Blank Row 08/31/2016 JPMORGAN STRATEGIC INCOME OPPORTUNITIES FUND · PDF fileJPMORGAN STRATEGIC INCOME OPPORTUNITIES FUND 08/31/2016 Blank Row Asset Name Shares Value (USD) % AES TIETE

JPMORGAN STRATEGIC INCOME OPPORTUNITIES FUND08/31/2016Blank Row

Asset Name Shares Value (USD) %

1011778 BC ULC 6% 04/22 8,155,000.00 8,532,168.75 0.07%

12543KAN4 3,806,723.49 3,647,640.52 0.03%

21ST CENTURY 11% 05/23 6,230,000.00 5,365,587.50 0.04%

21st Century Oncology-LX144113 9,726,750.00 9,240,412.50 0.08%

787 5.1885% 01/17 200,000,000.00 200,000,000.00 1.64%

8995 COLLINS FUNDING LLC 01/AUG/2017 42,000,000.00 42,000,000.00 0.34%

ABFC 2006-OPT2 FLT 10/36 26,063,917.05 21,702,808.62 0.18%

ACADIA 5.125% 07/22 350,000.00 349,125.00 0.00%

ACADIA 5.625% 02/23 5,687,000.00 5,786,522.50 0.05%

ACCO BRANDS 6.75% 04/20 9,705,000.00 10,287,300.00 0.08%

ACCREDITED STEP 01/34 3,049,547.48 2,975,540.45 0.02%

ACE CASH 11% 02/19 9,276,000.00 4,359,720.00 0.04%

ACE HOTEL BOWERY VAR 01DEC2016 32,000,000.00 32,000,000.00 0.26%

ACE SECURITIES FLT 07/36 31,676,608.19 11,471,560.12 0.09%

ACI 6.375% 08/20 3,740,000.00 3,861,550.00 0.03%

ACORN RE LTD NOTES VARIABLE 17/JUL/2018 USD 1000 1,200,000.00 1,234,560.00 0.01%

ACOSTA INC 7.75% 10/22 2,838,000.00 2,621,602.50 0.02%

ADIENT 4.875% 08/26 4,060,000.00 4,115,825.00 0.03%

ADJUSTABLE RATE VAR 01/36 1,982,579.02 1,705,329.82 0.01%

ADJUSTABLE RATE VAR 09/35 9,095,397.65 7,975,920.65 0.07%

ADT 4.125% 06/23 12,905,000.00 12,668,838.50 0.10%

ADT CORP/THE 3.5% 07/22 9,850,000.00 9,431,375.00 0.08%

ADVANCED 7.75% 08/20 3,715,000.00 3,677,850.00 0.03%

ADVANCED MICRO 7% 07/24 6,963,000.00 6,405,960.00 0.05%

ADVENT CLAYMORE 381,209.00 2,237,696.83 0.02%

AECOM 5.875% 10/24 9,915,000.00 10,844,531.25 0.09%

AECOM CALLABLE NOTES FIXED 5.75% 15/OCT/2022 USD 1000 4,870,000.00 5,162,200.00 0.04%

AERCAP 3.75% 05/19 3,440,000.00 3,541,067.20 0.03%

AERCAP 4.625% 07/22 2,985,000.00 3,167,831.25 0.03%

AERCAP 4.625% 10/20 3,265,000.00 3,460,491.88 0.03%

AES CORP/VA 7.375% 07/21 5,240,000.00 6,012,900.00 0.05%

AES TIETE 4.875% 05/23 647,000.00 655,087.50 0.01%

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AES TIETE 5.5% 03/24 1,764,000.00 1,830,150.00 0.02%

AES TIETE 6% 05/26 2,395,000.00 2,541,693.75 0.02%

AES TIETE FLT 06/19 3,480,000.00 3,480,000.00 0.03%

AIR MEDICAL 6.375% 05/23 8,045,000.00 7,863,987.50 0.06%

AIRCASTLE 5.125% 03/21 1,085,000.00 1,177,225.00 0.01%

AIRCASTLE 6.25% 12/19 1,500,000.00 1,659,375.00 0.01%

AIRCASTLE 6.75% 04/17 6,490,000.00 6,676,587.50 0.05%

AIRCASTLE 7.625% 04/20 5,155,000.00 5,954,025.00 0.05%

AIRCASTLE LTD 5% 04/23 1,110,000.00 1,176,600.00 0.01%

AK STEEL CORP 7.5% 07/23 4,855,000.00 5,267,675.00 0.04%

ALAMO RE LTD BOND VARIABLE 07/JUN/2022 USD 1000 3,100,000.00 3,224,000.00 0.03%

ALBEA 8.375% 11/19 5,155,000.00 5,412,750.00 0.04%

Albertson's LLC Repriced TLB 4-LX152929 4,135,280.05 4,151,324.94 0.03%

Albertson's LLC TL B6-LX152913 2,893,410.47 2,908,687.68 0.02%

Albertson's LLC TLB5 USD-LX152928 9,819,390.00 9,872,218.32 0.08%

ALBERTSONS 6.625% 06/24 14,122,000.00 15,161,379.20 0.12%

ALCATEL-LUCEN 6.45% 03/29 4,479,000.00 4,870,912.50 0.04%

ALCOA INC 5.125% 10/24 11,617,000.00 12,255,935.00 0.10%

ALCOA INC 5.4% 04/21 2,969,000.00 3,149,930.86 0.03%

ALCOA INC 5.72% 02/19 3,650,000.00 3,916,450.00 0.03%

ALCOA INC 5.87% 02/22 2,136,000.00 2,312,220.00 0.02%

ALCOA INC 6.15% 08/20 2,564,000.00 2,800,375.16 0.02%

ALCOA INC 6.75% 01/28 4,920,000.00 5,473,500.00 0.04%

ALERE INC 6.375% 07/23 4,080,000.00 4,171,800.00 0.03%

ALERE INC 6.5% 06/20 3,949,000.00 3,874,956.25 0.03%

ALERE INC 7.25% 07/18 1,310,000.00 1,341,931.25 0.01%

ALERIS 7.875% 11/20 3,716,000.00 3,827,480.00 0.03%

ALLEGIANT 5.5% 07/19 3,796,000.00 3,957,330.00 0.03%

ALLEGION 5.875% 09/23 1,330,000.00 1,436,400.00 0.01%

ALLEGION US 5.75% 10/21 2,160,000.00 2,262,600.00 0.02%

ALLIANCE 5.375% 08/22 1,534,000.00 1,510,990.00 0.01%

ALLIANT HLDGS TLB-LX146742 4,950,000.00 4,928,962.50 0.04%

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ALLY 2.75% 01/17 4,740,000.00 4,742,417.40 0.04%

ALLY 3.25% 09/17 7,205,000.00 7,277,050.00 0.06%

ALLY 3.25% 11/18 16,315,000.00 16,467,953.13 0.14%

ALLY 3.5% 01/19 13,425,000.00 13,592,812.50 0.11%

ALLY 4.125% 03/20 6,045,000.00 6,241,462.50 0.05%

ALLY 4.25% 04/21 10,275,000.00 10,583,250.00 0.09%

ALLY 4.625% 03/25 13,056,000.00 13,545,600.00 0.11%

ALLY 4.625% 05/22 6,900,000.00 7,245,000.00 0.06%

ALLY 4.75% 09/18 9,335,000.00 9,696,731.25 0.08%

ALLY 5.125% 09/24 2,255,000.00 2,442,446.88 0.02%

ALLY 5.5% 02/17 14,410,000.00 14,660,734.00 0.12%

ALLY 5.75% 11/25 3,995,000.00 4,249,681.25 0.03%

ALLY 6.25% 12/17 20,729,000.00 21,739,538.75 0.18%

ALLY FINANCIAL INC BOND FIXED 8% 01/NOV/2031 USD 1000 7,237,000.00 9,064,342.50 0.07%

Alon Partners B TL-LX127370 1,227,694.38 1,221,555.91 0.01%

ALTERNATIVE 4.75% 12/20 242,947.13 209,267.32 0.00%

ALTERNATIVE 5.25% 07/20 2,137,701.52 2,084,688.02 0.02%

ALTERNATIVE 5.5% 02/35 1,099,597.21 1,092,864.49 0.01%

ALTERNATIVE 5.5% 04/37 1,015,726.75 841,755.10 0.01%

ALTERNATIVE 5.5% 07/25 1,800,467.54 1,775,447.34 0.01%

ALTERNATIVE 5.5% 11/20 1,746,958.92 1,699,694.77 0.01%

ALTERNATIVE 6.5% 09/34 745,976.07 742,718.24 0.01%

ALTERNATIVE LOAN 5% 05/19 486,101.76 492,108.18 0.00%

ALTERNATIVE LOAN 5% 11/20 1,023,508.95 1,018,250.67 0.01%







ALTICE 6.5% 01/22 3,113,000.00 3,268,650.00 0.03%

ALTICE 6.625% 02/23 9,202,000.00 9,581,582.50 0.08%

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ALTICE 7.5% 05/26 23,816,000.00 25,066,340.00 0.21%

ALTICE 7.625% 02/25 2,008,000.00 2,063,220.00 0.02%

ALTICE 7.75% 05/22 18,323,000.00 19,502,543.13 0.16%

ALTICE US 5.5% 05/26 5,878,000.00 6,182,245.28 0.05%

AMC 5.75% 06/25 8,340,000.00 8,549,167.20 0.07%

AMC Entertainment Initial TL-LX129265 2,925,000.03 2,941,467.78 0.02%

AMC NETWORKS 5% 04/24 13,947,000.00 14,295,675.00 0.12%

AMERICAN AIRLINES 2013-2 CLASS B PASS THROUGH TRUST CAL 8,579,832.31 8,987,374.34 0.07%

AMERICAN AXLE & MANUFACTURING INC CALLABLE NOTES FIXED 2,928,000.00 3,121,980.00 0.03%

AMERICAN AXLE & MANUFACTURING INC CALLABLE NOTES FIXED 4,138,000.00 4,324,210.00 0.04%

American Comm Lines TLB USD-LX148735 9,533,325.00 9,104,325.38 0.07%

AMERICAN GENERAL MORTGAGE LOAN TRUST 2010-1 2010-1A A4 1,719,593.05 1,729,723.52 0.01%

AMERICAN HOME MORTGAGE ASSETS TRUST 2006-2 2006-2 2A1 F 2,414,459.93 1,657,809.23 0.01%

AMERIQUEST FLT 08/33 879,518.57 839,565.91 0.01%

AMERIQUEST FLT 10/36 8,985,039.43 4,023,574.33 0.03%

AMERIQUEST FLT 10/36 14,749,025.85 6,429,640.18 0.05%

AMERIQUEST FLT 10/36 23,176,429.28 10,221,370.82 0.08%

AMKOR 6.375% 10/22 11,447,000.00 11,869,050.89 0.10%

AMKOR 6.625% 06/21 4,755,000.00 4,885,762.50 0.04%

AMSURG CORP 5.625% 11/20 1,790,000.00 1,852,650.00 0.02%

ANGLO 4.875% 05/25 4,558,000.00 4,569,395.00 0.04%

ANIXTER INC 5.5% 03/23 4,560,000.00 4,799,400.00 0.04%

ANTERO 5.125% 12/22 3,329,000.00 3,287,387.50 0.03%

ANTERO 5.375% 11/21 9,180,000.00 9,191,475.00 0.08%

ANTERO 5.625% 06/23 35,000.00 35,087.50 0.00%

ANTERO 6% 12/20 1,415,000.00 1,448,606.25 0.01%

APX GROUP 6.375% 12/19 350,000.00 359,184.00 0.00%

ARAMARK 5.75% 03/20 652,000.00 671,560.00 0.01%

ARCELORMITTA 10.85% 06/19 13,500,000.00 16,098,750.00 0.13%

ARCELORMITTAL 7.25% 02/22 28,300,000.00 31,837,500.00 0.26%

ARCELORMITTAL 8% 10/39 5,000,000.00 5,375,000.00 0.04%

ARCHROCK 6% 10/22 3,600,000.00 3,330,000.00 0.03%

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ARDAGH 6.25% 01/19 3,400,000.00 3,476,500.00 0.03%

ARDAGH 6.75% 01/21 2,655,000.00 2,751,243.75 0.02%

ARDAGH 7.25% 05/24 8,575,000.00 9,121,656.25 0.07%

ARDAGH 7% 11/20 377,647.06 377,175.00 0.00%

ARDAGH FLT 12/19 8,985,000.00 9,074,850.00 0.07%

ARGENT FLT 02/36 6,641,561.39 4,624,079.52 0.04%

ARGENT FLT 09/36 13,849,019.86 5,416,477.69 0.04%

ARGOS 7.125% 03/23 25,216,000.00 26,508,320.00 0.22%

ARMOR RE LTD BOND VARIABLE 15/DEC/2019 USD 1000 15,150,000.00 15,095,460.00 0.12%

ASHLAND INC 3.875% 04/18 4,115,000.00 4,228,162.50 0.03%

ASHLAND INC 4.75% 08/22 16,210,000.00 16,979,975.00 0.14%

ASHLAND INC 6.875% 05/43 2,705,000.00 2,948,450.00 0.02%

ASHTEAD 5.625% 10/24 4,225,000.00 4,441,531.25 0.04%

ASHTEAD 6.5% 07/22 12,249,000.00 12,922,695.00 0.11%

ASPECT SOFTWARE EQUITY - CLASS CR1 274,500.00 4,262,985.00 0.04%

ASPECT SOFTWARE EQUITY - CLASS CR2 15,234.00 236,584.02 0.00%

ASPECT SOFTWARE PARENT INC 3% 25/MAY/2023 2,724,526.00 1,410,759.56 0.01%

ASSET BACKED FLT 12/33 1,254,671.64 1,234,362.77 0.01%

ASSOCIATED 9.125% 11/17 2,180,000.00 2,065,550.00 0.02%

ATKORE TERM LOAN (FIRST LIEN)-LX136012 4,018,000.00 4,011,289.94 0.03%

ATKORE TERM LOAN (SECOND LIEN)-LX136013 3,300,000.00 3,297,261.00 0.03%

AVAYA INC 7% 04/19 15,487,000.00 11,537,815.00 0.09%

AVAYA INC CALLABLE NOTES FIXED 10.5% 01/MAR/2021 3,424,000.00 890,240.00 0.01%

Avaya TL B7 1L USD Corp-LX144217 8,073,248.47 6,024,661.67 0.05%

AVIS BUDGET 5.5% 04/23 5,485,000.00 5,683,831.25 0.05%

AVIS BUDGET 6.375% 04/24 9,680,000.00 10,217,240.00 0.08%

AVON 6.75% 03/23 4,913,000.00 4,388,930.29 0.04%

AVON 7.875% 08/22 4,378,000.00 4,520,635.24 0.04%

AVON PRODUCTS 4.2% 07/18 3,560,000.00 3,631,200.00 0.03%

AXALTA 4.875% 08/24 2,755,000.00 2,872,087.50 0.02%

Axalta Coating Refinanced TLB-LX134951 3,720,800.24 3,736,911.31 0.03%

B&G FOODS 4.625% 06/21 5,420,000.00 5,589,375.00 0.05%

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BALL CORP 5.25% 07/25 703,000.00 760,997.50 0.01%

BAMLL FLT 01/28 6,710,000.00 6,446,865.34 0.05%

BAMLL FLT 01/28 7,240,000.00 6,906,385.87 0.06%

BAMLL FLT 12/29 29,010,000.00 27,667,579.66 0.23%

BAMLL FLT 12/31 13,285,000.00 12,618,767.88 0.10%

BAMLL FLT 12/31 21,520,000.00 18,565,919.47 0.15%

BANC OF 5.25% 12/20 468,038.71 468,562.26 0.00%

BANC OF 5.5% 01/36 1,210,380.18 1,162,011.69 0.01%

BANC OF 5.5% 02/35 2,241,992.92 2,244,609.55 0.02%

BANC OF AMERICA 6% 01/35 2,920,209.99 2,697,724.16 0.02%

BANC OF AMERICA 6% 02/34 4,235,742.49 4,495,118.60 0.04%

BANC OF AMERICA 6% 03/35 2,393,530.02 2,170,741.20 0.02%

BANC OF AMERICA 6% 05/21 2,514,904.98 2,434,574.89 0.02%

BANC OF AMERICA 6% 09/37 6,495,554.49 5,870,099.50 0.05%

BANC OF AMERICA FLT 05/36 2,273,129.09 2,030,728.74 0.02%



BANK OF AMERICA CORP CALLABLE BOND VARIABLE USD 1000 7,106,000.00 7,470,182.50 0.06%



BARCLAYS PLC CALLABLE BOND VARIABLE USD 1000 2,000,000.00 2,048,712.00 0.02%

BARTON CAPITAL ZERO 11/16 50,000,000.00 49,943,844.50 0.41%

BASELL 8.1% 03/27 4,650,000.00 6,255,524.10 0.05%

BASIC ENERGY 7.75% 02/19 7,975,000.00 3,030,500.00 0.02%

BASIC ENERGY 7.75% 10/22 192,000.00 73,920.00 0.00%

BAYTEX 5.125% 06/21 1,118,000.00 930,735.00 0.01%

BAYTEX 5.625% 06/24 1,118,000.00 905,580.00 0.01%

BC MOUNTAIN LLC 7% 02/21 3,260,000.00 3,080,700.00 0.03%

BCAP LLC FLT 05/37 1,750,772.09 1,740,296.35 0.01%

BEAR STEARNS FLT 02/36 11,569,593.01 10,687,431.21 0.09%

BEAR STEARNS STEP 10/34 5,828,905.93 5,788,970.93 0.05%

BEAR STEARNS VAR 12/42 1,952,820.53 1,833,770.93 0.02%

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BEDFORD ROW FDG ZERO 11/1 100,000,000.00 99,851,492.00 0.82%

BELDEN INC 5.25% 07/24 1,497,000.00 1,519,455.00 0.01%

BELDEN INC 5.5% 09/22 8,090,000.00 8,433,825.00 0.07%

BERRY 5.125% 07/23 1,765,000.00 1,815,743.75 0.01%

BERRY PLASTICS 6% 10/22 2,030,000.00 2,163,218.75 0.02%

BLACKROCK CORPORATE HIGH 2,792,639.00 30,383,912.32 0.25%

BLACKROCK DEBT 3,795,086.00 14,079,769.06 0.12%

BLACKSTONE / GSO 1,049,120.00 15,621,396.80 0.13%

Blount TL USD-LX149926 12,380,000.00 12,503,800.00 0.10%

BLUE CUBE 10% 10/25 3,730,000.00 4,438,700.00 0.04%

BLUE CUBE 9.75% 10/23 3,795,000.00 4,487,587.50 0.04%

BLUE RACER 6.125% 11/22 8,390,000.00 8,075,375.00 0.07%

BLUELINE RENTAL 7% 02/19 4,438,000.00 3,838,870.00 0.03%

BLUESCOPE 7.125% 05/18 991,000.00 1,014,536.25 0.01%

BLUEWATER 10% 12/19 12,100,000.00 5,324,000.00 0.04%

BNP PARIBAS ZERO 12/16 100,000,000.00 99,777,922.00 0.82%

BOARDWALK 5.95% 06/26 3,250,000.00 3,547,553.75 0.03%

BOISE 5.625% 09/24 1,365,000.00 1,392,300.00 0.01%

BOMBARDIER 4.75% 04/19 2,518,000.00 2,524,295.00 0.02%

BOMBARDIER 5.5% 09/18 4,583,000.00 4,709,032.50 0.04%

BOMBARDIER 6.125% 01/23 1,409,000.00 1,324,460.00 0.01%

BOMBARDIER 7.5% 03/25 9,480,000.00 9,006,000.00 0.07%

BOMBARDIER 7.75% 03/20 1,022,000.00 1,083,320.00 0.01%

BONANZA 5.75% 02/23 3,241,000.00 1,393,630.00 0.01%

BOYD GAMING 6.375% 04/26 3,538,000.00 3,785,660.00 0.03%

BOYD GAMING 6.875% 05/23 1,932,000.00 2,086,560.00 0.02%

BREITBURN 7.875% 04/22 2,770,000.00 1,080,300.00 0.01%

BUILDERS 5.625% 09/24 1,465,000.00 1,494,300.00 0.01%

BUMBLE BEE 9% 12/17 18,455,000.00 18,777,962.50 0.15%

CABLEVISION 8.625% 09/17 4,820,000.00 5,122,455.00 0.04%

CABLEVISION 8% 04/20 13,733,000.00 14,625,645.00 0.12%

CAELUS RE 2013 FLT 04/17 2,900,000.00 2,959,450.00 0.02%

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CAESARS 11.25% 06/17 9,205,000.00 9,066,925.00 0.07%

