| Name of Bond | End of Year Book Value | End of Year Fair Market Value |
|---|---|---|
| ANGEL OAK MORTGAGE TRUST SER 1 | 428,764 | 428,764 |
| BB-UBS TR VAR RT 4.026 DUE 11- | 777,769 | 777,769 |
| CMO ADJUSTABLE RATE MTG TR 200 | 703,768 | 703,768 |
| CMO ADJUSTABLE RATE MTG TR 200 | 0 | 0 |
| CMO ALTERNATIVE LN TR 2007-HY7 | 941,947 | 941,947 |
| CMO BANC AMER FDG 2007-C TR MT | 0 | 0 |
| CMO BEAR STEARNS ARM TR 05-3 M | 0 | 0 |
| CMO BEAR STEARNS ARM TR 2007-1 | 1,288,914 | 1,288,914 |
| CMO CHL MTG PASS THRU TR 2007- | 723,964 | 723,964 |
| CMO CHL MTG PASS-THRU TR 2007- | 0 | 0 |
| CMO CMLTI 2006-AR7 MTG PASSTHR | 0 | 0 |
| CMO CMO STRUCTURED AGENCY CR R | 0 | 0 |
| CMO CONN AVE SECS SER 2016-C05 | 960,410 | 960,410 |
| CMO CSAIL 2015-C3 COML MTG TR | 1,266,317 | 1,266,317 |
| CMO CWALT INC 2005-J12 MTG PAS | 1,299,994 | 1,299,994 |
| CMO FED HOME LN MTG CORP SER 2 | 758,473 | 758,473 |
| CMO FEDERAL HOME LN MTG CORP S | 384,074 | 384,074 |
| CMO GE COML MTG CORP VAR 2005- | 0 | 0 |
| CMO GS MTG SECS TR 2014-GC20 C | 466,587 | 466,587 |
| CMO GSR MTG LN TR 2007 AR1 MTG | 716,861 | 716,861 |
| CMO GSR MTG LN TR 2007-1F L 3A | 702,631 | 702,631 |
| CMO HARBORVIEW MTG LN TR 2006- | 0 | 0 |
| CMO INDYMAC INDX MORTGAGE LOAN | 0 | 0 |
| CMO INDYMAC INDX MTG LN TR 200 | 0 | 0 |
| CMO INDYMAC MBS INC 2005-AR23 | 905,442 | 905,442 |
| CMO MASTR ADJUSTABLE RATE MORT | 757,997 | 757,997 |
| CMO MORGAN STANLEY CAP I INC 2 | 0 | 0 |
| CMO MORGAN STANLEY MTG LN TR 2 | 848,380 | 848,380 |
| CMO MORGAN STANLEY MTG LN TR 2 | 1,363,037 | 1,363,037 |
| CMO MORGAN STANLEY MTG LN TR 2 | 947,625 | 947,625 |
| CMO RESDNTL ACCREDIT LNS INC M | 513,209 | 513,209 |
| CMO RESIDENTIAL ACCREDIT LNS V | 848,126 | 848,126 |
| CMO SER 15-DNA3 CL M2 DUE 04-2 | 0 | 0 |
| CMO SSER 15-DNA3 CL B DUE 04-2 | 0 | 0 |
| CMO WAMU MTG PASS THRU CTFS SE | 0 | 0 |
| CMO WAMU MTG PASS THRU CTFS SE | 0 | 0 |
| CMO WAMU MTG PASS THRU CTFS SE | 852,307 | 852,307 |
| CMO WAMU MTG PASS THRU CTFS SE | 0 | 0 |
| CMO WASHINGTON MUT MTG PASS-TH | 884,503 | 884,503 |
| CMO WFRBS COML MTG TR 2014-C20 | 666,951 | 666,951 |
| COMCAST CORP NEW 5.7% DUE 05-1 | 2,431,011 | 2,431,011 |
| CONNECTICUT AVENUE SECURITIES | 768,140 | 768,140 |
