		—	—		2.3000	2.3289		May-Nov	8,688.89	11,500		11042014	11152019
637432NC5	NATIONAL RURAL UTILITIES COOP SECURED CO		1	1FE	1,995,840	2,019,237.52	2,000,000.00	1,997,190.79	22,046.73		608.98		—	—		2.0000	2.0440		Jan-Jul	7,111.11	40,000		12232015	1272020
637432MX0	NATIONAL RURAL UTILITIES COOP SENIOR COR		1	1FE	2,933,737.95	2,975,975.86	2,935,000.00	2,934,396.4	41,579.46		187.70		—	—		2.1500	2.1591		Feb-Aug	10,517.08	63,102.5		12232015	2012019
637432NF8	NATIONAL RURAL UTILITIES COOP SENIOR SEC		1	1FE	513,959.7	525,026.53	515,000.00	514,143.8	10,882.73		230.50		—	—		2.3000	2.3429		May-Nov	4,935.42	15,200.76		10202015	11012020
G6S17B5H5	NATIONWIDE BUILDING SOCIETY SECURED LOCA	D			738,868	678,776.34	520,000.00	738,868	3,296.34		—		—	(63,388	)	1.0035	1.0035		J-A-J-O	1,262.84	2,313.49		4132016	4252019
BRSWNA846	NAVEX GLOBAL INC SENIOR SECURED TERM LOA				7,348,556.11	7,274,328.26	7,422,783.94	7,358,811.14	(84,482.88	)	8,641.68		—	—		—	0.1443		M-J-S-D	—	406,607.38		10092015	8312022
63939EAB9	NAVSL_15-AA SENIOR ABS 15-AA A2A 144A		2	1FE	329,878.46	337,791.3	330,000.00	329,910.85	7,880.45		14.36		—	—		2.6500	2.6712		Monthly	388.67	6,558.75		1132015	12152028
63946CAB4	NBCUNIVERSAL ENTERPRISE INC SENIOR CORP			1FE	3,758,444.5	3,777,299.89	3,750,000.00	3,753,130.45	24,169.44		(1,802.58	)	—	—		1.3651	1.2966		J-A-J-O	11,091.44	68,993.87		5012014	4152018
63946CAC2	NBCUNIVERSAL ENTERPRISE INC SENIOR CORP			1FE	1,003,750	1,006,114.5	1,000,000.00	1,002,604.45	3,510.05		(1,145.55	)	—	—		1.6620	1.4901		Apr-Oct	7,663.67	3,831.83		1192016	4152018
63946BAD2	NBCUNIVERSAL MEDIA LLC CORP BND			1FE	567,190	559,976.24	500,000.00	562,468.49	(2,492.25	)	(4,721.51	)	—	—		5.1500	1.5481		Apr-Oct	10,800.69	(3,647.92	)	6162016	4302020
BRT10ZSU3	NBTY INC SENIOR SECURED TERM LOAN		1	4FE	415,667.62	419,148.78	417,756.40	415,786.32	3,362.46		123.94		—	—		—	0.0707		M-J-S-D	—	8,398.72		4262016	5052023
62889AAA1	NCUA GUARANTEED NOTES AGENCY ABS 10-A1 A		2	1	826,952.6	825,067.14	826,952.60	826,952.6	(1,885.46	)	0.16		—	—		0.8693	0.8709		Monthly	479.27	5,250.68		6102011	12072020

BRSMK3RL8	NEIMAN MARCUS GROUP INC. THE SENIOR SECU		2	4FE	2,438,684.23	2,253,356.98	2,443,609.05	2,440,367.53	(187,010.55	)	615.20		—	—		—	0.0321	M-J-S-D	—	79,072.8	7312014	10252020
BRSW6MLL6	NEPTUNE FINCO CORP SECURED TERM LOAN		1	3FE	2,969,206.73	3,014,423.08	3,014,423.08	2,975,065.84	39,357.24		4,976.48		—	—		—	0.2152	M-J-S-D	—	105,769.22	9252015	10092022
BRSH5LE30	NETWORK RAIL INFRA FIN			1FE	2,340,423.68	1,961,613.4	1,500,000.00	2,336,656.11	10,958.68		(1,620.91	)	—	(386,001.38	)	1.0000	0.9035	December	15,918.08	—		12072017
64128QAE5	NEUB_14-18A MEZZANIN ABS 14-18A 144A	F	2		500,000	500,003.95	500,000.00	500,000	3.95		—		—	—		3.9670	3.9862	F-M-A-N	2,589.57	13,970.08	3262015	11142025
64129UAL9	NEUB_17 MEZZANIN ABS 14-17A 144A	F	2	1FE	951,500	986,624.1	1,000,000.00	956,267.55	30,356.55		4,767.55		—	—		3.5276	4.4267	F-M-A-N	5,683.36	18,503.35	1132016	8042025
644682D29	NEW HAMPSHIRE ST MUNITAX BND GO			1FE	2,580,441	2,465,385	2,350,000.00	2,457,271.34	8,113.66		(55,918.07	)	—	—		4.3750	1.1188	Mar-Sep	8,567.71	102,812.5	2022015	3012018
645771XB7	NEW JERSEY BLDG AUTH MUNITAX BND REV			1FE	690,125.2	683,434	680,000.00	684,745.28	(1,311.28	)	(2,037.87	)	—	—		2.3030	1.8850	Jun-Dec	4,611.12	7,830.2	11152013	6152018
646136K83	NEW JERSEY ST TRANSN TR FD AUT MUNITAX B			1FE	5,050,000	4,971,119.2	5,050,000.00	5,050,000	(78,880.8	)	—		—	—		1.7580	1.7580	Jun-Dec	26,140.48	44,389.5	9292015	12152018
649322AC8	NEW YORK PRESBYTERIAN HOSP SENIOR CORP			1FE	149,995.5	156,085.84	150,000.00	149,997.16	6,088.68		1.66		—	—		3.5630	3.5630	Feb-Aug	1,380.67	—	6212016	8012036
64972HKE1	NEW YORK NY CITY TRANSITIONAL MUNI BND R		1	1FE	1,144,760	1,074,540	1,000,000.00	1,069,004.78	5,535.22		(28,561.06	)	—	—		5.0000	1.0917	Jan-Jul	10,555.56	50,000	10312008	7152019
64972HKH4	NEW YORK NY CITY TRANSITIONAL MUNI BND R		1	1FE	3,442,770	3,235,260	3,000,000.00	3,211,393.01	23,866.99		(87,325.17	)	—	—		5.2500	1.2517	Jan-Jul	33,250	157,500	10312008	7152022
64966KEB5	NEW YORK NY MUNI BND GO		1	1FE	5,804,500	6,065,100	5,000,000.00	5,628,158.2	436,941.8		(67,300.66	)	—	—		5.0000	2.8201	Feb-Aug	41,666.67	250,000	9122013	8012028
649907XR8	NEW YORK ST DORM AUTH MUNI BND REV			1FE	3,053,370	3,066,330	3,000,000.00	3,028,187.05	38,142.95		(9,518.32	)	—	—		2.0500	1.6069	Jun-Dec	20,500	30,750	12052013	12012018
649883XV2	NEW YORK ST MTG AGY MUNI BND REV		1	1FE	898,278.6	919,056.2	860,000.00	890,865.41	28,190.79		(2,833.67	)	—	—		4.4500	3.8600	Apr-Oct	19,135	19,135	2132014	10012029
649791CH1	NEW YORK ST MUNITAX BND GO			1FE	811,747.5	781,575	750,000.00	780,523.82	1,051.18		(15,900.00	)	—	—		4.0900	1.1850	Mar-Sep	2,556.25	30,675	4072015	3012018
650035C48	NEW YORK ST URBAN DEV CORP MUNI BND REV		1	1FE	5,269,005	5,495,040	4,500,000.00	5,102,532.78	392,507.22		(63,165.64	)	—	—		5.0000	2.7241	Mar-Sep	10,000	225,000	9112013	3152028
650035K72	NEW YORK ST URBAN DEV CORP MUNITAX BND R			1FE	6,922,770	6,921,804	6,900,000.00	6,910,766.59	11,037.41		(8,839.75	)	—	—		1.4400	1.3314	Mar-Sep	4,416	164,880	2022015	3152018
651229AP1	NEWELL RUBBERMAID INC SENIOR CORP BND		1	2FE	4,355,116.8	4,473,978.64	4,360,000.00	4,356,867.02	117,111.62		700.33		—	—		2.8750	2.8989	Jun-Dec	41,783.34	62,675.01	11142014	12012019
651229AR7	NEWELL RUBBERMAID INC SENIOR CORP BND			2FE	699,979	707,557.82	700,000.00	699,984.93	7,572.89		4.85		—	—		2.1500	2.1511	Apr-Oct	6,939.72	7,357.78	10142015	10152018
651229AT3	NEWELL RUBBERMAID INC SENIOR CORP BND			2FE	5,403,756.85	5,526,461.97	5,405,000.00	5,403,956.62	122,505.35		199.77		—	—		2.6000	2.6080	Mar-Sep	780.72	69,874.63	3182016	3292019
651229AU0	NEWELL RUBBERMAID INC SENIOR CORP BND		1	2FE	3,494,225	3,644,742.43	3,500,000.00	3,494,767.17	149,975.26		542.17		—	—		3.1500	3.1859	Apr-Oct	55,431.25	—	3182016	4012021
BRSKQ8AG4	NEXSTAR BROADCASTING GROUP INC NEXSTAR B		2		1,292,891.49	1,291,310.28	1,292,891.49	1,292,891.49	(1,581.21	)	—		—	—		—	—	M-J-S-D	—	45,061.08	1312014	10012020
BRT5CGDN5	NEXSTAR BROADCASTING INC SENIOR SECURED		1	3FE	802,278.83	807,973.2	804,289.55	802,278.83	5,694.37		—		—	—		—	0.0366	M-J-S-D	—	—	9262016	9262023
62888UAA8	NGN_10-R2 AGENCY CMO_10-R2 1A		2	1	640,386.38	640,506.52	640,386.38	640,386.38	120.14		(646.34	)	—	—		0.8639	0.8651	Monthly	379.22	4,336.11	11102010	11062017
62888YAA0	NGN_11-R1 CMO_11-R1 IA		2	1	859,203.9	860,541.09	858,872.48	859,010.4	1,530.69		(58.41	)	—	—		0.9749	0.9664	Monthly	534.95	6,281.62	2142011	1082020
62889EAA3	NGN_11-R3 NGN_11-R3 1A		2	1	4,190,181.07	4,178,300.52	4,184,786.94	4,187,696.48	(9,395.96	)	(1,084.67	)	—	—		0.9182	0.8341	Monthly	2,028.01	29,524.1	6152012	3112020
62889FAA0	NGN_11-R4 CMO_11R4-1A		2	1	310,058.34	310,179.82	310,058.34	310,058.34	121.48		1.46		—	—		0.9044	0.9061	Monthly	194.73	2,634.01	3252011	3062020
65477UAB6	NISSAN AUTO RECEIVABLES OWNER ABS_15-A A		2		25,761.37	25,759.33	25,762.67	25,762.1	(2.77	)	10.17		—	—		0.6700	0.6744	Monthly	7.67	1,463.54	4072015	9152017
654740AS8	NISSAN MOTOR ACCEPTANCE CORP SENIOR CORP			1FE	334,363.5	333,529.7	335,000.00	334,369.22	(839.52	)	5.72		—	—		1.9000	1.9401	Mar-Sep	300.57	—	9072016	9142021
645918S53	NJ ST EDA PENSION MUNITAX BND REV			1FE	1,985,660	2,013,760	2,000,000.00	1,995,414.4	18,345.6		3,680.34		—	—		1.6510	1.9045	Mar-Sep	2,751.67	33,020	9192012	9012017
655044AH8	NOBLE ENERGY INC SENIOR CORP BND		1	2FE	4,139,435	4,502,862.81	4,400,000.00	4,150,779.39	352,083.42		13,262.29		—	—		3.9000	4.5570	May-Nov	64,826.66	67,567.5	2192016	11152024
65504LAH0	NOBLE HOLDING INTERNATIONAL LT SENIOR CO	F		3FE	505,725	496,250	500,000.00	501,082.92	(4,832.92	)	(1,754.46	)	—	—		2.5000	2.0200	Mar-Sep	555.56	12,500	2072012	3152017
BRSRG6TU3	NOMACORC SENIOR SECURED REVOLVE LOAN				562,500	523,125	562,500.00	562,500	(39,375	)	—		—	—		—	—	J-A-J-O	—	25,485.63	7072016	1052020
BRSRG6UY3	NOMACORC SENIOR SECURED TERM LOAN				5,894,999.99	5,482,349.99	5,894,999.99	5,894,999.99	(412,650	)	—		—	—		—	—	J-A-J-O	—	282,393.54	1092015	1052021

62951MAY6	NOMURA ASSET ACCEPTANCE CORPOR WHOLE CMO		2	1FE	556,279.9	541,842.77	550,601.80	555,187.89	(13,345.12	)	(515.30	)	—	—	6.5000	6.3037	Monthly	2,982.43	26,480.62		10032007	2252035
65557CAM5	NORDEA BANK AB JR SUB CORP BND 144A	F	1	2FE	5,750,000	5,649,317.5	5,750,000.00	5,750,000	(100,682.5	)	—		—	—	5.5000	5.5000	Mar-Sep	7,027.77	517,501.11		9162014
65557DAK7	NORDEA BANK AB SENIOR CORP BND	F		1FE	5,974,200	6,105,402	6,000,000.00	5,986,662.75	118,739.25		3,820.92		—	—	2.3750	2.4669	Apr-Oct	70,062.5	71,250		3312014	4042019
65557CAR4	NORDEA BANK AB SENIOR CORP BND MTN 144A	F		1FE	1,102,398	1,124,073.83	1,100,000.00	1,102,370.62	21,703.21		(132.06	)	—	—	2.5000	2.5510	Mar-Sep	1,069.44	22,958.33		4202016	9172020
65562QAW5	NORDIC INVESTMENT BANK CORP BND	F		1FE	2,980,170	3,125,850	3,000,000.00	2,985,515.99	140,334.01		2,022.10		—	—	2.2500	2.3530	Mar-Sep	187.5	67,500		12052014	9302021
658256Z54	NORTH CAROLINA ST MUNI BND GO			1FE	652,100	657,845	500,000.00	644,416.75	13,428.25		(7,683.25	)	—	—	5.0000	1.7406	Jun-Dec	8,333.34	5,694.45		2242016	6012026
665859AQ7	NORTHERN TRUST COMPANY CAPSEC CORP BND		1		8,410,000	8,557,175	8,410,000.00	8,410,000	147,175		—		—	—	4.6000	4.6000	Apr-Oct	56,954.38	—		8012016
666807BF8	NORTHROP GRUMMAN CORP SENIOR CORP BND			2FE	1,071,625.63	1,080,761.38	1,073,000.00	1,072,185.35	8,576.03		358.17		—	—	1.7500	1.7672	Jun-Dec	6,259.17	9,388.75		10082015	6012018
BRSTJ1FE8	NOVELIS INC/GA SENIOR SECURED TERM NOTES		2	3FE	3,311,275.29	3,333,309.73	3,321,683.84	3,313,049.99	20,259.74		1,089.75		—	—	—	0.0645	F-M-A-N	—	87,886.38		7082016	6022022
BRT2GMJC3	NRG ENERGY INC SENIOR SECURED TERM LOAN		1	3FE	2,475,244.06	2,491,829.43	2,487,682.47	2,475,606	16,223.43		393.12		—	—	—	0.0711	M-J-S-D	—	17,699.88		6142016	6302023
65251QAA9	NSCDN_14-1A ABS2014-1A A1 144A		2		2,500,000	2,457,546.25	2,500,000.00	2,500,000	(42,453.75	)	—		—	—	2.5645	2.4278	J-A-J-O	12,110.14	45,036.15		12162014	1252027
65251PAC7	NSLP_14-1A ABS_14-1A B1 144A		2	1FE	487,100	476,568.1	500,000.00	489,096.62	(12,528.52	)	1,587.88		—	—	3.3145	3.8483	J-A-J-O	3,130.36	11,850.98		10212015	7252025
BRT0TMUX4	NUMERICABLE GROUP SA SENIOR SECURED TERM	F	1		291,162.16	296,033.39	294,103.19	291,330.07	4,703.32		175.28		—	—	—	0.1282	J-A-J-O	—	4,013.1		4082016	1152024
BRSUVAL12	NUMERICABLE US LLC SENIOR SECURED TERM N			4FE	519,543.38	522,364.8	520,845.49	519,750.57	2,614.23		150.21		—	—	—	0.0356	M-J-S-D	—	18,021.3		7272015	7292022
67066GAD6	NVIDIA CORPORATION SENIOR CORP BND		1	2FE	1,117,782.4	1,125,508.15	1,120,000.00	1,117,799.87	7,708.28		17.47		—	—	2.2000	2.2421	Mar-Sep	1,026.67	—		9132016	9162021
65251UAC6	NWSCLF_16-1A ABS 16-1A 144A		2	1FE	250,000	248,835.3	250,000.00	250,000	(1,164.7	)	—		—	—	4.5754	4.5989	F-M-A-N	1,175.63	5,639.23		2122016	2252028
65251KAG9	NWSTR_13-1A ABS 13-1A C 144A		2	1FE	250,000	248,967.68	250,000.00	250,000	(1,032.32	)	—		—	—	4.6571	4.6837	M-J-S-D	355.75	8,397.5		5192015	9202023
65251TAC9	NWSTR_15-1A ABS_15-1A B 144A		2	1FE	2,000,000	1,934,952	2,000,000.00	2,000,000	(65,048	)	—		—	—	3.4956	3.5103	J-A-J-O	14,176.6	50,603.86		3112015	1202027
65251TAE5	NWSTR_15-1A ABS_15-1A C 144A		2	1FE	1,000,000	989,919.9	1,000,000.00	1,000,000	(10,080.1	)	—		—	—	4.5456	4.5708	J-A-J-O	9,217.47	33,293.59		3112015	1202027
BRST0A6G3	NXTC_15-1A MEZZANIN ABS 15-1A 144A		2		1,000,000	963,675.3	1,000,000.00	1,000,000	(36,324.7	)	—		—	—	4.3471	4.3701	J-A-J-O	8,694.2	31,772.62		4232015	4212027
674000AG9	OAKCL_14-1A ABS_14-1A B 144A	F	2	1FE	480,000	490,064.4	500,000.00	492,097.5	(2,033.1	)	621.05		—	—	3.6670	4.1006	F-M-A-N	2,393.74	12,963.86		1262015	2132025
67389MAE1	OAKS_15-1 RMBS_15-1 A5 144A		2		1,115,436.24	1,128,009.31	1,113,348.73	1,114,301.75	13,707.56		(1,450.50	)	—	—	3.5000	3.2917	Monthly	3,247.27	33,228.52		10062015	4252046
67400LAC2	OAKTA_14-A2 MEZZANIN ABS 14-A2-B 144A	F	2	1FE	3,930,000	4,000,071.2	4,000,000.00	3,947,252.31	52,818.89		7,194.50		—	—	3.1170	3.4153	F-M-A-N	16,277.67	85,975.58		12042014	11152025
67401DAC9	OAKTA_15-A1 MEZZANIN ABS_15-A1 B 144A	F	2	1FE	1,488,150	1,518,140.1	1,500,000.00	1,489,523.94	28,616.16		1,373.94		—	—	3.2791	3.4428	J-A-J-O	10,247.19	26,050.84		12172015	10182027
67107KAC0	OCP_14-7A ABS_14-7A-A2A 144A	F	2	1FE	3,850,000	3,999,734.4	4,000,000.00	3,890,317.9	109,416.5		15,203.95		—	—	2.7956	3.4087	J-A-J-O	22,675.42	79,896.6		10312014	10202026
67110DAE7	OCP_16-11A ABS 2016-11A A2A 144A	F	2	1FE	1,745,625	1,744,415.75	1,750,000.00	1,745,904.71	(1,488.96	)	279.71		—	—	3.0349	3.0915	J-A-J-O	20,211.26	—		4222016	4262028
67590BAE0	OCT16_13-1A MEZZANIN ABS 13-1A C1 144A	F	2	1FE	499,687.5	497,343.45	500,000.00	499,701.04	(2,357.59	)	13.54		—	—	3.4291	3.7666	J-A-J-O	3,571.98	(1,143.03	)	8082016	7172025
676167BS7	OESTERREICHISCHE KONTROLLBANK SENIOR COR	F			2,989,440	3,000,090.18	3,000,000.00	2,990,936.09	9,154.09		1,496.09		—	—	1.1250	1.2449	Apr-Oct	14,531.25	—		4192016	4262019
67756AVS8	OHIO ST HIGHER EDL FAC REV MUNI BND REV			1FE	440,307	435,813.45	435,000.00	435,000	813.45		(1,136.29	)	—	—	4.3750	4.3750	May-Nov	7,929.69	9,515.63		6152006	5012017
677522HS6	OHIO ST MUNI BND GO			1FE	1,233,070	1,224,280	1,000,000.00	1,214,503.04	9,776.96		(18,566.96	)	—	—	5.0000	1.3807	Jun-Dec	14,722.22	13,333.33		2262016	12152022
67756BXS4	OHIO ST MUNI BND REV		1	1FE	2,905,950	2,734,650	2,500,000.00	2,714,036.18	20,613.82		(72,417.72	)	—	—	5.5000	1.4701	Jun-Dec	45,833.33	68,750		3112009	12012024
68217FAA0	OMNICOM GROUP INC SENIOR CORP BND		1	2FE	849,209.5	897,668.47	850,000.00	849,247.83	48,420.64		38.33		—	—	3.6000	3.6110	Apr-Oct	14,875	—		3282016	4152026
6824544G5	ONEIDA CNTY N Y MUNITAX BND GO			1FE	1,532,874	1,552,824	1,400,000.00	1,490,380.63	62,443.37		(16,301.96	)	—	—	5.3870	3.5700	Feb-Aug	12,569.67	75,418		8042009	8012020
683234C55	ONTARIO PROVINCE OF CORP BND	A		1FE	4,303,010	4,315,308	4,300,000.00	4,301,511.27	13,796.73		(874.94	)	—	—	1.2000	1.1741	Feb-Aug	6,736.67	57,080		5052015	2142018