CAESARS 8.5% 02/20 11,310,000.00 11,253,450.00 0.09%

CAESARS 8% 10/20 4,315,000.00 4,379,725.00 0.04%

CAESARS 9% 02/20 8,490,000.00 8,405,100.00 0.07%

CAESARS 9% 02/20 30,785,000.00 30,400,187.50 0.25%

CALATLANTIC 1.25% 08/32 5,000,000.00 5,350,000.00 0.04%

CALIFORNIA 5.5% 09/21 98,000.00 50,470.00 0.00%

CALIFORNIA 8% 12/22 10,872,000.00 7,338,600.00 0.06%

CALIFORNIA RESOURCES TL1-LX154198 3,770,000.00 3,949,075.00 0.03%

CALPINE 7.875% 01/23 6,491,000.00 6,848,005.00 0.06%

CALPINE CORP 5.25% 06/26 4,211,000.00 4,263,637.50 0.04%

CALPINE CORP 6% 01/22 15,000,000.00 15,731,250.00 0.13%

CALYPSO FLT 01/18 2,350,000.00 2,657,219.39 0.02%

CANADIAN 1.24% 03/17 100,000,000.00 100,028,813.00 0.82%

CAPSUGEL SA 7% 05/19 2,316,000.00 2,339,160.00 0.02%

CARE 5.125% 08/26 4,110,000.00 4,145,941.95 0.03%

CARRINGTON FLT 10/36 18,157,555.78 10,667,133.69 0.09%

CARRIZO OIL & 7.5% 09/20 705,000.00 724,387.50 0.01%

CARRIZO OIL 6.25% 04/23 2,100,000.00 2,073,750.00 0.02%

CASELLA 7.75% 02/19 9,666,000.00 9,883,485.00 0.08%

CBAC Borrower LLC TLB-LX129329 1,990,000.00 1,940,250.00 0.02%

CCO 5.125% 02/23 6,200,000.00 6,510,000.00 0.05%

CCO 5.125% 05/23 5,948,000.00 6,258,426.12 0.05%

CCO 5.375% 05/25 4,892,000.00 5,154,945.00 0.04%

CCO 5.875% 04/24 15,250,000.00 16,431,875.00 0.13%

CCO 5.875% 05/27 3,750,000.00 4,012,500.00 0.03%

CCO 6.625% 01/22 6,997,000.00 7,364,342.50 0.06%

CCO HOLDINGS 5.5% 05/26 6,840,000.00 7,241,850.00 0.06%

CCO HOLDINGS 5.75% 02/26 12,275,000.00 13,134,250.00 0.11%

CCO HOLDINGS 5.75% 09/23 478,000.00 504,290.00 0.00%

CDI CDX.EM 1 USD0621 133,870,000.00 8,611,797.55 0.07%

CDI CDX.NA 1 USD1220 355,080,000.00 (3,466,024.95) -0.03%

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CDI CDX.NA 5 USD0621 17,880,000.00 (795,562.30) -0.01%

CDI iTraxx 1 EUR0621 171,770,000.00 (2,897,089.28) -0.02%

CDS AA 5.7 1 USD0621 13,750,000.00 890,006.52 0.01%

CDS ABX-HE-PENAAA 06-2 Notional USD Maturity 20460525 1,500,000.00 32,224.06 0.00%

CDS ABX.HE 0.11 USD0546 6,600,000.00 979,475.40 0.01%

CDS ABX.HE 0.11 USD0546 6,970,000.00 1,034,385.39 0.01%

CDS ABX.HE 0.11 USD0546 13,370,000.00 1,984,179.72 0.02%

CDS ABX.HE 0.11 USD0546 13,380,000.00 1,985,663.77 0.02%

CDS ABX.HE 0.11 USD0546 14,170,000.00 2,102,904.01 0.02%

CDS ABXHEPEN072 Notional USD Maturity 20380125 2,620,000.00 (467,637.91) 0.00%

CDS ABXHEPEN072 Notional USD Maturity 20380125 9,280,000.00 (1,656,366.35) -0.01%

CDS ABXHEPEN072 Notional USD Maturity 20380125 9,360,000.00 (1,670,645.37) -0.01%

CDS ALLYFI 5 USD0317 2,325,000.00 (55,795.23) 0.00%

CDS ALLYFI 5 USD0317 4,740,000.00 (113,750.29) 0.00%

CDS ALLYFI 5 USD0317 6,880,000.00 (165,105.90) 0.00%

CDS ALLYFI 5 USD1217 3,570,000.00 (182,276.56) 0.00%

CDS ALLYFI 5 USD1217 4,166,000.00 (212,707.05) 0.00%

CDS ALLYFI 5 USD1217 5,993,000.00 (305,989.76) 0.00%

CDS ALLYFI 5 USD1217 7,205,000.00 (367,871.89) 0.00%

CDS AXHAAAS06V2 Notional USD Maturity 20460525 8,800,000.00 189,047.82 0.00%

CDS AXHAAAS06V2 Notional USD Maturity 20460525 12,100,000.00 259,940.76 0.00%

CDS BZH (2 5 USD1217 3,580,000.00 (174,689.02) 0.00%

CDS BZH (2 5 USD1217 7,120,000.00 (347,426.20) 0.00%

CDS CHINA 1 USD0621 137,300,000.00 (43,930.86) 0.00%

CDS CIT 5. 5 USD0617 722,000.00 (25,129.60) 0.00%

CDS CIT 5. 5 USD0617 3,520,000.00 (122,515.49) 0.00%

CDS CMBX.N 2 USD0563 7,000,000.00 323,832.62 0.00%

CDS CMBX.N 2 USD0563 7,220,000.00 334,010.22 0.00%

CDS CMBX.N 2 USD0563 7,230,000.00 334,472.84 0.00%

CDS CMBX.N 2 USD0563 7,260,000.00 335,860.69 0.00%

CDS CMBX.N 2 USD0563 7,270,000.00 336,323.31 0.00%

CDS CMBXNAA3 Notional USD Maturity 20491213 7,050,000.00 (2,645,446.21) -0.02%

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CDS CMBXNAA3 Notional USD Maturity 20491213 14,100,000.00 (5,290,892.42) -0.04%

CDS CMNAAS03V1 Notional USD Maturity 20491213 7,050,000.00 3,351,377.59 0.03%

CDS CMNAAS03V1 Notional USD Maturity 20491213 14,100,000.00 6,702,755.18 0.06%

CDS CNATUR 1 USD0621 10,320,000.00 453,612.09 0.00%

CDS DVN 7. 1 USD0621 6,870,000.00 311,226.02 0.00%

CDS FRCA 9 5 USD0617 1,987,000.00 (71,276.33) 0.00%

CDS HOV-K 5 USD1216 2,150,000.00 (2,590.23) 0.00%

CDS HOV-K 5 USD1216 3,500,000.00 (4,216.66) 0.00%

CDS HOV-K 5 USD1216 3,510,000.00 (4,228.71) 0.00%

CDS HOV-K 5 USD1216 3,510,000.00 (4,228.71) 0.00%

CDS HOV-K 5 USD1216 3,580,000.00 (4,313.04) 0.00%

CDS HOV-K 5 USD1216 3,580,000.00 (4,313.04) 0.00%

CDS IOS FN 5 USD0141 21,457,000.00 (2,273.80) 0.00%

CDS IOS FN 5 USD0141 43,100,000.00 (4,567.31) 0.00%

CDS IOS FN 5 USD0141 46,860,000.00 (4,965.75) 0.00%

CDS IOS FN 5 USD0141 46,860,000.00 (4,965.75) 0.00%

CDS IOS FN 5 USD0141 88,515,000.00 (9,379.93) 0.00%

CDS IOS.FN 4 USD0142 35,150,000.00 11,944.01 0.00%

CDS IOS.FN 4 USD0142 35,890,000.00 12,195.46 0.00%

CDS IOS.FN 4 USD0142 35,890,000.00 12,195.46 0.00%

CDS IOS.FN 4 USD0142 36,040,000.00 12,246.43 0.00%

CDS IOS.FN 4 USD0142 36,060,000.00 12,253.23 0.00%

CDS IOS.FN 4 USD0142 36,060,000.00 12,253.23 0.00%

CDS IOS.FN 4 USD0142 37,530,000.00 12,752.74 0.00%

CDS IOS.FN 4 USD0142 37,530,000.00 12,752.74 0.00%

CDS IOS.FN 4.5 USD0141 36,260,000.00 5,807.40 0.00%

CDS IOS.FN 4.5 USD0141 75,577,000.00 12,104.41 0.00%

CDS MEX 5. 1 USD0621 120,840,000.00 2,121,176.87 0.02%

CDS NBR-In 1 USD0621 15,120,000.00 1,914,113.39 0.02%

CDS SHC-Ac 5 USD0916 3,540,000.00 (8,885.62) 0.00%

CDS SPRFIN 5 USD0916 830,000.00 (1,890.45) 0.00%

CDS SPRFIN 5 USD0917 2,358,000.00 (85,292.55) 0.00%

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CDS SPRICO 5 USD0619 2,770,000.00 (40,418.87) 0.00%

CDS SPRICO 5 USD0619 3,460,000.00 (50,487.11) 0.00%

CDS SPRICO 5 USD0619 4,200,000.00 (61,284.94) 0.00%

CDS SPRICO 5 USD0619 6,944,000.00 (101,324.43) 0.00%

CDS SPRICO 5 USD1220 2,830,000.00 57,627.39 0.00%

CDS SPRICO 5 USD1220 3,520,000.00 71,677.89 0.00%

CDS SPRICO 5 USD1220 3,530,000.00 71,881.52 0.00%

CDS STAN-B 1 GBP0621 13,750,000.00 757,637.63 0.01%

CDS TURKEY 1 USD0621 188,800,000.00 12,051,770.07 0.10%

CDS VENZ 9 5 USD0617 3,500,000.00 (1,210,755.00) -0.01%

CDS VENZ 9 5 USD0617 3,500,000.00 (1,210,755.00) -0.01%

CDS VENZ 9 5 USD0617 3,540,000.00 (1,224,592.20) -0.01%

CDS VENZ 9 5 USD0617 3,540,000.00 (1,224,592.20) -0.01%

CDS VENZ 9 5 USD0617 7,060,000.00 (2,442,265.80) -0.02%

CDS VENZ 9 5 USD0916 1,390,000.00 (65,816.50) 0.00%

CDS VENZ 9 5 USD0916 1,760,000.00 (83,336.00) 0.00%

CDS VENZ 9 5 USD0916 3,470,000.00 (164,304.50) 0.00%

CDS VENZ 9 5 USD0916 3,490,000.00 (165,251.50) 0.00%

CDS VENZ 9 5 USD0916 3,500,000.00 (165,725.00) 0.00%

CDS VENZ 9 5 USD0916 3,510,000.00 (166,198.50) 0.00%

CDS VENZ 9 5 USD0916 7,020,000.00 (332,397.00) 0.00%

CDS VENZ 9 5 USD0916 14,010,000.00 (663,373.50) -0.01%

CDS VENZ 9 5 USD1219 1,450,400.00 (813,834.58) -0.01%

CDS VENZ 9 5 USD1219 2,892,800.00 (1,623,180.28) -0.01%

CDS WITH CITI 02/51 10,550,000.00 1,787,756.60 0.01%

CDSCMBX 4 V1 5% NOTIONAL 6.9M USD MATURITY 20510217 6,900,000.00 1,169,243.65 0.01%

CDW LLC / 5.5% 12/24 1,635,000.00 1,752,229.50 0.01%

CDW LLC / 5% 09/23 1,432,000.00 1,483,910.00 0.01%

CDW LLC / 6% 08/22 3,300,000.00 3,543,375.00 0.03%

CEB INC 5.625% 06/23 12,295,000.00 12,202,787.50 0.10%

CEMEX 9.375% 10/22 22,345,000.00 24,607,431.25 0.20%

CEMEX FINANCE 6% 04/24 3,000,000.00 3,138,750.00 0.03%

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CEMEX SAB 6.125% 05/25 1,299,000.00 1,365,638.70 0.01%

CEMEX SAB DE 7.75% 04/26 3,788,000.00 4,275,879.63 0.04%

CENOVUS 4.45% 09/42 2,204,000.00 1,793,919.35 0.01%

CENOVUS 6.75% 11/39 1,728,000.00 1,844,847.36 0.02%

CENTEX HOME FLT 01/35 2,934,743.82 2,378,434.37 0.02%

CENTRAL 6.125% 11/23 4,659,000.00 5,002,601.25 0.04%

CENTURYLINK 5.625% 04/20 703,000.00 748,695.00 0.01%

CENTURYLINK 5.8% 03/22 2,197,000.00 2,277,410.20 0.02%

CENTURYLINK 6.75% 12/23 16,995,000.00 17,887,237.50 0.15%

CG-CCRE FLT 11/31 4,063,000.00 4,069,096.13 0.03%

CG-CCRE FLT 11/31 10,030,000.00 9,987,820.84 0.08%

CHAPARRAL 7.625% 11/22 11,373,000.00 7,164,990.00 0.06%

CHAPARRAL 9.875% 10/20 3,934,000.00 2,478,420.00 0.02%

CHAPPARAL 8.25% 09/21 3,371,000.00 2,123,730.00 0.02%

CHAPPARAL 9.875% 10/20 9,335,000.00 5,881,050.00 0.05%

CHASE MORTGAGE 6% 05/35 2,001,511.04 2,091,793.40 0.02%

CHEMOURS 6.625% 05/23 7,724,000.00 7,415,040.00 0.06%

CHEMOURS CO/THE 7% 05/25 2,070,000.00 1,980,731.25 0.02%

CHENIERE CORPUS 7% 06/24 669,000.00 715,830.00 0.01%

CHESAPEAKE 6.625% 08/20 3,625,000.00 3,226,250.00 0.03%

CHESAPEAKE 7.25% 12/18 351,000.00 348,367.50 0.00%

CHESAPEAKE 8% 12/22 12,615,000.00 12,015,787.50 0.10%

CHESAPEAKE ENERGY TL L+750 8/1-LX154538 11,850,000.00 12,220,312.50 0.10%

CHESAPEAKE FLT 04/19 15,306,000.00 13,851,930.00 0.11%

CHG HEALTHCARE TL B L+375 05/1-LX152762 9,815,400.00 9,870,660.70 0.08%

CHINOS 7.75% 05/19 3,700,875.00 1,443,341.25 0.01%

CHL MORTGAGE 5.5% 10/35 843,434.25 821,636.45 0.01%

CHL MORTGAGE 5.75% 02/37 1,107,225.76 915,658.65 0.01%

CHL MORTGAGE 6.25% 10/36 2,104,154.50 1,856,623.03 0.02%

CHL MORTGAGE FLT 05/37 3,408,795.04 2,505,768.08 0.02%

Chrysler Group TLB/FCA US-LX130711 8,842,309.43 8,853,362.32 0.07%

Chrysler Group Tranche B TL-LX135335 10,201,420.92 10,209,071.99 0.08%

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CHS/COMMUNIT 5.125% 08/18 1,205,000.00 1,220,062.50 0.01%

CHS/COMMUNIT 7.125% 07/20 2,885,000.00 2,580,344.00 0.02%

CHS/COMMUNITY 8% 11/19 3,000,000.00 2,838,750.00 0.02%

CHUKCHANSI 9.75% 05/20 17,372,002.42 9,554,601.33 0.08%

CINCINNATI 8.375% 10/20 5,661,000.00 5,859,135.00 0.05%

Cincinnati Bell Inc TLB-LX131882 3,919,174.93 3,919,174.93 0.03%

CINEMARK 4.875% 06/23 8,640,000.00 8,856,000.00 0.07%

CINEMARK 5.125% 12/22 1,051,000.00 1,087,785.00 0.01%

CIT GROUP 3.875% 02/19 11,706,000.00 11,965,756.14 0.10%

CIT GROUP 5.25% 03/18 43,944,000.00 45,811,620.00 0.38%

CIT GROUP 6.625% 04/18 2,520,000.00 2,685,060.00 0.02%

CIT GROUP INC 5.5% 02/19 11,730,000.00 12,419,137.50 0.10%

CIT GROUP INC 5% 05/17 7,694,000.00 7,847,880.00 0.06%

CITGO 10.75% 02/20 6,752,000.00 6,916,580.00 0.06%

CITGO HOLDING TL B 1L-LX143176 24,725,414.06 24,872,283.02 0.20%

CITICORP 5.5% 12/21 370,508.84 373,079.47 0.00%

CITICORP 6% 06/37 5,282,136.74 5,377,853.28 0.04%

CITICORP STEP 07/36 997,721.08 1,017,349.65 0.01%

CITIGROUP 5.5% 12/35 1,287,570.12 1,268,731.55 0.01%

CITIGROUP FLT 06/36 4,861,544.17 4,456,421.00 0.04%

CITIGROUP FLT 07/27 9,970,000.00 9,310,292.08 0.08%

CITIGROUP FLT 07/36 5,829,294.32 5,201,488.07 0.04%

CITIGROUP FLT 08/36 23,494,938.09 21,548,095.83 0.18%

CITIGROUP FLT 11/36 5,800,508.55 5,189,564.19 0.04%

CITIGROUP INC CALLABLE BOND VARIABLE USD 1000 10,560,000.00 10,718,400.00 0.09%

CITIGROUP INC CALLABLE NOTES VARIABLE USD 1000 1,000.00 1,040.00 0.00%

CITIGROUP VAR 02/37 2,968,657.35 2,889,585.38 0.02%

CITIGROUP VAR 02/37 9,687,220.40 8,795,702.60 0.07%

CITIGROUP VAR 02/54 10,954,046.97 10,497,689.32 0.09%

CITIGROUP VAR 07/36 9,299,098.89 8,558,406.14 0.07%

CITIGROUP VAR 10/46 1,430,930.22 1,430,930.22 0.01%

CITIMORTGAGE 5.25% 03/21 298,427.28 300,205.85 0.00%

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CityCenter Holdings TLB-LX133060 1,734,062.20 1,743,096.66 0.01%

