Validus 8-K Results of Operations and Financial Condition

Validus Holdings, Ltd. December 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
BRSTBY9Y7	A. SCHULMAN INC SENIOR SECURED TERM LOAN				3FE	141,337.44	142,931.46	141,691.66	141,464.25	1,467.21		54.68		—	—		—	0.0359	M-J-S-D	—	6,285.12		20150511	20220601
03763KAB2	AASET_14-1 ABS_14-1 A			4	1FE	2,284,356.88	2,270,728.77	2,276,683.44	2,281,265.76	(10,536.99	)	(3,303.65	)	—	—		5.1250	5.0245	Monthly	5,185.78	132,601.03		20141121	20291215
002824AU4	ABBOTT LABORATORIES CORP BND				2FE	2,412,386.00	2,224,024.52	2,150,000.00	2,236,191.22	(12,166.70	)	(67,715.52	)	—	—		5.1250	1.8571	Apr-Oct	27,546.88	110,187.50		20150504	20190401
002824BD1	ABBOTT LABORATORIES SENIOR CORP BND			1	2FE	407,040.00	404,135.99	400,000.00	406,377.81	(2,241.82	)	(662.19	)	—	—		2.9000	2.4595	May-Nov	998.89	3,866.67		20170726	20211130
002824BA7	ABBOTT LABORATORIES SENIOR CORP BND			1	2FE	198,496.00	198,216.00	200,000.00	198,529.44	(313.44	)	33.44		—	—		2.5500	2.7360	Mar-Sep	1,501.67	(1,020.00	)	20171122	20220315
002824BJ8	ABBOTT LABORATORIES SENIOR CORP BND			1	2FE	2,326,947.77	2,329,207.80	2,330,000.00	2,328,545.23	662.57		1,597.46		—	—		2.0000	2.0902	Mar-Sep	13,721.11	22,393.89		20170322	20180915
002824BC3	ABBOTT LABORATORIES SENIOR CORP BND			1	2FE	6,596,529.06	6,605,509.28	6,603,000.00	6,598,872.01	6,637.27		2,340.24		—	—		2.3500	2.3840	May-Nov	16,810.13	177,412.01		20161117	20191122
00287YAL3	ABBVIE INC SENIOR CORP BND			1	2FE	982,080.00	1,002,809.98	1,000,000.00	987,871.51	14,938.47		2,281.48		—	—		2.9000	3.1721	May-Nov	4,430.56	29,000.00		20150521	20221106
00287YAN9	ABBVIE INC SENIOR CORP BND			1	2FE	250,267.50	249,907.50	250,000.00	250,035.65	(128.15	)	(129.32	)	—	—		1.8000	1.7608	May-Nov	587.50	81,680.00		20150708	20180514
00287YAT6	ABBVIE INC SENIOR CORP BND			1	2FE	5,941,502.50	5,966,659.96	5,950,000.00	5,949,970.03	16,689.93		2,127.77		—	—		2.5000	2.5879	May-Nov	19,420.13	111,913.19		20150505	20200514
00287YAU3	ABBVIE INC SENIOR CORP BND			1	2FE	6,372,651.40	6,346,292.52	6,390,000.00	6,377,469.70	(31,177.18	)	3,607.83		—	—		2.3000	2.3370	May-Nov	19,187.76	130,550.56		20160509	20210514
BRTBFMT25	ABN AMRO BANK NV SENIOR CORP BND		B		1FE	1,079,316.30	1,079,850.44	800,000.00	1,079,650.86	638.36		334.56		—	(438.79	)	1.0000	1.1125	Jun-Dec	59.47	2,987.62		20170918	20200630
BRSXK39C4	ABN AMRO BANK NV SENIOR CORP BND EMTN		B			729,467.25	706,856.72	500,000.00	725,565.77	18,272.24		(2,897.83	)	—	(36,981.30	)	2.3750	2.4641	Jun-Dec	1,103.29	15,181.59		20151130	20211207
N04899AK1	ABN AMRO BANK NV SENIOR CORP BND EMTN		B		1FE	673,949.91	703,868.29	500,000.00	646,617.19	(3,026.33	)	(26,682.66	)	—	60,277.43		4.8750	0.5218	Jan-Jul	15,142.62	29,784.42		20161221	20190116
000823AA2	ABPCI_17-1A ABS 17-1A 144A		D	4		2,000,000.00	2,015,802.40	2,000,000.00	2,000,000.00	15,802.40		—		—	—		—	—	J-A-J-O	—	—		20170602	20290720
02527TAA4	ACAR_17-3 ABS 17-3 144A			4	1FE	1,778,572.79	1,776,860.14	1,778,620.62	1,778,564.75	(1,704.61	)	8.68		—	—		1.8200	1.8268	Monthly	1,888.31	10,337.41		20170829	20200310
00432CCM1	ACCESS GROUP INC ACCSS_05-2 ABS 05-2			4		376,585.64	386,740.55	386,737.50	385,074.00	1,666.55		3,911.25		—	—		1.6259	2.4629	F-M-A-N	698.68	7,719.72		20120808	20241122
00100VAG5	ACIS_14-4A SUB ABS_14-4A C 144A		D	4	1FE	237,625.00	250,543.45	250,000.00	239,401.32	11,142.13		1,718.00		—	—		3.9268	4.8320	F-M-A-N	1,663.43	9,253.15		20161215	20260501
00452PAN7	ACIS_15-6A MEZZANIN ABS 15-6A C 144A		D	4	1FE	495,000.00	499,901.65	500,000.00	496,533.73	3,367.92		528.97		—	—		4.7468	4.9115	F-M-A-N	4,021.58	22,663.25		20150304	20270501
00452PAG2	ACIS_15-6A MEZZANIN ABS 15-6A B1 144A		D	4	1FE	2,238,750.00	2,273,018.85	2,250,000.00	2,242,640.93	30,377.92		1,351.14		—	—		3.8568	3.9444	F-M-A-N	14,703.97	81,681.48		20150304	20270501
00485YAA7	ACORN RE LTD SENIOR CORP BND 144A		D			4,866,500.00	4,856,121.25	4,825,000.00	4,833,880.66	22,240.59		(15,876.71	)	—	—		4.8533	4.4567	Monthly	9,106.74	248,938.83		20150702	20180717
BRST137M4	ACOSTA HOLDCO INC SENIOR SECURED TERM LO			4	4FE	477,277.18	424,615.74	483,318.66	479,147.67	(54,531.93	)	2,022.06		—	—		—	0.2287	M-J-S-D	—	44,014.21		20160414	20210926
BRT6PK3X9	ACTAGRO LLC Term Loan					5,064,333.35	5,013,690.02	5,064,333.35	5,064,333.35	(50,643.33	)	—		—	—		—	—	M-J-S-D	—	295,305.93		20161101	20200710
00507UAD3	ACTAVIS FUNDING SCS SENIOR CORP BND		D		2FE	8,308,549.80	8,313,420.40	8,315,000.00	8,312,906.65	513.75		1,400.24		—	—		2.4500	2.4637	Jun-Dec	9,054.11	205,718.33		20141113	20190615
00507UAP6	ACTAVIS FUNDING SCS SENIOR CORP BND		D	1	2FE	2,463,317.50	2,472,001.07	2,450,000.00	2,463,011.94	8,989.13		(321.92	)	—	—		3.0000	2.5766	Mar-Sep	22,254.16	17,291.67		20150303	20200312
942683AF0	ACTAVIS INC SENIOR CORP BND			1	2FE	2,365,134.00	2,360,128.50	2,350,000.00	2,364,999.96	(4,871.46	)	(134.04	)	—	—		3.2500	3.0969	Apr-Oct	19,093.75	(15,699.30	)	20171213	20221001
BRT63CM02	ADS WASTE HOLDINGS INC SENIOR SECURED TE				4FE	1,660,041.25	1,664,697.22	1,661,729.37	1,659,257.18	5,440.04		(569.79	)	—	—		—	0.0356	M-J-S-D	—	74,493.88		20161028	20231110

BRSNZFA49	ADVANTAGE SALES & MARKETING IN SENIOR SE		4	4FE	1,035,712.19	1,013,188.88	1,040,279.84	1,037,641.58	(24,452.70	)	973.38		—	—	—	0.0356	M-J-S-D	—	75,224.81		20140711	20210723
05377RBM5	AESOP_13-1A ABS 13-1A C144A		4	2FE	2,063,125.00	2,009,576.40	2,000,000.00	2,010,325.05	(748.65	)	(19,754.72	)	—	—	4.4200	3.4204	Monthly	2,701.11	88,400.04		20150325	20190920
05377RBY9	AESOP_15-1A SUB ABS 15-1A B 144A		4	2FE	1,999,207.20	1,991,213.00	2,000,000.00	1,999,595.80	(8,382.80	)	137.69		—	—	3.2200	3.2493	Monthly	1,967.78	64,400.04		20150122	20210720
00432CAZ4	AGSL_03-1 ABS 03-1-2003-1		4	1FE	360,500.00	390,014.56	400,000.00	384,772.96	5,241.60		2,099.93		—	—	2.7730	3.8943	Monthly	585.72	9,248.56		20100329	20351226
00432CBB6	AGSL_03-1 ABS_03-1-2003-1		4	1FE	311,937.50	337,788.26	350,000.00	331,745.72	6,042.54		1,522.23		—	—	3.3570	4.4914	Monthly	128.76	8,684.64		20100329	20351226
00432CBP5	AGSL_03-1 ABS_04-1-2004-1		4	1FE	435,625.00	498,686.70	500,000.00	470,261.98	28,424.72		4,685.01		—	—	2.1030	3.3340	Monthly	1,139.75	10,435.63		20100329	20321227
903724AK8	AID-UKRAINE AGENCY BND	D		1FE	4,285,000.00	4,255,142.10	4,285,000.00	4,285,000.00	(29,857.90	)	—		—	—	1.8440	1.8440	May-Nov	9,876.93	79,015.40		20140514	20190516
BRSZ793R4	AIM AEROSPACE Term Loan A				3,907,373.95	3,897,605.52	3,907,373.95	3,907,373.95	(9,768.43	)	—		—	—	—	—	M-J-S-D	—	224,070.90		20160202	20220202
001406AA5	AIM_15-1A ABS 15-1A A1 144A	D	4	1FE	2,593,246.27	2,592,391.80	2,593,246.27	2,593,227.36	(835.56	)	1.44		—	—	4.2130	4.2496	Monthly	4,855.71	122,583.90		20150213	20400215
00900AAN8	AIMCO_14-AA ABS_14-AA-C1R 144A	D	4	1FE	2,000,000.00	1,996,435.00	2,000,000.00	2,000,000.00	(3,565.00	)	—		—	—	3.6126	3.6285	J-A-J-O	14,651.14	29,654.60		20170511	20260720
00900LAG9	AIMCO_15-AA SENIORABS15-AA144A	D	4		2,000,000.00	1,998,033.80	2,000,000.00	2,000,000.00	(1,966.20	)	—		—	—	—	—	J-A-J-O	—	—		20171212	20280115
00913RAA4	AIR LIQUIDE FINANCE SENIOR CORP BND 144A	D	1	1FE	3,990,400.00	3,942,080.08	4,000,000.00	3,994,399.13	(52,319.05	)	3,165.83		—	—	1.3750	1.4571	Mar-Sep	14,361.11	55,000.00		20160922	20190927
BRSSM5ZR6	AIR MEDICAL GROUP HOLDINGS INC SENIOR SE		4	4FE	1,478,749.93	1,474,778.46	1,482,456.10	1,480,147.97	(5,369.51	)	562.50		—	—	—	0.0356	M-J-S-D	—	77,238.91		20150415	20220428
BRTCVY6N8	AIR MEDICAL GROUP HOLDINGS INC SENIOR SE		2	4	334,287.64	337,475.24	336,813.74	334,294.78	3,180.46		7.14		—	—	—	0.1099	M-J-S-D	—	—		20170926	20240926
00973XAA8	AKIBARE RE LTD SENIOR CORP BND 144A	D			540,000.00	546,696.00	540,000.00	540,000.00	6,696.00		—		—	—	3.8494	3.8675	J-A-J-O	5,254.49	19,574.39		20160308	20200407
011395AD2	ALAMO RE LTD CORP BND 144A	D			2,900,000.00	2,932,538.00	2,900,000.00	2,900,000.00	32,538.00		—		—	—	5.1158	5.1476	M-J-S-D	7,005.78	152,868.36		20170523	20200608
011395AC4	ALAMO RE LTD CORP BOND 144A	D			1,300,000.00	1,322,256.00	1,300,000.00	1,300,000.00	22,256.00		—		—	—	5.7200	5.6779	M-J-S-D	2,891.78	68,268.64		20150506	20190607
011395AB6	ALAMO RE LTD CORP BOND 144A	D			833,000.00	841,946.42	833,000.00	833,000.00	8,946.42		—		—	—	6.1144	6.0462	M-J-S-D	1,980.71	95,581.27		20150506	20180607
013051DV6	ALBERTA PROVINCE OF SENIOR CORP BND	A		1FE	8,647,004.80	8,594,034.23	8,650,000.00	8,647,958.29	(53,924.06	)	953.49		—	—	1.9000	1.9519	Jun-Dec	11,413.17	123,209.72		20170207	20191206
013051CZ8	ALBERTA PROVINCE OF SENIOR LOCAL BND				490,322.28	497,952.83	600,000.00	489,171.08	(1,759.46	)	(1,151.20	)	—	10,541.21	4.0000	1.6803	Jun-Dec	1,631.32	436.66		20171120	20191201
BRTAET271	ALBERTSONS COMPANIES LLC SENIOR SECURED			3FE	1,867,387.92	1,843,048.27	1,881,561.96	1,868,693.07	(25,644.80	)	1,376.38		—	—	—	0.1429	M-J-S-D	—	40,618.45		20170627	20221221
BRTAET3H8	ALBERTSONS COMPANIES LLC SENIOR SECURED			3FE	256,854.18	251,549.74	257,142.59	256,878.98	(5,329.24	)	26.26		—	—	—	0.0354	M-J-S-D	—	4,709.90		20170627	20230622
BRTAESUK3	ALBERTSONS COMPANIES LLC SENIOR SECURED			3FE	194,216.76	191,950.94	196,068.38	194,444.82	(2,493.88	)	444.56		—	—	—	0.2249	M-J-S-D	—	7,753.57		20170627	20210825
01626PAJ5	ALIMENTATION COUCHE-TARD INC SENIOR CORP	A	1	2FE	2,714,973.15	2,688,420.26	2,715,000.00	2,714,985.87	(26,565.61	)	12.72		—	—	2.7000	2.7200	Jan-Jul	31,561.89	(93.75	)	20170719	20220726
BRSV8NG22	ALION SCIENCE AND TECHNOLOGY C SENIOR SE			4FE	759,143.16	763,195.99	762,957.95	760,617.07	2,578.92		722.65		—	—	—	0.0834	M-J-S-D	—	46,150.11		20150812	20210819
BRT999T75	ALIX PARTNERS LLP SENIOR SECURED TERM LO			4FE	571,164.67	575,340.03	572,596.15	571,315.77	4,024.26		165.31		—	—	—	0.0353	M-J-S-D	—	18,249.55		20170328	20240404
02007LAC6	ALLYA_16-3 ABS_16-3 A3		4	1FE	1,876,967.73	1,872,089.39	1,877,150.00	1,877,070.00	(4,980.61	)	71.80		—	—	1.4400	1.4480	Monthly	1,201.38	28,800.00		20160523	20200817
02079KAC1	ALPHABET INC CLASS A SENIOR CORP BND		1	1FE	685,433.00	659,378.99	700,000.00	687,273.97	(27,894.98	)	1,325.23		—	—	1.9980	2.2310	Feb-Aug	5,283.60	14,219.10		20160802	20260815
BRTD2HTA8	ALTICE FINANCING SA SENIOR SECURED TERM	D	2	4FE	997,721.71	977,092.13	1,000,222.27	997,737.68	(20,645.55	)	15.97		—	—	—	0.0303	M-J-S-D	—	611.25		20171006	20260131
BRT97VDT7	ALTICE FINANCING SA SENIOR SECURED TERM	D		3FE	650,827.88	636,147.54	652,459.02	650,964.56	(14,817.02	)	144.88		—	—	—	0.0300	M-J-S-D	—	12,690.28		20170322	20250715
BRT9TRW61	ALTICE US FIN I CORP SENIOR FSECURED TER			3FE	2,617,809.16	2,618,521.03	2,629,697.25	2,618,684.35	(163.32	)	986.87		—	—	—	0.0602	M-J-S-D	—	54,654.38		20170315	20250728
02209SAL7	ALTRIA GROUP INC CORP BND			1FE	1,576,568.00	1,501,654.03	1,400,000.00	1,521,169.66	(19,515.63	)	(34,675.07	)	—	—	4.7500	2.0569	May-Nov	10,344.45	66,500.00		20160518	20210505
02209SAT0	ALTRIA GROUP INC SENIOR CORP BND		2	1FE	2,997,570.00	3,019,410.33	3,000,000.00	2,999,049.79	20,360.54		448.66		—	—	2.6250	2.6411	Jan-Jul	36,531.24	78,750.00		20141110	20200114
BRSSA2UL4	ALVOGEN PHARMA US INC ALVOGEN PHARMA US				1,128,546.83	1,128,535.44	1,138,497.29	1,129,884.75	(1,349.31	)	1,669.81		—	—	—	0.1763	M-J-S-D	—	47,800.23		20170427	20220401

U02320AD8	AMAZON.COM INC SENIOR CORP BND			2,338,713.00	2,323,058.40	2,340,000.00	2,338,863.00	(15,804.60	)	150.00		—	—	1.9000	1.9190	Feb-Aug	15,931.50	—		20170815	20200821
023135AX4	AMAZON.COM INC SENIOR CORP BND 144A	1	2FE	2,867,553.75	2,866,892.55	2,875,000.00	2,867,901.33	(1,008.78	)	347.58		—	—	2.8000	2.8411	Feb-Aug	28,845.84	—		20170815	20240822
023135AR7	AMAZON.COM INC SENIOR CORP BND 144A	1		2,158,812.00	2,143,756.81	2,160,000.00	2,158,950.47	(15,193.66	)	138.47		—	—	1.9000	1.9190	Feb-Aug	14,706.01	—		20170815	20200821
BRTCKFF01	AMBROSIA BUYER CORP SENIOR SECURED TERM	2	4FE	351,952.71	354,892.88	352,834.80	351,980.00	2,912.88		29.50		—	—	—	0.0360	M-J-S-D	—	696.68		20170915	20240828
BRTCKFGF7	AMBROSIA BUYER CORP SENIOR SECURED TERM	2	4FE	15,751.55	15,883.14	15,791.03	15,751.83	131.31		0.28		—	—	—	0.0368	M-J-S-D	—	—		20170915	20240828
BRSJ1HUF4	AMC ENTERTAINMENT INC. SENIOR SECURED TE	4	3FE	29.78	30.02	29.92	29.81	0.21		143.18		—	—	—	0.0726	M-J-S-D	—	7,283.56		20160801	20221215
03065NAD7	AMCAR_15-3 SENIOR ABS 15-3	4	1FE	40,271.67	40,256.97	40,277.51	40,276.68	(19.71	)	10.86		—	—	1.5400	1.5508	Monthly	39.63	3,031.52		20150804	20200308
03066FAE1	AMCAR_17-4 SENIOR ABS__17-4-A3	4	1FE	3,359,910.63	3,338,689.57	3,360,000.00	3,359,914.87	(21,225.30	)	4.24		—	—	2.0400	2.0499	Monthly	2,665.60	6,283.20		20171107	20220718
023770AB6	AMERICAN AIRLINES INC. SECURED CORP BND	1	2FE	3,055,127.60	3,046,334.95	3,055,127.60	3,055,127.60	(8,792.65	)	—		—	—	3.7000	3.6983	May-Nov	18,839.95	123,151.74		20150302	20230501
BRTDLDWF1	AMERICAN AIRLINES INC. SENIOR SECURED TE	2		1,460,732.88	1,463,013.39	1,463,928.35	1,460,800.46	2,212.93		99.86		—	—	—	0.0354	M-J-S-D	—	4,005.20		20171115	20231214
BRT69HBX5	AMERICAN AIRLINES INC. SENIOR SECURED TE		3FE	265,888.02	267,145.22	267,647.06	266,104.10	1,041.12		453.75		—	—	—	0.1072	M-J-S-D	69.46	14,039.85		20170403	20230428
BRT92SWL5	AMERICAN AIRLINES INC. SENIOR SECURED TE		3FE	1,386,070.30	1,390,960.95	1,389,031.59	1,386,697.93	4,263.02		1,147.89		—	—	—	0.0665	M-J-S-D	—	51,904.88		20170501	20200627
BRT8ZN953	AMERICAN AXLE & MANUFACTURING, SENIOR SE	2	3FE	553,356.69	555,298.29	554,743.55	553,496.52	1,801.77		183.09		—	—	—	0.0354	M-J-S-D	—	13,494.33		20170310	20240406
025816BM0	AMERICAN EXPRESS COMPANY SENIOR CORP BND	2	1FE	749,407.50	740,917.51	750,000.00	749,454.04	(8,536.53	)	46.54		—	—	2.5000	2.5169	Feb-Aug	7,812.50	—		20170727	20220801
025816BP3	AMERICAN EXPRESS COMPANY SENIORCORPBND	2	1FE	199,740.00	198,472.00	200,000.00	199,754.58	(1,282.58	)	14.58		—	—	2.2000	2.2451	Apr-Oct	745.56	—		20171023	20201030
0258M0EE5	AMERICAN EXPRESS CR CORP SENIOR CORP BND	2	1FE	3,004,210.00	2,991,120.05	3,000,000.00	3,003,796.86	(12,676.81	)	(413.14	)	—	—	2.2000	1.9335	Mar-Sep	21,633.34	3,666.67		20170228	20200303
0258M0EK1	AMERICAN EXPRESS CR CORP SENIOR CORP BND	2	1FE	5,507,740.90	5,487,298.64	5,510,000.00	5,508,480.93	(21,182.29	)	1,006.02		—	—	1.8750	1.8960	May-Nov	16,644.79	76,310.93		20170427	20190503
02582JHJ2	AMERICAN EXPRESS CREDIT ACCOUN ABS_17-6-	4	1FE	3,504,471.79	3,486,044.62	3,505,000.00	3,504,498.40	(18,453.78	)	26.61		—	—	2.0400	2.0539	Monthly	3,177.86	8,937.75		20171023	20230515
02587AAJ3	AMERICAN EXPRESS CREDIT ACCOUN SENIOR AB	4	1FE	1,004,453.12	995,143.13	1,000,000.00	1,003,741.26	(8,598.13	)	(711.86	)	—	—	1.9300	1.7499	Monthly	857.78	6,808.59		20170803	20220915
0258M0EC9	AMERICAN EXPRESS CREDIT CORPOR SENIOR CO	2	1FE	3,116,657.25	3,091,500.03	3,125,000.00	3,118,072.42	(26,572.39	)	1,260.61		—	—	1.7000	1.7409	Apr-Oct	9,001.73	38,882.78		20161026	20191030
0258M0DX4	AMERICAN EXPRESS CREDIT CORPOR SENIOR CO	2	1FE	1,766,499.35	1,745,271.25	1,735,000.00	1,755,981.61	(10,710.36	)	(7,775.89	)	—	—	2.6000	1.7630	Mar-Sep	13,407.69	45,110.00		20150909	20200914
008684AA0	AMERICAN HOME MORTGAGE ASSETS CMO_06-6 A	4		151,240.42	153,086.15	182,629.94	151,083.19	2,002.96		(126.39	)	—	—	1.7421	4.3877	Monthly	53.03	31.01		20171220	20461225
02665WAH4	AMERICAN HONDA FINANCE CORPORA CORP BND	1	1FE	4,752,173.00	4,706,579.96	4,700,000.00	4,731,914.39	(25,334.43	)	(19,164.18	)	—	—	2.2500	1.8191	Feb-Aug	39,950.00	105,750.00		20161128	20190815
02665WBT7	AMERICAN HONDA FINANCE CORPORA SENIOR CO	1	1FE	993,390.00	991,859.97	1,000,000.00	993,486.88	(1,626.91	)	96.88		—	—	1.9500	2.2138	Jan-Jul	8,720.84	(8,016.67	)	20171214	20200720
02665WBP5	AMERICAN HONDA FINANCE CORPORA SENIOR CO	1	1FE	1,073,228.40	1,085,864.39	1,080,000.00	1,074,000.33	11,864.06		771.93		—	—	2.9000	3.0000	Feb-Aug	11,745.00	15,660.00		20170213	20240216
02665WAW1	AMERICAN HONDA FINANCE CORPORA SENIOR CO	1	1FE	249,210.00	249,680.00	250,000.00	249,855.95	(175.95	)	267.02		—	—	1.6000	1.7092	Jan-Jul	1,866.67	4,000.00		20150715	20180713
03027XAL4	AMERICAN TOWER CORPORATION SENIOR CORP B	1	2FE	2,995,740.00	2,922,330.09	3,000,000.00	2,996,667.96	(74,337.87	)	1,187.63		—	—	2.2500	2.2789	Jan-Jul	31,125.00	104,125.01		20160928	20220115
03065GAD2	AMERICREDIT AUTOMOBILE RECEIVA ABS_17-2-	4	1FE	829,865.70	826,266.74	830,000.00	829,896.10	(3,629.36	)	30.40		—	—	1.9800	1.9944	Monthly	593.45	9,677.80		20170509	20211220
031162BD1	AMGEN INC CORP BND	1	2FE	1,550,734.00	1,544,039.96	1,500,000.00	1,537,809.12	6,230.84		(5,981.18	)	—	—	3.4500	2.6770	Apr-Oct	12,937.50	20,700.00		20150714	20201001
031162BU3	AMGEN INC SENIOR CORP BND	1	2FE	761,263.68	759,121.44	759,000.00	760,409.67	(1,288.23	)	(1,072.53	)	—	—	2.2000	2.2961	May-Nov	1,808.95	16,698.00		20150805	20190522
031162BW9	AMGEN INC SENIOR CORP BND	1	2FE	2,440,788.75	2,432,481.58	2,445,000.00	2,441,508.04	(9,026.46	)	309.88		—	—	2.1250	2.1409	May-Nov	8,659.38	34,070.85		20150428	20200501
031162CM0	AMGEN INC SENIOR CORP BND	1	2FE	424,766.25	423,461.50	425,000.00	424,814.93	(1,353.43	)	48.68		—	—	2.2000	2.2191	May-Nov	1,298.60	4,675.00		20170508	20200511
031162CG3	AMGEN INC SENIOR CORP BND	1	2FE	2,688,749.70	2,651,592.02	2,720,000.00	2,691,006.88	(39,414.86	)	2,201.95		—	—	1.8500	1.8729	Feb-Aug	18,450.68	41,905.08		20160810	20210819
031162CH1	AMGEN INC SENIOR CORP BND	1	2FE	1,469,373.25	1,479,173.79	1,525,000.00	1,473,405.69	5,768.10		3,740.93		—	—	2.2500	2.8139	Feb-Aug	12,581.25	4,187.50		20161129	20230819

032511BF3	ANADARKO PETROLEUM CORPORATION CORP BND			3FE	799,342.50	796,027.50	750,000.00	797,653.48	(1,625.98	)	(1,689.02	)	—	—	6.9500	2.4713	Jun-Dec	2,316.67	289.58		20171211	20190615
032511BJ5	ANADARKO PETROLEUM CORPORATION SENIOR CO		1	3FE	509,000.00	498,315.01	500,000.00	506,486.86	(8,171.85	)	(912.75	)	—	—	3.4500	3.2208	Jan-Jul	7,954.17	17,250.00		20150224	20240715
Z925TSGY7	ANCF_4 ABS__4-A	D	4	1FE	992,500.00	991,169.20	1,000,000.00	992,998.10	(1,828.90	)	498.10		—	—	3.5000	3.6438	Feb-Aug	13,222.22	1,847.23		20170721	20350215
033287AV5	ANCHC_14-4A ABS_14-4A-A2R 144A	D	4	1FE	1,000,000.00	1,003,301.50	1,000,000.00	1,000,000.00	3,301.50		—		—	—	3.0580	3.0695	J-A-J-O	5,351.43	15,026.05		20170425	20260728
034863AP5	ANGLO AMERICAN CAPITAL PLC SENIOR CORP B	D		2FE	3,227,490.00	3,172,860.28	3,000,000.00	3,219,684.40	(46,824.12	)	(7,805.60	)	—	—	4.8750	3.7290	May-Nov	19,093.76	25,593.75		20170907	20250514
035242AL0	ANHEUSER-BUSCH INBEV FINANCE I SENIOR CO		1	2FE	1,370,817.00	1,380,995.98	1,350,000.00	1,367,373.39	13,622.59		(3,091.38	)	—	—	3.3000	3.0168	Feb-Aug	18,562.50	89,329.16		20161129	20230201
035242AE6	ANHEUSER-BUSCH INBEV FINANCE I SENIOR CO		1	1FE	1,247,525.00	1,250,625.14	1,250,000.00	1,249,441.90	1,183.24		(1,157.98	)	—	—	2.1500	2.1919	Feb-Aug	11,197.92	60,567.29		20140122	20190201
035242AP1	ANHEUSER-BUSCH INBEV FINANCE I SENIOR CO		1	2FE	2,023,465.80	2,078,045.20	2,014,000.00	2,022,767.69	55,277.51		(698.11	)	—	—	3.6500	3.5838	Feb-Aug	30,629.58	25,933.05		20170321	20260201
035242AJ5	ANHEUSER-BUSCH INBEV FINANCE I SENIOR CO		1	1FE	15,493,367.00	15,439,950.86	15,350,000.00	15,486,790.83	(46,839.97	)	(9,202.68	)	—	—	2.6500	2.3977	Feb-Aug	169,489.59	75,399.86		20160113	20210201
035242AG1	ANHEUSER-BUSCH INBEV FINANCE I SENIOR CO		1	1FE	1,549,604.50	1,546,837.97	1,550,000.00	1,549,692.91	(2,854.94	)	(2,729.91	)	—	—	1.9000	1.9038	Feb-Aug	12,270.84	219,542.88		20161128	20190201
03523TAN8	ANHEUSER-BUSCH INBEV WORLDWIDE CORP BND			2FE	2,255,260.00	2,121,699.98	2,000,000.00	2,139,946.37	(18,246.39	)	(66,765.24	)	—	—	5.3750	1.8600	Jan-Jul	49,569.44	107,500.00		20160331	20200115
00182EBE8	ANZ NATIONAL INTERNATIONAL LTD SENIOR CO	D		1FE	768,914.30	764,787.08	770,000.00	769,073.93	(4,286.85	)	159.63		—	—	2.2000	2.2489	Jan-Jul	7,670.06	—		20170711	20200717
00182EBB4	ANZ NATIONAL INTERNATIONAL LTD SENIOR CO	D		1FE	2,350,000.00	2,381,976.46	2,350,000.00	2,350,000.00	31,976.46		—		—	—	2.3880	2.3880	J-A-J-O	9,820.49	58,737.59		20160721	20210728
037401AC0	AOZORA RE LTD CORP BND 144A	D		3FE	250,000.00	251,932.50	250,000.00	250,000.00	1,932.50		—		—	—	3.5494	3.5649	J-A-J-O	2,243.05	8,525.67		20160329	20230407
037401AD8	AOZORA RE LTD SENIOR CORP BND 144A	D			7,125,000.00	7,147,372.50	7,125,000.00	7,125,000.00	22,372.50		—		—	—	3.2188	3.2188	J-A-J-O	54,786.32	416,850.64		20170321	20210407
000366AA2	APOLLO AVIATION SECURITIZATION ABS 17-1A		4		1,908,990.28	1,915,692.00	1,909,000.00	1,908,993.06	6,698.94		3.26		—	—	3.9670	3.9995	Monthly	3,155.42	41,122.14		20170525	20420516
037833AJ9	APPLE INC CORP BND		1	1FE	1,245,387.50	1,247,450.00	1,250,000.00	1,249,681.54	(2,231.54	)	1,730.83		—	—	1.0000	1.0760	May-Nov	2,013.89	29,838.89		20130430	20180503
037833AR1	APPLE INC SENIOR CORP BND			1FE	9,511,188.00	9,447,497.91	9,300,000.00	9,478,005.48	(30,507.57	)	(20,981.66	)	—	—	2.8500	2.5519	May-Nov	40,493.76	105,703.34		20150622	20210506
037833BQ2	APPLE INC SENIOR CORP BND		1	1FE	4,209,995.20	4,178,268.04	4,190,000.00	4,197,815.97	(19,547.93	)	(6,884.80	)	—	—	1.7000	1.7058	Feb-Aug	25,326.22	80,288.88		20160216	20190222
037833BD1	APPLE INC SENIOR CORP BND			1FE	998,900.00	997,160.03	1,000,000.00	998,954.69	(1,794.66	)	54.69		—	—	2.0000	2.0459	May-Nov	2,666.67	(222.22	)	20171115	20200506
037833DJ6	APPLE INC SENIOR CORP BND		1	1FE	1,245,282.50	1,242,049.98	1,250,000.00	1,245,376.74	(3,326.76	)	94.24		—	—	2.0000	2.0290	May-Nov	3,333.33	(1,250.00	)	20171106	20201113
037833CZ1	APPLE INC SENIOR CORP BND		1	1FE	2,497,850.00	2,479,825.02	2,500,000.00	2,498,175.83	(18,350.81	)	447.47		—	—	1.5000	1.5438	Mar-Sep	11,354.17	4,316.67		20170905	20190912
037833AQ3	APPLE INC SENIOR CORP BND			1FE	606,576.00	601,037.98	600,000.00	603,672.52	(2,634.54	)	(2,676.26	)	—	—	2.1000	1.6380	May-Nov	1,925.00	12,600.00		20161128	20190506
037833BZ2	APPLE INC SENIOR CORP BND		1	1FE	468,716.90	450,805.20	470,000.00	468,879.01	(18,073.81	)	117.78		—	—	2.4500	2.4810	Feb-Aug	4,701.96	12,130.22		20160728	20260804
037833CB4	APPLE INC SENIOR CORP BND		1	1FE	5,894,100.00	5,815,571.00	5,900,000.00	5,896,849.91	(81,278.91	)	1,956.98		—	—	1.1000	1.1340	Feb-Aug	26,500.84	64,900.00		20160728	20190802
037833BS8	APPLE INC SENIOR CORP BND		1	1FE	1,736,705.00	1,697,178.00	1,700,000.00	1,726,391.02	(29,213.02	)	(8,410.23	)	—	—	2.2500	1.5100	Feb-Aug	13,600.00	38,250.00		20160824	20210223
BRTE1M348	ARAMARK SERVICES INC SENIOR SECURED TERM		2	3FE	204,843.41	205,782.20	204,843.41	204,843.41	938.79		—		—	—	—	—	M-J-S-D	—	—		20171207	20250307
00191YAP9	ARES_15-1R MEZZANINE ABS_15-1A B2R 144A	D	4		500,000.00	508,028.90	500,000.00	500,000.00	8,028.90		—		—	—	4.2946	4.3175	M-J-S-D	1,610.49	19,081.38		20161214	20251205
BRST927R7	ARIA ENERGY OPERATING LLC SENIOR SECURED		4	4FE	722,712.24	733,662.42	730,012.36	725,190.32	8,472.10		1,681.95		—	—	—	0.1485	F-M-A-N	—	46,861.37		20150518	20220527
040484JY4	ARIZONA BRD REGENTS UNIV ARIZ MUNI BND R		2	1FE	1,654,640.80	1,625,204.20	1,420,000.00	1,575,096.24	50,107.96		(25,264.26	)	—	—	5.0000	2.8691	Feb-Aug	29,583.33	71,000.00		20140930	20270801
04048RMW3	ARIZONA BRD REGENTS UNIV ARIZ MUNITAX BN		1		1,750,000.00	1,746,080.00	1,750,000.00	1,750,000.00	(3,920.00	)	—		—	—	2.0480	2.0480	Jan-Jul	17,920.00	35,840.00		20150305	20190701
04048RMX1	ARIZONA BRD REGENTS UNIV ARIZ MUNITAX BN		1	1FE	200,000.00	199,746.00	200,000.00	200,000.00	(254.00	)	—		—	—	2.3480	2.3480	Jan-Jul	2,348.00	35,609.38		20150305	20200701
04048RMV5	ARIZONA BRD REGENTS UNIV ARIZ MUNITAX BN		1	1FE	1,315,000.00	1,312,580.40	1,315,000.00	1,315,000.00	(2,419.60	)	—		—	—	1.5590	1.5590	Jan-Jul	10,250.43	20,500.86		20150305	20180701
045167CB7	ASIAN DEVELOPMENT BANK SENIOR CORP BND	D		1FE	4,084,000.00	4,001,000.00	4,000,000.00	4,026,810.92	(25,810.92	)	(37,957.26	)	—	—	1.8750	1.0392	Apr-Oct	14,166.67	90,184.33		20160330	20181023

045167EA7	ASIAN DEVELOPMENT BANK SENIOR CORP BND	D			6,984,390.00	6,892,130.00	7,000,000.00	6,986,531.88	(94,401.88	)	2,141.88		—	—	1.7500	1.8080	Jun-Dec	7,826.39	61,250.00		20170531	20210608
00206RDQ2	AT&T INC SENIOR CORP BND		1	2FE	3,997,600.00	4,083,880.00	4,000,000.00	3,997,887.19	85,992.81		310.75		—	—	4.2500	4.2570	Mar-Sep	56,666.67	112,329.86		20170131	20270301
00206REL2	AT&T INC SENIOR CORP BND		1	2FE	5,396,598.00	5,426,028.11	5,400,000.00	5,396,793.38	29,234.73		195.38		—	—	3.4000	3.4101	Feb-Aug	73,440.00	(510.00	)	20170803	20240814
00206RCR1	AT&T INC SENIOR CORP BND		1	2FE	4,861,536.50	4,870,661.49	4,850,000.00	4,859,816.90	10,844.59		(1,225.85	)	—	—	2.8000	2.3738	Feb-Aug	50,547.78	119,976.11		20160129	20210217
00206REM0	AT&T INC SENIOR CORP BND		1	2FE	1,996,540.00	2,011,219.94	2,000,000.00	1,996,663.74	14,556.20		123.74		—	—	3.9000	3.9210	Feb-Aug	31,200.00	—		20170727	20270814
00206RCN0	AT&T INC SENIOR CORP BND		1	2FE	1,794,672.00	1,772,027.98	1,800,000.00	1,795,926.00	(23,898.02	)	478.16		—	—	3.4000	3.4350	May-Nov	7,820.00	61,200.00		20150423	20250515
00206RCL4	AT&T INC SENIOR CORP BND		1	2FE	1,901,227.00	1,896,523.02	1,900,000.00	1,901,142.13	(4,619.11	)	(2,459.14	)	—	—	2.4500	2.4600	Jun-Dec	129.31	107,126.27		20150423	20200630
00206REK4	AT&T INC SENIOR CORP BND		1	2FE	4,319,308.80	4,334,774.53	4,320,000.00	4,319,366.94	15,407.59		58.14		—	—	2.8500	2.8531	Feb-Aug	49,248.00	—		20170727	20230214
00206RCC4	AT&T INC SENIOR CORP BND			2FE	5,173,691.25	5,127,767.55	5,125,000.00	5,144,261.46	(16,493.91	)	(15,883.22	)	—	—	2.3000	1.6401	Mar-Sep	36,017.36	117,875.00		20140930	20190311
00206RER9	AT&T INC SENIOR CORP BND 144a		1	2FE	3,435,752.06	3,458,274.93	3,448,000.00	3,435,805.84	22,469.09		53.78		—	—	4.1000	4.2197	Feb-Aug	11,780.66	490.35		20171201	20280215
00206RES7	AT&T INC SENIORCORPBND144A		1	2FE	506,186.88	510,515.09	510,000.00	506,195.38	4,319.71		8.50		—	—	4.3000	4.3803	Feb-Aug	1,827.50	6,291.67		20171201	20300215
00206RCY6	AT&T INC SENIRO CORP BND		1	2FE	794,707.50	792,772.58	750,000.00	793,692.32	(919.74	)	(1,015.18	)	—	—	5.2000	2.4650	Mar-Sep	11,483.33	(9,533.33	)	20171211	20200315
04941KAK5	ATCLO_13-2A ABS_13-2A-A2LR 144A	D	4	1FE	500,000.00	499,866.50	500,000.00	500,000.00	(133.50	)	—		—	—	2.8659	2.8759	F-M-A-N	1,870.77	3,533.06		20170718	20260217
047870CY4	ATLANTA GA (CITY OF) MUNI BND REV		4	1FE	3,298,070.00	3,345,793.10	2,710,000.00	3,175,301.64	170,491.46		(59,448.45	)	—	—	5.5000	3.4279	May-Nov	24,841.67	254,619.45		20140930	20271101
049382AD6	ATLAS IX CAPITAL DAC SENIOR CORP BND 144	D			1,000,000.00	944,950.00	1,000,000.00	1,000,000.00	(55,050.00	)	—		—	—	8.5650	8.6563	J-A-J-O	21,650.42	84,446.38		20151223	20200108
049382AC8	ATLAS IX CAPITAL LTD CORP BND 144A	D			1,000,000.00	767,270.00	1,000,000.00	1,000,000.00	(232,730.00	)	—		—	—	9.0000	9.0941	J-A-J-O	22,750.00	86,466.33		20150205	20190107
BRTD3JLU7	AUCTION.COM 1st Lien Term Loan				5,136,363.64	5,142,784.09	5,136,363.64	5,136,363.64	6,420.45		—		—	—	—	—	M-J-S-D	—	82,532.10		20170929	20240927
BRTDBWA23	AUCTION.COM SECUREDTERMLOAN				57,070.71	56,835.01	57,070.71	57,070.71	(235.70	)	—		—	—	—	—	M-J-S-D	—	294.08		20171115	20220929
05178RAA3	AURORA MILITARY HOUSING MUNI BND 144A		1	1FE	635,826.00	618,000.00	600,000.00	618,218.31	(218.31	)	(13,643.76	)	—	—	5.3200	4.2156	Jun-Dec	1,418.67	39,900.00		20140930	20201215
BRSVLEZT7	AURORA PARTS AND ACCESSORIES L SENIOR SE				360,681.89	353,215.77	360,681.89	360,681.89	(7,466.12	)	—		—	—	—	—	M-J-S-D	—	4,448.52		20171103	20210817
BRSVLF005	AURORA PARTS AND ACCESSORIES L Term Loan				5,878,883.92	5,864,038.24	5,938,266.57	5,902,080.38	(38,042.14	)	10,407.63		—	—	—	0.1663	M-J-S-D	—	345,183.72		20150817	20210817
0523966M5	AUSTIN TX (CITY OF) MUNITAX BND GO			1FE	386,563.10	386,547.70	385,000.00	385,731.03	816.67		(263.24	)	—	—	2.3840	2.3101	Mar-Sep	3,059.47	9,178.40		20140930	20200901
0523966K9	AUSTIN TX (CITY OF) MUNITAX BND GO			1FE	315,677.25	315,154.35	315,000.00	315,117.94	36.41		(175.51	)	—	—	1.7580	1.7009	Mar-Sep	1,845.90	5,537.70		20140930	20180901
0523966L7	AUSTIN TX (CITY OF) MUNITAX BND GO			1FE	201,750.00	200,036.00	200,000.00	200,610.36	(574.36	)	(357.91	)	—	—	2.1080	1.9206	Mar-Sep	1,405.33	4,216.00		20140930	20190901
05253JAN1	AUSTRALIA & NEW ZEALAND BANKIN SENIOR CO			1FE	1,799,838.00	1,782,539.98	1,800,000.00	1,799,915.98	(17,376.00	)	74.41		—	—	1.6000	1.6031	Jan-Jul	13,280.00	47,422.22		20160711	20190715
05253JAR2	AUSTRALIA & NEW ZEALAND BANKIN SENIOR CO			1FE	1,709,837.85	1,701,588.73	1,715,000.00	1,710,769.76	(9,181.03	)	931.91		—	—	2.1250	2.2220	Feb-Aug	13,362.71	9,110.94		20170515	20200819
053015AD5	AUTOMATIC DATA PROCESSING, INC SENIOR CO		1	1FE	537,521.18	539,350.34	538,000.00	537,734.65	1,615.69		94.22		—	—	2.2500	2.2689	Mar-Sep	3,564.25	12,105.00		20150908	20200915
05329WAL6	AUTONATION INC CORP BND		1	2FE	4,599,908.00	4,663,664.46	4,600,000.00	4,599,908.00	63,756.46		—		—	—	3.3500	3.3511	Jan-Jul	71,057.22	154,100.00		20150916	20210115
053332AU6	AUTOZONE INC SENIOR CORP BND		1	2FE	219,846.00	218,131.32	220,000.00	219,932.24	(1,800.92	)	51.08		—	—	1.6250	1.6490	Apr-Oct	695.14	3,575.02		20160418	20190421
05363XAP2	AVERY_14-5A ABS_14-5A-BR 144A	D	4		1,000,000.00	1,000,388.30	1,000,000.00	1,000,000.00	388.30		—		—	—	2.8533	2.8624	J-A-J-O	6,023.70	4,439.04		20170808	20260717
00248PAP1	AVOCE_14-1A ABS 14-1A-A1A 144A	D	4		1,000,000.00	1,000,677.30	1,000,000.00	1,000,000.00	677.30		—		—	—	2.5192	2.2830	J-A-J-O	5,318.25	12,876.32		20170316	20260715
00248PAQ9	AVOCE_14-1A ABS 14-1A-A2R 144A	D	4	1FE	1,000,000.00	1,000,397.40	1,000,000.00	1,000,000.00	397.40		—		—	—	2.9092	2.9194	J-A-J-O	6,220.85	14,988.82		20170316	20260715
BRTCHJNP3	AWP INC Incremental Term Loan				360,308.66	358,507.12	360,308.66	360,308.66	(1,801.54	)	—		—	—	—	—	M-J-S-D	—	2,841.93		20170830	20210605
BRSU5BEP4	AWP INC Initial Term Loan				3,646,119.18	3,637,003.88	3,646,119.18	3,646,119.18	(9,115.30	)	—		—	—	—	—	M-J-S-D	—	208,189.23		20150609	20210605

BRSU5BES8	AWP INC Revolving Loan				130,307.23	128,912.94	130,307.23	130,307.23	(1,394.29	)	—		—	—		—	—	M-J-S-D	—	10,834.97		20160901	20200605
055065AA4	AZZURRO RE I LTD CORP BND 144A	B			588,215.70	627,248.41	522,000.00	588,215.70	2,620.10		—		—	36,412.61		1.8210	1.8210	J-A-J-O	2,441.41	31,734.94		20150612	20190116
BRTDSBFW0	B&G FOODS INC		2	3FE	1,862,629.19	1,880,964.63	1,869,281.62	1,862,783.46	18,181.17		154.27		—	—		—	0.0710	M-J-S-D	—	6,727.69		20171120	20221102
06759YAC9	BABSN_16-3A ABS 16-3A 144A	D	4		2,000,000.00	2,019,385.60	2,000,000.00	2,000,000.00	19,385.60		—		—	—		3.2592	3.2720	J-A-J-O	13,942.01	52,016.88		20161028	20280115
05522RCU0	BACCT ABS 15-A2 A		4	1FE	1,374,835.07	1,373,515.55	1,375,000.00	1,374,936.59	(1,421.04	)	54.58		—	—		1.3600	1.3667	Monthly	831.11	28,333.29		20150422	20200915
05522RCW6	BACCT_16-A1 SENIOR ABS_17-A1 A1		4	1FE	3,064,118.51	3,049,928.26	3,065,000.00	3,064,297.37	(14,369.11	)	178.86		—	—		1.9500	1.9661	Monthly	2,656.34	42,335.35		20170323	20220815
05522RCX4	BACCT_17-A2 SENIOR ABS 17-A2		4	1FE	2,769,762.89	2,741,259.17	2,770,000.00	2,769,301.11	(28,041.94	)	(461.78	)	—	—		1.8400	1.7994	Monthly	2,265.25	15,715.14		20170817	20230117
06054AAX7	BACM_15-UBS7 LCF SENIOR CMBS_2015-UBS7 A		4	1FM	3,425,469.71	3,475,537.05	3,325,000.00	3,405,391.43	70,145.62		(9,544.99	)	—	—		3.7050	3.3539	Monthly	10,265.94	123,191.28		20150914	20480915
05723KAA8	BAKER HUGHES INC SENIORCORPBND144A		1	1FE	845,000.00	844,890.15	845,000.00	845,000.00	(109.85	)	—		—	—		2.7730	2.7728	Jun-Dec	1,366.86	—		20171206	20221215
BRSHC6N35	BAKERCORP INTERNATIONAL INC SENIOR SECUR		4	4FE	1,124,304.03	1,107,439.47	1,124,304.03	1,124,304.03	(16,864.56	)	—		—	—		—	—	M-J-S-D	—	48,936.80		20130206	20200207
059165EG1	BALTIMORE GAS & ELECTRIC CO SENIOR CORP		1	1FE	149,550.00	141,672.00	150,000.00	149,605.30	(7,933.30	)	40.64		—	—		2.4000	2.4340	Feb-Aug	1,360.01	3,570.00		20160815	20260815
05964HAA3	BANCO SANTANDER SA SENIOR CORP BND	D		2FE	8,058,973.60	8,217,360.24	8,000,000.00	8,057,783.22	159,577.02		(1,190.38	)	—	—		2.9164	2.9164	J-A-J-O	53,143.11	77,405.82		20170404	20220411
BRSYWHG22	BANK NEDERLANDSE GEMEENTEN SENIOR CORP B	B			2,263,767.40	2,243,772.89	1,650,000.00	2,260,080.86	6,717.00		(3,834.07	)	—	(23,024.97	)	1.1250	1.1981	March	20,638.70	25,239.35		20160126	20190307
N6520YQG6	BANK NEDERLANDSE GEMEENTEN SENIOR CORP B	D			793,992.00	792,016.00	800,000.00	794,278.93	(2,262.93	)	286.93		—	—		1.6250	2.0110	May-Nov	1,300.00	(72.22	)	20171122	20191125
N6520YLT3	BANK NEDERLANDSE GEMEENTEN SENIOR CORP B	B		1FE	347,569.00	374,538.98	275,000.00	347,244.12	1,170.82		(324.88	)	—	26,124.04		1.1250	1.0120	May	2,545.44	1,130.36		20170131	20210524
62944BBJ2	BANK NEDERLANDSE GEMEENTEN SENIOR CORP B	D			2,082,562.04	2,078,771.24	2,084,000.00	2,083,711.51	(4,940.27	)	719.82		—	—		1.1250	1.1600	May-Nov	2,344.50	23,445.00		20160518	20180525
N1R20N4H9	BANK NEDERLANDSE GEMEENTEN SENIOR CORP B	B		1FE	2,553,546.36	2,711,470.22	1,980,000.00	2,542,710.99	(801.56	)	(10,835.37	)	—	169,560.79		1.3750	0.7348	December	2,320.71	21,203.17		20170308	20191209
060505EN0	BANK OF AMERICA CORP CAPSEC CORP BND		2	3FE	1,428,637.50	1,511,257.50	1,377,000.00	1,417,293.30	93,964.20		(4,429.30	)	—	—		6.1000	5.6009	Mar-Sep	24,265.80	83,997.00		20150415	20491231
060505EH3	BANK OF AMERICA CORP CAPSEC CORP BND		2	3FE	3,871,909.50	4,197,600.00	3,816,000.00	3,858,742.47	338,857.53		(5,490.93	)	—	—		6.2500	6.2495	Mar-Sep	76,850.00	314,194.44		20140902	20491231
U0662KCL3	BANK OF AMERICA CORP CORP BND			1FE	2,137,782.67	2,200,791.21	1,500,000.00	2,089,124.53	(644.11	)	(48,658.14	)	—	112,310.79		5.5000	1.0883	Jun-Dec	8,584.75	54,034.11		20170221	20191204
06051GGK9	BANK OF AMERICA CORP SENIOR CORP BND		1	1FE	15,201,647.00	15,197,307.22	15,170,000.00	15,199,172.76	(1,865.54	)	(2,474.24	)	—	—		2.8810	2.8810	Apr-Oct	81,339.45	185,680.46		20170419	20230424
06051GGP8	BANK OF AMERICA CORP SENIOR CORP BND		1	2FE	4,585,000.00	4,574,912.96	4,585,000.00	4,585,000.00	(10,087.04	)	—		—	—		2.3690	2.3690	Jan-Jul	48,274.95	—		20170718	20210721
06051GFX2	BANK OF AMERICA CORP SENIOR CORP BND		1	1FE	2,487,284.00	2,456,207.89	2,400,000.00	2,477,540.09	(21,332.20	)	(8,096.98	)	—	—		3.5000	3.0510	Apr-Oct	16,800.00	84,000.00		20161012	20260419
06050TME9	BANK OF AMERICA CORP SENIOR CORP BND			1FE	4,704,215.00	4,698,872.00	4,700,000.00	4,701,527.56	(2,655.56	)	(1,613.78	)	—	—		2.0500	2.0500	Jun-Dec	6,423.33	96,350.00		20151203	20181207
06051GGT0	BANK OF AMERICA CORP SENIOR CORP BND		1	1FE	996,630.00	996,279.99	1,000,000.00	996,644.39	(364.40	)	14.39		—	—		3.0930	3.1416	Apr-Oct	8,849.41	(8,076.17	)	20171220	20251001
06051GGF0	BANK OF AMERICA CORP SENIOR CORP BND		1	3FE	3,000,000.00	3,103,169.85	3,000,000.00	3,000,000.00	103,169.85		—		—	—		3.8240	3.8240	Jan-Jul	51,305.33	75,470.89		20170117	20280120
06051GFT1	BANK OF AMERICA CORP SENIOR CORP BND MTN			1FE	1,007,270.00	1,007,179.95	1,000,000.00	1,004,649.10	2,530.85		(1,440.16	)	—	—		2.6250	2.4519	Apr-Oct	5,250.00	111,688.28		20160427	20201019
06051GFZ7	BANK OF AMERICA CORP SENIOR CORP BND MTN		1	1FE	3,822,468.00	3,858,153.08	3,900,000.00	3,836,220.13	21,932.95		12,272.86		—	—		2.5030	2.8701	Apr-Oct	18,981.08	97,617.00		20161115	20221021
U5904QAC9	BANK OF AMERICA CORP SUB COROP BND			2FE	748,402.32	772,360.33	500,000.00	724,413.06	17,975.64		(18,156.12	)	—	29,971.62		5.5000	2.6526	November	4,076.78	34,129.48		20160701	20211122
060505EG5	BANK OF AMERICA CORP SUB CORP BND		2	3FE	4,862,500.00	5,100,000.00	5,000,000.00	4,862,500.00	237,500.00		—		—	—		5.1250	5.2699	Jun-Dec	9,965.27	256,250.00		20160929	20190915
06051GFL8	BANK OF AMERICA CORP SUB CORP BND			2FE	507,175.00	526,870.01	500,000.00	505,755.00	21,115.01		(1,500.55	)	—	—		4.2500	4.0930	Apr-Oct	4,072.92	72,427.08		20150312	20261022
06051GFD6	BANK OF AMERICA SENIOR CORP BND MTN			1FE	1,008,770.00	1,006,630.11	1,000,000.00	1,008,405.19	(1,775.08	)	(47,533.47	)	—	—		2.6500	1.9637	Apr-Oct	6,625.00	213,104.17		20171208	20190401
G0R18RAN4	BANK OF ENGLAND SENIOR GOVT BND MTN	D			3,114,283.55	3,091,637.50	3,115,000.00	3,114,476.53	(22,839.03	)	192.98		—	—		1.7500	1.7579	Mar-Sep	17,413.72	27,256.25		20170227	20200306
06367XF30	BANK OF MONTREAL SECURED LOCAL BND 144A	A		1FE	1,003,160.00	976,050.03	1,000,000.00	1,002,307.79	(26,257.76	)	(643.78	)	—	—		1.7500	1.6809	Jun-Dec	777.78	17,500.00		20160824	20210615

06367TPX2	BANK OF MONTREAL SENIOR CORP BND	A		1FE	294,873.15	294,023.55	295,000.00	294,916.85	(893.30	)	41.43		—	—	2.1000	2.1149	Jun-Dec	326.96	6,195.00		20161207	20191212
06367TYL8	BANK OF MONTREAL SENIOR CORP BND	A		1FE	199,982.00	198,804.00	200,000.00	199,985.20	(1,181.20	)	3.20		—	—	2.1000	2.1031	Jun-Dec	186.67	2,100.00		20170612	20200615
06367THQ6	BANK OF MONTREAL SENIOR CORP BND MTN	A		1FE	7,841,435.20	7,770,558.98	7,855,000.00	7,845,176.21	(74,617.23	)	2,739.81		—	—	1.5000	1.5329	Jan-Jul	53,348.54	108,158.33		20160713	20190718
06367THR4	BANK OF MONTREAL SENIOR CORP BND MTN	A		1FE	2,000,000.00	2,012,759.86	2,000,000.00	2,000,000.00	12,759.86		—		—	—	2.0039	2.0039	J-A-J-O	8,349.54	48,863.10		20160713	20190718
06367VCT0	BANK OF MONTREAL SENIOR LOCAL BND				479,225.05	485,382.50	600,000.00	478,774.65	(2,773.14	)	(450.40	)	—	9,380.99	2.8400	2.0159	Jun-Dec	1,046.15	602.98		20171115	20200604
064058AF7	BANK OF NEW YORK MELLON CORP/T CAPSEC CO		2	2FE	8,886,875.00	9,124,850.00	8,990,000.00	8,886,875.00	237,975.00		—		—	—	4.6250	4.6250	Mar-Sep	116,651.49	370,468.93		20160725	20211115
06406HCW7	BANK OF NEW YORK MELLON CORP/T SENIOR CO		2	1FE	1,007,930.00	1,001,900.10	1,000,000.00	1,003,464.38	(1,564.28	)	(2,128.28	)	—	—	2.3000	2.0766	Mar-Sep	7,027.78	23,000.00		20151110	20190911
06406HCR8	BANK OF NEW YORK MELLON CORP/T SENIOR CO		2	1FE	11,055,795.00	11,015,949.68	11,000,000.00	11,029,021.72	(13,072.04	)	(29,428.15	)	—	—	2.2000	2.2230	Mar-Sep	78,650.00	253,314.72		20140128	20190304
06406HCK3	BANK OF NEW YORK MELLON CORP/T SENIOR CO			1FE	6,000,000.00	6,002,340.06	6,000,000.00	6,000,000.00	2,340.06		—		—	—	1.9485	1.9485	M-J-S-D	8,443.46	99,307.97		20140602	20180306
06406HCU1	BANK OF NEW YORK MELLON CORP/T SENIOR CO		2	1FE	1,996,120.00	2,003,359.98	2,000,000.00	1,998,900.05	4,459.93		782.16		—	—	2.2000	2.2410	May-Nov	5,622.22	44,000.00		20140502	20190515
06406HDB2	BANK OF NEW YORK MELLON CORP/T SENIOR CO		2	1FE	1,999,820.00	1,997,800.00	2,000,000.00	1,999,975.70	(2,175.70	)	61.78		—	—	1.6000	1.6031	May-Nov	3,466.67	32,000.00		20150522	20180522
06406HCE7	BANK OF NEW YORK MELLON CORP/T SENIOR CO			1FE	299,634.00	299,883.00	300,000.00	299,990.49	(107.49	)	145.16		—	—	1.3000	1.3489	Jan-Jul	1,690.00	3,900.00		20150707	20180125
06406FAA1	BANK OF NEW YORK MELLON CORP/T SENIOR CO		1	1FE	855,270.00	851,844.59	850,000.00	853,478.54	(1,633.95	)	(1,029.65	)	—	—	2.5000	2.3668	Apr-Oct	4,486.11	21,250.00		20160315	20210415
06406GAA9	BANK OF NEW YORK MELLON CORP/T SUB CORP		2	1FE	69,923.00	68,068.00	70,000.00	69,929.38	(1,861.38	)	5.46		—	—	3.0000	3.0110	Apr-Oct	355.84	2,100.00		20161024	20281030
064159KJ4	BANK OF NOVA SCOTIA CAPSEC CORP BND	A	2	2FE	1,540,000.00	1,531,206.61	1,540,000.00	1,540,000.00	(8,793.39	)	—		—	—	4.6500	4.6476	Apr-Oct	15,714.41	—		20171004	20491231
BRT4U9WD5	BANK OF NOVA SCOTIA SECURED LOCAL BND			1FE	1,979,622.14	2,005,526.28	1,500,000.00	1,980,390.42	(13,749.47	)	768.28		—	38,885.33	0.7500	0.8820	September	4,544.69	—		20170912	20210914
064159JX5	BANK OF NOVA SCOTIA SENIOR CORP BND	A		1FE	2,499,650.00	2,486,274.90	2,500,000.00	2,499,702.77	(13,427.87	)	52.77		—	—	2.1500	2.1548	Jan-Jul	24,934.03	—		20170711	20200714
064159HC3	BANK OF NOVA SCOTIA SENIOR CORP BND	A		1FE	1,523,185.25	1,522,590.55	1,525,000.00	1,524,359.94	(1,769.39	)	604.39		—	—	1.9500	1.9911	Jan-Jul	13,712.29	29,737.50		20160112	20190115
064151BL6	BANK OF NOVA SCOTIA SENIORCORPBND				470,771.04	477,639.17	600,000.00	470,733.68	(2,317.95	)	(37.36	)	—	9,223.45	2.1300	2.0333	Jun-Dec	475.06	753.73		20171115	20200615
G40096AY8	BANK OF SCOTLAND PLC CORP BND	B		1FE	699,866.71	729,763.04	500,000.00	670,443.09	4,615.61		(27,202.39	)	—	54,704.34	6.3750	1.8090	August	16,169.60	39,866.06		20161130	20190816
060352AF8	BANK_17-BNK6 CMBS_17-BNK6-A5		4		988,733.38	990,575.98	960,000.00	987,581.65	2,994.33		(1,151.73	)	—	—	3.5180	3.1613	Monthly	2,814.40	11,632.85		20170714	20600715
06739GBP3	BARCLAYS BANK PLC CORP BND	D		2FE	4,377,960.00	4,234,399.72	4,000,000.00	4,180,991.28	53,408.44		(76,940.56	)	—	—	5.1400	3.4210	Apr-Oct	43,975.56	276,275.00		20140819	20201014
06742LAM5	BARCLAYS DRYROCK ISSUANCE TRUS SENIOR AB		4	1FE	1,599,761.92	1,584,569.08	1,600,000.00	1,599,874.57	(15,305.49	)	80.87		—	—	1.5200	1.5300	Monthly	1,080.88	25,823.03		20160727	20220516
06738EAU9	BARCLAYS PLC SENIOR CORP BND	D	1	2FE	400,000.00	414,067.99	400,000.00	400,000.00	14,067.99		—		—	—	4.3370	4.3370	Jan-Jul	8,240.30	8,674.00		20170103	20280110
06738EAL9	BARCLAYS PLC SENIOR CORP BND	D		2FE	2,148,817.50	2,173,628.47	2,150,000.00	2,149,260.80	24,367.67		266.06		—	—	3.2500	3.2620	Jan-Jul	32,802.43	92,895.83		20160105	20210112
06738EAD7	BARCLAYS PLC SENIOR CORP BND	D		2FE	2,584,954.60	2,575,962.46	2,570,000.00	2,582,919.75	(6,957.29	)	(3,369.28	)	—	—	2.7500	2.8261	May-Nov	10,404.92	43,965.62		20141103	20191108
06738EAS4	BARCLAYS PLC SENIOR CORP BND	D	1	2FE	6,741,340.00	6,790,819.04	6,690,000.00	6,736,640.39	54,178.65		(4,699.61	)	—	—	3.6840	3.0610	Jan-Jul	117,068.32	121,720.39		20170103	20230110
G0809LEB1	BARCLAYS PLC SENIOR CORP BND EMTN	B		3FE	545,733.16	636,332.61	450,000.00	546,032.34	29,941.31		315.57		—	60,358.96	3.1250	3.1710	January	18,189.16	897.93		20170110	20240117
BRT6JNXZ2	BASS PRO GROUP LLC SENIOR SECURED TERM L			1FE	1,723,453.95	1,725,830.37	1,736,139.57	1,725,187.08	643.29		3,115.72		—	—	—	0.1427	M-J-S-D	—	158,892.73		20161115	20231215
U05526AE5	BAT CAPITAL CORP SENIOR CORP BND			2	4,000,000.00	3,976,080.00	4,000,000.00	4,000,000.00	(23,920.00	)	—		—	—	2.2970	2.2970	Feb-Aug	34,710.22	—		20170808	20200814
05526DAQ8	BAT CAPITAL CORP SENIOR CORP BND 144A		1	2FE	3,926,927.50	3,912,255.58	3,935,000.00	3,927,143.73	(14,888.15	)	216.23		—	—	2.2970	2.4580	Feb-Aug	34,146.19	(12,282.58	)	20170808	20200814
05526DAU9	BAT CAPITAL CORP SENIOR CORP BND 144A		1	2FE	3,500,000.00	3,476,620.05	3,500,000.00	3,500,000.00	(23,379.95	)	—		—	—	2.7640	2.7640	Feb-Aug	36,546.23	—		20170808	20220815
05530QAG5	BAT INTL FIN PLC SENIOR CORP BND 144A	D	1	2FE	5,102,294.40	4,983,609.89	4,960,000.00	5,058,117.44	(74,507.55	)	(33,915.75	)	—	—	2.7500	1.8280	Jun-Dec	6,062.22	108,595.98		20160831	20200615
BRT31LED2	BAT INTL FIN PLC SENIOR CORP BND EMTN	B	2	1FE	1,342,925.07	1,371,720.30	1,000,000.00	1,332,152.87	(10,504.66	)	(8,113.84	)	—	50,072.08	1.7500	1.7700	July	11,674.41	26,009.10		20160630	20210705

07177MAG8	BAXALTA INC SENIOR CORP BND		1	2FE	3,868,411.49	3,869,651.70	3,870,000.00	3,869,632.90	18.80		765.67		—	—		2.0000	2.0208	Jun-Dec	1,935.00	77,400.00		20160603	20180622
07177MAD5	BAXALTA INC SENIOR CORP BND 144A		1	2FE	5,763,504.00	5,783,924.37	5,750,000.00	5,763,609.32	20,315.05		(61.84	)	—	—		2.8750	2.5354	Jun-Dec	3,673.61	109,250.00		20160603	20200623
072863AA1	BAYLOR SCOTT & WHITE HOLDINGS MUNITAX BN		1	1FE	750,000.00	745,357.05	750,000.00	750,000.00	(4,642.95	)	—		—	—		2.1230	2.1210	May-Nov	2,034.55	15,922.52		20150415	20201115
05531FAW3	BB&T CORP SENIOR CORP BND			1FE	1,350,000.00	1,355,062.50	1,350,000.00	1,350,000.00	5,062.50		—		—	—		2.1585	2.1585	Jun-Dec	1,376.04	23,186.10		20161222	20200615
05531FAZ6	BB&T CORP SENIORCORPBND		2		7,206,683.40	7,139,990.83	7,210,000.00	7,206,795.68	(66,804.85	)	112.28		—	—		2.1500	2.1651	Feb-Aug	27,988.83	—		20171023	20210201
BRTD33ZB9	BEACON ROOFING SENIOR SECURED TERM NOTES		2	4FE	218,338.56	219,905.99	219,435.74	218,338.56	1,567.43		—		—	—		—	0.0708	M-J-S-D	—	—		20171013	20250102
075887BT5	BECTON DICKINSON AND COMPANY SENIOR CORP		1	2FE	4,000,000.00	3,973,920.00	4,000,000.00	4,000,000.00	(26,080.00	)	—		—	—		2.8940	2.8940	Jun-Dec	8,038.90	57,880.00		20170522	20220606
075887BR9	BECTON DICKINSON AND COMPANY SENIOR CORP		1	2FE	921,190.00	919,662.73	925,000.00	921,268.36	(1,605.63	)	78.36		—	—		2.4040	2.6170	Jun-Dec	1,544.23	1,752.92		20170522	20200605
BRTB6GDJ8	BELMOND INTERFIN LTD SENIOR SECURED TERM	C		4FE	1,302,263.68	1,308,807.70	1,308,807.70	1,302,704.57	6,103.13		473.79		—	—		—	0.0709	M-J-S-D	—	24,698.32		20170627	20240703
BRTDA8B67	BELRONFINANCEUSLLC SENIOR SECURED TERM L		2	3FE	151,366.71	152,977.00	151,556.16	151,370.13	1,606.87		4.30		—	—		—	0.0177	M-J-S-D	—	—		20171027	20241107
081653CH8	BEND ORE MUNI BND REV		2	1FE	585,160.00	590,540.00	500,000.00	577,491.17	13,048.83		(7,668.83	)	—	—		5.0000	2.9101	Jun-Dec	2,083.33	21,805.56		20170111	20361201
BRSSLJ0J3	BENDON INC Revolving Loan				465,495.72	365,009.16	465,495.72	465,495.72	(100,486.56	)	—		—	—		—	—	M-J-S-D	—	40,763.85		20150414	20210330
BRSSLJ0T1	BENDON INC Term Loan				5,232,084.25	4,185,667.40	5,232,084.25	5,232,084.25	(1,046,416.85	)	—		—	—		—	—	M-J-S-D	—	383,816.47		20150414	20210330
59562VAX5	BERKSHIRE HATHAWAY ENERGY CO SENIOR CORP		1	1FE	1,004,070.00	999,350.00	1,000,000.00	1,001,056.26	(1,706.26	)	(1,825.82	)	—	—		2.0000	1.8649	May-Nov	2,555.56	28,138.89		20150828	20181115
BRTBWJ4K0	BERRY PLASTICS CORP SENIOR SECURED TERM		2	3FE	199,654.25	201,076.37	200,387.44	199,705.61	1,370.76		51.36		—	—		—	0.0707	M-J-S-D	—	2,611.03		20170823	20221001
BRT5C0FT5	BESTOP INC First Amendment Term Loan				2,191,353.41	2,180,396.64	2,191,353.41	2,191,353.41	(10,956.77	)	—		—	—		—	—	M-J-S-D	—	160,634.86		20160920	20210730
BRSV3DL15	BESTOP INC Term Loan				3,627,062.23	3,590,791.61	3,627,062.23	3,627,062.23	(36,270.62	)	—		—	—		—	—	M-J-S-D	—	235,992.77		20150730	20210730
09062XAC7	BIOGEN IDEC INC SENIOR CORP BND		1	2FE	5,412,811.60	5,438,413.30	5,361,000.00	5,397,687.03	40,726.27		(12,598.39	)	—	—		2.9000	2.9450	Mar-Sep	45,776.97	160,068.73		20150910	20200915
095538AC8	BLUE HALO RE LTD SENIOR CORP BND 144A	D			750,000.00	735,697.50	750,000.00	750,000.00	(14,302.50	)	—		—	—		9.6158	9.7344	M-J-S-D	3,405.59	129,747.16		20160718	20190726
095538AA2	BLUE HALO RE LTD UNSEC CORP BND 144A	D			1,000,000.00	865,770.00	1,000,000.00	1,000,000.00	(134,230.00	)	—		—	—		15.3658	15.6573	M-J-S-D	7,256.06	148,523.10		20160610	20190621
095538AB0	BLUE HALO RE LTD UNSEC CORP BND 144A	D			400,000.00	193,228.00	400,000.00	400,000.00	(206,772.00	)	—		—	—		21.1158	21.6662	M-J-S-D	3,988.54	82,771.83		20160610	20190621
09626QAS6	BLUEMOUNTAIN CLO LTD BLUEM_14- ABS _14-2	D	4		500,000.00	500,174.35	500,000.00	500,000.00	174.35		—		—	—		3.2626	3.2754	J-A-J-O	3,307.92	4,097.76		20170626	20260720
BRT9DBXR6	BMC SOFTWARE FINANCE INC SENIOR SECURED			4FE	2,001,654.85	2,004,507.85	2,003,568.18	2,001,893.91	2,613.94		405.46		—	—		—	—	M-J-S-D	—	94,143.87		20170501	20220910
05590HAR8	BMW CANADA INC SENIOR CORP BND				464,421.14	471,552.74	600,000.00	464,638.02	(2,189.29	)	216.88		—	9,104.00		1.7800	2.1766	Apr-Oct	1,732.88	(664.23	)	20171115	20201019
N1430ZAT2	BMW FIN N.V. CORP BND EMTN	B		1FE	3,370,452.30	3,325,652.46	2,400,000.00	3,272,524.29	6,271.25		(70,421.64	)	—	46,856.92		3.3750	1.5841	December	5,403.60	95,992.41		20160106	20181214
BRSTFLXF5	BMW FIN N.V. SENIOR CORP BND EMTN	B		1FE	618,913.24	618,352.75	448,000.00	617,644.32	959.45		(1,268.92	)	—	(251.02	)	1.8750	1.1039	June	5,790.51	(2,584.99	)	20170918	20200629
05565EAK1	BMW US CAPITAL LLC SENIOR CORP BND 144A		1	1FE	2,621,718.75	2,594,812.44	2,625,000.00	2,623,123.66	(28,311.22	)	1,084.10		—	—		1.4500	1.4928	Mar-Sep	11,207.29	38,062.50		20160908	20190913
05565EAM7	BMW US CAPITAL LLC SENIOR CORP BND 144A		1	1FE	947,064.50	923,114.99	950,000.00	947,574.38	(24,459.39	)	393.84		—	—		2.2500	2.2980	Mar-Sep	6,293.75	21,375.00		20160908	20230915
05565EAP0	BMW US CAPITAL LLC SENIOR CORP BND 144A		1	1FE	502,885.00	498,255.01	500,000.00	502,652.27	(4,397.26	)	(232.73	)	—	—		2.1500	1.9090	Apr-Oct	2,538.19	(388.19	)	20171017	20200406
05565EAF2	BMW US CAPITAL LLC SENIOR CORP BND 144A		1	1FE	359,096.40	354,693.60	360,000.00	359,397.93	(4,704.33	)	176.01		—	—		2.0000	2.0531	Apr-Oct	1,600.00	7,200.00		20160404	20210411
05565EAD7	BMW US CAPITAL LLC SENIOR CORP BND 144A			1FE	444,804.20	441,929.50	445,000.00	444,915.75	(2,986.25	)	292.45		—	—		1.5000	1.5151	Apr-Oct	1,483.33	41,966.67		20160404	20190411
05582QAD9	BMW VEHICLE OWNER TRUST BMWOT_ SENIOR AB		4	1FE	2,999,986.50	2,975,590.80	3,000,000.00	2,999,970.98	(24,380.18	)	(10.75	)	—	—		1.1600	1.1624	Monthly	580.00	34,800.00		20160712	20201125
09658UAD1	BMWOT_14-A ABS 14-A-A4		4	1FE	675,637.00	674,885.13	675,709.51	675,689.33	(804.20	)	32.35		—	—		1.5000	1.5072	Monthly	168.93	14,149.54		20141008	20210225
05582QAE7	BMWOT_16-A SENIOR ABS 16-A		4	1FE	2,396,960.94	2,385,901.43	2,425,000.00	2,402,907.04	(17,005.61	)	5,946.10		—	—		1.3700	1.8075	Monthly	553.71	18,826.07		20170525	20221225

05581KAB7	BNP PARIBAS SA SENIOR CORP BND 144A	D		1FE	2,896,767.00	2,920,908.68	2,825,000.00	2,893,264.67	27,644.01		(3,441.22	)	—	—	3.8000	3.1540	Jan-Jul	50,991.25	14,125.96		20170103	20240110
F105C9MT2	BNP PARIBAS SA SENIOR CORP BND EMTN	B			760,505.74	788,624.29	590,000.00	761,259.88	(5,194.87	)	670.37		—	32,559.27	1.1250	1.1570	August	3,394.74	7,613.81		20160808	20220816
097023AZ8	BOEING CO CORP BND			1FE	1,078,660.00	1,056,069.95	1,000,000.00	1,063,366.06	(7,296.11	)	(15,293.94	)	—	—	4.8750	1.8172	Feb-Aug	18,416.67	7,177.08		20170619	20200215
097023BM6	BOEING CO SENIOR CORP BND		1	1FE	376,858.82	376,732.22	382,000.00	379,031.97	(2,299.75	)	1,012.00		—	—	1.6500	1.9049	Apr-Oct	1,068.01	6,303.00		20151027	20201030
097023BG9	BOEING CO SENIOR CORP BND		1	1FE	555,203.00	550,319.00	550,000.00	553,082.85	(2,763.85	)	(847.90	)	—	—	2.3500	2.1950	Apr-Oct	2,190.07	15,226.04		20150304	20211030
09785EAA9	BONANZA RE LTD SENIOR CORP BND 144A	D			250,000.00	241,707.50	250,000.00	250,000.00	(8,292.50	)	—		—	—	4.8582	4.9069	Monthly	1,045.87	12,058.14		20161128	20191231
09785EAB7	BONANZA RE LTD SENIOR CORP BND 144A	D			250,000.00	240,257.50	250,000.00	250,000.00	(9,742.50	)	—		—	—	6.3205	6.4030	Monthly	1,360.66	15,253.14		20161128	20191231
10011AAA1	BOSPHORUS LTD SENIOR CORP BND 144A	D			540,000.00	544,957.20	540,000.00	540,000.00	4,957.20		—		—	—	4.7613	4.7901	M-J-S-D	1,714.05	47,302.48		20150811	20180817
BRT8YDGX7	BOYD GAMING CORPORATION SENIOR SECURED T			3FE	672,611.71	675,974.77	672,611.71	672,611.71	3,363.06		—		—	—	—	—	M-J-S-D	—	18,697.21		20170309	20230915
G1279MKC9	BP CAPITAL MARKETS PLC CORP BND MTN	B		1FE	1,468,608.73	1,467,160.15	1,050,000.00	1,406,703.39	(1,367.48	)	(48,753.55	)	—	61,824.25	4.3250	0.6869	December	3,702.74	57,081.24		20160920	20181210
05565QCZ9	BP CAPITAL MARKETS PLC SENIOR CORP BND	D	1	1FE	875,000.00	894,582.49	875,000.00	875,000.00	19,582.49		—		—	—	3.0620	3.0620	Mar-Sep	7,740.06	26,792.50		20150312	20220317
05565QCX4	BP CAPITAL MARKETS PLC SENIOR CORP BND	D		1FE	962,706.85	958,160.99	955,000.00	960,490.52	(2,329.53	)	(2,216.33	)	—	—	2.3150	2.0361	Feb-Aug	8,474.83	10,992.71		20170208	20200213
05565QDC9	BP CAPITAL MARKETS PLC SENIOR CORP BND	D	1	1FE	1,700,000.00	1,691,550.97	1,700,000.00	1,700,000.00	(8,449.03	)	—		—	—	1.6760	1.6760	May-Nov	4,590.38	45,587.20		20160428	20190503
05565QCT3	BP CAPITAL MARKETS PLC SENIOR CORP BND	D	1	1FE	756,157.50	755,182.45	750,000.00	756,013.81	(831.36	)	(143.69	)	—	—	2.5210	2.1167	Jan-Jul	8,718.46	(7,773.08	)	20171211	20200115
05565QCF3	BP CAPITAL MARKETS PLC SENIOR CORP BND	D		1FE	500,000.00	500,560.50	500,000.00	500,000.00	560.50		—		—	—	1.9198	1.9198	F-M-A-N	1,386.53	23,194.71		20130507	20180510
BRT9DG8T9	BRACKET HOLDING CORP Revolver				257,069.42	254,318.78	257,069.42	257,069.42	(2,750.64	)	—		—	—	—	—	M-J-S-D	—	22,240.13		20170314	20220406
BRT9DG661	BRACKET HOLDING CORP Term Loan				6,350,754.10	6,334,877.22	6,350,754.10	6,350,754.10	(15,876.88	)	—		—	—	—	—	M-J-S-D	—	301,910.80		20170314	20230406
07330NAN5	BRANCH BANKING AND TRUST COMPA SENIOR CO		2		4,647,685.74	4,635,492.19	4,650,000.00	4,648,339.24	(12,847.05	)	653.50		—	—	2.1000	2.1029	Jan-Jul	45,027.50	40,796.00		20170123	20200115
10620NCG1	BRAZOS HIGHER EDUCATION AUTHOR ABS 11-1		4	1FE	1,463,527.75	1,490,817.09	1,483,518.22	1,477,978.99	12,838.10		3,221.67		—	—	2.2623	2.4984	F-M-A-N	3,262.98	33,897.28		20110310	20300225
110122AV0	BRISTOL-MYERS SQUIBB CO SENIOR CORP BND			1FE	7,365,963.00	7,374,840.30	7,400,000.00	7,388,680.98	(13,840.68	)	9,632.66		—	—	1.7500	1.8890	Mar-Sep	43,166.67	131,284.03		20150720	20190301
BRSQK8KF8	BRITISH SKY BROADCASTING GRP P SENIOR CO	B		2FE	923,806.47	991,398.37	700,000.00	909,195.28	3,039.40		(12,830.85	)	—	79,163.69	2.8750	1.3202	November	2,834.30	25,086.82		20161109	20201124
111013AM0	BRITISH SKY BROADCASTING GRP P SENIOR CO	D	1	2FE	5,111,910.15	5,124,616.41	5,115,000.00	5,113,872.76	10,743.65		637.01		—	—	2.6250	2.6570	Mar-Sep	39,161.71	134,268.78		20140909	20190916
11102AAA9	BRITISH TELECOMMUNICATIONS PLC CORP BND	D		2FE	1,121,760.00	1,001,300.00	1,000,000.00	1,001,540.14	(240.14	)	(40,268.54	)	—	—	5.9500	1.8639	Jan-Jul	27,436.11	59,500.00		20141211	20180115
G15820AM8	BRITISH TELECOMMUNICATIONS PLC SENIOR LO	B		2FE	1,568,052.46	1,573,281.13	1,000,000.00	1,528,421.80	(6,167.87	)	(39,630.66	)	—	51,027.20	8.6250	0.9260	March	89,126.50	(40,787.49	)	20170623	20200326
11134LAE9	BROADCOM CORPORATION/BROADCOM SENIOR COR		1	2FE	779,188.80	775,873.80	780,000.00	779,285.14	(3,411.34	)	96.34		—	—	3.6250	3.6420	Jan-Jul	13,037.92	13,823.34		20170111	20240115
11134LAA7	BROADCOM CORPORATION/BROADCOM SENIOR COR		1	2FE	15,031,324.30	14,951,270.60	15,055,000.00	15,038,356.25	(87,085.65	)	7,031.95		—	—	2.3750	2.4539	Jan-Jul	164,873.17	124,539.72		20170111	20200115
11134LAJ8	BROADCOM CORPORATION/BROADCOM SENIOR COR		1	2FE	3,995,480.00	3,908,039.84	4,000,000.00	3,995,694.88	(87,655.04	)	214.88		—	—	2.2000	2.2349	Jan-Jul	18,088.89	—		20171010	20210115
115637AN0	BROWN-FORMAN CORPORATION SENIOR CORP BND		1	1FE	1,295,697.00	1,299,556.70	1,300,000.00	1,299,967.09	(410.39	)	862.51		—	—	1.0000	1.0669	Jan-Jul	5,994.44	13,000.00		20121210	20180115
07387AAW5	BSARM CMO_05-3 2A1		4	1FM	394,381.96	405,853.62	401,789.96	395,477.41	10,376.21		(1,552.60	)	—	—	3.6074	3.9476	Monthly	1,207.86	16,893.65		20070810	20350625
07384M3D2	BSARM_04-10 CMO 04-9 22A1		4	2FE	273,640.76	279,938.48	278,940.63	274,373.56	5,564.92		2,603.48		—	—	3.8686	4.3034	Monthly	899.25	13,415.19		20070813	20341125
BRTDAT4Q5	BSKY_UK1 SENIORABSUK1	B	4		2,689,190.00	2,768,055.45	2,050,000.00	2,689,190.00	(5,082.05	)	—		—	83,947.50	0.8675	0.8691	Monthly	790.91	1,911.21		20171024	20251120
119798AA4	BUFFALO RE LTD SENIOR CORP BND 144A	D			250,000.00	248,117.50	250,000.00	250,000.00	(1,882.50	)	—		—	—	4.6413	4.6413	Monthly	805.77	15,129.87		20170307	20200407
BRT87HRY4	BUMP_8 ABS 8-A	B	4		3,339,770.35	3,387,931.94	2,500,000.00	3,338,372.61	1,232.55		(1,397.74	)	—	48,326.78	1.0275	1.0290	Monthly	1,142.42	10,365.06		20170131	20271120
12189LAY7	BURLINGTON NORTHERN SANTA FE R SENIOR CO		1	1FE	503,523.94	530,396.45	505,000.00	503,829.64	26,566.81		129.97		—	—	3.6500	3.6761	Mar-Sep	6,144.16	18,432.50		20150813	20250901

12232KAA8	BURNH_16-1A ABS 16-1A-A 144A	D	4	1FE	1,498,050.00	1,516,064.55	1,500,000.00	1,498,412.60	17,651.95		321.42		—	—	2.7926	2.8224	J-A-J-O	8,494.19	37,659.95		20161007	20291020
12232KAC4	BURNH_16-1A ABS 16-1A-B 144A	D	4		500,000.00	504,194.05	500,000.00	500,000.00	4,194.05		—		—	—	3.1626	3.1733	J-A-J-O	3,206.54	14,398.17		20161007	20291020
22530LAA4	CAALT_17-1 SENIOR ABS 17-1 144A		4		3,209,823.77	3,205,024.53	3,210,000.00	3,209,835.73	(4,811.20	)	11.96		—	—	2.5600	2.5743	Monthly	3,652.27	66,653.87		20170214	20251015
22533YAA3	CAALT_17-2 ABS_17-2-A 144A		4	1FE	1,639,864.70	1,629,339.96	1,640,000.00	1,639,877.04	(10,537.08	)	12.34		—	—	2.5500	2.5655	Monthly	1,858.66	19,283.66		20170620	20260217
BRT4Z4YN7	CADENT FINANCE PLC SENIOR CORP BND EMTN	B	1		1,552,299.26	1,558,083.59	1,160,000.00	1,552,050.13	(7,972.11	)	52.05		—	14,005.56	1.1250	0.9673	September	4,884.90	9,682.51		20160926	20210922
12765JAA6	CAELUS RE IV LTD CORP BND 144A	D			750,000.00	768,922.50	750,000.00	750,000.00	18,922.50		—		—	—	6.5497	6.6013	J-A-J-O	12,417.22	45,286.65		20160216	20200306
12765KAD7	CAELUS RE V LTD SENIOR CORP BND	D			750,000.00	110,925.00	750,000.00	750,000.00	(639,075.00	)	—		—	—	10.3314	10.4676	J-A-J-O	18,940.90	25,890.35		20170427	20200605
12765KAC9	CAELUS RE V LTD UNSEC CORP BND	D			500,000.00	272,760.00	500,000.00	500,000.00	(227,240.00	)	—		—	—	7.8044	7.8821	J-A-J-O	9,538.66	12,562.32		20170427	20200605
12765KAA3	CAELUS RE V LTD UNSEC CORP BND 144A	D			750,000.00	728,190.00	750,000.00	750,000.00	(21,810.00	)	—		—	—	4.3314	4.3553	J-A-J-O	7,940.90	10,515.36		20170427	20200605
12765KAB1	CAELUS RE V LTD UNSEC CORP BND 144A	D			1,250,000.00	1,126,287.50	1,250,000.00	1,250,000.00	(123,712.50	)	—		—	—	5.8298	5.8732	J-A-J-O	17,813.31	22,864.14		20170427	20200605
BRT9EYA33	CAESARS ENTERTAINMENT OPERATIN SENIOR SE		2	3FE	324,675.33	324,837.67	324,675.33	324,675.33	162.34		—		—	—	—	—	M-J-S-D	—	628.14		20171020	20241007
BRTCW3PZ7	CAESARS RESORT COLLECTION LLC SENIOR SEC		2	3FE	3,514,277.29	3,537,177.34	3,523,085.00	3,514,311.68	22,865.66		34.39		—	—	—	0.0352	M-J-S-D	—	4,709.68		20171002	20241223
12801ZCL0	CAISSE CENTRALE DESJARDINS SENIOR CORP B				467,084.15	474,042.86	600,000.00	467,223.46	(2,335.26	)	139.31		—	9,154.66	1.7480	1.9944	Mar-Sep	2,797.92	(1,709.43	)	20171115	20200302
12802DAS5	CAISSE D'AMORT DETTE SOCIALE SENIOR CORP	D		1FE	999,830.00	994,170.00	1,000,000.00	999,883.79	(5,713.79	)	53.79		—	—	1.8750	1.8809	Jan-Jul	8,750.00	9,380.00		20170105	20200113
13066YTY5	CALIFORNIA ST DEPT WTR RES MUNITAX BND R		4	1FE	9,116,039.32	8,958,605.32	9,116,039.32	9,116,039.32	(157,434.00	)	—		—	—	1.7130	1.7130	May-Nov	26,026.28	171,931.30		20160914	20210501
13063DAB4	CALIFORNIA STATE OF MUNITAX BND GO			1FE	3,300,000.00	3,284,094.00	3,300,000.00	3,300,000.00	(15,906.00	)	—		—	—	1.5930	1.5930	Apr-Oct	13,142.25	22,487.85		20170421	20190401
13063DAD0	CALIFORNIA STATE OF MUNITAX BND GO			1FE	1,775,000.00	1,769,817.00	1,775,000.00	1,775,000.00	(5,183.00	)	—		—	—	2.3670	2.3670	Apr-Oct	10,503.58	17,972.77		20170421	20220401
13063DDG0	CALIFORNIA STATE OF MUNITAXBNDGO				4,919,800.00	4,886,900.00	5,000,000.00	4,920,723.61	(33,823.61	)	923.61		—	—	2.2500	2.5482	Apr-Oct	20,312.51	(12,500.00	)	20171204	20231001
13068LYR0	CALIFORNIA STATE PUB WKS BRD MUNI BND GO			1FE	50,096.40	47,762.80	40,000.00	48,651.91	(889.11	)	(1,186.95	)	—	—	5.0000	1.6400	May-Nov	333.33	2,100.00		20161006	20241101
13077DAW2	CALIFORNIA STATE UNIVERSITY MUNI BND REV		2	1FE	579,575.00	603,870.00	500,000.00	575,199.57	28,670.43		(4,375.43	)	—	—	5.0000	3.1289	May-Nov	4,166.67	11,875.00		20170505	20371101
BRTE8AE60	CALPINE CONSTRUCTION FINANCE C SECUREDTE		2	3FE	1,768,702.66	1,769,255.18	1,770,916.30	1,768,712.08	543.10		9.42		—	—	—	0.0174	M-J-S-D	—	1,565.11		20171211	20250115
BRTDPGTM9	CAMELOT FINANCE LP / CAMELOT C SENIOR SE		2	4FE	960,974.59	969,254.55	965,032.54	961,052.11	8,202.44		87.69		—	—	—	0.0708	M-J-S-D	—	4,682.14		20171121	20231003
135087C77	CANADA GOVERNMENT CORP BND	A		1FE	2,504,530.00	2,492,950.05	2,500,000.00	2,501,916.69	(8,966.64	)	(1,550.18	)	—	—	1.6250	1.1581	Feb-Aug	13,993.05	47,576.39		20140220	20190227
13509PEG4	CANADA HOUSING TRUST SECURED LOCAL BND			1FE	4,718,481.19	4,806,033.76	6,000,000.00	4,716,360.77	(11,960.54	)	(2,120.42	)	—	101,633.53	1.9500	1.5227	Jun-Dec	4,361.14	5,634.85		20171120	20190615
13509PEP4	CANADA HOUSING TRUST SECURED LOCAL BND 1			1FE	2,284,586.90	2,322,684.86	2,900,000.00	2,283,607.88	(10,132.81	)	(979.02	)	—	49,209.79	2.0000	1.5877	Jun-Dec	2,161.93	2,793.35		20171120	20191215
13509PEV1	CANADA HOUSING TRUST SECURED LOCAL BND 1			1FE	2,508,666.35	2,551,390.72	3,250,000.00	2,509,952.04	(12,648.64	)	1,285.69		—	54,087.31	1.2000	1.6806	Jun-Dec	1,453.71	1,878.28		20171120	20200615
13509PEA7	CANADA HOUSING TRUST SECURED LOCAL BND 1			1FE	5,130,680.89	5,226,768.82	6,500,000.00	5,125,332.55	(9,010.25	)	(5,348.34	)	—	110,446.52	2.3500	1.3691	Jun-Dec	5,693.71	7,356.62		20171120	20181215
13595ZZ66	CANADIAN IMPERIAL BANK OF COMM SENIORCOR				467,586.69	473,971.03	600,000.00	467,711.08	(2,904.27	)	124.39		—	9,164.21	1.8500	2.0196	Jan-Jul	4,150.42	(2,999.44	)	20171115	20200714
13976AAB6	CAPITAL AUTO RECEIVABLES ASSET SENIOR AB		4		54,614.54	54,600.68	54,617.30	54,615.79	(15.11	)	20.49		—	—	1.3600	1.3671	Monthly	22.70	4,568.11		20160912	20190422
140420NB2	CAPITAL ONE BANK USA NA SUB CORP BND			2FE	755,565.00	757,252.52	750,000.00	753,792.83	3,459.69		(669.89	)	—	—	3.3750	3.2670	Feb-Aug	9,562.50	25,312.50		20150326	20230215
14042E3Y4	CAPITAL ONE FIN CORP SENIOR CORP BND		2	2FE	9,417,731.75	9,455,177.81	9,400,000.00	9,422,175.32	33,002.49		(5,533.48	)	—	—	2.9500	2.9950	Jan-Jul	121,703.87	311,786.33		20140721	20210723
14042RBT7	CAPITAL ONE FIN CORP SENIOR CORP BND			2FE	936,491.00	929,698.50	950,000.00	938,081.52	(8,383.02	)	1,590.52		—	—	2.2500	2.5960	Mar-Sep	6,412.50	4,484.37		20170607	20210913
14042RHC8	CAPITAL ONE FIN CORP SENIOR CORP BND		2	2FE	6,984,040.00	6,927,060.00	7,000,000.00	6,985,231.37	(58,171.37	)	1,191.37		—	—	2.6500	2.6991	Feb-Aug	73,684.73	—		20170803	20220808
14040HBH7	CAPITAL ONE FINANCIAL CORP CAPSEC CORP B		2	3FE	3,596,443.75	3,726,668.75	3,605,000.00	3,596,443.75	130,225.00		—		—	—	5.5500	5.5589	Jun-Dec	16,673.14	200,077.50		20090204	20370701

