Validus Holdings, Ltd. December 31, 2016 GAAP fixed maturity portfolio in Schedule D format
										CHANGE IN BOOK/ADJUSTED CARRYING VALUE							INTEREST						DATES
1	2	3	4	5	6	7	8	9	10	11		12		13	14		15	16	17	18	19		20	21
			FOREIGN	BOND	NAIC		GAAP FAIR		GAAP			CURRENT YEAR			TOTAL FX CHG		INTEREST	EFFECTIVE	HOW	ACCRUED	GROSS REC'D
CUSIP	DESCRIPTION	*	CODE	CHAR	DESIG	ACTUAL COST	MARKET VALUE	PAR VALUE	BOOK VALUE	UGL		AMORTIZATION		IMPAIRMENTS	IN B/A. C.V.		RATE	RATE OF	PAID	INTEREST	DURING YEAR		ACQUIRED	MATURITY
88579YAP6	3M CO				1FE	4,167,568.50	4,171,827.17	4,175,000.00	4,170,996.22	830.95		2,455.80		—	—		1.3980	1.3990	FMAN	22,962.50	57,406.27		7212016	12222054
BRSTBY9Y7	A. SCHULMAN INC				3FE	142,979.52	142,979.52	143,337.86	143,055.77	(76.25	)	99.89		—	—		—	0.2150	MJSD	—	6,475.53		9252015	10092022
03763KAB2	AASET_14-1			4	1Z	2,971,520.19	2,940,807.69	2,961,538.46	2,969,424.43	(28,616.74	)	(1,581.41	)	—	—		4.9910	4.5000	MJSD	6,745.73	159,252.84		10052015	12072018
BRT28HQ50	ABACUS INNOVATIONS CORP			2	3FE	1,029,798.22	1,040,122.02	1,032,379.17	1,029,927.82	10,194.20		129.60		—	—		3.2240	3.4750	MON	—	13,714.45		5152006	11012033
002824AU4	ABBOTT LABORATORIES				1FE	2,412,386.00	2,288,653.44	2,150,000.00	2,303,906.74	(15,253.30	)	(66,566.26	)	—	—		1.2500	1.2060	MN	27,546.88	110,187.50		9262016	11152018
002824BF6	ABBOTT LABORATORIES				1FE	620,350.00	621,643.73	625,000.00	620,389.48	1,254.25		39.48		—	—		2.9370	1.7300	MON	2,539.06	—		1/2/5191	10012045
002824BC3	ABBOTT LABORATORIES				1FE	9,260,915.40	9,280,753.67	9,270,000.00	9,261,222.93	19,530.74		307.53		—	—		2.3000	2.3100	JD	23,599.86	—		5052016	6012021
00287YAL3	ABBVIE INC				2FE	982,080.00	984,680.02	1,000,000.00	985,590.03	(910.01	)	2,212.65		—	—		2.1250	2.1420	AO	4,430.56	29,000.00		7292015	10282019
00287YAN9	ABBVIE INC				2FE	4,601,763.50	4,602,345.55	4,600,000.00	4,602,159.31	186.24		(100.16	)	—	—		3.0000	3.0010	MS	10,810.00	86,492.50		3032015	3122020
00287YAT6	ABBVIE INC			1	2FE	4,381,960.00	4,405,896.13	4,400,000.00	4,387,599.57	18,296.56		4,990.23		—	—		9.0000	9.3040	JAJO	14,361.10	174,583.33		1/2/5191	6/18/4862
00287YAU3	ABBVIE INC			1	2FE	5,372,341.40	5,279,612.97	5,390,000.00	5,373,551.87	(93,938.90	)	1,210.47		—	—		3.6110	3.2570	MON	16,184.98	56,952.47		6042015	5152048
BRSXK39C4	ABN AMRO BANK NV		B			729,467.25	650,247.78	500,000.00	728,463.60	18,496.81		(1,014.09	)	—	(96,712.63	)	2.5500	2.0630	JD	1,007.79	13,921.05		11282016	6172019
N04899AK1	ABN AMRO BANK NV				1FE	673,949.91	670,167.63	500,000.00	673,299.85	(2,180.01	)	(650.06	)	—	(952.21	)	2.6250	2.6380	MS	13,831.80	(13,113.75	)	11172015	9162019
00084UAA0	ACASL_14-1A		D	4	1FE	745,050.00	750,828.15	750,000.00	746,847.96	3,980.19		935.78		—	—		1.3300	1.3420	MON	3,736.98	15,749.47		8182016	6152022
00432CCM1	ACCESS GROUP INC ACCSS_05-2			4		715,473.87	731,462.05	734,761.35	729,186.60	2,275.45		7,759.32		—	—		2.8910	2.8180	MON	894.95	7,819.50		6302007	11012034
00100VAG5	ACIS_14-4A		D	4	1FE	237,625.00	236,416.43	250,000.00	237,683.32	(1,266.89	)	58.32		—	—		—	0.2290	MJSD	1,455.50	(1,169.17	)	4142016	9262021
00452PAN7	ACIS_15-6A		D	4	1FE	495,000.00	493,848.35	500,000.00	496,004.76	(2,156.41	)	569.60		—	—		2.0500	2.0710	FA	3,605.73	20,049.01		8102015	8172018
00452PAG2	ACIS_15-6A		D	4	1FE	2,238,750.00	2,247,365.93	2,250,000.00	2,241,289.79	6,076.14		1,463.52		—	—		2.8520	2.1680	MON	12,832.65	69,917.39		5062015	5102048
00485YAA7	ACORN RE LTD		D			5,541,500.00	5,636,950.00	5,500,000.00	5,524,757.37	112,192.63		(16,564.22	)	—	—		—	—	JAJO	9,379.75	454,316.18		0	12312049
BRST137M4	ACOSTA HOLDCO INC			4	4FE	981,100.25	967,025.06	993,519.24	982,665.15	(15,640.09	)	1,645.91		—	—		1.4000	1.4130	JJ	—	22,253.12		7222014	7252017
BRT6PK3X9	ACTAGRO LLC					6,250,000.01	6,187,500.01	6,250,000.01	6,250,000.01	(62,500.00	)	—		—	—		2.2500	2.3530	MS	—	2,636.20		12052014	9302021
00507UAD3	ACTAVIS FUNDING SCS		D		2FE	9,707,707.38	9,768,433.57	9,715,000.00	9,711,054.78	57,378.79		1,541.57		—	—		5.0000	3.6040	MON	10,578.55	238,017.50		3262009	5152023
00507UAP6	ACTAVIS FUNDING SCS		D	1	2FE	949,952.50	962,729.96	950,000.00	949,968.86	12,761.10		9.52		—	—		6.3750	2.5280	OCT	8,629.16	41,143.75		12212016	10182022
942683AG8	ACTAVIS INC				2FE	248,442.50	250,445.00	250,000.00	249,603.63	841.37		522.05		—	—		1.7040	1.7090	MON	1,171.88	4,687.50		5132014	6172031
006897AG7	ADPK_13-1A				1FE	2,504,750.00	2,501,980.00	2,500,000.00	2,503,465.77	(1,485.77	)	(717.64	)	—	—		4.5000	2.5820	JJ	20,477.78	91,055.38		6042015	8/9/4944
BRT63CM02	ADS WASTE HOLDINGS INC			2	4FE	2,085,180.20	2,105,298.42	2,087,899.95	2,085,111.34	20,187.08		1.68		—	—		1.6250	2.0030	FA	—	4,373.32		8062015	8152022
BRSNZFA49	ADVANTAGE SALES & MARKETING IN			4	4FE	1,798,388.64	1,805,790.58	1,804,888.13	1,800,237.04	5,553.54		1,057.88		—	—		—	—	JD	—	78,831.45		0	6302023
05377RBM5	AESOP_13-1A			4	2FE	2,063,125.00	2,018,006.40	2,000,000.00	2,030,079.77	(12,073.37	)	(19,094.60	)	—	—		2.6500	1.7690	AO	2,701.11	88,400.04		10202016	4012019

05377RBY9	AESOP_15-1A		4	2FE	1,999,207.20	1,987,344.60	2,000,000.00	1,999,458.11	(12,113.51	)	134.54		—	—	5.0000	4.1650	JJ	1,967.78	64,400.04	10202006	7012018
BRT2Q5SH8	AFFINITY GAMING LLC		2	4FE	646,980.03	654,261.76	650,198.02	647,173.51	7,088.25		207.25		—	—	—	0.0710	MJSD	—	17,259.87	7242014	8062021
13974MAB2	AFIN_16-2		4	1FE	814,976.12	815,302.94	815,000.00	814,982.34	320.60		6.22		—	—	4.5000	2.5410	MON	328.72	4,482.50	10272016	8012045
02640FAG3	AGFMT_10-1		4		305,790.84	288,373.55	288,822.52	288,309.98	63.57		(53,466.87	)	—	—	1.9450	1.9450	JD	1,359.87	164,703.80	6232014	6232019
00432CBP5	AGSL_03-1		4	1FE	435,625.00	453,709.80	500,000.00	465,576.97	(11,867.17	)	5,730.00		—	—	2.7630	1.8930	MON	784.77	7,737.16	11162009	7012033
00432CBB6	AGSL_03-1		4	1FE	311,937.50	325,492.79	350,000.00	330,223.49	(4,730.70	)	3,982.02		—	—	1.5460	0.8420	MJSD	410.39	4,876.35	12032013	12062018
00432CAZ4	AGSL_03-1		4	1FE	360,500.00	376,885.72	400,000.00	382,673.03	(5,787.31	)	4,491.09		—	—	3.0500	3.1120	JAJO	449.47	6,482.12	11022016	7282026
02665VAA1	AH4R_14-SFR1		4	1FE	1,180,902.14	1,176,713.94	1,180,902.14	1,180,902.14	(4,188.20	)	—		—	—	5.9500	4.2960	JJ	838.44	18,384.01	8192014	2/20/5054
903724AK8	AID-UKRAINE	D		1FE	4,285,000.00	4,293,955.65	4,285,000.00	4,285,000.00	8,955.65		—		—	—	5.0000	3.9650	MON	9,876.93	79,015.40	6112009	2/17/5054
BRSZ793R4	AIM AEROSPACE				4,089,718.06	4,079,493.76	4,089,718.06	4,089,718.06	(10,224.30	)	—		—	—	3.0000	2.4330	MON	—	285,659.97	7152016	7012046
001406AA5	AIM_15-1A			1FE	3,041,666.66	3,018,854.16	3,041,666.66	3,041,646.31	(22,792.15	)	(6.64	)	—	—	4.0000	2.6220	MON	5,695.35	133,850.52	8022011	8012026
BRT57K0A4	AIR CANADA	A	2	3FE	325,288.46	328,694.02	326,923.08	325,340.26	3,353.76		56.70		—	—	—	—	FMAN	—	—	5232013	6/6/5437
00913RAA4	AIR LIQUIDE FINANCE	D		1FE	3,990,400.00	3,927,600.08	4,000,000.00	3,991,233.30	(63,633.22	)	833.30		—	—	2.3500	2.5530	MS	14,361.11	—	11122015	3052020
00913RAB2	AIR LIQUIDE FINANCE	D	1	1FE	3,650,292.10	3,532,778.77	3,670,000.00	3,651,291.40	(118,512.63	)	999.30		—	—	—	0.0580	MJSD	16,769.86	—	11182016	3112021
BRSSM5ZR6	AIR MEDICAL GROUP HOLDINGS INC		4	4FE	1,493,916.63	1,490,172.50	1,497,660.80	1,494,790.17	(4,617.67	)	574.74		—	—	2.9500	2.5280	JJ	—	65,467.73	11152016	2/13/5054
009363AR3	AIRGAS INC			1FE	3,569,966.76	3,646,762.03	3,572,000.00	3,570,487.91	76,274.12		389.26		—	—	1.3000	1.5790	MON	45,394.17	111,277.73	9042014	3/1/7874
BRSR05RF7	AIRXCEL INC.				6,188,161.01	6,126,279.40	6,188,161.01	6,188,161.01	(61,881.61	)	—		—	—	2.6080	2.6080	JD	—	341,103.40	3/6/8093	12012019
00973XAA8	AKIBARE RE LTD	D			540,000.00	549,460.80	540,000.00	540,000.00	9,460.80		—		—	—	5.0000	1.3810	JD	4,830.00	9,302.69	3/8/8093	12152022
011395AC4	ALAMO RE LTD				1,300,000.00	1,352,000.00	1,300,000.00	1,300,000.00	52,000.00		—		—	—	3.1710	3.3630	MON	2,669.33	100,395.82	6182007	12012033
011395AB6	ALAMO RE LTD				1,667,000.00	1,721,177.50	1,667,000.00	1,667,000.00	54,177.50		—		—	—	—	—	MJSD	4,662.18	114,576.21	11/28/7928	5052020
BRT76GYA3	ALBERTSONS COMPANIES LLC		2		1,336,183.48	1,366,590.98	1,347,817.23	1,336,204.70	30,386.28		21.22		—	—	2.0000	1.6740	MN	—	—	1/17/8011	11302020
BRT75B0R5	ALBERTSONS COMPANIES LLC		2	3FE	258,767.85	262,644.86	259,082.48	258,768.39	3,876.47		0.54		—	—	3.5000	3.0010	MON	—	—	6272014	10/13/7408
BRT76GYH8	ALBERTSONS COMPANIES LLC		2	3FE	423,351.45	432,283.42	427,870.79	423,362.03	8,921.39		10.58		—	—	2.8500	2.9830	FA	—	—	9292015	9/18/7408
BRT22KUB1	ALBERTSONS INC		4	3FE	294,572.10	299,595.69	297,312.63	294,751.05	4,844.64		735.94		—	—	1.3750	1.4140	FA	—	23,440.68	8262016	8312023
BRT22KXR3	ALBERTSONS INC			3FE	211,478.93	215,310.79	213,935.40	211,681.01	3,629.78		479.14		—	—	1.4000	1.4950	AO	—	9,340.99	4212016	4262019
BRSTV33U7	ALERE INC		4		1,444,240.56	1,443,206.78	1,447,860.20	1,444,855.15	(1,648.37	)	510.10		—	—	2.1250	2.2360	MS	—	62,881.56	3052014	3152019
BRSV8NG22	ALION SCIENCE AND TECHNOLOGY C			4FE	779,383.71	766,655.08	783,300.21	780,236.68	(13,581.60	)	699.31		—	—	—	0.0710	MJSD	—	45,162.99	9212016	10042023
02007LAC6	ALLYA_16-3		4	1FE	1,999,805.80	1,996,179.50	2,000,000.00	1,999,848.20	(3,668.70	)	42.40		—	—	—	0.1440	MJSD	1,280.00	15,600.00	4022015	4012022
02079KAC1	ALPHABET INC CLASS A		1	1FE	685,433.00	641,395.99	700,000.00	685,948.74	(44,552.75	)	515.74		—	—	3.4500	3.5250	FA	5,516.70	—	6/4/8038	1/13/7792
BRT5XVGB2	ALTICE US FIN I CORP		2	3FE	1,067,125.17	1,077,796.42	1,067,125.17	1,067,125.17	10,671.25		—		—	—	13.5000	13.7280	JAJO	—	—	1/2/5191	6/18/4862
02209SAT0	ALTRIA GROUP INC		1	1FE	2,997,570.00	3,035,700.31	3,000,000.00	2,998,601.13	37,099.18		437.03		—	—	5.0000	3.3210	JD	36,531.24	78,750.00	3082016	12012045
02209SAL7	ALTRIA GROUP INC			1FE	1,576,568.00	1,524,894.07	1,400,000.00	1,555,844.73	(30,950.66	)	(20,723.27	)	—	—	—	9.0990	JAJO	10,344.45	29,925.00	4012015	4092018
BRT65YBE4	AMC ENTERTAINMENT HOLDINGS INC		2	3FE	571,087.79	577,528.63	572,519.09	571,098.41	6,430.22		10.62		—	—	2.5500	2.5520	JD	—	853.92	5252016	6012026
BRSJ1HUF4	AMC ENTERTAINMENT INC.		4	3FE	245,039.25	248,238.78	246,161.67	245,112.89	3,125.89		628.91		—	—	5.0000	1.4810	JJ	—	33,315.06	10062016	7152025

03062AAD8	AMCAR_14-3	4	1FE	453,425.36	453,243.00	453,437.97	453,428.31	(185.31	)	9.74		—	—		2.4000	2.4300	AO	333.15	9,035.73		4072015	4102018
03065NAD7	AMCAR_15-3	4	1FE	499,927.50	500,465.01	500,000.00	499,966.80	498.21		39.97		—	—		1.8510	1.8510	JD	491.95	11,293.24		12222016	6152020
BRSTDEM57	AMERICAN AIRLINES GROUP INC	4	3FE	3,161,560.96	3,185,018.21	3,171,144.45	3,163,682.27	21,335.94		2,242.62		—	—		2.9000	2.7400	MS	—	104,859.62		3222016	9152020
BRT193FT2	AMERICAN AIRLINES INC.		3FE	518,954.25	524,836.60	522,875.82	519,297.18	5,539.42		342.93		—	—		2.7520	2.7980	MON	—	10,920.71		6182007	4012035
023770AB6	AMERICAN AIRLINES INC.		2FE	3,429,939.48	3,344,191.00	3,429,939.48	3,429,939.48	(85,748.48	)	—		—	—		1.4770	1.4770	JJ	21,151.30	138,183.03		2/12/7655	7012018
BRT72E1D2	AMERICAN AIRLINES INC.	2	3FE	2,593,667.67	2,610,732.57	2,600,168.09	2,593,680.45	17,052.12		12.78		—	—		5.4470	—	MON	—	—		0	12/15/7709
025816BJ7	AMERICAN EXPRESS COMPANY		2FE	5,783,750.00	5,721,250.00	5,750,000.00	5,770,602.40	(49,352.40	)	(6,534.01	)	—	—		5.0000	3.9270	MON	38,205.55	486,994.44		6112009	6152024
0258M0DT3	AMERICAN EXPRESS CREDIT CORPOR	2	1FE	1,990,620.00	2,001,080.02	2,000,000.00	1,992,864.96	8,215.06		1,991.02		—	—		1.0000	1.0470	MS	4,618.06	50,083.14		9072016	9132019
0258M0EC9	AMERICAN EXPRESS CREDIT CORPOR	2	1FE	2,322,233.25	2,301,680.30	2,325,000.00	2,322,387.81	(20,707.51	)	154.56		—	—		1.4000	1.4000	FA	6,697.29	—		9/2/7983	12/13/8147
0258M0DJ5	AMERICAN EXPRESS CREDIT CORPOR		1FE	304,584.00	301,668.02	300,000.00	302,390.91	(722.89	)	(1,491.43	)	—	—		—	0.0660	MJSD	2,727.08	6,375.00		3302016	4012022
0258M0DX4	AMERICAN EXPRESS CREDIT CORPOR	2	1FE	1,766,499.35	1,748,567.67	1,735,000.00	1,763,757.50	(15,189.83	)	(2,774.62	)	—	—		2.1250	0.7910	NOV	13,407.69	20,915.56		12212016	11132019
0258M0DR7	AMERICAN EXPRESS CREDIT CORPOR		1FE	1,627,815.80	1,631,304.00	1,630,000.00	1,629,465.34	1,838.66		1,404.30		—	—		3.6170	3.2910	MON	6,947.89	56,399.33		12072015	9152057
02665WAW1	AMERICAN HONDA FINANCE CORPORA		1FE	249,210.00	250,209.98	250,000.00	249,588.93	621.05		262.53		—	—		2.0000	2.0240	JJ	1,866.67	3,988.89		6072016	7012019
02665WBE0	AMERICAN HONDA FINANCE CORPORA		1FE	1,923,075.00	1,889,830.19	1,925,000.00	1,923,372.03	(33,541.84	)	297.03		—	—		3.0000	2.3320	MN	10,844.17	—		4262016	11012021
02665WAH4	AMERICAN HONDA FINANCE CORPORA		1FE	4,752,173.00	4,732,571.05	4,700,000.00	4,751,078.57	(18,507.52	)	(1,094.43	)	—	—		1.4600	1.0720	MON	39,950.00	(33,853.13	)	3162015	2/12/5054
03027XAL4	AMERICAN TOWER CORPORATION		2FE	5,492,190.00	5,258,109.83	5,500,000.00	5,492,473.58	(234,363.75	)	283.58		—	—		—	—	MJSD	31,281.26	—		0	9/21/7408
031162BU3	AMGEN INC		2FE	761,263.68	764,692.56	759,000.00	761,482.20	3,210.36		288.65		—	—		4.5000	4.2460	MON	1,808.95	9,578.56		6182009	6152039
031162BW9	AMGEN INC		2FE	1,693,728.75	1,681,999.38	1,695,000.00	1,694,138.16	(12,138.78	)	247.26		—	—		1.0000	1.0520	JJ	6,003.13	36,018.76		9162015	4/14/5355
031162BD1	AMGEN INC		2FE	726,110.00	724,108.00	700,000.00	719,166.30	4,941.70		(4,807.72	)	—	—		4.0000	2.8670	MON	6,037.50	24,150.00		6272014	11/15/4670
031162CG3	AMGEN INC		2FE	4,265,345.70	4,103,683.63	4,270,000.00	4,265,673.03	(161,989.40	)	327.33		—	—		2.0500	2.0680	JD	28,964.85	—		6022016	6072019
031162CH1	AMGEN INC		2FE	498,713.25	494,114.24	525,000.00	499,004.76	(4,890.52	)	291.51		—	—		3.6600	3.6980	MON	4,331.25	(3,379.69	)	10102014	10152044
032511BJ5	ANADARKO PETROLEUM CORPORATION		3FE	509,000.00	490,775.00	500,000.00	507,399.61	(16,624.61	)	(885.05	)	—	—		1.7500	1.7990	AO	7,954.17	17,250.00		10262016	10302019
033287AJ2	ANCHC_14-4A		1FE	249,375.00	250,048.20	250,000.00	249,390.37	657.83		15.37		—	—		1.4130	1.4130	AO	1,376.91	(211.83	)	2/8/5054	10012017
BRT6SZN03	ANCHOR GLASS CONTAINERS CORP	2	4FE	276,548.93	280,023.16	277,938.62	276,559.26	3,463.90		10.33		—	—		2.1500	2.1970	JD	—	—		12012016	12062019
035240AA8	ANHEUSER-BUSCH COMPANIES LLC		1FE	2,590,186.50	2,593,126.78	2,420,000.00	2,585,654.02	7,472.76		(5,253.56	)	—	—		1.4500	1.4670	JJ	72,532.78	(64,866.39	)	6282016	7152019
035242AL0	ANHEUSER-BUSCH INBEV FINANCE I		2FE	3,466,700.00	3,507,683.90	3,450,000.00	3,467,297.73	40,386.17		1,012.67		—	—		6.3000	6.3300	JJ	47,437.50	43,665.41		6182009	7012019
035242AE6	ANHEUSER-BUSCH INBEV FINANCE I		1FE	2,452,521.50	2,464,013.98	2,450,000.00	2,453,630.76	10,383.22		(423.66	)	—	—		4.2000	4.2110	MS	21,947.92	44,021.25		3032016	3152021
035242AJ5	ANHEUSER-BUSCH INBEV FINANCE I		1FE	4,735,132.50	4,767,859.96	4,750,000.00	4,737,759.01	30,100.95		3,160.18		—	—		1.8500	1.8540	JJ	52,447.92	90,195.70		7162015	7202018
035242AC0	ANHEUSER-BUSCH INBEV FINANCE I		2FE	982,460.00	997,250.00	1,000,000.00	994,339.73	2,910.27		6,654.13		—	—		1.9500	1.9850	MS	5,694.44	36,259.72		3012016	3042019
035242AG1	ANHEUSER-BUSCH INBEV FINANCE I		1FE	10,216,387.70	10,227,152.70	10,210,000.00	10,216,725.65	10,427.05		1,446.56		—	—		5.2910	4.8000	MJSD	80,829.17	41,766.22		11202014	12062018
B6399CCD7	ANHEUSER-BUSCH INBEV NV			495,109.30	405,795.44	320,000.00	478,390.76	472.12		(34,310.59	)	—	(73,067.43	)	6.5000	1.1453	June	13,519.70	918.16		20160426	20170623
035240AC4	ANHEUSER-BUSCH INBEV WORLDWIDE		1FE	2,754,702.23	2,767,435.08	2,750,000.00	2,754,579.92	12,855.16		(122.31	)	—	—		2.8820	3.3000	JAJO	7,343.44	(5,417.29	)	6282016	12/5/5327
03523TBN7	ANHEUSER-BUSCH INBEV WORLDWIDE		2FE	4,362,400.00	4,378,762.50	4,375,000.00	4,373,599.99	5,162.51		3,927.49		—	—		6.6660	6.4810	MJSD	27,738.72	182,519.80		12152015	6072019
03523TAN8	ANHEUSER-BUSCH INBEV WORLDWIDE		2FE	2,255,260.00	2,179,340.06	2,000,000.00	2,206,711.61	(27,371.55	)	(48,548.39	)	—	—		—	—	MJSD	49,569.44	29,861.11		0	8042020

03523TBP2	ANHEUSER-BUSCH INBEV WORLDWIDE			2FE	4,176,868.75	4,248,966.37	4,325,000.00	4,196,455.00	52,511.37		19,586.25		—	—		1.8750	1.8730	JJ	49,857.64	50,758.68	7152015	12/23/4971
00182EAW9	ANZ NATIONAL INTERNATIONAL LTD	D		1FE	999,880.00	998,340.00	1,000,000.00	999,949.51	(1,609.51	)	39.99		—	—		—	0.2120	MJSD	4,472.22	17,500.00	6142016	11232019
00182EBB4	ANZ NATIONAL INTERNATIONAL LTD	D		1FE	2,850,000.00	2,863,623.14	2,850,000.00	2,850,000.00	13,623.14		—		—	—		2.9500	2.9770	MN	9,779.09	12,767.69	5182016	5252021
037401AC0	AOZORA RE LTD			3FE	250,000.00	252,012.50	250,000.00	250,000.00	2,012.50		—		—	—		5.2500	4.9500	MN	2,094.14	3,770.71	4102008	11012024
037833AJ9	APPLE INC			1FE	5,380,074.00	5,378,130.00	5,400,000.00	5,394,567.75	(16,437.75	)	5,052.46		—	—		1.0000	1.0710	MS	8,700.00	80,591.11	9192012	9262017
037833AR1	APPLE INC			1FE	3,149,972.00	3,168,417.25	3,100,000.00	3,137,771.14	30,646.11		(8,281.04	)	—	—		4.0000	2.8040	MON	13,497.92	90,471.67	12162016	10012045
037833BQ2	APPLE INC			1FE	5,523,056.35	5,504,506.19	5,495,000.00	5,515,431.58	(10,925.39	)	(7,624.77	)	—	—		1.6000	1.6030	JJ	33,214.22	44,162.23	7112016	7152019
037833AQ3	APPLE INC			1FE	606,576.00	605,760.04	600,000.00	606,348.78	(588.74	)	(4,307.49	)	—	—		1.2500	1.3780	FA	1,925.00	37,829.17	8042015	8112017
037833BZ2	APPLE INC			1FE	508,607.70	478,777.79	510,000.00	508,658.06	(29,880.27	)	50.36		—	—		1.8500	1.8540	FA	5,102.13	—	1/14/5410	2/7/7436
037833CB4	APPLE INC			1FE	5,894,100.00	5,809,257.88	5,900,000.00	5,894,892.93	(85,635.05	)	792.93		—	—		—	0.0710	MJSD	26,500.84	—	11212014	12162021
037833BS8	APPLE INC			1FE	1,736,705.00	1,698,317.02	1,700,000.00	1,734,801.25	(36,484.23	)	(4,561.33	)	—	—		3.3910	0.7390	MON	13,600.00	13,998.43	8232016	5152045
039483AY8	ARCHER-DANIELS-MIDLAND COMPANY			1FE	2,179,988.75	1,888,499.30	1,805,000.00	1,890,049.19	(1,549.89	)	(69,777.39	)	—	—		1.0060	1.0210	MON	28,965.24	98,372.50	8132013	11/17/8065
BRSV1F5E2	ARDENT LEGACY ACQUISITIONS INC			4FE	956,372.31	962,410.00	966,032.62	958,615.79	3,794.21		1,708.39		—	—		3.0000	1.6360	MON	—	68,909.35	4292013	3012028
04013YAU6	ARES_12-2A	D	4	1FE	996,000.00	997,810.00	1,000,000.00	996,460.28	1,349.72		460.28		—	—		—	0.0200	MJSD	8,041.26	23,004.04	9292016	3/31/7518
00191YAP9	ARES_15-1R	D	4		500,000.00	500,000.00	500,000.00	500,000.00	—		—		—	—		2.9500	1.5420	MN	522.70	—	7/6/5300	5012017
BRST927R7	ARIA ENERGY OPERATING LLC		4	4FE	794,967.54	790,952.55	802,997.51	796,493.52	(5,540.97	)	2,811.55		—	—		7.8000	7.8000	JD	—	47,455.15	9/20/5245	6302020
040484JY4	ARIZONA BRD REGENTS UNIV ARIZ			1FE	1,654,640.80	1,638,126.20	1,420,000.00	1,600,360.50	37,765.70		(24,554.72	)	—	—		3.4830	3.4980	JAJO	29,583.33	71,000.00	12092016	2/21/5054
04048RMW3	ARIZONA BRD REGENTS UNIV ARIZ				1,750,000.00	1,750,770.00	1,750,000.00	1,750,000.00	770.00		—		—	—		4.5000	2.5650	MON	17,920.00	35,840.00	8312010	4152025
04048RMX1	ARIZONA BRD REGENTS UNIV ARIZ			1FE	2,030,000.00	2,038,729.00	2,030,000.00	2,030,000.00	8,729.00		—		—	—		2.4500	2.4810	FA	23,832.20	47,664.40	7282016	8042026
04048RMV5	ARIZONA BRD REGENTS UNIV ARIZ			1FE	1,315,000.00	1,315,368.20	1,315,000.00	1,315,000.00	368.20		—		—	—		1.5100	1.5160	MON	10,250.43	20,500.86	8072013	3202019
04057PJL3	ARIZONA SCH FACS BRD CTFS PART			1FE	2,175,000.00	2,176,914.00	2,175,000.00	2,175,000.00	1,914.00		—		—	—		2.3750	2.3800	FA	10,686.50	32,059.50	3032015	11/23/7709
040688NL3	ARIZONA WTR INFRASTRUCTURE FIN			1FE	1,575,519.05	1,566,922.80	1,570,000.00	1,571,541.90	(4,619.10	)	(2,044.44	)	—	—		2.5000	2.5120	MS	5,546.03	22,184.10	8102015	9012020
045167CB7	ASIAN DEVELOPMENT BANK			1FE	5,105,000.00	5,042,250.05	5,000,000.00	5,074,635.58	(32,385.53	)	(30,364.42	)	—	—		3.0000	2.0660	MON	17,708.33	51,800.56	9022015	4012030
BRSUW3MP3	ASURION LLC			4FE	1,293,022.50	1,312,190.43	1,299,520.11	1,294,310.75	17,879.68		1,065.96		—	—		—	—	MJSD	—	66,509.94	0	12182020
00206RCM2	AT&T INC		1	2FE	1,014,200.00	982,320.02	1,000,000.00	1,012,713.12	(30,393.10	)	(1,486.88	)	—	—		3.0000	3.0240	MON	83.33	20,250.00	7172015	7012045
00206RAR3	AT&T INC			2FE	2,375,900.50	2,308,046.29	2,150,000.00	2,289,614.19	18,432.10		(66,514.69	)	—	—		2.3000	2.0250	MS	47,108.89	137,991.67	5032016	3112019
00206RCR1	AT&T INC		1	2FE	5,300,719.00	5,255,426.85	5,300,000.00	5,300,731.57	(45,304.72	)	12.57		—	—		1.7000	1.5920	MS	55,237.77	75,164.44	5222015	3012018
00206RCN0	AT&T INC		1	2FE	1,794,672.00	1,734,317.96	1,800,000.00	1,795,447.84	(61,129.88	)	462.48		—	—		—	0.1920	MJSD	7,820.00	61,200.00	8012016	12152020
00206RCL4	AT&T INC		1	2FE	599,694.00	595,320.01	600,000.00	599,800.93	(4,480.92	)	53.92		—	—		1.6000	1.6050	MS	40.83	14,700.00	12/7/8147	3062017
00206RCC4	AT&T INC			2FE	5,173,691.25	5,141,553.65	5,125,000.00	5,160,144.68	(18,591.03	)	(10,813.32	)	—	—		2.0410	1.9410	FMAN	36,017.36	85,155.91	8162016	8192019
00206RAT9	AT&T INC				517,103.96	376,714.05	300,000.00	477,129.04	1,039.73		(34,074.13	)	—	(101,454.72	)	5.8750	1.6103	December	14,797.33	17,393.28	20141210	20170428
BRT7H2514	ATKORE INTERNATIONAL INC			4FE	716,797.74	723,983.67	718,594.22	716,797.74	7,185.93		—		—	—		2.1250	1.5790	OCT	—	—	6/26/5081	10062017
047870CY4	ATLANTA GA (CITY OF)			1FE	6,949,070.00	6,944,159.40	5,710,000.00	6,772,979.04	171,180.36		(79,896.52	)	—	—		1.6250	1.6490	AO	52,341.67	314,050.00	4182016	4212019
049382AD6	ATLAS IX CAPITAL DAC				1,000,000.00	1,058,040.00	1,000,000.00	1,000,000.00	58,040.00		—		—	—		2.6500	2.4880	JJ	20,514.03	102,516.30	12102015	9/1/5382

049382AC8	ATLAS IX CAPITAL LTD				1,000,000.00	1,023,720.00	1,000,000.00	1,000,000.00	23,720.00		—		—	—		2.1510	2.1510	MN	20,726.53	77,295.91		11042016	11092020
04941MAC9	ATLASF_5	D	4	1FE	750,000.00	746,196.60	750,000.00	750,454.68	(4,258.08	)	454.68		—	—		6.5000	1.9580	JJ	5,825.24	—		12162016	7152018
05178RAA3	AURORA MILITARY HOUSING		4	1FE	847,768.00	838,400.00	800,000.00	831,862.07	6,537.93		(17,044.88	)	—	—		3.9780	3.5300	MJSD	1,891.56	50,540.00		11142014	12072017
BRSVLF005	AURORA PARTS AND ACCESSORIES L				5,938,872.53	5,923,875.37	5,998,861.13	5,952,267.31	(28,391.94	)	10,621.07		—	—		—	—	MJSD	—	336,521.73		3/6/4698	12302019
0523966M5	AUSTIN TX (CITY OF)			1FE	386,563.10	389,423.65	385,000.00	385,994.27	3,429.38		(257.73	)	—	—		5.0000	1.4860	MON	3,059.47	9,178.40		5212014	4252036
0523966K9	AUSTIN TX (CITY OF)			1FE	315,677.25	316,644.30	315,000.00	315,293.45	1,350.85		(172.89	)	—	—		2.2500	1.3960	JD	1,845.90	5,537.70		6/24/5081	6052017
0523966L7	AUSTIN TX (CITY OF)			1FE	201,750.00	202,188.00	200,000.00	200,968.27	1,219.73		(351.78	)	—	—		—	0.2260	MJSD	1,405.33	4,216.00		7072016	6072020
05253JAH4	AUSTRALIA & NEW ZEALAND BANKIN			2FE	8,391,180.00	8,388,744.00	8,400,000.00	8,396,894.61	(8,150.61	)	2,937.94		—	—		2.6070	2.7200	MON	57,750.00	126,000.00		9282006	10/5/7408
05253JAC5	AUSTRALIA & NEW ZEALAND BANKIN			1FE	774,550.50	771,938.75	775,000.00	774,873.58	(2,934.83	)	90.77		—	—		5.7500	1.5680	FEB	1,435.90	16,856.25		12032014	8/21/7764
05253JAN1	AUSTRALIA & NEW ZEALAND BANKIN			1FE	2,799,748.00	2,762,900.08	2,800,000.00	2,799,786.04	(36,885.96	)	38.04		—	—		—	—	MJSD	20,657.78	—		11302015	11302021
05253JAJ0	AUSTRALIA & NEW ZEALAND BANKIN			1FE	4,995,800.00	5,012,400.05	5,000,000.00	4,997,348.81	15,051.24		1,376.32		—	—		2.3500	2.3430	FA	12,500.00	100,000.00		12112014	8/23/7764
05254HAA2	AUSTRALIA AND NEW ZEALAND BANK	D	2	2FE	1,610,000.00	1,696,972.20	1,610,000.00	1,610,000.00	86,972.20		—		—	—		2.8920	1.9620	MON	4,830.00	54,337.50		1/2/5191	11012045
053015AD5	AUTOMATIC DATA PROCESSING INC			1FE	537,521.18	539,979.82	538,000.00	537,640.43	2,339.39		118.77		—	—		4.5000	2.4790	MON	3,564.25	22,740.38		8152014	9012041
05329WAL6	AUTONATION INC		1	2FE	4,599,908.00	4,613,938.41	4,600,000.00	4,599,908.00	14,030.41		—		—	—		3.0000	1.7930	MON	71,057.23	125,848.33		3302016	3012031
053332AU6	AUTOZONE INC			2FE	219,846.00	217,830.80	220,000.00	219,881.16	(2,050.36	)	35.16		—	—		—	—	MJSD	695.14	1,815.00		11282014	11122019
BRT3V9LV8	AVAGO TECHNOLOGIES CAYMAN FINA	D	2	2FE	438,173.95	448,278.09	442,334.01	438,439.13	9,838.96		514.65		—	—		6.5000	5.8660	MON	—	10,792.00		11062007	10012037
BRSC7W2L8	AWAS AVIATION SERVICES INC		4	2FE	669,370.25	675,817.05	672,733.91	670,492.43	5,324.62		1,543.42		—	—		2.2000	2.2410	FA	—	23,743.17		9/2/7983	12/16/8147
BRSU5BEP4	AWP INC				3,683,419.61	3,637,376.86	3,683,419.61	3,683,419.61	(46,042.75	)	—		—	—		0.8300	0.8310	MON	—	204,591.95		10212016	3252025
BRSU5BES8	AWP INC				122,163.06	120,636.02	122,163.06	122,163.06	(1,527.04	)	(965.80	)	—	—		1.6000	1.5480	FA	—	877.27		11282016	8222019
04280PAA5	AWPT_14-2A	D	4		1,089,550.00	1,102,306.48	1,100,000.00	1,093,641.77	8,664.71		2,135.99		—	—		2.8750	2.9680	MON	1,499.09	24,012.44		6182007	10/4/7408
055065AA4	AZZURRO RE I LTD				1,408,562.50	1,341,870.05	1,250,000.00	1,408,562.50	23,432.55		—		—	(90,125.00	)	1.8500	1.8500	JD	4,983.92	36,056.96		3182015	6012018
BRSWL65W8	B&G FOODS INC			3FE	2,357,435.22	2,389,420.51	2,369,281.62	2,359,346.56	30,073.95		3,699.95		—	—		4.5000	7.3400	AO	—	95,955.80		11162015	10012024
BRSQHT1U4	B/E AEROSPACE INC		4	3FE	1,154,834.10	1,165,352.97	1,160,637.30	1,156,476.08	8,876.89		839.63		—	—		1.3750	1.4930	FA	—	46,889.05		7242014	8012017
06759YAC9	BABSN_16-3A	D	4		2,000,000.00	1,994,499.00	2,000,000.00	2,000,000.00	(5,501.00	)	—		—	—		3.4510	3.0950	MON	3,720.00	—		3032015	2/7/7792
05522RCU0	BACCT		4	1FE	4,374,475.22	4,370,370.72	4,375,000.00	4,374,676.25	(4,305.53	)	119.73		—	—		1.0960	1.9530	FMAN	2,644.44	59,499.96		8082012	11222024
059513AF8	BACM			1	1,107,528.91	1,007,797.85	994,972.64	1,011,374.91	(3,577.06	)	(95,493.37	)	—	—		—	—	MJSD	4,787.48	132,173.15		4142015	3302021
059513AE1	BACM				2,540,409.89	2,303,005.79	2,271,612.02	2,307,978.91	(4,973.12	)	(161,994.90	)	—	—		3.0190	2.0920	MON	10,879.77	253,351.47		9162014	8152046
06054AAX7	BACM_15-UBS7		4		3,425,469.71	3,461,962.74	3,325,000.00	3,414,936.42	47,026.32		(9,582.89	)	—	—		0.5660	2.6480	MON	10,265.94	123,191.28		3132015	7252022
06054MAB9	BACM_16-UB10		4		3,089,985.60	3,029,866.50	3,000,000.00	3,079,479.16	(49,612.66	)	(10,506.44	)	—	—		1.6250	1.2220	JJ	6,807.50	39,483.50		9162016	4/3/5136
BRSHC6N35	BAKERCORP INTERNATIONAL INC		4	4FE	1,136,015.53	1,076,374.71	1,136,015.53	1,136,015.53	(59,640.82	)	—		—	—		3.0000	1.9980	MON	—	49,535.03		3242016	3012031
059165EG1	BALTIMORE GAS & ELECTRIC CO			1FE	149,550.00	139,783.50	150,000.00	149,564.66	(9,781.16	)	14.66		—	—		2.8400	2.4980	AO	1,330.01	—		1/2/7792	10012017
BRSYWHG22	BANK NEDERLANDSE GEMEENTEN	B			2,263,767.40	2,065,995.52	1,650,000.00	2,263,914.93	18,713.16		326.89		—	(216,632.56	)	5.0000	1.6700	AO	18,852.13	(1,599.13	)	10282016	4012025
N1R20NHE2	BANK NEDERLANDSE GEMEENTEN			1FE	601,707.20	570,630.27	450,000.00	599,594.43	(470.36	)	(2,112.77	)	—	(28,493.79	)	—	—	FMAN	714.09	2,093.49		6/4/8038	10/3/7627
62944BBJ2	BANK NEDERLANDSE GEMEENTEN	D			2,082,562.04	2,074,830.40	2,084,000.00	2,082,991.69	(8,161.29	)	734.21		—	—		3.0120	2.3010	MON	2,344.50	21,725.63		4292014	5102047

06051GEX3	BANK OF AMERICA CORP			2FE	959,794.50	958,825.51	950,000.00	959,421.73	(596.22	)	(12,087.44	)	—	—		3.0350	3.0960	JAJO	11,389.44	144,827.22		4222016	4262028
060505EG5	BANK OF AMERICA CORP			3FE	4,862,500.00	4,943,750.00	5,000,000.00	4,862,500.00	81,250.00		—		—	—		0.8750	0.8500	MS	9,965.27	256,250.00		9292016	9152019
U5904RYZ0	BANK OF AMERICA CORP			1FE	1,687,064.32	1,346,095.25	1,000,000.00	1,590,252.32	12,704.99		(82,665.73	)	—	(256,862.06	)	0.7500	1.0410	AO	64,541.56	100,229.07		5182015	10312017
06051GEQ8	BANK OF AMERICA CORP			2FE	2,692,116.00	2,714,850.27	2,700,000.00	2,699,620.16	15,230.11		1,690.18		—	—		0.8750	0.9620	JJ	28,771.88	104,625.00		2/8/5054	2/22/5273
06051GFT1	BANK OF AMERICA CORP			2FE	5,730,710.75	5,721,106.95	5,725,000.00	5,730,034.28	(8,927.33	)	(735.88	)	—	—		1.4400	1.3310	MS	30,056.25	136,208.36		2/1/7436	3152018
06051GFX2	BANK OF AMERICA CORP			2FE	2,487,284.00	2,372,664.00	2,400,000.00	2,485,637.07	(112,973.07	)	(1,646.93	)	—	—		2.8830	2.9570	MON	16,800.00	272.23		11132006	5012036
060505EN0	BANK OF AMERICA CORP			3FE	1,428,637.50	1,392,491.25	1,377,000.00	1,421,722.60	(29,231.35	)	(4,197.81	)	—	—		3.0000	2.5950	MON	24,265.80	123,985.89		3302016	11/17/4670
06050TME9	BANK OF AMERICA CORP			1FE	4,704,215.00	4,722,372.28	4,700,000.00	4,703,141.34	19,230.94		(1,073.66	)	—	—		2.5520	2.5770	MON	6,423.33	92,335.42		6182007	5012035
06051GFZ7	BANK OF AMERICA CORP		1	2FE	3,822,468.00	3,776,370.08	3,900,000.00	3,823,947.27	(47,577.19	)	1,479.27		—	—		2.5000	1.7160	JJ	18,981.08	(7,321.28	)	10202016	7/12/5300
06051GFL8	BANK OF AMERICA CORP			2FE	2,028,700.00	2,025,379.94	2,000,000.00	2,025,152.64	227.30		(2,050.08	)	—	—		6.1250	2.0260	FA	16,291.67	85,000.00		3302016	1/10/7792
06051GGB9	BANK OF AMERICA CORP		1	2FE	1,460,000.00	1,439,822.74	1,460,000.00	1,460,000.00	(20,177.26	)	—		—	—		4.3750	0.6780	JUL	4,623.46	—		9262016	7312019
U5904QAC9	BANK OF AMERICA CORP			2FE	748,402.32	710,780.42	500,000.00	742,569.18	4,395.48		(5,833.14	)	—	(36,184.24	)	2.1500	2.1780	MN	3,723.88	8,306.05		5182015	5272020
060505EH3	BANK OF AMERICA CORP			3FE	4,876,597.00	4,846,100.00	4,816,000.00	4,867,869.04	(21,769.04	)	(5,240.95	)	—	—		—	0.0710	MJSD	96,988.90	301,000.00		6292015	7082022
06051GFD6	BANK OF AMERICA CORP			2FE	11,232,380.00	11,114,290.11	11,000,000.00	11,212,342.38	(98,052.27	)	(20,247.02	)	—	—		0.7700	0.7720	MON	72,875.00	(1,398.62	)	11142013	10152018
06367TPX2	BANK OF MONTREAL	A		1FE	294,873.15	295,660.78	295,000.00	294,875.42	785.36		2.27		—	—		1.6250	1.2930	JD	326.96	—		5/19/5218	12312019
063679ZT4	BANK OF MONTREAL			1FE	2,196,150.00	2,200,000.00	2,200,000.00	2,199,936.59	63.41		(6,150.48	)	—	—		5.0000	0.5920	MS	17,994.17	65,024.38		7/14/7901	3072018
06367THQ6	BANK OF MONTREAL	A		1FE	7,947,363.20	7,845,618.75	7,955,000.00	7,948,496.46	(102,877.71	)	1,133.26		—	—		1.4500	1.4620	MN	54,027.71	—		5092013	5152018
06367THR4	BANK OF MONTREAL	A		1FE	3,000,000.00	3,006,029.88	3,000,000.00	3,000,000.00	6,029.88		—		—	—		1.8750	1.9110	JJ	9,572.94	10,189.77		12232015	4/28/4780
06366RHA6	BANK OF MONTREAL	A		1FE	130,209.30	130,002.60	130,000.00	130,068.38	(65.78	)	(151.17	)	—	—		2.4000	2.4130	FA	556.11	3,372.06		12162014	9/19/7408
06366RMS1	BANK OF MONTREAL	A	1	1FE	249,595.00	249,667.50	250,000.00	249,811.67	(144.17	)	146.10		—	—		—	—	MJSD	825.69	3,625.00		9252015	9252020
06367XF30	BANK OF MONTREAL	A		1FE	1,003,160.00	970,429.99	1,000,000.00	1,002,951.57	(32,521.58	)	(208.43	)	—	—		—	0.0830	FMAN	777.78	5,152.78		10172016	8092019
06406HCW7	BANK OF NEW YORK MELLON CORP/T		2	1FE	1,007,930.00	1,007,239.91	1,000,000.00	1,005,592.66	1,647.25		(2,048.76	)	—	—		4.0000	1.7490	MON	7,027.78	23,000.00		6082016	5202046
06406GAA9	BANK OF NEW YORK MELLON CORP/T		2	1FE	69,923.00	66,493.00	70,000.00	69,923.92	(3,430.92	)	0.92		—	—		1.1250	1.1360	MS	355.84	—		8272014	9052017
06406HCR8	BANK OF NEW YORK MELLON CORP/T		2	1FE	11,412,207.00	11,411,063.23	11,350,000.00	11,411,337.76	(274.53	)	(3,945.40	)	—	—		2.9420	3.0940	MON	81,152.50	152,530.28		4022007	10/5/7408
06406HCK3	BANK OF NEW YORK MELLON CORP/T			1FE	7,000,000.00	7,010,500.14	7,000,000.00	7,000,000.00	10,500.14		—		—	—		3.8750	3.3560	AO	7,008.97	91,439.94		11232016	10252023
06406HCU1	BANK OF NEW YORK MELLON CORP/T		2	1FE	1,996,120.00	2,010,119.94	2,000,000.00	1,998,117.89	12,002.05		765.47		—	—		1.3750	1.5410	JJ	5,622.22	44,000.00		7252016	7282021
06406HDB2	BANK OF NEW YORK MELLON CORP/T		2	1FE	1,999,820.00	2,001,000.20	2,000,000.00	1,999,913.92	1,086.28		60.83		—	—		—	0.0710	MJSD	3,466.67	32,000.00		6262014	6302021
06406HCE7	BANK OF NEW YORK MELLON CORP/T		2	1FE	299,634.00	299,724.00	300,000.00	299,845.33	(121.33	)	143.24		—	—		6.2500	1.2790	JUN	1,690.00	3,900.00		11292016	6202019
06406FAA1	BANK OF NEW YORK MELLON CORP/T		1	1FE	855,270.00	849,600.53	850,000.00	854,508.19	(4,907.66	)	(761.81	)	—	—		10.0750	9.8660	JAJO	4,486.11	12,218.75		12042014	12/12/4752
064058AD2	BANK OF NEW YORK MELLON CORP/T			2FE	4,324,550.00	4,346,625.00	4,325,000.00	4,324,550.00	22,075.00		—		—	—		2.6050	2.6130	MON	6,541.57	367,730.00		3/7/8093	4/7/7518
064058AF7	BANK OF NEW YORK MELLON CORP/T			2FE	5,870,000.00	5,385,725.00	5,870,000.00	5,870,000.00	(484,275.00	)	—		—	—		1.9500	1.9650	MON	113,119.79	—		12062016	11152021
064159GM2	BANK OF NOVA SCOTIA			1FE	2,298,919.00	2,299,379.00	2,300,000.00	2,299,473.45	(94.45	)	577.68		—	—		1.5000	1.6430	MON	2,172.22	64,788.89		5162012	4152027
064159HB5	BANK OF NOVA SCOTIA			2FE	1,172,906.16	1,205,327.84	1,173,000.00	1,172,914.13	32,413.71		8.57		—	—		1.5000	1.9170	MN	2,199.38	60,358.13		3222016	5082018
06415CAE9	BANK OF NOVA SCOTIA	A		1FE	899,010.00	898,870.50	900,000.00	899,954.48	(1,083.98	)	(18,969.45	)	—	—		1.1250	1.1410	JJ	4,331.25	88,613.19		7142015	7172017

064159HC3	BANK OF NOVA SCOTIA			1FE	1,523,185.25	1,525,427.00	1,525,000.00	1,523,755.55	1,671.45		570.30		—	—		—	0.0300		MJSD	13,712.29	14,868.75		10142016	10/3/5026
G40096AY8	BANK OF SCOTLAND PLC			1FE	699,866.71	688,661.35	500,000.00	697,645.48	(589.17	)	(2,221.23	)	—	(8,394.96	)	1.5070	1.5070		JJ	14,769.89	(11,738.34	)	9292015	7152017
06538PAB8	BANK OF TOKYO-MITSUBISHI UFJ L	D		1FE	1,667,000.00	1,675,235.03	1,667,000.00	1,667,000.00	8,235.03		—		—	—		1.7400	1.7480		MON	1,649.26	36,386.07		9252015	9152021
06739GBP3	BARCLAYS BANK PLC	D		2FE	6,019,695.00	5,807,010.06	5,500,000.00	5,832,735.13	(25,725.07	)	(81,169.45	)	—	—		1.3750	1.4060		AO	60,466.39	282,700.00		3192013	4012018
06742LAM5	BARCLAYS DRYROCK ISSUANCE TRUS		4	1FE	3,379,497.06	3,348,545.72	3,380,000.00	3,379,566.34	(31,020.62	)	69.28		—	—		—	—		MJSD	2,283.37	18,837.86		0	9272023
06738EAL9	BARCLAYS PLC	D		2FE	2,898,405.00	2,906,002.80	2,900,000.00	2,898,694.69	7,308.11		289.69		—	—		1.0030	0.2740		MJSD	44,245.14	47,125.00		9182014	3152017
06738EAF2	BARCLAYS PLC	D		2FE	1,299,883.00	1,300,585.00	1,300,000.00	1,299,952.21	632.79		39.35		—	—		3.7050	3.3400		MON	7,583.33	29,222.22		12092015	9152048
06738EAD7	BARCLAYS PLC	D		2FE	916,761.60	918,500.38	920,000.00	918,096.03	404.35		633.27		—	—		0.7700	0.8580		MON	3,724.72	25,300.00		7242014	3192018
BRT6JNXZ2	BASS PRO GROUP LLC		2	1FE	3,064,273.39	3,061,242.40	3,090,490.80	3,064,273.39	(3,030.99	)	—		—	—		2.4270	2.0240		JD	—	—		10062015	6242020
BRSTM9RG9	BASS PRO GROUP LLC		4	4FE	1,407,814.96	1,406,050.75	1,411,343.29	1,408,870.95	(2,820.20	)	746.84		—	—		4.5000	4.5350		JD	—	67,446.77		11152016	12152026
05530QAG5	BAT INTL FIN PLC	D		1FE	3,854,843.10	3,745,031.90	3,730,000.00	3,844,581.89	(99,549.99	)	(10,261.21	)	—	—		1.5960	1.5960		AO	4,558.89	28,208.12		3082013	10012018
BRT31LED2	BAT INTL FIN PLC	B	2	1FE	1,656,658.39	1,544,047.85	1,235,000.00	1,654,046.52	(16,259.86	)	(2,611.87	)	—	(93,738.82	)	3.0400	2.4100		MON	13,169.82	(3,569.16	)	4282016	3/3/7655
07177MAD5	BAXALTA INC			2FE	3,749,014.00	3,745,912.46	3,750,000.00	3,749,181.16	(3,268.70	)	324.59		—	—		0.7500	0.7870		JJ	2,395.83	109,168.54		5282015	7142017
07177MAG8	BAXALTA INC			2FE	3,868,411.49	3,866,865.27	3,870,000.00	3,868,867.23	(2,001.96	)	455.74		—	—		1.5000	1.5150		AO	1,935.00	42,785.00		4042016	4112019
072863AA1	BAYLOR SCOTT & WHITE HOLDINGS			1FE	750,000.00	730,720.50	750,000.00	750,000.00	(19,279.50	)	—		—	—		—	—		MJSD	2,034.55	15,922.52		9/16/7408	9/22/7408
05531FAW3	BB&T CORP			1FE	1,350,000.00	1,349,608.51	1,350,000.00	1,350,000.00	(391.49	)	—		—	—		2.0510	1.6430		JJ	346.99	—		10212014	7012019
05531GAA9	BB&T CORP		2	1FE	425,524.00	416,407.97	400,000.00	419,351.54	(2,943.57	)	(3,446.89	)	—	—		2.3580	2.3580		JAJO	4,345.01	15,800.00		9282016	5/2/4780
05531FAN3	BB&T CORP		2	1FE	787,675.20	783,603.59	780,000.00	783,074.54	529.05		(2,231.54	)	—	—		5.7470	(1.6940	)	MON	533.00	15,990.00		12022014	3/20/7655
06742LAG8	BCLDRY_14-5		4	1FE	3,394,476.57	3,399,520.78	3,395,000.00	3,394,811.12	4,709.66		212.14		—	—		1.6500	1.6640		MON	2,233.16	50,246.04		10162014	9152021
07388VAE8	BEAR STEARNS COMMERCIAL MORTGA		4	1FE	1,662,594.57	1,502,366.45	1,500,790.57	1,519,917.76	(17,551.31	)	(115,391.57	)	—	—		3.7750	2.9200		MON	6,842.35	192,162.94		3112015	8152047
075887BE8	BECTON DICKINSON AND COMPANY			2FE	3,831,789.65	3,873,080.50	3,821,000.00	3,827,538.23	45,542.27		(2,117.40	)	—	—		—	0.0710		MJSD	4,542.74	117,173.01		9162016	10032023
BRSSLJ0J3	BENDON INC				810,243.69	777,833.94	810,243.69	810,243.69	(32,409.75	)	—		—	—		1.2500	1.3470		JJ	—	26,146.91		2/6/5054	11/15/5108
BRSSLJ0T1	BENDON INC				6,004,677.33	5,704,443.46	6,004,677.33	6,004,677.33	(300,233.87	)	—		—	—		1.7500	1.8690		MN	—	339,764.05		11072012	11152019
59562VAX5	BERKSHIRE HATHAWAY ENERGY CO		1	1FE	1,506,105.00	1,505,864.87	1,500,000.00	1,503,618.02	2,246.85		(1,870.11	)	—	—		3.0000	1.2710		MON	3,833.34	30,000.00		4/1/7737	11012022
BRT2CNQ86	BERRY PLASTICS CORP			3FE	229,806.44	232,750.57	230,846.09	229,895.79	2,854.78		144.22		—	—		2.0000	1.9750		JUL	—	4,329.22		7262016	7282025
BRSHBHS86	BERRY PLASTICS CORP		4	3FE	686,854.58	691,147.42	686,854.58	686,854.58	4,292.84		1,548.24		—	—		—	(1.0250	)	MJSD	—	164,087.72		12012016	11042022
BRSV3DL15	BESTOP INC				3,990,000.00	3,950,100.00	3,990,000.00	3,990,000.00	(39,900.00	)	—		—	—		5.0000	0.6670		MN	—	237,418.65		8312015	11152021
BRT5C0FT5	BESTOP INC				2,407,500.00	2,395,462.50	2,407,500.00	2,407,500.00	(12,037.50	)	—		—	—		3.5000	3.3760		MON	—	77,039.84		10062015	4252046
G1R42CEP6	BG ENERGY CAPITAL PLC			2FE	781,047.29	772,141.02	600,000.00	778,834.78	618.41		(2,212.51	)	—	(7,312.17	)	6.0000	5.1360		MON	4,224.90	(960.68	)	10/29/7490	9012037
G1163HET9	BG ENERGY CAPITAL PLC				1,266,440.70	1,028,902.23	800,000.00	1,209,132.22	5,321.21		(32,945.27	)	—	(185,551.21	)	1.1940	5.1250		December	3,469.98	42,667.72		20141210	20171207
095560AJ7	BHILL_13-1A			1FE	672,468.75	673,275.65	675,000.00	673,075.62	200.03		343.11		—	—		1.7500	1.8290		MN	5,529.00	24,584.95		5152012	5172017
055451AP3	BHP BILLITON FINANCE (USA) LTD			1FE	6,706,708.00	6,727,421.00	6,725,000.00	6,724,442.71	2,978.29		3,772.70		—	—		1.6990	1.6990		JD	38,552.00	109,281.26		9112014	12012018
055451AU2	BHP BILLITON FINANCE (USA) LTD			1FE	544,060.00	528,110.05	500,000.00	535,419.88	(7,309.83	)	(4,736.75	)	—	—		—	0.0550		MJSD	4,865.97	19,250.00		8252016	8312024
09062XAC7	BIOGEN IDEC INC			2FE	4,943,836.10	4,967,624.25	4,911,000.00	4,938,436.40	29,187.85		(5,439.72	)	—	—		2.2000	1.6730		MN	41,934.48	105,130.81		10242016	5262020

BRSR5UKB3	BIOTELEMETRY INC					3,910,714.29	3,891,160.72	3,910,714.29	3,910,714.29	(19,553.57	)	—		—	—		3.5000	3.5740		MS	—	231,369.04		9022015	3152025
BRSR5ULA4	BIOTELEMETRY INC					514,285.71	506,571.42	514,285.71	514,285.71	(7,714.29	)	—		—	—		2.1000	2.2230		JJ	—	28,738.10		7282015	7302020
095538AC8	BLUE HALO RE LTD					1,500,000.00	1,561,890.00	1,500,000.00	1,500,000.00	61,890.00		—		—	—		3.0000	0.9530		MON	—	53,484.60		9262013	12202037
095538AA2	BLUE HALO RE LTD					1,000,000.00	1,027,750.00	1,000,000.00	1,000,000.00	27,750.00		—		—	—		3.5000	2.7990		MON	6,723.69	71,492.87		7/13/7901	8012042
095538AB0	BLUE HALO RE LTD					400,000.00	409,220.00	400,000.00	400,000.00	9,220.00		—		—	—		1.6500	1.6540		MS	3,790.93	40,224.95		9/24/5026	9152018
BRSZ4WWJ2	BLUEPAY PROCESSING LLC					2,187,229.05	2,176,292.90	2,187,229.05	2,187,229.05	(10,936.15	)	—		—	—		2.8750	2.9100		JD	—	113,125.78		6032016	6232020
BRSK4S5S4	BMC SOFTWARE FINANCE INC			4	4FE	3,636,122.12	3,631,378.70	3,644,539.13	3,639,825.79	(8,447.09	)	1,540.21		—	—		6.3750	2.6130		NOV	—	185,991.85		7012016	11192024
BRSL762A9	BMW FIN N.V.		B			1,543,559.25	1,247,390.65	1,000,000.00	1,531,550.59	6,432.95		(7,323.25	)	—	(290,592.89	)	3.0000	2.0260		MON	2,488.23	26,639.38		12102015	12012030
N1430ZAT2	BMW FIN N.V.				1FE	2,365,254.60	2,115,659.29	1,630,000.00	2,337,748.23	13,619.97		(27,506.37	)	—	(235,708.90	)	2.7810	3.0810		MON	3,352.25	44,461.07		6182007	3012034
05565EAK1	BMW US CAPITAL LLC				1FE	2,621,718.75	2,589,536.31	2,625,000.00	2,622,039.56	(32,503.25	)	320.81		—	—		4.7500	1.5750		JD	11,207.29	—		10/16/5464	6012019
05565EAM7	BMW US CAPITAL LLC			1	1FE	947,064.50	908,190.49	950,000.00	947,180.54	(38,990.05	)	174.06		—	—		5.0000	3.4990		MON	6,293.75	3,146.89		9292009	3012023
05565EAF2	BMW US CAPITAL LLC			1	1FE	359,096.40	351,964.79	360,000.00	359,221.92	(7,257.13	)	125.52		—	—		3.5440	2.9640		MON	1,600.00	3,600.00		9272016	3102031
05565EAD7	BMW US CAPITAL LLC				1FE	3,943,264.20	3,907,640.89	3,945,000.00	3,943,676.93	(36,036.04	)	496.46		—	—		1.1800	1.1560		MON	13,150.00	38,302.50		10282014	5182020
05582QAD9	BMW VEHICLE OWNER TRUST BMWOT_			4	1FE	2,999,986.50	2,971,903.83	3,000,000.00	2,999,981.73	(28,077.90	)	(4.77	)	—	—		—	0.0710		MJSD	580.00	14,983.33		9272013	9182020
09658UAD1	BMWOT_14-A			4	1FE	974,895.38	975,677.29	975,000.00	974,947.47	729.82		23.56		—	—		0.9380	0.9380		MJSD	243.75	14,625.00		4282016	6062020
F105C9MT2	BNP PARIBAS SA					635,964.49	590,976.36	490,000.00	636,048.26	(13,039.98	)	83.77		—	(32,031.91	)	5.0000	3.9670		MON	2,575.30	(343.88	)	3262009	3152024
05565ACA9	BNP PARIBAS SA		D	2		355,000.00	351,066.60	355,000.00	355,000.00	(3,933.40	)	—		—	—		2.3750	2.4670		AO	1,131.56	—		3312014	4042019
097023BM6	BOEING CO				1FE	376,858.82	374,463.14	382,000.00	378,019.97	(3,556.83	)	994.84		—	—		5.0000	4.1660		MON	1,068.01	6,320.51		4232010	9152036
097023BE4	BOEING CO				1FE	1,970,180.00	1,989,340.00	2,000,000.00	1,990,285.18	(945.18	)	6,976.00		—	—		—	0.1420		MJSD	2,427.77	19,000.00		7312014	6032020
097023BG9	BOEING CO				1FE	807,568.00	801,479.99	800,000.00	805,607.16	(4,127.17	)	(1,099.24	)	—	—		1.6600	1.6710		MON	3,185.56	18,800.00		8182016	6172024
09785EAA9	BONANZA RE LTD		D			250,000.00	248,807.50	250,000.00	250,000.00	(1,192.50	)	—		—	—		—	0.1070		MJSD	1,012.38	—		4282016	4282023
09785EAB7	BONANZA RE LTD		D			250,000.00	248,600.00	250,000.00	250,000.00	(1,400.00	)	—		—	—		—	0.1170		MJSD	1,281.60	—		12052016	4012024
10011AAA1	BOSPHORUS LTD		D			1,080,000.00	1,090,357.20	1,080,000.00	1,080,000.00	10,357.20		—		—	—		3.0220	2.2190		MON	3,125.52	54,278.13		3022016	8102055
102022AX8	BOURBONNAIS ILL	@		2	1FE	1,236,560.50	1,174,276.50	1,150,000.00	1,173,799.15	477.35		(28,186.24	)	—	—		—	(0.0590	)	JAJO	8,385.42	50,312.50		10292012	8282019
BRSK5A7F8	BOYD GAMING CORPORATION			4	3FE	1,088,195.61	1,101,991.21	1,095,535.22	1,090,939.93	11,051.28		11,005.12		—	—		3.0000	1.6480		MON	—	102,042.36		4292013	3012028
05565QCZ9	BP CAPITAL MARKETS PLC		D		1FE	875,000.00	884,012.55	875,000.00	875,000.00	9,012.55		—		—	—		2.1720	1.5650		FA	7,740.06	26,792.50		9232014	8152018
05565QDC9	BP CAPITAL MARKETS PLC		D		1FE	2,600,000.00	2,580,812.03	2,600,000.00	2,600,000.00	(19,187.97	)	—		—	—		1.3000	1.2880		FA	7,020.58	21,666.96		8232016	8282019
G1279MKC9	BP CAPITAL MARKETS PLC				1FE	1,468,608.73	1,386,843.38	1,050,000.00	1,455,456.94	(1,052.56	)	(13,151.79	)	—	(67,561.00	)	2.3750	1.8140		JJ	3,382.21	12,425.69		6042015	2/12/5054
05565QCF3	BP CAPITAL MARKETS PLC		D		1FE	2,500,000.00	2,504,755.00	2,500,000.00	2,500,000.00	4,755.00		—		—	—		1.6770	1.5890		MON	5,027.86	28,200.00		10072014	12152047
07330NAD7	BRANCH BKG & TR CO			2	1FE	3,804,378.11	3,776,985.90	3,737,000.00	3,767,679.62	9,306.28		(17,814.11	)	—	—		1.7500	1.8490		AO	18,145.21	85,951.00		9242013	10152018
07330NAL9	BRANCH BKG & TR CO			2	1FE	1,852,941.50	1,827,874.01	1,850,000.00	1,852,401.45	(24,527.44	)	(540.05	)	—	—		6.8750	2.0790		MN	3,800.21	10,357.43		6082016	5012020
10620NCG1	BRAZOS HIGHER EDUCATION AUTHOR			4	1FE	1,882,670.16	1,908,347.60	1,908,385.75	1,899,624.85	8,722.75		5,000.49		—	—		6.7500	1.4540		AUG	3,383.08	32,133.49		12212016	8062018
110122AV0	BRISTOL-MYERS SQUIBB CO				1FE	7,465,480.00	7,490,175.22	7,500,000.00	7,478,846.30	11,328.92		9,519.91		—	—		—	—		JAJO	43,750.00	131,250.00		11242014	7012019
BRSQK8KF8	BRITISH SKY BROADCASTING GRP P		B		2FE	923,806.47	921,789.98	700,000.00	922,026.13	6,247.08		(1,780.34	)	—	(6,483.22	)	2.5000	1.6280		MON	2,588.95	889.52		9062012	9012027

111013AM0	BRITISH SKY BROADCASTING GRP P	D		2FE	5,111,910.15	5,130,447.40	5,115,000.00	5,113,235.75	17,211.65		651.09		—	—		2.3000	2.3430		MN	39,161.71	134,268.78		10202015	11012020
11102AAA9	BRITISH TELECOMMUNICATIONS PLC	D		2FE	1,121,760.00	1,041,890.00	1,000,000.00	1,041,808.68	81.32		(39,528.35	)	—	—		1.6000	1.7090		JJ	27,436.11	59,500.00		7152015	7132018
111021AK7	BRITISH TELECOMMUNICATIONS PLC	D		2FE	425,110.50	427,061.25	425,000.00	425,060.92	2,000.33		(27.73	)	—	—		2.6000	2.6120		JJ	3,800.80	9,987.50		7152015	7222020
G1582KAR3	BRITISH TELECOMMUNICATIONS PLC				1,777,041.92	1,268,643.72	1,000,000.00	1,619,763.36	4,841.30		(97,026.67	)	—	(355,960.94	)	6.6250	1.7301		June	43,061.56	108,325.32		20141031	20170623
114894HA9	BROWARD CNTY FLA		4	1FE	1,977,264.19	1,909,283.69	1,719,719.06	1,902,653.57	6,630.12		(69,368.74	)	—	—		1.5000	1.5070		JD	29,665.15	138,000.00		7152015	6152018
115637AN0	BROWN-FORMAN CORPORATION			1FE	1,295,697.00	1,293,266.00	1,300,000.00	1,299,104.58	(5,838.58	)	853.38		—	—		1.5610	1.5610		MN	5,994.44	13,000.00		5092016	5162019
07387AAW5	BSARM		4		567,523.04	541,859.89	578,183.27	568,924.89	(27,065.00	)	(3,460.14	)	—	—		—	(1.6070	)	MJSD	1,552.15	20,106.54		12012016	4282020
07384M3D2	BSARM_04-10		4	2FE	422,493.66	424,633.28	430,676.49	423,505.94	1,127.34		2,048.65		—	—		1.8130	1.5300		MON	1,283.77	16,723.52		8072014	9102045
07388YAE2	BSCMS		4		587,295.85	525,199.21	524,664.07	528,237.37	(3,038.16	)	(55,715.56	)	—	—		3.1190	2.0710		MON	2,496.95	109,233.53		9222015	8152047
G1658KAC5	BSKYB FINANCE UK PLC				2,456,890.12	2,053,718.12	1,600,000.00	2,365,582.48	7,930.35		(76,311.50	)	—	(319,794.71	)	5.7500	1.4372		October	22,735.96	94,420.18		20150506	20171020
BRSG4MWQ0	BSN MEDICAL		4		1,569,941.31	1,573,694.71	1,577,638.81	1,574,643.61	(948.90	)	1,129.83		—	—		2.8750	3.8690		MN	—	64,157.30		4062016	11152021
12189TAY0	BURLINGTON NORTHERN SANTA FE R			2FE	239,043.80	228,226.50	225,000.00	228,236.73	(10.23	)	(79,622.89	)	—	—		1.6500	1.6330		JD	2,118.75	123,829.17		11122015	6152018
12189LAY7	BURLINGTON NORTHERN SANTA FE R		1	1FE	503,523.94	527,088.70	505,000.00	503,699.67	23,389.03		128.53		—	—		3.7000	4.1700		MS	6,144.16	18,995.71		6/5/8038	3152023
12232KAA8	BURNH_16-1A	D	4	1FE	1,498,050.00	1,499,205.00	1,500,000.00	1,498,091.18	1,113.82		41.18		—	—		5.0000	3.7020		MON	6,470.78	—		3262009	3152023
12232KAC4	BURNH_16-1A	D	4		500,000.00	495,840.75	500,000.00	500,000.00	(4,159.25	)	—		—	—		3.0620	2.4010		MON	2,473.31	—		7162015	7102048
12765JAA6	CAELUS RE IV LTD	D			750,000.00	786,397.50	750,000.00	750,000.00	36,397.50		—		—	—		6.7500	1.9530		JJ	10,827.52	25,612.78		6052014	7012018
12800UAL4	CAISSE CENTRALE DESJARDINS	A		1FE	2,699,352.00	2,700,000.00	2,700,000.00	2,699,976.26	23.74		133.64		—	—		2.2500	2.2430		MN	13,800.00	43,200.00		3042015	11052019
13066YTY5	CALIFORNIA ST DEPT WTR RES		4	1FE	9,260,000.00	9,057,205.82	9,260,000.00	9,260,000.00	(202,794.18	)	—		—	—		2.5000	1.8870		MON	40,977.83	—		4122016	4012031
13068LYR0	CALIFORNIA STATE PUB WKS BRD			1FE	50,096.40	47,418.00	40,000.00	49,838.86	(2,420.86	)	(257.54	)	—	—		3.7000	3.6980		MN	433.33	—		3022015	11012024
BRSJ7A0J8	CALPINE CONSTRUCTION FINANCE C			3FE	6,477,736.40	6,506,395.59	6,530,886.41	6,498,118.79	8,276.80		6,608.35		—	—		1.5000	1.5100		FA	—	215,531.19		7/14/7901	9/5/7983
BRT4V9ZP4	CAMELOT FINANCE LP / CAMELOT C		2	4FE	971,705.00	987,330.42	976,587.95	971,861.76	15,468.66		159.81		—	—		3.4770	2.2840		MON	—	11,377.58		5242016	8152050
135087E42	CANADA GOVERNMENT	A		1	1,002,490.00	999,140.00	1,000,000.00	1,001,129.36	(1,989.36	)	(922.42	)	—	—		5.0000	1.5600		MN	3,187.50	11,250.00		10062016	5152024
135087C77	CANADA GOVERNMENT	A		1FE	2,903,898.00	2,914,094.23	2,900,000.00	2,903,280.87	10,813.36		(1,500.31	)	—	—		1.3050	1.3050		AO	16,231.94	47,125.00		12092014	10012017
13976AAB6	CAPITAL AUTO RECEIVABLES ASSET		4		539,972.68	540,245.59	540,000.00	539,978.00	267.59		5.32		—	—		6.0000	5.1540		MON	224.40	1,815.60		10/29/7490	9012037
140420NB2	CAPITAL ONE BANK USA NA			2FE	755,565.00	742,980.02	750,000.00	754,462.72	(11,482.70	)	(648.54	)	—	—		2.8000	2.8050		MS	9,562.50	25,312.50		3072016	3102021
14042E3Y4	CAPITAL ONE FIN CORP		2	2FE	9,380,512.50	9,398,812.31	9,375,000.00	9,380,129.66	18,682.65		(1,119.13	)	—	—		2.0000	1.7550		MON	121,380.21	276,562.50		3182009	10202027
14042E5V8	CAPITAL ONE FIN CORP		1	2FE	10,595,013.65	10,572,201.50	10,515,000.00	10,575,542.06	(3,340.56	)	(19,994.30	)	—	—		1.3500	1.3670		JJ	91,977.04	119,483.47		5/7/4999	6/29/5081
14042E4A5	CAPITAL ONE FIN CORP		2	2FE	754,357.50	751,582.49	750,000.00	754,226.40	(2,643.91	)	(131.10	)	—	—		—	0.0310		MJSD	5,800.00	(4,300.00	)	11182016	11082023
14040HBH7	CAPITAL ONE FINANCIAL CORP		2	3FE	3,596,443.75	3,641,050.00	3,605,000.00	3,596,443.75	44,606.25		—		—	—		6.0000	5.1420		MON	16,673.14	131,726.94		10/29/7490	7012037
14040HAY1	CAPITAL ONE FINANCIAL CORP			2FE	722,701.50	701,194.00	650,000.00	715,910.28	(14,716.28	)	(6,791.22	)	—	—		2.1000	2.1150		JD	14,236.80	1,101.74		12072016	12122019
14041NFG1	CAPITAL ONE MASTER TRUST		4	1FE	1,199,643.60	1,163,725.43	1,200,000.00	1,199,664.97	(35,939.54	)	21.37		—	—		2.3500	2.0930		JJ	885.33	6,086.67		6162016	7012021
14041NFF3	CAPITAL ONE MULTI-ASSET EXECUT		4	1FE	4,583,893.64	4,522,434.42	4,585,000.00	4,584,023.92	(61,589.50	)	130.28		—	—		0.6250	0.7150		JD	2,710.24	18,632.93		9302016	6302018
14041NFE6	CAPITAL ONE MULTI-ASSET EXECUT		4	1FE	4,444,968.89	4,391,755.08	4,445,000.00	4,444,923.65	(53,168.57	)	(45.24	)	—	—		2.5000	2.5120		MS	2,647.24	22,997.94		12/21/7572	3152017
14041NFA4	CAPITAL ONE MULTI-ASSET EXECUT		4	1FE	3,999,926.40	3,991,639.60	4,000,000.00	3,999,955.76	(8,316.16	)	41.74		—	—		3.2230	1.8470		MON	2,577.78	107,058.29		7212014	9152046

