Validus Holdings, Ltd. December 31, 2017 GAAP fixed maturity portfolio in Schedule D format
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 CHANGE IN BOOK/ADJUSTED CARRYING VALUE
INTEREST
DATES
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
 
 
 
FOREIGN
BOND
NAIC
 
 GAAP FAIR
 
 GAAP
 
 CURRENT YEAR
 
 TOTAL FX CHG
INTEREST
EFFECTIVE
HOW
 ACCRUED
 GROSS REC'D
 
 
CUSIP
DESCRIPTION
*
CODE
CHAR
DESIG
 ACTUAL COST
 MARKET VALUE
 PAR VALUE
 BOOK VALUE
 UGL
 AMORTIZATION
 IMPAIRMENTS
 IN B/A. C.V.
RATE
RATE OF
PAID
 INTEREST
 DURING YEAR
 ACQUIRED
MATURITY
BRSTBY9Y7
A. SCHULMAN INC SENIOR SECURED TERM LOAN
 
 
 

3FE

141,337.44

142,931.46

141,691.66

141,464.25

1,467.21

54.68




0.0359

 M-J-S-D

6,285.12

20150511
20220601
03763KAB2
AASET_14-1 ABS_14-1 A
 
 
4

1FE

2,284,356.88

2,270,728.77

2,276,683.44

2,281,265.76

(10,536.99
)
(3,303.65
)


5.1250

5.0245

 Monthly
5,185.78

132,601.03

20141121
20291215
002824AU4
ABBOTT LABORATORIES CORP BND
 
 
 
2FE

2,412,386.00

2,224,024.52

2,150,000.00

2,236,191.22

(12,166.70
)
(67,715.52
)


5.1250

1.8571

 Apr-Oct
27,546.88

110,187.50

20150504
20190401
002824BD1
ABBOTT LABORATORIES SENIOR CORP BND
 
 
1

2FE

407,040.00

404,135.99

400,000.00

406,377.81

(2,241.82
)
(662.19
)


2.9000

2.4595

 May-Nov
998.89

3,866.67

20170726
20211130
002824BA7
ABBOTT LABORATORIES SENIOR CORP BND
 
 
1

2FE

198,496.00

198,216.00

200,000.00

198,529.44

(313.44
)
33.44



2.5500

2.7360

 Mar-Sep
1,501.67

(1,020.00
)
20171122
20220315
002824BJ8
ABBOTT LABORATORIES SENIOR CORP BND
 
 
1

2FE

2,326,947.77

2,329,207.80

2,330,000.00

2,328,545.23

662.57

1,597.46



2.0000

2.0902

 Mar-Sep
13,721.11

22,393.89

20170322
20180915
002824BC3
ABBOTT LABORATORIES SENIOR CORP BND
 
 
1

2FE

6,596,529.06

6,605,509.28

6,603,000.00

6,598,872.01

6,637.27

2,340.24



2.3500

2.3840

 May-Nov
16,810.13

177,412.01

20161117
20191122
00287YAL3
ABBVIE INC SENIOR CORP BND
 
 
1

2FE

982,080.00

1,002,809.98

1,000,000.00

987,871.51

14,938.47

2,281.48



2.9000

3.1721

 May-Nov
4,430.56

29,000.00

20150521
20221106
00287YAN9
ABBVIE INC SENIOR CORP BND
 
 
1

2FE

250,267.50

249,907.50

250,000.00

250,035.65

(128.15
)
(129.32
)


1.8000

1.7608

 May-Nov
587.50

81,680.00

20150708
20180514
00287YAT6
ABBVIE INC SENIOR CORP BND
 
 
1

2FE

5,941,502.50

5,966,659.96

5,950,000.00

5,949,970.03

16,689.93

2,127.77



2.5000

2.5879

 May-Nov
19,420.13

111,913.19

20150505
20200514
00287YAU3
ABBVIE INC SENIOR CORP BND
 
 
1

2FE

6,372,651.40

6,346,292.52

6,390,000.00

6,377,469.70

(31,177.18
)
3,607.83



2.3000

2.3370

 May-Nov
19,187.76

130,550.56

20160509
20210514
BRTBFMT25
ABN AMRO BANK NV SENIOR CORP BND
 
B
 
1FE

1,079,316.30

1,079,850.44

800,000.00

1,079,650.86

638.36

334.56


(438.79
)
1.0000

1.1125

 Jun-Dec
59.47

2,987.62

20170918
20200630
BRSXK39C4
ABN AMRO BANK NV SENIOR CORP BND EMTN
 
B
 
 
729,467.25

706,856.72

500,000.00

725,565.77

18,272.24

(2,897.83
)

(36,981.30
)
2.3750

2.4641

 Jun-Dec
1,103.29

15,181.59

20151130
20211207
N04899AK1
ABN AMRO BANK NV SENIOR CORP BND EMTN
 
B
 
1FE

673,949.91

703,868.29

500,000.00

646,617.19

(3,026.33
)
(26,682.66
)

