blank row 08/31/2016 jpmorgan tax aware income ... · jpmorgan tax aware income opportunities fund...

JPMORGAN TAX AWARE INCOME OPPORTUNITIES FUND08/31/2016Blank Row

Asset Name Shares Value (USD) %

ABFC 2006-OPT2 FLT 10/36 544,253.63 453,187.15 0.15%

ACADIA 5.125% 07/22 9,000.00 8,977.50 0.00%

ACADIA 5.625% 02/23 46,000.00 46,805.00 0.02%

ACE SECURITIES FLT 07/36 617,186.90 223,511.83 0.07%

ACOSTA INC 7.75% 10/22 50,000.00 46,187.50 0.02%

ADJUSTABLE RATE VAR 09/35 158,495.91 138,987.96 0.05%

ALABAMA ST PUB 5% 12/16 75,000.00 75,858.00 0.02%

ALASKA HSG FIN 3.5% 06/46 1,000,000.00 1,082,590.00 0.35%

ALASKA HSG FIN 4% 06/40 195,000.00 200,811.00 0.07%

ALASKA HSG FIN VAR 12/40 1,250,000.00 1,250,000.00 0.41%

ALASKA ST INTL 5% 10/26 50,000.00 50,189.50 0.02%

ALBUQUERQUE N 5% 07/17 25,000.00 25,936.25 0.01%

ALCOA INC 5.125% 10/24 8,000.00 8,440.00 0.00%

ALLEGHENY CNTY 5% 03/22 260,000.00 300,526.20 0.10%

ALLEGHENY CNTY 5% 11/16 25,000.00 25,190.50 0.01%

ALLEGIANT 5.5% 07/19 87,000.00 90,697.50 0.03%

ALLY 2.75% 01/17 96,000.00 96,048.96 0.03%

ALLY 3.25% 09/17 150,000.00 151,500.00 0.05%

ALLY 3.25% 11/18 77,000.00 77,721.88 0.03%

ALLY 4.75% 09/18 130,000.00 135,037.50 0.04%

ALLY 5.5% 02/17 40,000.00 40,696.00 0.01%

ALLY 6.25% 12/17 253,000.00 265,333.75 0.09%

ALLY FINANCIAL INC BOND FIXED 8% 01/NOV/2031 USD 1000 150,000.00 187,875.00 0.06%

ALVIN TEX INDPT VAR 02/36 750,000.00 766,080.00 0.25%

AMERICAN AXLE & MANUFACTURING INC CALLABLE NOTES FIXED 15,000.00 15,993.75 0.01%

American Comm Lines TLB USD-LX148735 206,387.50 197,100.06 0.06%

AMERICAN MUN PWR OHIO INC REV PREREFUNDED-PRAIRIE ST EN 185,000.00 197,335.80 0.06%

AMERICAN MUN PWR OHIO INC REV UNREFUNDED BALANCE-PRAIRI 15,000.00 15,967.65 0.01%

AMERIQUEST FLT 10/36 163,364.39 73,155.91 0.02%

AMERIQUEST FLT 10/36 261,693.18 114,081.64 0.04%

AMERIQUEST FLT 10/36 426,167.89 187,950.44 0.06%

ANTERO 5.125% 12/22 23,000.00 22,712.50 0.01%

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APX GROUP 6.375% 12/19 8,000.00 8,209.92 0.00%

ARCELORMITTA 10.85% 06/19 8,000.00 9,540.00 0.00%

ARGENT FLT 02/36 140,256.58 97,651.37 0.03%

ARGENT FLT 09/36 290,439.82 113,593.66 0.04%

ARGOS 7.125% 03/23 15,000.00 15,768.75 0.01%

ARIZONA BRD 4.5% 09/30 140,000.00 140,000.00 0.05%

ARIZONA BRD VAR 07/34 1,000,000.00 1,000,000.00 0.33%

ARIZONA HEALTH 5% 01/25 25,000.00 25,371.50 0.01%

ARIZONA ST 5% 07/17 75,000.00 77,783.25 0.03%

ARIZONA WTR 5% 10/17 50,000.00 52,394.00 0.02%

ARMADA MICH AREA SCHS RFDG 24/JUN/2014 01/MAY/2017 4% 295,000.00 301,628.65 0.10%

ARMOR RE LTD BOND VARIABLE 15/DEC/2019 USD 1000 250,000.00 249,100.00 0.08%

ATHENS PA 1.75% 04/17 500,000.00 503,325.00 0.16%

ATHENS-CLARKE VAR 07/35 200,000.00 200,000.00 0.07%

AURORA COLO WTR 5% 08/29 1,000,000.00 1,282,970.00 0.42%

AUSTIN TEX INDPT 5% 08/20 100,000.00 116,008.00 0.04%

AVON 6.75% 03/23 107,000.00 95,586.31 0.03%

AVON 7.875% 08/22 54,000.00 55,759.32 0.02%

BAKERSFIELD 5% 09/24 25,000.00 26,157.75 0.01%

BALL CORP 5.25% 07/25 15,000.00 16,237.50 0.01%

BAMLL FLT 01/28 140,000.00 134,509.86 0.04%

BAMLL FLT 01/28 150,000.00 143,088.11 0.05%

BAMLL FLT 12/29 570,000.00 543,623.59 0.18%

BAMLL FLT 12/31 260,000.00 246,961.21 0.08%

BAMLL FLT 12/31 420,000.00 362,346.01 0.12%

BANC OF AMERICA FLT 05/36 40,740.58 36,396.11 0.01%



BAY AREA TOLL 5.25% 04/26 150,000.00 167,811.00 0.05%

BCAP LLC FLT 05/37 50,454.53 50,152.64 0.02%

BEAR STEARNS FLT 02/36 204,851.49 189,231.91 0.06%

BELDEN INC 5.5% 09/22 11,000.00 11,467.50 0.00%

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BENTON CNTY WASH 4% 11/16 50,000.00 50,288.50 0.02%

BERLIN CONN 01/SEP/2009 01/SEP/2018 3% 50,000.00 50,000.00 0.02%

BETTENDORF IOWA 3% 06/17 75,000.00 76,374.00 0.02%

BLACKROCK CORPORATE HIGH 57,175.00 622,064.00 0.20%

BLACKROCK DEBT 79,416.00 294,633.36 0.10%

BLACKSTONE / GSO 19,885.00 296,087.65 0.10%

BOMBARDIER 5.5% 09/18 8,000.00 8,220.00 0.00%

BONANZA 5.75% 02/23 86,000.00 36,980.00 0.01%

BREITBURN 7.875% 04/22 63,000.00 24,570.00 0.01%

BROOKLYN ARENA 5% 07/26 625,000.00 785,506.25 0.26%

BROOKLYN ARENA 5% 07/28 560,000.00 701,764.00 0.23%

BUILDERS 5.625% 09/24 18,000.00 18,360.00 0.01%

BUMBLE BEE 9% 12/17 26,000.00 26,455.00 0.01%

BUNCOMBE CNTY N VAR 07/31 2,245,000.00 2,245,000.00 0.73%

BURLINGTON VT 4% 12/17 360,000.00 372,348.00 0.12%

CALIFORNIA 4% 11/17 450,000.00 463,918.50 0.15%

CALIFORNIA 4% 11/41 4,750,000.00 5,301,950.00 1.73%

CALIFORNIA 5% 11/46 2,500,000.00 3,097,950.00 1.01%

CALIFORNIA EDL VAR 01/25 1,800,000.00 1,800,000.00 0.59%

CALIFORNIA FLT 04/52 1,000,000.00 1,001,960.00 0.33%

CALIFORNIA FLT 10/47 2,000,000.00 2,002,980.00 0.65%

CALIFORNIA MUN VAR 08/28 1,800,000.00 1,800,000.00 0.59%

CALIFORNIA ST 4% 11/45 500,000.00 563,580.00 0.18%

CALIFORNIA ST 5% 05/17 20,000.00 20,599.00 0.01%

CALIFORNIA ST FLT 12/28 2,500,000.00 2,499,725.00 0.81%

CALIFORNIA ST VAR 05/34 50,000.00 50,000.00 0.02%

CALIFORNIA VAR 04/46 1,800,000.00 1,800,000.00 0.59%

CALPINE 7.875% 01/23 143,000.00 150,865.00 0.05%

CAMPBELL CALIF 3% 08/30 670,000.00 733,636.60 0.24%

CANTON TEX INDPT 5% 02/37 25,000.00 25,509.25 0.01%

CARRINGTON FLT 10/36 333,625.29 195,996.95 0.06%

CARRIZO OIL & 7.5% 09/20 15,000.00 15,412.50 0.01%

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CARROLL CNTY KY VAR 09/42 250,000.00 249,757.50 0.08%

CCO 5.125% 05/23 15,000.00 15,782.85 0.01%

CDI CDX.EM 1 USD0621 2,990,000.00 192,345.37 0.06%

CDI CDX.NA 1 USD1220 6,300,000.00 (61,495.88) -0.02%

CDI CDX.NA 5 USD0621 400,000.00 (17,797.81) -0.01%

CDI iTraxx 1 EUR0621 3,850,000.00 (64,934.47) -0.02%

CDS AA 5.7 1 USD0621 310,000.00 20,065.60 0.01%

CDS ABX.HE 0.11 USD0546 100,000.00 14,840.54 0.00%

CDS ABX.HE 0.11 USD0546 120,000.00 17,808.64 0.01%

CDS ABX.HE 0.11 USD0546 200,000.00 29,681.07 0.01%

CDS ABX.HE 0.11 USD0546 230,000.00 34,133.23 0.01%

CDS ALLYFI 5 USD0317 40,000.00 (959.92) 0.00%

CDS ALLYFI 5 USD0317 96,000.00 (2,303.80) 0.00%

CDS ALLYFI 5 USD1217 70,000.00 (3,574.05) 0.00%

CDS ALLYFI 5 USD1217 74,000.00 (3,778.28) 0.00%

CDS ALLYFI 5 USD1217 109,000.00 (5,565.31) 0.00%

CDS ALLYFI 5 USD1217 150,000.00 (7,658.68) 0.00%

CDS BZH (2 5 USD1217 50,000.00 (2,439.79) 0.00%

CDS CHINA 1 USD0621 3,070,000.00 (982.29) 0.00%

CDS CIT 5. 5 USD0617 13,000.00 (452.47) 0.00%

CDS CIT 5. 5 USD0617 60,000.00 (2,088.33) 0.00%

CDS CMBX.N 2 USD0563 150,000.00 6,939.27 0.00%

CDS CMBX.N 2 USD0563 150,000.00 6,939.27 0.00%

CDS CMBX.N 2 USD0563 150,000.00 6,939.27 0.00%

CDS CMBX.N 2 USD0563 150,000.00 6,939.27 0.00%

CDS CMBX.N 2 USD0563 150,000.00 6,939.27 0.00%

CDS CNATUR 1 USD0621 230,000.00 10,109.57 0.00%

CDS DVN 7. 1 USD0621 150,000.00 6,795.33 0.00%

CDS FRCA 9 5 USD0617 42,000.00 (1,506.60) 0.00%

CDS HOV-K 5 USD1216 80,000.00 (96.38) 0.00%

CDS HOV-K 5 USD1216 80,000.00 (96.38) 0.00%

CDS HOV-K 5 USD1216 80,000.00 (96.38) 0.00%

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CDS IOS FN 5 USD0141 390,000.00 (41.33) 0.00%