14313TAC3	CARMAX AUTO OWNER TRUST CARMX_		4	1FE	688,207.76	687,925.06	688,262.34	688,239.84	(314.78	)	31.04		—	—	1.1500	1.3220	JJ	354.84	12,145.49		4292015	7012018
14314EAC5	CARMAX AUTO OWNER TRUST CARMX_		4		4,249,365.05	4,222,561.70	4,250,000.00	4,249,453.79	(26,892.09	)	88.74		—	—	5.0000	3.5260	MON	2,625.56	23,794.11		10212009	12012023
14313RAD5	CARMX_14-2		4	1FE	1,999,666.60	2,003,489.08	2,000,000.00	1,999,876.78	3,612.30		76.70		—	—	5.0000	1.5900	JD	1,431.11	32,199.96		10262016	6012023
14313TAD1	CARMX_14-3		4	1FE	2,291,414.06	2,300,765.52	2,295,000.00	2,293,558.33	7,207.19		941.43		—	—	2.4500	1.7580	MN	1,764.60	39,703.56		6162016	11052020
14313VAC8	CARMX_15-3		4	1FE	1,199,924.29	1,202,171.55	1,200,000.00	1,199,948.39	2,223.16		16.97		—	—	4.6500	2.4180	AO	869.33	19,560.00		3312015	10172021
14313VAD6	CARMX_15-3		4	1FE	249,946.40	251,227.90	250,000.00	249,963.54	1,264.36		12.35		—	—	1.4500	1.4940	JJ	220.00	4,950.00		4/12/5355	6/3/5437
14314MAD5	CARMX_16-2		4	1FE	1,259,581.18	1,249,387.02	1,260,000.00	1,259,649.28	(10,262.26	)	68.10		—	—	6.5000	5.7100	MON	940.80	13,818.00		2/25/5492	11152037
BRSWNA5P2	CARR MANAGEMENT INC				4,046,399.99	4,026,066.33	4,066,733.67	4,051,186.39	(25,120.06	)	5,478.23		—	—	2.4190	2.4170	MN	—	254,783.43		11092015	11172020
BRSS9F410	CASCADE DRILLING L.P.				4,319,116.82	4,297,521.24	4,319,116.82	4,319,116.82	(21,595.58	)	—		—	—	1.6250	1.4880	MN	—	249,304.00		8012016	5152026
BRT4DFYL0	CASCADE DRILLING L.P.				1,670,062.95	1,661,712.64	1,670,062.95	1,670,062.95	(8,350.31	)	—		—	—	1.4500	1.4930	MS	—	44,982.70		9082016	9132019
BRSS9F6W0	CASCADE DRILLING L.P.				633,431.12	630,263.98	633,431.13	633,431.12	(3,167.14	)	—		—	—	2.7570	2.3130	MON	—	(52,065.27	)	9022016	3/2/7655
14855GAB7	CASTLELAKE AIRCRAFT SECU TRUST		4	1FE	481,757.89	477,443.64	479,361.08	481,085.74	(3,642.10	)	(2,375.38	)	—	—	—	—	JAJO	1,118.51	39,194.49		12092016	6/2/5218
BRSN5MWG6	CATALENT PHARMA SOLUTIONS INC		4	3FE	3,358,915.33	3,394,080.95	3,375,794.28	3,365,010.89	29,070.06		4,564.11		—	—	5.7220	5.1820	MJSD	—	163,242.47		4302015	5032018
14912L6M8	CATERPILLAR INC			1FE	2,997,210.00	3,003,029.94	3,000,000.00	2,998,248.39	4,781.55		916.04		—	—	4.0500	3.6210	JJ	7,200.00	54,000.00		8192014	7302022
14912L5T4	CATERPILLAR INC			1FE	1,016,550.00	1,012,590.03	1,000,000.00	1,007,215.49	5,374.54		(4,198.17	)	—	—	5.3500	5.7230	MN	7,826.39	24,500.00		11252014	12312049
14912L6J5	CATERPILLAR INC			1FE	3,971,720.00	3,960,679.92	4,000,000.00	3,979,384.57	(18,704.65	)	6,232.84		—	—	1.4000	1.4060	MS	25,777.78	80,000.00		8/29/7983	3152017
14912L6L0	CATERPILLAR INC			1FE	2,899,739.00	2,900,841.20	2,900,000.00	2,899,871.68	969.52		86.34		—	—	2.6250	2.2990	FA	2,054.17	49,300.00		6072016	4/20/7956
12479RAB3	CAUTO_14-1A		4	1FE	2,998,196.46	2,914,875.30	3,000,000.00	2,998,418.49	(83,543.19	)	125.97		—	—	1.4000	1.4140	AO	4,880.00	109,800.00		4232013	4302018
124857AL7	CBS CORP		1	2FE	1,973,560.00	2,006,000.06	2,000,000.00	1,985,382.17	20,617.89		5,321.00		—	—	1.8390	2.1560	JAJO	17,377.78	46,000.00		6122015	6/30/5081
17119YAC1	CCART_14-BA		4	1FE	897,457.30	897,735.57	897,627.85	897,587.54	148.03		206.32		—	—	—	8.6640	MJSD	506.66	25,582.73		7182016	7262019
17305EFU4	CCCIT_14-A8		4	1FE	12,541,783.29	12,534,655.37	12,490,000.00	12,518,651.58	16,003.79		(22,178.29	)	—	—	1.8750	1.6380	AO	49,217.54	229,148.11		12192016	4012019
12532LAU9	CCMS_16-RNDB		4		5,016,793.54	5,031,099.43	5,016,793.54	5,016,793.54	14,305.89		—		—	—	5.2410	4.9900	MJSD	5,576.46	117,264.65		4282016	6062020
15136WAG9	CECLO_13-20A	D	4	1FE	490,825.00	499,962.95	500,000.00	491,276.26	8,686.69		451.26		—	—	—	0.0830	MJSD	2,721.68	4,347.90		5112015	5282021
15137EAG8	CECLO_14-21A	D	4	1FE	248,750.00	248,955.15	250,000.00	248,778.29	176.86		28.29		—	—	3.0000	3.0110	JAJO	1,689.27	(204.76	)	8302016	4122027
151020AQ7	CELGENE CORPORATION			2FE	2,776,689.10	2,738,481.96	2,710,000.00	2,774,505.57	(36,023.61	)	(2,183.53	)	—	—	5.0000	1.5300	JD	29,433.61	(19,431.81	)	10262016	12012022
BRT1UYWP9	CENGAGE LEARNING INC			4FE	3,421,146.12	3,340,968.71	3,450,968.32	3,422,992.09	(82,023.38	)	2,019.37		—	—	2.0500	2.0500	JD	—	68,550.19		12052013	12012018
15672NAC8	CERB_14-1A		4		991,577.30	1,000,513.00	1,000,000.00	996,855.64	3,657.36		2,393.22		—	—	2.0000	2.0490	AO	7,557.78	33,355.49		9182012	10012017
15672NAA2	CERB_14-1A		4		935,733.80	935,120.15	935,733.80	935,733.80	(613.65	)	—		—	—	1.3200	1.3260	MON	5,636.24	35,279.52		6012015	6172019
15673BAA7	CERB_16-3A	D	4		1,000,000.00	996,341.10	1,000,000.00	1,000,000.00	(3,658.90	)	—		—	—	1.8480	1.8680	JJ	1,064.27	—		9232014	7012019
15672TAE1	CERB_2015-1A		4	1FE	496,000.00	499,974.45	500,000.00	496,498.72	3,475.73		498.72		—	—	2.1000	1.6380	MN	4,148.33	6,811.22		11282016	5062019
15672LAD0	CERBERUS ONSHORE II CLO LLC CE		4	1FE	497,000.00	494,069.45	500,000.00	497,675.06	(3,605.61	)	675.06		—	—	2.0000	1.9190	MON	5,151.11	9,002.85		3182009	12202034
156792GT4	CERRITOS CALIF CMNTY COLLEGE D			1FE	500,000.00	503,995.00	500,000.00	500,000.00	3,995.00		—		—	—	3.5050	3.1430	MON	4,510.42	10,825.00		3062015	4152050
165183AF1	CFII_16-2		4	1FE	453,489.26	453,821.54	455,000.00	453,513.63	307.91		24.37		—	—	1.5000	1.5360	JJ	380.18	(190.09	)	12/20/4971	6/29/5081
17324DAU8	CGCMT_15-P1		4	1FM	1,029,952.40	1,042,860.03	1,000,000.00	1,026,116.00	16,744.03		(2,816.52	)	—	—	1.6250	1.5710	FA	3,097.50	37,170.00		10082015	7/28/8120

29429CAD7	CGCMT_16-P3		4		3,604,769.00	3,515,984.86	3,500,000.00	3,597,566.22	(81,581.36	)	(7,202.78	)	—	—	1.9000	1.9190		AO	9,709.58	73,792.80		3222016	4012019
12532LAA3	CGGS COMMERCIAL MORTGAGE TRUST		4		5,813,806.75	5,837,041.50	5,800,000.00	5,809,311.72	27,729.78		(4,495.03	)	—	—	3.0000	1.8370		MON	13,325.50	97,368.05		10172016	10012031
BRT5UB3Q0	CGMS_12-4AR		4		1,500,000.00	1,500,000.00	1,500,000.00	1,500,000.00	—		—		—	—	5.0000	5.0120		JJ	8,455.83	—		10312008	7152019
14309YAY0	CGMS_12-4AR	D	4		2,000,000.00	1,979,926.00	2,000,000.00	2,000,000.00	(20,074.00	)	—		—	—	3.5000	2.4030		MON	14,113.33	—		3032016	3012046
14310KAC5	CGMS_13-4	D	4	1FE	1,489,350.00	1,499,941.50	1,500,000.00	1,493,811.52	6,129.98		2,327.25		—	—	2.0000	2.3240		JJ	7,441.67	31,173.22		11172016	7062021
14310MAQ0	CGMS_14-1A	D	4		2,500,000.00	2,499,709.00	2,500,000.00	2,500,000.00	(291.00	)	—		—	—	—	(0.1160	)	MJSD	15,361.74	(10,968.06	)	5132016	11062023
14311DAC0	CGMS_15-1A	D	4	1FE	4,987,000.00	5,006,258.00	5,000,000.00	4,990,915.39	15,342.61		2,143.82		—	—	1.3060	1.3100		MON	24,447.09	106,617.31		8062013	6252027
125354AA8	CGRBS COMMERCIAL MORTGAGE TRUS		4	1FE	1,032,226.56	1,023,101.20	1,000,000.00	1,031,794.74	(8,693.54	)	(431.82	)	—	—	1.6500	1.6910		MN	2,807.50	(93.58	)	5042015	5072018
161571FU3	CHAIT_13-A1		4	1FE	3,165,795.70	3,192,576.79	3,195,000.00	3,185,279.59	7,297.20		8,517.36		—	—	—	—		MJSD	1,846.00	41,535.00		12212016	12212022
161571GT5	CHAIT_15-A2		4	1FE	489,976.04	491,042.72	490,000.00	489,990.51	1,052.21		103.43		—	—	3.0000	2.1460		MON	346.27	104,398.96		7132015	4012029
808513AL9	CHARLES SCHWAB CORPORATIO		1	1FE	318,656.00	313,558.40	320,000.00	318,870.48	(5,312.08	)	119.95		—	—	1.3750	1.5030		AO	2,960.00	9,600.00		10272016	10072021
808513AK1	CHARLES SCHWAB CORPORATIO		1	1FE	668,795.03	669,294.36	669,000.00	668,917.72	376.64		78.14		—	—	2.2500	2.3310		JJ	3,094.13	10,035.00		12/21/4971	9/27/5026
808513AP0	CHARLES SCHWAB CORPORATIO		2		2,270,000.00	2,142,312.50	2,270,000.00	2,270,000.00	(127,687.50	)	—		—	—	—	0.0560		MJSD	17,789.55	—		8072015	7232021
BRT215AC5	CHARTER COMMUNICATION OPER LLC			2FE	689,826.97	694,067.45	691,378.68	689,964.18	4,103.27		145.01		—	—	5.0000	4.1310		MON	—	14,615.56		4302010	6012035
BRSJ315T5	CHARTER COMMUNICATION OPER LLC		4	2FE	2,053,226.86	2,087,056.96	2,081,852.33	2,064,040.74	23,016.22		5,520.58		—	—	3.1010	1.8630		MON	—	116,909.35		3252015	12152047
161571GH1	CHASE ISSUANCE TRUST		4	1FE	700,000.00	701,756.89	700,000.00	700,000.00	1,756.89		—		—	—	1.2500	1.2990		MS	371.51	11,546.88		10122016	9302019
161571GQ1	CHASE ISSUANCE TRUST		4	1FE	1,040,650.00	1,040,904.78	1,040,000.00	1,040,643.88	260.90		(6.12	)	—	—	—	0.1430		MJSD	637.87	(518.27	)	12052013	11022020
161571HE7	CHASE ISSUANCE TRUST		4	1FE	15,102,478.98	14,804,149.18	15,105,000.00	15,102,737.85	(298,588.67	)	258.87		—	—	—	—		MJSD	10,002.86	86,274.71		0	10212022
161571FW9	CHASE ISSUANCE TRUST		4	1FE	960,000.00	961,267.24	960,000.00	960,000.00	1,267.24		—		—	—	—	(1.1470	)	MJSD	446.03	7,283.25		8012016	8252021
161571FQ2	CHASE ISSUANCE TRUST CHAIT_12-		4	1FE	5,000,000.00	4,910,454.95	5,000,000.00	5,000,000.00	(89,545.05	)	—		—	—	0.8750	0.9180		MN	4,800.00	108,000.00		4112013	5212018
161571HC1	CHASE ISSUANCE TRUST CHAIT_16-		4	1FE	9,999,976.00	9,899,482.70	10,000,000.00	9,999,843.40	(100,360.70	)	(132.60	)	—	—	2.2000	2.0530		MN	6,088.89	67,738.91		11282016	5222019
161630BD9	CHASE MORTGAGE FINANCE CORPORA		4	1FE	1,553,545.96	1,412,240.80	1,538,818.97	1,551,266.70	(139,025.90	)	(12,934.95	)	—	—	2.5510	2.5510		AO	3,625.91	47,305.37		10052015	10052018
BRST4R1R3	CHEMOURS COMPANY LLC		4	3FE	2,965,978.11	2,985,980.96	2,997,220.54	2,971,202.56	14,778.40		4,512.44		—	—	—	0.0900		MJSD	—	72,524.91		1/12/5410	8042019
166430AA6	CHEST_14-1A		4	1FE	2,463,000.00	2,447,165.37	2,463,000.00	2,463,000.00	(15,834.63	)	—		—	—	1.6250	1.4530		MN	4,926.00	121,196.25		6202016	5312023
166764BH2	CHEVRON CORP			1FE	1,750,000.00	1,742,877.54	1,750,000.00	1,750,000.00	(7,122.46	)	—		—	—	3.0000	2.3480		MON	3,414.69	13,658.75		6282016	11012042
166764BL3	CHEVRON CORP		1	1FE	516,450.00	492,020.00	500,000.00	516,109.76	(24,089.76	)	(340.24	)	—	—	1.4000	1.4450		MN	1,846.25	1,394.94		5112015	5182018
166764AG5	CHEVRON CORP		1	1FE	4,070,440.00	4,037,799.68	4,000,000.00	4,052,719.05	(14,919.37	)	(14,412.92	)	—	—	—	0.0720		MJSD	1,887.67	97,080.00		7232014	7302021
166764AV2	CHEVRON CORP			1FE	2,380,000.00	2,377,286.80	2,380,000.00	2,380,000.00	(2,713.20	)	—		—	—	—	0.3930		MJSD	10,738.76	32,487.00		7072016	9/2/5382
166764AY6	CHEVRON CORP		1	1FE	975,000.00	980,216.22	975,000.00	975,000.00	5,216.22		—		—	—	2.2560	—		MON	2,882.64	23,585.26		9132016	12262035
BRT1ZYMR1	CHG HEALTHCARE SERVICES INC		2	4FE	772,853.24	782,146.12	776,736.92	773,148.95	8,997.17		315.23		—	—	2.1500	1.0350		MS	—	17,601.54		4142015	9152017
BRSUZA516	CHI OVERHEAD DOORS INC				399,564.71	399,564.68	400,566.10	399,761.71	(197.03	)	154.12		—	—	3.8750	0.6900		DEC	—	18,879.09		7262016	12142018
BRSR021B1	CHIEF POWER FINANCE LLC			4FE	3,362,419.74	2,738,334.26	3,396,383.58	3,373,578.60	(635,244.34	)	5,931.49		—	—	1.3000	1.3490		JJ	—	199,436.99		7072015	11/27/5327
170016XW4	CHIPPEWA VALLEY MICH SCHS		2	1FE	6,265,211.00	6,138,226.00	5,450,000.00	6,070,994.39	67,231.61		(87,872.27	)	—	—	2.8980	2.2500		MON	45,416.67	272,500.00		4062016	3/17/7655
Q2410NAA9	CHORUS LTD			2FE	417,431.61	424,030.45	295,000.00	414,094.78	3,001.72		(3,336.83	)	—	6,933.95	1.5000	1.5300		JJ	18,200.87	(12,994.89	)	11062013	11/14/5108

BRSM3VKC2	CHRYSLER GROUP LLC		4	2FE	1,719,902.13	1,731,632.04	1,728,544.86	1,724,977.98	6,654.06		5,580.64		—	—		3.3200	1.6680	MON	—	91,097.10		8242016	10/28/8065
BRSTEHXK4	CHS/COMMUNITY HEALTH SYSTEMS I		4	3FE	660,686.01	649,143.23	671,599.50	662,452.48	(13,309.25	)	1,821.73		—	—		4.3590	3.2390	MON	—	12,856.83		6/26/5081	12252046
221347AJ6	CHT_16-CSMO		4		300,000.00	301,691.73	300,000.00	300,000.00	1,691.73		—		—	—		—	—	MJSD	475.15	956.55		0	3112022
12548CAD9	CIFC FUNDING 2014-II LTD CIFC_	D	4	1FE	1,918,000.00	2,001,003.00	2,000,000.00	1,939,552.79	61,450.21		9,783.41		—	—		4.5000	2.3390	MON	7,770.23	70,829.03		10/5/5245	4012039
12549BAC2	CIFC_13-2A	D	4	1FE	977,000.00	996,836.90	1,000,000.00	987,768.99	9,067.91		5,533.49		—	—		2.2500	2.2980	MS	4,232.65	17,349.29		9082016	9152023
12549FAN9	CIFC_13-4A	D	4	1FE	1,003,500.00	1,000,135.30	1,000,000.00	1,003,231.12	(3,095.82	)	(268.88	)	—	—		—	0.3190	JAJO	3,954.45	10,094.05		4142016	5042018
12549VAS3	CIFC_14-4	D	4	1FE	1,000,000.00	1,000,000.00	1,000,000.00	1,000,000.00	—		—		—	—		3.2500	3.2620	JJ	—	—		4/26/4780	12/26/4971
17180TAA0	CIFC_16-1A	D	4		3,500,000.00	3,500,000.00	3,500,000.00	3,500,000.00	—		—		—	—		6.5000	5.2270	MON	—	—		2/25/5492	3/3/5054
BRSKAX1N1	CINCINNATI BELL INC		4		2,696,855.84	2,715,332.44	2,710,250.72	2,702,807.36	12,525.08		2,122.29		—	—		5.0000	2.4000	MN	—	119,462.14		10/21/8065	5012031
17275RBD3	CISCO SYSTEMS INC			1FE	394,241.60	393,747.85	395,000.00	394,362.73	(614.88	)	121.13		—	—		1.8000	1.8320	MN	2,969.09	4,296.72		11092015	11132018
17275RBA9	CISCO SYSTEMS INC			1FE	3,300,000.00	3,302,243.67	3,300,000.00	3,300,000.00	2,243.67		—		—	—		—	0.1250	MJSD	15,785.00	22,843.33		7072016	6072023
17275RBG6	CISCO SYSTEMS INC			1FE	10,478,315.00	10,380,090.21	10,500,000.00	10,479,633.82	(99,543.61	)	1,446.81		—	—		4.2500	3.8190	MS	41,241.68	2,138.89		6272014	3142024
17275RAU6	CISCO SYSTEMS INC			1FE	6,552,698.00	6,567,947.13	6,550,000.00	6,551,610.91	16,336.22		(1,091.40	)	—	—		1.7700	1.7810	MON	4,803.33	108,075.00		7/22/8120	5172027
17275RAT9	CISCO SYSTEMS INC			1FE	3,499,790.00	3,501,155.00	3,500,000.00	3,499,988.04	1,166.96		70.77		—	—		1.4400	1.4530	MON	12,619.44	38,500.00		10072014	4152020
17305EFS9	CITIBANK CREDIT CARD MASTER TR		4	1FE	5,419,640.63	5,393,265.51	5,350,000.00	5,394,691.94	(1,426.43	)	(15,869.64	)	—	—		2.3100	0.1940	MON	53,039.31	98,108.68		11152016	8152027
17322VAR7	CITIGROUP COMMERCIAL MORTGAGE		4	1FE	3,316,556.20	3,281,566.49	3,220,000.00	3,267,014.47	14,552.02		(20,683.73	)	—	—		5.0000	4.8520	AO	7,650.18	91,802.16		1/7/5410	10012024
17318UAB0	CITIGROUP COMMERCIAL MORTGAGE		4		6,058,828.12	6,006,839.40	6,000,000.00	6,019,107.22	(12,267.82	)	(16,559.48	)	—	—		2.2500	1.3770	MS	9,065.00	108,780.00		7082015	9102018
U17406BD7	CITIGROUP INC			2FE	1,484,867.35	1,323,578.60	1,000,000.00	1,460,970.44	17,102.27		(23,896.91	)	—	(154,494.11	)	1.0000	0.6390	FA	3,469.96	44,906.43		6292016	8152018
172967LC3	CITIGROUP INC		1	2FE	2,924,989.70	2,925,722.08	2,930,000.00	2,925,051.26	670.82		61.56		—	—		5.0000	3.7690	MON	5,664.66	—		4272009	8152023
172967GK1	CITIGROUP INC			2FE	5,661,425.00	5,685,405.11	5,500,000.00	5,618,207.95	67,197.16		(18,801.33	)	—	—		2.6000	2.1770	MON	93,431.25	222,750.00		11172009	4252031
172967KD2	CITIGROUP INC		2	3FE	3,420,000.00	3,539,700.00	3,420,000.00	3,420,000.00	119,700.00		—		—	—		1.1250	1.4430	JD	26,766.25	210,638.75		12152015	6012018
172967GR6	CITIGROUP INC		2	3FE	5,661,875.00	5,662,500.00	6,000,000.00	5,669,240.62	(6,740.62	)	3,332.11		—	—		1.4740	1.4740	MS	41,016.67	321,000.00		6042014	9012017
172967JN2	CITIGROUP INC			2FE	6,504,315.75	6,508,426.50	6,525,000.00	6,515,773.83	(7,347.33	)	6,861.35		—	—		7.0200	7.0200	JD	19,720.00	110,925.00		6152001	12012017
172967KX8	CITIGROUP INC		2	2FE	5,981,040.00	6,116,099.40	6,000,000.00	5,981,912.66	134,186.74		872.66		—	—		5.0000	1.8100	MON	12,196.80	36,462.95		11102011	11012019
U17406FZ4	CITIGROUP INC			1FE	1,122,469.36	870,774.73	650,000.00	1,048,676.76	8,497.97		(50,057.90	)	—	(186,400.00	)	2.8180	2.8090	MON	45,805.60	96,912.56		9172008	11/8/4670
172967KW0	CITIGROUP INC			2FE	10,000,000.00	10,113,199.60	10,000,000.00	10,000,000.00	113,199.60		—		—	—		3.5000	2.4360	MON	34,571.33	49,810.33		10112016	5012046
172967JW2	CITIGROUP INC			1FE	199,948.00	200,586.01	200,000.00	199,972.22	613.79		17.11		—	—		2.9430	2.9430	JJ	1,803.61	4,300.00		4/26/4780	6/18/4862
172967HU8	CITIGROUP INC			2FE	994,570.00	1,006,109.92	1,000,000.00	997,029.88	9,080.04		2,001.23		—	—		1.0000	1.0330	MN	10,555.56	66,666.67		10262015	11152017
172967KB6	CITIGROUP INC			2FE	993,750.00	999,160.00	1,000,000.00	995,110.18	4,049.82		1,452.79		—	—		—	0.0710	MJSD	4,784.72	36,731.94		10312013	10262020
172967JJ1	CITIGROUP INC			2FE	2,487,500.00	2,494,124.98	2,500,000.00	2,491,914.01	2,210.97		4,850.50		—	—		6.0480	1.2730	MJSD	22,166.67	213,926.00		5132016	4082020
172967HC8	CITIGROUP INC			2FE	2,033,660.00	2,018,620.00	2,000,000.00	2,014,181.99	4,438.01		(7,974.02	)	—	—		3.5770	4.0270	MON	13,194.44	50,000.00		8132007	11252034
172967KJ9	CITIGROUP INC			2FE	998,020.00	1,033,059.92	1,000,000.00	998,149.89	34,910.03		129.89		—	—		1.0500	1.0600	MON	14,311.11	23,000.00		8062014	3202020
172967HD6	CITIGROUP INC			2FE	670,624.50	669,129.50	650,000.00	670,384.40	(1,254.90	)	(240.10	)	—	—		1.5600	1.5710	MON	4,617.72	(2,378.82	)	11182014	1/10/7792
172967KS9	CITIGROUP INC			2FE	1,219,365.60	1,215,242.02	1,220,000.00	1,219,481.43	(4,239.41	)	115.83		—	—		2.3800	2.3920	MON	1,667.33	12,366.06		9252015	9152023

17401QAD3	CITIZENS BANK NA		2	2FE	4,999,450.00	5,031,000.50	5,000,000.00	4,999,593.01	31,407.49		143.01		—	—	4.5000	2.3760		MON	37,152.78	62,500.00		5262016	5202046
177510AC8	CITRUS RE LTD	D			1,000,000.00	1,022,220.00	1,000,000.00	1,000,000.00	22,220.00		—		—	—	2.5000	2.0550		MON	10,851.11	51,365.39		11042016	10012031
177510AE4	CITRUS RE LTD	D			250,000.00	258,520.00	250,000.00	250,000.00	8,520.00		—		—	—	1.7000	1.7410		AO	—	23,980.57		10262016	10302019
177510AG9	CITRUS RE LTD	D			250,000.00	260,312.50	250,000.00	250,000.00	10,312.50		—		—	—	—	0.0450		MJSD	5,625.07	17,478.61		10012015	5202021
177510AF1	CITRUS RE LTD	D			250,000.00	261,680.00	250,000.00	250,000.00	11,680.00		—		—	—	—	—		MJSD	—	12,561.96		12292016	12/3/7928
177510AD6	CITRUS RE LTD	D			650,000.00	668,076.50	650,000.00	650,000.00	18,076.50		—		—	—	1.9700	1.9860		MON	9,550.67	43,426.57		5242016	11152021
73723RSH7	CITY OF PORTSMOUTH VA			1FE	2,250,000.00	2,250,382.50	2,250,000.00	2,250,000.00	382.50		—		—	—	1.1500	1.1530		MON	13,293.75	31,905.00		8202014	6102019
411707AA0	CKE RESAURANT HOLDINGS INC HNG		4	2FE	485,404.54	466,006.62	471,875.00	474,924.75	(8,918.13	)	(8,917.14	)	—	—	4.0000	1.9920		MON	645.08	21,321.41		10/5/5245	2/1/5191
180848DS9	CLARK CNTY NEV ARPT REV		2	1FE	4,625,530.00	4,307,647.00	3,910,000.00	4,317,458.83	(9,811.83	)	(138,521.71	)	—	—	3.1000	3.1030		JJ	38,187.67	229,126.00		7142015	7172022
125634AJ4	CLI FUNDING LLC CLIF_13-2A		4	1FE	357,928.15	358,345.20	370,560.00	358,651.15	(305.95	)	1,733.26		—	—	0.9620	1.0290		JAJO	430.88	5,243.20		11302012	7252019
125634AQ8	CLIF_14-2A		4	1FE	2,732,083.27	2,627,685.46	2,733,177.36	2,732,281.67	(104,596.21	)	218.83		—	—	1.8800	2.1380		MON	3,335.99	98,999.05		12202016	6152028
12594DAB4	CNH EQUIPMENT TRUST CNH_16-B		4	1FE	1,964,990.57	1,965,165.85	1,965,000.00	1,964,994.51	171.34		3.94		—	—	5.9530	6.0260		MON	1,144.07	13,943.33		11282016	12312019
12618SAC1	CNH_13-D		4	1FE	76,536.14	76,485.99	76,539.24	76,538.03	(52.04	)	6.33		—	—	2.4590	1.6100		MON	26.19	2,369.67		6282016	12102045
12623PAD8	CNH_14-B		4	1FE	6,770,795.12	6,793,684.66	6,785,000.00	6,779,820.52	13,864.14		3,943.59		—	—	—	—		MJSD	4,855.05	109,238.52		6072016	9212021
12632XAD0	CNH_14-C		4	1FE	3,743,709.85	3,744,812.87	3,745,000.00	3,744,359.40	453.47		287.15		—	—	3.2080	3.0280		MON	2,746.33	61,792.56		8272008	10012035
12592WAD0	CNH_15-A		4	1FE	1,064,890.41	1,068,577.44	1,065,000.00	1,064,928.96	3,648.48		24.60		—	—	—	—		MJSD	875.67	19,702.56		0	4132021
12594DAE8	CNHET_16-B		4	1FE	419,847.34	417,685.79	420,000.00	419,865.78	(2,179.99	)	18.44		—	—	1.1250	1.2450		AO	367.73	4,481.75		4192016	4262019
12634GAA1	CNOOC FINANCE (2015) AUSTRALIA	D		1FE	1,994,320.00	1,990,460.06	2,000,000.00	1,996,120.37	(5,660.31	)	1,096.21		—	—	0.8810	1.0710		JAJO	8,166.67	52,500.00		4132016	4252019
BRSYJ0CL6	CNT HOLDINGS III CORP		2	4FE	438,845.48	446,381.20	443,278.25	439,431.75	6,949.45		619.78		—	—	3.2230	3.2350		JAJO	—	21,905.29		9282016	10182027
191216BV1	COCA-COLA COMPANY (THE)			1FE	5,995,800.00	5,960,999.88	6,000,000.00	5,996,609.64	(35,609.76	)	809.64		—	—	2.2500	1.7630		MN	7,104.17	41,250.00		8/27/5382	11152024
191216BW9	COCA-COLA COMPANY (THE)			1FE	1,999,640.00	1,917,619.95	2,000,000.00	1,999,659.58	(82,039.63	)	19.58		—	—	2.0480	1.7820		MJSD	4,250.00	25,641.67		5312016	6072021
19416QEC0	COLGATE-PALMOLIVE CO			1FE	483,565.00	482,125.02	500,000.00	485,750.54	(3,625.52	)	2,051.38		—	—	1.6100	1.6200		MON	1,750.00	10,500.00		5072014	10152019
19416QEB2	COLGATE-PALMOLIVE CO			1FE	1,890,937.00	1,889,588.00	1,900,000.00	1,897,541.45	(7,953.45	)	1,827.23		—	—	1.3900	1.3980		MON	2,850.00	17,100.00		10152014	5202021
19624HAA6	COLNY_14-1		4	1FE	1,739,001.89	1,728,562.12	1,739,005.37	1,738,638.15	(10,076.03	)	2,180.65		—	—	1.7000	1.7240		JD	3,685.53	59,174.76		11142016	12152019
196479WE5	COLORADO HOUSING & FINANCE AUT			1FE	845,000.00	851,430.45	845,000.00	845,000.00	6,430.45		—		—	—	—	0.1530		MJSD	3,019.47	19,456.80		10012015	8172020
196479WD7	COLORADO HOUSING & FINANCE AUT			1FE	770,000.00	773,927.00	770,000.00	770,000.00	3,927.00		—		—	—	3.6570	2.3020		MON	2,597.47	16,748.60		5242016	9152047
198280AD1	COLUMBIA PIPELINE GROUP INC		1	2FE	2,995,594.53	3,040,110.18	3,000,000.00	2,996,279.07	43,831.11		684.54		—	—	1.9600	1.9600		AO	8,250.00	54,450.00		3112015	10012019
198280AB5	COLUMBIA PIPELINE GROUP INC			2FE	769,875.23	771,000.97	770,000.00	769,916.86	1,084.11		41.63		—	—	3.6790	3.6960		JAJO	1,572.08	10,375.75		10072016	7162026
20030NBD2	COMCAST CORPORATION			1FE	2,006,540.00	2,039,540.10	2,000,000.00	2,005,362.83	34,177.27		(872.95	)	—	—	1.1250	1.0310		MS	28,819.44	62,500.00		7022015	3192018
20030NBS9	COMCAST CORPORATION		1	1FE	1,028,610.00	989,400.02	1,000,000.00	1,026,659.84	(37,259.82	)	(2,616.47	)	—	—	5.5000	4.1740		MN	10,500.00	21,525.00		11212013	11012027
20030NBV2	COMCAST CORPORATION		1	1FE	1,659,166.75	1,603,527.78	1,675,000.00	1,659,748.72	(56,220.94	)	581.97		—	—	—	(0.0500	)	FMAN	12,248.44	(6,229.17	)	6032015	11122020
12626BAE4	COMM MORTGAGE TRUST COMM_13-CR		4		3,107,671.88	3,009,051.53	2,870,000.00	3,081,519.39	(72,467.86	)	(26,152.49	)	—	—	2.3640	2.3640		MN	9,076.38	47,499.73		9292015	5152019
12626BAB0	COMM MORTGAGE TRUST COMM_13-CR		4	1FM	1,043,710.94	1,021,311.10	1,000,000.00	1,018,915.72	2,395.38		(14,222.76	)	—	—	2.2000	2.1920		FA	2,476.66	29,719.92		3102016	9/19/7408
12592RBF5	COMM MORTGAGE TRUST COMM_14-CR		4	1FM	1,812,207.04	1,800,260.03	1,750,000.00	1,801,349.74	(1,089.71	)	(6,063.77	)	—	—	4.9500	1.6420		MS	5,145.00	61,740.00		10172014	3012019

12591RAX8	COMM MORTGAGE TRUST COMM_14-CR		4		2,807,496.48	2,767,072.68	2,710,000.00	2,758,472.66	8,600.02		(35,908.93	)	—	—	5.0000	2.4790	MON	6,612.40	79,348.80		12/9/4752	12012036
12632QAX1	COMM MORTGAGE TRUST COMM_14-CR		4		7,209,485.92	7,353,430.28	7,000,000.00	7,159,239.68	194,190.60		(20,685.13	)	—	—	2.0000	2.0440	JJ	22,330.00	267,960.00		12232015	9/1/5382
12592XAZ9	COMM MORTGAGE TRUST COMM_15-CR		4		1,601,627.13	1,583,798.55	1,555,000.00	1,583,053.44	745.11		(11,053.84	)	—	—	1.0000	1.1930	MN	3,700.90	44,410.80		5012013	5012018
200474BC7	COMM MORTGAGE TRUST COMM_15-LC		4	1FE	1,503,713.19	1,470,234.54	1,460,000.00	1,495,769.23	(25,534.69	)	(4,189.29	)	—	—	—	—	MJSD	3,872.65	46,471.80		0	7012022
12624BAC0	COMM_12-CCRE1		4		6,476,250.00	6,258,000.18	6,000,000.00	6,422,157.81	(164,157.63	)	(54,092.19	)	—	—	—	—	MJSD	16,954.99	53,690.80		2/9/5054	12202018
126192AD5	COMM_12-LC4		4		811,507.81	789,358.79	760,000.00	805,366.13	(16,007.34	)	(10,703.21	)	—	—	5.0000	3.9210	MON	2,082.40	21,322.69		7292009	7152023
12630BAX6	COMM_13-CR13		4	1FM	1,049,023.44	1,021,310.50	1,000,000.00	1,025,247.85	(3,937.35	)	(13,898.53	)	—	—	1.8770	1.1300	MJSD	2,532.50	30,390.00		9172013	9242018
12624XAB4	COMM_13-CR6		4		1,358,975.39	1,353,406.25	1,345,000.00	1,350,161.09	3,245.16		(3,837.05	)	—	—	3.0000	2.9900	MON	2,378.41	28,540.92		11122015	3012043
12625KAE5	COMM_13-CR8		4		30,725.39	31,380.00	30,000.00	30,722.63	657.37		(2.76	)	—	—	3.6250	3.6440	JD	90.30	(63.21	)	11102016	12012027
12625UBA0	COMM_13-CR9		4		2,382,617.19	2,322,474.03	2,200,000.00	2,362,040.34	(39,566.31	)	(20,576.85	)	—	—	1.0240	1.0260	MON	7,029.00	37,019.40		11102010	11062017
12626GAF0	COMM_13-LC13		4		1,174,185.55	1,158,484.49	1,075,000.00	1,151,626.88	6,857.61		(10,976.22	)	—	—	4.0000	2.4910	MON	3,766.98	45,203.76		9222016	10/15/7408
12591VAB7	COMM_14-CCRE16		4		5,149,950.85	5,111,478.50	5,000,000.00	5,067,573.29	43,905.21		(31,186.25	)	—	—	—	0.0350	MJSD	12,675.00	169,000.00		6092016	8162023
12592GAZ6	COMM_14-CCRE19		4	1FM	1,045,429.68	1,022,229.30	1,000,000.00	1,026,364.42	(4,135.12	)	(11,117.74	)	—	—	—	—	AO	2,470.84	29,650.08		12/23/7572	2/15/5054
12630DAW4	COMM_14-CR14		4	1FE	4,311,792.18	4,192,042.17	3,970,000.00	4,281,484.42	(89,442.25	)	(30,307.76	)	—	—	3.5170	1.5810	FA	12,383.09	50,357.90		11072016	8152021
12591VAE1	COMM_14-CR16		4		1,623,144.14	1,563,536.09	1,470,000.00	1,593,394.60	(29,858.51	)	(15,834.57	)	—	—	1.7500	1.6220	MN	4,962.47	59,549.64		11302016	5302019
12631DAX1	COMM_14-CR17		4		4,588,620.24	4,547,856.90	4,455,000.00	4,509,930.27	37,926.63		(33,586.20	)	—	—	4.0000	2.3770	MON	11,182.05	134,184.60		6/20/7463	9012040
12632QAT0	COMM_14-CR18		4		3,295,997.06	3,264,761.28	3,200,000.00	3,254,527.04	10,234.24		(11,249.23	)	—	—	1.4500	1.4990	FA	7,797.33	93,567.96		11282016	8132019
12591TAB2	COMM_14-LC15		4	1FM	1,041,445.31	1,019,381.20	1,000,000.00	1,027,542.52	(8,161.32	)	(6,108.36	)	—	—	3.0000	2.6240	MON	2,366.67	28,400.04		3032016	7012045
12592MBG4	COMM_14-LC17		4	1FM	1,776,500.00	1,780,223.04	1,700,000.00	1,761,171.57	19,051.47		(11,941.92	)	—	—	0.7500	0.7430	JJ	5,128.33	61,539.96		6232016	3/6/5492
12592EAA6	COMM_14-PAT		4		1,095,000.00	1,092,248.27	1,095,000.00	1,095,000.00	(2,751.73	)	—		—	—	1.5000	1.7150	FA	869.19	14,028.56		11082016	8152026
12593JBB1	COMM_15-CCRE24		4		692,036.72	686,263.11	670,000.00	687,959.39	(1,696.28	)	(4,077.33	)	—	—	1.8750	1.0850	JJ	1,687.28	14,848.07		6272016	2/12/5054
12593JBF2	COMM_15-CCRE24		4		4,215,937.50	4,152,166.42	4,000,000.00	4,206,787.38	(54,620.96	)	(8,841.70	)	—	—	—	0.0810	MJSD	12,320.00	82,954.67		8122015	11042021
12592XBE5	COMM_15-CR22		4,6	1FE	2,399,127.44	1,858,061.10	33,968,955.50	1,925,809.57	(67,748.47	)	(285,790.61	)	—	—	1.3750	1.5040	JD	28,750.19	372,081.09		6082016	6082021
12592XBD7	COMM_15-CR22		4	1FM	2,085,588.48	2,049,462.00	2,025,000.00	2,075,476.77	(26,014.77	)	(5,767.89	)	—	—	3.0000	3.5140	FA	5,583.94	67,007.28		6232015	7/23/7901
12593AAX3	COMM_15-CR23		4	1FM	2,574,896.33	2,548,933.00	2,500,000.00	2,548,918.86	14.14		(16,070.85	)	—	—	6.0000	2.8590	MON	5,941.67	71,300.04		3012013	3012024
12629NAB1	COMM_15-DC1		4		1,931,205.02	1,910,362.54	1,875,000.00	1,912,548.33	(2,185.79	)	(10,239.30	)	—	—	—	0.0830	MJSD	4,484.38	53,812.56		5022016	5042022
12629NAF2	COMM_15-DC1		4		4,687,921.88	4,587,173.55	4,550,000.00	4,664,351.01	(77,177.46	)	(13,256.68	)	—	—	—	0.0350	MJSD	12,702.07	152,424.85		10312016	12152023
12636FBF9	COMM_15-LC23		4		3,305,108.99	3,249,396.03	3,155,000.00	3,280,560.44	(31,164.41	)	(24,548.55	)	—	—	1.5400	1.5440	MON	8,468.55	68,312.98		4182016	10152022
12635WAA5	COMM_16-787S		4	1FM	1,716,879.72	1,703,479.79	1,667,000.00	1,713,377.56	(9,897.77	)	(3,502.16	)	—	—	8.2060	8.1560	JAJO	3,447.22	42,844.02		12232015	6/19/4862
12635WAE7	COMM_16-787S		4	1FM	686,529.27	686,961.11	667,000.00	684,927.15	2,033.96		(1,602.12	)	—	—	2.8400	1.9590	MON	1,490.92	18,885.10		4152015	4102047
2027A0HW2	COMMONWEALTH BANK AUSTRALIA	D		1FE	2,247,862.50	2,185,830.07	2,250,000.00	2,247,994.51	(62,164.44	)	132.01		—	—	1.9500	1.9910	JJ	14,375.00	—		12/21/4971	2/12/5054
20271RAN0	COMMONWEALTH BANK OF AUSTRALIA			1FE	2,132,224.50	2,131,968.34	2,135,000.00	2,132,946.81	(978.47	)	722.31		—	—	3.0000	2.0590	MON	12,887.10	21,883.75		1/14/5410	12012030
20271RAJ9	COMMONWEALTH BANK OF AUSTRALIA			1FE	12,284,849.55	12,290,283.00	12,300,000.00	12,293,804.15	(3,521.15	)	5,108.80		—	—	0.7840	0.9810	MJSD	60,517.71	199,875.00		5282014	6042019
20271RAL4	COMMONWEALTH BANK OF AUSTRALIA			1FE	339,741.60	339,217.99	340,000.00	339,840.42	(622.43	)	84.93		—	—	3.3500	2.9940	MON	975.14	5,950.00		3112015	3/17/7655

20281PCB6	COMMONWEALTH FING AUTH PA			1FE	2,254,340.00	2,172,520.00	2,000,000.00	2,135,901.91	36,618.09		(53,555.85	)	—	—		3.1500	3.1860		AO	9,820.00	117,840.00		3182016	4012021
20281PCA8	COMMONWEALTH FING AUTH PA			1FE	564,185.00	527,250.00	500,000.00	525,342.33	1,907.67		(17,470.82	)	—	—		2.1000	2.3620		JJ	2,413.33	28,960.00		12212016	7262021
BRSWYJ431	COMMSCOPE INC.			3FE	269,749.13	272,580.21	270,383.35	269,839.29	2,740.92		96.60		—	—		—	0.0360		MJSD	—	10,961.82		7282015	7292022
BRSTEGNQ4	COMMUNITY HLTH SYST INC		4	3FE	490,009.47	481,014.24	498,737.37	490,705.48	(9,691.24	)	718.11		—	—		1.7000	1.7130		FA	—	7,300.53		9/2/7983	1/9/7792
BRSR05TD0	COMPONENT HARDWARE GROUP INC				2,990,000.00	2,930,200.00	2,990,000.00	2,990,000.00	(59,800.00	)	—		—	—		2.8000	2.7960		FA	—	170,908.19		3082016	10/15/7846
20772JKM3	CONNECTICUT (STATE OF)			1FE	2,273,043.50	2,277,002.00	2,275,000.00	2,273,882.48	3,119.52		387.44		—	—		3.0000	1.9360		MON	9,106.07	43,134.00		4242012	5012027
20772JQK1	CONNECTICUT (STATE OF)			1FE	2,556,975.00	2,524,750.00	2,500,000.00	2,524,207.56	542.44		(14,623.05	)	—	—		3.8530	3.4770		MON	20,513.33	54,300.00		11/4/7490	12252024
20772JQN5	CONNECTICUT (STATE OF)			1FE	544,240.00	526,195.00	500,000.00	542,976.68	(16,781.68	)	(1,263.32	)	—	—		0.8560	—		MON	6,643.22	(4,152.01	)	0	3252028
20774YYL5	CONNECTICUT ST HEALTH & EDL FA		2	1FE	572,285.00	546,705.00	500,000.00	567,412.65	(20,707.65	)	(4,872.35	)	—	—		2.3500	2.3540		JD	2,083.34	18,055.55		12102015	12212018
20826FAJ5	CONOCOPHILLIPS CO		1	1FE	3,996,240.00	3,965,239.88	4,000,000.00	3,997,413.95	(32,174.07	)	(676.85	)	—	—		—	(0.9730	)	MJSD	11,244.44	161,019.21		5312016	7/16/5300
20826FAE6	CONOCOPHILLIPS CO		1	1FE	2,467,452.00	2,615,860.21	2,600,000.00	2,484,655.84	131,204.37		17,710.08		—	—		4.7500	1.4230		APR	9,551.39	53,379.17		9272016	4122018
20826FAL0	CONOCOPHILLIPS CO			1FE	6,609,206.80	6,583,361.70	6,610,000.00	6,609,631.00	(26,269.30	)	264.83		—	—		3.0330	1.2290		MON	12,669.17	99,150.00		4062015	11102046
20826FAS5	CONOCOPHILLIPS CO		1	1FE	994,502.50	1,054,142.80	995,000.00	994,584.09	59,558.71		108.21		—	—		3.5980	3.2480		MON	12,304.83	33,569.67		10192015	11152048
209111EV1	CONSOLIDATED EDISON INC			1FE	2,385,140.00	2,199,759.98	2,000,000.00	2,181,365.31	18,394.67		(91,722.69	)	—	—		2.9560	3.7300		FMAN	11,875.00	142,500.00		10052015	5152026
BRT5VR6K4	CONVATEC INC			3FE	203,300.59	205,088.41	204,322.20	203,319.48	1,768.93		21.37		—	—		2.3500	2.0230		JJ	—	943.57		7132015	1/17/5410
216871AC7	COOPER US INC			2FE	3,765,604.60	3,322,037.80	3,260,000.00	3,335,387.30	(13,349.50	)	(149,161.62	)	—	—		2.1250	2.1700		AO	99,430.00	198,860.00		4142014	4222019
21870LAA4	CORE_15-CALW		4		14,880,748.85	14,569,892.32	14,280,000.00	14,823,073.13	(253,180.81	)	(46,519.99	)	—	—		1.3750	1.3940		MS	36,175.99	208,256.84		9082014	9112017
21870PAA5	CORE_15-TEXW		4	1FM	1,671,500.00	1,631,472.04	1,600,000.00	1,668,560.36	(37,088.32	)	(2,939.64	)	—	—		—	0.1420		MJSD	4,102.66	6,017.24		4302014	8012019
219350BA2	CORNING INC			2FE	7,313,223.05	7,355,201.98	7,378,000.00	7,337,119.99	18,081.99		23,613.29		—	—		5.2500	5.0860		MON	16,293.08	83,731.68		4/25/4780	1/19/7792
219868BW5	CORP ANDINA DE FOMENTO	D		1FE	1,874,831.25	1,864,312.50	1,875,000.00	1,874,866.64	(10,554.14	)	57.15		—	—		3.3500	2.9940		MON	5,312.50	33,611.11		3112015	3/17/7655
BRSTZUYC9	CORPORATE VISIONS INC				3,076,000.05	2,672,080.86	3,107,070.77	3,077,387.10	(405,306.24	)	5,053.89		—	—		2.5660	1.6900		MN	—	196,972.17		8/8/7545	5152019
BRSTZV1D1	CORPORATE VISIONS INC				36,846.38	31,687.89	36,846.38	36,846.38	(5,158.49	)	—		—	—		—	0.0730		MJSD	—	—		12162016	12152023
22160KAE5	COSTCO WHOLESALE CORPORATION			1FE	174,965.00	174,825.00	175,000.00	174,993.23	(168.23	)	60.71		—	—		2.2500	2.2830		MS	87.50	17,925.02		11212016	3152021
BRT67M737	COTY INC			3FE	826,502.80	837,327.81	830,064.75	826,601.99	10,725.82		100.65		—	—		3.5310	3.1680		MON	—	2,171.01		10282015	10152048
G2479P4N2	COVENTRY BLDG SOC			1FE	2,068,212.46	1,826,034.99	1,405,000.00	2,012,368.66	2,482.41		(35,121.72	)	—	(188,816.08	)	3.8750	3.9400		MS	56,535.83	3,118.84		3192012	3222017
BRSSLXJJ2	CPM HOLDINGS INC				956,167.27	976,691.09	965,825.55	958,461.71	18,229.38		1,489.23		—	—		6.5000	3.3140		MON	—	59,126.99		11252014	1/15/5191
224287AA0	CRANBERRY RE LTD	D		4FE	975,000.00	999,531.00	975,000.00	975,000.00	24,531.00		—		—	—		1.2500	1.3140		MS	8,154.25	69,173.80		9192012	9262017
22532LAL8	CREDIT AGRICOLE SA/LONDON	D		1FE	3,994,960.00	4,020,639.96	4,000,000.00	3,997,618.14	23,021.82		1,001.34		—	—		2.3000	2.0770		MS	21,111.11	100,000.00		11102015	9112019
225433AP6	CREDIT SUISSE GROUP FUNDING GU	D		2FE	2,400,000.00	2,482,627.20	2,400,000.00	2,400,000.00	82,627.20		—		—	—		1.2500	1.3020		AO	15,858.35	(4,035.07	)	12212016	4302019
225433AH4	CREDIT SUISSE GROUP FUNDING GU	D		2FE	551,397.00	554,741.00	550,000.00	551,385.47	3,355.53		(11.53	)	—	—		—	—		MJSD	6,153.89	(4,470.27	)	12242014	12092020
22546QAV9	CREDIT SUISSE NEW YORK NY			1FE	248,395.00	249,722.50	250,000.00	249,209.54	512.96		1,303.04		—	—		4.5000	4.2750		MON	755.56	19,422.50		1/27/7436	8012039
22546QAT4	CREDIT SUISSE NEW YORK NY			1FE	1,382,290.22	1,378,904.32	1,382,000.00	1,382,149.35	(3,245.03	)	(83.27	)	—	—		—	(1.2170	)	MJSD	10,211.44	65,747.50		8012016	12212022
14889KAE2	CRMN_15-1A	D	4		742,800.00	741,586.95	750,000.00	744,233.36	(2,646.41	)	804.51		—	—		5.0000	3.4220		MON	5,723.81	28,136.66		3262009	2/17/5054
BRSL3FE10	CROSBY US ACQUISITION CORP			4FE	1,995,702.28	1,786,724.50	1,998,200.00	1,996,796.31	(210,071.81	)	379.33		—	—		4.4920	4.2890		MJSD	—	81,422.09		5252016	6072019

BRSH9LJ56	CROSSMARK HOLDINGS INC		4	4FE	2,550,175.96	1,890,105.71	2,554,196.91	2,550,708.49	(660,602.78	)	1,254.30		—	—		—	0.1420	MJSD	—	117,293.51		8062014	9152021
126281AX2	CSAIL COMMERCIAL MORTGAGE TRUS		4		3,108,538.03	3,093,895.60	3,025,000.00	3,083,645.51	10,250.09		(21,197.12	)	—	—		2.5500	2.5950	MS	7,486.62	84,576.23		3152016	3012021
126281AZ7	CSAIL_15-C1		4	1FM	3,270,230.95	3,261,079.40	3,175,000.00	3,253,698.48	7,380.92		(9,323.25	)	—	—		1.3200	1.3250	MON	9,273.65	111,283.80		7122016	1/5/5191
BRSRYJ4P3	CSDVRS LLC				5,847,439.61	5,613,542.03	5,847,439.61	5,847,439.61	(233,897.58	)	—		—	—		7.0000	6.9700	FA	—	470,707.94		6272001	8012020
22541QFV9	CSFB_03-17		4	1FM	288,447.34	284,734.22	283,503.05	288,143.65	(3,409.43	)	(1,529.35	)	—	—		—	0.1430	MJSD	1,299.39	17,346.13		6022016	11232022
225470XD0	CSMC_06-0MA		4	1FE	650,976.56	643,885.32	600,000.00	649,087.38	(5,202.06	)	(1,889.18	)	—	—		5.7110	0.2250	MON	2,769.00	1,199.90		4242014	6112040
46645NAA1	CSMC_11-7R		4	1FM	403,906.25	402,299.99	400,000.00	403,122.48	(822.49	)	(783.77	)	—	—		6.5000	5.4990	MON	987.18	1,447.87		8152008	5152035
BRSLMULK6	CUMULUS MED INC.		4	4FE	4,737,280.65	3,106,440.88	4,779,139.82	4,752,391.85	(1,645,950.97	)	7,557.17		—	—		1.2500	0.8160	JD	—	227,479.59		8252016	12152018
BRSVA6HU3	CUSTOM WINDOW SYSTEMS INC				306,775.80	294,504.75	306,775.80	306,775.80	(12,271.05	)	—		—	—		1.5650	0.9040	JAJO	—	31,124.34		5012014	4152018
BRSVA6N02	CUSTOM WINDOW SYSTEMS INC				3,969,707.60	3,810,919.29	3,969,707.60	3,969,707.60	(158,788.31	)	—		—	—		—	—	MJSD	—	197,434.18		6/1/5437	12042021
126650CE8	CVS HEALTH CORP		1	2FE	8,200,097.30	8,157,839.46	8,120,000.00	8,187,722.52	(29,883.06	)	(11,790.73	)	—	—		5.5000	5.4290	MON	70,542.52	84,960.93		3302007	10/26/4670
126650CJ7	CVS HEALTH CORP		1	2FE	2,868,677.10	2,901,612.83	2,860,000.00	2,866,484.24	35,128.59		(1,549.80	)	—	—		4.2500	4.0930	AO	35,813.56	163,030.00		3122015	10222026
126650CT5	CVS HEALTH CORP		1	2FE	6,432,004.50	6,326,160.13	6,450,000.00	6,434,073.86	(107,913.73	)	2,508.52		—	—		3.2500	1.4580	NOV	11,421.88	88,471.14		4012016	11012017
12668AZL2	CWALT_05-73CB		4		175,590.21	166,456.29	179,002.45	175,625.98	(9,169.69	)	4,405.81		—	—		2.7230	2.0530	MON	820.43	10,903.64		5202016	6152049
BRT6D2NM4	CWGS GROUP LLC			3FE	1,232,961.58	1,248,064.43	1,239,157.37	1,233,037.22	15,027.21		75.64		—	—		3.0000	2.9540	MON	—	—		12222015	8012043
BRT7BQ0B0	DAIMLER AG	B			567,346.51	557,329.91	450,000.00	567,375.90	3,905.51		29.39		—	(13,951.50	)	2.3000	2.2780	FA	182.81	—		11122015	9/20/7408
D1668RML8	DAIMLER AG				825,838.42	648,075.91	520,000.00	818,966.10	3,251.33		(3,549.17	)	—	(174,141.52	)	1.7500	0.9509	November	1,663.56	12,386.57		20141210	20171108
233851BF0	DAIMLER FINANCE NORTH AMERICA			1FE	5,002,681.00	5,016,295.24	5,020,000.00	5,016,567.83	(272.59	)	5,808.40		—	—		1.0320	1.0340	MON	28,760.41	69,025.00		3252011	3062020
BRSTB5SJ2	DAIMLER FINANCE NORTH AMERICA			1FE	3,495,520.00	3,491,211.50	3,500,000.00	3,497,913.92	(6,702.42	)	1,484.68		—	—		5.4910	5.1410	MN	6,897.92	57,750.00		6242009	11012019
233851CH5	DAIMLER FINANCE NORTH AMERICA			1FE	6,171,191.20	6,068,005.74	6,260,000.00	6,173,313.21	(105,307.47	)	2,122.01		—	—		3.0000	2.7280	MON	60,861.11	(30,000.00	)	3162015	8012043
233851CD4	DAIMLER FINANCE NORTH AMERICA			1FE	3,333,000.00	3,343,382.30	3,333,000.00	3,333,000.00	10,382.30		—		—	—		3.5000	2.9570	MON	13,018.54	20,607.97		12172015	8012043
233851CM4	DAIMLER FINANCE NORTH AMERICA			1FE	699,006.00	690,473.00	700,000.00	699,061.57	(8,588.57	)	55.57		—	—		2.9990	2.5950	MON	2,075.69	—		11/22/7928	6012035
BRSP6FWM2	DAIMLER FINANCE NORTH AMERICA			1FE	1,788,807.25	1,793,353.99	1,795,000.00	1,793,772.76	(418.77	)	2,076.91		—	—		1.8500	1.8790	JD	10,283.85	24,681.26		12232015	12012017
233851BP8	DAIMLER FINANCE NORTH AMERICA			1FE	1,673,593.00	1,672,671.75	1,675,000.00	1,674,445.08	(1,773.33	)	468.51		—	—		2.5000	2.4420	MS	9,135.73	27,637.50		4202016	9172020
N3114MAG8	DAIMLER INTERNATIONAL FINANCE			1FE	1,339,498.57	1,262,476.26	960,000.00	1,330,454.78	(4,752.95	)	(9,043.79	)	—	(63,225.57	)	—	0.1160	FMAN	23,773.23	(13,614.19	)	7082016	6022022
2354167B4	DALLAS TEX			1FE	1,750,000.00	1,754,655.00	1,750,000.00	1,750,000.00	4,655.00		—		—	—		4.8840	4.6050	JAJO	8,575.00	34,300.00		12022016	12152028
2354167C2	DALLAS TEX			1FE	1,500,000.00	1,502,940.00	1,500,000.00	1,500,000.00	2,940.00		—		—	—		1.4500	3.0390	JJ	8,287.50	33,150.00		8152013	7012019
235308QJ5	DALLAS TEX INDPT SCH DIST			1FE	6,936,930.00	6,670,818.00	6,300,000.00	6,646,923.42	23,894.58		(159,472.22	)	—	—		4.6800	4.7050	FMAN	101,150.01	267,750.00		11/17/7709	11/2/8065
235851AN2	DANAHER CORPORATION			1FE	4,915,902.74	4,919,704.35	4,917,000.00	4,916,649.68	3,054.67		274.58		—	—		2.7880	2.9770	MON	23,888.42	75,401.33		5122006	11012035
23636TAD2	DANONE SA	D	1	2FE	950,000.00	914,356.01	950,000.00	950,000.00	(35,643.99	)	—		—	—		3.0500	1.6260	MON	4,030.93	—		1/14/8011	5012033
23636TAB6	DANONE SA	D		2FE	5,125,000.00	5,058,272.40	5,125,000.00	5,125,000.00	(66,727.60	)	—		—	—		3.8750	1.9760	JJ	14,203.22	—		8/4/4944	7152020
23636AAE1	DANSKE BK A/S	D		1FE	1,839,576.80	1,853,891.94	1,840,000.00	1,839,641.66	14,250.28		64.86		—	—		—	—	FMAN	15,885.33	25,760.00		5242013	6032020
23636AAF8	DANSKE BK A/S	D		1FE	2,796,416.00	2,760,156.09	2,800,000.00	2,796,787.66	(36,631.57	)	371.66		—	—		—	—	MJSD	14,501.67	—		3/2/5492	10012020
23312LAS7	DBJPM_16-C1		4	1FE	2,059,982.60	2,018,888.00	2,000,000.00	2,055,920.12	(37,032.12	)	(4,062.48	)	—	—		1.8450	1.8440	FA	5,460.00	40,404.00		5/7/4999	9/22/7408

254683BJ3	DCENT_14-3		4	1FE	1,029,736.32	1,030,350.17	1,030,000.00	1,029,910.36	439.81		66.13		—	—		5.0000	3.5910	MON	558.49	12,566.04	9292009	4152024
254683BP9	DCENT_15-A2		4	1FE	2,099,363.70	2,091,644.50	2,100,000.00	2,099,569.90	(7,925.40	)	124.81		—	—		2.4110	2.4180	JAJO	1,773.33	39,900.00	10202016	3/5/5273
254683BV6	DCENT_16-A4		4	1FE	1,999,687.50	1,974,508.36	2,000,000.00	1,999,704.55	(25,196.19	)	17.05		—	—		2.7000	2.7220	MON	1,235.55	4,865.01	5182016	5152031
Z91S44T73	DELAMARE CARDS MTN ISSUER PLC	B	4	1FE	991,250.00	801,967.74	650,000.00	991,250.00	(1,204.76	)	—		—	(188,077.50	)	5.0000	4.1000	MN	260.10	10,486.31	9162013	5012027
BRT21A357	DELL INTERNATIONAL LLC			2FE	3,297,128.12	3,367,544.18	3,313,696.61	3,297,872.08	69,672.10		743.96		—	—		1.7540	1.7600	MON	—	53,272.27	7/22/8120	5172027
BRSP9DPN0	DELTA 2 (LUX) SARL	D	4		3,530,276.10	3,580,327.96	3,548,016.18	3,536,186.65	44,141.31		2,585.76		—	—		—	0.1360	MJSD	—	170,871.47	10012015	3/10/5492
BRSM6R0M8	DELTA AIR LINES INC		4	2FE	2,631,469.36	2,676,547.06	2,651,687.49	2,643,554.44	32,992.62		4,632.42		—	—		5.0000	5.2190	FA	—	95,535.88	6/13/4862	8012022
249218AR9	DENVER CO PUB SCHS CTFS			1FE	1,491,330.00	1,497,960.00	1,500,000.00	1,495,901.74	2,058.26		2,044.37		—	—		2.3750	2.7940	MS	1,096.00	24,660.00	7072015	9152022
249670AA8	DEPOSITORY TRUST & CLEARING CO		2	1FE	1,750,000.00	1,789,375.00	1,750,000.00	1,750,000.00	39,375.00		—		—	—		1.4400	1.4480	MON	3,791.67	85,312.52	5232016	8172020
25156PAS2	DEUTSCHE TELEKOM INTERNATIONAL	D		2FE	3,996,280.00	3,934,599.92	4,000,000.00	3,996,629.48	(62,029.56	)	349.48		—	—		3.0000	2.3670	MON	17,000.00	—	12/21/4971	6252043
BRSP09RB2	DEXIA CREDIT LOCAL SA	B		1FE	2,798,284.18	2,241,496.28	1,800,000.00	2,788,127.37	10,759.69		(10,156.81	)	—	(557,390.78	)	2.3000	2.3500	JD	19,194.90	13,219.59	3292012	6302017
BRT1UYV70	DFUND_16-1	B	4		784,079.55	672,910.23	540,204.31	784,079.55	5,406.77		0.44		—	(116,576.09	)	—	0.0650	MJSD	1,627.54	4,469.77	12062016	5312020
25243YAT6	DIAGEO CAPITAL PLC	D		1FE	2,485,750.00	2,483,100.00	2,500,000.00	2,496,140.76	(13,040.76	)	2,876.28		—	—		1.5000	1.5330	JJ	4,843.75	28,125.00	7132016	7182019
25243YAR0	DIAGEO CAPITAL PLC	D		1FE	2,638,340.00	2,653,074.00	2,650,000.00	2,649,132.35	3,941.65		(138.11	)	—	—		3.6540	2.2080	MON	5,520.83	59,416.67	6222016	4152047
25272KAA1	DIAMOND 1 FINANCE CORPORATION/			2FE	6,918,270.00	7,059,576.26	6,920,000.00	6,918,593.86	140,982.40		323.86		—	—		1.6000	1.6030	MN	20,068.00	120,408.00	5222015	5222018
BRT0QFE77	DIEBOLD INCORPORATED		2	3FE	2,090,818.39	2,130,769.91	2,100,574.14	2,089,319.74	41,450.17		3,835.09		—	—		2.9000	2.9370	JD	—	77,200.75	12012016	12082021
BRT7L2220	DIGITALGLOBE INC		2	3FE	1,869,063.13	1,885,458.41	1,873,747.49	1,869,070.47	16,387.94		7.34		—	—		2.7260	2.7600	MON	—	—	9262007	12012035
BRSR4UG37	DISA HOLDINGS A/S	C			143,257.18	142,540.89	143,257.18	143,257.18	(716.29	)	—		—	—		2.9700	2.2730	MON	—	14,145.58	6012015	4152050
BRSR4UG78	DISA HOLDINGS ACQUISITION SUBS				5,428,265.44	5,373,982.79	5,428,265.44	5,428,265.44	(54,282.65	)	—		—	—		—	0.1280	JAJO	—	307,130.55	4082016	2/17/5054
254683BL8	DISCOVER CARD MASTER TRUST		4	1FE	2,499,783.50	2,503,700.08	2,500,000.00	2,499,870.71	3,829.37		39.88		—	—		3.0000	2.0680	MON	1,544.44	36,270.79	9022015	4012030
254683BK0	DISCOVER CARD MASTER TRUST		4	1FE	3,213,966.80	3,169,626.70	3,150,000.00	3,200,939.98	(31,313.28	)	(13,026.82	)	—	—		2.3610	2.3040	MJSD	2,968.00	40,677.50	8192016	9012023
254683BB0	DISCOVER CARD MASTER TRUST		4		5,950,000.00	5,953,746.89	5,950,000.00	5,950,000.00	3,746.89		—		—	—		1.5130	1.5890	MAY	2,820.65	47,125.84	10302015	5292018
254845GB0	DISTRICT COLUMBIA WTR & SWR AU		2	1FE	569,945.00	532,800.00	500,000.00	531,003.24	1,796.76		(17,436.45	)	—	—		—	—	FMAN	6,250.00	25,000.00	0	6072020
25476FHE1	DISTRICT OF COLUMBIA			1FE	5,731,050.00	5,275,300.00	5,000,000.00	5,284,838.81	(9,538.81	)	(199,178.67	)	—	—		5.1250	1.6030	AO	20,833.33	250,000.00	10132015	4012019
25476FLG1	DISTRICT OF COLUMBIA			1FE	1,083,200.00	1,013,570.00	1,000,000.00	1,014,912.15	(1,342.15	)	(135,112.68	)	—	—		—	0.0830	MJSD	3,844.17	190,158.12	10062016	10142022
233046AC5	DNKN_15-1A		4	2FE	1,473,750.00	1,475,682.09	1,473,750.00	1,473,750.00	1,932.09		—		—	—		3.5000	3.0470	MON	5,475.06	48,379.54	6272014	12012041
233046AD3	DNKN_15-1A		4	2FE	1,473,750.00	1,475,822.09	1,473,750.00	1,473,750.00	2,072.09		—		—	—		3.0460	2.4190	MON	6,680.18	59,028.38	4292014	4152047
25746UBE8	DOMINION RESOURCES INC			2FE	563,170.00	530,625.00	500,000.00	531,689.06	(1,064.06	)	(21,298.89	)	—	—		2.0000	2.0030	MN	1,422.22	32,000.00	5042016	5102019
25746UCD9	DOMINION RESOURCES INC			2FE	5,498,580.00	5,495,105.17	5,500,000.00	5,499,304.89	(4,199.72	)	467.39		—	—		—	—	MJSD	4,644.44	104,500.00	12172013	10012020
25746UCH0	DOMINION RESOURCES INC			2FE	3,999,640.00	3,937,080.08	4,000,000.00	3,999,688.40	(62,608.32	)	48.40		—	—		—	0.0350	MJSD	25,244.44	—	4072016	4252023
25746UBU2	DOMINION RESOURCES INC			2FE	3,283,247.20	3,317,621.96	3,280,000.00	3,282,614.84	35,007.12		(632.36	)	—	—		2.2000	1.4960	MS	48,576.80	9,665.76	10182016	9232019
BRT5CF7G9	DONNELLEY FINANCIAL SOLUTIONS			3FE	365,436.99	371,864.28	367,273.36	365,496.04	6,368.24		145.76		—	—		3.0000	3.0490	MS	—	4,273.51	3032015	3102025
06742LAE3	DROCK_14-3		4	1FE	9,042,500.87	9,148,751.94	9,045,000.00	9,043,352.11	105,399.83		363.52		—	—		3.5000	3.0790	MON	9,688.20	217,984.44	6272014	8012043
06742LAH6	DROCK_15-1		4	1FE	1,574,279.92	1,578,744.28	1,575,000.00	1,574,431.17	4,313.11		69.82		—	—		—	—	MJSD	1,540.00	34,650.00	0	12142022

26249MAA5	DRSLF_15-37A	D	4		5,000,000.00	5,028,300.00	5,000,000.00	5,000,000.00	28,300.00		—		—	—		5.7740	(1.8660	)	MON	25,122.22	105,444.06		7162014	3/20/7655
Z923YQXD7	DRVRUK_4	B	4		975,680.00	989,666.68	800,000.00	975,680.00	1,146.68		—		—	12,840.00		1.6250	1.6820		MS	157.37	733.26		9222016	9272019
233331AY3	DTE ENERGY COMPANY		1	2FE	449,536.50	418,432.50	450,000.00	449,545.80	(31,113.30	)	9.30		—	—		6.2500	6.0710		MS	3,063.75	—		4132015	12312049
BRSV5TM33	DTZ US BORROWER LLC			4FE	3,079,984.61	3,102,556.71	3,095,461.91	3,083,124.01	19,432.70		2,699.10		—	—		5.0000	4.0170		MON	—	136,239.99		6112009	3152024
BRST2JC18	DUBOIS CHEMICALS INC				3,568,926.42	3,586,951.28	3,604,976.16	3,585,498.96	1,452.32		10,191.04		—	—		1.5300	1.4250		FMAN	—	183,974.40		11212016	5242019
BRSZ77AH2	DUBOIS CHEMICALS INC				2,729,375.00	2,715,728.13	2,729,375.00	2,729,375.00	(13,646.87	)	—		—	—		3.2210	2.1060		MON	—	160,584.24		3232016	10102053
26442CAJ3	DUKE ENERGY CORP			1FE	1,114,270.00	1,065,070.04	1,000,000.00	1,077,657.77	(12,587.73	)	(21,533.91	)	—	—		3.5000	2.1270		MON	1,911.11	43,000.00		10072014	6152040
26441CAK1	DUKE ENERGY CORP		1	2FE	2,310,146.80	2,289,462.02	2,280,000.00	2,294,992.59	(5,530.57	)	(9,974.92	)	—	—		2.6570	2.8180		MON	2,128.00	47,880.00		4022007	11/8/4670
26442CAD6	DUKE ENERGY CORP			1FE	2,177,940.00	2,087,980.00	2,000,000.00	2,092,389.17	(4,409.17	)	(70,778.81	)	—	—		4.0000	2.9370		JD	21,533.33	102,000.00		11302016	6122022
26441CAR6	DUKE ENERGY CORP		1	2FE	1,584,841.50	1,523,866.52	1,585,000.00	1,584,857.17	(60,990.65	)	15.67		—	—		—	0.0710		MJSD	11,015.75	—		9232016	10062023
341099CK3	DUKE ENERGY FLORIDA LLC			1FE	360,821.50	343,463.25	325,000.00	343,378.30	84.95		(12,391.49	)	—	—		2.6960	2.7730		JAJO	816.11	18,362.50		5/31/5437	1/13/5191
N3033QAJ1	E.ON INTERNATIONAL FINANCE BV			2FE	1,766,697.85	1,758,268.17	1,250,000.00	1,764,814.84	(4,050.77	)	(1,883.01	)	—	(2,495.90	)	5.7170	5.7170		MJSD	15,995.75	(13,730.05	)	11032016	12062023
29100XAA3	EAFL_13-1	D	4	1FE	2,279,274.61	2,287,737.27	2,256,707.54	2,272,572.39	15,164.88		(6,981.50	)	—	—		0.7500	0.7160		JJ	4,663.86	109,990.69		8052016	7312018
27332QAB0	EAST LANE RE VI LTD	D		3	938,000.00	956,384.80	938,000.00	938,000.00	18,384.80		—		—	—		—	0.1770		FMAN	2,119.88	68,263.78		10012015	5/16/7600
278062AB0	EATON CORPORATION			2FE	2,684,069.42	2,675,428.00	2,675,000.00	2,678,249.36	(2,821.36	)	(2,990.57	)	—	—		2.8000	2.7300		JJ	6,576.05	60,972.92		9212015	7202020
26827EAC9	ECAF I A-2 2015-1	D	4	1FE	491,869.06	499,780.09	495,585.95	492,538.71	7,241.38		665.08		—	—		1.7250	1.9580		FMAN	1,089.63	24,571.20		3102011	11/4/8065
BRSAC1000	EDEN RE LTD				12,375,000.00	12,375,000.00	12,375,000.00	12,375,000.00	—		—		—	—		15.0213	—		M-J-S-D	—	—		12122014	12312016
281379AA5	EDUSA_10-1		4	1FE	175,999.15	175,162.38	175,999.15	175,999.15	(836.77	)	—		—	—		2.5000	2.2970		MON	575.72	3,393.22		12232015	12012030
29372EBE7	EFF_14-2		4	1FE	423,886.94	423,560.91	423,955.20	423,939.82	(378.91	)	64.47		—	—		5.0000	1.4100		MN	136.02	7,586.59		10072016	11012023
26971HAA0	EGLE_14-1A	D	4	1FE	2,499,603.22	2,484,375.00	2,500,000.00	2,499,625.28	(15,250.28	)	204.03		—	—		1.6500	1.6650		JJ	2,855.56	81,651.06		10/5/5245	10/7/5245
283695BP8	EL PASO NATURAL GAS COMPANY			2FE	1,925,592.50	1,810,692.40	1,790,000.00	1,807,179.39	3,513.01		(59,388.79	)	—	—		—	—		MJSD	22,484.39	106,505.00		12282016	8252021
BRSUM53S4	ELDORADO RESORTS INC			3FE	229,689.90	232,864.02	230,844.13	229,923.63	2,940.39		173.73		—	—		—	—		FMAN	—	10,030.34		12272016	5212019
BRSLX7XX4	ELECTRICITE DE FRANCE SA	D		1FE	3,163,264.00	3,201,578.82	3,200,000.00	3,184,357.38	17,221.44		7,333.12		—	—		3.0000	3.0940		MON	30,386.67	68,800.00		12132016	12012046
268317AJ3	ELECTRICITE DE FRANCE SA	D		1FE	4,863,518.40	4,916,605.20	4,920,000.00	4,895,949.47	20,655.73		11,274.67		—	—		—	—		MJSD	46,719.50	105,780.00		11232015	10262020
532457BK3	ELI LILLY AND COMPANY			1FE	719,366.40	718,250.40	720,000.00	719,750.54	(1,500.14	)	212.01		—	—		3.1720	2.3220		JAJO	3,000.00	9,000.00		11182016	4162021
268648AP7	EMC CORP/ MASSACHUSETTS			3FE	2,299,121.00	2,271,965.30	2,300,000.00	2,299,740.06	(27,774.76	)	182.52		—	—		1.8000	1.8530		MS	3,593.75	44,343.76		3102015	3162018
BRSP2R5D0	EMERALD PERFORMANCE MATERIALS			4FE	100,042.96	100,964.65	100,545.68	100,212.18	752.47		76.22		—	—		1.6200	1.6250		MON	—	4,840.42		5242016	8152022
BRSMKZQ95	EMPIRE GENERATING CO LLC			4FE	989,094.59	979,103.74	999,085.45	992,996.41	(13,892.67	)	2,088.13		—	—		1.3750	1.3960		JJ	—	46,076.10		9/12/4807	1/17/5410
BRSMKZQU8	EMPIRE GENERATING CO LLC			4FE	78,681.63	77,886.86	79,476.39	78,992.01	(1,105.15	)	115.35		—	—		—	—		MN	—	3,546.64		4082015	11182019
BL1731738	ENDO LUXEMBOURG FINANCE I COMP	D		3FE	1,293,613.69	1,300,503.88	1,296,855.82	1,294,198.07	6,305.81		580.25		—	—		2.0000	2.0390		JD	—	3,859.62		9292015	12012017
T36792DD7	ENEL S.P.A.			2FE	1,115,848.73	1,106,594.56	800,000.00	1,111,820.73	(254.68	)	(4,028.00	)	—	(4,971.49	)	—	0.0180		JAJO	33,007.09	(27,884.49	)	12192013	11232020
29270CYM1	ENERGY NORTHWEST		4	1FE	1,201,090.80	1,198,294.20	1,190,000.00	1,196,699.32	1,594.88		(2,589.35	)	—	—		4.0000	0.6350		MS	13,072.15	26,144.30		12082016	3072022
29270CR31	ENERGY NORTHWEST		2	1FE	629,845.00	602,105.00	500,000.00	621,825.67	(19,720.67	)	(8,019.33	)	—	—		4.0000	2.1530		MON	12,500.00	4,930.56		3232015	8012044
29270CYL3	ENERGY NORTHWEST			1FE	1,524,255.00	1,513,470.00	1,500,000.00	1,509,887.00	3,583.00		(6,453.23	)	—	—		—	—		MJSD	16,102.50	32,205.00		6092015	6052021

