As of 5/26/2017
% of Net Assets Market Value Security Type Description Identifier Underlying Identifier Coupon Rate Maturity Date Par Value/Quantity Security Price Currency S&P Rating Moody's Rating Fitch Rating
57.35% $-26701.45 Interest Rate Swap - Receiver IRS USD R 3ML/1ML+12.5 06/21/19-20 CME -- -- $0.00 6/21/2020 51,000,000 $-0.05 USD NR NR NR
42.01% $37339500.00 Government U S TREASURY NOTE 912828RE2 -- $1.50 8/31/2018 37,200,000 $100.38 USD GOVT GOVT GOVT
29.34% $-25338.05 Interest Rate Swap - Receiver IRS USD R 3ML/1ML+9.5 05/21/18-22 CME -- -- $0.00 5/21/2022 26,100,000 $-0.10 USD NR NR NR
8.15% $7244341.00 Government U S TREASURY NOTE 912828U24 -- $2.00 11/15/2026 7,400,000 $97.93 USD GOVT GOVT GOVT
3.61% $23039.12 Currency EUROPEAN MONETARY UNION EURO EUR/USD -- $0.00 6/2/2017 2,870,000 $0.90 EUR NR NR NR
3.02% $-8324.83 Currency JAPANESE YEN JPY/USD -- $0.00 6/2/2017 298,700,000 $111.24 JPY NR NR NR
2.43% $21384.36 Currency MEXICAN NUEVO PESO MXN/USD -- $0.00 6/19/2017 40,000,000 $18.57 MXN NR NR NR
2.01% $-1188.56 Currency AUSTRALIAN DOLLARS AUD/USD -- $0.00 6/2/2017 2,402,000 $1.34 AUD NR NR NR
1.56% $343.75 Future FIN FUT US 10YR CBT 09/20/17 TYU7 -- $6.00 9/21/2017 11 $125.89 USD NR NR NR
1.18% $1045102.00 Corporate BANK OF AMERICA CORP NT MTN 59018YN64 -- $6.88 4/25/2018 1,000,000 $104.51 USD BBB+ Baa1 A
1.16% $1028157.45 Corporate HEATHROW FUNDING LTD SR SEC 144A 05607MAA5 -- $4.88 7/15/2023 950,000 $108.23 USD A- NR A-
1.15% $1025582.00 Corporate KINDER MORGAN FINANCE CO GTD 144A 49456AAA1 -- $6.00 1/15/2018 1,000,000 $102.56 USD BBB- Baa3 BBB-
1.14% $1016155.00 Corporate BP CAPITAL MARKETS PLC SR UNSEC 05565QDE5 -- $2.01 9/16/2021 1,000,000 $101.62 USD A- A2 A
1.14% $1015082.80 Asset Backed Securities NAVSL 2015-AA A2B 144A 63939EAC7 -- $2.19 12/15/2028 1,000,000 $101.51 USD NR Aaa AAA
1.13% $1006063.00 Corporate FIRSTENERGY CORP GLBL SR UNSEC 337932AE7 -- $2.75 3/15/2018 1,000,000 $100.61 USD BB+ Baa3 BBB-
1.13% $1008095.94 Corporate ICICI BANK LTD/DUBAI 45112FAE6 -- $4.80 5/22/2019 965,000 $104.47 USD BBB- Baa3 BBB-
1.13% $1000741.00 Corporate VOLKSWAGEN GROUP AMERICA SR UNSEC 144A 928668AG7 -- $1.61 11/20/2017 1,000,000 $100.07 USD BBB+ A3 NR
1.12% $999805.00 Corporate AT&T INC SRUNSEC 00206RDV1 -- $2.02 7/15/2021 1,000,000 $99.98 USD BBB+ Baa1 A-
1.12% $999773.00 Corporate HBOS PLC EMTN FRN XS0304201790 -- $1.80 9/6/2017 1,000,000 $99.98 USD BBB- Baa2 A-
1.06% $944678.09 Collateralized Mtge Obligation NMRR 2012-2R 2A1 144A WM37 WC4.4819 65539XAC4 -- $3.01 4/26/2037 931,850 $101.38 USD NR NR NR
1.04% $921999.60 Corporate UBS AG COCO SUB CH0214139930 -- $4.75 5/22/2023 900,000 $102.44 USD BBB+ NR BBB+
1.03% $914256.00 Corporate PEMEX SR UNSEC WI 71654QBJ0 -- $3.50 7/18/2018 900,000 $101.58 USD BBB+ Baa3 BBB+
1.02% $905692.76 Government U S TREASURY INFLATE PROT BD 912828X39 -- $0.13 4/15/2022 902,097 $100.43 USD GOVT GOVT GOVT
1.00% $887096.60 Collateralized Mtge Obligation WAMU 2004-AR8 A2 1MLIB+40BP 92922FUN6 -- $1.42 6/25/2044 903,033 $98.24 USD BBB+ Ba2 NR
0.99% $16592.78 Currency CANADIAN DOLLAR CAD/USD -- $0.00 6/2/2017 1,181,674 $1.35 CAD NR NR NR
0.93% $824280.80 Agency Debenture EXPORT-IMPORT BK INDIA XS1050464996 -- $3.88 10/2/2019 800,000 $103.04 USD GOVT GOVT GOVT
0.92% $818288.00 Corporate CROWN CASTLE TOWERS LLC SEC 144A 22822RBB5 -- $3.22 5/15/2042 800,000 $102.29 USD NR A2 A
0.92% $814648.80 Corporate GREAT PLAINS ENERGY INC SR UNSEC 391164AH3 -- $3.15 4/1/2022 800,000 $101.84 USD BBB Baa3 NR
0.91% $804420.80 Corporate SINOPEC GRP OVERSEA 2013 USG8200QAA43 -- $2.50 10/17/2018 800,000 $100.55 USD AA- A1 NR
0.90% $803056.00 Corporate KANSAS CITY SOUTHERN SR UNSEC 485170AV6 -- $3.00 5/15/2023 800,000 $100.40 USD BBB- Baa3 BBB
0.90% $802504.80 Corporate SANTANDER UK GROUP HLDGS SR UNSEC 80281LAE5 -- $2.88 8/5/2021 800,000 $100.31 USD BBB Baa1 A