68323ABL7	ONTARIO PROVINCE OF SENIOR CORP BND	A		1FE	2,939,850	3,028,919.91	3,000,000.00	2,963,320.03	65,599.88		8,816.14		—	—		1.6500	2.0740	Mar-Sep	550	49,500		9232014	9272019
68323ADK7	ONTARIO PROVINCE OF SENIOR CORP BND	A		1FE	4,995,589.5	4,999,648.8	4,950,000.00	4,995,062.49	4,586.31		(527.01	)	—	—		1.6250	1.2218	Jan-Jul	16,310.94	(14,076.56	)	9162016	1182019
68389XAQ8	ORACLE CORPORATION SENIOR CORP BND			1FE	1,019,460	1,023,327.26	1,000,000.00	1,012,516.77	10,810.49		(3,994.69	)	—	—		2.3750	1.8139	Jan-Jul	5,013.89	23,750		6042015	1152019
68389XAR6	ORACLE CORPORATION SENIOR CORP BND			1FE	2,350,000	2,364,217.41	2,350,000.00	2,350,000	14,217.41		—		—	—		1.2601	1.2601	J-A-J-O	6,416.02	19,726.16		7092013	1152019
68389XAU9	ORACLE CORPORATION SENIOR CORP BND		1	1FE	1,098,436.5	1,119,092.34	1,050,000.00	1,090,948.42	28,143.92		(3,623.31	)	—	—		3.4000	2.8209	Jan-Jul	8,230.84	35,700		3032015	7082024
68428TCP0	ORANGE CNTY CALIF SANTN DIST MUNI BND RE		1	1FE	549,301.5	565,744.5	450,000.00	544,771.71	20,972.79		(4,529.79	)	—	—		5.0000	2.4608	Feb-Aug	3,750	7,562.5		3032016	2012032
F4113NCA5	ORANGE SA CORP BND	D		2FE	1,463,442.33	1,128,516.74	800,000.00	1,345,793.22	10,546.33		(61,513.41	)	—	(227,822.81	)	8.0000	1.6515	December	64,964.2	5,794.05		10302015	12202017
BRSXEV5F6	ORG CHEMICAL MIDCO LLC SENIOR SECURED TE				4,954,687.5	4,942,300.78	4,954,687.50	4,954,687.5	(12,386.72	)	—		—	—		—	—	M-J-S-D	—	158,968.49		11232015	10262020
BRSXEUVM4	ORG CHEMICAL MIDCO LLC SR SECURED TERM L				225,000	224,437.5	225,000.00	225,000	(562.5	)	—		—	—		—	—	M-J-S-D	—	5,582.61		12312015	10262020
61764PBR2	ORGAN STANLEY BAML TRUST MSBAM PRELCF SE		2		3,392,734.4	3,397,669.29	3,250,000.00	3,364,411.74	33,257.55		(31,691.85	)	—	—		3.1010	1.8508	Monthly	8,398.54	117,157.92		4272016	12152047
BRSVBJ4B0	OSMOSE HOLDINGS INC SENIOR SECURED TERM				657,918.37	656,541.04	661,224.49	658,415.9	(1,874.86	)	380.89		—	—		—	0.0713	M-J-S-D	—	24,025.61		8182015	8222022
69144VAA1	OXFIN_14-1A ABS _14-1A-A 144A		2	1FE	2,750,000	2,720,303.3	2,750,000.00	2,750,000	(29,696.7	)	—		—	—		3.4750	3.4989	Monthly	4,247.22	71,671.86		11202014	12152022
70922PAE2	PA TURNPIKE-E MUNITAX BND REV			1FE	4,500,000	4,565,700	4,500,000.00	4,500,000	65,700		—		—	—		1.6990	1.6990	Jun-Dec	25,485	38,227.5		9112014	12012018
69371RL79	PACCAR FINANCIAL CORP CORP BND MTN			1FE	3,850,000	3,876,603.5	3,850,000.00	3,850,000	26,603.5		—		—	—		1.4351	1.4351	M-J-S-D	3,836.93	34,849.76		12032013	12062018
69371RM45	PACCAR FINANCIAL CORP SENIOR CORP BND			1FE	2,622,532.5	2,635,846.5	2,625,000.00	2,623,802.77	12,043.73		611.84		—	—		1.4500	1.4822	Mar-Sep	2,326.04	38,062.5		3032015	3092018
69371RN36	PACCAR FINANCIAL CORP SENIOR CORP BND			1FE	2,500,000	2,482,076.08	2,500,000.00	2,500,000	(17,923.92	)	—		—	—		1.2000	1.2000	Feb-Aug	4,166.66	—		8042016	8122019
69371RM52	PACCAR FINANCIAL CORP SENIOR CORP BND MT			1FE	5,967,113	5,993,304.89	5,975,000.00	5,970,672.26	22,632.63		1,953.95		—	—		1.4000	1.4451	May-Nov	30,904.03	41,825		5112015	5182018
N6803F7R2	PACCAR FINANCIAL EUROPE BV SENIOR CORP B	D			942,231.81	795,784.55	605,000.00	942,886.37	10,895.2		538.24		—	(157,997.02	)	1.5130	1.5886	May	4,072.11	16,458.54		10302015	5292018
69371RN28	PACCAR INC SENIOR CORP BND MTN				294,825.95	294,800.28	295,000.00	294,848.28	(48	)	22.33		—	—		1.3000	1.3201	May-Nov	1,502.04	—		5052016	5102019
BRSJA8RE1	PACIFIC DRILLING SA			4FE	2,847,444.64	1,141,103.31	4,136,935.44	3,255,925.95	(2,114,822.64	)	333,725.39		—	—		—	14.5106	M-J-S-D	—	144,496.1			6032018
694308GL5	PACIFIC GAS AND ELECTRIC CO CORP BND			2FE	645,360.2	609,499.38	580,000.00	605,986.64	3,512.74		(16,475.24	)	—	—		5.6250	1.7160	May-Nov	10,965.63	16,312.5		12082014	11302017
BRSSM7M39	PACIFIC MERGER SUB INC SENIOR SECURED TE			4FE	1,466,880.63	1,463,273.48	1,483,674.00	1,468,073.05	(4,799.57	)	897.16		—	—		—	0.1879	M-J-S-D	—	37,634.37		7072016	4152022
695114CK2	PACIFICORP CORP BND			1FE	4,465,800	4,360,826.12	4,000,000.00	4,314,589.04	46,237.08		(100,184.72	)	—	—		5.5000	1.9670	Jan-Jul	46,444.45	220,000		8072015	1152019
695114CM8	PACIFICORP CORP BND		1	1FE	1,562,060.5	1,555,394.8	1,430,000.00	1,549,732.18	5,662.62		(12,328.32	)	—	—		3.8500	1.8820	Jun-Dec	16,210.64	10,246.35		4052016	6152021
69834LAA8	PANDA RE LTD CORP BND	F			15,000,000	15,044,850	15,000,000.00	15,000,000	44,850		—		—	—		4.3654	4.3883	J-A-J-O	155,250	314,007.02		6262015	7092018
BRSAC1100	PANGAEA RE				25,000,000	25,000,000	25,000,000.00	25,000,000	—		—		—	—		7.0000	—	M-J-S-D	—	—		1312016	12312016
69640GAA3	PCT_16-PLSD LCF SENIOR CMBS_16-PLSD A 14		2	1FE	5,000,000	5,099,068.5	5,000,000.00	5,000,000	99,068.5		—		—	—		2.7130	2.7217	Monthly	8,289.66	48,984.39		4202016	4132033
40168PAA6	PDFNI_16-A ABS_16-A-1		2	1FE	6,962,617	6,962,617	6,962,617.00	6,962,617	—		—		—	—		3.4301	3.4446	J-A-J-O	56,073.39	63,178.25		4122016	4122027
40168PAC2	PDFNI_16-B ABS_16-A 1		2	1FE	3,037,383	3,037,383	3,037,383.00	3,037,383	—		—		—	—		3.5793	3.5949	J-A-J-O	24,461.55	—		8302016	4122027
40168PAB4	PDFNI_16-B ABS_16-A-1		2	1FE	3,551,401	3,551,401	3,551,401.00	3,551,401	—		—		—	—		3.4111	3.4254	J-A-J-O	27,256.91	—		7082016	4122027
40168PAK4	PDFNI_16-B ABS_16-B 1		2	2AM	1,168,224	1,168,224	1,168,224.00	1,168,224	—		—		—	—		3.9543	3.9733	J-A-J-O	10,393.97	—		8302016	4122027
40168PAH1	PDFNI_16-B ABS_16-B-1		2	2AM	2,336,449	2,336,449	2,336,449.00	2,336,449	—		—		—	—		3.8051	3.8229	J-A-J-O	20,018.02	24,204.07		4122016	4122027
40168PAJ7	PDFNI_16-B ABS_16-B-1		2	2AM	1,168,224	1,168,224	1,168,224.00	1,168,224	—		—		—	—		3.8051	3.8229	J-A-J-O	10,001.73	—		7082016	4122027
40168PAR9	PDFNI_16-B ABS_16-C-1		2	3AM	981,308	981,308	981,308.00	981,308	—		—		—	—		3.0000	3.0111	J-A-J-O	6,623.83	—		7082016	4122027

40168PAS7	PDFNI_16-B ABS_16-C-1		2	3AM	771,030	771,030	771,030.00	771,030	—		—		—	—	3.0000	3.0109	J-A-J-O	5,204.45	—	8302016	4122027
40168PAZ1	PDFNI_16-B ABS_16-D 1		2	4AM	391,354	391,354	391,354.00	391,354	—		—		—	—	3.0000	3.0109	J-A-J-O	2,641.64	—	8302016	4122027
40168PAY4	PDFNI_16-B PDFNI_16-D		2	4AM	473,132	473,132	473,132.00	473,132	—		—		—	—	3.0000	3.0111	J-A-J-O	3,193.64	—	7082016	4122027
40168PAQ1	PDFNI_16-C ABS_16-C-1		2	3AM	2,084,403.47	2,084,403.47	2,084,403.47	2,084,403.47	—		—		—	—	3.0000	3.0111	J-A-J-O	13,548.62	17,540.24	4122016	4122027
40168PAX6	PDFNI_16-D ABS_16-D-1		2	4AM	970,268.28	970,268.28	970,268.28	970,268.28	—		—		—	—	3.0000	3.0111	J-A-J-O	6,306.75	8,474.08	4122016	4122027
693304AP2	PECO ENERGY CO SECURED CORP BND		1	1FE	359,969.3	377,581.71	370,000.00	361,548.28	16,033.43		964.81		—	—	2.3750	2.7940	Mar-Sep	390.56	8,787.5	7072015	9152022
705870AA1	PELICAN III RE LTD CORP BND	F			680,000	693,586.4	680,000.00	680,000	13,586.4		—		—	—	6.1800	6.2290	M-J-S-D	2,684.87	32,423.1	4072015	4162018
BRSXBV296	PENAR_15-2X ABS_15-2X A1	F	2	1FE	8,155,294	8,162,973.8	8,170,000.00	8,160,349.13	2,624.67		4,270.18		—	—	0.9309	1.0051	Monthly	2,535.26	52,475.93	11182015	5182019
BRSSG9JW2	PENARTH MASTER ISSUER PLC ABS 15-1X	F	2		2,246,692.5	2,248,447.5	2,250,000.00	2,248,828.07	(380.57	)	1,988.41		—	—	0.9309	1.0438	Monthly	698.21	14,499.26	11182015	3182019
709132AK0	PENNSYLVANIA ST HIGHER EDL FAC MUNI BND		1	1FE	868,208	825,096	800,000.00	818,912.09	6,183.91		(18,686.28	)	—	—	5.0000	1.8099	Jan-Jul	10,000	40,000	2282007	7012018
70932JAA2	PENNUNION RE LTD SENIOR CORP BND 144A	F		3FE	1,250,000	1,271,825	1,250,000.00	1,250,000	21,825		—		—	—	4.8353	4.8353	M-J-S-D	4,029.4	43,821.97	10052015	12072018
709599AK0	PENSKE TRUCK LEASING CO SENIOR CORP BND			2FE	308,928	307,282.33	300,000.00	304,966.55	2,315.78		(2,487.90	)	—	—	3.3750	2.2129	Mar-Sep	450	10,125	7152015	3152018
709599AL8	PENSKE TRUCK LEASING CO SENIOR CORP BND			2FE	609,582	611,763.25	600,000.00	608,394.74	3,368.51		(1,187.26	)	—	—	2.8750	2.0760	Jan-Jul	3,545.83	910.42	6232016	7172018
709599AQ7	PENSKE TRUCK LEASING CO SENIOR CORP BND		1	2FE	2,600,508.1	2,643,016.67	2,605,000.00	2,601,708.25	41,308.42		872.15		—	—	2.5000	2.5060	Jun-Dec	19,175.69	32,562.5	10212015	6152019
709599AS3	PENSKE TRUCK LEASING CO SENIOR CORP BND		1	2FE	3,914,266.76	4,157,434.33	3,988,000.00	3,925,118.63	232,315.7		7,930.88		—	—	3.3750	3.7035	Feb-Aug	22,432.51	134,595.02	9182015	2012022
709599AV6	PENSKE TRUCK LEASING CO SENIOR CORP BND		1	2FE	1,454,812.05	1,523,492.58	1,465,000.00	1,456,221.38	67,271.2		1,328.32		—	—	3.3000	3.4449	Apr-Oct	24,172.5	18,666.54	12102015	4012021
713448BJ6	PEPSICO INC CORP BND			1FE	264,146.85	243,737.25	215,000.00	240,576.8	3,160.45		(8,919.60	)	—	—	7.9000	2.0401	May-Nov	7,077.08	8,492.5	10212008	11012018
713448CB2	PEPSICO INC SENIOR CORP BND			1FE	300,783	300,765	300,000.00	300,328.22	436.78		(281.51	)	—	—	1.2500	1.1228	Feb-Aug	500	3,750	7082015	8132017
713448CR7	PEPSICO INC SENIOR CORP BND				1,589,809.2	1,592,742.15	1,590,000.00	1,589,898.69	2,843.46		47.34		—	—	1.2500	1.2541	Apr-Oct	8,336.46	9,937.5	4272015	4302018
713448CW6	PEPSICO INC SENIOR CORP BND			1FE	2,999,040	3,004,080.3	3,000,000.00	2,999,616.68	4,463.62		359.41		—	—	1.1250	1.1412	Jan-Jul	6,937.5	33,750	7142015	7172017
713448CX4	PEPSICO INC SENIOR CORP BND		1	1FE	999,810	1,065,774.23	1,000,000.00	999,839.92	65,934.31		18.73		—	—	3.1000	3.1030	Jan-Jul	6,372.22	31,000	7142015	7172022
713448DE5	PEPSICO INC SENIOR CORP BND			1FE	594,827.45	597,842	595,000.00	594,861.45	2,980.55		71.13		—	—	1.5000	1.5100	Feb-Aug	966.88	10,311.67	2192016	2222019
BRSYEJ6N3	PET ACQUISITION MERGER SUB LLC SR SECURE		1	3FE	1,699,438.41	1,747,849.86	1,734,120.83	1,702,626.41	45,223.45		3,362.28		—	—	—	0.2861	M-J-S-D	—	63,679.83	1152016	1262023
BRSTDEW07	PETSMART INC. SENIOR SECURED TERM LOAN		2	3FE	3,897,187.5	3,974,811.56	3,969,849.25	3,905,078.1	69,733.46		8,113.82		—	—	—	0.2786	M-J-S-D	—	121,826.84	1202016	3112022
717081DF7	PFIZER INC SENIOR CORP BND			1FE	3,999,999	4,011,559.04	3,999,999.00	3,999,999	11,560.04		—		—	—	1.1503	1.1503	M-J-S-D	2,044.94	27,492.9	5282013	6152018
717081DG5	PFIZER INC SENIOR CORP BND			1FE	2,224,094.5	2,235,868.84	2,225,000.00	2,224,746.49	11,122.35		109.32		—	—	1.5000	1.5120	Jun-Dec	9,827.09	16,687.5	7152015	6152018
717081DL4	PFIZER INC SENIOR CORP BND			1FE	2,495,275	2,550,317.58	2,500,000.00	2,497,459.76	52,857.82		699.65		—	—	2.1000	2.1401	May-Nov	19,833.34	26,250	5122014	5152019
69331CAF5	PG&E CORP SENIOR CORP BND		1	2FE	500,605	509,052.09	500,000.00	500,337.93	8,714.16		(103.11	)	—	—	2.4000	2.3704	Mar-Sep	1,000	12,000	2242014	3012019
BRSUY9361	PHARMACEUTICAL PRODUCT DEV, IN SENIOR SE			4FE	1,792,717.63	1,806,898.31	1,801,942.96	1,794,015.72	12,882.59		979.92		—	—	—	0.0739	M-J-S-D	—	56,358.24	4132016	8182022
71722TAF1	PHEAA_04-1 ABS_04-1-A2		2	1FE	452,730	499,495.2	500,000.00	488,863.38	10,631.82		6,040.31		—	—	0.9170	2.1557	Monthly	234.67	5,117.59	3092010	4252044
71722TAG9	PHEAA_04-1 ABS_04-1-A3		2	1FE	1,177,098	1,269,586.5	1,300,000.00	1,250,982.7	18,603.8		11,634.14		—	—	0.6860	1.6684	Monthly	536.05	16,336.18	3092010	4252044
718172AA7	PHILIP MORRIS INTERNATIONAL IN CORP BND			1FE	215,716.6	208,528.9	195,000.00	207,507.72	1,021.18		(5,653.27	)	—	—	5.6500	1.6332	May-Nov	4,131.56	5,508.75	9222015	5162018
718172AL3	PHILIP MORRIS INTERNATIONAL IN CORP BND			1FE	1,285,262.5	1,311,131.58	1,250,000.00	1,277,828.84	33,302.74		(3,786.08	)	—	—	2.9000	2.4350	May-Nov	13,694.44	18,125	3312015	11152021
718172BF5	PHILIP MORRIS INTERNATIONAL IN SENIOR CO			1FE	611,850	607,392.88	600,000.00	610,681.64	(3,288.76	)	(1,168.36	)	—	—	1.8750	1.0850	Jan-Jul	2,375	468.75	6272016	1152019

718172BN8	PHILIP MORRIS INTERNATIONAL IN SENIOR CO		1FE	1,919,648.5	1,930,073.53	1,925,000.00	1,923,000.64	7,072.89		1,764.44		—	—	1.2500	1.3449	May-Nov	9,491.32	20,364.06		11032014	11092017
718172BP3	PHILIP MORRIS INTERNATIONAL IN SENIOR CO		1FE	1,705,690.8	1,712,872.8	1,710,000.00	1,708,130.22	4,742.58		1,610.78		—	—	1.2500	1.3782	Feb-Aug	2,968.75	21,375		8042015	8112017
718172BR9	PHILIP MORRIS INTERNATIONAL IN SENIOR CO		1FE	2,919,539.9	2,933,345.53	2,930,000.00	2,921,597.56	11,747.97		2,057.66		—	—	1.3750	1.4971	Feb-Aug	4,028.76	20,143.76		2182016	2252019
BRSSJC1F8	PHILLIPS & TEMRO INDUSTRIES IN SENIOR SE			3,043,340.15	2,510,755.62	3,043,340.15	3,043,340.15	(532,584.53	)	—		—	—	—	—	M-J-S-D	—	152,664.57		3272015	3122021
718546AJ3	PHILLIPS 66 CORP BND		2FE	1,674,798.35	1,691,180.5	1,675,000.00	1,674,977.4	16,203.1		28.39		—	—	2.9500	2.9523	May-Nov	20,588.54	24,706.25		1242013	5012017
71884AXW4	PHOENIX ARIZ CIVIC IMPT CORP MUNITAX BND		1FE	2,000,000	2,032,760	2,000,000.00	2,000,000	32,760		—		—	—	2.0010	2.0010	Jan-Jul	10,005	45,467.17		4222015	7012020
BRT0R50G3	PINNACLE ENTERTAINMENT INC SENIOR SECURE	1	3FE	80,327.53	80,528.85	80,528.85	80,339.29	189.56		50.82		—	—	—	0.0354	M-J-S-D	—	1,339.14		4132016	4282023
724479AK6	PITNEY BOWES INC. SENIOR CORP BND	1	2FE	2,642,686	2,654,966.31	2,650,000.00	2,642,701.23	12,265.08		15.23		—	—	3.3750	3.4351	Apr-Oct	2,235.94	—		9152016	10012021
72650RBD3	PLAINS ALL AMERICAN PIPELINE L SENIOR CO	1	2FE	523,505	498,256.72	500,000.00	519,501.26	(21,244.54	)	(1,908.62	)	—	—	3.8500	3.2040	Apr-Oct	8,876.39	9,625		2242015	10152023
72650RBF8	PLAINS ALL AMERICAN PIPELINE L SENIOR CO	1	2FE	724,942.5	729,085.35	750,000.00	727,839.45	1,245.9		1,711.28		—	—	3.6000	4.0320	May-Nov	11,250	13,500		6222015	11012024
72650RBG6	PLAINS ALL AMERICAN PIPELINE L SENIOR CO	1	2FE	2,994,390	3,021,852.96	3,000,000.00	2,996,337.99	25,514.97		812.73		—	—	2.6000	2.6400	Jun-Dec	22,966.67	39,000		12022014	12152019
BRSWYTMJ4	PLASKOLITE INC SENIOR SECURED TERM LOAN	1		6,517,099.39	6,517,099.39	6,517,099.39	6,517,099.39	—		—		—	—	—	—	M-J-S-D	—	202,465.1		7192016	11032022
BRSWYD657	PLATFORM SPECIALTY PRODUCTS CO SENIOR SE	1	4FE	741,564.86	750,115.02	748,110.83	741,829.69	8,285.33		281.36		—	—	—	0.2256	M-J-S-D	—	8,297.05		7072016	6072020
69353RCG1	PNC BANK NATIONAL ASSOCIATION SENIOR COR	1	1FE	2,003,640	2,001,019.8	2,000,000.00	2,000,331.63	688.17		(1,146.10	)	—	—	1.1250	1.0560	Jan-Jul	4,000	29,281.25		4162014	1272017
69353RCH9	PNC BANK NATIONAL ASSOCIATION SENIOR COR	1	1FE	3,249,925	3,303,888.12	3,250,000.00	3,249,959.01	53,929.11		(74.85	)	—	—	2.2000	2.2421	Jan-Jul	12,512.5	71,500		1232014	1282019
69353RDY1	PNC BANK NATIONAL ASSOCIATION SENIOR COR	1		1,999,620	2,004,597.6	2,000,000.00	1,999,872.82	4,724.78		89.75		—	—	1.5000	1.5061	Apr-Oct	13,583.33	15,000		9152014	10182017
69353RDZ8	PNC BANK NATIONAL ASSOCIATION SENIOR COR	1	1FE	2,518,130	2,556,480.4	2,500,000.00	2,512,318.32	44,162.08		(2,975.30	)	—	—	2.4000	2.2319	Apr-Oct	27,166.67	30,000		11102015	10182019
69353REK0	PNC BANK NATIONAL ASSOCIATION SENIOR COR	1	1FE	703,353	720,487.46	700,000.00	702,883.41	17,604.05		(227.38	)	—	—	2.9500	2.8940	Feb-Aug	2,179.72	20,650		2252015	2232025
69353RER5	PNC BANK NATIONAL ASSOCIATION SENIOR COR	1	1FE	2,249,730	2,268,305.62	2,250,000.00	2,249,835.65	18,469.97		66.83		—	—	1.8500	1.8541	Jan-Jul	8,209.38	41,509.38		7162015	7202018
69353RES3	PNC BANK NATIONAL ASSOCIATION SENIOR COR	1	1FE	249,825	257,683.97	250,000.00	249,864.83	7,819.14		25.13		—	—	2.6000	2.6150	Jan-Jul	1,263.89	6,500		7162015	7212020
69353REU8	PNC BANK NATIONAL ASSOCIATION SENIOR COR	1	1FE	1,285,600	1,279,692.37	1,250,000.00	1,283,387.77	(3,695.4	)	(2,212.23	)	—	—	2.4500	1.7575	May-Nov	12,420.14	(3,913.2	)	6162016	11052020
69353REV6	PNC BANK NATIONAL ASSOCIATION SENIOR COR	1	1FE	959,030.4	969,962.11	960,000.00	959,211.79	10,750.32		181.39		—	—	1.9500	1.9848	Mar-Sep	1,404	9,360		3012016	3042019
73358WAJ3	PORT AUTH NY & NJ MUNI BND REV		1FE	1,459,850	1,436,823.55	1,075,000.00	1,455,721.34	(18,897.79	)	(4,128.66	)	—	—	6.0400	2.8040	Jun-Dec	21,643.33	(10,460.94	)	7262016	12012029
73358WUA0	PORT AUTH NY & NJ MUNITAX BND REV		1FE	2,000,000	2,074,900	2,000,000.00	2,000,000	74,900		—		—	—	2.5290	2.5290	Apr-Oct	23,323	25,290		10082014	10152020
73674NBG5	PORTLAND ORE SWR SYS REV MUNITAX BND REV		1FE	509,363.2	509,040	505,000.00	506,164.92	2,875.08		(1,217.60	)	—	—	2.7720	2.4396	Jun-Dec	4,121.81	6,999.3		6282012	6152017
BRT1156U2	PQ CORP SENIOR SECURED TERM NOTES	1	4FE	341,671.3	347,063.84	345,122.53	341,862.29	5,201.55		199.64		—	—	—	0.1536	M-J-S-D	—	3,711.25		4272016	11042022
74005PAZ7	PRAXAIR INC CORP BND		1FE	818,683.05	841,867.83	795,000.00	814,134.55	27,733.28		(2,711.39	)	—	—	3.0000	2.4770	Mar-Sep	1,987.5	23,850		6222015	9012021
74005PBP8	PRAXAIR INC CORP BND		1FE	1,998,120	2,054,352.56	2,000,000.00	1,998,486.28	55,866.28		373.14		—	—	2.2500	2.2700	Mar-Sep	875	82,250		9212015	9242020
740189AK1	PRECISION CASTPARTS CORP SENIOR CORP BND		1FE	3,232,645	3,258,725.93	3,250,000.00	3,240,210.08	18,515.85		5,623.11		—	—	1.2500	1.4871	Jan-Jul	8,576.39	40,625		9232015	1152018
74153WBZ1	PRICOA GLOBAL FUND SECURED CORP BND 144A		1FE	985,230	1,003,932.11	1,000,000.00	993,178.23	10,753.88		3,005.43		—	—	1.6000	2.0200	May-Nov	5,422.22	8,000		5212013	5292018
BRT0XM6A6	PRIME SECURITY SERVICES BORROW SECURED T	1	3FE	1,510,693.09	1,539,205.04	1,525,380.52	1,511,587.44	27,617.6		932.58		—	—	—	0.1604	M-J-S-D	—	60,360.68		6202016	5022022
89837LAA3	PRINCETON UNIVERSITY MUNI BND REV		1FE	1,525,670.4	1,455,094.71	1,340,000.00	1,444,608.36	10,486.35		(31,527.45	)	—	—	4.9500	1.6422	Mar-Sep	5,527.5	66,330		10172014	3012019
742718DY2	PROCTER & GAMBLE COMPANY CORP BND		1FE	2,137,149	2,164,837.69	2,100,000.00	2,133,728.65	31,109.04		(3,420.35	)	—	—	2.3000	1.9820	Feb-Aug	7,379.16	20,527.5		2292016	2062022
742741AA9	PROCTER & GAMBLE COMPANY CORP BND	2	1FE	589,770.92	542,500.96	458,370.00	538,858.4	3,642.56		(36,018.30	)	—	—	9.3600	1.8241	Jan-Jul	10,725.86	48,410.38		2142014	1012021