BRSRV2LL3	ENERGY TRANSFER EQUITY LP			4	3FE	583,841.46	611,375.61	609,756.10	587,999.83	23,375.78		4,158.37		—	—		2.2500	1.7710	AO	—	11,654.87		11282016	10082019
29273RAX7	ENERGY TRANSFER PARTNERS LP			2	2FE	917,705.70	920,838.46	890,000.00	909,920.72	10,917.74		(5,178.80	)	—	—		1.2500	1.3360	MN	9,233.75	36,935.00		12232015	11102017
29358QAC3	ENSCO PLC		D	1	3FE	1,062,347.00	1,114,750.00	1,300,000.00	1,084,804.82	29,945.18		20,143.32		—	—		—	0.0350	MJSD	14,625.00	58,500.00		3082016	3172023
BRSMRYMN4	ENTEGRIS INC.				3FE	659,554.70	668,945.58	662,869.06	660,803.80	8,141.78		1,293.00		—	—		5.7000	1.5540	FA	—	29,179.04		12052012	8152018
29372EAZ1	ENTERPRISE FLEET FINANCING LLC			4	1FE	169,791.53	169,806.28	169,803.53	169,800.75	5.53		11.81		—	—		2.5620	1.8450	MON	78.35	4,145.82		12042009	3012035
29379VBK8	ENTERPRISE PRODUCTS OPERATING			1	2FE	540,734.25	528,895.49	525,000.00	540,057.18	(11,161.69	)	(677.07	)	—	—		1.8750	1.0390	AO	3,158.75	(249.38	)	3302016	10232018
29379VAU7	ENTERPRISE PRODUCTS OPERATING				2FE	778,230.00	791,460.00	750,000.00	772,345.23	19,114.77		(3,929.22	)	—	—		2.1250	1.6090	JJ	11,475.00	30,375.00		7072015	7272018
29379VBG7	ENTERPRISE PRODUCTS OPERATING				2FE	789,059.90	788,111.90	790,000.00	789,571.82	(1,459.92	)	288.73		—	—		1.7500	1.7540	MS	1,955.26	19,955.83		3242015	3292018
29379VAF0	ENTERPRISE PRODUCTS OPERATING				2FE	4,390,960.00	4,330,359.80	4,000,000.00	4,276,984.32	53,375.48		(85,132.47	)	—	—		1.6250	1.6990	AO	88,083.33	233,041.67		10192016	10282019
BRSJGG5M3	ENTRAVISION COMMUN CORP			4	4FE	1,958,334.25	1,949,373.60	1,954,259.25	1,958,279.22	(8,905.62	)	(55.04	)	—	—		2.3500	2.3210	FA	—	16,441.04		11282016	9/20/7408
BRT6N2WB7	ENVISION HEALTHCARE CORP			2	3FE	3,673,469.39	3,733,766.24	3,710,575.14	3,673,802.68	59,963.56		333.29		—	—		1.3100	1.3180	MON	—	8,116.89		6102014	9162019
BRSTFAHT7	EPICOR SOFTWARE CORP			4	4FE	1,301,313.20	1,317,186.85	1,313,574.52	1,303,027.63	14,159.22		1,581.16		—	—		3.5070	0.9270	MON	—	76,124.28		6162016	5152045
294429AK1	EQUIFAX INC			1	2FE	2,074,004.00	2,030,864.76	2,075,000.00	2,074,137.46	(43,272.70	)	133.46		—	—		4.2050	2.9660	MON	3,977.09	26,381.32		12012014	8102046
BRT40M978	ESH HOSPITALITY INC			2	4FE	245,401.45	249,357.96	246,634.62	245,457.00	3,900.96		58.64		—	—		2.0010	2.0010	JJ	—	2,910.36		4222015	7012020
298785GU4	EUROPEAN INVESTMENT BANK		D		1FE	15,071,250.00	14,977,500.00	15,000,000.00	15,043,403.07	(65,903.07	)	(27,846.93	)	—	—		5.5380	2.6740	MJSD	23,958.33	142,708.33		11152016	5152023
30014LAA2	EVERGLADES RE II LTD		D	2	3FE	1,000,000.00	1,022,630.00	1,000,000.00	1,000,000.00	22,630.00		—		—	—		1.3750	1.4570	MS	4,291.76	88,401.45		9222016	9272019
BRSVRWCF6	EVESTMENT INC					4,739,048.92	4,727,201.30	4,739,048.92	4,739,048.92	(11,847.62	)	—		—	—		2.3750	1.8850	JD	—	258,958.34		7272016	12072021
300569GY0	EWING TWP N J SCH DIST				1FE	1,477,604.70	1,488,861.00	1,485,000.00	1,481,710.37	7,150.63		1,841.88		—	—		—	0.0710	MJSD	5,925.15	23,700.60		5262016	6072023
BRSL2KC12	EXCELITAS TECHNOLOGIES COR				4FE	4,003,696.01	3,953,144.28	4,044,137.37	4,021,639.35	(68,495.07	)	6,149.85		—	—		1.4960	1.4890	MON	—	249,644.49		3232006	12/13/5327
30161NAH4	EXELON CORPORATION			1	2FE	5,562,196.45	5,558,047.31	5,510,000.00	5,553,497.73	4,549.58		(8,278.69	)	—	—		0.6250	0.7260	FA	6,979.34	137,917.43		7072016	8072018
30161NAG6	EXELON CORPORATION				2FE	255,135.15	254,920.95	255,000.00	255,031.90	(110.95	)	443.84		—	—		1.8000	1.7650	MN	241.54	29,057.33		6202016	5142018
30161MAP8	EXELON GENERATION CO LLC			1	2FE	4,180,905.30	4,173,819.18	4,130,000.00	4,179,152.08	(5,332.90	)	(1,793.42	)	—	—		3.9800	5.0030	JAJO	56,179.47	3,097.50		5102016	7172026
BRSPRVAJ5	EXGEN TEXAS POWER LLC			4	4FE	1,289,933.34	986,994.46	1,302,962.99	1,294,137.80	(307,143.34	)	1,976.34		—	—		5.5000	3.8040	MON	—	76,446.48		6032009	10152023
30216BGJ5	EXPORT DEVELOPMENT CANADA		A		1FE	9,581,758.90	9,441,767.85	9,595,000.00	9,583,071.44	(141,303.59	)	1,312.54		—	—		1.1250	1.1780	AO	28,518.46	—		8272015	10192018
30216BGH9	EXPORT DEVELOPMENT CANADA		A		1FE	2,496,025.00	2,480,575.00	2,500,000.00	2,496,715.11	(16,140.11	)	690.11		—	—		0.7020	0.8700	JAJO	7,656.25	—		5/6/4999	1/3/5191
BRSRYEAL6	EXPRESS OIL CHANGE LLC					5,391,847.98	5,369,889.76	5,396,874.14	5,394,508.04	(24,618.28	)	2,381.01		—	—		2.1500	2.3950	JJ	—	371,187.43		5/6/4999	10/8/5245
30231GAD4	EXXON MOBIL CORP			1	1FE	1,550,000.00	1,554,851.67	1,550,000.00	1,550,000.00	4,851.67		—		—	—		1.2500	0.1890	JJ	8,301.71	33,247.28		10132016	7222018
30231GAJ1	EXXON MOBIL CORP	@		1	1FE	2,009,320.00	1,988,780.06	2,000,000.00	2,007,656.30	(18,876.24	)	(1,409.30	)	—	—		—	—	JAJO	15,314.17	47,940.00		0	1/18/5410
30231GAP7	EXXON MOBIL CORP				1FE	8,757,914.50	8,757,524.91	8,750,000.00	8,756,844.62	680.29		(1,069.88	)	—	—		—	0.1480	FMAN	49,816.67	72,148.77		4162015	5/15/7600
30231GAB8	EXXON MOBIL CORP				1FE	5,000,000.00	5,000,950.25	5,000,000.00	5,000,000.00	950.25		—		—	—		3.3750	1.0960	DEC	2,369.23	35,687.74		9262016	12142018
34530UAA9	FCAOT_16-REV1			4	1FE	6,041,250.00	5,982,660.00	6,000,000.00	6,026,092.54	(43,432.54	)	(15,157.46	)	—	—		1.7000	1.7160	JD	6,160.00	10,395.00		6042015	6112018
BRT21UC12	FCE BANK PLC		B		2FE	595,506.95	550,189.13	430,000.00	593,708.25	(2,328.42	)	(1,798.70	)	—	(41,190.70	)	2.7250	2.8980	MON	8,415.73	648.42		4022007	3012033
G33365TQ3	FCE BANK PLC					900,909.42	808,219.93	630,000.00	899,117.66	19,611.35		(1,791.76	)	—	(110,509.07	)	0.7900	0.7970	MON	2,883.31	16,095.19		9/22/5026	5152018
34960JAJ4	FCO_15-6A			4		1,971,400.00	1,967,504.80	2,000,000.00	1,977,779.04	(10,274.24	)	3,335.71		—	—		—	—	JAJO	5,614.00	88,038.47		12152016	9252020

31428XAZ9	FEDERAL EXPRESS CORP		2FE	2,441,713.35	2,440,731.79	2,440,000.00	2,441,590.54	(858.75	)	(488.93	)	—	—	1.5200	1.5290		MON	23,383.34	56,120.00	4192016	8152021
3133EGEV3	FEDERAL FARM CREDIT BANKS FUND	2	1	1,000,000.00	973,089.98	1,000,000.00	1,000,000.00	(26,910.02	)	—		—	—	2.5000	1.7080		FA	765.00	7,830.00	7292016	8152018
3133EF6L6	FEDERAL FARM CREDIT BANKS FUND	2	1	2,000,000.00	1,957,300.00	2,000,000.00	2,000,000.00	(42,700.00	)	—		—	—	—	(0.6380	)	MJSD	5,980.00	20,700.00	9042013	12202019
313379EE5	FEDERAL HOME LOAN BANKS		1	10,062,900.00	10,049,700.90	10,000,000.00	10,038,392.39	11,308.51		(15,281.72	)	—	—	4.0000	2.3290		MON	7,673.61	162,500.00	10032011	7152041
313379DT3	FEDERAL HOME LOAN BANKS		1	1,515,185.39	1,502,640.05	1,500,000.00	1,511,252.59	(8,612.54	)	(3,932.80	)	—	—	5.0000	3.7640		MON	1,197.92	8,229.17	3262009	4152024
3133XQSE3	FEDERAL HOME LOAN BANKS		1	541,545.00	519,415.00	500,000.00	519,655.46	(240.46	)	(15,030.54	)	—	—	5.0000	1.7310		JJ	4,167.08	20,550.00	11182016	10/26/4670
3130A4GJ5	FEDERAL HOME LOAN BANKS		1	5,087,658.60	5,094,988.20	5,090,000.00	5,089,009.92	5,978.28		745.05		—	—	3.5000	2.8680		MON	10,498.12	57,262.52	6/16/7463	12012041
3130A8PK3	FEDERAL HOME LOAN BANKS		1	3,792,096.00	3,768,118.12	3,800,000.00	3,793,907.23	(25,789.11	)	1,811.23		—	—	2.3970	2.3160		MS	9,434.03	1,913.18	10202015	3062022
3130A8Y72	FEDERAL HOME LOAN BANKS		1FE	3,792,704.00	3,745,697.96	3,800,000.00	3,793,690.60	(47,992.64	)	986.60		—	—	4.2500	4.3370		AO	13,854.17	—	10162015	10212025
313379RB7	FEDERAL HOME LOAN BANKS		1	5,664,725.00	5,473,160.06	5,500,000.00	5,649,611.34	(176,451.28	)	(15,113.66	)	—	—	—	—		JAJO	5,729.17	41,822.92	0	4282020
3130A6LZ8	FEDERAL HOME LOAN BANKS		1	997,830.00	997,770.00	1,000,000.00	999,131.27	(1,361.27	)	3,101.12		—	—	3.9800	3.9990		FMAN	1,128.47	20,590.28	10/4/5245	12/28/7928
BRSMTTCL8	FEDERAL-MOGUL HOLDINGS CORP	4	4FE	3,636,118.22	3,602,204.08	3,644,339.94	3,639,283.23	(37,079.15	)	1,321.74		—	—	3.5000	0.6530		JUN	—	176,279.05	9262016	6062019
BRSP9DQP4	FERRO CORP			359,674.12	365,096.30	361,481.49	360,286.28	4,810.02		573.16		—	—	3.0000	3.0110		JAJO	—	15,054.66	4122016	4122027
31395HJ43	FHLMC	4	1	476,147.20	472,462.04	441,506.60	470,509.83	1,952.21		(12,834.59	)	—	—	1.2500	1.4720		MN	1,839.61	25,852.01	12052013	11302018
3137A2QN4	FHLMC	4	1	198,459.04	197,004.20	193,892.86	195,749.52	1,254.68		(5,526.19	)	—	—	2.3750	2.1350		FA	484.73	10,203.41	10072015	8152024
3128MJXF2	FHLMC	4	1	1,334,726.35	1,311,378.16	1,247,043.60	1,333,833.39	(22,455.23	)	(3,133.54	)	—	—	1.0000	0.8750		FA	4,156.81	2,415.72	3212016	1/8/7792
312942NF8	FHLMC	4	1	8,164,403.21	8,055,721.51	7,634,742.93	8,153,393.73	(97,672.22	)	(162,149.64	)	—	—	0.8750	0.7290		MN	25,449.15	286,999.58	6292016	5312018
3128MEXR7	FHLMC	4	1	2,946,434.46	2,889,003.22	2,808,217.49	2,944,060.36	(55,057.14	)	(9,455.45	)	—	—	0.7260	0.6960		JAJO	7,020.54	10,412.16	12282016	10312018
3128JRKQ8	FHLMC	4	1	463,610.21	500,346.20	474,698.90	464,332.02	36,014.18		1,955.14		—	—	3.0000	1.9940		MON	1,173.69	14,164.05	10312012	10202042
3137BSZE6	FHLMC	4	1	1,066,143.69	1,036,338.61	995,523.73	1,065,271.03	(28,932.42	)	(1,190.20	)	—	—	2.0000	2.0880		MON	2,903.61	97.23	3182009	1/21/5191
31342A6F1	FHLMC	4	1	156,877.60	168,908.54	159,315.11	157,082.09	11,826.45		638.56		—	—	5.6250	1.0760		AUG	370.27	4,717.36	11132013	8252017
3128MDNM1	FHLMC	4	1	388,767.16	379,370.52	350,142.10	378,887.97	482.55		(16,784.12	)	—	—	1.2500	0.7640		MAR	1,750.71	25,719.66	12212016	3082019
31342AZE2	FHLMC	4	1	279,259.90	287,486.45	270,674.46	278,284.95	9,201.50		(1,635.91	)	—	—	1.1250	1.2280		FA	623.23	7,528.17	9162015	8062018
3128PVWH9	FHLMC	4	1	1,556,472.34	1,534,801.35	1,473,365.35	1,535,928.25	(1,126.90	)	(20,473.21	)	—	—	5.0000	4.0220		JD	4,911.22	65,643.89	8132008	6012018
3128KWNX7	FHLMC	4	1	513,618.65	580,695.15	507,787.00	513,100.91	67,594.24		(1,035.72	)	—	—	2.1080	2.1080		MS	2,538.94	33,216.14	9102014	9012019
31295NXK9	FHLMC	4	1	22,824.38	24,278.62	22,956.20	22,833.60	1,445.02		22.86		—	—	5.0000	1.6400		MN	53.85	608.66	10062016	11012024
31307MRM0	FHLMC	4	1	288,271.59	284,260.54	276,602.42	287,529.04	(3,268.50	)	(1,794.67	)	—	—	1.4420	1.4420		JD	691.50	8,840.06	5222013	12012017
3128JNAL9	FHLMC	4	1	73,934.29	76,663.85	74,703.74	73,982.48	2,681.37		336.92		—	—	5.0000	0.6670		MN	175.12	2,514.52	8312015	11152021
3128MJUW8	FHLMC	4	1	2,671,551.44	2,648,740.47	2,464,033.62	2,667,143.67	(18,403.20	)	(74,617.16	)	—	—	5.0000	4.4300		MN	9,240.13	133,718.06	3202008	11012018
31307MPM2	FHLMC	4	1	313,532.15	309,169.63	300,840.45	312,751.08	(3,581.45	)	(2,028.01	)	—	—	2.0790	2.0790		JJ	752.10	9,582.76	10092015	7012021
3128MTEE4	FHLMC	4	1	233,241.68	255,669.52	228,755.92	232,717.11	22,952.41		(6,807.88	)	—	—	5.0000	3.9310		JJ	1,239.10	28,294.74	12/2/8147	7012018
3128MTF29	FHLMC	4	1	99,284.64	108,831.54	97,375.15	99,043.81	9,787.73		(104.31	)	—	—	6.0000	5.1040		MON	527.45	6,433.97	10/29/7490	9012037
31335ACR7	FHLMC	4	1	2,645,126.80	2,627,023.93	2,563,806.06	2,642,980.79	(15,956.86	)	(10,955.81	)	—	—	3.0000	1.5350		MON	7,477.77	96,408.04	4/1/7737	9/23/7408
3128NCMS0	FHLMC	4	1	135,910.52	142,640.88	135,234.34	135,788.63	6,852.25		(109.23	)	—	—	6.0000	5.1460		MON	361.53	3,867.15	10/29/7490	7012037

3134GAFY5	FHLMC	2	1	500,000.00	496,180.00	500,000.00	500,000.00	(3,820.00	)	—		—	—	6.0000	5.2360	MON	2,184.72	—	10/29/7490	11/12/4670
3132QRMV9	FHLMC	4	1	1,050,010.90	1,012,911.45	988,536.30	1,049,463.91	(36,552.46	)	(1,715.12	)	—	—	3.5000	3.0290	MON	2,883.23	4,685.00	6082015	6012045
3128JMXM4	FHLMC	4	1	755,920.11	794,212.62	764,312.29	756,616.64	37,595.98		1,515.60		—	—	1.0540	0.9200	MON	2,079.57	24,722.64	11052013	9152038
30262SAR9	FHLMC	4	1	4,123,750.00	3,955,224.40	4,000,000.00	4,101,487.63	(146,263.23	)	(11,938.42	)	—	—	6.0000	3.7650	MON	12,842.20	156,746.29	4/21/4780	3012033
31335ACS5	FHLMC	4	1	2,592,750.38	2,574,207.88	2,430,940.89	2,588,916.26	(14,708.38	)	(28,762.26	)	—	—	4.0000	2.2140	MON	8,103.14	107,028.36	6132016	10012042
3137EADZ9	FHLMC		1	999,670.00	995,059.97	1,000,000.00	999,754.79	(4,694.82	)	84.79		—	—	3.0000	2.2030	MON	2,375.00	6,375.00	12/9/4752	6012030
3128MMUS0	FHLMC	4	1	4,611,009.30	4,534,952.88	4,412,778.96	4,605,071.82	(70,118.94	)	(31,155.64	)	—	—	3.0000	2.9790	MON	11,031.94	88,383.90	11122015	7012043
3128KWNV1	FHLMC	4	1	234,577.30	265,212.10	231,913.87	234,287.12	30,924.98		(1,147.59	)	—	—	3.5000	3.0390	MON	1,159.57	17,935.19	8132014	8012044
3137AUDW6	FHLMC	4	1	455,620.99	449,250.95	441,012.44	453,883.61	(4,632.66	)	(3,300.52	)	—	—	3.0000	2.0260	MON	1,102.53	14,620.36	11242014	10012029
31292SA91	FHLMC	4	1	858,795.86	868,044.50	843,701.50	858,266.03	9,778.47		(2,572.65	)	—	—	4.0000	2.0330	MON	2,460.80	32,442.11	4132015	11012044
3128KWT29	FHLMC	4	1	13,427.27	14,831.60	12,922.47	13,383.66	1,447.94		(94.10	)	—	—	3.5000	2.6860	MON	64.61	865.60	2/25/7874	8012045
3128KWTP8	FHLMC	4	1	13,613.83	15,037.72	13,102.06	13,567.21	1,470.51		(95.59	)	—	—	4.0000	2.6580	MON	65.51	825.97	8042015	10012044
3132GLQP2	FHLMC	4	1	2,375,931.14	2,363,421.51	2,295,932.26	2,370,803.75	(7,382.24	)	(17,755.45	)	—	—	3.5000	2.5600	MON	6,696.47	91,832.59	3272015	4012045
3128MABS7	FHLMC	4	1	7,727,992.00	7,553,356.92	7,333,800.23	7,722,548.17	(169,191.25	)	(36,480.22	)	—	—	3.0000	2.9420	MON	21,390.25	124,888.43	11132009	11252039
3137A47K7	FHLMC	4	1	154,991.38	152,316.51	142,643.78	152,669.04	(352.53	)	(3,146.91	)	—	—	5.0000	5.2490	MON	534.91	7,192.78	12142007	3012018
3132QNP37	FHLMC	4	1	1,959,398.18	1,915,340.51	1,869,248.91	1,957,510.38	(42,169.87	)	(20,862.12	)	—	—	2.7950	3.0210	MON	5,451.98	70,322.18	8102006	4012033
312930RC6	FHLMC	4	1	11,106.52	12,269.33	10,688.99	11,063.69	1,205.64		(202.32	)	—	—	5.0000	5.2390	MON	53.44	855.92	12142007	11012018
31292KJH1	FHLMC	4	1	1,209.81	1,336.36	1,164.34	1,205.61	130.75		(7.19	)	—	—	3.1730	3.3140	MON	5.82	75.36	4022007	11012034
31300L3D5	FHLMC	4	1	948,772.84	940,853.24	901,982.49	947,750.68	(6,897.44	)	(22,512.97	)	—	—	2.8220	3.0190	MON	2,204.60	33,457.38	12/23/5190	4012035
3128KWFY4	FHLMC	4	1	15,077.01	16,653.91	14,510.21	15,025.90	1,628.01		(131.92	)	—	—	3.0000	2.3140	MON	72.55	987.79	8262016	5012046
3128QJ3B0	FHLMC	4	1	720,092.48	752,746.13	730,913.43	720,827.42	31,918.71		3,925.40		—	—	3.5000	2.4440	MON	1,687.80	24,771.65	10112016	6012046
3128M5HK9	FHLMC	4	1	2,631,197.17	2,913,510.20	2,560,386.45	2,624,621.69	288,888.51		(16,348.44	)	—	—	2.5290	2.7560	MON	13,868.76	186,163.12	6182007	6012033
3128MDM91	FHLMC	4	1	1,031,878.33	1,009,745.16	981,208.13	1,015,863.12	(6,117.96	)	(20,760.03	)	—	—	2.5000	2.5880	MN	2,453.02	35,635.07	5052015	5142020
31307MR40	FHLMC	4	1	375,595.23	369,648.69	359,690.17	374,702.81	(5,054.12	)	(2,810.73	)	—	—	1.5500	1.5960	MS	899.23	11,712.28	9182014	9222017
3132WF2X6	FHLMC	4	1	8,176,962.59	7,831,550.84	7,874,294.40	8,174,219.23	(342,668.39	)	(7,118.26	)	—	—	2.6250	2.6000	AO	19,685.74	50,781.74	4272016	10192020
3128MBU70	FHLMC	4	1	244,391.25	233,157.16	227,870.63	238,034.17	(4,877.01	)	(9,931.57	)	—	—	4.6250	4.6250	MS	949.46	15,284.87	7252016	8/28/4692
3137B8MW4	FHLMC	4	1	3,565,858.26	3,496,232.77	3,323,357.05	3,512,615.83	(16,383.06	)	(63,463.36	)	—	—	2.6750	2.6140	JD	11,077.86	153,183.06	12102014	12152019
3128QJRN8	FHLMC	4	1	665,575.27	656,932.59	638,846.88	662,922.77	(5,990.18	)	(7,635.10	)	—	—	2.1250	2.1840	JD	1,505.01	20,763.50	5162016	6012021
3128MD5G4	FHLMC	4	1	2,243,257.00	2,227,669.67	2,163,641.76	2,234,824.78	(7,155.11	)	(16,943.64	)	—	—	2.9540	2.5560	MN	5,409.10	71,673.42	10062016	5162026
3128JR6Z4	FHLMC	4	1	3,697,193.33	3,769,599.45	3,518,518.56	3,681,775.78	87,823.67		(46,544.89	)	—	—	2.5000	2.5220	JJ	8,086.73	106,693.83	9102014	7292019
3128MTB72	FHLMC	4	1	33,010.96	36,185.20	32,376.09	32,956.35	3,228.85		(10.76	)	—	—	4.6000	4.6250	MS	175.37	2,104.44	3012016	3092026
3128JMY68	FHLMC	4	1	56,685.89	61,534.47	57,131.54	56,707.04	4,827.43		73.08		—	—	2.0740	1.9490	FMAN	161.49	1,783.29	7262016	8022021
3137BDJQ0	FHLMC	4	1	786,253.43	783,598.29	745,098.39	776,679.70	6,918.59		(10,005.78	)	—	—	1.6250	1.8150	JJ	2,173.20	28,843.52	10182016	2/15/5054
3128M6UB2	FHLMC	4	1	45,383.49	50,113.96	43,677.35	45,229.97	4,883.99		(430.62	)	—	—	3.1500	3.1780	MS	218.39	2,989.90	9142015	9172025

3128QJLG9	FHLMC	4	1	145,516.12	150,075.43	142,662.88	145,112.57	4,962.86		(314.04	)	—	—	7.2500	3.0510	JD	373.42	4,096.51	6/5/8038	6012018
31307SDG5	FHLMC	4	1	3,811,693.83	3,695,299.23	3,682,795.98	3,809,885.11	(114,585.88	)	(3,110.87	)	—	—	2.8500	2.6020	JD	7,672.49	11,073.87	5122016	6152020
31349ULB2	FHLMC	4	1	119,430.32	127,859.58	120,496.75	119,494.36	8,365.22		317.54		—	—	3.0960	3.0960	MN	295.42	3,930.25	4292016	5042023
3132M92R4	FHLMC	4	1	1,959,850.58	1,932,604.82	1,834,717.17	1,957,159.97	(24,555.15	)	(39,675.91	)	—	—	1.6530	1.6510	FMAN	6,115.72	87,772.81	8082016	8122019
31398WV35	FHLMC	4	1	21,244.34	20,366.46	19,796.71	20,180.24	186.22		(849.41	)	—	—	2.6250	2.6620	MS	82.49	1,496.14	9172013	9242018
3128M7AZ9	FHLMC	4	1	104,781.66	115,703.37	100,842.49	104,436.75	11,266.62		(1,203.97	)	—	—	3.8000	3.8340	MN	504.21	7,114.51	11052015	11152025
31307NPD0	FHLMC	4	1	91,787.16	90,767.97	88,071.66	91,553.77	(785.80	)	(691.42	)	—	—	1.7000	1.7370	MN	220.18	2,839.42	11212016	5192021
3128MJYM6	FHLMC	4	1	3,673,504.88	3,546,611.70	3,565,968.64	3,672,981.09	(126,369.39	)	(1,154.05	)	—	—	2.5000	1.8760	MN	8,914.92	5,081.40	6072016	11232020
3128MJV23	FHLMC	4	1	3,577,786.43	3,501,099.40	3,416,847.39	3,574,542.40	(73,443.00	)	(42,864.49	)	—	—	1.8500	1.9090	MN	9,965.80	139,107.42	11162015	11232018
3132M55C2	FHLMC	4	1	1,547,768.77	1,514,909.26	1,429,809.49	1,544,397.70	(29,488.44	)	(30,983.88	)	—	—	2.1000	2.5060	FA	4,766.03	66,825.04	10/5/5245	8/13/7545
3128MJU81	FHLMC	4	1	2,993,233.51	3,003,983.23	2,857,928.45	2,990,005.89	13,977.34		(50,848.29	)	—	—	4.8750	3.7580	MN	9,526.43	140,123.09	8192014	11012022
3137A0MS1	FHLMC	4	1	45,429.40	44,237.46	44,117.35	44,363.81	(126.35	)	(8,076.13	)	—	—	3.3750	2.2130	MS	128.68	9,546.07	7152015	3152018
3137B7TL3	FHLMC	4	1	3,374,327.80	3,362,301.80	3,267,585.60	3,354,290.24	8,011.56		(30,216.25	)	—	—	1.2630	0.5750	MJSD	9,530.46	129,578.98	5282013	6152018
3128MJU32	FHLMC	4	1	1,108,455.84	1,090,235.11	1,037,227.48	1,107,472.31	(17,237.20	)	(27,262.65	)	—	—	5.6500	1.6330	MN	3,457.42	50,896.60	9222015	5162018
3128KWTK9	FHLMC	4	1	15,366.59	16,973.76	14,788.89	15,306.73	1,667.03		(176.05	)	—	—	3.7500	3.0750	FA	73.94	960.66	3042015	9/24/7408
3128MJWP1	FHLMC	4	1	2,757,227.19	2,686,844.13	2,701,508.57	2,756,360.61	(69,516.48	)	(6,714.20	)	—	—	2.9500	2.9630	JJ	6,753.77	61,500.54	5192016	7012023
3128JLHB8	FHLMC	4	1	26,678.40	28,312.65	27,092.91	26,709.25	1,603.40		73.63		—	—	1.9500	1.9580	JD	67.73	764.14	11102016	12152019
3137EADP1	FHLMC		1	14,877,000.00	14,967,900.00	15,000,000.00	14,970,895.98	(2,995.98	)	24,444.93		—	—	2.0000	2.0440	JD	41,562.50	131,250.00	12022013	12052018
3128PV4J6	FHLMC	4	1	1,209,166.94	1,192,331.51	1,144,604.11	1,194,042.46	(1,710.95	)	(17,625.94	)	—	—	3.3000	2.9090	JD	3,815.35	53,051.42	12092015	12162024
3128MJXJ4	FHLMC	4	1	5,019,347.13	5,001,492.97	5,028,790.46	5,019,393.81	(17,900.84	)	1,735.75		—	—	2.0000	1.9730	MS	12,571.98	198,995.02	3042016	3082019
3128M4ZG1	FHLMC	4	1	1,937.59	2,140.24	1,864.75	1,930.88	209.36		(17.92	)	—	—	1.3750	1.4360	FA	9.32	127.15	8042015	8072018
3132WHBR5	FHLMC	4	1	2,756,811.17	2,677,539.56	2,598,275.75	2,756,201.62	(78,662.06	)	(1,088.78	)	—	—	1.1530	0.4350	MJSD	7,578.30	8,856.60	9082014	9112017
31300MZV8	FHLMC	4	1	8,378,992.20	8,249,682.30	8,235,830.30	8,376,753.61	(127,071.31	)	(51,069.01	)	—	—	1.8750	1.9720	AO	18,530.62	267,368.41	9272012	10012017
31307MSY3	FHLMC	4	1	354,144.18	349,216.61	339,808.54	353,263.98	(4,047.37	)	(2,703.08	)	—	—	—	0.0830	FMAN	849.53	11,084.17	1/3/7792	7/17/7901
3137B6U82	FHLMC	4	1	3,349,575.39	3,256,667.79	3,084,944.95	3,336,210.43	(79,542.64	)	(54,633.84	)	—	—	—	0.2110	JAJO	10,283.15	135,921.54	7102014	7/29/4725
3132GSEB1	FHLMC	4	1	522,729.15	510,975.58	498,282.18	522,543.00	(11,567.42	)	(4,013.28	)	—	—	—	—	FMAN	1,453.32	12,208.26	9062013	7012020
312930RV4	FHLMC	4	1	7,642.80	8,439.44	7,355.48	7,616.55	822.89		(57.88	)	—	—	—	0.0720	FMAN	36.78	459.21	12122013	11092020
31349UCW6	FHLMC	4	1	78,759.77	84,116.93	79,378.94	78,809.60	5,307.33		131.05		—	—	—	0.6750	FMAN	173.18	2,206.19	1/2/5191	4142021
3128NCB37	FHLMC	4	1	86,327.38	92,107.47	86,530.18	86,316.97	5,790.50		89.76		—	—	—	0.0320	MJSD	203.20	2,908.56	4142015	4152021
3128NCD68	FHLMC	4	1	710,573.79	767,836.02	725,769.59	711,939.81	55,896.21		3,291.57		—	—	—	0.1130	MJSD	1,703.74	21,220.98	12072016	5012021
3128MJS68	FHLMC	4	1	1,066,542.09	1,040,132.48	1,042,276.16	1,066,123.18	(25,990.70	)	(2,755.06	)	—	—	—	—	MJSD	2,605.69	20,841.01	0	7012021
3128MJXR6	FHLMC	4	1	3,583,957.48	3,513,009.74	3,428,471.12	3,581,595.89	(68,586.15	)	(27,206.20	)	—	—	—	—	JD	9,999.71	94,383.71	5132016	12302019
31349UEJ3	FHLMC	4	1	119,286.80	126,420.43	120,224.54	119,344.38	7,076.05		358.25		—	—	—	—	JAJO	284.93	3,845.09	10/30/4889	5/1/4780
3128JRP26	FHLMC	4	1	229,730.11	237,660.10	231,582.75	229,880.63	7,779.47		684.84		—	—	—	—	FMAN	575.68	7,781.53	7252016	10/3/7627

31349SJK0	FHLMC	4	1	327,548.72	352,755.96	332,972.53	328,163.05	24,592.91		1,200.50		—	—	—	—		MJSD	744.19	9,749.30		3092015	12/4/7928
3128JRPZ3	FHLMC	4	1	156,202.34	167,680.19	157,058.33	156,226.86	11,453.33		247.15		—	—	—	0.0670		MJSD	377.33	5,085.55		12/9/4752	6272020
312930TB6	FHLMC	4	1	8,577.76	9,475.84	8,255.31	8,548.80	927.04		(12.55	)	—	—	—	0.0500		MJSD	41.28	500.90		5292015	6052020
3128MCRQ0	FHLMC	4	1	453,825.42	427,389.84	421,550.46	436,790.68	(9,400.84	)	(26,374.44	)	—	—	—	—		MJSD	1,756.46	33,907.59		0	5222020
3128M4HY2	FHLMC	4	1	233,206.40	262,867.05	236,420.24	233,433.01	29,434.04		1,127.88		—	—	—	—		MJSD	1,083.59	15,368.99		10032016	6052020
3128MJUH1	FHLMC	4	1	328,562.32	323,843.45	301,260.61	328,120.96	(4,277.51	)	(6,642.40	)	—	—	—	0.0360		MJSD	1,129.72	8,434.33		7012015	12272020
3128KYXE4	FHLMC	4	1	13,696.80	15,129.33	13,181.88	13,648.20	1,481.13		(198.26	)	—	—	—	0.0710		MJSD	65.91	984.25		11032015	11092022
3128JMW45	FHLMC	4	1	31,833.86	33,193.55	32,084.11	31,847.76	1,345.79		150.01		—	—	—	0.1420		MJSD	85.96	1,190.17		2/9/5054	10/12/5245
3128MD3A9	FHLMC	4	1	428,898.32	426,205.54	413,582.84	427,744.16	(1,538.62	)	(3,385.68	)	—	—	—	0.0350		MJSD	1,033.96	13,580.49		4132016	4282023
3128JRJS6	FHLMC	4	1	884,333.55	943,097.22	887,940.84	884,392.02	58,705.20		719.35		—	—	—	0.0710		MJSD	2,017.11	25,040.50		6022016	9072023
3128JMZG5	FHLMC	4	1	64,421.73	68,815.06	64,928.17	64,450.07	4,364.99		82.53		—	—	—	0.0710		MJSD	180.82	2,009.75		10202016	10252023
3128MJYB0	FHLMC	4	1	3,975,217.49	3,809,875.79	3,830,669.58	3,973,781.31	(163,905.52	)	(6,427.45	)	—	—	—	0.0710		MJSD	9,576.67	25,087.95		12072016	12062023
31398QHE0	FHLMC	4	1	2,142,244.35	2,057,654.61	2,048,093.50	2,079,342.98	(21,688.37	)	(62,796.87	)	—	—	1.4500	1.5100		AO	5,703.94	110,542.46		7072015	4092018
31307MSH0	FHLMC	4	1	156,875.37	155,133.41	150,525.08	156,476.69	(1,343.28	)	(1,392.29	)	—	—	1.7500	1.7730		MS	376.31	4,995.65		3152012	3222017
3132JMGH6	FHLMC	4	1	5,455,569.46	5,353,445.36	5,222,983.49	5,451,184.98	(97,739.62	)	(37,939.74	)	—	—	1.6250	1.6820		FA	15,233.70	160,171.65		4/12/7956	6/6/8038
3128MMVH3	FHLMC	4	1	4,615,963.48	4,515,181.78	4,393,540.50	4,613,151.26	(97,969.48	)	(6,004.17	)	—	—	3.0620	3.0620		MS	10,983.85	15,141.20		3122015	3172022
31326KNP8	FHLMC	4	1	410,245.25	400,598.59	399,144.07	410,133.22	(9,534.63	)	(2,890.83	)	—	—	10.8000	10.6410		JAJO	972.25	11,855.11		7/14/7901	10/24/8065
3128MJXE5	FHLMC	4	1	1,714,600.90	1,704,286.02	1,663,273.32	1,713,617.76	(9,331.74	)	(10,525.32	)	—	—	3.7500	3.5900		JJ	4,851.21	65,822.92		9012016	7212026
312930LQ1	FHLMC	4	1	18,333.65	20,244.64	17,644.43	18,271.31	1,973.33		(216.38	)	—	—	—	8.9790		JAJO	88.22	1,169.58		12212016	6/20/4862
3132WF7E3	FHLMC	4	1	5,701,687.42	5,536,466.93	5,376,572.78	5,700,424.96	(163,958.03	)	(2,309.45	)	—	—	—	7.2940		JAJO	15,681.67	18,329.14		12212016	6/20/4862
3137ACNE5	FHLMC	4	1	179,704.87	178,381.68	179,005.62	179,519.57	(1,137.89	)	(251.60	)	—	—	—	10.0630		N/A	83.85	1,714.70		5262016	6062017
3128MDCL5	FHLMC	4	1	97,692.28	96,549.99	91,797.18	96,795.33	(245.34	)	(2,125.06	)	—	—	2.4000	1.8810		AO	305.99	4,341.24		5112016	10012020
3128MDVW0	FHLMC	4	1	493,557.25	477,946.84	460,210.00	489,355.12	(11,408.28	)	(8,908.15	)	—	—	5.0000	5.0270		MJSD	1,534.03	21,007.86		9102015	9212018
3128KWTZ6	FHLMC	4	1	12,006.94	13,262.72	11,555.54	11,966.40	1,296.32		(115.39	)	—	—	—	0.0350		MJSD	57.78	824.86		6242015	9262022
3128KWFX6	FHLMC	4	1	10,713.38	11,833.89	10,310.63	10,677.54	1,156.35		(287.34	)	—	—	—	14.5700		MJSD	51.55	853.24		9252015	6032018
3137AAGA5	FHLMC	4	1	509,411.69	506,075.78	494,603.26	507,572.23	(1,496.45	)	(6,495.35	)	—	—	5.5000	5.8780		MON	1,236.51	18,094.06		2/27/4698	12252035
312930LH1	FHLMC	4	1	12,374.28	13,664.09	11,909.08	12,334.92	1,329.17		(120.33	)	—	—	0.8260	—		MON	59.55	797.38		0	7252046
3128M92M3	FHLMC	4	1	3,179,336.72	3,178,020.74	3,007,798.23	3,173,683.59	4,337.15		(33,384.79	)	—	—	3.0660	3.0270		MON	10,026.00	133,366.75		8/1/7545	11/10/8065
3128KWBZ5	FHLMC	4	1	8,416.63	9,296.94	8,100.23	8,388.60	908.34		(88.99	)	—	—	5.4710	(0.5540	)	MON	40.50	530.22		4162014	1/19/4972
3132QLQT3	FHLMC	4	1	2,437,976.74	2,401,523.91	2,338,937.35	2,435,142.06	(33,618.15	)	(12,420.46	)	—	—	2.8560	2.1360		MON	6,821.90	87,868.41		3182015	3102048
31307NN34	FHLMC	4	1	500,417.83	494,861.21	480,161.08	499,159.90	(4,298.69	)	(2,647.08	)	—	—	1.0160	3.9480		MON	1,200.41	15,021.79		3192015	3102048
31398Q5U7	FHLMC	4	1FE	908,457.73	904,493.75	872,075.82	907,533.22	(3,039.47	)	(924.51	)	—	—	2.9700	2.2270		MON	3,270.28	(763.07	)	4052016	4152050
3132QNGH6	FHLMC	4	1	1,880,640.38	1,833,068.15	1,788,956.38	1,878,601.63	(45,533.48	)	(17,827.50	)	—	—	3.7170	3.3610		MON	5,217.79	69,863.62		8062015	9152048
3128MJW97	FHLMC	4	1	1,354,095.97	1,336,328.58	1,304,170.58	1,353,000.49	(16,671.91	)	(29,306.49	)	—	—	2.8490	2.1380		MON	3,803.83	145,675.90		6052014	6152047

3128MJW89	FHLMC		4	1	1,385,764.16	1,357,299.20	1,364,707.16	1,385,354.73	(28,055.53	)	(3,493.97	)	—	—	2.7130	2.7220	MON	3,411.76	45,071.73		4202016	4132033
3128MJXX3	FHLMC		4	1	2,862,277.71	2,805,103.41	2,736,975.55	2,859,624.81	(54,521.40	)	(29,160.57	)	—	—	1.7040	1.7090	MON	7,982.85	101,522.75		7302014	9172031
31335AHP6	FHLMC		4	1	4,691,687.78	4,661,462.39	4,528,246.37	4,689,119.27	(27,656.88	)	(19,153.29	)	—	—	2.0290	1.8100	MON	13,207.38	168,370.54		9182014	3152045
31349UJL3	FHLMC		4	1	47,234.74	50,043.30	47,946.45	47,293.60	2,749.70		184.06		—	—	1.7320	1.7360	JAJO	106.32	1,424.82		1/12/8011	7252023
3128MEHM6	FHLMC		4	1	1,383,754.69	1,365,181.45	1,324,761.40	1,380,346.41	(15,164.96	)	(12,766.40	)	—	—	3.6300	3.6460	JAJO	3,311.90	43,781.08		7082016	4122027
3128MJYH7	FHLMC		4	1	2,702,168.65	2,635,003.74	2,571,007.10	2,701,456.26	(66,452.52	)	(7,293.03	)	—	—	4.0050	4.0240	JAJO	7,498.77	39,545.06		8302016	4122027
3128MJXA3	FHLMC		4	1	1,038,079.78	1,045,766.77	994,462.78	1,037,744.69	8,022.08		(1,087.23	)	—	—	1.9240	3.2620	MON	3,314.87	(651.50	)	9102009	11/17/4670
3137EADV8	FHLMC			1	299,766.00	300,018.00	300,000.00	299,940.86	77.14		923.99		—	—	1.1600	1.1690	MON	1,043.75	33,364.58		8152016	5182020
3128MBBR7	FHLMC		4	1	235,829.71	242,350.11	235,314.96	235,374.50	6,975.61		(152.58	)	—	—	1.3600	1.3710	MON	1,078.53	15,893.18		10182016	4/7/5136
3132GMDN9	FHLMC		4	1	3,320,790.55	3,310,017.78	3,137,446.05	3,314,291.53	(4,273.75	)	(43,183.69	)	—	—	1.3560	1.3980	MON	10,458.16	141,728.39		5182011	11252027
3137APVD9	FHLMC		4	1	1,403,270.57	1,394,920.36	1,430,347.05	1,406,813.14	(11,892.78	)	7,858.35		—	—	3.4800	3.5070	MON	1,787.93	24,153.81		4042012	10152030
3128MJYJ3	FHLMC		4	1	8,388,420.67	8,218,587.05	7,815,393.56	8,383,922.56	(165,335.51	)	(26,801.58	)	—	—	1.8500	1.8600	MON	26,051.31	37,393.70		4252013	6172030
312929CM2	FHLMC		4	1	4,357.64	4,811.85	4,193.82	4,342.22	469.63		(59.24	)	—	—	2.2100	2.2190	MON	20.97	309.39		5202016	5152024
3133TJP56	FHLMC CMO		4	1	561,578.57	628,828.37	553,790.87	559,302.95	69,525.42		(1,325.63	)	—	—	4.8750	3.2170	FA	2,768.95	36,530.62		7212014	1/11/7792
31395EC47	FHLMC_2839		4	1	247,492.94	235,415.12	230,359.92	237,804.86	(2,389.74	)	(12,984.09	)	—	—	0.8750	0.9390	FA	959.83	17,833.36		8032016	8052019
31397JAB0	FHLMC_3346A		4	1	53,280.96	53,169.62	53,276.78	53,277.76	(108.14	)	(2.99	)	—	—	4.0000	2.7720	MON	20.22	498.65		6272014	6012044
31398Q4P9	FHLMC_3674		4	1	1,058,432.06	1,049,094.22	947,407.72	1,045,183.26	3,910.96		(28,611.98	)	—	—	3.5000	2.8050	MON	4,342.29	58,570.07		3162010	1/25/5191
3137B36J2	FHLMC_K029		4	1	5,348,910.48	5,106,766.91	4,877,430.00	5,323,806.82	(217,039.91	)	(25,103.66	)	—	—	2.6610	2.9650	MON	13,494.21	42,173.52		9302008	11/8/4670
3137BPVZ9	FHMS_K055		4	1	3,188,951.63	3,092,281.81	3,126,548.81	3,184,884.81	(92,603.00	)	(5,093.71	)	—	—	1.5000	1.5090	MS	5,896.16	31,522.88		3042015	3102018
3137BPWG0	FHMS_KJ05		4	1	786,285.21	760,790.24	770,886.00	784,715.33	(23,925.09	)	(1,569.88	)	—	—	1.1000	1.2470	JD	1,386.31	7,023.97		11272012	12012017
3137BDKF2	FHR		4	1	3,448,922.57	3,418,288.46	3,274,941.33	3,419,652.04	(1,363.58	)	(42,923.34	)	—	—	2.2500	1.9520	MS	9,551.91	127,063.36		11192015	9302019
31677QBH1	FIFTH THIRD BANK		2	1FE	4,517,488.50	4,463,188.64	4,525,000.00	4,518,138.68	(54,950.04	)	650.18		—	—	2.0000	1.6740	MN	19,199.83	—		1/17/8011	11302020
31677QBC2	FIFTH THIRD BANK		2	1FE	4,342,897.50	4,389,237.00	4,350,000.00	4,345,479.68	43,757.32		859.98		—	—	5.0000	2.4900	MN	30,570.84	125,062.50		10/21/8065	5012033
31677QBF5	FIFTH THIRD BANK		2	1FE	3,862,779.50	3,870,251.04	3,850,000.00	3,862,414.60	7,836.44		(364.90	)	—	—	2.9190	3.0960	MON	26,073.06	19,741.67		5/26/8038	7012034
316773CR9	FIFTH THIRD BANK		2	3FE	7,895,000.00	7,440,000.00	8,000,000.00	7,898,299.54	(458,299.54	)	1,218.89		—	—	3.9500	2.9290	MS	99,088.89	392,000.00		3042015	3222022
316773CT5	FIFTH THIRD BANK		2	2FE	2,072,440.00	2,025,579.98	2,000,000.00	2,069,542.08	(43,962.10	)	(2,897.92	)	—	—	2.1000	1.6940	JD	24,597.22	(15,972.22	)	10162015	12112019
31677QBG3	FIFTH THIRD BANK		1	1FE	909,317.50	897,605.80	910,000.00	909,388.83	(11,783.03	)	71.33		—	—	1.4000	1.3230	MS	966.87	10,237.50		7162015	9112017
31970LAA2	FIRST COAST RE 2016 LTD	D	2		500,000.00	509,210.00	500,000.00	500,000.00	9,210.00		—		—	—	3.6200	2.8180	MON	1,559.84	10,647.48		9152015	10102047
BRT6WZB35	FIRST DATA CORPORATION		2		3,659,240.55	3,718,727.01	3,680,086.11	3,659,271.89	59,455.12		31.34		—	—	2.6620	1.9760	MON	—	8,407.16		5042016	6152049
BRSU8ETX2	FIRST DATA CORPORATION			3FE	534,914.96	542,250.71	538,957.14	535,579.86	6,670.85		5,685.13		—	—	1.5000	1.5070	MON	—	142,234.05		10082014	10/26/8065
33766QAA5	FIRSTENERGY OHIO PIRB SPECIAL		4	1FE	26,320.79	26,294.06	26,320.82	26,320.34	(26.28	)	0.77		—	—	5.0000	4.0500	FA	82.41	709.19		9132013	8012027
BRT79CE86	FLEX ACQUISITION COMPANY INC		2	4FE	784,346.85	795,185.81	788,288.29	784,346.85	10,838.96		—		—	—	3.0000	2.1110	MON	—	—		9022015	7012030
341271AA2	FLORIDA ST			1FE	1,012,860.00	1,007,149.96	1,000,000.00	1,012,511.63	(5,361.67	)	(348.37	)	—	—	4.8800	5.1650	JAJO	10,815.00	(9,252.83	)	5252016	10152023
BRSFEV6K3	FLY FUNDING II SARL	D	4	4FE	2,942,159.24	2,976,340.49	2,952,352.63	2,945,920.42	30,420.07		2,326.28		—	—	2.5000	2.5490	JD	—	96,854.10		10212015	6152019

BRSHZJ755	FLYING FORTRESS INC		4	3FE	1,063,095.24	1,070,081.06	1,064,425.77	1,063,527.48	6,553.58		270.45		—	—		2.2000	2.2230	JD	—	38,384.10		6032015	12072018
30249UAA9	FMC TECHNOLOGIES INC			2FE	349,184.50	350,161.04	350,000.00	349,873.71	287.33		166.39		—	—		4.5000	3.0850	MON	1,750.00	7,000.00		12082009	11152024
BRSL7M1V9	FMG RESOURCES (AUGUST 2006) PT	D		2FE	2,251,457.15	2,269,653.15	2,266,819.63	2,259,995.69	9,657.46		19,161.40		—	—		4.2500	4.3520	FA	—	215,318.28		8102015	8182025
D2R6L0P26	FMS WERTMANAGEMENT LT GTD			1FE	3,116,214.12	2,892,083.18	2,300,000.00	3,113,468.24	20,491.60		(3,546.13	)	—	(241,876.66	)	3.7500	0.2720	MS	29,101.26	(11,984.38	)	11232016	9072019
30254WAJ8	FMS WERTMANAGEMENT LT GTD	D		1FE	3,975,320.00	3,862,919.92	4,000,000.00	3,977,936.53	(115,016.61	)	2,616.53		—	—		1.8440	1.8440	MN	3,513.89	26,430.56		5142014	5162019
30254WAE9	FMS WERTMANAGEMENT LT GTD	D		1FE	866,722.56	866,592.51	867,000.00	866,936.87	(344.36	)	130.41		—	—		1.2500	1.3450	FA	3,142.88	15,519.39		3/21/7518	5/14/7600
BRSMSHXX6	FMS WERTMANAGEMENT LT GTD	B		1FE	669,166.80	634,713.25	500,000.00	666,746.85	(348.61	)	(2,419.95	)	—	(31,684.99	)	2.8750	1.7490	MS	793.44	2,326.10		6222016	9292021
BRSTSH835	FMS WERTMANAGEMENT LT GTD	B			2,377,639.35	1,990,843.50	1,600,000.00	2,377,648.56	13,520.88		(121.53	)	—	(400,325.94	)	3.9300	4.1580	JAJO	14,408.02	12,667.12		5262016	11062025
30254WAK5	FMS WERTMANAGEMENT LT GTD	D		1FE	13,152,124.70	12,981,202.53	13,210,000.00	13,158,600.64	(177,398.11	)	6,475.94		—	—		1.9000	1.9140	MON	49,170.54	(3,805.55	)	4222015	10172022
3138EGHT4	FNMA		4	1	2,777,811.64	2,741,178.94	2,603,118.02	2,766,984.19	(25,805.25	)	(37,036.05	)	—	—		—	—	MJSD	8,677.06	117,320.82		0	5/31/7819
3138W4AB7	FNMA		4	1	14,696.46	14,258.85	13,862.51	14,558.43	(299.58	)	(239.61	)	—	—		3.7430	1.7910	MON	34.66	488.65		7262016	3/16/7655
31385XEW3	FNMA		4	1	17,563.09	18,061.32	17,706.95	17,625.11	436.21		134.74		—	—		1.3600	1.3680	MON	73.77	1,497.86		9122016	4222019
3140F0JX3	FNMA		4	1	2,839,082.86	2,764,432.18	2,753,050.05	2,838,183.66	(73,751.48	)	(1,738.14	)	—	—		2.4300	2.4420	MON	5,735.52	2,702.66		7132016	10/26/7846
31371NAC9	FNMA		4	1	178,941.52	186,441.75	178,773.88	178,594.24	7,847.51		(18.56	)	—	—		1.1000	1.1100	MON	819.38	11,393.91		9072016	2/13/5054
3138WCPT4	FNMA		4	1	3,239,489.96	3,240,376.27	3,148,001.20	3,236,241.04	4,135.23		(14,156.36	)	—	—		2.7510	2.7600	JAJO	9,181.67	119,914.92		12012016	4172025
3136AGJ60	FNMA		4	1	680,773.44	646,816.82	650,000.00	679,179.51	(32,362.69	)	(1,593.93	)	—	—		3.3290	3.3410	JAJO	1,376.10	4,410.46		7152016	3/2/5273
3138WCAD5	FNMA		4	1	3,437,734.03	3,421,006.62	3,238,848.50	3,431,777.56	(10,770.94	)	(60,965.90	)	—	—		3.7870	4.3150	FMAN	10,796.16	154,589.26		10022014	12/19/8147
31412SRH0	FNMA		4	1	196,414.00	193,420.62	187,116.64	192,873.25	547.37		(3,049.63	)	—	—		0.8750	0.8050	JJ	779.65	10,910.08		6232016	2/11/5054
3138WQAW2	FNMA		4	1	233,339.74	229,087.63	229,203.31	233,187.17	(4,099.54	)	(1,616.77	)	—	—		0.8750	0.9010	AO	573.01	24,771.66		5042016	4152019
31416B7J1	FNMA		4	1	58,752.42	57,804.15	55,426.81	57,630.64	173.51		(1,222.16	)	—	—		0.8750	0.8920	MN	254.04	3,666.92		6282016	5152019
31407GC22	FNMA		4	1	371,739.00	382,958.09	375,271.82	372,071.30	10,886.79		2,076.03		—	—		1.7500	0.8720	AO	882.51	13,563.93		4022013	10312018
3138ENZV4	FNMA		4	1	760,859.45	748,435.99	708,909.65	759,758.01	(11,322.02	)	(31,657.92	)	—	—		1.1250	1.0630	JD	2,363.03	107,323.46		7122016	6302021
3138X9U23	FNMA		4	1	1,291,323.34	1,277,163.59	1,239,422.54	1,283,891.55	(6,727.96	)	(10,110.15	)	—	—		0.8750	0.6910	AO	3,098.56	41,271.16		3132013	4302017
3138EN7C7	FNMA		4	1	8,244,498.76	8,158,961.63	7,807,752.60	8,216,204.96	(57,243.33	)	(137,490.63	)	—	—		0.7500	1.1610	AO	22,772.61	311,628.89		12132016	10312018
31404CLB4	FNMA		4	1	4,894.16	5,275.02	4,993.24	4,903.66	371.36		86.16		—	—		1.2500	0.9970	AO	11.68	202.45		4152016	10312019
3138E9L40	FNMA			1	1,472,745.65	1,452,788.39	1,411,859.21	1,460,584.58	(7,796.19	)	(12,959.05	)	—	—		1.3750	1.4590	JD	3,529.65	47,075.26		12232016	12152019
31410GDM2	FNMA		4	1	280,585.42	299,259.19	284,508.29	281,001.71	18,257.48		570.63		—	—		1.0000	1.0150	MN	659.35	8,205.80		4112016	5152018
31410GDQ3	FNMA		4	1	34,831.25	36,764.67	35,147.64	34,860.15	1,904.52		103.91		—	—		1.0840	—	MON	92.88	1,043.14		0	11/22/8065
3138WF6E1	FNMA		4	1	2,207,823.14	2,197,041.12	2,188,672.28	2,206,847.60	(9,806.48	)	(3,576.45	)	—	—		4.0000	2.3200	MON	4,559.73	59,221.43		10042012	8202042
3138WFYQ3	FNMA		4	1	2,215,251.59	2,195,621.86	2,136,791.30	2,211,414.53	(15,792.67	)	(15,943.03	)	—	—		2.1250	1.7830	MON	5,341.98	70,001.72		3182009	7202024
31410GDX8	FNMA		4	1	70,909.14	74,440.24	71,136.93	70,920.95	3,519.29		26.10		—	—		6.5000	5.3190	MON	163.14	2,008.54		9112008	4152024
3138WDKR1	FNMA		4	1	2,300,195.76	2,260,400.60	2,149,088.01	2,297,166.22	(36,765.62	)	(67,052.28	)	—	—		5.0000	3.2400	MON	7,163.63	109,528.31		9292009	4152024
31414CRJ9	FNMA		4	1	509,261.08	501,499.86	485,154.94	500,041.55	1,458.31		(6,311.42	)	—	—		5.0000	3.7320	MON	2,021.48	27,958.12		3262009	2/17/5054
31404LRF9	FNMA		4	1	46,204.43	49,338.85	46,976.98	46,299.77	3,039.08		203.91		—	—		5.0000	4.6150	MON	114.31	1,277.83		7142009	12152035

31412LMG2	FNMA	4	1	51,066.70	50,242.47	48,176.13	49,800.07	442.40		(1,070.85	)	—	—	5.0000	3.6000	MON	220.81	3,253.33		3262009	7152023
31402HD32	FNMA	4	1	650,193.22	707,092.54	657,380.73	650,865.00	56,227.54		1,704.77		—	—	5.7500	5.8240	MON	1,481.85	18,545.63		10272008	7202038
3138ATD31	FNMA	4	1	293,112.55	296,360.40	274,679.03	292,086.84	4,273.56		(5,292.06	)	—	—	1.2590	0.9750	MON	1,030.05	14,461.96		12052012	12202038
31418CEF7	FNMA	4	1	1,971,030.75	1,984,788.32	1,994,082.34	1,971,030.75	13,757.57		—		—	—	1.2000	0.8760	AO	2,824.95	(2,824.95	)	11072014	4252017
31410GDZ3	FNMA	4	1	421,560.79	440,795.49	424,247.68	421,857.66	18,937.83		521.26		—	—	1.8750	0.4630	DEC	1,007.94	12,128.83		9262016	12072018
31403VBR9	FNMA	4	1	35,143.93	36,140.94	35,431.83	35,256.57	884.37		215.62		—	—	0.8750	1.0150	MS	147.63	2,720.99		12052014	9052017
3136ASUM6	FNMA	4	1	1,782,853.94	1,736,588.57	1,691,913.59	1,775,383.86	(38,795.29	)	(24,039.14	)	—	—	2.3750	2.5880	AO	4,934.75	32,333.38		10192016	10262021
3138NXER4	FNMA	4	1	144,751.32	138,437.15	138,497.30	144,667.61	(6,230.46	)	(434.44	)	—	—	1.8750	0.4210	DEC	346.24	1,622.52		9262016	12072018
3136A9FV5	FNMA	4	1	583,863.00	575,689.30	565,057.79	583,329.15	(7,639.85	)	(245.52	)	—	—	1.1250	0.7080	DEC	1,648.09	19,777.08		12212016	12232019
3138Y17A7	FNMA	4	1	905,723.88	894,883.21	849,946.17	904,564.58	(9,681.37	)	(11,471.23	)	—	—	2.3840	2.3840	MS	2,833.15	38,237.33		9102014	9012020
31416B4M7	FNMA	4	1	502,444.87	496,799.94	483,628.69	493,902.11	2,897.83		(7,041.84	)	—	—	5.0000	1.2600	FA	2,015.12	29,418.26		8272015	1/10/7792
31417FX94	FNMA	4	1	13,554.41	13,150.85	12,785.31	13,427.17	(276.32	)	(153.19	)	—	—	3.0000	1.3500	MS	31.96	409.51		9212012	3012017
3138LYPM3	FNMA	4	1	916,460.52	908,669.26	883,069.46	912,180.49	(3,511.23	)	(5,907.98	)	—	—	5.0000	0.8900	JD	2,207.67	28,642.99		3142016	6012019
3138X1ZV1	FNMA	4	1	182,835.86	177,958.07	178,186.31	182,747.22	(4,789.15	)	(894.06	)	—	—	5.3870	5.3870	FA	445.47	4,192.09		8042009	8012020
31414ARA2	FNMA	4	1	403,855.84	399,252.22	384,739.12	396,385.09	2,867.13		(5,120.01	)	—	—	5.0000	1.8390	FA	1,603.08	22,204.25		10202016	8012026
31402DQB9	FNMA	4	1	42,913.85	44,267.37	43,306.30	43,056.67	1,210.70		236.39		—	—	4.7500	1.9150	MN	180.44	3,045.98		9302014	5012019
3138WMPS4	FNMA	4	1	3,798,590.55	3,794,021.36	3,798,887.35	3,798,426.03	(4,404.67	)	(65.56	)	—	—	2.0480	2.0480	JJ	9,497.21	122,289.95		3052015	7012019
31410GC35	FNMA	4	1	99,371.15	102,255.50	99,596.27	99,378.43	2,877.07		104.10		—	—	2.2100	2.2100	AO	211.81	2,923.08		3112015	10012020
31406BJF8	FNMA	4	1	82,910.82	88,724.24	83,562.60	82,970.87	5,753.37		147.28		—	—	1.6440	1.6440	JD	205.29	2,335.84		4182013	12152018
31403H3P3	FNMA	4	1	167,927.23	178,668.68	170,039.43	168,177.04	10,491.64		126.24		—	—	2.1970	1.9650	JJ	456.84	4,821.95		4092015	7012019
3136AMM71	FNMA	4,6	1	899,503.79	633,609.31	26,678,286.80	710,757.96	(77,148.65	)	(147,385.48	)	—	—	1.8750	1.2440	JD	12,588.15	199,513.02		7142016	6112021
31404NBP0	FNMA	4	1	53,894.17	56,736.82	54,345.22	53,931.49	2,805.33		107.72		—	—	0.8750	1.0410	MS	124.45	1,535.92		9/13/7408	3072018
31406BB90	FNMA	4	1	93,502.04	99,111.76	94,237.06	93,567.28	5,544.48		163.38		—	—	1.1250	1.1360	AO	256.25	2,653.36		3182016	4152019
3138WCFK4	FNMA	4	1	713,600.62	711,030.98	690,824.99	711,137.59	(106.61	)	(4,982.38	)	—	—	4.4500	4.4500	AO	1,727.06	22,809.51		4/2/7737	10012029
3138WAJB4	FNMA	4	1	3,331,868.89	3,312,736.19	3,220,655.64	3,318,382.76	(5,646.57	)	(38,285.81	)	—	—	5.0000	4.1200	MS	8,051.64	116,232.47		9112013	3152028
31417Y5D5	FNMA	4	1	971,350.17	955,734.14	885,813.77	970,168.65	(14,434.51	)	(10,766.73	)	—	—	5.5000	5.2520	JD	3,321.80	16,157.06		3112009	12012024
3138WNBL2	FNMA	4	1	4,047,421.05	4,039,067.21	4,041,106.83	4,046,982.82	(7,915.61	)	(1,238.42	)	—	—	5.0000	2.4610	FA	10,102.77	132,337.40		3032016	10/2/7408
31414GD22	FNMA	4	1	39,436.84	38,800.33	37,204.57	38,600.46	199.87		(2,108.92	)	—	—	2.0750	2.0750	AO	170.52	3,400.84		12092014	10012019
31406PKU2	FNMA	4	1	138,832.42	146,335.06	140,157.32	138,993.07	7,341.99		241.61		—	—	5.0000	1.3100	MN	284.52	3,564.33		10192016	5152023
3138M8YB3	FNMA	4	1	3,683,996.43	3,589,169.15	3,551,909.76	3,658,654.31	(69,485.16	)	(30,407.59	)	—	—	3.3920	3.5110	MON	7,399.81	100,137.76		4032007	11012034
3138WFZU3	FNMA	4	1	8,862,839.60	8,772,756.22	8,541,209.68	8,846,751.77	(73,995.55	)	(66,005.48	)	—	—	2.7580	1.4760	MON	21,353.02	282,017.81		3082011	4012035
3138W9GM6	FNMA	4	1	1,694,185.29	1,659,365.06	1,660,202.99	1,692,912.68	(33,547.62	)	(5,201.88	)	—	—	5.5000	5.8690	MON	4,150.50	53,543.09		4092007	10/7/7408
3138A7Q76	FNMA	4	1	416,256.21	404,673.50	388,343.99	411,655.44	(6,981.94	)	(8,652.14	)	—	—	6.0000	5.2080	MON	1,294.48	18,070.99		10/29/7490	12012038
31417FQC5	FNMA	4	1	1,549,722.39	1,510,579.63	1,497,598.92	1,540,093.03	(29,513.40	)	(11,885.13	)	—	—	3.5000	2.7320	MON	3,120.00	41,712.69		5252016	5012044

3135G0N33	FNMA		1	1,497,480.00	1,478,685.03	1,500,000.00	1,497,822.94	(19,137.91	)	342.94		—	—	4.0000	2.1570	MON	5,432.29	—	12132013	7012026
3138WFU79	FNMA	4	1	2,742,665.69	2,688,037.62	2,611,479.42	2,741,473.26	(53,435.64	)	(5,340.04	)	—	—	3.5000	2.7790	MON	7,616.81	62,253.26	11172015	11012045
3140EUKN8	FNMA	4	1	1,319,364.31	1,283,191.13	1,251,004.72	1,319,105.31	(35,914.18	)	(4,831.08	)	—	—	3.0000	2.7810	MON	3,648.76	8,739.88	11022016	8012046
31418B3S3	FNMA	4	1	1,678,495.99	1,633,098.82	1,640,746.01	1,677,772.29	(44,673.47	)	(3,159.01	)	—	—	6.0000	5.3270	MON	4,101.87	29,794.88	10/29/7490	11/12/4670
3138X3XM9	FNMA	4	1	1,850,376.38	1,810,391.21	1,754,430.96	1,848,438.94	(38,047.73	)	(12,812.23	)	—	—	3.0000	1.9920	MON	5,117.09	43,010.78	9212015	4012030
31416TL49	FNMA	4	1	4,114,019.84	4,406,875.92	4,070,228.70	4,109,454.59	297,421.33		(11,618.63	)	—	—	3.5000	2.7020	MON	15,263.36	211,397.41	1/14/5410	7012043
3138YMJM2	FNMA	4	1	693,479.43	677,928.30	660,923.76	692,978.97	(15,050.67	)	(8,319.31	)	—	—	5.5000	3.6640	MON	1,927.69	26,649.23	9292009	6012022
31410GDS9	FNMA	4	1	57,314.39	61,823.45	57,614.51	57,338.79	4,484.66		104.11		—	—	4.5000	2.4490	MON	138.03	1,857.35	12122013	10/31/4670
3138EJRA8	FNMA	4	1	1,919,918.18	1,919,827.63	1,779,375.33	1,916,303.33	3,524.30		(49,734.75	)	—	—	3.5000	2.5090	MON	6,672.66	95,367.22	9082016	12012043
3138WFHS8	FNMA	4	1	1,910,500.69	1,867,886.02	1,816,550.94	1,909,016.22	(41,130.20	)	(10,626.90	)	—	—	3.5000	2.0390	MON	5,298.27	48,004.86	12022015	12012027
3138WEKK4	FNMA	4	1	3,917,836.16	3,815,632.44	3,719,924.55	3,912,790.58	(97,158.14	)	(38,465.86	)	—	—	4.0000	2.5280	MON	10,849.78	145,041.11	3242016	11012042
31402YSV7	FNMA	4	1	1,846.81	1,989.83	1,875.52	1,849.10	140.73		1.72		—	—	3.0000	1.6360	MON	5.27	59.34	4292013	3012028
31385W2S7	FNMA	4	1	999,308.54	1,029,079.32	906,916.42	988,030.36	41,048.96		(23,745.25	)	—	—	3.0000	2.0750	MON	4,534.58	61,592.53	10232013	10012028
3138MFFQ5	FNMA	4	1	61,944.68	59,513.41	59,268.34	61,908.25	(2,394.84	)	(159.41	)	—	—	3.0000	2.0160	MON	148.17	690.14	11262013	11012028
3136A1PM1	FNMA	4	1	1,963,462.35	1,939,612.07	1,923,642.95	1,955,300.27	(15,688.20	)	(19,275.10	)	—	—	2.5000	2.2010	MON	4,007.59	60,520.19	11062015	3012030
31398SVZ3	FNMA	4	1	1,389,942.08	1,324,157.26	1,359,609.21	1,388,374.91	(64,217.65	)	(7,555.44	)	—	—	3.0000	2.9550	MON	2,832.52	38,253.02	12152015	5012043
3138M8DS9	FNMA	4	1	2,062,529.30	2,034,110.04	1,930,981.22	2,059,499.12	(25,389.08	)	(17,872.10	)	—	—	3.5000	2.7130	MON	6,436.60	83,502.45	3302016	9012043
31403DCE7	FNMA	4	1	63,969.54	65,924.78	64,493.51	64,145.03	1,779.75		394.68		—	—	5.0000	1.6400	MON	268.72	4,887.28	9/12/7408	11152028
3138EQRF1	FNMA	4	1	2,593,569.51	2,535,395.42	2,327,375.90	2,591,477.66	(56,082.24	)	(5,847.00	)	—	—	2.7060	2.8680	MON	8,727.66	5,015.44	8102006	11/6/4670
3138WCAV5	FNMA	4	1	4,971,258.42	4,932,815.44	4,672,303.99	4,963,044.79	(30,229.35	)	(89,408.68	)	—	—	2.4360	2.6080	MON	15,574.34	218,218.38	9282006	10/5/7408
3135G0E58	FNMA		1	5,491,090.00	5,488,064.84	5,500,000.00	5,494,841.56	(6,776.72	)	2,827.93		—	—	2.7510	2.9710	MON	12,375.00	61,875.00	4022007	5012035
3140E1S38	FNMA		1	8,571,213.59	8,527,301.88	8,277,616.86	8,568,090.83	(40,788.95	)	(19,410.13	)	—	—	3.5000	2.9460	MON	24,143.05	297,302.52	12282015	10012045
31398GEH8	FNMA	4	1	346,269.35	342,401.19	334,240.05	345,110.38	(2,709.19	)	(5,872.56	)	—	—	3.5000	2.7700	MON	835.60	12,630.91	4/12/5355	11/19/4670
3140F9EZ4	FNMA	4	1	5,108,361.90	4,886,097.54	4,903,782.25	5,106,047.69	(219,950.15	)	(3,771.65	)	—	—	3.5000	2.8670	MON	12,259.45	45,141.98	12142016	12012045
3138X3EG3	FNMA	4	1	120,615.41	115,667.12	115,404.20	120,545.97	(4,878.85	)	(279.27	)	—	—	5.0000	2.4750	MON	288.51	1,347.14	12212015	9012036
3138WD4J7	FNMA	4	1	1,416,103.49	1,407,222.01	1,334,373.13	1,414,406.82	(7,184.81	)	(20,654.05	)	—	—	2.8330	2.7810	MON	4,447.92	62,145.35	6182007	5012033
3138WQAV4	FNMA	4	1	8,678,046.32	8,676,126.69	8,656,405.31	8,677,232.25	(1,105.56	)	(3,793.50	)	—	—	2.8690	3.2530	MON	21,641.02	280,786.60	6182007	4012034
31410GAG8	FNMA	4	1	3,432,522.72	3,391,927.07	3,103,283.70	3,425,512.68	(33,585.61	)	(107,188.40	)	—	—	2.7490	3.1130	MON	12,930.35	179,813.99	6182007	10/5/7408
3135G0WJ8	FNMA		1	1,995,720.00	1,993,740.00	2,000,000.00	1,998,815.64	(5,075.64	)	845.40		—	—	4.5000	2.8370	MON	1,944.44	17,500.00	12/9/4752	9012041
3136ALY88	FNMA	4	1	4,963,740.87	4,895,582.46	4,803,862.32	4,955,097.40	(59,514.94	)	(29,475.85	)	—	—	4.5000	2.4300	MON	12,009.66	135,345.71	6132016	9012041
3138WPLC6	FNMA	4	1	10,779.50	10,458.54	10,167.84	10,677.52	(218.98	)	(228.83	)	—	—	3.0000	2.4140	MON	25.42	341.62	8152016	9012043
3138AP6W3	FNMA	4	1	2,361,292.04	2,348,349.43	2,176,619.49	2,356,239.81	(7,890.38	)	(62,599.44	)	—	—	4.5000	2.3640	MON	8,162.33	119,860.24	12172015	5012044
3138YKH55	FNMA	4	1	2,305,279.48	2,294,535.01	2,233,054.12	2,302,100.57	(7,565.56	)	(11,895.32	)	—	—	2.1580	1.7260	MON	5,582.64	71,620.33	6172016	10252021
3138MRLL3	FNMA	4	1	1,783,866.38	1,742,858.70	1,690,493.04	1,779,640.98	(36,782.28	)	(23,567.75	)	—	—	2.9000	3.1720	MN	4,930.60	68,278.73	5212015	11062022

