Validus 8-K Results of Operations and Financial Condition

Validus Holdings, Ltd. March 31, 2017 GAAP fixed maturity portfolio in Schedule D format
										CHANGE IN BOOK/ADJUSTED CARRYING VALUE							INTEREST						DATES
1	2	3	4	5	6	7	8	9	10	11		12		13	14		15	16		17	18	19	20	21
			FOREIGN	BOND	NAIC		GAAP FAIR		GAAP			CURRENT YEAR			TOTAL FX CHG		INTEREST	EFFECTIVE		HOW	ACCRUED	GROSS REC'D
CUSIP	DESCRIPTION	*	CODE	CHAR	DESIG	ACTUAL COST	MARKET VALUE	PAR VALUE	BOOK VALUE	UGL		AMORTIZATION		IMPAIRMENTS	IN B/A. C.V.		RATE	RATE OF		PAID	INTEREST	DURING YEAR	ACQUIRED	MATURITY
88579YAP6	3M CO				1FE	4,167,568.50	4,176,043.75	4,175,000.00	4,171,608.33	4,435.42		612.11		—	—		1.3750	1.4360		FA	8,610.94	29,910.08	20150807	20180807
BRSTBY9Y7	A. SCHULMAN INC				3FE	142,569.00	142,926.31	142,926.31	142,657.82	268.49		13.60		—	—		—	0.0360		MJSD	—	1,442.79	20150716	20220601
03763KAB2	AASET_14-1			4	1Z	2,669,702.53	2,657,408.72	2,660,734.64	2,667,391.71	(9,982.99	)	(1,228.90	)	—	—		5.1250	5.0380		MON	6,060.56	36,653.06	20150211	20291215
BRT28HQ50	ABACUS INNOVATIONS CORP				3FE	1,027,223.73	1,039,581.31	1,029,798.22	1,027,443.91	12,137.40		97.04		—	—		—	0.0350		MJSD	—	8,796.32	20160826	20230816
002824AU4	ABBOTT LABORATORIES				2FE	2,412,386.00	2,276,033.00	2,150,000.00	2,287,319.12	(11,286.12	)	(16,587.62	)	—	—		5.1250	2.0027		Apr-Oct	55,093.75	—	20150511	20190401
002824BJ8	ABBOTT LABORATORIES				2FE	2,326,947.77	2,334,985.94	2,330,000.00	2,327,003.33	7,982.61		55.56		—	—		2.0000	1.4603		Mar-Sep	2,071.11	—	20170322	20180915
002824BC3	ABBOTT LABORATORIES				2FE	8,261,895.40	8,293,073.22	8,270,000.00	8,262,847.15	30,226.07		705.61		—	—		2.3500	2.6466		May-Nov	69,640.29	4,504.17	20161122	20191122
00287YAL3	ABBVIE INC				2FE	982,080.00	995,970.00	1,000,000.00	986,150.04	9,819.96		560.01		—	—		2.9000	3.1720		MN	11,680.56	—	20150527	20221106
00287YAN9	ABBVIE INC				2FE	4,249,677.50	4,253,952.93	4,250,000.00	4,250,527.80	3,425.13		(144.11	)	—	—		1.8000	1.7890		MN	29,112.50	980.00	20160623	20180514
00287YAT6	ABBVIE INC			2	2FE	4,381,960.00	4,431,108.35	4,400,000.00	4,388,478.86	42,629.49		879.29		—	—		2.5000	2.5880		MN	41,861.10	—	20150514	20200514
00287YAU3	ABBVIE INC			2	2FE	5,372,341.40	5,328,230.37	5,390,000.00	5,374,441.16	(46,210.79	)	889.29		—	—		2.3000	2.3740		MN	47,177.48	—	20160512	20210514
BRSXK39C4	ABN AMRO BANK NV		B			729,467.25	662,789.77	500,000.00	727,749.14	24,163.92		(714.46	)	—	(89,123.29	)	2.3750	1.8860		JD	4,691.34	—	20151207	20211207
N02598YZ2	ABN AMRO BANK NV					1,462,760.78	1,503,045.90	1,200,000.00	1,462,689.34	(31.62	)	(71.44	)	—	40,388.19		0.8565	1.6685		F-M-A-N	1,126.76	—	20170315	20181130
N04899AK1	ABN AMRO BANK NV				1FE	673,949.91	671,161.91	500,000.00	666,694.24	(2,563.50	)	(6,605.61	)	—	7,031.16		4.8750	1.7973		Jan-Jul	6,314.86	15,080.81	20161223	20190116
553204AB4	ACASC_14-1A		D	4		850,000.00	850,085.17	850,000.00	850,000.00	85.17		—		—	—		2.5080	2.5160		JAJO	1,835.62	—	20170301	20260718
00432CCM1	ACCESS GROUP INC ACCSS_05-2			4		621,497.02	637,013.34	638,251.10	634,058.85	2,954.49		1,382.50		—	—		1.2320	2.0920		FMAN	830.23	2,058.40	20120813	20241122
00100VAG5	ACIS_14-4A		D	4	1FE	237,625.00	241,610.38	250,000.00	238,119.45	3,490.93		436.13		—	—		3.5840	4.5280		FMAN	1,468.44	2,195.18	20161220	20260501
00452PAN7	ACIS_15-6A		D	4	1FE	495,000.00	499,990.40	500,000.00	496,135.41	3,854.99		130.65		—	—		4.4040	4.5770		FMAN	3,608.83	5,438.15	20150416	20270501
00452PAG2	ACIS_15-6A		D	4	1FE	2,238,750.00	2,258,851.05	2,250,000.00	2,241,639.01	17,212.04		349.22		—	—		3.5140	3.6060		FMAN	12,957.88	19,354.16	20150416	20270501
00485YAA7	ACORN RE LTD		D			5,541,500.00	5,643,550.00	5,500,000.00	5,520,919.94	122,630.06		(3,837.43	)	—	—		4.8380	3.6690		MON	11,087.59	59,791.10	20151125	20180717
BRST137M4	ACOSTA HOLDCO INC			4	4FE	971,027.18	918,911.29	983,318.66	973,131.98	(54,220.69	)	667.41		—	—		—	0.2290		MJSD	—	10,790.72	20160425	20210926
BRT6PK3X9	ACTAGRO LLC					6,166,666.68	6,105,000.01	6,166,666.68	6,166,666.68	(61,666.67	)	—		—	—		—	0.2010		MJSD	—	68,525.64	20161101	20200710
00507UAD3	ACTAVIS FUNDING SCS		D		2FE	8,308,549.80	8,362,063.75	8,315,000.00	8,311,851.98	50,211.77		345.57		—	—		2.4500	3.1210		JD	59,983.49	2,000.83	20141113	20190615
00507UAP6	ACTAVIS FUNDING SCS		D	2	2FE	949,952.50	965,665.52	950,000.00	949,971.18	15,694.34		2.32		—	—		3.0000	3.0010		MS	1,504.16	14,250.00	20150312	20200312
942683AG8	ACTAVIS INC				2FE	248,442.50	250,232.53	250,000.00	249,733.87	498.66		130.24		—	—		1.8750	1.9720		AO	2,343.75	—	20140930	20171001
006897AG7	ADPK_13-1A				1FE	2,504,750.00	2,501,993.50	2,500,000.00	2,503,286.33	(1,292.83	)	(179.44	)	—	—		4.0232	4.2274		J-A-J-O	20,674.62	24,788.89	20150415	20240415
BRT63CM02	ADS WASTE HOLDINGS INC			2	4FE	2,079,896.80	2,096,667.28	2,082,609.66	2,079,172.89	17,494.39		(648.16	)	—	—		—	(0.1260	)	MJSD	—	18,621.40	20161208	20231110
BRSNZFA49	ADVANTAGE SALES & MARKETING IN			4	4FE	1,793,789.18	1,778,668.80	1,800,272.05	1,795,883.37	(17,214.57	)	262.41		—	—		—	0.0560		MJSD	—	25,651.53	20140815	20210723

05377RBM5	AESOP_13-1A		4	2FE	2,063,125.00	2,024,424.80	2,000,000.00	2,025,203.72	(778.92	)	(4,876.05	)	—	—	4.4200	3.4200		MON	2,701.11	22,100.01	20150330	20190920
05377RBY9	AESOP_15-1A		4	2FE	1,999,207.20	2,022,527.20	2,000,000.00	1,999,492.12	23,035.08		34.01		—	—	3.2200	3.2490		MON	1,967.78	16,100.01	20150129	20210720
BRT2Q5SH8	AFFINITY GAMING LLC			4FE	645,354.45	651,604.83	648,564.36	645,661.56	5,943.27		121.71		—	—	—	0.0710		MJSD	—	10,518.06	20160707	20230701
13974MAB2	AFIN_16-2		4	1FE	625,489.10	625,153.27	625,507.43	625,495.37	(342.10	)	5.60		—	—	1.3200	1.3250		MON	252.29	2,550.82	20160720	20190120
00432CBP5	AGSL_03-1		4	1FE	435,625.00	454,136.85	500,000.00	466,898.93	(12,762.08	)	1,321.96		—	—	1.7200	2.9160		MON	898.88	2,616.82	20100401	20321227
00432CBB6	AGSL_03-1		4	1FE	311,937.50	321,733.72	350,000.00	330,718.28	(8,984.56	)	494.79		—	—	1.3090	2.7250		MON	346.36	2,262.53	20100401	20351226
00432CAZ4	AGSL_03-1		4	1FE	360,500.00	373,591.96	400,000.00	383,267.92	(9,675.96	)	594.89		—	—	1.7200	2.7420		MON	382.73	2,090.19	20100401	20351226
02665VAA1	AH4R_14-SFR1		4	1FE	1,179,873.33	1,180,240.27	1,179,873.33	1,179,873.33	366.94		—		—	—	1.9130	1.9190		MON	940.46	5,153.38	20140521	20310617
903724AK8	AID-UKRAINE	D		1FE	4,285,000.00	4,296,128.15	4,285,000.00	4,285,000.00	11,128.15		—		—	—	1.8440	1.8440		MN	29,630.78	—	20140516	20190516
BRSZ98FP5	AIM AEROSPACE				260,491.59	259,840.36	260,491.59	260,491.59	(651.23	)	—		—	—	—	—		MJSD	—	1,101.66	20170130	20210202
BRSZ793R4	AIM AEROSPACE				4,063,668.90	4,053,509.73	4,063,668.90	4,063,668.90	(10,159.17	)	—		—	—	—	—		MJSD	—	54,760.22	20160217	20220202
001406AA5	AIM_15-1A			1FE	2,979,166.66	2,967,994.79	2,979,166.66	2,979,146.76	(11,151.97	)	0.45		—	—	4.2130	12.6301		Monthly	5,578.32	31,816.92	20150220	20400215
BRT57K0A4	AIR CANADA	A		3FE	325,288.46	329,865.39	326,923.08	325,397.82	4,467.57		57.56		—	—	—	0.0710		MJSD	—	3,074.37	20161012	20231006
00913RAA4	AIR LIQUIDE FINANCE	D		1FE	3,990,400.00	3,937,200.00	4,000,000.00	3,992,014.11	(54,814.11	)	780.81		—	—	1.3750	1.4570		MS	611.11	27,500.00	20160927	20190927
00913RAB2	AIR LIQUIDE FINANCE	D	2	1FE	3,650,292.10	3,543,458.47	3,670,000.00	3,652,233.52	(108,775.05	)	942.12		—	—	1.7500	1.8630		MS	713.61	32,112.50	20160927	20210927
BRSSM5ZR6	AIR MEDICAL GROUP HOLDINGS INC		4	4FE	1,490,124.94	1,491,058.62	1,493,859.61	1,491,128.77	(70.15	)	139.79		—	—	—	0.0360		MJSD	—	27,256.58	20150520	20220428
009363AR3	AIRGAS INC			1FE	3,569,966.76	3,652,441.12	3,572,000.00	3,570,587.09	81,854.03		99.18		—	—	3.0500	3.2548		Feb-Aug	18,157.67	54,473.00	20150811	20200801
00973XAA8	AKIBARE RE LTD	D			540,000.00	554,304.60	540,000.00	540,000.00	14,304.60		—		—	—	3.6580	1.2420		JAJO	4,826.93	4,950.90	20160314	20200407
011395AC4	ALAMO RE LTD				1,300,000.00	1,361,750.00	1,300,000.00	1,300,000.00	61,750.00		—		—	—	5.4000	2.1863		M-J-S-D	3,120.00	16,168.46	20150513	20190607
011395AB6	ALAMO RE LTD				1,667,000.00	1,717,843.50	1,667,000.00	1,667,000.00	50,843.50		—		—	—	5.9000	1.1863		M-J-S-D	4,371.24	25,567.05	20150513	20180607
013051DV6	ALBERTA PROVINCE OF			1FE	8,195,177.80	8,220,007.67	8,200,000.00	8,195,287.24	24,720.43		109.44		—	—	1.9000	2.6849		Jun-Dec	48,903.88	—	20170309	20191206
BRT76GYA3	ALBERTSONS COMPANIES LLC		2		1,332,843.02	1,352,010.21	1,344,447.69	1,333,340.43	18,669.78		505.27		—	—	—	—		MJSD	—	14,311.89	20161228	20221221
BRT75B0R5	ALBERTSONS COMPANIES LLC		2	3FE	258,120.92	259,928.78	258,434.77	258,133.38	1,795.40		12.70		—	—	—	0.0180		MJSD	—	1,931.58	20161228	20230622
BRT76GYH8	ALBERTSONS COMPANIES LLC		2	3FE	633,447.52	642,802.81	640,201.67	633,811.43	8,991.38		370.26		—	—	—	(0.4490	)	MJSD	—	6,126.22	20161228	20210825
BRT22KUB1	ALBERTSONS INC		4	3FE	293,835.67	298,330.97	296,569.35	294,119.23	4,211.74		111.46		—	—	—	(1.2170	)	MJSD	—	3,157.03	20160801	20221221
BRSTV33U7	ALERE INC		4		1,440,574.97	1,443,743.51	1,444,185.43	1,441,323.03	2,420.48		142.65		—	—	—	0.0370		MJSD	—	15,554.44	20150810	20220620
BRSV8NG22	ALION SCIENCE AND TECHNOLOGY C			4FE	777,405.58	778,870.54	781,312.14	778,418.72	451.82		170.11		—	—	—	0.0830		MJSD	—	10,890.05	20150917	20210819
BRT999T75	ALIX PARTNERS LLP		2	4FE	671,394.24	675,600.97	673,076.93	671,394.24	4,206.73		—		—	—	—	0.0360		MJSD	—	—	20170626	20240404
02007LAC6	ALLYA_16-3		4	1FE	1,999,805.80	1,996,514.90	2,000,000.00	1,999,866.81	(3,351.91	)	18.61		—	—	1.4400	1.4480		MON	1,280.00	7,200.00	20160531	20200817
02079KAC1	ALPHABET INC CLASS A		2	1FE	685,433.00	646,442.99	700,000.00	686,273.29	(39,830.30	)	324.55		—	—	1.9980	2.2310		FA	1,787.10	7,226.10	20160809	20260815
BRT97VDT7	ALTICE FINANCING SA	D	2	4FE	654,098.36	653,893.77	655,737.70	654,098.36	(204.59	)	—		—	—	—	0.0310		MJSD	—	—	20170620	20250622
BRT91EHN0	ALTICE US FIN I CORP			3FE	2,380,947.25	2,388,724.21	2,392,911.81	2,380,947.25	7,776.96		—		—	—	—	0.0610		MJSD	—	—	20170613	20250720
BRT5XVGB2	ALTICE US FIN I CORP		2	3FE	1,064,457.36	1,060,465.65	1,064,457.36	1,064,457.36	(3,991.71	)	—		—	—	—	—		MJSD	—	16,735.71	20161104	20250115
02209SAT0	ALTRIA GROUP INC		2	1FE	2,997,570.00	3,037,320.33	3,000,000.00	2,998,711.58	38,608.75		110.45		—	—	2.6250	2.6410		JJ	16,843.75	39,375.00	20141114	20200114

02209SAL7	ALTRIA GROUP INC		1FE	1,576,568.00	1,517,180.04	1,400,000.00	1,547,295.65	(30,115.61	)	(8,549.08	)	—	—	4.7500	2.0570		MN	26,969.45	—	20160523	20210505
BRT65YBE4	AMC ENTERTAINMENT HOLDINGS INC	2	3FE	571,087.79	576,383.59	572,519.09	571,148.71	5,234.88		50.30		—	—	—	0.0350		MJSD	—	4,984.22	20161213	20231215
BRSJ1HUF4	AMC ENTERTAINMENT INC.	4	3FE	244,420.46	247,432.67	245,540.05	244,537.14	2,895.53		45.87		—	—	—	(0.0920	)	MJSD	—	2,303.80	20160801	20221215
03062AAD8	AMCAR_14-3	4	1FE	268,949.80	268,868.53	268,957.28	268,950.18	(81.65	)	2.56		—	—	1.1500	1.1530		MON	197.61	1,120.81	20140827	20190610
03065NAD7	AMCAR_15-3	4	1FE	99,985.50	100,046.00	100,000.00	99,994.81	51.19		6.50		—	—	1.5400	1.5510		MON	98.39	2,130.31	20150813	20200308
BRSTDEM57	AMERICAN AIRLINES GROUP INC	4	3FE	3,161,560.96	3,165,404.68	3,171,144.45	3,164,208.44	1,196.24		526.17		—	—	—	0.0670		MJSD	—	25,154.33	20160104	20200627
BRT193FT2	AMERICAN AIRLINES INC.		3FE	518,954.25	523,205.23	522,875.82	519,436.27	3,768.96		139.09		—	—	—	0.1070		MJSD	—	4,277.40	20160524	20230428
023770AB6	AMERICAN AIRLINES INC.		2FE	3,429,939.48	3,344,191.00	3,429,939.48	3,429,939.48	(85,748.48	)	—		—	—	3.7000	4.1260		May-Nov	52,878.24	—	20150316	20241101
BRT72E1D2	AMERICAN AIRLINES INC.	2	3FE	2,223,143.72	2,230,306.81	2,228,715.51	2,223,351.62	6,955.19		214.08		—	—	—	0.0350		MJSD	—	17,431.57	20161227	20231214
BRT8ZN953	AMERICAN AXLE & MANUFACTURING		3FE	662,101.92	663,761.32	663,761.32	662,101.92	1,659.40		—		—	—	—	0.0370		MJSD	—	—	20170608	20240308
025816BJ7	AMERICAN EXPRESS COMPANY		2FE	5,783,750.00	5,879,375.00	5,750,000.00	5,768,929.40	110,445.60		(1,673.00	)	—	—	5.2000	2.6274		May-Nov	112,955.55	—	20141110	20491231
0258M0EE5	AMERICAN EXPRESS CREDIT CORPOR	2	1FE	998,960.00	1,002,490.08	1,000,000.00	998,986.56	3,503.52		26.56		—	—	2.2000	2.2360		MS	1,711.12	—	20170303	20200303
0258M0EC9	AMERICAN EXPRESS CREDIT CORPOR	2	1FE	2,322,233.25	2,308,167.02	2,325,000.00	2,322,612.16	(14,445.14	)	224.35		—	—	1.7000	1.7410		AO	16,578.54	—	20161031	20191030
0258M0DJ5	AMERICAN EXPRESS CREDIT CORPOR		1FE	304,584.00	301,668.03	300,000.00	302,017.84	(349.81	)	(373.07	)	—	—	2.1250	1.6090		JJ	1,133.33	3,187.50	20150710	20180727
0258M0DX4	AMERICAN EXPRESS CREDIT CORPOR	2	1FE	1,766,499.35	1,750,441.63	1,735,000.00	1,761,845.74	(11,404.11	)	(1,911.76	)	—	—	2.6000	2.1190		MS	2,130.19	22,555.00	20160819	20200914
02665WBP5	AMERICAN HONDA FINANCE CORPORA		1FE	1,073,228.40	1,078,509.60	1,080,000.00	1,073,334.94	5,174.66		106.54		—	—	2.9000	3.0000		FA	3,915.00	—	20170216	20240216
02665WAW1	AMERICAN HONDA FINANCE CORPORA		1FE	249,210.00	250,335.00	250,000.00	249,654.85	680.15		65.92		—	—	1.6000	1.7090		JJ	866.67	2,000.00	20150720	20180713
02665WAH4	AMERICAN HONDA FINANCE CORPORA		1FE	4,752,173.00	4,741,031.43	4,700,000.00	4,746,423.02	(5,391.59	)	(4,655.55	)	—	—	2.2500	1.8230		FA	13,512.50	52,875.00	20161212	20190815
03027XAL4	AMERICAN TOWER CORPORATION		2FE	5,492,190.00	5,304,420.00	5,500,000.00	5,492,814.71	(188,394.71	)	341.13		—	—	2.2500	2.2790		JJ	26,125.00	36,093.76	20160930	20220115
031162BU3	AMGEN INC		2FE	761,263.68	763,721.00	759,000.00	761,214.92	2,506.08		(267.28	)	—	—	2.2000	2.0603		May-Nov	5,983.45	—	20150810	20190522
031162BW9	AMGEN INC		2FE	1,693,728.75	1,692,406.65	1,695,000.00	1,694,200.34	(1,793.69	)	62.18		—	—	2.1250	3.0055		May-Nov	15,007.81	—	20150501	20200501
031162BD1	AMGEN INC		2FE	726,110.00	727,818.00	700,000.00	717,963.45	9,854.55		(1,202.85	)	—	—	3.4500	3.5068		Apr-Oct	12,075.00	—	20150717	20201001
031162CG3	AMGEN INC		2FE	1,268,615.70	1,233,258.92	1,270,000.00	1,268,778.73	(35,519.81	)	74.20		—	—	1.8500	4.3890		Feb-Aug	2,741.09	32,868.34	20160819	20210819
031162CH1	AMGEN INC		2FE	498,713.25	502,083.76	525,000.00	499,885.90	2,197.86		881.14		—	—	2.2500	6.3890		Feb-Aug	1,378.13	5,906.25	20161202	20230819
032511BJ5	ANADARKO PETROLEUM CORPORATION		3FE	509,000.00	487,365.00	500,000.00	507,175.51	(19,810.51	)	(224.10	)	—	—	3.4500	7.2959		Jan-Jul	3,641.67	8,625.00	20150227	20240715
033287AJ2	ANCHC_14-4A		1FE	249,375.00	250,044.23	250,000.00	249,417.04	627.19		26.67		—	—	3.1990	5.0137		J-A-J-O	1,355.13	1,991.23	20161107	20260728
BRT6SZN03	ANCHOR GLASS CONTAINERS CORP	2	4FE	275,857.55	278,976.54	277,243.77	275,916.66	3,059.88		52.25		—	—	—	0.0710		MJSD	—	2,998.53	20161213	20231207
035240AA8	ANHEUSER-BUSCH COMPANIES LLC		1FE	1,070,325.00	1,060,020.00	1,000,000.00	1,057,552.83	2,467.17		(11,730.35	)	—	—	6.5000	1.2904		Jan-Jul	13,722.22	76,342.50	20161216	20180715
035242AL0	ANHEUSER-BUSCH INBEV FINANCE I		2FE	1,370,817.00	1,372,531.49	1,350,000.00	1,369,809.79	2,721.70		(654.98	)	—	—	3.3000	5.6740		Feb-Aug	7,425.00	67,054.16	20161202	20230201
035242AE6	ANHEUSER-BUSCH INBEV FINANCE I		1FE	2,452,521.50	2,464,797.90	2,450,000.00	2,453,204.30	11,593.60		(426.46	)	—	—	2.1500	1.8411		Feb-Aug	8,779.17	27,979.86	20140127	20190201
035242AP1	ANHEUSER-BUSCH INBEV FINANCE I		2FE	2,023,465.80	2,033,475.44	2,014,000.00	2,023,448.51	10,026.93		(17.29	)	—	—	3.6500	8.5945		Feb-Aug	12,251.83	—	20170324	20260201
035242AJ5	ANHEUSER-BUSCH INBEV FINANCE I		1FE	4,735,132.50	4,783,060.33	4,750,000.00	4,738,463.09	44,597.24		704.08		—	—	2.6500	3.7589		Feb-Aug	20,979.17	62,937.50	20160125	20210201
035242AC0	ANHEUSER-BUSCH INBEV FINANCE I		2FE	982,460.00	998,070.00	1,000,000.00	995,677.06	2,392.94		1,337.33		—	—	1.2500	0.8000		Jan-Jul	2,569.44	6,250.00	20140930	20180117
035242AG1	ANHEUSER-BUSCH INBEV FINANCE I		1FE	10,216,387.70	10,218,475.12	10,210,000.00	10,215,959.16	2,515.96		(766.49	)	—	—	1.9000	1.8411		Feb-Aug	32,331.67	96,995.00	20160225	20190201

B6399CCD7	ANHEUSER-BUSCH INBEV NV			1FE	495,109.30	405,094.06	320,000.00	472,302.61	136.02		(6,088.15	)	—	(67,344.58	)	6.5000	0.2301		June	20,094.91	—	20160426	20170623
03523TBN7	ANHEUSER-BUSCH INBEV WORLDWIDE			2FE	4,362,400.00	4,375,174.56	4,375,000.00	4,374,244.88	929.68		644.89		—	—		1.3750	1.4350		JJ	12,699.65	30,078.13	20120716	20170715
03523TAN8	ANHEUSER-BUSCH INBEV WORLDWIDE			2FE	2,255,260.00	2,173,540.04	2,000,000.00	2,190,242.99	(16,702.95	)	(16,468.62	)	—	—		5.3750	1.8600		JJ	22,694.44	53,750.00	20160405	20200115
03523TBP2	ANHEUSER-BUSCH INBEV WORLDWIDE			2FE	4,176,868.75	4,272,581.09	4,325,000.00	4,201,771.19	70,809.90		5,316.19		—	—		2.5000	3.0880		JJ	22,826.39	54,062.50	20160126	20220715
00182EAW9	ANZ NATIONAL INTERNATIONAL LTD	D		1FE	999,880.00	1,000,100.00	1,000,000.00	999,959.52	140.48		10.01		—	—		1.7500	1.7540		MS	97.22	8,750.00	20150331	20180329
00182EBB4	ANZ NATIONAL INTERNATIONAL LTD	D		1FE	2,850,000.00	2,874,823.50	2,850,000.00	2,850,000.00	24,823.50		—		—	—		2.0490	1.7250		JAJO	9,894.96	14,292.51	20160728	20210728
037401AC0	AOZORA RE LTD			3FE	250,000.00	254,320.00	250,000.00	250,000.00	4,320.00		—		—	—		3.3577	6.0219		J-A-J-O	2,097.43	2,098.33	20160401	20230407
037401AD8	AOZORA RE LTD				20,550,000.00	20,599,302.10	20,550,000.00	20,550,000.00	40,894.50		—		—	8,407.60		0.5000	4.0219		J-A-J-O	—	—	20170329	20210407
037833AJ9	APPLE INC			1FE	3,885,609.00	3,887,052.00	3,900,000.00	3,896,801.87	(9,749.87	)	805.74		—	—		1.0000	1.0904		May-Nov	16,033.34	3,500.00	20130503	20180503
037833CN8	APPLE INC			1FE	6,000,000.00	6,045,420.24	6,000,000.00	6,000,000.00	45,420.24		—		—	—		1.5346	4.8658		F-M-A-N	13,043.76	—	20170209	20220209
037833AR1	APPLE INC			1FE	3,149,972.00	3,172,508.91	3,100,000.00	3,135,721.66	36,787.25		(2,049.48	)	—	—		2.8500	4.1014		May-Nov	35,585.42	—	20150625	20210506
037833BQ2	APPLE INC			1FE	4,209,995.20	4,203,910.84	4,190,000.00	4,202,910.10	1,000.74		(1,790.67	)	—	—		1.7000	1.8986		Feb-Aug	7,518.72	44,673.88	20160223	20190222
037833AQ3	APPLE INC			1FE	606,576.00	606,425.99	600,000.00	605,689.10	736.89		(659.68	)	—	—		2.1000	2.0986		May-Nov	5,075.00	—	20161201	20190506
037833BZ2	APPLE INC			1FE	468,716.90	444,323.91	470,000.00	468,791.65	(24,467.74	)	30.42		—	—		2.4500	9.3507		Feb-Aug	1,823.21	6,372.72	20160804	20260804
037833CB4	APPLE INC			1FE	5,894,100.00	5,826,663.24	5,900,000.00	5,895,374.67	(68,711.43	)	481.74		—	—		1.1000	2.3397		Feb-Aug	10,275.84	32,450.00	20160804	20190802
037833BS8	APPLE INC			1FE	1,736,705.00	1,704,386.06	1,700,000.00	1,732,725.01	(28,338.95	)	(2,076.24	)	—	—		2.2500	3.8192		Feb-Aug	4,037.51	19,125.00	20160829	20210223
BRT8ZREK5	ARAMARK SERVICES INC		2	3FE	351,063.83	352,490.20	351,063.83	351,063.83	1,426.37		—		—	—		—	—		MJSD	—	—	20170331	20240308
039483AY8	ARCHER-DANIELS-MIDLAND COMPANY			1FE	2,179,988.75	1,871,821.10	1,805,000.00	1,872,643.80	(822.70	)	(17,405.39	)	—	—		5.4500	0.9562		Mar-Sep	4,372.11	49,186.25	20120928	20180315
BRSV1F5E2	ARDENT LEGACY ACQUISITIONS INC			4FE	953,951.12	962,382.49	963,586.97	956,585.93	5,796.56		415.79		—	—		—	0.1660		MJSD	—	15,872.45	20150812	20210730
04013YAU6	ARES_12-2A	D	4	1FE	996,000.00	1,000,714.30	1,000,000.00	996,656.53	4,057.77		196.25		—	—		3.7180	3.8290		JAJO	8,158.70	9,133.27	20150605	20231012
00191YAP9	ARES_15-1R	D	4		500,000.00	501,250.00	500,000.00	500,000.00	1,250.00		—		—	��		3.9000	3.9170		MJSD	5,276.31	3,815.71	20161222	20251205
BRST927R7	ARIA ENERGY OPERATING LLC		4	4FE	790,150.02	802,121.99	798,131.33	791,960.64	10,161.35		333.30		—	—		—	0.1490		FMAN	—	11,030.55	20150924	20220527
040484JY4	ARIZONA BRD REGENTS UNIV ARIZ			1FE	1,654,640.80	1,649,188.00	1,420,000.00	1,594,174.23	55,013.77		(6,186.27	)	—	—		5.0000	6.3397		Feb-Aug	11,833.33	35,500.00	20140930	20270801
04048RMW3	ARIZONA BRD REGENTS UNIV ARIZ				1,750,000.00	1,753,360.00	1,750,000.00	1,750,000.00	3,360.00		—		—	—		2.0480	2.0480		JJ	8,960.00	17,920.00	20150407	20190701
04048RMX1	ARIZONA BRD REGENTS UNIV ARIZ			1FE	200,000.00	201,988.00	200,000.00	200,000.00	1,988.00		—		—	—		2.3480	2.3480		JJ	1,174.00	33,261.38	20150407	20200701
04048RMV5	ARIZONA BRD REGENTS UNIV ARIZ			1FE	1,315,000.00	1,316,919.90	1,315,000.00	1,315,000.00	1,919.90		—		—	—		1.5590	1.5590		JJ	5,125.21	10,250.43	20150407	20180701
04057PJL3	ARIZONA SCH FACS BRD CTFS PART			1FE	2,175,000.00	2,178,458.25	2,175,000.00	2,175,000.00	3,458.25		—		—	—		1.4740	1.4740		MS	2,671.63	16,029.75	20140619	20170901
040688NL3	ARIZONA WTR INFRASTRUCTURE FIN			1FE	1,575,519.05	1,569,748.80	1,570,000.00	1,571,033.89	(1,285.09	)	(508.01	)	—	—		1.4130	0.5041		Apr-Oct	11,092.05	—	20150115	20171001
045167CB7	ASIAN DEVELOPMENT BANK			1FE	5,105,000.00	5,037,749.85	5,000,000.00	5,064,514.64	(26,764.79	)	(10,120.94	)	—	—		1.8750	1.5644		Apr-Oct	41,145.83	—	20160404	20181023
BRT84JAE5	ASURION LLC			4FE	1,271,735.29	1,282,629.87	1,276,778.39	1,271,885.46	10,744.41		240.00		—	—		—	(0.1070	)	MJSD	—	13,347.16	20170131	20220804
00206RCM2	AT&T INC		2	2FE	507,100.00	497,355.01	500,000.00	506,077.65	(8,722.64	)	(356.38	)	—	—		3.0000	2.7400		JD	3,791.67	1,083.33	20160427	20220630
00206RAR3	AT&T INC			2FE	2,375,900.50	2,294,093.06	2,150,000.00	2,273,782.05	20,311.01		(15,832.14	)	—	—		5.8000	2.6300		FA	15,933.89	62,350.00	20150817	20190215
00206RDQ2	AT&T INC		2	2FE	3,997,600.00	4,057,240.00	4,000,000.00	3,997,637.70	59,602.30		61.26		—	—		4.2500	4.2570		MS	24,555.56	16,940.97	20170209	20270301
00206RCR1	AT&T INC		2	2FE	3,803,374.00	3,809,386.08	3,800,000.00	3,802,721.71	6,664.37		(158.54	)	—	—		2.8000	2.7790		FA	13,004.44	77,630.00	20160209	20210217

00206RCN0	AT&T INC		2	2FE	1,794,672.00	1,740,869.92	1,800,000.00	1,795,565.18	(54,695.26	)	117.34		—	—		3.4000	3.4350	MN	23,120.00	—	20150504	20250515
00206RCL4	AT&T INC		2	2FE	599,694.00	599,724.01	600,000.00	599,814.50	(90.49	)	13.57		—	—		2.4500	2.4600	JD	3,715.83	—	20150504	20200630
00206RCC4	AT&T INC			2FE	5,173,691.25	5,149,805.05	5,125,000.00	5,156,240.76	(6,435.71	)	(3,903.92	)	—	—		2.3000	2.0250	MS	6,548.61	58,937.50	20160512	20190311
00206RAT9	AT&T INC			1FE	517,103.96	376,433.27	300,000.00	472,264.39	135.44		(4,864.65	)	—	(95,966.56	)	5.8750	0.0767	April	20,408.88	—	20141212	20170428
BRT7H2514	ATKORE INTERNATIONAL INC		2	4FE	595,838.12	601,811.44	597,331.45	595,889.15	5,922.29		59.59		—	—		—	0.0350	MJSD	—	6,224.82	20170104	20231222
047870CY4	ATLANTA GA (CITY OF)			1FE	4,515,070.00	4,546,234.00	3,710,000.00	4,387,506.20	158,727.80		(20,082.84	)	—	—		5.5000	10.5945	May-Nov	85,020.83	45,527.78	20140930	20271101
049382AD6	ATLAS IX CAPITAL DAC				1,000,000.00	1,062,670.00	1,000,000.00	1,000,000.00	62,670.00		—		—	—		8.3579	2.7753	J-A-J-O	20,430.40	20,758.33	20160112	20200108
049382AC8	ATLAS IX CAPITAL LTD				1,000,000.00	1,025,420.00	1,000,000.00	1,000,000.00	25,420.00		—		—	—		8.4429	1.7726	J-A-J-O	20,638.18	20,976.39	20150210	20190107
04941MAG0	ATLASF_5	D	4	1FE	750,000.00	749,961.60	750,000.00	750,904.89	(943.29	)	450.21		—	—		3.6720	3.6880	JAJO	5,660.66	6,765.83	20161017	20260716
05178RAA3	AURORA MILITARY HOUSING		4	1FE	847,768.00	837,600.00	800,000.00	830,013.29	7,586.71		(1,848.78	)	—	—		5.3200	5.3200	JD	12,531.56	—	20140930	20201215
BRSVLF005	AURORA PARTS AND ACCESSORIES L				5,923,875.39	5,908,916.09	5,983,712.50	5,939,703.74	(30,787.65	)	2,585.06		—	—		—	4.3836	M-J-S-D	—	79,669.11	20150901	20210817
0523966M5	AUSTIN TX (CITY OF)			1FE	386,563.10	390,532.45	385,000.00	385,929.81	4,602.64		(64.46	)	—	—		2.3840	3.4247	Mar-Sep	764.87	4,589.20	20140930	20200901
0523966K9	AUSTIN TX (CITY OF)			1FE	315,677.25	316,883.70	315,000.00	315,250.37	1,633.33		(43.08	)	—	—		1.7580	1.4219	Mar-Sep	461.48	2,768.85	20140930	20180901
0523966L7	AUSTIN TX (CITY OF)			1FE	201,750.00	202,474.00	200,000.00	200,880.49	1,593.51		(87.78	)	—	—		2.1080	2.4219	Mar-Sep	351.33	2,108.00	20140930	20190901
05253JAH4	AUSTRALIA & NEW ZEALAND BANKIN			2FE	8,391,180.00	8,393,532.00	8,400,000.00	8,397,631.00	(4,099.00	)	736.39		—	—		1.5000	1.5360	JJ	26,250.00	63,000.00	20150116	20180116
05253JAC5	AUSTRALIA & NEW ZEALAND BANKIN			1FE	774,550.50	773,186.50	775,000.00	774,896.34	(1,709.84	)	22.76		—	—		1.4500	1.4620	MN	4,245.28	—	20130515	20180515
05253JAN1	AUSTRALIA & NEW ZEALAND BANKIN			1FE	2,799,748.00	2,773,735.89	2,800,000.00	2,799,806.59	(26,070.70	)	20.55		—	—		1.6000	1.6030	JJ	9,457.78	22,400.00	20160715	20190715
05253JAJ0	AUSTRALIA & NEW ZEALAND BANKIN			1FE	4,995,800.00	5,017,950.05	5,000,000.00	4,997,695.08	20,254.97		346.27		—	—		2.0000	2.0290	MN	37,500.00	—	20151116	20181116
05254HAA2	AUSTRALIA AND NEW ZEALAND BANK	D	2	2FE	1,610,000.00	1,765,928.50	1,610,000.00	1,610,000.00	155,928.50		—		—	—		6.7500	6.7500	JD	31,998.75	—	20160615	20491231
053015AD5	AUTOMATIC DATA PROCESSING INC			1FE	537,521.18	543,955.67	538,000.00	537,663.55	6,292.12		23.12		—	—		2.2500	3.3781	Mar-Sep	538.00	6,052.50	20150915	20200915
05329WAL6	AUTONATION INC		2	2FE	4,599,908.00	4,649,587.77	4,600,000.00	4,599,908.00	49,679.77		—		—	—		3.3500	3.3500	JJ	32,532.22	90,822.22	20150921	20210115
053332AU6	AUTOZONE INC			2FE	219,846.00	218,149.79	220,000.00	219,893.71	(1,743.92	)	12.55		—	—		1.6250	2.0575	Apr-Oct	1,588.89	—	20160421	20190421
00248PAP1	AVOCE_14-1A	D	4		1,000,000.00	998,821.70	1,000,000.00	1,000,000.00	(1,178.30	)	—		—	—		—	2.1710	JAJO	—	—	20170404	20260715
00248PAQ9	AVOCE_14-1A	D	4	1FE	1,000,000.00	997,562.50	1,000,000.00	1,000,000.00	(2,437.50	)	—		—	—		—	2.5410	JAJO	—	—	20170404	20260715
BRT7ZNFV1	AVOLON TLB BORROWER 1 LUXEMBOU	D	2	3FE	1,494,056.31	1,521,375.77	1,501,564.13	1,494,064.85	27,310.92		8.54		—	—		—	0.0990	MJSD	—	—	20170330	20220321
BRSC7W2L8	AWAS AVIATION SERVICES INC		4	2FE	646,774.42	652,462.12	650,024.53	648,228.79	4,233.33		445.74		—	—		—	0.2290	MJSD	—	6,923.18	20160412	20180611
BRSU5BEP4	AWP INC				3,674,094.50	3,628,168.32	3,674,094.50	3,674,094.50	(45,926.18	)	—		—	—		—	—	MJSD	—	51,772.51	20150622	20210605
BRSU5BES8	AWP INC				48,865.22	48,254.42	48,865.22	48,865.22	(610.80	)	—		—	—		—	—	MJSD	—	2,643.47	20160901	20200605
04280PAA5	AWPT_14-2A	D	4		1,089,550.00	1,103,527.59	1,100,000.00	1,094,170.43	9,357.16		528.66		—	—		2.6200	2.8410	MJSD	1,520.80	6,820.87	20150128	20260312
055065AA4	AZZURRO RE I LTD				1,408,562.50	1,342,833.39	1,250,000.00	1,408,562.50	5,895.89		—		—	(71,625.00	)	1.8230	1.7973	J-A-J-O	5,078.17	7,549.36	20150617	20190116
BRSWL65W8	B&G FOODS INC			3FE	2,357,435.22	2,384,582.44	2,369,281.62	2,359,765.33	24,817.11		418.77		—	—		—	0.0710	MJSD	—	24,096.10	20151117	20221102
BRSQHT1U4	B/E AEROSPACE INC		4	3FE	1,154,834.10	1,162,451.38	1,160,637.30	1,156,682.64	5,768.74		206.56		—	—		—	0.0710	MJSD	—	11,463.23	20150116	20211216
06759YAC9	BABSN_16-3A	D	4		2,000,000.00	2,001,545.60	2,000,000.00	2,000,000.00	1,545.60		—		—	—		2.7900	2.7990	JAJO	17,670.00	—	20161208	20280115
05522RCU0	BACCT		4	1FE	1,374,835.07	1,373,592.72	1,375,000.00	1,374,907.80	(1,315.08	)	25.79		—	—		1.3600	1.3670	MON	831.11	14,308.32	20150429	20200915

05522RCW6	BACCT_16-A1		4	1FE	3,064,118.51	3,069,009.02	3,065,000.00	3,064,119.02	4,890.00		0.51		—	—		1.9500	1.9660	MON	166.02	—	20170330	20220815
059513AF8	BACM			1	704,513.27	637,104.70	632,914.79	639,104.69	(1,999.99	)	(10,212.37	)	—	—		5.7740	0.1534	Monthly	3,045.37	11,070.06	20140721	20510210
059513AE1	BACM			?	968,968.13	872,031.25	866,442.72	873,714.13	(1,682.88	)	(29,095.48	)	—	—		6.0358	0.2767	Monthly	4,255.54	21,388.69	20140519	20510210
06054AAX7	BACM_15-UBS7		4	?	3,425,469.71	3,454,058.88	3,325,000.00	3,414,900.89	39,157.99		(35.53	)	—	—		3.7050	3.3920	MON	10,265.94	30,797.82	20150924	20480915
06054MAB9	BACM_16-UB10		4		3,089,985.60	3,024,658.50	3,000,000.00	3,074,807.11	(50,148.61	)	(4,672.05	)	—	—		2.7230	2.0530	MON	6,807.50	20,422.50	20160607	20490615
BRSHC6N35	BAKERCORP INTERNATIONAL INC		4	4FE	1,133,087.65	1,090,596.86	1,133,087.65	1,133,087.65	(42,490.79	)	—		—	—		—	—	MJSD	—	12,338.39	20130215	20200207
059165EG1	BALTIMORE GAS & ELECTRIC CO			1FE	149,550.00	139,816.50	150,000.00	149,574.56	(9,758.06	)	9.90		—	—		2.4000	9.3808	Feb-Aug	460.01	1,770.00	20160818	20260815
BRSYWHG22	BANK NEDERLANDSE GEMEENTEN	B			2,263,767.40	2,085,197.47	1,650,000.00	2,262,972.14	14,358.15		(942.79	)	—	(192,132.84	)	1.1250	0.9290	MAR	1,589.83	25,239.35	20160202	20190307
N6520YLT3	BANK NEDERLANDSE GEMEENTEN			1FE	347,569.00	348,950.53	275,000.00	347,518.11	3,545.54		(50.89	)	—	(2,113.12	)	1.1250	4.1507	May	3,306.84	—	20170207	20210524
62944BBJ2	BANK NEDERLANDSE GEMEENTEN	D			2,082,562.04	2,077,331.20	2,084,000.00	2,083,169.92	(5,838.72	)	178.23		—	—		1.1250	1.1600	MN	8,205.75	—	20160525	20180525
N1R20N4H9	BANK NEDERLANDSE GEMEENTEN			1FE	1,867,306.53	1,887,037.68	1,480,000.00	1,866,538.65	4,410.50		(767.88	)	—	16,088.54		1.3750	2.6932	December	7,877.99	—	20170308	20191209
06051GEX3	BANK OF AMERICA CORP			2FE	959,794.50	960,050.91	950,000.00	958,297.20	1,753.71		(1,124.53	)	—	—		2.6000	2.1000	JJ	5,214.44	12,350.00	20161201	20190115
060505EG5	BANK OF AMERICA CORP			3FE	4,862,500.00	5,018,750.00	5,000,000.00	4,862,500.00	156,250.00		—		—	—		5.1250	—	Jun-Dec	74,027.78	—	20140806
U5904RYZ0	BANK OF AMERICA CORP			1FE	1,687,064.32	1,341,308.94	1,000,000.00	1,568,933.14	10,115.25		(21,319.18	)	—	(237,739.45	)	7.7500	1.0822	April	89,210.18	—	20150617	20180430
06051GFT1	BANK OF AMERICA CORP			2FE	5,730,710.75	5,756,201.13	5,725,000.00	5,729,720.71	26,480.42		(313.57	)	—	—		2.6250	2.6000	AO	67,626.57	—	20160502	20201019
06051GFX2	BANK OF AMERICA CORP			2FE	2,487,284.00	2,372,520.08	2,400,000.00	2,483,662.52	(111,142.44	)	(1,974.55	)	—	—		3.5000	3.0560	AO	37,800.00	—	20161018	20260419
060505EN0	BANK OF AMERICA CORP			3FE	1,428,637.50	1,457,898.75	1,377,000.00	1,420,652.13	37,246.62		(1,070.47	)	—	—		6.1000	7.9671	Mar-Sep	3,266.55	41,998.50	20150420	20491231
06050TME9	BANK OF AMERICA CORP			1FE	4,704,215.00	4,723,265.16	4,700,000.00	4,702,744.50	20,520.66		(396.84	)	—	—		2.0500	2.0140	JD	30,510.83	—	20151207	20181207
U0662KCL3	BANK OF AMERICA CORP			1FE	698,740.52	696,407.87	500,000.00	696,034.24	(1,356.20	)	(2,706.28	)	—	1,729.83		5.5000	2.6795	Jun-Dec	11,147.56	—	20170223	20191204
06051GFZ7	BANK OF AMERICA CORP		2	2FE	3,822,468.00	3,798,639.04	3,900,000.00	3,826,973.05	(28,334.01	)	3,025.78		—	—		2.5030	2.8700	AO	43,385.33	—	20161118	20221021
06051GFL8	BANK OF AMERICA CORP			2FE	2,028,700.00	2,028,660.12	2,000,000.00	2,024,634.82	4,025.30		(517.82	)	—	—		4.2500	4.0930	AO	37,541.67	—	20150317	20261022
06051GGB9	BANK OF AMERICA CORP		2	2FE	1,460,000.00	1,445,268.56	1,460,000.00	1,460,000.00	(14,731.44	)	—		—	—		2.1510	2.1510	MN	12,474.60	—	20161109	20201109
U5904QAC9	BANK OF AMERICA CORP			2FE	748,402.32	722,893.77	500,000.00	738,103.97	12,354.54		(4,465.21	)	—	(27,564.73	)	5.5000	4.6493	November	12,247.57	—	20160705	20211122
060505EH3	BANK OF AMERICA CORP			3FE	4,876,597.00	5,068,840.00	4,816,000.00	4,866,531.66	202,308.34		(1,337.38	)	—	—		6.2500	7.4384	Mar-Sep	21,738.89	150,500.00	20140905	20491231
06051GGF0	BANK OF AMERICA CORP		2	3FE	3,000,000.00	3,001,080.09	3,000,000.00	3,000,000.00	1,080.09		—		—	—		3.8240	3.8240	JJ	22,625.33	18,110.89	20170120	20280120
06051GFD6	BANK OF AMERICA CORP			2FE	10,215,100.00	10,119,899.70	10,000,000.00	10,177,511.02	(57,611.32	)	(21,940.73	)	—	—		2.6500	1.7430	AO	132,500.00	8,980.56	20161025	20190401
G0R18RAN4	BANK OF ENGLAND				3,114,283.55	3,112,757.20	3,115,000.00	3,114,300.06	(1,542.86	)	16.51		—	—		1.7500	2.9342	Mar-Sep	3,785.59	—	20170306	20200306
06367TPX2	BANK OF MONTREAL	A		1FE	294,873.15	295,607.72	295,000.00	294,885.59	722.13		10.17		—	—		2.1000	2.1150	JD	1,875.71	—	20161212	20191212
06367THQ6	BANK OF MONTREAL	A		1FE	7,048,227.20	6,979,158.96	7,055,000.00	7,049,784.60	(70,625.64	)	556.20		—	—		1.5000	1.5330	JJ	21,458.96	59,212.50	20160718	20190718
06367THR4	BANK OF MONTREAL	A		1FE	3,000,000.00	3,018,270.03	3,000,000.00	3,000,000.00	18,270.03		—		—	—		1.6740	1.4640	JAJO	10,181.79	11,742.81	20160718	20190718
06366RHA6	BANK OF MONTREAL	A		1FE	130,209.30	130,005.19	130,000.00	130,043.94	(38.75	)	(24.44	)	—	—		1.4000	1.3230	MS	101.11	910.00	20150721	20170911
06366RMS1	BANK OF MONTREAL	A	2	1FE	249,595.00	249,715.00	250,000.00	249,848.04	(133.04	)	36.37		—	—		1.4500	1.5100	AO	1,731.94	—	20150710	20180409
06367XF30	BANK OF MONTREAL	A		1FE	1,003,160.00	974,730.00	1,000,000.00	1,002,793.19	(28,063.19	)	(158.38	)	—	—		1.7500	1.6810	JD	5,152.78	—	20160829	20210615
06406HCW7	BANK OF NEW YORK MELLON CORP/T		2	1FE	1,007,930.00	1,008,060.00	1,000,000.00	1,005,070.64	2,989.36		(522.02	)	—	—		2.3000	2.0770	MS	1,277.78	11,500.00	20151116	20190911

06406GAA9	BANK OF NEW YORK MELLON CORP/T		2	1FE	69,923.00	66,522.40	70,000.00	69,925.26	(3,402.86	)	1.34		—	—		3.0000	3.0110	AO	880.84	—	20161031	20281030
06406HCR8	BANK OF NEW YORK MELLON CORP/T		2	1FE	11,412,207.00	11,433,422.62	11,350,000.00	11,404,168.50	29,254.12		(7,169.26	)	—	—		2.2000	1.9330	MS	18,727.50	124,850.00	20140204	20190304
06406HCK3	BANK OF NEW YORK MELLON CORP/T			1FE	6,000,000.00	6,018,180.54	6,000,000.00	6,000,000.00	18,180.54		—		—	—		1.5400	0.6750	MJSD	6,673.33	23,568.63	20140602	20180306
06406HCU1	BANK OF NEW YORK MELLON CORP/T		2	1FE	1,996,120.00	2,012,039.94	2,000,000.00	1,998,310.71	13,729.23		192.82		—	—		2.2000	2.2410	MN	16,622.22	—	20140507	20190515
06406HDB2	BANK OF NEW YORK MELLON CORP/T		2	1FE	1,999,820.00	1,999,740.00	2,000,000.00	1,999,929.19	(189.19	)	15.27		—	—		1.6000	1.6030	MN	11,466.67	—	20150529	20180522
06406HCE7	BANK OF NEW YORK MELLON CORP/T		2	1FE	299,634.00	299,706.00	300,000.00	299,881.11	(175.11	)	35.78		—	—		1.3000	1.3490	JJ	715.00	1,950.00	20150710	20180125
06406FAA1	BANK OF NEW YORK MELLON CORP/T		2	1FE	855,270.00	851,037.02	850,000.00	854,256.62	(3,219.60	)	(251.57	)	—	—		2.5000	2.3670	AO	9,798.61	—	20160318	20210415
064058AD2	BANK OF NEW YORK MELLON CORP/T			2FE	3,749,550.00	3,862,500.00	3,750,000.00	3,749,550.00	112,950.00		—		—	—		4.9500	—	Jun-Dec	52,078.13	4,348.44	20160622
064058AF7	BANK OF NEW YORK MELLON CORP/T			2FE	5,240,000.00	5,050,050.00	5,240,000.00	5,240,000.00	(189,950.00	)	—		—	—		4.6250	—	Mar-Sep	7,405.14	172,210.58	20160801
064159GM2	BANK OF NOVA SCOTIA			1FE	2,298,919.00	2,301,725.00	2,300,000.00	2,299,562.91	2,162.09		89.46		—	—		1.7000	1.1123	Jun-Dec	11,947.22	—	20150611	20180611
064159HC3	BANK OF NOVA SCOTIA			1FE	1,523,185.25	1,528,263.33	1,525,000.00	1,523,904.57	4,358.76		149.02		—	—		1.9500	1.7945	Jan-Jul	6,277.91	14,868.75	20160115	20190115
G40096AY8	BANK OF SCOTLAND PLC			1FE	699,866.71	697,152.51	500,000.00	690,981.80	6,308.83		(6,663.68	)	—	(138.12	)	6.3750	2.3781	August	24,911.31	—	20161202	20190816
06538PAB8	BANK OF TOKYO-MITSUBISHI UFJ L	D		1FE	1,667,000.00	1,677,952.16	1,667,000.00	1,667,000.00	10,952.16		—		—	—		2.1410	1.3560	MJSD	1,784.71	8,246.32	20150914	20180914
06739GBP3	BARCLAYS BANK PLC	D		2FE	6,019,695.00	5,877,960.11	5,500,000.00	5,812,324.91	65,635.20		(20,410.22	)	—	—		5.1400	3.4210	AO	131,141.39	—	20140822	20201014
06742LAM5	BARCLAYS DRYROCK ISSUANCE TRUS		4	1FE	1,599,761.92	1,586,006.83	1,600,000.00	1,599,814.58	(13,807.75	)	20.88		—	—		1.5200	1.5300	MON	1,080.88	7,583.09	20160803	20220516
06738EAU9	BARCLAYS PLC	D	2	2FE	400,000.00	400,368.01	400,000.00	400,000.00	368.01		—		—	—		4.3370	4.3370	JJ	3,903.30	—	20170110	20280110
06738EAL9	BARCLAYS PLC	D		2FE	2,898,405.00	2,923,402.96	2,900,000.00	2,898,770.48	24,632.48		75.79		—	—		3.2500	3.2620	JJ	20,682.64	47,125.00	20160112	20210112
G0809LEB1	BARCLAYS PLC			3FE	545,733.16	577,132.33	450,000.00	545,796.60	16,840.60		79.83		—	14,495.13		3.1250	6.8027	January	3,565.07	897.93	20170117	20240117
06738EAF2	BARCLAYS PLC	D		2FE	1,299,883.00	1,300,883.87	1,300,000.00	1,299,961.94	921.93		9.73		—	—		2.0000	2.0030	MS	1,083.33	13,000.00	20150316	20180316
06738EAD7	BARCLAYS PLC	D		2FE	916,761.60	926,439.97	920,000.00	918,256.02	8,183.95		159.99		—	—		2.7500	2.8260	MN	10,049.72	—	20141110	20191108
06738EAS4	BARCLAYS PLC	D	2	2FE	6,690,000.00	6,716,224.67	6,690,000.00	6,690,000.00	26,224.67		—		—	—		3.6840	3.6840	JJ	55,453.42	—	20170110	20230110
BRT6JNXZ2	BASS PRO GROUP LLC		2	1FE	3,064,273.39	2,974,597.40	3,090,490.80	3,065,093.13	(90,495.73	)	819.74		—	—		—	0.1210	MJSD	—	38,662.04	20170103	20231215
BRSTM9RG9	BASS PRO GROUP LLC		4	4FE	1,400,668.70	1,379,605.98	1,404,179.11	1,401,896.14	(22,290.16	)	189.37		—	—		—	0.0500	MJSD	—	14,434.08	20150716	20200605
05530QAG5	BAT INTL FIN PLC	D		2FE	3,854,843.10	3,760,959.33	3,730,000.00	3,836,603.08	(75,643.75	)	(7,978.81	)	—	—		2.7500	1.8280	JD	30,202.64	—	20160906	20200615
BRT31LED2	BAT INTL FIN PLC	B	2	1FE	1,342,925.07	1,267,350.20	1,000,000.00	1,338,283.35	(16,230.65	)	(1,983.36	)	—	(54,702.49	)	1.7500	1.0920	JUL	16,187.33	3,193.12	20160705	20210705
07177MAD5	BAXALTA INC		2	2FE	3,749,014.00	3,802,462.58	3,750,000.00	3,749,236.93	53,225.65		55.77		—	—		2.8750	2.9100	JD	29,348.96	—	20160603	20200623
07177MAG8	BAXALTA INC			2FE	3,868,411.49	3,874,257.39	3,870,000.00	3,869,055.50	5,201.89		188.27		—	—		2.0000	2.4930	JD	21,285.00	—	20160603	20180622
072863AA1	BAYLOR SCOTT & WHITE HOLDINGS			1FE	750,000.00	743,671.50	750,000.00	750,000.00	(6,328.50	)	—		—	—		2.1230	3.6301	May-Nov	6,015.16	—	20150422	20201115
05531FAW3	BB&T CORP			1FE	1,350,000.00	1,353,375.11	1,350,000.00	1,350,000.00	3,375.11		—		—	—		1.7010	1.8510	JD	6,497.60	—	20161227	20200615
05531GAA9	BB&T CORP		2	1FE	425,524.00	419,787.97	400,000.00	418,484.30	1,303.67		(867.24	)	—	—		3.9500	2.9290	MS	395.01	7,900.00	20150309	20220322
05531FAN3	BB&T CORP		2	1FE	682,651.84	678,616.12	676,000.00	678,180.43	435.69		(504.86	)	—	—		2.0500	1.7530	JD	3,926.43	219.12	20141202	20180619
075887BE8	BECTON DICKINSON AND COMPANY			2FE	3,831,789.65	3,873,730.00	3,821,000.00	3,827,008.44	46,721.56		(529.79	)	—	—		2.6750	2.7096	Jun-Dec	30,095.67	—	20141215	20191215
081653CH8	BEND ORE			1FE	585,160.00	575,710.00	500,000.00	583,546.12	(7,836.12	)	(1,613.88	)	—	—		5.0000	9.1753	Jun-Dec	8,333.33	—	20170117	20361201
BRSSLJ0J3	BENDON INC				810,243.69	777,833.94	810,243.69	810,243.69	(32,409.75	)	—		—	—		—	—	MJSD	—	8,948.04	20150414	20210330

BRSSLJ0T1	BENDON INC				5,989,437.04	5,689,965.19	5,989,437.04	5,989,437.04	(299,471.85	)	—		—	—		—	—		MJSD	—	82,751.83	20150414	20210330
59562VAX5	BERKSHIRE HATHAWAY ENERGY CO		2	1FE	1,506,105.00	1,503,659.94	1,500,000.00	1,503,067.76	592.18		(550.26	)	—	—		2.0000	1.8650		MN	11,333.34	—	20150902	20181115
BRT7YSH15	BERRY PLASTICS CORP		2	3FE	434,362.94	437,077.71	434,362.94	434,362.94	2,714.77		—		—	—		—	—		MJSD	—	2,535.89	20170126	20240119
BRT2CNQ86	BERRY PLASTICS CORP			3FE	217,677.85	219,380.06	218,662.63	217,800.97	1,579.09		88.64		—	—		—	0.0710		MJSD	—	2,543.96	20160617	20221001
BRT8HNCY6	BERRY PLASTICS CORP		2	3FE	584,909.56	587,508.90	584,909.56	584,909.56	2,599.34		—		—	—		—	(0.4790	)	MJSD	—	—	20170301	20200208
BRSV3DL15	BESTOP INC				3,885,965.08	3,847,105.43	3,885,965.08	3,885,965.08	(38,859.65	)	—		—	—		—	—		MJSD	—	62,214.65	20150814	20491230
BRT5C0FT5	BESTOP INC				2,376,521.14	2,364,638.53	2,376,521.14	2,376,521.14	(11,882.61	)	—		—	—		—	—		MJSD	—	41,326.75	20161005	20210730
G1R42CEP6	BG ENERGY CAPITAL PLC			2FE	781,047.29	776,942.09	600,000.00	770,615.93	4,420.06		(8,218.85	)	—	1,906.12		6.5000	0.6685		November	16,300.38	—	20161202	20721130
G1163HET9	BG ENERGY CAPITAL PLC			1FE	1,266,440.70	1,030,541.47	800,000.00	1,198,288.75	4,092.53		(10,843.47	)	—	(171,839.81	)	5.1250	0.6877		December	16,153.08	1,253.71	20141210	20171207
055451AU2	BHP BILLITON FINANCE (USA) LTD			1FE	544,060.00	530,404.97	500,000.00	534,228.38	(3,823.41	)	(1,191.50	)	—	—		3.8500	6.5041		Mar-Sep	53.47	9,625.00	20150227	20230930
09062XAC7	BIOGEN IDEC INC			2FE	6,672,974.10	6,724,907.97	6,611,000.00	6,664,865.43	60,042.54		(2,708.97	)	—	—		2.9000	2.6510		MS	8,520.84	95,859.50	20160314	20200915
BRSR5UKB3	BIOTELEMETRY INC				3,857,142.87	3,837,857.16	3,857,142.87	3,857,142.87	(19,285.71	)	—		—	—		—	—		MJSD	—	49,999.95	20150114	20191230
BRSR5ULA4	BIOTELEMETRY INC				514,285.71	506,571.42	514,285.71	514,285.71	(7,714.29	)	—		—	—		—	—		JD	—	6,571.43	20160513	20191230
095538AC8	BLUE HALO RE LTD				1,500,000.00	1,557,900.00	1,500,000.00	1,500,000.00	57,900.00		—		—	—		8.6048	2.3205		M-J-S-D	6,095.06	32,267.98	20160721	20190726
095538AA2	BLUE HALO RE LTD				1,000,000.00	1,015,370.00	1,000,000.00	1,000,000.00	15,370.00		—		—	—		14.0000	2.2247		M-J-S-D	6,611.11	35,887.03	20160616	20190621
095538AB0	BLUE HALO RE LTD				400,000.00	402,792.00	400,000.00	400,000.00	2,792.00		—		—	—		20.1048	2.2247		M-J-S-D	3,797.57	20,104.78	20160616	20190621
BRSZ4WWJ2	BLUEPAY PROCESSING LLC				2,181,719.65	2,170,811.05	2,181,719.65	2,181,719.65	(10,908.60	)	—		—	—		—	—		MJSD	—	30,035.20	20160216	20211204
BRSK4S5S4	BMC SOFTWARE FINANCE INC		4	4FE	3,626,402.76	3,634,797.27	3,634,797.27	3,630,409.92	4,387.35		325.99		—	—		—	0.0350		FMAN	—	46,062.93	20131231	20200910
N1430ZAT2	BMW FIN N.V.			1FE	3,370,452.30	3,127,654.45	2,400,000.00	3,328,289.31	6,439.23		(14,656.62	)	—	(207,074.08	)	3.3750	1.7068		December	29,969.69	—	20160108	20181214
05565EAK1	BMW US CAPITAL LLC			1FE	2,621,718.75	2,594,970.08	2,625,000.00	2,622,306.44	(27,336.36	)	266.88		—	—		1.4500	1.4930		MS	1,691.67	19,031.25	20160915	20190913
05565EAM7	BMW US CAPITAL LLC		2	1FE	947,064.50	913,301.51	950,000.00	947,277.15	(33,975.64	)	96.61		—	—		2.2500	2.2980		MS	950.00	10,687.50	20160915	20230915
05565EAF2	BMW US CAPITAL LLC		2	1FE	359,096.40	352,681.21	360,000.00	359,265.02	(6,583.81	)	43.10		—	—		2.0000	2.0530		AO	3,400.00	—	20160411	20210411
05565EAD7	BMW US CAPITAL LLC			1FE	3,943,264.20	3,919,002.56	3,945,000.00	3,943,818.38	(24,815.82	)	141.45		—	—		1.5000	1.5150		AO	27,943.75	—	20160411	20190411
05582QAD9	BMW VEHICLE OWNER TRUST BMWOT_		4	1FE	2,999,986.50	2,971,454.76	3,000,000.00	2,999,979.24	(28,524.48	)	(2.49	)	—	—		1.1600	1.1620		MON	580.00	8,700.00	20160720	20201125
09658UAD1	BMWOT_14-A		4	1FE	974,895.38	975,467.97	975,000.00	974,953.56	514.41		6.09		—	—		1.5000	1.5070		MON	243.75	3,656.25	20141015	20210225
F105C9MT2	BNP PARIBAS SA				635,964.49	596,751.16	490,000.00	636,113.70	(14,562.72	)	65.44		—	(24,799.82	)	1.1250	5.3808		August	4,305.83	—	20160816	20220816
05581KAB7	BNP PARIBAS SA	D		1FE	822,492.00	822,714.75	825,000.00	822,552.36	162.39		121.47		—	—		3.8000	3.8490		JD	7,053.75	7,053.74	20170110	20240110
097023BM6	BOEING CO			1FE	376,858.82	377,163.88	382,000.00	378,268.15	(1,104.27	)	248.18		—	—		1.6500	3.5863		Apr-Oct	2,643.76	—	20151029	20201030
097023BE4	BOEING CO			1FE	1,475,685.00	1,491,795.00	1,500,000.00	1,493,288.48	(1,493.48	)	1,531.11		—	—		0.9500	1.1233		May-Nov	5,383.33	857.64	20130503	20180515
097023BG9	BOEING CO			1FE	555,203.00	550,242.00	550,000.00	553,664.86	(3,422.86	)	(265.89	)	—	—		2.3500	4.5863		Apr-Oct	5,421.32	2,301.04	20150309	20211030
09785EAA9	BONANZA RE LTD	D			250,000.00	250,377.50	250,000.00	250,000.00	377.50		—		—	—		4.7030	4.7490		MON	1,012.50	2,886.60	20161201	20191231
09785EAB7	BONANZA RE LTD	D			250,000.00	250,682.50	250,000.00	250,000.00	682.50		—		—	—		5.9530	6.0260		MON	1,281.60	3,667.85	20161201	20191231
10011AAA1	BOSPHORUS LTD	D			1,080,000.00	1,098,770.40	1,080,000.00	1,080,000.00	18,770.40		—		—	—		4.3410	3.5960		MJSD	3,125.52	11,723.40	20150817	20180817
102022AX8	BOURBONNAIS ILL		2	1FE	1,236,560.50	1,168,664.50	1,150,000.00	1,166,722.57	1,941.93		(7,076.58	)	—	—		4.3750	4.6410		MN	20,963.54	—	20140930	20181101

BRT8YDGX7	BOYD GAMING CORPORATION		2	3FE	726,927.94	729,290.46	726,927.94	726,927.94	2,362.52		—		—	—		—	—		MJSD	—	—	20170607	20230915
05565QCZ9	BP CAPITAL MARKETS PLC	D		1FE	875,000.00	885,954.99	875,000.00	875,000.00	10,954.99		—		—	—		3.0620	3.0620		MS	1,041.93	13,396.25	20150317	20220317
05565QCX4	BP CAPITAL MARKETS PLC	D		1FE	962,706.85	959,488.59	955,000.00	962,388.40	(2,899.81	)	(318.45	)	—	—		2.3150	2.0360		FA	2,947.77	—	20170214	20200213
05565QDC9	BP CAPITAL MARKETS PLC	D		1FE	2,600,000.00	2,586,480.08	2,600,000.00	2,600,000.00	(13,519.92	)	—		—	—		1.6760	1.6760		MN	17,914.58	—	20160504	20190503
G1279MKC9	BP CAPITAL MARKETS PLC			1FE	1,468,608.73	1,390,164.13	1,050,000.00	1,443,440.54	(2,759.48	)	(12,016.40	)	—	(50,516.93	)	4.3250	1.6959		December	17,424.75	—	20160922	20181210
05565QCF3	BP CAPITAL MARKETS PLC	D		1FE	1,250,000.00	1,254,398.75	1,250,000.00	1,250,000.00	4,398.75		—		—	—		1.5440	0.7850		FMAN	2,680.07	9,056.25	20130510	20180510
BRT9DG661	BRACKET HOLDING CORP				5,414,062.50	5,386,992.19	5,414,062.50	5,414,062.50	(27,070.31	)	—		—	—		—	—		MJSD	—	—	20170612	20230406
BRT9DG8T9	BRACKET HOLDING CORP				773,437.50	769,570.31	773,437.50	773,437.50	(3,867.19	)	—		—	—		—	—		MJSD	—	—	20170612	20220406
07330NAD7	BRANCH BANKING AND TRUST COMPA		2	1FE	3,804,378.11	3,763,457.70	3,737,000.00	3,763,238.35	219.35		(4,441.27	)	—	—		2.3000	1.8020		AO	39,632.96	—	20141202	20181015
07330NAN5	BRANCH BANKING AND TRUST COMPA		2		4,647,685.74	4,655,394.22	4,650,000.00	4,647,740.17	7,654.05		54.43		—	—		2.1000	2.1180		JJ	17,631.25	—	20170126	20200115
07330NAL9	BRANCH BANKING AND TRUST COMPA		2	1FE	450,715.50	445,513.49	450,000.00	450,521.27	(5,007.78	)	(73.73	)	—	—		1.4500	1.3920		MN	2,555.63	3,157.78	20160621	20190510
10620NCG1	BRAZOS HIGHER EDUCATION AUTHOR		4	1FE	1,772,404.79	1,793,416.26	1,796,614.25	1,788,832.74	4,583.52		979.39		—	—		1.8520	2.0870		FMAN	3,050.60	8,594.84	20110318	20300225
110122AV0	BRISTOL-MYERS SQUIBB CO			1FE	7,465,480.00	7,498,274.78	7,500,000.00	7,481,219.67	17,055.11		2,373.37		—	—		1.7500	1.8840		MS	10,937.50	65,625.00	20150723	20190301
BRSQK8KF8	BRITISH SKY BROADCASTING GRP P	B		2FE	923,806.47	928,759.98	700,000.00	918,866.71	5,425.94		(3,159.42	)	—	4,467.33		2.8750	1.3200		NOV	8,825.09	—	20161111	20201124
111013AM0	BRITISH SKY BROADCASTING GRP P	D		2FE	5,111,910.15	5,128,248.02	5,115,000.00	5,113,391.64	14,856.38		155.89		—	—		2.6250	2.6380		MS	5,594.54	67,134.39	20140916	20190916
11102AAA9	BRITISH TELECOMMUNICATIONS PLC	D		2FE	1,121,760.00	1,032,750.00	1,000,000.00	1,031,875.98	874.02		(9,932.70	)	—	—		5.9500	1.8640		JJ	12,561.11	29,750.00	20141216	20180115
111021AK7	BRITISH TELECOMMUNICATIONS PLC	D		2FE	425,110.50	427,486.25	425,000.00	425,053.99	2,432.26		(6.93	)	—	—		2.3500	2.3430		FA	1,303.92	4,993.75	20141216	20190214
G1582KAR3	BRITISH TELECOMMUNICATIONS PLC			2FE	1,777,041.92	1,266,492.27	1,000,000.00	1,600,994.28	2,373.84		(18,769.08	)	—	(336,875.85	)	6.6250	0.2301		June	64,004.20	—	20141031	20170623
11134LAE9	BROADCOM CORPORATION/BROADCOM		2	2FE	779,188.80	785,998.18	780,000.00	779,208.23	6,789.95		19.43		—	—		3.6250	3.6420		JJ	5,655.00	—	20170119	20240115
11134LAA7	BROADCOM CORPORATION/BROADCOM			2FE	12,007,800.90	12,035,000.00	12,035,000.00	12,009,549.49	25,450.51		1,748.59		—	—		2.3750	2.4540		JJ	57,166.25	—	20170119	20200115
115637AN0	BROWN-FORMAN CORPORATION			1FE	1,295,697.00	1,295,970.00	1,300,000.00	1,299,317.82	(3,347.82	)	213.24		—	—		1.0000	1.0670		JJ	2,744.44	6,500.00	20121212	20180115
07387AAW5	BSARM		4	?	509,809.91	498,101.89	519,386.07	511,107.66	(13,005.77	)	(2,230.27	)	—	—		3.2650	3.6160		MON	1,413.14	4,543.28	20070815	20350625
07384M3D2	BSARM_04-10		4	2FE	394,450.01	402,041.29	402,089.70	395,423.01	6,618.28		503.86		—	—		3.5490	3.9700		MON	1,189.24	3,728.15	20070814	20341125
G1658KAC5	BSKYB FINANCE UK PLC			2FE	2,456,890.12	2,054,731.84	2,456,890.12	2,341,229.32	5,883.81		(24,353.16	)	—	(292,381.30	)	5.7500	0.5562		October	51,374.64	—	20150506	20171020
BRSG4MWQ0	BSN MEDICAL		4		1,569,941.31	1,573,694.71	1,577,638.81	1,574,921.57	(1,226.86	)	277.96		—	—		—	(0.0590	)	JAJO	—	16,126.98	20121029	20190828
119798AA4	BUFFALO RE LTD	D			500,000.00	500,155.00	500,000.00	500,000.00	155.00		—		—	—		0.5000	0.5000		MON	152.78	—	20170310	20200407
119798AB2	BUFFALO RE LTD	D			250,000.00	249,867.50	250,000.00	250,000.00	(132.50	)	—		—	—		0.5000	0.5000		MON	76.39	—	20170310	20200407
BRT87HRY4	BUMP_8	B	4		629,050.00	626,844.33	500,000.00	629,050.00	1,619.33		—		—	(3,825.00	)	0.7860	0.7750		MON	161.65	572.92	20170207	20271120
BRT8LGB19	BURGER KING NEWCO	A	2	4FE	1,104,772.27	1,108,463.70	1,107,541.12	1,104,773.38	3,690.32		6.88		—	—		—	0.0360		MJSD	—	100.19	20170330	20240216
12189TAY0	BURLINGTON NORTHERN SANTA FE R			2FE	239,043.80	225,720.03	225,000.00	225,809.18	(89.15	)	(2,427.55	)	—	—		5.6500	1.2830		MN	5,296.87	—	20151120	20170501
12189LAY7	BURLINGTON NORTHERN SANTA FE R		2	1FE	503,523.94	525,235.36	505,000.00	503,731.32	21,504.04		31.65		—	—		3.6500	3.6850		MS	1,536.03	9,216.25	20150820	20250901
12232KAA8	BURNH_16-1A	D	4	1FE	1,498,050.00	1,500,696.75	1,500,000.00	1,498,191.08	2,505.67		99.90		—	—		2.3180	2.3440		JAJO	15,162.86	—	20161026	20291020
12232KAC4	BURNH_16-1A	D	4		500,000.00	498,001.85	500,000.00	500,000.00	(1,998.15	)	—		—	—		2.6580	2.6650		JAJO	5,795.68	—	20161026	20291020
22530LAA4	CAALT_17-1		4		3,209,823.77	3,208,330.73	3,210,000.00	3,209,820.44	(1,489.71	)	(3.33	)	—	—		2.5600	2.5740		MON	3,652.27	5,021.87	20170223	20251015