14040HBL8	CAPITAL ONE FINANCIAL CORP SENIOR CORP B	2	2FE	873,741.20	875,237.38	870,000.00	873,361.28	1,876.10		(379.92	)	—	—	3.0500	2.7799	Mar-Sep	8,255.33	10,213.26		20170306	20220309
14040HBN4	CAPITAL ONE FINANCIAL CORP SENIOR CORP B	2	2FE	1,217,172.00	1,211,808.01	1,200,000.00	1,217,106.45	(5,298.44	)	(65.55	)	—	—	3.7500	3.5649	Mar-Sep	14,000.00	(12,000.00	)	20171213	20270309
14040HBS3	CAPITAL ONE FINANCIAL CORP SENIORCORPBND	2	2FE	5,000,630.00	4,995,999.91	5,000,000.00	5,000,623.43	(4,623.52	)	(6.57	)	—	—	1.8301	1.8301	J-A-J-O	15,759.11	(2,440.12	)	20171026	20201030
14041NFG1	CAPITAL ONE MASTER TRUST SENIOR ABS 2016	4	1FE	1,199,643.60	1,170,130.46	1,200,000.00	1,199,723.65	(29,593.19	)	58.68		—	—	1.6600	1.6711	Monthly	885.33	19,920.00		20160818	20240617
14041NFN6	CAPITAL ONE MULTI-ASSET EXE TR SENIOR AB	4	1FE	4,749,632.83	4,719,480.07	4,750,000.00	4,749,659.25	(30,179.18	)	26.42		—	—	1.9900	2.0009	Monthly	4,201.10	17,067.01		20171004	20230717
14041NFQ9	CAPITAL ONE MULTI-ASSET EXE TR SENIORABS	4	1FE	1,142,947.27	1,142,031.08	1,150,000.00	1,142,963.85	(932.77	)	16.58		—	—	2.2900	2.5663	Monthly	1,170.44	73.15		20171212	20250715
14041NFE6	CAPITAL ONE MULTI-ASSET EXECUT ABS 16-A3	4	1FE	4,444,968.89	4,398,474.90	4,445,000.00	4,444,821.11	(46,346.21	)	(102.54	)	—	—	1.3400	1.3414	Monthly	2,647.24	59,562.96		20160718	20220415
14041NFF3	CAPITAL ONE MULTI-ASSET EXECUT ABS 2016-	4	1FE	4,583,893.64	4,527,602.86	4,585,000.00	4,584,392.03	(56,789.17	)	368.11		—	—	1.3300	1.3420	Monthly	2,710.24	60,980.52		20160818	20220615
14041NFA4	CAPITAL ONE MULTI-ASSET EXECUT SENIOR AB	4	1FE	3,999,926.40	3,986,558.00	4,000,000.00	3,999,980.00	(13,422.00	)	24.24		—	—	1.4500	1.4550	Monthly	2,577.78	57,999.96		20151019	20210816
14041NFK2	CAPITAL ONE MULTI-ASSET EXECUT SENIOR AB	4	1FE	2,193,640.62	2,188,288.31	2,200,000.00	2,193,723.36	(5,435.05	)	82.74		—	—	2.0000	2.1393	Monthly	1,955.56	(611.11	)	20171218	20230117
14149YBG2	CARDINAL HEALTH INC SENIOR CORP BND		2FE	1,000,000.00	1,001,690.06	1,000,000.00	1,000,000.00	1,690.06		—		—	—	2.3585	2.3585	M-J-S-D	1,113.73	25,737.09		20170601	20220615
14313TAC3	CARMAX AUTO OWNER TRUST CARMX_ ABS _14-3	4	1FE	78,247.10	78,215.83	78,253.31	78,252.01	(36.18	)	21.20		—	—	1.1600	1.1652	Monthly	40.34	4,540.05		20140806	20190617
14314RAC6	CARMAX AUTO OWNER TRUST CARMX_ ABS_2017-	4		2,819,809.36	2,807,045.03	2,820,000.00	2,819,815.19	(12,770.16	)	5.83		—	—	2.1100	2.1210	Monthly	2,644.53	8,264.16		20171017	20221017
14314EAC5	CARMAX AUTO OWNER TRUST CARMX_ SENIOR AB	4		4,249,365.05	4,214,067.99	4,250,000.00	4,249,654.35	(35,586.36	)	200.56		—	—	1.3900	1.3989	Monthly	2,625.56	59,075.04		20160714	20210517
14312QAD8	CARMAX AUTO OWNER TRUST CARMX_ SENIOR AB	4	1FE	2,970,820.29	2,941,855.56	3,000,000.00	2,973,683.70	(31,828.14	)	2,863.41		—	—	1.6000	1.9503	Monthly	2,133.33	12,000.00		20170914	20220615
14313RAD5	CARMX_14-2 SENIOR ABS_14-2-A4	4	1FE	791,791.54	791,274.16	791,923.55	791,903.39	(629.23	)	76.05		—	—	1.6100	1.6196	Monthly	566.67	31,207.27		20140507	20191015
14313TAD1	CARMX_14-3 ABS_14-3-A4	4	1FE	2,291,414.06	2,292,360.80	2,295,000.00	2,294,502.79	(2,141.99	)	944.46		—	—	1.7300	1.7794	Monthly	1,764.60	39,703.56		20140923	20200218
14313VAC8	CARMX_15-3 SENIOR ABS 15-3 A3	4	1FE	579,011.46	578,098.36	579,048.00	579,029.65	(931.29	)	19.40		—	—	1.6300	1.6371	Monthly	419.49	14,509.28		20150806	20200515
14313VAD6	CARMX_15-3 SENIOR ABS 15-3 A4	4	1FE	249,946.40	249,099.85	250,000.00	249,976.32	(876.47	)	12.78		—	—	1.9800	1.9935	Monthly	220.00	4,950.00		20150806	20210216
14314MAD5	CARMX_16-2 SENIOR ABS_16-2 A4	4	1FE	199,933.52	197,620.41	200,000.00	199,960.21	(2,339.80	)	17.08		—	—	1.6800	1.6943	Monthly	149.33	4,398.80		20160412	20210915
BRSWNA5P2	CARR MANAGEMENT INC Initial Term Loan			4,034,466.06	4,034,466.07	4,054,739.77	4,043,303.11	(8,837.04	)	4,110.62		—	—	—	0.0992	M-J-S-D	—	234,450.77		20151015	20201022
BRTAG2M01	CARR MANAGEMENT INC New Term Loan			902,112.90	899,857.62	902,112.90	902,112.90	(2,255.28	)	—		—	—	—	—	M-J-S-D	—	30,906.10		20170516	20201022
BRSS9F6W0	CASCADE DRILLING L.P. Revolving Loan			844,574.61	769,888.92	844,574.61	844,574.61	(74,685.69	)	0.02		—	—	—	—	M-J-S-D	—	54,425.97		20160705	20200220
BRSS9F410	CASCADE DRILLING L.P. Term Loan A			4,207,530.87	3,891,966.05	4,207,530.87	4,207,530.87	(315,564.82	)	—		—	—	—	—	M-J-S-D	—	251,628.12		20150309	20210220
BRT4DFYL0	CASCADE DRILLING L.P. Term Loan A-2			1,628,195.09	1,506,080.46	1,628,195.09	1,628,195.09	(122,114.63	)	—		—	—	—	—	F-M-A-N	—	103,139.44		20160819	20210220
BRTCTF6J1	CAST & CREW PAYROLL LLC SENIRO SECURED T	2	4FE	1,172,821.89	1,184,579.51	1,175,761.30	1,172,902.52	11,676.99		94.16		—	—	—	0.0356	M-J-S-D	—	9,455.10		20170926	20240927
BRSN5MWG6	CATALENT PHARMA SOLUTIONS INC SENIOR SEC	2	3FE	2,577,224.08	2,598,038.71	2,590,174.94	2,581,775.30	16,263.41		396.64		—	—	—	0.0498	M-J-S-D	—	127,389.25		20140508	20240520
14912L6J5	CATERPILLAR FINANCIAL SERVICES CORP BND		1FE	3,971,720.00	3,980,159.92	4,000,000.00	3,985,729.21	(5,569.29	)	6,344.64		—	—	2.0000	2.1689	Mar-Sep	25,777.78	80,000.00		20151006	20200305
14913Q2A6	CATERPILLAR FINANCIAL SERVICES SENIOR CO	1	1	2,492,904.20	2,466,307.45	2,495,000.00	2,493,122.49	(26,815.04	)	218.29		—	—	1.8500	1.8790	Mar-Sep	14,616.55	—		20170905	20200904
14912L6M8	CATERPILLAR FINANCIAL SERVICES SENIOR CO		1FE	2,997,210.00	2,995,740.00	3,000,000.00	2,999,180.59	(3,440.59	)	932.20		—	—	1.8000	1.8320	May-Nov	7,200.00	54,000.00		20151109	20181113
14912L5T4	CATERPILLAR FINANCIAL SERVICES SENIOR CO		1FE	1,016,550.00	1,003,440.00	1,000,000.00	1,002,940.03	499.97		(4,275.46	)	—	—	2.4500	2.0101	Mar-Sep	7,826.39	24,500.00		20140930	20180906
14912L6Y2	CATERPILLAR FINANCIAL SERVICES SENIOR CO		1FE	999,790.00	997,720.03	1,000,000.00	999,798.68	(2,078.65	)	8.68		—	—	2.1000	2.1101	Jan-Jul	9,975.01	(9,041.67	)	20171213	20200110
14912L6L0	CATERPILLAR FINANCIAL SERVICES SENIOR CO		1FE	899,919.00	899,352.00	900,000.00	899,987.42	(635.42	)	55.55		—	—	1.7000	1.7031	Jun-Dec	637.50	32,772.22		20150611	20180616
14912L6W6	CATERPILLAR FINANCIAL SERVICES SENIOR CO		1FE	2,198,880.00	2,196,238.05	2,200,000.00	2,199,230.48	(2,992.43	)	350.48		—	—	1.9000	1.9308	Mar-Sep	11,495.00	10,903.89		20170320	20190322

14911ZAR2	CATERPILLAR FINANCIAL SERVICES SENIOR CO				469,019.18	475,450.74	600,000.00	469,072.13	(2,812.28	)	52.95		—	9,190.88	1.7500	1.8408	Jun-Dec	651.80	349.03		20171115	20190603
14913Q2F5	CATERPILLAR FINANCIAL SERVICES SENIORCOR		1		729,299.20	727,693.18	730,000.00	729,330.65	(1,637.47	)	31.45		—	—	2.0000	2.0492	May-Nov	1,297.78	—		20171127	20191129
12479RAB3	CAUTO_14-1A ABS_14-1A A 144A		4	1FE	2,998,196.46	3,007,270.20	3,000,000.00	2,998,546.47	8,723.73		127.98		—	—	3.6600	3.6980	Monthly	4,880.00	109,800.00		20141010	20441015
124857AL7	CBS CORP SENIOR CORP BND		1	2FE	1,973,560.00	1,999,120.02	2,000,000.00	1,990,841.86	8,278.16		5,459.69		—	—	2.3000	2.5902	Feb-Aug	17,377.78	46,000.00		20140930	20190815
17305EGB5	CCCIT ABS 17-A3-A3		4	1FE	16,253,407.92	16,149,734.25	16,250,000.00	16,249,518.07	(99,783.82	)	(3,889.85	)	—	—	1.9200	1.8239	Apr-Oct	72,800.00	59,266.67		20170404	20220407
17305EGG4	CCCIT ABS_17-A8		4	1FE	1,984,375.00	1,980,709.08	2,000,000.00	1,984,325.85	(3,616.77	)	(49.15	)	—	—	1.8600	1.8207	Feb-Aug	14,776.67	(12,916.67	)	20171211	20220808
17305EFU4	CCCIT_14-A8 SENIOR ABS 2014-A8 A8		4	1FE	3,499,244.22	3,489,999.80	3,490,000.00	3,491,084.53	(1,084.73	)	(11,921.97	)	—	—	1.7300	1.5212	Apr-Oct	13,752.54	162,446.99		20140917	20200409
BRTEAVT73	CCH I SECUREDTERMLOAN		2	3FE	1,022,640.76	1,024,400.88	1,023,920.66	1,022,640.76	1,760.12		—		—	—	—	0.0169	M-J-S-D	—	—		20171214	20250430
12515GAD9	CD_17-CD3 SUPSEN SENIOR CMBS 17-CD3		4	1FM	1,071,164.22	1,085,531.18	1,040,000.00	1,068,632.16	16,899.02		(2,532.06	)	—	—	3.6310	3.2796	Monthly	3,146.87	30,085.37		20170127	20500210
15136WAX2	CECLO_13-20A MEZZANIN ABS 13-20A 144A	D	4		500,000.00	500,914.30	500,000.00	500,000.00	914.30		—		—	—	2.9974	3.0083	J-A-J-O	2,830.90	7,283.81		20170417	20260125
15137EAW3	CECLO_14-21A MEZZANIN ABS 14-21A-BR 144A	D	4		250,000.00	251,085.88	250,000.00	250,000.00	1,085.88		—		—	—	3.7745	3.7918	J-A-J-O	1,729.96	5,776.61		20170217	20260727
BRTAASDK6	CENTURYLINK INC SENIOR SECURED TERM LOAN		2	3FE	1,644,905.53	1,592,948.01	1,653,171.39	1,645,461.44	(52,513.43	)	555.91		—	—	—	0.0651	M-J-S-D	—	24,996.80		20170519	20250131
15673BAA7	CERB_16-3A ABS 16-3A 144A	D	4		1,000,000.00	1,006,448.00	1,000,000.00	1,000,000.00	6,448.00		—		—	—	3.8833	3.9015	J-A-J-O	8,304.63	30,809.95		20161209	20280115
15672TAE1	CERB_2015-1A ABS_2015-1A B 144A		4	1FE	496,000.00	499,926.35	500,000.00	497,353.03	2,573.32		854.31		—	—	4.4092	4.6357	J-A-J-O	4,776.60	20,938.22		20160526	20251106
15672LAD0	CERBERUS ONSHORE II CLO LLC CE MEZZANIN		4	1FE	271,481.71	272,997.06	273,120.43	272,886.52	110.54		2,091.03		—	—	5.3592	5.7638	J-A-J-O	3,130.69	25,735.51		20160525	20231015
156792GT4	CERRITOS CALIF CMNTY COLLEGE D MUNI BND			1FE	500,000.00	499,425.00	500,000.00	500,000.00	(575.00	)	—		—	—	2.1650	2.1650	Feb-Aug	4,510.42	10,825.00		20141105	20190801
165183AF1	CFII_16-2 SENIOR ABS 2016-2A A1 144A		4	1FE	335,871.86	336,350.48	336,990.77	336,415.55	(65.07	)	911.15		—	—	1.8800	2.1153	Monthly	281.57	7,986.86		20161220	20280615
165183AL8	CFII_17-2A SENIOR ABS 17-2A 144A		4	1FE	1,749,907.43	1,744,365.01	1,750,000.00	1,749,921.62	(5,556.61	)	14.19		—	—	1.9900	1.9996	Monthly	1,547.77	18,863.54		20170523	20290515
17324DAU8	CGCMT_15-P1 LCF SENIOR CMBS 15-P1		4	1FM	1,029,952.40	1,045,650.02	1,000,000.00	1,023,706.54	21,943.48		(2,409.46	)	—	—	3.7170	3.3811	Monthly	3,097.50	37,170.00		20150806	20480915
29429CAD7	CGCMT_16-P3 LCF SENIOR CMBS_16-P3 A4		4		3,604,769.00	3,561,557.66	3,500,000.00	3,587,718.78	(26,161.12	)	(9,847.44	)	—	—	3.3290	2.9778	Monthly	9,709.58	116,514.96		20160329	20490415
125283AA9	CGDB_17-BIO MBS_17BIO-A 144A		4	1FE	4,000,000.00	4,002,482.40	4,000,000.00	4,000,000.00	2,482.40		—		—	—	2.2270	2.2361	Monthly	4,206.56	40,111.08		20170601	20300515
125282AA1	CGDBB_17-BIOC LCF SENIOR CMBS_17-BIOC A		4	1FE	2,970,000.00	2,973,696.46	2,970,000.00	2,970,000.00	3,696.46		—		—	—	2.2670	2.2777	Monthly	3,179.47	20,073.26		20170803	20280715
12532LAA3	CGGS COMMERCIAL MORTGAGE TRUST SENIOR C		4	1FM	9,424,932.83	9,385,489.05	9,372,272.97	9,389,087.73	(3,598.68	)	(35,804.76	)	—	—	2.7570	1.2681	Monthly	21,532.81	209,058.04		20160321	20330210
14309YAQ7	CGMS_12-4A SENIOR ABS 12-4AR-BR 144A	D	4		1,500,000.00	1,514,648.70	1,500,000.00	1,500,000.00	14,648.70		—		—	—	3.2626	3.2756	J-A-J-O	9,923.77	45,526.02		20161014	20290120
14310KAC5	CGMS_13-4 SENIOR ABS 13-4 A1 144A	D	4	1FE	1,489,350.00	1,500,694.20	1,500,000.00	1,496,188.37	4,505.83		2,376.85		—	—	2.8292	3.0089	J-A-J-O	9,076.92	38,840.49		20150123	20251015
14310MAQ0	CGMS_14-1A MEZZANIN ABS 14-1A 144A	D	4		2,500,000.00	2,502,821.75	2,500,000.00	2,500,000.00	2,821.75		—		—	—	3.1533	3.1648	J-A-J-O	16,642.58	74,395.52		20161201	20250417
125354AA8	CGRBS COMMERCIAL MORTGAGE TRUS CMBS_13-V		4	1FM	1,032,226.56	1,021,645.80	1,000,000.00	1,026,893.69	(5,247.89	)	(4,901.05	)	—	—	3.3690	2.8057	Monthly	2,807.50	33,690.00		20161129	20350313
161571GT5	CHAIT_15-A2 ABS_15-A2 A		4	1FE	489,976.04	489,907.93	490,000.00	489,993.68	(85.75	)	3.17		—	—	1.5900	1.5966	Monthly	346.27	7,791.00		20150306	20200218
808513AP0	CHARLES SCHWAB CORPORATIO JR SUB CORP BN		2		2,270,000.00	2,315,400.00	2,270,000.00	2,270,000.00	45,400.00		—		—	—	4.6250	4.6235	Mar-Sep	34,995.83	87,781.23		20161024	20491231
808513AL9	CHARLES SCHWAB CORPORATIO SENIOR CORP BN		1	1FE	318,656.00	319,615.99	320,000.00	318,993.93	622.06		123.45		—	—	3.0000	3.0490	Mar-Sep	2,960.00	9,600.00		20150303	20250310
808513AK1	CHARLES SCHWAB CORPORATIO SENIOR CORP BN		1	1FE	668,795.03	668,511.63	669,000.00	668,976.55	(464.92	)	58.83		—	—	1.5000	1.5431	Mar-Sep	3,094.13	10,035.00		20150303	20180310
808513AU9	CHARLES SCHWAB CORPORATIO SENIORCORPBND		1	1FE	1,248,125.00	1,257,050.04	1,250,000.00	1,248,125.00	8,925.04		—		—	—	3.2000	3.2170	Jan-Jul	2,666.66	—		20171204	20280125
BRTA4VZ30	CHARTER NEX US HOLDINGS INC SENIOR SECUR			4FE	397,666.95	400,914.23	399,665.28	397,844.15	3,070.08		187.24		—	—	—	0.0707	M-J-S-D	—	11,140.37		20170512	20240516
161571FW9	CHASE ISSUANCE TRUST ABS 13-A3		4	1FE	960,000.00	960,652.81	960,000.00	960,000.00	652.81		—		—	—	1.7570	1.7635	Monthly	796.52	12,838.06		20130412	20200415

161571GH1	CHASE ISSUANCE TRUST ABS 13-A9 A		4	1FE	700,000.00	701,897.03	700,000.00	700,000.00	1,897.03		—		—	—	1.8970	1.9045	Monthly	627.07	10,354.80		20131210	20201116
161571HE7	CHASE ISSUANCE TRUST ABS 16-A4		4	1FE	17,007,894.45	16,795,576.02	17,105,000.00	17,018,522.67	(222,946.65	)	10,575.14		—	—	1.4900	1.4990	Monthly	11,327.31	216,786.64		20160720	20220715
161571FQ2	CHASE ISSUANCE TRUST CHAIT_12- ABS 12-A7		4	1FE	4,000,000.00	3,943,288.56	4,000,000.00	4,000,000.00	(56,711.44	)	—		—	—	2.1600	2.1697	Monthly	3,840.00	96,600.00		20150130	20240916
161571HC1	CHASE ISSUANCE TRUST CHAIT_16- CHAIT_16-		4	1FE	9,999,976.00	9,900,132.80	10,000,000.00	9,999,599.95	(99,467.15	)	(243.45	)	—	—	1.3700	1.3715	Monthly	6,088.89	137,000.04		20160607	20210615
161571GX6	CHASE ISSUANCE TRUST SENIOR ABS_15-A4 A		4	1FE	1,181,911.72	1,180,658.91	1,190,000.00	1,182,015.48	(1,356.57	)	103.76		—	—	1.8400	2.1501	Monthly	973.15	(304.11	)	20171218	20220415
161630BD9	CHASE MORTGAGE FINANCE CORPORA CMO_07-A1		4	1FE	1,197,146.32	1,169,514.35	1,185,797.84	1,195,166.13	(25,651.78	)	(44,439.24	)	—	—	3.3937	3.1775	Monthly	3,353.49	44,522.50		20080118	20370325
BRT97MXU2	CHEMOURS COMPANY LLC SENIOR SECURED TERM			3FE	2,020,468.52	2,050,928.65	2,037,345.66	2,022,922.86	28,005.79		2,581.87		—	—	—	0.0710	M-J-S-D	—	56,435.59		20170403	20220512
165183BB9	CHESAPEAKEFUNDINGIILLCCFII SENIORABS17-4		4	1FE	3,799,732.87	3,789,550.00	3,800,000.00	3,799,746.97	(10,196.97	)	14.10		—	—	2.1200	2.1313	Monthly	3,580.44	10,070.00		20171024	20291115
166430AA6	CHEST_14-1A ABS _14-1A-A 144A		4	1FE	2,178,000.00	2,177,586.18	2,178,000.00	2,178,000.00	(413.82	)	—		—	—	4.5000	4.5245	M-J-S-D	4,356.00	105,637.50		20141211	20341215
166764BH2	CHEVRON CORP SENIOR CORP BND		1	1FE	1,750,000.00	1,739,535.00	1,750,000.00	1,750,000.00	(10,465.00	)	—		—	—	1.5610	1.5610	May-Nov	3,414.69	27,317.50		20160509	20190516
166764BP4	CHEVRON CORP SENIOR CORP BND		1	1FE	1,000,000.00	996,849.98	1,000,000.00	1,000,000.00	(3,150.02	)	—		—	—	1.9910	1.9910	Mar-Sep	6,526.06	9,955.00		20170228	20200303
166764BN9	CHEVRON CORP SENIOR CORP BND		1	1FE	5,200,000.00	5,209,672.26	5,200,000.00	5,200,000.00	9,672.26		—		—	—	2.4980	2.4980	Mar-Sep	42,577.02	64,948.00		20170228	20220303
166764BT6	CHEVRON CORP SENIOR CORP BND		1	1FE	2,000,000.00	2,017,839.96	2,000,000.00	2,000,000.00	17,839.96		—		—	—	2.8950	2.8950	Mar-Sep	18,978.33	28,950.00		20170228	20240303
166764BL3	CHEVRON CORP SENIOR CORP BND		1	1FE	516,450.00	499,614.98	500,000.00	514,521.07	(14,906.09	)	(1,588.69	)	—	—	2.9540	2.5559	May-Nov	1,846.25	14,770.00		20161006	20260516
166764AG5	CHEVRON CORP SENIOR CORP BND		1	1FE	4,070,440.00	4,020,880.12	4,000,000.00	4,037,131.71	(16,251.59	)	(15,587.34	)	—	—	2.4270	2.0236	Jun-Dec	1,887.67	97,080.00		20151006	20200624
166764AY6	CHEVRON CORP SENIOR CORP BND		1	1FE	975,000.00	980,655.02	975,000.00	975,000.00	5,655.02		—		—	—	2.4190	2.4165	May-Nov	2,882.64	23,585.26		20151109	20201117
BRTE20ZA6	CHG HEALTHCARE SERVICES INC SENIOR SECUR		2	4FE	152,793.21	154,306.64	153,395.78	152,797.12	1,509.52		5.44		—	—	—	0.0710	M-J-S-D	—	0.86		20171219	20230607
BRSUZA516	CHI OVERHEAD DOORS INC SENIOR SECURED TE				1,141,529.95	1,142,520.74	1,142,520.74	1,141,867.49	653.25		151.14		—	—	—	0.0356	M-J-S-D	—	28,812.05		20150728	20220729
BRSR021B1	CHIEF POWER FINANCE LLC SENIOR SECURED T			4FE	3,319,640.84	2,682,538.06	3,353,172.58	3,336,272.24	(653,734.18	)	5,904.64		—	—	—	0.1662	M-J-S-D	—	206,218.73		20141216	20201231
Q2410NAA9	CHORUS LTD CORP BND EMTN	B		2FE	417,431.61	444,593.85	295,000.00	397,388.16	2,261.23		(16,706.62	)	—	44,944.46	6.7500	1.7990	April	19,925.72	24,199.66		20161017	20200406
12546DAG2	CHT_17-CSMO SUBSENIORCMBS17-CSMO144A		4		2,000,000.00	2,003,113.80	2,000,000.00	2,000,000.00	3,113.80		—		—	—	2.7800	2.7961	Monthly	2,625.56	—		20171201	20341115
BRTE794U2	CHURCHILL DOWNS INC SENIOR SECURED TERM		2	3FE	164,348.93	164,485.83	164,348.93	164,348.93	136.90		—		—	—	—	—	M-J-S-D	—	—		20171212	20241227
12551PAE2	CIFC_12-2RA MEZZANINABS12-2RA144A	D	4		1,500,000.00	1,497,298.20	1,500,000.00	1,500,000.00	(2,701.80	)	—		—	—	—	—	J-A-J-O	—	—		20171127	20280120
12549CAW6	CIFC_13-3A ABS 13-3A-BR 144A	D	4		1,000,000.00	1,004,457.20	1,000,000.00	1,000,000.00	4,457.20		—		—	—	3.4148	3.4272	J-A-J-O	6,544.96	19,439.68		20170310	20251024
12549QAU9	CIFC_14-3AR MEZZANIN ABS_14-3AR-C1R 144A	D	4	1FE	1,000,000.00	1,006,362.20	1,000,000.00	1,000,000.00	6,362.20		—		—	—	3.2625	3.2735	J-A-J-O	6,251.74	8,120.49		20170706	20260722
12549VAS3	CIFC_14-4 SENIOR ABS 14-4-A1R 144A	D	4	1FE	1,000,000.00	1,002,029.40	1,000,000.00	1,000,000.00	2,029.40		—		—	—	2.7333	2.7412	J-A-J-O	5,770.36	19,282.65		20161221	20261017
17180TAA0	CIFC_16-1A SENIOR ABS 16-1A 144A	D	4		3,500,000.00	3,528,192.15	3,500,000.00	3,500,000.00	28,192.15		—		—	—	2.8425	2.8522	J-A-J-O	19,344.79	77,496.23		20161209	20281021
BRTDW6KQ3	CIRCOR INTL INC. SENIOR SECURED TERM LOA			4FE	1,252,754.16	1,254,327.97	1,259,049.41	1,252,781.49	1,546.48		27.33		—	—	—	0.0714	M-J-S-D	—	—		20171121	20241121
17275RBD3	CISCO SYSTEMS INC SENIOR CORP BND			1FE	394,241.60	393,518.75	395,000.00	394,510.68	(991.93	)	147.95		—	—	2.2000	2.2409	Feb-Aug	2,969.09	8,690.00		20160222	20210228
17275RAX0	CISCO SYSTEMS INC SENIOR CORP BND		1	1FE	1,816,178.00	1,811,177.91	1,800,000.00	1,815,664.07	(4,486.16	)	(513.93	)	—	—	2.4500	2.0610	Jun-Dec	1,960.00	1,524.44		20171115	20200615
17275RBG6	CISCO SYSTEMS INC SENIOR CORP BND		1	1FE	8,979,980.00	8,902,530.00	9,000,000.00	8,987,998.65	(85,468.65	)	7,195.84		—	—	1.4000	1.4379	Mar-Sep	35,350.01	145,036.11		20160913	20190920
17275RAU6	CISCO SYSTEMS INC SENIOR CORP BND		1	1FE	3,999,320.00	3,998,080.00	4,000,000.00	3,999,894.71	(1,814.71	)	(768.37	)	—	—	1.6500	1.6559	Jun-Dec	2,933.33	88,909.79		20150610	20180615
17305EFS9	CITIBANK CREDIT CARD MASTER TR ABS_14-A6		4	1FE	4,405,812.50	4,354,337.99	4,350,000.00	4,372,047.72	(17,709.73	)	(16,881.00	)	—	—	2.1500	1.8001	Jan-Jul	43,125.42	121,833.33		20150527	20210715
17325FAJ7	CITIBANK NA - (LT) GTD SENIOR CORP BND		2	1FE	4,348,477.50	4,308,718.63	4,350,000.00	4,348,576.59	(39,857.96	)	103.77		—	—	2.1250	2.1371	Apr-Oct	18,230.72	811.63		20171013	20201020

17325FAE8	CITIBANK NA - (LT) GTD SENIOR CORP BND		2	1FE	3,773,376.75	3,747,102.83	3,775,000.00	3,773,669.49	(26,566.66	)	316.96		—	—		2.1000	2.1149	Jun-Dec	4,183.96	43,283.33		20170606	20200612
17325FAB4	CITIBANK NA - (LT) GTD SENIOR CORP BND				3,601,152.45	3,599,349.78	3,595,000.00	3,599,882.64	(532.86	)	(1,269.81	)	—	—		1.9655	1.8560	M-J-S-D	2,159.02	17,386.31		20170831	20190320
17325FAF5	CITIBANK NA - (LT) GTD SENIOR CORP BND		2	1FE	649,987.00	645,404.50	650,000.00	649,988.85	(4,584.35	)	1.85		—	—		1.8500	1.8510	Mar-Sep	3,440.48	—		20170913	20190918
17322VAR7	CITIGROUP COMMERCIAL MORTGAGE SENIOR CMB		4	1FE	2,808,636.45	2,746,091.96	2,726,867.49	2,769,090.39	(22,998.43	)	(4,791.57	)	—	—		2.8510	2.3119	Monthly	6,478.58	88,629.06		20140717	20470710
172967KD2	CITIGROUP INC CAPSEC CORP BND		2	3FE	2,420,000.00	2,565,200.00	2,420,000.00	2,420,000.00	145,200.00		—		—	—		6.1250	6.1246	May-Nov	18,939.86	210,495.84		20151105	20491231
172967GR6	CITIGROUP INC CAPSEC CORP BND		2	3FE	5,050,707.84	5,450,312.50	5,350,000.00	5,058,769.38	391,543.12		3,465.23		—	—		5.3500	5.7931	May-Nov	36,573.19	312,759.50		20140820	20491231
U17406BD7	CITIGROUP INC CORP BND			2FE	2,328,567.04	2,247,312.34	1,600,000.00	2,256,618.62	14,213.68		(48,051.51	)	—	(23,519.96	)	5.1250	2.4937	December	6,078.10	72,911.94		20160106	20181212
172967LM1	CITIGROUP INC SENIOR CORP BND		1	2FE	12,827,725.00	12,747,694.82	12,820,000.00	12,826,768.45	(79,073.63	)	(956.55	)	—	—		2.8760	2.7939	Jan-Jul	160,795.58	(14,379.99	)	20170717	20230724
172967LC3	CITIGROUP INC SENIOR CORP BND		1	2FE	5,950,154.70	5,960,895.54	5,930,000.00	5,948,932.76	11,962.78		(1,283.50	)	—	—		2.9000	2.6391	Jun-Dec	10,986.97	108,368.17		20161201	20211208
172967JN2	CITIGROUP INC SENIOR CORP BND			2FE	4,984,150.00	4,994,050.00	5,000,000.00	4,998,278.17	(4,228.17	)	6,870.90		—	—		1.7000	1.8090	Apr-Oct	15,111.11	113,883.47		20150422	20180427
172967KW0	CITIGROUP INC SENIOR CORP BND			2FE	2,750,000.00	2,800,792.72	2,750,000.00	2,750,000.00	50,792.72		—		—	—		2.5712	2.5712	F-M-A-N	11,784.76	169,301.99		20160726	20210802
172967JW2	CITIGROUP INC SENIOR CORP BND			2FE	199,948.00	200,093.98	200,000.00	199,989.71	104.27		17.49		—	—		2.1500	2.1590	Jan-Jul	1,803.61	4,300.00		20150723	20180730
172967LF6	CITIGROUP INC SENIOR CORP BND		1	2FE	1,111,336.00	1,110,510.66	1,110,000.00	1,111,320.26	(809.60	)	(15.74	)	—	—		2.4500	2.4639	Jan-Jul	12,917.64	(8,996.95	)	20170104	20200110
172967LL3	CITIGROUP INC SENIOR CORP BND		2	2FE	1,010,096.10	1,029,301.29	1,014,000.00	1,010,411.26	18,890.03		529.34		—	—		2.5219	2.5815	F-M-A-N	3,196.51	21,261.61		20170519	20240517
172967HD6	CITIGROUP INC SENIOR CORP BND			2FE	670,624.50	681,986.49	650,000.00	667,680.18	14,306.31		(2,704.22	)	—	—		3.8750	3.3560	Apr-Oct	4,617.72	25,187.50		20161123	20231025
172967KS9	CITIGROUP INC SENIOR CORP BND			2FE	1,219,365.60	1,216,218.02	1,220,000.00	1,219,691.61	(3,473.59	)	210.18		—	—		2.0500	2.0680	Jun-Dec	1,667.33	25,010.00		20160602	20190607
172967GK1	CITIGROUP INC SUB CORP BND			2FE	5,661,425.00	5,727,260.61	5,500,000.00	5,598,719.65	128,540.96		(19,488.30	)	—	—		4.0500	3.6210	Jan-Jul	93,431.25	222,750.00		20140819	20220730
17401QAG6	CITIZENS BANK NA SENIOR CORP BND		2	2FE	249,762.50	248,630.01	250,000.00	249,826.98	(1,196.97	)	64.48		—	—		2.2500	2.2829	Mar-Sep	1,859.38	2,812.50		20170227	20200302
177510AC8	CITRUS RE LTD CORP BND 144A	D			500,000.00	504,305.00	500,000.00	500,000.00	4,305.00		—		—	—		6.2631	6.3112	J-A-J-O	6,611.08	60,075.24		20150401	20180409
177510AE4	CITRUS RE LTD CORP BND 144A	D			250,000.00	211,825.00	250,000.00	250,000.00	(38,175.00	)	—		—	—		11.2431	11.3979	J-A-J-O	5,933.87	24,937.77		20150401	20180409
177510AG9	CITRUS RE LTD CORP BND 144A	D			250,000.00	204,795.00	250,000.00	250,000.00	(45,205.00	)	—		—	—		12.1331	12.3221	J-A-J-O	6,319.34	28,276.51		20160219	20190225
177510AF1	CITRUS RE LTD CORP BND 144A	D			250,000.00	246,982.50	250,000.00	250,000.00	(3,017.50	)	—		—	—		8.8431	8.9435	J-A-J-O	4,605.80	20,507.90		20160219	20190225
177510AD6	CITRUS RE LTD CORP BND 144A	D			325,000.00	329,225.00	325,000.00	325,000.00	4,225.00		—		—	—		8.0031	8.0816	J-A-J-O	5,491.04	51,619.89		20150401	20180409
177510AH7	CITRUS RE LTD SENIOR CORP BND 144A	D			500,000.00	488,190.00	500,000.00	500,000.00	(11,810.00	)	—		—	—		7.1543	7.2150	J-A-J-O	7,452.43	21,311.67		20170306	20200318
BRT9LLQM4	CITYCENTER HOLDINGS LLC SENIOR SECURED T			4FE	875,841.26	883,818.02	880,242.47	876,273.50	7,544.52		454.36		—	—		—	0.0708	M-J-S-D	—	22,471.03		20170410	20240418
411707AA0	CKE RESAURANT HOLDINGS INC HNG ABS_13-1A		4	2FE	455,825.85	444,058.74	443,120.74	445,588.19	(1,529.45	)	(582.30	)	—	—		4.4740	4.2985	M-J-S-D	605.77	20,510.13		20150225	20430320
180848DS9	CLARK CNTY NEV ARPT REV MUNITAX BND GO		2	1FE	3,442,530.00	3,132,440.40	2,910,000.00	3,108,125.32	24,315.08		(138,421.70	)	—	—		5.8600	2.0521	May-Nov	28,421.00	234,497.67		20140930	20201101
BRTA7RJA8	CLARK EQUIP CO SENIOR SECURED TERM LOAN			3FE	263,660.84	265,423.07	264,321.64	263,716.34	1,706.73		117.88		—	—		—	0.0354	M-J-S-D	—	6,872.47		20170512	20240518
125634AJ4	CLI FUNDING LLC CLIF_13-2A ABS 13-2A 144		4	1FE	298,041.61	306,640.30	308,560.00	299,982.83	6,657.47		3,331.68		—	—		3.2200	4.2098	Monthly	358.79	10,988.59		20160711	20280618
125634AQ8	CLIF_14-2A ABS_14-2A A 144A		4	1FE	2,350,417.97	2,344,576.21	2,351,359.18	2,350,673.61	(6,097.40	)	210.12		—	—		3.3800	3.4112	Monthly	2,869.96	86,466.40		20141009	20291018
BRTC1ABB3	CLOVER MERGER SUB INC SENIOR SECURED TER		2	4	460,295.66	448,267.83	462,608.70	460,382.33	(12,114.50	)	92.47		—	—		—	0.0706	M-J-S-D	—	5,787.56		20170815	20240926
BRTC5E8A7	CLUBCORP CLUB OPERATIONS INC SECURED TER			4FE	1,543,995.98	1,556,742.09	1,551,754.75	1,544,281.75	12,460.34		450.03		—	—		—	0.0709	M-J-S-D	—	18,584.68		20170816	20240918
12594DAB4	CNH EQUIPMENT TRUST CNH_16-B ABS_16-B A2		4	1FE	655,268.32	654,746.85	655,271.46	655,260.79	(513.94	)	(5.18	)	—	—		1.3100	1.3123	Monthly	381.51	16,003.82		20160524	20191015
12637BAC5	CNH EQUIPMENT TRUST CNH_17-B ABS_17-B-A2		4		1,180,000.00	1,180,424.83	1,180,000.00	1,180,000.00	424.83		—		—	—		1.6170	1.6210	Monthly	901.04	6,434.91		20170718	20201116

12623PAD8	CNH_14-B ABS_14-B A4		4	1FE	5,851,065.96	5,860,468.03	5,863,341.29	5,861,146.51	(678.48	)	2,984.70		—	—	1.6100	1.6239	Monthly	4,195.54	107,613.10		20140603	20210517
12632XAD0	CNH_14-C ABS 14-C		4	1FE	3,743,709.85	3,739,083.02	3,745,000.00	3,744,632.37	(5,549.35	)	272.97		—	—	1.6500	1.6638	Monthly	2,746.33	61,792.56		20141016	20210915
12592WAD0	CNH_15-A SENIOR ABS 15-A A4		4	1FE	1,064,890.41	1,063,171.29	1,065,000.00	1,064,946.81	(1,775.52	)	17.85		—	—	1.8500	1.8592	Monthly	875.67	19,702.56		20150225	20210415
12636WAD8	CNH_17-A SENIOR ABS_17-A A3		4	1FE	809,978.54	807,221.68	810,000.00	809,978.34	(2,756.66	)	(0.20	)	—	—	2.0700	2.0790	Monthly	745.20	12,249.23		20170315	20220516
12594DAE8	CNHET_16-B SENIOR ABS_16-B A4		4	1FE	419,847.34	416,560.20	420,000.00	419,899.65	(3,339.45	)	33.87		—	—	1.9700	1.9866	Monthly	367.73	8,274.00		20160524	20211115
12634GAA1	CNOOC FINANCE (2015) AUSTRALIA SENIOR CO	D	1	1FE	1,994,320.00	1,995,099.94	2,000,000.00	1,997,245.25	(2,145.31	)	1,124.88		—	—	2.6250	2.6861	May-Nov	8,166.67	52,500.00		20150428	20200505
BRT84JAH8	CNT HOLDINGS III CORP			4FE	435,138.51	423,485.86	438,845.45	435,663.21	(12,177.35	)	562.14		—	—	—	0.1418	M-J-S-D	—	18,384.32		20170301	20230122
191216BV1	COCA-COLA COMPANY (THE) SENIOR CORP BND		1	1FE	1,998,600.00	1,983,379.98	2,000,000.00	1,999,333.85	(15,953.87	)	1,098.66		—	—	1.3750	1.3989	May-Nov	2,368.06	69,972.22		20160525	20190530
BRTBV58Y7	COGECO COMMUNICATIONS (USA) II SECURED T		2	4FE	1,685,322.06	1,684,899.68	1,689,545.93	1,685,411.92	(512.24	)	89.86		—	—	—	0.0366	M-J-S-D	—	—		20170811	20250103
19416QEC0	COLGATE-PALMOLIVE CO SENIOR CORP BND MTN		1	1FE	483,565.00	489,445.00	500,000.00	487,849.84	1,595.16		2,099.30		—	—	2.1000	2.5910	May-Nov	1,750.00	10,500.00		20151203	20230501
19416QEB2	COLGATE-PALMOLIVE CO SENIOR CORP BND MTN			1FE	1,393,322.00	1,396,374.00	1,400,000.00	1,399,547.03	(3,173.03	)	1,758.92		—	—	0.9000	0.9981	May-Nov	2,100.00	17,087.50		20130429	20180501
19624HAA6	COLNY_14-1 SENIOR CMBS _14-1-A		4	1FE	442,473.79	439,995.05	442,474.68	441,927.24	(1,932.19	)	(180.22	)	—	—	2.5432	2.4770	Monthly	937.75	26,217.24		20141023	20500422
198280AD1	COLUMBIA PIPELINE GROUP INC SENIOR CORP		1	2FE	1,997,063.02	2,027,180.02	2,000,000.00	1,998,217.12	28,962.90		852.36		—	—	3.3000	3.3387	Jun-Dec	5,500.00	83,600.00		20160513	20200601
BRT83C0C6	COLUMBUS MCKINNON CORP SECURED TERM LOAN		2	4FE	158,801.04	160,995.52	159,599.03	158,904.59	2,090.93		222.56		—	—	—	0.0707	M-J-S-D	—	6,884.92		20170120	20240131
20030NBX8	COMCAST CORPORATION SENIOR CORP BND		1	1FE	1,005,390.00	1,007,770.08	1,000,000.00	1,005,370.99	2,399.09		(19.01	)	—	—	3.0000	2.9017	Feb-Aug	12,500.00	(11,666.67	)	20171219	20240201
20030NBD2	COMCAST CORPORATION SENIOR CORP BND			1FE	2,006,540.00	2,048,719.94	2,000,000.00	2,004,460.18	44,259.76		(902.65	)	—	—	3.1250	3.0720	Jan-Jul	28,819.44	62,500.00		20150807	20220715
20030NBV2	COMCAST CORPORATION SENIOR CORP BND		1	1FE	1,659,166.75	1,619,724.94	1,675,000.00	1,662,667.31	(42,942.37	)	2,918.59		—	—	1.6250	1.6440	Jan-Jul	12,550.86	26,916.33		20160712	20220115
12626BAE4	COMM MORTGAGE TRUST COMM_13-CR PAC SENIO		4		3,107,671.88	2,974,554.04	2,870,000.00	3,029,233.68	(54,679.64	)	(52,285.71	)	—	—	3.7950	1.8713	Monthly	9,076.38	108,916.56		20160621	20460810
12626BAB0	COMM MORTGAGE TRUST COMM_13-CR PRELCF SE		4	1FM	1,043,710.94	1,006,149.98	1,000,000.00	1,021,588.66	(15,438.68	)	2,672.94		—	—	2.9720	2.1065	Monthly	2,476.66	29,719.92		20150325	20460810
12591RAX8	COMM MORTGAGE TRUST COMM_14-CR CMBS 14-C		4		2,643,035.08	2,568,368.72	2,551,249.89	2,599,962.00	(31,593.28	)	239.45		—	—	2.9280	2.2518	Monthly	6,225.04	80,211.14		20150227	20470210
12632QAX1	COMM MORTGAGE TRUST COMM_14-CR SENIOR CM		4		7,209,485.92	7,355,390.21	7,000,000.00	7,138,719.95	216,670.26		(20,519.73	)	—	—	3.8280	3.4731	Monthly	22,330.00	267,960.00		20140619	20470715
12592RBF5	COMM MORTGAGE TRUST COMM_14-CR SUPSEN SE		4	1FM	1,812,207.04	1,806,944.97	1,750,000.00	1,791,248.52	15,696.45		(10,101.22	)	—	—	3.5280	3.0276	Monthly	5,145.00	61,740.00		20150306	20471210
12592XAZ9	COMM MORTGAGE TRUST COMM_15-CR PRELCF SE		4	1FM	1,601,627.13	1,570,410.00	1,555,000.00	1,578,210.59	(7,800.59	)	(4,842.85	)	—	—	2.8560	2.2692	Monthly	3,700.90	44,410.80		20150318	20480310
200474BC7	COMM MORTGAGE TRUST COMM_15-LC LCF SENIO		4	1FE	1,503,713.19	1,477,505.36	1,460,000.00	1,491,481.35	(13,975.99	)	(4,287.88	)	—	—	3.1830	2.8361	Monthly	3,872.65	46,471.80		20150126	20480210
12624BAC0	COMM_12-CCRE1 LCF SENIOR CMBS_12-CR1 A3		4		6,131,200.57	5,818,981.63	5,680,324.80	5,996,818.82	(177,837.19	)	(105,663.79	)	—	—	3.3910	0.7424	Monthly	16,051.67	194,806.55		20160823	20450515
126192AD5	COMM_12-LC4 SENIOR CMBS 12-LC4		4		811,507.81	773,763.58	760,000.00	790,862.37	(17,098.79	)	(14,503.76	)	—	—	3.2880	1.4343	Monthly	2,082.40	24,988.80		20160616	20441210
12630BAX6	COMM_13-CR13 PRELCF SENIOR CMBS 13-CR13		4	1FM	1,049,023.44	1,007,610.02	1,000,000.00	1,026,825.85	(19,215.83	)	1,578.00		—	—	3.0390	2.1444	Monthly	2,532.50	30,390.00		20150414	20461112
12624XAB4	COMM_13-CR6 CMBS_13-CR6 A2		4	1FM	159,756.84	158,027.88	158,113.93	158,130.68	(102.80	)	(5,144.34	)	—	—	2.1220	1.7755	Monthly	279.60	23,884.33		20140911	20460310
12625KAE5	COMM_13-CR8 SENIOR CMBS 13-CR8		4	1FM	30,725.39	31,149.30	30,000.00	30,635.88	513.42		(86.75	)	—	—	3.6120	3.2659	Monthly	90.30	1,083.60		20161219	20460610
12625UBA0	COMM_13-CR9 PAC SENIOR CMBS 2013-CR9 ASB		4		2,382,617.19	2,285,095.91	2,200,000.00	2,321,691.20	(36,595.29	)	(40,349.14	)	—	—	3.8340	1.8885	Monthly	7,029.00	84,348.00		20160620	20450710
12626GAF0	COMM_13-LC13 LCF CMBS_13-LC13 A5		4	1FM	1,174,185.55	1,147,583.99	1,075,000.00	1,140,451.36	7,132.63		(11,175.52	)	—	—	4.2050	2.9714	Monthly	3,766.98	45,203.76		20141201	20460810
12591VAB7	COMM_14-CCRE16 SENIOR SENIOR CMBS 14-CCR		4	1FM	5,149,950.85	5,048,822.00	5,000,000.00	5,033,941.29	14,880.71		(33,632.00	)	—	—	3.0420	2.3848	Monthly	12,675.00	152,100.00		20140328	20470410
12592GAZ6	COMM_14-CCRE19 SENIOR CMBS _14-CCRE19-A2		4	1FM	1,045,429.68	1,011,279.98	1,000,000.00	1,026,775.24	(15,495.26	)	410.82		—	—	2.9650	2.2153	Monthly	2,470.84	29,650.08		20150325	20470810
12630DAW4	COMM_14-CR14 PAC SENIOR CMBS 2014-CR14 A		4	1FE	4,311,792.18	4,124,591.68	3,970,000.00	4,209,807.50	(85,215.82	)	(71,676.92	)	—	—	3.7430	1.8083	Monthly	12,383.09	148,597.17		20160726	20470210

12591VAE1	COMM_14-CR16 LCF SENIOR CMBS_14-CR16 A4		4		1,623,144.14	1,558,523.44	1,470,000.00	1,577,500.14	(18,976.70	)	(15,894.46	)	—	—	4.0510	2.7461	Monthly	4,962.47	59,549.64	20150205	20470410
12632QAT0	COMM_14-CR18 SENIOR CMBS_14-CR18 A2		4		3,295,997.06	3,228,834.24	3,200,000.00	3,236,386.51	(7,552.27	)	(18,140.53	)	—	—	2.9240	2.3529	Monthly	7,797.33	93,567.96	20140619	20470715
12591TAB2	COMM_14-LC15 PRELCF SENIOR CMBS_14-LC15		4	1FM	1,041,445.31	1,007,409.97	1,000,000.00	1,022,836.57	(15,426.60	)	(4,705.95	)	—	—	2.8400	2.0899	Monthly	2,366.67	28,400.04	20150415	20470410
12592MBG4	COMM_14-LC17 PAC CMBS_14-LC17 ASB		4	1FM	1,776,500.00	1,760,401.02	1,700,000.00	1,748,864.21	11,536.81		(12,307.36	)	—	—	3.6200	2.8182	Monthly	5,128.33	61,539.96	20150915	20471010
12592EAA6	COMM_14-PAT SENIOR CMBS _14-PAT 144A		4		1,095,000.00	1,097,111.60	1,095,000.00	1,095,000.00	2,111.60		—		—	—	2.2780	2.2888	Monthly	1,316.49	20,434.14	20140918	20270813
12593JBF2	COMM_15-CCRE24 LCF SENIOR CMBS 2015-CR24		4	1FM	3,135,625.00	3,134,166.60	3,000,000.00	3,114,349.47	19,817.13		(17,380.17	)	—	—	3.6960	3.3659	Monthly	9,240.00	129,257.33	20151207	20480810
12592XBD7	COMM_15-CR22 LCF SENIOR CMBS 15-CR22 A5		4	1FM	1,055,668.24	1,042,845.22	1,025,000.00	1,047,620.32	(4,775.10	)	(4,070.89	)	—	—	3.3090	2.9637	Monthly	2,826.44	50,370.37	20150318	20480310
12592XBE5	COMM_15-CR22 SUB CMBS 15-CR22 XA		4,6	1FE	2,365,137.20	1,573,523.02	33,487,691.99	1,628,400.55	(54,877.53	)	(297,409.02	)	—	—	0.9890	3.9809	Monthly	27,643.25	378,767.38	20150319	20480310
12629NAF2	COMM_15-DC1 LCF SENIOR CMBS 15-DC1 A5		4	1FM	4,687,921.88	4,632,263.97	4,550,000.00	4,650,038.82	(17,774.85	)	(14,312.19	)	—	—	3.3500	2.9894	Monthly	12,702.07	152,424.96	20150311	20480210
12629NAB1	COMM_15-DC1 PRELCF SENIOR CMBS 15-DC1 A2		4		1,931,205.02	1,894,181.31	1,875,000.00	1,903,165.51	(8,984.20	)	(9,382.82	)	—	—	2.8700	2.2977	Monthly	4,484.38	53,812.56	20150224	20480210
12636FBF9	COMM_15-LC23 CMBS 15-LC23 144A		4	1FM	3,305,108.99	3,219,791.88	3,155,000.00	3,266,505.80	(46,713.92	)	(14,054.64	)	—	—	3.2210	2.4330	Monthly	8,468.55	101,622.60	20160323	20481010
12635WAE7	COMM_16-787S SENIOR CMBS 16-787S-B		4	1FM	686,529.27	683,744.17	667,000.00	682,987.40	756.77		(1,939.75	)	—	—	3.8319	3.5089	Monthly	2,129.89	25,913.63	20160219	20360210
12635WAA5	COMM_16-787S SENIOR CMBS_16-787S A		4	1FM	1,716,879.72	1,702,523.72	1,667,000.00	1,708,678.50	(6,154.78	)	(4,699.06	)	—	—	3.5450	3.2034	Monthly	4,924.60	59,095.20	20160219	20360210
2027A0HW2	COMMONWEALTH BANK AUSTRALIA SENIOR CORP	D		1FE	2,247,862.50	2,204,595.05	2,250,000.00	2,248,407.67	(43,812.62	)	413.16		—	—	2.0000	2.0201	Mar-Sep	14,375.00	45,000.00	20160829	20210906
20271RAL4	COMMONWEALTH BANK OF AUSTRALIA CORP BOND			1FE	339,741.60	339,187.40	340,000.00	339,926.81	(739.41	)	86.39		—	—	1.7500	1.7761	May-Nov	975.14	5,950.00	20151026	20181102
20271RAN0	COMMONWEALTH BANK OF AUSTRALIA SENIOR CO		1	1FE	2,132,224.50	2,131,541.24	2,135,000.00	2,133,867.98	(2,326.74	)	921.17		—	—	2.0500	2.0949	Mar-Sep	12,887.10	43,767.50	20160308	20190315
20271RAF7	COMMONWEALTH BANK OF AUSTRALIA SENIOR CO		1	1FE	648,063.75	645,483.73	645,000.00	646,750.19	(1,266.46	)	(1,313.56	)	—	—	2.2500	2.0191	Mar-Sep	4,353.75	8,949.37	20170127	20190313
20271RAJ9	COMMONWEALTH BANK OF AUSTRALIA SENIOR CO			1FE	2,497,099.55	2,499,150.00	2,500,000.00	2,499,795.92	(645.92	)	3,023.00		—	—	1.6250	1.6676	Mar-Sep	12,300.35	165,871.88	20150601	20180312
20281PCB6	COMMONWEALTH FING AUTH PA MUNITAX BND RE		1	1FE	2,254,340.00	2,091,700.00	2,000,000.00	2,080,777.11	10,922.89		(55,124.80	)	—	—	5.8920	2.9552	Jun-Dec	9,820.00	117,840.00	20140930	20190601
20281PCA8	COMMONWEALTH FING AUTH PA MUNITAX BND RE		1	1FE	564,185.00	507,715.00	500,000.00	507,504.72	210.28		(17,837.61	)	—	—	5.7920	2.1352	Jun-Dec	2,413.33	28,960.00	20140930	20180601
BRSTEGNQ4	COMMUNITY HLTH SYST INC SECURED TERM LOA		4	4FE	1,420,402.95	1,376,997.64	1,447,143.58	1,426,462.33	(49,464.69	)	13,451.69		—	—	—	0.3934	M-J-S-D	—	53,110.89	20160707	20210127
BRTDFT7L8	COMP_17-UK1 ABS_17-UK1-A	B	4		3,284,875.00	3,407,011.12	2,500,000.00	3,284,875.00	25,136.12		—		—	97,000.00	0.9106	0.8941	Monthly	421.87	3,537.48	20171107	20251127
BRSR05TD0	COMPONENT HARDWARE GROUP INC Initial Ter				2,959,411.76	2,900,223.52	2,959,411.76	2,959,411.76	(59,188.24	)	—		—	—	—	—	J-A-J-O	—	170,823.58	20141124	20190701
20772JKM3	CONNECTICUT (STATE OF) MUNITAX BND GO			1FE	2,273,043.50	2,258,005.75	2,275,000.00	2,274,276.91	(16,271.16	)	394.43		—	—	1.8960	1.9142	Apr-Oct	9,106.07	43,134.00	20141028	20191015
20772JQK1	CONNECTICUT (STATE OF) MUNITAX BND GO			1FE	2,556,975.00	2,501,225.00	2,500,000.00	2,509,354.76	(8,129.76	)	(14,852.80	)	—	—	2.1720	1.5650	Feb-Aug	20,513.33	54,300.00	20140923	20180815
20772JQN5	CONNECTICUT (STATE OF) MUNITAX BND GO			1FE	544,240.00	504,475.00	500,000.00	533,942.16	(29,467.16	)	(9,034.52	)	—	—	3.5170	1.5812	Feb-Aug	6,643.22	17,585.00	20161107	20210815
20774YYL5	CONNECTICUT ST HEALTH & EDL FA MUNI BND		2	1FE	572,285.00	575,535.00	500,000.00	561,203.03	14,331.97		(6,209.62	)	—	—	5.0000	3.3206	Jun-Dec	2,083.34	25,000.00	20160308	20451201
20826FAJ5	CONOCOPHILLIPS CO SENIOR CORP BND		1	1FE	3,996,240.00	4,014,760.12	4,000,000.00	3,998,161.43	16,598.69		747.48		—	—	2.2000	2.2200	May-Nov	11,244.44	88,000.00	20150513	20200515
20826FAS5	CONOCOPHILLIPS CO SENIOR CORP BND		1	1FE	1,012,844.70	1,047,817.00	997,000.00	1,011,987.36	35,829.64		14,394.55		—	—	4.2000	4.2110	Mar-Sep	12,329.56	42,737.34	20160303	20210315
BRTA843Z0	CONSOLIDATED CONTAINER CO LLC SENIOR SEC				947,625.00	953,166.35	950,000.00	947,831.13	5,335.22		212.08		—	—	—	0.0353	M-J-S-D	—	27,327.02	20170510	20240522
21870LAA4	CORE_15-CALW LCF SENIOR CMBS 15-CALW A 1		4	1FM	21,084,089.98	20,601,058.50	20,280,000.00	20,923,715.57	(322,657.07	)	(129,828.08	)	—	—	3.0400	2.0120	Monthly	51,375.99	522,271.94	20150331	20340210
21870PAA5	CORE_15-TEXW LCF SENIOR CMBS 15-TEXW A 1		4	1FM	1,671,500.00	1,625,760.02	1,600,000.00	1,655,832.82	(30,072.80	)	(12,727.54	)	—	—	3.0770	2.1855	Monthly	4,102.66	49,231.92	20161012	20340210
219350BA2	CORNING INC SENIOR CORP BND		1	2FE	3,669,557.35	3,696,927.08	3,703,000.00	3,697,574.19	(647.11	)	23,742.88		—	—	1.5000	1.5318	May-Nov	8,177.46	86,798.76	20150505	20180508
219868BW5	CORP ANDINA DE FOMENTO SENIOR CORP BND	D		1FE	1,874,831.25	1,865,568.79	1,875,000.00	1,874,922.48	(9,353.69	)	55.84		—	—	2.0000	2.0031	May-Nov	5,312.50	37,500.00	20160504	20190510

BRSTZV1D1	CORPORATE VISIONS INC Revolver				195,944.07	163,442.83	195,944.07	195,944.07	(32,501.24	)	—		—	—		—	—	F-M-A-N	—	10,576.83		20161108	20210528
BRSTZUYC9	CORPORATE VISIONS INC Term Loan				2,899,082.14	2,562,320.09	2,928,365.82	2,911,569.43	(349,249.34	)	12,887.28		—	—		—	0.1663	F-M-A-N	—	174,958.95		20150602	20210529
260543CC5	CORTS TRUST DOW CORP BND		1	2FE	785,445.00	782,819.94	750,000.00	784,838.08	(2,018.14	)	(606.92	)	—	—		4.2500	2.4052	May-Nov	4,072.92	(2,656.25	)	20171213	20201115
22160KAJ4	COSTCO WHOLESALE CORPORATION SENIOR CORP		1	1FE	4,991,250.00	4,973,049.96	5,000,000.00	4,992,561.05	(19,511.09	)	1,629.19		—	—		2.1500	2.1959	May-Nov	12,840.27	69,875.00		20170509	20210518
BRT67M737	COTY INC SECURED TERM LOAN			3FE	816,505.32	822,074.24	820,024.18	817,189.87	4,884.37		628.45		—	—		—	0.0708	M-J-S-D	—	29,869.11		20161101	20221027
G2479P4N2	COVENTRY BLDG SOC SECURED CORP BND	B		1FE	2,068,212.46	1,923,535.15	1,405,000.00	1,938,335.34	1,023.79		(74,033.32	)	—	(15,823.98	)	4.6250	1.1573	April	61,893.61	87,161.48		20150109	20180419
BRT9WZ4D5	COVENTRY BLDG SOC SENIOR CORP BND	B			390,767.48	411,650.69	305,000.00	391,054.28	154.69		286.80		—	20,441.72		1.0000	1.1149	May-Nov	649.66	1,960.46		20170426	20200505
BRSSLXJJ2	CPM HOLDINGS INC SENIOR SECURED TERM NOT				1,110,656.33	1,133,602.30	1,120,645.40	1,114,336.08	19,266.22		1,462.40		—	—		—	0.1433	M-J-S-D	—	53,994.42		20150402	20220411
12593CAE1	CPPIB CAPITAL INC SENIOR CORP BND 144A	A		1FE	5,250,338.12	5,224,368.89	5,300,000.00	5,263,454.93	(39,086.04	)	13,116.81		—	—		1.2500	1.6002	Mar-Sep	18,586.80	20,881.95		20170313	20190920
224287AA0	CRANBERRY RE LTD	D		4FE	975,000.00	985,013.25	975,000.00	975,000.00	10,013.25		—		—	—		5.0159	4.7563	J-A-J-O	10,596.03	43,494.54		20150423	20180706
224287AB8	CRANBERRY RE LTD CORP BND 144A	D			4,500,000.00	4,506,390.00	4,500,000.00	4,500,000.00	6,390.00		—		—	—		3.1213	3.1213	Monthly	7,413.06	132,800.97		20170605	20200713
141312AE8	CRBN_17-1A ABS_17-1A-B 144A	D	4		750,000.00	749,733.45	750,000.00	750,000.00	(266.55	)	—		—	—		—	—	J-A-J-O	—	—		20171106	20310120
BRT8GP371	CREATIVE ARTISTS AGENCY LLC SECURED TERM			4FE	825,288.72	831,148.91	827,357.13	825,520.84	5,628.07		268.09		—	—		—	0.0358	M-J-S-D	—	30,293.71		20170210	20240215
22532LAR5	CREDIT AGRICOLE SA/LONDON SENIOR CORP BN	D			250,377.50	248,379.99	250,000.00	250,358.13	(1,978.14	)	(19.37	)	—	—		2.3750	2.3321	Jan-Jul	2,968.75	(1,533.85	)	20171002	20210701
22535WAA5	CREDIT AGRICOLE SA/LONDON SENIOR CORP BN	D		2FE	309,381.00	304,536.00	300,000.00	308,758.28	(4,222.28	)	(580.36	)	—	—		3.3750	2.6061	Jan-Jul	4,809.38	12,065.62		20170907	20220110
22535WAD9	CREDIT AGRICOLE SA/LONDON SENIOR CORP BN	D		2FE	3,026,983.60	3,018,750.50	3,040,000.00	3,027,197.73	(8,447.23	)	214.13		—	—		3.2500	3.3090	Apr-Oct	23,876.67	(10,291.67	)	20170927	20241004
22532LAL8	CREDIT AGRICOLE SA/LONDON SENIOR CORP BN	D		1FE	998,740.00	1,003,239.97	1,000,000.00	999,660.94	3,579.03		894.97		—	—		2.5000	2.5270	Apr-Oct	5,277.78	103,333.33		20140409	20190415
22535WAB3	CREDIT AGRICOLE SA/LONDON SENIOR LOCAL B	D		2FE	609,102.00	624,288.02	600,000.00	608,631.98	15,656.04		(500.71	)	—	—		4.1250	3.9341	Jan-Jul	11,756.25	4,984.37		20170510	20270110
225433AH4	CREDIT SUISSE GROUP FUNDING GU CORP BND	D		2FE	551,397.00	566,666.65	550,000.00	551,176.93	15,489.72		(208.54	)	—	—		3.8000	3.7499	Mar-Sep	6,153.89	20,900.00		20161129	20220915
225433AD3	CREDIT SUISSE GROUP FUNDING GU SENIOR CO	D		2FE	508,040.00	501,351.00	500,000.00	507,083.63	(5,732.63	)	(956.37	)	—	—		2.7500	2.0968	Mar-Sep	3,628.47	572.92		20170907	20200326
225433AK7	CREDIT SUISSE GROUP FUNDING GU SENIOR CO	D		2FE	3,039,480.00	3,034,584.00	3,000,000.00	3,038,669.15	(4,085.15	)	(810.85	)	—	—		3.1250	2.6699	Jun-Dec	5,468.75	347.22		20171205	20201210
225401AB4	CREDIT SUISSE GROUP SENIOR CORP BND 144A	D	1	2FE	8,361,455.00	8,383,814.52	8,250,000.00	8,357,787.36	26,027.16		(3,667.64	)	—	—		3.5740	2.9480	Jan-Jul	140,875.16	56,067.14		20170104	20230109
22546QAV9	CREDIT SUISSE NEW YORK NY SENIOR CORP BN			1FE	248,395.00	249,842.50	250,000.00	249,807.38	35.12		597.84		—	—		1.7000	1.9441	Apr-Oct	755.56	4,250.00		20150807	20180427
22546QAR8	CREDIT SUISSE NEW YORK NY SENIOR CORP BN			1FE	256,272.50	253,232.52	250,000.00	255,890.09	(2,657.57	)	(382.41	)	—	—		3.0000	2.3521	Apr-Oct	1,291.67	645.83		20170926	20211029
12595KAA9	CREDITSUISSEMORTGAGECAPITAL LCFSENIORCMB		4		1,050,000.00	1,049,999.27	1,050,000.00	1,050,000.00	(0.73	)	—		—	—		2.1450	2.1476	Monthly	813.31	—		20171212	20201215
227170AE7	CRNN_13-1A ABS_13-1A A 144A	D	4	1FE	1,864,989.56	1,860,233.95	1,866,666.67	1,865,086.53	(4,852.58	)	227.97		—	—		3.0800	3.1312	Monthly	2,076.15	22,066.24		20170808	20280418
22845TAU3	CRNPT_15-3A ABS 15-3A 144A		4	1FE	1,000,000.00	1,001,227.40	1,000,000.00	1,000,000.00	1,227.40		—		—	—		2.8092	2.7877	J-A-J-O	6,008.50	—		20170926	20271231
BRSL3FE10	CROSBY US ACQUISITION CORP SENIOR SECURE			4FE	1,975,128.04	1,921,238.40	1,977,600.00	1,976,567.28	(55,328.88	)	370.97		—	—		—	0.0178	J-A-J-O	—	83,538.79		20131219	20201123
3137BUQZ4	CS7468 AGCYSEN AGENCY CMO		4		3,842,961.84	3,815,793.92	3,707,409.65	3,830,088.12	(14,294.20	)	(41,852.78	)	—	—		3.5000	2.7427	Monthly	10,813.28	120,169.85		20170106	20430515
126281AX2	CSAIL COMMERCIAL MORTGAGE TRUS PRELCF SE		4	1FM	2,488,428.66	2,445,976.68	2,425,000.00	2,464,070.15	(18,093.47	)	(3,459.48	)	—	—		2.9699	2.4726	Monthly	6,001.68	77,959.96		20150306	20500415
126281AZ7	CSAIL_15-C1 LCF SENIOR CMBS_15-C1 A4		4	1FM	3,280,627.58	3,269,103.84	3,175,000.00	3,259,850.47	9,253.37		(9,938.54	)	—	—		3.5050	3.1455	Monthly	9,273.64	111,186.37		20150306	20500415
12595BAB7	CSAIL_17-C8 CMBS_17-C8-A2		4	1FE	5,149,998.50	5,053,696.00	5,000,000.00	5,134,212.43	(80,516.43	)	(15,786.07	)	—	—		2.9855	2.3035	Monthly	12,439.63	63,027.47		20170621	20500615
12652DAN7	CSAIL_17-CX10 CMBS_17-CX10-ST 144A		4		1,029,992.00	1,024,904.70	1,000,000.00	1,029,764.40	(4,859.70	)	(227.60	)	—	—		3.9445	3.5943	Monthly	3,287.08	109.57		20171117	20271115
BRT92S154	CSC HOLDINGS LLC SENIOR SECURED TERM LOA			3FE	2,814,913.93	2,809,317.04	2,823,434.21	2,815,576.96	(6,259.92	)	875.29		—	—		—	0.0603	M-J-S-D	—	65,092.96		20170315	20250717

22541QFV9	CSFB_03-17 WHOLE LOAN__03-17-1A4		4	2FM	234,093.30	232,724.67	230,080.70	233,769.24	(1,044.57	)	(952.06	)	—	—	5.5000	4.8701	Monthly	1,054.54	14,673.81		20140930	20330625
225470XD0	CSMC_06-0MA SUB SENIOR CMBS 06-0MA 144A		4	1FE	650,976.56	628,558.02	600,000.00	634,948.93	(6,390.91	)	(14,138.45	)	—	—	5.5380	2.9518	Monthly	2,769.00	33,228.00		20161115	20230515
BRSVA6HU3	CUSTOM WINDOW SYSTEMS INC Revolver				622,073.17	588,835.79	622,073.17	622,073.17	(33,237.38	)	—		—	—	—	—	M-J-S-D	—	26,438.07		20151218	20190731
BRSVA6N02	CUSTOM WINDOW SYSTEMS INC Term Loan A (F				3,770,555.26	3,619,733.05	3,770,555.26	3,770,555.26	(150,822.21	)	—		—	—	—	—	M-J-S-D	—	222,235.39		20150731	20190731
126650CE8	CVS HEALTH CORP SENIOR CORP BND		1	2FE	7,798,283.80	7,723,468.90	7,745,000.00	7,774,299.13	(50,830.23	)	(17,594.96	)	—	—	2.2500	2.3131	Feb-Aug	67,284.72	170,375.00		20141218	20190812
126650CJ7	CVS HEALTH CORP SENIOR CORP BND		1	2FE	2,998,234.60	2,995,984.67	2,985,000.00	2,993,853.46	2,131.21		(2,021.50	)	—	—	2.8000	2.4263	Jan-Jul	37,378.85	69,288.32		20150713	20200720
126650CT5	CVS HEALTH CORP SENIOR CORP BND		1	2FE	2,443,164.50	2,393,870.50	2,450,000.00	2,445,270.55	(51,400.05	)	1,367.03		—	—	2.1250	2.1840	Jun-Dec	4,338.55	61,034.72		20160516	20210601
12668AZL2	CWALT_05-73CB CMO_05-64CB 1A		4	4FM	144,533.56	146,791.22	147,342.28	144,608.02	2,183.20		(2,787.18	)	—	—	5.5000	5.9161	Monthly	675.32	8,969.83		20080102	20351225
BRT6D2NM4	CWGS GROUP LLC SENIOR SECURED TERM LOAN			4FE	1,884,812.75	1,902,864.64	1,892,612.35	1,885,875.00	16,989.64		1,055.02		—	—	—	0.0713	M-J-S-D	—	69,611.88		20161103	20231108
BRSNKBKE1	DAIMLER AG CORP BND EMTN	B			585,773.90	623,078.10	440,000.00	580,654.41	618.57		(5,119.49	)	—	41,805.12	2.7500	1.0959	December	1,255.64	7,733.70		20170418	20201204
BRT7BQ0B0	DAIMLER AG SENIOR CORP BND	B			750,824.76	792,613.92	586,000.00	751,821.09	2,311.37		966.94		—	38,481.48	1.0000	1.1590	December	260.62	6,159.47		20161212	20191220
23384NAR8	DAIMLER CANADA FINANCE INC SENIOR CORP B				467,633.66	474,641.45	600,000.00	467,775.35	(2,299.38	)	141.69		—	9,165.48	1.7800	2.0317	Feb-Aug	3,126.96	(2,061.39	)	20171115	20190819
233851CN2	DAIMLER FINANCE NORTH AMERICA SENIOR COR		1		1,000,230.00	997,429.96	1,000,000.00	1,000,175.65	(2,745.69	)	(54.35	)	—	—	2.3000	2.2910	Jan-Jul	11,180.56	7,602.78		20170302	20200106
233851CF9	DAIMLER FINANCE NORTH AMERICA SENIOR COR		1	1FE	1,981,220.00	1,975,919.96	2,000,000.00	1,986,165.95	(10,245.99	)	4,945.95		—	—	1.5000	1.9669	Jan-Jul	14,666.67	1,833.33		20170608	20190705
BRSTB5SJ2	DAIMLER FINANCE NORTH AMERICA SENIOR COR			1FE	3,495,520.00	3,495,842.00	3,500,000.00	3,499,422.86	(3,580.86	)	1,508.94		—	—	1.6500	1.6939	May-Nov	6,897.92	57,750.00		20150511	20180518
233851CH5	DAIMLER FINANCE NORTH AMERICA SENIOR COR		1	1FE	4,268,634.60	4,237,900.94	4,330,000.00	4,281,089.19	(43,188.25	)	15,161.51		—	—	2.0000	2.3639	Jan-Jul	42,097.22	120,473.33		20160630	20210706
233851CD4	DAIMLER FINANCE NORTH AMERICA SENIOR COR			1FE	3,333,000.00	3,355,364.43	3,333,000.00	3,333,000.00	22,364.43		—		—	—	2.0825	2.0825	J-A-J-O	16,966.82	61,402.32		20160630	20190705
233851CM4	DAIMLER FINANCE NORTH AMERICA SENIOR COR		1	1FE	699,006.00	691,858.98	700,000.00	699,388.09	(7,529.11	)	326.52		—	—	1.7500	1.7988	Apr-Oct	2,075.69	12,250.00		20161026	20191030
233851CA0	DAIMLER FINANCE NORTH AMERICA SENIOR COR		1	1FE	253,705.00	251,192.48	250,000.00	253,381.11	(2,188.63	)	(323.89	)	—	—	2.7000	2.1600	Feb-Aug	2,775.00	(1,031.25	)	20170926	20200803
233851CS1	DAIMLER FINANCE NORTH AMERICA SENIOR COR		1		1,846,572.00	1,828,026.24	1,820,000.00	1,845,357.80	(17,331.56	)	(1,214.20	)	—	—	2.8500	2.4831	Jan-Jul	25,214.58	(14,408.33	)	20171012	20220106
233851CU6	DAIMLER FINANCE NORTH AMERICA SENIOR COR		1	1FE	263,934.70	271,034.07	265,000.00	264,024.15	7,009.92		89.45		—	—	3.4500	3.4980	Jan-Jul	4,444.27	4,571.25		20170103	20270106
233851CZ5	DAIMLER FINANCE NORTH AMERICA SENIOR COR		1		1,347,178.50	1,339,213.45	1,350,000.00	1,347,276.70	(8,063.25	)	98.20		—	—	2.3000	2.3678	Feb-Aug	4,053.75	—		20171109	20210212
N3114MAG8	DAIMLER INTERNATIONAL FINANCE SENIOR COR	B		1FE	886,022.49	889,432.64	635,000.00	856,967.06	(4,163.44	)	(25,039.27	)	—	36,629.02	3.5000	0.6531	June	17,215.23	39,748.47		20160926	20190606
235308QJ5	DALLAS TEX INDPT SCH DIST MUNITAX BND GO			1FE	5,835,830.00	5,434,408.00	5,300,000.00	5,455,541.72	(21,133.72	)	(160,628.09	)	—	—	4.2500	1.6002	Feb-Aug	85,094.45	281,562.50		20150225	20190215
2354167B4	DALLAS TEX MUNITAX BND REV			1FE	1,750,000.00	1,745,432.50	1,750,000.00	1,750,000.00	(4,567.50	)	—		—	—	1.9600	1.9600	Apr-Oct	8,575.00	34,300.00		20150311	20191001
2354167C2	DALLAS TEX MUNITAX BND REV			1FE	1,500,000.00	1,502,565.00	1,500,000.00	1,500,000.00	2,565.00		—		—	—	2.2100	2.2100	Apr-Oct	8,287.50	33,150.00		20150311	20201001
235851AN2	DANAHER CORPORATION SENIOR CORP BND		1	1FE	3,405,557.30	3,398,632.65	3,405,000.00	3,405,247.69	(6,615.04	)	(149.81	)	—	—	1.6500	1.6960	Mar-Sep	16,542.62	72,554.63		20150910	20180915
23636TAD2	DANONE SA SENIOR CORP BND 144A	D	1	2FE	950,000.00	925,888.99	950,000.00	950,000.00	(24,111.01	)	—		—	—	2.5890	2.5872	May-Nov	4,030.93	24,595.50		20161026	20231102
23636TAB6	DANONE SA SENIOR CORP BND 144A	D	1	2FE	5,125,000.00	5,062,423.70	5,125,000.00	5,125,000.00	(62,576.30	)	—		—	—	1.6910	1.6910	Apr-Oct	14,684.69	86,182.29		20161026	20191030
23636AAF8	DANSKE BK A/S SENIOR COPR BND 144A	D		1FE	2,796,416.00	2,770,515.98	2,800,000.00	2,797,970.76	(27,454.78	)	1,183.10		—	—	1.6500	1.6940	Mar-Sep	14,758.33	45,943.33		20160831	20190906
23636AAE1	DANSKE BK A/S SENIOR CORP BND 144A	D		1FE	1,839,576.80	1,853,248.02	1,840,000.00	1,839,723.48	13,524.54		81.82		—	—	2.8000	2.8050	Mar-Sep	15,885.33	51,520.00		20160307	20210310
23636AAK7	DANSKE BK A/S SENIOR CORP BND 144A	D		1FE	1,259,406.00	1,254,330.04	1,260,000.00	1,259,673.72	(5,343.68	)	267.72		—	—	2.2000	2.1010	Mar-Sep	9,163.00	10,422.50		20170223	20200302
23636BAK5	DANSKE BK A/S SENIOR CORP BND MTN	D			1,797,930.00	1,791,144.00	1,800,000.00	1,798,492.24	(7,348.24	)	562.24		—	—	2.2000	2.2398	Mar-Sep	13,090.00	19,800.00		20170223	20200302
233062AA6	DBCG_17-BBG CMBS 17-BBG-A 144A		4	1FE	6,410,000.00	6,409,994.23	6,410,000.00	6,410,000.00	(5.77	)	—		—	—	2.1770	2.1869	Monthly	6,589.75	58,207.58		20170614	20340615

23312LAS7	DBJPM_16-C1 LCF SENIOR CMBS 16-C1		4	1FE	2,059,982.60	2,027,121.00	2,000,000.00	2,050,325.46	(23,204.46	)	(5,594.66	)	—	—		3.2760	2.9265		Monthly	5,460.00	65,520.00		20160331	20490510
23312JAB9	DBJPM_17-C6 CMBS_17-C6-A2		4		4,119,989.40	4,035,998.40	4,000,000.00	4,109,958.98	(73,960.58	)	(10,030.42	)	—	—		2.9170	2.3627		Monthly	9,723.33	49,264.87		20170614	20500610
254683BP9	DCENT_15-A2 SENIOR ABS 15-A2 A		4	1FE	5,087,176.21	5,067,497.39	5,100,000.00	5,087,735.78	(20,238.39	)	353.37		—	—		1.9000	1.9140		Monthly	4,306.66	39,900.00		20150422	20221017
254683BV6	DCENT_16-A4 ABS 16-A4		4	1FE	1,999,687.50	1,975,351.40	2,000,000.00	1,999,784.13	(24,432.73	)	79.58		—	—		1.3900	1.3982		Monthly	1,235.55	27,800.04		20161006	20220315
BRTDCUCM0	DELAM_17-1 ABS17-1	B	4		2,111,120.00	2,164,421.64	1,600,000.00	2,111,120.00	21.64		—		—	53,280.00		1.0240	1.0254		Monthly	789.38	2,501.24		20171030	20221019
Z91S44T73	DELAMARE CARDS MTN ISSUER PLC ABS 15-1A1	B	4	1FE	991,250.00	879,832.66	650,000.00	991,250.00	545.16		—		—	(111,962.50	)	1.1440	1.1467		Monthly	358.26	7,765.74		20150506	20200419
24702JAC3	DELL EQUIPMENT FINANCE TRUST D SENIOR AB		4		1,000,000.00	1,000,478.60	1,000,000.00	1,000,000.00	478.60		—		—	—		1.8349	1.8387		Monthly	509.69	2,519.20		20171017	20200224
BRTD9DAW2	DELL INTERNATIONAL LLC SECURED TERM LOAN		2	2FE	2,864,931.64	2,873,775.25	2,875,866.00	2,865,271.55	8,503.70		339.91		—	—		—	0.0706		M-J-S-D	—	16,787.29		20171020	20230907
BRSP9DPN0	DELTA 2 (LUX) SARL SENIOR SECURED TERM N	D	4		1,993,351.45	2,011,518.26	2,002,341.53	1,996,502.30	15,015.96		23.59		—	—		—	0.0527		M-J-S-D	—	167,635.54		20140730	20240201
249670AA8	DEPOSITORY TRUST & CLEARING CO CAPSEC CO		2	1FE	1,750,000.00	1,820,000.00	1,750,000.00	1,750,000.00	70,000.00		—		—	—		4.8750	4.8727		Jun-Dec	3,791.67	81,089.55		20150519	20491231
25152R5E9	DEUTSCHE BANK AG SENIORCORPBND	D		2FE	4,077,840.00	4,075,759.89	4,000,000.00	4,076,319.90	(560.01	)	(1,520.10	)	—	—		3.3198	1.9072		F-M-A-N	19,181.12	(15,492.45	)	20171220	20190510
23312JAG8	DEUTSCHE BANK COMMERCIAL MORTG CMBS_17-C		4,6	1	997,838.04	931,067.13	13,128,321.57	927,110.43	3,956.70		(72,375.31	)	—	—		1.0421	(9.6671	)	Monthly	11,405.67	62,529.15		20170615	20500610
25156PAW3	DEUTSCHE TELEKOM INTERNATIONAL SENIOR CO	D	1	2FE	974,415.00	970,203.03	975,000.00	974,596.14	(4,393.11	)	181.14		—	—		2.2250	2.2459		Jan-Jul	9,882.71	10,726.35		20170109	20200117
25156PAY9	DEUTSCHE TELEKOM INTERNATIONAL SENIOR CO	D	1	2FE	402,444.00	400,528.02	400,000.00	402,393.79	(1,865.77	)	(50.21	)	—	—		2.8200	2.6582		Jan-Jul	5,076.00	(4,010.67	)	20171122	20220119
BRTBKEXQ9	DEXKO GLOBAL INC SENIOR SECURED TERM LOA				685,762.73	695,239.35	689,208.77	685,976.68	9,262.67		222.59		—	—		—	0.0706		M-J-S-D	—	15,972.13		20170713	20240724
BRT1UYV70	DFUND_16-1 ABS_16-1 A1B	B	4		535,846.67	502,529.89	369,180.25	535,846.67	3,121.31		(0.01	)	—	(36,438.09	)	1.1538	1.1552		J-A-J-O	1,199.74	6,680.60		20160520	20630417
25272KAA1	DIAMOND 1 FINANCE CORPORATION/ SR SECURE		1	2FE	6,918,270.00	7,005,600.40	6,920,000.00	6,919,162.10	86,438.30		568.24		—	—		3.4800	3.4888		Jun-Dec	20,068.00	240,816.00		20160517	20190601
BRTBPET48	DIAMOND BC BV SENIOR SECURED TERM LOAN	D	2	4	668,964.23	672,082.71	670,640.83	669,039.61	3,043.10		75.38		—	—		—	0.0353		M-J-S-D	—	6,673.57		20170725	20240906
BRT9RA7G6	DIEBOLD INCORPORATED SR SECURED TERM NOT			3FE	1,234,813.57	1,241,742.35	1,241,742.35	1,235,503.15	6,239.20		741.95		—	—		—	0.1323		M-J-S-D	—	29,546.00		20170509	20231106
3137FC7L2	DIR CMO__6020 BA		4		11,088,540.47	10,972,287.62	10,894,482.50	11,086,859.15	(114,571.53	)	(3,560.85	)	—	—		3.0000	2.7010		Monthly	27,236.21	916.66		20171108	20470415
BRSR4UG37	DISA HOLDINGS A/S SENIOR SECURED TERM NO	C			238,761.98	236,207.23	238,761.98	238,761.98	(2,554.75	)	—		—	—		—	—		M-J-S-D	—	3,511.64		20171101	20201209
BRTASU3H0	DISA HOLDINGS ACQUISITION SUBS Increment				509,648.65	508,374.53	509,648.65	509,648.65	(1,274.12	)	—		—	—		—	—		M-J-S-D	—	15,756.33		20170601	20201212
BRSR4UG78	DISA HOLDINGS ACQUISITION SUBS Term Loan				5,242,722.33	5,216,508.72	5,242,722.33	5,242,722.33	(26,213.61	)	—		—	—		—	—		M-J-S-D	—	350,031.01		20141224	20201209
254683CB9	DISCOVER CARD EXECUTION NOTE T ABS_17-6-		4	1FE	2,999,338.20	2,973,750.00	3,000,000.00	2,999,380.11	(25,630.11	)	41.91		—	—		1.8800	1.8915		Monthly	2,506.67	18,956.67		20170807	20230215
254683BB0	DISCOVER CARD MASTER TRUST ABS 13		4		3,950,000.00	3,951,329.97	3,950,000.00	3,950,000.00	1,329.97		—		—	—		1.7770	1.7836		Monthly	3,314.65	55,018.57		20130206	20200817
254683BK0	DISCOVER CARD MASTER TRUST SENIOR ABS_14		4	1FE	3,291,129.70	3,261,358.99	3,260,000.00	3,275,895.56	(14,536.57	)	(9,992.11	)	—	—		2.1200	1.2516		Monthly	3,130.53	29,755.97		20160413	20211215
BRTCDG3B6	DISCOVERORG LLC Term Loan				6,464,233.70	6,431,912.53	6,464,233.70	6,464,233.70	(32,321.17	)	—		—	—		—	—		M-J-S-D	—	178,792.95		20170825	20230825
25470DAM1	DISCOVERY COMMUNICATIONS LLC SENIOR CORP		1	2FE	114,782.65	116,664.05	115,000.00	114,804.82	1,859.23		22.17		—	—		3.8000	3.8310		Mar-Sep	1,311.00	2,185.00		20170228	20240313
25470DAN9	DISCOVERY COMMUNICATIONS LLC SENIOR CORP		1	2FE	294,884.95	293,648.90	295,000.00	294,900.87	(1,251.97	)	15.92		—	—		2.2000	2.2201		Mar-Sep	1,802.78	—		20170907	20190920
254845GB0	DISTRICT COLUMBIA WTR & SWR AU MUNI BND		2	1FE	569,945.00	513,010.00	500,000.00	513,346.99	(336.99	)	(17,656.25	)	—	—		5.0000	1.3945		Apr-Oct	6,250.00	25,000.00		20140930	20241001
254764JW4	DISTRICT OF COLUMBIA MUNI BND REV		2	1FE	1,142,230.00	1,162,960.00	1,000,000.00	1,128,944.11	34,015.89		(13,285.89	)	—	—		5.0000	3.1701		Jan-Jul	23,055.56	24,722.23		20170111	20320715
233046AD3	DNKN_15-1A ABS 15-1A A2II 144A		4	2FE	1,458,750.00	1,488,960.71	1,458,750.00	1,458,750.00	30,210.71		—		—	—		3.9800	3.9981		F-M-A-N	6,612.19	58,431.38		20150122	20450220
25746UBU2	DOMINION RESOURCES INC CAPSEC CORP BND			2FE	4,764,424.80	4,778,156.67	4,740,000.00	4,759,270.91	18,885.76		(4,521.53	)	—	—		2.9620	2.9285		Jan-Jul	70,199.40	87,440.71		20160523	20190701
25746UBE8	DOMINION RESOURCES INC CORP BND			2FE	563,170.00	509,710.00	500,000.00	509,977.30	(267.30	)	(21,711.76	)	—	—		6.4000	1.9549		Jun-Dec	1,422.22	32,000.00		20150701	20180615