31418AMK1	FNMA	4	1	387,971.14	378,248.14	368,810.28	382,267.81	(4,019.67	)	(7,303.12	)	—	—	2.2500	2.2790	JJ	922.03	13,218.27	9282016	2/15/5054
3138XSFZ5	FNMA	4	1	3,776,974.71	3,784,562.46	3,573,719.40	3,770,215.22	14,347.24		(39,347.42	)	—	—	5.3750	1.8600	JJ	11,912.40	158,857.70	3312016	2/13/5054
31398SZN6	FNMA	4	1	8,026,180.30	7,955,110.57	7,718,640.75	7,957,565.93	(2,455.36	)	(32,317.17	)	—	—	1.5760	1.4700	FMAN	22,512.70	271,113.82	12162016	8012018
31411WPJ0	FNMA	4	1	607,615.19	601,878.88	574,237.60	605,560.46	(3,681.58	)	(7,255.88	)	—	—	5.4500	1.4780	MS	1,366.69	17,466.53	9252012	3152018
31407D5R2	FNMA	4	1	331,686.86	341,746.24	326,129.81	330,995.27	10,750.97		(883.97	)	—	—	2.0500	1.7530	JD	815.06	9,735.32	11262014	6192018
31410G4F7	FNMA	4	1	592,883.26	586,119.76	536,242.63	591,451.89	(5,332.13	)	(17,440.00	)	—	—	3.0000	3.0110	AO	2,234.34	27,237.87	10242016	10302028
3138ELZ63	FNMA	4	1	1,053,183.67	1,012,206.87	995,771.23	1,052,074.18	(39,867.31	)	(13,673.77	)	—	—	1.0000	1.0670	JJ	2,959.10	40,706.80	12102012	2/11/5054
3138ETXE1	FNMA	4	1	5,089,823.36	5,069,784.38	4,941,576.08	5,088,921.35	(19,136.97	)	(3,302.27	)	—	—	2.3000	2.4920	FA	14,412.93	10,170.49	9032014	8152019
31402RF87	FNMA	4	1	1,951,854.71	2,057,112.63	1,880,748.16	1,944,295.60	112,817.03		(21,381.09	)	—	—	2.0000	2.1690	MS	7,836.46	109,157.27	10062015	3052020
3138WG6K5	FNMA	4	1	10,242,881.24	9,975,307.51	9,725,095.86	10,237,534.98	(262,227.47	)	(16,383.00	)	—	—	1.7000	1.7030	JD	28,364.86	46,155.14	6112015	6162018
3136ARSK5	FNMA	4	1	487,214.25	480,784.20	455,872.98	484,432.18	(3,647.98	)	(4,922.65	)	—	—	2.8750	2.1870	FA	1,329.63	9,526.79	11142016	8152020
3138A9YZ1	FNMA	4	1	1,006,027.97	1,013,963.53	971,860.95	998,443.83	15,519.70		(11,146.37	)	—	—	0.9000	0.9980	MN	2,834.59	40,355.44	4292013	5012018
3138W9KP4	FNMA	4	1	3,135,285.77	3,124,435.10	3,128,442.32	3,135,081.25	(10,646.15	)	(1,027.73	)	—	—	2.2000	2.2200	MN	7,821.11	100,499.51	9162015	5152020
31410FU60	FNMA	4	1	53,771.92	55,297.35	54,212.39	53,900.88	1,396.47		419.72		—	—	1.1250	1.1290	JD	225.88	4,398.84	11282012	12152017
3138YGAP7	FNMA	4	1	544,663.75	536,163.07	509,403.49	544,317.64	(8,154.57	)	(15,858.19	)	—	—	2.8500	2.8620	AO	1,698.01	24,944.09	9292016	10012026
3138EMCW9	FNMA	4	1	204,553.83	196,799.02	190,504.17	202,542.91	(5,743.89	)	(6,106.53	)	—	—	1.3750	1.4930	FA	714.39	10,388.53	7242014	8012017
31419ALC9	FNMA	4	1	407,795.69	384,410.96	376,065.20	396,231.12	(11,820.16	)	(20,455.77	)	—	—	1.5980	1.5980	JAJO	1,566.94	26,030.52	11212016	7052019
3138WGYN8	FNMA	4	1	7,021,329.12	6,842,804.13	6,664,665.39	7,018,364.25	(175,560.12	)	(16,026.31	)	—	—	1.9500	1.5550	JD	19,438.60	28,549.55	10212015	12132018
3138WAWT0	FNMA	4	1	3,488,614.72	3,471,817.90	3,286,301.76	3,482,182.72	(10,364.82	)	(51,753.48	)	—	—	1.2500	1.3170	AO	10,954.34	151,102.70	9062016	10092019
31416PM61	FNMA	4	1	1,325,925.53	1,318,378.04	1,220,996.16	1,323,585.54	(5,207.50	)	(36,688.31	)	—	—	2.1500	1.9740	MS	4,578.74	52,172.02	10062015	9172020
3135G0H63	FNMA		1	1,748,915.00	1,753,325.18	1,750,000.00	1,749,256.01	4,069.17		206.39		—	—	2.3000	2.3200	FA	10,226.57	14,296.17	4/26/4780	11/22/7709
3138X3EP3	FNMA	4	1	3,846,156.77	3,856,163.53	3,736,967.27	3,841,292.60	14,870.93		(20,779.19	)	—	—	1.8000	1.8020	MS	10,899.48	167,429.60	8092016	9012021
31416BSE9	FNMA	4	1	482,712.09	474,513.61	454,998.09	473,185.11	1,328.50		(10,510.06	)	—	—	1.5000	1.3530	MN	2,085.41	30,230.09	5152015	11022017
3138NXH75	FNMA	4	1	102,092.32	98,085.29	97,681.39	102,032.51	(3,947.22	)	(244.08	)	—	—	5.9500	2.5550	AO	244.20	1,139.52	9292015	4152017
31401DVW8	FNMA	4	1	72,429.19	78,118.95	73,273.58	72,540.75	5,578.20		57.85		—	—	4.0500	3.4110	FA	170.67	2,028.97	6222015	1/12/7792
31415MFS9	FNMA	4	1	345,948.89	340,676.58	329,573.22	339,627.74	1,048.84		(4,540.72	)	—	—	1.8190	1.8190	MS	1,373.22	18,741.43	3172014	3152019
31417WKV2	FNMA	4	1	832,394.47	829,651.97	768,955.62	831,127.60	(1,475.63	)	(19,571.37	)	—	—	4.9000	4.9790	MS	2,883.58	34,081.36	11242014	12312049
3138WHBR2	FNMA	4	1	2,114,631.00	2,076,317.58	1,972,689.81	2,112,091.45	(35,773.87	)	(17,767.73	)	—	—	2.2500	2.2660	JD	6,575.63	41,033.67	6092016	6142021
3138YTLY8	FNMA	4	1	1,799,417.40	1,762,149.30	1,717,949.13	1,797,865.36	(35,716.06	)	(15,586.57	)	—	—	6.6250	2.8270	FA	5,010.68	67,125.00	9212012	8152017
31410GD83	FNMA	4	1	12,095.75	13,186.56	12,323.60	12,122.78	1,063.78		56.87		—	—	3.3360	3.3360	MS	29.46	366.91	3152016	3182021
31398MU53	FNMA	4	1	15,097.35	14,705.62	14,678.00	14,721.87	(16.25	)	(2,009.78	)	—	—	3.1000	3.0910	JJ	55.04	3,401.32	10082015	2/12/5054
3138WFX68	FNMA	4	1	3,157,395.11	3,140,745.33	3,048,782.23	3,156,204.06	(15,458.73	)	(9,889.49	)	—	—	1.9500	1.9950	MS	8,892.28	112,109.15	9152016	3012022
3138WPG24	FNMA	4	1	1,620,745.28	1,577,266.02	1,579,288.93	1,619,997.54	(42,731.52	)	(6,155.75	)	—	—	2.0000	2.0960	AO	3,948.22	36,302.56	4202016	4252019
31417C7C3	FNMA	4	1	3,776,369.03	3,726,311.59	3,621,330.80	3,768,349.94	(42,038.35	)	(41,398.13	)	—	—	3.5000	3.8910	JJ	9,053.33	85,560.93	6232015	3/1/5273

31371NE35	FNMA	4	1	68,777.03	67,666.98	64,884.01	67,131.87	535.11		(1,300.37	)	—	—	3.7500	3.6690		MN	297.39	4,145.34		5272015	5222025
3138W9A26	FNMA	4	1	2,928,096.21	2,922,399.78	2,837,646.24	2,926,792.39	(4,392.61	)	(20,031.41	)	—	—	4.8750	4.0200		FA	8,276.47	111,084.23		12162015	1/15/7792
31405UR84	FNMA	4	1	89,803.50	94,183.74	89,568.83	89,746.50	4,437.24		(19.05	)	—	—	2.5000	2.5240		MS	215.78	2,145.97		3142016	3182019
3138W9AS9	FNMA	4	1	4,160,519.25	4,153,243.20	4,158,569.91	4,160,308.21	(7,065.01	)	(402.50	)	—	—	1.4240	1.4240		MN	10,396.42	135,002.63		5012013	5152018
31405PAG5	FNMA	4	1	69,645.97	73,464.98	69,456.37	69,603.19	3,861.79		(34.90	)	—	—	2.5000	2.5090		JD	158.19	1,786.47		11182014	12152019
3138EBG33	FNMA	4	1	836,172.53	822,769.72	799,925.89	828,127.84	(5,358.12	)	(8,139.06	)	—	—	2.4000	2.4110		MS	1,999.81	26,725.68		9122013	3152019
31410GC50	FNMA	4	1	61,191.95	65,143.39	61,075.72	61,150.72	3,992.67		(22.52	)	—	—	6.6250	1.8730		AO	144.19	1,746.19		7092015	4012018
31407E6W8	FNMA	4	1	184,236.66	202,843.77	190,579.38	184,768.30	18,075.47		300.02		—	—	5.0000	3.7330		MN	420.70	4,870.53		4082015	11242025
3140EULG2	FNMA	4	1	5,484,846.43	5,478,824.59	5,341,398.66	5,483,189.96	(4,365.37	)	(21,102.44	)	—	—	2.5000	2.5720		AO	15,579.08	188,320.30		4182016	4212021
31416BLV8	FNMA	4	1	232,936.47	229,045.54	221,580.47	228,616.89	428.65		(3,618.56	)	—	—	2.8000	2.8260		JD	923.25	12,886.04		12232015	6162020
31394DA42	FNMA	4	1	30,548.68	31,759.09	30,330.69	30,336.85	1,422.24		(59.04	)	—	—	3.4000	2.8210		JJ	139.02	2,187.11		3032015	7082024
31400PG58	FNMA	4	1	43,302.26	46,241.08	43,682.78	43,351.95	2,889.13		69.23		—	—	1.4500	1.4820		MS	98.50	1,287.79		3032015	3092018
31404VGA0	FNMA	4	1	216,516.37	223,219.15	218,565.41	216,746.70	6,472.45		1,220.69		—	—	1.2500	1.2540		AO	531.66	8,139.25		4272015	4302018
31419BBT1	FNMA	4	1	2,034,929.76	2,026,490.68	1,919,462.12	2,028,551.60	(2,060.92	)	(29,882.36	)	—	—	1.3750	1.4970		FA	6,398.21	88,447.98		2/25/7874	10/24/8065
3138W9LM0	FNMA	4	1	1,835,870.14	1,857,903.56	1,860,286.40	1,836,651.44	21,252.12		3,220.23		—	—	2.3000	1.6750		JD	4,650.72	59,915.47		10062015	6262019
3140EVCA3	FNMA	4	1	8,133,588.13	7,912,734.53	7,709,562.22	8,129,350.13	(216,615.60	)	(10,458.72	)	—	—	1.5500	1.5790		JJ	22,486.23	36,452.32		7082015	7132018
3135G0E33	FNMA		1	4,990,850.00	4,997,600.15	5,000,000.00	4,995,395.50	2,204.65		2,923.35		—	—	1.2000	1.2120		AO	25,156.25	56,250.00		11212016	4062018
3135G0Q89	FNMA		1FE	2,981,732.70	2,918,009.94	3,000,000.00	2,982,372.80	(64,362.86	)	810.79		—	—	2.2000	2.4240		MS	9,625.00	(496.53	)	9032013	3062019
3138WD3H2	FNMA	4	1	368,702.60	359,623.01	361,306.99	368,524.02	(8,901.01	)	(2,147.22	)	—	—	2.9500	2.1040		JJ	903.27	12,816.58		5042016	2/16/5054
3138Y8CM0	FNMA	4	1	1,789,523.03	1,755,733.66	1,711,694.42	1,787,153.92	(31,420.26	)	(7,781.96	)	—	—	1.8000	1.6520		FA	4,992.44	63,033.26		2/1/7436	9/20/7408
31412LQN3	FNMA	4	1	115,798.94	113,932.07	109,246.34	113,033.08	898.99		(2,008.21	)	—	—	1.8000	1.8180		JD	500.71	7,126.75		11082012	6012017
31410GDL4	FNMA	4	1	197,962.51	209,245.10	201,427.83	198,330.44	10,914.66		1,044.42		—	—	1.3750	1.4740		FA	461.44	6,269.28		10202016	8152019
31401MKS9	FNMA	4	1	523,755.69	518,857.79	491,789.38	520,358.87	(1,501.08	)	(7,287.67	)	—	—	1.7000	1.7000		JD	1,249.96	15,342.16		6102013	6152018
31398MAY2	FNMA	4	1	750,236.10	699,431.45	669,293.43	698,226.33	1,205.12		(24,977.86	)	—	—	—	—		MJSD	2,788.72	38,723.33		0	5032018
3138Y7HK1	FNMA	4	1	187,441.89	183,933.77	182,162.03	187,389.41	(3,455.64	)	(1,973.74	)	—	—	—	—		MJSD	445.84	5,740.96		0	4172020
31406BEZ9	FNMA	4	1	68,961.09	72,893.79	69,503.24	69,010.82	3,882.97		115.24		—	—	—	0.4530		FMAN	184.70	1,985.16		5122016	10182020
31417CS30	FNMA	4	1	405,051.55	397,522.20	387,319.57	404,429.43	(6,907.23	)	(3,088.63	)	—	—	—	0.0870		FMAN	1,129.68	14,837.89		10012015	8142020
3138E9KT6	FNMA		1	59,474.88	58,668.94	57,016.07	58,982.56	(313.62	)	(666.60	)	—	—	—	0.1690		FMAN	142.54	1,989.72		4302014	10182018
31408C6D3	FNMA	4	1	427,745.50	452,057.67	432,339.10	428,265.86	23,791.81		1,543.20		—	—	—	0.0320		MJSD	1,004.47	11,359.16		7312014	10252020
31400EGH7	FNMA	4	1	15,285.85	15,719.51	15,411.08	15,342.36	377.15		135.99		—	—	—	(10.5770	)	MJSD	64.21	1,376.54		4212015	7152020
31415MDG7	FNMA	4	1	841,577.30	967,311.83	866,907.27	843,143.75	124,168.08		3,829.66		—	—	—	0.0710		MJSD	3,973.32	51,500.94		7302014	7302021
31411GUY6	FNMA	4	1	972,727.22	1,005,001.66	964,737.99	971,575.50	33,426.16		(1,801.76	)	—	—	—	0.2540		MJSD	2,318.59	29,504.74		11252014	12182020
31417AP60	FNMA	4	1	3,595,529.87	3,601,617.72	3,490,805.69	3,590,481.44	11,136.28		(21,805.06	)	—	—	—	—		MJSD	10,181.51	137,808.87		5312016	10152018
3138ETCE4	FNMA	4	1	1,440,479.11	1,420,685.78	1,345,652.64	1,439,659.53	(18,973.75	)	(18,756.46	)	—	—	—	—		JAJO	4,485.51	39,698.20		0	6082020

3138EJ3G1	FNMA	4	1	944,180.60	924,688.49	877,160.09	943,250.19	(18,561.70	)	(7,967.13	)	—	—	—	0.1490	FMAN	2,923.87	14,018.58	5182015	5272022
3135G0ZB2	FNMA		1	249,127.50	250,025.00	250,000.00	249,915.04	109.96		3,621.58		—	—	1.6500	1.6940	MN	369.79	33,781.25	5112015	5182018
31417EWF4	FNMA	4	1	105,126.77	100,813.90	100,584.74	105,065.21	(4,251.31	)	(337.88	)	—	—	—	0.4520	MJSD	251.46	1,183.22	5202016	12312019
31411KCZ4	FNMA	4	1	912,889.47	1,032,362.85	904,410.63	911,960.35	120,402.50		(2,276.41	)	—	—	—	—	FMAN	4,522.05	61,715.74	11082016	5292021
31411DA33	FNMA	4	1	314,931.50	328,740.38	313,437.77	314,697.60	14,042.78		(604.65	)	—	—	—	—	MJSD	876.32	10,406.83	5192015	5152021
3138WZTZ5	FNMA	4	1	1,788,897.62	1,780,576.68	1,725,538.02	1,787,648.02	(7,071.34	)	(33,136.57	)	—	—	—	0.0410	MJSD	5,032.82	209,673.09	8062015	7012022
3140EUEF2	FNMA	4	1	4,524,356.74	4,493,747.52	4,373,339.85	4,518,040.21	(24,292.69	)	(26,404.26	)	—	—	—	—	MJSD	10,933.35	143,378.64	0	8182022
31400SA33	FNMA	4	1	8,659.56	8,905.22	8,730.50	8,691.06	214.16		52.84		—	—	—	—	MJSD	36.38	665.36	0	8182022
3138ECD91	FNMA	4	1	2,674,377.74	2,643,983.50	2,503,805.94	2,669,063.58	(25,080.08	)	(54,160.69	)	—	—	—	—	MJSD	8,346.02	116,933.83	0	6122019
31406GLK3	FNMA	4	1	27,684.29	29,734.54	27,880.36	27,707.69	2,026.85		9.51		—	—	—	0.1420	MJSD	60.57	683.28	11182015	11212022
31416CME3	FNMA	4	1	1,105,014.05	1,085,547.67	1,050,167.42	1,087,244.74	(1,697.07	)	(18,713.32	)	—	—	—	—	MJSD	4,375.70	62,308.17	12282015	12122022
3138Y6YG3	FNMA	4	1	2,588,672.71	2,559,299.90	2,405,969.40	2,583,813.63	(24,513.73	)	(20,597.13	)	—	—	2.2500	2.2540	JJ	8,019.89	101,175.31	4/26/4780	2/12/5054
3138EP4F8	FNMA	4	1	4,576,331.82	4,456,277.89	4,461,993.26	4,574,370.47	(118,092.58	)	(13,870.93	)	—	—	—	—	MJSD	11,154.99	89,871.45	0	6222023
31405UTZ2	FNMA	4	1	8,212.75	8,693.81	8,277.30	8,219.01	474.80		3.77		—	—	—	0.0710	MJSD	20.63	210.94	6172016	10012022
31392ER28	FNMA	4	1	611,166.08	614,359.59	554,813.66	607,861.19	6,498.40		(12,913.64	)	—	—	—	0.8540	MJSD	2,542.90	33,955.48	6142016	12312019
31385XAZ0	FNMA	4	1	1,037,977.91	1,064,693.07	953,571.89	1,028,969.68	35,723.39		(24,333.19	)	—	—	—	—	MJSD	4,370.54	60,305.47	9202016	7302021
31406TTE1	FNMA	4	1	1,324,300.24	1,318,473.88	1,280,290.26	1,318,988.46	(514.58	)	(14,100.56	)	—	—	—	0.0350	MJSD	2,733.42	37,977.31	12022016	12312023
31403KDB6	FNMA	4	1	3,623.68	3,895.42	3,680.01	3,630.86	264.56		3.40		—	—	—	0.0350	MJSD	9.43	99.13	12092016	12092023
31417G5V4	FNMA	4	1	69,788.84	66,925.72	66,773.59	69,748.51	(2,822.79	)	(165.50	)	—	—	—	—	MJSD	166.93	779.13	12282016	12212022
3138WEF79	FNMA	4	1	2,639,835.44	2,615,599.07	2,605,636.46	2,637,684.35	(22,085.28	)	(6,411.38	)	—	—	—	0.0370	MJSD	5,428.41	70,061.09	12142016	8212023
31401A3C9	FNMA	4	1	16,961.74	17,442.93	17,100.69	17,023.46	419.47		126.27		—	—	—	0.2290	JAJO	71.25	1,425.86	7112016	11062020
31397NLS2	FNMA	4	1	386,405.01	380,079.35	363,034.65	382,778.49	(2,699.14	)	(9,455.52	)	—	—	1.5320	1.4640	JAJO	1,361.38	19,681.06	11212016	7182019
3138EQD41	FNMA	4	1	611,667.29	608,197.69	592,145.03	610,783.89	(2,586.20	)	(9,366.10	)	—	—	4.5000	4.5010	JD	1,480.36	46,761.81	12092015	12162025
3138WGZP2	FNMA	4	1	478,571.05	465,944.06	464,596.84	478,050.45	(12,106.39	)	(1,585.45	)	—	—	1.2000	1.2020	MS	967.91	7,511.98	9122012	9192017
3138Y7HZ8	FNMA	4	1	430,069.79	422,862.28	418,877.91	429,961.95	(7,099.67	)	(2,225.91	)	—	—	1.5000	1.5710	MS	1,009.50	11,277.25	3052012	3132017
31414NB45	FNMA	4	1	517,020.43	508,384.20	491,814.90	508,241.19	143.01		(8,119.47	)	—	—	—	—	MJSD	2,049.23	28,742.95	0	6302021
31416RQU0	FNMA	4	1	287,331.52	282,855.28	261,247.58	286,890.55	(4,035.27	)	(5,314.44	)	—	—	6.6250	0.7020	APR	979.68	6,062.40	12212016	4112018
31405UMM8	FNMA	4	1	25,010.73	26,469.18	25,207.37	25,029.88	1,439.30		86.56		—	—	6.3750	1.8090	AUG	63.40	817.35	11302016	8162019
31406DG67	FNMA	4	1	159,799.40	170,585.15	161,055.66	159,920.75	10,664.40		255.15		—	—	2.4500	3.1210	JD	425.86	4,674.62	11132014	6152019
3138LURE7	FNMA	4	1	864,163.88	849,947.27	813,570.01	854,429.91	(4,482.64	)	(14,641.18	)	—	—	3.5780	1.2420	JAJO	2,372.91	32,427.54	3082016	4072020
3138WNBH1	FNMA	4	1	95,888.41	91,954.54	91,745.52	95,833.39	(3,878.85	)	(323.16	)	—	—	1.9790	1.3560	MJSD	229.36	1,089.69	9082015	9142018
3138WDUJ8	FNMA	4	1	4,479,933.08	4,456,007.77	4,228,845.39	4,476,857.78	(20,850.01	)	(167,569.11	)	—	—	2.7500	2.8260	MN	14,096.16	328,739.07	11032014	11082019
3138M0AK6	FNMA	4	1	7,571,575.80	7,518,307.00	7,292,413.13	7,565,240.77	(46,933.77	)	(71,574.54	)	—	—	2.0000	2.0030	MS	21,269.54	298,649.50	3092015	3162018
3138EQJ78	FNMA	4	1	7,884,901.85	7,800,497.11	7,412,363.66	7,861,072.85	(60,575.74	)	(163,855.38	)	—	—	4.7030	4.7480	MON	24,707.88	345,504.03	11282016	12312019

31403C2L4	FNMA	4	1	54,184.26	55,721.41	54,628.13	54,348.27	1,373.14		486.33		—	—	6.9600	6.0440		JAJO	227.62	4,776.75	4012015	4092018
31403DCZ0	FNMA	4	1	130,770.35	134,480.10	131,841.53	131,199.31	3,280.79		894.48		—	—	2.0000	2.0200		MS	549.34	10,483.86	8292016	9062021
3138EKVP7	FNMA	4	1	3,665,504.49	3,655,840.38	3,563,066.32	3,661,511.34	(5,670.96	)	(20,821.30	)	—	—	2.3420	1.5290		MN	10,392.28	138,852.38	7082016	11152020
3136ABFX6	FNMA	4	1	1,549,352.53	1,550,149.43	1,573,969.41	1,551,067.61	(918.18	)	5,577.90		—	—	5.6250	5.6250		JJ	2,623.28	35,150.89	9102014	8/28/4692
3140EU6X2	FNMA	4	1	976,778.69	935,093.71	939,472.41	976,435.40	(41,341.69	)	(1,471.89	)	—	—	1.4000	1.6250		AO	2,348.68	8,315.76	7162015	10012017
31418AX52	FNMA	4	1	2,151,778.56	2,064,816.55	2,067,464.76	2,150,908.11	(86,091.56	)	(4,201.42	)	—	—	2.3000	2.3100		MS	5,168.66	18,219.68	3152016	3222019
3138EJPG7	FNMA	4	1	534,424.77	518,943.08	504,322.98	528,277.13	(9,334.05	)	(6,899.89	)	—	—	1.1250	0.9520		MS	1,260.81	16,960.35	9162015	3152017
3140EUFH7	FNMA	4	1	7,401,346.69	7,275,709.78	7,075,751.58	7,397,450.33	(121,740.55	)	(25,719.22	)	—	—	—	20.5830		MON	20,637.60	214,681.41	5262016	6062017
3138WCZ63	FNMA	4	1	1,890,412.17	1,863,876.04	1,808,736.42	1,882,660.64	(18,784.60	)	(19,414.90	)	—	—	3.1710	2.8850		JAJO	4,521.84	60,252.32	12122014	7/1/5081
31416B4P0	FNMA	4	1	511,783.70	509,487.04	490,772.50	501,780.98	7,706.06		(8,169.40	)	—	—	5.9600	—		MJSD	2,249.37	34,239.71	5212015	6062019
31406TLC3	FNMA	4	1	172,207.39	181,405.97	173,745.08	172,335.85	9,070.12		401.17		—	—	7.4500	5.0560		JAJO	440.15	5,816.93	12052014	6/17/4862
31418BDN3	FNMA	4	1	5,178,581.39	5,149,678.81	4,781,838.24	5,173,627.88	(23,949.07	)	(126,250.70	)	—	—	2.9500	2.9870		MS	17,931.89	256,186.01	9212015	9242020
31409UBQ7	FNMA	4	1	373,132.32	403,468.61	376,144.41	373,367.70	30,100.91		1,109.42		—	—	—	—		MJSD	897.10	11,772.39	12022016	9/21/7408
31385XK48	FNMA	4	1	38,630.64	40,962.48	38,975.55	38,674.31	2,288.17		74.83		—	—	3.0670	3.8580		MON	90.62	1,163.76	7192006	4252035
31416B4N5	FNMA	4	1	1,036,019.78	1,040,619.96	997,821.93	1,019,666.61	20,953.35		(14,450.37	)	—	—	3.3690	2.7600		MON	4,573.35	67,353.47	11292016	3132035
31416MZC1	FNMA	4	1	1,002,344.22	1,005,901.63	931,600.80	998,262.70	7,638.93		(24,092.01	)	—	—	2.9700	2.2420		MON	3,493.50	47,437.26	3022016	4152050
3138XYQJ6	FNMA	4	1	4,104,455.28	4,109,233.12	3,979,474.90	4,099,682.54	9,550.58		(18,959.93	)	—	—	3.2210	2.1060		MON	11,606.80	150,664.87	3232016	10102053
31417G5T9	FNMA	4	1	8,923,095.55	8,903,289.40	8,907,785.31	8,922,388.82	(19,099.42	)	(2,558.05	)	—	—	3.9520	3.0150		MON	22,269.45	286,929.25	10/16/5464	8252047
3138YR5T1	FNMA	4	1	7,459,072.54	7,449,632.69	7,476,595.83	7,459,118.36	(9,485.67	)	1,461.37		—	—	2.8350	2.2020		MON	18,691.48	235,446.65	8082016	8102038
3138X4HN3	FNMA	4	1	1,828,529.31	1,812,866.92	1,808,746.15	1,827,710.85	(14,843.93	)	(2,379.35	)	—	—	3.1440	2.4810		MON	4,521.86	57,078.03	12152015	3/14/5054
31416BSX7	FNMA	4	1	304,575.64	289,332.86	283,656.00	292,847.33	(3,514.47	)	(19,523.65	)	—	—	2.8720	2.0660		MON	1,181.90	24,459.23	5112016	7152047
3138WHGL0	FNMA	4	1	4,222,001.02	4,138,055.58	3,930,013.33	4,220,505.77	(82,450.19	)	(29,007.04	)	—	—	2.7730	2.1120		MON	13,100.05	71,302.67	4022015	10152048
3138W9VQ0	FNMA	4	1	1,402,276.92	1,385,992.52	1,346,724.51	1,394,304.94	(8,312.42	)	(11,585.31	)	—	—	3.0420	2.7900		MON	3,366.81	44,201.33	3042016	10152048
31417F2Y3	FNMA	4	1	16,110.89	15,631.20	15,196.72	15,958.78	(327.58	)	(255.87	)	—	—	5.8660	(1.3620	)	MON	37.99	525.34	6022014	9152045
31410LK84	FNMA	4	1	743,823.09	769,316.47	679,242.02	741,559.72	27,756.75		(23,123.28	)	—	—	3.3500	2.3610		MON	3,396.21	48,388.52	11292016	7132029
31400QJ87	FNMA	4	1	5,214.28	5,592.14	5,260.82	5,219.70	372.44		8.27		—	—	2.3540	2.3650		MON	11.95	152.72	11072014	11152027
31410GDC4	FNMA	4	1	417,576.62	439,968.24	419,922.78	417,828.18	22,140.06		377.48		—	—	3.6640	3.3080		MON	964.77	11,697.74	7272015	9152058
31406VHE9	FNMA	4	1	76,532.27	80,985.03	77,215.63	76,579.58	4,405.45		88.98		—	—	2.8480	2.1140		MON	177.02	2,127.98	9252015	9152057
3136ATLK8	FNMA	4	1FE	2,005,798.42	1,889,119.00	1,893,099.82	2,001,773.94	(112,654.94	)	(10,388.38	)	—	—	3.9520	3.6010		MON	4,732.74	19,795.26	6/20/7463	3/24/5054
3138EMFX4	FNMA	4	1	833,929.58	805,879.03	780,741.55	833,402.35	(27,523.32	)	(2,719.88	)	—	—	1.3600	1.3670		MON	2,277.17	5,990.18	4222015	9152020
3138WGUC6	FNMA	4	1	1,538,786.92	1,513,168.65	1,470,983.76	1,536,611.45	(23,442.80	)	(8,122.31	)	—	—	1.1600	1.1620		MON	3,677.46	30,956.06	7122016	11252020
31417EJA0	FNMA	4	1	206,712.65	198,273.32	197,456.86	206,615.85	(8,342.53	)	(330.37	)	—	—	1.3100	1.3140		MON	493.64	1,289.13	5242016	10152019
3140EUEE5	FNMA	4	1	2,170,328.21	2,153,725.67	2,144,858.03	2,168,986.95	(15,261.28	)	(5,312.16	)	—	—	1.6100	1.6760		MON	4,468.45	59,073.94	9162014	5172021
3138WE3P2	FNMA	4	1	3,334,531.01	3,308,080.99	3,221,769.09	3,328,470.19	(20,389.20	)	(25,346.16	)	—	—	1.6300	1.6370		MON	8,054.42	107,628.26	8062015	5152020

3140F0HF4	FNMA	4	1	11,250,965.07	10,838,094.79	10,891,049.91	11,248,324.29	(410,229.50	)	(4,588.90	)	—	—	1.9800	1.9940	MON	27,227.62	40,089.96	8062015	5/30/7819
31410GDF7	FNMA	4	1	48,103.48	51,685.22	48,728.73	48,194.75	3,490.47		205.00		—	—	1.6800	1.6940	MON	102.70	1,271.87	4122016	9152021
3138MLTD6	FNMA	4	1	64,170.30	61,651.67	61,397.80	64,132.64	(2,480.97	)	(169.48	)	—	—	2.1600	2.1690	MON	153.49	719.57	10/16/5464	9162024
31414RB79	FNMA	4	1	478,825.80	478,912.35	451,722.47	468,850.20	10,062.15		(8,530.63	)	—	—	1.3800	1.3120	MON	2,070.39	28,050.61	12222016	11152019
3138W5LP1	FNMA	4	1	216,118.90	207,252.53	206,781.43	215,993.75	(8,741.22	)	(554.21	)	—	—	1.3700	1.3710	MON	516.95	2,408.52	6072016	6152021
3140EU2B4	FNMA	4	1	8,906,143.62	8,733,958.63	8,298,052.00	8,900,943.84	(166,985.21	)	(36,723.23	)	—	—	1.2700	1.2820	MON	27,660.17	40,195.90	9182014	5152019
3138WEW88	FNMA	4	1	2,295,742.01	2,264,488.70	2,268,449.34	2,295,058.88	(30,570.18	)	(1,754.65	)	—	—	0.9000	1.0430	MON	5,671.13	69,875.97	9122014	10152018
3138WFPA8	FNMA	4	1	1,994,103.27	1,957,034.16	1,906,807.85	1,992,434.25	(35,400.09	)	(12,435.46	)	—	—	2.0190	3.5770	MON	5,561.52	72,619.84	9102009	11/17/4670
3138ENXH7	FNMA	4	1	4,257,358.89	4,151,621.56	4,020,524.83	4,249,517.48	(97,895.92	)	(28,847.52	)	—	—	2.3680	3.7490	MON	11,726.53	150,820.60	9102009	11/17/4670
31406BQQ6	FNMA	4	1	110,322.75	115,775.17	111,246.14	110,411.92	5,363.25		282.80		—	—	1.4800	1.4900	MON	246.32	3,276.90	4152015	6152021
31402QYX3	FNMA	4	1	258,134.17	254,647.42	232,815.48	257,390.05	(2,742.63	)	(7,093.56	)	—	—	3.9890	4.3650	MON	970.06	11,585.49	10172016	3212022
31406MYP5	FNMA	4	1	63,158.29	66,603.53	63,722.21	63,216.54	3,386.99		217.43		—	—	2.6500	2.6710	MON	133.07	1,747.26	5/7/4999	12152028
3138WGDX9	FNMA	4	1	5,558,422.35	5,475,541.45	5,331,021.00	5,548,660.69	(73,119.24	)	(35,879.46	)	—	—	3.4820	3.9990	JAJO	13,327.56	135,441.03	10212015	7252025
31402RB81	FNMA	4	1	69,043.88	73,255.39	69,614.97	69,100.24	4,155.15		70.44		—	—	1.9560	1.9640	MON	161.04	2,017.77	5182011	10252034
31410GDY6	FNMA	4	1	31,632.34	34,236.46	32,175.51	31,684.63	2,551.83		135.22		—	—	2.0900	1.8150	MON	84.57	924.89	5/20/5218	6152045
31411LEA5	FNMA	4	1	56,341.26	55,431.90	53,152.13	54,973.18	458.72		(1,495.33	)	—	—	1.0360	1.0560	MON	243.61	3,317.26	11022012	9252019
31410GPR8	FNMA	4	1	1,022,814.77	1,117,649.08	983,623.52	1,019,456.83	98,192.25		(11,709.94	)	—	—	1.3900	1.3950	MON	5,327.97	73,028.77	9122016	11152021
3138WD2K6	FNMA	4	1	3,852,923.74	3,725,625.74	3,539,681.99	3,850,007.15	(124,381.41	)	(15,480.01	)	—	—	1.5400	1.5520	MON	11,798.94	19,358.79	11032014	8152021
3138YVEY1	FNMA	4	1	4,964,285.24	4,812,533.75	4,829,952.20	4,961,971.05	(149,437.30	)	(6,530.75	)	—	—	2.7800	2.7890	JAJO	12,074.88	105,640.52	10142016	10142028
31412LVF4	FNMA	4	1	679,513.65	666,875.07	639,448.21	663,171.83	3,703.24		(10,025.63	)	—	—	2.3920	2.5360	JAJO	2,930.80	39,403.90	2/19/5273	7182026
31398SKX0	FNMA_10-142	4	1	335,078.30	333,221.75	334,242.69	335,058.03	(1,836.28	)	(230.49	)	—	—	—	0.0360	MJSD	68.30	3,573.53	6292015	6302022
3136AFA95	FNMA_13-81	4	1	1,104,418.35	1,096,326.32	1,105,281.87	1,104,605.44	(8,279.12	)	175.25		—	—	6.0000	5.1210	MON	185.34	8,813.37	10/29/7490	9012037
3136A9LX4	FNR	4	1	1,837,873.21	1,906,417.99	1,915,508.80	1,852,577.49	53,840.50		35,966.28		—	—	3.7070	1.7540	MON	2,793.45	41,092.42	9082016	8102044
BRSY82QB1	FOCUSVISION WORLDWIDE INC			280,799.54	279,395.54	280,799.54	280,799.54	(1,404.00	)	—		—	—	6.2500	2.2030	DEC	—	11,931.02	10302015	12042018
BRSY82PM8	FOCUSVISION WORLDWIDE INC			3,344,322.48	3,327,600.87	3,344,322.48	3,344,322.48	(16,721.61	)	—		—	—	1.1240	1.1270	MON	—	188,224.61	12102013	11162020
34528QFD1	FORD CREDIT FLOORPLAN MASTER O	4	1FE	999,801.10	996,442.90	1,000,000.00	999,804.10	(3,361.20	)	3.00		—	—	—	—	MJSD	975.00	—	4282016	4282022
34528QDF8	FORD CREDIT FLOORPLAN MASTER O	4	1FE	500,761.72	500,084.99	500,000.00	500,107.63	(22.64	)	(349.20	)	—	—	—	0.0990	MJSD	260.64	4,369.87	9152016	9302021
34528QBP8	FORD CREDIT FLOORPLAN MASTER O	4	1FE	1,402,694.53	1,380,372.60	1,380,000.00	1,381,865.61	(1,493.01	)	(8,327.92	)	—	—	—	—	JAJO	1,177.60	26,496.00	12212016	6/19/4862
34528QDL5	FORD CREDIT FLOORPLAN MASTER O	4	1FE	1,024,706.65	1,025,707.25	1,025,000.00	1,024,937.20	770.05		99.25		—	—	2.9320	2.2840	MON	637.78	14,349.96	11182014	11152047
345397WN9	FORD MOTOR CREDIT COMPANY LLC		2FE	299,718.00	300,036.00	300,000.00	299,996.12	39.88		323.27		—	—	0.5000	0.6470	JJ	2,050.00	31,520.84	7302012	7312017
345397YC1	FORD MOTOR CREDIT COMPANY LLC		2FE	1,370,000.00	1,371,493.42	1,370,000.00	1,370,000.00	1,493.42		—		—	—	0.8750	0.9550	FA	3,020.08	8,828.86	8182016	8272018
345397XN8	FORD MOTOR CREDIT COMPANY LLC		2FE	1,500,000.00	1,508,204.84	1,500,000.00	1,500,000.00	8,204.84		—		—	—	1.3330	1.3330	MN	9,141.08	37,946.13	3082013	11012018
345397XK4	FORD MOTOR CREDIT COMPANY LLC		2FE	2,000,000.00	2,012,320.10	2,000,000.00	2,000,000.00	12,320.10		—		—	—	4.0000	2.3660	MON	25,782.16	237,169.63	10142016	6012046
345397VP5	FORD MOTOR CREDIT COMPANY LLC		2FE	1,583,764.00	1,442,280.00	1,400,000.00	1,440,611.73	1,668.27		(64,310.03	)	—	—	6.0000	3.4880	MON	35,038.89	92,750.00	10232013	10012040

345397WT6	FORD MOTOR CREDIT COMPANY LLC			2FE	1,750,000.00	1,749,300.00	1,750,000.00	1,750,000.00	(700.00	)	—		—	—	3.4000	3.4350	MN	9,250.30	48,941.25	9292015	5152025
345397XF5	FORD MOTOR CREDIT COMPANY LLC			2FE	3,646,180.50	3,601,090.14	3,650,000.00	3,647,661.51	(46,571.37	)	930.41		—	—	6.1000	1.4420	JJ	23,435.64	83,394.25	4012015	7012017
345397WR0	FORD MOTOR CREDIT COMPANY LLC			2FE	1,750,000.00	1,748,460.00	1,750,000.00	1,750,000.00	(1,540.00	)	—		—	—	1.3000	1.3540	MN	2,095.14	50,702.36	7172015	5182018
345397XZ1	FORD MOTOR CREDIT COMPANY LLC			2FE	1,400,000.00	1,348,844.01	1,400,000.00	1,400,000.00	(51,155.99	)	—		—	—	3.4000	3.4360	MN	6,862.80	21,672.00	10262016	11152026
345397YD9	FORD MOTOR CREDIT COMPANY LLC			2FE	2,445,000.00	2,403,337.16	2,445,000.00	2,445,000.00	(41,662.84	)	—		—	—	5.6500	2.0800	FA	17,908.49	—	5132015	9/20/7408
345397XW8	FORD MOTOR CREDIT COMPANY LLC			2FE	665,000.00	669,488.72	665,000.00	665,000.00	4,488.72		—		—	—	—	—	MJSD	6,347.20	11,092.20	7302015	12302049
345397XY4	FORD MOTOR CREDIT COMPANY LLC			2FE	1,965,000.00	1,944,308.53	1,965,000.00	1,965,000.00	(20,691.47	)	—		—	—	—	—	MJSD	6,398.15	53,204.79	10212016	2/18/5054
345397XH1	FORD MOTOR CREDIT COMPANY LLC			2FE	2,000,000.00	2,002,099.92	2,000,000.00	2,000,000.00	2,099.92		—		—	—	—	0.0240	MJSD	1,991.11	44,800.00	12012016	3/13/5492
345397XT5	FORD MOTOR CREDIT COMPANY LLC			2FE	220,000.00	222,334.19	220,000.00	220,000.00	2,334.19		—		—	—	2.5890	2.5870	MN	3,111.41	3,237.30	10262016	11022023
34530HAC4	FORDO_14-A		4		19,223.08	19,221.13	19,225.94	19,225.39	(4.26	)	7.01		—	—	4.0000	2.2170	MON	6.75	755.80	10182012	9202042
34530KAB9	FORDO_14-B		4	1FE	279,864.03	280,599.10	280,697.36	280,560.70	38.40		892.57		—	—	1.3750	1.1700	MS	112.28	5,442.40	3/24/7518	3312020
34530PAE2	FORDO_14-C		4	1FE	464,895.47	465,187.28	465,000.00	464,949.77	237.51		25.46		—	—	0.9500	1.1760	MN	322.40	7,254.00	4302013	5152018
34532EAE5	FORDO_16B		4	1FE	922,847.71	913,188.05	923,000.00	922,874.43	(9,686.38	)	26.72		—	—	3.5000	3.0560	AO	623.54	8,924.43	10132016	4192026
345838AE6	FOREST LABORATORIES INC.			2FE	1,237,731.84	1,207,174.29	1,128,000.00	1,199,633.43	7,540.86		(16,005.29	)	—	—	3.6960	2.6410	MON	20,774.00	54,990.00	10122016	8102048
BRT5WS9J1	FORTERRA FINANCE LLC		2	4FE	1,311,570.53	1,331,342.94	1,318,161.33	1,311,720.31	19,622.63		149.78		—	—	5.5000	5.2980	MON	—	3,418.46	7182003	6252033
BRSL40CC0	FORTIUS RE LTD	D			1,000,000.00	1,000,000.00	1,000,000.00	1,000,000.00	—		—		—	—	2.1230	2.1210	MN	197.43	69,728.05	4152015	11152020
34959JAB4	FORTIVE CORP		1	2FE	1,999,540.00	1,967,859.96	2,000,000.00	1,999,583.35	(31,723.39	)	43.35		—	—	—	—	MJSD	2,088.89	22,847.23	11032016	12062023
34960YAJ1	FORTRESS CREDIT OPPORTUNITIES		4		1,000,000.00	993,893.30	1,000,000.00	1,000,000.00	(6,106.70	)	—		—	—	2.0500	2.0950	MS	2,306.41	—	3082016	3152019
354613AH4	FRANKLIN RESOURCES INC			1FE	397,820.00	400,396.05	400,000.00	399,682.84	713.21		1,316.49		—	—	3.0000	3.0090	MN	1,619.44	20,917.19	10252016	11152023
30291WAN4	FREMF		4	1	2,163,906.25	2,092,935.40	2,000,000.00	2,129,516.64	(36,581.24	)	(18,184.40	)	—	—	2.2000	2.2410	MN	7,265.43	88,598.89	5022014	5152019
30290FAE2	FREMF_12-K707		4	1	1,039,335.94	1,027,520.80	1,000,000.00	1,017,824.18	9,696.62		(9,884.85	)	—	—	2.3500	2.7520	JD	3,236.04	39,512.61	7272015	12012022
30291YAJ9	FREMF_14-K716		4	1	3,159,492.19	3,102,013.50	3,000,000.00	3,114,699.09	(12,685.59	)	(24,948.75	)	—	—	1.1250	1.1660	AUG	9,879.83	120,555.21	9262016	8162022
31679NAE4	FSSLF_15-1A		4		242,607.08	244,262.83	250,000.00	244,392.23	(129.40	)	933.35		—	—	3.0000	2.0360	MON	2,253.67	10,973.37	9212015	6012030
31679NAA2	FSSLF_15-1A		4	1FE	3,985,600.00	3,954,807.60	4,000,000.00	3,990,158.26	(35,350.66	)	2,272.10		—	—	3.2210	3.5850	MON	21,864.31	104,407.18	8102007	6252035
302644EL9	FSU FINL ASSISTANCE INC FLA			1FE	920,061.00	908,136.00	900,000.00	905,104.55	3,031.45		(6,724.32	)	—	—	1.2000	1.2360	MN	6,390.00	25,560.00	5142014	5192017
359900XB8	FULTON CNTY GA DEV AUTH REV		4	1FE	1,398,065.35	1,338,041.10	1,265,000.00	1,341,745.46	(3,704.36	)	(55,828.26	)	—	—	1.2260	1.1650	MON	11,576.86	90,052.40	8152013	12252040
36319QAA0	GALAXY CLO LTD GALXY_15-19A		4	1FE	4,992,450.00	4,998,541.00	5,000,000.00	4,994,971.19	3,569.81		1,319.39		—	—	4.0000	2.8680	MON	23,304.56	107,318.06	6082015	6012045
363543AA7	GALILEI RE LTD	D			250,000.00	250,562.50	250,000.00	250,000.00	562.50		—		—	—	3.0000	2.1440	MON	—	—	6232016	6202046
363543AH2	GALILEI RE LTD	D			250,000.00	250,000.00	250,000.00	250,000.00	—		—		—	—	4.2500	1.6000	FA	—	—	10/20/8065	1/9/7792
363543AD1	GALILEI RE LTD	D			250,000.00	250,432.50	250,000.00	250,000.00	432.50		—		—	—	3.0000	1.6850	MON	—	—	8072012	8012027
363543AG4	GALILEI RE LTD	D			250,000.00	250,000.00	250,000.00	250,000.00	—		—		—	—	4.0000	2.0920	MON	—	—	12172015	11/18/4670
363543AK5	GALILEI RE LTD	D			250,000.00	250,000.00	250,000.00	250,000.00	—		—		—	—	2.5500	2.5720	AO	—	—	10222015	10292020
363543AJ8	GALILEI RE LTD	D			250,000.00	250,000.00	250,000.00	250,000.00	—		—		—	—	3.8500	1.8820	JD	—	—	4052016	6152021
363543AB5	GALILEI RE LTD	D			250,000.00	250,475.00	250,000.00	250,000.00	475.00		—		—	—	2.2000	1.8670	AO	—	—	9/24/5026	4252019

363543AC3	GALILEI RE LTD	D			250,000.00	250,445.00	250,000.00	250,000.00	445.00		—		—	—		—	0.1440	MJSD	—	—		4172014	4262021
363543AF6	GALILEI RE LTD	D			250,000.00	250,000.00	250,000.00	250,000.00	—		—		—	—		—	—	MJSD	—	—		5292015	5212021
363543AE9	GALILEI RE LTD	D			250,000.00	250,457.50	250,000.00	250,000.00	457.50		—		—	—		5.1400	4.7780	JAJO	—	—		4012015	4092018
36354TAB8	GALILEO RE LTD	D			1,200,000.00	1,235,712.00	1,200,000.00	1,200,000.00	35,712.00		—		—	—		1.3650	1.3650	MS	38,805.58	327,873.50		6/4/8038	3022018
36354TAE2	GALILEO RE LTD	D			500,000.00	509,765.00	500,000.00	500,000.00	9,765.00		—		—	—		—	0.0710	MJSD	7,972.22	25,527.99		5252016	6072023
36354TAC6	GALILEO RE LTD	D			600,000.00	624,126.00	600,000.00	600,000.00	24,126.00		—		—	—		7.0000	7.2630	JAJO	18,450.00	58,583.60		1/2/5191	6/18/4862
36354TAD4	GALILEO RE LTD	D			500,000.00	516,760.00	500,000.00	500,000.00	16,760.00		—		—	—		9.5650	9.5460	JAJO	10,250.00	32,694.68		11102015	12062019
BRSWRS7S1	GALLERIA CO			3FE	1,660,808.46	1,674,023.15	1,669,154.23	1,661,899.21	12,123.94		1,090.75		—	—		1.9500	1.9970	MN	—	59,901.40		10272016	11012021
36319GAC8	GALXY_18A	D	4	1FE	483,750.00	494,705.10	500,000.00	484,908.29	9,796.81		1,158.29		—	—		5.0000	5.2260	MON	4,095.56	5,610.88		12142007	12012019
BRSL7EJM8	GARDA WORLD SEC	A	4	4FE	523,176.08	529,560.58	529,560.58	523,805.89	5,754.69		642.93		—	—		4.0000	2.7280	MON	—	8,286.18		3092010	6202037
C3602DAH7	GARDA WORLD SEC			3FE	2,407,419.34	2,431,494.44	2,431,494.44	2,409,862.25	21,632.19		2,504.05		—	—		2.3500	1.9680	FA	—	40,581.71		6282016	8172018
36655QAC8	GARR_15-1A	D	4	1FE	495,800.00	500,287.20	500,000.00	496,470.68	3,816.52		555.83		—	—		3.5000	2.1990	JJ	1,762.70	15,898.14		8222016	7152022
BRSU1MK36	GARRETSON RESOLUTION GROUP INC				6,197,150.74	6,150,672.11	6,197,150.74	6,197,150.74	(46,478.63	)	—		—	—		2.6000	2.1190	MS	—	480,154.24		8162016	9142020
BRSNN37V3	GATES GLOBAL LLC		4	4FE	3,948,209.79	3,944,545.96	3,945,161.41	3,940,597.78	3,948.18		1,800.79		—	—		1.8500	1.8730	FA	—	171,587.49		8102016	8192021
380881CP5	GCCT_15-2A	A	4	1FE	1,499,754.15	1,490,103.45	1,500,000.00	1,499,834.53	(9,731.08	)	47.61		—	—		—	0.0370	MJSD	1,346.67	30,300.00		3282016	6202022
87165LAP6	GE CAPITAL CREDIT CARD MASTER		4	1FE	1,099,851.83	1,100,583.01	1,100,000.00	1,099,869.35	713.66		18.15		—	—		3.8000	3.7500	MS	850.67	27,066.66		11292016	9152022
87165LAT8	GE CAPITAL CREDIT CARD MASTER		4	1FE	1,799,983.44	1,807,254.00	1,800,000.00	1,799,988.11	7,265.89		2.21		—	—		1.0400	1.1740	MON	1,904.00	42,840.00		3162015	4/20/7956
36164QMS4	GE CAPITAL INTERNATIONAL FUNDI	D		1FE	1,229,150.58	1,222,531.16	1,224,000.00	1,228,618.01	(6,086.85	)	(532.57	)	—	—		1.2590	1.2590	MN	3,662.89	10,112.76		9292015	11012017
G3R03C2M9	GE CAPITAL UK FUNDING			1FE	2,088,625.61	1,966,709.46	1,460,000.00	2,070,023.22	(7,130.36	)	(18,602.39	)	—	(96,183.40	)	1.5000	1.5880	MS	33,300.77	(12,448.29	)	8302016	9062019
U36964MA6	GE CAPITAL UK FUNDING			1FE	1,630,444.38	1,351,708.54	1,000,000.00	1,571,033.57	13,907.03		(51,302.75	)	—	(233,232.05	)	3.0420	2.3950	MON	33,819.56	63,430.52		3282014	4102047
BRSP6WS08	GEMINI HDPE LLC		4	3FE	906,180.57	919,082.99	910,734.29	907,726.96	11,356.03		692.04		—	—		5.8600	5.8600	MN	—	44,381.38		6102009	11012020
36159JDH1	GEMNT_12-6		4	1FE	6,309,105.47	6,303,514.14	6,300,000.00	6,305,677.46	(2,163.32	)	(5,658.50	)	—	—		1.6910	1.6910	AO	3,808.00	49,640.00		10262016	10302019
369550AV0	GENERAL DYNAMICS CORP			1FE	1,410,357.88	1,409,721.84	1,413,000.00	1,412,594.26	(2,872.42	)	4,470.71		—	—		3.1010	1.8360	MON	1,805.50	52,546.67		4272016	12152047
369550AW8	GENERAL DYNAMICS CORP		1	1FE	2,989,411.60	2,855,918.00	3,010,000.00	2,990,475.57	(134,557.57	)	1,063.97		—	—		1.7300	1.7800	MON	21,791.14	—		9232014	3/1/7874
36962G7F5	GENERAL ELECTRIC CAPITAL CORP			1FE	5,000,000.00	5,031,185.00	5,000,000.00	5,000,000.00	31,185.00		—		—	—		2.0500	1.4980	AO	15,263.57	54,466.44		6202016	4012019
36962G6P4	GENERAL ELECTRIC CAPITAL CORP			1FE	1,016,150.00	1,007,139.89	1,000,000.00	1,011,601.78	(4,461.89	)	(3,815.26	)	—	—		1.1100	1.1150	MON	1,166.67	21,000.00		9092016	3152019
36962G4D3	GENERAL ELECTRIC CO			1FE	75,265.20	79,529.77	72,000.00	73,043.54	6,486.23		(364.51	)	—	—		2.7710	3.0620	MON	1,728.00	4,320.00		8102007	4012037
36962G2T0	GENERAL ELECTRIC CO			1FE	1,138,210.00	1,104,759.90	1,000,000.00	1,107,281.76	(2,521.86	)	(30,596.65	)	—	—		3.0000	2.9680	MON	8,787.50	55,500.00		12152015	7012043
36962G5J9	GENERAL ELECTRIC CO			1FE	406,000.64	392,221.21	358,000.00	393,939.96	(1,718.75	)	(7,002.26	)	—	—		1.4200	1.4300	MON	3,421.88	16,647.00		7122016	1/7/5191
37045XAW6	GENERAL MOTORS FINANCIAL CO IN		1	2FE	1,930,360.00	1,972,500.00	2,000,000.00	1,941,426.25	31,073.75		9,837.98		—	—		2.5290	2.5290	AO	15,525.00	69,000.00		10082014	10152020
37045XAV8	GENERAL MOTORS FINANCIAL CO IN				3,347,119.00	3,354,187.50	3,350,000.00	3,348,753.66	5,433.84		955.06		—	—		6.0000	5.2570	MON	18,090.00	80,400.00		10/29/7490	9012037
37045XBB1	GENERAL MOTORS FINANCIAL CO IN			2FE	5,131,530.90	5,181,300.00	5,130,000.00	5,130,881.42	50,418.58		(400.81	)	—	—		0.8540	0.8510	MON	73,330.49	120,156.00		7222011	10152020
37331NAF8	GEORGIA-PACIFIC LLC		1	2FE	7,000,000.00	7,056,070.21	7,000,000.00	7,000,000.00	56,070.21		—		—	—		1.6200	1.6200	JD	22,709.95	177,730.00		6172016	6142021
BRT5DJJU6	GFL ENVIRONMENTAL INC	A		3FE	486,851.17	489,603.47	489,297.66	486,935.46	2,668.01		93.21		—	—		—	0.2280	MJSD	—	4,542.92		6182014	4/21/7956

G4097TAB1	GFUND_16-2				552,769.18	476,191.56	383,547.86	552,769.18	2,260.65		—		—	(78,838.27	)	7.5300	7.8920	MON	1,076.23	4,168.79		10112013	4162052
375558AV5	GILEAD SCIENCES INC			1FE	2,362,410.45	2,331,463.50	2,325,000.00	2,353,244.04	(21,780.54	)	(12,708.42	)	—	—		1.1250	0.9230	JJ	11,915.63	37,371.21		3182016	2/12/5054
375558BE2	GILEAD SCIENCES INC			1FE	250,121.50	250,827.48	250,000.00	250,068.86	758.62		(221.08	)	—	—		2.8750	2.8980	AO	1,503.13	46,216.60		3132015	10012021
375558BL6	GILEAD SCIENCES INC		1	1FE	530,613.95	525,625.25	545,000.00	530,787.37	(5,162.12	)	173.42		—	—		0.8500	1.0940	FA	3,822.57	(2,125.00	)	7302012	8022017
375558AY9	GILEAD SCIENCES INC			1FE	1,000,246.00	1,004,820.02	1,000,000.00	1,000,844.80	3,975.22		249.12		—	—		2.8750	1.3200	NOV	9,791.67	14,100.00		11092016	11242020
375558BB8	GILEAD SCIENCES INC			1FE	598,560.00	605,652.00	600,000.00	598,914.84	6,737.16		979.60		—	—		—	—	MJSD	5,100.00	82,882.08		12312015	12092020
375558BH5	GILEAD SCIENCES INC		1	1FE	1,701,061.45	1,645,989.96	1,705,000.00	1,701,252.47	(55,262.51	)	191.02		—	—		6.5000	6.3140	MON	9,327.77	—		10032007	11/9/8065
38137FAE2	GLD11_2015-11A	D	4		2,500,000.00	2,486,120.25	2,500,000.00	2,500,000.00	(13,879.75	)	—		—	—		1.6700	1.6740	MON	7,729.47	—		9132016	9102018
BRT5WL6Q3	GLDR_16-UKA	B	4		956,139.25	965,409.37	781,000.00	956,139.25	366.72		—		—	8,903.40		1.3400	1.3410	MON	229.99	1,024.43		7182016	4152022
BRSQQJLY6	GLOBAL CASH ACCESS			4FE	2,171,933.54	2,130,589.61	2,205,008.65	2,182,652.00	(52,062.39	)	6,956.11		—	—		2.5000	2.5590	MN	—	142,017.53		5042015	5112020
37952UAB9	GLOBAL SC FINANCE SRL SEACO_13	D	4	1FE	301,427.08	306,190.07	316,666.67	302,492.52	3,697.55		2,268.56		—	—		5.0000	4.1740	MON	366.98	4,596.24		4232010	9152033
3837H1U41	GNMA		4	1	131,783.22	131,621.64	115,283.30	129,665.10	1,956.54		(3,933.63	)	—	—		3.1830	2.8350	MON	624.45	8,207.08		4/11/5355	3/17/7655
36179RD63	GNMA		4	1	1,660,798.95	1,664,563.46	1,641,942.29	1,660,411.54	4,151.92		(4,265.35	)	—	—		3.2760	2.9160	MON	4,104.85	55,612.46		3312016	5102049
36210B4R3	GNMA		4	1	110,461.32	111,154.27	105,704.60	108,831.69	2,322.58		(1,621.06	)	—	—		1.3900	1.3940	MON	440.44	6,544.30		5242016	4152020
36297DFF9	GNMA		4	1	457,080.36	454,645.38	432,355.04	449,042.57	5,602.81		(8,491.75	)	—	—		2.8680	2.8770	JAJO	1,801.48	25,248.14		10062016	10302027
36241KEC8	GNMA		4	1	1,255,398.87	1,402,577.46	1,215,882.65	1,252,354.76	150,222.70		(7,716.36	)	—	—		2.7460	2.7540	JAJO	6,586.03	87,055.17		11162016	3/4/5273
36296XLY8	GNMA		4	1	249,796.77	253,448.12	241,022.07	246,740.90	6,707.22		(1,441.25	)	—	—		0.7500	0.7320	AO	1,004.26	12,827.54		5112016	4302018
38376JDT8	GNMA		4	1	230,536.03	225,804.14	221,318.13	227,131.35	(1,327.21	)	(7,543.59	)	—	—		0.8750	0.9980	JJ	645.51	10,879.10		6052015	3/6/5492
36297JJ54	GNMA		4	1	429,172.21	426,885.89	405,956.54	420,843.38	6,042.51		(8,382.78	)	—	—		4.0000	2.6120	MON	1,691.49	25,556.64		11182009	7202037
38375XRK2	GNMA		4	1	1,014,796.12	969,251.41	905,890.02	1,002,504.90	(33,253.49	)	(39,593.19	)	—	—		3.0000	2.4720	MON	4,340.72	60,968.73		8102010	5202039
36225C6Y7	GNMA		4	1	4,837,334.10	4,866,374.76	4,719,350.34	4,826,027.26	40,347.50		(17,540.34	)	—	—		1.6500	1.8550	MS	8,357.18	97,106.06		10122016	9272019
36210B4Q5	GNMA		4	1	45,761.50	45,517.71	43,286.07	45,017.22	500.49		(1,012.67	)	—	—		0.9870	0.2210	MJSD	180.36	2,619.51		6132014	6202018
36225DJA3	GNMA		4	1	382,747.57	392,951.50	381,674.17	382,577.33	10,374.17		(274.48	)	—	—		1.1250	1.1600	MN	636.12	8,740.21		5182016	5252018
36296TPY3	GNMA		4	1	143,571.58	142,308.85	135,976.05	140,977.11	1,331.74		(1,673.43	)	—	—		4.0900	1.1850	MS	623.22	8,422.14		4072015	3012018
36202EVH9	GNMA		4	1	43,290.92	42,583.20	39,076.50	43,251.65	(668.45	)	(1,669.58	)	—	—		5.0000	1.7410	JD	195.38	2,870.35		6/5/8038	6012026
38374B4M2	GNMA		4	1	834,768.04	832,647.78	757,970.48	829,369.06	3,278.72		(18,166.28	)	—	—		1.7580	1.7580	MS	3,158.21	41,402.10		9102014	9012018
38375JCJ2	GNMA		4	1	898,796.42	870,582.48	835,483.48	866,336.90	4,245.58		(66,133.23	)	—	—		5.0000	2.9400	JD	3,693.53	72,251.37		9172013	6012028
38378FWR7	GNMA		4	1	2,014,294.58	2,071,872.11	2,090,558.15	2,029,495.00	42,377.11		33,933.18		—	—		6.5000	4.8800	JJ	3,048.73	45,580.29		10292008	7152019
36210B4N2	GNMA		4	1	102,201.90	103,740.37	98,745.78	100,870.28	2,870.09		(919.23	)	—	—		2.7720	2.7720	JD	370.30	4,957.68		6282012	6152017
36179RJE0	GNMA		4	1	327,013.29	321,396.08	308,913.00	326,849.11	(5,453.03	)	(3,898.75	)	—	—		4.0000	3.0490	MON	900.99	6,268.71		8122014	4012044
36179SB97	GNMA		4	1	6,725,870.43	6,658,782.86	6,264,818.91	6,721,106.44	(62,323.58	)	(58,891.47	)	—	—		3.5000	2.7130	MON	20,882.73	119,771.68		3312016	3012042
3620A2KC9	GNMA		4	1	294,206.13	292,638.83	278,291.34	289,240.24	3,398.59		(11,224.86	)	—	—		2.8440	2.9650	MON	1,159.55	21,664.73		4022007	11012034
3620ASPY9	GNMA		4	1	1,844,243.00	1,829,119.14	1,716,822.54	1,837,957.20	(8,838.06	)	(41,017.54	)	—	—		3.5000	2.9320	MON	5,722.74	81,170.17		7142010	2/23/5054
36296XHH0	GNMA		4	1	53,443.58	52,933.47	50,552.60	52,540.15	393.32		(455.67	)	—	—		5.0000	5.2450	MON	210.64	2,694.73		12142007	6012018

36297KZF1	GNMA	4	1	217,924.74	221,043.55	210,206.23	215,376.99	5,666.56		(1,837.95	)	—	—	3.0000	2.1940	MON	875.86	11,799.00	11122015	7012030
38377GYS2	GNMA	4	1	946,176.19	948,168.40	921,247.25	940,200.72	7,967.68		(15,203.77	)	—	—	5.0000	5.2480	MON	2,303.12	35,715.34	12142007	4012018
36296XWP5	GNMA	4	1	759,182.26	770,744.19	732,956.17	750,950.73	19,793.46		(8,964.66	)	—	—	2.7330	2.6550	MON	3,053.98	42,506.44	6302007	10012034
36296UC73	GNMA	4	1	128,070.10	128,835.00	122,518.48	126,221.99	2,613.01		(970.32	)	—	—	2.6490	3.6080	MON	510.49	6,547.40	3162006	8012035
36296DR67	GNMA	4	1	13,788.45	13,754.41	13,135.76	13,502.21	252.20		(180.34	)	—	—	2.8510	2.9570	MON	54.73	763.11	6182007	7012033
36297AKF9	GNMA	4	1	175,101.37	174,168.57	165,629.44	172,158.69	2,009.88		(2,838.54	)	—	—	2.8560	1.3360	MON	690.12	9,394.38	8/16/7764	10012036
36210BZH1	GNMA	4	1	273,882.02	272,423.01	259,066.66	269,425.62	2,997.39		(3,116.54	)	—	—	5.5000	3.5810	MON	1,079.44	14,156.18	10212009	8012022
36179RNY1	GNMA	4	1	2,045,677.07	2,040,452.12	1,899,917.74	2,043,521.27	(3,069.15	)	(90,587.07	)	—	—	5.0000	3.6050	MON	7,124.69	113,756.26	9292009	6012023
36179RJD2	GNMA	4	1	546,012.84	532,805.77	525,565.02	545,822.51	(13,016.74	)	(2,712.36	)	—	—	3.0000	2.5800	MON	1,313.91	8,800.83	4272016	5012046
36241KKB3	GNMA	4	1	1,425,582.22	1,582,206.00	1,371,576.40	1,417,522.50	164,683.50		(11,557.90	)	—	—	5.0000	1.7070	MON	7,429.37	99,042.84	3/5/8093	5012021
36179RVB2	GNMA	4	1	1,692,157.66	1,684,724.63	1,619,289.62	1,691,263.20	(6,538.57	)	(17,832.85	)	—	—	5.5000	5.5000	JD	4,722.93	56,179.24	9032014	12012018
3620A5FJ3	GNMA	4	1	379,231.73	373,453.42	355,304.20	372,986.89	466.53		(3,498.30	)	—	—	5.1250	2.0740	DEC	1,332.39	16,997.95	12212016	12122018
38376TFQ0	GNMA	4	1	77,450.23	75,181.13	74,764.68	75,146.63	34.50		(8,533.26	)	—	—	4.7500	2.0570	MN	249.22	10,528.85	5182016	5052021
36225DAS3	GNMA	4	1	164,986.36	172,116.54	165,789.40	165,056.86	7,059.68		132.58		—	—	2.0000	2.0290	MN	293.59	3,443.59	11092015	11162018
36210BZJ7	GNMA	4	1	142,069.09	141,312.27	134,384.02	139,515.29	1,796.98		(2,904.97	)	—	—	1.9000	1.9090	JD	559.93	8,540.70	6242015	6152018
36225EWE8	GNMA	4	1	177,628.23	183,105.83	173,932.16	177,176.65	5,929.18		(555.82	)	—	—	1.5500	1.5210	JD	289.89	3,896.00	7152015	6092017
36225CD29	GNMA	4	1	216,455.51	220,783.63	214,246.08	215,862.16	4,921.47		(393.45	)	—	—	1.8500	1.8330	MS	357.08	4,619.07	9102015	9042018
38375PXQ9	GNMA	4	1	484,571.45	486,878.40	482,811.82	484,435.82	2,442.58		(666.82	)	—	—	2.5000	2.9330	MS	197.53	6,041.74	11292016	9012023
38378NEK5	GNMA	4	1	1,586,269.09	1,605,411.00	1,602,288.78	1,587,222.09	18,188.91		1,564.54		—	—	2.6250	2.6830	JD	10,054.36	46,754.76	5282015	6012022
3620A6DZ7	GNMA	4	1	470,760.57	471,317.75	448,210.00	462,984.61	8,333.14		(8,089.53	)	—	—	2.5000	1.8480	MS	1,867.54	26,933.51	5042016	3152020
36295TVQ4	GNMA	4	1	16,853.24	18,704.25	16,161.35	16,802.55	1,901.70		(170.83	)	—	—	2.3000	2.3290	MN	87.54	1,119.93	11042014	11152019
36295P4L3	GNMA	4	1	130,269.35	130,550.27	124,678.31	128,260.56	2,289.71		(984.66	)	—	—	2.4000	2.4360	MS	519.50	6,678.29	6/3/8038	3012019
36296E5H5	GNMA	4	1	99,508.39	99,782.68	95,294.60	98,051.72	1,730.96		(1,035.88	)	—	—	1.4000	1.4460	MN	397.06	5,390.70	5132015	5182018
36179SEH6	GNMA	4	1	9,970,109.15	9,794,285.39	9,410,271.50	9,964,792.43	(170,507.04	)	(40,400.95	)	—	—	4.6250	4.6230	MS	27,446.63	152,614.37	10242016	12312049
36179SEG8	GNMA	4	1	2,261,167.79	2,206,972.33	2,176,979.90	2,260,703.06	(53,730.73	)	(5,222.15	)	—	—	1.5000	1.4550	FA	5,442.45	28,800.77	7202015	9/18/7408
36225BPY8	GNMA	4	1	142,547.96	150,844.28	129,148.75	139,877.12	10,967.16		(2,063.24	)	—	—	1.4500	1.4970	JJ	860.99	11,118.34	1/27/4835	12/23/4971
38377KKN9	GNMA	4	1	814,619.02	798,485.49	778,310.82	801,321.08	(2,835.59	)	(21,587.04	)	—	—	1.2000	1.2270	JD	2,270.07	34,298.92	12092015	12142017
38376P6D7	GNMA	4	1	498,324.02	488,919.03	469,541.16	490,321.88	(1,402.85	)	(19,903.43	)	—	—	2.0000	1.5870	AO	1,662.96	26,698.20	7142015	10202017
36295QJE1	GNMA	4	1	143,969.39	143,646.15	137,185.16	141,255.39	2,390.76		(2,391.85	)	—	—	2.0000	2.0230	AO	571.60	8,111.62	3102015	4012018
36225DJZ8	GNMA	4	1	421,683.61	436,891.60	420,501.00	421,507.37	15,384.23		(211.77	)	—	—	3.5500	3.5780	AO	700.83	9,129.65	3102015	4012025
3620ADCM2	GNMA	4	1	2,881,329.77	2,873,514.73	2,735,169.16	2,835,692.63	37,822.10		(31,608.95	)	—	—	—	0.0770	MJSD	10,256.89	135,142.66	7082016	4232020
36292DWW8	GNMA	4	1	54,814.81	60,835.12	52,564.40	54,560.58	6,274.54		(821.77	)	—	—	—	0.0740	MJSD	284.72	4,399.29	11142014	6042021
38377JEA7	GNMA	4	1	109,915.65	108,162.56	106,860.14	107,709.62	452.94		(3,030.17	)	—	—	—	—	MJSD	267.15	5,596.44	12192016	3302021
36241KEH7	GNMA	4	1	584,183.79	614,682.07	565,025.90	581,703.92	32,978.15		(6,221.12	)	—	—	—	0.1610	MJSD	2,118.85	30,846.68	12062016	5122022

38376WSP1	GNMA	4	1	80,066.22	80,053.83	79,544.22	79,881.21	172.62		(295.78	)	—	—	—	0.1120	MJSD	30.60	1,033.24	11052015	7082022
3620A6AC1	GNMA	4	1	335,674.67	362,093.25	329,901.40	334,959.48	27,133.77		(1,133.41	)	—	—	—	—	MJSD	1,237.13	16,350.55	3232016	7312019
36179Q6P1	GNMA	4	1	1,579,177.19	1,562,196.69	1,501,520.69	1,577,811.84	(15,615.15	)	(28,880.45	)	—	—	—	—	MJSD	4,379.43	64,052.21	7192016	11032022
38376FNL2	GNMA	4	1	272,074.10	266,689.07	257,524.00	266,466.77	222.30		(12,718.75	)	—	—	—	0.1420	MJSD	965.72	16,584.12	3042016	3092023
36179MK82	GNMA	4	1	98,714.85	95,874.83	89,855.65	98,235.27	(2,360.44	)	(2,432.37	)	—	—	—	—	MJSD	299.52	4,109.40	0	6302024
36179MEL0	GNMA	4	1	2,238,559.72	2,183,283.57	2,112,783.10	2,215,598.74	(32,315.17	)	(34,401.36	)	—	—	—	0.1660	MJSD	5,281.96	72,575.72	6212016	7282022
36202E4Z9	GNMA	4	1	67,366.36	65,522.03	62,807.21	67,319.17	(1,797.14	)	(2,215.54	)	—	—	—	0.0710	MJSD	235.53	4,054.39	9302016	7012023
36204J4C7	GNMA	4	1	112,134.06	116,769.41	105,537.94	109,212.56	7,556.85		(1,673.48	)	—	—	—	0.1420	MJSD	571.66	7,731.40	11292016	12012023
36297A3K7	GNMA	4	1	102,250.67	102,969.10	97,920.73	100,996.93	1,972.17		(3,674.99	)	—	—	4.8750	0.5220	JJ	408.00	7,397.19	12212016	6/30/5081
36295KAT0	GNMA	4	1	39,650.45	44,005.26	38,022.61	39,502.16	4,503.10		(846.02	)	—	—	7.7500	1.0140	JUN	205.96	3,093.02	12212016	6242019
36296URS1	GNMA	4	1	185,268.37	184,281.40	175,246.46	181,784.97	2,496.43		(1,736.66	)	—	—	20.0700	20.5400	MJSD	730.19	9,410.01	6102016	6212019
36205BKY7	GNMA	4	1	166,763.59	173,657.17	156,953.94	162,435.23	11,221.94		(1,439.32	)	—	—	—	14.2290	JAJO	850.17	10,853.27	12212016	6/20/4862
36202KME2	GNMA	4	1	215,749.10	216,426.32	212,757.20	214,593.60	1,832.72		(619.75	)	—	—	1.5160	1.4270	FMAN	376.76	4,499.75	8082016	8152019
36179MNJ5	GNMA	4	1	1,242,209.44	1,208,748.98	1,132,861.71	1,237,037.39	(28,288.41	)	(32,214.07	)	—	—	1.9810	1.9920	MJSD	3,776.21	52,836.84	9072016	9132021
36179RXE4	GNMA	4	1	1,191,730.52	1,188,840.74	1,118,503.50	1,190,917.52	(2,076.78	)	(25,551.90	)	—	—	2.4000	2.4490	JD	3,728.34	42,141.21	11302016	12072021
36211V6Q8	GNMA	4	1	112,279.01	113,067.91	107,524.42	110,640.47	2,427.44		(906.76	)	—	—	7.5700	7.2500	MJSD	448.02	5,818.97	11202015	12062019
36241LHQ2	GNMA	4	1	476,402.28	498,796.60	454,646.70	473,941.90	24,854.70		(8,363.65	)	—	—	1.2500	1.3410	AO	1,894.36	48,241.43	4032013	4102018
36291FS41	GNMA	4	1	965,841.16	946,009.93	934,308.27	965,417.27	(19,407.34	)	(2,586.25	)	—	—	5.4780	5.0450	MJSD	2,335.77	22,533.51	11142014	12072017
36290SJB8	GNMA	4	1	486,400.84	508,207.61	464,188.69	482,983.36	25,224.25		(12,222.47	)	—	—	3.0000	1.7810	MAY	1,934.12	59,561.50	5312016	5092019
38377MSG2	GNMA	4	1	661,045.20	660,746.30	647,119.20	657,489.45	3,256.85		(8,910.60	)	—	—	5.0000	5.4060	MON	1,617.80	25,666.34	3092006	11252018
36241KGU6	GNMA	4	1	61,897.90	66,528.84	60,572.85	61,722.72	4,806.12		(281.55	)	—	—	3.5000	2.8540	MON	252.39	3,387.57	10082014	9202044
36225EVZ2	GNMA	4	1	1,136,145.54	1,155,695.74	1,122,119.04	1,135,136.51	20,559.23		(679.75	)	—	—	1.1710	1.1720	JAJO	1,870.20	24,449.86	5202016	4172063
36241LN36	GNMA	4	1	464,706.70	483,852.17	429,166.34	460,702.46	23,149.71		(7,064.01	)	—	—	2.8700	2.2770	MON	1,967.01	25,881.31	6/4/8038	3/17/7655
36296UUL2	GNMA	4	1	174,239.27	176,786.19	168,118.72	172,079.59	4,706.60		(990.63	)	—	—	3.3500	2.9940	MON	700.49	8,970.20	3112015	3/17/7655
36295PZJ4	GNMA	4	1	48,789.83	48,924.30	46,723.76	47,993.92	930.38		(554.29	)	—	—	3.5010	3.5270	MON	194.68	2,603.76	11212014	1/31/5191
36297G2R0	GNMA	4	1	586,667.27	583,541.96	554,932.08	576,057.96	7,484.00		(9,937.75	)	—	—	2.9170	1.7860	MON	2,312.22	30,950.73	4072015	8152047
36179MQN3	GNMA	4	1	1,244,609.14	1,188,980.87	1,169,333.30	1,240,184.43	(51,203.56	)	(16,486.21	)	—	—	2.6320	2.0180	MON	2,923.33	39,517.04	9232015	5152048
36202FZV1	GNMA	4	1	1,926,464.27	1,889,225.27	1,796,760.62	1,900,528.96	(11,303.69	)	(37,286.22	)	—	—	0.8990	4.8730	MON	5,240.55	72,678.40	11132014	5092046
36179RQ36	GNMA	4	1	340,056.38	338,239.77	318,227.96	339,854.20	(1,614.43	)	(7,477.82	)	—	—	1.4800	1.4910	MON	1,060.76	7,745.02	6012015	9152020
36179SCA3	GNMA	4	1	1,507,115.58	1,505,450.86	1,401,764.24	1,506,092.65	(641.79	)	(45,540.95	)	—	—	1.1600	1.1650	MON	5,256.62	32,986.62	8062014	6172019
36201YER3	GNMA	4	1	429,992.50	449,270.30	410,356.30	427,289.34	21,980.96		(5,515.98	)	—	—	1.9200	1.2520	MON	1,709.82	24,199.43	9152014	2/12/5054
36225DLE2	GNMA	4	1	234,946.49	244,680.73	236,053.01	235,043.33	9,637.40		257.35		—	—	1.4000	1.4140	MON	393.42	5,104.29	8192014	8152019
36241KBP2	GNMA	4	1	514,681.74	574,445.00	498,481.11	513,347.72	61,097.28		(4,606.44	)	—	—	1.9740	3.3540	MON	2,700.11	58,763.90	9102009	11/17/4670
38376EX34	GNMA	4	1	100,735.74	97,935.19	97,105.92	97,734.95	200.24		(8,981.61	)	—	—	1.4600	1.4700	MON	323.69	10,902.07	9092016	12152022