742718EN5	PROCTER & GAMBLE COMPANY SENIOR CORP BND			1FE	479,908.8	486,752.13	480,000.00	479,920.43	6,831.7		11.63		—	—		1.8500	1.8540	Feb-Aug	1,455.33	4,440		1282016	2022021
BRSUYEPU3	PROLAMPAC INTERMEDIATE INC SENIOR SECURE			4FE	312,740.42	315,504.54	315,899.41	313,221.87	2,282.67		362.91		—	—		—	0.1428	M-J-S-D	—	15,408.62		8062015	8182022
BRSU7A6L2	PROTECTION ONE ALARM MONITORIN SENIOR SE		1		1,543,443.53	1,565,548.12	1,551,199.52	1,545,041.24	20,506.88		1,006.70		—	—		—	0.0826	M-J-S-D	—	40,017.29		6192015	7012021
11070TAA6	PROVINCE OF BRITISH COLUMBIA SENIOR CORP	A		1FE	1,007,824	1,002,069.9	1,000,000.00	1,001,820.93	248.97		(5,990.20	)	—	—		1.2000	0.8765	Apr-Oct	5,200	21,225		11072014	4252017
744320AV4	PRUDENTIAL FINANCIAL INC CAPSEC CORP BND		1	2FE	570,000	592,800	570,000.00	570,000	22,800		—		—	—		5.3750	5.3750	May-Nov	11,574.17	15,318.75		5132015	5152045
69362BAZ5	PSEG POWER LLC SENIOR CORP BND		1	2FE	49,925	50,288.1	50,000.00	49,967.23	320.87		11.16		—	—		2.4500	2.4819	May-Nov	462.78	612.5		11052013	11152018
74456QBE5	PUBLIC SERVICE ELECTRIC AND GA SECURED C		1	1FE	1,099,692	1,119,064.53	1,100,000.00	1,099,876	19,188.53		45.92		—	—		2.3000	2.3059	Mar-Sep	1,124.45	25,300		9092013	9152018
74529JNP6	PUERTO RICO SALES TAX FING COR MUNI BND		1	5FE	985,000	752,130	1,000,000.00	989,093.45	(236,963.45	)	1,180.10		—	—		5.0000	5.2193	Feb-Aug	8,333.33	50,000		1082014	8012022
747525AD5	QUALCOMM INCORPORATED SENIOR CORP BND			1FE	2,872,817.5	2,920,979.14	2,875,000.00	2,873,389.73	47,589.41		315.60		—	—		2.2500	2.2670	May-Nov	23,539.07	32,343.75		7092015	5202020
747525AG8	QUALCOMM INCORPORATED SENIOR CORP BND			1FE	6,036,899.7	6,064,464.9	6,045,000.00	6,040,547.15	23,917.75		2,011.01		—	—		1.4000	1.4459	May-Nov	30,795.92	42,315		5132015	5182018
BRSK6KJF2	QUEBECOR MEDIA INC. SENIOR SECURED TERM	A		4FE	2,648,265	2,652,881.57	2,660,642.67	2,653,727.18	(845.61	)	1,479.21		—	—		—	0.0711	M-J-S-D	—	68,357.74		10012015	8172020
74825FAB0	QUEEN STREET X RE LTD CORP BND 144A	F			680,000	685,208.8	680,000.00	680,000	5,208.8		—		—	—		5.7500	5.7911	M-J-S-D	1,194.72	30,368.56		3252015	6082020
74825WAA5	QUEEN STREET XI RE DAC CORP BND 144A	E			500,000	506,075	500,000.00	500,000	6,075		—		—	—		6.4552	6.5069	M-J-S-D	854.17	24,167.61		12152015	6072019
74825RAA6	QUEEN STREET XII RE DESIGNATED SENIOR CO	F			900,000	910,260	900,000.00	900,000	10,260		—		—	—		1.2709	1.2728	M-J-S-D	349.48	17,130.74		5132016	4082020
21685WBT3	RABOBANK NEDERLAND NV CORP BND	F		1FE	1,264,080	1,272,587.32	1,150,000.00	1,238,758.67	33,828.65		(14,599.65	)	—	—		4.5000	2.5821	Jan-Jul	11,500	51,750		6042015	1112021
21688AAA0	RABOBANK NEDERLAND NV SENIOR CORP BND			1FE	2,240,317.5	2,286,420.71	2,250,000.00	2,245,954.49	40,466.22		1,301.52		—	—		2.2500	2.0071	Jan-Jul	10,828.13	47,796.87		1122016	1142019
N7278SAC7	RABOBANK NEDERLAND NV SENIOR CORP BND	D		1FE	1,838,539.62	1,491,885.32	1,120,000.00	1,788,947.79	9,249.87		(21,759.30	)	—	(306,312.34	)	3.2500	1.4579	November	43,343.3	—		4012016	11012017
21684AAF3	RABOBANK NEDERLAND NV SUB CORP BND	F		2FE	5,572,435	5,519,108.49	5,500,000.00	5,572,059.85	(52,951.36	)	(375.15	)	—	—		3.7500	3.5900	Jan-Jul	40,104.17	(26,354.17	)	9012016	7212026
BRSSB5RH9	RANDALL-REILLY PUBLISHING CO TERM NOTES				6,907,303.01	6,872,766.49	6,907,303.01	6,907,303.01	(34,536.52	)	—		—	—		—	—	M-J-S-D	—	346,612.98		5312016	10152018
BRSN4HND5	RCI BANQUE SA				978,525.37	882,444.37	650,000.00	974,927.74	12,343.97		(3,597.63	)	—	(104,827.34	)	3.0000	1.7812	May	10,062.81	(1,866.23	)		5092019
F7S02WAB2	RCI BANQUE SA SENIOR CORP BND EMTN	D		2FE	521,157.62	446,315.01	340,000.00	516,642.87	2,276.97		(2,012.01	)	—	(72,604.83	)	2.1250	1.5791	October	9,257.06	—		1162015	10062017
BRT3B1WC7	REALOGY CORP SECURED TERM LOAN		1	3FE	381,319.44	383,583.71	381,319.44	381,319.44	2,264.27		—		—	—		—	—	M-J-S-D	—	2,309.58		7142016	7202022
G7457KAB7	REED ELSEVIER INVESTMENTS PLC CORP BND	D		2FE	624,432.8	486,926.75	350,000.00	581,024.25	4,210.85		(20,881.08	)	—	(98,308.36	)	7.0000	1.7183	December	25,651.7	—		10302015	12112017
75886QAG8	REGATTA III FUNDING LTD REGTS_ ABS_14-1A	F	2	1FE	237,812.5	247,963.3	250,000.00	239,156.14	8,807.16		1,117.56		—	—		3.5301	4.4296	J-A-J-O	1,912.14	6,417.83		12142015	4152026
75887HAL6	REGT5_14-1A ABS_14-1A A2B2 144A	F	2		3,000,000	3,000,433.2	3,000,000.00	3,000,000	433.2		—		—	—		3.8645	3.8827	J-A-J-O	21,898.83	83,618.39		10082014	10252026
BRSMPYBS7	RENT-A-CENTER, INC/TX SENIOR SECURED TER			3FE	2,243,941.34	2,229,846.24	2,255,217.44	2,247,966.15	(18,119.91	)	2,479.39		—	—		—	0.0711	M-J-S-D	—	63,431.89		3142014	3192021
76111XYJ6	RESIDENTIAL ASSET MORTGAGE PR CMO_05-SA4		2		453,252.51	440,605.16	469,691.71	456,969.96	(16,364.8	)	1,122.48		—	—		3.4110	4.1947	Monthly	1,335.1	12,259		8162007	9252035
76117QAC6	RESIDENTIAL REINSURANCE 2014 L SENIOR CO	F			500,000	505,560	500,000.00	500,000	5,560		—		—	—		5.1353	5.1353	M-J-S-D	1,783.08	18,652.8		11202014	12062018
76118DAA8	RESIDENTIAL REINSURANCE 2015 L CORP BND	F			250,000	257,067.5	250,000.00	250,000	7,067.5		—		—	—		10.9700	10.9700	M-J-S-D	1,904.51	21,242.68		5212015	6062019
76118DAB6	RESIDENTIAL REINSURANCE 2015 L CORP BND	F			500,000	518,750	500,000.00	500,000	18,750		—		—	—		5.9600	5.9600	M-J-S-D	2,069.44	23,444.8		5212015	6062019
76118DAC4	RESIDENTIAL REINSURANCE 2015 L SENIOR CO	F			400,000	411,780	400,000.00	400,000	11,780		—		—	—		7.4833	7.4833	M-J-S-D	2,078.7	22,685.4		11202015	12062019
76118GAA1	RESIDENTIAL REINSURANCE 2016 L SENIOR CO	F			250,000	256,520	250,000.00	250,000	6,520		—		—	—		0.9382	0.9382	M-J-S-D	162.88	7,969.61		4282016	6062020
76118GAB9	RESIDENTIAL REINSURANCE 2016 L SENIOR CO	F			383,000	386,175.07	383,000.00	383,000	3,175.07		—		—	—		5.0853	5.0853	M-J-S-D	1,352.54	5,243.64		4282016	6062020
76118GAC7	RESIDENTIAL REINSURANCE 2016 L SENIOR CO	F			500,000	506,810	500,000.00	500,000	6,810		—		—	—		—	—	M-J-S-D	—	4,824.65		4282016	6062023

76131VAA1	RETAIL PROPERTIES OF AME SENIOR CORP BND		1	2FE	1,458,055.9	1,459,058.17	1,465,000.00	1,458,963.39	94.78		441.02		—	—		4.0000	4.0581	Mar-Sep	2,604.44	58,600		3052015	3152025
761713BC9	REYNOLDS AMERICAN INC SENIOR CORP BND			2FE	6,917,084.75	6,973,778.84	6,875,000.00	6,905,958.46	67,820.38		(9,530.89	)	—	—		2.3000	2.1955	Jun-Dec	47,876.73	66,859.72		6202016	6122018
761713BE5	REYNOLDS AMERICAN INC SENIOR CORP BND			2FE	1,219,687.32	1,220,988.13	1,162,000.00	1,215,238.8	5,749.33		(4,237.99	)	—	—		3.2500	1.8231	Jun-Dec	11,434.41	2,692.08		6162016	6122020
761713BG0	REYNOLDS AMERICAN INC SENIOR CORP BND		1	2FE	229,303.1	256,777.34	230,000.00	229,377.46	27,399.88		43.24		—	—		4.4500	4.4879	Jun-Dec	3,098.94	5,117.5		6092015	6122025
761713BT2	REYNOLDS AMERICAN INC SENIOR CORP BND			2FE	3,534,030	3,513,060.15	3,000,000.00	3,494,444.17	18,615.98		(39,585.83	)	—	—		6.8750	2.0789	May-Nov	85,937.5	(24,062.5	)	6082016	5012020
BRT3GL1G3	REYNOLDS GROUP HOLDINGS INC SECURED TERM		1	4FE	1,742,005.82	1,748,745.36	1,744,186.05	1,742,005.82	6,739.54		—		—	—		—	0.0202	M-J-S-D	—	—		9292016	2052023
BRSR063T1	RICHELIEU FOODS INC REVOLVE LOAN				242,544.24	238,906.08	242,544.24	242,544.24	(3,638.16	)	—		—	—		—	—	F-M-A-N	—	1,250.13		9262016	5212019
BRSR06452	RICHELIEU FOODS INC SENIOR SECURED TERM				4,726,653.82	4,655,754.01	4,726,653.82	4,726,653.82	(70,899.81	)	—		—	—		—	—	J-A-J-O	—	210,061.54		11232014	5212019
76541VKC0	RICHMOND VA MUNITAX BND GO			1FE	5,000,000	5,020,300	5,000,000.00	5,000,000	20,300		—		—	—		1.5070	1.5070	Jan-Jul	15,907.22	75,350		9292015	7152017
769047GX3	RIVERSIDE CALIF MUNITAX BND REV			1FE	1,103,470	1,037,570	1,000,000.00	1,030,987.49	6,582.51		(27,479.33	)	—	—		5.6100	1.8474	Feb-Aug	9,350	56,100		8072009	8012017
771196BA9	ROCHE HOLDINGS INC SENIOR CORP BND 144A		1	1FE	1,010,770	1,023,431.63	1,000,000.00	1,008,410.27	15,021.36		(2,073.39	)	—	—		2.2500	1.9519	Mar-Sep	62.5	22,500		11192015	9302019
771196BB7	ROCHE HOLDINGS INC SENIOR CORP BND 144A		1	1FE	226,736.85	225,711.01	215,000.00	226,162.94	(451.93	)	(573.91	)	—	—		2.8750	1.7490	Mar-Sep	34.34	1,579.66		6222016	9292021
777594YX4	ROSEMOUNT MN SCH DIST #196 MUNI BND GO		1	1FE	641,590	639,635	500,000.00	633,455.54	6,179.46		(8,134.46	)	—	—		5.0000	1.8702	Feb-Aug	4,166.67	11,458.33		2102016	2012027
780082AA1	ROYAL BANK OF CANADA SECURED LOCAL BND	A			1,516,575	1,516,814.93	1,500,000.00	1,516,167.06	647.87		(407.94	)	—	—		1.8750	1.5429	Feb-Aug	4,375	(1,953.13	)	8252016	2052020
780082AC7	ROYAL BANK OF CANADA SECURED LOCAL BND	A		1FE	849,719.5	865,486.93	850,000.00	849,771.35	15,715.58		40.30		—	—		2.1000	2.1070	Apr-Oct	8,280.42	8,925		10062015	10142020
78011DAC8	ROYAL BANK OF CANADA SECURED LOCAL BND	A		1FE	7,567,742.8	7,586,442.92	7,580,000.00	7,575,512.08	10,930.84		3,430.10		—	—		1.2000	1.2371	Mar-Sep	3,032	90,960		6082015	9192017
78011DAG9	ROYAL BANK OF CANADA SECURED LOCAL BND	A		1FE	526,489.65	525,820.1	515,000.00	526,176.04	(355.94	)	(313.61	)	—	—		2.2000	1.4527	Mar-Sep	251.78	723.86		8252016	9232019
BRSNFTGX1	ROYAL BANK OF CANADA SENIOR CORP BND EMT	T		1FE	1,166,566.62	904,989.92	700,000.00	1,167,880.21	(3,112.79	)	423.08		—	(259,777.5	)	0.7793	0.8291	M-J-S-D	485.32	7,614.85		5282014	6042019
78008SVD5	ROYAL BANK OF CANADA SENIOR CORP BND MTN	A		1FE	4,094,875	4,109,949.88	4,100,000.00	4,098,641.72	11,308.16		775.74		—	—		1.5000	1.5260	Jan-Jul	12,812.5	61,500		1072013	1162018
78012KRK5	ROYAL BANK OF CANADA SENIOR CORP BND MTN	A		1FE	784,105.1	783,775.78	785,000.00	784,155.99	(380.21	)	50.89		—	—		1.5000	1.5390	Jan-Jul	2,027.92	—		7252016	7292019
BRSQT5KB4	RPI FINANCE TRUST SENIOR SECURED TERM NO		2	2FE	3,555,493.35	3,577,565.79	3,565,468.15	3,557,115.31	20,450.48		1,546.96		—	—		—	0.0491	M-J-S-D	—	89,075.06		11242015	11092020
783186QV4	RUTGERS UNIVERSITY NEW JERSEY MUNITAX BN			1FE	1,152,610.5	1,161,615	1,150,000.00	1,151,178.93	10,436.07		(544.31	)	—	—		2.0090	1.9430	May-Nov	9,626.46	11,551.75		6142013	5012018
78355HJV2	RYDER SYSTEM INC. SENIOR CORP BND MTN		1	2FE	1,762,659.8	1,774,300.7	1,745,000.00	1,757,990.39	16,310.31		(3,673.34	)	—	—		2.4500	1.9751	May-Nov	16,150.94	13,821.75		4112016	11152018
78355HJX8	RYDER SYSTEM INC. SENIOR CORP BND MTN		1	2FE	2,387,011.85	2,421,325.62	2,385,000.00	2,388,388.21	32,937.41		525.33		—	—		2.4500	2.5303	Mar-Sep	4,869.38	51,000.83		7082016	9032019
78355HJZ3	RYDER SYSTEM INC. SENIOR CORP BND MTN		1	2FE	443,776.25	450,817.27	445,000.00	444,100.78	6,716.49		176.26		—	—		2.5000	2.5589	May-Nov	4,326.39	5,562.5		5042015	5112020
78355HKB4	RYDER SYSTEM INC. SENIOR CORP BND-EMTN		1	2FE	1,498,770	1,571,131.79	1,500,000.00	1,498,972.75	72,159.04		202.75		—	—		3.4500	3.4641	May-Nov	31,193.75	—		2172016	11152021
78409VAH7	S&P GLOBAL INC SENIOR CORP BND			2FE	69,944.13	71,079.57	70,000.00	69,949.15	1,130.42		5.02		—	—		2.5000	2.5400	Feb-Aug	223.61	77.78		7292016	8152018
78573AAG5	SABMILLER HOLDINGS INC SENIOR CORP BND 1			1FE	2,750,000	2,747,827.45	2,750,000.00	2,750,000	(2,172.55	)	—		—	—		1.4465	1.4465	F-M-A-N	6,740.29	25,378.62		8062013	8012018
78572MAF2	SABMILLER PLC CORP BND 144A	F		1FE	3,491,297.4	3,238,651.03	2,980,000.00	3,214,607.18	24,043.85		(96,043.05	)	—	—		6.5000	2.0081	Jan-Jul	40,892.22	193,700		7212014	7152018
BRSHCGRY1	SABRE INC SENIOR SECURED TERM NOTES		2	3FE	4,282,187.39	4,319,844.85	4,303,705.95	4,295,107.3	24,737.55		5,094.05		—	—		—	0.0827	F-M-A-N	—	157,569.29		2152013	2192019
786134UZ7	SACRAMENTO SATN MUNITAX BND REV			1FE	2,485,000	2,553,809.65	2,485,000.00	2,485,000	68,809.65		—		—	—		2.2390	2.2390	Jun-Dec	18,546.38	27,819.58		11062014	12012019
BRSUCDW31	SAFEWORKS LLC SENIOR SECURED TERM LOAN				2,186,498.53	2,153,701.05	2,186,498.53	2,186,498.53	(32,797.48	)	—		—	—		—	—	J-A-J-O	—	92,926.91		6232015	7312019
801060AB0	SANOFI SENIOR CORP BND	F		1FE	8,831,060.7	8,875,412.47	8,870,000.00	8,857,850.38	17,562.09		5,873.60		—	—		1.2500	1.3411	Apr-Oct	52,665.63	55,437.5		4032013	4102018
802385MG6	SANTA MONICA CALIF CMNTY COLLE MUNITAX B			1FE	3,421,699.2	3,468,173.6	3,440,000.00	3,431,094.19	37,079.41		3,550.55		—	—		1.8640	2.0085	Feb-Aug	10,686.93	64,121.6		6062013	8012018

G0054BFG3	SANTANDER UK PLC SECURED CORP BND	D		1FE	654,454.82	617,511.72	400,000.00	648,632.9	10,497.77		(7,769.93	)	—	(41,618.94	)	5.1250	1.3257	April	12,402.78	21,426.22	9272016	4142021
BRSLX0WL6	SANTANDER UK PLC SECURED LOCAL BND EMTN	D			654,350.13	519,823.43	400,000.00	655,220.64	302.21		267.04		—	(135,699.42	)	0.8233	0.8732	J-A-J-O	855.52	5,049.7	1132014	1202017
80283LAN3	SANTANDER UK PLC SENIOR CORP BND	F		1FE	1,247,933.52	1,257,929.23	1,250,000.00	1,248,127.59	9,801.64		194.07		—	—		2.3750	2.4204	Mar-Sep	1,236.98	8,658.85	6012016	3162020
BRSM3U3W9	SBA COMMUNICATIONS CORPORATION SENIOR SE		2	4FE	2,919,275.69	2,928,941.64	2,926,503.87	2,921,867.07	7,074.57		1,914.20		—	—		—	0.0349	J-A-J-O	—	96,341.6	3312014	3242021
83164JU46	SBA PRIME FLTR SBA PRIME FLTR		2	1FE	1,153,465.49	1,205,482.82	1,139,517.80	1,151,500.84	53,981.98		(2,005.95	)	—	—		2.6000	2.3920	Monthly	2,468.96	22,904.8	11172009	4252031
78403DAG5	SBA TOWER TRUST SECURED CORP BND 144A			1FE	4,000,000	4,056,212.8	4,000,000.00	4,000,000	56,212.8		—		—	—		2.8980	2.9152	Monthly	5,152	86,940	10072014	10152044
82735LAA1	SBY_14-1 ABS_14-1 A 144A		2		1,125,354.52	1,118,122.88	1,125,354.52	1,125,354.52	(7,231.64	)	(0.01	)	—	—		1.5243	1.5275	Monthly	667.08	12,412.56	7302014	9172031
BRSXWU816	SCHLUMBERGER HOLDINGS CORP SENIOR CORP B				3,999,520	4,069,920	4,000,000.00	3,999,641.48	70,278.52		116.81		—	—		2.3500	2.3542	Jun-Dec	26,111.11	47,000	12102015	12212018
80685PAD0	SCHLUMBERGER NORGE AS SENIOR CORP BND 14	F		1FE	1,368,739.6	1,368,309.42	1,370,000.00	1,369,784.36	(1,474.94	)	192.05		—	—		1.2500	1.2690	Feb-Aug	2,854.17	17,125	7242012	8012017
80705TAA4	SCHOL_11-A ABS 11-A A 144A		2	1FE	1,160,889.42	1,136,737.57	1,184,262.00	1,167,502.87	(30,765.3	)	3,361.43		—	—		1.6430	1.8764	J-A-J-O	3,513.15	14,004.42	3222011	10282043
80705XAA5	SCHOLAR FUNDING TRUST SCHOL_13 ABS 13-A		2		640,257.62	608,653.03	643,310.75	641,014.2	(32,361.17	)	704.76		—	—		1.1744	1.2495	Monthly	62.96	5,977.86	3122013	1302045
BRSJA4801	SCINTFIC GMS INT INC SENIOR SECURED TERM		2	3FE	1,462,348.92	1,496,325.32	1,492,327.37	1,464,850.7	31,474.62		2,664.82		—	—		—	0.4528	F-M-A-N	—	29,121.02	5122016	10182020
BRSPRQ8H3	SCINTFIC GMS INT INC SENIOR SECURED TERM		2	4FE	495,613.89	499,120.47	498,730.96	495,687.01	3,433.46		81.05		—	—		—	0.1207	M-J-S-D	—	3,075.65	7072016	10012021
G79314AG8	SCOTTISH POWER UK PLC CORP BND	D		2FE	1,525,102.18	1,135,452.65	850,000.00	1,368,184.46	2,963.66		(65,899.59	)	—	(235,695.46	)	8.3750	1.6438	February	56,767.88	109,422.31	12102014	2202017
811065AB7	SCRIPPS NETWORKS INTERACTIVE I SENIOR CO		1	2FE	685,610	696,452.51	680,000.00	683,600.18	12,852.33		(842.52	)	—	—		2.7500	2.5681	May-Nov	7,064.44	9,350	12042014	11152019
80285CAD3	SDART_16-2 SENIOR ABS 2016-2 A2A		2	1FE	944,933.47	946,455.68	945,000.00	944,951.25	1,504.43		17.78		—	—		1.3800	1.3889	Monthly	579.6	4,491.9	5032016	7152019
BRSM9G9V0	SEADRILL OPERATING LP SENIOR SECURED TER	F	2	5FE	812,963.65	410,351.02	825,343.77	817,016.24	(406,665.22	)	1,488.36		—	—		—	0.2276	M-J-S-D	—	25,256.09	6182014	2212021
BRSJ9AUR5	SEAWORLD PARKS & ENTERTAINMENT SENIOR SE		2	3FE	2,978,253.06	2,931,083.54	2,994,721.36	2,985,513.98	(54,430.44	)	1,903.67		—	—		—	0.0839	M-J-S-D	—	68,740.57	1022014	5142020
81618TAA8	SELECT INCOME REIT SENIOR CORP BND		1	2FE	2,939,857.97	2,969,516.61	2,950,000.00	2,944,862.67	24,653.94		2,802.77		—	—		2.8500	2.9842	Feb-Aug	14,012.5	84,075	9292015	2012018
BRSNU6VW9	SERVICEMASTER CO LLC SENIOR SECURED TERM		2	3FE	491,237.36	499,744.55	494,949.48	491,700.32	8,044.23		491.37		—	—		—	0.1368	M-J-S-D	—	15,678.16	12232015	7012021
BRSH8YLF4	SESAC HOLDCO II LLC SENIOR SECURED TERM			2Z	662,508.31	666,297.01	667,966.92	665,612.74	684.27		834.34		—	—		—	0.1478	F-M-A-N	—	27,445.28	4162015	2082019
81881UAE7	SHACK_13-4A ABS 2013-4A C 144A	F	2	1FE	1,214,375	1,251,250	1,250,000.00	1,222,240.84	29,009.16		3,414.35		—	—		3.6691	4.1445	J-A-J-O	10,191.94	33,521.62	1062015	1132025
81881VAJ4	SHACK_14-5A ABS 14-5A C1 144A	F	2	1FE	475,000	493,178.7	500,000.00	480,304.72	12,873.98		2,344.98		—	—		3.4876	4.8593	F-M-A-N	2,615.7	12,254.54	1212015	5072026
81881LAD9	SHACK_14-6 MEZZANIN ABS 2014-6A C-144A	F	2	1FE	472,500	496,574.6	500,000.00	473,924.07	22,650.53		1,424.07		—	—		3.7791	4.7928	J-A-J-O	3,936.56	3,421.78	5102016	7172026
822582BK7	SHELL INTERNATIONAL FINANCE BV SENIOR CO	F		1FE	886,499.28	889,857.16	888,000.00	887,163.35	2,693.81		558.40		—	—		1.2500	1.3359	May-Nov	4,347.5	5,550	12232015	11102017
822582BM3	SHELL INTERNATIONAL FINANCE BV SENIOR CO	F		1FE	9,967,100	10,023,840.3	10,000,000.00	9,976,700.92	47,139.38		8,067.94		—	—		1.6250	1.7380	May-Nov	63,645.83	81,250	11052015	11102018
BRSR1R5H8	SHELL: ATLAS_14-1 ABS 14-1		2		3,583,200	3,547,368	3,583,200.00	3,583,200	(35,832	)	—		—	—		4.8750	4.9225	Monthly	7,763.6	134,824.66	12182014	12152020
26250DAU7	SHELL: DRSLF_12-24RA ABS 12-24RA CR 144	F	2		1,500,000	1,503,786.9	1,500,000.00	1,500,000	3,786.9		—		—	—		3.5170	3.5320	F-M-A-N	6,887.46	36,798.12	4292015	11152023
BRSXDXJR2	SHOES FOR CREWS LLC SECURED TERM LOAN			4FE	6,722,456.56	6,714,053.49	6,722,456.56	6,722,456.56	(8,403.07	)	—		—	—		—	—	M-J-S-D	—	335,661.93	11202015	10272022
BRSNC4883	SI ORGANIZATION INC SENIOR SECURED TERM			4FE	733,968.82	742,064.06	739,291.72	734,305.79	7,758.27		351.00		—	—		—	0.2120	M-J-S-D	—	9,116.22	6142016	11232019
82620KAC7	SIEMENS FINANCIERINGSMAATSCHAP SENIOR CO	F		1FE	1,498,020	1,524,163.17	1,500,000.00	1,498,531.98	25,631.19		551.44		—	—		2.1500	2.1780	May-Nov	11,108.33	41,913.06	5182015	5272020
826239EQ4	SIERRA CALIF JT CMNTY COLLEGE MUNI BND G		1	1FE	1,366,855.5	1,416,869	1,150,000.00	1,321,980.89	94,888.11		(17,099.98	)	—	—		5.0000	2.5974	Feb-Aug	9,583.33	57,500	9132013	8012027
BRSHAG9G2	SILVER II BORROWER SCA SENOIR SECURED TE	R	2	4FE	3,193,307.55	2,980,952.6	3,193,307.55	3,193,307.55	(212,354.95	)	—		—	—		—	—	F-M-A-N	—	97,218.48	8212013	12132019
828428AC6	SILVERMORE CLO LTD SMORE_14-1A ABS_14-1A	E	2	1FE	959,000	979,218.6	1,000,000.00	965,327.77	13,890.83		4,831.36		—	—		2.8670	3.6526	F-M-A-N	3,743.03	19,598.07	10052015	5152026

