April 13, 2016 Regina Rodrigues - imperial.granicus.com

333 S. Hope Street, Suite 4050, Los Angeles, CA 90071 ● 213.687.9170 (phone) ● 213-687-9189 (fax) ● bradfordmarzec.com

April 13, 2016 Regina Rodrigues Imperial County Employees' Retirement System 1221 W. State Street El Centro, CA 92243 Dear Regina, In 1Q16, the 10-year US Treasury yield fell by 50bps to 1.75% and the US Treasury sector of the Barclays Aggregate returned +3.20%, while the Barclays Aggregate produced an overall total return of +3.03%. Overall bond prices rose on an increasingly dovish Federal Reserve stance, as well as the continued lack of global inflation pressure. A pervasively low-yield environment outside of the US also put downward pressure on US yields. The Corporate sector provided +16bps of excess returns in 1Q16. However, that result doesn’t adequately communicate the volatility experienced during the period, as corporate bonds initially reacted negatively to an increasingly pessimistic global economic outlook, but then rebounded sharply late in the quarter as commodity prices firmed. More specifically, the Corporate sector provided excess returns of -215bps, -31bps and +262bps, respectively, in January, February and March. The Barclays US High Yield Index experienced similar volatility and finished the quarter with an overall excess return of +77bps. The US MBS sector stood out as the period’s worst performer, producing -38bps in excess return as it weakened with falling Treasury rates and failed to catch the late-quarter risk-on bid inspired by a rally in commodity prices. CMBS produced the Aggregate’s highest excess return (+58bps), as investors recognized the sector’s still-favorable fundamentals and influential macro factors such as generally supportive employment trends. With regard to the outlook for US GDP, we lowered our 2016 forecast to 1.0─2.0%. Despite healthy employment growth, unemployment at 5.0%, and a contained level of initial jobless claims, we have concerns regarding the effect of sluggish global growth, flat consumer spending, and high inventory levels. The strength of the US dollar appears to have peaked in January. Many commodity prices, including oil, also recovered from cyclical lows during the quarter, leading to speculation that markets may have experienced the bottom of the commodity cycle. However, the views of market strategists regarding any commodity cycle bottoming remain strongly bifurcated, and many expect another price downturn to new lows later in the year. There is no question that the combination of a strong US dollar and weak commodity prices was severely impacting growth overseas, and this was increasingly being factored into the Federal Reserve’s decision making. Nevertheless, the dynamics of a lower US dollar and higher commodities prices have, for now, paved the way for somewhat better economic conditions in many parts of the world. We would like to thank you for your continued confidence in our firm, as well as your loyalty and support. We remain focused on producing competitive risk-adjusted performance for all of our clients. If you have any questions or concerns, please don’t hesitate to contact us. Sincerely, Edward Bradford Managing Partner

Fixed Income Statement

3 3 3 S O U T H H O P E S T R E E T . S U I T E 4 0 5 0 ∙ L O S A N G E L E S , C A 9 0 0 7 1 ∙ 2 1 3 . 6 8 7 . 9 1 7 0 ∙ W W W . B R A D F O R D M A R Z E C . C O M

IMPERIAL COUNTYEMPLOYEES’ RETIREMENT SYSTEM

March 31, 2016

• 1 •

Note: Statements expressed are our current opinions as of the date indicated above and are subject to change without notice.

CORE PLUS COMPOSITE COMMENTARYECONOMIC & SECTOR OUTLOOK

1Q2016 Core Plus Strategy Relative Performance Drivers

Contributors:• Overweight allocation to CMBS, Bank Loans, and High Yield• Currency Positions

Detractors:• Security selection in Investment Grade Credit and High Yield• Small Cash positioning in rallying interest rate market

MARCH 2016• Securitized

We remain cautious with regard to most of the securitized sectors, after an extremely volatilequarter in the fixed income markets. We added modestly again to agency MBS, but remainslightly underweight. Mortgage relative value has improved, given the rebound in many of theother sectors; it should also be supported by the recent dovish Fed commentary. CMBSexperienced a strong recovery in March, but liquidity remains very challenged. We target a 6%allocation, versus 2% in the Barclays Aggregate Index. The ABS sector continues to provideincremental yield advantage in a short-maturity, high-quality asset. We favor an overweight tothe ABS sector, with a 10% target allocation focused on prime and subprime autos, credit cardsand timeshare ABS.

• Investment Grade CreditWe moved to a stable outlook, based upon improving technicals and reasonable valuations,offset by deteriorating fundamentals. Credit spreads tightened significantly in recent weeks andappear to be approaching fair value, yet all-in yields remain attractive to non-US buyers. Creditfundamentals and corporate profitability continue to deteriorate in a trend which we expect tocontinue. Technicals are improving, given expected declining issuance as a result of marketvolatility as well as stronger demand from foreign investors given interest rate differentials andforeign central bank QE. US and global growth concerns, geopolitical uncertainties, concernsover Federal Reserve policy, and depressed commodity prices may keep spread volatility high.

• High YieldWe remain constructive on high yield bonds, based on strong fundamentals in most industrysub-sectors, with the exception of Energy and Metals & Mining. High Yield providesdiversification benefits, given its low long-term historical correlation to interest rates. Despite thestrong rally in March, the relative value offered by High Yield remains attractive.

• Leveraged LoansThe leveraged loan market posted strong returns in March, on the back of a rebound in riskassets and improving technicals. The Credit Suisse Institutional Leveraged Loan Index(CSILLI) returned +1.80% in March, following four consecutive monthly losses. Technicalsimproved somewhat, as retail loan funds experienced their first (albeit small) inflow in tenmonths. While fundamentals remain broadly supportive, the Energy and Metals & Miningsectors remain severely challenged.Non-DollarThe US dollar weakened against most major currencies in March, as the prospect of further ratehikes by the Fed in 2016 diminished. As the dollar weakened, the sharp rebound in oil continuedfrom February, as the likelihood of global slowdown appeared to be overdone.

Portfolio Strategy

Economic Summary & OutlookGlobal Economies (ex US)

• Despite a continuing rebound in commodity prices and commodity related currencies, there remains abifurcated market view regarding the sustainability of economic growth. We believe a gradual globaleconomic recovery, led by China, will sustain recent commodity price rises, including energy. Theweaker dollar continues to benefit US export industries. In addition to higher commodity prices,tentative signs suggest that global deflation fears may diminish and inflation may return in someregions. One indicator could include recent strength in the TIPS and other inflation linked securitiesmarkets. The Baltic Dry Index continues to rise sharply, indicating a pickup in world trade volume.

• US EconomyFirst quarter growth appears to be less robust than previously expected due to lower personalconsumption combined with the adverse impact of negative net exports and business inventory runoff.Wage growth, or the lack thereof, merits attention. Without further wage growth, the consumer will behard pressed to advance the economy.Regional activity reports reflect early signs of a bottoming in the manufacturing sector. A stable toweaker dollar should further benefit manufacturers.Non-farm payroll growth at greater than 200,000 per month remains healthy and appears to be drawingdetached workers back into the labor pool, as the labor market participation rate now registers 63.0%,after bottoming at 62.4% last September.Bradford & Marzec forecasts US GDP growth for 2016 to be in the 1-2% range.

• Interest Rates and US GovernmentsInterest rates were little changed during March. The ten year note yield moved modestly higher by4bps to 1.77%.

The FOMC met in March and updated its Summary of Economic Projections (SEP). Surprisingly, thecommittee members’ median year end fed funds rate forecast declined 50bps, implying only two ratehikes this year, versus four previously.

Low overseas rates continue to influence US interest rates as global investors view US Treasuries asa higher-yielding alternative.

We continue to position portfolio duration neutrally versus benchmark durations.

IMPERIAL COUNTYEMPLOYEES' RETIREMENT SYSTEM

P24736

TOTAL RATE OF RETURN

- BARCLAYS AGGREGATE INDEX -INCEPTION INCEPTION

ACCRUED NET CASH ANNUALIZED ANNUALIZEDDATE MARKET VALUE INTEREST FLOWS MONTH QUARTER YEAR-TO-DATE 12/01/92 MONTH QUARTER YEAR-TO-DATE 12/01/92

01/31/16 91,096,021.15 521,975.02 + 1.11% + 1.11% + 1.38% + 1.38%02/29/16 91,448,705.45 541,383.23 + 0.41% + 1.52% + 0.71% + 2.10%03/31/16 92,811,423.86 601,538.18 + 1.55% + 3.09% + 3.09% + 6.79% + 0.92% + 3.03% + 3.03% + 5.81%

FINANCIAL SUMMARY

$87,610,768.74 MARKET VALUE OF DOMESTIC SECURITIES*$2,984,454.44 MARKET VALUE OF INTERNATIONAL SECURITIES*$1,953,383.70 CASH($960,344.41) NET (PAYABLES)/RECEIVABLES

$1,223,161.39 REALIZED GAIN/(LOSS) ON CLOSED FX FORWARD CONTRACTS$601,538.18 ACCRUED INTEREST

$93,412,962.04 VALUE OF BOND PORTFOLIO, MARCH 31, 2016

*Market value is exclusive of accrued income unless explicitly stated.

-RATE OF RETURN (GROSS OF FEES)-

03/31/16

IMPERIAL COUNTYEMPLOYEES' RETIREMENT SYSTEM

TOTAL RATE OF RETURN

DOMESTIC & INTERNATIONAL PORTFOLIOS(IN U.S. DOLLARS)

FINANCIAL SUMMARY03/31/16

% of Market Value RATE OF RETURN (GROSS OF FEES)Portfolio ( U.S. Dollars) Description Month Quarter Year-To-Date

96.7% 90,349,421.61 DOMESTIC PORTFOLIO (SECURITIES & CASH) + 1.43% + 2.93% + 2.93%

3.3% 3,063,540.43 INTERNATIONAL PORTFOLIO (SECURITIES & CASH)* + 5.19% + 8.20% + 8.20%

100.0% $93,412,962.04 VALUE OF BOND PORTFOLIO, MARCH 31, 2016 + 1.55% + 3.09% + 3.09%

SUMMARY OF PORTFOLIO

Imperial County Employees' Retirement System

P24736

As of: 03/31/16

AVERAGE COUPON: 3.79% AVERAGE MATURITY: 7.32 Years AVERAGE RATING: A1 CURRENT YIELD: 3.51% YIELD TO WORST: 3.21% YIELD TO MATURITY: 3.21% EFFECTIVE DURATION: 5.45

Page 1

DISTRIBUTION BY MARKET SECTOR


P24736

As of: 03/31/16

Market Sector Market Value % Port Duration Duration(US Dollars$) of Sector Contribution

Asset Backed 10,475,187.36 11.29% 2.16 0.24Cash/Cash Equiv 2,186,365.98 2.36% 0.00 0.00CMBS 5,830,750.61 6.28% 5.73 0.36Electric & Gas 527,522.07 0.57% 7.29 0.04Finc'l Services 12,524,661.05 13.49% 5.09 0.69Healthcare 582,124.67 0.63% 6.46 0.04Industrial 19,528,409.82 21.04% 7.36 1.55International 3,014,288.97 3.25% 6.87 0.22Mortgages 21,999,823.55 23.70% 2.98 0.71Non-Corporate 79,228.80 0.09% 3.65 0.00Telephone 1,548,894.28 1.67% 10.66 0.18Term Loans 3,013,840.72 3.25% 0.07 0.00US Treasury 11,500,325.81 12.39% 11.45 1.42

92,811,423.69 100.00% 5.45 5.45

Page 2

DISTRIBUTION BY STATED MATURITY


P24736

As of: 03/31/16

Maturity Range Market Value % Port Duration of Duration(US Dollars$) Maturity Range Contribution

Under 5 Yrs 22,819,684.32 24.59% 2.20 0.545 Yrs - 10 Yrs 25,715,794.67 27.71% 5.59 1.5510 Yrs - 20 Yrs 18,482,477.57 19.91% 6.59 1.31Over 20 Yrs 25,793,467.13 27.79% 7.38 2.05

92,811,423.69 100.00% 5.45 5.45

Page 3

DISTRIBUTION BY RATING


P24736

As of: 03/31/16

Rating Market Value % Port Duration Durationof Rating Contribution

CASH/EQUIV 2,186,365.98 2.36% 0.00 0.00Aaa 40,417,756.56 43.55% 5.59 2.43Aa 7,783,877.80 8.39% 5.75 0.48A 9,964,113.14 10.74% 6.47 0.70Baa 24,794,488.86 26.71% 6.09 1.63Ba 3,460,683.34 3.73% 2.87 0.11B 3,169,060.46 3.41% 2.68 0.09No Rating 1,035,077.56 1.12% 1.49 0.02

92,811,423.69 100.00% 5.45 5.45

Page 4

RCorpuz

Typewritten Text

Note: Securities with ‘No Rating’ by Moody’s and S&P are rated by Fitch: •ABMT 2015-6 A5, 3.500%, 09/25/45; CUSIP 00842DAE3 - Fitch Rating is ‘AAA’ = 0.58% (% Port) •STACR 2014-DN2 M2, 2.086%, 04/25/24; CUSIP 3137G0AX7 - Fitch Rating is ‘BBB-‘ = 0.54% (% Port)

BOND PURCHASES REPORT (DOMESTIC BONDS)


P24736 From 03/01/16

To 03/31/16

Trade Date/ Par (000) CUSIP Description Unit Cost Principal Amount Accr Int Total Amt BrokerSettle Date Coupon/Maturity