CLAIRE'S 6.125% 03/20 4,833,000.00 2,561,490.00 0.02%

CLAIRE'S STORES 9% 03/19 30,965,000.00 17,851,322.50 0.15%

CLEAN 5.125% 06/21 3,301,000.00 3,391,777.50 0.03%

CLEAN 5.25% 08/20 7,335,000.00 7,536,712.50 0.06%

CLEAR 7.625% 03/20 1,185,000.00 1,137,600.00 0.01%

CLEAR 7.625% 03/20 34,130,000.00 34,385,975.00 0.28%

CLEAR CHANNEL 6.5% 11/22 7,185,000.00 7,265,831.25 0.06%

CLEAR CHANNEL 6.5% 11/22 55,169,000.00 57,789,527.50 0.47%

CLEAR CHANNEL 9% 03/21 6,865,000.00 5,148,750.00 0.04%

CLEARWIRE 8.25% 12/40 6,166,000.00 6,416,493.75 0.05%

CLIFFS 8.25% 03/20 351,000.00 367,672.50 0.00%

CLOUD PEAK 6.375% 03/24 3,401,000.00 1,734,510.00 0.01%

CNG 9.375% 05/20 11,976,000.00 6,646,680.00 0.05%

CNH 4.375% 11/20 7,008,000.00 7,340,880.00 0.06%

CNH 4.875% 04/21 8,013,000.00 8,543,861.25 0.07%

COEUR 7.875% 02/21 8,026,000.00 7,925,675.00 0.07%

COGENT 5.375% 03/22 6,080,000.00 6,262,400.00 0.05%

COGENT 5.625% 04/21 9,051,000.00 9,232,020.00 0.08%

COMM 2014-FL5 FLT 08/31 5,920,200.00 5,512,987.93 0.05%

COMM 2014-FL5 FLT 08/31 9,270,000.00 8,673,258.85 0.07%

COMM VAR 05/48 16,803,000.00 15,452,347.98 0.13%

COMMERCIAL 4.875% 05/23 8,235,000.00 8,276,175.00 0.07%

COMMSCOPE 6% 06/25 9,947,000.00 10,556,253.75 0.09%

COMMSCOPE INC 5.5% 06/24 4,731,000.00 4,967,550.00 0.04%

COMMSCOPE INC 5% 06/21 1,893,000.00 1,963,987.50 0.02%

COMMUNICATION 8.25% 10/23 2,830,000.00 2,950,275.00 0.02%

COMMUNICATIONS 6% 04/23 3,580,000.00 3,748,224.20 0.03%

Compass Investors (ONEX USI TLB)-LX134269 11,429,947.29 11,406,173.00 0.09%

CONCORDIA 7% 04/23 14,127,000.00 10,948,425.00 0.09%

CONCORDIA HEALTH CORP TL 1 LIEN-LX148270 8,438,595.00 7,978,438.41 0.07%

CONSOL 5.875% 04/22 1,420,000.00 1,285,100.00 0.01%

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CONSTAR CLASS A COMMON SHARES 42,407.20 0.04 0.00%

CONSTAR CLASS A PREFERRED SHARES 4,277.27 0.00 0.00%

CONSTAR NOTES 2,256,713.60 236,954.93 0.00%

CONSTELLATION 3.75% 05/21 1,901,000.00 2,010,307.50 0.02%

CONSTELLATION 4.25% 05/23 2,192,000.00 2,338,590.00 0.02%

CONSTELLATION 7.25% 05/17 2,000,000.00 2,077,500.00 0.02%

CONSTELLIUM 5.75% 05/24 1,080,000.00 999,000.00 0.01%

CONSTELLIUM 7.875% 04/21 3,410,000.00 3,691,325.00 0.03%

CONTINENTAL 4.5% 04/23 6,335,000.00 5,970,737.50 0.05%

CONTINENTAL 7.125% 04/21 1,000,000.00 1,035,000.00 0.01%

CONTINENTAL 7.875% 07/18 2,857,811.22 2,979,268.20 0.02%

CONTINENTAL 9.318% 11/19 2,319,966.79 2,493,964.30 0.02%

CONTINENTAL 9.558% 09/19 4,589,466.26 5,002,518.22 0.04%

CONTINENTAL 9.798% 04/21 4,978,491.24 5,513,679.05 0.05%

CONTINENTAL BUILDING PRODUCTS OPERAT-LX154276 6,437,732.48 6,445,779.65 0.05%

CONVATEC 10.5% 12/18 20,013,000.00 20,563,357.50 0.17%

CORRECTIONS 4.125% 04/20 7,068,000.00 6,767,610.00 0.06%

CORRECTIONS 4.625% 05/23 5,520,000.00 4,912,800.00 0.04%

CORRECTIONS 5% 10/22 2,595,000.00 2,413,350.00 0.02%

COTT 6.75% 01/20 7,580,000.00 7,940,050.00 0.07%

COVENANT 8.75% 08/19 2,508,000.00 2,420,220.00 0.02%

CRANBERRY RE LTD NOTES VARIABLE 06/JUL/2021 USD 1000 1,100,000.00 1,127,720.00 0.01%

CREDIT AGRICOLE SA CALLABLE NOTES VARIABLE USD 1000 3,856,000.00 4,138,027.84 0.03%

CREDIT IND ET 0.97% 11/1 150,000,000.00 150,091,224.00 1.23%

CREDIT SUISSE 5% 07/20 492,155.87 490,177.21 0.00%

CREDIT SUISSE 5% 08/20 172,679.19 165,441.84 0.00%

CREDIT SUISSE 6% 09/34 2,277,326.53 2,317,248.75 0.02%

CREDIT-BASED FLT 05/36 5,520,978.61 4,066,697.63 0.03%

CREDIT-BASED FLT 10/36 17,189,784.24 13,158,821.09 0.11%

CRESTWOOD 6.125% 03/22 310,000.00 301,475.00 0.00%

CRESTWOOD 6.25% 04/23 4,290,000.00 4,182,750.00 0.03%

CROWN 4.875% 04/22 3,634,000.00 4,054,671.84 0.03%

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CROWN CASTLE 5.25% 01/23 4,070,000.00 4,647,451.60 0.04%

CROWNROCK 7.125% 04/21 5,108,000.00 5,312,320.00 0.04%

CSAB FLT 09/36 9,248,298.81 4,089,604.21 0.03%

CSC 10.125% 01/23 21,834,000.00 24,931,698.75 0.20%

CSC 10.875% 10/25 15,968,000.00 18,722,480.00 0.15%

CSC 6.625% 10/25 2,475,000.00 2,688,468.75 0.02%

CSC HOLDINGS 6.75% 11/21 3,134,000.00 3,345,545.00 0.03%

CSC/Cablevision/ Neptune Finco-LX148060 4,384,012.50 4,417,813.24 0.04%

CSI 7.25% 08/22 1,445,000.00 1,300,500.00 0.01%

CSMC SERIES 2015-3R 2015-3R 5A1 FLOATING 29/SEP/2036 13,451,416.06 12,912,479.69 0.11%

CSMC SERIES FLT 04/37 3,606,419.48 3,492,840.71 0.03%

CSMC SERIES FLT 10/36 14,075,367.54 13,335,764.68 0.11%

CSMC SERIES FLT 12/36 4,834,169.38 4,620,190.19 0.04%

CSMC SERIES VAR 07/36 5,118,975.33 5,056,248.94 0.04%

CSMC TRUST 2015-DEAL 2015-DEAL E FLOATING 15/APR/2029 27,930,000.00 27,647,032.79 0.23%

CSMC TRUST 2015-SAND 2015-SAND E FLOATING 15/AUG/2030 11,080,000.00 10,738,581.99 0.09%

CST BRANDS INC 5% 05/23 2,648,000.00 2,800,260.00 0.02%

CTP 8.25% 12/19 8,567,000.00 6,596,590.00 0.05%

CVR PARTNERS 9.25% 06/23 10,180,000.00 10,090,925.00 0.08%

CWABS INC FLT 03/34 727,214.73 669,645.36 0.01%

DANA 6.5% 06/26 3,510,000.00 3,676,725.00 0.03%

DANA INC 5.375% 09/21 705,000.00 733,200.00 0.01%

DANA INC 5.5% 12/24 5,595,000.00 5,734,875.00 0.05%

DANA INC CALLABLE NOTES FIXED 6% 15/SEP/2023 USD 1000 13,072,000.00 13,692,920.00 0.11%

DARLING 5.375% 01/22 4,075,000.00 4,278,750.00 0.04%

DAVITA 5% 05/25 7,530,000.00 7,631,655.00 0.06%

DEAN FOODS CO 6.5% 03/23 7,606,000.00 8,081,375.00 0.07%

Dell Int'l LLC-TL B2-LX144991 5,931,583.08 5,949,377.83 0.05%

Delta 2 (Lux) Sarl B3 TL-LX139582 4,000,000.00 3,977,000.00 0.03%

DELTA AIR 6.875% 05/19 448,817.27 484,722.65 0.00%

Delta Air Lines Inc 2014 TL B1-LX135389 24,848,063.23 24,896,268.47 0.20%

DENBURY 4.625% 07/23 5,350,000.00 3,450,750.00 0.03%

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DENBURY 5.5% 05/22 9,405,000.00 6,442,425.00 0.05%