G8162ZAD4	SILVERSTONE MASTER ISSUER PLC ABS_09-1 A	D	2	1FE	833,161.5	663,947.48	510,000.00	833,161.5	1,457.48		—		—	(170,671.5	)	5.0630	5.0592	Apr-Oct	14,978.98	19,960.51		10272009	1212055
828807CA3	SIMON PROPERTY GROUP LP CORP BND		1	1FE	405,007.68	367,142.01	308,000.00	363,032.1	4,109.91		(17,703.57	)	—	—		10.3500	2.1726	Apr-Oct	15,939	15,939		12112014	4012019
828807CD7	SIMON PROPERTY GROUP LP CORP BND		1	1FE	1,964,190.21	1,911,781.05	1,706,000.00	1,887,072.81	24,708.24		(42,318.15	)	—	—		5.6500	2.0798	Feb-Aug	16,064.83	96,389		5132015	2012020
828807CJ4	SIMON PROPERTY GROUP LP SENIOR CORP BND		1	1FE	102,377	100,659.36	100,000.00	100,782.63	(123.27	)	(821.84	)	—	—		2.1500	1.0350	Mar-Sep	95.56	2,150		4142015	9152017
828807CM7	SIMON PROPERTY GROUP LP SENIOR CORP BND		1	1FE	5,866,344	5,881,426.5	5,860,000.00	5,862,844.42	18,582.08		(2,026.21	)	—	—		1.5000	1.4498	Feb-Aug	14,650	96,566.67		7202015	2012018
828807CQ8	SIMON PROPERTY GROUP LP SENIOR CORP BND		1	1FE	8,367,698.9	8,510,096.65	8,369,000.00	8,371,453.28	138,643.37		(388.76	)	—	—		2.2000	1.8391	Feb-Aug	30,686.32	170,429.11		3102016	2012019
828807CR6	SIMON PROPERTY GROUP LP SENIOR CORP BND		1	1FE	840,720	866,876.71	800,000.00	834,159.91	32,716.8		(3,202.58	)	—	—		3.7500	3.0749	Feb-Aug	5,000	30,000		3042015	2012024
828807CU9	SIMON PROPERTY GROUP LP SENIOR CORP BND		1	1FE	599,658	617,137.94	600,000.00	599,733.53	17,404.41		50.03		—	—		2.5000	2.5120	Mar-Sep	1,250	15,583.34		8102015	9012020
BRSUDWG69	SIX FLAGS THEME PARKS INC SENIOR SECURED			3FE	1,010,988.88	1,015,633.85	1,013,522.68	1,011,414.42	4,219.43		656.75		—	—		—	0.0357	M-J-S-D	—	28,886.48		6292015	6302022
BRT3ST4Q8	SKANDINAVISKA ENSKILDA BANKEN SENIOR COR	D		1FE	1,003,149.7	983,245.63	760,000.00	1,003,168.48	(3,904.13	)	21.64		—	(16,018.72	)	1.2500	1.2480	August	1,927.15	(241.45	)	9262016	8052022
784423AF2	SLCLT_04-1 ABS 04-1		2		983,750	986,909	1,000,000.00	994,066.7	(7,157.7	)	1,886.20		—	—		0.9770	1.2967	F-M-A-N	1,275.53	5,263.07		5202013	5152023
78446XAB1	SLM STUDENT LOAN TRUST ABS_12-B A2 144A		2	1FE	669,651.19	683,326.27	669,719.97	669,677.6	13,648.67		16.04		—	—		3.4800	3.5066	Monthly	1,035.83	21,692.7		4042012	10152030
78442GSC1	SLM STUDENT LOAN TRUST SLMA_06 ABS_06-3-		2	1FE	44,400.76	44,362.83	44,470.89	44,457.9	(95.07	)	19.18		—	—		0.7945	0.8610	J-A-J-O	66.74	296.24		11302012	7252019
78446JAA4	SLM STUDENT LOAN TRUST SLMA_11 ABS 11-2		2	1FE	1,170,801.48	1,170,377.37	1,173,075.48	1,171,957.9	(1,580.53	)	579.97		—	—		1.1244	1.1643	Monthly	183.19	10,905.23		5182011	11252027
78446TAC8	SLM STUDENT LOAN TRUST SLMA_11 SENIOR AB		2	1FE	417,147.62	405,704.69	386,010.45	404,159.77	1,544.92		(7,043.82	)	—	—		4.5400	2.5227	Monthly	778.88	14,730.65		7312014	10172044
78446VAA7	SLM STUDENT LOAN TRUST SLMA_12 ABS 12-A		2		215,259.52	215,286.24	214,824.95	214,908.23	378.01		(461.94	)	—	—		1.9243	1.7980	Monthly	183.72	5,781.26		5132014	8152025
78447FAA1	SLM STUDENT LOAN TRUST SLMA_12 ABS 12-E		2	1FE	156,998.49	157,066.72	156,963.13	156,967.64	99.08		(42.08	)	—	—		1.2743	1.2776	Monthly	88.9	3,291.22		11212013	10162023
78447FAB9	SLM STUDENT LOAN TRUST SLMA_12 ABS_12-E		2	1FE	1,065,601.56	1,058,127.03	1,050,000.00	1,054,718.73	3,408.3		(2,310.98	)	—	—		2.0900	1.8150	Monthly	975.33	15,863.68		1212016	6152045
78447VAA6	SLM STUDENT LOAN TRUST SLMA_13 ABS 13-B		2	1FE	691,458.6	692,537.26	691,458.60	691,458.6	1,078.66		—		—	—		1.1743	1.1771	Monthly	360.87	8,100.13		4252013	7152022
784442AC9	SLMA ABS 08_2 A3		2	1FE	1,150,625.92	1,130,187.94	1,162,386.00	1,156,555.81	(26,367.87	)	1,488.51		—	—		1.4645	1.6162	J-A-J-O	3,215.48	12,225.97		3272012	4252023
78446JAB2	SLMA_11-2 ABS 11-2		2	1FE	775,000	751,052.53	775,000.00	775,000	(23,947.47	)	—		—	—		1.7244	1.7306	Monthly	185.61	9,712.65		5182011	10252034
78447KAB8	SLMA_12-7 ABS 12-7		2	1FE	736,255.6	733,822.48	736,740.00	736,649.56	(2,827.08	)	111.76		—	—		0.8053	0.8242	Monthly	82.4	5,541.71		11022012	9252019
78448AAA1	SLMA_13-4 ABS 13-4		2		470,164.2	454,413.71	470,164.20	470,164.2	(15,750.49	)	—		—	—		1.0744	1.0768	Monthly	70.16	3,852.75		8062013	6252027
78448CAF6	SLMA_13-6 ABS 13-6 A2		2	1FE	299,833.26	299,728.31	299,833.26	299,833.26	(104.95	)	—		—	—		1.0244	1.0265	Monthly	42.66	3,124.32		11062013	2252021
78447RAA5	SLMA_13-A ABS 13-A 144A		2		144,448.6	144,853.54	144,629.37	144,582.12	271.42		123.71		—	—		1.1243	1.1921	Monthly	72.27	1,756.1		11212013	8152022
78447RAB3	SLMA_13-A ABS 13-A 144A		2	1FE	459,870.23	459,443.39	460,000.00	459,946.5	(503.11	)	16.70		—	—		1.7700	1.7815	Monthly	361.87	6,106.5		2272013	5172027
78447RAC1	SLMA_13-A ABS 13-A 144A		2	1FE	2,425,000	2,444,957.71	2,425,000.00	2,425,000	19,957.71		—		—	—		1.5743	1.5794	Monthly	1,696.73	27,514.25		2272013	5172027
78447VAB4	SLMA_13-B ABS_13-B-A2A		2		804,859.37	804,500.93	805,000.00	804,926.62	(425.69	)	13.49		—	—		1.8500	1.8598	Monthly	661.89	11,169.45		4252013	6172030
78447VAC2	SLMA_13-B ABS_13-B-A2B		2		615,000	618,567.01	615,000.00	615,000	3,567.01		—		—	—		1.6243	1.6298	Monthly	443.97	7,212.75		4252013	6152030
78448MAD9	SMAT_15-1US ABS_15-1US A3A	F	2	1FE	1,949,905.62	1,945,220.55	1,950,000.00	1,949,921.73	(4,701.18	)	4.35		—	—		1.5000	1.5063	Monthly	1,381.25	21,937.5		3102015	9142018
78449GAB5	SMB PRIVATE EDUCATION LOAN TRU SENIOR AB		2		394,985.98	395,912.46	395,000.00	394,986.93	925.53		0.95		—	—		2.4300	2.4424	Monthly	426.6	1,439.78		7132016	2172032
78449FAB7	SMB_16-A SENIOR ABS 16-A A2A 144A		2	1FE	679,710.8	692,984.87	680,000.00	679,725.76	13,259.11		14.96		—	—		2.7000	2.7222	Monthly	816	5,559		5182016	5152031
BRSWD19K0	SMYTH COMPANIES LLC BANK LOAN				800,986.64	798,984.17	800,986.64	800,986.64	(2,002.47	)	—		—	—		—	—	J-A-J-O	—	(24,277.09	)	9132016	9252020
BRSWD1953	SMYTH COMPANIES LLC CORP BOND				3,028,676.72	3,021,105.03	3,028,676.72	3,028,676.72	(7,571.69	)	—		—	—		—	—	M-J-S-D	—	167,978.51		9252015	9252020
BRSL51FK6	SNADY CREEK ENERGY ASSOC LP SENIOR SECUR		2	3FE	2,131,548.92	1,781,647.12	2,142,260.21	2,135,888.08	(354,240.96	)	1,370.21		—	—		—	0.0715	F-M-A-N	—	82,580.12		12122013	11092020
BRSX0J9L1	SNAPAV LLC SENIOR SECURED TERM LOAN				1,994,528.49	1,979,569.53	1,994,528.49	1,994,528.49	(14,958.96	)	—		—	—		—	—	M-J-S-D	—	60,573.86		10192015	6122019
83367TBF5	SOCIETE GENERALE SA JRSUB CORP BND 144A	F	1	3FE	2,526,575	2,425,000	2,500,000.00	2,524,661.5	(99,661.5	)	(1,876.90	)	—	—		7.8750	7.6942	Jun-Dec	56,328.13	98,437.5		11102015	12312049

83404LAC5	SOFI_16-D SENIOR ABS 16-D 144A		2		99,987.56	99,985.76	100,000.00	99,987.54	(1.78	)	(0.02	)	—	—		2.3400	2.3526		Monthly	78	—		9132016	4252033
83546DAD0	SONIC CAPITAL LLC SONIC_16-1A ABS 16-1A		2	1FE	765,136.32	766,436.42	747,500.00	757,620.97	8,815.45		(7,544.85	)	—	—		4.4720	(5.2955	)	Monthly	1,021.42	5,113.29		7202016	5202046
83710RLV7	SOUTH CAROLINA ST MUNI BND GO			1FE	1,180,940	1,153,290	1,000,000.00	1,157,452.97	(4,162.97	)	(23,487.03	)	—	—		5.0000	0.8186		Feb-Aug	29,166.66	20,833.34		2232016	8012020
842400GB3	SOUTHERN CALIFORNIA EDISON CO. SECURED C			1FE	3,905,148	3,900,545.61	3,900,000.00	3,901,022.27	(476.66	)	(1,337.82	)	—	—		1.1250	1.0799		May-Nov	18,281.25	23,843.75		2242016	5012017
842400GF4	SOUTHERN CALIFORNIA EDISON CO. SECURED C		2	1FE	3,594,642.88	3,616,139.38	3,594,642.88	3,594,642.88	21,496.5		—		—	—		1.8450	1.8441		Feb-Aug	11,053.53	75,364.96		1132015	2012022
842587CQ8	SOUTHERN COMPANY (THE) SENIOR CORP BND			2FE	2,334,556.35	2,350,834.16	2,335,000.00	2,334,608.37	16,225.79		52.02		—	—		1.8500	1.8560		Jan-Jul	15,239.11	—		5192016	7012019
842587CS4	SOUTHERN COMPANY (THE) SENIOR CORP BND		1	2FE	4,048,000	4,057,816.16	4,000,000.00	4,045,466.93	12,349.23		(2,533.07	)	—	—		2.3500	2.0929		Jan-Jul	33,161.11	(7,050	)	6162016	7012021
842587CU9	SOUTHERN COMPANY (THE) SENIOR CORP BND		1	2FE	359,694	371,930.9	360,000.00	359,710.18	12,220.72		16.18		—	—		2.9500	2.9629		Jan-Jul	3,746.5	—		5192016	7012023
842808AF4	SOUTHERN ELEC SENIOR CORP BND 144A			1FE	3,333,899.45	3,349,792.89	3,335,000.00	3,334,515.34	15,277.55		162.27		—	—		2.2000	2.2069		Jun-Dec	24,456.67	36,685		11182013	12012018
843646AN0	SOUTHERN POWER COMPANY SENIOR CORP BND			2FE	2,398,608	2,408,011.92	2,400,000.00	2,399,202.33	8,809.59		516.47		—	—		1.8500	1.8789		Jun-Dec	14,800	23,926.67		12232015	12012017
84650WAD8	SPAREBNK 1 BOLIG LOCAL BND 144A	F		1FE	2,294,388	2,319,722.5	2,300,000.00	2,299,153.92	20,568.58		836.07		—	—		2.3000	2.3501		Jun-Dec	13,371.94	26,450		3292012	6302017
84650WAE6	SPAREBNK 1 BOLIG SECURED LOCAL BND 144A	F		1FE	5,854,157	5,933,217.24	5,900,000.00	5,878,807.52	54,409.72		4,901.34		—	—		1.7500	1.8690		May-Nov	39,005.56	51,625		11072012	11152019
84861CAA3	SPMF 2014-4A SENIOR CMBS _14-4A A1		2	1FE	3,992,636	3,884,140.4	4,000,000.00	3,992,604.07	(108,463.67	)	(2.73	)	—	—		3.5014	3.5267		Monthly	11,671.33	105,041.97		11212014	1202045
78467MAA1	SRER_11-RS ABS_11-RS A1B1 144A	F	2	2FE	764,594.82	779,131.05	799,135.24	798,544.76	(19,413.71	)	11,037.03		—	—		0.7666	1.2588		Monthly	374.36	6,128.26		11132014	5092046
85571XAL1	SRTP _14-STAR ABS _14-STAR -B		2	1FE	2,000,000	1,964,799.2	2,000,000.00	2,000,000	(35,200.8	)	—		—	—		2.1750	2.1847		Monthly	1,933.33	31,866.78		11072014	11152027
BRSU95US9	SS&C EUROPEAN HOLDINGS SARL SENIOR SECUR	F		3FE	67,991.8	68,809.35	68,333.48	68,048.61	760.74		145.15		—	—		—	0.0714		M-J-S-D	—	2,843.52		6292015	7082022
BL1658048	SS&C TECHNOLOGIES INC				547,128.78	553,707.52	549,878.17	547,585.88	6,121.64		629.67		—	—		—	0.0714		M-J-S-D	—	5,422.43			7082022
BRSRUTM42	SSE PLC CAPSEC CORP BND	D	1		1,004,364.81	881,741.1	675,000.00	1,004,364.81	8,597.79		—		—	(131,221.5	)	3.8750	3.8905		September	1,954.84	48,162.31		7262016
G7885VDR7	SSE PLC SENIOR CORP BND	D		1FE	1,276,819.56	1,266,237.36	900,000.00	1,274,094.38	(1,449.28	)	(2,725.18	)	—	(6,407.74	)	5.0000	0.7357		October	58,455	(55,477.78	)	9262016	10012018
30250GAA6	SSGN_10-S1 CMO_10-S1-1A 144A		2	1	1,722.16	1,722.24	1,722.16	1,722.16	0.08		—		—	—		1.0744	1.0768		Monthly	0.26	687.97		3052010	2252048
790849AL7	ST JUDE MEDICAL INC SENIOR CORP BND			1FE	2,324,384.7	2,351,937.07	2,330,000.00	2,326,269.95	25,667.12		1,382.53		—	—		2.0000	2.0840		Mar-Sep	2,071.11	45,564.44		9142015	9152018
853254BD1	STANDARD CHARTERED PLC SENIOR CORP BND M	F		1FE	1,415,000	1,422,216.53	1,415,000.00	1,415,000	7,216.53		—		—	—		1.9413	1.9413		F-M-A-N	3,281.03	—		8162016	8192019
855244AF6	STARBUCKS CORP SENIOR CORP BND		1	1FE	498,600	509,714.66	500,000.00	499,259.08	10,455.58		247.29		—	—		2.0000	2.0700		Jun-Dec	3,222.22	5,000		12022013	12052018
BRSJ08S50	STARWOOD PROPERTY TRUST INC SECURED TERM			3FE	3,341,493.21	3,347,682.23	3,353,272.13	3,346,658.04	1,024.19		1,495.48		—	—		—	0.0452		M-J-S-D	—	89,789.44		10012015	4172020
857477AQ6	STATE STREET CORP CAPSEC CORP BND		1	2FE	2,125,000	2,236,562.5	2,125,000.00	2,125,000	111,562.5		—		—	—		5.2500	5.2500		Mar-Sep	4,958.33	175,546.88		5142015
857477AG8	STATE STREET CORP SENIOR CORP BND			1FE	1,888,683	1,886,977.95	1,700,000.00	1,849,892.96	37,084.99		(23,819.55	)	—	—		4.3750	2.2730		Mar-Sep	4,958.34	74,375		7072015	3072021
857477AK9	STATE STREET CORP SENIOR CORP BND			1FE	3,157,439.5	3,181,117.59	3,175,000.00	3,168,406.34	12,711.25		3,718.46		—	—		1.3500	1.4940		May-Nov	16,192.5	30,206.25		1062014	5152018
857477AN3	STATE STREET CORP SENIOR CORP BND			1FE	1,032,809	1,063,834.08	1,000,000.00	1,028,344.22	35,489.86		(2,274.87	)	—	—		3.3000	3.1490		Jun-Dec	9,625	16,500		12092015	12162024
857477AV5	STATE STREET CORP SENIOR CORP BND			1FE	239,875.2	241,981.92	240,000.00	239,883.96	2,097.96		8.76		—	—		1.9500	1.9610		May-Nov	1,716	—		5162016	5192021
BRT1X83J9	STATION CASINOS LLC SENIOR SECURED TERM		1	3FE	790,496.67	797,150.36	794,469.03	790,654.12	6,496.24		167.40		—	—		—	0.0710		M-J-S-D	—	6,476.81		5252016	6082023
85771PAJ1	STATOILHYDRO ASA SENIOR CORP BND	F		1FE	10,202,467.5	10,215,635.24	10,250,000.00	10,232,058.03	(16,422.79	)	8,132.22		—	—		1.1500	1.1950		May-Nov	44,530.54	58,937.5		4292014	5152018
85771PAR3	STATOILHYDRO ASA SENIOR CORP BND	F		1FE	1,300,434	1,313,151.75	1,300,000.00	1,300,329.68	12,822.07		(114.49	)	—	—		1.9500	1.9800		May-Nov	10,069.59	12,675		11052013	11082018
BRSMDLA59	STENA INTERNATIONAL SARL				1,807,691.71	1,542,928.78	1,825,951.22	1,814,322.71	(271,393.93	)	2,071.32		—	—		—	0.1426		M-J-S-D	—	55,874.62			3032021
BRST248L2	STERIGENICS-NORDION HOLDINGS L SENIOR SE		2	4FE	391,171.36	391,706.61	392,196.86	391,356.68	349.93		118.88		—	—		—	0.0376		M-J-S-D	—	12,750.43		8132015	5162022

86212TAA7	STORE MASTER FUNDING LLC STR_1 ABS_12-1A		2	1FE	2,185,337.72	2,094,390.97	2,068,041.03	2,180,489.77	(86,098.8	)	(3,855.55	)	—	—	5.7700	5.2962	Monthly	3,646.07	89,802.37		3062015	8202042
86213BAB3	STR_14-1A WHOLE CMO _14-1A-A2 144A		2	1FE	1,086,394.55	1,022,936.46	988,333.33	1,082,010.58	(59,074.12	)	(2,336.25	)	—	—	5.0000	4.1910	Monthly	1,509.95	37,140.62		1232015	4202044
86213CAA3	STR_15-1A ABS 15-1A A1 144A		2	1FE	1,489,055.97	1,504,501.55	1,489,375.01	1,489,070.15	15,431.4		1.73		—	—	3.7500	3.7808	Monthly	1,706.58	41,976.57		4142015	4202045
8628113T1	STRATFORD REC CO LLC MUNITAX BND GO			1FE	782,955	775,155	750,000.00	766,211.14	8,943.86		(6,343.64	)	—	—	2.9890	1.8094	Feb-Aug	2,864.46	22,417.5		10182013	8152018
863667AK7	STRYKER CORP SENIOR CORP BND			1FE	1,115,877.35	1,127,577.52	1,115,000.00	1,115,717.05	11,860.47		(160.30	)	—	—	2.0000	1.9732	Mar-Sep	1,424.72	11,026.12		3042016	3082019
BRSM7GLZ9	STS OPERATING SENIOR SECURED TERM NOTES		2	4FE	766,880.45	682,099.69	770,734.11	768,308.12	(86,208.43	)	503.52		—	—	—	0.0712	M-J-S-D	—	25,389.17		2112014	2122021
BL1711854	SUMMIT MATERIALS LLC SENIOR SECURED TERM			4FE	235,815	237,666.68	237,000.00	236,015.49	1,651.19		134.81		—	—	—	0.0708	M-J-S-D	—	246.15		6252015	7182022
BRSMQX4D9	SUNGARD AVAILABILITY SERVICES SENIOR SEC		2	4FE	938,190.07	887,699.24	939,364.28	938,729.53	(51,030.29	)	199.34		—	—	—	0.0268	M-J-S-D	—	43,046.4		7112014	3292019
00254EML3	SVENSK EXPORTKREDIT AB SENIOR CORP BND	F		1FE	4,987,250	4,986,999.9	5,000,000.00	4,987,605.28	(605.38	)	355.28		—	—	1.1250	1.2120	Feb-Aug	5,156.25	—		8242016	8282019
86960BAJ1	SVENSKA HANDELSBANKEN AB SENIOR CORP BND	F		1FE	1,021,690	1,019,814.45	1,000,000.00	1,019,909.33	(94.88	)	(1,780.67	)	—	—	2.4000	1.8810	Apr-Oct	12,000	(3,000	)	5112016	10012020
86960BAN2	SVENSKA HANDELSBANKEN AB SENIOR CORP BND	F			4,987,150	4,981,975.15	5,000,000.00	4,987,428.55	(5,453.4	)	278.55		—	—	1.5000	1.5881	Mar-Sep	5,000	—		8302016	9062019
W94232CA6	SWEDBANK AB SENIOR CORP BND	F		1FE	4,991,550	5,087,897.2	5,000,000.00	4,995,810.06	92,087.14		1,258.00		—	—	2.3750	2.4111	Feb-Aug	11,215.28	118,750		2202014	2272019
87020DAR5	SWEDEN KINGDOM CORP BND 144A MTN	F			1,994,860	1,999,760	2,000,000.00	1,997,738.18	2,021.82		1,282.95		—	—	0.8750	0.9621	Jan-Jul	3,305.56	17,500		1152015	1232018
87020DAL8	SWEDEN KINGDOM CORP BND MTN 144A	F		1FE	2,695,518	2,700,054	2,700,000.00	2,699,826.4	227.6		1,059.98		—	—	1.0000	1.0529	May-Nov	10,200	13,500		8222013	11152016
87158YAQ5	SYMP_12-10AR MEZZANIN ABS 12-10AR CR 144	F	2	1FE	2,500,000	2,500,002	2,500,000.00	2,500,030.57	(28.57	)	30.57		—	—	3.5645	4.0323	J-A-J-O	16,832.36	64,632.04		4082015	7232023
87154EAE0	SYMP_14-15A MEZZANIN ABS_14-15A C 144A	F	2	1FE	1,005,000	1,000,004.4	1,000,000.00	1,004,096.99	(4,092.59	)	(449.85	)	—	—	3.8791	3.8229	J-A-J-O	8,081.46	28,221.12		3162015	10172026
87165LBB6	SYNCC_16-2 SENIOR ABS_16-2 A		2	1FE	8,184,680.8	8,333,148.34	8,185,000.00	8,184,643.55	148,504.79		(37.25	)	—	—	2.2100	2.2186	Monthly	8,039.49	54,769.04		5202016	5152024
87165LBJ9	SYNCHRONY CREDIT CARD MASTER N SENIOR AB		2	1FE	3,979,559.42	3,979,559.42	3,980,000.00	3,979,560.8	(1.38	)	1.38		—	—	1.5800	1.5875	Monthly	1,572.1	—		9142016	9152022
87165LAA9	SYNCT_14-1 SENIOR ABS _14-1-A		2	1FE	904,748.95	909,072.47	905,000.00	904,903.84	4,168.63		62.95		—	—	1.6100	1.6250	Monthly	647.58	10,927.89		11142014	11152020
BRSEM91J4	SYNIVERSE HLDGS SENIOR SEC TERM NOTES		2	4FE	1,781,141.3	1,586,235.87	1,799,132.63	1,792,514.13	(206,278.26	)	2,136.51		—	—	—	0.1421	J-A-J-O	—	55,356.81		4202012	4232019
871829BB2	SYSCO CORP SENIOR CORP BND			2FE	3,473,088.75	3,500,759.48	3,475,000.00	3,473,399.74	27,359.74		310.99		—	—	1.9000	1.9190	Apr-Oct	33,012.5	—		3222016	4012019
89236VAD2	TAOT_13-B SENIOR ABS_13-B A4		2	1FE	617,142.07	613,902.2	612,738.01	613,615.26	286.94		(1,689.62	)	—	—	1.4600	1.0719	Monthly	397.6	6,843.69		3162015	1152019
89231RAD6	TAOT_14-B SENIOR ABS _14-B-A4		2	1FE	9,998,335	10,025,000	10,000,000.00	9,999,408.12	25,591.88		352.04		—	—	1.3100	1.3184	Monthly	5,822.22	98,250.03		6102014	9162019
89190AAD2	TAOT_14-C ABS _14-C-A4		2	1FE	999,701.1	1,004,100.04	1,000,000.00	999,869.74	4,230.3		65.04		—	—	1.4400	1.4533	Monthly	640	10,800		10072014	4152020
00388WAD3	TAQA ABU DHABI NATIONAL SENIOR CORP BND	F		1FE	473,385	489,826.65	475,000.00	473,466.96	16,359.69		81.96		—	—	3.6250	3.7001	Jun-Dec	4,735.16	—		6142016	6222021
87612EAV8	TARGET CORPORATION CORP BND			1FE	1,163,037.5	1,160,131.81	1,065,000.00	1,138,451.48	21,680.33		(15,540.34	)	—	—	3.8750	1.9600	Jan-Jul	8,712.29	46,875.67		1112016	7152020
87612EBB1	TARGET CORPORATION SENIOR CORP BND			1FE	5,864,292.45	5,892,309.51	5,735,000.00	5,830,325.63	61,983.88		(25,375.81	)	—	—	2.3000	1.9049	Jun-Dec	34,808.26	65,952.5		10062015	6262019
87612EBE5	TARGET CORPORATION SENIOR CORP BND			1FE	599,946	610,898.12	600,000.00	599,949.18	10,948.94		3.18		—	—	2.5000	2.5010	Apr-Oct	7,083.33	—		4042016	4152026
87236YAE8	TD AMERITRADE HLDG CORP SENIOR CORP BND		1	1FE	3,915,776.25	4,093,890.12	3,925,000.00	3,917,698.81	176,191.31		903.78		—	—	2.9500	2.9869	Apr-Oct	57,893.75	57,893.75		12232015	4012022
BRT23M4F6	TEAM HLTH INC. SENIOR SECURED TERM NOTES		1	3FE	1,964,517.65	1,991,692.6	1,983,016.90	1,965,459.92	26,232.68		1,035.23		—	—	—	0.1427	M-J-S-D	—	24,864.53		6022016	11232022
BRSN4E4J0	TECHNIMARK LLC SECURED TERM LOAN				6,699,375	6,598,884.38	6,699,375.00	6,699,375	(100,490.62	)	—		—	—	—	—	M-J-S-D	—	218,868.76		12232015	4252021
BRSSUAB92	TEKNI-PLEX, INC. SENIOR SECURED TERM LOA			4FE	89,171.83	89,261.47	89,619.95	89,254.76	6.71		51.38		—	—	—	0.0711	M-J-S-D	—	3,079.08		4152015	6012022
BRT1HVP37	TELENET FINANCING USD LLC SENIOR SECURED		1		2,026,587.3	2,048,253.97	2,031,746.03	2,026,764.7	21,489.27		177.40		—	—	—	0.0312	M-J-S-D	—	16,786.41		7082016	6302024
BRSE99EZ9	TELESAT CANADA / TELESAT LLC SENIOR SEC	I	2	3FE	4,008,064.59	4,016,856.24	4,018,109.89	4,010,190.29	6,665.95		(2,401.31	)	—	—	3.5000	3.5980	M-J-S-D	—	114,148.65		10012015	3282019