38373MUZ1	GNMA		4	1	1,836,838.23	1,791,576.89	1,749,236.45	1,795,297.04	(3,720.15	)	(26,168.07	)	—	—	2.7400	2.8430	MON	7,728.84	99,741.31	12152016	1/19/7792
36297DTR8	GNMA		4	1	71,290.58	71,791.52	68,271.73	70,115.24	1,676.28		(471.80	)	—	—	4.7310	4.7550	JAJO	284.47	3,626.66	3112015	1/13/5191
36179Q3H2	GNMA		4	1	2,109,992.20	2,081,811.43	2,053,519.93	2,108,989.71	(27,178.28	)	(16,121.18	)	—	—	1.6320	1.7850	JAJO	5,133.80	71,317.99	3272012	4252023
36204SV60	GNMA		4	1	111,892.06	115,428.27	105,310.16	108,956.83	6,471.44		(1,104.20	)	—	—	1.4000	1.4050	MON	570.43	7,393.23	8122014	7222019
38174GAE4	GOCAP_15-24A	D	4	1FE	1,500,000.00	1,492,905.00	1,500,000.00	1,500,000.00	(7,095.00	)	—		—	—	0.1560	1.2060	MON	10,612.57	66,577.77	9102009	11/17/4670
38173XAA6	GOCAP_2014-21A	D	4		4,000,000.00	3,966,455.60	4,000,000.00	4,000,000.00	(33,544.40	)	—		—	—	4.5000	4.5250	MJSD	21,017.89	100,300.51	12112014	12152034
38173QAC7	GOLCP_17	D	4	1FE	244,375.00	246,291.20	250,000.00	245,030.17	1,261.03		655.17		—	—	4.0000	1.9560	MON	1,549.73	3,593.26	12172013	9/26/7408
380956AD4	GOLDCORP INC	A	1	2FE	1,453,995.00	1,476,015.02	1,500,000.00	1,461,831.64	14,183.38		13,339.37		—	—	5.5000	4.3620	MON	16,341.66	173,283.33	7/18/8120	11012022
38148FAB5	GOLDMAN SACHS GROUP INC/THE			1FE	2,183,602.50	2,162,018.47	2,150,000.00	2,179,239.15	(17,220.68	)	(4,363.35	)	—	—	0.8750	1.1990	JJ	10,355.84	10,646.25	4292016	7312019
38145XAA1	GOLDMAN SACHS GROUP INC/THE			1FE	6,807,750.00	6,813,247.23	6,750,000.00	6,778,032.37	35,214.86		(12,995.27	)	—	—	4.7500	0.1710	MS	74,320.32	177,187.50	12302016	3072020
38148BAA6	GOLDMAN SACHS GROUP INC/THE		2	3FE	7,181,300.00	7,175,000.00	7,000,000.00	7,094,629.07	80,370.93		(36,946.76	)	—	—	3.5000	2.9220	MON	56,525.00	399,000.00	12222015	7012043
38143U8F1	GOLDMAN SACHS GROUP INC/THE		2	1FE	1,092,440.60	1,094,588.88	1,090,000.00	1,092,079.63	2,509.25		(360.97	)	—	—	2.5060	2.6730	MON	10,968.13	14,107.47	4022007	3012035
38141GVR2	GOLDMAN SACHS GROUP INC/THE			2FE	707,016.00	725,029.61	712,000.00	707,507.08	17,522.53		411.72		—	—	4.1500	3.4750	AO	5,883.89	30,260.00	6182015	10012020
38148BAB4	GOLDMAN SACHS GROUP INC/THE		2	3FE	1,965,000.00	1,989,562.50	1,965,000.00	1,965,000.00	24,562.50		—		—	—	1.8000	1.8120	MN	14,962.65	190,914.04	5/25/7819	5172019
38145GAG5	GOLDMAN SACHS GROUP INC/THE		1	1FE	2,047,888.50	1,993,297.02	2,050,000.00	2,047,980.24	(54,683.22	)	91.74		—	—	—	0.9740	MJSD	12,579.04	—	7082016	5222018
38148LAC0	GOLDMAN SACHS GROUP INC/THE		2	1FE	1,937,940.00	1,976,159.99	2,000,000.00	1,946,342.03	29,817.96		5,569.46		—	—	—	—	JAJO	30,722.23	70,000.00	0	10282022
38148LAA4	GOLDMAN SACHS GROUP INC/THE		2	1FE	3,370,897.50	3,328,092.59	3,325,000.00	3,362,845.68	(34,753.09	)	(7,069.75	)	—	—	—	0.0710	MJSD	16,329.45	52,250.97	6142016	6302023
38141GVP6	GOLDMAN SACHS GROUP INC/THE		2	1FE	7,794,988.00	7,832,057.62	7,800,000.00	7,796,244.60	35,813.02		858.33		—	—	—	0.0710	MJSD	63,158.33	214,500.00	10212016	11082023
38148LAE6	GOLDMAN SACHS GROUP INC/THE		2	1FE	4,705,071.50	4,690,521.05	4,675,000.00	4,700,793.45	(10,272.40	)	(2,753.44	)	—	—	—	—	MJSD	18,992.19	175,312.50	0	3282019
38141GES9	GOLDMAN SACHS GROUP INC/THE			2FE	6,077,662.50	5,967,150.21	5,250,000.00	5,952,033.63	15,116.58		(54,902.65	)	—	—	13.8600	13.7400	JAJO	144,039.58	312,375.00	5/31/5437	6/17/4862
38141GVT8	GOLDMAN SACHS GROUP INC/THE		2	1FE	54,847.10	54,818.50	55,000.00	54,881.29	(62.79	)	34.19		—	—	1.3900	1.3960	MON	201.67	550.00	10082014	4152020
386442WH6	GRAND RIVER DAM AUTH OKLA			1FE	60,557.00	58,119.00	50,000.00	60,357.55	(2,238.55	)	(199.45	)	—	—	6.7500	1.7990	APR	208.34	111.11	10172016	4062020
BRSNKX0T2	GRAY TELEVISION INC.		4	3FE	1,971,862.12	2,007,292.25	1,989,387.76	1,975,510.91	31,781.34		2,939.59		—	—	2.0000	1.2880	AO	—	72,206.67	3302016	10242018
39055TAC2	GRTLK_15-1A	D	4	1FE	450,000.00	442,787.18	450,000.00	450,000.00	(7,212.82	)	—		—	—	—	6.2290	JAJO	3,401.00	15,009.98	12212016	6/20/4862
40053RAA0	GRX_15-1A		4		1,903,706.47	1,813,721.12	1,903,706.47	1,903,706.47	(89,985.35	)	—		—	—	4.3410	3.5960	MJSD	15,071.01	87,356.46	8112015	8172018
36251FAT3	GS MORTGAGE SECURITIES TRUST G		4		1,735,260.15	1,725,325.06	1,690,000.00	1,721,709.21	3,615.85		(10,431.97	)	—	—	1.7500	1.5250	MON	4,081.35	46,883.20	8/17/7764	11202042
36248GAB6	GS MORTGAGE SECURITIES TRUST G		4		5,454,217.19	5,328,453.33	5,220,000.00	5,301,539.82	26,913.51		(99,053.13	)	—	—	3.2650	3.4420	MON	13,193.55	158,322.60	9172008	10012034
36250GAM7	GS MORTGAGE SECURITIES TRUST G		4		2,789,181.05	2,763,151.18	2,720,575.00	2,775,306.93	(12,155.75	)	(13,874.12	)	—	—	4.0000	2.7780	MON	6,180.24	51,046.57	3172015	10012044
36191YBB3	GSMS_11-GC5		4		4,733,705.48	4,590,946.54	4,350,000.00	4,706,654.36	(115,707.82	)	(27,051.12	)	—	—	3.7500	3.7650	JAJO	13,437.89	34,938.45	10/20/8065	7152023
36192KAR8	GSMS_12-GCJ7		4		180,853.60	177,203.05	176,988.89	177,242.13	(39.08	)	(4,729.21	)	—	—	5.4470	—	MJSD	341.88	9,635.09	3232015	12222017
36192CAF2	GSMS_13-GC10		4		256,488.28	252,337.50	250,000.00	255,836.70	(3,499.20	)	(651.58	)	—	—	3.5000	2.0940	MON	534.17	2,079.71	5112016	8252042
36250GAP0	GSMS_15-GC30		4		3,709,994.08	3,654,499.51	3,602,000.00	3,693,948.04	(39,448.53	)	(10,158.18	)	—	—	3.0000	2.0890	MON	10,151.64	121,819.68	9022015	4012030
36250PAB1	GSMSCII_15-GC32		4	1FE	5,149,852.50	5,132,436.00	5,000,000.00	5,107,082.16	25,353.84		(33,333.68	)	—	—	—	0.0710	MJSD	12,758.33	153,099.96	6022016	6162023
406216BG5	HALLIBURTON COMPANY		1	2FE	1,336,234.60	1,363,972.61	1,340,000.00	1,336,596.22	27,376.39		320.18		—	—	1.6250	1.6680	MS	6,506.44	51,202.89	9292015	3122018

BRSM3XJP1	HARLAND CLARKE HOLDINGS CORP			4FE	543,021.29	543,931.03	545,750.01	544,456.97	(525.94	)	547.89		—	—	1.3500	1.4800		MN	—	36,094.01		9/10/4807	5152018
BRSJ5PGL5	HARLAND CLARKE HOLDINGS CORP		4	4FE	1,103,979.81	1,124,723.57	1,125,074.59	1,109,807.50	14,916.07		14,420.41		—	—	1.9500	1.9760		MN	—	54,342.92		11042013	11152018
BRT2N0U22	HARLAND CLARKE HOLDINGS CORP		2	4FE	1,984,769.22	2,050,757.69	2,046,153.84	1,993,815.40	56,942.29		12,276.94		—	—	6.0000	1.0520		JUN	—	78,619.87		4052016	6072017
BRSYDKXU5	HARLEY-DAVIDSON FINANCIAL			1FE	1,999,760.00	2,008,080.00	2,000,000.00	1,999,839.69	8,240.31		79.69		—	—	5.3020	5.6920		MON	20,750.00	23,375.00		7112008	11162038
41283LAG0	HARLEY-DAVIDSON FINANCIAL			1FE	3,624,565.00	3,632,177.42	3,625,000.00	3,624,709.44	7,467.98		187.14		—	—	4.6200	—		MJSD	37,609.38	65,842.19		5062015	6072019
43814GAC4	HAROT		4	1FE	233,394.33	233,636.30	233,832.77	233,768.10	(131.80	)	531.56		—	—	—	0.2110		MJSD	65.02	4,216.81		12022016	4152022
43813JAD7	HAROT_14-1		4	1FE	1,396,281.25	1,399,720.05	1,400,000.00	1,399,505.57	214.48		1,984.33		—	—	2.0000	2.3190		MN	404.44	16,221.08		11212016	11152026
43814GAD2	HAROT_14-2		4	1FE	500,351.56	499,680.95	500,000.00	500,083.83	(402.88	)	(405.35	)	—	—	1.4000	1.4730		MS	213.06	19,224.21		11282016	9202019
43814QAD0	HAROT_16-2		4	1FE	785,988.13	780,912.16	786,000.00	785,987.76	(5,075.60	)	(0.37	)	—	—	2.0050	3.2870		MON	565.92	6,897.15		3092010	4252044
438124AC3	HAROT_16-3		4	1FE	3,129,564.61	3,110,630.47	3,130,000.00	3,129,625.69	(18,995.22	)	61.08		—	—	5.0000	0.7400		OCT	1,311.12	11,598.40		12212016	10012018
43814RAD8	HAROT_16-4		4	1FE	409,897.87	402,482.26	410,000.00	409,903.22	(7,420.96	)	5.35		—	—	4.3750	4.6410		MN	201.36	820.91		7272007	11012018
413875AP0	HARRIS CORPORATION			2FE	6,494,300.00	6,503,120.00	6,500,000.00	6,497,239.74	5,880.26		2,045.92		—	—	—	—		FMAN	23,099.56	129,935.00		0	5252018
415690MD5	HARRISONBURG VA REDEV & HSG AU		2	1FE	847,484.30	847,475.85	845,000.00	845,000.00	2,475.85		—		—	—	—	(0.0300	)	MJSD	24,645.83	71,225.00		9302016	10/24/5464
44890YAE6	HART		4	1FE	1,204,732.25	1,199,592.25	1,205,000.00	1,204,845.02	(5,252.77	)	68.77		—	—	2.1250	1.8920		JD	792.62	17,834.04		7282015	6302021
44890RAC5	HART_14-A		4	1FE	120,166.04	120,271.91	120,316.43	120,301.03	(29.12	)	252.70		—	—	3.7100	3.7410		MON	42.24	2,956.60		9302015	9252021
44890UAD6	HART_14-B		4	1FE	3,273,351.45	3,268,140.64	3,265,000.00	3,267,696.39	444.25		(2,604.88	)	—	—	1.6000	1.8970		FA	2,118.62	57,669.92		11152016	8192019
44890WAC4	HART_15-A		4	1FE	5,697,144.77	5,694,978.97	5,697,973.83	5,697,690.02	(2,711.05	)	439.03		—	—	2.3500	2.3550		JD	2,659.05	80,432.56		6062016	6152021
44930UAD8	HART_16-A		4	1FE	1,639,681.84	1,638,420.83	1,640,000.00	1,639,762.23	(1,341.40	)	80.39		—	—	3.0000	2.3390		MON	1,137.07	18,122.00		6282016	10/13/7408
BRSZRX6W5	HCA INC		2	3FE	848,406.64	859,569.88	850,532.96	848,644.05	10,925.83		253.49		—	—	1.5000	1.5290		MS	—	25,176.74		9142015	9172018
BRSQTPNS0	HEALTHPLAN HOLDINGS INC				5,642,023.03	5,599,707.86	5,642,023.03	5,642,023.03	(42,315.17	)	—		—	—	2.6250	2.6410		JJ	—	314,377.83		11102014	9/28/5026
429827AF5	HEF_04-1		4	1FE	164,000.00	174,873.84	200,000.00	176,554.60	(1,680.76	)	1,773.77		—	—	2.5000	2.2580		MN	248.73	2,628.01		6292016	5152046
429827AN8	HEF_04-1		4	1FE	164,000.00	175,853.42	200,000.00	176,692.76	(839.34	)	3,096.10		—	—	1.4500	1.3920		MN	4.26	2,924.32		6162016	5102019
429827AQ1	HEF_04-1			1FE	246,000.00	263,885.82	300,000.00	254,215.10	9,670.72		1,342.75		—	—	2.4000	2.1770		MS	357.15	4,476.11		11282016	9052019
429827AB4	HEF_04-1		4	1FE	164,000.00	175,277.16	200,000.00	178,893.37	(3,616.21	)	2,294.61		—	—	1.6000	1.6130		JJ	44.26	3,541.93		7092015	7132018
423012AB9	HEINEKEN N.V.	D		2FE	2,755,658.80	2,780,508.74	2,780,000.00	2,775,366.48	5,142.26		8,484.76		—	—	3.0000	2.7410		MON	9,730.00	87,678.50		3112015	5012043
4252005H1	HENDERSON NEV		2	1FE	2,787,406.00	2,763,571.10	2,410,000.00	2,486,959.89	276,611.21		(132,918.67	)	—	—	1.5500	1.5890		JD	10,041.67	120,500.00		9292015	6282017
427866AV0	HERSHEY COMPANY THE			1FE	999,740.00	1,002,230.07	1,000,000.00	999,856.48	2,373.59		85.78		—	—	6.6250	1.7270		JUN	5,777.78	16,000.00		12102014	6232017
BRT2CVMF6	HERTZ CORPORATION (THE)		2	3FE	1,000,516.64	1,004,815.60	1,003,024.20	1,000,697.01	4,118.59		192.97		—	—	0.7500	1.1430		FA	—	14,889.37		6022014	12/13/8147
42806DAJ8	HERTZ_15-3A		4		2,499,756.75	2,506,512.00	2,500,000.00	2,499,808.95	6,703.05		44.68		—	—	4.0000	2.0630		MON	1,545.83	92,750.04		12112014	10012044
42824CAU3	HEWLETT PACKARD ENTERPRISE CO			2FE	3,521,569.48	3,540,050.00	3,505,000.00	3,521,519.97	18,530.03		(49.51	)	—	—	—	0.0510		MJSD	25,664.39	(25,386.91	)	11182016	12082023
429827AJ7	HIGHER EDUCATION FUNDING HEF_0		4	1FE	164,224.00	175,842.08	200,000.00	176,364.27	(522.19	)	1,728.00		—	—	3.0000	3.3620		MON	295.15	2,797.70		4022007	9012033
429827AE8	HIGHER EDUCATION FUNDING HEF_0		4	1FE	164,000.00	175,277.60	200,000.00	177,171.75	(1,894.15	)	1,866.32		—	—	3.0000	1.9110		MON	235.84	2,928.78		4242012	3012027
429827AK4	HIGHER EDUCATION FUNDING HEF_0		4	1FE	164,196.00	175,842.08	200,000.00	176,025.60	(183.52	)	1,592.37		—	—	1.7500	1.2550		NOV	188.86	3,140.70		5062015	11202017
BRSKM1X29	HILTON WORLDWIDE FINANCE LLC		4	3FE	1,974,691.12	1,999,498.82	1,984,614.21	1,979,187.68	20,311.14		3,705.24		—	—	2.4000	2.2280		AO	—	92,498.10		11102015	10182019

40538FAJ2	HLAF_14-C-1	D	4	1	478,000.00	490,440.80	500,000.00	483,154.27	7,286.53		2,651.41		—	—		5.1400	3.4210	AO	3,720.04	18,246.65	8192014	10142020
437076BL5	HOME DEPOT INC		1	1FE	398,576.00	396,588.02	400,000.00	398,817.83	(2,229.81	)	241.83		—	—		0.8750	0.9320	FA	2,000.00	5,088.88	7292016	8022019
437076BG6	HOME DEPOT INC		1	1FE	1,494,480.00	1,505,160.03	1,500,000.00	1,495,639.61	9,520.42		739.08		—	—		1.8750	1.5430	FA	3,281.26	39,375.00	8252016	3/28/7518
437076BB7	HOME DEPOT INC		1	1FE	307,867.56	303,890.99	300,000.00	304,243.44	(352.45	)	(2,440.07	)	—	—		—	0.0710	MJSD	2,081.26	6,750.00	9272016	9272023
BRSY03M62	HOME FRANCHISE CONCEPTS LLC				5,875,806.60	5,861,117.08	5,875,806.60	5,875,806.60	(14,689.52	)	—		—	—		2.4500	2.4600	MS	—	276,086.66	9032013	9062018
43814QAC2	HONDA AUTO RECEIVABLES OWNER T		4		2,999,941.80	2,992,087.11	3,000,000.00	2,999,942.25	(7,855.14	)	0.45		—	—		1.7500	1.3220	NOV	1,853.33	22,587.50	12102014	11082017
438516BA3	HONEYWELL INTERNATIONAL INC			1FE	1,126,518.60	1,101,192.00	1,020,000.00	1,099,150.82	2,041.18		(17,959.18	)	—	—		0.6250	0.6750	MS	14,450.00	43,350.00	6292016	9302017
438516BJ4	HONEYWELL INTERNATIONAL INC			1FE	3,996,840.00	3,963,959.97	4,000,000.00	3,997,017.52	(33,057.55	)	177.52		—	—		2.1040	1.9790	MON	9,488.89	—	5132014	8152025
438670Q20	HONOLULU HAWAII CITY & CNTY			1FE	1,500,000.00	1,500,225.00	1,500,000.00	1,500,000.00	225.00		—		—	—		3.5000	2.3930	MON	3,147.50	18,885.00	12/9/4752	12202045
BRSPKZWC4	HOPLON II INSURANCE LTD	B			11,608,077.94	9,510,311.59	9,000,000.00	11,602,797.46	10,628.20		(5,280.48	)	—	(2,103,114.07	)	2.3500	2.3840	MN	141,428.80	561,834.21	11172016	11222019
BRST7Y914	HOUGHTON MIFFLIN HARCOURT PUBL		4	4FE	1,144,056.40	1,092,315.17	1,149,805.44	1,145,542.56	(53,227.39	)	1,021.18		—	—		4.6130	1.0000	JD	—	46,926.72	8/27/5382	6012017
4424356L2	HOUSTON TEX		2	1FE	452,780.27	428,699.15	415,000.00	429,986.29	(1,287.14	)	(17,106.23	)	—	—		—	—	FMAN	2,651.39	20,750.00	0	10092019
4424356Y4	HOUSTON TEX		2	1FE	147,289.97	138,130.65	135,000.00	139,875.06	(1,744.41	)	(5,564.68	)	—	—		2.8000	2.8530	JJ	862.50	6,750.00	7182016	7212023
44256PCM3	HOWARD CNTY MD			1FE	1,161,540.00	1,106,450.00	1,000,000.00	1,114,139.50	(7,689.50	)	(35,639.57	)	—	—		5.0000	3.2230	MON	18,888.89	50,000.00	9292009	2/17/5054
44266RAC1	HOWARD HUGHES MEDICAL IN			1FE	1,011,949.50	989,966.51	950,000.00	1,005,093.29	(15,126.78	)	(6,856.21	)	—	—		5.0000	5.2850	MON	11,083.33	19,211.11	8122005	10152024
G463NBBT9	HSBC BANK PLC				3,693,081.00	3,677,419.90	3,700,000.00	3,698,051.43	(20,631.53	)	1,397.90		—	—		3.0000	2.3540	MON	7,091.67	55,500.00	6282016	3012043
40428HPJ5	HSBC BANK USA INC			1FE	938,383.20	949,371.89	940,000.00	939,417.66	9,954.23		325.97		—	—		3.3750	3.6270	FA	6,648.54	24,675.02	12152016	9/22/7408
404280AY5	HSBC HOLDINGS PLC	D		1FE	4,319,593.75	4,318,772.13	4,325,000.00	4,320,203.99	(1,431.86	)	700.67		—	—		1.0000	0.9940	JD	12,758.75	75,077.50	12022015	12152017
G463CFAA4	HSBC HOLDINGS PLC			1FE	1,754,738.27	1,404,843.85	1,100,000.00	1,667,702.99	5,273.39		(43,382.21	)	—	(268,132.53	)	1.6250	1.8940	FA	17,804.79	72,157.48	4272016	1/16/7792
404280AU3	HSBC HOLDINGS PLC	D		1FE	2,975,400.00	3,023,519.68	3,000,000.00	2,978,178.98	45,340.70		2,043.66		—	—		0.8750	0.7340	JD	47,104.16	127,500.00	7052016	6152019
404280BC2	HSBC HOLDINGS PLC	D	2	2FE	210,000.00	221,025.00	210,000.00	210,000.00	11,025.00		—		—	—		3.5000	2.0980	MON	1,203.13	10,621.88	7/6/5300	5012027
404280BH1	HSBC HOLDINGS PLC	D		1FE	369,970.40	372,149.70	370,000.00	369,970.66	2,179.04		0.26		—	—		5.0000	1.3240	MON	1,708.68	—	3072013	8152019
404280AN9	HSBC HOLDINGS PLC	D		1FE	785,947.50	777,877.52	750,000.00	780,103.84	(2,226.32	)	(5,200.75	)	—	—		5.0000	3.7020	MON	7,583.33	30,000.00	3202009	12012021
404280AR0	HSBC HOLDINGS PLC	D	2	2FE	5,585,000.00	5,527,921.30	5,585,000.00	5,585,000.00	(57,078.70	)	—		—	—		3.0500	3.0620	FA	143,115.64	314,156.28	12232015	8012020
404280BG3	HSBC HOLDINGS PLC	D		1FE	4,200,000.00	4,266,780.17	4,200,000.00	4,200,000.00	66,780.17		—		—	—		—	0.0990	MJSD	24,207.67	—	10152015	10222020
404280AP4	HSBC HOLDINGS PLC	D		1FE	1,810,567.50	1,776,600.07	1,750,000.00	1,797,071.20	(20,471.13	)	(25,765.13	)	—	—		3.0390	1.5890	MON	22,105.90	439,019.10	4142015	12102018
40428HPN6	HSBC USA INC			1FE	299,817.00	300,249.02	300,000.00	299,892.67	356.35		36.01		—	—		3.5100	3.5250	JAJO	930.21	7,125.00	10062016	7202022
40428HPK2	HSBC USA INC				1,500,000.00	1,502,047.50	1,500,000.00	1,500,000.00	2,047.50		—		—	—		2.9560	2.9660	JAJO	312.84	56,228.53	12012016	4202026
40428HPR7	HSBC USA INC			1FE	991,760.00	991,740.04	1,000,000.00	993,846.29	(2,106.25	)	2,126.36		—	—		2.6000	2.2320	AO	7,572.22	39,670.94	6082016	4232020
C4426EAH7	HUDSONS BAY CO			4FE	705,393.88	713,812.52	708,938.57	706,022.04	7,790.48		507.56		—	—		1.0000	1.1950	MN	—	8,805.71	12232016	11302018
BRT6KYD05	HUNTSMAN INTL LLC		2	3FE	608,445.41	615,067.68	611,247.38	608,497.53	6,570.15		53.70		—	—		4.0260	3.8510	FMAN	—	1,913.08	5072015	5232018
C4438BAC0	HUSKY INJECTION MOLDING SYS LT			4FE	374,108.20	377,502.60	375,988.12	374,768.66	2,733.94		282.86		—	—		3.0000	2.4530	MON	—	16,263.37	8162016	8012046
BRSSNVRZ9	HVFII_15-1		4		2,999,848.20	3,025,707.00	3,000,000.00	2,999,846.48	25,860.52		(21.00	)	—	—		1.9980	2.2310	FA	1,760.00	105,600.00	8022016	8152026
44421LAA0	HY_16-10HY		4		1,622,133.33	1,517,443.67	1,575,000.00	1,619,624.21	(102,180.54	)	(3,056.34	)	—	—		1.8500	1.7400	JJ	3,720.94	15,803.16	8162012	2/11/5054

44891AAE7	HYUNDAI CAPITAL AMERICA			2FE	6,995,170.00	7,017,514.00	7,000,000.00	6,996,408.15	21,105.85		1,490.67		—	—		3.5000	2.6360	MON	50,069.44	115,833.33		10212015	9012045
44891AAG2	HYUNDAI CAPITAL AMERICA			1FE	2,997,870.00	2,967,459.00	3,000,000.00	2,998,258.06	(30,799.06	)	428.08		—	—		2.7500	2.5680	MN	33,000.00	4,222.22		12042014	11152019
BRSHH3U39	IASIS HELTHCARE CORP		4	4FE	1,991,297.35	1,975,998.87	1,995,454.55	1,991,297.35	(15,298.48	)	—		—	—		3.0000	2.7330	MON	—	—		6162015	5202045
452227FG1	ILLINOIS ST SALES TAX REV			1FE	4,100,000.00	4,105,248.00	4,100,000.00	4,100,000.00	5,248.00		—		—	—		2.4500	2.3950	MS	2,842.67	63,960.00		7082016	9032019
G4721VAY0	IMPERIAL TOBACCO FIN PLC			2FE	705,322.77	543,011.74	400,000.00	667,867.18	11,613.15		(23,518.15	)	—	(136,468.59	)	2.7500	2.4900	JD	2,369.72	37,761.25		6162016	6232020
G4721V112	IMPERIAL TOBACCO FIN PLC				721,020.61	718,263.70	500,000.00	720,024.54	(742.54	)	(996.07	)	—	(1,018.30	)	4.0600	3.9330	JAJO	25,055.77	(23,908.94	)	6022015	11252019
BRT6HMVP0	IMS HEALTH INCORPORATED			3FE	4,378,152.51	4,409,156.05	4,383,586.59	4,378,259.93	30,896.12		116.32		—	—		3.3000	3.4450	AO	—	17,729.19		12102015	4012021
454795DQ5	IN HLTH CLARIAN		2	1FE	405,442.00	384,746.50	365,000.00	380,354.92	4,391.58		(11,278.77	)	—	—		0.8750	0.8900	JJ	3,193.75	19,162.50		4132016	7152018
454795DR3	IN HLTH CLARIAN		2	1FE	381,825.50	368,935.00	350,000.00	362,155.86	6,779.14		(8,873.67	)	—	—		2.2400	2.2400	JD	3,062.50	18,375.00		6112015	6152018
BRT5YQ1J1	INCEPTION MERGER SUB INC		2		489,591.22	497,356.29	492,051.48	489,628.97	7,727.32		37.75		—	—		5.5000	3.6610	MON	—	6,765.70		9292009	6012022
45505UAH1	INDIANA ST FINANCE AUTHORITY			1FE	2,301,800.00	2,125,360.00	2,000,000.00	2,137,090.85	(11,730.85	)	(73,671.05	)	—	—		5.5000	2.6360	MON	16,666.67	100,000.00		11202013	4152040
BRT53G306	INEOS STYROLUTION US HOLDING L				87,446.04	88,984.04	87,885.47	87,465.84	1,518.20		20.90		—	—		3.3500	3.3500	JJ	—	930.00		6/5/8038	2/14/5054
BRSTTYU57	INEOS US FINANCE LLC			3FE	4,179,506.19	4,237,460.82	4,219,376.57	4,187,623.13	49,837.69		8,641.53		—	—		1.6250	2.1260	AO	—	139,561.06		11212016	10312023
BRSJFKKC0	INFOR US INC		4	4FE	986,603.36	986,356.71	986,603.36	986,603.36	(246.65	)	—		—	—		—	0.0710	MJSD	—	38,098.41		8172016	8302023
BRSLNXDD4	INFOR US INC		4	4FE	1,343,709.53	1,355,108.44	1,354,920.11	1,348,256.59	6,851.85		2,055.65		—	—		2.8070	3.3380	MON	—	52,321.62		12052006	11/9/8065
44987DAN6	ING BANK NV	D			3,249,057.50	3,255,167.50	3,250,000.00	3,249,296.25	5,871.25		238.75		—	—		2.1650	2.1650	FA	20,556.25	37,375.00		11052014	8012019
N6088VDF2	ING BANK NV			1FE	1,927,642.68	1,583,667.61	1,200,000.00	1,848,949.48	7,621.98		(54,099.70	)	—	(272,903.84	)	3.3420	3.4500	MON	60,606.10	83,434.01		4022007	11012034
449786BD3	ING BANK NV	D			387,336.95	387,544.86	385,000.00	386,681.70	863.16		(583.95	)	—	—		3.0000	2.3380	MON	2,406.25	9,625.00		8242016	5012046
449786BG6	ING BANK NV	D		1FE	5,000,000.00	4,999,460.00	5,000,000.00	5,000,000.00	(540.00	)	—		—	—		—	0.0350	FMAN	9,893.96	18,233.89		7162014	9102020
44987CAE8	ING BANK NV	D		1FE	2,748,322.50	2,752,392.45	2,750,000.00	2,749,077.25	3,315.20		551.90		—	—		2.5640	1.8640	MON	20,984.03	56,375.00		8242016	3/15/7655
44987CAB4	ING BANK NV	D		1FE	3,529,556.10	3,529,697.50	3,535,000.00	3,532,779.19	(3,081.69	)	1,810.54		—	—		4.6030	4.8400	MJSD	18,558.75	63,630.00		3192015	3312027
45687AAL6	INGERSOLL-RAND GLOBAL HOLDING			2FE	2,989,816.80	3,013,646.86	2,964,000.00	2,975,880.16	37,766.70		(5,605.52	)	—	—		4.5000	3.1550	MON	39,293.58	85,215.00		9202011	9012041
456873AA6	INGERSOLL-RAND LUXEMBOURG FINA	D	1	2FE	1,502,730.00	1,496,534.96	1,500,000.00	1,501,690.73	(5,155.77	)	(487.20	)	—	—		3.5000	2.4940	MON	6,562.50	39,375.00		5/25/7819	3012045
458140AQ3	INTEL CORPORATION			1FE	2,023,096.50	2,050,494.81	2,025,000.00	2,023,615.15	26,879.66		486.71		—	—		5.6500	1.2830	MN	20,947.50	97,183.34		11172015	5012017
458140AW0	INTEL CORPORATION		1	1FE	4,991,200.00	4,880,550.00	5,000,000.00	4,992,248.92	(111,698.92	)	1,048.92		—	—		3.3660	3.4580	FMAN	9,916.67	42,500.00		3042015	5012027
4581X0BV9	INTER AMERICAN DEV BK	D		1FE	2,009,980.00	2,000,880.00	2,000,000.00	2,000,694.26	185.74		(3,433.65	)	—	—		1.0020	1.0040	MON	6,625.00	22,500.00		6102011	12072020
458182DT6	INTER-AMERICAN DEV BANK	D		1	2,050,000.00	2,049,487.46	2,050,000.00	2,050,000.00	(512.54	)	—		—	—		1.8750	1.0160	JD	1,119.60	14,280.61		8242016	12052019
45818WAT3	INTER-AMERICAN DEV BANK	D			5,000,000.00	4,995,299.90	5,000,000.00	5,000,000.00	(4,700.10	)	—		—	—		1.1040	1.0320	MON	1,645.55	33,662.32		3302015	1/9/7792
459200HC8	INTERNATIONAL BUSINESS MACHINE			1FE	1,991,140.00	2,000,640.00	2,000,000.00	1,999,821.38	818.62		2,542.67		—	—		5.0000	3.4540	MON	10,069.44	41,423.61		9292009	4152024
459200HZ7	INTERNATIONAL BUSINESS MACHINE			1FE	1,545,272.50	1,546,419.50	1,550,000.00	1,548,250.20	(1,830.70	)	1,573.88		—	—		6.3200	6.3190	MN	7,023.44	17,437.50		3252009	11012019
459200HE4	INTERNATIONAL BUSINESS MACHINE				248,777.50	250,542.53	250,000.00	249,233.85	1,308.68		312.81		—	—		—	0.0390	JAJO	598.96	4,687.50		4282015	11052021
459200HK0	INTERNATIONAL BUSINESS MACHINE			1FE	1,149,710.10	1,153,717.95	1,155,000.00	1,153,802.39	(84.44	)	1,070.58		—	—		—	—	AO	5,734.89	14,437.50		11102014	2/15/5054
459200JE2	INTERNATIONAL BUSINESS MACHINE			1FE	4,997,950.00	5,005,400.10	5,000,000.00	4,998,595.33	6,804.77		645.33		—	—		3.0000	3.0110	JAJO	11,000.00	67,000.00		4122016	4122027
459058FK4	INTL BANK FOR RECONSTR & DEVP	D		1FE	7,698,383.00	7,562,323.84	7,700,000.00	7,698,615.35	(136,291.51	)	232.35		—	—		5.0000	3.2060	MON	25,452.77	5,988.89		9292009	12152023

BRT6UKK48	ION MEDIA NETWORKS INC			4FE	3,425,660.70	3,467,667.93	3,460,459.79	3,425,791.24	41,876.69		130.54		—	—	1.3750	1.4940	JJ	—	11,746.74	7052016	7122019
46603BAB5	IVYH_14-9A	D	4		3,938,672.80	3,932,697.60	4,000,000.00	3,957,392.21	(24,694.61	)	8,143.00		—	—	1.3750	1.3990	MN	27,763.92	122,119.38	5252016	5302019
BRSKL00G7	JBS USA LLC			3FE	1,158,180.00	1,174,185.00	1,164,000.00	1,160,899.07	13,285.93		866.00		—	—	1.8290	1.4990	MON	—	52,138.19	10092014	11152045
47787UAD5	JDOT_15-A		4	1FE	1,449,887.04	1,450,367.15	1,450,000.00	1,449,946.58	420.57		42.93		—	—	—	0.1430	MJSD	850.66	26,370.67	9302016	9302023
473240EC9	JEFFERSON CNTY MO SCH DIST NO			1FE	312,726.00	300,825.00	300,000.00	300,867.39	(42.39	)	(5,305.22	)	—	—	1.2500	0.7230	JD	3,000.00	9,000.00	6292016	6082018
476576HQ9	JERSEY CITY N J			1FE	2,225,000.00	2,248,028.75	2,225,000.00	2,225,000.00	23,028.75		—		—	—	1.7780	1.6500	FA	18,727.08	56,181.26	4292015	5042018
BRSLZGT09	JLL / DELTA PATHEON HOLDINGS L	D	4	4FE	994,948.85	1,003,260.54	997,442.46	994,996.74	8,263.80		54.28		—	—	1.0000	1.0150	MN	—	3,507.80	7022015	5152018
24422ESX8	JOHN DEERE CAPITAL CORP			1FE	2,399,088.00	2,398,775.93	2,400,000.00	2,399,527.99	(752.06	)	301.77		—	—	3.2490	2.8930	MON	17,920.00	38,293.33	2/19/5273	2/7/7792
24422ETJ8	JOHN DEERE CAPITAL CORP			1FE	1,596,768.00	1,570,271.96	1,600,000.00	1,597,091.55	(26,819.59	)	323.55		—	—	1.2500	1.6110	JD	6,222.22	—	11152016	6172019
24422EST7	JOHN DEERE CAPITAL CORP			1FE	2,578,710.00	2,576,568.60	2,580,000.00	2,579,546.54	(2,977.94	)	429.73		—	—	3.5660	1.2880	MON	15,963.75	34,830.00	2/11/7655	9012042
24422ERN1	JOHN DEERE CAPITAL CORP			1FE	2,449,289.50	2,451,862.00	2,450,000.00	2,449,970.98	1,891.02		203.70		—	—	—	0.0710	MJSD	10,099.45	59,132.50	10142016	10252023
24422ESF7	JOHN DEERE CAPITAL CORP			1FE	1,012,020.00	1,004,899.98	1,000,000.00	1,007,550.98	(2,651.00	)	(4,295.44	)	—	—	2.7260	1.9970	MON	975.00	22,614.58	3232016	5102050
478111AA5	JOHNS HOPKINS HEALTH SYSTEM CO			1FE	244,815.00	249,527.75	250,000.00	247,997.00	1,530.75		1,428.96		—	—	5.5000	5.2500	MON	454.89	3,560.00	12202007	11/9/8065
478115AC2	JOHNS HOPKINS UNIVERSITY			1FE	1,750,000.00	1,752,892.75	1,750,000.00	1,750,000.00	2,892.75		—		—	—	7.1250	7.1760	JD	12,923.75	25,847.50	12022008	12012018
478160BM5	JOHNSON & JOHNSON			1FE	462,388.50	451,498.50	450,000.00	461,116.75	(9,618.25	)	(1,271.75	)	—	—	5.0000	3.4810	MON	609.38	2,250.00	9292009	1/14/7792
478160BR4	JOHNSON & JOHNSON			1FE	5,984,281.80	5,934,007.97	5,985,000.00	5,984,479.82	(50,471.85	)	225.41		—	—	1.7500	1.7840	JJ	22,443.75	41,498.77	7162015	7232018
478160AW4	JOHNSON & JOHNSON			1FE	122,861.25	128,792.50	125,000.00	124,141.58	4,650.92		218.22		—	—	2.0200	2.0320	MON	1,229.17	3,687.50	4222015	4152022
418097AD3	JORDAN (HASHEMITE KINGDOM OF)	D		1FE	10,000,000.00	10,080,220.00	10,000,000.00	10,000,000.00	80,220.00		—		—	—	5.0000	1.2310	FA	4,322.23	194,500.02	10262016	8152021
46630JAC3	JP MORGAN CHASE COMMERCIAL MOR		4		1,240,811.01	1,130,189.62	1,129,895.84	1,144,178.05	(13,988.43	)	(177,290.07	)	—	—	1.8750	1.3160	JUL	5,103.36	241,217.83	4302016	7172017
46641BAE3	JP MORGAN CHASE COMMERCIAL MOR		4	1FE	1,217,724.61	1,179,607.46	1,125,000.00	1,209,458.58	(29,851.12	)	(8,266.03	)	—	—	—	0.0250	JAJO	3,444.75	14,008.64	5012015	4302020
46625HRX0	JP MORGAN H&Q		2	2FE	3,294,291.00	3,202,155.13	3,300,000.00	3,294,338.04	(92,182.91	)	47.04		—	—	1.2500	1.3080	JJ	14,953.13	—	8042016	7312023
46642EAY2	JPMBB		4	1FM	2,133,984.38	2,095,379.93	2,000,000.00	2,109,226.01	(13,846.08	)	(13,976.12	)	—	—	1.3750	1.4220	JD	6,291.33	75,495.96	9292015	6012017
46640LAB8	JPMBB COMMERCIAL MORTGAGE SECU		4		2,209,382.81	2,184,982.74	2,140,000.00	2,166,084.50	18,898.24		(14,898.08	)	—	—	4.0000	1.8810	MON	5,384.42	64,613.04	5092016	10202045
46644FAE1	JPMBB COMMERCIAL MORTGAGE SECU		4		4,059,062.50	4,046,279.91	4,000,000.00	4,051,687.21	(5,407.30	)	(7,375.29	)	—	—	—	0.0980	FMAN	10,140.00	88,556.00	10182013	11262019
46641WAT4	JPMBB_14-C19		4		1,910,646.29	1,899,032.69	1,855,000.00	1,882,508.86	16,523.83		(6,332.39	)	—	—	—	—	AO	4,707.99	56,495.88	11102014	2/15/5054
46643ABF9	JPMBB_14-C23		4	1FE	5,734,531.25	5,608,405.10	5,350,000.00	5,696,219.76	(87,814.66	)	(38,311.49	)	—	—	1.7900	2.0240	JAJO	16,304.13	99,998.67	3222011	10282043
46644FAB7	JPMBB_15-C28		4	1FM	3,089,994.00	3,055,542.90	3,000,000.00	3,058,822.28	(3,279.38	)	(18,489.81	)	—	—	2.2500	1.9090	FA	6,933.25	83,199.00	12072016	8122019
46590JAW7	JPMBB_15-C36		4	1FM	3,089,976.00	3,076,713.90	3,000,000.00	3,080,301.56	(3,587.66	)	(8,269.11	)	—	—	5.5000	5.5600	MON	8,995.50	107,946.00	9182002	10252032
12625CAL7	JPMCC		4		1,033,281.25	999,759.90	1,000,000.00	1,032,034.18	(32,274.28	)	(1,247.07	)	—	—	1.1000	1.1340	FA	2,953.50	6,005.45	7282016	8022019
46634SAC9	JPMCC_12-C6		4	1FE	853,693.75	826,458.48	790,000.00	843,220.63	(16,762.15	)	(14,283.60	)	—	—	5.5000	3.7250	MON	2,309.04	17,501.95	9292009	5012022
46639EAB7	JPMCC_12-LC9		4		918,292.36	918,147.32	917,074.37	916,767.00	1,380.32		(657.37	)	—	—	3.0000	1.9830	MON	1,281.54	19,095.97	4242012	3012027
46641BAB9	JPMCC_13-C16		4		3,227,271.95	3,164,259.60	3,101,135.67	3,143,429.42	20,830.18		(75,463.60	)	—	—	2.5410	1.7560	MON	7,933.74	136,016.57	8232016	4252023
46642CBE9	JPMCC_14-C20		4		10,321,083.75	10,205,677.95	10,000,000.00	10,221,686.20	(16,008.25	)	(51,843.84	)	—	—	0.6250	0.7790	MN	23,930.00	227,733.83	11122015	5312017
46590KAB0	JPMCC_15-JP1		4	1FM	1,905,492.60	1,906,701.94	1,850,000.00	1,894,237.05	12,464.89		(11,243.06	)	—	—	2.1160	2.1160	JJ	4,846.70	58,160.40	6082012	7152017

46644RAZ8	JPMCCMSC_15-C29		4	1FM	2,059,986.00	2,062,849.00	2,000,000.00	2,051,520.18	11,328.82		(5,623.33	)	—	—	2.3500	2.3750	FA	6,018.00	72,216.00		8022016	8152021
46590LAR3	JPMDB_16-C2		4		999,100.00	981,448.82	970,000.00	995,363.22	(13,914.40	)	(3,736.78	)	—	—	1.0000	0.9860	APR	2,151.70	13,483.98		3/31/5136	4102018
466247E74	JPMMT		4	NR*	44,256.76	38,980.18	44,222.19	44,233.85	(5,253.67	)	(357.04	)	—	—	1.4900	1.4990	MON	112.98	1,432.23		7202016	7152022
46643DAE7	JPMMT_14-OAK4		4		1,529,096.73	1,522,375.88	1,509,287.34	1,519,617.70	2,758.18		(13,420.86	)	—	—	—	—	MJSD	4,402.09	67,073.95		4272016	10222020
46625HJH4	JPMORGAN CHASE & CO			1FE	2,609,958.00	2,622,360.03	2,600,000.00	2,608,117.07	14,242.96		(1,197.06	)	—	—	5.0000	3.2120	MON	36,053.33	83,200.00		9292009	3152024
46625HQU7	JPMORGAN CHASE & CO		2	1FE	7,295,328.00	7,274,523.07	7,300,000.00	7,296,512.63	(21,989.56	)	1,184.63		—	—	6.5000	5.5180	MON	37,138.76	67,149.87		2/25/5492	12152037
46625HLW8	JPMORGAN CHASE & CO		2	1FE	4,243,656.00	4,236,287.62	4,200,000.00	4,234,598.22	1,689.40		(7,197.25	)	—	—	1.3390	1.2710	MON	2,566.67	104,622.22		12032012	12/21/7928
46625HQJ2	JPMORGAN CHASE & CO		2	1FE	798,320.00	796,088.01	800,000.00	798,578.65	(2,490.64	)	270.88		—	—	2.3480	2.3480	JJ	6,800.00	10,748.96		3052015	7012020
46625HRU6	JPMORGAN CHASE & CO		1	1FE	5,000,000.00	5,076,249.70	5,000,000.00	5,000,000.00	76,249.70		—		—	—	5.2500	5.2610	JJ	7,111.32	47,208.45		7312010	7012021
46625HJF8	JPMORGAN CHASE & CO			1FE	8,620,000.00	8,675,427.03	8,620,000.00	8,620,000.00	55,427.03		—		—	—	—	0.0360	MJSD	29,011.34	128,750.37		5112015	6012022
46625HJR2	JPMORGAN CHASE & CO			1FE	1,518,345.00	1,512,104.99	1,500,000.00	1,509,895.75	2,209.24		(4,632.11	)	—	—	—	—	JAJO	14,981.25	35,250.00		0	7312019
46625HJG6	JPMORGAN CHASE & CO			1FE	7,239,770.00	7,256,524.28	7,250,000.00	7,248,833.24	7,691.04		1,050.06		—	—	—	0.0740	MJSD	56,550.00	130,500.00		4132016	8182022
48128BAB7	JPMORGAN CHASE & CO		1	1FE	3,229,903.10	3,225,607.14	3,230,000.00	3,229,903.10	(4,295.96	)	—		—	—	6.0000	0.9220	OCT	6,133.05	—		12212016	10302019
46625HJY7	JPMORGAN CHASE & CO			2FE	3,148,383.75	3,198,865.50	3,165,000.00	3,151,672.66	47,192.84		1,460.67		—	—	—	—	JAJO	37,815.16	122,643.76		12212016	6/19/4862
46625HJQ4	JPMORGAN CHASE & CO		2	3FE	3,187,500.00	3,232,500.00	3,000,000.00	3,153,898.40	78,601.60		(17,090.37	)	—	—	2.9500	2.9950	MS	84,375.01	202,500.00		1/18/8011	3012021
46625HNX4	JPMORGAN CHASE & CO		2	1FE	299,691.00	299,807.99	300,000.00	299,760.20	47.79		59.01		—	—	2.1250	2.2090	JJ	1,317.50	7,650.00		6/13/4862	3/22/4917
48127FAA1	JPMORGAN CHASE & CO		2	2FE	8,209,375.00	8,279,250.00	8,300,000.00	8,211,932.21	67,317.79		887.64		—	—	—	—	FMAN	207,500.00	365,652.78		8212013	12132019
46625HKK5	JPMORGAN CHASE & CO		2	3FE	2,433,000.00	2,448,000.00	2,400,000.00	2,433,000.00	15,000.00		—		—	—	2.9620	1.9970	MON	21,200.00	6,006.67		10122016	10052028
46625HRV4	JPMORGAN CHASE & CO		1	1FE	588,720.00	572,754.00	600,000.00	588,848.53	(16,094.53	)	128.53		—	—	3.6300	3.6460	JAJO	4,425.00	(2,212.51	)	4122016	4122027
46625HKC3	JPMORGAN CHASE & CO		2	1FE	722,172.50	709,267.51	725,000.00	722,644.75	(13,377.24	)	267.28		—	—	3.6300	3.6460	JAJO	9,943.58	27,740.89		8302016	4122027
46623EKD0	JPMORGAN CHASE & CO		2	1FE	501,405.00	499,720.00	500,000.00	500,577.09	(857.09	)	(1,583.45	)	—	—	1.7200	1.7300	MON	2,833.33	37,211.11		10272016	8152023
48125LRG9	JPMORGAN CHASE BANK NA			1FE	2,697,246.00	2,674,863.00	2,700,000.00	2,697,494.31	(22,631.31	)	248.31		—	—	1.9990	2.0320	AO	12,127.50	—		7222015	4272018
BRSZLU5D0	KAR AUCTION SERVICES INC		2	3FE	294,772.51	301,657.98	297,750.01	295,104.72	6,553.26		354.71		—	—	1.8970	1.8970	FA	—	10,089.39		8082016	8122019
487836BH0	KELLOGG COMPANY			2FE	3,027,000.00	3,005,609.70	3,000,000.00	3,003,916.17	1,693.53		(10,340.47	)	—	—	3.0770	2.0980	MON	6,416.66	52,500.00		10122016	3/3/7655
491674BE6	KENTUCKY UTILITIES COMPANY		1	1FE	783,795.00	773,527.51	750,000.00	775,124.38	(1,596.87	)	(6,065.02	)	—	—	2.1500	2.3940	JJ	4,062.50	24,375.00		9162015	10/8/5245
49327M2F0	KEY BANK NATIONAL ASSOCIATION			1FE	499,780.00	504,184.95	500,000.00	499,871.21	4,313.74		41.52		—	—	5.1780	2.6930	AO	555.56	12,500.00		7262016	4012030
49327M2P8	KEY BANK NATIONAL ASSOCIATION			1FE	6,395,002.80	6,298,738.79	6,385,000.00	6,393,471.74	(94,732.95	)	(1,531.06	)	—	—	5.0000	5.0790	JJ	36,607.33	(2,426.67	)	7072009	7152019
49327M2Q6	KEY BANK NATIONAL ASSOCIATION			1FE	992,860.00	993,239.97	1,000,000.00	992,983.57	256.40		123.57		—	—	—	0.0710	MJSD	2,708.33	(486.12	)	11222016	12072023
BRSP750D8	KEY SAFETY SYSTEMS INC		2		1,175,640.88	1,191,952.74	1,179,664.18	1,176,889.87	15,062.87		896.63		—	—	3.5000	2.6030	MON	—	69,177.74		11/27/7928	3152041
493267AK4	KEYCORP		2	3FE	3,300,000.00	3,052,500.00	3,300,000.00	3,300,000.00	(247,500.00	)	—		—	—	—	0.0380	MJSD	7,333.33	44,000.00		8132015	5162022
BRT1YUAX0	KFC HOLDING CO/PIZZA HUT HOLDI		2	3FE	1,756,400.50	1,786,850.65	1,765,226.62	1,756,999.37	29,851.28		625.44		—	—	1.1400	1.1430	MON	—	26,540.53		8012016	8172020
494074AG2	KILIMANJARO RE LIMITED	D			500,000.00	516,065.00	500,000.00	500,000.00	16,065.00		—		—	—	2.7310	2.7400	FMAN	8,733.62	29,182.26		11082016	11142027
494074AF4	KILIMANJARO RE LIMITED	D			500,000.00	523,490.00	500,000.00	500,000.00	23,490.00		—		—	—	1.1250	1.2520	AO	11,823.90	39,815.12		2/2/7436	4302020
494074AE7	KILIMANJARO RE LIMITED	D		3	10,616,900.00	10,829,680.75	10,675,000.00	10,636,124.45	193,556.30		11,030.76		—	—	5.5000	1.9670	JJ	108,351.25	926,116.94		8072015	2/12/5054

494368BT9	KIMBERLY-CLARK CORPORATION			1FE	2,749,835.00	2,733,334.92	2,750,000.00	2,749,880.05	(16,545.13	)	45.05		—	—		2.0000	2.0840		MS	14,544.44	18,501.39		9142015	9152018
494550BM7	KINDER MORGAN ENERGY PARTNERS		1	2FE	994,820.00	989,769.98	1,000,000.00	995,902.20	(6,132.22	)	590.02		—	—		1.5000	1.6180		JJ	13,033.34	34,500.00		5/20/5218	3/10/5492
494550AY2	KINDER MORGAN ENERGY PARTNERS			2FE	1,418,083.00	1,355,731.00	1,300,000.00	1,355,708.71	22.29		(41,212.40	)	—	—		1.4600	0.8480		JAJO	29,221.11	59,103.33		7092013	2/12/5054
494550BE5	KINDER MORGAN ENERGY PARTNERS			2FE	1,076,880.00	1,070,780.03	1,000,000.00	1,069,822.83	957.20		(7,057.17	)	—	—		1.3920	0.7850		FMAN	15,605.56	5,447.22		5072013	5102018
28336LBR9	KINDER MORGAN HOLDCO LLC			2FE	2,428,386.40	2,286,611.19	2,140,000.00	2,263,517.65	23,093.54		(84,237.58	)	—	—		5.0000	0.7800		AO	12,929.17	155,150.00		9282016	4012018
49456BAD3	KINDER MORGAN HOLDCO LLC			2FE	2,582,053.10	2,588,774.36	2,585,000.00	2,584,087.88	4,686.48		978.68		—	—		3.5000	2.6550		MON	4,308.33	51,700.00		3292016	10012045
BRSM103T4	KINETIC CONCEPTS INC / KCI USA		4	3FE	2,850,336.87	2,878,347.03	2,871,169.11	2,858,793.26	19,553.77		8,439.18		—	—		2.8500	2.5720		AO	—	116,204.02		12302016	10052018
496026KV6	KINGS LOC SCH DIST OHIO			1FE	1,250,394.50	1,216,283.30	1,165,000.00	1,205,063.92	11,219.38		(20,362.82	)	—	—		3.0180	3.1610		MON	3,640.63	43,687.50		4022007	10012034
482485AC3	KKR_13-2A	D	4	1FE	1,516,800.00	1,578,920.16	1,600,000.00	1,543,304.07	35,616.09		11,789.66		—	—		4.5000	1.9890		MON	8,224.13	38,654.26		11102015	9202045
482485AL3	KKR_13-2A	D	4		1,000,000.00	1,000,658.20	1,000,000.00	1,000,000.00	658.20		—		—	—		2.3000	1.9820		FA	6,288.11	8,322.50		4/28/8175	8/15/7545
48251BAA8	KKR_16--16	D	4		2,500,000.00	2,497,123.25	2,500,000.00	2,500,000.00	(2,876.75	)	—		—	—		4.2500	2.2850		MS	2,834.77	—		6162015	3012021
BRT5WX0L4	KLOCKNER PENTAPLAST OF AMERICA		2		355,693.85	358,534.59	356,307.67	355,709.35	2,825.24		17.04		—	—		3.5000	2.0370		MON	—	2,994.04		4292016	10252044
50048MAT7	KOMMUNALBANKEN AS	D			1,096,205.00	1,096,345.80	1,100,000.00	1,099,431.89	(3,086.09	)	770.39		—	—		1.0000	1.8520		MN	2,902.78	11,000.00		5062014	11302019
BRSYEDRW3	KOMMUNEKREDIT	D			5,631,863.50	5,635,140.50	5,650,000.00	5,637,585.12	(2,444.62	)	5,721.62		—	—		1.3900	1.3980		MON	81,454.17	—		10062016	3152022
BRT616035	KP GERMANY ERSTE GMBH				152,005.92	153,600.57	152,268.22	152,012.45	1,588.12		7.19		—	—		3.0000	2.6250		MON	—	1,279.50		1/18/8011	11/19/4670
50076QAX4	KRAFT FOODS GROUP INC			2FE	829,047.50	798,937.52	750,000.00	798,886.23	51.29		(25,641.59	)	—	—		0.7500	0.8000		FA	16,333.33	29,689.24		8122016	8152019
50076QAU0	KRAFT FOODS GROUP INC			2FE	2,490,030.00	2,434,635.02	2,250,000.00	2,443,067.38	(8,432.36	)	(46,962.62	)	—	—		2.9890	2.9890		FA	47,367.19	48,710.93		10182013	8152018
50076QAY2	KRAFT FOODS GROUP INC			2FE	2,371,165.54	2,380,201.25	2,375,000.00	2,374,613.77	5,587.48		995.44		—	—		3.0000	2.6130		MON	3,859.38	61,875.00		1/18/8011	7012043
50077LAG1	KRAFT HEINZ FOODS CO			2FE	3,345,795.40	3,351,742.07	3,350,000.00	3,346,620.37	5,121.70		824.97		—	—		6.0000	5.7610		MON	33,313.89	(9,305.56	)	11022007	9012037
423074AS2	KRAFT HEINZ FOODS CO		1	2FE	4,736,250.00	4,856,580.50	4,500,000.00	4,712,153.57	144,426.93		(23,293.73	)	—	—		2.7050	2.9430		MON	82,875.00	219,375.00		9172008	7012035
50077LAJ5	KRAFT HEINZ FOODS CO		1	2FE	997,993.99	1,015,079.96	1,000,000.00	998,125.95	16,954.01		131.96		—	—		—	0.1600		MJSD	16,138.89	(3,597.22	)	6202016	5022022
500769GL2	KREDITANSTALT FUER WIEDERAUFBA	D		1FE	2,217,956.48	2,215,225.40	2,221,000.00	2,219,785.07	(4,559.67	)	2,509.22		—	—		2.0000	2.0530		AO	9,562.64	185,486.77		4042016	4112021
500769GS7	KREDITANSTALT FUER WIEDERAUFBA	D			3,390,052.00	3,386,706.03	3,400,000.00	3,394,463.13	(7,757.10	)	6,760.46		—	—		3.1250	3.0720		JJ	15,406.25	99,806.27		8072015	7152022
D40859GT7	KREDITANSTALT FUER WIEDERAUFBA			1FE	3,325,845.87	2,238,590.04	1,750,000.00	2,869,396.19	13,312.81		(124,664.88	)	—	(644,118.97	)	1.6500	1.6850		MS	42,572.01	154,497.66		9202016	9232019
500769GV0	KREDITANSTALT FUER WIEDERAUFBA	D			7,880,171.00	7,896,128.68	7,900,000.00	7,886,358.29	9,770.39		6,187.29		—	—		2.9720	2.9720		JJ	47,729.17	67,150.00		12012016	2/16/5054
500769GA6	KREDITANSTALT FUER WIEDERAUFBA	D		1FE	6,031,560.00	6,040,919.94	6,000,000.00	6,031,189.70	9,730.24		(370.30	)	—	—		2.4500	2.1640		MN	28,125.00	(25,312.50	)	10182016	11012022
D3S97E4M2	KREDITANSTALT FUER WIEDERAUFBA			1FE	3,044,296.03	2,834,501.71	2,250,000.00	3,041,861.58	20,431.58		(2,474.69	)	—	(227,791.45	)	—	0.0270		MJSD	771.23	12,372.65		6052013	3012020
500769FG4	KREDITANSTALT FUER WIEDERAUFBA	D		1FE	6,859,842.00	6,887,373.00	6,900,000.00	6,893,529.36	(6,156.36	)	9,539.93		—	—		4.0000	3.1630		MS	19,454.17	60,375.00		11102015	3302022
500769HC1	KREDITANSTALT FUER WIEDERAUFBA	D		1FE	12,282,657.00	12,156,827.87	12,300,000.00	12,283,830.68	(127,002.81	)	1,173.68		—	—		5.6430	(0.2330	)	MON	30,750.00	—		4112014	6112042
48274LAD3	KVK CLO LTD 2014-1A	D	4	1FE	729,375.00	724,412.93	750,000.00	734,364.14	(9,951.21	)	2,748.11		—	—		2.0240	2.0240		MN	3,726.39	26,657.18		10232014	5012019
48274MAD1	KVK_14-2A	D	4	1FE	476,250.00	493,565.30	500,000.00	481,967.13	11,598.17		3,013.01		—	—		2.1500	2.0680		FA	4,095.56	18,211.08		6202016	9/19/7408
491552ZL2	KY ST TPK AUTH ECONOMIC		2	1FE	2,344,460.00	2,296,440.00	2,000,000.00	2,263,634.32	32,805.68		(36,535.97	)	—	—		—	—		MJSD	50,000.00	100,000.00		2/2/7436	2/8/7436
502413BE6	L-3 COMMUNICATIONS CORP		1	2FE	1,000,400.00	997,409.97	1,000,000.00	1,000,389.76	(2,979.79	)	(10.24	)	—	—		5.0000	3.6420		MON	2,780.56	—		3272009	2/17/5054
BRSMB8NV9	LA QUINTA INTERMEDIATE HOLDING		4	4FE	718,294.59	744,114.50	744,346.74	722,856.99	21,257.51		4,760.25		—	—		1.7500	1.8840		MS	—	20,172.14		11122015	3012019

50540RAR3	LABORATORY CORP OF AMER HLDGS			2FE	2,147,592.00	2,154,171.00	2,150,000.00	2,148,479.05	5,691.95		467.29		—	—		2.5280	2.1300		MON	23,515.63	56,437.50		9222015	10152045
50585LAC5	LAETERE RE LTD	D		1	206,250.00	206,250.00	250,000.00	229,527.56	(23,277.56	)	23,277.56		—	—		5.0000	1.8700		FA	—	—		2/13/7655	9/27/7408
50585LAA9	LAETERE RE LTD	D			235,000.00	247,505.00	250,000.00	243,520.68	3,984.32		8,520.68		—	—		2.0000	1.5680		MON	—	—		12052012	9252042
50585LAB7	LAETERE RE LTD	D			226,250.00	246,587.50	250,000.00	239,617.73	6,969.77		13,367.73		—	—		2.8750	2.4250		JJ	—	—		6162014	2/12/5054
BRT3JTAJ7	LAN_2016-1	B	4		720,618.10	679,961.79	545,200.00	720,618.10	6,285.41		—		—	(46,941.72	)	1.6840	1.6840		MS	1,032.39	3,435.46		9032014	9082017
BRT589W47	LANDRYS INC			4FE	709,869.21	720,214.04	713,436.39	709,971.48	10,242.56		109.55		—	—		3.6000	4.0320		MN	—	3,669.91		6222015	11012024
BRSRYHP25	LAZER SPOT INC				66,758.24	65,756.86	66,758.24	66,758.24	(1,001.38	)	—		—	—		5.7920	5.7920		JD	—	5,344.58		4302009	6012018
BRSRYF745	LAZER SPOT INC				2,893,302.19	2,849,902.66	2,893,302.19	2,893,302.19	(43,399.53	)	—		—	—		3.3000	2.9270		JD	—	207,058.10		5132016	6012020
BRSVAW935	LAZER SPOT MERGER SUB INC				356,982.84	351,628.09	356,982.84	356,982.84	(5,354.75	)	—		—	—		5.0000	4.1200		FA	—	5,710.39		9122013	8012028
52109RBM2	LBUBS		4		2,068,582.11	1,880,771.76	1,835,436.46	1,886,024.98	(5,253.22	)	(216,297.84	)	—	—		1.3800	1.3890		MON	5,981.48	349,724.01		5032016	7152019
55820NAE1	LCMLT_05-HE1		4	1FE	2,481,750.00	2,487,650.50	2,500,000.00	2,481,832.60	5,817.90		82.60		—	—		2.2500	2.2660		MN	2,846.85	—		7092015	5202020
52349HAN3	LEE CNTY FLA HSG FIN AUTH SING		2	1FE	190,524.40	190,522.50	190,000.00	190,000.00	522.50		—		—	—		3.6740	1.7960		MON	1,151.08	13,813.00		7262016	12172046
52349HAM5	LEE CNTY FLA HSG FIN AUTH SING		4	1FE	90,325.80	90,306.90	90,000.00	90,000.00	306.90		—		—	—		5.0000	5.9470		MON	526.50	9,477.00		7032008	9152033
G54404AK7	LEGAL & GEN GRP PLC			2FE	1,611,530.25	1,236,304.89	1,000,000.00	1,526,509.25	(11,697.73	)	(44,378.11	)	—	(278,506.63	)	0.6790	0.6790		JJ	12,930.22	96,094.25		6122013	2/12/5054
854403AC6	LELAND STANFORD JR UNIV CALIF			1FE	4,157,579.00	3,940,463.30	3,700,000.00	3,938,010.01	2,453.29		(99,002.06	)	—	—		2.5000	2.3130		MON	29,291.67	175,750.00		9062011	3252040
526107AD9	LENNOX INTL INC.		1	2FE	824,529.75	800,043.73	825,000.00	824,539.71	(24,495.98	)	9.96		—	—		2.0000	2.4930		JD	3,987.50	—		6032016	6222018
BRSK5UM00	LEVEL 3 FINANCING INC		4	3FE	962,682.64	979,457.50	970,000.00	966,401.13	13,056.37		1,394.69		—	—		3.0000	2.3360		MON	—	41,463.45		3262015	12/28/7928
BRSHY9H24	LINDE AG	D			2,990,820.00	2,993,670.00	3,000,000.00	2,997,560.06	(3,890.06	)	1,859.39		—	—		3.1250	3.2260		JJ	31,625.00	45,000.00		10/5/5245	2/12/5054
BRT5NPGB6	LIONS GATE ENTERTAINMENT CORP	A	2	3FE	1,831,889.77	1,846,626.48	1,838,582.68	1,831,937.14	14,689.34		47.37		—	—		3.7500	3.8400		MN	—	1,866.80		11172016	11302026
BRT63CD93	LIVE NATION ENTERTAINMENT INC		2	3FE	312,613.05	316,933.08	314,183.97	312,646.26	4,286.82		40.60		—	—		3.4500	4.0730		AO	—	1,683.21		11102015	4102022
BRSNXV8E7	LLOYDS BANK PLC	B		1FE	2,665,506.70	2,562,619.97	2,000,000.00	2,655,714.83	4,764.98		(9,791.87	)	—	(97,859.85	)	4.0190	1.7000		FA	4,294.22	11,002.28		3/7/8093	8012019
50208XAA0	LMC_15-CRE1		4		4,000,000.00	3,945,184.40	4,000,000.00	4,000,000.00	(54,815.60	)	—		—	—		—	(0.2810	)	FMAN	2,526.67	90,048.46		12012016	4012023
539830BF5	LOCKHEED MARTIN CORPORATION		1	2FE	2,996,095.20	2,940,586.06	2,920,000.00	2,986,869.10	(46,283.04	)	(9,226.10	)	—	—		2.5390	2.5390		MN	7,705.55	33,052.78		11032014	11152019
539830BJ7	LOCKHEED MARTIN CORPORATION			2FE	109,811.90	110,419.10	110,000.00	109,880.13	538.97		243.85		—	—		3.1000	3.1090		AO	214.81	27,125.13		4212016	4272026
539830AT6	LOCKHEED MARTIN CORPORATION			2FE	1,628,311.70	1,618,662.19	1,522,000.00	1,626,352.00	(7,689.81	)	(1,959.70	)	—	—		3.4040	4.1730		MON	8,265.30	(4,851.38	)	8162007	9252035
542799AC5	LONGPOINT RE III LTD	D	2		1,550,000.00	1,579,450.00	1,550,000.00	1,550,000.00	29,450.00		—		—	—		2.6250	2.6490		FA	7,799.92	69,904.04		12232015	9/20/7408
546398PF9	LOUISIANA PUB FACS AUTH REV		2	1FE	1,443,685.50	1,395,153.45	1,395,000.00	1,395,000.00	153.45		(14,161.38	)	—	—		—	—		JAJO	34,875.00	69,750.00		12212016	6/19/4862
546415S50	LOUISIANA STATE OF			1FE	4,779,355.00	4,758,882.50	4,750,000.00	4,761,128.43	(2,245.93	)	(10,130.15	)	—	—		2.4500	2.0760		MN	29,687.50	71,250.00		4112016	11152018
BRSXC27R4	LPL HOLDINGS INC TL			3FE	153,758.40	156,864.64	155,311.52	153,997.92	2,866.72		1,282.11		—	—		1.2200	1.2300		MON	—	54,619.95		4282014	10152019
54910DAA5	LSTRZ_15-6	D	4		753,786.70	750,761.73	761,228.62	756,274.22	(5,512.49	)	2,766.53		—	—		4.5000	2.8540		MON	1,715.27	20,825.28		3162010	10252038
502441AA6	LVMH MOET HENNESSY LOUIS VUITT	D		1FE	3,041,246.50	3,050,045.75	3,050,000.00	3,049,106.23	939.52		1,795.16		—	—		5.1250	5.0380		MON	275.34	49,562.52		3/7/8093	12152029
575718AC5	MA INSTITUTE OF TECH			1FE	1,018,330.00	1,010,670.00	1,000,000.00	1,009,950.69	719.31		(3,867.68	)	—	—		2.6250	2.6860		MN	10,255.00	20,510.00		4282015	5052020
BRT5UM2P9	MACDERMID GROUP INC		2	4FE	1,604,639.86	1,629,727.08	1,612,703.38	1,604,885.63	24,841.45		265.98		—	—		2.0420	2.0410		JD	—	15,424.93		12122013	6152021
55608PAA2	MACQUARIE BANK LTD	D		1FE	5,996,040.00	6,029,238.00	6,000,000.00	5,999,875.21	29,362.79		866.31		—	—		1.2000	1.1530		JJ	107,500.00	300,000.00		12052014	2/11/5054