| CONNECTICUT AVENUE SECURITIES | 519,229 | 519,229 |
| DANAHER CORP 1.65% DUE 09-15-2 | 196,649 | 196,649 |
| FIRST HORIZON MTG PASS-THROUGH | 875,192 | 875,192 |
| FREMF 2014-K715 FLTG RT 4.2678 | 507,987 | 507,987 |
| I/O CMO RYLAND ACCEP CORP FOUR | 305 | 305 |
| I/O COUNTRYWIDE ALTERNATIVE LO | 363,006 | 363,006 |
| INDYMAC INDX MTG FLTG RT .6488 | 0 | 0 |
| J P MORGAN FLTG RT .66885% DUE | 1,001,276 | 1,001,276 |
| MERRILL LYNCH MTG BACKED SECS | 1,315,390 | 1,315,390 |
| MORGAN STANLEY CAP 3% DUE 11-1 | 292,776 | 292,776 |
| PRESTIGE AUTO 3.91% DUE 11-15- | 988,512 | 988,512 |
| PVTPL ATLAS SR LN FD II LTD SE | 643,292 | 643,292 |
| PVTPL BABSON CLO 2012 SR SECD | 0 | 0 |
| PVTPL BERING CDO LTD SER 2006- | 0 | 0 |
| PVTPL CMO CITIGROUP COML MTG T | 187,798 | 187,798 |
| PVTPL CMO CSAIL COMMERCIAL MOR | 0 | 0 |
| PVTPL CMO FREMF 2016-K59 MTG T | 277,026 | 277,026 |
| PVTPL CMO FREMF MORTGAGE TRUST | 306,122 | 306,122 |
| PVTPL CMO FREMF TR 2015-K720 C | 937,810 | 937,810 |
| PVTPL CMO HILTON USA TR 13-HLT | 0 | 0 |
| PVTPL CMO J P MORGAN CHASE COM | 401,387 | 401,387 |
| PVTPL CMO LSTAR SECS INVT LTD | 0 | 0 |
| PVTPL CMO LSTAR SECS INVT TR 2 | 0 | 0 |
| PVTPL CMO MORGAN STANLEY CAP I | 104,352 | 104,352 |
| PVTPL CMO NEW RESIDENTIAL MTG | 138,216 | 138,216 |
| PVTPL CMOJPMDB COML MTG SECS T | 200,752 | 200,752 |
| PVTPL FREMF MORTGAGE TRUST SR | 866,119 | 866,119 |
| PVTPL FREMF MTG TR MTG PASSTHR | 656,299 | 656,299 |
| PVTPL INSITE ISSUER LLC/INSITE | 321,422 | 321,422 |
| PVTPL MAGNETITE VII LTD SER 12 | 1,002,439 | 1,002,439 |
| PVTPL MARINE PK CLO LTD/MARINE | 0 | 0 |
| PVTPL MORGAN STANLEY CAP I INC | 9,065 | 9,065 |
| PVTPL SENECA PK CLO LTD/SENECA | 100,367 | 100,367 |
| WACHOVIA BANK COMMERCIAL MORTG | 861,211 | 861,211 |
| WELLS FARGO COML 3.562% DUE 05 | 1,017,139 | 1,017,139 |
| WELLS FARGO COML FLTG RT 3% DU | 144,174 | 144,174 |
| CDGJ COML MTG TR FLTG RT 5.162 | 0 | 0 |
| FREMF 2015-K45 MTG FLTG RT 3.7 | 0 | 0 |
| FREMF 2015-K46 MTG FLTG RT 3.6 | 0 | 0 |
| FREMF 2016-K60 MTG FLTG RT 3.5 | 0 | 0 |
| FREMF 2016-K722 FLTG RT 3.8348 | 0 | 0 |
| PVTPL CMO FFREMF 2015-K49 MTG | 0 | 0 |
| PVTPL CMO FREMF 2015-K50 MTG T | 0 | 0 |
| PVTPL MORGAN STANLEY BK AMER M | 0 | 0 |