25746UCQ0	DOMINION RESOURCES INC SENIOR CORP BND		1	2FE	244,830.95	243,990.59	245,000.00	244,911.93	(921.34	)	80.98		—	—	1.8750	1.9101	Jan-Jul	2,118.23	2,335.16	20170109	20190115
25746UCD9	DOMINION RESOURCES INC SENIOR CORP BND		1	2FE	5,498,580.00	5,499,120.00	5,500,000.00	5,499,781.19	(661.19	)	476.30		—	—	1.9000	1.9121	Jun-Dec	4,644.44	104,500.00	20150609	20180615
25746UCT4	DOMINION RESOURCES INC SUB CORP BND			2FE	825,849.75	824,769.00	825,000.00	825,683.23	(914.23	)	(166.52	)	—	—	2.5790	2.5446	Jan-Jul	10,638.38	2,541.38	20170515	20200701
BRT5CF7G9	DONNELLEY FINANCIAL SOLUTIONS SENIOR SEC			3FE	46,469.79	46,907.86	46,703.30	46,510.73	397.13		875.66		—	—	—	0.0709	M-J-S-D	—	11,348.92	20160926	20230929
BRTCWXV43	DONNELLEY FINANCIAL SOLUTIONS SENIOR SEC				139,507.00	140,635.14	140,109.73	139,532.01	1,103.13		131.37		—	—	—	0.0709	M-J-S-D	—	1,633.43	20171002	20230929
06742LAE3	DROCK_14-3 ABS_14-3 A		4	1FE	9,042,500.87	9,084,262.00	9,045,000.00	9,043,728.56	40,533.44		376.45		—	—	2.4100	2.4266	Monthly	9,688.20	217,984.44	20140912	20220715
06742LAH6	DROCK_15-1 ABS 15-1 A		4	1FE	4,754,488.90	4,745,738.59	4,750,000.00	4,754,610.40	(8,871.81	)	(29.75	)	—	—	2.2000	2.2164	Monthly	4,644.44	34,650.00	20150305	20221215
Z923YQXD7	DRVRUK_4 SENIOR ABS 4	B	4		557,161.70	616,468.97	456,839.70	557,161.70	(1,520.94	)	—		—	60,828.20	1.0606	1.0630	Monthly	89.80	6,497.25	20161021	20250325
Z927P5C05	DRVUK_5 SENIOR ABS _5-A	B	4		732,977.24	732,608.71	541,555.30	732,915.50	(577.79	)	(132.87	)	—	271.00	0.9406	0.8867	Monthly	94.39	1,658.51	20170919	20250725
BRTCD0CS4	DRVUK_6 ABS 6	B	4		1,954,200.00	2,029,125.00	1,500,000.00	1,954,200.00	—		—		—	74,925.00	0.9706	0.9717	Monthly	377.71	4,284.26	20170905	20260225
23342EAA6	DTAOT_17-3A ABS_17-3A-A 144A		4	1FE	722,390.11	721,352.51	722,410.55	722,387.91	(1,035.40	)	5.66		—	—	1.7300	1.7369	Monthly	555.45	5,140.80	20170808	20200817
233331AY3	DTE ENERGY COMPANY SENIOR CORP BND		1	2FE	449,536.50	432,269.99	450,000.00	449,586.37	(17,316.38	)	40.57		—	—	2.8500	2.8620	Apr-Oct	3,206.25	12,682.50	20160929	20261001
BRSV5TM33	DTZ US BORROWER LLC SENIOR SECURED TERM			4FE	1,556,925.04	1,542,674.86	1,564,748.77	1,559,797.53	(17,122.67	)	2,565.95		—	—	—	0.0813	M-J-S-D	—	138,628.71	20150812	20211104
26442CAD6	DUKE ENERGY CORP CORP BND		1	1FE	2,177,940.00	2,016,700.00	2,000,000.00	2,020,655.34	(3,955.34	)	(71,733.83	)	—	—	5.1000	1.4589	Apr-Oct	21,533.33	102,000.00	20151013	20180415
26441CAW5	DUKE ENERGY CORP SENIOR CORP BND		1	2FE	3,048,676.15	3,001,659.64	3,055,000.00	3,049,146.31	(47,486.67	)	470.16		—	—	2.4000	2.4441	Feb-Aug	28,717.00	—	20170807	20220815
26441CAK1	DUKE ENERGY CORP SENIOR CORP BND		1	2FE	2,310,146.80	2,280,205.20	2,280,000.00	2,283,966.98	(3,761.78	)	(11,025.61	)	—	—	2.1000	1.6099	Jun-Dec	2,128.00	47,880.00	20150218	20180615
26441CAR6	DUKE ENERGY CORP SENIOR CORP BND		1	2FE	1,655,310.00	1,613,254.36	1,660,000.00	1,655,798.22	(42,543.86	)	476.06		—	—	1.8000	1.8020	Mar-Sep	9,960.00	28,644.50	20160809	20210901
341099CK3	DUKE ENERGY FLORIDA LLC SECURED CORP BND		1	1FE	360,821.50	330,479.50	325,000.00	330,779.21	(299.71	)	(12,599.09	)	—	—	5.6500	1.6939	Jun-Dec	816.11	18,362.50	20150729	20180615
26442UAD6	DUKE ENERGY PROGRESS INC SECURED CORP BN			1FE	3,440,000.00	3,440,344.07	3,440,000.00	3,440,000.00	344.07		—		—	—	1.7026	1.7026	M-J-S-D	3,904.69	13,019.17	20170905	20200908
BRTBRPNY1	DURAVANT LLC SENIOR SECURED TERM LOAN		2	4FE	85,277.43	85,277.43	85,277.43	85,277.43	—		—		—	—	—	—	M-J-S-D	—	1,112.97	20170725	20240719
N3033QAJ1	E.ON INTERNATIONAL FINANCE BV CORP BND	B		2FE	1,766,697.85	1,842,606.48	1,250,000.00	1,688,324.41	(3,102.95	)	(76,490.43	)	—	157,385.02	6.0000	0.9218	October	17,511.63	92,805.00	20161221	20191030
29100XAA3	EAFL_13-1 ABS 13- 1 A 144A	D	4	1FE	2,101,668.79	2,122,731.06	2,080,860.20	2,091,765.27	30,965.79		(4,959.78	)	—	—	4.6500	4.3192	Monthly	4,300.44	101,189.16	20141210	20381015
27332QAB0	EAST LANE RE VI LTD SENIOR CORP BND 144A	D		3	469,000.00	472,555.02	469,000.00	469,000.00	3,555.02		—		—	—	4.6792	4.7062	M-J-S-D	1,463.04	36,707.02	20150302	20200313
278642AR4	EBAY INC. SENIOR CORP BND		1	2FE	2,456,399.40	2,441,279.37	2,460,000.00	2,456,834.67	(15,555.30	)	435.27		—	—	2.1500	2.1850	Jun-Dec	3,819.84	20,564.75	20170530	20200605
278642AT0	EBAY INC. SENIOR CORP BND			2FE	2,007,560.00	2,006,660.00	2,000,000.00	2,006,836.24	(176.24	)	(723.76	)	—	—	2.2480	2.1776	J-A-J-O	7,867.86	17,420.47	20170531	20230130
26827EAC9	ECAF I A-2 2015-1 ABS 2015-1A A2 144A	D	4	1FE	458,590.61	462,588.60	462,056.03	459,706.51	2,882.09		697.72		—	—	4.9470	5.2364	Monthly	1,015.91	23,639.39	20151130	20400615
Z928U70E6	ECARA_8 SENIOR ABS_8-A	B	4	1FE	3,013,763.12	3,013,815.56	2,226,921.96	3,013,454.39	(753.06	)	(632.34	)	—	1,114.23	0.8724	0.8067	Monthly	1,008.07	5,683.71	20170919	20240318
278865AY6	ECOLAB INC SENIOR CORP BND		1	2FE	3,248,310.00	3,211,227.47	3,250,000.00	3,248,435.32	(37,207.85	)	125.32		—	—	2.3750	2.3861	Feb-Aug	30,231.77	—	20170807	20220810
BRSAC1000	EDEN RE LTD				12,251,250.00	11,409,313.00	12,251,250.00	12,251,250.00	(841,937.00	)	—		—	—	—	—	M-J-S-	—	—	20151212	20181231
281379AA5	EDUSA_10-1 ABS 10-1-A1 144A		4	1FE	109,565.39	109,671.84	109,565.39	109,565.39	106.45		—		—	—	2.2174	2.2235	J-A-J-O	458.91	2,896.73	20100223	20230725
26971HAA0	EGLE_14-1A ABS_14-1A A1 144A	D	4	1FE	1,249,801.58	1,243,386.38	1,250,000.00	1,249,819.31	(6,432.93	)	194.03		—	—	2.5700	2.5849	Monthly	1,427.78	49,526.04	20141212	20391215
263534CL1	EI DU PONT DE NEMOURS & CO SENIOR CORP B		1	1FE	6,366,790.85	6,361,464.03	6,370,000.00	6,367,670.43	(6,206.40	)	980.15		—	—	2.2000	1.9179	May-Nov	23,356.66	73,640.70	20170427	20200501
BRT8Z1J76	ELDORADO RESORTS INC SENIOR SECURED TERM			3FE	1,188,643.37	1,188,437.16	1,188,437.16	1,188,061.23	375.93		(688.43	)	—	—	—	—	M-J-S-D	—	37,359.62	20170316	20240417
BRSLX7XX4	ELECTRICITE DE FRANCE SA SENIOR CORP BND	D		1FE	3,163,264.00	3,197,830.40	3,200,000.00	3,191,867.18	5,963.22		7,509.80		—	—	2.1500	2.3950	Jan-Jul	30,386.67	68,800.00	20140113	20190122

268317AJ3	ELECTRICITE DE FRANCE SA SENIOR CORP BND	D		1FE	4,863,518.40	4,920,737.95	4,920,000.00	4,907,495.79	13,242.16		11,546.32		—	—	2.1500	2.3950	Jan-Jul	46,719.50	105,780.00		20140113	20190122
532457BK3	ELI LILLY AND COMPANY SENIOR CORP BND			1FE	109,903.20	109,848.20	110,000.00	109,994.63	(146.43	)	147.39		—	—	1.2500	1.2801	Mar-Sep	458.33	8,788.19		20150224	20180301
268648AP7	EMC CORP/ MASSACHUSETTS SENIOR CORP BND		1	3FE	2,299,121.00	2,291,464.70	2,300,000.00	2,299,923.12	(8,458.42	)	183.06		—	—	1.8750	1.8871	Jun-Dec	3,593.75	43,125.00		20130603	20180601
BRSMKZQ95	EMPIRE GENERATING CO LLC SENIOR SECURED			4FE	693,687.69	578,073.08	700,694.64	697,439.92	(119,366.84	)	2,283.68		—	—	—	0.1438	M-J-S-D	—	47,347.41		20140313	20210312
BRSMKZQU8	EMPIRE GENERATING CO LLC SENIOR SECURED			4FE	68,583.08	57,152.56	69,275.83	68,954.05	(11,801.49	)	108.17		—	—	—	0.1438	M-J-S-D	—	4,220.69		20140313	20210312
BRT9PEXH9	ENDO LUXEMBOURG FINANCE I COMP SECURED T	D	2	3FE	1,359,883.41	1,373,062.66	1,366,716.99	1,360,517.83	12,544.83		668.76		—	—	—	0.0709	M-J-S-D	—	48,771.41		20170412	20240429
T36792DD7	ENEL S.P.A. SENIOR CORP BND EMTN	B		2FE	1,393,937.93	1,453,583.31	1,000,000.00	1,331,680.48	3,659.25		(58,229.45	)	—	118,243.57	6.2500	1.2790	June	45,168.87	67,057.95		20161129	20190620
29270CR31	ENERGY NORTHWEST MUNI BND REV		2	1FE	629,845.00	612,705.00	500,000.00	610,136.24	2,568.76		(11,689.43	)	—	—	5.0000	2.1506	Jan-Jul	12,500.00	25,000.00		20160329	20270701
29270CYM1	ENERGY NORTHWEST MUNITAX BND REV		1	1FE	1,201,090.80	1,190,654.50	1,190,000.00	1,194,058.82	(3,404.32	)	(2,640.50	)	—	—	2.1970	1.9651	Jan-Jul	13,072.15	26,144.30		20150409	20190701
BRTDALLW0	ENERGY TRANSFER EQUITY LP SECURED TERM L				2,074,113.65	2,069,296.65	2,078,064.00	2,074,232.25	(4,935.60	)	118.60		—	—	—	0.0353	M-J-S-D	—	14,994.69		20171018	20240202
BRT88XE06	ENERGY TRANSFER EQUITY LP SECURED TERM L			3FE	542,029.12	540,931.48	543,387.59	542,203.14	(1,271.66	)	1,268.07		—	—	—	0.0353	M-J-S-D	—	85,158.48		20170131	20240202
29273RAX7	ENERGY TRANSFER PARTNERS LP SENIOR CORP		1	2FE	917,705.70	919,005.13	890,000.00	904,566.74	14,438.39		(5,353.98	)	—	—	4.1500	3.4753	Apr-Oct	9,233.75	36,935.00		20150618	20201001
29372EBV9	ENTERPRISE FLEET FINANCING LLC SENIOR AB		4	1FE	714,276.86	714,296.49	714,296.49	714,275.28	21.21		(1.14	)	—	—	2.1300	2.1394	Monthly	464.89	13,821.34		20170124	20220720
29379VAU7	ENTERPRISE PRODUCTS OPERATING CORP BND		1	2FE	778,230.00	784,987.57	750,000.00	768,280.85	16,706.72		(4,064.38	)	—	—	4.0500	3.4110	Feb-Aug	11,475.00	30,375.00		20150622	20220215
29379VBM4	ENTERPRISE PRODUCTS OPERATING CAPSEC COR		2	2FE	5,413,500.00	5,400,000.00	5,400,000.00	5,412,881.52	(12,881.52	)	(618.48	)	—	—	4.8750	4.8180	Feb-Aug	98,718.75	(28,721.89	)	20170815	20770816
29379VBK8	ENTERPRISE PRODUCTS OPERATING SENIOR COR		1	2FE	540,734.25	529,163.29	525,000.00	536,597.18	(7,433.89	)	(3,460.00	)	—	—	2.8500	2.1329	Apr-Oct	3,158.75	14,962.50		20161018	20210415
29379VBG7	ENTERPRISE PRODUCTS OPERATING SENIOR COR		1	2FE	789,059.90	788,854.50	790,000.00	789,888.62	(1,034.12	)	316.80		—	—	1.6500	1.6908	May-Nov	1,955.26	13,035.00		20150504	20180507
BRTDW6RQ6	ENTRAVISION COMMUN CORP SENIOR SECURED T			4FE	932,572.79	939,211.39	937,259.08	932,620.58	6,590.81		59.54		—	—	4.2288	0.0710	M-J-S-D	—	3,482.53		20171121	20241129
BRT6N2WB7	ENVISION HEALTHCARE CORP SENIOR SECURED			3FE	2,700,432.96	2,730,628.06	2,727,219.04	2,704,494.50	26,133.56		5,134.10		—	—	—	0.1420	M-J-S-D	—	144,607.19		20161117	20231201
BRSTFAHT7	EPICOR SOFTWARE CORP SENIOR SECURED TERM		4	4FE	1,301,352.14	1,314,959.30	1,313,590.54	1,304,980.29	9,979.01		1,936.64		—	—	—	0.0354	M-J-S-D	—	65,019.72		20150521	20220601
BRT8G3MZ7	ESH HOSPITALITY INC SENIOR SECURED TERM			3FE	243,035.23	244,707.14	244,172.89	243,181.64	1,525.50		157.87		—	—	—	0.0709	M-J-S-D	—	7,441.91		20170301	20230830
298785HL3	EUROPEAN INVESTMENT BANK SENIOR CORP BND	D			10,990,090.00	10,863,380.33	11,000,000.00	10,991,540.45	(128,160.12	)	2,343.60		—	—	1.6250	1.6460	Feb-Aug	68,024.31	26,361.11		20170517	20200814
30014LAB0	EVERGLADES RE II LTD SENIOR CORP BND	D			1,125,000.00	1,112,265.00	1,125,000.00	1,125,000.00	(12,735.00	)	—		—	—	6.3120	6.3567	F-M-A-N	11,743.12	69,327.84		20170427	20230508
BRTDSCWY5	EXCHOLDINGSIIICORP/EXCELI SECUREDTERMLOA		2		239,524.55	241,925.80	240,124.86	239,530.19	2,395.61		5.64		—	—	—	0.0353	M-J-S-D	—	—		20171117	20241202
30161NAW1	EXELON CORPORATION JRSUB CORP BND		2	2FE	401,212.00	407,312.01	400,000.00	401,036.71	6,275.30		(373.99	)	—	—	3.4970	3.4303	Jun-Dec	1,165.67	20,127.17		20170329	20220601
30161NAH4	EXELON CORPORATION SENIOR CORP BND		1	2FE	6,072,936.45	6,065,713.31	6,010,000.00	6,050,110.06	15,603.25		(14,127.67	)	—	—	2.8500	2.0788	Jun-Dec	7,612.67	162,260.00		20150608	20200615
30161MAP8	EXELON GENERATION CO LLC SENIOR CORP BND		1	2FE	5,219,575.20	5,184,326.60	5,130,000.00	5,195,491.05	(11,164.45	)	(26,705.40	)	—	—	2.9500	2.2094	Jan-Jul	69,782.25	145,353.05		20161115	20200115
BRSPRVAJ5	EXGEN TEXAS POWER LLC SENIOR SECURED TE		4	4FE	1,293,019.38	826,013.12	1,305,949.60	1,298,972.97	(472,959.85	)	1,848.56		—	—	—	0.1420	M-J-S-D	—	91,523.29		20140916	20210918
30216BGJ5	EXPORT DEVELOPMENT CANADA SENIOR CORP BN	A		1FE	9,581,758.90	9,435,722.60	9,595,000.00	9,587,456.96	(151,734.36	)	4,385.52		—	—	1.0000	1.0469	Mar-Sep	28,785.00	95,683.46		20160907	20190913
30216BGN6	EXPORT DEVELOPMENT CANADA SENIOR CORP BN	A			5,289,983.00	5,257,706.16	5,300,000.00	5,293,108.83	(35,402.67	)	3,125.83		—	—	1.6250	1.6900	Jan-Jul	39,234.72	42,584.03		20170111	20200117
30216BFR8	EXPORT DEVELOPMENT CANADA SENIOR CORP BN	A		1FE	1,505,400.00	1,487,564.97	1,500,000.00	1,504,685.30	(17,120.33	)	(714.70	)	—	—	1.7500	1.6247	Jan-Jul	11,666.67	(1,166.67	)	20170802	20200721
30231GAD4	EXXON MOBIL CORP SENIOR CORP BND		1	1FE	1,550,000.00	1,547,240.98	1,550,000.00	1,550,000.00	(2,759.02	)	—		—	—	1.8190	1.8190	Mar-Sep	8,301.71	28,194.50		20140317	20190315
30231GAP7	EXXON MOBIL CORP SENIOR CORP BND			1FE	6,200,000.00	6,183,011.88	6,200,000.00	6,200,000.00	(16,988.12	)	(2,140.77	)	—	—	1.7080	1.7080	Mar-Sep	35,298.67	134,450.44		20160229	20190301
31738AAA9	FASST2017-HB1 RMBS_17-HB1-A 144A		4		1,759,449.52	1,761,518.46	1,759,449.70	1,759,448.56	2,069.90		(0.94	)	—	—	2.3207	2.3313	Monthly	680.53	1,676.06		20171208	20271125

34530UAA9	FCAOT_16-REV1 SENIOR ABS 16-1-A 144A		4	1FE	2,013,750.00	1,992,898.20	2,000,000.00	2,010,240.88	(17,342.68	)	(9,765.36	)	—	—		2.3100	2.1498	Monthly	2,053.33	90,410.83	20161115	20270815
G33365TQ3	FCE BANK PLC SENIOR CORP BND EMTN	B			900,909.42	876,585.47	630,000.00	895,323.72	17,060.18		(3,793.94	)	—	(35,798.43	)	2.7590	2.5418	November	3,156.55	21,878.35	20160128	20191113
34960JAJ4	FCO_15-6A MEZZANIN ABS 15-6A	D	4		1,971,400.00	2,000,001.80	2,000,000.00	1,981,241.12	18,760.68		3,462.08		—	—		5.1861	5.4273	M-J-S-D	6,050.40	97,148.21	20150319	20270331
34961JAG9	FCO_17-9A ABS__17-9A-B 144A	D	4		1,000,000.00	1,001,348.00	1,000,000.00	1,000,000.00	1,348.00		—		—	—		3.3659	3.3782	F-M-A-N	4,394.32	—	20171101	20291115
31428XBM7	FEDERAL EXPRESS CORP SENIOR CORP BND		1	2FE	234,055.30	236,118.61	235,000.00	234,149.15	1,969.46		93.85		—	—		3.3000	3.3460	Mar-Sep	2,283.42	5,363.88	20170103	20270315
31428XAZ9	FEDERAL EXPRESS CORP SENIOR CORP BND			2FE	2,246,758.80	2,244,483.58	2,245,000.00	2,246,085.31	(1,601.73	)	(506.16	)	—	—		2.3000	2.3379	Feb-Aug	21,514.59	56,792.75	20150106	20200201
3133EGEV3	FEDERAL FARM CREDIT BANKS FUND SENIOR AG			1	1,000,000.00	981,099.00	1,000,000.00	1,000,000.00	(18,901.00	)	—		—	—		1.6200	1.6200	Jun-Dec	765.00	16,200.00	20160617	20210614
3133EF6L6	FEDERAL FARM CREDIT BANKS FUND SENIOR AG			1	2,000,000.00	1,959,352.00	2,000,000.00	2,000,000.00	(40,648.00	)	—		—	—		2.0700	2.0700	May-Nov	5,980.00	41,400.00	20160505	20230509
313379EE5	FEDERAL HOME LOAN BANKS AGENCY BND			1	15,078,680.00	14,942,249.70	15,000,000.00	15,035,119.06	(92,869.36	)	(19,053.33	)	—	—		1.6250	1.4540	Jun-Dec	11,510.42	193,420.14	20150520	20190614
3133XQSE3	FEDERAL HOME LOAN BANKS AGENCY BND			1	541,545.00	503,630.00	500,000.00	504,484.78	(854.78	)	(15,170.68	)	—	—		4.1100	1.0428	Apr-Oct	4,167.08	20,550.00	20150715	20180418
3130A8PK3	FEDERAL HOME LOAN BANKS AGENCY BND			1	1,596,672.00	1,590,000.00	1,600,000.00	1,599,034.08	(9,034.08	)	2,647.62		—	—		0.6250	0.7260	Feb-Aug	4,000.00	22,083.33	20160707	20180807
3130A8Y72	FEDERAL HOME LOAN BANKS AGENCY BND			1	3,792,704.00	3,738,212.04	3,800,000.00	3,796,106.83	(57,894.79	)	2,416.23		—	—		0.8750	0.9391	Feb-Aug	13,761.81	33,342.36	20160803	20190805
313379RB7	FEDERAL HOME LOAN BANKS AGENCY BND			1	5,664,725.00	5,456,054.78	5,500,000.00	5,616,646.40	(160,591.62	)	(32,964.94	)	—	—		1.8750	1.2437	Jun-Dec	5,729.17	103,125.00	20160714	20210611
313379DT3	FEDERAL HOME LOAN BANKS SENIOR AGENCY BN			1	1,515,185.39	1,497,870.00	1,500,000.00	1,503,417.69	(5,547.69	)	(7,834.90	)	—	—		1.2500	0.7232	Jun-Dec	1,197.92	18,750.00	20160629	20180608
3130ABZN9	FEDERAL HOME LOAN BANKS SENIOR AGENCY BN		2	1FE	5,850,000.00	5,803,843.44	5,850,000.00	5,850,000.00	(46,156.56	)	—		—	—		1.8000	1.7761	Feb-Aug	35,977.50	—	20170802	20200828
BRSMTTCL8	FEDERAL-MOGUL HOLDINGS CORP SENIOR SECUR		4	4FE	2,052,125.08	2,068,669.91	2,054,544.91	2,053,403.31	15,266.60		1,858.42		—	—		—	0.0709	M-J-S-D	—	151,861.05	20140403	20210415
BRT8H03L4	FERRO CORP SENIOR SECURED TERM NOTE			3FE	648,114.74	652,987.79	649,739.09	648,303.37	4,684.42		200.90		—	—		—	0.0356	M-J-S-D	—	19,384.92	20170208	20240214
3134GBE81	FHLMC AGENCY BND		2	1FE	750,000.00	741,735.02	750,000.00	750,000.00	(8,264.98	)	—		—	—		1.9300	1.9173	Feb-Aug	4,865.21	—	20170824	20210827
3134GAFY5	FHLMC AGENCY BND		2	1	500,000.00	494,695.02	500,000.00	500,000.00	(5,304.98	)	—		—	—		1.3000	1.2872	Feb-Aug	2,220.83	6,463.88	20160823	20190828
3137EADZ9	FHLMC AGENCY BND			1	999,670.00	990,660.02	1,000,000.00	999,861.30	(9,201.28	)	106.51		—	—		1.1250	1.1359	Apr-Oct	2,375.00	11,250.00	20160318	20190415
31398QHE0	FHLMC AGENCY CMBS_ _K007-A1		4	1	49,325.33	47,137.59	47,157.50	47,419.35	(281.76	)	(30,987.63	)	—	—		3.3420	0.8862	Monthly	131.33	15,054.80	20140930	20191225
31398WV35	FHLMC AGENCY CMO 3654		4	1	7,095.19	6,665.12	6,611.71	6,661.71	3.41		(333.53	)	—	—		5.0000	2.0182	Monthly	27.55	649.58	20120201	20281115
31395HJ43	FHLMC AGENCY CMO_2877-AL		4	1	354,613.32	343,663.82	328,814.55	348,229.06	(4,565.24	)	(9,588.72	)	—	—		5.0000	1.9746	Monthly	1,370.06	19,282.23	20140930	20241015
3137A2QN4	FHLMC AGENCY CMO_37-60-NA		4	1	87,350.00	85,740.43	85,340.24	85,798.00	(57.57	)	(1,398.90	)	—	—		3.0000	1.6323	Monthly	213.35	4,238.80	20140930	20371015
30262SAR9	FHLMC AGNECY CMBS 15-K42 B 144A		4	1FM	4,123,750.00	4,093,390.80	4,000,000.00	4,089,122.72	4,268.08		(12,364.91	)	—	—		3.8523	3.4761	Monthly	12,841.03	156,295.64	20150204	20241225
3133TJP56	FHLMC CMO AGENCY CMO_2130 QS		4	1	440,568.38	474,052.18	434,458.78	438,566.75	35,485.43		(1,404.11	)	—	—		6.0000	5.6756	Monthly	2,172.29	29,391.66	20070206	20290315
3137AAGA5	FHLMC CMO_3857 GL		4	1	375,685.09	368,426.25	364,764.06	373,602.10	(5,175.85	)	(4,130.93	)	—	—		3.0000	2.1452	Monthly	911.91	12,874.85	20140930	20400515
3137ACNE5	FHLMC CMO_3879 MF		4	1	133,948.99	133,858.35	133,427.78	133,783.59	74.76		(158.14	)	—	—		1.8270	1.7204	Monthly	108.35	2,180.59	20131105	20380915
3137BA3T7	FHLMC CMO_4329-KA		4		1,614,590.90	1,603,841.86	1,583,296.06	1,614,120.89	(10,279.03	)	(1,001.41	)	—	—		3.0000	2.4666	Monthly	3,958.24	1,476.00	20171115	20400115
3137BWQU1	FHLMC CMO_4664A LC		4	1	1,527,328.10	1,510,837.44	1,471,237.18	1,521,767.37	(10,929.93	)	(16,188.56	)	—	—		3.5000	2.4971	Monthly	4,291.12	37,610.38	20170317	20400915
3137BW4F8	FHLMC CMO_46-69 KD		4	1	4,132,603.06	4,094,615.53	3,924,715.77	4,116,751.35	(22,135.82	)	(46,323.80	)	—	—		4.0000	2.9377	Monthly	13,082.40	112,423.48	20170307	20430315
3137AUDW6	FHLMC PAC AGENCY CMO 4105-MG		4	1	365,331.38	355,932.89	353,617.79	363,440.02	(7,507.13	)	(3,048.94	)	—	—		3.0000	2.2361	Monthly	884.04	12,223.58	20141106	20401115
3128JLHB8	FHLMC POOL # 1B1225		4	1	23,158.80	24,685.16	23,518.62	23,189.90	1,495.26		54.94		—	—		3.5000	3.8347	Monthly	68.60	787.79	20070402	20330901
3128JMW45	FHLMC POOL # 1B2566		4	1	15,666.00	16,316.47	15,789.14	15,673.23	643.24		120.44		—	—		3.6500	3.7533	Monthly	48.03	835.35	20070402	20341101

3128JMXM4	FHLMC POOL # 1B2583	4	1	631,873.76	665,939.33	638,888.79	632,507.79	33,431.54		1,314.65		—	—	3.6500	3.5773	Monthly	1,943.28	24,438.29	20060119	20341001
3128JMY68	FHLMC POOL # 1B2632	4	1	35,438.53	38,315.03	35,717.13	35,452.96	2,862.07		160.33		—	—	3.6500	3.7618	Monthly	108.64	1,488.41	20070403	20341101
3128JMZG5	FHLMC POOL # 1B2642	4	1	43,944.97	46,484.94	44,290.44	43,965.75	2,519.19		153.41		—	—	3.6420	3.7442	Monthly	134.42	1,821.14	20070402	20341101
3128JNAL9	FHLMC POOL # 1B2810	4	1	50,113.96	51,977.10	50,635.51	50,148.86	1,828.24		234.61		—	—	3.5260	3.7062	Monthly	148.78	2,202.86	20070402	20350201
3128NCB37	FHLMC POOL # 1G0058	4	1	57,697.66	61,419.14	57,833.21	57,683.14	3,736.00		63.14		—	—	3.4880	3.4704	Monthly	168.10	2,470.03	20080917	20350101
3128NCD68	FHLMC POOL # 1G0125	4	1	446,167.49	481,181.75	455,708.89	447,149.70	34,032.05		5,270.59		—	—	3.4500	3.8833	Monthly	1,310.16	19,942.24	20051213	20350301
3128NCMS0	FHLMC POOL # 1G0369	4	1	130,675.54	136,668.64	130,025.41	130,534.71	6,133.93		(44.99	)	—	—	3.4800	3.2949	Monthly	377.07	4,297.09	20080827	20351001
3128QJLG9	FHLMC POOL # 1G1227	4	1	127,109.19	130,961.34	124,616.86	126,725.12	4,236.22		(341.43	)	—	—	3.6170	3.1494	Monthly	375.62	4,402.61	20080104	20361001
3128QJRN8	FHLMC POOL # 1G1393	4	1	545,789.76	546,367.56	523,871.76	543,196.19	3,171.37		(4,751.46	)	—	—	3.5530	3.3388	Monthly	1,551.09	20,490.93	20070330	20361201
3128QJ3B0	FHLMC POOL # 1G1694	4	1	236,209.75	245,484.06	239,759.32	236,467.37	9,016.69		6,794.06		—	—	3.4370	3.7157	Monthly	686.71	17,643.14	20070810	20370401
31326KNP8	FHLMC POOL # 2B4898	4	1	316,534.91	305,164.07	307,969.52	316,401.83	(11,237.76	)	(2,556.84	)	—	—	2.9270	1.9992	Monthly	751.19	10,540.21	20160120	20451101
31342AZE2	FHLMC POOL # 780741	4	1	212,470.19	215,149.56	205,938.11	211,609.59	3,539.97		(1,939.01	)	��	—	3.2770	2.3648	Monthly	562.38	7,319.99	20091116	20330701
31342A6F1	FHLMC POOL # 780870	4	1	120,126.90	129,278.23	121,993.40	120,288.88	8,989.35		528.50		—	—	3.3930	3.7321	Monthly	344.94	4,171.79	20070402	20330901
31349SJK0	FHLMC POOL # 781166	4	1	255,287.13	272,335.78	259,514.38	255,807.87	16,527.91		1,102.97		—	—	2.9510	3.2534	Monthly	638.19	9,187.19	20060109	20340101
31349UCW6	FHLMC POOL # 782785	4	1	59,128.57	62,252.61	59,593.41	59,161.55	3,091.06		137.48		—	—	3.3390	3.4414	Monthly	165.82	1,946.14	20070402	20341001
31349UEJ3	FHLMC POOL # 782837	4	1	94,650.91	101,327.18	95,394.98	94,691.67	6,635.51		176.85		—	—	3.5000	3.6141	Monthly	278.24	3,070.02	20070402	20341101
31349UJL3	FHLMC POOL # 782967	4	1	34,172.25	36,064.50	34,687.14	34,217.97	1,846.53		183.68		—	—	2.9550	3.2637	Monthly	85.42	1,223.56	20080930	20350101
31349ULB2	FHLMC POOL # 783022	4	1	90,772.27	96,681.92	91,582.80	90,824.27	5,857.65		243.86		—	—	3.1180	3.2706	Monthly	237.96	3,341.50	20070402	20350201
31295NXK9	FHLMC POOL # 789682	4	1	14,219.52	14,966.02	14,301.64	14,223.80	742.22		44.76		—	—	3.3730	3.4318	Monthly	40.20	534.99	20060810	20320901
3128JRJS6	FHLMC POOL # 847473	4	1	701,993.30	744,668.46	704,856.79	701,993.37	42,675.09		685.40		—	—	3.3190	3.3423	Monthly	1,949.52	22,729.71	20070926	20351201
3128JRKQ8	FHLMC POOL # 847503	4	1	351,302.30	378,401.60	359,704.80	351,986.87	26,414.73		2,648.95		—	—	3.4960	4.0598	Monthly	1,047.94	13,679.69	20060531	20351201
3128JRPZ3	FHLMC POOL # 847640	4	1	125,593.46	134,580.16	126,281.72	125,606.56	8,973.60		156.31		—	—	3.5050	3.5653	Monthly	368.85	4,708.94	20061113	20360501
3128JRP26	FHLMC POOL # 847641	4	1	179,621.16	189,051.67	181,069.69	179,745.29	9,306.38		377.72		—	—	3.4250	3.5245	Monthly	516.80	6,772.40	20061113	20331201
3128JR6Z4	FHLMC POOL # 848088	4	1	2,754,708.04	2,790,127.77	2,621,580.88	2,741,276.22	48,851.55		(43,561.88	)	—	—	3.0670	1.7275	Monthly	6,700.32	90,866.28	20110113	20350401
31300L3D5	FHLMC POOL # 848896	4	1	699,145.12	678,207.38	664,665.60	698,260.78	(20,053.40	)	(12,173.01	)	—	—	2.9070	0.4653	Monthly	1,610.15	22,844.30	20130422	20420501
31300MZV8	FHLMC POOL # 849756	4	1	7,153,352.92	7,097,239.70	7,031,132.08	7,150,822.56	(53,582.86	)	(21,232.83	)	—	—	2.6920	2.0737	Monthly	15,773.17	207,299.48	20151209	20450701
3128KWBZ5	FHLMC POOL # A65456	4	1	6,858.49	7,483.37	6,600.66	6,828.74	654.63		(60.29	)	—	—	6.0000	5.2133	Monthly	33.00	460.31	20090204	20370901
3128KWFX6	FHLMC POOL # A65582	4	1	7,888.75	8,607.50	7,592.19	7,853.64	753.86		(105.46	)	—	—	6.0000	5.2374	Monthly	37.96	519.15	20090204	20370901
3128KWFY4	FHLMC POOL # A65583	4	1	13,149.32	14,347.36	12,655.00	13,093.32	1,254.04		(77.37	)	—	—	6.0000	5.2060	Monthly	63.28	806.00	20090204	20370901
3128KWNV1	FHLMC POOL # A65804	4	1	149,944.59	167,567.97	148,242.11	149,700.81	17,867.16		(914.54	)	—	—	6.0000	5.7960	Monthly	741.21	11,400.15	20071102	20370901
3128KWNX7	FHLMC POOL # A65806	4	1	253,833.13	283,666.81	250,951.10	253,474.99	30,191.82		(2,790.03	)	—	—	6.0000	5.7607	Monthly	1,254.76	20,700.97	20071102	20370901
3128KWTK9	FHLMC POOL # A65954	4	1	10,542.31	11,502.80	10,145.97	10,491.28	1,011.52		(172.53	)	—	—	6.0000	5.3018	Monthly	50.73	817.79	20090204	20370901
3128KWTP8	FHLMC POOL # A65958	4	1	10,893.04	11,885.52	10,483.55	10,844.00	1,041.52		(104.70	)	—	—	6.0000	5.2481	Monthly	52.42	687.38	20090204	20370901
3128KWTZ6	FHLMC POOL # A65968	4	1	11,568.62	12,622.62	11,133.70	11,519.27	1,103.35		(25.29	)	—	—	6.0000	5.2025	Monthly	55.67	681.85	20090204	20370901

3128KWT29	FHLMC POOL # A65969	4	1	11,683.06	12,747.48	11,243.83	11,633.50	1,113.98		(71.52	)	—	—	6.0000	5.2004	Monthly	56.22	725.81	20090204	20370901
3128KYXE4	FHLMC POOL # A67877	4	1	11,972.27	13,063.06	11,522.19	11,914.62	1,148.44		(73.89	)	—	—	6.0000	5.2657	Monthly	57.61	736.97	20090204	20370401
312929CM2	FHLMC POOL # A82776	4	1	3,823.94	4,172.76	3,680.17	3,806.68	366.08		(21.89	)	—	—	6.0000	5.3290	Monthly	18.40	231.06	20090204	20390101
312930LH1	FHLMC POOL # A83928	4	1	10,953.06	11,952.24	10,541.30	10,911.59	1,040.65		(55.55	)	—	—	6.0000	5.2097	Monthly	52.71	689.94	20090204	20390101
312930LQ1	FHLMC POOL # A83935	4	1	13,985.59	15,261.41	13,459.83	13,926.90	1,334.51		(159.81	)	—	—	6.0000	5.2880	Monthly	67.30	933.96	20090204	20390101
312930RC6	FHLMC POOL # A84083	4	1	10,743.09	11,721.35	10,339.22	10,690.61	1,030.74		(23.31	)	—	—	6.0000	5.3811	Monthly	51.70	631.73	20090204	20390101
312930RV4	FHLMC POOL # A84100	4	1	6,261.97	6,833.21	6,026.56	6,234.36	598.85		(53.27	)	—	—	6.0000	5.3143	Monthly	30.13	413.50	20090204	20390101
312930TB6	FHLMC POOL # A84146	4	1	7,381.41	8,053.56	7,103.92	7,349.04	704.52		(48.37	)	—	—	6.0000	5.3134	Monthly	35.52	461.45	20090204	20390101
312942NF8	FHLMC POOL # A93990	4	1	6,585,982.96	6,484,711.67	6,158,721.66	6,569,468.76	(84,757.09	)	(107,903.70	)	—	—	4.0000	2.7660	Monthly	20,529.07	276,543.22	20160203	20400901
31292KJH1	FHLMC POOL # C02964	4	1	888.37	969.31	854.97	884.27	85.04		(11.97	)	—	—	6.0000	5.2489	Monthly	4.27	60.66	20090204	20370701
31292SA91	FHLMC POOL # C09032	4	1	754,523.06	765,274.99	741,261.42	753,742.13	11,532.86		(2,083.82	)	—	—	3.5000	3.2417	Monthly	2,162.01	27,913.84	20140912	20430201
3128M4HY2	FHLMC POOL # G02647	4	1	173,615.17	194,259.81	176,007.76	173,845.63	20,414.18		825.10		—	—	5.5000	5.8227	Monthly	806.70	11,314.94	20070409	20370201
3128M4ZG1	FHLMC POOL # G03143	4	1	1,596.16	1,741.58	1,536.15	1,589.12	152.46		(13.16	)	—	—	6.0000	5.2150	Monthly	7.68	103.29	20090204	20370701
3128M5HK9	FHLMC POOL # G03534	4	1	2,099,396.85	2,285,823.38	2,042,897.84	2,093,417.75	192,405.63		(13,715.32	)	—	—	6.5000	5.8593	Monthly	11,065.70	149,827.15	20071106	20371001
3128M6UB2	FHLMC POOL # G04778	4	1	36,152.17	39,450.09	34,793.09	35,998.74	3,451.35		(346.97	)	—	—	6.0000	5.2548	Monthly	173.97	2,355.83	20090204	20380701
3128M7AZ9	FHLMC POOL # G05124	4	1	84,777.33	92,510.93	81,590.20	84,431.01	8,079.92		(753.45	)	—	—	6.0000	5.2570	Monthly	407.95	5,505.10	20090204	20381201
3128M92M3	FHLMC POOL # G07680	4	1	2,655,627.29	2,654,746.34	2,512,345.10	2,648,097.55	6,648.79		(30,132.91	)	—	—	4.0000	3.1723	Monthly	8,374.49	111,661.10	20140812	20440401
3128MABS7	FHLMC POOL # G07849	4	1	6,741,328.97	6,609,262.67	6,397,465.20	6,730,570.35	(121,307.68	)	(55,642.79	)	—	—	3.5000	2.7638	Monthly	18,659.27	242,032.68	20160525	20440501
3128MJS68	FHLMC POOL # G08540	4	1	953,811.78	937,376.35	932,110.68	952,968.37	(15,592.02	)	(2,989.33	)	—	—	3.0000	2.7003	Monthly	2,330.28	29,768.70	20160330	20430801
3128MJUH1	FHLMC POOL # G08583	4	1	242,577.69	236,839.23	222,420.82	242,068.24	(5,229.01	)	(7,212.93	)	—	—	4.5000	2.7522	Monthly	834.08	11,750.29	20160509	20440401
3128MJUW8	FHLMC POOL # G08596	4	1	2,106,350.14	2,068,673.04	1,942,735.39	2,100,536.92	(31,863.88	)	(45,308.52	)	—	—	4.5000	2.8523	Monthly	7,285.26	100,813.47	20140815	20440701
3128MJU32	FHLMC POOL # G08601	4	1	884,624.18	866,877.12	827,779.04	882,817.88	(15,940.76	)	(15,205.99	)	—	—	4.0000	2.7653	Monthly	2,759.26	37,366.21	20150323	20440801
3128MJU81	FHLMC POOL # G08606	4	1	2,386,088.35	2,385,834.90	2,278,228.45	2,381,815.52	4,019.38		(28,490.37	)	—	—	4.0000	3.1343	Monthly	7,594.09	103,000.17	20140918	20440901
3128MJV23	FHLMC POOL # G08632	4	1	3,036,803.54	2,980,398.32	2,900,199.42	3,031,420.56	(51,022.24	)	(26,473.87	)	—	—	3.5000	2.8083	Monthly	8,458.92	111,348.69	20150319	20450301
3128MJWP1	FHLMC POOL # G08653	4	1	2,494,977.44	2,448,738.37	2,444,558.42	2,493,278.51	(44,540.14	)	(6,131.95	)	—	—	3.0000	2.7231	Monthly	6,111.40	77,667.87	20160303	20450701
3128MJW89	FHLMC POOL # G08670	4	1	1,254,446.57	1,237,497.33	1,235,384.95	1,253,732.25	(16,234.92	)	(2,300.27	)	—	—	3.0000	2.7836	Monthly	3,088.46	39,201.61	20151027	20451001
3128MJW97	FHLMC POOL # G08671	4	1	1,171,007.97	1,159,020.85	1,127,833.01	1,169,527.55	(10,506.70	)	(7,135.37	)	—	—	3.5000	2.8891	Monthly	3,289.52	42,817.28	20151103	20451001
3128MJXA3	FHLMC POOL # G08672	4	1	845,922.11	848,600.96	810,379.01	845,375.53	3,225.43		(8,285.39	)	—	—	4.0000	2.7298	Monthly	2,701.27	36,329.15	20160512	20451001
3128MJXE5	FHLMC POOL # G08676	4	1	1,487,825.49	1,483,197.61	1,443,286.57	1,486,397.43	(3,199.82	)	(7,233.58	)	—	—	3.5000	3.0091	Monthly	4,209.59	54,770.68	20151117	20451101
3128MJXX3	FHLMC POOL # G08693	4	1	4,173,396.40	4,127,837.88	4,017,598.23	4,169,848.34	(42,010.46	)	(17,841.32	)	—	—	3.5000	2.7514	Monthly	11,718.00	92,129.60	20160303	20460301
3128MJX62	FHLMC POOL # G08700	4	1	446,860.02	442,491.78	415,623.33	446,552.88	(4,061.10	)	(9,212.76	)	—	—	4.5000	2.8842	Monthly	1,558.59	18,427.61	20170123	20460301
3128MJYB0	FHLMC POOL # G08705	4	1	1,847,016.27	1,782,897.94	1,779,854.57	1,845,385.15	(62,487.21	)	(8,106.83	)	—	—	3.0000	2.4831	Monthly	4,449.64	73,364.39	20160824	20460501
3128MJYH7	FHLMC POOL # G08711	4	1	2,368,674.09	2,315,539.86	2,253,700.15	2,366,533.23	(50,993.37	)	(17,616.08	)	—	—	3.5000	2.6790	Monthly	6,573.29	85,247.60	20160623	20460601
3128MJYJ3	FHLMC POOL # G08712	4	1	7,101,478.78	6,928,141.98	6,616,364.84	7,093,366.09	(165,224.11	)	(91,527.75	)	—	—	4.0000	2.6863	Monthly	22,054.55	290,699.43	20161014	20460601

3128MJYM6	FHLMC POOL # G08715	4	1	5,613,052.20	5,562,897.61	5,553,401.84	5,611,672.92	(48,775.31	)	(6,498.89	)	—	—	3.0000	2.5946		Monthly	8,427.93	100,011.33		20161102	20460801
3128MJYY0	FHLMC POOL # G08726	4		1,472,250.31	1,472,811.63	1,470,297.57	1,472,233.03	578.60		(32.03	)	—	—	3.0000	2.9836		Monthly	3,675.74	1,357.95		20171117	20461001
3128MJ2T6	FHLMC POOL # G08785	4	1	12,417,789.77	12,408,730.30	11,843,650.32	12,414,992.35	(6,262.05	)	(2,797.42	)	—	—	4.0000	3.0939		Monthly	39,478.83	(25,003.27	)	20171218	20471001
3128MBBR7	FHLMC POOL # G12548	4	1	155,481.61	158,718.09	155,142.24	155,211.32	3,506.77		9.54		—	—	5.5000	5.3522		Monthly	711.07	10,798.54		20070330	20220101
3128MBU70	FHLMC POOL # G13106	4	1	118,859.67	112,130.27	110,824.87	114,815.71	(2,685.44	)	(6,172.70	)	—	—	5.0000	1.7134		Monthly	461.77	8,529.28		20130717	20201001
3128MCRQ0	FHLMC POOL # G13895	4	1	119,515.75	111,822.03	111,016.08	113,956.04	(2,134.01	)	(12,300.26	)	—	—	5.0000	1.5071		Monthly	462.57	13,440.66		20111110	20191101
3128MDCL5	FHLMC POOL # G14375	4	1	73,183.82	71,537.15	68,767.64	72,181.30	(644.15	)	(1,584.49	)	—	—	4.0000	2.3235		Monthly	229.23	3,220.17		20131213	20260701
3128MDM91	FHLMC POOL # G14684	4	1	706,483.19	685,300.33	671,791.46	692,092.44	(6,792.11	)	(14,354.01	)	—	—	3.0000	1.5581		Monthly	1,679.48	24,697.51		20130213	20230201
3128MDNM1	FHLMC POOL # G14696	4	1	268,804.15	251,263.76	242,097.74	262,062.10	(10,798.34	)	(8,781.51	)	—	—	6.0000	1.5014		Monthly	1,210.49	17,792.92		20130301	20240301
3128MDVW0	FHLMC POOL # G14929	4	1	383,287.07	377,196.06	357,390.24	381,572.88	(4,376.82	)	(4,962.48	)	—	—	4.0000	(0.6663	)	Monthly	1,191.30	16,697.86		20131119	20281001
3128MD3A9	FHLMC POOL # G15093	4	1	359,831.86	353,983.90	346,982.67	358,183.71	(4,199.81	)	(2,960.28	)	—	—	3.0000	2.1604		Monthly	867.46	11,499.97		20150713	20290401
3128MD5G4	FHLMC POOL # G15147	4	1	1,910,536.16	1,879,400.95	1,842,729.51	1,899,835.43	(20,434.48	)	(14,077.10	)	—	—	3.0000	2.2158		Monthly	4,606.82	59,925.72		20140813	20290801
3128MEHM6	FHLMC POOL # G15436	4	1	1,147,300.52	1,120,920.57	1,098,387.93	1,142,216.82	(21,296.25	)	(11,756.12	)	—	—	3.0000	2.0348		Monthly	2,745.97	36,765.40		20150921	20300601
3128MEXR7	FHLMC POOL # G15888	4	1	2,403,679.38	2,337,007.30	2,290,923.00	2,395,071.76	(58,064.46	)	(31,694.11	)	—	—	3.0000	1.8547		Monthly	5,727.30	76,527.39		20161013	20290101
3128ME4Y4	FHLMC POOL # G16039	4	1	2,698,798.58	2,663,701.27	2,572,198.20	2,696,538.25	(32,836.98	)	(8,271.64	)	—	—	3.5000	2.3882		Monthly	7,502.24	18,705.76		20170914	20320101
3128MMUS0	FHLMC POOL # G18592	4	1	1,956,515.86	1,908,805.06	1,872,403.95	1,949,965.86	(41,160.80	)	(18,542.91	)	—	—	3.0000	2.0295		Monthly	4,681.01	67,864.27		20160330	20310301
3128MMVH3	FHLMC POOL # G18615	4	1	3,900,046.09	3,784,286.72	3,712,120.00	3,889,506.65	(105,219.93	)	(42,224.11	)	—	—	3.0000	1.9492		Monthly	9,280.30	123,126.09		20161017	20311001
3132J4AF6	FHLMC POOL # G30705	4	1	4,664,628.19	4,633,251.28	4,461,090.91	4,658,381.55	(25,130.27	)	(32,462.41	)	—	—	3.5000	2.4877		Monthly	13,011.51	92,312.91		20170504	20330501
31335ACR7	FHLMC POOL # G60080	4	1	2,318,138.50	2,309,003.01	2,246,870.55	2,315,024.27	(6,021.26	)	(11,021.01	)	—	—	3.5000	3.0698		Monthly	6,553.37	84,845.21		20150608	20450601
31335ACS5	FHLMC POOL # G60081	4	1	2,187,048.68	2,172,572.27	2,050,558.41	2,181,551.24	(8,978.97	)	(26,982.54	)	—	—	4.0000	3.0400		Monthly	6,835.19	90,300.41		20150608	20450601
31335AHP6	FHLMC POOL # G60238	4	1	4,136,018.08	4,124,246.35	3,991,934.21	4,131,282.01	(7,035.66	)	(21,525.10	)	—	—	3.5000	3.0170		Monthly	11,643.15	150,256.11		20151221	20451001
31335AU55	FHLMC POOL # G60604	4	1	6,736,613.03	6,695,013.08	6,488,235.42	6,733,218.45	(38,205.37	)	(21,763.15	)	—	—	3.5000	2.9766		Monthly	18,924.02	110,239.55		20170605	20451001
31335BA71	FHLMC POOL # G60930	4	1	14,455,512.90	14,481,531.04	14,474,737.17	14,455,527.84	26,003.20		1,076.64		—	—	3.0000	3.0210		Monthly	36,186.84	248,680.58		20170503	20470401
3132XCRX5	FHLMC POOL # G67702	4	1	10,977,307.43	10,900,240.76	10,286,567.99	10,968,949.10	(68,708.34	)	(57,407.31	)	—	—	4.0000	3.0859		Monthly	34,288.56	188,632.62		20170605	20470101
3128MTB72	FHLMC POOL # H00962	4	1	9,717.27	10,468.15	9,530.39	9,692.24	775.91		(418.41	)	—	—	6.5000	6.1326		Monthly	51.62	1,241.43		20071031	20370701
3128MTEE4	FHLMC POOL # H01033	4	1	43,720.78	47,099.19	42,879.92	43,598.46	3,500.73		(3,242.67	)	—	—	6.5000	6.1648		Monthly	232.27	5,517.40		20071031	20370701
3128MTF29	FHLMC POOL # H01085	4	1	64,847.26	69,858.15	63,600.08	64,644.76	5,213.39		(623.96	)	—	—	6.5000	6.2045		Monthly	344.50	6,265.97		20071031	20370701
3128PVWH9	FHLMC POOL # J16048	4	1	1,202,101.15	1,203,362.58	1,137,915.61	1,182,164.89	21,197.69		(18,313.62	)	—	—	4.0000	2.7256		Monthly	3,793.05	52,754.41		20110802	20260701
3128PV4J6	FHLMC POOL # J16225	4	1	1,016,845.28	1,017,912.29	962,551.36	1,000,444.13	17,468.16		(11,545.58	)	—	—	4.0000	2.6985		Monthly	3,208.50	42,269.39		20110802	20260801
31307MPM2	FHLMC POOL # J31328	4	1	275,852.98	269,832.25	264,686.52	274,647.79	(4,815.54	)	(1,949.36	)	—	—	3.0000	2.0698		Monthly	661.72	8,557.42		20150902	20300401
31307MR40	FHLMC POOL # J31407	4	1	308,611.75	301,288.79	295,543.18	307,251.30	(5,962.51	)	(3,304.52	)	—	—	3.0000	2.0207		Monthly	738.86	9,835.78		20150921	20300401
31307MSH0	FHLMC POOL # J31420	4	1	133,444.04	130,713.79	128,042.23	132,845.20	(2,131.41	)	(1,148.64	)	—	—	3.0000	2.0961		Monthly	320.11	4,245.49		20150902	20300401
31307MSY3	FHLMC POOL # J31435	4	1	304,872.76	298,218.70	292,531.64	303,518.67	(5,299.97	)	(2,468.41	)	—	—	3.0000	2.0863		Monthly	731.33	9,520.49		20150902	20300401
31307NPD0	FHLMC POOL # J32220	4	1	81,092.69	79,433.57	77,810.09	80,727.29	(1,293.72	)	(564.91	)	—	—	3.0000	2.1328		Monthly	194.52	2,475.64		20150902	20300701

31307SDG5	FHLMC POOL # J35503	4	1	3,466,865.42	3,346,364.35	3,349,628.43	3,459,798.37	(113,434.02	)	(16,919.19	)	—	—	2.5000	1.8098	Monthly	6,978.39	88,773.58		20161013	20311001
3132GLQP2	FHLMC POOL # Q05262	4	1	2,031,651.37	2,027,513.00	1,963,244.58	2,025,316.09	2,196.91		(12,799.98	)	—	—	3.5000	2.9710	Monthly	5,726.13	74,609.85		20120203	20411201
3132GMDN9	FHLMC POOL # Q05809	4	1	2,871,629.90	2,856,825.02	2,713,084.06	2,862,080.74	(5,255.72	)	(27,848.80	)	—	—	4.0000	3.0955	Monthly	9,043.61	117,334.02		20140627	20420101
3132GSEB1	FHLMC POOL # Q07030	4	1	483,343.24	473,907.86	460,738.27	482,655.89	(8,748.03	)	(2,343.20	)	—	—	3.5000	2.8049	Monthly	1,343.82	16,824.03		20160331	20420301
3132JMGH6	FHLMC POOL # Q20200	4	1	4,864,785.44	4,786,965.40	4,657,386.21	4,857,473.21	(70,507.81	)	(28,114.49	)	—	—	3.5000	2.8049	Monthly	13,584.05	174,501.69		20160128	20430701
3132M55C2	FHLMC POOL # Q25643	4	1	1,323,717.36	1,296,335.12	1,222,833.59	1,318,853.29	(22,518.17	)	(18,568.51	)	—	—	4.0000	2.8264	Monthly	4,076.11	53,349.46		20150122	20440401
3132M92R4	FHLMC POOL # Q29184	4	1	1,581,587.91	1,550,696.87	1,480,606.00	1,578,211.69	(27,514.82	)	(24,837.11	)	—	—	4.0000	2.6034	Monthly	4,935.36	66,936.71		20141211	20441001
3132QLQT3	FHLMC POOL # Q30465	4	1	2,102,844.02	2,081,720.48	2,017,418.92	2,098,585.09	(16,864.61	)	(15,038.54	)	—	—	3.5000	2.9237	Monthly	5,884.14	76,171.68		20141211	20441201
3132QNGH6	FHLMC POOL # Q31999	4	1	1,633,428.89	1,596,763.78	1,553,796.81	1,630,210.12	(33,446.34	)	(13,231.94	)	—	—	3.5000	2.7269	Monthly	4,531.90	58,535.31		20150415	20450301
3132QNP37	FHLMC POOL # Q32241	4	1	1,620,108.61	1,588,309.04	1,545,569.58	1,617,512.91	(29,203.87	)	(16,318.14	)	—	—	3.5000	2.6656	Monthly	4,507.91	60,035.03		20150330	20450301
3132QRMV9	FHLMC POOL # Q34871	4	1	5,847,620.81	5,779,639.68	5,624,116.61	5,844,475.44	(64,835.76	)	(17,673.07	)	—	—	3.5000	3.0000	Monthly	16,403.67	83,370.87		20160923	20450701
3132WF2X6	FHLMC POOL # Q42589	4	1	7,372,778.47	7,112,017.03	7,099,876.96	7,366,158.09	(254,141.06	)	(33,643.70	)	—	—	3.0000	2.4930	Monthly	17,749.70	226,055.62		20160816	20460801
3132WF7E3	FHLMC POOL # Q42692	4	1	5,115,597.48	4,986,663.45	4,823,902.12	5,110,250.29	(123,586.84	)	(37,504.01	)	—	—	3.5000	2.6737	Monthly	14,069.71	180,481.93		20161021	20460901
3132WHBR5	FHLMC POOL # Q43647	4	1	2,493,090.48	2,429,137.18	2,349,720.80	2,490,521.70	(61,384.52	)	(17,124.97	)	—	—	3.5000	2.6530	Monthly	6,853.35	88,219.54		20161021	20461001
3132XSDX5	FHLMC POOL # Q50117	4	1	10,136,101.80	10,076,375.10	9,763,120.10	10,132,745.17	(56,370.07	)	(10,625.69	)	—	—	3.5000	3.0004	Monthly	28,475.76	74,770.51		20170822	20470801
3132XSLR9	FHLMC POOL # Q50335	4	1	6,157,943.25	6,115,282.38	5,914,434.88	6,156,615.09	(41,332.71	)	(4,058.53	)	—	—	3.5000	2.9749	Monthly	17,250.43	52,742.84		20170825	20470801
3132L5UN1	FHLMC POOL # V80589	4	1	1,619,603.17	1,603,272.23	1,504,202.61	1,617,756.30	(14,484.07	)	(13,444.07	)	—	—	4.5000	2.9812	Monthly	5,640.76	39,344.45		20170505	20431001
3132L8SM0	FHLMC POOL # V83224	4	1	11,160,033.27	11,103,494.14	10,743,714.33	11,155,885.33	(52,391.19	)	(12,376.32	)	—	—	3.5000	2.9965	Monthly	31,335.83	113,226.75		20170802	20470701
3128MMWY5	FHLMC POOL#G18662	4		1,946,481.21	1,944,345.20	1,947,089.68	1,946,475.15	(2,129.95	)	(6.06	)	—	—	2.5000	2.5036	Monthly	4,056.44	(2,298.65	)	20171211	20321001
31335AUV8	FHLMC POOL#G60596	4		1,684,625.82	1,687,789.49	1,589,386.78	1,684,625.82	3,163.67		—		—	—	4.0000	3.4875	Monthly	353.20	(353.20	)	20171228	20431201
3132QSGY8	FHLMC POOL#Q35614	4		1,126,245.47	1,122,317.01	1,092,116.82	1,126,074.54	(3,757.53	)	(725.12	)	—	—	3.5000	3.0417	Monthly	3,185.34	1,186.92		20171116	20450801
3132XUK53	FHLMC POOL#Q52115	4		3,598,733.97	3,594,522.47	3,498,161.82	3,598,506.66	(3,984.19	)	(227.31	)	—	—	3.5000	3.2886	Monthly	10,202.97	(4,421.29	)	20171213	20471101
3132XUZF5	FHLMC POOL#Q52541	4		12,320,584.03	12,312,710.90	11,982,636.24	12,320,047.56	(7,336.66	)	(536.47	)	—	—	3.5000	3.2928	Monthly	34,949.35	(20,969.61	)	20171218	20471101
3137EAEE5	FHLMC SENIOR AGENCY BND		1FE	11,287,796.00	11,180,107.34	11,300,000.00	11,291,624.79	(111,517.45	)	3,828.79		—	—	1.5000	1.5365	Jan-Jul	79,100.00	84,750.00		20170112	20200117
31398Q5U7	FHLMC SENIOR AGENCY CMO 3669	4	1FE	556,500.51	547,269.76	534,213.79	551,809.94	(4,540.18	)	(17,861.25	)	—	—	4.5000	2.5011	Monthly	2,003.30	31,977.31		20161205	20380515
3137B6U82	FHLMC SENIOR AGENCY CMO 4286 MP	4	1	2,771,693.34	2,653,264.46	2,552,718.00	2,757,160.86	(103,896.40	)	(46,822.62	)	—	—	4.0000	2.4254	Monthly	8,509.06	113,598.16		20150422	20431215
3137BRN76	FHLMC SENIOR AGENCY CMO_16-4604 FB	4	1	681,461.85	684,147.97	680,664.19	681,418.71	2,729.26		(278.09	)	—	—	1.8770	1.8563	Monthly	567.83	9,977.31		20170126	20460815
3137B8MW4	FHLMC SENIOR AGENCY CMO_4322-DN	4	1	2,770,242.90	2,670,039.15	2,581,848.62	2,731,636.97	(61,597.82	)	(39,470.43	)	—	—	4.0000	2.5078	Monthly	8,606.17	118,236.73		20140820	20430515
3137BDJQ0	FHLMC SENIOR AGENCY CMO_4384-HN	4	1	636,187.15	621,672.36	602,887.06	625,790.24	(4,117.88	)	(8,678.13	)	—	—	3.5000	2.1157	Monthly	1,758.42	23,762.39		20141007	20400615
3137BSZE6	FHLMC SENIOR AGENCY CMO_4631 GP	4	1	983,601.96	947,047.41	918,449.47	977,872.65	(30,825.24	)	(10,324.12	)	—	—	3.5000	2.1211	Monthly	2,678.81	33,723.31		20161102	20460315
3137A47K7	FHLMC SENIOR CMO_3778 M	4	1	116,594.20	112,763.66	107,305.56	114,488.74	(1,725.08	)	(2,842.08	)	—	—	4.5000	2.0848	Monthly	402.40	5,703.01		20140113	20390815
02R032612	FHLMC TBA MBS	4		1,639,423.13	1,643,168.00	1,600,000.00	1,639,423.13	3,744.87		—		—	—	3.5000	3.3152	Monthly	1,555.56	(1,555.56	)	20171201	20470101
02R030616	FHLMC TBA MBS	4		2,601,828.13	2,599,984.40	2,600,000.00	2,601,828.13	(1,843.73	)	—		—	—	3.0000	3.0036	Monthly	2,166.67	(2,166.67	)	20171201	20470101
02R032687	FHLMC TBA MBS	4		—	—	—	—	—		—		—	—	3.5000	3.2506	Monthly	—	—		20170807	20470801

3137EADP1	FHLMC UNSECURED AGENCY BND			1	14,877,000.00	14,984,100.00	15,000,000.00	14,995,552.89	(11,452.89	)	24,656.91		—	—	0.8750	1.0410	Mar-Sep	41,562.50	131,250.00		20130201	20180307
31395EC47	FHLMC_2839 CMO_2839 TS		4	1	70,451.28	65,968.71	65,574.20	66,858.21	(889.50	)	(6,160.93	)	—	—	5.0000	1.1808	Monthly	273.23	7,418.84		20130307	20190815
31397JAB0	FHLMC_3346A AGNECY CMO_3335-AF		4	1	13,480.02	13,474.85	13,478.96	13,478.94	(4.09	)	(1.00	)	—	—	1.6270	1.6276	Monthly	9.75	378.12		20110722	20201015
31398Q4P9	FHLMC_3674 SENIOR AGENCY CMO 3674 HJ		4	1	844,765.24	824,575.39	756,153.48	829,011.07	(4,435.68	)	(24,917.95	)	—	—	5.5000	2.8690	Monthly	3,465.70	46,673.36		20131120	20400415
3137B36J2	FHLMC_K029 AGENCY CMO K029		4	1	5,348,910.48	5,071,405.25	4,877,430.00	5,250,679.44	(179,274.19	)	(73,127.38	)	—	—	3.3200	1.6706	Monthly	13,494.21	161,930.52		20160823	20230225
31283AM31	FHLS_30-2 AGENCY CMO_302 305		4	1	2,718,949.45	2,693,426.40	2,590,246.57	2,708,723.39	(15,296.99	)	(33,754.54	)	—	—	3.5000	2.2448	Monthly	7,554.89	74,657.49		20170224	20280215
3137BPVZ9	FHMS_K055 AGCYSEN SENIOR CMBS_K055 A1		4	1	3,069,639.87	2,976,556.81	3,009,571.82	3,058,560.36	(82,003.55	)	(9,347.46	)	—	—	2.2630	1.7816	Monthly	5,675.55	69,562.41		20160608	20250425
3137BVZ82	FHMS_K063 LCF SENIOR CMBS_K063 A2		4	1	1,039,973.98	1,055,810.24	1,009,707.00	1,037,689.41	18,120.83		(2,284.57	)	—	—	3.4300	3.0623	Monthly	2,886.08	23,954.46		20170307	20270125
3137BXQX3	FHMS_K064 SENIOR CMBS_K064 A1		4	1FE	9,815,651.28	9,740,988.01	9,623,404.54	9,801,333.69	(60,345.68	)	(16,846.60	)	—	—	2.8910	2.3957	Monthly	23,184.40	152,560.60		20170503	20261025
3137F1G44	FHMS_K065 CMBS_K065-A2		4	1FE	1,833,343.04	1,825,390.00	1,780,000.00	1,831,041.35	(5,651.35	)	(2,301.69	)	—	—	3.2430	2.8733	Monthly	4,810.45	20,364.24		20170712	20270425
3137FCLD4	FHMS_K070 LCFSENIORCMBSK071		4	1	5,422,628.84	5,438,871.36	5,265,000.00	5,421,865.59	17,005.77		(763.25	)	—	—	3.2860	2.6390	Monthly	14,417.33	(10,092.14	)	20171212	20501125
3137BPWG0	FHMS_KJ05 LCF SENIOR AGENCY CMBS_KJ05 A2		4	1	786,285.21	763,738.19	770,886.00	781,358.38	(17,620.19	)	(3,356.95	)	—	—	2.1580	1.7082	Monthly	1,386.31	16,635.72		20160617	20211025
3137BDKF2	FHR AGENCY CMO_4384 LA		4	1	2,796,921.60	2,724,172.00	2,655,830.57	2,761,207.67	(37,035.67	)	(39,333.61	)	—	—	3.5000	2.0812	Monthly	7,746.17	104,539.79		20140827	20400915
316773CR9	FIFTH THIRD BANK CAPSEC CORP BND		2	3FE	7,895,000.00	8,090,000.00	8,000,000.00	7,899,535.97	190,464.03		1,236.43		—	—	4.9000	4.9359	Mar-Sep	99,088.89	392,000.00		20140908	20491231
31677QBH1	FIFTH THIRD BANK SENIOR CORP BND		2	1FE	2,579,364.00	2,569,138.10	2,600,000.00	2,584,433.54	(15,295.44	)	6,362.54		—	—	1.6250	2.0671	Mar-Sep	11,031.94	77,004.69		20160922	20190927
31677QBK4	FIFTH THIRD BANK SENIOR CORP BND		2	1FE	3,979,805.70	3,958,579.37	3,985,000.00	3,979,896.89	(21,317.52	)	91.19		—	—	2.2000	2.2090	Apr-Oct	14,855.18	(2,994.44	)	20171025	20201030
31677QBC2	FIFTH THIRD BANK SENIOR CORP BND		2	1FE	6,067,500.00	6,058,919.70	6,000,000.00	6,066,938.28	(8,018.58	)	(229.66	)	—	—	2.8750	2.5539	Apr-Oct	42,645.84	36,939.75		20171218	20211001
31677QBF5	FIFTH THIRD BANK SENIOR CORP BND		2	1FE	403,552.00	400,544.04	400,000.00	401,822.43	(1,278.39	)	(5,140.31	)	—	—	2.3000	1.8867	Mar-Sep	2,708.89	63,725.97		20161128	20190315
316773CU2	FIFTH THIRD BANK SENIOR CORP BND		2	2FE	2,995,986.00	2,981,910.09	3,000,000.00	2,996,222.05	(14,311.96	)	236.05		—	—	2.6000	2.6375	Jun-Dec	3,466.67	19,731.11		20170612	20220615
31677QBG3	FIFTH THIRD BANK SENIOR CORP BND		1	1FE	904,891.25	896,556.36	905,000.00	904,980.40	(8,424.04	)	90.40		—	—	2.2500	2.2660	Jun-Dec	961.56	18,981.56		20160609	20210614
31683VAN0	FIG_13-2A ABS 13-2A 144A		4		2,000,000.00	2,018,601.60	2,000,000.00	2,000,000.00	18,601.60		—		—	—	3.4255	3.4398	M-J-S-D	2,283.65	31,507.92		20170606	20270620
31970LAA2	FIRST COAST RE 2016 LTD CORP BND 144A	D	2		250,000.00	250,405.00	250,000.00	250,000.00	405.00		—		—	—	5.1890	5.2222	M-J-S-D	1,117.08	22,410.16		20160525	20190607
31970LAB0	FIRST COAST RE 2017-1 LTD CORP BND 144A	D	2		625,000.00	619,025.00	625,000.00	625,000.00	(5,975.00	)	—		—	—	5.5290	5.5624	M-J-S-D	2,975.69	53,732.88		20170410	20250607
BRTAX8AJ1	FIRST DATA CORPORATION SENIOR SECURED TE			3FE	2,733,044.16	2,747,665.17	2,746,901.53	2,734,545.76	13,119.41		1,906.86		—	—	—	—	M-J-S-D	—	65,560.23		20170609	20220708
BRT9RS082	FIRST DATA CORPORATION SENIOR SECURED TE			3FE	195,877.38	196,411.29	196,368.29	195,925.15	486.14		88.77		—	—	—	0.0353	M-J-S-D	—	5,082.77		20170421	20240426
337738AN8	FISERV INC SENIOR CORP BND		1		2,032,820.00	2,013,359.98	2,000,000.00	2,028,417.41	(15,057.43	)	(4,402.59	)	—	—	2.7000	2.0727	Jun-Dec	4,500.00	15,600.00		20170814	20200601
BRT79CE86	FLEX ACQUISITION COMPANY INC SENIOR SECU			4FE	668,935.82	675,378.44	672,297.30	669,389.24	5,989.20		473.87		—	—	—	0.0713	M-J-S-D	—	20,761.69		20161216	20231229
341271AB0	FLORIDA HURRICANE CATASTROPHE MUNITAXBND		1	1FE	1,006,250.00	1,001,770.02	1,000,000.00	1,006,003.42	(4,233.40	)	(246.58	)	—	—	2.6380	2.4579	Jan-Jul	13,190.00	(8,939.89	)	20171101	20210701
341271AA2	FLORIDA ST MUNITAX BND REV		1	1FE	1,012,860.00	999,039.99	1,000,000.00	1,007,568.57	(8,528.58	)	(4,943.06	)	—	—	2.1630	1.6501	Jan-Jul	10,815.00	21,630.00		20161130	20190701
BRSFEV6K3	FLY FUNDING II SARL SENIOR SECURED TERM	D	4	4FE	1,799,869.89	1,806,501.23	1,806,501.23	1,801,818.03	4,683.20		(103.99	)	—	—	—	0.0271	F-M-A-N	—	102,632.33		20131115	20230209
BRTBS8619	FLYING FORTRESS INC SENIOR LOAN TERM		2	2FE	813,706.94	818,497.90	814,425.77	813,764.01	4,733.89		62.12		—	—	—	0.0168	M-J-S-D	—	12,193.69		20170802	20221030
D2R6L0P26	FMS WERTMANAGEMENT LT GTD SENIOR CORP BN	B		1FE	3,116,214.12	3,134,238.66	2,300,000.00	3,099,553.44	5,325.03		(13,914.80	)	—	29,360.19	1.2500	0.8783	March	31,859.12	38,499.63		20160216	20190308
30254WAJ8	FMS WERTMANAGEMENT LT GTD SENIOR CORP BN	D		1FE	3,975,320.00	3,887,520.16	4,000,000.00	3,982,785.44	(95,265.28	)	4,848.91		—	—	1.3750	1.5041	Jun-Dec	3,513.89	55,000.00		20160608	20210608
BRSMSHXX6	FMS WERTMANAGEMENT LT GTD SENIOR CORP BN	B		1FE	669,166.80	684,866.28	500,000.00	657,395.27	(627.78	)	(9,351.58	)	—	28,098.79	1.8750	0.4211	December	868.63	11,821.41		20160926	20181207

BRSR9VRB0	FMS WERTMANAGEMENT LT GTD SENIOR CORP BN	B		1	2,118,040.76	2,182,134.66	1,600,000.00	2,112,803.96	(7,054.23	)	(5,236.80	)	—	76,384.93	1.1250	0.5317	December	1,267.51	8,884.89		20170726	20191213
BRT7W6393	FMS WERTMANAGEMENT LT GTD SENIOR CORP BN	B		1FE	2,848,400.73	3,105,483.80	2,300,000.00	2,850,834.96	187.88		2,434.23		—	254,460.95	0.6250	0.7138	March	16,036.11	2,592.26		20170105	20200306
30254WAK5	FMS WERTMANAGEMENT LT GTD SENIOR CORP BN	D		1FE	12,060,661.55	11,916,798.35	12,115,000.00	12,084,936.36	(168,138.01	)	18,247.83		—	—	1.0000	1.1099	Feb-Aug	45,431.25	125,041.38		20160810	20190816
3136AGJ60	FNMA AGCYS SENIOR CMBS_13-M13 A2		4	1	627,921.44	602,223.10	599,537.11	619,600.85	(17,377.75	)	(9,115.77	)	—	—	2.6363	1.2496	Monthly	1,275.89	17,827.32		20160823	20230425
3136AWQL4	FNMA AGCYSEN AGENCY CMO_17-3 G		4	1	2,659,420.98	2,630,278.11	2,592,186.18	2,653,084.20	(22,806.09	)	(15,762.96	)	—	—	3.0000	2.3099	Monthly	6,480.48	46,731.30		20170505	20400725
3135G0E58	FNMA AGENCY BND			1	499,190.00	497,465.00	500,000.00	499,790.89	(2,325.89	)	1,459.97		—	—	1.1250	1.1779	Apr-Oct	1,125.00	43,125.00		20150827	20181019
31398SVZ3	FNMA AGENCY CMO _10-139-MA		4	1	1,098,287.43	1,032,873.74	1,074,319.37	1,096,250.51	(63,376.77	)	(6,834.56	)	—	—	2.5000	2.0228	Monthly	2,238.17	30,529.35		20140930	20401225
31398SZN6	FNMA AGENCY CMO _10-141-G		4	1	7,996,745.34	7,882,687.37	7,690,333.66	7,897,858.42	(15,171.05	)	(31,400.42	)	—	—	3.5000	2.2003	Monthly	22,430.15	269,658.63		20140721	20300525
3136A1PM1	FNMA AGENCY CMO__11-96-PA		4	1	1,236,350.79	1,213,678.71	1,211,277.35	1,228,581.43	(14,902.72	)	(14,353.24	)	—	—	2.5000	1.6503	Monthly	2,523.49	39,896.95		20140930	20400325
31398GEH8	FNMA AGENCY CMO_09-100-MA		4	1	251,464.81	245,210.05	242,729.00	250,117.42	(4,907.37	)	(3,481.91	)	—	—	3.0000	1.9153	Monthly	606.82	8,765.97		20140930	20391125
31397NLS2	FNMA AGENCY CMO_09-11 LC		4	1	263,826.95	258,595.02	247,870.31	260,118.73	(1,523.71	)	(7,495.42	)	—	—	4.5000	2.2824	Monthly	929.52	13,918.38		20140207	20490325
31398MAY2	FNMA AGENCY CMO_10-9 MC		4	1	451,647.77	411,107.25	402,919.68	416,108.09	(5,000.84	)	(15,744.49	)	—	—	5.0000	1.6387	Monthly	1,678.83	27,701.12		20140521	20360425
31392ER28	FNMA CMO_02-64 PG		4	1	462,151.63	461,351.01	419,539.04	458,013.09	3,337.92		(14,573.48	)	—	—	5.5000	3.3084	Monthly	1,922.89	26,999.61		20140930	20321025
31394DA42	FNMA CMO_05-48 AR		4	1	16,924.30	17,225.11	16,803.52	16,787.15	437.96		(22.53	)	—	—	5.5000	5.2478	Monthly	77.02	1,309.92		20071220	20350225
38375G2L4	FNMA CMO_12-102-TA		4		4,154,375.00	4,068,790.80	4,000,000.00	4,135,928.76	(67,137.96	)	(18,446.24	)	—	—	3.5000	2.2711	Monthly	11,666.67	44,333.35		20170802	20390820
3136A9FV5	FNMA CMO_12-111 LB		4	1	544,562.08	533,074.38	527,022.68	543,507.42	(10,433.04	)	(1,786.62	)	—	—	3.5000	2.8531	Monthly	1,537.15	19,285.77		20140930	20410525
3136ABFX6	FNMA CMO_12-146 NA		4	1	1,278,622.54	1,264,276.03	1,298,937.93	1,280,983.29	(16,707.26	)	4,947.16		—	—	2.0000	2.3053	Monthly	2,164.90	28,949.38		20140930	20420925
3136AC2L4	FNMA CMO_13-22-PD		4		7,301,383.01	7,150,119.12	7,349,614.86	7,301,474.28	(151,355.16	)	91.27		—	—	2.5000	2.5569	Monthly	15,311.70	(7,145.46	)	20171212	20421225
3140FCUA4	FNMA FNMA 15YR		4	1	1,837,171.15	1,819,032.70	1,785,015.24	1,835,099.71	(16,067.01	)	(7,966.63	)	—	—	3.0000	2.3355	Monthly	4,462.54	40,113.43		20170228	20320201
01F032625	FNMA FNMA TBA		4		6,670,498.05	6,663,735.00	6,500,000.00	6,670,498.05	(6,763.05	)	—		—	—	3.5000	3.1730	Monthly	7,583.33	(7,583.33	)	20171215	20480201
01F040610	FNMA FNMA TBA		4		2,101,054.69	2,091,520.00	2,000,000.00	2,101,054.69	(9,534.69	)	—		—	—	4.0000	2.8956	Monthly	2,222.22	(2,222.22	)	20171110	20480101
3138L1UA5	FNMA MULTI MBS		4	1	2,267,882.42	2,239,724.02	2,246,123.23	2,265,312.20	(25,588.18	)	(2,834.98	)	—	—	2.3200	1.9359	Monthly	4,487.26	26,531.58		20170530	20221201
31371NAC9	FNMA POOL # 256603		4	1	129,771.40	132,312.72	129,649.82	129,469.43	2,843.29		(0.75	)	—	—	5.5000	5.4201	Monthly	594.23	8,382.88		20080717	20220201
31371NE35	FNMA POOL # 256754		4	1	46,142.42	44,424.67	43,530.59	44,801.53	(376.86	)	(976.92	)	—	—	5.5000	3.6848	Monthly	199.52	2,986.26		20090929	20220601
31385W2S7	FNMA POOL # 555285		4	1	808,997.86	813,963.43	734,201.12	796,980.99	16,982.44		(18,334.07	)	—	—	6.0000	3.9462	Monthly	3,671.00	49,342.41		20110105	20330301
31385XAZ0	FNMA POOL # 555424		4	1	812,286.34	826,564.47	746,233.06	802,687.88	23,876.59		(18,942.97	)	—	—	5.5000	3.7051	Monthly	3,420.23	46,766.99		20120125	20330501
31385XEW3	FNMA POOL # 555549		4	1	2,665.58	2,705.04	2,687.42	2,677.02	28.02		71.44		—	—	5.0000	5.2601	Monthly	11.20	503.06		20071214	20180601
31385XK48	FNMA POOL # 555715		4	1	29,163.19	30,807.29	29,423.56	29,197.65	1,609.64		75.33		—	—	3.2730	3.4344	Monthly	80.25	1,022.85		20070402	20330701
31400EGH7	FNMA POOL # 685200		4	1	2,140.85	2,172.55	2,158.40	2,150.55	22.00		60.87		—	—	5.0000	5.2636	Monthly	8.99	443.20		20071214	20180301
31400PG58	FNMA POOL # 693320		4	1	37,303.05	39,907.47	37,630.84	37,348.25	2,559.22		48.24		—	—	3.0440	3.2115	Monthly	95.46	1,199.49		20060810	20330101
31400QJ87	FNMA POOL # 694287		4	1	3,157.36	3,380.08	3,185.52	3,160.72	219.36		16.32		—	—	3.3370	3.5157	Monthly	8.86	133.96		20070402	20330301
31400SA33	FNMA POOL # 695826		4	1	1,251.15	1,269.66	1,261.39	1,256.70	12.96		34.75		—	—	5.0000	5.2645	Monthly	5.25	248.84		20071214	20180401
31401A3C9	FNMA POOL # 702895		4	1	1,874.85	1,902.60	1,890.21	1,883.17	19.43		70.19		—	—	5.0000	5.2669	Monthly	7.88	448.07		20071214	20180401
31401DVW8	FNMA POOL # 705429		4	1	55,139.33	59,095.03	55,782.16	55,230.50	3,864.53		181.17		—	—	3.0820	3.3153	Monthly	143.27	1,909.51		20060810	20330401

31401MKS9	FNMA POOL # 712305	4	1	404,163.11	397,554.25	379,495.88	400,793.95	(3,239.70	)	(7,271.42	)	—	—	3.6750	2.2827	Monthly	1,162.21	14,888.30	20120214	20330501
31402DQB9	FNMA POOL # 725950	4	1	18,350.30	18,718.61	18,518.12	18,422.48	296.13		153.99		—	—	5.0000	5.2753	Monthly	77.16	1,564.84	20080717	20191101
31402HD32	FNMA POOL # 729222	4	1	597,675.41	646,919.85	604,282.36	598,305.49	48,614.36		538.86		—	—	3.3060	3.3325	Monthly	1,664.79	18,550.91	20060120	20350701
31402QYX3	FNMA POOL # 735226	4	1	199,603.44	196,477.18	180,025.65	198,473.52	(1,996.34	)	(6,126.70	)	—	—	5.0000	2.7679	Monthly	750.11	10,332.00	20160104	20350201
31402RB81	FNMA POOL # 735463	4	1	57,893.54	61,330.14	58,372.41	57,944.61	3,385.53		86.93		—	—	3.3960	3.5539	Monthly	165.19	2,141.42	20060928	20350301
31402RF87	FNMA POOL # 735591	4	1	1,536,821.68	1,616,160.01	1,480,834.88	1,528,415.99	87,744.02		(15,966.33	)	—	—	5.0000	4.3343	Monthly	6,170.15	84,183.98	20100401	20350601
31402YSV7	FNMA POOL # 742232	4	1	1,768.41	1,908.48	1,795.92	1,771.08	137.40		1.58		—	—	3.7500	4.1588	Monthly	5.61	66.08	20070402	20330901
31403C2L4	FNMA POOL # 745179	4	1	7,959.36	8,077.14	8,024.56	7,988.23	88.91		243.53		—	—	5.0000	5.2520	Monthly	33.44	1,494.28	20071214	20190401
31403DCE7	FNMA POOL # 745369	4	1	20,776.62	21,173.58	20,946.80	20,843.82	329.76		245.50		—	—	5.0000	5.2397	Monthly	87.28	2,141.65	20071214	20191201
31403DCZ0	FNMA POOL # 745388	4	1	30,970.89	31,429.18	31,224.59	31,092.98	336.20		510.61		—	—	5.0000	5.2551	Monthly	130.10	4,044.21	20071214	20181101
31403H3P3	FNMA POOL # 749706	4	1	131,563.82	139,701.70	133,218.63	131,798.46	7,903.24		442.22		—	—	3.5950	3.8312	Monthly	399.10	5,259.25	20060515	20331101
31403KDB6	FNMA POOL # 750798	4	1	3,471.10	3,721.71	3,525.03	3,479.25	242.46		3.37		—	—	3.3240	3.6083	Monthly	9.76	114.67	20070402	20331201
31403VBR9	FNMA POOL # 758848	4	1	14,156.32	14,365.82	14,272.30	14,210.64	155.18		113.60		—	—	5.0000	5.2479	Monthly	59.47	1,237.75	20071214	20190101
31404CLB4	FNMA POOL # 764522	4	1	4,594.89	4,943.51	4,687.92	4,604.81	338.70		6.47		—	—	3.1500	3.6616	Monthly	12.31	145.86	20080930	20340601
31404LRF9	FNMA POOL # 771886	4	1	21,491.51	22,621.82	21,850.86	21,544.13	1,077.69		370.48		—	—	3.3060	3.6322	Monthly	60.20	1,084.86	20060810	20340201
31404NBP0	FNMA POOL # 773246	4	1	42,707.89	45,467.70	43,065.32	42,740.93	2,726.77		89.34		—	—	3.2970	3.4691	Monthly	118.32	1,563.05	20070402	20350201
31404VGA0	FNMA POOL # 779693	4	1	206,459.65	217,139.59	208,413.52	206,707.49	10,432.10		112.68		—	—	3.4200	3.5915	Monthly	593.98	6,776.82	20060224	20340701
31405PAG5	FNMA POOL # 794807	4	1	62,081.04	65,360.03	61,912.04	62,031.36	3,328.67		(27.50	)	—	—	3.1990	3.1256	Monthly	165.05	1,824.36	20070630	20341001
31405UMM8	FNMA POOL # 799664	4	1	22,271.84	23,678.23	22,446.94	22,291.72	1,386.51		22.27		—	—	3.3910	3.5278	Monthly	63.43	747.28	20070402	20341001
31405UR84	FNMA POOL # 799811	4	1	62,811.46	65,783.02	62,647.33	62,761.40	3,021.62		(63.60	)	—	—	3.1800	3.1111	Monthly	166.01	2,300.79	20070630	20341101
31405UTZ2	FNMA POOL # 799868	4	1	7,562.11	7,982.52	7,621.56	7,569.06	413.46		5.79		—	—	3.2500	3.3847	Monthly	20.64	238.68	20070402	20341101
31406BB90	FNMA POOL # 804764	4	1	76,980.04	81,880.14	77,585.18	77,042.66	4,837.48		127.26		—	—	3.5110	3.6534	Monthly	227.00	2,823.56	20070402	20350101
31406BEZ9	FNMA POOL # 804852	4	1	60,175.02	63,783.03	60,648.10	60,226.65	3,556.38		70.97		—	—	3.3720	3.5115	Monthly	170.42	2,056.81	20070402	20341201
31406BJF8	FNMA POOL # 804962	4	1	59,159.31	63,107.04	59,624.37	59,207.86	3,899.18		175.22		—	—	3.3030	3.4473	Monthly	164.12	2,219.79	20070402	20350101
31406BQQ6	FNMA POOL # 805163	4	1	86,214.79	90,971.72	86,936.41	86,292.71	4,679.01		190.52		—	—	3.2260	3.3810	Monthly	233.71	3,167.45	20070402	20350101
31406DG67	FNMA POOL # 806721	4	1	129,452.89	137,760.70	130,470.59	129,569.32	8,191.38		233.64		—	—	3.4200	3.5549	Monthly	371.84	4,672.41	20070402	20341101
31406GLK3	FNMA POOL # 809530	4	1	20,833.31	22,349.44	20,980.85	20,851.65	1,497.79		43.47		—	—	3.2240	3.3370	Monthly	56.37	759.20	20060928	20350201
31406MYP5	FNMA POOL # 814418	4	1	40,109.04	42,241.71	40,467.17	40,150.64	2,091.07		189.14		—	—	3.1210	3.2809	Monthly	105.25	1,519.45	20070402	20350301
31406PKU2	FNMA POOL # 815807	4	1	87,418.39	91,990.21	88,252.64	87,526.94	4,463.27		438.55		—	—	3.1550	3.3231	Monthly	232.03	3,345.81	20060928	20350201
31406TLC3	FNMA POOL # 819423	4	1	127,829.99	135,476.91	128,971.42	127,938.86	7,538.05		376.67		—	—	3.5600	3.7378	Monthly	382.62	5,096.41	20070402	20350401
31406TTE1	FNMA POOL # 819649	4	1	855,166.16	862,949.99	826,746.73	851,023.32	11,926.67		(14,421.61	)	—	—	3.2270	2.5173	Monthly	2,223.26	30,913.80	20091204	20350301
31406VHE9	FNMA POOL # 821129	4	1	58,922.79	62,437.05	59,448.92	58,964.23	3,472.82		151.36		—	—	3.3950	3.6021	Monthly	168.19	2,147.71	20070402	20350501
31407D5R2	FNMA POOL # 828056	4	1	251,375.65	258,691.87	247,164.14	250,750.43	7,941.44		(1,279.17	)	—	—	3.5160	3.1877	Monthly	724.19	9,569.43	20080131	20350601
31407E6W8	FNMA POOL # 828985	4	1	150,661.19	165,706.25	155,848.00	151,123.62	14,582.63		1,086.70		—	—	3.1770	4.1781	Monthly	412.61	5,046.59	20060316	20350801