CDS MEX 5. 1 USD0621 2,700,000.00 47,394.72 0.02%

CDS NBR-In 1 USD0621 340,000.00 43,042.23 0.01%

CDS SHC-Ac 5 USD0916 60,000.00 (150.60) 0.00%

CDS SPRFIN 5 USD0916 100,000.00 (227.77) 0.00%

CDS SPRFIN 5 USD0917 100,000.00 (3,617.16) 0.00%

CDS SPRICO 5 USD1220 70,000.00 1,425.41 0.00%

CDS STAN-B 1 GBP0621 310,000.00 17,081.29 0.01%

CDS TURKEY 1 USD0621 4,220,000.00 269,377.49 0.09%

CDS VENZ 9 5 USD0617 70,000.00 (24,215.10) -0.01%

CDS VENZ 9 5 USD0617 70,000.00 (24,215.10) -0.01%

CDS VENZ 9 5 USD0617 70,000.00 (24,215.10) -0.01%

CDS VENZ 9 5 USD0617 70,000.00 (24,215.10) -0.01%

CDS VENZ 9 5 USD0617 140,000.00 (48,430.20) -0.02%

CDS VENZ 9 5 USD0916 30,000.00 (1,420.50) 0.00%

CDS VENZ 9 5 USD0916 40,000.00 (1,894.00) 0.00%

CDS VENZ 9 5 USD0916 70,000.00 (3,314.50) 0.00%

CDS VENZ 9 5 USD0916 70,000.00 (3,314.50) 0.00%

CDS VENZ 9 5 USD0916 80,000.00 (3,788.00) 0.00%

CDS VENZ 9 5 USD0916 80,000.00 (3,788.00) 0.00%

CDS VENZ 9 5 USD0916 150,000.00 (7,102.50) 0.00%

CDS VENZ 9 5 USD0916 300,000.00 (14,205.00) 0.00%

CDS VENZ 9 5 USD1219 27,200.00 (15,262.20) 0.00%

CDS VENZ 9 5 USD1219 53,600.00 (30,075.52) -0.01%

CEB INC 5.625% 06/23 157,000.00 155,822.50 0.05%

CECIL CNTY 4.125% 12/23 30,000.00 31,336.50 0.01%

CEDAR RAPIDS 4.25% 07/23 25,000.00 25,765.75 0.01%

CENTRAL 6.125% 11/23 15,000.00 16,106.25 0.01%

CENTRAL PLAINS 5% 09/16 800,000.00 800,000.00 0.26%

CENTRAL UTAH 2.5% 04/17 50,000.00 50,565.50 0.02%

CENTURYLINK 5.625% 04/20 15,000.00 15,975.00 0.01%

CG-CCRE FLT 11/31 100,000.00 100,150.04 0.03%

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CG-CCRE FLT 11/31 185,000.00 184,222.02 0.06%

CHAPARRAL 7.625% 11/22 187,000.00 117,810.00 0.04%

CHAPPARAL 8.25% 09/21 70,000.00 44,100.00 0.01%

CHAPPARAL 9.875% 10/20 189,000.00 119,070.00 0.04%

CHARLESTON S C 5% 01/17 250,000.00 253,750.00 0.08%

CHARLOTTE N C VAR 06/33 960,000.00 960,000.00 0.31%

CHARLOTTE N C VAR 07/36 480,000.00 480,000.00 0.16%

CHARLOTTE N C VAR 07/37 580,000.00 580,000.00 0.19%

CHARLOTTE-MECKL VAR 01/26 700,000.00 700,000.00 0.23%

CHELAN CNTY 5.5% 07/26 350,000.00 413,241.50 0.13%

CHEMOURS 6.625% 05/23 25,000.00 24,000.00 0.01%

CHEROKEE CNTY GA 4% 08/17 200,000.00 206,280.00 0.07%

CHESAPEAKE 6.625% 08/20 45,000.00 40,050.00 0.01%

CHESAPEAKE FLT 04/19 116,000.00 104,980.00 0.03%

CHESHIRE CONN RFDG 07/MAY/2014 01/AUG/2019 4% 80,000.00 87,519.20 0.03%

CHICAGO ILL 4.75% 01/30 235,000.00 235,754.35 0.08%

CHICAGO ILL 4% 01/17 30,000.00 30,342.00 0.01%

CHICAGO ILL 5% 01/17 50,000.00 50,636.00 0.02%

CHICAGO ILL 5% 01/18 500,000.00 515,340.00 0.17%

CHICAGO ILL MET 5% 12/16 50,000.00 50,566.00 0.02%

CHICAGO ILL O 5% 01/17 350,000.00 354,987.50 0.12%

CHICAGO ILL TAX 5% 06/19 500,000.00 545,850.00 0.18%

CHICAGO ILL TRAN 5% 06/19 250,000.00 252,872.50 0.08%

CHL MORTGAGE FLT 05/37 71,845.19 52,812.62 0.02%

CINCINNATI OHIO 5% 12/16 50,000.00 50,576.00 0.02%

CINCINNATI OHIO 5% 12/32 75,000.00 75,986.25 0.02%

CINEMARK 5.125% 12/22 23,000.00 23,805.00 0.01%

CIT GROUP INC 5% 05/17 73,000.00 74,460.00 0.02%

CITGO HOLDING TL B 1L-LX143176 261,012.56 262,562.97 0.09%

CITIGROUP FLT 06/36 106,286.49 97,429.40 0.03%

CITIGROUP FLT 07/27 210,000.00 196,104.45 0.06%

CITIGROUP FLT 07/36 115,841.21 103,365.29 0.03%

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CITIGROUP FLT 08/36 475,345.40 435,957.23 0.14%

CITIGROUP FLT 11/36 118,088.53 105,650.74 0.03%

CITIGROUP VAR 02/37 74,589.38 72,602.65 0.02%

CITIGROUP VAR 02/37 203,035.31 184,349.91 0.06%

CITIGROUP VAR 02/54 239,334.73 229,363.78 0.07%

CITIGROUP VAR 07/36 171,615.32 157,945.80 0.05%

CITIGROUP VAR 10/46 29,736.77 29,736.77 0.01%

CITY OF SAN VAR 05/43 2,000,000.00 2,000,080.00 0.65%

CLARK CNTY NEV 3% 07/17 30,000.00 30,577.20 0.01%

CLARK CNTY NEV 5% 06/17 25,000.00 25,829.75 0.01%

CLARK CNTY NEV 5% 06/20 100,000.00 107,483.00 0.03%

CLARK CNTY NEV 5% 11/22 100,000.00 100,763.00 0.03%

CLARKSVILLE TENN 5% 12/16 230,000.00 232,847.40 0.08%

CLARKSVILLE VAR 02/38 350,000.00 350,000.00 0.11%

CLARKSVILLE VAR 07/35 145,000.00 145,000.00 0.05%

CLEAR CHANNEL 6.5% 11/22 15,000.00 15,712.50 0.01%

CLEARWIRE 8.25% 12/40 128,000.00 133,200.00 0.04%

CLEVELAND OHIO 5% 01/32 160,000.00 162,393.60 0.05%

CLEVELAND-CUYAHO 3% 05/17 120,000.00 122,048.40 0.04%




CLIFFS 8.25% 03/20 8,000.00 8,380.00 0.00%

COLORADO HEALTH 4% 10/17 520,000.00 537,191.20 0.17%

COLORADO ST 5% 11/16 50,000.00 50,374.00 0.02%

COLORADO ST BRD 4% 03/17 25,000.00 25,433.50 0.01%

COMAL TEX 5.25% 02/25 180,000.00 191,678.40 0.06%

COMM 2014-FL5 FLT 08/31 110,000.00 102,433.82 0.03%

COMM 2014-FL5 FLT 08/31 170,000.00 159,056.53 0.05%

COMM VAR 05/48 340,000.00 312,670.26 0.10%

CONCORDIA 7% 04/23 290,000.00 224,750.00 0.07%

CONCORDIA HEALTH CORP TL 1 LIEN-LX148270 149,250.00 141,111.40 0.05%

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CONN ST HSG FIN 4% 11/32 780,000.00 841,167.60 0.27%

CONNECTICUT ST 3.5% 11/46 1,000,000.00 1,079,770.00 0.35%

CONNECTICUT ST 4% 11/18 945,000.00 960,809.85 0.31%

CONNECTICUT ST 4% 11/45 190,000.00 207,058.20 0.07%

COOK CNTY ILL 3% 12/16 135,000.00 135,816.75 0.04%

COOK CNTY ILL 5.25% 11/16 195,000.00 196,852.50 0.06%

COOK CNTY ILL RFDG-SER A 19/DEC/2013 15/NOV/2017 5% 1,000,000.00 1,045,850.00 0.34%

COUNCIL ROCK PA 3% 11/17 125,000.00 128,495.00 0.04%

COVENANT 8.75% 08/19 51,000.00 49,215.00 0.02%

CREDIT-BASED FLT 05/36 94,562.29 69,653.64 0.02%

CREDIT-BASED FLT 10/36 359,651.87 275,314.37 0.09%

CROWNROCK 7.125% 04/21 107,000.00 111,280.00 0.04%

CSAB FLT 09/36 182,962.10 80,905.97 0.03%

CSC 10.125% 01/23 400,000.00 456,750.00 0.15%

CSC 10.875% 10/25 400,000.00 469,000.00 0.15%

CSMC SERIES 2015-3R 2015-3R 5A1 FLOATING 29/SEP/2036 270,994.98 260,137.46 0.08%

CSMC SERIES FLT 04/37 74,269.82 71,930.80 0.02%

CSMC SERIES FLT 10/36 297,799.47 282,151.33 0.09%

CSMC SERIES FLT 12/36 100,416.52 95,971.69 0.03%

CSMC SERIES VAR 07/36 101,741.97 100,495.25 0.03%

CSMC TRUST 2015-DEAL 2015-DEAL E FLOATING 15/APR/2029 560,000.00 554,326.47 0.18%

CSMC TRUST 2015-SAND 2015-SAND E FLOATING 15/AUG/2030 240,000.00 232,604.66 0.08%

CST BRANDS INC 5% 05/23 33,000.00 34,897.50 0.01%

CTP 8.25% 12/19 178,000.00 137,060.00 0.04%

CUMBERLAND & 5.95% 12/16 155,000.00 156,943.70 0.05%

CUYAHOGA CNTY OHIO RFDG 21/APR/2005 01/DEC/2016 5% 145,000.00 146,658.80 0.05%

DAKOTA CNTY 4.5% 06/35 230,000.00 244,163.40 0.08%

DALLAS TEX 4% 10/16 85,000.00 85,255.85 0.03%

DALLAS TEX AREA 5% 12/36 105,000.00 106,201.20 0.03%

DALLAS TEX FOR 5% 02/19 200,000.00 204,000.00 0.07%

DANA INC 5.375% 09/21 15,000.00 15,600.00 0.01%

DANA INC CALLABLE NOTES FIXED 6% 15/SEP/2023 USD 1000 37,000.00 38,757.50 0.01%

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DE SOTO CNTY 4% 05/17 85,000.00 86,919.30 0.03%