| PVTPL CIFC FDG 2012-II LTD/CIF | 0 | 0 |
| PVTPL CIFC FDG LTD SER 2014-3A | 0 | 0 |
| HONOR AUTOMOBILE 5.76% DUE 04- | 0 | 0 |
| PVTPL ATLAS SR LN FD V LTD SER | 0 | 0 |
| PVTPL CARLYLE GLOBAL MARKET ST | 0 | 0 |
| PVTPL CIFC FDG 2012-III LTD/CI | 0 | 0 |
| PVTPL GREEN TREE AGY ADVANCE S | 0 | 0 |
| PVTPL VOYA CLO LTD SER 2012-3A | 0 | 0 |
| TERWIN MTG TR ASSET-BACKED CTF | 0 | 0 |
| CMO CONNECTICUT AVENUE SEC SER | 0 | 0 |
| CMO FEDERAL HOME LN MTG CORP S | 0 | 0 |
| CMO FEDERAL HOME LN MTG CORP S | 0 | 0 |
| CMO FEDERAL HOME LN MTG CORP S | 0 | 0 |
| CMO SSTRUCTURED AGENCY CREDIT | 0 | 0 |
| CMO STRUCTURED AGENCY CREDIT R | 0 | 0 |
| CMO WELLS FARGO MTG BACKED SEC | 0 | 0 |
| CONNECTICUT AVENUE SECURITIES | 0 | 0 |
| PVTPL CMO LSTAR SECS INVT LTD | 0 | 0 |
| PVTPL CMO LSTAR SECS INVT LTD | 0 | 0 |
| PVTPL CMO LSTAR SECS INVT LTD | 0 | 0 |
| RALI SER 2006-QA3 FLTG RT 1.29 | 0 | 0 |
| STRUCTURED AGENCY CREDIT RISK | 0 | 0 |
| NOVARTIS CAPITAL CORP 1.8% 02- | 1,757,026 | 1,757,026 |
| UNILEVER CAP CORP 1.8% DUE 05- | 1,985,268 | 1,985,268 |
| APPLE INC 1.5% 09-12-2019 | 991,660 | 991,660 |
| APPLE INC 1.8% DUE 05-11-2020 | 991,531 | 991,531 |
| APPLE INC FLTG RT 2.29989% DUE | 3,041,280 | 3,041,280 |
| CATERPILLAR FINANCIAL SERVICES | 2,995,425 | 2,995,425 |
| CATERPILLAR FINL 2% DUE 11-29- | 1,247,312 | 1,247,312 |
| CATERPILLAR FINL FLTG RT 2.615 | 1,511,908 | 1,511,908 |
| DANAHER CORP 2.4% DUE 09-15-20 | 1,304,901 | 1,304,901 |
| DEERE JOHN CAP 1.95% DUE 06-22 | 1,183,546 | 1,183,546 |
| DUKE ENERGY FLA 1.85% DUE 01-1 | 2,479,525 | 2,479,525 |
| DUKE ENERGY FLA 2.1% DUE 12-15 | 3,497,165 | 3,497,165 |
| GEORGIA PWR CO 2% DUE 03-30-20 | 2,732,263 | 2,732,263 |
| GILEAD SCIENCES INC SR NT FLTG | 3,000,357 | 3,000,357 |
| HOME DEPOT INC FIXED 1.8% DUE | 3,968,192 | 3,968,192 |
| HONEYWELL INTL INC 1.8% DUE 10 | 4,973,570 | 4,973,570 |
| INTEL CORP SR NT FLTG DUE 05-1 | 1,995,028 | 1,995,028 |
| INTL BUSINESS FLTG RT 2.59561% | 2,511,505 | 2,511,505 |
| JOHN DEERE CAPITAL CORP TRANCH | 2,507,073 | 2,507,073 |
| MERCK & CO INC NEW 1.85% DUE 0 | 2,486,068 | 2,486,068 |
| MICROSOFT CORP FIXED 1.85% DUE | 2,492,608 | 2,492,608 |
| PEPSICO INC 1.55% DUE 05-02-20 | 2,486,225 | 2,486,225 |