12765JAA6	CAELUS RE IV LTD	D			750,000.00	788,220.00	750,000.00	750,000.00	38,220.00		—		—	—	5.6960	5.8150	JAJO	10,083.33	10,916.85	20160229	20200306
12802DAS5	CAISSE D'AMORT DETTE SOCIALE	D		1FE	999,830.00	998,249.97	1,000,000.00	999,841.92	(1,591.95	)	11.92		—	—	1.8750	1.8810	JJ	4,062.50	—	20170113	20200113
13066YTY5	CALIFORNIA ST DEPT WTR RES		4	1FE	9,260,000.00	9,059,613.51	9,260,000.00	9,260,000.00	(200,386.49	)	—		—	—	1.7130	1.7130	MN	80,633.78	—	20160928	20210501
13068LYR0	CALIFORNIA STATE PUB WKS BRD			1FE	50,096.40	47,822.80	40,000.00	49,546.05	(1,723.25	)	(292.81	)	—	—	5.0000	1.6400	MN	933.33	—	20161013	20241101
BRSJ7A0J8	CALPINE CONSTRUCTION FINANCE C			3FE	6,213,521.40	6,239,216.89	6,264,663.96	6,234,624.10	4,592.79		1,631.64		—	—	—	0.1280	MJSD	—	52,951.36	20130612	20220131
BRT4V9ZP4	CAMELOT FINANCE LP / CAMELOT C		2	4FE	967,451.15	974,257.36	972,312.73	967,778.57	6,478.79		192.03		—	—	—	0.0710	MJSD	—	10,641.14	20161011	20231003
135087C77	CANADA GOVERNMENT	A		1FE	2,903,898.00	2,916,501.00	2,900,000.00	2,902,909.53	13,591.47		(371.34	)	—	—	1.6250	1.5710	FA	4,450.69	23,562.50	20140227	20190227
13976AAB6	CAPITAL AUTO RECEIVABLES ASSET		4		465,295.63	465,225.05	465,319.18	465,303.14	(78.09	)	5.96		—	—	1.3600	1.3680	MON	193.37	1,809.01	20160921	20190422
140420NB2	CAPITAL ONE BANK USA NA			2FE	755,565.00	749,632.47	750,000.00	754,299.54	(4,667.07	)	(163.18	)	—	—	3.3750	3.2670	FA	3,234.38	12,656.25	20150331	20230215
14042E3Y4	CAPITAL ONE FIN CORP		2	2FE	9,380,512.50	9,443,155.98	9,375,000.00	9,379,847.69	63,308.29		(281.97	)	—	—	2.9500	2.9360	JJ	52,239.58	138,281.25	20140724	20210723
14042E5V8	CAPITAL ONE FIN CORP		2	2FE	9,072,873.65	9,064,131.75	9,015,000.00	9,051,820.52	12,311.23		(6,849.15	)	—	—	2.3500	2.0280	FA	25,893.09	119,536.67	20150818	20180817
14042E4A5	CAPITAL ONE FIN CORP		2	2FE	1,759,457.50	1,755,792.40	1,750,000.00	1,758,804.94	(3,012.54	)	(521.46	)	—	—	2.4000	2.1810	MS	3,033.33	9,000.00	20161201	20190905
14040HBH7	CAPITAL ONE FINANCIAL CORP		2	3FE	3,596,443.75	3,740,187.50	3,605,000.00	3,596,443.75	143,743.75		—		—	—	5.5500	5.5630	JD	66,692.50	—	20160324
14040HBL8	CAPITAL ONE FINANCIAL CORP		2	2FE	519,667.20	520,223.60	520,000.00	519,671.09	552.51		3.89		—	—	3.0500	3.0640	MS	969.23	—	20170309	20220309
14040HAY1	CAPITAL ONE FINANCIAL CORP			2FE	722,701.50	698,964.53	650,000.00	712,481.17	(13,516.64	)	(3,429.11	)	—	—	4.7500	2.3790	JJ	6,518.05	15,437.50	20160621	20210715
14041NFG1	CAPITAL ONE MASTER TRUST		4	1FE	1,199,643.60	1,171,419.80	1,200,000.00	1,199,679.57	(28,259.77	)	14.60		—	—	1.6600	1.6710	MON	885.33	4,980.00	20160825	20240617
14041NFF3	CAPITAL ONE MULTI-ASSET EXECUT		4	1FE	4,583,893.64	4,533,134.34	4,585,000.00	4,584,115.53	(50,981.19	)	91.61		—	—	1.3300	1.3420	MON	2,710.24	15,245.13	20160825	20220615
14041NFE6	CAPITAL ONE MULTI-ASSET EXECUT		4	1FE	4,444,968.89	4,404,688.03	4,445,000.00	4,444,898.19	(40,210.16	)	(25.46	)	—	—	1.3400	1.3410	MON	2,647.24	14,890.74	20160726	20220415
14041NFA4	CAPITAL ONE MULTI-ASSET EXECUT		4	1FE	3,999,926.40	3,992,530.40	4,000,000.00	3,999,961.83	(7,431.43	)	6.07		—	—	1.4500	1.4550	MON	2,577.78	14,499.99	20151027	20210816
14313TAC3	CARMAX AUTO OWNER TRUST CARMX_		4	1FE	519,144.92	518,858.99	519,186.10	519,171.14	(312.15	)	7.54		—	—	1.1600	1.1650	MON	267.67	1,828.87	20140813	20190617
14314EAC5	CARMAX AUTO OWNER TRUST CARMX_		4		4,249,365.05	4,215,085.83	4,250,000.00	4,249,504.43	(34,418.60	)	50.64		—	—	1.3900	1.3990	MON	2,625.56	14,768.76	20160720	20210517
14313RAD5	CARMX_14-2		4	1FE	1,999,666.60	2,001,974.02	2,000,000.00	1,999,897.35	2,076.67		20.57		—	—	1.6100	1.6200	MON	1,431.11	8,049.99	20140514	20191015
14313TAD1	CARMX_14-3		4	1FE	2,291,414.06	2,298,579.81	2,295,000.00	2,293,800.55	4,779.26		242.22		—	—	1.7300	1.7800	MON	1,764.60	9,925.89	20140926	20200218
14313VAC8	CARMX_15-3		4	1FE	849,946.37	850,592.86	850,000.00	849,966.63	626.23		4.38		—	—	1.6300	1.6370	MON	615.77	4,969.24	20150812	20200515
14313VAD6	CARMX_15-3		4	1FE	249,946.40	250,733.80	250,000.00	249,966.72	767.08		3.18		—	—	1.9800	1.9940	MON	220.00	1,237.50	20150812	20210216
14314MAD5	CARMX_16-2		4	1FE	199,933.52	198,421.63	200,000.00	199,948.28	(1,526.65	)	5.15		—	—	1.6800	1.6940	MON	149.33	1,878.80	20160420	20210915
BRSWNA5P2	CARR MANAGEMENT INC				4,046,399.99	4,026,066.33	4,066,733.67	4,052,191.24	(26,124.91	)	1,004.85		—	—	—	0.0990	MJSD	—	48,162.56	20151030	20201022
BRSS9F410	CASCADE DRILLING L.P.				4,291,220.33	4,269,764.23	4,291,220.33	4,291,220.33	(21,456.10	)	—		—	—	—	—	MJSD	—	59,730.18	20150309	20210220
BRT4DFYL0	CASCADE DRILLING L.P.				1,659,595.99	1,651,298.01	1,659,595.99	1,659,595.99	(8,297.98	)	—		—	—	—	—	FMAN	—	25,181.43	20160906	20210220
BRSS9F6W0	CASCADE DRILLING L.P.				960,703.85	955,900.32	960,703.86	960,703.85	(4,803.53	)	—		—	—	—	—	MJSD	—	12,311.01	20160705	20200220
14855GAB7	CASTLELAKE AIRCRAFT SECU TRUST		4	1FE	410,079.07	407,018.77	408,038.87	409,403.26	(2,384.49	)	(360.27	)	—	—	5.2500	5.0860	MON	952.09	6,006.12	20150807	20290215
BRSN5MWG6	CATALENT PHARMA SOLUTIONS INC		4	3FE	3,348,940.33	3,398,726.76	3,365,769.15	3,355,621.65	43,105.11		635.89		—	—	—	0.0450	MJSD	—	31,999.72	20140618	20210520
14912L6M8	CATERPILLAR FINANCIAL SERVICES			1FE	2,997,210.00	3,007,139.97	3,000,000.00	2,998,478.52	8,661.45		230.13		—	—	1.8000	1.8320	MN	20,700.00	—	20151113	20181113
14912L5T4	CATERPILLAR FINANCIAL SERVICES			1FE	1,016,550.00	1,009,779.97	1,000,000.00	1,006,166.62	3,613.35		(1,048.87	)	—	—	2.4500	2.4600	MS	1,701.39	12,250.00	20140930	20180906

14912L6J5	CATERPILLAR FINANCIAL SERVICES			1FE	3,971,720.00	3,984,240.12	4,000,000.00	3,980,939.81	3,300.31		1,555.24		—	—	2.0000	2.1690	MS	5,777.78	40,000.00	20151009	20200305
14912L6L0	CATERPILLAR FINANCIAL SERVICES			1FE	2,899,739.00	2,901,073.00	2,900,000.00	2,899,893.28	1,179.72		21.60		—	—	1.7000	1.7030	JD	14,379.17	—	20150616	20180616
14912L6W6	CATERPILLAR FINANCIAL SERVICES			1FE	1,399,160.00	1,400,882.06	1,400,000.00	1,399,170.12	1,711.94		10.12		—	—	1.9000	1.9310	MS	591.11	—	20170323	20190322
12479RAB3	CAUTO_14-1A		4	1FE	2,998,196.46	2,923,362.00	3,000,000.00	2,998,450.34	(75,088.34	)	31.85		—	—	3.6600	3.6980	MON	4,880.00	27,450.00	20141016	20441015
124857AL7	CBS CORP		2	2FE	1,973,560.00	2,006,520.08	2,000,000.00	1,986,715.51	19,804.57		1,333.34		—	—	2.3000	2.4920	FA	5,877.78	23,000.00	20140930	20190815
17119YAC1	CCART_14-BA		4	1FE	472,798.83	472,813.02	472,888.68	472,865.45	(52.43	)	17.08		—	—	1.2700	1.2820	MON	266.92	2,382.49	20140925	20190515
17305EFU4	CCCIT_14-A8		4	1FE	12,541,783.29	12,523,412.87	12,490,000.00	12,513,128.42	10,284.45		(5,523.16	)	—	—	1.7300	1.5460	AO	103,236.79	—	20151215	20200409
12515GAD9	CD_17-CD3		4	1FE	1,071,164.22	1,071,543.17	1,040,000.00	1,070,834.28	708.89		(329.94	)	—	—	3.6310	3.3100	MON	3,146.87	3,146.87	20170214	20500210
15136WAG9	CECLO_13-20A	D	4	1FE	490,825.00	502,179.85	500,000.00	491,491.93	10,687.92		215.67		—	—	3.0380	3.4600	JAJO	2,784.73	3,682.27	20160701	20260125
15137EAW3	CECLO_14-21A	D	4		250,000.00	249,331.20	250,000.00	250,000.00	(668.80	)	—		—	—	3.5090	3.5240	JAJO	536.10	—	20170310	20260727
151020AQ7	CELGENE CORPORATION			2FE	2,776,689.10	2,750,243.53	2,710,000.00	2,770,289.73	(20,046.20	)	(4,215.84	)	—	—	2.8750	2.1870	FA	9,955.48	38,956.25	20161114	20200815
BRT1UYWP9	CENGAGE LEARNING INC			4FE	3,412,550.28	3,278,788.41	3,442,297.55	3,415,456.89	(136,668.48	)	1,135.57		—	—	—	0.1250	MJSD	—	45,324.30	20160727	20230607
15672NAC8	CERB_14-1A		4		991,577.30	1,000,511.60	1,000,000.00	997,274.54	3,237.06		418.90		—	—	3.7230	4.0070	JAJO	7,653.18	9,148.89	20141205	20231015
15672NAA2	CERB_14-1A		4		879,432.69	879,629.59	879,432.69	879,432.69	196.90		—		—	—	2.9230	2.9300	JAJO	5,420.10	6,647.87	20141205	20231015
15673BAA7	CERB_16-3A	D	4		1,000,000.00	996,761.70	1,000,000.00	1,000,000.00	(3,238.30	)	—		—	—	3.4830	3.4980	JAJO	9,771.92	—	20161221	20280115
15672TAE1	CERB_2015-1A		2	1FE	496,000.00	499,971.05	500,000.00	496,719.48	3,251.57		220.76		—	—	4.0730	4.3040	JAJO	4,186.30	5,021.67	20160607	20251106
15672LAD0	CERBERUS ONSHORE II CLO LLC CE		4	1FE	497,000.00	495,138.25	500,000.00	497,911.41	(2,773.16	)	236.35		—	—	5.0230	5.2990	JAJO	5,162.70	6,235.56	20160531	20231015
156792GT4	CERRITOS CALIF CMNTY COLLEGE D			1FE	500,000.00	505,345.00	500,000.00	500,000.00	5,345.00		—		—	—	2.1650	2.1650	FA	1,804.17	5,412.50	20141120	20190801
165183AF1	CFII_16-2		4	1FE	453,489.26	453,712.36	455,000.00	453,796.28	(83.92	)	282.65		—	—	1.8800	2.1440	MON	380.18	2,138.49	20161223	20280615
17324DAU8	CGCMT_15-P1		4	1FM	1,029,952.40	1,035,989.99	1,000,000.00	1,025,484.97	10,505.02		(631.03	)	—	—	3.7170	3.3660	MON	3,097.50	9,292.50	20150819	20480915
29429CAD7	CGCMT_16-P3		4		3,604,769.00	3,519,072.90	3,500,000.00	3,595,458.80	(76,385.90	)	(2,107.42	)	—	—	3.3290	2.9830	MON	9,709.58	29,128.74	20160413	20490415
12532LAA3	CGGS COMMERCIAL MORTGAGE TRUST		4	?	5,813,806.75	5,842,493.02	5,800,000.00	5,807,749.02	34,744.00		(1,562.70	)	—	—	2.7570	2.7560	MON	13,325.50	39,976.50	20160908	20330210
14309YAQ7	CGMS_12-4A	D	4		1,500,000.00	1,493,528.85	1,500,000.00	1,500,000.00	(6,471.15	)	—		—	—	2.9300	2.9400	JAJO	8,668.24	10,656.67	20161020	20290120
14309YAY0	CGMS_12-4AR	D	4		2,000,000.00	2,005,226.00	2,000,000.00	2,000,000.00	5,226.00		—		—	—	3.6300	3.6460	JAJO	14,318.77	17,786.67	20161020	20290120
14310KAC5	CGMS_13-4	D	4	1FE	1,489,350.00	1,506,333.15	1,500,000.00	1,494,389.62	11,943.53		578.10		—	—	2.4930	2.6690	JAJO	7,687.27	9,008.33	20150128	20251015
14310MAQ0	CGMS_14-1A	D	4		2,500,000.00	2,496,148.50	2,500,000.00	2,500,000.00	(3,851.50	)	—		—	—	2.8230	2.8330	JAJO	14,507.96	18,226.39	20161209	20250417
14311DAC0	CGMS_15-1A	D	4	1FE	4,987,000.00	5,001,171.50	5,000,000.00	4,991,339.86	9,831.64		424.47		—	—	2.5600	2.6150	JAJO	25,245.53	30,810.03	20150310	20270420
125354AA8	CGRBS COMMERCIAL MORTGAGE TRUS		4	1FE	1,032,226.56	1,026,246.40	1,000,000.00	1,030,610.30	(4,363.90	)	(1,184.44	)	—	—	3.3690	2.8060	MON	2,807.50	8,422.50	20161202	20350313
BRT87NQ89	CH HOLD CORP		2	4FE	184,948.80	186,571.16	185,412.33	184,950.29	1,620.87		1.49		—	—	—	0.0360	MJSD	—	144.21	20170324	20240201
161571FU3	CHAIT_13-A1		4	1FE	3,165,795.70	3,194,009.61	3,195,000.00	3,187,430.11	6,579.50		2,150.52		—	—	1.3000	1.5790	MON	1,846.00	10,383.75	20140909	20200218
161571GT5	CHAIT_15-A2		4	1FE	489,976.04	490,656.50	490,000.00	489,992.59	663.91		2.08		—	—	1.5900	1.5970	MON	346.27	1,947.75	20150313	20200218
808513AL9	CHARLES SCHWAB CORPORATIO		2	1FE	318,656.00	316,163.21	320,000.00	318,900.65	(2,737.44	)	30.17		—	—	3.0000	3.0490	MS	560.00	4,800.00	20150310	20250310
808513AK1	CHARLES SCHWAB CORPORATIO		2	1FE	668,795.03	669,026.69	669,000.00	668,909.63	117.06		(8.09	)	—	—	1.5000	1.5090	MS	585.38	5,017.50	20150310	20180310
808513AP0	CHARLES SCHWAB CORPORATIO		2		2,270,000.00	2,241,625.00	2,270,000.00	2,270,000.00	(28,375.00	)	—		—	—	4.6250	4.6240	MS	8,748.96	35,287.47	20161031	20491231

BRT7JZEA9	CHARTER COMMUNICATION OPER LLC		2	2FE	686,498.29	690,770.92	687,904.42	686,546.43	4,224.49		55.24		—	—	—	(1.5390	)	MJSD	—	6,542.23	20170103	20240115
BRT85LB65	CHARTER COMMUNICATION OPER LLC		2	2FE	2,059,406.49	2,079,378.43	2,076,458.93	2,059,781.55	19,596.88		419.35		—	—	—	(1.0570	)	JAJO	—	5,001.65	20170301	20210103
161571GH1	CHASE ISSUANCE TRUST		4	1FE	700,000.00	702,675.37	700,000.00	700,000.00	2,675.37		—		—	—	1.3320	1.3360		MON	440.37	2,038.52	20131213	20201116
161571GQ1	CHASE ISSUANCE TRUST		4	1FE	1,040,650.00	1,040,488.77	1,040,000.00	1,040,460.03	28.74		(183.85	)	—	—	1.3800	1.3120		MON	637.87	3,588.00	20161228	20191115
161571HE7	CHASE ISSUANCE TRUST		4	1FE	15,102,478.98	14,872,914.10	15,105,000.00	15,102,893.92	(229,979.82	)	156.07		—	—	1.4900	1.4990		MON	10,002.86	56,266.11	20160727	20220715
161571FW9	CHASE ISSUANCE TRUST		4	1FE	960,000.00	961,194.73	960,000.00	960,000.00	1,194.73		—		—	—	1.1920	1.1950		MON	540.47	2,459.68	20130419	20200415
161571FQ2	CHASE ISSUANCE TRUST CHAIT_12-		4	1FE	5,000,000.00	4,921,789.95	5,000,000.00	5,000,000.00	(78,210.05	)	—		—	—	2.1600	2.1700		MON	4,800.00	27,000.00	20150204	20240916
161571HC1	CHASE ISSUANCE TRUST CHAIT_16-		4	1FE	9,999,976.00	9,923,600.80	10,000,000.00	9,999,782.95	(76,182.15	)	(60.45	)	—	—	1.3700	1.3710		MON	6,088.89	34,250.01	20160617	20210615
161630BD9	CHASE MORTGAGE FINANCE CORPORA		4	1FE	1,468,081.64	1,352,118.06	1,454,164.80	1,465,870.50	(113,752.44	)	530.76		—	—	3.1780	2.9840		MON	3,851.32	11,519.33	20080124	20370325
BRST4R1R3	CHEMOURS COMPANY LLC		4	3FE	2,957,874.36	2,984,362.54	2,989,031.41	2,964,244.26	20,118.28		1,229.97		—	—	—	0.1600		MJSD	—	26,578.93	20150528	20220512
166430AA6	CHEST_14-1A		4	1FE	2,376,000.00	2,365,046.64	2,376,000.00	2,376,000.00	(10,953.36	)	—		—	—	4.5000	4.5250		MJSD	4,752.00	27,708.75	20141216	20341215
166764BH2	CHEVRON CORP			1FE	1,750,000.00	1,743,717.48	1,750,000.00	1,750,000.00	(6,282.52	)	—		—	—	1.5610	1.5610		MN	10,244.06	—	20160516	20190516
166764BP4	CHEVRON CORP			1FE	1,000,000.00	1,002,320.02	1,000,000.00	1,000,000.00	2,320.02		—		—	—	1.9910	1.9910		MS	1,548.56	—	20170303	20200303
166764BN9	CHEVRON CORP		2	1FE	5,200,000.00	5,213,728.00	5,200,000.00	5,200,000.00	13,728.00		—		—	—	2.4980	2.4980		MS	10,103.02	—	20170303	20220303
166764BT6	CHEVRON CORP		2	1FE	2,000,000.00	2,006,139.98	2,000,000.00	2,000,000.00	6,139.98		—		—	—	2.8950	2.8950		MS	4,503.33	—	20170303	20240303
166764BL3	CHEVRON CORP		2	1FE	516,450.00	493,704.98	500,000.00	515,718.56	(22,013.58	)	(391.20	)	—	—	2.9540	2.5560		MN	5,538.75	—	20161012	20260516
166764AG5	CHEVRON CORP		2	1FE	4,070,440.00	4,044,199.84	4,000,000.00	4,048,551.51	(4,351.67	)	(4,167.54	)	—	—	2.4270	2.0240		JD	26,157.67	—	20151009	20200624
166764AV2	CHEVRON CORP			1FE	2,380,000.00	2,378,262.60	2,380,000.00	2,380,000.00	(1,737.40	)	—		—	—	1.3650	1.3650		MS	2,617.01	16,243.50	20150303	20180302
166764AY6	CHEVRON CORP		2	1FE	975,000.00	983,940.82	975,000.00	975,000.00	8,940.82		—		—	—	2.4190	2.4170		MN	8,778.96	—	20151117	20201117
BRT1ZYMR1	CHG HEALTHCARE SERVICES INC		2	4FE	768,969.56	779,596.02	772,833.72	769,400.31	10,195.71		154.56		—	—	—	0.0710		MJSD	—	9,216.29	20160621	20230607
BRSUZA516	CHI OVERHEAD DOORS INC				398,555.86	398,888.66	399,554.72	398,787.81	100.85		37.48		—	—	—	0.0360		MJSD	—	4,436.82	20150821	20220729
BRSR021B1	CHIEF POWER FINANCE LLC			4FE	3,345,308.18	2,706,094.14	3,379,099.18	3,357,804.47	(651,710.33	)	1,510.27		—	—	—	0.1310		MJSD	—	52,522.66	20150114	20201231
Q2410NAA9	CHORUS LTD			2FE	417,431.61	425,202.92	295,000.00	410,036.47	3,307.00		(4,058.31	)	—	11,859.45	6.7500	3.0192		April	24,558.50	—	20161019	20200406
BRSTEHXK4	CHS/COMMUNITY HEALTH SYSTEMS I		4	3FE	638,756.98	644,979.30	649,308.24	641,187.77	3,791.53		1,026.55		—	—	—	0.4520		MJSD	—	6,297.64	20160602	20191231
221347AJ6	CHT_16-CSMO		4		300,000.00	304,119.78	300,000.00	300,000.00	4,119.78		—		—	—	3.5620	3.5890		MON	504.65	2,547.44	20161109	20331115
12549BAC2	CIFC_13-2A	D	4	1FE	977,000.00	999,043.30	1,000,000.00	989,113.21	9,930.09		1,344.22		—	—	2.1740	2.7610		JAJO	4,407.82	5,192.05	20141229	20250421
12549CAW6	CIFC_13-3A	D	4		1,000,000.00	995,282.00	1,000,000.00	1,000,000.00	(4,718.00	)	—		—	—	—	—		JAJO	—	—	20170323	20251024
12549VAS3	CIFC_14-4	D	4	1FE	1,000,000.00	1,003,431.20	1,000,000.00	1,000,000.00	3,431.20		—		—	—	2.3770	2.3830		JAJO	4,886.73	—	20170117	20261017
17180TAA0	CIFC_16-1A	D	4		3,500,000.00	3,510,355.45	3,500,000.00	3,500,000.00	10,355.45		—		—	—	2.5830	2.5910		JAJO	25,366.08	—	20161221	20281021
BRSKAX1N1	CINCINNATI BELL INC		4		1,628,692.12	1,640,824.18	1,634,015.24	1,631,048.40	9,775.78		4,476.52		—	—	—	0.0520		MJSD	—	14,742.82	20130911	20200910
17275RBD3	CISCO SYSTEMS INC			1FE	394,241.60	394,786.70	395,000.00	394,398.80	387.90		36.07		—	—	2.2000	2.2410		FA	748.31	4,345.00	20160229	20210228
17275RBA9	CISCO SYSTEMS INC			1FE	3,300,000.00	3,302,112.00	3,300,000.00	3,300,000.00	2,112.00		—		—	—	1.4000	1.4000		FA	3,978.33	23,100.00	20160229	20180228
17275RBG6	CISCO SYSTEMS INC			1FE	10,278,537.00	10,216,673.21	10,300,000.00	10,281,648.64	(64,975.43	)	1,826.35		—	—	1.4000	1.4740		MS	4,406.12	85,291.11	20160920	20190920
17275RAU6	CISCO SYSTEMS INC			1FE	6,552,698.00	6,569,584.50	6,550,000.00	6,551,338.66	18,245.84		(272.25	)	—	—	1.6500	1.6330		JD	31,822.08	—	20150617	20180615

17305EFS9	CITIBANK CREDIT CARD MASTER TR		4	1FE	5,419,640.63	5,395,595.75	5,350,000.00	5,390,338.94	5,256.81		(4,353.00	)	—	—		2.1500	1.8120	JJ	24,283.06	57,512.50	20150601	20210715
17322VAR7	CITIGROUP COMMERCIAL MORTGAGE		4	1FE	3,125,921.00	3,082,957.53	3,034,914.83	3,086,563.23	(3,605.70	)	4,633.93		—	—		2.8510	2.2920	MON	7,210.45	26,465.33	20140807	20470710
17318UAB0	CITIGROUP COMMERCIAL MORTGAGE		4	?	5,510,534.28	5,458,989.44	5,457,029.82	5,483,016.68	(24,027.24	)	6,879.64		—	—		1.8130	1.6120	MON	8,244.66	27,195.00	20140812	20450910
U17406BD7	CITIGROUP INC			2FE	1,484,867.35	1,331,290.22	1,000,000.00	1,451,156.93	18,158.83		(9,813.51	)	—	(138,025.54	)	5.1250	1.7014	December	19,313.45	—	20160108	20181212
172967LC3	CITIGROUP INC		2	2FE	2,924,989.70	2,939,171.21	2,930,000.00	2,925,282.11	13,889.10		230.85		—	—		2.9000	2.9370	JD	26,907.16	—	20161208	20211208
172967GK1	CITIGROUP INC			2FE	5,661,425.00	5,719,725.17	5,500,000.00	5,613,445.20	106,279.97		(4,762.75	)	—	—		4.0500	3.6210	JJ	37,743.75	111,375.00	20140822	20220730
172967KD2	CITIGROUP INC		2	3FE	3,420,000.00	3,625,200.00	3,420,000.00	3,420,000.00	205,200.00		—		—	—		6.1250	6.1250	MN	79,135.00	—	20151113	20491231
172967GR6	CITIGROUP INC		2	3FE	5,661,875.00	6,000,000.00	6,000,000.00	5,670,093.24	329,906.76		852.62		—	—		5.3500	5.7230	MN	121,266.67	—	20140825	20491231
172967JN2	CITIGROUP INC			2FE	6,504,315.75	6,520,171.50	6,525,000.00	6,517,486.07	2,685.43		1,712.24		—	—		1.7000	1.8090	AO	47,451.25	—	20150427	20180427
172967KX8	CITIGROUP INC		2	2FE	3,987,360.00	4,109,480.00	4,000,000.00	3,988,349.57	121,130.43		589.98		—	—		2.4850	2.3040	MJSD	8,557.93	38,377.72	20160826	20230901
U17406FZ4	CITIGROUP INC			1FE	1,122,469.36	867,488.38	650,000.00	1,034,770.00	6,513.99		(13,906.76	)	—	(173,795.59	)	7.6250	1.0082	April	61,635.83	—	20141212	20180403
172967KW0	CITIGROUP INC			2FE	9,000,000.00	9,141,749.74	9,000,000.00	9,000,000.00	141,749.74		—		—	—		2.2250	1.9490	FMAN	32,256.12	55,233.94	20160802	20210802
172967JW2	CITIGROUP INC			1FE	199,948.00	200,636.00	200,000.00	199,976.52	659.48		4.30		—	—		2.1500	2.1590	JJ	728.61	2,150.00	20150730	20180730
172967HU8	CITIGROUP INC			2FE	994,570.00	1,008,560.03	1,000,000.00	997,306.91	11,253.12		277.03		—	—		2.5000	2.5220	JJ	4,305.56	12,500.00	20140930	20190729
172967LF6	CITIGROUP INC		2	2FE	109,956.00	110,530.20	110,000.00	109,959.18	571.02		3.18		—	—		2.4500	2.4640	JJ	606.38	—	20170110	20200110
172967HC8	CITIGROUP INC			2FE	2,033,660.00	2,016,660.00	2,000,000.00	2,012,183.39	4,476.61		(1,998.60	)	—	—		2.5000	2.0810	MS	694.44	25,000.00	20140707	20180926
172967HD6	CITIGROUP INC			2FE	670,624.50	674,102.05	650,000.00	669,729.60	4,372.45		(654.80	)	—	—		3.8750	3.3560	AO	10,914.59	—	20161129	20231025
172967KS9	CITIGROUP INC			2FE	1,219,365.60	1,218,718.96	1,220,000.00	1,219,533.06	(814.10	)	51.63		—	—		2.0500	2.0680	JD	7,919.84	—	20160609	20190607
17401QAD3	CITIZENS BANK NA		2	2FE	4,999,450.00	5,036,299.90	5,000,000.00	4,999,637.70	36,662.20		44.69		—	—		2.5000	2.5040	MS	5,902.78	62,500.00	20160314	20190314
17401QAG6	CITIZENS BANK NA		2	2FE	249,762.50	249,492.49	250,000.00	249,768.77	(276.28	)	6.27		—	—		2.2500	2.2830	MS	453.13	—	20170302	20200302
177510AC8	CITRUS RE LTD	D			1,000,000.00	1,014,070.00	1,000,000.00	1,000,000.00	14,070.00		—		—	—		5.6480	4.7780	JAJO	11,608.91	13,729.75	20150408	20180409
177510AE4	CITRUS RE LTD	D			250,000.00	254,587.50	250,000.00	250,000.00	4,587.50		—		—	—		—	9.0990	JAJO	—	5,917.72	20150408	20180409
177510AG9	CITRUS RE LTD	D			250,000.00	258,327.50	250,000.00	250,000.00	8,327.50		—		—	—		11.0080	10.6410	JAJO	5,580.23	6,856.88	20160224	20190225
177510AF1	CITRUS RE LTD	D			250,000.00	258,545.00	250,000.00	250,000.00	8,545.00		—		—	—		8.0080	7.5720	JAJO	4,059.40	4,940.21	20160224	20190225
177510AH7	CITRUS RE LTD	D			500,000.00	500,185.00	500,000.00	500,000.00	185.00		—		—	—		7.2340	7.2110	JJ	1,808.45	—	20170313	20200318
177510AD6	CITRUS RE LTD	D			650,000.00	660,614.50	650,000.00	650,000.00	10,614.50		—		—	—		7.4680	6.0440	JAJO	9,977.52	11,947.56	20150408	20180409
411707AA0	CKE RESAURANT HOLDINGS INC HNG		4	2FE	478,954.15	461,815.22	465,604.40	468,514.09	(6,698.87	)	(140.06	)	—	—		4.4740	3.7900	MJSD	636.51	5,238.27	20150302	20430320
180848DS9	CLARK CNTY NEV ARPT REV		2	1FE	4,625,530.00	4,283,561.40	3,910,000.00	4,282,641.26	920.14		(34,817.57	)	—	—		5.8600	5.8600	MN	95,469.17	—	20140930	20201101
125634AJ4	CLI FUNDING LLC CLIF_13-2A		4	1FE	341,507.65	340,959.40	353,560.00	342,580.20	(1,620.80	)	929.05		—	—		3.2200	4.2310	MON	411.12	2,933.11	20160714	20280618
125634AQ8	CLIF_14-2A		4	1FE	2,636,666.95	2,585,732.25	2,637,722.82	2,636,891.11	(51,158.86	)	63.98		—	—		3.3800	3.4110	MON	3,219.49	22,826.49	20141020	20291018
12594DAB4	CNH EQUIPMENT TRUST CNH_16-B		4	1FE	1,421,126.84	1,421,434.23	1,421,133.66	1,421,116.01	318.22		(12.16	)	—	—		1.3100	1.3120	MON	827.42	6,022.47	20160531	20191015
12618SAC1	CNH_13-D		4	1FE	28,202.61	28,193.25	28,203.75	28,203.27	(10.02	)	0.73		—	—		0.7700	0.7720	MON	9.65	110.80	20131120	20181015
12623PAD8	CNH_14-B		4	1FE	6,770,795.12	6,793,616.88	6,785,000.00	6,780,464.64	13,152.24		644.12		—	—		1.6100	1.6740	MON	4,855.05	27,309.63	20140611	20210517
12632XAD0	CNH_14-C		4	1FE	3,743,709.85	3,745,149.72	3,745,000.00	3,744,425.01	724.71		65.61		—	—		1.6500	1.6640	MON	2,746.33	15,448.14	20141023	20210915

12592WAD0	CNH_15-A		4	1FE	1,064,890.41	1,066,904.75	1,065,000.00	1,064,934.51	1,970.24		5.55		—	—	1.8500	1.8590		MON	875.67	4,925.64	20150304	20210415
12636WAD8	CNH_17-A		4	1FE	809,978.54	812,486.69	810,000.00	809,978.27	2,508.42		(0.27	)	—	—	2.0700	2.0790		MON	419.18	—	20170322	20220516
12594DAE8	CNHET_16-B		4	1FE	419,847.34	420,407.40	420,000.00	419,874.44	532.96		8.66		—	—	1.9700	1.9870		MON	367.73	2,068.50	20160531	20211115
12634GAA1	CNOOC FINANCE (2015) AUSTRALIA	D		1FE	1,994,320.00	1,996,979.98	2,000,000.00	1,996,397.00	582.98		276.63		—	—	2.6250	2.6860		MN	21,291.67	—	20150505	20200505
BRT84JAH8	CNT HOLDINGS III CORP		2	4FE	438,435.03	444,933.61	442,170.05	438,488.56	6,445.05		62.89		—	—	—	(1.3890	)	MJSD	—	3,506.21	20170301	20230122
191216BV1	COCA-COLA COMPANY (THE)			1FE	5,995,800.00	5,971,320.18	6,000,000.00	5,996,952.17	(25,631.99	)	342.53		—	—	1.3750	1.3990		MN	27,729.16	3,328.65	20160531	20190530
19416QEC0	COLGATE-PALMOLIVE CO			1FE	483,565.00	485,885.01	500,000.00	486,266.86	(381.85	)	516.32		—	—	2.1000	2.5910		MN	4,375.00	—	20151208	20230501
19416QEB2	COLGATE-PALMOLIVE CO			1FE	1,890,937.00	1,891,792.00	1,900,000.00	1,897,997.94	(6,205.94	)	456.49		—	—	0.9000	0.9980		MN	7,125.00	—	20130502	20180501
19624HAA6	COLNY_14-1		4	1FE	1,288,082.67	1,281,886.85	1,288,085.25	1,287,726.29	(5,839.44	)	8.26		—	—	2.5430	2.5310		MON	2,729.88	10,045.03	20141030	20500420
196479WE5	COLORADO HOUSING & FINANCE AUT			1FE	845,000.00	853,568.30	845,000.00	845,000.00	8,568.30		—		—	—	2.1440	2.1440		MN	7,548.67	—	20141106	20191101
196479WD7	COLORADO HOUSING & FINANCE AUT			1FE	770,000.00	775,767.30	770,000.00	770,000.00	5,767.30		—		—	—	2.0240	2.0240		MN	6,493.67	—	20141106	20190501
198280AD1	COLUMBIA PIPELINE GROUP INC		2	2FE	2,995,594.53	3,055,350.03	3,000,000.00	2,996,534.98	58,815.05		255.91		—	—	3.3000	2.9270		JD	33,000.00	—	20160513	20200601
198280AB5	COLUMBIA PIPELINE GROUP INC			2FE	769,875.23	773,418.72	770,000.00	769,931.20	3,487.52		14.34		—	—	2.4500	2.5060		JD	6,288.33	—	20160513	20180601
BRT83C0C6	COLUMBUS MCKINNON CORP		2	4FE	175,897.68	178,107.44	176,781.58	175,917.37	2,190.07		56.93		—	—	—	0.0710		MJSD	—	1,305.89	20170203	20240131
20030NBD2	COMCAST CORPORATION			1FE	2,006,540.00	2,042,099.92	2,000,000.00	2,005,140.95	36,958.97		(221.88	)	—	—	3.1250	3.0720		JJ	13,194.44	31,250.00	20150812	20220715
20030NBV2	COMCAST CORPORATION		2	1FE	1,659,166.75	1,608,402.03	1,675,000.00	1,660,470.31	(52,068.28	)	721.59		—	—	1.6250	1.8150		JJ	5,746.18	13,306.95	20160719	20220115
12626BAE4	COMM MORTGAGE TRUST COMM_13-CR		4		3,107,671.88	3,018,407.64	2,870,000.00	3,068,228.91	(49,821.27	)	(13,290.48	)	—	—	3.7950	1.8710		MON	9,076.38	27,229.14	20160624	20460810
12626BAB0	COMM MORTGAGE TRUST COMM_13-CR		4	1FM	1,043,710.94	1,016,962.10	1,000,000.00	1,028,124.58	(11,162.48	)	9,208.86		—	—	2.9720	2.1250		MON	2,476.66	7,429.98	20150330	20460810
12592RBF5	COMM MORTGAGE TRUST COMM_14-CR		4	1FM	1,812,207.04	1,791,772.52	1,750,000.00	1,798,087.68	(6,315.16	)	(3,262.06	)	—	—	3.5280	3.0560		MON	5,145.00	15,435.00	20150311	20471210
12591RAX8	COMM MORTGAGE TRUST COMM_14-CR		4		2,807,496.48	2,757,262.48	2,710,000.00	2,775,111.59	(17,849.11	)	16,638.93		—	—	2.9280	2.2920		MON	6,612.40	19,837.20	20150304	20470210
12632QAX1	COMM MORTGAGE TRUST COMM_14-CR		4		7,209,485.92	7,309,539.79	7,000,000.00	7,154,771.52	154,768.27		(4,468.16	)	—	—	3.8280	3.4740		MON	22,330.00	71,351.79	20140627	20470715
12592XAZ9	COMM MORTGAGE TRUST COMM_15-CR		4	?	1,601,627.13	1,583,580.85	1,555,000.00	1,588,326.09	(4,745.24	)	5,272.65		—	—	2.8560	2.3800		MON	3,700.90	11,102.70	20150325	20480310
200474BC7	COMM MORTGAGE TRUST COMM_15-LC		4	1FE	1,503,713.19	1,465,124.57	1,460,000.00	1,495,801.76	(30,677.19	)	32.53		—	—	3.1830	2.8690		MON	3,872.65	14,093.62	20150204	20480210
12624BAC0	COMM_12-CCRE1		4		6,178,212.70	5,945,908.93	5,723,879.76	6,101,275.47	(155,366.54	)	(44,762.10	)	—	—	3.3910	0.7420		MON	16,174.73	54,664.72	20160826	20450515
126192AD5	COMM_12-LC4		4		811,507.81	783,757.59	760,000.00	802,529.18	(18,771.59	)	(2,836.95	)	—	—	3.2880	1.6690		MON	2,082.40	6,247.20	20160621	20441210
12630BAX6	COMM_13-CR13		4	1FM	1,049,023.44	1,018,662.90	1,000,000.00	1,021,371.50	(2,708.60	)	(3,876.35	)	—	—	3.0390	1.5730		MON	2,532.50	7,597.50	20150417	20181210
12624XAB4	COMM_13-CR6		4	?	1,358,975.39	1,350,474.12	1,345,000.00	1,352,448.38	(1,974.26	)	2,287.29		—	—	2.1220	1.9220		MON	2,378.41	7,135.23	20140916	20460310
12625KAE5	COMM_13-CR8		4	?	30,725.39	31,268.40	30,000.00	30,695.76	572.64		(26.87	)	—	—	3.6120	3.1950		MON	90.30	270.90	20161222	20460610
12625UBA0	COMM_13-CR9		4		2,382,617.19	2,317,568.04	2,200,000.00	2,351,927.79	(34,359.75	)	(10,112.55	)	—	—	3.8340	1.8890		MON	7,029.00	21,087.00	20160623	20450710
12626GAF0	COMM_13-LC13		4	?	1,174,185.55	1,152,722.53	1,075,000.00	1,148,963.08	3,759.45		(2,663.80	)	—	—	4.2050	2.9710		MON	3,766.98	14,816.79	20141204	20460810
12591VAB7	COMM_14-CCRE16		4		5,149,950.85	5,093,188.00	5,000,000.00	5,058,112.07	35,075.93		(9,461.22	)	—	—	3.0420	2.3850		MON	12,675.00	38,025.00	20140409	20470410
12592GAZ6	COMM_14-CCRE19		4	1FM	1,045,429.68	1,016,963.00	1,000,000.00	1,031,696.52	(14,733.52	)	5,332.10		—	—	2.9650	2.2020		MON	2,470.84	7,412.52	20150330	20470810
12630DAW4	COMM_14-CR14		4	1FE	4,311,792.18	4,167,150.32	3,970,000.00	4,263,914.39	(96,764.07	)	(17,570.03	)	—	—	3.7430	1.8080		MON	12,383.09	41,676.22	20160729	20470210
12591VAE1	COMM_14-CR16		4		1,623,144.14	1,557,479.64	1,470,000.00	1,589,512.10	(32,032.46	)	(3,882.50	)	—	—	4.0510	2.7410		MON	4,962.47	14,887.41	20150210	20470410

12631DAX1	COMM_14-CR17		4		4,588,620.24	4,523,124.08	4,455,000.00	4,533,685.27	(10,561.19	)	23,755.00		—	—	3.0120	2.5350	MON	11,182.05	33,546.15	20140513	20470510
12632QAT0	COMM_14-CR18		4		3,295,997.06	3,248,227.20	3,200,000.00	3,257,126.35	(8,899.15	)	2,599.31		—	—	2.9240	2.4350	MON	7,797.33	23,391.99	20140627	20470715
12591TAB2	COMM_14-LC15		4	1FM	1,041,445.31	1,014,946.80	1,000,000.00	1,028,408.24	(13,461.44	)	865.72		—	—	2.8400	2.1040	MON	2,366.67	7,100.01	20150420	20470410
12592MBG4	COMM_14-LC17		4	1FM	1,776,500.00	1,781,855.04	1,700,000.00	1,758,126.55	23,728.49		(3,045.02	)	—	—	3.6200	2.8180	MON	5,128.33	15,384.99	20150918	20471010
12592EAA6	COMM_14-PAT		4		1,095,000.00	1,094,656.83	1,095,000.00	1,095,000.00	(343.17	)	—		—	—	1.7130	1.7190	MON	989.97	4,233.77	20140930	20270813
12593JBB1	COMM_15-CCRE24		4	?	692,036.72	683,820.29	670,000.00	686,696.40	(2,876.11	)	(1,262.99	)	—	—	3.0220	2.2190	MON	1,687.28	5,061.84	20160307	20550810
12593JBF2	COMM_15-CCRE24		4	?	4,215,937.50	4,128,282.02	4,000,000.00	4,201,879.17	(73,597.15	)	(4,908.21	)	—	—	3.6960	2.6840	MON	12,320.00	36,960.00	20151210	20480810
12592XBE5	COMM_15-CR22		4,6	1FE	2,394,040.74	1,803,865.99	33,896,933.44	1,852,865.16	(48,999.17	)	(72,944.41	)	—	—	1.1480	3.9810	MON	28,598.84	86,007.85	20150325	20480310
12592XBD7	COMM_15-CR22		4	1FM	2,085,588.48	2,036,441.28	2,025,000.00	2,074,828.66	(38,387.38	)	(648.11	)	—	—	3.3090	2.9800	MON	5,583.94	16,751.82	20150325	20480310
12629NAB1	COMM_15-DC1		4		1,931,205.02	1,902,581.27	1,875,000.00	1,910,786.50	(8,205.23	)	(1,761.83	)	—	—	2.8700	2.2980	MON	4,484.38	13,453.14	20150304	20480210
12629NAF2	COMM_15-DC1		4	?	4,687,921.88	4,571,157.32	4,550,000.00	4,661,893.77	(90,736.45	)	(2,457.24	)	—	—	3.3500	3.0030	MON	12,702.07	38,106.24	20150316	20480210
12636FBF9	COMM_15-LC23		4	?	3,305,108.99	3,237,316.47	3,155,000.00	3,281,524.18	(44,207.71	)	963.74		—	—	3.2210	2.3830	MON	8,468.55	25,405.65	20160329	20531010
12635WAA5	COMM_16-787S		4	1FM	1,716,879.72	1,700,432.52	1,667,000.00	1,712,275.50	(11,842.98	)	(1,102.06	)	—	—	3.5450	3.2140	MON	3,447.22	14,773.80	20160310	20360210
12635WAE7	COMM_16-787S		4	1FM	686,529.27	691,259.39	667,000.00	684,462.91	6,796.48		(464.24	)	—	—	3.9600	3.2020	MON	1,490.92	6,389.67	20160310	20360210
2027A0HW2	COMMONWEALTH BANK AUSTRALIA	D		1FE	2,247,862.50	2,191,387.43	2,250,000.00	2,248,095.86	(56,708.43	)	101.35		—	—	2.0000	2.0200	MS	3,125.00	22,500.00	20160906	20210906
20271RAN0	COMMONWEALTH BANK OF AUSTRALIA			1FE	2,132,224.50	2,138,928.36	2,135,000.00	2,133,172.96	5,755.40		226.15		—	—	2.0500	2.0950	MS	1,945.22	21,883.75	20160315	20190315
20271RAF7	COMMONWEALTH BANK OF AUSTRALIA			1FE	648,063.75	648,637.82	645,000.00	647,830.58	807.24		(233.17	)	—	—	2.2500	2.0190	MS	725.63	7,256.25	20170201	20190313
20271RAJ9	COMMONWEALTH BANK OF AUSTRALIA			1FE	12,284,849.55	12,306,151.23	12,300,000.00	12,295,079.22	11,072.01		1,275.07		—	—	1.6250	1.6680	MS	10,548.96	99,937.50	20150312	20180312
20271RAL4	COMMONWEALTH BANK OF AUSTRALIA			1FE	339,741.60	339,479.80	340,000.00	339,861.75	(381.95	)	21.33		—	—	1.7500	1.7760	MN	2,462.64	—	20151102	20181102
20281PCB6	COMMONWEALTH FING AUTH PA			1FE	2,254,340.00	2,157,980.00	2,000,000.00	2,122,406.08	35,573.92		(13,495.83	)	—	—	5.8920	5.8920	JD	39,280.00	—	20140930	20190601
20281PCA8	COMMONWEALTH FING AUTH PA			1FE	564,185.00	522,800.00	500,000.00	520,963.31	1,836.69		(4,379.02	)	—	—	5.7920	5.7920	JD	9,653.33	—	20140930	20180601
BRSWYJ431	COMMSCOPE INC.			3FE	239,564.54	241,128.41	240,127.80	239,664.46	1,463.95		80.72		—	—	—	0.0330	MJSD	—	2,194.24	20160104	20221229
BRSTEGNQ4	COMMUNITY HLTH SYST INC		4	3FE	949,998.82	967,249.99	982,187.09	951,545.82	15,704.17		1,140.62		—	—	—	0.8150	MJSD	—	5,167.19	20160824	20210127
BRSR05TD0	COMPONENT HARDWARE GROUP INC				2,982,352.94	2,922,705.88	2,982,352.94	2,982,352.94	(59,647.06	)	—		—	—	—	—	JAJO	—	41,182.56	20141209	20190701
20772JKM3	CONNECTICUT (STATE OF)			1FE	2,273,043.50	2,284,213.75	2,275,000.00	2,273,979.14	10,234.61		96.66		—	—	1.8960	1.9140	AO	19,889.57	8,637.33	20141031	20191015
20772JQK1	CONNECTICUT (STATE OF)			1FE	2,556,975.00	2,524,350.00	2,500,000.00	2,520,566.38	3,783.62		(3,641.18	)	—	—	2.1720	1.5650	FA	6,938.33	27,150.00	20140926	20180815
20772JQN5	CONNECTICUT (STATE OF)			1FE	544,240.00	526,540.00	500,000.00	540,762.54	(14,222.54	)	(2,214.14	)	—	—	3.5170	1.5810	FA	2,246.97	8,792.50	20161110	20210815
20774YYL5	CONNECTICUT ST HEALTH & EDL FA		2	1FE	572,285.00	549,300.00	500,000.00	565,894.24	(16,594.24	)	(1,518.41	)	—	—	5.0000	3.3210	JD	8,333.34	—	20160311	20451201
20826FAJ5	CONOCOPHILLIPS CO		2	1FE	3,996,240.00	4,014,080.20	4,000,000.00	3,997,598.23	16,481.97		184.28		—	—	2.2000	2.2200	MN	33,244.44	—	20150518	20200515
20826FAE6	CONOCOPHILLIPS CO		2	1FE	2,467,452.00	2,629,276.18	2,600,000.00	2,489,939.07	139,337.11		5,283.23		—	—	2.8750	3.8710	MN	28,238.89	—	20160411	20211115
20826FAL0	CONOCOPHILLIPS CO			1FE	6,609,206.80	6,595,722.40	6,610,000.00	6,609,697.41	(13,975.01	)	66.41		—	—	1.5000	1.5040	MN	37,456.67	5,512.50	20150518	20180515
20826FAS5	CONOCOPHILLIPS CO		2	1FE	994,502.50	1,060,630.28	995,000.00	994,606.59	66,023.69		22.50		—	—	4.2000	4.2110	MS	1,857.33	20,895.00	20160308	20210315
209111EV1	CONSOLIDATED EDISON INC			1FE	2,385,140.00	2,173,039.86	2,000,000.00	2,158,356.67	14,683.19		(23,008.64	)	—	—	7.1250	7.1760	JD	47,500.00	—	20140930	20181201
216871AC7	COOPER US INC			2FE	3,765,604.60	3,295,925.20	3,260,000.00	3,297,901.89	(1,976.69	)	(37,485.41	)	—	—	6.1000	1.4420	JJ	49,715.00	99,430.00	20150316	20170701

21870LAA4	CORE_15-CALW		4	?	14,880,748.85	14,580,603.25	14,280,000.00	14,797,566.52	(216,963.27	)	(25,506.61	)	—	—		3.0400	2.4100		MON	36,175.99	108,527.97	20160831	20340210
21870PAA5	CORE_15-TEXW		4	1FM	1,671,500.00	1,634,176.04	1,600,000.00	1,665,627.76	(31,451.72	)	(2,932.60	)	—	—		3.0770	2.1860		MON	4,102.66	12,307.98	20161017	20340210
219350BA2	CORNING INC			2FE	5,349,667.35	5,390,465.04	5,403,000.00	5,375,583.25	14,881.79		6,172.22		—	—		1.5000	1.9680		MN	32,192.87	4,772.92	20150508	20180508
219868BW5	CORP ANDINA DE FOMENTO	D		1FE	1,874,831.25	1,870,087.48	1,875,000.00	1,874,880.41	(4,792.93	)	13.77		—	—		2.0000	2.0030		MN	14,687.50	—	20160510	20190510
BRSTZUYC9	CORPORATE VISIONS INC				3,031,770.57	2,679,595.21	3,062,394.53	3,033,355.11	(353,759.90	)	644.25		—	—		—	0.0290		FMAN	—	43,196.91	20150615	20491231
BRSTZV1D1	CORPORATE VISIONS INC				36,846.38	32,240.58	36,846.38	36,846.38	(4,605.80	)	—		—	—		—	—		FMAN	—	318.13	20161108	20210529
22160KAE5	COSTCO WHOLESALE CORPORATION			1FE	174,965.00	174,832.00	175,000.00	174,994.98	(162.98	)	1.75		—	—		1.1250	1.1290		JD	579.69	—	20121207	20171215
BRT67M737	COTY INC			2FE	822,706.62	828,317.84	826,252.21	822,951.04	5,366.80		161.59		—	—		—	0.0210		MJSD	—	7,017.72	20161101	20221027
G2479P4N2	COVENTRY BLDG SOC			1FE	2,068,212.46	1,829,722.58	1,405,000.00	1,994,204.83	1,080.63		(18,163.83	)	—	(165,562.87	)	4.6250	1.0521		April	77,248.66	—	20150113	20180419
BRSSLXJJ2	CPM HOLDINGS INC				956,038.78	977,163.40	965,695.76	958,677.51	18,485.89		345.59		—	—		—	0.1440		MJSD	—	14,004.47	20150512	20220401
12593CAE1	CPPIB CAPITAL INC	A		1FE	983,835.12	987,979.98	1,000,000.00	984,041.96	3,938.02		206.84		—	—		1.2500	1.9150		MS	381.94	—	20170320	20190920
224287AA0	CRANBERRY RE LTD	D		4FE	975,000.00	995,397.00	975,000.00	975,000.00	20,397.00		—		—	—		3.8600	—		JAJO	7,945.17	10,188.98	20150430	20180706
BRT8GP371	CREATIVE ARTISTS AGENCY LLC		2	4FE	1,087,399.68	1,101,026.25	1,090,125.00	1,087,408.32	13,617.93		15.47		—	—		—	0.0360		MJSD	—	3.40	20170324	20240215
22532LAL8	CREDIT AGRICOLE SA/LONDON	D		1FE	3,994,960.00	4,018,760.08	4,000,000.00	3,997,868.78	20,891.30		250.64		—	—		2.5000	2.5270		AO	46,111.11	—	20140415	20190415
225401AB4	CREDIT SUISSE GROUP	D	2	2FE	7,000,000.00	6,986,140.15	7,000,000.00	7,000,000.00	(13,859.85	)	—		—	—		3.5740	3.5740		JJ	56,985.44	—	20170109	20230109
225433AP6	CREDIT SUISSE GROUP FUNDING GU	D		2FE	2,400,000.00	2,501,575.20	2,400,000.00	2,400,000.00	101,575.20		—		—	—		3.3140	2.3220		JAJO	16,126.77	19,452.91	20161118	20210416
225433AH4	CREDIT SUISSE GROUP FUNDING GU	D		2FE	551,397.00	557,076.85	550,000.00	551,347.07	5,729.78		(38.40	)	—	—		3.8000	3.7500		MS	928.89	10,450.00	20161202	20220915
22546QAV9	CREDIT SUISSE NEW YORK NY			1FE	248,395.00	249,652.50	250,000.00	249,356.12	296.38		146.58		—	—		1.7000	1.9440		AO	1,818.06	—	20150812	20180427
22546QAT4	CREDIT SUISSE NEW YORK NY			1FE	1,382,290.22	1,382,469.88	1,382,000.00	1,382,115.23	354.65		(34.12	)	—	—		1.7500	1.7400		JJ	4,165.19	12,092.50	20151116	20180129
14889KAE2	CRMN_15-1A	D	4		742,800.00	755,708.93	750,000.00	744,428.20	11,280.73		194.84		—	—		4.1410	4.3020		JAJO	5,866.73	7,548.79	20150505	20270422
22845RAC7	CRNPT_13-2A	D	4		250,550.00	249,637.00	250,000.00	250,518.82	(881.82	)	(31.18	)	—	—		2.9530	2.8980		JAJO	1,517.60	—	20170119	20231231
BRSL3FE10	CROSBY US ACQUISITION CORP			4FE	1,990,558.72	1,837,966.79	1,993,050.00	1,991,738.52	(153,771.73	)	92.21		—	—		—	0.0180		JAJO	—	20,447.79	20131219	20201123
3137BUQZ4	CS7468		4		4,551,669.14	4,498,898.66	4,391,118.86	4,548,999.35	(50,100.69	)	(6,650.76	)	—	—		3.5000	2.7660		MON	12,807.43	26,052.44	20170131	20430515
126281AX2	CSAIL COMMERCIAL MORTGAGE TRUS		4	?	2,488,428.66	2,472,082.83	2,425,000.00	2,470,812.21	1,270.62		3,282.58		—	—		2.9700	2.4440		MON	6,001.68	23,944.84	20150601	20500415
126281AZ7	CSAIL_15-C1		4	1FM	3,270,230.95	3,254,629.66	3,175,000.00	3,254,353.38	276.28		654.90		—	—		3.5050	3.1880		MON	9,273.65	27,820.95	20150320	20500415
BRT96WMF6	CSC HOLDINGS LLC			3FE	472,310.13	472,903.48	474,683.54	472,310.13	593.35		—		—	—		—	0.0610		MJSD	—	—	20170613	20250715
BRT4WBMM9	CSC HOLDINGS LLC		2	4FE	1,958,440.18	1,977,388.16	1,983,173.07	1,959,159.13	18,229.03		775.44		—	—		—	(2.0990	)	MJSD	—	30,208.93	20170103	20241011
BRT92S154	CSC HOLDINGS LLC		2	3FE	1,855,494.38	1,860,156.42	1,864,818.47	1,855,494.38	4,662.04		—		—	—		—	0.0610		MJSD	—	—	20170613	20250715
22541QFV9	CSFB_03-17		4	1FM	281,000.08	277,024.26	276,183.45	280,683.58	(3,659.32	)	(140.47	)	—	—		5.5000	4.9570		MON	1,265.84	4,100.21	20140930	20330625
225470XD0	CSMC_06-0MA		4	1FE	650,976.56	640,535.70	600,000.00	645,159.83	(4,624.13	)	(3,927.55	)	—	—		5.5380	2.6940		MJSD	2,769.00	8,307.00	20161118	20230515
46645NAA1	CSMC_11-7R		4	1FM	403,906.25	402,455.99	400,000.00	403,464.34	(1,008.35	)	341.86		—	—		2.9620	2.7080		MON	987.18	2,961.54	20161017	20281005
BRSLMULK6	CUMULUS MED INC.		4	4FE	2,093,468.21	1,573,414.92	2,111,966.34	2,100,884.11	(527,469.19	)	(874,141.41	)	—	—		—	0.1410		MJSD	—	9,340.98	20140930	20201223
BRSVA6HU3	CUSTOM WINDOW SYSTEMS INC				391,991.31	376,311.63	391,991.31	391,991.31	(15,679.68	)	—		—	—		—	—		MJSD	—	4,928.09	20151218	20190731
BRSVA6N02	CUSTOM WINDOW SYSTEMS INC				3,919,919.52	3,763,122.74	3,919,919.52	3,919,919.52	(156,796.78	)	—		—	—		—	—		MJSD	—	36,707.30	20150817	20190731

126650CE8	CVS HEALTH CORP		2	2FE	7,546,311.30	7,540,720.09	7,495,000.00	7,536,039.84	4,680.25		(3,881.75	)	—	—		2.2500	2.0020		FA	22,953.47	87,978.13	20141223	20190812
126650CJ7	CVS HEALTH CORP		2	2FE	2,868,677.10	2,905,044.93	2,860,000.00	2,865,945.95	39,098.98		(538.29	)	—	—		2.8000	2.7300		JJ	15,793.56	40,040.00	20150924	20200720
126650CT5	CVS HEALTH CORP		2	2FE	2,443,164.50	2,405,507.95	2,450,000.00	2,444,274.54	(38,766.59	)	371.02		—	—		2.1250	2.1840		JD	17,354.17	8,972.22	20160525	20210601
12668AZL2	CWALT_05-73CB		4	?	165,322.20	160,254.24	168,534.90	165,369.30	(5,115.06	)	(1,052.95	)	—	—		5.5000	5.8770		MON	772.45	2,412.91	20080107	20351225
BRT6D2NM4	CWGS GROUP LLC			4FE	1,500,541.28	1,513,053.71	1,507,400.96	1,500,835.91	12,217.80		233.64		—	—		—	0.0650		MJSD	—	15,272.30	20161201	20231108
BRT7BQ0B0	DAIMLER AG	B			567,346.51	563,294.91	450,000.00	567,596.37	3,024.25		220.47		—	(7,325.71	)	1.0000	1.1590		DEC	1,572.48	—	20161220	20191220
BRT8UTWG5	DAIMLER AG	B			430,870.58	437,737.94	330,000.00	430,466.26	683.27		(404.32	)	—	6,588.41		2.7500	1.0960		DEC	3,668.62	—	20170309	20201204
D1668RML8	DAIMLER AG			1FE	825,838.42	654,156.41	520,000.00	818,125.68	2,278.08		(1,774.89	)	—	(166,247.35	)	1.7500	0.6082		November	4,489.29	—	20141210	20171108
233851CN2	DAIMLER FINANCE NORTH AMERICA				1,000,230.00	1,001,070.02	1,000,000.00	1,000,227.29	842.73		(2.71	)	—	—		2.3000	2.2910		JJ	5,430.56	—	20170307	20200106
233851BF0	DAIMLER FINANCE NORTH AMERICA			1FE	5,002,681.00	5,019,548.20	5,020,000.00	5,018,018.06	1,530.14		1,450.23		—	—		1.3750	1.4930		FA	11,504.16	34,512.50	20140801	20170801
BRSTB5SJ2	DAIMLER FINANCE NORTH AMERICA			1FE	3,495,520.00	3,494,879.50	3,500,000.00	3,498,286.72	(3,407.22	)	372.80		—	—		1.6500	1.6940		MN	21,335.42	—	20150518	20180518
233851CH5	DAIMLER FINANCE NORTH AMERICA			1FE	6,171,191.20	6,085,909.52	6,260,000.00	6,177,853.69	(91,944.17	)	4,540.48		—	—		2.0000	2.3240		JJ	29,561.11	62,600.00	20160706	20210706
233851CD4	DAIMLER FINANCE NORTH AMERICA			1FE	3,333,000.00	3,349,595.01	3,333,000.00	3,333,000.00	16,595.01		—		—	—		1.7390	1.5980		JAJO	13,843.98	13,610.29	20160706	20190705
233851CM4	DAIMLER FINANCE NORTH AMERICA			1FE	699,006.00	692,524.00	700,000.00	699,142.24	(6,618.24	)	80.67		—	—		1.7500	1.7990		AO	5,138.19	—	20161031	20191030
BRSP6FWM2	DAIMLER FINANCE NORTH AMERICA			1FE	1,788,807.25	1,794,709.21	1,795,000.00	1,794,291.31	417.90		518.55		—	—		1.3750	1.4930		FA	4,113.54	12,340.63	20140801	20170801
233851BP8	DAIMLER FINANCE NORTH AMERICA			1FE	1,673,593.00	1,673,727.00	1,675,000.00	1,674,561.85	(834.85	)	116.77		—	—		1.6500	1.6790		MS	2,226.36	13,818.75	20150302	20180302
233851CU6	DAIMLER FINANCE NORTH AMERICA			1FE	263,934.70	265,776.47	265,000.00	263,955.81	1,820.66		21.11		—	—		3.4500	3.4980		JJ	2,158.65	—	20170106	20270106
N3114MAG8	DAIMLER INTERNATIONAL FINANCE			1FE	886,022.49	837,309.11	635,000.00	874,373.16	(5,487.40	)	(7,633.17	)	—	(31,576.65	)	3.5000	2.1836		June	22,765.98	10,915.98	20160928	20190606
2354167B4	DALLAS TEX			1FE	1,750,000.00	1,760,902.50	1,750,000.00	1,750,000.00	10,902.50		—		—	—		1.9600	1.9600		AO	17,150.00	—	20150325	20191001
2354167C2	DALLAS TEX			1FE	1,500,000.00	1,510,440.00	1,500,000.00	1,500,000.00	10,440.00		—		—	—		2.2100	2.2100		AO	16,575.00	—	20150325	20201001
235308QJ5	DALLAS TEX INDPT SCH DIST			1FE	6,936,930.00	6,640,200.00	6,300,000.00	6,607,205.83	32,994.17		(39,717.59	)	—	—		4.2500	1.6000		FA	34,212.51	133,875.00	20150302	20190215
235851AN2	DANAHER CORPORATION			1FE	4,637,073.56	4,638,648.95	4,638,000.00	4,637,783.31	865.64		36.51		—	—		1.6500	1.6530		MS	3,401.19	39,682.91	20150915	20180915
23636TAD2	DANONE SA	D	2	2FE	950,000.00	918,602.50	950,000.00	950,000.00	(31,397.50	)	—		—	—		2.5890	2.5870		MN	10,179.81	—	20161102	20231102
23636TAB6	DANONE SA	D		2FE	5,125,000.00	5,055,453.65	5,125,000.00	5,125,000.00	(69,546.35	)	—		—	—		1.6910	1.6910		AO	35,869.18	—	20161102	20191030
23636BAK5	DANSKE BK A/S	D			1,797,930.00	1,797,210.00	1,800,000.00	1,797,984.70	(774.70	)	54.70		—	—		2.2000	2.2400		MS	3,190.00	—	20170302	20200302
23636AAE1	DANSKE BK A/S	D		1FE	1,839,576.80	1,853,965.66	1,840,000.00	1,839,661.67	14,303.99		20.01		—	—		2.8000	2.8050		MS	3,005.33	25,760.00	20160310	20210310
23636AAF8	DANSKE BK A/S	D		1FE	2,796,416.00	2,765,280.06	2,800,000.00	2,797,078.00	(31,797.94	)	290.34		—	—		1.6500	1.6940		MS	3,208.33	22,843.33	20160908	20190906
23636AAK7	DANSKE BK A/S	D		1FE	1,008,838.50	1,008,151.71	1,010,000.00	1,008,868.24	(716.53	)	29.74		—	—		2.2000	2.2450		MJSD	1,789.94	—	20170302	20200302
23312LAS7	DBJPM_16-C1		4	1FE	2,059,982.60	2,008,254.00	2,000,000.00	2,055,354.28	(47,100.28	)	(565.84	)	—	—		3.2760	2.9630		MON	5,460.00	16,380.00	20160419	20490510
254683BJ3	DCENT_14-3		4	1FE	1,029,736.32	1,030,000.00	1,030,000.00	1,029,955.89	44.11		45.53		—	—		1.2200	1.2310		MON	558.49	3,141.51	20140505	20191015
254683BP9	DCENT_15-A2		4	1FE	2,099,363.70	2,097,276.15	2,100,000.00	2,099,601.67	(2,325.52	)	31.77		—	—		1.9000	1.9140		MON	1,773.33	9,975.00	20150429	20221017
254683BV6	DCENT_16-A4		4	1FE	1,999,687.50	1,980,677.94	2,000,000.00	1,999,724.37	(19,046.43	)	19.82		—	—		1.3900	1.3980		MON	1,235.55	6,950.01	20161012	20220315
Z91S44T73	DELAMARE CARDS MTN ISSUER PLC	B	4	1FE	991,250.00	813,402.09	650,000.00	991,250.00	609.59		—		—	(178,457.50	)	0.9060	0.9080		MON	242.20	1,828.53	20150513	20200419
BRT8FBZ11	DELL INTERNATIONAL LLC		2	2FE	3,692,592.82	3,722,303.95	3,708,397.45	3,692,692.83	29,611.12		100.01		—	—		—	(1.3560	)	MJSD	—	7,599.50	20170317	20230907

BRSP9DPN0	DELTA 2 (LUX) SARL		D	4		3,530,276.10	3,544,847.80	3,548,016.18	3,535,070.21	9,777.59		(1,116.44	)	—	—		—	0.0530		MJSD	—	53,140.96	20140917	20240201
BRSM6R0M8	DELTA AIR LINES INC			4	2FE	2,617,799.38	2,653,576.41	2,637,912.49	2,630,931.94	22,644.47		1,152.50		—	—		—	0.1690		FMAN	—	29,261.39	20140430	20181018
249670AA8	DEPOSITORY TRUST & CLEARING CO			2	1FE	1,750,000.00	1,785,000.00	1,750,000.00	1,750,000.00	35,000.00		—		—	—		4.8750	4.8730		JD	25,119.79	—	20150527	20491231
25156PAW3	DEUTSCHE TELEKOM INTERNATIONAL		D		2FE	974,415.00	974,142.03	975,000.00	974,452.56	(310.53	)	37.56		—	—		2.2250	2.2460		JJ	4,338.75	—	20170119	20200117
25156PAS2	DEUTSCHE TELEKOM INTERNATIONAL		D		2FE	2,997,210.00	2,951,550.06	3,000,000.00	2,997,698.66	(46,148.60	)	256.80		—	—		1.5000	1.5320		MS	1,500.00	28,208.33	20160919	20190919
BRSP09RB2	DEXIA CREDIT LOCAL SA		B		1FE	2,798,284.18	2,259,047.96	1,800,000.00	2,784,377.82	4,628.62		(3,749.55	)	—	(529,958.47	)	1.8750	1.3160		JUL	29,830.94	—	20160430	20170717
BRT1UYV70	DFUND_16-1		B	4		720,394.99	624,500.23	496,327.80	720,394.99	3,867.13		—		—	(99,761.89	)	1.1270	1.1280		JAJO	1,417.61	1,937.74	20160527	20630417
25243YAT6	DIAGEO CAPITAL PLC		D		1FE	2,485,750.00	2,489,625.00	2,500,000.00	2,496,856.32	(7,231.32	)	715.56		—	—		1.1250	1.2430		AO	11,875.00	—	20130429	20180429
25272KAA1	DIAMOND 1 FINANCE CORPORATION/				2FE	6,918,270.00	7,086,287.60	6,920,000.00	6,918,732.72	167,554.88		138.86		—	—		3.4800	3.4890		JD	80,272.00	—	20160601	20190601
BRT0QFE77	DIEBOLD INCORPORATED			2	3FE	2,084,264.11	2,124,090.36	2,093,989.27	2,082,165.09	41,925.27		(569.78	)	—	—		—	(0.1160	)	MJSD	—	27,809.77	20160511	20231106
BRT7L2220	DIGITALGLOBE INC			2	3FE	1,864,390.49	1,874,515.19	1,869,063.13	1,864,560.94	9,954.25		174.83		—	—		—	0.0350		MJSD	—	17,046.68	20161228	20240115
BRSR4UG37	DISA HOLDINGS A/S		C			143,257.18	142,540.89	143,257.18	143,257.18	(716.29	)	—		—	—		—	—		MJSD	—	1,991.67	20151231	20201209
BRSR4UG78	DISA HOLDINGS ACQUISITION SUBS					5,414,453.06	5,360,308.53	5,414,453.06	5,414,453.06	(54,144.53	)	—		—	—		—	—		MJSD	—	76,297.29	20141224	20201209
254683BL8	DISCOVER CARD MASTER TRUST			4	1FE	2,499,783.50	2,501,225.10	2,500,000.00	2,499,880.88	1,344.22		10.17		—	—		1.3900	1.3960		MON	1,544.44	8,687.49	20141016	20200415
254683BK0	DISCOVER CARD MASTER TRUST			4	1FE	1,289,489.07	1,269,832.70	1,260,000.00	1,281,606.28	(11,773.58	)	(2,570.59	)	—	—		2.1200	1.3310		MON	1,187.20	9,015.30	20160620	20211215
254683BB0	DISCOVER CARD MASTER TRUST			4		3,950,000.00	3,956,915.27	3,950,000.00	3,950,000.00	6,915.27		—		—	—		1.2120	1.2150		MON	2,261.13	11,712.32	20130213	20200817
25470DAM1	DISCOVERY COMMUNICATIONS LLC			2	2FE	114,782.65	114,311.15	115,000.00	114,784.07	(472.92	)	1.42		—	—		3.8000	3.8310		MS	218.50	—	20170313	20240313
254845GB0	DISTRICT COLUMBIA WTR & SWR AU			2	1FE	569,945.00	529,740.00	500,000.00	526,668.13	3,071.87		(4,335.11	)	—	—		5.0000	4.8520		AO	12,500.00	—	20140930	20241001
25476FHE1	DISTRICT OF COLUMBIA				1FE	5,731,050.00	5,238,600.00	5,000,000.00	5,235,307.53	3,292.47		(49,531.28	)	—	—		5.0000	4.0220		JD	83,333.33	—	20140930	20180601
25476FLG1	DISTRICT OF COLUMBIA				1FE	1,083,200.00	1,005,790.00	1,000,000.00	1,006,024.12	(234.12	)	(8,888.03	)	—	—		4.6130	1.0000		JD	15,376.67	—	20150130	20170601
254764JW4	DISTRICT OF COLUMBIA			2	1FE	1,142,230.00	1,132,810.00	1,000,000.00	1,139,412.36	(6,602.36	)	(2,817.64	)	—	—		5.0000	3.1700		JJ	10,555.56	—	20170117	20320715
233046AC5	DNKN_15-1A			4	2FE	1,470,000.00	1,477,720.44	1,470,000.00	1,470,000.00	7,720.44		—		—	—		3.2620	3.2740		FMAN	5,461.13	12,018.43	20150126	20450220
233046AD3	DNKN_15-1A			4	2FE	1,470,000.00	1,493,994.81	1,470,000.00	1,470,000.00	23,994.81		—		—	—		3.9800	4.0030		FMAN	6,663.18	14,663.81	20150126	20450220
25746UBE8	DOMINION RESOURCES INC	@			2FE	563,170.00	525,925.00	500,000.00	526,351.75	(426.75	)	(5,337.31	)	—	—		6.4000	1.9550		JD	9,422.22	—	20150707	20180615
25746UCQ0	DOMINION RESOURCES INC				2FE	244,830.95	244,676.59	245,000.00	244,849.02	(172.43	)	18.07		—	—		1.8750	1.9100		JJ	1,008.07	—	20170112	20190115
25746UCD9	DOMINION RESOURCES INC				2FE	5,498,580.00	5,498,020.00	5,500,000.00	5,499,422.00	(1,402.00	)	117.11		—	—		1.9000	1.9090		JD	30,769.44	—	20150615	20180615
25746UCH0	DOMINION RESOURCES INC				2FE	2,999,730.00	2,963,789.97	3,000,000.00	2,999,788.91	(35,998.94	)	23.05		—	—		1.6000	1.6030		FA	6,133.33	31,333.33	20160809	20190815
25746UBU2	DOMINION RESOURCES INC				2FE	3,283,247.20	3,324,804.71	3,280,000.00	3,282,364.22	42,440.49		(250.62	)	—	—		2.9620	2.9280		JJ	24,288.42	48,576.80	20160526	20190701
BRT5CF7G9	DONNELLEY FINANCIAL SOLUTIONS				3FE	328,021.99	332,417.49	329,670.34	328,133.16	4,284.33		240.14		—	—		—	0.0710		MJSD	—	4,029.30	20161011	20230929
06742LAE3	DROCK_14-3			4	1FE	9,042,500.87	9,155,666.57	9,045,000.00	9,043,445.68	112,220.89		93.57		—	—		2.4100	2.4270		MON	9,688.20	55,465.47	20140918	20220715
06742LAH6	DROCK_15-1			4	1FE	1,574,279.92	1,582,022.80	1,575,000.00	1,574,452.85	7,569.95		21.68		—	—		2.2000	2.2160		MON	1,540.00	8,662.50	20150312	20221215
26249MAA5	DRSLF_15-37A		D	4		5,000,000.00	5,002,594.50	5,000,000.00	5,000,000.00	2,594.50		—		—	—		2.5230	2.5300		JAJO	25,932.58	30,411.11	20150312	20270415
Z923YQXD7	DRVRUK_4		B	4		731,760.00	752,430.78	600,000.00	731,760.00	2,160.78		—		—	18,510.00		0.8290	0.8290		MON	85.03	1,872.30	20161125	20250325
233331AY3	DTE ENERGY COMPANY			2	2FE	449,536.50	420,916.51	450,000.00	449,555.32	(28,638.81	)	9.52		—	—		2.8500	2.8620		AO	6,270.00	—	20161005	20261001