DEAN FOODS CO 6.5% 03/23 15,000.00 15,937.50 0.01%

DEKALB PRIVATE VAR 07/42 295,000.00 295,000.00 0.10%

DELAWARE 5.6% 07/17 100,000.00 103,978.00 0.03%

DELAWARE RIV 4.5% 07/37 50,000.00 51,626.50 0.02%

DELAWARE ST 4.9% 07/29 755,000.00 818,246.35 0.27%

DELAWARE ST 5% 07/18 100,000.00 107,991.00 0.04%

DENVER COLO CITY 5% 11/16 250,000.00 252,275.00 0.08%

DENVER COLO CITY 5% 12/16 590,000.00 597,911.90 0.19%

DEUTSCHE ALT-A FLT 02/35 52,154.86 48,646.58 0.02%

DEUTSCHE FLT 06/37 163,642.23 161,343.66 0.05%

DISH DBS 4.25% 04/18 15,000.00 15,393.75 0.01%

DISTRICT 5.5% 08/28 30,000.00 31,397.70 0.01%

DISTRICT 5% 02/18 180,000.00 180,698.40 0.06%

DISTRICT 5% 02/19 240,000.00 240,931.20 0.08%

DISTRICT 5% 10/36 120,000.00 125,766.00 0.04%

DISTRICT 5% 12/16 95,000.00 96,093.45 0.03%

DISTRICT 5% 12/16 150,000.00 151,726.50 0.05%

DISTRICT 5% 12/29 200,000.00 228,706.00 0.07%

DU PAGE & WILL 4% 12/16 125,000.00 126,408.75 0.04%

DUBLIN OHIO CITY 4% 12/17 55,000.00 57,327.05 0.02%

DURANGO COLO 4% 12/16 30,000.00 30,259.20 0.01%

EAGLE MTN & 4% 08/17 100,000.00 103,176.00 0.03%

EAST BAY CALIF VAR 06/38 2,000,000.00 2,000,000.00 0.65%

EAST CHINA SCH 2.5% 05/17 100,000.00 101,134.00 0.03%

EAST LANE RE FLT 03/20 250,000.00 255,850.00 0.08%

EATON VANCE 12,452.00 174,950.60 0.06%

EATON VANCE SENIOR INCOME TRUST CLOSED-END FUND USD 14,301.00 90,096.30 0.03%

EGG HARBOR TWP N 4% 09/16 50,000.00 50,061.00 0.02%

EL PASO CNTY 5% 12/21 25,000.00 25,330.25 0.01%

EL PASO LLC 7% 06/17 138,000.00 143,233.37 0.05%

EL PASO TEX CTFS OBLIG 15/JAN/2009 15/AUG/2018 5% 150,000.00 162,223.50 0.05%

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ENDEAVOR 8.125% 09/23 45,000.00 46,350.00 0.02%