60,277.43

4.8750

0.5218

 Jan-Jul
15,142.62

29,784.42

20161221
20190116
000823AA2
ABPCI_17-1A ABS 17-1A 144A
 
D
4

 
2,000,000.00

2,015,802.40

2,000,000.00

2,000,000.00

15,802.40






 J-A-J-O


20170602
20290720
02527TAA4
ACAR_17-3 ABS 17-3 144A
 
 
4

1FE

1,778,572.79

1,776,860.14

1,778,620.62

1,778,564.75

(1,704.61
)
8.68



1.8200

1.8268

 Monthly
1,888.31

10,337.41

20170829
20200310
00432CCM1
ACCESS GROUP INC ACCSS_05-2 ABS 05-2
 
 
4

 
376,585.64

386,740.55

386,737.50

385,074.00

1,666.55

3,911.25



1.6259

2.4629

 F-M-A-N
698.68

7,719.72

20120808
20241122
00100VAG5
ACIS_14-4A SUB ABS_14-4A C 144A
 
D
4

1FE

237,625.00

250,543.45

250,000.00

239,401.32

11,142.13

1,718.00



3.9268

4.8320

 F-M-A-N
1,663.43

9,253.15

20161215
20260501
00452PAN7
ACIS_15-6A MEZZANIN ABS 15-6A C 144A
 
D
4

1FE

495,000.00

499,901.65

500,000.00

496,533.73

3,367.92

528.97



4.7468

4.9115

 F-M-A-N
4,021.58

22,663.25

20150304
20270501
00452PAG2
ACIS_15-6A MEZZANIN ABS 15-6A B1 144A
 
D
4

1FE

2,238,750.00

2,273,018.85

2,250,000.00

2,242,640.93

30,377.92

1,351.14



3.8568

3.9444

 F-M-A-N
14,703.97

81,681.48

20150304
20270501
00485YAA7
ACORN RE LTD SENIOR CORP BND 144A
 
D
 
 
4,866,500.00

4,856,121.25

4,825,000.00

4,833,880.66

22,240.59

(15,876.71
)


4.8533

4.4567

 Monthly
9,106.74

248,938.83

20150702
20180717
BRST137M4
ACOSTA HOLDCO INC SENIOR SECURED TERM LO
 
 
4

4FE

477,277.18

424,615.74

483,318.66

479,147.67

(54,531.93
)
2,022.06




0.2287

 M-J-S-D

44,014.21

20160414
20210926
BRT6PK3X9
ACTAGRO LLC Term Loan
 
 
 
 
5,064,333.35

5,013,690.02

5,064,333.35

5,064,333.35

(50,643.33
)





 M-J-S-D

295,305.93

20161101
20200710
00507UAD3
ACTAVIS FUNDING SCS SENIOR CORP BND
 
D
 
2FE

8,308,549.80

8,313,420.40

8,315,000.00

8,312,906.65

513.75

1,400.24



2.4500

2.4637

 Jun-Dec
9,054.11

205,718.33

20141113
20190615
00507UAP6
ACTAVIS FUNDING SCS SENIOR CORP BND
 
D
1

2FE

2,463,317.50

2,472,001.07

2,450,000.00

2,463,011.94

8,989.13

(321.92
)


3.0000

2.5766

 Mar-Sep
22,254.16

17,291.67

20150303
20200312
942683AF0
ACTAVIS INC SENIOR CORP BND
 
 
1

2FE

2,365,134.00

2,360,128.50

2,350,000.00

2,364,999.96

(4,871.46
)
(134.04
)


3.2500

3.0969

 Apr-Oct
19,093.75

(15,699.30
)
20171213
20221001
BRT63CM02
ADS WASTE HOLDINGS INC SENIOR SECURED TE
 
 
 
4FE

1,660,041.25

1,664,697.22

1,661,729.37

1,659,257.18

5,440.04

(569.79
)



0.0356

 M-J-S-D

74,493.88

20161028
20231110





BRSNZFA49
ADVANTAGE SALES & MARKETING IN SENIOR SE
 
 
4

4FE

1,035,712.19

1,013,188.88

1,040,279.84

1,037,641.58

(24,452.70
)
973.38




0.0356

 M-J-S-D

75,224.81

20140711
20210723
05377RBM5
AESOP_13-1A ABS 13-1A C144A
 
 
4

2FE

2,063,125.00

2,009,576.40

2,000,000.00

2,010,325.05

(748.65
)
(19,754.72
)


4.4200

3.4204

 Monthly
2,701.11

88,400.04

20150325
20190920
05377RBY9
AESOP_15-1A SUB ABS 15-1A B 144A
 
 
4

2FE

1,999,207.20

1,991,213.00

2,000,000.00

1,999,595.80

(8,382.80
)
137.69



3.2200

3.2493

 Monthly
1,967.78

64,400.04

20150122
20210720
00432CAZ4
AGSL_03-1 ABS 03-1-2003-1
 
 
4

1FE

360,500.00

390,014.56

400,000.00

384,772.96

5,241.60

2,099.93



2.7730

3.8943

 Monthly
585.72

9,248.56

20100329
20351226
00432CBB6
AGSL_03-1 ABS_03-1-2003-1
 
 
4

1FE

311,937.50

337,788.26

350,000.00

331,745.72

6,042.54

1,522.23



3.3570

4.4914

 Monthly
128.76

8,684.64

20100329
20351226
00432CBP5
AGSL_03-1 ABS_04-1-2004-1
 
 
4

1FE

435,625.00

498,686.70

500,000.00

470,261.98

28,424.72

4,685.01



2.1030

3.3340

 Monthly
1,139.75

10,435.63

20100329
20321227
903724AK8
AID-UKRAINE AGENCY BND
 
D
 
1FE

4,285,000.00

4,255,142.10

4,285,000.00

4,285,000.00

(29,857.90
)