87970UAE6	TELOS_14-6A ABS _14-6A-B1 144A	F	2	1FE	2,405,585	2,499,853	2,500,000.00	2,428,586.73	71,266.27		9,424.68		—	—	2.7791	3.3897	J-A-J-O	14,474.48	49,698.53		10302014	1172027
BRSPDEXA2	TEREX CORP SENIOR SECURED TERM NOTES			3FE	789,939.41	787,959.61	791,919.21	790,528.12	(2,568.51	)	227.42		—	—	—	0.0358	M-J-S-D	—	21,203.28		8082014	8062021
BRSQPSFE8	TERRA-GEN FINANCE CO LLC SENIOR SECURED		1	3FE	683,079.59	580,102.78	686,512.16	683,936.46	(103,833.68	)	394.06		—	—	—	0.0714	M-J-S-D	—	27,512.68		11262014	12092021
88165FAC6	TEVA PHARMACEUTICAL FIN CO. BV CORP BND	F		2FE	1,026,840	1,001,430	1,000,000.00	1,001,394.57	35.43		(9,577.30	)	—	—	2.4000	1.1099	May-Nov	9,400	12,000		11072011	11102016
88167AAB7	TEVA PHARMACEUTICAL FINANCE NE SENIOR CO	F		2FE	9,039,186.4	9,021,151.24	9,040,000.00	9,039,237.24	(18,086	)	50.84		—	—	1.7000	1.7031	Jan-Jul	29,882.23	—		7182016	7192019
88167AAC5	TEVA PHARMACEUTICAL FINANCE NE SENIOR CO	F		2FE	4,158,127.75	4,152,975.48	4,165,000.00	4,158,383.41	(5,407.93	)	255.66		—	—	2.2000	2.2351	Jan-Jul	17,816.94	—		7182016	7212021
88167AAD3	TEVA PHARMACEUTICAL FINANCE NE SENIOR CO	F		2FE	622,912.5	626,051.52	625,000.00	622,965.63	3,085.89		53.13		—	—	2.8000	2.8530	Jan-Jul	3,402.78	—		7182016	7212023
8821172X1	TEXAS A & M UNIV PERM UNIV FD MUNITAX BN			1FE	2,005,720	2,033,960	2,000,000.00	2,004,170.44	29,789.56		(803.59	)	—	—	1.7500	1.6924	Jan-Jul	8,750.01	35,000		4082015	7012020
88224LAC2	TEXAS CHILDRENS HEALTH PLAN (T MUNITAX B				1,500,000	1,494,585	1,500,000.00	1,500,000	(5,415	)	—		—	—	1.3050	1.3050	Apr-Oct	9,787.5	9,787.5		12092014	10012017
88224LAE8	TEXAS CHILDRENS HEALTH PLAN (T MUNITAX B				2,000,000	2,011,516	2,000,000.00	2,000,000	11,516		—		—	—	2.0750	2.0750	Apr-Oct	20,750	20,750		12092014	10012019
882508AU8	TEXAS INSTRUMENTS INCORPORATED SENIOR CO			1FE	295,140	302,694.63	300,000.00	296,551.66	6,142.97		877.99		—	—	1.6500	2.0690	Feb-Aug	797.5	4,950		7102015	8032019
882508AV6	TEXAS INSTRUMENTS INCORPORATED SENIOR CO			1FE	2,470,300	2,495,713.05	2,500,000.00	2,488,981.77	6,731.28		5,119.58		—	—	1.0000	1.1929	May-Nov	10,416.66	12,500		5012013	5012018
882508AX2	TEXAS INSTRUMENTS INCORPORATED SENIOR CO			1FE	1,996,040	2,000,640	2,000,000.00	1,999,402.32	1,237.68		992.82		—	—	0.8750	0.9421	Mar-Sep	923.61	17,500		3052014	3122017
882806AT9	TEXAS TECH UNIV MUNI BND REV		1	1FE	2,263,420	2,175,300	2,000,000.00	2,145,465.98	29,834.02		(44,690.98	)	—	—	5.0000	1.8515	Feb-Aug	12,777.78	100,000		2032009	2152024
882806EL2	TEXAS TECH UNIV MUNITAX BND REV			1FE	5,000,000	5,084,050	5,000,000.00	5,000,000	84,050		—		—	—	1.8040	1.8040	Feb-Aug	11,525.56	90,200		3182015	2152019
88283LHW9	TEXAS TRANSN COMMN ST HWY FD MUNI BND RE			1FE	2,656,425	2,655,750	2,500,000.00	2,656,425	(675	)	—		—	—	5.0000	0.7805	Apr-Oct	694.44	(694.44	)	9282016	4012018
88283LHU3	TEXAS TRANSN COMMN ST HWY FD MUNITAX BND		2	1FE	897,834	892,541.98	700,000.00	895,792.31	(3,250.33	)	(2,041.69	)	—	—	5.1780	2.6930	Apr-Oct	18,123	(11,880.63	)	7262016	4012030
BRSNUUGN3	TGI FRIDAYS INC SENIOR SECURED TERM NOTE				1,089,680.99	1,079,576.44	1,083,640.09	1,088,166.99	(8,590.55	)	(899.51	)	—	—	—	0.0036	M-J-S-D	—	42,702.94		4212015	7152020
63902HAA7	THE NATURE CONSESRVANCY MUNI BND REV			1FE	3,437,400	3,313,050	3,000,000.00	3,260,583.01	52,466.99		(67,565.32	)	—	—	6.3000	2.9854	Jan-Jul	47,250	189,000		6182009	7012019
883556AZ5	THERMO FISHER SCIENTIFIC INC CORP BND		1	2FE	2,896,523	2,974,769.09	2,800,000.00	2,886,147.82	88,621.27		(10,375.18	)	—	—	3.6000	2.9390	Feb-Aug	12,880	49,420		5112016	8152021
883556BB7	THERMO FISHER SCIENTIFIC INC SENIOR CORP			2FE	2,001,260	2,011,199.2	2,000,000.00	2,000,510	10,689.2		(291.78	)	—	—	1.8500	1.8299	Jan-Jul	7,811.11	37,000		8162012	1152018
883556BE1	THERMO FISHER SCIENTIFIC INC SENIOR CORP			2FE	6,824,023.1	6,914,396.07	6,810,000.00	6,817,707.53	96,688.54		(2,392.23	)	—	—	2.4000	2.4130	Feb-Aug	27,240	163,440		12162014	2012019
883556BN1	THERMO FISHER SCIENTIFIC INC SENIOR CORP		1	2FE	34,829.2	35,812.81	35,000.00	34,839.53	973.28		10.33		—	—	3.0000	3.0780	Apr-Oct	490	—		4042016	4152023
88428LAA0	THIRD POINT RE USA HOLDINGS IN SENIOR CO			2FE	11,000,000	11,178,973.64	11,000,000.00	11,000,000	178,973.64		—		—	—	7.0000	7.0000	Feb-Aug	102,666.67	799,555.56		2102015	2132025
87247CAA1	TICP_14-2A ABS _14-2A-A1A 144A	F	2	1FE	3,720,000	3,737,297.25	3,750,000.00	3,729,791.22	7,506.03		4,117.29		—	—	2.1456	2.3124	J-A-J-O	16,315.5	56,350.99		12172014	7202026
87247UAE3	TICP_14-3 SENIOR ABS _14-3-B1 144A	F	2	1FE	995,000	1,000,079.7	1,000,000.00	995,169.87	4,909.83		169.87		—	—	3.0456	3.1534	J-A-J-O	6,175.8	414.49		7122016	1202027
BRSN1NQ83	TIME INC (USA) SENIOR SECURED TERM LOAN			3FE	2,169,038.74	2,185,470.89	2,190,948.26	2,176,375.51	9,095.38		2,514.65		—	—	—	0.1441	M-J-S-D	—	71,232.93		4172014	4262021
88732JAL2	TIME WARNER CABLE INC CORP BND			2FE	1,304,897	1,194,555.42	1,100,000.00	1,190,316.66	4,238.76		(37,820.30	)	—	—	6.7500	1.9531	Jan-Jul	18,562.5	74,250		6052014	7012018
BRSWVW9B2	T-MOBILE USA INC SENIOR SECURED TERM LOA			2FE	826,885.48	836,383.43	831,040.67	827,400.08	8,983.35		517.45		—	—	—	0.0709	M-J-S-D	—	24,621.04		11032015	11092022
880591EQ1	TN VLY AUTHORITY SENIOR AGENCY BND			1	2,552,790.6	2,609,528.4	2,565,000.00	2,559,940.22	49,588.18		1,810.46		—	—	1.7500	1.8491	Apr-Oct	20,698.12	22,443.75		9242013	10152018
BRSWDXM82	TOOLING ACQUISITION CO. TERM LOAN				322,613.02	318,580.35	322,613.02	322,613.02	(4,032.67	)	—		—	—	—	—	M-J-S-D	—	44,594.04		6072016	9212021
BRSWDXMT6	TOOLING ACQUISITION CO. TERM LOAN				2,442,833.77	2,412,298.35	2,442,833.77	2,442,833.77	(30,535.42	)	—		—	—	—	—	M-J-S-D	—	71,359.41		9212015	9212021
8911457V0	TORONTO-DOMINION BANK/THE SECURED CORP B	A		1FE	4,992,250	5,111,749.65	5,000,000.00	4,993,051.83	118,697.82		801.83		—	—	2.2500	2.2830	Mar-Sep	5,000	56,250		3072016	3152021
891145TN4	TORONTO-DOMINION BANK/THE SECURED LOCAL	A		1FE	1,594,560	1,601,984	1,600,000.00	1,599,492.67	2,491.33		(10,433.90	)	—	—	1.5000	1.5710	Mar-Sep	1,200	74,458.33		3052012	3132017

89114QAG3	TORONTO-DOMINION BANK/THE SENIOR CORP BN	A		1FE	2,938,030.2	2,940,932.22	2,940,000.00	2,939,362.88	1,569.34		297.08		—	—		1.4000	1.4139	Apr-Oct	17,264.33	20,580		4232013	4302018
89114QAV0	TORONTO-DOMINION BANK/THE SENIOR CORP BN	A		1FE	4,200,834	4,281,260.59	4,200,000.00	4,200,831.53	80,429.06		(197.23	)	—	—		2.2500	2.2881	May-Nov	38,325	47,250		3042015	11052019
89114QB64	TORONTO-DOMINION BANK/THE SENIOR CORP BN	A		1FE	204,797.05	206,242.65	205,000.00	204,876.31	1,366.34		50.14		—	—		1.7500	1.7840	Jan-Jul	677.64	3,587.5		7162015	7232018
89114QBE7	TORONTO-DOMINION BANK/THE SENIOR CORP BN	A		1FE	899,217	910,656.95	900,000.00	899,393.92	11,263.03		242.75		—	—		1.9500	1.9800	Jan-Jul	3,363.75	13,303.33		1142016	1222019
89114QBJ6	TORONTO-DOMINION BANK/THE SENIOR CORP BN	A		1FE	5,624,493.75	5,608,260.45	5,625,000.00	5,624,514.36	(16,253.91	)	20.61		—	—		1.4500	1.4531	Feb-Aug	10,875	6,796.88		7062016	8132019
89153VAC3	TOTAL CAPITAL INTERNATIONAL SA CORP BND	F		1FE	4,092,333	4,113,366	4,100,000.00	4,098,826.78	14,539.22		1,173.83		—	—		1.5500	1.5891	Jun-Dec	16,417.09	31,775		9292015	6282017
89153VAK5	TOTAL CAPITAL INTERNATIONAL SA TOTAL CAP	F		1FE	1,998,760	2,034,200	2,000,000.00	1,999,342	34,858		210.29		—	—		2.1250	2.1399	Jan-Jul	9,562.5	42,500		1082014	1102019
F9208ZKR7	TOTAL CAPITAL S.A. CORP BND	D			592,544.66	582,621.23	420,000.00	589,492.52	(785.71	)	(3,052.14	)	—	(6,085.58	)	3.8750	0.6896	December	16,866.77	(13,248.96	)	7262016	12142018
F9208ZKB2	TOTAL CAPITAL S.A. CORP BND MTN	D		1FE	1,654,432.94	1,311,545.95	970,000.00	1,575,257.93	7,655.77		(33,098.67	)	—	(271,367.75	)	4.2500	1.2673	December	43,601.86	—		12102014	12082017
BRSM7GUN6	TOWER AUTOMOTIVE HOLDINGS USA SENIOR SEC			4FE	1,243,943.34	1,244,568.34	1,247,687.56	1,244,208.92	359.42		271.36		—	—		—	0.0773	M-J-S-D	—	5,195.3		7082016	4232020
BRSSD9JL9	TOWNSQUARE MEDIA INC SENIOR SECURED TERM			3FE	738,032.86	738,448.26	741,227.86	738,511.51	(63.25	)	302.27		—	—		—	0.0658	M-J-S-D	—	19,826.86		3302016	4012022
89236RAD1	TOYOTA AUTO RECEIVABLES OWNER ABS_13-A A		2	1FE	369,602.05	369,742.01	369,852.97	369,830.33	(88.32	)	558.22		—	—		0.6900	0.6995	Monthly	113.42	6,223.91		3162015	11152018
89237WAD9	TOYOTA AUTO RECEIVABLES OWNER SENIOR ABS		2		1,334,964.22	1,333,397.96	1,335,000.00	1,334,963.51	(1,565.55	)	(0.71	)	—	—		1.1400	1.1435	Monthly	676.4	1,479.62		8012016	8172020
89236TAY1	TOYOTA MOTOR CREDIT CORP SENIOR CORP BND			1FE	1,119,624	1,115,414.11	1,100,000.00	1,115,891.89	(477.78	)	(3,732.11	)	—	—		2.0000	1.2880	Apr-Oct	9,594.44	1,222.22		3302016	10242018
89236TBH7	TOYOTA MOTOR CREDIT CORP SENIOR CORP BND			1FE	1,499,205	1,501,140	1,500,000.00	1,499,832.2	1,307.8		199.52		—	—		1.1250	1.1430	May-Nov	6,328.13	8,437.5		5132014	5162017
89236TCA1	TOYOTA MOTOR CREDIT CORP SENIOR CORP BND			1FE	5,527,417.05	5,562,398.25	5,535,000.00	5,531,724.53	30,673.72		1,892.13		—	—		1.4500	1.4969	Jan-Jul	17,612.07	80,257.5		1072015	1122018
89236TCF0	TOYOTA MOTOR CREDIT CORP SENIOR CORP BND			1FE	1,119,160	1,140,824.41	1,120,000.00	1,119,411.24	21,413.17		121.94		—	—		2.1500	2.1659	Mar-Sep	1,270.89	24,080		3092015	3122020
89236TCP8	TOYOTA MOTOR CREDIT CORP SENIOR CORP BND			1FE	149,872.5	150,765.32	150,000.00	149,923.53	841.79		110.90		—	—		1.5500	1.5791	Jan-Jul	503.75	14,686.25		7082015	7132018
89236TCU7	TOYOTA MOTOR CREDIT CORP SENIOR CORP BND			1FE	4,999,400	5,035,441.6	5,000,000.00	4,999,520.96	35,920.64		120.96		—	—		1.7000	1.7041	Feb-Aug	9,916.67	42,500		2162016	2192019
89236TCX1	TOYOTA MOTOR CREDIT CORP SENIOR CORP BND			1FE	8,997,840	8,998,725.6	9,000,000.00	8,998,354.68	370.92		555.62		—	—		1.2000	1.2122	Apr-Oct	51,900	4,133.33		4052016	4062018
89267XAF5	TRADEWYND RE LTD CORP BND 144A	F			500,000	505,965	500,000.00	500,000	5,965		—		—	—		5.2550	5.2886	J-A-J-O	6,714.72	20,025.95		12052014	1082018
89267XAH1	TRADEWYND RE LTD CORP BND 144A	F			1,750,000	1,796,147.5	1,750,000.00	1,750,000	46,147.5		—		—	—		7.4500	7.5176	J-A-J-O	33,318.06	265,885.08		12052014	1082018
89289YAB6	TRAMLINE RE II LTD CORP BND 144A	F			1,000,000	1,029,000	1,000,000.00	1,000,000	29,000		—		—	—		10.0654	10.1892	J-A-J-O	24,916.67	74,971.13		12042014	1042019
BRSTMLVU6	TRANS UNION LLC SENIOR SECURED TERM LOAN		2	4FE	2,502,959.4	2,515,269.79	2,508,997.30	2,503,744.29	11,525.5		820.80		—	—		—	0.0457	M-J-S-D	—	66,001.75		3232016	4092021
893526DK6	TRANSCANADA PIPELINES LIMITED CORP BND	A		1FE	535,870	532,578.55	500,000.00	526,701.91	5,876.64		(6,219.68	)	—	—		3.8000	2.3921	Apr-Oct	9,500	18,894.44		4082015	10012020
89352HAN9	TRANSCANADA PIPELINES LIMITED SENIOR COR	A		1FE	824,735.5	827,236.34	825,000.00	825,021.57	2,214.77		(14.00	)	—	—		1.8750	1.9840	Jan-Jul	3,394.54	15,468.76		7152015	1122018
89352HAS8	TRANSCANADA PIPELINES LIMITED SR CORP BN	A		1FE	2,542,783.5	2,620,965.84	2,550,000.00	2,544,361.41	76,604.43		1,577.91		—	—		3.1250	3.2261	Jan-Jul	16,822.92	37,187.5		1222016	1152019
89356BAA6	TRANSCANADA TRUST CAPSEC CORP BND	A	1	2FE	1,075,000	1,091,447.5	1,075,000.00	1,075,000	16,447.5		—		—	—		5.6250	5.6250	May-Nov	22,003.91	30,234.38		2242016	5202075
BRSNBE338	TRANSDIGM INC SENIOR SECURED TERM LOAN		2	4FE	3,898,599.61	3,908,782.37	3,917,349.61	3,903,747.13	5,035.24		2,177.65		—	—		—	0.0733	M-J-S-D	—	114,347.24		11142014	6042021
BRSU975A2	TRIBUNE COMPANY SENIOR SECURED TERM LOAN		2	3FE	1,719,845.8	1,731,869.73	1,723,253.46	1,720,622.84	11,246.89		488.43		—	—		—	0.0355	M-J-S-D	—	49,433.11		7012015	12272020
BRSEQLBQ6	TRICORBRAUN INC SENIOR SECURED TERM LOAN			4Z	2,333,062.18	2,347,717.09	2,344,786.11	2,341,665.12	6,051.97		1,487.45		—	—		—	0.0828	M-J-S-D	—	74,238.18		4302012	5032018
L9339LAB9	TRINSEO MATERIALS OPERATING SC SENIOR SE	E	2	3FE	562,875	565,978.58	564,285.72	563,136	2,842.58		179.09		—	—		—	0.0395	J-A-J-O	—	6,144.29		4282015	11052021
89837RAA0	TRUSTEES OF DARTMOUTH COLLEGE MUNITAX BN			1FE	339,666	329,281.2	300,000.00	324,774.17	4,507.03		(6,144.05	)	—	—		4.7500	1.5751	Jun-Dec	4,750	11,294.44		1302015	6012019
872882AC9	TSMC GLOBAL LTD SENIOR CORP BND 144A	F		1FE	5,711,170.95	5,722,143.75	5,715,000.00	5,713,814.06	8,329.69		578.61		—	—		1.6250	1.6390	Apr-Oct	45,918.44	46,434.38		3272013	4032018

902133AQ0	TYCO ELECTRONICS GROUP SA SENIOR CORP BN	F	1	1FE	1,634,149.8	1,651,265.18	1,635,000.00	1,634,506.6	16,758.58		125.25		—	—		2.3500	2.3611		Feb-Aug	6,403.75	38,422.5		7282014	8012019
90944WAA7	UACST_16-2 ABS 16-2-A 144A		2		1,884,978.32	1,885,542.88	1,885,000.00	1,884,977.18	565.7		(1.14	)	—	—		1.6700	1.6744		Monthly	874.43	—		9132016	9102018
BRSPC8H22	UAL_12-2A SENIOR SECURED TERM LOAN			3FE	1,107,046.98	1,118,788.37	1,118,229.26	1,110,249.28	8,539.09		1,273.33		—	—		—	0.1425		M-J-S-D	—	32,783.24		8062014	9152021
90261XHK1	UBS AG (STAMFORD BRANCH) SENIOR CORP BND			1FE	831,893.8	850,636.51	835,000.00	832,727.31	17,909.2		462.35		—	—		2.3500	2.4319		Mar-Sep	272.54	19,622.5		5272015	3262020
90261XHL9	UBS AG (STAMFORD BRANCH) SENIOR CORP BND			1FE	4,995,300	5,000,800	5,000,000.00	4,998,419.43	2,380.57		2,679.85		—	—		1.3750	1.4228		Jun-Dec	22,916.67	71,041.67		9292015	6012017
90261XHM7	UBS AG (STAMFORD BRANCH) SENIOR CORP BND			1FE	1,500,000	1,501,650.12	1,500,000.00	1,500,000	1,650.12		—		—	—		1.4021	1.4021		M-J-S-D	1,752.64	12,984.31		5272015	6012017
G918UHAA3	UBS AG JERSEY BRANCH CORP BND EMTN	D	1	2FE	574,419.18	508,472.71	350,000.00	558,749.42	3,146.5		(7,803.02	)	—	(53,423.23	)	6.3750	2.6233		November	25,103.57	(10,664.27	)	7012016	11192024
G91979AA5	UBS AG, LONDON BRANCH CORP BND	D		1FE	721,180.6	706,262.86	500,000.00	714,428.58	(790.38	)	(6,752.02	)	—	(7,375.35	)	6.6250	0.7573		April	20,394.74	(12,864.79	)	7262016	4112018
90351DAA5	UBS GROUP FUNDING JERSEY LTD SENIOR CORP	F		1FE	5,989,740	6,151,338.96	6,000,000.00	5,991,710.36	159,628.6		1,448.74		—	—		2.9500	2.9871		Mar-Sep	3,441.67	177,000		9212015	9242020
90351DAD9	UBS GROUP FUNDING JERSEY LTD SENIOR CORP	F		1FE	8,993,250	9,217,808.1	9,000,000.00	8,993,909.88	223,898.22		659.88		—	—		3.0000	3.0160		Apr-Oct	132,000.01	—		3292016	4152021
90351DAH0	UBS GROUP FUNDING JERSEY LTD SENIOR CORP	F		1FE	749,550	748,751.96	750,000.00	749,560	(808.04	)	10.00		—	—		2.6500	2.6619		Feb-Aug	2,815.63	—		8032016	2012022
90270RBF0	UBSBB_12-C4 PAC SENIOR CMBS 2012-C4 AAB		2		515,097.66	512,225	500,000.00	514,089.55	(1,864.55	)	(1,661.13	)	—	—		2.4589	1.6097		Monthly	1,024.54	4,859.06		6282016	12102045
90270YBD0	UBSBB_13-C5 PRELCF SENIOR CMBS_13-C5-A2		2		1,368,685.5	1,363,796.12	1,355,000.00	1,360,035.6	3,760.52		(3,040.88	)	—	—		2.1365	1.8126		Monthly	2,412.46	21,712.14		9232014	3102046
90269GAC5	UBSCMT_12-C1 SENIOR CMBS 12-C1		2		2,840,319.44	2,823,631.64	2,646,972.58	2,830,875.67	(7,244.03	)	(10,255.40	)	—	—		3.4000	0.8952		Monthly	7,499.76	14,161.33		8262016	5102045
904764AP2	UNILEVER CAPITAL CORP SENIOR CORP BND			1FE	2,198,656	2,222,263.25	2,225,000.00	2,220,491.11	1,772.14		5,321.75		—	—		0.8500	1.0940		Feb-Aug	3,099.55	26,732.5		7302012	8022017
904764AQ0	UNILEVER CAPITAL CORP SENIOR CORP BND			1FE	1,606,361.25	1,662,767.81	1,625,000.00	1,616,457.84	46,309.97		1,189.51		—	—		2.2000	2.4240		Mar-Sep	2,482.64	56,466.67		9032013	3062019
904764AR8	UNILEVER CAPITAL CORP SENIOR CORP BND			1FE	546,815.5	561,957.94	550,000.00	547,530.56	14,427.38		460.22		—	—		2.1000	2.2230		Jan-Jul	1,957.08	11,550		7282015	7302020
904764AT4	UNILEVER CAPITAL CORP SENIOR CORP BND			1FE	570,423	569,186.04	575,000.00	570,579.15	(1,393.11	)	156.15		—	—		1.3750	1.5410		Jan-Jul	1,383.6	—		7252016	7282021
907818CZ9	UNION PACIFIC CORPORATION CORP BND			1FE	275,372.5	263,188.5	250,000.00	262,314.06	874.44		(8,115.93	)	—	—		5.7500	1.3131		May-Nov	5,430.56	7,187.5		7132015	11152017
907818DA3	UNION PACIFIC CORPORATION CORP BND			1FE	1,999,631.7	1,888,838.08	1,749,000.00	1,872,324.18	16,513.9		(48,233.11	)	—	—		5.7000	1.8501		Feb-Aug	12,738.55	99,693		12052012	8152018
907818DD7	UNION PACIFIC CORPORATION CORP BND			1FE	708,215.55	701,473.31	615,000.00	696,760.08	4,713.23		(11,455.47	)	—	—		6.1250	2.0261		Feb-Aug	4,813.23	13,707.24		3302016	2152020
907818DM7	UNION PACIFIC CORPORATION SENIOR CORP BN		1	1FE	1,812,164.25	1,808,059.32	1,725,000.00	1,807,152.14	907.18		(5,012.11	)	—	—		2.9500	2.1043		Jan-Jul	10,742.91	9,329.37		5042016	1152023
907818EA2	UNION PACIFIC CORPORATION SENIOR CORP BN		1	1FE	1,006,336.49	1,006,514.58	1,000,000.00	1,004,042.23	2,472.35		(1,047.67	)	—	—		1.8000	1.6523		Feb-Aug	3,000	18,000		2022015	2012020
907818EE4	UNION PACIFIC CORPORATION SENIOR CORP BN		1	1FE	3,247,400	3,319,237.55	3,250,000.00	3,248,040.4	71,197.15		375.65		—	—		2.2500	2.2670		Jun-Dec	20,718.75	36,562.5		6162015	6192020
G9244PAB0	UNITED KINGDOM GILT GOVT BND	D		1FE	4,661,833.01	4,660,359.95	3,240,000.00	4,661,833.01	(1,473.07	)	—		—	—		3.7500	0.0693		Mar-Sep	11,335.75	(11,335.75	)	9302016	9072019
G9T44MEB4	UNITED KINGDOM GILT GOVT BND	D		1FE	4,571,031.46	4,189,223.04	3,200,000.00	4,556,960.5	10,119.16		(20,086.73	)	—	(377,856.62	)	1.0000	0.4236		Mar-Sep	2,755.89	43,736.78		3152016	9072017
G9T44MHH8	UNITED KINGDOM GILT GOVT BND	D		1FE	1,008,756.47	999,348.98	735,841.00	1,007,529	51.3		(14,409.97	)	—	(8,231.32	)	1.7500	0.1276		Jan-Jul	3,227.31	45,287.33		8312016	7222019
G92450M39	UNITED KINGDOM GILT IBND GOVT 3 MO	D		1FE	4,501,683.21	4,501,736.41	2,115,000.00	4,499,053.86	11,348.24		1,135.36		—	(8,665.69	)	1.8750	(2.2875	)	May-Nov	23,664.7	(12,775.8	)	9272016	11222022
G924502M9	UNITED KINGDOM GILT SENIOR GOVT BND	D		1FE	6,331,053.15	5,633,057.89	3,914,830.00	6,255,712.83	49,979.24		(134,458.78	)	—	(672,634.18	)	4.5000	0.4517		Mar-Sep	15,171.8	133,407.3		6012016	3072019
G92450K80	UNITED KINGDOM GILT SENIOR GOVT BND	D		1FE	12,626,423.04	10,648,853.86	7,660,000.00	12,232,091.87	78,691.82		(485,734.78	)	—	(1,661,929.83	)	5.0000	0.6296		Mar-Sep	32,984.56	921,020.77		2192016	3072018
G9T44MFU1	UNITED KINGDOM GILT SENIOR GOVT BND	D		1FE	6,623,208.42	6,548,609.73	4,940,000.00	6,610,828.39	6,027.67		(18,757.34	)	—	(68,246.33	)	1.2500	0.1654		Jan-Jul	15,475.92	24,944.71		7262016	7222018
911312AK2	UNITED PARCEL SERVICE INC CORP BND			1FE	1,565,228	1,532,161.75	1,400,000.00	1,520,359.88	11,801.87		(35,074.77	)	—	—		5.1250	1.6030		Apr-Oct	35,875	35,875		10132015	4012019
912828K25	UNITED STATES TREASURY GOVT BND			1	29,646,435.87	29,854,176.61	29,850,000.00	29,742,440.62	111,735.99		56,295.88		—	—		0.7500	0.9962		Apr-Oct	103,373.97	127,218.23		4132016	4152018
9128282B5	UNITED STATES TREASURY GOVT BND			1	29,955,468.9	29,895,600	30,000,000.00	29,957,307.81	(61,707.81	)	1,953.55		—	—		0.7500	0.8002		Feb-Aug	28,736.41	40.77		8122016	8152019