03/01/16 315.000 912828P53 U.S. TREASURY NOTE 99.340 (312,920.50) (110.34) (313,030.84) Bank of America Merrill Lynch03/03/16 0.750% 02/15/19



03/02/16 700.000 912828UR9 U.S. TREASURY NOTE 99.816 (698,714.83) (57.07) (698,771.90) Bank of America Merrill Lynch03/04/16 0.750% 02/28/18

03/01/16 420.000 67103HAE7 O'REILLY AUTOMOTIVE INC. 99.832 (419,294.40) 0.00 (419,294.40) US BANCORP03/08/16 3.550% 03/15/26

03/04/16 220.000 98160VAD3 WOLS 2015-A A3 100.082 (220,180.46) (225.87) (220,406.33) CITIGROUP GLOBAL MARKETS03/09/16 1.540% 10/15/18

03/07/16 125.000 26875PAG6 EOG RESOURCES INC 101.606 (127,007.50) (555.21) (127,562.71) FTN FINANCIAL03/10/16 4.100% 02/01/21

03/07/16 75.000 26875PAK7 EOG RESOURCES INC 90.354 (67,765.50) (957.03) (68,722.53) BARCLAYS03/10/16 2.625% 03/15/2303/07/16 90.000 26875PAK7 EOG RESOURCES INC 91.036 (81,932.40) (1,148.44) (83,080.84) MORGAN STANLEY03/10/16 2.625% 03/15/23

03/08/16 963.559 3128MJXX3 FGLMC 30-YR POOL #G08693 104.500 (1,006,919.57) (1,217.83) (1,008,137.40) WELLS FARGO03/14/16 3.500% 02/01/46

03/08/16 361.000 084670BS6 BERKSHIRE HATHAWAY INC. 99.906 (360,660.66) 0.00 (360,660.66) WELLS FARGO03/15/16 3.125% 03/15/2603/08/16 69.000 084670BS6 BERKSHIRE HATHAWAY INC. 100.614 (69,423.66) 0.00 (69,423.66) STIFEL03/15/16 3.125% 03/15/26

03/11/16 244.000 12625CAJ2 COMM 2013-WWP B 101.543 (247,764.84) (378.76) (248,143.60) DEUTSCHE BANK03/16/16 3.726% 03/10/31

Page 5



P24736 From 03/01/16

To 03/31/16


03/11/16 402.000 912828P79 U.S. TREASURY NOTE 98.160 (394,603.82) (262.18) (394,866.00) GOLDMAN SACHS03/16/16 1.500% 02/28/23

03/10/16 175.000 574599BL9 MASCO CORP 99.524 (174,167.00) 0.00 (174,167.00) RBC DOMINION03/17/16 4.375% 04/01/26

03/16/16 135.000 912810RP5 U.S. TREASURY BOND 105.594 (142,551.56) (1,413.05) (143,964.61) SUNTRUST03/21/16 3.000% 11/15/4503/16/16 135.000 912810RP5 U.S. TREASURY BOND 105.688 (142,678.12) (1,413.05) (144,091.17) JP MORGAN03/21/16 3.000% 11/15/4503/16/16 60.000 912810RP5 U.S. TREASURY BOND 105.938 (63,562.50) (628.02) (64,190.52) GOLDMAN SACHS03/21/16 3.000% 11/15/45

03/15/16 430.000 436106AA6 HOLLYFRONTIER CORP 98.701 (424,414.40) 0.00 (424,414.40) WELLS FARGO03/22/16 5.875% 04/01/26

03/17/16 97.000 912810RP5 U.S. TREASURY BOND 106.563 (103,365.62) (1,023.30) (104,388.92) DEUTSCHE BANK03/22/16 3.000% 11/15/4503/17/16 395.000 912810RP5 U.S. TREASURY BOND 106.594 (421,045.31) (4,167.04) (425,212.35) CITIGROUP GLOBAL MARKETS03/22/16 3.000% 11/15/45

03/17/16 260.000 912828P87 U.S. TREASURY NOTE 98.781 (256,831.25) (174.86) (257,006.11) SEAPORT03/22/16 1.125% 02/28/21

03/21/16 485.000 269246BL7 E*TRADE FINANCIAL CORP 106.125 (514,706.25) (9,341.30) (524,047.55) STIFEL03/24/16 5.375% 11/15/22

03/21/16 228.371 82652DAA8 SRFC 2014-2A A 98.938 (225,945.04) (52.02) (225,997.06) Bank of America Merrill Lynch03/24/16 2.050% 08/20/31

03/22/16 97.000 912810RP5 U.S. TREASURY BOND 106.563 (103,365.63) (1,071.26) (104,436.89) SUNTRUST03/28/16 3.000% 11/15/45

03/21/16 290.000 053807AS2 AVNET INC. 99.276 (287,900.40) 0.00 (287,900.40) Bank of America Merrill Lynch03/29/16 4.625% 04/15/26

Page 6



P24736 From 03/01/16

To 03/31/16


03/21/16 165.000 053807AS2 AVNET INC. 100.069 (165,113.85) 0.00 (165,113.85) STIFEL03/29/16 4.625% 04/15/26

03/24/16 500.000 912828NA4 U.S. TREASURY NOTE 102.617 (513,085.94) (6,481.80) (519,567.74) BMO Capital Markets03/30/16 3.125% 04/30/17

03/28/16 925.000 3128MJX39 FGLMC 30-YR POOL #G08697 101.848 (942,090.82) (2,312.50) (944,403.32) JP MORGAN03/31/16 3.000% 03/01/46

Total: ( 29 items ) (33,110.33) (8,797,514.93)

Page 7

INTERNATIONAL BOND PURCHASES REPORT (NON-DOLLAR BONDS)

No Data No Data No Data

From No Data To 03/31/16

Trade Date/ Par (000) Description Currency Unit Cost: Principal Amt: Accr Int: Total Amt: Broker/Settle Date (Local) Coupon/Maturity US/Local US/Local US/Local US/Local US/Local Exch Rate CUSIP/

No Activity

Page 8

BOND SALES REPORT (DOMESTIC BONDS)


P24736 From 03/01/16

To 03/31/16

Trade Date/ Par (000) CUSIP Description Price Principal Amt Accr Int Total Amt Realized G/L /Settle Date Coupon/Maturity Broker

03/01/16 391.000 912828P46 U.S. TREASURY NOTE 98.234 384,096.42 279.28 384,375.70 -2,061.9003/02/16 1.625% 02/15/26 US BANCORP

03/01/16 300.000 912828N30 U.S. TREASURY NOTE 103.371 310,113.29 1,103.36 311,216.65 8,768.9903/03/16 2.125% 12/31/22 BMO Capital Markets

03/01/16 318.000 912828N63 U.S. TREASURY NOTE 100.434 319,378.83 471.76 319,850.59 1,391.2503/03/16 1.125% 01/15/19 Bank of America Merrill Lynch

03/02/16 173.000 912828M56 U.S. TREASURY NOTE 103.488 179,034.73 1,176.30 180,211.03 -1,696.2103/04/16 2.250% 11/15/25 BMO Capital Markets

03/08/16 320.000 05329WAL6 AUTONATION INC 99.700 319,040.00 1,667.55 320,707.55 -1,562.1803/11/16 3.350% 01/15/21 FTN FINANCIAL

03/08/16 410.000 30231GAT9 EXXON MOBIL CORPORATION 100.699 412,865.90 277.25 413,143.15 2,865.9003/11/16 3.043% 03/01/26 DEUTSCHE BANK

03/08/16 966.000 912828P87 U.S. TREASURY NOTE 98.973 956,075.86 324.84 956,400.70 -5,094.1403/11/16 1.125% 02/28/21 GOLDMAN SACHS

03/15/16 6.956 009090AA9 AIR CANADA 2015-1A PTT 144A 100.000 6,956.24 0.00 6,956.24 0.0003/15/16 3.600% 09/15/27

03/11/16 340.000 12593ABC8 COMM 2015-CR23 AM 100.930 343,160.94 538.48 343,699.42 -7,029.2803/16/16 3.801% 05/10/48 CANTOR FITZGERALD

03/11/16 82.000 172967KD2 CITIGROUP INC 100.125 82,102.50 1,716.02 83,818.52 102.5003/16/16 6.125% 12/29/49 CITIGROUP GLOBAL MARKETS

03/11/16 306.000 36192QAA2 GSMS 2012-TMSQ A VR 144A 99.297 303,848.44 383.39 304,231.83 6,579.6803/16/16 3.007% 12/10/30 JP MORGAN

03/11/16 25.000 573284AP1 MARTIN MARIETTA MATERIAL FR 99.045 24,761.25 91.07 24,852.32 -151.2503/16/16 1.729% 06/30/17 DEUTSCHE BANK

Page 9



P24736 From 03/01/16

To 03/31/16


03/14/16 270.000 98310WAJ7 WYNDHAM WORLDWIDE 101.476 273,985.20 510.00 274,495.20 -872.1003/17/16 4.250% 03/01/22 MORGAN STANLEY

03/16/16 215.000 37045VAK6 GENERAL MOTORS CO. 108.840 234,006.00 1,103.67 235,109.67 19,178.0003/21/16 6.600% 04/01/36 JP MORGAN03/16/16 220.000 37045VAK6 GENERAL MOTORS CO. 108.963 239,718.60 1,129.33 240,847.93 18,053.8003/21/16 6.600% 04/01/36 SUNTRUST

03/16/16 175.000 423074AS2 HJ HEINZ CO 144A 109.000 190,750.00 853.13 191,603.13 9,240.0003/21/16 4.875% 02/15/25 Bank of America Merrill Lynch

03/16/16 85.000 50247VAC3 LYB INTL FINANCE BV 96.853 82,325.05 69.06 82,394.11 -9,985.8003/21/16 4.875% 03/15/44 GOLDMAN SACHS03/17/16 140.000 50247VAC3 LYB INTL FINANCE BV 97.568 136,595.20 132.71 136,727.91 -15,446.2003/22/16 4.875% 03/15/44 DEUTSCHE BANK

03/17/16 335.000 512807AM0 LAM RESEARCH CORP 97.672 327,201.20 179.13 327,380.33 -7,517.4003/22/16 2.750% 03/15/20 SEAPORT

03/17/16 455.000 58013MEZ3 MCDONALD'S CORP 107.697 490,021.35 6,118.49 496,139.84 35,166.8503/22/16 4.700% 12/09/35 CITIGROUP GLOBAL MARKETS

03/16/16 180.000 912828P46 U.S. TREASURY NOTE 97.281 175,106.25 289.28 175,395.53 -2,664.8403/22/16 1.625% 02/15/26 WELLS FARGO03/21/16 261.000 912828P46 U.S. TREASURY NOTE 97.383 254,169.14 442.77 254,611.91 -3,598.9503/24/16 1.625% 02/15/26 Bank of America Merrill Lynch

03/21/16 485.000 912828P87 U.S. TREASURY NOTE 98.793 479,145.91 355.84 479,501.75 -3,429.0903/24/16 1.125% 02/28/21 BMO Capital Markets

03/11/16 73.904 BL1290701 TCH-2 HOLDINGS TL 1L USD 92.000 67,991.22 0.00 67,991.22 -5,173.2403/24/16 5.500% 05/08/21 CS FIRST BOSTON

03/22/16 140.000 50247VAC3 LYB INTL FINANCE BV 98.008 137,211.20 246.46 137,457.66 -14,830.2003/28/16 4.875% 03/15/44 SUNTRUST

Page 10



P24736 From 03/01/16

To 03/31/16


03/28/16 170.000 69351HAD4 PPF FUNDING INC. 144A 105.169 178,787.98 4,387.42 183,175.40 8,841.8303/28/16 5.700% 04/15/17

03/22/16 335.000 912810RP5 U.S. TREASURY BOND 105.617 353,817.58 3,699.72 357,517.30 -6,961.7203/28/16 3.000% 11/15/45 GOLDMAN SACHS

03/24/16 125.000 26875PAG6 EOG RESOURCES INC 105.135 131,418.75 839.93 132,258.68 4,411.2503/30/16 4.100% 02/01/21 JEFFERIES & COMPANY

03/24/16 165.000 26875PAK7 EOG RESOURCES INC 94.080 155,232.00 180.46 155,412.46 5,534.1003/30/16 2.625% 03/15/23 WELLS FARGO

03/24/16 25.000 912810RP5 U.S. TREASURY BOND 106.844 26,710.94 280.22 26,991.16 -212.8903/30/16 3.000% 11/15/45 BMO Capital Markets03/24/16 70.000 912810RP5 U.S. TREASURY BOND 107.797 75,457.81 784.62 76,242.43 71.0903/30/16 3.000% 11/15/45 CS FIRST BOSTON

03/28/16 437.000 912828P46 U.S. TREASURY NOTE 97.863 427,662.54 877.90 428,540.44 -3,926.1703/31/16 1.625% 02/15/26 CITIGROUP GLOBAL MARKETS

03/28/16 965.000 912828P87 U.S. TREASURY NOTE 98.898 954,369.92 914.52 955,284.44 -5,805.0803/31/16 1.125% 02/28/21 GOLDMAN SACHS

Total: ( 33 items ) 9,033,118.24 31,423.96 9,064,542.20 22,186.60

Page 11

INTERNATIONAL BOND SALES REPORT (NON-DOLLAR BONDS)