ENDEAVOR ENERGY 7% 08/21 275,000.00 277,062.50 0.09%

EQUINIX INC 5.375% 01/22 20,000.00 21,362.40 0.01%

ERIE CNTY N Y 5% 05/17 300,000.00 308,946.00 0.10%

EUGENE ORE ELEC 4% 08/31 325,000.00 376,467.00 0.12%

EUGENE ORE ELEC 5% 08/29 850,000.00 1,089,266.50 0.35%

Exco Resources, Inc Senior Secured 2-LX148807 104,850.00 65,793.38 0.02%

FANNIE MAE FLT 04/28 258,000.00 279,826.39 0.09%

FARMINGTON MINN 5% 02/17 110,000.00 112,055.90 0.04%

FERRELLGAS LP 6.5% 05/21 109,000.00 102,732.50 0.03%

FHLMC REMICS 4057 SA FLOATING 15/APR/2039 227,764.99 22,589.60 0.01%

FIELDSTONE FLT 07/36 82,462.95 48,490.64 0.02%

FIRST DATA 5.375% 08/23 93,000.00 96,487.50 0.03%

FIRST DATA 5.75% 01/24 138,000.00 141,277.50 0.05%

FIRST DATA CORP 5% 01/24 158,000.00 160,765.00 0.05%

FIRST DATA CORP 7% 12/23 102,000.00 106,972.50 0.03%

FIRST FRANKLIN FLT 10/36 335,913.82 240,188.32 0.08%

FIRST FRANKLIN FLT 12/36 331,249.91 202,019.32 0.07%

FISHER MINN 2% 02/17 205,000.00 206,049.60 0.07%

FLORIDA DEV FIN VAR 02/29 1,800,000.00 1,800,000.00 0.59%

FLORIDA HSG 4.5% 01/29 265,000.00 280,886.75 0.09%

FLORIDA HSG 4.5% 01/30 240,000.00 251,301.60 0.08%

FLORIDA HSG FIN 4% 07/35 800,000.00 844,216.00 0.27%

FLORIDA HSG FIN 5% 07/41 50,000.00 52,287.00 0.02%

FLORIDA ST BRD 5% 06/17 100,000.00 103,350.00 0.03%

FLORIDA ST BRD 5% 06/19 150,000.00 162,732.00 0.05%

FLORIDA ST BRD 5% 07/17 80,000.00 82,968.80 0.03%

FLORIDA ST BRD 5% 07/18 125,000.00 134,748.75 0.04%

FLORIDA ST MUN 4% 10/17 750,000.00 775,912.50 0.25%

FLORIDA ST MUN VAR 10/21 1,000,000.00 901,250.00 0.29%

FMG 9.75% 03/22 8,000.00 9,240.00 0.00%

FORD CNTY KANS 5% 09/16 935,000.00 935,000.00 0.30%

S-408-865-672 01-Sep-2016 02:09:50



FORT BEND CNTY 5.3% 09/32 50,000.00 50,000.00 0.02%

FORT MILL S C 5.25% 12/28 50,000.00 50,600.50 0.02%

FORT WAYNE IND 3% 07/17 100,000.00 101,994.00 0.03%

FORT WORTH TEX 3% 03/17 150,000.00 151,860.00 0.05%

FORT WORTH TEX 5% 02/20 190,000.00 209,917.70 0.07%

FORT WORTH TEX 5% 03/20 415,000.00 473,548.20 0.15%

FRANKLIN CNTY 5% 12/20 1,000,000.00 1,164,420.00 0.38%

FREEPORT N Y 4% 05/24 950,000.00 1,121,646.00 0.37%

FREEPORT N Y 4% 05/25 345,000.00 411,557.40 0.13%

FREESCALE 6% 01/22 86,000.00 90,644.00 0.03%

FREMONT HOME FLT 08/36 230,936.26 97,238.30 0.03%

FREMONT HOME FLT 08/36 560,143.33 230,785.38 0.08%

FRONTIER 8.25% 04/17 42,000.00 43,470.00 0.01%

FULTON CNTY GA 5% 10/16 65,000.00 65,230.10 0.02%

GAINESVILLE GA 5% 11/16 50,000.00 50,471.00 0.02%

GAINESVILLE GA SCH DIST 07/NOV/2011 01/DEC/2016 5% 185,000.00 187,064.60 0.06%

Gardner Denver Inc USD TL-LX128915 55,843.46 52,955.24 0.02%

GCI INC 6.75% 06/21 233,000.00 240,572.50 0.08%

GEISINGER AUTH VAR 06/41 150,000.00 150,000.00 0.05%

GEORGIA ST HSG & 4% 06/44 385,000.00 408,662.10 0.13%

GEORGIA ST HSG & 4% 12/29 325,000.00 334,243.00 0.11%

GEORGIA ST HSG & 5% 06/29 35,000.00 37,728.60 0.01%

GEORGIA ST RFDG-SER C 18/JUL/2012 01/SEP/2022 4% 150,000.00 175,411.50 0.06%

GEORGIA ST SER E 01/AUG/2007 01/AUG/2019 5% 50,000.00 52,045.00 0.02%

GEORGIA ST SER G 01/DEC/2007 01/DEC/2017 5% 150,000.00 158,308.50 0.05%

GEORGIA ST SER G 01/DEC/2007 01/DEC/2019 5% 100,000.00 105,563.00 0.03%

GEORGIA ST SER I 22/NOV/2011 01/NOV/2021 5% 360,000.00 434,203.20 0.14%

GLOUCESTER CNTY N J 28/JUN/2013 01/MAR/2017 3% 25,000.00 25,298.75 0.01%

GOLDEN ST TOB 4.5% 06/17 100,000.00 103,114.00 0.03%

GOODYEAR 5.125% 11/23 23,000.00 24,035.00 0.01%

GRAND BLANC MICH 3% 05/17 980,000.00 993,622.00 0.32%

GRAND ISLAND N 1.5% 10/16 2,000,000.00 2,002,280.00 0.65%

S-408-865-672 01-Sep-2016 02:09:50



GRAND PRAIRIE 4% 02/17 50,000.00 50,793.50 0.02%

GREENVILLE S C 5% 02/17 50,000.00 50,929.50 0.02%

GSAA HOME FLT 03/47 158,608.43 77,724.82 0.03%

GSAMP TRUST 2006-FM1 2006-FM1 A1 FLOATING 25/APR/2036 388,810.03 274,897.21 0.09%

GSAMP TRUST FLT 03/47 664,631.40 571,266.77 0.19%

GSAMP TRUST FLT 05/46 459,488.92 425,362.03 0.14%

GSAMP TRUST FLT 09/36 121,771.01 57,371.61 0.02%

GSAMP TRUST FLT 09/36 121,771.09 59,412.48 0.02%

GSCCRE FLT 08/32 540,000.00 523,984.25 0.17%

GSMSC FLT 04/37 72,101.48 67,606.42 0.02%

GSR MORTGAGE 5.75% 02/36 55,473.68 51,318.39 0.02%

Gulf Finance LLC/Team Loan B-LX154101 239,000.00 231,430.87 0.08%

GULF SHORES 4.5% 12/28 65,000.00 68,302.00 0.02%

HALCON 13% 02/22 199,000.00 110,445.00 0.04%

HALCON 8.625% 02/20 55,000.00 52,250.00 0.02%

HAMILTON 5% 01/17 25,000.00 25,402.75 0.01%

HAMILTON CNTY 4% 12/16 50,000.00 50,447.50 0.02%

HAMILTON CNTY 5% 12/31 200,000.00 202,288.00 0.07%

HAMMOND IND 5% 01/20 100,000.00 110,016.00 0.04%

HANCOCK CNTY 4% 12/16 200,000.00 201,356.00 0.07%

HANOVER PA 3.8% 02/17 50,000.00 50,608.00 0.02%

HARBORVIEW FLT 11/36 169,784.00 123,203.84 0.04%

HARBORVIEW FLT 12/34 59,250.33 48,919.09 0.02%

HARFORD CNTY MD 5% 03/17 150,000.00 153,622.50 0.05%

HARRIS CNTY TEX 4% 10/16 25,000.00 25,075.00 0.01%

HARRIS CNTY TEX 5% 08/19 50,000.00 52,082.50 0.02%

HARRIS CNTY TEX 5% 10/18 375,000.00 408,330.00 0.13%

HAWAII ST DEPT 5% 08/17 375,000.00 389,137.50 0.13%

HCA INC 5.25% 04/25 30,000.00 32,137.50 0.01%

HD SUPPLY 5.25% 12/21 15,000.00 15,984.30 0.01%

HEALTHSOURCE 4% 05/18 575,000.00 604,089.25 0.20%

HEALTHSOURCE 5% 05/19 650,000.00 718,484.00 0.23%

S-408-865-672 01-Sep-2016 02:09:50



HEALTHSOURCE 5% 05/20 930,000.00 1,060,581.30 0.35%

HEALTHSOUTH 5.75% 09/25 8,000.00 8,370.00 0.00%

HENRY CNTY GA 5% 12/17 50,000.00 52,761.00 0.02%

HERTZ 6.25% 10/22 15,000.00 15,825.00 0.01%

HIGHLANDS 5.125% 11/32 105,000.00 105,995.40 0.03%

HIGHLANDS CNTY 5% 11/16 500,000.00 504,650.00 0.16%

HILCORP 5.75% 10/25 130,000.00 127,400.00 0.04%

HILCORP 7.625% 04/21 48,000.00 49,320.00 0.02%

HILCORP ENERGY 5% 12/24 23,000.00 22,310.00 0.01%

HILLSBOROUGH VAR 12/33 1,000,000.00 1,000,000.00 0.33%

HOLDINGFORD MINN 5% 02/17 75,000.00 76,396.50 0.02%

HOME EQUITY FLT 04/37 361,413.07 237,292.51 0.08%

HOME EQUITY FLT 07/37 446,938.51 273,889.64 0.09%

HOME EQUITY FLT 08/36 334,845.22 270,733.91 0.09%

HOME EQUITY FLT 11/36 398,005.10 318,180.20 0.10%

HOUSTON CNTY ALA 5% 10/16 90,000.00 90,301.50 0.03%

HOUSTON TEX 5% 02/17 25,000.00 25,510.25 0.01%

HOUSTON TEX VAR 07/30 900,000.00 829,125.00 0.27%

HRG GROUP 7.75% 01/22 12,000.00 12,405.00 0.00%

HRG GROUP 7.875% 07/19 232,000.00 245,340.00 0.08%

HUGHES 5.25% 08/26 35,000.00 34,781.25 0.01%

HUGHES 6.625% 08/26 64,000.00 63,520.00 0.02%

HUNTINGTON 5% 11/25 15,000.00 16,106.25 0.01%

ICAHN 4.875% 03/19 124,000.00 122,837.50 0.04%

ICAHN 6% 08/20 15,000.00 14,418.75 0.00%

IDAHO HEALTH VAR 12/48 2,000,000.00 2,000,000.00 0.65%

IHEARTCOMMUNICAT 9% 12/19 8,000.00 6,470.00 0.00%

ILL HSG DEV AUTH 4% 02/35 1,815,000.00 1,911,503.55 0.62%

ILLINOIS FIN 4% 10/32 1,000,000.00 1,117,810.00 0.36%

ILLINOIS FIN VAR 07/42 1,455,000.00 1,456,702.35 0.47%

ILLINOIS FIN VAR 08/44 380,000.00 380,000.00 0.12%

ILLINOIS MUN 5% 02/35 50,000.00 50,939.50 0.02%

S-408-865-672 01-Sep-2016 02:09:50



INDIANA FIN AUTH 4% 07/18 335,000.00 351,579.15 0.11%

INDIANA HEALTH VAR 07/28 1,100,000.00 1,100,000.00 0.36%

INDIANA HEALTH VAR 11/27 1,685,000.00 1,702,591.40 0.55%

INDIANA HEALTH VAR 11/36 250,000.00 250,820.00 0.08%

INDIANA ST FIN 3% 03/17 70,000.00 70,793.80 0.02%

INDIANA ST FIN 4% 11/16 560,000.00 562,766.40 0.18%

INDIANA ST FIN 5% 02/21 750,000.00 854,587.50 0.28%

INDIANA ST FIN VAR 10/40 400,000.00 400,000.00 0.13%

INDIANA ST HSG 4.5% 06/28 205,000.00 216,467.70 0.07%

INDIANA ST HSG 4.5% 12/27 255,000.00 270,904.35 0.09%

INDIANAPOLIS IND 5% 01/21 100,000.00 113,822.00 0.04%

INTELSAT 7.25% 04/19 11,000.00 8,813.75 0.00%

INTERFACE 9.25% 01/18 98,000.00 99,470.00 0.03%

INTERNATIONA 5.875% 08/22 30,000.00 33,900.00 0.01%

INTERVAL 5.625% 04/23 8,000.00 8,280.00 0.00%

INVESCO DYNAMIC CREDIT 15,382.00 179,507.94 0.06%

IOWA FIN AUTH 4.5% 01/29 195,000.00 207,653.55 0.07%

IOWA FIN AUTH 4.5% 07/28 235,000.00 245,419.90 0.08%

IOWA FIN AUTH 4% 07/46 715,000.00 790,153.65 0.26%

IOWA FIN AUTH 5% 07/17 50,000.00 51,787.00 0.02%

IRON MOUNTAIN 6% 08/23 31,000.00 33,092.50 0.01%

IRON MOUNTAIN 6% 10/20 15,000.00 15,937.65 0.01%

IRVINE RANCH 5% 03/19 125,000.00 138,693.75 0.05%

IRVINE RANCH VAR 10/41 200,000.00 200,000.00 0.07%

IRVING TEX HOTEL 2% 08/17 295,000.00 296,560.55 0.10%