BRSV5TM33	DTZ US BORROWER LLC			4FE	3,072,167.39	3,103,815.34	3,087,605.41	3,075,924.10	27,891.24		656.59		—	—	—	0.0810	MJSD	—	33,122.57	20151008	20211104
26441CAK1	DUKE ENERGY CORP		2	2FE	2,310,146.80	2,287,820.40	2,280,000.00	2,291,948.73	(4,128.33	)	(3,043.86	)	—	—	2.1000	1.6270	JD	14,098.00	—	20150223	20180615
26442CAD6	DUKE ENERGY CORP			1FE	2,177,940.00	2,068,800.00	2,000,000.00	2,074,772.31	(5,972.31	)	(17,616.86	)	—	—	5.1000	1.4590	AO	47,033.33	—	20151016	20180415
26441CAR6	DUKE ENERGY CORP		2	2FE	1,359,864.00	1,312,753.61	1,360,000.00	1,359,886.06	(47,132.45	)	9.90		—	—	1.8000	1.8020	MS	2,040.00	15,984.50	20160812	20210901
341099CK3	DUKE ENERGY FLORIDA LLC			1FE	360,821.50	340,564.25	325,000.00	340,278.73	285.52		(3,099.57	)	—	—	5.6500	1.6940	JD	5,406.74	—	20150803	20180615
BRT8MUTQ3	DUKE FINANCE LLC				309,375.00	314,843.75	312,500.00	309,411.69	5,432.06		36.69		—	—	—	0.1420	MJSD	—	1,510.42	20170302	20240216
N3033QAJ1	E.ON INTERNATIONAL FINANCE BV			2FE	1,766,697.85	1,758,387.48	1,250,000.00	1,745,984.69	(6,010.90	)	(18,830.15	)	—	18,413.69	6.0000	2.5836	October	39,312.10	—	20161223	20191030
29100XAA3	EAFL_13-1	D	2	1FE	2,234,873.16	2,223,809.44	2,212,745.71	2,227,316.31	(3,506.87	)	(1,294.25	)	—	—	4.6500	4.3430	MON	4,573.01	26,063.87	20141217	20381015
27332QAB0	EAST LANE RE VI LTD	D		3	938,000.00	951,929.30	938,000.00	938,000.00	13,929.30		—		—	—	3.7460	3.7670	MJSD	2,342.36	8,783.86	20150306	20200313
278062AB0	EATON CORPORATION			2FE	2,684,069.42	2,674,411.50	2,675,000.00	2,677,284.48	(2,872.98	)	(964.88	)	—	—	1.5000	1.3530	MN	16,607.30	—	20150519	20171102
26827EAC9	ECAF I A-2 2015-1	D	4	1FE	483,378.47	471,923.01	487,031.20	484,165.40	(12,242.39	)	181.44		—	—	4.9470	5.2370	MON	1,070.82	6,085.34	20151203	20400715
BRSAC1000	EDEN RE LTD				12,251,250.00	12,251,250.00	12,251,250.00	12,251,250.00	—		—		—	—	—	—	M-J-S-D	—	—	10/21/4670	20171231
281379AA5	EDUSA_10-1		4	1FE	156,101.66	156,203.69	156,101.66	156,101.66	102.03		—		—	—	1.8880	1.8920	JAJO	540.29	778.91	20100226	20230725
29372EBE7	EFF_14-2		4	1FE	275,316.13	274,988.73	275,360.47	275,351.00	(362.27	)	5.91		—	—	1.0500	1.0600	MON	88.34	980.61	20140815	20200320
26971HAA0	EGLE_14-1A	D	4	1FE	2,187,152.81	2,171,404.59	2,187,500.00	2,187,175.18	(15,770.59	)	49.90		—	—	2.5700	2.5850	MON	2,498.61	15,393.24	20141219	20391215
283695BP8	EL PASO NATURAL GAS COMPANY			2FE	1,925,592.50	1,792,058.50	1,790,000.00	1,792,312.61	(254.11	)	(14,866.78	)	—	—	5.9500	2.5550	AO	49,110.64	—	20141224	20170415
BRSUM53S4	ELDORADO RESORTS INC			3FE	228,526.90	229,675.29	229,675.29	228,799.95	875.34		45.16		—	—	—	0.0710	MJSD	—	4,136.37	20150803	20220725
BRT8Z1J76	ELDORADO RESORTS INC			3FE	704,225.35	704,519.01	704,225.35	704,225.35	293.66		—		—	—	—	—	MJSD	—	—	20170614	20240315
BRSLX7XX4	ELECTRICITE DE FRANCE SA	D		1FE	3,163,264.00	3,205,296.00	3,200,000.00	3,186,203.74	19,092.26		1,846.36		—	—	2.1500	2.3950	JJ	13,186.67	34,400.00	20140122	20190122
268317AJ3	ELECTRICITE DE FRANCE SA	D		1FE	4,863,518.40	4,929,594.00	4,920,000.00	4,898,788.25	30,805.75		2,838.78		—	—	2.1500	2.3940	JJ	20,274.50	52,890.00	20140122	20190122
532457BK3	ELI LILLY AND COMPANY			1FE	719,366.40	719,092.80	720,000.00	719,803.25	(710.45	)	52.71		—	—	1.2500	1.2800	MS	750.00	4,500.00	20150305	20180301
268648AP7	EMC CORP/ MASSACHUSETTS			3FE	2,299,121.00	2,278,748.00	2,300,000.00	2,299,785.05	(21,037.05	)	44.99		—	—	1.8750	1.8830	JD	14,375.00	—	20130606	20180601
BRSP2R5D0	EMERALD PERFORMANCE MATERIALS			4FE	100,015.46	100,995.50	100,518.04	100,202.56	792.94		18.02		—	—	—	0.0720	MJSD	—	1,143.76	20140904	20210730
BRSMKZQ95	EMPIRE GENERATING CO LLC			4FE	836,976.77	839,794.60	845,431.09	840,580.54	(785.94	)	1,238.49		—	—	—	0.1440	MJSD	—	15,713.05	20140421	20210312
BRSMKZQU8	EMPIRE GENERATING CO LLC			4FE	78,681.63	78,880.32	79,476.39	79,020.41	(140.09	)	28.40		—	—	—	0.1440	MJSD	—	1,145.79	20140421	20210312
BL1731738	ENDO LUXEMBOURG FINANCE I COMP	D		3FE	1,290,346.99	1,293,041.51	1,293,580.93	1,291,043.72	1,997.79		120.54		—	—	—	0.0350	MJSD	—	—	20150928	20220926
T36792DD7	ENEL S.P.A.			2FE	1,393,937.93	1,384,096.85	1,000,000.00	1,376,985.98	(1,775.86	)	(12,923.95	)	—	8,886.73	6.2500	2.2219	June	61,023.67	—	20161201	20190620
29270CYM1	ENERGY NORTHWEST		4	1FE	1,201,090.80	1,199,769.80	1,190,000.00	1,196,046.06	3,723.74		(653.26	)	—	—	2.1970	1.9650	JJ	6,536.08	13,072.15	20150414	20190701
29270CR31	ENERGY NORTHWEST		2	1FE	629,845.00	604,255.00	500,000.00	618,935.00	(14,680.00	)	(2,890.67	)	—	—	5.0000	2.1510	JJ	6,250.00	12,500.00	20160420	20270701
BRT88XE06	ENERGY TRANSFER EQUITY LP		2	3FE	2,918,893.14	2,916,280.03	2,926,208.66	2,919,042.13	(2,762.10	)	148.99		—	—	—	0.0350	MJSD	—	6,311.48	20170208	20240202
29273RAX7	ENERGY TRANSFER PARTNERS LP		2	2FE	917,705.70	923,989.10	890,000.00	908,620.41	15,368.69		(1,300.31	)	—	—	4.1500	3.4750	AO	18,467.50	—	20150623	20201001
BRSMRYMN4	ENTEGRIS INC.			3FE	589,044.26	596,197.46	592,004.29	590,264.73	5,932.73		325.70		—	—	—	0.0710	MJSD	—	5,751.87	20140519	20210430
29372EBV9	ENTERPRISE FLEET FINANCING LLC		4	1FE	729,979.93	730,700.80	730,000.00	729,979.35	721.45		(0.58	)	—	—	2.1300	2.1390	MON	475.11	2,159.59	20170131	20220720
29379VBK8	ENTERPRISE PRODUCTS OPERATING		2	2FE	540,734.25	527,483.25	525,000.00	539,210.86	(11,727.61	)	(846.32	)	—	—	2.8500	2.1330	AO	6,899.38	—	20161021	20210415

29379VAU7	ENTERPRISE PRODUCTS OPERATING			2FE	778,230.00	787,912.50	750,000.00	771,355.67	16,556.83		(989.56	)	—	—		4.0500	3.4110	FA	3,881.25	15,187.50	20150625	20220215
29379VBG7	ENTERPRISE PRODUCTS OPERATING			2FE	789,059.90	789,083.60	790,000.00	789,650.06	(566.46	)	78.24		—	—		1.6500	1.6910	MN	5,214.00	—	20150507	20180507
29379VAF0	ENTERPRISE PRODUCTS OPERATING			2FE	4,390,960.00	4,312,359.92	4,000,000.00	4,255,619.37	56,740.55		(21,364.95	)	—	—		5.2500	2.8850	JJ	35,583.33	105,000.00	20150824	20200131
BRSJGG5M3	ENTRAVISION COMMUN CORP		4	4FE	1,879,508.74	1,871,028.56	1,875,717.86	1,879,186.52	(8,157.96	)	(551.31	)	—	—		—	0.0720	MJSD	—	16,648.19	20161215	20200531
BRT6N2WB7	ENVISION HEALTHCARE CORP		2	3FE	3,664,285.71	3,730,794.35	3,701,298.70	3,665,919.31	64,875.04		1,393.07		—	—		—	0.1420	MJSD	—	37,518.04	20161209	20231201
BRSTFAHT7	EPICOR SOFTWARE CORP		4	4FE	1,304,688.94	1,318,604.92	1,316,958.72	1,306,877.83	11,727.09		466.00		—	—		—	0.1450	MJSD	—	15,812.65	20150612	20220601
294429AK1	EQUIFAX INC		2	2FE	2,074,004.00	2,041,633.96	2,075,000.00	2,074,183.55	(32,549.59	)	46.09		—	—		2.3000	2.3100	JD	15,908.34	—	20160512	20210601
BRT40M978	ESH HOSPITALITY INC			4Z	244,789.30	246,370.95	246,019.39	244,888.08	1,482.87		46.31		—	—		—	0.0710	MJSD	—	1,577.19	20160908	20230830
298785GU4	EUROPEAN INVESTMENT BANK	D		1FE	15,071,250.00	14,995,200.00	15,000,000.00	15,035,572.03	(40,372.03	)	(7,831.04	)	—	—		1.2500	1.0370	MN	70,833.33	—	20160211	20180515
30014LAA2	EVERGLADES RE II LTD	D	2	3FE	1,000,000.00	1,003,850.00	1,000,000.00	1,000,000.00	3,850.00		—		—	—		5.7220	5.1820	MJSD	4,609.67	13,835.43	20150507	20180503
BRSVRWCF6	EVESTMENT INC				4,678,291.89	4,666,596.16	4,678,291.89	4,678,291.89	(11,695.73	)	—		—	—		—	—	MJSD	—	62,754.84	20150914	20210828
300569GY0	EWING TWP N J SCH DIST			1FE	1,477,604.70	1,490,732.10	1,485,000.00	1,482,169.05	8,563.05		458.68		—	—		1.5960	1.5960	AO	11,850.30	—	20140930	20181001
BRSL2KC12	EXCELITAS TECHNOLOGIES COR			4FE	3,005,908.68	3,030,578.37	3,036,271.38	3,020,462.50	10,115.87		1,808.09		—	—		—	0.1430	MJSD	—	61,336.08	20131205	20201102
30161NAH4	EXELON CORPORATION		2	2FE	5,562,196.45	5,578,103.60	5,510,000.00	5,550,407.88	27,695.72		(3,089.85	)	—	—		2.8500	2.6030	JD	46,238.10	—	20160516	20200615
30161NAW1	EXELON CORPORATION		2	2FE	2,006,060.00	2,016,000.06	2,000,000.00	2,006,060.00	9,940.06		—		—	—		3.4970	3.4300	JD	4,444.45	—	20170403	20220601
30161NAG6	EXELON CORPORATION			2FE	255,135.15	254,992.35	255,000.00	255,013.85	(21.50	)	(18.05	)	—	—		1.5500	1.5210	JD	1,229.67	—	20150720	20170609
30161MAP8	EXELON GENERATION CO LLC		2	2FE	4,180,905.30	4,182,575.02	4,130,000.00	4,175,093.76	7,481.26		(4,058.32	)	—	—		2.9500	2.5280	JJ	25,720.72	60,917.50	20150113	20200115
BRSPRVAJ5	EXGEN TEXAS POWER LLC		4	4FE	1,286,633.34	809,019.46	1,299,629.66	1,291,285.36	(482,265.90	)	480.89		—	—		—	0.1420	MJSD	—	18,938.21	20140929	20210918
30216BGJ5	EXPORT DEVELOPMENT CANADA	A		1FE	9,581,758.90	9,465,659.40	9,595,000.00	9,584,152.69	(118,493.29	)	1,081.25		—	—		1.0000	1.0470	MS	4,797.50	47,708.46	20160914	20190913
30216BGN6	EXPORT DEVELOPMENT CANADA	A			5,289,983.00	5,296,554.90	5,300,000.00	5,290,633.72	5,921.18		650.72		—	—		1.6250	1.6900	JJ	17,225.00	—	20170119	20200117
30216BGH9	EXPORT DEVELOPMENT CANADA	A		1FE	2,496,025.00	2,483,325.00	2,500,000.00	2,497,200.31	(13,875.31	)	485.20		—	—		0.8750	0.9550	FA	2,065.97	11,059.03	20160825	20180827
BRSRYEAL6	EXPRESS OIL CHANGE LLC				5,313,800.51	5,292,160.15	5,318,753.92	5,317,000.80	(24,840.65	)	612.98		—	—		—	0.2420	JAJO	—	—	20150218	20171229
30231GAD4	EXXON MOBIL CORP		2	1FE	1,550,000.00	1,555,533.66	1,550,000.00	1,550,000.00	5,533.66		—		—	—		1.8190	1.8190	MS	1,253.09	14,097.25	20140320	20190315
30231GAJ1	EXXON MOBIL CORP		2	1FE	2,009,320.00	1,998,659.98	2,000,000.00	2,007,300.07	(8,640.09	)	(356.23	)	—	—		2.3970	2.3160	MS	3,329.17	23,970.00	20151023	20220306
30231GAP7	EXXON MOBIL CORP			1FE	6,757,914.50	6,761,609.79	6,750,000.00	6,756,070.91	5,538.88		(773.71	)	—	—		1.7080	1.6600	MS	9,607.50	76,622.78	20160303	20190301
34530UAA9	FCAOT_16-REV1		4	1FE	6,041,250.00	5,999,390.40	6,000,000.00	6,013,665.03	(14,274.63	)	(12,427.51	)	—	—		2.3100	0.9060	MON	6,160.00	34,650.00	20161118	20270815
G33365TQ3	FCE BANK PLC				900,909.42	816,872.25	630,000.00	898,184.32	19,686.39		(933.34	)	—	(100,998.46	)	2.7590	2.6219	November	8,277.14	—	20160201	20191113
34960JAJ4	FCO_15-6A		4		1,971,400.00	1,981,988.80	2,000,000.00	1,978,539.11	3,449.69		760.07		—	—		4.7590	5.0100	MJSD	5,816.56	22,503.85	20150331	20270331
31428XBM7	FEDERAL EXPRESS CORP		2	2FE	234,055.30	231,230.61	235,000.00	234,068.15	(2,837.54	)	12.85		—	—		3.3000	3.3460	MS	1,831.05	—	20170106	20270315
31428XAZ9	FEDERAL EXPRESS CORP			2FE	2,441,713.35	2,458,056.13	2,440,000.00	2,441,466.18	16,589.95		(124.36	)	—	—		2.3000	2.2780	FA	9,353.34	28,060.00	20150109	20200201
3133EGEV3	FEDERAL FARM CREDIT BANKS FUND		2	1	1,000,000.00	979,759.98	1,000,000.00	1,000,000.00	(20,240.02	)	—		—	—		1.6200	1.6200	JD	4,815.00	—	20160620	20210614
3133EF6L6	FEDERAL FARM CREDIT BANKS FUND		2	1	2,000,000.00	1,965,060.00	2,000,000.00	2,000,000.00	(34,940.00	)	—		—	—		2.0700	2.0700	MN	16,330.00	—	20160509	20230509
313379EE5	FEDERAL HOME LOAN BANKS			1	10,062,900.00	10,044,100.20	10,000,000.00	10,034,576.17	9,524.03		(3,816.22	)	—	—		1.6250	1.4650	JD	48,298.61	—	20150521	20190614
313379DT3	FEDERAL HOME LOAN BANKS			1	1,515,185.39	1,501,335.00	1,500,000.00	1,509,319.81	(7,984.81	)	(1,932.78	)	—	—		1.2500	0.7230	JD	5,885.42	—	20160630	20180608

3130AAKQ0	FEDERAL HOME LOAN BANKS	2	1FE	3,998,000.00	4,001,528.00	4,000,000.00	3,998,056.89	3,471.11		56.89		—	—	2.7800	2.7880	JJ	24,402.23	—	20170112	20240112
3133XQSE3	FEDERAL HOME LOAN BANKS		1	541,545.00	514,670.00	500,000.00	515,922.24	(1,252.24	)	(3,733.22	)	—	—	4.1100	1.0430	AO	9,304.58	—	20150716	20180418
3130A4GJ5	FEDERAL HOME LOAN BANKS		1	849,609.00	849,507.00	850,000.00	849,865.59	(358.59	)	67.08		—	—	1.1250	1.1400	AO	4,143.76	11,516.88	20150227	20180425
3130A8PK3	FEDERAL HOME LOAN BANKS		1	3,792,096.00	3,770,626.00	3,800,000.00	3,794,842.88	(24,216.88	)	935.65		—	—	0.6250	0.7260	FA	3,562.50	11,875.00	20160708	20180807
3130A8Y72	FEDERAL HOME LOAN BANKS		1FE	3,792,704.00	3,750,182.12	3,800,000.00	3,794,284.46	(44,102.34	)	593.86		—	—	0.8750	0.9390	FA	5,079.86	16,717.36	20160804	20190805
313379RB7	FEDERAL HOME LOAN BANKS		1	5,664,725.00	5,479,870.17	5,500,000.00	5,641,491.76	(161,621.59	)	(8,119.58	)	—	—	1.8750	1.2440	JD	31,510.42	—	20160715	20210611
BRSMTTCL8	FEDERAL-MOGUL HOLDINGS CORP	4	4FE	3,626,844.26	3,622,296.81	3,635,019.38	3,630,280.07	(7,983.26	)	317.40		—	—	—	0.0320	MJSD	—	46,313.29	20140425	20210415
BRT8H03L4	FERRO CORP		3FE	653,012.34	658,195.19	654,648.96	653,024.62	5,170.57		12.28		—	—	—	0.0360	MJSD	—	—	20170313	20240214
31395HJ43	FHLMC	4	1	441,344.41	435,004.99	409,235.78	435,380.64	(375.65	)	(2,858.37	)	—	—	5.0000	5.2840	MON	1,705.15	5,378.47	20140930	20241015
3137A2QN4	FHLMC	4	1	167,716.69	166,018.55	163,857.84	165,576.97	441.58		(137.53	)	—	—	3.0000	2.1010	MON	409.64	1,372.05	20140930	20371015
312942NF8	FHLMC	4	1	7,653,424.23	7,543,820.33	7,156,913.37	7,640,479.17	(96,658.84	)	(35,085.00	)	—	—	4.0000	2.7850	MON	23,856.38	74,302.71	20160211	20400901
3128MEXR7	FHLMC	4	1	2,770,685.39	2,716,698.78	2,640,712.79	2,766,570.19	(49,871.41	)	(9,985.47	)	—	—	3.0000	1.8500	MON	6,601.78	20,567.76	20161018	20290101
3128JRKQ8	FHLMC	4	1	442,047.45	477,104.87	452,620.40	442,775.00	34,329.87		521.48		—	—	3.0680	3.6920	MON	1,157.20	3,494.02	20060622	20351201
3137BSZE6	FHLMC	4	1	1,049,739.29	1,020,243.33	980,205.94	1,047,621.07	(27,377.74	)	(2,332.17	)	—	—	3.5000	2.1580	MON	2,858.93	8,667.98	20161130	20460315
31342A6F1	FHLMC	4	1	150,719.68	162,311.31	153,061.51	150,921.07	11,390.24		92.58		—	—	2.7860	3.1240	MON	355.36	1,096.14	20070424	20330901
3128MDNM1	FHLMC	4	1	352,549.31	341,722.05	317,522.59	343,098.40	(1,376.35	)	(3,170.06	)	—	—	6.0000	2.7830	MON	1,587.61	5,079.69	20130314	20240301
31342AZE2	FHLMC	4	1	275,329.38	283,309.90	266,864.78	274,344.22	8,965.68		(131.05	)	—	—	2.7620	1.8760	MON	614.23	1,862.33	20091123	20330701
3128PVWH9	FHLMC	4	1	1,481,407.57	1,487,329.99	1,402,308.62	1,460,232.69	27,097.30		(4,638.83	)	—	—	4.0000	2.7290	MON	4,674.36	14,532.59	20110816	20260701
3128KWNX7	FHLMC	4	1	423,360.52	478,617.25	418,553.67	422,849.26	55,767.99		(1,018.34	)	—	—	6.0000	5.7460	MON	2,092.77	7,169.87	20071113	20370901
31295NXK9	FHLMC	4	1	18,817.70	19,886.54	18,926.38	18,825.43	1,061.11		21.65		—	—	2.8080	2.8720	MON	44.29	142.97	20060815	20320901
31307MRM0	FHLMC	4	1	275,557.81	271,657.42	264,403.28	274,710.63	(3,053.21	)	(619.27	)	—	—	3.0000	2.1110	MON	661.01	2,044.09	20150917	20300401
3128JNAL9	FHLMC	4	1	69,734.73	73,875.00	70,460.48	69,773.03	4,101.97		33.81		—	—	3.5180	3.7160	MON	206.57	571.61	20070424	20350201
3128MJUW8	FHLMC	4	1	2,549,082.46	2,521,346.58	2,351,077.65	2,543,561.07	(22,214.49	)	(10,626.63	)	—	—	4.5000	2.8420	MON	8,816.54	27,281.52	20140820	20440701
31307MPM2	FHLMC	4	1	304,117.87	299,813.26	291,807.26	303,215.49	(3,402.23	)	(502.40	)	—	—	3.0000	2.0750	MON	729.52	2,233.71	20150917	20300401
3128MTEE4	FHLMC	4	1	98,565.44	107,046.21	96,669.81	98,403.12	8,643.09		(2,227.88	)	—	—	6.5000	5.9630	MON	523.63	3,119.84	20071113	20370701
3128MTF29	FHLMC	4	1	98,955.55	107,469.84	97,052.38	98,694.45	8,775.39		(26.58	)	—	—	6.5000	6.1820	MON	525.70	1,581.81	20071113	20370701
31335ACR7	FHLMC	4	1	2,575,309.80	2,555,015.15	2,496,135.48	2,572,762.28	(17,747.13	)	(2,547.93	)	—	—	3.5000	3.0740	MON	7,280.40	22,216.37	20150611	20450601
3128NCMS0	FHLMC	4	1	134,568.73	141,133.74	133,899.22	134,450.12	6,683.62		(3.39	)	—	—	3.2080	3.0180	MON	357.96	1,081.49	20080924	20351001
3134GAFY5	FHLMC	2	1	500,000.00	497,505.00	500,000.00	500,000.00	(2,495.00	)	—		—	—	1.3000	1.2880	FA	3,809.72	3,250.00	20160830	20190828
3132QRMV9	FHLMC	4	1	1,026,416.88	989,117.59	966,323.63	1,025,688.47	(36,570.88	)	(1,562.77	)	—	—	3.5000	2.6700	MON	2,818.44	8,565.54	20161013	20450701
3128JMXM4	FHLMC	4	1	748,317.82	795,796.40	756,625.59	748,999.12	46,797.28		69.18		—	—	3.2650	3.4490	MON	2,058.65	6,218.65	20080919	20341001
30262SAR9	FHLMC	4	?	4,123,750.00	4,006,312.80	4,000,000.00	4,098,436.97	(92,124.17	)	(3,050.66	)	—	—	3.8530	3.4770	MON	12,842.47	38,526.57	20150209	20241225
31335ACS5	FHLMC	4	1	2,497,221.85	2,474,501.61	2,341,374.15	2,492,570.52	(18,068.91	)	(6,779.00	)	—	—	4.0000	3.0480	MON	7,804.58	23,957.60	20150611	20450601
3137EADZ9	FHLMC		1	999,670.00	995,009.99	1,000,000.00	999,780.98	(4,770.99	)	26.19		—	—	1.1250	1.1360	AO	5,187.50	—	20160321	20190415

3128MMUS0	FHLMC	4	1	2,216,897.47	2,179,799.38	2,121,591.58	2,212,628.24	(32,828.86	)	(5,068.16	)	—	—	3.0000	2.0210	MON	5,303.98	22,545.48	20160418	20310301
3128KWNV1	FHLMC	4	1	233,053.07	263,470.97	230,406.95	232,726.82	30,744.15		(53.38	)	—	—	6.0000	5.7850	MON	1,152.03	3,471.20	20071113	20370901
3137AUDW6	FHLMC	4	1	440,924.70	432,972.92	426,787.36	439,242.77	(6,269.85	)	(415.76	)	—	—	3.0000	2.2580	MON	1,066.97	3,258.44	20141112	20401115
31292SA91	FHLMC	4	1	829,757.57	837,487.31	815,173.59	829,082.44	8,404.87		(655.68	)	—	—	3.5000	3.2460	MON	2,377.59	7,279.68	20140917	20430201
3128KWT29	FHLMC	4	1	13,328.18	14,720.41	12,827.11	13,279.11	1,441.30		(9.19	)	—	—	6.0000	5.1780	MON	64.14	193.37	20090212	20370901
3128KWTP8	FHLMC	4	1	12,477.97	13,781.42	12,008.89	12,430.07	1,351.35		(43.97	)	—	—	6.0000	5.2140	MON	60.04	195.96	20090212	20370901
3132GLQP2	FHLMC	4	1	2,266,028.20	2,252,694.91	2,189,729.82	2,259,730.17	(7,035.26	)	(4,871.14	)	—	—	3.5000	2.9870	MON	6,386.71	25,696.07	20120208	20411201
3128MABS7	FHLMC	4	1	7,503,460.19	7,320,664.35	7,120,721.40	7,496,470.21	(175,805.86	)	(12,999.13	)	—	—	3.5000	2.7680	MON	20,768.77	63,450.86	20160613	20440501
3137A47K7	FHLMC	4	1	146,623.93	143,520.94	134,942.93	144,625.18	(1,104.24	)	(343.01	)	—	—	4.5000	2.1780	MON	506.04	1,574.02	20140116	20390815
3132QNP37	FHLMC	4	1	1,851,451.88	1,807,932.41	1,766,269.07	1,849,184.85	(41,252.44	)	(5,345.69	)	—	—	3.5000	2.7070	MON	5,151.62	15,962.43	20150414	20450301
312930RC6	FHLMC	4	1	11,014.60	12,164.05	10,600.52	10,967.97	1,196.08		(7.25	)	—	—	6.0000	5.3620	MON	53.00	159.89	20090212	20390101
31292KJH1	FHLMC	4	1	1,105.54	1,221.04	1,063.99	1,101.15	119.89		(4.11	)	—	—	6.0000	5.2220	MON	5.32	16.78	20090212	20370701
31300L3D5	FHLMC	4	1	887,629.64	880,800.62	843,854.67	886,551.99	(5,751.37	)	(3,070.87	)	—	—	2.9250	0.8890	MON	2,056.90	6,351.01	20130424	20420501
3128KWFY4	FHLMC	4	1	14,951.67	16,513.50	14,389.58	14,896.24	1,617.26		(9.03	)	—	—	6.0000	5.1860	MON	71.95	217.05	20090212	20370901
3128QJ3B0	FHLMC	4	1	595,018.53	622,388.32	603,959.98	595,644.54	26,743.78		1,770.57		—	—	2.8390	3.1280	MON	1,428.87	4,493.63	20070823	20370401
3137BW4F8	FHLMC	4	1	4,738,359.38	4,726,406.25	4,500,000.00	4,738,749.52	(12,343.27	)	390.14		—	—	4.0000	2.9760	MON	14,999.99	—	20170331	20430315
3128M5HK9	FHLMC	4	1	2,465,446.75	2,704,390.91	2,399,096.69	2,458,694.41	245,696.50		(4,637.51	)	—	—	6.5000	5.9010	MON	12,995.10	40,690.09	20071113	20371001
3137EAEE5	FHLMC		1FE	11,287,796.00	11,280,903.11	11,300,000.00	11,288,604.82	(7,701.71	)	808.82		—	—	1.5000	1.5360	JJ	34,841.67	—	20170117	20200117
3128MDM91	FHLMC	4	1	948,186.39	928,691.49	901,625.86	932,225.30	(3,533.81	)	(4,055.55	)	—	—	3.0000	1.5570	MON	2,254.06	7,171.24	20130219	20230201
31307MR40	FHLMC	4	1	355,857.83	350,138.41	340,788.57	354,814.17	(4,675.76	)	(987.04	)	—	—	3.0000	2.0230	MON	851.97	2,648.72	20150924	20300401
3132WF2X6	FHLMC	4	1	7,944,109.93	7,598,354.88	7,650,060.73	7,940,348.11	(341,993.23	)	(9,637.45	)	—	—	3.0000	2.5080	MON	19,125.15	58,495.34	20160914	20460801
3128MBU70	FHLMC	4	1	207,062.32	197,798.15	193,065.10	201,305.10	(3,506.95	)	(1,923.54	)	—	—	5.0000	1.8860	MON	804.44	2,702.85	20130722	20201001
3137B8MW4	FHLMC	4	1	3,318,398.53	3,250,687.16	3,092,726.17	3,278,807.76	(28,120.60	)	(3,177.19	)	—	—	4.0000	2.5270	MON	10,309.09	37,767.98	20140825	20430515
3128QJRN8	FHLMC	4	1	644,173.74	653,024.45	618,304.80	641,598.32	11,426.13		(782.37	)	—	—	3.5290	2.6360	MON	1,818.33	5,158.99	20070404	20361201
3128MD5G4	FHLMC	4	1	2,151,336.16	2,132,582.20	2,074,983.27	2,142,082.69	(9,500.49	)	(4,083.60	)	—	—	3.0000	2.2160	MON	5,187.46	15,993.82	20140818	20290801
3128JR6Z4	FHLMC	4	1	3,485,902.87	3,512,341.86	3,317,439.16	3,470,946.33	41,395.53		(9,750.05	)	—	—	2.9000	1.5890	MON	8,017.14	24,343.59	20110125	20350401
3128MTB72	FHLMC	4	1	33,010.96	35,851.29	32,376.09	32,951.29	2,900.00		(5.06	)	—	—	6.5000	6.0170	MON	175.37	526.11	20071113	20370701
3128JMY68	FHLMC	4	1	44,869.06	48,657.12	45,221.81	44,885.62	3,771.50		88.31		—	—	3.3900	3.5130	MON	127.75	439.40	20070424	20341101
3137BDJQ0	FHLMC	4	1	747,542.27	743,350.47	708,413.50	737,432.75	5,917.72		(2,562.06	)	—	—	3.5000	2.0980	MON	2,066.21	6,412.11	20141010	20400615
3128M6UB2	FHLMC	4	1	42,113.53	46,494.63	40,530.33	41,954.03	4,540.60		(128.92	)	—	—	6.0000	5.2540	MON	202.65	642.21	20090212	20380701
3128QJLG9	FHLMC	4	1	144,150.67	149,751.53	141,324.20	143,750.56	6,000.97		(23.33	)	—	—	3.1410	2.6950	MON	369.92	1,117.06	20080124	20361001
31307SDG5	FHLMC	4	1	3,752,444.61	3,633,767.57	3,625,550.35	3,749,189.86	(115,422.29	)	(3,449.62	)	—	—	2.5000	1.8230	MON	7,553.23	22,898.50	20161018	20311001
31349ULB2	FHLMC	4	1	115,245.60	123,142.29	116,274.66	115,305.27	7,837.02		33.00		—	—	3.0900	3.2430	MON	299.41	886.93	20070424	20350201
3132M92R4	FHLMC	4	1	1,864,336.80	1,834,655.03	1,745,301.79	1,861,120.52	(26,465.49	)	(6,624.07	)	—	—	4.0000	2.6470	MON	5,817.68	17,967.49	20141216	20441001

31398WV35	FHLMC	4	1	17,059.41	16,259.35	15,896.95	16,178.80	80.55		(101.68	)	—	—	5.0000	1.9820	MON	66.24	229.29	20120206	20281115
3128M7AZ9	FHLMC	4	1	99,069.86	109,376.11	95,345.42	98,708.09	10,668.02		(231.59	)	—	—	6.0000	5.2570	MON	476.73	1,489.25	20090212	20381201
31307NPD0	FHLMC	4	1	90,239.30	89,049.65	86,586.46	89,964.12	(914.47	)	(104.45	)	—	—	3.0000	2.1350	MON	216.46	656.82	20150917	20300701
3137BRN76	FHLMC	4	1	837,923.89	837,341.31	836,943.09	837,932.12	(590.81	)	(43.58	)	—	—	1.3120	1.2880	MON	488.11	1,693.83	20170131	20460815
3128MJYM6	FHLMC	4	1	3,578,510.46	3,490,223.02	3,513,973.55	3,577,795.95	(87,572.93	)	(1,829.40	)	—	—	3.0000	2.7640	MON	8,784.94	24,282.84	20161114	20460801
3128MJV23	FHLMC	4	1	3,438,608.55	3,361,392.54	3,283,930.12	3,434,021.78	(72,629.24	)	(7,603.35	)	—	—	3.5000	2.7960	MON	9,578.12	29,415.08	20150414	20450301
3132M55C2	FHLMC	4	1	1,494,856.40	1,460,853.76	1,380,929.70	1,490,687.06	(29,833.30	)	(4,830.85	)	—	—	4.0000	2.8320	MON	4,603.10	14,050.80	20150212	20440401
3128MJU81	FHLMC	4	1	2,816,616.27	2,828,765.60	2,689,294.95	2,812,589.03	16,176.57		(8,783.36	)	—	—	4.0000	3.1440	MON	8,964.32	27,838.73	20141014	20440901
3137B7TL3	FHLMC	4	1	3,284,233.33	3,272,647.05	3,180,341.15	3,266,687.70	5,959.35		(358.09	)	—	—	3.5000	2.7640	MON	9,276.00	28,259.39	20140930	20410315
3128MJU32	FHLMC	4	1	1,039,095.06	1,022,749.85	972,323.76	1,037,528.13	(14,778.28	)	(5,040.46	)	—	—	4.0000	2.7800	MON	3,241.08	10,112.36	20150326	20440801
3128KWTK9	FHLMC	4	1	15,257.53	16,851.29	14,683.93	15,192.11	1,659.18		(9.66	)	—	—	6.0000	5.2970	MON	73.42	221.27	20090212	20370901
3128MJWP1	FHLMC	4	1	2,699,743.57	2,627,308.09	2,645,186.59	2,698,557.94	(71,249.85	)	(1,480.69	)	—	—	3.0000	2.7320	MON	6,612.97	20,091.39	20160314	20450701
3128JLHB8	FHLMC	4	1	26,226.37	28,000.34	26,633.85	26,257.12	1,743.22		6.93		—	—	3.0000	3.3690	MON	66.58	202.08	20070424	20330901
3137EADP1	FHLMC		1	14,877,000.00	14,965,950.00	15,000,000.00	14,976,970.98	(11,020.98	)	6,075.00		—	—	0.8750	1.0410	MS	8,750.00	65,625.00	20130206	20180307
3128PV4J6	FHLMC	4	1	1,148,295.95	1,152,886.63	1,086,983.30	1,132,386.80	20,499.83		(4,034.85	)	—	—	4.0000	2.6980	MON	3,623.28	11,233.62	20110816	20260801
3128MJXJ4	FHLMC	4	1	4,907,968.84	4,883,967.83	4,917,202.62	4,908,040.47	(24,072.64	)	234.50		—	—	3.0000	3.0290	MON	12,293.01	37,365.17	20151221	20451201
3128M4ZG1	FHLMC	4	1	1,867.34	2,062.40	1,797.14	1,860.05	202.35		(3.22	)	—	—	6.0000	5.2080	MON	8.99	27.57	20090212	20370701
3132WHBR5	FHLMC	4	1	2,720,577.79	2,637,267.01	2,564,126.04	2,719,402.14	(82,135.13	)	(2,649.77	)	—	—	3.5000	2.6830	MON	7,478.70	22,635.21	20161026	20461001
31300MZV8	FHLMC	4	1	8,089,318.43	8,113,954.20	7,951,105.86	8,087,054.03	26,900.17		(4,975.14	)	—	—	2.6960	2.1470	MON	17,863.50	54,748.69	20151221	20450701
31307MSY3	FHLMC	4	1	341,305.44	336,474.48	327,489.51	340,282.16	(3,807.68	)	(662.79	)	—	—	3.0000	2.0860	MON	818.73	2,518.22	20150917	20300401
3128MJX62	FHLMC	4	1	548,172.20	548,450.45	509,853.53	548,025.53	424.92		(1,970.31	)	—	—	4.5000	2.9620	MON	1,911.95	3,945.59	20170126	20460301
3137B6U82	FHLMC	4	1	3,200,724.88	3,111,516.76	2,947,854.25	3,186,822.89	(75,306.13	)	(12,296.84	)	—	—	4.0000	2.4290	MON	9,826.18	30,384.50	20150427	20431215
3132GSEB1	FHLMC	4	1	513,931.78	501,687.23	489,896.25	513,547.92	(11,860.69	)	(609.15	)	—	—	3.5000	2.8200	MON	1,428.86	4,335.55	20160413	20420301
312930RV4	FHLMC	4	1	7,602.38	8,393.26	7,316.58	7,573.50	819.76		(4.15	)	—	—	6.0000	5.2890	MON	36.58	110.14	20090212	20390101
31349UCW6	FHLMC	4	1	76,017.49	81,218.95	76,615.10	76,066.80	5,152.15		21.04		—	—	2.6180	2.7270	MON	167.15	509.96	20070424	20341001
3128NCB37	FHLMC	4	1	78,955.61	84,161.04	79,141.09	78,940.08	5,220.96		12.20		—	—	3.4220	3.4020	MON	225.68	665.52	20080919	20350101
3128NCD68	FHLMC	4	1	702,725.78	758,613.73	717,753.75	704,019.34	54,594.39		95.37		—	—	3.1890	3.6640	MON	1,907.43	5,324.28	20051222	20350301
3128MJS68	FHLMC	4	1	1,040,691.86	1,013,305.48	1,017,014.07	1,040,129.53	(26,824.05	)	(731.56	)	—	—	3.0000	2.7050	MON	2,542.54	7,743.90	20160413	20430801
3128MJXR6	FHLMC	4	1	3,470,116.15	3,397,871.76	3,319,568.68	3,467,381.07	(69,509.31	)	(5,312.38	)	—	—	3.5000	2.7860	MON	9,682.08	29,586.22	20160314	20460101
31349UEJ3	FHLMC	4	1	113,609.36	121,102.75	114,502.47	113,665.93	7,436.82		43.62		—	—	2.8450	2.9670	MON	271.47	831.76	20070424	20341101
3128JRP26	FHLMC	4	1	222,560.43	234,572.00	224,355.25	222,692.95	11,879.05		39.82		—	—	3.2900	3.3970	MON	615.11	1,839.09	20061120	20331201
31349SJK0	FHLMC	4	1	323,489.71	350,215.37	328,846.30	324,086.43	26,128.94		49.61		—	—	2.9560	3.2590	MON	810.06	2,318.77	20060124	20340101
3128JRPZ3	FHLMC	4	1	151,397.05	162,385.70	152,226.70	151,414.16	10,971.54		18.93		—	—	3.2690	3.3370	MON	414.69	1,129.61	20061117	20360501
312930TB6	FHLMC	4	1	8,532.47	9,422.91	8,211.72	8,500.38	922.53		(4.83	)	—	—	6.0000	5.2850	MON	41.06	123.61	20090212	20390101

3128MCRQ0	FHLMC	4	1	356,251.23	336,114.09	330,915.51	342,174.88	(6,060.79	)	(3,980.85	)	—	—	5.0000	1.7210	MON	1,378.81	4,878.50	20111117	20191101
3128M4HY2	FHLMC	4	1	217,187.49	244,816.32	220,180.56	217,436.31	27,380.01		242.98		—	—	5.5000	5.8340	MON	1,009.16	3,169.86	20070412	20370201
3128MJUH1	FHLMC	4	1	300,141.39	295,131.85	275,201.31	299,711.50	(4,579.65	)	(2,350.16	)	—	—	4.5000	2.7400	MON	1,032.00	3,273.54	20160512	20440401
3128KYXE4	FHLMC	4	1	13,574.70	14,992.69	13,064.37	13,518.65	1,474.04		(12.04	)	—	—	6.0000	5.2360	MON	65.32	197.13	20090212	20370401
3128JMW45	FHLMC	4	1	29,338.02	30,712.91	29,568.65	29,350.75	1,362.16		18.45		—	—	3.2200	3.3370	MON	79.34	251.34	20070424	20341101
3128MD3A9	FHLMC	4	1	412,235.76	408,795.16	397,515.28	410,916.62	(2,121.46	)	(759.98	)	—	—	3.0000	2.1650	MON	993.79	3,057.70	20150716	20290401
3128JRJS6	FHLMC	4	1	834,922.88	889,399.59	838,328.61	834,969.74	54,429.85		189.95		—	—	2.8170	2.8500	MON	1,967.98	6,038.68	20070928	20351201
3128JMZG5	FHLMC	4	1	61,559.41	65,710.79	62,043.34	61,586.36	4,124.43		21.12		—	—	3.3400	3.4520	MON	172.69	531.36	20070424	20341101
3128MJYB0	FHLMC	4	1	1,978,116.82	1,893,304.31	1,906,188.01	1,977,181.46	(83,877.15	)	(2,643.96	)	—	—	3.0000	2.5060	MON	4,765.47	31,648.93	20160914	20460501
31398QHE0	FHLMC	4	1	292,733.58	282,134.14	279,868.05	283,194.04	(1,059.90	)	(27,923.49	)	—	—	3.3420	3.1710	MON	779.43	10,483.00	20140930	20191225
31307MSH0	FHLMC	4	1	153,496.65	151,473.02	147,283.13	153,029.46	(1,556.44	)	(205.28	)	—	—	3.0000	2.1010	MON	368.21	1,119.47	20150917	20300401
3132JMGH6	FHLMC	4	1	5,352,040.95	5,246,160.21	5,123,868.68	5,346,628.80	(100,468.59	)	(5,441.37	)	—	—	3.5000	2.8180	MON	14,944.62	45,357.98	20160211	20430701
3128MMVH3	FHLMC	4	1	4,474,850.22	4,376,082.62	4,259,226.86	4,469,783.93	(93,701.31	)	(9,053.69	)	—	—	3.0000	1.9590	MON	10,648.07	32,598.36	20161020	20311001
31326KNP8	FHLMC	4	1	373,677.97	363,565.26	363,566.30	373,560.48	(9,995.22	)	(994.97	)	—	—	2.9330	2.0760	MON	888.62	2,878.28	20160125	20451101
3128MJXE5	FHLMC	4	1	1,658,225.83	1,646,529.74	1,608,585.88	1,657,082.08	(10,552.34	)	(1,848.24	)	—	—	3.5000	3.0260	MON	4,691.71	14,347.26	20151210	20451101
312930LQ1	FHLMC	4	1	17,202.31	18,991.89	16,555.62	17,138.35	1,853.54		(44.15	)	—	—	6.0000	5.2820	MON	82.78	259.01	20090212	20390101
3132WF7E3	FHLMC	4	1	5,619,461.54	5,446,429.80	5,299,035.48	5,617,014.03	(170,584.23	)	(5,873.63	)	—	—	3.5000	2.7010	MON	15,455.52	46,966.27	20161026	20460901
3137ACNE5	FHLMC	4	1	166,759.09	166,063.97	166,110.22	166,599.38	(535.41	)	(24.79	)	—	—	1.2620	1.1560	MON	93.19	477.11	20131108	20380915
3128MDCL5	FHLMC	4	1	90,638.89	89,526.52	85,169.42	89,654.14	(127.62	)	(513.43	)	—	—	4.0000	2.3160	MON	283.90	894.08	20131217	20260701
3128MDVW0	FHLMC	4	1	467,670.01	459,854.41	436,071.85	462,982.44	(3,128.03	)	(2,234.53	)	—	—	4.0000	2.3800	MON	1,453.56	4,487.28	20131122	20281001
3137BWQU1	FHLMC	4	1	1,816,718.75	1,816,718.75	1,750,000.00	1,816,876.48	(157.73	)	157.73		—	—	3.5000	3.1410	MON	5,104.17	—	20170331	20400915
3128KWTZ6	FHLMC	4	1	11,905.09	13,148.66	11,457.52	11,859.96	1,288.70		(8.42	)	—	—	6.0000	5.1990	MON	57.29	172.87	20090212	20370901
3128KWFX6	FHLMC	4	1	10,624.34	11,734.15	10,224.94	10,584.11	1,150.04		(7.74	)	—	—	6.0000	5.2010	MON	51.12	154.23	20090212	20370901
3137AAGA5	FHLMC	4	1	470,111.14	466,589.12	456,445.17	468,250.40	(1,661.28	)	(1,163.74	)	—	—	3.0000	2.5630	MON	1,141.11	3,594.75	20140930	20400515
312930LH1	FHLMC	4	1	12,271.96	13,548.62	11,810.61	12,229.62	1,319.00		(6.83	)	—	—	6.0000	5.2250	MON	59.05	178.15	20090212	20390101
3128M92M3	FHLMC	4	1	3,056,623.20	3,052,600.28	2,891,705.60	3,049,811.86	2,788.42		(7,779.10	)	—	—	4.0000	3.1760	MON	9,639.02	29,685.30	20140815	20440401
3128KWBZ5	FHLMC	4	1	8,351.67	9,224.08	8,037.71	8,320.04	904.04		(6.04	)	—	—	6.0000	5.1960	MON	40.19	121.19	20090212	20370901
3132QLQT3	FHLMC	4	1	2,351,981.10	2,313,549.76	2,256,435.16	2,348,325.69	(34,775.93	)	(4,314.18	)	—	—	3.5000	2.9290	MON	6,581.27	20,149.00	20141216	20441201
31307NN34	FHLMC	4	1	473,269.76	467,030.46	454,111.95	471,851.29	(4,820.83	)	(1,259.48	)	—	—	3.0000	2.1180	MON	1,135.28	3,522.68	20150917	20300701
31398Q5U7	FHLMC	4	1FE	826,402.40	821,979.92	793,306.64	824,309.19	(2,329.27	)	(4,454.85	)	—	—	4.5000	2.7250	MON	2,974.90	9,438.22	20161208	20380515
3132QNGH6	FHLMC	4	1	1,793,775.07	1,746,575.27	1,706,325.89	1,791,097.23	(44,521.96	)	(4,873.91	)	—	—	3.5000	2.7460	MON	4,976.79	15,399.71	20150513	20450301
3128MJW97	FHLMC	4	1	1,304,865.24	1,286,399.73	1,256,754.98	1,303,646.06	(17,246.33	)	(1,938.83	)	—	—	3.5000	2.9100	MON	3,665.54	11,231.78	20151106	20451001
3128MJW89	FHLMC	4	1	1,355,457.45	1,325,838.79	1,334,860.96	1,354,906.14	(29,067.35	)	(602.39	)	—	—	3.0000	2.7940	MON	3,337.15	10,155.69	20151112	20451001
3128MJXX3	FHLMC	4	1	2,773,503.36	2,714,147.24	2,652,087.49	2,770,878.03	(56,730.79	)	(3,858.72	)	—	—	3.5000	2.7800	MON	7,735.26	23,638.98	20160304	20460301

31335AHP6	FHLMC		4	1	4,573,677.76	4,535,777.04	4,414,347.40	4,570,293.61	(34,516.57	)	(4,926.69	)	—	—		3.5000	3.0230		MON	12,875.18	39,243.50	20151224	20451001
31349UJL3	FHLMC		4	1	43,857.95	46,326.42	44,518.77	43,911.41	2,415.01		45.49		—	—		2.9530	3.2580		MON	109.55	328.50	20081003	20350101
3128MEHM6	FHLMC		4	1	1,331,487.95	1,310,944.41	1,274,722.93	1,327,503.93	(16,559.52	)	(2,804.01	)	—	—		3.0000	2.0510		MON	3,186.81	9,811.38	20150924	20300601
3128MJYH7	FHLMC		4	1	2,632,439.01	2,563,272.05	2,504,662.10	2,631,133.03	(67,860.98	)	(3,978.23	)	—	—		3.5000	2.7190		MON	7,305.26	22,248.13	20160628	20460601
3128MJXA3	FHLMC		4	1	984,442.73	990,414.61	943,079.40	984,120.93	6,293.68		(2,240.38	)	—	—		4.0000	3.1870		MON	3,143.60	9,738.37	20160513	20451001
3128MBBR7	FHLMC		4	1	214,393.88	219,936.13	213,925.92	213,945.91	5,990.22		(39.55	)	—	—		5.5000	5.4370		MON	980.50	3,137.88	20070404	20220101
3132GMDN9	FHLMC		4	1	3,190,414.71	3,175,283.80	3,014,268.40	3,181,931.41	(6,647.61	)	(9,182.47	)	—	—		4.0000	3.1110		MON	10,047.56	30,840.61	20140714	20420101
3128MJYJ3	FHLMC		4	1	8,058,526.34	7,887,163.37	7,508,034.86	8,053,481.81	(166,318.44	)	(23,082.05	)	—	—		4.0000	2.7610		MON	25,026.78	76,874.34	20161019	20460601
312929CM2	FHLMC		4	1	4,122.90	4,551.80	3,967.90	4,106.69	445.11		(9.61	)	—	—		6.0000	5.3120		MON	19.84	62.70	20090212	20390101
3133TJP56	FHLMC CMO		4	1	511,037.67	559,662.71	503,950.84	508,898.10	50,764.61		(564.82	)	—	—		6.0000	5.6700		MON	2,519.75	8,090.16	20070209	20290315
31395EC47	FHLMC_2839		4	1	194,944.19	185,959.35	181,448.93	186,917.51	(958.16	)	(1,976.36	)	—	—		5.0000	1.2810		MON	756.04	2,670.40	20130312	20190815
31397JAB0	FHLMC_3346A		4	1	41,639.05	41,598.45	41,635.78	41,636.36	(37.91	)	(0.40	)	—	—		1.0620	1.0600		MON	19.66	110.37	20110727	20201015
31398Q4P9	FHLMC_3674		4	1	992,913.90	981,285.61	888,762.10	978,243.95	3,041.66		(8,293.69	)	—	—		5.5000	2.8520		MON	4,073.50	12,656.00	20131125	20400415
3137B36J2	FHLMC_K029		4	1	5,348,910.48	5,104,133.10	4,877,430.00	5,305,777.09	(201,643.99	)	(18,029.73	)	—	—		3.3200	1.6770		MON	13,494.21	40,482.63	20160826	20230225
31283AM31	FHLS_30-2		4	1	3,216,007.30	3,199,660.16	3,063,775.94	3,213,083.65	(13,423.49	)	(2,923.65	)	—	—		3.5000	2.2540		MON	8,936.01	—	20170301	20280215
3137BPVZ9	FHMS_K055		4	1	3,160,015.62	3,080,612.32	3,098,179.03	3,154,147.36	(73,535.04	)	(2,367.67	)	—	—		2.2630	1.7820		MON	5,842.66	17,640.20	20160622	20250425
3137BVZ82	FHMS_K063		4	1	1,039,973.98	1,049,206.77	1,009,707.00	1,039,900.13	9,306.64		(73.85	)	—	—		3.4300	3.0620		MON	2,886.08	—	20170322	20270125
3137BPWG0	FHMS_KJ05		4	1	786,285.21	760,073.32	770,886.00	783,934.14	(23,860.82	)	(781.19	)	—	—		2.1580	1.7260		MON	1,386.31	4,158.93	20160629	20211025
3137BDKF2	FHR		4	1	3,280,719.47	3,245,779.44	3,115,223.24	3,247,960.54	(2,181.10	)	(11,973.41	)	—	—		3.5000	2.0660		MON	9,086.07	28,187.71	20140930	20400915
31677QBH1	FIFTH THIRD BANK		2	1FE	4,517,488.50	4,476,582.50	4,525,000.00	4,518,747.93	(42,165.43	)	609.25		—	—		1.6250	1.6820		MS	817.01	36,765.63	20160927	20190927
31677QBC2	FIFTH THIRD BANK		2	1FE	3,641,402.50	3,690,515.29	3,650,000.00	3,644,589.39	45,925.90		188.87		—	—		2.8750	2.9100		AO	51,885.77	8,625.00	20140905	20211001
31677QBF5	FIFTH THIRD BANK		2	1FE	1,513,320.00	1,510,124.93	1,500,000.00	1,511,348.74	(1,223.81	)	(1,432.76	)	—	—		2.3000	1.8870		MS	1,533.34	43,524.31	20161201	20190315
316773CR9	FIFTH THIRD BANK		2	3FE	7,895,000.00	7,870,000.00	8,000,000.00	7,898,607.39	(28,607.39	)	307.85		—	—		4.9000	4.9790		MS	1,088.89	196,000.00	20140911	20491231
316773CT5	FIFTH THIRD BANK		2	2FE	2,072,440.00	2,031,380.00	2,000,000.00	2,064,728.20	(33,348.20	)	(4,813.88	)	—	—		2.8750	1.8380		JJ	10,222.22	28,750.00	20161107	20200727
31677QBG3	FIFTH THIRD BANK		2	1FE	909,317.50	898,060.84	910,000.00	909,421.26	(11,360.42	)	32.43		—	—		2.2500	2.2660		JD	6,085.63	—	20160614	20210614
31970LAA2	FIRST COAST RE 2016 LTD	D	2		500,000.00	506,710.00	500,000.00	500,000.00	6,710.00		—		—	—		4.4920	4.2890		MJSD	1,559.84	5,385.82	20160531	20190607
BRT6WZB35	FIRST DATA CORPORATION		2	3FE	4,194,820.41	4,251,272.52	4,219,043.25	4,195,944.15	55,328.37		1,092.40		—	—		—	(1.1460	)	MJSD	—	38,003.38	20161228	20220708
BRT79CE86	FLEX ACQUISITION COMPANY INC		2	4FE	672,297.30	679,898.65	675,675.68	672,386.55	7,512.10		92.80		—	—		—	0.0710		MJSD	—	—	20170124	20231229
341271AA2	FLORIDA ST			1FE	1,012,860.00	1,005,970.00	1,000,000.00	1,011,287.74	(5,317.74	)	(1,223.89	)	—	—		2.1630	1.6500		JJ	5,407.50	10,815.00	20161205	20190701
BRSFEV6K3	FLY FUNDING II SARL	D	4	4FE	2,898,850.83	2,917,421.05	2,908,935.68	2,901,636.91	15,784.14		(866.56	)	—	—		—	0.0510		FMAN	—	27,173.93	20140103	20220209
BRSHZJ755	FLYING FORTRESS INC		4	3FE	1,063,095.24	1,071,522.30	1,064,425.77	1,063,426.00	8,096.30		(101.48	)	—	—		—	0.0170		JAJO	—	10,238.87	20150527	20221030
BRSL7M1V9	FMG RESOURCES (AUGUST 2006) PT	D		2FE	1,112,199.89	1,124,967.84	1,119,788.82	1,116,750.74	8,217.10		3,785.86		—	—		—	0.1190		MJSD	—	21,723.69	20131115	20190630
D2R6L0P26	FMS WERTMANAGEMENT LT GTD			1FE	3,116,214.12	2,916,718.25	2,300,000.00	3,110,049.61	14,096.37		(3,418.63	)	—	(207,427.74	)	1.2500	1.9370		March	2,363.88	38,499.63	20160218	20190308
30254WAJ8	FMS WERTMANAGEMENT LT GTD	D		1FE	3,975,320.00	3,885,960.08	4,000,000.00	3,979,129.76	(93,169.68	)	1,193.23		—	—		1.3750	1.5040		JD	17,263.89	—	20160615	20210608

BRSMSHXX6	FMS WERTMANAGEMENT LT GTD	B		1FE	669,166.80	639,209.41	500,000.00	664,441.64	(1,236.95	)	(2,305.21	)	—	(23,995.29	)	1.8750	0.4210	DEC	3,693.54	—	20160928	20181207
BRT7W6393	FMS WERTMANAGEMENT LT GTD	B		1FE	2,848,400.73	2,881,743.93	2,300,000.00	2,848,936.68	13,193.42		535.95		—	19,613.83		0.6250	0.7140	MAR	1,280.42	2,592.26	20170112	20200306
BRSTSH835	FMS WERTMANAGEMENT LT GTD	B			2,377,639.35	2,010,608.16	1,600,000.00	2,377,600.47	9,657.43		(48.09	)	—	(376,649.74	)	1.0000	0.9860	APR	19,513.88	—	20151103	20180410
30254WAK5	FMS WERTMANAGEMENT LT GTD	D		1FE	12,060,661.55	11,931,457.86	12,115,000.00	12,071,185.85	(139,727.99	)	4,497.32		—	—		1.0000	1.1550	FA	15,143.75	64,466.38	20160817	20190816
3138EGHT4	FNMA		4	1	2,756,511.46	2,716,821.45	2,583,157.39	2,743,204.04	(26,382.59	)	(3,819.52	)	—	—		4.0000	3.0310	MON	8,610.52	25,964.99	20130304	20410401
3138W4AB7	FNMA		4	1	13,651.44	13,243.60	12,876.79	13,504.97	(261.37	)	(67.74	)	—	—		3.0000	1.7250	MON	32.19	103.21	20130516	20280301
31385XEW3	FNMA		4	1	13,096.99	13,414.34	13,204.27	13,145.29	269.05		22.86		—	—		5.0000	5.2510	MON	55.01	201.71	20080117	20180601
3140F0JX3	FNMA		4	1	2,782,027.48	2,700,334.85	2,697,723.62	2,780,097.63	(79,762.78	)	(2,759.60	)	—	—		2.5000	1.8860	MON	5,620.26	17,092.88	20161117	20311001
31371NAC9	FNMA		4	1	168,086.31	172,171.78	167,928.84	167,739.39	4,432.39		(9.81	)	—	—		5.5000	5.4230	MON	769.68	2,399.23	20080818	20220201
3138WCPT4	FNMA		4	1	3,102,510.30	3,098,392.49	3,014,890.09	3,098,492.10	(99.61	)	(4,637.83	)	—	—		3.5000	3.1070	MON	8,793.43	27,053.70	20140818	20440801
3136AGJ60	FNMA		4	1	680,773.44	644,248.74	650,000.00	677,924.10	(33,675.36	)	(1,255.41	)	—	—		2.6230	1.5690	MON	1,284.51	4,125.84	20160826	20230425
3138WCAD5	FNMA		4	1	3,290,671.74	3,270,010.18	3,100,294.30	3,282,797.35	(12,787.17	)	(10,426.01	)	—	—		4.0000	3.0710	MON	10,334.31	31,753.42	20140714	20440601
31412SRH0	FNMA		4	1	185,072.86	182,945.81	176,312.34	181,478.36	1,467.45		(590.59	)	—	—		5.0000	3.5540	MON	734.63	2,307.50	20091019	20230301
3138WQAW2	FNMA		4	1	225,913.26	221,518.75	221,908.47	225,740.72	(4,221.97	)	(151.61	)	—	—		3.0000	2.7500	MON	554.77	1,699.80	20150316	20430501
31416B7J1	FNMA		4	1	53,757.51	51,995.99	50,714.62	52,654.25	(658.26	)	(264.20	)	—	—		5.5000	3.8470	MON	232.44	739.60	20091019	20240301
31407GC22	FNMA		4	1	368,052.27	396,871.15	371,550.06	368,366.98	28,504.17		17.44		—	—		3.2080	3.4090	MON	993.28	2,770.06	20060124	20350401
3138X9U23	FNMA		4	1	1,206,973.38	1,191,177.59	1,158,462.78	1,199,334.83	(8,157.24	)	(3,596.96	)	—	—		3.0000	2.0730	MON	2,896.16	9,096.49	20131118	20281001
3138EN7C7	FNMA		4	1	7,776,692.82	7,697,962.72	7,364,728.32	7,743,227.55	(45,264.83	)	(29,953.13	)	—	—		3.5000	2.0840	MON	21,480.46	66,939.75	20151216	20271201
31404CLB4	FNMA		4	1	4,822.83	5,198.41	4,920.47	4,832.33	366.08		1.44		—	—		2.8070	3.3220	MON	11.51	34.86	20081003	20340601
3138E9L40	FNMA			1	1,409,311.58	1,391,328.37	1,351,047.63	1,395,663.54	(4,335.17	)	(4,109.46	)	—	—		3.0000	5.4055	Monthly	3,377.62	10,424.09	20120517	20270501
31410GDM2	FNMA		4	1	265,656.69	283,050.56	269,370.84	266,034.95	17,015.61		170.69		—	—		3.3090	3.6180	MON	742.79	2,095.95	20070622	20340301
31410GDQ3	FNMA		4	1	32,178.03	33,940.15	32,470.32	32,205.04	1,735.11		22.21		—	—		3.1690	3.3650	MON	85.75	268.99	20070622	20331201
3138WF6E1	FNMA		4	1	2,124,148.86	2,110,270.80	2,105,723.80	2,122,957.59	(12,686.79	)	(941.53	)	—	—		2.5000	2.3000	MON	4,386.92	13,469.60	20151229	20301201
3138WFYQ3	FNMA		4	1	2,148,455.98	2,128,156.44	2,072,361.48	2,143,623.14	(15,466.70	)	(3,361.57	)	—	—		3.0000	2.2180	MON	5,180.90	15,866.56	20151216	20301101
31410GDX8	FNMA		4	1	69,984.66	73,460.46	70,209.49	69,992.46	3,468.00		(1.05	)	—	—		3.3770	3.4230	MON	197.58	519.21	20070622	20350401
3138WDKR1	FNMA		4	1	2,142,252.53	2,105,244.43	2,001,520.61	2,138,516.76	(33,272.33	)	(11,082.06	)	—	—		4.0000	2.7360	MON	6,671.74	20,823.14	20150416	20441101
31414CRJ9	FNMA		4	1	460,694.75	455,399.98	438,887.53	451,654.81	3,745.17		(2,119.34	)	—	—		5.0000	3.5760	MON	1,828.70	5,814.58	20091019	20230301
31404LRF9	FNMA		4	1	45,719.67	49,145.79	46,484.12	45,811.65	3,334.14		4.74		—	—		3.2440	3.6010	MON	125.66	366.95	20060815	20340201
3136ATKP8	FNMA		4	1	1,452,684.01	1,451,350.57	1,399,123.79	1,451,625.43	(274.86	)	(2,163.63	)	—	—		3.5000	2.5760	MON	4,080.78	8,258.16	20170127	20430125
31412LMG2	FNMA		4	1	48,864.93	47,263.74	46,098.99	47,574.03	(310.29	)	(148.90	)	—	—		5.5000	3.7690	MON	211.29	652.97	20091019	20220501
31402HD32	FNMA		4	1	643,201.70	699,217.94	650,311.92	643,871.74	55,346.20		75.55		—	—		2.7050	2.9480	MON	1,465.91	4,429.64	20080919	20350701
3138ATD31	FNMA		4	1	278,410.95	280,911.17	260,902.00	277,038.24	3,872.93		(1,271.57	)	—	—		4.5000	3.4480	MON	978.38	3,014.67	20110923	20410901
31418CEF7	FNMA		4	1	1,951,040.81	1,958,213.59	1,973,863.60	1,951,150.64	7,062.95		263.56		—	—		3.0000	3.1410	MON	4,934.66	9,919.48	20170118	20461201
31410GDZ3	FNMA		4	1	372,745.61	386,354.76	375,121.37	373,012.48	13,342.28		281.13		—	—		2.8450	2.9530	MON	889.35	2,904.45	20070622	20330701

31403VBR9	FNMA	4	1	28,396.53	29,084.62	28,629.15	28,491.19	593.43		37.30		—	—	5.0000	5.2400	MON	119.29	407.83	20080117	20190101
3136ASUM6	FNMA	4	1	1,689,074.08	1,643,424.60	1,602,917.28	1,680,436.60	(37,012.00	)	(5,950.95	)	—	—	3.5000	2.2490	MON	4,675.18	18,909.80	20160531	20420825
3138NXER4	FNMA	4	1	141,970.12	135,465.71	135,836.26	141,859.65	(6,393.94	)	(146.92	)	—	—	3.0000	2.3440	MON	339.59	1,034.43	20160714	20430201
3136A9FV5	FNMA	4	1	582,978.19	576,158.59	564,201.47	582,131.57	(5,972.98	)	(341.26	)	—	—	3.5000	2.9650	MON	1,645.59	4,944.25	20140930	20410525
3138Y17A7	FNMA	4	1	864,713.04	853,268.15	811,460.93	863,205.17	(9,937.02	)	(2,874.17	)	—	—	4.0000	3.0300	MON	2,704.87	8,320.01	20150813	20441001
31416B4M7	FNMA	4	1	453,150.59	449,501.31	436,180.43	444,575.15	4,926.16		(1,878.70	)	—	—	5.0000	3.8210	MON	1,817.41	5,842.36	20090325	20211201
31417FX94	FNMA	4	1	13,284.02	12,887.20	12,530.26	13,140.93	(253.73	)	(31.19	)	—	—	3.0000	1.7300	MON	31.33	95.25	20130516	20280301
3138LYPM3	FNMA	4	1	873,768.71	867,034.87	841,933.10	868,977.48	(1,942.61	)	(2,066.65	)	—	—	3.0000	2.0910	MON	2,104.83	6,485.12	20140916	20270601
3138X1ZV1	FNMA	4	1	176,850.29	171,842.74	172,352.95	176,736.12	(4,893.38	)	(177.74	)	—	—	3.0000	2.6530	MON	430.88	1,321.19	20160314	20430701
31414ARA2	FNMA	4	1	379,609.25	375,995.91	361,640.25	371,980.78	4,015.13		(1,305.44	)	—	—	5.0000	3.5430	MON	1,506.83	4,712.92	20091019	20221201
31402DQB9	FNMA	4	1	36,396.18	37,607.76	36,729.02	36,521.41	1,086.35		42.02		—	—	5.0000	5.2660	MON	153.04	513.32	20080818	20191101
3138WMPS4	FNMA	4	1	3,629,520.50	3,619,058.85	3,629,804.09	3,629,320.05	(10,261.20	)	(22.72	)	—	—	3.0000	2.9930	MON	9,074.51	28,257.82	20151117	20430301
31410GC35	FNMA	4	1	91,710.31	94,791.57	91,918.07	91,713.25	3,078.32		13.02		—	—	3.0100	3.0340	MON	230.56	642.09	20070622	20350501
31406BJF8	FNMA	4	1	75,602.57	80,875.44	76,196.90	75,655.00	5,220.44		49.83		—	—	3.2140	3.3670	MON	204.08	618.34	20070424	20350101
31403H3P3	FNMA	4	1	166,109.42	176,672.09	168,198.75	166,358.40	10,313.69		22.04		—	—	3.2240	3.4810	MON	451.89	1,365.59	20060523	20331101
3136AMM71	FNMA	4,6	1	897,162.08	591,780.47	26,608,834.28	674,959.66	(83,179.19	)	(35,798.30	)	—	—	0.6550	2.7030	MON	12,499.95	37,609.55	20150331	20220725
31404NBP0	FNMA	4	1	50,656.78	53,654.62	51,080.73	50,688.71	2,965.91		21.71		—	—	3.2550	3.4410	MON	138.56	409.24	20070424	20350201
31406BB90	FNMA	4	1	90,588.58	96,565.54	91,300.70	90,651.45	5,914.09		20.53		—	—	3.2620	3.4140	MON	248.19	760.66	20070424	20350101
3138WCFK4	FNMA	4	1	692,140.46	688,398.81	670,049.76	689,384.04	(985.23	)	(978.32	)	—	—	3.0000	2.2920	MON	1,675.12	5,126.69	20140916	20290701
3138WAJB4	FNMA	4	1	3,143,762.25	3,125,392.10	3,038,827.75	3,127,279.79	(1,887.69	)	(9,275.08	)	—	—	3.0000	2.2070	MON	7,597.07	23,559.78	20131202	20281101
31417Y5D5	FNMA	4	1	903,751.22	887,374.83	824,167.54	902,352.59	(14,977.76	)	(6,169.83	)	—	—	4.5000	2.8790	MON	3,090.63	9,740.27	20160714	20410901
3138WNBL2	FNMA	4	1	3,912,349.58	3,899,385.91	3,906,246.08	3,911,859.19	(12,473.28	)	(262.88	)	—	—	3.0000	2.9680	MON	9,765.62	29,807.45	20150611	20430401
31414GD22	FNMA	4	1	37,751.23	36,514.21	35,614.37	36,851.78	(337.57	)	(158.48	)	—	—	5.5000	3.7410	MON	163.23	503.95	20091019	20221201
31406PKU2	FNMA	4	1	122,253.57	128,052.60	123,420.26	122,382.51	5,670.09		126.50		—	—	3.1620	3.3410	MON	325.21	963.05	20061002	20350201
3138M8YB3	FNMA	4	1	3,545,229.93	3,457,624.18	3,418,118.62	3,516,955.95	(59,331.77	)	(7,907.22	)	—	—	2.5000	1.7060	MON	7,121.08	21,905.38	20120918	20270901
3138WFZU3	FNMA	4	1	8,602,404.60	8,505,056.63	8,290,225.80	8,582,393.53	(77,336.90	)	(13,374.36	)	—	—	3.0000	2.2080	MON	20,725.56	63,299.03	20151216	20301101
3138W9GM6	FNMA	4	1	1,164,872.72	1,139,502.76	1,141,507.48	1,163,855.50	(24,352.74	)	(738.70	)	—	—	3.0000	2.7340	MON	2,853.77	13,156.49	20150319	20430801
3138A7Q76	FNMA	4	1	384,248.20	377,131.55	358,482.28	379,319.86	(2,188.31	)	(2,473.87	)	—	—	4.0000	2.0880	MON	1,194.94	3,772.41	20131220	20260201
3136AVGY9	FNMA	4	1	2,009,656.10	2,011,867.76	1,995,731.08	2,009,195.94	2,671.82		(489.94	)	—	—	2.8770	2.6100	MON	4,630.10	4,640.00	20170228	20260925
31417FQC5	FNMA	4	1	1,488,047.34	1,454,298.82	1,437,998.25	1,478,027.44	(23,728.62	)	(2,464.92	)	—	—	2.5000	1.7720	MON	2,995.83	9,208.94	20130318	20280301
3135G0N33	FNMA		1	1,497,480.00	1,480,439.99	1,500,000.00	1,498,028.79	(17,588.80	)	205.85		—	—	0.8750	0.9320	FA	2,151.04	6,562.50	20160802	20190802
3138WFU79	FNMA	4	1	2,708,239.55	2,649,493.02	2,578,699.94	2,706,122.17	(56,629.15	)	(2,571.61	)	—	—	3.5000	2.8330	MON	7,521.21	22,700.44	20160330	20451001
3140EUKN8	FNMA	4	1	1,290,430.72	1,252,458.47	1,223,570.26	1,289,960.48	(37,502.01	)	(1,710.37	)	—	—	3.5000	2.6200	MON	3,568.74	10,845.51	20160831	20460301
31418B3S3	FNMA	4	1	1,642,557.23	1,595,772.14	1,605,615.53	1,641,731.82	(45,959.68	)	(909.99	)	—	—	3.0000	2.6880	MON	4,014.04	12,203.43	20160502	20460501