From No Data To 03/31/16

Trade Date/ Par (000) Description Currency: Sale Price: Principal Amt: Accr Int: Total Amt: Realized G/L: Broker/Settle Date (Local) Coupon/Maturity US/Local US/Local US/Local US/Local US/Local US/Local CUSIP

No Activity

Page 12

PENDING TRADES REPORT (BUY/SELL TRANSACTIONS)


P24736

As of: 03/31/16

Trade Date/ Par (000) CUSIP Description Price Principal Amount Accrued Int. Total Amt BrokerSettle Date Coupon/Maturity

Buy Transactions

01/21/16 65.000 BL1927880 GRAY TELEVISION TL C 1L USD 99.000 (64,350.00) 0.00 (64,350.00) WELLS FARGO04/04/16 4.250% 06/13/21

03/22/16 435.000 871829BD8 SYSCO CORPORATION 99.657 (433,507.95) 0.00 (433,507.95) GOLDMAN SACHS04/01/16 4.500% 04/01/4603/24/16 85.000 871829BD8 SYSCO CORPORATION 102.094 (86,779.90) 0.00 (86,779.90) CS FIRST BOSTON04/01/16 4.500% 04/01/46

03/28/16 465.000 68217FAA0 OMNICOM GROUP INC. 99.907 (464,567.55) 0.00 (464,567.55) CITIGROUP GLOBAL MARKETS04/06/16 3.600% 04/15/26

03/29/16 313.000 912828P87 U.S. TREASURY NOTE 99.016 (309,918.91) (306.19) (310,225.10) DEUTSCHE BANK04/01/16 1.125% 02/28/21

03/30/16 300.000 912810RP5 U.S. TREASURY BOND 107.059 (321,175.78) (3,412.09) (324,587.87) Bank of America Merrill Lynch04/01/16 3.000% 11/15/45

03/30/16 80.000 51817TAA0 LATAM AIRLINES GROUP SA 144A 87.375 (69,900.00) (457.33) (70,357.33) JP MORGAN04/04/16 4.200% 11/15/27

03/30/16 158.111 3128P8BM2 FGTW 20-YR POOL #C91844 105.516 (166,831.49) (184.46) (167,015.95) FTN FINANCIAL04/13/16 3.500% 09/01/35

03/31/16 925.000 912810RP5 U.S. TREASURY BOND 107.906 (998,132.81) (10,749.31) (1,008,882.12) DEUTSCHE BANK04/04/16 3.000% 11/15/45

03/31/16 1,000.000 912828Q37 U.S. TREASURY NOTE 100.137 (1,001,367.19) (136.61) (1,001,503.80) Bank of America Merrill Lynch04/04/16 1.250% 03/31/21

Buy Transactions ( 10 items ) (3,916,531.58) (15,245.99) (3,931,777.57)

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Sell Long Transactions

03/16/16 163.350 BL1668872 VALEANT PHARMA TL B F1 1L US 92.500 151,098.75 0.00 151,098.75 DEUTSCHE BANK04/01/16 4.000% 03/13/22

03/29/16 30.000 78469XAC1 SPX FLOW INC 103.500 31,050.00 171.87 31,221.87 WELLS FARGO04/01/16 6.875% 09/01/17

03/29/16 240.000 806851AE1 SCHLUMBERGER HLDGS CORP 1 101.411 243,386.40 2,416.67 245,803.07 DEUTSCHE BANK04/01/16 3.625% 12/21/22

03/30/16 681.000 981464DB3 WFNMT 2012-B A 100.422 683,872.97 632.57 684,505.54 BARCLAYS04/04/16 1.760% 05/17/21

03/31/16 963.000 912810RN0 U.S. TREASURY BOND 105.090 1,012,015.19 3,727.00 1,015,742.19 BMO Capital Markets04/04/16 2.875% 08/15/45

03/31/16 500.000 912828NA4 U.S. TREASURY NOTE 102.605 513,027.34 6,696.43 519,723.77 JP MORGAN04/04/16 3.125% 04/30/17

03/31/16 292.000 423074AS2 HJ HEINZ CO 144A 110.000 321,200.00 1,977.09 323,177.09 STIFEL04/05/16 4.875% 02/15/25

Sell Long Transactions ( 7 items ) 2,955,650.65 15,621.63 2,971,272.28

Pay Princl L Transactions

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As of: 03/31/16


Pay Princl L Transactions - cont.03/31/16 0.161 BL1927880 GRAY TELEVISION TL C 1L USD 100.000 160.88 0.00 160.88 04/04/16 4.250% 06/13/21

Pay Princl L Transactions ( 1 items ) 160.88 0.00 160.88

Total: ( 18 items ) (960,720.05) 375.64 (960,344.41)

Page 15

HOLDINGS REPORT BY SECTOR


P24736

As of: 03/31/16

Par (000)/ Unit Market UnrealizedContracts CUSIP Description Cpn Maturity Cost Price Market Value %Pct Gain/Loss

Asset Backed

895.000 13974LAC2 AFIN 2015-4 A3 1.830 03/20/20 99.979 100.255 897,280.64 0.97% 2,472.62474.000 03064VAE8 AMCAR 2014-2 C 2.180 06/08/20 99.983 100.660 477,126.93 0.51% 3,208.65179.000 03062AAF3 AMCAR 2014-3 C 2.580 09/08/20 99.996 100.191 179,341.80 0.19% 348.62239.000 03065LAF6 AMCAR 2015-2 C 2.400 01/08/21 99.703 100.085 239,202.65 0.26% 912.18500.000 03065NAF2 AMCAR 2015-3 C 2.730 03/08/21 99.999 100.874 504,369.30 0.54% 4,376.00263.000 03065VAF4 AMCAR 2016-1 C 2.890 01/20/22 99.998 100.934 265,455.76 0.29% 2,460.28437.000 02005AFL7 AMOT 2015-3 A 1.630 05/15/20 99.875 99.856 436,369.98 0.47% -83.77323.000 143127AE8 CARMX 2015-2 B 2.150 03/15/21 99.875 100.824 325,660.62 0.35% 3,064.37675.000 361886AG9 GFORT 2015-1 C 2.220 05/15/20 99.740 99.012 668,332.76 0.72% -4,686.69478.000 38013PAC3 GMALT 2015-1 A3 1.530 09/20/18 99.986 100.097 478,463.76 0.52% 533.02268.000 38013GAC3 GMALT 2015-2 A3 1.680 12/20/18 99.995 100.338 268,905.33 0.29% 919.21287.000 36250UAD6 GMALT 2016-1 A3 1.640 07/20/19 99.997 99.863 286,605.63 0.31% -385.70353.842 43284AAA2 HGVT 2014-AA A 1.770 11/25/26 99.109 98.361 348,041.58 0.37% -2,648.99678.777 55388PAA8 MVWOT 2015-1A A 2.520 12/20/32 99.993 99.847 677,736.11 0.73% -990.61610.000 78403DAH3 SBAC 2014-2A C 3.869 10/15/24 100.000 99.806 608,816.36 0.66% -1,183.64613.000 80283YAF2 SDART 2014-4 C 2.600 11/16/20 100.782 100.613 616,758.12 0.66% -1,400.91556.000 80284AAF3 SDART 2014-5 C 2.460 06/15/20 99.987 100.611 559,395.71 0.60% 3,469.38444.000 80285EAF4 SDART 2016-1 C 3.090 04/15/22 99.982 99.651 442,450.04 0.48% -1,468.26519.867 82652DAA8 SRFC 2014-2A A 2.050 08/20/31 99.693 99.527 517,406.82 0.56% -161.47212.263 82652EAA6 SRFC 2014-3A A 144A 2.300 10/20/31 99.600 99.741 211,712.02 0.23% -97.65296.231 82652FAA3 SRFC 2015-1A A 2.400 03/22/32 99.975 98.876 292,899.88 0.32% -3,257.30493.773 97655JAH5 WIN 2016-1 1A8 3.500 01/20/46 101.938 101.727 502,298.60 0.54% -1,041.37669.000 98160VAD3 WOLS 2015-A A3 1.540 10/15/18 100.031 100.233 670,556.96 0.72% 1,466.84

Subtotal: Asset Backed ( 23 items ) 99.992 100.022 10,475,187.36 11.29% 5,824.81

Cash/Cash Equiv

2,186.366 -CASH- U.S. DOLLARS (Cash) 0.000 03/31/16 100.000 100.000 2,186,365.98 2.36% 0.00

Subtotal: Cash/Cash Equiv ( 1 items ) 100.000 100.000 2,186,365.98 2.36% 0.00

Page 16



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As of: 03/31/16


CMBS

899.000 05490TAC6 BBCCR 2015-GTP B 4.216 08/10/33 102.993 104.329 937,917.71 1.01% 12,013.341,015.000 17324TAE9 CGCMT 2016-GC36 A5 3.616 02/01/49 102.998 105.419 1,070,003.46 1.15% 24,570.92

578.000 12625CAJ2 COMM 2013-WWP B 3.726 03/10/31 102.988 103.132 596,103.25 0.64% 4,363.33267.000 30290FAE2 FREMF 2012-K707 B 3.883 01/25/47 103.385 102.438 273,510.47 0.29% -2,692.62761.000 30291UAN8 FREMF 2014-K714 B 3.849 01/25/47 103.766 100.960 768,309.10 0.83% -20,505.99185.000 30291UAQ1 FREMF 2014-K714 C 3.849 10/25/20 103.262 97.040 179,524.83 0.19% -11,509.35494.000 30292QAA4 FREMF 2015-K718 B 3.548 02/25/22 99.571 95.250 470,535.00 0.51% -21,346.23412.000 36197QAC3 GSMS 2013-G1 A2 3.557 04/10/31 100.460 100.707 414,911.85 0.45% -3,094.49423.000 61764PBX9 MSBAM 2014-C19 B 4.000 12/15/24 102.697 103.751 438,864.66 0.47% 4,456.61642.263 61757LAE0 MSC 2008-T29 A4 6.268 01/11/18 119.019 106.042 681,070.28 0.73% -79,114.42

Subtotal: CMBS ( 10 items ) 106.081 102.554 5,830,750.61 6.28% -92,858.89

Electric & Gas

510.000 89566EAG3 TRISTATE GEN&TRANS ASSN 3.700 11/01/24 100.258 103.436 527,522.07 0.57% 16,358.57

Subtotal: Electric & Gas ( 1 items ) 100.258 103.436 527,522.07 0.57% 16,358.57

Finc'l Services

520.000 00912XAM6 AIR LEASE CORP. 3.875 04/01/21 99.853 101.625 528,450.00 0.57% 9,092.45175.000 02005NAV2 ALLY FINANCIAL INC. 5.125 09/30/24 98.085 102.250 178,937.50 0.19% 7,288.75142.000 02005NBF6 ALLY FINANCIAL INC. 5.750 11/20/25 99.065 97.750 138,805.00 0.15% -1,867.30420.000 04010LAN3 ARES CAPITAL CORP 4.875 11/30/18 106.013 102.736 431,490.36 0.46% -13,738.23560.000 05367AAD5 AVIATION CAPITAL GROUP 144A 6.750 04/06/21 113.250 112.500 630,000.00 0.68% -3,825.00510.000 06738EAN5 BARCLAYS PLC 4.375 01/12/26 99.512 98.132 500,473.20 0.54% -7,038.00445.000 172967JC6 CITIGROUP INC 4.300 11/20/26 99.536 99.518 442,855.10 0.48% -80.10485.000 269246BL7 E*TRADE FINANCIAL CORP 5.375 11/15/22 106.125 105.625 512,281.25 0.55% -2,425.00121.000 320517AB1 FIRST HORIZON NATIONAL 3.500 12/15/20 99.935 99.929 120,914.21 0.13% -7.14374.000 337158AF6 FIRST TENNESSEE BANK 2.950 12/01/19 99.768 100.235 374,880.02 0.40% 1,747.70410.000 38148LAF3 GOLDMAN SACHS GROUP INC 5.150 05/22/45 99.350 101.588 416,512.03 0.45% 9,177.03224.804 384780AA0 GRAIN SPECTRUM FUND II 144A 3.290 10/10/19 100.000 98.310 221,005.11 0.24% -3,799.19460.000 46625HHA1 JPMORGAN CHASE & CO. 7.900 04/29/49 99.344 100.000 460,000.00 0.50% 1,043.75

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As of: 03/31/16


Finc'l Services - cont.