DEUTSCHE ALT-A FLT 02/35 3,003,545.12 2,801,506.85 0.02%

DEUTSCHE ALT-A VAR 02/20 1,177,260.84 1,189,541.44 0.01%

DEUTSCHE FLT 06/37 9,103,962.23 8,976,085.25 0.07%

DG BANK, NY 0.91% 11/16 100,000,000.00 100,028,275.00 0.82%

DIAMOND 1 3.48% 06/19 40,000.00 41,118.16 0.00%

DIAMOND 1 4.42% 06/21 2,115,000.00 2,212,725.69 0.02%

DIAMOND 1 5.45% 06/23 12,048,000.00 12,835,650.05 0.11%

DIAMOND 1 5.875% 06/21 7,341,000.00 7,770,698.09 0.06%

DIAMOND 1 6.02% 06/26 10,863,000.00 11,644,907.88 0.10%

DIAMOND 1 7.125% 06/24 8,171,000.00 8,847,599.66 0.07%

DIAMOND 1 8.1% 07/36 856,000.00 994,278.24 0.01%

DIAMOND 1 8.35% 07/46 1,223,000.00 1,424,481.91 0.01%

DISH DBS 4.25% 04/18 705,000.00 723,506.25 0.01%

DISH DBS 5.875% 07/22 22,109,000.00 22,523,543.75 0.18%

DISH DBS 5.875% 11/24 28,450,000.00 28,058,812.50 0.23%

DISH DBS 6.75% 06/21 23,555,000.00 25,306,903.13 0.21%

DISH DBS 7.75% 07/26 12,383,000.00 13,212,537.17 0.11%

DISH DBS 7.875% 09/19 10,913,000.00 12,167,995.00 0.10%

DISH DBS CORP 5% 03/23 10,725,000.00 10,323,885.00 0.08%

DJO FINCO 8.125% 06/21 15,735,000.00 13,846,800.00 0.11%

Dole Food Co Tranche B TL-LX133213 10,833,261.06 10,864,894.18 0.09%

DOUBLETREE ORLANDO BOND VARIABLE 01/JUN/2017 USD 62,000,000.00 62,000,000.00 0.51%

DOWNSTREAM 10.5% 07/19 7,817,000.00 8,031,967.50 0.07%

DREAMWORKS 6.875% 08/20 10,940,000.00 11,528,025.00 0.09%

Drillships Fin Hldg TLB1-LX130834 11,659,180.13 5,341,420.19 0.04%

DS SERVICES OF 10% 09/21 11,806,000.00 13,252,235.00 0.11%

DUPONT 5.875% 09/21 2,591,000.00 2,710,833.75 0.02%

DYNEGY INC 7.375% 11/22 6,500,000.00 6,402,500.00 0.05%

DYNEGY INC 7.625% 11/24 6,485,000.00 6,339,087.50 0.05%

DYNEGY INC COMMON STOCK USD 0.01 50,000.00 633,500.00 0.01%

E*TRADE 5.375% 11/22 5,680,000.00 6,113,100.00 0.05%

S-408-865-716 Page 17 01-Sep-2016 02:09:56



EAST 12TH FLT 01/19 50,000,000.00 50,000,000.00 0.41%

EAST LANE RE FLT 03/20 10,000,000.00 10,234,000.00 0.08%

EATON VANCE 557,416.00 7,831,694.80 0.06%

EATON VANCE SENIOR INCOME TRUST CLOSED-END FUND USD 639,760.00 4,030,488.00 0.03%

EL PASO LLC 7% 06/17 7,485,000.00 7,768,853.66 0.06%

EMBARQ CORP 7.995% 06/36 35,124,000.00 36,419,197.50 0.30%

EMC CORP 1.875% 06/18 6,920,000.00 6,900,928.48 0.06%

EMDEON INC 11% 12/19 3,056,000.00 3,231,720.00 0.03%

EMDEON/MEDIFAX/CHANGE HEALTHCA-LX129150 1,961,390.11 1,958,938.37 0.02%

ENDEAVOR 8.125% 09/23 2,187,000.00 2,252,610.00 0.02%

ENDEAVOR ENERGY 7% 08/21 15,029,000.00 15,141,717.50 0.12%

ENDO 5.375% 01/23 2,204,000.00 1,994,620.00 0.02%

ENDO FINANCE 5.75% 01/22 7,616,000.00 7,097,160.00 0.06%

ENDO LTD / 6.5% 02/25 850,000.00 754,375.00 0.01%

ENDO LTD / 6% 07/23 8,970,000.00 8,140,275.00 0.07%

ENERGIZER 5.5% 06/25 7,610,000.00 7,933,425.00 0.07%

Energy Future Intermediate TL-LX137321 6,008,907.00 6,031,440.40 0.05%

ENTEGRIS INC 6% 04/22 5,789,000.00 6,020,560.00 0.05%

Entercom Radio LLC TLB2-LX133945 3,312,000.00 3,313,391.04 0.03%

EP ENERGY 7.75% 09/22 2,295,000.00 1,256,512.50 0.01%

EP ENERGY 9.375% 05/20 38,265,000.00 24,680,925.00 0.20%

EQUINIX INC 5.375% 01/22 9,321,000.00 9,955,946.52 0.08%

EQUINIX INC 5.75% 01/25 3,633,000.00 3,887,310.00 0.03%

EQUINIX INC 5.875% 01/26 2,895,000.00 3,153,726.15 0.03%

ERSTE ZERO 01/17 181,100,000.00 180,682,100.88 1.48%

ESCROW GM CORP SR CONV 06/01/2009 51,162.00 0.05 0.00%

ESCROW GM CORP SR CONV 06/01/2009 687,114.00 0.69 0.00%

EUR/USD CALL 12/09/2016 273.00 160,387.50 0.00%

EURODOLLAR 09/19/2016 782.00 4,887.50 0.00%

EURODOLLAR 12/19/2016 1,381.00 8,631.25 0.00%

Exco Resources, Inc Senior Secured 2-LX148807 5,234,400.00 3,284,586.00 0.03%

FAGE 5.625% 08/26 2,364,000.00 2,443,785.00 0.02%

S-408-865-716 Page 18 01-Sep-2016 02:09:56



FANNIE MAE FLT 04/28 16,199,000.00 17,569,409.48 0.14%

FERRELLGAS 6.75% 01/22 346,000.00 324,375.00 0.00%

FERRELLGAS LP 6.5% 05/21 4,917,000.00 4,634,272.50 0.04%

FGI 7.875% 05/20 8,540,000.00 7,109,550.00 0.06%

FGI Operating Co TLB-LX123710 5,598,411.88 5,094,554.81 0.04%

FHLMC REMICS 3171 OJ ZEROCPN 15/JUN/2036 627,034.55 568,435.98 0.00%

FHLMC REMICS 3737 LI 4.5% 15/MAY/2024 5,397,454.14 178,924.53 0.00%

FHLMC REMICS 3850 LS VARIABLE 15/MAY/2039 7,736,978.47 468,653.54 0.00%

FHLMC REMICS 3962 KS VARIABLE 15/JUN/2038 15,091,704.48 1,070,875.66 0.01%

FHLMC REMICS 3997 HS FLOATING 15/MAR/2038 14,867,568.49 1,053,979.77 0.01%

FHLMC REMICS 4013 SB FLOATING 15/MAR/2042 7,650,637.89 1,647,180.81 0.01%

FHLMC REMICS 4057 BS FLOATING 15/SEP/2039 18,092,737.95 1,961,200.32 0.02%

FHLMC REMICS 4057 CS FLOATING 15/APR/2039 14,219,278.00 1,654,475.56 0.01%

FHLMC REMICS 4057 SA FLOATING 15/APR/2039 122,599,002.71 12,159,295.53 0.10%

FHLMC REMICS 4073 AS FLOATING 15/AUG/2038 23,823,307.91 2,500,513.46 0.02%

FHLMC REMICS 4083 MS FLOATING 15/MAY/2039 33,133,763.81 3,940,253.94 0.03%

FHLMC REMICS 4093 SD FLOATING 15/JAN/2038 27,936,721.12 4,491,551.48 0.04%

FHLMC REMICS 4097 TS FLOATING 15/MAY/2039 34,354,348.09 4,423,867.81 0.04%

FHLMC REMICS 4099 BS FLOATING 15/JUN/2039 17,949,555.33 2,268,346.34 0.02%

FHLMC REMICS 4100 KJ 3.5% 15/AUG/2042 1,084,432.33 1,091,888.24 0.01%

FHLMC REMICS 4102 SW FLOATING 15/MAY/2039 8,892,203.50 1,341,312.43 0.01%

FHLMC REMICS 4113 JS FLOATING 15/JUL/2039 7,877,218.02 958,767.71 0.01%

FHLMC REMICS 4116 MS FLOATING 15/NOV/2039 11,894,566.09 1,962,147.84 0.02%

FHLMC REMICS 4123 SA FLOATING 15/SEP/2039 8,990,395.83 1,187,277.97 0.01%

FHLMC REMICS 4132 SE FLOATING 15/DEC/2040 8,711,659.97 1,338,874.11 0.01%

FHLMC REMICS 4136 SA FLOATING 15/DEC/2039 10,587,837.90 1,415,314.41 0.01%

FHLMC REMICS 4174 SA FLOATING 15/MAY/2039 61,731,354.13 8,507,605.34 0.07%

FHLMC REMICS 4199 SD FLOATING 15/JUN/2039 36,126,326.85 4,618,364.34 0.04%

FHLMC REMICS 4229 AS FLOATING 15/DEC/2038 12,929,462.26 1,379,723.60 0.01%

FHLMC REMICS 4267 CI 4% 15/MAY/2039 16,259,838.57 1,476,460.01 0.01%

FIAT 5.25% 04/23 5,375,000.00 5,544,312.50 0.05%

FIAT CHRYSLER 4.5% 04/20 6,674,000.00 6,840,850.00 0.06%

S-408-865-716 Page 19 01-Sep-2016 02:09:56



FIELDSTONE FLT 07/36 4,605,385.37 2,708,102.00 0.02%

Fieldwood Energy CD TL 2L-LX132457 11,650,000.00 4,194,000.00 0.03%

FIRST DATA 5.375% 08/23 23,114,000.00 23,980,775.00 0.20%

FIRST DATA 5.75% 01/24 48,937,000.00 50,099,253.75 0.41%

FIRST DATA 6.75% 11/20 2,019,000.00 2,099,760.00 0.02%

First Data Corp 2021 Dollar TL-LX135219 12,904,670.05 12,964,418.67 0.11%

FIRST DATA CORP 5% 01/24 15,248,000.00 15,514,840.00 0.13%

FIRST DATA CORP 7% 12/23 9,840,000.00 10,319,700.00 0.08%

FIRST DATA TL USD-LX145734 3,300,000.00 3,309,075.00 0.03%

FIRST FRANKLIN FLT 10/36 15,471,230.67 11,062,387.88 0.09%

FIRST FRANKLIN FLT 12/36 18,723,364.70 11,418,814.68 0.09%

FIRST HORIZON 5.75% 12/36 2,705,936.21 2,032,044.17 0.02%

FIRST HORIZON 6.25% 11/37 3,065,469.01 2,564,046.26 0.02%

FIRST HORIZON 6% 08/36 2,794,131.86 2,591,586.64 0.02%

Floatel International Ltd-LX137241 2,556,538.86 1,597,836.79 0.01%

Flying Fortress Inc New Loans-LX129047 11,800,833.33 11,830,335.41 0.10%

FMG 9.75% 03/22 351,000.00 405,405.00 0.00%

FMG Resources PTY Ltd Loan-LX133573 1,880,194.36 1,869,026.01 0.02%

FNMA INTEREST STRIP 366 18 4% 25/NOV/2020 772,571.45 34,227.26 0.00%

FNMA INTEREST STRIP 377 2 5% 25/OCT/2036 989,074.55 176,188.66 0.00%

FNMA INTEREST STRIP 379 2 5.5% 25/MAY/2037 1,206,075.36 211,897.66 0.00%

FNMA REMICS 2004-61 NS FLOATING 25/AUG/2034 1,331,577.06 270,075.79 0.00%

FNMA REMICS 2005-13 AS FLOATING 25/MAR/2035 1,315,449.12 203,190.98 0.00%

FNMA REMICS 2006-72 XI FLOATING 25/AUG/2036 873,751.36 160,022.23 0.00%

FNMA REMICS 2008-34 GS FLOATING 25/MAY/2038 1,230,971.34 212,264.02 0.00%

FNMA REMICS 2011-18 UA 4% 25/AUG/2038 2,391,290.76 2,399,697.34 0.02%

FNMA REMICS 2011-70 CL 3% 25/AUG/2026 184,949.80 185,159.44 0.00%

FNMA REMICS 2012-104 QS FLOATING 25/MAR/2039 10,051,225.18 1,394,421.55 0.01%

FNMA REMICS 2012-107 QS FLOATING 25/OCT/2040 9,165,632.47 1,542,334.89 0.01%

FNMA REMICS 2012-110 MS FLOATING 25/OCT/2042 8,856,680.09 1,797,689.07 0.01%

FNMA REMICS 2012-110 SB FLOATING 25/OCT/2032 15,503,926.70 3,096,126.41 0.03%

FNMA REMICS 2012-111 KS FLOATING 25/JAN/2040 4,594,334.35 581,079.46 0.00%

S-408-865-716 Page 20 01-Sep-2016 02:09:56



FNMA REMICS 2012-114 DS FLOATING 25/AUG/2039 21,691,241.26 2,765,982.49 0.02%

FNMA REMICS 2012-120 ES FLOATING 25/NOV/2039 22,279,994.67 3,690,977.44 0.03%

FNMA REMICS 2012-120 SE FLOATING 25/FEB/2039 29,098,654.67 4,370,699.41 0.04%

FNMA REMICS 2012-124 DS FLOATING 25/APR/2040 20,763,639.34 3,083,066.15 0.03%

FNMA REMICS 2012-124 LS FLOATING 25/JUL/2040 27,056,085.87 4,193,985.52 0.03%

FNMA REMICS 2012-137 CS FLOATING 25/AUG/2041 29,264,169.60 5,319,842.67 0.04%

FNMA REMICS 2012-20 JS FLOATING 25/OCT/2038 2,011,067.20 170,986.36 0.00%

FNMA REMICS 2012-73 LS FLOATING 25/JUN/2039 45,159,344.40 5,272,132.18 0.04%

FNMA REMICS 2012-74 AS FLOATING 25/MAR/2039 28,496,890.74 3,160,849.47 0.03%

FNMA REMICS 2012-84 QS FLOATING 25/SEP/2031 8,383,258.56 1,341,368.32 0.01%

FNMA REMICS 2012-84 SQ FLOATING 25/AUG/2032 7,683,585.08 1,550,734.95 0.01%

FNMA REMICS 2012-87 NS FLOATING 25/FEB/2039 30,087,204.14 3,779,268.76 0.03%

FNMA REMICS 2012-94 KS FLOATING 25/MAY/2038 24,394,121.12 3,953,303.95 0.03%

FNMA REMICS 2012-94 SL FLOATING 25/MAY/2038 21,344,855.60 3,493,740.91 0.03%

FNMA REMICS 2012-98 SA FLOATING 25/MAY/2039 28,968,287.63 3,937,175.57 0.03%

FNMA REMICS 2013-110 QI 3.5% 25/FEB/2037 4,331,207.08 240,474.68 0.00%

FNMA REMICS 2013-131 S FLOATING 25/JAN/2034 9,519,121.12 1,956,800.99 0.02%

FNMA REMICS 2013-9 SG FLOATING 25/MAR/2039 34,710,792.67 5,880,310.26 0.05%

FNMA REMICS 2014-61 SA VARIABLE 25/OCT/2044 49,356,444.08 3,191,516.00 0.03%

FOUR SEASONS PRIVATE 01/OCT/2016 37,500,000.00 37,500,000.00 0.31%

Fram Group/Prestone TL 1L-LX120520 1,804,351.42 1,704,137.74 0.01%

FREDDIE MAC FLT 02/24 15,955,000.00 16,354,787.63 0.13%

FREDDIE MAC FLT 08/24 917,449.43 925,249.68 0.01%

FREDDIE MAC FLT 08/24 3,640,000.00 3,762,709.50 0.03%

FREEPORT-MCM 3.875% 03/23 11,525,000.00 9,882,687.50 0.08%

FREEPORT-MCMO 3.55% 03/22 2,065,000.00 1,796,550.00 0.01%

FREEPORT-MCMO 4.55% 11/24 1,310,000.00 1,146,250.00 0.01%

FREEPORT-MCMO 5.45% 03/43 12,149,000.00 9,293,985.00 0.08%

FREEPORT-MCMOR 2.3% 11/17 702,000.00 689,715.00 0.01%

FREEPORT-MCMOR 3.1% 03/20 3,990,000.00 3,670,800.00 0.03%

FREEPORT-MCMOR 5.4% 11/34 631,000.00 492,180.00 0.00%

FREESCALE 6% 01/22 6,835,000.00 7,204,090.00 0.06%

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FREMONT HOME FLT 08/36 10,588,673.62 4,458,479.62 0.04%

FREMONT HOME FLT 08/36 31,505,193.84 12,980,495.87 0.11%

FRESENIUS 5.875% 01/22 6,170,000.00 7,018,375.00 0.06%

FRESH MARKET 9.75% 05/23 2,127,000.00 1,988,745.00 0.02%

FRONTIER 10.5% 09/22 4,110,000.00 4,472,193.75 0.04%

FRONTIER 11% 09/25 19,555,000.00 21,119,400.00 0.17%

FRONTIER 6.25% 09/21 2,100,000.00 2,048,172.00 0.02%

FRONTIER 6.875% 01/25 4,070,000.00 3,652,825.00 0.03%

FRONTIER 7.125% 03/19 15,200,000.00 16,378,000.00 0.13%

FRONTIER 8.125% 10/18 2,640,000.00 2,904,000.00 0.02%

FRONTIER 8.25% 04/17 1,987,000.00 2,056,545.00 0.02%

FRONTIER 8.5% 04/20 2,625,000.00 2,831,718.75 0.02%

FRONTIER 8.75% 04/22 5,447,000.00 5,678,497.50 0.05%

FRONTIER 9.25% 07/21 8,810,000.00 9,536,825.00 0.08%

GARDA WORLD 7.25% 11/21 9,597,000.00 8,757,262.50 0.07%

Garda World Security TB DD-LX133788 62,558.47 61,541.89 0.00%

Garda World Security TLB-LX133408 244,546.80 240,572.91 0.00%

GARDNER 6.875% 08/21 2,000,000.00 1,845,000.00 0.02%

Gardner Denver Inc USD TL-LX128915 2,713,966.31 2,573,599.97 0.02%

GATES GLOBAL 6% 07/22 3,195,000.00 3,035,250.00 0.02%

GCI INC 6.75% 06/21 17,843,000.00 18,422,897.50 0.15%

GCP APPLIED 9.5% 02/23 3,930,000.00 4,499,850.00 0.04%

GENER8 MARITIME INC WTS 17/05/17(TO SUB FOR ORD)USD 25,295.00 0.03 0.00%

GENERAL 4.25% 05/23 3,570,000.00 3,737,311.62 0.03%

GENERAL 4.75% 08/17 4,000,000.00 4,120,776.00 0.03%

GENERAL 4.875% 10/23 14,620,000.00 15,918,577.64 0.13%

GENERAL 5.75% 10/22 10,450,000.00 9,924,156.00 0.08%

GENERAL MOTORS CORP 1.5% 581,266.00 0.58 0.00%

GENERAL MOTORS CORP 1.5% 1,544,829.00 1.54 0.00%

GENERAL MTRS CORP DEB SR CONV B 1,533,390.00 1.53 0.00%

GENERAL MTRS CORP SR CV DEB-D 09 175,000.00 0.18 0.00%

GENERAL MTRS CORP WTS 169,832.00 0.17 0.00%

S-408-865-716 Page 22 01-Sep-2016 02:09:56



GENON 9.875% 10/20 15,075,000.00 10,627,875.00 0.09%

GEO GROUP 5.125% 04/23 305,000.00 272,212.50 0.00%

GEO GROUP 5.875% 01/22 5,290,000.00 4,999,050.00 0.04%

GEO GROUP 5.875% 10/24 1,570,000.00 1,413,000.00 0.01%

GEO GROUP 6% 04/26 2,795,000.00 2,505,018.75 0.02%

Global Knowledge-LX142821 1,359,300.00 1,345,707.00 0.01%

GLP CAPITAL 4.875% 11/20 4,280,000.00 4,579,600.00 0.04%

GMAC CAPITAL TRUST 02/40 155,600.00 3,930,456.00 0.03%

GNMA 2005-7 NL FLOATING 17/MAR/2033 620,465.64 61,994.63 0.00%

GNMA 2014-129 SK FLOATING 20/SEP/2044 14,378,757.14 2,528,770.45 0.02%

GNMA 2014-183 SG FLOATING 20/DEC/2044 12,392,937.98 2,083,390.44 0.02%

GNMA 2014-2 NS FLOATING 20/JAN/2044 6,273,532.28 1,128,159.90 0.01%

GNMA 2014-68 SK FLOATING 20/MAY/2044 8,579,366.99 1,500,998.86 0.01%

GNMA 2014-90 SA 1.09221% 20/OCT/2038 30,888,703.44 1,359,853.55 0.01%

GNMA 2014-98 SM FLOATING 20/JUL/2044 15,020,961.05 2,480,558.50 0.02%

GNMA 2015-80 MS FLOATING 20/JUN/2045 35,096,548.20 8,736,653.94 0.07%

Go Daddy Operating Co TL-LX137075 6,923,586.74 6,952,804.28 0.06%

GOODMAN 12.125% 07/18 11,270,000.00 5,578,650.00 0.05%

GOODYEAR 5.125% 11/23 4,933,000.00 5,154,985.00 0.04%

GOODYEAR 8.75% 08/20 2,160,000.00 2,605,500.00 0.02%

GOODYEAR TIRE & 5% 05/26 7,318,000.00 7,660,994.66 0.06%

GOODYEAR TIRE & 7% 05/22 12,825,000.00 13,658,625.00 0.11%

GRATON ECO DEVLPMNT AUTHRTY TLB-LX147039 3,664,227.04 3,671,115.79 0.03%

GRAY 7.5% 10/20 5,040,000.00 5,241,600.00 0.04%

GREAT LAKES 7.375% 02/19 10,865,000.00 10,715,606.25 0.09%

GREENPOINT FLT 10/45 3,648,992.79 2,955,286.05 0.02%

GRIFFON CORP 5.25% 03/22 2,570,000.00 2,582,850.00 0.02%

GRIFOLS 5.25% 04/22 6,425,000.00 6,714,125.00 0.06%

Grifols Worldwide Tranche B TL-LX135831 8,250,100.00 8,305,788.18 0.07%

GSAA HOME FLT 03/47 9,266,572.49 4,541,011.57 0.04%

GSAMP TRUST 2006-FM1 2006-FM1 A1 FLOATING 25/APR/2036 18,600,142.38 13,150,708.01 0.11%

GSAMP TRUST FLT 03/47 31,788,228.54 27,322,751.71 0.22%

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GSAMP TRUST FLT 05/46 22,636,431.09 20,955,191.66 0.17%

GSAMP TRUST FLT 09/36 5,869,362.23 2,765,311.28 0.02%

GSAMP TRUST FLT 09/36 7,980,059.64 3,893,495.04 0.03%

GSCCRE FLT 08/32 24,430,000.00 23,705,435.52 0.19%

GSMSC FLT 04/37 2,761,485.88 2,589,325.19 0.02%

GSR MORTGAGE 5.75% 02/36 3,128,325.02 2,893,995.96 0.02%

GSR MORTGAGE 5.75% 03/36 2,455,712.98 2,265,823.25 0.02%

GSR MORTGAGE 6% 08/21 507,417.00 493,668.74 0.00%

GUITAR CENTER 6.5% 04/19 3,919,000.00 3,487,910.00 0.03%

Gulf Finance LLC/Team Loan B-LX154101 35,150,000.00 34,036,799.50 0.28%

H&E EQUIPMENT 7% 09/22 10,780,000.00 11,372,900.00 0.09%

HALCON 13% 02/22 26,008,000.00 14,434,440.00 0.12%

HALCON 8.625% 02/20 5,131,000.00 4,874,450.00 0.04%

HALCON RESOURCES CORP COMMON STOCK USD 0.0001 1,473.00 486.09 0.00%

HALCON RESOURCES CORP PUBLIC USD 1000 371.00 17,066.00 0.00%

HANESBRANDS 4.625% 05/24 3,100,000.00 3,243,375.00 0.03%

HANESBRANDS 4.875% 05/26 3,100,000.00 3,231,750.00 0.03%

HARBORVIEW FLT 11/36 9,309,928.29 6,755,754.12 0.06%

HARBORVIEW FLT 12/34 3,407,397.53 2,813,263.25 0.02%

HARLAND 6.875% 03/20 4,330,000.00 4,167,625.00 0.03%

HARLAND 9.75% 08/18 1,435,000.00 1,478,050.00 0.01%

Harland Clarke Tranche B4 TL-LX135265 1,472,438.04 1,439,308.18 0.01%

HARTFORD VAR 06/38 4,533,000.00 4,952,302.50 0.04%

HCA HOLDINGS 6.25% 02/21 3,740,000.00 4,048,550.00 0.03%

HCA INC 3.75% 03/19 4,046,000.00 4,172,437.50 0.03%

HCA INC 5.25% 04/25 5,418,000.00 5,804,032.50 0.05%

HCA INC 5.25% 06/26 4,945,000.00 5,284,968.75 0.04%

HCA INC 5.375% 02/25 32,660,000.00 33,733,860.80 0.28%

HCA INC 5.875% 02/26 21,485,000.00 22,728,551.80 0.19%

HCA INC 7.5% 02/22 38,386,000.00 43,821,457.60 0.36%

HCA INC CALLABLE NOTES FIXED 5% 15/MAR/2024 USD 1000 4,605,000.00 4,869,787.50 0.04%

HCA INC CALLABLE NOTES FIXED 8% 01/OCT/2018 USD 1000 2,225,000.00 2,489,218.75 0.02%

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HD SUPPLY 5.25% 12/21 10,554,000.00 11,246,553.48 0.09%

HD SUPPLY 5.75% 04/24 7,705,000.00 8,205,825.00 0.07%

HD SUPPLY INC 7.5% 07/20 7,892,000.00 8,217,545.00 0.07%

HEALTHSOUTH 5.75% 09/25 3,651,000.00 3,819,858.75 0.03%

HEALTHSOUTH 5.75% 11/24 4,350,000.00 4,510,950.00 0.04%

HEALTHSOUTH 7.75% 09/22 774,000.00 795,517.20 0.01%

Hearthside Group Holdings TL-LX136585 1,960,000.00 1,960,000.00 0.02%

HECLA 6.875% 05/21 10,635,000.00 10,714,762.50 0.09%

HERC RENTALS 7.5% 06/22 4,315,000.00 4,489,757.50 0.04%

HERC RENTALS 7.75% 06/24 8,065,000.00 8,427,925.00 0.07%

Hercules Achievement TL 1L-LX142296 11,119,640.97 11,147,440.07 0.09%

HERTZ 5.875% 10/20 3,430,000.00 3,554,337.50 0.03%

HERTZ 6.25% 10/22 12,491,000.00 13,178,005.00 0.11%

HERTZ 7.375% 01/21 9,696,000.00 10,095,960.00 0.08%

HEXION US 6.625% 04/20 41,551,000.00 36,019,730.88 0.30%

HEXION US 8.875% 02/18 7,430,000.00 6,981,971.00 0.06%

HILAND 7.25% 10/20 8,950,000.00 9,274,437.50 0.08%

HILCORP 5.75% 10/25 5,989,000.00 5,869,220.00 0.05%

HILCORP 7.625% 04/21 4,378,000.00 4,498,395.00 0.04%

HILCORP ENERGY 5% 12/24 8,057,000.00 7,815,290.00 0.06%

HILL-ROM 5.75% 09/23 3,640,000.00 3,822,000.00 0.03%

HILLMAN 6.375% 07/22 3,930,000.00 3,654,900.00 0.03%

Hillman Group Initial TL-LX137733 1,178,462.32 1,177,484.20 0.01%

HILTON 4.25% 09/24 1,810,000.00 1,843,937.50 0.02%

HILTON 5.625% 10/21 8,690,000.00 8,989,170.63 0.07%

Hilton Worldwide Finance TL-LX132801 3,349,424.33 3,358,501.27 0.03%

HOLOGIC INC 5.25% 07/22 7,605,000.00 8,089,818.75 0.07%

HOME EQUITY FLT 04/37 22,988,452.15 15,093,498.14 0.12%

HOME EQUITY FLT 07/37 21,730,150.32 13,316,514.26 0.11%

HOME EQUITY FLT 08/36 19,669,661.68 15,903,600.07 0.13%

HOME EQUITY FLT 11/34 1,237,455.97 1,142,437.29 0.01%

HOME EQUITY FLT 11/36 19,025,208.18 15,209,464.86 0.12%

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HRG GROUP 7.75% 01/22 3,611,000.00 3,732,871.25 0.03%