ISLAND CNTY WASH 5% 12/16 220,000.00 222,492.60 0.07%

JACK COOPER 9.25% 06/20 219,000.00 159,870.00 0.05%

JACKSON CNTY MO 4% 12/16 95,000.00 95,842.65 0.03%

JACKSON CNTY ORE 5% 12/16 430,000.00 435,757.70 0.14%

JACKSON CNTY VAR 12/16 130,000.00 130,000.00 0.04%

JACKSON MISS PUB SCH DIST 02/OCT/2007 01/APR/2017 5% 50,000.00 51,120.00 0.02%

JACKSONVILLE FLA 4% 10/16 50,000.00 50,148.00 0.02%

S-408-865-672 01-Sep-2016 02:09:50



JACKSONVILLE FLA 5% 10/16 500,000.00 501,885.00 0.16%

JASPER IND HOSP 4% 11/17 250,000.00 257,787.50 0.08%

JONES ENERGY 6.75% 04/22 242,000.00 208,120.00 0.07%

JPMORGAN US VAR 12/49 3,054.28 3,054.28 0.00%

KANE KENDALL ETC 4% 12/16 55,000.00 55,547.80 0.02%

KANSAS CITY MO 5% 09/18 50,000.00 54,342.50 0.02%

KANSAS ST DEPT 5% 09/16 225,000.00 225,000.00 0.07%

KANSAS ST DEPT 5% 09/17 25,000.00 26,111.25 0.01%

KANSAS ST DEPT VAR 09/22 1,400,000.00 1,400,000.00 0.46%

KANSAS ST DEV 3.5% 03/17 75,000.00 76,102.50 0.02%

KANSAS ST DEV 4% 06/17 25,000.00 25,560.25 0.01%

KANSAS ST DEV 5% 11/18 15,000.00 16,409.40 0.01%

KANSAS ST DEV 5% 11/18 425,000.00 464,673.75 0.15%

KELLER TEX 5.25% 02/21 170,000.00 188,589.50 0.06%

KENILWORTH ILL RFDG-SER B 21/OCT/2015 01/DEC/2016 4% 370,000.00 373,341.10 0.12%

KENT HOSP FIN VAR 01/47 1,800,000.00 1,800,000.00 0.59%

KENTUCKY HSG 5% 01/28 100,000.00 105,497.00 0.03%

KENTUCKY ST PPTY 5% 11/16 800,000.00 806,048.00 0.26%

KILIMANJARO RE LTD BOND VARIABLE 30/APR/2018 USD 1000 250,000.00 253,075.00 0.08%

KINDER 3.05% 12/19 27,000.00 27,721.68 0.01%

KINDER MORGAN 2% 12/17 40,000.00 40,041.04 0.01%

KINDER MORGAN 6% 01/18 40,000.00 41,940.00 0.01%

KING CNTY WASH 4% 12/16 225,000.00 226,966.50 0.07%

KING CNTY WASH 5% 12/17 75,000.00 79,102.50 0.03%

LAKE CHARLES LA 4% 01/17 955,000.00 963,948.35 0.31%

LAKE CNTY ILL 4.5% 12/16 220,000.00 222,054.80 0.07%

LANCASTER CNTY 4% 07/17 60,000.00 61,718.40 0.02%

LANE CNTY ORE 5% 11/19 50,000.00 50,383.00 0.02%

LARAMIE CNTY WYO 4% 05/18 625,000.00 656,050.00 0.21%

LAREDO TEX CMNTY 2% 08/17 75,000.00 75,747.75 0.02%

LAREDO TEX CTFS OBLIG 01/AUG/2007 15/FEB/2024 5.25% 50,000.00 51,056.50 0.02%

LAS VEGAS VALLEY 4% 03/17 50,000.00 50,862.00 0.02%

S-408-865-672 01-Sep-2016 02:09:50



LEE CNTY FLA CAP REV 19/OCT/2006 01/OCT/2026 4.375% 65,000.00 65,208.65 0.02%

LEHMAN XS TRUST FLT 12/36 13,301.77 13,749.94 0.00%

LEVEL 3 5.375% 01/24 90,000.00 94,387.50 0.03%

LEVEL 3 6.125% 01/21 15,000.00 15,562.50 0.01%

LEXINGTON CNTY S 5% 02/17 25,000.00 25,470.50 0.01%

LOGAN HOCKING 2% 12/16 50,000.00 50,185.50 0.02%

LOS ANGELES 5% 07/22 50,000.00 51,868.50 0.02%

LOS ANGELES CNTY 5% 07/17 20,000.00 20,754.20 0.01%

LOS ANGELES CNTY 5% 10/17 40,000.00 41,877.20 0.01%

LOS ANGELES VAR 07/34 1,100,000.00 1,100,000.00 0.36%

LOUDOUN CNTY VA 5% 12/17 400,000.00 404,492.00 0.13%

LOUDOUN CNTY VA VAR 06/43 1,000,000.00 1,000,000.00 0.33%

LOUISIANA ST 5% 11/16 300,000.00 302,196.00 0.10%

LOUISIANA ST GAS 5% 05/20 100,000.00 114,937.00 0.04%

LOUISIANA ST VAR 10/40 1,000,000.00 1,010,670.00 0.33%

LOUISVILLE/JEFF VAR 02/35 2,500,000.00 2,567,200.00 0.84%

LOWER COLO RIV 5% 05/17 25,000.00 25,773.75 0.01%

LOWER NECHES VAR 11/38 200,000.00 200,000.00 0.07%

LSTAR FLT 01/20 442,376.13 437,841.64 0.14%

LSTAR FLT 01/20 447,439.08 441,084.82 0.14%

LSTAR FLT 03/20 242,417.70 238,118.64 0.08%

LSTAR FLT 04/20 119,825.26 118,177.66 0.04%

LSTAR FLT 05/20 249,280.57 244,372.98 0.08%

LSTAR FLT 07/20 82,425.52 80,467.91 0.03%

LSTAR FLT 12/21 98,705.16 97,471.35 0.03%

LSTAR SECURITIES INVESTMENT TRUST 2014-- 1 NOTE 298,403.80 295,792.77 0.10%

MACON GA WTR 4% 10/17 150,000.00 155,265.00 0.05%

MADISON BORO N J 5% 10/22 100,000.00 109,207.00 0.04%

MAINE HEALTH & 5% 07/17 50,000.00 51,795.50 0.02%

MAINE HEALTH 4.75% 07/23 70,000.00 72,434.60 0.02%

MAINE MUN BD BK 4% 11/21 100,000.00 114,633.00 0.04%

MAINE ST HSG 4% 11/43 595,000.00 631,092.70 0.21%

S-408-865-672 01-Sep-2016 02:09:50



MAINE ST HSG 4% 11/45 640,000.00 702,438.40 0.23%

MANATEE CNTY FLA 4% 10/16 50,000.00 50,148.50 0.02%

MAPLEWOOD TWP N J RFDG 13/OCT/2011 01/OCT/2016 4% 180,000.00 180,534.60 0.06%

MARTIN 7.25% 02/21 60,000.00 56,925.00 0.02%

MARYLAND ST 5.25% 03/17 100,000.00 102,368.00 0.03%

MARYLAND ST 5.25% 03/19 540,000.00 601,311.60 0.20%

MARYLAND ST 5% 11/16 50,000.00 50,383.50 0.02%

MARYLAND ST 5% 11/17 100,000.00 105,175.00 0.03%

MARYLAND ST DEPT 4% 09/16 50,000.00 50,000.00 0.02%

MARYLAND ST DEPT 4% 09/17 75,000.00 77,586.75 0.03%

MASSACHUSETTS 3.5% 12/46 500,000.00 537,180.00 0.17%

MASSACHUSETTS 4.75% 07/19 750,000.00 814,087.50 0.27%

MASSACHUSETTS 4.75% 08/32 100,000.00 104,007.00 0.03%

MASSACHUSETTS 5.25% 08/17 100,000.00 104,307.00 0.03%

MASSACHUSETTS 5.5% 11/16 75,000.00 75,638.25 0.02%

MASSACHUSETTS 5.5% 11/17 110,000.00 116,308.50 0.04%

MASSACHUSETTS 5% 07/18 500,000.00 532,550.00 0.17%

MASSACHUSETTS ST 4% 06/39 910,000.00 984,656.40 0.32%


MASSACHUSETTS ST 4% 12/44 1,800,000.00 1,911,618.00 0.62%






MASSACHUSETTS VAR 03/30 1,300,000.00 1,300,000.00 0.42%

MASSACHUSETTS VAR 07/26 100,000.00 100,000.00 0.03%

MASSACHUSETTS VAR 07/46 1,500,000.00 1,500,000.00 0.49%



MASTR ASSET FLT 04/36 474,754.43 199,269.01 0.06%

MASTR ASSET FLT 10/36 279,563.58 164,560.71 0.05%

S-408-865-672 01-Sep-2016 02:09:50



MASTR ASSET FLT 11/36 161,920.17 74,857.62 0.02%

MASTR ASSET FLT 11/36 207,312.02 96,628.55 0.03%

MATADOR 6.875% 04/23 86,000.00 88,795.00 0.03%

MATANUSKA-SUSITN 5% 04/19 100,000.00 110,894.00 0.04%

MATCH GROUP 6.75% 12/22 171,000.00 181,901.25 0.06%

MECKLENBURG CNTY 5% 12/18 175,000.00 192,036.25 0.06%

MEG ENERGY CORP 7% 03/24 15,000.00 12,075.00 0.00%

MEMORIAL 6.875% 08/22 98,000.00 48,510.00 0.02%

MEMORIAL 7.625% 05/21 213,000.00 108,630.00 0.04%

MERRILL LYNCH FLT 04/47 169,319.33 93,174.09 0.03%

MESA ARIZ 5.25% 07/17 95,000.00 98,682.20 0.03%

METROPOLITAN 4.5% 11/27 15,000.00 15,713.10 0.01%

METROPOLITAN 5% 07/34 50,000.00 51,851.50 0.02%

METROPOLITAN 5% 10/18 190,000.00 199,192.20 0.06%

METROPOLITAN 5% 10/19 150,000.00 169,074.00 0.06%

METROPOLITAN FLT 07/25 2,000,000.00 1,998,320.00 0.65%

METROPOLITAN FLT 11/32 1,000,000.00 998,910.00 0.33%

METROPOLITAN VAR 07/35 900,000.00 900,000.00 0.29%

METROPOLITAN VAR 11/22 875,000.00 846,562.50 0.28%

MGM RESORTS 6% 03/23 30,000.00 32,568.00 0.01%

MGM RESORTS 7.625% 01/17 76,000.00 77,710.00 0.03%

MIAMI BEACH FLA 4% 11/17 750,000.00 773,010.00 0.25%

MIAMI-DADE 5.25% 10/16 110,000.00 110,438.90 0.04%

MICHIGAN FIN 4% 11/20 950,000.00 1,062,603.50 0.35%

MICHIGAN FIN 5% 11/17 1,000,000.00 1,038,490.00 0.34%

MICHIGAN MUN 5.5% 10/16 50,000.00 50,212.00 0.02%

MICHIGAN MUN BD 5% 10/25 60,000.00 60,223.80 0.02%

MICHIGAN MUN BD 5% 10/28 200,000.00 223,016.00 0.07%

MICHIGAN ST HSG 4% 06/46 1,965,000.00 2,138,509.50 0.70%

MICHIGAN ST HSG 5% 12/27 220,000.00 236,863.00 0.08%

MICHIGAN ST VAR 09/30 510,000.00 509,714.40 0.17%

MIDDLESEX CNTY 5.5% 10/16 150,000.00 150,874.50 0.05%

S-408-865-672 01-Sep-2016 02:09:50



MIDDLETOWN TWP N 5% 08/17 410,000.00 426,363.10 0.14%

MIDWEST VAR 10/35 980,000.00 980,000.00 0.32%

MILWAUKEE CNTY 2% 10/17 95,000.00 96,433.55 0.03%

MINNEAPOLIS 5.25% 12/40 52,049.00 52,417.51 0.02%

MINNEAPOLIS 5.52% 03/41 145,000.00 154,177.05 0.05%

MINNEAPOLIS ST 4.5% 12/26 205,000.00 215,303.30 0.07%

MINNESOTA ST 4.5% 01/31 105,000.00 109,972.80 0.04%

MINNESOTA ST 4.5% 07/34 95,000.00 100,013.15 0.03%

MINNESOTA ST 5% 08/17 150,000.00 156,090.00 0.05%

MINNESOTA ST HSG 4% 01/35 225,000.00 236,002.50 0.08%

MINNESOTA ST HSG 4% 01/38 720,000.00 783,021.60 0.25%

MINNESOTA ST HSG 4% 01/45 1,235,000.00 1,321,536.45 0.43%

MINNESOTA ST HSG 4% 07/38 490,000.00 534,188.20 0.17%

MINNESOTA ST HSG 4% 07/40 330,000.00 343,893.00 0.11%

MINNESOTA ST ST 5% 10/18 100,000.00 108,997.00 0.04%

MINNESOTA ST VAR 10/32 1,100,000.00 1,100,000.00 0.36%

MISSION TEX VAR 01/26 2,000,000.00 2,000,000.00 0.65%

MISSISSIPPI 5.25% 11/21 150,000.00 181,935.00 0.06%

MISSISSIPPI DEV 3% 07/17 255,000.00 259,605.30 0.08%

MISSISSIPPI DEV 5% 07/17 100,000.00 103,352.00 0.03%

MISSISSIPPI DEV 5% 11/17 590,000.00 602,071.40 0.20%

MISSISSIPPI VAR 11/35 200,000.00 200,000.00 0.07%