1.8440

1.8440

 May-Nov
9,876.93

79,015.40

20140514
20190516
BRSZ793R4
AIM AEROSPACE Term Loan A
 
 
 
 
3,907,373.95

3,897,605.52

3,907,373.95

3,907,373.95

(9,768.43
)





 M-J-S-D

224,070.90

20160202
20220202
001406AA5
AIM_15-1A ABS 15-1A A1 144A
 
D
4

1FE

2,593,246.27

2,592,391.80

2,593,246.27

2,593,227.36

(835.56
)
1.44



4.2130

4.2496

 Monthly
4,855.71

122,583.90

20150213
20400215
00900AAN8
AIMCO_14-AA ABS_14-AA-C1R 144A
 
D
4

1FE

2,000,000.00

1,996,435.00

2,000,000.00

2,000,000.00

(3,565.00
)



3.6126

3.6285

 J-A-J-O
14,651.14

29,654.60

20170511
20260720
00900LAG9
AIMCO_15-AA SENIORABS15-AA144A
 
D
4

 
2,000,000.00

1,998,033.80

2,000,000.00

2,000,000.00

(1,966.20
)





 J-A-J-O


20171212
20280115
00913RAA4
AIR LIQUIDE FINANCE SENIOR CORP BND 144A
 
D
1

1FE

3,990,400.00

3,942,080.08

4,000,000.00

3,994,399.13

(52,319.05
)
3,165.83



1.3750

1.4571

 Mar-Sep
14,361.11

55,000.00

20160922
20190927
BRSSM5ZR6
AIR MEDICAL GROUP HOLDINGS INC SENIOR SE
 
 
4

4FE

1,478,749.93

1,474,778.46

1,482,456.10

1,480,147.97

(5,369.51
)
562.50




0.0356

 M-J-S-D

77,238.91

20150415
20220428
BRTCVY6N8
AIR MEDICAL GROUP HOLDINGS INC SENIOR SE
 
 
2

4

334,287.64

337,475.24

336,813.74

334,294.78

3,180.46

7.14




0.1099

 M-J-S-D


20170926
20240926
00973XAA8
AKIBARE RE LTD SENIOR CORP BND 144A
 
D
 
 
540,000.00

546,696.00

540,000.00

540,000.00

6,696.00




3.8494

3.8675

 J-A-J-O
5,254.49

19,574.39

20160308
20200407
011395AD2
ALAMO RE LTD CORP BND 144A
 
D
 
 
2,900,000.00

2,932,538.00

2,900,000.00

2,900,000.00

32,538.00




5.1158

5.1476

 M-J-S-D
7,005.78

152,868.36

20170523
20200608
011395AC4
ALAMO RE LTD CORP BOND 144A
 
D
 
 
1,300,000.00

1,322,256.00

1,300,000.00

1,300,000.00

22,256.00




5.7200

5.6779

 M-J-S-D
2,891.78

68,268.64

20150506
20190607
011395AB6
ALAMO RE LTD CORP BOND 144A
 
D
 
 
833,000.00

841,946.42

833,000.00

833,000.00

8,946.42




6.1144

6.0462

 M-J-S-D
1,980.71

95,581.27

20150506
20180607
013051DV6
ALBERTA PROVINCE OF SENIOR CORP BND
 
A
 
1FE

8,647,004.80

8,594,034.23

8,650,000.00

8,647,958.29

(53,924.06
)
953.49



1.9000

1.9519

 Jun-Dec
11,413.17

123,209.72

20170207
20191206
013051CZ8
ALBERTA PROVINCE OF SENIOR LOCAL BND
 
 
 
 
490,322.28

497,952.83

600,000.00

489,171.08

(1,759.46
)
(1,151.20
)

10,541.21

4.0000

1.6803

 Jun-Dec
1,631.32

436.66

20171120
20191201
BRTAET271
ALBERTSONS COMPANIES LLC SENIOR SECURED
 
 
 
3FE

1,867,387.92

1,843,048.27

1,881,561.96

1,868,693.07

(25,644.80
)
1,376.38




0.1429

 M-J-S-D

40,618.45

20170627
20221221
BRTAET3H8
ALBERTSONS COMPANIES LLC SENIOR SECURED
 
 
 
3FE

256,854.18

251,549.74

257,142.59

256,878.98

(5,329.24
)
26.26




0.0354

 M-J-S-D

4,709.90

20170627
20230622
BRTAESUK3
ALBERTSONS COMPANIES LLC SENIOR SECURED
 
 
 
3FE

194,216.76

191,950.94

196,068.38

194,444.82

(2,493.88
)
444.56




0.2249

 M-J-S-D

7,753.57

20170627
20210825
01626PAJ5
ALIMENTATION COUCHE-TARD INC SENIOR CORP
 
A
1

2FE

2,714,973.15

2,688,420.26

2,715,000.00

2,714,985.87

(26,565.61
)
12.72



2.7000

2.7200

 Jan-Jul
31,561.89

(93.75
)
20170719
20220726
BRSV8NG22
ALION SCIENCE AND TECHNOLOGY C SENIOR SE
 
 
 