HRG GROUP 7.875% 07/19 22,511,000.00 23,805,382.50 0.20%

Hub Intl Ltd Initial TL-LX132571 5,940,230.81 5,916,113.47 0.05%

HUDBAY 9.5% 10/20 1,970,000.00 1,974,925.00 0.02%

HUDSON PRODUCTS HOLDINGS INC-LX135785 6,287,297.67 5,742,377.58 0.05%

HUGHES 5.25% 08/26 5,553,000.00 5,518,293.75 0.05%

HUGHES 6.625% 08/26 6,835,000.00 6,783,737.50 0.06%

HUNTINGTON 5% 11/25 709,000.00 761,288.75 0.01%

HUNTSMAN 4.875% 11/20 2,602,000.00 2,699,575.00 0.02%

HUNTSMAN 5.125% 11/22 11,382,000.00 11,751,915.00 0.10%

HYATT CENTRIC FUNDING, LLC 61,000,000.00 61,000,000.00 0.50%

IASIS 8.375% 05/19 23,019,000.00 20,860,968.75 0.17%

Iasis Healthcare LLC TL B2-LX128470 9,520,807.76 9,405,225.15 0.08%

ICAHN 4.875% 03/19 14,466,000.00 14,330,381.25 0.12%

ICAHN 6% 08/20 2,198,000.00 2,112,827.50 0.02%

IHEARTCOMMU 10.625% 03/23 4,010,000.00 2,957,375.00 0.02%

IHEARTCOMMUNICAT 9% 12/19 7,779,000.00 6,291,266.25 0.05%

iHeartCommunications TrD TL-LX130210 15,935,301.87 12,214,408.88 0.10%

iHeartCommunications TrE TL-LX134609 7,541,811.48 5,763,226.08 0.05%

ILFC E-CAPITAL FLT 12/65 14,629,000.00 11,849,490.00 0.10%

ILFC E-CAPITAL FLT 12/65 21,560,000.00 17,215,660.00 0.14%

IMPAC CMB TRUST FLT 10/34 2,899,201.53 2,666,563.22 0.02%

IMS HEALTH INC 6% 11/20 13,805,000.00 14,063,843.75 0.12%

INEOS GROUP 5.625% 08/24 10,465,000.00 10,438,837.50 0.09%

INEOS GROUP 5.875% 02/19 18,015,000.00 18,465,375.00 0.15%

INFINITY 7.25% 08/22 3,815,000.00 3,338,125.00 0.03%

INFOR 7.125% 05/21 13,833,000.00 12,968,437.50 0.11%

INFOR US INC 6.5% 05/22 26,263,000.00 26,624,116.25 0.22%

INFORMATICA 7.125% 07/23 7,920,000.00 7,484,400.00 0.06%

INGLES 5.75% 06/23 3,880,000.00 4,037,722.00 0.03%

Integra Telecom TLB1-LX144453 8,855,680.61 8,762,695.96 0.07%

INTELSAT 5.5% 08/23 23,619,000.00 16,119,967.50 0.13%

S-408-865-716 Page 26 01-Sep-2016 02:09:56



INTELSAT 7.25% 04/19 8,093,000.00 6,484,516.25 0.05%

INTELSAT 7.25% 10/20 38,731,000.00 30,113,352.50 0.25%

INTELSAT 7.5% 04/21 10,371,000.00 7,804,177.50 0.06%

INTELSAT 7.75% 06/21 11,713,000.00 3,455,335.00 0.03%

INTELSAT 8% 02/24 5,077,000.00 5,102,385.00 0.04%

INTERCONTINENTA ZERO 09/1 88,335,000.00 88,332,994.80 0.73%

INTERFACE 9.25% 01/18 4,821,000.00 4,893,315.00 0.04%

INTERGEN-LX130215 12,125,000.00 10,973,125.00 0.09%

INTERNATIONA 4.625% 04/21 4,490,000.00 4,761,645.00 0.04%

INTERNATIONA 5.875% 04/19 9,650,000.00 10,409,937.50 0.09%

INTERNATIONA 5.875% 08/22 1,408,000.00 1,591,040.00 0.01%

INTERNATIONAL 6.25% 02/22 7,250,000.00 7,811,875.00 0.06%

INTERNATIONAL 6.25% 05/19 5,065,000.00 5,511,733.00 0.05%

INTERNATIONAL 6.5% 02/25 9,540,000.00 10,341,360.00 0.08%

INTERVAL 5.625% 04/23 6,961,000.00 7,204,635.00 0.06%

Intrawest Operations Group TL-LX133866 2,812,143.32 2,821,817.09 0.02%

INVENTIV 10% 08/18 842,000.00 842,000.00 0.01%

INVENTIV 10% 08/18 1,503,000.00 1,503,000.00 0.01%

INVENTIV HEALTH 9% 01/18 12,200,000.00 12,627,000.00 0.10%

inVentiv Health Term Loan B4-LX139330 18,947,521.71 18,963,248.15 0.16%

INVENTIV HEALTH, INC. 10% 15/AUG/2018 3,876,757.00 4,022,135.39 0.03%

INVESCO DYNAMIC CREDIT 688,606.00 8,036,032.02 0.07%

INVESCO SENIOR INCOME TRUST CLOSED-END FUND USD 396,596.00 1,748,988.36 0.01%

IRON 4.375% 06/21 3,510,000.00 3,624,075.00 0.03%

IRON 5.375% 06/26 3,510,000.00 3,580,200.00 0.03%

IRON 5.75% 08/24 2,250,000.00 2,334,375.00 0.02%

IRON MOUNTAIN 6% 08/23 6,149,000.00 6,564,057.50 0.05%

IRON MOUNTAIN 6% 10/20 703,000.00 746,944.53 0.01%

IRS LIBO/0.8662 USD1217 15,200,000.00 23,084.49 0.00%

IRS LIBO/0.8875 USD1217 18,900,000.00 23,448.82 0.00%

IRS LIBO/1.3925 USD1016 14,907,000.00 (14,925.19) 0.00%

IRS LIBO/1.4562 USD0618 34,400,000.00 (266,900.80) 0.00%

S-408-865-716 Page 27 01-Sep-2016 02:09:56



IRS LIBO/1.541 USD1218 33,891,000.00 (366,426.32) 0.00%

IRS LIBO/3.9787 USD0424 30,000,000.00 (3,583,839.73) -0.03%

ISHARES IBOXX $ HIGH YIELD CORPORATE BOND ETF ETP USD 355,200.00 30,799,392.00 0.25%

ISLE OF 5.875% 03/21 11,250,000.00 11,742,187.50 0.10%

J Crew Group Initial Loan-LX135737 29,735,089.30 23,431,250.37 0.19%

JACK COOPER 10.5% 03/19 4,793,693.00 1,294,297.11 0.01%

JACK COOPER 9.25% 06/20 22,182,000.00 16,192,860.00 0.13%

JAGUAR LAND 4.125% 12/18 8,103,000.00 8,346,090.00 0.07%

JAGUAR LAND 4.25% 11/19 4,000,000.00 4,175,000.00 0.03%

JAGUAR LAND 5.625% 02/23 1,350,000.00 1,424,250.00 0.01%

JAMES 5.875% 02/23 5,940,000.00 6,192,450.00 0.05%

JB POINDEXTER & 9% 04/22 3,911,000.00 4,204,325.00 0.03%

JBS USA LLC 7.25% 06/21 13,900,000.00 14,317,000.00 0.12%

JBS USA LLC 8.25% 02/20 10,242,000.00 10,587,667.50 0.09%

JBS USA LUX 5.75% 06/25 1,000,000.00 1,016,005.00 0.01%

JBS USA LUX 5.875% 07/24 11,084,000.00 11,453,041.78 0.09%

JBS USA LUX 7.25% 06/21 2,573,000.00 2,650,190.00 0.02%

JC PENNEY 6.375% 10/36 9,160,000.00 7,694,400.00 0.06%

JC PENNEY 8.125% 10/19 357,000.00 384,221.25 0.00%

JONES ENERGY 6.75% 04/22 18,515,000.00 15,922,900.00 0.13%

JP MORGAN 5.5% 09/20 1,768,265.72 1,727,136.57 0.01%

JPMORGAN PRIME VAR 12/49 1,186,227,780.73 1,186,227,780.73 9.74%

KENNEDY-WILS 5.875% 04/24 2,332,000.00 2,355,320.00 0.02%

KFC HOLDING 5.25% 06/26 3,310,000.00 3,516,875.00 0.03%

KFC HOLDING 5% 06/24 4,983,000.00 5,225,771.76 0.04%

KILIMANJARO RE LTD BOND VARIABLE 30/APR/2018 USD 1000 15,950,000.00 16,146,185.00 0.13%

KINDER 3.05% 12/19 1,458,000.00 1,496,970.88 0.01%

KINDER MORGAN 2% 12/17 2,187,000.00 2,189,243.86 0.02%

KINDER MORGAN 6% 01/18 2,169,000.00 2,274,196.50 0.02%

KINDRED 8.75% 01/23 9,470,000.00 9,683,075.00 0.08%

KINETIC 7.875% 02/21 3,885,000.00 4,195,800.00 0.03%

KINETIC CONCEPTS INC / KCI USA INC VARIABLE 15,140,000.00 15,556,350.00 0.13%

S-408-865-716 Page 28 01-Sep-2016 02:09:56



KIZUNA RE II LTD BOND VARIABLE 06/APR/2018 USD 1000 1,000,000.00 1,001,100.00 0.01%

KLX INC 5.875% 12/22 8,815,000.00 9,251,342.50 0.08%

KRATOS DEFENSE 7% 05/19 7,437,000.00 6,786,262.50 0.06%

L BRANDS 6.625% 04/21 6,311,000.00 7,289,205.00 0.06%

L BRANDS INC 6.75% 07/36 6,160,000.00 6,618,920.00 0.05%

LANDRY'S 9.375% 05/20 1,102,000.00 1,159,855.00 0.01%

LANDRY'S INC TERM B 2,639,334.97 2,640,654.64 0.02%

LAREDO 5.625% 01/22 2,560,000.00 2,393,600.00 0.02%

LEAR CORP 5.25% 01/25 1,710,000.00 1,846,800.00 0.02%

LEHMAN MORTGAGE 5% 08/21 1,118,116.43 1,090,781.95 0.01%

LEHMAN XS TRUST FLT 12/36 888,550.53 918,487.75 0.01%

LENDER 5.75% 04/23 2,129,000.00 2,240,772.50 0.02%

LENNAR CORP 12.25% 06/17 6,355,000.00 6,839,568.75 0.06%

LENNAR CORP 4.5% 06/19 2,862,000.00 3,005,100.00 0.02%

LENNAR CORP 6.95% 06/18 2,000,000.00 2,155,000.00 0.02%

LEVEL 3 5.125% 05/23 944,000.00 980,580.00 0.01%

LEVEL 3 5.375% 01/24 10,559,000.00 11,073,751.25 0.09%

LEVEL 3 5.375% 05/25 11,281,000.00 11,845,050.00 0.10%

LEVEL 3 5.625% 02/23 5,815,000.00 6,091,212.50 0.05%

LEVEL 3 5.75% 12/22 4,935,000.00 5,157,075.00 0.04%

LEVEL 3 6.125% 01/21 704,000.00 730,400.00 0.01%

LEVEL 3 FLT 01/18 4,300,000.00 4,321,500.00 0.04%

LIBERTY 7.8% 03/37 5,831,000.00 6,763,960.00 0.06%

LIBERTY 8.25% 02/30 4,125,000.00 4,434,375.00 0.04%

LIFEPOINT 5.375% 05/24 702,000.00 720,427.50 0.01%

LIN 5.875% 11/22 2,811,000.00 2,972,632.50 0.02%

LIN 6.375% 01/21 3,700,000.00 3,866,500.00 0.03%

LIVE NATION 7% 09/20 1,615,000.00 1,677,581.25 0.01%

LMA SA & LMA ZERO 09/16 59,000,000.00 58,980,746.53 0.48%

LONG BEACH FLT 07/34 1,590,255.37 1,527,076.43 0.01%

LONG POINT RE FLT 05/18 1,100,000.00 1,119,470.00 0.01%

LSB 7.75% 08/19 11,180,000.00 11,515,400.00 0.09%

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LSTAR FLT 01/20 21,688,340.78 21,466,028.78 0.18%

LSTAR FLT 01/20 21,950,327.06 21,638,601.69 0.18%

LSTAR FLT 03/20 11,797,661.14 11,588,440.24 0.10%

LSTAR FLT 04/20 5,813,535.05 5,733,598.94 0.05%

LSTAR FLT 05/20 12,640,937.53 12,392,075.39 0.10%

LSTAR FLT 07/20 3,470,115.36 3,387,700.12 0.03%

LSTAR FLT 12/21 5,516,098.54 5,447,147.31 0.04%

LSTAR SECURITIES INVESTMENT TRUST 2014-- 1 NOTE 16,095,579.31 15,954,742.99 0.13%

LTF MERGER 8.5% 06/23 9,130,000.00 9,198,475.00 0.08%

LUNDIN 7.875% 11/22 4,905,000.00 5,248,350.00 0.04%

LUNDIN MINING 7.5% 11/20 3,500,000.00 3,692,500.00 0.03%

MAGNACHIP 6.625% 07/21 8,312,000.00 7,543,140.00 0.06%

MALLINCKRODT 3.5% 04/18 5,000,000.00 5,006,250.00 0.04%

MALLINCKRODT 4.875% 04/20 6,880,000.00 7,034,800.00 0.06%

MALLINCKRODT 5.5% 04/25 7,945,000.00 7,825,825.00 0.06%

MALLINCKRODT 5.625% 10/23 9,690,000.00 9,726,337.50 0.08%

MANITOWOC 9.5% 02/24 2,480,000.00 2,802,400.00 0.02%

MARINE PARK CLO LTD 2012-1A SUB 0% 18/MAY/2023 25,850,000.00 11,115,500.00 0.09%

MARTIN 7.25% 02/21 2,879,000.00 2,731,451.25 0.02%

MASONITE 5.625% 03/23 3,066,000.00 3,249,960.00 0.03%

MASTEC INC 4.875% 03/23 1,000,000.00 1,000,000.00 0.01%

MASTR 5.5% 01/35 206,959.44 206,668.37 0.00%

MASTR 5.75% 08/35 3,539,852.47 3,041,858.59 0.02%

MASTR 6% 06/34 2,044,582.16 2,059,018.95 0.02%

MASTR ASSET FLT 04/36 26,629,971.85 11,177,416.73 0.09%

MASTR ASSET FLT 10/36 12,890,876.75 7,588,012.21 0.06%

MASTR ASSET FLT 11/36 7,407,000.70 3,424,344.57 0.03%

MASTR ASSET FLT 11/36 9,497,058.06 4,426,597.76 0.04%

MATADOR 6.875% 04/23 4,196,000.00 4,332,370.00 0.04%

MATCH GROUP 6.375% 06/24 703,000.00 764,512.50 0.01%

MATCH GROUP 6.75% 12/22 7,731,000.00 8,223,851.25 0.07%

MATTAMY 6.875% 11/20 3,000,000.00 2,293,350.62 0.02%

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MATTAMY GROUP 6.5% 11/20 2,670,000.00 2,636,625.00 0.02%

Mauser (fka Pertus Sechzehnte GmbH)-LX138001 1,965,000.00 1,956,805.95 0.02%

Mauser (fka Pertus Sechzehnte GmbH)-LX138005 4,830,000.00 4,760,592.90 0.04%

MEG ENERGY 6.375% 01/23 8,540,000.00 6,661,200.00 0.05%

MEG ENERGY CORP 7% 03/24 11,884,000.00 9,566,620.00 0.08%

Meg Energy Corp New Term Loan-LX128471 10,097,580.51 9,267,660.37 0.08%

MEMORIAL 6.875% 08/22 12,810,000.00 6,340,950.00 0.05%

MEMORIAL 7.625% 05/21 10,274,000.00 5,239,740.00 0.04%

MERITAGE HOMES 7% 04/22 5,360,000.00 5,976,400.00 0.05%

MERRILL LYNCH FLT 04/47 9,601,902.82 5,283,794.62 0.04%

METROPCS 6.625% 11/20 9,442,000.00 9,748,865.00 0.08%

MGM 11.375% 03/18 1,090,000.00 1,228,975.00 0.01%

MGM GROWTH 4.5% 09/26 2,950,000.00 2,948,156.25 0.02%

MGM GROWTH 5.625% 05/24 2,345,000.00 2,544,325.00 0.02%

MGM RESORTS 5.25% 03/20 9,160,000.00 9,771,430.00 0.08%

MGM RESORTS 6.625% 12/21 1,250,000.00 1,403,125.00 0.01%

MGM RESORTS 6.75% 10/20 13,100,000.00 14,639,250.00 0.12%

MGM RESORTS 6% 03/23 26,313,000.00 28,565,392.80 0.23%

MGM RESORTS 7.625% 01/17 8,368,000.00 8,556,280.00 0.07%

MGM RESORTS 7.75% 03/22 46,971,000.00 54,603,787.50 0.45%

MGM RESORTS 8.625% 02/19 875,000.00 989,843.75 0.01%

MICHAELS 5.875% 12/20 3,665,000.00 3,797,856.25 0.03%

Michaels Stores Term B Loan-LX128005 4,923,664.10 4,941,438.53 0.04%

MICRON 5.25% 01/24 11,206,000.00 10,724,029.94 0.09%

MICRON 5.25% 08/23 3,228,000.00 3,123,090.00 0.03%

MICRON 5.5% 02/25 5,534,000.00 5,361,062.50 0.04%

MICRON 5.625% 01/26 2,340,000.00 2,234,700.00 0.02%

MICRON 5.875% 02/22 1,654,000.00 1,666,405.00 0.01%

MICRON 7.5% 09/23 11,917,000.00 13,138,492.50 0.11%

MICROSEMI 9.125% 04/23 7,905,000.00 9,051,225.00 0.07%

MILACRON LLC 7.75% 02/21 8,110,000.00 8,474,950.00 0.07%

MITSUBISHI UFJ ZERO 12/16 103,550,000.00 103,285,463.92 0.85%

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MMC ENERGY INC BOND FIXED 8.875% 15/OCT/2020 USD 8,000,000.00 0.08 0.00%

MOLINA 5.375% 11/22 8,496,000.00 8,750,880.00 0.07%

MOMENTIVE 3.88% 10/21 8,000,000.00 6,611,600.00 0.05%

MORGAN STANLEY FLT 11/34 8,364,985.17 7,641,876.54 0.06%

MOTORS LIQUIDATION CO 505,128.00 0.51 0.00%

MPG HOLDCO 7.375% 10/22 10,165,000.00 10,476,252.30 0.09%

MPL 2 9.875% 08/18 2,686,000.00 2,753,150.00 0.02%

MPLX LP 4.875% 06/25 11,480,000.00 11,708,291.28 0.10%

MPLX LP 4.875% 12/24 2,790,000.00 2,852,083.08 0.02%

MPLX LP 5.5% 02/23 3,985,000.00 4,137,438.21 0.03%

MULTIPLAN INC/MPH Acqusition-LX152711 4,823,529.41 4,873,790.59 0.04%

NACC 6.5% 03/34 1,975,299.77 1,755,507.97 0.01%

NAKAMA RE LTD BOND VARIABLE 16/JAN/2019 USD 1000 2,000,000.00 1,997,800.00 0.02%

NAKAMA RE LTD BOND VARIABLE 29/SEP/2016 USD 1000 6,150,000.00 6,150,615.00 0.05%

NAPA NORTH AMERICAN TL-LX152070 1,806,235.79 1,819,782.56 0.01%

NATIONAL 9% 07/21 5,825,000.00 6,014,312.50 0.05%

NATIONAL FIN PARTNERS TL B 1L-LX139513 3,839,198.25 3,824,801.26 0.03%

National Mentor Hldgs TrB TL-LX134875 14,391,631.57 14,400,698.30 0.12%

NATIONSTAR 6.5% 07/21 7,522,000.00 7,164,705.00 0.06%

NATIONSTAR 7.875% 10/20 275,000.00 277,062.50 0.00%

NATIONSTAR 9.625% 05/19 1,221,000.00 1,278,997.50 0.01%

NATIONSTAR HOME FLT 06/37 16,915,585.79 14,493,373.71 0.12%

NAVIOS 8.125% 11/21 1,555,000.00 1,181,800.00 0.01%

NBTY INC 7.625% 05/21 2,205,000.00 2,254,612.50 0.02%

NCI BUILDING 8.25% 01/23 1,980,000.00 2,168,100.00 0.02%

NCR CORP 5.875% 12/21 495,000.00 518,512.50 0.00%

NCR CORP 6.375% 12/23 1,602,000.00 1,694,115.00 0.01%

NCR CORP CALLABLE NOTES FIXED 5% 15/JUL/2022 USD 1000 1,046,000.00 1,066,920.00 0.01%

NEBRASKA BOOK 15% 06/16 1,522,400.00 271,748.40 0.00%

NEBRASKA BOOK CO INC EQUITY WRT 29/JUN/2019 USD 1 142,166.00 0.14 0.00%

NEBRASKA BOOK HOLDINGS 66,344.00 0.07 0.00%

NEBRASKA BOOK HOLDINGS INC COMMON STOCK USD 93,029.00 7,442.32 0.00%

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NEIMAN 8.75% 10/21 8,330,000.00 6,768,125.00 0.06%