3138X3XM9	FNMA		4	1	919,292.98	897,072.17	871,625.95	918,080.60	(21,008.43	)	(3,213.25	)	—	—	3.5000	2.7790	MON	2,542.24	16,694.81	20160404	20430901
31416TL49	FNMA	��	4	1	3,897,894.07	4,167,841.98	3,856,403.45	3,892,441.52	275,400.46		(3,187.82	)	—	—	4.5000	4.3170	MON	14,461.52	44,957.64	20100211	20390801
3138YMJM2	FNMA		4	1	665,975.07	649,832.15	634,710.61	665,158.74	(15,326.59	)	(1,607.08	)	—	—	3.5000	2.7760	MON	1,851.24	5,712.64	20150331	20450401
31410GDS9	FNMA		4	1	56,451.19	60,176.38	56,746.79	56,474.81	3,701.57		3.74		—	—	3.0290	3.1230	MON	143.24	425.32	20070622	20340201
3138EJRA8	FNMA		4	1	1,786,966.56	1,783,170.49	1,656,156.10	1,782,276.80	893.69		(10,807.30	)	—	—	4.5000	3.0720	MON	6,210.59	19,398.51	20140918	20420901
3138WEKK4	FNMA		4	1	3,787,825.48	3,682,165.12	3,596,481.43	3,781,555.83	(99,390.71	)	(7,791.63	)	—	—	3.5000	2.7400	MON	10,489.74	32,092.38	20150414	20450401
31402YSV7	FNMA		4	1	1,827.12	1,967.91	1,855.53	1,829.36	138.55		0.25		—	—	3.6250	4.0710	MON	5.61	15.77	20070424	20330901
31385W2S7	FNMA		4	1	947,511.78	966,538.70	859,908.58	935,351.97	31,186.73		(5,670.55	)	—	—	6.0000	3.9310	MON	4,299.54	13,382.12	20110113	20330301
3138MFFQ5	FNMA		4	1	60,828.34	58,278.46	58,200.23	60,780.07	(2,501.61	)	(60.07	)	—	—	3.0000	2.3480	MON	145.50	441.84	20160714	20421101
3136A1PM1	FNMA		4	1	1,763,520.14	1,744,777.97	1,727,755.60	1,756,220.67	(11,442.70	)	(3,192.25	)	—	—	2.5000	2.3500	MON	3,599.49	11,588.48	20140930	20400325
31398SVZ3	FNMA		4	1	1,299,908.92	1,237,762.89	1,271,540.86	1,298,137.80	(60,374.91	)	(2,168.76	)	—	—	2.5000	2.4950	MON	2,649.04	8,288.51	20140930	20401225
3138M8DS9	FNMA		4	1	2,038,519.62	2,005,866.02	1,908,502.88	2,034,801.70	(28,935.68	)	(2,219.08	)	—	—	4.0000	2.9690	MON	6,361.68	19,238.38	20151210	20420701
31403DCE7	FNMA		4	1	51,194.11	52,848.29	51,613.43	51,339.04	1,509.25		74.09		—	—	5.0000	5.2330	MON	215.05	750.69	20080117	20191201
3138EQRF1	FNMA		4	1	2,478,995.74	2,422,314.76	2,224,561.52	2,476,367.44	(54,052.68	)	(12,295.84	)	—	—	4.5000	2.7640	MON	8,342.11	25,771.76	20161114	20450801
3138WCAV5	FNMA		4	1	4,750,725.71	4,709,021.46	4,465,033.36	4,739,593.98	(30,572.52	)	(16,180.18	)	—	—	4.0000	3.0440	MON	14,883.45	45,755.72	20140820	20440601
3135G0E58	FNMA			1	5,491,090.00	5,489,990.06	5,500,000.00	5,495,544.50	(5,554.44	)	702.94		—	—	1.1250	1.1780	AO	27,843.75	—	20150901	20181019
3140E1S38	FNMA			1	8,529,126.38	8,465,205.65	8,236,971.30	8,524,184.97	(58,979.32	)	(3,260.30	)	—	—	3.5000	17.1151	Monthly	24,024.50	72,311.58	20151231	20451001
31398GEH8	FNMA		4	1	319,061.25	315,202.60	307,977.15	317,842.96	(2,640.36	)	(1,004.52	)	—	—	3.0000	2.9470	MON	769.94	2,440.91	20140930	20391125
3140F9EZ4	FNMA		4	1	5,025,916.17	4,801,184.24	4,824,638.31	5,022,834.13	(221,649.89	)	(4,069.62	)	—	—	3.0000	2.4620	MON	12,061.60	36,450.69	20160811	20460701
3138X3EG3	FNMA		4	1	115,758.94	110,768.93	110,757.56	115,667.63	(4,898.70	)	(231.70	)	—	—	3.0000	2.3960	MON	276.89	855.11	20160714	20430801
3138WD4J7	FNMA		4	1	1,295,978.08	1,284,169.51	1,221,180.75	1,294,425.03	(10,255.52	)	(6,789.41	)	—	—	4.0000	2.6530	MON	4,070.60	12,880.07	20151211	20450201
3138WQAV4	FNMA		4	1	8,439,620.81	8,419,438.74	8,418,574.37	8,438,655.75	(19,217.01	)	(745.56	)	—	—	3.0000	2.9560	MON	21,046.43	64,168.07	20151218	20430501
31410GAG8	FNMA		4	1	3,213,686.88	3,184,033.53	2,905,438.05	3,204,668.77	(20,635.24	)	(22,998.26	)	—	—	5.0000	2.8000	MON	12,105.99	37,768.87	20151223	20360901
3135G0WJ8	FNMA			1FE	1,995,720.00	1,994,040.00	2,000,000.00	1,999,026.93	(4,986.93	)	211.29		—	—	0.8750	0.9180	MN	6,319.45	—	20130415	20180521
3136ALY88	FNMA		4	1	4,785,843.61	4,706,051.33	4,631,695.02	4,773,949.95	(67,898.62	)	(8,980.15	)	—	—	3.0000	2.2590	MON	11,579.23	35,596.69	20160115	20430625
3138WPLC6	FNMA		4	1	10,462.79	10,150.23	9,869.10	10,354.13	(203.90	)	(24.65	)	—	—	3.0000	1.6780	MON	24.67	75.47	20130516	20280301
3138AP6W3	FNMA		4	1	2,201,065.97	2,183,253.10	2,028,924.42	2,194,457.71	(11,204.61	)	(14,087.03	)	—	—	4.5000	2.9460	MON	7,608.47	23,899.77	20140820	20410901
3138YKH55	FNMA		4	1	2,232,071.54	2,220,351.91	2,162,139.82	2,227,942.87	(7,590.96	)	(3,243.40	)	—	—	3.0000	2.2830	MON	5,405.35	16,556.89	20151229	20300601
3138MRLL3	FNMA		4	1	1,707,270.17	1,664,370.31	1,617,906.12	1,701,701.66	(37,331.35	)	(5,352.40	)	—	—	3.5000	2.7010	MON	4,718.89	14,524.53	20130228	20430101
31418AMK1	FNMA		4	1	356,786.36	348,479.17	339,165.64	351,085.62	(2,606.45	)	(1,537.55	)	—	—	3.0000	1.2930	MON	847.91	2,696.43	20130219	20221101
3138XSFZ5	FNMA		4	1	3,627,464.05	3,627,462.61	3,432,254.55	3,619,121.42	8,341.19		(9,628.95	)	—	—	4.0000	3.1250	MON	11,440.85	35,048.13	20140612	20440401
31398SZN6	FNMA		4	1	8,016,778.34	7,953,006.51	7,709,599.05	7,941,926.02	11,080.49		(6,598.21	)	—	—	3.5000	2.1870	MON	22,486.33	67,504.52	20140724	20300525
31411WPJ0	FNMA		4	1	585,369.91	579,261.26	553,214.31	583,318.13	(4,056.87	)	(1,219.04	)	—	—	2.9120	1.3640	MON	1,342.47	4,091.93	20120223	20361001
31407D5R2	FNMA		4	1	317,943.49	327,722.82	312,616.70	317,284.97	10,437.85		(197.19	)	—	—	2.9990	2.5770	MON	781.28	2,388.00	20080205	20350601

31410G4F7	FNMA	4	1	550,938.76	546,086.57	498,305.27	549,268.88	(3,182.31	)	(4,245.65	)	—	—	5.0000	2.8040	MON	2,076.27	6,533.31	20160113	20361201
3138ELZ63	FNMA	4	1	984,547.89	966,616.77	930,877.00	983,324.07	(16,707.30	)	(3,855.88	)	—	—	3.5160	1.6250	MON	2,727.47	8,689.92	20140224	20420901
3138ETXE1	FNMA	4	1	4,943,168.05	4,912,500.11	4,799,192.28	4,942,024.58	(29,524.47	)	(4,512.97	)	—	—	3.5000	3.0180	MON	13,997.64	42,673.92	20161121	20460701
31402RF87	FNMA	4	1	1,828,949.40	1,932,962.67	1,762,320.32	1,820,173.17	112,789.50		(5,694.59	)	—	—	5.0000	4.2650	MON	7,343.00	22,956.34	20100413	20350601
3138WG6K5	FNMA	4	1	10,049,836.22	9,769,136.43	9,541,809.40	10,043,818.74	(274,682.31	)	(10,429.78	)	—	—	3.5000	2.6330	MON	27,830.28	84,899.10	20161013	20460501
3136ARSK5	FNMA	4	1	473,307.08	466,087.96	442,860.42	470,698.71	(4,610.75	)	(720.91	)	—	—	3.5000	2.3240	MON	1,291.68	3,950.80	20160504	20441025
3138A9YZ1	FNMA	4	1	940,907.27	948,503.70	908,951.89	932,560.16	15,943.54		(2,974.61	)	—	—	3.5000	2.6410	MON	2,651.11	8,286.59	20110816	20260801
3138W9KP4	FNMA	4	1	3,068,018.39	3,052,259.39	3,061,321.76	3,067,707.74	(15,448.35	)	(252.95	)	—	—	3.0000	2.9650	MON	7,653.30	23,242.56	20151228	20430801
31410FU60	FNMA	4	1	41,251.74	42,251.30	41,589.65	41,353.61	897.69		75.47		—	—	5.0000	5.2360	MON	173.30	623.88	20080117	20200801
3138YGAP7	FNMA	4	1	528,733.87	519,470.60	494,504.88	528,128.72	(8,658.12	)	(1,290.31	)	—	—	4.0000	2.6670	MON	1,648.35	5,018.74	20150331	20450201
3138EMCW9	FNMA	4	1	187,757.82	180,323.16	174,861.79	185,656.42	(5,333.26	)	(1,244.11	)	—	—	4.5000	2.5330	MON	655.73	2,081.62	20131224	20270101
31419ALC9	FNMA	4	1	346,680.69	327,354.53	319,705.55	336,258.47	(8,903.94	)	(3,613.00	)	—	—	5.0000	1.6190	MON	1,332.11	4,457.28	20130314	20210501
3138WGYN8	FNMA	4	1	6,793,991.03	6,605,858.01	6,448,875.44	6,790,565.02	(184,707.01	)	(12,009.28	)	—	—	3.5000	2.5820	MON	18,809.21	57,395.98	20161018	20460401
3138WAWT0	FNMA	4	1	3,319,790.49	3,299,344.85	3,127,268.05	3,311,414.75	(12,069.90	)	(11,734.26	)	—	—	4.0000	3.0860	MON	10,424.23	32,220.02	20140714	20440101
31416PM61	FNMA	4	1	1,201,474.87	1,188,780.45	1,106,394.12	1,198,852.72	(10,072.27	)	(10,130.78	)	—	—	4.5000	2.8440	MON	4,148.98	13,237.96	20160211	20390401
3135G0H63	FNMA		1	1,748,915.00	1,751,469.86	1,750,000.00	1,749,343.74	2,126.12		87.73		—	—	1.3750	1.3960	JJ	4,210.94	12,031.25	20160108	20190128
3138X3EP3	FNMA	4	1	3,726,662.66	3,726,572.91	3,620,865.50	3,721,092.50	5,480.41		(4,098.33	)	—	—	3.5000	3.1100	MON	10,560.86	32,347.63	20140714	20430801
31416BSE9	FNMA	4	1	441,284.17	426,458.14	415,948.67	431,877.50	(5,419.36	)	(2,258.19	)	—	—	5.5000	3.7970	MON	1,906.43	6,083.90	20091026	20231201
3138NXH75	FNMA	4	1	99,774.29	95,591.83	95,463.51	99,694.26	(4,102.43	)	(120.37	)	—	—	3.0000	2.3720	MON	238.66	726.92	20160714	20430101
31401DVW8	FNMA	4	1	71,583.88	77,071.24	72,418.42	71,693.46	5,377.78		7.87		—	—	2.9650	3.1960	MON	178.93	510.01	20060815	20330401
31415MFS9	FNMA	4	1	318,594.29	314,932.68	303,513.47	312,395.44	2,537.24		(1,172.55	)	—	—	5.0000	3.6370	MON	1,264.64	4,004.56	20091019	20230601
31417WKV2	FNMA	4	1	730,145.31	726,228.00	674,499.12	728,685.91	(2,457.91	)	(7,985.19	)	—	—	4.5000	3.1690	MON	2,529.37	8,187.15	20160113	20410901
3138WHBR2	FNMA	4	1	1,298,326.65	1,272,548.18	1,211,178.57	1,296,797.44	(24,249.26	)	(4,573.09	)	—	—	4.0000	2.7790	MON	4,037.26	20,909.61	20160607	20460501
3138YTLY8	FNMA	4	1	1,762,945.43	1,723,227.80	1,683,128.43	1,761,073.96	(37,846.16	)	(1,970.70	)	—	—	3.5000	2.7290	MON	4,909.12	14,878.50	20151112	20450701
31410GD83	FNMA	4	1	10,613.53	11,553.91	10,813.46	10,637.58	916.33		24.94		—	—	2.9310	3.3220	MON	26.42	87.43	20070622	20340401
3138WFX68	FNMA	4	1	3,086,215.72	3,062,624.21	2,980,051.37	3,084,379.21	(21,755.00	)	(3,093.99	)	—	—	3.5000	3.0180	MON	8,691.81	26,376.32	20151231	20451101
3138WPG24	FNMA	4	1	1,576,268.58	1,531,403.04	1,535,949.88	1,575,267.95	(43,864.91	)	(1,390.54	)	—	—	3.0000	2.6310	MON	3,839.87	11,713.08	20160314	20430401
31417C7C3	FNMA	4	1	3,559,821.00	3,515,449.91	3,413,673.12	3,549,416.30	(33,966.39	)	(11,275.96	)	—	—	3.0000	1.9010	MON	8,534.18	26,618.34	20160317	20270901
31371NE35	FNMA	4	1	61,704.59	59,682.69	58,211.89	60,143.72	(461.03	)	(316.03	)	—	—	5.5000	3.6850	MON	266.80	851.75	20091019	20220601
3138W9A26	FNMA	4	1	2,848,037.18	2,836,249.57	2,760,060.26	2,845,969.48	(9,719.91	)	(3,236.93	)	—	—	3.5000	3.0450	MON	8,050.18	24,584.02	20151228	20430701
31405UR84	FNMA	4	1	88,898.51	93,179.51	88,666.20	88,841.73	4,337.78		(2.14	)	—	—	2.8910	2.8160	MON	213.61	645.18	20070630	20341101
3138W9AS9	FNMA	4	1	4,059,065.58	4,045,153.43	4,057,163.77	4,058,780.76	(13,627.33	)	(121.31	)	—	—	3.0000	2.9860	MON	10,142.91	30,926.01	20151117	20430701
31405PAG5	FNMA	4	1	64,202.96	67,702.93	64,028.19	64,162.90	3,540.03		(12.11	)	—	—	2.7290	2.6500	MON	145.60	461.39	20070630	20341001
3138EBG33	FNMA	4	1	795,327.84	781,396.38	760,851.75	786,974.83	(5,578.45	)	(2,078.87	)	—	—	3.0000	2.0160	MON	1,902.13	5,897.85	20120517	20270301

31410GC50	FNMA	4	1	55,320.57	58,684.42	55,215.49	55,281.79	3,402.63		(8.70	)	—	—	2.9940	2.9400	MON	137.76	413.37	20070622	20330501
31407E6W8	FNMA	4	1	173,763.32	191,274.67	179,745.47	174,263.41	17,011.26		329.02		—	—	2.6510	3.6410	MON	397.09	1,218.58	20060322	20350801
3140EULG2	FNMA	4	1	5,330,296.03	5,314,559.66	5,190,890.28	5,327,991.75	(13,432.09	)	(4,689.83	)	—	—	3.5000	3.0760	MON	15,140.09	46,140.64	20151221	20451201
31416BLV8	FNMA	4	1	217,934.87	215,109.94	207,310.22	213,602.90	1,507.04		(743.74	)	—	—	5.0000	3.5900	MON	863.79	2,713.58	20091026	20230601
31394DA42	FNMA	4	1	26,754.52	27,669.39	26,563.60	26,562.08	1,107.31		(7.68	)	—	—	5.5000	5.2480	MON	121.75	399.50	20071226	20350225
31400PG58	FNMA	4	1	42,783.70	45,885.43	43,159.66	42,831.45	3,053.98		2.62		—	—	2.9290	3.0960	MON	105.35	310.47	20060815	20330101
31404VGA0	FNMA	4	1	214,099.53	223,120.68	216,125.70	214,328.12	8,792.56		21.13		—	—	2.9190	3.1010	MON	525.73	1,588.95	20060322	20340701
31419BBT1	FNMA	4	1	1,934,278.03	1,921,985.86	1,824,521.66	1,925,495.36	(3,509.50	)	(8,115.78	)	—	—	4.0000	3.0700	MON	6,081.74	18,812.17	20120514	20410201
3138W9LM0	FNMA	4	1	1,781,772.44	1,800,124.53	1,805,469.22	1,782,753.98	17,370.55		919.72		—	—	3.0000	3.1600	MON	4,513.67	13,788.78	20140911	20430801
3140EVCA3	FNMA	4	1	7,978,010.44	7,746,176.51	7,562,095.23	7,973,102.09	(226,925.58	)	(8,781.05	)	—	—	3.5000	2.6060	MON	22,056.11	67,053.32	20161013	20460601
3135G0E33	FNMA		1	1,996,340.00	1,998,460.00	2,000,000.00	1,998,450.32	9.68		578.66		—	—	1.1250	1.1850	JJ	4,437.50	31,968.75	20150608	20180720
3138WD3H2	FNMA	4	1	361,576.60	352,151.71	354,323.93	361,311.06	(9,159.35	)	(229.90	)	—	—	3.0000	2.7040	MON	885.81	2,690.61	20150217	20450201
3138Y8CM0	FNMA	4	1	1,249,408.47	1,223,541.83	1,195,070.11	1,247,433.56	(23,891.73	)	(781.56	)	—	—	3.5000	2.8780	MON	3,485.62	15,881.82	20150312	20450201
31412LQN3	FNMA	4	1	110,425.89	106,809.50	104,177.33	107,602.50	(793.00	)	(361.57	)	—	—	5.5000	3.7170	MON	477.48	1,479.03	20091019	20220601
31410GDL4	FNMA	4	1	194,475.69	205,282.79	197,879.97	194,840.24	10,442.55		57.66		—	—	2.8830	3.2530	MON	475.41	1,418.46	20070622	20350201
31401MKS9	FNMA	4	1	499,004.02	494,582.98	468,548.38	495,663.18	(1,080.20	)	(1,454.69	)	—	—	3.0500	1.5910	MON	1,190.89	3,682.72	20120223	20330501
31398MAY2	FNMA	4	1	694,983.17	644,462.52	620,001.72	647,857.88	(3,395.36	)	(1,076.74	)	—	—	5.0000	1.6940	MON	2,583.34	8,149.24	20140527	20360425
3138X6NW1	FNMA	4		312,543.69	315,436.08	298,371.07	312,504.81	2,931.27		(38.88	)	—	—	4.0000	3.5940	MON	994.57	—	20170313	20431001
3138Y7HK1	FNMA	4	1	186,184.24	186,063.86	180,939.80	186,127.06	(63.20	)	(40.12	)	—	—	2.9370	1.9960	MON	442.85	1,334.50	20160125	20451001
31406BEZ9	FNMA	4	1	64,385.98	67,765.43	64,892.16	64,432.55	3,332.88		32.81		—	—	3.1910	3.3400	MON	172.56	532.02	20070424	20341201
31417CS30	FNMA	4	1	391,873.46	383,697.99	374,718.38	391,117.04	(7,419.05	)	(711.20	)	—	—	3.5000	2.8830	MON	1,092.93	3,343.16	20150312	20420801
3138E9KT6	FNMA		1	55,335.34	54,629.25	53,047.66	54,792.39	(163.14	)	(221.76	)	—	—	3.0000	5.3096	Monthly	132.62	422.18	20120517	20270301
31408C6D3	FNMA	4	1	423,717.66	447,796.47	428,268.00	424,232.47	23,564.00		37.71		—	—	2.7880	2.9830	MON	995.01	3,003.96	20060523	20351101
31400EGH7	FNMA	4	1	11,362.08	11,637.40	11,455.16	11,406.05	231.35		19.61		—	—	5.0000	5.2550	MON	47.73	177.21	20080117	20180301
31415MDG7	FNMA	4	1	836,181.18	961,006.24	861,348.74	837,969.03	123,037.21		383.81		—	—	5.5000	6.1600	MON	3,947.85	11,894.76	20080813	20380601
31411GUY6	FNMA	4	1	882,262.95	910,735.14	875,016.72	881,215.50	29,519.64		(638.73	)	—	—	2.8820	2.6850	MON	2,101.50	6,890.97	20061221	20370101
31417AP60	FNMA	4	1	3,490,012.14	3,490,573.59	3,388,361.28	3,484,177.43	6,396.16		(3,859.60	)	—	—	3.5000	3.0840	MON	9,882.72	30,251.01	20140714	20411201
3138ETCE4	FNMA	4	1	863,735.12	849,978.12	806,875.60	862,803.08	(12,824.96	)	(4,127.66	)	—	—	4.0000	2.8840	MON	2,689.59	14,262.93	20160330	20421101
3138EJ3G1	FNMA	4	1	911,053.15	889,781.52	846,384.12	909,999.28	(20,217.76	)	(2,474.94	)	—	—	4.0000	2.5930	MON	2,821.28	8,655.62	20160714	20421001
3135G0ZB2	FNMA		1	249,127.50	249,997.50	250,000.00	249,985.19	12.31		70.15		—	—	0.7500	0.8640	AO	838.54	—	20140310	20170420
31417EWF4	FNMA	4	1	102,585.99	98,163.81	98,153.73	102,503.48	(4,339.67	)	(130.72	)	—	—	3.0000	2.3810	MON	245.38	748.81	20160714	20430201
3140FCUA4	FNMA	4	1	2,044,826.56	2,038,946.36	1,986,775.46	2,044,331.16	(5,384.80	)	(495.40	)	—	—	3.0000	2.3430	MON	4,966.94	—	20170316	20320201
31411KCZ4	FNMA	4	1	860,407.30	971,039.41	852,415.92	859,404.21	111,635.20		(561.43	)	—	—	6.0000	5.7560	MON	4,262.08	13,536.75	20070330	20370301
31411DA33	FNMA	4	1	312,213.71	327,685.68	310,732.87	311,984.37	15,701.31		(8.33	)	—	—	3.3550	3.2170	MON	868.76	2,621.44	20061221	20361201

3138WZTZ5	FNMA	4	1	1,724,000.62	1,711,487.36	1,662,939.56	1,722,426.77	(10,939.41	)	(2,622.79	)	—	—	3.5000	2.9950	MON	4,850.24	14,873.68	20151222	20430801
3140EUEF2	FNMA	4	1	4,346,590.49	4,314,625.93	4,201,507.20	4,337,739.74	(23,113.81	)	(8,467.82	)	—	—	3.0000	2.2340	MON	10,503.77	32,249.01	20151216	20301201
31400SA33	FNMA	4	1	6,295.24	6,447.78	6,346.81	6,319.17	128.61		11.80		—	—	5.0000	5.2550	MON	26.44	96.80	20080117	20180401
3138ECD91	FNMA	4	1	2,652,156.89	2,616,025.74	2,483,002.34	2,645,557.59	(29,531.85	)	(2,702.39	)	—	—	4.0000	2.8140	MON	8,276.68	24,969.48	20151210	20370301
31406GLK3	FNMA	4	1	24,269.25	26,080.03	24,441.13	24,287.71	1,792.32		19.25		—	—	3.1790	3.2980	MON	64.75	198.60	20061002	20350201
31416CME3	FNMA	4	1	1,025,385.65	1,011,155.01	974,491.32	1,007,210.58	3,944.43		(4,358.07	)	—	—	5.0000	3.6010	MON	4,060.38	12,796.37	20090930	20240601
3138Y6YG3	FNMA	4	1	1,777,924.69	1,755,787.17	1,652,442.35	1,773,881.11	(18,093.94	)	(4,138.62	)	—	—	4.0000	2.8850	MON	5,508.14	25,275.10	20150414	20441001
3138EP4F8	FNMA	4	1	4,464,012.28	4,339,595.43	4,352,479.99	4,461,399.62	(121,804.19	)	(3,457.58	)	—	—	3.0000	2.6600	MON	10,881.20	33,123.10	20160413	20440101
31405UTZ2	FNMA	4	1	7,806.74	8,259.46	7,868.10	7,812.78	446.68		2.97		—	—	3.0000	3.1450	MON	19.67	60.90	20070424	20341101
31392ER28	FNMA	4	1	562,972.06	565,676.77	511,063.36	559,226.54	6,450.23		(4,884.35	)	—	—	5.5000	5.5600	MON	2,342.37	7,479.01	20140930	20321025
31385XAZ0	FNMA	4	1	971,448.78	996,294.15	892,452.76	961,670.44	34,623.71		(6,180.11	)	—	—	5.5000	3.7000	MON	4,090.41	12,805.68	20120213	20330501
31406TTE1	FNMA	4	1	1,076,003.28	1,072,070.07	1,040,244.86	1,071,770.88	299.19		(7,172.18	)	—	—	3.2280	2.4620	MON	2,798.26	8,202.41	20091222	20350301
31403KDB6	FNMA	4	1	3,585.76	3,853.46	3,641.49	3,592.97	260.49		0.63		—	—	3.0740	3.3750	MON	9.33	28.18	20070424	20331201
31417G5V4	FNMA	4	1	68,246.84	65,304.91	65,298.21	68,192.62	(2,887.71	)	(80.51	)	—	—	3.0000	2.3980	MON	163.25	498.46	20160714	20430701
3138WEF79	FNMA	4	1	2,545,466.88	2,517,929.00	2,512,490.43	2,542,932.66	(25,003.66	)	(1,605.66	)	—	—	2.5000	2.2050	MON	5,234.36	16,039.41	20151117	20300301
31401A3C9	FNMA	4	1	12,151.24	12,445.66	12,250.77	12,197.34	248.32		23.80		—	—	5.0000	5.2570	MON	51.04	192.60	20080117	20180401
31397NLS2	FNMA	4	1	353,763.23	349,131.33	332,367.09	349,935.97	(804.64	)	(2,174.96	)	—	—	4.5000	2.2330	MON	1,246.37	3,893.05	20140212	20490325
3138EQD41	FNMA	4	1	166,466.04	165,329.12	161,153.04	166,147.09	(817.97	)	(1,046.09	)	—	—	3.0000	2.2620	MON	402.88	4,880.70	20160119	20300601
3138WGZP2	FNMA	4	1	469,674.67	456,382.34	455,960.23	468,992.69	(12,610.35	)	(421.15	)	—	—	2.5000	1.8980	MON	949.92	2,886.62	20160418	20310401
3138Y7HZ8	FNMA	4	1	427,615.41	418,752.92	416,487.40	427,489.73	(8,736.81	)	(81.71	)	—	—	2.8920	2.1190	MON	1,003.73	3,023.43	20160125	20451101
31414NB45	FNMA	4	1	483,716.52	477,446.44	460,134.61	474,652.85	2,793.59		(1,908.06	)	—	—	5.0000	3.6230	MON	1,917.23	6,015.03	20091026	20231201
31405UMM8	FNMA	4	1	24,707.65	26,142.62	24,901.90	24,726.82	1,415.80		2.41		—	—	3.0180	3.1640	MON	62.63	189.43	20070424	20341001
31406DG67	FNMA	4	1	150,925.95	159,931.48	152,112.45	151,041.57	8,889.91		64.03		—	—	3.1740	3.3180	MON	402.34	1,253.22	20070424	20341101
3138LURE7	FNMA	4	1	840,963.46	826,392.39	791,727.90	830,532.20	(4,139.81	)	(2,055.60	)	—	—	3.5000	2.1370	MON	2,309.21	7,054.94	20130129	20270501
3138WNBH1	FNMA	4	1	91,496.41	87,552.26	87,543.27	91,426.00	(3,873.74	)	(205.14	)	—	—	3.0000	2.3420	MON	218.86	681.68	20160714	20430401
3138WDUJ8	FNMA	4	1	2,972,025.28	2,948,675.16	2,805,451.58	2,969,505.87	(20,830.71	)	(13,297.52	)	—	—	4.0000	2.7050	MON	9,351.51	39,556.26	20151222	20450101
3138M0AK6	FNMA	4	1	7,522,519.25	7,453,237.15	7,245,165.28	7,514,200.85	(60,963.70	)	(3,792.07	)	—	—	3.5000	2.9200	MON	21,131.73	63,669.15	20151112	20420801
3138EQJ78	FNMA	4	1	7,277,467.43	7,197,693.30	6,841,332.47	7,248,736.10	(51,042.80	)	(41,305.56	)	—	—	4.0000	2.3770	MON	22,804.44	72,306.25	20151216	20290401
31403C2L4	FNMA	4	1	39,220.27	40,170.62	39,541.55	39,343.45	827.17		81.76		—	—	5.0000	5.2450	MON	164.76	618.30	20080117	20190401
31403DCZ0	FNMA	4	1	100,102.11	102,527.65	100,922.07	100,443.20	2,084.45		163.35		—	—	5.0000	5.2460	MON	420.51	1,516.02	20080117	20181101
3138EKVP7	FNMA	4	1	3,555,869.54	3,539,283.76	3,456,495.29	3,551,061.73	(11,777.97	)	(3,878.58	)	—	—	3.5000	3.0650	MON	10,081.44	30,709.05	20140714	20430201
3136ABFX6	FNMA	4	1	1,479,799.08	1,477,198.95	1,503,310.86	1,481,785.59	(4,586.64	)	1,376.53		—	—	2.0000	1.5960	MON	2,505.52	7,782.31	20140930	20420925
3140EU6X2	FNMA	4	1	961,324.92	917,277.99	924,608.86	960,839.08	(43,561.09	)	(732.77	)	—	—	3.0000	2.4830	MON	2,311.52	6,999.99	20160831	20460501
31418AX52	FNMA	4	1	2,130,714.24	2,041,165.45	2,047,225.81	2,129,392.80	(88,227.35	)	(1,276.36	)	—	—	3.0000	2.4750	MON	5,118.07	15,446.36	20160818	20430901

3138EJPG7	FNMA	4	1	506,616.05	492,334.31	478,080.60	500,215.66	(7,881.35	)	(1,819.09	)	—	—	3.0000	1.7320	MON	1,195.20	3,708.24	20120816	20270801
3140EUFH7	FNMA	4	1	7,226,150.38	7,088,984.60	6,908,262.38	7,220,317.07	(131,332.47	)	(9,644.06	)	—	—	3.5000	2.8760	MON	20,149.10	61,439.51	20160129	20460101
3138WCZ63	FNMA	4	1	1,819,689.71	1,790,341.83	1,741,069.55	1,811,122.28	(20,780.45	)	(3,871.49	)	—	—	3.0000	2.0440	MON	4,352.67	13,395.56	20141128	20291001
31416B4P0	FNMA	4	1	472,805.37	467,477.00	453,394.41	463,212.20	4,264.80		(1,190.69	)	—	—	5.5000	4.1560	MON	2,078.06	6,583.84	20090325	20211201
31406TLC3	FNMA	4	1	162,954.13	172,900.63	164,409.20	163,066.71	9,833.92		66.74		—	—	3.5510	3.7430	MON	486.51	1,304.12	20070424	20350401
31418BDN3	FNMA	4	1	4,853,592.50	4,810,444.33	4,481,747.50	4,847,498.00	(37,053.67	)	(26,039.14	)	—	—	4.5000	2.8430	MON	16,806.54	53,098.53	20151222	20440501
31409UBQ7	FNMA	4	1	368,338.96	398,230.29	371,312.35	368,545.32	29,684.97		9.68		—	—	3.4870	3.6620	MON	1,078.97	2,755.63	20060523	20360301
31385XK48	FNMA	4	1	36,300.35	38,454.24	36,624.45	36,341.94	2,112.30		18.73		—	—	2.8020	2.9610	MON	85.52	262.40	20070424	20330701
31416B4N5	FNMA	4	1	947,926.12	936,043.78	912,976.26	932,083.03	3,960.75		(2,737.91	)	—	—	5.5000	4.3820	MON	4,184.47	13,363.50	20090317	20221101
31416MZC1	FNMA	4	1	946,280.41	944,984.31	879,493.84	941,383.93	3,600.38		(4,771.81	)	—	—	4.5000	3.2750	MON	3,298.10	10,452.60	20130326	20390401
3138XYQJ6	FNMA	4	1	4,026,325.07	4,028,852.76	3,903,723.75	4,020,818.21	8,034.55		(3,113.18	)	—	—	3.5000	3.0700	MON	11,385.86	34,466.09	20140818	20440801
31417G5T9	FNMA	4	1	8,684,263.21	8,654,137.57	8,669,362.77	8,683,419.12	(29,281.55	)	(547.16	)	—	—	3.0000	2.9690	MON	21,673.41	66,390.49	20151218	20430701
3138YR5T1	FNMA	4	1	7,326,568.90	7,308,080.52	7,343,780.92	7,326,627.20	(18,546.68	)	323.75		—	—	3.0000	3.0230	MON	18,359.46	55,770.38	20150813	20450701
3138X4HN3	FNMA	4	1	1,276,317.04	1,262,637.97	1,262,508.34	1,275,668.46	(13,030.49	)	(206.59	)	—	—	3.0000	2.8480	MON	3,156.27	14,383.06	20150312	20430901
31416BSX7	FNMA	4	1	219,367.38	207,550.48	204,300.24	210,461.62	(2,911.14	)	(3,029.95	)	—	—	5.0000	1.6440	MON	851.25	3,201.30	20111117	20190701
3138WHGL0	FNMA	4	1	4,064,043.46	3,974,660.93	3,782,979.88	4,061,280.08	(86,619.15	)	(12,192.24	)	—	—	4.0000	2.8130	MON	12,609.94	38,659.95	20160628	20460601
3138W9VQ0	FNMA	4	1	1,338,090.46	1,320,173.30	1,285,080.85	1,329,435.95	(9,262.65	)	(3,225.33	)	—	—	3.0000	2.1200	MON	3,212.71	9,947.48	20131118	20281001
31417F2Y3	FNMA	4	1	15,536.15	15,072.04	14,654.59	15,368.24	(296.20	)	(48.41	)	—	—	3.0000	1.7500	MON	36.64	112.61	20130516	20280401
31410LK84	FNMA	4	1	696,034.14	715,355.62	635,602.26	693,614.65	21,740.97		(4,305.31	)	—	—	6.0000	3.7370	MON	3,178.01	9,968.70	20131113	20401001
31400QJ87	FNMA	4	1	5,152.41	5,524.15	5,198.41	5,157.39	366.76		0.10		—	—	3.3330	3.5100	MON	14.44	36.85	20070424	20330301
31410GDC4	FNMA	4	1	405,309.18	427,000.96	407,586.42	405,557.12	21,443.84		65.30		—	—	2.7650	2.8570	MON	939.15	2,880.11	20070622	20330801
31406VHE9	FNMA	4	1	71,669.46	75,333.99	72,309.40	71,712.10	3,621.89		38.75		—	—	2.9960	3.2230	MON	180.53	530.40	20070424	20350501
3136ATLK8	FNMA	4	1FE	1,940,466.42	1,827,592.22	1,831,438.60	1,934,651.58	(107,059.36	)	(5,461.14	)	—	—	3.0000	2.0770	MON	4,578.60	14,041.42	20160729	20460425
3138EMFX4	FNMA	4	1	816,866.04	787,579.95	764,766.33	816,119.70	(28,539.75	)	(1,307.43	)	—	—	3.5000	2.5560	MON	2,230.57	6,786.64	20160914	20431201
3138WGUC6	FNMA	4	1	942,041.18	924,935.31	900,532.27	940,164.06	(15,228.75	)	(1,952.45	)	—	—	3.0000	2.0430	MON	2,251.33	11,647.77	20160330	20310301
31417EJA0	FNMA	4	1	202,177.85	193,384.71	193,125.11	202,037.42	(8,652.71	)	(246.68	)	—	—	3.0000	2.3600	MON	482.81	1,465.35	20160914	20430101
3140EUEE5	FNMA	4	1	2,104,413.06	2,090,196.25	2,079,716.43	2,102,677.90	(12,481.65	)	(1,167.45	)	—	—	2.5000	2.2430	MON	4,332.74	13,281.79	20151216	20301201
3138WE3P2	FNMA	4	1	3,199,401.17	3,171,192.43	3,091,208.85	3,191,934.29	(20,741.86	)	(5,975.66	)	—	—	3.0000	2.2500	MON	7,728.02	23,831.78	20151117	20300701
3140F0HF4	FNMA	4	1	11,161,207.01	10,721,202.45	10,804,163.19	11,157,423.58	(436,221.13	)	(4,013.99	)	—	—	3.0000	2.5250	MON	27,010.41	81,437.86	20161017	20461001
31410GDF7	FNMA	4	1	46,311.61	49,732.85	46,913.58	46,401.20	3,331.65		21.60		—	—	2.7150	2.9420	MON	106.14	313.15	20070622	20330601
3138MLTD6	FNMA	4	1	62,592.46	59,968.63	59,888.13	62,542.61	(2,573.98	)	(80.36	)	—	—	3.0000	2.3610	MON	149.72	455.27	20160714	20421201
31414RB79	FNMA	4	1	459,897.12	452,041.44	433,865.22	449,363.42	2,678.02		(1,629.53	)	—	—	5.5000	3.7430	MON	1,988.55	6,129.69	20091019	20230301
3138W5LP1	FNMA	4	1	209,201.23	200,183.19	200,162.64	209,037.20	(8,854.01	)	(337.76	)	—	—	3.0000	2.3600	MON	500.41	1,543.47	20160714	20430301
3140EU2B4	FNMA	4	1	8,566,304.02	8,384,368.07	7,981,415.91	8,560,760.36	(176,392.29	)	(23,547.39	)	—	—	4.0000	2.7450	MON	26,604.72	81,724.16	20161019	20451201

3138WEW88	FNMA	4	1	2,267,475.14	2,237,271.21	2,240,518.53	2,266,676.93	(29,405.72	)	(451.14	)	—	—	3.0000	2.8280	MON	5,601.30	16,913.75	20151112	20450601
3138WFPA8	FNMA	4	1	1,920,408.51	1,880,273.75	1,836,339.21	1,918,294.63	(38,020.88	)	(3,670.98	)	—	—	3.5000	2.8440	MON	5,355.98	16,502.96	20151112	20450901
3138ENXH7	FNMA	4	1	4,137,416.96	4,032,497.40	3,907,255.19	4,128,390.50	(95,893.10	)	(7,857.34	)	—	—	3.5000	2.7170	MON	11,396.16	34,697.10	20150114	20441101
31406BQQ6	FNMA	4	1	107,301.93	113,197.82	108,200.04	107,381.66	5,816.16		15.84		—	—	3.1930	3.3600	MON	287.90	827.25	20070424	20350101
31402QYX3	FNMA	4	1	240,667.79	238,080.03	217,062.27	239,778.61	(1,698.58	)	(1,858.23	)	—	—	5.0000	2.7550	MON	904.43	2,835.25	20160113	20350201
31406MYP5	FNMA	4	1	58,097.81	61,287.10	58,616.55	58,147.43	3,139.67		36.55		—	—	3.1150	3.2870	MON	152.16	405.47	20070424	20350301
3138WGDX9	FNMA	4	1	5,390,553.71	5,303,994.66	5,170,020.06	5,378,104.92	(74,110.26	)	(9,554.83	)	—	—	3.0000	2.1110	MON	12,925.05	39,450.59	20160217	20301201
31402RB81	FNMA	4	1	68,328.27	72,978.43	68,893.44	68,379.10	4,599.33		0.39		—	—	3.4020	3.5700	MON	195.31	493.78	20061002	20350301
31410GDY6	FNMA	4	1	30,171.75	32,633.45	30,689.84	30,221.36	2,412.09		22.40		—	—	3.2110	3.6030	MON	82.12	255.07	20070622	20350101
31411LEA5	FNMA	4	1	54,134.27	52,360.41	51,070.06	52,736.28	(375.87	)	(154.83	)	—	—	5.5000	3.7790	MON	234.07	721.33	20091019	20220701
31410GPR8	FNMA	4	1	970,081.88	1,049,183.95	932,911.20	966,554.27	82,629.68		(2,190.24	)	—	—	6.5000	5.5450	MON	5,053.27	15,682.65	20080212	20371101
3138WD2K6	FNMA	4	1	3,725,598.10	3,619,766.55	3,422,707.90	3,721,910.00	(102,143.45	)	(11,123.06	)	—	—	4.0000	2.6870	MON	11,409.02	34,874.86	20161013	20450201
3138YVEY1	FNMA	4	1	4,785,999.35	4,633,854.06	4,656,490.70	4,783,139.29	(149,285.23	)	(5,370.26	)	—	—	3.0000	2.6450	MON	11,641.23	46,993.44	20160314	20460101
31412LVF4	FNMA	4	1	629,939.43	607,774.76	592,796.98	613,815.60	(6,040.84	)	(2,705.00	)	—	—	5.5000	3.6190	MON	2,716.99	8,645.55	20091026	20220801
31398SKX0	FNMA_10-142	4	1	315,656.25	315,265.12	314,869.08	315,631.94	(366.82	)	(52.48	)	—	—	1.4520	1.3950	MON	76.18	1,004.19	20130820	20401225
3136AFA95	FNMA_13-81	4	1	1,054,251.97	1,050,821.45	1,055,076.26	1,054,438.59	(3,617.14	)	38.76		—	—	1.2320	1.2470	MON	216.58	2,771.72	20130816	20430225
BRSY82QB1	FOCUSVISION WORLDWIDE INC			280,799.54	279,395.54	280,799.54	280,799.54	(1,404.00	)	—		—	—	—	—	MJSD	—	7,779.44	20160105	20201211
BRSY82PM8	FOCUSVISION WORLDWIDE INC			3,335,898.49	3,319,219.00	3,335,898.49	3,335,898.49	(16,679.49	)	—		—	—	—	—	MJSD	—	47,989.68	20151228	20221212
34528QFD1	FORD CREDIT FLOORPLAN MASTER O	4	1FE	999,801.10	999,368.13	1,000,000.00	999,820.79	(452.66	)	16.69		—	—	1.9500	1.9650	MON	866.67	4,983.33	20161213	20211115
34528QDL5	FORD CREDIT FLOORPLAN MASTER O	4	1FE	1,024,706.65	1,025,379.28	1,025,000.00	1,024,962.27	417.01		25.07		—	—	1.4000	1.4140	MON	637.78	3,587.49	20140826	20190815
345397YE7	FORD MOTOR CREDIT COMPANY LLC		2FE	1,695,000.00	1,705,627.50	1,695,000.00	1,695,000.00	10,627.50		—		—	—	2.6810	2.6810	JJ	10,350.90	—	20170109	20200109
345397YC1	FORD MOTOR CREDIT COMPANY LLC		2FE	1,370,000.00	1,374,986.68	1,370,000.00	1,370,000.00	4,986.68		—		—	—	1.8640	1.6510	FMAN	3,262.55	5,998.22	20160812	20190812
345397XN8	FORD MOTOR CREDIT COMPANY LLC		2FE	1,500,000.00	1,511,655.12	1,500,000.00	1,500,000.00	11,655.12		—		—	—	2.5510	2.5510	AO	18,707.33	—	20151008	20181005
345397XK4	FORD MOTOR CREDIT COMPANY LLC		2FE	2,000,000.00	2,032,480.02	2,000,000.00	2,000,000.00	32,480.02		—		—	—	3.1570	3.1570	FA	9,997.16	31,570.00	20150804	20200804
345397XQ1	FORD MOTOR CREDIT COMPANY LLC		2FE	507,765.00	505,239.95	500,000.00	507,635.81	(2,395.86	)	(129.19	)	—	—	3.2000	2.7720	JJ	3,377.78	—	20170307	20210115
345397VP5	FORD MOTOR CREDIT COMPANY LLC		2FE	1,583,764.00	1,424,752.00	1,400,000.00	1,424,564.18	187.82		(16,047.55	)	—	—	6.6250	2.8270	FA	11,851.39	46,375.00	20140930	20170815
345397WT6	FORD MOTOR CREDIT COMPANY LLC		2FE	1,750,000.00	1,750,647.50	1,750,000.00	1,750,000.00	647.50		—		—	—	1.6840	1.6840	MS	1,882.80	14,735.00	20140908	20170908
345397XF5	FORD MOTOR CREDIT COMPANY LLC		2FE	3,646,180.50	3,638,210.58	3,650,000.00	3,647,831.62	(9,621.04	)	170.11		—	—	2.4590	2.4800	MS	997.27	44,876.75	20150327	20200327
345397XZ1	FORD MOTOR CREDIT COMPANY LLC		2FE	1,400,000.00	1,365,882.06	1,400,000.00	1,400,000.00	(34,117.94	)	—		—	—	3.0960	3.0960	MN	17,698.80	—	20160504	20230504
345397YD9	FORD MOTOR CREDIT COMPANY LLC		2FE	2,445,000.00	2,422,090.45	2,445,000.00	2,445,000.00	(22,909.55	)	—		—	—	1.8970	1.8970	FA	6,313.07	23,190.83	20160812	20190812
345397XW8	FORD MOTOR CREDIT COMPANY LLC		2FE	665,000.00	672,647.51	665,000.00	665,000.00	7,647.51		—		—	—	3.3360	3.3360	MS	801.10	11,092.20	20160318	20210318
345397XY4	FORD MOTOR CREDIT COMPANY LLC		2FE	1,965,000.00	1,957,022.14	1,965,000.00	1,965,000.00	(7,977.86	)	—		—	—	2.0210	2.0210	MN	16,326.31	—	20160504	20190503
345397XH1	FORD MOTOR CREDIT COMPANY LLC		2FE	2,000,000.00	2,005,860.20	2,000,000.00	2,000,000.00	5,860.20		—		—	—	2.2400	2.2400	JD	13,191.11	—	20150616	20180615
345397XT5	FORD MOTOR CREDIT COMPANY LLC		2FE	220,000.00	222,970.00	220,000.00	220,000.00	2,970.00		—		—	—	2.9430	2.9430	JJ	1,492.76	3,237.30	20160108	20190108

34530KAB9	FORDO_14-B		4	1FE	161,161.20	161,545.71	161,641.08	161,590.54	(44.83	)	86.12		—	—	0.9000	1.0430	MON	64.66	539.17	20140917	20181015
34530PAE2	FORDO_14-C		4	1FE	464,895.47	464,919.22	465,000.00	464,956.40	(37.18	)	6.63		—	—	1.5600	1.5710	MON	322.40	1,813.50	20141125	20200215
34532EAE5	FORDO_16B		4	1FE	922,847.71	914,059.71	923,000.00	922,879.30	(8,819.59	)	4.87		—	—	1.5200	1.5290	MON	623.54	3,507.42	20160426	20210815
34531EAD8	FORDO_17-A		4		2,709,989.97	2,710,487.74	2,710,000.00	2,709,984.52	503.22		(5.45	)	—	—	1.6700	1.6750	MON	2,011.42	6,285.70	20170125	20210615
34531EAE6	FORDO_17-A		4	1FE	739,877.46	739,082.39	740,000.00	739,882.64	(800.25	)	5.18		—	—	1.9200	1.9320	MON	631.47	1,973.33	20170125	20220415
345838AE6	FOREST LABORATORIES INC.			2FE	1,237,731.84	1,211,505.93	1,128,000.00	1,195,607.31	15,898.62		(4,026.12	)	—	—	4.8750	3.2170	FA	7,026.50	27,495.00	20140724	20210215
BRT5WS9J1	FORTERRA FINANCE LLC		2	4FE	1,305,012.67	1,319,767.83	1,311,570.51	1,305,392.98	14,374.85		263.49		—	—	—	0.0710	MJSD	—	23,171.10	20161104	20231025
BRSL40CC0	FORTIUS RE LTD	D			1,000,000.00	1,000,000.00	1,000,000.00	1,000,000.00	—		—		—	—	6.6100	4.7500	MJSD	183.61	18,248.26	20131017	20170630
34959JAB4	FORTIVE CORP		2	2FE	1,999,540.00	1,973,600.00	2,000,000.00	1,999,605.41	(26,005.41	)	22.06		—	—	2.3500	2.3550	JD	13,838.89	—	20160620	20210615
34960YAJ1	FORTRESS CREDIT OPPORTUNITIES		4		1,000,000.00	993,711.50	1,000,000.00	1,000,000.00	(6,288.50	)	—		—	—	4.8840	4.5650	JAJO	14,516.84	—	20161215	20281215
354613AH4	FRANKLIN RESOURCES INC			1FE	397,820.00	400,044.00	400,000.00	399,794.44	249.56		111.60		—	—	1.3750	1.4890	MS	244.45	2,750.00	20120924	20170915
30291WAN4	FREMF		4	1	2,163,906.25	2,100,159.40	2,000,000.00	2,125,254.14	(25,094.74	)	(4,262.50	)	—	—	4.3600	3.4510	MON	7,266.60	21,797.78	20150122	20461225
30290FAE2	FREMF_12-K707		4	1	1,039,335.94	1,022,126.30	1,000,000.00	1,015,304.36	6,821.94		(2,519.82	)	—	—	3.8840	2.8380	MON	3,236.57	9,708.58	20141014	20470125
30291YAJ9	FREMF_14-K716		4	1	3,159,492.19	3,091,569.90	3,000,000.00	3,108,343.73	(16,773.83	)	(6,355.36	)	—	—	3.9520	3.0150	MON	9,879.85	29,638.55	20150204	20470825
31679NAE4	FSSLF_15-1A		4		242,607.08	247,507.25	250,000.00	244,619.05	2,888.20		226.82		—	—	4.7800	5.2910	JAJO	2,356.86	2,958.83	20150219	20270120
31679NAA2	FSSLF_15-1A		4	1FE	3,985,600.00	4,005,877.20	4,000,000.00	3,990,631.27	15,245.93		473.01		—	—	3.0300	3.1090	JAJO	23,904.20	29,452.47	20150219	20270120
359900XB8	FULTON CNTY GA DEV AUTH REV		4	1FE	1,398,065.35	1,331,260.70	1,265,000.00	1,335,289.13	(4,028.43	)	(6,456.33	)	—	—	5.4910	5.1410	MN	28,942.15	—	20140930	20191101
36319GAT1	GALAXY CLO LTD GALXY_14-18A	D	2		500,000.00	499,975.65	500,000.00	500,000.00	(24.35	)	—		—	—	—	—	MON	—	—	20170331	20261015
36319QAA0	GALAXY CLO LTD GALXY_15-19A		4	1FE	4,992,450.00	4,998,089.00	5,000,000.00	4,995,302.81	2,786.19		331.62		—	—	2.5930	2.6310	JAJO	24,133.40	31,072.74	20150225	20270124
363543AA7	GALILEI RE LTD	D			250,000.00	250,975.00	250,000.00	250,000.00	975.00		—		—	—	14.2720	—	JAJO	8,919.94	—	20161228	20200108
363543AH2	GALILEI RE LTD	D			250,000.00	251,562.50	250,000.00	250,000.00	1,562.50		—		—	—	7.2540	7.3200	JAJO	4,030.02	—	20170111	20210108
363543AD1	GALILEI RE LTD	D			250,000.00	251,245.00	250,000.00	250,000.00	1,245.00		—		—	—	6.2720	—	JAJO	3,919.94	—	20161228	20200108
363543AG4	GALILEI RE LTD	D			250,000.00	250,660.00	250,000.00	250,000.00	660.00		—		—	—	8.9790	8.9790	JAJO	4,988.33	—	20170111	20210108
363543AK5	GALILEI RE LTD	D			250,000.00	250,627.50	250,000.00	250,000.00	627.50		—		—	—	6.2290	6.2290	JAJO	3,460.44	—	20170111	20210108
363543AJ8	GALILEI RE LTD	D			250,000.00	251,285.00	250,000.00	250,000.00	1,285.00		—		—	—	6.2290	6.2290	JAJO	3,460.44	—	20170111	20210108
363543AB5	GALILEI RE LTD	D			250,000.00	250,750.00	250,000.00	250,000.00	750.00		—		—	—	9.0220	—	JAJO	5,638.69	—	20161228	20200108
363543AC3	GALILEI RE LTD	D			250,000.00	251,730.00	250,000.00	250,000.00	1,730.00		—		—	—	7.2720	—	JAJO	4,544.94	—	20161228	20200108
363543AF6	GALILEI RE LTD	D			250,000.00	251,645.00	250,000.00	250,000.00	1,645.00		—		—	—	14.2290	14.2290	JAJO	7,904.99	—	20170111	20210108
363543AE9	GALILEI RE LTD	D			250,000.00	250,777.50	250,000.00	250,000.00	777.50		—		—	—	5.5220	—	JAJO	3,451.20	—	20161228	20200108
36354TAB8	GALILEO RE LTD	D			1,200,000.00	1,222,296.00	1,200,000.00	1,200,000.00	22,296.00		—		—	—	14.0310	13.7450	JAJO	38,350.61	41,213.01	20150204	20180108
36354TAE2	GALILEO RE LTD	D			500,000.00	502,835.00	500,000.00	500,000.00	2,835.00		—		—	—	6.7200	7.2630	JAJO	7,466.67	9,047.15	20160127	20190108
36354TAC6	GALILEO RE LTD	D			600,000.00	612,456.00	600,000.00	600,000.00	12,456.00		—		—	—	13.2400	13.7280	JAJO	17,653.33	20,606.59	20160127	20190108
36354TAD4	GALILEO RE LTD	D			500,000.00	509,040.00	500,000.00	500,000.00	9,040.00		—		—	—	8.7200	9.3040	JAJO	9,688.89	11,547.16	20160127	20190108
BRSWRS7S1	GALLERIA CO			3FE	1,660,808.46	1,676,979.23	1,669,154.23	1,662,193.25	14,785.98		294.04		—	—	—	0.0710	MJSD	—	16,340.90	20160202	20230126

BRSL7EJM8	GARDA WORLD SEC	A	4	4FE	521,818.05	528,855.98	528,195.73	522,812.64	6,043.34		371.60		—	—		—	0.2800		MJSD	—	7,120.41	20160706	20201106
C3602DAH7	GARDA WORLD SEC			3FE	2,401,183.93	2,428,259.23	2,425,227.70	2,404,998.07	23,261.16		1,402.56		—	—		—	3.6055		J-A-J-O	—	32,693.63	20160706	20201106
36655QAC8	GARR_15-1A	D	4	1FE	495,800.00	500,050.40	500,000.00	496,608.79	3,441.61		138.11		—	—		3.5520	3.7060		FMAN	1,628.15	4,478.20	20151023	20270525
BRSU1ML43	GARRETSON RESOLUTION GROUP INC				62,500.01	61,562.52	62,500.01	62,500.01	(937.49	)	—		—	—		—	—		MJSD	—	2,608.08	20170210	20200522
BRSU1MK36	GARRETSON RESOLUTION GROUP INC				6,117,187.55	6,071,308.64	6,117,187.55	6,117,187.55	(45,878.91	)	—		—	—		—	—		MJSD	—	241,954.24	20150608	20210521
BRSNN37V3	GATES GLOBAL LLC		4	4FE	4,581,706.85	4,583,921.26	4,579,470.02	4,574,360.88	9,560.38		260.17		—	—		—	(1.2910	)	MJSD	—	42,383.09	20140804	20210706
380881CP5	GCCT_15-2A	A	4	1FE	1,499,754.15	1,498,725.60	1,500,000.00	1,499,846.73	(1,121.13	)	12.20		—	—		2.0200	2.0320		MON	1,346.67	7,575.00	20150429	20220415
87165LAP6	GE CAPITAL CREDIT CARD MASTER		4	1FE	1,099,851.83	1,101,551.00	1,100,000.00	1,099,872.84	1,678.16		3.49		—	—		1.7400	1.7480		MON	850.67	4,785.00	20150930	20210915
87165LAT8	GE CAPITAL CREDIT CARD MASTER		4	1FE	1,799,983.44	1,815,210.02	1,800,000.00	1,799,988.91	15,221.11		0.80		—	—		2.3800	2.3920		MON	1,904.00	12,190.89	20150930	20230915
36164QMS4	GE CAPITAL INTERNATIONAL FUNDI	D		1FE	1,020,275.32	1,019,820.15	1,016,000.00	1,019,596.80	223.35		(238.60	)	—	—		2.3420	1.5290		MN	8,989.12	676.58	20160708	20201115
G3R03C2M9	GE CAPITAL UK FUNDING			1FE	2,088,625.61	1,974,458.28	1,460,000.00	2,053,127.66	(6,719.79	)	(16,895.56	)	—	(71,949.59	)	4.3750	2.3342		July	53,394.22	—	20160922	20190731
U36964MA6	GE CAPITAL UK FUNDING			1FE	1,630,444.38	1,348,474.27	1,000,000.00	1,552,839.66	10,495.54		(18,193.91	)	—	(214,860.93	)	6.7500	1.3507		August	55,036.93	—	20151103	20180806
BRSP6WS08	GEMINI HDPE LLC		4	3FE	903,865.23	916,923.64	908,407.32	905,568.31	11,355.33		168.32		—	—		—	0.0710		MJSD	—	10,979.41	20140820	20210806
36159JDH1	GEMNT_12-6		4	1FE	6,309,105.47	6,304,445.91	6,300,000.00	6,303,401.03	1,044.88		(2,276.43	)	—	—		1.3600	1.2180		MON	3,808.00	21,420.00	20160815	20200817
369550AW8	GENERAL DYNAMICS CORP		2	1FE	2,989,411.60	2,863,262.50	3,010,000.00	2,991,159.02	(127,896.52	)	683.45		—	—		1.8750	1.9800		FA	7,211.46	28,689.07	20160812	20230815
36962G7F5	GENERAL ELECTRIC CAPITAL CORP			1FE	5,000,000.00	5,030,910.00	5,000,000.00	5,000,000.00	30,910.00		—		—	—		1.5330	0.7400		JAJO	16,337.21	18,354.93	20140114	20190114
36962G6P4	GENERAL ELECTRIC CAPITAL CORP			1FE	1,016,150.00	1,004,769.90	1,000,000.00	1,010,647.67	(5,877.77	)	(954.11	)	—	—		2.1000	1.6940		JD	6,416.67	—	20151021	20191211
36962G2T0	GENERAL ELECTRIC CO			1FE	1,138,210.00	1,105,090.03	1,000,000.00	1,099,567.28	5,522.75		(7,714.48	)	—	—		5.5500	2.2000		MN	22,662.50	—	20151228	20200504
36962G5J9	GENERAL ELECTRIC CO			1FE	406,000.64	393,141.29	358,000.00	392,188.01	953.28		(1,751.95	)	—	—		4.6500	2.4180		AO	7,583.63	—	20150406	20211017
37045XAV8	GENERAL MOTORS FINANCIAL CO IN				3,347,119.00	3,367,152.00	3,350,000.00	3,348,992.49	18,159.51		238.83		—	—		2.4000	2.4300		AO	38,190.00	—	20150410	20180410
37045XBB1	GENERAL MOTORS FINANCIAL CO IN			2FE	5,131,530.90	5,212,233.76	5,130,000.00	5,130,776.71	81,457.05		(104.71	)	—	—		3.1000	3.0910		JJ	33,572.99	79,515.00	20151013	20190115
3733844A1	GEORGIA ST			1FE	1,530,912.50	1,536,675.00	1,250,000.00	1,530,599.96	6,075.04		(312.54	)	—	—		5.0000	2.1900		FA	10,416.67	—	20170328	20260201
37331NAF8	GEORGIA-PACIFIC LLC		2	2FE	7,000,000.00	7,052,709.86	7,000,000.00	7,000,000.00	52,709.86		—		—	—		2.5390	2.5390		MN	67,142.45	—	20141106	20191115
BRT5DJJU6	GFL ENVIRONMENTAL INC	A		3FE	485,630.99	488,884.96	488,071.35	485,801.08	3,083.88		91.93		—	—		—	0.0710		MJSD	—	4,638.13	20161005	20230927
G4097TAB1	GFUND_16-2				500,346.45	436,736.52	347,173.50	500,346.45	2,613.42		—		—	(66,223.35	)	1.1634	1.4411		J-A-J-O	927.08	1,414.65	20160509	20580724
375558AV5	GILEAD SCIENCES INC			1FE	2,362,410.45	2,332,649.29	2,325,000.00	2,350,187.52	(17,538.23	)	(3,056.52	)	—	—		2.0500	1.4980		AO	23,831.25	—	20160322	20190401
375558BE2	GILEAD SCIENCES INC			1FE	250,121.50	250,725.00	250,000.00	250,058.80	666.20		(10.06	)	—	—		1.8500	1.8330		MS	346.88	2,312.50	20150914	20180904
375558BL6	GILEAD SCIENCES INC		2	1FE	530,613.95	527,412.86	545,000.00	531,271.12	(3,858.26	)	483.75		—	—		2.5000	2.9330		MS	1,135.42	6,093.41	20160920	20230901
375558AY9	GILEAD SCIENCES INC			1FE	1,000,246.00	1,006,829.99	1,000,000.00	1,000,781.05	6,048.94		(63.75	)	—	—		2.3500	2.3210		FA	3,916.67	11,750.00	20141117	20200201
375558BB8	GILEAD SCIENCES INC			1FE	598,560.00	606,035.98	600,000.00	598,984.83	7,051.15		69.99		—	—		2.5500	2.6020		MS	1,275.00	7,650.00	20150921	20200901
375558BH5	GILEAD SCIENCES INC		2	1FE	1,701,061.45	1,650,388.80	1,705,000.00	1,701,420.47	(51,031.67	)	168.00		—	—		1.9500	1.9950		MS	2,770.64	14,869.02	20160920	20220301
38137FAE2	GLD11_2015-11A	D	4		2,500,000.00	2,486,624.00	2,500,000.00	2,500,000.00	(13,376.00	)	—		—	—		2.9240	2.9340		JAJO	14,821.64	10,231.06	20161122	20270418
BRT5WL6Q3	GLDR_16-UKA	B	4		956,139.25	978,027.29	781,000.00	956,139.25	1,425.84		—		—	20,462.20		0.7260	0.7270		MON	233.22	1,739.99	20161027	20240920
BRSQQJLY6	GLOBAL CASH ACCESS			4FE	2,148,734.08	2,195,089.99	2,181,455.89	2,160,707.16	34,382.83		1,607.92		—	—		—	0.2540		MJSD	—	22,907.32	20150202	20201218

37952UAB9	GLOBAL SC FINANCE SRL SEACO_13	D	4	1FE	289,528.64	296,141.69	304,166.67	291,055.22	5,086.47		1,062.70		—	—	2.9800	4.5270	MON	352.50	2,328.12	20160629	20280417
37952UAC7	GLOBAL SC FINANCE SRL SEACO_13	D	4	1FE	324,476.24	324,253.81	329,000.00	324,561.72	(307.91	)	142.77		—	—	3.6700	4.1300	MON	469.56	1,018.93	20170221	20281117
3837H1U41	GNMA		4	1	125,598.45	125,088.85	109,872.90	123,308.92	1,779.93		(945.78	)	—	—	6.5000	3.3760	MON	595.14	1,835.37	20141201	20290120
36179RD63	GNMA		4	1	1,603,361.42	1,601,412.53	1,585,156.90	1,602,790.87	(1,378.34	)	(835.28	)	—	—	3.0000	2.8280	MON	3,962.89	12,147.17	20150618	20450520
36210B4R3	GNMA		4	1	106,749.50	108,412.67	102,152.62	104,949.24	3,463.43		(330.47	)	—	—	5.0000	3.9100	MON	425.64	1,306.30	20090416	20240415
36297DFF9	GNMA		4	1	441,178.37	442,886.77	417,313.26	432,236.99	10,649.78		(1,763.80	)	—	—	5.0000	3.5870	MON	1,738.81	5,343.63	20090930	20240415
36241KEC8	GNMA		4	1	1,194,735.56	1,332,768.67	1,157,128.83	1,191,361.54	141,407.13		(2,239.40	)	—	—	6.5000	5.5990	MON	6,267.78	19,418.42	20080922	20350515
36296XLY8	GNMA		4	1	242,258.55	248,073.08	233,748.65	238,888.70	9,184.38		(578.78	)	—	—	5.0000	4.0800	MON	973.95	2,982.47	20090616	20240115
38376JDT8	GNMA		4	1	193,657.87	188,989.00	185,914.53	190,571.03	(1,582.03	)	(1,156.72	)	—	—	3.5000	2.8720	MON	542.25	1,827.17	20140930	20390120
36297JJ54	GNMA		4	1	415,451.98	417,060.75	392,978.50	406,613.10	10,447.65		(1,252.25	)	—	—	5.0000	3.6820	MON	1,637.41	5,020.44	20090930	20240415
38375XRK2	GNMA		4	1	929,555.23	886,302.97	829,797.03	917,018.81	(30,715.84	)	(9,393.10	)	—	—	5.7500	5.8240	MON	3,976.11	12,622.70	20140930	20380720
36225C6Y7	GNMA		4	1	4,625,728.09	4,652,020.64	4,512,905.46	4,614,464.59	37,556.05		(5,117.79	)	—	—	2.1250	1.4950	MON	7,991.60	24,634.80	20110323	20340420
36210B4Q5	GNMA		4	1	44,381.45	44,553.29	41,980.66	43,540.92	1,012.37		(170.90	)	—	—	5.0000	3.4510	MON	174.92	535.95	20090930	20240415
36225DJA3	GNMA		4	1	359,534.47	368,454.35	358,526.18	359,363.22	9,091.13		(66.12	)	—	—	2.2500	2.1720	MON	672.23	2,029.36	20090323	20341120
36296TPY3	GNMA		4	1	139,033.73	138,171.90	131,678.27	136,127.57	2,044.33		(551.76	)	—	—	5.5000	4.0300	MON	603.53	1,850.07	20090605	20231015
36202EVH9	GNMA		4	1	39,055.61	38,372.96	35,253.50	39,007.46	(634.50	)	(421.19	)	—	—	6.0000	5.9840	MON	176.27	576.00	20140930	20380820
38374B4M2	GNMA		4	1	798,430.87	795,969.44	724,976.28	792,310.54	3,658.90		(4,064.32	)	—	—	5.0000	5.9220	MON	3,020.73	9,390.62	20140930	20330915
38375JCJ2	GNMA		4	1	706,827.29	679,108.40	657,037.02	678,522.21	586.19		(9,368.23	)	—	—	5.3050	4.6660	MON	2,904.65	10,314.49	20140930	20371216
38378FWR7	GNMA		4	1	1,860,418.41	1,883,585.60	1,930,856.05	1,868,981.80	14,603.80		(811.10	)	—	—	1.7500	1.6160	MON	2,815.83	8,840.59	20140930	20421120
36210B4N2	GNMA		4	1	98,618.76	99,637.54	95,283.81	97,211.57	2,425.97		(196.74	)	—	—	4.5000	3.7330	MON	357.31	1,097.93	20090416	20240415
36179RJE0	GNMA		4	1	311,722.43	305,823.31	294,468.51	311,489.03	(5,665.72	)	(915.59	)	—	—	3.5000	2.5580	MON	858.87	2,652.78	20160523	20450720
36179SB97	GNMA		4	1	5,981,186.21	5,890,526.98	5,571,182.03	5,976,568.74	(86,041.76	)	(50,900.82	)	—	—	4.0000	2.5330	MON	18,570.61	59,982.54	20160621	20460520
3620A2KC9	GNMA		4	1	268,840.99	269,882.04	254,298.30	263,482.22	6,399.82		(1,764.98	)	—	—	5.0000	3.5540	MON	1,059.58	3,378.18	20090930	20240415
3620ASPY9	GNMA		4	1	1,714,175.47	1,695,949.29	1,595,741.49	1,705,206.64	(9,257.35	)	(11,669.51	)	—	—	4.0000	2.8090	MON	5,319.14	16,560.27	20111020	20410715
36296XHH0	GNMA		4	1	43,557.88	43,510.87	41,201.66	42,700.54	810.33		(488.67	)	—	—	5.0000	3.4260	MON	171.67	559.60	20090930	20231215
36297KZF1	GNMA		4	1	211,763.23	216,780.46	204,262.95	208,931.11	7,849.35		(502.60	)	—	—	5.0000	4.0880	MON	851.10	2,602.89	20090616	20240615
38377GYS2	GNMA		4	1	851,475.50	851,847.67	829,041.65	846,282.24	5,565.43		(1,712.88	)	—	—	3.0000	2.5620	MON	2,072.60	6,653.88	20140930	20390520
36296XWP5	GNMA		4	1	736,672.13	754,808.38	711,223.65	727,354.79	27,453.59		(1,863.42	)	—	—	5.0000	4.0700	MON	2,963.43	9,070.83	20090616	20240615
36296UC73	GNMA		4	1	124,005.31	125,899.69	118,629.89	121,943.33	3,956.36		(390.07	)	—	—	5.0000	3.8090	MON	494.29	1,515.64	20090416	20240115
36296DR67	GNMA		4	1	12,731.06	12,808.19	12,128.43	12,450.34	357.85		(44.54	)	—	—	5.0000	3.9550	MON	50.54	160.01	20090730	20230715
36297AKF9	GNMA		4	1	166,646.99	167,292.30	157,632.38	163,432.39	3,859.91		(729.24	)	—	—	5.0000	3.4100	MON	656.80	2,037.00	20090930	20240115
36210BZH1	GNMA		4	1	243,815.90	244,760.05	230,626.93	239,163.49	5,596.56		(1,822.40	)	—	—	5.0000	3.4410	MON	960.95	3,030.20	20090930	20240315
36179RNY1	GNMA		4	1	1,856,434.87	1,844,419.06	1,724,159.49	1,854,326.48	(9,907.42	)	(13,436.54	)	—	—	4.5000	2.6990	MON	6,465.60	20,691.17	20151119	20450920
36179RJD2	GNMA		4	1	529,642.26	515,035.53	509,807.51	529,349.36	(14,313.83	)	(715.64	)	—	—	3.0000	2.4220	MON	1,274.51	3,896.77	20160523	20450720

36241KKB3	GNMA	4	1	1,365,479.94	1,512,355.24	1,313,750.99	1,357,057.26	155,297.98		(2,639.85	)	—	—	6.5000	5.9030	MON	7,116.15	22,021.81	20071205	20360515
36179RVB2	GNMA	4	1	1,619,788.67	1,609,806.94	1,550,037.00	1,618,591.54	(8,784.60	)	(3,419.04	)	—	—	3.5000	2.7410	MON	4,520.94	13,924.94	20160121	20451220
3620A5FJ3	GNMA	4	1	368,755.62	361,209.69	345,489.08	361,516.93	(307.24	)	(1,654.84	)	—	—	4.5000	2.8360	MON	1,295.58	3,960.46	20100920	20250415
38376TFQ0	GNMA	4	1	7,500.95	7,238.88	7,240.86	7,271.35	(32.47	)	(351.46	)	—	—	4.0000	2.8570	MON	24.14	504.89	20140930	20370620
36225DAS3	GNMA	4	1	159,437.73	166,273.29	160,213.76	159,507.70	6,765.59		26.48		—	—	2.1250	2.2260	MON	283.71	870.55	20080422	20340520
36210BZJ7	GNMA	4	1	121,985.62	122,458.02	115,386.95	119,481.89	2,976.13		(1,036.33	)	—	—	5.0000	3.5880	MON	480.78	1,661.47	20090930	20240315
36225EWE8	GNMA	4	1	167,544.32	172,380.98	164,058.08	167,091.74	5,289.24		(210.83	)	—	—	2.2500	1.9500	MON	307.61	923.50	20091222	20391220
36225CD29	GNMA	4	1	201,411.45	205,024.62	199,355.58	200,833.45	4,191.17		(138.21	)	—	—	2.2500	2.0020	MON	373.79	1,133.13	20090323	20271020
38375PXQ9	GNMA	4	1	453,277.68	455,372.55	451,631.68	453,123.86	2,248.69		(131.82	)	—	—	1.5780	1.5190	MON	217.81	1,604.86	20100311	20380220
38378NEK5	GNMA	4	1	1,494,080.14	1,505,961.53	1,509,168.82	1,495,519.76	10,441.77		1,417.63		—	—	2.7610	3.0360	MON	3,472.67	10,672.05	20140930	20520416
3620A6DZ7	GNMA	4	1	456,615.81	461,384.42	434,742.80	448,154.48	13,229.94		(1,362.93	)	—	—	5.0000	3.8530	MON	1,811.43	5,546.68	20090730	20240715
36295TVQ4	GNMA	4	1	16,546.72	18,087.04	15,867.42	16,491.13	1,595.91		(17.49	)	—	—	6.5000	5.3530	MON	85.95	260.90	20080205	20380115
36295P4L3	GNMA	4	1	125,856.96	127,206.37	120,455.28	123,638.53	3,567.84		(399.00	)	—	—	5.0000	3.7680	MON	501.90	1,540.95	20090416	20230515
36296E5H5	GNMA	4	1	95,714.07	96,798.22	91,660.95	94,074.25	2,723.97		(343.82	)	—	—	5.0000	3.8020	MON	381.92	1,176.09	20090416	20230715
36179SEH6	GNMA	4	1	9,625,427.94	9,428,033.18	9,084,944.70	9,618,862.22	(190,829.04	)	(20,603.41	)	—	—	3.5000	2.4830	MON	26,497.76	81,267.35	20160621	20460620
36179SEG8	GNMA	4	1	2,210,511.52	2,150,034.25	2,128,209.67	2,209,576.72	(59,542.47	)	(2,356.11	)	—	—	3.0000	2.4360	MON	5,320.52	16,180.17	20160628	20460620
36225BPY8	GNMA	4	1	137,753.55	145,662.94	124,805.00	134,989.58	10,673.36		(543.79	)	—	—	8.0000	6.2100	MON	832.03	2,551.45	20080320	20310915
38377KKN9	GNMA	4	1	742,591.46	726,982.10	709,493.58	731,615.33	(4,633.23	)	(888.51	)	—	—	3.5000	2.4370	MON	2,069.36	6,589.53	20140930	20381120
38376P6D7	GNMA	4	1	439,574.51	430,453.83	414,184.98	432,574.33	(2,120.50	)	(2,391.37	)	—	—	4.2500	3.5050	MON	1,466.91	4,779.19	20140930	20381020
36295QJE1	GNMA	4	1	136,076.04	136,930.96	129,663.76	133,286.57	3,644.39		(447.42	)	—	—	5.0000	3.8430	MON	540.27	1,675.04	20090430	20230815
36225DJZ8	GNMA	4	1	396,402.28	409,923.08	395,290.58	396,222.15	13,700.93		(74.80	)	—	—	2.2500	2.1690	MON	741.17	2,229.76	20090323	20341220
3620ADCM2	GNMA	4	1	2,748,192.05	2,727,986.19	2,608,785.09	2,698,952.52	29,033.67		(10,356.05	)	—	—	4.5000	3.2220	MON	9,782.94	30,314.00	20091217	20241115
36292DWW8	GNMA	4	1	47,687.44	52,126.53	45,729.64	47,448.53	4,678.00		(277.29	)	—	—	6.5000	5.7430	MON	247.70	816.34	20080205	20371115
38377JEA7	GNMA	4	1	82,551.15	80,992.13	80,256.33	80,879.70	112.43		(226.11	)	—	—	3.0000	1.3110	MON	200.64	726.25	20130930	20371220
36241KEH7	GNMA	4	1	567,403.47	589,753.60	548,795.88	564,519.86	25,233.74		(954.04	)	—	—	4.5000	3.9800	MON	2,057.98	6,267.17	20100621	20350615
38376WSP1	GNMA	4	1	71,074.28	71,060.37	70,610.91	70,913.41	146.96		(34.49	)	—	—	1.4980	1.2700	MON	32.33	245.22	20121210	20381220
3620A6AC1	GNMA	4	1	318,631.76	340,383.69	313,151.62	317,834.35	22,549.34		(375.35	)	—	—	4.5000	4.2770	MON	1,174.32	3,650.69	20090618	20390615
36179Q6P1	GNMA	4	1	1,491,980.55	1,473,314.12	1,418,611.98	1,489,996.16	(16,682.04	)	(4,906.97	)	—	—	3.5000	2.6740	MON	4,137.62	12,857.57	20150422	20450320
38376FNL2	GNMA	4	1	231,344.65	225,917.44	218,972.70	226,664.86	(747.42	)	(1,250.61	)	—	—	4.5000	3.0420	MON	821.15	2,743.16	20140930	20380720
36179MK82	GNMA	4	1	93,013.96	89,868.97	84,666.38	92,434.08	(2,565.11	)	(611.92	)	—	—	4.0000	2.5840	MON	282.22	878.87	20121018	20420820
36179MEL0	GNMA	4	1	2,114,926.09	2,063,072.09	1,996,096.00	2,090,274.98	(27,202.89	)	(8,636.66	)	—	—	3.0000	1.5840	MON	4,990.24	15,510.99	20120622	20270620
36202E4Z9	GNMA	4	1	66,897.14	65,082.74	62,369.74	66,808.37	(1,725.63	)	(73.33	)	—	—	4.5000	4.6950	MON	233.89	704.95	20140930	20390520
36204J4C7	GNMA	4	1	108,377.76	112,854.73	102,002.60	105,419.18	7,435.55		(258.04	)	—	—	6.5000	5.3390	MON	552.51	1,695.85	20080916	20240415
36297A3K7	GNMA	4	1	99,276.25	100,898.41	95,072.26	97,791.15	3,107.26		(357.31	)	—	—	5.0000	3.6950	MON	396.13	1,212.17	20090416	20240115