56040PAT5	MAINE EDL LN AUTH			1FE	2,378,795.65	2,257,826.55	2,135,000.00	2,250,231.86	7,594.69		(65,706.47	)	—	—	1.0000	0.8100	MS	9,785.42	122,650.00	12302014	3312017
560427KM7	MAINE HEALTH & HIGHER EDL FACS		4	1FE	130,534.30	130,436.80	130,000.00	130,383.78	53.02		384.12		—	—	—	—	MJSD	3,412.50	8,137.50	0	3112022
562013AA0	MANATEE RE LTD	D			680,000.00	683,440.80	680,000.00	680,000.00	3,440.80		—		—	—	3.8340	1.8990	MON	308.64	35,564.06	6202016	7102045
563469TV7	MANITOBA PROVINCE OF	A		1FE	4,515,975.00	4,506,659.78	4,500,000.00	4,513,617.97	(6,958.19	)	(2,357.03	)	—	—	2.4000	2.4340	FA	6,781.25	35,947.92	8152016	8152026
563469TZ8	MANITOBA PROVINCE OF	A		1FE	2,977,080.00	2,988,899.91	3,000,000.00	2,986,685.87	2,214.04		9,253.79		—	—	4.4740	3.8080	MJSD	2,812.50	33,750.00	10/20/8065	3202043
55279HAF7	MANUFACTURERS AND TRADERS TRUS		2	1FE	2,049,221.00	2,050,963.30	2,050,000.00	2,049,850.76	1,112.54		835.22		—	—	1.6500	1.9340	AO	12,436.67	126,777.78	10282015	10302020
55279HAJ9	MANUFACTURERS AND TRADERS TRUS		2	1FE	246,135.00	248,435.00	250,000.00	246,992.35	1,442.65		857.35		—	—	—	0.0360	MJSD	2,114.58	2,756.25	8082014	8062021
BRSX2BJ84	MARCO INC				1,219,863.73	1,210,714.75	1,219,863.73	1,219,863.73	(9,148.98	)	—		—	—	3.5000	2.7780	MON	—	26,966.06	11052015	8012042
BRSX2BJ50	MARCO INC				3,641,247.38	3,613,938.02	3,641,247.38	3,641,247.38	(27,309.36	)	—		—	—	1.9740	—	MON	—	185,457.00	9092016	11/17/4670
BRT4ECA65	MARKET RE LTD				10,000,000.00	10,000,000.00	10,000,000.00	10,000,000.00	—		—		—	—	8.4974	8.5903	MJSD	66,666.67	202,793.97	20160906	20170530
571903AR4	MARRIOTT INTERNATIONAL INC		1	2FE	3,689,698.35	3,596,443.50	3,705,000.00	3,691,183.11	(94,739.61	)	1,484.76		—	—	5.5000	5.4200	MON	47,578.38	—	7172008	9/22/7408
574218A86	MARYLAND ST HEALTH & HIGHER ED			1FE	400,000.00	398,796.00	400,000.00	400,000.00	(1,204.00	)	—		—	—	2.0000	2.0730	AO	4,158.00	5,751.90	6/20/7463	4012021
575831CJ9	MASSACHUSETTS ST COLLEGE BLDG		2	1FE	1,103,611.60	1,051,304.80	910,000.00	1,087,724.43	(36,419.63	)	(15,887.17	)	—	—	0.7250	0.7260	MON	7,583.33	30,333.34	10202016	9202024
57584XXT3	MASSACHUSETTS ST DEV FIN AGY			1FE	51,497.60	48,751.20	40,000.00	51,252.12	(2,500.92	)	(245.48	)	—	—	6.0550	5.8120	MJSD	394.44	—	3252015	6082020
57587ABR8	MASSACHUSETTS ST HSG FIN AGY			1FE	497,465.00	507,105.00	500,000.00	498,533.29	8,571.71		477.53		—	—	—	2.0000	N/A	1,086.67	13,040.00	11032016	12062020
57586NWY3	MASSACHUSETTS ST HSG FIN AGY			1FE	1,055,000.00	1,055,516.95	1,055,000.00	1,055,000.00	516.95		—		—	—	2.3500	2.3610	FA	1,626.46	26,379.72	7282014	8012019
576049CK4	MASSACHUSETTS ST WTR RES AUTH		4	1FE	1,425,454.10	1,330,124.30	1,255,000.00	1,348,746.62	(18,622.32	)	(83,953.74	)	—	—	4.5000	4.7890	MON	37,615.14	112,775.00	7212009	5202039
577081BA9	MATTEL INC		1	2FE	329,610.60	321,934.80	330,000.00	329,640.97	(7,706.17	)	30.37		—	—	—	—	MJSD	3,145.08	—	12212016	12212021
BRSJD2Z02	MCC IOWA LLC		4	3FE	2,617,062.70	2,629,331.49	2,617,062.70	2,617,062.70	12,268.79		—		—	—	1.7000	1.7030	JJ	—	117,184.91	7182016	7192019
58013MET7	MCDONALDS CORP		1	2FE	3,461,150.00	3,400,033.97	3,400,000.00	3,457,547.10	(57,513.13	)	(3,602.90	)	—	—	1.1250	1.0690	MN	7,272.23	9,056.67	2/2/7436	5312019
58013MEW0	MCDONALDS CORP			2FE	284,860.35	286,638.75	285,000.00	284,908.82	1,729.93		(95.76	)	—	—	3.5000	2.4230	MON	399.00	20,087.09	6232016	6012046
58013MEE0	MCDONALDS CORP			2FE	1,072,930.00	1,042,170.00	1,000,000.00	1,038,891.66	3,278.34		(66,940.97	)	—	—	3.3750	3.4350	AO	17,833.33	141,983.06	9152016	10012021
58013MEX8	MCDONALDS CORP		1	2FE	658,779.00	668,698.81	660,000.00	659,024.75	9,674.06		324.18		—	—	5.5000	5.5000	MS	1,109.17	27,874.31	9162014	8/28/4692
BRT195N68	MCGRAW-HILL GLOBAL EDUCATION H			4FE	1,379,291.78	1,385,876.36	1,386,222.91	1,380,035.91	5,840.45		778.95		—	—	2.1000	2.5910	MN	—	45,096.64	12032015	5012023
56577AAC6	MCLO_14-7A	D	4	1FE	3,976,000.00	3,999,748.00	4,000,000.00	3,982,689.32	17,058.68		3,075.54		—	—	2.1000	2.1230	JD	25,569.48	131,359.09	12072015	12142018
585055BG0	MEDTRONIC INC			1FE	11,307,550.95	11,128,907.63	11,035,000.00	11,257,370.16	(128,462.53	)	(50,180.79	)	—	—	4.5000	2.7410	MON	81,229.85	129,477.44	12052016	5152038
585055BR6	MEDTRONIC INC			1FE	519,650.00	510,999.99	500,000.00	517,218.08	(6,218.09	)	(2,431.92	)	—	—	—	0.0710	MJSD	4,637.50	7,743.75	10222015	11022022
585055BA3	MEDTRONIC INC			1FE	3,444,825.00	3,443,479.50	3,450,000.00	3,448,679.55	(5,200.05	)	1,043.92		—	—	—	0.0710	FMAN	11,859.39	47,437.50	8142015	9302022
585055BS4	MEDTRONIC INC			1FE	777,493.21	770,984.97	750,000.00	774,110.61	(3,125.64	)	(2,555.07	)	—	—	2.5430	2.5350	MON	7,729.17	26,250.00	10232014	4202050
58769BAE4	MERCEDES-BENZ AUTO RECEIVABLES		4	1FE	4,309,042.32	4,249,582.98	4,310,000.00	4,309,107.69	(59,524.71	)	65.37		—	—	2.0700	2.0700	MN	2,796.71	15,906.29	5052016	5092023
58769BAF1	MERCEDES-BENZ AUTO RECEIVABLES		4	1FE	1,734,928.35	1,734,544.73	1,735,000.00	1,734,942.01	(397.28	)	13.66		—	—	—	0.4310	MJSD	855.94	4,868.13	12172015	2/16/5054
58933YAG0	MERCK & CO INC			1FE	4,743,408.45	4,749,579.30	4,755,000.00	4,751,473.96	(1,894.66	)	3,624.94		—	—	2.9330	0.5840	MON	7,383.46	66,635.83	4222013	5012042
58933YAS4	MERCK & CO INC			1FE	1,592,567.45	1,595,287.08	1,595,000.00	1,593,431.91	1,855.17		485.29		—	—	3.5000	2.1130	MON	11,557.11	29,507.50	8272014	9152040
59012UAA3	MERNA REINSURANCE LTD	D			3,625,000.00	3,626,450.00	3,625,000.00	3,625,000.00	1,450.00		—		—	—	1.7000	1.5230	FA	514.55	94,560.27	3022016	9/5/7983

59022CCS0	MERRILL LYNCH & CO. INC.			2FE	1,943,287.50	1,773,117.50	1,750,000.00	1,773,236.87	(119.37	)	(68,900.27	)	—	—		—	—	MJSD	16,347.92	99,750.00		11202015	10272022
59163PHV8	METRO ORE			1FE	366,863.25	353,138.50	325,000.00	356,842.51	(3,704.01	)	(10,020.74	)	—	—		3.9900	1.6600	MN	1,354.17	11,149.31		4142015	11012019
59261EAE9	METROPOLITAN TRANS AUTH N Y			1FE	16,629,940.00	16,705,088.45	16,645,000.00	16,636,927.16	68,161.29		3,123.60		—	—		1.7000	1.9440	AO	153,799.80	307,599.60		8072015	4272018
BRT0NP404	MGM RESORTS INTERNATIONAL		2	4FE	867,825.00	876,253.56	870,000.00	868,037.03	8,216.53		224.53		—	—		3.6000	2.8810	FA	—	23,189.09		5112016	8152021
62405QAJ2	MHAWK_13-1A	D	4	1FE	1,203,125.00	1,232,428.38	1,250,000.00	1,218,265.84	14,162.54		8,070.73		—	—		4.0510	3.1320	MON	9,128.09	41,777.24		7302015	4152047
59334DHN7	MIAMI DADE CNTY FLA		2	1FE	1,146,570.00	1,145,380.00	1,000,000.00	1,113,577.02	31,802.98		(14,926.84	)	—	—		2.5000	1.8190	MON	12,500.00	50,000.00		10132016	10012031
BRT56C9J5	MICHAELS STORES INC		2	3FE	3,419,575.31	3,452,630.20	3,420,864.06	3,419,627.05	33,003.15		51.74		—	—		5.0000	3.5110	MON	—	14,791.61		9282009	6012024
5946103D7	MICHIGAN STATE OF		2	1FE	2,308,400.00	2,145,600.00	2,000,000.00	2,140,325.22	5,274.78		(75,248.00	)	—	—		0.7900	0.8550	MON	17,500.00	105,000.00		7242014	7162018
5946106P7	MICHIGAN STATE OF			1FE	1,652,295.00	1,596,405.00	1,500,000.00	1,596,257.84	147.16		(32,968.73	)	—	—		1.0620	1.3830	FMAN	9,975.00	59,850.00		5202013	5152023
BRSY0Y6K1	MICROSEMI CORPORATION		2	3FE	898,818.51	935,111.32	926,617.03	902,500.71	32,610.61		45,925.88		—	—		—	—	MJSD	—	83,334.09		0	5232019
594918BG8	MICROSOFT CORP		1	1FE	563,794.00	550,434.51	550,000.00	562,701.11	(12,266.60	)	(1,092.89	)	—	—		1.8960	1.9140	AO	1,772.22	1,955.56		10282014	10152019
594918AV6	MICROSOFT CORP			1FE	646,249.50	653,464.48	650,000.00	648,514.84	4,949.64		751.10		—	—		1.8750	1.8830	JD	733.51	10,562.50		4022014	6012018
594918BA1	MICROSOFT CORP		1	1FE	2,099,307.00	2,091,956.94	2,100,000.00	2,099,490.85	(7,533.91	)	92.56		—	—		2.1250	1.8870	AO	19,257.29	49,875.00		9092016	4252018
594918BF0	MICROSOFT CORP			1FE	3,301,848.00	3,298,053.07	3,300,000.00	3,301,139.78	(3,086.71	)	(531.47	)	—	—		1.3500	1.3550	AO	6,911.67	67,269.94		10032016	10042019
594918AS3	MICROSOFT CORP			1FE	2,093,680.15	2,088,756.90	2,095,000.00	2,094,641.83	(5,884.93	)	266.16		—	—		—	—	MJSD	3,491.67	20,950.00		0	8162022
594918BN3	MICROSOFT CORP			1FE	5,794,026.00	5,722,221.83	5,800,000.00	5,794,804.90	(72,583.07	)	778.90		—	—		2.7800	2.7860	JAJO	25,342.78	—		11202014	10152023
595620AJ4	MIDAMERICAN ENERGY CO		1	1FE	839,529.60	849,206.41	840,000.00	839,803.38	9,403.03		86.11		—	—		3.5000	2.5500	MON	5,936.00	20,160.00		10222015	7012045
BRSKQD5K0	MISSION BROADCASTING INC.		4		1,137,326.71	1,147,278.32	1,137,326.71	1,137,326.71	9,951.61		—		—	—		—	0.0890	MJSD	—	50,545.13		9302016	7282022
60636YGY1	MISSOURI ST HSG DEV COMMN			1FE	527,483.25	525,309.75	525,000.00	525,778.09	(468.34	)	(839.71	)	—	—		1.4060	1.4820	MON	4,462.50	9,549.51		3122013	11/15/5464
606822AA2	MITSUBISHI TOKYO FINANCIAL GRP	D		1FE	1,093,720.32	1,100,110.00	1,096,000.00	1,094,079.08	6,030.92		490.79		—	—		—	0.1660	MJSD	10,777.33	26,317.28		8172015	8172021
60687YAF6	MIZUHO FINANCIAL GROUP	D		1FE	5,000,000.00	5,002,500.56	5,000,000.00	5,000,000.00	2,500.56		—		—	—		2.2000	2.2180	JD	5,226.77	25,179.44		12092015	12142020
BRT5HV7S3	MOHEGAN TRIBAL GAMING			4FE	2,510,656.77	2,549,490.80	2,536,016.95	2,511,325.11	38,165.69		731.89		—	—		5.0000	3.4680	MON	—	25,247.18		9292009	12012022
60871RAF7	MOLSON COORS BREWING CO		1	2FE	1,074,591.50	1,046,007.26	1,075,000.00	1,074,631.18	(28,623.92	)	130.94		—	—		1.2500	1.0050	FA	10,911.25	25,841.08		4072016	5/2/8175
60871RAE0	MOLSON COORS BREWING CO			2FE	3,148,425.00	3,102,907.41	3,150,000.00	3,148,675.41	(45,768.00	)	409.52		—	—		3.5000	1.8930	MON	22,076.24	14,565.66		7212014	5252030
60920LAA2	MONDELEZ INTERNATIONAL HOLDING	D	1	2FE	2,744,060.00	2,696,952.48	2,750,000.00	2,744,406.14	(47,453.66	)	381.00		—	—		3.0760	3.4800	MON	7,820.32	778.65		12152005	6252035
BRSHTM755	MONEYGRAM INTL INC		4		3,449,192.67	3,477,877.25	3,533,828.36	3,469,724.89	8,152.36		13,295.05		—	—		5.5000	3.7400	MON	—	136,684.60		9292009	7012022
6174467U7	MORGAN STANLEY			1FE	5,225,152.33	5,227,671.79	5,207,000.00	5,222,967.46	4,704.33		(3,301.07	)	—	—		0.6250	0.6470	FA	20,285.60	69,091.25		9282015	8312017
61761JVM8	MORGAN STANLEY			1FE	2,102,726.60	2,106,852.40	2,105,000.00	2,104,246.02	2,606.38		1,573.39		—	—		4.2500	3.3610	MON	19,295.83	110,193.76		6/25/7682	10202038
61746BDR4	MORGAN STANLEY			1FE	954,579.00	952,365.58	950,000.00	954,443.63	(2,078.05	)	(135.37	)	—	—		6.0000	5.1300	MON	9,902.43	(8,022.22	)	10/29/7490	9012037
U6176TBG2	MORGAN STANLEY			1FE	1,198,165.70	869,669.00	700,000.00	1,105,269.80	443.81		(45,199.42	)	—	(236,044.60	)	3.0000	1.7800	MON	43,755.85	61,960.85		10132016	11/2/4670
6174824M3	MORGAN STANLEY			2FE	5,929,440.00	5,890,830.17	5,500,000.00	5,819,000.06	71,830.11		(48,132.16	)	—	—		4.0000	2.2190	MON	44,687.50	268,125.00		12022015	4012029
61746BDM5	MORGAN STANLEY			1FE	8,140,060.00	8,066,080.32	8,000,000.00	8,126,479.24	(60,398.92	)	(13,580.76	)	—	—		3.0000	2.0600	MON	87,222.22	(41,944.44	)	10232013	10012028
61747WAL3	MORGAN STANLEY			1FE	2,254,140.00	2,215,820.00	2,000,000.00	2,195,411.28	20,408.72		(39,096.47	)	—	—		1.9000	1.8670	FA	46,750.00	110,000.00		11282016	9/19/7408
61746BED4	MORGAN STANLEY			1FE	4,113,870.15	4,078,887.98	4,135,000.00	4,114,363.94	(35,475.96	)	493.79		—	—		—	—	MJSD	13,266.46	—		0	7012021

61747YDW2	MORGAN STANLEY			1FE	1,913,646.00	1,908,189.00	1,900,000.00	1,909,011.57	(822.57	)	(5,279.43	)	—	—		—	—	MJSD	21,538.61	193,229.17		7062016	12112020
6174466Q7	MORGAN STANLEY			1FE	112,513.00	105,664.00	100,000.00	105,828.49	(164.49	)	(6,651.31	)	—	—		—	0.2010	MJSD	1,656.25	12,145.83		11012016	7102020
61761JB32	MORGAN STANLEY			1FE	3,700,554.00	3,732,231.79	3,705,000.00	3,701,861.18	30,370.61		1,027.10		—	—		1.5000	1.5920	MN	4,322.49	126,735.00		5082012	5112017
61761JQK8	MORGAN STANLEY		2	3FE	7,295,765.00	7,195,625.00	7,250,000.00	7,275,206.04	(79,581.04	)	(9,049.67	)	—	—		3.0800	3.0810	JJ	182,196.53	395,125.00		9212016	10132021
6174467X1	MORGAN STANLEY			2FE	2,220,320.00	2,135,140.22	2,000,000.00	2,190,296.99	(55,156.77	)	(17,749.00	)	—	—		3.7500	3.7670	MJSD	10,277.78	100,000.00		12202013	11/1/4889
61746BEA0	MORGAN STANLEY			1FE	448,488.00	444,627.00	450,000.00	448,687.81	(4,060.81	)	199.81		—	—		2.2560	3.3360	MON	2,187.50	5,625.00		3292010	12262035
61761J3R8	MORGAN STANLEY			1FE	1,890,660.00	1,816,552.04	1,900,000.00	1,891,034.39	(74,482.35	)	374.39		—	—		3.3800	3.4110	MON	25,729.17	(2,847.22	)	10092014	10182029
6174468B8	MORGAN STANLEY			1FE	989,237.70	992,544.34	990,000.00	989,571.64	2,972.70		214.83		—	—		3.2620	3.2740	FMAN	1,452.00	21,780.00		10/4/5245	12/28/7928
61763KBA1	MORGAN STANLEY BAML TRUST MSBA		4	1FM	399,726.56	397,057.51	375,000.00	395,807.36	1,250.15		(3,955.07	)	—	—		2.1470	2.1470	JJ	1,265.93	23,408.48		8162012	7012018
61764PBR2	MORGAN STANLEY BAML TRUST MSBM		4		3,392,734.40	3,333,629.99	3,250,000.00	3,354,361.90	(20,731.91	)	(41,741.69	)	—	—		1.2560	1.2590	MON	8,398.54	142,353.59		11062013	10/26/8065
61754JAF5	MORGAN STANLEY CAPITAL I		4		695,792.45	626,070.37	619,062.56	625,200.55	869.82		(66,501.87	)	—	—		6.5000	5.9870	MON	2,911.15	141,467.09		10312007	7012037
BRSJV1000	MORGAN'S POINT LIMITED				25,000,000.00	25,000,000.00	25,000,000.00	25,000,000.00	—		—		—	—		6.0000	—	NOV	680,000.00	—		11122015	3/4/5492
BRSRP3A63	MOTOR_15 -1X		4	1FE	895,236.17	718,627.07	582,418.95	895,236.17	(1,038.91	)	0.18		—	(175,570.19	)	3.0000	2.1580	MON	58.22	11,798.41		12022015	11012030
BRT1U4MN1	MPH ACQUISITION HOLDINGS LLC		2	4FE	234,386.18	239,518.18	235,564.00	234,481.38	5,036.80		433.62		—	—		—	0.0710	MJSD	—	24,659.00		7302015	8042022
61746REV9	MSAC		4	1FE	941,018.19	892,976.56	939,550.15	940,355.51	(47,378.95	)	(59.61	)	—	—		—	0.0710	MJSD	195.23	11,598.23		10272016	10312023
61762DAU5	MSBAM_13-C9		4		9,567,471.88	9,339,030.20	9,220,000.00	9,535,474.18	(196,443.98	)	(31,997.70	)	—	—		2.9500	3.1500	MS	20,414.62	74,387.12		8122010	9012020
61763KAY0	MSBAM_14-C15		4		1,177,343.75	1,145,452.04	1,100,000.00	1,168,159.04	(22,707.00	)	(9,184.71	)	—	—		5.0000	2.1510	JJ	3,349.51	22,370.67		3292016	7012027
61763UAV4	MSBAM_14-C17		4		5,109,769.53	5,037,557.42	4,900,000.00	5,015,815.86	21,741.56		(55,619.68	)	—	—		4.0000	2.6880	MON	12,735.92	152,831.04		8022011	7012026
61764RBF4	MSBAM_15-C20		4		5,149,631.00	5,028,885.00	5,000,000.00	5,121,667.28	(92,782.28	)	(15,130.99	)	—	—		4.3750	4.3760	MN	13,537.50	162,450.00		11162016	11232026
61765LAR1	MSBAM_15-C24		4	1FE	4,480,472.60	4,468,788.93	4,350,000.00	4,444,331.10	24,457.83		(25,603.06	)	—	—		2.7500	2.7900	JD	11,194.00	134,328.00		12022015	12092020
61690VAZ1	MSBAM_15-C26		4	1FM	978,475.21	973,053.56	950,000.00	975,349.48	(2,295.92	)	(2,774.49	)	—	—		6.0000	5.2660	MON	2,795.38	33,544.56		10/29/7490	11/12/4670
61763MAB6	MSBAM_C16		4		1,905,424.71	1,885,376.63	1,850,000.00	1,873,934.64	11,441.99		(14,767.58	)	—	—		2.2300	2.2470	MON	4,392.21	52,706.52		7132012	8152022
61760VAP8	MSC_12-C4		4	1FE	5,541,596.09	5,349,800.40	5,180,000.00	5,519,886.49	(170,086.09	)	(21,709.60	)	—	—		1.7500	1.7690	MN	14,003.26	35,172.15		5262016	5302018
61763QAA9	MSC_14-CPT		4	1FE	1,040,351.56	1,033,560.03	1,000,000.00	1,039,621.84	(6,061.81	)	(729.72	)	—	—		6.9000	6.9000	AO	2,791.67	(93.06	)	5242001	10012021
61691BAA9	MSCBB_16-MART		4		3,499,986.00	3,421,885.95	3,500,000.00	3,499,613.40	(77,727.45	)	(372.60	)	—	—		2.2000	2.1680	MON	6,417.83	13,691.37		9152016	9132031
BRT3Q0CM3	MSHC INC				3,617,838.87	3,572,615.88	3,617,838.87	3,617,838.87	(45,222.99	)	—		—	—		6.5000	5.4950	MON	—	138,068.17		8152008	9152034
61745MVW0	MSM_04-1		4	1FM	58,095.18	57,265.99	56,821.79	57,248.72	17.27		(1,445.02	)	—	—		1.6100	1.6250	MON	236.76	4,709.95		11142014	11152020
61759LAA6	MSRR_10-GG10		4	1FE	580,782.75	541,948.48	540,596.99	548,223.78	(6,275.30	)	(17,717.19	)	—	—		3.0000	2.6510	MON	2,609.66	34,904.77		3302016	8012043
61974QAC0	MTL6_15		4		1,500,000.00	1,505,239.20	1,500,000.00	1,500,000.00	5,239.20		—		—	—		5.6500	2.5500	MON	3,256.26	39,075.12		10152014	3252058
BRSQGX3A8	MUELLER WATER PRODUCTS INC		4	3FE	475,511.75	482,082.86	477,901.22	476,193.78	5,889.08		369.76		—	—		5.0000	1.8200	AO	—	19,537.50		11022016	10012026
62983QAJ2	NAKAMA RE LTD	D			250,000.00	250,677.50	250,000.00	250,000.00	677.50		—		—	—		5.6100	5.6100	FA	2,669.12	(3.25	)	8072009	8012017
62983QAD5	NAKAMA RE LTD	D			1,000,000.00	1,000,610.00	1,000,000.00	1,000,000.00	610.00		—		—	—		1.8040	1.8040	FA	5,937.50	23,050.23		3182015	1/9/7792
62983QAF0	NAKAMA RE LTD	D			14,250,000.00	14,315,977.50	14,250,000.00	14,250,000.00	65,977.50		—		—	—		—	—	MJSD	102,421.88	332,067.06		11222016	7312019
62983QAE3	NAKAMA RE LTD	D			1,250,000.00	1,273,062.50	1,250,000.00	1,250,000.00	23,062.50		—		—	—		1.5000	1.5320	MS	9,909.16	38,392.72		9132016	9192019

62983QAH6	NAKAMA RE LTD	D			500,000.00	502,110.00	500,000.00	500,000.00	2,110.00		—		—	—		5.0000	5.0110	FA	3,977.89	(2.20	)	9292015	9/3/7983
62983QAG8	NAKAMA RE LTD	D			500,000.00	513,350.00	500,000.00	500,000.00	13,350.00		—		—	—		3.5740	3.6810	JAJO	4,456.75	13,088.96		5232016	10122023
65478VAE7	NAROT_16-B		4	1FE	859,998.54	849,020.68	860,000.00	859,994.16	(10,973.48	)	(4.38	)	—	—		3.0000	2.9670	MON	588.62	8,393.88		6082015	4012043
63254AAQ1	NATIONAL AUSTRALIA BANK LIMITE			1FE	971,607.00	956,689.52	975,000.00	972,128.85	(15,439.33	)	521.85		—	—		5.5000	3.6270	MON	6,293.49	—		9292009	3012023
63254AAM0	NATIONAL AUSTRALIA BANK LIMITE				2,992,530.00	2,999,279.94	3,000,000.00	2,994,881.92	4,398.02		2,351.92		—	—		—	0.0290	FMAN	27,833.33	30,000.00		6022015	12312049
63254AAK4	NATIONAL AUSTRALIA BANK LIMITE				2,799,272.00	2,804,311.78	2,800,000.00	2,799,616.44	4,695.34		240.10		—	—		—	0.1190	MJSD	23,041.67	52,500.00		11152013	6302019
63253WAJ0	NATIONAL AUSTRALIA BANK LTD	D		1FE	2,993,130.00	2,981,369.93	3,000,000.00	2,993,219.29	(11,849.36	)	89.29		—	—		6.5000	5.2700	MON	4,800.00	—		9112008	2/17/5054
63307A2C8	NATIONAL BK OF CANADA	A		1FE	1,648,894.50	1,655,741.87	1,650,000.00	1,649,273.37	6,468.50		496.11		—	—		—	—	MJSD	1,636.25	48,483.75		0	11092020
BRSJ6L8K4	NATIONAL CNEMDIA		4	3FE	1,366,621.35	1,378,437.50	1,375,000.00	1,371,041.23	7,396.27		1,365.45		—	—		—	—	MJSD	—	45,099.61		0	3292019
BRT4Z4YN7	NATIONAL GRID GAS FINANCE PLC	B			1,413,166.34	1,325,535.34	1,080,000.00	1,413,275.35	(7,430.87	)	109.01		—	(80,309.14	)	1.3540	1.3580	MON	4,154.33	(100.76	)	4252013	7152022
G9004JAK4	NATIONAL GRID GAS PLC			1FE	627,376.01	530,307.73	420,000.00	606,037.96	410.47		(21,338.05	)	—	(76,140.70	)	8.3750	1.6440	FEB	17,744.61	5,935.44		12102014	11/30/7928
637432NC5	NATIONAL RURAL UTILITIES COOP		1	1FE	1,995,840.00	1,980,919.96	2,000,000.00	1,997,395.55	(16,475.59	)	813.74		—	—		3.5000	2.4100	MON	17,111.11	40,000.00		5/25/7819	11/19/4670
637432NF8	NATIONAL RURAL UTILITIES COOP		1	1FE	513,959.70	511,286.84	515,000.00	514,194.51	(2,907.67	)	281.21		—	—		3.5000	2.5080	MON	1,974.17	21,123.26		9232016	7012045
637432NB7	NATIONAL RURAL UTILITIES COOP		1	1FE	998,640.00	1,007,640.00	1,000,000.00	999,202.19	8,437.81		265.99		—	—		3.4800	3.4890	JD	2,938.89	23,000.00		5172016	6012019
G63983JV6	NATIONWIDE BUILDING SOCIETY			1FE	1,402,964.42	1,386,858.34	1,000,000.00	1,399,913.35	(3,623.85	)	(3,051.07	)	—	(9,431.15	)	5.3050	4.6710	MON	21,888.40	(18,256.83	)	3122009	12162037
G6S17B5H5	NATIONWIDE BUILDING SOCIETY				738,868.00	646,226.17	520,000.00	738,868.00	3,688.17		—		—	(96,330.00	)	2.5000	1.7630	MON	1,054.91	4,039.85		3132013	3012028
BRSWNA846	NAVEX GLOBAL INC				7,331,486.26	7,331,486.25	7,405,541.67	7,344,424.67	(12,938.42	)	11,497.48		—	—		6.0000	5.7320	MON	—	518,988.15		3292007	3012037
63939CAB3	NAVSL_14-AA		4	1FE	406,732.72	408,240.30	408,007.74	406,742.22	1,498.08		9.50		—	—		6.1250	2.0710	FA	496.86	(155.27	)	3012016	8232018
63939EAB9	NAVSL_15-AA		4	1FE	329,878.46	329,868.00	330,000.00	329,915.30	(47.30	)	18.81		—	—		3.0000	2.0620	MON	388.67	8,745.00		7062016	4252046
63946CAC2	NBCUNIVERSAL ENTERPRISE INC			1FE	1,003,750.00	1,001,430.05	1,000,000.00	1,002,180.37	(750.32	)	(1,569.63	)	—	—		4.0000	2.2440	MON	3,508.67	12,141.83		11192013	10012028
63946CAB4	NBCUNIVERSAL ENTERPRISE INC			1FE	3,758,444.50	3,774,149.63	3,750,000.00	3,752,628.83	21,520.80		(2,304.20	)	—	—		2.4500	2.4600	JD	12,715.63	82,076.08		4232015	6302020
63946BAD2	NBCUNIVERSAL MEDIA LLC			1FE	3,918,880.00	3,827,950.11	3,500,000.00	3,892,141.77	(64,191.66	)	(26,738.23	)	—	—		2.4000	1.9660	AO	30,542.36	10,514.58		4292015	10212018
BRT10ZSU3	NBTY INC			4FE	361,684.82	366,228.60	363,502.33	361,853.22	4,375.38		191.86		—	—		2.9500	3.1730	AO	—	13,181.37		11102016	10012026
62886XAE6	NCF DEALER FLOORPLAN MASTER TR		4	1FE	992,187.50	992,806.20	1,000,000.00	992,803.38	2.82		615.88		—	—		3.3290	2.9710	MON	1,329.67	6,426.75		3292016	4152049
62889AAA1	NCUA GUARANTEED NOTES		4	1	746,341.92	744,707.43	746,341.92	746,341.92	(1,634.49	)	0.16		—	—		5.0000	5.0000	MJSD	519.30	6,938.21		9062016	12292049
BRSMK3RL8	NEIMAN MARCUS GROUP INC. THE		4	4FE	2,432,426.40	2,118,273.21	2,437,343.39	2,434,307.18	(316,033.97	)	820.51		—	—		1.6420	1.6420	JD	—	105,295.78		5222013	12012018
BRSW6MLL6	NEPTUNE FINCO CORP			3FE	1,958,321.27	1,996,428.02	1,988,143.43	1,963,264.29	33,163.73		19,454.58		—	—		—	0.1410	MJSD	—	147,582.53		9302014	12232020
BRSH5LE30	NETWORK RAIL INFRA FIN	B		1FE	2,340,423.68	1,866,199.85	1,500,000.00	2,336,110.11	11,108.78		(2,166.91	)	—	(481,019.04	)	3.4500	3.4800	JD	1,269.51	22,607.25		5262016	6012026
64128QAK1	NEUB_14-18A	D	4		2,500,000.00	2,475,705.75	2,500,000.00	2,500,000.00	(24,294.25	)	—		—	—		3.0000	3.1860	MON	9,103.13	—		9092014	8012043
64129UAL9	NEUB_17	D	4	1FE	951,500.00	992,441.90	1,000,000.00	958,008.70	34,433.20		6,508.70		—	—		—	0.0360	MJSD	5,857.47	27,518.33		4152015	4282022
644682D29	NEW HAMPSHIRE ST			1FE	2,580,441.00	2,436,174.50	2,350,000.00	2,438,147.06	(1,972.56	)	(75,042.35	)	—	—		5.0000	3.3160	MON	34,270.83	102,812.50		9292009	4152024
645771XB7	NEW JERSEY BLDG AUTH			1FE	690,125.20	678,857.60	680,000.00	684,055.24	(5,197.64	)	(2,727.91	)	—	—		2.4000	2.5080	FA	696.02	15,660.40		3052015	3/1/7874
646136K83	NEW JERSEY ST TRANSN TR FD AUT			1FE	5,050,000.00	4,918,599.16	5,050,000.00	5,050,000.00	(131,400.84	)	—		—	—		3.5000	2.5170	MON	3,945.73	88,779.00		3232015	3012045
649322AC8	NEW YORK PRESBYTERIAN HOSP			1FE	149,995.50	143,784.00	150,000.00	149,999.68	(6,215.68	)	4.18		—	—		—	0.0730	MJSD	2,716.79	—		11202014	9102020

64966KEB5	NEW YORK NY		2	1FE	5,804,500.00	5,736,250.00	5,000,000.00	5,605,443.65	130,806.35		(90,015.21	)	—	—		0.7500	0.8640	AO	104,166.67	250,000.00		3062014	4202017
64971WF39	NEW YORK NY CITY TRANSITIONAL			1FE	2,000,700.00	1,951,300.00	2,000,000.00	2,000,687.82	(49,387.82	)	(12.18	)	—	—		4.5000	2.7640	MON	14,083.33	(9,295.00	)	3222010	7202038
64972HKE1	NEW YORK NY CITY TRANSITIONAL		2	1FE	1,144,760.00	1,056,720.00	1,000,000.00	1,059,444.57	(2,724.57	)	(38,121.27	)	—	—		6.5000	6.1640	MON	23,055.56	50,000.00		10312007	7012037
64972HKH4	NEW YORK NY CITY TRANSITIONAL		2	1FE	3,442,770.00	3,181,560.00	3,000,000.00	3,182,144.95	(584.95	)	(116,573.23	)	—	—		2.5000	2.4930	MON	72,625.00	157,500.00		11092010	12252040
649791CH1	NEW YORK ST			1FE	811,747.50	772,372.50	750,000.00	775,083.94	(2,711.44	)	(21,339.88	)	—	—		1.2500	1.3450	MN	10,225.00	30,675.00		11032014	11092017
649907XR8	NEW YORK ST DORM AUTH			1FE	3,053,370.00	3,035,850.00	3,000,000.00	3,024,962.25	10,887.75		(12,743.12	)	—	—		2.7500	1.8280	JD	5,125.00	61,500.00		8312016	6152020
649883XV2	NEW YORK ST MTG AGY		2	1FE	898,278.60	875,161.80	860,000.00	889,884.09	(14,722.29	)	(3,814.99	)	—	—		2.7260	1.9970	MON	9,567.50	38,270.00		3232016	5102050
650035K72	NEW YORK ST URBAN DEV CORP			1FE	6,922,770.00	6,905,727.00	6,900,000.00	6,908,899.87	(3,172.87	)	(10,706.47	)	—	—		2.2500	1.7240	FA	29,256.00	164,880.00		11092016	1/23/8011
650035C48	NEW YORK ST URBAN DEV CORP		2	1FE	5,269,005.00	5,215,410.00	4,500,000.00	5,080,702.16	134,707.84		(84,996.26	)	—	—		3.0400	2.2010	MON	66,250.00	225,000.00		11292016	3/3/7655
651229AU0	NEWELL RUBBERMAID INC		1	2FE	3,494,225.00	3,565,100.04	3,500,000.00	3,495,042.84	70,057.20		817.84		—	—		5.0000	2.0700	JD	27,562.50	55,431.25		10062016	6152026
651229AP1	NEWELL RUBBERMAID INC		1	2FE	4,355,116.80	4,421,345.41	4,360,000.00	4,357,105.67	64,239.74		938.98		—	—		6.0000	5.1450	MON	10,445.83	125,350.02		10/29/7490	9012037
651229AT3	NEWELL RUBBERMAID INC			2FE	9,465,076.85	9,508,455.57	9,405,000.00	9,462,284.48	46,171.09		(2,792.37	)	—	—		3.5000	2.5290	MON	62,491.00	55,719.07		8032011	8012026
651229AR7	NEWELL RUBBERMAID INC			2FE	699,979.00	703,192.01	700,000.00	699,986.77	3,205.24		6.69		—	—		2.2500	1.8230	FA	3,177.22	14,882.78		12072016	8152019
BRSKQ8AG4	NEXSTAR BROADCASTING GROUP INC		4		1,289,559.30	1,300,842.94	1,289,559.30	1,289,559.30	11,283.64		—		—	—		3.2880	1.6550	MON	—	57,316.62		6162016	12102044
BRT5CGDN5	NEXSTAR BROADCASTING INC		2	3FE	802,278.83	810,321.72	804,289.55	802,278.83	8,042.89		—		—	—		3.6500	3.6850	MS	—	—		8142015	9012025
62888UAA8	NGN_10-R2		4	1	592,897.88	592,944.84	592,897.88	592,897.88	46.96		(646.34	)	—	—		3.0000	2.4810	MON	371.38	5,753.11		10122016	10012046
62888YAA0	NGN_11-R1		4	1	812,974.84	814,281.22	812,661.26	812,782.36	1,498.86		(75.23	)	—	—		3.3750	3.8090	MON	532.03	8,367.13		4022007	9012033
62889EAA3	NGN_11-R3		4	1	3,906,412.87	3,895,336.90	3,901,384.04	3,903,902.38	(8,565.48	)	(1,475.87	)	—	—		4.2560	4.4220	FMAN	2,239.02	39,117.12		3042015	5012027
62889FAA0	NGN_11-R4		4	1	233,675.24	233,744.01	233,675.24	233,675.24	68.77		1.45		—	—		—	0.1310	MJSD	174.16	3,288.26		10012015	12312020
654740AS8	NISSAN MOTOR ACCEPTANCE CORP			1FE	334,363.50	322,762.45	335,000.00	334,400.19	(11,637.74	)	36.69		—	—		1.8750	1.9800	FA	1,891.82	—		8092016	8152023
655044AH8	NOBLE ENERGY INC		1	2FE	4,139,435.00	4,436,871.87	4,400,000.00	4,156,712.40	280,159.47		19,195.30		—	—		2.8150	2.8780	MON	21,926.66	153,367.50		8102006	9012032
65504LAH0	NOBLE HOLDING INTERNATIONAL LT	D		3FE	505,725.00	497,500.00	500,000.00	500,479.11	(2,979.11	)	(2,358.27	)	—	—		3.0000	2.1030	MON	3,680.56	12,500.00		9022015	4012030
BRSRG6TU3	NOMACORC				1,451,250.00	1,349,662.50	1,451,250.00	1,451,250.00	(101,587.50	)	—		—	—		3.0000	2.1540	MON	—	34,852.82		5092016	7202045
BRSRG6UY3	NOMACORC				5,894,999.99	5,482,349.99	5,894,999.99	5,894,999.99	(412,650.00	)	—		—	—		3.2200	4.2310	MON	—	337,260.04		7142016	6182028
62951MAY6	NOMURA ASSET ACCEPTANCE CORPOR		4	1FE	544,244.35	526,807.94	538,689.11	543,136.21	(16,328.27	)	(654.29	)	—	—		3.8500	3.8450	JD	2,917.90	34,520.50		11302016	12152026
65557DAK7	NORDEA BANK AB	D		1FE	5,974,200.00	6,039,228.00	6,000,000.00	5,987,973.38	51,254.62		5,131.55		—	—		1.7130	1.7130	MN	34,437.50	142,500.00		9142016	5012021
65557CAM5	NORDEA BANK AB	D	2	2FE	5,750,000.00	5,711,532.50	5,750,000.00	5,750,000.00	(38,467.50	)	—		—	—		6.0000	5.6980	MON	86,090.27	517,501.11		11022007	9012037
65557CAR4	NORDEA BANK AB	D		1FE	1,102,398.00	1,097,590.98	1,100,000.00	1,102,223.58	(4,632.60	)	(279.10	)	—	—		4.2500	1.2670	DEC	7,944.44	22,958.33		12102014	12082017
W57996JD8	NORDEA BANK AB			1FE	1,548,517.03	1,540,535.17	1,200,000.00	1,547,602.35	1,995.03		(914.68	)	—	(9,062.21	)	2.4320	2.4680	JAJO	4,229.98	(2,708.88	)	5/31/5437	7/20/5300
65562QAW5	NORDIC INVESTMENT BANK	D		1FE	2,980,170.00	3,010,380.24	3,000,000.00	2,986,214.42	24,165.82		2,720.53		—	—		—	0.0710	MJSD	17,062.50	67,500.00		6292015	7082022
658256Z54	NORTH CAROLINA ST			1FE	652,100.00	615,210.00	500,000.00	640,955.48	(25,745.48	)	(11,144.52	)	—	—		6.0400	2.8040	JD	2,083.34	18,194.45		7262016	12012029
665859AQ7	NORTHERN TRUST COMPANY		2		8,649,350.00	8,313,600.00	8,660,000.00	8,649,350.00	(335,750.00	)	—		—	—		1.1000	1.1440	MN	158,237.44	(4,280.56	)	11022012	11012017
666807BK7	NORTHROP GRUMMAN CORP		1	2FE	996,070.00	990,299.99	1,000,000.00	996,081.25	(5,781.26	)	11.25		—	—		1.3750	1.4330	FA	2,666.67	(355.56	)	10202015	8312020
666807BF8	NORTHROP GRUMMAN CORP			2FE	1,071,625.63	1,075,650.33	1,073,000.00	1,072,306.80	3,343.53		479.62		—	—		2.9500	1.2500	AO	1,564.80	18,777.50		3272013	4012018

BRSTJ1FE8	NOVELIS INC/GA		4	3FE	3,302,895.48	3,326,882.12	3,313,274.51	3,305,046.55	21,835.57		1,495.64		—	—	2.9910	3.1340		MON	—	121,474.16		4022007	11012034
BRT2GMJC3	NRG ENERGY INC			3FE	2,469,040.44	2,503,937.03	2,481,447.67	2,469,850.37	34,086.66		872.29		—	—	—	0.1440		MJSD	—	39,708.98		3132014	3122021
65251QAA9	NSCDN_14-1A		4		2,500,000.00	2,460,905.75	2,500,000.00	2,500,000.00	(39,094.25	)	—		—	—	3.3820	3.0340		MON	12,900.07	61,420.46		5152015	5102050
65251PAC7	NSLP_14-1A		4	1FE	487,100.00	488,040.30	500,000.00	489,516.64	(1,476.34	)	2,007.90		—	—	5.0000	3.5080		MON	3,288.35	16,086.17		9292009	3012023
BRT0TMUX4	NUMERICABLE GROUP SA	D	2		290,432.43	295,713.02	293,366.09	290,695.09	5,017.93		277.40		—	—	—	0.0720		MJSD	—	7,853.93		11192014	11242021
BRT5TA9A3	NUMERICABLE GROUP SA	D	2		1,257,352.94	1,270,745.80	1,260,504.20	1,257,388.98	13,356.82		36.04		—	—	5.1250	1.2700		APR	—	—		9272016	4142021
67066GAD6	NVIDIA CORPORATION		1	2FE	1,117,782.40	1,092,806.39	1,120,000.00	1,117,907.02	(25,100.63	)	124.62		—	—	7.2700	7.2700		JD	7,186.67	—		6152001	12012021
65251UAC6	NWSCLF_16-1A		4	1FE	250,000.00	250,667.25	250,000.00	250,000.00	667.25		—		—	—	2.3750	2.3770		AO	1,202.53	8,562.43		10032016	10062026
65251KAG9	NWSTR_13-1A		4	1FE	250,000.00	248,971.93	250,000.00	250,000.00	(1,028.07	)	—		—	—	—	—		MJSD	399.78	11,340.53		6082016	7312019
65251TAC9	NWSTR_15-1A		4	1FE	2,000,000.00	1,981,792.20	2,000,000.00	2,000,000.00	(18,207.80	)	—		—	—	3.0000	2.4770		MS	14,929.39	68,470.26		6222015	9012021
65251TAE5	NWSTR_15-1A		4	1FE	1,000,000.00	990,351.40	1,000,000.00	1,000,000.00	(9,648.60	)	—		—	—	—	0.0710		MJSD	9,593.86	44,910.12		3252014	4302021
BRST0A6G3	NXTC_15-1A		4		1,000,000.00	965,901.90	1,000,000.00	1,000,000.00	(34,098.10	)	—		—	—	1.5000	1.5840		FA	9,061.34	42,881.88		4/26/4780	8/12/7545
674000AG9	OAKCL_14-1A	D	4	1FE	480,000.00	490,547.50	500,000.00	492,466.94	(1,919.44	)	990.49		—	—	5.0000	5.2590		MON	2,501.37	17,598.54		7172008	11012019
67389MAE1	OAKS_15-1		4		986,238.89	967,593.52	984,393.17	985,482.10	(17,888.58	)	(1,314.59	)	—	—	—	—		MJSD	2,871.15	42,559.97		0	6152020
67400LAC2	OAKTA_14-A2	D	4	1FE	3,930,000.00	3,999,740.00	4,000,000.00	3,949,694.74	50,045.26		9,636.93		—	—	—	—		MJSD	16,740.72	117,838.25		9142015	8282021
67401DAC9	OAKTA_15-A1	D	4	1FE	1,488,150.00	1,501,728.30	1,500,000.00	1,489,910.51	11,817.79		1,760.51		—	—	1.8750	1.8840		JJ	10,880.22	38,620.72		7162015	7232018
67089NAV4	OCP_12-2A	D	4	1FE	500,000.00	499,398.30	500,000.00	500,000.00	(601.70	)	—		—	—	—	0.0350		JAJO	2,073.89	—		3312014	3242021
67107KAC0	OCP_14-7A	D	4	1FE	3,850,000.00	3,972,285.60	4,000,000.00	3,895,285.61	76,999.99		20,171.66		—	—	3.8280	3.4700		MON	24,181.01	108,473.84		6192014	7152047
67110DAE7	OCP_16-11A	D	4	1FE	1,745,625.00	1,750,059.68	1,750,000.00	1,746,108.29	3,951.39		483.29		—	—	—	0.0710		MJSD	9,884.34	23,982.55		5252016	6082023
67590BAE0	OCT16_13-1A	D	4	1FE	499,687.50	498,913.10	500,000.00	499,715.38	(802.28	)	27.88		—	—	3.2200	3.2490		MON	3,831.67	3,190.97		10/4/5245	7202021
676167BS7	OESTERREICHISCHE KONTROLLBANK	D			2,989,440.00	2,961,719.97	3,000,000.00	2,991,814.68	(30,094.71	)	2,374.68		—	—	5.3000	3.2810		MS	6,093.75	16,875.00		8032016	9152020
67091HAK7	OHALF_12-1A	D	4	1FE	2,500,000.00	2,495,540.25	2,500,000.00	2,500,000.00	(4,459.75	)	—		—	—	—	—		JAJO	6,327.80	—		12282016	4/30/4780
67756BXS4	OHIO ST		2	1FE	2,905,950.00	2,685,350.00	2,500,000.00	2,689,515.92	(4,165.92	)	(96,937.98	)	—	—	1.1250	1.2290		FA	11,458.33	137,500.00		6/19/7463	8/11/7545
677522HS6	OHIO ST			1FE	1,233,070.00	1,167,950.00	1,000,000.00	1,206,164.51	(38,214.51	)	(26,905.49	)	—	—	1.2010	1.2040		JAJO	2,222.22	38,333.33		4222016	7242058
67756DJK3	OHIO ST HIGHER EDL FAC REV			1FE	59,914.50	57,489.50	50,000.00	59,775.26	(2,285.76	)	(139.24	)	—	—	2.7900	2.9460		MON	215.29	—		4022007	7012033
67756AVS8	OHIO ST HIGHER EDL FAC REV		2	1FE	440,307.00	435,713.40	435,000.00	435,109.84	603.56		(1,026.45	)	—	—	3.5280	3.1010		MON	3,171.88	19,031.26		3062015	12102047
68217FAA0	OMNICOM GROUP INC		1	2FE	849,209.50	843,251.01	850,000.00	849,265.32	(6,014.31	)	55.82		—	—	5.8000	2.6300		FA	6,460.00	16,065.00		12232015	1/9/7792
6824544G5	ONEIDA CNTY N Y			1FE	1,532,874.00	1,507,884.00	1,400,000.00	1,484,860.55	23,023.45		(21,822.04	)	—	—	—	—		MJSD	31,424.17	75,418.00		0	4/19/5355
68323ADK7	ONTARIO PROVINCE OF	A		1FE	4,995,589.50	4,947,921.00	4,950,000.00	4,990,214.05	(42,293.05	)	(5,375.45	)	—	—	2.5550	2.0250		MJSD	36,420.31	(14,076.56	)	3162015	4092018
68323ADY7	ONTARIO PROVINCE OF	A		1FE	2,972,730.00	2,963,099.91	3,000,000.00	2,974,002.80	(10,902.89	)	1,272.80		—	—	2.7260	2.0970		MON	1,458.33	3,020.83		3032016	5102050
68323ABL7	ONTARIO PROVINCE OF	A		1FE	4,449,585.00	4,475,970.14	4,500,000.00	4,475,380.46	589.68		11,141.57		—	—	1.4600	1.3830		MON	19,387.50	48,400.00		10172014	11152019
68389XAX3	ORACLE CORPORATION			1FE	506,630.00	505,280.00	500,000.00	506,436.88	(1,156.88	)	(193.12	)	—	—	4.4720	(5.2960	)	MON	2,593.75	(1,656.25	)	7202016	5202046
68389XAR6	ORACLE CORPORATION			1FE	2,350,000.00	2,363,817.93	2,350,000.00	2,350,000.00	13,817.93		—		—	—	4.0000	2.0370		MON	7,243.22	27,318.27		8202014	5152043
68389XAQ8	ORACLE CORPORATION			1FE	1,019,460.00	1,014,310.00	1,000,000.00	1,011,175.96	3,134.04		(5,335.50	)	—	—	3.1250	3.1710		JJ	10,951.39	23,750.00		10/20/8065	3/1/5273

68389XAU9	ORACLE CORPORATION		1	1FE	1,098,436.50	1,068,710.98	1,050,000.00	1,089,725.71	(21,014.73	)	(4,846.02	)	—	—		—	—	MJSD	17,155.84	35,700.00		11152016	10/3/7627
68428TCP0	ORANGE CNTY CALIF SANTN DIST		2	1FE	549,301.50	532,494.00	450,000.00	542,507.32	(10,013.32	)	(6,794.18	)	—	—		3.5000	2.6650	MON	9,375.00	7,562.50		12/20/4971	11012044
F4113NCA5	ORANGE SA				1,463,442.33	1,057,169.07	800,000.00	1,326,448.11	9,007.41		(82,445.64	)	—	(278,286.45	)	8.0000	1.6376	December	2,599.95	100,533.31		20141127	20171220
BRSXEUVM4	ORG CHEMICAL MIDCO LLC				450,000.00	448,875.00	450,000.00	450,000.00	(1,125.00	)	—		—	—		3.0000	2.5690	MON	—	5,582.61		6/30/7682	10/15/7408
BRSXEV5F6	ORG CHEMICAL MIDCO LLC				4,856,250.00	4,844,109.38	4,856,250.00	4,856,250.00	(12,140.62	)	—		—	—		—	—	MJSD	—	226,923.26		0	10052023
BRSVBJ4B0	OSMOSE HOLDINGS INC				656,256.96	661,615.84	659,554.73	656,872.82	4,743.02		507.57		—	—		6.0000	5.2450	MON	—	31,964.90		10/29/7490	11/12/4670
69144VAA1	OXFIN_14-1A		4	1FE	2,302,455.45	2,302,621.00	2,302,455.45	2,302,455.45	165.55		—		—	—		1.5000	1.5580	APR	3,556.01	95,562.48		4102013	4182018
67108BAN5	OZLM FUNDING LTD	D	4		500,000.00	499,952.95	500,000.00	500,000.00	(47.05	)	—		—	—		1.9000	1.7250	JAJO	3,115.45	—		7212016	7282021
67111DAC0	OZLM_16-15A	D	4		2,000,000.00	2,000,000.00	2,000,000.00	2,000,000.00	—		—		—	—		2.9670	3.6100	MON	1,910.81	—		5312006	12012035
67108BAL9	OZLMF_12-2A	D	4		1,500,000.00	1,498,669.80	1,500,000.00	1,500,000.00	(1,330.20	)	—		—	—		2.6250	2.5890	MN	7,408.85	—		10242014	5012020
67108EAL3	OZLMF_13-3A	D	4		3,000,000.00	2,996,707.50	3,000,000.00	3,000,000.00	(3,292.50	)	—		—	—		2.1250	2.2250	MON	3,187.36	(9,584.38	)	4172008	5202034
70922PAE2	PA TURNPIKE-E			1FE	4,500,000.00	4,523,940.00	4,500,000.00	4,500,000.00	23,940.00		—		—	—		3.1010	1.8360	MON	6,371.25	76,455.00		4272016	12152047
69371RL79	PACCAR FINANCIAL CORP			1FE	3,850,000.00	3,873,284.80	3,850,000.00	3,850,000.00	23,284.80		—		—	—		1.5000	1.2820	FA	4,299.83	48,816.17		3042015	9/18/7408
69371RM52	PACCAR FINANCIAL CORP			1FE	5,967,113.00	5,965,977.75	5,975,000.00	5,971,334.59	(5,356.84	)	2,616.28		—	—		5.2500	2.8850	JJ	9,991.53	83,650.00		8192015	3/8/5492
69371RM45	PACCAR FINANCIAL CORP			1FE	2,622,532.50	2,625,551.25	2,625,000.00	2,624,012.55	1,538.70		821.62		—	—		—	6.1800	N/A	11,841.67	38,062.50		5262016	6062017
69371RN36	PACCAR FINANCIAL CORP			1FE	2,500,000.00	2,454,700.10	2,500,000.00	2,500,000.00	(45,299.90	)	—		—	—		1.5600	1.5720	MON	11,666.66	—		3222016	9152020
N6803F7R2	PACCAR FINANCIAL EUROPE BV				942,231.81	755,695.14	605,000.00	943,066.28	8,939.56		718.15		—	(196,310.69	)	3.8500	2.6940	MS	6,724.45	16,458.54		6/4/8038	9302023
69371RN28	PACCAR INC			1FE	294,825.95	291,442.30	295,000.00	294,862.73	(3,420.43	)	36.78		—	—		1.7500	1.5930	MON	543.29	1,917.50		8/1/4944	8252039
BRSJA8RE1	PACIFIC DRILLING SA	D	4	4FE	2,839,266.97	1,464,817.22	4,126,245.68	3,365,156.41	(1,900,339.19	)	453,645.61		—	—		3.1500	2.8100	MS	—	191,553.74		3222016	3012026
694308GL5	PACIFIC GAS AND ELECTRIC CO			2FE	645,360.20	601,257.00	580,000.00	600,413.43	843.57		(22,048.45	)	—	—		5.0000	1.9680	MON	2,809.38	32,625.00		7172013	10012020
BRSSM7M39	PACIFIC MERGER SUB INC			4FE	1,954,383.78	1,948,972.26	1,978,652.04	1,956,340.22	(7,367.96	)	1,686.29		—	—		4.0000	2.2130	MON	—	58,544.83		3272015	10/15/7408
695114CM8	PACIFICORP		1	1FE	1,562,060.50	1,511,881.89	1,430,000.00	1,544,225.70	(32,343.81	)	(17,834.80	)	—	—		5.7500	1.3400	OCT	2,446.89	37,773.85		9262016	10202017
695114CK2	PACIFICORP			1FE	4,465,800.00	4,282,360.25	4,000,000.00	4,280,946.08	1,414.17		(133,827.68	)	—	—		2.8510	2.1690	MON	101,444.45	220,000.00		7172014	7102047
69834LAA8	PANDA RE LTD	D			15,000,000.00	15,038,400.00	15,000,000.00	15,000,000.00	38,400.00		—		—	—		0.9830	0.2860	MJSD	167,696.68	494,067.04		9052013	9122018
BRSAC1100	PANGEA RE				23,271,696.00	25,000,000.00	25,000,000.00	23,271,696.00	1,728,304.00		—		—	—		7.0000	—	M-J-S-D	—	—		3/4/5492	12312016
69640GAA3	PCT_16-PLSD		4		5,000,000.00	4,980,300.50	5,000,000.00	5,000,000.00	(19,699.50	)	—		—	—		—	0.2450	MJSD	8,289.66	82,896.66		4142016	7282022
40168PAA6	PDFNI_16-A		4	1FE	6,962,617.00	7,058,004.85	6,962,617.00	6,962,617.00	95,387.85		—		—	—		2.1250	1.7250	JD	56,867.17	126,209.55		6/26/5081	12312021
40168PAJ7	PDFNI_16-B		4	2AM	1,168,224.00	1,182,125.87	1,168,224.00	1,168,224.00	13,901.87		—		—	—		1.4180	1.4180	FA	10,527.16	12,753.57		9292015	9/17/7408
40168PAR9	PDFNI_16-B		4	2AM	972,721.56	953,267.13	972,721.56	972,721.56	(19,454.43	)	—		—	—		3.0400	3.2250	MON	6,565.86	8,458.26		4022007	4012035
40168PAH1	PDFNI_16-B		4	2AM	2,336,449.00	2,364,252.74	2,336,449.00	2,336,449.00	27,803.74		—		—	—		3.0000	1.7980	MON	21,054.32	47,992.13		3072016	9012027
40168PAK4	PDFNI_16-B		4	2AM	1,168,224.00	1,182,125.87	1,168,224.00	1,168,224.00	13,901.87		—		—	—		1.0000	1.0760	MN	10,527.16	5,887.77		4302013	5032018
40168PAS7	PDFNI_16-B		4	2AM	764,283.48	748,997.81	764,283.48	764,283.48	(15,285.67	)	—		—	—		—	—	MJSD	5,158.91	3,118.53		8172016	7312019
40168PAC2	PDFNI_16-B		4	1FE	3,037,383.00	3,078,995.15	3,037,383.00	3,037,383.00	41,612.15		—		—	—		—	0.0180	MJSD	24,807.83	13,642.14		12282016	6222023
40168PAY4	PDFNI_16-B		4	3AM	467,809.26	448,348.40	467,809.26	467,809.26	(19,460.86	)	—		—	—		8.2910	7.1730	JAJO	3,157.72	4,145.09		3/23/7518	1/31/4835

40168PAB4	PDFNI_16-B		4	1FE	3,551,401.00	3,600,055.19	3,551,401.00	3,551,401.00	48,654.19		—		—	—	1.5200	1.5300	MON	29,006.07	34,504.30	7272016	5162022
40168PAZ1	PDFNI_16-B		4	3AM	386,951.27	370,854.10	386,951.27	386,951.27	(16,097.17	)	—		—	—	1.4540	1.4460	MON	2,611.93	1,608.62	11212013	10162023
40168PAQ1	PDFNI_16-C		4	2AM	2,066,164.94	2,024,841.64	2,066,164.94	2,066,164.94	(41,323.30	)	—		—	—	6.2930	—	MJSD	13,946.61	34,294.32	5062015	6072018
40168PAX6	PDFNI_16-D		4	3AM	959,352.77	919,443.70	959,352.77	959,352.77	(39,909.07	)	—		—	—	5.5000	3.7920	MON	6,475.64	16,412.40	9292009	3012024
693304AP2	PECO ENERGY CO		1	1FE	359,969.30	362,847.90	370,000.00	361,881.86	966.04		1,298.39		—	—	3.8000	2.3920	AO	2,587.43	8,787.50	4082015	10012020
705870AA1	PELICAN III RE LTD	D			680,000.00	694,545.20	680,000.00	680,000.00	14,545.20		—		—	—	—	—	MJSD	2,801.60	43,377.55	9212015	9212021
BRSXBV296	PENAR_15-2X	D	4	1FE	8,155,294.00	8,165,972.19	8,170,000.00	8,166,276.17	(303.98	)	10,197.22		—	—	3.2000	3.1430	JJ	3,352.16	71,901.10	5152015	12/2/5327
BRSSG9JW2	PENARTH MASTER ISSUER PLC	D	4		2,246,692.50	2,249,122.50	2,250,000.00	2,249,460.76	(338.26	)	2,621.10		—	—	5.7500	1.3130	MN	923.18	19,848.91	7132015	11152017
709132AK0	PENNSYLVANIA ST HIGHER EDL FAC		2	1FE	868,208.00	816,336.00	800,000.00	812,645.86	3,690.14		(24,952.51	)	—	—	3.0000	3.1560	AO	20,000.00	40,000.00	11092016	10232026
70932JAA2	PENNUNION RE LTD	D		3FE	1,250,000.00	1,268,012.50	1,250,000.00	1,250,000.00	18,012.50		—		—	—	5.0000	5.0000	MN	4,332.12	58,799.61	10272016	8/28/4692
709599AS3	PENSKE TRUCK LEASING CO		1	2FE	4,916,436.76	5,022,716.83	4,988,000.00	4,929,959.19	92,757.64		10,601.44		—	—	8.0000	6.1510	MON	70,143.75	121,563.77	3072008	9152031
709599AK0	PENSKE TRUCK LEASING CO			2FE	308,928.00	305,109.00	300,000.00	304,109.33	999.67		(3,345.12	)	—	—	4.0000	2.2690	MON	2,981.25	10,125.00	6232016	6012046
709599AV6	PENSKE TRUCK LEASING CO		1	2FE	1,454,812.05	1,479,210.63	1,465,000.00	1,456,681.43	22,529.20		1,788.37		—	—	4.0000	2.7370	MON	12,086.25	42,839.04	5022012	10/11/7408
709599AW4	PENSKE TRUCK LEASING CO		1	2FE	194,405.25	186,683.25	195,000.00	194,412.77	(7,729.52	)	7.52		—	—	3.1570	3.1570	FA	1,086.58	—	7302015	8042020
709599AQ7	PENSKE TRUCK LEASING CO		1	2FE	2,600,508.10	2,610,392.17	2,605,000.00	2,602,004.37	8,387.80		1,168.27		—	—	1.6250	1.6390	AO	2,894.44	65,125.00	3272013	4032018
709599AL8	PENSKE TRUCK LEASING CO			2FE	609,582.00	607,145.96	600,000.00	607,244.67	(98.71	)	(2,337.33	)	—	—	3.4160	3.5710	JAJO	7,858.33	910.42	11222016	1/14/5191
713448CX4	PEPSICO INC		1	1FE	999,810.00	1,024,749.98	1,000,000.00	999,846.24	24,903.74		25.05		—	—	2.9500	2.9360	JJ	14,122.22	31,000.00	3052015	7232021
713448DL9	PEPSICO INC		1	1FE	6,051,879.60	5,884,805.46	6,060,000.00	6,052,252.92	(167,447.46	)	373.32		—	—	1.7820	1.2010	JAJO	24,324.17	—	11/10/5108	11/27/5327
713448DN5	PEPSICO INC		1	1FE	2,749,505.00	2,593,937.42	2,750,000.00	2,749,515.55	(155,578.13	)	10.55		—	—	—	—	MJSD	15,421.01	—	8/6/7545	12/29/7572
713448CR7	PEPSICO INC				1,589,809.20	1,586,740.50	1,590,000.00	1,589,914.75	(3,174.25	)	63.40		—	—	4.6250	0.7020	APR	3,367.70	19,875.00	9272016	4192018
713448DJ4	PEPSICO INC			1FE	1,699,745.00	1,684,666.00	1,700,000.00	1,699,764.84	(15,098.84	)	19.84		—	—	1.6250	1.6850	JD	5,418.75	—	6262012	6292017
713448CW6	PEPSICO INC			1FE	2,999,040.00	2,999,400.00	3,000,000.00	2,999,737.02	(337.02	)	479.75		—	—	2.9650	1.8170	MON	15,375.00	33,750.00	3252015	8102047
713448DE5	PEPSICO INC			1FE	594,827.45	592,994.86	595,000.00	594,875.71	(1,880.85	)	85.39		—	—	3.6960	3.3620	MON	3,198.13	10,311.67	12072015	8102048
717081DF7	PFIZER INC			1FE	3,999,999.00	4,007,079.08	3,999,999.00	3,999,999.00	7,080.08		—		—	—	5.0000	5.2380	MON	2,386.50	39,123.51	12142007	4012019
717081EB5	PFIZER INC			1FE	3,722,318.00	3,716,693.25	3,725,000.00	3,722,401.74	(5,708.49	)	83.74		—	—	3.0000	2.3890	MON	7,036.12	—	6282016	7012043
717081DL4	PFIZER INC			1FE	2,495,275.00	2,522,850.03	2,500,000.00	2,497,697.94	25,152.09		937.83		—	—	2.5000	2.5040	MS	6,708.34	52,500.00	3092016	3142019
717081DG5	PFIZER INC			1FE	2,224,094.50	2,227,313.91	2,225,000.00	2,224,783.45	2,530.46		146.28		—	—	—	0.0840	MJSD	1,483.34	33,375.00	3/5/4698	5142020
717081DZ3	PFIZER INC			1FE	699,363.00	695,946.99	700,000.00	699,372.52	(3,425.53	)	9.52		—	—	1.7500	1.6590	FA	1,711.11	—	10302015	8212017
69331CAF5	PG&E CORP		1	2FE	500,605.00	502,210.01	500,000.00	500,302.23	1,907.78		(138.81	)	—	—	1.0500	1.0580	MON	4,000.00	12,000.00	9/23/5026	4152019
BRSUY9361	PHARMACEUTICAL PRODUCT DEV IN			4FE	1,788,178.56	1,813,482.01	1,797,381.08	1,789,811.12	23,670.89		1,337.20		—	—	2.0000	1.8650	MN	—	75,716.61	8282015	11152018
71722TAF1	PHEAA_04-1		4	1FE	452,730.00	496,115.45	500,000.00	488,981.19	7,134.26		6,158.12		—	—	1.7500	1.5170	MS	740.57	6,834.05	4/28/8175	9302022
71722TAG9	PHEAA_04-1		4	1FE	1,177,098.00	1,224,455.83	1,300,000.00	1,247,193.28	(22,737.45	)	7,844.72		—	—	2.3750	2.3880	MN	1,706.74	19,581.87	11052014	11132019
718172BP3	PHILIP MORRIS INTERNATIONAL IN			1FE	149,622.00	149,959.50	150,000.00	149,883.39	76.11		1,915.45		—	—	2.7570	2.8480	MON	729.17	26,629.17	8/29/7983	8012033
718172BN8	PHILIP MORRIS INTERNATIONAL IN			1FE	1,919,648.50	1,923,479.25	1,925,000.00	1,923,454.53	24.72		2,218.33		—	—	2.4590	2.4800	MS	3,475.70	32,395.31	6202016	3272020

718172BR9	PHILIP MORRIS INTERNATIONAL IN			1FE	2,919,539.90	2,899,850.33	2,930,000.00	2,922,459.46	(22,609.13	)	2,919.56		—	—	1.2500	1.2800	MS	14,100.62	20,143.76	6/4/8038	3012018
718172AL3	PHILIP MORRIS INTERNATIONAL IN			1FE	1,488,790.50	1,465,689.01	1,450,000.00	1,480,008.75	(14,319.74	)	(5,134.17	)	—	—	2.9500	2.8940	FA	5,373.05	35,992.22	10/20/8065	1/27/8011
718172AA7	PHILIP MORRIS INTERNATIONAL IN			1FE	215,716.60	205,531.95	195,000.00	205,588.61	(56.66	)	(7,572.38	)	—	—	1.1250	1.1460	SEP	1,377.19	11,017.50	9262016	9222021
718172BF5	PHILIP MORRIS INTERNATIONAL IN			1FE	611,850.00	600,318.01	600,000.00	609,528.27	(9,210.26	)	(2,321.73	)	—	—	3.0700	1.4520	MON	5,187.50	468.75	10302014	12152046
BRSSJC1F8	PHILLIPS & TEMRO INDUSTRIES IN				3,034,989.74	2,503,866.54	3,034,989.74	3,034,989.74	(531,123.20	)	—		—	—	2.6000	2.6120	JD	—	200,618.50	5262016	6012021
718546AJ3	PHILLIPS 66			2FE	1,674,798.35	1,683,760.42	1,675,000.00	1,674,987.16	8,773.26		38.15		—	—	6.8750	6.8750	JD	8,235.42	49,412.50	5242016	12312049
71884AXW4	PHOENIX ARIZ CIVIC IMPT CORP			1FE	2,000,000.00	1,981,320.00	2,000,000.00	2,000,000.00	(18,680.00	)	—		—	—	1.5400	1.5510	MON	20,010.00	45,467.17	8042015	3082020
03328WAC2	PILOT_12-1	D	4		2,500,000.00	2,500,922.25	2,500,000.00	2,500,000.00	922.25		—		—	—	1.3000	1.2810	MN	4,721.02	—	10302015	11032018
BRT0R50G3	PINNACLE ENTERTAINMENT INC		2	3FE	52,832.34	53,163.37	52,964.75	52,844.84	318.53		120.47		—	—	5.0000	4.6250	FA	—	1,994.62	6/13/7463	1/14/7792
724479AK6	PITNEY BOWES INC.		1	2FE	2,642,686.00	2,569,413.50	2,650,000.00	2,643,059.87	(73,646.37	)	373.87		—	—	4.0000	2.6060	MON	24,595.31	—	10/4/5245	4012044
72650RBF8	PLAINS ALL AMERICAN PIPELINE L		1	2FE	724,942.50	721,665.00	750,000.00	728,430.52	(6,765.52	)	2,302.35		—	—	1.5000	1.6040	JAN	4,500.00	27,000.00	9/12/4807	2/12/5054
72650RBD3	PLAINS ALL AMERICAN PIPELINE L		1	2FE	523,505.00	496,839.98	500,000.00	518,845.03	(22,005.05	)	(2,564.85	)	—	—	—	0.0710	MJSD	4,063.89	19,250.00	9262016	9292023
72650RBG6	PLAINS ALL AMERICAN PIPELINE L		1	2FE	2,994,390.00	3,004,890.30	3,000,000.00	2,996,614.00	8,276.30		1,088.74		—	—	3.2780	2.9640	JAJO	3,466.67	78,000.00	3292016	4072023
72650RBL5	PLAINS ALL AMERICAN PIPELINE L		1	2FE	623,225.00	631,762.51	625,000.00	623,234.43	8,528.08		9.43		—	—	3.2440	1.7040	MON	3,046.88	—	9222016	3152045
BRSWYTMJ4	PLASKOLITE INC				6,517,099.39	6,492,660.27	6,517,099.39	6,517,099.39	(24,439.12	)	—		—	—	3.2150	3.3290	MON	—	297,189.34	4022007	11012034
BRSWYD657	PLATFORM SPECIALTY PRODUCTS CO			4FE	437,247.66	441,750.48	441,107.35	437,655.95	4,094.53		3,111.10		—	—	3.1890	3.3350	MON	—	15,954.80	4022007	12012034
69353RER5	PNC BANK NATIONAL ASSOCIATION		2	1FE	2,249,730.00	2,253,757.50	2,250,000.00	2,249,858.10	3,899.40		89.28		—	—	3.5310	3.6900	JAJO	18,615.63	41,509.38	10202016	3/5/5273
69353REV6	PNC BANK NATIONAL ASSOCIATION		2	1FE	959,030.40	960,614.43	960,000.00	959,292.71	1,321.72		262.31		—	—	2.0000	1.8390	MN	6,084.00	9,360.00	7292015	5312021
69353RES3	PNC BANK NATIONAL ASSOCIATION		2	1FE	249,825.00	251,854.99	250,000.00	249,873.29	1,981.70		33.59		—	—	3.0000	3.0330	MON	2,888.89	6,500.00	12172015	12012045
69353REK0	PNC BANK NATIONAL ASSOCIATION		2	1FE	703,353.00	683,438.02	700,000.00	702,806.47	(19,368.45	)	(304.32	)	—	—	2.8070	3.3110	MON	7,342.22	20,650.00	9302008	6012034
69353REU8	PNC BANK NATIONAL ASSOCIATION		2	1FE	1,285,600.00	1,250,237.57	1,250,000.00	1,281,356.05	(31,118.48	)	(4,243.95	)	—	—	3.6000	3.6110	AO	4,763.89	11,399.30	3282016	4152026
69353RDZ8	PNC BANK NATIONAL ASSOCIATION		2	1FE	2,518,130.00	2,522,299.95	2,500,000.00	2,511,299.94	11,000.01		(3,993.68	)	—	—	—	0.0350	MJSD	12,166.67	60,000.00	12202016	12222023
69353RCH9	PNC BANK NATIONAL ASSOCIATION		2	1FE	3,249,925.00	3,268,817.57	3,250,000.00	3,249,934.87	18,882.70		(98.99	)	—	—	6.3100	6.3790	JAJO	30,387.50	71,500.00	3182016	6/17/4862
693475AQ8	PNC FINANCIAL SERVICES GROUP I		2		2,750,000.00	2,653,750.00	2,750,000.00	2,750,000.00	(96,250.00	)	—		—	—	5.7000	1.6940	MN	22,916.67	—	6262014	5022017
73358WAJ3	PORT AUTH NY & NJ			1FE	1,459,850.00	1,344,394.99	1,075,000.00	1,449,723.36	(105,328.37	)	(10,126.64	)	—	—	5.5000	3.1870	JJ	5,410.83	22,004.06	6232015	7282021
73358WUA0	PORT AUTH NY & NJ			1FE	2,000,000.00	2,015,860.00	2,000,000.00	2,000,000.00	15,860.00		—		—	—	3.0220	2.2190	MON	10,678.00	50,580.00	3022016	8102055
73674NBG5	PORTLAND ORE SWR SYS REV			1FE	509,363.20	506,722.05	505,000.00	505,751.73	970.32		(1,630.79	)	—	—	2.5000	2.3350	AO	622.16	13,998.60	11132015	10012019
BRT6KR459	PQ CORP		2	4FE	284,248.71	290,293.03	286,884.84	284,286.31	6,006.72		44.19		—	—	4.5000	2.0950	MON	—	1,929.33	12/23/7572	3252049
74005PAZ7	PRAXAIR INC			1FE	818,683.05	810,900.00	795,000.00	813,200.31	(2,300.31	)	(3,645.63	)	—	—	4.3000	1.9630	JD	7,950.00	23,850.00	4102015	6152020
74005PBP8	PRAXAIR INC			1FE	1,998,120.00	1,989,180.00	2,000,000.00	1,998,579.13	(9,399.13	)	465.99		—	—	1.1250	1.1430	MN	12,125.00	82,250.00	5132014	5162017
74153WBZ1	PRICOA GLOBAL FUND			1FE	985,230.00	998,850.00	1,000,000.00	994,196.59	4,653.41		4,023.79		—	—	5.5000	3.7300	MON	1,422.22	16,000.00	10212009	12012023
BRT0XM6A6	PRIME SECURITY SERVICES BORROW		2	3FE	377,673.29	385,253.93	381,345.14	378,051.77	7,202.16		1,542.06		—	—	2.1500	2.1510	AO	—	96,588.47	10142015	10152018
BRT7F9QD2	PRIME SECURITY SERVICES BORROW		2	3FE	2,679,505.42	2,734,315.81	2,695,234.90	2,679,521.51	54,794.30		16.09		—	—	2.0210	3.4590	MON	—	—	9102009	11/17/4670
89837LAA3	PRINCETON UNIVERSITY			1FE	1,525,670.40	1,427,528.77	1,340,000.00	1,433,794.72	(6,265.95	)	(42,341.09	)	—	—	2.7000	2.4860	AO	22,110.00	66,330.00	10182012	10252017