NEIMAN MARCUS 8% 10/21 3,890,000.00 3,328,673.00 0.03%

Neiman Marcus Group Other TL-LX135908 12,773,005.78 11,974,692.92 0.10%

NETFLIX INC 5.75% 03/24 5,750,000.00 6,210,000.00 0.05%

NEW 7.75% 06/26 940,000.00 949,400.00 0.01%

NEW 8.7% 05/30 5,840,000.00 5,956,800.00 0.05%

NEW CENTURY FLT 08/36 17,208,529.25 14,225,380.80 0.12%

NEW CENTURY VAR 11/33 28,797.17 29,441.44 0.00%

NEW GOLD INC 6.25% 11/22 7,465,000.00 7,707,612.50 0.06%

NEW YORK N Y FOR 5% 03/26 3,400,000.00 4,197,674.00 0.03%

NEWCASTLE FLT 04/37 18,749,050.18 15,700,368.38 0.13%

NEWCOT CL B 144A 14.00 553,449.96 0.00%

NEWFIELD 5.375% 01/26 5,000,000.00 5,025,000.00 0.04%

NEWFIELD 5.75% 01/22 4,935,000.00 5,120,062.50 0.04%

NEXSTAR 5.625% 08/24 2,202,000.00 2,246,040.00 0.02%

NEXSTAR 6.125% 02/22 3,720,000.00 3,850,200.00 0.03%

NEXSTAR 6.875% 11/20 12,080,000.00 12,593,400.00 0.10%

NGL ENERGY 5.125% 07/19 1,045,000.00 979,687.50 0.01%

NIELSEN CO 5.5% 10/21 4,890,000.00 5,097,825.00 0.04%

NIELSEN FINANCE 5% 04/22 19,181,000.00 19,705,983.97 0.16%

NII HOLDINGS INC COMMON STOCK 776,511.00 2,585,781.63 0.02%

NOKIA OYJ 5.375% 05/19 3,763,000.00 4,068,743.75 0.03%

NOMURA FLT 12/36 5,956,598.46 5,457,300.29 0.04%

NORANDA 11% 06/19 2,180,000.00 21,800.00 0.00%

NORTHERN OIL 8% 06/20 879,000.00 624,090.00 0.01%

NORTHWEST 7.027% 11/19 4,772,281.63 5,404,608.95 0.04%

NOVASTAR FLT 03/37 24,548,589.25 16,009,146.45 0.13%

NOVASTAR FLT 03/37 44,679,367.35 23,267,575.84 0.19%

NOVASTAR FLT 09/36 5,890,569.56 3,248,124.26 0.03%

NOVASTAR FLT 09/36 15,568,497.41 8,446,798.81 0.07%

NOVELIS 8.75% 12/20 11,478,000.00 12,023,205.00 0.10%

NOVELIS CORP 6.25% 08/24 2,045,000.00 2,131,912.50 0.02%

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Novolex/Hilex/Poly TL 1L/NVLX-LX142207 733,139.24 736,804.94 0.01%

NRG ENERGY 6.25% 07/22 4,345,000.00 4,437,331.25 0.04%

NRG ENERGY 6.625% 01/27 4,850,000.00 4,859,069.50 0.04%

NRG ENERGY 7.25% 05/26 9,122,000.00 9,473,197.00 0.08%

NRG ENERGY 7.625% 01/18 233,000.00 249,601.25 0.00%

NRG ENERGY 7.875% 05/21 878,000.00 915,315.00 0.01%

NRG ENERGY 8.25% 09/20 1,295,000.00 1,330,612.50 0.01%

NRG Holdings Inc.TLB-LX153092 1,843,000.00 1,840,401.37 0.02%

NUFARM 6.375% 10/19 4,687,000.00 4,745,587.50 0.04%

NUVEEN CREDIT STRATEGIES 1,670,100.00 14,112,345.00 0.12%

NUVEEN FLOATING RATE 499,245.00 5,406,823.35 0.04%

NWH ESCROW 7.5% 08/21 8,100,000.00 5,427,000.00 0.04%

NXP BV / 4.125% 06/21 4,690,000.00 4,905,740.00 0.04%

NXP BV / 4.625% 06/23 9,133,000.00 9,635,315.00 0.08%

NXP BV / 5.75% 02/21 7,830,000.00 8,162,775.00 0.07%

NXP BV / 5.75% 03/23 2,350,000.00 2,501,551.50 0.02%

OASIS 6.5% 11/21 6,284,000.00 5,796,990.00 0.05%

OASIS 6.875% 01/23 15,213,000.00 14,033,992.50 0.12%

OASIS 6.875% 03/22 7,596,000.00 7,064,280.00 0.06%

OASIS 7.25% 02/19 3,207,000.00 3,158,895.00 0.03%

OKLAHOMA CITY 5% 03/33 5,990,000.00 6,752,946.30 0.06%

OKLAHOMA CITY 5% 03/34 3,390,000.00 3,821,784.30 0.03%

On Semiconductor Corp. TLB-LX149318 2,081,000.00 2,106,637.92 0.02%

OPEN TEXT 5.625% 01/23 1,750,000.00 1,806,875.00 0.01%

OPTIMAS OE 8.625% 06/21 9,318,000.00 7,268,040.00 0.06%

OPTION ONE FLT 11/34 1,046,279.78 939,496.15 0.01%

ORBITAL ATK 5.25% 10/21 3,162,000.00 3,296,385.00 0.03%

Ortho-Clinical Diagnostics TL-LX137065 14,841,312.06 14,479,629.29 0.12%

OSHKOSH 5.375% 03/22 4,575,000.00 4,792,312.50 0.04%

OSHKOSH 5.375% 03/25 3,034,000.00 3,185,700.00 0.03%

PACTIV LLC 8.375% 04/27 4,895,000.00 5,396,737.50 0.04%

PARSLEY 6.25% 06/24 3,537,000.00 3,651,952.50 0.03%

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PARSLEY 7.5% 02/22 19,501,000.00 20,573,555.00 0.17%

PARTY CITY 6.125% 08/23 703,000.00 746,937.50 0.01%

PBF 6.875% 05/23 9,044,000.00 8,750,070.00 0.07%

PBF HOLDING CO 7% 11/23 3,633,000.00 3,453,166.50 0.03%

PEABODY ENERGY CORP-LX132557 4,862,500.00 3,344,719.25 0.03%

PELICAN RE LTD BOND VARIABLE 15/MAY/2017 USD 1000 2,000,000.00 2,039,400.00 0.02%

PENN 7.25% 04/19 4,881,000.00 1,952,400.00 0.02%

PENN VIRGINIA 8.5% 05/20 9,129,000.00 3,834,180.00 0.03%

PENSKE 5.5% 05/26 7,389,000.00 7,393,581.18 0.06%

PERFORMANCE 5.5% 06/24 1,065,000.00 1,106,268.75 0.01%

PET Acquisition Term Loan B1 Loan-LX150469 9,984,825.00 10,066,600.72 0.08%

PILGRIM'S 5.75% 03/25 3,877,000.00 4,003,002.50 0.03%

PINNACLE 5.875% 01/24 2,078,000.00 2,239,045.00 0.02%

Pinnacle Foods Finance LLC Term I Lo-LX154016 2,283,525.00 2,295,901.71 0.02%

Pinnacle Foods Finance TrG TL-LX129188 27,423,078.78 27,484,780.71 0.23%

Pinnacle Foods Finance TrH TL-LX132655 3,897,657.43 3,905,218.89 0.03%

PITNEY BOWES 5,000.00 5,140,625.00 0.04%

PLANTRONICS 5.5% 05/23 4,590,000.00 4,773,600.00 0.04%

POST 6.75% 12/21 8,820,000.00 9,470,475.00 0.08%

POST 7.75% 03/24 8,435,000.00 9,373,393.75 0.08%

POST HOLDINGS 5% 08/26 8,740,000.00 8,718,150.00 0.07%

POST HOLDINGS 6% 12/22 2,690,000.00 2,854,897.00 0.02%

POST HOLDINGS 8% 07/25 5,721,000.00 6,536,242.50 0.05%

PQ CORP 6.75% 11/22 5,569,000.00 5,903,140.00 0.05%

PRECISION 5.25% 11/24 4,177,000.00 3,508,680.00 0.03%

PRECISION 6.5% 12/21 589,000.00 546,297.50 0.00%

PRESTIGE 5.375% 12/21 3,500,000.00 3,622,500.00 0.03%

PRESTIGE 6.375% 03/24 1,385,000.00 1,478,487.50 0.01%

PRIME 9.25% 05/23 14,941,000.00 16,285,690.00 0.13%

PRIME MORTGAGE VAR 10/32 2,826,203.50 2,983,853.09 0.02%

PRINCE 11.5% 12/19 602,000.00 546,315.00 0.00%

PRUDENTIAL GLOBAL SHORT 681,367.00 10,561,188.50 0.09%

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PSSI/Packers Holdings LLC Term B-LX142148 1,149,495.00 1,152,368.74 0.01%

QEP 5.375% 10/22 3,000,000.00 2,970,000.00 0.02%

QEP 6.875% 03/21 2,816,000.00 2,944,128.00 0.02%

QUAD/GRAPHICS 7% 05/22 4,940,000.00 4,791,800.00 0.04%

QUAD/GRAPHICS INC COMMON STOCK USD 0.025 111.00 3,006.99 0.00%

QUEBECOR 15/OCT/2015 1,050,000.00 0.01 0.00%

QUEBECOR 5.75% 01/23 11,300,000.00 11,879,125.00 0.10%

QUEBECOR F CB 6.5% 08/27 2,650,000.00 0.03 0.00%

QUEBECOR WORLD CAP 6.125% BDS 2,565,000.00 0.03 0.00%

Quikrete Holdings Inc 1L-LX132085 4,645,758.80 4,658,116.52 0.04%

QWEST 6.875% 07/28 1,426,000.00 1,288,747.50 0.01%

QWEST 7.75% 02/31 10,386,000.00 10,009,507.50 0.08%

QWEST CORP BOND FIXED 7.25% 15/SEP/2025 USD 1000 1,000,000.00 1,081,205.00 0.01%

RADIO 8.375% 11/19 10,449,000.00 10,919,205.00 0.09%

RAIN CII CARBON 8% 12/18 3,628,000.00 3,510,090.00 0.03%

RALI SERIES 5.5% 04/22 368,603.43 374,415.09 0.00%

RALI SERIES 5.75% 12/21 527,254.79 492,978.59 0.00%

RALI SERIES 5% 03/20 637,888.50 641,648.34 0.01%

RALI SERIES 5% 08/18 1,855,878.54 1,856,389.83 0.02%

RALI SERIES 5% 11/18 1,002,975.71 1,010,173.46 0.01%

RANGE 4.875% 05/25 4,400,000.00 4,246,000.00 0.03%

RBR RALEIGH 7.98% 12/15 35,000,000.00 35,000,000.00 0.29%

RBSSP FLT 09/36 2,541,510.17 2,422,945.92 0.02%

RCN TELECOM 8.5% 08/20 2,125,000.00 2,265,781.25 0.02%

REALOGY 5.25% 12/21 4,844,000.00 5,074,090.00 0.04%

REGAL 5.75% 03/22 7,190,000.00 7,522,537.50 0.06%

REGAL 5.75% 06/23 1,900,000.00 1,947,500.00 0.02%

REGENCY 4.5% 11/23 3,382,000.00 3,418,633.82 0.03%

REGENCY 5.5% 04/23 3,175,000.00 3,283,727.88 0.03%

REGENCY 5.875% 03/22 1,300,000.00 1,426,068.80 0.01%

REGENCY ENERGY 5% 10/22 2,485,000.00 2,639,735.98 0.02%

REICHHOLD 9% 05/17 5,673,456.00 0.06 0.00%

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REICHHOLD CAYMAN EQUITY 9,431.00 6,035,840.00 0.05%

REICHHOLD INTERNATIONAL 12% 03/17 5,473,680.03 5,473,680.03 0.04%

REICHHOLD INTERNATIONAL 15% 03/17 4,926,315.02 4,926,315.02 0.04%

REICHHOLD, LLC 12% 03/17 2,495,000.00 2,495,000.00 0.02%

RENAISSANCE STEP 02/35 1,317,426.93 1,320,620.37 0.01%

RENAISSANCE STEP 02/36 314,804.52 311,008.76 0.00%

RESIDENTIAL 5% 08/19 200,678.28 200,571.18 0.00%

RESIDENTIAL FLT 01/46 24,004,952.83 11,341,749.69 0.09%

RESIDENTIAL FLT 04/36 7,293,261.42 4,166,570.96 0.03%

RESIDENTIAL FLT 06/17 1,000,000.00 1,033,100.00 0.01%

RESIDENTIAL FLT 06/18 1,500,000.00 1,519,350.00 0.01%

RESIDENTIAL FLT 12/16 3,200,000.00 3,188,480.00 0.03%

RESIDENTIAL FLT 12/16 17,000,000.00 16,940,500.00 0.14%

RESIDENTIAL FLT 12/17 7,000,000.00 7,023,100.00 0.06%

RESIDENTIAL FLT 12/18 1,750,000.00 1,758,575.00 0.01%

REVLON 5.75% 02/21 4,462,000.00 4,562,395.00 0.04%

REVLON 6.25% 08/24 1,960,000.00 2,033,500.00 0.02%

REVLON TL B L+350 7/22/23-LX153860 2,478,061.95 2,474,344.86 0.02%

Rexnord LLC/RBS Global TL B-LX131834 9,286,114.42 9,282,678.56 0.08%

REYNOLDS 5.75% 10/20 11,055,000.00 11,386,650.00 0.09%

REYNOLDS 6.875% 02/21 15,547,000.00 16,130,012.50 0.13%

REYNOLDS 8.25% 02/21 3,900,000.00 4,056,000.00 0.03%

REYNOLDS 9.875% 08/19 7,391,000.00 7,603,491.25 0.06%

REYNOLDS GROUP 7% 07/24 12,326,000.00 13,204,227.50 0.11%

REYNOLDS GROUP FLT 07/21 10,195,000.00 10,347,925.00 0.08%

REYNOLDS GROUP USD TL L+325 2/-LX153887 11,118,011.40 11,128,462.33 0.09%

RFMSI SERIES 2007-S2 TRUST 2007-S2 A4 6% 25/FEB/2037 1,577,324.67 1,477,650.21 0.01%

RFMSI SERIES 5.75% 12/36 5,487,456.86 4,973,735.42 0.04%

RFMSI SERIES 6.25% 09/36 4,831,498.28 4,440,313.61 0.04%

RFMSI SERIES 6% 10/36 3,915,891.60 3,701,201.67 0.03%

RFMSI SERIES VAR 06/35 5,944,719.47 5,554,882.01 0.05%

RFMSI SERIES VAR 11/36 2,765,416.43 2,423,996.18 0.02%

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RHP HOTEL 5% 04/21 6,788,000.00 7,008,610.00 0.06%

RHP HOTEL 5% 04/23 4,580,000.00 4,660,150.00 0.04%

RICE ENERGY 7.25% 05/23 1,632,000.00 1,705,440.00 0.01%

RITE AID 6.125% 04/23 9,415,000.00 10,164,245.70 0.08%

Rite Aid Corp - TLB2L-LX130605 14,166,667.00 14,187,917.00 0.12%

Rite Aid Corp Tr1 TL 2L-LX128323 3,325,000.00 3,332,281.75 0.03%

RIVERBED 8.875% 03/23 10,730,000.00 11,507,925.00 0.09%

RIVERBED TECHNOLOGY B TERM LOAN-LX152765 7,618,244.08 7,661,744.25 0.06%

RIVERS 6.125% 08/21 1,335,000.00 1,375,050.00 0.01%

ROC Finance/JACK OHIO FINANCE-LX128904 6,267,255.53 6,114,522.51 0.05%

ROSE ROCK 5.625% 07/22 2,095,000.00 1,927,400.00 0.02%

ROSE ROCK 5.625% 11/23 7,360,000.00 6,697,600.00 0.06%

ROYAL 7.25% 03/18 9,569,000.00 10,310,597.50 0.08%

ROYAL 7.5% 10/27 427,000.00 515,602.50 0.00%

ROYAL BANK 4.35% 01/17 4,500,000.00 5,094,817.82 0.04%

ROYAL BANK 6.125% 12/22 17,655,000.00 18,855,840.14 0.15%

ROYAL BANK OF 6.1% 06/23 1,145,000.00 1,215,799.93 0.01%

ROYAL BANK OF 6% 12/23 3,499,000.00 3,701,018.26 0.03%

ROYAL BANK OF VAR 1,315,000.00 1,339,656.25 0.01%

ROYAL BANK OF VAR 03/22 16,150,000.00 16,723,292.70 0.14%

RR DONNELLEY & 7% 02/22 2,139,000.00 2,228,570.63 0.02%

RR DONNELLEY 6.5% 11/23 476,000.00 481,950.00 0.00%

RREF II-HV PROSPECT PROPERTY OWNER, LLC 35,000,000.00 35,000,000.00 0.29%

RSI HOME 6.5% 03/23 9,975,000.00 10,523,625.00 0.09%

RSP PERMIAN 6.625% 10/22 6,599,000.00 6,862,960.00 0.06%

SABINE OIL & GAS / NFR ENERGY-LX127711 3,022,941.54 94,466.92 0.00%

SABINE PASS 5.625% 02/21 550,000.00 577,500.00 0.00%

SABINE PASS 5.625% 03/25 3,709,000.00 3,922,267.50 0.03%

SABINE PASS 5.625% 04/23 17,109,000.00 18,007,222.50 0.15%

SABINE PASS 5.75% 05/24 12,075,000.00 12,829,687.50 0.11%

SABINE PASS 5.875% 06/26 2,730,000.00 2,921,100.00 0.02%

SABINE PASS 6.25% 03/22 9,276,000.00 9,925,320.00 0.08%

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SABRE GLBL 5.25% 11/23 4,449,000.00 4,582,470.00 0.04%