36295KAT0	GNMA		4	1	39,425.38	43,095.38	37,806.78	39,257.17	3,838.21		(29.16	)	—	—	6.5000	5.6140	MON	204.79	616.71	20080205	20371215
36296URS1	GNMA		4	1	162,327.85	162,956.44	153,546.88	158,910.47	4,045.97		(1,174.92	)	—	—	5.0000	3.6150	MON	639.78	2,164.98	20090930	20240215
36205BKY7	GNMA		4	1	161,627.89	168,304.54	152,120.35	157,220.22	11,084.32		(381.42	)	—	—	6.5000	5.3370	MON	823.99	2,524.65	20080916	20240415
36202KME2	GNMA		4	1	203,473.67	206,624.87	200,652.00	202,361.23	4,263.64		(127.17	)	—	—	2.1250	1.7730	MON	355.32	1,105.81	20090323	20240720
36179MNJ5	GNMA		4	1	1,170,824.74	1,133,372.70	1,067,760.78	1,164,410.68	(31,037.98	)	(7,525.78	)	—	—	4.0000	2.5110	MON	3,559.20	11,066.47	20121023	20420920
36179RXE4	GNMA		4	1	1,098,813.24	1,090,872.13	1,031,295.60	1,097,888.30	(7,016.17	)	(5,821.32	)	—	—	4.0000	2.6870	MON	3,437.65	10,848.71	20160222	20460120
36211V6Q8	GNMA		4	1	107,844.21	109,606.40	103,277.42	106,050.65	3,555.75		(342.82	)	—	—	5.0000	3.8760	MON	430.32	1,325.77	20090416	20240115
36241LHQ2	GNMA		4	1	454,671.65	475,490.70	433,908.43	451,890.67	23,600.03		(1,312.96	)	—	—	5.0000	4.2550	MON	1,807.95	5,615.94	20100428	20360915
36291FS41	GNMA		4	1	960,864.92	939,121.52	929,494.49	960,281.14	(21,159.62	)	(322.35	)	—	—	3.0000	2.5280	MON	2,323.74	6,995.30	20160222	20460115
36290SJB8	GNMA		4	1	462,494.89	483,441.52	441,374.43	458,782.93	24,658.59		(1,386.17	)	—	—	5.0000	4.2440	MON	1,839.06	5,741.78	20100428	20330915
38377MSG2	GNMA		4	1	602,473.58	601,743.62	589,781.49	599,442.99	2,300.63		(708.75	)	—	—	3.0000	2.2060	MON	1,474.45	4,683.18	20140930	20400916
36241KGU6	GNMA		4	1	58,542.94	63,189.31	57,289.71	58,349.18	4,840.13		(90.40	)	—	—	5.0000	4.6580	MON	238.71	742.23	20090820	20351215
36225EVZ2	GNMA		4	1	1,076,870.99	1,093,470.08	1,063,576.28	1,075,878.42	17,591.66		(715.33	)	—	—	2.2500	1.9440	MON	1,994.20	6,029.03	20091222	20391220
36241LN36	GNMA		4	1	430,502.53	444,338.37	397,578.08	426,219.16	18,119.21		(2,895.04	)	—	—	5.5000	4.1850	MON	1,822.23	5,710.58	20100930	20360415
36296UUL2	GNMA		4	1	168,661.45	172,709.56	162,736.83	166,290.68	6,418.88		(407.02	)	—	—	5.0000	4.1260	MON	678.07	2,079.11	20090616	20240315
36295PZJ4	GNMA		4	1	47,061.15	47,594.20	45,068.28	46,192.04	1,402.16		(146.40	)	—	—	5.0000	3.8480	MON	187.78	577.19	20090416	20230315
36297G2R0	GNMA		4	1	563,568.64	565,750.98	533,082.95	551,943.31	13,807.67		(2,265.51	)	—	—	5.0000	3.6220	MON	2,221.18	6,841.74	20090930	20240415
36179MQN3	GNMA		4	1	1,195,488.75	1,137,136.95	1,123,183.78	1,189,753.19	(52,616.24	)	(4,281.72	)	—	—	3.0000	2.1870	MON	2,807.96	8,634.75	20121120	20421020
36202FZV1	GNMA		4	1	1,817,726.46	1,777,326.85	1,695,343.84	1,789,371.02	(12,044.17	)	(9,741.16	)	—	—	3.5000	1.7900	MON	4,944.75	15,417.44	20120123	20261220
36179RQ36	GNMA		4	1	313,071.54	309,900.06	292,975.28	312,843.93	(2,943.87	)	(1,757.59	)	—	—	4.0000	2.6260	MON	976.59	3,087.46	20160523	20451020
36179SCA3	GNMA		4	1	1,278,176.73	1,271,749.25	1,188,828.82	1,277,205.14	(5,455.89	)	(15,952.09	)	—	—	4.5000	2.9460	MON	4,458.11	14,876.90	20160621	20460520
36201YER3	GNMA		4	1	402,475.63	420,703.95	384,096.03	399,455.30	21,248.65		(1,573.77	)	—	—	5.0000	4.1900	MON	1,600.40	5,002.76	20100428	20330915
36225DLE2	GNMA		4	1	217,459.31	226,127.38	218,483.49	217,552.14	8,575.24		78.33		—	—	2.0000	2.0890	MON	364.14	1,147.79	20090323	20350120
36241KBP2	GNMA		4	1	489,772.36	544,584.30	474,355.80	488,293.81	56,290.49		(928.60	)	—	—	6.5000	5.5950	MON	2,569.43	8,003.59	20080922	20340915
38376EX34	GNMA		4	1	37,055.16	35,806.20	35,719.95	35,840.06	(33.86	)	(508.92	)	—	—	4.0000	2.7420	MON	119.07	755.16	20140930	20370720
38373MUZ1	GNMA		4	1	1,784,921.23	1,736,917.80	1,699,795.46	1,740,084.04	(3,166.24	)	(5,772.01	)	—	—	5.3020	5.6920	MON	7,510.53	22,969.01	20140930	20381116
36297DTR8	GNMA		4	1	69,164.99	70,295.20	66,236.16	67,910.74	2,384.46		(168.93	)	—	—	5.0000	4.0500	MON	275.99	845.10	20090416	20240315
36179Q3H2	GNMA		4	1	2,018,674.26	1,984,793.30	1,964,646.04	2,017,128.57	(32,335.27	)	(2,987.25	)	—	—	3.0000	2.5650	MON	4,911.62	15,136.17	20150422	20450220
36204SV60	GNMA		4	1	107,646.85	110,854.51	101,314.67	104,682.62	6,171.89		(278.72	)	—	—	6.5000	5.2940	MON	548.79	1,689.73	20080916	20240115
38174GAE4	GOCAP_15-24A	D	4	1FE	1,500,000.00	1,493,138.70	1,500,000.00	1,500,000.00	(6,861.30	)	—		—	—	4.7840	4.8080	FMAN	10,763.37	17,558.98	20150410	20270205
38173XAA6	GOCAP_2014-21A	D	4		4,000,000.00	3,999,720.00	4,000,000.00	4,000,000.00	(280.00	)	—		—	—	2.9380	2.9480	JAJO	21,544.53	28,435.97	20141125	20261025
38173QAC7	GOLCP_17	D	4	1FE	244,375.00	246,549.85	250,000.00	245,257.48	1,292.37		227.31		—	—	3.4380	3.9300	JAJO	1,575.70	2,096.69	20160510	20251027
380956AD4	GOLDCORP INC	A	2	2FE	1,453,995.00	1,529,609.99	1,500,000.00	1,463,172.94	66,437.05		1,341.30		—	—	3.7000	4.1700	MS	2,466.66	27,750.00	20150709	20230315
38148FAB5	GOLDMAN SACHS GROUP INC/THE			1FE	2,183,602.50	2,167,759.09	2,150,000.00	2,176,734.97	(8,975.88	)	(2,504.18	)	—	—	2.5500	2.0490	AO	24,062.09	13,260.00	20160621	20191023

38145XAA1	GOLDMAN SACHS GROUP INC/THE			1FE	6,807,750.00	6,826,612.64	6,750,000.00	6,774,768.96	51,843.68		(3,263.41	)	—	—	2.6250	2.4190	JJ	30,023.45	88,593.75	20140714	20190131
38148BAA6	GOLDMAN SACHS GROUP INC/THE		2	3FE	7,181,300.00	7,210,000.00	7,000,000.00	7,085,168.17	124,831.83		(9,460.90	)	—	—	5.7000	5.0840	MN	156,275.00	—	20140718	20491231
38143U8F1	GOLDMAN SACHS GROUP INC/THE		2	1FE	1,092,440.60	1,098,109.72	1,090,000.00	1,091,960.91	6,148.81		(118.72	)	—	—	2.8750	2.8250	FA	3,133.75	15,668.75	20160225	20210225
38141GVR2	GOLDMAN SACHS GROUP INC/THE			2FE	707,016.00	725,157.70	712,000.00	707,611.19	17,546.51		104.11		—	—	4.2500	4.3370	AO	13,448.89	—	20151021	20251021
38148BAB4	GOLDMAN SACHS GROUP INC/THE		2	3FE	1,965,000.00	2,014,125.00	1,965,000.00	1,965,000.00	49,125.00		—		—	—	5.3750	5.3750	MN	41,367.34	—	20150423
38145GAG5	GOLDMAN SACHS GROUP INC/THE		2	1FE	2,047,888.50	2,008,446.50	2,050,000.00	2,048,112.55	(39,666.05	)	132.31		—	—	2.3500	2.3710	MN	24,622.78	—	20160927	20211115
38148LAA4	GOLDMAN SACHS GROUP INC/THE		2	1FE	3,370,897.50	3,345,182.82	3,325,000.00	3,360,044.56	(14,861.74	)	(2,801.12	)	—	—	2.6000	2.2320	AO	37,941.95	—	20160613	20200423
38141GVP6	GOLDMAN SACHS GROUP INC/THE		2	1FE	7,794,988.00	7,861,931.30	7,800,000.00	7,796,456.62	65,474.68		212.02		—	—	2.7500	2.7620	MS	9,533.33	107,250.00	20150915	20200915
38148LAE6	GOLDMAN SACHS GROUP INC/THE		2	1FE	4,705,071.50	4,733,811.65	4,675,000.00	4,700,091.77	33,719.88		(701.68	)	—	—	3.7500	3.6690	MN	62,820.31	—	20150601	20250522
38141GES9	GOLDMAN SACHS GROUP INC/THE			2FE	6,077,662.50	6,003,847.19	5,250,000.00	5,938,001.08	65,846.11		(14,032.55	)	—	—	5.9500	4.2960	JJ	65,945.83	156,187.50	20140822	20270115
38141GVT8	GOLDMAN SACHS GROUP INC/THE		2	1FE	54,847.10	54,907.60	55,000.00	54,893.71	13.89		12.42		—	—	2.0000	2.0960	AO	476.67	—	20160425	20190425
386442WH6	GRAND RIVER DAM AUTH OKLA			1FE	60,557.00	58,838.50	50,000.00	59,977.25	(1,138.75	)	(380.30	)	—	—	5.0000	1.5900	JD	833.34	—	20161115	20230601
BRT8C2871	GRAY TELEVISION INC.			3FE	1,378,368.44	1,389,423.03	1,381,823.00	1,378,410.65	11,012.38		50.87		—	—	—	0.0360	MJSD	—	763.96	20170301	20240207
BRT83PRJ3	GRIFOLS WORLDWIDE OPERATIONS U		2	3FE	547,074.95	549,446.98	548,446.07	547,086.33	2,360.65		14.23		—	—	—	0.0310	MJSD	191.14	959.69	20170308	20250131
39055TAC2	GRTLK_15-1A	D	4	1FE	450,000.00	445,049.28	450,000.00	450,000.00	(4,950.72	)	—		—	—	3.7230	3.7400	JAJO	3,443.93	4,117.00	20150730	20260715
40053RAA0	GRX_15-1A		4		1,732,833.94	1,654,862.30	1,732,833.94	1,732,833.94	(77,971.64	)	—		—	—	3.7500	3.7650	JAJO	13,718.27	17,847.25	20150331	20230715
36251FAT3	GS MORTGAGE SECURITIES TRUST G		4	?	1,735,260.15	1,721,872.05	1,690,000.00	1,719,106.91	2,765.14		(2,602.30	)	—	—	2.8980	2.2500	MON	4,081.35	12,244.05	20150715	20480210
36248GAB6	GS MORTGAGE SECURITIES TRUST G		4	?	5,454,217.19	5,307,362.96	5,220,000.00	5,358,820.05	(51,457.09	)	57,280.23		—	—	3.0330	2.0220	MON	13,193.55	39,580.65	20141103	20461110
36250GAM7	GS MORTGAGE SECURITIES TRUST G		4	?	2,789,181.05	2,759,316.54	2,720,575.00	2,775,773.07	(16,456.53	)	466.14		—	—	2.7260	2.2540	MON	6,180.24	18,540.72	20160329	20500510
36191YBB3	GSMS_11-GC5		4	?	4,733,705.48	4,559,626.50	4,350,000.00	4,681,078.94	(121,452.44	)	(25,575.42	)	—	—	3.7070	1.6540	MON	13,437.89	46,080.05	20160913	20440810
36192KAR8	GSMS_12-GCJ7		4		101,318.86	99,130.94	99,153.75	99,371.16	(240.22	)	(35.83	)	—	—	2.3180	1.1270	MON	191.53	818.85	20150203	20450510
36192CAF2	GSMS_13-GC10		4		256,488.28	251,760.00	250,000.00	255,420.67	(3,660.67	)	(416.03	)	—	—	2.5640	1.8640	MON	534.17	1,602.51	20160627	20460210
36253TAK0	GSMS_14-GSFL		4		900,000.00	893,479.41	900,000.00	900,000.00	(6,520.59	)	—		—	—	3.1620	2.6700	MON	1,343.94	6,741.60	20170110	20310715
36250GAP0	GSMS_15-GC30		4	?	3,709,994.08	3,648,228.79	3,602,000.00	3,691,704.31	(43,475.52	)	(2,243.73	)	—	—	3.3820	3.0390	MON	10,151.64	30,454.92	20150529	20500510
36250PAB1	GSMSCII_15-GC32		4	1FE	5,149,852.50	5,120,457.50	5,000,000.00	5,103,194.38	17,263.12		(3,887.78	)	—	—	3.0620	2.4460	MON	12,758.33	38,274.99	20150731	20480710
406216BG5	HALLIBURTON COMPANY		2	2FE	1,336,234.60	1,358,116.76	1,340,000.00	1,336,676.83	21,439.93		80.61		—	—	3.8000	3.8340	MN	19,236.44	—	20151113	20251115
BRT2N0U22	HARLAND CLARKE HOLDINGS CORP		2	4FE	1,913,568.46	1,991,655.86	1,972,750.99	1,921,734.76	69,921.10		1,322.21		—	—	—	0.5440	MJSD	—	41,320.94	20160623	20211231
BRT8D2SV5	HARLAND CLARKE HOLDINGS CORP		2	4FE	1,463,873.68	1,483,055.49	1,477,514.81	1,464,096.24	18,959.25		303.37		—	—	—	0.1850	MJSD	—	7,576.30	20170302	20220209
BRSYDKXU5	HARLEY-DAVIDSON FINANCIAL			1FE	1,999,760.00	2,009,980.00	2,000,000.00	1,999,858.85	10,121.15		19.16		—	—	2.2500	2.2540	JJ	9,500.00	22,500.00	20160108	20190115
41283LAG0	HARLEY-DAVIDSON FINANCIAL			1FE	3,624,565.00	3,640,877.36	3,625,000.00	3,624,744.16	16,133.20		34.72		—	—	2.2500	2.2540	JJ	17,218.75	40,781.25	20160108	20190115
43814GAC4	HAROT		4	1FE	119,344.70	119,483.79	119,568.89	119,550.42	(66.63	)	46.13		—	—	0.7700	0.8580	MON	33.25	374.54	20140729	20180319
43813JAD7	HAROT_14-1		4	1FE	159,797.85	160,178.58	160,223.44	160,172.28	6.30		109.97		—	—	1.0400	1.1620	MON	46.29	3,499.17	20150319	20200221
43814GAD2	HAROT_14-2		4	1FE	500,351.56	500,073.55	500,000.00	500,050.68	22.87		(33.15	)	—	—	1.1800	1.1560	MON	213.06	1,475.01	20141031	20200518
43814QAD0	HAROT_16-2		4	1FE	785,988.13	780,995.45	786,000.00	785,987.80	(4,992.35	)	0.04		—	—	1.6200	1.6250	MON	565.92	3,183.30	20160531	20220815

438124AC3	HAROT_16-3		4	1FE	3,129,564.61	3,109,387.73	3,130,000.00	3,129,669.54	(20,281.81	)	43.85		—	—		1.1600	1.1690		MON	1,311.12	9,077.01	20160823	20200518
43814RAD8	HAROT_16-4		4	1FE	409,897.87	402,819.68	410,000.00	409,910.75	(7,091.07	)	7.53		—	—		1.3600	1.3710		MON	201.36	1,394.01	20161025	20230118
413875AP0	HARRIS CORPORATION			2FE	4,994,300.00	5,005,900.00	5,000,000.00	4,997,751.14	8,148.86		511.40		—	—		1.9990	2.0420		AO	42,756.39	10,994.50	20150427	20180427
415690MD5	HARRISONBURG VA REDEV & HSG AU		2	4FE	717,102.10	717,130.70	715,000.00	715,000.00	2,130.70		—		—	—		7.0000	6.9700		FA	8,341.67	29,575.00	20140930	20200801
44890RAC5	HART_14-A		4	1FE	25,354.92	25,380.67	25,386.65	25,383.11	(2.44	)	11.86		—	—		0.7900	0.8500		MON	8.91	173.67	20140729	20180716
44890UAD6	HART_14-B		4	1FE	3,273,351.45	3,266,208.14	3,265,000.00	3,267,040.80	(832.66	)	(655.59	)	—	—		1.4600	1.3830		MON	2,118.62	11,917.23	20141022	20191115
44890WAC4	HART_15-A		4	1FE	4,295,885.78	4,291,725.48	4,296,510.93	4,296,330.62	(4,605.14	)	103.50		—	—		1.0500	1.0580		MON	2,005.04	13,703.63	20150121	20190415
44930UAD8	HART_16-A		4	1FE	469,908.82	469,202.23	470,000.00	469,939.38	(737.15	)	8.63		—	—		1.5600	1.5720		MON	325.87	2,897.70	20160330	20200915
BRSZRX6W5	HCA INC			3FE	848,406.64	854,549.18	850,532.96	848,718.98	5,830.20		74.93		—	—		—	0.0350		MJSD	—	8,384.00	20160322	20230317
429827AF5	HEF_04-1		4	1FE	164,000.00	173,534.50	200,000.00	176,888.71	(3,354.21	)	334.11		—	—		0.9680	3.5700		MON	213.24	998.03	20090911	20440101
429827AN8	HEF_04-1		4	1FE	164,000.00	174,389.92	200,000.00	177,140.52	(2,750.60	)	447.76		—	—		0.1560	1.2060		MON	4.26	995.55	20090911	20440101
429827AQ1	HEF_04-1			1FE	246,000.00	261,279.21	300,000.00	254,549.44	6,729.77		334.34		—	—		1.5240	2.2900		MON	129.76	1,528.59	20090911	20440101
429827AB4	HEF_04-1		4	1FE	164,000.00	174,197.80	200,000.00	179,317.12	(5,119.32	)	423.75		—	—		0.9410	3.7260		MON	141.63	991.51	20090911	20440101
423012AB9	HEINEKEN N.V.	D		2FE	1,815,260.75	1,825,105.85	1,825,000.00	1,823,792.66	1,313.19		716.50		—	—		1.4000	1.5330		AO	12,775.00	3,788.17	20121010	20171001
427866AV0	HERSHEY COMPANY THE			1FE	999,740.00	1,002,890.00	1,000,000.00	999,877.81	3,012.19		21.33		—	—		1.6000	1.6090		FA	1,777.78	8,000.00	20150821	20180821
BRT2CVMF6	HERTZ CORPORATION (THE)			3FE	998,002.78	1,001,442.51	1,000,504.04	998,270.72	3,171.79		93.87		—	—		—	0.0350		MJSD	—	11,856.12	20160701	20230630
42806DAJ8	HERTZ_15-3A		4		2,499,756.75	2,504,650.00	2,500,000.00	2,499,822.61	4,827.39		13.66		—	—		3.7100	3.7410		MON	1,545.83	23,187.51	20151007	20210925
42824CAU3	HEWLETT PACKARD ENTERPRISE CO			2FE	3,521,569.48	3,546,955.06	3,505,000.00	3,519,292.10	27,662.96		(2,227.87	)	—	—		3.1000	2.8210		AO	50,637.51	—	20161230	20181005
429827AJ7	HIGHER EDUCATION FUNDING HEF_0		4	1FE	164,224.00	174,455.06	200,000.00	176,654.43	(2,199.37	)	290.16		—	—		2.1690	3.5430		MON	118.85	981.33	20090911	20440101
429827AE8	HIGHER EDUCATION FUNDING HEF_0		4	1FE	164,000.00	173,955.86	200,000.00	179,425.89	(5,470.03	)	2,254.14		—	—		—	1.1930		MON	—	1,031.73	20090911	20440101
429827AK4	HIGHER EDUCATION FUNDING HEF_0		4	1FE	164,196.00	174,455.06	200,000.00	177,842.71	(3,387.65	)	1,817.11		—	—		0.4280	1.5630		MON	18.75	1,305.62	20090911	20440101
BRT3X6466	HILTON WORLDWIDE FINANCE LLC			3FE	1,979,475.37	1,998,395.37	1,984,614.21	1,979,509.38	18,885.99		34.01		—	—		—	(0.0810	)	MJSD	—	1,777.39	20170316	20231025
40538BAE2	HLA_14-2A	D	4		499,375.00	500,968.35	500,000.00	499,397.36	1,570.99		22.36		—	—		3.0390	3.0780		JAJO	2,574.71	3,773.56	20170119	20250428
40538FAJ2	HLAF_14-C-1	D	4	1	478,000.00	496,053.45	500,000.00	483,798.78	12,254.67		644.51		—	—		4.0410	4.7440		JAJO	3,816.71	4,906.14	20150202	20251022
437076BL5	HOME DEPOT INC		2	1FE	398,576.00	397,944.00	400,000.00	398,883.69	(939.69	)	65.86		—	—		2.0000	2.0730		AO	4,000.00	—	20160212	20210401
437076BG6	HOME DEPOT INC		2	1FE	1,494,480.00	1,512,119.99	1,500,000.00	1,495,825.52	16,294.47		185.91		—	—		2.6250	2.6830		JD	13,125.00	—	20150602	20220601
437076BB7	HOME DEPOT INC		2	1FE	307,867.56	303,227.98	300,000.00	303,510.26	(282.28	)	(733.18	)	—	—		2.2500	1.3770		MS	393.76	3,375.00	20150710	20180910
BRSY03M62	HOME FRANCHISE CONCEPTS LLC				5,332,863.20	5,319,531.04	5,332,863.20	5,332,863.20	(13,332.16	)	—		—	—		—	—		MJSD	—	80,591.85	20151215	20211130
43814QAC2	HONDA AUTO RECEIVABLES OWNER T		4		1,399,972.84	1,395,794.19	1,400,000.00	1,399,973.42	(4,179.23	)	0.41		—	—		1.3900	1.3940		MON	864.89	6,100.57	20160531	20200415
438516BA3	HONEYWELL INTERNATIONAL INC			1FE	1,126,518.60	1,097,316.10	1,020,000.00	1,094,659.94	2,656.16		(4,490.88	)	—	—		4.2500	2.2850		MS	3,612.50	21,675.00	20150619	20210301
438516BJ4	HONEYWELL INTERNATIONAL INC			1FE	2,747,827.50	2,728,797.39	2,750,000.00	2,748,126.72	(19,329.33	)	194.18		—	—		1.4000	1.4270		AO	16,148.61	3,888.89	20161031	20191030
438670Q20	HONOLULU HAWAII CITY & CNTY			1FE	1,500,000.00	1,501,290.00	1,500,000.00	1,500,000.00	1,290.00		—		—	—		1.2590	1.2590		MN	7,868.75	—	20150601	20171101
BRSPKZWC4	HOPLON II INSURANCE LTD	B			11,608,077.94	9,642,314.12	9,000,000.00	11,601,044.35	10,994.02		(1,753.11	)	—	(1,969,724.25	)	6.3400	6.3790		JAJO	139,009.41	160,922.99	20140822	20180108
BRST7Y914	HOUGHTON MIFFLIN HARCOURT PUBL		4	4FE	1,141,152.70	1,061,825.97	1,146,887.15	1,142,872.66	(81,046.69	)	248.39		—	—		—	0.0830		MJSD	—	11,625.81	20150619	20210528

4424356L2	HOUSTON TEX		2	1FE	452,780.27	425,300.30	415,000.00	425,714.62	(414.32	)	(4,271.67	)	—	—		5.0000	0.6670		MN	7,838.89	—	20150831	20211115
4424356Y4	HOUSTON TEX		2	1FE	147,289.97	137,489.40	135,000.00	138,485.48	(996.08	)	(1,389.58	)	—	—		5.0000	0.6670		MN	2,550.00	—	20150831	20211115
44266RAC1	HOWARD HUGHES MEDICAL IN			1FE	1,011,949.50	991,524.52	950,000.00	1,003,212.51	(11,687.99	)	(1,880.78	)	—	—		3.5000	2.5480		MS	2,770.83	16,625.00	20160203	20230901
G463NBBT9	HSBC BANK PLC				3,693,081.00	3,691,786.00	3,700,000.00	3,698,402.04	(6,616.04	)	350.61		—	—		1.5000	1.1233		May-Nov	20,966.67	—	20130515	20180515
40428HPJ5	HSBC BANK USA INC			1FE	938,383.20	949,625.69	940,000.00	939,499.58	10,126.11		81.92		—	—		2.6250	2.6620		MS	479.79	12,337.51	20130924	20180924
404280AY5	HSBC HOLDINGS PLC	D		1FE	2,022,468.75	2,035,125.00	2,025,000.00	2,022,873.88	12,251.12		126.94		—	—		2.9500	2.9770		MN	20,908.13	7,727.36	20160525	20210525
G463CFAA4	HSBC HOLDINGS PLC			1FE	2,439,929.61	2,110,717.71	1,650,000.00	2,332,034.17	3,235.01		(20,860.16	)	—	(224,551.47	)	6.3750	0.5507		October	59,459.54	—	20141127	20221018
404280AU3	HSBC HOLDINGS PLC	D	2	1FE	2,479,500.00	2,522,974.98	2,500,000.00	2,482,246.80	40,728.18		512.29		—	—		4.2500	4.3520		FA	12,690.97	66,052.08	20150818	20250818
404280BC2	HSBC HOLDINGS PLC	D	2	2FE	210,000.00	223,431.60	210,000.00	210,000.00	13,431.60		—		—	—		6.8750	6.8750		JD	4,812.50	—	20160601	20491231
404280AN9	HSBC HOLDINGS PLC	D		1FE	785,947.50	784,199.99	750,000.00	778,790.66	5,409.33		(1,313.18	)	—	—		4.0000	3.1630		MS	83.33	15,000.00	20151116	20220330
404280AR0	HSBC HOLDINGS PLC	D	2	2FE	5,585,000.00	5,586,061.15	5,585,000.00	5,585,000.00	1,061.15		—		—	—		5.6250	5.6250		JJ	64,576.57	157,078.14	20140917
404280BG3	HSBC HOLDINGS PLC	D		1FE	2,820,000.00	2,897,634.54	2,820,000.00	2,820,000.00	77,634.54		—		—	—		2.4990	2.4990		JAJO	16,833.04	44,618.96	20161005	20220105
404280BJ7	HSBC HOLDINGS PLC	D	2	1FE	3,200,000.00	3,220,896.26	3,200,000.00	3,200,000.00	20,896.26		—		—	—		3.2620	3.2620		MS	5,219.20	—	20170313	20230313
40428HPN6	HSBC USA INC			1FE	299,817.00	301,359.03	300,000.00	299,901.77	1,457.26		9.10		—	—		2.3750	2.3880		MN	2,711.46	—	20141113	20191113
C4426EAH7	HUDSONS BAY CO			4FE	705,393.88	677,626.88	708,938.57	706,146.91	(28,520.03	)	124.87		—	—		—	5.5041		F-M-A-N	—	—	20151006	20220930
446438RU9	HUNTINGTON NATIONAL BANK THE		2	1FE	1,799,892.00	1,806,156.05	1,800,000.00	1,799,894.09	6,261.96		2.09		—	—		2.3750	2.3770		MS	2,493.75	—	20170310	20200310
BRT6KYD05	HUNTSMAN INTL LLC		2	3FE	605,747.35	613,861.60	608,536.90	605,906.92	7,954.68		119.87		—	—		—	(0.2810	)	FMAN	—	6,977.64	20161115	20230401
C4438BAC0	HUSKY INJECTION MOLDING SYS LT			4FE	351,203.69	354,689.23	352,968.51	351,886.41	2,802.82		137.36		—	—		—	4.2521		M-J-S-D	—	3,889.55	20140725	20210630
BRSSNVRZ9	HVFII_15-1		4		2,999,848.20	3,002,943.60	3,000,000.00	2,999,859.58	3,084.02		13.10		—	—		3.5200	3.5460		MON	1,760.00	26,400.00	20150414	20210525
44421LAA0	HY_16-10HY		4	?	1,622,133.33	1,517,744.66	1,575,000.00	1,619,529.97	(101,785.31	)	(94.24	)	—	—		2.8350	2.5000		MON	3,720.94	11,162.82	20160823	20380810
44891AAE7	HYUNDAI CAPITAL AMERICA			2FE	6,995,170.00	7,026,376.00	7,000,000.00	6,996,800.64	29,575.36		392.49		—	—		2.5000	2.5240		MS	6,319.44	87,500.00	20160318	20190318
44891AAM9	HYUNDAI CAPITAL AMERICA			2FE	454,517.70	453,778.33	455,000.00	454,517.70	(739.37	)	—		—	—		3.1000	3.1230		AO	—	—	20170405	20220405
44891AAG2	HYUNDAI CAPITAL AMERICA			1FE	2,997,870.00	2,974,515.00	3,000,000.00	2,998,427.82	(23,912.82	)	169.76		—	—		2.0000	2.0240		JJ	15,000.00	33,000.00	20160613	20190701
44891AAL1	HYUNDAI CAPITAL AMERICA			2FE	1,497,900.00	1,500,238.50	1,500,000.00	1,497,900.00	2,338.50		—		—	—		2.5500	2.5990		AO	—	—	20170405	20200403
44920UAJ7	HYUNDAI CAPITAL SERVICES INC	D		2FE	851,580.00	853,134.39	855,000.00	851,625.06	1,509.33		45.06		—	—		3.0000	3.0870		MS	1,781.26	—	20170306	20220306
BRSHH3U39	IASIS HELTHCARE CORP		4	4FE	3,132,470.57	3,126,534.54	3,136,615.60	3,133,061.55	(6,527.01	)	601.80		—	—		—	0.1030		FMAN	—	23,235.87	20170117	20180503
452227FG1	ILLINOIS ST SALES TAX REV			1FE	4,100,000.00	4,104,264.00	4,100,000.00	4,100,000.00	4,264.00		—		—	—		1.5600	1.5600		JD	18,832.67	—	20120517	20170615
G4721VAY0	IMPERIAL TOBACCO FIN PLC			2FE	705,322.77	542,464.76	400,000.00	661,951.02	9,464.91		(5,916.16	)	—	(128,951.15	)	6.2500	1.6795		December	10,106.38	—	20141217	20181204
G4721V112	IMPERIAL TOBACCO FIN PLC				1,440,504.56	1,431,907.42	1,000,000.00	1,425,439.84	(2,798.87	)	(14,068.65	)	—	9,266.45		7.7500	2.2329		June	74,607.32	—	20161223	20190624
BRT6HMVP0	IMS HEALTH INCORPORATED			3FE	3,156,996.25	3,178,037.35	3,160,914.67	3,157,298.62	20,738.73		1,710.61		—	—		—	(0.0930	)	JAJO	—	43,603.82	20161201	20210317
454795DQ5	IN HLTH CLARIAN		2	1FE	405,442.00	381,943.30	365,000.00	377,520.35	4,422.95		(2,834.57	)	—	—		5.2500	4.9500		MN	7,984.38	—	20140930	20241101
454795DR3	IN HLTH CLARIAN		2	1FE	381,825.50	366,247.00	350,000.00	359,918.72	6,328.28		(2,237.14	)	—	—		5.2500	5.0000		MN	7,656.25	—	20140930	20251101
BRT5YQ1J1	INCEPTION MERGER SUB INC		2		488,367.24	494,093.66	490,821.35	488,491.78	5,601.88		92.94		—	—		—	0.0710		MJSD	—	2,776.40	20161123	20231103
45505UAH1	INDIANA ST FINANCE AUTHORITY			1FE	2,301,800.00	2,122,380.00	2,000,000.00	2,118,663.67	3,716.33		(18,427.18	)	—	—		5.0000	4.4300		MN	41,666.67	—	20140930	20181101

BRT53G306	INEOS STYROLUTION US HOLDING L				87,446.04	88,178.39	87,885.47	87,487.59	690.80		21.75		—	—		—	0.0990		MJSD	—	1,055.24	20161011	20210930
BRT8W9FP6	INEOS US FINANCE LLC			3FE	4,178,436.96	4,225,267.82	4,208,828.13	4,178,940.28	46,327.54		579.50		—	—		—	(0.0400	)	MJSD	—	12,827.77	20170301	20220331
BRT8EKLA7	INFOR US INC		2	4FE	1,765,203.38	1,768,428.93	1,770,959.63	1,765,373.61	3,055.32		170.23		—	—		—	0.0470		JAJO	—	14,204.57	20170206	20220201
44987DAN6	ING BANK NV	D			3,249,057.50	3,263,520.00	3,250,000.00	3,249,372.97	14,147.03		76.72		—	—		2.3000	2.3100		MS	1,868.75	37,375.00	20160322	20190322
N6088VDF2	ING BANK NV			1FE	1,927,642.68	1,586,825.10	1,200,000.00	1,830,231.21	8,193.46		(18,718.27	)	—	(251,599.57	)	6.8750	1.1616		May	86,769.25	—	20150616	20230529
449786BD3	ING BANK NV	D			387,336.95	387,344.65	385,000.00	386,535.09	809.56		(146.61	)	—	—		2.5000	2.3350		AO	4,812.50	—	20151116	20191001
449786BG6	ING BANK NV	D		1FE	5,000,000.00	5,001,710.00	5,000,000.00	5,000,000.00	1,710.00		—		—	—		1.6490	1.4270		FMAN	10,306.25	19,366.89	20160815	20190815
44987CAE8	ING BANK NV	D		1FE	2,748,322.50	2,754,702.23	2,750,000.00	2,749,215.04	5,487.19		137.79		—	—		2.0500	2.0710		FA	6,890.28	28,187.50	20150817	20180817
44987CAB4	ING BANK NV	D		1FE	3,529,556.10	3,541,963.60	3,535,000.00	3,533,231.78	8,731.82		452.59		—	—		1.8000	1.8530		MS	2,651.25	31,815.00	20150316	20180316
456837AH6	ING GROEP NV	D			1,023,657.25	1,027,808.52	1,025,000.00	1,023,658.15	4,150.37		0.90		—	—		3.9500	3.9660		MS	224.93	—	20170329	20270329
456837AG8	ING GROEP NV	D		2FE	2,694,789.00	2,708,451.30	2,700,000.00	2,694,796.90	13,654.40		7.90		—	—		3.1500	3.1920		MS	472.50	—	20170329	20220329
45687AAL6	INGERSOLL-RAND GLOBAL HOLDING			2FE	2,989,816.80	3,012,461.46	2,964,000.00	2,974,464.35	37,997.11		(1,415.81	)	—	—		2.8750	2.4250		JJ	17,989.84	42,607.50	20140616	20190115
456873AA6	INGERSOLL-RAND LUXEMBOURG FINA	D	2	2FE	1,502,730.00	1,514,085.05	1,500,000.00	1,501,567.65	12,517.40		(123.08	)	—	—		2.6250	2.5890		MN	16,406.25	—	20141029	20200501
458140AQ3	INTEL CORPORATION			1FE	2,023,096.50	2,055,334.36	2,025,000.00	2,023,707.19	31,627.17		92.04		—	—		2.4500	2.4700		JJ	8,544.38	24,806.25	20150729	20200729
458140AW0	INTEL CORPORATION		2	1FE	4,991,200.00	4,893,600.10	5,000,000.00	4,992,673.30	(99,073.20	)	424.38		—	—		1.7000	1.7370		MN	31,166.67	—	20160519	20210519
458182DT6	INTER-AMERICAN DEV BANK	D		1	2,050,000.00	2,050,266.67	2,050,000.00	2,050,000.00	266.67		—		—	—		1.1500	0.2860		MJSD	1,243.76	5,094.16	20130912	20180912
BRSYNGK60	INTER-AMERICAN DEV BANK	B		1FE	1,017,150.31	1,018,428.80	800,000.00	1,016,555.82	(1,062.09	)	(594.49	)	—	2,935.08		1.1250	0.4140		DEC	3,237.47	—	20170301	20191217
45818WAT3	INTER-AMERICAN DEV BANK	D			5,000,000.00	4,999,300.00	5,000,000.00	5,000,000.00	(700.00	)	—		—	—		1.1420	0.2210		MJSD	1,902.97	12,341.63	20140620	20180620
459200HZ7	INTERNATIONAL BUSINESS MACHINE			1FE	1,545,272.50	1,547,148.00	1,550,000.00	1,548,642.05	(1,494.05	)	391.85		—	—		1.1250	1.2290		FA	2,664.06	8,718.75	20150206	20180206
459200JN2	INTERNATIONAL BUSINESS MACHINE			1FE	2,597,504.00	2,607,514.03	2,600,000.00	2,597,647.57	9,866.46		143.57		—	—		1.9000	1.9330		JJ	8,782.22	2,607.22	20170127	20200127
459200HE4	INTERNATIONAL BUSINESS MACHINE				248,777.50	251,350.02	250,000.00	249,312.53	2,037.49		78.68		—	—		1.8750	2.0080		MN	1,770.83	—	20150717	20190515
459200HK0	INTERNATIONAL BUSINESS MACHINE			1FE	1,149,710.10	1,153,972.05	1,155,000.00	1,154,069.01	(96.96	)	266.62		—	—		1.2500	1.3450		FA	2,125.52	7,218.75	20130208	20180208
459200JE2	INTERNATIONAL BUSINESS MACHINE			1FE	4,997,950.00	5,018,550.10	5,000,000.00	4,998,739.56	19,810.54		144.23		—	—		1.8000	1.8120		MN	33,500.00	—	20160219	20190517
459058FK4	INTL BANK FOR RECONSTR & DEVP	D		1FE	7,698,383.00	7,584,576.92	7,700,000.00	7,698,744.22	(114,167.30	)	128.87		—	—		0.8750	0.8820		FA	8,609.02	33,722.00	20160713	20190815
BRT6UKK48	ION MEDIA NETWORKS INC			4FE	3,425,660.70	3,486,413.25	3,460,459.79	3,427,935.76	58,477.49		2,144.52		—	—		—	0.2510		MJSD	—	50,641.00	20161208	20201218
46603BAB5	IVYH_14-9A	D	4		3,938,672.80	3,984,927.60	4,000,000.00	3,959,222.81	25,704.79		1,830.60		—	—		3.4740	3.5760		JAJO	28,175.73	34,057.07	20141014	20251018
BRT88VS96	JBS USA LUX SA	D	2	3FE	2,683,226.00	2,688,257.05	2,683,226.00	2,683,226.00	5,031.05		—		—	—		—	—		MJSD	—	5,621.89	20170207	20221030
47787UAD5	JDOT_15-A		4	1FE	938,665.51	938,496.16	938,740.14	938,708.67	(212.51	)	7.19		—	—		1.3200	1.3260		MON	550.72	3,703.88	20150311	20190617
476576HQ9	JERSEY CITY N J			1FE	2,225,000.00	2,256,595.00	2,225,000.00	2,225,000.00	31,595.00		—		—	—		2.5250	2.5250		MS	4,681.77	28,090.63	20141210	20190901
BRSLZGT09	JLL / DELTA PATHEON HOLDINGS L	D	4	4FE	992,397.70	994,884.92	994,884.92	992,588.80	2,296.12		149.60		—	—		—	0.0580		MJSD	—	10,715.58	20161202	20210311
24422ESX8	JOHN DEERE CAPITAL CORP			1FE	2,174,173.50	2,175,630.97	2,175,000.00	2,174,640.88	990.09		74.40		—	—		1.6000	1.6130		JJ	7,540.00	19,820.00	20150714	20180713
24422ETJ8	JOHN DEERE CAPITAL CORP			1FE	1,596,768.00	1,575,183.96	1,600,000.00	1,597,351.52	(22,167.56	)	259.97		—	—		1.2500	1.3170		AO	11,222.22	—	20160909	20191009
24422EST7	JOHN DEERE CAPITAL CORP			1FE	2,578,710.00	2,576,749.20	2,580,000.00	2,579,654.13	(2,904.93	)	107.59		—	—		1.3500	1.3670		JJ	7,256.25	17,415.00	20150116	20180116
24422ETM1	JOHN DEERE CAPITAL CORP			1FE	2,998,050.00	2,999,580.00	3,000,000.00	2,998,287.49	1,292.51		237.49		—	—		1.6500	1.6880		AO	11,687.50	—	20170106	20181015

24422ESF7	JOHN DEERE CAPITAL CORP			1FE	1,012,020.00	1,004,539.95	1,000,000.00	1,006,603.87	(2,063.92	)	(947.11	)	—	—	1.9500	1.5550	JD	5,850.00	—	20151026	20181213
24422ETQ2	JOHN DEERE CAPITAL CORP			1FE	284,777.70	286,402.21	285,000.00	284,781.02	1,621.19		3.32		—	—	2.2000	2.2270	MS	278.67	—	20170315	20200313
478111AA5	JOHNS HOPKINS HEALTH SYSTEM CO			1FE	244,815.00	250,777.25	250,000.00	248,356.46	2,420.79		359.46		—	—	1.4240	1.4240	MN	1,344.89	—	20140930	20180515
478115AC2	JOHNS HOPKINS UNIVERSITY			1FE	1,750,000.00	1,749,896.75	1,750,000.00	1,750,000.00	(103.25	)	—		—	—	1.4770	1.4770	JJ	6,461.88	12,923.75	20150218	20180701
478160BM5	JOHNSON & JOHNSON			1FE	462,388.50	452,160.05	450,000.00	460,189.47	(8,029.42	)	(927.28	)	—	—	1.8750	1.0160	JD	2,718.75	—	20160829	20191205
478160BR4	JOHNSON & JOHNSON			1FE	5,464,344.20	5,436,417.90	5,465,000.00	5,464,578.70	(28,160.80	)	56.64		—	—	1.1250	1.1290	MS	5,123.44	33,543.14	20160301	20190301
478160AW4	JOHNSON & JOHNSON			1FE	122,861.25	129,283.75	125,000.00	124,196.42	5,087.33		54.84		—	—	2.9500	3.1500	MS	307.29	1,843.75	20100817	20200901
418097AD3	JORDAN (HASHEMITE KINGDOM OF)	D		1FE	10,000,000.00	10,082,510.01	10,000,000.00	10,000,000.00	82,510.01		—		—	—	1.9450	1.9450	JD	52,947.23	8,104.17	20140626	20190623
46641BAE3	JP MORGAN CHASE COMMERCIAL MOR		4	1FE	1,217,724.61	1,178,786.22	1,125,000.00	1,204,534.87	(25,748.65	)	(4,923.71	)	—	—	3.6740	1.7960	MON	3,444.75	10,334.25	20160729	20461217
46642EAY2	JPMBB		4	1FM	2,133,984.38	2,084,340.07	2,000,000.00	2,105,965.62	(21,625.55	)	(3,260.39	)	—	—	3.7750	2.9260	MON	6,291.33	18,873.99	20150316	20470815
46640LAB8	JPMBB COMMERCIAL MORTGAGE SECU		4		2,209,016.33	2,174,949.22	2,139,645.03	2,176,748.84	(1,799.62	)	11,019.31		—	—	3.0190	2.3730	MON	5,383.53	16,153.26	20140919	20460815
46644FAE1	JPMBB COMMERCIAL MORTGAGE SECU		4		4,059,062.50	4,077,640.09	4,000,000.00	4,049,382.93	28,257.16		(2,304.28	)	—	—	3.0420	2.7900	MON	10,140.00	34,678.80	20160309	20481015
46641WAT4	JPMBB_14-C19		4	?	1,910,646.29	1,891,980.54	1,855,000.00	1,887,078.54	4,902.00		4,569.68		—	—	3.0460	2.5510	MON	4,707.99	14,123.97	20140521	20470415
46643ABF9	JPMBB_14-C23		4	1FE	5,734,531.25	5,620,602.95	5,350,000.00	5,679,962.85	(59,359.90	)	(16,256.91	)	—	—	3.6570	2.3030	MON	16,304.13	48,912.39	20160527	20470915
46644FAB7	JPMBB_15-C28		4	1FM	3,089,994.00	3,047,253.30	3,000,000.00	3,061,477.12	(14,223.82	)	2,654.84		—	—	2.7730	2.2340	MON	6,933.25	20,799.75	20150423	20481015
46590JAW7	JPMBB_15-C36		4	1FM	3,089,976.00	3,073,018.50	3,000,000.00	3,078,191.34	(5,172.84	)	(2,110.22	)	—	—	3.5980	3.2480	MON	8,995.50	26,986.50	20151029	20481115
12625CAL7	JPMCC		4	?	1,033,281.25	1,004,699.70	1,000,000.00	1,030,797.22	(26,097.52	)	(1,236.96	)	—	—	3.5440	2.9850	MON	2,953.50	8,860.50	20160930	20310310
46634SAC9	JPMCC_12-C6		4	1FE	826,828.93	794,482.66	765,139.56	814,117.72	(19,635.06	)	(4,242.47	)	—	—	3.5070	0.8940	MON	2,236.38	6,909.32	20160621	20450515
46639EAB7	JPMCC_12-LC9		4	?	526,374.34	525,833.88	525,676.18	525,937.86	(103.98	)	569.05		—	—	1.6770	1.6370	MON	734.59	3,815.22	20141010	20471215
46641BAB9	JPMCC_13-C16		4		3,154,244.71	3,081,728.26	3,030,962.67	3,109,664.99	(27,936.73	)	36,408.57		—	—	3.0700	2.2120	MON	7,754.21	23,639.24	20141104	20461215
46642CBE9	JPMCC_14-C20		4	?	10,321,083.75	10,172,399.45	10,000,000.00	10,221,494.13	(49,094.68	)	(192.07	)	—	—	2.8720	2.1950	MON	23,930.00	79,830.48	20160516	20470715
46590KAB0	JPMCC_15-JP1		4	1FM	1,905,492.60	1,899,548.00	1,850,000.00	1,891,395.45	8,152.55		(2,841.60	)	—	—	3.1440	2.4810	MON	4,846.70	14,540.10	20151229	20490115
46644RAZ8	JPMCCMSC_15-C29		4	1FM	2,059,986.00	2,054,143.40	2,000,000.00	2,050,155.86	3,987.54		(1,364.32	)	—	—	3.6110	3.2590	MON	6,018.00	18,054.00	20150630	20480515
46590LAR3	JPMDB_16-C2		4	?	999,100.00	978,493.42	970,000.00	993,807.55	(15,314.13	)	(1,555.67	)	—	—	2.6620	1.9760	MON	2,151.70	6,455.10	20160523	20490615
466247E74	JPMMT		4	NR*Z*	40,384.45	37,501.42	40,352.91	40,363.18	(2,861.76	)	(221.83	)	—	—	3.3040	3.2710	MON	111.11	350.27	20080211	20360225
46643DAE7	JPMMT_14-OAK4		4		1,374,430.15	1,368,177.47	1,356,624.46	1,369,842.37	(1,664.90	)	2,887.55		—	—	3.5000	3.1610	MON	3,956.82	12,663.54	20141009	20440925
46648CAD6	JPMMT_17-1		4	1FE	2,437,130.21	2,449,242.86	2,395,581.83	2,435,239.78	14,003.08		3,234.41		—	—	3.5000	2.7710	MON	6,987.11	7,002.91	20170228	20470125
46648CAB0	JPMMT_17-1		4	1FE	855,578.13	857,238.60	850,000.00	855,332.75	1,905.85		2,059.23		—	—	3.5000	3.3480	MON	2,479.17	2,479.17	20170228	20470125
46625HRX0	JPMORGAN CHASE & CO		2	2FE	3,294,291.00	3,199,185.00	3,300,000.00	3,294,474.63	(95,289.63	)	136.59		—	—	3.6250	3.6440	JD	44,859.38	—	20161116	20271201
46625HQU7	JPMORGAN CHASE & CO		2	1FE	7,295,328.00	7,302,189.34	7,300,000.00	7,296,894.58	5,294.76		381.95		—	—	1.8500	1.8720	MS	3,376.26	67,525.00	20160323	20190322
46625HLW8	JPMORGAN CHASE & CO		2	1FE	4,243,656.00	4,253,382.46	4,200,000.00	4,232,109.82	21,272.64		(2,488.40	)	—	—	2.7500	2.4900	JD	31,441.67	—	20160621	20200623
46625HQJ2	JPMORGAN CHASE & CO		2	1FE	798,320.00	800,543.95	800,000.00	798,658.77	1,885.18		80.12		—	—	2.5500	2.5950	MS	1,700.00	10,200.00	20160301	20210301
46625HRU6	JPMORGAN CHASE & CO		2	1FE	2,700,000.00	2,744,333.95	2,700,000.00	2,700,000.00	44,333.95		—		—	—	2.2020	1.7820	MJSD	4,128.14	18,273.25	20160607	20210607
46647PAC0	JPMORGAN CHASE & CO		2	1FE	5,000,000.00	4,990,000.15	5,000,000.00	5,000,000.00	(9,999.85	)	—		—	—	1.6430	1.6430	MJSD	5,247.77	—	20170309	20210309

46625HJF8	JPMORGAN CHASE & CO			1FE	4,000,000.00	4,023,519.88	4,000,000.00	4,000,000.00	23,519.88		—		—	—	1.9380	1.2010	JAJO	14,211.19	49,447.16	20130125	20180125
46625HJR2	JPMORGAN CHASE & CO			1FE	1,518,345.00	1,514,684.94	1,500,000.00	1,508,734.55	5,950.39		(1,161.20	)	—	—	2.3500	2.0230	JJ	6,168.75	17,625.00	20150716	20190128
46625HJG6	JPMORGAN CHASE & CO			1FE	7,239,770.00	7,262,324.28	7,250,000.00	7,249,100.65	13,223.63		267.41		—	—	1.8000	1.8150	JJ	23,925.00	65,250.00	20141201	20180125
48128BAB7	JPMORGAN CHASE & CO		2	1FE	3,229,903.10	3,227,803.57	3,230,000.00	3,229,939.82	(2,136.25	)	36.72		—	—	2.9720	2.9720	JJ	30,131.95	—	20161208	20230115
46625HJY7	JPMORGAN CHASE & CO			2FE	5,785,667.75	5,839,541.85	5,765,000.00	5,788,891.96	50,649.89		(64.70	)	—	—	3.8750	3.8100	MS	13,031.30	111,696.88	20140910	20240910
46625HJQ4	JPMORGAN CHASE & CO		2	3FE	3,187,500.00	3,315,000.00	3,000,000.00	3,149,508.57	165,491.43		(4,389.83	)	—	—	6.7500	5.8550	FA	33,750.00	101,250.00	20141216	20491231
46625HNX4	JPMORGAN CHASE & CO		2	1FE	299,691.00	301,146.01	300,000.00	299,774.99	1,371.02		14.79		—	—	2.5500	2.5720	AO	3,230.00	—	20151029	20201029
48127FAA1	JPMORGAN CHASE & CO		2	2FE	5,724,375.00	5,843,500.00	5,800,000.00	5,726,506.73	116,993.27		234.32		—	—	5.0000	5.0790	JJ	72,500.00	209,236.11	20140718	20491231
46625HKK5	JPMORGAN CHASE & CO		2	3FE	2,433,000.00	2,487,000.00	2,400,000.00	2,433,000.00	54,000.00		—		—	—	5.3000	5.2280	MN	53,000.00	—	20161014
46625HRV4	JPMORGAN CHASE & CO		2	1FE	588,720.00	570,144.01	600,000.00	589,100.00	(18,955.99	)	251.47		—	—	2.9500	3.1730	AO	8,850.00	—	20161116	20261001
46625HKC3	JPMORGAN CHASE & CO		2	1FE	722,172.50	711,884.76	725,000.00	722,708.70	(10,823.94	)	63.95		—	—	3.1250	3.1710	JJ	4,279.52	11,328.13	20150302	20250123
46623EKD0	JPMORGAN CHASE & CO		2	1FE	501,405.00	500,200.05	500,000.00	500,446.38	(246.33	)	(130.71	)	—	—	1.7000	1.5920	MS	708.33	4,250.00	20150528	20180301
48125LRG9	JPMORGAN CHASE BANK NA		2	1FE	2,697,246.00	2,685,582.08	2,700,000.00	2,697,717.60	(12,135.52	)	223.29		—	—	1.6500	1.6850	MS	990.00	22,275.00	20160923	20190923
BRSZLU5D0	KAR AUCTION SERVICES INC			3FE	294,030.01	300,341.26	297,000.01	294,466.10	5,875.16		111.38		—	—	—	0.1420	MJSD	—	3,386.91	20160322	20230309
487836BH0	KELLOGG COMPANY			2FE	3,027,000.00	3,001,290.00	3,000,000.00	3,001,324.58	(34.58	)	(2,591.59	)	—	—	1.7500	1.8290	MN	19,541.66	—	20140930	20170517
491674BE6	KENTUCKY UTILITIES COMPANY		2	1FE	783,795.00	772,822.49	750,000.00	772,984.51	(162.02	)	(2,139.87	)	—	—	3.2500	2.2870	MN	10,156.25	—	20150805	20201101
49327M2F0	KEY BANK NATIONAL ASSOCIATION			1FE	499,780.00	505,424.96	500,000.00	499,881.66	5,543.30		10.45		—	—	2.5000	2.5090	JD	3,680.56	—	20141124	20191215
49327M2P8	KEY BANK NATIONAL ASSOCIATION			1FE	6,395,002.80	6,312,593.91	6,385,000.00	6,392,696.55	(80,102.64	)	(775.19	)	—	—	1.6000	1.5480	FA	11,067.33	51,080.00	20160822	20190822
49327M2Q6	KEY BANK NATIONAL ASSOCIATION			1FE	992,860.00	994,130.03	1,000,000.00	993,320.59	809.44		337.02		—	—	2.5000	2.6540	MN	8,958.33	—	20161129	20211122
BRSP750D8	KEY SAFETY SYSTEMS INC		4		1,175,640.88	1,190,968.91	1,179,664.18	1,177,036.35	13,932.56		146.48		—	—	—	0.0500	MJSD	—	16,580.84	20140922	20210829
493267AK4	KEYCORP		2	3FE	3,300,000.00	3,250,500.00	3,300,000.00	3,300,000.00	(49,500.00	)	—		—	—	5.0000	5.0000	MJSD	7,333.33	41,250.00	20160909	20491229
BRT1YUAX0	KFC HOLDING CO/PIZZA HUT HOLDI		2	3FE	1,752,877.13	1,777,981.13	1,761,685.54	1,753,787.62	24,193.51		329.33		—	—	—	0.0710	MJSD	—	32,435.56	20160713	20230616
494074AG2	KILIMANJARO RE LIMITED	D			500,000.00	513,350.00	500,000.00	500,000.00	13,350.00		—		—	—	7.0650	6.9940	JAJO	8,537.36	8,868.96	20151201	20191206
494074AF4	KILIMANJARO RE LIMITED	D			500,000.00	518,590.00	500,000.00	500,000.00	18,590.00		—		—	—	9.5650	9.5460	JAJO	11,558.19	12,022.86	20151201	20191206
494074AE7	KILIMANJARO RE LIMITED	D		3	10,616,900.00	10,878,358.75	10,675,000.00	10,639,204.04	239,154.71		3,079.59		—	—	4.2450	3.9330	JAJO	110,770.92	107,510.76	20150122	20191125
494368BT9	KIMBERLY-CLARK CORPORATION			1FE	2,104,873.70	2,097,064.17	2,105,000.00	2,104,918.71	(7,854.54	)	13.31		—	—	1.4000	1.4020	FA	3,765.61	20,127.92	20160222	20190215
494550BM7	KINDER MORGAN ENERGY PARTNERS		2	2FE	994,820.00	989,010.02	1,000,000.00	996,050.88	(7,040.86	)	148.68		—	—	3.4500	3.5250	FA	4,408.34	17,250.00	20150227	20230215
494550AY2	KINDER MORGAN ENERGY PARTNERS			2FE	1,418,083.00	1,344,694.00	1,300,000.00	1,343,573.79	1,120.21		(12,134.92	)	—	—	5.9500	2.0660	FA	9,883.61	38,675.00	20150602	20180215
494550BE5	KINDER MORGAN ENERGY PARTNERS			2FE	1,076,880.00	1,078,970.11	1,000,000.00	1,065,415.96	13,554.15		(4,406.87	)	—	—	5.3000	3.2810	MS	2,355.56	26,500.00	20160808	20200915
28336LBR9	KINDER MORGAN HOLDCO LLC			2FE	2,428,386.40	2,262,750.40	2,140,000.00	2,242,277.12	20,473.28		(21,240.53	)	—	—	7.2500	3.0510	JD	51,716.67	—	20150106	20180601
49456BAD3	KINDER MORGAN HOLDCO LLC			2FE	2,582,053.10	2,586,576.85	2,585,000.00	2,584,333.03	2,243.82		245.15		—	—	2.0000	2.0390	JD	17,233.33	—	20141126	20171201
BRT8DY6Q0	KINETIC CONCEPTS INC / KCI USA		2	3	1,729,402.66	1,733,679.53	1,738,024.59	1,729,508.38	4,171.15		105.72		—	—	—	0.0710	MJSD	—	10,342.60	20170301	20240126
496026KV6	KINGS LOC SCH DIST OHIO			1FE	1,250,394.50	1,211,763.10	1,165,000.00	1,199,967.49	11,795.61		(5,096.43	)	—	—	3.7500	1.6610	JD	14,562.50	—	20140930	20181201
482485AC3	KKR_13-2A	D	4	1FE	1,516,800.00	1,600,537.76	1,600,000.00	1,546,096.33	54,441.43		2,792.26		—	—	2.8410	3.7060	JAJO	8,586.80	10,846.31	20141021	20260123

482485AL3	KKR_13-2A	D	4		1,000,000.00	1,000,444.60	1,000,000.00	1,000,000.00	444.60		—		—	—		3.3290	3.3410		JAJO	6,288.11	8,322.50	20160725	20260123
48251BAA8	KKR_16--16	D	4		2,500,000.00	2,499,190.25	2,500,000.00	2,500,000.00	(809.75	)	—		—	—		2.4010	2.4070		JAJO	17,842.40	—	20161215	20290120
BRT5WX0L4	KLOCKNER PENTAPLAST OF AMERICA		2		354,802.39	358,302.41	355,414.67	354,862.68	3,439.73		46.33		—	—		—	(1.6070	)	MJSD	—	3,827.83	20161201	20200428
50048MAT7	KOMMUNALBANKEN AS	D			1,096,205.00	1,096,510.80	1,100,000.00	1,099,623.98	(3,113.18	)	192.09		—	—		1.0000	1.0710		MS	152.78	5,500.00	20120926	20170926
K5813LQ91	KOMMUNEKREDIT				1,345,261.50	1,345,464.01	1,350,000.00	1,345,601.51	(137.50	)	340.01		—	—		1.7500	2.7808		January	5,250.00	—	20170111	20200110
BRSYEDRW3	KOMMUNEKREDIT	D			5,631,863.50	5,644,463.00	5,650,000.00	5,639,071.36	5,391.64		1,486.24		—	—		1.5000	1.6040		JAN	17,891.67	84,750.00	20160115	20190115
BRT616035	KP GERMANY ERSTE GMBH				151,624.96	153,120.68	151,886.60	151,650.39	1,470.29		19.56		—	—		—	0.0548		M-J-S-D	—	1,635.83	20161201	20200428
50076QAX4	KRAFT FOODS GROUP INC			2FE	829,047.50	792,720.00	750,000.00	791,670.13	1,049.87		(7,216.10	)	—	—		6.1250	2.0710		FA	4,848.96	22,968.75	20160304	20180823
50076QAU0	KRAFT FOODS GROUP INC			2FE	2,490,030.00	2,434,140.13	2,250,000.00	2,428,267.09	5,873.04		(14,800.29	)	—	—		5.3750	2.4890		FA	17,132.82	60,468.75	20160315	20200210
50076QAY2	KRAFT FOODS GROUP INC			2FE	2,371,165.54	2,378,800.00	2,375,000.00	2,374,838.03	3,961.97		224.26		—	—		2.2500	1.3960		JD	17,218.75	—	20130116	20170605
50077LAG1	KRAFT HEINZ FOODS CO			2FE	3,345,795.40	3,357,336.50	3,350,000.00	3,347,173.86	10,162.64		553.49		—	—		2.0000	1.7700		JJ	16,563.89	43,166.67	20160822	20180702
423074AS2	KRAFT HEINZ FOODS CO		2	2FE	3,683,750.00	3,736,879.93	3,500,000.00	3,654,740.32	82,139.61		(11,645.62	)	—	—		4.8750	4.0190		FA	21,802.08	118,408.33	20151221	20250215
50077LAJ5	KRAFT HEINZ FOODS CO		2	2FE	997,993.99	1,020,449.98	1,000,000.00	998,204.89	22,245.09		78.94		—	—		3.5000	2.1990		JJ	7,388.89	17,500.00	20160822	20220715
500769GL2	KREDITANSTALT FUER WIEDERAUFBA	D		1FE	647,790.00	648,934.00	650,000.00	649,357.47	(423.47	)	236.44		—	—		1.0000	1.1210		JJ	1,173.61	11,934.14	20150320	20180126
500769GS7	KREDITANSTALT FUER WIEDERAUFBA	D			3,390,052.00	3,390,344.00	3,400,000.00	3,395,312.36	(4,968.36	)	849.23		���	—		1.1250	1.2280		FA	5,843.75	19,125.00	20150921	20180806
D40859GT7	KREDITANSTALT FUER WIEDERAUFBA			1FE	3,325,845.87	2,234,154.00	1,750,000.00	2,838,474.46	6,494.13		(30,921.73	)	—	(610,814.59	)	5.6250	0.4027		August	73,854.71	—	20121116	20170825
500769GV0	KREDITANSTALT FUER WIEDERAUFBA	D			7,880,171.00	7,903,712.13	7,900,000.00	7,887,942.01	15,770.12		1,583.72		—	—		1.5000	1.5840		FA	18,104.17	59,250.00	20160112	20190206
500769GA6	KREDITANSTALT FUER WIEDERAUFBA	D		1FE	6,031,560.00	6,043,499.88	6,000,000.00	6,027,857.02	15,642.86		(3,332.68	)	—	—		1.8750	1.6380		AO	56,250.00	—	20161222	20190401
D3S97E4M2	KREDITANSTALT FUER WIEDERAUFBA			1FE	8,722,318.72	8,580,371.05	6,750,000.00	8,710,224.70	25,117.17		(9,659.57	)	—	(154,970.83	)	1.1250	2.7315		December	25,755.20	—	20160429	20191223
500769FG4	KREDITANSTALT FUER WIEDERAUFBA	D		1FE	6,859,842.00	6,893,721.00	6,900,000.00	6,895,899.05	(2,178.05	)	2,369.69		—	—		0.8750	1.0150		MS	4,360.42	30,187.50	20130603	20170905
500769HC1	KREDITANSTALT FUER WIEDERAUFBA	D		1FE	12,282,657.00	12,187,209.00	12,300,000.00	12,285,258.10	(98,049.10	)	1,427.42		—	—		1.2500	1.2990		MS	427.08	68,760.41	20161019	20190930
48274MAD1	KVK_14-2A	D	4	1FE	476,250.00	499,973.40	500,000.00	482,673.30	17,300.10		706.17		—	—		4.0230	4.7850		JAJO	4,134.92	4,957.78	20150129	20260715
491552ZL2	KY ST TPK AUTH ECONOMIC		2	1FE	2,344,460.00	2,292,560.00	2,000,000.00	2,254,361.64	38,198.36		(9,272.68	)	—	—		5.0000	4.2120		JJ	25,000.00	50,000.00	20140930	20280701
BRSMB8NV9	LA QUINTA INTERMEDIATE HOLDING		4	4FE	714,657.65	745,206.51	740,577.90	720,410.36	24,796.15		1,322.21		—	—		—	0.6750		FMAN	—	7,362.40	20160129	20210414
50540RAR3	LABORATORY CORP OF AMER HLDGS			2FE	2,147,592.00	2,156,213.52	2,150,000.00	2,148,596.61	7,616.91		117.56		—	—		2.6250	2.6490		FA	9,406.25	28,218.75	20150130	20200201
50585LAC5	LAETERE RE LTD	D		1	206,250.00	206,250.00	250,000.00	240,909.09	(34,659.09	)	11,381.53		—	—		—	20.5830		MON	—	—	20160531	20170606
50585LAA9	LAETERE RE LTD	D			235,000.00	248,530.00	250,000.00	247,241.35	1,288.65		3,720.67		—	—		—	6.1800		N/A	—	—	20160531	20170606
50585LAB7	LAETERE RE LTD	D			226,250.00	248,207.50	250,000.00	245,538.56	2,668.94		5,920.83		—	—		—	10.0630		N/A	—	—	20160531	20170606
BRT3JTAJ7	LAN_2016-1	B	4		682,287.35	651,820.92	516,200.00	682,287.35	6,338.63		—		—	(36,805.06	)	1.3540	1.3550		FMAN	910.10	2,387.66	20160804	20541222
BRT8779Y6	LANDESBANK BADEN-WUERTTEMBERG	D			2,995,590.00	3,000,899.73	3,000,000.00	2,995,826.46	5,073.27		236.46		—	—		2.1250	2.1640		JAN	10,802.08	—	20170131	20200131
BRT589W47	LANDRYS INC			4FE	701,132.35	709,940.55	704,655.63	701,357.92	8,582.63		167.20		—	—		—	0.0710		MJSD	—	7,204.27	20161020	20231004
BRSRYHP25	LAZER SPOT INC				66,758.24	65,756.86	66,758.24	66,758.24	(1,001.38	)	—		—	—		—	—		FMAN	—	938.32	20160712	20210209
BRSRYF745	LAZER SPOT INC				2,885,958.81	2,842,669.43	2,885,958.81	2,885,958.81	(43,289.38	)	—		—	—		—	—		FMAN	—	40,122.84	20150224	20210209
BRSVAW935	LAZER SPOT MERGER SUB INC				389,588.33	383,744.50	389,588.33	389,588.33	(5,843.83	)	—		—	—		—	—		MJSD	—	4,990.43	20150817	20210209

52109RBM2	LBUBS		4	?	1,932,628.00	1,740,527.55	1,714,805.46	1,748,482.98	(7,955.43	)	(16,911.00	)	—	—		5.8660	(1.0550	)	MON	5,588.36	27,593.36	20140602	20450915
55820NAE1	LCMLT_05-HE1		4	1FE	2,481,750.00	2,519,989.50	2,500,000.00	2,482,458.12	37,531.38		625.52		—	—		3.4160	3.5240		JAJO	24,198.23	—	20161220	20280120
52349HAN3	LEE CNTY FLA HSG FIN AUTH SING		2	1FE	190,524.40	190,522.50	190,000.00	190,000.00	522.50		—		—	—		7.2700	7.2700		JD	4,604.33	—	20140930	20211201
52349HAM5	LEE CNTY FLA HSG FIN AUTH SING		4	1FE	90,325.80	90,305.10	90,000.00	90,000.00	305.10		—		—	—		7.0200	7.0200		JD	2,106.00	—	20140930	20171201
G54404AK7	LEGAL & GENERAL GROUP PLC			2FE	1,611,530.25	1,254,789.06	1,000,000.00	1,515,270.97	1,136.43		(11,238.28	)	—	(261,618.34	)	6.3850	0.0877		May-Nov	33,045.40	—	20150120	20491231
854403AC6	LELAND STANFORD JR UNIV CALIF			1FE	4,157,579.00	3,935,320.30	3,700,000.00	3,913,145.31	22,174.99		(24,864.70	)	—	—		4.7500	1.9150		MN	73,229.17	—	20141003	20190501
526107AD9	LENNOX INTL INC.		2	2FE	824,529.75	811,123.51	825,000.00	824,558.77	(13,435.26	)	19.06		—	—		3.0000	3.0090		MN	10,175.00	—	20161103	20231115
BRT8KLG22	LEVEL 3 FINANCING INC		2	3FE	1,416,203.71	1,420,462.97	1,419,753.09	1,416,203.71	4,259.26		—		—	—		—	0.0360		MJSD	—	—	20170404	20240222
BRSHY9H24	LINDE AG	D			2,990,820.00	3,000,240.00	3,000,000.00	2,998,019.74	2,220.26		459.68		—	—		1.5000	1.5580		APR	42,875.00	—	20130418	20180418
BRT5NPGB6	LIONS GATE ENTERTAINMENT CORP	A	2	3FE	1,466,011.81	1,476,749.60	1,470,866.14	1,466,216.92	10,532.68		1,996.32		—	—		—	0.0470		MJSD	—	18,441.63	20161214	20231208
BRSSFUR31	LLOYDS BANK PLC	B			753,654.45	774,364.92	600,000.00	753,130.85	8,961.41		(523.60	)	—	12,272.66		1.7500	1.3260		MAR	35.98	12,919.20	20170123	20220331
BRSNXV8E7	LLOYDS BANK PLC	B		1FE	1,791,349.03	1,742,244.78	1,350,000.00	1,777,747.94	1,501.49		(8,672.31	)	—	(37,004.68	)	2.7500	0.8860		JD	14,411.52	2,777.63	20160922	20181209
BRT7Y5WB6	LLOYDS BANK PLC	B		1FE	971,520.00	1,001,470.40	800,000.00	971,520.00	1,110.40		—		—	28,840.00		0.6570	0.6540		JAJO	1,349.72	—	20170116	20200116
53944YAC7	LLOYDS TSB GROUP PLC	D		2FE	1,210,856.85	1,207,807.16	1,215,000.00	1,211,027.66	(3,220.50	)	170.81		—	—		3.0000	3.0740		JJ	8,100.00	—	20170111	20220111
50208XAA0	LMC_15-CRE1		4		4,000,000.00	3,960,913.20	4,000,000.00	4,000,000.00	(39,086.80	)	—		—	—		2.7340	2.7490		MON	3,645.19	25,469.77	20150210	20320222
539830BF5	LOCKHEED MARTIN CORPORATION		2	2FE	2,996,095.20	2,942,308.80	2,920,000.00	2,982,474.28	(40,165.48	)	(4,394.82	)	—	—		2.5000	1.8760		MN	25,955.55	—	20160610	20201123
539830BJ7	LOCKHEED MARTIN CORPORATION			2FE	109,811.90	110,281.60	110,000.00	109,895.65	385.95		15.52		—	—		1.8500	1.9090		MN	723.56	—	20151123	20181123
539830AT6	LOCKHEED MARTIN CORPORATION			2FE	1,446,437.20	1,433,985.21	1,352,000.00	1,436,862.73	(2,877.52	)	(8,041.60	)	—	—		4.2500	1.7880		MN	21,707.11	1,304.51	20161212	20191115
542799AC5	LONGPOINT RE III LTD	D	2		1,550,000.00	1,568,879.00	1,550,000.00	1,550,000.00	18,879.00		—		—	—		3.7500	3.7680		FMAN	6,942.71	16,050.12	20150515	20180523
546415S50	LOUISIANA STATE OF			1FE	4,779,355.00	4,761,162.50	4,750,000.00	4,758,602.71	2,559.79		(2,525.72	)	—	—		1.5000	1.2820		FA	11,875.00	35,625.00	20150309	20180201
54714CBC0	LOVE FIELD AIRPORT MODERNIZATI		2	1FE	1,455,862.50	1,459,100.00	1,250,000.00	1,455,662.17	3,437.83		(200.33	)	—	—		5.0000	3.0100		MN	12,673.61	—	20170328	20271101
54910TAA0	LSTAR_17-5		4	1FE	429,992.26	429,992.26	430,000.00	430,020.81	(28.55	)	28.55		—	—		2.4170	2.3990		MON	866.10	—	20170331	20500310
54910DAA5	LSTRZ_15-6	D	4		615,069.38	618,812.50	621,141.78	617,375.39	1,437.11		1,188.01		—	—		2.7840	3.2470		MON	1,489.32	5,098.92	20150522	20200501
BRT97WJM4	LUMILEDS HOLDING BV	D		4FE	547,067.63	556,002.16	549,816.72	547,067.63	8,934.53		—		—	—		—	0.0730		MJSD	—	—	20170615	20240315
502441AA6	LVMH MOET HENNESSY LOUIS VUITT	D		1FE	3,041,246.50	3,050,274.50	3,050,000.00	3,049,555.62	718.88		449.39		—	—		1.6250	1.6850		JD	12,665.98	—	20120629	20170629
575718AC5	MA INSTITUTE OF TECH			1FE	1,018,330.00	1,010,504.00	1,000,000.00	1,008,977.24	1,526.76		(973.45	)	—	—		2.0510	1.6430		JJ	5,127.50	10,255.00	20141024	20190701
BRT5UM2P9	MACDERMID GROUP INC		2	4FE	1,280,494.57	1,295,615.98	1,286,929.21	1,280,929.26	14,686.72		294.11		—	—		—	0.0750		MJSD	—	20,847.51	20161019	20230607
55608XAC1	MACQUARIE BK LON	D	2	3FE	500,000.00	502,569.00	500,000.00	500,000.00	2,569.00		—		—	—		6.1250	6.1250		MS	1,956.60	—	20170308	20491231
56040PAT5	MAINE EDL LN AUTH			1FE	2,272,947.60	2,151,282.00	2,040,000.00	2,136,172.56	15,109.44		(19,059.30	)	—	—		5.5000	5.5000		JD	37,400.01	1,335.28	20140930	20181201
560427KM7	MAINE HEALTH & HIGHER EDL FACS		4	1FE	130,534.30	130,461.50	130,000.00	130,364.68	96.82		(19.10	)	—	—		5.2500	5.2610		JJ	1,706.25	3,412.50	20140930	20210701
562013AA0	MANATEE RE LTD	D			680,000.00	684,304.40	680,000.00	680,000.00	4,304.40		—		—	—		5.3600	—		MJSD	308.64	9,010.42	20150323	20171222
563469UH6	MANITOBA PROVINCE OF	A			3,008,460.00	3,010,469.97	3,000,000.00	3,008,006.49	2,463.48		(453.51	)	—	—		2.0500	1.9740		MN	20,670.83	—	20170111	20201130
563469TV7	MANITOBA PROVINCE OF	A		1FE	4,515,975.00	4,508,234.96	4,500,000.00	4,512,246.27	(4,011.31	)	(1,371.70	)	—	—		1.7500	1.6220		MN	26,468.75	—	20160321	20190530
55279HAF7	MANUFACTURERS AND TRADERS TRUS		2	1FE	2,049,221.00	2,050,635.30	2,050,000.00	2,049,916.05	719.25		65.29		—	—		1.4000	1.4130		JJ	5,261.67	14,350.00	20140725	20170725