0.90% $800199.20 Corporate STATE BANK INDIA/LONDON SR UNSEC XS1589358644 -- $2.10 4/6/2020 800,000 $100.02 USD BBB- Baa3 BBB-
0.90% $800136.80 Corporate SYNCHRONY FINANCIAL SR UNSEC 87165BAA1 -- $1.88 8/15/2017 800,000 $100.02 USD BBB- NR BBB-
0.89% $787906.40 Corporate HYUNDAI CAPITAL AMERICA 44891AAJ6 -- $1.75 9/27/2019 800,000 $98.50 USD A- Baa1 NR
0.87% $775902.75 Corporate FOREST LABORATORIES**TENDER & CONSENT** 345838AC0 -- $4.38 2/1/2019 750,000 $103.46 USD BBB Baa3 BBB-
0.85% $758034.90 Corporate PLAINS ALL AMER PIPELINE CO GTD 72650RAW2 -- $5.75 1/15/2020 700,000 $108.30 USD BBB- Baa3 BBB
0.84% $747089.70 Corporate REYNOLDS AMERICAN INC SR UNSEC 761713BF2 -- $4.00 6/12/2022 700,000 $106.74 USD BBB+ Baa3 BBB
0.84% $743346.14 Asset Backed Securities SLMA 2008-9 A 3MLIB+150 78445JAA5 -- $2.66 4/25/2023 726,299 $102.35 USD AA+ Baa3 B
0.82% $731357.20 Corporate PIONEER NATURAL RESOURCE 723787AF4 -- $6.88 5/1/2018 700,000 $104.48 USD BBB Baa2 BBB
0.82% $728000.00 Corporate ZF FRIEDRICHSHAFEN SR UNSEC 144A 98877DAA3 -- $4.00 4/29/2020 700,000 $104.00 USD BB+ Ba1 NR
0.81% $717399.90 Corporate DELPHI AUTOMOTIVE PLC SR UNSEC 24713GAA0 -- $3.15 11/19/2020 700,000 $102.49 USD BBB Baa2 BBB
0.80% $714782.60 Corporate BARCLAYS BANK PLC SUB NT REGS XS0334249223 -- $6.05 12/4/2017 700,000 $102.11 USD BBB- Baa3 A-
0.80% $714788.20 Corporate IMPERIAL BRANDS FINANCE 453140AD7 -- $2.95 7/21/2020 700,000 $102.12 USD BBB Baa3 BBB
0.79% $702420.28 Collateralized Loan Obligation CIFC 2013-3A A1AR 1MLIB+102BP 144A 12549CAN6 -- $2.17 10/24/2025 700,000 $100.35 USD AAA Aaa NR
0.79% $699090.00 Corporate CNOOC FINANCE 2013 LTD GLBL SR UNSEC 12625GAB0 -- $1.75 5/9/2018 700,000 $99.87 USD A+ A1 NR
0.79% $699910.69 Corporate CNPC GENERAL CAPITAL USG22004AD07 -- $1.95 4/16/2018 700,000 $99.99 USD A+ A2 A+
0.79% $702058.00 Corporate LEASEPLAN CORPORATION NV SR UNSEC 144A 52206AAB6 -- $2.50 5/16/2018 700,000 $100.30 USD BBB- Baa1 BBB+
0.79% $702583.41 Corporate SIAM COMMERCIAL BANK(HK) 82571AAA2 -- $3.38 9/19/2017 700,000 $100.37 USD BBB+ Baa1 BBB+
0.79% $700027.30 Corporate SUMITOMO MITSUI TR BK LT SR UNSEC 144A 86563VAH2 -- $2.05 3/6/2019 700,000 $100.01 USD A A1 NR
0.78% $697452.00 Corporate SOUTHERN CO SR UNSEC 842587CU9 -- $2.95 7/1/2023 700,000 $99.65 USD BBB+ Baa2 A-
0.78% $694616.30 Corporate TEVA PHARMACEUTICALS NE SR UNSEC 88167AAB7 -- $1.70 7/19/2019 700,000 $99.24 USD BBB Baa2 BBB
0.76% $672460.09 Asset Backed Securities SLMA 2008-2 A3 784442AC9 -- $1.91 4/25/2023 675,986 $99.48 USD AA+ Baa3 B
0.74% $655522.05 Asset Backed Securities SLMA 2008-5 A4 3MLIB+170 78444YAD7 -- $2.86 7/25/2023 637,896 $102.76 USD AA+ Baa3 B
0.71% $630000.00 Corporate TELECOM ITALIA CAPITAL GLBL CO GTD 87927VAU2 -- $7.00 6/4/2018 600,000 $105.00 USD BB+ Ba1 BBB-
0.70% $619858.80 Corporate HSBC HOLDINGS PLC SR UNSEC 404280AZ2 -- $2.85 5/25/2021 600,000 $103.31 USD A A1 AA-
0.70% $621180.00 Corporate USG CORP SR UNSECURED **FULL CALL** 903293AS7 -- $8.50 1/15/2018 595,000 $104.40 USD BB+ Ba3 BB+
0.69% $611250.00 Corporate DISH DBS CORP SR UNSEC 25470XAP0 -- $4.25 4/1/2018 600,000 $101.88 USD B+ Ba3 BB-
0.67% $598593.00 Corporate ABBVIE INC SR UNSEC 00287YAX7 -- $2.85 5/14/2023 600,000 $99.78 USD A- Baa2 NR
0.66% $587128.80 Corporate AMERICAN TOWER CORP SR UNSEC 03027XAL4 -- $2.25 1/15/2022 600,000 $97.87 USD BBB- Baa3 BBB
0.66% $-9441.60 Credit Default Swap EXELON GENERATION COMPANY LLC SNR S* -- -- $1.00 12/20/2021 -600,000 $1.66 USD BBB Baa2 BBB
0.66% $589556.80 Commercial Paper FORD MOTOR CREDIT CO 4(2) DISC NT* 3454G1DC7 -- $0.00 4/12/2018 600,000 $98.26 USD A2 (Short Term) P2 (Short Term) F2 (Short Term)
0.66% $589827.60 Corporate SMBC AVIATION CAPITAL FI SR UNSEC 144A 78448TAA0 -- $2.65 7/15/2021 600,000 $98.32 USD BBB+ NR A-