| PHILIP MORRIS INTL INC FLTG 02 | 2,512,088 | 2,512,088 |
| PROCTER & GAMBLE 1.75% DUE 10- | 2,990,697 | 2,990,697 |
| QUALCOMM INC 2.1% 05-20-2020 | 2,504,422 | 2,504,422 |
| UTD PARCEL SVC INC 2.05% DUE 0 | 2,984,133 | 2,984,133 |
| VISA INC BNDS 2.2% DUE 12-14-2 | 2,997,636 | 2,997,636 |
| WALMART INC 1.9% 12-15-2020 | 2,483,898 | 2,483,898 |
| BAMLL COML MTG FLTG RT 3.71566 | 993,377 | 993,377 |
| BK AMER MERRILL 3.167% DUE 09- | 1,085,880 | 1,085,880 |
| CD COMMERCIAL MORTGAGE TRUST S | 195,876 | 195,876 |
| CMO FREMF 2013-K712 MTG TR MLT | 1,146,774 | 1,146,774 |
| CMO FREMF 2017-K66 MTG TR MLTI | 219,319 | 219,319 |
| CMO WFRBS COML MTG TR 2012-C8 | 67,827 | 67,827 |
| FREMF 2016-K54 MTG FLTG RT 4.1 | 266,854 | 266,854 |
| FREMF 2016-K722 FLTG RT 3.9662 | 324,271 | 324,271 |
| FREMF 2017-K68 MTG 3.9758% DUE | 271,450 | 271,450 |
| FREMF 2017-K728 3.6474% DUE 09 | 196,583 | 196,583 |
| GS MTG SECS TR 2.753% DUE 05-1 | 353,751 | 353,751 |
| PVPTL J P MORGAN CHASE COML MT | 564,034 | 564,034 |
| PVTPL 280 PARK AVENUE MORTGAGE | 698,255 | 698,255 |
| PVTPL CMO BK AMER MERRILL LYNC | 327,864 | 327,864 |
| PVTPL CMO CD 2017-CD4 MTG TR C | 447,013 | 447,013 |
| PVTPL CMO COMM MTG TR SER 2012 | 701,418 | 701,418 |
| PVTPL CMO CSAIL COMMERCIAL MOR | 799,763 | 799,763 |
| PVTPL CMO FREMF 2015-K721 MTG | 326,696 | 326,696 |
| PVTPL CMO FREMF 2017-K69 MTG T | 233,521 | 233,521 |
| PVTPL CMO FREMF 2017-K724 MTG | 229,509 | 229,509 |
| PVTPL CMO FREMF 2017-K725 MTG | 392,976 | 392,976 |
| PVTPL CMO GS MTG SECS CORP SER | 290,421 | 290,421 |
| PVTPL CMO GS MTG SECS TR SER 2 | 472,962 | 472,962 |
| PVTPL CMO JPMBB COML MTG SECS | 762,769 | 762,769 |
| PVTPL CMO MORGAN STANLEY CAP I | 1,156,089 | 1,156,089 |
| PVTPL CMO MSSG TR 2017-237P CO | 1,027,271 | 1,027,271 |
| PVTPL COMM MTG TR COML MTG 201 | 601,935 | 601,935 |
| PVTPL FREMF MORTGAGE TRUST SR- | 524,904 | 524,904 |
| PVTPL GS MTG SECS TR 2017-GS6 | 488,138 | 488,138 |
| TMSQ 2014-1500 MTG FLTG RT 3.9 | 290,400 | 290,400 |
| PVTPL CARLYLE GLOBAL MKT STRAT | 502,315 | 502,315 |
| J P MORGAN MTG ACQSTN TR 2006- | 0 | 0 |
| PVTPL APIDOS CLO XVI/APIDOS CL | 250,938 | 250,938 |
| PVTPL AVANT LNS FDG TR SER 201 | 350,498 | 350,498 |