SABRE GLBL 5.375% 04/23 6,545,000.00 6,765,893.75 0.06%

SALLY 5.5% 11/23 1,430,000.00 1,522,950.00 0.01%

SALLY 5.625% 12/25 5,160,000.00 5,588,280.00 0.05%

SALLY 5.75% 06/22 935,000.00 975,906.25 0.01%

SAMSON BOND 15/AUG/2014 15/FEB/2020 FIXED 9.75% 33,231,000.00 1,329,240.00 0.01%

SANCHEZ 6.125% 01/23 34,470,000.00 27,231,300.00 0.22%

SANCHEZ 7.75% 06/21 1,085,000.00 943,950.00 0.01%

SANDERS RE LTD BOND VARIABLE 05/MAY/2017 USD 1000 9,900,000.00 9,933,660.00 0.08%



SANDRIDGE 8.75% 06/20 17,270,000.00 6,778,475.00 0.06%

SANMINA 4.375% 06/19 1,085,000.00 1,132,468.75 0.01%

SAPPI PAPIER 7.75% 07/17 700,000.00 716,380.00 0.01%

SAXON ASSET STEP 05/31 1,763,000.60 1,739,711.71 0.01%

SBA 4.875% 09/24 5,515,000.00 5,590,831.25 0.05%

SBA 5.75% 07/20 2,218,000.00 2,281,767.50 0.02%

SCHAEFFLER 4.25% 05/21 4,490,000.00 4,602,250.00 0.04%

SCHAEFFLER 4.75% 05/23 3,240,000.00 3,369,600.00 0.03%

SCIENTIFIC 10% 12/22 9,741,000.00 9,010,425.00 0.07%

SCIENTIFIC 7% 01/22 4,095,000.00 4,350,937.50 0.04%

SCOTTS 6% 10/23 3,995,000.00 4,269,656.25 0.04%

SCOUT HARBOR COMMERCIAL MBS X1 VARIABLE 01/JAN/2017 39,157,430.61 39,157,430.61 0.32%

SEA TRUCKS 9% 03/18 9,309,848.00 2,827,866.33 0.02%

Seadrill Operating LP TL-LX135384 13,655,632.19 6,543,369.28 0.05%

SEALED AIR 5.125% 12/24 1,500,000.00 1,605,000.00 0.01%

SEALED AIR 6.5% 12/20 3,000,000.00 3,427,500.00 0.03%

Sears Roebuck Acceptance 1L-LX151990 500,000.00 499,375.00 0.00%

Sears Roebuck TL (KMart Corporation)-LX147794 13,459,768.93 13,039,151.15 0.11%

SECURITIZED FLT 01/37 5,148,033.57 3,280,635.36 0.03%

SECURITIZED FLT 09/36 16,306,034.43 11,060,479.36 0.09%

SECURITIZED FLT 09/36 23,718,031.39 11,569,890.52 0.10%

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SEMGROUP CORP 7.5% 06/21 2,500,000.00 2,512,500.00 0.02%

SEMINOLE 5.875% 05/21 7,660,000.00 7,717,450.00 0.06%

SENSATA 4.875% 10/23 3,020,000.00 3,118,150.00 0.03%

SENSATA 5% 10/25 3,812,000.00 3,945,420.00 0.03%

SENSATA 6.25% 02/26 10,715,000.00 11,746,318.75 0.10%

SERTA 8.125% 10/20 21,821,000.00 22,748,392.50 0.19%

Serta Simmons Holdings TL-LX125703 3,421,088.27 3,431,351.53 0.03%

SERVICE 5.375% 05/24 1,630,000.00 1,748,175.00 0.01%

SERVICE CORP 7.5% 04/27 8,670,000.00 10,143,900.00 0.08%

SERVICE CORP 8% 11/21 1,900,000.00 2,246,750.00 0.02%

SEVEN 8.25% 05/20 9,228,000.00 9,816,285.00 0.08%

SFR GROUP 7.375% 05/26 5,695,000.00 5,880,087.50 0.05%

SFR GROUP SA 6.25% 05/24 5,291,000.00 5,330,682.50 0.04%

SFR GROUP SA 6% 05/22 29,275,000.00 29,919,050.00 0.25%

SG MORTGAGE FLT 02/36 13,758,485.35 7,921,688.71 0.07%

SHELF 8.625% 11/18 2,800,000.00 2,247,000.00 0.02%

Shelf Drilling Midco Ltd TL-LX132912 3,390,000.00 1,898,400.00 0.02%

SHERATON NEEDHAM HOTEL 41,500,000.00 41,500,000.00 0.34%

SHINGLE 9.75% 09/21 4,418,000.00 4,837,710.00 0.04%

SIGNODE 6.375% 05/22 2,000,000.00 2,040,000.00 0.02%

SIMMONS 7.875% 10/21 12,440,000.00 12,284,500.00 0.10%

SINCLAIR 5.125% 02/27 2,050,000.00 2,065,375.00 0.02%

SINCLAIR 5.625% 08/24 2,300,000.00 2,395,680.00 0.02%

SINCLAIR 5.875% 03/26 707,000.00 751,187.50 0.01%

SINCLAIR 6.125% 10/22 12,610,000.00 13,335,075.00 0.11%

Sinclair TV New Tranche B TL-LX118445 1,838,350.77 1,836,052.83 0.02%

SIRIUS XM 4.25% 05/20 3,935,000.00 4,013,700.00 0.03%

SIRIUS XM 5.375% 04/25 15,041,000.00 15,755,447.50 0.13%

SIRIUS XM 5.375% 07/26 4,460,000.00 4,588,225.00 0.04%

SIRIUS XM 5.75% 08/21 3,904,000.00 4,079,680.00 0.03%

SIRIUS XM 5.875% 10/20 2,805,000.00 2,896,162.50 0.02%

SIRIUS XM RADIO 6% 07/24 14,474,000.00 15,541,457.50 0.13%

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SIX FLAGS 4.875% 07/24 2,260,000.00 2,305,200.00 0.02%

SkillSoft-Evergreen Skills TL 2L-LX136503 6,995,000.00 3,637,400.00 0.03%

Skillsoft-Evergreen Skills-LX136501 12,034,412.24 10,056,315.90 0.08%

SM ENERGY 5.625% 06/25 3,110,000.00 2,907,850.00 0.02%

SM ENERGY 6.125% 11/22 1,430,000.00 1,390,675.00 0.01%

SM ENERGY CO 5% 01/24 3,000,000.00 2,748,750.00 0.02%

SM ENERGY CO 6.5% 01/23 3,250,000.00 3,185,000.00 0.03%

SMITHFIELD 5.25% 08/18 8,147,000.00 8,228,470.00 0.07%

SMITHFIELD 5.875% 08/21 4,898,000.00 5,118,410.00 0.04%

SMITHFIELD 6.625% 08/22 9,125,000.00 9,672,500.00 0.08%

SMITHFIELD 7.75% 07/17 1,227,000.00 1,277,613.75 0.01%

SOFTBANK 4.5% 04/20 7,651,000.00 7,957,040.00 0.07%

SOTHEBY'S 5.25% 10/22 1,054,000.00 1,038,190.00 0.01%

SOUNDVIEW HOME FLT 06/37 17,465,681.44 11,400,877.26 0.09%

SOUTHWESTERN 7.5% 02/18 2,317,000.00 2,435,746.25 0.02%

SOUTHWESTERN ENERGY CO COMMON STOCK USD 0.01 41,616.00 578,878.56 0.00%

SOUTHWESTERN ENERGY CO PUBLIC USD 50 280,000.00 9,016,000.00 0.07%

SPDR BARCLAYS HIGH YIELD BOND ETF ETP USD 1,798,849.00 65,729,942.46 0.54%

SPECTRUM 5.75% 07/25 2,985,000.00 3,234,993.75 0.03%

SPECTRUM 6.375% 11/20 5,612,000.00 5,829,465.00 0.05%

SPECTRUM 6.625% 11/22 1,400,000.00 1,498,000.00 0.01%

SPEEDY CASH 10.75% 05/18 4,720,000.00 3,315,800.00 0.03%

Spin Holdco Inc Initial TL 1L-LX129663 3,940,000.00 3,899,615.00 0.03%

SPRINGCASTLE 4.61% 10/27 12,814,000.00 12,794,457.37 0.11%

SPRINGLEAF 5.75% 09/16 830,000.00 830,000.00 0.01%

SPRINGLEAF 6.5% 09/17 2,358,000.00 2,452,320.00 0.02%

SPRINGLEAF VAR 06/58 3,025,000.00 3,028,672.96 0.02%

SPRINGLEAF VAR 06/58 3,994,000.00 4,024,286.90 0.03%

SPRINGLEAF VAR 06/58 6,820,000.00 6,837,123.66 0.06%

SPRINT 11.5% 11/21 13,472,000.00 15,156,000.00 0.12%

SPRINT 6.875% 11/28 11,537,000.00 10,322,038.53 0.08%

SPRINT 6.9% 05/19 22,936,000.00 23,165,360.00 0.19%

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SPRINT 8.75% 03/32 41,772,000.00 41,341,330.68 0.34%

SPRINT 9.125% 03/17 889,000.00 914,558.75 0.01%

SPRINT CORP 7.125% 06/24 7,527,000.00 7,018,927.50 0.06%

SPRINT CORP 7.25% 09/21 9,757,000.00 9,647,233.75 0.08%

SPRINT CORP 7.625% 02/25 14,595,000.00 13,824,238.05 0.11%

SPRINT CORP 7.875% 09/23 62,710,000.00 60,828,700.00 0.50%

SPRINT NEXTEL 6% 11/22 5,497,000.00 4,986,823.43 0.04%

SPRINT NEXTEL 6% 12/16 3,111,000.00 3,142,110.00 0.03%

SPRINT NEXTEL 7% 03/20 5,795,000.00 6,215,137.50 0.05%

SPRINT NEXTEL 7% 08/20 9,990,000.00 9,840,150.00 0.08%

SPRINT NEXTEL 9% 11/18 50,820,000.00 55,965,525.00 0.46%

SPX FLOW 5.625% 08/24 2,025,000.00 2,080,687.50 0.02%

SPX FLOW 5.875% 08/26 2,710,000.00 2,798,075.00 0.02%

STANDARD 10.75% 09/16 2,395,000.00 2,397,993.75 0.02%

STANDARD 8.375% 01/21 2,780,000.00 3,315,150.00 0.03%

Stardust Finance Sr Lien TL-LX143405 4,540,661.88 4,502,838.17 0.04%

STATION 7.5% 03/21 3,930,000.00 4,179,138.42 0.03%

STEEL 5.125% 10/21 3,000,000.00 3,120,000.00 0.03%

STEEL 5.25% 04/23 1,500,000.00 1,560,000.00 0.01%

STEEL 5.5% 10/24 480,000.00 506,400.00 0.00%

STEEL 6.125% 08/19 2,560,000.00 2,643,200.00 0.02%

STEEL 6.375% 08/22 2,560,000.00 2,700,800.00 0.02%

Steinway Musical-LX132475 6,450,796.74 6,289,526.82 0.05%

STONEWALL GAS GATHERING-LX142860 321,485.64 327,111.64 0.00%

STRUCTURED 5.5% 10/35 1,243,828.91 1,266,485.88 0.01%

STRUCTURED ASSET 5% 05/35 234,695.44 235,717.75 0.00%

STRUCTURED FLT 07/36 20,435,291.02 11,854,416.27 0.10%

STRUCTURED FLT 09/35 6,824,999.99 6,136,265.35 0.05%

STRUCTURED VAR 11/33 6,060,979.26 6,219,682.37 0.05%

SUMITOMO MTSU 1.25% 02/1 100,000,000.00 100,002,296.00 0.82%

SUMMIT 6.125% 07/23 3,541,000.00 3,594,115.00 0.03%

SUN PRODUCTS 7.75% 03/21 704,000.00 731,280.00 0.01%

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Sun Products Corp TLB-LX128714 23,778,250.47 23,763,507.95 0.20%

SUNOCO LP / 6.25% 04/21 5,673,000.00 5,843,190.00 0.05%

SUPERVALU 7.75% 11/22 6,100,000.00 5,764,500.00 0.05%

Supervalu Inc New TL-LX129627 18,069,242.84 18,074,663.61 0.15%

SUTHERLAND ASSET MANAGEMENT CORP COMMON STOCK USD 66,667.00 700,003.50 0.01%

SYNIVERSE 9.125% 01/19 3,100,000.00 2,046,000.00 0.02%

SYNIVERSE HOLDIN VAR 23/APR/2019 5,558,728.18 4,929,924.85 0.04%

T-MOBILE 6.375% 03/25 6,200,000.00 6,665,000.00 0.05%

T-MOBILE 6.464% 04/19 3,099,000.00 3,160,980.00 0.03%

T-MOBILE 6.625% 04/23 5,309,000.00 5,664,012.83 0.05%

T-MOBILE 6.633% 04/21 19,152,000.00 20,061,720.00 0.16%

T-MOBILE 6.731% 04/22 25,142,000.00 26,430,527.50 0.22%

T-MOBILE 6.836% 04/23 7,785,000.00 8,349,412.50 0.07%

T-MOBILE USA 5.25% 09/18 4,551,000.00 4,646,288.84 0.04%

T-MOBILE USA 6.25% 04/21 5,346,000.00 5,579,887.50 0.05%

T-MOBILE USA 6.5% 01/24 1,405,000.00 1,510,375.00 0.01%

T-MOBILE USA 6% 04/24 708,000.00 754,020.00 0.01%

T-MOBILE USA INC 6.5% 01/15/2026 6,493,000.00 7,105,776.88 0.06%

TALEN 4.625% 07/19 2,565,000.00 2,411,100.00 0.02%

TARGA 4.125% 11/19 1,410,000.00 1,420,575.00 0.01%

TARGA 5.25% 05/23 925,000.00 938,875.00 0.01%

TARGA 6.75% 03/24 8,310,000.00 8,829,375.00 0.07%

TARGA RESOURCES 5% 01/18 2,852,000.00 2,909,040.00 0.02%

TASEKO MINES 7.75% 04/19 2,596,000.00 1,658,195.00 0.01%

TBA FNMA SINGLE FAMILY 30YR 3 9/16 36,560,000.00 37,913,860.67 0.31%

TECK 8.5% 06/24 2,237,000.00 2,516,625.00 0.02%

TECK RESOURCES 3% 03/19 3,045,000.00 2,953,650.00 0.02%

TECK RESOURCES 8% 06/21 575,000.00 622,437.50 0.01%

TEGNA INC 4.875% 09/21 1,345,000.00 1,395,437.50 0.01%

TEGNA INC 5.5% 09/24 965,000.00 1,018,075.00 0.01%

TEGNA INC 6.375% 10/23 2,905,000.00 3,144,662.50 0.03%

TELECOM 5.303% 05/24 5,960,000.00 6,138,800.00 0.05%

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TEMPUR 5.625% 10/23 7,254,000.00 7,616,700.00 0.06%

TEMPUR SEALY 5.5% 06/26 7,150,000.00 7,468,175.00 0.06%

TENET 4.5% 04/21 1,470,000.00 1,473,675.00 0.01%

TENET 4.75% 06/20 4,590,000.00 4,704,750.00 0.04%

TENET 5.5% 03/19 8,227,000.00 8,062,460.00 0.07%

TENET 5% 03/19 20,165,000.00 19,610,462.50 0.16%

TENET 6.75% 02/20 1,485,000.00 1,470,150.00 0.01%

TENET 6.75% 06/23 7,635,000.00 7,286,653.13 0.06%

TENET 6% 10/20 12,900,000.00 13,641,750.00 0.11%

TENET 8.125% 04/22 33,489,000.00 33,907,612.50 0.28%

TENET 8% 08/20 17,996,000.00 18,288,435.00 0.15%

TENNECO INC 5% 07/26 3,440,000.00 3,543,200.00 0.03%

TEREX CORP 6.5% 04/20 5,790,000.00 5,949,804.00 0.05%

TEREX CORP 6% 05/21 14,230,000.00 14,671,130.00 0.12%

TERRAFORM 5.875% 02/23 5,424,000.00 5,444,340.00 0.04%

TERRAFORM 6.125% 06/25 784,000.00 797,720.00 0.01%

TERRAFORM 9.75% 08/22 1,000,000.00 1,015,000.00 0.01%

TESORO 5.5% 10/19 2,265,000.00 2,412,225.00 0.02%

TESORO 5.875% 10/20 10,957,000.00 11,272,013.75 0.09%

TESORO 6.125% 10/21 1,470,000.00 1,539,825.00 0.01%

TESORO 6.25% 10/22 6,660,000.00 7,049,610.00 0.06%

TESORO 6.375% 05/24 2,405,000.00 2,567,337.50 0.02%

TESORO CORP 4.25% 10/17 2,075,000.00 2,124,281.25 0.02%

Texas Competitive 2017 TL Ext-LX118816 37,200,695.92 11,904,222.69 0.10%

TEXAS VAR 10/20 5,000,000.00 1,625,000.00 0.01%

THORNBURG VAR 09/37 3,351,028.06 3,412,133.72 0.03%

THORNBURG VAR 12/42 2,581,508.77 2,540,832.45 0.02%

TI GROUP 8.75% 07/23 7,810,000.00 8,141,925.00 0.07%

TIME INC 5.75% 04/22 7,945,000.00 7,835,756.25 0.06%

TOWERGATE FINANCE PRIVATE EQUITY A SHARES 1,136.00 14.92 0.00%

TRAMLINE RE II LTD BOND VARIABLE 07/JUL/2017 USD 1000 1,500,000.00 1,501,500.00 0.01%

TRANSDIGM 6.375% 06/26 2,531,000.00 2,581,620.00 0.02%

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TRANSDIGM INC 6.5% 05/25 8,515,000.00 8,813,025.00 0.07%

TRANSDIGM INC 6% 07/22 705,000.00 733,200.00 0.01%

TREEHOUSE 4.875% 03/22 703,000.00 729,362.50 0.01%

TREEHOUSE FOODS 6% 02/24 2,615,000.00 2,853,618.75 0.02%

TRIANGLE USA 6.75% 07/22 4,014,000.00 963,360.00 0.01%

Tribune Media Co TL-LX145376 8,918,376.41 8,935,142.96 0.07%

TRINIDAD 7.875% 01/19 4,217,000.00 3,879,640.00 0.03%

TRINSEO 6.75% 05/22 2,910,000.00 3,070,050.00 0.03%

TRIUMPH 4.875% 04/21 12,053,000.00 11,601,012.50 0.10%

TUTOR 7.625% 11/18 2,807,000.00 2,835,070.00 0.02%

TXU DIP TL B NEW L+400 07/27/2-LX153036 4,678,071.43 4,688,597.09 0.04%

TXU DIP TL C NEW L+400 07/27/2-LX153042 1,066,928.57 1,069,329.16 0.01%

TXU Non Ext TL-LX118871 24,804,999.81 7,807,373.69 0.06%

UCI 8.625% 02/19 11,587,000.00 2,491,205.00 0.02%

UFC Holdings LLC First Lien TL-LX153867 15,701,000.00 15,732,402.00 0.13%

ULTRA PETROLEUM CORP CALLABLE NOTES FIXED 5.75% 4,001,000.00 3,320,830.00 0.03%

ULTRA PETROLEUM CORP CALLABLE NOTES FIXED 6.125% 3,000,000.00 2,445,000.00 0.02%

ULTRAPETROL 8.875% 06/21 13,329,000.00 2,665,800.00 0.02%

UNIFRAX I LLC 7.5% 02/19 2,825,000.00 2,542,500.00 0.02%

UNITED RENTALS NORTH AMERICA INC CALLABLE NOTES FIXED 4 7,625,000.00 7,800,756.25 0.06%






UNITED STATES CELLULAR CORP CALLABLE NOTES FIXED 6.7% 1 5,820,000.00 5,703,600.00 0.05%

UNITED STATES OF AMERICA BILL ZERO CPN 05/JAN/2017 USD 10,137,000.00 10,124,501.08 0.08%

UNITED STATES OF AMERICA BILL ZERO CPN 06/OCT/2016 USD 6,220,000.00 6,218,588.06 0.05%

UNITED STATES STEEL CORP CALLABLE NOTES FIXED 8.375% 01 4,388,000.00 4,771,950.00 0.04%

UNITYMEDIA 5% 01/25 4,245,000.00 4,425,412.50 0.04%

UNITYMEDIA 6.125% 01/25 2,941,000.00 3,154,222.50 0.03%

UNIVAR USA 6.75% 07/23 3,518,000.00 3,641,130.00 0.03%

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Univar USA TLB-LX145474 2,839,542.50 2,834,459.72 0.02%