MISSOURI ST 3.5% 05/41 560,000.00 607,062.40 0.20%

MISSOURI ST 4.25% 05/17 100,000.00 102,481.00 0.03%

MISSOURI ST 4.25% 11/30 105,000.00 109,980.15 0.04%

MISSOURI ST 4.625% 05/28 65,000.00 68,592.55 0.02%

MISSOURI ST 5% 05/17 350,000.00 359,012.50 0.12%

MISSOURI ST 5% 07/25 35,000.00 40,938.45 0.01%

MISSOURI ST 5% 07/25 190,000.00 223,652.80 0.07%

MISSOURI ST HSG 4% 11/41 660,000.00 702,867.00 0.23%

MISSOURI ST HSG 4% 11/45 920,000.00 1,002,919.60 0.33%

MISSOURI ST HWYS 5% 05/17 25,000.00 25,750.00 0.01%

S-408-865-672 01-Sep-2016 02:09:50



MISSOURI ST VAR 03/40 100,000.00 100,000.00 0.03%

MOBILE ALA INDL VAR 06/34 750,000.00 753,832.50 0.25%

MOLINA 5.375% 11/22 184,000.00 189,520.00 0.06%

MONMOUTH CNTY N 5% 01/20 100,000.00 114,006.00 0.04%

MONMOUTH CNTY N J SER A 16/DEC/2010 01/DEC/2016 4% 75,000.00 75,669.00 0.02%

MONTANA ST BRD 4% 12/38 280,000.00 294,120.40 0.10%

MONTANA ST BRD 5% 12/27 535,000.00 570,235.10 0.19%

MONTGOMERY CNTY 3% 04/17 50,000.00 50,721.00 0.02%

MONTGOMERY CNTY 4% 01/31 485,000.00 505,913.20 0.16%

MONTVILLE TWP N J RFDG 12/AUG/2014 15/AUG/2020 4% 205,000.00 230,727.50 0.08%

MORRIS CNTY N J RFDG 08/NOV/2012 01/FEB/2017 4% 65,000.00 65,924.30 0.02%

MPL 2 9.875% 08/18 45,000.00 46,125.00 0.02%

NASSAU CNTY N Y 5% 11/16 50,000.00 50,475.00 0.02%

NATIONSTAR HOME FLT 06/37 303,856.60 260,346.13 0.08%

NCR CORP 6.375% 12/23 8,000.00 8,460.00 0.00%

NEVADA ST 5% 12/16 50,000.00 50,576.00 0.02%

NEVADA ST CAP 5% 12/19 25,000.00 26,384.25 0.01%

NEW BEDFORD MASS 4% 02/24 25,000.00 25,400.00 0.01%

NEW CASTLE CNTY 5% 07/17 100,000.00 103,901.00 0.03%

NEW CENTURY FLT 08/36 320,958.00 265,319.00 0.09%

NEW HAMPSHIRE 5.25% 07/28 105,000.00 110,842.20 0.04%

NEW HAMPSHIRE ST 4% 01/28 280,000.00 291,356.80 0.09%

NEW HAMPSHIRE VAR 08/24 1,000,000.00 1,018,060.00 0.33%

NEW HANOVER CNTY N C RFDG 12/AUG/2009 01/DEC/2020 5% 200,000.00 235,088.00 0.08%

NEW HANOVER VAR 02/26 1,200,000.00 1,200,000.00 0.39%

NEW JERSEY 4.75% 09/33 140,000.00 151,319.00 0.05%

NEW JERSEY 4% 09/16 75,000.00 75,000.00 0.02%

NEW JERSEY 4% 09/17 35,000.00 36,182.30 0.01%

NEW JERSEY 5% 09/17 50,000.00 52,248.50 0.02%

NEW JERSEY 5% 09/36 60,000.00 60,000.00 0.02%

NEW JERSEY 5% 12/17 120,000.00 126,727.20 0.04%

NEW JERSEY ST 3.5% 12/16 300,000.00 302,361.00 0.10%

S-408-865-672 01-Sep-2016 02:09:50



NEW JERSEY ST 3% 07/17 250,000.00 254,620.00 0.08%

NEW JERSEY ST 4.5% 10/29 320,000.00 327,424.00 0.11%

NEW JERSEY ST 4% 07/17 60,000.00 61,606.20 0.02%

NEW JERSEY ST 5.5% 12/16 1,885,000.00 1,911,163.80 0.62%

NEW JERSEY ST 5.75% 06/17 100,000.00 103,757.00 0.03%

NEW JERSEY ST 5% 09/18 1,500,000.00 1,598,820.00 0.52%

NEW JERSEY ST 5% 12/16 2,595,000.00 2,626,633.05 0.86%

NEW JERSEY ST 5% 12/17 500,000.00 523,235.00 0.17%

NEW MEXICO 4.25% 03/43 430,000.00 460,714.90 0.15%

NEW MEXICO FIN 5% 06/24 100,000.00 114,929.00 0.04%

NEW MEXICO FIN 5% 12/16 250,000.00 253,290.00 0.08%

NEW MEXICO FIN 5% 12/19 100,000.00 113,652.00 0.04%

NEW MEXICO MTG 4.2% 07/28 45,000.00 45,179.55 0.01%

NEW MEXICO MTG 5% 09/30 80,000.00 84,375.20 0.03%

NEW MEXICO ST 5% 07/17 100,000.00 103,728.00 0.03%

NEW ORLEANS LA 5% 06/18 500,000.00 535,205.00 0.17%

NEW YORK N Y 4.5% 06/32 625,000.00 759,550.00 0.25%

NEW YORK N Y 5.25% 10/17 100,000.00 105,212.00 0.03%

NEW YORK N Y 5.75% 06/40 50,000.00 54,540.00 0.02%

NEW YORK N Y 5.75% 06/40 180,000.00 196,464.60 0.06%

NEW YORK N Y 5% 01/18 100,000.00 101,670.00 0.03%

NEW YORK N Y 5% 06/22 700,000.00 754,761.00 0.25%

NEW YORK N Y 5% 11/21 170,000.00 198,463.10 0.06%

NEW YORK N Y FLT 08/21 1,000,000.00 1,000,030.00 0.33%

NEW YORK N Y VAR 06/39 175,000.00 175,000.00 0.06%

NEW YORK N Y VAR 06/45 275,000.00 275,000.00 0.09%

NEW YORK N Y VAR 08/39 200,000.00 200,000.00 0.07%

NEW YORK N Y VAR 08/43 200,000.00 200,000.00 0.07%

NEW YORK N Y VAR 10/40 350,000.00 350,000.00 0.11%

NEW YORK N Y VAR 11/43 100,000.00 100,000.00 0.03%

NEW YORK ST 3.5% 10/34 1,640,000.00 1,711,864.80 0.56%

NEW YORK ST 3.5% 10/44 500,000.00 542,020.00 0.18%

S-408-865-672 01-Sep-2016 02:09:50



NEW YORK ST 4.5% 10/34 50,000.00 50,167.50 0.02%

NEW YORK ST 4% 12/16 80,000.00 80,836.00 0.03%

NEW YORK ST 5% 12/16 50,000.00 50,667.00 0.02%

NEW YORK ST DORM 4% 02/19 100,000.00 108,148.00 0.04%

NEW YORK ST DORM 5% 03/25 40,000.00 40,071.20 0.01%

NEW YORK ST DORM 5% 06/17 170,000.00 175,978.90 0.06%

NEW YORK ST DORM 5% 07/17 75,000.00 77,680.50 0.03%

NEW YORK ST DORM 5% 12/16 50,000.00 50,667.00 0.02%

NEW YORK ST DORM 5% 12/20 25,000.00 25,326.50 0.01%

NEW YORK ST MTG 4% 10/46 625,000.00 687,437.50 0.22%

NEW YORK ST TWY 5% 01/17 205,000.00 208,003.25 0.07%

NEW YORK ST TWY 5% 04/20 55,000.00 56,423.40 0.02%

NEWCASTLE FLT 04/37 334,940.41 280,477.56 0.09%

NGL ENERGY 5.125% 07/19 18,000.00 16,875.00 0.01%

NIAGARA N Y AREA 5% 05/18 150,000.00 159,169.50 0.05%

NIELSEN FINANCE 5% 04/22 16,000.00 16,437.92 0.01%

NIXON-SMILEY 0.9% 08/17 170,000.00 170,028.90 0.06%

NIXON-SMILEY 1.25% 08/18 250,000.00 250,097.50 0.08%

NOMURA FLT 12/36 123,410.24 113,065.66 0.04%

NORTH 4.25% 01/28 145,000.00 150,015.55 0.05%

NORTH 5.25% 01/17 165,000.00 167,583.90 0.05%

NORTH CAROLINA 4.5% 07/28 285,000.00 299,061.90 0.10%

NORTH CAROLINA 6.5% 01/18 100,000.00 107,837.00 0.04%

NORTH CAROLINA VAR 07/31 1,350,000.00 1,350,000.00 0.44%

NORTH CAROLINA VAR 10/26 275,000.00 275,000.00 0.09%

NORTH CAROLINA VAR 10/35 135,000.00 135,000.00 0.04%

NORTH DAKOTA 3.5% 07/46 625,000.00 675,162.50 0.22%

NORTH DAKOTA 3.75% 07/42 455,000.00 479,260.60 0.16%

NORTH DAKOTA 4.25% 07/28 235,000.00 253,569.70 0.08%

NORTH DAKOTA 4.5% 01/28 325,000.00 342,485.00 0.11%

NORTH DAKOTA HSG 5% 07/28 105,000.00 111,542.55 0.04%

NORTH DAKOTA ST 4% 07/34 595,000.00 641,213.65 0.21%

S-408-865-672 01-Sep-2016 02:09:50



NORTH SLOPE 5.5% 06/18 250,000.00 270,957.50 0.09%

NORTH TEX MUN 5% 09/31 55,000.00 55,000.00 0.02%

NORTH TEX TWY 5% 09/16 150,000.00 150,000.00 0.05%

NORTH VAR 05/24 865,000.00 865,000.00 0.28%

NORTHERN CALIF 5% 05/31 625,000.00 792,187.50 0.26%

NORTHERN OIL 8% 06/20 19,000.00 13,490.00 0.00%

NORTHSIDE TEX VAR 08/40 3,470,000.00 3,487,488.80 1.14%

NOVASTAR FLT 03/37 511,428.94 333,523.88 0.11%

NOVASTAR FLT 03/37 782,587.73 407,546.49 0.13%

NOVASTAR FLT 09/36 102,595.73 56,572.40 0.02%

NOVASTAR FLT 09/36 213,083.32 115,609.87 0.04%

NOVELIS 8.75% 12/20 11,000.00 11,522.50 0.00%

NRG ENERGY 7.625% 01/18 6,000.00 6,427.50 0.00%

NUVEEN CREDIT STRATEGIES 17,642.00 149,074.90 0.05%

NUVEEN FLOATING RATE 8,541.00 92,499.03 0.03%

OHIO HSG FIN 4.5% 11/28 405,000.00 430,660.80 0.14%

OHIO HSG FIN 4.5% 11/29 250,000.00 262,455.00 0.09%

OHIO HSG FIN 4.8% 11/28 105,000.00 112,441.35 0.04%

OHIO HSG FIN AGY 5% 11/28 100,000.00 105,328.00 0.03%

OHIO ST AIR VAR 12/23 1,000,000.00 992,510.00 0.32%

OHIO ST FOR 4% 09/16 50,000.00 50,070.00 0.02%

OHIO ST FOR 5% 08/17 715,000.00 743,978.95 0.24%

OHIO ST HIGHER VAR 01/39 600,000.00 600,000.00 0.20%

OHIO ST HOSP FAC 5% 01/17 25,000.00 25,366.25 0.01%

OHIO ST MAJOR 4% 12/16 70,000.00 70,723.10 0.02%

OHIO ST WTR DEV 5% 06/19 105,000.00 117,413.10 0.04%

OHIO STATE 5% 08/23 110,000.00 134,590.50 0.04%

OKALOOSA CNTY 3% 10/16 100,000.00 100,210.00 0.03%

OKLAHOMA HSG 4.5% 09/27 125,000.00 132,650.00 0.04%

OKLAHOMA HSG 4.75% 03/28 115,000.00 124,218.40 0.04%

ONONDAGA CNTY N VAR 12/29 1,400,000.00 1,400,000.00 0.46%

OPTIMAS OE 8.625% 06/21 186,000.00 145,080.00 0.05%

S-408-865-672 01-Sep-2016 02:09:50



ORANGE CNTY FLA 5% 10/16 80,000.00 80,296.80 0.03%

OREGON ST 4.125% 11/16 60,000.00 60,459.00 0.02%

OREGON ST ALT 4% 04/17 70,000.00 71,416.80 0.02%

OREGON ST DEPT 3.5% 04/17 30,000.00 30,528.00 0.01%

OREGON ST DEPT 4.5% 04/23 100,000.00 109,590.00 0.04%

OREGON ST DEPT 4% 04/17 75,000.00 76,538.25 0.02%

OREGON ST DEPT 5% 04/18 375,000.00 400,931.25 0.13%

OREGON ST FACS 4% 03/17 50,000.00 50,835.00 0.02%

OREGON ST HSG & 4% 07/43 755,000.00 795,641.65 0.26%

ORLANDO FLA 5% 10/17 70,000.00 73,328.50 0.02%

OWEGO 1.5% 10/16 1,800,000.00 1,802,412.00 0.59%

PACTIV LLC 8.375% 04/27 99,000.00 109,147.50 0.04%

PALM SPRINGS ZERO 04/21 100,000.00 95,193.00 0.03%

PARSLEY 7.5% 02/22 400,000.00 422,000.00 0.14%

PARTY CITY 6.125% 08/23 15,000.00 15,937.50 0.01%