55279HAJ9	MANUFACTURERS AND TRADERS TRUS		2	1FE	246,135.00	249,575.01	250,000.00	247,223.93	2,351.08		231.58		—	—	2.1000	2.5060		FA	802.08	2,625.00	20160127	20200206
BRSX2BJ84	MARCO INC				1,216,806.43	1,207,680.38	1,216,806.43	1,216,806.43	(9,126.05	)	—		—	—	—	—		MJSD	—	16,132.58	20160125	20201030
BRSX2BJ50	MARCO INC				3,632,075.48	3,604,834.91	3,632,075.48	3,632,075.48	(27,240.57	)	—		—	—	—	—		MJSD	—	51,695.67	20151116	20211029
BRT4ECA65	MARKET RE LTD				10,000,000.00	10,000,000.00	10,000,000.00	10,000,000.00	—		—		—	—	8.7161	0.1644		M-J-S-D	72,633.90	207,716.00	20160908	20170530
571903AR4	MARRIOTT INTERNATIONAL INC		2	2FE	3,689,698.35	3,619,562.70	3,705,000.00	3,691,833.83	(72,271.13	)	650.72		—	—	2.3000	2.3790		JJ	17,989.82	50,892.31	20160610	20220115
575831CJ9	MASSACHUSETTS ST COLLEGE BLDG		2	1FE	1,103,611.60	1,047,510.10	910,000.00	1,082,920.82	(35,410.72	)	(4,803.61	)	—	—	5.0000	2.4000		MN	18,958.33	—	20160301	20310501
57584XXT3	MASSACHUSETTS ST DEV FIN AGY			1FE	51,497.60	48,905.60	40,000.00	50,944.31	(2,038.71	)	(307.81	)	—	—	5.0000	1.4810		JJ	422.23	472.23	20161020	20250715
57587ABR8	MASSACHUSETTS ST HSG FIN AGY			1FE	497,465.00	506,870.00	500,000.00	498,653.43	8,216.57		120.14		—	—	2.6080	2.6080		JD	4,346.67	—	20140930	20191201
57586NWY3	MASSACHUSETTS ST HSG FIN AGY			1FE	700,000.00	700,427.00	700,000.00	700,000.00	427.00		—		—	—	1.8500	1.8500		JD	4,316.67	1,332.00	20150326	20180601
576049CK4	MASSACHUSETTS ST WTR RES AUTH		4	1FE	1,425,454.10	1,320,511.00	1,255,000.00	1,339,909.35	(19,398.35	)	(8,837.27	)	—	—	6.5000	4.8800		JJ	17,221.39	40,787.50	20140930	20190715
577081BA9	MATTEL INC		2	2FE	329,610.60	322,310.99	330,000.00	329,659.74	(7,348.75	)	18.77		—	—	2.3500	2.3750		FA	990.92	4,092.92	20160805	20210815
BRSJD2Z02	MCC IOWA LLC		4	3FE	3,114,597.84	3,124,532.34	3,108,987.41	3,114,318.15	10,214.19		(294.26	)	—	—	—	(0.0440	)	FMAN	—	32,070.69	20130626	20210129
58013MET7	MCDONALDS CORP		2	2FE	3,257,260.00	3,204,607.68	3,200,000.00	3,250,117.84	(45,510.16	)	(4,297.71	)	—	—	2.2000	1.6730		MN	24,444.45	1,515.56	20161027	20200526
58013MEW0	MCDONALDS CORP			2FE	179,911.80	181,182.60	180,000.00	179,949.67	1,232.93		7.50		—	—	2.1000	2.1170		JD	1,197.00	177.63	20151209	20181207
58013MEE0	MCDONALDS CORP			2FE	1,072,930.00	1,034,800.00	1,000,000.00	1,030,700.10	4,099.90		(8,191.56	)	—	—	5.3500	1.9500		MS	4,458.33	26,750.00	20151218	20180301
58013MEX8	MCDONALDS CORP		2	2FE	1,673,049.00	1,683,920.63	1,660,000.00	1,673,104.35	10,816.28		(190.40	)	—	—	2.7500	2.5180		JD	14,202.23	—	20151209	20201209
BRT195N68	MCGRAW-HILL GLOBAL EDUCATION H			3FE	1,375,826.22	1,365,743.30	1,382,739.94	1,376,852.86	(11,109.56	)	299.92		—	—	—	0.0830		MJSD	—	17,520.32	20160511	20220504
56577AAC6	MCLO_14-7A	D	4	1FE	3,976,000.00	3,999,766.80	4,000,000.00	3,983,442.12	16,324.68		752.80		—	—	3.6890	3.7980		JAJO	25,003.22	36,977.41	20141120	20251028
BRT851X81	MEDIACOM LLC		2	3FE	2,734,178.09	2,728,917.64	2,720,980.54	2,730,919.65	(2,002.01	)	(3,258.44	)	—	—	—	(1.1250	)	MJSD	—	8,594.52	20170222	20240215
585055BG0	MEDTRONIC INC			1FE	11,307,550.95	11,184,524.59	11,035,000.00	11,240,630.28	(56,105.69	)	(16,739.88	)	—	—	2.5000	1.8480		MS	12,261.10	137,937.50	20160310	20200315
585055BR6	MEDTRONIC INC			1FE	519,650.00	513,450.01	500,000.00	516,447.38	(2,997.37	)	(770.70	)	—	—	3.1500	2.4410		MS	700.00	7,875.00	20160318	20220315
585055BA3	MEDTRONIC INC			1FE	1,148,275.00	1,148,309.50	1,150,000.00	1,149,646.36	(1,336.86	)	244.17		—	—	1.3750	1.4060		AO	7,906.25	15,197.57	20130326	20180401
585055BS4	MEDTRONIC INC			1FE	777,493.21	767,219.99	750,000.00	773,467.85	(6,247.86	)	(642.76	)	—	—	3.5000	3.5740		MS	1,166.67	13,125.00	20150902	20250315
BRT8482F5	MEG ENERGY CORP	A	2	3FE	1,595,290.98	1,598,431.98	1,599,289.20	1,595,385.87	3,046.11		94.89		—	—	—	0.0360		MJSD	—	—	20170131	20231231
58769BAE4	MERCEDES-BENZ AUTO RECEIVABLES		4	1FE	2,769,384.51	2,728,819.62	2,770,000.00	2,769,462.42	(40,642.80	)	37.04		—	—	1.4600	1.4700		MON	1,797.42	11,422.05	20160914	20221215
58769BAF1	MERCEDES-BENZ AUTO RECEIVABLES		4	1FE	1,681,105.81	1,680,217.47	1,681,175.24	1,681,126.49	(909.02	)	9.24		—	—	1.1100	1.1150		MON	829.38	4,814.64	20160914	20190315
58933YAG0	MERCK & CO INC			1FE	4,743,408.45	4,749,626.85	4,755,000.00	4,752,105.21	(2,478.36	)	631.25		—	—	1.3000	1.3540		MN	22,837.21	—	20130520	20180518
58933YAS4	MERCK & CO INC			1FE	1,592,567.45	1,597,408.46	1,595,000.00	1,593,553.12	3,855.34		121.21		—	—	1.8500	1.8830		FA	4,180.24	14,753.75	20150304	20200210
59012UAA3	MERNA REINSURANCE LTD	D			3,625,000.00	3,625,725.00	3,625,000.00	3,625,000.00	725.00		—		—	—	2.7800	2.0250		MJSD	559.86	21,017.92	20150331	20180409
59261EAE9	METROPOLITAN TRANS AUTH N Y			1FE	16,629,940.00	16,743,039.05	16,645,000.00	16,637,714.84	105,324.21		787.68		—	—	1.8480	1.8680		JJ	76,899.90	153,799.80	20140926	20190701
BRT0NP404	MGM RESORTS INTERNATIONAL		2	3FE	864,084.38	869,715.00	866,250.00	864,371.73	5,343.27		84.70		—	—	—	0.0350		MJSD	—	7,388.32	20160427	20230425
62405QAJ2	MHAWK_13-1A	D	4	1FE	1,203,125.00	1,243,814.13	1,250,000.00	1,219,888.49	23,925.64		1,622.65		—	—	3.7500	4.3820		JAJO	9,245.06	11,503.90	20150217	20240120
59334DHN7	MIAMI DADE CNTY FLA		2	1FE	1,146,570.00	1,146,860.00	1,000,000.00	1,109,834.37	37,025.63		(3,742.65	)	—	—	5.0000	4.2000		AO	25,000.00	—	20140930	20281001
BRT56C9J5	MICHAELS STORES INC			3FE	3,410,167.26	3,397,240.47	3,411,456.01	3,410,269.09	(13,028.62	)	50.09		—	—	—	(0.0300	)	MJSD	—	50,011.13	20160930	20230130

5946103D7	MICHIGAN STATE OF		2	1FE	2,308,400.00	2,132,940.00	2,000,000.00	2,121,486.94	11,453.06		(18,838.28	)	—	—	5.2500	5.1600	MN	43,750.00	—	20140930	20221101
5946106P7	MICHIGAN STATE OF			1FE	1,652,295.00	1,590,600.00	1,500,000.00	1,587,989.75	2,610.25		(8,268.09	)	—	—	3.9900	1.6600	MN	24,937.50	—	20150417	20191101
BRSY0Y6K1	MICROSEMI CORPORATION			3FE	683,765.41	707,850.17	704,912.80	687,305.65	20,544.52		2,226.88		—	—	—	0.4310	MJSD	—	7,278.89	20160125	20230115
594918BG8	MICROSOFT CORP		2	1FE	563,794.00	551,561.94	550,000.00	561,852.69	(10,290.75	)	(848.42	)	—	—	2.0000	1.3660	MN	4,522.22	—	20160829	20201103
594918BV5	MICROSOFT CORP			1FE	3,572,604.75	3,581,935.50	3,575,000.00	3,572,721.09	9,214.41		116.34		—	—	1.8500	1.8730	FA	10,104.34	—	20170206	20200206
594918AV6	MICROSOFT CORP			1FE	646,249.50	652,795.00	650,000.00	648,702.68	4,092.32		187.84		—	—	1.6250	1.7460	JD	3,374.13	—	20131206	20181206
594918BA1	MICROSOFT CORP		2	1FE	1,749,422.50	1,753,150.14	1,750,000.00	1,749,595.03	3,555.11		22.67		—	—	2.3750	2.3800	FA	5,657.12	25,814.93	20150306	20220212
594918BF0	MICROSOFT CORP			1FE	3,301,848.00	3,298,977.07	3,300,000.00	3,300,987.13	(2,010.06	)	(152.65	)	—	—	1.3000	1.2810	MN	17,636.67	—	20151103	20181103
594918AS3	MICROSOFT CORP			1FE	2,093,680.15	2,089,762.50	2,095,000.00	2,094,708.33	(4,945.83	)	66.50		—	—	1.0000	1.0130	MN	8,729.17	—	20130502	20180501
594918BN3	MICROSOFT CORP			1FE	4,295,571.00	4,251,969.13	4,300,000.00	4,296,509.03	(44,539.90	)	470.83		—	—	1.1000	1.1350	FA	6,963.61	33,870.83	20160808	20190808
595620AJ4	MIDAMERICAN ENERGY CO		2	1FE	839,529.60	849,584.39	840,000.00	839,824.97	9,759.42		21.59		—	—	2.4000	2.4110	MS	896.00	10,080.00	20130919	20190315
BRT8HK330	MINERALS TECHNOLOGIES INC.			3FE	367,394.63	371,998.58	368,315.43	367,410.12	4,588.46		41.51		—	—	—	0.0350	MJSD	—	1,299.07	20170217	20240214
BRT5EW481	MISSION BROADCASTING INC.		2	3FE	54,146.52	54,531.01	54,282.23	54,148.51	382.50		2.92		—	—	—	0.0360	MJSD	—	156.41	20170223	20240117
60636YGY1	MISSOURI ST HSG DEV COMMN			1FE	527,483.25	525,462.00	525,000.00	525,585.39	(123.39	)	(192.70	)	—	—	1.7000	1.7000	JJ	2,231.25	4,462.50	20140930	20180101
606822AA2	MITSUBISHI TOKYO FINANCIAL GRP	D		1FE	1,093,720.32	1,105,425.61	1,096,000.00	1,094,186.53	11,239.08		107.45		—	—	2.9500	2.9950	MS	2,694.33	16,166.00	20160301	20210301
60687YAF6	MIZUHO FINANCIAL GROUP INC	D		1FE	3,500,000.00	3,536,260.10	3,500,000.00	3,500,000.00	36,260.10		—		—	—	2.2600	2.1830	MJSD	3,985.61	30,693.99	20160913	20210913
BRT5HV7S3	MOHEGAN TRIBAL GAMING			4FE	2,510,656.77	2,544,259.00	2,536,016.95	2,512,215.09	32,043.91		889.98		—	—	—	0.1420	MJSD	—	35,257.68	20161026	20231013
60871RAF7	MOLSON COORS BREWING CO		2	2FE	1,074,591.50	1,049,350.48	1,075,000.00	1,074,650.80	(25,300.32	)	19.62		—	—	2.1000	2.1080	JJ	4,765.83	11,789.17	20160707	20210715
60871RAE0	MOLSON COORS BREWING CO			2FE	3,148,425.00	3,109,837.44	3,150,000.00	3,148,803.37	(38,965.93	)	127.96		—	—	1.4500	1.4670	JJ	9,642.50	23,852.50	20160707	20190715
60920LAA2	MONDELEZ INTERNATIONAL HOLDING	D	2	2FE	2,744,060.00	2,709,107.50	2,750,000.00	2,744,885.40	(35,777.90	)	479.26		—	—	1.6250	1.6990	AO	18,992.19	—	20161028	20191028
BRSHTM755	MONEYGRAM INTL INC		4		3,393,166.64	3,473,230.65	3,477,577.62	3,418,426.41	54,804.24		4,952.26		—	—	—	0.5620	MJSD	—	37,459.26	20130412	20200327
6174467U7	MORGAN STANLEY			1FE	5,225,152.33	5,225,849.34	5,207,000.00	5,219,987.05	5,862.29		(2,980.41	)	—	—	2.1250	1.8870	AO	47,947.79	—	20160914	20180425
61761JVM8	MORGAN STANLEY			1FE	2,102,726.60	2,108,662.70	2,105,000.00	2,104,430.39	4,232.31		184.37		—	—	1.8750	1.9110	JJ	9,428.65	19,734.38	20141205	20180105
BRT8XRTR6	MORGAN STANLEY				851,116.29	877,538.29	700,000.00	851,153.99	9,091.06		37.70		—	17,293.24	2.6250	2.6980	MAR	1,447.87	—	20170309	20270309
61746BDR4	MORGAN STANLEY			1FE	954,579.00	955,766.52	950,000.00	954,027.96	1,738.56		(415.67	)	—	—	2.3750	2.1860	JJ	4,261.81	11,281.25	20161201	20190723
6174824M3	MORGAN STANLEY			2FE	5,929,440.00	5,948,469.95	5,500,000.00	5,806,783.75	141,686.20		(12,216.31	)	—	—	4.8750	3.7580	MN	111,718.75	—	20140822	20221101
61746BDM5	MORGAN STANLEY			1FE	8,140,060.00	8,078,239.76	8,000,000.00	8,111,528.53	(33,288.77	)	(14,950.71	)	—	—	2.5000	1.7160	JJ	37,222.22	100,000.00	20161025	20190124
61747WAL3	MORGAN STANLEY			1FE	2,254,140.00	2,216,940.00	2,000,000.00	2,185,530.23	31,409.77		(9,881.05	)	—	—	5.5000	3.1870	JJ	19,250.00	55,000.00	20150626	20210728
61746BEH5	MORGAN STANLEY		2	1FE	2,030,000.00	2,034,811.10	2,030,000.00	2,030,000.00	4,811.10		—		—	—	1.8420	1.8460	FMAN	4,569.66	—	20170217	20200214
61746BEF9	MORGAN STANLEY			1FE	247,497.50	247,892.50	250,000.00	247,538.41	354.09		40.91		—	—	3.6250	3.7460	JJ	1,787.34	—	20170120	20270120
61746BED4	MORGAN STANLEY			1FE	4,113,870.15	4,107,295.58	4,135,000.00	4,115,351.56	(8,055.98	)	987.62		—	—	2.6250	2.7350	MN	40,402.40	—	20161117	20211117
61747YDW2	MORGAN STANLEY			1FE	1,913,646.00	1,918,943.17	1,900,000.00	1,908,308.73	10,634.44		(702.84	)	—	—	2.6500	2.4880	JJ	8,951.11	25,175.00	20151215	20200127
6174466Q7	MORGAN STANLEY			1FE	112,513.00	104,688.00	100,000.00	104,685.97	2.03		(1,142.52	)	—	—	6.6250	1.8730	AO	3,312.50	—	20150714	20180401
61761JB32	MORGAN STANLEY			1FE	3,700,554.00	3,747,051.83	3,705,000.00	3,702,076.27	44,975.56		215.09		—	—	2.8000	2.8260	JD	30,257.49	—	20150616	20200616

61761JQK8	MORGAN STANLEY		2	3FE	7,295,765.00	7,385,937.50	7,250,000.00	7,272,876.89	113,060.61		(2,329.15	)	—	—		5.4500	5.3020	JJ	83,415.28	197,562.50	20140718	20491231
6174467X1	MORGAN STANLEY			2FE	2,220,320.00	2,150,280.00	2,000,000.00	2,185,780.62	(35,500.62	)	(4,516.37	)	—	—		5.0000	3.7330	MN	35,277.78	—	20150413	20251124
61746BEA0	MORGAN STANLEY			1FE	448,488.00	447,704.99	450,000.00	448,759.26	(1,054.27	)	71.45		—	—		2.5000	2.5720	AO	5,000.00	—	20160421	20210421
61761J3R8	MORGAN STANLEY			1FE	1,890,660.00	1,813,777.96	1,900,000.00	1,891,237.39	(77,459.43	)	203.00		—	—		3.1250	3.1820	JJ	10,555.55	30,017.35	20160725	20260727
6174468B8	MORGAN STANLEY			1FE	989,237.70	994,187.74	990,000.00	989,625.54	4,562.20		53.90		—	—		2.2000	2.2230	JD	6,897.00	—	20150608	20181207
61763KBA1	MORGAN STANLEY BAML TRUST MSBA		4	1FM	399,726.56	397,466.24	375,000.00	395,202.15	2,264.09		(605.21	)	—	—		4.0510	3.1480	MON	1,265.93	3,797.79	20150731	20470415
61764PBR2	MORGAN STANLEY BAML TRUST MSBM		4	?	3,392,734.40	3,334,362.85	3,250,000.00	3,362,849.01	(28,486.16	)	8,487.11		—	—		3.1010	2.2460	MON	8,398.54	25,195.65	20160502	20471215
61754JAF5	MORGAN STANLEY CAPITAL I		4	?	345,040.90	307,386.84	306,990.83	309,165.50	(1,778.66	)	(3,963.32	)	—	—		5.8710	0.1180	MON	1,481.43	7,550.31	20140416	20420611
BRSJV1000	MORGAN'S POINT LIMITED				25,000,000.00	25,000,000.00	25,000,000.00	25,000,000.00	—		—		—	—		6.0000	—	NOV	—	—	20151112	20171231
BRSRP3A63	MOTOR_15 -1X		4	1FE	713,395.96	580,182.30	464,118.12	713,395.96	(174.20	)	—		—	(133,039.46	)	0.7370	0.7380	MON	58.62	1,230.18	20150302	20220625
BRT1U4MN1	MPH ACQUISITION HOLDINGS LLC		2	4FE	230,382.68	234,289.93	231,540.39	230,516.96	3,772.97		59.19		—	—		—	0.0710	MJSD	—	2,951.54	20160608	20230607
61746REV9	MSAC		4	1FE	941,018.19	895,440.71	939,550.15	940,352.30	(44,911.59	)	(3.21	)	—	—		1.7220	1.7160	MON	224.67	3,543.34	20060328	20340125
61762DAU5	MSBAM_13-C9		4		9,567,471.88	9,313,951.53	9,220,000.00	9,514,536.87	(200,585.34	)	(20,937.31	)	—	—		2.6570	1.6960	MON	20,414.62	61,243.83	20160729	20460515
61763KAY0	MSBAM_14-C15		4		1,177,343.75	1,155,175.99	1,100,000.00	1,164,759.77	(9,583.78	)	(3,399.27	)	—	—		3.6540	2.2300	MON	3,349.51	10,048.53	20160627	20470415
61763UAV4	MSBAM_14-C17		4		5,109,769.53	5,012,316.58	4,900,000.00	5,040,215.24	(27,898.66	)	24,399.38		—	—		3.1190	2.3990	MON	12,735.92	40,633.65	20141103	20470815
61764RBF4	MSBAM_15-C20		4		5,149,631.00	5,024,996.50	5,000,000.00	5,118,397.22	(93,400.72	)	(3,270.06	)	—	—		3.2490	2.8970	MON	13,537.50	40,612.50	20150129	20480215
61765LAR1	MSBAM_15-C24		4	1FE	4,480,472.60	4,448,885.51	4,350,000.00	4,437,774.83	11,110.68		(6,556.27	)	—	—		3.0880	2.4430	MON	11,194.00	33,582.00	20150805	20480515
61690VAZ1	MSBAM_15-C26		4	1FM	978,475.21	970,520.38	950,000.00	974,723.03	(4,202.65	)	(626.45	)	—	—		3.5310	3.1740	MON	2,795.38	8,386.14	20151112	20481015
61763MAB6	MSBAM_C16		4	?	1,905,424.71	1,876,119.97	1,850,000.00	1,881,986.45	(5,866.48	)	8,051.81		—	—		2.8490	2.3470	MON	4,392.21	13,176.63	20140618	20470615
61760VAP8	MSC_12-C4		4	1FE	5,541,596.09	5,329,080.29	5,180,000.00	5,500,953.16	(171,872.87	)	(18,933.33	)	—	—		3.2440	1.6920	MON	14,003.26	42,009.78	20160912	20450315
61763QAA9	MSC_14-CPT		4	1FE	1,040,351.56	1,035,019.99	1,000,000.00	1,037,528.43	(2,508.44	)	(2,093.41	)	—	—		3.3500	2.4120	MON	2,791.67	8,375.01	20161202	20290713
61691BAA9	MSCBB_16-MART		4	?	3,499,986.00	3,434,839.10	3,500,000.00	3,499,734.82	(64,895.72	)	121.42		—	—		2.2000	2.1950	MON	6,417.83	19,253.49	20160927	20310913
BRT3Q0CM3	MSHC INC				3,608,771.61	3,563,661.96	3,608,771.61	3,608,771.61	(45,109.65	)	—		—	—		—	—	JAJO	—	54,870.56	20160803	20210716
61745MVW0	MSM_04-1		4	1FM	43,875.46	43,161.96	42,913.76	43,161.96	—		(178.73	)	—	—		5.0000	5.4010	MON	178.81	650.91	20140930	20181125
61759LAA6	MSRR_10-GG10		4	1FE	48,057.39	44,671.34	44,732.18	45,216.61	(545.27	)	(7,142.36	)	—	—		5.9490	0.4190	MON	221.77	4,808.87	20150109	20450815
61974QAC0	MTL6_15		4	?	1,500,000.00	1,504,264.80	1,500,000.00	1,500,000.00	4,264.80		—		—	—		2.6050	2.6130	MON	3,256.26	9,768.78	20150323	20300205
62983QAJ2	NAKAMA RE LTD	D			250,000.00	256,160.00	250,000.00	250,000.00	6,160.00		—		—	—		4.1180	4.1340	JJ	2,487.83	2,684.92	20160930	20211013
62983QAD5	NAKAMA RE LTD	D			1,000,000.00	1,003,450.00	1,000,000.00	1,000,000.00	3,450.00		—		—	—		2.6800	2.1660	JAJO	6,551.11	5,989.83	20141219	20190116
62983QAF0	NAKAMA RE LTD	D			14,250,000.00	14,385,375.00	14,250,000.00	14,250,000.00	135,375.00		—		—	—		3.1930	2.8850	JAJO	100,145.83	112,964.41	20151229	20210114
62983QAE3	NAKAMA RE LTD	D			1,250,000.00	1,277,275.00	1,250,000.00	1,250,000.00	27,275.00		—		—	—		3.1020	2.8850	JAJO	9,478.33	9,909.16	20141219	20200116
62983QAH6	NAKAMA RE LTD	D			500,000.00	509,425.00	500,000.00	500,000.00	9,425.00		—		—	—		3.0680	3.0910	JAJO	3,706.90	3,969.85	20160930	20211013
62983QAG8	NAKAMA RE LTD	D			500,000.00	519,260.00	500,000.00	500,000.00	19,260.00		—		—	—		3.5650	—	JAJO	4,357.71	4,448.04	20151229	20210114
65478VAE7	NAROT_16-B		4	1FE	859,998.54	850,314.57	860,000.00	859,992.70	(9,678.13	)	(1.46	)	—	—		1.5400	1.5440	MON	588.62	3,311.01	20160427	20221015
63254AAQ1	NATIONAL AUSTRALIA BANK LIMITE	C		1FE	971,607.00	959,936.27	975,000.00	972,406.09	(12,469.82	)	277.24		—	—		1.3750	1.4940	JJ	2,941.93	6,703.13	20160712	20190712

63254AAM0	NATIONAL AUSTRALIA BANK LIMITE	C			2,992,530.00	3,005,340.03	3,000,000.00	2,995,495.33	9,844.70		613.41		—	—		2.0000	2.0860		JJ	12,833.33	30,000.00	20160114	20190114
63254AAK4	NATIONAL AUSTRALIA BANK LIMITE	C			2,799,272.00	2,804,928.00	2,800,000.00	2,799,676.67	5,251.33		60.23		—	—		1.8750	1.8840		JJ	9,916.67	26,250.00	20150723	20180723
63253WAJ0	NATIONAL AUSTRALIA BANK LTD	D		1FE	2,993,130.00	2,985,690.09	3,000,000.00	2,993,540.70	(7,850.61	)	321.41		—	—		2.4000	2.4490		JD	22,800.00	—	20161207	20211207
63307A2C8	NATIONAL BK OF CANADA	A		1FE	1,648,894.50	1,655,676.03	1,650,000.00	1,649,363.99	6,312.04		90.62		—	—		2.1000	2.1230		JD	10,298.75	—	20151214	20181214
BRSJ6L8K4	NATIONAL CNEMDIA		4	3FE	1,366,621.35	1,380,586.63	1,375,000.00	1,371,377.22	9,209.41		335.99		—	—		—	0.0980		FMAN	—	12,268.82	20131001	20191126
BRT4Z4YN7	NATIONAL GRID GAS FINANCE PLC	B			339,834.48	324,971.80	260,000.00	339,581.59	(2,346.32	)	48.29		—	(12,263.47	)	1.1250	0.9670		SEP	1,913.96	5,812.83	20160928	20210922
G9004JAK4	NATIONAL GRID GAS PLC			1FE	627,376.01	530,019.64	420,000.00	598,875.82	112.85		(7,162.14	)	—	(68,969.03	)	6.0000	0.1863		June	25,727.07	—	20160407	20170607
637432NC5	NATIONAL RURAL UTILITIES COOP		2	1FE	1,995,840.00	1,990,299.98	2,000,000.00	1,997,599.71	(7,299.73	)	204.16		—	—		2.0000	2.0440		JJ	7,111.11	20,000.00	20150127	20200127
637432NF8	NATIONAL RURAL UTILITIES COOP		2	1FE	513,959.70	512,950.28	515,000.00	514,244.58	(1,294.30	)	50.07		—	—		2.3000	2.3430		MN	4,935.42	—	20151027	20201101
637432NB7	NATIONAL RURAL UTILITIES COOP		2	1FE	998,640.00	1,007,320.02	1,000,000.00	999,269.23	8,050.79		67.04		—	—		2.3000	2.3290		MN	8,688.89	—	20141112	20191115
G63983JV6	NATIONWIDE BUILDING SOCIETY			1FE	1,402,964.42	1,390,655.20	1,000,000.00	1,385,705.51	(2,198.50	)	(14,207.84	)	—	7,148.19		5.6250	2.4438		Mar-Sep	4,396.10	34,988.91	20161202	20190909
G6S17B5H5	NATIONWIDE BUILDING SOCIETY				738,868.00	654,096.39	520,000.00	738,868.00	3,862.39		—		—	(88,634.00	)	0.8446	2.0685		J-A-J-O	993.08	1,401.18	20160425	20190425
BRSWNA846	NAVEX GLOBAL INC				7,331,486.26	7,396,284.74	7,405,541.67	7,347,073.97	49,210.77		2,649.30		—	—		—	0.1440		MJSD	—	93,647.19	20151019	20220831
63939CAB3	NAVSL_14-AA		4	1FE	384,539.45	388,101.80	385,744.90	384,583.17	3,518.63		103.79		—	—		2.7400	2.8400		MON	469.75	2,745.59	20161220	20290215
63939EAB9	NAVSL_15-AA		4	1FE	329,878.46	329,415.89	330,000.00	329,916.97	(501.08	)	1.67		—	—		2.6500	2.6710		MON	388.67	2,186.25	20150122	20281215
63946CAC2	NBCUNIVERSAL ENTERPRISE INC			1FE	1,003,750.00	1,001,169.89	1,000,000.00	1,001,764.69	(594.80	)	(415.68	)	—	—		1.6620	1.4900		AO	7,663.67	—	20160122	20180415
63946CAB4	NBCUNIVERSAL ENTERPRISE INC			1FE	3,758,444.50	3,770,999.92	3,750,000.00	3,752,132.91	18,867.01		(495.92	)	—	—		1.7080	0.9040		JAJO	13,523.02	14,997.91	20130326	20180415
63946BAD2	NBCUNIVERSAL MEDIA LLC			1FE	3,918,880.00	3,819,585.14	3,500,000.00	3,863,757.89	(44,172.75	)	(28,383.88	)	—	—		5.1500	1.6730		AO	75,604.86	—	20161027	20200430
BRT8JED31	NBTY INC			4FE	360,085.70	363,267.19	361,684.82	360,107.63	3,159.56		25.94		—	—		—	(0.0310	)	MJSD	—	2,039.58	20170301	20230505
62886XAE6	NCF DEALER FLOORPLAN MASTER TR		4	1FE	992,187.50	993,592.90	1,000,000.00	993,574.91	17.99		771.53		—	—		4.2280	4.6100		MON	1,409.44	10,037.15	20161020	20220321
62889AAA1	NCUA GUARANTEED NOTES		4	1	695,012.07	695,012.07	695,012.07	695,012.07	—		—		—	—		1.1840	1.1870		MON	571.66	1,926.70	20101217	20201207
BRSZNN0E7	NEDERLANDSE WATERSCHAPSBANK NV	B			729,464.11	732,305.25	580,000.00	729,221.01	333.01		(243.10	)	—	2,751.23		1.0000	0.6510		DEC	2,245.33	—	20170224	20191209
BRSH5LE30	NETWORK RAIL INFRA FIN	B		1FE	2,340,423.68	1,884,509.43	1,500,000.00	2,335,571.41	7,631.91		(538.70	)	—	(458,693.89	)	1.0000	0.9040		DEC	5,909.66	—	20141231	20171207
64128QAK1	NEUB_14-18A	D	4		2,500,000.00	2,475,609.25	2,500,000.00	2,500,000.00	(24,390.75	)	—		—	—		2.8860	2.8960		FMAN	9,219.87	17,582.60	20161114	20271114
64129UAL9	NEUB_17	D	4	1FE	951,500.00	992,500.70	1,000,000.00	959,725.19	32,775.51		1,716.49		—	—		3.7940	4.7040		FMAN	5,690.58	9,493.14	20160119	20250804
644682D29	NEW HAMPSHIRE ST			1FE	2,580,441.00	2,420,711.50	2,350,000.00	2,419,508.12	1,203.38		(18,638.94	)	—	—		4.3750	1.1190		MS	8,567.71	51,406.25	20150205	20180301
645771XB7	NEW JERSEY BLDG AUTH			2FE	690,125.20	679,530.80	680,000.00	683,371.98	(3,841.18	)	(683.26	)	—	—		2.3030	2.3030		JD	4,611.12	—	20140930	20180615
646136K83	NEW JERSEY ST TRANSN TR FD AUT			1FE	5,050,000.00	4,990,460.45	5,050,000.00	5,050,000.00	(59,539.55	)	—		—	—		1.7580	1.7580		JD	26,140.48	—	20130425	20181215
649322AC8	NEW YORK PRESBYTERIAN HOSP			1FE	149,995.50	139,963.50	150,000.00	150,000.53	(10,037.03	)	0.85		—	—		3.5630	3.5630		FA	890.75	3,162.16	20160628	20360801
64966KEB5	NEW YORK NY		2	1FE	5,804,500.00	5,731,150.00	5,000,000.00	5,582,772.64	148,377.36		(22,671.01	)	—	—		5.0000	4.1200		FA	41,666.67	125,000.00	20140930	20280801
64972HKE1	NEW YORK NY CITY TRANSITIONAL		2	1FE	1,144,760.00	1,053,260.00	1,000,000.00	1,049,917.47	3,342.53		(9,527.10	)	—	—		5.0000	5.0120		JJ	10,555.56	25,000.00	20140930	20190715
64972HKH4	NEW YORK NY CITY TRANSITIONAL		2	1FE	3,442,770.00	3,167,760.00	3,000,000.00	3,152,978.53	14,781.47		(29,166.42	)	—	—		5.2500	5.4320		JJ	33,250.00	78,750.00	20140930	20220715
649791CH1	NEW YORK ST			1FE	811,747.50	768,270.00	750,000.00	769,781.53	(1,511.53	)	(5,302.41	)	—	—		4.0900	1.1850		MS	2,556.25	15,337.50	20150410	20180301
649907XR8	NEW YORK ST DORM AUTH			1FE	3,053,370.00	3,036,630.00	3,000,000.00	3,021,779.28	14,850.72		(3,182.97	)	—	—		2.0500	2.0500		JD	20,500.00	—	20140930	20181201

64986DAQ8	NEW YORK ST ENVIRONMENTAL FACS		2	1FE	602,785.00	591,370.00	500,000.00	600,856.61	(9,486.61	)	(1,928.39	)	—	—	5.0000	2.5300	JD	7,361.12	—	20170119	20310615
649883XV2	NEW YORK ST MTG AGY		2	1FE	898,278.60	877,389.20	860,000.00	888,924.11	(11,534.91	)	(959.98	)	—	—	4.4500	4.4500	AO	19,135.00	—	20140930	20291001
650035K72	NEW YORK ST URBAN DEV CORP			1FE	6,922,770.00	6,911,730.00	6,900,000.00	6,907,077.10	4,652.90		(1,822.77	)	—	—	1.4400	1.3310	MS	4,416.00	49,680.00	20150205	20180315
6500354S4	NEW YORK ST URBAN DEV CORP		4	1FE	8,994,690.00	8,979,119.83	9,000,000.00	8,994,713.88	(15,594.05	)	23.88		—	—	2.1000	2.1130	MS	4,200.00	—	20170323	20220315
650035C48	NEW YORK ST URBAN DEV CORP		2	1FE	5,269,005.00	5,212,755.00	4,500,000.00	5,059,357.84	153,397.16		(21,344.32	)	—	—	5.0000	4.1200	MS	10,000.00	112,500.00	20140930	20280315
651229AU0	NEWELL RUBBERMAID INC		2	2FE	1,497,525.00	1,531,845.02	1,500,000.00	1,497,991.08	33,853.94		177.22		—	—	3.1500	3.1860	AO	23,625.00	21,875.00	20160330	20210401
651229AP1	NEWELL RUBBERMAID INC		2	2FE	4,355,116.80	4,430,806.44	4,360,000.00	4,357,342.17	73,464.27		236.50		—	—	2.8750	2.8990	JD	41,783.34	—	20141119	20191201
651229AT3	NEWELL RUBBERMAID INC			2FE	1,786,028.03	1,788,627.93	1,767,000.00	1,783,123.52	5,504.41		(6,040.77	)	—	—	2.6000	2.1290	MS	255.23	121,713.37	20160330	20190329
651229AR7	NEWELL RUBBERMAID INC			2FE	699,979.00	701,736.01	700,000.00	699,988.57	1,747.44		1.80		—	—	2.1500	2.1510	AO	6,939.72	—	20151019	20181015
BRT5CGDN5	NEXSTAR BROADCASTING INC		2	3FE	558,502.76	562,468.54	559,902.51	558,523.30	3,945.24		67.09		—	—	—	0.0360	MJSD	—	1,647.10	20170223	20240117
62888UAA8	NGN_10-R2		4	1	547,466.71	547,557.32	547,466.71	547,466.71	90.61		—		—	—	1.2240	1.1490	MON	435.95	1,618.47	20101117	20171106
62888YAA0	NGN_11-R1		4	1	760,347.94	761,220.51	760,054.66	760,159.91	1,060.60		(15.85	)	—	—	1.3040	1.2190	MON	621.56	2,394.66	20110127	20200108
62889EAA3	NGN_11-R3		4	1	3,607,479.80	3,604,925.80	3,602,835.80	3,605,016.50	(90.70	)	(337.64	)	—	—	1.3820	1.3390	MON	2,342.33	11,051.71	20120620	20200311
62889FAA0	NGN_11-R4		4	1	155,245.78	155,277.33	155,245.78	155,245.78	31.55		—		—	—	1.2100	1.2130	MON	135.67	552.19	20110331	20200306
654740AT6	NISSAN MOTOR ACCEPTANCE CORP			1FE	839,949.60	840,201.55	840,000.00	839,953.12	248.43		3.52		—	—	2.2500	2.2520	JJ	4,095.00	—	20170113	20200113
654740AS8	NISSAN MOTOR ACCEPTANCE CORP			1FE	334,363.50	323,797.60	335,000.00	334,430.44	(10,632.84	)	30.25		—	—	1.9000	1.9400	MS	300.57	3,182.50	20160914	20210914
65157QBJ4	NMRK_14-2A	D	4		750,000.00	746,263.95	750,000.00	750,000.00	(3,736.05	)	—		—	—	—	—	MJSD	—	—	20170330	20260630
655044AH8	NOBLE ENERGY INC		2	2FE	1,041,293.72	1,275,807.64	1,259,000.00	1,062,689.33	213,118.31		5,762.31		—	—	3.9000	6.5300	MN	18,549.27	42,724.82	20160224	20241115
BRSRG6TU3	NOMACORC				1,301,250.00	1,190,643.75	1,301,250.00	1,301,250.00	(110,606.25	)	—		—	—	—	—	JAJO	—	15,983.22	20160405	20200105
BRSRG6UY3	NOMACORC				5,879,999.99	5,380,199.99	5,879,999.99	5,879,999.99	(499,800.00	)	—		—	—	—	—	JAJO	—	81,760.24	20150120	20210105
62951MAY6	NOMURA ASSET ACCEPTANCE CORPOR		4	1FE	530,658.41	512,239.12	525,241.85	529,540.76	(17,301.64	)	(148.19	)	—	—	6.5000	6.3120	MON	2,845.06	7,840.84	20071009	20350225
65557DAK7	NORDEA BANK AB	D		1FE	5,974,200.00	6,040,080.00	6,000,000.00	5,989,256.26	50,823.74		1,282.88		—	—	2.3750	2.4670	AO	70,062.50	—	20140404	20190404
65557CAM5	NORDEA BANK AB	D	2	2FE	5,750,000.00	5,808,132.50	5,750,000.00	5,750,000.00	58,132.50		—		—	—	5.5000	5.5000	MS	7,027.77	158,125.00	20140923
65557CAR4	NORDEA BANK AB	D		1FE	1,102,398.00	1,100,869.02	1,100,000.00	1,102,079.87	(1,210.85	)	(143.71	)	—	—	2.5000	2.4420	MS	1,069.44	13,750.00	20150917	20200917
W57996JD8	NORDEA BANK AB			1FE	1,548,517.03	1,551,652.89	1,200,000.00	1,542,818.04	(500.44	)	(4,784.31	)	—	9,335.30	2.1250	2.6219	November	12,143.07	—	20161202	20191113
65562QAW5	NORDIC INVESTMENT BANK	D		1FE	2,980,170.00	3,018,869.94	3,000,000.00	2,986,897.59	31,972.35		683.17		—	—	2.2500	2.3530	MS	187.50	33,750.00	20140930	20210930
658256Z54	NORTH CAROLINA ST			1FE	652,100.00	617,355.00	500,000.00	637,537.63	(20,182.63	)	(3,417.85	)	—	—	5.0000	1.7410	JD	8,333.34	—	20160309	20260601
665859AQ7	NORTHERN TRUST COMPANY		2		8,649,350.00	8,508,450.00	8,660,000.00	8,649,350.00	(140,900.00	)	—		—	—	4.6000	4.6060	AO	257,827.44	44,275.00	20160808
666807BK7	NORTHROP GRUMMAN CORP		2	2FE	996,070.00	990,970.00	1,000,000.00	996,175.14	(5,205.14	)	93.89		—	—	3.2000	3.2450	FA	10,666.67	—	20161205	20270201
666807BF8	NORTHROP GRUMMAN CORP			2FE	1,071,625.63	1,074,416.36	1,073,000.00	1,072,426.79	1,989.57		119.99		—	—	1.7500	1.7960	JD	6,259.17	—	20151009	20180601
BRT2GMJC3	NRG ENERGY INC			3FE	2,062,375.56	2,079,475.64	2,072,739.24	2,063,418.98	16,056.66		427.80		—	—	—	0.0710	MJSD	—	18,206.23	20160719	20230630
BRT85FSR4	NRW BANK	D			4,984,450.00	4,986,349.85	5,000,000.00	4,985,341.07	1,008.78		891.07		—	—	1.8750	1.9730	JAN	16,666.67	—	20170127	20200127
64829JAA1	NRZT_17-1A		4	1FE	2,023,425.50	2,027,028.73	1,965,650.51	2,022,928.48	4,100.25		(497.02	)	—	—	4.0000	3.5080	MON	6,552.17	—	20170309	20570225
65251QAA9	NSCDN_14-1A		4		2,500,000.00	2,503,523.00	2,500,000.00	2,500,000.00	3,523.00		—		—	—	2.8880	2.7340	JAJO	13,236.16	17,453.04	20150115	20270125

65251PAC7	NSLP_14-1A		4	1FE	487,100.00	490,333.15	500,000.00	489,824.61	508.54		307.97		—	—	3.6380	4.1310	JAJO	3,334.73	4,448.94	20151026	20250725
BRT97UVK8	NUMERICABLE GROUP SA	D	2		657,331.14	656,013.19	658,978.59	657,331.14	(1,317.95	)	—		—	—	—	0.0310	MJSD	—	—	20170620	20250622
BRT0TMUX4	NUMERICABLE GROUP SA	D	2		289,702.70	293,433.72	292,628.99	290,057.59	3,376.13		99.60		—	—	—	0.1280	JAJO	—	3,851.52	20160422	20240115
BRT5TA9A3	NUMERICABLE GROUP SA	D	2		1,254,209.56	1,257,877.26	1,257,352.94	1,254,340.69	3,536.57		102.97		—	—	—	0.0300	MJSD	—	9,046.50	20161128	20250114
67066GAD6	NVIDIA CORPORATION		2	2FE	1,117,782.40	1,097,151.99	1,120,000.00	1,118,011.74	(20,859.75	)	104.72		—	—	2.2000	2.2420	MS	1,026.67	12,320.00	20160916	20210916
65251UAC6	NWSCLF_16-1A		4	1FE	250,000.00	250,511.95	250,000.00	250,000.00	511.95		—		—	—	4.8020	4.8280	FMAN	1,100.53	3,055.07	20160302	20280225
65251TAC9	NWSTR_15-1A		4	1FE	2,000,000.00	1,999,876.80	2,000,000.00	2,000,000.00	(123.20	)	—		—	—	3.8300	3.8460	JAJO	15,107.66	18,815.12	20150320	20270120
65251TAE5	NWSTR_15-1A		4	1FE	1,000,000.00	999,930.40	1,000,000.00	1,000,000.00	(69.60	)	—		—	—	4.8800	4.9060	JAJO	9,624.66	12,090.90	20150320	20270120
BRST0A6G3	NXTC_15-1A		4		1,000,000.00	979,355.70	1,000,000.00	1,000,000.00	(20,644.30	)	—		—	—	4.6910	4.7190	JAJO	8,861.19	11,830.08	20150513	20270421
674000AG9	OAKCL_14-1A	D	4	1FE	480,000.00	499,925.30	500,000.00	492,787.14	7,138.16		320.20		—	—	3.8840	4.2160	FMAN	2,535.21	4,742.19	20150129	20250213
67389MAE1	OAKS_15-1		4		908,776.85	889,753.66	907,076.09	908,333.94	(18,580.28	)	168.92		—	—	3.5000	3.4330	MON	2,645.64	8,327.96	20151009	20460425
67400LAC2	OAKTA_14-A2	D	4	1FE	3,930,000.00	3,999,676.00	4,000,000.00	3,952,028.50	47,647.50		2,333.76		—	—	3.3390	3.6300	FMAN	16,695.00	32,769.07	20141218	20251115
67401DAC9	OAKTA_15-A1	D	4	1FE	1,488,150.00	1,502,477.10	1,500,000.00	1,490,302.58	12,174.52		392.07		—	—	3.6240	3.7840	JAJO	11,022.15	13,346.40	20160107	20271018
67089NAV4	OCP_12-2A	D	4	1FE	500,000.00	500,556.60	500,000.00	500,000.00	556.60		—		—	—	3.9000	3.9190	FMAN	2,058.39	4,812.39	20161122	20251122
67107KAC0	OCP_14-7A	D	4	1FE	3,850,000.00	3,999,953.60	4,000,000.00	3,899,987.43	99,966.17		4,701.82		—	—	3.1300	3.7090	JAJO	24,693.09	30,474.69	20141125	20261020
67110DAE7	OCP_16-11A	D	4	1FE	1,745,625.00	1,749,899.20	1,750,000.00	1,746,287.86	3,611.34		179.57		—	—	3.4320	3.4950	JAJO	10,843.47	14,685.52	20160517	20280426
67590BAE0	OCT16_13-1A	D	4	1FE	499,687.50	499,982.50	500,000.00	499,729.26	253.24		13.88		—	—	3.7730	3.8040	JAJO	3,877.98	4,638.33	20160811	20250717
67590LAU2	OCTAGON INVESTMENT PARTNERS XI	D	4		500,000.00	497,508.00	500,000.00	500,000.00	(2,492.00	)	—		—	—	3.0690	3.0800	JAJO	383.56	—	20170323	20260415
676167BS7	OESTERREICHISCHE KONTROLLBANK	D			2,989,440.00	2,968,290.03	3,000,000.00	2,992,676.90	(24,386.87	)	862.22		—	—	1.1250	1.2450	AO	14,531.25	—	20160426	20190426
67091HAK7	OHALF_12-1A	D	4	1FE	2,500,000.00	2,531,524.00	2,500,000.00	2,500,000.00	31,524.00		—		—	—	2.8910	2.9020	JAJO	13,652.98	9,756.28	20161129	20270123
67756BXS4	OHIO ST		2	1FE	2,905,950.00	2,673,075.00	2,500,000.00	2,665,324.66	7,750.34		(24,191.26	)	—	—	5.5000	5.2520	JD	45,833.33	—	20140930	20241201
677522HS6	OHIO ST			1FE	1,233,070.00	1,181,420.00	1,000,000.00	1,197,924.75	(16,504.75	)	(8,239.76	)	—	—	5.0000	1.3810	JD	14,722.22	—	20160309	20221215
67756DJK3	OHIO ST HIGHER EDL FAC REV			1FE	59,914.50	57,950.50	50,000.00	59,383.80	(1,433.30	)	(391.46	)	—	—	5.0000	1.5300	JD	840.29	—	20161130	20221201
68217FAA0	OMNICOM GROUP INC		2	2FE	849,209.50	848,572.01	850,000.00	849,281.83	(709.82	)	16.51		—	—	3.6000	3.6110	AO	14,110.00	—	20160406	20260415
6824544G5	ONEIDA CNTY N Y			1FE	1,532,874.00	1,503,390.00	1,400,000.00	1,479,337.55	24,052.45		(5,523.00	)	—	—	5.3870	5.3870	FA	12,569.67	37,709.00	20140930	20200801
68323ADK7	ONTARIO PROVINCE OF	A		1FE	4,995,589.50	4,949,752.65	4,950,000.00	4,985,389.88	(35,637.23	)	(4,824.17	)	—	—	1.6250	1.2220	JJ	16,310.94	40,218.75	20160921	20190118
68323ADY7	ONTARIO PROVINCE OF	A		1FE	2,972,730.00	2,968,889.91	3,000,000.00	2,976,574.58	(7,684.67	)	2,571.78		—	—	1.2500	1.6110	JD	10,833.33	—	20161118	20190617
68323ABL7	ONTARIO PROVINCE OF	A		1FE	4,449,585.00	4,482,719.87	4,500,000.00	4,477,549.99	5,169.88		2,169.53		—	—	1.6500	1.8550	MS	825.00	37,125.00	20140926	20190927
68323ADH4	ONTARIO PROVINCE OF	A		1FE	1,017,999.25	1,022,119.78	1,025,000.00	1,018,233.01	3,886.77		233.76		—	—	1.8750	2.0930	MN	6,940.10	—	20170221	20200521
68389XAX3	ORACLE CORPORATION			1FE	506,630.00	506,240.01	500,000.00	505,876.22	363.79		(560.66	)	—	—	2.2500	1.7710	AO	5,406.25	—	20161201	20191008
68389XAR6	ORACLE CORPORATION			1FE	2,350,000.00	2,368,353.45	2,350,000.00	2,350,000.00	18,353.45		—		—	—	1.6020	0.8480	JAJO	7,737.49	8,786.81	20130716	20190115
68389XAQ8	ORACLE CORPORATION			1FE	1,019,460.00	1,013,690.03	1,000,000.00	1,009,835.72	3,854.31		(1,340.24	)	—	—	2.3750	1.8140	JJ	5,013.89	11,875.00	20150609	20190115
68389XAU9	ORACLE CORPORATION		2	1FE	1,098,436.50	1,076,365.53	1,050,000.00	1,088,496.13	(12,130.60	)	(1,229.58	)	—	—	3.4000	2.8210	JJ	8,230.84	17,850.00	20150306	20240708
68389XAK1	ORACLE CORPORATION			1FE	1,059,200.00	1,058,430.10	1,000,000.00	1,058,033.56	396.54		(1,166.44	)	—	—	3.8750	2.0400	JJ	8,180.56	—	20170307	20200715

68428TCP0	ORANGE CNTY CALIF SANTN DIST		2	1FE	549,301.50	530,068.50	450,000.00	540,249.94	(10,181.44	)	(2,257.38	)	—	—		5.0000	2.4610	FA	3,750.00	11,250.00	20160330	20320201
F4113NCA5	ORANGE SA			2FE	1,463,442.33	1,052,145.03	800,000.00	1,307,205.68	6,817.24		(19,242.43	)	—	(261,877.89	)	8.0000	0.7233	December	22,364.22	—	20141127	20171220
BRSXEUVM4	ORG CHEMICAL MIDCO LLC				450,000.00	448,875.00	450,000.00	450,000.00	(1,125.00	)	—		—	—		—	—	MJSD	—	—	20151231	20201026
BRSXEV5F6	ORG CHEMICAL MIDCO LLC				4,659,375.00	4,647,726.56	4,659,375.00	4,659,375.00	(11,648.44	)	—		—	—		—	—	MJSD	—	104,430.31	20151123	20201026
BRSVBJ4B0	OSMOSE HOLDINGS INC				654,595.55	659,118.50	657,884.97	655,326.55	3,791.95		123.49		—	—		—	0.0710	MJSD	—	7,919.24	20150915	20220822
69144VAA1	OXFIN_14-1A		4	1FE	2,170,385.21	2,165,902.71	2,170,385.21	2,170,385.21	(4,482.50	)	—		—	—		3.4750	3.4990	MON	3,352.04	19,625.01	20141125	20221215
67108BAN5	OZLM FUNDING LTD	D	4		500,000.00	498,607.80	500,000.00	500,000.00	(1,392.20	)	—		—	—		3.6370	3.6520	JAJO	3,081.63	4,597.18	20161031	20271030
67111DAC0	OZLM_16-15A	D	4		2,000,000.00	1,993,231.20	2,000,000.00	2,000,000.00	(6,768.80	)	—		—	—		2.8660	2.8750	JAJO	16,241.91	—	20161220	20290120
67108BAL9	OZLMF_12-2A	D	4		1,500,000.00	1,500,893.70	1,500,000.00	1,500,000.00	893.70		—		—	—		2.8870	2.8950	JAJO	7,338.63	10,947.79	20161031	20271030
67108EAL3	OZLMF_13-3A	D	4		3,000,000.00	3,011,937.60	3,000,000.00	3,000,000.00	11,937.60		—		—	—		2.5910	2.6000	JAJO	14,683.58	16,962.37	20161215	20290122
709224KW8	PA TURNPIKE-E		2	1FE	1,108,680.00	1,101,040.00	1,000,000.00	1,106,559.67	(5,519.67	)	(2,120.33	)	—	—		5.0000	3.5600	JD	16,666.67	—	20170117	20401201
70922PAE2	PA TURNPIKE-E			1FE	4,500,000.00	4,528,980.00	4,500,000.00	4,500,000.00	28,980.00		—		—	—		1.6990	1.6990	JD	25,485.00	—	20140917	20181201
69371RL79	PACCAR FINANCIAL CORP			1FE	3,850,000.00	3,880,592.10	3,850,000.00	3,850,000.00	30,592.10		—		—	—		1.7000	0.8420	MJSD	4,726.95	14,884.00	20131206	20181206
69371RN28	PACCAR FINANCIAL CORP			1FE	294,825.95	292,011.65	295,000.00	294,877.01	(2,865.36	)	14.28		—	—		1.3000	1.3200	MN	1,502.04	—	20160510	20190510
69371RM52	PACCAR FINANCIAL CORP			1FE	5,967,113.00	5,966,635.00	5,975,000.00	5,971,990.51	(5,355.51	)	655.92		—	—		1.4000	1.4450	MN	30,904.03	—	20150518	20180518
69371RM45	PACCAR FINANCIAL CORP			1FE	2,622,532.50	2,626,417.50	2,625,000.00	2,624,217.31	2,200.19		204.76		—	—		1.4500	1.4820	MS	2,326.04	23,324.86	20150309	20180309
69371RN36	PACCAR FINANCIAL CORP			1FE	2,500,000.00	2,462,974.92	2,500,000.00	2,500,000.00	(37,025.08	)	—		—	—		1.2000	1.2000	FA	4,083.34	15,083.34	20160811	20190812
N6803F7R2	PACCAR FINANCIAL EUROPE BV				942,231.81	762,952.99	605,000.00	943,242.28	7,110.63		176.00		—	(187,399.92	)	1.5130	1.1616	May	9,627.34	—	20150529	20180529
BRSJA8RE1	PACIFIC DRILLING SA	D	4	4FE	2,450,515.30	1,645,667.32	3,616,851.26	3,032,510.25	(1,386,842.93	)	118,959.40		—	—		—	15.2870	MJSD	—	43,769.88	20150921	20180603
694308GL5	PACIFIC GAS AND ELECTRIC CO			1FE	645,360.20	595,225.00	580,000.00	594,872.21	352.79		(5,541.22	)	—	—		5.6250	1.7160	MN	10,965.63	—	20141211	20171130
BRSSM7M39	PACIFIC MERGER SUB INC			4FE	1,949,423.41	1,960,471.89	1,973,630.08	1,952,405.63	8,066.26		1,087.37		—	—		—	0.2110	MJSD	—	26,258.36	20150519	20220415
695114CM8	PACIFICORP		2	1FE	1,562,060.50	1,512,510.84	1,430,000.00	1,536,816.57	(24,305.73	)	(7,409.13	)	—	—		3.8500	1.8820	JD	16,210.64	—	20160408	20210615
695114CK2	PACIFICORP			1FE	4,465,800.00	4,256,279.93	4,000,000.00	4,247,296.00	8,983.93		(33,650.08	)	—	—		5.5000	1.9670	JJ	46,444.45	110,000.00	20150812	20190115
69834LAA8	PANDA RE LTD	D			15,000,000.00	15,078,450.00	15,000,000.00	15,000,000.00	78,450.00		—		—	—		4.3680	4.0850	JAJO	163,815.06	149,253.70	20150629	20180709
BRSAC1100	PANGEA RE				13,962,651.00	14,082,364.49	13,962,651.00	13,962,651.00	119,713.49		—		—	—		—	—	M-J-S-D	—	—	10/21/4670	201712131
69640GAA3	PCT_16-PLSD		4	?	5,000,000.00	4,974,534.50	5,000,000.00	5,000,000.00	(25,465.50	)	—		—	—		2.7130	2.7220	MON	8,289.66	33,912.27	20160429	20330413
40168PAA6	PDFNI_16-A		4	1FE	6,962,617.00	7,048,953.45	6,962,617.00	6,962,617.00	86,336.45		—		—	—		3.6300	3.6460	JAJO	55,463.05	65,003.92	20160412	20270412
40168PAJ7	PDFNI_16-B		4	2AM	1,168,224.00	1,172,312.78	1,168,224.00	1,168,224.00	4,088.78		—		—	—		4.0050	4.0250	JAJO	10,267.23	12,134.91	20160708	20270412
40168PAR9	PDFNI_16-B		4	3AM	964,210.24	967,584.98	964,210.24	964,210.24	3,374.74		—		—	—		3.0000	3.0110	JAJO	6,347.72	7,574.09	20160708	20270412
40168PAH1	PDFNI_16-B		4	2AM	2,336,449.00	2,344,626.57	2,336,449.00	2,336,449.00	8,177.57		—		—	—		4.0050	4.0250	JAJO	20,534.47	24,269.81	20160412	20270412
40168PAK4	PDFNI_16-B		4	2AM	1,168,224.00	1,172,312.78	1,168,224.00	1,168,224.00	4,088.78		—		—	—		4.0050	4.0240	JAJO	10,267.23	12,134.91	20160830	20270412
40168PAS7	PDFNI_16-B		4	3AM	757,596.00	760,247.59	757,596.00	757,596.00	2,651.59		1,889.03		—	—		3.0000	3.0110	JAJO	4,987.51	6,828.03	20160830	20270412
40168PAC2	PDFNI_16-B		4	1FE	3,037,383.00	3,048,013.84	3,037,383.00	3,037,383.00	10,630.84		—		—	—		3.6300	3.6460	JAJO	24,195.28	28,357.41	20160830	20270412
40168PAY4	PDFNI_16-B		4	4AM	462,546.41	464,165.33	462,546.41	462,546.41	1,618.92		—		—	—		3.0000	3.0110	JAJO	3,045.10	3,686.65	20160708	20270412

40168PAB4	PDFNI_16-B		4	1FE	3,551,401.00	3,563,830.90	3,551,401.00	3,551,401.00	12,429.90		—		—	—	3.6300	3.6460	JAJO	28,289.86	33,156.35	20160708	20270412
40168PAZ1	PDFNI_16-B		4	4AM	382,598.06	383,937.16	382,598.06	382,598.06	1,339.10		—		—	—	3.0000	3.0110	JAJO	2,518.77	3,049.44	20160830	20270412
40168PAQ1	PDFNI_16-C		4	3AM	2,048,085.99	2,031,701.31	2,048,085.99	2,048,085.99	(16,384.68	)	—		—	—	3.0000	3.0110	JAJO	13,483.24	16,090.36	20160412	20270412
40168PAX6	PDFNI_16-D		4	4AM	948,560.05	923,992.34	948,560.05	948,560.05	(24,567.71	)	—		—	—	3.0000	3.0110	JAJO	6,244.68	7,562.67	20160412	20270412
693304AP2	PECO ENERGY CO		2	1FE	359,969.30	364,057.79	370,000.00	362,208.04	1,849.75		326.18		—	—	2.3750	2.7940	MS	390.56	4,393.75	20150710	20220915
705870AA1	PELICAN III RE LTD	D			680,000.00	688,173.60	680,000.00	680,000.00	8,173.60		—		—	—	6.1800	6.0460	MJSD	2,801.60	11,110.83	20150414	20180416
BRSXBV296	PENARTH MASTER ISSUER PLC	D	4	1FE	4,062,674.00	4,069,715.10	4,070,000.00	4,068,674.74	1,040.36		1,115.23		—	—	1.3780	1.4910	MON	1,869.93	19,288.28	20151120	20190518
BRT81L2X0	PENN NTL GAMING INC		2	3FE	245,220.32	247,479.55	246,452.58	245,243.15	2,236.40		26.22		—	—	—	0.0710	MJSD	—	1,185.52	20170213	20240119
709132AK0	PENNSYLVANIA ST HIGHER EDL FAC		2	1FE	868,208.00	808,448.00	800,000.00	806,357.86	2,090.14		(6,288.00	)	—	—	5.0000	3.9310	JJ	10,000.00	20,000.00	20140930	20180701
70932JAA2	PENNUNION RE LTD	D		3FE	1,250,000.00	1,260,450.00	1,250,000.00	1,250,000.00	10,450.00		—		—	—	4.9910	4.5000	MJSD	4,332.12	15,174.66	20151008	20181207
709599AS3	PENSKE TRUCK LEASING CO		2	2FE	4,916,436.76	5,060,924.46	4,988,000.00	4,932,556.19	128,368.27		2,597.00		—	—	3.3750	3.6270	FA	28,057.51	84,172.51	20150923	20220201
709599AK0	PENSKE TRUCK LEASING CO			2FE	308,928.00	304,551.00	300,000.00	303,271.61	1,279.39		(837.72	)	—	—	3.3750	2.2130	MS	450.00	5,062.50	20150720	20180315
709599AV6	PENSKE TRUCK LEASING CO		2	2FE	1,454,812.05	1,483,869.11	1,465,000.00	1,457,131.49	26,737.62		450.06		—	—	3.3000	3.4450	AO	24,172.50	—	20151215	20210401
709599AW4	PENSKE TRUCK LEASING CO		2	2FE	194,405.25	187,328.70	195,000.00	194,427.16	(7,098.46	)	14.39		—	—	3.4000	3.4360	MN	2,744.08	—	20161102	20261115
709599AQ7	PENSKE TRUCK LEASING CO		2	2FE	2,600,508.10	2,618,389.49	2,605,000.00	2,602,298.42	16,091.07		294.05		—	—	2.5000	2.5490	JD	19,175.69	—	20140617	20190615
709599AL8	PENSKE TRUCK LEASING CO			2FE	609,582.00	607,482.00	600,000.00	606,094.51	1,387.49		(1,150.16	)	—	—	2.8750	2.0760	JJ	3,545.83	8,625.00	20160628	20180717
713448CX4	PEPSICO INC		2	1FE	999,810.00	1,026,839.98	1,000,000.00	999,852.59	26,987.39		6.35		—	—	3.1000	3.1030	JJ	6,372.22	15,500.00	20150717	20220717
713448DL9	PEPSICO INC		2	1FE	3,055,899.60	2,979,093.69	3,060,000.00	3,056,283.12	(77,189.43	)	205.63		—	—	1.7000	1.7280	AO	25,287.50	12,750.00	20161006	20211006
713448CR7	PEPSICO INC				1,589,809.20	1,589,364.00	1,590,000.00	1,589,930.53	(566.53	)	15.78		—	—	1.2500	1.2540	AO	8,336.46	—	20150430	20180430
713448DJ4	PEPSICO INC			1FE	1,699,745.00	1,685,329.02	1,700,000.00	1,699,785.36	(14,456.34	)	20.52		—	—	1.3500	1.3550	AO	11,156.25	—	20161006	20191004
713448CW6	PEPSICO INC			1FE	2,999,040.00	2,999,100.00	3,000,000.00	2,999,856.91	(756.91	)	119.89		—	—	1.1250	1.1410	JJ	6,937.50	16,875.00	20150717	20170717
713448DE5	PEPSICO INC			1FE	594,827.45	594,571.60	595,000.00	594,889.80	(318.20	)	14.09		—	—	1.5000	1.5100	FA	966.88	4,462.50	20160224	20190222
717081DF7	PFIZER INC			1FE	3,999,999.00	4,009,118.88	3,999,999.00	3,999,999.00	9,119.88		—		—	—	1.4310	0.5750	MJSD	2,703.41	12,634.40	20130603	20180615
717081EB5	PFIZER INC			1FE	3,722,318.00	3,719,598.87	3,725,000.00	3,722,629.72	(3,030.85	)	227.98		—	—	1.7000	1.7240	JD	22,867.37	—	20161121	20191215
717081DL4	PFIZER INC			1FE	2,495,275.00	2,521,175.20	2,500,000.00	2,497,934.03	23,241.17		236.09		—	—	2.1000	2.1400	MN	19,833.34	—	20140515	20190515
717081DG5	PFIZER INC			1FE	2,224,094.50	2,226,424.00	2,225,000.00	2,224,820.01	1,603.99		36.56		—	—	1.5000	1.5070	JD	9,827.09	5,595.83	20130603	20180615
717081DZ3	PFIZER INC			1FE	699,363.00	698,012.02	700,000.00	699,407.38	(1,395.36	)	34.86		—	—	2.2000	2.2190	JD	5,561.11	—	20161121	20211215
69331CAF5	PG&E CORP		2	2FE	500,605.00	503,110.01	500,000.00	500,267.52	2,842.49		(34.71	)	—	—	2.4000	2.4360	MS	1,000.00	6,000.00	20140930	20190301
BRSUY9361	PHARMACEUTICAL PRODUCT DEV IN			4FE	1,783,640.03	1,797,749.45	1,792,819.20	1,785,598.40	12,151.05		349.16		—	—	—	0.0740	MJSD	—	19,309.36	20150825	20220818
71722TAF1	PHEAA_04-1		4	1FE	452,730.00	495,074.40	500,000.00	489,877.44	5,196.96		896.25		—	—	2.4210	3.5400	MON	798.16	3,246.95	20100311	20440425
71722TAG9	PHEAA_04-1		4	1FE	1,177,098.00	1,217,248.24	1,300,000.00	1,249,827.59	(32,579.35	)	2,634.31		—	—	2.3930	3.4400	MON	1,895.47	6,355.47	20100312	20440425
718172BP3	PHILIP MORRIS INTERNATIONAL IN			1FE	149,622.00	149,983.50	150,000.00	149,930.37	53.13		46.98		—	—	1.2500	1.3780	FA	260.42	937.50	20150811	20170811
718172BN8	PHILIP MORRIS INTERNATIONAL IN			1FE	1,919,648.50	1,923,152.00	1,925,000.00	1,923,902.90	(750.90	)	448.37		—	—	1.2500	1.3450	MN	9,491.32	—	20141110	20171109
718172BR9	PHILIP MORRIS INTERNATIONAL IN			1FE	2,919,539.90	2,905,388.11	2,930,000.00	2,923,310.56	(17,922.45	)	851.10		—	—	1.3750	1.4970	FA	4,028.76	20,143.76	20160225	20190225

718172AL3	PHILIP MORRIS INTERNATIONAL IN			1FE	1,488,790.50	1,466,037.05	1,450,000.00	1,478,562.02	(12,524.97	)	(1,446.73	)	—	—	2.9000	2.4470		MN	15,885.55	—	20150406	20211115
718172AA7	PHILIP MORRIS INTERNATIONAL IN			1FE	215,716.60	203,862.75	195,000.00	203,688.15	174.60		(1,900.46	)	—	—	5.6500	1.6330		MN	4,131.56	—	20150730	20180516
718172BF5	PHILIP MORRIS INTERNATIONAL IN			1FE	611,850.00	601,254.00	600,000.00	608,378.93	(7,124.93	)	(1,149.34	)	—	—	1.8750	1.0850		JJ	2,375.00	5,625.00	20160630	20190115
BRSSJC1F8	PHILLIPS & TEMRO INDUSTRIES IN				3,026,639.33	2,345,645.48	3,026,639.33	3,026,639.33	(680,993.85	)	—		—	—	—	—		MJSD	—	16,818.31	20150327	20210312
718546AJ3	PHILLIPS 66			2FE	749,909.71	750,885.00	750,000.00	749,998.56	886.44		6.91		—	—	2.9500	1.5420		MN	9,218.75	7,807.26	20130124	20170501
03328WAC2	PILOT_12-1	D	4		2,500,000.00	2,508,019.50	2,500,000.00	2,500,000.00	8,019.50		—		—	—	2.8330	2.8120		JAJO	22,424.83	—	20161208	20290115
BRT88VA38	PINACLE FOOD FIN		2	3FE	489,205.75	491,742.53	489,818.03	489,209.64	2,532.89		11.74		—	—	—	0.0180		MJSD	—	710.36	20170316	20240202
72650RBF8	PLAINS ALL AMERICAN PIPELINE L		2	2FE	724,942.50	726,194.97	750,000.00	729,015.77	(2,820.80	)	585.25		—	—	3.6000	4.0320		MN	11,250.00	—	20150625	20241101
72650RBD3	PLAINS ALL AMERICAN PIPELINE L		2	2FE	523,505.00	500,910.00	500,000.00	518,200.99	(17,290.99	)	(644.04	)	—	—	3.8500	3.2040		AO	8,876.39	—	20150227	20231015
72650RBG6	PLAINS ALL AMERICAN PIPELINE L		2	2FE	2,994,390.00	2,994,150.00	3,000,000.00	2,996,888.12	(2,738.12	)	274.12		—	—	2.6000	2.6400		JD	22,966.67	—	20141209	20191215
BRSWYTMJ4	PLASKOLITE INC				6,484,297.90	6,549,140.88	6,484,297.90	6,484,297.90	64,842.98		—		—	—	—	—		MJSD	—	86,373.44	20151118	20221103
BRT6UBG92	PLATFORM SPECIALTY PRODUCTS CO		2		435,549.53	442,376.60	438,901.81	435,713.26	6,663.34		172.15		—	—	—	(0.4160	)	MJSD	—	3,245.04	20170131	20200607
69353RER5	PNC BANK NATIONAL ASSOCIATION		2	1FE	2,249,730.00	2,254,252.50	2,250,000.00	2,249,880.52	4,371.98		22.42		—	—	1.8500	1.8540		JJ	8,209.38	20,812.50	20150721	20180720
69353REV6	PNC BANK NATIONAL ASSOCIATION		2	1FE	959,030.40	962,227.22	960,000.00	959,371.71	2,855.51		79.00		—	—	1.9500	1.9850		MS	1,404.00	9,360.00	20160304	20190304
69353RES3	PNC BANK NATIONAL ASSOCIATION		2	1FE	249,825.00	252,534.98	250,000.00	249,881.76	2,653.22		8.47		—	—	2.6000	2.6150		JJ	1,263.89	3,250.00	20150721	20200721
69353REK0	PNC BANK NATIONAL ASSOCIATION		2	1FE	703,353.00	690,382.00	700,000.00	702,730.22	(12,348.22	)	(76.25	)	—	—	2.9500	2.8940		FA	2,179.72	10,325.00	20150302	20250223
69353REU8	PNC BANK NATIONAL ASSOCIATION		2	1FE	308,544.00	301,326.00	300,000.00	307,043.20	(5,717.20	)	(567.09	)	—	—	2.4500	1.7580		MN	2,980.83	3,943.82	20160621	20201105
69353RDZ8	PNC BANK NATIONAL ASSOCIATION		2	1FE	2,518,130.00	2,526,074.98	2,500,000.00	2,510,300.65	15,774.33		(999.29	)	—	—	2.4000	2.2280		AO	27,166.67	—	20141030	20191018
69353RCH9	PNC BANK NATIONAL ASSOCIATION		2	1FE	3,249,925.00	3,272,100.26	3,250,000.00	3,249,909.90	22,190.36		(24.97	)	—	—	2.2000	2.2420		JJ	12,512.50	35,750.00	20140128	20190128
693475AQ8	PNC FINANCIAL SERVICES GROUP I		2		2,750,000.00	2,750,000.00	2,750,000.00	2,750,000.00	—		—		—	—	5.0000	5.0000		MN	57,291.67	—	20161101
73358WAJ3	PORT AUTH NY & NJ			1FE	1,459,850.00	1,356,617.82	1,075,000.00	1,443,734.48	(87,116.66	)	(5,988.88	)	—	—	6.0400	2.8040		JD	21,643.33	—	20160729	20291201
73358WUA0	PORT AUTH NY & NJ			1FE	2,000,000.00	2,020,300.00	2,000,000.00	2,000,000.00	20,300.00		—		—	—	2.5290	2.5290		AO	23,323.00	—	20141021	20201015
73674NBG5	PORTLAND ORE SWR SYS REV			1FE	509,363.20	505,929.20	505,000.00	505,341.70	587.50		(410.03	)	—	—	2.7720	2.7720		JD	4,121.81	—	20140930	20170615
BRT6KR459	PQ CORP		2	4FE	283,534.59	288,770.19	286,164.09	283,680.98	5,089.21		115.42		—	—	—	(1.0250	)	MJSD	—	1,345.02	20161201	20221104
74005PAZ7	PRAXAIR INC			1FE	818,683.05	813,563.24	795,000.00	812,287.67	1,275.57		(912.64	)	—	—	3.0000	2.4770		MS	1,987.50	11,925.00	20150625	20210901
74005PBP8	PRAXAIR INC			1FE	1,998,120.00	2,008,780.06	2,000,000.00	1,998,669.92	10,110.14		90.79		—	—	2.2500	2.2700		MS	875.00	22,500.00	20150924	20200924
BRT83EXB8	PRESTIGE BRANDS INC		2	4FE	884,960.58	894,016.90	887,178.53	885,013.53	9,003.37		127.38		—	—	—	0.0350		MJSD	—	5,605.71	20170130	20240126
74153WBZ1	PRICOA GLOBAL FUND			1FE	985,230.00	999,220.00	1,000,000.00	995,209.79	4,010.21		1,013.20		—	—	1.6000	1.6160		MN	5,422.22	—	20140930	20180529
BRT7F9QD2	PRIME SECURITY SERVICES BORROW		2	3FE	3,822,268.82	3,873,385.38	3,841,146.65	3,823,060.77	50,324.61		823.18		—	—	—	0.0910		MJSD	—	43,086.09	20161230	20220502
BRSQXTFG2	PRIMEDIA INC.			4FE	1,246,811.22	1,223,433.51	1,246,811.22	1,246,811.22	(23,377.71	)	—		—	—	—	—		MJSD	—	10,633.68	20170210	20211217
89837LAA3	PRINCETON UNIVERSITY			1FE	1,525,670.40	1,422,275.89	1,340,000.00	1,423,246.14	(970.25	)	(10,548.58	)	—	—	4.9500	1.6420		MS	5,527.50	33,165.00	20141022	20190301
742741AA9	PROCTER & GAMBLE COMPANY		4	1FE	536,013.84	479,895.02	416,590.00	481,322.96	(1,427.94	)	(7,518.30	)	—	—	9.3600	1.8240		JJ	9,748.20	21,451.72	20140220	20210101
742718DY2	PROCTER & GAMBLE COMPANY			1FE	2,137,149.00	2,109,555.04	2,100,000.00	2,130,741.61	(21,186.57	)	(1,488.96	)	—	—	2.3000	1.9820		FA	7,379.16	24,150.00	20160303	20220206
69362BAZ5	PSEG POWER LLC		2	2FE	49,925.00	50,259.50	50,000.00	49,974.80	284.70		3.77		—	—	2.4500	2.4820		MN	462.78	—	20131108	20181115