UNIVISION 8.5% 05/21 3,595,000.00 3,738,800.00 0.03%

Univision Comm Inc Rep 1L TL-LX134926 29,268,610.66 29,251,927.55 0.24%

Univision Communications Inc.-LX129975 13,354,571.58 13,343,487.29 0.11%

UPCB 5.375% 01/25 3,440,000.00 3,534,600.00 0.03%

UPCB 6.875% 01/22 5,332,000.00 5,598,600.00 0.05%

US AIRWAYS 5.375% 11/21 3,331,969.72 3,448,588.66 0.03%

US CONCRETE 6.375% 06/24 2,498,000.00 2,604,165.00 0.02%

US FOODS 5.875% 06/24 2,495,000.00 2,613,512.50 0.02%

USG CORP 5.5% 03/25 2,076,000.00 2,252,460.00 0.02%

USG CORP 6.3% 11/16 3,565,000.00 3,596,193.75 0.03%

VALEANT 5.375% 03/20 8,170,000.00 7,700,225.00 0.06%

VALEANT 5.5% 03/23 409,000.00 355,830.00 0.00%

VALEANT 5.875% 05/23 24,968,000.00 21,971,840.00 0.18%

VALEANT 6.125% 04/25 16,490,000.00 14,490,587.50 0.12%

VALEANT 6.375% 10/20 7,000,000.00 6,685,000.00 0.05%

VALEANT 6.75% 08/18 1,054,000.00 1,057,056.60 0.01%

VALEANT 6.75% 08/21 7,485,000.00 7,120,106.25 0.06%

VALEANT 7.25% 07/22 20,905,000.00 19,755,225.00 0.16%

VALEANT 7.5% 07/21 52,926,000.00 52,016,202.06 0.43%

VALEANT 7% 10/20 7,275,000.00 7,093,125.00 0.06%

Valeant Pharma Term BF1 1L-LX143679 13,139,382.03 13,155,806.26 0.11%

VALVOLINE INC 5.5% 07/24 933,000.00 979,183.50 0.01%

VELOCITY VAR 04/46 5,668,000.00 5,756,647.52 0.05%

VELOCITY VAR 06/45 6,986,000.00 7,242,036.90 0.06%

VEREIT 4.125% 06/21 885,000.00 924,825.00 0.01%

VERISIGN 4.625% 05/23 1,958,000.00 2,002,055.00 0.02%

VERISIGN INC 5.25% 04/25 1,142,000.00 1,190,535.00 0.01%

VERITAS US 7.5% 02/23 3,935,000.00 3,816,950.00 0.03%

Vertis Ext TL-LX117269 13,737,521.66 0.14 0.00%

VICTORY ZERO 09/16 86,119,000.00 86,090,896.79 0.71%

VIDEOTRON 5.375% 06/24 11,088,000.00 11,656,260.00 0.10%

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VIRGIN 5.375% 04/21 8,041,500.00 8,363,160.00 0.07%

VIRGIN MEDIA 5.5% 01/25 1,485,000.00 1,525,837.50 0.01%

VIRGIN MEDIA 5.5% 08/26 715,000.00 747,175.00 0.01%

Virgin Media Investment TL-LX144654 3,366,606.17 3,366,134.85 0.03%

VISTA 5.875% 10/23 6,440,000.00 6,778,100.00 0.06%

VOYA PRIME RATE TRUST CLOSED-END FUND USD 451,700.00 2,375,942.00 0.02%

W&T OFFSHORE 8.5% 06/19 5,208,000.00 1,575,420.00 0.01%

WALDORF ASTORIA PARK CITY 7.3919% 01/JUN/2017 13,953,979.43 13,953,979.43 0.11%

WAMU FLT 04/37 24,618,585.08 12,181,568.86 0.10%

WAMU FLT 07/47 26,125,075.72 16,677,587.38 0.14%

WASHINGTON 5.5% 10/35 226,136.91 211,219.99 0.00%

WASHINGTON FLT 09/35 3,241,093.63 2,464,925.28 0.02%

WEATHERFORD 7.75% 06/21 895,000.00 879,337.50 0.01%

WEATHERFORD 7% 03/38 461,000.00 346,902.50 0.00%

WEATHERFORD 8.25% 06/23 7,853,000.00 7,718,556.64 0.06%

WELLCARE 5.75% 11/20 4,265,000.00 4,408,943.75 0.04%

WELLS 6.75% 02/20 1,128,000.00 1,164,660.00 0.01%

WELLS FARGO 5.5% 02/35 2,455,672.74 2,551,116.39 0.02%

WELLS FARGO 5.5% 04/22 322,115.62 329,155.46 0.00%

WELLS FARGO 5.5% 11/21 646,985.80 655,803.12 0.01%

WELLS FARGO 5.75% 01/36 741,289.53 788,119.61 0.01%

WELLS FARGO 5% 09/36 2,896,276.97 2,721,505.77 0.02%

WELLS FARGO 6.5% 09/36 1,980,763.70 1,940,021.17 0.02%

WELLS FARGO 6% 07/37 2,951,648.44 2,948,031.49 0.02%

WELLS FARGO 6% 08/37 288,117.61 286,147.78 0.00%

WELLS FARGO 6% 08/37 1,431,597.50 1,415,491.88 0.01%

WELLS FARGO 6% 09/36 6,749.24 6,520.93 0.00%

WELLS FARGO 6% 09/36 3,508,544.08 3,389,859.86 0.03%

WEST CORP 4.75% 07/21 2,350,000.00 2,397,470.00 0.02%

WESTERN 10.5% 04/24 20,714,000.00 23,406,820.00 0.19%

WESTERN 7.375% 04/23 9,865,000.00 10,703,525.00 0.09%

WESTERN 7.5% 02/23 6,164,000.00 6,318,100.00 0.05%

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WEX INC 4.75% 02/23 705,000.00 694,425.00 0.01%

WFCG COMMERCIAL FLT 11/29 23,371,694.90 22,511,410.86 0.18%

WHITEWAVE 5.375% 10/22 1,955,000.00 2,209,150.00 0.02%

WHITING 5.75% 03/21 2,310,000.00 2,055,900.00 0.02%

WHITING 5% 03/19 6,165,000.00 5,702,625.00 0.05%

WHITING 6.25% 04/23 4,320,000.00 3,780,000.00 0.03%

WILLIAMS 6.125% 07/22 6,946,000.00 7,221,631.17 0.06%

WILLIAMS 7.875% 09/21 3,520,000.00 4,100,800.00 0.03%

Wilton Brands TLB-LX125437 13,285,986.82 10,960,939.13 0.09%

WIND 4.75% 07/20 5,590,000.00 5,659,875.00 0.05%

WIND 7.375% 04/21 10,845,000.00 11,170,350.00 0.09%

WIND FLT 04/19 1,007,000.00 1,121,932.69 0.01%

WINDSTREAM 6.375% 08/23 4,585,000.00 4,166,618.75 0.03%

WINDSTREAM 7.5% 04/23 5,404,000.00 5,125,694.00 0.04%

WINDSTREAM 7.5% 06/22 8,261,000.00 7,951,212.50 0.07%

WINDSTREAM 7.75% 10/21 24,417,000.00 24,355,957.50 0.20%

WISE METALS 8.75% 12/18 3,915,000.00 4,032,450.00 0.03%

WMG 5.625% 04/22 1,655,000.00 1,725,337.50 0.01%

WMG 6.75% 04/22 7,350,000.00 7,818,562.50 0.06%

WMG ACQUISITION 5% 08/23 650,000.00 667,875.00 0.01%

WMG ACQUISITION 6% 01/21 6,845,000.00 7,101,687.50 0.06%

WMG Acquisition Tranche B TL-LX129728 4,956,778.43 4,939,974.95 0.04%

WPX ENERGY 5.25% 09/24 6,227,000.00 5,744,407.50 0.05%

WPX ENERGY 7.5% 08/20 704,000.00 722,920.00 0.01%

WPX ENERGY 8.25% 08/23 8,515,000.00 8,855,600.00 0.07%

WPX ENERGY INC 6% 01/22 3,668,000.00 3,567,130.00 0.03%

WR GRACE & 5.625% 10/24 610,000.00 658,800.00 0.01%

WYNN LAS 5.5% 03/25 24,990,000.00 25,239,900.00 0.21%

XLIT LTD CALLABLE 10/49 28,409.00 22,230,042.50 0.18%

XPO 6.125% 09/23 1,970,000.00 2,024,175.00 0.02%

XPO LOGISTICS 6.5% 06/22 8,715,000.00 9,052,706.25 0.07%

ZAYO GROUP 6.375% 05/25 8,950,000.00 9,444,129.50 0.08%

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ZAYO GROUP LLC 6% 04/23 23,256,000.00 24,186,240.00 0.20%

ZEBRA 7.25% 10/22 15,843,000.00 17,189,655.00 0.14%

ZEKELMAN 9.875% 06/23 10,907,000.00 11,670,490.00 0.10%

Zep-LX144963 11,330,083.68 11,337,221.63 0.09%

ZF NORTH 4.5% 04/22 5,535,000.00 5,853,262.50 0.05%

ZF NORTH 4.75% 04/25 12,250,000.00 13,000,312.50 0.11%

ZF NORTH 4% 04/20 7,503,000.00 7,967,248.13 0.07%

Zuffa LLC Second Lien Term Loan-LX154099 4,769,000.00 4,797,327.86 0.04%

Total Long PositionsBlank Row 12,216,076,325.18

AMERICAN AIRLINES GROUP INC CALLABLE NOTES FIXED 5.5% 0 (10,000,000.00) (10,412,500.00) -0.09%

CDI CDX.EM 1 USD0621 (133,870,000.00) 0.00 0.00%

CDI CDX.NA 1 USD1220 (355,080,000.00) 0.00 0.00%

CDI CDX.NA 5 USD0621 (17,880,000.00) 0.00 0.00%

CDI iTraxx 1 EUR0621 (171,770,000.00) 0.00 0.00%

CDS AA 5.7 1 USD0621 (13,750,000.00) 0.00 0.00%

CDS ABX-HE-PENAAA 06-2 Notional USD Maturity 20460525 (1,500,000.00) 0.00 0.00%

CDS ABX.HE 0.11 USD0546 (14,170,000.00) 0.00 0.00%

CDS ABX.HE 0.11 USD0546 (13,380,000.00) 0.00 0.00%

CDS ABX.HE 0.11 USD0546 (13,370,000.00) 0.00 0.00%

CDS ABX.HE 0.11 USD0546 (6,970,000.00) 0.00 0.00%

CDS ABX.HE 0.11 USD0546 (6,600,000.00) 0.00 0.00%

CDS ABXHEPEN072 Notional USD Maturity 20380125 (9,360,000.00) 0.00 0.00%



CDS ALLYFI 5 USD0317 (6,880,000.00) 0.00 0.00%

CDS ALLYFI 5 USD0317 (4,740,000.00) 0.00 0.00%

CDS ALLYFI 5 USD0317 (2,325,000.00) 0.00 0.00%

CDS ALLYFI 5 USD1217 (7,205,000.00) 0.00 0.00%

CDS ALLYFI 5 USD1217 (5,993,000.00) 0.00 0.00%

CDS ALLYFI 5 USD1217 (4,166,000.00) 0.00 0.00%

CDS ALLYFI 5 USD1217 (3,570,000.00) 0.00 0.00%

CDS AXHAAAS06V2 Notional USD Maturity 20460525 (12,100,000.00) 0.00 0.00%

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CDS AXHAAAS06V2 Notional USD Maturity 20460525 (8,800,000.00) 0.00 0.00%

CDS BZH (2 5 USD1217 (7,120,000.00) 0.00 0.00%

CDS BZH (2 5 USD1217 (3,580,000.00) 0.00 0.00%

CDS CHINA 1 USD0621 (137,300,000.00) 0.00 0.00%

CDS CIT 5. 5 USD0617 (3,520,000.00) 0.00 0.00%

CDS CIT 5. 5 USD0617 (722,000.00) 0.00 0.00%

CDS CMBX.N 2 USD0563 (7,270,000.00) 0.00 0.00%

CDS CMBX.N 2 USD0563 (7,260,000.00) 0.00 0.00%

CDS CMBX.N 2 USD0563 (7,230,000.00) 0.00 0.00%

CDS CMBX.N 2 USD0563 (7,220,000.00) 0.00 0.00%

CDS CMBX.N 2 USD0563 (7,000,000.00) 0.00 0.00%

CDS CMBXNAA3 Notional USD Maturity 20491213 (14,100,000.00) 0.00 0.00%

CDS CMBXNAA3 Notional USD Maturity 20491213 (7,050,000.00) 0.00 0.00%

CDS CMNAAS03V1 Notional USD Maturity 20491213 (14,100,000.00) 0.00 0.00%

CDS CMNAAS03V1 Notional USD Maturity 20491213 (7,050,000.00) 0.00 0.00%

CDS CNATUR 1 USD0621 (10,320,000.00) 0.00 0.00%

CDS DVN 7. 1 USD0621 (6,870,000.00) 0.00 0.00%

CDS FRCA 9 5 USD0617 (1,987,000.00) 0.00 0.00%

CDS HOV-K 5 USD1216 (3,580,000.00) 0.00 0.00%

CDS HOV-K 5 USD1216 (3,580,000.00) 0.00 0.00%

CDS HOV-K 5 USD1216 (3,510,000.00) 0.00 0.00%

CDS HOV-K 5 USD1216 (3,510,000.00) 0.00 0.00%

CDS HOV-K 5 USD1216 (3,500,000.00) 0.00 0.00%

CDS HOV-K 5 USD1216 (2,150,000.00) 0.00 0.00%

CDS IOS FN 5 USD0141 (88,515,000.00) 0.00 0.00%

CDS IOS FN 5 USD0141 (46,860,000.00) 0.00 0.00%

CDS IOS FN 5 USD0141 (46,860,000.00) 0.00 0.00%

CDS IOS FN 5 USD0141 (43,100,000.00) 0.00 0.00%

CDS IOS FN 5 USD0141 (21,457,000.00) 0.00 0.00%

CDS IOS.FN 4 USD0142 (37,530,000.00) 0.00 0.00%

CDS IOS.FN 4 USD0142 (37,530,000.00) 0.00 0.00%

CDS IOS.FN 4 USD0142 (36,060,000.00) 0.00 0.00%

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CDS IOS.FN 4 USD0142 (36,060,000.00) 0.00 0.00%

CDS IOS.FN 4 USD0142 (36,040,000.00) 0.00 0.00%

CDS IOS.FN 4 USD0142 (35,890,000.00) 0.00 0.00%

CDS IOS.FN 4 USD0142 (35,890,000.00) 0.00 0.00%

CDS IOS.FN 4 USD0142 (35,150,000.00) 0.00 0.00%

CDS IOS.FN 4.5 USD0141 (75,577,000.00) 0.00 0.00%

CDS IOS.FN 4.5 USD0141 (36,260,000.00) 0.00 0.00%

CDS MEX 5. 1 USD0621 (120,840,000.00) 0.00 0.00%

CDS NBR-In 1 USD0621 (15,120,000.00) 0.00 0.00%

CDS SHC-Ac 5 USD0916 (3,540,000.00) 0.00 0.00%

CDS SPRFIN 5 USD0916 (830,000.00) 0.00 0.00%

CDS SPRFIN 5 USD0917 (2,358,000.00) 0.00 0.00%

CDS SPRICO 5 USD0619 (6,944,000.00) 0.00 0.00%

CDS SPRICO 5 USD0619 (4,200,000.00) 0.00 0.00%

CDS SPRICO 5 USD0619 (3,460,000.00) 0.00 0.00%

CDS SPRICO 5 USD0619 (2,770,000.00) 0.00 0.00%

CDS SPRICO 5 USD1220 (3,530,000.00) 0.00 0.00%

CDS SPRICO 5 USD1220 (3,520,000.00) 0.00 0.00%

CDS SPRICO 5 USD1220 (2,830,000.00) 0.00 0.00%

CDS STAN-B 1 GBP0621 (13,750,000.00) 0.00 0.00%

CDS TURKEY 1 USD0621 (188,800,000.00) 0.00 0.00%

CDS VENZ 9 5 USD0617 (7,060,000.00) 0.00 0.00%

CDS VENZ 9 5 USD0617 (3,540,000.00) 0.00 0.00%

CDS VENZ 9 5 USD0617 (3,540,000.00) 0.00 0.00%

CDS VENZ 9 5 USD0617 (3,500,000.00) 0.00 0.00%

CDS VENZ 9 5 USD0617 (3,500,000.00) 0.00 0.00%

CDS VENZ 9 5 USD0916 (14,010,000.00) 0.00 0.00%

CDS VENZ 9 5 USD0916 (7,020,000.00) 0.00 0.00%

CDS VENZ 9 5 USD0916 (3,510,000.00) 0.00 0.00%

CDS VENZ 9 5 USD0916 (3,500,000.00) 0.00 0.00%

CDS VENZ 9 5 USD0916 (3,490,000.00) 0.00 0.00%

CDS VENZ 9 5 USD0916 (3,470,000.00) 0.00 0.00%

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CDS VENZ 9 5 USD0916 (1,760,000.00) 0.00 0.00%

CDS VENZ 9 5 USD0916 (1,390,000.00) 0.00 0.00%

CDS VENZ 9 5 USD1219 (2,892,800.00) 0.00 0.00%

CDS VENZ 9 5 USD1219 (1,450,400.00) 0.00 0.00%

CDS WITH CITI 02/51 (10,550,000.00) 0.00 0.00%

CDSCMBX 4 V1 5% NOTIONAL 6.9M USD MATURITY 20510217 (6,900,000.00) 0.00 0.00%

DARLING 5.375% 01/22 (10,000,000.00) (10,600,000.00) -0.09%

IRS LIBO/0.8662 USD1217 (15,200,000.00) 0.00 0.00%

IRS LIBO/0.8875 USD1217 (18,900,000.00) 0.00 0.00%

IRS LIBO/1.3925 USD1016 (14,907,000.00) 0.00 0.00%

IRS LIBO/1.4562 USD0618 (34,400,000.00) 0.00 0.00%

IRS LIBO/1.541 USD1218 (33,891,000.00) 0.00 0.00%

IRS LIBO/3.9787 USD0424 (30,000,000.00) 0.00 0.00%

TBA FNMA SINGLE FAMILY 30YR 3.5 9/16 (18,390,000.00) (19,375,589.06) -0.16%

Total Short PositionsBlank Row (40,388,089.06)

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Holdings and allocations shown above are un-audited, and may not be representative of current or future investments. The above holdings list has been created from the books and records of the Fund without examination by independent auditors. Fund holdings should not be relied on in making investment decisions and should not be construed as research or investment advice regarding particular securities. The above holdings are shown for informational purposes only and not intended as an offer or solicitation with respect to the purchase or sale of any security. The uncertified holdings do not include all derivatives.

Must be preceded or accompanied by a prospectus.

JPMorgan Distribution Services, Inc., member FINRA / SIPC.

JPMorgan Chase & Co. 2016.

S-408-865-716 Page 53 01-Sep-2016 02:09:56

Blank Row 08/31/2016 JPMORGAN STRATEGIC INCOME OPPORTUNITIES FUND · PDF fileJPMORGAN STRATEGIC INCOME OPPORTUNITIES FUND 08/31/2016 Blank Row Asset Name Shares Value (USD) % AES TIETE

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