0.64% $567863.50 Corporate SABINE PASS LIQUEFACTION 785592AH9 -- $6.25 3/15/2022 500,000 $113.59 USD BBB- Baa3 BBB-
0.64% $564549.99 Asset Backed Securities VOLT 2016-NPL9 A1 144A 91831KAA7 -- $3.50 9/25/2046 561,370 $100.57 USD NR NR NR
0.63% $561156.00 Corporate DUQUESNE LIGHT HOLDINGS SR NT 144A 266233AD7 -- $5.90 12/1/2021 500,000 $112.24 USD BBB- Baa3 NR
0.63% $563270.00 Corporate GOODMAN **EXCHANGE & CONSENT** 38239FAC3 -- $6.38 4/15/2021 500,000 $112.67 USD BBB+ Baa1 NR
0.63% $557628.00 Corporate NATIONAL FUEL GAS CO SR UNSECURED 636180BJ9 -- $8.75 5/1/2019 500,000 $111.53 USD BBB Baa3 BBB
0.62% $553750.00 Corporate NAVIENT CORP 78442FEJ3 -- $8.00 3/25/2020 500,000 $110.75 USD B+ Ba3 BB
0.62% $547769.50 Corporate SABINE PASS LIQUEFACTION 785592AE6 -- $5.63 2/1/2021 500,000 $109.56 USD BBB- Baa3 BBB-
0.62% $552221.00 Corporate SKY PLC CO GTD 144A 111013AH1 -- $9.50 11/15/2018 500,000 $110.45 USD BBB Baa2 BBB-
0.62% $554696.00 Corporate TIME WARNER CABLE INC GLBL CO GTD 88732JAP3 -- $8.75 2/14/2019 500,000 $110.95 USD BBB- Ba1 BBB-
0.61% $543672.45 Corporate CONTINENTAL AIR EETC 2009-2 21079UAA3 -- $7.25 5/10/2021 488,146 $111.38 USD A- A3 NR
0.61% $544963.00 Corporate HARTFORD FINL SVCS GRP SR UNSECURED 416515AZ7 -- $5.50 3/30/2020 500,000 $109.00 USD BBB+ Baa2 NR
0.60% $529206.50 Corporate FLEXTRONICS INTL LTD SR UNSEC 33938EAQ0 -- $4.63 2/15/2020 500,000 $105.85 USD BBB- Baa3 BBB-
0.59% $525554.00 Corporate CRED SUIS GP FUN LTD SR UNSEC 225433AP6 -- $3.45 4/16/2021 500,000 $105.11 USD BBB+ NR A-
0.59% $526075.07 Collateralized Mtge Obligation GSR 2003-9 A2 12MLIB+175BP 36228FWS1 -- $3.53 8/25/2033 525,379 $100.13 USD A+ NR BBB
0.58% $512025.50 Corporate DELL INTL LLC / EMC 144A 25272KAA1 -- $3.48 6/1/2019 500,000 $102.41 USD BBB- Baa3 BBB-
0.57% $508125.00 Corporate ALLY FINANCIAL INC SRUNSEC 02005NBB5 -- $3.60 5/21/2018 500,000 $101.63 USD BB+ NR BB+
0.57% $508423.50 Corporate AVIATION CAPITAL GROUP SR UNSEC 144A 05367AAE3 -- $4.63 1/31/2018 500,000 $101.69 USD A- NR BBB
0.57% $510889.50 Corporate BG ENERGY CAPITAL PLC SUB CO GTD XS0798324306 -- $6.50 11/30/2072 500,000 $102.18 USD BBB+ NR A-
0.57% $504440.00 Municipal Bond CA EARTHQUAKE AUTH 13017HAE6 -- $2.81 7/1/2019 500,000 $100.89 USD NR A3 A
0.57% $505985.50 Corporate HUMANA INC SR UNSEC 444859BC5 -- $2.63 10/1/2019 500,000 $101.20 USD BBB+ Baa3 BBB
0.57% $504195.00 Municipal Bond KANSAS ST DEV FIN AUT 485429Y24 -- $2.26 4/15/2019 500,000 $100.84 USD A+ Aa3 NR
0.57% $503992.50 Corporate SKY PLC SR UNSEC 144A 111013AM0 -- $2.63 9/16/2019 500,000 $100.81 USD BBB Baa2 BBB-
0.56% $501389.00 Agency Debenture CENTRAL NIPPON EXPRESSWY XS1572613989 -- $1.90 3/3/2022 500,000 $100.28 USD GOVT GOVT GOVT
0.56% $500603.53 Collateralized Loan Obligation GALXY 2013-16A A2R 3MLIB+113BP 144A 36320CAP5 -- $2.28 11/16/2025 500,000 $100.12 USD AAA Aaa NR
0.56% $500313.29 Collateralized Loan Obligation JMP 2014-1A AR 3MLIB+124BP 144A 46642WAL0 -- $2.40 10/17/2025 500,000 $100.06 USD NR Aaa AAA
0.56% $500407.00 Corporate MITSUBISHI UFJ LEASE&FIN SR UNSEC XS1089791781 -- $1.93 7/23/2019 500,000 $100.08 USD A A3 NR
0.56% $499374.00 Corporate ORIX CORP SR UNSEC XS1389922250 -- $2.65 4/13/2021 500,000 $99.87 USD A- NR A-
0.56% $501334.10 Asset Backed Securities VOLT 2017-NPL5 A1 144A 91832JAA9 -- $3.38 5/28/2047 500,000 $100.27 USD NR NR NR
0.55% $492773.00 Government ARGENT LETRAS DEL TESORO ARARGE5203N8 -- $0.00 12/15/2017 500,000 $98.55 USD GOVT GOVT GOVT
0.52% $460305.49 Asset Backed Securities SOFI 2016-F A2 144A 78471AAB9 -- $3.02 2/25/2040 456,938 $100.75 USD NR A2 NR
0.50% $448758.00 Corporate CANTOR FITZGERALD LP SR UNSEC 144A 138616AC1 -- $6.50 6/17/2022 400,000 $112.20 USD BBB- NR BBB-
0.50% $443252.71 Asset Backed Securities USROF 2016-3II A 144A 90354CAA4 -- $3.60 10/27/2036 439,989 $100.74 USD NR NR NR