31407GC22	FNMA POOL # 829989	4	1	310,481.82	334,593.79	313,432.49	310,798.44	23,795.35		566.47		—	—	3.4770	3.6624	Monthly	908.17	11,280.28	20060120	20350401
31408C6D3	FNMA POOL # 847868	4	1	411,401.12	434,193.35	415,819.20	411,955.59	22,237.76		209.63		—	—	3.2340	3.4214	Monthly	1,120.63	12,303.38	20060512	20351101
31409UBQ7	FNMA POOL # 878547	4	1	271,079.77	292,574.37	273,268.05	271,258.05	21,316.32		766.71		—	—	3.4870	3.6548	Monthly	794.07	10,674.86	20060504	20360301
31410FU60	FNMA POOL # 888105	4	1	11,849.78	12,025.13	11,946.85	11,883.23	141.90		247.89		—	—	5.0000	5.2423	Monthly	49.77	1,645.50	20071214	20200801
31410GAG8	FNMA POOL # 888407	4	1	2,699,626.71	2,669,558.14	2,440,685.25	2,687,686.26	(18,128.12	)	(75,227.97	)	—	—	5.0000	2.8235	Monthly	10,169.52	138,581.09	20151221	20360901
31410GC35	FNMA POOL # 888490	4	1	66,769.21	68,645.55	66,920.45	66,770.74	1,874.81		68.13		—	—	3.1620	3.1859	Monthly	176.34	2,598.28	20070618	20350501
31410GC50	FNMA POOL # 888492	4	1	51,058.71	54,128.04	50,961.72	51,020.17	3,107.87		(16.55	)	—	—	3.0900	3.0328	Monthly	131.23	1,631.27	20070618	20330501
31410GDC4	FNMA POOL # 888499	4	1	338,266.27	355,002.18	340,166.82	338,473.67	16,528.51		401.45		—	—	3.1880	3.2801	Monthly	903.71	11,655.20	20070618	20330801
31410GDF7	FNMA POOL # 888502	4	1	36,419.02	39,026.60	36,892.41	36,498.76	2,527.84		140.33		—	—	2.9080	3.1281	Monthly	89.40	1,205.54	20070618	20330601
31410GDL4	FNMA POOL # 888507	4	1	164,411.32	173,159.36	167,289.33	164,744.44	8,414.92		552.50		—	—	3.2080	3.5806	Monthly	447.22	5,406.32	20070618	20350201
31410GDM2	FNMA POOL # 888508	4	1	235,301.61	252,018.82	238,591.36	235,715.84	16,302.98		631.06		—	—	3.3130	3.5968	Monthly	658.71	8,491.19	20070618	20340301
31410GDQ3	FNMA POOL # 888511	4	1	28,298.02	29,771.45	28,555.08	28,326.45	1,445.00		58.86		—	—	3.4140	3.5949	Monthly	81.24	987.42	20070618	20331201
31410GDS9	FNMA POOL # 888513	4	1	44,376.14	47,419.44	44,608.50	44,395.64	3,023.80		62.86		—	—	3.2490	3.3428	Monthly	120.78	1,597.45	20070618	20340201
31410GDX8	FNMA POOL # 888518	4	1	57,761.74	60,541.15	57,947.30	57,769.49	2,771.66		38.17		—	—	3.3720	3.4164	Monthly	162.83	2,088.25	20070618	20350401
31410GDY6	FNMA POOL # 888519	4	1	23,644.64	25,496.23	24,050.64	23,692.01	1,804.22		132.25		—	—	3.3860	3.7465	Monthly	67.86	916.31	20070618	20350101
31410GDZ3	FNMA POOL # 888520	4	1	283,197.05	292,376.93	285,002.05	283,417.59	8,959.34		805.56		—	—	3.3280	3.4309	Monthly	790.41	10,646.03	20070618	20330701
31410GD83	FNMA POOL # 888527	4	1	8,722.14	9,460.84	8,886.44	8,743.46	717.38		57.84		—	—	3.2720	3.6660	Monthly	24.23	316.25	20070618	20340401
31410GPR8	FNMA POOL # 888832	4	1	789,321.56	845,964.25	759,077.12	786,057.40	59,906.85		(8,853.03	)	—	—	6.5000	5.5661	Monthly	4,111.67	57,031.63	20080125	20371101
31410G4F7	FNMA POOL # 889222	4	1	455,525.29	450,642.62	412,007.06	453,439.85	(2,797.23	)	(13,776.47	)	—	—	5.0000	2.8321	Monthly	1,716.70	23,753.53	20160104	20361201
31410LK84	FNMA POOL # 890519	4	1	551,477.64	562,053.00	503,596.61	549,115.80	12,937.20		(16,798.51	)	—	—	6.0000	3.8047	Monthly	2,517.98	35,798.98	20131023	20401001
31411DA33	FNMA POOL # 904626	4	1	230,217.28	241,132.43	229,125.34	230,011.60	11,120.83		(373.57	)	—	—	3.5970	3.4693	Monthly	686.80	9,531.16	20061213	20361201
31411GUY6	FNMA POOL # 907899	4	1	519,955.16	535,285.59	515,684.66	519,295.74	15,989.85		(3,226.43	)	—	—	3.5600	3.3491	Monthly	1,529.86	22,757.79	20061214	20370101
31411KCZ4	FNMA POOL # 910088	4	1	842,330.03	939,935.79	834,506.55	841,205.95	98,729.84		(850.34	)	—	—	6.0000	5.7622	Monthly	4,172.53	51,543.15	20070329	20370301
31411LEA5	FNMA POOL # 911029	4	1	31,306.21	30,140.77	29,534.16	30,388.33	(247.56	)	(966.88	)	—	—	5.5000	3.7546	Monthly	135.36	2,353.11	20090929	20220701
31411WPJ0	FNMA POOL # 916725	4	1	493,093.58	486,516.86	466,006.91	491,025.77	(4,508.91	)	(6,304.00	)	—	—	3.2970	1.7737	Monthly	1,280.35	16,077.93	20120214	20361001
31412LMG2	FNMA POOL # 928359	4	1	39,044.32	37,590.82	36,834.27	37,865.92	(275.10	)	(592.29	)	—	—	5.5000	3.7632	Monthly	168.82	2,364.49	20090929	20220501
31412LQN3	FNMA POOL # 928461	4	1	86,799.73	83,569.98	81,888.07	84,257.94	(687.96	)	(1,416.87	)	—	—	5.5000	3.7108	Monthly	375.32	5,436.99	20090929	20220601
31412LVF4	FNMA POOL # 928614	4	1	473,645.56	454,873.18	445,718.49	459,832.38	(4,959.20	)	(9,609.73	)	—	—	5.5000	3.5894	Monthly	2,042.88	30,014.34	20091021	20220801
31412SRH0	FNMA POOL # 933488	4	1	135,817.27	132,710.04	129,388.29	132,791.94	(81.90	)	(2,352.96	)	—	—	5.0000	3.5547	Monthly	539.12	8,055.51	20090929	20230301
31414ARA2	FNMA POOL # 960481	4	1	258,222.41	252,362.44	245,999.32	252,255.65	106.79		(5,389.64	)	—	—	5.0000	3.5494	Monthly	1,025.00	16,785.55	20090929	20221201
31414CRJ9	FNMA POOL # 962289	4	1	368,022.60	359,602.99	350,602.07	359,773.77	(170.78	)	(5,714.94	)	—	—	5.0000	3.5694	Monthly	1,460.84	20,712.62	20090929	20230301
31414GD22	FNMA POOL # 965521	4	1	29,773.41	28,665.04	28,088.13	28,958.18	(293.14	)	(525.84	)	—	—	5.5000	3.7465	Monthly	128.74	1,783.79	20090929	20221201
31414NB45	FNMA POOL # 970859	4	1	370,113.63	361,108.64	352,070.03	362,102.42	(993.78	)	(6,393.92	)	—	—	5.0000	3.6444	Monthly	1,466.96	21,262.25	20091021	20231201
31414RB79	FNMA POOL # 973562	4	1	321,876.17	315,046.75	303,656.77	313,254.42	1,792.33		(7,530.08	)	—	—	5.5000	3.7953	Monthly	1,391.76	22,729.34	20090929	20230301

31415MDG7	FNMA POOL # 984003	4	1	699,275.11	790,285.40	720,322.03	700,996.88	89,288.52		4,438.37		—	—	5.5000	6.1429	Monthly	3,301.48	43,985.29	20080725	20380601
31415MFS9	FNMA POOL # 984077	4	1	243,412.50	237,843.69	231,890.42	238,008.65	(164.96	)	(3,936.28	)	—	—	5.0000	3.6340	Monthly	966.21	14,084.60	20090929	20230601
31416BLV8	FNMA POOL # 995040	4	1	166,992.27	162,929.30	158,851.15	163,204.68	(275.38	)	(2,682.86	)	—	—	5.0000	3.5844	Monthly	661.88	9,558.79	20091021	20230601
31416BSE9	FNMA POOL # 995217	4	1	324,640.59	312,286.98	306,001.96	316,718.88	(4,431.90	)	(7,470.10	)	—	—	5.5000	3.7439	Monthly	1,402.50	21,203.79	20090929	20231201
31416BSX7	FNMA POOL # 995234	4	1	36,484.26	34,201.00	33,978.36	34,708.51	(507.51	)	(8,461.18	)	—	—	5.0000	1.5439	Monthly	141.58	7,674.59	20111110	20190701
31416B4M7	FNMA POOL # 995528	4	1	321,068.38	314,476.24	309,044.60	314,390.37	85.87		(4,927.65	)	—	—	5.0000	3.7302	Monthly	1,287.69	19,911.63	20090320	20211201
31416B4N5	FNMA POOL # 995529	4	1	717,934.17	705,666.16	691,464.06	704,302.93	1,363.23		(9,005.81	)	—	—	5.5000	4.3757	Monthly	3,169.21	46,964.13	20090227	20221101
31416B4P0	FNMA POOL # 995530	4	1	360,284.40	353,792.30	345,492.98	352,018.64	1,773.66		(4,482.82	)	—	—	5.5000	4.1222	Monthly	1,583.51	23,118.58	20090320	20211201
31416B7J1	FNMA POOL # 995597	4	1	40,715.92	39,200.16	38,411.23	39,762.36	(562.20	)	(852.70	)	—	—	5.5000	3.8396	Monthly	176.05	2,588.01	20090929	20240301
31416CME3	FNMA POOL # 995957	4	1	806,820.27	786,459.51	766,774.30	790,373.76	(3,914.25	)	(13,477.89	)	—	—	5.0000	3.6115	Monthly	3,194.89	45,810.46	20090928	20240601
31416MZC1	FNMA POOL # AA4338	4	1	843,894.51	840,996.63	784,334.13	838,687.19	2,309.44		(12,308.84	)	—	—	4.5000	3.2589	Monthly	2,941.25	38,334.56	20130321	20390401
31416PM61	FNMA POOL # AA5780	4	1	967,297.35	955,098.81	890,748.63	964,145.15	(9,046.34	)	(29,192.86	)	—	—	4.5000	2.8470	Monthly	3,340.30	47,264.39	20160122	20390401
31416TL49	FNMA POOL # AA9346	4	1	3,372,666.77	3,615,421.08	3,336,766.87	3,367,461.11	247,959.97		(8,531.65	)	—	—	4.5000	4.3155	Monthly	12,512.88	167,206.55	20100202	20390801
31417AP60	FNMA POOL # AB4044	4	1	3,180,427.03	3,195,238.52	3,087,793.21	3,173,723.89	21,514.63		(13,745.07	)	—	—	3.5000	3.0785	Monthly	9,006.06	115,408.44	20140627	20411201
31417CS30	FNMA POOL # AB5937	4	1	360,846.33	354,635.14	345,049.53	359,926.90	(5,291.76	)	(2,232.49	)	—	—	3.5000	2.8693	Monthly	1,006.39	12,815.39	20150219	20420801
31417C7C3	FNMA POOL # AB6290	4	1	3,055,210.29	2,989,487.41	2,929,779.12	3,040,137.47	(50,650.06	)	(36,660.79	)	—	—	3.0000	1.8995	Monthly	7,324.45	98,261.58	20160307	20270901
31417EJA0	FNMA POOL # AB7456	4	1	184,843.56	177,241.74	176,566.98	184,590.04	(7,348.30	)	(1,135.93	)	—	—	3.0000	2.3489	Monthly	441.42	5,668.12	20160908	20430101
31417FQC5	FNMA POOL # AB8550	4	1	1,307,072.92	1,267,799.12	1,263,110.73	1,296,518.08	(28,718.96	)	(9,086.76	)	—	—	2.5000	1.7666	Monthly	2,631.48	34,633.39	20130313	20280301
31417G5T9	FNMA POOL # AB9857	4	1	8,004,016.80	8,013,426.00	7,990,283.51	8,002,834.45	10,591.55		(2,052.57	)	—	—	3.0000	2.9683	Monthly	19,975.70	254,944.78	20151215	20430701
31417KUN5	FNMA POOL # AC1488	4	1	1,994,829.80	1,973,079.88	1,840,142.79	1,992,649.31	(19,569.43	)	(15,581.96	)	—	—	4.5000	3.0382	Monthly	6,900.54	25,620.16	20170810	20390801
31417WKV2	FNMA POOL # AC9307	4	1	646,553.24	640,057.04	597,277.80	644,601.19	(4,544.15	)	(14,848.59	)	—	—	4.5000	3.1704	Monthly	2,239.79	30,061.27	20160104	20410901
31419ALC9	FNMA POOL # AE0322	4	1	189,906.59	177,026.03	175,130.00	182,970.74	(5,944.71	)	(12,325.18	)	—	—	5.0000	1.5121	Monthly	729.71	13,909.00	20130226	20210501
31419BBT1	FNMA POOL # AE0949	4	1	1,702,559.01	1,690,908.18	1,605,951.03	1,693,693.32	(2,785.14	)	(21,347.19	)	—	—	4.0000	3.0533	Monthly	5,353.17	70,668.04	20120502	20410201
3138A7Q76	FNMA POOL # AH5877	4	1	319,763.82	314,613.43	298,321.91	314,613.28	0.15		(7,020.08	)	—	—	4.0000	2.0825	Monthly	994.41	13,823.79	20131217	20260201
3138A9YZ1	FNMA POOL # AH7927	4	1	751,313.94	749,695.39	725,797.60	743,503.52	6,191.87		(8,876.96	)	—	—	3.5000	2.6472	Monthly	2,116.91	30,360.76	20110803	20260801
3138AP6W3	FNMA POOL # AI9884	4	1	1,866,325.93	1,834,830.76	1,720,363.82	1,859,254.00	(24,423.24	)	(40,730.14	)	—	—	4.5000	2.9205	Monthly	6,451.37	88,492.98	20140815	20410901
3138ECD91	FNMA POOL # AK7327	4	1	1,924,772.74	1,897,486.86	1,802,010.76	1,917,568.91	(20,082.05	)	(49,699.49	)	—	—	4.0000	2.8221	Monthly	6,006.70	89,537.11	20151201	20370301
3138EGHT4	FNMA POOL # AL0241	4	1	2,454,845.76	2,424,588.67	2,300,463.14	2,441,022.83	(16,434.16	)	(23,306.48	)	—	—	4.0000	3.0125	Monthly	7,668.21	100,337.26	20130227	20410401
3138EJRA8	FNMA POOL # AL2280	4	1	1,449,460.83	1,439,572.80	1,343,356.64	1,444,589.86	(5,017.06	)	(35,694.78	)	—	—	4.5000	3.0693	Monthly	5,037.59	70,474.03	20140915	20420901
3138EJ3G1	FNMA POOL # AL2598	4	1	757,210.43	740,197.72	703,461.58	755,784.16	(15,586.44	)	(13,767.52	)	—	—	4.0000	2.5867	Monthly	2,344.87	32,241.91	20160613	20421001
3138EKVP7	FNMA POOL # AL3321	4	1	3,073,774.21	3,071,349.86	2,987,872.86	3,068,564.74	2,785.12		(17,753.14	)	—	—	3.5000	3.0589	Monthly	8,714.63	115,397.83	20140627	20430201
3138ELZ63	FNMA POOL # AL4364	4	1	847,763.99	822,938.57	801,549.63	846,602.78	(23,664.21	)	(11,249.80	)	—	—	3.3720	1.2212	Monthly	2,252.35	31,287.72	20140210	20420901
3138EMCW9	FNMA POOL # AL4584	4	1	143,673.96	136,193.94	133,805.80	141,649.86	(5,455.92	)	(4,194.68	)	—	—	4.5000	2.5230	Monthly	501.77	7,359.48	20131212	20270101
3138EMFX4	FNMA POOL # AL4681	4	1	731,164.96	708,125.02	684,531.27	729,862.99	(21,737.97	)	(7,329.08	)	—	—	3.5000	2.5488	Monthly	1,996.55	25,833.47	20160908	20431201

3138ENXH7	FNMA POOL # AL6079	4	1	3,729,423.26	3,649,062.92	3,521,957.90	3,718,734.02	(69,671.10	)	(32,216.53	)	—	—	3.5000	2.7116	Monthly	10,272.38	133,113.81	20150112	20441101
3138EN7C7	FNMA POOL # AL6290	4	1	6,430,358.94	6,333,220.24	6,089,715.48	6,387,227.08	(54,006.84	)	(110,940.76	)	—	—	3.5000	2.0779	Monthly	17,761.67	245,648.17	20151202	20271201
3138EP4F8	FNMA POOL # AL7121	4	1	4,093,865.96	4,013,716.73	3,991,581.69	4,089,970.05	(76,253.32	)	(13,988.85	)	—	—	3.0000	2.6548	Monthly	9,978.96	127,563.08	20160330	20440101
3138EQD41	FNMA POOL # AL7322	4	1	142,052.03	140,123.72	137,518.23	141,612.39	(1,488.67	)	(1,945.98	)	—	—	3.0000	2.2668	Monthly	343.80	8,271.65	20160104	20300601
3138EQJ78	FNMA POOL # AL7485	4	1	5,791,463.63	5,664,874.77	5,444,384.13	5,755,788.41	(90,913.64	)	(137,304.91	)	—	—	4.0000	2.3852	Monthly	18,147.94	258,326.92	20151202	20290401
3138EQRF1	FNMA POOL # AL7685	4	1	6,251,186.73	6,158,730.08	5,653,139.64	6,241,666.04	(82,935.96	)	(85,905.33	)	—	—	4.5000	2.9262	Monthly	21,199.27	179,276.80	20161027	20450801
3138ETXE1	FNMA POOL # AL8776	4	1	4,432,390.03	4,420,721.05	4,303,291.29	4,430,210.88	(9,489.83	)	(20,425.68	)	—	—	3.5000	2.9908	Monthly	12,551.27	163,336.27	20161118	20460701
3138ERDM9	FNMA POOL # AL9107	4	1	5,920,821.33	5,862,048.71	5,499,746.94	5,914,698.12	(52,649.41	)	(63,925.82	)	—	—	4.5000	3.1148	Monthly	20,624.06	147,726.56	20170505	20460301
3138ESC89	FNMA POOL # AL9994	4	1	916,831.47	911,811.24	912,411.96	916,640.55	(4,829.31	)	(524.26	)	—	—	2.5000	2.3805	Monthly	1,900.86	12,864.04	20170504	20320401
3138LURE7	FNMA POOL # AO4084	4	1	685,447.37	667,183.82	645,316.75	675,240.71	(8,056.89	)	(10,935.94	)	—	—	3.5000	2.1276	Monthly	1,882.17	25,656.61	20130124	20270501
3138LYPM3	FNMA POOL # AO7627	4	1	780,716.98	767,602.80	752,271.67	775,092.49	(7,489.69	)	(6,290.21	)	—	—	3.0000	2.0920	Monthly	1,880.68	24,543.84	20140815	20270601
3138M0AK6	FNMA POOL # AO8109	4	1	6,605,443.61	6,567,404.34	6,361,902.05	6,594,955.45	(27,551.11	)	(39,774.24	)	—	—	3.5000	2.9079	Monthly	18,555.55	244,762.46	20151105	20420801
3138M8DS9	FNMA POOL # AP4612	4	1	1,967,934.56	1,929,179.00	1,842,419.73	1,962,652.58	(33,473.58	)	(8,285.05	)	—	—	4.0000	2.9681	Monthly	6,141.40	75,618.91	20151201	20420701
3138MRLL3	FNMA POOL # AQ9330	4	1	1,521,222.96	1,488,163.73	1,441,597.23	1,515,340.34	(27,176.61	)	(15,404.83	)	—	—	3.5000	2.6904	Monthly	4,204.66	55,046.56	20130225	20430101
3138NXER4	FNMA POOL # AR1043	4	1	124,969.61	120,325.96	119,570.26	124,797.59	(4,471.63	)	(942.98	)	—	—	3.0000	2.3362	Monthly	298.93	3,908.82	20160628	20430201
3138W9AS9	FNMA POOL # AS0016	4	1	3,685,105.81	3,703,805.13	3,683,379.21	3,684,724.29	19,080.84		(393.22	)	—	—	3.0000	2.9856	Monthly	9,208.45	118,506.54	20151112	20430701
3138W9A26	FNMA POOL # AS0024	4	1	2,535,110.38	2,535,946.55	2,456,799.88	2,532,219.75	3,726.80		(13,726.28	)	—	—	3.5000	3.0363	Monthly	7,165.67	93,673.92	20151222	20430701
3138W9GM6	FNMA POOL # AS0203	4	1	1,056,185.55	1,037,998.08	1,035,000.38	1,054,945.66	(16,947.58	)	(3,141.44	)	—	—	3.0000	2.7302	Monthly	2,587.50	37,781.19	20150316	20430801
3138W9KP4	FNMA POOL # AS0301	4	1	2,863,930.72	2,873,526.63	2,857,679.57	2,863,474.01	10,052.62		(844.49	)	—	—	3.0000	2.9639	Monthly	7,144.20	89,998.55	20151222	20430801
3138W9LM0	FNMA POOL # AS0331	4	1	1,632,389.66	1,663,272.43	1,654,099.74	1,633,532.37	29,740.06		3,067.59		—	—	3.0000	3.1620	Monthly	4,135.25	53,019.31	20140909	20430801
3138W9VQ0	FNMA POOL # AS0622	4	1	1,119,895.00	1,097,167.60	1,075,529.41	1,110,879.24	(13,711.64	)	(12,230.60	)	—	—	3.0000	2.1214	Monthly	2,688.83	36,549.45	20131023	20281001
3138WAJB4	FNMA POOL # AS1157	4	1	2,749,108.72	2,711,616.72	2,657,347.20	2,730,996.17	(19,379.45	)	(24,078.15	)	—	—	3.0000	2.2217	Monthly	6,643.37	88,060.71	20131126	20281101
3138WAWT0	FNMA POOL # AS1557	4	1	2,889,207.49	2,872,168.60	2,721,655.55	2,880,030.34	(7,861.74	)	(37,506.17	)	—	—	4.0000	3.0796	Monthly	9,072.18	120,655.37	20140627	20440101
3138WCAD5	FNMA POOL # AS2703	4	1	2,848,583.83	2,832,291.48	2,683,782.80	2,840,043.55	(7,752.07	)	(36,668.31	)	—	—	4.0000	3.0611	Monthly	8,945.94	118,971.86	20140627	20440601
3138WCAV5	FNMA POOL # AS2719	4	1	3,965,928.72	3,933,690.95	3,727,431.37	3,954,087.52	(20,396.57	)	(64,084.65	)	—	—	4.0000	3.0341	Monthly	12,424.77	170,102.66	20140815	20440601
3138WCFK4	FNMA POOL # AS2869	4	1	600,658.49	592,999.08	581,487.57	597,527.15	(4,528.07	)	(4,273.02	)	—	—	3.0000	2.2918	Monthly	1,453.72	19,318.76	20140912	20290701
3138WCPT4	FNMA POOL # AS3133	4	1	2,818,968.61	2,827,900.04	2,739,356.11	2,814,335.17	13,564.87		(13,260.78	)	—	—	3.5000	3.1013	Monthly	7,989.79	103,020.25	20140813	20440801
3138WCZ63	FNMA POOL # AS3464	4	1	1,575,111.69	1,538,319.93	1,507,058.58	1,565,151.30	(26,831.37	)	(15,831.50	)	—	—	3.0000	2.0418	Monthly	3,767.65	50,139.66	20141124	20291001
3138WDKR1	FNMA POOL # AS3903	4	1	1,790,226.25	1,751,586.20	1,672,620.13	1,786,115.95	(34,529.75	)	(34,582.39	)	—	—	4.0000	2.7286	Monthly	5,575.40	76,459.14	20150413	20441101
3138WDUJ8	FNMA POOL # AS4184	4	1	2,423,890.48	2,395,853.32	2,288,038.19	2,421,002.26	(25,148.94	)	(44,387.74	)	—	—	4.0000	2.6674	Monthly	7,626.79	116,179.60	20151217	20450101
3138WD2K6	FNMA POOL # AS4377	4	1	3,241,744.30	3,153,228.55	2,978,191.30	3,235,621.17	(82,392.62	)	(52,895.29	)	—	—	4.0000	2.6737	Monthly	9,927.30	131,996.39	20160921	20450201
3138WD3H2	FNMA POOL # AS4399	4	1	330,153.23	324,048.24	323,530.85	329,840.33	(5,792.09	)	(907.55	)	—	—	3.0000	2.6940	Monthly	808.83	10,371.56	20150211	20450201
3138WD4J7	FNMA POOL # AS4424	4	1	1,066,200.85	1,050,452.39	1,004,665.09	1,064,558.38	(14,105.99	)	(20,140.40	)	—	—	4.0000	2.5863	Monthly	3,348.89	46,438.37	20151209	20450201
3138WEF79	FNMA POOL # AS4689	4	1	2,203,054.48	2,173,080.67	2,174,513.99	2,199,706.72	(26,626.05	)	(6,855.16	)	—	—	2.5000	2.2035	Monthly	4,530.24	60,452.86	20151106	20300301

3138WEKK4	FNMA POOL # AS4797	4	1	3,349,547.47	3,267,871.62	3,180,343.26	3,342,127.60	(74,255.98	)	(31,081.69	)	—	—	3.5000	2.7346	Monthly	9,276.00	121,952.90	20150410	20450401
3138WEW88	FNMA POOL # AS5170	4	1	1,992,971.63	1,982,646.67	1,969,278.43	1,991,963.37	(9,316.70	)	(3,924.60	)	—	—	3.0000	2.8251	Monthly	4,923.19	65,181.89	20151103	20450601
3138WE3P2	FNMA POOL # AS5305	4	1	2,836,522.71	2,794,235.25	2,740,601.65	2,826,374.33	(32,139.08	)	(20,928.42	)	—	—	3.0000	2.2502	Monthly	6,851.50	89,810.88	20151112	20300701
3138WFHF6	FNMA POOL # AS5629	4	1	10,029,528.39	9,925,594.06	9,659,741.83	10,024,390.98	(98,796.92	)	(32,925.39	)	—	—	3.5000	2.9277	Monthly	28,174.24	163,712.64	20170607	20450801
3138WFPA8	FNMA POOL # AS5816	4	1	1,715,078.06	1,685,872.13	1,639,997.43	1,712,381.23	(26,509.10	)	(13,242.60	)	—	—	3.5000	2.8343	Monthly	4,783.32	62,315.84	20151021	20450901
3138WFRN8	FNMA POOL # AS5892	4	1	8,880,571.65	8,880,758.95	8,642,892.12	8,876,837.25	3,921.70		(24,876.45	)	—	—	3.5000	3.0242	Monthly	25,208.44	176,603.33	20170503	20451001
3138WFU79	FNMA POOL # AS6005	4	1	2,575,851.43	2,535,212.46	2,452,644.18	2,572,421.20	(37,208.74	)	(10,216.82	)	—	—	3.5000	2.8133	Monthly	7,153.55	89,255.20	20160329	20451001
3138WFX68	FNMA POOL # AS6100	4	1	2,827,166.26	2,818,157.08	2,729,913.09	2,824,358.92	(6,201.84	)	(12,976.00	)	—	—	3.5000	3.0078	Monthly	7,962.24	101,631.86	20151228	20451101
3138WFYQ3	FNMA POOL # AS6118	4	1	1,873,595.57	1,842,603.76	1,807,236.13	1,867,032.07	(24,428.31	)	(14,827.29	)	—	—	3.0000	2.2186	Monthly	4,518.10	59,594.11	20151211	20301101
3138WFZU3	FNMA POOL # AS6154	4	1	7,395,520.33	7,262,173.30	7,127,139.00	7,368,825.37	(106,652.07	)	(63,855.72	)	—	—	3.0000	2.2050	Monthly	17,817.85	238,879.73	20151202	20301101
3138WF6E1	FNMA POOL # AS6268	4	1	1,876,643.86	1,859,139.72	1,860,365.68	1,874,949.44	(15,809.72	)	(3,591.56	)	—	—	2.5000	2.2979	Monthly	3,875.76	51,290.94	20151223	20301201
3138WGDX9	FNMA POOL # AS6417	4	1	4,623,557.19	4,518,418.62	4,434,402.24	4,606,181.30	(87,762.68	)	(45,860.63	)	—	—	3.0000	2.1066	Monthly	11,086.01	147,844.86	20160128	20301201
3138WGUC6	FNMA POOL # AS6878	4	1	842,416.38	821,281.19	805,297.20	839,448.32	(18,167.13	)	(7,433.12	)	—	—	3.0000	2.0377	Monthly	2,013.24	31,154.47	20160324	20310301
3138WGYN8	FNMA POOL # AS7016	4	1	6,138,953.49	5,989,841.55	5,827,111.93	6,133,385.70	(143,544.15	)	(47,425.09	)	—	—	3.5000	2.5290	Monthly	16,995.74	220,087.00	20161013	20460401
3138WGZP2	FNMA POOL # AS7049	4	1	415,069.64	402,617.15	402,949.67	414,033.10	(11,415.95	)	(2,370.18	)	—	—	2.5000	1.8908	Monthly	839.48	10,996.85	20160412	20310401
3138WG6K5	FNMA POOL # AS7173	4	1	8,859,403.80	8,643,054.25	8,411,554.23	8,850,274.55	(207,220.30	)	(73,718.80	)	—	—	3.5000	2.5819	Monthly	24,533.71	325,392.02	20161011	20460501
3138WHGL0	FNMA POOL # AS7402	4	1	3,502,895.63	3,414,911.18	3,260,640.25	3,498,489.72	(83,578.54	)	(52,642.97	)	—	—	4.0000	2.7720	Monthly	10,868.81	146,345.56	20160623	20460601
3138WJUC0	FNMA POOL # AS8678	4	1	838,702.07	831,404.97	832,329.55	838,504.78	(7,099.81	)	(425.42	)	—	—	2.5000	2.3264	Monthly	1,734.02	7,826.04	20170714	20320101
3138WLAL7	FNMA POOL # AS9910	4	1	5,087,516.04	5,087,972.27	4,929,054.63	5,086,954.11	1,018.16		(2,848.48	)	—	—	3.5000	3.0552	Monthly	14,376.41	58,006.00	20170726	20470701
3138WLBE2	FNMA POOL # AS9936	4	1	5,982,277.93	5,959,929.16	5,945,120.93	5,981,911.87	(21,982.71	)	(707.60	)	—	—	3.0000	2.9131	Monthly	14,862.80	61,735.39	20170724	20470701
3138WMPS4	FNMA POOL # AT0432	4	1	3,348,130.65	3,366,960.52	3,348,392.25	3,347,855.58	19,104.94		(75.35	)	—	—	3.0000	2.9927	Monthly	8,370.99	107,940.98	20151112	20430301
3138WNBL2	FNMA POOL # AT0942	4	1	3,612,662.03	3,617,473.20	3,607,026.06	3,612,047.71	5,425.49		(854.34	)	—	—	3.0000	2.9678	Monthly	9,017.57	114,481.73	20150608	20430401
3138WQAV4	FNMA POOL # AT2719	4	1	7,564,147.02	7,574,153.52	7,545,283.83	7,562,840.79	11,312.73		(3,269.98	)	—	—	3.0000	2.9550	Monthly	18,863.21	244,731.15	20151215	20430501
3138WQAW2	FNMA POOL # AT2720	4	1	203,877.23	200,843.11	200,263.08	203,668.51	(2,825.40	)	(578.43	)	—	—	3.0000	2.7473	Monthly	500.66	6,462.01	20150311	20430501
3138WZTZ5	FNMA POOL # AU0567	4	1	1,571,440.24	1,567,139.29	1,515,782.60	1,569,237.22	(2,097.93	)	(8,655.38	)	—	—	3.5000	2.9868	Monthly	4,421.03	57,269.84	20151217	20430801
3138X3EP3	FNMA POOL # AU3741	4	1	3,305,239.97	3,320,213.36	3,211,406.70	3,298,967.36	21,246.00		(16,764.67	)	—	—	3.5000	3.1083	Monthly	9,366.60	122,492.45	20140627	20430801
3138X3XM9	FNMA POOL # AU4283	4	1	811,320.60	795,315.41	769,252.14	809,645.74	(14,330.33	)	(9,274.30	)	—	—	3.5000	2.7689	Monthly	2,243.65	38,477.31	20160330	20430901
3138X4HN3	FNMA POOL # AU4736	4	1	170,559.85	169,360.07	168,714.54	170,445.13	(1,085.06	)	(837.03	)	—	—	3.0000	2.8459	Monthly	421.79	35,193.20	20150306	20430901
3138X6NW1	FNMA POOL # AU6704	4		286,383.12	290,377.99	273,396.78	286,147.64	4,230.35		(1,421.76	)	—	—	4.0000	3.1931	Monthly	911.32	8,218.32	20170309	20431001
3138X9U23	FNMA POOL # AU9600	4	1	1,066,419.26	1,045,690.94	1,023,557.80	1,058,075.18	(12,384.24	)	(9,951.63	)	—	—	3.0000	2.0659	Monthly	2,558.89	33,912.04	20131023	20281001
3138XSFZ5	FNMA POOL # AW2883	4	1	3,211,207.86	3,215,030.13	3,038,398.90	3,201,979.35	13,050.78		(32,915.37	)	—	—	4.0000	3.1215	Monthly	10,128.00	130,837.87	20140605	20440401
3138XYQJ6	FNMA POOL # AW8556	4	1	3,545,443.26	3,561,541.20	3,437,484.75	3,539,248.36	22,292.84		(18,444.03	)	—	—	3.5000	3.0670	Monthly	10,026.00	130,201.93	20140813	20440801
3138Y17A7	FNMA POOL # AX0888	4	1	728,913.56	716,487.71	684,024.47	727,167.22	(10,679.51	)	(11,475.66	)	—	—	4.0000	3.0118	Monthly	2,280.08	30,919.23	20150804	20441001
3138Y6YG3	FNMA POOL # AX5210	4	1	1,456,144.76	1,440,173.46	1,353,372.99	1,451,670.76	(11,497.30	)	(27,279.61	)	—	—	4.0000	2.8883	Monthly	4,511.24	70,879.91	20150317	20441001

3138Y7HK1	FNMA POOL # AX5633	4	1	112,100.65	110,771.92	108,942.98	112,055.15	(1,283.23	)	(2,115.21	)	—	—	2.9330	1.9201	Monthly	266.27	4,527.27	20160120	20451001
3138Y7HZ8	FNMA POOL # AX5647	4	1	362,098.74	351,421.63	352,675.70	361,956.40	(10,534.77	)	(1,803.34	)	—	—	2.9020	2.0547	Monthly	852.89	11,541.19	20160120	20451101
3138Y8CM0	FNMA POOL # AX6375	4	1	1,151,937.37	1,132,162.57	1,101,838.15	1,149,522.13	(17,359.56	)	(5,461.03	)	—	—	3.5000	2.8734	Monthly	3,213.70	45,676.12	20150306	20450201
3138YGAP7	FNMA POOL # AY2713	4	1	350,499.06	343,399.09	327,808.58	349,935.46	(6,536.37	)	(12,787.27	)	—	—	4.0000	2.6449	Monthly	1,092.70	17,711.52	20150327	20450201
3138YKH55	FNMA POOL # AY5651	4	1	1,950,811.96	1,926,673.52	1,889,692.22	1,944,943.60	(18,270.08	)	(13,795.07	)	—	—	3.0000	2.2837	Monthly	4,724.23	62,650.72	20151223	20300601
3138YMJM2	FNMA POOL # AY7467	4	1	595,688.51	583,348.38	567,723.68	594,666.86	(11,318.48	)	(5,112.03	)	—	—	3.5000	2.7643	Monthly	1,655.86	21,644.29	20150327	20450401
3138YR5T1	FNMA POOL # AZ0857	4	1	6,689,454.67	6,724,597.70	6,705,169.94	6,689,535.75	35,061.95		1,843.28		—	—	3.0000	3.0233	Monthly	16,762.93	213,978.59	20150717	20450701
3138YTLY8	FNMA POOL # AZ2142	4	1	1,518,081.48	1,489,239.19	1,449,350.64	1,515,880.17	(26,640.98	)	(13,386.70	)	—	—	3.5000	2.6957	Monthly	4,227.27	56,832.90	20151022	20450701
3138YVEY1	FNMA POOL # AZ3750	4	1	4,367,583.31	4,261,709.28	4,249,396.95	4,363,467.57	(101,758.29	)	(17,948.23	)	—	—	3.0000	2.6384	Monthly	10,623.49	137,259.81	20160223	20460101
3140E1S38	FNMA POOL # AZ8637	4	1	7,843,207.00	7,819,393.25	7,574,547.26	7,835,509.53	(16,116.28	)	(29,511.70	)	—	—	3.5000	3.0061	Monthly	22,092.43	283,539.86	20151228	20451001
3140EUEE5	FNMA POOL # BC0132	4	1	1,881,458.41	1,860,386.21	1,859,378.30	1,879,056.79	(18,670.58	)	(4,450.43	)	—	—	2.5000	2.2411	Monthly	3,873.70	50,426.46	20151210	20301201
3140EUEF2	FNMA POOL # BC0133	4	1	3,916,265.59	3,859,629.12	3,785,545.95	3,903,784.45	(44,155.33	)	(26,461.86	)	—	—	3.0000	2.2415	Monthly	9,463.86	122,582.54	20151210	20301201
3140EUFH7	FNMA POOL # BC0167	4	1	7,631,809.55	7,532,899.60	7,303,406.00	7,622,795.70	(89,896.10	)	(31,785.00	)	—	—	3.5000	2.8627	Monthly	21,301.60	241,268.52	20160126	20460101
3140EUKN8	FNMA POOL # BC0300	4	1	1,178,261.10	1,147,699.34	1,117,212.45	1,177,288.43	(29,589.09	)	(8,024.61	)	—	—	3.5000	2.6402	Monthly	3,258.54	41,711.47	20160826	20460301
3140EULG2	FNMA POOL # BC0326	4	1	4,864,291.46	4,867,445.51	4,737,073.34	4,860,998.68	6,446.83		(17,865.96	)	—	—	3.5000	3.0058	Monthly	13,816.47	177,605.44	20151216	20451201
3140EU2B4	FNMA POOL # BC0769	4	1	7,403,934.92	7,226,497.90	6,898,410.80	7,394,968.02	(168,470.12	)	(106,334.62	)	—	—	4.0000	2.7057	Monthly	22,994.70	306,936.99	20161014	20451201
3140EU6X2	FNMA POOL # BC0885	4	1	902,268.44	868,139.49	867,807.92	901,412.89	(33,273.40	)	(3,358.02	)	—	—	3.0000	2.4624	Monthly	2,169.52	27,297.04	20160804	20460501
3140EVCA3	FNMA POOL # BC0964	4	1	7,206,634.88	7,021,696.21	6,830,933.58	7,199,016.26	(177,320.05	)	(51,705.23	)	—	—	3.5000	2.5533	Monthly	19,923.56	258,260.59	20161011	20460601
3140F0HF4	FNMA POOL # BC4729	4	1	10,603,897.54	10,271,100.71	10,264,681.88	10,596,876.40	(325,775.69	)	(25,079.86	)	—	—	3.0000	2.5020	Monthly	25,661.70	319,705.91	20161012	20461001
3140F0JX3	FNMA POOL # BC4777	4	1	2,537,361.35	2,457,738.42	2,460,471.61	2,532,849.22	(75,110.80	)	(12,756.00	)	—	—	2.5000	1.8748	Monthly	5,125.98	65,775.33	20161104	20311001
3140F5BM4	FNMA POOL # BC9043	4	1	2,158,305.34	2,142,452.84	2,143,560.50	2,157,885.43	(15,432.59	)	(1,140.95	)	—	—	2.5000	2.4147	Monthly	4,465.76	16,021.79	20170814	20311101
3140F9EZ4	FNMA POOL # BD1951	4	1	4,706,846.51	4,531,438.36	4,518,346.76	4,701,709.36	(170,271.00	)	(18,902.84	)	—	—	3.0000	2.4495	Monthly	11,295.88	140,969.29	20160715	20460701
3140F9WZ4	FNMA POOL # BD2463	4	1	2,352,676.89	2,324,971.84	2,327,942.50	2,351,950.61	(26,978.77	)	(1,947.53	)	—	—	2.5000	2.2665	Monthly	4,849.89	22,067.09	20170626	20320101
3140FE3K8	FNMA POOL # BD7101	4	1	943,541.35	935,503.94	918,009.22	942,655.90	(7,151.96	)	(2,814.83	)	—	—	3.0000	2.3681	Monthly	2,295.02	17,570.34	20170403	20320301
3140FPDW6	FNMA POOL # BE3716	4	1	18,012,853.60	17,820,306.95	17,114,350.19	17,990,764.34	(170,457.39	)	(61,905.98	)	—	—	3.5000	2.3791	Monthly	49,916.86	226,218.49	20170620	20320601
3140FTJT9	FNMA POOL # BE7473	4	1	866,303.97	859,018.04	857,328.80	866,196.82	(7,178.78	)	(546.93	)	—	—	3.0000	2.8583	Monthly	2,143.32	11,616.00	20170620	20470201
3140FUYT9	FNMA POOL # BE8821	4	1	3,063,061.49	3,041,194.06	2,876,958.24	3,062,185.99	(20,991.93	)	(8,817.79	)	—	—	4.0000	3.0484	Monthly	9,589.86	30,141.52	20170825	20470701
3140FVC53	FNMA POOL # BE9091	4	1	160,887.46	159,463.06	152,975.75	160,748.29	(1,285.23	)	(249.28	)	—	—	3.5000	2.3303	Monthly	446.18	1,094.60	20170824	20320501
3140FXE40	FNMA POOL # BF0154	4		7,511,225.61	7,453,451.71	7,247,375.84	7,508,703.12	(55,251.41	)	(14,180.19	)	—	—	3.5000	2.8898	Monthly	21,138.17	35,502.32	20171010	20461101
3140GQYN0	FNMA POOL # BH2516	4	1	271,344.77	268,643.67	258,001.27	271,109.37	(2,465.70	)	(544.45	)	—	—	3.5000	2.3760	Monthly	752.50	1,862.40	20170824	20320601
3140J5FG9	FNMA POOL # BM1066	4	1	6,332,152.06	6,285,633.87	6,000,262.52	6,329,327.02	(43,693.15	)	(47,177.55	)	—	—	4.0000	2.9168	Monthly	20,000.88	133,036.01	20170519	20470201
3140J5TX7	FNMA POOL # BM1465	4	1	1,669,788.45	1,653,104.95	1,584,028.15	1,668,276.38	(15,171.43	)	(3,150.21	)	—	—	3.5000	2.3558	Monthly	4,620.09	11,378.44	20170824	20320701
3140Q7GK7	FNMA POOL # CA0201	4	1	467,498.69	462,930.67	443,586.60	467,078.26	(4,147.59	)	(883.57	)	—	—	3.5000	2.3784	Monthly	1,293.80	3,186.43	20170824	20320801
31417Y5D5	FNMA POOL # MA0843	4	1	756,653.36	739,445.01	690,023.02	754,618.41	(15,173.40	)	(19,759.49	)	—	—	4.5000	2.8871	Monthly	2,587.59	35,618.09	20160613	20410901

31418AMK1	FNMA POOL # MA1261	4	1	277,084.66	269,268.54	263,400.19	271,739.11	(2,470.57	)	(5,118.61	)	—	—	3.0000	1.2611	Monthly	658.50	9,589.56		20130213	20221101
31418AX52	FNMA POOL # MA1599	4	1	1,909,616.41	1,844,966.02	1,834,791.32	1,907,253.19	(62,287.17	)	(10,981.48	)	—	—	3.0000	2.4732	Monthly	4,586.98	59,908.09		20160815	20430901
31418BDN3	FNMA POOL # MA1908	4	1	4,098,906.61	4,034,212.90	3,784,879.85	4,091,321.77	(57,108.87	)	(85,347.72	)	—	—	4.5000	2.8417	Monthly	14,193.31	194,839.07		20151217	20440501
31418B6M3	FNMA POOL # MA2675	4	1	2,128,401.19	2,108,683.97	2,111,028.99	2,127,777.83	(19,093.86	)	(1,969.54	)	—	—	2.5000	2.2359	Monthly	3,877.12	17,781.36		20170608	20310701
31418CEF7	FNMA POOL # MA2833	4	1	18,202,614.21	18,080,551.66	18,073,646.08	18,200,561.99	(120,010.33	)	(6,700.29	)	—	—	3.0000	3.1463	Monthly	45,184.12	285,292.29		20161213	20461201
31418CJU9	FNMA POOL # MA2974	4	1	4,675,750.53	4,632,062.07	4,341,065.11	4,671,424.00	(39,361.93	)	(43,005.11	)	—	—	4.5000	2.7178	Monthly	16,278.99	79,835.83		20170614	20470401
31418CMJ0	FNMA POOL # MA3060	4	1	1,239,082.62	1,227,128.56	1,204,180.21	1,238,294.27	(11,165.71	)	(3,892.17	)	—	—	3.0000	2.3691	Monthly	3,010.45	20,264.19		20170726	20320701
31418CQH0	FNMA POOL # MA3155	4	1	2,228,810.47	2,203,989.66	2,162,773.18	2,227,712.08	(23,722.42	)	(2,751.91	)	—	—	3.0000	2.5965	Monthly	4,906.08	12,009.66		20170914	20321001
3138ATD31	FNMA POOL# AJ1921	4	1	249,665.40	250,721.61	233,964.23	248,259.33	2,462.28		(3,112.71	)	—	—	4.5000	3.4355	Monthly	877.37	11,386.00		20110920	20410901
31410LTT9	FNMA POOL#890762	4		294,204.65	293,492.83	293,333.82	294,192.21	(699.38	)	(18.42	)	—	—	2.5000	2.4154	Monthly	611.11	205.10		20171117	20311001
3138EBG33	FNMA POOL#AK6517	4	1	658,498.96	642,664.50	629,954.17	650,420.72	(7,756.22	)	(7,735.40	)	—	—	3.0000	2.0045	Monthly	1,574.89	21,297.98		20120424	20270301
3138ELCQ4	FNMA POOL#AL3678	4		453,660.27	455,226.39	436,999.66	453,446.62	1,779.77		(497.41	)	—	—	3.5000	2.4494	Monthly	1,274.58	432.10		20171117	20280501
3138EQYL0	FNMA POOL#AL7914	4	1	19,976,177.51	19,957,834.91	18,795,580.14	19,974,758.23	(16,923.32	)	(1,419.28	)	—	—	4.0000	3.0289	Monthly	62,651.93	—		20171128	20451001
3138ETJ98	FNMA POOL#AL8387	4		1,234,846.72	1,232,986.09	1,177,007.82	1,234,496.55	(1,510.46	)	(1,694.50	)	—	—	4.0000	3.0259	Monthly	3,923.36	1,472.00		20171116	20460301
3138ERCG3	FNMA POOL#AL9070	4		2,094,578.53	2,095,882.22	2,032,030.10	2,094,422.44	1,459.78		(156.09	)	—	—	3.5000	3.2575	Monthly	5,926.75	(2,568.26	)	20171211	20460701
3138WF3E4	FNMA POOL#AS6196	4		1,930,530.14	1,933,645.87	1,881,149.95	1,930,530.14	3,115.73		—		—	—	3.5000	3.2886	Monthly	1,828.90	(1,828.90	)	20171228	20451101
3138WJR34	FNMA POOL#AS8605	4		789,328.76	786,718.19	771,134.80	789,153.64	(2,435.45	)	(273.30	)	—	—	3.0000	2.4778	Monthly	1,927.84	646.08		20171117	20320101
3138WLCM3	FNMA POOL#AS9975	4		1,114,947.22	1,115,146.05	1,063,278.53	1,114,572.80	573.25		(895.16	)	—	—	4.0000	3.0569	Monthly	3,544.26	1,670.66		20171116	20470701
3140F9WP6	FNMA POOL#BD2453	4	1	29,276,225.99	29,203,692.68	29,119,255.00	29,275,940.61	(72,247.93	)	(285.38	)	—	—	3.0000	2.9225	Monthly	72,798.13	—		20171128	20470101
3140FPAV1	FNMA POOL#BE3619	4	1	6,700,250.18	6,683,694.42	6,381,816.74	6,697,169.10	(13,474.68	)	(7,019.53	)	—	—	4.0000	2.9827	Monthly	21,272.72	12,921.50		20171020	20470501
3140J55S4	FNMA POOL#BM1756	4	1	9,730,885.18	9,704,905.77	9,007,472.55	9,730,196.58	(25,290.81	)	(688.60	)	—	—	4.5000	3.0678	Monthly	33,778.02	—		20171128	20451201
3140J6FY8	FNMA POOL#BM1982	4	1	30,138,381.38	30,057,887.12	29,092,856.84	30,137,252.90	(79,365.78	)	(1,128.48	)	—	—	3.5000	2.9537	Monthly	84,854.16	—		20171128	20471101
31418CMX9	FNMA POOL#MA3073	4		1,635,396.02	1,633,605.40	1,530,978.49	1,634,719.71	(1,114.31	)	(3,500.08	)	—	—	4.5000	2.8590	Monthly	5,741.17	1,965.48		20171117	20470701
31418CNE0	FNMA POOL#MA3088	4		3,665,381.85	3,663,052.55	3,497,606.06	3,665,007.88	(1,955.33	)	(373.97	)	—	—	4.0000	3.6253	Monthly	11,658.69	(5,052.10	)	20171213	20470801
31418CSF2	FNMA POOL#MA3217	4	1	39,670,433.56	39,599,038.98	39,649,635.48	39,670,055.11	(71,016.13	)	(378.45	)	—	—	2.5000	2.4694	Monthly	82,603.41	(23,418.94	)	20171128	20321201
3136AVGY9	FNMA PRELCF SENIOR CMBS_17-M2 A1	4	1	1,974,121.86	1,963,749.14	1,960,443.05	1,972,388.32	(8,639.18	)	(2,009.53	)	—	—	2.7844	2.6100	Monthly	4,548.90	42,603.99		20170215	20270225
3135G0N33	FNMA SENIOR AGENCY BND		1	1,497,480.00	1,475,684.97	1,500,000.00	1,498,658.34	(22,973.37	)	835.40		—	—	0.8750	0.9319	Feb-Aug	5,432.29	13,125.00		20160729	20190802
3135G0H63	FNMA SENIOR AGENCY BND		1	1,748,915.00	1,741,495.00	1,750,000.00	1,749,612.20	(8,117.20	)	356.19		—	—	1.3750	1.3959	Jan-Jul	10,226.57	24,062.50		20160106	20190128
3136ALY88	FNMA SENIOR AGENCY CMO _14-83-P	4	1	4,272,436.45	4,172,900.28	4,134,824.34	4,257,653.48	(84,753.20	)	(28,405.94	)	—	—	3.0000	2.2731	Monthly	10,337.06	134,787.55		20160112	20430625
3136AGGR7	FNMA SENIOR AGENCY CMO 13-91B	4		2,290,121.20	2,252,805.53	2,153,349.84	2,279,884.11	(27,078.58	)	(14,712.04	)	—	—	4.0000	1.2443	Monthly	7,177.83	27,816.89		20170802	20260725
3136ATLK8	FNMA SENIOR AGENCY CMO 2016-48 UP	4	1FE	1,748,929.64	1,661,095.44	1,650,663.58	1,739,147.70	(78,052.26	)	(20,190.00	)	—	—	3.0000	2.0786	Monthly	4,126.66	53,413.22		20160706	20460425
3136ASUM6	FNMA SENIOR AGENCY CMO_16-32F EA	4	1	1,377,602.50	1,339,509.17	1,307,333.34	1,364,584.72	(25,075.55	)	(26,218.89	)	—	—	3.5000	2.1820	Monthly	3,813.05	53,259.52		20160511	20420825
3136ARSK5	FNMA SENIOR AGENCY CMO_16-8 CP	4	1	432,817.38	421,390.63	404,975.32	429,078.29	(7,687.66	)	(4,456.23	)	—	—	3.5000	2.3679	Monthly	1,181.18	15,130.21		20160429	20441025
3136ATKP8	FNMA SENIOR AGENCY_16-49 LA	4	1	1,330,365.55	1,317,109.51	1,281,315.20	1,325,988.90	(8,879.39	)	(9,991.57	)	—	—	3.5000	2.5575	Monthly	3,737.17	40,128.23		20170124	20430125

3136AMM71	FNMA SUB CMBS_15-M4 X2		4,6	1	851,214.94		526,355.80	25,246,093.27	543,298.77		(16,942.97	)	(167,459.19	)	—	—	0.5617	2.7919	Monthly	11,859.14		189,422.67		20150313	20220725
01F022410	FNMA TBA MBS		4		2,866,760.03		2,868,104.41	2,873,000.00	2,866,760.03		1,344.38		—		—	—	2.5000	2.5037	Monthly	3,192.20		(3,192.20	)	20171117	20311109
01F032617	FNMA TBA MBS		4		(10,674.52	)	—	—	(10,674.52	)	10,674.52		—		—	—	3.5000	3.2797	Monthly	(0.01	)	0.01		20171115	20470101
01F030611	FNMA TBA MBS		4		5,965,158.12		5,999,364.04	6,000,000.00	5,965,158.12		34,205.92		—		—	—	3.0000	3.0200	Monthly	4,999.97		(4,999.97	)	20171110	20461109
31398SKX0	FNMA_10-142 AGENCY CMO 10-142 FM		4	1	257,096.03		257,382.40	256,454.91	257,067.11		315.29		(203.14	)	—	—	2.0221	1.9713	Monthly	86.43		4,487.07		20130815	20401225
3136AFA95	FNMA_13-81 AGENCY CMO 13-81 UF		4	1	913,977.62		912,539.79	914,692.24	914,161.15		(1,621.36	)	145.34		—	—	1.8021	1.8215	Monthly	274.73		13,254.35		20130813	20430225
BRSY82PM8	FOCUSVISION WORLDWIDE INC Initial Term L				3,302,202.53		3,285,691.52	3,302,202.53	3,302,202.53		(16,511.01	)	—		—	—	—	—	M-J-S-D	—		207,456.40		20151228	20221212
BRSY82QB1	FOCUSVISION WORLDWIDE INC Revolver				149,759.76		147,782.93	149,759.76	149,759.76		(1,976.83	)	—		—	—	—	—	M-J-S-D	—		23,726.56		20151211	20201211
34531FAA1	FORD CREDIT AUTO OWNER TRUST F SENIOR AB		4	1FE	1,102,578.13		1,100,657.47	1,100,000.00	1,102,549.84		(1,892.37	)	(28.29	)	—	—	2.6200	2.5743	Monthly	1,280.89		80.06		20171212	20280815
34528QFD1	FORD CREDIT FLOORPLAN MASTER O SENIOR AB		4	1FE	999,801.10		994,919.74	1,000,000.00	999,871.08		(4,951.34	)	66.98		—	—	1.9500	1.9649	Monthly	866.67		19,608.33		20161206	20211115
34528QFJ8	FORD CREDIT FLOORPLAN MASTER O SENIOR AB		4	1FE	2,749,527.82		2,737,623.65	2,750,000.00	2,749,617.10		(11,993.45	)	89.28		—	—	2.0700	2.0849	Monthly	2,530.00		30,834.38		20170524	20220515
345397YE7	FORD MOTOR CREDIT COMPANY LLC SENIOR COR			2FE	1,695,000.00		1,698,457.83	1,695,000.00	1,695,000.00		3,457.83		—		—	—	2.6810	2.6810	Jan-Jul	21,711.63		22,721.48		20170104	20200109
345397YM9	FORD MOTOR CREDIT COMPANY LLC SENIOR COR			2FE	2,918,236.00		2,899,492.25	2,915,000.00	2,917,805.43		(18,313.18	)	(430.57	)	—	—	2.4250	2.4250	Jun-Dec	3,730.78		31,572.16		20170607	20200612
345397XQ1	FORD MOTOR CREDIT COMPANY LLC SENIOR COR			2FE	507,765.00		506,805.00	500,000.00	506,195.21		609.79		(1,569.79	)	—	—	3.2000	2.7719	Jan-Jul	7,377.78		5,688.89		20170302	20210115
345397YN7	FORD MOTOR CREDIT COMPANY LLC SENIOR COR				2,300,000.00		2,312,190.14	2,300,000.00	2,300,000.00		12,190.14		—		—	—	2.3388	2.3388	M-J-S-D	2,988.44		28,552.17		20170607	20200612
345397XF5	FORD MOTOR CREDIT COMPANY LLC SENIOR COR			2FE	4,047,920.50		4,036,797.16	4,050,000.00	4,049,883.78		(13,086.62	)	482.27		—	—	2.4590	2.4590	Mar-Sep	26,003.93		90,354.59		20150324	20200327
345397YD9	FORD MOTOR CREDIT COMPANY LLC SENIOR COR			2FE	2,245,000.00		2,222,819.43	2,245,000.00	2,245,000.00		(22,180.57	)	—		—	—	1.8970	1.8970	Feb-Aug	16,443.58		45,749.33		20160808	20190812
345397XW8	FORD MOTOR CREDIT COMPANY LLC SENIOR COR			2FE	665,000.00		675,746.38	665,000.00	665,000.00		10,746.38		—		—	—	3.3360	3.3360	Mar-Sep	6,347.20		22,184.40		20160315	20210318
345397XY4	FORD MOTOR CREDIT COMPANY LLC SENIOR COR			2FE	1,965,000.00		1,954,074.60	1,965,000.00	1,965,000.00		(10,925.40	)	—		—	—	2.0210	2.0210	May-Nov	6,398.15		39,712.66		20160429	20190503
345397XT5	FORD MOTOR CREDIT COMPANY LLC SENIOR COR			2FE	220,000.00		221,297.98	220,000.00	220,000.00		1,297.98		—		—	—	2.9430	2.9430	Jan-Jul	3,111.41		6,474.60		20160105	20190108
345397YS6	FORD MOTOR CREDIT COMPANY LLC SENIOR COR			2FE	744,120.00		743,002.50	750,000.00	744,186.56		(1,184.06	)	66.56		—	—	2.3430	2.6282	May-Nov	2,879.93		(2,343.00	)	20171218	20201102
345397YT4	FORD MOTOR CREDIT COMPANY LLC SENIORCORP		2	2FE	3,000,000.00		3,003,720.03	3,000,000.00	3,000,000.00		3,720.03		—		—	—	3.8150	3.8150	May-Nov	18,757.08		—		20171030	20271102
345397YR8	FORD MOTOR CREDIT COMPANY LLC SENIORCORP				3,000,000.00		2,990,049.00	3,000,000.00	3,000,000.00		(9,951.00	)	—		—	—	1.8112	1.8112	F-M-A-N	9,056.10		—		20171030	20201102
34532AAD5	FORDCREDITAUTOOWNERTRUSTF SENIOR ABS_17-		4	1FE	3,449,377.98		3,438,100.90	3,450,000.00	3,449,398.99		(11,298.09	)	21.01		—	—	2.0100	2.0248	Monthly	3,082.00		4,623.00		20171114	20220315
34532EAE5	FORDO_16B SENIOR ABS 16B A4		4	1FE	922,847.71		911,667.91	923,000.00	922,905.43		(11,237.52	)	31.00		—	—	1.5200	1.5288	Monthly	623.54		14,029.68		20160419	20210815
34531EAE6	FORDO_17-A SENIOR ABS 17-A-A4		4	1FE	739,877.46		733,141.88	740,000.00	739,905.36		(6,763.48	)	27.90		—	—	1.9200	1.9321	Monthly	631.47		12,629.33		20170118	20220415
34531EAD8	FORDO_17-A SENIOR ABS 17-A-A-A3		4	1FE	5,394,907.94		5,373,977.62	5,410,000.00	5,395,338.84		(21,361.22	)	430.90		—	—	1.6700	1.6750	Monthly	4,015.42		40,478.98		20170118	20210615
345838AE6	FOREST LABORATORIES INC. SENIOR CORP BND		1	2FE	576,072.00		554,352.73	525,000.00	549,498.00		4,854.73		(12,428.06	)	—	—	4.8750	3.1606	Feb-Aug	9,668.75		48,865.79		20140721	20210215
BRT9PU3E3	FORTERRA FINANCE LLC SENIOR SECURED TERM			4FE	1,571,747.57		1,471,856.51	1,577,794.36	1,572,365.03		(100,508.52	)	663.39		—	—	—	0.0709	M-J-S-D	—		44,722.27		20170504	20231025
34961KAA9	FORTIUS RE II LTD CORP BND 144A	D			400,000.00		404,012.00	400,000.00	400,000.00		4,012.00		—		—	—	4.8031	4.8510	Monthly	1,387.55		7,442.02		20170713	20210707
34959JAF5	FORTIVE CORP FORTIVE CORP		1	2FE	3,242,590.86		3,215,940.10	3,250,000.00	3,243,135.77		(27,195.67	)	544.91		—	—	2.3500	2.4870	Jun-Dec	3,394.44		30,393.61		20170620	20210615
34960YAJ1	FORTRESS CREDIT OPPORTUNITIES ABS 16-7A-		4		1,000,000.00		994,460.50	1,000,000.00	1,000,000.00		(5,539.50	)	—		—	—	5.5385	5.5727	M-J-S-D	2,615.40		51,867.87		20161202	20281215
353187DT1	FRANKLIN CNTY OHIO HOSP REV MUNIBNDREV		2	1FE	602,935.00		608,305.00	500,000.00	602,052.52		6,252.48		(882.48	)	—	—	5.0000	2.6303	May-Nov	3,125.00		(763.89	)	20171122	20311101
30291WAN4	FREMF SENIOR CMBS 14-K36 144A		4	1FM	2,163,906.25		2,092,468.00	2,000,000.00	2,111,946.42		(19,478.42	)	(17,570.22	)	—	—	4.3601	3.2697	Monthly	7,266.78		88,363.05		20150116	20461225

30290FAE2	FREMF_12-K707 SUB CMBS_12-K707 B 144A		4	1	1,039,335.94	1,010,498.80	1,000,000.00	1,007,616.46	2,882.34		(10,207.72	)	—	—	3.8834	2.8384	Monthly	3,236.13	39,400.65		20141008	20470125
30291YAJ9	FREMF_14-K716 SUB CMBS 14-K716 B 144A		4	1	3,159,492.19	3,079,935.60	3,000,000.00	3,091,203.88	(11,268.28	)	(23,495.21	)	—	—	3.9504	2.9794	Monthly	9,876.03	120,172.14		20150130	20470825
30292CAJ6	FREMFMORTGAGETRUSTFREMF_14- CMBS_14-K38-		4		688,238.28	679,743.35	650,000.00	687,311.77	(7,568.42	)	(926.51	)	—	—	4.2220	3.1835	Monthly	2,286.94	2,210.71		20171031	20470625
31679NAA2	FSSLF_15-1A ABS 15-1A A 144A		4	1FE	3,985,600.00	4,003,892.00	4,000,000.00	3,991,859.68	12,032.32		1,701.42		—	—	3.3626	3.4395	J-A-J-O	27,274.50	125,470.74		20150129	20270120
31679NAE4	FSSLF_15-1A MEZZANIN ABS 15-1A C1 144A		4		242,607.08	247,639.73	250,000.00	245,226.45	2,413.28		834.22		—	—	5.1126	5.5630	J-A-J-O	2,591.81	12,277.68		20150129	20270120
359900XB8	FULTON CNTY GA DEV AUTH REV MUNI BND REV		4	1FE	955,989.35	888,848.05	865,000.00	899,479.90	(10,631.85	)	(42,265.56	)	—	—	5.4910	3.2309	May-Nov	7,916.19	69,461.14		20140930	20191101
362848UG6	GAINESVILLE FL UTILS MUNIBNDREV		2	1FE	598,815.00	603,645.00	500,000.00	597,963.84	5,681.16		(851.16	)	—	—	5.0000	2.7005	Apr-Oct	3,750.00	(1,388.89	)	20171122	20341001
36319GAT1	GALAXY CLO LTD GALXY_14-18A ABS 14-18A-C	D	4		500,000.00	502,272.20	500,000.00	500,000.00	2,272.20		—		—	—	3.5092	3.5240	J-A-J-O	3,704.12	9,301.27		20170317	20261015
363543AA7	GALILEI RE LTD SENIOR CORP BND 144A	D			250,000.00	240,507.50	250,000.00	250,000.00	(9,492.50	)	—		—	—	14.3754	14.3754	J-A-J-O	8,285.84	27,922.13		20161221	20200108
363543AH2	GALILEI RE LTD SENIOR CORP BND 144A	D			250,000.00	246,562.50	250,000.00	250,000.00	(3,437.50	)	—		—	—	7.3954	7.4640	J-A-J-O	4,159.94	13,725.55		20161221	20210108
363543AD1	GALILEI RE LTD SENIOR CORP BND 144A	D			250,000.00	250,995.00	250,000.00	250,000.00	995.00		—		—	—	6.3754	6.3754	J-A-J-O	3,674.73	12,255.46		20161221	20200108
363543AG4	GALILEI RE LTD SENIOR CORP BND 144A	D			250,000.00	244,650.00	250,000.00	250,000.00	(5,350.00	)	—		—	—	9.1454	9.1454	J-A-J-O	5,398.35	17,031.10		20161221	20210108
363543AK5	GALILEI RE LTD SENIOR CORP BND 144A	D			250,000.00	252,857.50	250,000.00	250,000.00	2,857.50		—		—	—	5.6988	5.6988	J-A-J-O	3,284.71	10,419.25		20161221	20210108
363543AJ8	GALILEI RE LTD SENIOR CORP BND 144A	D			250,000.00	250,845.00	250,000.00	250,000.00	845.00		—		—	—	6.4488	6.4488	J-A-J-O	3,717.01	11,835.91		20161221	20210108
363543AB5	GALILEI RE LTD SENIOR CORP BND 144A	D			250,000.00	245,117.50	250,000.00	250,000.00	(4,882.50	)	—		—	—	9.1254	9.1254	J-A-J-O	5,259.80	17,648.06		20161221	20200108
363543AC3	GALILEI RE LTD SENIOR CORP BND 144A	D			250,000.00	247,795.00	250,000.00	250,000.00	(2,205.00	)	—		—	—	7.3754	7.3754	J-A-J-O	4,251.12	14,220.96		20161221	20200108
363543AF6	GALILEI RE LTD SENIOR CORP BND 144A	D			250,000.00	239,467.50	250,000.00	250,000.00	(10,532.50	)	—		—	—	14.6003	14.6003	J-A-J-O	8,415.44	26,947.02		20161221	20210108
363543AE9	GALILEI RE LTD SENIOR CORP BND 144A	D			250,000.00	252,905.00	250,000.00	250,000.00	2,905.00		—		—	—	5.6254	5.6254	J-A-J-O	3,242.44	10,786.72		20161221	20200108
36354TAE2	GALILEO RE LTD CORP BND 144A	D			500,000.00	496,375.00	500,000.00	500,000.00	(3,625.00	)	—		—	—	7.5549	7.6264	J-A-J-O	8,604.20	37,154.39		20160120	20190108
36354TAG7	GALILEO RE LTD CORPBND144A	D			300,000.00	300,036.00	300,000.00	300,000.00	36.00		—		—	—	18.8848	18.8848	F-M-A-N	9,285.04	—		20171030	20201106
36354TAC6	GALILEO RE LTD SENIOR CORP BND 144A	D			300,000.00	288,225.00	300,000.00	300,000.00	(11,775.00	)	—		—	—	14.0749	14.3231	J-A-J-O	9,617.85	89,074.96		20160120	20190108
36354TAD4	GALILEO RE LTD SENIOR CORP BND 144A	D			500,000.00	492,465.00	500,000.00	500,000.00	(7,535.00	)	—		—	—	9.5549	9.6692	J-A-J-O	10,881.98	47,265.51		20160120	20190108
36354TAB8	GALILEO RE LTD UNSEC CORP BND 144A	D			600,000.00	599,268.00	600,000.00	600,000.00	(732.00	)	—		—	—	14.5880	14.8557	J-A-J-O	20,180.04	179,906.58		20150129	20180108
BRSWRS7S1	GALLERIA CO TERM NOTES			3FE	1,656,656.43	1,670,184.40	1,664,981.34	1,658,934.29	11,250.11		1,207.97		—	—	—	0.0708	M-J-S-D	—	69,218.83		20151022	20230126
BRTDY07Q9	GARDA WORLD SEC SENIOR SECURED TERM NOTE	A	4		2,265,626.17	2,296,164.00	2,286,879.27	2,265,929.80	30,234.20		303.63		—	—	—	0.1419	M-J-S-D	—	—		20171128	20240524
BRSU1ML43	GARRETSON RESOLUTION GROUP INC Revolver				735,294.14	724,264.73	735,294.14	735,294.14	(11,029.41	)	—		—	—	—	—	M-J-S-D	—	4,869.75		20170927	20200522
BRSU1MK36	GARRETSON RESOLUTION GROUP INC Term Loan				5,997,242.69	5,952,263.37	5,997,242.69	5,997,242.69	(44,979.32	)	—		—	—	—	—	M-J-S-D	—	602,943.15		20150529	20210521
BRTDQWZM6	GATES GLOBAL LLC SENIOR SECURED TERM LOA		2	4FE	2,487,858.86	2,500,400.32	2,489,122.12	2,487,875.77	12,524.55		20.08		—	—	—	—	M-J-S-D	—	11,254.64		20171201	20240401
361448AV5	GATX CORP SENIOR CORP BND		1	2FE	505,990.00	499,930.00	500,000.00	505,313.29	(5,383.29	)	(676.71	)	—	—	2.6000	2.0932	Mar-Sep	3,286.11	325.00		20170919	20200330
380881CP5	GCCT_15-2A SENIOR ABS 15-2A A 144A	A	4	1FE	1,499,754.15	1,491,836.10	1,500,000.00	1,499,883.57	(8,047.47	)	49.04		—	—	2.0200	2.0319	Monthly	1,346.67	30,300.00		20150422	20220415
87165LAP6	GE CAPITAL CREDIT CARD MASTER SENIOR ABS		4	1FE	1,099,851.83	1,098,647.00	1,100,000.00	1,099,883.36	(1,236.36	)	14.01		—	—	1.7400	1.7477	Monthly	850.67	19,140.00		20150925	20210915
G3R03C2M9	GE CAPITAL UK FUNDING SENIOR CORP BND	B		1FE	2,088,625.61	2,075,732.66	1,460,000.00	2,001,303.05	(13,427.19	)	(68,720.17	)	—	87,856.81	4.3750	0.6900	July	36,456.62	82,773.16		20160920	20190731
G3775BFZ3	GE CAPITAL UK FUNDING SENIOR LOCAL BND E	B			1,500,811.20	1,527,575.35	1,000,000.00	1,495,552.69	(1,607.49	)	(5,258.51	)	—	33,630.15	5.8750	1.1751	November	12,628.76	(5,536.66	)	20171128	20201104
BRSP6WS08	GEMINI HDPE LLC SENIOR SECURED TERM NOTE		4	3FE	896,919.22	903,679.98	901,426.41	899,096.44	4,583.54		677.36		—	—	—	0.0710	M-J-S-D	—	44,279.51		20140724	20210806

369550AW8	GENERAL DYNAMICS CORP SENIOR CORP BND		1	1FE	506,511.60	488,426.98	510,000.00	507,164.37	(18,737.39	)	1,320.84		—	—		1.8750	1.9800	Feb-Aug	3,612.50	45,189.08		20160809	20230815
36962G6P4	GENERAL ELECTRIC CAPITAL CORP SECURED CO		1	1FE	1,016,150.00	998,310.01	1,000,000.00	1,007,722.82	(9,412.81	)	(3,878.96	)	—	—		2.1000	1.6941	Jun-Dec	1,166.67	21,000.00		20151016	20191211
36962G7F5	GENERAL ELECTRIC CAPITAL CORP SENIOR COR			1FE	5,000,000.00	5,016,415.00	5,000,000.00	5,000,000.00	16,415.00		—		—	—		1.8692	1.8692	J-A-J-O	19,989.73	81,649.31		20140108	20190114
36966THT2	GENERAL ELECTRIC CAPITAL CORP SENIOR COR			1FE	3,379,567.20	3,328,607.04	3,292,000.00	3,374,766.30	(46,159.26	)	(4,800.90	)	—	—		2.5885	2.0839	M-J-S-D	4,023.95	21,153.85		20170831	20230315
36962G2T0	GENERAL ELECTRIC CO SENIOR CORP BND MTN			1FE	1,138,210.00	1,070,330.05	1,000,000.00	1,075,971.73	(5,641.68	)	(31,310.03	)	—	—		5.5500	2.2001	May-Nov	8,787.50	55,500.00		20151222	20200504
36962G5J9	GENERAL ELECTRIC CO SENIOR CORP BND MTN			1FE	406,000.64	384,001.57	358,000.00	386,775.46	(2,773.89	)	(7,164.50	)	—	—		4.6500	2.4180	Apr-Oct	3,421.88	16,647.00		20150331	20211017
37045VAM2	GENERAL MOTORS CO SENIOR CORP BND			2FE	3,515,000.00	3,536,371.28	3,515,000.00	3,515,000.00	21,371.28		—		—	—		2.1919	2.1919	F-M-A-N	11,771.03	18,968.66		20170802	20200807
37045XBB1	GENERAL MOTORS FINANCIAL CO IN CORP BND		1	2FE	3,932,082.90	3,957,470.60	3,930,000.00	3,930,649.30	26,821.30		(505.27	)	—	—		3.1000	3.1159	Jan-Jul	56,177.16	160,063.33		20151007	20190115
37045XBV7	GENERAL MOTORS FINANCIAL CO IN SENIOR CO		1	2FE	6,366,963.00	6,358,050.22	6,355,000.00	6,365,881.97	(7,831.75	)	(1,081.03	)	—	—		2.6500	2.6989	Apr-Oct	36,488.30	54,980.14		20170410	20200413
37045XAY2	GENERAL MOTORS FINANCIAL CO IN SENIOR CO		1	2FE	760,762.50	759,390.00	750,000.00	760,632.39	(1,242.39	)	(130.11	)	—	—		3.2000	2.5931	Jan-Jul	11,200.00	(10,466.67	)	20171218	20200713
37045XBS4	GENERAL MOTORS FINANCIAL CO IN SENIOR CO		1	2FE	2,980,451.10	2,948,237.72	2,910,000.00	2,978,076.42	(29,838.70	)	(2,374.68	)	—	—		3.4500	2.8205	Jan-Jul	46,572.12	(31,512.87	)	20171103	20220114
37045XBY1	GENERAL MOTORS FINANCIAL CO IN SENIOR CO		1	2FE	1,632,220.50	1,635,784.75	1,635,000.00	1,632,481.97	3,302.78		261.47		—	—		3.1500	3.1871	Jun-Dec	143.08	25,751.25		20170627	20220630
373334KJ9	GEORGIA POWER COMPANY SENIOR CORP BND		1	1FE	4,138,592.40	4,110,150.57	4,140,000.00	4,138,780.63	(28,630.06	)	188.23		—	—		2.0000	2.0111	Mar-Sep	32,890.01	—		20170803	20200908
3733844A1	GEORGIA ST MUNI BND GO			1FE	1,530,912.50	1,543,100.00	1,250,000.00	1,508,932.60	34,167.40		(21,979.90	)	—	—		5.0000	2.1900	Feb-Aug	26,041.67	21,354.17		20170323	20260201
37331NAB7	GEORGIA-PACIFIC LLC CORP BND 144A			1FE	329,091.00	323,310.01	300,000.00	326,855.20	(3,545.19	)	(2,235.80	)	—	—		5.4000	2.1250	May-Nov	2,700.00	1,215.00		20171002	20201101
37331NAF8	GEORGIA-PACIFIC LLC SENIOR CORP BND 144A		1	1FE	2,000,000.00	2,006,819.92	2,000,000.00	2,000,000.00	6,819.92		—		—	—		2.5390	2.5390	May-Nov	6,488.56	148,806.55		20141103	20191115
BRT5DJJU6	GFL ENVIRONMENTAL INC SENIOR SECURED TER	A		3FE	481,970.45	486,208.89	484,392.42	482,399.82	3,809.07		369.60		—	—		—	0.0708	M-J-S-D	—	19,437.12		20160927	20230929
G4097TAB1	GFUND_16-2 ABS 16-2 A1B	B	4		353,759.86	333,349.32	245,462.02	353,759.86	1,300.57		—		—	(21,711.11	)	1.2043	1.2047	J-A-J-O	755.94	4,784.43		20160422	20580724
375558AV5	GILEAD SCIENCES INC SENIOR CORP BND		1	1FE	2,664,357.45	2,624,054.92	2,625,000.00	2,642,252.99	(18,198.07	)	(12,938.05	)	—	—		2.0500	1.6530	Apr-Oct	13,453.13	48,687.50		20160317	20190401
375558BE2	GILEAD SCIENCES INC SENIOR CORP BND		1	1FE	250,121.50	249,935.00	250,000.00	250,027.89	(92.89	)	(40.97	)	—	—		1.8500	1.8539	Mar-Sep	1,503.13	4,625.00		20150909	20180904
375558BL6	GILEAD SCIENCES INC SENIOR CORP BND		1	1FE	530,613.95	538,252.90	545,000.00	532,749.05	5,503.85		1,961.68		—	—		2.5000	2.5561	Mar-Sep	4,541.67	12,905.91		20160915	20230901
375558AY9	GILEAD SCIENCES INC SENIOR CORP BND			1FE	1,000,246.00	1,005,079.96	1,000,000.00	1,000,577.82	4,502.14		(266.98	)	—	—		2.3500	2.3960	Feb-Aug	9,791.67	23,500.00		20141112	20200201
375558BB8	GILEAD SCIENCES INC SENIOR CORP BND		1	1FE	1,356,510.00	1,361,663.88	1,350,000.00	1,356,801.73	4,862.15		(63.11	)	—	—		2.5500	2.6021	Mar-Sep	11,475.00	11,315.62		20150916	20200901
375558BH5	GILEAD SCIENCES INC SENIOR CORP BND		1	1FE	1,701,061.45	1,664,165.30	1,705,000.00	1,701,946.40	(37,781.10	)	693.93		—	—		1.9500	1.9951	Mar-Sep	11,082.50	31,492.77		20160915	20220301
38137HBY3	GLD11_15-11A ABS_15-11A CR2	D	4	1FE	2,500,000.00	2,500,000.00	2,500,000.00	2,500,000.00	—		—		—	—		3.4434	—	J-A-J-O	—	—		20171208	20310118
38137FAE2	GLD11_2015-11A ABS_15-11A BR 144A	D	4		2,500,000.00	2,490,821.50	2,500,000.00	2,500,000.00	(9,178.50	)	—		—	—		3.2539	3.2670	J-A-J-O	16,947.34	84,568.91		20161107	20270418
BRT5WL6Q3	GLDR_16-UKA SENIOR ABS 16-UKA		4		3,216,902.31	3,301,641.68	2,441,006.06	3,216,089.42	(3,415.66	)	(1,341.92	)	—	88,967.91		0.9675	0.9695	Monthly	1,050.33	12,730.32		20161020	20240920
BRTA1ADZ2	GLOBAL CASH ACCESS SENIOR SECURED TERM L			4FE	2,370,708.51	2,388,578.18	2,382,621.62	2,371,797.52	16,780.66		1,213.32		—	—		—	0.0707	M-J-S-D	—	79,757.25		20170501	20240509
37952UAB9	GLOBAL SC FINANCE SRL SEACO_13 ABS_13-1A	D	4	1FE	253,833.32	263,955.90	266,666.67	256,510.60	7,445.30		4,018.08		—	—		2.9800	4.5270	Monthly	309.04	8,753.75		20160624	20280417
37952UAC7	GLOBAL SC FINANCE SRL SEACO_13 ABS_13-2A	D	4	1FE	287,491.85	291,854.67	291,500.00	287,987.64	3,867.03		1,068.69		—	—		3.6700	4.1295	Monthly	416.04	9,480.05		20170215	20281117
38013MAE6	GMALT 2017-2 ABS		4	1FE	699,711.00	697,210.08	700,000.00	699,767.34	(2,557.26	)	56.34		—	—		2.1800	2.1972	Monthly	466.28	7,884.35		20170607	20210621
36254AAD6	GMCAR_17-1A ABS_17-1A A3 144A		4	1FE	1,019,850.26	1,013,894.68	1,020,000.00	1,019,882.82	(5,988.14	)	32.56		—	—		1.7800	1.7913	Monthly	756.51	12,305.73		20170403	20211018
38378NEK5	GNMA AGENCY CMBS _13-156-AD		4	1	1,380,734.57	1,376,340.77	1,394,678.56	1,382,357.68	(6,016.91	)	2,745.81		—	—		2.7613	3.0267	Monthly	3,209.23	40,469.06		20140930	20520416
38376JDT8	GNMA AGENCY CMO 09-106-ME		4	1	105,857.93	102,146.07	101,625.24	103,415.56	(1,269.49	)	(4,022.90	)	—	—		3.5000	1.4820	Monthly	296.41	5,682.24		20140930	20390120

38377JEA7	GNMA AGENCY CMO 10-109 CH	4	1	13,432.44	13,064.12	13,059.03	13,099.64	(35.52	)	(808.87	)	—	—	3.0000	1.3977	Monthly	32.65	1,841.24	20130926	20371220
38376WSP1	GNMA AGENCY CMO 10-24	4	1	48,570.42	48,457.89	48,253.76	48,431.87	26.02		(158.88	)	—	—	2.0211	1.8044	Monthly	29.80	997.76	20121205	20381220
38376FNL2	GNMA AGENCY CMO__09-66-UG	4	1	131,118.54	126,377.54	124,106.53	127,319.92	(942.38	)	(5,729.38	)	—	—	4.5000	1.8451	Monthly	465.40	8,612.27	20140930	20380720
38378FWR7	GNMA AGENCY CMO__13-28-ME	4	1	1,550,664.46	1,552,491.75	1,609,374.45	1,558,385.42	(5,893.67	)	10,074.12		—	—	1.7500	2.5765	Monthly	2,347.00	32,265.14	20140930	20421120
38374B4M2	GNMA AGENCY CMO_03-77-TK	4	1	674,674.77	653,162.46	612,605.58	667,608.91	(14,446.45	)	(16,395.25	)	—	—	5.0000	3.2033	Monthly	2,552.52	34,829.78	20140930	20330915
38377MSG2	GNMA AGENCY CMO_2010-144 PA	4	1	451,945.62	447,725.46	442,424.64	448,758.74	(1,033.28	)	(4,036.15	)	—	—	3.0000	2.2037	Monthly	1,106.06	16,387.33	20140930	20400916
38375XRK2	GNMA AGENCYCMO _ 08-69-QD	4	1	733,408.31	690,199.71	654,700.23	719,281.53	(29,081.82	)	(32,033.58	)	—	—	5.7500	2.7956	Monthly	3,137.11	44,782.93	20140930	20380720
38373MUZ1	GNMA CMBS_06-32 C	4	1	1,624,879.38	1,573,492.21	1,547,386.26	1,571,207.87	2,284.34		(22,238.98	)	—	—	5.3025	2.6295	Monthly	6,837.47	87,892.28	20140930	20381116
38375PXQ9	GNMA CMO 08-11 FB	4	1	379,853.71	382,360.46	378,474.32	379,699.21	2,661.25		(399.11	)	—	—	2.1011	2.0675	Monthly	242.98	7,114.52	20100308	20380220
38376P6D7	GNMA CMO 09-127 PL	4	1	290,576.06	280,234.01	273,792.57	283,899.83	(3,665.82	)	(10,673.46	)	—	—	4.2500	1.9387	Monthly	969.68	15,918.57	20140930	20381020
38377KKN9	GNMA CMO_10-115 QJ	4	1	556,169.30	535,585.37	531,380.40	544,669.76	(9,084.39	)	(9,720.90	)	—	—	3.5000	1.5376	Monthly	1,549.86	23,101.35	20140930	20381120
38377GYS2	GNMA CMO_10-68 YE	4	1	606,737.48	598,312.13	590,751.75	601,411.83	(3,099.70	)	(8,293.39	)	—	—	3.0000	2.0471	Monthly	1,476.88	22,790.36	20140930	20390520
38375JCJ2	GNMA GNMA_06-68 D	4	1	271,866.39	255,903.48	252,715.60	256,659.15	(755.67	)	(26,909.87	)	—	—	5.3050	2.0639	Monthly	1,117.21	32,286.32	20140930	20371216
36202EVH9	GNMA POOL # 004216	4	1	29,852.15	29,068.98	26,946.00	29,797.76	(728.78	)	(1,323.39	)	—	—	6.0000	1.2808	Monthly	134.73	1,999.54	20140930	20380820
36202E4Z9	GNMA POOL # 004440	4	1	31,243.76	29,854.15	29,129.27	31,180.41	(1,326.26	)	(2,460.82	)	—	—	4.5000	2.3683	Monthly	109.23	2,669.92	20140930	20390520
36202FZV1	GNMA POOL # 005256	4	1	1,514,171.40	1,464,849.40	1,412,226.34	1,485,981.60	(21,132.20	)	(30,013.08	)	—	—	3.5000	1.8172	Monthly	4,119.00	56,680.10	20120118	20261220
36202KME2	GNMA POOL # 008457	4	1	173,020.97	174,952.86	170,621.60	171,921.97	3,030.89		(536.03	)	—	—	2.7500	2.3990	Monthly	391.01	4,266.54	20090318	20240720
36225CD29	GNMA POOL # 080120	4	1	178,989.67	182,008.37	177,162.66	178,415.74	3,592.63		(363.00	)	—	—	2.2500	1.9987	Monthly	332.18	4,341.52	20090318	20271020
36225C6Y7	GNMA POOL # 080886	4	1	4,042,959.35	4,006,815.78	3,944,350.60	4,032,257.12	(25,441.34	)	(18,770.40	)	—	—	2.6250	1.9523	Monthly	8,628.27	101,009.08	20110302	20340420
36225DAS3	GNMA POOL # 080916	4	1	136,823.64	142,656.78	137,489.61	136,881.92	5,774.86		124.85		—	—	2.6250	2.7296	Monthly	300.76	3,572.84	20080417	20340520
36225DJA3	GNMA POOL # 081156	4	1	312,740.78	321,627.61	311,863.73	312,587.86	9,039.75		(179.03	)	—	—	2.2500	2.1650	Monthly	584.74	7,748.15	20090318	20341120
36225DJZ8	GNMA POOL # 081179	4	1	342,920.42	354,381.15	341,958.72	342,760.69	11,620.46		(204.40	)	—	—	2.2500	2.1615	Monthly	641.17	8,503.58	20090318	20341220
36225DLE2	GNMA POOL # 081224	4	1	182,750.92	189,704.85	183,611.63	182,825.23	6,879.62		223.28		—	—	2.3750	2.4704	Monthly	363.40	4,706.23	20090318	20350120
36225EVZ2	GNMA POOL # 082431	4	1	880,366.59	901,304.74	869,497.87	879,548.19	21,756.55		(2,967.15	)	—	—	2.2500	1.9107	Monthly	1,630.31	22,402.99	20091028	20391220
36225EWE8	GNMA POOL # 082444	4	1	130,457.43	134,106.61	127,742.88	130,096.75	4,009.86		(890.62	)	—	—	2.2500	1.9225	Monthly	239.52	3,524.72	20091103	20391220
36204J4C7	GNMA POOL # 371719	4	1	96,602.96	96,756.37	90,920.44	93,631.91	3,124.46		(963.15	)	—	—	6.5000	5.3716	Monthly	492.49	6,430.22	20080911	20240415
36204SV60	GNMA POOL # 378737	4	1	67,499.95	67,712.82	63,529.36	65,401.91	2,310.91		(1,774.12	)	—	—	6.5000	5.3288	Monthly	344.12	5,648.90	20080911	20240115
36205BKY7	GNMA POOL # 385611	4	1	132,713.80	132,924.53	124,907.10	128,638.80	4,285.73		(1,749.59	)	—	—	6.5000	5.3679	Monthly	676.58	9,218.78	20080911	20240415
36210BZH1	GNMA POOL # 487744	4	1	221,299.88	220,743.14	209,328.89	216,185.54	4,557.60		(3,502.31	)	—	—	5.0000	3.5632	Monthly	872.20	11,326.46	20090929	20240315
36210BZJ7	GNMA POOL # 487745	4	1	99,603.40	99,352.83	94,215.46	97,187.87	2,164.96		(2,158.86	)	—	—	5.0000	3.6683	Monthly	392.56	5,699.86	20090929	20240315
36210B4N2	GNMA POOL # 487829	4	1	50,802.04	50,975.51	49,084.09	49,949.98	1,025.53		(1,258.61	)	—	—	4.5000	3.7915	Monthly	184.07	3,746.81	20090326	20240415
36210B4Q5	GNMA POOL # 487831	4	1	40,330.17	40,228.69	38,148.53	39,407.30	821.39		(472.38	)	—	—	5.0000	3.5677	Monthly	158.95	2,047.19	20090929	20240415
36210B4R3	GNMA POOL # 487832	4	1	67,205.29	67,818.04	64,311.28	65,865.93	1,952.11		(1,572.44	)	—	—	5.0000	3.9860	Monthly	267.96	4,788.07	20090326	20240415
36211V6Q8	GNMA POOL # 524779	4	1	94,022.00	94,950.23	90,040.52	92,165.94	2,784.29		(990.63	)	—	—	5.0000	3.9573	Monthly	375.17	4,978.23	20090326	20240115