74456QBE5	PUBLIC SERVICE ELECTRIC AND GA			2	1FE	1,099,692.00	1,112,704.99	1,100,000.00	1,099,907.30	12,797.69		15.47		—	—		2.3000	2.3060		MS	1,124.45	12,650.00	20130912	20180915
74529JNP6	PUERTO RICO SALES TAX FING COR			2	5FE	985,000.00	662,610.00	1,000,000.00	989,900.74	(327,290.74	)	404.83		—	—		5.0000	5.2190		FA	8,333.33	25,000.00	20140113	20220801
747525AD5	QUALCOMM INCORPORATED				1FE	2,872,817.50	2,878,306.20	2,875,000.00	2,873,603.68	4,702.52		106.61		—	—		2.2500	2.2660		MN	23,539.07	—	20150520	20200520
747525AG8	QUALCOMM INCORPORATED				1FE	6,036,899.70	6,041,312.55	6,045,000.00	6,041,905.62	(593.07	)	676.34		—	—		1.4000	1.4460		MN	30,795.92	—	20150520	20180518
BRSK6KJF2	QUEBECOR MEDIA INC.		A		3FE	2,396,311.92	2,411,742.48	2,407,728.80	2,402,170.66	9,571.82		420.32		—	—		—	0.1530		MJSD	—	21,350.01	20130903	20200817
74825FAB0	QUEEN STREET X RE LTD					680,000.00	685,596.40	680,000.00	680,000.00	5,596.40		—		—	—		6.0552	3.1918		M-J-S-D	1,372.52	10,378.28	20150330	20200608
74825WAA5	QUEEN STREET XI RE DAC		D			500,000.00	507,495.00	500,000.00	500,000.00	7,495.00		—		—	—		6.9110	6.4810		MJSD	1,055.92	8,115.30	20151218	20190607
74825RAA6	QUEEN STREET XII RE DESIGNATED		D			900,000.00	911,583.00	900,000.00	900,000.00	11,583.00		—		—	—		6.4100	1.2730		MJSD	1,922.97	14,341.50	20160520	20200408
BRT69AJA2	QUIKRETE HOLDINGS INC			2	4FE	2,244,335.36	2,276,993.96	2,254,913.84	2,244,752.90	32,241.06		393.10		—	—		—	0.0670		MJSD	—	24,158.28	20161219	20231115
21684AAF3	RABOBANK NEDERLAND NV		D		1FE	5,572,435.00	5,358,814.95	5,500,000.00	5,569,095.53	(210,280.58	)	(1,526.24	)	—	—		3.7500	3.5900		JJ	40,104.17	103,125.00	20160907	20260721
21688AAA0	RABOBANK NEDERLAND NV				1FE	2,240,317.50	2,263,972.40	2,250,000.00	2,246,816.98	17,155.42		431.83		—	—		2.2500	2.3310		JJ	10,828.13	25,312.50	20160115	20190114
BRSS6M9H8	RABOBANK NEDERLAND NV		B			1,041,777.25	1,046,162.48	800,000.00	1,040,743.93	11,746.90		(1,033.32	)	—	(6,328.35	)	2.2500	1.5280		MAR	555.00	22,645.80	20170202	20220323
21685WBT3	RABOBANK NEDERLAND NV		D		1FE	1,264,080.00	1,232,190.53	1,150,000.00	1,228,912.98	3,277.55		(4,932.88	)	—	—		4.5000	2.5820		JJ	11,500.00	25,875.00	20150609	20210111
N7278SAC7	RABOBANK NEDERLAND NV				1FE	1,838,539.62	1,421,275.02	1,120,000.00	1,773,580.37	6,312.29		(7,622.42	)	—	(358,617.63	)	3.2500	0.5890		November	18,965.16	—	20141205	20171101
BRSSB5RH9	RANDALL-REILLY PUBLISHING CO					6,736,418.61	6,702,736.51	6,736,418.61	6,736,418.61	(33,682.10	)	—		—	—		—	—		MJSD	—	103,244.14	20150324	20181015
BRSN4HND5	RCI BANQUE SA		B			978,525.37	840,511.25	650,000.00	969,516.42	7,579.74		(2,675.93	)	—	(136,584.91	)	3.0000	1.7810		MAY	21,845.19	—	20160602	20190509
F7S02WAB2	RCI BANQUE SA				2FE	521,157.62	427,420.47	340,000.00	515,282.22	1,104.03		(673.19	)	—	(88,965.79	)	2.1250	0.5178		October	4,381.11	—	20150116	20171006
BRT84J840	REALOGY CORP			2	3FE	290,139.23	291,662.46	290,139.23	290,139.23	1,523.23		—		—	—		—	(0.2790	)	MJSD	—	—	20170301	20220720
G7457KAB7	REED ELSEVIER INVESTMENTS PLC				2FE	624,432.80	456,132.42	350,000.00	566,984.83	2,685.17		(6,996.19	)	—	(113,537.57	)	7.0000	0.6986		December	9,316.71	11,506.38	20141203	20171211
75886QAG8	REGATTA III FUNDING LTD REGTS_		D	4	1FE	237,812.50	248,713.23	250,000.00	239,848.03	8,865.20		302.77		—	—		3.8730	4.7360		JAJO	2,044.17	2,383.06	20151217	20260415
75887HAL6	REGT5_14-1A		D	4		3,000,000.00	3,000,000.00	3,000,000.00	3,000,000.00	—		—		—	—		4.1880	4.2080		JAJO	23,033.40	30,910.31	20141106	20261025
76111XYJ6	RESIDENTIAL FUNDING MORTGAGE S			4	?	383,901.83	388,564.26	397,825.72	387,531.90	1,032.36		1,284.74		—	—		3.4440	4.1510		MON	1,141.66	3,694.33	20070817	20350925
76117QAC6	RESIDENTIAL REINSURANCE 2014 L		D			500,000.00	501,695.00	500,000.00	500,000.00	1,695.00		—		—	—		5.5460	4.8000		MJSD	2,002.87	6,383.04	20141203	20181206
76118DAC4	RESIDENTIAL REINSURANCE 2015 L		D			400,000.00	409,932.00	400,000.00	400,000.00	9,932.00		—		—	—		7.2500	7.2500		MJSD	2,094.44	7,604.80	20151202	20191206
76118DAA8	RESIDENTIAL REINSURANCE 2015 L		D			250,000.00	254,832.50	250,000.00	250,000.00	4,832.50		—		—	—		10.9700	—		MJSD	1,980.69	7,074.77	20150529	20190606
76118DAB6	RESIDENTIAL REINSURANCE 2015 L		D			500,000.00	511,235.00	500,000.00	500,000.00	11,235.00		—		—	—		5.9600	—		MJSD	2,152.22	7,887.04	20150529	20190606
76118GAF0	RESIDENTIAL REINSURANCE 2016 L		D		4FE	250,000.00	246,282.50	250,000.00	250,000.00	(3,717.50	)	—		—	—		—	—		MJSD	—	2,617.69	20161118	20231206
76118GAE3	RESIDENTIAL REINSURANCE 2016 L		D			250,000.00	251,120.00	250,000.00	250,000.00	1,120.00		—		—	—		5.7170	5.7170		MJSD	1,032.22	3,772.21	20161118	20231206
76118GAA1	RESIDENTIAL REINSURANCE 2016 L		D			250,000.00	254,175.00	250,000.00	250,000.00	4,175.00		—		—	—		11.5000	0.9380		MJSD	2,076.39	7,391.73	20160511	20200606
76118GAB9	RESIDENTIAL REINSURANCE 2016 L	@	D			383,000.00	383,942.18	383,000.00	383,000.00	942.18		—		—	—		5.4960	4.9900		MJSD	1,520.37	4,861.00	20160511	20200606
76118GAD5	RESIDENTIAL REINSURANCE 2016 L		D			230,625.00	236,295.00	250,000.00	232,340.01	3,954.99		1,153.27		—	—		—	2.0000		N/A	—	—	20161118	20201206
76118GAC7	RESIDENTIAL REINSURANCE 2016 L		D			500,000.00	504,255.00	500,000.00	500,000.00	4,255.00		—		—	—		3.2500	3.5490		MJSD	1,173.61	4,470.96	20160511	20230606
76131VAA1	RETAIL PROPERTIES OF AME			2	2FE	1,458,055.90	1,396,467.29	1,465,000.00	1,459,267.41	(62,800.12	)	150.39		—	—		4.0000	4.0580		MS	2,604.44	29,300.00	20150312	20250315
BRT7GHMF2	REXNORD CORP			2	4FE	1,460,869.40	1,468,802.76	1,464,530.73	1,461,021.15	7,781.61		144.37		—	—		—	0.0370		MJSD	—	9,847.94	20161221	20230821

761713BG0	REYNOLDS AMERICAN INC		2	2FE	229,303.10	241,868.00	230,000.00	229,407.06	12,460.94		14.80		—	—		4.4500	4.4880		JD	3,098.94	—	20150612	20250612
761713BE5	REYNOLDS AMERICAN INC			2FE	1,219,687.32	1,193,129.99	1,162,000.00	1,208,267.05	(15,137.06	)	(3,469.24	)	—	—		3.2500	1.9580		JD	11,434.41	—	20160621	20200612
761713BF2	REYNOLDS AMERICAN INC			2FE	816,687.25	812,951.72	775,000.00	814,435.54	(1,483.82	)	(1,734.98	)	—	—		4.0000	2.9370		JD	9,386.11	—	20161205	20220612
761713BT2	REYNOLDS AMERICAN INC			2FE	3,534,030.00	3,383,909.91	3,000,000.00	3,427,461.62	(43,551.71	)	(33,274.10	)	—	—		6.8750	2.0790		MN	85,937.50	—	20160613	20200501
761713BC9	REYNOLDS AMERICAN INC			2FE	5,952,596.85	5,960,490.75	5,925,000.00	5,938,082.81	22,407.94		(2,867.57	)	—	—		2.3000	2.1120		JD	41,261.04	920.00	20150612	20180612
BRT88F4N6	REYNOLDS GROUP HOLDINGS INC		2	4FE	1,733,436.42	1,742,254.79	1,735,476.02	1,733,465.57	8,789.22		34.26		—	—		—	(0.7030	)	MJSD	—	5,663.97	20170301	20230205
762232AL0	RHODE ISLAND ST COMM CORP REV			1FE	50,189.60	47,342.40	40,000.00	49,776.59	(2,434.19	)	(236.91	)	—	—		5.0000	2.0700		JD	861.11	—	20161026	20260615
BRSR06452	RICHELIEU FOODS INC				4,613,515.84	4,544,313.10	4,613,515.84	4,613,515.84	(69,202.74	)	—		—	—		—	—		JAJO	—	66,455.13	20141208	20190521
76541VKC0	RICHMOND VA			1FE	5,000,000.00	5,001,800.00	5,000,000.00	5,000,000.00	1,800.00		—		—	—		1.5070	1.5070		JJ	15,907.22	37,675.00	20120628	20170715
767201AS5	RIO TINTO FINANCE (USA) LTD	D	2	1FE	775,515.00	777,157.51	750,000.00	775,352.83	1,804.68		(162.17	)	—	—		3.7500	3.2620		JD	8,281.25	—	20170310	20250615
76761RAA7	RISERVA CLO LTD RSRVA_16-3A		4	1FE	2,500,000.00	2,514,843.25	2,500,000.00	2,500,000.00	14,843.25		—		—	—		2.3910	2.3970		JAJO	16,767.89	—	20161221	20281018
771196BB7	ROCHE HOLDINGS INC		2	1FE	226,736.85	218,753.90	215,000.00	225,044.24	(6,290.34	)	(591.69	)	—	—		2.8750	1.7490		MS	34.34	3,090.63	20160627	20210929
771196BA9	ROCHE HOLDINGS INC		2	1FE	1,010,770.00	1,007,920.00	1,000,000.00	1,006,994.02	925.98		(700.28	)	—	—		2.2500	1.9520		MS	62.50	11,250.00	20151124	20190930
776743AC0	ROPER IND INC.		2	2FE	2,765,651.10	2,772,105.09	2,770,000.00	2,765,879.31	6,225.78		199.41		—	—		2.8000	2.8340		JD	21,975.33	—	20161219	20211215
777594YX4	ROSEMOUNT MN SCH DIST #196		2	1FE	641,590.00	601,320.00	500,000.00	626,915.73	(25,595.73	)	(3,261.68	)	—	—		5.0000	1.8700		FA	4,166.67	12,500.00	20160216	20270201
780082AC7	ROYAL BANK OF CANADA	A		1FE	249,917.50	249,020.00	250,000.00	249,940.78	(920.78	)	3.98		—	—		2.1000	2.1070		AO	2,435.42	—	20151014	20201014
78012KRK5	ROYAL BANK OF CANADA	A		1FE	1,278,255.10	1,270,736.49	1,285,000.00	1,279,170.84	(8,434.35	)	608.13		—	—		1.5000	1.6990		JJ	3,319.59	9,637.50	20161201	20190729
BRSNFTGX1	ROYAL BANK OF CANADA			1FE	1,166,566.62	875,525.08	700,000.00	1,168,165.16	1,149.33		141.33		—	(293,789.41	)	0.7560	0.9810		MJSD	471.49	1,737.54	20140604	20190604
78012KZG5	ROYAL BANK OF CANADA	A		1FE	1,049,758.50	1,059,859.54	1,050,000.00	1,049,766.09	10,093.45		7.59		—	—		2.7500	2.7550		FA	4,892.70	—	20170131	20220201
780082AA1	ROYAL BANK OF CANADA	A			1,516,575.00	1,491,269.99	1,500,000.00	1,513,825.35	(22,555.36	)	(1,168.88	)	—	—		1.8750	1.5430		FA	4,375.00	14,062.50	20160830	20200205
78011DAG9	ROYAL BANK OF CANADA	A		1FE	4,185,818.40	4,124,868.87	4,103,000.00	4,172,916.83	(48,047.96	)	(6,846.81	)	—	—		2.2000	1.4960		MS	2,005.90	45,133.00	20161020	20190923
78012KC62	ROYAL BANK OF CANADA	A		1FE	569,589.60	570,843.57	570,000.00	569,599.06	1,244.51		9.46		—	—		2.1250	2.1500		MS	841.15	—	20170306	20200302
BRT5CSLH3	RPI FINANCE TRUST		2	2FE	966,635.44	973,574.82	971,492.91	966,996.97	6,577.85		211.44		—	—		—	0.0830		MJSD	—	8,580.87	20161020	20221014
BRT92KNL2	RPI FINANCE TRUST		2	2FE	638,643.29	641,615.95	640,243.90	638,645.49	2,970.46		2.20		—	—		—	0.0410		MJSD	—	—	20170329	20230316
78355HJX8	RYDER SYSTEM INC.		2	2FE	2,387,011.85	2,395,398.53	2,385,000.00	2,387,761.92	7,636.61		(348.43	)	—	—		2.4500	2.3950		MS	4,869.38	29,216.25	20150611	20190903
78355HJZ3	RYDER SYSTEM INC.		2	2FE	443,776.25	445,694.19	445,000.00	444,220.65	1,473.54		59.66		—	—		2.5000	2.5590		MN	4,326.39	—	20150511	20200511
78355HJV2	RYDER SYSTEM INC.		2	2FE	1,261,947.50	1,259,887.50	1,250,000.00	1,256,305.59	3,581.91		(977.14	)	—	—		2.4500	2.1150		MN	11,569.44	1,718.06	20150910	20181115
78409VAH7	S&P GLOBAL INC			2FE	69,944.13	70,380.80	70,000.00	69,962.41	418.39		6.61		—	—		2.5000	1.7080		FA	223.61	875.00	20160729	20180815
BRT8K2HL1	SABRE INC		2	3FE	2,623,227.91	2,643,583.37	2,626,511.04	2,623,227.91	20,355.46		—		—	—		—	0.0180		MJSD	—	—	20170519	20240222
786134UZ7	SACRAMENTO SATN			1FE	2,485,000.00	2,516,161.90	2,485,000.00	2,485,000.00	31,161.90		—		—	—		2.2390	2.2390		JD	18,546.38	—	20141119	20191201
79574CBM4	SALT RIVER PROJ ARIZ AGRIC IMP			1FE	57,922.50	57,918.50	50,000.00	57,424.55	493.95		(372.85	)	—	—		5.0000	1.7310		JJ	625.00	208.34	20161201	20220101
79642B3N1	SAN ANTONIO TX			1FE	49,750.40	47,437.60	40,000.00	49,239.69	(1,802.09	)	(304.16	)	—	—		5.0000	1.5600		MN	833.33	—	20161101	20240515
797272PD7	SAN DIEGO CA CMNTY COLLEGE			1FE	64,034.50	62,150.50	50,000.00	63,496.04	(1,345.54	)	(326.16	)	—	—		5.0000	1.8390		FA	1,027.79	—	20161103	20260801
79765RL98	SAN FRANCISCO CALIF CITY & CNT			1FE	80,566.20	77,819.30	65,000.00	79,619.89	(1,800.59	)	(525.46	)	—	—		5.0000	1.4100		MN	1,453.48	—	20161020	20231101

80000RAG7	SANDERS RE LTD	D			1,750,000.00	1,753,325.00	1,750,000.00	1,750,000.00	3,325.00		—		—	—		4.1050	4.1050	MJSD	199.54	—	20170330	20211206
801060AB0	SANOFI	D		1FE	8,831,060.70	8,859,533.40	8,870,000.00	8,861,806.81	(2,273.41	)	1,957.64		—	—		1.2500	1.3410	AO	52,665.63	—	20130410	20180410
80283LAN3	SANTANDER UK PLC	D		1FE	1,247,933.52	1,252,637.49	1,250,000.00	1,248,389.84	4,247.65		129.63		—	—		2.3750	2.3110	MS	1,236.98	14,843.75	20160601	20200316
G0054BMY6	SANTANDER UK PLC			1FE	1,038,015.04	812,187.96	640,000.00	988,106.09	1,973.36		(6,563.54	)	—	(177,891.49	)	4.1250	0.4575	September	17,998.25	—	20150508	20170914
G0054BFG3	SANTANDER UK PLC			1FE	654,454.82	582,933.14	400,000.00	638,774.45	7,623.99		(4,875.05	)	—	(63,465.29	)	5.1250	4.0411	April	24,721.22	—	20151023	20210414
80413TAA7	SAUDI ARABIA	D		1FE	2,128,650.50	2,112,241.70	2,150,000.00	2,130,387.47	(18,145.77	)	995.71		—	—		2.3750	2.5880	AO	21,985.24	—	20161026	20211026
BRSM3U3W9	SBA COMMUNICATIONS CORPORATION		4	4FE	2,904,343.57	2,919,334.56	2,911,534.55	2,907,434.75	11,899.81		276.29		—	—		—	0.0350	JAJO	—	22,782.14	20140331	20210324
83164JU46	SBA PRIME FLTR		4	1FE	1,097,638.71	1,144,539.01	1,084,366.08	1,095,267.51	49,271.50		(426.52	)	—	—		2.8500	2.4190	MON	2,575.37	7,571.79	20140930	20310425
78403DAG5	SBA TOWER TRUST			1FE	4,000,000.00	4,012,428.80	4,000,000.00	4,000,000.00	12,428.80		—		—	—		2.8980	2.9150	MON	5,152.00	28,980.00	20141015	20441015
82735LAA1	SBY_14-1		4		1,099,492.56	1,100,181.38	1,099,492.56	1,099,492.56	688.82		—		—	—		1.9130	1.9190	MON	876.39	4,844.22	20140812	20310917
806854AH8	SCHLUMBERGER GER INV	D	2	1FE	2,092,180.00	2,083,679.96	2,000,000.00	2,090,912.13	(7,232.17	)	(1,267.87	)	—	—		3.6500	2.8700	JD	24,333.33	—	20170224	20231201
BRSXWU816	SCHLUMBERGER HOLDINGS CORP				3,999,520.00	4,026,600.00	4,000,000.00	3,999,720.40	26,879.60		39.32		—	—		2.3500	2.3540	JD	26,111.11	—	20151221	20181221
80685PAD0	SCHLUMBERGER NORGE AS	D		1FE	1,368,739.60	1,370,009.59	1,370,000.00	1,369,912.67	96.92		63.93		—	—		1.2500	1.2690	FA	2,854.17	8,562.50	20120731	20170801
80705TAA4	SCHOL_11-A		4	1FE	1,073,340.33	1,085,829.31	1,094,950.25	1,079,838.37	5,990.94		886.20		—	—		1.9390	2.1750	JAJO	3,597.49	5,338.07	20110329	20431028
80705XAA5	SCHOLAR FUNDING TRUST SCHOL_13		4		584,539.42	572,783.40	587,326.85	585,296.30	(12,512.90	)	145.85		—	—		1.6330	1.7110	MON	106.55	2,147.28	20130320	20450130
BRT8HD4H4	SCIENTIFIC GAMES INTERNATIONAL		2	4FE	1,538,215.02	1,577,996.54	1,559,477.74	1,538,617.92	39,378.62		402.90		—	—		—	0.2950	MJSD	—	1,499.99	20170228	20211001
811065AB7	SCRIPPS NETWORKS INTERACTIVE I		2	2FE	685,610.00	687,888.03	680,000.00	683,027.23	4,860.80		(285.36	)	—	—		2.7500	2.5680	MN	7,064.44	—	20141209	20191115
85815XAT0	SCTR_14-1A	D	4		500,000.00	498,687.85	500,000.00	500,000.00	(1,312.15	)	—		—	—		3.5870	3.6030	FMAN	1,943.14	—	20170221	20260821
80285CAD3	SDART_16-2		4	1FE	461,748.75	461,681.14	461,781.26	461,762.15	(81.01	)	13.00		—	—		1.3800	1.3890	MON	283.23	2,128.76	20160511	20190715
BRSM9G9V0	SEADRILL OPERATING LP	D	4	5FE	808,783.89	555,269.11	821,100.35	813,750.87	(258,481.76	)	502.99		—	—		—	0.2280	MJSD	—	8,323.69	20140806	20210221
BRSJ9AUR5	SEAWORLD PARKS & ENTERTAINMENT		4	3FE	2,968,835.76	2,963,371.76	2,985,295.77	2,977,358.03	(13,986.27	)	629.99		—	—		—	0.0840	MJSD	—	24,523.57	20130514	20200514
81618TAA8	SELECT INCOME REIT		2	2FE	2,939,857.97	2,966,726.80	2,950,000.00	2,946,754.64	19,972.16		945.33		—	—		2.8500	2.9830	FA	14,012.50	42,037.50	20150601	20180201
BRT5TABN2	SERTA SIMMONS HOLDING(AOT BEDD		2	4FE	2,072,916.67	2,091,145.84	2,083,333.34	2,073,393.51	17,752.33		369.97		—	—		—	0.0710	MJSD	—	16,666.67	20161206	20231108
BRT6A4ER2	SERVICEMASTER CO LLC		2	3FE	2,077,695.39	2,091,387.63	2,082,277.66	2,077,941.39	13,446.24		172.88		—	—		—	0.0310	MJSD	—	17,284.16	20161115	20231108
81881UAE7	SHACK_13-4A	D	2	1FE	1,214,375.00	1,250,894.25	1,250,000.00	1,224,518.45	26,375.80		1,124.33		—	—		4.0220	4.5030	JAJO	10,892.32	12,386.46	20150109	20250113
81881VAJ4	SHACK_14-5A	D	4	1FE	475,000.00	496,395.55	500,000.00	481,838.68	14,556.87		747.80		—	—		3.7340	4.5360	FMAN	2,748.64	4,575.65	20150126	20260507
81881LAD9	SHACK_14-6	D	4	1FE	472,500.00	501,279.75	500,000.00	475,783.45	25,496.30		923.11		—	—		4.1230	5.1520	JAJO	4,237.70	5,085.56	20160513	20260717
822582BM3	SHELL INTERNATIONAL FINANCE BV	D		1FE	9,967,100.00	9,984,400.20	10,000,000.00	9,982,160.25	2,239.95		2,714.45		—	—		1.6250	1.7380	MN	63,645.83	—	20151110	20181110
822582AJ1	SHELL INTERNATIONAL FINANCE BV	D		1FE	1,059,580.00	1,057,669.98	1,000,000.00	1,058,008.24	(338.26	)	(1,571.76	)	—	—		4.3000	1.8880	MS	1,075.00	21,500.00	20170307	20190922
822582BK7	SHELL INTERNATIONAL FINANCE BV	D		1FE	886,499.28	887,724.72	888,000.00	887,539.96	184.76		187.17		—	—		1.2500	1.3360	MN	4,347.50	—	20151110	20171110
BRSR1R5H8	SHELL: ATLAS_14-1		4		3,458,400.00	3,449,754.00	3,458,400.00	3,458,400.00	(8,646.00	)	—		—	—		4.8750	4.9220	MON	7,493.20	42,656.25	20150227	20201215
26250DAU7	SHELL: DRSLF_12-24RA	D	4		1,500,000.00	1,496,855.40	1,500,000.00	1,500,000.00	(3,144.60	)	—		—	—		3.7390	3.7560	FMAN	7,010.63	13,807.90	20150515	20231115
BRSXDXJR2	SHOES FOR CREWS LLC			4FE	6,688,590.16	6,671,868.68	6,688,590.16	6,688,590.16	(16,721.48	)	—		—	—		—	—	MJSD	—	43,512.38	20151207	20221027
BRSNC4883	SI ORGANIZATION INC		2	4FE	730,100.54	745,737.25	735,395.38	731,218.41	14,518.84		399.24		—	—		—	0.2120	MJSD	—	10,717.08	20160715	20191123

82620KAP8	SIEMENS FINANCIERINGSMAATSCHAP	D			7,198,560.00	7,227,504.16	7,200,000.00	7,198,580.30	28,923.86		20.30		—	—	2.2000	2.2070		MS	6,600.00	1,588.89	20170316	20200316
82620KAC7	SIEMENS FINANCIERINGSMAATSCHAP	D		1FE	1,498,020.00	1,497,825.05	1,500,000.00	1,498,726.12	(901.07	)	96.82		—	—	2.1500	2.1780		MN	11,108.33	—	20150527	20200527
826239EQ4	SIERRA CALIF JT CMNTY COLLEGE		2	1FE	1,366,855.50	1,345,235.50	1,150,000.00	1,310,464.59	34,770.91		(5,750.53	)	—	—	5.0000	4.0500		FA	9,583.33	28,750.00	20140930	20270801
BRSMW4J57	SIGNODE INDUSTRIAL GROUP US IN			4FE	124,919.19	126,328.12	125,543.47	124,953.85	1,374.27		62.82		—	—	—	(0.1700	)	MJSD	—	1,526.98	20170103	20210501
BRSHAG9G2	SILVER II BORROWER SCA	C	4	4FE	3,193,307.55	3,001,709.10	3,193,307.55	3,193,307.55	(191,598.45	)	—		—	—	—	—		FMAN	—	32,287.89	20130207	20191213
828428AC6	SILVERMORE CLO LTD SMORE_14-1A		4	1FE	959,000.00	1,002,029.40	1,000,000.00	968,480.86	33,548.54		1,541.19		—	—	3.0890	3.8400		FMAN	3,861.24	7,553.38	20151008	20260515
828807CM7	SIMON PROPERTY GROUP LP		2	1FE	5,866,344.00	5,860,000.00	5,860,000.00	5,861,541.88	(1,541.88	)	(1,045.48	)	—	—	1.5000	1.4550		FA	14,650.00	43,950.00	20150522	20180201
828807CJ4	SIMON PROPERTY GROUP LP		2	1FE	102,377.00	100,156.00	100,000.00	100,226.92	(70.92	)	(471.37	)	—	—	2.1500	1.0350		MS	95.56	1,075.00	20150417	20170915
828807CQ8	SIMON PROPERTY GROUP LP		2	1FE	7,358,478.90	7,409,235.11	7,369,000.00	7,365,086.80	44,148.31		692.67		—	—	2.2000	2.2400		FA	27,019.65	93,018.45	20140121	20190201
828807CR6	SIMON PROPERTY GROUP LP		2	1FE	840,720.00	828,408.09	800,000.00	831,996.88	(3,588.79	)	(1,080.92	)	—	—	3.7500	3.0750		FA	5,000.00	15,000.00	20150309	20240201
828807CD7	SIMON PROPERTY GROUP LP		2	1FE	1,964,190.21	1,855,172.69	1,706,000.00	1,858,661.51	(3,488.82	)	(19,453.78	)	—	—	5.6500	2.0800		FA	16,064.83	48,194.50	20150511	20200201
828807CU9	SIMON PROPERTY GROUP LP		2	1FE	599,658.00	610,313.97	600,000.00	599,766.22	10,547.75		16.14		—	—	2.5000	2.5120		MS	1,250.00	7,500.00	20150817	20200901
BRT7L1Y35	SINCLAIR TELEVISION GROUP INC		2	3FE	960,093.76	958,699.17	956,506.85	959,462.95	(763.78	)	(639.79	)	—	—	—	(0.4010	)	MJSD	—	4,689.31	20170201	20240103
BRSUDWG69	SIX FLAGS THEME PARKS INC			3FE	1,010,988.88	1,022,074.78	1,013,522.68	1,011,597.13	10,477.65		90.35		—	—	—	0.0360		MJSD	—	8,257.95	20150804	20220630
G817ATAC9	SKYLINE RE LTD				30,000,000.00	30,433,184.72	30,000,000.00	30,000,000.00	433,184.72		—		—	—	12.5381	2.7699		M-J-S-D	10,448.41	543,317.23	20170207	20200106
784423AF2	SLCLT_04-1		4		983,750.00	998,625.50	1,000,000.00	995,618.70	3,006.80		767.38		—	—	1.1990	1.5210		FMAN	1,498.75	2,714.15	20130523	20230515
78446XAB1	SLM STUDENT LOAN TRUST		4	1FE	484,260.80	489,257.72	484,310.54	484,280.75	4,976.97		6.90		—	—	3.4800	3.5070		MON	749.07	4,761.98	20120412	20301015
78442GSC1	SLM STUDENT LOAN TRUST SLMA_06		4	1FE	25,804.03	25,819.46	25,844.79	25,841.49	(22.03	)	3.97		—	—	1.1180	1.1860		JAJO	52.97	85.58	20121130	20190725
78446JAA4	SLM STUDENT LOAN TRUST SLMA_11		4	1FE	1,012,101.38	1,017,238.73	1,014,067.14	1,013,193.71	4,045.02		123.68		—	—	1.5820	1.6250		MON	222.77	3,651.55	20110526	20271125
78446TAC8	SLM STUDENT LOAN TRUST SLMA_11		4	1FE	358,851.58	345,222.24	332,065.80	346,010.90	(788.66	)	(2,078.52	)	—	—	4.5400	2.5230		MON	670.03	3,981.64	20140805	20441017
78447FAB9	SLM STUDENT LOAN TRUST SLMA_12		4	1FE	973,541.15	959,958.95	959,287.45	962,517.81	(2,558.86	)	(767.82	)	—	—	2.0900	1.8130		MON	891.07	5,400.12	20130322	20450615
78447VAA6	SLM STUDENT LOAN TRUST SLMA_13		4	1FE	337,918.63	338,084.22	337,918.63	337,918.63	165.59		—		—	—	1.5620	1.5670		MON	249.29	1,613.83	20130502	20220715
784442AC9	SLMA		4	1FE	1,051,490.12	1,047,844.59	1,062,236.97	1,057,279.87	(9,435.28	)	413.09		—	—	1.7880	1.9430		JAJO	3,481.80	4,629.16	20120330	20230425
78446JAB2	SLMA_11-2		4	1FE	775,000.00	786,528.21	775,000.00	775,000.00	11,528.21		—		—	—	2.1820	2.1920		MON	234.83	3,814.01	20110526	20341025
78447KAB8	SLMA_12-7		4	1FE	450,363.19	450,181.79	450,659.50	450,623.79	(442.00	)	23.87		—	—	1.2620	1.2830		MON	78.97	1,423.97	20121108	20190925
78448AAA1	SLMA_13-4		4		429,051.09	420,970.41	429,051.09	429,051.09	(8,080.68	)	—		—	—	1.5320	1.5370		MON	91.27	1,460.00	20130815	20430625
78448CAF6	SLMA_13-6		4	1FE	142,372.94	142,525.28	142,372.94	142,372.94	152.34		—		—	—	1.4820	1.4860		MON	29.30	619.00	20131114	20210225
78447RAC1	SLMA_13-A		4	1FE	2,425,000.00	2,442,314.43	2,425,000.00	2,425,000.00	17,314.43		—		—	—	1.9620	1.9700		MON	2,247.01	10,881.37	20130307	20270517
78447RAA5	SLMA_13-A		4		48,872.68	48,950.48	48,933.84	48,927.00	23.48		17.15		—	—	1.5120	1.5840		MON	34.94	277.05	20131126	20220815
78447RAB3	SLMA_13-A		4	1FE	459,870.23	458,808.59	460,000.00	459,957.72	(1,149.13	)	6.36		—	—	1.7700	1.7810		MON	361.87	2,035.50	20130307	20270517
78447VAB4	SLMA_13-B		4		804,859.37	801,490.22	805,000.00	804,936.09	(3,445.87	)	5.88		—	—	1.8500	1.8600		MON	661.89	3,723.15	20130502	20300617
78447VAC2	SLMA_13-B		4		615,000.00	621,125.41	615,000.00	615,000.00	6,125.41		—		—	—	2.0120	2.0210		MON	584.38	2,836.47	20130502	20300615
83191GAD1	SMART TRUST SMAT_16-2US	D	4		1,524,683.41	1,503,004.93	1,525,000.00	1,524,712.20	(21,707.27	)	15.33		—	—	1.7100	1.7240		MON	1,231.44	6,519.39	20161014	20210315
78448MAD9	SMAT_15-1US	D	4	1FE	1,201,921.20	1,196,639.34	1,201,979.37	1,201,931.57	(5,292.23	)	19.50		—	—	1.5000	1.5060		MON	851.40	5,517.48	20150320	20180914

78449GAB5	SMB PRIVATE EDUCATION LOAN TRU		4		394,985.98	389,797.85	395,000.00	394,987.07	(5,189.22	)	0.10		—	—		2.4300	2.4420		MON	426.60	2,399.64	20160721	20320217
78449FAB7	SMB_16-A		4	1FE	679,710.80	679,454.84	680,000.00	679,744.30	(289.46	)	9.78		—	—		2.7000	2.7220		MON	816.00	4,590.00	20160526	20310515
BRSRP6KZ1	SMI_15-1X-2A2	D	4		2,308,050.00	2,306,175.50	2,300,000.00	2,307,640.88	(1,465.38	)	(409.12	)	—	—		1.5910	1.4520		JAJO	6,912.97	—	20170213	20700121
832248AX6	SMITHFIELD FOODS INC			3FE	2,998,710.00	3,003,750.00	3,000,000.00	2,998,778.12	4,971.88		86.59		—	—		2.7000	2.7150		JJ	13,500.00	12,450.00	20170201	20200131
BRSWD1953	SMYTH COMPANIES LLC				2,969,676.52	2,962,252.33	2,969,676.52	2,969,676.52	(7,424.19	)	—		—	—		—	—		MJSD	—	41,696.88	20151013	20200925
BRSWD19K0	SMYTH COMPANIES LLC				643,862.59	642,252.95	643,862.59	643,862.59	(1,609.64	)	—		—	—		—	—		JAJO	—	7,210.17	20160816	20200925
BRSL51FK6	SNADY CREEK ENERGY ASSOC LP		4	3FE	2,107,606.93	1,581,588.48	2,118,197.91	2,112,660.82	(531,072.34	)	444.76		—	—		—	0.0720		FMAN	—	53,386.74	20131212	20201109
83609NAE0	SNDPT_16-3A	D	4		1,484,776.50	1,511,093.70	1,500,000.00	1,485,420.05	25,673.65		463.79		—	—		3.5310	3.6910		JAJO	19,863.11	—	20161117	20290123
83609NAA8	SNDPT_16-3A	D	4		1,500,000.00	1,508,491.20	1,500,000.00	1,500,000.00	8,491.20		—		—	—		2.4110	2.4180		JAJO	13,563.11	—	20161117	20290123
83367TBF5	SOCIETE GENERALE SA	D	2	3FE	2,526,575.00	2,518,750.00	2,500,000.00	2,523,353.45	(4,603.45	)	(658.78	)	—	—		7.8750	7.6940		JD	56,328.13	—	20151116	20491231
83404LAC5	SOFI_16-D		4		99,987.56	98,187.00	100,000.00	99,988.75	(1,801.75	)	0.33		—	—		2.3400	2.3530		MON	39.00	585.00	20160919	20330425
BRT8E4J40	SOFI_17-AX		4		942,557.18	943,118.98	945,000.00	942,584.32	534.66		27.14		—	—		1.5500	1.5780		MON	2,115.75	—	20170209	20400326
83546DAD0	SONIC CAPITAL LLC SONIC_16-1A		4	1FE	763,217.07	734,782.87	745,625.00	745,625.00	(10,842.13	)	—		—	—		4.4720	0.0320		MON	1,018.86	8,336.10	20160725	20460520
842400GF4	SOUTHERN CALIFORNIA EDISON CO.		4	1FE	3,267,857.16	3,215,440.86	3,267,857.16	3,267,857.16	(52,416.30	)	—		—	—		1.8450	1.8440		FA	10,048.66	33,160.58	20150116	20220201
842587CU9	SOUTHERN COMPANY (THE)		2	2FE	359,694.00	351,161.99	360,000.00	359,735.93	(8,573.94	)	9.57		—	—		2.9500	2.9630		JJ	2,655.00	6,401.50	20160524	20230701
842587CQ8	SOUTHERN COMPANY (THE)			2FE	1,249,762.50	1,243,050.00	1,250,000.00	1,249,835.94	(6,785.94	)	18.60		—	—		1.8500	1.8560		JJ	5,781.26	26,317.28	20160524	20190701
842808AF4	SOUTHERN ELEC			1FE	3,333,899.45	3,321,439.89	3,335,000.00	3,334,624.97	(13,185.08	)	54.51		—	—		2.2000	2.2070		JD	24,456.67	—	20131122	20181201
843646AN0	SOUTHERN POWER COMPANY			2FE	2,398,608.00	2,401,367.76	2,400,000.00	2,399,541.59	1,826.17		168.60		—	—		1.8500	1.8790		JD	14,800.00	—	20151117	20171201
843646AS9	SOUTHERN POWER COMPANY				2,379,405.00	2,363,768.42	2,380,000.00	2,379,479.38	(15,710.96	)	62.56		—	—		1.9500	1.9580		JD	17,403.76	—	20161116	20191215
84650WAE6	SPAREBNK 1 BOLIG	D		1FE	5,854,157.00	5,856,693.94	5,900,000.00	5,882,124.39	(25,430.45	)	1,650.59		—	—		1.7500	1.8690		MN	39,005.56	—	20121116	20191115
84650WAD8	SPAREBNK 1 BOLIG	D		1FE	2,294,388.00	2,305,775.30	2,300,000.00	2,299,718.46	6,056.84		281.53		—	—		2.3000	2.3500		JD	13,371.94	—	20120403	20170630
84861CAA3	SPMF 2014-4A		4	1FE	3,992,636.00	3,951,948.80	4,000,000.00	3,992,600.53	(40,651.73	)	(1.80	)	—	—		3.5010	3.5270		MON	11,671.33	35,013.99	20141126	20450120
BRT84AJN5	SPRINT COMMUNICATIONS INC		2	3FE	3,390,467.92	3,387,655.42	3,387,655.42	3,390,257.69	(2,602.27	)	(210.23	)	—	—		—	(0.2230	)	MJSD	—	12,756.14	20170209	20240202
78467MAA1	SRER_11-RS	D	4	2FE	346,288.95	357,559.38	361,932.47	361,932.47	(4,373.09	)	72.10		—	—		1.0970	5.0920		MON	264.61	1,435.53	20141007	20460509
85571XAL1	SRTP _14-STAR		4	1FE	2,000,000.00	1,943,920.00	2,000,000.00	2,000,000.00	(56,080.00	)	—		—	—		2.5630	2.5770		MON	2,420.61	11,982.88	20141114	20271115
BRT8SBWQ5	SS&C EUROPEAN HOLDINGS SARL	D	2	3FE	45,334.51	45,746.28	45,510.58	45,337.21	409.07		24.85		—	—		—	(0.9580	)	MJSD	—	125.08	20170302	20220708
BL1658048	SS&C TECHNOLOGIES INC				529,722.58	534,716.35	532,384.51	530,356.56	4,359.79		100.70		—	—		—	5.2740		M-J-S-D	—	—	20150807	20220708
BRT8VTVR1	SSE PLC	B	2		429,281.64	440,257.16	350,000.00	429,275.84	3,240.17		(5.80	)	—	7,741.15		3.6250	3.5990		SEP	695.45	—	20170316	20770916
G7885VDR7	SSE PLC			1FE	1,742,153.11	1,658,719.27	1,250,000.00	1,709,903.06	(3,291.02	)	(16,636.79	)	—	(47,892.76	)	5.0000	1.5041		October	38,969.50	—	20160902	20181001
BRSRUTM42	SSE PLC	B	2		426,101.05	381,694.24	300,000.00	426,101.05	8,991.98		—		—	(53,398.80	)	3.8750	3.9000		SEP	8,084.68	9,184.47	20150310
853254BD1	STANDARD CHARTERED PLC	D		1FE	1,415,000.00	1,424,904.96	1,415,000.00	1,415,000.00	9,904.96		—		—	—		2.1820	1.9410		FMAN	3,345.33	7,381.28	20160819	20190819
855244AF6	STARBUCKS CORP		2	1FE	498,600.00	504,515.00	500,000.00	499,426.00	5,089.00		83.01		—	—		2.0000	2.0440		JD	3,222.22	—	20140930	20181205
857477AG8	STATE STREET CORP			1FE	1,888,683.00	1,818,863.95	1,700,000.00	1,833,676.15	(14,812.20	)	(8,013.53	)	—	—		4.3750	2.2730		MS	4,958.34	37,187.50	20150710	20210307
857477AK9	STATE STREET CORP			1FE	3,157,439.50	3,168,618.25	3,175,000.00	3,170,420.97	(1,802.72	)	1,002.54		—	—		1.3500	1.4800		MN	16,192.50	—	20130515	20180515

857477AQ6	STATE STREET CORP		2	2FE	2,125,000.00	2,220,625.00	2,125,000.00	2,125,000.00	95,625.00		—		—	—	5.2500	5.2500	MS	4,958.33	55,781.25	20150521
857477AN3	STATE STREET CORP			1FE	1,032,809.00	1,014,410.03	1,000,000.00	1,026,802.57	(12,392.54	)	(768.59	)	—	—	3.3000	2.9090	JD	9,625.00	—	20151214	20241216
BRT1X83J9	STATION CASINOS LLC		2	3FE	611,748.89	616,513.78	614,823.02	612,090.37	4,423.41		131.13		—	—	—	0.0710	MJSD	—	8,788.41	20160622	20230608
85771PAJ1	STATOILHYDRO ASA	D		1FE	7,209,007.50	7,215,562.50	7,250,000.00	7,239,050.54	(23,488.04	)	2,420.10		—	—	1.1500	1.2860	MN	31,497.21	4,887.50	20130515	20180515
85771PAR3	STATOILHYDRO ASA	D		1FE	798,864.00	802,344.06	800,000.00	799,623.81	2,720.25		57.30		—	—	1.9500	1.9800	MN	6,196.67	—	20131108	20181108
BRSMDLA59	STENA INTERNATIONAL SARL	D			1,551,557.74	1,450,667.31	1,567,230.04	1,558,371.48	(107,704.17	)	602.96		—	—	—	0.1430	MJSD	—	16,495.46	20140321	20210303
BRST248L2	STERIGENICS-NORDION HOLDINGS L		4	4FE	639,195.63	640,216.06	640,216.06	639,454.07	761.99		38.66		—	—	—	0.0230	MJSD	—	4,202.75	20150701	20220516
86212TAA7	STORE MASTER FUNDING LLC STR_1		4	1FE	2,166,024.14	2,064,770.42	2,049,764.10	2,159,618.99	(94,848.57	)	(1,299.24	)	—	—	5.7700	5.2960	MON	3,613.85	29,656.92	20150311	20420820
86213BAB3	STR_14-1A		4	1FE	1,083,646.51	1,007,115.50	985,833.33	1,077,944.70	(70,829.20	)	(783.69	)	—	—	5.0000	4.1910	MON	1,506.13	12,333.34	20150128	20440420
86213CAA3	STR_15-1A		4	1FE	1,485,306.75	1,463,272.30	1,485,625.01	1,485,323.83	(22,051.53	)	1.83		—	—	3.7500	3.7810	MON	1,702.28	13,939.45	20150416	20450420
8628113T1	STRATFORD REC CO LLC			1FE	782,955.00	765,157.50	750,000.00	761,963.61	3,193.89		(2,114.02	)	—	—	2.9890	2.9890	FA	2,864.46	11,208.75	20140930	20180815
863667AK7	STRYKER CORP			1FE	1,115,877.35	1,117,687.12	1,115,000.00	1,115,572.10	2,115.02		(71.60	)	—	—	2.0000	1.9730	MS	1,424.72	11,150.00	20160310	20190308
BRSM7GLZ9	STS OPERATING		4	4FE	1,566,333.57	1,586,230.64	1,614,484.11	1,568,129.08	18,101.56		228.11		—	—	—	0.7360	MJSD	—	9,660.94	20140305	20210212
86787EAS6	SUNTRUST BANK		2	1FE	5,000,000.00	5,015,050.16	5,000,000.00	5,000,000.00	15,050.16		—		—	—	1.5490	1.5490	JAJO	12,695.88	—	20170201	20200131
00254EML3	SVENSK EXPORTKREDIT AB	D		1FE	4,987,250.00	4,928,049.85	5,000,000.00	4,989,444.74	(61,394.89	)	785.06		—	—	1.1250	1.2140	FA	5,156.25	27,812.50	20160831	20190828
86960BAJ1	SVENSKA HANDELSBANKEN AB	D		1FE	1,021,690.00	999,940.03	1,000,000.00	1,017,501.44	(17,561.41	)	(1,190.71	)	—	—	2.4000	1.8810	AO	12,000.00	11,866.67	20160516	20201001
W9T17AAL7	SVENSKA HANDELSBANKEN AB			1FE	1,465,325.51	1,453,642.09	1,100,000.00	1,451,578.80	(462.50	)	(10,679.07	)	—	2,525.81	4.0000	1.8027	January	11,003.96	54,924.40	20161202	20190118
86960BAN2	SVENSKA HANDELSBANKEN AB	D			4,987,150.00	4,936,899.95	5,000,000.00	4,989,538.45	(52,638.50	)	1,042.12		—	—	1.5000	1.5880	MS	5,208.33	37,291.67	20160907	20190906
W94232CA6	SWEDBANK AB			1FE	4,991,550.00	5,033,570.00	5,000,000.00	4,996,654.80	36,915.20		419.95		—	—	2.3750	1.9123	Feb-Aug	11,215.28	59,375.00	20140227	20190227
87020DAR5	SWEDEN KINGDOM	D			1,994,860.00	1,995,024.00	2,000,000.00	1,998,594.35	(3,570.35	)	426.82		—	—	0.8750	0.9620	JJ	3,305.56	8,750.00	20150123	20180123
87154GAC9	SYMP_16-18A	D	4		2,500,000.00	2,493,388.25	2,500,000.00	2,500,000.00	(6,611.75	)	—		—	—	2.7460	2.7540	JAJO	20,979.37	—	20161212	20280123
87165LBB6	SYNCC_16-2		4	1FE	8,184,680.80	8,132,493.08	8,185,000.00	8,184,577.07	(52,083.99	)	(33.28	)	—	—	2.2100	2.2190	MON	8,039.49	45,222.15	20160526	20240515
87165LBJ9	SYNCHRONY CREDIT CARD MASTER N		4	1FE	3,979,559.42	3,947,688.92	3,980,000.00	3,979,608.10	(31,919.18	)	21.65		—	—	1.5800	1.5880	MON	2,794.85	15,720.99	20160922	20220915
87165LAA9	SYNCT_14-1		4	1FE	904,748.95	906,266.99	905,000.00	904,946.38	1,320.61		21.32		—	—	1.6100	1.6250	MON	647.58	3,642.63	20141120	20201115
BRSEM91J4	SYNIVERSE HLDGS		4	4FE	1,778,981.13	1,653,194.59	1,796,950.64	1,791,626.37	(138,431.78	)	643.39		—	—	—	0.1420	JAJO	—	18,403.86	20120502	20190423
871829BB2	SYSCO CORP			2FE	3,473,088.75	3,477,293.85	3,475,000.00	3,473,713.71	3,580.14		155.26		—	—	1.9000	1.9190	AO	33,012.50	—	20160401	20190401
89236VAD2	TAOT_13-B		4	1FE	237,588.09	235,985.09	235,892.62	236,131.71	(146.62	)	(148.32	)	—	—	1.4600	1.1040	MON	153.06	1,276.83	20150319	20190115
89231RAD6	TAOT_14-B		4	1FE	9,998,335.00	9,998,859.00	10,000,000.00	9,999,587.44	(728.44	)	87.52		—	—	1.3100	1.3180	MON	5,822.22	32,750.01	20140618	20190916
89190AAD2	TAOT_14-C		4	1FE	999,701.10	999,749.15	1,000,000.00	999,910.32	(161.17	)	21.64		—	—	1.4400	1.4530	MON	640.00	3,600.00	20141015	20200415
89238MAE8	TAOT_17-A		4		5,498,833.45	5,508,353.73	5,500,000.00	5,498,844.45	9,509.28		11.00		—	—	2.1000	2.1150	MON	5,133.33	816.67	20170315	20220915
00388WAD3	TAQA ABU DHABI NATIONAL	D		1FE	473,385.00	485,183.53	475,000.00	473,616.61	11,566.92		74.79		—	—	3.6250	3.7000	JD	4,735.16	—	20160622	20210622
87612EBB1	TARGET CORPORATION			1FE	5,864,292.45	5,806,344.04	5,735,000.00	5,813,257.58	(6,913.54	)	(8,494.79	)	—	—	2.3000	1.6750	JD	34,808.26	—	20150812	20190626
87612EBE5	TARGET CORPORATION			1FE	599,946.00	560,525.99	600,000.00	599,951.64	(39,425.65	)	1.17		—	—	2.5000	2.5010	AO	6,916.67	—	20160411	20260415
87612EAV8	TARGET CORPORATION			1FE	493,092.00	475,024.49	450,000.00	476,996.88	(1,972.39	)	(3,524.30	)	—	—	3.8750	1.9820	JJ	3,681.25	23,189.19	20150306	20200715

87231LAA9	TCENT_16-1A	D	2		2,000,000.00	2,015,299.80	2,000,000.00	2,000,000.00	15,299.80		—		—	—	2.4540	2.4610	JAJO	13,770.62	—	20161221	20291221
87233GAG5	TCP WATERMAN CLO LLC TCP_16-1A	D	4	1FE	500,000.00	502,424.35	500,000.00	500,000.00	2,424.35		—		—	—	4.1310	4.1510	MJSD	975.43	4,954.30	20161215	20281215
BRT7XL7J3	TEAM HLTH HLDGS		2	4FE	1,231,481.48	1,227,469.14	1,234,567.90	1,231,538.32	(4,069.18	)	56.84		—	—	—	0.0350	MJSD	—	2,957.82	20170213	20240206
BRSN4E4J0	TECHNIMARK LLC				6,665,625.00	6,598,968.75	6,665,625.00	6,665,625.00	(66,656.25	)	—		—	—	—	—	MJSD	—	75,240.71	20151223	20210425
BRT6A7C63	TELENET FINANCING USD LLC		2	4FE	2,706,017.40	2,727,606.55	2,719,532.26	2,706,564.30	21,042.25		406.80		—	—	—	0.0240	MJSD	—	25,460.69	20161201	20250131
BRT8B6AF2	TELESAT CANADA	A	2	3Z	1,611,592.90	1,638,783.15	1,627,391.41	1,611,966.99	26,816.16		413.69		—	—	—	—	FMAN	—	12,158.97	20170201	20231117
87970UAE6	TELOS_14-6A	D	4	1FE	2,405,585.00	2,501,299.00	2,500,000.00	2,434,861.39	66,437.61		3,095.62		—	—	3.1230	3.7380	JAJO	16,049.62	19,038.89	20141203	20270117
BRT88USE7	TEREX CORP		2	3FE	746,791.44	750,846.95	748,663.10	746,828.15	4,018.80		36.71		—	—	—	0.0350	MJSD	—	—	20170210	20240131
BRT8ABDH5	TEREX CORP			3FE	207,442.07	207,874.63	207,961.97	207,456.37	418.26		14.30		—	—	—	0.0500	MJSD	—	—	20170210	20220131
BRSAC1300	TERRA BRASIS				4,877,500.00	4,909,294.96	4,877,500.00	4,877,500.00	31,794.96		—		—	—	—	—	M-J-S-D	—	—	20170101	20171231
BRSQPSFE8	TERRA-GEN FINANCE CO LLC		4	3FE	665,646.66	615,472.30	668,991.63	666,722.31	(51,250.01	)	125.10		—	—	—	0.0710	MJSD	—	8,882.56	20150108	20211209
88167AAD3	TEVA PHARMACEUTICAL FINANCE NE	D		2FE	622,912.50	593,881.28	625,000.00	623,101.53	(29,220.25	)	68.02		—	—	2.8000	2.8530	JJ	3,402.78	8,750.00	20160721	20230721
88167AAC5	TEVA PHARMACEUTICAL FINANCE NE	D		2FE	2,161,427.75	2,086,475.47	2,165,000.00	2,161,900.20	(75,424.73	)	169.74		—	—	2.2000	2.2350	JJ	9,261.39	23,815.00	20160721	20210721
88167AAB7	TEVA PHARMACEUTICAL FINANCE NE	D		2FE	6,039,456.40	5,963,775.14	6,040,000.00	6,039,578.08	(75,802.94	)	55.68		—	—	1.7000	1.7030	JJ	20,536.00	79,952.90	20160721	20190719
8821172X1	TEXAS A & M UNIV PERM UNIV FD			1FE	2,005,720.00	1,991,520.00	2,000,000.00	2,003,630.89	(12,110.89	)	(270.16	)	—	—	1.7500	1.6920	JJ	8,750.01	17,500.00	20150423	20200701
88224LAC2	TEXAS CHILDRENS HEALTH PLAN (T				1,500,000.00	1,493,898.00	1,500,000.00	1,500,000.00	(6,102.00	)	—		—	—	1.3050	1.3050	AO	9,787.50	—	20141216	20171001
88224LAE8	TEXAS CHILDRENS HEALTH PLAN (T				2,000,000.00	1,985,354.00	2,000,000.00	2,000,000.00	(14,646.00	)	—		—	—	2.0750	2.0750	AO	20,750.00	—	20141216	20191001
882508AU8	TEXAS INSTRUMENTS INCORPORATED			1FE	295,140.00	299,238.01	300,000.00	297,141.01	2,097.00		293.94		—	—	1.6500	2.0690	FA	797.50	2,475.00	20150715	20190803
882508AV6	TEXAS INSTRUMENTS INCORPORATED			1FE	2,470,300.00	2,487,575.00	2,500,000.00	2,492,443.02	(4,868.02	)	1,718.37		—	—	1.0000	1.1930	MN	10,416.66	—	20130508	20180501
882806EL2	TEXAS TECH UNIV			1FE	2,160,000.00	2,171,275.20	2,160,000.00	2,160,000.00	11,275.20		—		—	—	1.8040	1.8040	FA	4,979.04	39,549.69	20150409	20190215
882806AT9	TEXAS TECH UNIV		2	1FE	2,263,420.00	2,144,220.00	2,000,000.00	2,115,534.33	28,685.67		(14,897.96	)	—	—	5.0000	4.6250	FA	12,777.78	50,000.00	20140930	20240215
88283LKK1	TEXAS TRANSN COMMN ST HWY FD			1FE	64,343.50	61,127.50	50,000.00	63,812.14	(2,684.64	)	(329.81	)	—	—	5.0000	1.8200	AO	1,076.39	—	20161107	20261001
88283LHW9	TEXAS TRANSN COMMN ST HWY FD			1FE	2,656,425.00	2,602,450.00	2,500,000.00	2,604,873.34	(2,423.34	)	(25,775.83	)	—	—	5.0000	0.7800	AO	62,500.00	—	20161003	20180401
88283LHU3	TEXAS TRANSN COMMN ST HWY FD		4	1FE	128,262.00	117,437.00	100,000.00	127,104.43	(9,667.43	)	(2,654.78	)	—	—	5.1780	2.6930	AO	2,589.00	14,584.70	20160729	20300401
BRT8V39S1	THE GEO GROUP INC		2	3FE	632,489.66	636,462.59	635,668.00	632,489.66	3,972.93		4.98		—	—	—	0.0730	MJSD	—	—	20170614	20240325
883556BN1	THERMO FISHER SCIENTIFIC INC		2	2FE	34,829.20	34,684.30	35,000.00	34,850.71	(166.41	)	5.53		—	—	3.0000	3.0780	AO	484.17	—	20160413	20230415
883556BE1	THERMO FISHER SCIENTIFIC INC			2FE	2,973,453.00	2,998,621.24	2,975,000.00	2,974,308.59	24,312.65		90.87		—	—	2.4000	2.4130	FA	11,900.00	35,700.00	20141219	20190201
883556AZ5	THERMO FISHER SCIENTIFIC INC		2	2FE	2,896,523.00	2,899,960.00	2,800,000.00	2,877,383.15	22,576.85		(5,160.62	)	—	—	3.6000	2.8810	FA	12,880.00	59,200.00	20160208	20210815
88428LAA0	THIRD POINT RE USA HOLDINGS IN			2FE	10,000,000.00	9,712,500.00	10,000,000.00	10,000,000.00	(287,500.00	)	—		—	—	7.0000	7.0000	FA	93,333.33	350,000.00	20150213	20250213
87247CAN3	TICP_14-2A	D	2		3,750,000.00	3,750,468.75	3,750,000.00	3,750,000.00	468.75		—		—	—	—	—	JAJO	—	—	20170420	20260720
87247CAA1	TICP_14-2A	D	4	1FE	3,720,000.00	3,750,000.00	3,750,000.00	3,732,645.57	17,354.43		1,468.60		—	—	2.4800	2.6520	JAJO	18,342.48	22,340.86	20141222	20260720
87247CAS2	TICP_14-2A	D	2		500,000.00	500,090.30	500,000.00	500,000.00	90.30		—		—	—	—	—	JAJO	—	—	20170420	20260720
87247UAE3	TICP_14-3	D	4	1FE	995,000.00	1,000,000.00	1,000,000.00	995,533.04	4,466.96		185.32		—	—	3.3800	3.4860	JAJO	6,666.33	8,257.56	20160715	20270120
87247UAU7	TICP_14-3AR		4		1,000,000.00	1,000,825.50	1,000,000.00	1,000,000.00	825.50		—		—	—	—	—	JAJO	—	—	20170410	20270120

BRSN1NQ83	TIME INC (USA)			3FE	2,157,943.90	2,185,190.71	2,179,741.36	2,166,820.39	18,370.32		815.32		—	—		—	0.1440		MJSD	—	23,477.28	20140610	20210426
88732JAL2	TIME WARNER CABLE INC			2FE	1,304,897.00	1,163,250.00	1,100,000.00	1,164,886.38	(1,636.38	)	(12,741.70	)	—	—		6.7500	1.9530		JJ	18,562.50	37,125.00	20140610	20180701
880591EQ1	TN VLY AUTHORITY			1	2,552,790.60	2,583,185.85	2,565,000.00	2,561,163.50	22,022.35		605.60		—	—		1.7500	1.8490		AO	20,698.12	11,044.44	20130927	20181015
BRSWDXM82	TOOLING ACQUISITION CO.				340,613.28	336,355.61	340,613.28	340,613.28	(4,257.67	)	—		—	—		—	—		MJSD	—	2,794.98	20151102	20210921
BRSWDXMT6	TOOLING ACQUISITION CO.				2,424,233.52	2,393,930.60	2,424,233.52	2,424,233.52	(30,302.92	)	—		—	—		—	—		MJSD	—	31,941.90	20151006	20210921
89114QAG3	TORONTO-DOMINION BANK/THE	A		1FE	2,938,030.20	2,935,972.20	2,940,000.00	2,939,562.92	(3,590.72	)	99.12		—	—		1.4000	1.4140		AO	17,264.33	—	20130430	20180430
89114QAV0	TORONTO-DOMINION BANK/THE	A		1FE	4,501,679.00	4,525,694.96	4,500,000.00	4,503,981.70	21,713.26		(191.10	)	—	—		2.2500	2.2140		MN	41,062.50	5,906.26	20141105	20191105
8911457V0	TORONTO-DOMINION BANK/THE	A		1FE	4,992,250.00	4,987,749.85	5,000,000.00	4,993,800.00	(6,050.15	)	369.80		—	—		2.2500	2.2830		MS	5,000.00	56,250.00	20160315	20210315
89114QB64	TORONTO-DOMINION BANK/THE	A		1FE	204,797.05	205,403.83	205,000.00	204,909.93	493.90		16.79		—	—		1.7500	1.7840		JJ	677.64	1,793.75	20150723	20180723
89114QBJ6	TORONTO-DOMINION BANK/THE	A		1FE	6,216,885.75	6,151,358.32	6,225,000.00	6,217,899.14	(66,540.82	)	721.69		—	—		1.4500	1.4990		FA	12,035.00	45,131.25	20160713	20190813
89153VAC3	TOTAL CAPITAL INTERNATIONAL SA	D		1FE	998,130.00	1,000,669.90	1,000,000.00	999,906.33	763.57		149.18		—	—		1.5500	1.5890		JD	4,004.17	2,559.65	20120628	20170628
F9208ZKR7	TOTAL CAPITAL S.A.				592,544.66	552,308.97	420,000.00	580,894.85	(1,102.30	)	(4,269.09	)	—	(27,483.58	)	3.8750	1.7068		December	6,021.69	—	20160728	20181214
F9208ZKB2	TOTAL CAPITAL S.A.			1FE	1,654,432.94	1,242,577.39	970,000.00	1,553,059.41	5,107.65		(11,040.20	)	—	(315,589.67	)	4.2500	0.6904		December	16,100.48	—	20141212	20171208
BRT8X34E5	TOWER AUTOMOTIVE HOLDINGS USA				1,651,741.86	1,649,621.16	1,656,869.97	1,651,783.83	(2,162.67	)	62.73		—	—		—	(0.0150	)	MJSD	—	8.98	20170317	20240307
BRT8JED49	TOWNSQUARE MEDIA INC			3FE	722,256.43	726,800.30	724,686.38	722,270.96	4,529.34		14.53		—	—		—	0.0080		MJSD	—	4,106.56	20170321	20220401
89237WAD9	TOYOTA AUTO RECEIVABLES OWNER		4		1,334,964.22	1,325,053.90	1,335,000.00	1,334,968.79	(9,914.89	)	1.89		—	—		1.1400	1.1430		MON	676.40	3,804.75	20160810	20200817
89236TCP8	TOYOTA MOTOR CREDIT CORP			1FE	149,872.50	150,003.00	150,000.00	149,944.69	58.31		10.57		—	—		1.5500	1.5790		JJ	503.75	1,162.50	20150713	20180713
89236TBH7	TOYOTA MOTOR CREDIT CORP			1FE	1,499,205.00	1,499,865.00	1,500,000.00	1,499,966.58	(101.58	)	66.82		—	—		1.1250	1.1430		MN	6,328.13	—	20140516	20170516
89236TCU7	TOYOTA MOTOR CREDIT CORP			1FE	4,999,400.00	5,004,850.00	5,000,000.00	4,999,619.17	5,230.83		48.84		—	—		1.7000	1.7040		FA	9,916.67	42,500.00	20160219	20190219
89236TCA1	TOYOTA MOTOR CREDIT CORP			1FE	5,527,417.05	5,535,885.60	5,535,000.00	5,532,992.34	2,893.26		633.59		—	—		1.4500	1.4970		JJ	17,612.07	40,128.75	20150112	20180112
89236TCX1	TOYOTA MOTOR CREDIT CORP			1FE	5,998,560.00	5,980,920.00	6,000,000.00	5,999,263.16	(18,343.16	)	178.11		—	—		1.2000	1.2120		AO	35,000.00	—	20160408	20180406
89236TDE2	TOYOTA MOTOR CREDIT CORP			1FE	890,586.00	892,701.03	900,000.00	891,837.58	863.45		930.93		—	—		1.4000	1.8350		MN	4,585.00	—	20161201	20190520
89236TDM4	TOYOTA MOTOR CREDIT CORP			1FE	4,998,250.00	5,006,250.00	5,000,000.00	4,998,445.67	7,804.33		195.67		—	—		1.7000	1.7180		JJ	19,361.11	—	20170109	20190109
89267XAH1	TRADEWYND RE LTD	D			875,000.00	888,807.50	875,000.00	875,000.00	13,807.50		—		—	—		7.4500	5.0560		JAJO	15,934.72	17,041.10	20141218	20180108
89267XAF5	TRADEWYND RE LTD	D			500,000.00	504,240.00	500,000.00	500,000.00	4,240.00		—		—	—		5.4950	5.0720		JAJO	6,716.11	7,004.88	20141218	20180108
89289YAB6	TRAMLINE RE II LTD	D			1,000,000.00	1,024,680.00	1,000,000.00	1,000,000.00	24,680.00		—		—	—		9.7500	9.8660		JAJO	23,833.33	25,409.43	20141222	20190104
BRSTMLVU6	TRANS UNION LLC		4	3FE	2,490,139.68	2,514,247.03	2,496,149.94	2,491,119.40	23,127.63		(79.56	)	—	—		—	0.0330		MJSD	—	21,280.95	20160104	20230409
893526DK6	TRANSCANADA PIPELINES LIMITED	A		1FE	535,870.00	522,495.04	500,000.00	523,501.40	(1,006.36	)	(1,582.67	)	—	—		3.8000	2.3920		AO	9,500.00	—	20150413	20201001
89352HAS8	TRANSCANADA PIPELINES LIMITED	A		1FE	2,542,783.50	2,598,450.23	2,550,000.00	2,545,554.26	52,895.97		598.06		—	—		3.1250	3.2260		JJ	16,822.92	39,843.75	20160127	20190115
89352HAN9	TRANSCANADA PIPELINES LIMITED	A		1FE	824,735.50	825,841.50	825,000.00	825,012.83	828.67		(4.25	)	—	—		1.8750	1.8730		JJ	3,394.54	7,734.38	20150112	20180112
89356BAA6	TRANSCANADA TRUST	A	2	2FE	1,075,000.00	1,112,625.00	1,075,000.00	1,075,000.00	37,625.00		—		—	—		5.6250	5.6250		MN	22,003.91	—	20150520	20750520
BRSNBE338	TRANSDIGM INC		4	4FE	3,878,610.10	3,885,132.92	3,897,312.02	3,885,188.06	(55.14	)	746.98		—	—		—	0.0740		MJSD	—	45,202.16	20140828	20210604
BRSU975A2	TRIBUNE COMPANY		4	3FE	110,777.95	111,834.08	110,932.20	110,781.48	1,052.60		367.82		—	—		—	(0.1030	)	MJSD	—	5,907.63	20170228	20201227
BRT870V34	TRIBUNE COMPANY		2	3FE	1,384,146.17	1,394,757.29	1,386,094.20	1,384,191.21	10,566.08		46.69		—	—		—	(0.9670	)	MJSD	—	12,632.86	20170201	20240126

L9339LAB9	TRINSEO MATERIALS OPERATING SC		4	3FE	560,025.00	566,457.86	561,428.58	560,396.45	6,061.41		58.04		—	—		—	0.0390	JAJO	—	—	20150805	20211105
89837RAA0	TRUSTEES OF DARTMOUTH COLLEGE			1FE	339,666.00	316,978.80	300,000.00	320,215.24	(3,236.44	)	(2,264.46	)	—	—		4.7500	1.5750	JD	4,750.00	—	20150204	20190601
872882AC9	TSMC GLOBAL LTD	D		1FE	5,711,170.95	5,700,998.25	5,715,000.00	5,714,204.70	(13,206.45	)	193.20		—	—		1.6250	1.6390	AO	45,918.44	—	20130403	20180403
BRT6TBA33	TURBF_7	B	4		1,184,104.50	1,196,675.59	955,000.00	1,184,104.50	2,495.84		—		—	10,075.25		0.8600	0.8610	MON	337.60	3,139.75	20161130	20230620
902133AQ0	TYCO ELECTRONICS GROUP SA	D	2	1FE	1,634,149.80	1,642,962.32	1,635,000.00	1,634,590.81	8,371.51		42.03		—	—		2.3500	2.3610	FA	6,403.75	19,211.25	20140731	20190801
90944WAA7	UACST_16-2		4		959,438.75	960,057.89	959,449.79	959,435.19	622.70		(2.82	)	—	—		1.6700	1.6740	MON	934.66	5,375.81	20160921	20180910
G91979AA5	UBS AG LONDON BRANCH			1FE	1,387,520.50	1,325,096.98	1,000,000.00	1,351,964.24	(883.37	)	(18,347.65	)	—	(25,983.89	)	6.6250	1.0301	April	80,572.68	—	20160728	20180411
90261XHK1	UBS AG (STAMFORD BRANCH)			1FE	831,893.80	836,177.34	835,000.00	833,043.23	3,134.11		156.21		—	—		2.3500	2.4320	MS	272.54	9,811.25	20150601	20200326
90261XHL9	UBS AG (STAMFORD BRANCH)			1FE	4,995,300.00	4,999,300.00	5,000,000.00	4,999,601.99	(301.99	)	587.24		—	—		1.3750	1.4220	JD	22,916.67	—	20150601	20170601
G918UHAA3	UBS AG JERSEY BRANCH			2FE	574,419.18	485,652.55	350,000.00	550,166.10	6,706.25		(4,303.54	)	—	(71,219.80	)	6.3750	2.6384	November	10,013.67	—	20141208	20241119
90351DAH0	UBS GROUP FUNDING JERSEY LTD	D		1FE	749,550.00	733,327.50	750,000.00	749,596.45	(16,268.95	)	18.74		—	—		2.6500	2.6620	FA	3,312.50	9,440.63	20160810	20220201
90351DAD9	UBS GROUP FUNDING JERSEY LTD	D		1FE	6,994,750.00	7,006,930.49	7,000,000.00	6,995,758.90	11,171.59		303.65		—	—		3.0000	3.0160	AO	96,833.33	26,000.00	20160405	20210415
90351DAA5	UBS GROUP FUNDING JERSEY LTD	D		1FE	2,795,212.00	2,818,367.94	2,800,000.00	2,796,594.97	21,772.97		326.30		—	—		2.9500	2.9870	MS	1,606.11	75,569.16	20150924	20200924
90270RBF0	UBSBB_12-C4		4		515,097.66	501,540.00	500,000.00	512,061.69	(10,521.69	)	(1,015.98	)	—	—		2.4590	1.6100	MON	1,024.54	3,073.62	20160701	20451210
90270YBD0	UBSBB_13-C5		4	?	1,368,685.50	1,357,621.25	1,355,000.00	1,359,813.35	(2,192.10	)	980.32		—	—		2.1370	1.8690	MON	2,412.46	9,489.01	20140926	20460310
90269GAC5	UBSCMT_12-C1		4	1FE	3,822,211.54	3,735,105.10	3,589,479.93	3,793,995.48	(58,890.38	)	(14,297.28	)	—	—		3.4000	1.1190	MON	10,170.18	25,077.92	20160617	20450510
BRT9B1C02	UNIFRAX I LLC		2	4FE	595,216.05	595,216.05	596,707.82	595,216.05	—		—		—	—		—	0.0360	MJSD	—	—	20170629	20240415
904764AR8	UNILEVER CAPITAL CORP			1FE	546,815.50	550,901.96	550,000.00	547,839.67	3,062.29		154.30		—	—		2.1000	2.2230	JJ	1,957.08	5,775.00	20150731	20200730
904764AT4	UNILEVER CAPITAL CORP			1FE	416,656.80	403,388.99	420,000.00	417,092.94	(13,703.95	)	160.63		—	—		1.3750	1.5410	JJ	1,010.63	2,887.51	20160728	20210728
904764AP2	UNILEVER CAPITAL CORP			1FE	691,712.00	698,999.00	700,000.00	699,422.86	(423.86	)	419.05		—	—		0.8500	1.0940	FA	975.14	2,975.00	20120802	20170802
904764AQ0	UNILEVER CAPITAL CORP			1FE	1,606,361.25	1,640,291.28	1,625,000.00	1,618,179.96	22,111.32		851.05		—	—		2.2000	2.4240	MS	2,482.64	17,875.00	20130906	20190306
BRT8AJMS4	UNILEVER PLC	B		1FE	570,434.65	575,195.10	460,000.00	570,592.44	5,013.04		157.79		—	(410.39	)	1.1250	1.3080	FEB	1,010.55	—	20170203	20220203
907818CZ9	UNION PACIFIC CORPORATION			1FE	275,372.50	256,312.50	250,000.00	256,840.69	(528.19	)	(2,721.90	)	—	—		5.7500	1.3130	MN	5,430.56	—	20150716	20171115
907818DA3	UNION PACIFIC CORPORATION			1FE	1,999,631.70	1,843,568.43	1,749,000.00	1,840,020.51	3,547.92		(16,078.56	)	—	—		5.7000	1.5540	FA	12,738.55	49,846.50	20140930	20180815
907818EE4	UNION PACIFIC CORPORATION		2	1FE	3,247,400.00	3,265,242.56	3,250,000.00	3,248,294.07	16,948.49		126.36		—	—		2.2500	2.2670	JD	20,718.75	—	20150619	20200619
907818DM7	UNION PACIFIC CORPORATION		2	1FE	1,812,164.25	1,743,095.32	1,725,000.00	1,800,750.69	(57,655.37	)	(3,552.98	)	—	—		2.9500	2.1040	JJ	10,742.91	25,443.75	20160509	20230115
907818EA2	UNION PACIFIC CORPORATION		2	1FE	1,006,336.49	994,970.02	1,000,000.00	1,003,340.84	(8,370.82	)	(636.90	)	—	—		1.8000	1.6520	FA	3,000.00	9,000.00	20150129	20200201
907818DD7	UNION PACIFIC CORPORATION			1FE	708,215.55	679,496.28	615,000.00	685,064.99	(5,568.71	)	(5,822.31	)	—	—		6.1250	2.0260	FA	4,813.23	18,834.38	20160404	20200215
BRT9AQWJ5	UNITED AIRLINES INC		2	3FE	2,791,878.18	2,798,857.87	2,791,878.18	2,791,878.18	6,979.69		—		—	—		—	—	MJSD	—	—	20170625	20240401
G92450K80	UNITED KINGDOM GILT			1FE	5,656,869.68	4,508,021.70	3,449,215.00	5,371,406.65	18,504.61		(55,822.48	)	—	(881,889.56	)	5.0000	0.9342	Mar-Sep	14,650.37	115,065.82	20151217	20180307
G924504T2	UNITED KINGDOM GILT			1FE	3,155,949.28	3,191,862.40	2,170,000.00	3,152,119.33	5,341.02		(18,928.49	)	—	34,402.06		4.0000	4.9370	Mar-Sep	7,373.57	134,644.02	20170317	20220307
G92435BP3	UNITED KINGDOM GILT			1FE	2,356,005.15	2,422,511.79	520,000.00	2,350,782.84	6,719.22		(5,222.31	)	—	65,009.73		2.5000	3.0466	Apr-Oct	23,642.00	—	20170316	20200416
BRSZA9VG3	UNITED KINGDOM GILT	B		1FE	2,535,883.36	2,546,956.57	1,960,000.00	2,535,735.06	12,309.18		(502.87	)	—	(1,087.66	)	1.5000	1.1120	JJ	7,007.35	25,871.00	20170324	20260722
G9T44MFU1	UNITED KINGDOM GILT			1FE	11,147,997.29	11,396,499.76	8,981,000.00	11,096,053.98	12,301.61		(30,060.20	)	—	288,144.17		1.2500	1.3096	Jan-Jul	26,757.25	106,433.52	20161017	20180722