0.49% $432383.60 Corporate FIVE CORNERS FUNDING TRS UNSEC 144A 33829TAA4 -- $4.42 11/15/2023 400,000 $108.11 USD A Baa1 NR
0.47% $415988.80 Corporate CHARTER COMM OPT LLC/CAP 161175AX2 -- $3.58 7/23/2020 400,000 $104.00 USD BBB- Ba1 BBB-
0.47% $421799.20 Corporate DELL INTL LLC / EMC 144A 25272KAD5 -- $4.42 6/15/2021 400,000 $105.46 USD BBB- Baa3 BBB-
0.46% $406500.00 Corporate ALLY FINANCIAL INC SR UNSEC 02005NAT7 -- $3.50 1/27/2019 400,000 $101.63 USD BB+ Ba3 BB+
0.46% $407457.60 Corporate AP MOELLER-MAERSK A/S UNSEC 144A 00203QAC1 -- $2.88 9/28/2020 400,000 $101.87 USD BBB Baa2 NR
0.46% $409641.60 Corporate BOC AVIATION LIMITED XS1065044312 -- $3.88 5/9/2019 400,000 $102.41 USD BBB+ NR A-
0.46% $410062.00 Corporate D.R. HORTON INC SR UNSEC 23331ABJ7 -- $3.75 3/1/2019 400,000 $102.52 USD BBB- Baa3 BBB-
0.46% $409852.00 Corporate MIZUHO FINANCIAL GROUP SR UNSEC 144A 60687YAC3 -- $2.64 4/12/2021 400,000 $102.46 USD A- A1 NR
0.45% $400044.80 Corporate AVIATION CAPITAL GROUP SR UNSEC 144A 05367AAJ2 -- $2.88 1/20/2022 400,000 $100.02 USD A- NR BBB
0.45% $400497.48 Collateralized Loan Obligation CGMS 2014-5A A1R 1MLIB+114BP 144A 14311AAJ1 -- $2.30 10/16/2025 400,000 $100.12 USD NR Aaa AAA
0.45% $403537.60 Corporate GEORGIA-PACIFIC LLC SR UNSEC 144A 37331NAF8 -- $2.54 11/15/2019 400,000 $100.89 USD A+ Baa1 NR
0.45% $402228.80 Corporate RABOBANK NEDERLAND **FULL CALL** XS0703303262 -- $8.40 -- 400,000 $100.56 USD NR NR BBB-
0.45% $400171.90 Collateralized Loan Obligation REGT5 2014-1A A1AR WM22 WC4.7882 144A 75887HAQ5 -- $2.32 10/25/2026 400,000 $100.04 USD NR Aaa AAA
0.45% $400000.00 Repo REPO -- -- $0.97 5/30/2017 400,000 $100.00 USD NR NR NR
0.45% $401778.80 Corporate WESTERN GAS PARTNERS LP SR UNSEC 958254AC8 -- $2.60 8/15/2018 400,000 $100.45 USD BBB- Ba1 BBB-
0.45% $400800.00 Collateralized Loan Obligation WOODS 2013-10A A1R 3MLIB+108BP 144A 66859LAU0 -- $2.25 11/4/2025 400,000 $100.20 USD AAA Aaa NR
0.44% $390828.80 Corporate AIR LIQUIDE FINANCE SR UNSEC 144A 00913RAB2 -- $1.75 9/27/2021 400,000 $97.71 USD A- A3 NR
0.44% $393218.40 Corporate SMBC AVIATION CAPITAL FI SR UNSEC REGS USG82296AA50 -- $2.65 7/15/2021 400,000 $98.32 USD BBB+ NR A-
0.43% $380485.04 Collateralized Loan Obligation ATCLO 2012-2A AR 3MLIB+123BP 144A 04941DAJ4 -- $2.40 1/30/2024 379,872 $100.16 USD AAA Aaa NR
0.43% $385846.49 Asset Backed Securities VOLT 2017-NPL2 A1 144A 91831PAA6 -- $3.50 3/25/2047 384,672 $100.31 USD NR NR NR
0.41% $360062.50 Corporate NABORS INDUSTRIES INC GLBL CO GTD 629568AQ9 -- $6.15 2/15/2018 350,000 $102.88 USD BBB- Ba2 BBB-
0.38% $335954.70 Corporate GOODMAN FUNDING PTY LTD CO GTD 144A 38239FAA7 -- $6.38 11/12/2020 300,000 $111.99 USD BBB+ Baa1 NR
0.38% $339330.00 Corporate MASCO CORP SR UNSECURED 574599BG0 -- $7.13 3/15/2020 300,000 $113.11 USD BBB Ba1 BBB-
0.38% $333750.00 Corporate MGM RESORTS INTL GLBL SR UNSEC 552953BW0 -- $8.63 2/1/2019 300,000 $111.25 USD BB- B1 BB
0.37% $333000.00 Corporate DISH DBS CORP 25470XAB1 -- $7.88 9/1/2019 300,000 $111.00 USD B+ Ba3 BB-
0.36% $319373.40 Corporate AERCAP IRELAND CAP LTD/A SR UNSEC 00772BAQ4 -- $4.63 10/30/2020 300,000 $106.47 USD BBB- Baa3 BBB-
0.36% $323579.64 Corporate ASCIANO FINANCE CO GTD 144A 04363UAB2 -- $4.63 9/23/2020 311,000 $104.18 USD BBB- Baa3 NR
0.36% $321378.60 Corporate CHARTER COMM OPT LLC/CAP 161175BB9 -- $4.46 7/23/2022 300,000 $107.14 USD BBB- Ba1 BBB-
0.36% $319693.20 Corporate PETRONAS CAPITAL LTD 144A CO GTD 716743AD1 -- $5.25 8/12/2019 300,000 $106.56 USD A- A1 A-
0.35% $310410.00 Corporate E.ON INTL FINANCE BV NT 144A 268789AA2 -- $5.80 4/30/2018 300,000 $103.47 USD BBB Baa2 A-
0.35% $314509.20 Corporate ENERGY TRANSFER PARTNERS SR UNSEC 29273RAH2 -- $6.70 7/1/2018 300,000 $104.84 USD BBB- Baa3 BBB-
0.35% $311625.00 Corporate NAVIENT CORP 78442FER5 -- $5.50 1/15/2019 300,000 $103.88 USD B+ Ba3 BB