36201YER3	GNMA POOL # 606844	4	1	319,531.41	329,816.23	304,939.57	316,704.02	13,112.21		(5,168.59	)	—	—	5.0000	4.2205	Monthly	1,270.58	17,979.33	20100423	20330915
36290SJB8	GNMA POOL # 615958	4	1	397,278.35	410,065.64	379,136.10	393,573.33	16,492.31		(4,357.44	)	—	—	5.0000	4.2629	Monthly	1,579.73	20,839.45	20100423	20330915
36291FS41	GNMA POOL # 627039	4	1	945,672.10	922,850.82	914,797.69	944,716.34	(21,865.52	)	(1,190.35	)	—	—	3.0000	2.5430	Monthly	2,286.99	27,762.36	20160203	20460115
36292DWW8	GNMA POOL # 646061	4	1	46,736.33	49,377.43	44,817.57	46,465.55	2,911.88		(348.20	)	—	—	6.5000	5.7749	Monthly	242.76	3,026.57	20080131	20371115
36295KAT0	GNMA POOL # 672418	4	1	29,225.76	30,877.33	28,025.90	29,081.47	1,795.86		(423.98	)	—	—	6.5000	5.6520	Monthly	151.81	2,247.06	20080131	20371215
36295PZJ4	GNMA POOL # 676745	4	1	26,148.27	26,235.41	25,040.98	25,573.25	662.16		(737.89	)	—	—	5.0000	3.9471	Monthly	104.34	2,182.85	20090326	20230315
36295P4L3	GNMA POOL # 676827	4	1	112,233.40	112,540.08	107,416.44	109,853.74	2,686.34		(1,144.95	)	—	—	5.0000	3.8793	Monthly	447.57	5,842.48	20090326	20230515
36295QJE1	GNMA POOL # 677161	4	1	109,062.27	108,879.96	103,922.95	106,421.84	2,458.12		(1,571.34	)	—	—	5.0000	3.9338	Monthly	433.01	6,061.88	20090427	20230815
36295TVQ4	GNMA POOL # 680223	4	1	15,675.72	16,561.59	15,032.18	15,586.66	974.93		(86.72	)	—	—	6.5000	5.7714	Monthly	81.42	1,016.52	20080131	20380115
36296DR67	GNMA POOL # 688209	4	1	9,471.08	9,453.14	9,022.76	9,232.67	220.47		(156.54	)	—	—	5.0000	3.9874	Monthly	37.59	563.47	20090729	20230715
36296E5H5	GNMA POOL # 689448	4	1	83,734.30	84,013.37	80,188.47	82,003.95	2,009.42		(941.64	)	—	—	5.0000	3.9153	Monthly	334.12	4,424.72	20090326	20230715
36296TPY3	GNMA POOL # 700739	4	1	94,049.78	93,467.41	89,074.15	91,716.92	1,750.49		(2,358.29	)	—	—	5.5000	4.1342	Monthly	408.26	6,491.31	20090603	20231015
36296UC73	GNMA POOL # 701294	4	1	111,382.13	112,364.06	106,553.91	109,192.92	3,171.14		(1,064.50	)	—	—	5.0000	3.8826	Monthly	443.97	5,766.89	20090327	20240115
36296URS1	GNMA POOL # 701697	4	1	142,105.57	141,748.03	134,418.48	138,556.90	3,191.13		(2,400.09	)	—	—	5.0000	3.7071	Monthly	560.08	7,587.17	20090929	20240215
36296UUL2	GNMA POOL # 701787	4	1	151,296.05	153,941.47	145,981.42	148,791.34	5,150.13		(1,150.95	)	—	—	5.0000	4.1828	Monthly	608.26	7,905.26	20090611	20240315
36296XHH0	GNMA POOL # 704132	4	1	15,344.21	15,206.49	14,514.18	14,962.99	243.50		(1,538.74	)	—	—	5.0000	3.6455	Monthly	60.48	1,539.64	20090929	20231215
36296XLY8	GNMA POOL # 704243	4	1	219,084.83	222,915.53	211,388.95	215,495.98	7,419.55		(1,611.80	)	—	—	5.0000	4.1350	Monthly	880.79	11,378.22	20090611	20240115
36296XWP5	GNMA POOL # 704554	4	1	634,728.00	646,215.92	612,801.20	625,303.96	20,911.96		(5,491.80	)	—	—	5.0000	4.1141	Monthly	2,553.34	34,097.71	20090611	20240615
36297AKF9	GNMA POOL # 705994	4	1	140,850.75	140,496.39	133,231.56	137,594.51	2,901.88		(2,166.30	)	—	—	5.0000	3.5098	Monthly	555.13	7,472.51	20090929	20240115
36297A3K7	GNMA POOL # 706502	4	1	90,104.21	90,993.75	86,288.62	88,447.73	2,546.02		(917.09	)	—	—	5.0000	3.8287	Monthly	359.54	4,632.09	20090326	20240115
36297DFF9	GNMA POOL # 708566	4	1	339,186.71	338,333.40	320,838.76	331,056.70	7,276.70		(6,469.59	)	—	—	5.0000	3.6677	Monthly	1,336.83	18,879.11	20090929	20240415
36297DTR8	GNMA POOL # 708960	4	1	62,642.00	63,260.47	59,989.38	61,338.51	1,921.96		(494.38	)	—	—	5.0000	4.0856	Monthly	249.95	3,226.18	20090326	20240315
36297G2R0	GNMA POOL # 711884	4	1	407,465.30	406,440.20	385,423.87	397,677.30	8,762.90		(8,872.46	)	—	—	5.0000	3.6724	Monthly	1,605.93	23,947.43	20090929	20240415
36297JJ54	GNMA POOL # 713184	4	1	226,692.15	226,121.83	214,429.46	221,118.80	5,003.03		(8,197.53	)	—	—	5.0000	3.7217	Monthly	893.46	15,931.14	20090929	20240415
36297KZF1	GNMA POOL # 714542	4	1	192,746.20	196,057.26	185,919.47	189,696.00	6,361.26		(1,394.23	)	—	—	5.0000	4.1477	Monthly	774.66	9,959.48	20090611	20240615
3620A2KC9	GNMA POOL # 716791	4	1	186,930.63	186,460.35	176,818.80	182,494.68	3,965.67		(5,273.02	)	—	—	5.0000	3.6463	Monthly	736.75	11,132.05	20090929	20240415
3620A5FJ3	GNMA POOL # 719369	4	1	336,642.93	327,479.69	315,402.52	328,798.31	(1,318.62	)	(4,286.90	)	—	—	4.5000	2.9055	Monthly	1,182.76	15,166.44	20100831	20250415
3620A6AC1	GNMA POOL # 720103	4	1	253,142.88	268,069.60	248,789.10	252,427.62	15,641.98		(1,419.56	)	—	—	4.5000	4.2418	Monthly	932.96	13,025.41	20090618	20390615
3620A6DZ7	GNMA POOL # 720220	4	1	412,998.39	414,655.90	393,214.75	403,986.21	10,669.69		(4,003.15	)	—	—	5.0000	3.9244	Monthly	1,638.39	21,162.67	20090729	20240715
3620ADCM2	GNMA POOL # 726476	4	1	2,406,822.55	2,372,772.65	2,284,732.17	2,356,309.50	16,463.15		(28,946.15	)	—	—	4.5000	3.2768	Monthly	8,567.75	113,325.17	20091208	20241115
3620ASPY9	GNMA POOL # 738539	4	1	1,464,625.12	1,429,912.76	1,363,432.83	1,454,969.00	(25,056.24	)	(29,598.49	)	—	—	4.0000	2.8958	Monthly	4,544.77	60,951.35	20111003	20410715
36225BPY8	GNMA POOL # 781339	4	1	123,151.48	128,494.79	111,575.50	120,338.07	8,156.72		(1,965.80	)	—	—	8.0000	6.2500	Monthly	743.84	9,707.87	20080307	20310915
36241KBP2	GNMA POOL # 781846	4	1	426,769.04	459,963.13	413,335.62	424,099.40	35,863.73		(4,102.83	)	—	—	6.5000	6.0064	Monthly	2,238.90	29,756.33	20080815	20340915
36241KEC8	GNMA POOL # 781931	4	1	1,017,476.36	1,098,431.65	985,449.23	1,011,439.30	86,992.35		(10,482.05	)	—	—	6.5000	6.0121	Monthly	5,337.85	72,218.07	20080815	20350515

36241KEH7	GNMA POOL # 781936		4	1	531,712.07	545,298.88	514,274.98	528,567.15	16,731.73		(2,385.85	)	—	—	4.5000	3.9939	Monthly	1,928.53	24,332.36		20100603	20350615
36241KGU6	GNMA POOL # 782011		4	1	51,466.60	54,645.30	50,364.87	51,269.93	3,375.37		(244.81	)	—	—	5.0000	4.6677	Monthly	209.85	2,759.39		20090714	20351215
36241KKB3	GNMA POOL # 782090		4	1	1,152,812.59	1,236,732.97	1,109,140.19	1,144,697.61	92,035.36		(10,388.70	)	—	—	6.5000	5.9231	Monthly	6,007.85	81,440.01		20071130	20360515
36241LHQ2	GNMA POOL # 782939		4	1	381,434.29	394,959.79	364,015.55	378,699.59	16,260.20		(4,611.16	)	—	—	5.0000	4.2776	Monthly	1,516.73	20,764.64		20100423	20360915
36241LN36	GNMA POOL # 783110		4	1	369,080.59	378,465.79	340,853.64	364,745.67	13,720.12		(7,644.09	)	—	—	5.5000	4.2245	Monthly	1,562.25	20,986.32		20100923	20360415
36179MEL0	GNMA POOL # MA0139		4	1	1,743,238.62	1,681,734.59	1,645,292.30	1,718,726.45	(36,991.86	)	(29,381.49	)	—	—	3.0000	1.6067	Monthly	4,113.23	56,833.19		20120619	20270620
36179MK82	GNMA POOL # MA0319		4	1	78,383.86	75,291.71	71,349.26	77,735.99	(2,444.28	)	(1,992.89	)	—	—	4.0000	2.7238	Monthly	237.83	3,238.86		20121004	20420820
36179MNJ5	GNMA POOL # MA0393		4	1	1,002,930.46	965,185.05	914,645.70	996,063.72	(30,878.67	)	(22,757.66	)	—	—	4.0000	2.5748	Monthly	3,048.82	40,989.79		20121018	20420920
36179MQN3	GNMA POOL # MA0461		4	1	1,041,866.00	993,244.79	978,852.36	1,035,809.22	(42,564.43	)	(13,894.27	)	—	—	3.0000	2.2037	Monthly	2,447.13	32,469.24		20121031	20421020
36179Q3H2	GNMA POOL # MA2600		4	1	1,750,744.00	1,720,969.41	1,703,886.73	1,748,802.41	(27,833.00	)	(10,554.10	)	—	—	3.0000	2.5868	Monthly	4,259.72	56,689.22		20150326	20450220
36179Q6P1	GNMA POOL # MA2678		4	1	1,235,565.84	1,216,068.73	1,174,806.55	1,233,166.93	(17,098.20	)	(17,930.77	)	—	—	3.5000	2.7206	Monthly	3,426.51	47,330.39		20150323	20450320
36179RD63	GNMA POOL # MA2825		4	1	1,389,132.43	1,387,129.20	1,373,360.29	1,388,410.88	(1,281.68	)	(3,418.66	)	—	—	3.0000	2.8371	Monthly	3,433.40	45,754.22		20150616	20450520
36179RJD2	GNMA POOL # MA2960		4	1	469,848.01	456,786.66	452,252.50	469,363.43	(12,576.77	)	(3,146.56	)	—	—	3.0000	2.4534	Monthly	1,130.64	14,808.64		20160509	20450720
36179RJE0	GNMA POOL # MA2961		4	1	264,811.67	258,940.34	250,154.28	264,447.67	(5,507.33	)	(3,642.72	)	—	—	3.5000	2.6109	Monthly	729.62	9,891.83		20160509	20450720
36179RNY1	GNMA POOL # MA3107		4	1	1,488,076.83	1,456,214.71	1,382,047.85	1,485,623.45	(29,408.74	)	(40,027.93	)	—	—	4.5000	2.9023	Monthly	5,182.68	73,597.51		20151110	20450920
36179RQ36	GNMA POOL # MA3174		4	1	254,274.65	249,962.74	237,952.61	253,947.88	(3,985.14	)	(5,630.97	)	—	—	4.0000	2.7509	Monthly	793.18	11,127.16		20160509	20451020
36179SB97	GNMA POOL # MA3664		4	1	4,860,462.59	4,737,285.23	4,527,282.87	4,854,032.72	(116,747.49	)	(129,537.68	)	—	—	4.0000	2.6633	Monthly	15,090.94	212,357.49		20160608	20460520
36179SEG8	GNMA POOL # MA3735		4	1	2,014,979.97	1,959,407.62	1,939,958.16	2,013,257.05	(53,849.43	)	(10,424.27	)	—	—	3.0000	2.4546	Monthly	4,849.90	62,317.54		20160623	20460620
36179SEH6	GNMA POOL # MA3736		4	1	11,103,863.18	10,903,290.61	10,535,467.93	11,093,292.00	(190,001.39	)	(90,260.25	)	—	—	3.5000	2.5451	Monthly	27,903.91	304,754.66		20160608	20460620
36179SJS7	GNMA POOL # MA3873		4	1	1,512,532.06	1,510,102.64	1,495,878.72	1,512,463.59	(2,360.95	)	(68.47	)	—	—	3.0000	2.8331	Monthly	3,739.70	(2,368.47	)	20171213	20460820
36179S5L7	GNMA POOL # MA4451		4	1	987,667.05	984,878.04	951,538.33	987,251.87	(2,373.83	)	(2,255.21	)	—	—	3.5000	2.7000	Monthly	2,775.32	18,510.66		20170509	20470520
36179S2R7	GNMA POOL#MA4384		4		995,670.56	988,281.52	942,925.66	995,176.26	(6,894.74	)	(6,760.01	)	—	—	4.5000	2.7113	Monthly	3,535.97	1,450.54		20171108	20470420
38378XF63	GNMA SENIOR CMBS 14-168		4		2,316,021.81	2,264,072.43	2,216,289.02	2,308,305.79	(44,233.36	)	(9,834.70	)	—	—	3.3791	1.6225	Monthly	6,240.92	37,698.19		20170530	20370116
38172XAL3	GOCAP_13-16A MEZZANIN ABS 13-16A 144A	D	4		250,000.00	249,271.93	250,000.00	250,000.00	(728.07	)	—		—	—	3.6174	3.6336	J-A-J-O	1,657.98	4,809.78		20170623	20290725
380956AD4	GOLDCORP INC SENIOR CORP BND	A	1	2FE	1,976,820.00	2,050,339.96	2,000,000.00	1,988,003.80	62,336.16		3,347.16		—	—	3.7000	4.1700	Mar-Sep	21,788.88	60,433.33		20150706	20230315
BRTCNB3M2	GOLDEN NUGGET INC SENIOR SECURED TERM LO			4FE	1,100,596.32	1,110,918.44	1,103,626.78	1,100,729.72	10,188.72		146.51		—	—	—	0.0711	M-J-S-D	—	9,300.77		20170913	20231004
38148BAD0	GOLDMAN SACHS GROUP INC/THE CAPSECCORPBN		2	3FE	12,965,000.00	12,802,937.50	12,965,000.00	12,965,000.00	(162,062.50	)	—		—	—	5.0000	4.9996	May-Nov	108,041.67	—		20171018	20491231
38141GES9	GOLDMAN SACHS GROUP INC/THE CORP BND		1	2FE	3,220,582.30	3,248,263.26	2,782,000.00	3,123,654.54	124,608.72		(41,966.03	)	—	—	5.9500	4.2960	Jan-Jul	76,327.26	297,282.49		20140819	20270115
38148FAB5	GOLDMAN SACHS GROUP INC/THE SENIOR CORP			1FE	2,183,602.50	2,155,289.04	2,150,000.00	2,169,013.73	(13,724.69	)	(10,225.42	)	—	—	2.5500	1.9691	Apr-Oct	10,355.84	54,825.00		20160616	20191023
38145XAA1	GOLDMAN SACHS GROUP INC/THE SENIOR CORP			1FE	6,302,490.00	6,276,688.13	6,250,000.00	6,263,313.95	13,374.18		(13,234.11	)	—	—	2.6250	2.3570	Jan-Jul	68,815.11	182,036.46		20140128	20190131
38141GWN0	GOLDMAN SACHS GROUP INC/THE SENIOR CORP		2		3,500,000.00	3,524,569.86	3,500,000.00	3,500,000.00	24,569.86		—		—	—	2.3648	2.3648	J-A-J-O	15,863.60	20,684.02		20170719	20230724
38141GWJ9	GOLDMAN SACHS GROUP INC/THE SENIOR CORP		1	1FE	5,880,000.00	5,836,546.92	5,880,000.00	5,880,000.00	(43,453.08	)	—		—	—	2.9080	2.9080	Jun-Dec	12,349.32	85,495.20		20170531	20230605
38141GWM2	GOLDMAN SACHS GROUP INC/THE SENIOR CORP		1	1FE	175,000.00	173,545.75	175,000.00	175,000.00	(1,454.25	)	—		—	—	2.9050	2.9050	Jan-Jul	2,217.09	—		20170719	20230724
38143U8F1	GOLDMAN SACHS GROUP INC/THE SENIOR CORP		2	1FE	1,092,440.60	1,097,760.78	1,090,000.00	1,091,590.80	6,169.98		(488.83	)	—	—	2.8750	2.9109	Feb-Aug	10,968.13	31,337.50		20160222	20210225

38148YAC2	GOLDMAN SACHS GROUP INC/THE SENIOR CORP		1	1FE	2,995,320.00	2,989,440.09	3,000,000.00	2,995,346.41	(5,906.32	)	26.41		—	—	2.8760	2.8760	Apr-Oct	14,619.67	(4,154.23	)	20171024	20221031
38141GWG5	GOLDMAN SACHS GROUP INC/THE SENIOR CORP		1	1FE	1,002,680.00	1,001,220.02	1,000,000.00	1,002,614.85	(1,394.83	)	(65.15	)	—	—	2.6000	2.4643	Jun-Dec	288.88	1,083.33		20171208	20201227
38148LAA4	GOLDMAN SACHS GROUP INC/THE SENIOR CORP		2	1FE	2,538,225.00	2,504,599.95	2,500,000.00	2,522,911.08	(18,311.13	)	(10,572.76	)	—	—	2.6000	2.1760	Apr-Oct	12,277.78	78,227.50		20160608	20200423
38141GVP6	GOLDMAN SACHS GROUP INC/THE SENIOR CORP		2	1FE	798,368.00	803,464.05	800,000.00	799,090.40	4,373.65		234.78		—	—	2.7500	2.7940	Mar-Sep	6,477.78	202,583.34		20150908	20200915
38148LAE6	GOLDMAN SACHS GROUP INC/THE SENIOR CORP		2	1FE	4,705,071.50	4,815,250.00	4,675,000.00	4,697,933.84	117,316.16		(2,859.61	)	—	—	3.7500	3.6591	May-Nov	18,992.19	175,312.50		20150519	20250522
38141GRD8	GOLDMAN SACHS GROUP INC/THE SENIOR CORP			1FE	2,068,860.00	2,060,080.10	2,000,000.00	2,062,702.17	(2,622.07	)	(6,157.83	)	—	—	3.6250	2.9530	Jan-Jul	32,020.83	7,250.00		20170613	20230122
386442WH6	GRAND RIVER DAM AUTH OKLA MUNI BND REV			1FE	60,557.00	58,017.50	50,000.00	58,811.27	(793.77	)	(1,546.28	)	—	—	5.0000	1.5903	Jun-Dec	208.34	2,500.00		20161026	20230601
BRT8C2871	GRAY TELEVISION INC. SECURED TERM LOAN			3FE	1,368,004.76	1,378,780.11	1,371,433.34	1,368,418.34	10,361.77		448.22		—	—	—	0.0356	M-J-S-D	—	37,870.19		20170203	20240207
BRT83PRJ3	GRIFOLS WORLDWIDE OPERATIONS U SECURED T			3FE	1,533,343.53	1,535,155.42	1,532,761.25	1,533,365.54	1,789.88		66.34		—	—	—	0.0312	M-J-S-D	—	28,463.55		20170124	20250131
39055TAC2	GRTLK_15-1A ABS 15-1A 144A	D	4	1FE	450,000.00	450,458.06	450,000.00	450,000.00	458.06		—		—	—	4.0592	4.0791	J-A-J-O	3,906.95	17,248.66		20150720	20260715
40053RAA0	GRX_15-1A ABS 15-1A		4		1,236,780.45	1,204,390.78	1,236,780.45	1,236,780.45	(32,389.67	)	—		—	—	3.7500	3.7633	J-A-J-O	9,791.18	61,931.52		20150225	20230715
36252AAH9	GS MORTGAGE SECURITIES TRUST G CMBS_15-G		4	1FM	996,089.84	980,633.51	950,000.00	994,699.04	(14,065.53	)	(1,390.80	)	—	—	4.2380	3.5422	Monthly	3,355.08	7,381.17		20170921	20481110
36248GAB6	GS MORTGAGE SECURITIES TRUST G SENIOR CM		4	1FM	957,486.45	917,048.43	911,959.70	936,947.35	(19,898.92	)	45,658.91		—	—	3.0330	2.0152	Monthly	2,304.98	94,403.67		20150406	20461110
36251FAT3	GS MORTGAGE SECURITIES TRUST G SUPSEN SE		4	1FM	1,735,260.15	1,708,179.33	1,690,000.00	1,711,214.05	(3,034.72	)	(10,495.16	)	—	—	2.8980	2.2975	Monthly	4,081.35	48,976.20		20150710	20480210
36191YBB3	GSMS_11-GC5 CMBS_11-GC5 A4		4	1FM	4,733,705.48	4,498,900.37	4,350,000.00	4,616,354.33	(117,453.96	)	(90,300.03	)	—	—	3.7070	1.8066	Monthly	13,437.89	161,254.44		20160908	20440810
36192CAF2	GSMS_13-GC10 PAC SENIOR CMBS_13-GC10 AAB		4		256,488.28	250,035.00	250,000.00	254,163.95	(4,128.95	)	(1,672.75	)	—	—	2.5640	1.9880	Monthly	534.17	6,410.04		20160622	20460210
36250GAP0	GSMS_15-GC30 LCF SENIOR CMBS_15-GC30 A4		4	1FM	1,238,038.00	1,231,833.66	1,202,000.00	1,229,266.78	2,566.88		(5,682.16	)	—	—	3.3820	3.0365	Monthly	3,387.64	81,235.68		20150515	20500510
39808FAN8	GWOLF_14-1A ABS_14-1A-BR 144A	D	4	1FE	2,000,000.00	1,993,110.00	2,000,000.00	2,000,000.00	(6,890.00	)	—		—	—	3.4125	3.4247	J-A-J-O	13,457.64	33,811.80		20170619	20260422
406216BG5	HALLIBURTON COMPANY SENIOR CORP BND		1	2FE	1,336,234.60	1,389,727.39	1,340,000.00	1,336,925.20	52,802.19		328.98		—	—	3.8000	3.8341	May-Nov	6,506.44	50,920.00		20151105	20251115
BRTDFJCP5	HARLAND CLARKE HOLDINGS CORP SECUREDTERM		2	4FE	2,406,513.13	2,426,832.01	2,418,196.63	2,406,762.80	20,069.21		355.86		—	—	—	0.0828	M-J-S-D	—	18,160.13		20170912	20231103
BRSYDKXU5	HARLEY-DAVIDSON FINANCIAL SENIOR CORP BN		1	1FE	1,999,760.00	1,999,880.00	2,000,000.00	1,999,917.44	(37.44	)	77.75		—	—	2.2500	2.2540	Jan-Jul	20,750.00	45,000.00		20160105	20190115
41283LAD7	HARLEY-DAVIDSON FINANCIAL SENIOR CORP BN		1		862,358.69	857,685.73	859,000.00	862,056.48	(4,370.75	)	(302.21	)	—	—	2.4000	2.1854	Mar-Sep	6,070.27	(2,577.00	)	20171026	20190915
41283LAG0	HARLEY-DAVIDSON FINANCIAL SENIOR CORP BN			1FE	1,324,841.00	1,322,853.46	1,325,000.00	1,324,945.31	(2,091.85	)	123.24		—	—	2.2500	2.2540	Jan-Jul	13,746.88	95,268.75		20160105	20190115
43814QAD0	HAROT_16-2 SENIOR ABS_16-2 A4		4	1FE	785,988.13	778,405.89	786,000.00	785,993.73	(7,587.84	)	5.97		—	—	1.6200	1.6259	Monthly	565.92	12,733.20		20160524	20220815
438124AC3	HAROT_16-3 SENIOR ABS 2016-3 A3		4	1FE	3,129,564.61	3,111,065.63	3,130,000.00	3,129,800.70	(18,735.07	)	175.01		—	—	1.1600	1.1685	Monthly	1,311.12	36,308.04		20160815	20200518
43814RAD8	HAROT_16-4 SENIOR ABS_16-4 A4		4	1FE	409,897.87	402,949.94	410,000.00	409,932.84	(6,982.90	)	29.62		—	—	1.3600	1.3714	Monthly	201.36	5,576.04		20161018	20230118
415690MD5	HARRISONBURG VA REDEV & HSG AU MUNI BND		2	4FE	591,734.60	590,194.70	590,000.00	590,000.00	194.70		—		—	—	7.0000	7.0000	Feb-Aug	17,208.33	54,600.00		20140930	20200801
44890UAD6	HART_14-B ABS _14-B-A4		4	1FE	1,204,782.48	1,199,445.24	1,200,141.31	1,200,425.53	(980.29	)	(2,423.25	)	—	—	1.4600	1.3409	Monthly	778.76	43,895.39		20141017	20191115
44930UAD8	HART_16-A SENIOR ABS_16-A A3		4	1FE	469,908.82	468,632.30	470,000.00	469,961.49	(1,329.19	)	30.74		—	—	1.5600	1.5717	Monthly	325.87	8,396.70		20160322	20200915
BRTBLG7X7	HAYWARD INDUSTRIES INC SECURED TERM LOAN		2	4FE	238,665.10	239,711.89	239,263.27	238,698.81	1,013.08		35.20		—	—	—	0.0353	M-J-S-D	—	4,476.64		20170718	20240805
BRTD36NY5	HB FULLER CO SENIOR SECURED TERM NOTES		2	3FE	1,223,368.34	1,230,182.42	1,226,434.43	1,223,448.74	6,733.68		88.08		—	—	—	0.0353	M-J-S-D	—	6,598.44		20171012	20241020
429827AN8	HEF_04-1 ABS 04-1 A13 144A		4	1FE	164,000.00	182,066.26	200,000.00	176,209.48	5,856.78		(483.28	)	—	—	2.7270	4.1141	Monthly	74.71	4,100.80		20090910	20440101
429827AQ1	HEF_04-1 ABS 04-1 A15 144A			1FE	246,000.00	271,687.56	300,000.00	253,554.79	18,132.77		(660.31	)	—	—	1.5240	3.7727	Monthly	647.38	6,026.83		20090910	20440101
429827AB4	HEF_04-1 ABS 04-1 A2 144A		4	1FE	164,000.00	188,479.48	200,000.00	180,790.08	7,689.40		1,896.71		—	—	2.8130	4.4899	Monthly	215.79	4,122.99		20090910	20440101

429827AF5	HEF_04-1 ABS 04-1 A6 144A		4	1FE	164,000.00	184,840.70	200,000.00	177,915.56	6,925.14		1,360.96		—	—		2.7940	4.2945	Monthly	275.57	4,122.00		20090910	20440101
427866AV0	HERSHEY COMPANY THE SENIOR CORP BND		1	1FE	999,740.00	997,470.00	1,000,000.00	999,943.64	(2,473.64	)	87.16		—	—		1.6000	1.6089	Feb-Aug	5,777.78	16,000.00		20150818	20180821
42806DBG3	HERTZ VEHICLE FINANCING LLC ABS 17-2A 14		4	1FE	1,999,132.60	2,003,566.20	2,000,000.00	1,999,177.39	4,388.81		44.79		—	—		3.2900	3.3218	Monthly	1,096.67	17,363.88		20170914	20231025
42806DAJ8	HERTZ_15-3A ABS_15-3A B 144A		4		2,499,756.75	2,496,512.25	2,500,000.00	2,499,857.92	(3,345.67	)	48.97		—	—		3.7100	3.7408	Monthly	1,545.83	92,750.04		20150930	20210925
42824CAU3	HEWLETT PACKARD ENTERPRISE CO SENIOR COR		1	2FE	3,521,569.48	3,522,454.55	3,505,000.00	3,512,218.76	10,235.79		(9,301.21	)	—	—		2.8500	2.8919	Apr-Oct	23,863.21	101,888.38		20161230	20181005
BRTEB3YC7	HEXAGON REINSURANCE DAC	B			293,237.50	300,626.28	250,000.00	293,237.50	426.28		—		—	6,962.50		8.0000	—	J-A-J-O	—	—		20171212	20220119
BRTEB3V06	HEXAGON REINSURANCE DAC	B			293,237.50	300,662.31	250,000.00	293,237.50	462.31		—		—	6,962.50		6.1710	6.2144	J-A-J-O	—	—		20171212	20220119
429827AJ7	HIGHER EDUCATION FUNDING HEF_0 ABS 04-1		4	1FE	164,224.00	183,944.54	200,000.00	177,647.97	6,296.57		1,283.70		—	—		2.8500	4.2013	Monthly	465.93	3,720.41		20090910	20440101
429827AE8	HIGHER EDUCATION FUNDING HEF_0 ABS 04-1		4	1FE	164,000.00	185,891.06	200,000.00	178,645.99	7,245.07		1,474.24		—	—		2.8920	4.4562	Monthly	396.16	4,682.06		20090910	20440101
429827AK4	HIGHER EDUCATION FUNDING HEF_0 ABS_04-1		4	1FE	164,196.00	183,944.54	200,000.00	177,203.79	6,740.75		1,142.44		—	—		2.8720	4.3292	Monthly	361.95	4,152.77		20090910	20440101
BRT3X6466	HILTON WORLDWIDE FINANCE LLC TERM NOTES			3FE	1,220,320.97	1,229,328.70	1,223,488.99	1,220,702.43	8,626.27		582.65		—	—		—	0.0387	M-J-S-D	—	43,544.81		20170316	20231025
40390AAA9	HMH_17-NSS CMBS_17-NSS-A 144A		4		858,496.94	845,828.97	850,000.00	857,662.94	(11,833.97	)	(834.00	)	—	—		3.0622	2.8587	Monthly	2,169.06	11,062.20		20170609	20310707
BRT1TVGS9	HMI_16-1X SENIOR ABS_16-1X_A2	B	4	1FE	2,885,728.55	2,876,113.96	2,100,000.00	2,881,541.61	(6,493.12	)	(4,186.94	)	—	1,065.47		1.1288	0.5920	J-A-J-O	6,764.45	2,030.81		20170919	20210715
BRSCVJ6H5	HOLMES MASTER ISSUER PLC SECUREDWHOLECMO	D	4		813,200.00	811,450.96	800,000.00	812,358.99	(908.03	)	(841.01	)	—	—		3.1092	1.9958	J-A-J-O	5,320.14	(2,901.89	)	20171122	20541015
437076BQ4	HOME DEPOT INC SENIOR CORP BND		1	1FE	4,654,433.20	4,622,114.02	4,660,000.00	4,655,014.20	(32,900.18	)	581.00		—	—		1.8000	1.8200	Jun-Dec	6,058.00	35,460.00		20170524	20200605
437076BL5	HOME DEPOT INC SENIOR CORP BND		1	1FE	398,576.00	396,332.00	400,000.00	399,086.97	(2,754.97	)	269.14		—	—		2.0000	2.0731	Apr-Oct	2,000.00	8,000.00		20160203	20210401
437076BG6	HOME DEPOT INC SENIOR CORP BND		1	1FE	1,494,480.00	1,508,040.04	1,500,000.00	1,496,398.31	11,641.73		758.70		—	—		2.6250	2.6830	Jun-Dec	3,281.26	39,375.00		20150528	20220601
BRSY03M62	HOME FRANCHISE CONCEPTS LLC Term Loan				4,105,887.75	4,095,623.03	4,105,887.75	4,105,887.75	(10,264.72	)	—		—	—		—	—	M-J-S-D	—	292,287.65		20151130	20211130
34528QFP4	HOME TICKET NETWORK CORP SENIOR ABS 2017		4	1FE	5,849,134.79	5,823,737.24	5,850,000.00	5,849,200.71	(25,463.47	)	65.92		—	—		2.1600	2.1752	Monthly	5,616.00	22,464.00		20171003	20220915
43814QAC2	HONDA AUTO RECEIVABLES OWNER T ABS_16-2		4		1,364,584.04	1,359,845.29	1,364,610.51	1,364,584.31	(4,739.02	)	0.79		—	—		1.3900	1.3941	Monthly	843.03	20,695.60		20160524	20200415
43814MAD9	HONDA AUTO RECEIVABLES OWNER T SENIOR AB		4	1FE	3,000,703.13	2,989,652.40	3,000,000.00	3,000,377.71	(10,725.31	)	(325.42	)	—	—		1.5600	1.5453	Monthly	1,690.00	24,570.00		20170606	20211018
43814NAD7	HONDA AUTO RECEIVABLES OWNER T SENIORABS		4		3,965,664.07	3,965,126.36	4,000,000.00	3,965,664.07	(537.71	)	—		—	—		1.3800	2.8044	Monthly	2,146.67	(2,146.67	)	20171228	20220418
43814PAC4	HONDA AUTO RECIEVABLES OWNER T SENIOR AB		4	1FE	2,105,259.37	2,104,864.07	2,120,000.00	2,105,461.46	(597.39	)	202.09		—	—		1.7900	2.1270	Monthly	1,370.35	(210.83	)	20171218	20210920
43813FAD5	HONDAAUTORECIEVABLESOWNERT SENIORABS17-4		4		3,590,813.96	3,574,653.22	3,591,000.00	3,590,804.16	(16,150.94	)	(9.80	)	—	—		2.2100	2.2210	Monthly	2,204.47	9,237.80		20171122	20240321
438516BA3	HONEYWELL INTERNATIONAL INC CORP BND			1FE	1,126,518.60	1,079,088.60	1,020,000.00	1,080,812.44	(1,723.84	)	(18,338.38	)	—	—		4.2500	2.2850	Mar-Sep	14,450.00	43,350.00		20150616	20210301
438516BQ8	HONEYWELL INTERNATIONAL INC SENIOR CORP		1		269,789.40	268,544.70	270,000.00	269,805.44	(1,260.74	)	16.04		—	—		1.8000	1.8357	Apr-Oct	823.50	—		20171023	20191030
438516BJ4	HONEYWELL INTERNATIONAL INC SENIOR CORP		1	1FE	2,747,827.50	2,717,907.50	2,750,000.00	2,748,665.43	(30,757.93	)	732.89		—	—		1.4000	1.4270	Apr-Oct	6,523.61	42,388.89		20161024	20191030
BRSPKZWC4	HOPLON II INSURANCE LTD CORP BND	B			11,608,077.94	10,810,442.16	9,000,000.00	11,595,519.51	3,088.48		(7,277.95	)	—	(788,165.83	)	7.3902	7.3902	J-A-J-O	186,341.60	645,582.78		20140808	20180108
BRTEPML34	HOPLON II INSURANCE LTD CORP BND	D			5,500,000.00	5,505,500.00	5,500,000.00	5,500,000.00	5,500.00		—		—	—		7.3902	7.3902	J-A-J-O	94,832.96	—		20171201	20210108
BRST7Y914	HOUGHTON MIFFLIN HARCOURT PUBL SENIOR SE		4	5FE	1,132,441.60	1,053,483.69	1,138,132.28	1,134,869.11	(81,385.42	)	999.71		—	—		—	0.0832	M-J-S-D	—	47,833.06		20150511	20210528
4424356Y4	HOUSTON TEX MUNI BND REV			1FE	147,289.97	135,396.90	135,000.00	135,000.00	396.90		(4,875.06	)	—	—		5.0000	5.0000	May-Nov	862.50	6,750.00		20150831	20211115
44266RAC1	HOWARD HUGHES MEDICAL IN MUNITAX BND REV		1	1FE	1,011,949.50	993,633.52	950,000.00	997,404.81	(3,771.29	)	(7,688.48	)	—	—		3.5000	2.5480	Mar-Sep	11,083.33	33,250.00		20160129	20230901
40427HSQ7	HSBC BANK CANADA SENIOR CORP BND				478,450.10	485,387.29	600,000.00	477,967.87	(1,945.78	)	(482.23	)	—	9,365.19		2.9380	2.0468	Jan-Jul	6,537.59	(4,763.43	)	20171115	20200114
404280BC2	HSBC HOLDINGS PLC CAPSEC CORP BND	D	2	2FE	210,000.00	226,275.00	210,000.00	210,000.00	16,275.00		—		—	—		6.8750	6.8745	Jun-Dec	1,203.13	14,437.50		20160524	20491231

404280AR0	HSBC HOLDINGS PLC CAPSEC CORP BND	D	2	2FE	5,585,000.00	5,753,890.40	5,585,000.00	5,585,000.00	168,890.40		—		—	—		5.6250	5.6250	Jan-Jul	143,115.64	314,156.28		20151223	20200801
404280BL2	HSBC HOLDINGS PLC CAPSEC CORP BND	D	2	2FE	3,483,320.00	3,605,120.75	3,425,000.00	3,481,342.00	123,778.75		(1,978.00	)	—	—		6.0000	5.5674	May-Nov	22,262.50	89,450.00		20170515	20491231
404280AY5	HSBC HOLDINGS PLC SENIOR CORP BND	D		1FE	5,060,118.75	5,061,481.40	5,025,000.00	5,056,102.73	5,378.67		(4,294.21	)	—	—		2.9500	2.9771	May-Nov	14,823.75	104,831.53		20160518	20210525
404280AV1	HSBC HOLDINGS PLC SENIOR CORP BND	D			5,113,100.00	5,114,049.90	5,000,000.00	5,112,085.20	1,964.70		(1,014.80	)	—	—		3.4000	2.6601	Mar-Sep	53,361.12	(48,638.88	)	20171219	20210308
404280AN9	HSBC HOLDINGS PLC SENIOR CORP BND	D		1FE	785,947.50	783,974.99	750,000.00	774,736.80	9,238.19		(5,367.04	)	—	—		4.0000	3.1630	Mar-Sep	7,583.33	30,000.00		20151110	20220330
404280BF5	HSBC HOLDINGS PLC SENIOR CORP BND	D		1FE	992,950.00	993,509.99	1,000,000.00	992,997.00	512.99		47.00		—	—		2.6500	2.8359	Jan-Jul	12,955.56	(12,293.05	)	20171220	20220105
404280BJ7	HSBC HOLDINGS PLC SENIOR CORP BND	D	2	1FE	5,780,670.00	5,775,410.89	5,700,000.00	5,774,928.84	482.05		(5,741.16	)	—	—		3.2620	3.2620	Mar-Sep	55,780.20	46,030.45		20170306	20230313
404280AZ2	HSBC HOLDINGS PLC SENIORCORPBND	D			519,150.00	518,224.95	500,000.00	518,353.11	(128.16	)	(796.89	)	—	—		3.1221	2.0162	F-M-A-N	1,517.67	868.36		20171102	20210525
40428HPN6	HSBC USA INC SENIOR CORP BND			1FE	1,310,497.00	1,301,911.14	1,300,000.00	1,309,063.13	(7,151.99	)	(1,509.54	)	—	—		2.3750	2.3880	May-Nov	4,116.67	11,591.32		20141105	20191113
40428HPR7	HSBC USA INC SENIOR CORP BND			1FE	4,031,250.00	3,999,079.88	4,000,000.00	4,026,455.47	(27,375.59	)	(4,681.58	)	—	—		2.3500	1.9501	Mar-Sep	30,288.89	9,334.71		20170726	20200305
C4426EAH7	HUDSONS BAY CO SECURED TERM LOAN	A	4	4FE	705,393.88	690,033.31	708,938.57	706,528.59	(16,495.28	)	506.55		—	—		—	0.0708	F-M-A-N	—	29,348.70		20150814	20220930
446438RU9	HUNTINGTON NATIONAL BANK THE SENIOR CORP		2	1FE	1,799,892.00	1,799,010.00	1,800,000.00	1,799,920.51	(910.51	)	28.51		—	—		2.3750	2.3771	Mar-Sep	13,181.25	21,375.00		20170307	20200310
BRSSNVRZ9	HVFII_15-1 ABS_15-1 B		4		2,999,848.20	2,992,158.90	3,000,000.00	2,999,849.79	(7,690.89	)	3.31		—	—		3.5200	3.5456	Monthly	1,760.00	105,600.00		20150407	20210525
44421LAA0	HY_16-10HY LCF SENIOR CMBS 16-10HY 144A		4	1FM	1,622,133.33	1,537,785.10	1,575,000.00	1,616,250.11	(78,465.01	)	(3,374.10	)	—	—		2.8350	2.5004	Monthly	3,720.94	44,651.28		20160808	20380810
44932GAD7	HYUNDAI AUTO RECEIVABLES TRUST ABS_17-B-		4		4,687,609.50	4,661,793.51	4,700,000.00	4,687,676.49	(25,882.98	)	66.99		—	—		1.7700	1.7825	Monthly	3,771.08	17,468.92		20170809	20220118
44891AAM9	HYUNDAI CAPITAL AMERICA CORP BND 144A		1	2FE	454,517.70	453,627.72	455,000.00	454,584.70	(956.98	)	67.00		—	—		3.1000	3.1231	Apr-Oct	3,369.53	7,052.50		20170329	20220405
44891AAE7	HYUNDAI CAPITAL AMERICA SENIOR CORP BND			2FE	5,325,387.00	5,282,149.60	5,300,000.00	5,319,217.33	(37,067.73	)	(5,675.34	)	—	—		2.5000	2.1945	Mar-Sep	37,909.73	119,562.50		20170804	20190318
44891AAG2	HYUNDAI CAPITAL AMERICA SENIOR CORP BND		1	1FE	1,998,580.00	1,975,772.00	2,000,000.00	1,999,296.22	(23,524.22	)	556.86		—	—		2.0000	2.0239	Jan-Jul	20,000.00	61,722.22		20160607	20190701
44891AAL1	HYUNDAI CAPITAL AMERICA SENIOR CORP BND		1	2FE	1,497,900.00	1,486,884.00	1,500,000.00	1,498,404.66	(11,520.66	)	504.66		—	—		2.5500	2.5989	Apr-Oct	9,350.00	18,912.50		20170329	20200403
44920UAJ7	HYUNDAI CAPITAL SERVICES INC SENIOR CORP	D		2FE	851,580.00	843,690.06	855,000.00	852,108.25	(8,418.19	)	528.25		—	—		3.0000	3.0869	Mar-Sep	8,193.76	12,825.00		20170227	20220306
44932HAB9	IBM CREDIT LLC SENIOR CORP BND		1	1FE	9,989,279.30	9,857,848.30	10,010,000.00	9,991,100.25	(133,251.95	)	1,820.95		—	—		1.8000	1.8640	Jan-Jul	56,556.50	—		20170905	20210120
44932HAA1	IBM CREDIT LLC SENIOR CORP BND		1	1FE	2,038,449.60	2,027,617.16	2,040,000.00	2,038,693.11	(11,075.95	)	243.51		—	—		1.6250	1.6639	Mar-Sep	10,405.42	—		20170905	20190906
BRTDLT5D1	ICPADHESIVESANDSEALANTSINC SENIOR SECURE		2		4,418,103.45	4,407,058.19	4,418,103.45	4,418,103.45	(11,045.26	)	—		—	—		—	—	M-J-S-D	—	39,615.35		20171103	20231102
45204EZQ4	ILLINOIS FIN MUNIBNDREV		2	1FE	1,738,086.00	1,721,440.00	1,400,000.00	1,737,035.17	(15,595.17	)	(1,050.83	)	—	—		5.0000	2.3000	Jan-Jul	2,333.33	—		20171208	20280715
BRTEFJN14	I-LOGICTECHNOLOGIESBIDCOLTD SENIOR SECUR		2	4FE	1,278,870.51	1,278,870.51	1,285,296.99	1,278,870.51	—		—		—	—		—	0.0732	M-J-S-D	—	—		20171220	20241220
G4721VAY0	IMPERIAL TOBACCO FIN PLC CORP BND	B		2FE	705,322.77	567,061.82	400,000.00	643,833.19	6,238.46		(24,033.99	)	—	(83,009.84	)	6.2500	2.1865	December	2,594.30	31,646.25		20141215	20181204
G4721V112	IMPERIAL TOBACCO FIN PLC SENIOR LOCAL BN	B			1,440,504.56	1,482,796.62	1,000,000.00	1,364,012.16	(2,398.14	)	(75,496.33	)	—	121,182.60		7.7500	1.0139	June	54,860.50	63,972.57		20161221	20190624
BRT8V42S6	IMS HEALTH INCORPORATED SENIOR SECURED T			3FE	936,427.29	940,999.13	937,483.57	936,530.67	4,468.46		273.86		—	—		—	0.0201	M-J-S-D	—	54,533.99		20170501	20240307
454795DQ5	IN HLTH CLARIAN MUNI BND REV		2	1FE	405,442.00	369,485.85	365,000.00	368,856.55	629.30		(11,498.37	)	—	—		5.2500	2.0303	May-Nov	3,193.75	19,162.50		20140930	20241101
454795DR3	IN HLTH CLARIAN MUNI BND REV		2	1FE	381,825.50	354,301.50	350,000.00	353,060.25	1,241.25		(9,095.61	)	—	—		5.2500	2.5784	May-Nov	3,062.50	18,375.00		20140930	20251101
BRTB5VN55	INC RESEARCH HOLDINGS INC SENIOR SECURED		2	3FE	517,167.84	518,332.93	517,815.11	517,206.07	1,126.86		79.41		—	—		—	0.0176	M-J-S-D	—	12,169.72		20170628	20240801
45505UAH1	INDIANA ST FINANCE AUTHORITY MUNI BND RE			1FE	2,301,800.00	2,058,500.00	2,000,000.00	2,062,598.73	(4,098.73	)	(74,492.12	)	—	—		5.0000	1.2040	May-Nov	16,666.67	100,000.00		20140930	20181101
BRTDEAKS0	INEOS HOLDINGS LTD SENIOR SECURED TERM L	D		3FE	2,943,548.39	2,945,185.01	2,943,548.39	2,943,548.39	1,636.62		—		—	—		—	—	M-J-S-D	—	4,930.12		20171026	20240401
BRT9J8CW9	INEOS STYROLUTION US HOLDING L TERM LOAN				74,807.57	75,279.69	75,138.43	74,837.84	441.85		86.41		—	—		—	0.0633	M-J-S-D	—	2,564.67		20170516	20240329

449786BD3	ING BANK NV SENIOR CORP BND 144A	D			387,336.95	385,658.31	385,000.00	386,081.77	(423.46	)	(599.93	)	—	—		2.5000	2.3349	Apr-Oct	2,406.25	9,625.00		20151113	20191001
449786BG6	ING BANK NV SENIOR CORP BND 144A	D		1FE	5,000,000.00	5,031,270.00	5,000,000.00	5,000,000.00	31,270.00		—		—	—		2.0259	2.0259	F-M-A-N	13,224.36	87,242.55		20160808	20190815
44987CAB4	ING BANK NV SENIOR CORP BND 144A	D		1FE	2,331,404.10	2,334,395.24	2,335,000.00	2,334,749.30	(354.06	)	1,786.46		—	—		1.8000	1.8530	Mar-Sep	12,258.75	68,101.50		20150310	20180316
44987DAN6	ING BANK NV SENIOR CORP BND EMTN	D			3,249,057.50	3,250,130.00	3,250,000.00	3,249,608.77	521.23		312.52		—	—		2.3000	2.3101	Mar-Sep	20,556.25	74,750.00		20160315	20190322
44987CAE8	ING BANK NV SENIOR CORP BND MTN 144A	D		1FE	249,847.50	250,011.50	250,000.00	249,967.33	44.17		547.97		—	—		2.0500	2.0711	Feb-Aug	1,907.64	74,027.78		20150810	20180817
N6088VDF2	ING BANK NV SUB CORP BND	B	2	1FE	1,927,642.68	1,659,970.35	1,200,000.00	1,771,981.02	7,020.58		(76,968.46	)	—	(119,031.24	)	6.8750	2.5568	May	66,349.61	114,422.00		20150612	20230529
456837AH6	ING GROEP NV SENIOR CORP BND	D		1FE	1,023,657.25	1,071,299.23	1,025,000.00	1,023,741.93	47,557.30		84.68		—	—		3.9500	3.9660	Mar-Sep	10,346.81	20,243.75		20170321	20270329
456837AG8	ING GROEP NV SENIOR CORP BND	D		1FE	255,352.50	252,677.50	250,000.00	254,900.20	(2,222.70	)	(173.04	)	—	—		3.1500	2.6581	Mar-Sep	2,012.50	25,838.75		20170726	20220329
45687AAL6	INGERSOLL-RAND GLOBAL HOLDING SENIOR COR		1	2FE	4,047,361.60	4,025,501.59	4,004,000.00	4,021,554.10	3,947.49		(11,870.86	)	—	—		2.8750	2.7986	Jan-Jul	53,080.80	88,288.06		20140616	20190115
456873AA6	INGERSOLL-RAND LUXEMBOURG FINA SENIOR CO	D	1	2FE	1,502,730.00	1,499,280.05	1,500,000.00	1,501,190.32	(1,910.27	)	(500.41	)	—	—		2.6250	2.5889	May-Nov	6,562.50	39,375.00		20141024	20200501
45833UAB7	INTEGRITY RE LTD SENIOR CORP BND	D			250,000.00	219,855.00	250,000.00	250,000.00	(30,145.00	)	—		—	—		15.8225	15.8225	Monthly	2,307.45	21,151.46		20170421	20200610
45833UAA9	INTEGRITY RE LTD SENIOR CORP BND 144A	D			500,000.00	496,885.00	500,000.00	500,000.00	(3,115.00	)	—		—	—		4.5725	4.5725	Monthly	1,333.65	23,059.42		20170421	20200610
45833UAC5	INTEGRITY RE LTD SENIOR CORP BND 144A	D			375,000.00	375,045.00	375,000.00	375,000.00	45.00		—		—	—		5.3225	5.3225	Monthly	1,164.30	35,034.73		20170421	20200610
45833UAD3	INTEGRITY RE LTD SENIOR CORP BND 144A	D			250,000.00	248,320.00	250,000.00	250,000.00	(1,680.00	)	—		—	—		5.5725	5.5725	Monthly	851.35	12,841.52		20170421	20200610
458140AQ3	INTEL CORPORATION SENIOR CORP BND			1FE	2,023,096.50	2,042,759.23	2,025,000.00	2,023,990.28	18,768.95		375.13		—	—		2.4500	2.4701	Jan-Jul	20,947.50	49,612.50		20150722	20200729
458140AZ3	INTEL CORPORATION SENIOR CORP BND		1	1FE	499,810.00	497,480.02	500,000.00	499,849.74	(2,369.72	)	117.83		—	—		1.8500	1.8631	May-Nov	1,284.72	16,290.28		20170508	20200511
458140AW0	INTEL CORPORATION SENIOR CORP BND		1	1FE	2,994,720.00	2,947,649.91	3,000,000.00	2,996,380.12	(48,730.21	)	1,483.72		—	—		1.7000	1.7369	May-Nov	5,950.00	74,256.94		20160512	20210519
BRTEAT5R0	INTELSAT JACKSON HOLDINGS SA SECUREDTERM	D	2		76,335.88	77,232.83	76,335.88	76,335.88	896.95		—		—	—		—	—	M-J-S-D	—	—		20171214	20240102
BRTDK0AV9	INTELSAT JACKSON HOLDINGS SA SENIOR SECU	D	2	4FE	2,017,663.04	1,992,915.08	2,038,043.48	2,017,784.58	(24,869.50	)	121.54		—	—		—	0.1669	M-J-S-D	—	—		20171110	20231127
458182DT6	INTER-AMERICAN DEV BANK CORP BND	D		1	2,050,000.00	2,049,979.52	2,050,000.00	2,050,000.00	(20.48	)	—		—	—		1.5788	1.5788	M-J-S-D	1,798.06	24,596.27		20130905	20180912
45818WAT3	INTER-AMERICAN DEV BANK CORP BND EMTN	D			5,000,000.00	4,999,250.05	5,000,000.00	5,000,000.00	(749.95	)	—		—	—		1.6155	1.6155	M-J-S-D	2,692.47	59,696.67		20140613	20180620
45818WBP0	INTER-AMERICAN DEV BANK CORP BND GMTN	D		1FE	7,000,000.00	6,998,179.93	7,000,000.00	7,000,000.00	(1,820.07	)	—		—	—		1.4292	1.4292	J-A-J-O	21,397.85	30,998.22		20170613	20220715
BRSYNGK60	INTER-AMERICAN DEV BANK SENIOR CORP BND	B		1FE	5,123,352.09	5,188,970.71	3,800,000.00	5,111,361.73	(9,799.21	)	(11,990.36	)	—	87,408.19		1.1250	0.4139	December	2,376.58	19,824.77		20170227	20191217
45866FAE4	INTERCONTINENTALEXCHANGE INC SENIOR CORP		1	1FE	2,918,301.75	2,891,069.89	2,925,000.00	2,918,779.78	(27,709.89	)	592.76		—	—		2.3500	2.3979	Mar-Sep	25,585.63	6,199.76		20170810	20220915
459200HS3	INTERNATIONAL BUSINESS MACHINE SENIOR CO			1FE	3,414,090.24	3,550,810.81	2,500,000.00	3,386,261.60	(18,875.80	)	(27,828.64	)	—	183,425.02		2.7500	0.8014	December	2,802.77	38,594.85		20170622	20201221
459200JN2	INTERNATIONAL BUSINESS MACHINE SENIOR CO		1	1FE	2,597,504.00	2,587,389.97	2,600,000.00	2,598,262.11	(10,872.14	)	758.11		—	—		1.9000	1.9331	Jan-Jul	21,132.22	24,700.00		20170124	20200127
459200HM6	INTERNATIONAL BUSINESS MACHINE SENIOR CO		1	1FE	1,533,986.00	1,529,989.50	1,550,000.00	1,534,525.64	(4,536.14	)	539.64		—	—		1.6250	2.1237	May-Nov	3,218.41	(1,020.14	)	20171115	20200515
459200HE4	INTERNATIONAL BUSINESS MACHINE SENIOR CO				248,777.50	249,420.00	250,000.00	249,552.75	(132.75	)	318.90		—	—		1.8750	2.0081	May-Nov	598.96	4,687.50		20150714	20190515
459200JE2	INTERNATIONAL BUSINESS MACHINE SENIOR CO		1	1FE	4,997,950.00	4,983,950.05	5,000,000.00	4,999,179.38	(15,229.33	)	584.05		—	—		1.8000	1.8121	May-Nov	11,000.00	90,000.00		20160216	20190517
459058FK4	INTL BANK FOR RECONSTR & DEVP SENIOR COR	D		1FE	7,698,383.00	7,563,710.23	7,700,000.00	7,699,139.67	(135,429.44	)	524.32		—	—		0.8750	0.8820	Feb-Aug	25,452.77	67,444.00		20160706	20190815
BRTBQUSQ3	INTL BANK FOR RECONSTR & DEVP SENIOR COR	D			500,000.00	503,200.00	500,000.00	500,000.00	3,200.00		—		—	—		6.9717	6.9717	Monthly	1,161.95	13,290.90		20170724	20191220
U4586DFD9	INTL BANK FOR RECONSTR & DEVP SENIOR COR	D			450,000.00	450,900.00	450,000.00	450,000.00	900.00		—		—	—		10.3717	10.3717	Monthly	1,555.75	17,777.75		20170724	20191220
459058FZ1	INTL BANK FOR RECONSTR & DEVP SENIOR COR	D			798,456.00	796,799.98	800,000.00	798,518.09	(1,718.11	)	62.09		—	—		1.8750	1.9574	Apr-Oct	2,916.67	(1,500.80	)	20171122	20200421
45905UQ23	INTL BANK FOR RECONSTR & DEVP SENIOR COR	D	2		6,000,000.00	5,982,540.00	6,000,000.00	6,000,000.00	(17,460.00	)	—		—	—		2.0000	2.0000	Apr-Oct	20,333.33	—		20171012	20201030

BRTAEYBE5	ION MEDIA NETWORKS INC SENIOR SECURED TE			4FE	2,511,786.46	2,540,268.78	2,536,041.19	2,515,757.71	24,511.07		4,509.21		—	—	—	0.3572	M-J-S-D	—	72,797.91	20170517	20201218
46603BAQ2	IVYH_9A MEZZANINABS9A144A	D	4		4,000,000.00	3,998,549.20	4,000,000.00	4,000,000.00	(1,450.80	)	—		—	—	3.1960	3.2165	Monthly	8,877.78	—	20171121	20300118
BRT88VS96	JBS USA LUX SA SENIOR SECURED TERM LOAN	D		4FE	2,909,361.22	2,854,339.67	2,911,848.68	2,909,531.15	(55,191.48	)	182.47		—	—	—	—	M-J-S-D	—	93,717.78	20170130	20221030
47787UAD5	JDOT_15-A SENIOR ABS 15-A A3		4	1FE	314,890.19	314,618.92	314,915.23	314,908.92	(290.00	)	32.35		—	—	1.3200	1.3262	Monthly	184.75	10,054.77	20150303	20190617
47760QAA1	JIMMY JOHNS FUNDING LLC JIMMY_ ABS_17-1A		4	2FE	399,000.00	400,536.15	399,000.00	399,000.00	1,536.15		—		—	—	3.6100	3.6257	J-A-J-O	2,440.66	4,532.56	20170627	20470730
47787ZAG7	JOHN DEERE CANADA FUNDING INC SENIORCORP				473,269.67	480,627.32	600,000.00	473,014.71	(1,655.52	)	(254.96	)	—	9,268.13	2.3500	1.8605	Jun-Dec	246.65	1,103.72	20171115	20190624
24422ESX8	JOHN DEERE CAPITAL CORP SENIOR CORP BND			1FE	1,599,392.00	1,597,808.00	1,600,000.00	1,599,889.78	(2,081.78	)	244.74		—	—	1.6000	1.6130	Jan-Jul	11,946.67	36,657.78	20150709	20180713
24422ETJ8	JOHN DEERE CAPITAL CORP SENIOR CORP BND			1FE	1,596,768.00	1,574,991.94	1,600,000.00	1,598,133.58	(23,141.64	)	1,042.03		—	—	1.2500	1.3169	Apr-Oct	4,555.56	21,666.67	20160906	20191009
24422ETU3	JOHN DEERE CAPITAL CORP SENIOR CORP BND			1	4,000,000.00	4,007,879.64	4,000,000.00	4,000,000.00	7,879.64		—		—	—	2.0026	2.0026	M-J-S-D	5,340.35	18,171.89	20170905	20220908
24422ETM1	JOHN DEERE CAPITAL CORP SENIOR CORP BND			1FE	2,998,050.00	2,993,190.00	3,000,000.00	2,999,118.78	(5,928.78	)	1,068.78		—	—	1.6500	1.6878	Apr-Oct	10,450.00	38,362.50	20170103	20181015
24422ESF7	JOHN DEERE CAPITAL CORP SENIOR CORP BND			1FE	1,012,020.00	999,520.00	1,000,000.00	1,003,702.41	(4,182.41	)	(3,848.57	)	—	—	1.9500	1.5549	Jun-Dec	975.00	19,500.00	20151021	20181213
24422ETQ2	JOHN DEERE CAPITAL CORP SENIOR CORP BND			1FE	284,777.70	284,620.94	285,000.00	284,835.44	(214.50	)	57.74		—	—	2.2000	2.2271	Mar-Sep	1,881.00	3,100.17	20170310	20200313
478111AA5	JOHNS HOPKINS HEALTH SYSTEM CO SENIOR CO		1	1FE	244,815.00	249,780.75	250,000.00	249,453.94	326.81		1,456.94		—	—	1.4240	2.0200	May-Nov	454.89	3,560.00	20140930	20180515
478115AC2	JOHNS HOPKINS UNIVERSITY CORP BND			1FE	1,750,000.00	1,744,825.25	1,750,000.00	1,750,000.00	(5,174.75	)	—		—	—	1.4770	1.4770	Jan-Jul	12,923.75	25,847.50	20150210	20180701
478160AW4	JOHNSON & JOHNSON CORP BND			1FE	122,861.25	127,636.25	125,000.00	124,366.32	3,269.93		224.74		—	—	2.9500	3.1500	Mar-Sep	1,229.17	3,687.50	20100812	20200901
478160BR4	JOHNSON & JOHNSON SENIOR CORP BND		1	1FE	5,464,344.20	5,415,377.95	5,465,000.00	5,464,743.20	(49,365.25	)	221.14		—	—	1.1250	1.1291	Mar-Sep	20,493.75	64,283.77	20160225	20190301
478160CH5	JOHNSON & JOHNSON SENIORCORPBND		1		229,753.90	229,181.20	230,000.00	229,765.40	(584.20	)	11.50		—	—	1.9500	1.9869	May-Nov	635.38	—	20171108	20201110
418097AD3	JORDAN (HASHEMITE KINGDOM OF) AGENCY BND	D		1FE	10,000,000.00	9,985,770.00	10,000,000.00	10,000,000.00	(14,230.00	)	—		—	—	1.9450	1.9450	Jun-Dec	4,322.23	194,500.02	20140623	20190623
46641BAE3	JP MORGAN CHASE COMMERCIAL MOR PAC SENIO		4	1FE	1,217,724.61	1,162,440.03	1,125,000.00	1,189,656.68	(27,216.65	)	(19,801.90	)	—	—	3.6744	1.7975	Monthly	3,444.75	41,337.00	20160726	20461217
46644FAE1	JPMBB COMMERCIAL MORTGAGE SECU PAC SENIO		4		4,059,062.50	4,052,319.96	4,000,000.00	4,042,366.40	9,953.56		(9,320.81	)	—	—	3.0420	2.7897	Monthly	10,140.00	121,680.00	20160304	20481015
46640LAB8	JPMBB COMMERCIAL MORTGAGE SECU SENIOR CM		4		1,606,661.06	1,566,834.83	1,556,205.96	1,580,237.52	(13,402.69	)	(2,052.94	)	—	—	3.0193	2.3836	Monthly	3,915.55	60,310.50	20140916	20460815
46642EAY2	JPMBB LCF SENIOR CMBS _14-C21-A5		4	1FM	2,133,984.38	2,094,499.97	2,000,000.00	2,095,454.82	(954.85	)	(13,771.19	)	—	—	3.7748	2.9298	Monthly	6,291.33	75,495.96	20150311	20470815
46641WAT4	JPMBB_14-C19 PRELCF SENIOR CMBS_14-C19 A		4		1,903,548.21	1,866,015.33	1,848,108.64	1,867,861.91	(1,846.58	)	(7,755.59	)	—	—	3.0456	2.4576	Monthly	4,690.50	56,493.05	20140429	20470415
46643ABF9	JPMBB_14-C23 SENIOR CMBS 14-C23-ASB		4	1FM	5,734,531.25	5,551,694.84	5,350,000.00	5,630,606.62	(78,911.78	)	(65,613.14	)	—	—	3.6570	2.3025	Monthly	16,304.13	195,649.56	20160524	20470915
46644FAB7	JPMBB_15-C28 SENIOR CMBS 15-C28 A2		4	1FM	3,089,994.00	3,020,280.09	3,000,000.00	3,039,838.54	(19,558.45	)	(18,983.74	)	—	—	2.7733	2.1122	Monthly	6,933.25	83,199.00	20150402	20481015
46590JAW7	JPMBB_15-C36 PRELCF SENIOR CMBS_15-C36 A		4	1FM	3,089,976.00	3,109,769.91	3,000,000.00	3,071,756.94	38,012.97		(8,544.62	)	—	—	3.5982	3.2483	Monthly	8,995.50	107,946.00	20151019	20481115
12625CAL7	JPMCC SUB CMBS 13-WWP 144A		4		1,033,281.25	1,042,000.80	1,000,000.00	1,027,146.75	14,854.05		(4,887.43	)	—	—	3.5442	2.9865	Monthly	2,953.50	35,442.00	20160927	20310310
46634SAC9	JPMCC_12-C6 SENIOR CMBS 12-C6		4	1FE	743,987.47	710,400.02	688,478.87	725,985.84	(15,585.82	)	(15,713.66	)	—	—	3.5074	0.8936	Monthly	2,012.32	27,341.70	20160616	20450515
46642CBE9	JPMCC_14-C20 SENIOR CMBS 14-C20-A2		4	1FM	10,321,083.75	10,071,575.65	10,000,000.00	10,149,312.12	(77,736.47	)	(72,374.08	)	—	—	2.8716	1.8892	Monthly	23,930.00	287,160.00	20140612	20470715
46590KAB0	JPMCC_15-JP1 SENIOR CMBS_15-JP1 A2		4	1FM	1,905,492.60	1,880,229.06	1,850,000.00	1,886,927.39	(6,698.33	)	(7,309.66	)	—	—	3.1438	2.5891	Monthly	4,846.70	58,160.40	20151215	20490115
46647TAP3	JPMCC_17-JP5 PRELCF SENIOR CMBS_17-JP5 A		4	1FE	7,237,132.82	7,167,762.71	7,000,000.00	7,212,938.04	(45,175.33	)	(24,194.78	)	—	—	3.2397	2.6437	Monthly	18,898.25	76,312.93	20170526	20500315
46644RAZ8	JPMCCMSC_15-C29 SENIOR CMBS 15-C29		4	1FM	2,059,986.00	2,071,900.02	2,000,000.00	2,045,774.31	26,125.71		(5,745.87	)	—	—	3.6108	3.2592	Monthly	6,018.00	72,216.00	20150604	20480515
46590LAR3	JPMDB_16-C2 SUPSEN SENIOR CMBS_16-C2 A2		4	1FM	999,100.00	972,315.36	970,000.00	992,662.87	(20,347.51	)	(2,700.35	)	—	—	2.6619	2.1974	Monthly	2,151.70	25,820.40	20160504	20490615
46647SAL4	JPMMT _17-3 CMO_17-3-1A6 144A		4	1FE	9,197,513.36	9,129,734.69	9,136,129.99	9,188,928.22	(59,193.53	)	(15,833.80	)	—	—	3.0000	2.5006	Monthly	22,840.34	74,772.84	20170809	20470825

46648HAF0	JPMMT 2017-2 SENIOR RMBS_2017-2 A6 144A		4	1FE	3,821,571.69	3,789,072.74	3,781,979.63	3,815,439.35	(26,366.61	)	(11,090.90	)	—	—	3.0000	2.4706	Monthly	9,454.95	60,883.10		20170522	20470525
466247E74	JPMMT CMO_06-A1 2A2		4	NR*Z*	33,107.04	31,216.90	33,081.19	33,088.32	(1,871.42	)	(295.40	)	—	—	3.4939	3.4616	Monthly	96.32	1,278.67		20080206	20360225
46643DAE7	JPMMT_14-OAK4 WHOLE CMO 14-OAK4		4		1,095,879.69	1,099,117.18	1,081,682.62	1,091,647.78	7,469.40		(365.20	)	—	—	3.5000	3.1385	Monthly	3,154.91	44,458.47		20141007	20440925
46648CAB0	JPMMT_17-1 RMBS_17-1 A2 144A		4	1FE	793,343.60	798,393.02	788,171.23	792,543.76	5,849.26		(1,205.60	)	—	—	3.5000	3.3458	Monthly	2,298.83	21,835.29		20170217	20470125
46648CAD6	JPMMT_17-1 RMBS_17-1 A4 144A		4	1FE	2,152,320.33	2,147,892.84	2,115,627.41	2,144,452.85	3,439.99		(12,816.91	)	—	—	3.5000	2.6605	Monthly	6,170.58	60,379.62		20170217	20470125
46648HAN3	JPMMT_17-2 RMBS_17-2-A13 144A		4	1FE	1,848,147.42	1,842,855.39	1,834,816.33	1,846,675.68	(3,820.29	)	(2,671.90	)	—	—	3.5000	3.2867	Monthly	5,351.55	33,795.45		20170522	20470525
46625HJW1	JPMORGAN CHASE & CO CAPSEC CORP BND		2	2FE	6,245,937.50	6,296,250.00	5,750,000.00	6,217,726.95	78,523.05		(28,210.55	)	—	—	6.1250	4.6270	Apr-Oct	59,676.21	98,808.16		20170714	20491231
48128BAD3	JPMORGAN CHASE & CO CAPSEC CORP BND		2	2FE	2,250,000.00	2,205,000.00	2,250,000.00	2,250,000.00	(45,000.00	)	—		—	—	4.6250	4.6223	May-Nov	20,523.44	5,781.25		20171013	20491231
48127FAA1	JPMORGAN CHASE & CO CAPSEC CORP BND		2	2FE	5,436,750.00	5,589,375.00	5,500,000.00	5,439,348.58	150,026.42		919.11		—	—	5.0000	5.0354	Jan-Jul	137,500.00	361,069.44		20140715	20491231
46625HKK5	JPMORGAN CHASE & CO CAPSEC CORP BND		2	3FE	2,433,000.00	2,490,000.00	2,400,000.00	2,433,000.00	57,000.00		—		—	—	5.3000	5.2281	May-Nov	21,200.00	127,200.00		20161012	20281005
46625HHU7	JPMORGAN CHASE & CO CORP BND			1FE	318,255.00	314,379.00	300,000.00	316,734.00	(2,355.00	)	(1,521.00	)	—	—	4.2500	2.1750	Apr-Oct	2,691.67	602.08		20170926	20201015
46625HJX9	JPMORGAN CHASE & CO SENIOR CORP BND			1FE	1,561,560.00	1,558,920.13	1,500,000.00	1,561,054.81	(2,134.68	)	(505.19	)	—	—	3.6250	2.9193	May-Nov	7,249.99	(4,229.16	)	20171207	20240513
46625HJH4	JPMORGAN CHASE & CO SENIOR CORP BND			1	510,535.00	509,450.04	500,000.00	509,618.16	(168.12	)	(1,090.65	)	—	—	3.2000	2.7901	Jan-Jul	6,933.33	49,306.67		20170619	20230125
46625HQU7	JPMORGAN CHASE & CO SENIOR CORP BND		2	1FE	7,194,320.00	7,174,295.85	7,200,000.00	7,196,867.49	(22,571.64	)	1,598.63		—	—	1.8500	1.8721	Mar-Sep	36,630.01	128,626.39		20160318	20190322
46625HKA7	JPMORGAN CHASE & CO SENIOR CORP BND		2	1FE	2,516,175.00	2,498,175.05	2,500,000.00	2,512,113.22	(13,938.17	)	(4,061.78	)	—	—	2.2500	1.9991	Jan-Jul	24,687.50	13,906.25		20170419	20200123
46623EKG3	JPMORGAN CHASE & CO SENIOR CORP BND		1	1FE	4,941,646.50	4,903,024.65	4,950,000.00	4,941,913.09	(38,888.44	)	266.59		—	—	2.2950	2.3089	Feb-Aug	42,916.50	(4,905.56	)	20170808	20210815
46625HLW8	JPMORGAN CHASE & CO SENIOR CORP BND		2	1FE	2,831,412.00	2,824,444.24	2,800,000.00	2,822,991.52	1,452.72		(9,156.85	)	—	—	2.7500	1.9599	Jun-Dec	1,711.12	100,940.28		20150618	20200623
46625HQJ2	JPMORGAN CHASE & CO SENIOR CORP BND		2	1FE	3,268,584.32	3,247,005.98	3,246,000.00	3,267,359.34	(20,353.36	)	(1,483.63	)	—	—	2.5500	2.5661	Mar-Sep	27,591.00	15,548.77		20160225	20210301
46647PAC0	JPMORGAN CHASE & CO SENIOR CORP BND		2	1FE	5,000,000.00	5,012,549.60	5,000,000.00	5,000,000.00	12,549.60		—		—	—	2.0861	2.0861	M-J-S-D	6,084.34	67,883.78		20170302	20210309
46625HJF8	JPMORGAN CHASE & CO SENIOR CORP BND			1FE	4,000,000.00	4,001,359.88	4,000,000.00	4,000,000.00	1,359.88		—		—	—	2.2674	2.2674	J-A-J-O	17,131.62	112,253.23		20130117	20180125
46625HJR2	JPMORGAN CHASE & CO SENIOR CORP BND			1FE	1,518,345.00	1,503,389.97	1,500,000.00	1,505,172.26	(1,782.29	)	(4,723.49	)	—	—	2.3500	2.2230	Jan-Jul	14,981.25	35,250.00		20150204	20190128
48128BAB7	JPMORGAN CHASE & CO SENIOR CORP BND		1	1FE	229,993.10	231,522.60	230,000.00	229,999.38	1,523.22		61.46		—	—	2.9720	2.9721	Jan-Jul	3,151.97	43,747.02		20161201	20230115
46625HNX4	JPMORGAN CHASE & CO SENIOR CORP BND		2	1FE	299,691.00	300,771.01	300,000.00	299,820.67	950.34		60.47		—	—	2.5500	2.5721	Apr-Oct	1,317.50	7,650.00		20151022	20201029
46625HRV4	JPMORGAN CHASE & CO SENIOR CORP BND		1	1FE	588,720.00	589,254.00	600,000.00	589,850.81	(596.81	)	1,002.28		—	—	2.9500	3.1730	Apr-Oct	4,425.00	17,700.00		20161110	20261001
46625HKC3	JPMORGAN CHASE & CO SENIOR CORP BND		2	1FE	722,172.50	728,356.73	725,000.00	722,905.59	5,451.14		260.84		—	—	3.1250	3.1710	Jan-Jul	9,943.58	22,656.26		20150225	20250123
BRSRHX869	JPMORGAN CHASE & CO SENIOR CORP BND EMTN			1FE	3,220,020.26	3,306,997.80	2,400,000.00	3,212,441.91	(1,095.66	)	(7,578.35	)	—	95,651.55	1.8750	0.7797	Feb-Aug	23,820.17	(12,392.86	)	20170726	20200210
46625HRX0	JPMORGAN CHASE & CO SUB CORP BND		2	2FE	1,796,886.00	1,819,349.95	1,800,000.00	1,797,174.07	22,175.88		432.17		—	—	3.6250	3.6440	Jun-Dec	5,437.50	115,697.92		20161110	20271201
46625HJY7	JPMORGAN CHASE & CO SUB CORP BND			2FE	3,148,383.75	3,298,341.36	3,165,000.00	3,153,188.90	145,152.46		557.03		—	—	3.8750	3.9390	Mar-Sep	37,815.16	145,872.23		20140903	20240910
46625HJQ4	JPMORGAN CHASE & CO SUB CORP BND		2	3FE	3,187,500.00	3,390,000.00	3,000,000.00	3,135,792.75	254,207.25		(18,105.65	)	—	—	6.7500	5.8548	Feb-Aug	84,375.01	202,500.00		20141211	20491231
48125LRG9	JPMORGAN CHASE BANK NA SENIOR CORP BND		2	1FE	2,697,246.00	2,677,157.97	2,700,000.00	2,698,401.15	(21,243.18	)	906.84		—	—	1.6500	1.6850	Mar-Sep	12,127.50	44,550.00		20160920	20190923
47048BAM2	JTWN_15-7A ABS15-7A144A	D	4		2,000,000.00	1,993,907.00	2,000,000.00	2,000,000.00	(6,093.00	)	—		—	—	—	—	J-A-J-O	—	—		20171117	20270725
BRTAC2U55	KAR AUCTION SERVICES INC SENIOR SECURED			3FE	229,547.98	232,528.27	231,467.45	229,742.20	2,786.07		209.69		—	—	—	0.1423	M-J-S-D	—	5,214.56		20170601	20230309
48244XAA0	KDAC_17-1A ABS17-1A144A	D	4		1,499,948.40	1,504,150.50	1,500,000.00	1,499,944.43	4,206.07		(3.97	)	—	—	4.2120	4.2452	Monthly	1,930.50	—		20171212	20421215
491674BE6	KENTUCKY UTILITIES COMPANY CORP BND		1	1FE	783,795.00	767,519.99	750,000.00	767,934.38	(414.39	)	(7,190.00	)	—	—	3.2500	2.2866	May-Nov	4,062.50	24,375.00		20150731	20201101

49327M2P8	KEY BANK NATIONAL ASSOCIATION SENIOR COR			1FE	6,395,002.80	6,313,935.00	6,385,000.00	6,390,298.12	(76,363.12	)	(3,173.62	)	—	—	1.6000	1.6110	Feb-Aug	36,607.33	102,160.00		20160817	20190822
49327M2G8	KEY BANK NATIONAL ASSOCIATION SENIOR COR			1FE	503,925.00	498,690.00	500,000.00	503,489.04	(4,799.04	)	(435.96	)	—	—	2.2500	1.9251	Mar-Sep	3,281.25	(156.25	)	20170919	20200316
49327M2Q6	KEY BANK NATIONAL ASSOCIATION SENIOR COR			1FE	992,860.00	994,660.04	1,000,000.00	994,348.13	311.91		1,364.56		—	—	2.5000	2.6539	May-Nov	2,708.33	25,000.00		20161123	20211122
BRSP750D8	KEY SAFETY SYSTEMS INC SENIOR SECURED TE		4		1,175,640.88	1,179,664.18	1,179,664.18	1,177,484.11	2,180.07		594.24		—	—	—	0.0712	M-J-S-D	—	67,415.85		20140725	20210829
493267AK4	KEYCORP CAPSEC CORP BND		2	3FE	3,300,000.00	3,407,250.00	3,300,000.00	3,300,000.00	107,250.00		—		—	—	5.0000	5.0000	M-J-S-D	7,333.33	165,000.00		20160906	20491231
BRT1YUAX0	KFC HOLDING CO/PIZZA HUT HOLDI SENIOR SE			3FE	896,778.16	905,603.54	901,284.58	897,733.15	7,870.39		1,092.15		—	—	—	0.0714	M-J-S-D	—	67,252.99		20160602	20230616
49407QAE8	KILIMANJARO II RE LTD CORP BND 144A	D			250,000.00	245,625.00	250,000.00	250,000.00	(4,375.00	)	—		—	—	8.7294	8.8244	J-A-J-O	5,455.90	45,692.39		20170406	20220421
49407QAF5	KILIMANJARO II RE LTD CORP BND 144A	D			562,000.00	558,459.40	562,000.00	562,000.00	(3,540.60	)	—		—	—	7.2294	7.2946	J-A-J-O	10,157.36	84,158.70		20170406	20220421
49407QAC2	KILIMANJARO II RE LTD SENIOR CORP BND 14	D			1,000,000.00	994,700.00	1,000,000.00	1,000,000.00	(5,300.00	)	—		—	—	7.2094	7.2743	J-A-J-O	18,023.60	149,165.81		20170406	20210420
49407QAA6	KILIMANJARO II RE LTD SENIOR CORP BND 14	D			2,000,000.00	1,910,800.00	2,000,000.00	2,000,000.00	(89,200.00	)	—		—	—	11.2094	11.3663	J-A-J-O	56,047.20	105,495.56		20170406	20210420
49407QAB4	KILIMANJARO II RE LTD SENIOR CORP BND 14	D			1,375,000.00	1,354,402.50	1,375,000.00	1,375,000.00	(20,597.50	)	—		—	—	8.7094	8.8041	J-A-J-O	29,938.70	248,036.63		20170406	20210420
49407QAD0	KILIMANJARO II RE LTD SENIOR CORP BND 14	D			375,000.00	355,931.25	375,000.00	375,000.00	(19,068.75	)	—		—	—	11.2294	11.3866	J-A-J-O	10,527.60	40,922.54		20170406	20220421
494074AG2	KILIMANJARO RE LIMITED CORP BND 144A	D			500,000.00	501,135.00	500,000.00	500,000.00	1,135.00		—		—	—	7.8187	7.8962	J-A-J-O	9,663.71	36,691.81		20151110	20191206
494074AF4	KILIMANJARO RE LIMITED CORP BND 144A	D			500,000.00	496,135.00	500,000.00	500,000.00	(3,865.00	)	—		—	—	10.3187	10.4538	J-A-J-O	12,753.98	49,316.09		20151110	20191206
494074AE7	KILIMANJARO RE LIMITED CORP BND 144A	D		3	10,616,900.00	10,772,996.50	10,675,000.00	10,648,849.25	124,147.25		12,724.80		—	—	4.6127	4.7260	J-A-J-O	128,646.35	459,519.18		20141107	20191125
494368BT9	KIMBERLY-CLARK CORPORATION SENIOR CORP B		1	1FE	2,064,876.10	2,049,946.23	2,065,000.00	2,064,952.04	(15,005.81	)	45.38		—	—	1.4000	1.4021	Feb-Aug	10,921.56	34,850.48		20160217	20190215
494550AY2	KINDER MORGAN ENERGY PARTNERS CORP BND			2FE	317,283.00	301,341.00	300,000.00	301,444.04	(103.04	)	(48,456.28	)	—	—	5.9500	1.9748	Feb-Aug	6,743.33	98,175.00		20160818	20180215
494550BE5	KINDER MORGAN ENERGY PARTNERS CORP BND		1	2FE	2,151,835.00	2,129,559.95	2,000,000.00	2,120,795.14	8,764.81		(23,982.69	)	—	—	5.3000	3.2810	Mar-Sep	31,211.12	49,761.11		20160803	20200915
494550BM7	KINDER MORGAN ENERGY PARTNERS SENIOR COR		1	2FE	994,820.00	1,005,190.06	1,000,000.00	996,513.18	8,676.88		610.98		—	—	3.4500	3.5250	Feb-Aug	13,033.34	34,500.00		20150224	20230215
494550BT2	KINDER MORGAN ENERGY PARTNERS SENIOR COR		1		4,071,320.00	4,070,360.12	4,000,000.00	4,070,637.90	(277.78	)	(682.10	)	—	—	3.5000	2.8728	Mar-Sep	46,666.66	(42,777.78	)	20171219	20210301
494550BS4	KINDER MORGAN ENERGY PARTNERS SENIOR COR		1	2FE	1,035,360.00	1,036,759.95	1,000,000.00	1,035,209.40	1,550.55		(150.60	)	—	—	4.1500	3.4778	Feb-Aug	17,291.67	(16,138.89	)	20171219	20240201
28336LBR9	KINDER MORGAN HOLDCO LLC CORP BND			2FE	2,428,386.40	2,182,714.40	2,140,000.00	2,176,731.84	5,982.56		(86,785.81	)	—	—	7.2500	3.0493	Jun-Dec	12,929.17	155,150.00		20141231	20180601
49456BAE1	KINDER MORGAN HOLDCO LLC SENIOR CORP BND		1	2FE	757,357.50	756,570.00	750,000.00	757,157.89	(587.89	)	(199.61	)	—	—	3.0500	2.5136	Jun-Dec	1,906.25	(762.50	)	20171211	20191201
BRT8DY6Q0	KINETIC CONCEPTS INC / KCI USA TERM LOAN		2	4FE	1,468,937.75	1,468,510.76	1,476,261.13	1,469,821.92	(1,311.16	)	1,007.32		—	—	—	0.0708	M-J-S-D	—	65,524.63		20170301	20240202
496026KV6	KINGS LOC SCH DIST OHIO MUNITAX BND GO			1FE	1,250,394.50	1,184,874.90	1,165,000.00	1,184,319.46	555.44		(20,744.46	)	—	—	3.7500	1.9121	Jun-Dec	3,640.63	43,687.50		20140930	20181201
482485AL3	KKR_13-2A ABS 13-2A	D	4		1,000,000.00	1,000,605.60	1,000,000.00	1,000,000.00	605.60		—		—	—	3.3290	3.3411	J-A-J-O	6,288.11	33,290.00		20160715	20260123
482485AC3	KKR_13-2A ABS 13-2A 144A	D	4	1FE	1,516,800.00	1,599,952.64	1,600,000.00	1,554,756.34	45,196.30		11,452.27		—	—	3.1625	4.0263	J-A-J-O	9,838.89	46,869.73		20141016	20260123
48251BAA8	KKR_16--16 ABS 16--16 144A	D	4		2,500,000.00	2,520,437.50	2,500,000.00	2,500,000.00	20,437.50		—		—	—	2.8526	2.8611	J-A-J-O	14,461.15	57,205.83		20161122	20290120
48250RBA3	KKR_17-12 ABS_17-12-CR 144A	D	4		500,000.00	498,855.90	500,000.00	500,000.00	(1,144.10	)	—		—	—	3.4092	3.4228	J-A-J-O	3,645.92	2,841.25		20170720	20270715
BRSR6YBN8	KOMMUNALBANKEN AS SENIORCORPBND	D			794,000.00	791,936.00	800,000.00	794,266.81	(2,330.81	)	266.81		—	—	1.6250	1.9854	Jan-Jul	5,994.44	(4,766.67	)	20171122	20200115
BRSYEDRW3	KOMMUNEKREDIT SENIOR CORP BND	D		1FE	5,631,863.50	5,621,862.94	5,650,000.00	5,643,625.80	(21,762.86	)	6,040.68		—	—	1.5000	1.6040	January	81,454.17	84,750.00		20160106	20190115
K5813LQ91	KOMMUNEKREDIT SENIOR CORP BND EMTN	D			1,345,261.50	1,341,022.49	1,350,000.00	1,346,770.28	(5,747.79	)	1,508.78		—	—	1.7500	1.8629	January	22,968.75	—		20170104	20200110
50076QAX4	KRAFT FOODS GROUP INC SENIOR CORP BND			2FE	829,047.50	769,335.00	750,000.00	769,338.27	(3.27	)	(29,547.96	)	—	—	6.1250	2.1040	Feb-Aug	16,333.33	45,937.50		20150708	20180823
50076QAU0	KRAFT FOODS GROUP INC SENIOR CORP BND			2FE	1,494,018.00	1,430,176.65	1,350,000.00	1,429,538.01	638.64		(46,752.69	)	—	—	5.3750	2.4890	Feb-Aug	28,420.31	112,606.25		20160310	20200210