912828A34	UNITED STATES TREASURY GOVT BND	SD	1	789,184	807,375.98	800,000.00	794,297.38	13,078.6		2,142.62		—	—	1.2500	1.5865		May-Nov	3,360.66	6,051.91		12052013	11302018
912828A42	UNITED STATES TREASURY GOVT BND	SD	1	3,964,379.7	4,037,985.65	3,895,000.00	3,945,810.27	92,175.38		(8,769.75	)	—	—	2.0000	1.6743		May-Nov	26,179.52	25,950.06		2232015	11302020
912828C99	UNITED STATES TREASURY GOVT BND		1	3,048,119.65	3,134,436.09	3,000,000.00	3,114,874.64	19,561.45		19,282.50		—	—	0.1250	(0.3061	)	Apr-Oct	1,778.31	3,326.92		12232015	4152019
912828D56	UNITED STATES TREASURY GOVT BND		1	3,246,105.59	3,393,394.77	3,185,000.00	3,239,645.49	153,749.28		(5,000.65	)	—	—	2.3750	2.0087		Feb-Aug	9,661.03	75,643.76		10072015	8152024
912828D72	UNITED STATES TREASURY GOVT BND		1	963,748.83	966,102.64	930,000.00	963,547.34	2,555.3		(201.49	)	—	—	2.0000	1.2410		Feb-Aug	1,592.82	(1,027.62	)	9192016	8312021
912828G20	UNITED STATES TREASURY GOVT BND		1	24,013,244.7	24,046,320	24,000,000.00	24,007,268.59	39,051.41		(5,398.67	)	—	—	0.8750	0.8574		May-Nov	79,320.66	140,711		11062015	11152017
912828G38	UNITED STATES TREASURY GOVT BND		1	5,217,968.75	5,278,549.95	5,000,000.00	5,183,380.34	95,169.61		(15,622.60	)	—	—	2.2500	1.7633		May-Nov	42,493.21	56,250		1272015	11152024
912828G79	UNITED STATES TREASURY GOVT BND		1	4,320,503.54	4,335,163.2	4,320,000.00	4,320,301.67	14,861.53		(293.04	)	—	—	1.0000	0.9960		Jun-Dec	12,747.54	30,255.75		12022015	12152017
912828G87	UNITED STATES TREASURY GOVT BND		1	7,508,008.33	7,649,630.67	7,317,000.00	7,463,178.46	186,452.21		(19,864.88	)	—	—	2.1250	1.7249		Jun-Dec	39,294.08	77,743.13		1162015	12312021
912828G95	UNITED STATES TREASURY GOVT BND		1	6,094,687.5	6,129,299.46	6,000,000.00	6,063,070.53	66,228.93		(14,204.06	)	—	—	1.6250	1.2934		Jun-Dec	24,639.95	48,750		1212015	12312019
912828H37	UNITED STATES TREASURY GOVT BND		1	9,707,348.85	9,730,293.9	9,710,000.00	9,711,705.64	18,588.26		4,378.17		—	—	0.8750	0.7663		Jan-Jul	18,008.35	61,138.52		6232016	1152018
912828H86	UNITED STATES TREASURY GOVT BND		1	993,244.19	1,013,389.97	1,000,000.00	993,990.02	19,399.95		745.83		—	—	1.5000	1.6181		Jan-Jul	2,527.17	7,866.85		1212016	1312022
912828H94	UNITED STATES TREASURY GOVT BND	SD	1	125,292.97	125,470	125,000.00	125,212.09	257.91		(80.88	)	—	—	1.0000	0.8753		Feb-Aug	159.65	501.37		3212016	2152018
912828J84	UNITED STATES TREASURY GOVT BND		1	10,082,438.68	10,132,499.7	10,000,000.00	10,069,899.79	62,599.91		(12,538.89	)	—	—	1.3750	1.1704		Mar-Sep	377.75	88,285.52		2052016	3312020
912828K74	UNITED STATES TREASURY GOVT BND		1	910,406.25	931,490.94	900,000.00	909,749.96	21,740.98		(1,752.34	)	—	—	2.0000	1.8669		Feb-Aug	2,298.91	36,172.9		2042016	8152025
912828K82	UNITED STATES TREASURY GOVT BND		1	5,038,094.34	5,020,999.9	5,000,000.00	5,033,573.31	(12,573.41	)	(4,521.03	)	—	—	1.0000	0.6386		Feb-Aug	6,385.87	6,318.68		6292016	8152018
912828L32	UNITED STATES TREASURY GOVT BND		1	2,991,679.69	3,037,110	3,000,000.00	2,993,355.29	43,754.71		1,230.82		—	—	1.3750	1.4334		Feb-Aug	3,532.46	41,250		10202015	8312020
912828R77	UNITED STATES TREASURY GOVT BND		1	2,028,675.24	2,021,860.04	2,000,000.00	2,027,040.73	(5,180.69	)	(1,634.51	)	—	—	1.3750	1.0770		May-Nov	9,241.8	(1,277.32	)	6162016	5312021
912828RH5	UNITED STATES TREASURY GOVT BND	SD	1	42,521,935.62	42,716,478.58	42,235,000.00	42,439,054.99	277,423.59		(66,527.49	)	—	—	1.3750	1.0788		Mar-Sep	1,595.4	511,304.85		10092013	9302018
912828RP7	UNITED STATES TREASURY GOVT BND	SD	1	3,021,810	3,058,109.89	3,000,000.00	3,011,294.93	46,814.96		(3,970.54	)	—	—	1.7500	1.5654		Apr-Oct	21,970.11	26,250		4022013	10312018
912828S68	UNITED STATES TREASURY GOVT BND		1	7,504,993.07	7,498,424.7	7,500,000.00	7,504,625.17	(6,200.47	)	(367.90	)	—	—	0.7500	0.7160		Jan-Jul	9,476.9	(1,222.83	)	8052016	7312018
912828SJ0	UNITED STATES TREASURY GOVT BND		1	3,003,642.86	3,005,310	3,000,000.00	3,000,447.61	4,862.39		(1,304.76	)	—	—	0.8750	0.8388		Feb-Aug	2,247.93	42,827.43		9272013	2282017
912828SM3	UNITED STATES TREASURY GOVT BND		1	2,309,703.12	2,305,658	2,300,000.00	2,302,163.5	3,494.5		(13,526.98	)	—	—	1.0000	0.8101		Mar-Sep	63.18	106,117.48		12302014	3312017
912828ST8	UNITED STATES TREASURY GOVT BND		1	3,021,210.94	3,030,929.73	3,000,000.00	3,018,256.83	12,672.9		(2,954.11	)	—	—	1.2500	1.0106		Apr-Oct	15,692.93	206.04		4272016	4302019
912828SX9	UNITED STATES TREASURY GOVT BND		1	20,036,752.35	20,148,001	20,000,000.00	20,030,073	117,928		(6,679.35	)	—	—	1.1250	1.0688		May-Nov	75,815.22	72,540.98		2022016	5312019
912828SY7	UNITED STATES TREASURY GOVT BND		1	3,738,185.69	3,751,124.63	3,750,000.00	3,744,733.86	6,390.77		35,828.51		—	—	0.6250	0.8671		May-Nov	7,876.53	128,903.69		12042015	5312017
912828TB6	UNITED STATES TREASURY GOVT BND		1	905,440.52	900,945	900,000.00	900,829.74	115.26		(829.26	)	—	—	0.7500	0.6259		Jun-Dec	1,705.84	3,375		7132012	6302017
912828TG5	UNITED STATES TREASURY GOVT BND		1	2,884,993.37	2,899,301.14	2,902,000.00	2,896,324.79	2,976.35		11,815.02		—	—	0.5000	0.6471		Jan-Jul	2,444.61	43,739.42		1262015	7312017
912828TH3	UNITED STATES TREASURY GOVT BND		1	6,805,183.47	6,901,379.25	6,900,000.00	6,837,791.68	63,587.57		14,060.37		—	—	0.8750	1.0020		Jan-Jul	10,171.87	27,802.88		4292016	7312019
912828TJ9	UNITED STATES TREASURY GOVT BND		1	10,582,380.98	10,994,724.11	10,800,000.00	10,616,845.71	377,878.4		21,906.26		—	—	1.6250	1.7305		Feb-Aug	22,414.4	175,500		8062015	8152022
912828TM2	UNITED STATES TREASURY GOVT BND		1	8,998,140.98	8,999,929.54	9,002,000.00	9,000,161.64	(232.1	)	26,742.13		—	—	0.6250	0.7006		Feb-Aug	4,818.06	244,131.26		9282015	8312017
912828TS9	UNITED STATES TREASURY GOVT BND		1	20,284,844.07	20,293,270.14	20,302,000.00	20,305,842.59	(12,572.45	)	23,211.44		—	—	0.6250	1.0265		Mar-Sep	348.58	116,172.2		6292016	9302017
912828TV2	UNITED STATES TREASURY GOVT BND		1	5,043,758.4	5,050,849.9	5,000,000.00	5,038,254.35	12,595.55		(5,504.05	)	—	—	1.2500	0.9973		Apr-Oct	26,154.89	2,060.44		4152016	10312019
912828UA6	UNITED STATES TREASURY GOVT BND		1	10,765,027.34	10,890,844	10,900,000.00	10,847,758.11	43,085.89		89,069.82		—	—	0.6250	1.0404		May-Nov	22,894.46	171,608.61		11142014	11302017

912828UB4	UNITED STATES TREASURY GOVT BND	SD	1	2,467,983	2,580,098.46	2,575,000.00	2,508,282.1	71,816.36		16,320.17		—	—	1.0000	1.8470	May-Nov	8,653.69	14,628.41		5062014	11302019
912828UE8	UNITED STATES TREASURY GOVT BND		1	10,133,853.07	10,204,590	10,200,000.00	10,170,277.87	34,312.13		20,496.10		—	—	0.7500	0.9857	Jun-Dec	19,332.88	55,201.68		3162015	12312017
912828UJ7	UNITED STATES TREASURY GOVT BND		1	21,431,168.94	21,545,582.15	21,500,000.00	21,465,173.31	80,408.84		19,421.28		—	—	0.8750	0.9978	Jan-Jul	31,694.97	188,125		6052015	1312018
912828UQ1	UNITED STATES TREASURY GOVT BND		1	2,018,675.24	2,017,960.06	2,000,000.00	2,016,417.78	1,542.28		(2,257.46	)	—	—	1.2500	1.0048	Feb-Aug	2,140.88	9,850.54		4072016	2292020
912828UR9	UNITED STATES TREASURY GOVT BND		1	16,215,352.79	16,460,759.25	16,455,000.00	16,364,612.29	96,146.96		57,423.61		—	—	0.7500	0.8990	Feb-Aug	10,568.47	182,184.58		6022014	2282018
912828UZ1	UNITED STATES TREASURY GOVT BND		1	8,875,547.25	8,910,541.24	8,925,000.00	8,896,771.85	13,769.39		15,354.83		—	—	0.6250	0.9069	Apr-Oct	23,343.24	39,827.79		3282016	4302018
912828VA5	UNITED STATES TREASURY GOVT BND		1	2,039,272.97	2,058,855.98	2,050,000.00	2,040,907.97	17,948.01		2,935.92		—	—	1.1250	1.2520	Apr-Oct	9,651.15	17,568.15		2022016	4302020
912828VQ0	UNITED STATES TREASURY GOVT BND		1	4,516,151.54	4,549,150.46	4,500,500.00	4,507,441.3	41,709.16		(10,919.52	)	—	—	1.3750	1.2913	Jan-Jul	10,425.75	144,718.81		5212014	7312018
912828WD8	UNITED STATES TREASURY GOVT BND		1	29,073,255.97	29,214,024.87	28,950,000.00	29,043,233.63	170,791.24		(20,024.67	)	—	—	1.2500	1.4174	Apr-Oct	151,436.81	141,809.11		9232016	10312018
912828WN6	UNITED STATES TREASURY GOVT BND		1	4,338,172.67	4,464,131.04	4,300,000.00	4,330,594.73	133,536.31		(4,532.89	)	—	—	2.0000	1.8394	May-Nov	28,901.63	43,000		7292015	5312021
912828WR7	UNITED STATES TREASURY GOVT BND		1	3,393,729.36	3,498,404.76	3,350,000.00	3,385,306.53	113,098.23		(5,304.41	)	—	—	2.1250	1.8916	Jun-Dec	17,990.32	35,593.75		7282015	6302021
912828XA3	UNITED STATES TREASURY GOVT BND		1	3,797,630.73	3,815,314	3,800,000.00	3,799,093.87	16,220.13		695.18		—	—	1.0000	0.7415	May-Nov	14,353.26	17,362.64		7022015	5152018
912828XK1	UNITED STATES TREASURY GOVT BND		1	36,786,220.56	36,893,496.35	36,825,000.00	36,805,226.65	88,269.7		10,540.01		—	—	0.8750	1.0370	Jan-Jul	68,296.36	196,689.24		4132016	7152018
912828SS0	UNITED STATES TREASURY GOVT BOND		1	11,585,839.31	11,523,575	11,500,000.00	11,512,243.45	11,331.55		(15,681.13	)	—	—	0.8750	0.6912	Apr-Oct	42,109.38	50,312.5		3132013	4302017
912810RQ3	UNITED STATES TREASURY SENIOR GOVT BND		1	217,424.28	232,706.26	225,000.00	217,512.25	15,194.01		103.97		—	—	2.5000	2.6641	Feb-Aug	718.41	2,629.9		3302016	2152046
912810RS9	UNITED STATES TREASURY SENIOR GOVT BND		1	1,604,946.41	1,579,366.28	1,525,000.00	1,604,483.15	(25,116.87	)	(416.33	)	—	—	2.5000	2.2577	May-Nov	14,400.48	3,283.96		6292016	5152046
9128282A7	UNITED STATES TREASURY SENIOR GOVT BND		1	4,597,172.86	4,579,998.75	4,625,000.00	4,597,296.69	(17,297.94	)	123.83		—	—	1.5000	1.5745	Feb-Aug	8,860.39	(5,681.05	)	9272016	8152026
9128282D1	UNITED STATES TREASURY SENIOR GOVT BND		1	498,710.94	498,445.02	500,000.00	498,726	(280.98	)	21.86		—	—	1.3750	1.4138	Feb-Aug	588.74	265.88		8262016	8312023
9128282F6	UNITED STATES TREASURY SENIOR GOVT BND		1	3,825,456.44	3,836,620.92	3,840,000.00	3,825,542.48	11,078.44		104.44		—	—	1.1250	1.1825	Feb-Aug	3,699.45	(1,767.51	)	9212016	8312021
9128282G4	UNITED STATES TREASURY SENIOR GOVT BND		1	2,001,484.38	1,999,920.04	2,000,000.00	2,001,483.02	(1,562.98	)	(1.36	)	—	—	0.8750	0.8495	Mar-Sep	773.48	(725.14	)	9292016	9152019
912828L57	UNITED STATES TREASURY SENIOR GOVT BND		1	8,136,266.01	8,198,160.4	8,000,000.00	8,125,569.55	72,590.85		(10,696.46	)	—	—	1.7500	1.4075	Mar-Sep	384.61	76,263.66		4072016	9302022
912828M56	UNITED STATES TREASURY SENIOR GOVT BND		1	1,844,718.75	1,900,242.14	1,800,000.00	1,841,896.11	58,346.03		(4,301.76	)	—	—	2.2500	1.9700	May-Nov	15,297.55	26,962.21		1202016	11152025
912828M64	UNITED STATES TREASURY SENIOR GOVT BND		1	21,409,795.31	21,576,695.57	21,380,000.00	21,409,283.51	167,412.06		(507.44	)	—	—	1.2500	1.2472	May-Nov	100,944.97	102,483.7		9262016	11152018
912828N22	UNITED STATES TREASURY SENIOR GOVT BND		1	8,079,075.94	8,075,360.08	8,000,000.00	8,075,733.3	(373.22	)	(3,342.64	)	—	—	1.2500	0.8107	Jun-Dec	29,508.19	(19,672.13	)	8252016	12152018
912828N63	UNITED STATES TREASURY SENIOR GOVT BND		1	21,121,880.04	21,140,279.79	21,000,000.00	21,095,727.38	44,552.41		(27,361.06	)	—	—	1.1250	0.9140	Jan-Jul	50,074.73	104,680.63		3182016	1152019
912828P20	UNITED STATES TREASURY SENIOR GOVT BND		1	3,810,446.48	3,811,371.6	3,810,000.00	3,810,375.06	996.54		(71.42	)	—	—	0.7500	0.7426	Jan-Jul	4,814.27	2,904.6		6232016	1312018
912828P46	UNITED STATES TREASURY SENIOR GOVT BND		1	1,952,031.25	2,003,560.02	2,000,000.00	1,953,962.41	49,597.61		2,448.86		—	—	1.6250	1.8942	Feb-Aug	4,150.82	13,115.17		4272016	2152026
912828Q37	UNITED STATES TREASURY SENIOR GOVT BND	SD	1	263,291.99	266,388.58	265,000.00	263,414.27	2,974.31		414.91		—	—	1.2500	1.3877	Mar-Sep	9.1	5,385.41		5232016	3312021
912828Q52	UNITED STATES TREASURY SENIOR GOVT BND		1	24,773,466.86	24,815,872.75	24,800,000.00	24,777,238.6	38,634.15		4,935.99		—	—	0.8750	0.8843	Apr-Oct	100,199.45	(2,070.35	)	5042016	4152019
912828Q94	UNITED STATES TREASURY SENIOR GOVT BND		1	1,790,632.31	1,790,232.84	1,790,000.00	1,790,509.45	(276.61	)	(218.02	)	—	—	0.7500	0.7319	Apr-Oct	5,618.07	3,574.73		5112016	4302018
912828R36	UNITED STATES TREASURY SENIOR GOVT BND		1	2,462,109.52	2,448,227.5	2,445,000.00	2,461,968.76	(13,741.26	)	(86.63	)	—	—	1.6250	1.4880	May-Nov	15,007.19	(6,744.84	)	8012016	5152026
912828R44	UNITED STATES TREASURY SENIOR GOVT BND		1	17,690,189.89	17,710,087.58	17,700,000.00	17,691,577.66	18,509.92		1,387.77		—	—	0.8750	0.9574	May-Nov	58,498.98	(7,744.23	)	6282016	5152019
912828R51	UNITED STATES TREASURY SENIOR GOVT BND		1	41,015,365.59	40,986,710.45	40,900,000.00	40,998,549.39	(11,838.94	)	(16,816.20	)	—	—	0.8750	0.7771	May-Nov	120,269.46	(14,272.54	)	6292016	5312018
912828R69	UNITED STATES TREASURY SENIOR GOVT BND		1	9,088,221.13	9,129,419.64	9,000,000.00	9,084,722.75	44,696.89		(4,618.52	)	—	—	1.6250	1.5054	May-Nov	49,149.59	5,483.26		6202016	5312023