485.000 52107QAG0 LAZARD GROUP LLC 3.750 02/13/25 93.062 94.458 458,121.15 0.49% 6,770.45570.000 52206AAC4 LEASEPLAN CORP NV 144A 2.875 01/22/19 100.003 99.640 567,949.14 0.61% -1,916.76269.000 52602EAD4 LENDER PROCESS SERVICES 5.750 04/15/23 106.792 103.500 278,415.00 0.30% -7,570.00480.000 59156RBP2 METLIFE INC 5.250 12/29/49 100.313 95.563 458,700.00 0.49% -22,618.75410.000 6174467X1 MORGAN STANLEY 5.000 11/24/25 102.296 108.222 443,709.38 0.48% 24,295.78460.000 74348TAN2 PROSPECT CAPITAL CORP. 5.000 07/15/19 101.627 90.562 416,584.74 0.45% -51,548.66275.000 744320AV4 PRUDENTIAL FINANCIAL INC 5.375 05/15/45 100.188 99.000 272,250.00 0.29% -3,537.50624.000 749770AQ6 RABOBANK NEDERLAND 144A FIX TO FLO 11.000 12/31/49 132.344 119.990 748,737.60 0.81% -76,753.65161.000 780097AZ4 ROYAL BK SCOTLAND GRP PLC 6.000 12/19/23 107.901 101.280 163,060.80 0.18% -10,659.81455.000 80281LAD7 SANTANDER UK GROUP HLDGS 3.125 01/08/21 99.998 100.585 457,661.30 0.49% 2,705.05535.000 81014AAA9 SCOTTRADE FINANCE SERVICE 144A 6.125 07/11/21 105.723 106.575 570,177.86 0.61% 13,832.20450.000 860630AE2 STIFEL FIN CAP TRST IV 3.500 12/01/20 99.614 99.961 449,826.30 0.48% 1,563.30385.000 867914BK8 SUNTRUST BANKS INC 2.900 03/03/21 99.783 101.461 390,623.70 0.42% 6,459.15445.000 78486QAD3 SVB FINANCIAL GROUP 3.500 01/29/25 100.061 98.832 439,801.96 0.47% -5,107.64385.000 87165BAJ2 SYNCHRONY FINANCIAL 2.600 01/15/19 99.974 100.214 385,822.36 0.42% 922.46460.000 902973AY2 US BANCORP 5.125 12/29/49 100.250 101.880 468,648.00 0.50% 8,123.00560.000 949746RN3 WELLS FARGO & COMPANY 5.875 12/31/49 100.751 106.780 597,968.00 0.64% 36,109.80

Subtotal: Finc'l Services ( 30 items ) 103.902 102.407 12,524,661.05 13.49% -83,361.87

Healthcare

179.000 23918KAQ1 DAVITA HEALTHCARE PARTNERSHIP 5.125 07/15/24 100.125 101.000 180,790.00 0.19% 1,566.2596.000 404119BQ1 HCA INC 5.250 04/15/25 102.750 103.000 98,880.00 0.11% 240.00

116.000 404119BR9 HCA INC 5.375 02/01/25 101.875 101.094 117,269.04 0.13% -905.96181.000 404119BN8 HCA INC. 5.000 03/15/24 100.750 102.313 185,185.63 0.20% 2,828.13

Subtotal: Healthcare ( 4 items ) 101.375 101.852 582,124.67 0.63% 3,728.41

Industrial

560.000 00507UAT8 ACTAVIS FUNDING SCS 4.550 03/15/35 100.270 103.031 576,973.60 0.62% 14,415.15274.000 008911AZ2 AIR CANADA 144A 7.750 04/15/21 101.000 98.500 269,890.00 0.29% -12,190.00438.044 009090AA9 AIR CANADA 2015-1A PTT 144A 3.600 09/15/27 100.000 97.750 428,187.78 0.46% -9,855.98

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As of: 03/31/16


Industrial - cont.

655.000 035242AN6 ANHEUSER-BUSCH INBEV FIN 4.900 02/01/46 99.765 111.756 732,003.11 0.79% 78,542.36445.000 037833BX7 APPLE INC. 4.650 02/23/46 99.423 109.165 485,786.03 0.52% 43,353.68465.000 03838WAA9 AQUARION COMPANY INC. 144A 4.000 08/15/24 99.578 101.482 471,889.44 0.51% 8,851.74455.000 053807AS2 AVNET INC. 4.625 04/15/26 99.673 101.091 459,965.87 0.50% 6,951.62430.000 084670BS6 BERKSHIRE HATHAWAY INC. 3.125 03/15/26 100.260 102.535 440,898.78 0.48% 10,814.46465.000 12505BAD2 CBRE SERVICES INC 4.875 03/01/26 99.240 100.660 468,067.14 0.50% 6,601.14212.000 1248EPBE2 CCO HOLDINGS LLC/CAP CORP. 5.750 01/15/24 99.975 104.125 220,745.00 0.24% 8,798.00190.000 15089QAD6 CELANESE US HOLDINGS LLC 4.625 11/15/22 101.625 100.600 191,140.00 0.21% -1,947.5090.000 184496AJ6 CLEAR HARBOR INC. 5.250 08/01/20 105.125 102.490 92,241.00 0.10% -2,221.50

174.000 25470XAW5 DISH DBS CORP 5.875 11/15/24 98.313 91.750 159,645.00 0.17% -11,598.75515.000 28370TAE9 EL PASO PIPELINE 5.000 10/01/21 103.815 102.029 525,451.41 0.57% -1,270.54390.000 285512AC3 ELECTRONIC ARTS INC 3.700 03/01/21 99.850 103.954 405,420.60 0.44% 16,005.60695.000 30212PAL9 EXPEDIA INC 144A 5.000 02/15/26 99.535 100.150 696,041.81 0.75% 4,273.56470.000 345397XQ1 FORD MOTOR CREDIT CO LLC 3.200 01/15/21 99.927 102.211 480,389.82 0.52% 10,732.92510.000 378272AF5 GLENCORE FUNDING LLC 144A 4.125 05/30/23 93.433 81.750 416,925.00 0.45% -66,085.85470.000 402524AC6 GULF SOUTH PIPELINE 144A 6.300 08/15/17 107.806 101.442 476,776.46 0.51% -29,473.34509.410 419838AA5 HAWAIIAN AIRLINES 13-1A 3.900 01/15/26 102.000 97.000 494,128.17 0.53% -25,470.52133.000 428040CN7 HERTZ CORP 6.250 10/15/22 102.625 100.000 133,000.00 0.14% -3,491.25430.000 436106AA6 HOLLYFRONTIER CORP 5.875 04/01/26 98.404 99.551 428,068.87 0.46% 3,654.47405.000 42824CAL3 HP ENTERPRISE CO. 144A 4.400 10/15/22 99.802 104.478 423,135.09 0.46% 18,936.99565.000 443510AG7 HUBBELL INC. 3.350 03/01/26 99.244 100.443 567,502.95 0.61% 6,774.35480.000 460690BL3 INTERPUBLIC GROUP COS 4.200 04/15/24 101.561 103.068 494,727.84 0.53% 4,628.79225.000 46186RAA7 INVISTA FINANCE LLC 144A 4.250 10/15/19 101.000 96.000 216,000.00 0.23% -11,250.00465.000 49427RAK8 KILROY REALTY LP 4.250 08/15/29 98.882 102.673 477,431.31 0.51% 17,630.01470.000 49456BAB7 KINDER MORGAN INC 144A 5.625 11/15/23 110.218 101.457 476,845.55 0.51% -41,179.05570.000 51817TAA0 LATAM AIRLINES GROUP SA 144A 4.200 11/15/27 93.688 87.000 495,900.00 0.53% -64,000.00430.000 573284AP1 MARTIN MARIETTA MATERIAL FRN 1.729 06/30/17 99.098 99.083 426,055.61 0.46% -88.39175.000 574599BL9 MASCO CORP 4.375 04/01/26 99.524 101.811 178,169.25 0.19% 4,002.25200.000 552953CC3 MGM RESORTS INTL 6.000 03/15/23 102.250 103.500 207,000.00 0.22% 2,462.50155.000 67059TAD7 NUSTAR LOGISTICS LP 6.750 02/01/21 100.000 93.500 144,925.00 0.16% -10,075.00420.000 67103HAE7 O'REILLY AUTOMOTIVE INC. 3.550 03/15/26 99.832 102.883 432,107.76 0.47% 12,813.36465.000 68217FAA0 OMNICOM GROUP INC. 3.600 04/15/26 99.907 102.436 476,325.54 0.51% 11,757.99380.000 71656LBJ9 PETROLEOS MEXICANOS 144A 6.375 02/04/21 100.000 106.650 405,270.00 0.44% 25,270.00585.000 718549AB4 PHILLIPS 66 PARTNERS LP 3.605 02/15/25 85.814 92.690 542,236.45 0.58% 40,026.90550.000 75886AAG3 REGENCY ENERGY PARTNERS 5.500 04/15/23 96.877 89.143 490,285.40 0.53% -65,087.1025.000 783764AR4 RYLAND GROUP 5.375 10/01/22 103.000 102.250 25,562.50 0.03% -187.50

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Industrial - cont.

57.000 78388JAT3 SBA COMMUNICATIONS CORP 4.875 07/15/22 99.464 101.250 57,712.50 0.06% 1,078.08215.000 78401FAG2 SBA TELECOMMUNICATIONS 5.750 07/15/20 104.125 103.250 221,987.50 0.24% -1,553.75185.000 78403DAE0 SBA TOWER TRUST 144A 3.598 04/15/18 102.188 99.909 184,832.37 0.20% -4,105.13240.000 806851AE1 SCHLUMBERGER HLDGS CORP 144A 3.625 12/21/22 99.865 102.860 246,863.28 0.27% 7,187.28226.000 829259AR1 SINCLAIR TELEVISION GRP 144A 5.625 08/01/24 100.188 100.500 227,130.00 0.24% 661.25400.000 84858DAA6 SPIRIT AIR 2015-1 PTT A 4.100 10/01/29 100.375 100.500 402,000.00 0.43% 992.50520.000 871829BD8 SYSCO CORPORATION 4.500 04/01/46 100.876 101.695 528,811.92 0.57% 8,524.07435.000 88732JAJ7 TIME WARNER CABLE INC. 6.550 05/01/37 113.845 109.584 476,689.10 0.51% -40,266.11445.000 896522AH2 TRINITY INDUSTRIES INC. 4.550 10/01/24 100.286 83.439 371,303.55 0.40% -74,033.85195.000 910047AF6 UNITED CONTINENTAL HLDGS 6.375 06/01/18 100.938 105.000 204,750.00 0.22% 6,937.5033.000 911365BB9 UNITED RENTALS INC. 5.750 11/15/24 100.000 100.000 33,000.00 0.04% 0.0096.000 911365AX2 UNITED RENTALS NORTH AM 6.125 06/15/23 107.000 103.250 99,120.00 0.11% -3,600.00

348.278 90346WAA1 US AIRWAYS 2013-1A PTT 3.950 11/15/25 102.250 102.800 358,030.11 0.39% 1,915.5346.000 92912EAC7 VALEANT PHARMACEUTICALS 144A 6.750 08/15/18 97.000 90.750 41,745.00 0.04% -2,875.0046.000 92912EAA1 VPII ESCROW CORP. 144A 7.500 07/15/21 93.000 83.312 38,323.52 0.04% -4,456.48

480.000 966837AD8 WHOLE FOODS MARKET INC 144A 5.200 12/03/25 100.096 104.791 502,995.84 0.54% 23,263.54

Subtotal: Industrial ( 55 items ) 100.512 99.561 19,528,409.82 21.04% -78,505.00

International

595.000 AU3TB0000150 AUSTRALIAN GOVERNMENT 3.250 04/21/29 103.588 105.755 481,810.79 0.52% -21,832.30153.000 NZLRBDT009C LANDWIRTSCH.RENTENBANK 5.375 04/23/24 109.497 112.000 118,385.77 0.13% -10,026.6025.485 MX0MGO0000 MEX BONOS DESARR FIX RT 6.500 06/09/22 104.977 104.770 154,526.06 0.17% -42,139.67

356.000 NZGOVDT427 NEW ZEALAND GOVERNMENT 4.500 04/15/27 111.486 114.675 282,038.76 0.30% -13,925.01307.000 NZLGFDT004C NZ LOCAL GOVT FUND AGENCY 6.000 05/15/21 105.526 113.813 241,390.57 0.26% -40,847.91880.000 NZLGFDT005C NZ LOCAL GOVT FUND AGENCY 5.500 04/15/23 105.226 112.846 686,054.93 0.74% -38,935.2424.878 USP78625CA9 PETROLEOS MEXICANOS 7.650 11/24/21 108.317 97.071 139,760.71 0.15% -66,972.70

217.000 AU0000XQLQU QUEENSLAND TREASURY CORP 5.750 07/22/24 115.987 121.450 201,797.56 0.22% -19,137.50595.000 AU0000XQLQZ QUEENSLAND TREASURY CORP 4.750 07/21/25 113.745 114.710 522,609.01 0.56% 8,714.33200.000 AU3CB020183 TELSTRA CORP LTD MTN 4.000 11/15/17 101.420 101.920 156,080.29 0.17% -34,388.50

Page 20



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As of: 03/31/16


International - cont.29.835 -USD- U.S. DOLLARS (Global Cash) 0.000 03/31/16 100.000 100.000 29,834.53 0.03% 0.00

Subtotal: International ( 11 items ) 106.316 107.390 3,014,288.97 3.25% -279,491.09

Mortgages

531.411 00842DAE3 ABMT 2015-6 A5 3.500 09/25/45 101.625 101.727 540,586.51 0.58% 539.91316.071 30711XAW4 CAS 2015-C02 1M1 1.583 05/25/25 100.000 99.914 315,798.18 0.34% -272.39232.753 3128MJW71 FGLMC 30-YR POOL #G08669 4.000 09/01/45 106.188 106.826 248,640.89 0.27% 1,486.02