0.34% $299703.90 Government ARGENT LETRAS DEL TESORO ARARGE5203M0 -- $0.00 6/16/2017 300,000 $99.90 USD GOVT GOVT GOVT
0.34% $306335.40 Corporate BARCLAYS BANK PLC SUB 144A 06739GAE9 -- $6.05 12/4/2017 300,000 $102.11 USD BBB- Baa3 A-
0.34% $300549.00 Corporate BARCLAYS PLC SR UNSEC 06738EAF2 -- $2.00 3/16/2018 300,000 $100.18 USD BBB Baa2 A
0.34% $300604.50 Collateralized Loan Obligation BLUEM 2015-1A A1R 3MLIB+133BP 144A 09627XAU5 -- $2.49 4/13/2027 300,000 $100.20 USD AAA Aaa NR
0.34% $300509.97 Collateralized Loan Obligation CECLO 2013-19A A1A 1MLIB+133BP 144A 12518XAA5 -- $2.50 10/29/2025 300,000 $100.17 USD AAA Aaa NR
0.34% $300383.70 Collateralized Loan Obligation CGMS 2014-3A A1AR 3MLIB+115BP 144A 14308LAQ6 -- $2.32 7/27/2026 300,000 $100.13 USD NR Aaa AAA
0.34% $304168.80 Corporate HP ENTERPRISE CO SR UNSEC 42824CAU3 -- $2.85 10/5/2018 300,000 $101.37 USD BBB Baa2 BBB+
0.34% $301156.20 Corporate RELIANCE STAND LIFE II SEC 144A 75951AAD0 -- $2.15 10/15/2018 300,000 $100.39 USD A A2 NR
0.34% $302446.20 Corporate S&P GLOBAL INC SR UNSEC 78409VAH7 -- $2.50 8/15/2018 300,000 $100.82 USD NR Baa1 BBB+
0.34% $301229.10 Corporate WELLTOWER INC SR UNSEC 42217KAZ9 -- $2.25 3/15/2018 300,000 $100.41 USD BBB+ Baa1 BBB+
0.34% $300506.44 Collateralized Loan Obligation WINDR 2013-2A A2A 3MLIB+144BP 144A 88432AAN0 -- $2.60 1/18/2026 300,000 $100.17 USD AAA Aaa NR
0.33% $289060.96 Asset Backed Securities FFML 2004-FF1 M1 1MLIB+50BP 32027NGC9 -- $1.77 11/25/2034 294,337 $98.21 USD AA Baa2 BBB
0.33% $296899.80 Corporate SHIRE ACQ INV IRELAND DA SR UNSEC 82481LAC3 -- $2.88 9/23/2023 300,000 $98.99 USD BBB- Baa3 NR
0.32% $283899.72 Asset Backed Securities CSMC 2017-1A A US12651LAA89 -- $4.50 3/25/2021 282,741 $100.41 USD NR NR NR
0.31% $278930.07 Collateralized Loan Obligation DRSLF 2012-25A AR 3MLIB+120BP 26250JAG5 -- $2.36 1/15/2025 278,598 $100.12 USD AAA Aaa NR
0.31% $275625.00 Corporate SPRINGLEAF FINANCE CORP SR UNSEC 85172FAJ8 -- $8.25 12/15/2020 250,000 $110.25 USD B B2 B-
0.30% $267667.50 Corporate BARCLAYS PLC SUB 06738EAA3 -- $8.25 -- 250,000 $107.07 USD B+ NR BB+
0.30% $262984.00 Corporate BGC PARTNERS INC SR UNSEC 05541TAH4 -- $5.13 5/27/2021 250,000 $105.20 USD BBB- NR BBB-
0.29% $258886.00 Corporate CRED SUIS GP FUN LTD SR UNSEC 225433AH4 -- $3.80 9/15/2022 250,000 $103.57 USD BBB+ Baa2 A-
0.29% $253352.25 Corporate GENERAL MOTORS FINL CO SR UNSEC 37045XAJ5 -- $3.25 5/15/2018 250,000 $101.35 USD BBB Baa3 BBB-
0.28% $250000.00 Corporate PIPER JAFFRAY COS SR UNSEC 144A 724078AB6 -- $4.15 5/31/2017 250,000 $100.00 USD NR NR NR
0.28% $252114.50 Corporate SK BROADBAND CO LTD SR UNSEC REGS XS0985940864 -- $2.88 10/29/2018 250,000 $100.85 USD A- NR A-
0.28% $252154.25 Corporate SYNCHRONY FINANCIAL SR UNSEC 87165BAF0 -- $2.40 2/3/2020 250,000 $100.86 USD BBB- NR BBB-
0.28% $249942.50 Corporate WESTJET AIRLINES LTD SR UNSEC 144A 960410AC2 -- $3.50 6/16/2021 250,000 $99.99 USD BBB- Baa2 NR
0.27% $237842.80 Corporate ILFC SR UNSECURED 459745GF6 -- $8.25 12/15/2020 200,000 $118.93 USD BBB- Baa3 BBB-
0.26% $234063.81 Collateralized Mtge Obligation TMST 2005-1 A3 WM35 WC5.0402 ARM 885220HB2 -- $3.07 4/25/2045 232,941 $100.48 USD A+ NR NR
0.26% $226977.75 Corporate WEA FINANCE LLC/WESTFIEL UNSEC 144A 92890HAB8 -- $2.70 9/17/2019 225,000 $100.89 USD BBB+ A3 NR
0.25% $223336.20 Corporate WEYERHAEUSER CO SR UNSEC 962166BV5 -- $7.38 10/1/2019 200,000 $111.68 USD BBB Baa2 NR
0.24% $215750.14 Corporate BOC AVIATION LIMITED XS0838771466 -- $2.88 10/10/2017 215,000 $100.35 USD BBB+ NR A-
0.24% $208869.20 Corporate FIDELITY NATIONAL INFORM SR UNSEC 31620MAP1 -- $3.63 10/15/2020 200,000 $104.44 USD BBB Baa3 BBB
0.24% $212500.00 Corporate NAVIENT CORP SR UNSEC 63938CAD0 -- $6.63 7/26/2021 200,000 $106.25 USD B+ Ba3 BB