423074AS2	KRAFT HEINZ FOODS CO SECURED CORP BND 14		1	2FE	1,210,375.00	1,215,779.93	1,150,000.00	1,194,944.41	20,835.52		(20,738.69	)	—	—	4.8750	4.0199	Feb-Aug	21,179.17	169,988.54		20151216	20250215
50077LAH9	KRAFT HEINZ FOODS CO SENIOR CORP BND		1	2FE	3,972,275.00	3,921,684.28	3,900,000.00	3,959,226.68	(37,542.40	)	(13,048.32	)	—	—	2.8000	2.1512	Jan-Jul	54,296.66	5,981.12		20170601	20200702
BRSUVV3T5	KREDITANSTALT FUER WIEDERAUFBA SENIOR CO	B			2,376,399.34	2,487,407.35	1,800,000.00	2,363,172.44	(14,573.96	)	(13,226.90	)	—	138,808.87	1.6250	0.4794	June	22,765.12	(2,457.39	)	20170627	20200605
500769HN7	KREDITANSTALT FUER WIEDERAUFBA SENIOR CO	D		1FE	3,942,728.00	3,915,437.50	3,950,000.00	3,943,291.54	(27,854.04	)	563.54		—	—	1.5000	1.5241	Mar-Sep	19,914.58	(2,900.00	)	20170823	20190909
500769GV0	KREDITANSTALT FUER WIEDERAUFBA SENIOR CO	D			7,880,171.00	7,863,660.08	7,900,000.00	7,892,805.74	(29,145.66	)	6,447.45		—	—	1.5000	1.5840	Feb-Aug	47,729.17	118,500.00		20160105	20190206
500769GA6	KREDITANSTALT FUER WIEDERAUFBA SENIOR CO	D		1FE	5,026,300.00	4,995,000.10	5,000,000.00	5,014,559.85	(19,559.75	)	(13,584.50	)	—	—	1.8750	1.6381	Apr-Oct	23,437.50	116,145.83		20161219	20190401
D3S97E4M2	KREDITANSTALT FUER WIEDERAUFBA SENIOR CO	B		1FE	8,722,318.72	9,219,209.21	6,750,000.00	8,678,686.54	(1,901.05	)	(41,197.73	)	—	542,423.74	1.1250	0.9810	December	2,532.93	91,100.09		20160422	20191223
500769HC1	KREDITANSTALT FUER WIEDERAUFBA SENIOR CO	D		1FE	12,282,657.00	12,135,672.13	12,300,000.00	12,289,651.30	(153,979.17	)	5,820.62		—	—	1.2500	1.2990	Mar-Sep	38,864.59	145,635.41		20161012	20190930
501044DH1	KROGER CO (THE) SENIOR CORP BND		1	2FE	1,999,620.00	1,992,879.94	2,000,000.00	1,999,656.53	(6,776.59	)	36.53		—	—	2.8000	2.8040	Feb-Aug	24,422.22	—		20170717	20220801
48274MAR0	KVK CLO LTD KVK_14-2A ABS 14-2A-CR 144A		4		500,000.00	499,693.05	500,000.00	500,000.00	(306.95	)	—		—	—	3.9092	3.9277	J-A-J-O	4,179.87	9,557.59		20170404	20260715
482739AH2	KVK_13-1A MEZZANINABS13-1A144A	D	4		2,000,000.00	1,995,364.40	2,000,000.00	2,000,000.00	(4,635.60	)	—		—	—	3.4595	3.4738	J-A-J-O	3,459.51	(20,028.86	)	20171206	20280115
482739AG4	KVK_13-1A MEZZANINABS13-1A144A	D	4		2,000,000.00	1,997,881.80	2,000,000.00	2,000,000.00	(2,118.20	)	—		—	—	2.9095	2.9194	J-A-J-O	3,071.15	(14,391.63	)	20171206	20280115
491552ZL2	KY ST TPK AUTH ECONOMIC MUNI BND REV		2	1FE	2,344,460.00	2,276,120.00	2,000,000.00	2,226,079.29	50,040.71		(37,555.03	)	—	—	5.0000	2.7700	Jan-Jul	50,000.00	100,000.00		20140930	20280701
BRSMB8NV9	LA QUINTA INTERMEDIATE HOLDING SENIOR SE		4	4FE	709,202.24	738,292.80	734,924.64	718,603.19	19,689.61		5,168.30		—	—	—	0.6755	F-M-A-N	—	31,129.84		20160120	20210414
50540RAT9	LABORATORY CORP OF AMER HLDGS SENIOR COR		1	2FE	1,446,737.50	1,450,174.01	1,450,000.00	1,446,891.64	3,282.37		154.14		—	—	3.2500	3.2860	Mar-Sep	16,886.46	—		20170815	20240901
50540RAR3	LABORATORY CORP OF AMER HLDGS SENIOR COR		1	2FE	2,147,592.00	2,154,901.94	2,150,000.00	2,148,958.80	5,943.14		479.75		—	—	2.6250	2.6490	Feb-Aug	23,515.63	56,437.50		20150121	20200201
BRTB39945	LAN_17-1X ABS_17-1X-1A	B	4		1,266,100.00	1,355,021.67	1,000,000.00	1,266,100.00	2,271.67		—		—	86,650.00	0.9426	0.9429	F-M-A-N	1,397.42	3,957.85		20170622	20691222
BRT3JTAJ7	LAN_2016-1 RMBS_2016 1A	B	4		582,627.40	599,971.33	440,800.00	582,627.40	3,679.13		—		—	13,664.80	1.5226	1.5234	F-M-A-N	994.99	8,567.35		20160721	20541222
BRT8779Y6	LANDESBANK BADEN-WUERTTEMBERG SECURED CO	D			2,995,590.00	2,985,420.00	3,000,000.00	2,996,910.24	(11,490.24	)	1,320.24		—	—	2.1250	2.1644	January	58,614.58	—		20170124	20200131
BRSRYF745	LAZER SPOT INC New Term 1 Loan				2,829,969.47	2,787,519.93	2,829,969.47	2,829,969.47	(42,449.54	)	—		—	—	—	—	F-M-A-N	—	81,055.82		20150224	20210209
BRSVAW935	LAZER SPOT MERGER SUB, INC Delayed Draw				382,123.75	376,391.89	382,123.75	382,123.75	(5,731.86	)	—		—	—	—	—	M-J-S-D	—	60,932.08		20150817	20210209
52349HAN3	LEE CNTY FLA HSG FIN AUTH SING MUNITAX B		2	1FE	190,524.40	190,530.10	190,000.00	190,000.00	530.10		—		—	—	7.2700	7.2700	Jun-Dec	1,151.08	13,813.00		20140930	20211201
G5421NAB8	LEEDS BUILDG STY SECURED CORP BND EMTN	B		1FE	3,700,371.48	3,659,399.83	2,431,000.00	3,664,207.62	(6,162.65	)	(36,163.86	)	—	1,354.86	4.8750	0.8190	November	20,204.21	24,587.36		20170919	20201116
854403AC6	LELAND STANFORD JR UNIV CALIF MUNI BND R			1FE	4,157,579.00	3,823,431.97	3,700,000.00	3,837,195.51	(13,763.54	)	(100,814.50	)	—	—	4.7500	1.9151	May-Nov	29,291.67	175,750.00		20140930	20190501
526107AD9	LENNOX INTL INC. SENIOR CORP BND		1	2FE	466,733.81	462,586.85	467,000.00	466,777.20	(4,190.35	)	48.32		—	—	3.0000	3.0089	May-Nov	1,790.17	19,638.16		20161025	20231115
BRT8KLG22	LEVEL 3 FINANCING INC SECURED TERM LOAN			3FE	1,416,203.71	1,419,161.06	1,419,753.09	1,416,587.15	2,573.91		383.44		—	—	—	0.0358	M-J-S-D	—	30,743.33		20170217	20240222
BRTB63CS8	LION II RE DAC SENIOR CORP BOND	B			348,775.90	376,087.19	313,000.00	348,775.90	236.79		—		—	27,074.50	3.0000	3.0000	J-A-J-O	2,411.71	9,502.10		20170621	20210715
BRTDRR9J2	LIONS GATE ENTERTAINMENT CORP SENIOR SEC	A	2	3FE	1,045,955.33	1,047,189.16	1,046,752.67	1,045,962.97	1,226.19		80.12		—	—	—	0.0708	M-J-S-D	—	2,102.18		20171211	20231208
BRTE7TXB8	LJSSACQUISITIONINC SENIOR SECURED TERM L				906,950.25	914,925.94	911,507.79	906,971.68	7,954.26		21.43		—	—	—	0.0709	M-J-S-D	—	—		20171207	20241207
BRSSFUR31	LLOYDS BANK PLC SECURED LOCAL BND	B			753,654.45	832,931.46	600,000.00	750,944.77	7,313.35		(2,709.68	)	—	74,673.35	1.7500	1.3257	March	10,740.47	2,371.47		20170119	20220331
BRT7Y5WB6	LLOYDS BANK PLC SECURED LOCAL BND	B		1FE	971,520.00	1,085,857.84	800,000.00	971,520.00	3,657.84		—		—	110,680.00	0.6788	0.6788	J-A-J-O	1,544.60	4,855.99		20170109	20200116
BRSNXV8E7	LLOYDS BANK PLC SENIOR CORP BND EMTN	B		1FE	1,791,349.03	1,860,246.53	1,350,000.00	1,753,925.18	2,356.18		(32,495.07	)	—	103,965.17	2.7500	0.9938	Jun-Dec	3,173.30	49,642.90		20160920	20181209
53944YAC7	LLOYDS TSB GROUP PLC SENIOR CORP BND	D		1FE	1,413,534.85	1,421,692.95	1,415,000.00	1,414,171.29	7,521.66		636.44		—	—	3.0000	3.0741	Jan-Jul	20,045.83	16,641.67		20170104	20220111
50208XAA0	LMC_15-CRE1 SENIOR CMBS 15-CRE1 A 144A		4		4,000,000.00	4,020,000.00	4,000,000.00	4,000,000.00	20,000.00		—		—	—	3.2849	3.3072	Monthly	5,109.81	113,825.02		20150128	20320222

539830BF5	LOCKHEED MARTIN CORPORATION SENIOR CORP		1	2FE	3,464,480.30	3,404,099.56	3,380,000.00	3,437,361.51	(33,261.95	)	(18,192.13	)	—	—	2.5000	1.9281	May-Nov	8,919.43	76,033.33		20160607	20201123
539830BJ7	LOCKHEED MARTIN CORPORATION SENIOR CORP		1	2FE	109,811.90	109,799.80	110,000.00	109,942.96	(143.16	)	62.83		—	—	1.8500	1.9089	May-Nov	214.81	2,035.00		20151116	20181123
539830AT6	LOCKHEED MARTIN CORPORATION SENIOR CORP			2FE	1,446,437.20	1,402,375.38	1,352,000.00	1,412,942.81	(10,567.43	)	(31,961.52	)	—	—	4.2500	1.7879	May-Nov	7,342.11	58,764.51		20161207	20191115
542799AC5	LONGPOINT RE III LTD CORP BND 144A	D			775,000.00	779,332.25	775,000.00	775,000.00	4,332.25		—		—	—	3.5000	3.5137	F-M-A-N	3,390.63	66,666.05		20150507	20210523
544445BZ1	LOS ANGELES CALIF DEPT ARPTS A MUNIBNDRE		2	1FE	582,810.00	587,640.00	500,000.00	581,966.89	5,673.11		(843.11	)	—	—	5.0000	2.7900	May-Nov	3,194.44	(833.33	)	20171122	20350515
54714CBC0	LOVE FIELD AIRPORT MODERNIZATI MUNI BND		2	1FE	1,455,862.50	1,486,325.00	1,250,000.00	1,441,595.05	44,729.95		(14,267.45	)	—	—	5.0000	3.0104	May-Nov	10,416.67	36,979.16		20170323	20271101
54910TAA0	LSTAR_17-5 PRELCF SENIOR CMBS 17-5 144A		4	1FE	424,744.84	422,650.05	424,752.58	424,726.01	(2,075.96	)	(18.84	)	—	—	2.4170	2.3989	Monthly	855.53	6,888.79		20170324	20500310
BRTADDMC4	LTI HOLDINGS INC SENIOR SECURED TERM LOA				1,594,505.41	1,615,979.69	1,610,611.52	1,595,895.97	20,083.72		1,471.50		—	—	—	0.1420	M-J-S-D	—	58,406.77		20170517	20240516
BRT97WJM4	LUMILEDS HOLDING BV SENIOR SECURED TERM	D		4FE	650,141.00	656,419.16	652,612.48	650,292.32	6,126.84		163.74		—	—	—	0.0707	M-J-S-D	—	23,146.81		20170317	20240630
575718AC5	MA INSTITUTE OF TECH CORP BND		1	1FE	1,018,330.00	999,121.00	1,000,000.00	1,006,019.19	(6,898.19	)	(3,931.50	)	—	—	2.0510	1.6431	Jan-Jul	10,255.00	20,510.00		20141021	20190701
BRT9D4G34	MACDERMID INCORPORATED SENIOR SECURED TE			4FE	990,936.50	1,000,493.88	995,516.30	991,439.09	9,054.79		888.65		—	—	—	0.0745	M-J-S-D	—	31,720.76		20170501	20230607
56040PAT5	MAINE EDL LN AUTH MUNI BND REV			1FE	1,955,403.45	1,803,701.25	1,755,000.00	1,800,825.62	2,875.63		(69,406.24	)	—	—	5.5000	2.5919	Jun-Dec	8,043.75	109,271.24		20140930	20181201
563469UH6	MANITOBA PROVINCE OF SENIOR CORP BND	A			3,008,460.00	2,977,110.00	3,000,000.00	3,006,418.10	(29,308.10	)	(2,041.90	)	—	—	2.0500	1.9740	May-Nov	5,295.83	54,495.83		20170106	20201130
563469UM5	MANITOBA PROVINCE OF SENIORLOCALBND				463,940.00	472,826.53	600,000.00	464,203.80	(1,380.46	)	263.80		—	10,003.19	1.1500	1.6765	May-Nov	623.72	(14.77	)	20171120	20191121
563469TV7	MANITOBA PROVINCE OF UNSEC CORP BND	A		1FE	4,515,975.00	4,479,390.00	4,500,000.00	4,508,036.69	(28,646.69	)	(5,581.28	)	—	—	1.7500	1.6518	May-Nov	6,781.25	78,750.00		20160316	20190530
55279HAJ9	MANUFACTURERS AND TRADERS TRUS SENIOR CO		2	1FE	246,135.00	248,965.00	250,000.00	247,938.15	1,026.85		945.80		—	—	2.1000	2.5061	Feb-Aug	2,114.58	5,250.00		20160122	20200206
565849AK2	MARATHON OIL CORP SENIOR CORP BND		1	2FE	3,724,583.00	3,755,046.04	3,800,000.00	3,731,944.97	23,101.07		7,361.97		—	—	2.8000	3.2630	May-Nov	17,733.33	42,027.22		20170601	20221101
BRSX2BJ84	MARCO INC DDTL				1,207,634.53	1,198,577.27	1,207,634.53	1,207,634.53	(9,057.26	)	—		—	—	—	—	M-J-S-D	—	65,673.97		20160125	20211029
BRSX2BJ50	MARCO INC Term Loan A				3,604,559.76	3,577,525.56	3,604,559.76	3,604,559.76	(27,034.20	)	—		—	—	—	—	M-J-S-D	—	202,310.08		20151030	20211030
BRTEAT4K6	MARKET RE LTD	D			10,000,000.00	10,000,000.00	10,000,000.00	10,000,000.00	—		—		—	—	8.0000	8.0000	At Mat	40,000.00	—		20171211	20180731
BRTAS4MZ7	MARKET TRACK LLC Term Loan				6,584,558.82	6,584,558.82	6,584,558.82	6,584,558.82	—		—		—	—	—	—	M-J-S-D	—	238,585.41		20170605	20240605
571903AR4	MARRIOTT INTERNATIONAL INC SENIOR CORP B		1	2FE	4,377,806.35	4,326,018.40	4,405,000.00	4,382,019.43	(56,001.03	)	2,728.32		—	—	2.3000	2.3789	Jan-Jul	46,717.46	86,689.26		20160607	20220115
571903AM5	MARRIOTT INTERNATIONAL INC SENIOR CORP B		1		380,943.75	379,511.26	375,000.00	380,765.19	(1,253.93	)	(178.56	)	—	—	3.1250	2.6669	Apr-Oct	2,473.96	(1,139.32	)	20171116	20211015
571903AN3	MARRIOTT INTERNATIONAL INC SENIOR CORP B		1	2FE	1,017,200.00	1,006,049.96	1,000,000.00	1,015,275.28	(9,225.32	)	(1,924.72	)	—	—	2.8750	2.3579	Mar-Sep	9,583.33	2,395.83		20170726	20210301
575831CJ9	MASSACHUSETTS ST COLLEGE BLDG MUNI BND R		2	1FE	1,103,611.60	1,074,791.90	910,000.00	1,068,208.72	6,583.18		(19,515.71	)	—	—	5.0000	2.3996	May-Nov	7,583.33	45,500.00		20160225	20310501
57584XXT3	MASSACHUSETTS ST DEV FIN AGY MUNI BND RE			1FE	51,497.60	48,884.80	40,000.00	50,006.15	(1,121.35	)	(1,245.97	)	—	—	5.0000	1.4805	Jan-Jul	922.23	1,472.23		20161006	20250715
57584X8F1	MASSACHUSETTS ST DEV FIN AGY MUNIBNDREV			1FE	411,208.00	410,858.00	350,000.00	411,134.10	(276.10	)	(73.90	)	—	—	5.0000	2.1101	Jan-Jul	145.84	—		20171215	20240701
57587ABR8	MASSACHUSETTS ST HSG FIN AGY MUNITAX BND			1FE	497,465.00	499,050.00	500,000.00	499,023.63	26.37		490.34		—	—	2.6080	2.7134	Jun-Dec	1,086.67	13,040.00		20140930	20191201
576049CK4	MASSACHUSETTS ST WTR RES AUTH MUNI BND R		4	1FE	846,185.90	771,782.75	745,000.00	779,288.42	(7,505.67	)	(59,458.20	)	—	—	6.5000	3.4026	Jan-Jul	22,329.31	81,575.00		20140930	20190715
BRT9MSWG4	MAXLINEAR INC SECURED TERM LOAN			3FE	272,596.91	274,994.11	273,966.73	272,715.59	2,278.52		437.39		—	—	—	0.0709	M-J-S-D	—	7,273.72		20170413	20240513
58772PAE8	MBART_15-1 ABS_15-1 A4		4	1FE	2,491,503.91	2,490,793.60	2,500,000.00	2,491,796.63	(1,003.03	)	292.72		—	—	1.7500	2.0138	Monthly	1,944.44	121.52		20171212	20211215
610332AW8	MCBSL_15-1A SENIOR ABS 15-1A 144A	D	4	1FE	1,000,000.00	1,003,045.50	1,000,000.00	1,000,000.00	3,045.50		—		—	—	3.1959	3.2085	F-M-A-N	3,551.04	7,832.06		20170815	20270522
579780AM9	MCCORMICK & COMPANY INCORPORAT SENIOR CO		1	2FE	1,638,966.80	1,648,872.28	1,640,000.00	1,639,021.29	9,850.99		54.49		—	—	3.1500	3.1600	Feb-Aug	20,090.00	—		20170809	20240815
58013MEW0	MCDONALDS CORP SENIOR CORP BND		1	2FE	179,911.80	180,212.40	180,000.00	179,971.95	240.45		29.78		—	—	2.1000	2.1170	Jun-Dec	252.00	3,957.63		20151202	20181207

58013MEX8	MCDONALDS CORP SENIOR CORP BND		1	2FE	1,014,270.00	1,010,420.00	1,000,000.00	1,011,210.92	(790.92	)	(2,972.31	)	—	—	2.7500	2.3418	Jun-Dec	1,680.56	28,642.78		20170302	20201209
58013MET7	MCDONALDS CORP SENIOR CORP BND MTN		1	2FE	3,053,370.00	2,994,719.91	3,000,000.00	3,035,677.50	(40,957.59	)	(16,095.32	)	—	—	2.2000	1.6727	May-Nov	6,416.67	71,170.00		20161024	20200526
BRT195N68	MCGRAW-HILL GLOBAL EDUCATION H SENIOR SE			4FE	1,837,616.82	1,839,896.11	1,845,663.81	1,839,499.56	396.55		1,206.18		—	—	—	0.0826	M-J-S-D	—	71,633.23		20160502	20220504
56576VAQ0	MCLO _14-6A ABS_14-6A BR 144A	D	4		1,000,000.00	999,646.20	1,000,000.00	1,000,000.00	(353.80	)	—		—	—	3.7629	3.7802	F-M-A-N	5,121.71	18,176.98		20170503	20250513
56576QAS7	MCLO_13-5A ABS_13-5A-BR144A	D	4		2,000,000.00	1,995,586.60	2,000,000.00	2,000,000.00	(4,413.40	)	—		—	—	3.2907	3.3033	F-M-A-N	7,495.42	—		20171115	20271121
56577AAL6	MCLO_14-7A ABS_14-7A-A2R 144A	D	4	1FE	4,000,000.00	4,032,931.20	4,000,000.00	4,000,000.00	32,931.20		—		—	—	3.0280	3.0391	J-A-J-O	21,195.72	59,487.51		20170412	20251028
59980AAA5	MCMLT_17-2 RMBS_17-2-A1 144A		4	1FE	432,210.66	428,079.33	428,247.07	431,804.07	(3,724.74	)	(1,070.70	)	—	—	2.7500	2.2267	Monthly	981.40	5,744.18		20170612	20590725
BRTDCHD48	MEDIACOM BROADBAND GROUP SENIOR SECURED		2		462,942.89	464,101.70	463,522.30	462,954.80	1,146.90		15.68		—	—	—	0.0172	M-J-S-D	—	2,593.39		20171026	20250115
BRT851X81	MEDIACOM LLC SENIOR SECURED TERM LOAN			3FE	1,615,333.92	1,609,970.64	1,606,957.59	1,606,151.34	3,819.30		(14,500.08	)	—	—	—	0.0354	M-J-S-D	—	64,919.68		20170120	20240215
585055BG0	MEDTRONIC INC SENIOR CORP BND		1	1FE	11,511,034.95	11,297,915.78	11,235,000.00	11,392,317.46	(94,401.68	)	(68,536.70	)	—	—	2.5000	1.9491	Mar-Sep	82,702.07	276,013.89		20160307	20200315
585055BR6	MEDTRONIC INC SENIOR CORP BND			1FE	519,650.00	511,730.01	500,000.00	514,073.99	(2,343.98	)	(3,144.09	)	—	—	3.1500	2.4409	Mar-Sep	4,637.50	15,750.00		20160315	20220315
585055BA3	MEDTRONIC INC SENIOR CORP BND		1	1FE	1,048,425.00	1,047,343.50	1,050,000.00	1,049,919.89	(2,576.39	)	507.96		—	—	1.3750	1.4061	Apr-Oct	3,609.38	31,262.15		20130319	20180401
585055BS4	MEDTRONIC INC SENIOR CORP BND		1	1FE	777,493.21	779,279.99	750,000.00	771,481.17	7,798.82		(2,629.44	)	—	—	3.5000	3.0539	Mar-Sep	7,729.17	26,250.00		20150902	20250315
BRT8482F5	MEG ENERGY CORP SECURED TERM LOAN	A		3FE	2,079,574.05	2,084,194.59	2,083,544.52	2,080,100.26	4,094.33		553.96		—	—	—	0.0357	M-J-S-D	—	83,195.70		20170123	20231231
58769BAE4	MERCEDES-BENZ AUTO RECEIVABLES SENIOR AB		4	1FE	2,769,384.51	2,725,292.87	2,770,000.00	2,769,570.76	(44,277.89	)	145.38		—	—	1.4600	1.4699	Monthly	1,797.42	41,753.49		20160909	20221215
58769BAF1	MERCEDES-BENZ AUTO RECEIVABLES SENIOR AB		4	1FE	330,111.37	329,886.12	330,125.00	330,118.41	(232.29	)	51.40		—	—	1.1100	1.1149	Monthly	162.86	13,565.71		20160909	20190315
58933YAG0	MERCK & CO INC SENIOR CORP BND		1	1FE	2,578,421.15	2,580,605.50	2,585,000.00	2,584,417.35	(3,811.85	)	2,007.44		—	—	1.3000	1.3480	May-Nov	4,013.93	50,295.92		20130515	20180518
58933YAS4	MERCK & CO INC SENIOR CORP BND		1	1FE	1,133,285.35	1,129,166.10	1,135,000.00	1,134,243.11	(5,077.01	)	402.56		—	—	1.8500	1.9030	Feb-Aug	8,224.02	27,647.22		20150227	20200210
59012UAA3	MERNA REINSURANCE LTD CORP BND 144A	D			3,062,000.00	3,059,121.72	3,062,000.00	3,062,000.00	(2,878.28	)	—		—	—	3.0500	3.0615	M-J-S-D	778.26	96,022.66		20150316	20180409
59165HAB5	METROCAT RE LTD CORP BND	D			750,000.00	756,892.50	750,000.00	750,000.00	6,892.50		—		—	—	4.6142	5.0360	J-A-J-O	8,132.08	53,107.68		20170515	20200508
592481JW6	METROPOLITAN ST LOUIS MO SWR D MUNIBNDRE		2	1FE	1,389,566.25	1,394,651.25	1,125,000.00	1,388,296.90	6,354.35		(1,269.35	)	—	—	5.0000	2.2106	May-Nov	2,656.25	—		20171206	20290501
59261EAE9	METROPOLITAN TRANS AUTH N Y MUNITAX BND		1	1FE	16,629,940.00	16,629,686.60	16,645,000.00	16,640,110.49	(10,423.89	)	3,183.33		—	—	1.8480	1.9034	Jan-Jul	153,799.80	307,599.60		20140808	20190701
BRT0NP404	MGM RESORTS INTERNATIONAL SENIOR SECURED			3FE	245,010.92	246,458.41	245,625.00	245,158.59	1,299.82		274.78		—	—	—	0.0353	M-J-S-D	—	25,250.70		20160407	20230425
62405QAJ2	MHAWK_13-1A ABS_13-1A C	D	4	1FE	1,203,125.00	1,250,073.50	1,250,000.00	1,224,701.48	25,372.02		6,435.64		—	—	4.0826	4.6856	J-A-J-O	10,348.28	48,334.61		20150211	20240120
59334DHN7	MIAMI DADE CNTY FLA MUNI BND REV		2	1FE	1,146,570.00	1,156,130.00	1,000,000.00	1,098,201.72	57,928.28		(15,375.30	)	—	—	5.0000	3.1200	Apr-Oct	12,500.00	50,000.00		20140930	20281001
59333PZ84	MIAMI DADE CNTY FLA MUNIBNDREV		2	1FE	582,815.00	589,020.00	500,000.00	582,120.06	6,899.94		(694.94	)	—	—	5.0000	3.0401	Apr-Oct	6,250.00	(3,888.89	)	20171122	20371001
BRT56C9J5	MICHAELS STORES INC SENIOR SECURED TERM			3FE	990,433.37	991,505.20	991,711.47	990,686.15	819.05		211.69		—	—	—	—	M-J-S-D	—	109,465.81		20160930	20230130
5946103D7	MICHIGAN STATE OF MUNI BND GO		2	1FE	2,308,400.00	2,061,760.00	2,000,000.00	2,064,122.41	(2,362.41	)	(76,202.81	)	—	—	5.2500	1.3575	May-Nov	17,500.00	105,000.00		20140930	20221101
5946106P7	MICHIGAN STATE OF MUNI BND GO			1FE	1,652,295.00	1,552,230.00	1,500,000.00	1,562,770.29	(10,540.29	)	(33,487.55	)	—	—	3.9900	1.6602	May-Nov	9,975.00	59,850.00		20150408	20191101
594612DJ9	MICHIGAN STATE OF MUNIBNDREV			1FE	2,425,860.00	2,449,120.00	2,000,000.00	2,425,175.71	23,944.29		(684.29	)	—	—	5.0000	2.4101	Mar-Sep	29,444.45	(28,055.55	)	20171221	20270315
594918BG8	MICROSOFT CORP SENIOR CORP BND		1	1FE	1,560,764.00	1,543,738.02	1,550,000.00	1,556,444.87	(12,706.85	)	(3,226.24	)	—	—	2.0000	1.3661	May-Nov	4,994.44	10,222.22		20160824	20201103
594918AV6	MICROSOFT CORP SENIOR CORP BND		1	1FE	646,249.50	648,758.50	650,000.00	649,278.82	(520.32	)	763.98		—	—	1.6250	1.7460	Jun-Dec	733.51	10,562.50		20131203	20181206
594918BA1	MICROSOFT CORP SENIOR CORP BND		1	1FE	1,749,422.50	1,749,230.02	1,750,000.00	1,749,654.69	(424.67	)	82.33		—	—	2.3750	2.3801	Feb-Aug	16,047.74	46,596.18		20150303	20220212
594918AS3	MICROSOFT CORP SENIOR CORP BND			1FE	1,464,077.05	1,461,777.00	1,465,000.00	1,464,937.37	(3,160.37	)	250.09		—	—	1.0000	1.0130	May-Nov	2,441.67	20,582.50		20130425	20180501

594918BN3	MICROSOFT CORP SENIOR CORP BND		1	1FE	4,295,571.00	4,242,552.04	4,300,000.00	4,297,614.70	(55,062.66	)	1,576.50		—	—	1.1000	1.1350	Feb-Aug	18,788.61	57,520.83		20160801	20190808
594918BV5	MICROSOFT CORP SENIOR CORP BOND		1	1FE	3,572,604.75	3,558,948.36	3,575,000.00	3,573,311.31	(14,362.95	)	706.56		—	—	1.8500	1.8731	Feb-Aug	26,638.72	33,068.75		20170130	20200206
595620AJ4	MIDAMERICAN ENERGY CO SECURED CORP BND		1	1FE	839,529.60	842,738.43	840,000.00	839,891.43	2,847.00		88.05		—	—	2.4000	2.4110	Mar-Sep	5,936.00	20,160.00		20130912	20190315
BRTBFF211	MISSION BROADCASTING INC. SENIOR SECURED		2	3FE	53,869.23	54,144.90	53,996.41	53,878.08	266.82		9.17		—	—	—	0.0363	M-J-S-D	—	893.41		20170719	20240117
606822AA2	MITSUBISHI UFJ FINANCIAL GRP SENIOR CORP	D		1FE	1,093,720.32	1,105,962.61	1,096,000.00	1,094,519.14	11,443.47		(802.27	)	—	—	2.9500	2.9951	Mar-Sep	10,777.33	39,891.38		20160223	20210301
606822AP9	MITSUBISHI UFJ FINANCIAL GRP SENIOR CORP	D		1FE	945,000.00	935,039.70	945,000.00	945,000.00	(9,960.30	)	—		—	—	2.6650	2.6650	Jan-Jul	10,913.19	3,342.35		20170718	20220725
60687YAF6	MIZUHO FINANCIAL GROUP INC SENIOR CORP B	D		1FE	5,370,521.50	5,382,203.53	5,300,000.00	5,367,132.86	15,070.67		(3,388.64	)	—	—	2.7035	2.7035	M-J-S-D	7,562.21	86,843.29		20160907	20210913
BRT5HV7S3	MOHEGAN TRIBAL GAMING SENIOR SECURED TER			4FE	2,491,779.63	2,535,826.28	2,516,949.16	2,496,037.57	39,788.71		3,780.25		—	—	—	0.1423	M-J-S-D	—	137,983.06		20160930	20231013
60871RAF7	MOLSON COORS BREWING CO SENIOR CORP BND		1	2FE	1,074,591.50	1,053,209.75	1,075,000.00	1,074,709.74	(21,499.99	)	78.56		—	—	2.1000	2.1080	Jan-Jul	10,409.58	23,076.67		20160628	20210715
60871RAE0	MOLSON COORS BREWING CO SENIOR CORP BND		1	2FE	3,148,425.00	3,106,089.10	3,150,000.00	3,149,191.82	(43,102.72	)	516.41		—	—	1.4500	1.4669	Jan-Jul	21,061.25	46,690.00		20160628	20190715
60920LAA2	MONDELEZ INTERNATIONAL HOLDING SENIOR CO	D	1	2FE	1,746,220.00	1,725,534.95	1,750,000.00	1,747,682.76	(22,147.81	)	1,746.78		—	—	1.6250	1.6992	Apr-Oct	4,976.57	42,881.94		20161019	20191028
BRSHTM755	MONEYGRAM INTL INC SENIOR SEC TERM NOTES		4		2,520,761.72	2,598,644.14	2,604,342.44	2,560,307.99	38,336.15		20,002.69		—	—	—	0.0207	M-J-S-D	—	145,145.05		20140331	20200327
61765TAF0	MORGAN STANLEY BAML TRUST MSBA LCF SENIO		4		3,889,746.10	3,901,425.08	3,750,000.00	3,879,639.39	21,785.69		(10,106.71	)	—	—	3.6350	3.1190	Monthly	11,359.36	76,107.73		20170505	20481015
61763KBA1	MORGAN STANLEY BAML TRUST MSBA SENIOR CM		4	1FM	399,726.56	398,167.50	375,000.00	393,032.44	5,135.06		(2,774.92	)	—	—	4.0510	3.1442	Monthly	1,265.93	15,191.16		20150730	20470415
61764PBR2	MORGAN STANLEY BAML TRUST MSBM PRELCF SE		4	1FM	3,392,734.40	3,296,345.24	3,250,000.00	3,345,091.66	(48,746.42	)	(9,270.24	)	—	—	3.1010	2.3181	Monthly	8,398.54	100,782.60		20150325	20471215
61761JQK8	MORGAN STANLEY CAPSEC CORP BND		2	3FE	6,289,665.00	6,414,062.50	6,250,000.00	6,263,616.77	150,445.73		(8,984.19	)	—	—	5.4500	5.3091	Jan-Jul	157,065.97	396,638.89		20140715	20491231
6174467U7	MORGAN STANLEY SENIOR CORP BND			1FE	2,997,870.00	3,001,260.00	3,000,000.00	2,999,860.10	1,399.90		(7,185.24	)	—	—	2.1250	2.1400	Apr-Oct	11,687.50	101,008.46		20130422	20180425
BRT8XRTR6	MORGAN STANLEY SENIOR CORP BND				851,116.29	968,850.95	700,000.00	851,604.68	28,858.11		488.39		—	88,388.17	2.6250	2.6980	March	20,294.02	—		20170306	20270309
61746BDR4	MORGAN STANLEY SENIOR CORP BND			1FE	954,579.00	950,541.42	950,000.00	952,739.67	(2,198.25	)	(1,703.96	)	—	—	2.3750	2.1859	Jan-Jul	9,902.43	22,562.50		20161128	20190723
61746BDJ2	MORGAN STANLEY SENIOR CORP BND		1	1FE	1,555,830.00	1,553,610.07	1,500,000.00	1,555,278.07	(1,668.00	)	(551.93	)	—	—	3.7500	2.9723	Feb-Aug	19,687.50	(16,562.51	)	20171207	20230225
61744YAH1	MORGAN STANLEY SENIOR CORP BND			1FE	5,064,674.00	5,029,799.91	5,050,000.00	5,063,578.35	(33,778.44	)	(1,095.65	)	—	—	2.7500	2.6691	May-Nov	16,202.08	30,414.23		20170808	20220519
61746BDM5	MORGAN STANLEY SENIOR CORP BND			1FE	7,885,197.50	7,769,451.88	7,750,000.00	7,813,694.47	(44,242.59	)	(60,693.18	)	—	—	2.5000	1.7145	Jan-Jul	84,496.52	202,500.00		20160616	20190124
61746BEF9	MORGAN STANLEY SENIOR CORP BND		1	1FE	247,497.50	255,800.01	250,000.00	247,697.10	8,102.91		199.60		—	—	3.6250	3.7459	Jan-Jul	4,052.95	4,531.25		20170117	20270120
61746BED4	MORGAN STANLEY SENIOR CORP BND			1FE	4,113,870.15	4,114,738.58	4,135,000.00	4,118,377.10	(3,638.52	)	4,013.16		—	—	2.6250	2.7350	May-Nov	13,266.46	108,543.76		20161114	20211117
61747YDW2	MORGAN STANLEY SENIOR CORP BND			1FE	2,919,776.00	2,912,847.23	2,900,000.00	2,912,131.95	715.28		(3,009.62	)	—	—	2.6500	2.5911	Jan-Jul	32,874.73	40,412.49		20150225	20200127
61744YAJ7	MORGAN STANLEY SENIOR CORP BND		2	1FE	9,420,158.35	9,480,146.32	9,405,000.00	9,418,935.24	61,211.08		(1,223.11	)	—	—	2.2925	2.2202	J-A-J-O	42,523.01	42,245.74		20170719	20220722
61761JB32	MORGAN STANLEY SENIOR CORP BND			1FE	3,700,554.00	3,736,492.42	3,705,000.00	3,702,738.39	33,754.03		877.21		—	—	2.8000	2.8259	Jun-Dec	4,322.49	103,740.00		20150611	20200616
61746BEA0	MORGAN STANLEY SENIOR CORP BND			1FE	699,225.50	697,409.98	700,000.00	699,641.66	(2,231.68	)	216.35		—	—	2.5000	2.4161	Apr-Oct	3,402.78	12,638.89		20160418	20210421
6174468B8	MORGAN STANLEY SENIOR CORP BND			1FE	989,237.70	990,574.20	990,000.00	989,791.19	783.01		219.55		—	—	2.2000	2.2230	Jun-Dec	1,452.00	21,780.00		20150603	20181207
61761J3R8	MORGAN STANLEY SENIOR CORP BND MTN		1	1FE	1,145,760.00	1,132,876.53	1,150,000.00	1,146,315.08	(13,438.55	)	802.72		—	—	3.1250	3.2050	Jan-Jul	15,373.26	69,014.75		20160720	20260727
6174824M3	MORGAN STANLEY SUB CORP BND			2FE	5,929,440.00	5,933,015.06	5,500,000.00	5,769,087.60	163,927.46		(49,912.46	)	—	—	4.8750	3.7580	May-Nov	44,687.50	268,125.00		20140819	20221101
6174467X1	MORGAN STANLEY SUB CORP BND			2FE	1,091,287.28	1,076,188.36	983,000.00	1,067,483.80	8,704.56		(12,940.92	)	—	—	5.0000	3.7330	May-Nov	5,051.53	75,829.73		20150408	20251124
BRSJV1000	MORGAN'S POINT LIMITED				25,000,000.00	25,000,000.00	25,000,000.00	25,000,000.00	—		—		—	—	6.0000	—	NOV	—	—		20151112	20181231
61691NAE5	MORGANSTANLEYCAPITALITRUST LCFSENIORCMBS		4	1FE	1,637,602.85	1,639,678.28	1,590,000.00	1,637,382.05	2,296.23		(220.80	)	—	—	3.5870	2.9580	Monthly	4,752.78	(3,326.94	)	20171212	20501215

BRSRP3A63	MOTOR_15 -1X ABS 2015-1X A2		4	1FE	178,727.64	157,323.65	116,275.87	178,727.64	31.46		(1.57	)	—	(21,435.46	)	0.9706	0.9725	Monthly	20.94	3,352.02	20150220	20220625
G632A6AD0	MOTOR_16-1 ABS_16-1-A	B	4	1FE	2,276,126.72	2,351,621.41	1,735,000.00	2,271,222.16	(15,401.53	)	(4,904.56	)	—	95,800.78		1.3000	0.9018	Monthly	417.96	17,574.38	20170523	20251125
BRTCGBWE6	MOTOR_17-1 ABS_17-1X A2	B	4		661,500.00	681,931.49	500,000.00	661,500.00	5,556.49		—		—	14,875.00		0.9431	0.9417	Monthly	122.19	1,454.31	20170913	20240925
55320RAA5	MP7_15-1A SENIORABS15-1AR144A	D	4	1FE	500,000.00	499,639.55	500,000.00	500,000.00	(360.45	)	—		—	—		—	—	J-A-J-O	—	—	20171221	20270418
55320RAC1	MPCLOVIILTDMP7_15-1A MEZZANINABS15-1A144	D	4		250,000.00	249,561.95	250,000.00	250,000.00	(438.05	)	—		—	—		—	—	J-A-J-O	—	—	20171221	20270418
61762DAU5	MSBAM_13-C9 SENIOR CMBS 13-C9 AAB		4		9,567,471.88	9,260,291.03	9,220,000.00	9,451,191.68	(190,900.65	)	(84,282.50	)	—	—		2.6570	1.7282	Monthly	20,414.62	244,975.32	20160726	20460515
61763KAY0	MSBAM_14-C15 PAC SENIOR CMBS_14-C15 ASB		4		1,177,343.75	1,139,588.99	1,100,000.00	1,153,953.89	(14,364.90	)	(14,205.15	)	—	—		3.6540	2.1668	Monthly	3,349.51	40,194.12	20160503	20470415
61763UAV4	MSBAM_14-C17 SUPSEN SENIOR CMBS 14-C17-A		4		1,042,343.75	1,011,009.98	1,000,000.00	1,022,241.31	(11,231.33	)	10,650.38		—	—		3.1190	2.1685	Monthly	2,599.17	92,010.54	20150922	20470815
61764RBF4	MSBAM_15-C20 SENIOR CMBS 15-C20 A4		4		5,149,631.00	5,068,947.00	5,000,000.00	5,107,152.82	(38,205.82	)	(14,514.46	)	—	—		3.2490	2.8974	Monthly	13,537.50	162,450.00	20150123	20480215
61765LAR1	MSBAM_15-C24 SUPSEN SENIOR CMBS 15-C24 A		4	1FE	4,480,472.60	4,413,842.34	4,350,000.00	4,417,864.79	(4,022.45	)	(26,466.31	)	—	—		3.0880	2.4429	Monthly	11,194.00	134,328.00	20150724	20480515
61690VAZ1	MSBAM_15-C26 LCF SENIOR CMBS 15-C26		4	1FM	978,475.21	981,768.02	950,000.00	972,624.64	9,143.38		(2,724.84	)	—	—		3.5310	3.1738	Monthly	2,795.38	33,544.56	20151028	20481015
61760VAP8	MSC_12-C4 CMBS_12-C4 A4		4	1FE	5,541,596.09	5,283,392.91	5,180,000.00	5,438,550.53	(155,157.62	)	(81,335.96	)	—	—		3.2440	1.5554	Monthly	14,003.26	168,039.12	20160826	20450315
61763QAA9	MSC_14-CPT SENIOR CMBS_14-CPT A 144A		4	1FM	4,746,994.53	4,659,410.20	4,555,000.00	4,716,576.73	(57,166.53	)	(29,688.08	)	—	—		3.3500	2.4116	Monthly	12,716.05	92,715.51	20161129	20290713
61691BAA9	MSCBB_16-MART LCF SENIOR CMBS_16-MART A		4	1FM	3,499,986.00	3,441,263.35	3,500,000.00	3,499,361.65	(58,098.30	)	(251.75	)	—	—		2.2004	2.1948	Monthly	6,417.83	77,013.96	20160915	20310913
61745MVW0	MSM_04-1 MSM_04-1		4	1FM	9,697.64	9,485.13	9,485.08	9,495.74	(10.61	)	(416.27	)	—	—		5.0000	2.6651	Monthly	39.52	1,667.45	20140930	20181125
626209JN1	MUNI FIN AUTH OF BRITISH COL SENIOR CORP			1FE	471,309.04	480,627.32	600,000.00	471,129.15	(654.26	)	(179.89	)	—	10,152.43		2.0500	1.6889	Jun-Dec	809.08	250.12	20171120	20190602
BRTCYX4Q2	MW INDUSTRIES INC SENIOR SECURED TERM LO			4FE	468,166.27	474,635.91	470,518.87	468,229.30	6,406.61		68.92		—	—		—	0.0713	M-J-S-D	—	4,541.81	20170928	20240930
BRTB146C3	NAB HOLDINGS LLC SECURED TERM LOAN			4FE	927,248.53	933,072.96	931,908.08	927,574.60	5,498.36		349.47		—	—		—	0.0707	M-J-S-D	—	21,746.86	20170615	20240701
62983QAJ2	NAKAMA RE LTD CORP BND 144A	D			250,000.00	254,532.50	250,000.00	250,000.00	4,532.50		—		—	—		4.2433	4.2656	J-A-J-O	2,622.57	10,693.49	20160921	20211013
62983QAH6	NAKAMA RE LTD CORP BND 144A	D			500,000.00	508,785.00	500,000.00	500,000.00	8,785.00		—		—	—		3.3293	3.3431	J-A-J-O	4,115.42	15,986.05	20160921	20211013
62983QAF0	NAKAMA RE LTD SENIOR CORP BND 144A	D			4,250,000.00	4,280,642.50	4,250,000.00	4,250,000.00	30,642.50		—		—	—		3.6472	3.6636	J-A-J-O	39,181.89	540,446.20	20151214	20210114
62983QAG8	NAKAMA RE LTD SENIOR CORP BND 144A	D			500,000.00	512,570.00	500,000.00	500,000.00	12,570.00		—		—	—		4.0181	4.0307	J-A-J-O	5,078.44	18,843.60	20151214	20210114
62983QAD5	NAKAMA RE LTD UNSEC CORP BND 144A	D			500,000.00	500,940.00	500,000.00	500,000.00	940.00		—		—	—		3.1750	3.1874	J-A-J-O	4,012.85	27,871.87	20141212	20190116
62983QAE3	NAKAMA RE LTD UNSEC CORP BND 144A	D			625,000.00	631,812.50	625,000.00	625,000.00	6,812.50		—		—	—		2.8750	2.8851	J-A-J-O	4,542.10	45,009.09	20141212	20200116
65478VAE7	NAROT_16-B SENIOR ABS_16-B A4		4	1FE	859,998.54	846,659.02	860,000.00	859,988.27	(13,329.25	)	(5.89	)	—	—		1.5400	1.5442	Monthly	588.62	13,244.04	20160418	20221015
63254AAQ1	NATIONAL AUSTRALIA BANK LIMITE SENIOR CO			1FE	1,962,277.00	1,950,036.00	1,975,000.00	1,964,609.03	(14,573.03	)	1,810.18		—	—		1.3750	1.4941	Jan-Jul	12,748.35	8,631.95	20160705	20190712
63254AAM0	NATIONAL AUSTRALIA BANK LIMITE SENIOR CO				2,992,530.00	2,996,039.88	3,000,000.00	2,997,369.74	(1,329.86	)	2,487.82		—	—		2.0000	2.0861	Jan-Jul	27,833.33	60,000.00	20160106	20190114
63254AAV0	NATIONAL AUSTRALIA BANK LIMITE SENIOR CO			1FE	2,969,674.75	2,957,417.66	2,975,000.00	2,970,731.27	(13,313.61	)	1,056.52		—	—		2.1250	2.1870	May-Nov	6,848.70	31,609.38	20170516	20200522
63253WAJ0	NATIONAL AUSTRALIA BANK LTD SECURED LOCA	D		1FE	2,993,130.00	2,981,789.93	3,000,000.00	2,994,529.42	(12,739.49	)	1,310.13		—	—		2.4000	2.4489	Jun-Dec	4,800.00	72,000.00	20161130	20211207
BRTBNHZJ3	NATIONAL AUSTRALIA BANK LTD SENIOR GLOBA	B			2,071,284.10	2,153,664.79	1,600,000.00	2,072,215.67	(5,125.92	)	931.57		—	86,575.04		0.8750	0.9789	June	8,249.92	—	20170720	20200626
63307A2C8	NATIONAL BK OF CANADA SENIOR CORP BND	A		1FE	1,648,894.50	1,648,564.50	1,650,000.00	1,649,642.20	(1,077.70	)	368.83		—	—		2.1000	2.1232	Jun-Dec	1,636.25	34,650.00	20151207	20181214
63307A2H7	NATIONAL BK OF CANADA SENIORCORPBND	A	2		4,000,000.00	3,998,940.00	4,000,000.00	4,000,000.00	(1,060.00	)	—		—	—		1.7112	1.7112	F-M-A-N	11,408.13	—	20171030	20201102
637432NM3	NATIONAL RURAL UTILITIES COOP SECURED CO		1	1FE	2,149,398.00	2,135,853.06	2,150,000.00	2,149,476.57	(13,623.51	)	78.57		—	—		2.4000	2.4060	Apr-Oct	9,460.00	25,800.00	20170418	20220425
637432NF8	NATIONAL RURAL UTILITIES COOP SENIOR SEC		1	1FE	2,534,059.70	2,510,372.45	2,515,000.00	2,533,046.96	(22,674.51	)	(1,247.55	)	—	—		2.3000	2.3429	May-Nov	9,640.84	14,272.78	20151020	20201101

G6S17B5H5	NATIONWIDE BUILDING SOCIETY SECURED LOCA	B			738,868.00	706,581.37	520,000.00	738,868.00	3,151.37		—		—	(35,438.00	)	0.8963	0.8963	J-A-J-O	1,174.63	5,423.43		20160413	20190425
G63983JV6	NATIONWIDE BUILDING SOCIETY SENIOR CORP	B		1FE	2,830,045.40	2,916,072.85	2,000,000.00	2,758,048.03	(3,468.84	)	(68,946.30	)	—	161,493.67		5.6250	1.0046	Mar-Sep	47,925.46	59,581.88		20161130	20190909
BRSWNA846	NAVEX GLOBAL INC Term Loan				7,256,675.18	7,366,698.08	7,329,974.91	7,280,122.19	86,575.89		11,264.28		—	—		—	0.1443	M-J-S-D	—	413,939.75		20151009	20220831
63939CAB3	NAVSL_14-AA ABS _14-AA-A2A 144A		4	1FE	321,831.20	323,695.58	322,840.06	321,965.31	1,730.27		390.77		—	—		2.7400	2.8454	Monthly	393.15	10,070.92		20161215	20290215
63939EAB9	NAVSL_15-AA SENIOR ABS 15-AA A2A 144A		4	1FE	291,944.89	293,027.92	292,052.46	291,988.51	1,039.41		20.75		—	—		2.6500	2.6710	Monthly	343.97	8,499.73		20150113	20281215
63946CAB4	NBCUNIVERSAL ENTERPRISE INC SENIOR CORP			1FE	1,000,750.00	1,001,610.03	1,000,000.00	1,000,044.49	1,565.54		(1,037.14	)	—	—		2.0442	2.0287	J-A-J-O	4,429.04	50,470.29		20130320	20180415
63946BAD2	NBCUNIVERSAL MEDIA LLC CORP BND		1	1FE	3,918,880.00	3,729,320.07	3,500,000.00	3,776,531.12	(47,211.05	)	(115,610.65	)	—	—		5.1500	1.6941	Apr-Oct	30,542.36	180,250.00		20160616	20200430
63946BAH3	NBCUNIVERSAL MEDIA LLC SENIOR CORP BND		1	1FE	715,225.00	706,902.06	700,000.00	713,884.78	(6,982.72	)	(1,340.22	)	—	—		2.8750	2.4540	Jan-Jul	9,279.86	1,229.86		20170620	20230115
63874EAA8	NCMS_17-75B LCF SENIOR CMBS_17-75B A 144		4		1,390,494.60	1,398,691.93	1,350,000.00	1,388,382.83	10,309.10		(2,111.77	)	—	—		3.8581	3.5186	Monthly	3,761.64	27,489.01		20170510	20370409
62889AAA1	NCUA GUARANTEED NOTES AGENCY ABS 10-A1 A		4	1	554,148.80	554,461.34	554,148.80	554,148.80	312.54		(267.83	)	—	—		1.7569	1.5992	Monthly	613.37	8,713.98		20101210	20201207
BRSZNN0E7	NEDERLANDSE WATERSCHAPSBANK NV SENIOR CO	B			2,014,956.60	2,147,712.41	1,580,000.00	2,010,451.95	(4,633.00	)	(4,504.65	)	—	141,893.45		1.0000	0.6506	December	1,346.82	11,424.92		20170222	20191209
BRSXLN5U3	NESTLE HLDGS INC SENIOR CORP BND EMTN				1,243,805.78	1,257,342.29	908,000.00	1,243,487.35	(2,678.32	)	(318.43	)	—	16,533.26		1.7500	0.8538	December	1,354.50	(697.42	)	20171219	20201209
BRTDYYQZ4	NESTLE HLDGS INC SENIORCORPBND				2,503,343.56	2,577,072.08	1,900,000.00	2,503,507.58	17,268.69		164.02		—	56,295.81		1.0000	1.1180	June	1,478.76	—		20171128	20210611
G6459BAC5	NETWORK RAIL INFRA FIN LOCAL BND EMTN GO	B		1FE	2,157,843.65	2,229,398.22	1,500,000.00	2,117,868.82	(12,870.74	)	(39,974.83	)	—	124,400.14		4.6250	0.4708	July	42,166.88	5,342.72		20170627	20200721
64128QAK1	NEUB_14-18A MEZZANIN ABS 14-18A 144A	D	4		2,500,000.00	2,522,698.75	2,500,000.00	2,500,000.00	22,698.75		—		—	—		3.2629	3.2759	F-M-A-N	10,876.30	74,963.85		20161108	20271114
64130TAQ8	NEUB_15-20A SENIORABS_15-20A-AR144A	D	4	1FE	600,000.00	599,729.34	600,000.00	600,000.00	(270.66	)	—		—	—		2.2357	2.2419	J-A-J-O	1,564.97	—		20171115	20280115
64130TAU9	NEUB_15-20A SUBABS15-20A144A	D	4		500,000.00	499,714.25	500,000.00	500,000.00	(285.75	)	—		—	—		3.0357	3.0472	J-A-J-O	1,770.83	—		20171115	20280115
64130TAS4	NEUB_15-20A SUBABS15-20A144A	D	4		1,400,000.00	1,399,273.68	1,400,000.00	1,400,000.00	(726.32	)	—		—	—		2.6857	2.6947	J-A-J-O	4,386.59	—		20171115	20280115
642869AK7	NEW BRUNSWICK PROVINCE OF SENIOR CORP BN	A		1FE	1,247,487.50	1,246,112.54	1,250,000.00	1,247,513.56	(1,401.02	)	26.06		—	—		2.5000	2.5431	Jun-Dec	1,649.30	—		20171205	20221212
644682D29	NEW HAMPSHIRE ST MUNITAX BND GO		1	1FE	2,580,441.00	2,360,081.50	2,350,000.00	2,362,402.11	(2,320.61	)	(75,744.95	)	—	—		4.3750	1.1188	Mar-Sep	34,270.83	102,812.50		20150202	20180301
645771ZT6	NEW JERSEY BLDG AUTH MUNITAX BND REV		1	2FE	667,904.12	665,252.70	665,000.00	666,251.98	(999.28	)	(1,652.14	)	—	—		2.3030	1.8838	Jun-Dec	680.66	8,550.86		20170524	20180615
645771ZR0	NEW JERSEY BLDG AUTH MUNITAX BND REV		1	1Z	15,065.51	15,043.50	15,000.00	15,028.24	15.26		(37.27	)	—	—		2.3030	1.8837	Jun-Dec	15.35	192.89		20170524	20180615
646136K83	NEW JERSEY ST TRANSN TR FD AUT MUNITAX B			1FE	5,050,000.00	5,023,891.50	5,050,000.00	5,050,000.00	(26,108.50	)	—		—	—		1.7580	1.7580	Jun-Dec	3,945.73	88,779.00		20130417	20181215
649322AC8	NEW YORK PRESBYTERIAN HOSP SENIOR CORP		1	1FE	149,995.50	151,266.00	150,000.00	150,000.50	1,265.50		0.82		—	—		3.5630	3.5630	Feb-Aug	2,226.88	5,834.42		20160621	20360801
64972HKH4	NEW YORK NY CITY TRANSITIONAL MUNI BND R		2	1FE	2,295,180.00	2,040,540.00	2,000,000.00	2,042,738.66	(2,198.66	)	(117,607.75	)	—	—		5.2500	1.2517	Jan-Jul	48,416.67	181,270.83		20140930	20220715
64966KEB5	NEW YORK NY MUNI BND GO		2	1FE	3,482,700.00	3,438,720.00	3,000,000.00	3,307,723.24	130,996.76		(87,950.43	)	—	—		5.0000	2.8201	Feb-Aug	62,500.00	279,375.00		20140930	20280801
6496668U1	NEW YORK NY MUNITAX BND GO			1FE	500,985.00	493,550.00	500,000.00	500,867.32	(7,317.32	)	(117.68	)	—	—		1.8500	1.7869	May-Nov	1,541.67	1,952.78		20170810	20201101
64986DAQ8	NEW YORK ST ENVIRONMENTAL FACS MUNI BND		2	1FE	602,785.00	603,985.00	500,000.00	593,457.52	10,527.48		(9,327.48	)	—	—		5.0000	2.5300	Jun-Dec	1,111.12	22,638.88		20170113	20310615
649883XV2	NEW YORK ST MTG AGY MUNI BND REV		2	1FE	454,361.85	441,651.15	435,000.00	448,113.62	(6,462.47	)	(16,770.47	)	—	—		4.4500	3.8600	Apr-Oct	4,839.38	39,881.89		20140930	20291001
650035C48	NEW YORK ST URBAN DEV CORP MUNI BND REV		2	1FE	5,269,005.00	5,189,895.00	4,500,000.00	4,993,515.57	196,379.43		(87,186.59	)	—	—		5.0000	2.7241	Mar-Sep	66,250.00	225,000.00		20140930	20280315
650035K72	NEW YORK ST URBAN DEV CORP MUNITAX BND R		1	1FE	2,006,600.00	1,999,240.00	2,000,000.00	2,000,435.07	(1,195.07	)	(4,280.89	)	—	—		1.4400	1.3314	Mar-Sep	8,480.00	78,780.00		20150202	20180315
6500354S4	NEW YORK ST URBAN DEV CORP MUNITAX BND R		1	1FE	8,994,690.00	8,931,060.10	9,000,000.00	8,995,464.69	(64,404.59	)	774.69		—	—		2.1000	2.1126	Mar-Sep	55,650.00	90,300.00		20170317	20220315
651229AU0	NEWELL RUBBERMAID INC SENIOR CORP BND		1	2FE	1,497,525.00	1,516,155.17	1,500,000.00	1,498,350.47	17,804.70		536.61		—	—		3.1500	3.1859	Apr-Oct	11,812.50	69,125.00		20160318	20210401
651229AP1	NEWELL RUBBERMAID INC SENIOR CORP BND		1	2FE	2,681,992.80	2,709,890.21	2,685,000.00	2,683,812.41	26,077.80		803.29		—	—		2.8750	2.8989	Jun-Dec	6,432.81	108,629.09		20141114	20191201

651229AT3	NEWELL RUBBERMAID INC SENIOR CORP BND		1	2FE	1,739,038.84	1,722,447.57	1,720,000.00	1,730,112.45	(7,664.88	)	(12,058.01	)	—	—	2.6000	1.9329	Mar-Sep	11,428.44	144,467.13		20160318	20190329
BRTB5T8E8	NEXSTAR BROADCASTING INC SENIOR SECURED		2	3FE	426,718.06	428,901.72	427,725.47	426,788.22	2,113.50		105.93		—	—	—	0.0363	M-J-S-D	—	6,066.98		20170719	20240117
62888YAA0	NGN_11-R1 CMO_11-R1 IA		4	1	580,709.62	581,698.33	580,485.64	580,545.84	1,152.49		(60.92	)	—	—	1.8532	1.6981	Monthly	654.84	10,596.09		20110120	20200108
62889EAA3	NGN_11-R3 NGN_11-R3 1A		4	1	2,789,506.04	2,790,206.18	2,785,915.04	2,787,225.90	2,980.28		(1,207.48	)	—	—	1.7286	1.6493	Monthly	2,675.44	48,272.48		20110224	20200311
65478UAD1	NISSAN AUTO RECEIVABLES OWNER SENIOR ABS		4	1FE	4,990,039.06	4,977,099.00	5,000,000.00	4,994,086.99	(16,987.99	)	4,047.93		—	—	1.3400	1.4787	Monthly	2,977.78	36,105.53		20170525	20201015
65474VAP6	NISSAN MASTER OWNER TRUST SENIORABS_17-C		4	1FE	7,400,000.00	7,420,875.69	7,400,000.00	7,400,000.00	20,875.69		—		—	—	1.7970	1.8037	Monthly	6,279.63	10,259.63		20171103	20221017
654740AT6	NISSAN MOTOR ACCEPTANCE CORP SENIOR CORP		1	1FE	839,949.60	838,378.80	840,000.00	839,965.49	(1,586.69	)	15.89		—	—	2.2500	2.2521	Jan-Jul	8,820.00	9,450.00		20170110	20200113
654740AS8	NISSAN MOTOR ACCEPTANCE CORP SENIOR CORP		1	1FE	334,363.50	325,851.14	335,000.00	334,523.32	(8,672.18	)	123.13		—	—	1.9000	1.9401	Mar-Sep	1,891.82	6,365.00		20160907	20210914
654740BB4	NISSAN MOTOR ACCEPTANCE CORP SENIOR CORP		1		219,815.20	218,259.80	220,000.00	219,830.93	(1,571.13	)	15.73		—	—	2.1500	2.1791	Mar-Sep	1,221.92	—		20170925	20200928
654740AN9	NISSAN MOTOR ACCEPTANCE CORP SENIOR CORP		1	1FE	4,741,031.00	4,697,555.91	4,700,000.00	4,736,717.62	(39,161.71	)	(4,313.38	)	—	—	2.5500	2.2940	Mar-Sep	37,619.59	8,988.75		20170808	20210308
654740AX7	NISSAN MOTOR ACCEPTANCE NISSAN MOTOR ACC		1	1FE	9,246,097.50	9,180,625.00	9,250,000.00	9,246,717.75	(66,092.75	)	620.25		—	—	2.1500	2.1739	Jan-Jul	92,808.34	(1,075.00	)	20170710	20200713
65478HAD0	NISSANAUTORECEIVABLESOWNER SENIORABS17-C		4	1FE	2,769,531.59	2,764,724.46	2,770,000.00	2,769,530.31	(4,805.85	)	(1.28	)	—	—	2.1200	2.1387	Monthly	2,609.95	326.25		20171206	20220418
646140CH4	NJ ST TPK AUTH TPK REV MUNITAXBNDREV		1		3,600,000.00	3,583,476.00	3,600,000.00	3,600,000.00	(16,524.00	)	—		—	—	2.8960	2.8960	Jan-Jul	4,923.21	—		20171201	20230101
65157QBJ4	NMRK_14-2A ABS 14-2A-CR 144A	D	4		750,000.00	753,327.75	750,000.00	750,000.00	3,327.75		—		—	—	3.7850	3.8024	M-J-S-D	7,175.73	14,240.94		20170302	20260630
BRSRG6TU3	NOMACORC Revolver				1,207,500.00	962,981.26	1,207,500.00	1,207,500.00	(244,518.74	)	—		—	—	—	—	J-A-J-O	—	63,209.15		20160405	20200105
BRSRG6UY3	NOMACORC Term Loan				5,819,999.99	4,757,849.99	5,819,999.99	5,819,999.99	(1,062,150.00	)	—		—	—	—	—	J-A-J-O	—	333,477.96		20150109	20210105
62951MAY6	NOMURA ASSET ACCEPTANCE CORPOR WHOLE CMO		4	1FE	486,469.18	489,603.27	481,503.66	485,329.02	4,274.25		(621.75	)	—	—	6.5000	6.3128	Monthly	2,608.14	28,323.93		20071003	20350225
65557CAM5	NORDEA BANK AB JR SUB CORP BND 144A	D	2	2FE	5,750,000.00	5,907,895.00	5,750,000.00	5,750,000.00	157,895.00		—		—	—	5.5000	5.5000	Mar-Sep	86,090.27	327,750.00		20071102	20370901
65557DAK7	NORDEA BANK AB SENIOR CORP BND	D		1FE	5,974,200.00	6,007,266.00	6,000,000.00	5,993,225.38	14,040.62		5,252.00		—	—	2.3750	2.4669	Apr-Oct	34,437.50	142,500.00		20140331	20190404
W57996JD8	NORDEA BANK AB SENIOR CORP BND EMTN	B		1FE	1,548,517.03	1,658,710.01	1,200,000.00	1,528,178.28	(4,487.88	)	(19,424.07	)	—	135,019.62	2.1250	0.8780	November	4,630.85	31,695.02		20161130	20191113
65557CAR4	NORDEA BANK AB SENIOR CORP BND MTN 144A	D		1FE	1,102,398.00	1,101,320.11	1,100,000.00	1,101,638.96	(318.85	)	(584.62	)	—	—	2.5000	2.5510	Mar-Sep	7,944.44	27,500.00		20150909	20200917
65562QAW5	NORDIC INVESTMENT BANK CORP BND	D		1FE	2,980,170.00	2,998,859.94	3,000,000.00	2,988,995.46	9,864.48		2,781.04		—	—	2.2500	2.3530	Mar-Sep	17,062.50	67,500.00		20140923	20210930
658256Z54	NORTH CAROLINA ST MUNI BND GO			1FE	652,100.00	621,270.00	500,000.00	627,051.43	(5,781.43	)	(13,904.05	)	—	—	5.0000	1.7406	Jun-Dec	2,083.34	25,000.00		20160224	20260601
BRTD5JNW9	NORTH RHINE-WESTPHALIA (STATE SENIORCORP	D			793,638.40	791,359.98	800,000.00	793,846.10	(2,486.12	)	207.70		—	—	1.8750	2.1491	October	3,000.00	(1,583.33	)	20171122	20201019
665859AQ7	NORTHERN TRUST COMPANY CAPSEC CORP BND		2		8,649,350.00	8,952,275.00	8,660,000.00	8,649,350.00	302,925.00		—		—	—	4.6000	4.6000	Apr-Oct	99,590.00	457,007.44		20121102	20181101
666807BL5	NORTHROP GRUMMAN CORP SENIOR CORP BND		1	2FE	4,606,388.00	4,582,069.84	4,620,000.00	4,606,837.83	(24,767.99	)	449.83		—	—	2.0800	2.0852	Apr-Oct	20,820.80	(5,293.60	)	20171010	20201015
666807BF8	NORTHROP GRUMMAN CORP SENIOR CORP BND		1	2FE	396,929.38	397,777.12	398,000.00	397,842.71	(65.59	)	456.62		—	—	1.7500	1.8461	Jun-Dec	580.42	16,513.44		20150710	20180601
666842AA7	NORTHSHORE RE II LTD SENIOR CORP BOND 14	D			700,000.00	712,075.00	700,000.00	700,000.00	12,075.00		—		—	—	8.3097	8.3955	J-A-J-O	14,703.63	36,031.09		20170626	20200706
BRT2GMJC3	NRG ENERGY INC SENIOR SECURED TERM LOAN			3FE	1,799,297.18	1,808,635.42	1,808,338.85	1,801,185.88	7,449.54		1,555.04		—	—	—	0.0711	M-J-S-D	—	69,975.84		20160614	20230630
BRT85FSR4	NRW BANK SENIOR CORP BND	D			4,984,450.00	4,968,100.00	5,000,000.00	4,989,169.90	(21,069.90	)	4,719.90		—	—	1.8750	1.9731	January	86,979.17	—		20170119	20200127
64829JAA1	NRZT_17-1A ABS 17-1A 144A		4	1FE	1,664,382.60	1,664,928.47	1,616,859.40	1,661,584.17	3,344.30		(14,059.83	)	—	—	4.0000	3.4921	Monthly	5,389.53	52,298.78		20170306	20570225
65251QAA9	NSCDN_14-1A ABS2014-1A A1 144A		4		2,500,000.00	2,505,079.50	2,500,000.00	2,500,000.00	5,079.50		—		—	—	3.2174	3.0453	J-A-J-O	15,193.37	74,717.25		20141216	20270125
65251PAC7	NSLP_14-1A ABS_14-1A B1 144A		4	1FE	487,100.00	492,038.00	500,000.00	490,938.22	1,099.78		1,421.58		—	—	3.9674	4.4373	J-A-J-O	3,747.01	18,745.52		20151021	20250725
BRTD2LA92	NUMERICABLE GROUP SA SENIOR SECURED TERM	D	2		1,021,953.89	986,095.86	1,024,515.18	1,022,004.87	(35,909.01	)	50.98		—	—	—	0.0299	M-J-S-D	—	—		20171006	20260131

BRTCDFWL4	NUTRACEUTICAL INTL CORP Revolver					43,333.33	42,466.67	43,333.33	43,333.33	(866.66	)	—		—	—	—	—	M-J-S-D	—	1,131.28		20170825	20220823
BRTCDG1B8	NUTRACEUTICAL INTL CORP Term Loan B					2,485,437.49	2,494,757.88	2,485,437.49	2,485,437.49	9,320.39		—		—	—	—	—	M-J-S-D	—	53,966.79		20170825	20230823
67066GAD6	NVIDIA CORPORATION SENIOR CORP BND			1	1FE	2,112,722.40	2,098,715.23	2,120,000.00	2,113,779.47	(15,064.24	)	932.45		—	—	2.2000	2.2421	Mar-Sep	13,603.34	27,390.00		20160913	20210916
65251UAC6	NWSCLF_16-1A ABS 16-1A 144A			4	1FE	250,000.00	249,996.93	250,000.00	250,000.00	(3.07	)	—		—	—	5.2121	5.2428	F-M-A-N	1,266.82	12,421.53		20160212	20280225
BRST0A6G3	NXTC_15-1A MEZZANIN ABS 15-1A 144A			4		1,000,000.00	1,000,095.10	1,000,000.00	1,000,000.00	95.10		—		—	—	5.0125	5.0430	J-A-J-O	9,746.53	48,389.03		20150423	20270421
62951CAJ1	NZCG MEZZANINABS15-1A144A		D	4		1,004,310.00	999,126.80	1,000,000.00	1,004,272.59	(5,145.79	)	(37.41	)	—	—	4.9621	4.8852	F-M-A-N	4,824.23	(2,894.54	)	20171211	20270225
BRTAX2CY9	OAK LEAF RE LTD CORP BND 144A	@	D			5,000,000.00	5,263,131.50	5,000,000.00	5,000,000.00	263,131.50		—		—	—	—	—	At Mat	—	—		20170606	20180609
67389MAE1	OAKS_15-1 RMBS_15-1 A5 144A			4		803,661.63	809,552.67	802,157.58	803,178.98	6,373.69		(67.53	)	—	—	3.5000	3.4306	Monthly	2,339.63	31,081.50		20151006	20460425
67400LAJ7	OAKTA_14-A2 MEZZANIN ABS_14-A2 BR 144A		D	4		4,000,000.00	4,004,749.60	4,000,000.00	4,000,000.00	4,749.60		—		—	—	3.1159	3.1277	F-M-A-N	16,271.71	60,278.20		20170428	20251115
67401DAC9	OAKTA_15-A1 MEZZANIN ABS_15-A1 B 144A		D	4	1FE	1,488,150.00	1,504,656.45	1,500,000.00	1,491,347.03	13,309.42		1,436.52		—	—	3.9539	4.1089	J-A-J-O	12,355.91	56,149.94		20151217	20271018
67389XAF4	OAKTREE CLO LTD OAKCL_15-1A ABS15-1A			4		1,000,000.00	1,000,000.00	1,000,000.00	1,000,000.00	—		—		—	—	—	—	J-A-J-O	—	—		20171130	20271020
BRTC82J34	OB HOSPITALIST GROUP INC Term Loan					4,793,478.26	4,841,413.04	4,793,478.26	4,793,478.26	47,934.78		—		—	—	—	—	M-J-S-D	—	100,016.76		20170801	20240801
67089NAV4	OCP_12-2A SENIOR ABS_12-2A CR 144A		D	4	1FE	500,000.00	505,928.55	500,000.00	500,000.00	5,928.55		—		—	—	4.2959	4.3186	F-M-A-N	2,386.63	20,093.81		20161108	20251122
67107KAS5	OCP_14-7A ABS_14-7A-A2AR 144A		D	4		2,000,000.00	1,996,252.60	2,000,000.00	2,000,000.00	(3,747.40	)	—		—	—	—	—	J-A-J-O	—	—		20170915	20261020
67097QAC9	OCP_2017-14A ABS2017-14A		D	4		700,000.00	701,199.31	700,000.00	700,000.00	1,199.31		—		—	—	2.9719	2.9817	F-M-A-N	751.23	—		20171116	20301120
67590BAE0	OCT16_13-1A MEZZANIN ABS 13-1A C1 144A		D	4	1FE	499,687.50	500,993.35	500,000.00	499,776.77	1,216.58		61.39		—	—	4.1033	4.1374	J-A-J-O	4,331.29	19,474.23		20160808	20250717
67590LAU2	OCTAGON INVESTMENT PARTNERS XI MEZZANIN		D	4		500,000.00	497,830.85	500,000.00	500,000.00	(2,169.15	)	—		—	—	3.4592	3.4737	J-A-J-O	3,699.39	9,485.54		20170308	20260415
67514RAN8	OCTR_13-4A ABS_13-4A-CR 144A		D	4		250,000.00	249,388.03	250,000.00	250,000.00	(611.97	)	—		—	—	3.2129	3.2255	F-M-A-N	1,093.28	2,581.91		20170814	20250813
676167BS7	OESTERREICHISCHE KONTROLLBANK SENIOR COR		D			2,989,440.00	2,964,749.91	3,000,000.00	2,995,320.75	(30,570.84	)	3,506.07		—	—	1.1250	1.2449	Apr-Oct	6,093.75	33,750.00		20160419	20190426
67091HAK7	OHALF_12-1A MEZZANIN ABS 12-1A 144A		D	4	1FE	2,500,000.00	2,529,846.00	2,500,000.00	2,500,000.00	29,846.00		—		—	—	3.2125	3.2250	J-A-J-O	15,616.32	66,990.79		20161118	20270123
67756DJK3	OHIO ST HIGHER EDL FAC REV MUNI BND REV				1FE	59,914.50	57,133.50	50,000.00	58,183.84	(1,050.34	)	(1,591.42	)	—	—	5.0000	1.5301	Jun-Dec	208.34	2,506.95		20161026	20221201
67756BXS4	OHIO ST MUNI BND REV			2	1FE	2,905,950.00	2,589,650.00	2,500,000.00	2,591,193.19	(1,543.19	)	(98,322.73	)	—	—	5.5000	1.4701	Jun-Dec	11,458.33	137,500.00		20140930	20241201
6824544G5	ONEIDA CNTY N Y MUNITAX BND GO			1	1FE	1,532,874.00	1,505,392.00	1,400,000.00	1,462,252.49	43,139.51		(22,608.06	)	—	—	5.3870	3.5700	Feb-Aug	31,424.17	75,418.00		20140930	20200801
68267LAA6	ONEMAIN FINANCIAL ISSUANCE TRU SENIOR AB			4	1FE	1,499,831.85	1,486,646.55	1,500,000.00	1,499,844.90	(13,198.35	)	13.05		—	—	2.3700	2.3859	Monthly	1,678.75	9,875.00		20170829	20320914
6832348K7	ONTARIO PROVINCE OF CORP BND		A		1FE	8,985,228.00	8,797,991.92	8,400,000.00	8,876,702.05	(78,710.13	)	(108,525.95	)	—	—	4.4000	1.8493	Apr-Oct	79,053.32	117,040.00		20170615	20200414
68323AEQ3	ONTARIO PROVINCE OF SENIOR CORP BND		A		1FE	5,474,507.25	5,396,324.47	5,475,000.00	5,474,530.43	(78,205.96	)	30.61		—	—	2.2000	2.2019	Apr-Oct	29,443.33	9,528.75		20170926	20221003
68323ADY7	ONTARIO PROVINCE OF SENIOR CORP BND		A		1FE	2,972,730.00	2,963,250.06	3,000,000.00	2,984,453.04	(21,202.98	)	10,450.24		—	—	1.2500	1.6109	Jun-Dec	1,458.33	37,500.00		20161115	20190617
68323ABL7	ONTARIO PROVINCE OF SENIOR CORP BND		A		1FE	7,448,715.00	7,434,150.15	7,500,000.00	7,483,564.89	(49,414.74	)	9,054.43		—	—	1.6500	1.6626	Mar-Sep	32,312.50	88,687.50		20140923	20190927
68323ADH4	ONTARIO PROVINCE OF SENIOR CORP BND		A		1FE	6,018,099.25	5,973,184.95	6,025,000.00	6,019,922.05	(46,737.10	)	1,822.80		—	—	1.8750	1.8740	May-Nov	12,552.09	51,132.81		20170215	20200521
6832348J0	ONTARIO PROVINCE OF SENIOR LOCAL BND				1FE	496,660.03	504,498.98	600,000.00	495,473.57	(1,651.62	)	(1,186.46	)	—	10,677.03	4.2000	1.7817	Jun-Dec	1,657.62	512.43		20171120	20200602
683453AA2	OP-IG FUND ALTERNATIVE INVESTMENT COMPANY, LLC		C	4	2FE	67,944,167.00	67,944,167.00	67,944,167.00	67,944,167.00	—		—		—	—	1.5000	—	October	—	62,282.09		20171206	20671215
68389XAK1	ORACLE CORPORATION CORP BND				1FE	1,059,200.00	1,042,659.99	1,000,000.00	1,045,158.76	(2,498.77	)	(14,041.24	)	—	—	3.8750	2.0401	Jan-Jul	17,868.06	13,777.78		20170302	20200715
68389XAX3	ORACLE CORPORATION SENIOR CORP BND				1FE	506,630.00	502,020.00	500,000.00	504,146.58	(2,126.58	)	(2,290.30	)	—	—	2.2500	1.7709	Apr-Oct	2,593.75	11,250.00		20161128	20191008
68389XAR6	ORACLE CORPORATION SENIOR CORP BND				1FE	2,100,000.00	2,111,298.05	2,100,000.00	2,100,000.00	11,298.05		—		—	—	1.9392	1.9392	J-A-J-O	8,823.23	39,796.97		20130709	20190115

68389XAU9	ORACLE CORPORATION SENIOR CORP BND			1	1FE	1,098,436.50	1,090,067.94	1,050,000.00	1,084,733.67	5,334.27		(4,992.04	)	—	—		3.4000	2.8209	Jan-Jul	17,155.84	35,700.00		20150303	20240708
68428TCP0	ORANGE CNTY CALIF SANTN DIST MUNI BND RE			2	1FE	549,301.50	544,626.00	450,000.00	533,300.85	11,325.15		(9,206.47	)	—	—		5.0000	2.4608	Feb-Aug	9,375.00	22,500.00		20160303	20320201
F4113CDF7	ORANGE SA SENIOR CORP BND MTN		B			2,360,950.01	2,372,930.00	1,500,000.00	2,354,164.05	(534.08	)	(6,785.96	)	—	19,300.03		7.2500	1.1691	November	20,840.80	(12,564.93	)	20171207	20201110
BRSVBJ4B0	OSMOSE HOLDINGS INC SENIOR SECURED TERM					641,573.36	652,857.30	644,797.33	642,639.44	10,217.86		524.02		—	—		—	0.0713	M-J-S-D	—	32,580.08		20150818	20220822
69144VAA1	OXFIN_14-1A ABS _14-1A-A 144A			4	1FE	1,409,641.87	1,401,841.76	1,409,641.87	1,409,641.87	(7,800.11	)	—		—	—		3.4750	3.4988	Monthly	2,177.11	67,331.79		20141120	20221215
67108BAN5	OZLM FUNDING LTD ABS- 2012-2A BR 144A		D	4		500,000.00	501,948.45	500,000.00	500,000.00	1,948.45		—		—	—		4.1280	4.1487	J-A-J-O	3,611.97	19,472.73		20161006	20271030
67111DAC0	OZLM_16-15A ABS 16-15A 144A		D	4		2,000,000.00	2,026,805.80	2,000,000.00	2,000,000.00	26,805.80		—		—	—		3.4626	3.4756	J-A-J-O	14,042.81	55,426.83		20161122	20290120
67108BAL9	OZLMF_12-2A ABS 12-2A-A2AR 144A		D	4		1,500,000.00	1,509,900.00	1,500,000.00	1,500,000.00	9,900.00		—		—	—		3.3780	3.3905	J-A-J-O	8,867.15	47,043.21		20161006	20271030
67108EAL3	OZLMF_13-3A ABS_13-3A A1R 144A		D	4		3,000,000.00	3,027,424.50	3,000,000.00	3,000,000.00	27,424.50		—		—	—		2.9125	2.9231	J-A-J-O	16,989.58	78,818.79		20161208	20290122
709224KW8	PA TURNPIKE-E MUNI BND REV			2	1FE	1,108,680.00	1,157,430.00	1,000,000.00	1,098,553.32	58,876.68		(10,126.68	)	—	—		5.0000	3.5601	Jun-Dec	4,166.67	43,611.11		20170111	20401201
70922PAE2	PA TURNPIKE-E MUNITAX BND REV				1FE	4,500,000.00	4,493,385.00	4,500,000.00	4,500,000.00	(6,615.00	)	—		—	—		1.6990	1.6990	Jun-Dec	6,371.25	76,455.00		20140911	20181201
69371RL79	PACCAR FINANCIAL CORP CORP BND MTN				1FE	1,550,000.00	1,556,534.80	1,550,000.00	1,550,000.00	6,534.80		—		—	—		2.1085	2.1085	M-J-S-D	2,360.34	58,517.94		20131203	20181206
69371RN85	PACCAR FINANCIAL CORP SENIOR CORP BND					1,514,863.65	1,505,394.85	1,515,000.00	1,514,869.64	(9,474.79	)	5.99		—	—		2.0500	2.0531	May-Nov	4,141.00	—		20171106	20201113
69371RN36	PACCAR FINANCIAL CORP SENIOR CORP BND				1FE	2,500,000.00	2,461,042.50	2,500,000.00	2,500,000.00	(38,957.50	)	—		—	—		1.2000	1.2000	Feb-Aug	11,583.34	30,083.34		20160804	20190812
69371RN28	PACCAR FINANCIAL CORP SENIOR CORP BND MT				1FE	294,825.95	291,893.65	295,000.00	294,920.48	(3,026.83	)	57.75		—	—		1.3000	1.3201	May-Nov	543.29	3,835.00		20160505	20190510
69371RM52	PACCAR FINANCIAL CORP SENIOR CORP BND MT				1FE	199,736.00	199,712.00	200,000.00	199,966.09	(254.09	)	1,401.88		—	—		1.4000	1.4451	May-Nov	334.44	54,124.58		20150511	20180518
N6803F7R2	PACCAR FINANCIAL EUROPE BV SENIOR CORP B		B			942,231.81	821,278.93	605,000.00	943,787.50	3,123.13		721.22		—	(125,631.71	)	1.5130	1.5130	May	7,361.70	13,379.89		20150518	20180529
695114CM8	PACIFICORP CORP BND			1	1FE	1,562,060.50	1,493,706.63	1,430,000.00	1,517,108.18	(23,401.55	)	(27,117.52	)	—	—		3.8500	1.8820	Jun-Dec	2,446.89	55,055.00		20160405	20210615
695114CK2	PACIFICORP CORP BND				1FE	4,465,800.00	4,136,199.97	4,000,000.00	4,144,483.73	(8,283.76	)	(136,462.35	)	—	—		5.5000	1.9670	Jan-Jul	101,444.45	220,000.00		20150807	20190115
695156AT6	PACKAGING CORPORATION OF AMERI SENIORCOR			1	2FE	1,495,080.00	1,507,200.17	1,500,000.00	1,495,099.87	12,100.30		19.87		—	—		3.4000	3.4390	Jun-Dec	2,550.00	—		20171211	20271215
695156AS8	PACKAGING CORPORATION OF AMERI SENIORCOR			1	2FE	1,583,304.05	1,587,108.09	1,585,000.00	1,583,331.53	3,776.56		27.48		—	—		2.4500	2.4871	Jun-Dec	1,941.64	—		20171211	20201215
69834LAA8	PANDA RE LTD CORP BND		D			15,000,000.00	15,032,400.00	15,000,000.00	15,000,000.00	32,400.00		—		—	—		4.0500	4.0697	J-A-J-O	155,250.00	686,573.29		20150626	20180709
BRSAC1100	PANGEA RE					13,962,651.00	15,000,000.00	13,962,651.00	13,962,651.00	1,037,349.00		—		—	—		—	—	M-J-S-	—	—		20170131	20181231
69640GAA3	PCT_16-PLSD LCF SENIOR CMBS_16-PLSD A 14			4	1FM	5,000,000.00	4,968,796.52	5,000,000.00	5,000,000.00	(31,203.48	)	—		—	—		2.7130	2.7217	Monthly	8,289.66	135,649.08		20160420	20330413
40168PAA6	PDFNI_16-A ABS_16-A-1			4	1FE	6,962,617.00	7,162,444.11	6,962,617.00	6,962,617.00	199,827.11		—		—	—		3.9084	3.9272	J-A-J-O	61,229.02	271,360.38		20160412	20270412
40168PAB4	PDFNI_16-A ABS_16-A-2			4	1FE	3,551,401.00	3,653,326.21	3,551,401.00	3,551,401.00	101,925.21		—		—	—		3.9084	3.9272	J-A-J-O	31,230.91	138,411.98		20160708	20270412
40168PAC2	PDFNI_16-A ABS_16-A-3			4	1FE	3,037,383.00	3,124,555.89	3,037,383.00	3,037,383.00	87,172.89		—		—	—		3.9084	3.9270	J-A-J-O	26,710.65	118,378.68		20160830	20270412
40168PAD0	PDFNI_16-A ABS_16-A-4	@			1FE	2,803,739.00	2,884,206.31	2,803,739.00	2,803,739.00	80,467.31		—		—	—		—	—	At Mat	—	48,799.20		20170511	20270412
40168PAE8	PDFNI_16-A ABS_16-A-5				1FE	3,503,017.00	3,603,553.59	3,503,017.00	3,503,017.00	100,536.59		—		—	—		—	—	Jun-Dec	—	50,163.21		20170609	20270412
40168PAH1	PDFNI_16-B ABS_16-B-1			4	2AM	2,336,449.00	2,403,505.08	2,336,449.00	2,336,449.00	67,056.08		—		—	—		4.2834	4.3060	J-A-J-O	22,518.04	100,438.21		20160412	20270412
40168PAJ7	PDFNI_16-B ABS_16-B-2			4	2AM	1,168,224.00	1,201,752.03	1,168,224.00	1,168,224.00	33,528.03		—		—	—		4.2834	4.3060	J-A-J-O	11,259.01	50,219.11		20160708	20270412
40168PAK4	PDFNI_16-B ABS_16-B-3			4	2AM	1,168,224.00	1,201,752.04	1,168,224.00	1,168,224.00	33,528.04		—		—	—		4.2834	4.3057	J-A-J-O	11,259.01	50,219.10		20160830	20270412
40168PAL2	PDFNI_16-B ABS_16-B-4				2FE	1,168,225.00	1,201,753.06	1,168,225.00	1,168,225.00	33,528.06		—		—	—		3.0000	3.0000	Apr-Oct	7,690.82	22,271.74		20170511	20270412
40168PAM0	PDFNI_16-B ABS_16-B-5				2FE	1,619,871.00	1,666,361.30	1,619,871.00	1,619,871.00	46,490.30		—		—	—		—	—	Jun-Dec	—	25,373.25		20170609	20270412

40168PAQ1	PDFNI_16-C ABS_16-C-1		4	3AM	1,994,792.79	2,127,047.55	1,994,792.79	1,994,792.79	132,254.76		—		—	—	3.0000	3.0111	J-A-J-O	13,464.85	62,469.11		20160412	20270412
40168PAR9	PDFNI_16-C ABS_16-C-2		4	3AM	939,120.55	1,001,384.25	939,120.55	939,120.55	62,263.70		—		—	—	3.0000	3.0111	J-A-J-O	6,339.07	29,407.07		20160708	20270412
40168PAS7	PDFNI_16-C ABS_16-C-3		4	3AM	737,882.60	786,804.22	737,882.60	737,882.60	48,921.62		1,889.03		—	—	3.0000	3.0109	J-A-J-O	4,980.71	23,982.56		20160830	20270412
40168PAT5	PDFNI_16-C ABS_16-C-4		4	3AM	344,358.70	367,189.68	344,358.70	344,358.70	22,830.98		—		—	—	3.0000	2.9988	Apr-Oct	2,267.03	4,599.70		20170511	20270412
40168PAU2	PDFNI_16-C ABS_16-C-5		4	3AM	829,332.94	884,317.71	829,332.94	829,332.94	54,984.77		—		—	—	3.0000	2.9992	Jun-Dec	1,520.44	9,017.42		20170609	20270412
40168PAX6	PDFNI_16-D ABS_16-D-1		4	4AM	916,904.95	960,457.94	916,904.95	916,904.95	43,552.99		—		—	—	3.0000	3.0111	J-A-J-O	6,189.11	29,107.49		20160412	20270412
40168PAY4	PDFNI_16-D ABS_16-D-2		4	4AM	447,110.44	468,348.19	447,110.44	447,110.44	21,237.75		—		—	—	3.0000	3.0111	J-A-J-O	3,018.00	14,190.99		20160708	20270412
40168PAZ1	PDFNI_16-D ABS_16-D-3		4	4AM	369,830.10	387,397.02	369,830.10	369,830.10	17,566.92		—		—	—	3.0000	3.0109	J-A-J-O	2,496.36	11,738.18		20160830	20270412
40168PBA5	PDFNI_16-D ABS_16-D-4		4	4AM	365,469.07	382,828.85	365,469.07	365,469.07	17,359.78		—		—	—	3.0000	2.9988	Apr-Oct	2,406.01	4,900.84		20170511	20270412
40168PBB3	PDFNI_16-D ABS_16-D-5		4	4AM	381,568.61	399,693.12	381,568.61	381,568.61	18,124.51		—		—	—	3.0000	2.9992	Jun-Dec	699.54	4,162.43		20170609	20270412
693304AP2	PECO ENERGY CO SECURED CORP BND		1	1FE	359,969.30	366,954.91	370,000.00	363,214.64	3,740.27		1,332.78		—	—	2.3750	2.7940	Mar-Sep	2,587.43	8,787.50		20150707	20220915
705870AA1	PELICAN III RE LTD CORP BND	D			340,000.00	341,414.40	340,000.00	340,000.00	1,414.40		—		—	—	4.8443	4.8744	M-J-S-D	1,098.04	34,007.90		20150407	20180416
705809AA9	PELICAN IV RE LTD SENIOR CORP BND 144A	D			375,000.00	376,867.50	375,000.00	375,000.00	1,867.50		—		—	—	3.9105	3.9105	Monthly	1,099.83	26,285.25		20170410	20200505
Z91QZ2GF3	PENARTH MASTER ISSUER PLC ABS 15-1A2	B	4		3,808,639.17	3,796,400.35	2,800,000.00	3,806,153.15	(11,160.15	)	(2,486.02	)	—	1,407.34	0.9924	0.7544	Monthly	1,441.83	7,619.98		20170919	20220318
BRTAYZQ38	PENN ENGINEERING & MANUFACTURI SENIOR SE			4FE	171,446.77	172,090.49	171,661.34	171,462.30	628.19		22.88		—	—	—	0.0176	M-J-S-D	—	4,905.88		20170613	20240627
BRT81L2X0	PENN NTL GAMING INC SENIOR SECURED TERM			3FE	231,120.15	232,959.13	232,281.56	231,267.58	1,691.55		221.67		—	—	—	0.0713	M-J-S-D	—	8,085.99		20170113	20240119
70932JAA2	PENNUNION RE LTD SENIOR CORP BND 144A	D		3FE	625,000.00	629,162.50	625,000.00	625,000.00	4,162.50		—		—	—	5.7942	5.7942	M-J-S-D	2,514.85	63,037.13		20151005	20181207
709599AS3	PENSKE TRUCK LEASING CO SENIOR CORP BND		1	2FE	3,914,266.76	4,059,943.84	3,988,000.00	3,938,767.33	121,176.51		10,840.18		—	—	3.3750	3.6720	Feb-Aug	56,081.25	161,220.02		20150917	20220201
709599AR5	PENSKE TRUCK LEASING CO SENIOR CORP BND		1	2FE	766,215.00	758,474.98	750,000.00	764,281.28	(5,806.30	)	(1,933.72	)	—	—	3.0500	2.0702	Jan-Jul	10,929.17	(4,575.00	)	20170919	20200109
709599AK0	PENSKE TRUCK LEASING CO SENIOR CORP BND			2FE	308,928.00	300,859.50	300,000.00	300,695.32	164.18		(3,414.01	)	—	—	3.3750	2.2129	Mar-Sep	2,981.25	10,125.00		20150715	20180315
709599AU8	PENSKE TRUCK LEASING CO SENIOR CORP BND		1	2FE	1,030,680.00	1,014,789.96	1,000,000.00	1,026,384.48	(11,594.52	)	(4,295.52	)	—	—	3.2000	2.0918	Jan-Jul	14,755.56	(1,422.22	)	20170726	20200715
709599AV6	PENSKE TRUCK LEASING CO SENIOR CORP BND		1	2FE	1,454,812.05	1,492,336.86	1,465,000.00	1,458,533.32	33,803.54		1,851.89		—	—	3.3000	3.4421	Apr-Oct	12,086.25	48,345.00		20151210	20210401
709599AW4	PENSKE TRUCK LEASING CO SENIOR CORP BND		1	2FE	194,405.25	192,515.70	195,000.00	194,466.35	(1,950.65	)	53.58		—	—	3.4000	3.4361	May-Nov	847.17	6,869.42		20161026	20261115
709599AQ7	PENSKE TRUCK LEASING CO SENIOR CORP BND		1	2FE	2,600,508.10	2,610,053.70	2,605,000.00	2,603,202.80	6,850.90		1,198.43		—	—	2.5000	2.5949	Jun-Dec	2,894.44	65,125.00		20140612	20190615
709599AL8	PENSKE TRUCK LEASING CO SENIOR CORP BND		1	2FE	609,582.00	602,536.80	600,000.00	602,576.70	(39.90	)	(4,667.97	)	—	—	2.8750	2.0760	Jan-Jul	7,858.33	17,250.00		20160623	20180717
713448BR8	PEPSICO INC CORP BND			1FE	5,215,250.00	5,124,549.85	5,000,000.00	5,194,703.12	(70,153.27	)	(20,546.88	)	—	—	3.1250	1.7101	May-Nov	26,041.67	21,701.39		20170907	20201101
713448CX4	PEPSICO INC SENIOR CORP BND		1	1FE	999,810.00	1,023,849.95	1,000,000.00	999,872.08	23,977.87		25.84		—	—	3.1000	3.1030	Jan-Jul	14,122.22	31,000.00		20150714	20220717
713448DL9	PEPSICO INC SENIOR CORP BND		1	1FE	59,919.60	58,565.40	60,000.00	59,938.89	(1,373.49	)	343.09		—	—	1.7000	1.7281	Apr-Oct	240.83	46,920.00		20161003	20211006
713448DX3	PEPSICO INC SENIOR CORP BND		1		2,749,450.00	2,723,847.61	2,750,000.00	2,749,484.88	(25,637.27	)	34.88		—	—	2.0000	2.0059	Apr-Oct	12,375.00	—		20171005	20210415
713448CR7	PEPSICO INC SENIOR CORP BND		1	1FE	964,884.20	963,668.30	965,000.00	964,987.18	(1,318.88	)	49.67		—	—	1.2500	1.2541	Apr-Oct	2,043.92	16,750.00		20150427	20180430
713448DJ4	PEPSICO INC SENIOR CORP BND		1	1FE	1,699,745.00	1,679,702.00	1,700,000.00	1,699,849.05	(20,147.05	)	84.21		—	—	1.3500	1.3551	Apr-Oct	5,546.25	22,822.50		20161003	20191004
713448DE5	PEPSICO INC SENIOR CORP BND		1	1FE	594,827.45	591,977.39	595,000.00	594,933.27	(2,955.88	)	57.56		—	—	1.5000	1.5100	Feb-Aug	3,198.13	8,925.00		20160219	20190222
717081DF7	PFIZER INC SENIOR CORP BND			1FE	3,999,999.00	4,003,598.56	3,999,999.00	3,999,999.00	3,599.56		—		—	—	1.8885	1.8885	M-J-S-D	3,567.15	59,443.70		20130528	20180615
717081EB5	PFIZER INC SENIOR CORP BND		1	1FE	3,722,318.00	3,702,724.50	3,725,000.00	3,723,288.68	(20,564.18	)	886.94		—	—	1.7000	1.7240	Jun-Dec	2,814.44	67,546.66		20161114	20191215