4FE

759,143.16

763,195.99

762,957.95

760,617.07

2,578.92

722.65




0.0834

 M-J-S-D

46,150.11

20150812
20210819
BRT999T75
ALIX PARTNERS LLP SENIOR SECURED TERM LO
 
 
 
4FE

571,164.67

575,340.03

572,596.15

571,315.77

4,024.26

165.31




0.0353

 M-J-S-D

18,249.55

20170328
20240404
02007LAC6
ALLYA_16-3 ABS_16-3 A3
 
 
4

1FE

1,876,967.73

1,872,089.39

1,877,150.00

1,877,070.00

(4,980.61
)
71.80



1.4400

1.4480

 Monthly
1,201.38

28,800.00

20160523
20200817
02079KAC1
ALPHABET INC CLASS A SENIOR CORP BND
 
 
1

1FE

685,433.00

659,378.99

700,000.00

687,273.97

(27,894.98
)
1,325.23



1.9980

2.2310

 Feb-Aug
5,283.60

14,219.10

20160802
20260815
BRTD2HTA8
ALTICE FINANCING SA SENIOR SECURED TERM
 
D
2

4FE

997,721.71

977,092.13

1,000,222.27

997,737.68

(20,645.55
)
15.97




0.0303

 M-J-S-D

611.25

20171006
20260131
BRT97VDT7
ALTICE FINANCING SA SENIOR SECURED TERM
 
D
 
3FE

650,827.88

636,147.54

652,459.02

650,964.56

(14,817.02
)
144.88




0.0300

 M-J-S-D

12,690.28

20170322
20250715
BRT9TRW61
ALTICE US FIN I CORP SENIOR FSECURED TER
 
 
 
3FE

2,617,809.16

2,618,521.03

2,629,697.25

2,618,684.35

(163.32
)
986.87




0.0602

 M-J-S-D

54,654.38

20170315
20250728
02209SAL7
ALTRIA GROUP INC CORP BND
 
 
 
1FE

1,576,568.00

1,501,654.03

1,400,000.00

1,521,169.66

(19,515.63
)
(34,675.07
)


4.7500

2.0569

 May-Nov
10,344.45

66,500.00

20160518
20210505
02209SAT0
ALTRIA GROUP INC SENIOR CORP BND
 
 
2

1FE

2,997,570.00

3,019,410.33

3,000,000.00

2,999,049.79

20,360.54

448.66



2.6250

2.6411

 Jan-Jul
36,531.24

78,750.00

20141110
20200114
BRSSA2UL4
ALVOGEN PHARMA US INC ALVOGEN PHARMA US
 
 
 
 
1,128,546.83

1,128,535.44

1,138,497.29

1,129,884.75

(1,349.31
)
1,669.81




0.1763

 M-J-S-D

47,800.23

20170427
20220401





U02320AD8
AMAZON.COM INC SENIOR CORP BND
 
 
 
 
2,338,713.00

2,323,058.40

2,340,000.00

2,338,863.00

(15,804.60
)
150.00



1.9000

1.9190

 Feb-Aug
15,931.50


20170815
20200821
023135AX4
AMAZON.COM INC SENIOR CORP BND 144A
 
 
1

2FE

2,867,553.75

2,866,892.55

2,875,000.00

2,867,901.33

(1,008.78
)
347.58



2.8000

2.8411

 Feb-Aug
28,845.84


20170815
20240822
023135AR7
AMAZON.COM INC SENIOR CORP BND 144A
 
 
1

 
2,158,812.00

2,143,756.81

2,160,000.00

2,158,950.47

(15,193.66
)
138.47



1.9000

1.9190

 Feb-Aug
14,706.01


20170815
20200821
BRTCKFF01
AMBROSIA BUYER CORP SENIOR SECURED TERM
 
 
2

4FE

351,952.71

354,892.88

352,834.80

351,980.00

2,912.88

29.50




0.0360

 M-J-S-D

696.68

20170915
20240828
BRTCKFGF7
AMBROSIA BUYER CORP SENIOR SECURED TERM
 
 
2

4FE

15,751.55

15,883.14

15,791.03

15,751.83

131.31

0.28




0.0368

 M-J-S-D


20170915
20240828
BRSJ1HUF4
AMC ENTERTAINMENT INC. SENIOR SECURED TE
 
 
4

3FE

29.78

30.02

29.92

29.81

0.21

143.18




0.0726

 M-J-S-D

7,283.56

20160801
20221215
03065NAD7
AMCAR_15-3 SENIOR ABS 15-3
 
 
4

1FE

40,271.67

40,256.97

40,277.51

40,276.68

(19.71
)
10.86



1.5400

1.5508

 Monthly
39.63

3,031.52

20150804
20200308
03066FAE1
AMCAR_17-4 SENIOR ABS__17-4-A3
 
 
4

1FE

3,359,910.63

3,338,689.57

3,360,000.00

3,359,914.87

(21,225.30
)
4.24



2.0400

2.0499

 Monthly
2,665.60

6,283.20

20171107
20220718
023770AB6
AMERICAN AIRLINES INC. SECURED CORP BND
 
 
1

2FE

3,055,127.60

3,046,334.95

3,055,127.60

3,055,127.60

(8,792.65
)