1,783.511 3128MJXQ8 FGLMC 30-YR POOL #G08686 3.000 01/01/46 101.219 102.474 1,827,628.32 1.97% 22,380.48963.559 3128MJXX3 FGLMC 30-YR POOL #G08693 3.500 02/01/46 104.500 104.760 1,009,422.19 1.09% 2,502.62925.000 3128MJX39 FGLMC 30-YR POOL #G08697 3.000 03/01/46 101.848 102.474 947,880.85 1.02% 5,790.03592.971 3132LMBZ8 FGTW 20-YEAR POOL #K91056 3.500 09/01/33 105.922 105.477 625,445.26 0.67% -2,640.89209.172 3128P7UG6 FGTW 20-YR POOL #C91483 3.500 07/01/32 107.156 105.680 221,052.58 0.24% -3,088.53337.010 3128P75U3 FGTW 20-YR POOL #C91759 4.500 03/01/34 108.125 109.410 368,720.58 0.40% 4,328.91894.031 3128P8AR2 FGTW 20-YR POOL #C91816 3.500 03/01/35 105.500 105.426 942,543.64 1.02% -658.78924.285 3128P8AV3 FGTW 20-YR POOL #C91820 3.500 03/01/35 105.281 105.426 974,439.12 1.05% 1,340.78225.736 3128P8A68 FGTW 20-YR POOL #C91829 3.500 04/01/35 105.875 105.427 237,986.07 0.26% -1,012.06158.111 3128P8BM2 FGTW 20-YR POOL #C91844 3.500 09/01/35 105.516 105.366 166,594.18 0.18% -237.31179.955 3128E6C62 FHLMC 20-YR POOL #D99093 3.500 04/01/32 106.813 105.679 190,174.41 0.20% -2,039.87687.915 3138EQKP6 FNCL 30-YR POOL #AL7501 3.500 10/01/45 103.875 105.418 725,189.50 0.78% 10,617.30201.538 3138M44W9 FNCL 30-YR POOL #AP1736 4.000 08/01/42 103.641 108.690 219,051.11 0.24% 10,176.23

1,856.441 3138WDAM3 FNCL 30-YR POOL #AS3611 3.500 10/01/44 104.344 105.477 1,958,124.53 2.11% 8,890.37777.813 3138WDLR0 FNCL 30-YR POOL #AS3935 3.500 12/01/44 104.641 105.477 820,417.55 0.88% 6,508.81

1,812.052 3138WD2D2 FNCL 30-YR POOL #AS4371 3.500 02/01/45 105.875 105.264 1,907,442.32 2.06% -11,944.69296.595 3138X5Q42 FNCL 30-YR POOL #AU5874 4.000 09/01/43 105.922 108.106 320,636.94 0.35% 6,477.95

1,706.074 3138Y63W2 FNCL 30-YR POOL #AX5312 4.000 01/01/42 107.520 107.454 1,833,249.05 1.98% -800.631,596.417 31418AY44 FNCL 30-YR POOL #MA1630 4.000 10/01/33 105.342 107.853 1,721,775.83 1.86% 39,671.02

429.473 31417DQF3 FNCT 20-YR POOL #AB6753 3.500 10/01/32 106.219 105.849 454,591.75 0.49% -1,588.61494.315 3138WDKC4 FNCT 20-YR POOL #AS3890 4.000 11/01/34 107.875 107.814 532,939.47 0.57% -302.75201.856 3138WQV58 FNCT 20-YR POOL #AT3335 3.500 04/01/33 107.188 105.757 213,476.27 0.23% -2,888.19107.779 31418AWD6 FNCT 20-YR POOL #MA1543 3.500 08/01/33 105.707 105.757 113,983.82 0.12% 53.83274.605 31418BR81 FNCT 20-YR POOL #MA2310 4.000 06/01/35 107.516 107.801 296,026.66 0.32% 783.79470.893 3138EJYV4 FNHLCR 30-YR POOL #AL2523 3.500 09/01/32 105.406 105.915 498,744.64 0.54% 2,393.67857.689 81746LAD4 SEMT 2015-3 A4 3.500 07/25/45 101.652 101.412 869,795.80 0.94% -2,702.75500.000 3137G0AX7 STACR 2014-DN2 M2 FRN 2.086 04/25/24 99.430 98.898 494,491.05 0.53% -2,657.38

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As of: 03/31/16


Mortgages - cont.

396.150 97653BAE1 WIN 2015-A A5 3.500 06/20/45 101.375 101.723 402,974.49 0.43% 1,377.42

Subtotal: Mortgages ( 31 items ) 104.746 105.138 21,999,823.55 23.70% 92,484.33

Non-Corporate

70.000 900123AX8 REPUBLIC OF TURKEY 7.000 06/05/20 113.750 113.184 79,228.80 0.09% -396.20

Subtotal: Non-Corporate ( 1 items ) 113.750 113.184 79,228.80 0.09% -396.20

Telephone

465.000 22822RBB5 CROWN CASTLE TOWERS LLC 144A 3.222 05/15/22 100.117 100.150 465,697.50 0.50% 2.30113.000 852061AS9 SPRINT COMMUNICATIONS 6.000 11/15/22 100.750 73.125 82,631.25 0.09% -31,216.2569.000 85207UAJ4 SPRINT CORP 7.625 02/15/25 100.000 74.250 51,232.50 0.06% -17,767.50

174.000 87264AAN5 T-MOBILE USA INC 6.375 03/01/25 103.083 102.375 178,132.50 0.19% -1,347.5053.000 87264AAM7 T-MOBILE USA INC. 6.000 03/01/23 103.875 102.125 54,126.25 0.06% -927.50

680.000 92343VCK8 VERIZON COMMUNICATIONS 4.862 08/21/46 105.130 105.452 717,074.28 0.77% 2,193.68

Subtotal: Telephone ( 6 items ) 102.226 97.089 1,548,894.28 1.67% -49,062.77

Term Loans

139.646 BL1443151 ACADIA HEALTHCARE TL B 1L USD 4.250 02/06/22 99.500 100.125 139,821.02 0.15% 872.79123.125 BL1343682 ADVANTAGE SALES TL 1L USD 4.250 06/26/21 99.750 98.075 120,754.75 0.13% -2,062.34133.640 BL1719097 AIR CANADA TL B 1L USD 4.000 09/26/19 100.750 100.063 133,723.32 0.14% -918.77142.500 BL1368101 ALBERTSONS TL B3 1L USD 5.125 08/08/19 98.500 99.875 142,321.88 0.15% 1,959.38116.676 BL1710393 AMNEAL PHARM TL 1L USD 4.500 11/02/19 100.000 98.688 115,145.05 0.12% -1,531.38122.325 BL1190257 BERRY PLASTICS GROUP INC TL C 1L US 3.750 12/18/20 99.750 99.486 121,696.37 0.13% -322.82122.813 BL1304486 CAESARS GROWTH TL B 1L USD 6.250 05/08/21 99.500 81.250 99,785.18 0.11% -22,413.2923.438 BL1608704 COMPUWARE TL B1 1L USD 6.250 09/02/19 98.000 96.625 22,646.48 0.02% -322.2764.188 BL1442088 COMPUWARE TL B2 1L USD 6.250 09/02/21 95.000 95.167 61,085.13 0.07% 107.00

138.255 BL1787375 DTZ US BORROWER TL B 1L USD 4.250 11/04/21 98.500 98.583 136,296.59 0.15% 115.17

Page 22



P24736

As of: 03/31/16


Term Loans - cont.

44.888 BL1731738 ENDO LUX FINANCE TL B 1L 3.750 06/11/22 99.750 98.297 44,123.02 0.05% -652.2697.500 BL1157843 FORTESQUE RESOURCES TL 1L USD 4.250 03/14/20 99.750 84.292 82,184.41 0.09% -15,071.8464.839 BL1927880 GRAY TELEVISION TL C 1L USD 4.250 06/13/21 99.000 100.000 64,839.12 0.07% 648.39

132.638 BL1248923 IMG WORLDWIDE INC. TL B 1L USD 5.250 03/26/21 99.000 99.750 132,305.91 0.14% 994.78100.000 BL1719832 LEVEL 3 TL B 1L USD 3.500 05/31/22 99.750 100.125 100,125.00 0.11% 375.0059.541 BL1219130 LIGHTOWER FIBER NETWORKS TL B 1L U 4.000 04/01/20 99.500 98.750 58,796.56 0.06% -446.5678.210 BL1714114 MCGRAW-HILL GLOBAL TL 1L USD 4.750 03/22/19 100.000 99.600 77,897.16 0.08% -312.8483.111 BL1401076 MICRO FOCUS TL B 1L USD 5.250 09/15/21 95.500 100.350 83,401.92 0.09% 4,030.8897.966 BL1713934 MPG HOLDCO I INC TL B 1L USD 3.750 10/20/21 100.000 98.446 96,443.63 0.10% -1,521.9983.513 BL1297938 NEXTGEN NETWORKS TL B 1L USD 5.000 04/29/21 99.000 84.000 70,150.50 0.08% -12,526.88

206.850 BL1357559 ONSITE RENTAL TL B 1L USD 5.500 07/30/21 98.000 82.000 169,617.00 0.18% -33,096.0059.524 BL1306176 OTTER PRODUCTS TL B 1L USD 5.750 05/30/20 99.000 88.000 52,381.52 0.06% -6,547.69

104.213 BL1781493 PHARM PROD DEV TL 1L USD 4.250 07/24/22 99.500 99.000 103,170.38 0.11% -521.06173.688 BL1736778 SBA COMMUNICATIONS TL B 1L USD 3.250 06/08/22 99.000 99.281 172,439.21 0.19% 488.5875.772 BL1738477 SPECTRUM BRANDS TL 1L USD 3.500 06/16/22 100.000 100.250 75,961.67 0.08% 150.00

133.715 BL1721838 TRANSDIGM TL E 1L USD 3.500 05/05/22 99.500 98.050 131,107.48 0.14% -1,938.87109.824 BL1747759 TRIBUNE MEDIA CO TL B 1L USD 3.750 12/27/20 99.750 99.375 109,137.35 0.12% -411.8453.488 BL1221375 US INFRASTRUCTURE TL 1L USD 4.000 07/29/20 100.000 98.000 52,417.75 0.06% -1,069.75

135.000 BL1727447 VIRGIN MEDIA BL B 1L USD 0.000 06/30/23 99.625 99.063 133,734.38 0.14% -740.63112.125 BL1004136 WMG ACQUISITION CORP. TL B 1L USD 3.750 07/01/20 100.250 98.400 110,331.00 0.12% -2,074.31

Subtotal: Term Loans ( 30 items ) 99.227 96.677 3,013,840.72 3.25% -94,761.40

US Treasury

2,414.000 912810RP5 U.S. TREASURY BOND 3.000 11/15/45 106.622 107.957 2,606,081.98 2.81% 19,427.31396.000 912828P46 U.S. TREASURY NOTE 1.625 02/15/26 98.533 98.547 390,245.72 0.42% 12.02625.000 912828P53 U.S. TREASURY NOTE 0.750 02/15/19 99.424 99.703 623,144.38 0.67% 1,749.66557.000 912828P79 U.S. TREASURY NOTE 1.500 02/28/23 98.691 99.723 555,455.44 0.60% 7,056.51

1,152.000 912828P87 U.S. TREASURY NOTE 1.125 02/28/21 99.099 99.590 1,147,274.50 1.24% 4,419.341,000.000 912828Q37 U.S. TREASURY NOTE 1.250 03/31/21 100.137 100.090 1,000,898.00 1.08% -469.192,800.000 912828UR9 U.S. TREASURY NOTE 0.750 02/28/18 99.859 100.023 2,800,655.20 3.02% 3,987.772,800.000 912803CX9 U.S. TREASURY STRIP PRINCIPAL 0.000 02/15/36 59.253 64.197 1,797,527.20 1.94% 138,443.20

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As of: 03/31/16


US Treasury - cont.1,150.000 912803DV2 U.S. TREASURY STRIP PRINCIPAL 0.000 02/15/42 47.549 50.352 579,043.40 0.62% 32,229.90

Subtotal: US Treasury ( 9 items ) 98.141 99.148 11,500,325.81 12.39% 206,856.50

GRAND TOTAL ( 212 items ) 101.911 100.964 92,811,423.69 100.00% -353,184.59

Page 24

INTERNATIONAL FIXED INCOME SECURITIES


P24736

As of: 03/31/16

Par (000) Exch Rate Unit Unrealized (Local) Description Cost/Mkt Curr Cost Total Cost Mkt Price Market Value Gain Loss

Foreign Cash

29.835 U.S. DOLLARS (Global Cash) 1.0000 USD 29,834.53 100.000 29,834.53 03/31/16 1.0000 USD 29,834.53 100.000 29,834.53

Subtotal: Foreign Cash ( 1 items )29,834.53 29,834.53

Australia

217.000 QUEENSLAND TREASURY CORP 0.8790 AUD 115.987 251,691.79 121.450 263,546.50 11,854.71 5.750 07/22/24 0.7657 USD 101.813 220,935.05 92.994 201,797.56 -19,137.50

595.000 QUEENSLAND TREASURY CORP 0.7594 AUD 113.745 676,782.75 114.710 682,524.50 5,741.75 4.750 07/21/25 0.7657 USD 86.369 513,894.68 87.833 522,609.01 8,714.33

595.000 AUSTRALIAN GOVERNMENT 0.8204 AUD 103.588 616,348.60 105.755 629,242.25 12,893.65 3.250 04/21/29 0.7657 USD 84.646 503,643.10 80.977 481,810.79 -21,832.30