PASCO CNTY FLA 5% 10/20 500,000.00 576,240.00 0.19%

PAULDING CNTY 4.25% 02/29 75,000.00 76,162.50 0.02%

PAULDING CNTY GA SCH DIST 01/AUG/2008 01/FEB/2017 5% 100,000.00 101,869.00 0.03%

PBF 6.875% 05/23 179,000.00 173,182.50 0.06%

PENINSULA PORTS VAR 10/33 600,000.00 600,660.00 0.20%

PENNSYLVANIA 3.5% 04/40 1,420,000.00 1,498,781.60 0.49%

PENNSYLVANIA 5.375% 07/17 25,000.00 25,999.25 0.01%

PENNSYLVANIA 5.375% 07/20 100,000.00 116,084.00 0.04%

PENNSYLVANIA HSG 5% 04/28 135,000.00 144,231.30 0.05%

PENNSYLVANIA ST 5% 07/17 400,000.00 414,172.00 0.13%

PENNSYLVANIA ST 5% 08/23 150,000.00 156,135.00 0.05%

PENNSYLVANIA ST FLT 12/17 2,000,000.00 1,994,580.00 0.65%

PENNSYLVANIA VAR 04/19 2,000,000.00 2,000,000.00 0.65%

PHILADELPHIA PA 5% 12/26 25,000.00 25,283.50 0.01%

PHILADELPHIA PA VAR 08/27 1,750,000.00 1,750,000.00 0.57%

PHOENIX ARIZ VAR 11/52 650,000.00 650,000.00 0.21%

PHOENIX ARIZ VAR 11/52 800,000.00 800,000.00 0.26%

S-408-865-672 01-Sep-2016 02:09:50



PHOENIX-MESA 4% 07/19 490,000.00 527,960.30 0.17%

PIERCE & 5.25% 12/31 230,000.00 232,739.30 0.08%

PINELLAS CNTY VAR 11/38 500,000.00 500,000.00 0.16%

PITTSBURG CALIF 4% 08/33 2,380,000.00 2,750,589.80 0.90%

PORT PORTLAND 5% 07/20 1,000,000.00 1,144,770.00 0.37%

PORT SEATTLE 5.5% 12/19 110,000.00 125,123.90 0.04%

PORT SEATTLE 5% 10/16 70,000.00 70,267.40 0.02%

PORT ST LUCIE 6% 09/17 120,000.00 125,683.20 0.04%

PORTLAND ORE SWR 5% 10/17 45,000.00 47,169.90 0.02%

POST HOLDINGS 5% 08/26 61,000.00 60,847.50 0.02%

POST HOLDINGS 6% 12/22 15,000.00 15,919.50 0.01%

PRIVATE COLLEGES 5% 10/16 430,000.00 431,569.50 0.14%

PRIVATE VAR 09/35 700,000.00 700,000.00 0.23%

PRUDENTIAL GLOBAL SHORT 14,190.00 219,945.00 0.07%

PUEBLO CNTY COLO 5% 09/20 295,000.00 336,426.85 0.11%

RAILSPLITTER 5.25% 06/21 200,000.00 235,664.00 0.08%

RAILSPLITTER TOB 5% 06/18 250,000.00 267,015.00 0.09%

RALEIGH N C VAR 02/34 1,200,000.00 1,200,000.00 0.39%

RBSSP FLT 09/36 44,790.91 42,701.36 0.01%

READING PA AREA 5% 12/24 25,000.00 25,833.25 0.01%

REGENCY 4.5% 11/23 69,000.00 69,747.41 0.02%

RESIDENTIAL FLT 01/46 501,664.53 237,024.15 0.08%

RESIDENTIAL FLT 04/36 147,135.94 84,057.36 0.03%

RESIDENTIAL FLT 06/18 250,000.00 253,225.00 0.08%

RESIDENTIAL FLT 12/16 250,000.00 249,125.00 0.08%

ROANOKE VA 5% 10/16 290,000.00 291,110.70 0.09%

ROCKPORT IND VAR 06/25 1,860,000.00 1,877,000.40 0.61%

RSP PERMIAN 6.625% 10/22 82,000.00 85,280.00 0.03%

SABRE GLBL 5.25% 11/23 15,000.00 15,450.00 0.01%

SAINT CLAIR 5.75% 12/21 115,000.00 122,470.40 0.04%

SALT LAKE CITY 5% 10/16 75,000.00 75,288.00 0.02%

SALT RIVER PROJ 5% 01/27 110,000.00 120,630.40 0.04%

S-408-865-672 01-Sep-2016 02:09:50



SAMSON BOND 15/AUG/2014 15/FEB/2020 FIXED 9.75% 684,000.00 27,360.00 0.01%

SAN ANTONIO 5.25% 02/22 150,000.00 166,383.00 0.05%

SAN DIEGO CALIF 5% 05/17 100,000.00 103,163.00 0.03%

SAN DIEGO CALIF 5% 07/17 10,000.00 10,372.80 0.00%

SANCHEZ 6.125% 01/23 301,000.00 237,790.00 0.08%

SANDERS RE LTD BOND VARIABLE 05/MAY/2017 USD 1000 250,000.00 250,850.00 0.08%

SANDERS RE LTD BOND VARIABLE 25/MAY/2020 USD 1000 500,000.00 501,350.00 0.16%

SARASOTA FLA 12/JUL/2007 01/JUL/2037 4.75% 145,000.00 150,080.80 0.05%

SCIENTIFIC 10% 12/22 8,000.00 7,400.00 0.00%

SCOTTSDALE ARIZ RFDG 06/APR/2011 01/JUL/2017 4% 75,000.00 77,160.75 0.03%

SECURITIZED FLT 01/37 88,810.29 56,595.24 0.02%

SECURITIZED FLT 09/36 340,517.59 230,975.09 0.08%

SECURITIZED FLT 09/36 519,049.15 253,197.31 0.08%

SEDGWICK CNTY 4% 09/17 25,000.00 25,832.50 0.01%

SEVEN 8.25% 05/20 184,000.00 195,730.00 0.06%

SG MORTGAGE FLT 02/36 243,391.12 140,136.70 0.05%

SHREVEPORT LA RFDG 03/FEB/2015 01/MAY/2017 5% 300,000.00 308,460.00 0.10%

SIMMONS 7.875% 10/21 254,000.00 250,825.00 0.08%

SIRIUS XM RADIO 6% 07/24 15,000.00 16,106.25 0.01%

SNOHOMISH CNTY 5% 12/16 740,000.00 748,421.20 0.24%

SNOHOMISH CNTY 5% 12/17 85,000.00 85,972.40 0.03%

SOTHEBY'S 5.25% 10/22 23,000.00 22,655.00 0.01%

SOUNDVIEW HOME FLT 06/37 369,697.40 241,323.23 0.08%

SOUTH 1.875% 11/16 2,000,000.00 2,004,040.00 0.65%

SOUTH CAROLINA 4% 07/40 1,095,000.00 1,182,030.60 0.38%

SOUTH CAROLINA 4% 07/43 215,000.00 234,072.65 0.08%

SOUTH CAROLINA 5% 12/17 175,000.00 184,481.50 0.06%

SOUTH CAROLINA VAR 02/39 1,320,000.00 1,320,000.00 0.43%

SOUTH DAKOTA 4.25% 05/32 325,000.00 340,817.75 0.11%

SOUTH DAKOTA 4.5% 05/31 125,000.00 133,998.75 0.04%

SOUTH DAKOTA HSG 4% 11/29 665,000.00 706,835.15 0.23%

SOUTH DAKOTA HSG 4% 11/45 730,000.00 805,175.40 0.26%

S-408-865-672 01-Sep-2016 02:09:50



SPOKANE CNTY 4% 12/16 50,000.00 50,441.50 0.02%

SPOKANE CNTY 5% 12/25 100,000.00 108,119.00 0.04%

SPRINGCASTLE 4.61% 10/27 228,000.00 227,652.28 0.07%

SPRINGLEAF 5.75% 09/16 100,000.00 100,000.00 0.03%

SPRINGLEAF 6.5% 09/17 100,000.00 104,000.00 0.03%

SPRINT 11.5% 11/21 58,000.00 65,250.00 0.02%

SPRINT NEXTEL 9% 11/18 800,000.00 881,000.00 0.29%

ST LUCIE CNTY 5% 10/26 75,000.00 75,284.25 0.02%

STANDARD CALIF 5% 11/30 50,000.00 50,381.00 0.02%

STRUCTURED FLT 07/36 452,841.61 262,691.29 0.09%

STRUCTURED FLT 09/35 120,000.00 107,890.38 0.04%

SUGAR LAND TEX 4% 02/17 50,000.00 50,757.50 0.02%

SUMMIT 6.125% 07/23 76,000.00 77,140.00 0.03%

SUN PRODUCTS 7.75% 03/21 15,000.00 15,581.25 0.01%

Sun Products Corp TLB-LX128714 508,337.84 508,022.67 0.17%

T-MOBILE USA INC 6.5% 01/15/2026 23,000.00 25,170.63 0.01%

TACOMA WASH 5% 12/17 50,000.00 52,627.50 0.02%

TACOMA WASH RFDG-LTD TAX 05/MAR/2013 01/DEC/2016 4% 50,000.00 50,433.50 0.02%

TACOMA WASH SWR REV RFDG 29/JUN/2006 01/DEC/2035 5% 50,000.00 50,569.50 0.02%

TALLAHASSEE FLA 5% 12/16 125,000.00 126,316.25 0.04%

TAMPA FLA WTR & 5% 10/23 500,000.00 595,595.00 0.19%

TARGA 6.75% 03/24 62,000.00 65,875.00 0.02%

TARRANT CNTY TEX 4% 09/18 375,000.00 396,172.50 0.13%

TEMPE ARIZ 5% 07/17 25,000.00 25,921.25 0.01%

TEMPUR 5.625% 10/23 16,000.00 16,800.00 0.01%

TENET 8.125% 04/22 104,000.00 105,300.00 0.03%

TENNESSEE HSG 3.75% 01/25 10,000.00 10,099.30 0.00%

TENNESSEE HSG 4.5% 01/28 105,000.00 111,286.35 0.04%

TENNESSEE HSG 4.5% 01/28 205,000.00 220,208.95 0.07%

TENNESSEE HSG 4.5% 01/38 180,000.00 191,455.20 0.06%

TENNESSEE HSG 4.5% 07/31 195,000.00 208,628.55 0.07%

TENNESSEE HSG 4% 01/46 950,000.00 1,035,870.50 0.34%

S-408-865-672 01-Sep-2016 02:09:50



TENNESSEE ST RFDG-SER B 06/MAY/2009 01/NOV/2016 5% 50,000.00 50,385.00 0.02%

TEXAS ST 5% 10/16 50,000.00 50,193.00 0.02%

TEXAS ST DEPT 4.25% 01/34 495,000.00 535,050.45 0.17%

TEXAS ST PUB FIN 4% 07/17 2,000,000.00 2,034,220.00 0.66%

TEXAS ST PUB FIN AUTH 20/DEC/2007 01/OCT/2016 5% 60,000.00 60,231.00 0.02%

TEXAS ST RFDG-SER A 14/JUL/2010 01/OCT/2019 5% 175,000.00 198,026.50 0.06%

TEXAS TRANSN 4.75% 04/17 105,000.00 107,611.35 0.04%

TEXAS TRANSN 5% 04/19 25,000.00 25,649.25 0.01%

TOBACCO 5% 05/17 1,000,000.00 1,030,230.00 0.34%

TOMBALL TEX 5% 02/34 100,000.00 106,348.00 0.03%

TRANSDIGM INC 6% 07/22 15,000.00 15,600.00 0.01%

TREEHOUSE 4.875% 03/22 15,000.00 15,562.50 0.01%

TRIBOROUGH BRDG 4% 11/16 50,000.00 50,379.00 0.02%

TRIBOROUGH BRDG 5% 11/20 105,000.00 112,846.65 0.04%

TRIBOROUGH BRDG 5% 11/35 20,000.00 20,188.20 0.01%

TRIUMPH 4.875% 04/21 134,000.00 128,975.00 0.04%

TULSA CNTY OKLA 4% 09/16 850,000.00 850,000.00 0.28%

TULSA OKLA SER B 01/OCT/2009 01/OCT/2016 5% 125,000.00 125,477.50 0.04%

UFC Holdings LLC First Lien TL-LX153867 83,000.00 83,166.00 0.03%

UHRICHSVILLE 4.75% 12/32 25,000.00 25,791.25 0.01%

UINTA CNTY WYO VAR 08/20 150,000.00 150,000.00 0.05%

UMATILLA INDIAN VAR 12/28 1,910,000.00 1,910,000.00 0.62%

UNITED RENTALS NORTH AMERICA INC CALLABLE NOTES FIXED 5 15,000.00 15,600.00 0.01%

UNITED STATES OF AMERICA BILL ZERO CPN 05/JAN/2017 USD 505,000.00 504,377.34 0.16%

UNIVAR USA 6.75% 07/23 74,000.00 76,590.00 0.02%

Univar USA TLB-LX145474 61,535.00 61,424.85 0.02%

UNIVERSITY 3% 10/16 20,000.00 20,042.80 0.01%

UNIVERSITY 3% 10/16 315,000.00 315,680.40 0.10%

UNIVERSITY 5.25% 05/24 200,000.00 208,644.00 0.07%

UNIVERSITY 5% 06/18 200,000.00 214,912.00 0.07%

UNIVERSITY ALA 5% 10/16 255,000.00 255,976.65 0.08%

UNIVERSITY CALIF 4% 05/46 1,000,000.00 1,128,530.00 0.37%

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UNIVERSITY CALIF 5% 05/34 210,000.00 218,708.70 0.07%