0.24% $217380.40 Corporate REGENCY ENERGY PARTNERS GLBL SR UNSEC 75886AAK4 -- $5.75 9/1/2020 200,000 $108.70 USD BBB- Baa3 BBB-
0.24% $212033.20 Corporate WOODSIDE FINANCE LTD CO GTD 144A 980236AL7 -- $4.60 5/10/2021 200,000 $106.03 USD BBB+ Baa1 BBB+
0.23% $203529.60 Asset Backed Securities CFAB 2003-5 2A2 1MLIB+30 161546GR1 -- $1.62 7/25/2033 209,779 $97.02 USD AAA Baa1 BBB
0.23% $206000.00 Corporate CIT GROUP INC SR UNSEC 125581GS1 -- $3.88 2/19/2019 200,000 $103.00 USD BB+ Ba2 BB+
0.23% $202483.31 Collateralized Mtge Obligation CSH 2016-1A A 1MLIB+150BP 144A 19626MAA3 -- $2.50 7/17/2033 199,437 $101.53 USD NR Aaa NR
0.23% $206333.20 Corporate HSBC HOLDINGS PLC SR UNSEC 404280BA6 -- $3.60 5/25/2023 200,000 $103.18 USD A A1 AA-
0.23% $203558.40 Corporate MORGAN STANLEY SR UNSEC 61746BEC6 -- $2.55 10/24/2023 200,000 $101.75 USD BBB+ A3 A
0.23% $202820.00 Corporate PEMEX 71654QBQ4 -- $3.13 1/23/2019 200,000 $101.41 USD BBB+ Baa3 BBB+
0.22% $198092.80 Government ARGENT LETRAS DEL TESORO ARARGE5203P3 -- $0.00 9/29/2017 200,000 $99.05 USD GOVT GOVT GOVT
0.22% $199815.40 Corporate BANQUE FED CRED MUTUEL SR UNSEC 144A 06675FAG2 -- $2.00 4/12/2019 200,000 $99.91 USD A Aa3 A+
0.22% $196812.40 Corporate MITSUBISHI UFJ LEASE&FIN SR UNSEC EMTN XS1485531492 -- $2.25 9/7/2021 200,000 $98.41 USD A A3 NR
0.22% $199244.20 Corporate WOODSIDE FINANCE LTD SR UNSEC 144A 980236AN3 -- $3.70 9/15/2026 200,000 $99.65 USD BBB+ Baa1 NR
0.20% $175816.46 Collateralized Loan Obligation CAVY 2014-5A A 1MLIB+137BP 144A 14955CAA7 -- $2.53 1/16/2024 175,541 $100.16 USD NR Aaa NR
0.16% $-2123.03 Currency BRITISH POUND STERLING GBP/USD -- $0.00 6/2/2017 112,000 $0.78 GBP NR NR NR
0.16% $144923.17 Asset Backed Securities DRUGB 2014-1 A1 3MLIB+285BP 144A 26223UAC3 -- $4.01 7/15/2023 143,956 $100.67 USD BBB NR NR
0.16% $138633.33 Corporate LATAM AIR 2015-1 PTT A SEC 51817TAB8 -- $4.20 8/15/2029 138,981 $99.75 USD BBB+ Baa1 NR
0.12% $102797.70 Corporate KLA-TENCOR CORP SR UNSEC 482480AC4 -- $3.38 11/1/2019 100,000 $102.81 USD BBB Baa2 BBB-
0.12% $102750.00 Corporate SPRINGLEAF FINANCE CORP SR UNSEC 85172FAG4 -- $5.25 12/15/2019 100,000 $102.75 USD B B2 B-
0.12% $102374.13 Asset Backed Securities VOLT 2015-NP14 A1 92871KAA6 -- $4.38 11/27/2045 101,233 $101.13 USD NR NR NR
0.12% $105250.00 Corporate WYNN LAS VEGAS LLC/CORP SR UNSEC 144A 983130AV7 -- $5.50 3/1/2025 100,000 $105.25 USD BB- B1 NR
0.11% $102073.60 Corporate ASCIANO FINANCE CO GTD 144A 04363UAC0 -- $5.00 4/7/2018 100,000 $102.08 USD BBB- Baa3 NR
0.11% $98361.25 Asset Backed Securities EGLE 2014-1A A1 144A 26971HAA0 -- $2.57 12/15/2039 98,958 $99.40 USD A NR NR
0.11% $101400.00 Corporate GENERAL ELECTRIC CO SUB 36962G3M4 -- $6.38 11/15/2067 100,000 $101.40 USD A A2 A+
0.11% $100280.50 Corporate HP ENTERPRISE CO SR UNSEC 42824CAS8 -- $2.45 10/5/2017 100,000 $100.28 USD BBB Baa2 BBB+
0.11% $94767.51 Asset Backed Securities NAVSL 2016-5A A 1MLIB+125BP 144A 63939QAA4 -- $2.27 6/25/2065 93,262 $101.61 USD NR Aaa AAA
0.11% $100029.50 Corporate WOODSIDE FINANCE LTD SR UNSEC 144A 980236AM5 -- $3.65 3/5/2025 100,000 $100.05 USD BBB+ Baa1 NR
0.10% $88627.79 Collateralized Mtge Obligation MARM 2004-13 2A2 WM33 WC3.2251 ARM 576433WE2 -- $3.11 4/21/2034 86,885 $102.01 USD AA+ Baa1 NR
0.09% $79455.53 Collateralized Mtge Obligation RALI 2004-QA2 A2 1MLIB+44BP 76110HVU0 -- $1.46 6/25/2034 80,779 $98.36 USD AA+ Aa1 NR
0.08% $68890.88 Collateralized Mtge Obligation FHASI 2003-AR3 3A1 WM33 WC4.915 ARM 32051DD58 -- $2.99 9/25/2033 67,661 $101.82 USD BB+ NR A
0.07% $63303.92 Collateralized Mtge Obligation LBCMT 2007-C3 A1A 50177AAF6 -- $5.97 7/15/2044 63,239 $100.10 USD AA+ Aaa NR
0.07% $61129.39 Collateralized Mtge Obligation RBSCF 2010-RR3 MSCA (MSC 2007-IQ15 A4) 74928HAT3 -- $5.94 6/16/2049 61,216 $99.86 USD NR NR AAA