Subtotal: Australia ( 3 items ) 30,490.111,238,472.83 1,206,217.36 -32,255.47

Banking

153.000 LANDWIRTSCH.RENTENBANK 0.7679 NZD 109.497 167,530.81 112.000 171,360.00 3,829.19 5.375 04/23/24 0.6909 USD 83.930 128,412.37 77.376 118,385.77 -10,026.60

Subtotal: Banking ( 1 items ) 3,829.19128,412.37 118,385.77 -10,026.60

Mexico

25.485 MEX BONOS DESARR FIX RT 13.5725 MXN 104.977 2,675,342.16 104.770 2,670,063.45 -5,278.71 6.500 06/09/22 17.2791 USD 7.717 196,665.72 6.063 154,526.06 -42,139.67

Page 25

INTERNATIONAL FIXED INCOME SECURITIES


P24736

As of: 03/31/16

Par (000) Exch Rate Unit Unrealized (Local) Description Cost/Mkt Curr Cost Total Cost Mkt Price Market Value Gain Loss

Mexico - cont.24.878 PETROLEOS MEXICANOS 13.0099 MXN 108.317 2,694,720.09 97.071 2,414,932.34 -279,787.75

7.650 11/24/21 17.2791 USD 8.310 206,733.42 5.618 139,760.71 -66,972.70

Subtotal: Mexico ( 2 items ) -285,066.46403,399.14 294,286.77 -109,112.37

New Zealand

356.000 NEW ZEALAND GOVERNMENT 0.7457 NZD 111.486 396,891.22 114.675 408,243.00 11,351.78 4.500 04/15/27 0.6909 USD 83.136 295,963.77 79.224 282,038.76 -13,925.01

307.000 NZ LOCAL GOVT FUND AGENCY 0.8682 NZD 105.526 323,965.19 113.813 349,405.91 25,440.72 6.000 05/15/21 0.6909 USD 91.934 282,238.47 78.629 241,390.57 -40,847.91

Subtotal: New Zealand ( 2 items ) 36,792.50578,202.24 523,429.33 -54,772.91

Non-Corporates

880.000 NZ LOCAL GOVT FUND AGENCY 0.7853 NZD 105.172 925,513.07 112.846 993,044.80 67,531.73 5.500 04/15/23 0.6909 USD 82.385 724,990.17 77.961 686,054.93 -38,935.24

Subtotal: Non-Corporates ( 1 items ) 67,531.73724,990.17 686,054.93 -38,935.24

Telecom

200.000 TELSTRA CORP LTD MTN 0.9390 AUD 101.420 202,840.00 101.920 203,840.00 1,000.00 4.000 11/15/17 0.7657 USD 95.234 190,468.79 78.040 156,080.29 -34,388.50

Subtotal: Telecom ( 1 items ) 1,000.00190,468.79 156,080.29 -34,388.50

Grand Total (USD) ( 11 items )

3,293,780.06 3,014,288.97 -279,491.09

Page 26

PENDING FX FORWARD CONTRACTS


As of: No Data

Buy Sell Trade Settle Foreign Contracted US Month End Present Value Unrealized G/L Broker NameCurrency Currency Date Date Flows Forward Rate Flows Fwd Rate of Contract on Forwards

No Holdings

Page 27

FIXED INCOME HOLDINGS CHARACTERISTICS REPORT


P24736

03/31/16

Par (000)/ Curr Accrued Contracts CUSIP Description Coupon Maturity Mkt Sector Moody S&P Fitch Dur YTW Yld Interest

531.411 00842DAE3 ABMT 2015-6 A5 3.500 09/25/45 Mortgages NR NR AAA 1.66 2.49 3.44 1,549.95139.646 BL1443151 ACADIA HEALTHCARE TL B 1L USD 4.250 02/06/22 Term Loans Ba2 BB- NR 0.05 4.19 4.24 181.35560.000 00507UAT8 ACTAVIS FUNDING SCS 4.550 03/15/35 Industrial Baa3 BBB- BBB- 12.74 4.31 4.42 1,132.44123.125 BL1343682 ADVANTAGE SALES TL 1L USD 4.250 06/26/21 Term Loans B1 B NR 0.14 4.39 4.33 915.74895.000 13974LAC2 AFIN 2015-4 A3 1.830 03/20/20 Asset Backed Aaa AAA NR 2.15 1.67 1.83 500.45274.000 008911AZ2 AIR CANADA 144A 7.750 04/15/21 Industrial B3 B B- 4.11 8.12 7.87 9,791.69438.044 009090AA9 AIR CANADA 2015-1A PTT 144A 3.600 09/15/27 Industrial NR A A 7.33 4.28 3.68 700.87133.640 BL1719097 AIR CANADA TL B 1L USD 4.000 09/26/19 Term Loans Ba3 BB B+ 0.05 3.94 4.00 29.70520.000 00912XAM6 AIR LEASE CORP. 3.875 04/01/21 Finc'l Services NR BBB- NR 4.49 3.61 3.81 10,075.00142.500 BL1368101 ALBERTSONS TL B3 1L USD 5.125 08/08/19 Term Loans Ba3 BB- NR 0.05 4.77 5.13 20.29175.000 02005NAV2 ALLY FINANCIAL INC. 5.125 09/30/24 Finc'l Services B1 BB+ BB+ 6.87 4.80 5.01 24.91142.000 02005NBF6 ALLY FINANCIAL INC. 5.750 11/20/25 Finc'l Services NR BB- BB 7.36 6.06 5.88 2,971.15474.000 03064VAE8 AMCAR 2014-2 C 2.180 06/08/20 Asset Backed Aaa NR A 1.82 2.05 2.17 660.18179.000 03062AAF3 AMCAR 2014-3 C 2.580 09/08/20 Asset Backed Aa1 A+ NR 2.01 2.51 2.58 295.05239.000 03065LAF6 AMCAR 2015-2 C 2.400 01/08/21 Asset Backed Aa2 A+ NR 2.61 2.55 2.40 366.47500.000 03065NAF2 AMCAR 2015-3 C 2.730 03/08/21 Asset Backed Aa2 A+ A 2.69 2.59 2.71 872.08263.000 03065VAF4 AMCAR 2016-1 C 2.890 01/20/22 Asset Backed Aa3 A+ NR 3.08 2.60 2.86 485.60116.676 BL1710393 AMNEAL PHARM TL 1L USD 4.500 11/02/19 Term Loans B1 BB- B+ 0.22 4.64 4.56 160.43437.000 02005AFL7 AMOT 2015-3 A 1.630 05/15/20 Asset Backed Aaa NR AAA 2.07 1.66 1.63 316.58655.000 035242AN6 ANHEUSER-BUSCH INBEV FIN 4.900 02/01/46 Industrial A2 A- A 16.71 4.20 4.38 5,884.08445.000 037833BX7 APPLE INC. 4.650 02/23/46 Industrial Aa1 AA+ NR 17.11 4.11 4.26 2,184.21465.000 03838WAA9 AQUARION COMPANY INC. 144A 4.000 08/15/24 Industrial Baa3 BBB- NR 7.09 3.79 3.94 2,376.67420.000 04010LAN3 ARES CAPITAL CORP 4.875 11/30/18 Finc'l Services NR BBB BBB 2.49 3.99 4.75 6,881.88595.000 AU3TB0000 AUSTRALIAN GOVERNMENT 3.250 04/21/29 International Aaa AAA AAA 10.74 2.08 3.07 6,594.25560.000 05367AAD5 AVIATION CAPITAL GROUP 144A 6.750 04/06/21 Finc'l Services NR BBB- BBB- 4.20 3.98 6.00 18,375.00455.000 053807AS2 AVNET INC. 4.625 04/15/26 Industrial Baa3 BBB- BBB- 8.06 4.49 4.58 116.91510.000 06738EAN5 BARCLAYS PLC 4.375 01/12/26 Finc'l Services Baa3 BBB A 7.89 4.61 4.46 4,896.35899.000 05490TAC6 BBCCR 2015-GTP B 4.216 08/10/33 CMBS NR AA- AA- 7.70 4.05 4.04 2,210.94430.000 084670BS6 BERKSHIRE HATHAWAY INC. 3.125 03/15/26 Industrial Aa2 AA A+ 8.61 2.83 3.05 597.22

Page 28



P24736

03/31/16


122.325 BL1190257 BERRY PLASTICS GROUP INC TL C 1 3.750 12/18/20 Term Loans Ba3 BB- NR 0.14 3.58 3.77 12.74122.813 BL1304486 CAESARS GROWTH TL B 1L USD 6.250 05/08/21 Term Loans B2 B+ BB- -0.21 11.03 7.69 1,791.02323.000 143127AE8 CARMX 2015-2 B 2.150 03/15/21 Asset Backed Aa1 NR AA 3.32 1.88 2.13 308.64316.071 30711XAW4 CAS 2015-C02 1M1 1.583 05/25/25 Mortgages A3 NR BBB- 0.14 1.83 1.58 97.29465.000 12505BAD2 CBRE SERVICES INC 4.875 03/01/26 Industrial Baa3 BBB NR 7.94 4.78 4.84 1,889.06212.000 1248EPBE2 CCO HOLDINGS LLC/CAP CORP. 5.750 01/15/24 Industrial B1 B+ BB- 4.22 4.85 5.52 2,573.44190.000 15089QAD6 CELANESE US HOLDINGS LLC 4.625 11/15/22 Industrial Ba2 BB+ NR 5.66 4.52 4.60 390.56

1,015.000 17324TAE9 CGCMT 2016-GC36 A5 3.616 02/01/49 CMBS Aaa NR AAA 8.26 2.98 3.43 3,058.53445.000 172967JC6 CITIGROUP INC 4.300 11/20/26 Finc'l Services A3 BBB+ A 8.56 4.28 4.32 6,963.0190.000 184496AJ6 CLEAR HARBOR INC. 5.250 08/01/20 Industrial Ba2 BB+ NR 2.02 4.12 5.12 787.50

578.000 12625CAJ2 COMM 2013-WWP B 3.726 03/10/31 CMBS Aa3 AA- NR 6.11 3.23 3.61 1,794.4523.438 BL1608704 COMPUWARE TL B1 1L USD 6.250 09/02/19 Term Loans B2 B NR 0.08 7.16 6.47 4.0764.188 BL1442088 COMPUWARE TL B2 1L USD 6.250 09/02/21 Term Loans B2 B NR 0.02 7.12 6.57 11.14

465.000 22822RBB5 CROWN CASTLE TOWERS LLC 144A 3.222 05/15/22 Telephone A2 NR A 5.48 3.21 3.22 665.88179.000 23918KAQ1 DAVITA HEALTHCARE PARTNERSHI 5.125 07/15/24 Healthcare B1 B+ NR 5.60 4.94 5.07 1,936.68174.000 25470XAW5 DISH DBS CORP 5.875 11/15/24 Industrial Ba3 BB- BB- 6.66 7.17 6.40 3,861.83138.255 BL1787375 DTZ US BORROWER TL B 1L USD 4.250 11/04/21 Term Loans B1 B+ NR 0.02 4.25 4.31 522.30485.000 269246BL7 E*TRADE FINANCIAL CORP 5.375 11/15/22 Finc'l Services Baa3 BBB- NR 3.47 4.06 5.09 9,848.19515.000 28370TAE9 EL PASO PIPELINE 5.000 10/01/21 Industrial Baa3 BBB- BBB- 4.70 4.56 4.90 12,875.00390.000 285512AC3 ELECTRONIC ARTS INC 3.700 03/01/21 Industrial Baa2 BBB- BBB 4.47 2.82 3.56 1,483.0844.888 BL1731738 ENDO LUX FINANCE TL B 1L 3.750 06/11/22 Term Loans Ba1 BB NR 0.12 4.02 3.81 4.68

695.000 30212PAL9 EXPEDIA INC 144A 5.000 02/15/26 Industrial Ba1 BBB- BBB- 7.69 4.98 4.99 10,907.64232.753 3128MJW71 FGLMC 30-YR POOL #G08669 4.000 09/01/45 Mortgages Aaa AA+ AAA 4.75 2.73 3.74 775.84

1,783.511 3128MJXQ8 FGLMC 30-YR POOL #G08686 3.000 01/01/46 Mortgages Aaa AA+ AAA 4.41 2.49 2.93 4,458.78963.559 3128MJXX3 FGLMC 30-YR POOL #G08693 3.500 02/01/46 Mortgages Aaa AA+ AAA 3.12 2.25 3.34 2,810.38925.000 3128MJX39 FGLMC 30-YR POOL #G08697 3.000 03/01/46 Mortgages Aaa AA+ AAA 4.36 2.46 2.93 2,312.50592.971 3132LMBZ8 FGTW 20-YEAR POOL #K91056 3.500 09/01/33 Mortgages Aaa AA+ AAA 3.51 2.15 3.32 1,729.50209.172 3128P7UG6 FGTW 20-YR POOL #C91483 3.500 07/01/32 Mortgages Aaa AA+ AAA 2.25 2.01 3.31 610.09337.010 3128P75U3 FGTW 20-YR POOL #C91759 4.500 03/01/34 Mortgages Aaa AA+ AAA 3.24 2.01 4.11 1,263.79