717081DL4	PFIZER INC SENIOR CORP BND			1FE	2,495,275.00	2,502,650.08	2,500,000.00	2,498,655.28	3,994.80		957.34		—	—	2.1000	2.1401	May-Nov	6,708.34	52,500.00		20140512	20190515
717081DG5	PFIZER INC SENIOR CORP BND			1FE	250,240.00	249,630.00	250,000.00	250,038.31	(408.31	)	24.04		—	—	1.5000	1.4659	Jun-Dec	166.67	18,939.58		20150715	20180615
717081DZ3	PFIZER INC SENIOR CORP BND			1FE	699,363.00	696,269.02	700,000.00	699,501.99	(3,232.97	)	129.47		—	—	2.2000	2.2189	Jun-Dec	684.45	16,426.67		20161114	20211215
69331CAF5	PG&E CORP SENIOR CORP BND		1	1FE	500,605.00	499,970.02	500,000.00	500,160.47	(190.45	)	(141.76	)	—	—	2.4000	2.3704	Mar-Sep	4,000.00	12,000.00		20140930	20190301
717901BF8	PHILADELPHIA AUTHORITY FOR IND MUNI BND		2	1FE	298,667.50	299,727.50	250,000.00	296,515.85	3,211.65		(2,151.65	)	—	—	5.0000	2.7601	Jan-Jul	6,319.45	—		20170602	20330701
718172AL3	PHILIP MORRIS INTERNATIONAL IN CORP BND			1FE	1,488,790.50	1,466,298.01	1,450,000.00	1,474,133.51	(7,835.50	)	(5,875.24	)	—	—	2.9000	2.4350	May-Nov	5,373.05	42,050.00		20150331	20211115
718172BR9	PHILIP MORRIS INTERNATIONAL IN SENIOR CO		1	1FE	2,919,539.90	2,906,061.87	2,930,000.00	2,925,938.16	(19,876.29	)	3,478.70		—	—	1.3750	1.4971	Feb-Aug	14,100.62	40,287.52		20160218	20190225
718172BF5	PHILIP MORRIS INTERNATIONAL IN SENIOR CO			1FE	611,850.00	598,613.98	600,000.00	604,879.10	(6,265.12	)	(4,649.17	)	—	—	1.8750	1.0850	Jan-Jul	5,187.50	11,250.00		20160627	20190115
718172CC1	PHILIP MORRIS INTERNATIONAL IN SENIORCOR		1		249,507.50	248,400.00	250,000.00	249,547.75	(1,147.75	)	40.25		—	—	1.8750	1.9761	May-Nov	768.23	—		20171031	20191101
BRSSJCC41	PHILLIPS & TEMRO INDUSTRIES IN SENIOR S				71,721.31	52,652.77	71,721.31	71,721.31	(19,068.54	)	—		—	—	—	—	M-J-S-D	—	1,142.32		20171220	20200312
BRSSJC1F8	PHILLIPS & TEMRO INDUSTRIES IN Term Loan				3,001,588.12	2,326,230.79	3,001,588.12	3,001,588.12	(675,357.33	)	—		—	—	—	—	M-J-S-D	—	196,396.51		20150327	20210312
718546AP9	PHILLIPS 66 SENIOR CORP BND 144A		2	2FE	2,000,000.00	2,006,459.96	2,000,000.00	2,000,000.00	6,459.96		—		—	—	2.1092	2.1092	J-A-J-O	9,022.56	46,919.36		20170411	20200415
03328WAC2	PILOT_12-1 ABS 16-9A 144A	D	4		2,500,000.00	2,523,116.50	2,500,000.00	2,500,000.00	23,116.50		—		—	—	3.3092	2.9136	J-A-J-O	17,924.67	66,494.32		20161108	20290115
72650RBF8	PLAINS ALL AMERICAN PIPELINE L SENIOR CO		1	2FE	724,942.50	730,297.51	750,000.00	730,824.45	(526.94	)	2,393.93		—	—	3.6000	4.0320	May-Nov	4,500.00	27,000.00		20150622	20241101
72650RBD3	PLAINS ALL AMERICAN PIPELINE L SENIOR CO		1	2FE	523,505.00	498,089.98	500,000.00	516,200.15	(18,110.17	)	(2,644.88	)	—	—	3.8500	3.2040	Apr-Oct	4,063.89	19,250.00		20150224	20231015
BRSWYTMJ4	PLASKOLITE INC Term Loan (First Lien)				6,407,463.00	6,439,500.32	6,407,463.00	6,407,463.00	32,037.32		—		—	—	—	—	M-J-S-D	—	342,275.33		20151103	20221103
BRTCRTC23	PLATFORM SPECIALTY PRODUCTS CO SENIOR SE		2		402,294.28	406,691.58	404,768.93	402,521.14	4,170.44		422.06		—	—	—	0.2256	M-J-S-D	—	3,912.12		20171003	20200607
69353REV6	PNC BANK NATIONAL ASSOCIATION SENIOR COR		2	1FE	959,030.40	957,878.39	960,000.00	959,614.78	(1,736.39	)	322.07		—	—	1.9500	1.9848	Mar-Sep	6,084.00	18,720.00		20160301	20190304
69353RFC7	PNC BANK NATIONAL ASSOCIATION SENIOR COR		2	1FE	1,573,220.25	1,561,218.75	1,575,000.00	1,573,578.79	(12,360.04	)	358.54		—	—	2.0000	2.0390	May-Nov	3,675.00	15,750.00		20170516	20200519
69353RES3	PNC BANK NATIONAL ASSOCIATION SENIOR COR		2	1FE	249,825.00	251,612.49	250,000.00	249,907.77	1,704.72		34.48		—	—	2.6000	2.6150	Jan-Jul	2,888.89	6,500.00		20150716	20200721
69353REK0	PNC BANK NATIONAL ASSOCIATION SENIOR COR		2	1FE	703,353.00	698,487.98	700,000.00	702,493.27	(4,005.29	)	(313.20	)	—	—	2.9500	2.8940	Feb-Aug	7,342.22	20,650.00		20150225	20250223
69353REU8	PNC BANK NATIONAL ASSOCIATION SENIOR COR		2	1FE	308,544.00	300,551.99	300,000.00	305,572.08	(5,020.09	)	(2,038.21	)	—	—	2.4500	1.7575	May-Nov	1,143.33	11,293.82		20160616	20201105
69353RDZ8	PNC BANK NATIONAL ASSOCIATION SENIOR COR		2	1FE	2,518,130.00	2,503,000.25	2,500,000.00	2,507,217.26	(4,217.01	)	(4,082.68	)	—	—	2.4000	2.2319	Apr-Oct	12,166.67	60,000.00		20141027	20191018
69353RCH9	PNC BANK NATIONAL ASSOCIATION SENIOR COR		2	1FE	2,049,373.00	2,049,774.46	2,050,000.00	2,051,087.67	(1,313.21	)	38.25		—	—	2.2000	2.2421	Jan-Jul	19,167.50	59,937.78		20140123	20190128
693475AQ8	PNC FINANCIAL SERVICES GROUP I CAPSEC CO		2		2,750,000.00	2,915,000.00	2,750,000.00	2,750,000.00	165,000.00		—		—	—	5.0000	5.0000	May-Nov	22,916.67	137,500.00		20140626	20180502
693476BJ1	PNC FUNDING CORP CORP BND 144A			1FE	1,059,010.00	1,055,960.08	1,000,000.00	1,058,008.95	(2,048.87	)	(1,001.05	)	—	—	5.1250	2.2811	Feb-Aug	20,357.64	(18,506.95	)	20171214	20200208
BRTDQXCF4	PODS LLC SENIOR SECURED TERM LOAN		2	4FE	181,074.94	182,360.71	181,528.76	181,078.66	1,282.05		4.00		—	—	—	0.0353	M-J-S-D	—	342.72		20171121	20241206
73358WAJ3	PORT AUTH NY & NJ MUNI BND REV			1FE	1,459,850.00	1,368,507.26	1,075,000.00	1,425,273.62	(56,766.36	)	(24,449.74	)	—	—	6.0400	2.8040	Jun-Dec	5,410.83	64,930.00		20160726	20291201
73358WUA0	PORT AUTH NY & NJ MUNITAX BND REV			1FE	2,000,000.00	2,012,280.00	2,000,000.00	2,000,000.00	12,280.00		—		—	—	2.5290	2.5290	Apr-Oct	10,678.00	50,580.00		20141008	20201015
BRTBT2JN9	PQ CORP SENIOR SECURED TERM LOAN		2	4FE	281,696.45	286,092.81	284,007.06	281,873.15	4,219.66		188.40		—	—	—	0.1536	J-A-J-O	—	3,076.96		20170807	20221104
74005PAZ7	PRAXAIR INC CORP BND			1FE	818,683.05	809,381.53	795,000.00	809,470.62	(89.09	)	(3,729.69	)	—	—	3.0000	2.4770	Mar-Sep	7,950.00	23,850.00		20150622	20210901
BRT83EXB8	PRESTIGE BRANDS INC SENIOR SECURED TERM			4FE	804,917.12	811,401.64	806,934.45	805,182.44	6,219.20		540.37		—	—	—	0.0353	M-J-S-D	—	30,772.12		20170120	20240126
BRT7F9QD2	PRIME SECURITY SERVICES BORROW SENIOR SE			3FE	2,813,461.23	2,845,115.30	2,826,940.91	2,815,971.44	29,143.86		3,245.49		—	—	—	0.0697	M-J-S-D	—	153,920.61		20161230	20220502
BRTCA62S5	PRIMEDIA INC. SECURED TERM LOAN		2		304,959.73	309,753.43	307,829.50	305,118.59	4,634.84		166.05		—	—	—	0.1421	M-J-S-D	—	6,151.12		20170822	20240221

BRTCA6651	PRIMEDIA INC. SENIOR SECURED TERM NOTES		2	4FE	1,984,593.09	1,987,719.48	1,982,762.58	1,983,263.22	4,456.26		(1,339.31	)	—	—		—	—	M-J-S-D	—	42,893.06		20170822	20211217
89837LAA3	PRINCETON UNIVERSITY MUNI BND REV		1	1FE	1,525,670.40	1,382,075.99	1,340,000.00	1,390,834.25	(8,758.26	)	(42,960.47	)	—	—		4.9500	1.6422	Mar-Sep	22,110.00	66,330.00		20141017	20190301
742741AA9	PROCTER & GAMBLE COMPANY CORP BND		4	1FE	479,631.96	418,788.46	372,770.00	416,469.72	2,318.74		(28,551.54	)	—	—		9.3600	1.8235	Jan-Jul	17,445.64	40,948.14		20140214	20210101
742718EB1	PROCTER & GAMBLE COMPANY SENIOR CORP BND			1FE	2,194,353.00	2,157,308.92	2,100,000.00	2,187,014.80	(29,705.88	)	(7,338.20	)	—	—		3.1000	2.3098	Feb-Aug	24,593.34	8,680.00		20170622	20230815
110709BN1	PROVINCE OF BRITISH COLUMBIA SENIOR CORP	A		1FE	4,127,240.00	4,045,560.00	4,000,000.00	4,116,494.07	(70,934.07	)	(10,745.93	)	—	—		2.6500	1.8366	Mar-Sep	29,150.00	8,244.44		20170821	20210922
69362BAZ5	PSEG POWER LLC SENIOR CORP BND		1	2FE	49,925.00	50,101.35	50,000.00	49,986.36	114.99		15.33		—	—		2.4500	2.4819	May-Nov	156.53	1,225.00		20131105	20181115
74456QBE5	PUBLIC SERVICE ELECTRIC AND GA SECURED C		1	1FE	1,099,692.00	1,101,254.00	1,100,000.00	1,099,954.92	1,299.08		63.09		—	—		2.3000	2.3059	Mar-Sep	7,449.45	25,300.00		20130909	20180915
74529JNP6	PUERTO RICO SALES TAX FING COR MUNI BND		2	5FE	985,000.00	400,000.00	1,000,000.00	985,000.00	(585,000.00	)	(4,495.91	)	—	—		5.0000	5.2193	Feb-Aug	—	25,000.00		20140108	20220801
747525AP8	QUALCOMM INCORPORATED SENIOR CORP BND		1	1FE	5,766,298.60	5,733,964.63	5,760,000.00	5,765,241.59	(31,276.96	)	(1,057.01	)	—	—		2.1000	2.1021	May-Nov	13,775.99	56,364.00		20170519	20200520
747525AR4	QUALCOMM INCORPORATED SENIOR CORP BND		1	1FE	259,581.40	253,416.80	260,000.00	259,629.72	(6,212.92	)	48.32		—	—		2.6000	2.6299	Jan-Jul	4,037.22	—		20170519	20230130
747525AD5	QUALCOMM INCORPORATED SENIOR CORP BND		1	1FE	2,872,817.50	2,857,059.97	2,875,000.00	2,873,929.41	(16,869.44	)	432.34		—	—		2.2500	2.2670	May-Nov	7,367.20	64,687.50		20150513	20200520
747525AG8	QUALCOMM INCORPORATED SENIOR CORP BND			1FE	277,627.48	277,530.18	278,000.00	277,952.15	(421.97	)	1,450.61		—	—		1.4000	1.4459	May-Nov	443.26	54,445.34		20150513	20180518
74814ZEE9	QUEBEC (PROVINCE OF) LOCAL BND			1FE	495,108.40	502,698.43	600,000.00	493,701.22	(1,641.63	)	(1,407.18	)	—	10,638.84		4.5000	1.6658	Jun-Dec	1,835.23	491.25		20171120	20191201
74825FAB0	QUEEN STREET X RE LTD CORP BND 144A	D			340,000.00	340,550.80	340,000.00	340,000.00	550.80		—		—	—		7.1097	7.1725	M-J-S-D	799.87	42,026.38		20150325	20200608
74825WAA5	QUEEN STREET XI RE DAC CORP BND 144A	D			500,000.00	505,490.00	500,000.00	500,000.00	5,490.00		—		—	—		7.5097	7.5795	M-J-S-D	1,147.31	34,348.18		20151215	20190607
74825RAA6	QUEEN STREET XII RE DESIGNATED SENIOR CO	D			450,000.00	453,879.00	450,000.00	450,000.00	3,879.00		—		—	—		7.0317	7.0911	M-J-S-D	1,054.76	56,736.00		20160513	20200408
BRT69AJA2	QUIKRETE HOLDINGS INC SECURED TERM LOAN			4FE	2,404,109.15	2,417,625.76	2,414,607.52	2,405,647.23	11,978.53		1,906.25		—	—		—	0.0716	M-J-S-D	—	97,952.95		20161103	20231115
21685WBT3	RABOBANK NEDERLAND NV CORP BND	D		1FE	1,264,080.00	1,219,678.57	1,150,000.00	1,213,826.32	5,852.25		(20,019.54	)	—	—		4.5000	2.5821	Jan-Jul	24,437.50	51,750.00		20150604	20210111
21685WDD6	RABOBANK NEDERLAND NV CORP BND MTN	D		1FE	996,105.60	993,119.43	945,000.00	995,238.79	(2,119.36	)	(866.81	)	—	—		3.8750	2.5029	Feb-Aug	14,545.78	(11,799.38	)	20171130	20220208
21688AAA0	RABOBANK NEDERLAND NV SENIOR CORP BND			1FE	1,988,560.00	2,002,440.04	2,000,000.00	1,997,519.64	4,920.40		1,775.86		—	—		2.2500	2.3720	Jan-Jul	20,875.00	53,031.25		20140107	20190114
BRSS6M9H8	RABOBANK NEDERLAND NV SENIOR CORP BND EM	B			1,041,777.25	1,124,870.82	800,000.00	1,035,712.81	11,238.76		(6,064.44	)	—	77,919.26		2.2500	1.5282	March	18,945.91	3,040.12		20170131	20220323
21684AAF3	RABOBANK NEDERLAND NV SUB CORP BND	D		1FE	5,572,435.00	5,574,635.55	5,500,000.00	5,564,323.93	10,311.62		(6,297.84	)	—	—		3.7500	3.5900	Jan-Jul	91,666.67	206,250.00		20160901	20260721
BRTDQYK71	RACKSPACE HOSTING INC SECUREDTERMLOAN		2	3FE	1,942,996.35	1,945,602.86	1,947,495.83	1,943,083.53	2,519.33		95.65		—	—		—	0.0415	M-J-S-D	—	16.61		20171110	20231103
74890EAA5	RAITF_17-FL7 CMBS_17-FL7-A 144A		4		249,965.06	250,128.89	249,965.06	249,965.06	163.83		(0.01	)	—	—		2.3294	2.3395	Monthly	274.96	2,612.34		20170613	20370615
BRSN4HND5	RCI BANQUE SA SENIOR CORP BND EMTN	B			978,525.37	902,433.78	650,000.00	961,207.19	9,082.34		(10,985.16	)	—	(67,855.74	)	3.0000	1.7812	May	17,128.03	28,382.25		20160531	20190509
75620TAT5	RCTTE_15-1A ABS_15-1A-CR 144A	D	4		2,000,000.00	2,008,418.80	2,000,000.00	2,000,000.00	8,418.80		—		—	—		3.0626	3.0740	J-A-J-O	12,420.59	—		20170922	20271020
BRT84J840	REALOGY CORP SENIOR SECURED TERM LOAN		2	3FE	287,957.72	288,947.72	287,957.72	287,957.72	990.00		—		—	—		—	—	M-J-S-D	—	7,612.31		20170301	20220720
BRTCSKHU4	RECESS HOLDINGS INC SENIOR SECURED TERM		2	4FE	345,439.66	347,604.06	346,305.42	345,465.82	2,138.24		28.33		—	—		—	0.0357	M-J-S-D	—	5,556.28		20170918	20240918
75625QAC3	RECKITT BENCKISER TSY SENIOR CORP BND 14	D	1	1FE	4,560,708.90	4,475,891.06	4,565,000.00	4,561,126.25	(85,235.19	)	417.35		—	—		2.3750	2.3951	Jun-Dec	2,108.13	53,607.04		20170621	20220624
75886AAK4	REGENCY ENERGY PARTNERS LP/REG SENIOR CO		1	2FE	801,277.50	797,549.92	750,000.00	800,224.00	(2,674.08	)	(1,053.50	)	—	—		5.7500	2.8589	Mar-Sep	14,375.00	(12,218.75	)	20171211	20200901
7591EPAM2	REGIONS FINANCIAL CORPORATION SENIOR COR		1	2FE	3,091,523.74	3,078,499.09	3,094,000.00	3,091,638.81	(13,139.72	)	115.07		—	—		2.7500	2.7609	Feb-Aug	33,324.96	(3,792.26	)	20170807	20220814
75886QAU7	REGT3_14-1A AGENCY ABS 14-1A 144A	D	4		250,000.00	247,998.10	250,000.00	250,000.00	(2,001.90	)	—		—	—		3.4092	3.4236	J-A-J-O	1,799.28	2,587.57		20170614	20260415
BRTCYU9H3	RESEAU FERRE DE FRANCE CORP BND	D			4,964,850.00	4,953,350.05	5,000,000.00	4,965,554.82	(12,204.77	)	704.82		—	—		2.0000	2.2447	October	22,222.22	(16,666.67	)	20171207	20201013
76118XAE6	RESIDENTIAL CAPITAL				450,000.00	449,545.50	450,000.00	450,000.00	(454.50	)	—		—	—		13.7969	13.7969	M-J-S-D	4,311.53	—		20171103	20211206

76111XYJ6	RESIDENTIAL FUNDING MORTGAGE S CMO_05-SA			4	1FM	261,848.21	267,023.11	271,345.29	264,805.54	2,217.57		777.24		—	—	3.8579	4.6148	Monthly	872.35	12,975.16	20070816	20350925
76118XAF3	RESIDENTIAL REINSURANCE 2010 L		D			500,000.00	500,140.00	500,000.00	500,000.00	140.00		—		—	—	6.6975	6.6975	M-J-S-D	2,325.51	—	20171103	20211206
76117QAC6	RESIDENTIAL REINSURANCE 2014 L SENIOR CO		D			500,000.00	500,570.00	500,000.00	500,000.00	570.00		—		—	—	6.0942	6.0942	M-J-S-D	2,200.69	28,183.42	20141120	20181206
76118DAA8	RESIDENTIAL REINSURANCE 2015 L CORP BND		D			250,000.00	134,142.50	250,000.00	250,000.00	(115,857.50	)	—		—	—	12.2399	12.2399	M-J-S-D	2,209.98	29,451.71	20150521	20190606
76118DAB6	RESIDENTIAL REINSURANCE 2015 L CORP BND		D			500,000.00	445,585.00	500,000.00	500,000.00	(54,415.00	)	—		—	—	7.2099	7.2099	M-J-S-D	2,603.57	33,454.68	20150521	20190606
76118DAC4	RESIDENTIAL REINSURANCE 2015 L SENIOR CO		D			400,000.00	407,024.00	400,000.00	400,000.00	7,024.00		—		—	—	8.2199	8.2199	M-J-S-D	2,374.63	31,423.98	20151120	20191206
76118GAF0	RESIDENTIAL REINSURANCE 2016 L CORP BND		D		4FE	250,000.00	248,590.00	250,000.00	250,000.00	(1,410.00	)	—		—	—	5.2242	5.2242	M-J-S-D	943.26	11,275.47	20161103	20201206
76118GAE3	RESIDENTIAL REINSURANCE 2016 L CORP BND		D			250,000.00	248,707.50	250,000.00	250,000.00	(1,292.50	)	—		—	—	6.6399	6.6399	M-J-S-D	1,198.87	15,378.04	20161103	20201206
76118GAA1	RESIDENTIAL REINSURANCE 2016 L SENIOR CO		D			250,000.00	120,342.50	250,000.00	250,000.00	(129,657.50	)	—		—	—	12.8199	12.8199	M-J-S-D	2,314.70	30,804.30	20160428	20200606
76118GAB9	RESIDENTIAL REINSURANCE 2016 L SENIOR CO		D			383,000.00	340,230.39	383,000.00	383,000.00	(42,769.61	)	—		—	—	6.0242	6.0242	M-J-S-D	1,666.37	20,844.36	20160428	20200606
76118GAC7	RESIDENTIAL REINSURANCE 2016 L SENIOR CO		D			500,000.00	499,755.00	500,000.00	500,000.00	(245.00	)	—		—	—	4.5199	4.5199	M-J-S-D	1,632.18	19,658.63	20160428	20230606
76118XAD8	RESIDENTIAL REINSURANCE 2017 L		D			197,500.00	199,305.00	250,000.00	203,229.73	(3,924.73	)	5,729.73		—	—	—	23.6920	Jun-Dec	—	—	20171103	20181206
76118XAB2	RESIDENTIAL REINSURANCE 2017 L CORP BND		D			812,000.00	724,628.80	812,000.00	812,000.00	(87,371.20	)	—		—	—	6.0543	6.0543	M-J-S-D	3,550.52	79,050.22	20170419	20210606
76118XAC0	RESIDENTIAL REINSURANCE 2017 L CORP BND		D			562,000.00	555,233.52	562,000.00	562,000.00	(6,766.48	)	—		—	—	4.3351	4.3351	M-J-S-D	1,759.57	37,351.66	20170419	20210606
76118XAA4	RESIDENTIAL REINSURANCE 2017 L CORP BND	@	D			309,375.00	78,281.25	375,000.00	347,442.67	(269,161.42	)	63,271.82		—	—	—	18.4215	At Mat	—	—	20170419	20180606
76131VAA1	RETAIL PROPERTIES OF AME SENIOR CORP BND			1	2FE	1,458,055.90	1,403,679.50	1,465,000.00	1,459,735.05	(56,055.55	)	618.03		—	—	4.0000	4.0581	Mar-Sep	17,254.44	58,600.00	20150305	20250315
BRTE6T363	REXNORD CORP SENIOR SECURED TERM LOAN			2	3FE	729,622.65	733,407.18	731,187.29	729,638.84	3,768.34		16.19		—	—	—	0.0319	M-J-S-D	—	1,154.21	20171207	20240821
761713BG0	REYNOLDS AMERICAN INC SENIOR CORP BND			1	2FE	229,303.10	245,255.92	230,000.00	229,452.92	15,803.00		60.66		—	—	4.4500	4.4879	Jun-Dec	540.18	10,235.00	20150609	20250612
761713BE5	REYNOLDS AMERICAN INC SENIOR CORP BND			1	2FE	2,507,087.32	2,451,508.39	2,412,000.00	2,480,252.17	(28,743.78	)	(18,884.12	)	—	—	3.2500	2.4920	Jun-Dec	4,137.26	49,613.96	20150708	20200612
761713BF2	REYNOLDS AMERICAN INC SENIOR CORP BND			1	2FE	816,687.25	809,805.22	775,000.00	809,090.56	714.66		(7,079.96	)	—	—	4.0000	2.9371	Jun-Dec	1,636.11	31,000.00	20161130	20220612
761713BT2	REYNOLDS AMERICAN INC SENIOR CORP BND				2FE	3,534,030.00	3,288,360.00	3,000,000.00	3,325,733.07	(37,373.07	)	(135,002.65	)	—	—	6.8750	2.0789	May-Nov	34,375.00	206,250.00	20160608	20200501
761713BC9	REYNOLDS AMERICAN INC SENIOR CORP BND			1	2FE	3,704,566.80	3,694,797.00	3,690,000.00	3,692,547.21	2,249.79		(10,559.77	)	—	—	2.3000	2.3059	Jun-Dec	4,479.25	132,433.68	20150609	20180612
762232AL0	RHODE ISLAND ST COMM CORP REV MUNI BND R				1FE	50,189.60	48,490.00	40,000.00	49,046.30	(556.30	)	(967.20	)	—	—	5.0000	2.0699	Jun-Dec	88.89	2,272.23	20161006	20260615
76541VTC1	RICHMOND VA MUNIBNDGO				1FE	1,254,990.00	1,276,870.00	1,000,000.00	1,254,375.64	22,494.36		(614.36	)	—	—	5.0000	2.3907	Mar-Sep	1,388.89	—	20171205	20290301
76761RAA7	RISERVA CLO LTD RSRVA_16-3A LN1 ABS 2016			4	1FE	2,500,000.00	2,519,474.25	2,500,000.00	2,500,000.00	19,474.25		—		—	—	2.8139	2.8233	J-A-J-O	14,655.68	55,121.45	20161201	20281018
76870YAC6	RIVERFRONT RE LTD UNSEC CORP BND 144A		D			9,957,000.00	9,893,374.77	9,957,000.00	9,957,000.00	(63,625.23	)	—		—	—	7.3034	7.3716	M-J-S-D	4,039.98	447,784.70	20170523	20210115
76870YAB8	RIVERFRONT RE LTD UNSEC CORP BND 144A		D			1,044,000.00	1,040,982.84	1,044,000.00	1,044,000.00	(3,017.16	)	—		—	—	5.5534	5.5934	M-J-S-D	161.05	97,503.50	20170523	20210115
771196BB7	ROCHE HOLDINGS INC SENIOR CORP BND 144A			1	1FE	226,736.85	218,117.51	215,000.00	223,352.11	(5,234.60	)	(2,283.82	)	—	—	2.8750	1.7490	Mar-Sep	1,579.65	6,181.26	20160622	20210929
776743AC0	ROPER IND, INC. SENIOR CORP BND			1	2FE	1,827,126.90	1,833,129.12	1,830,000.00	1,827,687.64	5,441.48		(815.55	)	—	—	2.8000	2.8340	Jun-Dec	2,277.33	93,359.78	20161208	20211215
777594YX4	ROSEMOUNT MN SCH DIST #196 MUNI BND GO			2	1FE	641,590.00	607,620.00	500,000.00	616,901.19	(9,281.19	)	(13,276.22	)	—	—	5.0000	1.8702	Feb-Aug	10,416.67	25,000.00	20160210	20270201
780082AC7	ROYAL BANK OF CANADA SECURED LOCAL BND		A		1FE	99,967.00	99,219.00	100,000.00	99,981.21	(762.21	)	8.96		—	—	2.1000	2.1070	Apr-Oct	449.17	3,587.50	20151006	20201014
780082AA1	ROYAL BANK OF CANADA SECURED LOCAL BND		A			1,516,575.00	1,486,889.99	1,500,000.00	1,510,228.93	(23,338.94	)	(4,765.30	)	—	—	1.8750	1.5429	Feb-Aug	11,406.25	28,125.00	20160825	20200205
78011DAG9	ROYAL BANK OF CANADA SECURED LOCAL BND		A		1FE	4,185,818.40	4,099,922.87	4,103,000.00	4,151,944.92	(52,022.05	)	(27,818.72	)	—	—	2.2000	1.5034	Mar-Sep	24,572.40	90,266.00	20160825	20190923
780086JX3	ROYAL BANK OF CANADA SENIOR CORP BND					472,813.78	480,622.53	600,000.00	472,602.63	(2,164.28	)	(211.15	)	—	10,184.18	2.3500	1.9177	Jun-Dec	711.07	497.99	20171120	20191209

78012KZG5	ROYAL BANK OF CANADA SENIOR CORP BND	A		1FE	1,049,758.50	1,058,998.61	1,050,000.00	1,049,800.87	9,197.74		42.37		—	—		2.7500	2.7549	Feb-Aug	12,031.25	14,517.71		20170125	20220201
78012KC62	ROYAL BANK OF CANADA SENIOR CORP BND	A		1FE	1,568,519.60	1,564,159.58	1,570,000.00	1,568,655.35	(4,495.77	)	135.75		—	—		2.1250	2.1500	Mar-Sep	10,657.47	(158.21	)	20170228	20200302
BRSNFTGX1	ROYAL BANK OF CANADA SENIOR CORP BND EMT			1FE	1,166,566.62	949,585.86	700,000.00	1,168,594.89	3,328.98		571.06		—	(222,338.01	)	0.9220	0.9720	M-J-S-D	669.75	6,460.09		20140528	20190604
78012KRK5	ROYAL BANK OF CANADA SENIOR CORP BND MTN	A		1FE	1,278,255.10	1,270,402.38	1,285,000.00	1,281,026.63	(10,624.25	)	2,463.92		—	—		1.5000	1.9530	Jan-Jul	8,138.34	19,275.00		20160725	20190729
780097BE0	ROYAL BANK OF SCOTLAND PLC THE SENIOR CO	D	2	2FE	3,731,688.00	3,732,710.49	3,725,000.00	3,731,644.35	1,066.14		(43.65	)	—	—		3.4980	3.4106	May-Nov	16,649.52	25,457.67		20170510	20230515
BRT92KNL2	RPI FINANCE TRUST SENIOR SECURED TERM LO			2FE	939,565.72	947,430.40	943,890.81	940,073.88	7,356.52		709.09		—	—		—	0.0763	M-J-S-D	—	30,946.29		20170421	20230327
78355HKF5	RYDER SYSTEM INC. SENIOR CORP BND		1	2FE	832,979.30	821,222.49	835,000.00	833,133.50	(11,911.01	)	154.20		—	—		2.5000	2.5510	Mar-Sep	8,292.02	—		20170801	20220901
78355HKA6	RYDER SYSTEM INC. SENIOR CORP BND MTN		1	2FE	525,148.66	516,677.96	514,000.00	523,623.36	(6,945.40	)	(1,525.30	)	—	—		2.8750	2.1209	Mar-Sep	4,925.83	1,231.46		20170727	20200901
78355HJX8	RYDER SYSTEM INC. SENIOR CORP BND MTN		1	2FE	2,387,011.85	2,383,378.18	2,385,000.00	2,386,820.36	(3,442.18	)	(1,289.99	)	—	—		2.4500	2.5019	Mar-Sep	19,477.50	58,432.50		20150608	20190903
78355HJZ3	RYDER SYSTEM INC. SENIOR CORP BND MTN		1	2FE	443,776.25	444,964.39	445,000.00	444,403.36	561.03		242.37		—	—		2.5000	2.5589	May-Nov	1,545.14	11,125.00		20150504	20200511
78355HJV2	RYDER SYSTEM INC. SENIOR CORP BND MTN		1	2FE	1,261,947.50	1,252,049.89	1,250,000.00	1,253,255.02	(1,205.13	)	(4,027.71	)	—	—		2.4500	2.1859	May-Nov	3,913.20	32,343.06		20150710	20181115
78409VAH7	S&P GLOBAL INC SENIOR CORP BND			2FE	69,944.13	70,211.40	70,000.00	69,982.84	228.56		27.04		—	—		2.5000	2.5400	Feb-Aug	661.11	1,750.00		20160729	20180815
BRTC2CPE7	SABRE INC SENIOR SECURED TERM LOAN		2	3FE	1,162,533.06	1,168,835.90	1,163,925.30	1,162,608.83	6,227.07		115.58		—	—		—	0.0182	M-J-S-D	—	20,268.62		20170823	20240222
786134UZ7	SACRAMENTO SATN MUNITAX BND REV		1	1FE	2,485,000.00	2,491,709.50	2,485,000.00	2,485,000.00	6,709.50		—		—	—		2.2390	2.2390	Jun-Dec	4,636.60	55,639.16		20141106	20191201
79574CBM4	SALT RIVER PROJ ARIZ AGRIC IMP MUNI BND			1FE	57,922.50	56,325.50	50,000.00	56,291.20	34.30		(1,506.20	)	—	—		5.0000	1.7307	Jan-Jul	1,250.00	1,458.34		20161118	20220101
79642B3N1	SAN ANTONIO TX MUNI BND REV			1FE	49,750.40	47,296.80	40,000.00	48,312.45	(1,015.65	)	(1,231.40	)	—	—		5.0000	1.5601	May-Nov	255.56	2,077.77		20161006	20240515
797272PD7	SAN DIEGO CA CMNTY COLLEGE MUNI BND GO			1FE	64,034.50	62,394.00	50,000.00	62,495.06	(101.06	)	(1,327.14	)	—	—		5.0000	1.8395	Feb-Aug	1,041.66	1,861.11		20161020	20260801
79765RL98	SAN FRANCISCO CALIF CITY & CNT MUNI BND			1FE	80,566.20	77,129.65	65,000.00	78,018.41	(888.76	)	(2,126.94	)	—	—		5.0000	1.4100	May-Nov	541.67	3,349.31		20161007	20231101
80000RAH5	SANDERS RE LTD CORP BND 144A	D			1,062,000.00	1,063,593.00	1,062,000.00	1,062,000.00	1,593.00		—		—	—		4.3671	4.3901	M-J-S-D	515.32	83,587.40		20170524	20200605
80000RAG7	SANDERS RE LTD SANDERS RE LTD 144a	D			875,000.00	877,205.00	875,000.00	875,000.00	2,205.00		—		—	—		1.8636	1.8679	M-J-S-D	181.19	51,017.39		20170320	20211206
798170AF3	SANJOSECALIFREDEEVAGYSUCC MUNITAXBNDREV				2,500,000.00	2,493,950.00	2,500,000.00	2,500,000.00	(6,050.00	)	—		—	—		2.8280	2.8280	Feb-Aug	1,963.89	—		20171208	20230801
G0054BFG3	SANTANDER UK PLC SECURED CORP BND	B		1FE	654,454.82	612,465.68	400,000.00	623,703.21	4,997.10		(19,946.29	)	—	(16,234.63	)	5.1250	2.1444	April	19,905.81	27,508.31		20151021	20210414
80283LAN3	SANTANDER UK PLC SENIOR CORP BND	D		1FE	623,966.76	625,137.52	625,000.00	624,394.47	743.05		331.33		—	—		2.3750	2.4204	Mar-Sep	4,329.43	23,007.82		20160601	20200316
BRSRLCK90	SANTANDER UK PLC SENIOR CORP BND EMTN	B		1FE	2,189,853.83	2,201,924.41	1,600,000.00	2,184,027.72	(1,268.69	)	(5,826.11	)	—	19,165.39		1.8750	0.9006	February	35,356.82	(22,062.68	)	20170719	20200217
BRSM3U3W9	SBA COMMUNICATIONS CORPORATION SENIOR SE		4	3FE	1,145,267.54	1,151,150.53	1,148,101.17	1,146,791.27	4,359.26		892.43		—	—		—	0.0349	J-A-J-O	—	81,133.68		20140331	20210324
83164JU46	SBA PRIME FLTR SBA PRIME FLTR		4	1	954,910.69	980,400.39	943,363.92	952,150.57	28,249.82		(2,541.30	)	—	—		3.3500	3.1259	Monthly	2,633.56	32,887.81		20140930	20310425
78403DAG5	SBA TOWER TRUST SECURED CORP BND 144A			1FE	4,000,000.00	4,009,611.60	4,000,000.00	4,000,000.00	9,611.60		—		—	—		2.8980	2.9152	Monthly	5,152.00	115,920.00		20141007	20441015
806854AH8	SCHLUMBERGER GER INV SENIOR CORP BND	D	1	1FE	2,092,180.00	2,108,659.99	2,000,000.00	2,081,105.07	27,554.92		(11,074.93	)	—	—		3.6500	2.8696	Jun-Dec	6,083.33	56,169.44		20170221	20231201
806851AE1	SCHLUMBERGER HOLDINGS CORP SENIOR CORP B		1	1FE	784,665.00	772,447.47	750,000.00	781,451.66	(9,004.19	)	(3,213.34	)	—	—		3.6250	2.6889	Jun-Dec	755.21	13,518.23		20170619	20221221
806851AC5	SCHLUMBERGER HOLDINGS CORP SENIOR CORP B		1	2FE	408,464.00	405,011.99	400,000.00	407,448.32	(2,436.33	)	(1,015.68	)	—	—		3.0000	2.3251	Jun-Dec	333.33	4,666.67		20170726	20201221
BRSXWU816	SCHLUMBERGER HOLDINGS CORP SENIOR CORP B		1	2FE	3,999,520.00	4,006,640.00	4,000,000.00	3,999,841.16	6,798.84		160.08		—	—		2.3500	2.3542	Jun-Dec	2,611.11	94,000.00		20151210	20181221
80705TAA4	SCHOL_11-A ABS 11-A A 144A		4	1FE	944,863.21	954,883.78	963,886.46	951,051.60	3,832.18		3,163.22		—	—		2.2780	2.5155	J-A-J-O	3,842.47	21,794.86		20110322	20431028
80705XAA5	SCHOLAR FUNDING TRUST SCHOL_13 ABS 13-A		4		495,413.19	492,781.97	497,775.61	496,144.14	(3,362.17	)	544.93		—	—		2.2138	2.2967	Monthly	122.44	9,674.72		20130312	20450130
BRTBRP5M7	SCIENTIFIC GAMES INTERNATIONAL SENIOR SE		2	4FE	668,426.80	677,139.18	671,785.72	668,587.82	8,551.36		169.44		—	—		—	0.0711	M-J-S-D	—	8,138.75		20170731	20240814

83405QAB5	SCLP_17-6 ABS_17-6-A2 144A		4		1,999,973.80	1,998,458.40	2,000,000.00	1,999,972.81	(1,514.41	)	(0.99	)	—	—		2.8200	2.8344	Monthly	940.00	5,622.22		20171107	20261125
811065AB7	SCRIPPS NETWORKS INTERACTIVE I SENIOR CO		1	2FE	685,610.00	682,087.59	680,000.00	682,153.58	(65.99	)	(1,159.01	)	—	—		2.7500	2.5681	May-Nov	2,389.44	18,700.00		20141204	20191115
BRTCTJD06	SCSG EA ACQUISITION CO INC Term Loan			4FE	2,509,090.91	2,518,500.00	2,509,090.91	2,509,090.91	9,409.09		—		—	—		—	—	M-J-S-D	—	43,782.63		20170901	20230901
85815XAT0	SCTR_14-1A MEZZANIN ABS_14-1A CR 144A	D	4		500,000.00	501,549.50	500,000.00	500,000.00	1,549.50		—		—	—		3.9907	4.0103	F-M-A-N	2,272.46	14,128.39		20170130	20260821
80285LAC5	SDART_17-2 SENIOR ABS 17-2-A3		4	4FE	499,937.00	499,645.01	500,000.00	499,956.65	(311.64	)	19.65		—	—		1.8700	1.8843	Monthly	415.56	5,064.60		20170524	20201215
BRT9JCJJ2	SEAWORLD PARKS & ENTERTAINMENT SENIOR SE				2,011,409.47	1,990,555.02	2,019,160.46	2,012,189.72	(21,634.70	)	838.81		—	—		—	—	M-J-S-D	—	84,134.07		20170420	20240401
81618TAA8	SELECT INCOME REIT SENIOR CORP BND		1	2FE	2,939,857.97	2,950,000.00	2,950,000.00	2,949,671.44	328.56		3,862.13		—	—		2.8500	2.9842	Feb-Aug	35,031.25	84,075.00		20150601	20180201
BRTB6R8L5	SEMINOLE TRIBE OF FL INC SENIOR SECURED		2	2FE	1,414,361.06	1,427,687.33	1,421,468.41	1,414,836.37	12,850.96		493.12		—	—		—	0.0708	M-J-S-D	—	23,207.58		20170623	20240708
81745XAU1	SEQUOIA MORTGAGE TRUST SEMT_17 SUPSEN WH		4	1FE	553,494.06	550,248.90	546,576.45	552,922.51	(2,673.61	)	(1,247.69	)	—	—		3.5000	3.1898	Monthly	1,594.18	8,463.33		20170607	20470625
BRT5TABN2	SERTA SIMMONS HOLDING(AOT BEDD SENIOR SE			4FE	2,057,369.80	1,886,783.86	2,067,708.35	2,058,965.45	(172,181.59	)	1,566.90		—	—		—	0.0714	M-J-S-D	—	82,163.11		20161021	20231108
BRT6A4ER2	SERVICEMASTER CO LLC SENIOR SECURED TERM			3FE	1,565,829.88	1,574,037.54	1,569,133.99	1,566,363.37	7,674.17		637.44		—	—		—	0.0354	M-J-S-D	—	69,620.17		20161104	20231108
81881VAW5	SHACK 2014-5A C1R ABS	D	4		1,000,000.00	1,002,794.90	1,000,000.00	1,000,000.00	2,794.90		—		—	—		3.6419	3.6571	F-M-A-N	5,564.08	17,770.51		20170426	20260507
81881LAQ0	SHACK 2014-6A CR ABS_14-6A-CR144A	D	4		500,000.00	501,803.35	500,000.00	500,000.00	1,803.35		—		—	—		3.6033	3.6189	J-A-J-O	3,803.52	8,848.61		20170407	20260717
81882EAS1	SHACK_15-8A MEZZANIN ABS_15-8A-CR 144A	D	4	1FE	2,000,000.00	2,010,923.20	2,000,000.00	2,000,000.00	10,923.20		—		—	—		3.0126	3.0237	J-A-J-O	12,217.81	—		20171005	20271020
822582AJ1	SHELL INTERNATIONAL FINANCE BV CORP BND	D		1FE	1,059,580.00	1,036,419.98	1,000,000.00	1,040,644.34	(4,224.36	)	(18,935.66	)	—	—		4.3000	1.8878	Mar-Sep	11,825.00	23,291.67		20170302	20190922
822582BM3	SHELL INTERNATIONAL FINANCE BV SENIOR CO	D	1	1FE	9,967,100.00	9,971,700.00	10,000,000.00	9,990,438.74	(18,738.74	)	10,992.94		—	—		1.6250	1.7380	May-Nov	23,020.83	162,500.00		20151105	20181110
822582AM4	SHELL INTL FINAN CORP BND	D	1	1FE	1,048,880.00	1,046,490.10	1,000,000.00	1,047,892.65	(1,402.55	)	(987.35	)	—	—		4.3750	2.1629	Mar-Sep	11,666.67	(9,722.22	)	20171213	20200325
BRSR1R5H8	SHELL: ATLAS_14-1 ABS 14-1		4		3,192,183.43	3,197,929.36	3,192,183.43	3,192,183.43	5,745.93		—		—	—		4.8750	4.9224	Monthly	6,916.40	152,681.77		20141218	20201215
824348AT3	SHERWIN-WILLIAMS COMPANY (THE) SENIOR CO		1	2FE	1,056,695.50	1,046,923.51	1,050,000.00	1,055,841.23	(8,917.72	)	(854.27	)	—	—		2.2500	2.0201	May-Nov	3,018.75	5,543.75		20170726	20200515
824348AU0	SHERWIN-WILLIAMS COMPANY (THE) SENIOR CO		1	2FE	159,900.80	159,531.20	160,000.00	159,913.60	(382.40	)	(1,339.36	)	—	—		2.7500	2.7631	Jun-Dec	366.66	57,636.96		20170502	20220601
25267TAA9	SHINE_17-1 ABS17-1144A		4		1,000,000.00	999,792.80	1,000,000.00	1,000,000.00	(207.20	)	—		—	—		3.7220	3.7505	Monthly	1,240.67	—		20171207	20471220
BRSXQ9KS7	SHOES FOR CREWS LLC Revolver			4FE	232,558.08	217,146.45	232,558.08	232,558.08	(15,411.63	)	—		—	—		—	—	M-J-S-D	—	9,456.04		20170525	20211119
BRSXDXJR2	SHOES FOR CREWS LLC Term Loan			4FE	6,637,790.75	6,305,901.21	6,637,790.75	6,637,790.75	(331,889.54	)	—		—	—		—	—	M-J-S-D	—	380,998.19		20151120	20221027
BRSNC4883	SI ORGANIZATION INC SENIOR SECURED TERM			4FE	724,298.12	737,985.94	729,550.87	726,581.91	11,404.03		1,607.25		—	—		—	0.2119	M-J-S-D	—	44,136.11		20160614	20191123
82620KAP8	SIEMENS FINANCIERINGSMAATSCHAP SENIOR CO	D	1		3,999,200.00	3,992,520.16	4,000,000.00	3,999,407.23	(6,887.07	)	253.68		—	—		2.2000	2.2069	Mar-Sep	25,666.67	59,717.77		20170307	20200316
82620KAC7	SIEMENS FINANCIERINGSMAATSCHAP SENIOR CO	D	1	1FE	1,498,020.00	1,494,194.99	1,500,000.00	1,499,021.68	(4,826.69	)	392.38		—	—		2.1500	2.1780	May-Nov	3,045.83	32,250.00		20150518	20200527
82620KAR4	SIEMENS FINANCIERINGSMAATSCHAP SENIOR CO	D		1FE	5,193,585.00	5,130,498.00	5,100,000.00	5,186,199.19	(55,701.19	)	(8,266.29	)	—	—		2.7000	2.2761	Mar-Sep	40,162.50	18,105.00		20170810	20220316
826239EQ4	SIERRA CALIF JT CMNTY COLLEGE MUNI BND G		2	1FE	1,366,855.50	1,351,871.00	1,150,000.00	1,292,751.60	59,119.40		(23,463.52	)	—	—		5.0000	2.5974	Feb-Aug	23,958.33	57,500.00		20140930	20270801
BRTCQM998	SILVA_17-1UK SENIOR ABS_17-1UK-A	B	4	1FE	1,227,140.74	1,227,272.13	907,078.20	1,227,140.74	222.09		—		—	(90.70	)	0.8424	0.8427	Monthly	339.85	1,988.97		20170922	20230720
BRTBPG036	SILVER II BORROWER / SILVER II SENIOR SE	D	2	4FE	410,030.05	413,305.76	411,057.69	410,082.34	3,223.42		58.50		—	—		—	0.0353	M-J-S-D	—	7,617.41		20170802	20240818
828807CM7	SIMON PROPERTY GROUP LP SENIOR CORP BND		1	1FE	5,405,792.00	5,400,000.00	5,400,000.00	5,399,984.80	15.20		(2,602.56	)	—	—		1.5000	1.5000	Feb-Aug	33,750.00	89,893.33		20150519	20180201
828807CQ8	SIMON PROPERTY GROUP LP SENIOR CORP BND		1	1FE	7,658,812.90	7,673,908.39	7,669,000.00	7,668,574.59	5,333.80		2,215.36		—	—		2.2000	2.2401	Feb-Aug	70,299.15	164,758.00		20140113	20190201
828807CR6	SIMON PROPERTY GROUP LP SENIOR CORP BND		1	1FE	840,720.00	832,760.07	800,000.00	828,660.35	4,099.72		(4,417.45	)	—	—		3.7500	3.0749	Feb-Aug	12,500.00	30,000.00		20150304	20240201

828807CU9	SIMON PROPERTY GROUP LP SENIOR CORP BND		1	1FE	599,658.00	602,472.02	600,000.00	599,816.06	2,655.96		65.98		—	—	2.5000	2.5120		Mar-Sep	5,000.00	15,000.00	20150810	20200901
828807DD6	SIMON PROPERTY GROUP LP SENIORCORPBND		1	1FE	1,497,285.00	1,497,524.99	1,500,000.00	1,497,310.84	214.15		25.84		—	—	2.7500	2.7860		Jun-Dec	2,291.66	—	20171130	20230601
BRT7L1Y35	SINCLAIR TELEVISION GROUP INC SECURED TE		2	3FE	762,300.00	759,452.05	759,452.05	759,468.98	(16.93	)	(3,578.96	)	—	—	—	(0.4006	)	M-J-S-D	58.72	29,897.81	20170106	20240103
BRTE6K3Z8	SINCLAIR TELEVISION GROUP INC SENIOR SEC		2	3FE	2,165,787.84	2,169,179.28	2,171,215.88	2,165,787.84	3,391.44		—		—	—	—	0.0365		M-J-S-D	—	—	20171212	20241212
G817ATAC9	SKYLINE RE LTD SENIOR CORP BND	D			30,000,000.00	30,790,398.00	30,000,000.00	30,000,000.00	790,398.00		—		—	—	13.3884	13.6110		M-J-S-D	11,157.03	3,512,613.05	20170206	20200106
784423AF2	SLCLT_04-1 ABS 04-1		4		731,728.52	743,813.15	743,815.53	741,187.21	2,625.94		2,520.36		—	—	1.5759	1.8960		F-M-A-N	1,530.31	11,975.52	20130520	20230515
78446XAB1	SLM STUDENT LOAN TRUST ABS_12-B A2 144A		4	1FE	201,106.92	202,028.16	201,127.57	201,119.21	908.95		28.33		—	—	3.4800	3.5066		Monthly	311.08	13,933.80	20120404	20301015
78446JAA4	SLM STUDENT LOAN TRUST SLMA_11 ABS 11-2		4	1FE	803,468.14	808,013.46	805,028.69	804,426.50	3,586.96		394.92		—	—	2.1521	2.2002		Monthly	288.75	15,853.18	20110518	20271125
78446TAC8	SLM STUDENT LOAN TRUST SLMA_11 SENIOR AB		4	1FE	265,465.33	252,206.60	245,650.20	253,731.03	(1,524.43	)	(7,942.16	)	—	—	4.5400	2.4622		Monthly	495.67	13,922.18	20140731	20441017
78447FAB9	SLM STUDENT LOAN TRUST SLMA_12 ABS_12-E		4	1FE	586,866.29	578,378.02	578,273.94	579,553.99	(1,175.97	)	(2,718.13	)	—	—	2.0900	1.6709		Monthly	537.15	17,661.24	20130319	20450615
78446JAB2	SLMA_11-2 ABS 11-2		4	1FE	775,000.00	802,950.24	775,000.00	775,000.00	27,950.24		—		—	—	2.7521	2.7679		Monthly	355.48	17,762.66	20110518	20341025
78447KAB8	SLMA_12-7 ABS 12-7		4	1FE	73,487.75	73,550.66	73,536.09	73,531.36	19.30		54.85		—	—	1.8321	1.8559		Monthly	22.45	4,261.12	20121102	20190925
78448AAA1	SLMA_13-4 ABS 13-4		4		374,486.64	374,219.33	374,486.64	374,486.64	(267.31	)	—		—	—	2.1021	2.1113		Monthly	131.20	6,703.13	20130806	20430625
78447RAC1	SLMA_13-A ABS 13-A 144A		4	1FE	562,332.54	565,751.52	562,332.54	562,332.54	3,418.98		—		—	—	2.5270	2.5389		Monthly	671.04	30,829.60	20130227	20270517
78447RAB3	SLMA_13-A ABS 13-A 144A		4	1FE	323,249.99	323,056.68	323,341.21	323,319.64	(262.96	)	27.07		—	—	1.7700	1.7816		Monthly	254.36	7,607.41	20130227	20270517
78447VAB4	SLMA_13-B ABS_13-B-A2A		4		687,372.50	684,756.37	687,492.61	687,450.60	(2,694.23	)	27.78		—	—	1.8500	1.8599		Monthly	565.27	14,644.78	20130425	20300617
78447VAC2	SLMA_13-B ABS_13-B-A2B		4		525,227.27	528,541.44	525,227.27	525,227.27	3,314.17		—		—	—	2.5770	2.5908		Monthly	639.17	13,096.50	20130425	20300617
83191GAD1	SMART TRUST SMAT_16-2US ABS_16 2US A3A	D	4		1,524,683.41	1,506,748.80	1,525,000.00	1,524,760.64	(18,011.84	)	63.77		—	—	1.7100	1.7242		Monthly	1,231.44	26,077.56	20161006	20210315
78449GAB5	SMB PRIVATE EDUCATION LOAN TRU SENIOR AB		4		394,985.98	388,265.24	395,000.00	394,987.27	(6,722.03	)	0.30		—	—	2.4300	2.4424		Monthly	426.60	9,598.56	20160713	20320217
78449FAB7	SMB_16-A SENIOR ABS 16-A A2A 144A		4	1FE	679,710.80	676,558.18	680,000.00	679,775.89	(3,217.71	)	41.37		—	—	2.7000	2.7221		Monthly	816.00	18,360.00	20160518	20310515
BRSRP6KZ1	SMI_15-1X-2A2 WHOLE CMO 15-1X-2A2	D	4		3,111,410.00	3,106,060.50	3,100,000.00	3,108,409.72	(2,349.22	)	(3,000.28	)	—	—	1.9174	1.7791		J-A-J-O	11,557.78	26,390.17	20170209	20700121
BRSWD19K0	SMYTH COMPANIES LLC Revolver				781,142.08	698,130.12	781,142.09	781,142.08	(83,011.96	)	—		—	—	—	—		J-A-J-O	—	60,358.44	20160816	20200925
BRSWD1953	SMYTH COMPANIES LLC Term Loan				2,346,896.69	2,170,879.44	2,346,896.69	2,346,896.69	(176,017.25	)	—		—	—	—	—		M-J-S-D	—	173,345.49	20150925	20200925
BRSL51FK6	SNADY CREEK ENERGY ASSOC LP SENIOR SECUR		4	3FE	1,097,442.18	919,590.37	1,102,956.96	1,100,674.72	(181,084.35	)	1,424.32		—	—	—	0.0715		F-M-A-N	—	96,139.56	20131212	20201109
83609NAA8	SNDPT_16-3A ABS 16-3A-A 144A	D	4		1,500,000.00	1,513,544.55	1,500,000.00	1,500,000.00	13,544.55		—		—	—	2.8925	2.9022		J-A-J-O	8,436.46	38,776.21	20161020	20290123
83609NAE0	SNDPT_16-3A MEZZANIN ABS 16-3A 144A	D	4		1,484,776.50	1,526,499.45	1,500,000.00	1,486,674.57	39,824.88		1,718.31		—	—	4.0125	4.1799		J-A-J-O	11,703.13	54,642.87	20161020	20290123
83609TAE7	SNDPT_17-4A MEZZANINABS17-4A144A	D	4		1,993,000.00	1,993,000.00	2,000,000.00	1,993,000.00	—		—		—	—	—	0.0513		J-A-J-O	—	—	20171212	20310120
83367TBF5	SOCIETE GENERALE SA JRSUB CORP BND 144A	D	2	3FE	3,212,687.50	3,375,000.00	3,000,000.00	3,203,255.99	171,744.01		(8,706.43	)	—	—	7.8750	5.8904		Jun-Dec	8,531.25	176,859.37	20151110	20491231
83404LAC5	SOFI_16-D SENIOR ABS 16-D 144A		4		99,987.56	98,373.00	100,000.00	99,989.58	(1,616.58	)	1.16		—	—	2.3400	2.3528		Monthly	39.00	2,340.00	20160913	20330425
BRT8E4J40	SOFI_17-AX SENIOR ABS 17-AX		4		599,531.17	598,181.43	601,084.97	599,596.32	(1,414.89	)	964.24		—	—	1.5500	1.5786		Monthly	155.28	11,084.13	20170202	20400325
78471CAB5	SOFI_17-D ABS_17-D-A2FX 144A		4	1FE	834,793.50	829,933.22	835,000.00	834,807.86	(4,874.64	)	14.36		—	—	2.6500	2.6682		Monthly	368.79	9,219.80	20170718	20400925
83401BAB2	SOFIPROFESSIONALLOANPROGRAM SENIORABS17-		4		3,998,292.80	4,005,334.00	4,000,000.00	3,998,303.36	7,030.64		10.56		—	—	2.8400	2.8631		Monthly	7,257.78	—	20171205	20410125
83546DAD0	SONIC CAPITAL LLC SONIC_16-1A ABS 16-1A		4	1FE	763,217.07	756,205.42	745,625.00	745,625.00	10,580.42		—		—	—	4.4720	4.4903		Monthly	1,018.86	33,344.40	20160720	20460520
842400GF4	SOUTHERN CALIFORNIA EDISON CO. SECURED C		1	1FE	2,941,071.44	2,871,338.58	2,941,071.44	2,941,071.44	(69,732.86	)	—		—	—	1.8450	1.8441		Feb-Aug	22,609.49	63,306.56	20150113	20220201

842587CU9	SOUTHERN COMPANY (THE) SENIOR CORP BND		1	2FE	359,694.00	360,291.60	360,000.00	359,765.13	526.47		38.77		—	—		2.9500	2.9629	Jan-Jul	5,310.00	11,711.50		20160519	20230701
842587CQ8	SOUTHERN COMPANY (THE) SENIOR CORP BND		1	2FE	1,249,762.50	1,241,787.52	1,250,000.00	1,249,889.92	(8,102.40	)	72.58		—	—		1.8500	1.8560	Jan-Jul	11,562.50	37,879.78		20160519	20190701
842808AF4	SOUTHERN ELEC SENIOR CORP BND 144A			1FE	3,333,899.45	3,308,760.22	3,335,000.00	3,334,792.57	(26,032.35	)	222.11		—	—		2.2000	2.2069	Jun-Dec	6,114.17	73,370.00		20131118	20181201
843646AS9	SOUTHERN POWER COMPANY SENIOR CORP BND		1		2,379,405.00	2,361,126.62	2,380,000.00	2,379,632.06	(18,505.44	)	215.24		—	—		1.9500	1.9581	Jun-Dec	2,062.67	50,148.59		20161110	20191215
84650WAE6	SPAREBNK 1 BOLIG SECURED LOCAL BND 144A	D		1FE	5,854,157.00	5,840,882.07	5,900,000.00	5,887,160.03	(46,277.96	)	6,686.23		—	—		1.7500	1.8690	May-Nov	13,193.06	103,250.00		20121107	20191115
84763LAA2	SPECTRUM CAPITAL LTD SENIOR CORP BND 144	D			500,000.00	495,840.00	500,000.00	500,000.00	(4,160.00	)	—		—	—		7.4105	7.4791	M-J-S-D	3,087.71	15,637.08		20170613	20210608
84763LAB0	SPECTRUM CAPITAL LTD SENIOR CORP BND 144	D			1,000,000.00	1,003,120.00	1,000,000.00	1,000,000.00	3,120.00		—		—	—		4.8605	4.8900	M-J-S-D	4,050.42	20,967.77		20170613	20210608
84861CAA3	SPMF 2014-4A SENIOR CMBS _14-4A A1		4	1FE	3,992,636.00	4,011,228.00	4,000,000.00	3,992,595.06	18,632.94		(7.27	)	—	—		3.5014	3.5267	Monthly	11,671.33	140,055.96		20141121	20450120
BRT84AJN5	SPRINT COMMUNICATIONS INC SECURED TERM L			3FE	3,114,428.25	3,107,745.97	3,111,635.52	3,111,635.52	(3,889.55	)	(2,812.50	)	—	—		—	—	M-J-S-D	—	110,015.80		20170131	20240202
BRT8SBWQ5	SS&C EUROPEAN HOLDINGS SARL SENIOR SECUR	D		3FE	8,434.54	8,515.68	8,467.30	8,439.64	76.04		170.56		—	—		—	0.0714	M-J-S-D	—	937.13		20170302	20220708
BRT8SB8K5	SS&C TECHNOLOGIES INC SSNC			3FE	449,172.33	453,315.30	450,849.60	449,377.30	3,938.00		508.30		—	—		—	0.0714	M-J-S-D	—	11,886.06		20170516	20220708
BRT8VTVR1	SSE PLC CAPSEC CORP BND	B	2		429,281.64	489,256.79	350,000.00	429,216.01	16,553.09		(65.63	)	—	43,487.69		3.6250	3.5992	September	5,031.35	7,856.07		20170302	20770916
BRSRUTM42	SSE PLC CAPSEC CORP BND	B	1		426,101.05	421,576.10	300,000.00	426,101.05	18,382.87		—		—	(22,907.82	)	3.8750	3.8842	September	4,868.52	24,597.48		20160801	20190808
G7885VDR7	SSE PLC SENIOR CORP BND	B		1FE	1,742,153.11	1,742,341.84	1,250,000.00	1,658,941.49	(2,053.99	)	(67,598.36	)	—	85,454.34		5.0000	0.7397	October	21,310.44	80,109.50		20160831	20181001
BRTC0HDL5	STAPLES INC SENIOR SECURED TERM LOAN		2	4FE	1,324,115.04	1,296,736.73	1,327,433.63	1,324,242.73	(27,506.00	)	127.69		—	—		—	0.0354	M-J-S-D	—	15,273.07		20170815	20240912
855244AL3	STARBUCKS CORP SENIORCORPBND		1		2,003,375.95	2,003,656.63	2,005,000.00	2,003,434.12	222.51		58.17		—	—		2.2000	2.2281	May-Nov	4,778.58	—		20171120	20201122
857477AQ6	STATE STREET CORP CAPSEC CORP BND		2	2FE	2,125,000.00	2,223,281.25	2,125,000.00	2,125,000.00	98,281.25		—		—	—		5.2500	5.2500	Mar-Sep	32,848.96	111,562.50		20150514	20221104
857477AG8	STATE STREET CORP SENIOR CORP BND			1FE	1,888,683.00	1,801,422.18	1,700,000.00	1,808,991.68	(7,569.50	)	(32,698.00	)	—	—		4.3750	2.2730	Mar-Sep	23,552.09	74,375.00		20150707	20210307
857477AK9	STATE STREET CORP SENIOR CORP BND			1FE	2,262,947.50	2,270,723.00	2,275,000.00	2,273,957.50	(3,234.50	)	3,649.90		—	—		1.3500	1.9321	May-Nov	3,924.38	40,533.75		20130508	20180515
857477AN3	STATE STREET CORP SENIOR CORP BND			1FE	1,032,809.00	1,030,749.89	1,000,000.00	1,024,436.62	6,313.27		(3,134.54	)	—	—		3.3000	3.1490	Jun-Dec	1,375.00	33,000.00		20150225	20241216
BRT1X83J9	STATION CASINOS LLC SENIOR SECURED TERM			3FE	1,200,870.71	1,205,085.32	1,203,430.60	1,201,495.98	3,589.34		414.92		—	—		—	0.0710	M-J-S-D	—	46,345.90		20160525	20230608
85771PAJ1	STATOILHYDRO ASA SENIOR CORP BND	D	1	1FE	6,221,262.50	6,234,750.00	6,250,000.00	6,247,505.46	(12,755.46	)	8,822.82		—	—		1.1500	1.1950	May-Nov	9,184.02	87,384.03		20130508	20180515
BRT9973R3	STERIGENICS-NORDION HOLDINGS L SENOIR SE				2,040,134.93	2,042,193.01	2,043,044.96	2,040,496.62	1,696.39		382.91		—	—		—	0.0359	M-J-S-D	—	52,084.62		20170501	20220515
86213BAB3	STR_14-1A WHOLE CMO _14-1A-A2 144A		4	1FE	1,079,524.45	1,023,967.22	982,083.33	1,071,834.73	(47,867.51	)	(3,143.66	)	—	—		5.0000	4.1910	Monthly	1,500.41	49,239.59		20150123	20440420
86213CAA3	STR_15-1A ABS 15-1A A1 144A		4	1FE	1,479,682.92	1,491,042.29	1,480,000.01	1,479,704.33	11,337.96		7.33		—	—		3.7500	3.7808	Monthly	1,695.83	55,652.35		20150414	20450420
8628113T1	STRATFORD REC CO LLC MUNITAX BND GO			1FE	782,955.00	754,470.00	750,000.00	755,446.41	(976.41	)	(8,631.22	)	—	—		2.9890	1.8094	Feb-Aug	8,468.83	22,417.50		20140930	20180815
863667AK7	STRYKER CORP SENIOR CORP BND		1	1FE	1,115,877.35	1,112,569.27	1,115,000.00	1,115,351.98	(2,782.71	)	(291.72	)	—	—		2.0000	1.9279	Mar-Sep	6,999.72	22,300.00		20160303	20190308
86562MAQ3	SUMITOMO MITSUI FIN GRP INC SENIOR CORP	D		1FE	460,000.00	457,456.20	460,000.00	460,000.00	(2,543.80	)	—		—	—		2.7840	2.7840	Jan-Jul	6,011.89	—		20170706	20220712
29278NAA1	SUNOCO LOGISTICS PARTNERS L.P. CAPSE CCO		2	3FE	3,000,000.00	2,908,980.00	3,000,000.00	3,000,000.00	(91,020.00	)	—		—	—		6.2500	6.2500	Feb-Aug	23,437.51	—		20171113	20491231
86765BAN9	SUNOCO LOGISTICS PARTNERS LP SENIOR CORP		1	2FE	1,019,380.00	1,019,369.96	1,000,000.00	1,019,298.80	71.16		(81.20	)	—	—		4.2500	3.8859	Apr-Oct	10,625.00	(9,444.44	)	20171219	20240401
86787EAS6	SUNTRUST BANK SENIOR CORP BND		2	1FE	3,500,000.00	3,519,810.35	3,500,000.00	3,500,000.00	19,810.35		—		—	—		1.9101	1.9101	J-A-J-O	11,513.60	60,358.28		20170125	20200131
00254EML3	SVENSK EXPORTKREDIT AB SENIOR CORP BND	D		1FE	4,987,250.00	4,921,599.95	5,000,000.00	4,992,885.99	(71,286.04	)	4,226.31		—	—		1.1250	1.2120	Feb-Aug	19,218.75	55,937.50		20160824	20190828
BRT92NYZ3	SVENSK EXPORTKREDIT AB SENIOR CORP BND E	B		2FE	2,553,892.31	2,686,816.09	2,000,000.00	2,554,113.50	(17,321.84	)	221.19		—	150,024.43		0.6250	0.6414	December	1,158.17	7,044.85		20170627	20201207
86960BAR3	SVENSKA HANDELSBANKEN AB SENIOR CORP BND	D		1FE	2,367,606.30	2,346,015.58	2,370,000.00	2,367,853.56	(21,837.98	)	247.26		—	—		1.9500	1.9848	Mar-Sep	14,506.38	—		20170830	20200908

86960BAJ1	SVENSKA HANDELSBANKEN AB SENIOR CORP BND	D		1FE	1,021,690.00	1,001,019.97	1,000,000.00	1,013,830.71	(12,810.74	)	(4,861.44	)	—	—		2.4000	1.8810	Apr-Oct	6,000.00	24,000.00		20160511	20201001
W9124YBG6	SVENSKA HANDELSBANKEN AB SENIOR CORP BND	B			1,533,774.50	1,568,262.58	1,100,000.00	1,521,308.52	(8,046.33	)	(12,465.98	)	—	55,000.39		3.0000	0.9108	May-Nov	5,179.31	13,463.49		20170726	20201120
86960BAN2	SVENSKA HANDELSBANKEN AB SENIOR CORP BND	D			4,987,150.00	4,940,599.80	5,000,000.00	4,992,737.53	(52,137.73	)	4,241.20		—	—		1.5000	1.5881	Mar-Sep	23,958.33	74,791.67		20160830	20190906
W94232CA6	SWEDBANK AB SENIOR CORP BND			1FE	4,991,550.00	5,006,140.00	5,000,000.00	4,997,958.47	8,181.53		1,723.62		—	—		2.3750	2.4111	Feb-Aug	40,902.78	118,750.00		20140220	20190227
W9423X6P2	SWEDBANK AB SENIOR CORP BND EMTN				1,097,932.33	1,092,768.44	800,000.00	1,095,684.76	72.39		(2,247.57	)	—	(2,988.71	)	1.6250	0.8600	April	12,575.02	(7,729.91	)	20170920	20190415
87020DAR5	SWEDEN KINGDOM CORP BND 144A MTN	D			1,994,860.00	1,999,512.00	2,000,000.00	1,999,896.34	(384.34	)	1,728.81		—	—		0.8750	0.9621	Jan-Jul	7,680.56	17,500.00		20150115	20180123
87154GAC9	SYMP_16-18A MEZZANIN ABS 16-18A 144A	D	4		2,500,000.00	2,521,959.75	2,500,000.00	2,500,000.00	21,959.75		—		—	—		3.1625	3.1731	J-A-J-O	15,373.26	65,177.98		20161116	20280123
87165LBB6	SYNCC_16-2 SENIOR ABS_16-2 A		4	1FE	6,019,536.00	5,972,399.87	6,010,000.00	6,018,070.95	(45,671.08	)	(1,462.27	)	—	—		2.2100	2.2186	Monthly	5,903.15	156,053.76		20160520	20240515
87165LBJ9	SYNCHRONY CREDIT CARD MASTER N SENIOR AB		4	1FE	769,914.77	761,737.74	770,000.00	769,936.81	(8,199.07	)	72.92		—	—		1.5800	1.5875	Monthly	540.71	54,748.72		20160914	20220915
BRSEM91J4	SYNIVERSE HLDGS SENIOR SEC TERM NOTES		4	4FE	1,432,481.13	1,419,216.94	1,446,950.64	1,444,229.75	(25,012.81	)	2,486.62		—	—		—	0.1421	J-A-J-O	—	84,118.77		20120420	20190423
871829BB2	SYSCO CORP SENIOR CORP BND			2FE	3,473,088.75	3,464,331.78	3,475,000.00	3,474,192.46	(9,860.68	)	634.01		—	—		1.9000	1.9190	Apr-Oct	16,506.25	66,025.00		20160322	20190401
89231RAD6	TAOT_14-B SENIOR ABS _14-B-A4		4	1FE	1,465,702.99	1,465,201.64	1,465,947.07	1,465,912.53	(710.89	)	295.82		—	—		1.3100	1.3182	Monthly	853.51	82,755.95		20140610	20190916
89238MAE8	TAOT_17-A SENIOR ABS 17-A-A4		4		4,499,045.55	4,479,202.22	4,500,000.00	4,499,238.05	(20,035.83	)	204.93		—	—		2.1000	2.1150	Monthly	4,199.99	75,775.00		20170307	20220915
89190BAE8	TAOT_17-B SENIOR ABS_17-B A4		4	1FE	3,998,925.60	3,978,543.41	4,000,000.00	3,999,092.40	(20,548.99	)	166.80		—	—		2.0500	2.0661	Monthly	3,644.45	47,377.75		20170509	20220915
89237RAE8	TAOT_17-C SENIOR_17-C-A4 ABS 17-C		4	1FE	999,839.70	988,180.16	1,000,000.00	999,857.85	(11,677.69	)	18.15		—	—		1.9800	1.9928	Monthly	880.00	7,315.00		20170725	20221215
89238KAE2	TAOT_17-D ABS_17-D-A4		4		1,669,804.45	1,661,108.90	1,670,000.00	1,669,809.27	(8,700.37	)	4.82		—	—		2.1200	2.1322	Monthly	1,573.52	2,950.33		20171107	20230215
00388WAD3	TAQA ABU DHABI NATIONAL SENIOR CORP BND	D		2FE	473,385.00	482,335.90	475,000.00	473,847.43	8,488.47		305.61		—	—		3.6250	3.7001	Jun-Dec	430.47	17,218.76		20160614	20210622
87612EAZ9	TARGET CORPORATION CORP BND			1FE	2,052,740.00	2,038,699.80	2,000,000.00	2,050,195.75	(11,495.95	)	(2,544.25	)	—	—		2.9000	2.2463	Jan-Jul	26,744.44	(14,177.77	)	20171011	20220115
87612EAV8	TARGET CORPORATION CORP BND		1	1FE	493,092.00	468,796.51	450,000.00	470,982.01	(2,185.50	)	(9,539.17	)	—	—		3.8750	1.9821	Jan-Jul	8,040.63	31,907.94		20150303	20200715
87612EBB1	TARGET CORPORATION SENIOR CORP BND			1FE	5,864,292.45	5,756,563.55	5,735,000.00	5,787,244.79	(30,681.24	)	(34,507.58	)	—	—		2.3000	1.5910	Jun-Dec	1,832.01	131,905.00		20150807	20190626
87612EBE5	TARGET CORPORATION SENIOR CORP BND		1	1FE	599,946.00	576,714.02	600,000.00	599,955.26	(23,241.24	)	4.79		—	—		2.5000	2.5010	Apr-Oct	3,166.67	15,000.00		20160404	20260415
87231LAA9	TCENT_16-1A ABS 16-1A-A1 144A	D	4	1FE	2,000,000.00	2,020,155.00	2,000,000.00	2,000,000.00	20,155.00		—		—	—		2.8945	2.9045	J-A-J-O	10,613.02	46,741.90		20161202	20291227
87233GAG5	TCP WATERMAN CLO LLC TCP_16-1A ABS 16-1A	C	4	1FE	500,000.00	506,995.20	500,000.00	500,000.00	6,995.20		—		—	—		4.5885	4.6123	M-J-S-D	1,083.39	21,117.96		20161122	20281215
BRT7XL7J3	TEAM HLTH HLDGS SECURED TERM LOAN		2	4FE	1,469,750.06	1,433,835.10	1,473,433.64	1,470,182.76	(36,347.66	)	458.98		—	—		—	0.0354	M-J-S-D	—	47,746.21		20170112	20240206
BRSN4E4J0	TECHNIMARK LLC Incremental Term Loan				6,601,549.19	6,535,533.70	6,601,549.19	6,601,549.19	(66,015.49	)	—		—	—		—	—	M-J-S-D	—	313,521.55		20151223	20210425
BRTE0D1E9	TELENET FINANCING USD LLC SENIOR SECURED		2		748,036.40	750,093.50	748,036.40	748,036.40	2,057.10		—		—	—		—	—	M-J-S-D	—	—		20171130	20260301
BRT8B6AF2	TELESAT CANADA SENIOR SECURED TERM LOAN	A	2	3FE	1,599,475.66	1,621,716.13	1,615,155.37	1,601,578.48	20,137.65		2,261.22		—	—		—	0.1417	F-M-A-N	—	64,442.15		20170201	20231117
87970UAW6	TELOS_14-6A-B1RTELOS_14-6A MEZZANIN ABS_	D	4		2,500,000.00	2,506,078.25	2,500,000.00	2,500,000.00	6,078.25		—		—	—		3.1033	3.1140	J-A-J-O	16,378.69	37,888.91		20170406	20270117
BRTC11WA2	TEREX CORP SENIOR SECURED TERM LOAN		2	3FE	947,260.60	953,406.31	949,449.95	947,384.84	6,021.47		135.26		—	—		—	0.0354	M-J-S-D	—	12,623.47		20170817	20240131
BRSAC1300	TERRA BRASIS				4,877,500.00	5,000,000.00	4,877,500.00	4,877,500.00	122,500.00		—		—	—		—	—	M-J-S-	—	—		20170101	20181231
BRSQPSFE8	TERRA-GEN FINANCE CO LLC SENIOR SECURED		4	3FE	656,941.21	600,820.62	660,242.44	658,361.83	(57,541.21	)	513.81		—	—		—	0.0714	M-J-S-D	—	36,889.32		20141126	20211209
88167AAB7	TEVA PHARMACEUTICAL FINANCE NE SENIOR CO	D	1	2FE	2,022,172.75	1,967,530.57	2,025,000.00	2,022,801.81	(55,271.24	)	692.31		—	—		1.7000	1.7031	Jan-Jul	15,491.25	129,636.83		20160718	20190719
8821172X1	TEXAS A & M UNIV PERM UNIV FD MUNITAX BN			1FE	2,005,720.00	1,978,700.00	2,000,000.00	2,002,809.84	(24,109.84	)	(1,091.21	)	—	—		1.7500	1.6924	Jan-Jul	17,500.00	35,000.00		20150408	20200701
88213ALT0	TEXAS A & M UNIVERSITY MUNITAXBNDREV		1		2,390,000.00	2,379,699.10	2,390,000.00	2,390,000.00	(10,300.90	)	—		—	—		2.5920	2.5920	May-Nov	1,892.88	—		20171130	20230515

88224LAE8	TEXAS CHILDRENS HEALTH PLAN (T MUNITAX B				2,000,000.00	1,996,022.00	2,000,000.00	2,000,000.00	(3,978.00	)	—		—	—	2.0750	2.0750	Apr-Oct	10,375.00	41,500.00		20141209	20191001
882508AU8	TEXAS INSTRUMENTS INCORPORATED SENIOR CO		1	1FE	295,140.00	298,257.00	300,000.00	298,044.87	212.13		1,197.80		—	—	1.6500	2.0690	Feb-Aug	2,035.00	4,950.00		20150710	20190803
882508AV6	TEXAS INSTRUMENTS INCORPORATED SENIOR CO			1FE	1,981,400.00	1,995,060.00	2,000,000.00	1,998,728.72	(3,668.72	)	6,829.39		—	—	1.0000	1.1929	May-Nov	3,333.33	25,652.78		20130501	20180501
882806EL2	TEXAS TECH UNIV MUNITAX BND REV			1FE	2,160,000.00	2,152,936.80	2,160,000.00	2,160,000.00	(7,063.20	)	—		—	—	1.8040	1.8040	Feb-Aug	14,720.64	59,032.89		20150318	20190215
88283LKK1	TEXAS TRANSN COMMN ST HWY FD MUNI BND RE			1FE	64,343.50	61,751.50	50,000.00	62,801.58	(1,050.08	)	(1,340.37	)	—	—	5.0000	1.8203	Apr-Oct	625.00	2,326.39		20161102	20261001
88283LHU3	TEXAS TRANSN COMMN ST HWY FD MUNITAX BND		1	1FE	128,262.00	120,046.00	100,000.00	125,777.30	(5,731.30	)	(3,981.91	)	—	—	5.1780	2.6930	Apr-Oct	1,294.50	19,762.70		20160726	20300401
88315FAE1	TEXTAINER MARINE CONTAINERS LT ABS_17-2-		4	1FE	1,537,460.68	1,538,392.09	1,537,734.40	1,537,465.60	926.49		16.00		—	—	3.5200	3.5492	Monthly	1,653.92	26,456.71		20170622	20420620
BRT8V39S1	THE GEO GROUP INC SENIOR SECURED TERM LO			3FE	627,746.00	631,492.27	630,900.49	628,060.24	3,432.03		339.48		—	—	—	0.0715	M-J-S-D	—	15,028.32		20170316	20240322
883556AZ5	THERMO FISHER SCIENTIFIC INC CORP BND		1	2FE	2,896,523.00	2,886,687.81	2,800,000.00	2,863,848.81	22,839.00		(18,694.96	)	—	—	3.6000	2.9390	Feb-Aug	38,080.00	100,800.00		20160203	20210815
883556BN1	THERMO FISHER SCIENTIFIC INC SENIOR CORP		1	2FE	34,829.20	35,221.20	35,000.00	34,867.87	353.33		22.69		—	—	3.0000	3.0780	Apr-Oct	221.67	1,050.00		20160404	20230415
883556BE1	THERMO FISHER SCIENTIFIC INC SENIOR CORP		1	2FE	2,973,453.00	2,978,332.00	2,975,000.00	2,974,588.25	3,743.75		370.53		—	—	2.4000	2.4130	Feb-Aug	29,750.00	71,400.00		20141216	20190201
88428LAA0	THIRD POINT RE USA HOLDINGS IN SENIOR CO		1	2FE	2,700,000.00	2,889,000.00	2,700,000.00	2,700,000.00	189,000.00		—		—	—	7.0000	7.0000	Feb-Aug	72,450.00	631,205.56		20150210	20250213
87247CAN3	TICP_14-2A ABS_14-2A A1AR 144A	D	4	1FE	3,750,000.00	3,759,419.63	3,750,000.00	3,750,000.00	9,419.63		—		—	—	2.5226	2.5288	J-A-J-O	19,182.35	45,597.35		20170329	20260720
87247CAS2	TICP_14-2A MEZZANIN ABS_14-2A BR 144A	D	4		500,000.00	498,779.05	500,000.00	500,000.00	(1,220.95	)	—		—	—	3.5626	3.5780	J-A-J-O	3,612.09	8,722.98		20170329	20260720
87247UAU7	TICP_14-3AR SENIOR ABS 14-3AR-B1R 144A	D	4		1,000,000.00	1,004,298.80	1,000,000.00	1,000,000.00	4,298.80		—		—	—	2.9626	2.9735	J-A-J-O	6,007.51	15,126.56		20170320	20270120
BRSN1NQ83	TIME INC (USA) SENIOR SECURED TERM LOAN			3FE	1,011,785.85	1,017,510.83	1,016,870.20	1,012,021.49	5,489.34		10,011.91		—	—	—	0.1421	M-J-S-D	—	78,697.68		20171006	20210426
88732JAL2	TIME WARNER CABLE INC CORP BND			2FE	1,304,897.00	1,124,442.00	1,100,000.00	1,126,127.89	(1,685.89	)	(51,500.19	)	—	—	6.7500	1.9531	Jan-Jul	37,125.00	74,250.00		20140605	20180701
887317BA2	TIME WARNER INC SENIOR CORP BND		1	2FE	706,747.50	710,324.99	750,000.00	706,818.50	3,506.49		71.00		—	—	2.9500	3.7441	Jan-Jul	10,202.08	(9,894.79	)	20171221	20260715
880591EQ1	TN VLY AUTHORITY SENIOR AGENCY BND			1	1,657,074.60	1,664,134.20	1,665,000.00	1,663,720.10	414.10		2,206.96		—	—	1.7500	1.8491	Apr-Oct	6,151.25	43,487.50		20130924	20181015
BRSWDXKE1	TOOLING ACQUISITION CO. Delayed Draw Ter				794,010.98	784,085.85	794,010.98	794,010.98	(9,925.13	)	—		—	—	—	—	M-J-S-D	—	44,272.79		20170104	20210921
BRSWDXM82	TOOLING ACQUISITION CO. Revolver				480,001.71	470,065.69	480,001.71	480,001.71	(9,936.02	)	—		—	—	—	—	M-J-S-D	—	11,511.67		20151102	20210921
BRSWDXMT6	TOOLING ACQUISITION CO. Term Loan				2,405,633.28	2,375,562.86	2,405,633.28	2,405,633.28	(30,070.42	)	—		—	—	—	—	M-J-S-D	—	143,634.63		20150921	20210921
8911457V0	TORONTO-DOMINION BANK/THE SECURED CORP B	A		1FE	4,592,870.00	4,570,743.90	4,600,000.00	4,595,342.72	(24,598.82	)	1,430.93		—	—	2.2500	2.2830	Mar-Sep	30,475.01	109,500.00		20160307	20210315
89114QBT4	TORONTO-DOMINION BANK/THE SENIOR CORP BN	A		1FE	4,494,915.00	4,445,370.14	4,500,000.00	4,495,382.04	(50,011.90	)	467.04		—	—	1.8500	1.8860	Mar-Sep	25,206.24	—		20170907	20200911
89114QAV0	TORONTO-DOMINION BANK/THE SENIOR CORP BN	A		1FE	4,501,679.00	4,501,439.91	4,500,000.00	4,502,852.74	(1,412.83	)	(1,320.06	)	—	—	2.2500	2.2881	May-Nov	15,750.00	99,531.26		20141030	20191105
891145S47	TORONTO-DOMINION BANK/THE SENIOR CORP BN			1FE	476,261.45	482,360.83	600,000.00	475,961.46	(2,926.51	)	(299.99	)	—	9,325.88	2.5630	2.0059	Jun-Dec	269.75	1,203.76		20171115	20200624
89114QB64	TORONTO-DOMINION BANK/THE SENIOR CORP BN	A		1FE	204,797.05	204,827.80	205,000.00	204,961.32	(133.52	)	68.18		—	—	1.7500	1.7840	Jan-Jul	1,574.51	3,587.50		20150716	20180723
89114QBJ6	TORONTO-DOMINION BANK/THE SENIOR CORP BN	A		1FE	7,207,485.75	7,138,372.47	7,225,000.00	7,211,376.36	(73,003.89	)	3,598.91		—	—	1.4500	1.4531	Feb-Aug	40,158.96	86,476.39		20160706	20190813
89114QBU1	TORONTO-DOMINION BANK/THE SENIOR CORP BN	A			749,250.00	745,852.49	750,000.00	749,320.05	(3,467.56	)	70.05		—	—	1.9000	1.9512	Apr-Oct	2,652.08	—		20171019	20191024
89114QBV9	TORONTO-DOMINION BANK/THE SENIORCORPBND	A		1FE	7,000,000.00	6,997,970.07	7,000,000.00	7,000,000.00	(2,029.93	)	—		—	—	1.5148	1.5148	J-A-J-O	20,323.04	—		20171019	20191024
89141WAB8	TORREY PINES RE LTD CORP BND 144A	D			14,450,000.00	14,486,558.50	14,450,000.00	14,450,000.00	36,558.50		—		—	—	5.0725	5.0725	Monthly	42,756.95	394,472.65		20170427	20200609
89141WAC6	TORREY PINES RE LTD CORP BND 144A	D			400,000.00	403,128.00	400,000.00	400,000.00	3,128.00		—		—	—	7.5725	7.5725	Monthly	1,766.92	27,241.19		20170427	20200609
89141WAA0	TORREY PINES RE LTD CORP BND 144A	D			325,000.00	325,100.75	325,000.00	325,000.00	100.75		—		—	—	4.3225	4.3225	Monthly	819.47	14,154.37		20170427	20200609
F9208ZKR7	TOTAL CAPITAL S.A. CORP BND	B			592,544.66	585,025.90	420,000.00	567,844.46	(210.16	)	(17,319.48	)	—	17,391.61	3.8750	0.6896	December	1,085.72	20,674.13		20160726	20181214