3.7000

3.6983

 May-Nov
18,839.95

123,151.74

20150302
20230501
BRTDLDWF1
AMERICAN AIRLINES INC. SENIOR SECURED TE
 
 
2

 
1,460,732.88

1,463,013.39

1,463,928.35

1,460,800.46

2,212.93

99.86




0.0354

 M-J-S-D

4,005.20

20171115
20231214
BRT69HBX5
AMERICAN AIRLINES INC. SENIOR SECURED TE
 
 
 
3FE

265,888.02

267,145.22

267,647.06

266,104.10

1,041.12

453.75




0.1072

 M-J-S-D
69.46

14,039.85

20170403
20230428
BRT92SWL5
AMERICAN AIRLINES INC. SENIOR SECURED TE
 
 
 
3FE

1,386,070.30

1,390,960.95

1,389,031.59

1,386,697.93

4,263.02

1,147.89




0.0665

 M-J-S-D

51,904.88

20170501
20200627
BRT8ZN953
AMERICAN AXLE & MANUFACTURING, SENIOR SE
 
 
2

3FE

553,356.69

555,298.29

554,743.55

553,496.52

1,801.77

183.09




0.0354

 M-J-S-D

13,494.33

20170310
20240406
025816BM0
AMERICAN EXPRESS COMPANY SENIOR CORP BND
 
 
2

1FE

749,407.50

740,917.51

750,000.00

749,454.04

(8,536.53
)
46.54



2.5000

2.5169

 Feb-Aug
7,812.50


20170727
20220801
025816BP3
AMERICAN EXPRESS COMPANY SENIORCORPBND
 
 
2

1FE

199,740.00

198,472.00

200,000.00

199,754.58

(1,282.58
)
14.58



2.2000

2.2451

 Apr-Oct
745.56


20171023
20201030
0258M0EE5
AMERICAN EXPRESS CR CORP SENIOR CORP BND
 
 
2

1FE

3,004,210.00

2,991,120.05

3,000,000.00

3,003,796.86

(12,676.81
)
(413.14
)


2.2000

1.9335

 Mar-Sep
21,633.34

3,666.67

20170228
20200303
0258M0EK1
AMERICAN EXPRESS CR CORP SENIOR CORP BND
 
 
2

1FE

5,507,740.90

5,487,298.64

5,510,000.00

5,508,480.93

(21,182.29
)
1,006.02



1.8750

1.8960

 May-Nov
16,644.79

76,310.93

20170427
20190503
02582JHJ2
AMERICAN EXPRESS CREDIT ACCOUN ABS_17-6-
 
 
4

1FE

3,504,471.79

3,486,044.62

3,505,000.00

3,504,498.40

(18,453.78
)
26.61



2.0400

2.0539

 Monthly
3,177.86

8,937.75

20171023
20230515
02587AAJ3
AMERICAN EXPRESS CREDIT ACCOUN SENIOR AB
 
 
4

1FE

1,004,453.12

995,143.13

1,000,000.00

1,003,741.26

(8,598.13
)
(711.86
)


1.9300

1.7499

 Monthly
857.78

6,808.59

20170803
20220915
0258M0EC9
AMERICAN EXPRESS CREDIT CORPOR SENIOR CO
 
 
2

1FE

3,116,657.25

3,091,500.03

3,125,000.00

3,118,072.42

(26,572.39
)
1,260.61



1.7000

1.7409

 Apr-Oct
9,001.73

38,882.78

20161026
20191030
0258M0DX4
AMERICAN EXPRESS CREDIT CORPOR SENIOR CO
 
 
2

1FE

1,766,499.35

1,745,271.25

1,735,000.00

1,755,981.61

(10,710.36
)
(7,775.89
)


2.6000

1.7630

 Mar-Sep
13,407.69

45,110.00

20150909
20200914
008684AA0
AMERICAN HOME MORTGAGE ASSETS CMO_06-6 A
 
 
4

 
151,240.42

153,086.15

182,629.94

151,083.19

2,002.96

(126.39
)


1.7421

4.3877

 Monthly
53.03

31.01

20171220
20461225
02665WAH4
AMERICAN HONDA FINANCE CORPORA CORP BND
 
 
1

1FE

4,752,173.00

4,706,579.96

4,700,000.00

4,731,914.39

(25,334.43
)
(19,164.18
)


2.2500

1.8191

 Feb-Aug
39,950.00

105,750.00

20161128
20190815
02665WBT7
AMERICAN HONDA FINANCE CORPORA SENIOR CO
 
 
1

1FE

993,390.00

991,859.97

1,000,000.00

993,486.88

(1,626.91
)
96.88



1.9500

2.2138

 Jan-Jul
8,720.84

(8,016.67
)
20171214
20200720
02665WBP5
AMERICAN HONDA FINANCE CORPORA SENIOR CO
 
 
1

1FE

1,073,228.40

1,085,864.39

1,080,000.00

1,074,000.33

11,864.06

771.93



2.9000

3.0000

 Feb-Aug
11,745.00

15,660.00

20170213
20240216
02665WAW1
AMERICAN HONDA FINANCE CORPORA SENIOR CO
 
 
1

1FE

249,210.00

249,680.00

250,000.00

249,855.95

(175.95
)
267.02



1.6000

1.7092

 Jan-Jul
1,866.67

4,000.00

20150715
20180713
03027XAL4
AMERICAN TOWER CORPORATION SENIOR CORP B
 
 
1

2FE

2,995,740.00

2,922,330.09

3,000,000.00

2,996,667.96

(74,337.87
)
1,187.63



2.2500

2.2789

 Jan-Jul
31,125.00

104,125.01

20160928
20220115
03065GAD2
AMERICREDIT AUTOMOBILE RECEIVA ABS_17-2-
 
 
4

1FE

829,865.70

826,266.74

830,000.00

829,896.10

(3,629.36
)
30.40



1.9800

1.9944

 Monthly
593.45

9,677.80

20170509
20211220
031162BD1
AMGEN INC CORP BND
 
 
1

2FE

1,550,734.00

1,544,039.96

1,500,000.00

1,537,809.12

6,230.84

(5,981.18
)