UNIVERSITY KANS VAR 09/34 450,000.00 450,000.00 0.15%

UNIVERSITY KY 5.25% 10/16 60,000.00 60,242.40 0.02%

UNIVERSITY MINN SER A 15/FEB/2011 01/DEC/2026 5.25% 275,000.00 324,093.00 0.11%

UNIVERSITY N C 3% 04/17 25,000.00 25,352.50 0.01%

UNIVERSITY N C VAR 02/31 800,000.00 800,000.00 0.26%

UNIVERSITY N C VAR 02/31 1,100,000.00 1,100,000.00 0.36%

UNIVERSITY TEX 4% 08/17 100,000.00 103,298.00 0.03%

UNIVERSITY TEX VAR 08/39 1,000,000.00 1,000,000.00 0.33%

UNIVISION 8.5% 05/21 15,000.00 15,600.00 0.01%

UTAH ST SER A 06/JUL/2011 01/JUL/2020 5% 145,000.00 168,242.05 0.05%

VACAVILLE CALIF 5% 08/32 100,000.00 104,146.00 0.03%

VALEANT 6.75% 08/18 23,000.00 23,066.70 0.01%

VALEANT 7.5% 07/21 446,000.00 438,333.26 0.14%

VALHALLA N Y UN 2% 10/17 95,000.00 96,554.20 0.03%

VERMONT EDL & VAR 10/38 700,000.00 700,000.00 0.23%

VERMONT HSG 4.125% 11/42 1,365,000.00 1,420,746.60 0.46%

VERMONT HSG 4.5% 02/26 240,000.00 258,153.60 0.08%

VERMONT HSG FIN 4% 11/46 450,000.00 480,730.50 0.16%

VERMONT HSG FIN 4% 11/46 490,000.00 536,736.20 0.17%

VERMONT ST FLT 06/22 365,454.81 369,189.76 0.12%

VIRGINIA COMWLTH 5% 09/16 30,000.00 30,053.70 0.01%

VIRGINIA ST PUB 5% 08/17 50,000.00 52,041.00 0.02%

VIRGINIA ST PUB 5% 08/17 50,000.00 52,041.00 0.02%

VIRGINIA ST PUB 5% 08/17 115,000.00 119,694.30 0.04%

VIRGINIA ST RES 4% 11/16 50,000.00 50,300.00 0.02%

VIRGINIA ST RES 5% 11/23 30,000.00 36,195.00 0.01%

VIRGINIA ST RES 5% 11/23 120,000.00 143,306.40 0.05%

VIRGINIA ST RES 5% 11/26 30,000.00 36,195.00 0.01%

VIRGINIA ST RES 5% 11/26 145,000.00 172,439.80 0.06%

VIRGINIA VAR 11/36 1,450,000.00 1,450,000.00 0.47%

WAKE CNTY N C 5% 04/17 50,000.00 51,306.00 0.02%

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WAKE CNTY N C VAR 04/17 1,900,000.00 1,900,000.00 0.62%

WAMU FLT 04/37 488,316.85 241,624.99 0.08%

WAMU FLT 07/47 567,052.25 361,991.81 0.12%

WASHINGTON D C 5% 07/17 50,000.00 51,817.00 0.02%

WASHINGTON FLT 09/35 66,837.96 50,831.79 0.02%

WASHINGTON ST 4.25% 10/32 655,000.00 692,904.85 0.23%

WASHINGTON ST 5% 02/20 100,000.00 114,023.00 0.04%

WASHINGTON ST 5% 08/31 3,000,000.00 3,805,890.00 1.24%

WASHINGTON ST 5% 10/16 50,000.00 50,187.50 0.02%

WASHINGTON ST VAR 09/18 200,000.00 200,000.00 0.07%

WAYNE CNTY 4.125% 01/17 50,000.00 50,651.00 0.02%

WAYNE TWP N J 4% 09/17 100,000.00 103,412.00 0.03%

WEBER BASIN 5.25% 10/37 25,000.00 26,268.75 0.01%

WELLCARE 5.75% 11/20 86,000.00 88,902.50 0.03%

WEST PALM BEACH 5% 10/16 50,000.00 50,187.00 0.02%

WEST VIRGINIA VAR 01/41 1,000,000.00 1,000,000.00 0.33%

WESTERN 7.5% 02/23 129,000.00 132,225.00 0.04%

WEX INC 4.75% 02/23 15,000.00 14,775.00 0.00%

WFCG COMMERCIAL FLT 11/29 490,090.55 472,050.90 0.15%

WHITEWAVE 5.375% 10/22 27,000.00 30,510.00 0.01%

WHITING 5% 03/19 15,000.00 13,875.00 0.00%

WHITING IND FLT 12/44 3,000,000.00 2,965,530.00 0.97%

WHITING IND VAR 06/44 2,500,000.00 2,533,750.00 0.83%

WILDORADO TEX 3% 02/17 50,000.00 50,546.50 0.02%

WILLIAMS 7.875% 09/21 60,000.00 69,900.00 0.02%

WILLIS TEX 4.1% 02/20 50,000.00 50,794.00 0.02%

WINDSTREAM 7.5% 06/22 8,000.00 7,700.00 0.00%

WISCONSIN ST 4% 05/17 350,000.00 356,587.00 0.12%

WISCONSIN ST FOR 4% 11/16 50,000.00 50,301.50 0.02%

WISCONSIN ST FOR 5% 05/17 100,000.00 103,000.00 0.03%

WISCONSIN ST VAR 11/25 600,000.00 600,000.00 0.20%

WPX ENERGY 7.5% 08/20 15,000.00 15,403.13 0.01%

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WYLIE TEX ZERO 08/18 310,000.00 305,808.80 0.10%

WYLIE TEX ZERO 08/19 815,000.00 795,358.50 0.26%

WYLIE TEX ZERO 08/20 135,000.00 130,123.80 0.04%

WYOMING CMNTY 4% 06/32 165,000.00 165,895.95 0.05%

Zep-LX144963 139,590.00 139,677.94 0.05%

ZIONSVILLE IND 3% 07/17 150,000.00 153,136.50 0.05%

Zuffa LLC Second Lien Term Loan-LX154099 59,000.00 59,350.46 0.02%

Total Long PositionsBlank Row 307,096,455.17

CDI CDX.EM 1 USD0621 (2,990,000.00) 0.00

CDI CDX.NA 1 USD1220 (6,300,000.00) 0.00

CDI CDX.NA 5 USD0621 (400,000.00) 0.00

CDI iTraxx 1 EUR0621 (3,850,000.00) 0.00

CDS AA 5.7 1 USD0621 (310,000.00) 0.00

CDS ABX.HE 0.11 USD0546 (230,000.00) 0.00

CDS ABX.HE 0.11 USD0546 (200,000.00) 0.00

CDS ABX.HE 0.11 USD0546 (120,000.00) 0.00

CDS ABX.HE 0.11 USD0546 (100,000.00) 0.00

CDS ALLYFI 5 USD0317 (96,000.00) 0.00

CDS ALLYFI 5 USD0317 (40,000.00) 0.00

CDS ALLYFI 5 USD1217 (150,000.00) 0.00

CDS ALLYFI 5 USD1217 (109,000.00) 0.00

CDS ALLYFI 5 USD1217 (74,000.00) 0.00

CDS ALLYFI 5 USD1217 (70,000.00) 0.00

CDS BZH (2 5 USD1217 (50,000.00) 0.00

CDS CHINA 1 USD0621 (3,070,000.00) 0.00

CDS CIT 5. 5 USD0617 (60,000.00) 0.00

CDS CIT 5. 5 USD0617 (13,000.00) 0.00

CDS CMBX.N 2 USD0563 (150,000.00) 0.00

CDS CMBX.N 2 USD0563 (150,000.00) 0.00

CDS CMBX.N 2 USD0563 (150,000.00) 0.00

CDS CMBX.N 2 USD0563 (150,000.00) 0.00

CDS CMBX.N 2 USD0563 (150,000.00) 0.00

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CDS CNATUR 1 USD0621 (230,000.00) 0.00

CDS DVN 7. 1 USD0621 (150,000.00) 0.00

CDS FRCA 9 5 USD0617 (42,000.00) 0.00

CDS HOV-K 5 USD1216 (80,000.00) 0.00

CDS HOV-K 5 USD1216 (80,000.00) 0.00

CDS HOV-K 5 USD1216 (80,000.00) 0.00

CDS IOS FN 5 USD0141 (390,000.00) 0.00

CDS MEX 5. 1 USD0621 (2,700,000.00) 0.00

CDS NBR-In 1 USD0621 (340,000.00) 0.00

CDS SHC-Ac 5 USD0916 (60,000.00) 0.00

CDS SPRFIN 5 USD0916 (100,000.00) 0.00

CDS SPRFIN 5 USD0917 (100,000.00) 0.00

CDS SPRICO 5 USD1220 (70,000.00) 0.00

CDS STAN-B 1 GBP0621 (310,000.00) 0.00

CDS TURKEY 1 USD0621 (4,220,000.00) 0.00

CDS VENZ 9 5 USD0617 (140,000.00) 0.00

CDS VENZ 9 5 USD0617 (70,000.00) 0.00

CDS VENZ 9 5 USD0617 (70,000.00) 0.00

CDS VENZ 9 5 USD0617 (70,000.00) 0.00

CDS VENZ 9 5 USD0617 (70,000.00) 0.00

CDS VENZ 9 5 USD0916 (300,000.00) 0.00

CDS VENZ 9 5 USD0916 (150,000.00) 0.00

CDS VENZ 9 5 USD0916 (80,000.00) 0.00

CDS VENZ 9 5 USD0916 (80,000.00) 0.00

CDS VENZ 9 5 USD0916 (70,000.00) 0.00

CDS VENZ 9 5 USD0916 (70,000.00) 0.00

CDS VENZ 9 5 USD0916 (40,000.00) 0.00

CDS VENZ 9 5 USD0916 (30,000.00) 0.00

CDS VENZ 9 5 USD1219 (53,600.00) 0.00

CDS VENZ 9 5 USD1219 (27,200.00) 0.00

Total Short PositionsBlank Row 0.00

S-408-865-672 01-Sep-2016 02:09:50

Holdings and allocations shown above are un-audited, and may not be representative of current or future investments. The above holdings list has been created from the books and records of the Fund without examination by independent auditors. Fund holdings should not be relied on in making investment decisions and should not be construed as research or investment advice regarding particular securities. The above holdings are shown for informational purposes only and not intended as an offer or solicitation with respect to the purchase or sale of any security. The uncertified holdings do not include all derivatives.

Must be preceded or accompanied by a prospectus.

JPMorgan Distribution Services, Inc., member FINRA / SIPC.

JPMorgan Chase & Co. 2016.

S-408-865-672 01-Sep-2016 02:09:50

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