912828R85	UNITED STATES TREASURY SENIOR GOVT BND			1	29,661,334.66	29,548,568.67	29,540,000.00	29,651,305.16	(102,736.49	)	(10,278.06	)	—	—	0.8750	0.6534	Jun-Dec	76,271.31	(5,097.94	)	7052016	6152019
912828R93	UNITED STATES TREASURY SENIOR GOVT BND			1	8,985,718.26	8,980,289.82	9,000,000.00	8,985,932.53	(5,642.71	)	214.27		—	—	0.6250	0.7126	Jun-Dec	14,215.35	(12,958.56	)	9302016	6302018
912828S27	UNITED STATES TREASURY SENIOR GOVT BND			1	1,002,970.43	998,850.02	1,000,000.00	1,002,843.86	(3,993.84	)	(126.57	)	—	—	1.1250	1.0634	Jun-Dec	2,843.07	(397.42	)	7122016	6302021
912828S92	UNITED STATES TREASURY SENIOR GOVT BND			1	1,245,214.84	1,236,900.04	1,250,000.00	1,245,316.69	(8,416.65	)	101.85		—	—	1.2500	1.3075	Jan-Jul	2,632.47	(212.3	)	8042016	7312023
912828TW0	UNITED STATES TREASURY SENIOR GOVT BND			1	39,885,178.08	40,028,804	40,000,000.00	39,963,370.33	65,433.67		35,381.64		—	—	0.7500	0.6966	Apr-Oct	125,543.48	231,117.09		7072015	10312017
913017BQ1	UNITED TECHNOLOGIES CORPORATN CORP BND			1FE	1,286,397.8	1,236,145.5	1,115,000.00	1,223,919.79	12,225.71		(34,040.51	)	—	—	6.1250	1.8300	Feb-Aug	11,382.29	68,293.76		5072015	2012019
913017BZ1	UNITED TECHNOLOGIES CORPORATN JR SUB COR			2FE	2,333,718.75	2,338,442.13	2,325,000.00	2,329,680.21	8,761.92		(2,791.14	)	—	—	1.7780	1.6499	Feb-Aug	6,889.75	57,787.46		4292015	5042018
913017BU2	UNITED TECHNOLOGIES CORPORATN SENIOR COR			1FE	4,521,108.5	4,547,081.55	4,525,000.00	4,524,460.97	22,620.58		1,090.01		—	—	1.8000	1.8181	Jun-Dec	27,150	98,943		11082012	6012017
91324PCT7	UNITEDHEALTH GROUP INCORPORATE SENIOR CO			1FE	314,883.45	317,001.8	315,000.00	314,906.05	2,095.75		22.60		—	—	1.7000	1.7129	Feb-Aug	684.25	2,528.75		2222016	2152019
BRSU64W61	UNIVAR USA INC SENIOR SECURED TERM LOAN			3FE	1,791,594.08	1,796,454.47	1,796,828.21	1,792,493.44	3,961.03		628.16		—	—	—	0.0414	M-J-S-D	—	58,415.4		8062015	7012022
91412GTA3	UNIVERSITY CALIFORNIA MUNITAX BND REV			1FE	2,082,058.5	2,081,294.7	2,010,000.00	2,054,964.9	26,329.8		(12,478.06	)	—	—	2.5660	1.6901	May-Nov	19,484.5	25,788.3		2062015	5152019
91412GUW3	UNIVERSITY CALIFORNIA MUNITAX BND REV			1FE	2,600,000	2,678,702	2,600,000.00	2,600,000	78,702		—		—	—	2.3640	2.3640	May-Nov	23,219.73	30,732		9292015	5152019
914353ZH3	UNIVERSITY ILL MUNI BND REV		1	1FE	5,689,300	5,815,200	5,000,000.00	5,542,983.24	272,216.76		(55,694.51	)	—	—	5.0000	3.1400	Apr-Oct	125,000	125,000		9112013	4012028
914440LQ3	UNIVERSITY MASS BLDG AUTH MUNITAX BND R			1FE	995,610	1,007,680	1,000,000.00	997,730.56	9,949.44		798.15		—	—	1.3330	1.4439	May-Nov	5,554.17	6,665		3082013	11012018
914713J94	UNIVERSITY N C CHAPEL HILL MUNITAX BND R			1FE	1,000,000	1,000,310	1,000,000.00	1,000,000	310		—		—	—	0.7590	0.7590	Jun-Dec	2,530	3,795		9252014	12012016
914682AM1	UNIVERSITY N MEX UNIV REVS MUNITAX BND R		1	1FE	1,047,841.6	1,049,214.4	1,040,000.00	1,040,000	9,214.4		—		—	—	7.8000	7.8000	Jun-Dec	20,505.33	48,945		1222001	6302020
BRSJE18C7	UNIVISION COMMUNICATIONS INC SENIOR SECU		2	4FE	6,063,559.34	6,080,479.35	6,074,781.21	6,069,006.17	11,473.18		1,261.94		—	—	—	0.0274	M-J-S-D	—	185,865.64		6052013	3012020
BRT3PT6R7	UPC FINANCING PARTNERSHIP SECURED TERM L		1	3FE	2,205,214.38	2,223,345.98	2,215,039.58	2,205,294.19	18,051.79		79.81		—	—	—	0.0619	M-J-S-D	—	148.12		8252016	8312024
90323WAA8	URSA RE LTD CORP BND 144A	F			1,250,000	1,259,250	1,250,000.00	1,250,000	9,250		—		—	—	3.8375	3.8528	M-J-S-D	3,931.86	34,322.99		11142014	12072017
90323WAB6	URSA RE LTD CORP BND 144A	F			1,250,000	1,272,550	1,250,000.00	1,250,000	22,550		—		—	—	5.3375	5.3689	M-J-S-D	5,468.75	48,217.65		11142014	12072017
90323WAC4	URSA RE LTD SENIOR CORP BND 144A	F			1,600,000	1,620,272	1,600,000.00	1,600,000	20,272		—		—	—	5.0000	5.0285	M-J-S-D	6,557.38	76,257.14		9102015	9212018
BRSU0Q006	US ACUTE CARE SOLUTIONS LLC				5,227,994.2	5,214,924.21	5,227,994.20	5,227,994.2	(13,069.99	)	—		—	—	—	—	M-J-S-D	—	175,424.12			5152021
BRSLYQE12	US AIRWAYS INC SENIOR SECURED TERM NOTES		2	3FE	4,262,775.32	4,283,510.85	4,279,496.68	4,270,879.93	12,630.92		2,689.93		—	—	—	0.0736	M-J-S-D	—	131,208.16		10012015	5232019
91159HHE3	US BANCORP SENIOR CORP BND MTN		1	1FE	4,993,800	5,064,222.7	5,000,000.00	4,997,310.5	66,912.2		922.39		—	—	1.9500	1.9760	May-Nov	36,833.33	48,750		11042013	11152018
91159HHH6	US BANCORP SENIOR CORP BND MTN		1	1FE	1,262,787.5	1,274,436.09	1,250,000.00	1,260,057.67	14,378.42		(2,729.83	)	—	—	2.2000	1.8670	Apr-Oct	11,916.67	7,256.94		1142016	4252019
91159HHM5	US BANCORP SUB CORP BND MTN		1	1FE	599,538	616,071.95	600,000.00	599,555.47	16,516.48		17.47		—	—	3.1000	3.1090	Apr-Oct	8,008.33	—		4212016	4272026
90331HMJ9	US BANK NA/CINCINNATI OH SENIOR CORP BND		1	1FE	4,000,000	3,997,720.04	4,000,000.00	4,000,000	(2,279.96	)	—		—	—	1.0454	1.0454	M-J-S-D	2,207.04	24,369.44		9082014	9112017
90331HMC4	US BANK NATIONAL ASSOCIATION SENIOR CORP		1	1FE	1,999,700	2,001,160	2,000,000.00	1,999,966.67	1,193.33		116.14		—	—	1.1000	1.1051	Jan-Jul	3,727.78	48,201.39		1272014	1302017
90331HMH3	US BANK NATIONAL ASSOCIATION SENIOR CORP		1	1FE	3,997,760	4,005,659.6	4,000,000.00	3,999,284.62	6,374.98		559.37		—	—	1.3750	1.3941	Mar-Sep	3,055.56	55,000		9082014	9112017
90331HML4	US BANK NATIONAL ASSOCIATION SENIOR CORP		1	1FE	8,737,837.5	8,918,152.66	8,745,000.00	8,740,545.51	177,607.15		1,030.83		—	—	2.1250	2.1441	Apr-Oct	78,978.28	92,915.64		7292015	10282019
90331HMQ3	US BANK NATIONAL ASSOCIATION SENIOR CORP		1	1FE	3,195,136	3,205,496	3,200,000.00	3,197,836.57	7,659.43		2,503.45		—	—	1.3500	1.4020	Jan-Jul	7,800	97,931.25		1222015	1262018
90331HMU4	US BANK NATIONAL ASSOCIATION SENIOR CORP		1	1FE	749,355	752,220.3	750,000.00	749,570.33	2,649.97		898.18		—	—	1.4500	1.4938	Jan-Jul	1,872.92	28,597.22		1262016	1292018
90331HMY6	US BANK NATIONAL ASSOCIATION SENIOR CORP		1	1FE	498,610	500,653.88	500,000.00	498,806.32	1,847.56		196.32		—	—	1.4000	1.4951	Apr-Oct	3,013.88	—		4212016	4262019
BRSUR9351	USAGM HOLDCO LLC SENIOR SECURED TERM NOT			4FE	2,137,548.2	2,153,177.29	2,169,448.15	2,140,895.8	12,281.49		2,708.52		—	—	—	0.2240	M-J-S-D	—	61,741.2		4142016	7282022

BRT2GBZH8	USAGM HOLDCO LLC SENIOR SECURED TERM NOT		1	4FE	1,453,876.65	1,471,315.82	1,468,562.27	1,454,264.74	17,051.08		388.09		—	—	—	0.1657	M-J-S-D	—	3,008.51	6212016	7282022
BRT2GC4F4	USAGM HOLDCO LLC SENIOR SECURED TERM NOT			4FE	289,947.79	291,927.73	291,381.39	289,947.79	1,979.94		—		—	—	—	0.0854	M-J-S-D	—	378.8	9302016	7282022
90327CAD2	USAOT_15-1 SENIOR ABS_16-1 A4		2	1FE	425,977.21	426,234.3	426,000.00	425,977.3	257		0.09		—	—	1.3900	1.3954	Monthly	164.49	—	9122016	11152021
90327CAB6	USAOT_16-1 ABS 16-1		2		1,729,956.76	1,730,667.6	1,730,000.00	1,729,957.34	710.26		0.58		—	—	1.0700	1.0740	Monthly	514.2	—	9122016	3152019
91802RAT6	UTILITY DEBT SECURITIZATION AU MUNITAX B			1FE	1,986,780	2,014,240	2,000,000.00	1,990,615.76	23,624.24		1,409.12		—	—	2.0420	2.1474	Jun-Dec	12,025.11	20,420	12122013	6152021
BRSS0WHT7	VALEANT PHARMACEUTICALS INTERN			3FE	466,845.83	477,445.12	476,373.28	468,210.11	9,235.01		4,505.27		—	—	—	0.3101	M-J-S-D	—	92,258.59		4012022
92867PAD5	VALET_13-2 ABS_13-2 A4		2		559,901.38	558,992	560,000.00	559,971.24	(979.24	)	16.74		—	—	1.1600	1.1673	Monthly	198.48	4,871.97	11062013	3202020
92329JAF6	VENT_12-12A MEZZANIN ABS_12-12A C2 144A	F	2	1FE	1,000,937.5	1,000,932.7	1,000,000.00	1,000,685	247.7		(111.76	)	—	—	4.3293	4.3350	F-M-A-N	3,968.55	30,895	1082015	2282024
922764AA3	VENTERRA RE LTD CORP BND 144A	F		3FE	4,500,000	4,517,955	4,500,000.00	4,500,000	17,955		—		—	—	3.7500	3.7675	M-J-S-D	468.75	170,062.01	12202013	1092017
92328CAN5	VENTR_12-11A MEZZANIN ABS 12-11A CR 144A	F	2	1FE	1,000,000	1,000,010.4	1,000,000.00	1,000,000	10.4		—		—	—	3.7670	3.7842	F-M-A-N	4,918.03	26,423.51	4232015	11142022
92329JAE9	VENTR_12-12A ABS_ 12-12A C1	F	2		1,165,800	1,199,960.04	1,200,000.00	1,175,949.55	24,010.49		3,825.53		—	—	3.6793	4.1938	F-M-A-N	4,047.26	31,155.14	10022014	2282024
BRSNY4KA0	VERIFONE INC SENIOR SECURED TERM NOTES			3FE	416,833.95	415,437.64	418,928.57	417,492.84	(2,055.2	)	238.25		—	—	—	0.0710	M-J-S-D	—	11,216.77	7012014	7082021
92343VBF0	VERIZON COMMUNICATIONS INC SENIOR CORP B			2FE	2,245,230	2,249,767.13	2,250,000.00	2,248,938.92	828.21		724.61		—	—	1.1000	1.1439	May-Nov	10,312.51	12,375	11022012	11012017
92343VBQ6	VERIZON COMMUNICATIONS INC SENIOR CORP B			2FE	2,381,719.49	2,431,145.04	2,214,000.00	2,335,068.02	96,077.02		(20,458.48	)	—	—	4.5000	1.9890	Mar-Sep	4,428	95,861.25	4042016	9152020
92343VCB8	VERIZON COMMUNICATIONS INC SENIOR CORP B			1FE	303,390	308,525.64	300,000.00	302,377.19	6,148.45		(632.17	)	—	—	2.5500	2.2469	Jun-Dec	2,210	3,825	7132015	6172019
92343VCH5	VERIZON COMMUNICATIONS INC SENIOR CORP B			2FE	12,383,732.26	12,581,243	12,240,000.00	12,362,130.34	219,112.66		(16,278.46	)	—	—	2.6250	2.5072	Feb-Aug	35,700	260,852.1	6072016	2212020
92343VCN2	VERIZON COMMUNICATIONS INC SENIOR CORP B		1	2FE	1,808,397.5	1,829,608.24	1,750,000.00	1,804,048.25	25,559.99		(4,349.25	)	—	—	3.0000	2.3319	May-Nov	21,875	291.67	4262016	11012021
92343VDD3	VERIZON COMMUNICATIONS INC SENIOR CORP B		1	2FE	398,980	393,412.87	400,000.00	398,993.72	(5,580.85	)	13.72		—	—	2.6250	2.6540	Feb-Aug	1,750.01	—	7272016	8152026
92343VDF8	VERIZON COMMUNICATIONS INC SENIOR CORP B			2FE	2,499,775	2,490,085.03	2,500,000.00	2,499,786.06	(9,701.03	)	11.06		—	—	1.3750	1.3780	Feb-Aug	5,729.17	—	7272016	8152019
92347XAA4	VERIZON OWNER TRUST VZOT_16-1A SENIOR AB		2	1FE	1,499,747.4	1,503,451.2	1,500,000.00	1,499,763.72	3,687.48		16.32		—	—	1.4200	1.4308	Monthly	650.83	3,550	7122016	1202021
BRSX3CBW6	VERTICALSCOPE INC SECURED TERM LOAN	I			1,595,156.25	1,583,192.58	1,595,156.25	1,595,156.25	(11,963.67	)	—		—	—	—	—	M-J-S-D	—	38,697.56	4272016	10222020
BRSX3CBR7	VERTICALSCOPE INC SENIOR SECURED TERM LO	A			5,343,750	5,303,671.88	5,343,750.00	5,343,750	(40,078.12	)	—		—	—	—	—	M-J-S-D	—	139,013.67	10212015	10222020
92553PBA9	VIACOM INC SENIOR CORP BND		1	2FE	4,635,678	4,633,034.71	4,650,000.00	4,635,678	(2,643.29	)	—		—	—	2.2500	2.3119	Apr-Oct	—	—	9292016	2042022
927804FM1	VIRGINIA ELECTRIC AND POWER CO SENIOR CO		1	2FE	4,008,660	3,988,300	4,000,000.00	4,002,218.32	(13,918.32	)	(1,391.31	)	—	—	1.2000	1.1527	Jan-Jul	10,133.33	48,000	12052014	1152018
928077HH2	VIRGINIA PORT AUTH PORT FAC RE MUNITAX B			1FE	1,405,000	1,417,195.4	1,405,000.00	1,405,000	12,195.4		—		—	—	1.6620	1.6620	Jan-Jul	5,837.78	23,351.1	3052015	7012018
928077HJ8	VIRGINIA PORT AUTH PORT FAC RE MUNITAX B			1FE	1,500,000	1,522,455	1,500,000.00	1,500,000	22,455		—		—	—	2.0980	2.0980	Jan-Jul	7,867.5	31,470	3052015	7012019
928077HK5	VIRGINIA PORT AUTH PORT FAC RE MUNITAX B			1FE	2,010,000	2,061,938.4	2,010,000.00	2,010,000	51,938.4		—		—	—	2.3480	2.3480	Jan-Jul	11,798.7	47,194.8	3052015	7012020
92812QWJ2	VIRGINIA ST HSG DEV AUTH MUNITAX BND REV		1	1FE	3,439,440	3,207,090	3,000,000.00	3,178,922.65	28,167.35		(98,435.31	)	—	—	6.3200	1.7784	May-Nov	79,000	94,800	3252009	11012019
BRSTG6CM5	VIRIGIN MEDIA SENIOR SECURED TERM NOTES	E	2	3FE	3,581,243.12	3,594,008.01	3,582,068.97	3,581,324.92	12,683.09		81.80		—	—	—	0.0031	Jun-Dec	—	63,730.98	1042016	6302023
92826CAA0	VISA INC SENIOR CORP BND			1FE	5,047,323.5	5,065,684.29	5,050,000.00	5,048,383.83	17,300.46		1,012.33		—	—	1.2000	1.2269	Jun-Dec	18,011.66	31,666.67	12092015	12142017
92826CAB8	VISA INC SENIOR CORP BND		1	1FE	3,402,105.75	3,491,135.3	3,405,000.00	3,402,546.8	88,588.5		914.87		—	—	2.2000	2.2181	Jun-Dec	22,264.91	115,056.94	12092015	12142020
92826CAC6	VISA INC SENIOR CORP BND		1	1FE	2,387,060.25	2,487,569.71	2,375,000.00	2,385,896.79	101,672.92		(1,173.70	)	—	—	2.8000	2.6189	Jun-Dec	19,765.29	30,582.23	1072016	12142022
92857WAY6	VODAFONE GROUP PLC SENIOR CORP BND	F		2FE	1,442,528.77	1,443,338.37	1,447,000.00	1,446,094.82	(2,756.45	)	677.91		—	—	1.2500	1.3141	Mar-Sep	251.22	18,087.5	9192012	9262017
92867TAD7	VOLKSWAGEN AUTO LOAN ENHANCED ABS _14-2-		2	1FE	1,059,819.8	1,055,017.99	1,060,000.00	1,059,909.76	(4,891.77	)	35.16		—	—	1.3900	1.3986	Monthly	450.21	11,050.47	10152014	5202021

BRSK76500	VOLKSWAGEN FIN SERV N.V.			1FE	908,378.81	783,102.78	600,000.00	905,467.99	3,076.29		(544.10	)	—	(125,441.51	)	1.7500	1.6722		Feb-Aug	1,519.63	15,676.85			8212017
BRSN7KUW5	VOLKSWAGEN FIN SERV N.V. CORP BND EMTN	D			404,380.9	398,507.96	300,000.00	403,574.66	(900.43	)	(806.24	)	—	(4,166.27	)	2.3750	1.1797		May-Nov	3,546.22	(1,931.38	)	7262016	11132018
928670AK4	VOLKSWAGEN INTERNATIONAL FINAN CORP BND	F		2FE	255,160	250,308	250,000.00	251,445.69	(1,137.69	)	(2,257.63	)	—	—		2.3750	1.1509		Mar-Sep	148.44	5,937.5		7072015	3222017
928670AW8	VOLKSWAGEN INTERNATIONAL FINAN SENIOR CO	F			5,347,646	5,349,620.15	5,350,000.00	5,349,895.96	(275.81	)	595.45		—	—		1.1250	1.1400		May-Nov	22,235.94	30,093.75		11132013	11182016
91830XAE2	VOYA_12-3AR ABS 12-3AR CR 144A	F	2		4,000,000	3,999,815.6	4,000,000.00	4,000,000	(184.4	)	—		—	—		3.6301	3.6462		J-A-J-O	31,460.87	105,729.76		3242015	10152022
92915HAE3	VOYA_16-3A MEZZANIN ABS 16-3A 144A	F	2		1,500,000	1,500,000	1,500,000.00	1,500,000	—		—		—	—		—	3.2726		J-A-J-O	—	—		9282016	10182027
U9291NAP0	VW CREDIT INC SENIOR CORP BND EMTN			1FE	4,590,450	4,499,955	4,500,000.00	4,500,858.83	(903.83	)	(19,609.85	)	—	—		1.8750	1.2813		October	81,562.5	—		4032013	10132016
928667AD6	VWMT_14-1A ABS_14-1A-A2 144A		2	1FE	3,819,901.45	3,816,867.57	3,820,000.00	3,819,971.99	(3,104.42	)	25.55		—	—		1.4000	1.4050		Monthly	1,634.11	40,110.03		8122014	7222019
931266AA8	WABR_16-BOCA LCF SENIOR CMBS_16-BOCA A 1		2		100,000	100,006.57	100,000.00	100,000	6.57		—		—	—		1.8750	1.7270		Monthly	83.33	301.55		7122016	6152029
931427AM0	WALGREENS BOOTS ALLIANCE INC SENIOR CORP			2FE	294,890.85	296,498.95	295,000.00	294,908.79	1,590.16		138.52		—	—		1.7500	1.7689		May-Nov	1,720.83	11,757.08		5262016	5302018
931427AN8	WALGREENS BOOTS ALLIANCE INC SENIOR CORP		1	2FE	3,884,766.9	3,973,983.13	3,885,000.00	3,884,796.98	89,186.15		80.72		—	—		2.6000	2.6120		Jun-Dec	33,670	12,240.22		6162016	6012021
931427AQ1	WALGREENS BOOTS ALLIANCE INC SENIOR CORP		1	2FE	214,458.2	223,298.35	215,000.00	214,473.45	8,824.9		15.25		—	—		3.4500	3.4801		Jun-Dec	2,472.5	—		5262016	6012026
932117KA1	WALL TWP N J SCH DIST MUNITAX BND GO			1FE	391,778.4	391,263.6	390,000.00	390,512.81	750.79		(481.47	)	—	—		2.1160	1.9469		Jan-Jul	1,742.17	8,252.4		6082012	7152017
931142DF7	WAL-MART STORES INC SENIOR CORP BND			1FE	491,370	501,252.18	500,000.00	496,206.42	5,045.76		1,824.56		—	—		1.1250	1.6300		Apr-Oct	2,656.25	2,812.5		4042013	4112018
25468PDF0	WALT DISNEY COMPANY (THE) CORP BND			1FE	648,453	699,590.27	650,000.00	648,591.99	50,998.28		100.37		—	—		3.1500	3.1780		Mar-Sep	796.26	20,475		9142015	9172025
25468PDE3	WALT DISNEY COMPANY (THE) CORP BOND			1FE	4,032,960	4,108,422.84	4,000,000.00	4,026,704.65	81,718.19		(4,795.57	)	—	—		2.1500	1.9740		Mar-Sep	3,344.44	86,000		10062015	9172020
25468PCV6	WALT DISNEY COMPANY (THE) SENIOR CORP BN			1FE	3,102,781.25	3,131,886.57	3,125,000.00	3,119,695.91	12,190.66		3,364.85		—	—		1.1000	1.2470		Jun-Dec	11,458.34	17,187.5		11272012	12012017
25468PCW4	WALT DISNEY COMPANY (THE) SENIOR CORP BN			1FE	755,389.44	794,242.55	776,000.00	758,418.17	35,824.38		1,940.65		—	—		2.3500	2.7520		Jun-Dec	6,078.66	9,118		7272015	12012022
25468PDD5	WALT DISNEY COMPANY (THE) SENIOR CORP BN			1FE	519,558	523,423.21	520,000.00	519,708.77	3,714.44		108.68		—	—		1.5000	1.5291		Mar-Sep	303.33	7,800		9142015	9172018
25468PDJ2	WALT DISNEY COMPANY (THE) SENIOR CORP BN			1FE	409,602.3	422,162.15	410,000.00	409,661.74	12,500.41		59.44		—	—		2.3000	2.3200		Feb-Aug	1,283.53	5,605.61		1052016	2122021
25468PDL7	WALT DISNEY COMPANY (THE) SENIOR CORP BN			1FE	1,868,700	1,856,022.84	1,875,000.00	1,869,156.55	(13,133.71	)	456.55		—	—		0.8750	0.9889		Jan-Jul	3,600.26	—		7072016	7122019
9292274U7	WAMU_03-S4 WAMU_03-S4		2	1FM	387,830.53	400,540.92	382,355.19	387,564.18	12,976.74		(918.16	)	—	—		5.5000	4.7621		Monthly	1,752.46	17,008.35		7182003	6252033
92922F3N6	WAMU_05-A12 CMO_05-AR12 1A8		2		1,457,147.43	1,428,520.79	1,472,098.44	1,458,606.13	(30,085.34	)	2,644.67		—	—		2.7206	2.9711		Monthly	3,337.43	29,892.62		1102008	10252035
93730PAG1	WASHINGTON BIOMEDICAL RESEARCH MUNITAX B			1FE	1,281,226.5	1,259,342	1,150,000.00	1,227,688.89	31,653.11		(20,367.95	)	—	—		4.8810	2.3300		Jan-Jul	14,032.88	56,131.5		2122013	7012019
93974CQX1	WASHINGTON STATE MUNITAX BND GO			1FE	4,875,697.2	4,772,866.8	4,440,000.00	4,723,658.53	49,208.27		(72,841.45	)	—	—		4.0190	1.7002		Feb-Aug	29,740.6	178,443.6		2262015	8012019
939720LK2	WASHINGTON STATE MUNITAX BND REV			1FE	2,685,609	2,701,404	2,700,000.00	2,691,988.05	9,415.95		3,380.20		—	—		1.1500	1.3221		Jan-Jul	7,762.5	31,050		4292015	7012018
939720LL0	WASHINGTON STATE MUNITAX BND REV			1FE	587,188.8	607,280.85	605,000.00	594,484.71	12,796.14		2,767.38		—	—		1.4500	2.1040		Jan-Jul	2,193.13	8,772.5		8152013	7012019
92978PAF6	WBCMT_06-C29 PAC SENIOR CMBS 06-C29 A1A		2		3,082,267.32	2,808,806.17	2,805,523.79	2,838,928.21	(30,122.04	)	(112,654.65	)	—	—		5.2970	(1.4219	)	Monthly	12,384.05	200,815.09		6022014	11152048
949746RG8	WELLS FARGO & COMPANY CAPSEC CORP BND		1	2FE	3,543,750	3,613,750	3,500,000.00	3,543,750	70,000		—		—	—		5.9000	5.8272		Jun-Dec	60,802.78	82,010		12112014
949746RN3	WELLS FARGO & COMPANY CAPSEC CORP BND		1	2FE	1,330,000	1,443,050	1,330,000.00	1,330,000	113,050		—		—	—		5.8750	5.8750		Jun-Dec	23,007.15	62,301.11		1152015
949746PM7	WELLS FARGO & COMPANY CAPSEC CORP BND		1	2FE	7,924,225	7,558,125	7,250,000.00	7,576,841.15	(18,716.15	)	(143,778.82	)	—	—		7.9800	4.7615		Mar-Sep	25,713.33	501,797.92		6172016	12312049
949746SA0	WELLS FARGO & COMPANY SENIOR CORP BND			1FE	2,997,180	2,989,933.32	3,000,000.00	2,997,279.03	(7,345.71	)	99.03		—	—		2.1000	2.1199		Jan-Jul	11,550	—		7182016	7262021
94974BFG0	WELLS FARGO & COMPANY SENIOR CORP BND			1FE	498,860	500,574.35	500,000.00	499,624.78	949.57		214.76		—	—		1.5000	1.5590		Jan-Jul	1,562.5	7,500		1102014	1162018
94974BFU9	WELLS FARGO & COMPANY SENIOR CORP BND			1FE	3,093,428	3,138,568.36	3,100,000.00	3,096,550.39	42,017.97		973.95		—	—		2.1250	2.1700		Apr-Oct	29,094.79	32,937.51		4142014	4222019