3.4500

2.6770

 Apr-Oct
12,937.50

20,700.00

20150714
20201001
031162BU3
AMGEN INC SENIOR CORP BND
 
 
1

2FE

761,263.68

759,121.44

759,000.00

760,409.67

(1,288.23
)
(1,072.53
)


2.2000

2.2961

 May-Nov
1,808.95

16,698.00

20150805
20190522
031162BW9
AMGEN INC SENIOR CORP BND
 
 
1

2FE

2,440,788.75

2,432,481.58

2,445,000.00

2,441,508.04

(9,026.46
)
309.88



2.1250

2.1409

 May-Nov
8,659.38

34,070.85

20150428
20200501
031162CM0
AMGEN INC SENIOR CORP BND
 
 
1

2FE

424,766.25

423,461.50

425,000.00

424,814.93

(1,353.43
)
48.68



2.2000

2.2191

 May-Nov
1,298.60

4,675.00

20170508
20200511
031162CG3
AMGEN INC SENIOR CORP BND
 
 
1

2FE

2,688,749.70

2,651,592.02

2,720,000.00

2,691,006.88

(39,414.86
)
2,201.95



1.8500

1.8729

 Feb-Aug
18,450.68

41,905.08

20160810
20210819
031162CH1
AMGEN INC SENIOR CORP BND
 
 
1

2FE

1,469,373.25

1,479,173.79

1,525,000.00

1,473,405.69

5,768.10

3,740.93



2.2500

2.8139

 Feb-Aug
12,581.25

4,187.50

20161129
20230819





032511BF3
ANADARKO PETROLEUM CORPORATION CORP BND
 
 
 
3FE

799,342.50

796,027.50

750,000.00

797,653.48

(1,625.98
)
(1,689.02
)


6.9500

2.4713

 Jun-Dec
2,316.67

289.58

20171211
20190615
032511BJ5
ANADARKO PETROLEUM CORPORATION SENIOR CO
 
 
1

3FE

509,000.00

498,315.01

500,000.00

506,486.86

(8,171.85
)
(912.75
)


3.4500

3.2208

 Jan-Jul
7,954.17

17,250.00

20150224
20240715
Z925TSGY7
ANCF_4 ABS__4-A
 
D
4

1FE

992,500.00

991,169.20

1,000,000.00

992,998.10

(1,828.90
)
498.10



3.5000

3.6438

 Feb-Aug
13,222.22

1,847.23

20170721
20350215
033287AV5
ANCHC_14-4A ABS_14-4A-A2R 144A
 
D
4

1FE

1,000,000.00

1,003,301.50

1,000,000.00

1,000,000.00

3,301.50




3.0580

3.0695

 J-A-J-O
5,351.43

15,026.05

20170425
20260728
034863AP5
ANGLO AMERICAN CAPITAL PLC SENIOR CORP B
 
D
 
2FE

3,227,490.00

3,172,860.28

3,000,000.00

3,219,684.40

(46,824.12
)
(7,805.60
)


4.8750

3.7290

 May-Nov
19,093.76

25,593.75

20170907
20250514
035242AL0
ANHEUSER-BUSCH INBEV FINANCE I SENIOR CO
 
 
1

2FE

1,370,817.00

1,380,995.98

1,350,000.00

1,367,373.39

13,622.59

(3,091.38
)


3.3000

3.0168

 Feb-Aug
18,562.50

89,329.16

20161129
20230201
035242AE6
ANHEUSER-BUSCH INBEV FINANCE I SENIOR CO
 
 
1

1FE

1,247,525.00

1,250,625.14

1,250,000.00

1,249,441.90

1,183.24

(1,157.98
)


2.1500

2.1919

 Feb-Aug
11,197.92

60,567.29

20140122
20190201
035242AP1
ANHEUSER-BUSCH INBEV FINANCE I SENIOR CO
 
 
1

2FE

2,023,465.80

2,078,045.20

2,014,000.00

2,022,767.69

55,277.51

(698.11
)


3.6500

3.5838

 Feb-Aug
30,629.58

25,933.05

20170321
20260201
035242AJ5
ANHEUSER-BUSCH INBEV FINANCE I SENIOR CO
 
 
1

1FE

15,493,367.00

15,439,950.86

15,350,000.00

15,486,790.83

(46,839.97
)
(9,202.68
)


2.6500

2.3977

 Feb-Aug
169,489.59

75,399.86

20160113
20210201
035242AG1
ANHEUSER-BUSCH INBEV FINANCE I SENIOR CO
 
 
1

1FE

1,549,604.50

1,546,837.97

1,550,000.00

1,549,692.91

(2,854.94
)
(2,729.91
)