0.06% $49105.00 Asset Backed Securities AMSI 2003-9 AV1 1MLIB+38BP 03072SJQ9 -- $1.78 9/25/2033 50,601 $97.04 USD AA+ A2 A
0.06% $49862.04 Collateralized Loan Obligation COAS 2014-1A A1 144A 12627UAA9 -- $2.51 4/20/2023 49,800 $100.12 USD NR Aaa NR
0.06% $51227.89 Collateralized Mtge Obligation GSR 2005-AR6 1A4 WM33 WC4.2777 ARM 362341RW1 -- $3.15 9/25/2035 49,300 $103.91 USD AA- NR BBB
0.05% $45800.74 Asset Backed Securities BSABS 2001-3-A2 1MOLIB+40 07384YBM7 -- $1.82 10/27/2032 47,603 $96.21 USD AAA Baa2 NR
0.05% $1423.28 Currency MEXICAN NUEVO PESO MXN/USD -- $0.00 8/8/2017 799,035 $18.73 MXN NR NR NR
0.04% $38228.52 Collateralized Mtge Obligation JPMRR 2009-7 14A1 WM37 WC6.365 ARM 144A 46633PBA9 -- $2.70 7/27/2037 37,990 $100.63 USD NR NR AAA
0.04% $31266.93 Asset Backed Securities NCSLT 2005-1 A4 1MLIB+24BP 63543PBG0 -- $1.26 11/27/2028 31,283 $99.95 USD B+ Aaa B
0.04% $35118.08 Collateralized Mtge Obligation WAMU 2005-AR2 2A1A 1MLIB+31 92922FD21 -- $1.33 1/25/2045 35,912 $97.79 USD AA+ Baa3 NR
0.03% $31043.02 Collateralized Mtge Obligation SAMI 2002-AR3-A1 1MOLIB+33 86358HNX3 -- $1.66 9/19/2032 31,802 $97.61 USD AA+ Ba3 NR
0.02% $13519.50 Collateralized Mtge Obligation SAMI 2004-AR3 1A2 AFC 1MLIB+29 86359LBY4 -- $1.58 7/19/2034 13,640 $99.11 USD AA+ A3 NR
0.02% $14845.97 Collateralized Mtge Obligation SEMT 4 A STEP 1MOLIB+36 AMBAC 81743TAA6 -- $1.71 11/22/2024 14,899 $99.65 USD AA+ Aa3 NR
0.01% $7658.59 Collateralized Mtge Obligation CMLTI 2008-AR4 1A1A WM37 WC2.858 144A 17314RAC9 -- $3.54 11/25/2038 7,629 $100.38 USD NR NR AAA
0.01% $12160.82 IRS Swaption IRO USD 2Y C 1.67000 M 09/06/17 -- -- $0.00 9/6/2017 4,900,000 $0.25 USD NR NR NR
0.01% $6144.77 Collateralized Mtge Obligation SEMT 2003-2 A1 1MLIBOR + 33BP 81743PAP1 -- $1.67 6/20/2033 6,419 $95.73 USD AA Ba1 NR
0.01% $5441.82 Collateralized Mtge Obligation WAMU 2003-AR5 A7 ARM WM33 WC 4.9155 929227R65 -- $2.87 6/25/2033 5,358 $101.57 USD A+ Baa1 AA
0.01% $6671.22 Collateralized Mtge Obligation WFMBS 2005-AR11 1A1 WM33 WC4.8745 ARM 94982RAA3 -- $3.04 6/25/2035 6,635 $100.55 USD BB+ Ba3 NR
0.00% -- Bank Loan AVOLON HOLDINGS LTD TL B2 US05400KAB61 -- $3.76 3/20/2022 0 $101.48 USD BBB- Ba2 BB+
0.00% $4005.67 Collateralized Mtge Obligation BCAP 2014-RR1 3A1 WM36 WC4.0621 05543AAJ9 -- $1.15 3/26/2037 3,977 $100.72 USD NR NR NR
0.00% $2602.26 Collateralized Mtge Obligation BSARM 2002-11 1A1 WM31 WC6.2 07384MSH6 -- $2.94 2/25/2033 2,601 $100.04 USD NR NR NR
0.00% -- Government U S TREASURY NOTE 912828XR6 -- $1.75 5/31/2022 0 -- USD GOVT GOVT GOVT
-0.18% $1741.52 Currency BRITISH POUND STERLING GBP/USD -- $0.00 6/2/2017 -122,000 $0.78 GBP NR NR NR
-0.99% $-12053.89 Currency CANADIAN DOLLAR CAD/USD -- $0.00 6/2/2017 -1,178,000 $1.35 CAD NR NR NR
-1.01% $2877.41 Currency EUROPEAN MONETARY UNION EURO EUR/USD -- $0.00 7/5/2017 -805,000 $0.89 EUR NR NR NR
-1.10% $-975000.00 Reverse Repo U S CORP REV REPO -- -- $1.35 6/6/2017 -975,000 $100.00 USD NR NR NR
-2.01% $3680.60 Currency AUSTRALIAN DOLLARS AUD/USD -- $0.00 6/2/2017 -2,402,000 $1.34 AUD NR NR NR
-2.01% $1200.48 Currency AUSTRALIAN DOLLARS AUD/USD -- $0.00 7/5/2017 -2,402,000 $1.34 AUD NR NR NR
-2.44% $-147570.07 Currency MEXICAN NUEVO PESO MXN/USD -- $0.00 6/1/2017 -40,000,000 $18.52 MXN NR NR NR
-2.71% $-2409890.40 Government U S TREASURY NOTE 912828W89 -- $1.88 3/31/2022 -2,400,000 $100.43 USD GOVT GOVT GOVT
-2.91% $-182136.00 Credit Default Swap CDX HY28 5Y -- -- $5.00 6/20/2022 2,400,000 $-7.61 USD NR NR NR
-3.02% $-7725.08 Currency JAPANESE YEN JPY/USD -- $0.00 6/2/2017 -298,700,000 $111.24 JPY NR NR NR
-3.03% $8870.12 Currency JAPANESE YEN JPY/USD -- $0.00 7/5/2017 -298,700,000 $111.10 JPY NR NR NR
-3.08% $-2733000.00 Reverse Repo U S CORP REV REPO -- -- $1.30 6/6/2017 -2,733,000 $100.00 USD NR NR NR
-3.61% $-74619.92 Currency EUROPEAN MONETARY UNION EURO EUR/USD -- $0.00 6/2/2017 -2,870,000 $0.90 EUR NR NR NR