94974BGB0	WELLS FARGO & COMPANY SENIOR CORP BND			1FE	1,498,515	1,500,560.25	1,500,000.00	1,499,529.2	1,031.05		371.31		—	—		1.4000	1.4339		Mar-Sep	1,341.66	21,000		9022014	9082017
BRT3H84K9	WELLS FARGO & COMPANY SENIOR CORP BND EM	O		1FE	295,778.54	292,711.42	225,000.00	295,772.12	91.2		2.56		—	(3,151.9	)	2.0000	1.9755		July	1,072.92	861.43		7262016	7282025
94974BGH7	WELLS FARGO & COMPANY SENIOR CORP BND MT			1FE	479,110	506,409.99	500,000.00	481,477.98	24,932.01		1,403.42		—	—		3.0000	3.5140		Feb-Aug	1,750	27,750		6232015	2192025
94974BGM6	WELLS FARGO & COMPANY SENIOR CORP BND MT			1FE	1,099,384	1,124,743.46	1,100,000.00	1,099,523.89	25,219.57		88.46		—	—		2.6000	2.6120		Jan-Jul	5,481.66	28,600		7152015	7222020
94988J5A1	WELLS FARGO BANK NA SENIOR CORP BND			1FE	1,949,434.5	1,956,046.76	1,950,000.00	1,949,623.22	6,423.54		188.72		—	—		1.6500	1.6650		Jan-Jul	6,166.88	15,461.88		1222016	1222018
94988J5E3	WELLS FARGO BANK NA SENIOR CORP BND			1FE	4,000,000	4,011,680	4,000,000.00	4,000,000	11,680		—		—	—		1.4254	1.4254		F-M-A-N	6,018.52	11,857.93		5252016	5242019
94989EAB3	WELLS_15-LC20 SENIOR CMBS 15-LC20 A2		2	1FM	875,480.45	879,012.97	850,000.00	867,730.03	11,282.94		(4,577.36	)	—	—		2.6780	2.0208		Monthly	1,896.92	17,072.28		3252015	4152050
95058XAB4	WENDYS FUNDING LLC WEN_15-1A ABS_15-1A A		2		2,475,000	2,513,404.58	2,475,000.00	2,475,000	38,404.58		—		—	—		4.0800	4.0999		M-J-S-D	4,488	76,117.5		5192015	6152045
BRT1KDNS0	WEST STAR AVIATION INC SECURED REVOLVE L				46,182.27	45,951.36	46,182.27	46,182.27	(230.91	)	—		—	—		—	—		M-J-S-D	—	15,698.15		9262016	4282021
BRT1KDPP4	WEST STAR AVIATION INC SENIOR SECURED TE				2,964,324.2	2,949,502.58	2,964,324.20	2,964,324.2	(14,821.62	)	—		—	—		—	—		M-J-S-D	—	87,968.85		4282016	4282022
BRSLBEQ11	WESTERN REFINING INC SENIOR SECURED TERM		2	4FE	1,879,143.36	1,868,237.14	1,874,093.68	1,877,988.15	(9,751.01	)	(711.18	)	—	—		—	(0.0497	)	F-M-A-N	—	76,932.22		6032015	11122020
960895VY3	WESTMORELAND CNTY PA MUNITAX BND GO			1FE	244,617.8	246,092.7	245,000.00	244,857.81	1,234.89		89.99		—	—		1.4420	1.4924		Jun-Dec	1,177.63	1,766.45		5222013	12012017
960895VZ0	WESTMORELAND CNTY PA MUNITAX BND GO			1FE	575,742.8	585,945	580,000.00	577,750.58	8,194.42		757.23		—	—		1.6420	1.8254		Jun-Dec	3,174.53	4,761.8		5222013	12012018
961214CH4	WESTPAC BANKING CORP SENIOR CORP BND	F		1FE	719,244	720,000	720,000.00	719,837.86	162.14		363.04		—	—		1.2000	1.2358		May-Nov	3,168	11,490		5142014	5192017
961214CT8	WESTPAC BANKING CORP SENIOR CORP BND	F		1FE	1,164,965.05	1,165,696.04	1,165,000.00	1,164,969.43	726.61		4.38		—	—		1.6500	1.6510		May-Nov	7,368.63	—		5092016	5132019
961214CZ4	WESTPAC BANKING CORP SENIOR CORP BND	F		1FE	5,000,000	4,996,099.85	5,000,000.00	5,000,000	(3,900.15	)	—		—	—		1.3713	1.3736		F-M-A-N	8,189.59	—		8112016	8192019
BRT2R30S8	WEX INC SECURED TERM LOAN		1	3FE	85,537.03	87,221.85	86,401.04	85,565.72	1,656.13		77.09		—	—		—	0.1420		M-J-S-D	—	2,254.77		6242016	6302023
94988HAD3	WFCM_12-LC5 SENIOR CMBS 12-LC5		2		2,286,210.94	2,306,272.48	2,250,000.00	2,277,634.1	28,638.38		(6,323.47	)	—	—		2.5280	2.1299		Monthly	4,740	42,660		9222015	10152045
94988XAV8	WFCM_14-LC16 CMBS_14-LC16 ASB		2		5,758,345.31	5,808,253.97	5,430,000.00	5,738,394.68	69,859.29		(19,950.63	)	—	—		3.4770	2.2838		Monthly	15,733.44	49,298.12		5242016	8152050
94989DAW9	WFCM_15-C27 SENIOR SENIOR CMBS 15-C27 A5		2	1FE	3,089,817.01	3,208,439.94	3,000,000.00	3,076,497.46	131,942.48		(6,470.16	)	—	—		3.4510	3.0951		Monthly	8,627.51	77,647.59		3032015	2152048
94989NBE6	WFCM_15-C30 LCF SENIOR CMBS 15-C30		2	1FM	1,210,178.33	1,274,017.84	1,175,000.00	1,206,429.29	67,588.55		(2,479.22	)	—	—		3.6640	3.3076		Monthly	3,587.67	32,289.03		7272015	9152058
94989HAF7	WFCM_15-NXS1 PRELCF SENIOR CMBS 15-NXS1		2		3,083,549.75	3,088,946.16	3,000,000.00	3,058,877.73	30,068.43		(14,247.41	)	—	—		2.6320	2.0182		Monthly	6,580	59,220		9232015	5152048
94989VAD1	WFCM_15-NXS3 LCF SENIOR CMBS_15-NXS3 A4		2		2,879,502.7	3,033,518.72	2,803,000.00	2,873,036.39	160,482.33		(5,467.03	)	—	—		3.6170	3.2905		Monthly	8,448.71	76,038.39		12072015	9152057
94989VAB5	WFCM_15-NXS3 PRELCF SENIOR CMBS_15-NXS3		2		1,029,972	1,040,920.03	1,000,000.00	1,023,546.97	17,373.06		(5,009.55	)	—	—		2.8480	2.1330		Monthly	2,373.33	21,359.97		9252015	9152057
94989YBB8	WFCMT_16-C32 SENIOR SUB CMBS_16-C32 AS		2		1,287,447.5	1,370,253.38	1,250,000.00	1,285,371.07	84,882.31		(2,076.43	)	—	—		3.9520	3.6006		Monthly	4,116.67	26,483.91		2032016	1152059
949781AA6	WFMBS CMO 05-AR1 1A1		2	NR*Z*	1,007,550.22	1,030,945.83	1,032,175.26	1,011,284.53	19,661.3		4,697.01		—	—		2.7652	3.3474		Monthly	2,378.45	24,073.29		12052006	2252035
94982BAG5	WFMBS CMO 05-AR8 3A2		2		244,513.64	254,469.92	248,750.16	245,408.81	9,061.11		1,029.89		—	—		3.0618	3.4837		Monthly	634.68	6,184.97		12152005	6252035
94981NAH8	WFMBS_05-AR4 CMO 05-AR4 2A2		2	NR*Z*	685,884.62	704,846.45	705,705.01	690,306.87	14,539.58		3,031.51		—	—		2.9945	3.9217		Monthly	1,761.05	16,810.81		7192006	4252035
981464DG2	WFNMT_12-C ABS 12-C		2	1FE	1,399,466.46	1,422,111.32	1,400,000.00	1,399,816.55	22,294.77		64.74		—	—		2.2300	2.2469		Monthly	1,387.56	23,414.94		7132012	8152022
981464EN6	WFNMT_14-C SENIOR ABS 14-C		2		719,834.4	722,772.01	720,000.00	719,920.58	2,851.43		34.25		—	—		1.5400	1.5515		Monthly	492.8	8,316		11032014	8152021
92936JBB9	WF-RBS COMMERCIAL MORTGAGE TRU LCF SENIO		2		12,262,155.48	12,207,006.03	11,267,000.00	12,246,572.64	(39,566.61	)	(15,582.84	)	—	—		3.6670	1.6665		Monthly	34,430.07	(3,635.33	)	9082016	11152044
92937EAB0	WF-RBS COMMERCIAL MORTGAGE TRU PRELCF SE		2		954,291.12	953,935.73	947,775.17	950,651.51	3,284.22		(2,635.89	)	—	—		2.0290	1.8354		Monthly	1,602.53	29,578.55		9182014	3152045
92930RAB8	WFRBS_12-C9 SENIOR CMBS 12-C9		2		1,436,021.48	1,430,315.26	1,425,000.00	1,426,635.73	3,679.53		(4,367.98	)	—	—		1.8290	1.4827		Monthly	2,171.94	19,547.46		10092014	11152045
92938EAF0	WFRBS_13-C16 PRELCF SENIOR CMBS_13-C16 A		2		6,303,750	6,200,577	6,000,000.00	6,131,589.34	68,987.66		(65,775.40	)	—	—		3.2230	1.8472		Monthly	16,115	145,035		7212014	9152046

92939FAR0	WFRBS_14-C21 PRELCF SENIOR CMBS_14-C21 A		2	1FM	1,043,750	1,035,778.3	1,000,000.00	1,028,124.62	7,653.68		(9,512.79	)	—	—		2.9170	1.7971	Monthly	2,430.83	21,877.47		4072015	8152047
92939KAF5	WFRBS_14-C24 PAC SENIOR CMBS_14-C24 ASB		2		4,218,135.54	4,185,266.04	3,935,000.00	4,214,670.73	(29,404.69	)	(3,464.81	)	—	—		3.3240	1.5484	M-J-S-D	10,899.95	(3,996.65	)	9072016	11152047
92939LAB2	WFRBS_14-C25 PRELCF SENIOR CMBS _14-C25-		2		5,664,840.5	5,718,571.1	5,500,000.00	5,605,351.23	113,219.87		(24,771.03	)	—	—		2.9320	2.2837	Monthly	13,438.33	120,944.97		11182014	11152047
9698714J8	WILLIAMSON CNTY TENN MUNITAX BND GO			1FE	418,676	411,608	400,000.00	408,123.49	3,484.51		(3,980.81	)	—	—		2.9500	1.5747	Apr-Oct	5,900	5,900		3272013	4012018
97652QAC3	WIN_14-2 WHOLE CMO 14-2		2		1,832,445.25	1,855,683.62	1,807,590.86	1,819,290.15	36,393.47		(16,351.94	)	—	—		3.5000	2.6021	Monthly	5,272.14	57,958.56		10082014	9202044
BRSZFPAC4	Window SENIOR SECURED TERM LOAN	R			173,794.09	172,925.12	173,794.09	173,794.09	(868.97	)	—		—	—		—	—	M-J-S-D	—	3,520.49		9232016	2012021
BRSZFPNX4	Window TERM NOTES	R			5,587,681.43	5,559,743.02	5,587,681.43	5,587,681.43	(27,938.41	)	—		—	—		—	—	M-J-S-D	—	203,384.13		2012016	2012022
88433BAJ6	WINDR_16-2A MEZZANIN ABS 16-2A 144A	F	2		2,408,350	2,408,350	2,450,000.00	2,408,350	—		—		—	—		3.3630	3.6955	Monthly	—	—		9272016	11072028
976656CF3	WISCONSIN ELECTRIC POWER COMPA SENIOR CO		1	1FE	2,500,000	2,504,400.25	2,500,000.00	2,500,000	4,400.25		—		—	—		1.7000	1.7000	Jun-Dec	12,513.89	21,250		6102013	6152018
976826BG1	WISCONSIN POWER AND LIGHT COMP SENIOR CO			1FE	560,420	541,236.65	500,000.00	535,966.89	5,269.76		(9,295.55	)	—	—		5.0000	2.3200	Jan-Jul	5,277.78	25,000		7072009	7152019
97705MDE2	WISCONSIN ST MUNI BND GO		1	1FE	981,031.8	998,358.7	815,000.00	972,221.81	26,136.89		(8,809.99	)	—	—		5.0000	2.4898	May-Nov	22,072.92	—		2252016	5012033
982526AT2	WM WRIGLEY JR CO SENIOR CORP BND 144A			2FE	252,277.5	251,667.5	250,000.00	251,071.94	595.56		(751.93	)	—	—		2.0000	1.5873	Apr-Oct	2,236.11	2,500		7142015	10202017
982526AU9	WM WRIGLEY JR CO SENIOR CORP BND 144A		1	2FE	8,396,608	8,406,357.55	8,275,000.00	8,344,079.66	62,277.89		(25,581.53	)	—	—		2.4000	2.0036	Apr-Oct	88,266.67	99,300		4292015	10212018
93934FEN8	WMALT_05-5 CMO 05-9-2A2		2	5FE	1,699,086.76	1,698,456.46	1,854,392.11	1,720,008.73	(21,552.27	)	(18,851.53	)	—	—		5.5000	7.2344	Monthly	8,499.3	86,732.93		12172007	11252035
BRSJ883L4	WMG ACQUISITION CORP SENIOR SECURED TERM		2	4FE	2,259,917.85	2,254,975.41	2,259,917.85	2,259,917.85	(4,942.44	)	—		—	—		—	—	F-M-A-N	—	79,575.45		9062013	7012020
98161PAB9	WOART_16-B ABS 16-B		2		2,544,758.23	2,544,745.45	2,545,000.00	2,544,767.03	(21.58	)	8.80		—	—		1.1000	1.1102	Monthly	1,321.98	—		9072016	1152020
66859TAC3	WOODS_14-14A MEZZANIN ABS 14-14A-B 144A	F	2	1FE	2,942,475	3,028,300.2	3,000,000.00	2,955,516.87	72,783.33		5,644.46		—	—		3.2776	3.5871	F-M-A-N	13,656.67	68,347.53		11172014	11122025
981464FJ4	WORLD FINANCIAL NETWORK CREDIT SENIOR AB		2	1FE	1,249,630.13	1,258,500	1,250,000.00	1,249,648.43	8,851.57		18.30		—	—		2.0300	2.0496	Monthly	1,127.78	3,383.33		7192016	4152025
BRSVTZPY2	WORLDWIDE EXPRESS OPERATIONS L SENIOR SE				215,582.25	213,426.43	215,582.25	215,582.25	(2,155.82	)	—		—	—		—	—	M-J-S-D	—	883.08		9282016	7312018
BRSVTZRG9	WORLDWIDE EXPRESS OPERATIONS L SENIOR SE				4,744,839.8	4,697,391.4	4,744,839.80	4,744,839.8	(47,448.4	)	—		—	—		—	—	M-J-S-D	—	200,992.06		3232016	7312019
BRSVTZSZ6	WORLDWIDE EXPRESS OPERATIONS L SENIOR SE				2,385,582.06	2,361,726.23	2,385,582.06	2,385,582.06	(23,855.83	)	—		—	—		—	—	M-J-S-D	—	106,703.14		8172016	7312019
BRSP8QSG4	WSCFP_14 SENIOR CMBS 14	D	2		1,785,379.5	1,432,157.24	1,110,000.00	1,785,379.5	(9,732.76	)	—		—	(343,489.5	)	1.3425	1.3447	F-M-A-N	3,075.97	17,797.38		10072014	11042019
95168QAG5	WSTC_13-1A MEZZANIN ABS _13-1A-B 144A	F	2	1FE	479,500	476,701.5	500,000.00	484,607.51	(7,906.01	)	2,078.57		—	—		3.6876	4.3934	F-M-A-N	2,765.7	13,012.87		11122014	11072025
983919AG6	XILINX, INC. SENIOR CORP BND			1FE	1,989,540	2,021,491.08	2,000,000.00	1,994,726.92	26,764.16		1,547.93		—	—		2.1250	2.2359	Mar-Sep	1,888.89	42,500		3052014	3152019
98420EAC9	XLIT LTD JRSUB CORP BND	F		2FE	512,678.65	513,693.83	505,000.00	511,773.6	1,920.23		102.60		—	—		4.4500	4.2596	Mar-Sep	62.42	22,472.5		4102015	3312025
98417EAU4	XSTRATA FINANCE (CANADA) LTD SENIOR CORP	A		2FE	2,231,245.2	2,235,022.35	2,235,000.00	2,234,156.77	865.58		583.24		—	—		2.7000	2.7362	Apr-Oct	26,149.5	30,172.5		10182012	10252017
G9853MHT3	YORKSHIRE BUILDING SOCIETY SECURED CORP	D		1FE	2,192,629.59	1,930,619.76	1,400,000.00	2,131,990.8	21,477.88		(27,241.79	)	—	(222,848.92	)	4.7500	1.5081	April	40,706.75	74,525.29		9272016	4122018
98954RAC4	ZIGG_14-1A SENIOR ABS _14-1A-B1 144A	F	2	1FE	2,899,800	2,980,819.5	3,000,000.00	2,923,967.4	56,852.1		9,992.07		—	—		2.7791	3.3092	J-A-J-O	17,369.38	59,638.36		11042014	10172026
BRSM4TPX5	ZIGGO BV			3FE	2,218,723.41	2,213,871.06	2,218,723.41	2,218,723.41	(4,852.35	)	—		—	—		—	—	Apr-Oct	—	39,474.79			1152022
BRSM4TRW5	ZIGGO BV			3FE	1,314,893.62	1,312,017.94	1,314,893.62	1,314,893.62	(2,875.68	)	—		—	—		—	—	Apr-Oct	—	28,426.62			1152022
BRSM4TSP9	ZIGGO BV			3FE	408,573.95	407,680.4	408,573.95	408,573.95	(893.55	)	—		—	—		—	—	Apr-Oct	—	99,603.27			1152022
98956PAE2	ZIMMER HOLDINGS INC SENIOR CORP BND			2FE	1,469,000.4	1,476,299.15	1,470,000.00	1,469,500.68	6,798.47		243.42		—	—		2.0000	2.0231	Apr-Oct	14,700	14,700		3102015	4012018
98956PAF9	ZIMMER HOLDINGS INC SENIOR CORP BND		1	2FE	2,045,182.5	2,111,190.63	2,050,000.00	2,045,832.11	65,358.52		309.95		—	—		3.5500	3.5780	Apr-Oct	36,387.5	36,387.5		3102015	4012025
						5,576,340,745.56		5,547,838,400.79	42,599,948.97					(14,097,604.25	)

Validus Holdings, Ltd. September 30, 2016 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
ANHEUSER-BUSCH INBEV NV		B6399CCD7	20160726		6232017	738,470.57	(1,469.62	)	(17,778.46	)	—	(7,623.54	)	540,000.00	745,753.90	12,491.76		6.5000	0.8701	June	918.16		30,111.07
AT&T INC		00206RAT9	20141210		4282017	675,457.58	(158.40	)	(20,657.39	)	—	(6,973.03	)	500,000.00	681,423.46	16,308.67	0	5.8750	1.0976	April	17,393.28		9,612.63
AT&T INC		00206RCV2	20150401		3152017	3,025,715.97	(7,790.97	)	(31,590.81	)	—	—		3,000,000.00	3,055,408.66	3,200.00	—	2.4000	0.5145	Mar-Sep	39,400.00		1,200.00
BNY MELLON USD LIQ INVESTOR 97		DRFUNI$20	20150615		0	44,381,407.83	—		—		—	—		44,381,407.83	44,381,407.83	—	—	—	—	At Mat	47,910.88		—
BNY MELLON USD LIQ INVESTOR 97		DRFUNI$20	20150615		0	2,309,844,555.74	—		—		—	—		2,728,626.14	2,728,626.14	—	—	—	—	At Mat	4,419.13		—
BONY CASH RESERVE		S875996$0	20150630		0	2,465,322.97	—		—		—	—		2,465,322.97	2,465,322.97	—	—	0.0001	0.0100	At Mat	471.20		—
BRITISH TELECOMMUNICATIONS PLC		G1582KAR3	20160726		6232017	950,742.39	(1,093.82	)	(64,276.26	)	—	(2,469.13	)	700,000.00	955,452.74	16,504.42		6.6250	1.3435	June	108,325.32		11,189.22
CDN S/T INVT BLENDED ACCT		993252329	20151231		0	3,902,201.97	—		—		—	—		3,902,201.97	3,902,201.97	—	—				14,738.39		—
CITI-INSTITUTION LIQ FUND USD		B0A0ATCJ9	20150605		0	5,064,844.23	—		—		—	—		5,064,844.23	5,064,844.23	—	—	0.0006	0.0600	At Mat	26,970.03		—
COCA-COLA COMPANY (THE)		19121AWD9	20160928		9132017	3,515,780.58	—		195.84		—	—		3,550,000.00	3,515,584.74	—	—	—	1.0213	At Mat	—		—
DREYFUS UNIVERSAL USD LIQ CLAS		BRS781392	20150930		0	10,209,329.08	—		—		—	—		10,209,329.08	10,209,329.08	—	—	—	—	At Mat	613.22		—
GOLDMAN SACHS		BRS2F25Z3	20150525		0	11,485,986.50	—		—		—	—		11,485,986.50	11,485,986.50	—	—	—	—	At Mat	8,280.25		—
GOLDMAN SACHS		GRESZ	20160321		0	5,547,385.37	—		—		—	—		5,547,385.37	5,547,385.37	—	—	—	—	At Mat	—		—
GOLDMAN SACHS		GMSSZ	20160321		0	867.12	—		—		—	—		867.12	867.12	—	—	—	—	At Mat	—		—
HSBC TERM DEPOSIT		BRS000000	2016131		0	11,226,534.28	—		—		—	—		5,327,178.46	5,327,178.46	—	—	—	—	At Mat	—		—
HSBC TERM DEPOSIT		BRS000000	2016131		0	7,335,680.75	—		—		—			2,281,203,637.47	2,281,203,637.47	—	—	—	—	At Mat	—		—
ICS INS GBP LIQ CORE DIST		BRS263RF1	20151223		0	13,261,852.02	—		—		—	(96,477.52	)	10,135,007.31	13,261,852.02	—	—	0.0002	0.0200	At Mat	22,730.68		—
INSTITUTION LIQ FUND USD		H026106	20160321		0	4,246,341.39	—		—		—	—		4,246,341.39	4,246,341.39	—	—	—	—	At Mat	—		—
INSTITUTION LIQ FUND USD		A000CG5	20160321		0	333.00	—		—		—	—		333.00	333.00	—	—	—	—	At Mat	—		—
Institutional Cash Series PLC - US Treasury Fund		H047783	20160321		0	22,499,674.57	—		—		—	—		22,499,674.57	22,499,674.57	—	—	—	—	At Mat	—		—
JPMORGAN CHASE & CO		U4806JAC7	20160711		1252017	459,518.46	(236.94	)	(3,360.71	)	—	—		350,000.00	462,879.17	3,570.48	—	4.2500	0.8387	Jan-Jul	637.00		9,024.31
LONDON POWER NETWORKS PLC		G29330DW7	20160426		11112016	734,200.34	(233.48	)	(48,060.05	)	—	(42,384.97	)	530,000.00	743,472.61	32,859.87	—	5.3750	1.1570	November	(15,507.15	)	23,221.01
SUMITOMO MITSUI TRUST BANK LTD		86564EHS8	20160927		9272017	2,400,000.00	—		—		—	—		2,400,000.00	2,400,000.00	102.51	—	—	1.5377	M-J-S-D	—		—
THE DREYFUS FUND INC		BRS7BB2L0	20150427		0	9,036,068.21	—		—		—	—		9,036,068.21	9,036,068.21	—	—	—	—	At Mat	7,614.56		—
TORONTO DOMINION HOLDINGS USA		89116EU35	20160929		7032017	2,327,560.32	—		81.15		—	—		2,350,000.00	2,327,479.17	—	—	—	1.2769	At Mat	—		—
WESTERN ASSET INSTL GOV RSRVS		52470G783	20150605		0	6,236,771.79	—		—		—	—		6,236,771.79	6,236,771.79	—	—	—	—	At Mat	—		—
						2,481,572,603.03	(10,983.23	)	(185,446.69	)		(155,928.19	)		2,442,485,282.57	85,037.71

Validus Holdings, Ltd. September 30, 2016 GAAP other investments portfolio in Schedule D format
1	2	3	4	5	6	7	8		9	10	11		12	13	14
		FOREIGN	DATE	ACTUAL	GAAP FAIR	GAAP					CAP		FX	INVESTMENT	ADDITIONAL
DESCRIPTION	*	CODE	ACQUIRED	COST	MARKET VALUE	BOOK VALUE	UGL		AMORTIZATION	IMPAIRMENTS	INTEREST		UGL	INCOME	INCOME
AIG SELECT HEDGE LTD			20090904	1,456,954.06	959,059.03	1,456,954.06	(497,895.03	)	—	—	—		—	—	—
BRIDGE GROWTH PARTNERS (PARALLEL), LP			20140715	27,432,892.00	31,758,450.00	27,432,892.00	4,325,558.00		—	—	—		—	—	—
CENTURY CAPITAL PARTNERS IV LP			20140930	1,706,761.74	1,480,031.02	1,706,761.74	(226,730.72	)	—	—	—		—	—	—
CENTURY FOCUSED FUND III LP			20140930	10,259,349.43	12,001,324.96	10,259,349.43	1,741,975.53		—	—	—		—	—	—
CONNING CAPITAL PARTNERS VI			20140930	614,280.14	221,291.01	614,280.14	(392,989.13	)	—	—	—		—	—	—
CRESCENT MEZZANINE LLC			20160122	1,912,164.00	1,912,164.00	1,912,164.00	—		—	—	—		—	—	—
CRESCENT MEZZANINE LLC			20160122	1,049,855.00	1,056,282.00	1,049,855.00	6,427.00		—	—	—		—	—	—
GOLDENTREE DISTRESSED DEBT FUN			20121130	12,072,748.06	18,055,512.01	12,072,748.06	5,982,763.95		—	—	—		—	—	—
GUARDIAN GROWTH EQUITY			20090904	2,907,976.52	5,288,489.29	2,907,976.52	2,380,512.77		—	—	—		—	—	—
GUGGENHEIM PARTNERS FUND LTD			20140601	118,587,774.19	118,587,773.00	118,587,774.19	(1.19	)	—	—	—		—	—	—
GUGGENHEIM PARTNERS FUND LTD			20150101	33,876,640.04	33,876,640.04	33,876,640.04	—		—	—	—		—	—	—
GUGGENHEIM PARTNERS FUND LTD			20150101	19,196,762.70	19,196,762.70	19,196,762.70	—		—	—	—		—	—	—
GUGGENHEIM PARTNERS FUND LTD			20150101	9,033,770.69	9,033,770.69	9,033,770.69	—		—	—	—		—	—	—
GUGGENHEIM PARTNERS FUND LTD (PDFNI_16-INT)			20160412	11,806,498.48	11,806,498.48	11,806,498.48	—		—	—	—		—	—	—
GUGGENHEIM PRIVATE DEBT FUND 2.0			20160515	6,296,654.66	6,296,654.66	6,296,654.66	—		—	—	—		—	—	—
HIGHBRIDGE MEZZANINE PARTNERS			20140930	7,076,339.53	7,885,341.59	7,076,339.53	809,002.06		—	—	—		—	—	—
LEAPFROG INVESTMENTS FINANCIAL			20121130	1,926,287.78	3,669,899.00	1,926,287.78	1,743,611.22		—	—	—		—	—	—
LLOYD'S CANADIAN BLENDED ACCOUNT			20131001	30,853,851.78	31,670,273.28	30,853,851.78	816,421.50		—	—	—		—	—	—
LLOYD'S OVERSEAS DEPOSITS			20131001	53,245,886.76	53,245,886.76	53,245,886.76	—		—	—	—		—	—	—
MFS MERIDIAN MID CAP GROWTH FUND			20090904	17,203.14	38,689.17	17,203.14	21,486.03		—	—	—		—	—	—
PORT ADVISORS PRIVATE EQUITY I			20121130	636,381.97	3,578,375.50	636,381.97	2,941,993.53		—	—	—		—	—	—
PRUDENTIAL CAPITAL PARTNERS IV			20140930	7,378,882.51	7,619,657.68	7,378,882.51	240,775.17		—	—	—		—	—	—
PUBLIC PENSION CAPITAL, LLC			20140721	3,436,523.75	2,728,626.14	3,436,523.75	(707,897.61	)	—	—	—		—	—	—
SVG DIAMOND HOLDINGS II LTD			20121130	3,765,757.24	6,907,155.75	3,765,757.24	3,653,305.23		—	—	(511,906.72	)	—	—	—
VINTAGE VI LP			20140930	5,119,475.02	5,820,329.00	5,119,475.02	700,853.98		—	—	—		—	—	—
				371,667,671.19	394,694,936.76	371,667,671.19	23,539,172.29				(511,906.72	)