BRT8X34E5	TOWER AUTOMOTIVE HOLDINGS USA SENIOR SEC				1,643,462.44	1,653,200.62	1,648,564.85	1,644,052.97	9,147.65		636.99		—	—		—	0.0709	M-J-S-D	—	48,714.98		20170301	20240307
89237WAD9	TOYOTA AUTO RECEIVABLES OWNER SENIOR ABS		4		1,334,964.22	1,325,997.96	1,335,000.00	1,334,974.46	(8,976.50	)	7.56		—	—		1.1400	1.1433	Monthly	676.40	15,219.00		20160801	20200817
89237RAD0	TOYOTA AUTO RECEIVABLES OWNER SENIOR_17-		4	1FE	1,174,906.35	1,164,223.28	1,175,000.00	1,174,920.65	(10,697.37	)	14.30		—	—		1.7800	1.7896	Monthly	929.56	7,726.94		20170725	20211115
89231LAE7	TOYOTA AUTO RECEIVABLES OWNER SENIORABS1		4	1FE	3,397,562.51	3,393,956.19	3,450,000.00	3,398,544.10	(4,587.91	)	981.59		—	—		1.4200	2.0883	Monthly	2,177.33	29.59		20171207	20220115
892329AR4	TOYOTA CREDIT CANADA INC SENIOR CORP BND				467,412.92	474,627.08	600,000.00	467,534.96	(2,068.65	)	122.04		—	9,160.77		1.8000	2.0183	Feb-Aug	3,162.11	(2,084.55	)	20171115	20200219
89236TCU7	TOYOTA MOTOR CREDIT CORP SENIOR CORP BND			1FE	4,999,400.00	4,980,899.80	5,000,000.00	4,999,769.86	(18,870.06	)	199.53		—	—		1.7000	1.7041	Feb-Aug	31,166.67	85,000.00		20160216	20190219
89236TCF0	TOYOTA MOTOR CREDIT CORP SENIOR CORP BND		1	1FE	999,550.00	998,460.01	1,000,000.00	999,559.83	(1,099.82	)	9.83		—	—		2.1500	2.1701	Mar-Sep	6,509.71	(5,733.33	)	20171214	20200312
89236TDU6	TOYOTA MOTOR CREDIT CORP SENIOR CORP BND			1FE	1,469,323.80	1,460,871.27	1,470,000.00	1,469,480.12	(8,608.85	)	156.32		—	—		1.9500	1.9659	Apr-Oct	5,892.26	14,332.50		20170411	20200417
89236TCX1	TOYOTA MOTOR CREDIT CORP SENIOR CORP BND			1FE	4,998,800.00	4,993,050.00	5,000,000.00	4,999,841.42	(6,791.42	)	700.28		—	—		1.2000	1.2122	Apr-Oct	14,166.67	72,466.67		20160405	20180406
89236TDE2	TOYOTA MOTOR CREDIT CORP SENIOR CORP BND			1FE	890,586.00	891,513.00	900,000.00	894,674.23	(3,161.23	)	3,767.58		—	—		1.4000	1.8351	May-Nov	1,435.00	12,600.00		20161128	20190520
89236TDM4	TOYOTA MOTOR CREDIT CORP SENIOR CORP BND			1FE	4,998,250.00	4,984,650.05	5,000,000.00	4,999,098.58	(14,448.53	)	848.58		—	—		1.7000	1.7179	Jan-Jul	40,611.11	42,500.00		20170104	20190109
89172YAC4	TPMT_16-3 ABS 16-3 M1 144A		4		2,001,152.00	2,016,726.80	2,000,000.00	2,000,738.71	15,988.09		(413.29	)	—	—		3.5000	3.4850	Monthly	5,833.33	41,999.97		20170420	20560425
89267XAH1	TRADEWYND RE LTD CORP BND 144A	D			875,000.00	875,096.25	875,000.00	875,000.00	96.25		—		—	—		8.1377	8.2182	J-A-J-O	17,999.01	69,908.94		20141205	20180108
89267XAF5	TRADEWYND RE LTD CORP BND 144A	D			500,000.00	499,990.00	500,000.00	500,000.00	(10.00	)	—		—	—		6.0175	6.0615	J-A-J-O	7,605.45	29,546.18		20141205	20180108
89289YAB6	TRAMLINE RE II LTD CORP BND 144A	D			500,000.00	500,885.00	500,000.00	500,000.00	885.00		—		—	—		9.3097	9.4155	J-A-J-O	11,766.48	97,766.68		20141204	20190104
893526DK6	TRANSCANADA PIPELINES LIMITED CORP BND	A		1FE	535,870.00	517,870.03	500,000.00	518,605.84	(735.81	)	(6,478.23	)	—	—		3.8000	2.3921	Apr-Oct	4,750.00	19,000.00		20150408	20201001
89352HAK5	TRANSCANADA PIPELINES LIMITED CORP BND	A	1	1FE	628,542.00	627,090.04	600,000.00	626,494.76	595.28		(2,047.24	)	—	—		3.7500	2.8806	Apr-Oct	4,687.50	5,812.50		20170710	20231016
89352HAN9	TRANSCANADA PIPELINES LIMITED SENIOR COR	A	1	1FE	824,735.50	824,967.00	825,000.00	825,000.47	(33.47	)	(16.61	)	—	—		1.8750	1.9840	Jan-Jul	7,261.72	15,468.76		20150107	20180112
89352HAS8	TRANSCANADA PIPELINES LIMITED SR CORP BN	A	1	1FE	1,047,028.50	1,059,691.54	1,050,000.00	1,048,925.41	10,766.13		2,021.78		—	—		3.1250	3.2261	Jan-Jul	15,130.21	87,890.63		20160122	20190115
89356BAA6	TRANSCANADA TRUST CAPSEC CORP BND	A	2	2FE	1,075,000.00	1,131,437.50	1,075,000.00	1,075,000.00	56,437.50		—		—	—		5.6250	5.6250	May-Nov	6,886.72	60,468.76		20150513	20750520
BRTDP51C5	TRANSDIGM INC SENIOR SECURED TERM LOAN		2	3FE	2,218,363.96	2,228,545.86	2,225,948.18	2,218,484.08	10,061.78		139.13		—	—		—	0.0609	M-J-S-D	—	7,527.84		20171130	20230609
89602N7Q1	TRIBOROUGH BRIDG & TUNL AUTH N MUNI BND		2	1FE	582,180.00	601,480.00	500,000.00	577,615.20	23,864.80		(4,564.80	)	—	—		5.0000	3.0800	May-Nov	3,194.44	12,847.23		20170505	20361115
BRSU975A2	TRIBUNE COMPANY SENIOR SECURED TERM LOAN		4	3FE	105,031.01	105,177.26	105,177.26	105,063.08	114.18		404.36		—	—		—	0.0358	M-J-S-D	—	9,320.68		20170228	20201227
BRT870V34	TRIBUNE COMPANY SENIOR SECURED TERM LOAN			3FE	1,309,058.61	1,311,992.94	1,310,900.96	1,309,299.78	2,693.16		348.50		—	—		—	0.0199	M-J-S-D	—	55,207.41		20170201	20240126
BRTC6BQV6	TRINSEO MATERIALS OPERATING SC SENIOR SE			3FE	830,043.13	836,787.23	830,043.13	830,043.13	6,744.10		—		—	—		—	—	M-J-S-D	—	8,881.53		20170817	20240906
89690EAF4	TRIP RAIL MASTER FUNDING LLC T ABS_17-1A		4		1,473,202.69	1,459,414.51	1,465,142.19	1,472,530.48	(13,115.97	)	(1,056.00	)	—	—		2.7090	2.4424	Monthly	1,764.03	10,702.67		20170831	20470815
BRTCV39F0	TRONOX BLOCKED BORROWER LLC SENIOR SECUR		2	3Z	61,271.51	61,909.29	61,579.41	61,280.60	628.69		11.87		—	—		—	0.0713	M-J-S-D	—	691.10		20170914	20240923
BRTCMCZK0	TRONOX FINANCE LLC SENIOR SECURED TERM L	C	2	3FE	141,395.80	142,867.59	142,106.33	141,416.80	1,450.79		27.42		—	—		—	0.0713	M-J-S-D	—	1,621.16		20170914	20240922
872882AC9	TSMC GLOBAL LTD SENIOR CORP BND 144A	D	1	1FE	2,858,083.80	2,856,788.22	2,860,000.00	2,859,899.54	(3,111.32	)	563.85		—	—		1.6250	1.6390	Apr-Oct	11,360.56	78,048.53		20130327	20180403
BRT6TBA33	TURBF_7 ABS 7 A1	B	4		836,358.76	913,593.52	674,537.27	836,358.76	1,113.23		—		—	76,121.53		1.0975	1.1000	Monthly	329.25	10,671.06		20161123	20230620
902133AQ0	TYCO ELECTRONICS GROUP SA SENIOR CORP BN	D	1	1FE	1,634,149.80	1,632,946.44	1,635,000.00	1,634,720.16	(1,773.72	)	171.38		—	—		2.3500	2.3611	Feb-Aug	16,009.38	38,422.50		20140728	20190801
902494BF9	TYSON FOODS INC SENIOR CORP BND		1	2FE	1,527,154.20	1,509,467.35	1,530,000.00	1,527,397.45	(17,930.10	)	243.25		—	—		2.2500	2.2989	Feb-Aug	12,240.00	—		20170821	20210823
G918UHAA3	UBS AG JERSEY BRANCH CORP BND EMTN	B	2	2FE	574,419.18	513,006.09	350,000.00	536,963.61	7,345.94		(17,506.03	)	—	(31,303.47	)	6.3750	2.7631	November	3,473.13	27,834.84		20141204	20241119
902674XK1	UBS AG, LONDON BRANCH CORPBND144A	D	2	1FE	3,321,941.00	3,315,590.34	3,325,000.00	3,322,026.89	(6,436.55	)	85.89		—	—		2.4500	2.4820	Jun-Dec	7,014.84	—		20171127	20201201

BRTAQ3648	UBS AG, LONDON BRANCH SENIOR CORP BND		D	2		4,996,700.00	4,969,000.00	5,000,000.00	4,997,306.23	(28,306.23	)	606.23		—	—	2.2000	2.2229	Jun-Dec	7,027.78	55,000.00		20170601	20200608
902674XF2	UBS AG, LONDON BRANCH SENIOR CORP BND 14		D	2	1FE	996,200.00	993,820.04	1,000,000.00	996,257.94	(2,437.90	)	57.94		—	—	2.2000	2.3590	Jun-Dec	1,405.55	(611.11	)	20171214	20200608
902674XE5	UBS AG, LONDON BRANCH SENIOR CORP BND 14		D	2	1FE	3,500,000.00	3,517,850.07	3,500,000.00	3,500,000.00	17,850.07		—		—	—	2.1026	2.1026	M-J-S-D	4,906.14	32,876.19		20170601	20200608
BRTDYPAR8	UBS AG, LONDON BRANCH SENIORCORPBND		D	2		1,148,942.00	1,145,687.50	1,150,000.00	1,148,971.70	(3,284.20	)	29.70		—	—	2.4500	2.4820	Jun-Dec	2,426.18	—		20171127	20201201
90351DAH0	UBS GROUP FUNDING JERSEY LTD SENIOR CORP		D		1FE	1,743,390.00	1,730,802.50	1,750,000.00	1,744,172.00	(13,369.50	)	754.29		—	—	2.6500	2.6619	Feb-Aug	19,322.92	22,248.96		20160803	20220201
90351DAD9	UBS GROUP FUNDING JERSEY LTD SENIOR CORP		D		1FE	6,775,085.00	6,797,723.04	6,750,000.00	6,773,673.42	24,049.62		(1,777.33	)	—	—	3.0000	2.4570	Apr-Oct	42,750.01	220,000.00		20160329	20210415
90352JAE3	UBS GROUP FUNDING SWITZERLAND SRBN CORP		D	2	1FE	680,000.00	671,955.60	680,000.00	680,000.00	(8,044.40	)	—		—	—	2.8590	2.8590	Feb-Aug	7,344.45	—		20170807	20230815
90270RBF0	UBSBB_12-C4 PAC SENIOR CMBS 2012-C4 AAB			4		508,023.91	493,779.57	493,133.58	502,097.59	(8,318.02	)	(4,113.66	)	—	—	2.4589	1.6005	Monthly	1,010.47	12,294.48		20160628	20451210
90269GAC5	UBSCMT_12-C1 SENIOR CMBS 12-C1			4	1FE	3,790,617.18	3,651,865.95	3,559,809.32	3,731,002.16	(79,136.21	)	(44,852.64	)	—	—	3.4000	0.9623	Monthly	10,086.13	118,127.28		20160614	20450510
BRT9B1C02	UNIFRAX I LLC SECURED TERM LOAN				4FE	881,981.59	892,300.57	883,465.91	882,128.33	10,172.24		154.19		—	—	—	0.0355	M-J-S-D	—	22,629.52		20170331	20240404
904764AR8	UNILEVER CAPITAL CORP SENIOR CORP BND			1	1FE	546,815.50	548,487.49	550,000.00	548,313.88	173.61		628.51		—	—	2.1000	2.2230	Jan-Jul	4,844.58	11,550.00		20150728	20200730
904764AT4	UNILEVER CAPITAL CORP SENIOR CORP BND			1	1FE	416,656.80	405,816.60	420,000.00	417,584.85	(11,768.25	)	652.54		—	—	1.3750	1.5410	Jan-Jul	2,454.37	5,775.02		20160725	20210728
904764AQ0	UNILEVER CAPITAL CORP SENIOR CORP BND			1	1FE	2,410,009.25	2,428,565.02	2,425,000.00	2,424,108.39	4,456.63		3,131.48		—	—	2.2000	2.4240	Mar-Sep	17,042.36	32,278.89		20130903	20190306
BRT8AJMS4	UNILEVER PLC LOCAL CORP BOND		B		1FE	570,434.65	621,292.02	460,000.00	571,353.71	3,640.10		919.06		—	46,298.21	1.1250	1.3081	February	6,367.56	—		20170130	20220203
907818DD7	UNION PACIFIC CORPORATION CORP BND			1	1FE	708,215.55	662,203.71	615,000.00	667,096.49	(4,892.78	)	(23,790.81	)	—	—	6.1250	2.0261	Feb-Aug	14,230.42	37,668.76		20160330	20200215
907818EE4	UNION PACIFIC CORPORATION SENIOR CORP BN			1	1FE	2,048,360.00	2,052,890.48	2,050,000.00	2,049,168.69	3,721.79		515.41		—	—	2.2500	2.2670	Jun-Dec	1,387.50	74,175.00		20150616	20200619
907818DM7	UNION PACIFIC CORPORATION SENIOR CORP BN			1	1FE	1,812,164.25	1,757,516.17	1,725,000.00	1,790,961.23	(33,445.06	)	(13,342.44	)	—	—	2.9500	2.1042	Jan-Jul	23,464.79	50,887.50		20160504	20230115
907818EA2	UNION PACIFIC CORPORATION SENIOR CORP BN			1	1FE	1,006,336.49	990,638.00	1,000,000.00	1,002,622.34	(11,984.34	)	(1,355.40	)	—	—	1.8000	1.8449	Feb-Aug	7,500.00	18,000.00		20150126	20200201
BRT9AQWJ5	UNITED AIRLINES INC SENIOR SECURED TERM				3FE	1,526,579.77	1,529,312.34	1,526,579.77	1,526,579.77	2,732.57		—		—	—	—	—	M-J-S-D	23.52	52,778.80		20170327	20240401
G924504T2	UNITED KINGDOM GILT SENIOR GOVT BND		B		1FE	2,668,721.17	2,829,197.15	1,835,000.00	2,605,640.59	(20,376.65	)	(79,204.25	)	—	243,933.21	4.0000	0.4246	Mar-Sep	31,817.28	91,386.67		20170316	20220307
G92450UG1	UNITED KINGDOM GILT SENIOR GOVT BND		B		1FE	2,646,791.44	2,759,499.55	1,865,000.00	2,570,113.31	(19,542.68	)	(80,946.16	)	—	208,928.92	4.7500	0.0860	Mar-Sep	38,400.72	109,925.06		20170413	20200307
G9T44MJU7	UNITED KINGDOM GILT SENIOR GOVT BND		B		1FE	1,294,325.12	1,377,012.65	980,000.00	1,278,282.73	(8,672.87	)	(16,727.50	)	—	107,402.80	2.0000	0.2242	Jan-Jul	11,743.93	8,142.37		20170403	20200722
BRSZA9VG3	UNITED KINGDOM GILT SENIOR GOVT BND		B		1FE	848,213.44	908,453.47	650,000.00	845,502.81	(7,465.60	)	(3,416.03	)	—	70,416.25	1.5000	0.9910	Jan-Jul	5,842.00	7,673.92		20170411	20260722
G9T44MFU1	UNITED KINGDOM GILT SENIOR GOVT BND		B		1FE	6,108,372.64	6,690,832.85	4,921,000.00	6,032,710.70	(4,891.96	)	(106,815.52	)	—	663,014.12	1.2500	0.2014	Jan-Jul	36,857.07	192,841.84		20161013	20180722
911312BP0	UNITED PARCEL SERVICE INC SENIOR CORP BN			1		2,196,524.00	2,184,094.00	2,200,000.00	2,196,649.29	(12,555.29	)	125.29		—	—	2.0500	2.0990	Apr-Oct	5,888.05	—		20171109	20210401
912828WD8	UNITED STATES TREASURY GOVT BND				1	4,039,497.95	3,988,539.45	4,005,000.00	4,018,726.07	(30,186.62	)	(28,412.87	)	—	—	1.2500	1.4174	Apr-Oct	8,574.24	251,864.70		20131108	20181031
912828XE5	UNITED STATES TREASURY GOVT BND				1	11,495,957.03	11,387,184.66	11,500,000.00	11,496,712.89	(109,528.23	)	755.86		—	—	1.5000	1.5121	May-Nov	15,164.84	79,651.64		20170613	20200531
912828WR7	UNITED STATES TREASURY GOVT BND				1	3,393,729.36	3,356,867.56	3,350,000.00	3,376,310.99	(19,443.43	)	(7,215.99	)	—	—	2.1250	2.0093	Jun-Dec	196.65	71,187.50		20150608	20210630
912828D56	UNITED STATES TREASURY GOVT BND				1	1,001,720.75	1,003,369.90	1,000,000.00	1,001,273.09	2,096.81		(265.31	)	—	—	2.3750	2.3532	Feb-Aug	8,970.79	44,056.25		20150710	20240815
912828SX9	UNITED STATES TREASURY GOVT BND				1	20,030,676.34	19,799,800.20	20,000,000.00	20,016,485.07	(216,684.87	)	(10,976.02	)	—	—	1.1250	1.0687	May-Nov	19,889.50	225,000.00		20160202	20190531
912828TV2	UNITED STATES TREASURY GOVT BND				1	5,043,758.40	4,943,949.90	5,000,000.00	5,022,841.14	(78,891.24	)	(12,317.46	)	—	—	1.2500	0.9973	Apr-Oct	10,704.42	62,500.00		20160415	20191031
912828L32	UNITED STATES TREASURY GOVT BND				1	1,994,453.13	1,970,959.94	2,000,000.00	1,996,962.86	(26,002.92	)	1,770.58		—	—	1.3750	1.4334	Feb-Aug	9,343.92	46,921.82		20150922	20200831
912828J84	UNITED STATES TREASURY GOVT BND				1	3,831,326.70	3,755,540.08	3,800,000.00	3,817,168.85	(61,628.77	)	(11,670.36	)	—	—	1.3750	1.1704	Mar-Sep	13,349.59	103,122.98		20160205	20200331
912828RH5	UNITED STATES TREASURY GOVT BND	SD			1	7,954,634.25	7,914,607.05	7,935,000.00	7,940,033.47	(25,426.42	)	(58,236.41	)	—	—	1.3750	1.1465	Mar-Sep	27,876.05	476,777.07		20140930	20180930

912828F62	UNITED STATES TREASURY GOVT BND		1	24,707,105.48	24,631,112.00	24,800,000.00	24,712,713.36	(81,601.36	)	5,779.16		—	—	1.5000	1.7217	Apr-Oct	63,712.69	(13,505.07	)	20171027	20191031
912828H94	UNITED STATES TREASURY GOVT BND	SD	1	125,292.97	124,945.00	125,000.00	125,018.97	(73.97	)	(154.67	)	—	—	1.0000	0.8753	Feb-Aug	472.15	1,250.00		20160321	20180215
912828G38	UNITED STATES TREASURY GOVT BND		1	5,217,968.75	4,974,399.95	5,000,000.00	5,156,785.40	(182,385.45	)	(22,041.03	)	—	—	2.2500	1.7633	May-Nov	14,606.35	124,239.13		20150127	20241115
912828UL2	UNITED STATES TREASURY GOVT BND		1	4,969,539.65	4,947,150.05	5,000,000.00	4,978,017.88	(30,867.83	)	8,478.23		—	—	1.3750	1.5906	Jan-Jul	28,770.38	27,537.98		20170307	20200131
9128282B5	UNITED STATES TREASURY GOVT BND		1	296,227.07	294,702.00	300,000.00	297,017.94	(2,315.94	)	8,092.45		—	—	0.7500	1.3718	Feb-Aug	849.86	195,052.38		20170720	20190815
912828A34	UNITED STATES TREASURY GOVT BND	SD	1	789,184.00	796,088.00	800,000.00	797,572.86	(1,484.86	)	2,622.02		—	—	1.2500	1.5865	May-Nov	879.12	10,000.00		20140930	20181130
912828VA5	UNITED STATES TREASURY GOVT BND		1	6,662,878.52	6,629,985.00	6,750,000.00	6,687,149.53	(57,164.53	)	22,007.14		—	—	1.1250	1.2520	Apr-Oct	13,005.87	57,241.37		20160202	20200430
912828VB3	UNITED STATES TREASURY GOVT BND		1	2,956,412.25	2,926,530.09	3,000,000.00	2,961,046.64	(34,516.55	)	4,634.39		—	—	1.7500	2.0063	May-Nov	6,816.30	28,715.47		20170427	20230515
912828T59	UNITED STATES TREASURY GOVT BND			9,852,751.18	9,847,200.00	10,000,000.00	9,857,930.94	(10,730.94	)	5,179.76		—	—	1.0000	1.8120	Apr-Oct	21,428.57	(14,835.16	)	20171207	20191015
912828S68	UNITED STATES TREASURY GOVT BND		1	10,993,481.92	10,946,210.00	11,000,000.00	10,996,919.67	(50,709.67	)	7,022.64		—	—	0.7500	0.7160	Jan-Jul	34,524.45	77,468.97		20160805	20180731
912828G87	UNITED STATES TREASURY GOVT BND		1	7,508,008.33	7,319,048.76	7,317,000.00	7,429,537.73	(110,488.97	)	(26,979.69	)	—	—	2.1250	1.7860	Jun-Dec	429.52	155,486.26		20150109	20211231
912828XA3	UNITED STATES TREASURY GOVT BND	SD	1	402,140.63	399,484.00	400,000.00	400,381.34	(897.34	)	(184.23	)	—	—	1.0000	0.7415	May-Nov	519.34	26,514.62		20160411	20180515
912828K58	UNITED STATES TREASURY GOVT BND		1	3,993,593.75	3,950,440.08	4,000,000.00	3,994,865.26	(44,425.18	)	1,271.51		—	—	1.3750	1.4313	Apr-Oct	9,419.89	22,567.93		20170530	20200430
912828WW6	UNITED STATES TREASURY GOVT BND		1	10,052,031.25	9,963,300.30	10,000,000.00	10,040,018.52	(76,718.22	)	(12,012.73	)	—	—	1.6250	1.3141	Jan-Jul	68,002.72	4,123.00		20170606	20190731
912828UR9	UNITED STATES TREASURY GOVT BND		1	374,194.34	374,651.25	375,000.00	374,937.21	(285.96	)	14,300.72		—	—	0.7500	0.8621	Feb-Aug	955.63	125,377.32		20160321	20180228
912828D72	UNITED STATES TREASURY GOVT BND		1	6,022,537.89	5,910,846.22	5,930,000.00	6,009,788.31	(98,942.09	)	(10,862.86	)	—	—	2.0000	1.2410	Feb-Aug	40,297.79	13,627.62		20160919	20210831
912828UB4	UNITED STATES TREASURY GOVT BND	SD	1	2,467,983.00	2,532,667.09	2,575,000.00	2,534,217.44	(1,550.35	)	20,768.36		—	—	1.0000	1.8470	May-Nov	2,263.73	25,750.00		20140930	20191130
912828WN6	UNITED STATES TREASURY GOVT BND		1	3,530,046.07	3,494,399.86	3,500,000.00	3,518,019.33	(23,619.47	)	(5,389.75	)	—	—	2.0000	1.8247	May-Nov	6,153.85	74,879.12		20150217	20210531
912828XK1	UNITED STATES TREASURY GOVT BND		1	21,027,105.60	20,921,880.00	21,000,000.00	21,006,537.48	(84,657.48	)	(9,360.41	)	—	—	0.8750	0.8169	Jan-Jul	84,884.51	256,690.66		20160413	20180715
912828UQ1	UNITED STATES TREASURY GOVT BND		1	3,992,584.85	3,945,440.08	4,000,000.00	3,985,220.23	(39,780.15	)	(3,903.88	)	—	—	1.2500	1.0048	Feb-Aug	16,988.96	18,370.17		20160407	20200229
912828A42	UNITED STATES TREASURY GOVT BND	SD	1	3,964,379.70	3,898,739.24	3,895,000.00	3,930,903.95	(32,164.71	)	(11,933.90	)	—	—	2.0000	1.6743	May-Nov	6,848.35	77,900.00		20150223	20201130
912828TH3	UNITED STATES TREASURY GOVT BND		1	7,308,426.49	7,287,964.00	7,400,000.00	7,346,091.63	(58,127.63	)	32,102.35		—	—	0.8750	1.0020	Jan-Jul	27,096.46	63,559.18		20141003	20190731
912810RC4	UNITED STATES TREASURY GOVT BND		1	1,916,903.69	1,926,044.93	1,650,000.00	1,916,828.56	9,216.37		(75.13	)	—	—	3.6250	2.7421	Feb-Aug	22,592.22	(21,942.09	)	20171227	20430815
912828RP7	UNITED STATES TREASURY GOVT BND	SD	1	2,669,265.50	2,650,026.50	2,650,000.00	2,654,009.52	(3,983.02	)	(4,931.34	)	—	—	1.7500	1.5654	Apr-Oct	7,942.67	48,980.66		20140930	20181031
912828VQ0	UNITED STATES TREASURY GOVT BND		1	1,505,604.38	1,498,594.37	1,500,500.00	1,501,225.26	(2,630.89	)	(1,749.88	)	—	—	1.3750	1.2913	Jan-Jul	8,633.99	46,270.69		20140521	20180731
912828TJ9	UNITED STATES TREASURY GOVT BND		1	6,339,798.16	6,348,290.00	6,500,000.00	6,392,062.92	(43,772.92	)	23,152.33		—	—	1.6250	2.0030	Feb-Aug	39,896.40	120,034.53		20150806	20220815
912828G95	UNITED STATES TREASURY GOVT BND		1	6,094,687.50	5,968,800.18	6,000,000.00	6,039,108.10	(70,307.92	)	(19,206.11	)	—	—	1.6250	1.2934	Jun-Dec	269.34	97,500.00		20150121	20191231
912828X88	UNITED STATES TREASURY SENIOR GOVT BND		1	16,265,718.75	16,006,022.68	16,050,000.00	16,258,303.48	(252,280.80	)	(7,415.27	)	—	—	2.3750	2.2642	May-Nov	49,491.19	97,878.39		20170802	20270515
912828S27	UNITED STATES TREASURY SENIOR GOVT BND		1	1,391,924.23	1,355,998.03	1,400,000.00	1,392,728.00	(36,729.97	)	1,075.93		—	—	1.1250	1.0634	Jun-Dec	43.51	14,133.98		20160712	20210630
912828ST8	UNITED STATES TREASURY SENIOR GOVT BND		1	25,045,889.84	24,900,957.26	25,100,000.00	25,068,488.89	(167,531.63	)	26,120.32		—	—	1.2500	1.3359	Apr-Oct	53,736.20	392,778.55		20161221	20190430
9128282W9	UNITED STATES TREASURY SENIOR GOVT BND		1	1,661,652.80	1,645,918.59	1,670,000.00	1,662,020.57	(16,101.98	)	367.77		—	—	1.8750	1.9810	Mar-Sep	8,000.18	(860.23	)	20171006	20220930
912828Q52	UNITED STATES TREASURY SENIOR GOVT BND		1	1,791,773.44	1,777,716.02	1,800,000.00	1,796,405.93	(18,689.91	)	4,472.42		—	—	0.8750	1.0318	Apr-Oct	3,375.00	207,940.04		20160426	20190415
9128282K5	UNITED STATES TREASURY SENIOR GOVT BND		1	3,901,987.02	3,870,866.92	3,900,000.00	3,901,575.44	(30,708.52	)	(522.22	)	—	—	1.3750	1.3491	Jan-Jul	22,440.90	5,436.49		20170726	20190731
912828R69	UNITED STATES TREASURY SENIOR GOVT BND		1FE	404,532.05	387,467.99	400,000.00	403,572.48	(16,104.49	)	(1,109.71	)	—	—	1.6250	1.4528	May-Nov	571.43	18,044.65		20160620	20230531

912828M56	UNITED STATES TREASURY SENIOR GOVT BND		1	1,844,718.75	1,784,250.00	1,800,000.00	1,836,578.99	(52,328.99	)	(4,256.91	)	—	—	2.2500	1.9700	May-Nov	5,258.29	40,500.00		20160120	20251115
912828N22	UNITED STATES TREASURY SENIOR GOVT BND		1	6,564,542.17	6,466,200.00	6,500,000.00	6,526,865.44	(60,665.44	)	(28,755.26	)	—	—	1.2500	0.8107	Jun-Dec	3,794.65	84,495.19		20160825	20181215
912828U24	UNITED STATES TREASURY SENIOR GOVT BND		1	1,189,302.73	1,185,616.30	1,225,000.00	1,192,860.47	(7,244.17	)	11,698.24		—	—	2.0000	2.3291	May-Nov	3,180.94	124,154.70		20161121	20261115
912828Q37	UNITED STATES TREASURY SENIOR GOVT BND	SD	1	263,291.99	258,475.71	265,000.00	263,846.28	(5,370.57	)	345.34		—	—	1.2500	1.3877	Mar-Sep	846.33	3,312.50		20160523	20210331
912828U81	UNITED STATES TREASURY SENIOR GOVT BND	SD	1	5,007,812.50	4,975,400.15	5,000,000.00	5,006,418.41	(31,018.26	)	(1,632.04	)	—	—	2.0000	1.9664	Jun-Dec	276.24	96,149.17		20170125	20211231
9128282Z2	UNITED STATES TREASURY SENIOR GOVT BND		1	4,490,332.03	4,460,084.96	4,500,000.00	4,490,937.48	(30,852.52	)	838.47		—	—	1.6250	1.6993	Apr-Oct	15,669.64	3,526.78		20171023	20201015
912828U32	UNITED STATES TREASURY SENIOR GOVT BND		1	11,881,895.16	11,807,279.64	12,000,000.00	11,903,799.26	(96,519.62	)	59,942.84		—	—	1.0000	1.4361	May-Nov	15,580.12	210,896.29		20170725	20191115
9128282A7	UNITED STATES TREASURY SENIOR GOVT BND		1	6,478,032.23	6,163,767.63	6,625,000.00	6,494,215.91	(330,448.28	)	13,972.20		—	—	1.5000	1.5745	Feb-Aug	37,535.66	109,004.76		20160826	20260815
912828X21	UNITED STATES TREASURY SENIOR GOVT BND		1	6,930,011.76	6,934,760.07	7,000,000.00	6,930,342.16	4,417.91		330.40		—	—	1.5000	1.9469	Apr-Oct	22,500.00	(21,346.15	)	20171227	20200415
912828R85	UNITED STATES TREASURY SENIOR GOVT BND		1	33,243,944.38	32,726,002.81	33,190,000.00	33,206,512.20	(480,509.39	)	(10,388.05	)	—	—	0.8750	0.6534	Jun-Dec	13,563.21	297,989.86		20160616	20190615
9128283G3	UNITED STATES TREASURY SENIOR GOVT BND		1	34,380,703.13	34,302,660.35	34,500,000.00	34,383,549.52	(80,889.17	)	3,214.44		—	—	1.7500	1.8202	May-Nov	78,387.44	(25,476.52	)	20171120	20201115
912828L57	UNITED STATES TREASURY SENIOR GOVT BND		1	1,775,501.55	1,715,000.00	1,750,000.00	1,768,632.44	(53,632.44	)	(4,188.43	)	—	—	1.7500	1.5165	Mar-Sep	7,824.52	37,934.78		20160229	20220930
912828XS4	UNITED STATES TREASURY SENIOR GOVT BND		1	24,088,734.38	24,000,350.73	24,200,000.00	24,093,992.21	(93,641.48	)	7,156.72		—	—	1.2500	1.7392	May-Nov	26,593.41	127,979.20		20170530	20190531
912828W22	UNITED STATES TREASURY SENIOR GOVT BND			3,186,130.38	3,164,896.00	3,200,000.00	3,187,508.71	(22,612.71	)	1,393.18		—	—	1.3750	1.5626	Feb-Aug	16,619.56	(6,105.30	)	20171005	20200215
912828M64	UNITED STATES TREASURY SENIOR GOVT BND		1	11,543,400.78	11,477,999.70	11,530,000.00	11,535,411.75	(57,412.05	)	(7,811.24	)	—	—	1.2500	1.2472	May-Nov	18,712.37	253,275.75		20151204	20181115
9128282P4	UNITED STATES TREASURY SENIOR GOVT BND		1	7,267,558.59	7,152,342.50	7,250,000.00	7,266,215.77	(113,873.27	)	(1,345.65	)	—	—	1.8750	1.8239	Jan-Jul	56,886.89	(2,471.13	)	20170802	20220731
9128283F5	UNITED STATES TREASURY SENIOR GOVT BND		1	9,718,750.96	9,693,068.30	9,830,000.00	9,719,400.53	(26,332.23	)	976.31		—	—	2.2500	2.3292	May-Nov	28,716.09	(7,290.12	)	20171114	20271115
912828N63	UNITED STATES TREASURY SENIOR GOVT BND		1	19,716,190.19	19,458,879.80	19,600,000.00	19,641,565.96	(182,686.16	)	(41,605.80	)	—	—	1.1250	0.9140	Jan-Jul	101,861.42	242,859.37		20160205	20190115
912828S92	UNITED STATES TREASURY SENIOR GOVT BND		1	14,647,324.22	14,451,205.15	15,250,000.00	14,672,250.09	(221,044.94	)	27,226.41		—	—	1.2500	1.9381	Jan-Jul	79,772.42	(4,789.41	)	20160804	20230731
9128282T6	UNITED STATES TREASURY SENIOR GOVT BND		1	9,892,594.93	9,898,700.00	10,000,000.00	9,893,473.35	5,226.65		1,074.35		—	—	1.2500	1.9045	Feb-Aug	42,472.38	(38,646.41	)	20171226	20190831
9128282Q2	UNITED STATES TREASURY SENIOR GOVT BND		1	2,002,109.38	1,978,079.98	2,000,000.00	2,001,848.62	(23,768.64	)	(260.76	)	—	—	1.5000	1.4639	Feb-Aug	11,331.52	—		20170814	20200815
912828M98	UNITED STATES TREASURY SENIOR GOVT BND		1	5,358,023.44	5,346,161.89	5,400,000.00	5,359,446.50	(13,284.61	)	1,423.06		—	—	1.6250	1.8913	May-Nov	7,714.29	1,438.52		20171122	20201130
912828T91	UNITED STATES TREASURY SENIOR GOVT BND		1	5,444,384.77	5,431,331.20	5,625,000.00	5,471,406.70	(40,075.50	)	31,756.57		—	—	1.6250	2.1256	Apr-Oct	15,655.21	134,220.00		20161121	20231031
9128282J8	UNITED STATES TREASURY SENIOR GOVT BND		1	8,300,662.39	8,211,438.92	8,300,000.00	8,300,579.30	(89,140.38	)	(69.73	)	—	—	1.5000	1.4972	Jan-Jul	57,513.59	(338.31	)	20170726	20200715
9128282S8	UNITED STATES TREASURY SENIOR GOVT BND		1	1,677,026.30	1,657,992.99	1,700,000.00	1,678,192.57	(20,199.58	)	1,166.27		—	—	1.6250	1.9140	Feb-Aug	9,386.39	(2,213.06	)	20170928	20220831
912828R36	UNITED STATES TREASURY SENIOR GOVT BND		1	1,619,875.00	1,507,280.03	1,600,000.00	1,617,185.41	(109,905.38	)	(2,327.53	)	—	—	1.6250	1.4880	May-Nov	3,375.69	32,464.67		20160801	20260515
9128282M1	UNITED STATES TREASURY SENIOR GOVT BND		1	724,998.93	725,514.75	725,000.00	725,000.85	513.90		2.64		—	—	1.5103	1.5102	J-A-J-O	1,674.80	2,506.80		20170823	20190731
912828W89	UNITED STATES TREASURY SENIOR GOVT BND		1	6,151,361.33	6,105,284.37	6,175,000.00	6,154,790.04	(49,505.67	)	3,756.95		—	—	1.8750	1.9557	Mar-Sep	29,581.47	66,292.27		20170330	20220331
9128282N9	UNITED STATES TREASURY SENIOR GOVT BND		1	5,011,914.06	4,941,550.05	5,000,000.00	5,011,285.22	(69,735.17	)	(628.84	)	—	—	2.1250	2.0881	Jan-Jul	44,463.32	(2,021.06	)	20170802	20240731
912828R44	UNITED STATES TREASURY SENIOR GOVT BND		1	16,791,489.16	16,579,415.33	16,800,000.00	16,796,164.07	(216,748.74	)	2,775.50		—	—	0.8750	0.9574	May-Nov	19,085.64	147,713.05		20160511	20190515
912828U73	UNITED STATES TREASURY SENIOR GOVT BND		1	31,672,741.43	31,438,849.05	31,750,000.00	31,691,912.47	(253,063.42	)	20,555.70		—	—	1.3750	1.4458	Jun-Dec	20,388.92	347,623.45		20161214	20191215
9128283H1	UNITED STATES TREASURY SENIORGOVTBND		1	17,970,173.05	17,954,280.36	18,000,000.00	17,970,798.13	(16,517.77	)	652.74		—	—	1.7500	1.8023	May-Nov	27,692.31	(11,442.30	)	20171206	20191130
9128283J7	UNITED STATES TREASURY SENIORGOVTBND		1	15,330,167.26	15,296,795.47	15,500,000.00	15,331,428.63	(34,633.16	)	1,373.78		—	—	2.1250	2.2871	May-Nov	28,956.04	(7,530.90	)	20171129	20241130
912810RZ3	UNITED STATES TREASURY SENIORGOVTBND		1	3,244,195.18	3,260,501.14	3,255,000.00	3,244,199.19	16,301.95		4.01		—	—	2.7500	2.7484	May-Nov	11,621.78	(9,664.13	)	20171127	20471115

9128283P3	UNITED STATES TREASURY SENIORGOVTBND			1FE	1,987,734.38	1,989,375.00	2,000,000.00	1,987,734.38	1,640.62		—		—	—	2.2500	2.3456	Jun-Dec	248.62	(248.62	)	20171229	20241231
9128283B4	UNITED STATES TREASURY SENIORGOVTBND			1	5,501,436.04	5,501,595.00	5,500,000.00	5,501,369.73	225.27		(66.31	)	—	—	1.4983	1.4862	J-A-J-O	12,522.49	(4,499.14	)	20171120	20191031
9128283L2	UNITED STATES TREASURY SENIORGOVTBND			1	10,961,757.82	10,967,990.00	11,000,000.00	10,962,102.50	5,887.50		344.68		—	—	1.8750	1.9957	Jun-Dec	9,632.55	(3,966.34	)	20171221	20201215
913017BZ1	UNITED TECHNOLOGIES CORPORATN JR SUB COR			2FE	2,258,437.50	2,248,357.50	2,250,000.00	2,250,999.81	(2,642.31	)	(2,834.53	)	—	—	1.7780	1.6499	Feb-Aug	16,668.75	40,631.00		20150429	20180504
913017CG2	UNITED TECHNOLOGIES CORPORATN SENIOR COR		1	1FE	608,639.70	595,957.79	610,000.00	608,945.75	(12,987.96	)	262.23		—	—	1.9500	1.9971	May-Nov	1,982.50	11,895.00		20161027	20211101
913017CM9	UNITED TECHNOLOGIES CORPORATN SENIOR COR		1	1FE	1,499,265.00	1,485,420.00	1,500,000.00	1,499,423.29	(14,003.29	)	158.29		—	—	1.9000	1.9169	May-Nov	4,512.49	14,250.00		20170501	20200504
91324PCT7	UNITEDHEALTH GROUP INCORPORATE SENIOR CO		1	1FE	314,883.45	313,771.50	315,000.00	314,955.08	(1,183.58	)	39.30		—	—	1.7000	1.7129	Feb-Aug	2,023.00	5,355.00		20160222	20190215
BRTATCSJ8	UNITYMEDIA FINANCE LLC SECURED TERM LOAN			3FE	537,719.82	539,391.90	539,199.40	537,761.44	1,630.46		82.85		—	—	—	0.0312	M-J-S-D	—	11,299.72		20170608	20250930
BRTDUZAD1	UNIVAR USA INC SENIORSECUREDTERMLOAN		2	4FE	1,441,820.16	1,450,176.21	1,445,433.74	1,441,857.78	8,318.43		46.68		—	—	—	0.0376	M-J-S-D	—	3,398.29		20171120	20240701
91412GYG4	UNIVERSITY CALIFORNIA MUNI BND REV			1FE	61,558.00	58,456.00	50,000.00	59,536.60	(1,080.60	)	(1,703.26	)	—	—	5.0000	1.3101	May-Nov	319.45	2,500.00		20161019	20230515
91412GUW3	UNIVERSITY CALIFORNIA MUNITAX BND REV		1	1FE	2,600,000.00	2,615,990.00	2,600,000.00	2,600,000.00	15,990.00		—		—	—	2.3640	2.3640	May-Nov	7,853.73	61,464.00		20150601	20190515
914455PP9	UNIVERSITY MICH UNIV REVS MUNI BND REV			1FE	63,018.00	60,631.00	50,000.00	61,319.79	(688.79	)	(1,459.02	)	—	—	5.0000	1.6700	Apr-Oct	625.00	2,500.00		20161028	20250401
914682AM1	UNIVERSITY N MEX UNIV REVS MUNITAX BND R		2	1FE	816,107.40	829,634.40	810,000.00	810,000.00	19,634.40		—		—	—	7.8000	7.8000	Jun-Dec	175.50	72,150.00		20140930	20200630
91514AGB5	UNIVERSITY TEX UNIV REVS REF-F MUNI BND			1FE	58,596.50	55,744.50	50,000.00	56,656.17	(911.67	)	(1,786.22	)	—	—	5.0000	1.2308	Feb-Aug	944.45	1,770.84		20161026	20210815
BRT91H2F6	UNIVISION COMMUNICATIONS INC SENIOR SECU			4FE	2,656,607.86	2,651,203.28	2,661,516.66	2,657,151.46	(5,948.18	)	607.34		—	—	—	—	M-J-S-D	—	147,967.19		20170324	20240315
BRTD6GL89	UPC FINANCING PARTNERSHIP SENIOR SECURED		2	3FE	1,646,627.19	1,646,935.49	1,648,688.05	1,646,664.39	271.10		37.20		—	—	—	0.0151	M-J-S-D	—	6,348.87		20171013	20260115
90323WAF7	URSA RE LTD CORP BND 144A	D			1,812,000.00	1,816,928.64	1,812,000.00	1,812,000.00	4,928.64		—		—	—	6.0000	6.0331	F-M-A-N	13,403.84	220,071.01		20170510	20200527
90323WAE0	URSA RE LTD CORP BND 144A	D			2,625,000.00	2,627,205.00	2,625,000.00	2,625,000.00	2,205.00		—		—	—	3.5000	3.5086	F-M-A-N	11,327.05	106,016.14		20170510	20200527
90323WAC4	URSA RE LTD SENIOR CORP BND 144A	D			800,000.00	797,536.00	800,000.00	800,000.00	(2,464.00	)	—		—	—	5.0000	5.0144	M-J-S-D	3,397.26	86,746.64		20150910	20180921
90323WAD2	URSA RE LTD SENIOR CORP BND 144A	D			750,000.00	746,212.50	750,000.00	750,000.00	(3,787.50	)	—		—	—	4.0000	4.0165	M-J-S-D	2,547.95	34,471.09		20161121	20191210
90323WAG5	URSA RE LTD SENIORCORPBND144A	D			820,000.00	821,795.80	820,000.00	820,000.00	1,795.80		—		—	—	4.0000	4.0161	M-J-S-D	2,785.75	—		20171121	20201210
90323WAH3	URSA RE LTD SENIORCORPBND144A	D			750,000.00	751,267.50	750,000.00	750,000.00	1,267.50		—		—	—	5.2500	5.2795	M-J-S-D	—	—		20171121	20201210
BRSU0Q006	US ACUTE CARE SOLUTIONS LLC Term Loan				5,161,884.01	5,148,979.30	5,161,884.01	5,161,884.01	(12,904.71	)	—		—	—	—	—	M-J-S-D	—	410,257.39		20150519	20210515
902973AZ9	US BANCORP CAPSEC CORP BND		2		2,270,000.00	2,451,600.00	2,270,000.00	2,270,000.00	181,600.00		—		—	—	5.3000	5.3000	Apr-Oct	25,398.78	80,875.05		20170202	20491231
91159HHH6	US BANCORP SENIOR CORP BND MTN		2	1FE	2,265,137.50	2,254,454.97	2,250,000.00	2,257,324.30	(2,869.33	)	(4,081.45	)	—	—	2.2000	1.8670	Apr-Oct	9,075.00	24,261.11		20160114	20190425
91159HHE3	US BANCORP SENIOR CORP BND MTN		2	1FE	2,896,404.00	2,900,290.00	2,900,000.00	2,899,352.75	937.25		1,073.74		—	—	1.9500	1.9760	May-Nov	7,225.83	88,497.50		20131104	20181115
90331HMY6	US BANK NATIONAL ASSOCIATION SENIOR CORP		2	1FE	249,305.00	247,767.51	250,000.00	249,691.42	(1,923.91	)	279.66		—	—	1.4000	1.4951	Apr-Oct	631.94	4,900.00		20160421	20190426
90331HNB5	US BANK NATIONAL ASSOCIATION SENIOR CORP		2	1FE	1,757,107.50	1,742,509.99	1,750,000.00	1,756,353.20	(13,843.21	)	(754.30	)	—	—	2.0000	1.7689	Jan-Jul	15,263.89	(2,250.00	)	20170119	20200124
90331HML4	US BANK NATIONAL ASSOCIATION SENIOR CORP		2	1FE	6,844,543.00	6,846,986.07	6,850,000.00	6,847,951.02	(964.95	)	1,265.00		—	—	2.1250	2.1441	Apr-Oct	25,473.45	175,797.14		20141023	20191028
90331HNG4	US BANK NATIONAL ASSOCIATION SENIORCORPB		2		2,899,420.00	2,882,194.06	2,900,000.00	2,899,455.48	(17,261.42	)	35.48		—	—	2.0500	2.0569	Apr-Oct	11,064.30	—		20171019	20201023
BRSUR9351	USAGM HOLDCO LLC SENIOR SECURED TERM NOT			4FE	1,691,274.76	1,692,404.79	1,710,795.83	1,695,043.31	(2,638.52	)	5,504.05		—	—	—	0.4398	M-J-S-D	—	138,008.88		20160405	20220728
90327CAD2	USAOT_15-1 SENIOR ABS_16-1 A4		4	1FE	425,977.21	419,895.19	426,000.00	425,984.19	(6,089.00	)	5.57		—	—	1.3900	1.3954	Monthly	263.18	5,921.40		20160912	20211115
90327CAB6	USAOT_16-1 ABS 16-1		4		66,601.82	66,585.16	66,603.49	66,602.56	(17.40	)	17.90		—	—	1.0700	1.0733	Monthly	31.67	7,022.79		20160912	20190315
BRTAY5C13	USIC HOLDINGS INC SENIOR SECURED TERM LO				762,562.48	766,155.67	764,245.06	762,704.50	3,451.17		154.77		—	—	—	0.0355	M-J-S-D	—	20,640.59		20170614	20231208

91802RCX5	UTILITY DEBT SECURITIZATION AU MUNI BND		2	1FE	587,810.00	603,560.00	500,000.00	582,304.22	21,255.78		(5,505.78	)	—	—	5.0000	2.7996	Jun-Dec	1,111.11	15,000.00		20170504	20331215
91802RAT6	UTILITY DEBT SECURITIZATION AU MUNITAX B			1FE	1,788,102.00	1,794,438.00	1,800,000.00	1,793,718.35	719.65		2,624.96		—	—	2.0420	2.1474	Jun-Dec	1,633.60	39,819.00		20140930	20210615
BRT8AT551	V SHIPS USA LLC SENIOR SECURED TERM LOAN			4FE	898,528.14	893,753.41	898,994.55	898,553.49	(4,800.08	)	27.69		—	—	—	—	M-J-S-D	—	24,158.75		20170127	20240311
BRSS0WHT7	VALEANT PHARMACEUTICALS INTERN SENIOR SE	A	4	3FE	234,608.32	242,858.86	239,396.23	236,221.34	6,637.52		4,517.87		—	—	—	0.3101	M-J-S-D	—	49,115.18		20151016	20220401
BRTE6B7Z4	VARSITY BRANDS HOLDING CO INC SENIOR SEC		2	4FE	663,712.60	669,716.02	667,047.83	663,712.60	6,003.42		—		—	—	4.5000	4.6088	M-J-S-D	—	—		20171207	20241216
92329XAN8	VENTR_14-16A ABS 14_14 16A A3R 144A	D	4		1,000,000.00	999,894.10	1,000,000.00	1,000,000.00	(105.90	)	—		—	—	3.5092	3.5234	J-A-J-O	7,408.25	17,104.12		20170327	20260415
92329YAJ5	VENTR_14-17A MEZZANIN ABS 14-17A 144A	D	4		1,000,000.00	996,666.60	1,000,000.00	1,000,000.00	(3,333.40	)	—		—	—	3.5592	3.5744	J-A-J-O	7,612.67	8,856.35		20170622	20260715
BRSNY4KA0	VERIFONE INC SENIOR SECURED TERM NOTES			3FE	411,503.59	413,829.89	413,571.41	412,525.63	1,304.26		310.72		—	—	—	0.0710	M-J-S-D	—	17,176.23		20140701	20210708
BRTATPUU1	VERITEXT CORP New Term Loan				5,910,273.96	5,880,722.59	5,910,273.96	5,910,273.96	(29,551.37	)	—		—	—	—	—	M-J-S-D	—	274,583.89		20170601	20210129
92343VBC7	VERIZON COMMUNICATIONS INC CORP BND		1		2,267,536.00	2,264,966.07	2,200,000.00	2,266,760.38	(1,794.31	)	(775.62	)	—	—	3.5000	2.4809	May-Nov	12,833.33	(9,644.44	)	20171025	20211101
92343VDW1	VERIZON COMMUNICATIONS INC SENIOR CORP B		1	2FE	512,358.05	522,292.40	515,000.00	512,751.06	9,541.34		393.01		—	—	3.1250	3.2370	Mar-Sep	4,694.02	8,046.88		20170313	20220316
92343VDD3	VERIZON COMMUNICATIONS INC SENIOR CORP B		1	2FE	398,980.00	376,696.01	400,000.00	399,110.66	(22,414.65	)	91.98		—	—	2.6250	2.6540	Feb-Aug	3,966.67	10,908.34		20160727	20260815
92343VBJ2	VERIZON COMMUNICATIONS INC SENIOR CORP B		1	2FE	710,829.00	689,493.00	700,000.00	708,698.76	(19,205.76	)	(1,785.61	)	—	—	2.4500	2.1639	May-Nov	2,858.34	17,150.00		20161018	20221101
92343VEB6	VERIZON COMMUNICATIONS INC SENIOR CORP B		1	2FE	697,643.94	702,746.66	699,000.00	697,703.65	5,043.01		59.71		—	—	3.3760	3.4056	Feb-Aug	8,849.34	13,637.25		20170816	20250215
92343VCN2	VERIZON COMMUNICATIONS INC SENIOR CORP B		1	2FE	1,033,370.00	1,011,630.10	1,000,000.00	1,023,349.78	(11,719.68	)	(7,008.73	)	—	—	3.0000	2.3319	May-Nov	5,000.00	38,750.00		20160426	20211101
92343VBR4	VERIZON COMMUNICATIONS INC SENIOR CORP B		1	2FE	1,109,820.00	1,111,950.07	1,000,000.00	1,109,288.20	2,661.87		(531.80	)	—	—	5.1500	3.0469	Mar-Sep	15,163.89	(13,733.33	)	20171219	20230915
92343VDQ4	VERIZON COMMUNICATIONS INC SENIOR CORP B		1	2FE	21,247,098.01	21,282,634.58	21,137,000.00	21,237,220.06	45,414.52		(10,128.89	)	—	—	2.9460	3.2377	Mar-Sep	183,349.40	122,894.68		20170710	20220315
92347XAA4	VERIZON OWNER TRUST VZOT_16-1A SENIOR AB		4	1FE	1,499,747.40	1,490,147.55	1,500,000.00	1,499,867.50	(9,719.95	)	82.00		—	—	1.4200	1.4299	Monthly	650.83	21,300.00		20160712	20210120
92536KAA3	VERUS_17-SG1 RMBS_17-SG1-A1 144A		4		287,350.72	287,442.10	287,365.72	287,350.95	91.15		0.89		—	—	2.6900	2.7057	Monthly	107.36	336.25		20171114	20471125
92557GAU2	VIBR 2013-2A ABS_2013-2A-BR	D	4		1,500,000.00	1,496,118.15	1,500,000.00	1,500,000.00	(3,881.85	)	—		—	—	3.2648	3.2730	J-A-J-O	9,114.12	12,314.59		20170713	20240724
92557UAN7	VIBR_15-3A MEZZANIN ABS 15-3A-A2R 144A	D	4		1,000,000.00	1,004,035.80	1,000,000.00	1,000,000.00	4,035.80		—		—	—	3.4126	3.4269	J-A-J-O	6,920.01	26,907.85		20161201	20260420
BRTE84QR5	VICIPROPERTIES1LLC SENIOR SECURED TERM L		2	3FE	1,441,634.24	1,445,547.97	1,445,247.36	1,441,634.24	3,913.73		—		—	—	—	0.0354	M-J-S-D	—	—		20171215	20241220
92778UAQ3	VIRGINIA COMWLTH TRANSN BRD MUNI BND REV			1FE	61,664.50	59,056.00	50,000.00	59,930.40	(874.40	)	(1,513.00	)	—	—	5.0000	1.6207	Mar-Sep	736.11	2,125.00		20161026	20240315
927804FM1	VIRGINIA ELECTRIC AND POWER CO SENIOR CO		1	2FE	4,008,660.00	3,999,184.00	4,000,000.00	3,999,979.58	(795.58	)	(1,926.88	)	—	—	1.2000	1.2000	Jan-Jul	22,133.33	48,000.00		20130103	20180115
928172X91	VIRGINIA ST PUB BLDG AUTH MUNIBNDREV		2	1FE	1,234,940.00	1,230,890.00	1,000,000.00	1,233,881.24	(2,991.24	)	(1,058.76	)	—	—	5.0000	2.2706	Feb-Aug	2,361.11	—		20171206	20290801
BRTDNVMB9	VIRIGIN MEDIA SENIOR SECURED TERM LOAN		2	3FE	1,459,552.67	1,462,688.33	1,463,210.70	1,459,607.81	3,080.52		55.14		—	—	—	0.0302	M-J-S-D	—	4,268.01		20171110	20260115
92826CAC6	VISA INC SENIOR CORP BND		1	1FE	1,987,616.25	2,002,926.52	1,975,000.00	1,984,174.92	18,751.60		(1,809.09	)	—	—	2.8000	2.6189	Jun-Dec	2,611.40	58,317.78		20151209	20221214
92826CAG7	VISA INC SENIOR CORP BND		1	1FE	6,560,128.40	6,487,353.80	6,580,000.00	6,561,296.85	(73,943.05	)	1,168.45		—	—	2.1500	2.2140	Mar-Sep	43,226.95	—		20170906	20220915
92826CAB8	VISA INC SENIOR CORP BND		1	1FE	3,402,105.75	3,402,003.70	3,405,000.00	3,403,253.75	(1,250.05	)	566.58		—	—	2.2000	2.2181	Jun-Dec	3,537.41	74,910.00		20151209	20201214
928563AA3	VMWARE INC SENIOR CORP BND		1	2FE	3,155,892.00	3,140,660.80	3,160,000.00	3,156,372.59	(15,711.79	)	480.59		—	—	2.3000	2.3451	Feb-Aug	26,245.55	—		20170816	20200821
92867TAD7	VOLKSWAGEN AUTO LOAN ENHANCED ABS _14-2-		4	1FE	1,059,819.80	1,058,409.98	1,060,000.00	1,059,976.39	(1,566.41	)	57.21		—	—	1.3900	1.3988	Monthly	450.21	14,733.96		20141015	20210520
N9T99JBP9	VOLKSWAGEN FINANCIAL SERVICES SENIOR COR	B			762,332.32	821,800.17	600,000.00	759,614.13	435.71		(2,718.19	)	—	61,750.33	1.7500	1.2130	April	10,078.91	(71.97	)	20170413	20200417
BRT9JFES0	VOLKSWAGEN FINANCIAL SERVICES SENIOR COR	B			1,097,053.70	1,195,276.44	880,000.00	1,097,216.71	5,679.66		163.01		—	92,380.07	1.5000	1.5161	April	12,915.25	—		20170405	20210412
BRSLX0Y91	VOLKSWAGEN FINANCIAL SERVICES SENIOR COR	B		2FE	669,684.34	692,769.92	500,000.00	665,531.89	1,243.49		(4,152.45	)	—	25,994.55	2.6250	1.1689	Jan-Jul	7,864.24	94.40		20170718	20190722

BRTEQABA4	VT BUYER ACQUISITION CORP			136,500.00	136,158.75	136,500.00	136,500.00	(341.25	)	—		—	—	—	—	M-J-S-D	—	754.33		20171227	20220129
929160AT6	VULCAN MATERIALS SENIOR CORP BND	1	2FE	1,875,524.49	1,925,348.69	1,883,000.00	1,876,052.91	49,295.78		570.75		—	—	3.9000	3.9480	Apr-Oct	18,359.25	45,214.11		20170309	20270401
931266AA8	WABR_16-BOCA LCF SENIOR CMBS_16-BOCA A 1	4		100,000.00	100,154.38	100,000.00	100,000.00	154.38		—		—	—	2.8280	2.8435	Monthly	133.50	2,423.76		20160712	20290615
BRSQGAH39	WALGREENS BOOTS ALLIANCE INC SENIOR CORP	1		1,820,099.13	1,832,851.58	1,300,000.00	1,819,201.56	(3,865.14	)	(897.57	)	—	17,515.17	2.8750	1.2453	November	5,817.74	(4,115.91	)	20171218	20201120
931427AQ1	WALGREENS BOOTS ALLIANCE INC SENIOR CORP	1	2FE	214,458.20	212,516.75	215,000.00	214,532.16	(2,015.41	)	47.12		—	—	3.4500	3.4801	Jun-Dec	618.13	7,417.50		20160526	20260601
931142EA7	WAL-MART STORES INC SENIOR CORP BND	1	1FE	10,356,986.25	10,306,629.07	10,375,000.00	10,357,916.23	(51,287.16	)	929.98		—	—	1.9000	1.9470	Jun-Dec	38,877.43	(1,425.00	)	20171011	20201215
25468PDF0	WALT DISNEY COMPANY (THE) CORP BND	1	1FE	453,917.10	463,371.98	455,000.00	454,136.21	9,235.77		106.32		—	—	3.1500	3.1780	Mar-Sep	4,140.50	17,454.94		20150914	20250917
25468PDE3	WALT DISNEY COMPANY (THE) CORP BOND	1	1FE	4,032,960.00	3,996,640.00	4,000,000.00	4,018,470.57	(21,830.57	)	(6,579.67	)	—	—	2.1500	1.9740	Mar-Sep	24,844.44	86,000.00		20151006	20200917
25468PCW4	WALT DISNEY COMPANY (THE) SENIOR CORP BN	1	1FE	755,389.44	770,847.35	776,000.00	761,751.34	9,096.01		2,672.33		—	—	2.3500	2.7520	Jun-Dec	1,519.66	18,236.00		20150727	20221201
25468PDL7	WALT DISNEY COMPANY (THE) SENIOR CORP BN	1	1FE	1,868,700.00	1,840,818.79	1,875,000.00	1,871,764.07	(30,945.28	)	2,088.98		—	—	0.8750	0.9889	Jan-Jul	7,701.82	16,406.26		20160707	20190712
25468PDJ2	WALT DISNEY COMPANY (THE) SENIOR CORP BN	1	1FE	409,602.30	409,823.70	410,000.00	409,755.18	68.52		74.97		—	—	2.3000	2.3200	Feb-Aug	3,641.03	9,430.00		20160105	20210212
25468PDU7	WALT DISNEY COMPANY (THE) SENIOR CORP BN	1	2FE	2,493,668.00	2,479,725.08	2,500,000.00	2,494,246.30	(14,521.22	)	578.30		—	—	1.8000	1.8400	Jun-Dec	3,250.00	15,935.00		20170601	20200605
92922F3N6	WAMU_05-A12 CMO_05-AR12 1A8	4	1FM	1,048,555.60	1,065,017.10	1,059,314.28	1,049,777.11	15,239.99		3,280.49		—	—	3.2130	3.4335	Monthly	2,836.34	36,611.23		20080110	20351025
93730PAG1	WASHINGTON BIOMEDICAL RESEARCH MUNITAX B	1	1FE	1,281,226.50	1,195,413.50	1,150,000.00	1,192,999.60	2,413.90		(27,847.45	)	—	—	4.8810	2.3300	Jan-Jul	28,065.75	56,131.50		20140930	20190701
938782EX3	WASHINGTON D C MET AREA TRAN A MUNIBNDRE	2	1FE	600,830.00	600,385.00	500,000.00	599,965.23	419.77		(864.77	)	—	—	5.0000	2.6101	Jan-Jul	11,736.11	(9,375.00	)	20171122	20340701
93974CQX1	WASHINGTON STATE MUNITAX BND GO	1	1FE	4,875,697.20	4,578,572.40	4,440,000.00	4,600,227.49	(21,655.09	)	(98,966.95	)	—	—	4.0190	1.7002	Feb-Aug	74,351.50	178,443.60		20150226	20190801
939720LK2	WASHINGTON STATE MUNITAX BND REV		1FE	2,685,609.00	2,691,468.00	2,700,000.00	2,697,691.45	(6,223.45	)	4,571.72		—	—	1.1500	1.3221	Jan-Jul	15,525.00	31,050.00		20150429	20180701
939720LL0	WASHINGTON STATE MUNITAX BND REV		1FE	587,188.80	599,325.10	605,000.00	599,188.09	137.01		3,774.47		—	—	1.4500	2.1040	Jan-Jul	4,386.25	8,772.50		20140930	20190701
949746RG8	WELLS FARGO & COMPANY CAPSEC CORP BND	2	2FE	3,543,750.00	3,740,625.00	3,500,000.00	3,543,750.00	196,875.00		—		—	—	5.9000	5.8272	Jun-Dec	9,177.78	206,500.00		20150513	20180515
949746PM7	WELLS FARGO & COMPANY CAPSEC CORP BND	2	2FE	4,726,975.00	4,388,062.50	4,350,000.00	4,377,371.77	10,690.73		(134,128.49	)	—	—	7.9800	5.0779	Mar-Sep	102,210.50	418,484.50		20141022	20491231
949746RN3	WELLS FARGO & COMPANY CAPSEC CORP BND	2	2FE	1,330,000.00	1,469,650.00	1,330,000.00	1,330,000.00	139,650.00		—		—	—	5.8750	5.8750	Jun-Dec	3,472.78	78,137.50		20160428	20190503
949746SH5	WELLS FARGO & COMPANY SENIOR CORP BND		1FE	592,062.00	588,126.03	600,000.00	592,852.19	(4,726.16	)	699.50		—	—	3.0000	3.1560	Apr-Oct	3,400.00	17,900.00		20161109	20261023
949746SA0	WELLS FARGO & COMPANY SENIOR CORP BND		1FE	7,520,027.10	7,486,641.74	7,610,000.00	7,538,854.45	(52,212.71	)	18,245.06		—	—	2.1000	2.1199	Jan-Jul	68,807.09	156,163.29		20160718	20210726
94974BGR5	WELLS FARGO & COMPANY SENIOR CORP BND		1FE	2,025,800.00	2,006,759.94	2,000,000.00	2,022,606.63	(15,846.69	)	(3,193.37	)	—	—	2.5500	2.1500	Jun-Dec	3,400.00	18,558.33		20170721	20201207
94974BFU9	WELLS FARGO & COMPANY SENIOR CORP BND		1FE	2,095,548.00	2,099,391.02	2,100,000.00	2,098,791.94	599.08		1,302.57		—	—	2.1250	2.1700	Apr-Oct	8,553.13	68,472.24		20140414	20190422
95000U2B8	WELLS FARGO & COMPANY SENIOR CORP BND		1FE	4,346,172.00	4,324,682.96	4,350,000.00	4,346,484.49	(21,801.53	)	151.73		—	—	2.6250	2.6439	Jan-Jul	49,798.44	10,718.75		20170717	20220722
949746SK8	WELLS FARGO & COMPANY SENIOR CORP BND	2	1FE	8,092,288.00	8,111,475.60	8,040,000.00	8,089,184.09	22,291.51		(3,103.91	)	—	—	3.0690	3.0690	Jan-Jul	107,609.38	66,552.97		20170117	20230124
BRT85NZX6	WELLS FARGO & COMPANY SENIOR CORP BND EM			606,035.00	682,702.95	495,000.00	606,509.44	16,802.74		474.44		—	59,390.77	2.1250	2.2130	December	467.81	11,610.88		20170120	20231220
BRT3H84K9	WELLS FARGO & COMPANY SENIOR CORP BND EM		1FE	295,778.54	303,870.27	225,000.00	295,726.52	(810.97	)	(36.55	)	—	8,954.72	2.0000	2.0150	July	2,618.41	5,938.37		20160719	20250728
94974BGM6	WELLS FARGO & COMPANY SENIOR CORP BND MT		1FE	1,099,384.00	1,105,577.12	1,100,000.00	1,099,675.03	5,902.09		(1,087.99	)	—	—	2.6000	2.6120	Jan-Jul	12,631.66	35,388.89		20150715	20200722
94988J5G8	WELLS FARGO BANK NA SENIOR CORP BND		1FE	4,338,005.28	4,336,354.43	4,344,000.00	4,340,094.09	(3,739.66	)	3,881.14		—	—	2.1500	2.1972	Jun-Dec	6,745.27	194,233.61		20161201	20191206
94988J5E3	WELLS FARGO BANK NA SENIOR CORP BND		1FE	4,000,000.00	4,023,200.08	4,000,000.00	4,000,000.00	23,200.08		—		—	—	2.0623	2.0623	F-M-A-N	8,707.62	69,743.80		20160525	20190524
94975ZBM7	WELLS FARGO FINANCIAL CANADA C SENIOR CO		1FE	477,971.04	484,774.33	600,000.00	477,382.09	(1,961.47	)	(588.95	)	—	9,353.71	2.9440	1.8738	Jan-Jul	6,129.53	(4,356.45	)	20171115	20190725
94989EAB3	WELLS_15-LC20 SENIOR CMBS 15-LC20 A2	4	1FM	875,480.45	854,997.97	850,000.00	863,547.87	(8,549.90	)	(2,855.15	)	—	—	2.6780	2.1232	Monthly	1,896.92	22,763.04		20150325	20500415

95058XAB4	WENDYS FUNDING LLC WEN_15-1A ABS_15-1A A		4		2,443,750.00	2,501,495.81	2,443,750.00	2,443,750.00	57,745.81		—		—	—	4.0800	4.0999	M-J-S-D	4,431.33	100,342.50		20150519	20450615
BRT1KDNS0	WEST STAR AVIATION INC Revolver				184,729.03	183,217.95	184,729.03	184,729.03	(1,511.08	)	—		—	—	—	—	M-J-S-D	—	13,084.64		20170104	20210428
BRT1KDPP4	WEST STAR AVIATION INC Term Loan				3,763,854.70	3,745,035.42	3,763,854.70	3,763,854.70	(18,819.28	)	—		—	—	—	—	M-J-S-D	—	205,407.14		20160428	20220428
960895VZ0	WESTMORELAND CNTY PA MUNITAX BND GO			1FE	575,742.80	577,546.60	580,000.00	579,039.53	(1,492.93	)	1,032.15		—	—	1.6420	1.8254	Jun-Dec	793.63	9,523.60		20140930	20181201
Q9747QBT9	WESTPAC BANKING CORP CORP BND	B		1FE	2,891,837.43	2,899,499.78	2,000,000.00	2,852,561.26	(4,723.87	)	(39,276.17	)	—	51,662.39	5.0000	0.7830	October	26,684.38	22,182.76		20170719	20191021
961214CP6	WESTPAC BANKING CORP SENIOR CORP BND	D		1FE	1,000,680.00	998,040.01	1,000,000.00	1,000,669.97	(2,629.96	)	(10.03	)	—	—	2.3000	2.2709	May-Nov	2,236.12	(1,405.56	)	20171214	20200526
961214CT8	WESTPAC BANKING CORP SENIOR CORP BND	D		1FE	1,164,965.05	1,156,646.92	1,165,000.00	1,164,983.89	(8,336.97	)	11.57		—	—	1.6500	1.6510	May-Nov	2,563.00	19,222.50		20160509	20190513
961214CY7	WESTPAC BANKING CORP SENIOR CORP BND	D		1FE	1,984,120.00	1,978,959.96	2,000,000.00	1,990,493.35	(11,533.39	)	8,172.84		—	—	1.6000	1.8970	Feb-Aug	11,733.33	57,777.78		20161115	20190819
961214DJ9	WESTPAC BANKING CORP SENIOR CORP BND	D		1FE	302,520.00	298,701.00	300,000.00	302,212.24	(3,511.24	)	(307.76	)	—	—	2.1500	1.8029	Mar-Sep	2,060.42	(89.58	)	20170907	20200306
961214CZ4	WESTPAC BANKING CORP SENIOR CORP BND	D		1FE	5,000,000.00	5,022,499.45	5,000,000.00	5,000,000.00	22,499.45		—		—	—	1.9957	1.9957	F-M-A-N	11,641.41	84,692.36		20160811	20190819
38174TAA4	WESTW_07-2A ABS 16-33A 144A	D	4		997,500.00	1,002,513.50	1,000,000.00	997,986.59	4,526.91		456.40		—	—	3.9207	3.9853	F-M-A-N	4,356.30	36,429.91		20161101	20281121
94989KAV5	WFCM LCF SENIOR CMBS 15-C29 A4		4	1FM	2,151,110.34	2,156,423.08	2,075,000.00	2,145,361.08	11,062.00		(5,749.26	)	—	—	3.6370	3.1113	Monthly	6,288.98	42,136.15		20170505	20480615
94988HAD3	WFCM_12-LC5 SENIOR CMBS 12-LC5		4	1FM	2,179,043.96	2,150,342.18	2,144,530.42	2,161,564.53	(11,222.35	)	(8,461.39	)	—	—	2.5280	2.1227	Monthly	4,517.81	56,658.35		20150922	20451015
94988XAV8	WFCM_14-LC16 CMBS_14-LC16 ASB		4		5,758,345.31	5,584,537.85	5,430,000.00	5,665,471.38	(80,933.53	)	(58,346.19	)	—	—	3.4770	2.2924	Monthly	15,733.44	188,801.28		20160524	20500815
94989DAW9	WFCM_15-C27 SENIOR SENIOR CMBS 15-C27 A5		4	1FE	3,089,817.01	3,085,650.09	3,000,000.00	3,065,637.62	20,012.47		(8,656.61	)	—	—	3.4510	3.0987	Monthly	8,627.51	103,530.12		20150303	20480215
94989NBE6	WFCM_15-C30 LCF SENIOR CMBS 15-C30		4	1FM	1,210,178.33	1,222,869.47	1,175,000.00	1,202,164.91	20,704.56		(3,421.21	)	—	—	3.6640	3.3083	Monthly	3,587.67	43,052.04		20150727	20580915
94989NBF3	WFCM_15-C30 PAC SENIOR CMBS 15-C30		4		232,479.49	231,455.26	225,000.00	232,319.60	(864.34	)	(159.89	)	—	—	3.4120	2.6953	Monthly	639.75	213.25		20171117	20580915
94989WAS6	WFCM_15-C31 LCF SENIOR CMBS 15-C31		4	1FM	1,038,984.38	1,043,430.02	1,000,000.00	1,035,690.91	7,739.11		(3,293.47	)	—	—	3.6950	3.1961	Monthly	3,079.17	27,609.89		20170227	20481115
94989HAF7	WFCM_15-NXS1 PRELCF SENIOR CMBS 15-NXS1		4	1FM	1,023,593.75	1,005,230.03	1,000,000.00	1,013,380.11	(8,150.08	)	(2,918.53	)	—	—	2.6320	2.1470	Monthly	2,193.33	26,319.96		20150923	20480515
94989VAD1	WFCM_15-NXS3 LCF SENIOR CMBS_15-NXS3 A4		4		2,879,502.70	2,909,192.78	2,803,000.00	2,864,713.02	44,479.76		(6,471.97	)	—	—	3.6170	3.2795	Monthly	8,448.71	101,384.52		20150925	20570915
94989VAB5	WFCM_15-NXS3 PRELCF SENIOR CMBS_15-NXS3		4		1,029,972.00	1,008,209.99	1,000,000.00	1,020,216.43	(12,006.44	)	(1,404.46	)	—	—	2.8480	2.3573	Monthly	2,373.33	28,479.96		20150925	20570915
95001FAZ8	WFCM_17-RC1 CMBS_17-RC1-AS		4		515,527.34	510,409.10	500,000.00	514,821.15	(4,412.05	)	(706.19	)	—	—	3.8440	3.4704	Monthly	1,601.67	7,794.79		20170629	20600115
94989YBB8	WFCMT_16-C32 SENIOR SUB CMBS_16-C32 AS		4		1,287,447.50	1,295,690.25	1,250,000.00	1,281,043.35	14,646.90		(3,477.58	)	—	—	3.9520	3.6006	Monthly	4,116.67	49,400.04		20160203	20590115
949781AA6	WFMBS CMO 05-AR1 1A1		4	NR*Z*	688,757.51	718,808.25	705,591.12	691,602.07	27,206.18		5,559.66		—	—	3.2518	3.8844	Monthly	1,912.04	26,466.95		20060718	20350225
94982BAG5	WFMBS CMO 05-AR8 3A2		4	1FM	174,055.06	181,660.86	177,070.80	174,732.39	6,928.47		867.64		—	—	3.4476	3.8337	Monthly	508.72	6,854.45		20051215	20350625
94981NAH8	WFMBS_05-AR4 CMO 05-AR4 2A2		4	1FM	430,005.14	444,211.28	442,431.25	433,325.09	10,886.19		4,746.00		—	—	3.4221	4.1880	Monthly	1,261.71	17,790.20		20060719	20350425
981464DG2	WFNMT_12-C ABS 12-C		4	1FE	1,399,466.46	1,402,584.96	1,400,000.00	1,399,927.68	2,657.28		89.21		—	—	2.2300	2.2469	Monthly	1,387.56	31,219.92		20120713	20220815
92936JBB9	WF-RBS COMMERCIAL MORTGAGE TRU LCF SENIO		4	1FM	12,262,155.48	11,662,020.68	11,267,000.00	11,962,488.10	(300,467.42	)	(231,665.25	)	—	—	3.6670	1.5474	Monthly	34,430.07	413,160.96		20160825	20441115
92930RAB8	WFRBS_12-C9 SENIOR CMBS 12-C9		4		419,199.67	415,657.10	415,982.32	417,204.11	(1,547.01	)	307.77		—	—	1.8290	1.6576	Monthly	634.03	20,290.78		20141009	20451115
92938EAF0	WFRBS_13-C16 PRELCF SENIOR CMBS_13-C16 A		4		2,680,294.66	2,568,323.96	2,551,143.04	2,561,557.84	6,766.12		(101,042.20	)	—	—	3.2230	1.7894	Monthly	6,851.94	218,291.09		20140721	20460915
92939FAR0	WFRBS_14-C21 PRELCF SENIOR CMBS_14-C21 A		4	1FM	1,043,750.00	1,009,649.96	1,000,000.00	1,024,751.39	(15,101.43	)	(484.90	)	—	—	2.9170	2.1527	Monthly	2,430.83	29,169.96		20150407	20470815
92939KAF5	WFRBS_14-C24 PAC SENIOR CMBS_14-C24 ASB		4		4,218,135.54	4,023,025.95	3,935,000.00	4,153,514.74	(130,488.79	)	(49,911.37	)	—	—	3.3240	1.9442	Monthly	10,899.95	130,799.40		20160907	20471115
97652QAC3	WIN_14-2 WHOLE CMO 14-2		4		1,083,255.82	1,079,081.99	1,068,563.06	1,079,265.83	(183.84	)	(1,212.10	)	—	—	3.5000	3.1348	Monthly	3,116.64	45,969.26		20141008	20440920
97652UAE0	WIN_15-2 RMBS_15-2-A5 144A		4		1,312,489.13	1,301,484.18	1,298,289.09	1,310,803.40	(9,319.22	)	(3,098.35	)	—	—	3.0000	2.1832	Monthly	3,245.72	9,863.52		20170831	20450220

BRSZFPAC4	Window Revolver	C			800,261.10	703,213.44	800,261.10	800,261.10	(97,047.66	)	—		—	—		—	—	M-J-S-D	—	36,905.69	20161130	20210201
BRSZFPNX4	Window Term Loan	C			5,304,760.85	4,827,332.37	5,304,760.85	5,304,760.85	(477,428.48	)	—		—	—		—	—	M-J-S-D	—	364,854.78	20160201	20220201
87249LAG6	WINDR_17-4A ABS_17-4A-C		4		2,000,000.00	2,003,557.60	2,000,000.00	2,000,000.00	3,557.60		—		—	—		—	—	F-M-A-N	—	—	20171031	20301120
976656CF3	WISCONSIN ELECTRIC POWER COMPA SENIOR CO		1	1FE	2,500,000.00	2,498,840.00	2,500,000.00	2,500,000.00	(1,160.00	)	—		—	—		1.7000	1.7000	Jun-Dec	1,888.89	42,500.00	20130610	20180615
976826BG1	WISCONSIN POWER AND LIGHT COMP SENIOR CO		1	1FE	560,420.00	517,835.00	500,000.00	520,129.41	(2,294.41	)	(12,711.44	)	—	—		5.0000	2.3200	Jan-Jul	11,527.78	25,000.00	20140930	20190715
97705MDE2	WISCONSIN ST MUNI BND GO		2	1FE	981,031.80	963,191.45	815,000.00	951,309.24	11,882.21		(16,750.44	)	—	—		5.0000	2.4898	May-Nov	6,791.67	40,750.00	20160225	20330501
982526AU9	WM WRIGLEY JR CO SENIOR CORP BND 144A		1	1FE	7,106,932.00	7,014,196.00	7,000,000.00	7,022,385.63	(8,189.63	)	(33,956.85	)	—	—		2.4000	2.1759	Apr-Oct	32,666.68	187,635.00	20131016	20181021
982526AQ8	WM WRIGLEY JR CO SENIOR CORP BND 144A		1	1FE	1,192,517.00	1,176,081.89	1,150,000.00	1,184,436.77	(8,354.88	)	(8,080.23	)	—	—		3.3750	2.2368	Apr-Oct	7,546.88	18,159.37	20170224	20201021
93934FEN8	WMALT_05-5 CMO 05-9-2A2		4	5FE	1,344,123.45	1,349,433.95	1,466,983.32	1,363,278.16	(13,844.21	)	(52,795.03	)	—	—		5.5000	7.1095	Monthly	6,723.67	82,680.74	20071217	20351125
98161PAB9	WOART_16-B ABS 16-B		4	1FE	915,656.60	914,091.13	915,743.59	915,718.42	(1,627.29	)	160.99		—	—		1.1000	1.1095	Monthly	447.70	22,048.92	20160907	20200115
66859NAG7	WOODS_14-11A-B1R MEZZANIN ABS_14-11A B1R	D	4	1FE	750,000.00	750,111.53	750,000.00	750,000.00	111.53		—		—	—		2.9592	2.9698	J-A-J-O	4,747.00	10,734.30	20170316	20250415
66859QAG0	WOODS_14-12A MEZZANIN ABS_14-12A CR 144A	D	4		500,000.00	502,377.00	500,000.00	500,000.00	2,377.00		—		—	—		4.0385	4.0582	M-J-S-D	953.53	14,062.96	20170223	20250915
66859TAK5	WOODS_14-14A MEZZANIN ABS_14-14A BR 144A	D	4		3,000,000.00	3,006,737.10	3,000,000.00	3,000,000.00	6,737.10		—		—	—		3.0091	3.0202	F-M-A-N	12,287.20	65,433.71	20170203	20251112
981464FU9	WORLD FINANCIAL NETWORK CREDIT SENIOR AB		4		499,945.15	495,639.99	500,000.00	499,966.47	(4,326.48	)	18.28		—	—		1.7200	1.7300	Monthly	382.22	8,600.04	20161027	20230815
BRT8F3AZ1	WORLDWIDE EXPRESS INC SENIOR SECURED TER				5,104,285.72	5,091,525.01	5,104,285.72	5,104,285.72	(12,760.71	)	—		—	—		—	—	M-J-S-D	—	269,639.62	20170203	20240202
BRT8TS7B8	WORLDWIDE EXPRESS OPERATIONS L Revolver			4FE	159,436.72	158,362.13	159,436.73	159,436.72	(1,074.59	)	—		—	—		—	—	M-J-S-D	—	13,509.70	20170630	20220202
BRTBNMF54	WP DELUXE MERGER SUB INC SENIOR SECURED		2	4FE	546,509.74	547,879.44	547,879.44	546,576.67	1,302.77		66.93		—	—		—	0.0358	M-J-S-D	—	8,325.61	20170725	20240719
BRTCL81T8	WRANGLER BUYER CORP SENIOR SECURED TERM		2	4FE	460,475.83	463,025.03	460,475.83	460,475.83	2,549.20		—		—	—		—	—	M-J-S-D	—	3,864.29	20170920	20240927
BRSP8QSG4	WSCFP_14 SENIOR CMBS 14	B	4		1,785,379.50	1,503,249.25	1,110,000.00	1,785,379.50	1,696.75		—		—	(283,827.00	)	1.3869	1.3893	F-M-A-N	3,195.03	17,058.14	20141007	20191104
983919AG6	XILINX, INC. SENIOR CORP BND			1FE	1,989,540.00	1,996,499.94	2,000,000.00	1,997,385.04	(885.10	)	2,124.71		—	—		2.1250	2.2359	Mar-Sep	12,513.89	42,500.00	20140305	20190315
G9853MHT3	YORKSHIRE BUILDING SOCIETY SECURED CORP	B		1FE	2,192,629.59	1,915,742.91	1,400,000.00	2,051,448.02	4,763.61		(64,433.82	)	—	(140,468.71	)	4.7500	3.2982	April	65,065.42	91,007.16	20120510	20180412
BRTB778C8	ZAYO GROUP LLC SENIOR SECURED TERM LOAN		2		248,108.72	249,482.62	248,682.61	248,140.79	1,341.83		32.07		—	—		—	0.0358	M-J-S-D	—	3,099.60	20170823	20240119
BRT86RYG4	ZIGGO SECURED FINANCE PARTNERS SENIOR SE			3FE	1,958,459.38	1,946,539.77	1,963,367.80	1,958,963.56	(12,423.79	)	572.88		—	—		—	0.0304	M-J-S-D	—	64,863.83	20170125	20250415
						5,858,348,342.58		5,876,260,685.73	(23,260,736.80	)				5,348,393.65

Validus Holdings, Ltd. December 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
Barclays Term Deposit		BRS000000	20170825		20180825	7,478,217.82	—		—	—	—	7,478,217.82	7,478,217.82	—	—	—	—	At Mat	—		—		—
BLACKROCK INTL CASH SR INST US		BRSDYRCD4	20170830			1,586,465.37	—		—	—	—	1,586,465.37	1,586,465.37	—	—	—	—	At Mat	636,465.37		—		—
BNY Mellon USD LIQ Investor 97		DRFUNI$20	20170615		20180315	3,168,953,676.50	—		—	—	—	3,168,953,676.50	3,168,953,676.50	—	—	—	—	At Mat	—		—		—
BONY CASH RESERVE		S875996$0	20170924		20180515	14,381,613.68	—		—	—	—	14,381,613.68	14,381,613.68	—	—	0.0001	0.0100	At Mat	9,607.51		—		—
CDN S/T INVT BLENDED ACCT		993252261	20171108			2,544,013.53	—		—	—	43,516.31	2,587,529.84	2,544,013.53	—	—	0.0002	—	At Mat	12,332.70		—		—
CDN S/T INVT BLENDED ACCT		993252329	20161121			5,037,989.37	—		—	—	—	5,037,989.37	5,037,989.37	—	—	0.0006	0.0590	At Mat	44,868.66		—		—
CITI-INSTITUTION LIQ FUND USD		B0A0ATCJ9	20170501			7,327,609.51	—		—	—	—	7,327,609.51	7,327,609.51	—	—	0.0006	0.0600	At Mat	84,389.91		—		—
DREYFUS UNIVERSAL USD LIQ CLAS		BRS7813$2	20170330		20180415	105,678,092.75	—		—	—	—	105,678,092.75	105,678,092.75	—	—	—	—	At Mat	521,386.90		—		—
GOLDMAN SACHS USD LIQ RESERVE		BRS2F25Z3	20170227		20181230	10,169,622.24	—		—	—	—	10,169,622.24	10,169,622.24	—	—	—	—	At Mat	276,694.89		—		—
HSBC TERM DEPOSIT		BRS000000	20170825		20180825	953,727.91	—		—	—	—	953,727.91	953,727.91	—	—	—	—	At Mat	—		—		—
Institutional Cash Series PLC - US Treasury		H047783	20160321			24,629,846.88	—		—	—	—	24,629,846.88	24,629,846.88	—	—	—	—	At Mat	—		—		—
PEPSICO INC		713448CR7	20171115		20180430	799,373.07	(477.07	)	237.07	—	—	800,000.00	799,136.00	1,694.44	—	1.2500	0.3288	Apr-Oct	(472.22	)	(472.22	)
UNITED STATES TREASURY		912828P20	20170328		20180131	1,874,560.53	(479.28	)	4,098.40	—	—	1,875,000.00	1,870,462.13	5,884.85	—	0.7500	0.0849	Jan-Jul	4,816.99		—		—
UNITED STATES TREASURY		912796NN5	20171221		20180118	29,284,158.13	—		—	—	—	29,284,158.13	29,284,158.13	—	—	—	0.0493	At Mat	—		—		—
WESTERN ASSET INSTL GOV RSRVS		52470G783	20170615		20180615	1,015,191.85	—		—	—	—	1,015,191.85	1,015,191.85	—	—	—	—	At Mat	—		—		—
						3,381,714,159.14	(956.35	)	4,335.47		43,516.31		3,381,709,823.67	7,579.29

Validus Holdings, Ltd. December 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
BRIDGE GROWTH PARTNERS (PARALLEL), LP			20140715	43,593,801.00	51,289,600.00	43,593,801.00	7,695,799.00		—	—	—	—	—	—
CONNING CAPITAL PARTNERS VI			20150101	576,634.25	248,643.99	576,634.25	(327,990.26	)	—	—	—	—	—	—
CRESCENT MEZZANINE LLC			20160122	9,224,981.00	9,224,981.00	9,224,981.00			—	—	—	—	—	—
FHLB EQUITY			20170824	9,457,800.00	9,457,800.00	9,457,800.00			—	—	—	—	—	—
GOLDENTREE DISTRESSED DEBT FUN			20121130	6,954,231.76	15,773,165.70	6,954,231.76	8,818,933.94		—	—	—	—	—	—
GUGGENHEIM PARTNERS FUND LTD			20171201	19,805.32	19,805.32	19,805.32	—		—	—	—	—	—	—
GUGGENHEIM PARTNERS FUND LTD			20171201	42,086.67	42,086.67	42,086.67	—		—	—	—	—	—	—
GUGGENHEIM PARTNERS FUND LTD			20140630	129,986,417.94	129,986,417.00	129,986,417.94	(0.94	)	—	—	—	—	—	—
GUGGENHEIM PARTNERS FUND LTD			20171201	74,269.66	74,269.66	74,269.66	—		—	—	—	—	—	—
GUGGENHEIM PARTNERS FUND LTD			20160412	17,404,134.76	17,404,134.76	17,404,134.76	—		—	—	—	—	—	—
GUGGENHEIM PRIVATE DEBT FUND 2.0			20160515	13,671,371.80	13,671,371.80	13,671,371.80			—	—	—	—	—	—
GUGGENHEIM STRATEGY FUND I			20170821	3,898,291.94	3,893,603.28	3,898,291.94	(4,688.66	)	—	—	—	—	39,438.71	—
HIGHBRIDGE MEZZANINE PARTNERS			20150101	5,270,642.87	6,534,432.24	5,270,642.87	1,263,789.37		—	—	—	—	1,186,711.35	—
LLOYD'S OVERSEAS DEPOSITS			20131001	56,611,478.22	56,611,478.22	56,611,478.22	—		—	—	—	—	—	—
OFFSHORE MEZZANINE PARTNERS III, L.P.			20170227	14,117,157.40	14,117,157.40	14,117,157.40			—	—	—	—	—	—
PORT ADVISORS PRIVATE EQUITY I			20121130	9.30	2,455,508.12	9.30	2,455,498.82		—	—	—	—	—	—
PUBLIC PENSION CAPITAL, LLC			20140721	19,513,174.56	24,413,603.78	19,513,174.56	4,900,429.22		—	—	—	—	—	—
				330,416,288.45	355,218,058.94	330,416,288.45	24,801,770.49						1,226,150.06

Validus Holdings, Ltd. December 31, 2017 GAAP investments in investment affiliates 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
AQUILINE FINANCIAL SRV FUND II			20120130	33,348,772.00	51,914,494.00	33,348,772.00	18,565,722.00						2,836,002.00
AQUILINE FINANCIAL SRV FUND III			20150210	24,736,784.00	44,732,880.00	24,736,784.00	19,996,096.00						19,532,822.00
AQUILINE TECHNOLOGY GROWTH FUND			20170405	3,858,444.00	3,489,626.00	3,858,444.00	(368,818.00	)					(358,824.00	)
				61,944,000.00	100,137,000.00	61,944,000.00	38,193,000.00						22,010,000.00