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03/31/16


894.031 3128P8AR2 FGTW 20-YR POOL #C91816 3.500 03/01/35 Mortgages Aaa AA+ AAA 3.07 2.02 3.32 2,607.59924.285 3128P8AV3 FGTW 20-YR POOL #C91820 3.500 03/01/35 Mortgages Aaa AA+ AAA 3.28 2.05 3.32 2,695.83225.736 3128P8A68 FGTW 20-YR POOL #C91829 3.500 04/01/35 Mortgages Aaa AA+ AAA 3.44 2.13 3.32 658.40158.111 3128P8BM2 FGTW 20-YR POOL #C91844 3.500 09/01/35 Mortgages Aaa AA+ AAA 3.03 2.02 3.32 0.00179.955 3128E6C62 FHLMC 20-YR POOL #D99093 3.500 04/01/32 Mortgages Aaa AAA AAA 4.12 2.21 3.31 524.87121.000 320517AB1 FIRST HORIZON NATIONAL 3.500 12/15/20 Finc'l Services Baa3 BB+ BBB- 4.30 3.61 3.50 1,776.35374.000 337158AF6 FIRST TENNESSEE BANK 2.950 12/01/19 Finc'l Services Baa3 BBB- BBB- 3.44 2.92 2.94 3,677.67687.915 3138EQKP6 FNCL 30-YR POOL #AL7501 3.500 10/01/45 Mortgages Aaa AA+ AAA 3.25 2.64 3.32 2,006.42201.538 3138M44W9 FNCL 30-YR POOL #AP1736 4.000 08/01/42 Mortgages Aaa AA+ AAA 3.52 2.68 3.68 671.79

1,856.441 3138WDAM FNCL 30-YR POOL #AS3611 3.500 10/01/44 Mortgages Aaa AA+ AAA 2.54 2.47 3.32 5,414.62777.813 3138WDLR0 FNCL 30-YR POOL #AS3935 3.500 12/01/44 Mortgages Aaa AA+ AAA 2.54 2.47 3.32 2,268.62

1,812.052 3138WD2D2 FNCL 30-YR POOL #AS4371 3.500 02/01/45 Mortgages Aaa AA+ AAA 3.25 2.64 3.32 5,285.15296.595 3138X5Q42 FNCL 30-YR POOL #AU5874 4.000 09/01/43 Mortgages Aaa AA+ AAA 2.40 2.57 3.70 988.65

1,706.074 3138Y63W2 FNCL 30-YR POOL #AX5312 4.000 01/01/42 Mortgages Aaa AA+ AAA 2.43 2.60 3.72 5,686.911,596.417 31418AY44 FNCL 30-YR POOL #MA1630 4.000 10/01/33 Mortgages Aaa AA+ AAA 3.08 2.30 3.71 5,321.39

429.473 31417DQF3 FNCT 20-YR POOL #AB6753 3.500 10/01/32 Mortgages Aaa AA+ AAA 3.02 2.15 3.31 1,252.63494.315 3138WDKC FNCT 20-YR POOL #AS3890 4.000 11/01/34 Mortgages Aaa AA+ AAA 2.92 2.32 3.71 1,647.72201.856 3138WQV58 FNCT 20-YR POOL #AT3335 3.500 04/01/33 Mortgages Aaa AA+ AAA 3.50 2.36 3.31 588.75107.779 31418AWD6 FNCT 20-YR POOL #MA1543 3.500 08/01/33 Mortgages Aaa AA+ AAA 3.50 2.36 3.31 314.36274.605 31418BR81 FNCT 20-YR POOL #MA2310 4.000 06/01/35 Mortgages Aaa AA+ AAA 3.21 2.46 3.71 915.35470.893 3138EJYV4 FNHLCR 30-YR POOL #AL2523 3.500 09/01/32 Mortgages Aaa AA+ AAA 3.02 2.15 3.30 1,373.44470.000 345397XQ1 FORD MOTOR CREDIT CO LLC 3.200 01/15/21 Industrial Baa3 BBB- BBB- 4.43 2.71 3.13 5,932.4497.500 BL1157843 FORTESQUE RESOURCES TL 1L US 4.250 03/14/20 Term Loans Baa3 BBB NR -0.15 9.18 5.04 828.75

267.000 30290FAE2 FREMF 2012-K707 B 3.883 01/25/47 CMBS A2 NR NR 2.57 2.93 3.79 864.04761.000 30291UAN8 FREMF 2014-K714 B 3.849 01/25/47 CMBS A2 NR NR 4.14 3.67 3.81 2,441.14185.000 30291UAQ1 FREMF 2014-K714 C 3.849 10/25/20 CMBS Baa3 NR NR 4.11 4.63 3.97 593.43494.000 30292QAA4 FREMF 2015-K718 B 3.548 02/25/22 CMBS Baa1 NR NR 5.14 5.12 3.72 1,460.45675.000 361886AG9 GFORT 2015-1 C 2.220 05/15/20 Asset Backed A1 NR A 2.06 2.71 2.24 666.00510.000 378272AF5 GLENCORE FUNDING LLC 144A 4.125 05/30/23 Industrial Baa2 BBB NR 5.91 7.46 5.05 7,070.94

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478.000 38013PAC3 GMALT 2015-1 A3 1.530 09/20/18 Asset Backed Aaa NR AAA 1.36 1.55 1.53 223.47268.000 38013GAC3 GMALT 2015-2 A3 1.680 12/20/18 Asset Backed Aaa AAA NR 1.85 1.64 1.67 137.57287.000 36250UAD6 GMALT 2016-1 A3 1.640 07/20/19 Asset Backed Aaa AAA NR 2.09 1.71 1.64 143.82410.000 38148LAF3 GOLDMAN SACHS GROUP INC 5.150 05/22/45 Finc'l Services Baa2 BBB+ A- 15.31 5.08 5.07 7,566.21224.804 384780AA0 GRAIN SPECTRUM FUND II 144A 3.290 10/10/19 Finc'l Services NR BBB+ A- 3.25 3.81 3.35 3,513.1364.839 BL1927880 GRAY TELEVISION TL C 1L USD 4.250 06/13/21 Term Loans Ba3 BB NR 0.23 4.20 4.25 7.65

412.000 36197QAC3 GSMS 2013-G1 A2 3.557 04/10/31 CMBS Aaa AAA AAA 5.96 3.45 3.53 1,221.24470.000 402524AC6 GULF SOUTH PIPELINE 144A 6.300 08/15/17 Industrial Baa2 BBB- BBB- 1.29 5.19 6.21 3,783.50509.410 419838AA5 HAWAIIAN AIRLINES 13-1A 3.900 01/15/26 Industrial Baa2 BBB+ A- 5.82 4.43 4.02 4,194.15116.000 404119BR9 HCA INC 5.375 02/01/25 Healthcare B2 B+ BB- 7.13 5.22 5.32 1,039.1796.000 404119BQ1 HCA INC 5.250 04/15/25 Healthcare Ba1 BBB- BB+ 7.09 4.84 5.10 2,324.00

181.000 404119BN8 HCA INC. 5.000 03/15/24 Healthcare Ba2 BB BB+ 6.53 4.65 4.89 402.22133.000 428040CN7 HERTZ CORP 6.250 10/15/22 Industrial B2 B NR 4.36 6.25 6.25 3,832.99353.842 43284AAA2 HGVT 2014-AA A 1.770 11/25/26 Asset Backed Aa2 AA AA 0.00 2.52 1.80 104.38430.000 436106AA6 HOLLYFRONTIER CORP 5.875 04/01/26 Industrial Baa3 BBB- NR 7.54 5.94 5.90 631.56405.000 42824CAL3 HP ENTERPRISE CO. 144A 4.400 10/15/22 Industrial Baa2 BBB A- 5.61 3.66 4.21 8,514.00565.000 443510AG7 HUBBELL INC. 3.350 03/01/26 Industrial A3 A A 8.46 3.30 3.34 1,577.29132.638 BL1248923 IMG WORLDWIDE INC. TL B 1L USD 5.250 03/26/21 Term Loans B1 B NR 0.27 5.07 5.26 1,218.61480.000 460690BL3 INTERPUBLIC GROUP COS 4.200 04/15/24 Industrial Baa3 BBB- BBB 6.81 3.98 4.07 9,296.00225.000 46186RAA7 INVISTA FINANCE LLC 144A 4.250 10/15/19 Industrial Ba1 BBB NR 3.24 5.51 4.43 4,409.38460.000 46625HHA1 JPMORGAN CHASE & CO. 7.900 04/29/49 Finc'l Services Baa3 BBB- BBB- 1.81 9.68 7.90 15,242.61465.000 49427RAK8 KILROY REALTY LP 4.250 08/15/29 Industrial Baa2 BBB NR 10.34 4.08 4.14 2,525.21470.000 49456BAB7 KINDER MORGAN INC 144A 5.625 11/15/23 Industrial Baa3 BBB- BBB- 6.05 5.38 5.54 9,987.50153.000 NZLRBDT0 LANDWIRTSCH.RENTENBANK 5.375 04/23/24 International Aaa AAA AAA 6.58 2.58 4.80 2,499.22570.000 51817TAA0 LATAM AIRLINES GROUP SA 144A 4.200 11/15/27 Industrial A2 BBB+ NR 6.50 6.61 4.83 3,059.00485.000 52107QAG0 LAZARD GROUP LLC 3.750 02/13/25 Finc'l Services Ba1 BBB+ BBB+ 7.56 5.03 3.97 1,515.63570.000 52206AAC4 LEASEPLAN CORP NV 144A 2.875 01/22/19 Finc'l Services Baa1 BBB- BBB+ 2.67 3.01 2.89 3,140.94269.000 52602EAD4 LENDER PROCESS SERVICES 5.750 04/15/23 Finc'l Services Baa3 BBB NR 3.54 4.94 5.56 7,132.24100.000 BL1719832 LEVEL 3 TL B 1L USD 3.500 05/31/22 Term Loans Ba1 BB B+ 0.04 3.42 3.50 495.83

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59.541 BL1219130 LIGHTOWER FIBER NETWORKS TL B 4.000 04/01/20 Term Loans B1 B NR 0.01 4.12 4.05 6.62430.000 573284AP1 MARTIN MARIETTA MATERIAL FRN 1.729 06/30/17 Industrial Ba1 BBB BBB- 0.25 2.51 1.74 41.29175.000 574599BL9 MASCO CORP 4.375 04/01/26 Industrial Ba2 BBB BB+ 8.13 4.15 4.30 297.7478.210 BL1714114 MCGRAW-HILL GLOBAL TL 1L USD 4.750 03/22/19 Term Loans B1 B+ B+ 0.21 6.58 4.77 10.32

480.000 59156RBP2 METLIFE INC 5.250 12/29/49 Finc'l Services Baa3 BBB- BBB 3.66 6.47 5.49 7,420.0025.485 MX0MGO00 MEX BONOS DESARR FIX RT 6.500 06/09/22 International A3 A A- 4.98 0.32 6.20 2,822.81

200.000 552953CC3 MGM RESORTS INTL 6.000 03/15/23 Industrial B3 B+ BB 5.64 5.39 5.80 533.3383.111 BL1401076 MICRO FOCUS TL B 1L USD 5.250 09/15/21 Term Loans B1 BB- NR 0.23 4.92 5.23 763.58

410.000 6174467X1 MORGAN STANLEY 5.000 11/24/25 Finc'l Services Baa2 BBB+ A- 7.76 4.03 4.62 7,231.9497.966 BL1713934 MPG HOLDCO I INC TL B 1L USD 3.750 10/20/21 Term Loans Ba3 BB+ NR 0.00 3.76 3.81 520.44

423.000 61764PBX9 MSBAM 2014-C19 B 4.000 12/15/24 CMBS Aa3 NR NR 7.35 3.40 3.86 1,410.00642.263 61757LAE0 MSC 2008-T29 A4 6.268 01/11/18 CMBS NR AA AAA 1.40 2.52 5.91 3,354.85678.777 55388PAA8 MVWOT 2015-1A A 2.520 12/20/32 Asset Backed Aaa A+ A 2.75 2.61 2.52 522.66356.000 NZGOVDT4 NEW ZEALAND GOVERNMENT 4.500 04/15/27 International Aaa AA+ AA+ 8.85 2.04 3.92 5,110.4483.513 BL1297938 NEXTGEN NETWORKS TL B 1L USD 5.000 04/29/21 Term Loans Ba3 BB- NR -0.08 8.72 5.95 730.73

155.000 67059TAD7 NUSTAR LOGISTICS LP 6.750 02/01/21 Industrial Ba1 BB+ BB 4.13 8.41 7.22 1,743.75307.000 NZLGFDT00 NZ LOCAL GOVT FUND AGENCY 6.000 05/15/21 International NR AA+ AA+ 4.87 2.15 5.27 4,824.56880.000 NZLGFDT00 NZ LOCAL GOVT FUND AGENCY 5.500 04/15/23 International NR AA+ AA+ 5.85 2.38 4.87 15,439.78420.000 67103HAE7 O'REILLY AUTOMOTIVE INC. 3.550 03/15/26 Industrial Baa1 BBB+ NR 8.43 3.20 3.45 952.58465.000 68217FAA0 OMNICOM GROUP INC. 3.600 04/15/26 Industrial Baa1 BBB+ NR 8.47 3.31 3.51 0.00206.850 BL1357559 ONSITE RENTAL TL B 1L USD 5.500 07/30/21 Term Loans B1 B NR -0.16 9.69 6.71 94.8159.524 BL1306176 OTTER PRODUCTS TL B 1L USD 5.750 05/30/20 Term Loans B1 B+ NR -0.12 8.42 6.53 9.5124.878 USP78625C PETROLEOS MEXICANOS 7.650 11/24/21 International Baa3 A NR 4.62 0.48 7.88 3,579.65