742718EN5	PROCTER & GAMBLE COMPANY			1FE	479,908.80	475,550.39	480,000.00	479,924.84	(4,374.45	)	16.04		—	—		1.7500	0.8720		AO	3,675.33	4,440.00		4022013	10312018
742741AA9	PROCTER & GAMBLE COMPANY		4	1FE	589,770.92	534,734.42	458,370.00	530,621.26	4,113.16		(44,255.44	)	—	—		0.7500	0.9740		JD	21,451.72	48,410.38		12272016	12312017
742718DY2	PROCTER & GAMBLE COMPANY			1FE	2,137,149.00	2,097,731.96	2,100,000.00	2,132,230.57	(34,498.61	)	(4,918.43	)	—	—		14.2380	14.2420		MJSD	19,454.16	20,527.50		6102016	6212019
11070TAA6	PROVINCE OF BRITISH COLUMBIA	A		1FE	1,007,824.00	1,000,430.00	1,000,000.00	1,001,008.85	(578.85	)	(6,802.28	)	—	—		1.2500	1.0370		MN	2,200.00	27,225.00		5/12/7600	5152018
69362BAZ5	PSEG POWER LLC		1	2FE	49,925.00	50,397.00	50,000.00	49,971.03	425.97		14.96		—	—		2.3750	2.4110		FA	156.53	1,225.00		11/27/7928	7/28/8120
74456QBE5	PUBLIC SERVICE ELECTRIC AND GA		1	1FE	1,099,692.00	1,111,087.95	1,100,000.00	1,099,891.83	11,196.12		61.75		—	—		3.3860	3.6700		FMAN	7,449.45	25,300.00		9272016	11072028
74529JNP6	PUERTO RICO SALES TAX FING COR		2	5FE	985,000.00	721,640.00	1,000,000.00	989,495.91	(267,855.91	)	1,582.56		—	—		2.8000	2.7170		JD	20,833.33	50,000.00		1/28/4835	12142022
747525AD5	QUALCOMM INCORPORATED			1FE	2,872,817.50	2,874,712.45	2,875,000.00	2,873,497.07	1,215.38		422.94		—	—		2.3750	1.1510		MS	7,367.20	64,687.50		7072015	3222017
747525AG8	QUALCOMM INCORPORATED			1FE	6,036,899.70	6,037,746.00	6,045,000.00	6,041,229.28	(3,483.28	)	2,693.14		—	—		2.7590	2.2680		NOV	9,638.42	84,630.00		9262016	11132019
BRSK6KJF2	QUEBECOR MEDIA INC.	A		4FE	2,402,519.99	2,414,973.06	2,413,966.44	2,407,987.98	6,985.08		1,933.60		—	—		3.5000	2.7890		MON	—	90,607.00		12/9/8147	5252041
74825FAB0	QUEEN STREET X RE LTD				680,000.00	683,937.20	680,000.00	680,000.00	3,937.20		—		—	—		—	—		JAJO	1,372.52	40,547.66		7192016	7162021
74825WAA5	QUEEN STREET XI RE DAC				500,000.00	505,265.00	500,000.00	500,000.00	5,265.00		—		—	—		6.5000	5.3120		MON	1,018.37	32,201.79		9112008	4152024
74825RAA6	QUEEN STREET XII RE DESIGNATED	D			900,000.00	909,756.00	900,000.00	900,000.00	9,756.00		—		—	—		2.2700	3.5170		MON	1,814.37	30,838.50		3292010	12272032
BRT69AJA2	QUIKRETE HOLDINGS INC		2	4FE	2,249,960.28	2,279,875.01	2,260,565.26	2,250,011.22	29,863.79		50.94		—	—		1.5590	1.5590		JJ	—	—		3052015	7012018
21684AAF3	RABOBANK NEDERLAND NV	D		1FE	5,572,435.00	5,395,335.00	5,500,000.00	5,570,621.77	(175,286.77	)	(1,813.23	)	—	—		2.0000	1.6980		MON	91,666.67	(26,354.17	)	10282009	12202039
21688AAA0	RABOBANK NEDERLAND NV			1FE	2,240,317.50	2,261,070.09	2,250,000.00	2,246,385.15	14,684.94		1,732.18		—	—		2.2390	2.2390		JD	23,484.38	47,796.87		11062014	12012019
21685WBT3	RABOBANK NEDERLAND NV	D		1FE	1,264,080.00	1,233,973.02	1,150,000.00	1,233,845.86	127.16		(19,512.46	)	—	—		1.8750	2.0080		MN	24,437.50	51,750.00		7142015	5152019
N7278SAC7	RABOBANK NEDERLAND NV			1FE	1,838,539.62	1,413,440.27	1,120,000.00	1,781,202.79	9,215.84		(29,504.30	)	—	(376,978.36	)	5.5000	4.9510		MON	7,496.28	56,216.16		6192003	6252033
BRSSB5RH9	RANDALL-REILLY PUBLISHING CO				6,821,860.81	6,787,751.50	6,821,860.81	6,821,860.81	(34,109.31	)	—		—	—		—	(1.5960	)	MJSD	—	451,373.74		12012016	4282020
BRSN4HND5	RCI BANQUE SA	B			978,525.37	837,502.34	650,000.00	972,192.35	12,157.46		(6,333.02	)	—	(146,847.47	)	1.8500	1.8830		FA	15,645.36	(1,866.23	)	5122015	2/17/7655
F7S02WAB2	RCI BANQUE SA				521,157.62	424,050.52	340,000.00	515,955.41	2,229.48		(2,807.42	)	—	(94,134.38	)	1.5791	2.1250		October	2,127.94	9,529.34		20150116	20171006
BRT3B1WC7	REALOGY CORP		2	3FE	290,866.40	295,592.98	290,866.40	290,866.40	4,726.58		—		—	—		1.5040	1.5090		MON	—	5,635.23		9182014	8132027
G7457KAB7	REED ELSEVIER INVESTMENTS PLC			2FE	624,432.80	457,161.29	350,000.00	573,981.02	3,552.34		(27,924.31	)	—	(120,372.07	)	3.0330	1.6500		MON	1,741.76	37,275.53		10292014	11102046
75886QAG8	REGATTA III FUNDING LTD REGTS_	D	4	1FE	237,812.50	246,731.63	250,000.00	239,545.26	7,186.37		1,506.68		—	—		2.6250	2.7350		MN	2,017.64	8,722.20		11142016	11172021
75887HAL6	REGT5_14-1A	D	4		3,000,000.00	3,000,440.40	3,000,000.00	3,000,000.00	440.40		—		—	—		2.2500	2.2690		MS	22,846.75	113,246.22		9082015	9152020
BRSMPYBS7	RENT-A-CENTER INC/TX			3FE	1,500,398.47	1,432,541.26	1,507,938.17	1,503,362.88	(70,821.62	)	2,782.95		—	—		9.3600	1.8240		JJ	—	82,339.14		8/18/7764	10/25/4670
76111XYJ6	RESIDENTIAL FUNDING MORTGAGE S		4		424,728.13	413,276.70	440,132.77	428,380.57	(15,103.87	)	743.38		—	—		3.5000	1.6230		MON	1,248.63	16,203.26		11022016	3152046
76117QAC6	RESIDENTIAL REINSURANCE 2014 L	D			500,000.00	504,990.00	500,000.00	500,000.00	4,990.00		—		—	—		—	0.2290		MJSD	1,910.50	24,901.14		3182016	6112018
76118DAC4	RESIDENTIAL REINSURANCE 2015 L	D			400,000.00	410,680.00	400,000.00	400,000.00	10,680.00		—		—	—		2.0210	2.0210		MN	2,186.78	30,189.85		4292016	5032019
76118DAA8	RESIDENTIAL REINSURANCE 2015 L	D			250,000.00	254,772.50	250,000.00	250,000.00	4,772.50		—		—	—		1.2000	1.2000		FA	1,980.69	28,300.15		8042016	8122019
76118DAB6	RESIDENTIAL REINSURANCE 2015 L	D			500,000.00	514,945.00	500,000.00	500,000.00	14,945.00		—		—	—		—	0.0710		MJSD	2,152.22	31,227.66		4262016	5052023
76118GAF0	RESIDENTIAL REINSURANCE 2016 L	D		4FE	250,000.00	248,682.50	250,000.00	250,000.00	(1,317.50	)	—		—	—		0.1250	0.1190		JJ	—	—		11092016	7152026
76118GAE3	RESIDENTIAL REINSURANCE 2016 L	D			250,000.00	248,762.50	250,000.00	250,000.00	(1,237.50	)	—		—	—		5.5000	4.0670		MON	1,032.22	—		9232010	4152036
76118GAA1	RESIDENTIAL REINSURANCE 2016 L	D			250,000.00	255,400.00	250,000.00	250,000.00	5,400.00		—		—	—		3.5000	2.8020		MON	169.39	15,351.96		12112014	12012044

76118GAB9	RESIDENTIAL REINSURANCE 2016 L	D			383,000.00	386,136.77	383,000.00	383,000.00	3,136.77		—		—	—		3.0000	2.3570		MON	1,449.61	10,018.47		6282016	12012042
76118GAD5	RESIDENTIAL REINSURANCE 2016 L	D			230,625.00	231,020.00	250,000.00	231,186.74	(166.74	)	561.74		—	—		2.2500	3.0810		FA	—	—		11292016	8192023
76118GAC7	RESIDENTIAL REINSURANCE 2016 L	D			500,000.00	507,165.00	500,000.00	500,000.00	7,165.00		—		—	—		2.2000	2.2160		MON	1,281.69	9,162.27		3052015	12152022
76131VAA1	RETAIL PROPERTIES OF AME		1	2FE	1,458,055.90	1,397,859.05	1,465,000.00	1,459,117.02	(61,257.97	)	594.65		—	—		0.6250	0.8270		AO	17,254.44	58,600.00		3282016	4302018
BRT7GHMF2	REXNORD CORP		2	4FE	1,464,530.73	1,473,706.99	1,468,201.24	1,464,547.29	9,159.70		16.56		—	—		—	0.1660		MJSD	—	466.51		7302015	7302021
761713BG0	REYNOLDS AMERICAN INC		1	2FE	229,303.10	242,719.00	230,000.00	229,392.26	13,326.74		58.04		—	—		1.0700	1.0740		MON	540.18	10,235.00		9122016	3152019
761713BE5	REYNOLDS AMERICAN INC			2FE	1,219,687.32	1,190,492.27	1,162,000.00	1,211,736.29	(21,244.02	)	(7,740.50	)	—	—		3.5000	2.6410		MON	1,993.16	21,574.58		10212016	10012046
761713BF2	REYNOLDS AMERICAN INC			2FE	816,687.25	810,138.47	775,000.00	816,170.52	(6,032.05	)	(516.73	)	—	—		5.0000	5.2480		MON	1,636.11	602.77		12142007	4012018
761713BT2	REYNOLDS AMERICAN INC			2FE	3,534,030.00	3,400,199.88	3,000,000.00	3,460,735.72	(60,535.84	)	(73,294.28	)	—	—		3.4500	2.6770		AO	34,375.00	79,062.50		7142015	10012020
761713BC9	REYNOLDS AMERICAN INC			2FE	6,257,483.85	6,264,217.32	6,225,000.00	6,244,352.91	19,864.41		(13,255.97	)	—	—		3.1010	1.8360		MON	7,556.45	144,219.58		4272016	12152047
BRT3GL1G3	REYNOLDS GROUP HOLDINGS INC		2	4FE	1,737,650.80	1,757,618.78	1,739,825.58	1,737,725.26	19,893.52		79.91		—	—		2.9240	2.3610		MON	—	15,855.13		6192014	7152047
762232AL0	RHODE ISLAND ST COMM CORP REV			1FE	50,189.60	47,082.80	40,000.00	50,013.50	(2,930.70	)	(176.10	)	—	—		4.5000	3.0880		MON	361.11	—		3212013	4012039
BRSR06452	RICHELIEU FOODS INC				4,676,370.27	4,606,224.72	4,676,370.27	4,676,370.27	(70,145.55	)	—		—	—		3.6120	3.1850		MON	—	278,031.28		12192016	6102046
BRSR063T1	RICHELIEU FOODS INC				272,122.77	268,040.94	272,122.78	272,122.77	(4,081.83	)	0.02		—	—		3.4000	0.8040		MON	—	5,963.22		8262016	5102045
76541VKC0	RICHMOND VA			1FE	5,000,000.00	5,001,800.00	5,000,000.00	5,000,000.00	1,800.00		—		—	—		1.7000	1.7040		FA	34,744.73	75,350.00		5/25/7819	7/17/7901
76761RAA7	RISERVA CLO LTD RSRVA_16-3A		4	1FE	2,500,000.00	2,492,931.50	2,500,000.00	2,500,000.00	(7,068.50	)	—		—	—		2.4500	2.4820		MN	1,826.21	—		11052013	11152018
769047GX3	RIVERSIDE CALIF			1FE	1,103,470.00	1,023,830.00	1,000,000.00	1,021,752.46	2,077.54		(36,714.36	)	—	—		2.6580	2.6650		JAJO	23,375.00	56,100.00		10072016	10202029
771196BB7	ROCHE HOLDINGS INC		1	1FE	226,736.85	218,495.90	215,000.00	225,635.93	(7,140.03	)	(1,100.92	)	—	—		1.3750	1.1210		MS	1,579.65	1,579.66		10092013	9302018
771196BA9	ROCHE HOLDINGS INC		1	1FE	1,010,770.00	1,008,209.92	1,000,000.00	1,007,694.30	515.62		(2,789.36	)	—	—		1.8500	1.8590		MON	5,687.50	22,500.00		10/20/8065	4152021
776743AC0	ROPER IND INC.		1	2FE	2,765,651.10	2,774,376.52	2,770,000.00	2,765,679.90	8,696.62		28.80		—	—		3.5000	2.9550		MON	2,585.33	—		12282015	11012045
777594YX4	ROSEMOUNT MN SCH DIST #196		2	1FE	641,590.00	599,935.00	500,000.00	630,177.41	(30,242.41	)	(11,412.59	)	—	—		3.0000	2.5440		MON	10,416.67	11,458.33		1/18/8011	4012043
780082AC7	ROYAL BANK OF CANADA	A		1FE	249,917.50	248,640.00	250,000.00	249,936.80	(1,296.80	)	47.72		—	—		3.5000	2.5480		MS	1,122.92	18,480.00		6/1/5437	9012023
78012KRK5	ROYAL BANK OF CANADA	A		1FE	1,278,255.10	1,267,228.41	1,285,000.00	1,278,562.71	(11,334.30	)	307.61		—	—		3.0000	2.2620		MON	8,138.34	(2,541.67	)	9122014	7012029
BRSNFTGX1	ROYAL BANK OF CANADA			1FE	1,166,566.62	861,875.76	700,000.00	1,168,023.83	(2,046.57	)	566.70		—	(304,101.50	)	1.6250	1.7460		JD	501.39	9,421.20		12032013	12062018
78008SVD5	ROYAL BANK OF CANADA	A		1FE	4,094,875.00	4,095,408.00	4,100,000.00	4,098,902.48	(3,494.48	)	1,036.50		—	—		—	0.0710		MJSD	28,187.50	61,500.00		11032016	11082023
780082AA1	ROYAL BANK OF CANADA	A			1,516,575.00	1,489,469.96	1,500,000.00	1,514,994.23	(25,524.27	)	(1,580.77	)	—	—		4.3250	0.6920		DEC	11,406.25	(1,953.13	)	9262016	12102018
78011DAG9	ROYAL BANK OF CANADA	A		1FE	4,185,818.40	4,126,961.19	4,103,000.00	4,179,763.64	(52,802.45	)	(6,054.76	)	—	—		3.8600	—		JAJO	24,572.40	(5,228.37	)	4232015	7062018
78011DAC8	ROYAL BANK OF CANADA	A		1FE	1,992,400.00	1,997,832.00	2,000,000.00	1,998,150.10	(318.10	)	4,193.90		—	—		3.4360	4.3740		FMAN	6,800.00	96,726.00		12152016	5012026
BRT5CSLH3	RPI FINANCE TRUST		2	2FE	969,064.45	984,543.19	973,934.13	969,226.75	15,316.44		174.50		—	—		—	—		MJSD	—	5,424.71		0	6012022
783186QV4	RUTGERS UNIVERSITY NEW JERSEY			1FE	1,152,610.50	1,153,404.00	1,150,000.00	1,150,993.07	2,410.93		(730.17	)	—	—		1.1560	1.1120		MON	3,850.58	23,103.50		6152012	3112020
78355HJX8	RYDER SYSTEM INC.		1	2FE	2,387,011.85	2,393,132.75	2,385,000.00	2,388,110.35	5,022.40		247.47		—	—		1.3750	1.4350		JJ	19,477.50	51,000.83		12282012	7152017
78355HJZ3	RYDER SYSTEM INC.		1	2FE	443,776.25	443,010.85	445,000.00	444,160.99	(1,150.14	)	236.47		—	—		—	(0.0930	)	JAJO	1,545.14	11,125.00		12012016	3172021
78355HJV2	RYDER SYSTEM INC.		1	2FE	1,762,659.80	1,760,390.98	1,745,000.00	1,756,414.61	3,976.37		(5,249.12	)	—	—		5.0000	4.1910		MON	5,462.83	35,198.00		2/19/5273	4202044
78409VAH7	S&P GLOBAL INC			2FE	69,944.13	70,660.11	70,000.00	69,955.80	704.31		11.67		—	—		2.5000	3.0880		JJ	661.11	77.78		5/20/5218	7152022

BRSHCGRY1	SABRE INC		4	3FE	4,282,187.39	4,338,673.56	4,303,705.95	4,296,014.73	42,658.83		6,001.48		—	—		1.7500	1.8630	MS	—	201,084.54	9222016	9272021
786134UZ7	SACRAMENTO SATN			1FE	2,485,000.00	2,510,670.05	2,485,000.00	2,485,000.00	25,670.05		—		—	—		3.5000	2.3160	MON	4,636.60	55,639.16	3232015	3202045
79574CBM4	SALT RIVER PROJ ARIZ AGRIC IMP			1FE	57,922.50	57,235.50	50,000.00	57,797.40	(561.90	)	(125.10	)	—	—		3.0880	2.4430	MON	208.34	—	7242015	5152048
79642B3N1	SAN ANTONIO TX			1FE	49,750.40	47,322.00	40,000.00	49,543.85	(2,221.85	)	(206.55	)	—	—		—	1.2320	FMAN	333.33	—	5112016	12022019
797272PD7	SAN DIEGO CA CMNTY COLLEGE			1FE	64,034.50	61,598.50	50,000.00	63,822.20	(2,223.70	)	(212.30	)	—	—		2.3910	2.3970	JAJO	402.79	—	12012016	10182028
79765RL98	SAN FRANCISCO CALIF CITY & CNT			1FE	80,566.20	77,147.85	65,000.00	80,145.35	(2,997.50	)	(420.85	)	—	—		3.5000	2.9720	MON	640.98	—	12212015	10012045
801060AB0	SANOFI	D		1FE	8,831,060.70	8,850,929.50	8,870,000.00	8,859,849.17	(8,919.67	)	7,872.39		—	—		2.9280	1.8910	MON	24,946.88	110,875.00	7/24/8120	3/16/7655
802385MG6	SANTA MONICA CALIF CMNTY COLLE			1FE	3,421,699.20	3,441,788.80	3,440,000.00	3,432,288.28	9,500.52		4,744.64		—	—		4.0000	4.0580	MS	26,717.33	64,121.60	3052015	3152025
80283LAN3	SANTANDER UK PLC	D		1FE	1,247,933.52	1,238,662.53	1,250,000.00	1,248,260.21	(9,597.68	)	326.69		—	—		6.5000	5.8690	MON	8,658.85	8,658.85	11302007	5152036
BRSLX0WL6	SANTANDER UK PLC	B			654,350.13	494,304.48	400,000.00	655,303.01	57.30		349.41		—	(161,055.82	)	5.0000	3.9690	MON	693.94	6,143.50	6112009	6152024
G0054BMY6	SANTANDER UK PLC			1FE	1,038,015.04	808,928.85	640,000.00	994,669.63	2,985.55		(26,389.65	)	—	(188,726.33	)	2.8620	3.0300	MON	9,741.67	40,628.28	5042006	3012036
G0054BFG3	SANTANDER UK PLC			1FE	654,454.82	577,834.42	400,000.00	643,649.50	4,927.95		(12,753.33	)	—	(70,743.02	)	2.6250	2.4190	JJ	18,182.67	21,426.22	11252014	3/7/5492
80413TAA7	SAUDI ARABIA	D		1FE	2,128,650.50	2,089,182.95	2,150,000.00	2,129,391.76	(40,208.81	)	741.26		—	—		2.7500	0.9210	JD	9,219.62	—	12212016	12092018
BRSM3U3W9	SBA COMMUNICATIONS CORPORATION		4	4FE	2,919,275.69	2,933,363.59	2,926,503.87	2,922,127.78	11,235.81		2,174.91		—	—		4.1100	1.0430	AO	—	121,049.42	7152015	4182018
83164JU46	SBA PRIME FLTR		4	1FE	1,113,636.68	1,162,491.94	1,100,170.60	1,111,498.55	50,993.39		(2,661.04	)	—	—		2.0000	1.6950	MON	2,383.70	30,276.55	11032009	12202039
78403DAG5	SBA TOWER TRUST			1FE	4,000,000.00	4,030,356.80	4,000,000.00	4,000,000.00	30,356.80		—		—	—		2.5000	2.5270	AO	5,152.00	115,920.00	4092014	4152019
82735LAA1	SBY_14-1		4		1,120,469.77	1,114,504.95	1,120,469.77	1,120,469.77	(5,964.82	)	(0.01	)	—	—		2.6500	2.7860	AO	795.53	16,771.35	11102015	10262020
BRSXWU816	SCHLUMBERGER HOLDINGS CORP				3,999,520.00	4,030,160.00	4,000,000.00	3,999,681.08	30,478.92		156.41		—	—		4.0050	4.0250	JAJO	2,611.11	94,000.00	7082016	4122027
80685PAD0	SCHLUMBERGER NORGE AS	D		1FE	1,368,739.60	1,368,277.91	1,370,000.00	1,369,848.74	(1,570.83	)	256.43		—	—		—	0.2800	MJSD	7,135.42	17,125.00	7112016	11062020
80705TAA4	SCHOL_11-A		4	1FE	1,119,319.73	1,102,210.15	1,141,855.37	1,125,857.29	(23,647.14	)	4,122.48		—	—		2.0000	2.0860	JJ	3,691.22	18,976.87	9/12/4807	9/27/5026
80705XAA5	SCHOLAR FUNDING TRUST SCHOL_13		4		615,620.87	590,847.48	618,556.52	616,380.12	(25,532.64	)	824.91		—	—		3.5200	3.5460	MON	96.64	7,905.43	4072015	5252021
BRSJA4801	SCINTFIC GMS INT INC		4	3FE	1,458,594.12	1,508,213.55	1,488,491.05	1,462,778.35	45,435.20		4,428.79		—	—		3.5000	2.1830	MON	—	51,773.83	10142016	3012046
BRSPRQ8H3	SCINTFIC GMS INT INC		4	4FE	495,613.89	504,430.96	498,730.96	495,839.93	8,591.03		233.97		—	—		3.0000	2.3670	MON	—	9,639.32	6282016	10/13/7408
G79314AG8	SCOTTISH POWER UK PLC			2FE	1,525,102.18	1,060,311.88	850,000.00	1,346,002.76	517.50		(88,081.29	)	—	(286,208.38	)	2.2000	2.2420	JJ	75,990.11	109,422.31	2/18/5273	1/17/5410
811065AB7	SCRIPPS NETWORKS INTERACTIVE I		1	2FE	685,610.00	688,819.58	680,000.00	683,312.59	5,506.99		(1,130.11	)	—	—		—	—	MJSD	2,389.44	18,700.00	0	6302023
80285CAD3	SDART_16-2		4	1FE	694,683.59	695,024.57	694,732.50	694,700.39	324.18		34.42		—	—		1.4000	1.4020	FA	426.10	7,523.07	10/10/7846	1/9/7792
BRSM9G9V0	SEADRILL OPERATING LP	D	4	5FE	812,963.65	562,609.61	825,343.77	817,491.30	(254,881.69	)	1,963.42		—	—		3.0000	2.8260	MON	—	33,601.23	11032015	6012045
BRSJ9AUR5	SEAWORLD PARKS & ENTERTAINMENT		4	3FE	2,978,253.06	2,952,474.83	2,994,721.36	2,986,153.63	(33,678.80	)	2,543.32		—	—		5.8750	1.6100	APR	—	92,114.35	12102014	4282017
81618TAA8	SELECT INCOME REIT		1	2FE	2,939,857.97	2,956,165.50	2,950,000.00	2,945,809.31	10,356.19		3,749.41		—	—		4.0000	2.5170	MON	35,031.25	84,075.00	3162015	11012044
BRT5TABN2	SERTA SIMMONS HOLDING(AOT BEDD		2	4FE	2,072,916.67	2,098,958.34	2,083,333.34	2,073,023.54	25,934.80		106.87		—	—		2.6250	2.6540	FA	—	—	7272016	8152026
BRT6A4ER2	SERVICEMASTER CO LLC		2	3FE	2,082,902.66	2,088,018.28	2,087,496.41	2,082,987.26	5,031.02		84.60		—	—		4.7500	2.3790	JJ	—	7,722.17	7192016	7152021
BRSH8YLF4	SESAC HOLDCO II LLC			2Z	660,778.96	666,220.10	666,220.10	664,123.55	2,096.55		1,091.97		—	—		3.0000	1.7780	MON	—	36,312.56	8202013	10152037
81881UAE7	SHACK_13-4A	D	4	1FE	1,214,375.00	1,249,956.50	1,250,000.00	1,223,394.12	26,562.38		4,567.63		—	—		5.2500	5.4320	JJ	10,770.83	45,242.36	10312008	7152022
81881VAJ4	SHACK_14-5A	D	4	1FE	475,000.00	492,589.60	500,000.00	481,090.88	11,498.72		3,131.14		—	—		2.1000	1.6270	JD	2,735.44	16,662.48	10132015	6152018

81881LAD9	SHACK_14-6	D	4	1FE	472,500.00	494,750.05	500,000.00	474,860.34	19,889.71		2,360.34		—	—	2.6170	3.0750	MON	4,201.11	8,198.14	5202015	5012020
822582BM3	SHELL INTERNATIONAL FINANCE BV	D		1FE	9,967,100.00	9,998,899.80	10,000,000.00	9,979,445.80	19,454.00		10,812.82		—	—	0.7500	1.1430	FA	23,020.83	162,500.00	3212016	12/13/8147
822582BK7	SHELL INTERNATIONAL FINANCE BV	D		1FE	886,499.28	887,875.68	888,000.00	887,352.79	522.89		747.84		—	—	4.5310	4.5560	JAJO	1,572.50	11,100.00	4232015	4212027
BRSR1R5H8	SHELL: ATLAS_14-1		4		3,520,800.00	3,483,831.60	3,520,800.00	3,520,800.00	(36,968.40	)	—		—	—	—	0.0720	MJSD	7,628.40	178,241.41	7302014	7302021
26250DAU7	SHELL: DRSLF_12-24RA	D	4		1,500,000.00	1,497,667.95	1,500,000.00	1,500,000.00	(2,332.05	)	—		—	—	2.3750	2.1860	JJ	7,054.03	50,279.95	11282016	7232019
BRSXDXJR2	SHOES FOR CREWS LLC			4FE	6,705,523.42	6,688,759.61	6,705,523.42	6,705,523.42	(16,763.81	)	—		—	—	0.6250	0.7320	AO	—	437,619.18	10082015	10262017
BRSNC4883	SI ORGANIZATION INC		2	4FE	732,034.68	744,716.98	737,343.55	732,767.34	11,949.64		760.72		—	—	3.5490	3.5490	MJSD	—	19,861.62	4282016	6062023
82620KAC7	SIEMENS FINANCIERINGSMAATSCHAP	D		1FE	1,498,020.00	1,490,294.96	1,500,000.00	1,498,629.30	(8,334.34	)	648.76		—	—	5.5000	3.5650	MON	3,045.83	58,038.06	9292009	12012022
826239EQ4	SIERRA CALIF JT CMNTY COLLEGE		2	1FE	1,366,855.50	1,337,277.50	1,150,000.00	1,316,215.12	21,062.38		(22,865.75	)	—	—	1.1250	1.1290	MS	23,958.33	57,500.00	10/21/8065	3012019
BRSMW4J57	SIGNODE INDUSTRIAL GROUP US IN			4FE	42,900.36	43,439.31	43,115.94	42,901.98	537.33		3.43		—	—	2.9830	3.0920	MON	—	—	8/29/7983	12012033
BRT782HM5	SIGNODE INDUSTRIAL GROUP US IN			4FE	128,701.08	130,317.93	129,347.82	128,704.13	1,613.80		8.48		—	—	—	0.0670	MJSD	—	135.86	12062016	11152023
BRSHAG9G2	SILVER II BORROWER SCA	C	4	4FE	3,193,307.55	3,011,688.18	3,193,307.55	3,193,307.55	(181,619.37	)	—		—	—	4.3750	4.0850	JAJO	—	129,506.37	6262015	7092018
828428AC6	SILVERMORE CLO LTD SMORE_14-1A		4	1FE	959,000.00	980,162.20	1,000,000.00	966,939.67	13,222.53		6,443.26		—	—	2.5500	2.0490	AO	3,858.79	26,924.85	11282016	10232019
828807CM7	SIMON PROPERTY GROUP LP		1	1FE	5,866,344.00	5,853,554.00	5,860,000.00	5,862,587.36	(9,033.36	)	(2,283.27	)	—	—	4.0000	2.8600	MON	36,625.00	96,566.67	12012015	7012042
828807CJ4	SIMON PROPERTY GROUP LP		1	1FE	102,377.00	100,313.01	100,000.00	100,698.29	(385.28	)	(906.18	)	—	—	5.0000	5.2300	MON	633.06	2,150.00	12142007	8012020
828807CQ8	SIMON PROPERTY GROUP LP		1	1FE	8,367,698.90	8,434,278.13	8,369,000.00	8,371,083.77	63,194.36		(758.27	)	—	—	3.1250	3.1820	JJ	76,715.82	170,429.11	10122016	7272026
828807CR6	SIMON PROPERTY GROUP LP		1	1FE	840,720.00	827,096.00	800,000.00	833,077.80	(5,981.80	)	(4,284.69	)	—	—	2.6000	2.6400	JD	12,500.00	30,000.00	12022014	12152019
828807CD7	SIMON PROPERTY GROUP LP		1	1FE	1,964,190.21	1,862,917.85	1,706,000.00	1,878,115.29	(15,197.44	)	(51,275.67	)	—	—	—	0.0710	MJSD	40,162.09	96,389.00	10222015	4/19/5355
828807CU9	SIMON PROPERTY GROUP LP		1	1FE	599,658.00	601,542.02	600,000.00	599,750.08	1,791.94		66.58		—	—	2.7320	2.5860	JAJO	5,000.00	15,583.34	12162014	12/6/5327
BRSUDWG69	SIX FLAGS THEME PARKS INC			3FE	1,010,988.88	1,020,807.88	1,013,522.68	1,011,506.78	9,301.10		749.11		—	—	2.7480	2.9260	MON	—	37,450.88	4022007	10/5/7408
784423AF2	SLCLT_04-1		4		983,750.00	990,356.50	1,000,000.00	994,851.32	(4,494.82	)	2,670.82		—	—	1.9000	1.9400	MS	1,386.58	7,759.85	9072016	9142021
78446XAB1	SLM STUDENT LOAN TRUST		4	1FE	579,645.94	587,392.89	579,705.47	579,668.78	7,724.11		21.72		—	—	2.8980	2.9150	MON	896.61	27,253.88	10072014	10152044
78442GSC1	SLM STUDENT LOAN TRUST SLMA_06		4	1FE	34,762.18	34,764.52	34,817.09	34,809.82	(45.30	)	24.90		—	—	4.8810	1.9230	JJ	63.25	386.53	11/14/7709	7012019
78446JAA4	SLM STUDENT LOAN TRUST SLMA_11		4	1FE	1,093,646.97	1,092,335.30	1,095,771.12	1,094,774.01	(2,438.71	)	700.44		—	—	—	0.0710	MJSD	206.39	14,264.68	7162015	7252022
78446TAC8	SLM STUDENT LOAN TRUST SLMA_11		4	1FE	389,047.33	374,580.75	360,007.65	376,030.32	(1,449.57	)	(9,169.77	)	—	—	2.1200	1.4500	MON	726.42	19,014.18	6152016	12152021
78447FAB9	SLM STUDENT LOAN TRUST SLMA_12		4	1FE	1,065,601.56	1,050,399.03	1,050,000.00	1,053,998.18	(3,599.15	)	(3,031.53	)	—	—	1.7000	1.7000	JJ	975.33	21,349.93	10172012	10/22/4670
78447FAA1	SLM STUDENT LOAN TRUST SLMA_12		4	1FE	39,900.81	39,900.73	39,891.82	39,893.05	7.68		(45.36	)	—	—	4.5000	2.3690	MON	27.39	3,676.24	8152014	7012044
78446VAA7	SLM STUDENT LOAN TRUST SLMA_12		4		104,665.63	104,574.44	104,454.32	104,476.84	97.60		(522.70	)	—	—	1.3910	0.7400	JAJO	103.78	6,652.23	12052014	9/27/5026
78447VAA6	SLM STUDENT LOAN TRUST SLMA_13		4	1FE	521,924.43	522,143.64	521,924.43	521,924.43	219.21		—		—	—	4.0000	2.2060	MON	333.68	10,001.81	10142016	12012045
784442AC9	SLMA		4	1FE	1,098,851.24	1,082,216.36	1,110,082.15	1,104,711.96	(22,495.60	)	1,948.51		—	—	4.0800	4.1000	MJSD	3,421.55	16,576.33	5192015	6152045
78446JAB2	SLMA_11-2		4	1FE	775,000.00	785,970.04	775,000.00	775,000.00	10,970.04		—		—	—	3.3420	3.1710	MON	210.55	13,176.09	6102010	12252019
78447KAB8	SLMA_12-7		4	1FE	591,593.74	591,006.18	591,982.96	591,923.38	(917.20	)	142.62		—	—	3.3820	3.0340	MON	85.19	6,987.51	5152015	5102050
78448AAA1	SLMA_13-4		4		449,585.22	437,997.54	449,585.22	449,585.22	(11,587.68	)	—		—	—	7.0650	6.9940	JAJO	81.56	5,153.31	11102015	12062019
78448CAF6	SLMA_13-6		4	1FE	221,853.55	221,984.44	221,853.55	221,853.55	130.89		—		—	—	2.2500	2.2700	MS	38.70	3,852.96	9212015	9242020

78447RAC1	SLMA_13-A		4	1FE	2,425,000.00	2,442,823.78	2,425,000.00	2,425,000.00	17,823.78		—		—	—		—	0.0710		MJSD	2,008.45	37,212.53		7012014	7082021
78447RAA5	SLMA_13-A		4		98,181.94	98,363.79	98,304.81	98,280.82	82.97		146.97		—	—		2.6500	2.6620		FA	60.53	2,127.40		8032016	9/22/7408
78447RAB3	SLMA_13-A		4	1FE	459,870.23	458,514.21	460,000.00	459,951.36	(1,437.15	)	21.56		—	—		1.0040	1.0060		MON	361.87	8,142.00		8/6/7545	8172020
78447VAB4	SLMA_13-B		4		804,859.37	800,757.65	805,000.00	804,930.21	(4,172.56	)	17.08		—	—		—	—		MJSD	661.89	14,892.60		8052016	10302020
78447VAC2	SLMA_13-B		4		615,000.00	618,376.37	615,000.00	615,000.00	3,376.37		—		—	—		4.9470	5.2370		MON	523.88	9,750.04		11302015	7152040
83191GAD1	SMART TRUST SMAT_16-2US	D	4		1,524,683.41	1,502,167.70	1,525,000.00	1,524,696.87	(22,529.17	)	13.46		—	—		2.2630	1.7820		MON	1,231.44	4,346.26		6082016	4252025
78448MAD9	SMAT_15-1US	D	4	1FE	1,613,183.56	1,618,782.71	1,613,261.64	1,613,194.34	5,588.37		15.32		—	—		3.9000	4.6990		MN	1,142.73	29,009.98		7/14/7901	11152024
78449GAB5	SMB PRIVATE EDUCATION LOAN TRU		4		394,985.98	386,487.75	395,000.00	394,986.97	(8,499.22	)	0.99		—	—		1.6250	1.7380		MN	426.60	3,839.42		11052015	11102018
78449FAB7	SMB_16-A		4	1FE	679,710.80	675,109.64	680,000.00	679,734.52	(4,624.88	)	23.72		—	—		1.7500	1.6920		JJ	816.00	10,149.00		4082015	7012020
BRSWD1953	SMYTH COMPANIES LLC				2,999,176.62	2,991,678.68	2,999,176.62	2,999,176.62	(7,497.94	)	—		—	—		3.0740	3.3700		MON	—	210,926.83		4022007	12012033
BRSWD19K0	SMYTH COMPANIES LLC				689,227.18	687,504.10	689,227.18	689,227.18	(1,723.08	)	—		—	—		2.3750	2.3110		MS	—	(11,195.29	)	6012016	3162020
BRSL51FK6	SNADY CREEK ENERGY ASSOC LP		4	3FE	2,131,548.92	1,649,540.36	2,142,260.21	2,136,278.36	(486,738.00	)	1,760.49		—	—		1.5000	1.6990		JJ	—	109,655.91		11282016	7292019
83609NAE0	SNDPT_16-3A	D	4		1,484,776.50	1,486,500.00	1,500,000.00	1,484,956.26	1,543.74		179.76		—	—		2.7900	2.7990		JAJO	6,621.04	—		10282016	2/21/5054
83609NAA8	SNDPT_16-3A	D	4		1,500,000.00	1,500,750.00	1,500,000.00	1,500,000.00	750.00		—		—	—		3.7500	1.6610		JD	4,521.04	—		4/13/7956	12012018
83367TBF5	SOCIETE GENERALE SA	D	2	3FE	2,526,575.00	2,421,875.00	2,500,000.00	2,524,012.23	(102,137.23	)	(2,526.17	)	—	—		2.1630	1.6500		JJ	7,109.38	196,875.00		11302016	7012019
83404LAC5	SOFI_16-D		4		99,987.56	97,956.00	100,000.00	99,988.42	(2,032.42	)	0.86		—	—		4.0000	2.4160		MON	39.00	624.00		11012016	11012045
83546DAD0	SONIC CAPITAL LLC SONIC_16-1A		4	1FE	763,217.07	736,464.25	745,625.00	745,625.00	(9,160.75	)	(17,665.82	)	—	—		4.0000	2.5200		MON	1,018.86	13,463.35		4222015	12152043
83710RLV7	SOUTH CAROLINA ST			1FE	1,180,940.00	1,118,940.00	1,000,000.00	1,147,377.92	(28,437.92	)	(33,562.08	)	—	—		—	—		MJSD	41,666.66	20,833.34		10212015	10222020
842400GF4	SOUTHERN CALIFORNIA EDISON CO.		4	1FE	3,594,642.88	3,554,454.91	3,594,642.88	3,594,642.88	(40,187.97	)	—		—	—		3.5800	3.8710		JAJO	27,633.82	75,364.96		11202014	10152023
842587CS4	SOUTHERN COMPANY (THE)		1	2FE	4,048,000.00	3,926,400.16	4,000,000.00	4,043,197.40	(116,797.24	)	(4,802.60	)	—	—		—	0.0350		MJSD	56,661.11	(7,050.00	)	6172016	6302023
842587CU9	SOUTHERN COMPANY (THE)		1	2FE	359,694.00	354,679.21	360,000.00	359,726.36	(5,047.15	)	32.36		—	—		4.1330	4.1340		JJ	6,401.50	—		9212016	10132021
842587CQ8	SOUTHERN COMPANY (THE)			2FE	2,334,556.35	2,322,320.97	2,335,000.00	2,334,660.40	(12,339.43	)	104.05		—	—		2.8280	2.6190		MON	26,038.50	—		3/23/5136	3252037
842808AF4	SOUTHERN ELEC			1FE	3,333,899.45	3,321,110.49	3,335,000.00	3,334,570.46	(13,459.97	)	217.39		—	—		3.5000	2.0230		MON	6,114.17	73,370.00		6082016	6202046
843646AN0	SOUTHERN POWER COMPANY			2FE	2,398,608.00	2,406,000.24	2,400,000.00	2,399,372.99	6,627.25		687.13		—	—		2.2000	2.2420		MS	3,700.00	46,126.67		9132016	9162021
843646AS9	SOUTHERN POWER COMPANY				2,379,405.00	2,357,984.93	2,380,000.00	2,379,416.82	(21,431.89	)	11.82		—	—		—	0.0710		MJSD	5,801.26	—		10262016	11032023
84650WAE6	SPAREBNK 1 BOLIG	D		1FE	5,854,157.00	5,842,828.89	5,900,000.00	5,880,473.80	(37,644.91	)	6,567.62		—	—		4.5000	1.2350		MON	13,193.06	103,250.00		5/6/4999	8152039
84650WAD8	SPAREBNK 1 BOLIG	D		1FE	2,294,388.00	2,308,940.10	2,300,000.00	2,299,436.93	9,503.17		1,119.08		—	—		5.1000	1.4590		AO	146.94	52,900.00		10132015	4152018
84861CAA3	SPMF 2014-4A		4	1FE	3,992,636.00	3,887,068.40	4,000,000.00	3,992,602.33	(105,533.93	)	(4.47	)	—	—		4.7230	3.6690		MON	11,671.33	140,055.96		11202015	7172018
78467MAA1	SRER_11-RS	D	4	2FE	634,874.36	653,755.24	663,554.68	663,482.58	(9,727.34	)	11,555.41		—	—		4.0000	—		MJSD	381.07	7,616.66		11212016	12102019
85571XAL1	SRTP _14-STAR		4	1FE	2,000,000.00	1,936,259.80	2,000,000.00	2,000,000.00	(63,740.20	)	—		—	—		—	0.1420		MJSD	2,223.22	42,903.17		11092016	11172023
BRSU95US9	SS&C EUROPEAN HOLDINGS SARL	D		3FE	54,210.41	55,134.67	54,482.84	54,265.61	869.06		212.79		—	—		4.5000	2.6610		MON	—	3,534.35		5262016	6012039
BL1658048	SS&C TECHNOLOGIES INC				531,229.92	540,286.99	533,899.42	531,770.77	8,516.22		793.31		—	—		—	(0.1260	)	MJSD	—	5,422.43		11292016	11102023
G7885VDR7	SSE PLC			1FE	1,742,153.11	1,657,968.60	1,250,000.00	1,726,539.85	(349.34	)	(15,613.26	)	—	(68,221.90	)	1.7500	1.7400		JJ	19,465.71	(1,651.45	)	11102015	6/3/5437
BRSRUTM42	SSE PLC	B	1		1,004,364.81	827,297.41	675,000.00	1,004,364.81	(3,264.19	)	—		—	(173,803.20	)	1.1000	1.1350		FA	10,005.91	48,162.31		8012016	8082019

790849AL7	ST JUDE MEDICAL INC			1FE	2,324,384.70	2,333,145.55	2,330,000.00	2,326,746.97	6,398.58		1,859.55		—	—		—	—	MJSD	13,721.11	45,564.44		0	7292022
853254BD1	STANDARD CHARTERED PLC	D		1FE	1,415,000.00	1,418,594.07	1,415,000.00	1,415,000.00	3,594.07		—		—	—		2.2500	2.2540	JJ	3,289.48	7,172.95		4/26/4780	2/12/5054
855244AF6	STARBUCKS CORP		1	1FE	498,600.00	504,469.99	500,000.00	499,342.99	5,127.00		331.20		—	—		3.3090	2.9610	MON	722.22	10,000.00		3182015	3102048
857477AG8	STATE STREET CORP			1FE	1,888,683.00	1,825,834.00	1,700,000.00	1,841,689.68	(15,855.68	)	(32,022.83	)	—	—		2.3000	2.0800	JD	23,552.09	74,375.00		6202016	6122018
857477AK9	STATE STREET CORP			1FE	3,157,439.50	3,165,951.25	3,175,000.00	3,169,418.43	(3,467.18	)	4,730.55		—	—		—	0.1420	FMAN	5,476.88	51,637.50		10012015	12312018
857477AQ6	STATE STREET CORP		2	2FE	2,125,000.00	2,162,187.50	2,125,000.00	2,125,000.00	37,187.50		—		—	—		—	—	MJSD	32,848.96	175,546.88		0	11042022
857477AN3	STATE STREET CORP			1FE	1,032,809.00	1,008,039.93	1,000,000.00	1,027,571.16	(19,531.23	)	(3,047.93	)	—	—		3.7500	3.7810	MON	1,375.00	33,000.00		4142015	4202045
BRT1X83J9	STATION CASINOS LLC		2	3FE	786,534.27	799,008.97	790,486.73	786,833.66	12,175.31		329.24		—	—		1.6620	1.4900	AO	—	14,510.16		8/17/5163	4152018
85771PAJ1	STATOILHYDRO ASA	D		1FE	10,202,467.50	10,186,347.50	10,250,000.00	10,234,818.05	(48,470.55	)	10,892.24		—	—		3.0000	2.2380	MON	15,061.79	117,875.00		12232015	6012030
85771PAR3	STATOILHYDRO ASA	D		1FE	798,864.00	802,760.01	800,000.00	799,566.51	3,193.50		(128.98	)	—	—		5.5000	2.3470	NOV	2,296.67	26,189.58		12212016	11222021
BRSMDLA59	STENA INTERNATIONAL SARL	D			1,803,056.60	1,575,397.94	1,821,269.29	1,810,329.75	(234,931.81	)	2,760.29		—	—		4.5000	0.4300	MS	—	74,337.02		6012016	3072019
BRST248L2	STERIGENICS-NORDION HOLDINGS L		4	4FE	390,183.44	392,428.98	391,206.46	390,405.81	2,023.17		158.41		—	—		3.8320	3.2380	MON	—	16,963.82		7/14/7901	3/5/7655
86212TAA7	STORE MASTER FUNDING LLC STR_1		4	1FE	2,175,745.96	2,082,192.51	2,058,964.10	2,170,118.23	(87,925.72	)	(5,150.16	)	—	—		6.7500	6.7500	MS	3,630.07	119,590.85		12072016	12312049
86213BAB3	STR_14-1A		4	1FE	1,085,020.53	996,058.98	987,083.33	1,079,978.39	(83,919.41	)	(3,118.44	)	—	—		4.3750	2.2730	MS	1,508.04	49,489.58		7072015	3072021
86213CAA3	STR_15-1A		4	1FE	1,487,181.36	1,451,282.36	1,487,500.01	1,487,197.00	(35,914.64	)	3.58		—	—		1.6500	1.6940	MS	1,704.43	55,933.60		8312016	9062019
8628113T1	STRATFORD REC CO LLC			1FE	782,955.00	766,702.50	750,000.00	764,077.63	2,624.87		(8,477.15	)	—	—		—	0.0710	MJSD	8,468.83	22,417.50		8182015	8222022
863667AK7	STRYKER CORP			1FE	1,115,877.35	1,115,847.36	1,115,000.00	1,115,643.70	203.66		(233.65	)	—	—		6.3850	3.3440	MN	6,999.72	11,026.12		6/26/5081	12312049
BRSM7GLZ9	STS OPERATING		4	4FE	1,566,333.57	1,513,578.86	1,614,484.11	1,567,900.97	(54,322.11	)	643.25		—	—		—	—	MJSD	—	34,745.03		0	3172021
00254EML3	SVENSK EXPORTKREDIT AB	D		1FE	4,987,250.00	4,915,300.00	5,000,000.00	4,988,659.68	(73,359.68	)	1,409.68		—	—		2.8350	2.2020	MON	19,218.75	—		8082016	8102038
86960BAJ1	SVENSKA HANDELSBANKEN AB	D		1FE	1,021,690.00	996,240.01	1,000,000.00	1,018,692.15	(22,452.14	)	(2,997.85	)	—	—		3.2500	2.2870	MN	6,000.00	9,000.00		9292015	11012020
W9T17AAL7	SVENSKA HANDELSBANKEN AB			1FE	1,465,325.51	1,449,103.42	1,100,000.00	1,462,257.87	1,637.59		(3,067.64	)	—	(14,792.04	)	2.7270	1.9340	JUN	51,843.29	(48,439.25	)	7262016	6032022
86960BAN2	SVENSKA HANDELSBANKEN AB	D			4,987,150.00	4,919,850.15	5,000,000.00	4,988,496.33	(68,646.18	)	1,346.33		—	—		1.5800	1.5880	MON	23,750.00	—		9142016	9152022
W94232CA6	SWEDBANK AB			1FE	4,991,550.00	5,027,084.55	5,000,000.00	4,996,234.85	30,849.70		1,682.79		—	—		1.4710	1.3740	FMAN	40,902.78	118,750.00		8112016	8192019
87020DAR5	SWEDEN KINGDOM	D			1,994,860.00	1,992,200.00	2,000,000.00	1,998,167.53	(5,967.53	)	1,712.30		—	—		2.0380	3.0850	MON	7,680.56	17,500.00		3292010	12262035
87154EAE0	SYMP_14-15A	D	4	1FE	1,005,000.00	999,951.20	1,000,000.00	1,003,951.10	(3,999.90	)	(595.74	)	—	—		—	0.0210	MJSD	8,613.33	38,026.62		11012016	10272022
87154GAC9	SYMP_16-18A	D	4		2,500,000.00	2,495,253.50	2,500,000.00	2,500,000.00	(4,746.50	)	—		—	—		2.9500	2.9870	AO	3,814.43	—		12232015	4012022
87165LBB6	SYNCC_16-2		4	1FE	8,184,680.80	8,132,975.75	8,185,000.00	8,184,610.35	(51,634.60	)	(70.45	)	—	—		1.6000	1.6090	FA	8,039.49	99,991.19		8182015	8212018
87165LBJ9	SYNCHRONY CREDIT CARD MASTER N		4	1FE	3,979,559.42	3,931,756.72	3,980,000.00	3,979,586.45	(47,829.73	)	27.03		—	—		3.5000	1.6200	MON	2,794.85	14,498.24		3/27/5136	12202026
87165LAA9	SYNCT_14-1		4	1FE	904,748.95	906,701.44	905,000.00	904,925.06	1,776.38		84.17		—	—		2.2000	2.2070	JD	647.58	14,570.52		11182013	12012018
BRSEM91J4	SYNIVERSE HLDGS		4	4FE	1,781,141.30	1,567,494.30	1,799,132.63	1,793,164.97	(225,670.67	)	2,787.35		—	—		3.0000	2.1900	MON	—	74,147.75		8132014	8012029
871829BB2	SYSCO CORP			2FE	3,473,088.75	3,462,524.72	3,475,000.00	3,473,558.45	(11,033.73	)	469.70		—	—		—	0.0710	MJSD	16,506.25	33,012.50		3142014	3192021
89236VAD2	TAOT_13-B		4	1FE	413,153.35	410,645.76	410,205.00	410,592.41	53.35		(2,179.46	)	—	—		1.4000	1.8350	MN	266.18	8,824.29		11282016	5202019
89231RAD6	TAOT_14-B		4	1FE	9,998,335.00	10,008,073.00	10,000,000.00	9,999,499.92	8,573.08		443.84		—	—		1.7500	1.7960	JD	5,822.22	131,000.04		10082015	6012018
89190AAD2	TAOT_14-C		4	1FE	999,701.10	1,000,495.15	1,000,000.00	999,888.68	606.47		83.98		—	—		3.5000	2.6690	MON	640.00	14,400.00		10212016	9012046

00388WAD3	TAQA ABU DHABI NATIONAL	D		1FE	473,385.00	480,549.90	475,000.00	473,541.82	7,008.08		156.82		—	—	2.3180	0.9800		MON	430.47	8,609.38		5/31/5437	5102045
87612EBB1	TARGET CORPORATION			1FE	5,864,292.45	5,815,977.92	5,735,000.00	5,821,752.37	(5,774.45	)	(33,949.07	)	—	—	1.9500	1.9800		MN	1,832.01	131,905.00		11052013	11082018
87612EBE5	TARGET CORPORATION			1FE	599,946.00	571,584.00	600,000.00	599,950.47	(28,366.47	)	4.47		—	—	4.0000	2.9330		MON	3,166.67	7,666.67		6052014	4012044
87612EAV8	TARGET CORPORATION			1FE	1,163,037.50	1,127,057.51	1,065,000.00	1,133,777.97	(6,720.46	)	(20,213.85	)	—	—	—	(1.5080	)	MJSD	19,029.49	46,875.67		4162015	7062021
87231LAA9	TCENT_16-1A	D	4		2,000,000.00	1,998,302.00	2,000,000.00	2,000,000.00	(1,698.00	)	—		—	—	2.7130	2.7220		MON	1,499.77	—		4202016	4132033
87233GAG5	TCP WATERMAN CLO LLC TCP_16-1A	D	4	1FE	500,000.00	498,709.90	500,000.00	500,000.00	(1,290.10	)	—		—	—	3.8500	3.2040		AO	924.66	—		6/4/8038	10152023
87236YAE8	TD AMERITRADE HLDG CORP		1	1FE	3,915,776.25	3,964,171.22	3,925,000.00	3,918,010.02	46,161.20		1,214.99		—	—	2.8750	2.8850		JAJO	28,946.88	115,787.50		12142015	9/29/5026
BRT23M4F6	TEAM HLTH INC.		4	4FE	1,959,581.68	1,976,550.92	1,978,034.45	1,961,236.53	15,314.39		1,794.29		—	—	—	0.0360		MJSD	—	44,101.43		12152016	12062023
BRSN4E4J0	TECHNIMARK LLC				6,682,500.00	6,615,675.00	6,682,500.00	6,682,500.00	(66,825.00	)	—		—	—	3.0000	2.3450		MON	—	295,105.79		9082016	11/16/4670
BRT6A7C63	TELENET FINANCING USD LLC		2	4FE	2,706,017.40	2,735,395.29	2,719,532.26	2,706,157.50	29,237.79		140.10		—	—	3.0000	2.6940		MON	—	8,311.12		10272015	10012045
BRT6FCEF5	TELESAT CANADA / TELESAT LLC	A	2	3FE	1,619,203.39	1,660,092.36	1,635,558.98	1,619,483.66	40,608.70		280.27		—	—	1.1250	1.2430		AO	—	—		4242013	4292018
87970UAE6	TELOS_14-6A	D	4	1FE	2,405,585.00	2,488,160.25	2,500,000.00	2,431,765.77	56,394.48		12,603.72		—	—	2.6780	2.0210		MON	15,727.78	67,260.90		3252015	4152050
BRSPDEXA2	TEREX CORP			3FE	787,924.26	789,899.01	789,899.01	788,583.53	1,315.48		303.03		—	—	3.8750	3.9390		MS	—	28,385.10		9032014	9102024
BRSQPSFE8	TERRA-GEN FINANCE CO LLC		4	3FE	667,344.74	593,567.94	670,698.24	668,303.82	(74,735.88	)	575.34		—	—	1.0000	1.1510		FA	—	36,473.15		9012016	8162019
88167AAD3	TEVA PHARMACEUTICAL FINANCE NE	D		2FE	622,912.50	588,262.51	625,000.00	623,033.51	(34,771.00	)	121.01		—	—	3.5000	2.4280		MON	7,777.78	—		4152015	3012045
88167AAC5	TEVA PHARMACEUTICAL FINANCE NE	D		2FE	2,161,427.75	2,068,635.94	2,165,000.00	2,161,730.46	(93,094.52	)	551.66		—	—	3.3750	3.2670		FA	21,168.89	17,477.78		3262015	1/13/7792
88167AAB7	TEVA PHARMACEUTICAL FINANCE NE	D		2FE	9,039,186.40	8,886,952.71	9,040,000.00	9,039,302.21	(152,349.50	)	115.81		—	—	—	—		FMAN	68,302.23	—		0	8172020
8821172X1	TEXAS A & M UNIV PERM UNIV FD			1FE	2,005,720.00	1,983,520.00	2,000,000.00	2,003,901.05	(20,381.05	)	(1,072.98	)	—	—	4.2500	1.7880		MN	17,500.00	35,000.00		12072016	11152019
88224LAC2	TEXAS CHILDRENS HEALTH PLAN (T				1,500,000.00	1,493,377.50	1,500,000.00	1,500,000.00	(6,622.50	)	—		—	—	1.7500	1.6810		JD	4,893.75	19,575.00		8242016	6152021
88224LAE8	TEXAS CHILDRENS HEALTH PLAN (T				2,000,000.00	1,983,666.00	2,000,000.00	2,000,000.00	(16,334.00	)	—		—	—	2.2740	2.2840		MON	10,375.00	41,500.00		1/13/5410	9/18/7983
882508AU8	TEXAS INSTRUMENTS INCORPORATED			1FE	295,140.00	299,219.99	300,000.00	296,847.07	2,372.92		1,173.40		—	—	4.0000	2.2520		MON	2,035.00	4,950.00		6022016	5012046
882508AV6	TEXAS INSTRUMENTS INCORPORATED			1FE	2,470,300.00	2,484,875.00	2,500,000.00	2,490,724.65	(5,849.65	)	6,862.46		—	—	2.2500	2.2670		JD	4,166.66	25,000.00		6162015	6192020
882806EL2	TEXAS TECH UNIV			1FE	5,000,000.00	5,017,050.00	5,000,000.00	5,000,000.00	17,050.00		—		—	—	5.6500	1.6940		JD	34,075.56	90,200.00		7292015	6152018
882806AT9	TEXAS TECH UNIV		2	1FE	2,263,420.00	2,130,980.00	2,000,000.00	2,130,432.29	547.71		(59,724.67	)	—	—	—	0.1780		FMAN	37,777.78	100,000.00		12062016	5032018
88283LKK1	TEXAS TRANSN COMMN ST HWY FD			1FE	64,343.50	60,914.50	50,000.00	64,141.95	(3,227.45	)	(201.55	)	—	—	2.3030	2.3030		JD	451.39	(76.39	)	11152013	6152018
88283LHW9	TEXAS TRANSN COMMN ST HWY FD			1FE	2,656,425.00	2,623,200.00	2,500,000.00	2,630,649.17	(7,449.17	)	(25,775.83	)	—	—	1.3860	0.6820		MJSD	31,250.00	(694.44	)	6022014	3062018
88283LHU3	TEXAS TRANSN COMMN ST HWY FD		4	1FE	897,834.00	822,436.98	700,000.00	892,728.36	(70,291.38	)	(5,105.64	)	—	—	—	0.0370		MJSD	9,061.51	6,242.37		9262016	9262023
BRSNUUGN3	TGI FRIDAYS INC				1,089,680.99	1,079,124.56	1,083,640.09	1,083,498.33	(4,373.77	)	(5,568.17	)	—	—	2.3750	2.4850		MN	—	57,178.89		11102015	5262020
63902HAA7	THE NATURE CONSESRVANCY			1FE	3,437,400.00	3,254,580.00	3,000,000.00	3,237,838.23	16,741.77		(90,310.10	)	—	—	—	0.0830		MJSD	94,500.00	189,000.00		8122015	8192021
883556BB7	THERMO FISHER SCIENTIFIC INC			2FE	2,001,260.00	2,003,739.80	2,000,000.00	2,000,412.05	3,327.75		(389.73	)	—	—	3.0000	2.4690		MON	17,061.11	37,000.00		7122011	5152040
883556BN1	THERMO FISHER SCIENTIFIC INC		1	2FE	34,829.20	34,426.70	35,000.00	34,845.18	(418.48	)	15.98		—	—	2.3000	2.3740		MN	221.67	530.83		11282016	5142021
883556BE1	THERMO FISHER SCIENTIFIC INC			2FE	2,973,453.00	2,996,657.92	2,975,000.00	2,974,217.72	22,440.20		(2,807.88	)	—	—	1.7500	1.7760		MN	29,750.00	191,819.00		10262015	11022018
883556AZ5	THERMO FISHER SCIENTIFIC INC		1	2FE	2,896,523.00	2,891,475.94	2,800,000.00	2,882,543.77	8,932.17		(13,979.23	)	—	—	—	0.1420		JAJO	38,080.00	49,420.00		4202012	4232019
88428LAA0	THIRD POINT RE USA HOLDINGS IN			2FE	10,000,000.00	9,460,202.04	10,000,000.00	10,000,000.00	(539,797.96	)	—		—	—	3.5000	2.5990		MON	268,333.33	822,111.11		4102015	4012045

87247CAA1	TICP_14-2A	D	4	1FE	3,720,000.00	3,736,063.13	3,750,000.00	3,731,176.97	4,886.16		5,503.04		—	—		2.8750	1.8380	JJ	17,726.99	76,912.99		11022016	7272020
87247UAE3	TICP_14-3	D	4	1FE	995,000.00	999,962.70	1,000,000.00	995,347.72	4,614.98		347.72		—	—		3.6250	3.7000	JD	6,552.20	8,197.69		6142016	6222021
BRSN1NQ83	TIME INC (USA)			3FE	2,163,491.32	2,193,539.85	2,185,344.81	2,171,608.52	21,931.33		3,351.11		—	—		6.0000	5.1460	MON	—	94,770.41		10/29/7490	4012037
88732JAL2	TIME WARNER CABLE INC			2FE	1,304,897.00	1,174,250.00	1,100,000.00	1,177,628.08	(3,378.08	)	(50,508.88	)	—	—		1.3000	1.3200	MN	37,125.00	74,250.00		5052016	5102019
BRSWVW9B2	T-MOBILE USA INC			2FE	824,802.65	837,532.78	828,947.37	825,465.45	12,067.33		676.12		—	—		—	0.0460	MJSD	—	31,973.44		3232016	4092021
880591EQ1	TN VLY AUTHORITY			1	2,552,790.60	2,586,674.28	2,565,000.00	2,560,557.90	26,116.38		2,428.14		—	—		3.0000	3.0110	JAJO	9,476.25	44,887.50		7082016	4122027
BRSWDXM82	TOOLING ACQUISITION CO.				210,611.48	207,978.83	210,611.48	210,611.48	(2,632.65	)	—		—	—		2.6180	2.7260	MON	—	45,730.39		4022007	10012034
BRSWDXMT6	TOOLING ACQUISITION CO.				2,433,533.64	2,403,114.47	2,433,533.64	2,433,533.64	(30,419.17	)	—		—	—		3.4500	3.2210	JJ	—	107,463.42		6/4/8038	7152024
89114QAG3	TORONTO-DOMINION BANK/THE	A		1FE	2,938,030.20	2,931,973.80	2,940,000.00	2,939,463.80	(7,490.00	)	398.00		—	—		4.3750	4.4310	MN	6,974.33	41,160.00		6152006	5012017
89114QAV0	TORONTO-DOMINION BANK/THE	A		1FE	4,200,834.00	4,221,713.92	4,200,000.00	4,200,764.56	20,949.36		(264.20	)	—	—		6.7500	5.8550	FA	14,700.00	94,500.00		12112014	12312049
891145TN4	TORONTO-DOMINION BANK/THE	A		1FE	1,594,560.00	1,594,011.20	1,600,000.00	1,599,779.02	(5,767.82	)	(10,147.55	)	—	—		1.6500	2.0690	FA	7,200.00	74,458.33		7102015	8032019
8911457V0	TORONTO-DOMINION BANK/THE	A		1FE	4,992,250.00	4,962,400.05	5,000,000.00	4,993,430.20	(31,030.15	)	1,180.20		—	—		—	—	MJSD	33,125.01	56,250.00		10302015	10292021
89114QB64	TORONTO-DOMINION BANK/THE	A		1FE	204,797.05	205,120.95	205,000.00	204,893.14	227.81		66.97		—	—		—	0.0750	MJSD	1,574.51	3,587.50		10132016	6072023
89114QBJ6	TORONTO-DOMINION BANK/THE	A		1FE	6,216,885.75	6,135,111.00	6,225,000.00	6,217,177.45	(82,066.45	)	291.70		—	—		3.6670	1.6670	MON	34,600.63	4,186.88		9082016	11152044
89153VAK5	TOTAL CAPITAL INTERNATIONAL SA	D		1FE	1,998,760.00	2,011,419.98	2,000,000.00	1,999,412.65	12,007.33		280.94		—	—		2.9000	2.4470	MN	20,187.50	42,500.00		11282016	11152021
89153VAC3	TOTAL CAPITAL INTERNATIONAL SA	D		1FE	4,092,333.00	4,105,084.00	4,100,000.00	4,099,223.16	5,860.84		1,570.21		—	—		—	—	MJSD	529.59	63,550.00		3272015	3122021
F9208ZKR7	TOTAL CAPITAL S.A.				592,544.66	550,436.87	420,000.00	585,163.94	(443.34	)	(7,380.72	)	—	(34,283.73	)	2.2000	1.9330	MS	991.73	8,112.79		10242016	3042019
F9208ZKB2	TOTAL CAPITAL S.A.			1FE	1,654,432.94	1,238,300.38	970,000.00	1,564,099.61	6,784.35		(44,256.99	)	—	(332,583.58	)	3.3540	3.3770	MON	3,349.45	61,771.54		11042016	11152033
BRSM7GUN6	TOWER AUTOMOTIVE HOLDINGS USA			4FE	1,240,094.16	1,244,606.12	1,243,828.73	1,240,604.10	4,002.02		525.37		—	—		2.8170	3.2820	MON	—	17,637.62		12132005	3012035
BRSSD9JL9	TOWNSQUARE MEDIA INC			3FE	738,032.86	739,065.70	741,227.86	738,635.75	429.95		426.51		—	—		7.6250	1.6250	APR	—	27,789.91		7262016	4032018
89237WAD9	TOYOTA AUTO RECEIVABLES OWNER		4		1,334,964.22	1,323,730.64	1,335,000.00	1,334,966.90	(11,236.26	)	2.68		—	—		1.0000	0.9040	DEC	676.40	5,284.37		12302014	12072017
89236TAY1	TOYOTA MOTOR CREDIT CORP			1FE	1,119,624.00	1,105,940.10	1,100,000.00	1,113,968.23	(8,028.13	)	(5,655.77	)	—	—		—	—	MJSD	4,094.44	12,222.22		0	4282021
89236TCP8	TOYOTA MOTOR CREDIT CORP			1FE	149,872.50	149,887.50	150,000.00	149,934.12	(46.62	)	121.49		—	—		3.7800	4.4200	FMAN	1,085.00	14,686.25		10232014	5262026
89236TBH7	TOYOTA MOTOR CREDIT CORP			1FE	1,499,205.00	1,499,445.00	1,500,000.00	1,499,899.76	(454.76	)	267.08		—	—		4.5000	3.6730	MON	2,109.38	16,875.00		3262009	4152024
89236TCU7	TOYOTA MOTOR CREDIT CORP			1FE	4,999,400.00	4,980,799.85	5,000,000.00	4,999,570.33	(18,770.48	)	170.33		—	—		2.8130	3.0160	MON	31,166.67	42,500.00		4022007	10/5/7408
89236TCA1	TOYOTA MOTOR CREDIT CORP			1FE	5,527,417.05	5,533,671.60	5,535,000.00	5,532,358.75	1,312.85		2,526.35		—	—		3.5000	3.1920	MON	37,676.42	80,257.50		9122014	10/13/7408
89236TCX1	TOYOTA MOTOR CREDIT CORP			1FE	5,998,560.00	5,972,940.00	6,000,000.00	5,999,085.05	(26,145.05	)	756.60		—	—		—	6.2290	JAJO	17,000.00	58,933.33		12212016	6/20/4862
89236TDE2	TOYOTA MOTOR CREDIT CORP			1FE	890,586.00	888,776.98	900,000.00	890,906.65	(2,129.67	)	320.65		—	—		4.0510	2.7360	MON	1,435.00	(385.00	)	3/23/7518	4102047
89267XAH1	TRADEWYND RE LTD	D			875,000.00	895,361.25	875,000.00	875,000.00	20,361.25		—		—	—		4.5000	3.9050	MON	16,296.88	311,186.22		6032010	6152035
89267XAF5	TRADEWYND RE LTD	D			500,000.00	505,020.00	500,000.00	500,000.00	5,020.00		—		—	—		1.3750	1.4890	MS	6,637.50	27,122.81		9192012	9152017
89289YAB6	TRAMLINE RE II LTD	D			1,000,000.00	1,026,380.00	1,000,000.00	1,000,000.00	26,380.00		—		—	—		5.5000	4.1770	MON	25,186.74	100,886.52		3202009	12012021
BRSTMLVU6	TRANS UNION LLC		4	4FE	2,496,547.89	2,518,214.70	2,502,573.62	2,497,622.64	20,592.06		1,122.83		—	—		1.7240	1.7240	JD	—	88,199.41		6032014	12062017
893526DK6	TRANSCANADA PIPELINES LIMITED	A		1FE	535,870.00	520,610.05	500,000.00	525,084.07	(4,474.02	)	(7,837.52	)	—	—		3.5000	2.1900	MON	4,750.00	28,394.44		9172010	11202038
89352HAS8	TRANSCANADA PIPELINES LIMITED	A		1FE	2,542,783.50	2,603,805.03	2,550,000.00	2,544,956.20	58,848.83		2,172.70		—	—		2.8500	2.1330	AO	36,744.79	37,187.50		10182016	4152021

89352HAN9	TRANSCANADA PIPELINES LIMITED	A		1FE	824,735.50	826,163.25	825,000.00	825,017.08	1,146.17		(18.49	)	—	—		4.2130	4.2500		MON	7,261.72	15,468.76		4/3/7737	1/30/7792
89356BAA6	TRANSCANADA TRUST	A	2	2FE	1,075,000.00	1,085,750.00	1,075,000.00	1,075,000.00	10,750.00		—		—	—		6.1800	6.0460		MJSD	6,886.72	60,468.76		4072015	4162018
BRSNBE338	TRANSDIGM INC		4	4FE	3,888,580.82	3,931,142.09	3,907,330.82	3,894,459.88	36,682.21		2,909.19		—	—		1.5580	2.3290		MON	—	154,246.67		9102009	11/17/4670
BRSU975A2	TRIBUNE COMPANY		4	3FE	1,715,491.76	1,730,350.63	1,718,890.79	1,716,422.57	13,928.06		650.83		—	—		1.3750	1.2900		JJ	—	65,768.12		5212014	7312018
L9339LAB9	TRINSEO MATERIALS OPERATING SC		4	3FE	561,450.00	568,063.58	562,857.15	561,766.98	6,296.60		238.64		—	—		2.6000	2.6150		JJ	—	6,144.29		7162015	7212020
89837RAA0	TRUSTEES OF DARTMOUTH COLLEGE			1FE	339,666.00	318,753.00	300,000.00	322,479.70	(3,726.70	)	(8,438.52	)	—	—		1.1250	1.1820		FA	1,187.50	18,419.44		9012016	8312021
872882AC9	TSMC GLOBAL LTD	D		1FE	5,711,170.95	5,686,425.00	5,715,000.00	5,714,011.50	(27,586.50	)	776.05		—	—		3.3000	3.2050		FA	22,701.25	92,868.76		11292016	9/23/7408
BRT6TBA33	TURBF_7	B	4		1,184,104.50	1,180,659.37	955,000.00	1,184,104.50	613.62		—		—	(4,058.75	)	3.8830	2.8380		MON	932.45	—		10082014	12/26/5327
902133AQ0	TYCO ELECTRONICS GROUP SA	D	1	1FE	1,634,149.80	1,638,319.10	1,635,000.00	1,634,548.78	3,770.32		167.43		—	—		1.1250	1.1850		JJ	16,009.38	38,422.50		6042015	7202018
90944WAA7	UACST_16-2		4		1,455,249.12	1,456,494.25	1,455,265.86	1,455,254.08	1,240.17		9.90		—	—		2.7000	1.9620		MON	1,417.67	6,350.12		12092015	7012045
BRSPC8H22	UAL_12-2A			3FE	1,107,046.98	1,121,024.83	1,118,229.26	1,110,653.52	10,371.31		1,677.57		—	—		3.0000	2.0350		MON	—	42,680.63		8152014	6012027
G91979AA5	UBS AG LONDON BRANCH			1FE	1,387,520.50	1,327,101.56	1,000,000.00	1,370,311.89	(972.01	)	(17,208.61	)	—	(42,238.31	)	5.0000	2.4660		MON	59,433.92	(41,613.16	)	12/9/4752	10/5/7408
90261XHK1	UBS AG (STAMFORD BRANCH)			1FE	831,893.80	831,584.88	835,000.00	832,887.02	(1,302.14	)	622.06		—	—		3.0000	1.4830		MON	5,178.16	19,622.50		6192012	6202027
90261XHL9	UBS AG (STAMFORD BRANCH)			1FE	4,995,300.00	4,999,000.00	5,000,000.00	4,999,014.75	(14.75	)	3,275.17		—	—		6.0000	5.9620		MON	5,729.17	105,416.67		11012008	8202038
G918UHAA3	UBS AG JERSEY BRANCH			2FE	574,419.18	481,607.81	350,000.00	554,469.64	4,617.50		(12,082.80	)	—	(77,479.33	)	5.3100	5.0720		JAJO	3,096.95	21,005.77		12052014	6/17/4862
90351DAH0	UBS GROUP FUNDING JERSEY LTD	D		1FE	749,550.00	728,700.03	750,000.00	749,577.71	(20,877.68	)	27.71		—	—		6.0000	5.3950		FA	7,784.38	—		10292009	8072019
90351DAD9	UBS GROUP FUNDING JERSEY LTD	D		1FE	8,993,250.00	9,004,500.99	9,000,000.00	8,994,235.03	10,265.96		985.03		—	—		—	(1.3290	)	MJSD	56,999.99	142,499.99		12282016	7082022
90351DAA5	UBS GROUP FUNDING JERSEY LTD	D		1FE	5,989,740.00	6,003,720.24	6,000,000.00	5,992,212.43	11,507.81		1,950.81		—	—		1.5000	1.5390		MN	47,691.67	177,000.00		5082013	5152018
90270RBF0	UBSBB_12-C4		4		515,097.66	502,675.02	500,000.00	513,077.67	(10,402.65	)	(2,673.01	)	—	—		3.5000	2.8300		MON	1,024.54	7,932.68		3062015	10/15/7408
90270YBD0	UBSBB_13-C5		4		1,368,685.50	1,359,722.99	1,355,000.00	1,358,833.03	889.96		(4,243.45	)	—	—		2.8750	2.8250		FA	2,412.46	28,949.52		3152016	10/26/8065
90269GAC5	UBSCMT_12-C1		4	1FE	2,820,296.84	2,738,360.28	2,628,312.93	2,802,054.89	(63,694.61	)	(20,416.53	)	—	—		2.2000	2.2190		JD	7,446.89	36,607.91		11142016	12152021
904764AR8	UNILEVER CAPITAL CORP			1FE	546,815.50	548,636.00	550,000.00	547,685.37	950.63		615.03		—	—		3.0000	2.4590		MON	4,844.58	11,550.00		6/20/7463	3/11/5054
904764AT4	UNILEVER CAPITAL CORP			1FE	416,656.80	403,099.19	420,000.00	416,932.31	(13,833.12	)	330.56		—	—		5.9500	2.0660		FA	2,454.37	491.37		8182016	1/8/7792
904764AP2	UNILEVER CAPITAL CORP			1FE	691,712.00	698,782.00	700,000.00	699,003.81	(221.81	)	6,554.17		—	—		1.3500	1.4020		JJ	2,462.64	31,737.47		10/4/5245	4/14/5355
904764AQ0	UNILEVER CAPITAL CORP			1FE	1,606,361.25	1,641,981.22	1,625,000.00	1,617,328.91	24,652.31		2,060.58		—	—		—	0.0500		MJSD	11,420.14	56,466.67		8132015	8292021
907818CZ9	UNION PACIFIC CORPORATION			1FE	275,372.50	259,467.50	250,000.00	259,562.59	(95.09	)	(10,867.40	)	—	—		1.2500	1.0930		AO	1,836.81	14,375.00		9232016	10312018
907818DA3	UNION PACIFIC CORPORATION			1FE	1,999,631.70	1,861,495.66	1,749,000.00	1,856,099.07	5,396.59		(64,458.22	)	—	—		5.5000	3.5300		MON	37,661.80	99,693.00		11/21/5327	5012033
907818EE4	UNION PACIFIC CORPORATION		1	1FE	3,247,400.00	3,248,147.54	3,250,000.00	3,248,167.71	(20.17	)	502.96		—	—		4.4500	4.4880		JD	2,437.50	73,125.00		6092015	6122025
907818DM7	UNION PACIFIC CORPORATION		1	1FE	1,812,164.25	1,734,918.70	1,725,000.00	1,804,303.67	(69,384.97	)	(7,860.58	)	—	—		—	—		MJSD	23,464.79	9,329.37		0	12/3/7928
907818EA2	UNION PACIFIC CORPORATION		1	1FE	1,006,336.49	990,580.00	1,000,000.00	1,003,977.74	(13,397.74	)	(1,112.16	)	—	—		—	0.1080		MJSD	7,500.00	18,000.00		12302016	5022022
907818DD7	UNION PACIFIC CORPORATION			1FE	708,215.55	680,584.22	615,000.00	690,887.30	(10,303.08	)	(17,328.25	)	—	—		3.7630	3.7790		MJSD	14,230.42	13,707.24		12142016	12052025
G92450K80	UNITED KINGDOM GILT			1FE	5,656,869.68	4,509,646.02	3,449,215.00	5,427,229.13	27,139.50		(599,722.04	)	—	(944,722.61	)	5.0000	4.2000		AO	68,286.55	997,918.28		9172013	10012028
G924502M9	UNITED KINGDOM GILT			1FE	994,834.77	833,862.85	614,830.00	973,810.94	7,143.86		(167,490.64	)	—	(147,091.96	)	6.5000	6.1350		MON	10,955.00	171,177.82		10312007	7012037
G92451EF9	UNITED KINGDOM GILT	B		1FE	3,266,414.02	3,300,154.25	2,320,000.00	3,265,430.93	8,215.17		(1,722.59	)	—	26,508.15		2.3500	2.3710		MN	34,448.01	(32,128.76	)	9222016	11152021