1.9000

1.9038

 Feb-Aug
12,270.84

219,542.88

20161128
20190201
03523TAN8
ANHEUSER-BUSCH INBEV WORLDWIDE CORP BND
 
 
 
2FE

2,255,260.00

2,121,699.98

2,000,000.00

2,139,946.37

(18,246.39
)
(66,765.24
)


5.3750

1.8600

 Jan-Jul
49,569.44

107,500.00

20160331
20200115
00182EBE8
ANZ NATIONAL INTERNATIONAL LTD SENIOR CO
 
D
 
1FE

768,914.30

764,787.08

770,000.00

769,073.93

(4,286.85
)
159.63



2.2000

2.2489

 Jan-Jul
7,670.06


20170711
20200717
00182EBB4
ANZ NATIONAL INTERNATIONAL LTD SENIOR CO
 
D
 
1FE

2,350,000.00

2,381,976.46

2,350,000.00

2,350,000.00

31,976.46




2.3880

2.3880

 J-A-J-O
9,820.49

58,737.59

20160721
20210728
037401AC0
AOZORA RE LTD CORP BND 144A
 
D
 
3FE

250,000.00

251,932.50

250,000.00

250,000.00

1,932.50




3.5494

3.5649

 J-A-J-O
2,243.05

8,525.67

20160329
20230407
037401AD8
AOZORA RE LTD SENIOR CORP BND 144A
 
D
 
 
7,125,000.00

7,147,372.50

7,125,000.00

7,125,000.00

22,372.50




3.2188

3.2188

 J-A-J-O
54,786.32

416,850.64

20170321
20210407
000366AA2
APOLLO AVIATION SECURITIZATION ABS 17-1A
 
 
4

 
1,908,990.28

1,915,692.00

1,909,000.00

1,908,993.06

6,698.94

3.26



3.9670

3.9995

 Monthly
3,155.42

41,122.14

20170525
20420516
037833AJ9
APPLE INC CORP BND
 
 
1

 1FE

1,245,387.50

1,247,450.00

1,250,000.00

1,249,681.54

(2,231.54
)
1,730.83



1.0000

1.0760

 May-Nov
2,013.89

29,838.89

20130430
20180503
037833AR1
APPLE INC SENIOR CORP BND
 
 
 
1FE

9,511,188.00

9,447,497.91

9,300,000.00

9,478,005.48

(30,507.57
)
(20,981.66
)


2.8500

2.5519

 May-Nov
40,493.76

105,703.34

20150622
20210506
037833BQ2
APPLE INC SENIOR CORP BND
 
 
1

1FE

4,209,995.20

4,178,268.04

4,190,000.00

4,197,815.97

(19,547.93
)
(6,884.80
)


1.7000

1.7058

 Feb-Aug
25,326.22

80,288.88

20160216
20190222
037833BD1
APPLE INC SENIOR CORP BND
 
 
 
1FE

998,900.00

997,160.03

1,000,000.00

998,954.69

(1,794.66
)
54.69



2.0000

2.0459

 May-Nov
2,666.67

(222.22
)
20171115
20200506
037833DJ6
APPLE INC SENIOR CORP BND
 
 
1

1FE

1,245,282.50

1,242,049.98

1,250,000.00

1,245,376.74

(3,326.76
)
94.24



2.0000

2.0290

 May-Nov
3,333.33

(1,250.00
)
20171106
20201113
037833CZ1
APPLE INC SENIOR CORP BND
 
 
1

1FE

2,497,850.00

2,479,825.02

2,500,000.00

2,498,175.83

(18,350.81
)
447.47



1.5000

1.5438

 Mar-Sep
11,354.17

4,316.67

20170905
20190912
037833AQ3
APPLE INC SENIOR CORP BND
 
 
 
1FE

606,576.00

601,037.98

600,000.00

603,672.52

(2,634.54
)
(2,676.26
)


2.1000

1.6380

 May-Nov
1,925.00

12,600.00

20161128
20190506
037833BZ2
APPLE INC SENIOR CORP BND
 
 
1

1FE

468,716.90

450,805.20

470,000.00

468,879.01

(18,073.81
)
117.78



2.4500

2.4810

 Feb-Aug
4,701.96

12,130.22

20160728
20260804
037833CB4
APPLE INC SENIOR CORP BND
 
 
1

1FE

5,894,100.00

5,815,571.00

5,900,000.00

5,896,849.91

(81,278.91
)
1,956.98



1.1000

1.1340

 Feb-Aug
26,500.84

64,900.00

20160728
20190802
037833BS8
APPLE INC SENIOR CORP BND
 
 
1

1FE

1,736,705.00

1,697,178.00

1,700,000.00

1,726,391.02

(29,213.02
)
(8,410.23
)