380.000 71656LBJ9 PETROLEOS MEXICANOS 144A 6.375 02/04/21 Industrial Baa3 BBB+ BBB+ 4.15 4.82 5.98 3,835.63104.213 BL1781493 PHARM PROD DEV TL 1L USD 4.250 07/24/22 Term Loans B1 B NR 0.26 4.14 4.29 12.30585.000 718549AB4 PHILLIPS 66 PARTNERS LP 3.605 02/15/25 Industrial Baa3 BBB NR 7.48 4.89 3.89 2,694.74460.000 74348TAN2 PROSPECT CAPITAL CORP. 5.000 07/15/19 Finc'l Services NR BBB NR 3.01 8.93 5.52 4,855.56275.000 744320AV4 PRUDENTIAL FINANCIAL INC 5.375 05/15/45 Finc'l Services Baa2 BBB+ BBB- 6.92 5.59 5.43 5,584.03217.000 AU0000XQL QUEENSLAND TREASURY CORP 5.750 07/22/24 International Aa1 AA+ AA 6.80 2.16 4.73 1,837.31

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595.000 AU0000XQL QUEENSLAND TREASURY CORP 4.750 07/21/25 International Aa1 AA+ NR 7.68 2.24 4.14 4,221.11624.000 749770AQ6 RABOBANK NEDERLAND 144A FIX T 11.000 12/31/49 Finc'l Services Baa2 BBB- BBB 2.75 4.34 9.17 17,350.67550.000 75886AAG3 REGENCY ENERGY PARTNERS 5.500 04/15/23 Industrial Baa3 BBB- BBB- 5.48 7.15 6.17 13,948.6170.000 900123AX8 REPUBLIC OF TURKEY 7.000 06/05/20 Non-Corporate Baa3 BB+ BBB- 3.65 3.56 6.18 1,578.89

161.000 780097AZ4 ROYAL BK SCOTLAND GRP PLC 6.000 12/19/23 Finc'l Services Ba3 BB BBB- 6.21 5.79 5.92 2,737.0025.000 783764AR4 RYLAND GROUP 5.375 10/01/22 Industrial B1 BB- NR 5.46 4.97 5.26 671.88

455.000 80281LAD7 SANTANDER UK GROUP HLDGS 3.125 01/08/21 Finc'l Services Baa1 BBB A 4.40 2.99 3.11 3,278.2157.000 78388JAT3 SBA COMMUNICATIONS CORP 4.875 07/15/22 Industrial B3 B NR 4.26 4.55 4.81 586.63

173.688 BL1736778 SBA COMMUNICATIONS TL B 1L USD 3.250 06/08/22 Term Loans B1 BB NR 0.10 3.32 3.27 15.68215.000 78401FAG2 SBA TELECOMMUNICATIONS 5.750 07/15/20 Industrial B3 B+ NR 1.30 4.22 5.57 2,609.86185.000 78403DAE0 SBA TOWER TRUST 144A 3.598 04/15/18 Industrial Baa3 NR BBB 1.95 3.67 3.60 295.84610.000 78403DAH3 SBAC 2014-2A C 3.869 10/15/24 Asset Backed A2 NR A 7.28 3.93 3.88 1,048.93240.000 806851AE1 SCHLUMBERGER HLDGS CORP 144 3.625 12/21/22 Industrial A2 AA- NR 5.93 3.14 3.52 2,416.67535.000 81014AAA9 SCOTTRADE FINANCE SERVICE 144 6.125 07/11/21 Finc'l Services Baa3 BBB- BBB- 4.48 4.70 5.75 7,281.94613.000 80283YAF2 SDART 2014-4 C 2.600 11/16/20 Asset Backed Aaa A NR 1.46 2.32 2.58 708.36556.000 80284AAF3 SDART 2014-5 C 2.460 06/15/20 Asset Backed Aaa A A 1.57 2.32 2.45 607.89444.000 80285EAF4 SDART 2016-1 C 3.090 04/15/22 Asset Backed Aa3 NR A 2.96 3.23 3.10 609.76857.689 81746LAD4 SEMT 2015-3 A4 3.500 07/25/45 Mortgages Aaa NR AAA 1.78 2.15 3.45 2,501.59226.000 829259AR1 SINCLAIR TELEVISION GRP 144A 5.625 08/01/24 Industrial B1 B+ NR 5.65 5.53 5.60 2,118.7575.772 BL1738477 SPECTRUM BRANDS TL 1L USD 3.500 06/16/22 Term Loans Ba2 BB BB+ 0.15 3.66 3.49 493.57

400.000 84858DAA6 SPIRIT AIR 2015-1 PTT A 4.100 10/01/29 Industrial NR A A 6.39 4.18 4.08 10,477.78113.000 852061AS9 SPRINT COMMUNICATIONS 6.000 11/15/22 Telephone B1 BB- B+ 5.19 11.99 8.21 2,561.3369.000 85207UAJ4 SPRINT CORP 7.625 02/15/25 Telephone B2 B+ B+ 6.12 12.51 10.27 672.27

519.867 82652DAA8 SRFC 2014-2A A 2.050 08/20/31 Asset Backed NR A A 0.00 2.22 2.06 325.64212.263 82652EAA6 SRFC 2014-3A A 144A 2.300 10/20/31 Asset Backed NR A A 0.00 2.39 2.31 149.17296.231 82652FAA3 SRFC 2015-1A A 2.400 03/22/32 Asset Backed NR A A 2.37 2.89 2.43 217.24500.000 3137G0AX7 STACR 2014-DN2 M2 FRN 2.086 04/25/24 Mortgages NR NR BBB- 1.31 2.81 2.11 202.79450.000 860630AE2 STIFEL FIN CAP TRST IV 3.500 12/01/20 Finc'l Services NR BBB- BBB 4.30 3.56 3.50 5,250.00385.000 867914BK8 SUNTRUST BANKS INC 2.900 03/03/21 Finc'l Services Baa1 BBB+ A- 4.58 2.58 2.86 868.39

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445.000 78486QAD3 SVB FINANCIAL GROUP 3.500 01/29/25 Finc'l Services A3 BBB NR 7.66 3.53 3.54 2,682.36385.000 87165BAJ2 SYNCHRONY FINANCIAL 2.600 01/15/19 Finc'l Services NR BBB- BBB- 2.65 2.52 2.59 3,253.25520.000 871829BD8 SYSCO CORPORATION 4.500 04/01/46 Industrial A3 BBB+ NR 16.99 4.40 4.43 0.00174.000 87264AAN5 T-MOBILE USA INC 6.375 03/01/25 Telephone Ba3 BB NR 5.59 5.92 6.23 924.3853.000 87264AAM7 T-MOBILE USA INC. 6.000 03/01/23 Telephone Ba3 BB NR 4.57 5.45 5.88 265.00

200.000 AU3CB0201 TELSTRA CORP LTD MTN 4.000 11/15/17 International A2 A A 1.73 2.27 3.92 2,322.34435.000 88732JAJ7 TIME WARNER CABLE INC. 6.550 05/01/37 Industrial Baa2 BBB BBB 11.93 5.71 5.98 11,871.88133.715 BL1721838 TRANSDIGM TL E 1L USD 3.500 05/05/22 Term Loans Ba3 B B 0.00 3.81 3.57 13.00109.824 BL1747759 TRIBUNE MEDIA CO TL B 1L USD 3.750 12/27/20 Term Loans Ba2 BB+ NR 0.10 3.87 3.77 11.44445.000 896522AH2 TRINITY INDUSTRIES INC. 4.550 10/01/24 Industrial Ba1 BBB- BBB- 6.82 7.03 5.45 10,123.75510.000 89566EAG3 TRISTATE GEN&TRANS ASSN 3.700 11/01/24 Electric & Gas A3 A NR 7.29 3.28 3.58 7,862.50

2,186.366 -CASH- U.S. DOLLARS 0.000 03/31/16 Cash/Cash Equiv CASH CASH CASH 0.00 0.45 0.00 0.0029.835 -USD- U.S. DOLLARS 0.000 03/31/16 International CASH CASH CASH 0.00 0.45 0.00 0.00

2,414.000 912810RP5 U.S. TREASURY BOND 3.000 11/15/45 US Treasury Aaa AA+ AAA 20.80 2.61 2.78 27,455.932,800.000 912828UR9 U.S. TREASURY NOTE 0.750 02/28/18 US Treasury Aaa AA+ AAA 1.90 0.74 0.75 1,826.09

625.000 912828P53 U.S. TREASURY NOTE 0.750 02/15/19 US Treasury Aaa AA+ AAA 2.84 0.86 0.75 592.381,152.000 912828P87 U.S. TREASURY NOTE 1.125 02/28/21 US Treasury Aaa AA+ AAA 4.79 1.21 1.13 1,126.961,000.000 912828Q37 U.S. TREASURY NOTE 1.250 03/31/21 US Treasury Aaa AA+ AAA 4.87 1.23 1.25 34.15

557.000 912828P79 U.S. TREASURY NOTE 1.500 02/28/23 US Treasury Aaa AA+ AAA 6.62 1.54 1.50 726.52396.000 912828P46 U.S. TREASURY NOTE 1.625 02/15/26 US Treasury Aaa AA+ AAA 9.22 1.79 1.65 813.21

2,800.000 912803CX9 U.S. TREASURY STRIP PRINCIPAL 0.000 02/15/36 US Treasury Aaa AA+ AAA 20.49 2.24 0.00 0.001,150.000 912803DV2 U.S. TREASURY STRIP PRINCIPAL 0.000 02/15/42 US Treasury Aaa AA+ AAA 27.46 2.67 0.00 0.00

195.000 910047AF6 UNITED CONTINENTAL HLDGS 6.375 06/01/18 Industrial B2 B NR 2.02 3.94 6.07 4,143.7533.000 911365BB9 UNITED RENTALS INC. 5.750 11/15/24 Industrial B1 BB- NR 5.65 5.75 5.75 716.8396.000 911365AX2 UNITED RENTALS NORTH AM 6.125 06/15/23 Industrial B1 BB- NR 3.79 5.33 5.93 1,731.33

348.278 90346WAA1 US AIRWAYS 2013-1A PTT 3.950 11/15/25 Industrial A3 A A- 5.36 3.49 3.84 5,197.09460.000 902973AY2 US BANCORP 5.125 12/29/49 Finc'l Services A3 BBB BBB+ 4.19 4.68 5.03 4,976.9453.488 BL1221375 US INFRASTRUCTURE TL 1L USD 4.000 07/29/20 Term Loans B2 B+ NR 0.01 4.21 4.08 5.9446.000 92912EAC7 VALEANT PHARMACEUTICALS 144A 6.750 08/15/18 Industrial B1 B- NR 2.20 11.29 7.44 396.75

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680.000 92343VCK8 VERIZON COMMUNICATIONS 4.862 08/21/46 Telephone Baa1 BBB+ A- 16.70 4.50 4.61 3,673.51135.000 BL1727447 VIRGIN MEDIA BL B 1L USD 0.000 06/30/23 Term Loans Ba3 BB- NR 0.12 3.60 0.00 2,218.1346.000 92912EAA1 VPII ESCROW CORP. 144A 7.500 07/15/21 Industrial B1 B NR 4.29 11.83 9.00 728.33

560.000 949746RN3 WELLS FARGO & COMPANY 5.875 12/31/49 Finc'l Services Baa2 BBB BBB 7.11 4.95 5.50 9,687.22480.000 966837AD8 WHOLE FOODS MARKET INC 144A 5.200 12/03/25 Industrial Baa3 BBB- NR 7.53 4.57 4.96 8,181.33396.150 97653BAE1 WIN 2015-A A5 3.500 06/20/45 Mortgages Aaa NR NR 0.72 1.25 3.44 1,155.44493.773 97655JAH5 WIN 2016-1 1A8 3.500 01/20/46 Asset Backed Aaa NR NR 0.68 0.83 3.44 1,440.17112.125 BL1004136 WMG ACQUISITION CORP. TL B 1L U 3.750 07/01/20 Term Loans B1 B NR 0.12 3.87 3.81 11.68669.000 98160VAD3 WOLS 2015-A A3 1.540 10/15/18 Asset Backed Aaa NR AAA 1.65 1.48 1.54 457.89

GRAND TOTAL ( 212 items ) 5.45 3.21 3.51 600,862.14

Page 35

SETTLED FX FORWARD CONTRACTS TRANSACTION REPORT


P24736

As of: 03/31/16

Buy Sell Trade Settle Foreign Contracted US FlowCurrency Currency Date Date Flows Forward Rate Cumulative

MXN

MXN USD 02/05/16 03/10/16 5,286,998.16 18.42000 (287,024.87)

USD MXN 12/08/15 03/10/16 (5,286,998.16) 17.14450 308,378.67 Subtotal: ( 2 items ) 21,353.80

NZD

USD NZD 12/08/15 03/10/16 (1,820,691.62) 0.66008 1,201,807.59 Subtotal: ( 1 items ) 1,201,807.59 GRAND TOTAL ( 3 items ) 1,223,161.39

Page 36

Documents

April 13, 2016 Regina Rodrigues - imperial.granicus.com