| PVTPL BAYVIEW OPPORTUNITY MAST | 124,070 | 124,070 |
| PVTPL BAYVIEW OPPORTUNITY MAST | 889,883 | 889,883 |
| PVTPL BAYVIEW OPPORTUNITY MAST | 165,010 | 165,010 |
| PVTPL BLUEMOUNTAIN CLO LTD SR | 710,873 | 710,873 |
| PVTPL BOWMAN PK CLO LTD/BOWMAN | 704,531 | 704,531 |
| PVTPL CARLYLE GLOBAL MKT STRAT | 542,837 | 542,837 |
| PVTPL CIFC FDG 2014-III LTD SE | 855,711 | 855,711 |
| PVTPL CONSUMER LN UNDERLYING B | 194,851 | 194,851 |
| PVTPL DEWOLF PK CLO LTD/DEWOLF | 671,153 | 671,153 |
| PVTPL NATIONSTAR HECM LN TR 20 | 134,151 | 134,151 |
| PVTPL OAK HILL ADVISORS RESIDE | 265,373 | 265,373 |
| PVTPL OCTAGON INVT PARTNERS XV | 603,143 | 603,143 |
| PVTPL OCTAGON INVT PARTNERS XX | 415,066 | 415,066 |
| PVTPL OCTAGON INVT PARTNERS XX | 700,000 | 700,000 |
| PVTPL SCLP SER 2017-4 CL A 2.5 | 325,733 | 325,733 |
| PVTPL U S RESIDENTIAL OPPORTUN | 693,078 | 693,078 |
| PVTPL VERICREST OPPORTUNITY LO | 588,266 | 588,266 |
| PVTPL VOLT LVIII LLC SER 2017- | 620,156 | 620,156 |
| PVTPL VOLT LX LLC ASSET BACKED | 1,188,110 | 1,188,110 |
| PVTPL VOLT LXIII LLC S 17-NP10 | 597,197 | 597,197 |
| PVTPL VOLT SR 17-NPL89 CL A-2 | 537,917 | 537,917 |
| PVTPL WESTLAKE AUTOMOBILE RECE | 611,582 | 611,582 |
| UTD AUTO CR 5.09% DUE 03-10-20 | 352,449 | 352,449 |
| WESTLAKE 3.46% DUE 10-17-2022 | 728,052 | 728,052 |
| WESTLAKE 5.05% DUE 08-15-2024 | 457,107 | 457,107 |
| LSTAR SECS INVT FLTG RT 2.78% | 306,405 | 306,405 |
| 1ST HORIZON MTG 6% DUE 07-25-2 | 79,392 | 79,392 |
| CMO CONN AVE SEC SER 2015-C04 | 689,118 | 689,118 |
| CMO CONNECTICUT AVENUE SECURIT | 470,391 | 470,391 |
| CMO FANNIE MAE CONN AVE SECS S | 696,179 | 696,179 |
| CMO FED HOME LN MTG CORP SER 2 | 1,208,420 | 1,208,420 |
| CMO FEDERAL HOME LN MTG CORP F | 630,454 | 630,454 |
| PVTPL CMO ANGEL OAK MTG TR I L | 205,417 | 205,417 |
| PVTPL CMO BAYVIEW OPPORTUNITY | 607,562 | 607,562 |
| PVTPL CMO BAYVIEW OPPORTUNITY | 1,316,795 | 1,316,795 |
| PVTPL CMO LSTAR SECS INVESTLTD | 171,116 | 171,116 |
| PVTPL CMO LSTAR SECS INVT LTD | 452,191 | 452,191 |
| PVTPL CMO LSTAR SECS INVT LTD | 344,257 | 344,257 |
| PVTPL CMO LSTAR SECS INVT LTD | 232,655 | 232,655 |
| CAPITAL IMPACT PARTNERS TRANCH | 4,929,350 | 4,929,350 |