2.2500

1.5100

 Feb-Aug
13,600.00

38,250.00

20160824
20210223
BRTE1M348
ARAMARK SERVICES INC SENIOR SECURED TERM
 
 
2

3FE

204,843.41

205,782.20

204,843.41

204,843.41

938.79






 M-J-S-D


20171207
20250307
00191YAP9
ARES_15-1R MEZZANINE ABS_15-1A B2R 144A
 
D
4

 
500,000.00

508,028.90

500,000.00

500,000.00

8,028.90




4.2946

4.3175

 M-J-S-D
1,610.49

19,081.38

20161214
20251205
BRST927R7
ARIA ENERGY OPERATING LLC SENIOR SECURED
 
 
4

4FE

722,712.24

733,662.42

730,012.36

725,190.32

8,472.10

1,681.95




0.1485

 F-M-A-N

46,861.37

20150518
20220527
040484JY4
ARIZONA BRD REGENTS UNIV ARIZ MUNI BND R
 
 
2

1FE

1,654,640.80

1,625,204.20

1,420,000.00

1,575,096.24

50,107.96

(25,264.26
)


5.0000

2.8691

 Feb-Aug
29,583.33

71,000.00

20140930
20270801
04048RMW3
ARIZONA BRD REGENTS UNIV ARIZ MUNITAX BN
 
 
1

 
1,750,000.00

1,746,080.00

1,750,000.00

1,750,000.00

(3,920.00
)



2.0480

2.0480

 Jan-Jul
17,920.00

35,840.00

20150305
20190701
04048RMX1
ARIZONA BRD REGENTS UNIV ARIZ MUNITAX BN
 
 
1

1FE

200,000.00

199,746.00

200,000.00

200,000.00

(254.00
)



2.3480

2.3480

 Jan-Jul
2,348.00

35,609.38

20150305
20200701
04048RMV5
ARIZONA BRD REGENTS UNIV ARIZ MUNITAX BN
 
 
1

1FE

1,315,000.00

1,312,580.40

1,315,000.00

1,315,000.00

(2,419.60
)



1.5590

1.5590

 Jan-Jul
10,250.43

20,500.86

20150305
20180701
045167CB7
ASIAN DEVELOPMENT BANK SENIOR CORP BND
 
D
 
1FE

4,084,000.00

4,001,000.00

4,000,000.00

4,026,810.92

(25,810.92
)
(37,957.26
)


1.8750

1.0392

 Apr-Oct
14,166.67

90,184.33

20160330
20181023





045167EA7
ASIAN DEVELOPMENT BANK SENIOR CORP BND
 
D
 
 
6,984,390.00

6,892,130.00

7,000,000.00

6,986,531.88

(94,401.88
)
2,141.88



1.7500

1.8080

 Jun-Dec
7,826.39

61,250.00

20170531
20210608
00206RDQ2
AT&T INC SENIOR CORP BND
 
 
1

2FE

3,997,600.00

4,083,880.00

4,000,000.00

3,997,887.19

85,992.81

310.75



4.2500

4.2570

 Mar-Sep
56,666.67

112,329.86

20170131
20270301
00206REL2
AT&T INC SENIOR CORP BND
 
 
1

2FE

5,396,598.00

5,426,028.11

5,400,000.00

5,396,793.38

29,234.73

195.38



3.4000

3.4101

 Feb-Aug
73,440.00

(510.00
)
20170803
20240814
00206RCR1
AT&T INC SENIOR CORP BND
 
 
1

2FE

4,861,536.50

4,870,661.49

4,850,000.00

4,859,816.90

10,844.59

(1,225.85
)


2.8000

2.3738

 Feb-Aug
50,547.78

119,976.11

20160129
20210217
00206REM0
AT&T INC SENIOR CORP BND
 
 
1

2FE

1,996,540.00

2,011,219.94

2,000,000.00

1,996,663.74

14,556.20

123.74



3.9000

3.9210

 Feb-Aug
31,200.00


20170727
20270814
00206RCN0
AT&T INC SENIOR CORP BND
 
 
1

2FE

1,794,672.00

1,772,027.98

1,800,000.00

1,795,926.00

(23,898.02
)
478.16



3.4000

3.4350

 May-Nov
7,820.00

61,200.00

20150423
20250515
00206RCL4
AT&T INC SENIOR CORP BND
 
 
1

2FE

1,901,227.00

1,896,523.02

1,900,000.00

1,901,142.13

(4,619.11
)
(2,459.14
)


2.4500

2.4600

 Jun-Dec
129.31

107,126.27

20150423
20200630
00206REK4
AT&T INC SENIOR CORP BND
 
 
1

2FE

4,319,308.80

4,334,774.53

4,320,000.00

4,319,366.94

15,407.59

58.14



2.8500

2.8531

 Feb-Aug
49,248.00


20170727
20230214
00206RCC4
AT&T INC SENIOR CORP BND
 
 
 
2FE

5,173,691.25

5,127,767.55

5,125,000.00

5,144,261.46

(16,493.91
)
(15,883.22
)


2.3000

1.6401

 Mar-Sep
36,017.36

117,875.00

20140930
20190311
00206RER9
AT&T INC SENIOR CORP BND 144a
 
 
1

2FE

3,435,752.06

3,458,274.93

3,448,000.00

3,435,805.84

22,469.09

53.78



4.1000

4.2197

 Feb-Aug
11,780.66

490.35

20171201
20280215
00206RES7
AT&T INC SENIORCORPBND144A
 
 
1

2FE

506,186.88

510,515.09

510,000.00

506,195.38

4,319.71

8.50



4.3000

4.3803

 Feb-Aug
1,827.50

6,291.67

20171201
20300215
00206RCY6
AT&T INC SENIRO CORP BND