G924504T2	UNITED KINGDOM GILT	1FE	2,650,644.14	2,616,736.01	1,800,000.00	2,646,588.36	11,887.62		(4,055.78	)	—	(41,739.98	)	3.2500	1.9570	JD	28,508.69	(23,971.46	)	6162016	6122020
G9244PAB0	UNITED KINGDOM GILT	1FE	910,745.95	909,346.67	670,181.00	908,053.95	4,405.25		(30,241.61	)	—	(3,112.54	)	—	—	MJSD	9,951.04	21,747.35		10062016	7312018
G92450UG1	UNITED KINGDOM GILT	1FE	4,597,198.76	4,596,957.80	3,250,000.00	4,597,198.76	(240.95	)	(1,234.36	)	—	—		—	—	JAJO	62,706.25	(61,264.50	)	12212016	6/19/4862
G9T44MFU1	UNITED KINGDOM GILT	1FE	17,794,790.16	17,545,345.27	13,940,000.00	17,741,229.59	36,285.04		(59,937.88	)	—	(232,169.36	)	1.7300	1.5460	AO	95,369.17	(7,471.07	)	12102015	4092020
911312AK2	UNITED PARCEL SERVICE INC	1FE	1,565,228.00	1,502,549.96	1,400,000.00	1,508,385.13	(5,835.17	)	(47,049.52	)	—	—		1.1500	1.2590	MN	17,937.50	71,750.00		12052016	5152018
912828WD8	UNITED STATES TREASURY	1	29,073,255.97	28,994,295.81	28,950,000.00	29,032,004.81	(37,709.00	)	(31,253.49	)	—	—		2.8330	2.8400	JAJO	61,978.59	322,746.61		11082016	2/22/5054
912828P46	UNITED STATES TREASURY	1	1,952,031.25	1,869,080.04	2,000,000.00	1,955,087.78	(86,007.74	)	3,574.23		—	—		3.8800	4.9230	JAJO	12,275.82	13,115.17		6242016	10152026
912828S27	UNITED STATES TREASURY	1	1,002,970.43	967,900.01	1,000,000.00	1,002,698.27	(34,798.26	)	(272.16	)	—	—		2.2500	1.9700	MN	31.08	5,227.58		1/2/5191	11152025
912828ST8	UNITED STATES TREASURY	1	28,869,656.81	28,877,168.42	28,900,000.00	28,865,538.58	11,629.84		(4,118.23	)	—	—		1.2500	1.3880	MS	61,871.55	(27,549.48	)	5232016	3312021
912828P20	UNITED STATES TREASURY	1	3,810,446.48	3,802,151.40	3,810,000.00	3,810,304.94	(8,153.54	)	(141.54	)	—	—		1.6250	1.4880	MN	11,958.02	2,904.60		8012016	5152026
912828WR7	UNITED STATES TREASURY	1	3,393,729.36	3,385,777.76	3,350,000.00	3,383,526.98	2,250.78		(7,083.96	)	—	—		1.3750	1.1210	MS	196.65	71,187.50		3162016	9302018
912828Q52	UNITED STATES TREASURY	1	22,582,955.14	22,396,148.00	22,600,000.00	22,586,813.63	(190,665.63	)	6,607.22		—	—		5.0000	3.7360	MON	42,375.00	107,149.70		7292009	7152024
912828U40	UNITED STATES TREASURY	1	9,962,890.63	9,967,900.10	10,000,000.00	9,963,153.43	4,746.67		262.80		—	—		5.0000	3.3980	MON	8,791.21	(7,417.58	)	9292009	4152024
9128282G4	UNITED STATES TREASURY	1	2,001,484.38	1,973,919.98	2,000,000.00	2,001,357.51	(27,437.53	)	(126.87	)	—	—		3.0000	1.9850	MON	5,220.99	(725.14	)	11092010	9162040
912828D56	UNITED STATES TREASURY	1	3,246,105.59	3,200,542.51	3,185,000.00	3,238,171.71	(37,629.20	)	(6,474.43	)	—	—		0.8750	0.8820	FA	28,571.97	75,643.76		7062016	8152019
912828R69	UNITED STATES TREASURY	1	5,056,650.63	4,831,800.10	5,000,000.00	5,052,531.38	(220,731.28	)	(6,894.99	)	—	—		5.2500	5.1600	MN	7,142.86	72,747.60		10292008	11012022
912828M56	UNITED STATES TREASURY	1	1,844,718.75	1,777,355.95	1,800,000.00	1,840,835.90	(63,479.95	)	(5,361.97	)	—	—		2.5250	2.5250	MS	5,258.29	47,212.21		11212014	9012019
912828SX9	UNITED STATES TREASURY	1	20,036,752.35	19,914,599.60	20,000,000.00	20,027,461.09	(112,861.49	)	(9,291.26	)	—	—		1.8640	1.8640	FA	19,889.50	185,040.98		6062013	8012018
912810RS9	UNITED STATES TREASURY	1	799,842.15	675,647.61	760,000.00	799,376.29	(123,728.68	)	(784.89	)	—	—		5.0000	4.1390	FA	2,466.85	22,769.11		9132013	8012027
912828TV2	UNITED STATES TREASURY	1	5,043,758.40	4,978,350.05	5,000,000.00	5,035,158.60	(56,808.55	)	(8,599.80	)	—	—		2.1440	2.1440	MN	10,704.42	33,310.44		10232014	11012019
912828N22	UNITED STATES TREASURY	1	8,079,075.94	8,008,079.84	8,000,000.00	8,067,173.39	(59,093.55	)	(11,902.55	)	—	—		1.6250	1.4650	JD	4,670.33	30,327.87		5202015	6142019
912828T83	UNITED STATES TREASURY	1	4,961,922.46	4,963,850.00	5,000,000.00	4,962,922.71	927.29		1,000.25		—	—		2.0090	2.0090	MN	6,422.65	(4,558.01	)	6142013	5012018
912828L32	UNITED STATES TREASURY	1	2,991,679.69	2,968,770.00	3,000,000.00	2,993,775.77	(25,005.77	)	1,651.30		—	—		4.0000	2.6820	MON	14,015.88	41,250.00		9182014	9012044
912828UZ1	UNITED STATES TREASURY	1	8,776,097.84	8,781,316.25	8,825,000.00	8,801,513.78	(20,197.53	)	19,824.73		—	—		2.8270	1.9930	MON	9,446.64	67,761.58		3092012	12012036
912828U24	UNITED STATES TREASURY	1	13,531,070.30	13,399,887.68	13,925,000.00	13,534,735.02	(134,847.34	)	4,420.69		—	—		2.9230	1.8140	MON	36,158.84	(408.85	)	1/2/5191	11012045
912828Q37	UNITED STATES TREASURY	1	263,291.99	258,878.51	265,000.00	263,500.94	(4,622.43	)	501.58		—	—		6.0000	5.6630	MON	846.33	5,385.41		7/31/7545	3152029
912828J84	UNITED STATES TREASURY	1	10,082,438.68	9,947,300.00	10,000,000.00	10,064,936.18	(117,636.18	)	(17,502.50	)	—	—		2.7890	3.1230	MON	35,130.49	88,285.52		8/29/7983	9012033
912828RH5	UNITED STATES TREASURY	1	42,521,935.62	42,393,803.18	42,235,000.00	42,413,439.92	(19,636.74	)	(92,142.56	)	—	—		4.0000	2.8590	MON	148,373.64	511,304.85		7/22/8120	4012041
912828U32	UNITED STATES TREASURY	1	33,679,414.07	33,589,959.66	34,000,000.00	33,689,225.18	(99,265.52	)	9,811.11		—	—		4.0000	2.1260	MON	44,143.65	(8,922.65	)	12092015	10/15/7408
912828UJ7	UNITED STATES TREASURY	1	21,431,168.94	21,483,230.00	21,500,000.00	21,471,675.60	11,554.40		25,923.57		—	—		3.0000	2.1540	MON	78,726.22	188,125.00		12112015	11012030
9128282A7	UNITED STATES TREASURY	1	7,820,491.22	7,335,963.25	7,975,000.00	7,822,961.26	(486,998.01	)	2,518.50		—	—		3.0000	2.3390	MON	45,184.44	(17,185.81	)	6282016	4012043
912828H94	UNITED STATES TREASURY	1	125,292.97	125,051.24	125,000.00	125,173.64	(122.40	)	(119.33	)	—	—		2.7760	2.9390	MON	472.15	501.37		9282006	3012035
9128282D1	UNITED STATES TREASURY	1	498,710.94	473,815.00	500,000.00	498,770.69	(24,955.69	)	66.55		—	—		2.9200	3.2650	MON	2,335.98	265.88		8102006	10/4/7408
912828TW0	UNITED STATES TREASURY	1	10,308,489.00	10,390,536.00	10,400,000.00	10,375,071.59	15,464.41		42,369.95		—	—		2.9480	3.0960	MON	13,359.11	389,388.37		4022007	11/8/4670

912828G38	UNITED STATES TREASURY	1	5,217,968.75	4,970,550.15	5,000,000.00	5,178,071.99	(207,521.84	)	(20,930.95	)	—	—	3.3550	3.2230	MON	14,606.35	112,500.00		12132006	12012036
912828R85	UNITED STATES TREASURY	1	29,661,334.66	29,230,421.68	29,540,000.00	29,641,046.90	(410,625.22	)	(20,536.32	)	—	—	3.0000	1.6600	MON	12,071.63	124,139.56		4292013	4012028
912828R51	UNITED STATES TREASURY	1	41,015,365.59	40,821,472.00	40,900,000.00	40,983,714.33	(162,242.33	)	(31,651.26	)	—	—	5.3200	5.3200	JD	31,461.54	164,664.96		12082005	12152020
9128282B5	UNITED STATES TREASURY	1	29,955,468.90	29,539,199.10	30,000,000.00	29,960,985.63	(421,786.53	)	5,631.37		—	—	7.7500	1.6540	APR	84,986.41	40.77		12212016	4302018
912828A34	UNITED STATES TREASURY	1	789,184.00	801,047.98	800,000.00	794,950.84	6,097.14		2,796.08		—	—	3.0000	2.7400	JD	879.12	11,051.91		4222016	6302022
912828VA5	UNITED STATES TREASURY	1	2,039,272.97	2,021,710.07	2,050,000.00	2,041,536.84	(19,826.77	)	3,564.79		—	—	5.1250	1.8570	AO	3,949.93	29,099.40		5042015	4012019
912828L57	UNITED STATES TREASURY	1	2,637,888.02	2,551,094.08	2,600,000.00	2,633,268.77	(82,174.69	)	(13,332.29	)	—	—	2.6500	2.7170	FA	11,625.00	85,556.92		5/8/4999	9/21/7408
912828SS0	UNITED STATES TREASURY	1	11,585,839.31	11,511,386.15	11,500,000.00	11,506,924.46	4,461.69		(21,000.12	)	—	—	1.7000	1.8090	AO	17,234.12	100,625.00		4222015	4272018
912828S50	UNITED STATES TREASURY	1	578,746.09	561,216.95	575,000.00	580,202.97	(18,986.02	)	2,565.00		—	—	2.1500	2.1590	JJ	334.84	(179.57	)	7232015	7302018
912828G20	UNITED STATES TREASURY	1	1,505,334.55	1,500,000.00	1,500,000.00	1,502,208.50	(2,208.50	)	(6,218.84	)	—	—	0.8750	0.9890	JJ	1,704.07	230,811.54		7072016	7122019
912828S68	UNITED STATES TREASURY	1	7,504,993.07	7,459,499.93	7,500,000.00	7,503,998.39	(44,498.46	)	(994.68	)	—	—	6.4000	1.9550	JD	23,539.40	(1,222.83	)	7012015	6152018
912828M64	UNITED STATES TREASURY	1	20,298,967.18	20,311,030.02	20,280,000.00	20,296,329.56	14,700.46		(2,755.98	)	—	—	1.8500	1.8720	MS	32,912.98	234,614.13		3182016	3222019
912828H86	UNITED STATES TREASURY	1	198,648.84	195,488.01	200,000.00	198,852.06	(3,364.05	)	943.24		—	—	3.1500	2.4410	MS	1,255.43	11,877.72		3152016	3152022
912828R77	UNITED STATES TREASURY	1	2,028,675.24	1,960,520.02	2,000,000.00	2,025,616.23	(65,096.21	)	(3,059.01	)	—	—	4.6000	4.6060	AO	2,417.58	12,472.68		12192016	8/28/4692
912828G87	UNITED STATES TREASURY	1	7,508,008.33	7,379,560.57	7,317,000.00	7,456,517.42	(76,956.85	)	(26,525.92	)	—	—	1.6000	1.6160	MN	429.52	155,486.26		5212013	5292018
912828N63	UNITED STATES TREASURY	1	21,121,880.04	20,960,519.16	21,000,000.00	21,085,372.50	(124,853.34	)	(37,715.94	)	—	—	2.8000	2.8340	JD	109,137.23	104,680.63		12082016	12152021
912828S92	UNITED STATES TREASURY	1	1,245,214.84	1,176,974.96	1,250,000.00	1,245,481.09	(68,506.13	)	266.25		—	—	1.8500	1.8560	JJ	6,538.72	(212.30	)	5192016	7012019
9128282F6	UNITED STATES TREASURY	1	1,620,493.16	1,570,204.97	1,625,000.00	1,620,776.09	(50,571.12	)	388.64		—	—	1.5000	1.5590	JJ	6,211.58	1,114.76		3/17/4917	6/29/5081
912828TM2	UNITED STATES TREASURY	1	8,998,140.98	8,993,808.18	9,002,000.00	9,000,671.70	(6,863.52	)	27,252.19		—	—	—	—	MJSD	19,116.82	244,131.26		12232015	4252021
912828SJ0	UNITED STATES TREASURY	1	3,003,642.86	3,001,500.30	3,000,000.00	3,000,173.08	1,327.22		(1,579.29	)	—	—	—	0.1550	MJSD	8,919.20	42,827.43		12182015	6132021
912828XA3	UNITED STATES TREASURY	1	3,797,630.73	3,798,936.00	3,800,000.00	3,799,233.18	(297.18	)	834.49		—	—	—	0.2420	JAJO	4,933.70	36,362.64		5022016	12292017
912828T91	UNITED STATES TREASURY	1	10,912,966.81	10,850,721.75	11,275,000.00	10,917,959.54	(67,237.79	)	4,992.73		—	—	—	0.0330	MJSD	31,380.01	(12,653.22	)	12/9/4752	12292022
912828SM3	UNITED STATES TREASURY	1	1,405,906.24	1,401,399.86	1,400,000.00	1,400,647.54	752.32		(14,453.60	)	—	—	—	—	MJSD	3,576.92	107,502.10		12302016	10262020
912828TS9	UNITED STATES TREASURY	1	7,777,031.57	7,790,609.08	7,802,000.00	7,799,100.78	(8,491.70	)	23,130.32		—	—	—	—	MJSD	12,458.55	127,805.10		0	4012023
912828UR9	UNITED STATES TREASURY	1	16,215,352.79	16,413,204.30	16,455,000.00	16,380,753.42	32,450.88		73,564.74		—	—	—	0.0310	MJSD	41,932.98	182,184.58		12152016	3/13/5492
912828D72	UNITED STATES TREASURY	1	963,748.83	933,720.08	930,000.00	961,862.11	(28,142.03	)	(1,886.72	)	—	—	1.5000	1.5260	JJ	6,319.89	(1,027.62	)	1/25/4835	6/29/5081
912828UB4	UNITED STATES TREASURY	1	2,467,983.00	2,543,791.04	2,575,000.00	2,513,449.08	30,341.96		21,487.15		—	—	5.1250	1.2650	DEC	2,263.73	27,503.41		7262016	12072017
912828WN6	UNITED STATES TREASURY	1	4,338,172.67	4,326,488.22	4,300,000.00	4,329,018.64	(2,530.42	)	(6,108.98	)	—	—	5.7750	5.8150	JAJO	7,560.44	86,000.00		5/25/7819	3062020
912828XK1	UNITED STATES TREASURY	1	33,003,439.31	32,919,320.00	33,025,000.00	33,017,327.26	(98,007.26	)	12,790.43		—	—	—	—	JAJO	133,491.00	209,376.74		12212016	6/19/4862
912828UQ1	UNITED STATES TREASURY	1	2,018,675.24	1,983,880.00	2,000,000.00	2,015,214.50	(31,334.50	)	(3,460.74	)	—	—	2.3750	2.1660	JAJO	8,494.48	9,850.54		12122014	6/30/5081
912828H37	UNITED STATES TREASURY	1	7,216,899.61	7,206,899.70	7,210,000.00	7,215,184.13	(8,284.43	)	3,789.27		—	—	3.5650	—	JAJO	29,143.68	69,698.30		12142015	9/29/5026
912828K82	UNITED STATES TREASURY	1	5,038,094.34	4,993,299.85	5,000,000.00	5,029,113.24	(35,813.39	)	(8,981.10	)	—	—	1.2500	1.2690	FA	18,885.87	6,318.68		7242012	8012017
912828R93	UNITED STATES TREASURY	1	8,985,718.26	8,943,750.00	9,000,000.00	8,987,944.56	(44,194.56	)	2,226.30		—	—	7.8750	7.6940	JD	155.39	15,166.44		11102015	12312049
912828UE8	UNITED STATES TREASURY	1	13,726,968.50	13,776,954.00	13,800,000.00	13,769,391.65	7,562.35		26,494.45		—	—	—	0.1430	MJSD	285.91	93,671.78		4/14/7956	3032021

912828A42	UNITED STATES TREASURY			1	3,964,379.70	3,935,157.10	3,895,000.00	3,942,837.85	(7,680.75	)	(11,742.17	)	—	—	—	(0.4880	)	MJSD	6,848.35	64,900.11		8022016	9/23/7408
912828TH3	UNITED STATES TREASURY			1	6,805,183.47	6,819,752.86	6,900,000.00	6,843,174.68	(23,421.82	)	19,443.37		—	—	1.0000	1.1590		DEC	25,265.62	27,802.88		12122016	12202019
912828R36	UNITED STATES TREASURY			1	2,024,843.75	1,865,160.06	2,000,000.00	2,023,874.61	(158,714.55	)	(637.57	)	—	—	2.7570	2.7520		MON	4,219.61	12,653.38		3212016	3/2/7655
912828K25	UNITED STATES TREASURY			1	1,049,263.48	1,046,755.50	1,050,000.00	1,049,525.96	(2,770.46	)	65,351.84		—	—	2.9720	1.5130		MON	1,687.50	258,773.18		3252015	8102046
912828TG5	UNITED STATES TREASURY			1	1,985.55	1,997.98	2,000.00	1,998.29	(0.31	)	12,130.20		—	—	3.5450	3.2140		MON	4.18	46,852.19		7/14/7901	3/5/7655
912828Q94	UNITED STATES TREASURY			1	1,790,632.31	1,784,128.80	1,790,000.00	1,790,428.48	(6,299.68	)	(298.99	)	—	—	2.6620	1.9760		MON	2,299.31	10,287.23		5042016	6152049
912828G79	UNITED STATES TREASURY			1	4,320,503.54	4,324,709.23	4,320,000.00	4,320,239.00	4,470.23		(355.71	)	—	—	2.0540	1.8930		MON	2,017.59	51,855.75		7122016	6152029
912828RP7	UNITED STATES TREASURY			1	3,021,810.00	3,031,769.94	3,000,000.00	3,009,941.57	21,828.37		(5,323.90	)	—	—	4.4200	3.4200		MON	8,991.70	52,500.00		3252015	9202019
912828T75	UNITED STATES TREASURY			1	6,048,876.50	6,051,754.50	6,050,000.00	6,048,881.91	2,872.59		5.41		—	—	0.9840	0.9860		MON	6,756.07	(6,403.62	)	4122013	4152020
912828SY7	UNITED STATES TREASURY			1	1,247,072.41	1,250,062.50	1,250,000.00	1,249,211.30	851.20		36,565.70		—	—	3.0000	3.0110		JAJO	686.81	138,728.65		8302016	4122027
912828R44	UNITED STATES TREASURY			1	17,091,056.07	16,936,523.83	17,100,000.00	17,093,065.50	(156,541.67	)	2,137.54		—	—	3.6810	3.6950		JAJO	19,426.45	69,436.48		3112015	1/13/5191
912828VQ0	UNITED STATES TREASURY			1	4,516,151.54	4,520,932.05	4,500,500.00	4,506,503.75	14,428.30		(11,857.07	)	—	—	4.5400	2.5230		MON	25,896.23	144,718.81		7312014	10172044
912828TJ9	UNITED STATES TREASURY			1	7,802,828.50	7,804,320.08	8,000,000.00	7,839,986.36	(35,666.28	)	28,736.80		—	—	1.8040	1.8110		MON	49,103.26	183,413.04		4252013	6152030
912828G95	UNITED STATES TREASURY			1	6,094,687.50	6,029,219.52	6,000,000.00	6,058,314.21	(29,094.69	)	(18,960.38	)	—	—	2.0300	2.0450		MON	269.34	97,500.00		7192016	4152025
912828U73	UNITED STATES TREASURY			1	24,689,052.75	24,689,114.51	24,750,000.00	24,689,787.15	(672.64	)	734.40		—	—	4.8750	4.9220		MON	15,893.72	(1,718.75	)	12182014	12152020
913017BZ1	UNITED TECHNOLOGIES CORPORATN			2FE	2,333,718.75	2,325,000.00	2,325,000.00	2,328,957.17	(3,957.17	)	(3,514.18	)	—	—	5.8920	5.8920		JD	17,224.38	57,787.46		4302009	6012019
913017BU2	UNITED TECHNOLOGIES CORPORATN			1FE	4,521,108.50	4,534,955.00	4,525,000.00	4,524,663.83	10,291.17		1,292.87		—	—	6.0000	5.1920		MON	6,787.50	139,668.00		10/29/7490	11/12/4670
913017CG2	UNITED TECHNOLOGIES CORPORATN		1	1FE	608,639.70	597,263.22	610,000.00	608,683.52	(11,420.30	)	43.82		—	—	3.0000	2.3560		MON	1,982.50	—		6282016	11/16/4670
91324PCT7	UNITEDHEALTH GROUP INCORPORATE			1FE	314,883.45	314,077.05	315,000.00	314,915.78	(838.73	)	32.33		—	—	2.6000	2.1000		JJ	2,023.00	2,528.75		11282016	2/12/5054
BRSU64W61	UNIVAR USA INC			3FE	1,787,079.33	1,802,852.74	1,792,290.77	1,788,163.56	14,689.18		835.72		—	—	7.1070	4.7500		MJSD	—	77,825.96		10152013	6302017
91412GTA3	UNIVERSITY CALIFORNIA			1FE	2,082,058.50	2,051,305.50	2,010,000.00	2,050,726.58	578.92		(16,716.38	)	—	—	5.0000	1.6210		MS	6,590.35	51,576.60		10262016	3152024
91412GUW3	UNIVERSITY CALIFORNIA			1FE	2,600,000.00	2,641,262.00	2,600,000.00	2,600,000.00	41,262.00		—		—	—	3.5000	2.6130		MON	7,853.73	61,464.00		11032015	10012045
91412GYG4	UNIVERSITY CALIFORNIA			1FE	61,558.00	58,696.00	50,000.00	61,239.86	(2,543.86	)	(318.14	)	—	—	2.3000	2.3790		JJ	319.45	145.84		6072016	2/15/5054
914353ZH3	UNIVERSITY ILL		2	1FE	5,689,300.00	5,529,250.00	5,000,000.00	5,523,786.39	5,463.61		(74,891.36	)	—	—	2.5000	2.0810		MS	62,500.00	250,000.00		7012014	9262018
914440LQ3	UNIVERSITY MASS BLDG AUTH			1FE	995,610.00	999,140.00	1,000,000.00	998,002.35	1,137.65		1,069.94		—	—	7.0000	7.0000		FA	2,221.67	13,330.00		2/12/7655	4/13/7737
914455PP9	UNIVERSITY MICH UNIV REVS			1FE	63,018.00	60,344.50	50,000.00	62,778.81	(2,434.31	)	(239.19	)	—	—	2.8840	2.6930		MON	625.00	(215.29	)	12142006	11/10/4670
914682AM1	UNIVERSITY N MEX UNIV REVS		2	1FE	1,047,841.60	1,061,351.20	1,040,000.00	1,040,000.00	21,351.20		—		—	—	3.0000	1.9950		MON	225.33	89,505.00		11062014	11152040
91514AGB5	UNIVERSITY TEX UNIV REVS REF-F			1FE	58,596.50	57,033.50	50,000.00	58,442.39	(1,408.89	)	(154.11	)	—	—	—	—		MJSD	215.29	—		0	12212021
BRSJE18C7	UNIVISION COMMUNICATIONS INC		4	4FE	6,047,219.49	6,079,270.28	6,058,441.36	6,053,090.52	26,179.76		1,686.14		—	—	5.1500	1.6730		AO	—	247,273.90		10242016	4302020
BRT3PT6R7	UPC FINANCING PARTNERSHIP		2	3FE	2,205,214.38	2,236,082.46	2,215,039.58	2,205,603.73	30,478.73		389.35		—	—	2.0000	1.3320		JJ	—	148.12		8222016	7022018
90323WAB6	URSA RE LTD	D			1,250,000.00	1,258,800.00	1,250,000.00	1,250,000.00	8,800.00		—		—	—	3.1410	2.7090		MON	5,815.15	64,358.67		12/1/4752	10012036
90323WAC4	URSA RE LTD	D			1,600,000.00	1,623,104.00	1,600,000.00	1,600,000.00	23,104.00		—		—	—	2.1250	2.1410		MN	6,794.52	96,866.47		4282015	5012020
90323WAA8	URSA RE LTD	D			1,250,000.00	1,254,425.00	1,250,000.00	1,250,000.00	4,425.00		—		—	—	—	0.1420		MJSD	4,222.69	45,802.12		9162014	9182021
90323WAD2	URSA RE LTD	D			750,000.00	751,762.50	750,000.00	750,000.00	1,762.50		—		—	—	3.4750	3.4990		MON	2,547.95	—		11202014	12152022

BRSU0Q006	US ACUTE CARE SOLUTIONS LLC				5,214,772.16	5,201,735.23	5,214,772.16	5,214,772.16	(13,036.93	)	—		—	—	1.1250	1.1400	AO	—	255,792.14		3/7/8093	4252018
91159HHH6	US BANCORP		2	1FE	1,262,787.50	1,260,125.06	1,250,000.00	1,259,055.75	1,069.31		(3,731.75	)	—	—	5.0000	4.0820	MON	5,041.67	21,006.94		4232010	9152033
91159HHM5	US BANCORP		2	1FE	599,538.00	584,507.99	600,000.00	599,565.67	(15,057.68	)	27.67		—	—	3.0000	2.3910	MON	3,306.67	9,351.67		6282016	8012043
91159HHE3	US BANCORP		2	1FE	4,993,800.00	5,024,399.56	5,000,000.00	4,997,624.24	26,775.32		1,236.13		—	—	2.6620	1.9760	MON	12,458.33	97,500.00		5042016	6152049
90331HMJ9	US BANK NA/CINCINNATI OH		2	1FE	4,000,000.00	3,996,080.00	4,000,000.00	4,000,000.00	(3,920.00	)	—		—	—	2.3000	2.1430	MS	2,562.36	34,940.00		11282016	3152019
90331HMH3	US BANK NATIONAL ASSOCIATION		2	1FE	3,997,760.00	4,001,280.00	4,000,000.00	3,999,476.35	1,803.65		751.10		—	—	6.0000	5.1970	MON	16,805.56	55,000.00		10/29/7490	7012038
90331HMQ3	US BANK NATIONAL ASSOCIATION		2	1FE	3,195,136.00	3,191,136.00	3,200,000.00	3,198,243.70	(7,107.70	)	2,910.58		—	—	4.5000	2.5840	MON	18,600.00	97,931.25		9152014	9012042
90331HMY6	US BANK NATIONAL ASSOCIATION		2	1FE	498,610.00	494,544.98	500,000.00	498,921.70	(4,376.72	)	311.70		—	—	5.0000	5.2340	MON	1,263.88	3,500.00		12142007	10/23/4670
90331HMU4	US BANK NATIONAL ASSOCIATION		2	1FE	749,355.00	749,160.00	750,000.00	749,650.65	(490.65	)	978.50		—	—	3.3240	1.9570	MON	4,591.67	28,597.22		9072016	11152047
90331HML4	US BANK NATIONAL ASSOCIATION		2	1FE	8,737,837.50	8,776,482.09	8,745,000.00	8,740,897.22	35,584.87		1,382.54		—	—	1.3040	1.3730	MON	32,520.48	185,831.28		11212013	8152022
BRT2GC4F4	USAGM HOLDCO LLC			4FE	289,581.44	292,830.17	291,011.34	289,581.44	3,248.73		3.70		—	—	5.0000	1.7380	MON	—	4,590.95		11102011	7012019
BRSUR9351	USAGM HOLDCO LLC			4FE	2,132,138.25	2,174,803.46	2,163,983.55	2,136,699.81	38,103.65		3,977.13		—	—	2.7260	2.0970	MON	—	88,079.78		3032016	5102050
BRT2GBZH8	USAGM HOLDCO LLC		2	4FE	1,450,241.96	1,474,046.43	1,464,890.87	1,451,243.37	22,803.06		1,038.12		—	—	1.4500	1.4550	MON	—	36,233.95		10192015	8162021
90327CAD2	USAOT_15-1		4	1FE	425,977.21	419,752.68	426,000.00	425,978.62	(6,225.94	)	1.41		—	—	1.3900	1.3990	MON	263.18	1,381.66		7142016	5172021
90327CAB6	USAOT_16-1		4		1,729,956.76	1,728,316.02	1,730,000.00	1,729,962.60	(1,646.58	)	5.84		—	—	5.6250	1.7160	MN	822.72	4,319.22		12082014	11302017
BRT6ZCCX6	USIC HOLDINGS INC		2	4FE	726,775.96	732,695.81	728,597.45	726,779.51	5,916.30		3.55		—	—	4.1250	1.3560	SEP	—	—		5062015	9142017
91802RAT6	UTILITY DEBT SECURITIZATION AU			1FE	1,986,780.00	1,999,680.00	2,000,000.00	1,991,093.39	8,586.61		1,886.75		—	—	5.0000	0.8190	FA	1,815.11	40,840.00		1/18/8011	8012020
BRSS0WHT7	VALEANT PHARMACEUTICALS INTERN	A	4	3FE	460,886.73	470,351.35	470,292.56	462,599.80	7,751.55		4,975.68		—	—	4.7970	4.8250	MJSD	—	98,873.73		5192015	9202023
92867PAD5	VALET_13-2		4		559,901.38	559,333.58	560,000.00	559,977.42	(643.84	)	22.92		—	—	2.6000	2.3180	MS	198.48	6,495.96		11152016	3292019
92329JAF6	VENT_12-12A	D	4	1FE	1,000,937.50	1,000,851.40	1,000,000.00	1,000,648.15	203.25		(148.61	)	—	—	6.5000	1.1450	JUN	4,190.56	41,838.58		4262016	6232017
922764AA3	VENTERRA RE LTD	D		3FE	4,500,000.00	4,498,335.00	4,500,000.00	4,500,000.00	(1,665.00	)	—		—	—	3.0000	2.1230	MON	937.50	216,549.71		9022015	7012030
92329LAN4	VENTR_12-10A	D	4		500,000.00	498,611.55	500,000.00	500,000.00	(1,388.45	)	—		—	—	3.2630	3.4100	MON	3,558.75	—		4022007	11/8/4670
92328CAN5	VENTR_12-11A	D	4	1FE	1,000,000.00	994,032.50	1,000,000.00	1,000,000.00	(5,967.50	)	—		—	—	3.5000	2.1650	MON	5,136.08	35,945.65		5092016	7202045
92329JAE9	VENTR_12-12A	D	4		1,165,800.00	1,199,863.08	1,200,000.00	1,177,202.24	22,660.84		5,078.22		—	—	1.2000	1.2340	JJ	4,292.00	42,315.77		7072016	7122019
BRSNY4KA0	VERIFONE INC			3FE	415,767.88	415,071.29	417,857.14	416,500.64	(1,429.35	)	317.48		—	—	5.0000	3.5460	MON	—	14,923.11		10212009	6012023
92343VCB8	VERIZON COMMUNICATIONS INC			2FE	1,266,167.50	1,265,662.47	1,250,000.00	1,264,524.53	1,137.94		(1,262.33	)	—	—	0.7500	0.7850	AO	1,239.58	8,726.67		4132016	4152018
92343VCH5	VERIZON COMMUNICATIONS INC			2FE	12,383,732.26	12,350,895.14	12,240,000.00	12,353,395.79	(2,500.65	)	(25,013.01	)	—	—	1.1250	0.9290	MAR	116,024.99	260,852.10		12212016	3072019
92343VDD3	VERIZON COMMUNICATIONS INC		1	2FE	398,980.00	367,944.00	400,000.00	399,018.68	(31,074.68	)	38.68		—	—	5.0000	4.5900	AO	4,375.00	—		9112013	4012028
92343VBQ6	VERIZON COMMUNICATIONS INC			2FE	2,381,719.49	2,363,356.48	2,214,000.00	2,327,678.15	35,678.33		(27,848.35	)	—	—	2.6820	2.9830	MON	29,335.50	95,861.25		10/21/4889	11/7/4670
92343VDF8	VERIZON COMMUNICATIONS INC			2FE	6,482,255.00	6,383,195.20	6,500,000.00	6,483,432.91	(100,237.71	)	1,177.91		—	—	3.5000	2.5230	MON	37,239.59	(12,833.33	)	10/18/8065	11/16/4670
92343VBJ2	VERIZON COMMUNICATIONS INC		1	2FE	710,829.00	675,171.02	700,000.00	710,484.37	(35,313.35	)	1,108.19		—	—	5.5500	2.2000	MN	2,858.34	12,454.17		12222015	5042020
92343VCN2	VERIZON COMMUNICATIONS INC		1	2FE	1,808,397.50	1,763,194.97	1,750,000.00	1,801,416.62	(38,221.65	)	(6,980.88	)	—	—	—	—	JAJO	8,750.00	26,541.67		11232014	5212019
92343VBF0	VERIZON COMMUNICATIONS INC			2FE	2,245,230.00	2,242,800.00	2,250,000.00	2,249,185.27	(6,385.27	)	970.96		—	—	2.7520	2.9820	MON	4,125.01	24,750.00		3/11/4917	10252035
92347XAA4	VERIZON OWNER TRUST VZOT_16-1A		4	1FE	1,499,747.40	1,489,560.75	1,500,000.00	1,499,785.50	(10,224.75	)	38.10		—	—	1.7080	1.6710	MS	650.83	8,875.00		8242016	3012019

BRSX3CBW6	VERTICALSCOPE INC				1,574,531.25	1,562,722.27	1,574,531.25	1,574,531.25	(11,808.98	)	—		—	—		2.5030	2.8700	AO	—	59,322.49	11152016	10212022
BRSX3CBR7	VERTICALSCOPE INC	A			5,343,750.00	5,303,671.88	5,343,750.00	5,343,750.00	(40,078.12	)	—		—	—		1.4000	1.4340	MS	—	207,900.39	9022014	9082017
92557UAN7	VIBR_15-3A	D	4		1,000,000.00	1,000,000.00	1,000,000.00	1,000,000.00	—		—		—	—		2.1000	2.1170	JD	985.22	—	12022015	12072018
92778UAQ3	VIRGINIA COMWLTH TRANSN BRD			1FE	61,664.50	59,297.00	50,000.00	61,443.40	(2,146.40	)	(221.10	)	—	—		4.0000	2.7080	MON	361.11	—	12012015	3012037
927804FM1	VIRGINIA ELECTRIC AND POWER CO		1	2FE	4,008,660.00	3,984,440.00	4,000,000.00	4,001,906.46	(17,466.46	)	(1,703.17	)	—	—		1.4000	1.4270	AO	22,133.33	48,000.00	10242016	10302019
92812QWJ2	VIRGINIA ST HSG DEV AUTH		2	1FE	3,439,440.00	3,151,470.00	3,000,000.00	3,145,339.83	6,130.17		(132,018.13	)	—	—		2.5000	2.3670	AO	31,600.00	189,600.00	3152016	4152021
BRT7CBGP4	VIRIGIN MEDIA		2	3FE	2,675,856.94	2,692,622.95	2,682,563.34	2,675,861.48	16,761.47		4.54		—	—		2.1370	1.8090	MON	—	—	9232014	3102046
92826CAA0	VISA INC			1FE	5,047,323.50	5,051,666.50	5,050,000.00	5,048,719.95	2,946.55		1,348.45		—	—		4.3750	1.1190	MS	2,861.66	61,966.67	2/1/7436	3012018
92826CAC6	VISA INC		1	1FE	2,387,060.25	2,384,191.27	2,375,000.00	2,385,520.76	(1,329.49	)	(1,549.73	)	—	—		2.3500	2.1950	AO	3,140.29	63,832.23	3042015	10302021
92826CAB8	VISA INC		1	1FE	3,402,105.75	3,405,170.15	3,405,000.00	3,402,687.17	2,482.98		1,055.24		—	—		2.1220	1.8290	MON	3,537.41	152,511.94	9112014	3102046
92857WAY6	VODAFONE GROUP PLC	D		2FE	1,442,528.77	1,442,485.36	1,447,000.00	1,446,327.31	(3,841.95	)	910.40		—	—		2.3400	2.3530	MON	4,773.09	18,087.50	9132016	4252033
92867TAD7	VOLKSWAGEN AUTO LOAN ENHANCED		4	1FE	1,059,819.80	1,047,224.72	1,060,000.00	1,059,919.18	(12,694.46	)	44.58		—	—		3.7950	1.8970	MON	450.21	14,733.96	6212016	8102046
BRSK76500	VOLKSWAGEN FIN SERV N.V.	B		1FE	908,378.81	745,420.86	600,000.00	905,292.83	3,605.79		(719.26	)	—	(163,477.76	)	2.8750	2.0760	JJ	4,689.10	15,676.85	6232016	7172018
928670AK4	VOLKSWAGEN INTERNATIONAL FINAN	D		2FE	255,160.00	250,326.75	250,000.00	250,672.42	(345.67	)	(3,030.90	)	—	—		3.5000	2.8440	MON	1,632.81	5,937.50	11182016	7012046
91830XAE2	VOYA_12-3AR	D	4		4,000,000.00	3,999,865.20	4,000,000.00	4,000,000.00	(134.80	)	—		—	—		1.5600	1.5600	JD	32,342.22	143,644.14	9292015	6152017
92915HAE3	VOYA_16-3A	D	4		1,500,000.00	1,480,009.05	1,500,000.00	1,500,000.00	(19,990.95	)	—		—	—		6.0000	5.2460	MON	8,862.95	—	10/29/7490	11/12/4670
928667AD6	VWMT_14-1A		4	1FE	3,819,901.45	3,817,364.20	3,820,000.00	3,819,980.45	(2,616.25	)	34.01		—	—		2.4500	2.5060	JD	1,634.11	53,480.04	5132016	6012018
931266AA8	WABR_16-BOCA		4		100,000.00	100,359.20	100,000.00	100,000.00	359.20		—		—	—		2.3000	2.3060	MS	96.99	777.54	9092013	9152018
931427AN8	WALGREENS BOOTS ALLIANCE INC		1	2FE	3,118,252.80	3,096,880.89	3,120,000.00	3,118,445.92	(21,565.03	)	154.25		—	—		0.8750	0.8390	FA	6,760.00	60,093.22	9272013	12/12/8147
931427AM0	WALGREENS BOOTS ALLIANCE INC			2FE	294,890.85	295,271.40	295,000.00	294,922.43	348.97		152.16		—	—		4.0000	2.8200	MON	444.55	14,323.99	6272014	11/17/4670
931427AQ1	WALGREENS BOOTS ALLIANCE INC		1	2FE	214,458.20	211,076.25	215,000.00	214,485.04	(3,408.79	)	26.84		—	—		—	0.1450	MJSD	618.13	3,708.75	3302016	6012022
932117KA1	WALL TWP N J SCH DIST			1FE	391,778.40	390,054.60	390,000.00	390,351.12	(296.52	)	(643.16	)	—	—		5.6250	0.8910	MS	3,805.27	8,252.40	12212016	9092019
25468PCW4	WALT DISNEY COMPANY (THE)			1FE	755,389.44	765,120.48	776,000.00	759,079.01	6,041.47		2,601.49		—	—		3.7500	0.5360	MS	1,519.66	18,236.00	12232016	9072021
25468PDE3	WALT DISNEY COMPANY (THE)			1FE	4,032,960.00	4,009,840.08	4,000,000.00	4,025,050.24	(15,210.16	)	(6,449.98	)	—	—		5.2500	5.0000	MN	24,844.44	86,000.00	4102008	11012025
25468PDL7	WALT DISNEY COMPANY (THE)			1FE	1,868,700.00	1,837,443.79	1,875,000.00	1,869,675.09	(32,231.30	)	975.09		—	—		2.3000	1.8020	AO	7,701.82	—	11262014	10152018
25468PDJ2	WALT DISNEY COMPANY (THE)			1FE	409,602.30	411,303.80	410,000.00	409,680.21	1,623.59		77.91		—	—		1.0000	1.0130	MN	3,641.03	5,605.61	4252013	5012018
25468PDD5	WALT DISNEY COMPANY (THE)			1FE	519,558.00	520,483.65	520,000.00	519,746.07	737.58		145.98		—	—		2.5000	2.5010	AO	2,253.33	7,800.00	4042016	4152026
25468PDF0	WALT DISNEY COMPANY (THE)			1FE	648,453.00	658,761.94	650,000.00	648,626.77	10,135.17		135.15		—	—		1.6500	1.6510	MN	5,915.00	20,475.00	5092016	5132019
25468PCV6	WALT DISNEY COMPANY (THE)			1FE	2,258,824.75	2,272,884.25	2,275,000.00	2,271,967.22	917.03		4,354.33		—	—		3.0000	3.0110	JAJO	2,085.42	34,037.36	7082016	4122027
9292274U7	WAMU_03-S4		4	1FM	378,036.15	376,842.27	372,699.09	377,777.96	(935.69	)	(1,048.28	)	—	—		5.3750	2.4890	FA	1,708.20	22,248.00	3102016	2/17/7655
92922F3N6	WAMU_05-A12		4		1,388,273.33	1,362,229.65	1,402,517.67	1,389,700.01	(27,470.36	)	3,319.32		—	—		—	0.2500	MJSD	3,216.22	39,817.88	12302016	12182020
93730PAG1	WASHINGTON BIOMEDICAL RESEARCH			1FE	1,281,226.50	1,234,571.00	1,150,000.00	1,220,847.05	13,723.95		(27,209.79	)	—	—		—	0.1440	MJSD	28,065.75	56,131.50	10092015	8312022
939720LK2	WASHINGTON STATE			1FE	2,685,609.00	2,684,421.00	2,700,000.00	2,693,119.73	(8,698.73	)	4,511.88		—	—		2.8500	2.5520	MN	15,525.00	31,050.00	9162015	5062021
93974CQX1	WASHINGTON STATE			1FE	4,875,697.20	4,682,601.60	4,440,000.00	4,699,194.44	(16,592.84	)	(97,305.54	)	—	—		5.3500	1.9500	MS	74,351.50	178,443.60	12152015	3012018

939720LL0	WASHINGTON STATE			1FE	587,188.80	599,252.50	605,000.00	595,413.62	3,838.88		3,696.29		—	—		—	—		FMAN	4,386.25	8,772.50		8192016	12/4/7928
94974BGH7	WELLS FARGO & COMPANY			1FE	479,110.00	481,220.02	500,000.00	481,955.86	(735.84	)	1,881.30		—	—		0.8750	0.7050		MN	5,500.00	27,750.00		10012015	11152017
949746SH5	WELLS FARGO & COMPANY			1FE	592,062.00	570,558.01	600,000.00	592,152.69	(21,594.68	)	90.69		—	—		2.0000	1.9240		MON	3,300.00	(1,000.00	)	3182009	11202034
94974BGM6	WELLS FARGO & COMPANY			1FE	1,099,384.00	1,105,709.06	1,100,000.00	1,099,553.68	6,155.38		118.25		—	—		0.9820	0.9740		MON	12,631.66	28,600.00		8/15/7764	6/19/4862
949746RG8	WELLS FARGO & COMPANY		2	2FE	3,543,750.00	3,517,500.00	3,500,000.00	3,543,750.00	(26,250.00	)	—		—	—		1.5000	1.5040		MN	9,177.78	185,260.00		5132015	5152018
949746SA0	WELLS FARGO & COMPANY			1FE	7,399,168.35	7,285,375.05	7,485,000.00	7,399,851.59	(114,476.54	)	683.24		—	—		2.1000	2.1080		JJ	68,113.50	(32,587.92	)	6282016	7152021
BRT3H84K9	WELLS FARGO & COMPANY			1FE	295,778.54	272,425.58	225,000.00	295,763.07	(5,915.54	)	(6.49	)	—	(17,421.96	)	3.5630	3.5630		FA	2,422.12	861.43		6212016	8012036
949746PM7	WELLS FARGO & COMPANY		2	2FE	7,924,225.00	7,576,250.00	7,250,000.00	7,521,151.31	55,098.69		(199,468.66	)	—	—		3.2000	3.2450		FA	170,350.83	501,797.92		11302016	9/27/7408
94974BGB0	WELLS FARGO & COMPANY			1FE	1,498,515.00	1,498,830.00	1,500,000.00	1,499,656.48	(826.48	)	498.59		—	—		1.7000	1.7280		AO	6,591.66	21,000.00		10032016	10062021
94974BFG0	WELLS FARGO & COMPANY			1FE	498,860.00	499,305.00	500,000.00	499,696.80	(391.80	)	286.78		—	—		1.9500	1.9870		JJ	3,437.50	7,500.00		2/16/5273	10/18/5464
949746RN3	WELLS FARGO & COMPANY		2	2FE	1,330,000.00	1,383,200.00	1,330,000.00	1,330,000.00	53,200.00		—		—	—		1.6760	1.6760		MN	3,472.78	101,369.86		4282016	5032019
94974BFU9	WELLS FARGO & COMPANY			1FE	3,093,428.00	3,109,950.76	3,100,000.00	3,096,883.00	13,067.76		1,306.56		—	—		1.7500	1.2180		JUL	12,626.04	65,875.02		9262016	7052021
94988J5G8	WELLS FARGO BANK NA			1FE	10,984,820.00	11,006,379.90	11,000,000.00	10,985,144.18	21,235.72		324.18		—	—		3.1540	3.5340		MON	15,766.66	—		6182007	11/8/4670
94988J5E3	WELLS FARGO BANK NA			1FE	4,000,000.00	4,005,479.72	4,000,000.00	4,000,000.00	5,479.72		—		—	—		2.8750	2.8990		JD	6,290.45	26,587.48		11142014	12012019
94988J5A1	WELLS FARGO BANK NA			1FE	1,949,434.50	1,950,195.00	1,950,000.00	1,949,694.60	500.40		260.10		—	—		2.4530	2.6730		MJSD	14,210.63	15,461.88		2/19/5273	3122026
94989EAB3	WELLS_15-LC20		4	1FM	875,480.45	863,043.08	850,000.00	866,403.02	(3,359.94	)	(5,904.37	)	—	—		5.5000	7.2610		MON	1,896.92	22,763.04		12172007	11252035
95058XAB4	WENDYS FUNDING LLC WEN_15-1A		4		2,468,750.00	2,439,070.69	2,468,750.00	2,468,750.00	(29,679.31	)	—		—	—		5.7930	(0.0690	)	MON	4,476.67	101,362.50		9/11/4807	8152045
BRT1KDPP4	WEST STAR AVIATION INC				2,926,801.11	2,912,167.10	2,926,801.11	2,926,801.11	(14,634.01	)	—		—	—		4.0050	4.0250		JAJO	—	130,737.80		4122016	4122027
BRSLBEQ11	WESTERN REFINING INC		4	4FE	1,874,325.64	1,877,454.04	1,869,275.96	1,872,931.72	4,522.32		(949.89	)	—	—		1.8000	1.8150		JJ	—	101,803.01		11252014	11/27/5327
960895VY3	WESTMORELAND CNTY PA			1FE	244,617.80	244,892.20	245,000.00	244,888.29	3.91		120.47		—	—		3.5000	2.3460		MON	294.41	3,532.90		10132016	4012046
960895VZ0	WESTMORELAND CNTY PA			1FE	575,742.80	580,655.40	580,000.00	578,007.38	2,648.02		1,014.03		—	—		10.9700	—		MJSD	793.63	9,523.60		5212015	6062019
961214CT8	WESTPAC BANKING CORP	D		1FE	1,164,965.05	1,153,582.97	1,165,000.00	1,164,972.32	(11,389.35	)	7.27		—	—		3.5000	3.0420		MON	2,563.00	9,611.25		8132014	8012044
961214CY7	WESTPAC BANKING CORP	D		1FE	3,968,240.00	3,950,480.04	4,000,000.00	3,969,603.74	(19,123.70	)	1,363.74		—	—		—	—		MJSD	23,466.67	(15,822.22	)	7142016	7202022
961214CH4	WESTPAC BANKING CORP	D		1FE	719,244.00	720,208.87	720,000.00	719,902.25	306.62		427.43		—	—		2.1000	2.1070		AO	1,008.00	15,810.00		10062015	10142020
961214CZ4	WESTPAC BANKING CORP	D		1FE	5,000,000.00	4,999,399.95	5,000,000.00	5,000,000.00	(600.05	)	—		—	—		—	7.5720		JAJO	8,173.44	17,902.82		7/14/7901	10/24/8065
38174TAA4	WESTW_07-2A	D	4		997,500.00	996,192.40	1,000,000.00	997,530.19	(1,337.79	)	30.19		—	—		2.6570	1.6960		MON	3,768.02	—		9072016	5152046
94988HAD3	WFCM_12-LC5		4		2,286,210.94	2,271,735.07	2,250,000.00	2,275,495.50	(3,760.43	)	(8,462.07	)	—	—		1.6900	1.6810		FA	4,740.00	56,880.00		11072016	9/21/7408
94988XAV8	WFCM_14-LC16		4		5,758,345.31	5,633,842.09	5,430,000.00	5,723,817.57	(89,975.48	)	(34,527.74	)	—	—		—	0.1210		MJSD	15,733.44	96,498.44		7072016	10012021
94989DAW9	WFCM_15-C27		4	1FE	3,089,817.01	3,056,279.97	3,000,000.00	3,074,294.23	(18,014.26	)	(8,673.39	)	—	—		—	0.1440		MJSD	8,627.51	103,530.12		3132014	3122021
94989NBE6	WFCM_15-C30		4	1FM	1,210,178.33	1,215,412.37	1,175,000.00	1,205,586.12	9,826.25		(3,322.39	)	—	—		2.0000	1.3660		MN	3,587.67	43,052.04		8242016	11032020
94989HAF7	WFCM_15-NXS1		4		1,023,593.75	1,014,160.00	1,000,000.00	1,016,298.64	(2,138.64	)	(17,317.95	)	—	—		4.5000	2.2100		MON	2,193.33	76,474.22		5092016	4012044
94989VAD1	WFCM_15-NXS3		4		2,879,502.70	2,887,510.45	2,803,000.00	2,871,184.99	16,325.46		(7,318.43	)	—	—		5.0000	4.2120		JJ	8,448.71	101,384.52		9132013	7012028
94989VAB5	WFCM_15-NXS3		4		1,029,972.00	1,018,830.03	1,000,000.00	1,021,620.89	(2,790.86	)	(6,935.63	)	—	—		—	(0.0920	)	MJSD	2,373.33	28,479.96		8012016	12152022
94989YBB8	WFCMT_16-C32		4		1,287,447.50	1,289,987.50	1,250,000.00	1,284,520.93	5,466.57		(2,926.57	)	—	—		4.0000	0.7870		JAN	4,116.67	38,833.92		12212016	4/3/5136

94982BAG5	WFMBS		4		235,285.63	244,741.40	239,362.26	236,156.21	8,585.19		1,165.19		—	—	2.4500	2.4700	JJ	613.47	8,078.02		9292015	7292020
949781AA6	WFMBS		4	NR*	946,257.41	981,919.63	969,384.42	949,835.71	32,083.92		6,039.03		—	—	3.0000	3.0160	AO	2,267.49	31,100.84		3292016	4152021
94981NAH8	WFMBS_05-AR4		4	NR*	624,011.35	641,138.79	642,043.75	628,191.59	12,947.20		4,577.49		—	—	2.1010	3.1240	MON	1,641.05	21,971.34		3092010	4252044
981464DG2	WFNMT_12-C		4	1FE	1,399,466.46	1,412,732.58	1,400,000.00	1,399,838.47	12,894.11		86.66		—	—	1.1250	1.2120	FA	1,387.56	31,219.92		8242016	8282019
981464EN6	WFNMT_14-C		4		719,834.40	721,022.39	720,000.00	719,932.14	1,090.25		45.81		—	—	2.0500	2.0140	JD	492.80	11,088.00		4252016	12072018
92937EAB0	WF-RBS COMMERCIAL MORTGAGE TRU		4		929,446.40	927,004.78	923,100.09	925,247.69	1,757.09		(3,364.63	)	—	—	2.5000	2.2120	MON	1,560.81	34,344.52		12102015	12012030
92936JBB9	WF-RBS COMMERCIAL MORTGAGE TRU		4	1FE	12,262,155.48	11,881,615.07	11,267,000.00	12,194,153.35	(312,538.28	)	(68,002.13	)	—	—	1.6000	1.6030	FA	34,430.07	99,654.91		8042016	8152019
92930RAB8	WFRBS_12-C9		4		1,436,021.48	1,428,092.29	1,425,000.00	1,425,914.02	2,178.27		(5,089.69	)	—	—	5.0000	3.4160	MON	2,171.94	26,063.28		9292009	3152024
92938EAF0	WFRBS_13-C16		4		6,303,750.00	6,146,630.40	6,000,000.00	6,111,457.00	35,173.40		(85,907.74	)	—	—	8.0000	1.6510	DEC	16,115.00	193,380.00		10302015	12202017
92939FAR0	WFRBS_14-C21		4	1FM	1,043,750.00	1,021,941.50	1,000,000.00	1,025,236.29	(3,294.79	)	(12,401.12	)	—	—	—	0.3100	MJSD	2,430.83	29,169.96		10162015	4012022
92939KAF5	WFRBS_14-C24		4		4,218,135.54	4,048,957.77	3,935,000.00	4,203,426.11	(154,468.34	)	(14,709.43	)	—	—	2.5500	2.6020	MS	10,899.95	28,703.20		9162015	9012020
92939LAB2	WFRBS_14-C25		4		5,664,840.50	5,624,837.35	5,500,000.00	5,596,908.65	27,928.70		(33,213.61	)	—	—	2.3540	2.3620	MON	13,438.33	161,259.96		10152016	1/23/7792
9698714J8	WILLIAMSON CNTY TENN			1FE	418,676.00	407,768.00	400,000.00	406,765.42	1,002.58		(5,338.88	)	—	—	4.4460	4.9680	JAJO	2,950.00	11,800.00		5/31/5437	1/13/5191
97652QAC3	WIN_14-2		4		1,509,530.62	1,501,038.52	1,489,056.09	1,500,970.96	67.56		(16,136.36	)	—	—	2.3500	2.4320	MS	4,343.08	72,701.90		5272015	3262020
BRSZFPNX4	Window	C			5,552,316.36	5,524,554.78	5,552,316.36	5,552,316.36	(27,761.58	)	—		—	—	5.5000	6.2180	MON	—	298,219.50		7252008	6012038
BRSZFPAC4	Window	C			339,504.72	337,807.18	339,504.72	339,504.72	(1,697.54	)	—		—	—	1.3600	1.2180	MON	—	11,572.02		8102016	8172020
88433BAJ6	WINDR_16-2A	D	4		2,408,350.00	2,376,512.99	2,450,000.00	2,409,167.84	(32,654.85	)	817.84		—	—	1.7580	1.7580	JD	13,825.92	—		9292015	12152018
BRT7UXAK3	WIREPATH HOME SYSTEMS LLC				6,585,365.85	6,535,975.61	6,585,365.85	6,585,365.85	(49,390.24	)	—		—	—	1.6500	1.6790	MS	—	—		1/17/8011	3022018
BRT7UXB22	WIREPATH HOME SYSTEMS LLC				914,634.15	900,274.39	914,634.15	914,634.15	(14,359.76	)	—		—	—	—	—	MJSD	—	—		0	12302049
976656CF3	WISCONSIN ELECTRIC POWER COMPA		1	1FE	2,500,000.00	2,505,300.15	2,500,000.00	2,500,000.00	5,300.15		—		—	—	3.8800	3.8640	JAJO	1,888.89	42,500.00		3252015	4152024
976826BG1	WISCONSIN POWER AND LIGHT COMP			1FE	560,420.00	533,600.05	500,000.00	532,840.85	759.20		(12,421.59	)	—	—	—	0.0710	MJSD	11,527.78	25,000.00		11262014	12092021
97705MDE2	WISCONSIN ST		2	1FE	981,031.80	943,517.35	815,000.00	968,059.68	(24,542.33	)	(12,972.12	)	—	—	1.1600	1.1670	MON	6,791.67	25,468.75		11062013	3202020
982526AT2	WM WRIGLEY JR CO			2FE	252,277.50	251,249.00	250,000.00	250,815.95	433.05		(1,007.92	)	—	—	3.0000	2.8470	MON	986.11	5,000.00		3062015	9012043
982526AU9	WM WRIGLEY JR CO		1	2FE	8,396,608.00	8,349,972.01	8,275,000.00	8,336,819.04	13,152.97		(32,842.15	)	—	—	2.5000	2.6540	MN	38,616.67	198,600.00		11232016	11222021
93934FEN8	WMALT_05-5		4	5FE	1,619,795.88	1,621,121.43	1,767,853.64	1,640,329.89	(19,208.46	)	(40,055.17	)	—	—	1.2660	1.2680	FMAN	8,102.66	111,492.50		10072014	11042019
BRSJ883L4	WMG ACQUISITION CORP		4	4FE	2,259,917.85	2,265,567.64	2,259,917.85	2,259,917.85	5,649.79		—		—	—	—	0.5540	MJSD	—	103,116.25		7072016	3272020
98161PAB9	WOART_16-B		4	1FE	2,544,758.23	2,539,314.22	2,545,000.00	2,544,813.84	(5,499.62	)	55.61		—	—	3.3900	3.7670	MJSD	1,244.23	7,076.52		3022015	3132020
66859JAE1	WOODS_12-9A	D	4		500,937.50	500,635.95	500,000.00	500,887.48	(251.53	)	(50.02	)	—	—	—	0.7300	MJSD	3,262.16	(40.68	)	12142016	11/22/7709
66859TAC3	WOODS_14-14A	D	4	1FE	2,942,475.00	3,037,773.90	3,000,000.00	2,957,399.11	80,374.79		7,526.70		—	—	2.4100	2.4270	MON	13,448.24	94,036.14		9122014	7152022
981464FJ4	WORLD FINANCIAL NETWORK CREDIT		4	1FE	1,249,630.13	1,224,275.01	1,250,000.00	1,249,662.14	(25,387.13	)	32.01		—	—	3.5000	2.8350	MON	1,127.78	9,727.07		10072014	9252044
981464FU9	WORLD FINANCIAL NETWORK CREDIT		4		499,945.15	495,789.99	500,000.00	499,948.19	(4,158.20	)	3.04		—	—	1.5900	1.5970	MON	382.22	1,003.33		3062015	3/1/7874
BRSVTZSZ6	WORLDWIDE EXPRESS OPERATIONS L				2,373,517.56	2,349,782.37	2,373,517.56	2,373,517.56	(23,735.19	)	—		—	—	3.0000	3.0780	AO	—	149,886.29		4042016	4152023
BRSVTZPY2	WORLDWIDE EXPRESS OPERATIONS L				237,903.27	235,524.24	237,903.27	237,903.27	(2,379.03	)	—		—	—	6.8750	2.2550	MAY	—	4,627.24		12212016	5292023
BRSVTZRG9	WORLDWIDE EXPRESS OPERATIONS L				4,723,981.65	4,676,741.83	4,723,981.65	4,723,981.65	(47,239.82	)	—		—	—	2.1500	1.8120	JJ	—	231,010.74		12152016	7152021

BRSP8QSG4	WSCFP_14	B	4		1,785,379.50	1,364,679.35	1,110,000.00	1,785,379.50	(6,892.15	)	—		—	(413,808.00	)	5.4200	(0.5080	)	MON	2,760.18	22,727.40	4082014	3/14/5054
95168QAG5	WSTC_13-1A	D	4	1FE	479,500.00	494,607.45	500,000.00	485,306.19	9,301.26		2,777.25		—	—		1.0000	1.3260		MN	2,888.22	17,673.59	12292016	11152019
983919AG6	XILINX INC.			1FE	1,989,540.00	1,997,500.00	2,000,000.00	1,995,260.33	2,239.67		2,081.34		—	—		6.5000	5.4800		MON	12,513.89	42,500.00	11/17/5327	11012037
98420EAC9	XLIT LTD	D		2FE	512,678.65	497,682.56	505,000.00	510,147.30	(12,464.74	)	(1,523.70	)	—	—		2.2000	2.2350		JJ	5,680.54	22,472.50	7182016	7212021
98417EAU4	XSTRATA FINANCE (CANADA) LTD	A		2FE	2,231,245.20	2,248,968.75	2,235,000.00	2,234,354.69	14,614.06		781.16		—	—		1.3750	1.0770		MN	11,063.25	60,345.00	6162016	5312021
G9853MHT3	YORKSHIRE BUILDING SOCIETY			1FE	2,192,629.59	1,820,116.15	1,400,000.00	2,115,881.84	18,181.09		(43,350.75	)	—	(313,946.77	)	2.1250	1.5010		MON	59,433.08	74,525.29	3022011	4202034
98954RAC4	ZIGG_14-1A	D	4	1FE	2,899,800.00	3,000,000.00	3,000,000.00	2,927,271.23	72,728.77		13,295.90		—	—		2.0000	1.2410		FA	18,873.33	80,713.20	9192016	8312021
BRSM4TPX5	ZIGGO BV	D	4	3FE	2,218,723.41	2,224,667.37	2,218,723.41	2,218,723.41	5,943.96		—		—	—		2.1000	2.1400		MN	—	93,839.78	5122014	5152019
BRSM4TRW5	ZIGGO BV	D	4	3FE	1,314,893.62	1,318,416.22	1,314,893.62	1,314,893.62	3,522.60		—		—	—		5.9500	1.8640		JJ	—	60,645.23	12112014	2/11/5054
BRSM4TSP9	ZIGGO BV	D	4	3FE	408,573.95	409,668.52	408,573.95	408,573.95	1,094.57		—		—	—		5.7700	5.2960		MON	—	99,603.27	3062015	8202042
98956PAF9	ZIMMER HOLDINGS INC		1	2FE	2,045,182.50	1,998,750.00	2,050,000.00	2,045,939.24	(47,189.24	)	417.08		—	—		—	0.2720		MJSD	18,193.75	72,775.00	4132015	12202018
98956PAE2	ZIMMER HOLDINGS INC			2FE	1,469,000.40	1,471,719.75	1,470,000.00	1,469,583.96	2,135.79		326.70		—	—		0.7380	0.7390		MON	7,350.00	29,400.00	11/28/7928	6252022
						5,543,030,290.35		5,584,599,083.70	(25,746,502.53)					(15,822,290.72)

Validus Holdings, Ltd. December 31, 2016 GAAP short-term investments portfolio in Schedule D format
							CHANGE IN BOOK/ADJUSTED CARRYING VALUE									INTEREST
1	2	3	4	5	6	7	8		9		10	11		12	13	14	15	16	17	18	19		20
			DATE			GAAP			CURRENT YEAR			TOTAL FX CHG		PAR	ACTUAL	ACCRUED	NON-ADMITTED ACCRUED	INTEREST	EFFECTIVE RATE	HOW	GROSS REC'D		PAID FOR
DESCRIPTION	*	CUSIP	ACQUIRED	NAME OF VENDOR	MATURITY DATE	BOOK VALUE	UGL		AMORTIZATION		IMPAIRMENTS	IN B/A. C.V.		VALUE	COST	INTEREST	INTEREST	RATE	OF INTEREST	PAID	DURING YEAR		ACCRUED INT
ANHEUSER-BUSCH INBEV NV		B6399CCD7	20160726		20170623	728,161.85	(720.31	)	(17,592.05	)	—	(42,661.72	)	540,000.00	745,753.90	22,814.50	—	6.5000	0.6894	June	(4,417.72	)	—
AT&T INC		00206RCV2	20160321		3152017	3,011,377.37	(3,958.37	)	(45,929.41	)	—	—		3,000,000.00	3,055,408.66	21,200.00	0	2.4000	0.5145	Mar-Sep	39,400.00		0
AT&T INC		00206RAT9	20160726		20170428	667,013.58	(77.67	)	(14,409.88	)	—	(39,079.16	)	500,000.00	681,423.46	24,662.21	—	5.8750	0.7316	April	(9,612.63	)	9,612.63
Barclays TERM DEPOSIT		BRS000000	20160825		20170825	5,058,118.52	—		—		—	—		5,058,118.52	5,058,118.52	—	—	—	—	At Mat	—		—
BG ENERGY CAPITAL PLC		G1163HET9	20161221		20171207	516,186.27	(1,005.14	)	(561.87	)	—	(730.02	)	400,000.00	516,748.14	1,734.99	—	5.1250	0.4981	December	(1,111.96	)	—
BNY MELLON USD LIQ INVESTOR 97		DRFUNI$20	20150615		3152017	64,217,194.79	—		—		—	—		64,217,194.79	64,217,194.79	—	—	—	—	At Mat	89,641.31		—
BNY MELLON USD LIQ INVESTOR 97		DRFUNI$20	20150615		3152017	2,603,778,896.60	—		—		—	—		2,603,778,896.60	2,603,778,896.60	—	—	—	—	At Mat	—		—
BONY CASH RESERVE		S875996$0	20150630		5152016	9,991,003.79	—		—		—	—		9,991,003.79	9,991,003.79	—	—	0.0001	0.0100	At Mat	646.76		—
BRITISH TELECOMMUNICATIONS PLC		G1582KAR3	20160726		20170623	937,178.17	(1,106.51	)	(18,274.57	)	—	(48,021.05	)	700,000.00	955,452.74	30,143.09	—	6.6250	0.6959	June	(11,189.22	)	—
BSKYB FINANCE UK PLC		G1658KAC5	20161221		20171020	515,083.53	(925.54	)	(620.24	)	—	(728.46	)	400,000.00	515,703.77	5,683.99	—	5.7500	0.6349	October	(4,990.29	)	—
CDN S/T INVT BLENDED ACCT		993252329	20151231		0	3,329,080.83	—		—		—	—		3,329,080.83	3,329,080.83	—	—	0.0006	0.0590	At Mat	19,364.08		—
CITI-INSTITUTION LIQ FUND USD		B0A0ATCJ9	20150605		0	6,334,167.57	—		—		—	—		6,334,167.57	6,334,167.57	—	—	0.0006	0.0600	At Mat	37,807.23		—
COCA-COLA COMPANY (THE)		19121AWD9	20160928		20170913	3,524,812.93	—		9,228.19		—	—		3,550,000.00	3,515,584.74	—	—	—	1.0213	At Mat	—		—
DAIMLER AG		D1668RML8	20161221		20171108	624,833.25	(799.66	)	(177.49	)	—	(883.68	)	500,000.00	625,010.74	1,599.57	—	1.7500	0.5794	November	(1,334.87	)	—
DBS TERM DEPOSIT		BRS000000	20160708		20170710	2,763,767.01	—		—		—			2,763,767.01	2,763,767.01	—	—	—	—	At Mat	—		—
DREYFUS UNIVERSAL USD LIQ CLAS		BRS781392	20150930		4152016	1,469,432.49	—		—		—	—		1,469,432.49	1,469,432.49	—	—	—	—	At Mat	5,711.33		—
FCE BANK PLC		G3401LAB1	20161221		20170215	684,199.70	(611.52	)	(725.95	)	—	(967.63	)	550,000.00	684,925.65	28,759.37	—	4.8250	0.4651	February	(27,992.62	)	—
GOLDMAN SACHS USD LIQ RESERVE		BRS2F25Z3	20150525		12302016	10,567,124.63	—		—		—	—		10,567,124.63	10,567,124.63	—	—	—	—	At Mat	26,027.65		—
ICS INS GBP LIQ CORE DIST		BRS263RF1	20151223		0	15,642,493.91	—		0.01		—	(18,992.79	)	12,643,953.48	15,642,493.91	—	—	0.0002	0.0200	At Mat	32,542.89		—
Institutional Cash Series PLC - US Treasury Fund		H047783	20160321		0	39,249,905.35	—		—		—	—		39,249,905.58	39,249,905.58	—	—	—	—	At Mat	—		—
JPMORGAN CHASE & CO		U4806JAC7	20160711		20170125	455,657.27	(72.99	)	(7,221.90	)	—	(22,221.62	)	350,000.00	462,879.17	7,991.43	—	4.2500	0.8387	Jan-Jul	637.00		—
MIZUHO BANK LTD (NEW YORK BRAN		60689DM67	20161003		20171003	500,000.00	—		—		—	—		500,000.00	500,000.00	—	—	—	—	At Mat	—		—
ORANGE SA		F4113NCA5	20161221		20171220	928,430.35	(2,094.39	)	(1,587.12	)	—	(1,313.04	)	700,000.00	930,017.47	2,274.96	—	8.0000	0.5295	December	(569.54	)	—
RCI BANQUE SA		F7S02WAB2	20161221		20171006	325,058.50	(324.85	)	(107.95	)	—	(459.72	)	260,000.00	325,166.45	1,627.25	—	2.1250	0.7527	October	(1,460.97	)	—
SUMITOMO MITSUI TRUST BANK LTD		86564EHS8	20160927		9272017	2,400,000.00	—		—		—	—		2,400,000.00	2,400,000.00	102.51	—	—	1.5377	M-J-S-D	—		—
THE DREYFUS FUND INC		BRS7BB2L0	20150427		0	12,881,627.82	—		—		—	—		12,881,627.82	12,881,627.82	—	—	—	—	At Mat	12,160.92		—
TORONTO DOMINION HOLDINGS USA		89116EU35	20160929		20170703	2,335,051.19	—		7,572.02		—	—		2,350,000.00	2,327,479.17	—	—	—	1.2769	At Mat	—		—
UNITED STATES TREASURY		912828K41	20161014		20170430	750,158.60	73.90		(121.06	)	—	—		750,000.00	750,259.54	713.11	—	0.6298	0.5657	J-A-J-O	964.07		1,683.98
WESTERN AST INS CSH RES		52470G783	20150605		4152016	2,171,842.49	—		—		—	—		2,171,842.49	2,171,842.49	—	—	—	—	At Mat	—		—
						2,796,357,858.36	(11,623.05	)	(90,529.27	)		(176,058.89	)		2,796,446,469.63	149,306.98

Validus Holdings, Ltd. December 31, 2016 GAAP other investments portfolio in Schedule D format
1	2	3	4	5	6	7	8		9	10	11		12	13	14
		FOREIGN	DATE	ACTUAL	GAAP FAIR	GAAP					CAP		FX	INVESTMENT	ADDITIONAL
DESCRIPTION	*	CODE	ACQUIRED	COST	MARKET VALUE	BOOK VALUE	UGL		AMORTIZATION	IMPAIRMENTS	INTEREST		UGL	INCOME	INCOME
AIG SELECT HEDGE LTD			20090904	1,456,936.76	954,772.49	1,456,936.76	(502,164.27	)	—	—	—		—	—	—
AIG SELECT HEDGE LTD			20090904	17.30	17.36	17.30	0.06		—	—	—		—	—	—
GOLDENTREE DISTRESSED DEBT FUN			20121130	11,291,828.76	17,380,833.15	11,291,828.76	6,089,004.39		—	—	—		—	—	—
PORT ADVISORS PRIVATE EQUITY I			20121130	332,815.35	3,306,666.13	332,815.35	2,973,850.78		—	—	—		—	—	—
LEAPFROG INVESTMENTS FINANCIAL			20121130	1,926,287.78	3,711,955.02	1,926,287.78	1,785,667.24		—	—	—		—	—	—
SVG DIAMOND HOLDINGS II LTD			20121130	1,350,358.61	6,048,340.74	1,350,358.61	4,953,237.91		—	—	(255,255.77	)	—	—	—
GUGGENHEIM PARTNERS FUND LTD			20140601	121,248,125.72	121,248,125.00	121,248,125.72	(0.72	)	—	—	—		—	—	—
CONNING CAPITAL PARTNERS VI			20140930	614,280.14	246,108.00	614,280.14	(368,172.14	)	—	—	—		—	—	—
CENTURY CAPITAL PARTNERS IV LP			20140930	1,706,761.74	1,477,225.00	1,706,761.74	(229,536.74	)	—	—	—		—	—	—
CENTURY FOCUSED FUND III LP			20140930	10,259,349.43	12,574,683.00	10,259,349.43	2,315,333.57		—	—	—		—	—	—
HIGHBRIDGE MEZZANINE PARTNERS			20140930	6,430,959.97	7,182,037.00	6,430,959.97	751,077.03		—	—	—		—	—	—
PRUDENTIAL CAPITAL PARTNERS IV			20140930	7,682,965.60	7,931,973.99	7,682,965.60	249,008.39		—	—	—		—	—	—
VINTAGE VI LP			20140930	5,619,475.02	6,029,235.01	5,619,475.02	409,759.99		—	—	—		—	—	—
GUGGENHEIM PARTNERS FUND LTD			20150101	34,636,840.31	34,636,840.31	34,636,840.31	—		—	—	—		—	—	—
GUGGENHEIM PARTNERS FUND LTD			20150101	19,627,542.85	19,627,542.85	19,627,542.85	—		—	—	—		—	—	—
GUGGENHEIM PARTNERS FUND LTD			20150101	9,236,490.76	9,236,490.76	9,236,490.76	—		—	—	—		—	—	—
GUGGENHEIM PARTNERS FUND LTD (PDFNI_16-INT)			20160412	12,167,975.18	12,167,975.18	12,167,975.18	—		—	—	—		—	—	—
BRIDGE GROWTH PARTNERS (PARALLEL), LP			20140715	26,294,265.00	31,570,769.00	26,294,265.00	5,276,504.00		—	—	—		—	—	—
CRESCENT MEZZANINE LLC			20160122	2,111,235.00	2,111,235.00	2,111,235.00	—		—	—	—		—	—	—
CRESCENT MEZZANINE LLC			20160122	784,506.00	538,000.00	784,506.00	(246,506.00	)	—	—	—		—	—	—
GUARDIAN GROWTH EQUITY			20090904	2,907,976.52	5,330,213.38	2,907,976.52	2,422,236.86		—	—	—		—	—	—
GUGGENHEIM PRIVATE DEBT FUND 2.0			20160515	11,585,920.88	11,585,920.88	11,585,920.88	—		—	—	—		—	—	—
LLOYD'S CANADIAN BLENDED ACCOUNT			20131001	30,137,292.11	30,940,620.97	30,137,292.11	803,328.86		—	—	—		—	—	—
LLOYD'S OVERSEAS DEPOSITS			20131001	50,105,519.84	50,105,519.84	50,105,519.84	—		—	—	—		—	—	—
MFS MERIDIAN MID CAP GROWTH FUND			20090904	17,203.14	37,575.64	17,203.14	20,372.50		—	—	—		—	—	—
PUBLIC PENSION CAPITAL, LLC			20140721	10,597,018.53	9,731,289.61	10,597,018.53	(865,728.92	)	—	—	—		—	—	—
				380,129,948.30	405,711,965.31	380,129,948.30	25,837,272.79				(255,255.77	)