-8.61% $550204.67 Interest Rate Swap - Payer IRS USD 1.50000 06/21/17-10Y CME -- -- $1.50 6/21/2027 -8,200,000 $-6.71 USD NR NR NR
-10.92% $-204449.50 Credit Default Swap CDX IG26 5Y -- -- $1.00 6/20/2021 9,500,000 $-2.15 USD NR NR NR
-19.67% -- Future FIN FUT US 5YR CBT 09/29/17 FVU7 -- $6.00 9/30/2017 -148 $118.10 USD NR NR NR
-76.34% -- Other net assets (liabilities)1 -- -- -- -- -- -- Not Rated Not Rated Not Rated
1 Includes, but is not limited to, unsettled activity from creation/redemption transactions and portfolio security trades and accrued interest. It does not include the accrual of annual fund operating expenses after expense reimbursements.


The adjusted shares outstanding is 880,000. This includes any changes in shares outstanding due to creations or redemptions on the previous business day.

Legend:
% of Net Assets: Exposure in percentage terms relative to the net assets of the Fund for each position. For non-derivative holdings, market value of the Fund's holdings. For derivative positions excluding options, notional exposure of the position. For options, daily gain or loss of the position.
$ Market Value: For non-derivative holdings, market value of the Fund's positions in U.S. dollars. For derivative positions, daily gain or loss of the position or change in variation margin.
Description: Summary description of the position. For cleared swaps and listed options, this will include exchange or clearing information. For options, this includes the strike price. For total return swaps, this includes the initial levels for total return swaps. For credit default swaps, interest rate swaps and swaptions, this includes information on the underlying exposure such as tenor or currency.
Identifier: Unique identifier for the position which may be a CUSIP, ISIN, Sedol, exchange ticker, Markit RED code, or currency pair. Please note that certain positions such as OTC derivatives and some forwards may not have an identifier.
Underlying Identifier: Information on the underlying security or index referenced in a derivative contract.
Coupon Rate: Coupon rate of position. For credit default swaps or interest rate swaps, this is the rate for the fixed leg of the swap.
Maturity Date: Maturity date or expirary of the position.
Par Value/Quantity: For bonds this provides par value. For options and futures, this provides number of contracts. For credit default swaps, interest rate swaps and swaptions, this provides the amount of exposure. For total return swaps, this provides the number of units of the swap, which can be multiplied by the initial level or price to determine the amount of exposure.
Security Price: The price of the position as of the previous close. For credit default swaps, this price is the points up-front, priced in percentage of par. For options and futures, this is the price per contract. For currency pairs, this is the exchange rate. For total return swaps, this is the price or index level of the underlying security or index. For interest rate swaps and swaptions, this is the premium, quoted in percentage terms of the amount of exposure.
Currency: The currency of the position. Please note that Par Value is provided in the specified currency.
Credit quality: Ratings for each issue are obtained using ratings from Standard & Poor's (S&P), Moody's Investors Service, Fitch Ratings or other rating services. In the fund holdings, the credit rating for other net assets (liabilities) appears as "NL", not rated securities are indicated as "NR" and U.S. Treasury, U.S. Agency, U.S. Agency mortgage-backed securities and other Sovereign (foreign or domestic) securities appear under "GOVT". The credit quality of a particular security or group of securities does not ensure the stability or safety of the overall portfolio.