911312AK2	UNITED PARCEL SERVICE INC	1FE	1,565,228.00	1,495,311.99	1,400,000.00	1,496,670.70	(1,358.71	)	(11,714.43	)	—	—	5.1250	1.6030	AO	35,875.00	—	20151016	20190401
912828WD8	UNITED STATES TREASURY	1	28,478,058.65	28,374,380.72	28,350,000.00	28,422,504.49	(48,123.77	)	(11,129.15	)	—	—	1.2500	1.0860	AO	148,798.34	2,651.93	20131112	20181031
912828P46	UNITED STATES TREASURY	1	1,952,031.25	1,880,560.00	2,000,000.00	1,956,203.10	(75,643.10	)	1,115.32		—	—	1.6250	1.8940	FA	4,040.06	16,250.00	20160428	20260215
912828S27	UNITED STATES TREASURY	1	1,002,970.43	971,200.03	1,000,000.00	1,002,552.24	(31,352.21	)	(146.03	)	—	—	1.1250	1.0630	JD	2,828.04	—	20160713	20210630
912828ST8	UNITED STATES TREASURY	1	31,732,553.44	31,780,602.96	31,800,000.00	31,739,098.58	41,504.38		5,457.77		—	—	1.2500	1.3440	AO	166,906.09	9,012.43	20161222	20190430
912828P20	UNITED STATES TREASURY	1	3,810,446.48	3,801,046.50	3,810,000.00	3,810,235.41	(9,188.91	)	(24.95	)	—	—	0.7500	0.7430	JJ	4,736.19	14,287.50	20160624	20180131
912828WR7	UNITED STATES TREASURY	1	3,393,729.36	3,390,467.76	3,350,000.00	3,381,741.33	8,726.43		(1,785.65	)	—	—	2.1250	1.8920	JD	17,895.20	—	20150609	20210630
912828Q52	UNITED STATES TREASURY	1	21,586,392.64	21,424,608.86	21,600,000.00	21,590,596.71	(165,987.85	)	1,202.83		—	—	0.8750	0.8970	AO	87,230.77	2,451.92	20160505	20190415
912828D56	UNITED STATES TREASURY	1	1,001,720.75	1,007,959.98	1,000,000.00	1,001,412.54	6,547.44		(125.86	)	—	—	2.3750	2.3530	FA	2,952.35	32,181.25	20150715	20240815
912828R69	UNITED STATES TREASURY	1	404,532.05	388,316.01	400,000.00	404,047.50	(15,731.49	)	(634.69	)	—	—	1.6250	1.4530	MN	2,178.57	11,544.65	20160621	20230531
912828M56	UNITED STATES TREASURY	1	1,844,718.75	1,784,502.00	1,800,000.00	1,839,785.43	(55,283.43	)	(1,050.47	)	—	—	2.2500	1.9700	MN	15,327.35	—	20160125	20251115
912828SX9	UNITED STATES TREASURY	1	20,036,752.35	19,926,199.40	20,000,000.00	20,024,298.84	(98,099.44	)	(3,162.25	)	—	—	1.1250	1.0690	MN	75,828.73	—	20160203	20190531
912828TV2	UNITED STATES TREASURY	1	5,043,758.40	4,980,199.80	5,000,000.00	5,032,109.07	(51,909.27	)	(3,049.53	)	—	—	1.2500	0.9970	AO	26,243.09	—	20160418	20191031
912828N22	UNITED STATES TREASURY	1	6,564,542.17	6,503,575.00	6,500,000.00	6,547,930.05	(44,355.05	)	(7,690.65	)	—	—	1.2500	0.8140	JD	23,883.93	3,245.19	20160826	20181215
912828T83	UNITED STATES TREASURY	1	4,961,922.46	4,965,200.05	5,000,000.00	4,967,923.97	(2,723.92	)	5,001.26		—	—	0.7500	1.1610	AO	15,745.86	—	20161214	20181031
912828L32	UNITED STATES TREASURY	1	2,991,679.69	2,973,089.91	3,000,000.00	2,994,185.76	(21,095.85	)	409.99		—	—	1.3750	1.4330	FA	3,586.96	20,625.00	20150925	20200831
912828UZ1	UNITED STATES TREASURY	1	8,278,850.78	8,282,625.75	8,325,000.00	8,306,915.82	(24,290.07	)	4,151.73		—	—	0.6250	0.8270	AO	21,847.37	578.38	20160329	20180430
912828U24	UNITED STATES TREASURY	1	5,582,441.40	5,555,075.06	5,750,000.00	5,587,722.77	(32,647.71	)	8,251.15		—	—	2.0000	2.3290	MN	43,522.10	57,654.70	20161125	20261115
912828Q37	UNITED STATES TREASURY	1	263,291.99	259,586.05	265,000.00	263,585.73	(3,999.68	)	84.79		—	—	1.2500	1.3880	MS	9.05	1,656.25	20160524	20210331
912828J84	UNITED STATES TREASURY	1	5,847,814.43	5,775,349.83	5,800,000.00	5,834,846.67	(59,496.84	)	(4,583.78	)	—	—	1.3750	1.1700	MS	217.90	161,970.47	20160208	20200331
912828U81	UNITED STATES TREASURY	1	5,007,812.50	5,019,950.10	5,000,000.00	5,007,551.77	12,398.33		(498.68	)	—	—	2.0000	1.9660	JD	25,138.12	11,160.22	20170126	20211231
912828RH5	UNITED STATES TREASURY	1	37,484,427.22	37,342,234.57	37,235,000.00	37,371,470.18	(29,235.61	)	(24,321.92	)	—	—	1.3750	1.1180	MS	1,398.85	382,342.93	20160317	20180930
912828U32	UNITED STATES TREASURY	1	27,764,843.75	27,693,679.44	28,000,000.00	27,793,665.38	(99,985.94	)	22,280.54		—	—	1.0000	1.2870	MN	105,966.85	14,226.52	20161117	20191115
912828UJ7	UNITED STATES TREASURY	1	21,431,168.94	21,470,545.00	21,500,000.00	21,478,128.32	(7,583.32	)	6,452.72		—	—	0.8750	0.9980	JJ	31,180.94	94,062.50	20150608	20180131
9128282A7	UNITED STATES TREASURY	1	6,478,032.23	6,131,172.37	6,625,000.00	6,483,735.28	(352,562.91	)	3,491.57		—	—	1.5000	1.7470	FA	12,353.24	59,317.26	20160907	20260815
912828H94	UNITED STATES TREASURY	1	125,292.97	124,940.00	125,000.00	125,135.62	(195.62	)	(38.02	)	—	—	1.0000	0.8750	FA	155.39	625.00	20160322	20180215
912828TW0	UNITED STATES TREASURY	1	3,394,610.04	3,396,328.00	3,400,000.00	3,398,949.92	(2,621.92	)	1,574.18		—	—	0.7500	0.8030	AO	10,707.18	11,090.47	20140930	20171031
912828G38	UNITED STATES TREASURY	1	5,217,968.75	4,987,549.95	5,000,000.00	5,172,815.00	(185,265.05	)	(5,256.99	)	—	—	2.2500	1.7630	MN	42,575.97	—	20150128	20241115
912828UL2	UNITED STATES TREASURY	1	4,969,539.65	4,986,550.15	5,000,000.00	4,970,225.28	16,324.87		685.63		—	—	1.3750	1.5910	JJ	11,395.03	—	20170308	20200131
912828R85	UNITED STATES TREASURY	1	27,346,506.57	26,980,129.86	27,240,000.00	27,319,790.40	(339,660.54	)	(9,963.43	)	—	—	0.8750	0.7410	JD	70,064.43	5,314.90	20160706	20190615
912828R51	UNITED STATES TREASURY	1	41,015,365.59	40,783,435.00	40,900,000.00	40,969,110.42	(185,675.42	)	(14,603.91	)	—	—	0.8750	0.7290	MN	119,947.12	—	20160609	20180531
9128282B5	UNITED STATES TREASURY	1	29,955,468.90	29,576,998.80	30,000,000.00	29,964,620.30	(387,621.50	)	3,634.67		—	—	0.7500	0.8000	FA	27,969.61	112,500.00	20160816	20190815
912828A34	UNITED STATES TREASURY	1	789,184.00	800,535.95	800,000.00	795,595.68	4,940.27		644.84		—	—	1.2500	1.4720	MN	3,351.65	—	20140930	20181130
912828VA5	UNITED STATES TREASURY	1	6,662,878.52	6,665,152.23	6,750,000.00	6,667,342.07	(2,189.84	)	2,199.68		—	—	1.1250	1.5330	AO	31,885.37	—	20160203	20200430

912828L57	UNITED STATES TREASURY	1	2,282,787.71	2,216,092.41	2,250,000.00	2,277,604.08	(61,511.67	)	(1,239.51	)	—	—	1.7500	1.5170	MS	107.58	21,689.90	20160229	20220930
912828S50	UNITED STATES TREASURY	1	578,746.09	568,648.84	575,000.00	582,857.98	(14,209.14	)	2,655.01		—	—	0.1250	0.1190	JJ	152.88	362.16	20161115	20260715
912828G20	UNITED STATES TREASURY	1	1,505,334.55	1,499,325.00	1,500,000.00	1,501,578.78	(2,253.78	)	(629.72	)	—	—	0.8750	0.7050	MN	4,967.20	—	20151005	20171115
912828S68	UNITED STATES TREASURY	1	13,983,615.22	13,926,780.00	14,000,000.00	13,984,030.77	(57,250.77	)	1,470.93		—	—	0.7500	0.8360	JJ	17,403.31	28,386.05	20160808	20180731
912828V98	UNITED STATES TREASURY	1	3,940,781.25	3,949,320.09	4,000,000.00	3,940,841.45	8,478.64		60.20		—	—	2.2500	2.4190	FA	11,187.84	—	20170328	20270215
912828M64	UNITED STATES TREASURY	1	20,298,967.18	20,297,845.80	20,280,000.00	20,294,172.76	3,673.04		(2,156.80	)	—	—	1.2500	1.2060	MN	95,937.85	—	20151207	20181115
912828G87	UNITED STATES TREASURY	1	7,508,008.33	7,387,023.76	7,317,000.00	7,449,838.55	(62,814.79	)	(6,678.87	)	—	—	2.1250	1.7250	JD	39,086.32	—	20150112	20211231
912828N63	UNITED STATES TREASURY	1	21,121,880.04	20,961,360.42	21,000,000.00	21,075,060.92	(113,700.50	)	(10,311.58	)	—	—	1.1250	0.9230	JJ	49,599.45	118,125.00	20160208	20190115
912828S92	UNITED STATES TREASURY	1	1,245,214.84	1,183,250.05	1,250,000.00	1,245,644.16	(62,394.11	)	163.07		—	—	1.2500	1.3080	JJ	2,589.78	7,812.50	20160805	20230731
912828W48	UNITED STATES TREASURY	1	14,394,863.28	14,422,715.44	14,500,000.00	14,395,196.60	27,518.84		363.66		—	—	2.1250	2.2380	FA	26,793.47	22,878.40	20170313	20240229
912828TM2	UNITED STATES TREASURY	1	1,993.05	1,998.16	2,000.00	1,999.38	(1.22	)	104.64		—	—	0.6250	0.7010	FA	1.09	22,043.54	20121226	20170831
912828XA3	UNITED STATES TREASURY	1	3,797,630.73	3,795,212.00	3,800,000.00	3,799,371.10	(4,159.10	)	137.92		—	—	1.0000	1.0150	MN	14,381.21	—	20160412	20180515
912828T91	UNITED STATES TREASURY	1	9,703,103.52	9,689,162.69	10,025,000.00	9,718,340.84	(29,178.15	)	11,306.75		—	—	1.6250	2.1260	AO	68,380.17	5,386.75	20161125	20231031
912828TS9	UNITED STATES TREASURY	1	5,374,969.07	5,394,329.16	5,402,000.00	5,399,238.68	(4,909.52	)	1,331.74		—	—	0.6250	0.7280	MS	92.24	21,043.34	20131022	20170930
912828UR9	UNITED STATES TREASURY	1	1,863,354.49	1,869,806.25	1,875,000.00	1,872,609.69	(2,803.44	)	13,127.61		—	—	0.7500	0.8910	FA	1,222.83	170,651.71	20130311	20180228
912828D72	UNITED STATES TREASURY	1	963,748.83	935,198.68	930,000.00	960,219.15	(25,020.47	)	(1,642.96	)	—	—	2.0000	1.2410	FA	1,617.39	9,300.00	20160920	20210831
912828UB4	UNITED STATES TREASURY	1	2,467,983.00	2,546,906.68	2,575,000.00	2,518,552.24	28,354.44		5,103.16		—	—	1.0000	1.8520	MN	8,630.49	—	20140930	20191130
912828WN6	UNITED STATES TREASURY	1	3,530,046.07	3,526,670.04	3,500,000.00	3,521,822.45	4,847.59		(1,586.63	)	—	—	2.0000	1.8430	MN	23,461.54	4,879.12	20150218	20210531
912828XK1	UNITED STATES TREASURY	1	25,935,611.18	25,839,447.50	25,925,000.00	25,933,247.16	(93,799.66	)	(1,008.78	)	—	—	0.8750	0.8500	JJ	47,624.65	145,262.70	20150910	20180715
912828UQ1	UNITED STATES TREASURY	1	2,018,675.24	1,985,859.98	2,000,000.00	2,014,042.12	(28,182.14	)	(1,172.38	)	—	—	1.2500	1.0050	FA	2,173.91	12,500.00	20160408	20200229
912828H37	UNITED STATES TREASURY	1	6,070,178.91	6,052,788.60	6,060,000.00	6,065,178.97	(12,390.37	)	(1,338.89	)	—	—	0.8750	0.7660	JJ	11,132.32	32,989.19	20160624	20180115
912828V56	UNITED STATES TREASURY	1	3,497,955.10	3,493,175.00	3,500,000.00	3,498,100.31	(4,925.31	)	145.21		—	—	1.1250	1.1550	JJ	6,526.24	—	20170209	20190131
912828K82	UNITED STATES TREASURY	1	5,038,094.34	4,989,850.00	5,000,000.00	5,024,706.88	(34,856.88	)	(4,406.36	)	—	—	1.0000	0.6390	FA	6,215.47	25,000.00	20160630	20180815
912828UE8	UNITED STATES TREASURY	1	499,043.81	499,020.00	500,000.00	499,289.43	(269.43	)	5,199.70		—	—	0.7500	0.9410	JD	942.68	16,703.03	20161228	20171231
912828A42	UNITED STATES TREASURY	1	3,964,379.70	3,935,040.60	3,895,000.00	3,939,903.77	(4,863.17	)	(2,934.08	)	—	—	2.0000	1.6740	MN	26,109.34	—	20150224	20201130
912828TH3	UNITED STATES TREASURY	1	7,308,426.49	7,321,263.78	7,400,000.00	7,320,847.37	416.41		6,858.09		—	—	0.8750	1.3420	JJ	10,732.04	35,800.90	20160429	20190731
912828R36	UNITED STATES TREASURY	1	2,024,843.75	1,876,239.92	2,000,000.00	2,023,283.06	(147,043.14	)	(591.55	)	—	—	1.6250	1.4880	MN	12,299.72	—	20160802	20260515
912828K25	UNITED STATES TREASURY	1	1,049,263.48	1,046,251.50	1,050,000.00	1,049,616.70	(3,365.20	)	90.74		—	—	0.7500	0.7850	AO	3,634.62	—	20160414	20180415
912828TG5	UNITED STATES TREASURY	1	1,985.55	1,998.02	2,000.00	1,999.02	(1.00	)	0.73		—	—	0.5000	0.6470	JJ	1.66	5.00	20120731	20170731
912828Q94	UNITED STATES TREASURY	1	1,490,526.34	1,484,397.60	1,490,000.00	1,490,290.21	(5,892.61	)	(76.42	)	—	—	0.7500	0.7320	AO	4,692.27	801.80	20160512	20180430
912828W89	UNITED STATES TREASURY	1	7,172,437.50	7,181,784.00	7,200,000.00	7,172,451.91	9,332.09		14.41		—	—	1.8750	1.9560	MS	368.86	—	20170331	20220331
912828RP7	UNITED STATES TREASURY	1	2,669,265.50	2,673,081.55	2,650,000.00	2,657,603.05	15,478.50		(1,337.81	)	—	—	1.7500	0.8720	AO	19,438.54	2,605.66	20140930	20181031
912828SY7	UNITED STATES TREASURY	1	1,247,072.41	1,249,687.50	1,250,000.00	1,249,684.52	2.98		473.22		—	—	0.6250	0.7790	MN	2,618.48	—	20151117	20170531
912828R44	UNITED STATES TREASURY	1	16,791,489.16	16,654,176.67	16,800,000.00	16,794,090.32	(139,913.65	)	701.75		—	—	0.8750	0.8920	MN	55,632.60	713.05	20160607	20190515

912828VQ0	UNITED STATES TREASURY			1	1,505,604.38	1,504,911.32	1,500,500.00	1,502,156.21	2,755.11		(818.93	)	—	—	1.3750	1.2910	JJ	3,419.65	38,689.55	20140522	20180731
912828TJ9	UNITED STATES TREASURY			1	6,339,798.16	6,366,945.20	6,500,000.00	6,375,391.54	(8,446.34	)	6,480.95		—	—	1.6250	2.0030	FA	13,130.18	67,222.03	20150807	20220815
912828G95	UNITED STATES TREASURY			1	6,094,687.50	6,027,899.76	6,000,000.00	6,053,554.77	(25,655.01	)	(4,759.44	)	—	—	1.6250	1.2930	JD	24,509.67	—	20150126	20191231
912828U73	UNITED STATES TREASURY			1	24,689,052.75	24,703,965.75	24,750,000.00	24,694,737.86	9,227.89		4,950.71		—	—	1.3750	1.4590	JD	100,036.90	—	20161215	20191215
913017BZ1	UNITED TECHNOLOGIES CORPORATN			2FE	2,258,437.50	2,250,067.73	2,250,000.00	2,253,133.81	(3,066.08	)	(700.53	)	—	—	1.7780	1.6500	FA	6,667.50	20,628.50	20150504	20180504
913017BU2	UNITED TECHNOLOGIES CORPORATN			1FE	2,023,258.50	2,026,640.25	2,025,000.00	2,024,939.23	1,701.02		95.82		—	—	1.8000	1.8180	JD	12,150.00	4,375.00	20120601	20170601
913017CG2	UNITED TECHNOLOGIES CORPORATN		2	1FE	608,639.70	597,867.11	610,000.00	608,748.18	(10,881.07	)	64.66		—	—	1.9500	1.9970	MN	4,956.25	—	20161101	20211101
91324PCT7	UNITEDHEALTH GROUP INCORPORATE			1FE	314,883.45	314,489.69	315,000.00	314,925.41	(435.72	)	9.63		—	—	1.7000	1.7130	FA	684.25	2,677.50	20160225	20190215
BRT83QZZ6	UNIVAR USA INC		2	4FE	1,783,738.22	1,788,703.95	1,787,810.04	1,783,877.50	4,826.45		149.49		—	—	—	0.0410	MJSD	—	12,608.66	20170123	20220701
91412GTA3	UNIVERSITY CALIFORNIA			1FE	2,082,058.50	2,052,069.30	2,010,000.00	2,046,530.01	5,539.29		(4,196.57	)	—	—	2.5660	1.6900	MN	19,484.50	3,916.00	20150211	20190515
91412GUW3	UNIVERSITY CALIFORNIA			1FE	2,600,000.00	2,643,498.00	2,600,000.00	2,600,000.00	43,498.00		—		—	—	2.3640	2.3640	MN	23,219.73	—	20150601	20190515
91412GYG4	UNIVERSITY CALIFORNIA			1FE	61,558.00	59,465.00	50,000.00	60,818.50	(1,353.50	)	(421.36	)	—	—	5.0000	1.3100	MN	944.45	—	20161024	20230515
914440LQ3	UNIVERSITY MASS BLDG AUTH			1FE	995,610.00	1,000,670.00	1,000,000.00	998,270.34	2,399.66		267.99		—	—	1.3330	1.3330	MN	5,554.17	—	20140930	20181101
914455PP9	UNIVERSITY MICH UNIV REVS			1FE	63,018.00	60,403.00	50,000.00	62,420.04	(2,017.04	)	(358.77	)	—	—	5.0000	1.6700	AO	1,250.00	—	20161102	20250401
914682AM1	UNIVERSITY N MEX UNIV REVS		2	1FE	1,047,841.60	1,050,753.60	1,040,000.00	1,040,000.00	10,753.60		—		—	—	7.8000	7.8000	JD	20,505.33	—	20140930	20200630
91514AGB5	UNIVERSITY TEX UNIV REVS REF-F			1FE	58,596.50	57,390.50	50,000.00	58,003.95	(613.45	)	(438.44	)	—	—	5.0000	1.2310	FA	319.45	520.84	20161130	20210815
BRT91H2F6	UNIVISION COMMUNICATIONS INC		2	4FE	6,037,234.79	5,994,992.37	6,042,193.99	6,037,250.31	(42,257.94	)	28.86		—	—	—	0.0120	MJSD	—	10,085.55	20170324	20240315
BRT8BM8S2	UPC FINANCING PARTNERSHIP		2	3FE	3,444,450.40	3,459,989.28	3,453,083.11	3,444,577.71	15,411.57		127.31		—	—	—	0.0300	JAJO	—	9,116.14	20170216	20250415
90323WAB6	URSA RE LTD	D			1,250,000.00	1,259,562.50	1,250,000.00	1,250,000.00	9,562.50		—		—	—	5.5030	4.9030	MJSD	5,841.70	16,568.96	20141201	20171207
90323WAC4	URSA RE LTD	D			1,600,000.00	1,632,224.00	1,600,000.00	1,600,000.00	32,224.00		—		—	—	5.0000	5.0140	MJSD	6,794.52	20,867.71	20150915	20180921
90323WAA8	URSA RE LTD	D			1,250,000.00	1,255,287.50	1,250,000.00	1,250,000.00	5,287.50		—		—	—	4.0030	3.5300	MJSD	4,249.23	11,752.21	20141201	20171207
90323WAD2	URSA RE LTD	D			750,000.00	757,852.50	750,000.00	750,000.00	7,852.50		—		—	—	4.0000	—	MJSD	2,547.95	7,843.64	20161130	20191210
BRSU0Q006	US ACUTE CARE SOLUTIONS LLC				5,201,550.12	5,188,546.24	5,201,550.12	5,201,550.12	(13,003.88	)	—		—	—	—	4.1260	M-J-S-D	—	79,291.24	20150601	20210515
91159HHH6	US BANCORP		2	1FE	1,262,787.50	1,259,250.06	1,250,000.00	1,258,071.86	1,178.20		(983.89	)	—	—	2.2000	1.8670	AO	11,916.67	—	20160120	20190425
902973AZ9	US BANCORP		2		2,270,000.00	2,301,212.50	2,270,000.00	2,270,000.00	31,212.50		—		—	—	5.3000	5.3010	AO	16,041.34	—	20170213	20491231
91159HHM5	US BANCORP		2	1FE	599,538.00	589,416.00	600,000.00	599,575.64	(10,159.64	)	9.97		—	—	3.1000	3.1090	AO	7,956.67	—	20160426	20260427
91159HHE3	US BANCORP		2	1FE	4,993,800.00	5,024,750.16	5,000,000.00	4,997,935.12	26,815.04		310.88		—	—	1.9500	1.9760	MN	36,833.33	—	20131107	20181115
90331HMJ9	US BANK NA/CINCINNATI OH		2	1FE	4,000,000.00	4,002,319.96	4,000,000.00	4,000,000.00	2,319.96		—		—	—	1.3200	0.4350	MJSD	2,785.74	11,658.72	20140911	20170911
90331HMH3	US BANK NATIONAL ASSOCIATION		2	1FE	3,997,760.00	3,999,960.00	4,000,000.00	3,999,663.50	296.50		187.15		—	—	1.3750	1.3940	MS	3,055.56	27,500.00	20140911	20170911
90331HMQ3	US BANK NATIONAL ASSOCIATION		2	1FE	1,697,416.00	1,696,311.00	1,700,000.00	1,699,282.17	(2,971.17	)	254.61		—	—	1.3500	1.4020	JJ	4,143.75	21,262.50	20150127	20180126
90331HMY6	US BANK NATIONAL ASSOCIATION		2	1FE	249,305.00	248,107.49	250,000.00	249,517.49	(1,410.00	)	105.73		—	—	1.4000	1.4950	AO	1,506.94	1,400.00	20160426	20190426
90331HNB5	US BANK NATIONAL ASSOCIATION		2	1FE	249,472.50	250,930.01	250,000.00	249,504.21	1,425.80		31.71		—	—	2.0000	2.0730	JJ	930.56	—	20170124	20200124
90331HML4	US BANK NATIONAL ASSOCIATION		2	1FE	8,737,837.50	8,788,375.37	8,745,000.00	8,741,242.93	47,132.44		345.71		—	—	2.1250	2.1420	AO	78,978.28	—	20141028	20191028
BRT2GC4F4	USAGM HOLDCO LLC			4FE	177,509.55	178,397.10	177,509.55	177,509.55	887.55		(3.70	)	—	—	—	—	MJSD	—	3,437.19	20160916	20220728

BRSUR9351	USAGM HOLDCO LLC			4FE	2,126,754.07	2,166,613.40	2,158,518.95	2,132,498.41	34,114.99		1,263.20		—	—	—	0.2450	MJSD	—	26,079.55	20150804	20220728
BRT2GBZH8	USAGM HOLDCO LLC			4FE	1,446,607.27	1,468,525.57	1,461,219.47	1,448,205.83	20,319.74		633.86		—	—	—	0.1660	MJSD	—	20,366.05	20160804	20220728
90327CAD2	USAOT_15-1		4	1FE	425,977.21	420,173.50	426,000.00	425,979.68	(5,806.18	)	1.06		—	—	1.3900	1.3950	MON	263.18	1,480.35	20160921	20211115
90327CAB6	USAOT_16-1		4		864,978.38	864,229.54	865,000.00	864,984.07	(754.53	)	2.90		—	—	1.0700	1.0740	MON	411.36	2,828.06	20160921	20190315
BRT6ZCCX6	USIC HOLDINGS INC		2	4FE	724,959.02	732,000.03	726,775.96	725,026.98	6,973.05		68.96		—	—	—	0.0360	MJSD	—	9,851.04	20161227	20231208
91802RAT6	UTILITY DEBT SECURITIZATION AU			1FE	1,986,780.00	2,000,680.00	2,000,000.00	1,991,566.83	9,113.17		473.44		—	—	2.0420	2.0410	JD	12,025.11	—	20140930	20210615
BRT8AT551	V SHIPS USA LLC			4Z	529,848.11	530,510.42	529,848.11	529,848.11	662.31		—		—	—	—	—	MJSD	—	—	20170321	20240117
BRSS0WHT7	VALEANT PHARMACEUTICALS INTERN	A	4	3FE	455,125.64	465,944.14	464,413.90	457,171.33	8,772.81		450.19		—	—	—	0.3100	MJSD	—	7,818.31	20151028	20220401
92867PAD5	VALET_13-2		4		545,539.76	545,777.74	545,635.86	545,622.52	155.22		9.24		—	—	1.1600	1.1670	MON	193.40	1,623.99	20131113	20200320
92329LAN4	VENTR_12-10A	D	4		500,000.00	501,133.95	500,000.00	500,000.00	1,133.95		—		—	—	3.6800	3.6970	JAJO	3,629.00	4,512.11	20161020	20220720
92328CAN5	VENTR_12-11A	D	4	1FE	1,000,000.00	994,240.60	1,000,000.00	1,000,000.00	(5,759.40	)	—		—	—	3.9860	4.0050	FMAN	5,093.50	9,844.15	20150514	20221114
92329XAN8	VENTR_14-16A	D	2		1,000,000.00	999,951.30	1,000,000.00	1,000,000.00	(48.70	)	—		—	—	—	—	JAJO	—	—	20170417	20260415
BRSNY4KA0	VERIFONE INC			3FE	414,701.80	415,743.74	416,785.70	415,506.41	237.33		77.21		—	—	—	0.0710	MJSD	—	3,728.45	20140723	20210708
BRT93QFB9	VERITEXT CORP				5,954,935.98	5,921,052.39	5,954,935.98	5,954,935.98	(33,883.59	)	—		—	—	—	—	MJSD	—	—	20170306	20220128
92343VCH5	VERIZON COMMUNICATIONS INC			2FE	2,060,260.00	2,023,079.84	2,000,000.00	2,047,490.04	(24,410.20	)	(5,574.76	)	—	—	2.6250	1.7790	FA	5,833.34	97,392.62	20160610	20200221
92343VDW1	VERIZON COMMUNICATIONS INC			1FE	512,358.05	518,399.02	515,000.00	512,379.40	6,019.62		21.35		—	—	3.1250	3.2370	MS	670.58	—	20170316	20220316
92343VDD3	VERIZON COMMUNICATIONS INC			2FE	398,980.00	365,299.99	400,000.00	399,042.13	(33,742.14	)	23.45		—	—	2.6250	2.6540	FA	1,341.67	5,658.33	20160801	20260815
92343VBQ6	VERIZON COMMUNICATIONS INC			2FE	2,381,719.49	2,358,419.29	2,214,000.00	2,320,451.85	37,967.44		(7,226.30	)	—	—	4.5000	3.0200	MS	4,428.00	49,815.00	20160406	20200915
92343VDF8	VERIZON COMMUNICATIONS INC			2FE	2,499,775.00	2,463,599.98	2,500,000.00	2,499,827.19	(36,227.21	)	575.25		—	—	1.3750	1.3780	FA	4,392.36	18,524.31	20160801	20190815
92343VBJ2	VERIZON COMMUNICATIONS INC		2	2FE	710,829.00	674,415.00	700,000.00	710,044.43	(35,629.43	)	(439.94	)	—	—	2.4500	2.1640	MN	7,145.84	—	20161021	20221101
92343VDM3	VERIZON COMMUNICATIONS INC			2FE	14,803,767.03	14,652,029.43	14,706,000.00	14,800,605.61	(148,576.18	)	(3,161.42	)	—	—	2.9460	2.8040	MS	69,799.59	—	20170203	20220315
92343VCN2	VERIZON COMMUNICATIONS INC		2	2FE	1,033,370.00	1,001,890.03	1,000,000.00	1,027,896.00	(26,005.97	)	(2,462.51	)	—	—	3.0000	2.3320	MN	12,500.00	8,750.00	20160429	20211101
92343VBF0	VERIZON COMMUNICATIONS INC			2FE	2,245,230.00	2,247,232.50	2,250,000.00	2,249,428.04	(2,195.54	)	242.77		—	—	1.1000	1.1440	MN	10,312.51	—	20121107	20171101
92347XAA4	VERIZON OWNER TRUST VZOT_16-1A		4	1FE	1,499,747.40	1,490,800.35	1,500,000.00	1,499,805.89	(9,005.54	)	20.39		—	—	1.4200	1.4300	MON	650.83	5,325.00	20160720	20210120
BRSX3CBW6	VERTICALSCOPE INC				1,553,906.25	1,542,251.96	1,553,906.25	1,553,906.25	(11,654.29	)	—		—	—	—	—	MJSD	—	20,067.05	20151221	20201022
BRSX3CBR7	VERTICALSCOPE INC	A			5,203,125.00	5,164,101.56	5,203,125.00	5,203,125.00	(39,023.44	)	—		—	—	—	—	MJSD	—	68,056.64	20151105	20201022
92557UAN7	VIBR_15-3A	D	4		1,000,000.00	996,338.90	1,000,000.00	1,000,000.00	(3,661.10	)	—		—	—	3.0800	3.0920	JAJO	6,074.66	2,524.11	20161220	20260420
92778UAQ3	VIRGINIA COMWLTH TRANSN BRD			1FE	61,664.50	59,529.00	50,000.00	61,069.15	(1,540.15	)	(374.25	)	—	—	5.0000	1.6210	MS	111.11	875.00	20161109	20240315
927804FM1	VIRGINIA ELECTRIC AND POWER CO		2	2FE	4,008,660.00	3,986,840.00	4,000,000.00	4,001,289.37	(14,449.37	)	(617.09	)	—	—	1.2000	1.1530	JJ	10,133.33	24,000.00	20130108	20180115
BRT7CBGP4	VIRIGIN MEDIA		2	3FE	2,675,856.94	2,688,599.11	2,682,563.34	2,676,065.55	12,533.56		204.07		—	—	—	0.0310	MJSD	—	19,620.51	20161230	20250131
92826CAA0	VISA INC			1FE	3,048,383.50	3,048,292.00	3,050,000.00	3,049,427.35	(1,135.35	)	314.36		—	—	1.2000	1.2270	JD	10,878.33	6,400.00	20151214	20171214
92826CAC6	VISA INC		2	1FE	1,987,616.25	1,991,649.30	1,975,000.00	1,985,518.19	6,131.11		(465.82	)	—	—	2.8000	2.6960	JD	16,436.40	3,017.78	20160112	20221214
92826CAB8	VISA INC		2	1FE	3,402,105.75	3,417,019.78	3,405,000.00	3,402,826.33	14,193.45		139.16		—	—	2.2000	2.2180	JD	22,264.91	—	20151214	20201214
92867TAD7	VOLKSWAGEN AUTO LOAN ENHANCED		4	1FE	1,059,819.80	1,053,148.16	1,060,000.00	1,059,933.33	(6,785.17	)	14.15		—	—	1.3900	1.3990	MON	450.21	3,683.49	20141022	20210520

BRSK76500	VOLKSWAGEN FINANCIAL SERVICES	B		1FE	908,378.81	752,622.02	600,000.00	905,123.38	2,089.75		(169.45	)	—	(154,591.11	)	1.7500	1.6610	FA	1,414.52	6,853.88	20150420	20170821
91830XAE2	VOYA_12-3AR	D	4		4,000,000.00	3,999,855.60	4,000,000.00	4,000,000.00	(144.40	)	—		—	—		3.9730	3.9930	JAJO	32,668.29	39,151.11	20150415	20221015
92915HAE3	VOYA_16-3A	D	4		1,500,000.00	1,512,699.75	1,500,000.00	1,500,000.00	12,699.75		—		—	—		3.2230	3.2350	JAJO	20,948.79	—	20161027	20271018
929160AT6	VULCAN MATERIALS		2	2FE	2,315,769.75	2,346,529.57	2,325,000.00	2,315,769.75	30,759.82		—		—	—		3.9000	3.9480	AO	4,281.88	—	20170314	20270401
928667AD6	VWMT_14-1A		4	1FE	3,819,901.45	3,818,777.68	3,820,000.00	3,819,988.94	(1,211.26	)	8.49		—	—		1.4000	1.4050	MON	1,634.11	13,370.01	20140820	20190722
931266AA8	WABR_16-BOCA		4		100,000.00	100,331.71	100,000.00	100,000.00	331.71		—		—	—		2.2630	2.2740	MON	106.86	524.14	20160718	20290615
931427AN8	WALGREENS BOOTS ALLIANCE INC		2	2FE	3,118,252.80	3,123,931.42	3,120,000.00	3,118,528.42	5,403.00		82.50		—	—		2.6000	2.6120	JD	27,040.00	17,044.44	20160601	20210601
931427AM0	WALGREENS BOOTS ALLIANCE INC			2FE	294,890.85	295,303.85	295,000.00	294,935.97	367.88		13.54		—	—		1.7500	1.7690	MN	1,735.17	—	20160601	20180530
931427AQ1	WALGREENS BOOTS ALLIANCE INC		2	2FE	214,458.20	210,203.35	215,000.00	214,496.56	(4,293.21	)	11.52		—	—		3.4500	3.4800	JD	2,472.50	—	20160601	20260601
932117KA1	WALL TWP N J SCH DIST			1FE	391,778.40	390,709.80	390,000.00	390,189.42	520.38		(161.70	)	—	—		2.1160	2.1160	JJ	1,742.17	4,126.20	20140930	20170715
25468PCW4	WALT DISNEY COMPANY (THE)			1FE	755,389.44	770,311.91	776,000.00	759,733.71	10,578.20		654.70		—	—		2.3500	2.7520	JD	6,078.66	—	20150730	20221201
25468PDE3	WALT DISNEY COMPANY (THE)			1FE	4,032,960.00	4,018,159.80	4,000,000.00	4,023,433.58	(5,273.78	)	(1,616.66	)	—	—		2.1500	1.9740	MS	3,344.44	43,000.00	20151009	20200917
25468PDL7	WALT DISNEY COMPANY (THE)			1FE	1,868,700.00	1,840,500.07	1,875,000.00	1,870,191.98	(29,691.91	)	516.89		—	—		0.8750	0.9890	JJ	3,600.26	8,203.13	20160712	20190712
25468PDJ2	WALT DISNEY COMPANY (THE)			1FE	409,602.30	412,865.89	410,000.00	409,698.55	3,167.34		18.34		—	—		2.3000	2.3200	FA	1,283.53	4,715.00	20160108	20210212
25468PDF0	WALT DISNEY COMPANY (THE)			1FE	453,917.10	462,930.63	455,000.00	454,062.56	8,868.07		32.67		—	—		3.1500	3.1780	MS	557.38	10,288.69	20150917	20250917
25468PCV6	WALT DISNEY COMPANY (THE)			1FE	1,812,024.25	1,822,645.75	1,825,000.00	1,823,222.42	(576.67	)	761.23		—	—		1.1000	1.2470	JD	6,691.67	1,237.50	20121130	20171201
92922F3N6	WAMU_05-A12		4	?	1,323,452.18	1,314,542.70	1,337,031.43	1,324,855.92	(10,313.22	)	642.15		—	—		2.7640	2.9760	MON	3,079.53	9,504.13	20080115	20351025
93730PAG1	WASHINGTON BIOMEDICAL RESEARCH			1FE	1,281,226.50	1,229,074.00	1,150,000.00	1,213,963.75	15,110.25		(6,883.30	)	—	—		4.8810	1.9230	JJ	14,032.88	28,065.75	20140930	20190701
939720LK2	WASHINGTON STATE			1FE	2,685,609.00	2,690,334.00	2,700,000.00	2,694,252.59	(3,918.59	)	1,132.86		—	—		1.1500	1.3220	JJ	7,762.50	15,525.00	20150430	20180701
93974CQX1	WASHINGTON STATE			1FE	4,875,697.20	4,685,443.20	4,440,000.00	4,674,866.56	10,576.64		(24,327.88	)	—	—		4.0190	1.7000	FA	29,740.60	89,221.80	20150303	20190801
939720LL0	WASHINGTON STATE			1FE	587,188.80	601,932.65	605,000.00	596,347.11	5,585.54		933.49		—	—		1.4500	3.0390	JJ	2,193.13	4,386.25	20140930	20190701
949746SH5	WELLS FARGO & COMPANY			1FE	592,062.00	574,332.00	600,000.00	592,326.36	(17,994.36	)	173.67		—	—		3.0000	3.1560	AO	7,800.00	—	20161115	20261023
94974BGM6	WELLS FARGO & COMPANY			1FE	1,099,384.00	1,110,230.00	1,100,000.00	1,099,583.50	10,646.50		29.82		—	—		2.6000	2.6120	JJ	5,481.66	14,300.00	20150722	20200722
BRT85NZX6	WELLS FARGO & COMPANY				606,035.00	626,108.14	495,000.00	606,124.41	10,956.56		89.41		—	9,027.18		2.1250	2.2130	DEC	2,306.30	—	20170127	20231220
949746RG8	WELLS FARGO & COMPANY		2	2FE	3,543,750.00	3,657,500.00	3,500,000.00	3,543,750.00	113,750.00		—		—	—		5.9000	5.8270	JD	60,802.78	—	20141216
949746SA0	WELLS FARGO & COMPANY			1FE	7,399,168.35	7,328,937.83	7,485,000.00	7,404,225.79	(75,287.96	)	4,374.20		—	—		2.1000	2.3620	JJ	28,380.63	79,029.12	20160725	20210726
BRT3H84K9	WELLS FARGO & COMPANY			1FE	295,778.54	277,632.13	225,000.00	295,754.19	(4,034.35	)	(8.88	)	—	(14,087.71	)	2.0000	1.9750	JUL	3,838.63	—	20160726	20250728
949746PM7	WELLS FARGO & COMPANY		2	2FE	4,726,975.00	4,545,750.00	4,350,000.00	4,478,027.53	67,722.47		(33,472.73	)	—	—		7.9800	4.7850	MS	15,428.00	248,022.83	20160622	20491231
94974BGB0	WELLS FARGO & COMPANY			1FE	499,505.00	499,895.00	500,000.00	499,926.90	(31.90	)	115.99		—	—		1.4000	1.4340	MS	447.22	11,083.33	20140909	20170908
94974BFG0	WELLS FARGO & COMPANY			1FE	498,860.00	499,620.00	500,000.00	499,768.69	(148.69	)	71.89		—	—		1.5000	1.5590	JJ	1,562.50	3,750.00	20140115	20180116
949746RN3	WELLS FARGO & COMPANY		2	2FE	1,330,000.00	1,429,750.00	1,330,000.00	1,330,000.00	99,750.00		—		—	—		5.8750	5.8750	JD	23,007.15	—	20150123
94974BFU9	WELLS FARGO & COMPANY			1FE	3,093,428.00	3,112,430.79	3,100,000.00	3,097,209.59	15,221.20		326.59		—	—		2.1250	2.1700	AO	29,094.79	—	20140422	20190422
949746SK8	WELLS FARGO & COMPANY		2	1FE	5,000,000.00	5,024,750.16	5,000,000.00	5,000,000.00	24,750.16		—		—	—		3.0690	3.0690	JJ	28,558.76	4,859.25	20170124	20230124
94988J5G8	WELLS FARGO BANK NA			1FE	10,984,820.00	11,035,860.44	11,000,000.00	10,986,359.84	49,500.60		1,215.66		—	—		2.1500	2.1970	JD	74,891.66	—	20161208	20191206

94988J5E3	WELLS FARGO BANK NA			1FE	4,000,000.00	4,024,159.84	4,000,000.00	4,000,000.00	24,159.84		—		—	—	1.6540	1.4250		FMAN	6,616.00	15,471.11	20160602	20190524
94988J5A1	WELLS FARGO BANK NA			1FE	1,949,434.50	1,950,253.70	1,950,000.00	1,949,765.77	487.93		71.17		—	—	1.6500	1.6650		JJ	6,166.88	16,087.50	20160129	20180122
94989EAB3	WELLS_15-LC20		4	1FM	875,480.45	861,361.78	850,000.00	865,072.95	(3,711.17	)	(1,330.07	)	—	—	2.6780	2.0210		MON	1,896.92	5,690.76	20150331	20500415
95058XAB4	WENDYS FUNDING LLC WEN_15-1A		4		2,462,500.00	2,478,951.96	2,462,500.00	2,462,500.00	16,451.96		—		—	—	4.0800	4.1000		MJSD	4,465.33	25,181.25	20150601	20450615
BRT1KDNS0	WEST STAR AVIATION INC				92,364.55	91,902.73	92,364.55	92,364.55	(461.82	)	—		—	—	—	—		MJSD	—	1,740.28	20170104	20210428
BRT1KDPP4	WEST STAR AVIATION INC				3,166,371.62	3,150,539.76	3,166,371.62	3,166,371.62	(15,831.86	)	—		—	—	—	—		MJSD	—	27,719.15	20160513	20220428
BRSLBEQ11	WESTERN REFINING INC		4	4FE	1,869,494.91	1,864,458.24	1,864,458.24	1,867,871.71	(3,413.47	)	(242.29	)	—	—	—	(0.0500	)	FMAN	—	24,806.86	20131217	20201112
960895VY3	WESTMORELAND CNTY PA			1FE	244,617.80	245,090.65	245,000.00	244,918.36	172.29		30.07		—	—	1.4420	1.4420		JD	1,177.63	—	20140930	20171201
960895VZ0	WESTMORELAND CNTY PA			1FE	575,742.80	581,519.60	580,000.00	578,261.02	3,258.58		253.64		—	—	1.6420	1.6420		JD	3,174.53	—	20140930	20181201
961214CT8	WESTPAC BANKING CORP	D		1FE	1,164,965.05	1,156,355.73	1,165,000.00	1,164,975.18	(8,619.45	)	2.86		—	—	1.6500	1.6510		MN	7,368.63	—	20160513	20190513
961214CY7	WESTPAC BANKING CORP	D		1FE	3,968,240.00	3,959,200.12	4,000,000.00	3,972,406.12	(13,206.00	)	2,802.38		—	—	1.6000	1.8970		FA	7,466.67	32,000.00	20161118	20190819
961214CZ4	WESTPAC BANKING CORP	D		1FE	5,000,000.00	5,019,049.85	5,000,000.00	5,000,000.00	19,049.85		—		—	—	1.6120	1.3740		FMAN	8,509.52	18,798.92	20160819	20190819
38174TAA4	WESTW_07-2A	D	4		997,500.00	996,686.70	1,000,000.00	997,632.52	(945.82	)	102.33		—	—	3.3910	3.4450		FMAN	12,246.07	—	20161121	20281121
94988HAD3	WFCM_12-LC5		4	?	2,286,210.94	2,267,234.98	2,250,000.00	2,273,346.73	(6,111.75	)	(2,148.77	)	—	—	2.5280	2.1300		MON	4,740.00	14,220.00	20150925	20451015
94988XAV8	WFCM_14-LC16		4		5,758,345.31	5,646,765.43	5,430,000.00	5,709,577.46	(62,812.03	)	(14,240.11	)	—	—	3.4770	2.2920		MON	15,733.44	53,339.16	20160527	20500815
94989DAW9	WFCM_15-C27		4	1FE	3,089,817.01	3,040,380.03	3,000,000.00	3,072,240.29	(31,860.26	)	(2,053.94	)	—	—	3.4510	3.0980		MON	8,627.51	25,882.53	20150312	20480215
94989NBE6	WFCM_15-C30		4	1FM	1,210,178.33	1,207,646.79	1,175,000.00	1,204,750.12	2,896.67		(836.00	)	—	—	3.6640	3.3080		MON	3,587.67	10,763.01	20150812	20580915
94989WAS6	WFCM_15-C31		4	1FM	1,038,984.38	1,029,110.03	1,000,000.00	1,038,651.24	(9,541.21	)	(333.14	)	—	—	3.6950	3.1790		MON	3,079.17	—	20170302	20481115
94989HAF7	WFCM_15-NXS1		4	?	1,023,593.75	1,012,200.01	1,000,000.00	1,017,369.94	(5,169.93	)	1,071.30		—	—	2.6320	2.1820		MON	2,193.33	6,579.99	20150928	20480515
94989VAD1	WFCM_15-NXS3		4		2,879,502.70	2,871,673.50	2,803,000.00	2,869,493.18	2,180.32		(1,691.81	)	—	—	3.6170	3.2950		MON	8,448.71	25,346.13	20151013	20570915
94989VAB5	WFCM_15-NXS3		4		1,029,972.00	1,016,220.02	1,000,000.00	1,023,582.75	(7,362.73	)	1,961.86		—	—	2.8480	2.3580		MON	2,373.33	9,335.10	20151013	20570915
94989YBB8	WFCMT_16-C32		4		1,287,447.50	1,293,124.88	1,250,000.00	1,283,663.24	9,461.64		(857.69	)	—	—	3.9520	3.6010		MON	4,116.67	12,350.01	20160218	20590115
94982BAG5	WFMBS		4	?	221,551.18	230,438.04	225,389.85	222,381.41	8,056.63		197.61		—	—	3.0940	3.4670		MON	581.09	1,803.29	20051220	20350625
949781AA6	WFMBS		4	NR*Z*	868,390.04	903,563.18	889,613.94	871,746.61	31,816.57		1,681.38		—	—	3.1160	3.6050		MON	2,309.73	7,391.12	20060721	20350225
94981NAH8	WFMBS_05-AR4		4	NR*Z*	562,123.32	577,872.34	578,367.31	566,028.67	11,843.67		1,513.52		—	—	3.3040	3.9970		MON	1,592.56	4,996.75	20060724	20350425
981464DG2	WFNMT_12-C		4	1FE	1,399,466.46	1,410,577.14	1,400,000.00	1,399,860.63	10,716.51		22.16		—	—	2.2300	2.2470		MON	1,387.56	7,804.98	20120719	20220815
981464EN6	WFNMT_14-C		4		719,834.40	720,583.21	720,000.00	719,943.75	639.46		11.61		—	—	1.5400	1.5520		MON	492.80	2,772.00	20141107	20210815
92937EAB0	WF-RBS COMMERCIAL MORTGAGE TRU		4	?	903,740.27	899,696.72	897,569.48	899,429.76	266.96		(287.32	)	—	—	2.0290	1.8110		MON	1,517.64	4,642.34	20140923	20450315
92936JBB9	WF-RBS COMMERCIAL MORTGAGE TRU		4	1FE	12,262,155.48	11,807,027.19	11,267,000.00	12,130,299.46	(323,272.27	)	(63,853.89	)	—	—	3.6670	1.5070		MON	34,430.07	103,290.24	20160830	20441115
92930RAB8	WFRBS_12-C9		4	?	1,436,021.48	1,425,926.28	1,425,000.00	1,430,234.67	(4,308.39	)	4,320.65		—	—	1.8290	1.6590		MON	2,171.94	6,515.82	20141015	20451115
92938EAF0	WFRBS_13-C16		4		6,303,750.00	6,118,497.00	6,000,000.00	6,173,681.56	(55,184.56	)	62,224.56		—	—	3.2230	2.3310		MON	16,115.00	48,345.00	20140724	20460915
92939FAR0	WFRBS_14-C21		4	1FM	1,043,750.00	1,018,653.70	1,000,000.00	1,030,191.03	(11,537.33	)	4,954.74		—	—	2.9170	2.1580		MON	2,430.83	7,292.49	20150410	20470815
92939KAF5	WFRBS_14-C24		4		4,218,135.54	4,061,274.15	3,935,000.00	4,190,913.57	(129,639.42	)	(12,512.54	)	—	—	3.3240	1.9440		MON	10,899.95	32,699.85	20160912	20471115
92939LAB2	WFRBS_14-C25		4		5,664,840.50	5,611,921.15	5,500,000.00	5,588,418.33	23,502.82		(8,490.32	)	—	—	2.9320	2.2840		MON	13,438.33	40,314.99	20141212	20471115

9698714J8	WILLIAMSON CNTY TENN			1FE	418,676.00	406,656.00	400,000.00	405,436.87	1,219.13		(1,328.55	)	—	—		2.9500	1.2500	AO	5,900.00	—	20140930	20180401
97652QAC3	WIN_14-2		4		1,407,466.45	1,396,728.73	1,388,376.26	1,403,023.01	(6,294.28	)	2,731.88		—	—		3.5000	3.1600	MON	4,049.43	12,697.61	20141030	20440920
BRSZFPNX4	Window	C			5,516,951.29	5,434,197.02	5,516,951.29	5,516,951.29	(82,754.27	)	—		—	—		—	—	MJSD	—	92,238.13	20160216	20220201
BRSZFPAC4	Window	C			602,216.69	593,183.42	602,216.69	602,216.69	(9,033.27	)	—		—	—		—	—	MJSD	—	7,528.24	20161130	20210201
88433BAJ6	WINDR_16-2A	D	4		2,408,350.00	2,478,547.65	2,450,000.00	2,410,490.11	68,057.54		1,322.27		—	—		3.3860	3.6620	FMAN	34,795.24	—	20161101	20281107
BRT7UXAK3	WIREPATH HOME SYSTEMS LLC				6,568,902.44	6,536,057.93	6,568,902.44	6,568,902.44	(32,844.51	)	—		—	—		—	—	MJSD	—	82,317.07	20170105	20221221
BRT7UXB22	WIREPATH HOME SYSTEMS LLC				329,268.28	327,621.95	329,268.28	329,268.28	(1,646.33	)	—		—	—		—	—	MJSD	—	—	20170119	20211221
976656CF3	WISCONSIN ELECTRIC POWER COMPA		2	1FE	2,500,000.00	2,502,875.00	2,500,000.00	2,500,000.00	2,875.00		—		—	—		1.7000	1.7000	JD	12,513.89	—	20130613	20180615
976826BG1	WISCONSIN POWER AND LIGHT COMP			1FE	560,420.00	531,754.99	500,000.00	529,709.52	2,045.47		(3,131.33	)	—	—		5.0000	5.0790	JJ	5,277.78	12,500.00	20140930	20190715
97705MDE2	WISCONSIN ST		2	1FE	981,031.80	939,426.05	815,000.00	963,938.26	(24,512.21	)	(4,121.42	)	—	—		5.0000	2.4900	MN	16,979.17	—	20160316	20330501
982526AT2	WM WRIGLEY JR CO			2FE	252,277.50	250,651.25	250,000.00	250,564.84	86.41		(251.11	)	—	—		2.0000	1.5870	AO	2,236.11	—	20150717	20171020
982526AU9	WM WRIGLEY JR CO		2	2FE	8,396,608.00	8,337,310.62	8,275,000.00	8,326,803.28	10,507.34		(10,015.76	)	—	—		2.4000	1.9660	AO	88,266.67	—	20140930	20181021
982526AQ8	WM WRIGLEY JR CO		2	2FE	882,878.00	878,602.42	850,000.00	882,136.15	(3,533.73	)	(741.85	)	—	—		3.3750	2.2370	AO	12,750.00	—	20170301	20201021
93934FEN8	WMALT_05-5		4	5FE	1,554,395.92	1,521,828.01	1,696,475.78	1,574,690.58	(52,862.57	)	(19,893.91	)	—	—		5.5000	7.2950	MON	7,775.51	24,113.17	20071220	20351125
BRSJ883L4	WMG ACQUISITION CORP		4	4FE	2,259,917.85	2,266,268.22	2,259,917.85	2,259,917.85	6,350.37		—		—	—		—	—	FMAN	—	21,657.55	20130620	20200701
98161PAB9	WOART_16-B		4	1FE	2,544,758.23	2,539,226.92	2,545,000.00	2,544,853.61	(5,626.69	)	39.77		—	—		1.1000	1.1090	MON	1,244.23	6,998.76	20160914	20200115
66859JAE1	WOODS_12-9A	D	4		500,937.50	499,972.60	500,000.00	500,828.81	(856.21	)	(58.67	)	—	—		3.2740	3.2340	JAJO	3,319.19	4,001.58	20161019	20240118
66859NAG7	WOODS_14-11A-B1R	D	4	1FE	750,000.00	750,023.33	750,000.00	750,000.00	23.33		—		—	—		—	2.7570	JAJO	—	—	20170417	20250415
66859QAG0	WOODS_14-12A	D	4		500,000.00	501,351.25	500,000.00	500,000.00	1,351.25		—		—	—		—	—	MJSD	—	—	20170315	20250915
66859TAK5	WOODS_14-14A	D	4		3,000,000.00	3,003,412.20	3,000,000.00	3,000,000.00	3,412.20		—		—	—		2.7890	2.7990	FMAN	10,923.58	—	20170213	20251112
981464FJ4	WORLD FINANCIAL NETWORK CREDIT		4	1FE	1,249,630.13	1,231,152.06	1,250,000.00	1,249,680.34	(18,528.28	)	18.20		—	—		2.0300	2.0450	MON	1,127.78	7,330.55	20160727	20250415
981464FU9	WORLD FINANCIAL NETWORK CREDIT		4		499,945.15	497,174.99	500,000.00	499,952.74	(2,777.75	)	4.55		—	—		1.7200	1.7300	MON	382.22	2,150.01	20161103	20230815
BRT8F3AZ1	WORLDWIDE EXPRESS INC				5,142,857.14	5,183,588.57	5,142,857.14	5,142,857.14	40,731.43		—		—	—		—	—	MJSD	—	—	20170221	20240202
BRT8TS7B8	WORLDWIDE EXPRESS OPERATIONS L			4FE	9,361.29	9,342.43	9,361.29	9,361.29	(18.86	)	—		—	—		—	—	MJSD	—	118.49	20170221	20220202
BRSP8QSG4	WSCFP_14	B	4		1,785,379.50	1,385,154.10	1,110,000.00	1,785,379.50	(2,845.40	)	—		—	(397,380.00	)	1.2140	1.2160	FMAN	2,492.92	4,542.73	20141016	20191104
95168QAG5	WSTC_13-1A	D	2	1FE	479,500.00	503,779.00	500,000.00	485,974.94	17,804.06		668.75		—	—		3.9340	4.6220	FMAN	2,895.86	4,831.20	20141117	20251107
983919AG6	XILINX INC.			1FE	1,989,540.00	2,004,819.94	2,000,000.00	1,995,781.63	9,038.31		521.30		—	—		2.1250	2.2360	MS	1,888.89	21,250.00	20140312	20190315
98420EAC9	XLIT LTD	D		2FE	512,678.65	510,277.24	505,000.00	511,435.22	(1,157.98	)	1,287.92		—	—		4.4500	4.2600	MS	62.42	11,236.25	20150330	20250331
98417EAU4	XSTRATA FINANCE (CANADA) LTD	A		2FE	2,231,245.20	2,243,381.25	2,235,000.00	2,234,549.26	8,831.99		194.57		—	—		2.7000	2.4860	AO	26,149.50	—	20121025	20171025
G9853MHT3	YORKSHIRE BUILDING SOCIETY			1FE	2,192,629.59	1,823,380.42	1,400,000.00	2,100,123.10	13,822.56		(15,758.74	)	—	(290,565.25	)	4.7500	1.0329	April	80,648.89	—	20120515	20180412
BRT7YGL81	ZAYO GROUP LLC/ZAYO CAPITAL IN		2	3FE	346,956.52	349,347.83	347,826.09	346,974.06	2,373.77		21.42		—	—		—	0.0360	MJSD	—	1,777.89	20170124	20240119
BRT82EVX3	ZENITH AMERICAN HOLDING INC				5,568,750.00	5,526,984.38	5,568,750.00	5,568,750.00	(41,765.62	)	—		—	—		—	0.2600	MJSD	—	85,363.93	20170103	20191112
98954RAC4	ZIGG_14-1A	D	4	1FE	2,899,800.00	3,000,000.00	3,000,000.00	2,930,487.96	69,512.04		3,216.73		—	—		3.1230	3.6590	JAJO	19,259.55	22,846.67	20141202	20261017
BRT86RYG4	ZIGGO SECURED FINANCE PARTNERS		2	3FE	2,357,459.38	2,360,836.63	2,363,367.80	2,357,519.07	3,317.56		59.69		—	—		—	0.0300	MJSD	—	2,788.22	20170302	20250415

98956PAE2	ZIMMER HOLDINGS INC	2FE	1,469,000.40	1,472,454.90	1,470,000.00	1,468,665.45	3,789.45	81.49	—	—	2.0000	2.0230	AO	14,700.00	—	20150319	20180401
				5,365,216,099.76		5,391,102,987.03	(13,706,245.03)			(12,180,642.15)

Validus Holdings, Ltd. March 31, 2017 GAAP short-term investments portfolio in Schedule D format
							CHANGE IN BOOK/ADJUSTED CARRYING VALUE									INTEREST
1	2	3	4	5	6	7	8		9		10	11		12	13	14	15	16	17	18	19	20
			DATE			GAAP			CURRENT YEAR			TOTAL FX CHG		PAR	ACTUAL	ACCRUED	NON-ADMITTED ACCRUED	INTEREST	EFFECTIVE RATE	HOW	GROSS REC'D	PAID FOR
DESCRIPTION	*	CUSIP	ACQUIRED	NAME OF VENDOR	MATURITY DATE	BOOK VALUE	UGL		AMORTIZATION		IMPAIRMENTS	IN B/A. C.V.		VALUE	COST	INTEREST	INTEREST	RATE	OF INTEREST	PAID	DURING YEAR	ACCRUED INT
ANHEUSER-BUSCH INBEV NV		B6399CCD7	20160726		20170623	718,077.24	(506.99	)	(10,084.61	)	—	(33,974.01	)	540,000.00	745,753.90	33,910.15	—	6.5000	0.2301	June	—	—
AT&T INC		00206RAT9	20160726		20170428	658,753.13	(197.11	)	(8,260.45	)	—	(31,167.24	)	500,000.00	681,423.46	34,014.80	0	5.8750	0.0767	April	0	0
BG ENERGY CAPITAL PLC		G1163HET9	20161221		20171207	759,270.61	(787.43	)	(7,922.24	)	—	14,422.92		600,000.00	2,034,195.42	28,267.88	—	5.1250	0.6877	December	1,253.71	1,253.71
Barclays TERM DEPOSIT		BRS000000	20160825		20170825	7,154,611.15	—		—		—	—		7,154,611.15	7,154,611.15	—	—	—	—	At Mat	—	—
BONY CASH RESERVE		S875996$0				15,221,714.16	—		—		—	—		15,221,714.16	15,221,714.16	—	—	0.0001	—	At Mat	454.70	—
BNY MELLON USD LIQ INVESTOR 97		DRFUNI$20	20150615		3152017	2,538,425,075.43	—		—		—	—		2,538,425,075.43	2,538,425,075.43	—	—	—	—	At Mat	—	—
BRITISH TELECOMMUNICATIONS PLC		G1582KAR3	20160726		20170623	923,908.81	(520.91	)	(13,269.36	)	—	(36,843.31	)	700,000.00	955,452.74	44,802.94	—	6.6250	0.2301	June	—	—
BSKYB FINANCE UK PLC		G1658KAC5	20161221		20171020	508,881.07	(564.93	)	(30,555.62	)	—	5,366.82		400,000.00	515,703.77	12,843.66	—	5.7500	0.5562	October	—	—
CDN S/T INVT BLENDED ACCT		993252329				4,807,216.08	—		—		—	—		4,807,216.08	4,807,216.08	—	—	0.0006	—	At Mat	6,378.74	—
CITI-INSTITUTION LIQ FUND USD		B0A0ATCJ9				5,573,119.27	—		—		—	—		5,573,119.27	5,573,119.27	—	—	0.0006	—	At Mat	13,348.19	—
COCA-COLA COMPANY (THE)		19121AWD9	20160928		20170913	3,533,685.15	—		8,872.22		—	—		3,533,685.15	3,515,584.74	—	—	—	0.4548	At Mat	—	—
DAIMLER AG		D1668RML8	20161221		20171108	623,058.36	(632.78	)	(840.42	)	—	6,570.96		500,000.00	625,010.74	4,316.62	—	1.7500	0.6082	November	—	—
DREYFUS UNIVERSAL USD LIQ CLAS		BRS7813$2				66,450,100.32	—		—		—	—		66,450,100.32	66,450,100.32	—	—	—	—	At Mat	—	—
EXPRESS OIL CHANGE LLC		BRSRYEXL1	20170104		20171229	180,126.26	(900.63	)	—		—	—		179,225.63	180,126.26	—	—	—	0.7479	J-A-J-O	1,140.93	—
FMC TECHNOLOGIES INC		G87110AA3	20170329		20171001	349,979.25	(63.58	)	0.25		—	—		349,915.67	349,979.00	3,461.11	—	2.0000	0.5041	Apr-Oct	—	505.56
GOLDMAN SACHS		GLDSCS$03				31,602.00	—		—		—	—		31,602.00	31,602.00	—	—	0.0001	—	At Mat	657.96	—
GOLDMAN SACHS USD LIQ RESERVE		BRS2F25Z3				39,055,973.88	—		—		—	—		39,055,973.88	39,055,973.88	—	—	—	—	At Mat	25,333.35	—
HSBC TERM DEPOSIT		BRS000000	20160825		20170825	969,836.14	—		—		—	—		969,836.14	969,836.14	—	—	—	—	At Mat	—	—
ICS INS GBP LIQ CORE DIST		BRS263RF1				5,596,911.92	—		0.01		—	50,817.10		5,647,729.02	5,596,911.92	—	—	0.0002	—	At Mat	10,090.56	—
Institutional Cash Series PLC - US Treasury Fund		H047783	20160321		0	79,929,756.79	—		—		—	—		79,929,756.79	79,929,756.79	—	—	—	—	At Mat	—	—
LVMH MOET HENNESSY LOUIS VUITT		F58485AV9	20170106		20171220	702,567.92	(429.80	)	(1,639.12	)	—	10,579.30		712,717.41	767,754.72	12,114.80	—	1.6250	0.7233	Jun-Dec	—	653.68
MIZUHO BANK LTD (NEW YORK BRAN		60689DM67	20161004		20171003	500,000.00	—		—		—	—		500,000.00	500,000.00	4,036.87	—	—	0.5096	At Mat	1,985.25	—
ORANGE SA		F4113NCA5	20161221		20171220	912,559.15	(1,556.37	)	(15,871.20	)	—	9,624.13		700,000.00	930,017.47	19,568.69	—	8.0000	0.7233	December	—	—
RCI BANQUE SA		F7S02WAB2	20161221		20171006	323,978.99	(544.82	)	(1,079.51	)	—	3,416.78		260,000.00	325,166.45	3,350.27	—	2.1250	0.5178	October	—	—
REED ELSEVIER INVESTMENTS PLC		G7457KAB7	20170221		20171211	846,091.18	(1,090.87	)	(5,144.12	)	—	2,102.76		650,000.00	851,235.30	17,302.46	—	7.0000	0.6986	December	—	—
Scotiabank TERM DEPOSIT		BRS000000	20160825		20170825	3,363,295.97	—		—		—	—		3,363,295.97	3,363,295.97	—	—	—	—	At Mat	—	—
SUMITOMO MITSUI TRUST BANK LTD		86564EHS8	20160930		20170927	2,400,000.00	—		—		—	—		2,400,000.00	2,400,000.00	19,821.12	—	—	0.4932	M-J-S-D	10,069.21	—
TORONTO DOMINION HOLDINGS USA		89116EU35	20160929		20170703	2,342,379.36	—		7,328.17		—	—		2,342,379.36	2,327,479.17	—	—	—	0.2575	At Mat	—	—
UNITED STATES TREASURY		912828P20	20170328		20180131	1,870,506.71	87.04		(24.95	)	—	—		1,870,593.75	1,870,462.13	2,330.80	—	0.7500	0.8384	Jan-Jul	14,287.50	2,214.26
WESTERN ASSET INSTL GOV RSRVS		52470G783				499,414.43	—		—		—	—		499,414.43	499,414.43	—	—	—	—	At Mat	—	—
						2,785,232,450.73	(7,709.18	)	(78,490.95	)		916.21			2,786,653,972.81	240,142.17

Validus Holdings, Ltd. March 31, 2017 GAAP other investments portfolio in Schedule D format
1	2	3	4	5	6	7	8		9	10	11		12	13	14
		FOREIGN	DATE	ACTUAL	GAAP FAIR	GAAP					CAP		FX	INVESTMENT	ADDITIONAL
DESCRIPTION	*	CODE	ACQUIRED	COST	MARKET VALUE	BOOK VALUE	UGL		AMORTIZATION	IMPAIRMENTS	INTEREST		UGL	INCOME	INCOME
AIG SELECT HEDGE LTD			20090831	1,456,936.76	954,776.58	1,456,936.76	(502,160.18	)	—	—	—		—	—	—
AIG SELECT HEDGE LTD			20090831	17.30	41,204.67	17.30	41,187.37		—	—	—		—	—	—
BRIDGE GROWTH PARTNERS (PARALLEL), LP			20140715	34,457,208.00	40,557,464.00	34,457,208.00	6,100,256.00		—	—	—		—	—	—
CENTURY CAPITAL PARTNERS IV LP			20150101	1,706,761.74	1,436,818.01	1,706,761.74	(269,943.73	)	—	—	—		—	—	—
CENTURY FOCUSED FUND III LP			20150101	10,259,349.43	13,034,453.01	10,259,349.43	2,775,103.58		—	—	—		—	—	—
CONNING CAPITAL PARTNERS VI			20150101	614,280.14	269,398.99	614,280.14	(344,881.15	)	—	—	—		—	—	—
CRESCENT MEZZANINE LLC			20160122	3,780,205.00	3,821,101.00	3,780,205.00	40,896.00		—	—	—		—	—	—
GOLDENTREE DISTRESSED DEBT FUN			20121130	11,291,828.76	17,624,052.45	11,291,828.76	6,332,223.69		—	—	—		—	—	—
GUARDIAN GROWTH EQUITY			20090904	2,925,179.66	5,634,695.80	2,925,179.66	2,709,516.14		—	—	—		—	—	—
GUGGENHEIM PARTNERS FUND LTD			20150201	9,433,151.85	9,433,151.85	9,433,151.85	—		—	—	—		—	—	—
GUGGENHEIM PARTNERS FUND LTD			20150101	20,045,447.47	20,045,447.47	20,045,447.47	—		—	—	—		—	—	—
GUGGENHEIM PARTNERS FUND LTD			20140630	123,828,780.23	123,828,779.00	123,828,780.23	(1.23	)	—	—	—		—	—	—
GUGGENHEIM PARTNERS FUND LTD			20150101	35,374,319.07	35,374,319.07	35,374,319.07	—		—	—	—		—	—	—
GUGGENHEIM PARTNERS FUND LTD (PDFNI_16-INT)			20160412	12,560,402.05	12,560,402.05	12,560,402.05	—		—	—	—		—	—	—
GUGGENHEIM PRIVATE DEBT FUND 2.0			20160515	14,050,964.06	14,050,964.06	14,050,964.06	—		—	—	—		—	—	—
GUGGENHEIM STRATEGY FUND I			20170315	8,009,604.95	8,009,604.98	8,009,604.95	0.03		—	—	—		—	—	—
HIGHBRIDGE MEZZANINE PARTNERS			20150101	6,409,532.10	7,149,048.93	6,409,532.10	739,516.83		—	—	—		—	—	—
LEAPFROG INVESTMENTS FINANCIAL			20121130	2,125,796.34	3,861,508.56	2,125,796.34	1,735,712.22		—	—	—		—	—	—
LLOYD'S CANADIAN BLENDED ACCOUNT			20131001	30,404,264.10	31,312,932.38	30,404,264.10	908,668.28		—	—	—		—	—	—
LLOYD'S OVERSEAS DEPOSITS			20131001	53,708,683.33	53,708,683.33	53,708,683.33	—		—	—	—		—	—	—
OFFSHORE MEZZANINE PARTNERS III, L.P.			20170227	3,527,978.49	3,527,978.49	3,527,978.49	—		—	—	—		—	—	—
PORT ADVISORS PRIVATE EQUITY I			20121130	99,974.35	3,312,652.00	99,974.35	3,212,677.65		—	—	—		—	—	—
PRUDENTIAL CAPITAL PARTNERS IV			20150101	7,732,784.96	7,924,880.02	7,732,784.96	192,095.06		—	—	—		—	—	—
PUBLIC PENSION CAPITAL, LLC			20140721	15,108,215.31	14,142,165.00	15,108,215.31	(966,050.92	)	—	—	—		—	—	—
SVG DIAMOND HOLDINGS II LTD			20121130	1,350,358.61	5,513,550.50	1,350,358.61	4,403,081.44		—	—	(239,889.55	)	—	—	—
VINTAGE VI LP			20150101	5,416,834.31	5,873,673.01	5,416,834.31	456,838.70		—	—	—		—	—	—
				415,678,858.37	443,003,705.21	415,678,858.37	27,564,735.78				(239,889.55	)